ALTEGRIS FUTURES EVOLUTION STRATEGY FUND | |||||||
CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) | |||||||
September 30, 2021 | |||||||
Shares | Fair Value | ||||||
OPEN END FUNDS — 71.2% | |||||||
FIXED INCOME - 71.2% | |||||||
9,878,841 | DoubleLine Low Duration Bond Fund (Cost $98,393,442) | $ 98,294,470 | |||||
Principal Amount ($) | Coupon Rate (%) | Maturity | |||||
CORPORATE BONDS 0.0%(a) | |||||||
MACHINERY 0.0%(a) | |||||||
52,619 | INVEPAR A-1(b) (c) (d) (e) (f) (Cost $2,502) | 0.0000 | 12/30/28 | — | |||
Shares | |||||||
WARRANT — 0.0%(a) | |||||||
ENGINEERING & CONSTRUCTION - 0.0% (a) | |||||||
43,904 | OAS S.A. (Brazil) (c) (d) (e) (Cost $8,837) | – | |||||
Contracts | |||||||
EQUITY OPTIONS PURCHASED - 20.8% | Broker/Counterparty | Expiration Date | Exercise Price | Notional Value | |||
CALL OPTIONS PURCHASED - 20.8% | |||||||
159,018 | NOMURA CALL OPTION ISAM SHARES | Nomura | 08/16/2023 | $ 0.001 | $ 11,411,581 | $ 11,819,524 | |
158,299 | NOMURA CALL OPTION WNTN SHARES | Nomura | 08/16/2023 | 0.001 | 10,823,587 | 11,243,757 | |
25,987 | NOMURA CALL OPTION WNTN TRND SHARES | Nomura | 08/16/2023 | 0.001 | 5,763,492 | 5,740,355 | |
TOTAL CALL OPTIONS PURCHASED (Cost - $27,998,659) | 28,803,636 | ||||||
TOTAL INVESTMENTS – 92.0% (Cost $126,403,440) | $ 127,098,105 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES- 8.0% | 11,017,341 | ||||||
NET ASSETS - 100.0% | $ 138,115,446 | ||||||
S/A | - Société Anonyme |
(a) | Percentage rounds to less than 0.1%. |
(b) | Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of September 30, 2021 the total market value of 144A securities is $0 or 0% of net assets. |
(c) | The value of these securities have been determined in good faith under the policies of the Board of Trustees as of September 30, 2021. |
(d) | Illiquid holdings. |
(e) | Non-Income producing. |
(f) | Defaulted bond. |
Altegris Futures Evolution Strategy Fund | |||||||||||||
PORTFOLIO OF INVESTMENTS (Continued) | |||||||||||||
September 30, 2021 | |||||||||||||
ISAM Top 50 Holdings ^ | |||||||||||||
FUTURES CONTRACTS | |||||||||||||
Number of Contracts | Description | Expiration Date | Notional Value at September 30, 2021 | Unrealized Appreciation/ (Depreciation) | % of Fund Net Assets | ||||||||
Long Contracts | |||||||||||||
11 | 2 Year Treasury Note Future | Dec-21 | 2,420,602 | $ (3,063) | (0.00)% | ||||||||
360 | Australian 3 Year Bond Future | Dec-21 | 30,293,926 | (56,774) | (0.04)% | ||||||||
51 | Australian Bills Future | Sep-22 | 2,631,265 | (2,297) | (0.00)% | ||||||||
47 | Australian Bills Future | Dec-22 | 2,423,996 | (374) | (0.00)% | ||||||||
20 | Carbon Emission Future | Dec-21 | 1,429,898 | 312,961 | 0.23% | ||||||||
19 | Coffee NY Future | Dec-21 | 1,382,250 | 69,150 | 0.05% | ||||||||
30 | Cotton Future | Dec-21 | 1,587,000 | 274,560 | 0.20% | ||||||||
11 | Euro BTP Future | Dec-21 | 1,935,539 | (29,066) | (0.02)% | ||||||||
