Penn Series Funds, Inc.
Schedule of Investments — September 30, 2021 (Unaudited)
Limited Maturity Bond Fund
Par (000) | Value† | |
ASSET BACKED SECURITIES — 34.1% | ||
Adams Mill CLO Ltd., Series 2014-1A Class B2R, 144A 3.350%, 07/15/26@ | $2,750 | $2,752,252 |
Anchorage Capital CLO Ltd., Series 2013-1A Class A2R (3 M ICE LIBOR + 1.650%), 144A 1.779%, 10/13/30@,• | 2,830 | 2,830,620 |
Arch Street CLO Ltd., Series 2016-2A Class BR2 (3 M ICE LIBOR + 1.700%, Floor 1.700%), 144A 1.834%, 10/20/28@,• | 1,000 | 1,000,040 |
ASSURANT CLO Ltd., Series 2018-2A Class A (3 M ICE LIBOR + 1.040%, Floor 1.040%), 144A 1.174%, 04/20/31@,• | 2,400 | 2,400,288 |
Babson CLO Ltd., | ||
Series 2014-IA Class BR (3 M ICE LIBOR + 2.200%), 144A, 2.334%, 07/20/25@,• | 2,500 | 2,501,085 |
Series 2014-IA Class C (3 M ICE LIBOR + 3.450%), 144A, 3.584%, 07/20/25@,• | 1,500 | 1,500,715 |
Barings CLO Ltd., Series 2017-1A Class B1 (3 M ICE LIBOR + 1.700%), 144A 1.834%, 07/18/29@,• | 1,500 | 1,500,235 |
Benefit Street Partners CLO VIII Ltd., Series 2015-8A Class A1AR (3 M ICE LIBOR + 1.100%, Floor 1.100%), 144A 1.234%, 01/20/31@,• | 2,500 | 2,500,230 |
BSPRT Issuer Ltd., | ||
Series 2021-FL6 Class A (1 M ICE LIBOR + 1.100%, Floor 1.100%), 144A, 1.184%, 03/15/36@,• | 2,200 | 2,200,000 |
Series 2021-FL6 Class B (1 M ICE LIBOR + 1.600%, Floor 1.600%), 144A, 1.684%, 03/15/36@,• | 2,500 | 2,499,999 |
CIFC Funding Ltd., Series 2014-2RA Class A1 (3 M ICE LIBOR + 1.050%, Floor 1.050%), 144A 1.175%, 04/24/30@,• | 2,000 | 2,000,320 |
Crestline Denali CLO XVI Ltd., Series 2018-1A Class A (3 M ICE LIBOR + 1.120%, Floor 1.120%), 144A 1.254%, 01/20/30@,• | 3,000 | 2,997,393 |
Deerpath Capital CLO Ltd., Series 2018-1A Class B (3 M ICE LIBOR + 2.500%, Floor 2.500%), 144A 2.626%, 01/15/31@,• | 2,000 | 2,003,028 |
ECMC Group Student Loan Trust, | ||
Series 2018-2A Class A (1 M ICE LIBOR + 0.800%, Floor 0.800%), 144A, 0.886%, 09/25/68@,• | 3,403 | 3,430,005 |
Par (000) | Value† | |
Series 2019-1A Class A1A, 144A, 2.720%, 07/25/69@ | $1,743 | $1,811,433 |
Edsouth Indenture No 4 LLC, Series 2013-1 Class A (1 M ICE LIBOR + 0.570%), 144A 0.656%, 02/26/29@,• | 3,170 | 3,163,227 |
First Eagle BSL CLO Ltd., Series 2019-1A Class B (3 M ICE LIBOR + 3.250%, Floor 3.250%), 144A 3.384%, 01/20/33@,• | 1,500 | 1,479,224 |
Ford Credit Auto Owner Trust, Series 2020-B Class A2, 0.500%, 02/15/23 | 933 | 933,635 |
GM Financial Consumer Automobile Receivables Trust, Series 2020-2 Class A2A, 1.500%, 03/16/23 | 21 | 21,170 |
Halcyon Loan Advisors Funding Ltd., Series 2015-2A Class AR (3 M ICE LIBOR + 1.080%, Floor 1.080%), 144A 1.205%, 07/25/27@,• | 335 | 334,800 |
