Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
| Description | Number of
Contracts | Expiration
Date | Notional
Amount
(000) | Value/
Unrealized
Appreciation
(Depreciation) |
| Long Contracts | | | | |
U.S. Treasury Bonds (30 Year)
| 53 | 09/20/23 | $ 6,726 | $ (22,087) |
U.S. Treasury Notes (10 Year)
| 91 | 09/20/23 | 10,216 | (95,319) |
U.S. Ultra Treasury Bonds
| 10 | 09/20/23 | 1,362 | (334) |
U.S. Treasury Notes (2 Year)
| 249 | 09/29/23 | 50,633 | (236,181) |
| | | | | (353,921) |
| Short Contracts | | | | |
U.S. Ultra Treasury Notes (10 Year)
| 176 | 09/20/23 | 20,845 | 147,208 |
U.S. Treasury Notes (5 Year)
| 50 | 09/29/23 | 5,355 | 39,044 |
| | | | | 186,252 |
| | | | | $ (167,669) |
Centrally Cleared Credit Default Swaps — Buy Protection
| Reference Obligation/Index | Financing
Rate
Paid by
the
Fund | Payment
Frequency | Termination
Date | Notional
Amount
(000) | Value | | Upfront
Premium
Paid
(Received) | | Unrealized
Appreciation
(Depreciation) |
CDX.NA.IG.40.V1
| 1.00% | Quarterly | 06/20/28 | USD | 26,580 | $ (407,261) | | $ (284,959) | | $ (122,302) |
OTC Credit Default Swaps — Sell Protection
| Reference Obligation/Index | Financing
Rate
Received
by
the Fund | Payment
Frequency | Counterparty | Termination
Date | Credit
Rating(a) | Notional
Amount
(000)(b) | Value | | Upfront
Premium
Paid
(Received) | | Unrealized
Appreciation
(Depreciation) |
Bank of America Corp.
| 1.00% | Quarterly | JPMorgan Chase Bank N.A. | 06/20/28 | A- | USD | 206 | $ 882 | | $ (894) | | $ 1,776 |
Bank of America Corp.
| 1.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/28 | A- | USD | 4,064 | 17,389 | | 2,681 | | 14,708 |
| | | | | | | | | $ 18,271 | | $ 1,787 | | $ 16,484 |
| (a) | Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
| (b) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:
• Level 1 — Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Fund has the ability to access;
• Level 2 — Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs); and
• Level 3 — Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Valuation Committee’s assumptions used in determining the fair value of financial instruments).
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or
