| LoCorr Macro Strategies Fund | ||||||||||||
| Consolidated Schedule of Investments | ||||||||||||
March 31, 2021 (Unaudited) | ||||||||||||
Maturity Date | Coupon Rate | Principal Amount | Value | |||||||||
| ASSET BACKED SECURITIES: 9.84% | ||||||||||||
| 321 Henderson Receivables I LLC | ||||||||||||
| Series 2006-1A A1 (1 Month LIBOR USD + 0.200%) (a)(c) | 03/15/2041 | 0.31% | 346,494 | $ | 343,078 | |||||||
| Series 2006-4A A1 (1 Month LIBOR USD + 0.200%) (a)(c) | 12/15/2041 | 0.31% | 355,698 | 353,351 | ||||||||
| Series 2004-A A1 (1 Month LIBOR USD + 0.350%) (a)(c) | 09/15/2045 | 0.46% | 77,098 | 75,896 | ||||||||
| American Express Credit Account Master Trust, 2019-1 A | 10/15/2024 | 2.87% | 2,390,000 | 2,450,633 | ||||||||
| American Homes 4 Rent Trust, 2014-SFR2 A (a) | 10/17/2036 | 3.79% | 742,449 | 793,278 | ||||||||
| AmeriCredit Automobile Receivables Trust, 2020-3 A-3 | 06/18/2025 | 0.53% | 5,420,000 | 5,431,926 | ||||||||
| AMSR Trust, 2020-SFR1 A (a) | 04/17/2037 | 1.82% | 499,521 | 505,356 | ||||||||
| Carmax Auto Owner Trust | ||||||||||||
| Series 2019-1 A3 | 03/15/2024 | 3.05% | 1,912,241 | 1,948,484 | ||||||||
| Series 2020-1 A3 | 12/16/2024 | 1.89% | 4,150,000 | 4,242,668 | ||||||||
| Chase Issuance Trust, 2020-A1 A1 | 01/15/2025 | 1.53% | 3,850,000 | 3,935,033 | ||||||||
| Citibank Credit Card Issuance Trust, 2018-A3 A3 | 05/23/2025 | 3.29% | 3,500,000 | 3,719,088 | ||||||||
| Corevest American Finance Trust, 2020-1 A1 (a) | 03/17/2050 | 1.83% | 474,379 | 481,977 | ||||||||
| DB Master Finance LLC, 2019-1A A2I (a) | 05/20/2049 | 3.79% | 1,984,775 | 2,025,245 | ||||||||
| Diamond Resorts Owner Trust, 2018-1 A (a) | 01/21/2031 | 3.70% | 1,193,518 | 1,246,114 | ||||||||
| Discover Card Execution Note Trust, 2018-A2 A2 (1 Month LIBOR USD + 0.330%) (c) | 08/15/2025 | 0.44% | 2,775,000 | 2,787,031 | ||||||||
| Domino's Pizza Master Issuer LLC, 2017-1A A2I (3 Month LIBOR USD + 1.250%) (a)(c) | 07/25/2047 | 1.47% | 1,062,150 | 1,062,086 | ||||||||
| Entergy New Orleans Storm Recovery Funding LLC, 2015-1 A | 06/01/2027 | 2.67% | 787,738 | 801,546 | ||||||||
| Ford Credit Auto Lease Trust, 2019-B A3 | 10/15/2022 | 2.22% | 2,001,655 | 2,012,917 | ||||||||
| Ford Credit Auto Owner Trust, 2018-2 A (a) | 01/15/2030 | 3.47% | 1,400,000 | 1,493,685 | ||||||||
| GM Financial Consumer Automobile Receivables Trust | ||||||||||||
| Series 2020-2 A2B (1 Month LIBOR USD + 1.050%) (c) | 03/16/2023 | 1.16% | 653,696 | 655,387 | ||||||||
| Series 2020-1 A3 | 09/16/2024 | 1.84% | 1,680,000 | 1,705,580 | ||||||||
| Series 2021-1 A-3 | 10/16/2025 | 0.35% | 3,640,000 | 3,636,107 | ||||||||
| Hilton Grand Vacations Trust, 2019-AA A (a) | 07/25/2033 | 2.34% | 2,286,239 | 2,356,577 | ||||||||
| Honda Auto Receivables Owner Trust | ||||||||||||
| Series 2019-1 A3 | 03/20/2023 | 2.83% | 3,552,871 | 3,606,813 | ||||||||
| Series 2020-3 A3 | 10/18/2024 | 0.37% | 6,550,000 | 6,552,194 | ||||||||
| Hyundai Auto Receivables Trust, 2020-C A3 | 05/15/2025 | 0.38% | 5,520,000 | 5,517,884 | ||||||||
| Invitation Homes Trust | ||||||||||||
| Series 2017-SFR2 A (1 Month LIBOR USD + 0.850%) (a)(c) | 12/19/2036 | 0.96% | 1,442,418 | 1,443,997 | ||||||||
| Series 2018-SFR2 A (1 Month LIBOR USD + 0.900%) (a)(c) | 06/18/2037 | 1.01% | 2,393,700 | 2,398,135 | ||||||||
| Series 2018-SFR3 A (1 Month LIBOR USD + 1.000%) (a)(c) | 07/17/2037 | 1.11% | 2,762,479 | 2,767,641 | ||||||||
| Series 2018-SFR4 A (1 Month LIBOR USD + 1.100%) (a)(c) | 01/19/2038 | 1.21% | 913,860 | 916,406 | ||||||||
| Series 2018-SFR4 D (1 Month LIBOR USD + 1.650%) (a)(c) | 01/19/2038 | 1.76% | 2,275,000 | 2,288,072 | ||||||||
| Morgan Stanley Capital I Trust, 2004-HE6 M1 (1 Month LIBOR USD + 0.825%) (c) | 08/25/2034 | 0.93% | 599,268 | 593,675 | ||||||||
| MVW Owner Trust | ||||||||||||
| Series 2019-1A A (a) | 11/20/2036 | 2.89% | 1,082,343 | 1,110,031 | ||||||||
| Series 2019-2A A (a) | 10/20/2038 | 2.22% | 1,613,424 | 1,645,486 | ||||||||
| Navient Student Loan Trust, 2021-A A (a) | 05/15/2069 | 0.84% | 4,256,501 | 4,242,607 | ||||||||
| PFS Financing Corp. | ||||||||||||
| Series 2020-F A (a) | 08/15/2024 | 0.93% | 3,150,000 | 3,168,159 | ||||||||
| Series 2020-G A (a) | 02/17/2026 | 0.97% | 2,288,000 | 2,296,986 | ||||||||
| Progress Residential Trust | ||||||||||||
| Series 2017-SFR1 A (a) | 08/17/2034 | 2.77% | 3,268,809 | 3,288,766 | ||||||||
| Series 2019-SFR4 B (a) | 11/17/2036 | 2.94% | 1,300,000 | 1,321,780 | ||||||||
| Santander Drive Auto Receivables Trust, 2020-4 A-3 | 07/15/2024 | 0.48% | 4,640,000 | 4,648,879 | ||||||||
| Sierra Receivables Funding LLC, 2018-3A A (a) | 09/20/2035 | 3.69% | 1,170,796 | 1,222,296 | ||||||||
| SoFi Professional Loan Program LLC | ||||||||||||
| Series 2016-C A2B (a) | 12/27/2032 | 2.36% | 598,342 | 605,077 | ||||||||
| Series 2016-D A2B (a) | 04/25/2033 | 2.34% | 664,778 | 677,092 | ||||||||
| Series 2015-C A2 (a) | 08/25/2033 | 2.51% | 450,106 | 451,112 | ||||||||
| Series 2016-A A2 (a) | 12/26/2036 | 2.76% | 1,241,858 | 1,259,947 | ||||||||
| Synchrony Card Issuance Trust, 2018-A1 A | 09/15/2024 | 3.38% | 2,935,000 | 2,976,418 | ||||||||
| Tesla Auto Lease Trust | ||||||||||||
| Series 2020-A A2 (a) | 05/20/2023 | 0.55% | 2,434,259 | 2,437,769 | ||||||||
| Series 2021-A B (a) | 03/20/2025 | 1.02% | 2,900,000 | 2,896,895 | ||||||||
| Toyota Auto Receivables Owner Trust, 2020-B A2 | 12/15/2022 | 1.38% | 3,375,078 | 3,387,760 | ||||||||
| Tricon American Homes Trust | ||||||||||||
| Series 2017-SFR1 A (a) | 09/19/2034 | 2.72% | 2,796,487 | 2,814,613 | ||||||||
| Series 2017-SFR2 A (a) | 01/18/2036 | 2.93% | 494,668 | 506,335 | ||||||||
| Series 2017-SFR2 B (a) | 01/18/2036 | 3.28% | 650,000 | 663,386 | ||||||||
| Verizon Owner Trust | ||||||||||||
| Series 2018-1A A1B (1 Month LIBOR USD + 0.260%) (a)(c) | 09/20/2022 | 0.37% | 302,211 | 302,264 | ||||||||
| Series 2018-A A1A | 04/20/2023 | 3.23% | 2,866,506 | 2,894,674 | ||||||||
| Series 2019-B A1A | 12/20/2023 | 2.33% | 2,597,000 | 2,636,478 | ||||||||
| Series 2019-C A1A | 04/20/2024 | 1.94% | 705,000 | 717,129 | ||||||||
| Series 2020-A A1A | 07/20/2024 | 1.85% | 6,765,000 | 6,900,385 | ||||||||
| TOTAL ASSET BACKED SECURITIES (Cost $123,837,635) | 125,220,184 | |||||||||||
| CORPORATE BONDS: 24.62% | ||||||||||||
| Agriculture: 0.41% | ||||||||||||
| BAT Capital Corp. | 08/15/2024 | 3.22% | 1,125,000 | 1,197,520 | ||||||||
| BAT International Finance PLC (b) | 03/25/2026 | 1.67% | 4,085,000 | 4,041,808 | ||||||||
| 5,239,328 | ||||||||||||
| Auto Manufacturers: 0.46% | ||||||||||||
| General Motors Financial Co., Inc. | 06/20/2025 | 2.75% | 3,845,000 | 4,012,294 | ||||||||
| Volkswagen Group of America Finance LLC (a) | 11/24/2025 | 1.25% | 1,800,000 | 1,772,796 | ||||||||
| 5,785,090 | ||||||||||||
| Banks: 13.25% | ||||||||||||
| Banco Santander SA (b) | 02/23/2023 | 3.13% | 2,800,000 | 2,929,310 | ||||||||
| Banco Santander SA (b) | 05/28/2025 | 2.75% | 1,015,000 | 1,060,100 | ||||||||
| Bank of America Corp. | 10/21/2022 | 2.50% | 3,680,000 | 3,722,793 | ||||||||
| Bank of America Corp. | 01/11/2023 | 3.30% | 4,240,000 | 4,454,257 | ||||||||
| Bank of America Corp. (3 Month LIBOR USD + 0.930%) (c) | 07/21/2023 | 2.82% | 2,150,000 | 2,213,259 | ||||||||
| Bank of America Corp. (SOFR + 0.740%) (c) | 10/24/2024 | 0.81% | 7,665,000 | 7,683,617 | ||||||||
| Bank of America Corp. (SOFR + 1.150%) (c) | 06/19/2026 | 1.32% | 6,095,000 | 6,074,013 | ||||||||
| Bank of America Corp. (SOFR + 1.010%) (c) | 10/24/2026 | 1.20% | 3,925,000 | 3,870,047 | ||||||||
| Bank of Montreal (b) | 03/26/2022 | 2.90% | 1,770,000 | 1,815,807 | ||||||||
| Bank of New York Mellon Corp. | 02/07/2022 | 2.60% | 1,000,000 | 1,017,930 | ||||||||
| Bank of New York Mellon Corp. | 10/24/2024 | 2.10% | 1,200,000 | 1,262,393 | ||||||||
| Barclays PLC (1 Year CMT Rate + 0.800%) (b)(c) | 12/10/2024 | 1.01% | 3,025,000 | 3,026,043 | ||||||||
| BNP Paribas SA (3 Month LIBOR USD + 1.111%) (a)(b)(c) | 11/19/2025 | 2.82% | 3,640,000 | 3,831,317 | ||||||||
| Citigroup, Inc. | 01/14/2022 | 4.50% | 2,515,000 | 2,596,810 | ||||||||
| Citigroup, Inc. (3 Month LIBOR USD + 0.722%) (c) | 01/24/2023 | 3.14% | 5,735,000 | 5,849,194 | ||||||||
| Citigroup, Inc. (3 Month LIBOR USD + 1.023%) (c) | 06/01/2024 | 4.04% | 4,140,000 | 4,434,977 | ||||||||
| Citigroup, Inc. (SOFR + 0.686%) (c) | 10/30/2024 | 0.78% | 4,880,000 | 4,876,441 | ||||||||
| Citigroup, Inc. (SOFR + 0.765%) (c) | 01/28/2027 | 1.12% | 1,610,000 | 1,574,146 | ||||||||
| Cooperatieve Rabobank UA (b) | 11/09/2022 | 3.95% | 2,130,000 | 2,242,633 | ||||||||
| Credit Suisse AG (b) | 05/05/2023 | 1.00% | 2,610,000 | 2,622,993 | ||||||||
| Danske Bank A/S (1 Year CMT Rate + 1.730%) (a)(b)(c) | 01/12/2023 | 5.00% | 2,895,000 | 2,986,521 | ||||||||
| Goldman Sachs Group, Inc. | 01/22/2023 | 3.63% | 3,685,000 | 3,885,395 | ||||||||
| Goldman Sachs Group, Inc. | 02/23/2023 | 3.20% | 4,935,000 | 5,163,997 | ||||||||
| Goldman Sachs Group, Inc. (SOFR + 0.572%) (c) | 03/08/2024 | 0.67% | 16,870,000 | 16,856,130 | ||||||||
| Goldman Sachs Group, Inc. | 04/01/2025 | 3.50% | 1,925,000 | 2,084,829 | ||||||||
| HSBC Bank Canada (a)(b) | 09/10/2023 | 1.65% | 2,000,000 | 2,036,857 | ||||||||
| HSBC Holdings PLC (SOFR + 1.538%) (b)(c) | 04/18/2026 | 1.65% | 750,000 | 750,178 | ||||||||
| HSBC Holdings PLC (SOFR + 1.929%) (b)(c) | 06/04/2026 | 2.10% | 4,900,000 | 4,980,766 | ||||||||
| Huntington National Bank | 04/01/2022 | 3.13% | 1,735,000 | 1,778,476 | ||||||||
| ING Groep NV (b) | 04/09/2024 | 3.55% | 3,095,000 | 3,331,563 | ||||||||
| JP Morgan Chase & Co. | 09/23/2022 | 3.25% | 1,565,000 | 1,632,720 | ||||||||
| JP Morgan Chase & Co. | 01/25/2023 | 3.20% | 8,345,000 | 8,765,362 | ||||||||
| JP Morgan Chase & Co. (SOFR + 0.600%) (c) | 09/16/2024 | 0.65% | 450,000 | 450,854 | ||||||||
| JP Morgan Chase & Co. (SOFR + 0.800%) (c) | 11/19/2026 | 1.05% | 2,000,000 | 1,952,565 | ||||||||
| JP Morgan Chase & Co. (SOFR + 0.695%) (c) | 02/04/2027 | 1.04% | 2,120,000 | 2,066,631 | ||||||||
| Mitsubishi UFJ Financial Group, Inc. (1 Year CMT Rate + 0.680%) (b)(c) | 09/15/2024 | 0.85% | 3,025,000 | 3,027,928 | ||||||||
| Morgan Stanley | 11/01/2022 | 4.88% | 1,900,000 | 2,025,638 | ||||||||
| Morgan Stanley | 01/23/2023 | 3.13% | 7,925,000 | 8,297,578 | ||||||||
| Morgan Stanley (SOFR + 0.455%) (c) | 01/25/2024 | 0.53% | 4,700,000 | 4,691,268 | ||||||||
| National Bank of Canada (a)(b) | 10/07/2022 | 2.15% | 1,600,000 | 1,639,897 | ||||||||
| NatWest Markets PLC (a)(b) | 05/21/2023 | 2.38% | 3,345,000 | 3,468,560 | ||||||||
| Royal Bank of Canada (b) | 11/01/2024 | 2.25% | 1,855,000 | 1,945,699 | ||||||||
| Santander UK PLC (b) | 01/13/2023 | 2.10% | 1,778,000 | 1,827,616 | ||||||||
