Penn Series Funds, Inc.
Schedule of Investments — September 30, 2021 (Unaudited)
Quality Bond Fund
Par (000) | Value† | |
ASSET BACKED SECURITIES — 14.4% | ||
Arch Street CLO Ltd., Series 2016-2A Class BR2 (3 M ICE LIBOR + 1.700%, Floor 1.700%), 144A 1.834%, 10/20/28@,• | $4,000 | $4,000,160 |
Battalion CLO XV Ltd., Series 2020-15A Class A1 (3 M ICE LIBOR + 1.350%, Floor 1.350%), 144A 1.484%, 01/17/33@,• | 4,000 | 4,002,184 |
Black Diamond CLO Ltd., Series 2019-2A Class A1A (3 M ICE LIBOR + 1.430%, Floor 1.430%), 144A 1.568%, 07/23/32@,• | 2,761 | 2,761,102 |
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 |
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@,• | 4,000 | 3,944,596 |
Fortress Credit BSL III Ltd., Series 2015-1A Class B1R (3 M ICE LIBOR + 1.730%, Floor 1.730%), 144A 1.864%, 04/18/31@,• | 3,000 | 3,000,138 |
Highbridge Loan Management Ltd., Series 7A-2015 Class A2R (3 M ICE LIBOR + 0.900%), 144A 1.025%, 03/15/27@,• | 2,000 | 2,000,174 |
Honda Auto Receivables Owner Trust, Series 2020-1 Class A4, 1.630%, 10/21/26 | 3,000 | 3,058,029 |
KVK CLO Ltd., Series 2018-1A Class D (3 M ICE LIBOR + 3.000%), 144A 3.131%, 05/20/29@,• | 3,000 | 2,998,791 |
Ocean Trails CLO V, Series 2014-5A Class ARR (3 M ICE LIBOR + 1.280%, Floor 1.280%), 144A 1.409%, 10/13/31@,• | 2,457 | 2,457,294 |
OZLM XI Ltd., Series 2015-11A Class A2R (3 M ICE LIBOR + 1.750%), 144A 1.879%, 10/30/30@,• | 4,000 | 4,000,048 |
SLM Student Loan Trust, | ||
Series 2012-6 Class B (1 M ICE LIBOR + 1.000%), 1.086%, 04/27/43• | 4,860 | 4,494,446 |
Series 2014-2 Class A3 (1 M ICE LIBOR + 0.590%), 0.676%, 03/25/55• | 4,351 | 4,383,994 |
Par (000) | Value† | |
SMB Private Education Loan Trust, | ||
Series 2015-C Class A3 (1 M ICE LIBOR + 1.950%), 144A, 2.034%, 08/16/32@,• | $5,000 | $5,088,668 |
Series 2014-A Class B, 144A, 4.000%, 09/15/42@ | 1,930 | 1,990,228 |
Series 2015-C Class B, 144A, 3.500%, 09/15/43@ | 5,000 | 5,211,471 |
Steele Creek CLO Ltd., | ||
Series 2016-1A Class BR (3 M ICE LIBOR + 1.650%, Floor 1.650%), 144A, 1.766%, 06/15/31@,• | 3,250 | 3,188,452 |
Series 2018-2A Class A (3 M ICE LIBOR + 1.200%, Floor 1.200%), 144A, 1.325%, 08/18/31@,• | 4,500 | 4,499,986 |
Trinitas CLO XII Ltd., Series 2020-12A Class C (3 M ICE LIBOR + 3.000%, Floor 3.000%), 144A 3.125%, 04/25/33@,• | 2,000 | 2,009,208 |
Trinitas CLO XIV Ltd., Series 2020-14A Class D (3 M ICE LIBOR + 4.300%, Floor 4.300%), 144A 4.425%, 01/25/34@,• | 2,500 | 2,504,145 |
TOTAL ASSET BACKED SECURITIES (Cost $68,708,462) | 69,023,119 | |
COMMERCIAL MORTGAGE BACKED SECURITIES — 18.9% | ||
Benchmark Mortgage Trust, Series 2019-B9 Class A5 4.016%, 03/15/52 | 5,000 | 5,681,991 |
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 |
COMM Mortgage Trust, Series 2014-CR20 Class A3 3.326%, 11/10/47 | 4,611 | 4,851,229 |
FHLMC Multifamily Structured Pass-Through Certificates, | ||
Series K019 Class X1, 1.719%, 03/25/22• | 42,371 | 29,719 |
Series K043 Class A2, 3.062%, 12/25/24 | 3,000 | 3,205,257 |
Series K058 Class A2, 2.653%, 08/25/26 | 5,000 | 5,348,275 |
Series K094 Class A2, 2.903%, 06/25/29 | 2,000 | 2,189,006 |
Series K107 Class A1, 1.228%, 10/25/29 | 7,376 | 7,363,107 |
Fontainebleau Miami Beach Trust, Series 2019-FBLU Class B, 144A 3.447%, 12/10/36@ | 2,500 | 2,617,459 |
FREMF Mortgage Trust, | ||
Series 2018-K731 Class B, 144A, 4.064%, 02/25/25@,• | 6,610 | 7,114,776 |
1
Penn Series Funds, Inc.