Honda Auto Receivables Owner Trust, Series 2020-1 Class A4, 1.630%, 10/21/26 | 4,085 | 4,164,016 |
KVK CLO Ltd., Series 2018-1A Class D (3 M ICE LIBOR + 3.000%), 144A 3.131%, 05/20/29@,• | 2,000 | 1,999,194 |
Navient Private Education Loan Trust, | ||
Series 2015-AA Class A3 (1 M ICE LIBOR + 1.700%), 144A, 1.784%, 11/15/30@,• | 1,500 | 1,537,657 |
Series 2014-AA Class A3 (1 M ICE LIBOR + 1.600%), 144A, 1.684%, 10/15/31@,• | 1,499 | 1,526,397 |
Series 2015-BA Class A3 (1 M ICE LIBOR + 1.450%), 144A, 1.534%, 07/16/40@,• | 2,400 | 2,412,849 |
Navient Private Education Refi Loan Trust, | ||
Series 2020-EA Class A, 144A, 1.690%, 05/15/69@ | 2,601 | 2,637,612 |
Series 2021-EA Class A, 144A, 0.970%, 12/16/69@ | 3,929 | 3,910,392 |
Navient Student Loan Trust, | ||
Series 2016-5A Class A (1 M ICE LIBOR + 1.250%), 144A, 1.336%, 06/25/65@,• | 4,802 | 4,916,408 |
Series 2018-1A Class A2 (1 M ICE LIBOR + 0.350%) , 144A, 0.436%, 03/25/67@,• | 2,020 | 2,020,840 |
Ocean Trails CLO V, Series 2014-5A Class ARR (3 M ICE LIBOR + 1.280%, Floor 1.280%), 144A 1.409%, 10/13/31@,• | 1,966 | 1,965,835 |
1
Penn Series Funds, Inc.
Schedule of Investments — September 30, 2021 (Unaudited)
Limited Maturity Bond Fund
Par (000) | Value† | |
ASSET BACKED SECURITIES — (continued) | ||
OZLM XI Ltd., Series 2015-11A Class A2R (3 M ICE LIBOR + 1.750%), 144A 1.879%, 10/30/30@,• | $2,300 | $2,300,028 |
Signal Peak CLO Ltd., Series 2018-6A Class B (3 M ICE LIBOR + 1.680%), 144A 1.812%, 07/28/31@,• | 2,000 | 2,000,442 |
SLM Private Education Loan Trust, Series 2014-A Class B, 144A 3.500%, 11/15/44@ | 935 | 935,966 |
SLM Student Loan Trust, Series 2014-2 Class A3 (1 M ICE LIBOR + 0.590%), 0.676%, 03/25/55• | 4,972 | 5,010,279 |
SMB Private Education Loan Trust, | ||
Series 2015-C Class A3 (1 M ICE LIBOR + 1.950%), 144A, 2.034%, 08/16/32@,• | 2,405 | 2,447,649 |
Series 2021-C Class B, 144A, 2.300%, 01/15/53@ | 939 | 940,548 |
Sound Point CLO V-R Ltd., Series 2014-1RA Class B (3 M ICE LIBOR + 1.750%, Floor 1.750%), 144A 1.884%, 07/18/31@,• | 1,500 | 1,492,959 |
Steele Creek CLO Ltd., Series 2014-1RA Class B (3 M ICE LIBOR + 1.500%, Floor 1.500%), 144A 1.634%, 04/21/31@,• | 1,250 | 1,241,264 |
Towd Point Mortgage Trust, Series 2020-4 Class A2, 144A 2.500%, 10/25/60@ | 2,240 | 2,288,866 |
Trinitas CLO XII Ltd., Series 2020-12A Class C (3 M ICE LIBOR + 3.000%, Floor 3.000%), 144A 3.125%, 04/25/33@,• | 1,500 | 1,506,906 |
Trinitas CLO XIV Ltd., Series 2020-14A Class D (3 M ICE LIBOR + 4.300%, Floor 4.300%), 144A 4.425%, 01/25/34@,• | 2,000 | 2,003,316 |