| State Street Corp. (SOFR + 2.690%) (c) | 03/30/2023 | 2.83% | 2,010,000 | 2,059,268 | ||||||||
| Svenska Handelsbanken AB (a)(b) | 06/30/2023 | 0.63% | 1,860,000 | 1,866,408 | ||||||||
| Truist Financial Corp. | 08/05/2025 | 1.20% | 2,565,000 | 2,558,414 | ||||||||
| UBS AG/London (a)(b) | 04/21/2022 | 1.75% | 1,750,000 | 1,774,167 | ||||||||
| UBS Group AG (1 Year CMT Rate + 0.830%) (a)(b)(c) | 07/30/2024 | 1.01% | 600,000 | 603,461 | ||||||||
| Wells Fargo & Co. | 02/13/2023 | 3.45% | 4,195,000 | 4,418,488 | ||||||||
| Wells Fargo & Co. (SOFR + 1.600%) (c) | 06/02/2024 | 1.65% | 2,375,000 | 2,426,066 | ||||||||
| 168,511,380 | ||||||||||||
| Biotechnology: 0.36% | ||||||||||||
| Gilead Sciences, Inc. | 09/29/2023 | 0.75% | 1,650,000 | 1,651,802 | ||||||||
| Royalty Pharma PLC (a)(b) | 09/02/2023 | 0.75% | 2,975,000 | 2,971,906 | ||||||||
| 4,623,708 | ||||||||||||
| Chemicals: 0.15% | ||||||||||||
| DuPont de Nemours, Inc. | 11/15/2023 | 4.21% | 1,765,000 | 1,917,221 | ||||||||
| Computers: 0.10% | ||||||||||||
| Apple, Inc. | 05/03/2023 | 2.40% | 1,175,000 | 1,227,471 | ||||||||
| Diversified Financial Services: 1.78% | ||||||||||||
| AerCap Ireland Capital/Global Aviation Trust (b) | 01/15/2025 | 3.50% | 1,945,000 | 2,039,016 | ||||||||
| Air Lease Corp. | 07/03/2023 | 3.88% | 1,855,000 | 1,971,726 | ||||||||
| Air Lease Corp. | 02/01/2024 | 4.25% | 925,000 | 1,003,431 | ||||||||
| American Express Co. | 05/20/2022 | 2.75% | 505,000 | 517,568 | ||||||||
| American Express Co. | 07/30/2024 | 2.50% | 2,000,000 | 2,111,222 | ||||||||
| Capital One Bank | 02/15/2023 | 3.38% | 1,700,000 | 1,785,533 | ||||||||
| CDP Financial, Inc. (a)(b) | 03/07/2022 | 2.75% | 2,190,000 | 2,240,352 | ||||||||
| GE Capital International Funding Co. Unlimited Co. (b) | 11/15/2025 | 3.37% | 8,205,000 | 8,892,949 | ||||||||
| OMERS Finance Trust (a)(b) | 05/02/2024 | 2.50% | 1,930,000 | 2,042,100 | ||||||||
| 22,603,897 | ||||||||||||
| Electric: 0.72% | ||||||||||||
| Eversource Energy | 08/15/2025 | 0.80% | 350,000 | 341,053 | ||||||||
| Exelon Generation Co. LLC | 03/15/2022 | 3.40% | 620,000 | 635,562 | ||||||||
| Exelon Generation Co. LLC | 06/01/2025 | 3.25% | 810,000 | 864,481 | ||||||||
| Nextera Energy Capital Holdings, Inc. | 04/01/2022 | 2.90% | 3,100,000 | 3,177,984 | ||||||||
| Southern California Edison Co. | 04/01/2024 | 1.10% | 3,415,000 | 3,414,687 | ||||||||
| Southern California Edison Co. | 02/01/2026 | 1.20% | 700,000 | 689,626 | ||||||||
| 9,123,393 | ||||||||||||
| Insurance: 0.77% | ||||||||||||
| American International Group, Inc. | 06/30/2025 | 2.50% | 665,000 | 697,465 | ||||||||
| Aon Corp. | 11/15/2022 | 2.20% | 1,660,000 | 1,704,295 | ||||||||
| Equitable Financial Life Global (a) | 07/07/2025 | 1.40% | 2,435,000 | 2,432,742 | ||||||||
| Metropolitan Life Global Funding I (a) | 07/02/2025 | 0.95% | 3,155,000 | 3,118,860 | ||||||||
| Voya Financial, Inc. | 07/15/2024 | 3.13% | 1,765,000 | 1,886,034 | ||||||||
| 9,839,396 | ||||||||||||
| Media: 0.65% | ||||||||||||
| Comcast Corp. | 04/15/2024 | 3.70% | 7,625,000 | 8,326,852 | ||||||||
| Miscellaneous Manufacturing: 0.13% | ||||||||||||
| Parker-Hannifin Corp. | 06/14/2024 | 2.70% | 1,540,000 | 1,631,650 | ||||||||
| Oil & Gas: 1.26% | ||||||||||||
| Atmos Energy Corp. (3 Month LIBOR USD + 0.380%) (c) | 03/09/2023 | 0.57% | 1,035,000 | 1,035,113 | ||||||||
| Chevron Corp. | 05/11/2023 | 1.14% | 2,485,000 | 2,526,368 | ||||||||
| Diamondback Energy, Inc. | 12/01/2024 | 2.88% | 1,865,000 | 1,966,551 | ||||||||
| ONE Gas, Inc. | 03/11/2024 | 1.10% | 6,005,000 | 6,002,828 | ||||||||
| Phillips 66 | 02/15/2024 | 0.90% | 2,280,000 | 2,280,549 | ||||||||
| Saudi Arabian Oil Co. (a)(b) | 04/16/2022 | 2.75% | 2,150,000 | 2,203,387 | ||||||||
| 16,014,796 | ||||||||||||
| Packaging & Containers: 0.13% | ||||||||||||
| Berry Global, Inc. (a) | 02/15/2024 | 0.95% | 1,655,000 | 1,647,205 | ||||||||
| Pharmaceuticals: 1.07% | ||||||||||||
| AbbVie, Inc. | 11/06/2022 | 2.90% | 1,015,000 | 1,052,634 | ||||||||
| AbbVie, Inc. | 11/21/2022 | 2.30% | 1,805,000 | 1,857,172 | ||||||||
| AbbVie, Inc. | 11/21/2024 | 2.60% | 4,460,000 | 4,708,995 | ||||||||
| Bristol-Myers Squibb Co. | 11/13/2023 | 0.54% | 1,855,000 | 1,855,163 | ||||||||
| CVS Health Corp. | 08/12/2024 | 3.38% | 3,880,000 | 4,174,105 | ||||||||
| 13,648,069 | ||||||||||||
| Pipelines: 0.48% | ||||||||||||
| Energy Transfer Operating LP | 05/15/2025 | 2.90% | 790,000 | 821,786 | ||||||||
| MPLX LP | 03/01/2026 | 1.75% | 2,935,000 | 2,938,174 | ||||||||
| ONEOK, Inc. | 09/01/2024 | 2.75% | 775,000 | 813,002 | ||||||||
| TransCanada PipeLines Ltd. (b) | 08/01/2022 | 2.50% | 1,500,000 | 1,542,241 | ||||||||
| 6,115,203 | ||||||||||||
| Real Estate Investment Trusts: 0.78% | ||||||||||||
| American Tower Corp. | 09/15/2025 | 1.30% | 4,860,000 | 4,837,039 | ||||||||
| Camden Property Trust | 12/15/2022 | 2.95% | 1,457,000 | 1,508,788 | ||||||||
| Crown Castle International Corp. | 07/15/2025 | 1.35% | 1,760,000 | 1,755,613 | ||||||||
| Highwoods Realty LP | 06/15/2021 | 3.20% | 474,000 | 474,354 | ||||||||
| Kilroy Realty LP | 01/15/2023 | 3.80% | 1,300,000 | 1,356,463 | ||||||||
| 9,932,257 | ||||||||||||
| Telecommunications: 1.99% | ||||||||||||
| NTT Finance Corp. (a)(b) | 04/03/2026 | 1.16% | 2,695,000 | 2,658,171 | ||||||||
| T-Mobile USA, Inc. (a) | 04/15/2025 | 3.50% | 5,770,000 | 6,228,196 | ||||||||
| Verizon Communications, Inc. | 09/15/2023 | 5.15% | 2,895,000 | 3,210,719 | ||||||||
| Verizon Communications, Inc. | 11/01/2024 | 3.50% | 3,085,000 | 3,348,343 | ||||||||
| Verizon Communications, Inc. | 11/20/2025 | 0.85% | 7,715,000 | 7,546,792 | ||||||||
| Verizon Communications, Inc. | 03/20/2026 | 1.45% | 2,290,000 | 2,290,443 | ||||||||
| 25,282,664 | ||||||||||||
| Transportation: 0.13% | ||||||||||||
| Burlington Northern Santa Fe LLC | 09/01/2024 | 3.40% | 1,580,000 | 1,712,025 | ||||||||
| TOTAL CORPORATE BONDS (Cost $308,824,032) | 313,181,605 | |||||||||||
| MORTGAGE BACKED SECURITIES: 11.42% | ||||||||||||
| ACRE Commercial Mortgage Trust, 2021-FL4 A (1 Month LIBOR USD + 0.830%) (a)(b)(c) | 12/18/2037 | 0.94% | 2,450,000 | 2,442,372 | ||||||||
| Alen Mortgage Trust, 2021-ACEN A (1 Month LIBOR USD + 1.150%) (a)(c) | 04/15/2038 | 1.26% | 3,150,000 | 3,150,937 | ||||||||
| Angel Oak Mortgage Trust, 2020-1 M1 (a)(d) | 12/25/2059 | 3.16% | 1,415,000 | 1,446,185 | ||||||||
| Barclays Commercial Mortgage Securities LLC, 2015-VFM A1 (a) | 03/12/2036 | 2.47% | 1,216,787 | 1,198,735 | ||||||||
| BHP Trust, 2019-BXHP A (1 Month LIBOR USD + 0.975%) (a)(c) | 08/15/2036 | 1.08% | 2,366,383 | 2,365,673 | ||||||||
| BX Commercial Mortgage Trust | ||||||||||||
| Series 2020-FOX A (1 Month LIBOR USD + 1.000%) (a)(c) | 11/15/2032 | 1.11% | 5,000,000 | 5,008,024 | ||||||||
| Series 2019-XL A (1 Month LIBOR USD + 0.920%) (a)(c) | 10/15/2036 | 1.03% | 2,821,534 | 2,823,304 | ||||||||
| Citigroup Commercial Mortgage Trust, 2019-PRM B (a) | 05/10/2035 | 3.64% | 2,100,000 | 2,217,148 | ||||||||
| Comm Mortgage Trust | ||||||||||||
| Series 2013-CR6 A4 | 03/10/2046 | 3.10% | 615,000 | 633,069 | ||||||||
| Series 2013-CR10 A4 (d) | 08/10/2046 | 4.21% | 615,000 | 660,904 | ||||||||
| Series 2014-UBS2 AM | 03/12/2047 | 4.20% | 2,450,000 | 2,639,530 | ||||||||
| Series 2014-CR19 A5 | 08/12/2047 | 3.80% | 1,380,133 | 1,500,302 | ||||||||
| Series 2014-LC17 A5 | 10/11/2047 | 3.92% | 724,000 | 790,988 | ||||||||
| Series 2014-CR21 A3 | 12/10/2047 | 3.53% | 1,667,519 | 1,778,658 | ||||||||
| Series 2015-CR27 AM | 10/13/2048 | 3.98% | 2,000,000 | 2,193,025 | ||||||||
| Connecticut Avenue Securities Trust | ||||||||||||
| Series 2020-R02 2M1 (1 Month LIBOR USD + 0.750%) (a)(c) | 01/25/2040 | 0.86% | 668,130 | 667,917 | ||||||||
| Series 2020-R01 1M1 (1 Month LIBOR USD + 0.800%) (a)(c) | 01/25/2040 | 0.91% | 122,589 | 122,589 | ||||||||
| Credit Suisse Mortgage Capital Certificates, 2019-ICE4 A (1 Month LIBOR USD + 0.980%) (a)(c) | 05/15/2036 | 1.09% | 3,500,000 | 3,503,255 | ||||||||
| Fannie Mae Aces | ||||||||||||
| Series 2017-M7 A1 | 02/25/2027 | 2.60% | 3,404,894 | 3,567,977 | ||||||||
| Series 2019-M6 A1 | 08/25/2028 | 3.30% | 5,500,992 | 5,963,196 | ||||||||
| Fannie Mae Connecticut Avenue Securities | ||||||||||||
| Series 2014-C02 1M2 (1 Month LIBOR USD + 2.600%) (c) | 05/28/2024 | 2.71% | 1,217,157 | 1,196,689 | ||||||||
| Series 2014-C03 1M2 (1 Month LIBOR USD + 3.000%) (c) | 07/25/2024 | 3.11% | 1,360,349 | 1,341,119 | ||||||||
| Series 2017-C02 2ED4 (1 Month LIBOR USD + 0.850%) (c) | 09/25/2029 | 0.96% | 887,387 | 866,404 | ||||||||
| Series 2017-C02 2ED3 (1 Month LIBOR USD + 1.350%) (c) | 09/25/2029 | 1.46% | 1,085,968 | 1,087,593 | ||||||||
| Series 2017-C05 1M2 (1 Month LIBOR USD + 2.200%) (c) | 01/25/2030 | 2.31% | 1,841,376 | 1,859,246 | ||||||||
| Series 2018-C01 1EB1 (1 Month LIBOR USD + 0.450%) (c) | 07/25/2030 | 0.56% | 1,738,000 | 1,721,929 | ||||||||
| FHLMC Multifamily Structured Pass Through Certificates | ||||||||||||
| Series K059 A1 | 09/25/2025 | 2.76% | 1,764,849 | 1,875,145 | ||||||||
| Series KC06 A1 | 02/25/2026 | 2.17% | 4,085,000 | 4,216,767 | ||||||||
| Freddie Mac STACR Trust | ||||||||||||
| Series 2018-DNA2 M2A (1 Month LIBOR USD + 2.150%) (a)(c) | 12/26/2030 | 2.26% | 1,900,000 | 1,912,601 | ||||||||
| Series 2018-DNA3 M2A (1 Month LIBOR USD + 2.100%) (a)(c) | 09/25/2048 | 2.21% | 1,950,000 | 1,954,918 | ||||||||
| Series 2020-DNA2 M1 (1 Month LIBOR USD + 0.750%) (a)(c) | 02/25/2050 | 0.86% | 54,793 | 54,778 | ||||||||
| Freddie Mac Structured Agency Credit Risk Debt Notes | ||||||||||||
| Series 2017-DNA2 M1 (1 Month LIBOR USD + 1.200%) (c) | 10/25/2029 | 1.31% | 580,079 | 580,813 | ||||||||
| Series 2018-HRP2 M3 (1 Month LIBOR USD + 2.400%) (a)(c) | 02/25/2047 | 2.51% | 2,000,000 | 2,015,063 | ||||||||
| Series 2019-HRP1 M2 (1 Month LIBOR USD + 1.400%) (a)(c) | 02/25/2049 | 1.51% | 947,596 | 941,039 | ||||||||
| Series 2020-HQA2 M1 (1 Month LIBOR USD + 1.100%) (a)(c) | 03/25/2050 | 1.21% | 256,900 | 257,021 | ||||||||
| FRESB Multifamily Mortgage Pass Through Certificates | ||||||||||||
| Series 2016-SB17 A7F (d) | 05/25/2023 | 2.15% | 1,310,760 | 1,325,823 | ||||||||
| Series 2016-SB22 A7F (d) | 09/25/2023 | 1.98% | 3,372,198 | 3,443,144 | ||||||||
| Series 2017-SB32 A7F (d) | 04/25/2024 | 2.44% | 2,505,086 | 2,560,082 | ||||||||
| Series 2019-SB67 A5F (d) | 07/25/2024 | 2.09% | 3,466,146 | 3,545,660 | ||||||||
| Series 2019-SB69 A5F (d) | 10/25/2024 | 2.25% | 5,128,783 | 5,283,171 | ||||||||
| Series 2016-SB23 A10F (d) | 09/25/2026 | 2.31% | 1,762,188 | 1,810,134 | ||||||||
| GCT Commercial Mortgage Trust, 2021-GCT A (1 Month LIBOR USD + 0.800%) (a)(c) | 02/15/2038 | 0.91% | 3,850,000 | 3,850,725 | ||||||||
