1 |
2 |
3 |
4 |
5 |
6 |
7 |
Futures Contracts Outstanding at September 30, 2023 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
U.S. Treasury 2-Year Note Future | 94 | 12/29/2023 | $ 19,054,828 | $ (42,244) | ||||
U.S. Treasury 5-Year Note Future | 140 | 12/29/2023 | 14,750,313 | (106,037) | ||||
U.S. Treasury 10-Year Note Future | 48 | 12/19/2023 | 5,187,000 | (14,899) | ||||
Total futures contracts | $ (163,180) |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Asset & Commercial Mortgage-Backed Securities | $ 22,260,733 | $ — | $ 22,260,733 | $ — | ||||
Corporate Bonds | 182,760,505 | — | 182,760,505 | — | ||||
Municipal Bonds | 13,392,277 | — | 13,392,277 | — | ||||
U.S. Government Agencies | 8,697,415 | — | 8,697,415 | — | ||||
U.S. Government Securities | 311,439,705 | — | 311,439,705 | — | ||||
Common Stocks | ||||||||
Automobiles & Components | 15,412,734 | 15,412,734 | — | — | ||||
Banks | 63,578,608 | 63,578,608 | — | — | ||||
Capital Goods | 72,945,481 | 72,945,481 | — | — | ||||
Consumer Discretionary Distribution & Retail | 36,739,435 | 36,739,435 | — | — | ||||
Consumer Durables & Apparel | 10,688,561 | 10,688,561 | — | — | ||||
Consumer Services | 41,472,442 | 41,472,442 | — | — | ||||
Energy | 19,650,554 | 19,650,554 | — | — | ||||
Equity Real Estate Investment Trusts (REITs) | 27,220,408 | 27,220,408 | — | — | ||||
Financial Services | 119,625,979 | 119,625,979 | — | — | ||||
Food, Beverage & Tobacco | 14,977,061 | 14,977,061 | — | — | ||||
Health Care Equipment & Services | 106,418,021 | 106,418,021 | — | — | ||||
Household & Personal Products | 12,841,629 | 12,841,629 | — | — | ||||
Insurance | 33,787,007 | 33,787,007 | — | — | ||||
Materials | 10,605,110 | 10,605,110 | — | — | ||||
Media & Entertainment | 93,142,134 | 93,142,134 | — | — | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 77,922,721 | 67,781,279 | 10,141,442 | — | ||||
Real Estate Management & Development | 11,054,552 | 11,054,552 | — | — | ||||
Semiconductors & Semiconductor Equipment | 68,434,024 | 68,434,024 | — | — | ||||
Software & Services | 141,266,476 | 141,266,476 | — | — | ||||
Technology Hardware & Equipment | 52,715,091 | 52,715,091 | — | — | ||||
Transportation | 17,336,099 | 17,336,099 | — | — | ||||
Utilities | 11,657,875 | 11,657,875 | — | — | ||||
Short-Term Investments | 5,413,781 | 687,724 | 4,726,057 | — | ||||
Total | $ 1,603,456,418 | $ 1,050,038,284 | $ 553,418,134 | $ — | ||||
Liabilities | ||||||||
Futures Contracts(2) | $ (163,180) | $ (163,180) | $ — | $ — | ||||
Total | $ (163,180) | $ (163,180) | $ — | $ — |
(1) | For the period ended September 30, 2023, there were no transfers in and out of Level 3. |
(2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
8 |
9 |
10 |
Futures Contracts Outstanding at September 30, 2023 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
Nasdaq 100 E-MINI Future | 139 | 12/15/2023 | $ 41,328,870 | $ (1,700,500) | ||||
Total futures contracts | $ (1,700,500) |
11 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Automobiles & Components | $ 4,510,520 | $ 4,510,520 | $ — | $ — | ||||
Banks | 31,893,149 | 31,893,149 | — | — | ||||
Capital Goods | 275,542,478 | 237,967,478 | 28,490,954 | 9,084,046 | ||||
Commercial & Professional Services | 77,313,937 | 77,313,937 | — | — | ||||
Consumer Discretionary Distribution & Retail | 147,612,842 | 143,457,452 | — | 4,155,390 | ||||