Verizon Owner Trust, Series 2019-A Class A1A, 2.930%, 09/20/23 | 2,238 | 2,257,461 |
TOTAL ASSET BACKED SECURITIES (Cost $91,194,047) | 91,376,583 | |
COMMERCIAL MORTGAGE BACKED SECURITIES — 12.0% | ||
BHMS, Series 2018-ATLS Class B (1 M ICE LIBOR + 1.500%, Floor 1.500%), 144A 1.584%, 07/15/35@,• | 2,000 | 1,999,968 |
Par (000) | Value† | |
BX Commercial Mortgage Trust, | ||
Series 2019-XL Class B (1 M ICE LIBOR + 1.080%, Floor 1.080%), 144A, 1.164%, 10/15/36@,• | $1,325 | $1,326,336 |
Series 2020-BXLP Class A (1 M ICE LIBOR + 0.800%, Floor 0.800%), 144A, 0.884%, 12/15/36@,• | 2,765 | 2,767,390 |
Citigroup Commercial Mortgage Trust, Series 2018-TBR Class D (1 M ICE LIBOR + 1.800%, Floor 1.800%), 144A 1.884%, 12/15/36@,• | 1,000 | 991,317 |
COMM Mortgage Trust, Series 2014-CR20 Class A3 3.326%, 11/10/47 | 2,767 | 2,910,738 |
FHLMC Multifamily Structured Pass-Through Certificates, | ||
Series K019 Class X1, 1.719%, 03/25/22• | 23,486 | 16,473 |
Series K021 Class A2, 2.396%, 06/25/22 | 2,942 | 2,973,252 |
Series KC02 Class X3, 3.163%, 08/25/25• | 14,500 | 1,363,538 |
FREMF Mortgage Trust, | ||
Series 2017-K727 Class C, 144A, 3.871%, 07/25/24@,• | 3,500 | 3,677,975 |
Series 2013-K25 Class C, 144A, 3.745%, 11/25/45@,• | 2,110 | 2,166,627 |
Series 2013-K27 Class C, 144A, 3.616%, 01/25/46@,• | 2,000 | 2,059,489 |
Series 2013-K35 Class B, 144A, 4.068%, 12/25/46@,• | 2,260 | 2,395,215 |
Series 2014-K717 Class C, 144A, 3.695%, 11/25/47@,• | 71 | 70,680 |
Series 2015-K44 Class B, 144A, 3.795%, 01/25/48@,• | 3,675 | 3,933,185 |
GS Mortgage Securities Corp. Trust, Series 2018-HULA Class B (1 M ICE LIBOR + 1.250%, Floor 1.250%), 144A 1.334%, 07/15/25@,• | 1,858 | 1,856,000 |
GS Mortgage Securities Trust, Series 2010-C1 Class A2, 144A 4.592%, 08/10/43@ | 187 | 186,726 |
Hawaii Hotel Trust, Series 2019-MAUI Class C (1 M ICE LIBOR + 1.650%, Floor 1.650%), 144A 1.734%, 05/15/38@,• | 1,500 | 1,498,191 |
WFRBS Commercial Mortgage Trust, Series 2012-C7 Class XA, 144A 1.449%, 06/15/45@,• | 44,521 | 121,654 |
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost $34,612,134) | 32,314,754 |
2
Penn Series Funds, Inc.
Schedule of Investments — September 30, 2021 (Unaudited)
Limited Maturity Bond Fund
Par (000) | Value† | |
CORPORATE BONDS — 37.1% | ||
Aerospace & Defense — 2.1% | ||
The Boeing Co. | ||
1.167%, 02/04/23 | $1,500 | $1,503,452 |
4.508%, 05/01/23 | 2,500 | 2,640,997 |
TransDigm, Inc., 144A 8.000%, 12/15/25@ | 1,500 | 1,599,375 |
5,743,824 | ||
Airlines — 0.2% | ||
UAL Pass Through Trust, Series 2007-1 Class A 6.636%, 01/02/24 | 620 | 638,160 |
Apparel — 0.8% | ||
