ABBREVIATIONS AND FOOTNOTES
1
ABBREVIATIONS AND FOOTNOTES
COUNTERPARTY ABBREVIATIONS: | ||
BAR | — | Counterparty to contract is Barclays Capital. |
BBH | — | Counterparty to contract is Brown Brothers Harriman. |
BNP | — | Counterparty to contract is BNP Paribas. |
BOA | — | Counterparty to contract is Bank of America. |
CITI | — | Counterparty to contract is Citibank NA London. |
CS | — | Counterparty to contract is Credit Suisse International. |
DEUT | — | Counterparty to contract is Deutsche Bank AG. |
GSC | — | Counterparty to contract is Goldman Sachs Capital Markets, LP. |
HSBC | — | Counterparty to contract is HSBC Securities. |
JPM | — | Counterparty to contract is JPMorgan Chase Bank. |
MSCS | — | Counterparty to contract is Morgan Stanley Capital Services. |
NT | — | Counterparty to contract is Northern Trust. |
RBC | — | Counterparty to contract is Royal Bank of Canada. |
RBS | — | Counterparty to contract is Royal Bank of Scotland. |
SC | — | Counterparty to contract is Standard Chartered PLC. |
SS | — | Counterparty to contract is State Street Global Markets. |
UBS | — | Counterparty to contract is UBS AG. |
WEST | — | Counterparty to contract is Westpac Bank. |
MYDESTINATION 2015 FUND
Futures Contracts outstanding at March 31, 2021:
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 06/2021 | 9 | $986,400 | $(2,000) | ||||
MSCI Emerging Markets | 06/2021 | 4 | 264,500 | (2,216) | ||||
S&P 500® E-Mini | 06/2021 | 9 | 1,785,330 | 22,940 | ||||
10-Year U.S. Treasury Note | 06/2021 | 28 | 3,666,250 | (71,557) | ||||
Total Futures Contracts outstanding at March 31, 2021 | $6,702,480 | $(52,833) |
For the Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at December 31, 2020, see Notes to Financial Statements in the Fund’s Annual Report.
3
MYDESTINATION 2025 FUND
Futures Contracts outstanding at March 31, 2021:
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 06/2021 | 34 | $3,726,400 | $(11,439) | ||||
MSCI Emerging Markets | 06/2021 | 13 | 859,625 | (7,386) | ||||
S&P 500® E-Mini | 06/2021 | 33 | 6,546,210 | 65,858 | ||||
10-Year U.S. Treasury Note | 06/2021 | 72 | 9,427,500 | (244,795) | ||||
Total Futures Contracts outstanding at March 31, 2021 | $20,559,735 | $(197,762) |
For the Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at December 31, 2020, see Notes to Financial Statements in the Fund’s Annual Report.
MYDESTINATION 2035 FUND
Futures Contracts outstanding at March 31, 2021:
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 06/2021 | 54 | $5,918,400 | $(15,694) | ||||
MSCI Emerging Markets | 06/2021 | 23 | 1,520,875 | (13,168) | ||||
S&P 500® E-Mini | 06/2021 | 58 | 11,505,460 | 122,852 | ||||
10-Year U.S. Treasury Note | 06/2021 | 56 | 7,332,500 | (168,361) | ||||
Total Futures Contracts outstanding at March 31, 2021 | $26,277,235 | $(74,371) |
For the Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at December 31, 2020, see Notes to Financial Statements in the Fund’s Annual Report.
5
MYDESTINATION 2045 FUND
Futures Contracts outstanding at March 31, 2021:
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 06/2021 | 47 | $5,151,200 | $(11,545) | ||||
MSCI Emerging Markets | 06/2021 | 20 | 1,322,500 | (1,968) | ||||
S&P 500® E-Mini | 06/2021 | 51 | 10,116,870 | 111,738 | ||||
10-Year U.S. Treasury Note | 06/2021 | 20 | 2,618,750 | (56,021) | ||||
Total Futures Contracts outstanding at March 31, 2021 | $19,209,320 | $42,204 |
For the Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at December 31, 2020, see Notes to Financial Statements in the Fund’s Annual Report.
MYDESTINATION 2055 FUND
Futures Contracts outstanding at March 31, 2021:
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 06/2021 | 21 | $2,301,600 | $(4,939) | ||||
MSCI Emerging Markets | 06/2021 | 9 | 595,125 | (2,614) | ||||
S&P 500® E-Mini | 06/2021 | 22 | 4,364,140 | 36,592 | ||||
10-Year U.S. Treasury Note | 06/2021 | 6 | 785,625 | (18,650) | ||||
Total Futures Contracts outstanding at March 31, 2021 | $8,046,490 | $10,389 |
For the Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at December 31, 2020, see Notes to Financial Statements in the Fund’s Annual Report.
7
CONSERVATIVE ALLOCATION FUND
Futures Contracts outstanding at March 31, 2021:
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 06/2021 | 5 | $548,000 | $(2,264) | ||||
MSCI Emerging Markets | 06/2021 | 5 | 330,625 | (2,779) | ||||
S&P 500® E-Mini | 06/2021 | 7 | 1,388,590 | 13,970 | ||||
2-Year U.S. Treasury Note | 06/2021 | 35 | 7,725,430 | (6,929) | ||||
Total Futures Contracts outstanding at March 31, 2021 | $9,992,645 | $1,998 |
For the Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at December 31, 2020, see Notes to Financial Statements in the Fund’s Annual Report.
BALANCED ALLOCATION FUND
Futures Contracts outstanding at March 31, 2021:
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index E-Mini | 06/2021 | 49 | $5,370,400 | $(14,270) | ||||
MSCI Emerging Markets E-Mini | 06/2021 | 28 | 1,851,500 | (16,087) | ||||
S&P 500® E-Mini | 06/2021 | 58 | 11,505,460 | 115,750 | ||||
10-Year U.S. Treasury Note | 06/2021 | 22 | 2,880,625 | (74,799) | ||||
U.S. Treasury Long Bond | 06/2021 | 29 | 4,483,219 | (174,938) | ||||
5-Year U.S. Treasury Note | 06/2021 | 52 | 6,416,719 | (82,149) | ||||
Total Futures Contracts outstanding at March 31, 2021 | $32,507,923 | $(246,493) |
For the Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at December 31, 2020, see Notes to Financial Statements in the Fund’s Annual Report.
9
GROWTH ALLOCATION FUND
Futures Contracts outstanding at March 31, 2021:
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 06/2021 | 67 | $7,343,200 | $(28,542) | ||||
MSCI Emerging Markets | 06/2021 | 45 | 2,975,625 | (30,291) | ||||
S&P 500® E-Mini | 06/2021 | 83 | 16,464,710 | 153,588 | ||||
10-Year U.S. Treasury Note | 06/2021 | 12 | 1,571,250 | (31,644) | ||||
U.S. Treasury Long Bond | 06/2021 | 13 | 2,009,719 | (78,421) | ||||
5-Year U.S. Treasury Note | 06/2021 | 24 | 2,961,562 | (34,165) | ||||
Total Futures Contracts outstanding at March 31, 2021 | $33,326,066 | $(49,475) |
For the Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at December 31, 2020, see Notes to Financial Statements in the Fund’s Annual Report.
AGGRESSIVE ALLOCATION FUND
Futures Contracts outstanding at March 31, 2021:
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index | 06/2021 | 77 | $8,439,200 | $(35,215) | ||||
MSCI Emerging Markets E-Mini | 06/2021 | 56 | 3,703,000 | (39,131) | ||||
S&P 500® E-Mini | 06/2021 | 92 | 18,250,040 | 161,497 | ||||
Total Futures Contracts outstanding at March 31, 2021 | $30,392,240 | $87,151 |
For the Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at December 31, 2020, see Notes to Financial Statements in the Fund’s Annual Report.
11
LOW-DURATION BOND FUND
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
13
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
15
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
17
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
19
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
21
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
23
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
25
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
27
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
29
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
31
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
33
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
35
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
37
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Number of Contracts | Notional Amount | Value | |||
G2SF 2.00% expiration date 05/2021, Strike Price $100.05, Expires 05/13/21 (JPM) | (1) | $(5,102,391) | $(53,787) | ||
(146,236) | |||||
Total Written Options (Premiums received $ (90,348)) | (154,283) | ||||
Liabilities in Excess of Other Assets — (1.2)% | (13,253,479) | ||||
NET ASSETS — 100.0% | $1,064,566,649 |
Futures Contracts outstanding at March 31, 2021:
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Euro-Bund | 06/2021 | (1) | $(200,860) | $8 | ||||
Euro-Schatz | 06/2021 | (5) | (657,298) | 37 | ||||
Euro-Bobl | 06/2021 | (45) | (7,128,374) | (1,289) | ||||
10-Year U.S. Treasury Note | 06/2021 | (103) | (13,486,563) | 239,446 | ||||
Ultra Long U.S. Treasury Bond | 06/2021 | (9) | (1,630,969) | 70,584 | ||||
2-Year U.S. Treasury Note | 06/2021 | 2,027 | 447,412,742 | (344,575) | ||||
5-Year U.S. Treasury Note | 06/2021 | (786) | (96,991,172) | 959,779 | ||||
Ultra 10-Year U.S. Treasury Note | 06/2021 | (140) | (20,116,250) | 421,117 | ||||
90-Day Bank Acceptance | 12/2022 | 70 | 13,784,018 | (53,152) | ||||
90-Day Bank Acceptance | 03/2023 | 216 | 42,451,898 | (228,511) | ||||
Total Futures Contracts outstanding at March 31, 2021 | $363,437,172 | $1,063,444 |
39
Forward Foreign Currency Contracts outstanding at March 31, 2021:
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
04/07/21 | U.S. Dollars | 18,862,020 | British Pounds | 13,367,000 | UBS | $433,836 | ||||||
06/16/21 | U.S. Dollars | 26,316,748 | Euro | 22,086,000 | BNP | 373,412 | ||||||
06/16/21 | U.S. Dollars | 5,270,354 | Euro | 4,356,372 | WEST | 153,138 | ||||||
06/22/21 | U.S. Dollars | 5,940,991 | Euro | 4,980,000 | HSBC | 90,473 | ||||||
04/07/21 | U.S. Dollars | 3,393,671 | Japanese Yen | 370,100,000 | BNP | 50,902 | ||||||
04/07/21 | U.S. Dollars | 7,063,265 | Canadian Dollars | 8,813,152 | BNP | 50,229 | ||||||
04/07/21 | U.S. Dollars | 3,456,616 | Euro | 2,906,000 | MSCS | 48,255 | ||||||
06/16/21 | Mexican Pesos | 17,431,188 | Euro | 680,000 | BAR | 46,775 | ||||||
04/07/21 | British Pounds | 16,304,000 | U.S. Dollars | 22,431,449 | JPM | 45,779 | ||||||
04/07/21 | U.S. Dollars | 1,974,180 | Australian Dollars | 2,548,000 | UBS | 38,769 | ||||||
04/07/21 | U.S. Dollars | 1,573,381 | Australian Dollars | 2,031,000 | GSC | 30,673 | ||||||
04/07/21 | U.S. Dollars | 5,058,022 | Japanese Yen | 557,532,161 | MSCS | 22,354 | ||||||
05/04/21 | U.S. Dollars | 4,271,304 | Australian Dollars | 5,599,000 | GSC | 17,803 | ||||||
04/07/21 | Canadian Dollars | 7,946,648 | U.S. Dollars | 6,307,998 | GSC | 15,521 | ||||||
04/07/21 | U.S. Dollars | 787,689 | Australian Dollars | 1,020,000 | MSCS | 12,917 | ||||||
06/22/21 | U.S. Dollars | 2,022,961 | Canadian Dollars | 2,526,000 | HSBC | 12,717 | ||||||
04/07/21 | U.S. Dollars | 1,726,907 | Euro | 1,464,000 | CS | 9,824 | ||||||
04/07/21 | Canadian Dollars | 3,261,504 | U.S. Dollars | 2,585,897 | BNP | 9,434 | ||||||
06/16/21 | U.S. Dollars | 372,100 | Australian Dollars | 480,000 | BAR | 7,396 | ||||||
05/07/21 | U.S. Dollars | 5,061,896 | Japanese Yen | 559,500,000 | MSCS | 6,917 | ||||||
06/16/21 | Australian Dollars | 1,100,000 | New Zealand Dollars | 1,190,537 | JPM | 4,470 | ||||||
06/16/21 | U.S. Dollars | 306,237 | Canadian Dollars | 382,000 | CITI | 2,236 | ||||||
05/04/21 | U.S. Dollars | 5,130,584 | Euro | 4,370,000 | JPM | 2,235 | ||||||
06/16/21 | New Zealand Dollars | 1,199,468 | Australian Dollars | 1,100,000 | JPM | 1,766 | ||||||
06/16/21 | New Zealand Dollars | 1,210,017 | Australian Dollars | 1,110,000 | BOA | 1,534 | ||||||
06/16/21 | U.S. Dollars | 80,168 | Euro | 67,000 | BAR | 1,467 | ||||||
04/07/21 | U.S. Dollars | 2,223,633 | British Pounds | 1,612,000 | GSC | 1,277 | ||||||
Subtotal Appreciation | $1,492,109 | |||||||||||
04/07/21 | U.S. Dollars | 212,276 | Canadian Dollars | 269,000 | MSCS | $(1,780) | ||||||
06/16/21 | Australian Dollars | 1,110,000 | New Zealand Dollars | 1,210,710 | MSCS | (2,019) | ||||||
04/07/21 | Euro | 4,370,000 | U.S. Dollars | 5,127,689 | JPM | (2,245) | ||||||
04/07/21 | Japanese Yen | 48,400,000 | U.S. Dollars | 443,991 | BNP | (6,838) | ||||||
04/07/21 | U.S. Dollars | 1,818,651 | British Pounds | 1,325,000 | BNP | (8,037) | ||||||
05/04/21 | U.S. Dollars | 2,586,013 | Canadian Dollars | 3,261,504 | BNP | (9,447) | ||||||
04/07/21 | U.S. Dollars | 1,676,513 | Canadian Dollars | 2,126,000 | BNP | (15,244) | ||||||
05/04/21 | U.S. Dollars | 6,308,313 | Canadian Dollars | 7,946,648 | GSC | (15,522) | ||||||
04/01/21 | U.S. Dollars | 2,371,036 | Canadian Dollars | 3,000,000 | CITI | (16,169) | ||||||
04/07/21 | Australian Dollars | 5,599,000 | U.S. Dollars | 4,270,811 | GSC | (17,921) | ||||||
05/07/21 | Japanese Yen | 557,532,161 | U.S. Dollars | 5,059,512 | MSCS | (22,311) | ||||||
06/16/21 | Euro | 680,000 | Mexican Pesos | 16,933,496 | CITI | (22,633) | ||||||
06/16/21 | Euro | 1,791,000 | U.S. Dollars | 2,140,708 | CITI | (36,909) | ||||||
05/05/21 | U.S. Dollars | 22,433,601 | British Pounds | 16,304,000 | JPM | (45,675) | ||||||
06/16/21 | Euro | 7,871,000 | U.S. Dollars | 9,409,198 | UBS | (163,522) | ||||||
04/07/21 | Japanese Yen | 879,232,161 | U.S. Dollars | 8,287,739 | MSCS | (346,454) | ||||||
Subtotal Depreciation | $(732,726) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at March 31, 2021 | $759,383 |
LOW-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Swap Agreements outstanding at March 31, 2021:
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Credit Default Swaps on Sovereign Issuers—Buy Protection | ||||||||||||||||
Peoples Republic of China, 7.5% due 10/28/27 (Pay Quarterly) | (1.00)% | 6/20/2024 | MS | USD | 1,600,000 | $(43,621) | $(35,993) | $(7,628) | ||||||||
$(43,621) | $(35,993) | $(7,628) |
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
Centrally Cleared Credit Default Swaps on Credit Indexes—Buy Protection | ||||||||||||||
Markit CDX.NA.IG.32 Index (Pay Quarterly) | (1.00)% | 6/20/2024 | USD | 10,100,000 | $(183,309) | $(198,363) | $15,054 | |||||||
Markit CDX.NA.IG.33 Index (Pay Quarterly) | (1.00)% | 12/20/2024 | USD | 27,050,000 | (501,493) | (698,526) | 197,033 | |||||||
Subtotal Appreciation | $(684,802) | $(896,889) | $212,087 | |||||||||||
Markit CDX.NA.IG.35 Index (Pay Quarterly) | (1.00)% | 12/20/2025 | USD | 3,300,000 | $(79,805) | $(76,309) | $(3,496) | |||||||
Markit CDX.NA.IG.36 Index (Pay Quarterly) | (1.00)% | 6/20/2026 | USD | 5,200,000 | (123,030) | (112,537) | (10,493) | |||||||
Subtotal Depreciation | $(202,835) | $(188,846) | $(13,989) | |||||||||||
Net Centrally Cleared Credit Default Swaps on Credit Indexes—Buy Protection outstanding at March 31, 2021 | $(887,637) | $(1,085,735) | $198,098 |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
Centrally Cleared Interest Rate Swaps | ||||||||||||||
1-Month LIBOR + .0975% (Quarterly) | 3-Month LIBOR (Quarterly) | 1/13/2023 | USD | 14,200,000 | $(4,179) | $— | $(4,179) | |||||||
1-Month LIBOR + .098% (Quarterly) | 3-Month LIBOR (Quarterly) | 1/13/2023 | USD | 10,800,000 | (3,230) | — | (3,230) | |||||||
$(7,409) | $ — | $(7,409) |
For the Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at December 31, 2020, see Notes to Financial Statements in the Fund’s Annual Report.
