Derivative
Financial
Instruments
Outstanding
as
of
Period
End
Futures
Contracts
Description
Number
of
Contracts
Expiration
Date
Notional
Amount
(000)
Value/
Unrealized
Appreciation
(Depreciation)
Long
Contracts
U.S.
Treasury
10
Year
Note
...................................................
281
09/21/21
$
37,803
$
417,999
U.S.
Treasury
Long
Bond
....................................................
79
09/21/21
13,033
625,344
U.S.
Treasury
Ultra
Bond
....................................................
35
09/21/21
6,989
244,651
U.S.
Treasury
2
Year
Note
....................................................
159
09/30/21
35,086
(2,037)
1,285,957
Short
Contracts
90-day
Eurodollar
.........................................................
5
09/13/21
1,248
(946)
U.S.
Treasury
10
Year
Ultra
Note
...............................................
12
09/21/21
1,805
(61,707)
U.S.
Treasury
5
Year
Note
....................................................
445
09/30/21
55,396
(352,921)
90-day
Eurodollar
.........................................................
5
12/13/21
1,248
(2,494)
90-day
Eurodollar
.........................................................
5
03/14/22
1,248
(1,619)
90-day
Eurodollar
.........................................................
2
06/13/22
499
(453)
90-day
Eurodollar
.........................................................
2
09/19/22
499
97
90-day
Eurodollar
.........................................................
2
12/19/22
498
(278)
90-day
Eurodollar
.........................................................
2
03/13/23
498
(278)
(420,599)
$
865,358
OTC
Interest
Rate
Swaptions
Purchased
Paid
by
the
Fund
Received
by
the
Fund
Description
Rate
Frequency
Rate
Frequency
Counterparty
Expiration
Date
Exercise
Rate
Notional
Amount
(000)
Value
Put
10-Year
Interest
Rate
Swap
(a)
2.25%
Semi-Annual
3
month
LIBOR
Quarterly
Deutsche
Bank
AG
02/22/22
2.25
%
USD
4,900
$
12,938
10-Year
Interest
Rate
Swap
(a)
2.15%
Semi-Annual
3
month
LIBOR
Quarterly
Barclays
Bank
plc
12/12/22
2.15
USD
4,400
52,567
$
65,505
(a)
Forward
settling
swaption.
Exchange-Traded
Options
Written
Description
Number
of
Contracts
Expiration
Date
Exercise
Price
Notional
Amount
(000)
Value
Call
U.S.
Treasury
5
Year
Note
.......................
31
08/27/21
USD
124.00
USD
3,100
$
(19,375)
U.S.
Treasury
5
Year
Note
.......................
71
08/27/21
USD
123.75
USD
7,100
(58,242)
$
(77,617)
OTC
Interest
Rate
Swaptions
Written
Paid
by
the
Fund
Received
by
the
Fund
Description
Rate
Frequency
Rate
Frequency
Counterparty
Expiration
Date
Exercise
Rate
Notional
Amount
(000)
Value
Call
10-Year
Interest
Rate
Swap
(a)
1.75%
Semi-Annual
3
month
LIBOR
Quarterly
Deutsche
Bank
AG
03/02/22
1.75
%
USD
1,000
$
(45,972)
10-Year
Interest
Rate
Swap
(a)
1.84%
Semi-Annual
3
month
LIBOR
Quarterly
Barclays
Bank
plc
04/20/22
1.84
USD
5,300
(276,719)
10-Year
Interest
Rate
Swap
(a)
1.99%
Semi-Annual
3
month
LIBOR
Quarterly
Deutsche
Bank
AG
10/28/22
1.99
USD
5,400
(330,867)
(653,558)