Schedule of Investments — September 30, 2021 (Unaudited)
Quality Bond Fund
Par (000) | Value† | |
COMMERCIAL MORTGAGE BACKED SECURITIES — (continued) | ||
Series 2019-K735 Class B, 144A, 4.156%, 05/25/26@,• | $6,000 | $6,578,346 |
Series 2012-K17 Class B, 144A, 4.635%, 12/25/44@,• | 4,000 | 4,009,487 |
Series 2012-K19 Class C, 144A, 4.151%, 05/25/45@,• | 4,500 | 4,553,521 |
Series 2012-K23 Class C, 144A, 3.782%, 10/25/45@,• | 5,000 | 5,114,022 |
Series 2013-K27 Class C, 144A, 3.616%, 01/25/46@,• | 3,647 | 3,755,478 |
Series 2015-K48 Class B, 144A, 3.766%, 08/25/48@,• | 5,000 | 5,390,163 |
Series 2016-K52 Class B, 144A, 4.060%, 01/25/49@,• | 5,065 | 5,537,696 |
Series 2017-K729 Class C, 144A, 3.800%, 11/25/49@,• | 2,460 | 2,588,130 |
Series 2018-K85 Class C, 144A, 4.463%, 12/25/50@,• | 3,500 | 3,837,413 |
Series 2019-K102 Class B, 144A, 3.651%, 12/25/51@,• | 5,000 | 5,340,151 |
Government National Mortgage Association, Series 2011-77 Class D 4.307%, 10/16/45• | 124 | 125,624 |
Wells Fargo Commercial Mortgage Trust, Series 2019-C51 Class A3 3.055%, 06/15/52 | 3,000 | 3,179,378 |
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost $87,415,763) | 90,410,196 |
Number of Shares | ||
PREFERRED STOCKS — 1.1% | ||
Banks — 0.3% | ||
Wells Fargo & Co. | 60,000 | 1,571,400 |
Electric — 0.8% | ||
Duke Energy Corp. | 134,000 | 3,588,520 |
TOTAL PREFERRED STOCKS (Cost $5,084,700) | 5,159,920 |
Par (000) | ||
CORPORATE BONDS — 45.5% | ||
Aerospace & Defense — 1.5% | ||
General Dynamics Corp. 3.500%, 05/15/25 | $3,000 | 3,255,125 |
The Boeing Co. | ||
2.196%, 02/04/26 | 2,000 | 2,017,376 |
3.250%, 02/01/35 | 1,950 | 1,946,916 |
7,219,417 |
Par (000) | Value† | |
Agriculture — 0.7% | ||
Cargill, Inc., 144A 3.250%, 03/01/23@ | $3,000 | $3,122,297 |
Airlines — 1.2% | ||
Delta Air Lines Pass Through Trust, Series 2015-1 Class B 4.250%, 01/30/25 | 1,809 | 1,878,996 |
UAL Pass Through Trust, Series 2007-1 Class A 6.636%, 01/02/24 | 2,226 | 2,289,364 |
United Airlines Pass Through Trust, Series 2014-1 Class B 4.750%, 10/11/23 | 1,327 | 1,341,439 |
5,509,799 | ||
Apparel — 0.7% | ||
VF Corp. 2.800%, 04/23/27 | 3,000 | 3,184,314 |
Auto Manufacturers — 0.9% | ||
BMW US Capital LLC, 144A 3.450%, 04/12/23@ | 4,000 | 4,176,850 |
Banks — 4.7% | ||
Allfirst Preferred Capital Trust (3 M ICE LIBOR + 1.500%) 1.626%, 07/15/29• | 3,500 | 3,461,697 |
JPMorgan Chase & Co. | ||