41
MEDIUM-DURATION BOND FUND
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
43
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
45
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
47
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
49
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
51
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
53
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
55
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
57
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
59
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
61
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
63
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
65
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
67
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
69
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
71
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
73
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
75
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
77
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
79
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
81
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
83
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
85
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Futures Contracts outstanding at March 31, 2021:
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Euro-Bund | 06/2021 | (188) | $(37,761,691) | $(120,889) | ||||
Euro-OAT | 06/2021 | 42 | 7,976,588 | 2,765 | ||||
10-Year Japanese Treasury Bond | 06/2021 | (9) | (12,286,656) | (7,386) | ||||
90-Day Eurodollar | 06/2021 | (679) | (169,452,937) | (257,872) | ||||
10-Year Commonwealth Treasury Bond | 06/2021 | 80 | 8,392,380 | (59,571) | ||||
10-Year U.S. Treasury Note | 06/2021 | 682 | 89,299,375 | (1,853,256) | ||||
U.S. Treasury Long Bond | 06/2021 | (351) | (54,262,406) | 2,016,783 | ||||
Ultra Long U.S. Treasury Bond | 06/2021 | 457 | 82,816,969 | (3,455,928) | ||||
Long GILT | 06/2021 | (66) | (11,609,109) | 134,843 | ||||
2-Year U.S. Treasury Note | 06/2021 | 1,000 | 220,726,562 | (77,520) | ||||
30-Year Euro Buxl | 06/2021 | (19) | (4,590,839) | 15,283 | ||||
5-Year U.S. Treasury Note | 06/2021 | 967 | 119,326,289 | (1,456,670) | ||||
Ultra 10-Year U.S. Treasury Note | 06/2021 | (17) | (2,442,688) | 23,109 | ||||
90-Day Eurodollar | 12/2021 | (918) | (228,891,825) | (301,011) | ||||
90-Day Eurodollar | 09/2023 | 37 | 9,154,725 | (10,400) | ||||
90-Day Eurodollar | 12/2023 | 1,142 | 282,059,725 | (567,014) | ||||
Total Futures Contracts outstanding at March 31, 2021 | $298,454,462 | $(5,974,734) |
87
Forward Foreign Currency Contracts outstanding at March 31, 2021:
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
04/19/21 | U.S. Dollars | 20,570,116 | Euro | 16,824,071 | GSC | $832,750 | ||||||
04/07/21 | U.S. Dollars | 28,452,371 | British Pounds | 20,156,000 | UBS | 664,649 | ||||||
06/28/21 | U.S. Dollars | 32,451,093 | Japanese Yen | 3,530,000,000 | BAR | 542,664 | ||||||
04/06/21 | U.S. Dollars | 7,426,020 | Euro | 6,113,000 | BNP | 256,413 | ||||||
05/24/21 | U.S. Dollars | 4,763,275 | Japanese Yen | 500,000,000 | BNP | 245,265 | ||||||
06/16/21 | U.S. Dollars | 4,656,686 | Swedish Kronor | 39,578,219 | SS | 121,583 | ||||||
06/16/21 | U.S. Dollars | 3,129,646 | New Zealand Dollars | 4,367,628 | CITI | 79,879 | ||||||
04/05/21 | U.S. Dollars | 4,282,197 | Brazilian Reals | 23,710,527 | DEUT | 70,977 | ||||||
04/07/21 | U.S. Dollars | 2,004,278 | Euro | 1,655,000 | HSBC | 63,178 | ||||||
04/07/21 | British Pounds | 22,122,000 | U.S. Dollars | 30,435,998 | JPM | 62,116 | ||||||
05/20/21 | U.S. Dollars | 6,608,978 | British Pounds | 4,748,907 | SS | 61,121 | ||||||
04/09/21 | U.S. Dollars | 1,347,055 | Euro | 1,109,648 | UBS | 45,528 | ||||||
06/16/21 | U.S. Dollars | 3,172,143 | Australian Dollars | 4,118,554 | JPM | 42,862 | ||||||
05/10/21 | U.S. Dollars | 1,919,618 | Peruvian Nuevo Soles | 7,052,465 | HSBC | 35,879 | ||||||
06/16/21 | U.S. Dollars | 3,705,256 | Norwegian Kroner | 31,410,384 | BOA | 33,033 | ||||||
04/07/21 | U.S. Dollars | 1,763,351 | Euro | 1,477,000 | BAR | 31,022 | ||||||
04/07/21 | U.S. Dollars | 2,739,352 | British Pounds | 1,966,000 | RBS | 28,960 | ||||||
04/09/21 | U.S. Dollars | 859,864 | Euro | 708,524 | BOA | 28,823 | ||||||
01/31/22 | U.S. Dollars | 2,219,614 | Israeli Shekels | 7,282,000 | HSBC | 28,718 | ||||||
04/19/21 | Canadian Dollars | 3,995,065 | U.S. Dollars | 3,153,209 | CITI | 25,931 | ||||||
04/09/21 | U.S. Dollars | 1,071,336 | Euro | 893,206 | SS | 23,677 | ||||||
06/23/21 | U.S. Dollars | 713,429 | Peruvian Nuevo Soles | 2,604,516 | HSBC | 17,949 | ||||||
06/14/21 | U.S. Dollars | 1,248,000 | Peruvian Nuevo Soles | 4,609,488 | HSBC | 17,096 | ||||||
06/16/21 | U.S. Dollars | 548,202 | Swedish Kronor | 4,650,767 | UBS | 15,290 | ||||||
05/04/21 | U.S. Dollars | 7,188,724 | Euro | 6,113,000 | BNP | 14,902 | ||||||
06/16/21 | U.S. Dollars | 824,975 | Euro | 691,000 | CITI | 13,291 | ||||||
05/17/21 | U.S. Dollars | 305,670 | Japanese Yen | 32,400,000 | UBS | 12,919 | ||||||
06/16/21 | U.S. Dollars | 420,419 | Japanese Yen | 45,268,809 | UBS | 11,276 | ||||||
08/04/21 | U.S. Dollars | 426,000 | Peruvian Nuevo Soles | 1,573,218 | BNP | 6,005 | ||||||
04/19/21 | U.S. Dollars | 454,924 | Chinese Offshore Yuan | 2,958,374 | CITI | 4,947 | ||||||
04/19/21 | U.S. Dollars | 574,642 | Australian Dollars | 750,000 | CITI | 4,918 | ||||||
05/17/21 | Chilean Pesos | 1,891,114,500 | U.S. Dollars | 2,621,087 | HSBC | 4,668 | ||||||
05/20/21 | British Pounds | 496,000 | U.S. Dollars | 680,109 | CITI | 3,782 | ||||||
05/20/21 | British Pounds | 325,932 | U.S. Dollars | 446,974 | JPM | 2,426 | ||||||
06/21/21 | U.S. Dollars | 174,000 | Peruvian Nuevo Soles | 645,453 | HSBC | 1,645 | ||||||
06/16/21 | Canadian Dollars | 364,981 | U.S. Dollars | 289,573 | UBS | 884 | ||||||
06/16/21 | U.S. Dollars | 397,294 | New Zealand Dollars | 568,000 | DEUT | 679 | ||||||
06/16/21 | Norwegian Kroner | 1,669,695 | U.S. Dollars | 194,739 | BOA | 466 | ||||||
Subtotal Appreciation | $3,458,171 | |||||||||||
06/01/21 | U.S. Dollars | 1,990,177 | Australian Dollars | 2,619,602 | CITI | $(81) | ||||||
06/16/21 | U.S. Dollars | 206,112 | New Zealand Dollars | 296,000 | CITI | (575) | ||||||
06/01/21 | U.S. Dollars | 408,682 | Canadian Dollars | 515,436 | CITI | (1,498) | ||||||
06/16/21 | British Pounds | 164,080 | U.S. Dollars | 229,741 | JPM | (3,485) | ||||||
04/19/21 | U.S. Dollars | 255,788 | British Pounds | 188,429 | CITI | (3,997) | ||||||
06/16/21 | Euro | 171,000 | U.S. Dollars | 206,438 | CITI | (5,573) | ||||||
04/09/21 | Euro | 724,287 | U.S. Dollars | 855,577 | JPM | (6,047) | ||||||
06/16/21 | Australian Dollars | 529,000 | U.S. Dollars | 411,890 | SS | (9,955) | ||||||
06/16/21 | Australian Dollars | 593,000 | U.S. Dollars | 461,772 | UBS | (11,210) | ||||||
06/16/21 | New Zealand Dollars | 522,439 | U.S. Dollars | 376,720 | UBS | (11,919) | ||||||
04/07/21 | U.S. Dollars | 1,918,078 | Canadian Dollars | 2,429,000 | HSBC | (14,791) | ||||||
04/19/21 | Brazilian Reals | 3,660,000 | U.S. Dollars | 675,601 | GSC | (26,090) | ||||||
06/16/21 | U.S. Dollars | 3,755,758 | Canadian Dollars | 4,753,858 | DEUT | (27,426) | ||||||
04/19/21 | Euro | 680,000 | U.S. Dollars | 825,765 | GSC | (28,014) | ||||||
04/19/21 | Russian Rubles | 185,108,744 | U.S. Dollars | 2,475,448 | GSC | (32,252) |
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
06/01/21 | Australian Dollars | 3,410,543 | U.S. Dollars | 2,628,645 | SS | $(37,465) | ||||||
04/19/21 | Russian Rubles | 327,095,958 | U.S. Dollars | 4,360,810 | CITI | (43,565) | ||||||
04/19/21 | Euro | 1,330,000 | U.S. Dollars | 1,610,868 | CITI | (50,562) | ||||||
04/19/21 | Australian Dollars | 2,961,180 | U.S. Dollars | 2,310,466 | CITI | (61,058) | ||||||
05/05/21 | U.S. Dollars | 30,438,918 | British Pounds | 22,122,000 | JPM | (61,974) | ||||||
06/16/21 | Japanese Yen | 437,575,002 | U.S. Dollars | 4,026,050 | CITI | (71,217) | ||||||
04/19/21 | Mexican Pesos | 95,453,689 | U.S. Dollars | 4,731,776 | CITI | (71,322) | ||||||
05/04/21 | Brazilian Reals | 23,710,527 | U.S. Dollars | 4,276,771 | DEUT | (73,098) | ||||||
04/19/21 | Brazilian Reals | 11,584,857 | U.S. Dollars | 2,167,922 | CITI | (112,051) | ||||||
06/16/21 | Euro | 6,793,906 | U.S. Dollars | 8,094,803 | RBC | (114,337) | ||||||
04/19/21 | Indonesian Rupiahs | 56,877,253,622 | U.S. Dollars | 4,048,099 | CITI | (150,073) | ||||||
04/05/21 | Brazilian Reals | 23,710,527 | U.S. Dollars | 4,363,767 | GSC | (152,547) | ||||||
04/19/21 | Japanese Yen | 917,179,528 | U.S. Dollars | 8,891,070 | CITI | (605,964) | ||||||
Subtotal Depreciation | $(1,788,146) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at March 31, 2021 | $1,670,025 |
Swap Agreements outstanding at March 31, 2021:
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Credit Default Swaps on Sovereign Issuers—Buy Protection | ||||||||||||||||
Peoples Republic of China, 7.50% due 10/28/27 (Pay Quarterly) | (1.00)% | 6/20/2021 | JPM | USD | 30,000 | $(71) | $(252) | $181 | ||||||||
Peoples Republic of China, 7.50% due 10/28/27 (Pay Quarterly) | (1.00)% | 6/20/2022 | JPM | USD | 170,000 | (1,978) | (2,226) | 248 | ||||||||
Peoples Republic of China, 7.50% due 10/28/27 (Pay Quarterly) | (1.00)% | 6/20/2022 | CITI | USD | 70,000 | (814) | (1,226) | 412 | ||||||||
Subtotal Appreciation | $(2,863) | $(3,704) | $841 | |||||||||||||
Peoples Republic of China, 7.50% due 10/28/27 (Pay Quarterly) | (1.00)% | 6/20/2021 | CITI | USD | 920,000 | $(2,178) | $6,695 | $(8,873) | ||||||||
Peoples Republic of China, 7.50% due 10/28/27 (Pay Quarterly) | (1.00)% | 6/20/2021 | BOA | USD | 460,000 | (1,089) | 5,499 | (6,588) | ||||||||
Peoples Republic of China, 7.50% due 10/28/27 (Pay Quarterly) | (1.00)% | 6/20/2021 | DEUT | USD | 360,000 | (851) | 2,602 | (3,453) | ||||||||
Peoples Republic of China, 7.50% due 10/28/27 (Pay Quarterly) | (1.00)% | 6/20/2021 | JPM | USD | 290,000 | (687) | 1,476 | (2,163) | ||||||||
Peoples Republic of China, 7.50% due 10/28/27 (Pay Quarterly) | (1.00)% | 12/20/2021 | DEUT | USD | 430,000 | (3,023) | 1,639 | (4,662) | ||||||||
Peoples Republic of China, 7.50% due 10/28/27 (Pay Quarterly) | (1.00)% | 6/20/2022 | JPM | USD | 460,000 | (5,352) | (4,609) | (743) | ||||||||
Subtotal Depreciation | $(13,180) | $13,302 | $(26,482) | |||||||||||||
Net Credit Default Swaps on Sovereign Issuers—Buy Protection outstanding at March 31, 2021 | $(16,043) | $9,598 | $(25,641) |
89
Reference Obligation | Implied Credit Spread | Fixed Deal Receive Rate | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Credit Default Swaps on Corporate and Sovereign Issuers—Sell Protection | ||||||||||||||||
General Electric Co., 2.70% due 10/9/22 (Receive Quarterly) | 0.46% | 1.00% | 12/20/2023 | USD | 600,000 | $8,950 | $(25,420) | $34,370 | ||||||||
General Electric Co., 2.70% due 10/9/22 (Receive Quarterly) | 0.51% | 1.00% | 6/20/2024 | USD | 2,150,000 | 34,332 | (34,866) | 69,198 | ||||||||
Prudential Financial, Inc., 3.50% due 5/15/24 (Receive Quarterly) | 0.35% | 1.00% | 6/20/2024 | USD | 1,075,000 | 22,776 | 18,590 | 4,186 | ||||||||
Republic of Indonesia, 5.88% due 3/13/20 (Receive Quarterly) | 0.51% | 1.00% | 6/20/2024 | USD | 3,470,000 | 55,859 | 4,023 | 51,836 | ||||||||
General Electric Co., 2.70% due 10/9/22 (Receive Quarterly) | 0.61% | 1.00% | 12/20/2024 | USD | 600,000 | 8,783 | (9,660) | 18,443 | ||||||||
Rolls-Royce Holdings PLC 2.13% due 6/18/21 (Receive Quarterly) | 2.52% | 1.00% | 6/20/2025 | EUR | 1,700,000 | (121,396) | (263,901) | 142,505 | ||||||||
General Electric Co., 2.70% due 10/9/22 (Receive Quarterly) | 0.85% | 1.00% | 6/20/2026 | USD | 1,800,000 | 13,759 | 7,234 | 6,525 | ||||||||
British Telecommunications, 5.75% due 12/7/28 (Receive Quarterly) | 1.04% | 1.00% | 6/20/2028 | EUR | 1,800,000 | (5,420) | (10,409) | 4,989 | ||||||||
Subtotal Appreciation | $17,643 | $(314,409) | $332,052 | |||||||||||||
Republic of Colombia, 10.38% due 1/28/33 (Receive Quarterly) | 0.84% | 1.00% | 6/20/2024 | USD | 1,000,000 | $5,261 | $5,985 | $(724) | ||||||||
The Boeing Co., 8.75% due 8/15/21 (Receive Quarterly) | 0.77% | 1.00% | 6/20/2024 | USD | 475,000 | 3,644 | 11,979 | (8,335) | ||||||||
Republic of Peru, 8.75% due 11/21/33 (Receive Quarterly) | 0.59% | 1.00% | 12/20/2024 | USD | 1,000,000 | 15,358 | 21,212 | (5,854) | ||||||||
Russian Federation, 7.50% due 3/31/30 (Receive Quarterly) | 0.85% | 1.00% | 12/20/2024 | USD | 1,950,000 | 11,514 | 33,333 | (21,819) | ||||||||
Subtotal Depreciation | $35,777 | $72,509 | $(36,732) | |||||||||||||
Net Centrally Cleared Credit Default Swaps on Corporate and Sovereign Issuers—Sell Protection outstanding at March 31, 2021 | $53,420 | $(241,900) | $295,320 |
Reference Obligation | Implied Credit Spread | Fixed Deal Receive Rate | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Credit Default Swaps on Credit Indexes—Sell Protection | ||||||||||||||||
Markit CDX.NA.IG.34 Index (Receive Quarterly) | 0.32% | 1.00% | 6/20/2023 | USD | 7,550,000 | $116,863 | $98,308 | $18,555 | ||||||||
Markit CDX.NA.IG.34 Index (Receive Quarterly) | 0.57% | 1.00% | 6/20/2025 | USD | 29,723,000 | 543,532 | 286,050 | 257,482 | ||||||||
iTraxx Europe & Crossover Series 35 (Receive Quarterly) | 2.24% | 5.00% | 12/20/2025 | EUR | 887,994 | 128,785 | 120,263 | 8,522 | ||||||||
Markit CDX.NA.HY.35 Index (Receive Quarterly) | 2.88% | 5.00% | 12/20/2025 | USD | 450,000 | 41,457 | 33,835 | 7,622 | ||||||||
iTraxx Europe & Crossover Series 35 (Receive Quarterly) | 2.53% | 5.00% | 6/20/2026 | EUR | 4,200,000 | 591,208 | 546,530 | 44,678 | ||||||||
Markit CDX.NA.HY.36 Index (Receive Quarterly) | 3.08% | 5.00% | 6/20/2026 | USD | 430,000 | 38,972 | 36,583 | 2,389 | ||||||||
Markit CDX.NA.IG.36 Index (Receive Quarterly) | 0.54% | 1.00% | 6/20/2026 | USD | 55,940,000 | 1,323,522 | 1,224,431 | 99,091 | ||||||||
$2,784,339 | $2,346,000 | $438,339 |
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Interest Rate Swaps | ||||||||||||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 7.02% (Upon termination) | 1/4/2027 | CITI | BRL | 15,744,747 | $(97,675) | $10,600 | $(108,275) | ||||||||
$(97,675) | $10,600 | $(108,275) |
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
Centrally Cleared Interest Rate Swaps | ||||||||||||||
2.85% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/3/2022 | BRL | 12,735,575 | $24,549 | $(83) | $24,632 | |||||||
2.86% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/3/2022 | BRL | 22,364,363 | 43,090 | (495) | 43,585 | |||||||
3-Month LIBOR (Quarterly) | 0.19% (Semiannually) | 6/15/2022 | USD | 21,256,000 | 3,949 | (96) | 4,045 | |||||||
5.80% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2023 | BRL | 10,262,470 | 13,297 | 11,958 | 1,339 | |||||||
3-Month ASX BBSW (Quarterly) | 0.19% (Quarterly) | 2/22/2023 | AUD | 159,920,000 | (45,938) | (55,639) | 9,701 | |||||||
3-Month CDOR (Semiannually) | 0.80% (Semiannually) | 2/28/2023 | CAD | 137,610,000 | 102,229 | 19,338 | 82,891 | |||||||
3-Month CDOR (Semiannually) | 0.75% (Semiannually) | 3/1/2023 | CAD | 113,070,000 | 34,639 | (31,561) | 66,200 | |||||||
0.28% (Semiannually) | 3-Month LIBOR (Quarterly) | 3/3/2023 | USD | 88,220,000 | 50,585 | 18,237 | 32,348 | |||||||
4.70% (Lunar) | 28-Day Mexico Interbank TIIE (Lunar) | 6/14/2023 | MXN | 12,600,000 | 6,563 | 6,415 | 148 | |||||||
6-Month EURIBOR (Semiannually) | (0.50)% (Annually) | 6/16/2023 | EUR | 3,320,000 | (1,012) | (3,137) | 2,125 | |||||||
1- Day SOFR + 0.24% (Quarterly) | 3-Month LIBOR (Quarterly) | 11/10/2024 | USD | 24,810,000 | 3,770 | 23 | 3,747 | |||||||
6.32% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2025 | BRL | 8,111,868 | 71,745 | 19,709 | 52,036 | |||||||
1.55% (Semiannually) | 6-Month ASX BBSW (Semiannually) | 2/23/2026 | AUD | 14,730,000 | 22,316 | 11,031 | 11,285 | |||||||
1.60% (Semiannually) | 3-Month LIBOR (Quarterly) | 3/11/2026 | USD | 11,100,000 | 53,423 | 23,528 | 29,895 | |||||||
(0.50)% (Annually) | 1-Day ESTR (Annually) | 6/16/2026 | EUR | 8,950,000 | 37,774 | 26,789 | 10,985 | |||||||
0.50% (Semiannually) | 3-Month LIBOR (Quarterly) | 6/16/2026 | USD | 80,000 | 2,498 | 1,809 | 689 | |||||||
3 MONTH SEK STIBOR (Quarterly) | 0.50% (Annually) | 6/16/2026 | SEK | 133,600,000 | 106,746 | 101,118 | 5,628 | |||||||
3-Month JIBAR (Quarterly) | 6.25% (Quarterly) | 6/17/2026 | ZAR | 10,840,000 | 1,622 | 735 | 887 | |||||||
0.26% (Annually) | 1-Day US Federal Fund Effective Rate (Annually) | 5/15/2027 | USD | 13,194,000 | 647,892 | (42,548) | 690,440 | |||||||
0.78% (Semiannually) | 3-Month LIBOR (Quarterly) | 11/15/2027 | USD | 9,184,000 | 364,047 | 22,994 | 341,053 | |||||||
1.25% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/15/2028 | USD | 12,141,000 | 183,214 | 19,593 | 163,621 | |||||||
1.35% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/15/2028 | USD | 20,478,000 | 177,165 | 92,812 | 84,353 | |||||||
(0.50)% (Annually) | 1-Day ESTR (Annually) | 6/16/2028 | EUR | 6,580,000 | 121,109 | 110,111 | 10,998 | |||||||
1.00% (Semiannually) | 3-Month CDOR (Semiannually) | 6/16/2028 | CAD | 4,970,000 | 220,983 | 173,390 | 47,593 | |||||||
28-Day Mexico Interbank TIIE (Lunar) | 7.45% (Lunar) | 7/18/2029 | MXN | 165,770,000 | 460,473 | 68,836 | 391,637 | |||||||
0.25% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/19/2030 | JPY | 272,930,000 | (3,341) | (8,779) | 5,438 | |||||||
0.25% (Annually) | 6-Month EURIBOR (Semiannually) | 6/18/2030 | EUR | 7,680,000 | 39,574 | (74,006) | 113,580 | |||||||
0.75% (Annually) | 3-Month STIBOR (Quarterly) | 6/18/2030 | SEK | 10,980,000 | 25,099 | (535) | 25,634 | |||||||
1.24% (Annually) | 6-Month NIBOR (Semiannually) | 10/29/2030 | NOK | 57,990,000 | 311,790 | 188,373 | 123,417 | |||||||
0.50% (Semiannually) | 6-Month LIBOR (Semiannually) | 1/26/2031 | GBP | 10,120,000 | 620,596 | 326,356 | 294,240 | |||||||
1.50% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/2/2031 | USD | 1,920,000 | 91,676 | 52,405 | 39,271 | |||||||
1.00% (Semiannually) | 6-Month LIBOR (Semiannually) | 2/10/2031 | GBP | 7,120,000 | 204,440 | 74,670 | 129,770 | |||||||
6.40% (Lunar) | 28-Day Mexico Interbank TIIE (Lunar) | 6/4/2031 | MXN | 38,055,000 | 72,765 | 6,350 | 66,415 | |||||||
0.25% (Annually) | 1-Day SONIA (Annually) | 6/16/2031 | GBP | 16,700,000 | 1,300,622 | 1,133,056 | 167,566 |
91
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
2.00% (Annually) | 6-Month NIBOR (Semiannually) | 6/16/2031 | NOK | 20,160,000 | $(24,052) | $(35,492) | $11,440 | |||||||
0.75% (Annually) | 1-Day SONIA (Annually) | 9/15/2031 | GBP | 6,200,000 | 95,410 | (5,183) | 100,593 | |||||||
1.10% (Annually) | 1-Day SONIA (Annually) | 2/17/2036 | GBP | 5,870,000 | 63,181 | 10,991 | 52,190 | |||||||
2.43% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/25/2036 | USD | 10,010,000 | 105,112 | 11,873 | 93,239 | |||||||
2.50% (Semiannually) | 3-Month LIBOR (Quarterly) | 3/10/2036 | USD | 12,570,000 | 96,148 | 70,479 | 25,669 | |||||||
0.26% (Annually) | 6-Month EURIBOR (Semiannually) | 5/21/2040 | EUR | 16,100,000 | 1,135,256 | 328,386 | 806,870 | |||||||
2.75% (Semiannually) | 6-Month ASX BBSW (Semiannually) | 2/24/2041 | AUD | 4,540,000 | 67,568 | 16,511 | 51,057 | |||||||
6-Month LIBOR (Semiannually) | 0.43% (Semiannually) | 3/19/2041 | JPY | 154,000,000 | 275 | — | 275 | |||||||
1.10% (Annually) | 1-Day SONIA (Annually) | 3/24/2041 | GBP | 4,530,000 | 58,697 | 38,357 | 20,340 | |||||||
