ABBEY CAPITAL MULTI ASSET FUND | |
CONSOLIDATED PORTFOLIO OF INVESTMENTS | |
MAY 31, 2022 | |
(UNAUDITED) |
COUPON* | MATURITY DATE | PAR (000's) | VALUE | ||||||||||
SHORT-TERM INVESTMENTS - 86.5% | |||||||||||||
U.S. TREASURY OBLIGATIONS - 83.1% | |||||||||||||
U.S. Treasury Bills | 0.076 | % | 06/02/22 | 1,008 | $ | 1,007,989 | |||||||
U.S. Treasury Bills | 0.103 | % | 06/09/22 | 6,838 | 6,837,175 | ||||||||
U.S. Treasury Bills | 0.112 | % | 06/16/22 | 7,738 | 7,736,193 | ||||||||
U.S. Treasury Bills | 0.162 | % | 06/30/22 | 5,183 | 5,180,146 | ||||||||
U.S. Treasury Bills | 0.223 | % | 07/07/22 | 59 | 58,957 | ||||||||
U.S. Treasury Bills | 0.317 | % | 07/14/22 | 1,336 | 1,334,658 | ||||||||
U.S. Treasury Bills | 0.332 | % | 07/21/22 | 4,136 | 4,131,188 | ||||||||
U.S. Treasury Bills | 0.432 | % | 07/28/22 | 1,788 | 1,785,636 | ||||||||
U.S. Treasury Bills | 0.517 | % | 08/04/22 | 5,866 | 5,855,901 | ||||||||
U.S. Treasury Bills | 0.682 | % | 08/11/22 | 12,205 | 12,180,288 | ||||||||
U.S. Treasury Bills | 0.632 | % | 08/18/22 | 1,633 | 1,629,291 | ||||||||
U.S. Treasury Bills | 0.643 | % | 08/25/22 | 10,012 | 9,987,267 | ||||||||
U.S. Treasury Bills | 0.648 | % | 09/01/22 | 10,026 | 9,997,386 | ||||||||
U.S. Treasury Bills | 0.750 | % | 09/08/22 | 9,159 | 9,130,440 | ||||||||
U.S. Treasury Bills | 0.815 | % | 09/15/22 | 6,983 | 6,959,095 | ||||||||
U.S. Treasury Bills | 0.942 | % | 09/22/22 | 6,881 | 6,855,639 | ||||||||
U.S. Treasury Bills | 1.039 | % | 09/29/22 | 12,547 | 12,493,467 | ||||||||
U.S. Treasury Bills | 1.125 | % | 10/06/22 | 12,787 | 12,729,084 | ||||||||
U.S. Treasury Bills | 1.201 | % | 10/13/22 | 12,273 | 12,213,925 | ||||||||
U.S. Treasury Bills | 1.286 | % | 10/20/22 | 11,375 | 11,316,381 | ||||||||
U.S. Treasury Bills | 1.367 | % | 10/27/22 | 11,465 | 11,401,016 | ||||||||
U.S. Treasury Bills | 1.345 | % | 11/03/22 | 8,617 | 8,564,156 | ||||||||
U.S. Treasury Bills | 1.394 | % | 11/10/22 | 13,433 | 13,346,499 | ||||||||
U.S. Treasury Bills | 1.462 | % | 11/17/22 | 7,753 | 7,698,998 | ||||||||
U.S. Treasury Bills | 1.497 | % | 11/25/22 | 11,995 | 11,904,584 | ||||||||
TOTAL U.S. TREASURY OBLIGATIONS ($192,447,857) | 192,335,359 | ||||||||||||
NUMBER OF | |||||||||||||
SHARES | |||||||||||||
MONEY MARKET DEPOSIT ACCOUNT - 3.4% | (000's) | ||||||||||||
U.S. Bank Money Market Deposit Account, 0.5% (United States)(a) | 7,979 | 7,978,603 | |||||||||||
TOTAL MONEY MARKET DEPOSIT ACCOUNT ($7,978,603) | 7,978,603 | ||||||||||||
TOTAL SHORT-TERM INVESTMENTS | |||||||||||||
(Cost $200,426,460) | 200,313,962 | ||||||||||||
TOTAL INVESTMENTS - 86.5% | |||||||||||||
(Cost $200,426,460) | 200,313,962 | ||||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 13.5% | 31,219,244 | ||||||||||||
NET ASSETS - 100.0% | $ | 231,533,206 | |||||||||||
* Short-term investments' coupon reflect the annualized effective yield on the date of purchase for discounted investments. | |||||||||||||
(a) The rate shown is as of May 31, 2022. |
Futures contracts outstanding as of May 31, 2022 were as follows: | |||||||||||||
LONG CONTRACTS | EXPIRATION DATE | NUMBER OF CONTRACTS | NOTIONAL AMOUNT | VALUE AND UNREALIZED APPRECIATION/ (DEPRECIATION) | |||||||||
3-Month SONIA Index Futures | Dec-22 | 102 | $ | 31,358,069 | $ | (58,405 | ) | ||||||
90-DAY Eurodollar Futures | Jun-23 | 1 | 241,863 | 100 | |||||||||
Amsterdam Index Futures | Jun-22 | 2 | 305,923 | 6,974 | |||||||||
Brent Crude Futures | Aug-22 | 20 | 2,312,000 | 40,860 | |||||||||
Brent Crude Futures | Sep-22 | 2 | 225,160 | 16,070 | |||||||||
Brent Crude Futures | Oct-22 | 1 | 109,930 | 3,840 | |||||||||
Brent Crude Oil Last Day | Aug-22 | 1 | 115,600 | 3,740 | |||||||||
CAC40 10 Euro Futures | Jun-22 | 56 | 3,881,566 | (30,859 | ) | ||||||||
CAD Currency Futures | Jun-22 | 7 | 553,525 | 1,155 | |||||||||
Canola Futures (Winnipeg Commodity Exchange) | Jul-22 | 1 | 18,726 | 851 | |||||||||
Canola Futures (Winnipeg Commodity Exchange) | Nov-22 | 3 | 50,923 | (1,611 | ) | ||||||||
CHF Currency Futures | Jun-22 | 21 | 2,739,581 | 2,900 | |||||||||
Coffee 'C' Futures | Jul-22 | 1 | 86,719 | 1,763 | |||||||||
Coffee 'C' Futures | Sep-22 | 8 | 694,350 | 13,013 | |||||||||
Coffee 'C' Futures | Dec-22 | 1 | 86,550 | 2,325 | |||||||||
Coffee 'C' Futures | Mar-23 | 1 | 85,875 | 1,350 | |||||||||
Coffee Robusta Futures | Sep-22 | 2 | 42,200 | 270 | |||||||||
Corn Futures | Jul-22 | 13 | 489,775 | (18,601 | ) | ||||||||
Corn Futures | Sep-22 | 3 | 108,750 | (4,725 | ) | ||||||||
Corn Futures | Dec-22 | 40 | 1,423,000 | (8,300 | ) | ||||||||
Corn Futures | Mar-23 | 11 | 394,075 | (9,950 | ) | ||||||||
Cotton No.2 Futures | Jul-22 | 1 | 69,490 | (2,275 | ) | ||||||||
Cotton No.2 Futures | Dec-22 | 15 | 918,375 | (15,630 | ) | ||||||||
DAX Index Futures | Jun-22 | 17 | 6,559,625 | (43,022 | ) | ||||||||
DJIA Mini E-CBOT | Jun-22 | 41 | 6,759,055 | (3,190 | ) | ||||||||
Dollar Index | Jun-22 | 3 | 305,298 | 4,515 | |||||||||
E-Mini Crude Oil | Jul-22 | 2 | 114,670 | 5,208 | |||||||||
E-Mini Energy Select Futures | Jun-22 | 1 | 90,670 | 5,870 | |||||||||
Euro STOXX 50 | Jun-22 | 122 | 4,956,017 | (35,416 | ) | ||||||||
Euro/JPY Futures | Jun-22 | 14 | 1,877,714 | 28,460 | |||||||||
European Climate Exchange Futures | Dec-22 | 4 | 360,798 | (14,214 | ) | ||||||||
FTSE 100 Index Futures | Jun-22 | 74 | 7,073,262 | 100,934 | |||||||||
FTSE KLCI Futures | Jun-22 | 2 | 35,606 | 285 | |||||||||
FTSE/MIB Index Futures | Jun-22 | 1 | 131,553 | 2,593 | |||||||||
Gasoline RBOB Futures | Jul-22 | 8 | 1,315,843 | 114,458 | |||||||||