(3 M ICE LIBOR + 0.500%), 0.626%, 02/01/27• | 3,200 | 3,110,184 |
(3 M ICE LIBOR + 3.470%), 3.599%µ,• | 2,000 | 2,010,945 |
KeyCorp. Capital I (3 M ICE LIBOR + 0.740%) 0.871%, 07/01/28• | 2,640 | 2,558,166 |
NTC Capital I (3 M ICE LIBOR + 0.520%) 0.646%, 01/15/27• | 4,595 | 4,594,430 |
State Street Corp. (3 M ICE LIBOR + 0.560%) 0.685%, 05/15/28• | 3,830 | 3,713,488 |
The Goldman Sachs Group, Inc. (SOFR + 1.248%) 2.383%, 07/21/32• | 3,000 | 2,969,485 |
22,418,395 | ||
Beverages — 0.7% | ||
Constellation Brands, Inc. 3.150%, 08/01/29 | 3,000 | 3,205,068 |
Biotechnology — 1.7% | ||
Amgen, Inc. | ||
2.700%, 05/01/22 | 3,000 | 3,029,813 |
2.650%, 05/11/22 | 2,000 | 2,024,576 |
Gilead Sciences, Inc. 1.650%, 10/01/30 | 3,000 | 2,877,241 |
7,931,630 |
2
Penn Series Funds, Inc.
Schedule of Investments — September 30, 2021 (Unaudited)
Quality Bond Fund
Par (000) | Value† | |
CORPORATE BONDS — (continued) | ||
Building Materials — 2.1% | ||
Builders FirstSource, Inc., 144A 6.750%, 06/01/27@ | $2,500 | $2,650,000 |
Martin Marietta Materials, Inc. 4.250%, 07/02/24 | 3,000 | 3,254,642 |
Vulcan Materials Co. 4.500%, 04/01/25 | 3,565 | 3,939,992 |
9,844,634 | ||
Chemicals — 0.7% | ||
WR Grace Holdings LLC, 144A 5.625%, 10/01/24@ | 3,000 | 3,285,000 |
Commercial Services — 1.8% | ||
IHS Markit Ltd., 144A 5.000%, 11/01/22@ | 2,500 | 2,590,250 |
The Georgetown University 4.315%, 04/01/49 | 2,485 | 3,088,731 |
University of Southern California 3.028%, 10/01/39 | 2,820 | 3,016,616 |
8,695,597 | ||
Computers — 1.6% | ||
Apple, Inc. 3.850%, 08/04/46 | 4,000 | 4,666,776 |
Dell International LLC/EMC Corp. 5.450%, 06/15/23 | 3,000 | 3,220,342 |
7,887,118 | ||
Diversified Financial Services — 1.1% | ||
Air Lease Corp. 3.750%, 02/01/22 | 2,000 | 2,010,420 |
OneMain Finance Corp. 8.250%, 10/01/23 | 3,000 | 3,352,590 |
5,363,010 | ||
Electric — 3.3% | ||
Edison International 3.550%, 11/15/24 | 2,000 | 2,120,495 |
Louisville Gas and Electric Co. 4.250%, 04/01/49 | 3,000 | 3,611,034 |
Monongahela Power Co., 144A 3.550%, 05/15/27@ | 2,500 | 2,735,090 |
Northern States Power Co. 3.600%, 09/15/47 | 4,000 | 4,462,282 |
Pacific Gas and Electric Co. 4.000%, 12/01/46 | 3,000 | 2,884,530 |
15,813,431 | ||
Food — 3.6% | ||
Kellogg Co. 2.650%, 12/01/23 | 2,501 | 2,614,132 |
Land O' Lakes, Inc., 144A 6.000%, 11/15/22@ | 3,500 | 3,656,754 |
Mars, Inc., 144A 1.625%, 07/16/32@ | 3,000 | 2,840,955 |
Smithfield Foods, Inc., 144A 3.350%, 02/01/22@ | 3,000 | 3,017,090 |