0.25% (Annually) | 6-Month EURIBOR (Semiannually) | 6/16/2041 | EUR | 140,000 | 7,415 | 4,720 | 2,695 | |||||||
0.56% (Annually) | 1-Day SOFR (Annually) | 7/20/2045 | USD | 5,310,000 | 1,410,247 | 70,079 | 1,340,168 | |||||||
0.74% (Annually) | 1-Day SOFR (Annually) | 8/19/2045 | USD | 3,610,000 | 828,854 | — | 828,854 | |||||||
0.80% (Semiannually) | 3-Month LIBOR (Quarterly) | 11/15/2045 | USD | 1,668,000 | 465,837 | 76,382 | 389,455 | |||||||
1.00% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/15/2047 | USD | 8,077,000 | 2,030,601 | 97,887 | 1,932,714 | |||||||
1.20% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/15/2047 | USD | 1,621,000 | 339,904 | 8,929 | 330,975 | |||||||
1.23% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/15/2047 | USD | 905,000 | 185,048 | 1,039 | 184,009 | |||||||
1.60% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/15/2047 | USD | 1,769,000 | 226,115 | 9,710 | 216,405 | |||||||
2.00% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/15/2047 | USD | 7,396,000 | 365,753 | (174,963) | 540,716 | |||||||
0.90% (Semiannually) | 3-Month LIBOR (Quarterly) | 3/17/2050 | USD | 2,110,000 | 629,297 | (64) | 629,361 | |||||||
1.20% (Semiannually) | 3-Month LIBOR (Quarterly) | 10/7/2050 | USD | 1,114,000 | 255,151 | (487) | 255,638 | |||||||
0.54% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/15/2051 | JPY | 138,000,000 | 10,972 | (3,301) | 14,273 | |||||||
0.56% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/15/2051 | JPY | 222,000,000 | 6,856 | (712) | 7,568 | |||||||
0.35% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/17/2051 | JPY | 111,000,000 | 62,458 | 60,944 | 1,514 | |||||||
2.00% (Semiannually) | 3-Month LIBOR (Quarterly) | 6/3/2051 | USD | 1,164,000 | 64,529 | 10,952 | 53,577 | |||||||
0.00% (Annually) | 6-Month EURIBOR (Semiannually) | 6/16/2051 | EUR | 490,000 | 81,722 | 73,923 | 7,799 | |||||||
0.50% (Annually) | 1-Day SONIA (Annually) | 6/16/2051 | GBP | 8,500,000 | 1,473,712 | 399,655 | 1,074,057 | |||||||
0.50% (Semiannually) | 6-Month LIBOR (Semiannually) | 6/16/2051 | JPY | 194,560,000 | 37,866 | 32,584 | 5,282 | |||||||
Subtotal Appreciation | $15,449,881 | $3,395,956 | $12,053,925 | |||||||||||
0.25% (Annually) | 3-Month WIBOR (Quarterly) | 12/16/2021 | PLN | 18,510,000 | $(3,374) | $(950) | $(2,424) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 3.36% (Upon termination) | 1/3/2022 | BRL | 286,224,050 | (134,583) | 102,156 | (236,739) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 3.35% (Upon termination) | 1/3/2022 | BRL | 94,028,297 | (113,772) | 287 | (114,059) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 3.70% (Upon termination) | 1/3/2022 | BRL | 88,138,258 | (82,486) | (17,065) | (65,421) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 3.98% (Upon termination) | 1/3/2022 | BRL | 31,092,652 | (20,062) | — | (20,062) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 3.39% (Upon termination) | 1/3/2022 | BRL | 14,546,447 | (19,011) | — | (19,011) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 4.12% (Upon termination) | 1/3/2022 | BRL | 5,804,074 | 15,415 | 25,213 | (9,798) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 4.23% (Upon termination) | 1/2/2023 | BRL | 3,551,131 | (15,889) | (1,045) | (14,844) | |||||||
1.00% (Quarterly) | 3-Month KWCDC (Quarterly) | 6/16/2023 | KRW | 11,437,470,000 | 28,858 | 38,218 | (9,360) | |||||||
2.75% (Quarterly) | 7-Day CFETS Repo Rate (Quarterly) | 6/16/2023 | CNY | 3,560,000 | (1,575) | (180) | (1,395) | |||||||
6-Month WIBOR (Semiannually) | 0.35% (Annually) | 6/16/2023 | PLN | 1,570,000 | (1,983) | 208 | (2,191) | |||||||
3-Month CDOR (Semiannually) | 0.70% (Semiannually) | 11/18/2023 | CAD | 31,750,000 | (107,973) | 23,929 | (131,902) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 4.93% (Upon termination) | 1/2/2024 | BRL | 2,302,419 | (17,569) | 598 | (18,167) | |||||||
3-Month ASX BBSW (Quarterly) | 0.50% (Quarterly) | 1/25/2024 | AUD | 78,660,000 | (70,775) | 115,341 | (186,116) | |||||||
3-Month ASX BBSW (Quarterly) | 0.50% (Quarterly) | 2/24/2024 | AUD | 25,930,000 | 19,915 | 64,091 | (44,176) | |||||||
6-Month LIBOR (Semiannually) | 0.10% (Semiannually) | 3/20/2024 | JPY | 800,000,000 | 26,842 | 42,931 | (16,089) |
MEDIUM-DURATION BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
1-Month LIBOR + 0.09% (Quarterly) | 3-Month LIBOR (Quarterly) | 7/25/2024 | USD | 41,780,000 | $7,904 | $14,038 | $(6,134) | |||||||
6-Month WIBOR (Semiannually) | 0.75% (Annually) | 12/16/2025 | PLN | 3,720,000 | (19,134) | (794) | (18,340) | |||||||
3-Month LIBOR (Quarterly) | 1.10% (Semiannually) | 12/18/2025 | USD | 39,304,000 | (349,683) | — | (349,683) | |||||||
28-Day Mexico Interbank TIIE (Lunar) | 5.55% (Lunar) | 6/10/2026 | MXN | 650,000 | (880) | — | (880) | |||||||
(0.25)% (Annually) | 6-Month EURIBOR (Semiannually) | 6/16/2026 | EUR | 1,460,000 | (3,506) | (3,045) | (461) | |||||||
1-Day SONIA (Annually) | 0.00% (Annually) | 6/16/2026 | GBP | 24,930,000 | (849,805) | (794,443) | (55,362) | |||||||
6-Month NIBOR (Semiannually) | 1.50% (Annually) | 6/16/2026 | NOK | 34,590,000 | (3,191) | (2,999) | (192) | |||||||
6-Month ASX BBSW (Semiannually) | 0.75% (Semiannually) | 6/16/2028 | AUD | 5,290,000 | (194,142) | (179,596) | (14,546) | |||||||
6-Month LIBOR (Semiannually) | (0.25)% (Annually) | 6/16/2028 | CHF | 7,880,000 | (32,552) | (3,720) | (28,832) | |||||||
6-Month ASX BBSW (Semiannually) | 1.75% (Semiannually) | 3/19/2030 | AUD | 6,540,000 | (202,921) | (37,252) | (165,669) | |||||||
6-Month EURIBOR (Semiannually) | 0.05% (Annually) | 5/21/2030 | EUR | 30,520,000 | (500,706) | 69,713 | (570,419) | |||||||
6-Month ASX BBSW (Semiannually) | 1.24% (Semiannually) | 10/28/2030 | AUD | 6,930,000 | (368,886) | (185,542) | (183,344) | |||||||
6-Month ASX BBSW (Semiannually) | 1.71% (Semiannually) | 1/21/2031 | AUD | 16,190,000 | (625,616) | (219,333) | (406,283) | |||||||
6-Month ASX BBSW (Semiannually) | 1.50% (Semiannually) | 2/2/2031 | AUD | 2,400,000 | (110,330) | (66,294) | (44,036) | |||||||
6-Month EURIBOR (Semiannually) | 0.50% (Annually) | 2/12/2031 | EUR | 9,490,000 | 36,430 | 137,656 | (101,226) | |||||||
1-Day SONIA (Annually) | 0.90% (Annually) | 2/17/2031 | GBP | 5,100,000 | (87,770) | (16,298) | (71,472) | |||||||
6-Month ASX BBSW (Semiannually) | 2.50% (Semiannually) | 2/24/2031 | AUD | 14,400,000 | (179,787) | (102,176) | (77,611) | |||||||
3-Month LIBOR (Quarterly) | 2.21% (Semiannually) | 2/25/2031 | USD | 8,140,000 | (129,101) | (24,435) | (104,666) | |||||||
3-Month LIBOR (Quarterly) | 2.38% (Semiannually) | 3/9/2031 | USD | 15,950,000 | (133,851) | (84,714) | (49,137) | |||||||
1-Day SONIA (Annually) | 1.05% (Annually) | 3/24/2031 | GBP | 7,070,000 | (55,502) | (33,154) | (22,348) | |||||||
3-Month CDOR (Semiannually) | 1.25% (Semiannually) | 6/16/2031 | CAD | 2,650,000 | (175,423) | (161,839) | (13,584) | |||||||
6-Month ASX BBSW (Semiannually) | 1.00% (Semiannually) | 6/16/2031 | AUD | 3,840,000 | (248,248) | (233,504) | (14,744) | |||||||
6-Month LIBOR (Semiannually) | 0.04% (Semiannually) | 3/10/2038 | JPY | 344,000,000 | (168,377) | — | (168,377) | |||||||
0.75% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/20/2038 | JPY | 1,090,200,000 | (642,579) | 22,808 | (665,387) | |||||||
6-Month LIBOR (Semiannually) | 0.41% (Semiannually) | 3/25/2041 | JPY | 27,000,000 | (928) | — | (928) | |||||||
0.57% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/19/2051 | JPY | 106,000,000 | (556) | — | (556) | |||||||
Subtotal Depreciation | $(5,537,162) | $(1,511,191) | $(4,025,971) | |||||||||||
Net Centrally Cleared Interest Rate Swaps outstanding at March 31, 2021 | $9,912,719 | $1,884,765 | $8,027,954 |
For the Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at December 31, 2020, see Notes to Financial Statements in the Fund’s Annual Report.
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SCHEDULE OF INVESTMENTS (Continued)
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Futures Contracts outstanding at March 31, 2021:
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Euro-Bund | 06/2021 | 7 | $1,406,020 | $(5,630) | ||||
Euro-Schatz | 06/2021 | 113 | 14,854,943 | 1,458 | ||||
Euro-Bobl | 06/2021 | (20) | (3,168,166) | (1,267) | ||||
10-Year Japanese E-Mini | 06/2021 | 163 | 22,221,585 | (388) | ||||
10-Year Commonwealth Treasury Bond | 06/2021 | 39 | 4,091,285 | (32,123) | ||||
10-Year Bond | 06/2021 | 16 | 1,766,786 | (44,299) | ||||
10-Year U.S. Treasury Note | 06/2021 | (15) | (1,964,063) | 49,571 | ||||
U.S. Treasury Long Bond | 06/2021 | (28) | (4,328,625) | 171,858 | ||||
Ultra Long U.S. Treasury Bond | 06/2021 | (37) | (6,705,094) | 334,830 | ||||
Long GILT | 06/2021 | 76 | 13,368,065 | (129,769) | ||||
2-Year U.S. Treasury Note | 06/2021 | 311 | 68,645,961 | (65,656) | ||||
30-Year Euro Buxl | 06/2021 | 14 | 3,382,724 | (33,137) | ||||
5-Year U.S. Treasury Note | 06/2021 | (339) | (41,832,070) | 419,004 | ||||
Ultra 10-Year U.S. Treasury Note | 06/2021 | (139) | (19,972,563) | 689,514 | ||||
90-Day Eurodollar | 12/2021 | (146) | (36,403,275) | 12,775 | ||||
90-Day Eurodollar | 12/2023 | 146 | 36,060,175 | (204,400) | ||||
Total Futures Contracts outstanding at March 31, 2021 | $51,423,688 | $1,162,341 |
GLOBAL BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Forward Foreign Currency Contracts outstanding at March 31, 2021:
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
04/20/21 | U.S. Dollars | 145,255,934 | Euro | 119,652,426 | SS | $4,881,297 | ||||||
04/20/21 | U.S. Dollars | 15,559,202 | Japanese Yen | 1,622,397,372 | SS | 903,532 | ||||||
04/20/21 | U.S. Dollars | 18,278,223 | Swiss Francs | 16,526,744 | SC | 782,874 | ||||||
04/19/21 | U.S. Dollars | 14,989,320 | Japanese Yen | 1,577,871,000 | CITI | 736,026 | ||||||
04/20/21 | U.S. Dollars | 14,040,911 | Euro | 11,566,780 | CITI | 470,919 | ||||||
04/20/21 | U.S. Dollars | 13,535,269 | Euro | 11,167,527 | SC | 433,677 | ||||||
04/20/21 | U.S. Dollars | 6,314,279 | Swiss Francs | 5,612,131 | RBC | 373,231 | ||||||
04/20/21 | U.S. Dollars | 12,358,521 | New Zealand Dollars | 17,174,619 | SC | 364,226 | ||||||
04/20/21 | U.S. Dollars | 7,294,915 | Swedish Kronor | 60,893,412 | SC | 321,176 | ||||||
04/19/21 | U.S. Dollars | 9,690,174 | Euro | 7,990,000 | CITI | 316,607 | ||||||
04/20/21 | U.S. Dollars | 12,525,801 | Australian Dollars | 16,190,567 | SC | 226,853 | ||||||
04/20/21 | Canadian Dollars | 24,307,146 | U.S. Dollars | 19,158,359 | SC | 184,506 | ||||||
04/20/21 | U.S. Dollars | 4,949,867 | Euro | 4,073,743 | RBC | 170,606 | ||||||
04/20/21 | U.S. Dollars | 3,855,587 | Japanese Yen | 409,244,691 | SC | 158,740 | ||||||
04/19/21 | U.S. Dollars | 4,261,794 | Indonesian Rupiahs | 59,878,206,000 | CITI | 158,101 | ||||||
04/19/21 | Canadian Dollars | 9,608,964 | U.S. Dollars | 7,500,202 | CITI | 146,294 | ||||||
04/20/21 | U.S. Dollars | 2,367,589 | Brazilian Reals | 12,588,163 | SC | 133,802 | ||||||
04/20/21 | U.S. Dollars | 1,560,826 | Turkish Lira | 11,970,755 | RBC | 133,131 | ||||||
04/19/21 | British Pounds | 1,750,000 | Euro | 1,944,088 | CITI | 131,974 | ||||||
04/20/21 | British Pounds | 9,242,383 | U.S. Dollars | 12,611,777 | SC | 130,637 | ||||||
04/20/21 | U.S. Dollars | 2,287,901 | Polish Zloty | 8,596,631 | SS | 112,392 | ||||||
04/20/21 | U.S. Dollars | 3,542,803 | Swiss Francs | 3,255,398 | SS | 96,613 | ||||||
04/20/21 | U.S. Dollars | 3,381,607 | New Zealand Dollars | 4,706,346 | CITI | 94,820 | ||||||
04/19/21 | U.S. Dollars | 3,205,063 | Australian Dollars | 4,106,365 | CITI | 85,735 | ||||||
04/20/21 | U.S. Dollars | 3,107,500 | Australian Dollars | 4,006,989 | RBC | 63,644 | ||||||
04/20/21 | U.S. Dollars | 2,592,283 | Australian Dollars | 3,329,131 | SS | 63,353 | ||||||
04/20/21 | U.S. Dollars | 2,779,987 | British Pounds | 1,982,700 | SC | 46,452 | ||||||
04/20/21 | U.S. Dollars | 712,672 | Brazilian Reals | 3,771,032 | CITI | 43,498 | ||||||
04/19/21 | Indian Rupees | 301,423,535 | U.S. Dollars | 4,068,343 | CITI | 38,483 | ||||||
04/20/21 | U.S. Dollars | 1,157,404 | Czech Republic Koruna | 24,952,799 | SC | 36,220 | ||||||
04/20/21 | U.S. Dollars | 749,813 | Hungarian Forint | 220,756,197 | SC | 35,163 | ||||||
04/20/21 | U.S. Dollars | 383,381 | Turkish Lira | 2,935,933 | SS | 33,226 | ||||||
04/19/21 | U.S. Dollars | 909,300 | Euro | 750,000 | GSC | 29,428 | ||||||
04/20/21 | U.S. Dollars | 1,855,248 | British Pounds | 1,326,639 | SS | 26,220 | ||||||
04/20/21 | U.S. Dollars | 6,002,096 | Norwegian Kroner | 51,118,126 | SS | 25,500 | ||||||
04/20/21 | U.S. Dollars | 2,823,831 | Norwegian Kroner | 23,942,389 | SC | 24,550 | ||||||
04/20/21 | South African Rand | 11,639,916 | U.S. Dollars | 762,872 | SC | 23,591 | ||||||
04/20/21 | U.S. Dollars | 1,103,915 | Russian Rubles | 81,873,879 | CITI | 23,400 | ||||||
04/20/21 | U.S. Dollars | 810,166 | South Korean Won | 888,704,795 | RBC | 23,038 | ||||||
04/20/21 | U.S. Dollars | 388,659 | Swiss Francs | 345,623 | CITI | 22,779 | ||||||
04/20/21 | U.S. Dollars | 687,227 | Hungarian Forint | 205,379,216 | CITI | 22,357 | ||||||
04/20/21 | U.S. Dollars | 831,368 | New Zealand Dollars | 1,158,813 | SS | 22,083 | ||||||
04/19/21 | Euro | 799,188 | Polish Zloty | 3,620,000 | CITI | 21,484 | ||||||
04/20/21 | U.S. Dollars | 756,924 | South Korean Won | 830,799,569 | CITI | 21,082 | ||||||
04/20/21 | Chilean Pesos | 580,284,121 | U.S. Dollars | 788,162 | RBC | 17,414 | ||||||
04/19/21 | British Pounds | 819,249 | U.S. Dollars | 1,112,109 | CITI | 17,380 | ||||||
04/20/21 | U.S. Dollars | 741,274 | Mexican Pesos | 14,845,042 | SC | 16,554 | ||||||
04/20/21 | U.S. Dollars | 2,344,757 | Canadian Dollars | 2,926,496 | SC | 15,944 | ||||||
04/20/21 | British Pounds | 990,460 | U.S. Dollars | 1,350,917 | SS | 14,623 | ||||||
04/20/21 | U.S. Dollars | 371,669 | New Zealand Dollars | 516,418 | RBC | 11,017 | ||||||
04/20/21 | Canadian Dollars | 1,973,559 | U.S. Dollars | 1,560,731 | CITI | 9,765 | ||||||
04/20/21 | U.S. Dollars | 351,796 | South Korean Won | 386,247,149 | SS | 9,696 | ||||||
04/20/21 | U.S. Dollars | 415,114 | Mexican Pesos | 8,317,078 | SS | 9,083 | ||||||
04/20/21 | U.S. Dollars | 778,048 | Swedish Kronor | 6,723,736 | SS | 8,021 | ||||||
04/20/21 | U.S. Dollars | 164,045 | Swedish Kronor | 1,365,893 | RBC | 7,618 |
113
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
04/20/21 | Canadian Dollars | 989,066 | U.S. Dollars | 780,510 | SS | $6,558 | ||||||
04/20/21 | U.S. Dollars | 1,168,301 | Norwegian Kroner | 9,944,433 | CITI | 5,625 | ||||||
04/20/21 | U.S. Dollars | 1,130,641 | Swiss Francs | 1,062,973 | UBS | 5,369 | ||||||
04/20/21 | U.S. Dollars | 631,060 | Chinese Offshore Yuan | 4,111,104 | SC | 5,358 | ||||||
04/20/21 | U.S. Dollars | 216,870 | South Korean Won | 239,243,138 | SC | 4,971 | ||||||
04/20/21 | Norwegian Kroner | 8,501,705 | U.S. Dollars | 990,955 | SS | 3,042 | ||||||
04/20/21 | Brazilian Reals | 849,722 | U.S. Dollars | 147,778 | RBC | 3,007 | ||||||
04/19/21 | Australian Dollars | 5,070,000 | U.S. Dollars | 3,848,657 | CITI | 2,679 | ||||||
04/20/21 | Russian Rubles | 25,255,682 | U.S. Dollars | 330,764 | SC | 2,542 | ||||||
04/20/21 | U.S. Dollars | 95,233 | Euro | 79,115 | UBS | 2,416 | ||||||
04/20/21 | U.S. Dollars | 151,816 | Australian Dollars | 197,393 | CITI | 1,869 | ||||||
04/20/21 | Brazilian Reals | 526,687 | U.S. Dollars | 91,797 | SS | 1,664 | ||||||
04/20/21 | Norwegian Kroner | 4,364,584 | U.S. Dollars | 508,714 | SC | 1,582 | ||||||
04/20/21 | U.S. Dollars | 72,929 | Russian Rubles | 5,419,414 | SS | 1,407 | ||||||
04/20/21 | U.S. Dollars | 75,063 | Brazilian Reals | 415,211 | SS | 1,383 | ||||||
04/20/21 | South Korean Won | 1,191,707,483 | U.S. Dollars | 1,054,131 | SC | 1,368 | ||||||
04/20/21 | British Pounds | 64,346 | U.S. Dollars | 87,435 | CITI | 1,278 | ||||||
04/19/21 | U.S. Dollars | 75,365 | Mexican Pesos | 1,520,000 | CITI | 1,152 | ||||||
04/20/21 | Japanese Yen | 164,914,451 | U.S. Dollars | 1,488,658 | SC | 1,070 | ||||||
04/20/21 | Euro | 1,391,496 | U.S. Dollars | 1,631,863 | SC | 622 | ||||||
04/20/21 | Norwegian Kroner | 1,063,324 | U.S. Dollars | 123,785 | CITI | 536 | ||||||
04/20/21 | Polish Zloty | 938,535 | U.S. Dollars | 237,058 | RBC | 453 | ||||||
04/20/21 | Hungarian Forint | 36,669,187 | U.S. Dollars | 118,353 | RBC | 355 | ||||||
04/20/21 | British Pounds | 42,233 | Euro | 49,355 | SC | 325 | ||||||
04/20/21 | Czech Republic Koruna | 2,300,343 | U.S. Dollars | 103,177 | RBC | 182 | ||||||
04/19/21 | U.S. Dollars | 7,369 | Mexican Pesos | 147,393 | GSC | 173 | ||||||
04/20/21 | Swedish Kronor | 8,617,292 | U.S. Dollars | 986,717 | SC | 167 | ||||||
04/20/21 | U.S. Dollars | 1,788 | Polish Zloty | 6,694 | SC | 94 | ||||||
04/20/21 | South African Rand | 1,403 | U.S. Dollars | 91 | RBC | 3 | ||||||
04/20/21 | U.S. Dollars | 10 | Czech Republic Koruna | 207 | RBC | — | ||||||
04/20/21 | Chilean Pesos | 1,696 | U.S. Dollars | 2 | SC | — | ||||||
Subtotal Appreciation | $12,387,685 | |||||||||||
04/20/21 | U.S. Dollars | 72,379 | Australian Dollars | 95,465 | SS | $(140) | ||||||
04/20/21 | U.S. Dollars | 797,349 | Norwegian Kroner | 6,824,394 | RBC | (541) | ||||||
04/20/21 | British Pounds | 79,308 | U.S. Dollars | 110,257 | CITI | (915) | ||||||
04/20/21 | British Pounds | 70,289 | U.S. Dollars | 98,022 | SS | (1,115) | ||||||
04/19/21 | Russian Rubles | 17,710,000 | U.S. Dollars | 235,252 | GSC | (1,503) | ||||||
04/20/21 | U.S. Dollars | 813,295 | Norwegian Kroner | 6,975,668 | SS | (2,282) | ||||||
04/20/21 | U.S. Dollars | 1,039,961 | Norwegian Kroner | 8,916,706 | UBS | (2,557) | ||||||
04/20/21 | Euro | 65,276 | U.S. Dollars | 79,144 | RBC | (2,563) | ||||||
04/20/21 | New Zealand Dollars | 158,176 | U.S. Dollars | 114,629 | CITI | (4,163) | ||||||
04/20/21 | Polish Zloty | 278,280 | U.S. Dollars | 74,721 | SC | (4,298) | ||||||
04/20/21 | Czech Republic Koruna | 24,007,997 | U.S. Dollars | 1,083,169 | SC | (4,436) | ||||||
04/20/21 | Polish Zloty | 388,709 | U.S. Dollars | 103,827 | CITI | (5,459) | ||||||
04/20/21 | Norwegian Kroner | 6,080,053 | U.S. Dollars | 716,671 | SS | (5,808) | ||||||
04/20/21 | British Pounds | 239,017 | U.S. Dollars | 335,524 | SC | (5,992) | ||||||
04/20/21 | South Korean Won | 244,738,350 | U.S. Dollars | 222,994 | SC | (6,229) | ||||||
04/19/21 | Russian Rubles | 88,010,000 | U.S. Dollars | 1,168,080 | CITI | (6,462) | ||||||
04/20/21 | U.S. Dollars | 734,009 | Norwegian Kroner | 6,335,625 | SC | (6,736) | ||||||
04/20/21 | Canadian Dollars | 939,719 | U.S. Dollars | 754,582 | SC | (6,783) | ||||||
04/20/21 | U.S. Dollars | 740,328 | Canadian Dollars | 938,880 | RBC | (6,803) | ||||||
04/20/21 | Brazilian Reals | 899,627 | U.S. Dollars | 166,866 | SC | (7,226) | ||||||
04/20/21 | Brazilian Reals | 613,414 | U.S. Dollars | 116,089 | RBC | (7,238) | ||||||
04/20/21 | U.S. Dollars | 822,415 | Canadian Dollars | 1,042,921 | CITI | (7,509) | ||||||
04/20/21 | U.S. Dollars | 689,671 | British Pounds | 505,735 | CITI | (7,583) |
GLOBAL BOND FUND
SCHEDULE OF INVESTMENTS (Continued)
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
04/20/21 | South Korean Won | 404,988,438 | U.S. Dollars | 367,597 | CITI | $(8,897) | ||||||
04/20/21 | U.S. Dollars | 701,918 | South African Rand | 10,538,726 | SS | (10,141) | ||||||
04/20/21 | Mexican Pesos | 11,128,938 | U.S. Dollars | 553,742 | RBC | (10,438) | ||||||