Gasoline RBOB Futures | Aug-22 | 6 | 943,866 | (25,171 | ) | ||||||||
Gold 100 Oz Futures | Aug-22 | 9 | 1,663,560 | (3,670 | ) | ||||||||
Gold 100 Oz Futures | Dec-22 | 1 | 186,500 | (960 | ) | ||||||||
Hang Seng Index Futures | Jun-22 | 1 | 136,316 | 3,256 | |||||||||
IBEX 35 Index Futures | Jun-22 | 2 | 189,432 | (1,767 | ) | ||||||||
Kansas City Hard Red Winter Wheat Futures | Jul-22 | 9 | 524,475 | (11,100 | ) | ||||||||
Kansas City Hard Red Winter Wheat Futures | Sep-22 | 1 | 58,600 | 3,738 | |||||||||
Lean Hogs Futures | Jul-22 | 1 | 43,200 | (500 | ) | ||||||||
Lean Hogs Futures | Aug-22 | 4 | 170,280 | (2,520 | ) | ||||||||
LME Aluminum Forward | Jun-22 | 224 | 15,477,000 | (2,315,968 | ) | ||||||||
LME Aluminum Forward | Sep-22 | 86 | 6,000,650 | (215,495 | ) | ||||||||
LME Aluminum Forward - 90 Day Settlement | Jun-22 | 1 | 71,461 | (13,227 | ) | ||||||||
LME Aluminum Forward - 90 Day Settlement | Jun-22 | 1 | 68,944 | (18,543 | ) | ||||||||
LME Aluminum Forward - 90 Day Settlement | Aug-22 | 1 | 69,619 | (4,981 | ) | ||||||||
LME Copper Forward | Jun-22 | 108 | 25,519,050 | (1,199,399 | ) | ||||||||
LME Copper Forward | Sep-22 | 37 | 8,740,325 | 130,974 | |||||||||
LME Copper Forward - 90 Day Settlement | Jun-22 | 1 | 236,163 | (17,963 | ) | ||||||||
LME Copper Forward - 90 Day Settlement | Jun-22 | 2 | 472,350 | (27,735 | ) | ||||||||
LME Lead Forward | Jun-22 | 20 | 1,087,850 | (97,495 | ) | ||||||||
LME Lead Forward - 90 Day Settlement | Jun-22 | 1 | 54,348 | (8,402 | ) | ||||||||
LME Lead Forward - 90 Day Settlement | Jun-22 | 1 | 54,359 | (5,953 | ) | ||||||||
LME Nickel Forward | Jun-22 | 1 | 170,055 | (24,181 | ) | ||||||||
LME Nickel Forward | Jun-22 | 7 | 1,190,616 | 232,445 | |||||||||
LME Nickel Forward | Sep-22 | 1 | 170,526 | 2,580 | |||||||||
LME Nickel Forward - 90 Day Settlement | Jun-22 | 1 | 175,386 | 27,966 | |||||||||
LME Nickel Forward - 90 Day Settlement | Jun-22 | 1 | 170,061 | 14,481 | |||||||||
LME Tin Forward - 90 Day Settlement | Jun-22 | 1 | 174,310 | (55,340 | ) | ||||||||
LME Tin Forward - 90 Day Settlement | Jun-22 | 1 | 174,675 | (63,590 | ) | ||||||||
LME Zinc Forward | Jun-22 | 15 | 1,473,375 | 57,742 | |||||||||
LME Zinc Forward | Sep-22 | 4 | 391,500 | 32,736 | |||||||||
Low Sulphur Gasoil G Futures | Jul-22 | 8 | 959,200 | 122,275 | |||||||||
Low Sulphur Gasoil G Futures | Aug-22 | 3 | 347,700 | 58,075 | |||||||||
Mill Wheat Euro | Sep-22 | 14 | 294,770 | 14,251 | |||||||||
Mill Wheat Euro | Dec-22 | 1 | 20,706 | 3,395 | |||||||||
MXN Currency Futures | Jun-22 | 162 | 4,105,080 | 193,540 | |||||||||
Nasdaq 100 E-Mini | Jun-22 | 12 | 3,035,160 | (17,260 | ) | ||||||||
Natural Gas Futures | Jul-22 | 25 | 2,036,250 | 69,270 | |||||||||
Natural Gas Futures | Aug-22 | 12 | 976,560 | 5,060 | |||||||||
Natural Gas Futures | Oct-22 | 1 | 80,730 | 11,160 | |||||||||
Nikkei 225 (Osaka Securities Exchange) | Jun-22 | 3 | 635,258 | (4,117 | ) | ||||||||
Nikkei 225 (Singapore Exchange) | Jun-22 | 18 | 1,907,523 | (1,923 | ) | ||||||||
Nikkei 225 Mini | Jun-22 | 1 | 21,175 | (54 | ) | ||||||||
NY Harbor Ultra-Low Sulfur Diesel Futures | Jul-22 | 23 | 3,801,210 | (58,489 | ) | ||||||||
NY Harbor Ultra-Low Sulfur Diesel Futures | Aug-22 | 5 | 807,849 | 35,948 | |||||||||
NY Harbor Ultra-Low Sulfur Diesel Futures | Oct-22 | 1 | 155,623 | 9,169 | |||||||||
Orange Juice Futures | Jul-22 | 3 | 79,808 | 2,033 | |||||||||
Palm Oil Futures | Aug-22 | 5 | 179,970 | 2,307 | |||||||||
Palm Oil Futures | Oct-22 | 1 | 34,464 | 383 | |||||||||
Rapeseed Euro | Aug-22 | 3 | 130,718 | (5,207 | ) | ||||||||
S&P 500 E-Mini Futures | Jun-22 | 510 | 105,346,874 | (3,091,019 | ) | ||||||||
S&P Mid 400 E-Mini | Jun-22 | 1 | 251,320 | (740 | ) | ||||||||
S&P/TSX 60 IX Futures | Jun-22 | 7 | 1,387,437 | (12,926 | ) | ||||||||
SET50 Futures Index | Jun-22 | 20 | 116,657 | 1,348 | |||||||||
Soybean Futures | Jul-22 | 18 | 1,514,925 | 7,638 | |||||||||
Soybean Futures | Nov-22 | 31 | 2,339,725 | 52,375 | |||||||||
Soybean Futures | Jan-23 | 1 | 75,713 | (525 | ) | ||||||||
Soybean Meal Futures | Jul-22 | 5 | 207,400 | (7,400 | ) | ||||||||
Soybean Meal Futures | Dec-22 | 4 | 160,800 | (2,270 | ) | ||||||||
Soybean Oil Futures | Jul-22 | 6 | 280,512 | (14,208 | ) | ||||||||
Soybean Oil Futures | Dec-22 | 10 | 448,320 | (1,350 | ) | ||||||||
SPI 200 Futures | Jun-22 | 13 | 1,682,096 | 341 | |||||||||
Sugar No. 11 (World) | Jul-22 | 5 | 108,640 | (2,587 | ) | ||||||||
Sugar No. 11 (World) | Oct-22 | 74 | 1,621,962 | (47,432 | ) | ||||||||
Sugar No. 11 (World) | Mar-23 | 8 | 178,035 | 101 | |||||||||
Topix Index Futures | Jun-22 | 13 | 20,993,498 | (17,206 | ) | ||||||||
Wheat (Chicago Board of Trade) | Jul-22 | 10 | 543,750 | (11,925 | ) | ||||||||
Wheat (Chicago Board of Trade) | Sep-22 | 6 | 329,250 | (4,613 | ) | ||||||||
Wheat (Chicago Board of Trade) | Dec-22 | 4 | 221,400 | (19,325 | ) | ||||||||
White Maize Futures | Jul-22 | 2 | 59,295 | 1,598 | |||||||||
White Sugar ICE | Aug-22 | 3 | 85,845 | 4,085 | |||||||||
WTI Crude Futures | Jul-22 | 10 | 1,146,700 | 27,760 | |||||||||
WTI Crude Futures | Aug-22 | 4 | 447,640 | 24,300 | |||||||||
WTI Crude Futures | Sep-22 | 7 | 762,300 | 17,300 | |||||||||
WTI Crude Futures IPE | Jul-22 | 1 | 114,670 | 6,420 | |||||||||
WTI Crude Futures IPE | Sep-22 | 1 | 108,900 | 5,500 | |||||||||
$ | (6,141,650 | ) |
SHORT CONTRACTS | EXPIRATION DATE | NUMBER OF CONTRACTS | NOTIONAL AMOUNT | VALUE AND UNREALIZED APPRECIATION/ (DEPRECIATION) | |||||||||
10-Year Mini Japanese Government Bond Futures | Jun-22 | 80 | $ | (9,300,967 | ) | $ | (9,826 | ) | |||||