| GS Mortgage Securities Trust | ||||||||||||
| Series 2017-SLP A (a) | 10/12/2032 | 3.42% | 3,000,000 | 3,066,508 | ||||||||
| Series 2019-600C A (a) | 09/12/2034 | 2.94% | 2,065,000 | 2,120,138 | ||||||||
| Series 2013-GC16 B (d) | 11/10/2046 | 5.16% | 206,000 | 221,076 | ||||||||
| Series 2015-GC28 A5 | 02/10/2048 | 3.40% | 1,000,000 | 1,077,580 | ||||||||
| Series 2015-GC28 AS | 02/12/2048 | 3.76% | 1,985,000 | 2,147,147 | ||||||||
| JP Morgan Chase Commercial Mortgage Securities Trust | ||||||||||||
| Series 2018-BCON A (a) | 01/07/2031 | 3.73% | 3,630,000 | 3,764,580 | ||||||||
| Series 2010-C2 A3 (a) | 11/15/2043 | 4.07% | 1,170,919 | 1,173,847 | ||||||||
| Series 2013-C15 A-S | 11/17/2045 | 4.42% | 3,325,000 | 3,586,786 | ||||||||
| Series 2013-C13 A4 (d) | 01/18/2046 | 3.99% | 513,180 | 546,334 | ||||||||
| Series 2014-C23 ASB | 09/17/2047 | 3.66% | 2,063,412 | 2,168,253 | ||||||||
| Series 2014-C22 AS | 09/17/2047 | 4.11% | 3,650,000 | 3,920,807 | ||||||||
| Series 2013-C10 AS | 12/17/2047 | 3.37% | 200,000 | 207,760 | ||||||||
| Series 2016-JP3 A-5 | 08/15/2049 | 2.87% | 1,000,000 | 1,054,791 | ||||||||
| JP Morgan Mortgage Trust | ||||||||||||
| Series 2017-2 A5 (a)(d) | 05/25/2047 | 3.50% | 187,475 | 187,866 | ||||||||
| Series 2018-1 A5 (a)(d) | 06/25/2048 | 3.50% | 93,916 | 93,941 | ||||||||
| Series 2018-5 A5 (a)(d) | 10/25/2048 | 3.50% | 173,548 | 173,445 | ||||||||
| KKR Industrial Portfolio Trust, 2020-AIP D (1 Month LIBOR USD + 2.030%) (a)(c) | 03/16/2037 | 2.14% | 1,398,098 | 1,399,414 | ||||||||
| Ladder Capital Commercial Mortgage Trust, 2013-GCP A1 (a) | 02/15/2036 | 3.57% | 2,346,545 | 2,511,217 | ||||||||
| Merit, 2020-HILL A (1 Month LIBOR USD + 1.150%) (a)(c) | 08/17/2037 | 1.26% | 6,300,000 | 6,319,746 | ||||||||
| Morgan Stanley Capital I Trust, 2017-CLS A (1 Month LIBOR USD + 0.700%) (a)(c) | 11/15/2034 | 0.81% | 2,785,000 | 2,785,880 | ||||||||
| Natixis Commercial Mortgage Securities Trust, 2018-285M A (a)(d) | 11/15/2032 | 3.79% | 1,000,000 | 1,033,796 | ||||||||
| New Residential Mortgage Loan Trust | ||||||||||||
| Series 2015-1A A3 (a)(d) | 05/28/2052 | 3.75% | 600,239 | 633,728 | ||||||||
| Series 2014-2A A3 (a)(d) | 05/25/2054 | 3.75% | 570,804 | 604,785 | ||||||||
| Series 2016-1A A1 (a)(d) | 03/25/2056 | 3.75% | 1,180,531 | 1,246,505 | ||||||||
| Series 2017-1A A1 (a)(d) | 02/25/2057 | 4.00% | 1,617,154 | 1,734,069 | ||||||||
| Series 2017-2A A3 (a)(d) | 03/25/2057 | 4.00% | 1,757,753 | 1,875,542 | ||||||||
| OBX Trust, 2018-1 A2 (1 Month LIBOR USD + 0.650%) (a)(c) | 06/25/2057 | 0.76% | 1,133,031 | 1,135,296 | ||||||||
| Sequoia Mortgage Trust | ||||||||||||
| Series 2017-1 A4 (a)(d) | 02/25/2047 | 3.50% | 547,726 | 549,618 | ||||||||
| Series 2019-5 A4 (a)(d) | 12/25/2049 | 3.50% | 376,244 | 380,757 | ||||||||
| Series 2020-1 A4 (a)(d) | 02/25/2050 | 3.50% | 674,301 | 678,514 | ||||||||
| Series 2020-2 A4 (a)(d) | 03/25/2050 | 3.50% | 920,244 | 932,792 | ||||||||
| Shellpoint Co-Originator Trust, 2017-2 A4 (a)(d) | 10/25/2047 | 3.50% | 25,981 | 25,981 | ||||||||
| UBS Commercial Mortgage Trust, 2012-C1 A3 | 05/12/2045 | 3.40% | 1,009,921 | 1,025,701 | ||||||||
| UBS-Barclays Commercial Mortgage Trust | ||||||||||||
| Series 2013-C5 B (a)(d) | 03/12/2046 | 3.65% | 265,000 | 269,014 | ||||||||
| Series 2013-C6 B (a)(d) | 04/12/2046 | 3.88% | 700,000 | 706,824 | ||||||||
| Verus Securitization Trust, 2020-1 A3 (a)(c) | 01/25/2060 | 2.72% | 1,804,621 | 1,820,655 | ||||||||
| Wells Fargo Commercial Mortgage Trust, 2012-LC5 AS | 10/17/2045 | 3.54% | 650,000 | 673,191 | ||||||||
| WFRBS Commercial Mortgage Trust | ||||||||||||
| Series 2011-C3 A4 (a) | 03/17/2044 | 4.38% | 139,281 | 139,159 | ||||||||
| Series 2013-C13 AS | 05/17/2045 | 3.35% | 650,000 | 677,992 | ||||||||
| Series 2013-C14 A5 | 06/15/2046 | 3.34% | 727,218 | 764,904 | ||||||||
| Series 2014-C24 A5 | 11/18/2047 | 3.61% | 1,000,000 | 1,078,205 | ||||||||
| Series 2014-C22 AS (d) | 09/17/2057 | 4.07% | 350,000 | 380,237 | ||||||||
| TOTAL MORTGAGE BACKED SECURITIES (Cost $143,333,117) | 145,268,033 | |||||||||||
| MUNICIPAL BONDS: 0.54% | ||||||||||||
| Miami Dade County Florida Aviation Refunding Taxable Series B | 10/01/2023 | 2.37% | 1,350,000 | 1,410,163 | ||||||||
| Nebraska Public Power District | 01/01/2024 | 2.22% | 1,700,000 | 1,759,715 | ||||||||
| Pennsylvania State University | 09/01/2023 | 1.35% | 2,945,000 | 3,013,063 | ||||||||
| Water Works Board of the City of Birmingham | 01/01/2024 | 2.20% | 695,000 | 726,259 | ||||||||
| TOTAL MUNICIPAL BONDS (Cost $6,693,518) | 6,909,200 | |||||||||||
| U.S. GOVERNMENT AGENCY ISSUES: 7.70% | ||||||||||||
| Federal Farm Credit Banks | 06/26/2023 | 1.77% | 5,135,000 | 5,314,782 | ||||||||
| Federal Farm Credit Banks | 07/17/2023 | 2.88% | 10,985,000 | 11,653,431 | ||||||||
| Federal Home Loan Banks | 06/10/2022 | 2.13% | 14,115,000 | 14,450,591 | ||||||||
| Federal Home Loan Banks | 06/10/2022 | 2.75% | 6,015,000 | 6,204,189 | ||||||||
| Federal Home Loan Banks | 06/09/2023 | 3.25% | 15,200,000 | 16,176,541 | ||||||||
| Federal Home Loan Banks | 09/08/2023 | 3.38% | 9,000,000 | 9,679,782 | ||||||||
| Federal Home Loan Mortgage Corp. | 05/19/2023 | 0.25% | 7,210,000 | 7,209,815 | ||||||||
| Federal Home Loan Mortgage Corp. | 07/20/2023 | 0.41% | 6,725,000 | 6,729,589 | ||||||||
| Federal Home Loan Mortgage Corp. | 09/08/2023 | 0.25% | 2,000,000 | 1,999,519 | ||||||||
| Federal National Mortgage Association | 04/12/2022 | 2.25% | 3,500,000 | 3,577,533 | ||||||||
| Federal National Mortgage Association | 09/06/2022 | 1.38% | 5,855,000 | 5,962,347 | ||||||||
| Federal National Mortgage Association | 07/10/2023 | 0.25% | 9,000,000 | 9,006,471 | ||||||||
| TOTAL U.S. GOVERNMENT AGENCY ISSUES (Cost $94,931,276) | 97,964,590 | |||||||||||
| U.S. GOVERNMENT NOTES: 31.85% | ||||||||||||
| United States Treasury Note | 03/31/2022 | 1.88% | 955,000 | 971,899 | ||||||||
| United States Treasury Note | 05/15/2022 | 1.75% | 53,910,000 | 54,897,648 | ||||||||
| United States Treasury Note | 07/15/2022 | 1.75% | 10,935,000 | 11,165,233 | ||||||||
| United States Treasury Note | 08/15/2022 | 1.50% | 15,135,000 | 15,422,329 | ||||||||
| United States Treasury Note | 09/15/2022 | 1.50% | 6,785,000 | 6,919,905 | ||||||||
| United States Treasury Note | 10/15/2022 | 1.38% | 18,295,000 | 18,642,319 | ||||||||
| United States Treasury Note | 10/31/2022 | 2.00% | 5,210,000 | 5,362,840 | ||||||||
| United States Treasury Note | 11/30/2022 | 0.13% | 46,625,000 | 46,612,251 | ||||||||
| United States Treasury Note | 03/31/2023 | 1.50% | 33,780,000 | 34,674,642 | ||||||||
| United States Treasury Note | 09/30/2023 | 2.88% | 36,730,000 | 39,133,232 | ||||||||
| United States Treasury Note | 12/31/2023 | 2.63% | 10,545,000 | 11,216,008 | ||||||||
| United States Treasury Note | 01/31/2024 | 2.25% | 20,140,000 | 21,235,899 | ||||||||
| United States Treasury Note | 02/15/2024 | 2.75% | 5,000,000 | 5,346,484 | ||||||||
| United States Treasury Note | 02/29/2024 | 2.38% | 2,265,000 | 2,398,423 | ||||||||
| United States Treasury Note | 03/31/2024 | 2.13% | 4,320,000 | 4,546,463 | ||||||||
| United States Treasury Note | 04/30/2024 | 2.00% | 11,530,000 | 12,099,294 | ||||||||
| United States Treasury Note | 06/30/2024 | 1.75% | 1,885,000 | 1,964,965 | ||||||||
| United States Treasury Note | 09/30/2024 | 1.50% | 16,795,000 | 17,368,392 | ||||||||
| United States Treasury Note | 11/15/2024 | 2.25% | 12,000,000 | 12,730,313 | ||||||||
| United States Treasury Note | 01/31/2025 | 1.38% | 3,260,000 | 3,353,088 | ||||||||
| United States Treasury Note | 02/15/2025 | 7.63% | 1,500,000 | 1,904,121 | ||||||||
| United States Treasury Note | 05/15/2025 | 2.13% | 17,555,000 | 18,576,070 | ||||||||
| United States Treasury Note | 05/31/2025 | 0.25% | 12,575,000 | 12,333,324 | ||||||||
| United States Treasury Note | 07/31/2025 | 0.25% | 33,770,000 | 33,019,409 | ||||||||
| United States Treasury Note | 10/31/2025 | 0.25% | 3,175,000 | 3,090,168 | ||||||||
| United States Treasury Note | 01/31/2026 | 0.38% | 10,490,000 | 10,224,472 | ||||||||
| TOTAL U.S. GOVERNMENT NOTES (Cost $402,500,220) | 405,209,191 | |||||||||||
| SHORT TERM INVESTMENT: 5.24% | ||||||||||||
| MONEY MARKET FUND: 5.24% | Shares | |||||||||||
| STIT-Government & Agency Portfolio, Institutional Class, 0.03% (e)(f) | 66,686,906 | 66,686,906 | ||||||||||
| TOTAL MONEY MARKET FUND (Cost $66,686,906) | 66,686,906 | |||||||||||
| TOTAL SHORT TERM INVESTMENT (Cost $66,686,906) | 66,686,906 | |||||||||||
| TOTAL INVESTMENTS (Cost $1,146,806,704): 91.21% | 1,160,439,709 | |||||||||||
| Other Assets in Excess of Liabilities: 8.79% (g) | 111,820,127 | |||||||||||
| TOTAL NET ASSETS: 100.00% | $ | 1,272,259,836 | ||||||||||
| (a) | Security as defined in Rule 144A under the Securities Act of 1933 and determined to be liquid. Purchased in a private placement transaction; resale to the public may require registration or may extend only to qualified institutional buyers. At March 31, 2021, the value of these securities total $170,280,299 which represents 13.38% of total net assets. |
| (b) | Foreign issued security. |
| (c) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of March 31, 2021. |
| (d) | Variable rate security. The coupon is based on an underlying pool of loans. The rate reported is the rate in effect as of March 31, 2021. |
| (e) | The rate quoted is the annualized seven-day effective yield as of March 31, 2021. |
| (f) | All or a portion of this security is held by LCMFS Fund Limited and pledged as collateral for derivative contracts. At March 31, 2021, the value of this security totals $12,453. |
| (g) | Includes assets pledged as collateral for derivative contracts. At March 31, 2021, the value of these assets totals $70,356,429. |
| CMT | Constant Maturity Treasury |
| LIBOR | London Interbank Offered Rate |
| PLC | Public Limited Company |
| SOFR | Secured Overnight Financing Rate |
| LoCorr Macro Strategies Fund | ||||||||||||||||||||||||
| Consolidated Schedule of Open Forward Currency Contracts | ||||||||||||||||||||||||
March 31, 2021 (Unaudited) | ||||||||||||||||||||||||
| Currency to be Received | Currency to be Delivered | |||||||||||||||||||||||
| Notional | Counterparty | Forward | Currency | U.S. $ Value at | Currency | U.S. $ Value on | Unrealized | Unrealized | ||||||||||||||||
| Amount | Abbreviation | Settlement Date | Abbreviation | March 31, 2021 | Abbreviation | Origination Date | Appreciation | (Depreciation) | ||||||||||||||||
| Purchase Contracts: | ||||||||||||||||||||||||
| $ | 6,380,919 | DB | 04/06/2021 | AUD | $ | 6,365,273 | USD | $ | 6,380,919 | $ | – | $ | (15,646 | ) | ||||||||||
