1-800-345-6611.
Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
Class A | $ 140 | 1.33 % |
Average Annual Total Returns (%) | 1 year | 5 years | Since Fund Inception |
Class A (excluding sales charges) (a) | 10.01 | 0.81 | (2.35 ) |
Class A (including sales charges) (a) | 3.67 | (0.36 ) | (2.97 ) |
FTSE One-Month U.S. Treasury Bill Index | 5.54 | 2.10 | 1.53 |
HFRX Global Hedge Fund Index | 5.89 | 3.46 | 1.88 |
Bloomberg Global Aggregate Index | 0.77 | (1.62 ) | 0.00 |
(a) | The Fund’s performance prior to October 2019 reflects returns achieved by the Investment Manager according to different principal investment strategies. If the Fund’s current management and strategies had been in place for the prior periods, results shown may have been different. |
Fund net assets | $ 539,461,587 |
Total number of portfolio holdings | 1,051 |
Management services fees (represents 0.96% of Fund average net assets) | $ 6,146,117 |
Portfolio turnover for the reporting period | 718% |
Portfolio turnover for the reporting period excluding to be announced (TBA) securities | 11% |
Long | |
Commodity-Related Investment Risk | 33.8 % |
Credit Risk | 0.7 % |
Equity Risk | 47.2 % |
Foreign Exchange Risk | 363.4 % |
Interest Rate Risk | 341.0 % |
Short | |
Commodity-Related Investment Risk | 30.8 % |
Credit Risk | 1.1 % |
Equity Risk | 43.4 % |
Foreign Exchange Risk | 361.3 % |
Interest Rate Risk | 378.5 % |
1-800-345-6611.
Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
Advisor Class | $ 114 | 1.08 % |
Average Annual Total Returns (%) | 1 year | 5 years | Since Fund Inception |
Advisor Class (a) | 10.26 | 1.08 | (2.10 ) |
FTSE One-Month U.S. Treasury Bill Index | 5.54 | 2.10 | 1.53 |
HFRX Global Hedge Fund Index | 5.89 | 3.46 | 1.88 |
Bloomberg Global Aggregate Index | 0.77 | (1.62 ) | 0.00 |
(a) | The Fund’s performance prior to October 2019 reflects returns achieved by the Investment Manager according to different principal investment strategies. If the Fund’s current management and strategies had been in place for the prior periods, results shown may have been different. |
Fund net assets | $ 539,461,587 |
Total number of portfolio holdings | 1,051 |
Management services fees (represents 0.96% of Fund average net assets) | $ 6,146,117 |
Portfolio turnover for the reporting period | 718% |
Portfolio turnover for the reporting period excluding to be announced (TBA) securities | 11% |
Long | |
Commodity-Related Investment Risk | 33.8 % |
Credit Risk | 0.7 % |
Equity Risk | 47.2 % |
Foreign Exchange Risk | 363.4 % |
Interest Rate Risk | 341.0 % |
Short | |
Commodity-Related Investment Risk | 30.8 % |
Credit Risk | 1.1 % |
Equity Risk | 43.4 % |
Foreign Exchange Risk | 361.3 % |
Interest Rate Risk | 378.5 % |
1-800-345-6611.
Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
Class C | $ 218 | 2.08 % |
Average Annual Total Returns (%) | 1 year | 5 years | Since Fund Inception |
Class C (excluding sales charges) (a) | 9.18 | 0.06 | (3.07 ) |
Class C (including sales charges) (a) | 8.18 | 0.06 | (3.07 ) |
FTSE One-Month U.S. Treasury Bill Index | 5.54 | 2.10 | 1.53 |
HFRX Global Hedge Fund Index | 5.89 | 3.46 | 1.88 |
Bloomberg Global Aggregate Index | 0.77 | (1.62 ) | 0.00 |
(a) | The Fund’s performance prior to October 2019 reflects returns achieved by the Investment Manager according to different principal investment strategies. If the Fund’s current management and strategies had been in place for the prior periods, results shown may have been different. |
Fund net assets | $ 539,461,587 |
Total number of portfolio holdings | 1,051 |
Management services fees (represents 0.96% of Fund average net assets) | $ 6,146,117 |
Portfolio turnover for the reporting period | 718% |
Portfolio turnover for the reporting period excluding to be announced (TBA) securities | 11 % |
Long | |
Commodity-Related Investment Risk | 33.8 % |
Credit Risk | 0.7 % |
Equity Risk | 47.2 % |
Foreign Exchange Risk | 363.4 % |
Interest Rate Risk | 341.0 % |
Short | |
Commodity-Related Investment Risk | 30.8 % |
Credit Risk | 1.1 % |
Equity Risk | 43.4 % |
Foreign Exchange Risk | 361.3 % |
Interest Rate Risk | 378.5 % |
1-800-345-6611.
Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
Institutional Class | $ 114 | 1.08 % |
Average Annual Total Returns (%) | 1 year | 5 years | Since Fund Inception |
Institutional Class (a) | 10.29 | 1.06 | (2.12 ) |
FTSE One-Month U.S. Treasury Bill Index | 5.54 | 2.10 | 1.53 |
HFRX Global Hedge Fund Index | 5.89 | 3.46 | 1.88 |
Bloomberg Global Aggregate Index | 0.77 | (1.62 ) | 0.00 |
(a) | The Fund’s performance prior to October 2019 reflects returns achieved by the Investment Manager according to different principal investment strategies. If the Fund’s current management and strategies had been in place for the prior periods, results shown may have been different. |
Fund net assets | $ 539,461,587 |
Total number of portfolio holdings | 1,051 |
Management services fees (represents 0.96% of Fund average net assets) | $ 6,146,117 |
Portfolio turnover for the reporting period | 718% |
Portfolio turnover for the reporting period excluding to be announced (TBA) securities | 11 % |
Long | |
Commodity-Related Investment Risk | 33.8 % |
Credit Risk | 0.7 % |
Equity Risk | 47.2 % |
Foreign Exchange Risk | 363.4 % |
Interest Rate Risk | 341.0 % |
Short | |
Commodity-Related Investment Risk | 30.8 % |
Credit Risk | 1.1 % |
Equity Risk | 43.4 % |
Foreign Exchange Risk | 361.3 % |
Interest Rate Risk | 378.5 % |
Item 2. Code of Ethics.
The registrant has adopted a code of ethics (the “Code”) that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. During the period covered by this report, there were not any amendments to a provision of the Code that relates to any element of the code of ethics definition enumerated in paragraph (b) of Item 2 of Form N-CSR. During the period covered by this report, there were no waivers, including any implicit waivers, from a provision of the Code that relates to one or more of the items set forth in paragraph (b) of Item 2 of Form N-CSR. A copy of the Code is attached hereto.
Item 3. Audit Committee Financial Expert.
The registrant’s Board of Trustees has determined that J. Kevin Connaughton, Brian J. Gallagher, Douglas A. Hacker, David M. Moffett and Sandra L. Yeager qualify as “audit committee financial experts,” as such term is defined in Form N-CSR. Mr. Connaughton, Mr. Gallagher, Mr. Hacker, Mr. Moffett and Ms. Yeager, are also each “independent” members of the Audit Committee pursuant to paragraph (a)(2) of Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
The Registrant has engaged its principal accountant to perform audit services, audit-related services, tax services and other services during the past two fiscal years. The following table details the aggregate fees billed or expected to be billed for each of the last two fiscal years for the series of the relevant registrant whose reports to shareholders are included in this annual filing.
Amount billed to the registrant | Amount billed to the registrant's investment advisor | |||
May 31, 2024 | May 31, 2023 | May 31, 2024 | May 31, 2023 | |
Audit fees (a) | $52,505 | $50,490 | $0 | $0 |
Audit-related fees (b) | $0 | $0 | $0 | $0 |
Tax fees (c) | $12,850 | $12,850 | $0 | $0 |
All other fees (d) | $0 | $0 | $0 | $0 |
Non-audit fees (g) | $0 | $0 | $581,000 | $577,000 |
(a) Audit Fees include amounts related to the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.
(b) Audit-Related Fees include amounts for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported in Audit Fees above.
(c) Tax Fees include amounts for the review of annual tax returns, the review of required shareholder distribution calculations and typically include amounts for professional services by the principal accountant for tax compliance, tax advice, tax planning and foreign tax filings, if applicable.
(d) All Other Fees include amounts for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) above and typically include SOC-1 reviews.
(e)(1) Audit Committee Pre-Approval Policies and Procedures
The registrant’s Audit Committee is required to pre-approve the engagement of the registrant’s independent auditors to provide audit and non-audit services to the registrant and non-audit services to its investment adviser (excluding any sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser (the “Adviser”) or any entity controlling, controlled by or under common control with the Adviser that provides ongoing services to the Fund (a “Control Affiliate”) if the engagement relates directly to the operations and financial reporting of the registrant.
The Audit Committee has adopted a Policy for Engagement of Independent Auditors for Audit and Non-Audit Services (the “Policy”). The Policy sets forth the understanding of the Audit Committee regarding the engagement of the registrant’s independent accountants to provide (i) audit and permissible audit-related, tax and other services to the registrant (“Fund Services”); (ii) non-audit services to the registrant’s Adviser and any Control Affiliates, that relates directly to the operations and financial reporting of a Fund (“Fund-related Adviser Services”); and (iii) certain other audit and non-audit services to the registrant’s Adviser and its Control Affiliates. A service will require specific pre-approval by the Audit Committee if it is to be provided by the Fund’s independent auditor; provided, however, that pre-approval of non-audit services to the Fund, the Adviser or Control Affiliates may be waived if certain de minimis requirements set forth in the SEC’s rules are met.
Under the Policy, the Audit Committee may delegate pre-approval authority to any pre-designated member or members who are independent board members. The member(s) to whom such authority is delegated must report, for informational purposes only, any pre-approval decisions to the Audit Committee at its next regular meeting. The Audit Committee's responsibilities with respect to the pre-approval of services performed by the independent auditor may not be delegated to management.
On an annual basis, at a regularly scheduled Audit Committee meeting, the Fund’s Treasurer or other Fund officer shall submit to the Audit Committee a schedule of the types of Fund Services and Fund-related Adviser Services that are subject to specific pre-approval. This schedule will provide a description of each type of service that is subject to specific pre-approval, along with total projected fees for each service. The pre-approval will generally cover a one-year period. The Audit Committee will review and approve the types of services and the projected fees for the next one-year period and may add to, or subtract from, the list of pre-approved services from time to time, based on subsequent determinations. This specific approval acknowledges that the Audit Committee is in agreement with the specific types of services that the independent auditor will be permitted to perform and the projected fees for each service.
The Fund’s Treasurer or other Fund officer shall report to the Audit Committee at each of its regular meetings regarding all Fund Services or Fund-related Adviser Services provided since the last such report was rendered, including a description of the services, by category, with forecasted fees for the annual reporting period, proposed changes requiring specific pre-approval and a description of services provided by the independent auditor, by category, with actual fees during the current reporting period.
(e)(2) None, or 0%, of the Audit-Related Fees, Tax Fees and All Other Fees paid by the Fund or affiliated entities relating directly to the operations and financial reporting of the Registrant disclosed above were approved by the audit committee pursuant to paragraphs (c)(7)(i)(C) of Rule 2-01 of Regulation S-X (which permits audit committee approval after the start of the engagement with respect to services other than audit, review or attest services, if certain conditions are satisfied).
(f) Not applicable.
(g) The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant.
(h) The registrant’s Audit Committee of the Board of Directors has considered whether the provision of non-audit services that were rendered to the registrant’s adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, is compatible with maintaining the principal accountant’s independence.
(i) Not applicable.
(j) Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) The registrant’s “Schedule I – Investments in securities of unaffiliated issuers” (as set forth in 17 CFR 210.12-12) is included in Item 7 of this Form N-CSR.
(b) Not applicable.
Item 7. Financial Statements and Financial Highlights for Open-End Management Investment Companies.
Not FDIC or NCUA Insured | No Financial Institution Guarantee | May Lose Value |
Asset-Backed Securities - Non-Agency 4.1% | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
ACHV ABS Trust(a) | ||||
Subordinated Series 2023-1PL Class C | ||||
03/18/2030 | 7.420% | 200,000 | 201,192 | |
Affirm Asset Securitization Trust(a),(b),(c),(d),(e) | ||||
Subordinated Series 2024-X1 Class CERT | ||||
05/15/2029 | 0.000% | 7,000 | 643,060 | |
ARES XLIV CLO Ltd.(a),(f) | ||||
Series 2017-44A Class DR | ||||
3-month Term SOFR + 7.132% Floor 6.870% 04/15/2034 | 12.460% | 1,000,000 | 1,000,241 | |
Conn’s Receivables Funding LLC(a) | ||||
Series 2023-A Class A | ||||
01/17/2028 | 8.010% | 56,902 | 56,972 | |
Exeter Automobile Receivables Trust(a) | ||||
Subordinated Series 2021-2A Class E | ||||
07/17/2028 | 2.900% | 900,000 | 844,345 | |
GLS Auto Receivables Issuer Trust(a) | ||||
Subordinated Series 2022-1A-B Class B | ||||
05/15/2026 | 2.840% | 102,894 | 102,665 | |
LendingClub Receivables Trust(a),(d),(e) | ||||
Series 2020-2 Class R | ||||
02/15/2046 | 0.000% | 85,000 | 106,250 | |
Lendingpoint Asset Securitization Trust(a) | ||||
Series 2022-C Class A | ||||
02/15/2030 | 6.560% | 119,766 | 119,652 | |
LendingPoint Asset Securitization Trust(a),(c),(e) | ||||
Subordinated Series 2021-1 Class D | ||||
04/15/2027 | 7.226% | 770,979 | 761,728 | |
LendingPoint Asset Securitization Trust(a) | ||||
Subordinated Series 2021-A Class C | ||||
12/15/2028 | 2.750% | 523,062 | 522,106 | |
LL ABS Trust(a) | ||||
Subordinated Series 2022-2A Class C | ||||
05/15/2030 | 8.400% | 1,000,000 | 1,013,783 | |
LP LMS Asset Securitization Trust(a),(c),(e) | ||||
Subordinated Series 2021-2A Class B | ||||
01/15/2029 | 2.330% | 294,296 | 288,410 | |
Marlette Funding Trust(a) | ||||
Series 2021-1A Class D | ||||
06/16/2031 | 2.470% | 84,567 | 82,532 | |
Subordinated Series 2022-3A Class B | ||||
11/15/2032 | 5.950% | 2,000,000 | 1,994,729 | |
Netcredit Combined Receivables LLC(a),(e) | ||||
Series 2023-A Class A | ||||
12/20/2027 | 7.780% | 419,874 | 421,711 |
Asset-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Octagon Investment Partners 47 Ltd.(a),(f) | ||||
Series 2020-1A Class ER | ||||
3-month Term SOFR + 6.512% Floor 6.250% 07/20/2034 | 11.836% | 750,000 | 732,955 | |
Pagaya AI Debt Selection Trust(a),(d),(e) | ||||
Series 2020-3 Class CERT | ||||
05/17/2027 | 0.000% | 3,200,000 | 176,000 | |
Series 2021-1 Class CERT | ||||
11/15/2027 | 0.000% | 696,200 | 1,741 | |
Subordinated Series 2021-5 Class | ||||
08/15/2029 | 0.000% | 865,000 | 25,950 | |
Pagaya AI Debt Selection Trust(a) | ||||
Series 2021-2 Class NOTE | ||||
01/25/2029 | 3.000% | 120,743 | 119,288 | |
Pagaya AI Debt Trust(a) | ||||
Series 2022-1 Class A | ||||
10/15/2029 | 2.030% | 173,823 | 172,603 | |
Series 2023-6 Class D | ||||
06/16/2031 | 9.000% | 209,946 | 206,017 | |
Series 2024-1 Class A | ||||
07/15/2031 | 6.660% | 407,123 | 408,853 | |
Subordinated Series 2022-2 Class B | ||||
01/15/2030 | 6.630% | 399,976 | 399,919 | |
Subordinated Series 2022-3 Class B | ||||
03/15/2030 | 8.050% | 799,922 | 805,998 | |
Subordinated Series 2022-5 Class B | ||||
06/17/2030 | 10.310% | 439,984 | 435,424 | |
Subordinated Series 2023-1 Class B | ||||
07/15/2030 | 9.435% | 2,849,604 | 2,906,173 | |
Subordinated Series 2023-5 Class C | ||||
04/15/2031 | 9.099% | 849,993 | 870,707 | |
Subordinated Series 2023-6 Class C | ||||
06/16/2031 | 8.491% | 599,846 | 609,868 | |
Subordinated Series 2024-1 Class B | ||||
07/15/2031 | 7.109% | 399,900 | 402,865 | |
Subordinated Series 2024-1 Class C | ||||
07/15/2031 | 8.344% | 249,938 | 252,357 | |
Subordinated Series 2024-2 Class C | ||||
08/15/2031 | 7.573% | 349,845 | 351,345 | |
Subordinated Series 2024-3 Class C | ||||
10/15/2031 | 7.297% | 900,000 | 901,106 | |
Pagaya AI Debt Trust(a),(g) | ||||
Series 2022-2 Class AB | ||||
01/15/2030 | 5.717% | 160,581 | 160,185 |
Asset-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Prosper Marketplace Issuance Trust(a) | ||||
Series 2024-1A Class A | ||||
08/15/2029 | 6.120% | 565,596 | 565,782 | |
Research-Driven Pagaya Motor Asset Trust IV(a) | ||||
Series 2021-2A Class A | ||||
03/25/2030 | 2.650% | 388,063 | 374,620 | |
RR 16 Ltd.(a),(f) | ||||
Series 2021-16A Class D | ||||
3-month Term SOFR + 6.512% Floor 6.250% 07/15/2036 | 11.840% | 266,667 | 267,251 | |
SAFCO Auto Receivables Trust(a) | ||||
Series 2024-1A Class A | ||||
03/20/2028 | 6.510% | 336,223 | 335,103 | |
Theorem Funding Trust(a) | ||||
Subordinated Series 2022-1A Class B | ||||
02/15/2028 | 3.100% | 836,978 | 832,864 | |
Upstart Pass-Through Trust(a) | ||||
Series 2021-ST1 Class A | ||||
02/20/2027 | 2.750% | 83,190 | 82,711 | |
Upstart Securitization Trust(a) | ||||
Subordinated Series 2023-1 Class B | ||||
02/20/2033 | 8.350% | 1,500,000 | 1,499,312 | |
US Auto Funding(a) | ||||
Subordinated Series 2021-1A Class D | ||||
03/15/2027 | 4.360% | 1,125,000 | 302,511 | |
Total Asset-Backed Securities — Non-Agency (Cost $24,403,265) | 22,358,884 | |||
Commercial Mortgage-Backed Securities - Agency 0.1% | ||||
Government National Mortgage Association(g),(h) | ||||
Series 2019-102 Class IB | ||||
03/16/2060 | 0.835% | 1,313,460 | 65,733 | |
Series 2019-131 Class IO | ||||
07/16/2061 | 0.802% | 2,637,363 | 148,291 | |
Series 2020-19 Class IO | ||||
12/16/2061 | 0.718% | 1,604,096 | 77,095 | |
Series 2020-3 Class IO | ||||
02/16/2062 | 0.615% | 1,934,432 | 78,870 | |
Total Commercial Mortgage-Backed Securities - Agency (Cost $1,062,982) | 369,989 | |||
Commercial Mortgage-Backed Securities - Non-Agency 1.3% | ||||
BAMLL Commercial Mortgage Securities Trust(a),(g) | ||||
Subordinated Series 2013-WBRK Class E | ||||
03/10/2037 | 3.534% | 500,000 | 373,229 | |
BXP Trust(a),(g) | ||||
Subordinated Series 2021-601L Class E | ||||
01/15/2044 | 2.776% | 1,500,000 | 912,440 |
Commercial Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
COMM Mortgage Trust(a),(g) | ||||
Subordinated Series 2020-CBM Class F | ||||
02/10/2037 | 3.633% | 2,200,000 | 2,073,973 | |
Credit Suisse Mortgage Capital Certificates OA LLC(a) | ||||