Consumer Durables & Apparel | 90,712,022 | 90,712,022 | — | — | ||||
Consumer Services | 72,531,622 | 72,531,622 | — | — | ||||
Consumer Staples Distribution & Retail | 26,422,877 | 26,422,877 | — | — | ||||
Energy | 111,882,785 | 111,882,785 | — | — | ||||
Equity Real Estate Investment Trusts (REITs) | 93,811,819 | 93,811,819 | — | — | ||||
Financial Services | 269,374,361 | 269,374,361 | — | — | ||||
Food, Beverage & Tobacco | 116,731,580 | 116,731,580 | — | — | ||||
Health Care Equipment & Services | 303,685,969 | 303,685,969 | — | — | ||||
Household & Personal Products | 111,759,375 | 94,780,741 | 16,978,634 | — | ||||
Insurance | 164,168,429 | 164,168,429 | — | — | ||||
Materials | 105,841,336 | 94,052,663 | 11,788,673 | — | ||||
Media & Entertainment | 239,444,842 | 239,444,842 | — | — | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 268,599,777 | 255,325,915 | 13,273,862 | — | ||||
Real Estate Management & Development | 11,669,328 | 11,669,328 | — | — | ||||
Semiconductors & Semiconductor Equipment | 185,182,609 | 185,182,609 | — | — | ||||
Software & Services | 329,644,069 | 329,643,805 | — | 264 | ||||
Technology Hardware & Equipment | 101,686,505 | 95,334,027 | 6,352,478 | — | ||||
Transportation | 61,750,946 | 61,750,946 | — | — | ||||
Utilities | 72,384,513 | 57,829,240 | 14,555,273 | — | ||||
Convertible Preferred Stocks | 167 | — | — | 167 | ||||
Short-Term Investments | 18,073,494 | 6,367,044 | 11,706,450 | — | ||||
Total | $ 3,292,231,351 | $ 3,175,845,160 | $ 103,146,324 | $ 13,239,867 | ||||
Liabilities | ||||||||
Futures Contracts(2) | $ (1,700,500) | $ (1,700,500) | $ — | $ — | ||||
Total | $ (1,700,500) | $ (1,700,500) | $ — | $ — |
(1) | For the period ended September 30, 2023, there were no transfers in and out of Level 3. |
(2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
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13 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Automobiles & Components | $ 19,710,580 | $ 19,710,580 | $ — | $ — | ||||
Banks | 108,447,760 | 108,447,760 | — | — | ||||
Capital Goods | 160,979,288 | 160,979,288 | — | — | ||||
Commercial & Professional Services | 19,088,360 | 19,088,360 | — | — | ||||
Consumer Discretionary Distribution & Retail | 178,064,285 | 176,663,812 | — | 1,400,473 | ||||
Consumer Durables & Apparel | 31,716,676 | 31,716,676 | — | — | ||||
Consumer Services | 35,259,600 | 35,259,600 | — | — | ||||
Consumer Staples Distribution & Retail | 9,422,759 | 9,422,759 | — | — | ||||
Energy | 100,456,015 | 100,456,015 | — | — | ||||
Equity Real Estate Investment Trusts (REITs) | 42,435,302 | 42,435,302 | — | — | ||||
Financial Services | 116,698,805 | 116,698,805 | — | — | ||||
Food, Beverage & Tobacco | 64,870,307 | 64,870,307 | — | — | ||||
Health Care Equipment & Services | 184,809,992 | 184,809,992 | — | — | ||||
Household & Personal Products | 105,859,453 | 105,859,453 | — | — | ||||
Insurance | 88,450,690 | 88,450,690 | — | — | ||||
Materials | 29,484,719 | 29,484,719 | — | — | ||||
Media & Entertainment | 209,269,783 | 209,269,783 | — | — | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 245,171,135 | 245,171,135 | — | — | ||||
Semiconductors & Semiconductor Equipment | 208,806,006 | 208,806,006 | — | — | ||||
Software & Services | 263,015,639 | 263,015,639 | — | — | ||||
Technology Hardware & Equipment | 212,006,517 | 212,006,517 | — | — | ||||