| 135,833,831 | DB | 04/21/2021 | AUD | 134,038,522 | USD | 135,833,831 | – | (1,795,309 | ) | |||||||||||||||
| 20,404,537 | BAML | 06/18/2021 | AUD | 20,005,775 | USD | 20,404,537 | – | (398,762 | ) | |||||||||||||||
| 33,065,000 | DB | 04/22/2021 | BRL | 32,755,071 | USD | 33,065,000 | – | (309,929 | ) | |||||||||||||||
| 108,902,873 | DB | 04/21/2021 | CAD | 108,519,751 | USD | 108,902,873 | – | (383,122 | ) | |||||||||||||||
| 30,651,717 | BAML | 06/18/2021 | CAD | 30,577,667 | USD | 30,651,717 | – | (74,050 | ) | |||||||||||||||
| 5,208,865 | DB | 04/06/2021 | CHF | 5,195,791 | USD | 5,208,865 | – | (13,074 | ) | |||||||||||||||
| 86,189,196 | DB | 04/21/2021 | CHF | 84,828,581 | USD | 86,189,196 | – | (1,360,615 | ) | |||||||||||||||
| 2,465,520 | DB | 05/19/2021 | CHF | 2,457,965 | USD | 2,465,520 | – | (7,555 | ) | |||||||||||||||
| 37,183,245 | BAML | 06/18/2021 | CHF | 36,505,063 | USD | 37,183,245 | – | (678,182 | ) | |||||||||||||||
| 4,184,621 | DB | 04/21/2021 | CLP | 4,184,250 | USD | 4,184,621 | – | (371 | ) | |||||||||||||||
| 45,080 | DB | 04/21/2021 | COP | 44,775 | USD | 45,080 | – | (305 | ) | |||||||||||||||
| 30,504,254 | DB | 04/21/2021 | EUR | 30,081,064 | NOK | 30,504,254 | – | (423,190 | ) | |||||||||||||||
| 5,779,736 | DB | 05/19/2021 | EUR | 5,775,705 | NOK | 5,779,736 | – | (4,031 | ) | |||||||||||||||
| 11,660,011 | DB | 04/21/2021 | EUR | 11,485,710 | PLN | 11,660,011 | – | (174,301 | ) | |||||||||||||||
| 28,037,334 | DB | 04/21/2021 | EUR | 27,605,594 | SEK | 28,037,334 | – | (431,740 | ) | |||||||||||||||
| 22,867,765 | DB | 04/06/2021 | EUR | 22,835,304 | USD | 22,867,765 | – | (32,461 | ) | |||||||||||||||
| 237,316,461 | DB | 04/21/2021 | EUR | 232,494,710 | USD | 237,316,461 | – | (4,821,751 | ) | |||||||||||||||
| 50,780,894 | BAML | 06/18/2021 | EUR | 49,951,632 | USD | 50,780,894 | – | (829,262 | ) | |||||||||||||||
| 23,244,127 | DB | 04/06/2021 | GBP | 23,271,157 | USD | 23,244,127 | 27,030 | – | ||||||||||||||||
| 184,451,533 | DB | 04/21/2021 | GBP | 183,573,266 | USD | 184,451,533 | – | (878,267 | ) | |||||||||||||||
| 77,987,767 | BAML | 06/18/2021 | GBP | 77,179,649 | USD | 77,987,767 | – | (808,118 | ) | |||||||||||||||
| 13,211,418 | DB | 04/21/2021 | ILS | 13,106,657 | USD | 13,211,418 | – | (104,761 | ) | |||||||||||||||
| 8,264,578 | DB | 04/22/2021 | INR | 8,226,493 | USD | 8,264,578 | – | (38,085 | ) | |||||||||||||||
| 62,590,623 | DB | 04/21/2021 | JPY | 61,427,414 | USD | 62,590,623 | – | (1,163,209 | ) | |||||||||||||||
| 46,987,915 | BAML | 06/18/2021 | JPY | 46,370,944 | USD | 46,987,915 | – | (616,971 | ) | |||||||||||||||
| 3,046,209 | DB | 04/21/2021 | KRW | 3,047,964 | USD | 3,046,209 | 1,755 | – | ||||||||||||||||
| 2,864,458 | DB | 04/05/2021 | MXN | 2,884,965 | USD | 2,864,458 | 20,507 | – | ||||||||||||||||
| 1,736,719 | DB | 04/06/2021 | MXN | 1,737,631 | USD | 1,736,719 | 912 | – | ||||||||||||||||
| 56,342,386 | DB | 04/21/2021 | MXN | 57,096,315 | USD | 56,342,386 | 753,929 | – | ||||||||||||||||
| 25,104,458 | BAML | 06/18/2021 | MXN | 25,823,879 | USD | 25,104,458 | 719,421 | – | ||||||||||||||||
| 30,733,673 | DB | 04/21/2021 | NOK | 30,625,790 | EUR | 30,733,673 | – | (107,883 | ) | |||||||||||||||
| 2,976,243 | DB | 05/19/2021 | NOK | 2,974,504 | EUR | 2,976,243 | – | (1,739 | ) | |||||||||||||||
| 6,753,468 | DB | 04/06/2021 | NOK | 6,751,966 | USD | 6,753,468 | – | (1,502 | ) | |||||||||||||||
| 1,332,013 | DB | 04/07/2021 | NOK | 1,328,181 | USD | 1,332,013 | – | (3,832 | ) | |||||||||||||||
| 38,771,761 | DB | 04/21/2021 | NOK | 38,614,502 | USD | 38,771,761 | – | (157,259 | ) | |||||||||||||||
| 3,309,533 | DB | 04/06/2021 | NZD | 3,303,432 | USD | 3,309,533 | – | (6,101 | ) | |||||||||||||||
| 60,172,396 | DB | 04/21/2021 | NZD | 58,831,183 | USD | 60,172,396 | – | (1,341,213 | ) | |||||||||||||||
| 39,426,479 | BAML | 06/18/2021 | NZD | 38,305,204 | USD | 39,426,479 | – | (1,121,275 | ) | |||||||||||||||
| 14,638,189 | DB | 04/21/2021 | PLN | 14,319,328 | EUR | 14,638,189 | – | (318,861 | ) | |||||||||||||||
| 27,450,663 | DB | 04/21/2021 | PLN | 26,660,502 | USD | 27,450,663 | – | (790,161 | ) | |||||||||||||||
| 56,058,846 | DB | 04/21/2021 | RUB | 55,399,787 | USD | 56,058,846 | – | (659,059 | ) | |||||||||||||||
| 41,507,111 | DB | 04/21/2021 | SEK | 40,709,369 | EUR | 41,507,111 | – | (797,742 | ) | |||||||||||||||
| 2,564,872 | DB | 04/06/2021 | SEK | 2,560,414 | USD | 2,564,872 | – | (4,458 | ) | |||||||||||||||
| 55,154,306 | DB | 04/21/2021 | SEK | 53,631,837 | USD | 55,154,306 | – | (1,522,469 | ) | |||||||||||||||
| 11,894,493 | DB | 04/21/2021 | SGD | 11,863,107 | USD | 11,894,493 | – | (31,386 | ) | |||||||||||||||
| 647,352 | DB | 05/19/2021 | SGD | 646,579 | USD | 647,352 | – | (773 | ) | |||||||||||||||
| 4,363,750 | DB | 04/06/2021 | ZAR | 4,359,182 | USD | 4,363,750 | – | (4,568 | ) | |||||||||||||||
| 29,817,530 | DB | 04/21/2021 | ZAR | 30,425,586 | USD | 29,817,530 | 608,056 | – | ||||||||||||||||
| Total Purchase Contracts | 1,770,764,990 | 1,790,866,728 | 2,131,610 | (22,233,348 | ) | |||||||||||||||||||
| Sale Contracts: | ||||||||||||||||||||||||
| $ | 6,382,937 | DB | 04/06/2021 | USD | $ | 6,365,273 | AUD | $ | 6,382,937 | $ | 17,664 | $ | – | |||||||||||
| 88,682,868 | DB | 04/21/2021 | USD | 87,556,136 | AUD | 88,682,868 | 1,126,732 | – | ||||||||||||||||
| 8,225,851 | BAML | 06/18/2021 | USD | 8,122,360 | AUD | 8,225,851 | 103,491 | – | ||||||||||||||||
| 39,024,264 | DB | 04/22/2021 | USD | 39,513,321 | BRL | 39,024,264 | – | (489,057 | ) | |||||||||||||||
| 91,582,914 | DB | 04/21/2021 | USD | 91,792,573 | CAD | 91,582,914 | – | (209,659 | ) | |||||||||||||||
| 26,218 | BAML | 06/18/2021 | USD | 26,262 | CAD | 26,218 | – | (44 | ) | |||||||||||||||
| 5,203,877 | DB | 04/06/2021 | USD | 5,195,791 | CHF | 5,203,877 | 8,086 | – | ||||||||||||||||
| 86,629,800 | DB | 04/21/2021 | USD | 84,828,581 | CHF | 86,629,800 | 1,801,219 | – | ||||||||||||||||
| 2,018,594 | DB | 05/19/2021 | USD | 2,012,989 | CHF | 2,018,594 | 5,605 | – | ||||||||||||||||
| 106,638,125 | BAML | 06/18/2021 | USD | 105,126,353 | CHF | 106,638,125 | 1,511,772 | – | ||||||||||||||||
| 2,579,545 | DB | 04/21/2021 | USD | 2,587,738 | CLP | 2,579,545 | – | (8,193 | ) | |||||||||||||||
| 44,797 | DB | 04/21/2021 | USD | 44,775 | COP | 44,797 | 22 | – | ||||||||||||||||
| 30,733,673 | DB | 04/21/2021 | NOK | 30,081,064 | EUR | 30,733,673 | 652,609 | – | ||||||||||||||||
| 2,976,243 | DB | 05/19/2021 | NOK | 2,970,027 | EUR | 2,976,243 | 6,216 | – | ||||||||||||||||
| 14,638,189 | DB | 04/21/2021 | PLN | 14,442,196 | EUR | 14,638,189 | 195,993 | – | ||||||||||||||||
| 41,507,111 | DB | 04/21/2021 | SEK | 40,980,170 | EUR | 41,507,111 | 526,941 | – | ||||||||||||||||
| 22,842,513 | DB | 04/06/2021 | USD | 22,835,304 | EUR | 22,842,513 | 7,209 | – | ||||||||||||||||
| 273,279,781 | DB | 04/21/2021 | USD | 269,955,255 | EUR | 273,279,781 | 3,324,526 | – | ||||||||||||||||
| 70,299,502 | BAML | 06/18/2021 | USD | 69,645,424 | EUR | 70,299,502 | 654,078 | – | ||||||||||||||||
| 23,276,400 | DB | 04/06/2021 | USD | 23,271,157 | GBP | 23,276,400 | 5,243 | – | ||||||||||||||||
| 122,635,981 | DB | 04/21/2021 | USD | 121,476,834 | GBP | 122,635,981 | 1,159,147 | – | ||||||||||||||||
| 45,781,396 | BAML | 06/18/2021 | USD | 45,687,264 | GBP | 45,781,396 | 94,132 | – | ||||||||||||||||
| 9,602,170 | DB | 04/21/2021 | USD | 9,516,611 | ILS | 9,602,170 | 85,559 | – | ||||||||||||||||
| 5,911,221 | DB | 04/22/2021 | USD | 5,920,304 | INR | 5,911,221 | – | (9,083 | ) | |||||||||||||||
| 174,332,036 | DB | 04/21/2021 | USD | 170,443,006 | JPY | 174,332,036 | 3,889,030 | – | ||||||||||||||||
| 156,891,883 | BAML | 06/18/2021 | USD | 153,862,369 | JPY | 156,891,883 | 3,029,514 | – | ||||||||||||||||
| 3,037,990 | DB | 04/21/2021 | USD | 3,047,964 | KRW | 3,037,990 | – | (9,974 | ) | |||||||||||||||
| 2,868,804 | DB | 04/05/2021 | USD | 2,884,965 | MXN | 2,868,804 | – | (16,161 | ) | |||||||||||||||
| 1,737,079 | DB | 04/06/2021 | USD | 1,737,631 | MXN | 1,737,079 | – | (552 | ) | |||||||||||||||
| 33,325,943 | DB | 04/21/2021 | USD | 34,264,916 | MXN | 33,325,943 | – | (938,973 | ) | |||||||||||||||
| 131,633 | BAML | 06/18/2021 | USD | 133,124 | MXN | 131,633 | – | (1,491 | ) | |||||||||||||||
| 30,504,254 | DB | 04/21/2021 | EUR | 30,484,093 | NOK | 30,504,254 | 20,161 | – | ||||||||||||||||
| 5,779,735 | DB | 05/19/2021 | EUR | 5,788,101 | NOK | 5,779,735 | – | (8,366 | ) | |||||||||||||||
| 6,744,660 | DB | 04/06/2021 | USD | 6,751,966 | NOK | 6,744,660 | – | (7,306 | ) | |||||||||||||||
| 1,331,002 | DB | 04/07/2021 | USD | 1,328,181 | NOK | 1,331,002 | 2,821 | – | ||||||||||||||||
| 36,966,374 | DB | 04/21/2021 | USD | 36,867,747 | NOK | 36,966,374 | 98,627 | – | ||||||||||||||||
| 3,305,965 | DB | 04/06/2021 | USD | 3,303,432 | NZD | 3,305,965 | 2,533 | – | ||||||||||||||||
| 41,636,454 | DB | 04/21/2021 | USD | 40,470,881 | NZD | 41,636,454 | 1,165,573 | – | ||||||||||||||||
| 26,679,364 | BAML | 06/18/2021 | USD | 26,691,028 | NZD | 26,679,364 | – | (11,664 | ) | |||||||||||||||
| 11,660,011 | DB | 04/21/2021 | EUR | 11,381,012 | PLN | 11,660,011 | 278,999 | – | ||||||||||||||||
| 29,841,172 | DB | 04/21/2021 | USD | 29,079,813 | PLN | 29,841,172 | 761,359 | – | ||||||||||||||||
| 39,472,526 | DB | 04/21/2021 | USD | 39,268,329 | RUB | 39,472,526 | 204,197 | – | ||||||||||||||||
| 28,037,334 | DB | 04/21/2021 | EUR | 27,412,905 | SEK | 28,037,334 | 624,429 | – | ||||||||||||||||
| 2,564,296 | DB | 04/06/2021 | USD | 2,560,414 | SEK | 2,564,296 | 3,882 | – | ||||||||||||||||
| 54,436,827 | DB | 04/21/2021 | USD | 53,631,837 | SEK | 54,436,827 | 804,990 | – | ||||||||||||||||
| 1,146,490 | DB | 05/19/2021 | USD | 1,144,395 | SEK | 1,146,490 | 2,095 | – | ||||||||||||||||
| 11,852,898 | DB | 04/21/2021 | USD | 11,863,107 | SGD | 11,852,898 | – | (10,209 | ) | |||||||||||||||
| 511,866 | DB | 05/19/2021 | USD | 512,804 | SGD | 511,866 | – | (938 | ) | |||||||||||||||
| 4,338,084 | DB | 04/06/2021 | USD | 4,359,182 | ZAR | 4,338,084 | – | (21,098 | ) | |||||||||||||||
| 22,730,782 | DB | 04/21/2021 | USD | 23,003,443 | ZAR | 22,730,782 | – | (272,661 | ) | |||||||||||||||
| Total Sale Contracts | 1,812,230,407 | 1,832,389,432 | 22,174,454 | (2,015,429 | ) | |||||||||||||||||||
| Net Forward Currency Contracts | $ | (41,465,417 | ) | $ | (41,522,704 | ) | $ | 24,306,064 | $ | (24,248,777 | ) | |||||||||||||
| Net Unrealized Appreciation | $ | 57,287 | ||||||||||||||||||||||
Counterparty Abbreviations: | ||||||||||||||||||
| BAML | Bank of America Merrill Lynch | |||||||||||||||||
| DB | Deutsche Bank | |||||||||||||||||
Currency Abbreviations: | ||||||||||||||||||