Subordinated Series 2014-USA Class E | ||||
09/15/2037 | 4.373% | 1,500,000 | 843,751 | |
Hilton USA Trust(a),(i) | ||||
Subordinated Series 2016-SFP Class F | ||||
11/05/2035 | 0.000% | 1,700,000 | 128,022 | |
Home Partners of America Trust(a) | ||||
Series 2019-2 Class F | ||||
10/19/2039 | 3.866% | 328,853 | 293,875 | |
Morgan Stanley Capital I Trust(a),(g) | ||||
Series 2019-MEAD Class E | ||||
11/10/2036 | 3.177% | 600,000 | 534,519 | |
Progress Residential Trust(a) | ||||
Series 2020-SFR1 Class F | ||||
04/17/2037 | 3.431% | 575,000 | 557,477 | |
Subordinated Series 2020-SFR2 Class F | ||||
06/17/2037 | 6.152% | 500,000 | 493,854 | |
Wells Fargo Commercial Mortgage Trust(a),(f) | ||||
Series 2017-SMP Class A | ||||
1-month Term SOFR + 1.047% Floor 0.875% 12/15/2034 | 6.364% | 1,000,000 | 948,454 | |
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $9,633,479) | 7,159,594 | |||
Residential Mortgage-Backed Securities - Agency 38.1% | ||||
Fannie Mae REMICS(f),(h) | ||||
CMO Series 2017-81 Class SM | ||||
-1.0 x 30-day Average SOFR + 6.086% Cap 6.200% 10/25/2047 | 0.762% | 1,856,756 | 201,854 | |
CMO Series 2018-64 Class SE | ||||
-1.0 x 30-day Average SOFR + 6.086% Cap 6.200% 09/25/2048 | 0.762% | 1,729,689 | 173,528 | |
CMO Series 2020-22 Class SA | ||||
-1.0 x 30-day Average SOFR + 6.214% Cap 6.100% 04/25/2050 | 0.662% | 2,927,706 | 319,645 | |
CMO Series 2023-46 Class SD | ||||
-1.0 x 30-day Average SOFR + 5.886% Cap 6.000% 06/25/2050 | 0.562% | 4,946,848 | 444,070 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Fannie Mae REMICS(g),(h) | ||||
CMO Series 2022-90 Class GS | ||||
07/25/2050 | 0.650% | 3,178,369 | 302,777 | |
Federal Home Loan Mortgage Corp. | ||||
09/01/2052 | 4.500% | 4,515,373 | 4,234,488 | |
12/01/2052 | 5.000% | 1,653,129 | 1,621,210 | |
09/01/2053 | 5.500% | 1,914,448 | 1,897,767 | |
Federal Home Loan Mortgage Corp.(f),(h) | ||||
CMO Series 2013-101 Class HS | ||||
-1.0 x 30-day Average SOFR + 6.386% Cap 6.500% 10/25/2043 | 1.062% | 633,142 | 72,140 | |
CMO Series 4987 Class KS | ||||
-1.0 x 30-day Average SOFR + 6.194% Cap 6.080% 06/25/2050 | 0.642% | 1,206,414 | 151,445 | |
CMO Series 4993 Class MS | ||||
-1.0 x 30-day Average SOFR + 5.936% Cap 6.050% 07/25/2050 | 0.612% | 1,790,854 | 231,458 | |
Federal Home Loan Mortgage Corp. REMICS(f),(h) | ||||
CMO Series 4606 Class SL | ||||
-1.0 x 30-day Average SOFR + 5.886% Cap 6.000% 12/15/2044 | 0.562% | 3,257,322 | 299,551 | |
CMO Series 5138 Class SA | ||||
-1.0 x 30-day Average SOFR + 5.986% Cap 6.100% 09/25/2047 | 0.662% | 2,071,868 | 219,617 | |
Federal Home Loan Mortgage Corp. REMICS(h) | ||||
CMO Series 5105 Class ID | ||||
05/25/2051 | 3.000% | 2,612,631 | 443,916 | |
CMO Series 5183 Class IO | ||||
01/25/2052 | 3.000% | 4,291,898 | 656,880 | |
Federal National Mortgage Association | ||||
09/01/2052 | 5.000% | 1,833,519 | 1,776,336 | |
Federal National Mortgage Association(f),(h) | ||||
CMO Series 2016-53 Class AS | ||||
-1.0 x 30-day Average SOFR + 5.886% Cap 6.000% 08/25/2046 | 0.562% | 12,465,061 | 974,833 | |
CMO Series 2020-38 Class WS | ||||
-1.0 x 30-day Average SOFR + 4.886% Cap 5.000% 06/25/2050 | 0.000% | 2,814,406 | 183,275 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Federal National Mortgage Association REMICS(f),(h) | ||||
CMO Series 2020-34 Class S | ||||
-1.0 x 30-day Average SOFR + 5.936% Cap 6.050% 06/25/2050 | 0.612% | 2,931,344 | 334,375 | |
CMO Series 2020-54 Class AS | ||||
-1.0 x 30-day Average SOFR + 6.036% Cap 6.150% 08/25/2050 | 0.712% | 1,913,160 | 196,503 | |
Freddie Mac REMICS(f),(h) | ||||
CMO Series 4979 Class YS | ||||
-1.0 x 30-day Average SOFR + 5.936% Cap 6.050% 06/25/2050 | 0.612% | 1,647,495 | 162,351 | |
Government National Mortgage Association(f),(h) | ||||
CMO Series 2010-9 Class XD | ||||
-1.0 x 1-month Term SOFR + 6.486% Cap 6.600% 01/16/2040 | 1.166% | 1,477,850 | 151,375 | |
CMO Series 2019-103 Class SA | ||||
-1.0 x 1-month Term SOFR + 5.936% Cap 6.050% 08/20/2049 | 0.615% | 1,935,041 | 201,364 | |
CMO Series 2019-120 Class CS | ||||
-1.0 x 1-month Term SOFR + 3.286% Cap 3.400% 09/20/2049 | 0.000% | 18,260,077 | 141,422 | |
CMO Series 2019-21 Class QS | ||||
-1.0 x 1-month Term SOFR + 5.986% Cap 6.100% 10/20/2046 | 0.665% | 2,151,945 | 211,902 | |
CMO Series 2019-92 Class SD | ||||
-1.0 x 1-month Term SOFR + 5.986% Cap 6.100% 07/20/2049 | 0.665% | 2,370,628 | 232,554 | |
CMO Series 2019-98 Class SB | ||||
-1.0 x 1-month Term SOFR + 5.986% Cap 6.100% 08/20/2049 | 0.665% | 7,031,812 | 640,788 | |
CMO Series 2020-104 Class SA | ||||
-1.0 x 1-month Term SOFR + 6.086% Cap 6.200% 07/20/2050 | 0.765% | 1,235,960 | 124,616 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2020-133 Class DS | ||||
-1.0 x 1-month Term SOFR + 6.186% Cap 6.300% 09/20/2050 | 0.865% | 5,037,845 | 509,278 | |
CMO Series 2020-160 Class AS | ||||
-1.0 x 1-month Term SOFR + 6.186% Cap 6.300% 10/20/2050 | 0.865% | 7,441,802 | 920,680 | |
CMO Series 2020-34 Class SA | ||||
-1.0 x 1-month Term SOFR + 5.936% Cap 6.050% 03/20/2050 | 0.615% | 1,889,576 | 202,976 | |
CMO Series 2020-78 Class SD | ||||
-1.0 x 1-month Term SOFR + 6.036% Cap 6.150% 06/20/2050 | 0.715% | 2,136,113 | 218,504 | |
CMO Series 2021-117 Class HS | ||||
-1.0 x 1-month Term SOFR + 6.186% Cap 6.300% 07/20/2051 | 0.865% | 2,149,152 | 243,075 | |
CMO Series 2021-119 Class SC | ||||
-1.0 x 1-month Term SOFR + 6.186% Cap 6.300% 07/20/2051 | 0.865% | 2,987,414 | 322,716 | |
CMO Series 2021-122 Class SB | ||||
-1.0 x 1-month Term SOFR + 2.486% Cap 2.600% 07/20/2051 | 0.000% | 6,896,312 | 51,808 | |
CMO Series 2021-122 Class SG | ||||
-1.0 x 1-month Term SOFR + 6.186% Cap 6.300% 07/20/2051 | 0.865% | 3,470,999 | 369,312 | |
CMO Series 2021-142 Class SL | ||||
-1.0 x 1-month Term SOFR + 6.186% Cap 6.300% 08/20/2051 | 0.865% | 4,623,915 | 532,798 | |
CMO Series 2021-156 Class SA | ||||
-1.0 x 1-month Term SOFR + 6.186% Cap 6.300% 09/20/2051 | 0.865% | 3,434,541 | 396,938 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2021-160 Class S | ||||
-1.0 x 30-day Average SOFR + 2.650% Cap 2.650% 09/20/2051 | 0.000% | 5,545,334 | 38,109 | |
CMO Series 2021-161 Class SL | ||||
-1.0 x 1-month Term SOFR + 6.186% Cap 6.300% 09/20/2051 | 0.865% | 3,171,362 | 386,758 | |
CMO Series 2021-193 Class ES | ||||
30-day Average SOFR + 1.700% 11/20/2051 | 0.000% | 19,320,366 | 40,436 | |
CMO Series 2021-42 Class SD | ||||
-1.0 x 1-month Term SOFR + 6.186% Cap 6.300% 11/20/2050 | 0.865% | 3,310,839 | 404,822 | |
CMO Series 2021-42 Class SG | ||||
-1.0 x 1-month Term SOFR + 6.186% Cap 6.300% 03/20/2051 | 0.865% | 2,546,311 | 277,155 | |
CMO Series 2021-96 Class US | ||||
-1.0 x 30-day Average SOFR + 3.250% Cap 3.250% 06/20/2051 | 0.000% | 3,269,643 | 49,709 | |
CMO Series 2021-97 Class CS | ||||
-1.0 x 1-month Term SOFR + 6.186% Cap 6.300% 06/20/2051 | 0.865% | 3,164,656 | 349,163 | |
CMO Series 2022-168 Class ST | ||||
-1.0 x 30-day Average SOFR + 6.000% Cap 6.000% 09/20/2052 | 0.677% | 4,631,838 | 362,652 | |
CMO Series 2022-46 Class SE | ||||
-1.0 x 30-day Average SOFR + 3.450% Cap 3.450% 03/20/2052 | 0.000% | 2,877,023 | 35,054 | |
CMO Series 2022-90 Class SJ | ||||
-1.0 x 1-month Term SOFR + 5.936% Cap 6.050% 01/20/2050 | 0.615% | 2,874,765 | 306,331 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2023-113 Class CS | ||||
-1.0 x 30-day Average SOFR + 5.730% Cap 5.730% 08/20/2053 | 0.407% | 1,476,094 | 77,400 | |
CMO Series 2023-113 Class HS | ||||
1-month Term SOFR + 5.936% Cap 6.050% 09/20/2049 | 0.615% | 4,255,415 | 394,570 | |
CMO Series 2023-115 Class SM | ||||
-1.0 x 30-day Average SOFR + 5.900% Cap 5.900% 08/20/2053 | 0.577% | 5,294,196 | 160,868 | |
CMO Series 2023-141 Class SQ | ||||
-1.0 x 1-month Term SOFR + 5.936% Cap 6.050% 12/20/2049 | 0.615% | 2,805,921 | 271,942 | |
CMO Series 2023-173 Class SB | ||||
-1.0 x 30-day Average SOFR + 5.650% Cap 5.650% 11/20/2053 | 0.327% | 5,456,483 | 283,259 | |
CMO Series 2023-47 Class AS | ||||
-1.0 x 30-day Average SOFR + 6.350% Cap 6.350% 03/20/2053 | 1.027% | 2,118,324 | 172,124 | |
CMO Series 2023-66 Class BS | ||||
-1.0 x 30-day Average SOFR + 6.150% Cap 6.150% 05/20/2053 | 0.827% | 1,882,440 | 165,829 | |
CMO Series 2023-66 Class SQ | ||||
-1.0 x 30-day Average SOFR + 5.400% Cap 5.400% 05/20/2053 | 0.077% | 5,533,045 | 215,454 | |
CMO Series 2024-51 Class US | ||||
-1.0 x 30-day Average SOFR + 5.400% Cap 5.400% 03/20/2054 | 0.077% | 2,994,081 | 145,246 | |
CMO Series 2024-64 Class DS | ||||
-1.0 x 30-day Average SOFR + 5.400% Cap 5.400% 04/20/2054 | 0.077% | 3,874,176 | 197,889 | |
Government National Mortgage Association(h) | ||||
CMO Series 2020-138 Class JI | ||||
09/20/2050 | 2.500% | 4,258,042 | 590,292 |
Residential Mortgage-Backed Securities - Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2020-146 Class NI | ||||
10/20/2050 | 2.000% | 18,254,987 | 2,026,840 | |
CMO Series 2020-164 Class CI | ||||
11/20/2050 | 3.000% | 1,945,262 | 307,631 | |
CMO Series 2020-175 Class KI | ||||
11/20/2050 | 2.500% | 2,977,568 | 401,385 | |
CMO Series 2020-191 Class UC | ||||
12/20/2050 | 4.000% | 2,028,873 | 412,179 | |
CMO Series 2021-158 Class VI | ||||
09/20/2051 | 3.000% | 2,346,819 | 373,111 | |
CMO Series 2021-160 Class CI | ||||
09/20/2051 | 2.500% | 4,729,550 | 611,512 | |
CMO Series 2021-24 Class MI | ||||
02/20/2051 | 3.000% | 1,848,963 | 306,850 | |
CMO Series 2021-25 Class GI | ||||
02/20/2051 | 2.500% | 3,865,288 | 567,491 | |
CMO Series 2021-7 Class IT | ||||
01/16/2051 | 3.000% | 1,722,743 | 330,046 | |
Government National Mortgage Association TBA(j) | ||||
06/20/2054 | 4.500% | 20,000,000 | 18,908,909 | |
Uniform Mortgage-Backed Security TBA(j) | ||||
06/13/2054 | 3.000% | 34,000,000 | 28,586,233 | |
06/13/2054 | 3.500% | 29,595,420 | 25,946,292 | |
06/13/2054 | 4.000% | 37,500,000 | 34,029,474 | |
06/13/2054 | 4.500% | 29,000,000 | 27,153,915 | |
06/13/2054 | 5.000% | 21,000,000 | 20,209,661 | |
06/13/2054 | 6.000% | 20,000,000 | 20,027,468 | |
Total Residential Mortgage-Backed Securities - Agency (Cost $217,689,217) | 205,494,184 | |||
Residential Mortgage-Backed Securities - Non-Agency 15.1% | ||||
510 Asset Backed Trust(a),(g) | ||||
CMO Series 2021-NPL2 Class A1 | ||||
06/25/2061 | 2.116% | 459,175 | 446,442 | |
A&D Mortgage Trust(a),(g) | ||||
CMO Series 2024-NQM1 Class A1 | ||||
02/25/2069 | 6.195% | 334,525 | 332,825 | |
Ajax Mortgage Loan Trust(a),(g) | ||||
CMO Series 2021-C Class A | ||||
01/25/2061 | 2.115% | 228,813 | 219,891 | |
Angel Oak Mortgage Trust(a),(g) | ||||
CMO Series 2021-5 Class A3 | ||||
07/25/2066 | 1.311% | 322,509 | 267,761 | |
Angel Oak Mortgage Trust I LLC(a),(g) | ||||
Subordinated CMO Series 2019-2 Class B2 | ||||
03/25/2049 | 6.286% | 2,700,000 | 2,680,724 | |
Arroyo Mortgage Trust(a) | ||||
CMO Series 2020-1 Class M1 | ||||
03/25/2055 | 4.277% | 1,870,000 | 1,546,735 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
BRAVO Residential Funding Trust(a),(g) | ||||
CMO Series 2020-NQM1 Class B1 | ||||
05/25/2060 | 5.086% | 300,000 | 286,142 | |
CMO Series 2020-NQM1 Class B2 | ||||
05/25/2060 | 5.765% | 430,000 | 385,600 | |
CMO Series 2021-A Class A1 | ||||
10/25/2059 | 4.991% | 1,780,457 | 1,780,457 | |
Subordinated CMO Series 2021-NQM2 Class B1 | ||||
03/25/2060 | 3.044% | 200,000 | 170,274 | |
Subordinated CMO Series 2021-NQM2 Class B2 | ||||
03/25/2060 | 4.099% | 300,000 | 239,148 | |
BRAVO Residential Funding Trust(a),(f) | ||||
CMO Series 2021-HE2 Class B1 | ||||
30-day Average SOFR + 2.400% 11/25/2069 | 7.724% | 338,000 | 338,879 | |
Subordinated CMO Series 2021-HE2 Class B2 | ||||
30-day Average SOFR + 3.400% 11/25/2069 | 8.724% | 353,000 | 356,843 | |
BVRT Financing Trust(a),(c),(e),(f) | ||||
CMO Series 2021-3F Class M2 | ||||
30-day Average SOFR + 2.900% Floor 2.900% 07/12/2033 | 4.187% | 2,357,134 | 2,357,134 | |
CMO Series 2021-CRT1 Class M4 | ||||
30-day Average SOFR + 3.614% Floor 3.500% 07/10/2032 | 8.927% | 1,256,155 | 1,208,635 | |
CHNGE Mortgage Trust(a),(g) | ||||
CMO Series 2022-1 Class M1 | ||||
01/25/2067 | 3.990% | 350,000 | 291,976 | |
CMO Series 2022-NQM1 Class M1 | ||||
06/25/2067 | 5.820% | 250,000 | 239,477 | |
CMO Series 2023-3 Class M1 | ||||
07/25/2058 | 8.258% | 800,000 | 810,500 | |
Subordinated CMO Series 2022-1 Class B1 | ||||
01/25/2067 | 4.548% | 650,000 | 527,365 | |
Subordinated CMO Series 2022-1 Class B2 | ||||
01/25/2067 | 4.548% | 500,000 | 361,817 | |
Subordinated CMO Series 2023-1 Class B1 | ||||
03/25/2058 | 8.284% | 473,000 | 462,923 | |
Subordinated CMO Series 2023-1 Class B2 | ||||
03/25/2058 | 8.284% | 300,000 | 283,664 | |
Subordinated CMO Series 2023-2 Class B1 | ||||
06/25/2058 | 8.211% | 200,000 | 196,087 | |
Subordinated CMO Series 2023-3 Class B1 | ||||
07/25/2058 | 8.258% | 300,000 | 293,450 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CIM Trust(a),(g) | ||||
CMO Series 2021-NR1 Class A1 | ||||
07/25/2055 | 2.569% | 488,378 | 481,133 | |
CMO Series 2021-NR4 Class A1 | ||||
10/25/2061 | 2.816% | 343,209 | 336,689 | |
Citigroup Mortgage Loan Trust(a) | ||||
Subordinated CMO Series 2015-RP2 Class B5 | ||||
01/25/2053 | 4.250% | 997,678 | 700,786 | |
COLT Mortgage Loan Trust(a),(g) | ||||
CMO Series 2020-2 Class M1 | ||||
03/25/2065 | 5.250% | 200,000 | 192,401 | |
CMO Series 2021-3 Class A3 | ||||
09/27/2066 | 1.419% | 520,706 | 421,709 | |
Subordinated CMO Series 2021-4 Class B1 | ||||
10/25/2066 | 3.764% | 400,000 | 293,924 | |
Subordinated CMO Series 2022-4 Class B2 | ||||
03/25/2067 | 4.613% | 400,000 | 330,563 | |
Subordinated Series 2021-3 Class B1 | ||||
09/27/2066 | 3.059% | 200,000 | 123,043 | |
Connecticut Avenue Securities Trust(a),(f) | ||||
Subordinated CMO Series 2021-R03 Class 1B2 | ||||
30-day Average SOFR + 5.500% Floor 5.500% 12/25/2041 | 10.824% | 550,000 | 576,037 | |
Subordinated CMO Series 2022-R01 Class 1B2 | ||||
30-day Average SOFR + 6.000% 12/25/2041 | 11.324% | 900,000 | 952,620 | |
Credit Suisse Mortgage Trust(a),(g) | ||||
CMO Series 2022-JR1 Class A1 | ||||
10/25/2066 | 4.267% | 1,077,326 | 1,059,381 | |
CSMC Trust(a),(g) | ||||
CMO Series 2020-RPL2 Class A12 | ||||
02/25/2060 | 3.614% | 1,215,602 | 1,233,265 | |
CMO Series 2021-JR2 Class A1 | ||||
11/25/2061 | 2.215% | 212,780 | 207,750 | |
CMO Series 2022-RPL3 Class A1 | ||||
03/25/2061 | 3.613% | 780,871 | 777,233 | |
Fannie Mae Connecticut Avenue Securities(a),(f) | ||||
Subordinated CMO Series 2021-R02 Class 2B2 | ||||
30-day Average SOFR + 6.200% 11/25/2041 | 11.524% | 800,000 | 845,500 | |
FIGRE Trust(a),(g) | ||||
Subordinated CMO Series 2024-HE1 Class E | ||||
03/25/2054 | 8.323% | 150,000 | 148,851 | |
Subordinated CMO Series 2024-HE1 Class F | ||||
03/25/2054 | 10.029% | 250,000 | 247,918 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Freddie Mac STACR(f) | ||||
CMO Series 2020-CS02 Class M4 | ||||
30-day Average SOFR + 0.000% 06/25/2033 | 4.617% | 1,645,908 | 1,598,533 | |
Freddie Mac STACR REMIC Trust(a),(f) | ||||
Subordinated CMO Series 2020-DNA6 Class B2 | ||||
30-day Average SOFR + 5.650% 12/25/2050 | 10.974% | 1,000,000 | 1,108,249 | |
Subordinated CMO Series 2020-HQA4 Class B1 | ||||
30-day Average SOFR + 5.364% 09/25/2050 | 10.688% | 1,963,221 | 2,199,833 | |
Subordinated CMO Series 2021-DNA1 Class B2 | ||||
30-day Average SOFR + 4.750% 01/25/2051 | 10.074% | 1,050,000 | 1,122,331 | |
Subordinated CMO Series 2021-DNA5 Class B2 | ||||
30-day Average SOFR + 5.500% 01/25/2034 | 10.824% | 1,650,000 | 1,852,140 | |
Subordinated CMO Series 2021-DNA6 Class B2 | ||||
30-day Average SOFR + 7.500% 10/25/2041 | 12.824% | 550,000 | 598,965 | |
Freddie Mac Structured Agency Credit Risk Debt Notes(a),(c),(e),(f) | ||||
CMO Series 2019-CS02 Class M2 | ||||
1-month Term SOFR + 0.000% 02/25/2032 | 4.506% | 1,365,085 | 1,358,686 | |
Freddie Mac Structured Agency Credit Risk Debt Notes(a),(f) | ||||
Subordinated CMO Series 2020-HQA5 Class B2 | ||||
30-day Average SOFR + 7.400% 11/25/2050 | 12.724% | 1,800,000 | 2,152,066 | |
GCAT Trust(a),(g) | ||||
CMO Series 2019-NQM3 Class M1 | ||||
11/25/2059 | 3.450% | 600,000 | 517,265 | |
Genworth Mortgage Insurance Corp.(a),(f) | ||||
CMO Series 2021-3 Class M1B | ||||
30-day Average SOFR + 2.900% Floor 2.900% 02/25/2034 | 8.224% | 1,940,520 | 1,956,310 | |
Subordinated CMO Series 2021-3 Class B1 | ||||
30-day Average SOFR + 4.950% Floor 4.950% 02/25/2034 | 10.274% | 500,000 | 513,634 | |
Home Re Ltd.(a),(f) | ||||
CMO Series 2018-1 Class M2 | ||||
1-month Term SOFR + 3.114% 10/25/2028 | 8.439% | 162,264 | 163,172 | |
Homeward Opportunities Fund I Trust(a),(g) | ||||
Subordinated CMO Series 2020-2 Class B1 | ||||
05/25/2065 | 5.450% | 250,000 | 239,687 | |
Imperial Fund Mortgage Trust(a),(g) | ||||
Subordinated CMO Series 2021-NQM3 Class B1 | ||||
11/25/2056 | 4.147% | 500,000 | 374,795 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated CMO Series 2022-NQM3 Class B1 | ||||
05/25/2067 | 4.453% | 350,000 | 271,425 | |
Legacy Mortgage Asset Trust(a),(g) | ||||
CMO Series 2021-GS1 Class A1 | ||||
10/25/2066 | 4.892% | 345,707 | 338,788 | |
CMO Series 2021-SL2 Class A | ||||
10/25/2068 | 1.875% | 530,231 | 513,542 | |
LHOME Mortgage Trust(a),(g) | ||||
CMO Series 2023-RTL3 Class A2 | ||||
08/25/2028 | 9.000% | 600,000 | 596,200 | |
CMO Series 2024-RTL1 Class A2 | ||||
01/25/2029 | 9.165% | 400,000 | 402,195 | |
CMO Series 2024-RTL1 Class M | ||||
01/25/2029 | 11.949% | 300,000 | 301,719 | |
loanDepot GMSR Master Trust(a),(f) | ||||
Series 2018-GT1 Class A | ||||
1-month Term SOFR + 2.914% Floor 2.800% 10/16/2025 | 7.114% | 850,000 | 847,480 | |
Mello Mortgage Capital Acceptance(a),(g) | ||||
CMO Series 2024-SD1 Class M2 | ||||
04/25/2054 | 4.000% | 500,000 | 388,158 | |
New Residential Mortgage Loan Trust(a),(g) | ||||
CMO Series 2022-NQM2 Class A2 | ||||
03/27/2062 | 3.699% | 2,570,000 | 1,945,281 | |
Subordinated CMO Series 2019-RPL3 Class B4 | ||||
07/25/2059 | 4.004% | 750,000 | 500,830 | |
Subordinated CMO Series 2022-NQM2 Class B1 | ||||
03/27/2062 | 3.873% | 200,000 | 129,374 | |
NYMT Loan Trust(a),(g) | ||||
CMO Series 2024-BPL1 Class A1 | ||||
02/25/2029 | 7.154% | 500,000 | 500,022 | |
CMO Series 2024-CP1 Class A2 | ||||
02/25/2068 | 3.902% | 400,000 | 306,716 | |
CMO Series 2024-CP1 Class M1 | ||||
02/25/2068 | 3.902% | 150,000 | 109,321 | |
Oaktown Re V Ltd.(a),(f) | ||||
CMO Series 2020-2A Class M2 | ||||
30-day Average SOFR + 5.364% Floor 5.250% 10/25/2030 | 10.688% | 366,962 | 375,320 | |
Oaktown Re VI Ltd.(a),(f) | ||||
CMO Series 2021-1A Class M2 | ||||
30-day Average SOFR + 3.950% Floor 3.950% 10/25/2033 | 9.274% | 500,000 | 513,369 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
PMT Credit Risk Transfer Trust(a),(f) | ||||
Series 2019-2R Class A | ||||
1-month Term SOFR + 3.864% Floor 3.750% 05/30/2025 | 9.193% | 606,729 | 608,496 | |
Point Securitization Trust(a),(g) | ||||
CMO Series 2021-1 Class A1 | ||||
02/25/2052 | 3.228% | 764,069 | 736,152 | |