VF Corp. 2.050%, 04/23/22 | 2,250 | 2,271,268 |
Auto Manufacturers — 1.5% | ||
BMW US Capital LLC, 144A 3.800%, 04/06/23@ | 2,250 | 2,359,980 |
Volkswagen Group of America Finance LLC, 144A 3.125%, 05/12/23@ | 1,500 | 1,558,302 |
3,918,282 | ||
Banks — 4.4% | ||
Bank of America Corp. 3.950%, 04/21/25 | 2,010 | 2,189,855 |
First Maryland Capital II (3 M ICE LIBOR + 0.850%) 0.976%, 02/01/27• | 3,000 | 2,934,228 |
JPMorgan Chase & Co. (3 M ICE LIBOR + 3.470%) 3.599%µ,• | 1,022 | 1,027,593 |
State Street Corp. (3 M ICE LIBOR + 0.560%) 0.685%, 05/15/28• | 2,500 | 2,423,948 |
Wells Fargo & Co. (3 M ICE LIBOR + 1.000%) 1.126%, 04/15/27• | 3,250 | 3,197,588 |
11,773,212 | ||
Beverages — 0.6% | ||
Coca-Cola Europacific Partners PLC, 144A 0.800%, 05/03/24@ | 1,750 | 1,744,308 |
Biotechnology — 0.6% | ||
Gilead Sciences, Inc. 0.750%, 09/29/23 | 1,500 | 1,500,072 |
Building Materials — 0.6% | ||
Builders FirstSource, Inc., 144A 6.750%, 06/01/27@ | 1,500 | 1,590,000 |
Chemicals — 1.4% | ||
Westlake Chemical Corp. 0.875%, 08/15/24 | 1,500 | 1,501,931 |
Par (000) | Value† | |
Chemicals — (continued) | ||
WR Grace Holdings LLC, 144A 5.625%, 10/01/24@ | $2,000 | $2,190,000 |
3,691,931 | ||
Computers — 0.6% | ||
Hewlett Packard Enterprise Co. 1.450%, 04/01/24 | 1,500 | 1,523,878 |
Diversified Financial Services — 1.7% | ||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust 4.450%, 12/16/21 | 1,000 | 1,004,724 |
Intercontinental Exchange, Inc. 0.700%, 06/15/23 | 1,500 | 1,505,580 |
OneMain Finance Corp. 8.250%, 10/01/23 | 1,750 | 1,955,677 |
4,465,981 | ||
Electric — 6.6% | ||
American Electric Power Co., Inc. 0.750%, 11/01/23 | 2,500 | 2,500,160 |
CenterPoint Energy, Inc. (SOFR + 0.650%) 0.700%, 05/13/24• | 1,000 | 1,002,040 |
Edison International 3.125%, 11/15/22 | 1,000 | 1,024,851 |
Georgia Power Co. 2.100%, 07/30/23 | 1,900 | 1,956,099 |
NextEra Energy Capital Holdings, Inc. 2.900%, 04/01/22 | 1,500 | 1,519,771 |
Niagara Mohawk Power Corp., 144A 3.508%, 10/01/24@ | 2,000 | 2,134,714 |
OGE Energy Corp. 0.703%, 05/26/23 | 3,000 | 3,000,233 |
Pacific Gas and Electric Co. 1.750%, 06/16/22 | 1,500 | 1,497,602 |
San Diego Gas & Electric Co. 1.914%, 02/01/22 | 115 | 114,884 |
Southern California Edison Co. 3.700%, 08/01/25 | 2,750 | 2,987,963 |
17,738,317 | ||
Electronics — 0.7% | ||
Honeywell International, Inc. (3 M ICE LIBOR + 0.370%) 0.495%, 08/08/22• | 500 | 501,567 |
SYNNEX Corp., 144A 1.250%, 08/09/24@ | 1,500 | 1,500,385 |
2,001,952 | ||
Energy-Alternate Sources — 0.6% | ||
TerraForm Power Operating LLC, 144A 4.250%, 01/31/23@ | 1,500 | 1,541,250 |
3
Penn Series Funds, Inc.