1-Month SOFR Future | Oct-22 | 2 | (815,315 | ) | (42 | ) | |||||||
3-Month Euro Euribor | Sep-22 | 159 | (42,509,272 | ) | 91,399 | ||||||||
3-Month Euro Euribor | Mar-23 | 8 | (2,120,581 | ) | 17,646 | ||||||||
3-Month Euro Euribor | Dec-23 | 2 | (527,596 | ) | (497 | ) | |||||||
3-Month Euro Euribor | Mar-24 | 5 | (1,319,056 | ) | (684 | ) | |||||||
3-Month Euro Euribor | Jun-24 | 10 | (2,638,649 | ) | 7,126 | ||||||||
3-Month Euro Euribor | Sep-24 | 6 | (1,583,270 | ) | 3,918 | ||||||||
3-Month Euro Euribor | Jun-25 | 2 | (527,461 | ) | 1,288 | ||||||||
3-Month Euro Euribor | Sep-25 | 1 | (263,650 | ) | 550 | ||||||||
3-Month SOFR Futures | Dec-22 | 9 | (2,188,013 | ) | 10,088 | ||||||||
3-Month SOFR Futures | Mar-23 | 6 | (1,455,450 | ) | (775 | ) | |||||||
3-Month SOFR Futures | Jun-23 | 4 | (970,200 | ) | (1,063 | ) | |||||||
3-Month SOFR Futures | Sep-23 | 4 | (971,050 | ) | (2,025 | ) | |||||||
3-Month SOFR Futures | Dec-23 | 4 | (972,000 | ) | (1,838 | ) | |||||||
3-Month SOFR Futures | Mar-24 | 4 | (972,650 | ) | (1,650 | ) | |||||||
3-Month SOFR Futures | Jun-24 | 5 | (1,216,563 | ) | (2,138 | ) | |||||||
3-Month SOFR Futures | Sep-24 | 5 | (1,217,000 | ) | (2,625 | ) | |||||||
3-Month SONIA Index Futures | Dec-22 | 38 | (11,682,418 | ) | 26,131 | ||||||||
3-Month SONIA Index Futures | Mar-23 | 10 | (3,067,390 | ) | 6,584 | ||||||||
3-Month SONIA Index Futures | Jun-23 | 9 | (2,758,808 | ) | 2,835 | ||||||||
3-Month SONIA Index Futures | Sep-23 | 7 | (2,145,740 | ) | 4,064 | ||||||||
3-Month SONIA Index Futures | Dec-23 | 26 | (7,971,938 | ) | 17,122 | ||||||||
3-Month SONIA Index Futures | Mar-24 | 8 | (2,454,290 | ) | 5,182 | ||||||||
3-Month SONIA Index Futures | Jun-24 | 7 | (2,149,709 | ) | 5,214 | ||||||||
3-Month SONIA Index Futures | Sep-24 | 6 | (1,844,309 | ) | 4,458 | ||||||||
3-Month SONIA Index Futures | Dec-24 | 21 | (6,459,712 | ) | 16,917 | ||||||||
90-DAY Bank Bill | Sep-22 | 4 | (2,854,056 | ) | (1,346 | ) | |||||||
90-DAY Bank Bill | Dec-22 | 32 | (22,793,330 | ) | 28,187 | ||||||||
90-DAY Bank Bill | Mar-23 | 4 | (2,845,754 | ) | 3,327 | ||||||||
90-DAY Bank Bill | Jun-23 | 2 | (1,422,494 | ) | 2,717 | ||||||||
90-DAY Bank Bill | Sep-23 | 1 | (711,265 | ) | (469 | ) | |||||||
90-DAY Bank Bill | Dec-23 | 1 | (711,369 | ) | 17 | ||||||||
90-DAY Eurodollar Futures | Sep-22 | 97 | (23,623,137 | ) | (4,188 | ) | |||||||
90-DAY Eurodollar Futures | Dec-22 | 9 | (2,180,363 | ) | 1,175 | ||||||||
90-DAY Eurodollar Futures | Mar-23 | 19 | (4,596,338 | ) | 12,275 | ||||||||
90-DAY Eurodollar Futures | Mar-24 | 9 | (2,182,613 | ) | (3,125 | ) | |||||||
90-DAY Eurodollar Futures | Jun-24 | 5 | (1,213,313 | ) | 3,800 | ||||||||
90-DAY Eurodollar Futures | Mar-25 | 21 | (5,099,850 | ) | 5,788 | ||||||||
90-DAY Eurodollar Futures | Jun-25 | 3 | (728,663 | ) | 3,900 | ||||||||
90-DAY Eurodollar Futures | Jun-26 | 2 | (485,575 | ) | (750 | ) | |||||||
Amsterdam Index Futures | Jun-22 | 1 | (152,961 | ) | (4,876 | ) | |||||||
AUD/USD Currency Futures | Jun-22 | 111 | (7,965,915 | ) | (73,760 | ) | |||||||
Australian 10-Year Bond Futures | Jun-22 | 123 | (10,788,269 | ) | 241,163 | ||||||||
Australian 3-Year Bond Futures | Jun-22 | 128 | (9,990,181 | ) | 95,662 | ||||||||
Bank Acceptance Futures | Dec-22 | 13 | (2,486,738 | ) | (1,324 | ) | |||||||
Bank Acceptance Futures | Mar-23 | 4 | (764,359 | ) | (1,423 | ) | |||||||
Bank Acceptance Futures | Jun-23 | 3 | (573,121 | ) | (1,433 | ) | |||||||
Bank Acceptance Futures | Sep-23 | 3 | (573,270 | ) | (1,433 | ) | |||||||
Bank Acceptance Futures | Dec-23 | 2 | (382,259 | ) | (603 | ) | |||||||
CAD Currency Futures | Jun-22 | 166 | (13,126,450 | ) | (105,205 | ) | |||||||
Canada 5-Year Bond Futures | Sep-22 | 1 | (90,588 | ) | 506 | ||||||||
Canadian 10-Year Bond Futures | Sep-22 | 53 | (5,321,999 | ) | 51,200 | ||||||||
Cattle Feeder Futures | Aug-22 | 4 | (330,250 | ) | 8,738 | ||||||||
Cattle Feeder Futures | Sep-22 | 1 | (84,063 | ) | 488 | ||||||||
CHF Currency Futures | Jun-22 | 3 | (391,369 | ) | (6,075 | ) | |||||||
Cocoa Futures | Jul-22 | 1 | (24,960 | ) | (760 | ) | |||||||
Cocoa Futures | Sep-22 | 6 | (150,900 | ) | (2,190 | ) | |||||||
Cocoa Futures | Dec-22 | 2 | (50,920 | ) | (1,270 | ) | |||||||
Cocoa Futures ICE | Jul-22 | 2 | (43,952 | ) | 391 | ||||||||
Cocoa Futures ICE | Sep-22 | 2 | (44,481 | ) | (706 | ) | |||||||
Copper Futures | Jul-22 | 23 | (2,470,200 | ) | (20,380 | ) | |||||||
DAX Index Futures | Jun-22 | 9 | (3,472,743 | ) | (140,018 | ) | |||||||
DJIA Mini E-CBOT | Jun-22 | 11 | (1,813,405 | ) | (36,943 | ) | |||||||
E-Mini Health Care Select Futures | Jun-22 | 1 | (133,270 | ) | 30 | ||||||||
E-Mini Materials Select Futures | Jun-22 | 1 | (90,700 | ) | (850 | ) | |||||||
EUR Foreign Exchange Currency Futures | Jun-22 | 254 | (34,105,849 | ) | 164,275 | ||||||||
Euro BUXL 30-Year Bond Futures | Jun-22 | 1 | (174,130 | ) | 28,385 | ||||||||
Euro BUXL 30-Year Bond Futures | Sep-22 | 6 | (1,042,817 | ) | 6,763 | ||||||||
Euro STOXX 50 | Jun-22 | 2 | (81,246 | ) | (3,253 | ) | |||||||
Euro-Bobl Futures | Jun-22 | 62 | (8,419,178 | ) | 145,015 | ||||||||
Euro-Bobl Futures | Sep-22 | 24 | (3,004,823 | ) | 6,677 | ||||||||
Euro-BTP Futures | Jun-22 | 20 | (2,724,023 | ) | 217,061 | ||||||||
Euro-BTP Futures | Sep-22 | 12 | (1,494,355 | ) | 12,335 | ||||||||
Euro-Bund Futures | Jun-22 | 102 | (16,597,215 | ) | 293,250 | ||||||||
Euro-Bund Futures | Sep-22 | 17 | (2,581,942 | ) | 12,668 | ||||||||
Euro-Oat Futures | Jun-22 | 23 | (3,557,816 | ) | 196,953 | ||||||||