04/20/21 | Chinese Offshore Yuan | 8,667,963 | U.S. Dollars | 1,332,801 | SS | (13,554) | ||||||
04/19/21 | U.S. Dollars | 2,441,742 | South African Rand | 36,380,000 | CITI | (16,647) | ||||||
04/20/21 | U.S. Dollars | 1,298,182 | Brazilian Reals | 7,413,916 | SC | (17,426) | ||||||
04/20/21 | U.S. Dollars | 787,907 | Chilean Pesos | 580,293,801 | CITI | (17,681) | ||||||
04/20/21 | U.S. Dollars | 1,640,230 | British Pounds | 1,202,559 | RBC | (17,730) | ||||||
04/19/21 | U.S. Dollars | 3,157,895 | Turkish Lira | 26,610,000 | GSC | (18,202) | ||||||
04/20/21 | Norwegian Kroner | 25,425,188 | U.S. Dollars | 2,991,434 | CITI | (18,788) | ||||||
04/20/21 | Mexican Pesos | 17,585,373 | U.S. Dollars | 878,197 | CITI | (19,698) | ||||||
04/20/21 | U.S. Dollars | 3,186,609 | British Pounds | 2,326,095 | SC | (20,363) | ||||||
04/20/21 | Czech Republic Koruna | 16,304,593 | U.S. Dollars | 754,163 | CITI | (21,561) | ||||||
04/20/21 | Australian Dollars | 1,832,066 | U.S. Dollars | 1,420,940 | CITI | (29,236) | ||||||
04/20/21 | Russian Rubles | 107,901,511 | U.S. Dollars | 1,454,370 | SS | (30,362) | ||||||
04/19/21 | Brazilian Reals | 4,260,000 | U.S. Dollars | 786,355 | GSC | (30,367) | ||||||
04/20/21 | Norwegian Kroner | 50,448,383 | U.S. Dollars | 5,931,684 | RBC | (33,393) | ||||||
04/20/21 | Hungarian Forint | 255,179,573 | U.S. Dollars | 861,184 | SC | (35,096) | ||||||
04/20/21 | Norwegian Kroner | 46,609,667 | U.S. Dollars | 5,486,167 | SC | (36,687) | ||||||
04/20/21 | Polish Zloty | 2,767,551 | U.S. Dollars | 740,174 | RBC | (39,803) | ||||||
04/20/21 | Russian Rubles | 168,225,969 | U.S. Dollars | 2,261,313 | SC | (41,187) | ||||||
04/20/21 | Swedish Kronor | 7,650,791 | U.S. Dollars | 918,104 | SS | (41,907) | ||||||
04/20/21 | Hungarian Forint | 350,737,359 | U.S. Dollars | 1,180,596 | SS | (45,161) | ||||||
04/20/21 | U.S. Dollars | 5,644,851 | Canadian Dollars | 7,152,271 | SC | (46,701) | ||||||
04/20/21 | Euro | 2,161,996 | U.S. Dollars | 2,592,093 | UBS | (55,668) | ||||||
04/20/21 | Australian Dollars | 6,277,920 | U.S. Dollars | 4,836,894 | SC | (67,955) | ||||||
04/20/21 | Japanese Yen | 155,318,506 | U.S. Dollars | 1,492,941 | CITI | (89,896) | ||||||
04/20/21 | Swedish Kronor | 24,414,094 | U.S. Dollars | 2,895,416 | SC | (99,423) | ||||||
04/20/21 | Polish Zloty | 7,500,008 | U.S. Dollars | 2,002,910 | SS | (104,918) | ||||||
04/20/21 | Swedish Kronor | 19,553,172 | U.S. Dollars | 2,348,405 | CITI | (109,103) | ||||||
04/20/21 | Swiss Francs | 1,657,433 | U.S. Dollars | 1,863,821 | CITI | (109,250) | ||||||
04/20/21 | U.S. Dollars | 10,967,141 | Canadian Dollars | 13,923,247 | SS | (112,541) | ||||||
04/20/21 | Japanese Yen | 448,642,224 | U.S. Dollars | 4,173,530 | SS | (120,792) | ||||||
04/19/21 | Brazilian Reals | 12,732,000 | U.S. Dollars | 2,383,912 | CITI | (124,466) | ||||||
04/20/21 | Euro | 3,457,364 | U.S. Dollars | 4,186,035 | CITI | (129,901) | ||||||
04/20/21 | U.S. Dollars | 12,784,821 | British Pounds | 9,371,539 | SS | (135,659) | ||||||
04/20/21 | Australian Dollars | 9,374,096 | U.S. Dollars | 7,257,032 | SS | (136,125) | ||||||
04/20/21 | Brazilian Reals | 12,823,221 | U.S. Dollars | 2,423,408 | CITI | (147,910) | ||||||
04/19/21 | Indonesian Rupiahs | 59,878,206,000 | U.S. Dollars | 4,252,109 | CITI | (148,417) | ||||||
04/20/21 | Turkish Lira | 14,854,631 | U.S. Dollars | 1,933,852 | SS | (162,210) | ||||||
04/20/21 | Brazilian Reals | 16,423,741 | U.S. Dollars | 3,102,637 | SS | (188,221) | ||||||
04/20/21 | New Zealand Dollars | 11,096,118 | U.S. Dollars | 7,961,559 | SC | (212,325) | ||||||
04/20/21 | Swiss Francs | 4,735,377 | U.S. Dollars | 5,225,361 | SC | (212,452) | ||||||
04/20/21 | New Zealand Dollars | 11,369,250 | U.S. Dollars | 8,171,515 | SS | (231,534) | ||||||
04/19/21 | Euro | 10,800,000 | U.S. Dollars | 13,043,296 | CITI | (373,143) | ||||||
04/20/21 | Japanese Yen | 742,299,892 | U.S. Dollars | 7,138,137 | RBC | (432,689) | ||||||
04/19/21 | Turkish Lira | 26,610,000 | U.S. Dollars | 3,647,135 | GSC | (471,039) | ||||||
04/20/21 | Swiss Francs | 9,155,557 | U.S. Dollars | 10,226,929 | SS | (534,783) | ||||||
04/20/21 | Euro | 21,160,525 | U.S. Dollars | 25,657,304 | SS | (832,059) | ||||||
04/20/21 | Japanese Yen | 1,620,135,673 | U.S. Dollars | 15,525,923 | SC | (890,683) | ||||||
04/19/21 | Euro | 33,161,940 | U.S. Dollars | 40,774,134 | GSC | (1,869,794) | ||||||
04/20/21 | Euro | 82,401,441 | U.S. Dollars | 99,971,463 | SC | (3,299,187) | ||||||
04/19/21 | Japanese Yen | 5,500,502,000 | U.S. Dollars | 53,355,825 | CITI | (3,668,449) | ||||||
Subtotal Depreciation | $(15,795,959) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at March 31, 2021 | $(3,408,274) |
115
Swap Agreements outstanding at March 31, 2021:
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
Centrally Cleared Credit Default Swaps on Credit Indexes—Buy Protection | ||||||||||||||
iTraxx Europe & Crossover Series 35 (Pay Quarterly) | (5.00)% | 12/20/2025 | EUR | 10,723,021 | $(1,555,146) | $(1,506,009) | $(49,137) | |||||||
$(1,555,146) | $(1,506,009) | $(49,137) |
For the Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at December 31, 2020, see Notes to Financial Statements in the Fund’s Annual Report.
DEFENSIVE MARKET STRATEGIES® FUND
117
DEFENSIVE MARKET STRATEGIES® FUND
SCHEDULE OF INVESTMENTS (Continued)
119
DEFENSIVE MARKET STRATEGIES® FUND
SCHEDULE OF INVESTMENTS (Continued)
121
DEFENSIVE MARKET STRATEGIES® FUND
SCHEDULE OF INVESTMENTS (Continued)
123
DEFENSIVE MARKET STRATEGIES® FUND
SCHEDULE OF INVESTMENTS (Continued)
125
DEFENSIVE MARKET STRATEGIES® FUND
SCHEDULE OF INVESTMENTS (Continued)
Number of Contracts | Notional Amount | Value | |||
S&P 500®, Strike Price $3,915.00, Expires 04/07/21 (MSCS)††† | (50) | $(19,864,450) | $(50,250) | ||
Wal-Mart Stores, Inc., Strike Price $124.00, Expires 04/16/21 (MSCS) | (7) | (95,081) | (77) | ||
(420,492) | |||||
Total Written Options (Premiums received $(936,418)) | (551,480) | ||||
Liabilities in Excess of Other Assets — (1.6)% | (21,152,673) | ||||
NET ASSETS — 100.0% | $1,361,190,081 |
Forward Foreign Currency Contracts outstanding at March 31, 2021:
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
06/30/21 | U.S. Dollars | 15,507,685 | Euro | 12,974,558 | CS | $262,495 | ||||||
06/30/21 | U.S. Dollars | 16,205,710 | Swiss Francs | 15,038,737 | MSCS | 253,941 | ||||||
06/30/21 | U.S. Dollars | 1,842,698 | Japanese Yen | 200,802,510 | BOA | 27,561 | ||||||
Subtotal Appreciation | $543,997 | |||||||||||
06/30/21 | Japanese Yen | 11,972,700 | U.S. Dollars | 110,093 | BOA | $(1,867) | ||||||
Subtotal Depreciation | $(1,867) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at March 31, 2021 | $542,130 |
For the Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at December 31, 2020, see Notes to Financial Statements in the Fund’s Annual Report.
127
GLOBAL IMPACT FUND
GLOBAL IMPACT FUND
SCHEDULE OF INVESTMENTS (Continued)
129
Futures Contracts outstanding at March 31, 2021:
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Canadian Dollar | 06/2021 | 6 | $477,420 | $2,626 | ||||
MSCI EAFE Index E-Mini | 06/2021 | 46 | 5,041,600 | (12,987) | ||||
MSCI Emerging Markets E-Mini | 06/2021 | 37 | 2,446,625 | (21,347) | ||||
S&P/TSX 60 Index | 06/2021 | 3 | 530,485 | (985) | ||||
Total Futures Contracts outstanding at March 31, 2021 | $8,496,130 | $(32,693) |
There was no Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at December 31, 2020, as the Fund did not launch until January 29, 2021.
EQUITY INDEX FUND
131
EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (Continued)
133
EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (Continued)
135
Futures Contracts outstanding at March 31, 2021:
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 06/2021 | 230 | $45,625,100 | $442,382 |
For the Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at December 31, 2020, see Notes to Financial Statements in the Fund’s Annual Report.
VALUE EQUITY FUND
137
Futures Contracts outstanding at March 31, 2021:
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 06/2021 | 195 | $38,682,150 | $421,666 |
VALUE EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Forward Foreign Currency Contracts outstanding at March 31, 2021:
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
06/30/21 | U.S. Dollars | 18,176,635 | Euro | 15,207,545 | CS | $307,672 | ||||||
06/30/21 | U.S. Dollars | 16,641,488 | Swiss Francs | 15,443,134 | MSCS | 260,769 | ||||||
06/30/21 | U.S. Dollars | 16,030,209 | British Pounds | 11,504,797 | JPM | 165,052 | ||||||
Subtotal Appreciation | $733,493 | |||||||||||
06/30/21 | U.S. Dollars | 428,421 | Euro | 364,846 | CS | $(275) | ||||||
06/30/21 | Swiss Francs | 337,404 | U.S. Dollars | 360,317 | MSCS | (2,428) | ||||||
Subtotal Depreciation | $(2,703) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at March 31, 2021 | $730,790 |
For the Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at December 31, 2020, see Notes to Financial Statements in the Fund’s Annual Report.
139
GROWTH EQUITY FUND
GROWTH EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Futures Contracts outstanding at March 31, 2021:
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P 500® E-Mini | 06/2021 | 302 | $59,907,740 | $602,700 |
For the Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at December 31, 2020, see Notes to Financial Statements in the Fund’s Annual Report.
141
SMALL CAP EQUITY FUND
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
143
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
145
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
147
SMALL CAP EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
149
Futures Contracts outstanding at March 31, 2021:
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
CME Russell 2000 Index E-Mini | 06/2021 | 301 | $33,448,625 | $(1,439,635) |
For the Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at December 31, 2020, see Notes to Financial Statements in the Fund’s Annual Report.
INTERNATIONAL EQUITY INDEX FUND
151
INTERNATIONAL EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (Continued)
153
INTERNATIONAL EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (Continued)
155
INTERNATIONAL EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (Continued)
157
INTERNATIONAL EQUITY INDEX FUND
SCHEDULE OF INVESTMENTS (Continued)
Shares | Value | |||
Northern Institutional Liquid Assets Portfolio (Shares), 0.02%ا | 11,123,389 | $11,123,389 | ||
Total Money Market Funds (Cost $33,910,708) | 33,910,708 | |||
TOTAL INVESTMENTS — 100.2% (Cost $690,819,010) | 802,990,050 | |||
Liabilities in Excess of Other Assets — (0.2)% | (1,797,423) | |||
NET ASSETS — 100.0% | $801,192,627 |
Futures Contracts outstanding at March 31, 2021:
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
MSCI EAFE Index E-Mini | 06/2021 | 291 | $31,893,600 | $(97,156) |
For the Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at December 31, 2020, see Notes to Financial Statements in the Fund’s Annual Report.
159
INTERNATIONAL EQUITY FUND
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
161
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
163
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Futures Contracts outstanding at March 31, 2021:
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
AEX Index | 04/2021 | 46 | $7,542,910 | $136,470 | ||||
CAC40 10 Euro | 04/2021 | (132) | (9,389,950) | (54,592) | ||||
IBEX 35 Index | 04/2021 | (165) | (16,614,878) | 109,165 | ||||
OMXS30 Index | 04/2021 | (71) | (1,778,160) | (22,030) | ||||
Hang Seng Index | 04/2021 | 48 | 8,741,642 | 12,430 | ||||
MSCI Singapore Index | 04/2021 | 52 | 1,383,690 | 5,756 | ||||
Topix Index® | 06/2021 | 285 | 50,294,875 | 1,315,207 | ||||
ASX SPI 200 Index | 06/2021 | (70) | (8,993,452) | (26,723) | ||||
DAX Index | 06/2021 | 3 | 1,321,838 | 34,034 | ||||
FTSE 100 Index® | 06/2021 | (199) | (18,324,636) | 151,323 | ||||
FTSE/MIB Index | 06/2021 | 109 | 15,590,730 | 227,254 | ||||
MSCI EAFE Index | 06/2021 | 537 | 58,855,200 | (200,848) | ||||
S&P/TSX 60 Index | 06/2021 | (22) | (3,890,220) | 7,036 | ||||
Total Futures Contracts outstanding at March 31, 2021 | $84,739,589 | $1,694,482 |
165
Forward Foreign Currency Contracts outstanding at March 31, 2021:
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
06/16/21 | U.S. Dollars | 55,370,536 | New Zealand Dollars | 76,998,000 | CITI | $1,605,451 | ||||||
06/16/21 | U.S. Dollars | 37,972,038 | Swiss Francs | 34,346,000 | CITI | 1,554,918 | ||||||
06/16/21 | U.S. Dollars | 20,741,357 | Euro | 17,139,000 | CITI | 609,019 | ||||||
06/16/21 | U.S. Dollars | 20,175,063 | Australian Dollars | 25,901,000 | CITI | 495,457 | ||||||
06/16/21 | U.S. Dollars | 27,601,555 | Norwegian Kroner | 233,253,826 | CITI | 331,589 | ||||||
06/16/21 | U.S. Dollars | 20,456,615 | British Pounds | 14,684,000 | CITI | 208,333 | ||||||
06/16/21 | Canadian Dollars | 38,735,000 | U.S. Dollars | 30,671,335 | CITI | 154,497 | ||||||
06/16/21 | U.S. Dollars | 1,938,810 | Swiss Francs | 1,711,000 | NT | 124,634 | ||||||
06/16/21 | U.S. Dollars | 2,501,208 | Japanese Yen | 264,183,000 | CITI | 113,504 | ||||||
06/16/21 | U.S. Dollars | 11,265,648 | Canadian Dollars | 14,069,750 | CITI | 68,752 | ||||||
06/16/21 | U.S. Dollars | 924,019 | Danish Kroner | 5,720,000 | CITI | 21,027 | ||||||
06/16/21 | U.S. Dollars | 413,359 | Swedish Kronor | 3,470,000 | CITI | 15,745 | ||||||
06/16/21 | U.S. Dollars | 209,889 | Israeli Shekels | 690,000 | CITI | 3,264 | ||||||
06/16/21 | U.S. Dollars | 1,396,210 | Hong Kong Dollars | 10,833,000 | CITI | 2,482 | ||||||
06/16/21 | Norwegian Kroner | 11,867,000 | U.S. Dollars | 1,385,593 | CITI | 1,791 | ||||||
06/16/21 | U.S. Dollars | 49,424 | Singapore Dollars | 66,000 | CITI | 378 | ||||||
06/16/21 | Singapore Dollars | 148,000 | U.S. Dollars | 109,760 | CITI | 221 | ||||||
04/06/21 | U.S. Dollars | 58,387 | British Pounds | 42,304 | BBH | 65 | ||||||
04/07/21 | Hong Kong Dollars | 5,367,973 | U.S. Dollars | 690,472 | CITI | 36 | ||||||
04/06/21 | U.S. Dollars | 36,794 | British Pounds | 26,677 | NT | 17 | ||||||
06/16/21 | Hong Kong Dollars | 1,489,000 | U.S. Dollars | 191,560 | CITI | 8 | ||||||
04/07/21 | Hong Kong Dollars | 177,063 | U.S. Dollars | 22,776 | NT | 1 | ||||||
Subtotal Appreciation | $5,311,189 | |||||||||||
06/16/21 | U.S. Dollars | 23,004 | Singapore Dollars | 31,000 | CITI | $(32) | ||||||
06/16/21 | U.S. Dollars | 293,147 | Australian Dollars | 386,000 | CITI | (136) | ||||||
04/06/21 | Euro | 132,027 | U.S. Dollars | 155,141 | BBH | (293) | ||||||
04/06/21 | Euro | 163,192 | U.S. Dollars | 191,721 | NT | (323) | ||||||
04/06/21 | U.S. Dollars | 813,778 | Euro | 694,134 | NT | (334) | ||||||
06/16/21 | U.S. Dollars | 1,079,578 | Norwegian Kroner | 9,257,174 | CITI | (2,689) | ||||||
06/16/21 | Singapore Dollars | 1,429,000 | U.S. Dollars | 1,074,817 | CITI | (12,898) | ||||||
06/16/21 | Hong Kong Dollars | 75,086,987 | U.S. Dollars | 9,684,074 | CITI | (23,695) | ||||||
06/16/21 | Canadian Dollars | 6,362,000 | U.S. Dollars | 5,087,365 | CITI | (24,400) | ||||||
06/16/21 | Israeli Shekels | 5,413,000 | U.S. Dollars | 1,649,342 | CITI | (28,384) | ||||||
06/16/21 | Danish Kroner | 11,744,000 | U.S. Dollars | 1,902,448 | CITI | (48,472) | ||||||
06/16/21 | Swiss Francs | 6,976,000 | U.S. Dollars | 7,465,389 | CITI | (68,726) | ||||||
06/16/21 | Norwegian Kroner | 83,886,000 | U.S. Dollars | 9,896,287 | CITI | (89,079) | ||||||
06/16/21 | U.S. Dollars | 33,421,652 | Canadian Dollars | 42,209,250 | CITI | (169,034) | ||||||
06/16/21 | Swedish Kronor | 49,823,000 | U.S. Dollars | 5,966,125 | CITI | (257,117) | ||||||
06/16/21 | New Zealand Dollars | 15,776,000 | U.S. Dollars | 11,453,079 | CITI | (437,235) | ||||||
06/16/21 | Japanese Yen | 2,896,102,000 | U.S. Dollars | 26,830,808 | CITI | (655,640) | ||||||
06/16/21 | British Pounds | 40,655,000 | U.S. Dollars | 56,837,153 | CITI | (776,545) | ||||||
06/16/21 | Australian Dollars | 88,723,000 | U.S. Dollars | 69,477,168 | CITI | (2,065,342) | ||||||
06/16/21 | Euro | 63,716,000 | U.S. Dollars | 77,427,811 | CITI | (2,583,767) | ||||||
Subtotal Depreciation | $(7,244,141) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at March 31, 2021 | $(1,932,952) |
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Swap Agreements outstanding at March 31, 2021:
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Total Return Swaps | ||||||||||||||||
Decrease in total return of Hang Seng Index (At Termination) | Increase in total return of Hang Seng Index (At Termination) | 4/29/2021 | GSC | HKD | 69,374,200 | $57,301 | $— | $57,301 | ||||||||
Decrease in total return of Hang Seng Index (At Termination) | Increase in total return of Hang Seng Index (At Termination) | 4/29/2021 | JPM | HKD | 41,058,200 | 46,856 | — | 46,856 | ||||||||
Decrease in total return of Tel Aviv 35 Index (At Termination) | Increase in total return of Tel Aviv 35 Index (At Termination) | 4/30/2021 | CITI | ILS | 4,813,860 | 18,070 | — | 18,070 | ||||||||
Financing Index: 1-Month EURIBOR - 0.19% | MSCI Netherlands Net Return EUR Index (Monthly) | 6/16/2021 | GSC | EUR | 100,028 | 222 | — | 222 | ||||||||
Financing Index: 1-Month EURIBOR - 1.11% | MSCI Germany Net Return EUR Index (Monthly) | 6/16/2021 | GSC | EUR | 386,131 | 14,967 | — | 14,967 | ||||||||
Financing Index: 1-Month EURIBOR + 0.55% | MSCI Italy Net Return EUR Index (Monthly) | 6/16/2021 | GSC | EUR | 3,046,046 | 108,880 | — | 108,880 | ||||||||
Financing Index: 1-Month HIBOR - 0.20% | MSCI Hong Kong Net Return HKD Index (Monthly) | 6/16/2021 | GSC | HKD | 268,776 | 2,719 | — | 2,719 | ||||||||
Financing Index: 1-Month ICE LIBOR USD + 0.20% | MSCI Daily TR Net Israel Index (Monthly) | 6/16/2021 | JPM | USD | 44,794 | 753 | — | 753 | ||||||||
Financing Index: 1-Month LIBOR + 0.60% | MSCI Japan Net Return JPY Index (Monthly) | 6/16/2021 | GSC | JPY | 481,946 | 17,029 | — | 17,029 | ||||||||
Subtotal Appreciation | $266,797 | $ — | $266,797 | |||||||||||||
MSCI Spain Net Return EUR Index (Monthly) | Financing Index: 1-Month EURIBOR + 0.40% | 6/16/2021 | GSC | EUR | 5,162,388 | $(70,239) | $— | $(70,239) | ||||||||
Increase in total return of Swiss Market Index (At Termination) | Decrease in total return of Swiss Market Index (At Termination) | 6/18/2021 | CITI | CHF | 12,020,800 | (259,177) | — | (259,177) | ||||||||
Subtotal Depreciation | $(329,416) | $ — | $(329,416) | |||||||||||||
Net Total Return Swaps outstanding at March 31, 2021 | $(62,619) | $ — | $(62,619) |
Total Return Basket Swap Agreements outstanding at March 31, 2021:
Description | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||
The Fund receives the total return on a portfolio of short equity positions and pays or receives the LIBOR minus a specified spread (-0.35%), which is denominated in CHF based on the local currencies of the positions within the swap (Monthly). | 53-57 months maturity ranging from 08/08/2025- 12/15/2025 | GSC | 3,742,337 | $6,672 | $ — | $6,672 | ||||||
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EONIA or EURIBOR plus or minus a specified spread (-0.35% to 0.25%), which is denominated in EUR based on the local currencies of the positions within the swap (Monthly).* | 53-60 months maturity ranging from 08/08/2025- 03/25/2026 | GSC | 46,736,078 | 1,418,533 | — | 1,418,533 |
*The following table represents disclosures associated with the underlying components of the total return basket swap as of year end.