Utilities | 72,455,049 | 72,455,049 | — | — | ||||
Convertible Preferred Stocks | 5,454,654 | — | — | 5,454,654 | ||||
Short-Term Investments | 2,597,226 | — | 2,597,226 | — | ||||
Total | $ 2,514,530,600 | $ 2,505,078,247 | $ 2,597,226 | $ 6,855,127 |
(1) | For the period ended September 30, 2023, there were no transfers in and out of Level 3. |
14 |
15 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Banks | $ 162,464,428 | $ 162,464,428 | $ — | $ — | ||||
Capital Goods | 223,620,912 | 189,367,748 | 34,253,164 | — | ||||
Consumer Discretionary Distribution & Retail | 110,153,382 | 110,153,382 | — | — | ||||
Consumer Staples Distribution & Retail | 42,723,433 | 42,723,433 | — | — | ||||
Energy | 286,455,190 | 286,455,190 | — | — | ||||
Equity Real Estate Investment Trusts (REITs) | 86,983,308 | 86,983,308 | — | — | ||||
Financial Services | 226,620,146 | 226,620,146 | — | — | ||||
Food, Beverage & Tobacco | 103,011,754 | 103,011,754 | — | — | ||||
Health Care Equipment & Services | 245,322,602 | 245,322,602 | — | — | ||||
Household & Personal Products | 67,903,167 | 67,903,167 | — | — | ||||
Insurance | 129,799,421 | 129,799,421 | — | — | ||||
Materials | 119,871,190 | 119,871,190 | — | — | ||||
Media & Entertainment | 291,756,664 | 291,756,664 | — | — | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 265,506,636 | 265,506,636 | — | — | ||||
Semiconductors & Semiconductor Equipment | 144,104,154 | 144,104,154 | — | — | ||||
Software & Services | 312,999,271 | 312,999,271 | — | — | ||||
Technology Hardware & Equipment | 145,123,851 | 145,123,851 | — | — | ||||
Telecommunication Services | 19,261,036 | 19,261,036 | — | — | ||||
Transportation | 22,689,477 | 22,689,477 | — | — | ||||
Utilities | 175,703,155 | 175,703,155 | — | — | ||||
Short-Term Investments | 8,494,052 | — | 8,494,052 | — | ||||
Total | $ 3,190,567,229 | $ 3,147,820,013 | $ 42,747,216 | $ — |
(1) | For the period ended September 30, 2023, there were no transfers in and out of Level 3. |
16 |
17 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Biotechnology | $ 21,863,634 | $ 20,855,109 | $ 1,008,525 | $ — | ||||
Health Care Distributors | 2,709,859 | 2,709,859 | — | — | ||||
Health Care Equipment | 19,737,248 | 19,107,899 | 629,349 | — | ||||
Health Care Facilities | 5,947,919 | 5,947,919 | — | — | ||||
Health Care Services | 3,746,197 | 3,746,197 | — | — | ||||
Life Sciences Tools & Services | 17,276,686 | 16,805,444 | 471,242 | — | ||||
Managed Health Care | 20,372,261 | 20,372,261 | — | — | ||||
Pharmaceuticals | 40,795,826 | 33,190,456 | 7,605,370 | — | ||||
Rights | 903 | — | — | 903 | ||||
Short-Term Investments | 245,127 | — | 245,127 | — | ||||
Total | $ 132,695,660 | $ 122,735,144 | $ 9,959,613 | $ 903 |
(1) | For the period ended September 30, 2023, there were no transfers in and out of Level 3. |
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20 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Australia | $ 18,891,059 | $ — | $ 18,891,059 | $ — | ||||
Brazil | 11,173,041 | 11,173,041 | — | — | ||||
Canada | 48,931,163 | 48,931,163 | — | — | ||||
China | 56,497,911 | 5,134,171 | 51,363,740 | — | ||||
Denmark | 5,426,887 | — | 5,426,887 | — | ||||
France | 93,256,099 | — | 93,256,099 | — | ||||
Germany | 77,773,322 | — | 77,773,322 | — | ||||
Hong Kong | 7,494,984 | — | 7,494,984 | — | ||||