Euro-Oat Futures | Sep-22 | 11 | (1,560,097 | ) | 8,503 | ||||||||
Euro-Schatz Futures | Jun-22 | 69 | (8,157,125 | ) | 49,072 | ||||||||
Euro-Schatz Futures | Sep-22 | 32 | (3,500,366 | ) | 3,994 | ||||||||
FTSE 100 Index Futures | Jun-22 | 11 | (1,051,431 | ) | (44,425 | ) | |||||||
FTSE China A50 Index | Jun-22 | 76 | (1,030,256 | ) | (33,620 | ) | |||||||
FTSE Taiwan Index | Jun-22 | 1 | (58,000 | ) | (2,210 | ) | |||||||
Gasoline RBOB Futures | Jul-22 | 4 | (657,922 | ) | (45,280 | ) | |||||||
GBP Currency Futures | Jun-22 | 145 | (11,423,281 | ) | 105,638 | ||||||||
Gold 100 Oz Futures | Aug-22 | 13 | (2,402,920 | ) | 5,130 | ||||||||
Hang Seng China Enterprises Index Futures | Jun-22 | 16 | (752,166 | ) | (56,982 | ) | |||||||
Hang Seng Index Futures | Jun-22 | 38 | (5,180,013 | ) | (274,899 | ) | |||||||
JPN 10-Year Bond (Osaka Securities Exchange) | Jun-22 | 23 | (26,736,706 | ) | 67,115 | ||||||||
JPY Currency Futures | Jun-22 | 325 | (31,592,030 | ) | 829,312 | ||||||||
Lean Hogs Futures | Jul-22 | 2 | (86,400 | ) | (2,010 | ) | |||||||
Lean Hogs Futures | Aug-22 | 9 | (383,130 | ) | (9,430 | ) | |||||||
Lean Hogs Futures | Oct-22 | 1 | (37,220 | ) | (1,060 | ) | |||||||
Live Cattle Futures | Aug-22 | 31 | (1,616,650 | ) | 53,070 | ||||||||
Live Cattle Futures | Oct-22 | 2 | (108,920 | ) | 1,780 | ||||||||
Live Cattle Futures | Dec-22 | 1 | (56,920 | ) | 600 | ||||||||
LME Aluminum Forward | Jun-22 | 224 | (15,477,000 | ) | 2,343,339 | ||||||||
LME Aluminum Forward | Sep-22 | 99 | (6,907,725 | ) | 139,975 | ||||||||
LME Aluminum Forward - 90 Day Settlement | Jun-22 | 1 | (71,461 | ) | 15,991 | ||||||||
LME Aluminum Forward - 90 Day Settlement | Jun-22 | 1 | (68,944 | ) | 18,281 | ||||||||
LME Aluminum Forward - 90 Day Settlement | Aug-22 | 1 | (69,494 | ) | 4,269 | ||||||||
LME Aluminum Forward - 90 Day Settlement | Aug-22 | 1 | (69,500 | ) | 1,975 | ||||||||
LME Copper Forward | Jun-22 | 108 | (25,519,049 | ) | 1,240,480 | ||||||||
LME Copper Forward | Sep-22 | 47 | (11,102,575 | ) | (189,129 | ) | |||||||
LME Copper Forward - 90 Day Settlement | Jun-22 | 1 | (236,163 | ) | 13,858 | ||||||||
LME Copper Forward - 90 Day Settlement | Jun-22 | 2 | (472,350 | ) | 35,988 | ||||||||
LME Copper Forward - 90 Day Settlement | Aug-22 | 1 | (236,140 | ) | 723 | ||||||||
LME Copper Forward - 90 Day Settlement | Aug-22 | 1 | (236,153 | ) | 1,573 | ||||||||
LME Lead Forward | Jun-22 | 20 | (1,087,850 | ) | 59,048 | ||||||||
LME Lead Forward | Sep-22 | 5 | (273,500 | ) | (10,414 | ) | |||||||
LME Lead Forward - 90 Day Settlement | Jun-22 | 1 | (54,348 | ) | 5,777 | ||||||||
LME Lead Forward - 90 Day Settlement | Jun-22 | 1 | (54,359 | ) | 7,628 | ||||||||
LME Lead Forward - 90 Day Settlement | Aug-22 | 2 | (109,150 | ) | (2,463 | ) | |||||||
LME Lead Forward - 90 Day Settlement | Aug-22 | 1 | (54,555 | ) | (405 | ) | |||||||
LME Nickel Forward | Jun-22 | 7 | (1,190,616 | ) | 18,470 | ||||||||
LME Nickel Forward - 90 Day Settlement | Jun-22 | 1 | (175,386 | ) | 18,753 | ||||||||
LME Nickel Forward - 90 Day Settlement | Jun-22 | 1 | (170,061 | ) | (17,541 | ) | |||||||
LME Nickel Forward - 90 Day Settlement | Jun-22 | 1 | (170,055 | ) | 130,845 | ||||||||
LME Tin Forward - 90 Day Settlement | Jun-22 | 1 | (174,310 | ) | 63,905 | ||||||||
LME Tin Forward - 90 Day Settlement | Jun-22 | 1 | (174,675 | ) | 54,725 | ||||||||
LME Zinc Forward | Jun-22 | 15 | (1,473,375 | ) | (66,904 | ) | |||||||
LME Zinc Forward | Sep-22 | 2 | (195,750 | ) | (15,596 | ) | |||||||
Long Gilt Futures | Sep-22 | 94 | (13,736,539 | ) | 233,937 | ||||||||
Lumber Futures | Jul-22 | 1 | (71,885 | ) | 4,015 | ||||||||
Micro E-mini S&P 500 Index Futures | Jun-22 | 1 | (20,656 | ) | 890 | ||||||||
Mini FTSE/MIB Pound Futures | Jun-22 | 1 | (26,311 | ) | (1,393 | ) | |||||||
Mini H-Shares Index Futures | Jun-22 | 1 | (9,402 | ) | (461 | ) | |||||||
Mini HSI Index Futures | Jun-22 | 5 | (136,316 | ) | (5,569 | ) | |||||||
Mini TOPIX Index Futures | Jun-22 | 2 | (29,658 | ) | (476 | ) | |||||||
MSCI EAFE Index Futures | Jun-22 | 3 | (305,550 | ) | 345 | ||||||||
MSCI Emerging Markets Index Futures | Jun-22 | 12 | (637,980 | ) | (1,625 | ) | |||||||
MSCI Singapore Exchange ETS | Jun-22 | 10 | (219,189 | ) | (3,880 | ) | |||||||
Nasdaq 100 E-Mini | Jun-22 | 17 | (4,299,810 | ) | (84,115 | ) | |||||||
Nikkei 225 (Chicago Mercantile Exchange) | Jun-22 | 1 | (135,925 | ) | (5,100 | ) | |||||||
Nikkei 225 (Singapore Exchange) | Jun-22 | 8 | (847,788 | ) | (39,810 | ) | |||||||
Nikkei/Yen Futures | Jun-22 | 1 | (105,566 | ) | (5,904 | ) | |||||||
NY Harbor Ultra-Low Sulfur Diesel Futures | Jul-22 | 7 | (1,156,890 | ) | (71,845 | ) | |||||||
NZD Currency Futures | Jun-22 | 23 | (1,497,875 | ) | 12,145 | ||||||||
OMX Stockholm 30 Index Futures | Jun-22 | 19 | (397,570 | ) | (2,643 | ) | |||||||
Platinum Futures | Jul-22 | 4 | (193,660 | ) | (7,150 | ) | |||||||
Rapeseed Euro | Nov-22 | 1 | (43,251 | ) | 537 | ||||||||
Russell 2000 E-Mini | Jun-22 | 8 | (744,760 | ) | (7,465 | ) | |||||||
S&P 500 E-Mini Futures | Jun-22 | 17 | (3,511,563 | ) | (51,038 | ) | |||||||
S&P Mid 400 E-Mini | Jun-22 | 1 | (251,320 | ) | (2,420 | ) | |||||||
SGX Iron Ore 62% Futures | Jul-22 | 3 | (39,936 | ) | (111 | ) | |||||||
SGX Nifty 50 | Jun-22 | 7 | (231,840 | ) | (5,929 | ) | |||||||
Short BTP Future | Jun-22 | 16 | (1,880,342 | ) | 17,102 | ||||||||
Short BTP Future | Sep-22 | 19 | (2,068,977 | ) | 1,793 | ||||||||
Silver Futures | Jul-22 | 29 | (3,144,760 | ) | 25,292 | ||||||||
STOXX Europe 600 Index | Jun-22 | 4 | (94,923 | ) | (3,833 | ) | |||||||