Preston Ridge Partners Mortgage(a),(g) | ||||
CMO Series 2021-2 Class A2 | ||||
03/25/2026 | 3.770% | 1,014,492 | 995,437 | |
CMO Series 2021-4 Class A2 | ||||
04/25/2026 | 3.474% | 403,322 | 381,107 | |
Preston Ridge Partners Mortgage LLC(a),(g) | ||||
CMO Series 2020-6 Class A2 | ||||
11/25/2025 | 4.703% | 208,642 | 197,853 | |
Preston Ridge Partners Mortgage Trust(a),(g) | ||||
CMO Series 2021-10 Class A1 | ||||
10/25/2026 | 2.487% | 715,637 | 692,850 | |
CMO Series 2021-3 Class A1 | ||||
04/25/2026 | 1.867% | 434,626 | 423,233 | |
CMO Series 2021-5 Class A2 | ||||
06/25/2026 | 3.721% | 700,000 | 681,876 | |
CMO Series 2021-7 Class A1 | ||||
08/25/2026 | 1.867% | 976,690 | 944,879 | |
CMO Series 2023-RCF1 Class M2 | ||||
06/25/2053 | 4.000% | 700,000 | 580,865 | |
PRET LLC(a),(g) | ||||
CMO Series 2024-NPL1 Class A1 | ||||
01/25/2054 | 7.143% | 363,455 | 361,639 | |
CMO Series 2024-NPL1 Class A2 | ||||
01/25/2054 | 9.798% | 1,000,000 | 985,927 | |
CMO Series 2024-NPL2 Class A2 | ||||
02/25/2054 | 10.037% | 500,000 | 496,273 | |
CMO Series 2024-RN1 Class A1 | ||||
03/25/2054 | 7.143% | 777,476 | 774,140 | |
PRET LLC(a) | ||||
CMO Series 2024-NPL3 Class A1 | ||||
04/27/2054 | 7.520% | 400,000 | 399,369 | |
CMO Series 2024-NPL3 Class A2 | ||||
04/27/2054 | 10.038% | 400,000 | 399,471 | |
Pretium Mortgage Credit Partners(a),(g) | ||||
CMO Series 2022-NPL1 Class A1 | ||||
01/25/2052 | 2.981% | 526,304 | 509,863 | |
Pretium Mortgage Credit Partners LLC(a),(g) | ||||
CMO Series 2021-NPL6 Class A2 | ||||
07/25/2051 | 5.071% | 900,000 | 833,691 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
CMO Series 2021-RN2 Class A1 | ||||
07/25/2051 | 1.744% | 325,417 | 313,977 | |
PRKCM Trust(a),(g) | ||||
CMO Series 2021-AFC1 Class M1 | ||||
08/25/2056 | 3.114% | 2,000,000 | 1,252,766 | |
CMO Series 2022-AFC1 Class A3 | ||||
04/25/2057 | 4.100% | 512,846 | 466,817 | |
PRPM LLC(a),(g) | ||||
CMO Series 2021-7 Class A2 | ||||
08/25/2026 | 3.671% | 400,000 | 385,144 | |
CMO Series 2024-RCF1 Class M1 | ||||
01/25/2054 | 4.000% | 150,000 | 133,985 | |
CMO Series 2024-RCF1 Class M2 | ||||
01/25/2054 | 4.000% | 750,000 | 603,301 | |
CMO Series 2024-RCF2 Class M1 | ||||
03/25/2054 | 3.750% | 200,000 | 175,033 | |
CMO Series 2024-RCF2 Class M2 | ||||
03/25/2054 | 3.750% | 850,000 | 665,273 | |
PRPM Trust(a),(g) | ||||
CMO Series 2023-NQM1 Class M1 | ||||
01/25/2068 | 6.382% | 1,780,000 | 1,746,016 | |
Subordinated CMO Series 2023-NQM1 Class B1 | ||||
01/25/2068 | 6.382% | 300,000 | 279,772 | |
Subordinated CMO Series 2023-NQM3 Class B2 | ||||
11/25/2068 | 7.511% | 150,000 | 141,852 | |
RCO VII Mortgage LLC(a),(g) | ||||
CMO Series 2024-1 Class A2 | ||||
01/25/2029 | 9.575% | 1,150,000 | 1,110,216 | |
Residential Mortgage Loan Trust(a),(g) | ||||
CMO Series 2019-3 Class M1 | ||||
09/25/2059 | 3.257% | 700,000 | 666,684 | |
Saluda Grade Alternative Mortgage Trust(a),(g) | ||||
Subordinated CMO Series 2022-INV1 Class B1 | ||||
04/25/2067 | 4.531% | 400,000 | 292,136 | |
Subordinated CMO Series 2022-INV1 Class B2 | ||||
04/25/2067 | 4.531% | 400,000 | 262,712 | |
Saluda Grade Alternative Mortgage Trust(e),(g) | ||||
Subordinated CMO Series 2023-FIG3 Class CE | ||||
08/25/2053 | 3.969% | 729,458 | 951,724 | |
Stanwich Mortgage Loan Co. LLC(a),(g) | ||||
CMO Series 2021-NPB1 Class A1 | ||||
10/16/2026 | 2.735% | 1,316,507 | 1,277,346 | |
Starwood Mortgage Residential Trust(a),(g) | ||||
CMO Series 2020-3 Class B1 | ||||
04/25/2065 | 4.750% | 250,000 | 215,899 | |
CMO Series 2021-3 Class A1 | ||||
06/25/2056 | 1.127% | 293,311 | 237,517 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Toorak Mortgage Corp., Ltd.(a),(g) | ||||
CMO Series 2021-1 Class A1 | ||||
06/25/2024 | 3.240% | 239,953 | 239,186 | |
Toorak Mortgage Trust(a),(g) | ||||
Subordinated CMO Series 2024-RRTL1 Class B1 | ||||
02/25/2039 | 10.192% | 250,000 | 244,465 | |
Triangle Re Ltd.(a),(f) | ||||
Subordinated CMO Series 2021-2 Class B1 | ||||
1-month Term SOFR + 7.614% Floor 7.500% 10/25/2033 | 12.939% | 650,000 | 698,163 | |
VCAT Asset Securitization LLC(a),(g) | ||||
CMO Series 2021-NPL3 Class A2 | ||||
05/25/2051 | 3.967% | 300,992 | 282,609 | |
CMO Series 2021-NPL6 Class A1 | ||||
09/25/2051 | 1.917% | 724,411 | 700,299 | |
Vericrest Opportunity Loan Transferee(a),(g) | ||||
CMO Series 2021-NPL4 Class A1 | ||||
03/27/2051 | 2.240% | 394,966 | 385,835 | |
Verus Securitization Trust(a) | ||||
CMO Series 2021-R2 Class M1 | ||||
02/25/2064 | 2.244% | 500,000 | 389,182 | |
Subordinated CMO Series 2020-INV1 Class B2 | ||||
03/25/2060 | 6.000% | 150,000 | 147,034 | |
Verus Securitization Trust(a),(g) | ||||
CMO Series 2023-1 Class M1 | ||||
12/25/2067 | 6.942% | 2,500,000 | 2,500,895 | |
CMO Series 2023-INV1 Class M1 | ||||
02/25/2068 | 7.560% | 800,000 | 809,677 | |
Subordinated CMO Series 2019-4 Class B1 | ||||
11/25/2059 | 3.860% | 500,000 | 449,794 | |
Subordinated CMO Series 2020-4 Class B2 | ||||
05/25/2065 | 5.600% | 327,000 | 294,411 | |
Subordinated CMO Series 2023-1 Class B1 | ||||
12/25/2067 | 6.942% | 1,750,000 | 1,696,075 | |
Subordinated CMO Series 2023-INV1 Class B1 | ||||
02/25/2068 | 7.560% | 450,000 | 442,010 | |
Subordinated Series 2021-5 Class B1 | ||||
09/25/2066 | 3.037% | 300,000 | 197,374 | |
Subordinated Series 2021-5 Class B2 | ||||
09/25/2066 | 3.941% | 250,000 | 168,843 | |
Visio Trust(a),(g) | ||||
CMO Series 2019-2 Class M1 | ||||
11/25/2054 | 3.260% | 200,000 | 173,254 |
Residential Mortgage-Backed Securities - Non-Agency (continued) | ||||
Issuer | Coupon Rate | Principal Amount ($) | Value ($) | |
Subordinated CMO Series 2019-2 Class B1 | ||||
11/25/2054 | 3.910% | 100,000 | 89,924 | |
Vista Point Securitization Trust(a),(g) | ||||
Subordinated CMO Series 2020-1 Class B1 | ||||
03/25/2065 | 5.375% | 800,000 | 751,581 | |
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $80,919,929) | 81,650,860 | |||
Treasury Bills 16.2% | ||||
Issuer | Yield | Principal Amount ($) | Value ($) | |
United States 16.2% | ||||
U.S. Treasury Bills(k) | ||||
07/11/2024 | 5.180% | 47,500,000 | 47,224,643 | |
U.S. Treasury Bills | ||||
09/17/2024 | 5.240% | 40,500,000 | 39,875,840 | |
Total | 87,100,483 | |||
Total Treasury Bills (Cost $87,087,784) | 87,100,483 |
Call Option Contracts Purchased 0.3% | ||||
Value ($) | ||||
(Cost $2,881,150) | 1,427,729 | |||
Put Option Contracts Purchased 0.2% | ||||
(Cost $1,201,897) | 888,075 |
Money Market Funds 42.5% | ||
Shares | Value ($) | |
Columbia Short-Term Cash Fund, 5.547%(l),(m) | 229,505,186 | 229,459,285 |
Total Money Market Funds (Cost $229,442,671) | 229,459,285 | |
Total Investments in Securities (Cost: $654,322,374) | 635,909,083 | |
Other Assets & Liabilities, Net | (96,447,496 ) | |
Net Assets | 539,461,587 |
Forward foreign currency exchange contracts | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
29,557,000 CHF | 32,800,537 USD | Barclays | 06/26/2024 | — | (39,997 ) |
54,191,000 NZD | 32,654,359 USD | Barclays | 06/26/2024 | — | (656,849 ) |
849,619 USD | 769,000 CHF | Barclays | 06/26/2024 | 4,810 | — |
1,441,632 USD | 2,359,000 NZD | Barclays | 06/26/2024 | 8,445 | — |
62,942,000 NZD | 38,527,428 USD | Citi | 06/04/2024 | — | (163,020 ) |
23,951,294 USD | 21,641,000 CHF | Citi | 06/04/2024 | 31,640 | — |
533,500 AUD | 357,916 USD | Citi | 06/20/2024 | 2,781 | — |
110,246,198 AUD | 72,210,545 USD | Citi | 06/20/2024 | — | (1,177,042 ) |
120,487,085 BRL | 23,678,112 USD | Citi | 06/20/2024 | 772,312 | — |
7,559,500 BRL | 1,433,719 USD | Citi | 06/20/2024 | — | (3,418 ) |
21,623,500 CAD | 15,983,313 USD | Citi | 06/20/2024 | 113,000 | — |
57,947,189 CAD | 42,306,609 USD | Citi | 06/20/2024 | — | (223,046 ) |
58,795,671 CHF | 67,194,607 USD | Citi | 06/20/2024 | 1,913,319 | — |
3,541,461 CHF | 3,903,773 USD | Citi | 06/20/2024 | — | (28,338 ) |
72,732,219 CNH | 10,141,227 USD | Citi | 06/20/2024 | 116,362 | — |
6,114,343 CNH | 842,109 USD | Citi | 06/20/2024 | — | (646 ) |
18,002,045,585 COP | 4,698,042 USD | Citi | 06/20/2024 | 51,894 | — |
28,618,382,166 COP | 7,249,475 USD | Citi | 06/20/2024 | — | (136,644 ) |
784,768,666 CZK | 33,608,509 USD | Citi | 06/20/2024 | — | (884,994 ) |
50,429,671 EUR | 54,913,950 USD | Citi | 06/20/2024 | 155,430 | — |
60,037,669 EUR | 64,610,333 USD | Citi | 06/20/2024 | — | (580,929 ) |
3,576,826 GBP | 4,575,953 USD | Citi | 06/20/2024 | 17,801 | — |
22,315,544 GBP | 28,198,876 USD | Citi | 06/20/2024 | — | (239,086 ) |
1,073,003,250 HUF | 3,001,330 USD | Citi | 06/20/2024 | 15,386 | — |
6,601,827,928 HUF | 18,130,646 USD | Citi | 06/20/2024 | — | (240,861 ) |
53,572,394,602 IDR | 3,385,330 USD | Citi | 06/20/2024 | 91,217 | — |
37,285,250 ILS | 10,366,387 USD | Citi | 06/20/2024 | 295,903 | — |
75,250 ILS | 20,197 USD | Citi | 06/20/2024 | — | (127 ) |
1,971,982,426 INR | 23,654,011 USD | Citi | 06/20/2024 | 35,921 | — |
1,820,000,000 INR | 21,770,814 USD | Citi | 06/20/2024 | — | (27,009 ) |
12,416,754,486 JPY | 82,871,386 USD | Citi | 06/20/2024 | 3,717,978 | — |
93,749,999 JPY | 597,015 USD | Citi | 06/20/2024 | — | (616 ) |
16,800,000,000 KRW | 12,637,205 USD | Citi | 06/20/2024 | 484,790 | — |
365,200,250 KRW | 261,837 USD | Citi | 06/20/2024 | — | (2,334 ) |
275,060,032 MXN | 16,218,496 USD | Citi | 06/20/2024 | 48,790 | — |
388,118,538 MXN | 22,614,219 USD | Citi | 06/20/2024 | — | (201,755 ) |
83,004,822 NOK | 7,922,778 USD | Citi | 06/20/2024 | 11,533 | — |
289,118,791 NOK | 27,197,728 USD | Citi | 06/20/2024 | — | (358,376 ) |
10,977,500 NZD | 6,774,809 USD | Citi | 06/20/2024 | 26,939 | — |
89,628,623 NZD | 54,422,508 USD | Citi | 06/20/2024 | — | (672,207 ) |
1,553,624 PEN | 414,264 USD | Citi | 06/20/2024 | — | (2,654 ) |
664,448,000 PHP | 11,861,259 USD | Citi | 06/20/2024 | 509,642 | — |
44,993,749 PLN | 11,473,052 USD | Citi | 06/20/2024 | 53,935 | — |
108,532,440 PLN | 27,058,278 USD | Citi | 06/20/2024 | — | (486,541 ) |
476,236,206 SEK | 46,196,873 USD | Citi | 06/20/2024 | 907,238 | — |
24,781,900 SEK | 2,288,172 USD | Citi | 06/20/2024 | — | (68,564 ) |
59,158,387 SGD | 44,261,326 USD | Citi | 06/20/2024 | 444,602 | — |
282,000,000 THB | 7,914,360 USD | Citi | 06/20/2024 | 239,264 | — |
222,218,714 TWD | 7,031,810 USD | Citi | 06/20/2024 | 182,859 | — |
32,709,357 TWD | 1,006,525 USD | Citi | 06/20/2024 | — | (1,603 ) |
64,495,581 USD | 98,011,698 AUD | Citi | 06/20/2024 | 747,866 | — |
8,537,168 USD | 12,768,000 AUD | Citi | 06/20/2024 | — | (37,894 ) |
2,093,355 USD | 11,067,000 BRL | Citi | 06/20/2024 | 10,592 | — |
20,911,806 USD | 106,029,334 BRL | Citi | 06/20/2024 | — | (754,570 ) |
1,166,102 USD | 1,590,377 CAD | Citi | 06/20/2024 | 1,136 | — |
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
62,121,997 USD | 83,935,500 CAD | Citi | 06/20/2024 | — | (518,527 ) |
24,593,719 USD | 22,290,260 CHF | Citi | 06/20/2024 | 155,329 | — |
25,446,730 USD | 22,511,661 CHF | Citi | 06/20/2024 | — | (451,859 ) |
910,752 USD | 6,611,812 CNH | Citi | 06/20/2024 | 571 | — |
9,573,513 USD | 68,987,812 CNH | Citi | 06/20/2024 | — | (64,749 ) |
12,567,103 USD | 49,773,001,001 COP | Citi | 06/20/2024 | 278,810 | — |
1,115,042 USD | 4,300,000,002 COP | Citi | 06/20/2024 | — | (5,255 ) |
22,446,665 USD | 520,054,998 CZK | Citi | 06/20/2024 | 411,687 | — |
1,628,771 USD | 37,000,000 CZK | Citi | 06/20/2024 | — | (2,483 ) |
52,062,782 USD | 48,190,088 EUR | Citi | 06/20/2024 | 263,911 | — |
81,098,128 USD | 74,380,351 EUR | Citi | 06/20/2024 | — | (333,017 ) |
24,951,682 USD | 19,771,044 GBP | Citi | 06/20/2024 | 243,679 | — |
15,143,772 USD | 11,849,826 GBP | Citi | 06/20/2024 | — | (42,868 ) |
19,081,472 USD | 6,928,846,332 HUF | Citi | 06/20/2024 | 200,059 | — |
4,104,413 USD | 1,467,629,875 HUF | Citi | 06/20/2024 | — | (20,306 ) |
122,708 USD | 2,000,000,000 IDR | Citi | 06/20/2024 | 270 | — |
2,777,668 USD | 44,929,859,470 IDR | Citi | 06/20/2024 | — | (14,976 ) |
4,958,303 USD | 18,495,041 ILS | Citi | 06/20/2024 | 37,078 | — |
3,581,397 USD | 13,183,375 ILS | Citi | 06/20/2024 | — | (20,659 ) |
60,172,377 USD | 5,007,959,000 INR | Citi | 06/20/2024 | — | (192,923 ) |
2,858,189 USD | 448,750,000 JPY | Citi | 06/20/2024 | 2,470 | — |
69,244,279 USD | 10,356,754,484 JPY | Citi | 06/20/2024 | — | (3,222,808 ) |
13,395,225 USD | 17,980,400,500 KRW | Citi | 06/20/2024 | — | (388,959 ) |
23,453,740 USD | 405,157,075 MXN | Citi | 06/20/2024 | 363,862 | — |
15,275,021 USD | 258,021,495 MXN | Citi | 06/20/2024 | — | (106,944 ) |
33,193,104 USD | 349,771,538 NOK | Citi | 06/20/2024 | 143,854 | — |
18,083,568 USD | 188,678,534 NOK | Citi | 06/20/2024 | — | (100,492 ) |
45,994,438 USD | 75,590,492 NZD | Citi | 06/20/2024 | 471,037 | — |
4,606,376 USD | 7,468,000 NZD | Citi | 06/20/2024 | — | (15,796 ) |
638,868 USD | 2,416,750 PEN | Citi | 06/20/2024 | 9,672 | — |
92,790 USD | 345,250 PEN | Citi | 06/20/2024 | — | (142 ) |
2,322,010 USD | 136,111,999 PHP | Citi | 06/20/2024 | 3,366 | — |
3,280,599 USD | 188,056,000 PHP | Citi | 06/20/2024 | — | (67,797 ) |
44,796,609 USD | 178,391,107 PLN | Citi | 06/20/2024 | 477,879 | — |
1,008,690 USD | 3,959,999 PLN | Citi | 06/20/2024 | — | (3,668 ) |
33,412,554 USD | 354,951,106 SEK | Citi | 06/20/2024 | 342,978 | — |
18,727,196 USD | 193,500,000 SEK | Citi | 06/20/2024 | — | (325,520 ) |
14,896,209 USD | 20,148,202 SGD | Citi | 06/20/2024 | 26,920 | — |
14,059,016 USD | 18,905,375 SGD | Citi | 06/20/2024 | — | (56,410 ) |
1,011,804 USD | 37,285,714 THB | Citi | 06/20/2024 | 2,988 | — |
2,631,071 USD | 95,571,428 THB | Citi | 06/20/2024 | — | (29,937 ) |
721,009 USD | 23,419,024 TWD | Citi | 06/20/2024 | 783 | — |
10,749,796 USD | 340,117,905 TWD | Citi | 06/20/2024 | — | (267,103 ) |
12,081,950 USD | 229,648,437 ZAR | Citi | 06/20/2024 | 126,556 | — |
12,172,625 USD | 227,000,000 ZAR | Citi | 06/20/2024 | — | (104,914 ) |
27,500,000 ZAR | 1,494,460 USD | Citi | 06/20/2024 | 32,513 | — |
437,918,750 ZAR | 22,697,574 USD | Citi | 06/20/2024 | — | (582,940 ) |
2,121,080,879 CLP | 2,332,115 USD | Citi | 06/21/2024 | 22,349 | — |
14,894,595,595 CLP | 15,284,965 USD | Citi | 06/21/2024 | — | (934,610 ) |
16,888,302 USD | 16,355,034,317 CLP | Citi | 06/21/2024 | 921,627 | — |
1,845,235 USD | 1,660,416,666 CLP | Citi | 06/21/2024 | — | (37,112 ) |
33,110,787 USD | 353,306,000 NOK | Citi | 06/26/2024 | 568,211 | — |
32,720,756 USD | 353,731,000 SEK | Citi | 06/26/2024 | 929,057 | — |
38,527,579 USD | 62,942,000 NZD | Citi | 07/12/2024 | 162,701 | — |
224,000 AUD | 149,573 USD | Citi | 09/18/2024 | 99 | — |
20,381,083 AUD | 13,541,474 USD | Citi | 09/18/2024 | — | (58,764 ) |
7,626,292 BRL | 1,452,490 USD | Citi | 09/18/2024 | 15,416 | — |
1,553,541 CAD | 1,141,272 USD | Citi | 09/18/2024 | — | (1,129 ) |
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
11,119,858 CHF | 12,382,846 USD | Citi | 09/18/2024 | — | (92,666 ) |
103,319,166 CZK | 4,523,814 USD | Citi | 09/18/2024 | — | (24,867 ) |
3,028,923 EUR | 3,294,418 USD | Citi | 09/18/2024 | — | (8,427 ) |
281,063,313 HUF | 788,297 USD | Citi | 09/18/2024 | 8,298 | — |
575,757,577 HUF | 1,595,082 USD | Citi | 09/18/2024 | — | (2,746 ) |
15,750,000,000 IDR | 968,902 USD | Citi | 09/18/2024 | 3,128 | — |
4,713,750 ILS | 1,283,033 USD | Citi | 09/18/2024 | 4,852 | — |
3,978,916 ILS | 1,072,371 USD | Citi | 09/18/2024 | — | (6,553 ) |
1,129,846,405 JPY | 7,309,654 USD | Citi | 09/18/2024 | 8,277 | — |
401,874,999 JPY | 2,594,438 USD | Citi | 09/18/2024 | — | (2,588 ) |
144,307,844 MXN | 8,397,718 USD | Citi | 09/18/2024 | 34,112 | — |
3,890,625 NOK | 370,311 USD | Citi | 09/18/2024 | — | (1,325 ) |
21,603,903 NZD | 13,235,544 USD | Citi | 09/18/2024 | — | (43,190 ) |
74,028,000 PHP | 1,267,848 USD | Citi | 09/18/2024 | 4,655 | — |
88,055,999 PHP | 1,499,818 USD | Citi | 09/18/2024 | — | (2,744 ) |
3,406,571 PLN | 867,526 USD | Citi | 09/18/2024 | 3,962 | — |
1,783,572 PLN | 450,322 USD | Citi | 09/18/2024 | — | (1,812 ) |
4,667,188 SGD | 3,475,405 USD | Citi | 09/18/2024 | 3,328 | — |
2,513,101 SGD | 1,868,036 USD | Citi | 09/18/2024 | — | (1,544 ) |
41,285,714 THB | 1,134,132 USD | Citi | 09/18/2024 | 2,087 | — |
20,642,857 THB | 563,551 USD | Citi | 09/18/2024 | — | (2,471 ) |
12,195,238 TWD | 378,720 USD | Citi | 09/18/2024 | 1,539 | — |
7,385 USD | 11,115 AUD | Citi | 09/18/2024 | 32 | — |
1,106,041 USD | 5,807,543 BRL | Citi | 09/18/2024 | — | (11,687 ) |
2,599,597 USD | 3,538,603 CAD | Citi | 09/18/2024 | 2,523 | — |
1,972,060 USD | 1,770,731 CHF | Citi | 09/18/2024 | 14,546 | — |
1,299,419 USD | 5,118,382,165 COP | Citi | 09/18/2024 | 2,907 | — |
747,939 USD | 2,934,191,083 COP | Citi | 09/18/2024 | — | (1,361 ) |
310,003 USD | 7,083,333 CZK | Citi | 09/18/2024 | 1,844 | — |
16,444,941 USD | 15,114,311 EUR | Citi | 09/18/2024 | 36,241 | — |
2,012,258 USD | 1,583,500 GBP | Citi | 09/18/2024 | 6,646 | — |
2,382,655 USD | 860,248,923 HUF | Citi | 09/18/2024 | 4,686 | — |
1,220,077 USD | 436,939,938 HUF | Citi | 09/18/2024 | — | (7,492 ) |
754,960 USD | 12,286,197,301 IDR | Citi | 09/18/2024 | — | (1,582 ) |
10,138 USD | 37,625 ILS | Citi | 09/18/2024 | 65 | — |
10,240 USD | 37,625 ILS | Citi | 09/18/2024 | — | (37 ) |
7,545,740 USD | 630,991,213 INR | Citi | 09/18/2024 | — | (11,061 ) |
514,954 USD | 79,740,468 JPY | Citi | 09/18/2024 | 351 | — |
303,968 USD | 46,875,000 JPY | Citi | 09/18/2024 | — | (1,049 ) |
376,120 USD | 6,499,999 MXN | Citi | 09/18/2024 | 598 | — |
11,181,831 USD | 192,182,302 MXN | Citi | 09/18/2024 | — | (43,580 ) |
9,020,614 USD | 94,684,395 NOK | Citi | 09/18/2024 | 23,715 | — |
1,816,995 USD | 19,000,000 NOK | Citi | 09/18/2024 | — | (2,100 ) |
1,937,621 USD | 3,163,562 NZD | Citi | 09/18/2024 | 6,847 | — |
207,212 USD | 776,812 PEN | Citi | 09/18/2024 | 1,334 | — |
1,877,057 USD | 7,434,363 PLN | Citi | 09/18/2024 | 7,551 | — |
1,910,372 USD | 7,510,446 PLN | Citi | 09/18/2024 | — | (6,477 ) |
3,039,547 USD | 97,932,832 TWD | Citi | 09/18/2024 | — | (10,624 ) |
1,168,090 USD | 22,229,688 ZAR | Citi | 09/18/2024 | 4,811 | — |
28,000,000 ZAR | 1,481,993 USD | Citi | 09/18/2024 | 4,635 | — |
35,000,000 ZAR | 1,840,007 USD | Citi | 09/18/2024 | — | (6,691 ) |
11,245,577 CNH | 1,562,714 USD | Citi | 09/19/2024 | 2,395 | — |
5,800,079 CNH | 804,303 USD | Citi | 09/19/2024 | — | (455 ) |
579,135 USD | 4,176,610 CNH | Citi | 09/19/2024 | 368 | — |
580,679 USD | 4,176,609 CNH | Citi | 09/19/2024 | — | (1,176 ) |
380,208,333 CLP | 417,463 USD | Citi | 09/23/2024 | 3,635 | — |
123,958,333 CLP | 134,578 USD | Citi | 09/23/2024 | — | (341 ) |
386,733 USD | 356,401,960 CLP | Citi | 09/23/2024 | 1,183 | — |
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
2,408,954 USD | 2,183,555,548 CLP | Citi | 09/23/2024 | — | (32,322 ) |
43,143,000 CAD | 31,627,794 USD | Goldman Sachs International | 06/26/2024 | — | (40,312 ) |
278,723 USD | 43,533,000 JPY | Goldman Sachs International | 06/26/2024 | — | (950 ) |
9,985,461 USD | 107,901,000 NOK | HSBC | 06/04/2024 | 294,448 | — |
533,500 AUD | 357,917 USD | JPMorgan | 06/20/2024 | 2,782 | — |