151 | Euro BTS Future | Dec-21 | 19,883,103 | (24,816) | (0.02)% | ||||||||
130 | Kosdaq 150 index Future | Dec-21 | 1,596,316 | (33,194) | (0.02)% | ||||||||
32 | LME Aluminum Future | Dec-21 | 2,285,800 | 240,868 | 0.17% | ||||||||
25 | LME Nickel Future | Dec-21 | 2,690,475 | (133,504) | (0.10)% | ||||||||
45 | LME Zinc Future | Dec-21 | 3,360,375 | (10,660) | (0.01)% | ||||||||
34 | Natural Gas Future | Nov-21 | 1,994,780 | 331,800 | 0.24% | ||||||||
99 | Sugar NY Future | Mar-22 | 2,255,299 | 64,120 | 0.05% | ||||||||
Subtotal | 999,711 | ||||||||||||
Short Contracts | |||||||||||||
(73) | Bean Meal Future | Dec-21 | 2,399,510 | 156,190 | 0.11% | ||||||||
(49) | ERX 2 Bund Future | Dec-21 | 6,366,736 | - | 0.00% | ||||||||
(9) | Gold Future | Dec-21 | 1,581,300 | (10,470) | (0.01)% | ||||||||
(39) | H-Share Future | Oct-21 | 2,184,074 | (18,173) | (0.01)% | ||||||||
(1) | Japan Bond Future | Dec-21 | 1,360,362 | 2,426 | 0.00% | ||||||||
(48) | Korean 10 year Bond Future | Dec-21 | 5,031,996 | 39,052 | 0.03% | ||||||||
(46) | Korean Bond Future | Dec-21 | 4,247,346 | (1,173) | (0.00)% | ||||||||
(43) | Lcattle Future | Dec-21 | 2,162,470 | 49,420 | 0.04% | ||||||||
(310) | Life Euribor Future | Sep-22 | 6,439,204 | 11,479 | 0.01% | ||||||||
(13) | LME Nickel Future | Dec-21 | 1,399,047 | 100,878 | 0.07% | ||||||||
(8) | Long Gilt Future | Dec-21 | 1,349,017 | 15,414 | 0.01% | ||||||||
(17) | Silver Future | Dec-21 | 1,873,995 | 78,230 | 0.06% | ||||||||
(146) | Sterling Future | Dec-22 | 1,742,117 | 55,791 | 0.04% | ||||||||
(179) | Sterling Future | Sep-22 | 2,137,391 | 105,038 | 0.08% | ||||||||
Subtotal | 584,102 | ||||||||||||
CREDIT DEFUALT SWAPS | |||||||||||||
Number of Contracts | Description | Maturity Date | Notional Value at September 30, 2021 | Unrealized Appreciation/ (Depreciation) | % of Fund Net Assets | ||||||||
5,050,000 | Markit CDX North America Investment Grade Index | 12/20/2026 | $ 5,050,000 | $ 119,500 | 0.09% | ||||||||
1,350,000 | Markit CDX North America High Yield Index | 12/20/2026 | 1,350,000 | 124,120 | 0.09% | ||||||||
1,150,000 | MARKIT ITRX EUROPE | 12/20/2026 | 1,331,700 | 135,751 | 0.10% | ||||||||
4,250,000 | MARKIT ITRX EUROPE | 12/20/2026 | 4,921,500 | 110,978 | 0.08% | ||||||||
2,950,000 | MARKIT ITRX EUROPE | 12/20/2026 | 3,416,100 | 66,829 | 0.05% | ||||||||
Subtotal | $ 557,178 | ||||||||||||
INTEREST RATE SWAPS | |||||||||||||
Number of Contracts | Description | Maturity Date | Notional Value at September 30, 2021 | Unrealized Appreciation/ (Depreciation) | % of Fund Net Assets | ||||||||
40,000,000 | CNY Rate Swap | 12/15/2023 | 8,830,022 | 33,791 | 0.02% | ||||||||
50,000,000 | USD Rate Swap | 12/20/2023 | �� 11,111,111 | (102) | (0.00)% | ||||||||
600,000,000 | JPY Rate Swap | 3/20/2024 | 1,331,407 | 256,323 | 0.19% | ||||||||
20,000,000 | USD Rate Swap | 12/15/2026 | 10,416,667 | (1,415) | (0.00)% | ||||||||
3,000,000 | GBP Rate Swap | 12/16/2026 | 2,105,313 | 42,074 | 0.03% | ||||||||