Par (000) | Value† | |
Food — (continued) | ||
The Hershey Co. 1.700%, 06/01/30 | $2,000 | $1,965,739 |
The J.M. Smucker Co. 3.375%, 12/15/27 | 2,750 | 2,991,269 |
17,085,939 | ||
Gas — 0.6% | ||
The Brooklyn Union Gas Co., 144A 3.407%, 03/10/26@ | 2,500 | 2,678,012 |
Healthcare Products — 0.4% | ||
PerkinElmer, Inc. 2.250%, 09/15/31 | 2,000 | 1,970,553 |
Healthcare Services — 1.0% | ||
Centene Corp. | ||
3.375%, 02/15/30 | 1,000 | 1,033,750 |
2.500%, 03/01/31 | 2,000 | 1,972,500 |
Health Care Service Corp. A Mutual Legal Reserve Co., 144A 2.200%, 06/01/30@ | 2,000 | 1,995,449 |
5,001,699 | ||
Household Products & Wares — 0.5% | ||
Kimberly-Clark Corp. 3.100%, 03/26/30 | 2,000 | 2,187,924 |
Internet — 0.8% | ||
Alibaba Group Holding Ltd. | ||
3.400%, 12/06/27 | 1,000 | 1,070,537 |
2.125%, 02/09/31 | 3,000 | 2,880,243 |
3,950,780 | ||
Investment Companies — 0.7% | ||
Ares Capital Corp. 2.875%, 06/15/28 | 3,500 | 3,542,556 |
Media — 1.8% | ||
Charter Communications Operating LLC/Charter Communications Operating Capital 4.464%, 07/23/22 | 3,000 | 3,076,246 |
Comcast Cable Holdings LLC 9.875%, 06/15/22 | 1,000 | 1,062,632 |
Comcast Corp. 3.950%, 10/15/25 | 4,000 | 4,435,678 |
8,574,556 | ||
Oil & Gas — 0.7% | ||
BG Energy Capital PLC, 144A 4.000%, 10/15/21@ | 1,000 | 1,001,497 |
BP Capital Markets PLC 2.500%, 11/06/22 | 2,500 | 2,560,437 |
3,561,934 | ||
Packaging and Containers — 0.1% | ||
Ball Corp. 3.125%, 09/15/31 | 500 | 493,789 |
3
Penn Series Funds, Inc.
Schedule of Investments — September 30, 2021 (Unaudited)
Quality Bond Fund
Par (000) | Value† | |
CORPORATE BONDS — (continued) | ||
Pharmaceuticals — 3.8% | ||
Becton Dickinson and Co. 3.700%, 06/06/27 | $1,956 | $2,164,993 |
Bristol-Myers Squibb Co. 3.400%, 07/26/29 | 3,000 | 3,315,796 |
GlaxoSmithKline Capital, Inc. 5.375%, 04/15/34 | 1,000 | 1,327,981 |
Johnson & Johnson 3.625%, 03/03/37 | 3,000 | 3,443,911 |
Mead Johnson Nutrition Co. 4.125%, 11/15/25 | 2,000 | 2,226,321 |
Merck & Co., Inc. 3.900%, 03/07/39 | 2,200 | 2,563,492 |
Zoetis, Inc. 4.500%, 11/13/25 | 3,000 | 3,375,560 |
18,418,054 | ||
Pipelines — 0.4% | ||
Energy Transfer LP/Regency Energy Finance Corp. 5.875%, 03/01/22 | 2,000 | 2,016,975 |
Real Estate Investment Trusts — 1.9% | ||
Alexandria Real Estate Equities, Inc. 2.000%, 05/18/32 | 2,000 | 1,936,203 |
American Tower Corp. 4.700%, 03/15/22 | 2,500 | 2,548,209 |