23,561,967 AUD | 15,437,070 USD | JPMorgan | 06/20/2024 | — | (247,425 ) |
43,938,000 BRL | 8,526,089 USD | JPMorgan | 06/20/2024 | 173,035 | — |
7,559,500 BRL | 1,433,726 USD | JPMorgan | 06/20/2024 | — | (3,411 ) |
1,377,500 CAD | 1,011,964 USD | JPMorgan | 06/20/2024 | 964 | — |
21,166,524 CAD | 15,502,715 USD | JPMorgan | 06/20/2024 | — | (32,205 ) |
2,813,000 CHF | 3,136,389 USD | JPMorgan | 06/20/2024 | 13,093 | — |
12,734,900 CHF | 14,073,067 USD | JPMorgan | 06/20/2024 | — | (66,591 ) |
54,036,750 CNH | 7,467,601 USD | JPMorgan | 06/20/2024 | 19,580 | — |
4,490,875 CNH | 618,504 USD | JPMorgan | 06/20/2024 | — | (485 ) |
17,166,336,581 COP | 4,479,002 USD | JPMorgan | 06/20/2024 | 48,542 | — |
7,618,382,165 COP | 1,954,233 USD | JPMorgan | 06/20/2024 | — | (11,995 ) |
57,249,999 CZK | 2,424,675 USD | JPMorgan | 06/20/2024 | — | (91,675 ) |
134,500 EUR | 146,203 USD | JPMorgan | 06/20/2024 | 157 | — |
20,818,913 EUR | 22,431,814 USD | JPMorgan | 06/20/2024 | — | (174,180 ) |
5,937,500 GBP | 7,467,757 USD | JPMorgan | 06/20/2024 | — | (98,735 ) |
337,126,625 HUF | 945,699 USD | JPMorgan | 06/20/2024 | 7,547 | — |
983,419,916 HUF | 2,722,698 USD | JPMorgan | 06/20/2024 | — | (13,954 ) |
10,996,000 ILS | 2,980,720 USD | JPMorgan | 06/20/2024 | 10,778 | — |
7,861,000 ILS | 2,098,033 USD | JPMorgan | 06/20/2024 | — | (25,168 ) |
3,677,273,550 JPY | 23,956,657 USD | JPMorgan | 06/20/2024 | 515,045 | — |
2,300,000,000 KRW | 1,675,941 USD | JPMorgan | 06/20/2024 | 12,218 | — |
934,799,750 KRW | 670,224 USD | JPMorgan | 06/20/2024 | — | (5,971 ) |
188,304,570 MXN | 11,100,456 USD | JPMorgan | 06/20/2024 | 30,766 | — |
130,961,462 MXN | 7,641,915 USD | JPMorgan | 06/20/2024 | — | (56,798 ) |
55,125,000 NOK | 5,240,534 USD | JPMorgan | 06/20/2024 | — | (13,467 ) |
41,111,000 NZD | 24,658,083 USD | JPMorgan | 06/20/2024 | — | (612,849 ) |
320,000,000 PHP | 5,576,204 USD | JPMorgan | 06/20/2024 | 109,233 | — |
4,664,142 PLN | 1,187,801 USD | JPMorgan | 06/20/2024 | 4,072 | — |
4,664,142 PLN | 1,178,958 USD | JPMorgan | 06/20/2024 | — | (4,771 ) |
22,781,900 SEK | 2,096,349 USD | JPMorgan | 06/20/2024 | — | (70,190 ) |
28,000,000 THB | 762,985 USD | JPMorgan | 06/20/2024 | 919 | — |
48,630,617 TWD | 1,503,620 USD | JPMorgan | 06/20/2024 | 4,788 | — |
25,106,975 TWD | 772,590 USD | JPMorgan | 06/20/2024 | — | (1,226 ) |
13,160,889 USD | 19,856,467 AUD | JPMorgan | 06/20/2024 | 56,965 | — |
2,832,838 USD | 4,239,000 AUD | JPMorgan | 06/20/2024 | — | (11,063 ) |
2,093,345 USD | 11,067,000 BRL | JPMorgan | 06/20/2024 | 10,603 | — |
5,706,037 USD | 29,480,249 BRL | JPMorgan | 06/20/2024 | — | (101,547 ) |
10,299,350 USD | 14,167,212 CAD | JPMorgan | 06/20/2024 | 98,508 | — |
10,547,733 USD | 14,332,000 CAD | JPMorgan | 06/20/2024 | — | (28,931 ) |
6,428,111 USD | 5,830,461 CHF | JPMorgan | 06/20/2024 | 45,495 | — |
687,122 USD | 4,988,343 CNH | JPMorgan | 06/20/2024 | 434 | — |
6,963,507 USD | 50,292,344 CNH | JPMorgan | 06/20/2024 | — | (31,587 ) |
5,880,881 USD | 23,037,291,998 COP | JPMorgan | 06/20/2024 | 64,814 | — |
2,387,113 USD | 9,199,999,998 COP | JPMorgan | 06/20/2024 | — | (12,685 ) |
1,074,574 USD | 24,583,332 CZK | JPMorgan | 06/20/2024 | 5,955 | — |
26,715,853 USD | 24,825,983 EUR | JPMorgan | 06/20/2024 | 241,176 | — |
8,950,769 USD | 8,230,530 EUR | JPMorgan | 06/20/2024 | — | (13,736 ) |
9,973,589 USD | 7,955,500 GBP | JPMorgan | 06/20/2024 | 164,555 | — |
4,736,928 USD | 3,710,500 GBP | JPMorgan | 06/20/2024 | — | (8,428 ) |
4,919,480 USD | 1,810,941,571 HUF | JPMorgan | 06/20/2024 | 119,992 | — |
650,300 USD | 231,250,000 HUF | JPMorgan | 06/20/2024 | — | (6,780 ) |
1,648,550 USD | 6,141,791 ILS | JPMorgan | 06/20/2024 | 10,305 | — |
1,907,740 USD | 7,033,125 ILS | JPMorgan | 06/20/2024 | — | (8,142 ) |
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
2,261,063 USD | 354,999,998 JPY | JPMorgan | 06/20/2024 | 1,965 | — |
10,389,398 USD | 1,617,273,551 JPY | JPMorgan | 06/20/2024 | — | (79,723 ) |
2,975,013 USD | 4,050,000,000 KRW | JPMorgan | 06/20/2024 | — | (45,413 ) |
58,649 USD | 1,000,000 MXN | JPMorgan | 06/20/2024 | 137 | — |
19,006,481 USD | 318,266,032 MXN | JPMorgan | 06/20/2024 | — | (296,863 ) |
13,578,140 USD | 147,000,000 NOK | JPMorgan | 06/20/2024 | 432,528 | — |
14,435,298 USD | 23,563,369 NZD | JPMorgan | 06/20/2024 | 49,105 | — |
1,023,085 USD | 59,999,999 PHP | JPMorgan | 06/20/2024 | 1,972 | — |
1,028,386 USD | 60,000,000 PHP | JPMorgan | 06/20/2024 | — | (3,329 ) |
7,028,758 USD | 28,262,143 PLN | JPMorgan | 06/20/2024 | 143,988 | — |
597,044 USD | 2,341,142 PLN | JPMorgan | 06/20/2024 | — | (2,877 ) |
3,860,428 USD | 41,714,900 SEK | JPMorgan | 06/20/2024 | 106,622 | — |
2,711,637 USD | 28,500,000 SEK | JPMorgan | 06/20/2024 | — | (1,313 ) |
108,545 USD | 4,000,000 THB | JPMorgan | 06/20/2024 | 321 | — |
218,427 USD | 8,000,000 THB | JPMorgan | 06/20/2024 | — | (694 ) |
749,930 USD | 24,346,451 TWD | JPMorgan | 06/20/2024 | 447 | — |
4,920,975 USD | 157,999,999 TWD | JPMorgan | 06/20/2024 | — | (51,295 ) |
4,549,038 USD | 86,270,312 ZAR | JPMorgan | 06/20/2024 | 37,240 | — |
5,079,854 USD | 94,000,000 ZAR | JPMorgan | 06/20/2024 | — | (82,653 ) |
27,500,000 ZAR | 1,494,468 USD | JPMorgan | 06/20/2024 | 32,520 | — |
161,540,625 ZAR | 8,476,756 USD | JPMorgan | 06/20/2024 | — | (111,021 ) |
1,360,664,213 CLP | 1,497,438 USD | JPMorgan | 06/21/2024 | 15,734 | — |
1,132,443,626 CLP | 1,176,449 USD | JPMorgan | 06/21/2024 | — | (56,734 ) |
2,730,539 USD | 2,592,882,349 CLP | JPMorgan | 06/21/2024 | 92,998 | — |
1,010,012 USD | 900,000,000 CLP | JPMorgan | 06/21/2024 | — | (29,951 ) |
224,000 AUD | 149,574 USD | JPMorgan | 09/18/2024 | 100 | — |
20,381,082 AUD | 13,541,541 USD | JPMorgan | 09/18/2024 | — | (58,697 ) |
7,626,291 BRL | 1,452,497 USD | JPMorgan | 09/18/2024 | 15,423 | — |
1,553,539 CAD | 1,141,276 USD | JPMorgan | 09/18/2024 | — | (1,123 ) |
11,119,857 CHF | 12,382,907 USD | JPMorgan | 09/18/2024 | — | (92,604 ) |
103,319,164 CZK | 4,523,837 USD | JPMorgan | 09/18/2024 | — | (24,844 ) |
3,028,923 EUR | 3,294,435 USD | JPMorgan | 09/18/2024 | — | (8,411 ) |
281,063,312 HUF | 788,301 USD | JPMorgan | 09/18/2024 | 8,301 | — |
575,757,576 HUF | 1,595,090 USD | JPMorgan | 09/18/2024 | — | (2,738 ) |
15,750,000,000 IDR | 968,899 USD | JPMorgan | 09/18/2024 | 3,125 | — |
4,713,750 ILS | 1,283,040 USD | JPMorgan | 09/18/2024 | 4,858 | — |
3,978,916 ILS | 1,072,376 USD | JPMorgan | 09/18/2024 | — | (6,547 ) |
1,129,846,405 JPY | 7,309,690 USD | JPMorgan | 09/18/2024 | 8,313 | — |
401,874,999 JPY | 2,594,451 USD | JPMorgan | 09/18/2024 | — | (2,575 ) |
144,307,843 MXN | 8,397,760 USD | JPMorgan | 09/18/2024 | 34,154 | — |
3,890,625 NOK | 370,313 USD | JPMorgan | 09/18/2024 | — | (1,323 ) |
21,603,903 NZD | 13,235,610 USD | JPMorgan | 09/18/2024 | — | (43,124 ) |
54,028,000 PHP | 926,511 USD | JPMorgan | 09/18/2024 | 4,593 | — |
108,055,999 PHP | 1,841,335 USD | JPMorgan | 09/18/2024 | — | (2,502 ) |
3,406,570 PLN | 867,530 USD | JPMorgan | 09/18/2024 | 3,966 | — |
1,783,571 PLN | 450,324 USD | JPMorgan | 09/18/2024 | — | (1,810 ) |
4,667,187 SGD | 3,475,421 USD | JPMorgan | 09/18/2024 | 3,346 | — |
2,513,101 SGD | 1,868,045 USD | JPMorgan | 09/18/2024 | — | (1,534 ) |
41,285,714 THB | 1,134,137 USD | JPMorgan | 09/18/2024 | 2,092 | — |
20,642,857 THB | 563,554 USD | JPMorgan | 09/18/2024 | — | (2,469 ) |
12,195,237 TWD | 378,487 USD | JPMorgan | 09/18/2024 | 1,305 | — |
7,385 USD | 11,115 AUD | JPMorgan | 09/18/2024 | 32 | — |
1,106,035 USD | 5,807,542 BRL | JPMorgan | 09/18/2024 | — | (11,681 ) |
2,599,583 USD | 3,538,601 CAD | JPMorgan | 09/18/2024 | 2,536 | — |
1,972,049 USD | 1,770,730 CHF | JPMorgan | 09/18/2024 | 14,556 | — |
1,299,412 USD | 5,118,382,166 COP | JPMorgan | 09/18/2024 | 2,914 | — |
747,935 USD | 2,934,191,083 COP | JPMorgan | 09/18/2024 | — | (1,357 ) |
310,002 USD | 7,083,332 CZK | JPMorgan | 09/18/2024 | 1,846 | — |
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
16,444,858 USD | 15,114,310 EUR | JPMorgan | 09/18/2024 | 36,324 | — |
2,012,248 USD | 1,583,500 GBP | JPMorgan | 09/18/2024 | 6,656 | — |
2,382,643 USD | 860,248,921 HUF | JPMorgan | 09/18/2024 | 4,698 | — |
1,220,071 USD | 436,939,937 HUF | JPMorgan | 09/18/2024 | — | (7,486 ) |
754,955 USD | 12,286,197,301 IDR | JPMorgan | 09/18/2024 | — | (1,578 ) |
10,138 USD | 37,625 ILS | JPMorgan | 09/18/2024 | 65 | — |
10,240 USD | 37,625 ILS | JPMorgan | 09/18/2024 | — | (37 ) |
7,545,735 USD | 630,991,213 INR | JPMorgan | 09/18/2024 | — | (11,056 ) |
514,952 USD | 79,740,468 JPY | JPMorgan | 09/18/2024 | 353 | — |
303,966 USD | 46,874,999 JPY | JPMorgan | 09/18/2024 | — | (1,047 ) |
376,119 USD | 6,500,001 MXN | JPMorgan | 09/18/2024 | 600 | — |
11,181,775 USD | 192,182,300 MXN | JPMorgan | 09/18/2024 | — | (43,524 ) |
9,020,569 USD | 94,684,396 NOK | JPMorgan | 09/18/2024 | 23,760 | — |
1,816,986 USD | 19,000,000 NOK | JPMorgan | 09/18/2024 | — | (2,091 ) |
1,937,611 USD | 3,163,561 NZD | JPMorgan | 09/18/2024 | 6,857 | — |
207,211 USD | 776,812 PEN | JPMorgan | 09/18/2024 | 1,335 | — |
1,877,047 USD | 7,434,362 PLN | JPMorgan | 09/18/2024 | 7,561 | — |
1,910,362 USD | 7,510,445 PLN | JPMorgan | 09/18/2024 | — | (6,468 ) |
3,039,374 USD | 97,932,831 TWD | JPMorgan | 09/18/2024 | — | (10,452 ) |
1,168,084 USD | 22,229,687 ZAR | JPMorgan | 09/18/2024 | 4,817 | — |
28,000,000 ZAR | 1,482,001 USD | JPMorgan | 09/18/2024 | 4,642 | — |
34,999,999 ZAR | 1,840,016 USD | JPMorgan | 09/18/2024 | — | (6,681 ) |
11,245,579 CNH | 1,562,722 USD | JPMorgan | 09/19/2024 | 2,403 | — |
5,800,076 CNH | 804,306 USD | JPMorgan | 09/19/2024 | — | (451 ) |
579,132 USD | 4,176,608 CNH | JPMorgan | 09/19/2024 | 371 | — |
580,676 USD | 4,176,610 CNH | JPMorgan | 09/19/2024 | — | (1,174 ) |
380,208,333 CLP | 417,465 USD | JPMorgan | 09/23/2024 | 3,637 | — |
123,958,333 CLP | 134,579 USD | JPMorgan | 09/23/2024 | — | (340 ) |
386,731 USD | 356,401,959 CLP | JPMorgan | 09/23/2024 | 1,185 | — |
2,408,942 USD | 2,183,555,544 CLP | JPMorgan | 09/23/2024 | — | (32,309 ) |
9,851,000 CHF | 10,840,819 USD | Morgan Stanley | 06/04/2024 | — | (76,231 ) |
13,454,349 USD | 20,269,000 AUD | Morgan Stanley | 06/04/2024 | 31,630 | — |
6,349,120 USD | 5,773,000 CHF | Morgan Stanley | 06/04/2024 | 48,619 | — |
37,356,895 USD | 62,942,000 NZD | Morgan Stanley | 06/04/2024 | 1,333,552 | — |
26,350,000 AUD | 16,996,987 USD | Morgan Stanley | 06/20/2024 | — | (543,418 ) |
58,720,000 BRL | 11,772,253 USD | Morgan Stanley | 06/20/2024 | 608,994 | — |
32,650,000 CAD | 24,082,496 USD | Morgan Stanley | 06/20/2024 | 119,414 | — |
3,750,000 CAD | 2,750,697 USD | Morgan Stanley | 06/20/2024 | — | (1,572 ) |
29,450,000 CHF | 33,568,378 USD | Morgan Stanley | 06/20/2024 | 869,816 | — |
2,000,000 EUR | 2,177,276 USD | Morgan Stanley | 06/20/2024 | 5,597 | — |
3,500,000 EUR | 3,758,989 USD | Morgan Stanley | 06/20/2024 | — | (41,448 ) |
9,300,000 GBP | 11,825,219 USD | Morgan Stanley | 06/20/2024 | — | (26,298 ) |
1,304,585,000 INR | 15,692,368 USD | Morgan Stanley | 06/20/2024 | 67,580 | — |
315,395,000 INR | 3,776,236 USD | Morgan Stanley | 06/20/2024 | — | (1,195 ) |
4,835,000,000 JPY | 32,045,493 USD | Morgan Stanley | 06/20/2024 | 1,223,693 | — |
21,594,695,000 KRW | 16,200,341 USD | Morgan Stanley | 06/20/2024 | 579,646 | — |
207,150,000 MXN | 12,079,406 USD | Morgan Stanley | 06/20/2024 | — | (98,134 ) |
155,500,000 NOK | 14,276,863 USD | Morgan Stanley | 06/20/2024 | — | (543,946 ) |
55,900,000 NZD | 33,817,983 USD | Morgan Stanley | 06/20/2024 | — | (543,746 ) |
45,820,000 PLN | 11,659,626 USD | Morgan Stanley | 06/20/2024 | 30,812 | — |
8,515,000 PLN | 2,125,928 USD | Morgan Stanley | 06/20/2024 | — | (35,123 ) |
354,500,000 SEK | 33,118,374 USD | Morgan Stanley | 06/20/2024 | — | (594,257 ) |
123,130,000 TRY | 3,520,306 USD | Morgan Stanley | 06/20/2024 | — | (246,313 ) |
2,075,626 USD | 3,150,000 AUD | Morgan Stanley | 06/20/2024 | 21,234 | — |
3,466,850 USD | 5,200,000 AUD | Morgan Stanley | 06/20/2024 | — | (5,366 ) |
11,588,856 USD | 58,720,000 BRL | Morgan Stanley | 06/20/2024 | — | (425,596 ) |
45,298,264 USD | 62,200,000 CAD | Morgan Stanley | 06/20/2024 | 352,692 | — |
10,823,498 USD | 9,800,000 CHF | Morgan Stanley | 06/20/2024 | 57,518 | — |
Forward foreign currency exchange contracts (continued) | |||||
Currency to be sold | Currency to be purchased | Counterparty | Settlement date | Unrealized appreciation ($) | Unrealized depreciation ($) |
27,425,811 USD | 25,150,000 EUR | Morgan Stanley | 06/20/2024 | — | (116,952 ) |
15,387,572 USD | 12,150,000 GBP | Morgan Stanley | 06/20/2024 | 95,862 | — |
8,579,023 USD | 716,520,000 INR | Morgan Stanley | 06/20/2024 | 2,612 | — |
10,863,038 USD | 903,460,000 INR | Morgan Stanley | 06/20/2024 | — | (42,455 ) |
36,861,399 USD | 5,520,000,000 JPY | Morgan Stanley | 06/20/2024 | — | (1,672,912 ) |
15,746,840 USD | 21,594,695,000 KRW | Morgan Stanley | 06/20/2024 | — | (126,144 ) |
3,917,024 USD | 67,175,000 MXN | Morgan Stanley | 06/20/2024 | 31,932 | — |
8,316,918 USD | 139,975,000 MXN | Morgan Stanley | 06/20/2024 | — | (88,334 ) |
24,222,308 USD | 256,250,000 NOK | Morgan Stanley | 06/20/2024 | 201,050 | — |
11,596,971 USD | 19,200,000 NZD | Morgan Stanley | 06/20/2024 | 205,269 | — |
13,687,453 USD | 54,335,000 PLN | Morgan Stanley | 06/20/2024 | 102,413 | — |
10,788,217 USD | 115,750,000 SEK | Morgan Stanley | 06/20/2024 | 219,503 | — |
14,050,399 USD | 146,000,000 SEK | Morgan Stanley | 06/20/2024 | — | (165,930 ) |
3,766,814 USD | 123,130,000 TRY | Morgan Stanley | 06/20/2024 | — | (195 ) |
5,389,267 USD | 104,125,000 ZAR | Morgan Stanley | 06/20/2024 | 146,197 | — |
19,647,672 USD | 368,185,000 ZAR | Morgan Stanley | 06/20/2024 | — | (74,323 ) |
472,310,000 ZAR | 24,681,399 USD | Morgan Stanley | 06/20/2024 | — | (427,413 ) |
353,306,000 NOK | 32,688,094 USD | Morgan Stanley | 06/26/2024 | — | (990,903 ) |
20,269,000 AUD | 13,469,342 USD | Morgan Stanley | 07/12/2024 | — | (32,041 ) |
295,005,000 INR | 3,520,640 USD | Morgan Stanley | 09/18/2024 | — | (2,020 ) |
7,004,477 USD | 36,770,000 BRL | Morgan Stanley | 09/18/2024 | — | (75,658 ) |
3,472,411 USD | 60,030,000 MXN | Morgan Stanley | 09/18/2024 | 6,729 | — |
10,665,887 USD | 41,950,000 PLN | Morgan Stanley | 09/18/2024 | — | (31,580 ) |
162,930,000 ZAR | 8,638,873 USD | Morgan Stanley | 09/18/2024 | 42,230 | — |
12,078,700,000 KRW | 8,781,846 USD | Morgan Stanley | 09/19/2024 | — | (4,321 ) |
107,901,000 NOK | 9,806,097 USD | State Street | 06/04/2024 | — | (473,811 ) |
47,462,000 AUD | 31,689,191 USD | UBS | 06/26/2024 | 89,466 | — |
32,698,074 USD | 44,652,000 CAD | UBS | 06/26/2024 | 77,678 | — |
31,794,600 USD | 333,457,000 NOK | UBS | 06/26/2024 | — | (7,715 ) |
20,269,000 AUD | 13,537,462 USD | Wells Fargo | 06/04/2024 | 51,483 | — |
17,563,000 CHF | 19,395,914 USD | Wells Fargo | 06/04/2024 | — | (67,709 ) |
234,000 AUD | 156,028 USD | Wells Fargo | 06/26/2024 | 233 | — |
1,509,000 CAD | 1,108,575 USD | Wells Fargo | 06/26/2024 | 929 | — |
180,000 CHF | 198,288 USD | Wells Fargo | 06/26/2024 | — | (1,708 ) |
143,410,000 JPY | 923,525 USD | Wells Fargo | 06/26/2024 | 8,463 | — |
18,472,000 SEK | 1,734,715 USD | Wells Fargo | 06/26/2024 | — | (22,494 ) |
32,857,572 USD | 5,088,160,000 JPY | Wells Fargo | 06/26/2024 | — | (391,356 ) |
124,301 USD | 202,000 NZD | Wells Fargo | 06/26/2024 | — | (132 ) |
19,479,274 USD | 17,563,000 CHF | Wells Fargo | 07/12/2024 | 71,554 | — |
Total | 27,333,738 | (26,234,660 ) |
Long futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
10-Year Mini Japanese Government Bond | 3 | 06/2024 | JPY | 42,891,000 | — | (4,844 ) |
Australian 10-Year Bond | 173 | 06/2024 | AUD | 19,490,116 | — | (430,400 ) |
Australian 10-Year Bond | 693 | 06/2024 | AUD | 78,073,124 | — | (1,008,659 ) |
Bist 30 Index | 1,076 | 06/2024 | TRY | 126,747,420 | 142,328 | — |
Brent Crude | 47 | 06/2024 | USD | 3,812,170 | — | (76,631 ) |
Brent Crude | 29 | 09/2024 | USD | 2,324,640 | — | (31,177 ) |
Brent Crude | 59 | 11/2024 | USD | 4,686,960 | — | (217,760 ) |
Brent Crude | 30 | 01/2025 | USD | 2,362,800 | — | (15,384 ) |
CAC40 Index | 27 | 06/2024 | EUR | 2,158,380 | — | (50,918 ) |
Canadian Government 10-Year Bond | 228 | 09/2024 | CAD | 27,104,640 | — | (56,875 ) |
Cocoa | 4 | 07/2024 | USD | 373,240 | 5,696 | — |
Cocoa | 9 | 07/2024 | GBP | 669,960 | — | (17,667 ) |
Cocoa | 62 | 09/2024 | USD | 5,323,320 | 243,953 | — |
Long futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Cocoa | 2 | 09/2024 | GBP | 138,200 | 1,603 | — |
Cocoa | 1 | 09/2024 | USD | 85,860 | 1,097 | — |
Coffee | 12 | 07/2024 | USD | 1,000,575 | 98,274 | — |
Coffee | 14 | 09/2024 | USD | 1,161,563 | 189,890 | — |
Coffee | 27 | 12/2024 | USD | 2,225,475 | 209,552 | — |
Coffee | 2 | 12/2024 | USD | 164,850 | — | (3,063 ) |
Coffee | 15 | 03/2025 | USD | 1,229,344 | 128,095 | — |
Copper | 2 | 06/2024 | USD | 497,269 | — | (29,736 ) |
Copper | 17 | 07/2024 | USD | 1,955,850 | — | (148,038 ) |
Copper | 19 | 09/2024 | USD | 2,189,988 | 361,092 | — |
Copper | 38 | 12/2024 | USD | 4,398,500 | 409,805 | — |
Copper | 11 | 03/2025 | USD | 1,278,200 | 4,768 | — |
Copper | 8 | 03/2025 | USD | 929,600 | — | (330 ) |
Corn | 84 | 09/2024 | USD | 1,906,800 | — | (67,383 ) |
Corn | 162 | 12/2024 | USD | 3,782,700 | — | (49,051 ) |
Corn | 79 | 03/2025 | USD | 1,894,025 | — | (75,872 ) |
Cotton | 42 | 12/2024 | USD | 1,577,310 | — | (156,218 ) |
Cotton | 3 | 03/2025 | USD | 115,185 | 107 | — |
Cotton | 10 | 03/2025 | USD | 383,950 | — | (6,191 ) |
DAX Index | 7 | 06/2024 | EUR | 3,242,925 | 78,520 | — |
DJIA Index E-mini | 1 | 06/2024 | USD | 193,955 | — | (5,036 ) |
Euro STOXX 50 Index | 10 | 06/2024 | EUR | 498,400 | 10,170 | — |
Euro STOXX 50 Index | 10 | 06/2024 | EUR | 498,400 | — | (265 ) |
Euro-Bobl | 49 | 09/2024 | EUR | 5,654,110 | 4,772 | — |
Euro-Schatz | 3 | 09/2024 | EUR | 315,720 | 129 | — |
Feeder Cattle | 1 | 08/2024 | USD | 128,200 | 3,397 | — |
Feeder Cattle | 65 | 08/2024 | USD | 8,333,000 | — | (250,525 ) |
FTSE 100 Index | 134 | 06/2024 | GBP | 11,103,240 | 333,374 | — |
FTSE Taiwan Index | 3 | 06/2024 | USD | 215,700 | — | (5,686 ) |
FTSE/MIB Index | 43 | 06/2024 | EUR | 7,433,195 | 232,335 | — |
Gas Oil | 13 | 07/2024 | USD | 954,850 | — | (36,333 ) |
Gas Oil | 40 | 07/2024 | USD | 2,938,000 | — | (86,045 ) |
Gas Oil | 11 | 09/2024 | USD | 814,550 | — | (37,885 ) |
Gas Oil | 11 | 11/2024 | USD | 815,375 | — | (48,104 ) |
Gas Oil | 22 | 01/2025 | USD | 1,619,200 | — | (80,801 ) |
Gold 100 oz. | 8 | 08/2024 | USD | 1,876,640 | — | (21,969 ) |
Gold 100 oz. | 18 | 08/2024 | USD | 4,222,440 | — | (93,750 ) |
Hard Red Winter Wheat | 20 | 09/2024 | USD | 723,250 | 105,522 | — |
Hard Red Winter Wheat | 38 | 12/2024 | USD | 1,409,325 | 227,777 | — |
Hard Red Winter Wheat | 19 | 03/2025 | USD | 717,013 | 32,561 | — |
IBEX 35 Index | 137 | 06/2024 | EUR | 15,512,373 | 136,441 | — |