Sugar No. 11 (World) | Jul-22 | 29 | (630,112 | ) | (26,634 | ) | |||||||
Topix Index Futures | Jun-22 | 1 | (148,289 | ) | (5,088 | ) | |||||||
U.S. Treasury 10-Year Notes (Chicago Board of Trade) | Sep-22 | 186 | (22,218,280 | ) | 152,664 | ||||||||
U.S. Treasury 2-Year Notes (Chicago Board of Trade) | Sep-22 | 52 | (10,977,281 | ) | 9,320 | ||||||||
U.S. Treasury 5-Year Notes (Chicago Board of Trade) | Sep-22 | 312 | (35,241,374 | ) | 87,985 | ||||||||
U.S. Treasury Long Bond (Chicago Board of Trade) | Sep-22 | 48 | (6,693,000 | ) | 66,758 | ||||||||
U.S. Treasury Ultra 10-Year Notes | Sep-22 | 10 | (1,284,844 | ) | 13,438 | ||||||||
U.S. Treasury Ultra Long Bond (Chicago Board of Trade) | Sep-22 | 8 | (1,246,000 | ) | 21,711 | ||||||||
USD/CHN Futures | Jun-22 | 1 | (99,985 | ) | (1,426 | ) | |||||||
WTI Crude Futures | Jul-22 | 8 | (917,360 | ) | (5,850 | ) | |||||||
$ | 6,163,341 | ||||||||||||
Total Futures Contracts | $ | 21,691 |
Forward foreign currency contracts outstanding as of May 31, 2022 were as follows: | |||||||||||||||
CURRENCY PURCHASED | CURRENCY SOLD | EXPIRATION DATE | COUNTERPARTY | UNREALIZED APPRECIATION/ (DEPRECIATION) | |||||||||||
AUD | 186,766 | EUR | 125,000 | Jun 02 2022 | SOCIETE GENERALE | $ | (169 | ) | |||||||
AUD | 6,929,914 | USD | 4,978,450 | Jun 02 2022 | SOCIETE GENERALE | (5,081 | ) | ||||||||
AUD | 200,000 | USD | 142,544 | Jun 15 2022 | SOCIETE GENERALE | 1,020 | |||||||||
AUD | 2,256,600 | EUR | 1,500,000 | Jun 22 2022 | SOCIETE GENERALE | 7,812 | |||||||||
AUD | 2,435,588 | GBP | 1,375,000 | Jun 22 2022 | SOCIETE GENERALE | 15,741 | |||||||||
AUD | 2,400,000 | JPY | 214,322,760 | Jun 22 2022 | SOCIETE GENERALE | 56,655 | |||||||||
AUD | 5,400,000 | NZD | 5,957,685 | Jun 22 2022 | SOCIETE GENERALE | (3,916 | ) | ||||||||
BRL | 7,840,310 | USD | 1,600,000 | Jun 15 2022 | SOCIETE GENERALE | 42,405 | |||||||||
CAD | 12,814,405 | USD | 10,134,771 | Jun 01 2022 | SOCIETE GENERALE | (3,728 | ) | ||||||||
CAD | 891,032 | USD | 700,000 | Jun 15 2022 | SOCIETE GENERALE | 4,379 | |||||||||
CAD | 2,691,621 | AUD | 3,000,000 | Jun 22 2022 | SOCIETE GENERALE | (26,017 | ) | ||||||||
CAD | 2,191,507 | EUR | 1,625,000 | Jun 22 2022 | SOCIETE GENERALE | (14,200 | ) | ||||||||
CAD | 1,800,000 | JPY | 179,043,840 | Jun 22 2022 | SOCIETE GENERALE | 30,851 | |||||||||
CAD | 2,400,000 | USD | 1,892,816 | Jun 22 2022 | SOCIETE GENERALE | 4,388 | |||||||||
CHF | 207,742 | GBP | 171,337 | Jun 01 2022 | SOCIETE GENERALE | 687 | |||||||||
CHF | 184 | USD | 192 | Jun 01 2022 | SOCIETE GENERALE | 1 | |||||||||
CHF | 9,955,984 | USD | 10,389,214 | Jun 02 2022 | SOCIETE GENERALE | (8,805 | ) | ||||||||
CHF | 3,495,187 | EUR | 3,400,000 | Jun 15 2022 | SOCIETE GENERALE | (6,007 | ) | ||||||||
CHF | 1,255,782 | USD | 1,300,000 | Jun 15 2022 | SOCIETE GENERALE | 10,276 | |||||||||
CHF | 2,305,262 | EUR | 2,250,000 | Jun 22 2022 | SOCIETE GENERALE | (11,995 | ) | ||||||||
CHF | 302,213 | GBP | 250,000 | Jun 22 2022 | SOCIETE GENERALE | 411 | |||||||||
CHF | 1,000,000 | JPY | 130,851,920 | Jun 22 2022 | SOCIETE GENERALE | 26,492 | |||||||||
CLP | 174,265,432 | USD | 200,000 | Jun 06 2022 | SOCIETE GENERALE | 11,330 | |||||||||
CLP | 87,611,856 | USD | 100,000 | Jun 13 2022 | SOCIETE GENERALE | 6,104 | |||||||||
CLP | 373,439,032 | USD | 450,000 | Jun 15 2022 | SOCIETE GENERALE | 2,085 | |||||||||
CLP | 167,194,000 | USD | 200,000 | Jun 16 2022 | SOCIETE GENERALE | 2,366 | |||||||||
CLP | 85,445,056 | USD | 100,000 | Jun 23 2022 | SOCIETE GENERALE | 3,280 | |||||||||
CNH | 1,004,241 | USD | 150,000 | Jun 15 2022 | SOCIETE GENERALE | 362 | |||||||||
COP | 385,886,650 | USD | 100,000 | Jun 15 2022 | SOCIETE GENERALE | 2,158 | |||||||||
CZK | 22,290,422 | EUR | 900,000 | Jun 15 2022 | SOCIETE GENERALE | (789 | ) | ||||||||
EUR | 100,000 | HUF | 39,723,372 | Jun 02 2022 | SOCIETE GENERALE | (86 | ) | ||||||||
EUR | 1,018,924 | USD | 1,093,332 | Jun 02 2022 | SOCIETE GENERALE | 622 | |||||||||
EUR | 300,000 | GBP | 255,722 | Jun 15 2022 | SOCIETE GENERALE | 61 | |||||||||
EUR | 900,000 | HUF | 350,472,008 | Jun 15 2022 | SOCIETE GENERALE | 20,740 | |||||||||
EUR | 1,200,000 | JPY | 162,652,904 | Jun 15 2022 | SOCIETE GENERALE | 25,048 | |||||||||
EUR | 100,000 | NOK | 1,029,574 | Jun 15 2022 | SOCIETE GENERALE | (2,424 | ) | ||||||||
EUR | 1,800,000 | SEK | 18,928,776 | Jun 15 2022 | SOCIETE GENERALE | (5,285 | ) | ||||||||
EUR | 400,000 | USD | 427,695 | Jun 15 2022 | SOCIETE GENERALE | 2,054 | |||||||||
EUR | 500,000 | CHF | 516,249 | Jun 22 2022 | SOCIETE GENERALE | (1,477 | ) | ||||||||
EUR | 200,000 | HUF | 77,917,160 | Jun 22 2022 | SOCIETE GENERALE | 4,835 | |||||||||
EUR | 1,200,000 | JPY | 160,930,464 | Jun 22 2022 | SOCIETE GENERALE | 38,568 | |||||||||
EUR | 200,000 | PLN | 932,806 | Jun 22 2022 | SOCIETE GENERALE | (2,831 | ) | ||||||||
EUR | 1,375,000 | SEK | 14,463,049 | Jun 22 2022 | SOCIETE GENERALE | (4,190 | ) | ||||||||
GBP | 171,337 | CHF | 207,927 | Jun 01 2022 | SOCIETE GENERALE | (880 | ) | ||||||||
GBP | 5,140,179 | USD | 6,483,822 | Jun 06 2022 | SOCIETE GENERALE | (6,735 | ) | ||||||||
GBP | 805,321 | EUR | 950,000 | Jun 15 2022 | SOCIETE GENERALE | (5,820 | ) | ||||||||
GBP | 100,000 | USD | 125,153 | Jun 15 2022 | SOCIETE GENERALE | 863 | |||||||||
GBP | 1,611,971 | EUR | 1,900,000 | Jun 22 2022 | SOCIETE GENERALE | (10,724 | ) | ||||||||
GBP | 1,125,000 | JPY | 177,878,216 | Jun 22 2022 | SOCIETE GENERALE | 34,761 | |||||||||
HUF | 39,458,728 | EUR | 100,000 | Jun 02 2022 | SOCIETE GENERALE | (629 | ) | ||||||||