India | 30,918,589 | — | 30,918,589 | — | ||||
Indonesia | 7,060,437 | — | 7,060,437 | — | ||||
Italy | 13,375,076 | — | 13,375,076 | — | ||||
Japan | 107,663,726 | — | 107,663,726 | — | ||||
Netherlands | 30,845,162 | — | 30,845,162 | — | ||||
South Africa | 11,843,982 | — | 11,843,982 | — | ||||
South Korea | 23,002,018 | — | 23,002,018 | — | ||||
Spain | 9,226,409 | — | 9,226,409 | — | ||||
Switzerland | 45,177,330 | — | 45,177,330 | — | ||||
Taiwan | 29,788,324 | — | 29,788,324 | — | ||||
Thailand | 10,192,198 | — | 10,192,198 | — | ||||
United Kingdom | 102,621,396 | — | 102,621,396 | — | ||||
United States | 39,370,774 | 5,956,786 | 33,413,988 | — | ||||
Exchange-Traded Funds | 1,621,140 | 1,621,140 | — | — | ||||
Preferred Stocks | 10,696,800 | 10,696,800 | — | — | ||||
Rights | 22,384 | 22,384 | — | — | ||||
Warrants | — | — | — | — | ||||
Short-Term Investments | 2,658,018 | 149,397 | 2,508,621 | — | ||||
Total | $ 795,528,229 | $ 83,684,882 | $ 711,843,347 | $ — |
(1) | For the period ended September 30, 2023, there were no transfers in and out of Level 3. |
21 |
22 |
23 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Automobiles & Components | $ 18,489,575 | $ 18,489,575 | $ — | $ — | ||||
Banks | 5,463,272 | 5,463,272 | — | — | ||||
Capital Goods | 147,311,408 | 147,311,408 | — | — | ||||
Commercial & Professional Services | 38,106,077 | 38,106,077 | — | — | ||||
Consumer Discretionary Distribution & Retail | 25,046,377 | 25,046,377 | — | — | ||||
Consumer Durables & Apparel | 40,441,391 | 40,441,391 | — | — | ||||
Consumer Services | 37,920,471 | 37,920,471 | — | — | ||||
Consumer Staples Distribution & Retail | 8,495,742 | 8,495,742 | — | — | ||||
Energy | 59,449,586 | 59,449,586 | — | — | ||||
Equity Real Estate Investment Trusts (REITs) | 9,256,522 | 9,256,522 | — | — | ||||
Financial Services | 87,191,076 | 87,191,076 | — | — | ||||
Food, Beverage & Tobacco | 9,254,433 | 9,254,433 | — | — | ||||
Health Care Equipment & Services | 84,365,083 | 84,365,083 | — | — | ||||
Insurance | 30,300,627 | 30,300,627 | — | — | ||||
Materials | 32,892,529 | 32,892,529 | — | — | ||||
Media & Entertainment | 16,926,228 | 16,926,228 | — | — | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 154,124,872 | 154,124,872 | — | — | ||||
Semiconductors & Semiconductor Equipment | 43,698,818 | 43,698,818 | — | — | ||||
Software & Services | 149,258,058 | 149,258,058 | — | — | ||||
Technology Hardware & Equipment | 19,705,150 | 19,705,150 | — | — | ||||
Transportation | 48,922,952 | 48,922,952 | — | — | ||||
Utilities | 9,175,874 | 9,175,874 | — | — | ||||
Short-Term Investments | 420,388 | 90,630 | 329,758 | — | ||||
Total | $ 1,076,216,509 | $ 1,075,886,751 | $ 329,758 | $ — |
(1) | For the period ended September 30, 2023, there were no transfers in and out of Level 3. |
24 |
25 |
26 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Automobiles & Components | $ 4,193,600 | $ 4,193,600 | $ — | $ — | ||||
Banks | 3,283,625 | 3,283,625 | — | — | ||||
Capital Goods | 65,262,104 | 65,262,104 | — | — | ||||
Commercial & Professional Services | 29,649,319 | 29,649,319 | — | — | ||||
Consumer Discretionary Distribution & Retail | 8,818,334 | 7,263,070 | — | 1,555,264 | ||||
Consumer Durables & Apparel | 15,124,589 | 15,124,589 | — | — | ||||
Consumer Services | 24,772,932 | 24,772,932 | — | — | ||||
Energy | 21,752,086 | 21,752,086 | — | — | ||||