Kimco Realty Corp. 2.800%, 10/01/26 | 3,000 | 3,180,323 |
SBA Tower Trust, 144A 1.884%, 07/15/50@ | 1,500 | 1,518,278 |
9,183,013 | ||
Retail — 0.3% | ||
AutoNation, Inc. 1.950%, 08/01/28 | 1,500 | 1,477,745 |
Semiconductors — 0.4% | ||
NPX BV/NPX Funding LLC/NXP USA, Inc., 144A 3.150%, 05/01/27@ | 2,000 | 2,131,521 |
Software — 1.6% | ||
Roper Technologies, Inc. 1.400%, 09/15/27 | 1,500 | 1,480,478 |
salesforce.com, Inc. 2.700%, 07/15/41 | 3,000 | 2,984,394 |
VMware, Inc. 2.950%, 08/21/22 | 3,000 | 3,062,048 |
7,526,920 | ||
Telecommunications — 2.9% | ||
Crown Castle Towers LLC, 144A 3.663%, 05/15/45@ | 4,000 | 4,205,118 |
Sprint Corp. 7.875%, 09/15/23 | 3,000 | 3,352,500 |
T-Mobile USA, Inc. 2.625%, 04/15/26 | 3,000 | 3,067,500 |
Par (000) | Value† | |
Telecommunications — (continued) | ||
Verizon Communications, Inc. 2.100%, 03/22/28 | $3,000 | $3,042,705 |
13,667,823 | ||
Transportation — 1.3% | ||
BNSF Railway Co. Pass Through Trust, Series 2015-1, 144A 3.442%, 06/16/28@ | 2,323 | 2,537,893 |
Federal Express Corp. Pass Through Trust, Series 1999 7.650%, 07/15/24 | 131 | 136,925 |
Union Pacific Corp. 3.375%, 02/01/35 | 3,336 | 3,622,689 |
6,297,507 | ||
TOTAL CORPORATE BONDS (Cost $211,598,076) | 217,423,860 | |
MUNICIPAL BONDS — 1.0% | ||
University of Massachusetts Building Authority, Series 3 2.417%, 11/01/28 | 4,690 | 4,940,577 |
TOTAL MUNICIPAL BONDS (Cost $4,689,960) | 4,940,577 | |
RESIDENTIAL MORTGAGE BACKED SECURITIES — 11.3% | ||
Collateralized Mortgage Obligations — 8.4% | ||
GS Mortgage-Backed Securities Corp. Trust, Series 2020-PJ3 Class A13, 144A 2.500%, 10/25/50@,• | 4,374 | 4,408,476 |
JP Morgan Mortgage Trust, | ||
Series 2021-1 Class A3, 144A, 2.500%, 06/25/51@,• | 6,597 | 6,688,594 |
Series 2021-1 Class A15, 144A, 2.500%, 06/25/51@,• | 4,933 | 4,945,328 |
Series 2021-7 Class A15, 144A, 2.500%, 11/25/51@,• | 5,822 | 5,844,798 |
Seasoned Credit Risk Transfer Trust, Series 2021-2 Class MBU 2.500%, 11/25/60 | 3,100 | 3,082,640 |
Sequoia Mortgage Trust, | ||
Series 2017-5 Class A1, 144A, 3.500%, 08/25/47@,• | 1,218 | 1,239,838 |
Series 2017-CH2 Class A1, 144A, 4.000%, 12/25/47@,• | 888 | 900,069 |
Series 2020-4 Class A20, 144A, 2.500%, 11/25/50@,• | 3,738 | 3,766,782 |
Series 2021-5 Class A5, 144A, 2.000%, 07/25/51@,• | 3,854 | 3,891,861 |
Verus Securitization Trust, Series 2019-INV2 Class A3, 144A 3.219%, 07/25/59@,• | 3,156 | 3,184,450 |
4
Penn Series Funds, Inc.