3,000,000,000 | KRW Rate Swap | 12/16/2026 | 1,562,500,000 | 20,356 | 0.01% | ||||||||
6,000,000 | NZD Rate Swap | 12/16/2026 | 2,155,938 | 128,156 | 0.09% | ||||||||
10,000,000 | PLN Rate Swap | 12/16/2026 | 1,308,854 | 131,114 | 0.09% | ||||||||
25,000,000 | USD Rate Swap | 12/16/2026 | 13,020,833 | (4,591) | (0.00)% | ||||||||
40,000,000 | CZK Rate Swap | 3/17/2032 | 1,903,292 | 1,713,144 | 1.24% | ||||||||
2,000,000 | NZD Rate Swap | 3/17/2032 | 1,437,292 | 44,819 | 0.03% | ||||||||
2,000,000 | SGD Rate Swap | 3/17/2032 | 1,534,375 | 103,365 | 0.07% | ||||||||
25,000,000 | ZAR Rate Swap | 3/17/2032 | 1,727,578 | (233,702) | |||||||||
Subtotal | $ 2,233,332 | ||||||||||||
FORWARD FOREIGN CURRENCY CONTRACTS | |||||||||||||
Settlement Date | Currency to Deliver/ Receive | Value | U.S. Dollar Value | Unrealized Appreciation/ (Depreciation) | % of Fund Net Assets | ||||||||
To Buy: | |||||||||||||
12/15/21 | USD/NZD | 2,050,000 | 2,058,533 | 58,333 | 0.04% | ||||||||
To Sell: | |||||||||||||
12/15/21 | USD/PEN | 2,300,000 | 2,317,687 | 18,984 | 0.01% | ||||||||
12/15/21 | USD/PHP | 1,900,000 | 1,914,990 | (1,147) | (0.00)% | ||||||||
Subtotal | $ 17,837 | ||||||||||||
All Other Investments | 7,369,031 | ||||||||||||
Total Value of Purchased Option | 11,819,524 | ||||||||||||
^ | This investment is not a direct holding of the Fund. The top 50 holdings were determined based on the absolute notional values of the positions within the underlying basket. |
Altegris Futures Evolution Strategy Fund | |||||||||||||||||
PORTFOLIO OF INVESTMENTS (Continued) | |||||||||||||||||
September 30, 2021 | |||||||||||||||||
WNTN Top 50 Holdings ^ | |||||||||||||||||
FUTURES CONTRACTS | |||||||||||||||||
Number of Contracts | Description | Expiration Date | Notional Value at September 30, 2021 | Unrealized Appreciation/ (Depreciation) | % of Fund Net Assets | ||||||||||||
Long Contracts | |||||||||||||||||
49 | 5 Year T Note Future | Dec-21 | 6,014,367 | $ (29,164) | (0.02)% | ||||||||||||
40 | Australian 10 Yr Bond Future | Dec-21 | 4,089,689 | (74,890) | (0.05)% | ||||||||||||
293 | Australian 3 Yr Bond Future | Dec-21 | 24,655,889 | (47,920) | (0.03)% | ||||||||||||
26 | Austratlian Treasury Bill Future | Dec-21 | 1,342,058 | (36) | (0.00)% | ||||||||||||
31 | Austratlian Treasury Bill Future | Mar-22 | 1,599,988 | (998) | (0.00)% | ||||||||||||
19 | Austratlian Treasury Bill Future | Jun-22 | 980,517 | (552) | (0.00)% | ||||||||||||
21 | Austratlian Treasury Bill Future | Sep-22 | 1,083,462 | (908) | (0.00)% | ||||||||||||
104 | British Pount Future | Dec-21 | 8,758,100 | (204,363) | (0.15)% | ||||||||||||
17 | Canadian Bond Future | Dec-21 | 1,918,854 | (40,158) | (0.03)% | ||||||||||||
31 | Canadian Dollar Future | Dec-21 | 2,444,350 | 2,493 | 0.00% | ||||||||||||
19 | Cotton Future | Dec-21 | 1,005,100 | 105,420 | 0.08% | ||||||||||||
19 | Cotton Future | Mar-22 | 986,860 | 131,360 | 0.10% | ||||||||||||