167
Common Stock | Shares | Notional Value | Unrealized Appreciation (Depreciation) | Percentage Of Swap Value | ||||
ACS Actividades de Construccion y Servicios SA | 2,597 | 73,391 | $3,699 | 0.26% | ||||
Aeroports de Paris | (4,217) | 429,712 | 12,634 | 0.89 | ||||
Aegon NV | (151,897) | 615,183 | 42,755 | 3.01 | ||||
Airbus SE | (585) | 56,476 | 2,522 | 0.18 | ||||
Amadeus IT Group SA | (20,318) | 1,226,801 | (24,879) | (1.75) | ||||
Amundi SA | 1,133 | 77,271 | 3,137 | 0.22 | ||||
APERAM SA | (1,524) | 58,552 | (6,131) | (0.43) | ||||
Argenx SE | (1,156) | 270,966 | 28,148 | 1.98 | ||||
Arkema SA | 1,680 | 173,628 | 10,214 | 0.72 | ||||
Atos SE | 28,360 | 1,886,507 | 62,881 | 4.43 | ||||
Banco Bilbao Vizcaya Argentaria SA | 307,678 | 1,361,783 | (72,527) | (5.11) | ||||
BNP Paribas SA | 13,946 | 723,518 | (11,467) | (0.81) | ||||
Bollore SA | 18,712 | 77,056 | 2,498 | 0.18 | ||||
Bouygues SA | 7,974 | 272,631 | (5,369) | (0.38) | ||||
CaixaBank SA | 47,757 | 126,030 | 9,851 | 0.69 | ||||
Carl Zeiss Meditec AG | (1,333) | 171,291 | (1,771) | (0.12) | ||||
Carrefour SA | 135,563 | 2,093,771 | 164,720 | 11.60 | ||||
Cellnex Telecom SA | (31,157) | 1,529,806 | (268,842) | (18.96) | ||||
CNP Assurances | 12,535 | 203,192 | (401) | (0.03) | ||||
Cie de St-Gobain | 44,661 | 2,247,342 | 140,259 | 9.89 | ||||
Credit Agricole SA | 18,152 | 224,086 | (594) | (0.04) | ||||
CTS Eventim AG & Co. KGaA | (5,042) | 249,276 | 51,056 | 3.60 | ||||
Dassault Aviation SA | 93 | 88,257 | 1,926 | 0.14 | ||||
Delivery Hero SE | (5,318) | 587,639 | (3,018) | (0.21) | ||||
Deutsche Bank AG | (29,487) | 300,414 | 17,752 | 1.25 | ||||
Deutsche Lufthansa AG | (110,438) | 1,248,502 | 137,883 | 9.71 | ||||
Electricite de France SA | 52,122 | 596,276 | 91,168 | 6.43 | ||||
EDP - Energias de Portugal SA | 19,980 | 97,303 | 3,627 | 0.26 | ||||
Eiffage SA | 659 | 56,252 | (3,064) | (0.22) | ||||
Enagas SA | 46,964 | 869,773 | 42,022 | 2.96 | ||||
Endesa SA | 64,220 | 1,448,803 | 108,325 | 7.64 | ||||
Eutelsat Communications SA | 114,129 | 1,184,659 | 44,659 | 3.15 | ||||
Evonik Industries AG | (2,510) | 75,702 | (627) | (0.04) | ||||
Evotec SE | (8,758) | 269,221 | (16,973) | (1.20) | ||||
Faurecia SE | (2,811) | 127,704 | 7,744 | 0.55 | ||||
Fraport AG Frankfurt Airport ServicesWorldwide | (4,148) | 215,074 | 9,858 | 0.69 | ||||
Galapagos NV | (3,682) | 243,454 | 20,930 | 1.48 | ||||
Gecina SA REIT | 674 | 79,128 | 964 | 0.07 | ||||
Grifols SA | 3,411 | 76,168 | 10,593 | 0.75 | ||||
Industria de Diseno Textil SA | 13,569 | 381,289 | (15,198) | (1.07) | ||||
Infineon Technologies AG | (3,219) | 116,383 | (7,832) | (0.55) | ||||
Infrastrutture Wireless Italiane SpA | (18,715) | 177,793 | (14,903) | (1.05) | ||||
Ipsen SA | 6,595 | 482,424 | 44,997 | 3.17 | ||||
Kesko OYJ, B Shares | (2,433) | 63,453 | (13,267) | (0.94) | ||||
Koninklijke DSM NV | (1,528) | 220,490 | (2,447) | (0.17) | ||||
Koninklijke KPN NV | (67,987) | 196,754 | (2,417) | (0.17) | ||||
Leonardo SpA | (18,841) | 130,078 | 6,468 | 0.46 | ||||
Mapfre SA | 346,760 | 615,846 | 39,058 | 2.75 | ||||
Mediobanca Banca di Credito Finanziario SpA | (150,452) | 1,422,674 | (39,566) | (2.79) | ||||
Cie Generale des Etablissements Michelin SCA | 13,615 | 1,737,955 | 33,069 | 2.33 | ||||
MTU Aero Engines AG | (4,467) | 896,527 | 38,816 | 2.74 | ||||
Neste OYJ | (6,307) | 285,455 | 39,508 | 2.79 | ||||
Nexi SpA | (33,774) | 502,557 | (12,810) | (0.90) | ||||
OCI NV | (8,528) | 157,171 | 515 | 0.04 | ||||
Orange SA | 111,523 | 1,171,549 | 60,659 | 4.28 |
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Common Stock | Shares | Notional Value | Unrealized Appreciation (Depreciation) | Percentage Of Swap Value | ||||
Plastic Omnium | (1,953) | 61,012 | $1,617 | 0.11% | ||||
Publicis Groupe SA | 29,056 | 1,512,074 | 56,852 | 4.01 | ||||
Rational AG | (297) | 196,763 | 188 | 0.01 | ||||
Red Electrica Corporation SA | 6,329 | 95,568 | 6,400 | 0.45 | ||||
Renault SA | (7,309) | 269,921 | 33,362 | 2.35 | ||||
Repsol SA | 62,008 | 654,804 | (11,867) | (0.84) | ||||
Rexel SA | 111,709 | 1,887,882 | 200,102 | 14.10 | ||||
Rubis | 13,988 | 565,115 | (4,012) | (0.28) | ||||
Saipem SpA | (69,778) | 162,164 | 7,355 | 0.52 | ||||
Sanofi | 33,652 | 2,835,181 | 189,944 | 13.39 | ||||
Sartorius AG | (719) | 305,719 | 14,168 | 1.00 | ||||
Sartorius Stedim Biotech | (278) | 97,634 | 4,221 | 0.30 | ||||
SCOR SE | (3,108) | 90,443 | 828 | 0.06 | ||||
SEB SA | 6,199 | 932,330 | 73,663 | 5.19 | ||||
SES SA | 67,774 | 459,101 | (7,862) | (0.55) | ||||
Societe BIC SA | 22,054 | 1,100,936 | 731 | 0.05 | ||||
Societe Generale SA | 12,207 | 272,399 | 7,353 | 0.52 | ||||
Sodexo SA | 8,316 | 680,082 | (37,308) | (2.63) | ||||
STMicroelectronics NV | 22,671 | 736,581 | 70,080 | 4.94 | ||||
Tenaris SA | (32,057) | 308,132 | (2,496) | (0.18) | ||||
Thales SA | 1,580 | 133,858 | 6,285 | 0.44 | ||||
thyssenkrupp AG | (55,631) | 633,359 | 18,258 | 1.29 | ||||
Umicore SA | (4,756) | 215,114 | 12,873 | 0.91 | ||||
Unibail-Rodamco-Westfield REIT | (33,054) | 2,258,910 | 6,986 | 0.49 | ||||
46,736,078 | $1,418,533 | 100.00% |
Description | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||
The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR or SONIA plus or minus a specified spread (-0.25% to 0.25%), which is denominated in GBP based on the local currencies of the positions within the swap (Monthly).* | 53-60 months maturity ranging from 08/08/2025 - 03/25/2026 | GSC | $40,870,212 | $677,901 | $ — | $677,901 |
*The following table represents disclosures associated with the underlying components of the total return basket swap as of year end.
Common Stocks | Shares | Notional Value | Unrealized Appreciation (Depreciation) | Percentage Of Swap Value | ||||
3i Group PLC | 15,222 | 175,586 | $(2,663) | (0.40%) | ||||
Aggreko PLC | 102,664 | 900,363 | (18,606) | (2.70) | ||||
Anglo American PLC | 33,181 | 943,170 | 3,735 | 0.60 | ||||
Antofagasta PLC | (5,449) | 92,088 | 3,817 | 0.60 | ||||
Ashtead Group PLC | 6,403 | 277,058 | 12,209 | 1.80 | ||||
ASOS PLC | 23,308 | 1,289,865 | 24,133 | 3.60 | ||||
AstraZeneca PLC | 2,964 | 214,801 | 10,307 | 1.50 | ||||
Avast PLC | 13,904 | 63,402 | 2,171 | 0.30 | ||||
Aviva PLC | 735,590 | 3,002,676 | 124,074 | 18.30 | ||||
BAE Systems PLC | 242,303 | 1,223,630 | 20,103 | 3.00 | ||||
Barclays PLC | 385,862 | 717,395 | 61,933 | 9.10 | ||||
BHP Group PLC | 45,350 | 949,856 | (20,552) | (3.00) |
169
Common Stocks | Shares | Notional Value | Unrealized Appreciation (Depreciation) | Percentage Of Swap Value | ||||
boohoo Group PLC | 208,069 | 707,435 | $17,054 | 2.50% | ||||
BP PLC | 316,972 | 933,958 | (62,872) | (9.30) | ||||
BT Group PLC | 413,072 | 639,435 | 101,806 | 15.00 | ||||
Bunzl PLC | 9,413 | 218,664 | 13,968 | 2.10 | ||||
Carnival PLC | 21,137 | 335,127 | (19,165) | (2.80) | ||||
Centrica PLC | (250,216) | 135,467 | (7,931) | (1.20) | ||||
Compass Group PLC | 24,901 | 363,928 | (38,365) | (5.70) | ||||
ConvaTec Group PLC | 44,048 | 86,378 | 4,900 | 0.70 | ||||
Croda International PLC | (1,356) | 86,079 | (1,770) | (0.30) | ||||
DCC PLC | 7,847 | 493,576 | 10,639 | 1.60 | ||||
Direct Line Insurance Group PLC | 159,207 | 498,796 | (13,942) | (2.10) | ||||
Dunelm Group PLC | 24,230 | 314,748 | 7,946 | 1.20 | ||||
easyJet PLC | (24,074) | 235,492 | 8,526 | 1.30 | ||||
Evraz PLC | 163,111 | 942,782 | 35,620 | 5.30 | ||||
GlaxoSmithKline PLC | 88,982 | 1,146,088 | 64,272 | 9.50 | ||||
Halma PLC | (3,187) | 75,659 | (3,746) | (0.60) | ||||
Hays PLC | 63,494 | 94,924 | (7,113) | (1.00) | ||||
Hikma Pharmaceuticals PLC | 11,831 | 269,274 | 8,973 | 1.30 | ||||
Hiscox, Ltd. | (18,114) | 155,853 | 8,616 | 1.30 | ||||
Inchcape PLC | 192,049 | 1,446,129 | (12,243) | (1.80) | ||||
Informa PLC | (43,389) | 242,892 | 16,829 | 2.50 | ||||
InterContinental Hotels Group PLC | (4,291) | 213,477 | 5,861 | 0.90 | ||||
Intermediate Capital Group PLC | (9,913) | 182,597 | 6,258 | 0.90 | ||||
Investec PLC | 125,993 | 276,177 | (1,973) | (0.30) | ||||
JD Sports Fashion PLC | 6,306 | 51,999 | (12) | 0.00 | ||||
John Wood Group PLC | 41,489 | 112,269 | (15,881) | (2.30) | ||||
Kingfisher PLC | 440,519 | 1,402,172 | 195,266 | 28.80 | ||||
Legal & General Group PLC | (79,786) | 222,683 | 3,156 | 0.50 | ||||
London Stock Exchange Group PLC | 3,641 | 252,685 | (45,742) | (6.70) | ||||
M&G PLC | 482,629 | 1,000,973 | 31,902 | 4.70 | ||||
Man Group PLC | 709,250 | 1,142,247 | 54,995 | 8.10 | ||||
Marks & Spencer Group PLC | 875,994 | 1,321,437 | (38,346) | (5.70) | ||||
Meggitt PLC | (33,793) | 161,328 | (7,198) | (1.10) | ||||
Mondi PLC | 8,545 | 158,083 | 5,561 | 0.80 | ||||
Moneysupermarket.com Group PLC | 332,180 | 885,592 | (120,201) | (17.70) | ||||
Natwest Group PLC | (410,518) | 805,642 | (55,828) | (8.20) | ||||
Ocado Group PLC | (22,742) | 462,800 | 16,607 | 2.40 | ||||
Pennon Group PLC | (4,985) | 48,604 | (1,547) | (0.20) | ||||
Prudential PLC | (64,542) | 994,270 | (1,287) | (0.20) | ||||
Quilter PLC | (49,094) | 78,477 | (9,013) | (1.30) | ||||
Rio Tinto PLC | 45,659 | 2,534,075 | 21,630 | 3.20 | ||||
Rolls-Royce Holdings PLC | (1,902,848) | 2,003,699 | 223,401 | 32.70 | ||||
Royal Dutch Shell PLC, A Shares | 51,276 | 724,940 | (68,379) | (10.10) | ||||
Royal Dutch Shell PLC, B Shares | 46,826 | 625,127 | (90,559) | (13.40) | ||||
Royal Mail PLC | 457,380 | 2,307,939 | 196,240 | 28.90 | ||||
RSA Insurance Group PLC | 31,029 | 211,307 | 1,236 | 0.20 | ||||
Sage Group PLC (The) | 87,998 | 539,252 | 21,404 | 3.20 | ||||
J Sainsbury PLC | (92,527) | 224,378 | (14,957) | (2.20) | ||||
Severn Trent PLC | (3,372) | 77,758 | (3,405) | (0.50) | ||||
SSE PLC | (5,526) | 80,403 | (9,077) | (1.30) | ||||
St. James’s Place PLC | (2,963) | 37,749 | (1,873) | (0.30) | ||||
Standard Chartered PLC | 51,103 | 255,259 | 5,260 | 0.80 | ||||
Tate & Lyle PLC | 164,840 | 1,264,652 | 12,897 | 1.90 | ||||
Tesco PLC | (30,960) | 70,852 | (3,276) | (0.50) | ||||
United Utilities Group PLC | (19,537) | 180,874 | (8,484) | (1.30) |
INTERNATIONAL EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Common Stocks | Shares | Notional Value | Unrealized Appreciation (Depreciation) | Percentage Of Swap Value | ||||
Vodafone Group PLC | 130,137 | 171,625 | $7,498 | 1.10% | ||||
WH Smith PLC | (14,256) | 256,180 | 27,473 | 4.10 | ||||
Wm Morrison Supermarkets PLC | (141,440) | 258,057 | (14,369) | (2.10) | ||||
40,870,212 | $677,901 | 100.00% |
Description | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the MUTSCALM minus a specified spread (-0.33%), which is denominated in JPY based on the local currenciesof the positions within the swap (Monthly). | 53-60 months maturity ranging from 08/08/2025 - 03/25/2026 | GSC | $992,491,100 | $114,546 | $ — | $114,546 | ||||||
Subtotal Appreciation | $2,217,652 | $ — | $2,217,652 | |||||||||
The Fund receives the total return on a portfolio of short equity positions and receives the RBACOR minus a specified spread (-0.40%), which is denominated in AUD based on the local currencies of the positions within the swap (Monthly). | 53-59 months maturity ranging from 08/08/2025 - 02/19/2026 | GSC | 9,674,247 | (97,980) | — | (97,980) | ||||||
The Fund receives the total return on a portfolio ofshort equity positions and receives the DETNT/N minus a specified spread (-0.35%), which is denominated in DKK based on the local currencies of the positions within the swap. | 53 months maturity 08/08/2025 | GSC | 13,273,192 | (181,537) | — | (181,537) | ||||||
The Fund receives the total return on a portfolio of long equity positions and pays HIBOR plus a specified spread (0.20%), which is denominated in HKD based on the local currencies of the positions within the swap (Monthly). | 53-59 months maturity ranging from 08/08/2025 - 02/24/2026 | GSC | 71,700,340 | (317,746) | — | (317,746) | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the NOWA minus a specified spread (-0.35%), which is denominated in NOK based on the local currencies of the positions within the swap (Monthly). | 53-60 months maturity ranging from 08/08/2025 - 03/25/2026 | GSC | 3,603,344 | (7,979) | — | (7,979) | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the STIBOR plus or minus a specified spread (-0.35%), which is denominated in SEK based on the local currencies of the positions within the swap (Monthly). | 53-56 months maturity ranging from 08/08/2025 - 11/17/2025 | GSC | 26,683,380 | (429,752) | — | (429,752) |
171
Description | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||
The Fund receives the total return on a portfolio of short equity positions and receives the SORF1D minus a specified spread (-0.40%), which is denominated in SGD based on the local currencies of the positions within the swap (Monthly). | 56 months maturity ranging from 11/17/2025 | GSC | $377,955 | $(12,168) | $ — | $(12,168) | ||||||
Subtotal Depreciation | $(1,047,162) | $ — | $(1,047,162) | |||||||||
Net Total Return Basket Swaps | $1,170,490 | $ — | $1,170,490 |
For the Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at December 31, 2020, see Notes to Financial Statements in the Fund’s Annual Report.