| AUD | AUSTRALIAN DOLLAR | ILS | ISRAELI NEW SHEQEL | RUB | RUSSIAN RUBLE | |||||||||||||
| BRL | BRAZILIAN REAL | INR | INDIAN RUPEE | SEK | SWEDISH KRONA | |||||||||||||
| CAD | CANADIAN DOLLAR | JPY | JAPANESE YEN | SGD | SINGAPORE DOLLAR | |||||||||||||
| CHF | SWISS FRANC | KRW | SOUTH KOREAN WON | USD | U.S. DOLLAR | |||||||||||||
| CLP | CHILEAN PESO | MXN | MEXICAN PESO | ZAR | SOUTH AFRICAN RAND | |||||||||||||
| COP | COLOMBIAN PESO | NOK | NORWEGIAN KRONE | |||||||||||||||
| EUR | EURO | NZD | NEW ZEALAND DOLLAR | |||||||||||||||
| GBP | BRITISH POUND | PLN | POLISH ZLOTY | |||||||||||||||
| LoCorr Macro Strategies Fund | ||||||||||||||||||||||||
| Consolidated Schedule of Open Futures Contracts | ||||||||||||||||||||||||
| March 31, 2021 (Unaudited) | ||||||||||||||||||||||||
| Value | ||||||||||||||||||||||||
| Description | Number of Contracts Purchased (Sold) | Settlement Month-Year | Current Notional Amount | Value At Trade Date | Unrealized Appreciation | Unrealized (Depreciation) | ||||||||||||||||||
| Purchase Contracts: | ||||||||||||||||||||||||
3 Mo Euro Euribor | 1,411 | Jun-22 | $ | 415,863,843 | $ | 415,973,863 | $ | - | $ | (110,020 | ) | |||||||||||||
90 Day Euro | 3,290 | Jun-22 | 820,114,750 | 820,706,021 | - | (591,271 | ) | |||||||||||||||||
90 Day Euro | 375 | Sep-22 | 93,403,125 | 93,450,831 | - | (47,706 | ) | |||||||||||||||||
90 Day Euro | 136 | Dec-22 | 33,830,000 | 33,854,251 | - | (24,251 | ) | |||||||||||||||||
90 Day Sterling | 1,489 | Jun-22 | 255,964,534 | 255,967,453 | - | (2,919 | ) | |||||||||||||||||
90 Day Sterling | 630 | Dec-21 | 108,424,149 | 108,562,045 | - | (137,896 | ) | |||||||||||||||||
Aluminum (a)(b) | 382 | Jun-21 | 21,093,563 | 19,728,404 | 1,365,159 | - | ||||||||||||||||||
Amsterdam Exchange Index | 34 | Apr-21 | 5,575,214 | 5,540,475 | 34,739 | - | ||||||||||||||||||
Australian 10 Yr Bond | 333 | Jun-21 | 34,933,255 | 34,962,580 | - | (29,325 | ) | |||||||||||||||||
Australian Dollar | 55 | Jun-21 | 4,180,825 | 4,190,358 | - | (9,533 | ) | |||||||||||||||||
Brent Crude (a) | 361 | Apr-21 | 22,649,140 | 23,284,408 | - | (635,268 | ) | |||||||||||||||||
Brent Crude (a) | 70 | May-21 | 4,361,700 | 4,449,599 | - | (87,899 | ) | |||||||||||||||||
Brent Crude (a) | 25 | Jun-21 | 1,548,000 | 1,576,598 | - | (28,598 | ) | |||||||||||||||||
Brent Crude (a) | 13 | Jul-21 | 799,370 | 813,985 | - | (14,615 | ) | |||||||||||||||||
Brent Crude (a) | 8 | Aug-21 | 488,400 | 496,239 | - | (7,839 | ) | |||||||||||||||||
Brent Crude (a) | 5 | Sep-21 | 303,150 | 307,116 | - | (3,966 | ) | |||||||||||||||||
British Pound | 162 | Jun-21 | 13,953,263 | 13,950,508 | 2,755 | - | ||||||||||||||||||
CAC 40 10 Euro Index | 528 | Apr-21 | 37,559,930 | 37,355,878 | 204,052 | - | ||||||||||||||||||
Canadian 10 Yr Bond | 204 | Jun-21 | 22,526,523 | 22,631,722 | - | (105,199 | ) | |||||||||||||||||
Cocoa (ICE) (a) | 119 | May-21 | 2,777,438 | 2,737,602 | 39,836 | - | ||||||||||||||||||
Coffee (a) | 72 | May-21 | 3,334,500 | 3,451,330 | - | (116,830 | ) | |||||||||||||||||
Copper (a)(b) | 139 | Jun-21 | 30,537,431 | 28,282,115 | 2,255,316 | - | ||||||||||||||||||
Copper (COMEX) (a) | 118 | May-21 | 11,786,725 | 11,949,432 | - | (162,707 | ) | |||||||||||||||||
Corn (a) | 967 | May-21 | 27,281,488 | 26,349,397 | 932,091 | - | ||||||||||||||||||
Cotton No.2 (a) | 88 | May-21 | 3,558,720 | 3,858,387 | - | (299,667 | ) | |||||||||||||||||
DAX Index | 182 | Jun-21 | 80,191,796 | 79,166,945 | 1,024,851 | - | ||||||||||||||||||
Dow Jones Industrial Average Mini E-Cbot Index | 280 | Jun-21 | 46,057,200 | 46,152,651 | - | (95,451 | ) | |||||||||||||||||
Euro-Bobl | 1,142 | Jun-21 | 180,902,935 | 180,791,487 | 111,448 | - | ||||||||||||||||||
Euro-BTP | 209 | Jun-21 | 36,595,158 | 36,725,904 | - | (130,746 | ) | |||||||||||||||||
Euro-Bund | 489 | Jun-21 | 98,220,913 | 98,373,576 | - | (152,663 | ) | |||||||||||||||||
Euro-Buxl 30 Yr Bond | 8 | Jun-21 | 1,932,992 | 1,933,770 | - | (778 | ) | |||||||||||||||||
Euro-OAT | 131 | Jun-21 | 24,879,447 | 24,896,437 | - | (16,990 | ) | |||||||||||||||||
Euro-Schatz | 1,191 | Jun-21 | 156,569,019 | 156,575,895 | - | (6,876 | ) | |||||||||||||||||
Euro-Stoxx 50 Index | 723 | Jun-21 | 32,778,464 | 32,384,389 | 394,075 | - | ||||||||||||||||||
FTSE 100 Index | 230 | Jun-21 | 21,179,329 | 21,129,740 | 49,589 | - | ||||||||||||||||||
FTSE China A50 Index | 20 | Apr-21 | 343,640 | 347,209 | - | (3,569 | ) | |||||||||||||||||
FTSE/JSE Top 40 Index | 59 | Jun-21 | 2,445,542 | 2,445,845 | - | (303 | ) | |||||||||||||||||
Gasoline RBOB (a) | 166 | Apr-21 | 13,663,028 | 13,814,110 | - | (151,082 | ) | |||||||||||||||||
Gasoline RBOB (a) | 33 | May-21 | 2,707,690 | 2,739,691 | - | (32,001 | ) | |||||||||||||||||
Gasoline RBOB (a) | 7 | Jun-21 | 569,625 | 577,588 | - | (7,963 | ) | |||||||||||||||||
Gasoline RBOB (a) | 3 | Jul-21 | 241,265 | 244,353 | - | (3,088 | ) | |||||||||||||||||
Gold (a) | 117 | Jun-21 | 20,072,520 | 20,077,838 | - | (5,318 | ) | |||||||||||||||||
Hang Seng Index | 151 | Apr-21 | 27,499,749 | 27,426,343 | 73,406 | - | ||||||||||||||||||
Hard Red Wheat (a) | 271 | Jul-21 | 7,882,713 | 8,662,398 | - | (779,685 | ) | |||||||||||||||||
Heating Oil (a) | 202 | Apr-21 | 15,014,983 | 15,713,806 | - | (698,823 | ) | |||||||||||||||||
Heating Oil (a) | 49 | May-21 | 3,648,422 | 3,720,658 | - | (72,236 | ) | |||||||||||||||||
Heating Oil (a) | 12 | Jun-21 | 895,154 | 917,600 | - | (22,446 | ) | |||||||||||||||||
Heating Oil (a) | 6 | Jul-21 | 448,409 | 458,118 | - | (9,709 | ) | |||||||||||||||||
IBEX 35 Index | 12 | Apr-21 | 1,208,359 | 1,180,349 | 28,010 | - | ||||||||||||||||||
Japanese 10 Yr Bond | 23 | Jun-21 | 31,399,232 | 31,434,536 | - | (35,304 | ) | |||||||||||||||||
Lead (a)(b) | 14 | Jun-21 | 690,113 | 709,475 | - | (19,362 | ) | |||||||||||||||||
Long Gilt | 633 | Jun-21 | 111,342,446 | 111,965,339 | - | (622,893 | ) | |||||||||||||||||
Low Sulphur Gasoil (a) | 304 | May-21 | 15,428,000 | 15,767,702 | - | (339,702 | ) | |||||||||||||||||
MSCI EAFE Index | 90 | Jun-21 | 9,864,000 | 9,859,369 | 4,631 | - | ||||||||||||||||||
MSCI Emerging Markets Index | 73 | Jun-21 | 4,827,125 | �� | 4,788,791 | 38,334 | - | |||||||||||||||||
Nasdaq 100 E-Mini Index | 246 | Jun-21 | 64,401,570 | 63,596,314 | 805,256 | - | ||||||||||||||||||
Natural Gas (a) | 24 | Apr-21 | 625,920 | 632,373 | - | (6,453 | ) | |||||||||||||||||
Natural Gas (a) | 51 | May-21 | 1,360,170 | 1,370,512 | - | (10,342 | ) | |||||||||||||||||
Natural Gas (a) | 61 | Jun-21 | 1,666,520 | 1,662,680 | 3,840 | - | ||||||||||||||||||
Natural Gas (a) | 35 | Jul-21 | 963,550 | 959,423 | 4,127 | - | ||||||||||||||||||
Natural Gas (a) | 8 | Aug-21 | 219,200 | 219,584 | - | (384 | ) | |||||||||||||||||
Nickel (a)(b) | 30 | Jun-21 | 2,890,980 | 3,176,212 | - | (285,232 | ) | |||||||||||||||||
Nikkei 225 Index (OSE) | 66 | Jun-21 | 17,393,362 | 17,481,058 | - | (87,696 | ) | |||||||||||||||||
Nikkei 225 Index (SGX) | 4 | Jun-21 | 527,794 | 531,479 | - | (3,685 | ) | |||||||||||||||||
Platinum (a) | 3 | Jul-21 | 178,725 | 177,111 | 1,614 | - | ||||||||||||||||||
Russell 2000 Mini Index | 158 | Jun-21 | 17,557,750 | 17,351,255 | 206,495 | - | ||||||||||||||||||
S&P 500 E-Mini Index | 361 | Jun-21 | 71,611,570 | 71,346,921 | 264,649 | - | ||||||||||||||||||
S&P MidCap 400 E-Mini Index | 28 | Jun-21 | 7,294,840 | 7,229,704 | 65,136 | - | ||||||||||||||||||
S&P/TSX 60 Index | 84 | Jun-21 | 14,853,569 | 14,877,542 | - | (23,973 | ) | |||||||||||||||||
SET 50 Index | 96 | Jun-21 | 592,957 | 590,548 | 2,409 | - | ||||||||||||||||||
Silver (a) | 115 | May-21 | 14,105,900 | 15,437,054 | - | (1,331,154 | ) | |||||||||||||||||
Sour Crude Oil (a) | 1 | Apr-21 | 54,856 | 49,579 | 5,277 | - | ||||||||||||||||||
Sour Crude Oil (a) | 1 | May-21 | 54,970 | 49,315 | 5,655 | - | ||||||||||||||||||
Sour Crude Oil (a) | 1 | May-21 | 55,044 | 51,138 | 3,906 | - | ||||||||||||||||||
Sour Crude Oil (a) | 2 | Jun-21 | 110,223 | 107,982 | 2,241 | - | ||||||||||||||||||
Sour Crude Oil (a) | 3 | Jun-21 | 165,384 | 161,919 | 3,465 | - | ||||||||||||||||||
Sour Crude Oil (a) | 2 | Jun-21 | 110,372 | 108,823 | 1,549 | - | ||||||||||||||||||
Sour Crude Oil (a) | 2 | Jun-21 | 110,425 | 110,974 | - | (549 | ) | |||||||||||||||||
Sour Crude Oil (a) | 1 | Jun-21 | 55,228 | 56,803 | - | (1,575 | ) | |||||||||||||||||
Sour Crude Oil (a) | 3 | Jun-21 | 165,753 | 167,964 | - | (2,211 | ) | |||||||||||||||||
Sour Crude Oil (a) | 1 | Jun-21 | 55,300 | 56,016 | - | (716 | ) | |||||||||||||||||
Sour Crude Oil (a) | 2 | Apr-21 | 439,388 | 401,571 | 37,817 | - | ||||||||||||||||||
Sour Crude Oil (a) | 1 | Apr-21 | 219,700 | 197,987 | 21,713 | - | ||||||||||||||||||
Sour Crude Oil (a) | 1 | May-21 | 219,725 | 218,539 | 1,186 | - | ||||||||||||||||||
Sour Crude Oil (a) | 1 | Jun-21 | 219,606 | 225,818 | - | (6,212 | ) | |||||||||||||||||
Sour Crude Oil (a) | 1 | Jun-21 | 219,613 | 224,253 | - | (4,640 | ) | |||||||||||||||||
Sour Crude Oil (a) | 1 | Jun-21 | 219,619 | 220,013 | - | (394 | ) | |||||||||||||||||
Sour Crude Oil (a) | 1 | Apr-21 | 96,157 | 106,427 | - | (10,270 | ) | |||||||||||||||||
Sour Crude Oil (a) | 1 | May-21 | 96,255 | 111,583 | - | (15,328 | ) | |||||||||||||||||
Sour Crude Oil (a) | 1 | May-21 | 96,276 | 112,393 | - | (16,117 | ) | |||||||||||||||||
Sour Crude Oil (a) | 2 | Apr-21 | 97,625 | 102,995 | - | (5,370 | ) | |||||||||||||||||
Sour Crude Oil (a) | 1 | Apr-21 | 48,880 | 50,160 | - | (1,280 | ) | |||||||||||||||||
Sour Crude Oil (a) | 1 | Apr-21 | 48,964 | 51,444 | - | (2,480 | ) | |||||||||||||||||
Sour Crude Oil (a) | 1 | Apr-21 | 70,181 | 67,956 | 2,225 | - | ||||||||||||||||||
Sour Crude Oil (a) | 1 | May-21 | 70,306 | 70,976 | - | (670 | ) | |||||||||||||||||
Sour Crude Oil (a) | 1 | Jun-21 | 70,365 | 71,079 | - | (714 | ) | |||||||||||||||||
Sour Crude Oil (a) | 1 | Jun-21 | 70,419 | 70,758 | - | (339 | ) | |||||||||||||||||
Sour Crude Oil (a) | 1 | Jun-21 | 70,406 | 70,619 | - | (213 | ) | |||||||||||||||||
Sour Crude Oil (a) | 2 | Jun-21 | 140,788 | 141,062 | - | (274 | ) | |||||||||||||||||
Sour Crude Oil (a) | 1 | Jun-21 | 70,434 | 70,750 | - | (316 | ) | |||||||||||||||||
Soybean (a) | 292 | May-21 | 20,976,550 | 20,471,544 | 505,006 | - | ||||||||||||||||||
Soybean Meal (a) | 170 | May-21 | 7,194,400 | 7,260,674 | - | (66,274 | ) | |||||||||||||||||
Soybean Oil (a) | 161 | May-21 | 5,112,072 | 4,501,704 | 610,368 | - | ||||||||||||||||||
SPI 200 Index | 16 | Jun-21 | 2,055,645 | 2,068,443 | - | (12,798 | ) | |||||||||||||||||
Sugar (a) | 352 | Apr-21 | 5,822,925 | 6,230,558 | - | (407,633 | ) | |||||||||||||||||
Tokyo Price Index | 178 | Jun-21 | 31,412,237 | 30,761,277 | 650,960 | - | ||||||||||||||||||