IBEX 35 Index | 93 | 06/2024 | EUR | 10,530,297 | 23,770 | — |
IFSC Nifty 50 Index | 102 | 06/2024 | USD | 4,628,352 | — | (31,694 ) |
Japanese 10-Year Government Bond | 18 | 06/2024 | JPY | 2,573,820,000 | — | (287,775 ) |
Japanese 10-Year Government Bond | 18 | 06/2024 | JPY | 2,573,820,000 | — | (291,433 ) |
KOSPI 200 Index | 117 | 06/2024 | KRW | 10,531,462,500 | — | (215,439 ) |
Lead | 12 | 07/2024 | USD | 674,520 | — | (16,972 ) |
Lead | 6 | 09/2024 | USD | 342,309 | 18,840 | — |
Lead | 6 | 11/2024 | USD | 345,309 | 18,982 | — |
Lead | 11 | 01/2025 | USD | 636,367 | 19,906 | — |
Lean Hogs | 26 | 10/2024 | USD | 862,160 | — | (24,510 ) |
Lean Hogs | 56 | 12/2024 | USD | 1,714,160 | — | (51,576 ) |
Lean Hogs | 11 | 02/2025 | USD | 354,640 | 375 | — |
Lean Hogs | 16 | 02/2025 | USD | 515,840 | — | (1,458 ) |
Live Cattle | 5 | 08/2024 | USD | 356,900 | 337 | — |
Live Cattle | 38 | 08/2024 | USD | 2,712,440 | — | (24,352 ) |
Live Cattle | 17 | 10/2024 | USD | 1,229,440 | — | (29,716 ) |
Live Cattle | 10 | 12/2024 | USD | 738,600 | 27,039 | — |
Long futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Live Cattle | 24 | 12/2024 | USD | 1,772,640 | — | (4,520 ) |
Live Cattle | 17 | 02/2025 | USD | 1,275,510 | 13,486 | — |
Long Gilt | 48 | 09/2024 | GBP | 4,623,360 | 31,926 | — |
Long Gilt | 352 | 09/2024 | GBP | 33,904,640 | — | (134,810 ) |
MSCI EAFE Index | 12 | 06/2024 | USD | 1,422,120 | 17,722 | — |
MSCI Emerging Markets Index | 72 | 06/2024 | USD | 3,803,400 | 33,104 | — |
MSCI Emerging Markets Index | 17 | 06/2024 | USD | 898,025 | — | (18,236 ) |
Natural Gas | 97 | 06/2024 | USD | 2,509,390 | 46,798 | — |
Natural Gas | 9 | 06/2024 | USD | 232,830 | — | (13,840 ) |
Natural Gas | 105 | 08/2024 | USD | 2,783,550 | 99,755 | — |
Natural Gas | 92 | 10/2024 | USD | 2,860,280 | 178,517 | — |
Natural Gas | 151 | 12/2024 | USD | 5,777,260 | 117,030 | — |
Nickel | 9 | 09/2024 | USD | 1,067,387 | 151,209 | — |
Nickel | 9 | 11/2024 | USD | 1,075,464 | 74,317 | — |
Nickel | 18 | 01/2025 | USD | 2,165,337 | 111,207 | — |
NY Harbor ULSD Heat Oil | 45 | 06/2024 | USD | 4,506,138 | — | (102,362 ) |
NY Harbor ULSD Heat Oil | 6 | 08/2024 | USD | 610,344 | — | (23,488 ) |
NY Harbor ULSD Heat Oil | 6 | 10/2024 | USD | 615,031 | — | (45,235 ) |
NY Harbor ULSD Heat Oil | 12 | 12/2024 | USD | 1,233,439 | — | (67,711 ) |
OMXS30 Index | 416 | 06/2024 | SEK | 108,555,200 | — | (94,926 ) |
Primary Aluminum | 6 | 06/2024 | USD | 393,171 | 5,153 | — |
Primary Aluminum | 24 | 09/2024 | USD | 1,598,982 | 215,068 | — |
Primary Aluminum | 13 | 09/2024 | USD | 866,115 | — | (26,429 ) |
Primary Aluminum | 24 | 11/2024 | USD | 1,615,284 | 197,553 | — |
Primary Aluminum | 48 | 01/2025 | USD | 3,252,600 | 157,490 | — |
RBOB Gasoline | 5 | 06/2024 | USD | 507,654 | — | (7,908 ) |
RBOB Gasoline | 76 | 06/2024 | USD | 7,716,341 | — | (269,700 ) |
RBOB Gasoline | 1 | 08/2024 | USD | 99,368 | 5,176 | — |
RBOB Gasoline | 7 | 08/2024 | USD | 695,575 | — | (18,871 ) |
RBOB Gasoline | 8 | 10/2024 | USD | 718,133 | — | (23,777 ) |
RBOB Gasoline | 17 | 12/2024 | USD | 1,491,189 | — | (51,469 ) |
S&P 500 Index E-mini | 51 | 06/2024 | USD | 13,503,525 | 208,808 | — |
S&P 500 Index E-mini | 49 | 06/2024 | USD | 12,973,975 | 167,023 | — |
S&P 500 Index E-mini | 16 | 06/2024 | USD | 4,236,400 | — | (22,297 ) |
Soybean | 5 | 07/2024 | USD | 301,250 | — | (2,577 ) |
Soybean | 60 | 11/2024 | USD | 3,553,500 | 36,198 | — |
Soybean | 7 | 11/2024 | USD | 414,575 | — | (5,066 ) |
Soybean | 66 | 01/2025 | USD | 3,951,750 | — | (41,555 ) |
Soybean Meal | 68 | 12/2024 | USD | 2,443,920 | 69,853 | — |
Soybean Meal | 47 | 01/2025 | USD | 1,692,940 | 27,950 | — |
Soybean Meal | 21 | 01/2025 | USD | 756,420 | — | (27,837 ) |
Soybean Oil | 112 | 07/2024 | USD | 3,058,944 | — | (31,282 ) |
Soybean Oil | 78 | 12/2024 | USD | 2,155,608 | — | (24,415 ) |
Soybean Oil | 24 | 01/2025 | USD | 665,136 | 19,356 | — |
Soybean Oil | 54 | 01/2025 | USD | 1,496,556 | — | (51,323 ) |
Sugar #11 | 189 | 06/2024 | USD | 3,873,744 | — | (75,107 ) |
Sugar #11 | 40 | 09/2024 | USD | 819,392 | — | (184,501 ) |
Sugar #11 | 120 | 02/2025 | USD | 2,494,464 | — | (315,835 ) |
TOPIX Index | 162 | 06/2024 | JPY | 4,490,640,000 | 643,177 | — |
TOPIX Index | 43 | 06/2024 | JPY | 1,191,960,000 | 152,516 | — |
U.S. Treasury 10-Year Note | 44 | 09/2024 | USD | 4,787,063 | 26,537 | — |
U.S. Treasury 10-Year Note | 106 | 09/2024 | USD | 11,532,469 | — | (25,745 ) |
U.S. Treasury 2-Year Note | 276 | 09/2024 | USD | 56,222,063 | 5,972 | — |
U.S. Treasury 5-Year Note | 1,000 | 09/2024 | USD | 105,796,875 | — | (79,285 ) |
Wheat | 45 | 07/2024 | USD | 1,526,625 | 77,697 | — |
Wheat | 31 | 09/2024 | USD | 1,084,225 | 122,062 | — |
Wheat | 60 | 12/2024 | USD | 2,170,500 | 313,518 | — |
Wheat | 29 | 03/2025 | USD | 1,073,363 | 32,306 | — |
Long futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
WTI Crude | 13 | 06/2024 | USD | 1,000,870 | — | (15,689 ) |
WTI Crude | 66 | 06/2024 | USD | 5,081,340 | — | (78,378 ) |
WTI Crude | 8 | 08/2024 | USD | 611,200 | 27,728 | — |
WTI Crude | 22 | 08/2024 | USD | 1,680,800 | — | (1,149 ) |
WTI Crude | 30 | 10/2024 | USD | 2,267,100 | — | (44,538 ) |
WTI Crude | 62 | 12/2024 | USD | 4,636,980 | — | (145,409 ) |
Yen Denominated Nikkei 225 Index | 1 | 06/2024 | JPY | 19,317,500 | 2,048 | — |
Zinc | 5 | 07/2024 | USD | 368,554 | — | (9,545 ) |
Zinc | 13 | 09/2024 | USD | 967,704 | 153,834 | — |
Zinc | 13 | 11/2024 | USD | 971,604 | 127,201 | — |
Zinc | 26 | 01/2025 | USD | 1,948,570 | 103,481 | — |
Total | 6,843,283 | (6,172,336 ) |
Short futures contracts | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Amsterdam Index | (9) | 06/2024 | EUR | (1,629,846 ) | 13,254 | — |
Australian 10-Year Bond | (141) | 06/2024 | AUD | (15,885,008 ) | 192,412 | — |
Australian 3-Year Bond | (36) | 06/2024 | AUD | (3,796,444 ) | 27,511 | — |
Brent Crude | (62) | 07/2024 | USD | (5,013,940 ) | 83,924 | — |
CAC40 Index | (92) | 06/2024 | EUR | (7,354,480 ) | 95,329 | — |
CAC40 Index | (39) | 06/2024 | EUR | (3,117,660 ) | 70,250 | — |
Canadian Government 10-Year Bond | (167) | 09/2024 | CAD | (19,852,960 ) | 47,688 | — |
Canadian Government 10-Year Bond | (168) | 09/2024 | CAD | (19,971,840 ) | — | (39,860 ) |
Coffee | (74) | 07/2024 | USD | (6,170,213 ) | — | (315,240 ) |
Coffee | (36) | 07/2024 | USD | (3,001,725 ) | — | (383,914 ) |
Copper | (3) | 07/2024 | USD | (345,150 ) | — | (20,617 ) |
Copper | (109) | 07/2024 | USD | (12,540,450 ) | — | (627,657 ) |
Corn | (598) | 07/2024 | USD | (13,342,875 ) | 191,472 | — |
Corn | (97) | 07/2024 | USD | (2,164,313 ) | 39,692 | — |
Corn | (197) | 07/2024 | USD | (4,395,563 ) | — | (17,059 ) |
Cotton | (39) | 07/2024 | USD | (1,484,925 ) | 101,260 | — |
Cotton | (33) | 07/2024 | USD | (1,256,475 ) | 91,431 | — |
Cotton | (7) | 07/2024 | USD | (266,525 ) | 10,398 | — |
Cotton | (1) | 12/2024 | USD | (37,555 ) | 262 | — |
DAX Index | (49) | 06/2024 | EUR | (22,700,475 ) | — | (240,784 ) |
Euro STOXX 50 Index | (257) | 06/2024 | EUR | (12,808,880 ) | — | (11,510 ) |
Euro-BTP | (9) | 09/2024 | EUR | (1,045,980 ) | — | (2,083 ) |
Euro-Bund | (407) | 09/2024 | EUR | (52,901,860 ) | — | (52,107 ) |
Euro-Bund | (169) | 09/2024 | EUR | (21,966,620 ) | — | (80,530 ) |
Euro-Buxl 30-Year | (9) | 09/2024 | EUR | (1,152,180 ) | — | (5,460 ) |
Euro-OAT | (14) | 09/2024 | EUR | (1,740,340 ) | — | (170 ) |
Euro-OAT | (146) | 09/2024 | EUR | (18,149,260 ) | — | (22,500 ) |
FTSE 100 Index | (70) | 06/2024 | GBP | (5,800,200 ) | — | (297,632 ) |
FTSE 100 Index | (154) | 06/2024 | GBP | (12,760,440 ) | — | (1,041,490 ) |
FTSE China A50 Index | (517) | 06/2024 | USD | (6,391,154 ) | 116,481 | — |
FTSE Taiwan Index | (17) | 06/2024 | USD | (1,222,300 ) | 30,679 | — |
FTSE/JSE Top 40 Index | (53) | 06/2024 | ZAR | (37,503,860 ) | 20,156 | — |
FTSE/JSE Top 40 Index | (247) | 06/2024 | ZAR | (174,782,140 ) | — | (148,585 ) |
Hard Red Winter Wheat | (27) | 07/2024 | USD | (956,813 ) | — | (133,684 ) |
Hard Red Winter Wheat | (131) | 07/2024 | USD | (4,642,313 ) | — | (522,292 ) |
IFSC Nifty 50 Index | (177) | 06/2024 | USD | (8,031,552 ) | 55,217 | — |
Japanese 10-Year Government Bond | (44) | 06/2024 | JPY | (6,291,560,000 ) | 298,893 | — |
KLCI Index | (68) | 06/2024 | MYR | (5,450,200 ) | 6,826 | — |
Lean Hogs | (124) | 07/2024 | USD | (4,817,400 ) | 63,965 | — |
Lean Hogs | (27) | 07/2024 | USD | (1,048,950 ) | 41,883 | — |
Lean Hogs | (76) | 08/2024 | USD | (2,933,600 ) | — | (28,504 ) |
Short futures contracts (continued) | ||||||
Description | Number of contracts | Expiration date | Trading currency | Notional amount | Value/Unrealized appreciation ($) | Value/Unrealized depreciation ($) |
Live Cattle | (98) | 08/2024 | USD | (6,995,240 ) | — | (143,333 ) |
Mexican Bolsa IPC Index | (182) | 06/2024 | MXN | (101,131,940 ) | 139,703 | — |
Mexican Bolsa IPC Index | (20) | 06/2024 | MXN | (11,113,400 ) | 13,289 | — |
MSCI Singapore Index | (553) | 06/2024 | SGD | (17,082,170 ) | 54,347 | — |
NASDAQ 100 Index E-mini | (1) | 06/2024 | USD | (371,820 ) | 3,454 | — |
Natural Gas | (692) | 06/2024 | USD | (17,902,040 ) | — | (1,470,092 ) |
Nickel | (3) | 06/2024 | USD | (351,450 ) | — | (13,257 ) |
Nickel | (11) | 07/2024 | USD | (1,294,260 ) | 24,526 | — |
Nickel | (63) | 07/2024 | USD | (7,412,580 ) | — | (564,214 ) |
Nickel | (3) | 09/2024 | USD | (355,796 ) | 6,715 | — |
Nikkei 225 Index | (6) | 06/2024 | JPY | (230,940,000 ) | — | (2,562 ) |
NY Harbor ULSD Heat Oil | (31) | 06/2024 | USD | (3,104,228 ) | 111,721 | — |
NY Harbor ULSD Heat Oil | (10) | 06/2024 | USD | (1,001,364 ) | 41,589 | — |
OMXS30 Index | (21) | 06/2024 | SEK | (5,479,950 ) | — | (2,941 ) |
Palladium | (6) | 09/2024 | USD | (547,740 ) | 56,177 | — |
Platinum | (17) | 07/2024 | USD | (885,700 ) | 9,760 | — |
Primary Aluminum | (24) | 07/2024 | USD | (1,585,536 ) | 50,608 | — |
Primary Aluminum | (159) | 07/2024 | USD | (10,504,176 ) | — | (593,807 ) |
RBOB Gasoline | (18) | 06/2024 | USD | (1,827,554 ) | 53,932 | — |
S&P Mid 400 Index E-mini | (4) | 06/2024 | USD | (1,196,760 ) | — | (23,076 ) |
S&P/TSX 60 Index | (101) | 06/2024 | CAD | (26,954,880 ) | 18,973 | — |
S&P/TSX 60 Index | (7) | 06/2024 | CAD | (1,868,160 ) | — | (14,761 ) |
S&P/TSX 60 Index | (46) | 06/2024 | CAD | (12,276,480 ) | — | (97,154 ) |
Silver | (23) | 07/2024 | USD | (3,500,600 ) | — | (210,110 ) |
Soybean | (10) | 07/2024 | USD | (602,500 ) | 6,605 | — |
Soybean | (151) | 07/2024 | USD | (9,097,750 ) | — | (23,850 ) |
Soybean | (36) | 07/2024 | USD | (2,169,000 ) | — | (47,938 ) |
Soybean Meal | (103) | 07/2024 | USD | (3,756,410 ) | 27,306 | — |
Soybean Meal | (1) | 07/2024 | USD | (36,470 ) | 324 | — |
Soybean Oil | (131) | 07/2024 | USD | (3,577,872 ) | 125,877 | — |
Soybean Oil | (43) | 07/2024 | USD | (1,174,416 ) | 49,868 | — |
Soybean Oil | (27) | 07/2024 | USD | (737,424 ) | — | (7,492 ) |
SPI 200 Index | (216) | 06/2024 | AUD | (41,682,600 ) | 168,531 | — |
SPI 200 Index | (64) | 06/2024 | AUD | (12,350,400 ) | — | (86,299 ) |
Sugar #11 | (234) | 06/2024 | USD | (4,796,064 ) | 85,119 | — |
Sugar #11 | (73) | 06/2024 | USD | (1,496,208 ) | 5,030 | — |
Thai SET50 Index | (1,911) | 06/2024 | THB | (315,506,100 ) | 164,498 | — |
U.S. Long Bond | (308) | 09/2024 | USD | (35,747,250 ) | 286,199 | — |
U.S. Treasury 10-Year Note | (2,459) | 09/2024 | USD | (267,531,516 ) | 582,563 | — |
U.S. Treasury 2-Year Note | (189) | 09/2024 | USD | (38,499,891 ) | 28,092 | — |
U.S. Treasury 5-Year Note | (209) | 09/2024 | USD | (22,111,547 ) | 40,682 | — |
U.S. Treasury Ultra Bond | (44) | 09/2024 | USD | (5,387,250 ) | 68,529 | — |
U.S. Treasury Ultra Bond | (65) | 09/2024 | USD | (7,958,438 ) | — | (8,232 ) |
Wheat | (13) | 07/2024 | USD | (441,025 ) | — | (68,678 ) |
Wheat | (229) | 07/2024 | USD | (7,768,825 ) | — | (961,630 ) |
WIG 20 Index | (331) | 06/2024 | PLN | (16,490,420 ) | 101,927 | — |
WTI Crude | (71) | 06/2024 | USD | (5,466,290 ) | 163,776 | — |
Zinc | (2) | 06/2024 | USD | (146,464 ) | — | (9,419 ) |
Zinc | (33) | 07/2024 | USD | (2,432,455 ) | 104,129 | — |
Zinc | (7) | 09/2024 | USD | (521,071 ) | 14,524 | — |
Total | 4,207,356 | (8,340,523 ) |
Call option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 7,000,000 | 7,000,000 | 3.75 | 11/18/2024 | 186,200 | 72,761 |
10-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 12,000,000 | 12,000,000 | 3.80 | 04/10/2025 | 368,400 | 243,510 |
10-Year OTC interest rate swap with Morgan Stanley to receive exercise rate and pay SOFR | Morgan Stanley | USD | 20,000,000 | 20,000,000 | 3.75 | 09/20/2024 | 600,000 | 123,108 |
10-Year OTC interest rate swap with Morgan Stanley to receive exercise rate and pay SOFR | Morgan Stanley | USD | 25,000,000 | 25,000,000 | 4.00 | 11/06/2024 | 750,000 | 423,195 |
10-Year OTC interest rate swap with Morgan Stanley to receive exercise rate and pay SOFR | Morgan Stanley | USD | 5,000,000 | 5,000,000 | 3.75 | 11/29/2024 | 158,500 | 56,081 |
5-Year OTC interest rate swap with Citi to receive exercise rate and pay SOFR | Citi | USD | 23,000,000 | 23,000,000 | 3.80 | 09/20/2024 | 295,550 | 88,214 |
5-Year OTC interest rate swap with Morgan Stanley to receive exercise rate and pay SOFR | Morgan Stanley | USD | 25,000,000 | 25,000,000 | 4.00 | 05/07/2025 | 522,500 | 420,860 |
Total | 2,881,150 | 1,427,729 |
Put option contracts purchased | ||||||||
Description | Counterparty | Trading currency | Notional amount | Number of contracts | Exercise price/Rate | Expiration date | Cost ($) | Value ($) |
10-Year OTC interest rate swap with Citi to receive SOFR and pay exercise rate | Citi | USD | 5,000,000 | 5,000,000 | 4.50 | 04/25/2025 | 122,750 | 79,208 |
10-Year OTC interest rate swap with Goldman Sachs International to receive SOFR and pay exercise rate | Goldman Sachs International | USD | 20,000,000 | 20,000,000 | 4.50 | 04/16/2025 | 471,000 | 311,194 |
10-Year OTC interest rate swap with Morgan Stanley to receive SOFR and pay exercise rate | Morgan Stanley | USD | 8,000,000 | 8,000,000 | 4.50 | 04/28/2025 | 188,000 | 127,150 |
5-Year OTC interest rate swap with Citi to receive SOFR and pay exercise rate | Citi | USD | 9,000,000 | 9,000,000 | 4.50 | 10/07/2024 | 46,647 | 48,392 |
5-Year OTC interest rate swap with Citi to receive SOFR and pay exercise rate | Citi | USD | 30,000,000 | 30,000,000 | 4.50 | 10/10/2024 | 228,000 | 164,883 |
5-Year OTC interest rate swap with Morgan Stanley to receive SOFR and pay exercise rate | Morgan Stanley | USD | 30,000,000 | 30,000,000 | 4.50 | 10/02/2024 | 145,500 | 157,248 |
Total | 1,201,897 | 888,075 |
Cleared interest rate swap contracts | |||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
3-Month NZD Bank Bill | Fixed rate of 5.000% | Receives Quarterly, Pays SemiAnnually | JPMorgan | 06/10/2026 | NZD | 103,300,000 | 87,127 | — | — | 87,127 | — |
3-Month AUD BBSW | Fixed rate of 4.000% | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 06/11/2026 | AUD | 194,800,000 | 888,590 | — | — | 888,590 | — |
3-Month SEK STIBOR | Fixed rate of 3.000% | Receives Quarterly, Pays Annually | JPMorgan | 06/17/2026 | SEK | 659,300,000 | 117,334 | — | — | 117,334 | — |
CORRA | Fixed rate of 4.000% | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 06/17/2026 | CAD | 45,100,000 | 10,222 | — | — | 10,222 | — |
SOFR | Fixed rate of 4.500% | Receives Annually, Pays Annually | JPMorgan | 06/17/2026 | USD | 4,400,000 | 6,757 | — | — | 6,757 | — |
6-Month NOK NIBOR | Fixed rate of 4.500% | Receives SemiAnnually, Pays Annually | JPMorgan | 06/17/2026 | NOK | 39,400,000 | (5,433 ) | — | — | — | (5,433 ) |
SOFR | Fixed rate of 4.500% | Receives Annually, Pays Annually | JPMorgan | 06/17/2026 | USD | 22,800,000 | (20,420 ) | — | — | — | (20,420 ) |
Fixed rate of 4.500% | SONIA | Receives Annually, Pays Annually | JPMorgan | 06/17/2026 | GBP | 11,500,000 | (20,904 ) | — | — | — | (20,904 ) |
Cleared interest rate swap contracts (continued) | |||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Fixed rate of 0.500% | TONA | Receives Annually, Pays Annually | JPMorgan | 06/17/2026 | JPY | 1,681,600,000 | (27,391 ) | — | — | — | (27,391 ) |
Fixed rate of 1.000% | SARON | Receives Annually, Pays Annually | JPMorgan | 06/17/2026 | CHF | 220,600,000 | (1,161,229 ) | — | — | — | (1,161,229 ) |
3-Month AUD BBSW | Fixed rate of 4.000% | Receives Quarterly, Pays Quarterly | JPMorgan | 09/10/2026 | AUD | 79,400,000 | 370,110 | — | — | 370,110 | — |
3-Month SEK STIBOR | Fixed rate of 3.000% | Receives Quarterly, Pays Annually | JPMorgan | 09/16/2026 | SEK | 1,647,200,000 | 750,415 | — | — | 750,415 | — |
SOFR | Fixed rate of 4.500% | Receives Annually, Pays Annually | JPMorgan | 09/16/2026 | USD | 198,200,000 | 333,749 | — | — | 333,749 | — |
3-Month NZD Bank Bill | Fixed rate of 5.000% | Receives Quarterly, Pays SemiAnnually | JPMorgan | 09/16/2026 | NZD | 72,200,000 | 38,905 | — | — | 38,905 | — |
Fixed rate of 4.500% | SONIA | Receives Annually, Pays Annually | JPMorgan | 09/16/2026 | GBP | 14,800,000 | 14,058 | — | — | 14,058 | — |
3-Month SEK STIBOR | Fixed rate of 3.000% | Receives Quarterly, Pays Annually | JPMorgan | 09/16/2026 | SEK | 3,000,000 | (60 ) | — | — | — | (60 ) |
6-Month NOK NIBOR | Fixed rate of 4.500% | Receives SemiAnnually, Pays Annually | JPMorgan | 09/16/2026 | NOK | 268,700,000 | (66,842 ) | — | — | — | (66,842 ) |
CORRA | Fixed rate of 4.000% | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 09/16/2026 | CAD | 93,500,000 | (161,390 ) | — | — | — | (161,390 ) |
SOFR | Fixed rate of 4.500% | Receives Annually, Pays Annually | JPMorgan | 09/16/2026 | USD | 273,800,000 | (311,021 ) | — | — | — | (311,021 ) |
Fixed rate of 0.500% | TONA | Receives Annually, Pays Annually | JPMorgan | 09/16/2026 | JPY | 22,200,600,000 | (396,823 ) | — | — | — | (396,823 ) |
Fixed rate of 3.000% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | JPMorgan | 09/16/2026 | EUR | 126,600,000 | (411,072 ) | — | — | — | (411,072 ) |
Fixed rate of 4.500% | SONIA | Receives Annually, Pays Annually | JPMorgan | 09/16/2026 | GBP | 261,300,000 | (498,512 ) | — | — | — | (498,512 ) |
Fixed rate of 1.000% | SARON | Receives Annually, Pays Annually | JPMorgan | 09/16/2026 | CHF | 180,600,000 | (1,187,938 ) | — | — | — | (1,187,938 ) |
Fixed rate of 1.000% | SARON | Receives Annually, Pays Annually | JPMorgan | 12/16/2026 | CHF | 4,200,000 | — | — | — | — | — |
Fixed rate of 3.000% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | JPMorgan | 12/16/2026 | EUR | 7,700,000 | — | — | — | — | — |
Fixed rate of 4.500% | SONIA | Receives Annually, Pays Annually | JPMorgan | 12/16/2026 | GBP | 6,400,000 | — | — | — | — | — |
SOFR | Fixed rate of 4.000% | Receives Annually, Pays Annually | JPMorgan | 06/20/2029 | USD | 500,000 | 8,770 | — | — | 8,770 | — |
CORRA | Fixed rate of 3.500% | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 06/20/2029 | CAD | 700,000 | 3,943 | — | — | 3,943 | — |