4 | E-Mini Nasdaq Future | Dec-21 | 1,174,600 | (50,128) | (0.04)% | ||||||||||||
14 | E-Mini S&P 500 Future | Dec-21 | 3,008,425 | (88,840) | (0.06)% | ||||||||||||
53 | Eurodollars Future | Sep-22 | 943,447 | (3,138) | (0.00)% | ||||||||||||
47 | Eurodollars Future | Dec-22 | 835,131 | (8,538) | (0.01)% | ||||||||||||
44 | Eurodollars Future | Mar-23 | 780,764 | (13,513) | (0.01)% | ||||||||||||
12 | Euro BTP Future | Dec-21 | 2,111,497 | (24,434) | (0.02)% | ||||||||||||
35 | Euro BTS Future | Dec-21 | 4,608,666 | (5,315) | (0.00)% | ||||||||||||
6 | Euro Oat Future | Dec-21 | 1,153,021 | (18,621) | (0.01)% | ||||||||||||
8 | Heating Oil Future | Nov-21 | 785,736 | 28,539 | 0.02% | ||||||||||||
23 | Hogs Future | Dec-21 | 785,680 | 77,940 | 0.06% | ||||||||||||
2 | Japan Bond Future | Dec-21 | 2,720,724 | (8,448) | (0.01)% | ||||||||||||
24 | LME Aluminum Future | Oct-21 | 1,709,850 | 186,325 | 0.13% | ||||||||||||
19 | LME Aluminum Future | Nov-21 | 1,356,956 | 112,755 | 0.08% | ||||||||||||
8 | LME Nickel Future | Nov-21 | 861,144 | (50,041) | (0.04)% | ||||||||||||
25 | Natural Gas Future | Nov-21 | 1,466,750 | 176,360 | 0.13% | ||||||||||||
27 | Natural Gas Future | Dec-21 | 1,617,570 | 177,890 | 0.13% | ||||||||||||
16 | New Zealand Dollar Future | Dec-21 | 1,103,840 | (29,985) | (0.02)% | ||||||||||||
4 | OSK Nikkei Future | Dec-21 | 1,059,028 | (16,356) | (0.01)% | ||||||||||||
63 | Peso Future | Dec-21 | 1,525,860 | (40,875) | (0.03)% | ||||||||||||
37 | Sugar #11 Future | May-22 | 818,854 | 15,579 | 0.01% | ||||||||||||
7 | T-Bond Future | Dec-21 | 1,114,531 | (24,195) | (0.02)% | ||||||||||||
32 | T-note Future | Dec-21 | 4,211,500 | (43,922) | (0.03)% | ||||||||||||
6 | Topix Future | Dec-21 | 1,094,886 | (9,122) | (0.01)% | ||||||||||||
Subtotal | $ 180,201 | ||||||||||||||||
Number of Contracts | Description | Expiration Date | Notional Value at September 30, 2021 | Unrealized Appreciation/ (Depreciation) | % of Fund Net Assets | ||||||||||||
Short Contracts | |||||||||||||||||
(78) | Australian Dollar Future | Dec-21 | 5,637,060 | $ 46,000 | 0.03% | ||||||||||||
(124) | Euro Future | Dec-21 | 17,949,000 | 302,215 | 0.22% | ||||||||||||
(6) | Gold Future | Dec-21 | 1,054,200 | (5,380) | (0.00)% | ||||||||||||
(7) | HK Index Future | Oct-21 | 1,102,366 | (5,079) | (0.00)% | ||||||||||||
(14) | H-Shares Index Future | Oct-21 | 784,027 | (10,660) | (0.01)% | ||||||||||||
(23) | LME Aluminum Future | Oct-21 | 1,638,606 | (4,672) | (0.00)% | ||||||||||||
(19) | Swiss Franc Future | Dec-21 | 2,549,563 | 26,937 | 0.02% | ||||||||||||
(122) | Yen Future | Dec-21 | 13,705,175 | 103,486 | 0.07% | ||||||||||||
Subtotal | 452,847 | ||||||||||||||||
FORWARD FOREIGN CURRENCY CONTRACTS | |||||||||||||||||
Settlement Date | Currency to Deliver/ Receive | Value | In Exchange For | Value | U.S. Dollar Value | Unrealized Appreciation/ (Depreciation) | % of Fund Net Assets | ||||||||||
To Buy: | |||||||||||||||||