EMERGING MARKETS EQUITY FUND
173
EMERGING MARKETS EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
175
EMERGING MARKETS EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
177
Futures Contracts outstanding at March 31, 2021:
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
FTSE Taiwan Index | 04/2021 | 7 | $405,580 | $4,100 | ||||
HSCEI Index | 04/2021 | 115 | 8,093,831 | 28,857 | ||||
MSCI Singapore Index | 04/2021 | (318) | (8,461,798) | (28,443) | ||||
SGX Nifty 50 Index | 04/2021 | (6) | (176,952) | 518 | ||||
FTSE KLCI | 04/2021 | 85 | 1,611,238 | (29,135) | ||||
KOSPI2 Index | 06/2021 | 123 | 11,266,170 | 210,029 | ||||
Mexican Bolsa Index | 06/2021 | 28 | 642,687 | (14,307) | ||||
MSCI Emerging Markets | 06/2021 | 830 | 54,883,750 | (473,694) | ||||
Total Futures Contracts outstanding at March 31, 2021 | $68,264,506 | $(302,075) |
EMERGING MARKETS EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Forward Foreign Currency Contracts outstanding at March 31, 2021:
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
06/16/21 | U.S. Dollars | 23,527,201 | Czech Republic Koruna | 508,500,000 | CITI | $677,140 | ||||||
06/16/21 | U.S. Dollars | 15,137,999 | Polish Zloty | 57,233,000 | CITI | 649,847 | ||||||
06/16/21 | Mexican Pesos | 528,717,000 | U.S. Dollars | 25,267,305 | CITI | 379,244 | ||||||
06/16/21 | U.S. Dollars | 25,679,121 | Singapore Dollars | 34,130,000 | CITI | 316,417 | ||||||
06/16/21 | U.S. Dollars | 16,716,259 | Israeli Shekels | 54,843,000 | CITI | 293,157 | ||||||
06/17/21 | South African Rand | 263,783,750 | U.S. Dollars | 17,405,205 | CITI | 279,912 | ||||||
06/16/21 | U.S. Dollars | 6,694,132 | Hungarian Forint | 1,990,344,000 | CITI | 256,745 | ||||||
06/16/21 | U.S. Dollars | 12,865,173 | Chinese Offshore Yuan | 83,906,562 | CITI | 159,177 | ||||||
06/16/21 | U.S. Dollars | 7,424,299 | Indonesian Rupiahs | 107,078,813,210 | CITI | 153,326 | ||||||
06/16/21 | U.S. Dollars | 8,239,879 | Colombian Pesos | 29,737,500,000 | CITI | 136,797 | ||||||
06/16/21 | U.S. Dollars | 3,092,211 | Thai Baht | 93,931,000 | CITI | 87,276 | ||||||
06/16/21 | Indian Rupees | 1,226,840,000 | U.S. Dollars | 16,478,252 | CITI | 81,713 | ||||||
06/16/21 | Brazilian Reals | 13,283,500 | U.S. Dollars | 2,299,149 | CITI | 47,715 | ||||||
06/16/21 | U.S. Dollars | 6,336,818 | Indian Rupees | 466,349,000 | CITI | 42,010 | ||||||
06/16/21 | South Korean Won | 4,067,446,000 | U.S. Dollars | 3,583,264 | CITI | 23,727 | ||||||
06/16/21 | U.S. Dollars | 6,516,330 | Mexican Pesos | 134,000,000 | CITI | 16,373 | ||||||
06/16/21 | U.S. Dollars | 7,859,949 | Hong Kong Dollars | 60,975,000 | CITI | 15,161 | ||||||
06/16/21 | Chilean Pesos | 839,741,250 | U.S. Dollars | 1,152,952 | CITI | 13,217 | ||||||
06/16/21 | U.S. Dollars | 3,914,757 | Philippine Pesos | 190,826,000 | CITI | 11,046 | ||||||
06/17/21 | U.S. Dollars | 2,418,342 | South African Rand | 35,910,000 | CITI | 10,792 | ||||||
06/16/21 | U.S. Dollars | 1,718,139 | Chilean Pesos | 1,230,000,000 | CITI | 10,008 | ||||||
06/16/21 | U.S. Dollars | 805,926 | South Korean Won | 900,852,000 | CITI | 7,055 | ||||||
06/16/21 | Russian Rubles | 83,000,000 | U.S. Dollars | 1,082,658 | CITI | 5,148 | ||||||
06/16/21 | U.S. Dollars | 328,784 | Brazilian Reals | 1,836,000 | CITI | 4,409 | ||||||
06/16/21 | Philippine Pesos | 18,000,000 | U.S. Dollars | 366,981 | CITI | 1,243 | ||||||
06/16/21 | Thai Baht | 5,943,000 | U.S. Dollars | 189,359 | CITI | 763 | ||||||
06/16/21 | U.S. Dollars | 26,357 | Taiwan Dollars | 723,000 | CITI | 749 | ||||||
06/16/21 | Chinese Offshore Yuan | 1,767,000 | U.S. Dollars | 267,237 | CITI | 341 | ||||||
06/16/21 | U.S. Dollars | 12,030 | Euro | 10,000 | CITI | 283 | ||||||
06/16/21 | Saudi Riyals | 3,803,000 | U.S. Dollars | 1,013,857 | CITI | 44 | ||||||
06/16/21 | U.S. Dollars | 789 | Russian Rubles | 59,000 | CITI | 15 | ||||||
06/16/21 | Hong Kong Dollars | 1,300,000 | U.S. Dollars | 167,246 | CITI | 6 | ||||||
Subtotal Appreciation | $3,680,856 | |||||||||||
06/16/21 | U.S. Dollars | 31,990 | Thai Baht | 1,000,000 | CITI | $(1) | ||||||
04/07/21 | Hong Kong Dollars | 679,377 | U.S. Dollars | 87,400 | NT | (8) | ||||||
06/16/21 | Saudi Riyals | 2,524,000 | U.S. Dollars | 672,926 | CITI | (12) | ||||||
06/16/21 | U.S. Dollars | 295,887 | Hong Kong Dollars | 2,300,000 | CITI | (21) | ||||||
06/16/21 | U.S. Dollars | 322,280 | Saudi Riyals | 1,209,000 | CITI | (47) | ||||||
06/16/21 | U.S. Dollars | 375,054 | Chinese Offshore Yuan | 2,478,000 | CITI | (191) | ||||||
04/07/21 | South African Rand | 1,745,095 | U.S. Dollars | 118,311 | MSCS | (192) | ||||||
06/16/21 | Philippine Pesos | 13,000,000 | U.S. Dollars | 266,236 | CITI | (296) | ||||||
06/16/21 | U.S. Dollars | 176,808 | Polish Zloty | 700,000 | CITI | (392) | ||||||
06/16/21 | Polish Zloty | 39,000 | U.S. Dollars | 10,378 | CITI | (505) | ||||||
06/16/21 | Mexican Pesos | 6,000,000 | U.S. Dollars | 292,661 | CITI | (1,618) | ||||||
06/16/21 | U.S. Dollars | 149,680 | Chilean Pesos | 110,000,000 | CITI | (3,080) | ||||||
06/16/21 | U.S. Dollars | 4,001,455 | Singapore Dollars | 5,390,000 | CITI | (3,965) | ||||||
06/16/21 | Peruvian Nuevo Soles | 629,874 | U.S. Dollars | 172,389 | CITI | (4,191) | ||||||
06/17/21 | U.S. Dollars | 310,246 | South African Rand | 4,700,000 | CITI | (4,861) | ||||||
06/16/21 | U.S. Dollars | 1,046,744 | Colombian Pesos | 3,862,500,000 | CITI | (5,737) | ||||||
06/16/21 | Euro | 243,000 | U.S. Dollars | 294,940 | CITI | (9,500) | ||||||
06/16/21 | U.S. Dollars | 2,968,807 | Brazilian Reals | 16,871,000 | CITI | (11,880) | ||||||
06/16/21 | U.S. Dollars | 1,756,299 | Indian Rupees | 131,000,000 | CITI | (11,947) | ||||||
06/16/21 | U.S. Dollars | 3,103,401 | Taiwan Dollars | 88,000,000 | CITI | (13,492) | ||||||
06/16/21 | U.S. Dollars | 8,398,481 | Philippine Pesos | 411,826,000 | CITI | (26,209) |
179
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
06/16/21 | U.S. Dollars | 5,842,336 | South Korean Won | 6,621,194,000 | CITI | $(29,306) | ||||||
06/16/21 | Colombian Pesos | 4,700,000,000 | U.S. Dollars | 1,314,658 | CITI | (33,969) | ||||||
06/16/21 | Hong Kong Dollars | 119,914,000 | U.S. Dollars | 15,463,183 | CITI | (35,549) | ||||||
06/16/21 | U.S. Dollars | 3,714,022 | Mexican Pesos | 77,318,000 | CITI | (36,453) | ||||||
10/10/23 | U.S. Dollars | 1,196,266 | Chinese Offshore Yuan | 8,649,000 | SC | (48,051) | ||||||
06/17/21 | South African Rand | 81,942,250 | U.S. Dollars | 5,553,305 | CITI | (59,569) | ||||||
06/16/21 | Israeli Shekels | 14,162,000 | U.S. Dollars | 4,302,611 | CITI | (61,706) | ||||||
06/16/21 | Chinese Offshore Yuan | 45,135,000 | U.S. Dollars | 6,913,361 | CITI | (78,554) | ||||||
06/16/21 | Indonesian Rupiahs | 36,000,000,000 | U.S. Dollars | 2,525,826 | CITI | (81,318) | ||||||
06/16/21 | Chilean Pesos | 4,159,223,750 | U.S. Dollars | 5,872,337 | CITI | (96,323) | ||||||
06/16/21 | Russian Rubles | 606,227,000 | U.S. Dollars | 8,096,362 | CITI | (151,091) | ||||||
06/16/21 | Indian Rupees | 2,068,400,000 | U.S. Dollars | 28,070,625 | CITI | (151,230) | ||||||
06/16/21 | South Korean Won | 21,817,701,000 | U.S. Dollars | 19,575,385 | CITI | (227,557) | ||||||
07/16/25 | U.S. Dollars | 3,253,457 | Chinese Offshore Yuan | 24,819,000 | MSCS | (237,082) | ||||||
06/16/21 | Brazilian Reals | 67,236,500 | U.S. Dollars | 12,205,259 | CITI | (326,239) | ||||||
06/16/21 | Taiwan Dollars | 419,516,000 | U.S. Dollars | 15,248,579 | CITI | (389,643) | ||||||
06/16/21 | Thai Baht | 500,395,000 | U.S. Dollars | 16,541,237 | CITI | (533,165) | ||||||
Subtotal Depreciation | $(2,674,950) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at March 31, 2021 | $1,005,906 |
Swap Agreements outstanding at March 31, 2021:
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Total Return Swaps | ||||||||||||||||
Decrease in total return of TAIEX (At Termination) | Increase in total return of TAIEX (At Termination) | 4/21/2021 | GS | TWD | 354,736,800 | $189,493 | $— | $189,493 | ||||||||
Decrease in total return of TAIEX (At Termination) | Increase in total return of TAIEX (At Termination) | 4/21/2021 | CITI | TWD | 78,830,400 | 40,479 | — | 40,479 | ||||||||
Decrease in total return of HSCEI Index (At Termination) | Increase in total return of HSCEI Index (At Termination) | 4/29/2021 | GS | HKD | 32,281,850 | 29,469 | — | 29,469 | ||||||||
Decrease in total return of HSCEI Index (At Termination) | Increase in total return of HSCEI Index (At Termination) | 4/29/2021 | CITI | HKD | 8,754,400 | 4,511 | — | 4,511 | ||||||||
Decrease in total return of KOSPI 200 Index (At Termination) | Increase in total return of KOSPI 200 Index (At Termination) | 6/10/2021 | GS | KRW | 6,012,425,000 | 89,546 | — | 89,546 | ||||||||
Decrease in total return of KOSPI 200 Index (At Termination) | Increase in total return of KOSPI 200 Index (At Termination) | 6/10/2021 | CITI | KRW | 4,561,150,000 | 77,286 | — | 77,286 | ||||||||
Financing Index: 1-Month LIBOR - 0.10% | MSCI Daily Total Return Net Emerging Markets USD Index (Monthly) | 6/16/2021 | GS | USD | 383,453 | 5,227 | — | 5,227 | ||||||||
Financing Index: 28-Day Mexico Interbank TIIE + 0.15% | MSCI Mexico Net MXN Index (Monthly) | 6/16/2021 | GS | MXN | 375,326 | 1,423 | — | 1,423 | ||||||||
MSCI South Africa Net Return ZAR Index (Monthly) | Financing Index: 1-Month SAFE South Africa JIBAR - 0.05% | 6/17/2021 | GS | ZAR | 116,483 | 21,987 | — | 21,987 | ||||||||
Subtotal Appreciation | $459,421 | $ — | $459,421 | |||||||||||||
Increase in total return of Bovespa Index (At Termination) | Decrease in total return of Bovespa Index (At Termination) | 4/14/2021 | GS | BRL | 3,498,900 | $(8,756) | $— | $(8,756) |
EMERGING MARKETS EQUITY FUND
SCHEDULE OF INVESTMENTS (Continued)
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Counterparty | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | ||||||||
Decrease in total return of BIST 30 Index (At Termination) | Increase in total return of BIST 30 Index (At Termination) | 4/30/2021 | GS | TRY | 2,019,150 | $(35,849) | $— | $(35,849) | ||||||||
Increase in total return of Tel Aviv 35 Index (At Termination) | Decrease in total return of Tel Aviv 35 Index (At Termination) | 4/30/2021 | GS | ILS | 2,406,930 | (9,035) | — | (9,035) | ||||||||
Financing Index: 1-Month WIBOR + 0.04% | MSCI Poland Net Return PLN Index (Monthly) | 6/16/2021 | GS | PLN | 737,351 | (6,148) | — | (6,148) | ||||||||
MSCI Daily TR Net Israel Index (Monthly) | Financing Index: 1-Month LIBOR + 0.13% | 6/16/2021 | JPM | USD | 908 | (21,807) | — | (21,807) | ||||||||
MSCI Emerging Markets Thailand Net Total Return USD Index (Monthly) | Financing Index: 1-Month LIBOR - 0.15% | 6/16/2021 | GS | USD | 14,461,602 | (76,378) | — | (76,378) | ||||||||
MSCI Singapore Net Return SGD Index (Monthly) | Financing Index: 1-Month SORF + 0.00% | 6/16/2021 | GS | SGD | 3,641,703 | (110,939) | — | (110,939) | ||||||||
Decrease in total return of WIG20 Index (At Termination) | Increase in total return of WIG20 Index (At Termination) | 6/18/2021 | GS | PLN | 3,222,060 | (21,396) | — | (21,396) | ||||||||
Subtotal Depreciation | $(290,308) | $ — | $(290,308) | |||||||||||||
Net Total Return Swaps outstanding at March 31, 2021 | $169,113 | $ — | $169,113 |
For the Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at December 31, 2020, see Notes to Financial Statements in the Fund’s Annual Report.
181
GLOBAL REAL ESTATE SECURITIES FUND
GLOBAL REAL ESTATE SECURITIES FUND
SCHEDULE OF INVESTMENTS (Continued)
183
Futures Contracts outstanding at March 31, 2021:
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
S&P MidCap 400 Index E-Mini | 06/2021 | 37 | $9,639,610 | $(100,991) |
For the Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at December 31, 2020, see Notes to Financial Statements in the Fund’s Annual Report.
STRATEGIC ALTERNATIVES FUND
185
STRATEGIC ALTERNATIVES FUND
SCHEDULE OF INVESTMENTS (Continued)
187
STRATEGIC ALTERNATIVES FUND
SCHEDULE OF INVESTMENTS (Continued)
189
STRATEGIC ALTERNATIVES FUND
SCHEDULE OF INVESTMENTS (Continued)
191
STRATEGIC ALTERNATIVES FUND
SCHEDULE OF INVESTMENTS (Continued)
Number of Contracts | Notional Amount | Value | |||
Pay 3-Month LIBOR (Quarterly); Receive 0.96% (Semiannually); Interest Rate Swap Maturing 06/08/2026 USD, Strike Price $0.96, Expires 06/04/21 (MSCS) | (1) | $(3,000,000) | $(30,260) | ||
Pay 3-Month LIBOR (Quarterly); Receive 1.03% (Semiannually); Interest Rate Swap Maturing 06/09/2026 USD, Strike Price $1.03, Expires 06/07/21 (CITI) | (1) | (2,980,000) | (24,625) | ||
Pay 3-Month LIBOR (Quarterly); Receive 1.10% (Semiannually); Interest Rate Swap Maturing 06/03/2026 USD, Strike Price $1.10, Expires 06/01/21 (DEUT) | (1) | (10,200,000) | (60,566) | ||
Pay 3-Month LIBOR (Quarterly); Receive 1.27% (Semiannually); Interest Rate Swap Maturing 06/03/2026 USD, Strike Price $1.27, Expires 06/01/21 (DEUT) | (1) | (10,200,000) | (30,652) | ||
Pay 3-Month LIBOR (Semiannually); Receive 1.25% (Quarterly); Interest Rate Swap Maturing 07/02/2026 USD, Strike Price $1.25, Expires 06/30/21 (BOA) | (1) | (3,000,000) | (149) | ||
Total Written Options (Premiums received $ (179,397)) | (215,007) | ||||
Liabilities in Excess of Other Assets — (3.7)% | (11,905,590) | ||||
NET ASSETS — 100.0% | $324,320,378 |
193
Futures Contracts outstanding at March 31, 2021:
Future Type | Expiration Date | Open Long (Short) Contracts | Notional Market Value of Contracts | Value and Unrealized Appreciation (Depreciation) | ||||
Euro-Bund | 06/2021 | 1 | $200,860 | $(1,435) | ||||
Euro-OAT | 06/2021 | 5 | 949,594 | (1,607) | ||||
Australian Dollar | 06/2021 | (226) | (17,179,390) | 262,226 | ||||
British Pound | 06/2021 | (5) | (430,656) | 3,953 | ||||
CHF/USD | 06/2021 | (3) | (397,312) | 6,630 | ||||
Euro Fx | 06/2021 | (173) | (25,392,075) | 354,657 | ||||
Japanese Yen | 06/2021 | (10) | (1,129,437) | 14,600 | ||||
Mexican Peso | 06/2021 | (21) | (509,670) | (19,681) | ||||
New Zealand | 06/2021 | (2) | (139,660) | 3,452 | ||||
USD/CZK | 06/2021 | 1 | 99,994 | 1,008 | ||||
USD/NOK | 06/2021 | 1 | 100,074 | 726 | ||||
USD/SEK | 06/2021 | 3 | 299,797 | 7,330 | ||||
ZAR/USD | 06/2021 | (15) | (503,438) | (13,935) | ||||
10-Year Commonwealth Treasury Bond | 06/2021 | (7) | (734,333) | (1,214) | ||||
Canadian Dollar | 06/2021 | (63) | (5,012,910) | (25,081) | ||||
S&P 500® E-Mini | 06/2021 | 81 | 16,067,970 | 161,651 | ||||
10-Year Bond | 06/2021 | (13) | (1,435,514) | 32,046 | ||||
10-Year U.S. Treasury Note | 06/2021 | (37) | (4,844,688) | 38,056 | ||||
U.S. Treasury Long Bond | 06/2021 | (3) | (463,781) | 3,438 | ||||
Ultra Long U.S. Treasury Bond | 06/2021 | (5) | (906,094) | 6,382 | ||||
Long GILT | 06/2021 | 3 | 527,687 | (2,307) | ||||
2-Year U.S. Treasury Note | 06/2021 | (78) | (17,216,672) | 7,696 | ||||
5-Year U.S. Treasury Note | 06/2021 | (95) | (11,722,852) | 8,196 | ||||
Ultra 10-Year U.S. Treasury Note | 06/2021 | (10) | (1,436,875) | 13,859 | ||||
Total Futures Contracts outstanding at March 31, 2021 | $(71,209,381) | $860,646 |
STRATEGIC ALTERNATIVES FUND
SCHEDULE OF INVESTMENTS (Continued)
Forward Foreign Currency Contracts outstanding at March 31, 2021:
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
04/20/21 | U.S. Dollars | 26,539,595 | Swiss Francs | 23,999,747 | SC | $1,133,264 | ||||||
04/20/21 | U.S. Dollars | 33,241,253 | Euro | 27,404,531 | SS | 1,090,623 | ||||||
04/20/21 | U.S. Dollars | 27,481,996 | New Zealand Dollars | 38,198,201 | SC | 805,390 | ||||||
04/20/21 | U.S. Dollars | 21,038,509 | Euro | 17,326,320 | GSC | 711,501 | ||||||
04/20/21 | U.S. Dollars | 10,170,866 | Japanese Yen | 1,057,675,428 | RBC | 616,522 | ||||||
04/20/21 | U.S. Dollars | 12,739,428 | Swiss Francs | 11,482,600 | SS | 583,853 | ||||||
04/20/21 | U.S. Dollars | 12,085,929 | Swedish Kronor | 100,906,091 | SC | 529,789 | ||||||
04/20/21 | U.S. Dollars | 5,068,040 | Japanese Yen | 526,901,776 | JPM | 308,356 | ||||||
04/20/21 | U.S. Dollars | 4,903,464 | Swiss Francs | 4,354,462 | JPM | 293,794 | ||||||
04/20/21 | U.S. Dollars | 4,850,550 | Swiss Francs | 4,311,169 | RBC | 286,711 | ||||||
04/20/21 | U.S. Dollars | 3,278,410 | Turkish Lira | 25,143,767 | RBC | 279,633 | ||||||
04/20/21 | U.S. Dollars | 7,914,124 | Euro | 6,516,176 | CITI | 269,433 | ||||||
04/20/21 | British Pounds | 16,018,571 | U.S. Dollars | 21,839,511 | JPM | 245,187 | ||||||
04/20/21 | U.S. Dollars | 3,867,687 | Japanese Yen | 402,221,274 | GSC | 234,285 | ||||||
04/20/21 | U.S. Dollars | 13,519,701 | Australian Dollars | 17,499,998 | SC | 226,059 | ||||||
04/20/21 | U.S. Dollars | 10,596,115 | Australian Dollars | 13,663,239 | RBC | 217,018 | ||||||
04/20/21 | U.S. Dollars | 5,204,642 | Japanese Yen | 552,554,222 | SC | 213,230 | ||||||
04/20/21 | U.S. Dollars | 7,154,841 | Euro | 5,924,207 | SC | 204,639 | ||||||
04/20/21 | U.S. Dollars | 6,168,640 | New Zealand Dollars | 8,580,053 | SS | 176,559 | ||||||
06/16/21 | U.S. Dollars | 11,546,776 | Euro | 9,683,549 | MSCS | 171,985 | ||||||
04/20/21 | U.S. Dollars | 2,986,289 | Brazilian Reals | 15,894,808 | SC | 165,734 | ||||||
04/20/21 | U.S. Dollars | 3,608,431 | Japanese Yen | 381,260,001 | SS | 164,378 | ||||||
04/20/21 | Canadian Dollars | 20,945,968 | U.S. Dollars | 16,513,069 | SC | 155,076 | ||||||