ILS | 334,966 | USD | 100,000 | Jun 15 2022 | SOCIETE GENERALE | 998 | |||||||||
INR | 225,025,129 | USD | 2,900,000 | Jun 06 2022 | SOCIETE GENERALE | (3,145 | ) | ||||||||
INR | 225,721,419 | USD | 2,900,000 | Jun 13 2022 | SOCIETE GENERALE | 3,602 | |||||||||
INR | 15,548,840 | USD | 200,000 | Jun 17 2022 | SOCIETE GENERALE | (75 | ) | ||||||||
INR | 225,291,929 | USD | 2,900,000 | Jun 23 2022 | SOCIETE GENERALE | (5,161 | ) | ||||||||
INR | 15,567,974 | USD | 200,000 | Jun 24 2022 | SOCIETE GENERALE | 15 | |||||||||
JPY | 140,285,460 | EUR | 1,018,924 | Jun 02 2022 | SOCIETE GENERALE | (4,169 | ) | ||||||||
JPY | 638,023,870 | USD | 4,960,148 | Jun 02 2022 | SOCIETE GENERALE | (3,764 | ) | ||||||||
JPY | 38,053,052 | USD | 300,000 | Jun 15 2022 | SOCIETE GENERALE | (4,238 | ) | ||||||||
JPY | 36,598,252 | AUD | 400,000 | Jun 22 2022 | SOCIETE GENERALE | (2,618 | ) | ||||||||
JPY | 19,915,840 | CAD | 200,000 | Jun 22 2022 | SOCIETE GENERALE | (3,256 | ) | ||||||||
JPY | 40,199,900 | GBP | 250,000 | Jun 22 2022 | SOCIETE GENERALE | (2,504 | ) | ||||||||
JPY | 75,000,000 | USD | 589,411 | Jun 22 2022 | SOCIETE GENERALE | (6,292 | ) | ||||||||
KRW | 507,332,000 | USD | 400,000 | Jun 07 2022 | SOCIETE GENERALE | 10,048 | |||||||||
KRW | 1,734,541,040 | USD | 1,400,000 | Jun 13 2022 | SOCIETE GENERALE | 1,903 | |||||||||
KRW | 251,550,103 | USD | 200,000 | Jun 15 2022 | SOCIETE GENERALE | 3,308 | |||||||||
KRW | 247,745,577 | USD | 200,000 | Jun 16 2022 | SOCIETE GENERALE | 233 | |||||||||
KRW | 495,031,154 | USD | 400,000 | Jun 21 2022 | SOCIETE GENERALE | 86 | |||||||||
MXN | 8,500,000 | USD | 437,469 | Jun 01 2022 | SOCIETE GENERALE | (5,653 | ) | ||||||||
MXN | 57,829,663 | USD | 2,900,000 | Jun 15 2022 | SOCIETE GENERALE | 29,346 | |||||||||
MXN | 36,000,000 | USD | 1,813,198 | Jun 22 2022 | SOCIETE GENERALE | 7,613 | |||||||||
NOK | 3,604,863 | EUR | 350,000 | Jun 15 2022 | SOCIETE GENERALE | 8,628 | |||||||||
NOK | 2,588,418 | EUR | 250,000 | Jun 22 2022 | SOCIETE GENERALE | 7,514 | |||||||||
NOK | 14,500,000 | SEK | 14,733,378 | Jun 22 2022 | SOCIETE GENERALE | 37,576 | |||||||||
NZD | 400,000 | USD | 259,110 | Jun 15 2022 | SOCIETE GENERALE | 1,462 | |||||||||
NZD | 2,200,000 | JPY | 177,910,986 | Jun 22 2022 | SOCIETE GENERALE | 49,771 | |||||||||
NZD | 100,000 | USD | 65,424 | Jun 22 2022 | SOCIETE GENERALE | (287 | ) | ||||||||
PEN | 372,684 | USD | 100,000 | Jun 15 2022 | SOCIETE GENERALE | 159 | |||||||||
PLN | 8,320,983 | EUR | 1,800,000 | Jun 15 2022 | SOCIETE GENERALE | 11,043 | |||||||||
PLN | 463,740 | EUR | 100,000 | Jun 22 2022 | SOCIETE GENERALE | 794 | |||||||||
PLN | 867,056 | USD | 200,000 | Jun 22 2022 | SOCIETE GENERALE | 2,444 | |||||||||
SEK | 1,052,362 | EUR | 100,000 | Jun 15 2022 | SOCIETE GENERALE | 372 | |||||||||
SEK | 2,622,970 | EUR | 250,000 | Jun 22 2022 | SOCIETE GENERALE | 78 | |||||||||
SEK | 3,563,273 | NOK | 3,500,000 | Jun 22 2022 | SOCIETE GENERALE | (8,359 | ) | ||||||||
SGD | 480,901 | USD | 350,000 | Jun 15 2022 | SOCIETE GENERALE | 996 | |||||||||
THB | 1,708,217 | USD | 50,000 | Jun 15 2022 | SOCIETE GENERALE | (62 | ) | ||||||||
TRY | 16,252,998 | USD | 1,000,000 | Jun 22 2022 | SOCIETE GENERALE | (37,150 | ) | ||||||||
TWD | 23,796,758 | USD | 800,000 | Jun 06 2022 | SOCIETE GENERALE | 19,900 | |||||||||
TWD | 4,376,552 | USD | 150,000 | Jun 15 2022 | SOCIETE GENERALE | 815 | |||||||||
TWD | 20,182,706 | USD | 700,000 | Jul 01 2022 | SOCIETE GENERALE | (4,294 | ) | ||||||||
USD | 4,956,441 | AUD | 6,929,914 | Jun 02 2022 | SOCIETE GENERALE | (16,928 | ) | ||||||||
USD | 4,978,492 | AUD | 6,929,914 | Jun 03 2022 | SOCIETE GENERALE | 5,059 | |||||||||
USD | 1,184,850 | AUD | 1,700,000 | Jun 15 2022 | SOCIETE GENERALE | (35,446 | ) | ||||||||
USD | 1,187,913 | AUD | 1,700,000 | Jun 22 2022 | SOCIETE GENERALE | (32,544 | ) | ||||||||
USD | 10,066,280 | CAD | 12,814,405 | Jun 01 2022 | SOCIETE GENERALE | (64,763 | ) | ||||||||
USD | 10,134,731 | CAD | 12,814,405 | Jun 02 2022 | SOCIETE GENERALE | 3,810 | |||||||||
USD | 1,800,000 | CAD | 2,311,293 | Jun 15 2022 | SOCIETE GENERALE | (27,124 | ) | ||||||||
USD | 2,268,478 | CAD | 2,900,000 | Jun 22 2022 | SOCIETE GENERALE | (23,977 | ) | ||||||||
USD | 10,394,551 | CHF | 9,955,984 | Jun 02 2022 | SOCIETE GENERALE | 14,142 | |||||||||
USD | 10,389,648 | CHF | 9,955,984 | Jun 03 2022 | SOCIETE GENERALE | 8,767 | |||||||||
USD | 4,200,000 | CHF | 4,102,911 | Jun 15 2022 | SOCIETE GENERALE | (80,953 | ) | ||||||||
USD | 2,305,048 | CHF | 2,250,000 | Jun 22 2022 | SOCIETE GENERALE | (43,628 | ) | ||||||||
USD | 200,000 | CLP | 172,846,000 | Jun 06 2022 | SOCIETE GENERALE | (9,609 | ) | ||||||||
USD | 100,000 | CLP | 87,970,144 | Jun 13 2022 | SOCIETE GENERALE | (6,538 | ) | ||||||||
USD | 700,000 | CLP | 597,727,550 | Jun 15 2022 | SOCIETE GENERALE | (23,609 | ) | ||||||||
USD | 200,000 | CLP | 174,652,660 | Jun 16 2022 | SOCIETE GENERALE | (11,394 | ) | ||||||||
USD | 100,000 | CLP | 84,417,144 | Jun 23 2022 | SOCIETE GENERALE | (2,038 | ) | ||||||||
USD | 200,000 | CLP | 167,710,000 | Jul 05 2022 | SOCIETE GENERALE | (2,232 | ) | ||||||||
USD | 1,300,000 | CNH | 8,792,419 | Jun 15 2022 | SOCIETE GENERALE | (16,459 | ) | ||||||||
USD | 1,300,000 | CNH | 8,811,461 | Jun 22 2022 | SOCIETE GENERALE | (19,010 | ) | ||||||||
USD | 100,000 | COP | 405,708,850 | Jun 15 2022 | SOCIETE GENERALE | (7,405 | ) | ||||||||
USD | 415,886 | EUR | 387,253 | Jun 03 2022 | SOCIETE GENERALE | 101 | |||||||||
USD | 1,890,649 | EUR | 1,800,000 | Jun 15 2022 | SOCIETE GENERALE | (43,221 | ) | ||||||||