Equity Real Estate Investment Trusts (REITs) | 11,052,170 | 11,052,170 | — | — | ||||
Financial Services | 7,993,454 | 7,993,454 | — | — | ||||
Food, Beverage & Tobacco | 11,069,407 | 11,069,407 | — | — | ||||
Health Care Equipment & Services | 42,839,648 | 42,839,648 | — | — | ||||
Household & Personal Products | 7,770,363 | 7,770,363 | — | — | ||||
Insurance | 4,049,887 | 4,049,887 | — | — | ||||
Materials | 12,340,057 | 12,340,057 | — | — | ||||
Media & Entertainment | 15,225,369 | 15,225,369 | — | — | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 42,366,545 | 42,366,545 | — | — | ||||
Semiconductors & Semiconductor Equipment | 9,449,547 | 9,449,547 | — | — | ||||
Software & Services | 44,659,638 | 44,659,638 | — | — | ||||
Technology Hardware & Equipment | 13,959,929 | 13,959,929 | — | — | ||||
Exchange-Traded Funds | 387,331 | 387,331 | — | — | ||||
Short-Term Investments | 1,778,123 | 1,676,690 | 101,433 | — | ||||
Total | $ 397,798,057 | $ 396,141,360 | $ 101,433 | $ 1,555,264 |
(1) | For the period ended September 30, 2023, there were no transfers in and out of Level 3. |
27 |
28 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Banks | $ 12,066,204 | $ 12,066,204 | $ — | $ — | ||||
Capital Goods | 165,342,617 | 165,342,617 | — | — | ||||
Commercial & Professional Services | 24,484,548 | 24,484,548 | — | — | ||||
Consumer Discretionary Distribution & Retail | 64,371,617 | 64,371,617 | — | — | ||||
Consumer Durables & Apparel | 34,495,106 | 34,495,106 | — | — | ||||
Consumer Services | 36,354,720 | 36,354,720 | — | — | ||||
Consumer Staples Distribution & Retail | 30,407,277 | 30,407,277 | — | — | ||||
Equity Real Estate Investment Trusts (REITs) | 34,318,078 | 34,318,078 | — | — | ||||
Financial Services | 104,958,767 | 104,958,767 | — | — | ||||
Food, Beverage & Tobacco | 85,067,942 | 63,929,989 | 21,137,953 | — | ||||
Health Care Equipment & Services | 144,132,154 | 144,132,154 | — | — | ||||
Household & Personal Products | 73,538,187 | 73,538,187 | — | — | ||||
Insurance | 69,202,292 | 69,202,292 | — | — | ||||
Materials | 67,543,107 | 67,543,107 | — | — | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 97,099,189 | 97,099,189 | — | — | ||||
Semiconductors & Semiconductor Equipment | 29,767,308 | 29,767,308 | — | — | ||||
Software & Services | 88,193,113 | 88,193,113 | — | — | ||||
Transportation | 76,207,126 | 76,207,126 | — | — | ||||
Utilities | 10,581,979 | 10,581,979 | — | — | ||||
Short-Term Investments | 2,144,844 | — | 2,144,844 | — | ||||
Total | $ 1,250,276,175 | $ 1,226,993,378 | $ 23,282,797 | $ — |
(1) | For the period ended September 30, 2023, there were no transfers in and out of Level 3. |
29 |
30 |
31 |
32 |
33 |
34 |
35 |
36 |
37 |
38 |
39 |
40 |
41 |
42 |
43 |
44 |
45 |
Futures Contracts Outstanding at September 30, 2023 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
Canadian 5-Years Bond Future | 742 | 12/18/2023 | $ 58,988,522 | $ (693,895) | ||||
Euro-BUND Future | 8 | 12/07/2023 | 1,088,037 | (22,928) | ||||
Long Gilt Future | 71 | 12/27/2023 | 8,156,808 | (44,163) | ||||
U.S. Treasury 2-Year Note Future | 1,311 | 12/29/2023 | 265,754,040 | (589,523) | ||||
U.S. Treasury 5-Year Note Future | 1,043 | 12/29/2023 | 109,889,828 | (791,964) | ||||
U.S. Treasury 10-Year Note Future | 78 | 12/19/2023 | 8,428,875 | 2,464 | ||||