6-Month NOK NIBOR | Fixed rate of 4.000% | Receives SemiAnnually, Pays Annually | JPMorgan | 06/20/2029 | NOK | 1,100,000 | 1,152 | — | — | 1,152 | — |
6-Month AUD BBSW | Fixed rate of 4.500% | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 09/13/2029 | AUD | 100,000 | 298 | — | — | 298 | — |
6-Month AUD BBSW | Fixed rate of 4.500% | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 09/13/2029 | AUD | 500,000 | (1,489 ) | — | — | — | (1,489 ) |
SONIA | Fixed rate of 4.000% | Receives Annually, Pays Annually | JPMorgan | 09/19/2029 | GBP | 7,100,000 | 91,857 | — | — | 91,857 | — |
TONA | Fixed rate of 0.500% | Receives Annually, Pays Annually | JPMorgan | 09/19/2029 | JPY | 350,000,000 | 13,606 | — | — | 13,606 | — |
Fixed rate of 4.000% | SOFR | Receives Annually, Pays Annually | JPMorgan | 09/19/2029 | USD | 4,300,000 | 10,901 | — | — | 10,901 | — |
6-Month NOK NIBOR | Fixed rate of 4.000% | Receives SemiAnnually, Pays Annually | JPMorgan | 09/19/2029 | NOK | 5,000,000 | 2,878 | — | — | 2,878 | — |
CORRA | Fixed rate of 3.500% | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 09/19/2029 | CAD | 400,000 | 1,636 | — | — | 1,636 | — |
Cleared interest rate swap contracts (continued) | |||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Fixed rate of 3.000% | 3-Month SEK STIBOR | Receives Annually, Pays Quarterly | JPMorgan | 09/19/2029 | SEK | 1,000,000 | 15 | — | — | 15 | — |
Fixed rate of 3.000% | 3-Month SEK STIBOR | Receives Annually, Pays Quarterly | JPMorgan | 09/19/2029 | SEK | 2,900,000 | (135 ) | — | — | — | (135 ) |
Fixed rate of 1.000% | SARON | Receives Annually, Pays Annually | JPMorgan | 09/19/2029 | CHF | 100,000 | (1,369 ) | — | — | — | (1,369 ) |
Fixed rate of 2.500% | 6-Month EURIBOR | Receives Annually, Pays SemiAnnually | JPMorgan | 09/19/2029 | EUR | 200,000 | (1,879 ) | — | — | — | (1,879 ) |
Fixed rate of 4.000% | SOFR | Receives Annually, Pays Annually | JPMorgan | 09/19/2029 | USD | 5,000,000 | (16,996 ) | — | — | — | (16,996 ) |
SONIA | Fixed rate of 4.000% | Receives Annually, Pays Annually | JPMorgan | 12/19/2029 | GBP | 900,000 | — | — | — | — | — |
6-Month EURIBOR | Fixed rate of 3.000% | Receives SemiAnnually, Pays Annually | JPMorgan | 12/19/2029 | EUR | 100,000 | — | — | — | — | — |
Fixed rate of 4.500% | 6-Month AUD BBSW | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 06/08/2034 | AUD | 44,900,000 | (440,879 ) | — | — | — | (440,879 ) |
Fixed rate of 4.500% | 3-Month NZD Bank Bill | Receives SemiAnnually, Pays Quarterly | JPMorgan | 06/14/2034 | NZD | 24,000,000 | (344,625 ) | — | — | — | (344,625 ) |
SARON | Fixed rate of 1.000% | Receives Annually, Pays Annually | JPMorgan | 06/21/2034 | CHF | 37,000,000 | 207,872 | — | — | 207,872 | — |
TONA | Fixed rate of 1.000% | Receives Annually, Pays Annually | JPMorgan | 06/21/2034 | JPY | 1,108,000,000 | 77,990 | — | — | 77,990 | — |
Fixed rate of 4.000% | SOFR | Receives Annually, Pays Annually | JPMorgan | 06/21/2034 | USD | 1,700,000 | 8,019 | — | — | 8,019 | — |
SONIA | Fixed rate of 4.000% | Receives Annually, Pays Annually | JPMorgan | 06/21/2034 | GBP | 200,000 | 1,334 | — | — | 1,334 | — |
Fixed rate of 3.000% | 3-Month SEK STIBOR | Receives Annually, Pays Quarterly | JPMorgan | 06/21/2034 | SEK | 5,800,000 | 696 | — | — | 696 | — |
6-Month NOK NIBOR | Fixed rate of 4.000% | Receives SemiAnnually, Pays Annually | JPMorgan | 06/21/2034 | NOK | 1,100,000 | (319 ) | — | — | — | (319 ) |
Fixed rate of 3.500% | CORRA | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 06/21/2034 | CAD | 1,700,000 | (9,940 ) | — | — | — | (9,940 ) |
Fixed rate of 3.000% | 3-Month SEK STIBOR | Receives Annually, Pays Quarterly | JPMorgan | 06/21/2034 | SEK | 88,700,000 | (97,619 ) | — | — | — | (97,619 ) |
Fixed rate of 4.500% | 6-Month AUD BBSW | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 09/07/2034 | AUD | 100,000 | 813 | — | — | 813 | — |
Fixed rate of 4.500% | 6-Month AUD BBSW | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 09/07/2034 | AUD | 26,900,000 | (240,863 ) | — | — | — | (240,863 ) |
Fixed rate of 4.500% | 3-Month NZD Bank Bill | Receives SemiAnnually, Pays Quarterly | JPMorgan | 09/13/2034 | NZD | 1,700,000 | 6,884 | — | — | 6,884 | — |
Fixed rate of 4.500% | 3-Month NZD Bank Bill | Receives SemiAnnually, Pays Quarterly | JPMorgan | 09/13/2034 | NZD | 20,700,000 | (172,811 ) | — | — | — | (172,811 ) |
TONA | Fixed rate of 1.000% | Receives Annually, Pays Annually | JPMorgan | 09/20/2034 | JPY | 6,862,500,000 | 815,237 | — | — | 815,237 | — |
Fixed rate of 4.000% | SOFR | Receives Annually, Pays Annually | JPMorgan | 09/20/2034 | USD | 48,800,000 | 384,043 | — | — | 384,043 | — |
SONIA | Fixed rate of 4.000% | Receives Annually, Pays Annually | JPMorgan | 09/20/2034 | GBP | 60,300,000 | 361,743 | — | — | 361,743 | — |
SARON | Fixed rate of 1.000% | Receives Annually, Pays Annually | JPMorgan | 09/20/2034 | CHF | 22,200,000 | 335,289 | — | — | 335,289 | — |
Fixed rate of 3.500% | CORRA | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 09/20/2034 | CAD | 24,200,000 | 184,151 | — | — | 184,151 | — |
6-Month EURIBOR | Fixed rate of 2.500% | Receives SemiAnnually, Pays Annually | JPMorgan | 09/20/2034 | EUR | 18,800,000 | 181,895 | — | — | 181,895 | — |
Fixed rate of 4.000% | 6-Month NOK NIBOR | Receives Annually, Pays SemiAnnually | JPMorgan | 09/20/2034 | NOK | 68,100,000 | 26,311 | — | — | 26,311 | — |
Cleared interest rate swap contracts (continued) | |||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
6-Month EURIBOR | Fixed rate of 2.500% | Receives SemiAnnually, Pays Annually | JPMorgan | 09/20/2034 | EUR | 100,000 | (9 ) | — | — | — | (9 ) |
SONIA | Fixed rate of 4.000% | Receives Annually, Pays Annually | JPMorgan | 09/20/2034 | GBP | 500,000 | (184 ) | — | — | — | (184 ) |
Fixed rate of 3.500% | CORRA | Receives SemiAnnually, Pays SemiAnnually | JPMorgan | 09/20/2034 | CAD | 1,900,000 | (2,284 ) | — | — | — | (2,284 ) |
Fixed rate of 4.000% | SOFR | Receives Annually, Pays Annually | JPMorgan | 09/20/2034 | USD | 29,100,000 | (50,990 ) | — | — | — | (50,990 ) |
Fixed rate of 3.000% | 3-Month SEK STIBOR | Receives Annually, Pays Quarterly | JPMorgan | 09/20/2034 | SEK | 221,000,000 | (93,652 ) | — | — | — | (93,652 ) |
SARON | Fixed rate of 1.500% | Receives Annually, Pays Annually | JPMorgan | 12/20/2034 | CHF | 1,300,000 | — | — | — | — | — |
6-Month EURIBOR | Fixed rate of 3.000% | Receives SemiAnnually, Pays Annually | JPMorgan | 12/20/2034 | EUR | 1,900,000 | — | — | — | — | — |
SONIA | Fixed rate of 4.000% | Receives Annually, Pays Annually | JPMorgan | 12/20/2034 | GBP | 1,500,000 | — | — | — | — | — |
Fixed rate of 4.000% | SONIA | Receives Annually, Pays Annually | JPMorgan | 06/17/2054 | GBP | 200,000 | (9,705 ) | — | — | — | (9,705 ) |
6-Month EURIBOR | Fixed rate of 2.500% | Receives SemiAnnually, Pays Annually | JPMorgan | 09/16/2054 | EUR | 100,000 | (261 ) | — | — | — | (261 ) |
SOFR | Fixed rate of 4.000% | Receives Annually, Pays Annually | JPMorgan | 09/16/2054 | USD | 100,000 | (1,000 ) | — | — | — | (1,000 ) |
Fixed rate of 4.000% | SONIA | Receives Annually, Pays Annually | JPMorgan | 09/16/2054 | GBP | 5,100,000 | (269,139 ) | — | — | — | (269,139 ) |
Fixed rate of 4.000% | SONIA | Receives Annually, Pays Annually | JPMorgan | 12/16/2054 | GBP | 300,000 | — | — | — | — | — |
Fixed rate of 4.320% | 3-Month NZD Bank Bill | Receives SemiAnnually, Pays Quarterly | Morgan Stanley | 02/05/2034 | NZD | 12,000,000 | (118,940 ) | — | — | — | (118,940 ) |
Fixed rate of 2.763% | 3-Month SEK STIBOR | Receives Annually, Pays Quarterly | Morgan Stanley | 04/04/2034 | SEK | 127,900,000 | (116,939 ) | — | — | — | (116,939 ) |
Total | (916,462 ) | — | — | 5,344,600 | (6,261,062 ) |
Cleared credit default swap contracts - buy protection | |||||||||||
Reference entity | Counterparty | Maturity date | Pay fixed rate (%) | Payment frequency | Notional currency | Notional amount | Value ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CDX North America High Yield Index, Series 42 | Morgan Stanley | 06/20/2029 | 5.000 | Quarterly | USD | 6,000,000 | (57,314 ) | — | — | — | (57,314 ) |
Credit default swap contracts - sell protection | |||||||||||||
Reference entity | Counterparty | Maturity date | Receive fixed rate (%) | Payment frequency | Implied credit spread (%)* | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 13.196 | USD | 1,200,000 | (233,524 ) | 700 | — | (264,376 ) | 31,552 | — |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 13.196 | USD | 500,000 | (97,302 ) | 292 | — | (94,013 ) | — | (2,997 ) |
Markit CMBX North America Index, Series 10 BBB- | Morgan Stanley | 11/17/2059 | 3.000 | Monthly | 13.196 | USD | 2,000,000 | (389,208 ) | 1,167 | — | (299,510 ) | — | (88,531 ) |
Total | (720,034 ) | 2,159 | — | (657,899 ) | 31,552 | (91,528 ) |
Total return swap contracts | ||||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Increase in total return of TAIEX Index June Futures | Decrease in total return of TAIEX Index June Futures | At Termination | Goldman Sachs International | 06/19/2024 | TWD | 149,016,000 | 74,935 | — | — | — | 74,935 | — |
Decrease in total return of DTOP Index June Futures | Increase in total return of DTOP Index June Futures | At Termination | Goldman Sachs International | 06/20/2024 | ZAR | 2,238,560 | (2,852 ) | — | — | — | — | (2,852 ) |
Increase in total return of WIG 20 Index June Futures | Decrease in total return of WIG 20 Index June Futures | At Termination | Goldman Sachs International | 06/21/2024 | PLN | 1,145,860 | (8,318 ) | — | — | — | — | (8,318 ) |
1-Month ZAR JIBAR minus 0.005% | Total return on MSCI South Africa Net Return ZAR Index | Monthly | JPMorgan | 06/19/2024 | ZAR | 52,844,276 | 135,197 | 10,801 | — | — | 145,998 | — |
1-Month ZAR JIBAR minus 0.005% | Total return on MSCI South Africa Net Return ZAR Index | Monthly | JPMorgan | 06/19/2024 | ZAR | 32,331,028 | 82,716 | 6,608 | — | — | 89,324 | — |
Total return on MSCI Japan Net Return JPY Index | TONA plus 0.001% | Monthly | JPMorgan | 06/19/2024 | JPY | 675,945,753 | 70,097 | (331 ) | — | — | 69,766 | — |
28-Day MXN TIIE-Banxico minus 0.003% | Total return on MSCI Mexico Net Return MXN Index | Monthly | JPMorgan | 06/19/2024 | MXN | 14,478,699 | 35,595 | 3,596 | — | — | 39,191 | — |
Total return swap contracts (continued) | ||||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
28-Day MXN TIIE-Banxico minus 0.003% | Total return on MSCI Mexico Net Return MXN Index | Monthly | JPMorgan | 06/19/2024 | MXN | 13,461,606 | 33,095 | 3,343 | — | — | 36,438 | — |
1-Month ZAR JIBAR minus 0.005% | Total return on MSCI South Africa Net Return ZAR Index | Monthly | JPMorgan | 06/19/2024 | ZAR | 10,292,990 | 26,334 | 2,104 | — | — | 28,438 | — |
1-Month ZAR JIBAR minus 0.005% | Total return on MSCI South Africa Net Return ZAR Index | Monthly | JPMorgan | 06/19/2024 | ZAR | 11,966,517 | 26,766 | 1,529 | — | — | 28,295 | — |
Total return on MSCI Switzerland Net Return CHF Index | SARON minus 0.002% | Monthly | JPMorgan | 06/19/2024 | CHF | 1,340,418 | 22,694 | (60 ) | — | — | 22,634 | — |
Total return on MSCI Switzerland Net Return CHF Index | SARON minus 0.002% | Monthly | JPMorgan | 06/19/2024 | CHF | 1,410,215 | 22,031 | — | — | — | 22,031 | — |
1-Month ZAR JIBAR minus 0.005% | Total return on MSCI South Africa Net Return ZAR Index | Monthly | JPMorgan | 06/19/2024 | ZAR | 7,694,091 | 19,685 | 1,573 | — | — | 21,258 | — |
1-Month AUD BBSW plus 0.002% | Total return on MSCI Australia Net Return AUD Index | Monthly | JPMorgan | 06/19/2024 | AUD | 3,739,981 | 15,823 | 4,680 | — | — | 20,503 | — |
1-Month ZAR JIBAR minus 0.005% | Total return on MSCI South Africa Net Return ZAR Index | Monthly | JPMorgan | 06/19/2024 | ZAR | 7,184,962 | 18,382 | 1,469 | — | — | 19,851 | — |
28-Day MXN TIIE-Banxico minus 0.003% | Total return on MSCI Mexico Net Return MXN Index | Monthly | JPMorgan | 06/19/2024 | MXN | 7,026,936 | 17,275 | 1,745 | — | — | 19,020 | — |
28-Day MXN TIIE-Banxico minus 0.003% | Total return on MSCI Mexico Net Return MXN Index | Monthly | JPMorgan | 06/19/2024 | MXN | 6,228,484 | 15,312 | 1,547 | — | — | 16,859 | — |
28-Day MXN TIIE-Banxico minus 0.003% | Total return on MSCI Mexico Net Return MXN Index | Monthly | JPMorgan | 06/19/2024 | MXN | 5,865,928 | 14,421 | 1,457 | — | — | 15,878 | — |
28-Day MXN TIIE-Banxico minus 0.003% | Total return on MSCI Mexico Net Return MXN Index | Monthly | JPMorgan | 06/19/2024 | MXN | 5,536,584 | 13,611 | 1,375 | — | — | 14,986 | — |
Total return swap contracts (continued) | ||||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
28-Day MXN TIIE-Banxico minus 0.003% | Total return on MSCI Mexico Net Return MXN Index | Monthly | JPMorgan | 06/19/2024 | MXN | 5,214,158 | 12,819 | 1,480 | — | — | 14,299 | — |
1-Month ZAR JIBAR minus 0.005% | Total return on MSCI South Africa Net Return ZAR Index | Monthly | JPMorgan | 06/19/2024 | ZAR | 4,696,461 | 12,015 | 949 | — | — | 12,964 | — |
1-Month ZAR JIBAR minus 0.005% | Total return on MSCI South Africa Net Return ZAR Index | Monthly | JPMorgan | 06/19/2024 | ZAR | 4,697,760 | 12,019 | 930 | — | — | 12,949 | — |
1-Month ZAR JIBAR minus 0.005% | Total return on MSCI South Africa Net Return ZAR Index | Monthly | JPMorgan | 06/19/2024 | ZAR | 4,600,350 | 11,770 | 940 | — | — | 12,710 | — |
28-Day MXN TIIE-Banxico minus 0.003% | Total return on MSCI Mexico Net Return MXN Index | Monthly | JPMorgan | 06/19/2024 | MXN | 4,584,529 | 11,271 | 1,301 | — | — | 12,572 | — |
1-Month ZAR JIBAR minus 0.005% | Total return on MSCI South Africa Net Return ZAR Index | Monthly | JPMorgan | 06/19/2024 | ZAR | 4,483,458 | 11,471 | 906 | — | — | 12,377 | — |
28-Day MXN TIIE-Banxico minus 0.003% | Total return on MSCI Mexico Net Return MXN Index | Monthly | JPMorgan | 06/19/2024 | MXN | 4,448,917 | 10,937 | 1,263 | — | — | 12,200 | — |
28-Day MXN TIIE-Banxico minus 0.003% | Total return on MSCI Mexico Net Return MXN Index | Monthly | JPMorgan | 06/19/2024 | MXN | 4,421,241 | 10,869 | 1,255 | — | — | 12,124 | — |
1-Month ZAR JIBAR minus 0.005% | Total return on MSCI South Africa Net Return ZAR Index | Monthly | JPMorgan | 06/19/2024 | ZAR | 4,292,534 | 10,982 | 877 | — | — | 11,859 | — |
1-Month ZAR JIBAR minus 0.005% | Total return on MSCI South Africa Net Return ZAR Index | Monthly | JPMorgan | 06/19/2024 | ZAR | 4,069,140 | 10,411 | 832 | — | — | 11,243 | — |
1-Month ZAR JIBAR minus 0.005% | Total return on MSCI South Africa Net Return ZAR Index | Monthly | JPMorgan | 06/19/2024 | ZAR | 3,954,846 | 10,118 | 808 | — | — | 10,926 | — |
1-Month ZAR JIBAR minus 0.005% | Total return on MSCI South Africa Net Return ZAR Index | Monthly | JPMorgan | 06/19/2024 | ZAR | 3,924,974 | 10,042 | 802 | — | — | 10,844 | — |
Total return swap contracts (continued) | ||||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
1-Month ZAR JIBAR minus 0.005% | Total return on MSCI South Africa Net Return ZAR Index | Monthly | JPMorgan | 06/19/2024 | ZAR | 3,840,552 | 9,826 | 785 | — | — | 10,611 | — |
1-Month ZAR JIBAR minus 0.005% | Total return on MSCI South Africa Net Return ZAR Index | Monthly | JPMorgan | 06/19/2024 | ZAR | 3,696,030 | 9,965 | 519 | — | — | 10,484 | — |
28-Day MXN TIIE-Banxico minus 0.003% | Total return on MSCI Mexico Net Return MXN Index | Monthly | JPMorgan | 06/19/2024 | MXN | 3,691,978 | 9,077 | 1,048 | — | — | 10,125 | — |
1-Month ZAR JIBAR minus 0.005% | Total return on MSCI South Africa Net Return ZAR Index | Monthly | JPMorgan | 06/19/2024 | ZAR | 3,588,584 | 9,182 | 733 | — | — | 9,915 | — |
1-Month ZAR JIBAR minus 0.005% | Total return on MSCI South Africa Net Return ZAR Index | Monthly | JPMorgan | 06/19/2024 | ZAR | 3,554,816 | 9,095 | 727 | — | — | 9,822 | — |
1-Month ZAR JIBAR minus 0.005% | Total return on MSCI South Africa Net Return ZAR Index | Monthly | JPMorgan | 06/19/2024 | ZAR | 3,434,027 | 8,786 | 526 | — | — | 9,312 | — |
SONIA minus 0.001% | Total return on MSCI United Kingdom Net Return GBP Index | Monthly | JPMorgan | 06/19/2024 | GBP | 297,467 | 6,973 | 878 | — | — | 7,851 | — |
28-Day MXN TIIE-Banxico minus 0.003% | Total return on MSCI Mexico Net Return MXN Index | Monthly | JPMorgan | 06/19/2024 | MXN | 2,818,801 | 6,930 | 800 | — | — | 7,730 | — |
1-Month ZAR JIBAR minus 0.005% | Total return on MSCI South Africa Net Return ZAR Index | Monthly | JPMorgan | 06/19/2024 | ZAR | 2,750,858 | 7,038 | 562 | — | — | 7,600 | — |
28-Day MXN TIIE-Banxico minus 0.003% | Total return on MSCI Mexico Net Return MXN Index | Monthly | JPMorgan | 06/19/2024 | MXN | 2,598,776 | 6,389 | 645 | — | — | 7,034 | — |
Total return on MSCI Japan Net Return JPY Index | TONA plus 0.001% | Monthly | JPMorgan | 06/19/2024 | JPY | 91,331,016 | 6,775 | (10 ) | — | — | 6,765 | — |
1-Month CAD Canada Bankers’ Acceptances minus 0.009% | Total return on MSCI Canada Net Return CAD Index | Monthly | JPMorgan | 06/19/2024 | CAD | 5,594,833 | (1,476 ) | 7,150 | — | — | 5,674 | — |
Total return swap contracts (continued) | ||||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
Total return on MSCI Switzerland Net Return CHF Index | SARON minus 0.002% | Monthly | JPMorgan | 06/19/2024 | CHF | 748,036 | 6,045 | (485 ) | — | — | 5,560 | — |
28-Day MXN TIIE-Banxico minus 0.003% | Total return on MSCI Mexico Net Return MXN Index | Monthly | JPMorgan | 06/19/2024 | MXN | 2,005,126 | 4,929 | 498 | — | — | 5,427 | — |
Total return on MSCI Spain Net Return EUR Index | ESTR minus 0.002% | Monthly | JPMorgan | 06/19/2024 | EUR | 210,725 | 3,044 | (24 ) | — | — | 3,020 | — |
1-Month ZAR JIBAR minus 0.005% | Total return on MSCI South Africa Net Return ZAR Index | Monthly | JPMorgan | 06/19/2024 | ZAR | 3,456,302 | 1,678 | — | — | — | 1,678 | — |
1-Month ZAR JIBAR minus 0.005% | Total return on MSCI South Africa Net Return ZAR Index | Monthly | JPMorgan | 06/19/2024 | ZAR | 3,496,801 | 1,399 | — | — | — | 1,399 | — |
28-Day MXN TIIE-Banxico minus 0.003% | Total return on MSCI Mexico Net Return MXN Index | Monthly | JPMorgan | 06/19/2024 | MXN | 5,581,411 | 700 | — | — | — | 700 | — |
1-Month CAD Canada Bankers’ Acceptances minus 0.009% | Total return on MSCI Canada Net Return CAD Index | Monthly | JPMorgan | 06/19/2024 | CAD | 908,482 | (363 ) | 1,054 | — | — | 691 | — |
Total return on MSCI Spain Net Return EUR Index | ESTR minus 0.002% | Monthly | JPMorgan | 06/19/2024 | EUR | 229,650 | 402 | — | — | — | 402 | — |
1-Month CAD Canada Bankers’ Acceptances minus 0.009% | Total return on MSCI Canada Net Return CAD Index | Monthly | JPMorgan | 06/19/2024 | CAD | 275,658 | (73 ) | 466 | — | — | 393 | — |
Total return on MSCI Spain Net Return EUR Index | ESTR minus 0.002% | Monthly | JPMorgan | 06/19/2024 | EUR | 191,648 | 90 | (68 ) | — | — | 22 | — |