USD | 1,838,576 | EUR | 1,750,000 | Jun 22 2022 | SOCIETE GENERALE | (42,368 | ) | ||||||||
USD | 6,485,364 | GBP | 5,140,179 | Jun 06 2022 | SOCIETE GENERALE | 8,277 | |||||||||
USD | 6,483,801 | GBP | 5,140,179 | Jun 07 2022 | SOCIETE GENERALE | 6,720 | |||||||||
USD | 2,228,043 | GBP | 1,800,000 | Jun 15 2022 | SOCIETE GENERALE | (40,245 | ) | ||||||||
USD | 1,546,489 | GBP | 1,250,000 | Jun 22 2022 | SOCIETE GENERALE | (28,790 | ) | ||||||||
USD | 500,000 | HUF | 184,799,000 | Jun 22 2022 | SOCIETE GENERALE | 1,627 | |||||||||
USD | 50,000 | IDR | 733,833,279 | Jun 15 2022 | SOCIETE GENERALE | (319 | ) | ||||||||
USD | 1,200,000 | ILS | 4,063,510 | Jun 15 2022 | SOCIETE GENERALE | (25,212 | ) | ||||||||
USD | 800,000 | ILS | 2,717,763 | Jun 22 2022 | SOCIETE GENERALE | (19,746 | ) | ||||||||
USD | 2,900,000 | INR | 222,588,472 | Jun 06 2022 | SOCIETE GENERALE | 34,513 | |||||||||
USD | 2,900,000 | INR | 225,226,180 | Jun 13 2022 | SOCIETE GENERALE | 2,769 | |||||||||
USD | 550,000 | INR | 42,770,800 | Jun 15 2022 | SOCIETE GENERALE | (66 | ) | ||||||||
USD | 200,000 | INR | 15,536,226 | Jun 17 2022 | SOCIETE GENERALE | 237 | |||||||||
USD | 2,900,000 | INR | 225,969,450 | Jun 23 2022 | SOCIETE GENERALE | (3,544 | ) | ||||||||
USD | 200,000 | INR | 15,560,860 | Jun 24 2022 | SOCIETE GENERALE | 77 | |||||||||
USD | 2,900,000 | INR | 225,491,820 | Jul 01 2022 | SOCIETE GENERALE | 5,130 | |||||||||
USD | 200,000 | INR | 15,586,600 | Jul 05 2022 | SOCIETE GENERALE | (26 | ) | ||||||||
USD | 6,124,490 | JPY | 778,309,330 | Jun 02 2022 | SOCIETE GENERALE | 78,321 | |||||||||
USD | 4,960,276 | JPY | 638,023,870 | Jun 03 2022 | SOCIETE GENERALE | 3,750 | |||||||||
USD | 2,500,000 | JPY | 319,729,357 | Jun 15 2022 | SOCIETE GENERALE | 14,946 | |||||||||
USD | 2,056,262 | JPY | 262,500,000 | Jun 22 2022 | SOCIETE GENERALE | 15,343 | |||||||||
USD | 400,000 | KRW | 506,502,663 | Jun 07 2022 | SOCIETE GENERALE | (9,378 | ) | ||||||||
USD | 1,400,000 | KRW | 1,791,148,940 | Jun 13 2022 | SOCIETE GENERALE | (47,655 | ) | ||||||||
USD | 1,950,000 | KRW | 2,471,997,004 | Jun 15 2022 | SOCIETE GENERALE | (47,921 | ) | ||||||||
USD | 200,000 | KRW | 256,802,423 | Jun 16 2022 | SOCIETE GENERALE | (7,552 | ) | ||||||||
USD | 400,000 | KRW | 507,404,000 | Jun 21 2022 | SOCIETE GENERALE | (10,086 | ) | ||||||||
USD | 2,000,000 | KRW | 2,477,670,000 | Jul 05 2022 | SOCIETE GENERALE | (2,414 | ) | ||||||||
USD | 432,898 | MXN | 8,500,000 | Jun 01 2022 | SOCIETE GENERALE | 1,082 | |||||||||
USD | 100,000 | NOK | 943,694 | Jun 02 2022 | SOCIETE GENERALE | (687 | ) | ||||||||
USD | 1,100,000 | NOK | 10,828,465 | Jun 22 2022 | SOCIETE GENERALE | (55,549 | ) | ||||||||
USD | 1,702,457 | NZD | 2,700,000 | Jun 15 2022 | SOCIETE GENERALE | (56,401 | ) | ||||||||
USD | 1,394,309 | NZD | 2,200,000 | Jun 22 2022 | SOCIETE GENERALE | (38,707 | ) | ||||||||
USD | 600,000 | PLN | 2,665,198 | Jun 22 2022 | SOCIETE GENERALE | (22,283 | ) | ||||||||
USD | 1,200,000 | SEK | 11,970,437 | Jun 22 2022 | SOCIETE GENERALE | (26,649 | ) | ||||||||
USD | 1,350,000 | SGD | 1,874,046 | Jun 15 2022 | SOCIETE GENERALE | (17,814 | ) | ||||||||
USD | 4,200,000 | SGD | 5,830,419 | Jun 22 2022 | SOCIETE GENERALE | (55,370 | ) | ||||||||
USD | 800,000 | THB | 27,649,407 | Jun 15 2022 | SOCIETE GENERALE | (8,305 | ) | ||||||||
USD | 1,600,000 | TRY | 24,613,084 | Jun 22 2022 | SOCIETE GENERALE | 141,890 | |||||||||
USD | 800,000 | TWD | 23,537,831 | Jun 06 2022 | SOCIETE GENERALE | (10,979 | ) | ||||||||
USD | 1,100,000 | TWD | 32,598,148 | Jun 15 2022 | SOCIETE GENERALE | (23,325 | ) | ||||||||
USD | 800,000 | TWD | 23,775,360 | Jun 21 2022 | SOCIETE GENERALE | (19,388 | ) | ||||||||
USD | 700,000 | TWD | 20,178,800 | Jul 05 2022 | SOCIETE GENERALE | 4,371 | |||||||||
USD | 400,000 | ZAR | 6,435,266 | Jun 15 2022 | SOCIETE GENERALE | (10,536 | ) | ||||||||
USD | 800,000 | ZAR | 12,873,347 | Jun 22 2022 | SOCIETE GENERALE | (20,459 | ) | ||||||||
ZAR | 1,557,471 | USD | 100,000 | Jun 15 2022 | SOCIETE GENERALE | (642 | ) | ||||||||
Total Forward Foreign Currency Contracts | $ | (426,118 | ) |
AUD | Australian Dollar | LME | London Mercantile Exchange | |||
BRL | Brazilian Real | MIB | Milano Indice di Borsa | |||
CAD | Canadian Dollar | MXN | Mexican Peso | |||
CHF | Swiss Franc | NOK | Norwegian Krone | |||
CLP | Chilean Peso | NZD | New Zealand Dollar | |||
CNH | Chinese Yuan Renminbi | OMX | Stockholm Stock Exchange | |||
COP | Colombian Peso | PHP | Philippine Peso | |||
CZK | Czech Koruna | PLN | Polish Zloty | |||
DAX | Deutscher Aktienindex | RBOB | Reformulated Blendstock for Oxygenate Blending | |||
DJIA | Dow Jones Industrial Average | RUB | Russian Ruble | |||
EUR | Euro | SEK | Swedish Krona | |||
FTSE | Financial Times Stock Exchange | SGD | Singapore Dollar | |||
GBP | British Pound | THB | Thai Baht | |||
HUF | Hungarian Forint | TRY | Turkish Lira | |||
ILS | Israeli New Shekel | TWD | Taiwan Dollar | |||
INR | Indian Rupee | USD | United States Dollar | |||
JPY | Japanese Yen | WTI | West Texas Intermediate | |||
KRW | Korean Won | ZAR | South African Rand | |||
The accompanying notes are an integral part of the consolidated portfolio of investments. |
ABBEY CAPITAL MULTI ASSET FUND | ||||||
NOTES TO CONSOLIDATED PORTFOLIO OF INVESTMENTS | ||||||
MAY 31, 2022 (UNAUDITED) | ||||||