U.S. 10 Yr Note | 532 | Jun-21 | 69,658,750 | 69,933,349 | - | (274,599 | ) | |||||||||||||||||
U.S. 2 Yr Note | 2,606 | Jun-21 | 575,213,419 | 575,631,619 | - | (418,200 | ) | |||||||||||||||||
U.S. 5 Yr Note | 197 | Jun-21 | 24,309,493 | 24,333,285 | - | (23,792 | ) | |||||||||||||||||
U.S. Long Bond | 364 | Jun-21 | 56,272,125 | 56,800,973 | - | (528,848 | ) | |||||||||||||||||
U.S. Ultra Bond | 121 | Jun-21 | 21,927,469 | 22,091,568 | - | (164,099 | ) | |||||||||||||||||
Wheat (a) | 297 | May-21 | 9,177,300 | 9,611,228 | - | (433,928 | ) | |||||||||||||||||
WTI Crude (a) | 186 | Apr-21 | 11,003,760 | 11,802,654 | - | (798,894 | ) | |||||||||||||||||
WTI Crude (a) | 47 | May-21 | 2,781,460 | 2,854,965 | - | (73,505 | ) | |||||||||||||||||
WTI Crude (a) | 21 | Jun-21 | 1,239,630 | 1,274,378 | - | (34,748 | ) | |||||||||||||||||
WTI Crude (a) | 12 | Jul-21 | 704,280 | 722,832 | - | (18,552 | ) | |||||||||||||||||
WTI Crude (a) | 6 | Aug-21 | 349,440 | 358,821 | - | (9,381 | ) | |||||||||||||||||
WTI Crude (a) | 4 | Sep-21 | 231,040 | 237,427 | - | (6,387 | ) | |||||||||||||||||
Zinc (a)(b) | 168 | Jun-21 | 11,830,350 | 11,213,879 | 616,471 | - | ||||||||||||||||||
| Total Purchase Contracts | 10,379,657 | (10,713,661 | ) | |||||||||||||||||||||
| Sale Contracts: | ||||||||||||||||||||||||
10 Yr Mini JGB | (16 | ) | Jun-21 | $ | 2,181,260 | $ | 2,183,093 | $ | 1,833 | $ | - | |||||||||||||
90 Day Euro | (111 | ) | Mar-23 | 27,582,113 | 27,599,089 | 16,976 | - | |||||||||||||||||
90 Day Euro | (68 | ) | Jun-23 | 16,867,400 | 16,883,730 | 16,330 | - | |||||||||||||||||
Aluminum (a)(b) | (179 | ) | Jun-21 | 9,884,156 | 9,741,357 | - | (142,799 | ) | ||||||||||||||||
Australian 10 Yr Bond | (744 | ) | Jun-21 | 78,049,073 | 78,478,217 | 429,144 | - | |||||||||||||||||
Australian 3 Yr Bond | (150 | ) | Jun-21 | 13,335,038 | 13,331,662 | - | (3,376 | ) | ||||||||||||||||
Bovespa Index | (30 | ) | Apr-21 | 621,192 | 612,999 | - | (8,193 | ) | ||||||||||||||||
Brent Crude (a) | (1 | ) | Apr-21 | 62,740 | 62,778 | 38 | - | |||||||||||||||||
Canadian 10 Yr Bond | (640 | ) | Jun-21 | 70,671,441 | 70,791,737 | 120,296 | - | |||||||||||||||||
CBOE Volatility Index (a) | (163 | ) | Apr-21 | 3,379,642 | 3,929,674 | 550,032 | - | |||||||||||||||||
CBOE Volatility Index (a) | (79 | ) | May-21 | 1,791,388 | 2,024,764 | 233,376 | - | |||||||||||||||||
CBOE Volatility Index (a) | (20 | ) | Jun-21 | 472,934 | 531,560 | 58,626 | - | |||||||||||||||||
Cocoa (NYBOT) (a) | (14 | ) | May-21 | 328,720 | 352,116 | 23,396 | - | |||||||||||||||||
Coffee (a) | (36 | ) | May-21 | 1,667,250 | 1,766,312 | 99,062 | - | |||||||||||||||||
Copper (a)(b) | (106 | ) | Jun-21 | 23,287,538 | 23,517,693 | 230,155 | - | |||||||||||||||||
Copper (COMEX) (a) | (5 | ) | May-21 | 499,438 | 495,551 | - | (3,887 | ) | ||||||||||||||||
Dollar | (51 | ) | Jun-21 | 4,755,036 | 4,686,107 | - | (68,929 | ) | ||||||||||||||||
Euro | (307 | ) | Jun-21 | 45,059,925 | 45,100,010 | 40,085 | - | |||||||||||||||||
Euro-Bobl | (223 | ) | Jun-21 | 35,325,180 | 35,302,677 | - | (22,503 | ) | ||||||||||||||||
Euro-Bund | (40 | ) | Jun-21 | 8,034,431 | 8,030,458 | - | (3,973 | ) | ||||||||||||||||
Euro-Stoxx 50 Index | (289 | ) | Jun-21 | 13,102,318 | 12,953,780 | - | (148,538 | ) | ||||||||||||||||
FTSE MIB Index | (33 | ) | Jun-21 | 4,720,146 | 4,633,809 | - | (86,337 | ) | ||||||||||||||||
Gold (a) | (191 | ) | Jun-21 | 32,767,960 | 32,808,892 | 40,932 | - | |||||||||||||||||
Hang Seng Index | (25 | ) | Apr-21 | 4,552,939 | 4,559,720 | 6,781 | - | |||||||||||||||||
Hard Red Wheat (a) | (46 | ) | May-21 | 1,324,225 | 1,381,184 | 56,959 | - | |||||||||||||||||
Heating Oil (a) | (30 | ) | Apr-21 | 2,229,948 | 2,228,021 | - | (1,927 | ) | ||||||||||||||||
H-Shares Index | (89 | ) | Apr-21 | 6,263,921 | 6,259,500 | - | (4,421 | ) | ||||||||||||||||
Japanese 10 Yr Bond | (101 | ) | Jun-21 | 137,883,585 | 137,731,330 | - | (152,255 | ) | ||||||||||||||||
Japanese Yen | (909 | ) | Jun-21 | 102,665,869 | 102,878,698 | 212,829 | - | |||||||||||||||||
Lead (a)(b) | (17 | ) | Jun-21 | 837,994 | 868,469 | 30,475 | - | |||||||||||||||||
Lean Hogs (a) | (10 | ) | Jun-21 | 421,200 | 405,557 | - | (15,643 | ) | ||||||||||||||||
Live Cattle (a) | (35 | ) | Jun-21 | 1,720,600 | 1,713,278 | - | (7,322 | ) | ||||||||||||||||
Long Gilt | (67 | ) | Jun-21 | 11,785,061 | 11,862,362 | 77,301 | - | |||||||||||||||||
Natural Gas (a) | (394 | ) | Apr-21 | 10,275,520 | 10,079,246 | - | (196,274 | ) | ||||||||||||||||
Nickel (a)(b) | (37 | ) | Jun-21 | 3,565,542 | 3,801,963 | 236,421 | - | |||||||||||||||||
OMX Stockholm 30 Index | (141 | ) | Apr-21 | 3,531,276 | 3,512,006 | - | (19,270 | ) | ||||||||||||||||
SGX Nifty 50 Index | (90 | ) | Apr-21 | 2,654,280 | 2,654,869 | 589 | - | |||||||||||||||||
Silver (a) | (66 | ) | May-21 | 8,095,560 | 7,977,649 | - | (117,911 | ) | ||||||||||||||||
Sour Crude Oil (a) | (1 | ) | Apr-21 | 54,856 | 49,485 | - | (5,371 | ) | ||||||||||||||||
Sour Crude Oil (a) | (1 | ) | May-21 | 54,970 | 49,332 | - | (5,638 | ) | ||||||||||||||||
Sour Crude Oil (a) | (1 | ) | May-21 | 55,044 | 51,374 | - | (3,670 | ) | ||||||||||||||||
Sour Crude Oil (a) | (2 | ) | Jun-21 | 110,223 | 110,436 | 213 | - | |||||||||||||||||
Sour Crude Oil (a) | (3 | ) | Jun-21 | 165,384 | 162,581 | - | (2,803 | ) | ||||||||||||||||
Sour Crude Oil (a) | (2 | ) | Jun-21 | 110,372 | 108,836 | - | (1,536 | ) | ||||||||||||||||
Sour Crude Oil (a) | (2 | ) | Jun-21 | 110,425 | 110,976 | 551 | - | |||||||||||||||||
Sour Crude Oil (a) | (1 | ) | Jun-21 | 55,228 | 56,923 | 1,695 | - | |||||||||||||||||
Sour Crude Oil (a) | (3 | ) | Jun-21 | 165,753 | 168,188 | 2,435 | - | |||||||||||||||||
Sour Crude Oil (a) | (1 | ) | Jun-21 | 55,300 | 56,543 | 1,243 | - | |||||||||||||||||
Sour Crude Oil (a) | (2 | ) | Apr-21 | 439,388 | 401,646 | - | (37,742 | ) | ||||||||||||||||
Sour Crude Oil (a) | (1 | ) | Apr-21 | 219,700 | 195,719 | - | (23,981 | ) | ||||||||||||||||
Sour Crude Oil (a) | (1 | ) | May-21 | 219,725 | 223,091 | 3,366 | - | |||||||||||||||||
Sour Crude Oil (a) | (1 | ) | Jun-21 | 219,606 | 223,778 | 4,172 | - | |||||||||||||||||
Sour Crude Oil (a) | (1 | ) | Jun-21 | 219,613 | 225,320 | 5,707 | - | |||||||||||||||||
Sour Crude Oil (a) | (1 | ) | Jun-21 | 219,619 | 218,550 | - | (1,069 | ) | ||||||||||||||||
Sour Crude Oil (a) | (1 | ) | Apr-21 | 96,157 | 105,657 | 9,500 | - | |||||||||||||||||
Sour Crude Oil (a) | (1 | ) | May-21 | 96,255 | 111,431 | 15,176 | - | |||||||||||||||||
Sour Crude Oil (a) | (1 | ) | May-21 | 96,276 | 112,471 | 16,195 | - | |||||||||||||||||
Sour Crude Oil (a) | (2 | ) | Apr-21 | 97,625 | 103,104 | 5,479 | - | |||||||||||||||||
Sour Crude Oil (a) | (1 | ) | Apr-21 | 48,880 | 49,938 | 1,058 | - | |||||||||||||||||
Sour Crude Oil (a) | (1 | ) | Apr-21 | 48,964 | 51,059 | 2,095 | - | |||||||||||||||||
Sour Crude Oil (a) | (1 | ) | Apr-21 | 70,148 | 70,453 | 305 | - | |||||||||||||||||
Sour Crude Oil (a) | (1 | ) | Apr-21 | 70,181 | 67,386 | - | (2,795 | ) | ||||||||||||||||
Sour Crude Oil (a) | (1 | ) | May-21 | 70,306 | 70,376 | 70 | - | |||||||||||||||||
Sour Crude Oil (a) | (1 | ) | Jun-21 | 70,365 | 69,762 | - | (603 | ) | ||||||||||||||||
Sour Crude Oil (a) | (1 | ) | Jun-21 | 70,419 | 70,000 | - | (419 | ) | ||||||||||||||||
Sour Crude Oil (a) | (1 | ) | Jun-21 | 70,406 | 70,546 | 140 | - | |||||||||||||||||
Sour Crude Oil (a) | (2 | ) | Jun-21 | 140,788 | 139,586 | - | (1,202 | ) | ||||||||||||||||
Sour Crude Oil (a) | (1 | ) | Jun-21 | 70,434 | 70,347 | - | (87 | ) | ||||||||||||||||
Soybean Meal (a) | (44 | ) | May-21 | 1,862,080 | 1,761,111 | - | (100,969 | ) | ||||||||||||||||
Sugar (a) | (173 | ) | Apr-21 | 2,861,835 | 2,994,677 | 132,842 | - | |||||||||||||||||
Swiss Franc | (48 | ) | Jun-21 | 6,357,000 | 6,381,341 | 24,341 | - | |||||||||||||||||
Tokyo Price Index | (21 | ) | Jun-21 | 3,705,938 | 3,723,360 | 17,422 | - | |||||||||||||||||
U.S. 10 Yr Note | (1,812 | ) | Jun-21 | 237,258,750 | 240,508,767 | 3,250,017 | - | |||||||||||||||||
U.S. 5 Yr Note | (1,761 | ) | Jun-21 | 217,304,649 | 218,001,212 | 696,563 | - | |||||||||||||||||
U.S. Long Bond | (283 | ) | Jun-21 | 43,750,031 | 44,121,837 | 371,806 | - | |||||||||||||||||
Wheat (a) | (116 | ) | May-21 | 3,584,400 | 3,629,882 | 45,482 | - | |||||||||||||||||
WTI Crude (a) | (8 | ) | Apr-21 | 473,280 | 473,450 | 170 | - | |||||||||||||||||
Zinc (a)(b) | (88 | ) | Jun-21 | 6,196,850 | 6,273,027 | 76,177 | - | |||||||||||||||||
| Total Sale Contracts | 7,165,856 | (1,191,443 | ) | |||||||||||||||||||||
| Total Futures Contracts | $ | 17,545,513 | $ | (11,905,104 | ) | |||||||||||||||||||
| Net Unrealized Appreciation | $ | 5,640,409 | ||||||||||||||||||||||
| (a) | Contract held by LCMFS Fund Limited. | |||||||||||||||||||||||
| (b) | London Metal Exchange (''LME'') futures contracts settle on their respective maturity date. | |||||||||||||||||||||||
| COMEX | Commodity Exchange, Inc. | |||||||||||||||||||||||
| ICE | Intercontinental Exchange | |||||||||||||||||||||||
| NYBOT | New York Board of Trade | |||||||||||||||||||||||
| OSE | Osaka Securities Exchange | |||||||||||||||||||||||
| SGX | Singapore Exchange Limited | |||||||||||||||||||||||
| The accompanying notes are an integral part of these consolidated financial statements. | ||||||||||||||||||||||||
| NOTES | ||||||||||||
| Investment Valuation | ||||||||||||
| Fair Value Measurement Summary | ||||||||||||
March 31, 2021 (Uaudited) | ||||||||||||
The LoCorr Macro Strategies Fund, LoCorr Long/Short Commodities Strategy Fund, LoCorr Market Trend Fund, LoCorr Dynamic Equity Fund and the LoCorr Spectrum Income Fund (individually a ''Fund'' and collectively the ''Funds'') follow fair valuation accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and changes in valuation techniques and related inputs during the period. These inputs are summarized in three broad levels listed below: | ||||||||||||
Level 1 – Unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have the ability to access. | ||||||||||||
Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data. | ||||||||||||
Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available; representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available. | ||||||||||||
Generally, the Funds’ investments are valued each day at the last quoted sales price on each investment’s primary exchange. Investments traded or dealt in upon one or more exchanges (whether domestic or foreign) for which market quotations are readily available and not subject to restrictions against resale shall be valued at the last quoted sales price on the primary exchange or, in the absence of a sale on the primary exchange, at the last bid on the primary exchange. Investments primarily traded in the National Association of Securities Dealers’ Automated Quotation System (“NASDAQ”) National Market System for which market quotations are readily available shall be valued using the NASDAQ Official Closing Price. | ||||||||||||