U.S. Treasury Long Bond Future | 44 | 12/19/2023 | 5,006,375 | (57,194) | ||||
Total | $ (2,197,203) | |||||||
Short position contracts: | ||||||||
Canadian 10-Years Bond Future | 133 | 12/18/2023 | $ 11,273,543 | $ 301,263 | ||||
Euro BUXL 30-Year Bond Future | 142 | 12/07/2023 | 18,369,847 | 1,248,467 |
46 |
Futures Contracts Outstanding at September 30, 2023 – (continued) | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Short position contracts – (continued): | ||||||||
Euro-BTP Future | 187 | 12/07/2023 | $ 21,694,254 | $ 827,875 | ||||
U.S. Treasury 10-Year Ultra Future | 101 | 12/19/2023 | 11,267,813 | 53,545 | ||||
U.S. Treasury Ultra Bond Future | 246 | 12/19/2023 | 29,197,125 | 1,104,624 | ||||
Total | $ 3,535,774 | |||||||
Total futures contracts | $ 1,338,571 |
TBA Sale Commitments Outstanding at September 30, 2023 | ||||||||
Description | Principal Amount | Maturity Date | Market Value† | Unrealized Appreciation/ (Depreciation) | ||||
Government National Mortgage Association, 3.00% | $ 7,554,000 | 10/20/2053 | $ (6,411,458) | $ 153,735 | ||||
Uniform Mortgage-Backed Security, 1.50% | 200,000 | 10/01/2053 | (143,778) | 3,816 | ||||
Uniform Mortgage-Backed Security, 2.50% | 28,295,000 | 10/01/2052 | (22,477,143) | 724,269 | ||||
Uniform Mortgage-Backed Security, 3.00% | 16,055,000 | 10/01/2053 | (13,290,531) | 397,836 | ||||
Uniform Mortgage-Backed Security, 3.50% | 11,216,000 | 10/01/2053 | (9,658,027) | 255,427 | ||||
Uniform Mortgage-Backed Security, 4.00% | 14,353,000 | 10/01/2053 | (12,793,233) | 322,915 | ||||
Total TBA sale commitments (proceeds receivable $66,632,168) | $ (64,774,170) | $ 1,857,998 | ||||||
At September 30, 2023, the aggregate market value of TBA Sale Commitments represents (3.8)% of total net assets. |
Centrally Cleared Credit Default Swap Contracts Outstanding at September 30, 2023 | |||||||||||||||||
Reference Entity | Notional Amount(1) | (Pay)/Receive Fixed Rate | Expiration Date | Periodic Payment Frequency | Upfront Premiums Paid | Upfront Premiums Received | Value† | Unrealized Appreciation/ (Depreciation) | |||||||||
Credit default swaps on indices: | |||||||||||||||||
Buy protection: | |||||||||||||||||
CDX.EM.S40.V1 | USD | 28,270,000 | (1.00%) | 12/20/2028 | Quarterly | $ 1,411,884 | $ — | $ 1,534,164 | $ 122,280 | ||||||||
Sell protection: | |||||||||||||||||
CDX.NA.HY.S41.V1 | USD | 9,070,000 | 5.00% | 12/20/2028 | Quarterly | $ 78,333 | $ — | $ 102,175 | $ 23,842 | ||||||||
Credit default swaps on single-name issues: | |||||||||||||||||
Buy protection: | |||||||||||||||||
Brazil Republic | USD | 6,073,000 | (1.00%) | 06/20/2027 | Quarterly | $ 249,475 | $ — | $ 54,837 | $ (194,638) | ||||||||
Brazil Republic | USD | 9,365,000 | (1.00%) | 06/20/2028 | Quarterly | 449,809 | — | 254,250 | (195,559) | ||||||||
Total | $ 699,284 | $ — | $ 309,087 | $ (390,197) | |||||||||||||
Total centrally cleared credit default swap contracts | $ 2,189,501 | $ — | $ 1,945,426 | $ (244,075) |
(1) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
Centrally Cleared Interest Rate Swap Contracts Outstanding at September 30, 2023 | |||||||||||||||||
Payments made by Fund | Payments received by Fund | Notional Amount | Expiration Date | Periodic Payment Frequency | Upfront Premiums Paid | Upfront Premiums Received | Value† | Unrealized Appreciation/ (Depreciation) | |||||||||