28-Day MXN TIIE-Banxico minus 0.003% | Total return on MSCI Mexico Net Return MXN Index | Monthly | JPMorgan | 06/19/2024 | MXN | 8,104,736 | (16 ) | — | — | — | — | (16 ) |
Total return on MSCI Brazil Net Return BRL Index | Overnight BRL CDI plus 0.003% | Monthly | JPMorgan | 06/19/2024 | BRL | 512,894 | (322 ) | — | — | — | — | (322 ) |
Total return on MSCI Netherlands Net Return EUR Index | ESTR plus 0.003% | Monthly | JPMorgan | 06/19/2024 | EUR | 159,692 | (346 ) | (188 ) | — | — | — | (534 ) |
Total return swap contracts (continued) | ||||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
SORA minus 0.001% | Total return on MSCI Singapore Net Return SGD Index | Monthly | JPMorgan | 06/19/2024 | SGD | 138,101 | (1,181 ) | 163 | — | — | — | (1,018 ) |
1-Month PLN WIBOR minus 0.010% | Total return on MSCI Poland Net Return PLN Index | Monthly | JPMorgan | 06/19/2024 | PLN | 805,538 | (1,024 ) | — | — | — | — | (1,024 ) |
Total return on MSCI Spain Net Return EUR Index | ESTR minus 0.002% | Monthly | JPMorgan | 06/19/2024 | EUR | 268,690 | (1,019 ) | (506 ) | — | — | — | (1,525 ) |
SORA minus 0.001% | Total return on MSCI Singapore Net Return SGD Index | Monthly | JPMorgan | 06/19/2024 | SGD | 330,242 | (2,824 ) | 375 | — | — | — | (2,449 ) |
SORA minus 0.001% | Total return on MSCI Singapore Net Return SGD Index | Monthly | JPMorgan | 06/19/2024 | SGD | 456,334 | (3,902 ) | 472 | — | — | — | (3,430 ) |
Total return on MSCI Sweden Net Return SEK Index | 1-Month SEK STIBOR minus 0.011% | Monthly | JPMorgan | 06/19/2024 | SEK | 3,428,585 | (4,231 ) | (528 ) | — | — | — | (4,759 ) |
Total return on MSCI Brazil Net Return BRL Index | Overnight BRL CDI plus 0.003% | Monthly | JPMorgan | 06/19/2024 | BRL | 511,249 | (4,397 ) | (461 ) | — | — | — | (4,858 ) |
Total return on MSCI Brazil Net Return BRL Index | Overnight BRL CDI plus 0.003% | Monthly | JPMorgan | 06/19/2024 | BRL | 1,210,781 | (4,337 ) | (534 ) | — | — | — | (4,871 ) |
Total return on MSCI Sweden Net Return SEK Index | 1-Month SEK STIBOR minus 0.011% | Monthly | JPMorgan | 06/19/2024 | SEK | 3,568,528 | (4,403 ) | (549 ) | — | — | — | (4,952 ) |
Total return on MSCI Sweden Net Return SEK Index | 1-Month SEK STIBOR minus 0.011% | Monthly | JPMorgan | 06/19/2024 | SEK | 5,247,835 | (6,476 ) | (804 ) | — | — | — | (7,280 ) |
Total return on MSCI Brazil Net Return BRL Index | Overnight BRL CDI plus 0.003% | Monthly | JPMorgan | 06/19/2024 | BRL | 1,273,176 | (6,895 ) | (562 ) | — | — | — | (7,457 ) |
Total return on MSCI Spain Net Return EUR Index | ESTR minus 0.002% | Monthly | JPMorgan | 06/19/2024 | EUR | 1,630,653 | (6,183 ) | (2,687 ) | — | — | — | (8,870 ) |
Total return on MSCI Brazil Net Return BRL Index | Overnight BRL CDI plus 0.003% | Monthly | JPMorgan | 06/19/2024 | BRL | 1,581,915 | (13,039 ) | (959 ) | — | — | — | (13,998 ) |
Total return on MSCI Brazil Net Return BRL Index | Overnight BRL CDI plus 0.003% | Monthly | JPMorgan | 06/19/2024 | BRL | 3,538,026 | (30,426 ) | — | — | — | — | (30,426 ) |
Total return swap contracts (continued) | ||||||||||||
Fund receives | Fund pays | Payment frequency | Counterparty | Maturity date | Notional currency | Notional amount | Value ($) | Periodic payments receivable (payable) ($) | Upfront payments ($) | Upfront receipts ($) | Unrealized appreciation ($) | Unrealized depreciation ($) |
SORA minus 0.001% | Total return on MSCI Singapore Net Return SGD Index | Monthly | JPMorgan | 06/19/2024 | SGD | 6,130,492 | (52,418 ) | 7,240 | — | — | — | (45,178 ) |
Total return on MSCI Italy Net Return EUR Index | ESTR minus 0.008% | Monthly | JPMorgan | 06/19/2024 | EUR | 7,698,753 | (124,182 ) | (14,480 ) | — | — | — | (138,662 ) |
Total return on MSCI Brazil Net Return BRL Index | Overnight BRL CDI plus 0.003% | Monthly | JPMorgan | 06/19/2024 | BRL | 44,590,288 | (383,460 ) | (40,950 ) | — | — | — | (424,410 ) |
Increase in total return of Ibovespa Index June Futures | Decrease in total return of Ibovespa Index June Futures | At Termination | Morgan Stanley International | 06/12/2024 | BRL | 42,340,988 | (374,588 ) | — | — | — | — | (374,588 ) |
Increase in total return of Ibovespa Index June Futures | Decrease in total return of Ibovespa Index June Futures | At Termination | Morgan Stanley International | 06/12/2024 | BRL | 69,341,038 | (423,221 ) | — | — | — | — | (423,221 ) |
Increase in total return of KOSPI 200 Index June Futures | Decrease in total return of KOSPI 200 Index June Futures | At Termination | Morgan Stanley International | 06/13/2024 | KRW | 3,150,437,500 | (73,640 ) | — | — | — | — | (73,640 ) |
Increase in total return of KOSPI 200 Index June Futures | Decrease in total return of KOSPI 200 Index June Futures | At Termination | Morgan Stanley International | 06/13/2024 | KRW | 20,432,837,500 | (380,300 ) | — | — | — | — | (380,300 ) |
Increase in total return of Swiss Market Index June Futures | Decrease in total return of Swiss Market Index June Futures | At Termination | Morgan Stanley International | 06/21/2024 | CHF | 15,392,000 | 177,948 | — | — | — | 177,948 | — |
Increase in total return of Swiss Market Index June Futures | Decrease in total return of Swiss Market Index June Futures | At Termination | Morgan Stanley International | 06/21/2024 | CHF | 4,930,250 | 54,477 | — | — | — | 54,477 | — |
Total | (796,471 ) | 14,625 | — | — | 1,187,112 | (1,968,958 ) |
Reference index and values for swap contracts as of period end | ||
Reference index | Reference rate | |
1-Month AUD BBSW | Bank Bill Swap Rate | 4.280% |
1-Month CAD Canada Bankers’ Acceptances | Canada Bankers’ Acceptances | 5.228% |
1-Month PLN WIBOR | Warsaw Interbank Offer Rate | 5.850% |
1-Month SEK STIBOR | Stockholm Interbank Offered Rate | 3.751% |
1-Month ZAR JIBAR | Johannesburg Interbank Average Rate | 8.233% |
3-Month AUD BBSW | Bank Bill Swap Rate | 4.350% |
3-Month NZD Bank Bill | Bank Bill Rate | 5.625% |
3-Month SEK STIBOR | Stockholm Interbank Offered Rate | 3.751% |
Reference index and values for swap contracts as of period end (continued) | ||
Reference index | Reference rate | |
28-Day MXN TIIE-Banxico | Interbank Equilibrium Interest Rate | 11.247% |
6-Month AUD BBSW | Bank Bill Swap Rate | 4.603% |
6-Month EURIBOR | Euro Interbank Offered Rate | 3.745% |
6-Month NOK NIBOR | Norwegian Interbank Offered Rate | 3.745% |
ESTR | Euro Short Term Rate | 3.910% |
CORRA | Canadian Overnight Repo Rate Average | 5.010% |
Overnight BRL CDI | Interbank Certificate of Deposit | 10.400% |
SARON | Swiss Average Rate Overnight | 1.453% |
SOFR | Secured Overnight Financing Rate | 5.330% |
SONIA | Sterling Overnight Index Average | 5.200% |
SORA | Singapore Overnight Rate Average | 3.529% |
TONA | Tokyo Overnight Average Rate | 0.077% |
(a) | Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At May 31, 2024, the total value of these securities amounted to $108,619,081, which represents 20.13% of total net assets. |
(b) | Principal amount represents ownership shares of the Trust. |
(c) | Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At May 31, 2024, the total value of these securities amounted to $6,617,653, which represents 1.23% of total net assets. |
(d) | Security represents a pool of loans that generate cash payments generally over fixed periods of time. Such securities entitle the security holders to receive distributions (i.e. principal and interest, net of fees and expenses) that are tied to the payments made by the borrower on the underlying loans. Due to the structure of the security the cash payments received are not known until the time of payment. The interest rate shown is the stated coupon rate as of May 31, 2024 and is not reflective of the cash flow payments. |
(e) | Valuation based on significant unobservable inputs. |
(f) | Variable rate security. The interest rate shown was the current rate as of May 31, 2024. |
(g) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of May 31, 2024. |
(h) | Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans. |
(i) | Represents a security in default. |
(j) | Represents a security purchased on a when-issued basis. |
(k) | This security or a portion of this security has been pledged as collateral in connection with derivative contracts. |
(l) | The rate shown is the seven-day current annualized yield at May 31, 2024. |
(m) | As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the year ended May 31, 2024 are as follows: |
Affiliated issuers | Beginning of period($) | Purchases($) | Sales($) | Net change in unrealized appreciation (depreciation)($) | End of period($) | Realized gain (loss)($) | Dividends($) | End of period shares |
Columbia Short-Term Cash Fund, 5.547% | ||||||||
305,372,644 | 590,483,194 | (666,463,664 ) | 67,111 | 229,459,285 | 23,453 | 15,145,008 | 229,505,186 |
BBSW | Bank Bill Swap Rate |
CDI | CHESS Depository Interest |
CMO | Collateralized Mortgage Obligation |
SOFR | Secured Overnight Financing Rate |
STIBOR | Stockholm Interbank Offered Rate |
TBA | To Be Announced |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canada Dollar |
CHF | Swiss Franc |
CLP | Chilean Peso |
CNH | Yuan Offshore Renminbi |
COP | Colombian Peso |
CZK | Czech Koruna |
EUR | Euro |
GBP | British Pound |
HUF | Hungarian Forint |
IDR | Indonesian Rupiah |
ILS | Israeli Shekel |
INR | Indian Rupee |
JPY | Japanese Yen |
KRW | South Korean Won |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
PEN | Peruvian New Sol |
PHP | Philippine Peso |
PLN | Polish Zloty |
SEK | Swedish Krona |
SGD | Singapore Dollar |
THB | Thai Baht |
TRY | Turkish Lira |
TWD | New Taiwan Dollar |
USD | US Dollar |
ZAR | South African Rand |
Level 1 ($) | Level 2 ($) | Level 3 ($) | Total ($) | |
Investments in Securities | ||||
Asset-Backed Securities - Non-Agency | — | 19,934,034 | 2,424,850 | 22,358,884 |
Commercial Mortgage-Backed Securities - Agency | — | 369,989 | — | 369,989 |
Commercial Mortgage-Backed Securities - Non-Agency | — | 7,159,594 | — | 7,159,594 |
Residential Mortgage-Backed Securities - Agency | — | 205,494,184 | — | 205,494,184 |
Residential Mortgage-Backed Securities - Non-Agency | — | 75,774,681 | 5,876,179 | 81,650,860 |
Treasury Bills | — | 87,100,483 | — | 87,100,483 |
Call Option Contracts Purchased | — | 1,427,729 | — | 1,427,729 |
Put Option Contracts Purchased | — | 888,075 | — | 888,075 |
Money Market Funds | 229,459,285 | — | — | 229,459,285 |
Total Investments in Securities | 229,459,285 | 398,148,769 | 8,301,029 | 635,909,083 |
Investments in Derivatives | ||||
Asset | ||||
Forward Foreign Currency Exchange Contracts | — | 27,333,738 | — | 27,333,738 |
Futures Contracts | 11,050,639 | — | — | 11,050,639 |
Swap Contracts | — | 6,563,264 | — | 6,563,264 |
Liability | ||||
Forward Foreign Currency Exchange Contracts | — | (26,234,660 ) | — | (26,234,660 ) |
Futures Contracts | (14,512,859 ) | — | — | (14,512,859 ) |
Swap Contracts | — | (8,378,862 ) | — | (8,378,862 ) |
Total | 225,997,065 | 397,432,249 | 8,301,029 | 631,730,343 |
Balance as of 05/31/2023 ($) | Increase (decrease) in accrued discounts/ premiums ($) | Realized gain (loss) ($) | Change in unrealized appreciation (depreciation)(a) ($) | Purchases ($) | Sales ($) | Transfers into Level 3 ($) | Transfers out of Level 3 ($) | Balance as of 05/31/2024 ($) | |
Asset-Backed Securities — Non-Agency | 3,583,903 | (299,072 ) | (1,207,354 ) | 853,391 | 643,060 | (1,149,078 ) | — | — | 2,424,850 |
Residential Mortgage-Backed Securities — Non-Agency | 11,685,826 | 265,906 | 4,642 | 161,990 | 917,266 | (7,159,451 ) | — | — | 5,876,179 |
Total | 15,269,729 | (33,166 ) | (1,202,712 ) | 1,015,381 | 1,560,326 | (8,308,529 ) | — | — | 8,301,029 |
Valuation Technique | Value ($) | |
Asset-Backed Securities - Non-Agency | Single Market Quotes from Broker | 2,424,850 |
Residential Mortgage-Backed Securities - Non-Agency | Single Market Quotes from Broker | 5,876,179 |
Total | 8,301,029 |
Assets | |
Investments in securities, at value | |
Unaffiliated issuers (cost $420,796,656) | $404,133,994 |
Affiliated issuers (cost $229,442,671) | 229,459,285 |
Option contracts purchased (cost $4,083,047) | 2,315,804 |
Cash | 8,452,887 |
Foreign currency (cost $5,046,539) | 5,054,028 |
Cash collateral held at broker for: | |
Swap contracts | 6,430,000 |
TBA | 337,000 |
Other(a) | 10,900,000 |
Margin deposits on: | |
Futures contracts | 40,431,114 |
Swap contracts | 7,501,112 |
Unrealized appreciation on forward foreign currency exchange contracts | 27,333,738 |
Unrealized appreciation on swap contracts | 1,218,664 |
Receivable for: | |
Investments sold | 495,654 |
Investments sold on a delayed delivery basis | 18,989,375 |
Capital shares sold | 101,577 |
Dividends | 1,078,467 |
Interest | 910,483 |
Variation margin for futures contracts | 4,207,119 |
Variation margin for swap contracts | 1,240,404 |
Expense reimbursement due from Investment Manager | 3,116 |
Prepaid expenses | 3,564 |
Deferred compensation of board members | 83,869 |
Total assets | 770,681,254 |
Liabilities | |
Unrealized depreciation on forward foreign currency exchange contracts | 26,234,660 |
Unrealized depreciation on swap contracts | 2,060,486 |
Upfront receipts on swap contracts | 657,899 |
Cash collateral due to broker for: | |
Swap contracts | 120,000 |
Other(a) | 1,209,812 |
Payable for: | |
Investments purchased | 575,583 |
Investments purchased on a delayed delivery basis | 194,040,720 |
Capital shares redeemed | 650,657 |
Variation margin for futures contracts | 4,187,157 |
Variation margin for swap contracts | 1,219,260 |
Management services fees | 14,124 |
Distribution and/or service fees | 182 |
Transfer agent fees | 53,418 |
Compensation of board members | 1,664 |
Other expenses | 80,304 |
Other liabilities | 1,721 |
Deferred compensation of board members | 112,020 |
Total liabilities | 231,219,667 |
Net assets applicable to outstanding capital stock | $539,461,587 |
Represented by | |
Paid in capital | 651,517,533 |
Total distributable earnings (loss) | (112,055,946 ) |
Total - representing net assets applicable to outstanding capital stock | $539,461,587 |
Class A | |
Net assets | $5,829,499 |
Shares outstanding | 198,712 |
Net asset value per share | $29.34 |
Maximum sales charge | 5.75% |
Maximum offering price per share (calculated by dividing the net asset value per share by 1.0 minus the maximum sales charge for Class A shares) | $31.13 |
Advisor Class | |
Net assets | $1,197,427 |
Shares outstanding | 40,230 |
Net asset value per share | $29.76 |
Class C | |
Net assets | $5,085,497 |
Shares outstanding | 180,919 |
Net asset value per share | $28.11 |
Institutional Class | |
Net assets | $527,349,164 |
Shares outstanding | 17,760,062 |
Net asset value per share | $29.69 |
(a) | Includes collateral related to forward foreign currency exchange contracts and swap contracts. |
Net investment income | |
Income: | |
Dividends — affiliated issuers | $15,145,008 |
Interest | 21,612,761 |
Interfund lending | 3,622 |
Total income | 36,761,391 |
Expenses: | |
Management services fees | 6,146,117 |
Distribution and/or service fees | |
Class A | 13,084 |
Class C | 54,385 |
Class R | 31 |
Transfer agent fees | |
Class A | 6,488 |
Advisor Class | 1,709 |
Class C | 6,782 |
Institutional Class | 785,862 |
Institutional 2 Class | 190 |
Institutional 3 Class | 1 |
Class R | 6 |
Custodian fees | 120,639 |
Printing and postage fees | 74,136 |
Registration fees | 110,758 |
Accounting services fees | 52,005 |
Legal fees | 18,635 |
Interest on collateral | 423,118 |
Compensation of chief compliance officer | 111 |
Compensation of board members | 17,933 |
Deferred compensation of board members | 8,374 |
Other | 93,187 |
Total expenses | 7,933,551 |
Fees waived or expenses reimbursed by Investment Manager and its affiliates | (943,788 ) |
Expense reduction | (20 ) |
Total net expenses | 6,989,743 |
Net investment income | 29,771,648 |
Realized and unrealized gain (loss) — net | |
Net realized gain (loss) on: | |
Investments — unaffiliated issuers | (12,602,537 ) |
Investments — affiliated issuers | 23,453 |
Foreign currency translations | (5,726,782 ) |
Forward foreign currency exchange contracts | (4,733,644 ) |
Futures contracts | 46,488,205 |
Option contracts purchased | (8,216,650 ) |
Option contracts written | (959,942 ) |
Swap contracts | 2,258,954 |
Net realized gain | 16,531,057 |
Net change in unrealized appreciation (depreciation) on: | |
Investments — unaffiliated issuers | 6,988,754 |
Investments — affiliated issuers | 67,111 |
Foreign currency translations | 448,045 |
Forward foreign currency exchange contracts | 7,585,779 |
Futures contracts | (1,517,896 ) |
Option contracts purchased | 637,979 |
Option contracts written | 77,135 |
Swap contracts | 460,146 |
Net change in unrealized appreciation (depreciation) | 14,747,053 |
Net realized and unrealized gain | 31,278,110 |
Net increase in net assets resulting from operations | $61,049,758 |
Year Ended May 31, 2024 | Year Ended May 31, 2023 | |
Operations | ||
Net investment income | $29,771,648 | $25,683,977 |
Net realized gain (loss) | 16,531,057 | (1,713,693 ) |
Net change in unrealized appreciation (depreciation) | 14,747,053 | (32,503,543 ) |
Net increase (decrease) in net assets resulting from operations | 61,049,758 | (8,533,259 ) |
Distributions to shareholders | ||
Net investment income and net realized gains | ||
Class A | (138,070 ) | (26,674 ) |
Advisor Class | (45,303 ) | (11,736 ) |
Class C | (144,535 ) | — |
Institutional Class | (17,353,805 ) | (5,902,262 ) |
Institutional 2 Class | (13,340 ) | (4,687 ) |
Institutional 3 Class | (221 ) | (63 ) |
Class R | (196 ) | (21 ) |
Total distributions to shareholders | (17,695,470 ) | (5,945,443 ) |
Decrease in net assets from capital stock activity | (242,796,494 ) | (53,236,488 ) |
Total decrease in net assets | (199,442,206 ) | (67,715,190 ) |
Net assets at beginning of year | 738,903,793 | 806,618,983 |
Net assets at end of year | $539,461,587 | $738,903,793 |
Year Ended | Year Ended | |||
May 31, 2024 | May 31, 2023 | |||
Shares | Dollars ($) | Shares | Dollars ($) | |
Capital stock activity | ||||
Class A | ||||
Shares sold | 40,195 | 1,125,474 | 135,677 | 3,821,407 |
Distributions reinvested | 4,966 | 137,864 | 956 | 26,635 |
Shares redeemed | (27,813 ) | (782,480 ) | (31,633 ) | (886,353 ) |
Net increase | 17,348 | 480,858 | 105,000 | 2,961,689 |
Advisor Class | ||||
Shares sold | 11,141 | 322,625 | 44,369 | 1,270,112 |
Distributions reinvested | 1,603 | 45,088 | 414 | 11,680 |
Shares redeemed | (24,609 ) | (705,155 ) | (3,897 ) | (110,606 ) |
Net increase (decrease) | (11,865 ) | (337,442 ) | 40,886 | 1,171,186 |
Class C | ||||
Shares sold | 43,004 | 1,159,973 | 246,693 | 6,652,400 |
Distributions reinvested | 5,409 | 144,360 | — | — |
Shares redeemed | (101,842 ) | (2,728,644 ) | (489,109 ) | (13,101,135 ) |
Net decrease | (53,429 ) | (1,424,311 ) | (242,416 ) | (6,448,735 ) |
Institutional Class | ||||