The Funds may use independent pricing services to assist in calculating the value of the Funds’ investments. In addition, market prices for foreign investments are not determined at the same time of day as the net asset value (“NAV”) for the Funds. Because the Funds may invest in portfolio investments primarily listed on foreign exchanges, and these exchanges may trade on weekends or other days when the Funds do not price their shares, the value of some of the Funds’ portfolio investments may change on days when you may not be able to buy or sell the Funds’ shares. In computing the NAV, the Funds value foreign investments held by the Funds at the latest closing price on the exchange in which they are traded immediately prior to closing of the NYSE. Prices of foreign investments quoted in foreign currencies are translated into U.S. dollars at current rates. If events materially affecting the value of an investment in the Funds’ portfolio, particularly foreign investments, occur after the close of trading on a foreign market but before the Funds price their shares, the investment will be valued at fair value. | ||||||||||||
| American Depositary Receipts | ||||||||||||
The Funds may invest in sponsored and unsponsored American Depositary Receipts (“ADRs”), which are receipts issued by an American bank or trust company evidencing ownership of underlying securities issued by a foreign issuer. ADRs, in registered form, are designed for use in U.S. securities markets. Unsponsored ADRs may be created without the participation of the foreign issuer. Holders of unsponsored ADRs generally bear all the costs of the ADR facility, whereas foreign issuers typically bear certain costs in a sponsored ADR. The bank or trust company depositary of an unsponsored ADR may be under no obligation to distribute shareholder communications received from the foreign issuer or to pass through voting rights. ADRs are generally categorized in Level 1 or Level 2 of the fair value hierarchy depending on inputs used and market activity levels for specific securities. | ||||||||||||
Equity securities, including common stocks, preferred stocks, securities convertible into common stocks, such as convertible bonds, warrants, rights, options, master limited partnership (“MLP”) interests, real estate investment trusts (“REITs”), business development companies and royalty trusts, generally are valued by using market quotations, but may be valued on the basis of prices furnished by a pricing service when the Adviser believes such prices accurately reflect the fair market value of such securities. MLP interests are limited partnerships, the interests in which (known as “units”) typically trade publicly, like stock. Master limited partnerships are also called publicly traded partnerships and public limited partnerships. Securities that are traded on any stock exchange or on the NASDAQ over-the-counter market are generally valued by the pricing service at the last quoted sale price. Lacking a last sale price, an equity security is generally valued by the pricing service at its last bid price. Equity securities are generally categorized in Level 1 or Level 2 of the fair value hierarchy depending on inputs used and market activity levels for specific securities. | ||||||||||||
| Exchange Traded Funds | ||||||||||||
The Funds may invest in Exchange Traded Funds (“ETFs”). They are managed by professionals and provide the investor with diversification, cost and tax efficiency, liquidity, marginability, are useful for hedging, have the ability to go long and short, and some provide quarterly dividends. Additionally, some ETFs are unit investment trusts (“UITs”), which are unmanaged portfolios overseen by trustees. ETFs generally have two markets. The primary market is where institutions swap “creation units” in block-multiples of shares, typically 25,000 or 50,000, for in-kind securities and cash in the form of dividends. The secondary market is where individual investors can trade as little as a single share during trading hours on the exchange. This is different from open-ended mutual funds that are traded after hours once the NAV is calculated. ETFs share many similar risks with open-end and closed-end funds. ETFs are generally categorized in Level 1 of the fair value hierarchy. | ||||||||||||
The Funds may invest in ETFs and other investment companies that hold a portfolio of foreign securities. Investing in securities of foreign companies and countries involves certain considerations and risks that are not typically associated with investing in U.S. government securities and securities of domestic companies. There may be less publicly available information about a foreign issuer than a domestic one, and foreign companies are not generally subject to uniform accounting, auditing and financial standards and requirements comparable to those applicable to U.S. companies. There may also be less government supervision and regulation of foreign securities exchanges, brokers and listed companies than exists in the United States. Interest and dividends paid by foreign issuers may be subject to withholding and other foreign taxes, which may decrease the net return on such investments as compared to dividends and interest paid to the Fund by domestic companies or the U.S. government. There may be the possibility of expropriations, seizure or nationalization of foreign deposits, confiscatory taxation, political, economic or social instability or diplomatic developments that could affect assets of the Fund held in foreign countries. Finally, the establishment of exchange controls or other foreign governmental laws or restrictions could adversely affect the payment of obligations. | ||||||||||||
| Fixed Income Securities | ||||||||||||
Fixed income securities and certificates of deposit with maturities more than 60 days when acquired generally are valued using an evaluated price supplied by an independent pricing service. Inputs used by the pricing service for U.S. government and treasury securities are normally valued using a model that incorporates market observable data such as reported sales of similar securities, broker dealer quotes, yields, bids, offers, and reference data. Agency issued debt securities, foreign issued bonds and municipal bonds are generally valued in a manner similar to U.S. government securities. Evaluations for corporate bonds are typically based on valuation methodologies such as market pricing and other analytical pricing models as well as market transactions and dealer quotations based on observable inputs. Fixed income securities are generally categorized in Level 1 or Level 2 of the fair value hierarchy depending on inputs used and market activity levels for specific securities. | ||||||||||||
The fair value of asset backed securities and mortgage backed securities is estimated on models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield, and develop an estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche. Additional inputs such as creditworthiness of the underlying collateral and quotes from outside brokers for the same or similar issuance may also be considered in the development of fair value. Asset backed and mortgage backed securities are generally categorized in Level 2 of the fair value hierarchy. | ||||||||||||
Short-term investments in fixed income securities and certificates of deposit with maturities of less than 60 days when acquired, or which subsequently are within 60 days of maturity, are valued using an amortized cost method of valuation, and are generally categorized in Level 2. | ||||||||||||
| Investment Companies | ||||||||||||
With respect to any portion of the Funds’ assets that are invested in one or more open-end management investment companies, including money market funds, registered under the 1940 Act, the Funds’ net asset value is calculated based upon the net asset values of those open-end management investment companies, and the prospectuses for these companies explain the circumstances under which those companies will use fair value pricing and the effects of using fair value pricing. | ||||||||||||
The Funds generally will purchase shares of closed-end investment companies only in the secondary market. The shares of many closed-end investment companies, after their initial public offering, frequently trade at a price per share that is less than the net asset value per share, the difference representing the “market discount” of such shares. This market discount may be due in part to the investment objective of long-term appreciation, which is sought by many closed-end investment companies, as well as to the fact that the shares of closed-end investment companies are not redeemable by the holder upon demand to the issuer at the next determined net asset value but rather are subject to the principles of supply and demand in the secondary market. A relative lack of secondary market purchasers of closed-end investment company shares also may contribute to such shares trading at a discount to their net asset value. Closed-end investment companies are generally categorized in Level 1 or Level 2 of the fair value hierarchy depending on inputs used and market activity levels for specific securities. | ||||||||||||
| Financial Derivative Instruments | ||||||||||||
Financial derivative instruments, such as forward currency contracts, futures contracts, swap agreements or options contracts, derive their value from underlying asset prices, indices, reference rates and other inputs or a combination of these factors. These contracts are normally valued on the basis of broker-dealer quotations, a pricing service at the settlement price determined by the relevant exchange or by the counterparty. Depending on the product and the terms of the transaction, the value of the derivative contracts can be estimated by a pricing service provider using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, curves, dividends and exchange rates. | ||||||||||||
Forward currency contracts represent the purchase or sale of a specific quantity of a foreign currency at the current or spot price, with delivery and settlement at a specified future date. Forward currency contracts are presented at fair value using spot currency rates and are adjusted for the time value of money (forward points) and contractual prices of the underlying financial instruments. Forward currency contracts are generally categorized in Level 2. | ||||||||||||