10/04/21 | USD | 2,300,000 | BRL | 12,192,271 | $ 2,299,743 | $ 60,023 | 0.04% | ||||||||||
12/15/21 | CNH | 40,000,000 | USD | 6,151,056 | 6,204,000 | 20,285 | 0.01% | ||||||||||
12/15/21 | ZAR | 16,000,000 | USD | 1,095,768 | 1,061,424 | (44,381) | (0.03)% | ||||||||||
To Sell: | |||||||||||||||||
10/04/21 | USD | 2,300,000 | BRL | 12,376,344 | 2,299,743 | $ (26,209) | (0.02)% | ||||||||||
11/03/21 | USD | 2,100,000 | BRL | 11,249,530 | 2,108,599 | (42,061) | (0.03)% | ||||||||||
12/15/21 | CNH | 13,500,000 | USD | 2,079,551 | 2,093,850 | (3,276) | (0.00)% | ||||||||||
10/29/21 | USD | 1,900,000 | RUB | 139,369,261 | 1,910,046 | 6,282 | 0.00% | ||||||||||
Subtotal | $ (29,337) | ||||||||||||||||
All Other Investments | 10,580,023 | ||||||||||||||||
Total Value of Purchased Option | 11,243,757 | ||||||||||||||||
^ | This investment is not a direct holding of the Fund. The top 50 holdings were determined based on the absolute notional values of the positions within the underlying basket. |
Altegris Futures Evolution Strategy Fund | |||||||||||||||||
PORTFOLIO OF INVESTMENTS (Continued) | |||||||||||||||||
September 30, 2021 | |||||||||||||||||
WNTN TRND Top 50 Holdings ^ | |||||||||||||||||
FUTURES CONTRACTS | |||||||||||||||||
Number of Contracts | Description | Expiration Date | Notional Value at September 30, 2021 | Unrealized Appreciation/ (Depreciation) | % of Fund Net Assets | ||||||||||||
Long Contracts | |||||||||||||||||
5 | 2 Year Treasury Note Future | Dec-21 | 1,100,273 | (1,297) | (0.00)% | ||||||||||||
4 | 5 Year Treasury Ntoe Future | Dec-21 | 490,969 | (3,445) | (0.00)% | ||||||||||||
91 | Aussie 3 Year Bond Future | Dec-21 | 7,657,631 | (17,055) | (0.01)% | ||||||||||||
10 | Aussie 10 Year Bond Future | Dec-21 | 1,022,422 | (18,911) | (0.01)% | ||||||||||||
13 | Aussie Bills Future | Dec-21 | 671,029 | 356 | 0.00% | ||||||||||||
13 | Aussie Bills Future | Mar-22 | 670,963 | (463) | (0.00)% | ||||||||||||
7 | Aussie Bills Future | Jun-22 | 361,243 | (125) | (0.00)% | ||||||||||||
7 | Aussie Bills Future | Sep-22 | 361,154 | (338) | (0.00)% | ||||||||||||
5 | Australian Index 200 Future | Dec-21 | 658,831 | (9,124) | (0.01)% | ||||||||||||
41 | British Pound Index Future | Dec-21 | 3,452,713 | (91,513) | (0.07)% | ||||||||||||
6 | Canadian Dollar Index Future | Dec-21 | 473,100 | 1,700 | 0.00% | ||||||||||||
9 | Cotton Future | Dec-21 | 476,100 | 57,890 | 0.04% | ||||||||||||
1 | Dax Index Future | Dec-21 | 442,588 | (11,739) | (0.01)% | ||||||||||||
4 | Emini Nasdaq Future | Dec-21 | 1,174,600 | (55,776) | (0.04)% | ||||||||||||
10 | Emini S&P Future | Dec-21 | 2,148,875 | (68,525) | (0.05)% | ||||||||||||
3 | Euro BTS Future | Dec-21 | 395,029 | (486) | (0.00)% | ||||||||||||
2 | Euro Bund Future | Dec-21 | 393,303 | (5,628) | (0.00)% | ||||||||||||
27 | Euro Stoxx Future | Dec-21 | 1,265,648 | (32,169) | (0.02)% | ||||||||||||
4 | Gasoline Blendstock Future | Nov-21 | 368,592 | 14,931 | 0.01% | ||||||||||||