CONSOLIDATION OF SUBSIDIARIES – The Abbey Capital Mulit-Asset Fund (the "Fund") strategy is achieved by the Fund investing up to 25% of its total assets in ACMAF Master Offshore Limited (the “Cayman Subsidiary”), a wholly-owned and controlled subsidiary of the Fund organized under the acts of the Cayman Islands. Effective on or about November 12, 2020, the Fund’s previous wholly-owned subsidiary, the Abbey Capital Multi Asset Offshore Fund Limited, became a wholly-owned subsidiary of the Cayman Subsidiary through a share exchange between the Fund and the Cayman Subsidiary and registered as a segregated portfolio company under the acts of the Cayman Islands under the name ACMAF Offshore SPC (the “SPC”). The Cayman Subsidiary invests all or substantially all of its assets in segregated portfolios of the SPC. The Cayman Subsidiary serves solely as an intermediate entity through which the Fund invests in the SPC and makes no independent investment decisions and has no investment or other discretion over the Fund’s investable assets. Effective on or about July 8, 2021, the Fund may also invest a portion of its assets in segregated series of another whollyowned subsidiary of the Fund, the ACMAF Onshore Series LLC (the “Onshore Subsidiary”), a Delaware series limited liability company. The consolidated financial statements of the Fund include the financial statements of the Cayman Subsidiary, the Onshore Subsidiary and SPC. The Fund consolidates the results of subsidiaries in which the Fund holds a controlling financial interest. All inter-company accounts and transactions have been eliminated. As of May 31, 2022, the net assets of the Cayman Subsidiary and SPC were $50,447,986, which represented 21.79% of the Fund’s net assets. As of May 31, 2022, the net assets of the Onshore Subsidiary were $32,846,363, which represented 14.19% of the Fund’s net assets. |
PORTFOLIO VALUATION — The Fund's net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Fixed income securities are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Forward exchange contracts are valued by interpolating between spot and forward currency rates as quoted by an independent pricing service. Futures contracts are generally valued using the settlement price determined by the relevant exchange. Options for which the primary market is a national securities exchange are valued at the last sale price on the exchange on which they are traded, or, in the absence of any sale, settlement price determined by the relevant exchange. Options for which the primary market is a national securities exchange are valued at the last sale price on the exchange on which they are traded, or, in the absence of any sale, will be valued at the mean of the last bid and ask prices prior to the market close. Options not traded on a national securities exchange are valued at the last quoted bid price for long option positions and the closing ask price for short option positions. If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. |
FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure the fair value of the Fund's investments are summarized into three levels as described in the hierarchy below: | ||||||
• Level 1 – Prices are determined using quoted prices in active markets for identical securities. | ||||||
• Level 2 – Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). | ||||||
• Level 3 – Prices are determined using significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments). | ||||||
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. | ||||||
The following is a summary of the inputs used, as of May 31, 2022, in valuing the Fund's investments carried at fair value: |
ASSETS | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | ||||||||||||
Short-Term Investments | $ | 200,313,962 | $ | 200,313,962 | $ | - | $ | - | ||||||||
Commodity Contracts | ||||||||||||||||
Futures Contracts | 5,462,457 | 5,462,457 | - | - | ||||||||||||
Equity Contracts | ||||||||||||||||
Futures Contracts | 122,866 | 122,866 | - | - | ||||||||||||
Foreign Currency Contracts | ||||||||||||||||
Forward Foreign Currency Contracts | 905,991 | - | 905,991 | - | ||||||||||||
Futures Contracts | 1,341,940 | 1,341,940 | - | - | ||||||||||||
Interest Rate Contracts | ||||||||||||||||
Futures Contracts | 2,322,838 | 2,322,838 | - | - | ||||||||||||
Total Assets | $ | 210,470,054 | $ | 209,564,063 | $ | 905,991 | $ | - | ||||||||
LIABILITIES | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | ||||||||||||
Commodity Contracts | ||||||||||||||||
Futures Contracts | $ | (4,859,958 | ) | $ | (4,859,958 | ) | $ | - | $ | - | ||||||
Equity Contracts | ||||||||||||||||
Futures Contracts | (4,084,324 | ) | (4,084,324 | ) | - | - | ||||||||||
Foreign Currency Contracts | ||||||||||||||||
Forward Foreign Currency Contracts | (1,332,109 | ) | - | (1,332,109 | ) | - | ||||||||||
Futures Contracts | (186,466 | ) | (186,466 | ) | - | - | ||||||||||
Interest Rate Contracts | ||||||||||||||||
Futures Contracts | (97,662 | ) | (97,662 | ) | - | - | ||||||||||
Total Liabilities | $ | (10,560,519 | ) | $ | (9,228,410 | ) | $ | (1,332,109 | ) | $ | - |
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges. |
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund's investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities. |
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only if the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets.The amounts and reasons for all Level 3 transfers are disclosed if the Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period. |
For the period ended May 31, 2022, the Fund had no Level 3 transfers. | ||||||||
For more information with regard to significant accounting policies, see the most recent semi-annual or annual report filed with the Securities and Exchange Commission. |