2.97% Fixed | 12 Mo. USD SOFR | USD | 12,140,000 | 03/15/2053 | Annual | $ 38,454 | $ — | $ 2,313,908 | $ 2,275,454 | ||||||||
2.88% Fixed | 12 Mo. USD SOFR | USD | 3,745,000 | 03/15/2053 | Annual | 42,778 | — | 772,576 | 729,798 | ||||||||
3.25% Fixed | 12 Mo. USD SOFR | USD | 6,235,000 | 06/21/2053 | Annual | — | (67,274) | 853,780 | 921,054 | ||||||||
3.59% Fixed | 12 Mo. USD SOFR | USD | 9,465,000 | 09/20/2053 | Annual | 40,632 | — | 695,323 | 654,691 | ||||||||
Total centrally cleared interest rate swaps contracts | $ 121,864 | $ (67,274) | $ 4,635,587 | $ 4,580,997 |
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Foreign Currency Contracts Outstanding at September 30, 2023 | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
8,999,920 | USD | 45,140,000 | BRL | JPM | 12/20/2023 | $ 109,660 | ||||
211,527 | USD | 198,736 | EUR | DEUT | 10/31/2023 | 1,145 | ||||
30,880,220 | USD | 28,708,000 | EUR | DEUT | 12/20/2023 | 409,467 | ||||
1,126,482 | USD | 1,047,000 | EUR | JPM | 12/20/2023 | 15,194 | ||||
1,010,652 | USD | 940,000 | EUR | BMO | 12/20/2023 | 12,933 | ||||
556,228 | USD | 517,000 | EUR | MSC | 12/20/2023 | 7,482 | ||||
156,285 | USD | 145,000 | EUR | ANZ | 12/20/2023 | 2,382 | ||||
Total foreign currency contracts | $ 558,263 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Asset & Commercial Mortgage-Backed Securities | $ 396,469,051 | $ — | $ 395,750,365 | $ 718,686 | ||||
Corporate Bonds | 497,861,488 | — | 497,861,488 | — | ||||
Foreign Government Obligations | 46,051,916 | — | 46,051,916 | — | ||||
Municipal Bonds | 24,024,197 | — | 24,024,197 | — | ||||
Senior Floating Rate Interests | 18,513 | — | 18,513 | — | ||||
U.S. Government Agencies | 779,701,013 | — | 779,701,013 | — | ||||
U.S. Government Securities | 253,123,309 | — | 253,123,309 | — | ||||
Common Stocks | ||||||||
Energy | — | — | — | — | ||||
Preferred Stocks | 1,721,856 | 1,721,856 | — | — | ||||
Short-Term Investments | 6,973,513 | 3,221,871 | 3,751,642 | — | ||||
Foreign Currency Contracts(2) | 558,263 | — | 558,263 | — | ||||
Futures Contracts(2) | 3,538,238 | 3,538,238 | — | — | ||||
Swaps - Credit Default(2) | 146,122 | — | 146,122 | — | ||||
Swaps - Interest Rate(2) | 4,580,997 | — | 4,580,997 | — | ||||
Total | $ 2,014,768,476 | $ 8,481,965 | $ 2,005,567,825 | $ 718,686 | ||||
Liabilities | ||||||||
Futures Contracts(2) | $ (2,199,667) | $ (2,199,667) | $ — | $ — | ||||
Swaps - Credit Default(2) | (390,197) | — | (390,197) | — | ||||
TBA Sale Commitments | (64,774,170) | — | (64,774,170) | — | ||||
Total | $ (67,364,034) | $ (2,199,667) | $ (65,164,367) | $ — |
(1) | For the period ended September 30, 2023, there were no transfers in and out of Level 3. |
(2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
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Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Asset & Commercial Mortgage-Backed Securities | $ 212,863,995 | $ — | $ 212,863,995 | $ — | ||||
Corporate Bonds | 203,299,073 | — | 203,299,073 | — | ||||
U.S. Government Agencies | 35,746,678 | — | 35,746,678 | — | ||||
U.S. Government Securities | 97,702,609 | — | 97,702,609 | — | ||||
Short-Term Investments | 20,660,715 | 1,751,833 | 18,908,882 | — | ||||
Total | $ 570,273,070 | $ 1,751,833 | $ 568,521,237 | $ — |
(1) | For the period ended September 30, 2023, there were no transfers in and out of Level 3. |
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