Schedule of Investments — September 30, 2021 (Unaudited)
Quality Bond Fund
Par (000) | Value† | |
RESIDENTIAL MORTGAGE BACKED SECURITIES — (continued) | ||
Collateralized Mortgage Obligations — (continued) | ||
Wells Fargo Mortgage Backed Securities Trust, Series 2020-3 Class A1, 144A 3.000%, 06/25/50@,• | $2,022 | $2,054,152 |
40,006,988 | ||
Fannie Mae Pool — 1.4% | ||
2.000%, 11/01/40 | 5,270 | 5,322,307 |
3.500%, 11/01/44 | 1,206 | 1,260,065 |
6,582,372 | ||
Freddie Mac Pool — 1.0% | ||
2.000%, 10/01/51 | 5,000 | 5,013,907 |
Freddie Mac REMICS — 0.5% | ||
Series 4640 Class LG, 3.500%, 09/15/43 | 2,232 | 2,242,090 |
Series 4743 Class PA, 3.500%, 01/15/45 | 40 | 39,846 |
Series 4800 Class KB, 5.000%, 11/15/45 | 62 | 61,910 |
2,343,846 | ||
TOTAL RESIDENTIAL MORTGAGE BACKED SECURITIES (Cost $54,352,893) | 53,947,113 | |
U.S. TREASURY OBLIGATIONS — 7.0% | ||
U.S. Treasury Bonds | ||
1.125%, 08/15/40 | 4,500 | 3,863,672 |
2.250%, 05/15/41 | 5,000 | 5,187,500 |
2.750%, 08/15/42 | 1,800 | 2,021,695 |
2.875%, 05/15/43 | 2,150 | 2,461,918 |
3.625%, 08/15/43 | 1,350 | 1,729,108 |
U.S. Treasury Inflation Indexed Bonds | ||
0.125%, 07/15/30 | 2,556 | 2,815,771 |
1.000%, 02/15/46 | 2,016 | 2,612,204 |
U.S. Treasury Notes | ||
2.000%, 07/31/22(a) | 600 | 609,539 |
0.500%, 05/31/27 | 5,625 | 5,430,322 |
0.500%, 06/30/27 | 4,000 | 3,858,906 |
1.625%, 08/15/29 | 2,950 | 3,001,971 |
TOTAL U.S. TREASURY OBLIGATIONS (Cost $32,805,958) | 33,592,606 |
Number of Shares | Value† | |
SHORT-TERM INVESTMENTS — 0.5% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 0.030%) (Cost $2,523,355) | 2,523,355 | $2,523,355 |
TOTAL INVESTMENTS — 99.7% (Cost $467,179,167) | $477,020,746 | |
Other Assets & Liabilities — 0.3% | 1,513,939 | |
TOTAL NET ASSETS — 100.0% | $478,534,685 |
† | 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 $196,589,662, which represents 41.1% 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. |
(a) | All or portion of securities segregated as collateral for futures contracts. |
CLO— Collateralized Loan Obligation. |
FHLMC— Federal Home Loan Mortgage Corporation. |
ICE— Intercontinental Exchange. |
LIBOR— London Interbank Offered Rate. |
LLC— Limited Liability Company. |
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 | 90% |
Cayman Islands | 8 |
United Kingdom | 1 |
China | 1 |
Total | 100% |
†† | % of total investments as of September 30, 2021. |
5
Penn Series Funds, Inc.
Schedule of Investments — September 30, 2021 (Unaudited)
Quality 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 | 818 | 2,000 | $110 | $180,004,735 | $— | $(97,307) | ||||||||
Long | U.S. Treasury 5 Year Note | 12/31/2021 | 80 | 1,000 | 123 | 9,819,375 | — | (51,146) | ||||||||
Long | U.S. Treasury 10 Year Note | 12/21/2021 | 40 | 1,000 | 132 | 5,264,375 | — | (57,193) | ||||||||
Long | U.S. Treasury Ultra Bond | 12/21/2021 | 149 | 1,000 | 191 | 28,468,312 | — | (538,335) | ||||||||
$— | $(743,981) |
Type | Futures Contract | Expiration Date | Numbers of Contracts | Units per Contract | Closing Price | Notional Value | Unrealized Appreciation | Unrealized Depreciation | ||||||||
Short | U.S. Treasury 10 Year Ultra Note | 12/21/2021 | (100) | 1,000 | $145 | $(14,525,000) | $219,339 | $— | ||||||||
$219,339 | $— | |||||||||||||||
$219,339 | $(743,981) |
6