Shares sold | 2,257,692 | 64,792,775 | 5,650,727 | 159,865,346 |
Distributions reinvested | 618,398 | 17,352,251 | 209,871 | 5,901,570 |
Shares redeemed | (11,269,271 ) | (323,209,739 ) | (7,644,047 ) | (216,457,033 ) |
Net decrease | (8,393,181 ) | (241,064,713 ) | (1,783,449 ) | (50,690,117 ) |
Institutional 2 Class | ||||
Shares sold | 2 | 43 | — | — |
Distributions reinvested | 465 | 13,121 | 164 | 4,627 |
Shares redeemed | (15,722 ) | (449,295 ) | (8,284 ) | (235,138 ) |
Net decrease | (15,255 ) | (436,131 ) | (8,120 ) | (230,511 ) |
Institutional 3 Class | ||||
Shares redeemed | (250 ) | (7,503 ) | — | — |
Net decrease | (250 ) | (7,503 ) | — | — |
Class R | ||||
Shares redeemed | (250 ) | (7,252 ) | — | — |
Net decrease | (250 ) | (7,252 ) | — | — |
Total net decrease | (8,456,882 ) | (242,796,494 ) | (1,888,099 ) | (53,236,488 ) |
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions from net investment income | Total distributions to shareholders | |
Class A | ||||||
Year Ended 5/31/2024 | $27.46 | 1.25 | 1.45 | 2.70 | (0.82 ) | (0.82 ) |
Year Ended 5/31/2023 | $28.00 | 0.98 | (1.36 ) | (0.38 ) | (0.16 ) | (0.16 ) |
Year Ended 5/31/2022 | $29.65 | 0.47 | (1.52 ) | (1.05 ) | (0.60 ) | (0.60 ) |
Year Ended 5/31/2021(e) | $27.84 | 0.19 | 1.62 | 1.81 | — | — |
Year Ended 5/31/2020(e) | $29.79 | 0.28 | (2.23 ) | (1.95 ) | — | — |
Advisor Class | ||||||
Year Ended 5/31/2024 | $27.82 | 1.33 | 1.47 | 2.80 | (0.86 ) | (0.86 ) |
Year Ended 5/31/2023 | $28.35 | 1.14 | (1.45 ) | (0.31 ) | (0.22 ) | (0.22 ) |
Year Ended 5/31/2022 | $30.03 | 0.20 | (1.21 ) | (1.01 ) | (0.67 ) | (0.67 ) |
Year Ended 5/31/2021(e) | $28.12 | 0.28 | 1.63 | 1.91 | — | — |
Year Ended 5/31/2020(e) | $30.01 | 0.32 | (2.21 ) | (1.89 ) | — | — |
Class C | ||||||
Year Ended 5/31/2024 | $26.42 | 0.99 | 1.40 | 2.39 | (0.70 ) | (0.70 ) |
Year Ended 5/31/2023 | $26.99 | 0.50 | (1.07 ) | (0.57 ) | — | — |
Year Ended 5/31/2022 | $28.59 | 6.57 | (7.80 ) | (1.23 ) | (0.37 ) | (0.37 ) |
Year Ended 5/31/2021(e) | $27.05 | (0.04 ) | 1.58 | 1.54 | — | — |
Year Ended 5/31/2020(e) | $29.16 | 0.04 | (2.15 ) | (2.11 ) | — | — |
Institutional Class | ||||||
Year Ended 5/31/2024 | $27.75 | 1.34 | 1.46 | 2.80 | (0.86 ) | (0.86 ) |
Year Ended 5/31/2023 | $28.30 | 0.93 | (1.25 ) | (0.32 ) | (0.23 ) | (0.23 ) |
Year Ended 5/31/2022 | $29.97 | 0.34 | (1.34 ) | (1.00 ) | (0.67 ) | (0.67 ) |
Year Ended 5/31/2021(e) | $28.07 | 0.28 | 1.62 | 1.90 | — | — |
Year Ended 5/31/2020(e) | $29.96 | 0.32 | (2.21 ) | (1.89 ) | — | — |
Notes to Consolidated Financial Highlights | |
(a) | In addition to the fees and expenses that the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of any other funds in which it invests. Such indirect expenses are not included in the Fund’s reported expense ratios. |
(b) | Total net expenses include the impact of certain fee waivers/expense reimbursements made by the Investment Manager and certain of its affiliates, if applicable. |
(c) | Ratios include interest on collateral expense. For the periods indicated below, if interest on collateral expense had been excluded, expenses would have been lower by: |
Class | 5/31/2024 | 5/31/2023 | 5/31/2022 | 5/31/2021 | 5/31/2020 |
Class A | 0.07% | 0.05% | 0.04% | 0.01% | 0.01% |
Advisor Class | 0.07% | 0.05% | 0.04% | 0.01% | 0.01% |
Class C | 0.07% | 0.04% | 0.04% | 0.01% | 0.01% |
Institutional Class | 0.07% | 0.04% | 0.04% | 0.01% | 0.01% |
(d) | The benefits derived from expense reductions had an impact of less than 0.01%. |
(e) | Per share amounts have been adjusted on a retroactive basis to reflect a 4 to 1 reverse stock split completed after the close of business on September 11, 2020. |
(f) | Ratios include line of credit interest expense which is less than 0.01%. |
Net asset value, end of period | Total return | Total gross expense ratio to average net assets(a) | Total net expense ratio to average net assets(a),(b) | Net investment income (loss) ratio to average net assets | Portfolio turnover | Net assets, end of period (000’s) | |
Class A | |||||||
Year Ended 5/31/2024 | $29.34 | 10.01% | 1.49% (c) | 1.33% (c),(d) | 4.39% | 718% | $5,829 |
Year Ended 5/31/2023 | $27.46 | (1.38% ) | 1.46% (c) | 1.32% (c),(d) | 3.54% | 660% | $4,980 |
Year Ended 5/31/2022 | $28.00 | (3.54% ) | 1.42% (c) | 1.30% (c),(d) | 1.62% | 352% | $2,138 |
Year Ended 5/31/2021 (e) | $29.65 | 6.50% | 1.40% (c),(f) | 1.27% (c),(f) | 0.66% | 555% | $1,739 |
Year Ended 5/31/2020 (e) | $27.84 | (6.58% ) | 1.42% (c),(f) | 1.25% (c),(f) | 0.94% | 789% | $2,125 |
Advisor Class | |||||||
Year Ended 5/31/2024 | $29.76 | 10.26% | 1.23% (c) | 1.08% (c),(d) | 4.64% | 718% | $1,197 |
Year Ended 5/31/2023 | $27.82 | (1.09% ) | 1.22% (c) | 1.07% (c),(d) | 4.05% | 660% | $1,449 |
Year Ended 5/31/2022 | $28.35 | (3.34% ) | 1.16% (c) | 1.05% (c),(d) | 0.66% | 352% | $318 |
Year Ended 5/31/2021 (e) | $30.03 | 6.79% | 1.16% (c),(f) | 1.02% (c),(f) | 0.97% | 555% | $226 |
Year Ended 5/31/2020 (e) | $28.12 | (6.27% ) | 1.17% (c),(f) | 0.99% (c),(f) | 1.15% | 789% | $133 |
Class C | |||||||
Year Ended 5/31/2024 | $28.11 | 9.18% | 2.23% (c) | 2.08% (c),(d) | 3.65% | 718% | $5,085 |
Year Ended 5/31/2023 | $26.42 | (2.11% ) | 2.19% (c) | 2.06% (c),(d) | 1.84% | 660% | $6,191 |
Year Ended 5/31/2022 | $26.99 | (4.29% ) | 2.17% (c) | 2.06% (c),(d) | 24.79% | 352% | $12,869 |
Year Ended 5/31/2021 (e) | $28.59 | 5.73% | 2.15% (c),(f) | 2.02% (c),(f) | (0.14% ) | 555% | $114 |
Year Ended 5/31/2020 (e) | $27.05 | (7.27% ) | 2.17% (c),(f) | 1.99% (c),(f) | 0.21% | 789% | $220 |
Institutional Class | |||||||
Year Ended 5/31/2024 | $29.69 | 10.29% | 1.23% (c) | 1.08% (c),(d) | 4.66% | 718% | $527,349 |
Year Ended 5/31/2023 | $27.75 | (1.15% ) | 1.20% (c) | 1.06% (c),(d) | 3.29% | 660% | $725,845 |
Year Ended 5/31/2022 | $28.30 | (3.32% ) | 1.17% (c) | 1.05% (c),(d) | 1.15% | 352% | $790,615 |
Year Ended 5/31/2021 (e) | $29.97 | 6.73% | 1.16% (c),(f) | 1.02% (c),(f) | 0.95% | 555% | $806,627 |
Year Ended 5/31/2020 (e) | $28.07 | (6.28% ) | 1.17% (c),(f) | 1.00% (c),(f) | 1.17% | 789% | $614,500 |
CMSAF1 Offshore Fund, Ltd. | CMSAF2 Offshore Fund, Ltd. | CMSAF3 Offshore Fund, Ltd. | |
% of consolidated fund net assets | 2.06 % | 6.39 % | 2.52 % |
Net assets | $11,093,531 | $34,463,385 | $13,615,944 |
Net investment income (loss) | 336,265 | 1,766,920 | 833,862 |
Net realized gain (loss) | 20,841,121 | 2,660,842 | 4,837,803 |
Net change in unrealized appreciation (depreciation) | (1,343,547 ) | (3,598,828 ) | (1,518,896 ) |
Asset derivatives | ||
Risk exposure category | Consolidated statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 31,552 * |
Equity risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 3,254,250 * |
Equity risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 1,187,112 * |
Foreign exchange risk | Unrealized appreciation on forward foreign currency exchange contracts | 27,333,738 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 1,641,905 * |
Interest rate risk | Investments, at value — Option contracts purchased | 2,315,804 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized appreciation on swap contracts | 5,344,600 * |
Commodity-related investment risk | Component of total distributable earnings (loss) — unrealized appreciation on futures contracts | 6,154,484 * |
Total | 47,263,445 |
Liability derivatives | ||
Risk exposure category | Consolidated statement of assets and liabilities location | Fair value ($) |
Credit risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 148,842 * |
Credit risk | Upfront receipts on swap contracts | 657,899 |
Equity risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 2,411,291 * |
Equity risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 1,968,958 * |
Foreign exchange risk | Unrealized depreciation on forward foreign currency exchange contracts | 26,234,660 |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 2,530,768 * |
Interest rate risk | Component of total distributable earnings (loss) — unrealized depreciation on swap contracts | 6,261,062 * |
Commodity-related investment risk | Component of total distributable earnings (loss) — unrealized depreciation on futures contracts | 9,570,800 * |
Total | 49,784,280 |
* | Includes cumulative appreciation (depreciation) as reported in the tables following the Consolidated Portfolio of Investments. Only the current day’s variation margin for futures and centrally cleared swaps, if any, is reported in receivables or payables in the Consolidated Statement of Assets and Liabilities. |
Amount of realized gain (loss) on derivatives recognized in income | ||||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Option contracts purchased ($) | Option contracts written ($) | Swap contracts ($) | Total ($) |
Commodity-related investment risk | — | 28,590,918 | — | — | — | 28,590,918 |
Credit risk | — | — | — | — | (648,500 ) | (648,500 ) |
Equity risk | — | 8,748,822 | — | — | (1,806,711 ) | 6,942,111 |
Foreign exchange risk | (4,733,644 ) | — | — | — | — | (4,733,644 ) |
Interest rate risk | — | 9,148,465 | (8,216,650 ) | (959,942 ) | 4,714,165 | 4,686,038 |
Total | (4,733,644 ) | 46,488,205 | (8,216,650 ) | (959,942 ) | 2,258,954 | 34,836,923 |
Change in unrealized appreciation (depreciation) on derivatives recognized in income | ||||||
Risk exposure category | Forward foreign currency exchange contracts ($) | Futures contracts ($) | Option contracts purchased ($) | Option contracts written ($) | Swap contracts ($) | Total ($) |
Commodity-related investment risk | — | (6,344,981 ) | — | — | — | (6,344,981 ) |
Credit risk | — | — | — | — | 1,663,290 | 1,663,290 |
Equity risk | — | 5,102,882 | — | — | (418 ) | 5,102,464 |
Foreign exchange risk | 7,585,779 | — | — | — | — | 7,585,779 |
Interest rate risk | — | (275,797 ) | 637,979 | 77,135 | (1,202,726 ) | (763,409 ) |
Total | 7,585,779 | (1,517,896 ) | 637,979 | 77,135 | 460,146 | 7,243,143 |
Derivative instrument | Average notional amounts ($) |
Futures contracts — long | 804,913,819 |
Futures contracts — short | 915,120,962 |
Credit default swap contracts — buy protection | 4,523,719 |
Credit default swap contracts — sell protection | 8,471,858 |
Derivative instrument | Average value ($) |
Option contracts purchased | 2,393,553 |
Option contracts written | (173,994 ) |
Derivative instrument | Average unrealized appreciation ($) | Average unrealized depreciation ($) |
Forward foreign currency exchange contracts | 26,282,250 | (25,898,281 ) |
Interest rate swap contracts | 8,721,397 | (8,536,796 ) |
Total return swap contracts | 852,393 | (827,027 ) |
Barclays ($) | Citi ($)(a) | Citi ($)(a) | Goldman Sachs International ($)(a) | Goldman Sachs International ($)(a) | HSBC ($) | JPMorgan ($)(a) | JPMorgan ($)(a) | Morgan Stanley ($)(a) | Morgan Stanley ($)(a) | Morgan Stanley ($)(a) | Morgan Stanley International ($)(a) | Morgan Stanley International ($)(a) | State Street ($) | UBS ($) | Wells Fargo ($) | Total ($) | |
Assets | |||||||||||||||||
Centrally cleared interest rate swap contracts (b) | - | - | - | - | - | - | - | 1,208,692 | - | - | 31,712 | - | - | - | - | - | 1,240,404 |
Forward foreign currency exchange contracts | 13,255 | 1,691,609 | 15,725,404 | - | - | 294,448 | 2,904,622 | - | 1,413,801 | 4,990,793 | - | - | - | - | 167,144 | 132,662 | 27,333,738 |
Call option contracts purchased | - | 404,485 | - | - | - | - | - | - | 1,023,244 | - | - | - | - | - | - | - | 1,427,729 |
Put option contracts purchased | - | 292,483 | - | - | 311,194 | - | - | - | 284,398 | - | - | - | - | - | - | - | 888,075 |
OTC credit default swap contracts (c) | - | - | - | - | - | - | - | - | 31,552 | - | - | - | - | - | - | - | 31,552 |
OTC total return swap contracts (c) | - | - | - | 74,935 | - | - | 879,752 | - | - | - | - | 177,948 | 54,477 | - | - | - | 1,187,112 |
Total assets | 13,255 | 2,388,577 | 15,725,404 | 74,935 | 311,194 | 294,448 | 3,784,374 | 1,208,692 | 2,752,995 | 4,990,793 | 31,712 | 177,948 | 54,477 | - | 167,144 | 132,662 | 32,108,610 |
Liabilities | |||||||||||||||||
Centrally cleared credit default swap contracts (b) | - | - | - | - | - | - | - | - | - | - | 4,204 | - | - | - | - | - | 4,204 |
Centrally cleared interest rate swap contracts (b) | - | - | - | - | - | - | - | 1,215,056 | - | - | - | - | - | - | - | - | 1,215,056 |
Forward foreign currency exchange contracts | 696,846 | 163,020 | 14,430,889 | - | 41,262 | - | 2,903,894 | - | 1,099,175 | 5,934,649 | - | - | - | 473,811 | 7,715 | 483,399 | 26,234,660 |
OTC credit default swap contracts (c) | - | - | - | - | - | - | - | - | 749,427 | - | - | - | - | - | - | - | 749,427 |
OTC total return swap contracts (c) | - | - | - | 11,170 | - | - | 706,039 | - | - | - | - | 803,521 | 448,228 | - | - | - | 1,968,958 |
Total liabilities | 696,846 | 163,020 | 14,430,889 | 11,170 | 41,262 | - | 3,609,933 | 1,215,056 | 1,848,602 | 5,934,649 | 4,204 | 803,521 | 448,228 | 473,811 | 7,715 | 483,399 | 30,172,305 |
Total financial and derivative net assets | (683,591 ) | 2,225,557 | 1,294,515 | 63,765 | 269,932 | 294,448 | 174,441 | (6,364 ) | 904,393 | (943,856 ) | 27,508 | (625,573 ) | (393,751 ) | (473,811 ) | 159,429 | (350,737 ) | 1,936,305 |
Total collateral received (pledged) (d) | - | 903,000 | - | - | 269,932 | - | - | (6,364 ) | 583,000 | (943,856 ) | - | (625,573 ) | - | - | - | - | 180,139 |
Net amount (e) | (683,591 ) | 1,322,557 | 1,294,515 | 63,765 | - | 294,448 | 174,441 | - | 321,393 | - | 27,508 | - | (393,751 ) | (473,811 ) | 159,429 | (350,737 ) | 1,756,166 |
(a) | Exposure can only be netted across transactions governed under the same master agreement with the same legal entity. |
(b) | Centrally cleared swaps are included within payable/receivable for variation margin in the Consolidated Statement of Assets and Liabilities. |
(c) | Over-the-Counter (OTC) swap contracts are presented at market value plus periodic payments receivable (payable), which is comprised of unrealized appreciation, unrealized depreciation, upfront payments and upfront receipts. |
(d) | In some instances, the actual collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(e) | Represents the net amount due from/(to) counterparties in the event of default. |
Effective rate (%) | |
Class A | 0.12 |
Advisor Class | 0.13 |
Class C | 0.12 |
Institutional Class | 0.13 |
Institutional 2 Class | 0.06 (a) |
Institutional 3 Class | 0.02 (a) |
Class R | 0.09 (a) |
(a) | Unannualized. |
Front End (%) | CDSC (%) | Amount ($) | |
Class A | 5.75 | 0.50 - 1.00 (a) | 634 |
Class C | — | 1.00 (b) | 61 |
(a) | This charge is imposed on certain investments of between $1 million and $50 million redeemed within 18 months after purchase, as follows: 1.00% if redeemed within 12 months after purchase, and 0.50% if redeemed more than 12, but less than 18, months after purchase, with certain limited exceptions. |
(b) | This charge applies to redemptions within 12 months after purchase, with certain limited exceptions. |
Fee rate(s) contractual through September 30, 2024 (%) | |
Class A | 1.27 |
Advisor Class | 1.02 |
Class C | 2.02 |
Institutional Class | 1.02 |
Excess of distributions over net investment income ($) | Accumulated net realized (loss) ($) | Paid in capital ($) |
320,568 | 3,256,245 | (3,576,813 ) |
Year Ended May 31, 2024 | Year Ended May 31, 2023 | ||||
Ordinary income ($) | Long-term capital gains ($) | Total ($) | Ordinary income ($) | Long-term capital gains ($) | Total ($) |
17,695,470 | — | 17,695,470 | 5,945,443 | — | 5,945,443 |
Undistributed ordinary income ($) | Undistributed long-term capital gains ($) | Capital loss carryforwards ($) | Net unrealized (depreciation) ($) |
37,654,723 | — | (76,277,191 ) | (72,086,959 ) |
Federal tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized (depreciation) ($) | Net unrealized (depreciation) ($) |
720,533,889 | 1,099,078 | (73,186,037 ) | (72,086,959 ) |
No expiration short-term ($) | No expiration long-term ($) | Total ($) | Utilized ($) |
(34,693,332 ) | (41,583,859 ) | (76,277,191 ) | — |
Borrower or lender | Average loan balance ($) | Weighted average interest rate (%) | Number of days with outstanding loans |
Lender | 1,715,385 | 5.84 | 13 |
columbiathreadneedleus.com/investor/. The Fund is distributed by Columbia Management Investment Distributors, Inc., member FINRA, and managed by Columbia Management Investment Advisers, LLC.
Item 8. Changes in and Disagreements with Accountants for Open-End Management Investment Companies.
Not applicable.
Item 9. Proxy Disclosures for Open-End Management Investment Companies.
Not applicable.
Item 10. Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies.
Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies is included in Item 7 of this Form N-CSR.
Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract.
Not applicable.
Item 12. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 13. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 14. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 15. Submission of Matters to a Vote of Security Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of directors implemented since the registrant last provided disclosure as to such procedures in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K or Item 15 of Form N-CSR.
Item 16. Controls and Procedures.
(a) The registrant’s principal executive officer and principal financial officer, based on their evaluation of the registrant’s disclosure controls and procedures as of a date within 90 days of the filing of this report, have concluded that such controls and procedures are adequately designed to ensure that information required to be disclosed by the registrant in Form N-CSR is accumulated and communicated to the registrant’s management, including the principal executive officer and principal financial officer, or persons performing similar functions, as appropriate to allow timely decisions regarding required disclosure.
(b) There was no change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 17. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 18. Recovery of Erroneously Awarded Compensation.
Not applicable.
Item 19. Exhibits.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(registrant) | Columbia Funds Series Trust I |
By (Signature and Title) | /s/ Daniel J. Beckman |
Daniel J. Beckman, President and Principal Executive Officer | |
Date | July 23, 2024 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title) | /s/ Daniel J. Beckman |
Daniel J. Beckman, President and Principal Executive Officer | |
Date | July 23, 2024 |
By (Signature and Title) | /s/ Michael G. Clarke |
Michael G. Clarke, Chief Financial Officer, | |
Principal Financial Officer and Senior Vice President | |
Date | July 23, 2024 |
By (Signature and Title) | /s/ Charles H. Chiesa |
Charles H. Chiesa, Treasurer, Chief Accounting | |
Officer and Principal Financial Officer | |
Date | July 23, 2024 |