Centrally Cleared Interest Rate Swaps (continued)
| Paid by the Fund | | Received by the Fund | | | | | | | | | | |
| Rate | Frequency | Rate | Frequency | | Termination
Date | Notional
Amount
(000) | Value | | Upfront
Premium
Paid
(Received) | | Unrealized
Appreciation
(Depreciation) | |
| 0.91% | Quarterly | 1-day SOFR, 4.49% | Quarterly | | 10/21/50 | USD | 22 | $ 10,923 | | $ — | | $ 10,923 | |
| 1-day Overnight Fed Funds Effective Rate, 4.33% | Quarterly | 0.99% | Quarterly | | 10/21/50 | USD | 22 | (10,456) | | — | | (10,456) | |
| | | | | | | | | $ (512) | | $ — | | $ (512) | |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments at the measurement date. 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 that the Fund has the ability to access for identical assets or liabilities;
• Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly; and
• Level 3 — Inputs that are unobservable and significant to the entire fair value measurement for the asset or liability (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 funds that may not have a secondary market and/or may have a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund’s policy regarding valuation of financial instruments, refer to its most recent financial statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
| | Level 1 | | Level 2 | | Level 3 | | Total |
| Assets | | | | | | | |
| Investments | | | | | | | |
| Long-Term Investments | | | | | | | |
Investment Companies
| $ 951,199 | | $ — | | $ — | | $ 951,199 |
| Derivative Financial Instruments(a) | | | | | | | |
| Assets | | | | | | | |
Interest Rate Contracts
| $ 53,816 | | $ 222,315 | | $ — | | $ 276,131 |
| Liabilities | | | | | | | |
Interest Rate Contracts
| (200) | | (222,827) | | — | | (223,027) |
| | $ 53,616 | | $ (512) | | $ — | | $ 53,104 |
| (a) | Derivative financial instruments are swaps and futures contracts. Swaps and futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
| Currency Abbreviation |
| USD | United States Dollar |
| Portfolio Abbreviation |
| SOFR | Secured Overnight Financing Rate |