04/20/21 | U.S. Dollars | 3,292,967 | Swedish Kronor | 27,430,418 | CITI | 151,534 | ||||||
04/20/21 | U.S. Dollars | 7,424,710 | Australian Dollars | 9,576,811 | CITI | 149,813 | ||||||
04/20/21 | U.S. Dollars | 4,256,284 | Euro | 3,502,924 | RBC | 146,700 | ||||||
04/20/21 | U.S. Dollars | 6,307,439 | Australian Dollars | 8,119,184 | SS | 139,809 | ||||||
04/09/21 | U.S. Dollars | 4,006,690 | Euro | 3,300,846 | MSCS | 135,065 | ||||||
04/20/21 | U.S. Dollars | 3,256,837 | Hungarian Forint | 969,699,807 | CITI | 117,647 | ||||||
04/20/21 | Canadian Dollars | 14,289,322 | U.S. Dollars | 11,257,729 | GSC | 113,265 | ||||||
06/16/21 | U.S. Dollars | 4,045,501 | Swedish Kronor | 34,453,759 | MSCS | 97,588 | ||||||
04/20/21 | U.S. Dollars | 3,286,074 | Czech Republic Koruna | 71,049,761 | GSC | 93,652 | ||||||
05/19/21 | U.S. Dollars | 1,887,542 | Swedish Kronor | 15,684,257 | MSCS | 90,840 | ||||||
04/20/21 | U.S. Dollars | 4,470,654 | Australian Dollars | 5,768,459 | GSC | 88,721 | ||||||
06/16/21 | U.S. Dollars | 4,594,657 | Japanese Yen | 498,637,765 | MSCS | 87,936 | ||||||
04/20/21 | U.S. Dollars | 3,070,265 | South Korean Won | 3,368,571,519 | GSC | 86,711 | ||||||
04/20/21 | British Pounds | 6,452,032 | U.S. Dollars | 8,808,893 | SC | 86,481 | ||||||
04/20/21 | U.S. Dollars | 1,353,769 | Polish Zloty | 5,069,263 | SS | 70,914 | ||||||
04/20/21 | U.S. Dollars | 1,286,059 | Polish Zloty | 4,814,553 | SC | 67,661 | ||||||
06/16/21 | Mexican Pesos | 57,909,548 | U.S. Dollars | 2,746,070 | MSCS | 62,957 | ||||||
04/20/21 | U.S. Dollars | 2,480,058 | Swiss Francs | 2,283,583 | GSC | 62,638 | ||||||
04/20/21 | U.S. Dollars | 1,199,331 | Swedish Kronor | 9,950,526 | GSC | 59,760 | ||||||
04/20/21 | U.S. Dollars | 1,314,028 | Swedish Kronor | 10,954,941 | JPM | 59,428 | ||||||
04/20/21 | U.S. Dollars | 10,006,840 | Norwegian Kroner | 85,081,100 | SC | 59,384 | ||||||
06/16/21 | U.S. Dollars | 3,285,067 | Swiss Francs | 3,043,108 | MSCS | 58,455 | ||||||
04/20/21 | U.S. Dollars | 3,420,978 | British Pounds | 2,440,526 | SC | 56,241 | ||||||
04/20/21 | British Pounds | 3,578,481 | U.S. Dollars | 4,880,793 | SS | 52,834 | ||||||
04/20/21 | U.S. Dollars | 1,104,991 | Hungarian Forint | 325,325,870 | SC | 51,820 | ||||||
04/05/21 | U.S. Dollars | 1,429,187 | South Korean Won | 1,558,375,458 | MSCS | 51,403 | ||||||
04/20/21 | U.S. Dollars | 11,682,939 | Norwegian Kroner | 99,499,390 | SS | 49,733 | ||||||
04/20/21 | U.S. Dollars | 553,683 | Turkish Lira | 4,240,103 | SS | 47,986 | ||||||
04/20/21 | South African Rand | 16,953,523 | U.S. Dollars | 1,103,896 | RBC | 41,587 | ||||||
04/20/21 | U.S. Dollars | 1,856,103 | Mexican Pesos | 37,188,244 | SS | 40,612 | ||||||
04/20/21 | U.S. Dollars | 2,723,838 | British Pounds | 1,947,800 | SS | 38,418 | ||||||
04/20/21 | South African Rand | 16,822,068 | U.S. Dollars | 1,102,507 | SC | 34,094 |
195
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
04/20/21 | U.S. Dollars | 6,683,846 | Norwegian Kroner | 56,895,728 | JPM | $31,748 | ||||||
04/20/21 | Canadian Dollars | 5,063,571 | U.S. Dollars | 3,999,436 | CITI | 29,995 | ||||||
04/20/21 | Chilean Pesos | 883,735,613 | U.S. Dollars | 1,200,320 | RBC | 26,520 | ||||||
06/17/21 | South African Rand | 15,463,069 | U.S. Dollars | 1,013,260 | MSCS | 23,445 | ||||||
04/20/21 | U.S. Dollars | 3,411,729 | Canadian Dollars | 4,258,148 | SC | 23,229 | ||||||
04/20/21 | U.S. Dollars | 1,013,819 | Mexican Pesos | 20,306,049 | RBC | 22,499 | ||||||
05/21/21 | U.S. Dollars | 947,950 | Norwegian Kroner | 7,920,020 | MSCS | 21,991 | ||||||
04/20/21 | U.S. Dollars | 401,503 | Polish Zloty | 1,503,708 | GSC | 20,967 | ||||||
04/20/21 | U.S. Dollars | 577,224 | Czech Republic Koruna | 12,438,346 | SC | 18,341 | ||||||
04/20/21 | U.S. Dollars | 621,608 | South Korean Won | 682,482,511 | SS | 17,132 | ||||||
06/16/21 | Canadian Dollars | 3,105,318 | U.S. Dollars | 2,455,511 | MSCS | 15,743 | ||||||
04/27/21 | U.S. Dollars | 700,104 | Colombian Pesos | 2,512,926,393 | MSCS | 14,086 | ||||||
04/20/21 | South African Rand | 5,630,821 | U.S. Dollars | 366,378 | CITI | 14,075 | ||||||
06/02/21 | U.S. Dollars | 623,304 | Polish Zloty | 2,407,000 | MSCS | 14,051 | ||||||
05/17/21 | Chilean Pesos | 731,899,909 | U.S. Dollars | 1,002,807 | MSCS | 13,413 | ||||||
06/16/21 | U.S. Dollars | 1,011,163 | New Zealand Dollars | 1,430,177 | MSCS | 12,519 | ||||||
05/25/21 | South African Rand | 7,213,012 | U.S. Dollars | 473,040 | MSCS | 11,960 | ||||||
06/16/21 | U.S. Dollars | 1,013,623 | Australian Dollars | 1,318,556 | MSCS | 11,784 | ||||||
04/20/21 | U.S. Dollars | 1,108,468 | Swedish Kronor | 9,579,162 | SS | 11,427 | ||||||
05/04/21 | Brazilian Reals | 2,435,520 | U.S. Dollars | 420,385 | MSCS | 11,412 | ||||||
06/16/21 | U.S. Dollars | 1,448,855 | British Pounds | 1,042,493 | MSCS | 11,325 | ||||||
04/08/21 | U.S. Dollars | 519,107 | Taiwan Dollars | 14,473,340 | MSCS | 11,117 | ||||||
06/01/21 | U.S. Dollars | 1,058,194 | Australian Dollars | 1,379,530 | MSCS | 10,088 | ||||||
05/20/21 | U.S. Dollars | 945,331 | British Pounds | 679,271 | MSCS | 8,743 | ||||||
05/21/21 | U.S. Dollars | 234,020 | Swiss Francs | 213,000 | MSCS | 8,340 | ||||||
05/19/21 | Mexican Pesos | 11,239,375 | U.S. Dollars | 538,644 | MSCS | 8,236 | ||||||
04/20/21 | Canadian Dollars | 1,059,213 | U.S. Dollars | 834,848 | SS | 8,040 | ||||||
06/16/21 | U.S. Dollars | 1,381,664 | Norwegian Kroner | 11,753,946 | MSCS | 7,496 | ||||||
04/20/21 | U.S. Dollars | 1,553,361 | Norwegian Kroner | 13,225,470 | CITI | 7,074 | ||||||
04/19/21 | U.S. Dollars | 898,713 | Taiwan Dollars | 25,361,072 | MSCS | 6,795 | ||||||
04/05/21 | U.S. Dollars | 815,813 | Indonesian Rupiahs | 11,769,727,500 | MSCS | 6,467 | ||||||
06/01/21 | Canadian Dollars | 2,215,559 | U.S. Dollars | 1,757,208 | MSCS | 5,921 | ||||||
04/12/21 | U.S. Dollars | 814,356 | Taiwan Dollars | 23,021,844 | MSCS | 5,738 | ||||||
06/15/21 | South Korean Won | 2,482,213,222 | U.S. Dollars | 2,195,589 | MSCS | 5,614 | ||||||
06/16/21 | British Pounds | 251,364 | Swiss Francs | 322,065 | MSCS | 5,128 | ||||||
04/20/21 | British Pounds | 313,296 | U.S. Dollars | 427,132 | GSC | 4,806 | ||||||
06/16/21 | U.S. Dollars | 1,362,500 | Chinese Offshore Yuan | 8,966,664 | MSCS | 4,674 | ||||||
06/16/21 | U.S. Dollars | 131,827 | Turkish Lira | 1,109,584 | MSCS | 4,362 | ||||||
06/16/21 | Euro | 1,189,779 | Japanese Yen | 154,179,365 | MSCS | 4,090 | ||||||
06/16/21 | U.S. Dollars | 150,872 | Polish Zloty | 580,147 | MSCS | 4,012 | ||||||
04/20/21 | Norwegian Kroner | 9,821,523 | U.S. Dollars | 1,144,420 | SS | 3,887 | ||||||
06/10/21 | U.S. Dollars | 207,626 | Japanese Yen | 22,627,434 | MSCS | 3,131 | ||||||
05/20/21 | British Pounds | 383,097 | U.S. Dollars | 525,368 | MSCS | 2,852 | ||||||
06/16/21 | Norwegian Kroner | 6,439,591 | U.S. Dollars | 750,091 | MSCS | 2,768 | ||||||
05/28/21 | U.S. Dollars | 296,132 | Czech Republic Koruna | 6,533,898 | MSCS | 2,534 | ||||||
05/19/21 | U.S. Dollars | 124,268 | Russian Rubles | 9,261,231 | MSCS | 2,451 | ||||||
04/20/21 | Norwegian Kroner | 6,759,417 | U.S. Dollars | 787,843 | SC | 2,450 | ||||||
04/27/21 | Colombian Pesos | 431,942,256 | U.S. Dollars | 115,496 | MSCS | 2,423 | ||||||
04/20/21 | South African Rand | 964,087 | U.S. Dollars | 62,740 | SS | 2,400 | ||||||
06/16/21 | Swiss Francs | 699,468 | Euro | 629,467 | MSCS | 2,243 | ||||||
04/29/21 | U.S. Dollars | 108,717 | Turkish Lira | 899,025 | MSCS | 2,239 | ||||||
06/16/21 | Euro | 678,847 | Swiss Francs | 750,005 | MSCS | 2,178 | ||||||
04/27/21 | Indian Rupees | 41,076,977 | U.S. Dollars | 556,736 | MSCS | 2,020 | ||||||
06/10/21 | U.S. Dollars | 73,203 | New Zealand Dollars | 102,106 | MSCS | 1,905 | ||||||
04/20/21 | Japanese Yen | 265,880,369 | U.S. Dollars | 2,400,063 | SC | 1,726 | ||||||
04/20/21 | U.S. Dollars | 51,170 | South Korean Won | 56,159,094 | SC | 1,429 |
STRATEGIC ALTERNATIVES FUND
SCHEDULE OF INVESTMENTS (Continued)
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
07/01/21 | U.S. Dollars | 799,026 | Indonesian Rupiahs | 11,769,727,500 | MSCS | $1,391 | ||||||
04/20/21 | Euro | 2,056,836 | U.S. Dollars | 2,412,134 | SC | 919 | ||||||
04/05/21 | South Korean Won | 1,868,150,699 | U.S. Dollars | 1,650,966 | MSCS | 696 | ||||||
06/16/21 | British Pounds | 195,543 | Japanese Yen | 29,774,325 | MSCS | 538 | ||||||
04/05/21 | Brazilian Reals | 623,934 | U.S. Dollars | 110,290 | MSCS | 526 | ||||||
05/28/21 | U.S. Dollars | 71,102 | Hungarian Forint | 21,846,000 | MSCS | 420 | ||||||
06/16/21 | Chinese Offshore Yuan | 1,814,422 | U.S. Dollars | 274,343 | MSCS | 416 | ||||||
04/20/21 | Swedish Kronor | 12,300,044 | U.S. Dollars | 1,408,408 | SC | 238 | ||||||
06/16/21 | Euro | 232,069 | Australian Dollars | 358,474 | MSCS | 231 | ||||||
06/17/21 | U.S. Dollars | 327,428 | South African Rand | 4,880,772 | MSCS | 202 | ||||||
06/16/21 | Singapore Dollars | 1,539,874 | U.S. Dollars | 1,144,156 | MSCS | 156 | ||||||
05/10/21 | Indonesian Rupiahs | 1,757,184,841 | U.S. Dollars | 119,789 | MSCS | 146 | ||||||
04/20/21 | South Korean Won | 1,490,756,914 | U.S. Dollars | 1,320,247 | SC | 121 | ||||||
06/16/21 | U.S. Dollars | 79,187 | Hungarian Forint | 24,447,052 | MSCS | 117 | ||||||
06/16/21 | British Pounds | 188,373 | U.S. Dollars | 259,673 | MSCS | 80 | ||||||
04/20/21 | New Zealand Dollars | 1,446,036 | U.S. Dollars | 1,009,820 | GSC | 53 | ||||||
06/02/21 | U.S. Dollars | 88,466 | Hong Kong Dollars | 687,253 | MSCS | 49 | ||||||
04/20/21 | Chilean Pesos | 254 | U.S. Dollars | — | SC | — | ||||||
Subtotal Appreciation | $12,184,044 | |||||||||||
06/01/21 | U.S. Dollars | 2,134,545 | Australian Dollars | 2,809,628 | MSCS | $(87) | ||||||
05/17/21 | Chilean Pesos | 106,328,966 | U.S. Dollars | 147,843 | MSCS | (209) | ||||||
06/16/21 | Euro | 447,000 | Swedish Kronor | 4,584,834 | MSCS | (288) | ||||||
04/12/21 | U.S. Dollars | 108,716 | Indonesian Rupiahs | 1,591,607,950 | MSCS | (546) | ||||||
06/10/21 | U.S. Dollars | 130,231 | New Zealand Dollars | 187,322 | MSCS | (571) | ||||||
06/16/21 | Mexican Pesos | 5,271,391 | U.S. Dollars | 256,285 | MSCS | (585) | ||||||
04/05/21 | U.S. Dollars | 273,276 | South Korean Won | 309,775,241 | MSCS | (601) | ||||||
05/28/21 | Hungarian Forint | 36,632,485 | U.S. Dollars | 119,228 | MSCS | (705) | ||||||
06/16/21 | U.S. Dollars | 540,254 | New Zealand Dollars | 774,835 | MSCS | (787) | ||||||
05/25/21 | Singapore Dollars | 103,302 | U.S. Dollars | 77,620 | MSCS | (850) | ||||||
06/16/21 | Swiss Francs | 522,033 | Euro | 471,966 | MSCS | (882) | ||||||
06/16/21 | Euro | 419,282 | Swiss Francs | 465,579 | MSCS | (1,144) | ||||||
06/16/21 | Swedish Kronor | 2,388,679 | Norwegian Kroner | 2,351,872 | MSCS | (1,251) | ||||||
04/20/21 | U.S. Dollars | 56,074 | Chilean Pesos | 41,320,643 | GSC | (1,289) | ||||||
06/16/21 | Norwegian Kroner | 4,671,573 | Euro | 466,099 | MSCS | (1,345) | ||||||
04/27/21 | Indian Rupees | 20,845,302 | U.S. Dollars | 284,917 | MSCS | (1,366) | ||||||
06/16/21 | Israeli Shekels | 915,264 | U.S. Dollars | 275,474 | MSCS | (1,392) | ||||||
04/20/21 | U.S. Dollars | 1,101,157 | British Pounds | 799,731 | GSC | (1,427) | ||||||
06/16/21 | Euro | 233,077 | Canadian Dollars | 345,845 | MSCS | (1,443) | ||||||
06/10/21 | Japanese Yen | 11,440,110 | U.S. Dollars | 104,973 | MSCS | (1,583) | ||||||
05/21/21 | U.S. Dollars | 154,577 | Norwegian Kroner | 1,335,978 | MSCS | (1,617) | ||||||
04/12/21 | Taiwan Dollars | 7,673,533 | U.S. Dollars | 271,889 | MSCS | (2,365) | ||||||
06/16/21 | Euro | 246,944 | British Pounds | 212,136 | MSCS | (2,449) | ||||||
06/16/21 | British Pounds | 309,765 | U.S. Dollars | 429,661 | MSCS | (2,517) | ||||||
04/20/21 | U.S. Dollars | 840,407 | Norwegian Kroner | 7,210,352 | GSC | (2,609) | ||||||
05/28/21 | Czech Republic Koruna | 7,091,000 | U.S. Dollars | 321,382 | MSCS | (2,750) | ||||||
06/17/21 | South African Rand | 6,540,878 | U.S. Dollars | 441,373 | MSCS | (2,846) | ||||||
04/08/21 | U.S. Dollars | 1,095,466 | Taiwan Dollars | 31,295,462 | MSCS | (2,952) | ||||||
04/20/21 | U.S. Dollars | 1,144,223 | Norwegian Kroner | 9,814,055 | SS | (3,211) | ||||||
05/03/21 | Indonesian Rupiahs | 9,886,034,567 | U.S. Dollars | 678,660 | MSCS | (3,216) | ||||||
04/12/21 | Indonesian Rupiahs | 6,605,211,930 | U.S. Dollars | 457,095 | MSCS | (3,654) | ||||||
04/20/21 | U.S. Dollars | 1,511,850 | Norwegian Kroner | 12,962,722 | UBS | (3,717) | ||||||
04/27/21 | U.S. Dollars | 578,374 | Indian Rupees | 42,822,839 | MSCS | (4,129) | ||||||
04/27/21 | U.S. Dollars | 417,000 | Colombian Pesos | 1,542,879,150 | MSCS | (4,200) | ||||||
05/20/21 | British Pounds | 358,875 | U.S. Dollars | 499,441 | MSCS | (4,619) | ||||||
06/16/21 | U.S. Dollars | 1,337,552 | Canadian Dollars | 1,687,250 | MSCS | (5,184) |
197
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
05/24/21 | U.S. Dollars | 186,325 | Turkish Lira | 1,644,782 | MSCS | $(5,529) | ||||||
06/15/21 | U.S. Dollars | 1,651,068 | South Korean Won | 1,868,150,699 | MSCS | (5,591) | ||||||
06/01/21 | U.S. Dollars | 1,637,077 | Canadian Dollars | 2,064,525 | MSCS | (5,859) | ||||||
04/20/21 | Czech Republic Koruna | 33,665,020 | U.S. Dollars | 1,518,864 | SC | (6,221) | ||||||
04/05/21 | Brazilian Reals | 1,811,587 | U.S. Dollars | 328,198 | MSCS | (6,443) | ||||||
05/19/21 | U.S. Dollars | 403,296 | Mexican Pesos | 8,425,043 | MSCS | (6,646) | ||||||
04/20/21 | Norwegian Kroner | 10,415,443 | U.S. Dollars | 1,224,640 | RBC | (6,894) | ||||||
06/16/21 | Euro | 310,889 | Norwegian Kroner | 3,190,509 | MSCS | (7,820) | ||||||
04/05/21 | Indonesian Rupiahs | 9,886,034,568 | U.S. Dollars | 687,724 | MSCS | (7,911) | ||||||
05/21/21 | Swiss Francs | 207,060 | U.S. Dollars | 227,494 | MSCS | (8,108) | ||||||
04/20/21 | Euro | 1,374,344 | U.S. Dollars | 1,620,571 | GSC | (8,209) | ||||||
04/20/21 | U.S. Dollars | 1,144,933 | British Pounds | 836,529 | SS | (8,384) | ||||||
04/20/21 | Mexican Pesos | 7,861,271 | U.S. Dollars | 392,545 | SC | (8,766) | ||||||
04/20/21 | Canadian Dollars | 1,320,889 | U.S. Dollars | 1,060,656 | SC | (9,534) | ||||||
04/20/21 | U.S. Dollars | 1,059,548 | Norwegian Kroner | 9,145,527 | SC | (9,723) | ||||||
06/10/21 | New Zealand Dollars | 528,340 | U.S. Dollars | 378,786 | MSCS | (9,858) | ||||||
05/17/21 | U.S. Dollars | 601,378 | Chilean Pesos | 440,584,579 | MSCS | (10,360) | ||||||
06/16/21 | Canadian Dollars | 1,803,520 | U.S. Dollars | 1,445,995 | MSCS | (10,731) | ||||||
04/20/21 | Norwegian Kroner | 11,842,255 | U.S. Dollars | 1,395,877 | SS | (11,312) | ||||||
06/02/21 | Polish Zloty | 2,039,000 | U.S. Dollars | 528,008 | MSCS | (11,903) | ||||||
05/10/21 | Indonesian Rupiahs | 5,807,124,446 | U.S. Dollars | 408,299 | MSCS | (11,939) | ||||||
04/20/21 | U.S. Dollars | 1,361,636 | Canadian Dollars | 1,726,820 | RBC | (12,513) | ||||||
06/17/21 | U.S. Dollars | 603,957 | South African Rand | 9,195,786 | MSCS | (12,565) | ||||||
06/16/21 | Swedish Kronor | 5,971,180 | U.S. Dollars | 698,254 | MSCS | (14,042) | ||||||
04/20/21 | U.S. Dollars | 1,014,542 | South African Rand | 15,232,337 | SS | (14,647) | ||||||
04/20/21 | Norwegian Kroner | 23,759,418 | U.S. Dollars | 2,793,197 | SC | (15,309) | ||||||
06/16/21 | Chinese Offshore Yuan | 15,660,279 | U.S. Dollars | 2,387,132 | MSCS | (15,690) | ||||||
05/25/21 | U.S. Dollars | 721,569 | South African Rand | 10,981,724 | MSCS | (16,838) | ||||||
05/19/21 | Russian Rubles | 58,818,187 | U.S. Dollars | 791,343 | MSCS | (17,682) | ||||||
05/21/21 | Norwegian Kroner | 6,739,901 | U.S. Dollars | 806,701 | MSCS | (18,714) | ||||||
04/20/21 | Czech Republic Koruna | 14,165,640 | U.S. Dollars | 655,544 | SS | (19,050) | ||||||
04/20/21 | Mexican Pesos | 17,128,101 | U.S. Dollars | 855,362 | CITI | (19,186) | ||||||
04/20/21 | U.S. Dollars | 1,507,161 | Brazilian Reals | 8,605,579 | SC | (19,911) | ||||||
04/20/21 | New Zealand Dollars | 1,058,154 | U.S. Dollars | 760,744 | GSC | (21,757) | ||||||
06/16/21 | U.S. Dollars | 1,052,760 | Turkish Lira | 9,362,627 | MSCS | (22,782) | ||||||
04/20/21 | Hungarian Forint | 163,502,629 | U.S. Dollars | 552,655 | SC | (23,351) | ||||||
04/27/21 | Colombian Pesos | 4,746,819,745 | U.S. Dollars | 1,319,241 | MSCS | (23,380) | ||||||
04/20/21 | U.S. Dollars | 1,143,829 | Chilean Pesos | 842,429,712 | CITI | (25,669) | ||||||
06/16/21 | Swiss Francs | 1,407,372 | U.S. Dollars | 1,518,561 | MSCS | (26,323) | ||||||
06/16/21 | Norwegian Kroner | 28,721,218 | U.S. Dollars | 3,385,279 | MSCS | (27,450) | ||||||
04/20/21 | U.S. Dollars | 3,271,129 | British Pounds | 2,393,304 | SC | (28,504) | ||||||
04/20/21 | Brazilian Reals | 2,495,153 | U.S. Dollars | 471,549 | CITI | (28,780) | ||||||
04/20/21 | Australian Dollars | 3,137,993 | U.S. Dollars | 2,415,961 | SS | (32,227) | ||||||
06/16/21 | Japanese Yen | 238,456,992 | U.S. Dollars | 2,188,000 | MSCS | (32,809) | ||||||
04/19/21 | Taiwan Dollars | 53,908,628 | U.S. Dollars | 1,935,866 | MSCS | (39,966) | ||||||
04/20/21 | Mexican Pesos | 38,070,625 | U.S. Dollars | 1,900,367 | GSC | (41,799) | ||||||
04/20/21 | South Korean Won | 1,884,030,205 | U.S. Dollars | 1,714,142 | CITI | (45,451) | ||||||
04/08/21 | Taiwan Dollars | 46,737,607 | U.S. Dollars | 1,689,077 | MSCS | (48,664) | ||||||