Schedule of Investments — September 30, 2021 (Unaudited)
Limited Maturity Bond Fund
Par (000) | Value† | |
CORPORATE BONDS — (continued) | ||
Food — 0.5% | ||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, 144A 3.500%, 02/15/23@ | $1,300 | $1,329,432 |
Healthcare Products — 0.9% | ||
PerkinElmer, Inc. 0.850%, 09/15/24 | 1,000 | 1,000,045 |
Stryker Corp. 0.600%, 12/01/23 | 1,500 | 1,500,050 |
2,500,095 | ||
Home Builders — 0.6% | ||
Lennar Corp. 4.125%, 01/15/22 | 1,500 | 1,500,000 |
Lodging — 0.7% | ||
Hyatt Hotels Corp. 1.800%, 10/01/24 | 1,875 | 1,878,877 |
Machinery — Diversified — 0.9% | ||
CNH Industrial Capital LLC 1.950%, 07/02/23 | 2,250 | 2,299,740 |
Media — 1.1% | ||
Charter Communications Operating LLC/Charter Communications Operating Capital 4.464%, 07/23/22 | 1,500 | 1,538,123 |
Fox Corp. 3.666%, 01/25/22 | 1,500 | 1,515,832 |
3,053,955 | ||
Oil & Gas — 1.9% | ||
Phillips 66 0.900%, 02/15/24 | 2,000 | 2,000,498 |
Pioneer Natural Resources Co. 0.750%, 01/15/24 | 1,500 | 1,498,291 |
Southwestern Energy Co. 4.100%, 03/15/22 | 1,500 | 1,503,750 |
5,002,539 | ||
Packaging and Containers — 0.9% | ||
Ball Corp. 4.000%, 11/15/23 | 2,250 | 2,370,937 |
Pharmaceuticals — 1.6% | ||
AbbVie, Inc. 2.300%, 11/21/22 | 500 | 510,251 |
Bristol-Myers Squibb Co. 2.600%, 05/16/22 | 1,000 | 1,014,753 |
Elanco Animal Health, Inc. 5.272%, 08/28/23 | 1,645 | 1,753,126 |
Viatris, Inc., 144A 1.125%, 06/22/22@ | 1,000 | 1,005,304 |
4,283,434 |
Par (000) | Value† | |
Real Estate Investment Trusts — 1.3% | ||
SBA Tower Trust, 144A 1.884%, 07/15/50@ | $2,500 | $2,530,463 |
Simon Property Group LP 3.500%, 09/01/25 | 1,000 | 1,086,123 |
3,616,586 | ||
Retail — 0.9% | ||
Yum! Brands, Inc., 144A 7.750%, 04/01/25@ | 2,250 | 2,407,545 |
Semiconductors — 0.9% | ||
Micron Technology, Inc. 2.497%, 04/24/23 | 1,000 | 1,029,280 |
Skyworks Solutions, Inc. 0.900%, 06/01/23 | 1,500 | 1,502,891 |
2,532,171 | ||
Software — 0.6% | ||
VMware, Inc. 1.000%, 08/15/24 | 1,500 | 1,504,940 |
Telecommunications — 1.9% | ||
Sprint Corp. 7.875%, 09/15/23 | 2,000 | 2,235,000 |
T-Mobile USA, Inc. 3.500%, 04/15/25 | 1,500 | 1,615,441 |
Verizon Communications, Inc. 1.450%, 03/20/26 | 1,250 | 1,261,575 |
5,112,016 | ||
TOTAL CORPORATE BONDS (Cost $98,517,418) | 99,534,702 | |
RESIDENTIAL MORTGAGE BACKED SECURITIES — 14.3% | ||
Collateralized Mortgage Obligations — 13.4% | ||
Angel Oak Mortgage Trust, Series 2020-1 Class A3, 144A 2.774%, 12/25/59@,• | 1,623 | 1,629,727 |
Bunker Hill Loan Depositary Trust, | ||
Series 2019-2 Class A3, 144A, 3.185%, 07/25/49@,• | 3,495 | 3,534,994 |
Series 2020-1 Class M1, 144A, 4.353%, 02/25/55@,• | 2,250 | 2,340,458 |
Citigroup Mortgage Loan Trust, Series 2014-J1 Class A1, 144A 3.500%, 06/25/44@,• | 885 | 899,427 |
Flagstar Mortgage Trust, Series 2020-2 Class A4, 144A 3.000%, 08/25/50@,• | 2,185 | 2,214,530 |
GS Mortgage-Backed Securities Corp. Trust, Series 2020-PJ3 Class A13, 144A 2.500%, 10/25/50@,• | 2,235 | 2,252,901 |
GS Mortgage-Backed Securities Trust, Series 2021-PJ7 Class A8, 144A 2.500%, 01/25/52@,• | 4,891 | 4,972,958 |
4
Penn Series Funds, Inc.