4 | Heating Oil Future | Nov-21 | 392,868 | 23,398 | 0.02% | ||||||||||||
1 | Japan Government Bond Future | Dec-21 | 1,360,362 | (4,224) | (0.00)% | ||||||||||||
5 | LIF FTSE Index Future | Dec-21 | 476,542 | 3,955 | 0.00% | ||||||||||||
13 | LME Aluminum Future | Oct-21 | 926,169 | 110,085 | 0.08% | ||||||||||||
7 | LME Aluminum Future | Dec-21 | 500,019 | 10,416 | 0.01% | ||||||||||||
2 | LME Copper Future | Oct-21 | 447,025 | (375) | (0.00)% | ||||||||||||
8 | LME Lead Future | Oct-21 | 421,700 | (41,658) | (0.03)% | ||||||||||||
4 | LME Nickel Future | Nov-21 | 430,572 | (21,563) | (0.02)% | ||||||||||||
5 | LME Zinc Future | Oct-21 | 372,406 | (4,571) | (0.00)% | ||||||||||||
6 | LME Zinc Future | Nov-21 | 447,675 | (2,658) | (0.00)% | ||||||||||||
12 | Natural Gas Future | Nov-21 | 704,040 | 126,700 | 0.09% | ||||||||||||
8 | Natural Gas Future | Dec-21 | 479,280 | 58,100 | 0.04% | ||||||||||||
7 | New Zealand Dollar Future | Dec-21 | 482,930 | (13,470) | (0.01)% | ||||||||||||
6 | OSK Nikkei Future | Dec-21 | 1,588,542 | (24,085) | (0.02)% | ||||||||||||
72 | Peso Future | Dec-21 | 1,743,840 | (57,230) | (0.04)% | ||||||||||||
7 | Topix Index Future | Dec-21 | 1,277,367 | (13,615) | (0.01)% | ||||||||||||
Subtotal | $ (92,512) | ||||||||||||||||
Number of Contracts | Description | Expiration Date | Notional Value at September 30, 2021 | Unrealized Appreciation/ (Depreciation) | % of Fund Net Assets | ||||||||||||
Short Contracts | |||||||||||||||||
(50) | Australian Dollar Future | Sep-21 | $ 3,613,500 | $ 64,995 | 0.05% | ||||||||||||
(7) | ERX 2 Bund Future | Sep-21 | 909,534 | (6) | (0.00)% | ||||||||||||
(43) | Euro Future | Sep-21 | 6,224,250 | 118,978 | 0.09% | ||||||||||||
(6) | Gold Future | Sep-21 | 1,054,200 | 710 | 0.00% | ||||||||||||
(6) | Hk Index Future | Sep-21 | 944,885 | (11,739) | (0.01)% | ||||||||||||
(9) | Hshares Index Future | Sep-21 | 504,017 | (8,939) | (0.01)% | ||||||||||||
(8) | Lcattle Index Future | Jul-21 | 402,320 | 6,900 | 0.00% | ||||||||||||
(12) | LME Aluminum Future | Jul-21 | 854,925 | 5,788 | 0.00% | ||||||||||||
(2) | LME Copper Future | Sep-22 | 447,025 | 14,082 | 0.01% | ||||||||||||
(8) | LME Lead Future | Dec-22 | 421,700 | 25,236 | 0.02% | ||||||||||||
(5) | LME Zinc Future | Mar-23 | 372,406 | 4,624 | 0.00% | ||||||||||||
(4) | Long Gilt Future | Sep-21 | 674,508 | 6,508 | 0.00% | ||||||||||||
(8) | Swiss Franc Future | Sep-21 | 1,073,500 | 11,950 | 0.01% | ||||||||||||
(4) | Silver Future | Sep-21 | 440,940 | 29,790 | 0.02% | ||||||||||||
(51) | Yen Future | Jul-21 | 5,729,213 | 53,979 | 0.04% | ||||||||||||
Subtotal | $ 322,856 | ||||||||||||||||
All Other Investments | �� | 5,510,011 | |||||||||||||||
Total Value of Purchased Option | 5,740,355 | ||||||||||||||||
^ | This investment is not a direct holding of the Fund. The top 50 holdings were determined based on the absolute notional values of the positions within the underlying basket. |