06/01/21 | Australian Dollars | 4,367,224 | U.S. Dollars | 3,367,841 | MSCS | (49,815) | ||||||
04/20/21 | Norwegian Kroner | 93,933,146 | U.S. Dollars | 11,035,144 | CITI | (52,729) | ||||||
04/20/21 | U.S. Dollars | 4,397,336 | Canadian Dollars | 5,593,225 | SS | (53,578) | ||||||
04/20/21 | Russian Rubles | 231,722,720 | U.S. Dollars | 3,111,815 | SC | (53,703) | ||||||
06/16/21 | Australian Dollars | 4,913,545 | U.S. Dollars | 3,788,608 | MSCS | (55,290) | ||||||
04/20/21 | Swedish Kronor | 15,561,045 | U.S. Dollars | 1,841,750 | GSC | (59,642) | ||||||
04/20/21 | U.S. Dollars | 1,530,594 | South African Rand | 23,555,520 | GSC | (60,959) | ||||||
06/16/21 | New Zealand Dollars | 3,707,903 | U.S. Dollars | 2,655,765 | MSCS | (66,662) |
STRATEGIC ALTERNATIVES FUND
SCHEDULE OF INVESTMENTS (Continued)
Expiration Date | Currency Purchased | Amount of Currency Purchased | Currency Sold | Amount of Currency Sold | Counter- party | Net Unrealized Appreciation (Depreciation) | ||||||
04/20/21 | New Zealand Dollars | 3,238,664 | U.S. Dollars | 2,328,499 | JPM | $(66,702) | ||||||
04/20/21 | U.S. Dollars | 8,099,339 | Canadian Dollars | 10,264,571 | SC | (68,883) | ||||||
04/20/21 | Polish Zloty | 4,814,224 | U.S. Dollars | 1,287,552 | RBC | (69,238) | ||||||
06/16/21 | U.S. Dollars | 2,714,645 | Mexican Pesos | 57,503,460 | MSCS | (74,684) | ||||||
04/20/21 | Czech Republic Koruna | 57,553,811 | U.S. Dollars | 2,662,130 | CITI | (76,110) | ||||||
04/20/21 | Australian Dollars | 7,794,996 | U.S. Dollars | 5,998,501 | SC | (77,136) | ||||||
04/20/21 | Hungarian Forint | 664,537,814 | U.S. Dollars | 2,236,862 | SS | (85,567) | ||||||
05/19/21 | Swedish Kronor | 14,285,000 | U.S. Dollars | 1,722,479 | MSCS | (86,067) | ||||||
04/20/21 | Hungarian Forint | 683,679,523 | U.S. Dollars | 2,302,243 | GSC | (88,981) | ||||||
04/20/21 | U.S. Dollars | 8,367,975 | British Pounds | 6,136,229 | CITI | (92,003) | ||||||
04/20/21 | Polish Zloty | 6,573,235 | U.S. Dollars | 1,755,766 | CITI | (92,307) | ||||||
04/20/21 | Swedish Kronor | 17,931,641 | U.S. Dollars | 2,151,818 | SS | (98,220) | ||||||
04/20/21 | U.S. Dollars | 9,700,971 | Canadian Dollars | 12,315,693 | JPM | (99,471) | ||||||
06/16/21 | Turkish Lira | 7,865,619 | U.S. Dollars | 1,005,862 | MSCS | (102,291) | ||||||
06/16/21 | Euro | 4,691,479 | U.S. Dollars | 5,616,724 | MSCS | (105,874) | ||||||
04/20/21 | Norwegian Kroner | 178,673,052 | U.S. Dollars | 21,002,536 | GSC | (112,555) | ||||||
04/09/21 | Euro | 3,761,031 | U.S. Dollars | 4,535,873 | MSCS | (124,487) | ||||||
04/20/21 | New Zealand Dollars | 6,502,313 | U.S. Dollars | 4,670,976 | SS | (129,934) | ||||||
04/20/21 | Swedish Kronor | 28,209,981 | U.S. Dollars | 3,361,920 | SC | (131,209) | ||||||
04/20/21 | Brazilian Reals | 11,928,483 | U.S. Dollars | 2,256,063 | GSC | (139,337) | ||||||
04/20/21 | Turkish Lira | 13,452,924 | U.S. Dollars | 1,755,615 | GSC | (151,148) | ||||||
04/20/21 | Turkish Lira | 15,855,918 | U.S. Dollars | 2,063,700 | SS | (172,640) | ||||||
04/20/21 | Brazilian Reals | 14,928,943 | U.S. Dollars | 2,824,295 | SS | (175,134) | ||||||
04/20/21 | U.S. Dollars | 17,806,159 | British Pounds | 13,054,847 | RBC | (192,473) | ||||||
04/20/21 | Japanese Yen | 752,998,600 | U.S. Dollars | 7,046,797 | SS | (244,704) | ||||||
04/20/21 | Euro | 7,721,111 | U.S. Dollars | 9,333,960 | SS | (275,655) | ||||||
04/20/21 | Swiss Francs | 6,691,606 | U.S. Dollars | 7,385,492 | SC | (301,702) | ||||||
04/20/21 | New Zealand Dollars | 14,486,356 | U.S. Dollars | 10,424,067 | SC | (307,181) | ||||||
04/20/21 | New Zealand Dollars | 18,858,911 | U.S. Dollars | 13,557,671 | CITI | (387,110) | ||||||
04/20/21 | Swedish Kronor | 72,093,603 | U.S. Dollars | 8,658,488 | RBC | (402,061) | ||||||
04/20/21 | Swiss Francs | 8,001,791 | U.S. Dollars | 8,897,159 | SS | (426,397) | ||||||
04/20/21 | Australian Dollars | 34,139,943 | U.S. Dollars | 26,461,870 | JPM | (527,917) | ||||||
04/20/21 | Japanese Yen | 1,548,045,832 | U.S. Dollars | 14,884,340 | CITI | (900,313) | ||||||
04/20/21 | Euro | 24,993,133 | U.S. Dollars | 30,233,224 | SC | (911,613) | ||||||
04/20/21 | Swiss Francs | 15,366,960 | U.S. Dollars | 17,280,421 | CITI | (1,012,831) | ||||||
04/20/21 | Japanese Yen | 2,193,238,105 | U.S. Dollars | 21,006,597 | SC | (1,194,327) | ||||||
04/20/21 | Euro | 29,291,208 | U.S. Dollars | 35,575,432 | JPM | (1,211,376) | ||||||
Subtotal Depreciation | $(12,081,202) | |||||||||||
Total Forward Foreign Currency Contracts outstanding at March 31, 2021 | $102,842 |
Swap Agreements outstanding at March 31, 2021:
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
Centrally Cleared Interest Rate Swaps | ||||||||||||||
5.80% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2023 | BRL | 11,831,599 | $15,331 | $7,701 | $7,630 | |||||||
3-Month ASX BBSW (Quarterly) | 0.19% (Quarterly) | 2/22/2023 | AUD | 79,450,000 | (22,822) | (28,747) | 5,925 | |||||||
3-Month CDOR (Semiannually) | 0.80% (Semiannually) | 2/28/2023 | CAD | 61,240,000 | 45,494 | 8,748 | 36,746 | |||||||
3-Month CDOR (Semiannually) | 0.75% (Semiannually) | 3/1/2023 | CAD | 123,720,000 | 37,902 | (33,551) | 71,453 | |||||||
0.28% (Semiannually) | 3-Month LIBOR (Quarterly) | 3/3/2023 | USD | 97,290,000 | 55,785 | 20,790 | 34,995 | |||||||
1.40% (Semiannually) | 1-Day CLP-TNA (Semiannually) | 6/16/2023 | CLP | 2,995,490,000 | 26,228 | 8,251 | 17,977 | |||||||
1.50% (Annually) | 6-Month BUBOR (Semiannually) | 6/16/2023 | HUF | 2,191,470,000 | 12,190 | (6,442) | 18,632 |
199
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
6-Month EURIBOR (Semiannually) | (0.50)% (Annually) | 6/16/2023 | EUR | 7,640,000 | $(2,329) | $(6,382) | $4,053 | |||||||
Colombia Overnight Interbank Rate (Quarterly) | 3.30% (Quarterly) | 6/16/2023 | COP | 5,629,700,000 | 1,214 | 295 | 919 | |||||||
0.25% (Semiannually) | 3-Month LIBOR (Quarterly) | 6/16/2024 | USD | 6,060,000 | 62,590 | 46,150 | 16,440 | |||||||
1-Day SOFR + 0.24% (Quarterly) | 3-Month LIBOR (Quarterly) | 11/10/2024 | USD | 40,350,000 | 6,133 | 38 | 6,095 | |||||||
6.32% (Upon termination) | 1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 1/2/2025 | BRL | 19,895,989 | 175,970 | 27,728 | 148,242 | |||||||
0.27% (Annually) | 1-Day SONIA (Annually) | 6/17/2025 | GBP | 10,000 | 38 | (174) | 212 | |||||||
1.55% (Semiannually) | 6-Month ASX BBSW (Semiannually) | 2/23/2026 | AUD | 24,800,000 | 37,571 | 18,552 | 19,019 | |||||||
1.60% (Semiannually) | 3-Month LIBOR (Quarterly) | 3/11/2026 | USD | 18,500,000 | 89,038 | 37,223 | 51,815 | |||||||
4.75% (Semiannually) | 1-Day MIBOR (Semiannually) | 3/17/2026 | INR | 593,150,000 | 154,267 | (3,167) | 157,434 | |||||||
(0.50)% (Annually) | 1-Day ESTR (Annually) | 6/16/2026 | EUR | 34,500,000 | 145,608 | 124,687 | 20,921 | |||||||
(0.50)% (Annually) | 6-Month LIBOR (Semiannually) | 6/16/2026 | CHF | 2,180,000 | 13,667 | 12,931 | 736 | |||||||
0.00% (Semiannually) | 6-Month LIBOR (Semiannually) | 6/16/2026 | JPY | 797,170,000 | 7,556 | 6,485 | 1,071 | |||||||
1-Day SONIA (Annually) | 0.00% (Annually) | 6/16/2026 | GBP | 5,360,000 | (182,710) | (183,980) | 1,270 | |||||||
3-Month New Zealand BBR FRA (Quarterly) | 1.25% (Semiannually) | 6/16/2026 | NZD | 5,930,000 | 9,929 | (5,736) | 15,665 | |||||||
3-Month SEK STIBOR (Quarterly) | 0.50% (Annually) | 6/16/2026 | SEK | 143,170,000 | 114,392 | 107,297 | 7,095 | |||||||
6-Month NIBOR (Semiannually) | 1.50% (Annually) | 6/16/2026 | NOK | 116,620,000 | (10,759) | (18,219) | 7,460 | |||||||
3-Month JIBAR (Quarterly) | 6.25% (Quarterly) | 6/17/2026 | ZAR | 25,285,000 | 3,784 | 1,874 | 1,910 | |||||||
(0.50)% (Annually) | 1-Day ESTR (Annually) | 6/16/2028 | EUR | 7,470,000 | 137,489 | 125,004 | 12,485 | |||||||
1.00% (Semiannually) | 3-Month CDOR (Semiannually) | 6/16/2028 | CAD | 5,760,000 | 256,109 | 200,951 | 55,158 | |||||||
0.25% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/19/2030 | JPY | 273,080,000 | (3,342) | (7,968) | 4,626 | |||||||
0.25% (Annually) | 6-Month EURIBOR (Semiannually) | 6/18/2030 | EUR | 7,240,000 | 37,307 | (76,553) | 113,860 | |||||||
0.75% (Annually) | 3-Month STIBOR (Quarterly) | 6/18/2030 | SEK | 9,340,000 | 21,350 | (9,358) | 30,708 | |||||||
1.24% (Annually) | 6-Month NIBOR (Semiannually) | 10/29/2030 | NOK | 69,540,000 | 373,891 | 217,585 | 156,306 | |||||||
0.50% (Semiannually) | 6-Month LIBOR (Semiannually) | 1/26/2031 | GBP | 10,740,000 | 658,617 | 315,698 | 342,919 | |||||||
1.50% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/2/2031 | USD | 2,160,000 | 103,135 | 58,793 | 44,342 | |||||||
1.00% (Semiannually) | 6-Month LIBOR (Semiannually) | 2/10/2031 | GBP | 8,030,000 | 230,570 | 80,782 | 149,788 | |||||||
6.40% (Lunar) | 28-Day Mexico Interbank TIIE (Lunar) | 6/4/2031 | MXN | 78,160,000 | 149,449 | 13,145 | 136,304 | |||||||
0.00% (Semiannually) | 6-Month LIBOR (Semiannually) | 6/16/2031 | JPY | 1,051,170,000 | 158,502 | 155,126 | 3,376 | |||||||
0.25% (Annually) | 1-Day SONIA (Annually) | 6/16/2031 | GBP | 7,750,000 | 603,582 | 524,554 | 79,028 | |||||||
0.75% (Semiannually) | 3-Month LIBOR (Quarterly) | 6/16/2031 | USD | 340,000 | 34,475 | 26,972 | 7,503 | |||||||
1.10% (Annually) | 3-Month TELBOR (Quarterly) | 6/16/2031 | ILS | 6,640,000 | 49,785 | (4,793) | 54,578 | |||||||
2.00% (Annually) | 6-Month NIBOR (Semiannually) | 6/16/2031 | NOK | 21,090,000 | (25,161) | (37,354) | 12,193 | |||||||
2.25% (Annually) | 6-Month BUBOR (Semiannually) | 6/16/2031 | HUF | 236,825,000 | 33,543 | 4,687 | 28,856 | |||||||
1.10% (Annually) | 1-Day SONIA (Annually) | 2/17/2036 | GBP | 9,950,000 | 107,094 | 18,471 | 88,623 | |||||||
2.43% (Semiannually) | 3-Month LIBOR (Quarterly) | 2/25/2036 | USD | 17,340,000 | 182,081 | 20,567 | 161,514 | |||||||
2.50% (Semiannually) | 3-Month LIBOR (Quarterly) | 3/10/2036 | USD | 20,910,000 | 159,941 | 106,475 | 53,466 | |||||||
0.26% (Annually) | 6-Month EURIBOR (Semiannually) | 5/21/2040 | EUR | 28,220,000 | 1,989,871 | 426,551 | 1,563,320 | |||||||
2.75% (Semiannually) | 6-Month ASX BBSW (Semiannually) | 2/24/2041 | AUD | 7,650,000 | 113,852 | 27,896 | 85,956 | |||||||
1.10% (Annually) | 1-Day SONIA (Annually) | 3/24/2041 | GBP | 7,790,000 | 100,939 | 66,223 | 34,716 | |||||||
1.25% (Semiannually) | 6-Month LIBOR (Semiannually) | 3/11/2051 | GBP | 1,610,000 | 38,471 | 12,708 | 25,763 | |||||||
0.00% (Annually) | 6-Month EURIBOR (Semiannually) | 6/16/2051 | EUR | 440,000 | 73,383 | 60,217 | 13,166 | |||||||
0.50% (Semiannually) | 6-Month LIBOR (Semiannually) | 6/16/2051 | JPY | 210,710,000 | 41,008 | 35,288 | 5,720 | |||||||
Subtotal Appreciation | $6,422,008 | $2,504,019 | $3,917,989 | |||||||||||
0.25% (Annually) | 3-Month WIBOR (Quarterly) | 12/16/2021 | PLN | 42,620,000 | $(7,769) | $(2,188) | $(5,581) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 3.39% (Upon termination) | 1/3/2022 | BRL | 33,647,155 | (43,973) | — | (43,973) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 4.12% (Upon termination) | 1/3/2022 | BRL | 14,754,934 | 39,188 | 62,563 | (23,375) |
STRATEGIC ALTERNATIVES FUND
SCHEDULE OF INVESTMENTS (Continued)
Pay Rate Index/Pay Rate | Receive Rate/Receive Rate Index | Maturity Date | Currency | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation (Depreciation) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 4.23% (Upon termination) | 1/2/2023 | BRL | 11,656,189 | $(52,154) | $2,673 | $(54,827) | |||||||
4.70% (Lunar) | 28-Day Mexico Interbank TIIE (Lunar) | 6/14/2023 | MXN | 30,975,000 | 16,133 | 16,983 | (850) | |||||||
0.35% (Semiannually) | 6-Month EURIBOR (Annually) | 6/16/2023 | PLN | 221,749 | (280) | 29 | (309) | |||||||
1.00% (Quarterly) | 3-Month KWCDC (Quarterly) | 6/16/2023 | KRW | 18,391,080,000 | 46,402 | 61,442 | (15,040) | |||||||
2.75% (Quarterly) | 7-Day CFETS Repo Rate (Quarterly) | 6/16/2023 | CNY | 6,260,000 | (2,770) | (317) | (2,453) | |||||||
4.75% (Semiannually) | 1-Day MIBOR (Semiannually) | 6/16/2023 | INR | 66,700,000 | (5,764) | (1,293) | (4,471) | |||||||
3-Month CDOR (Semiannually) | 0.70% (Semiannually) | 11/18/2023 | CAD | 15,490,000 | (52,677) | 16,178 | (68,855) | |||||||
1-Day Brazil Cetip DI Interbank Deposit Rate (Upon termination) | 4.93% (Upon termination) | 1/2/2024 | BRL | 4,579,538 | (34,945) | 2,088 | (37,033) | |||||||
3-Month ASX BBSW (Quarterly) | 0.50% (Quarterly) | 1/25/2024 | AUD | 41,880,000 | (37,682) | 61,410 | (99,092) | |||||||
3-Month ASX BBSW (Quarterly) | 0.50% (Quarterly) | 2/24/2024 | AUD | 13,810,000 | 10,607 | 34,134 | (23,527) | |||||||
3-Month CDOR (Semiannually) | 0.75% (Semiannually) | 6/16/2024 | CAD | 6,960,000 | (44,766) | (36,791) | (7,975) | |||||||
1-Month LIBOR + 0.09% (Quarterly) | 3-Month LIBOR (Quarterly) | 7/25/2024 | USD | 68,000,000 | 12,865 | 22,829 | (9,964) | |||||||
1.25% (Semiannually) | 6-Month THBFIX (Semiannually) | 6/17/2025 | THB | 20,000 | (9) | — | (9) | |||||||
6-Month THBFIX (Semiannually) | 0.75% (Semiannually) | 12/16/2025 | THB | 128,470,000 | (52,678) | 1,642 | (54,320) | |||||||
6-Month WIBOR (Semiannually) | 0.75% (Annually) | 12/16/2025 | PLN | 8,550,000 | (43,977) | (1,832) | (42,145) | |||||||
28-Day Mexico Interbank TIIE (Lunar) | 5.55% (Lunar) | 6/10/2026 | MXN | 4,280,000 | (5,797) | — | (5,797) | |||||||
(0.25)% (Annually) | 6-Month EURIBOR (Semiannually) | 6/16/2026 | EUR | 7,500,000 | (18,012) | (17,302) | (710) | |||||||
3-Month CDOR (Semiannually) | 1.00% (Semiannually) | 6/16/2026 | CAD | 2,840,000 | (59,154) | (48,076) | (11,078) | |||||||
3-Month LIBOR (Quarterly) | 0.50% (Semiannually) | 6/16/2026 | USD | 15,230,000 | (475,659) | (353,074) | (122,585) | |||||||
6-Month ASX BBSW (Semiannually) | 0.50% (Semiannually) | 6/16/2026 | AUD | 13,310,000 | (251,043) | (229,078) | (21,965) | |||||||
6-Month ASX BBSW (Semiannually) | 0.75% (Semiannually) | 6/16/2028 | AUD | 6,200,000 | (227,539) | (210,490) | (17,049) | |||||||
6-Month LIBOR (Semiannually) | (0.25)% (Annually) | 6/16/2028 | CHF | 8,370,000 | (34,576) | (623) | (33,953) | |||||||
6-Month ASX BBSW (Semiannually) | 1.75% (Semiannually) | 3/19/2030 | AUD | 5,460,000 | (169,411) | 2,745 | (172,156) | |||||||
6-Month EURIBOR (Semiannually) | 0.05% (Annually) | 5/21/2030 | EUR | 53,930,000 | (884,766) | 236,191 | (1,120,957) | |||||||
1-Day SONIA (Annually) | 0.31% (Annually) | 6/17/2030 | GBP | 10,000 | (541) | 307 | (848) | |||||||
6-Month ASX BBSW (Semiannually) | 1.24% (Semiannually) | 10/28/2030 | AUD | 8,320,000 | (442,877) | (210,727) | (232,150) | |||||||
6-Month ASX BBSW (Semiannually) | 1.71% (Semiannually) | 1/21/2031 | AUD | 17,280,000 | (667,737) | (225,848) | (441,889) | |||||||
6-Month ASX BBSW (Semiannually) | 1.50% (Semiannually) | 2/2/2031 | AUD | 3,240,000 | (148,946) | (97,466) | (51,480) | |||||||
6-Month EURIBOR (Semiannually) | 0.50% (Annually) | 2/12/2031 | EUR | 10,700,000 | 41,074 | 157,986 | (116,912) | |||||||
1-Day SONIA (Annually) | 0.90% (Annually) | 2/17/2031 | GBP | 8,620,000 | (148,349) | (27,206) | (121,143) | |||||||
6-Month ASX BBSW (Semiannually) | 2.50% (Semiannually) | 2/24/2031 | AUD | 24,240,000 | (302,643) | (178,179) | (124,464) | |||||||
3-Month LIBOR (Quarterly) | 2.21% (Semiannually) | 2/25/2031 | USD | 14,100,000 | (223,625) | (42,325) | (181,300) | |||||||
3-Month LIBOR (Quarterly) | 2.38% (Semiannually) | 3/9/2031 | USD | 26,530,000 | (222,637) | (126,064) | (96,573) | |||||||
1-Day SONIA (Annually) | 1.05% (Annually) | 3/24/2031 | GBP | 12,180,000 | (95,616) | (57,457) | (38,159) | |||||||
3-Month CDOR (Semiannually) | 1.25% (Semiannually) | 6/16/2031 | CAD | 2,770,000 | (183,367) | (169,011) | (14,356) | |||||||
6-Month ASX BBSW (Semiannually) | 1.00% (Semiannually) | 6/16/2031 | AUD | 4,200,000 | (271,522) | (255,396) | (16,126) | |||||||
1-Day SONIA (Annually) | 0.40% (Annually) | 6/17/2040 | GBP | 10,000 | (1,409) | 512 | (1,921) | |||||||
3-Month LIBOR (Quarterly) | 2.00% (Semiannually) | 2/10/2051 | USD | 2,400,000 | (162,486) | (127,796) | (34,690) | |||||||
Subtotal Depreciation | $(5,210,887) | $(1,738,827) | $(3,472,060) | |||||||||||
Net Centrally Cleared Interest Rate Swaps outstanding at March 31, 2021 | $1,211,121 | $765,192 | $445,929 |
201
Non-Deliverable Bond Forward Contracts outstanding at March 31, 2021:
Reference Obligation | Counterparty | Currency | Notional Amount | Settlement Date | Unrealized Appreciation (Depreciation) | |||||
Colombian Domestic Bond, 6.25%, 11/26/2025 | DEUT | COP | 4,599,207,263 | 5/6/2021 | $(33,058) | |||||
Colombian Domestic Bond, 7.50%, 08/26/2026 | DEUT | COP | 1,680,200,000 | 5/6/2021 | (15,623) | |||||
Total Non-Deliverable Bond Forward Contracts outstanding at March 31, 2021 | $(48,681) |
For the Fund’s Valuation Hierarchy (a summary of the inputs used in valuing the Fund’s investments carried at fair value) at December 31, 2020, see Notes to Financial Statements in the Fund’s Annual Report.
See the Notes to Schedules of Investments in the December 31, 2020 GuideStone Funds' Annual Report to shareholders for more information. The Notes also contain Derivative Holdings Categorized by Risk Exposure by Fund as of December 31, 2020, the average balance of derivative holdings by Fund during the period ended December 31, 2020, and the market values of loaned securities and collateral received for each of the Select Funds.
203