Schedule of Investments — September 30, 2021 (Unaudited)
Limited Maturity Bond Fund
Par (000) | Value† | |
RESIDENTIAL MORTGAGE BACKED SECURITIES — (continued) | ||
Collateralized Mortgage Obligations — (continued) | ||
JP Morgan Mortgage Trust, | ||
Series 2017-3 Class 1A13, 144A, 3.500%, 08/25/47@,• | $4,800 | $4,842,566 |
Series 2019-9 Class A3, 144A, 3.500%, 05/25/50@,• | 2,278 | 2,308,209 |
OBX Trust, Series 2019-INV2 Class A5, 144A 4.000%, 05/27/49@,• | 519 | 529,782 |
Seasoned Loans Structured Transaction Trust Series, Series 2020-2 Class A1D 1.750%, 09/25/30 | 1,766 | 1,786,983 |
Sequoia Mortgage Trust, Series 2021-5 Class A5, 144A 2.000%, 07/25/51@,• | 2,891 | 2,918,896 |
Verus Securitization Trust, Series 2019-INV2 Class A3, 144A 3.219%, 07/25/59@,• | 3,156 | 3,184,450 |
Visio Trust, Series 2020-1R Class M1, 144A 2.926%, 11/25/55@ | 2,500 | 2,534,280 |
35,950,161 | ||
Fannie Mae REMICS — 0.8% | ||
Series 2012-152 Class TA 2.500%, 09/25/42 | 2,354 | 2,334,018 |
Freddie Mac REMICS — 0.1% | ||
Series 4895 Class C 4.500%, 02/15/49 | 226 | 237,395 |
TOTAL RESIDENTIAL MORTGAGE BACKED SECURITIES (Cost $38,709,398) | 38,521,574 |
Number of Shares | ||
SHORT-TERM INVESTMENTS — 2.7% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 0.030%) (Cost $7,172,492) | 7,172,492 | 7,172,492 |
TOTAL INVESTMENTS — 100.2% (Cost $270,205,489) | $268,920,105 | |
Other Assets & Liabilities — (0.2)% | (650,630) | |
TOTAL NET ASSETS — 100.0% | $268,269,475 |
† | See Security Valuation Note in the most recent semi-annual or annual report. |
@ | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At September 30, 2021, the aggregate value of Rule 144A securities was $161,695,011, which represents 60.3% of the Fund’s net assets. |
• | Variable rate security. The rate disclosed is the rate in effect on the report date. The information in parenthesis represents the benchmark and reference rate for each relevant security and the rate floats based upon the reference rate and spread. The security may be further subject to interest rate floors and caps. For loan agreements, the rate shown may represent a weighted average interest rate. Certain variable rate securities are not based on a published reference rate and spread, but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
µ | Perpetual security with no stated maturity date. |
CLO— Collateralized Loan Obligation. |
FHLMC— Federal Home Loan Mortgage Corporation. |
ICE— Intercontinental Exchange. |
LIBOR— London Interbank Offered Rate. |
LLC— Limited Liability Company. |
LP— Limited Partnership. |
M— Month. |
PLC— Public Limited Company. |
REMICS— Real Estate Mortgage Investment Conduits. |
SOFR— Secured Overnight Financing Rate |
Country Weightings as of 9/30/2021†† | |
United States | 82% |
Cayman Islands | 17 |
United Kingdom | 1 |
Total | 100% |
†† | % of total investments as of September 30, 2021. |
5
Penn Series Funds, Inc.
Schedule of Investments — September 30, 2021 (Unaudited)
Limited Maturity Bond Fund
Futures contracts held by the Fund at September 30, 2021 are as follows:
Futures Contracts: Exchange Traded | ||||||||||||||||
Type | Futures Contract | Expiration Date | Numbers of Contracts | Units per Contract | Closing Price | Notional Value | Unrealized Appreciation | Unrealized Depreciation | ||||||||
Long | U.S. Treasury 2 Year Note | 12/31/2021 | 427 | 2,000 | $110 | $93,963,352 | $— | $(50,795) | ||||||||
Long | U.S. Treasury 10 Year Ultra Note | 12/21/2021 | 20 | 1,000 | 145 | 2,905,000 | — | (43,944) | ||||||||
$— | $(94,739) |
Type | Futures Contract | Expiration Date | Numbers of Contracts | Units per Contract | Closing Price | Notional Value | Unrealized Appreciation | Unrealized Depreciation | ||||||||
Short | U.S. Treasury 5 Year Note | 12/31/2021 | (159) | 1,000 | $123 | $(19,516,008) | $100,327 | $— | ||||||||
$100,327 | $— | |||||||||||||||
$100,327 | $(94,739) |
6