Futures contracts are carried at fair value using the primary exchange’s closing (settlement) price, and are generally categorized in Level 1. | ||||||||||||
Total return swap contracts are stated at fair value daily based on the fair value of the underlying futures and forward currency contracts constituting the contract’s stated index, taking into account any fees and expenses associated with the swap agreement. Total return swap contracts are generally categorized in Level 2. | ||||||||||||
Fund-linked options are stated at fair value based on the fair value of Galaxy Plus Fund – East Alpha Feeder Fund (548) LLC, taking into account any fees and expenses associated with the fund-linked option. Fund-linked options are generally categorized in Level 2. | ||||||||||||
| Fair Value Pricing | ||||||||||||
If market quotations are not readily available, investments will be valued at their fair value as determined in good faith by the Adviser in accordance with procedures approved by the Board of Trustees (the “Board”) and evaluated by the Board as to the reliability of the fair value method used. In these cases, a Fund’s NAV will reflect certain portfolio investments’ fair value rather than their market price. Fair value pricing involves subjective judgments and it is possible that the fair value determined for an investment is materially different than the value that could be realized upon the sale of that investment. The fair value prices can differ from market prices when they become available or when a price becomes available. | ||||||||||||
Fair value determinations are required for the following securities: | ||||||||||||
| ● | securities for which market quotations are not readily available at the valuation time on a particular business day (including without limitation securities for which there is a short and temporary lapse in the provision of a price by the regular pricing source); | |||||||||||
● | securities for which, in the opinion of the Adviser/relevant Sub-Adviser, the prices or values available do not represent the fair value of the instrument, based upon factors that may include, but are not limited to, the following: the availability of only a bid price or an ask price; the spread between bid and ask prices; the frequency of sales; the thinness of the market; the size of reported trades; and actions of the securitiesmarkets or regulators, such as the suspension or limitation of trading; | |||||||||||
| ● | securities determined to be illiquid in accordance with the Trust’s Liquidity Procedures; and | |||||||||||
● | securities with respect to which an event that will affect the value thereof has occurred subsequent to the determination by the Adviser/relevant Sub-Adviser of the closing prices reported on the principal exchange on which the securities are traded, but prior to the relevant Fund’s calculation of its NAV. | |||||||||||
● | For any open-end mutual funds that do not provide timely NAV information, the Adviser/relevant Sub-Adviser shall evaluate those ‘similar’ funds and determine which are most appropriate based on funds having similar benchmarks or similar objectives. The Adviser/relevant Sub-Adviser shall then calculate the NAV percentage move of those ‘similar’ funds for the day to create an aggregate average percentage move, which it shall use to calculate the price movement for the day of the Fund at issue. For closed-end funds, the aforementioned practice shall be utilized, in addition to monitoring secondary market activity during the day. | |||||||||||
| Performing Fair Value Pricing | ||||||||||||
The Adviser considers all appropriate factors relevant to the value of securities for which market quotations are not readily available. No single standard for determining fair value can be established, since fair value depends upon the circumstances of each individual case. As a general principle, the current fair value of an issue of securities being valued by the Adviser would appear to be the amount that the owner might reasonably expect to receive for them upon their current sale. Methods that are in accord with this principle may, for example, be based on: | ||||||||||||
| ● | a multiple of earnings; | |||||||||||
| ● | a discount from market of a similar freely traded security (including a derivative security or a basket of securities traded on other markets, exchanges or among dealers); or | |||||||||||
| ● | yield to maturity with respect to debt issues, or a combination of these and other methods. | |||||||||||
Fair value determinations are not based on what the Adviser believes that a buyer may pay at a later time, such as when market conditions change or when the market ultimately recognizes a security’s true value as perceived by the Adviser. Similarly, bonds and other instruments may not be fair valued at par based on the expectation that the Fund will hold the investment until maturity. | ||||||||||||
Some of the general factors that the Adviser considers in determining a valuation method for an individual issue of securities include, but shall not be limited to: | ||||||||||||
| ● | the fundamental analytical data relating to the investment; | |||||||||||
| ● | the nature and duration of restrictions (if any) on disposition of the securities; | |||||||||||
| ● | evaluation of the forces that influence the market in which these securities are purchased or sold; | |||||||||||
| ● | changes in interest rates; | |||||||||||
| ● | government (domestic or foreign) actions or pronouncements; and | |||||||||||
| ● | other news events. | |||||||||||
With respect to securities traded on foreign markets, the Adviser considers the value of foreign securities traded on other foreign markets, ADR trading, closed-end fund trading, foreign currency exchange activity and the trading prices of financial products that are tied to baskets of foreign securities, such as WEBS. | ||||||||||||
Among the more specific factors that the Funds’ Adviser considers (if applicable) in determining a valuation method for an individual issue of securities are: | ||||||||||||
| ● | type of security; | |||||||||||
| ● | financial statements of the issuer; | |||||||||||
| ● | cost at date of purchase; | |||||||||||
| ● | size of holding; | |||||||||||
| ● | discount from market value of unrestricted securities of the same class at time of purchase; | |||||||||||
| ● | special reports prepared by analysts; | |||||||||||
| ● | information as to any transactions or offers with respect to the security; | |||||||||||
| ● | existence of merger proposals or tender offers affecting the securities; | |||||||||||
| ● | price and extent of public trading in similar securities of the issuer or comparable companies; and | |||||||||||
| ● | other relevant matters. | |||||||||||
As a general matter, the Funds’ Adviser will value the portfolio security or other asset primarily by reference to the public market if there is a public market for securities of the same class or similar securities; primarily by reference to private transactions if public market reference is not available and private transaction reports are available; and primarily by use of one or more analytical methods or models if public and private market references are not available or not reliable. The Adviser will use cost only if no better method of valuation is available. | ||||||||||||
The Adviser regularly evaluates whether its pricing methodologies continue to result in values that the Fund might reasonably expect to receive upon a current sale. In order to do this, the Adviser compares its fair value prices with values that are available from other sources (if there are any). The next actual sales price of a security might be one such source. However, the next-day opening prices or next actual sales prices for a security may differ from the fair value of that security as of the time for NAV calculation, given the subjectivity inherent in fair valuation and the fact that events could occur after NAV calculation. Thus, discrepancies between fair values and next-day opening prices or next actual sales prices may occur on a regular and recurring basis. These discrepancies do not necessarily indicate that the Adviser’s fair value methodology is inappropriate. Nonetheless, systematic comparisons of fair values to the next-day opening prices or next actual sales prices are useful to assist the Adviser with ongoing monitoring and evaluation of the appropriateness of its fair value methodologies. | ||||||||||||
The above guidance does not purport to delineate all factors that may be considered. The Adviser takes into consideration all indications of value available to it in determining the fair value assigned to a particular security. | ||||||||||||
The following table summarizes LoCorr Macro Strategies Fund’s consolidated investments and other financial instruments as of March 31, 2021: | ||||||||||||
Security Classification | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Investments | |||||||||||||||||
| Asset Backed Securities | $ | - | $ | 125,220,184 | $ | - | $ | 125,220,184 | |||||||||
| Corporate Bonds | - | 313,181,605 | - | 313,181,605 | |||||||||||||
| Mortgage Backed Securities | - | 145,268,033 | - | 145,268,033 | |||||||||||||
| Municipal Bonds | - | 6,909,200 | - | 6,909,200 | |||||||||||||
| U.S. Government Agency Issues | - | 97,964,590 | - | 97,964,590 | |||||||||||||
| U.S. Government Notes | - | 405,209,191 | - | 405,209,191 | |||||||||||||
| Short Term Investment | 66,686,906 | - | - | 66,686,906 | |||||||||||||
| Total Investments | $ | 66,686,906 | $ | 1,093,752,803 | $ | - | $ | 1,160,439,709 | |||||||||
| Other Financial Instruments* | |||||||||||||||||
| Forward Currency Contracts | |||||||||||||||||
| Purchase | $ | - | $ | (20,101,738 | ) | $ | - | $ | (20,101,738 | ) | |||||||
| Sale | - | 20,159,025 | - | 20,159,025 | |||||||||||||
Total Forward Currency Contracts | - | 57,287 | - | 57,287 | |||||||||||||
| Futures Contracts | |||||||||||||||||
| Long | (334,004 | ) | - | - | (334,004 | ) | |||||||||||
| Short | 5,974,413 | - | - | 5,974,413 | |||||||||||||
Total Futures Contracts | 5,640,409 | - | - | 5,640,409 | |||||||||||||
| Total Other Financial Instruments | $ | 5,640,409 | $ | 57,287 | $ | - | $ | 5,697,696 | |||||||||
See the Fund’s consolidated schedule of investments for the investments detailed by industry classification. | ||||||||||||
*The fair value of the Fund’s other financial instruments represents the net unrealized appreciation at March 31, 2021. | ||||||||||||
The LoCorr Macro Strategies Fund did not hold any Level 3 assets during the period. | ||||||||||||