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Futures Contracts Outstanding at January 31, 2023 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
Euro-Schatz Future | 14 | 03/08/2023 | $ 1,609,450 | $ 1,220 | ||||
U.S. Treasury 2-Year Note Future | 765 | 03/31/2023 | 157,321,055 | 468,228 | ||||
U.S. Treasury 5-Year Note Future | 1,576 | 03/31/2023 | 172,165,689 | 1,379,967 | ||||
U.S. Treasury Ultra Bond Future | 1,216 | 03/22/2023 | 172,368,000 | 4,832,675 | ||||
Total | $ 6,682,090 | |||||||
Short position contracts: | ||||||||
Euro BUXL 30-Year Bond Future | 18 | 03/08/2023 | $ 2,817,894 | $ 252,644 | ||||
Euro-BOBL Future | 87 | 03/08/2023 | 11,094,478 | 165,899 | ||||
Euro-BUND Future | 92 | 03/08/2023 | 13,684,439 | 419,345 | ||||
U.S. Treasury 10-Year Note Future | 3,421 | 03/22/2023 | 391,757,953 | (4,046,323) | ||||
U.S. Treasury 10-Year Ultra Future | 1,495 | 03/22/2023 | 181,198,672 | (1,571,905) | ||||
U.S. Treasury Long Bond Future | 421 | 03/22/2023 | 54,677,375 | (578,400) | ||||
Total | $ (5,358,740) | |||||||
Total futures contracts | $ 1,323,350 |
25 |
Centrally Cleared Credit Default Swap Contracts Outstanding at January 31, 2023 | |||||||||||||||
Reference Entity | Notional Amount(1) | (Pay)/Receive Fixed Rate | Expiration Date | Periodic Payment Frequency | Cost Basis | Value† | Unrealized Appreciation/ (Depreciation) | ||||||||
Credit default swaps on indices: | |||||||||||||||
Sell protection: | |||||||||||||||
CDX.NA.HY.39.V1 | USD | 1,990,000 | 5.00% | 12/20/2027 | Quarterly | $ 34,789 | $ 65,316 | $ 30,527 | |||||||
CDX.NA.IG.35.V1 | USD | 148,065,000 | 1.00% | 12/20/2025 | Quarterly | 1,935,676 | 2,405,087 | 469,411 | |||||||
CDX.NA.IGS.38.V1 | USD | 159,660,000 | 1.00% | 06/20/2027 | Quarterly | 1,176,411 | 2,483,875 | 1,307,464 | |||||||
Total | $ 3,146,876 | $ 4,954,278 | $ 1,807,402 | ||||||||||||
Credit default swaps on single-name issues: | |||||||||||||||
Sell protection: | |||||||||||||||
Republic of Turkey (B+) | USD | 6,290,000 | 1.00% | 12/20/2027 | Quarterly | $ (1,202,054) | $ (1,069,763) | $ 132,291 | |||||||
Total | $ (1,202,054) | $ (1,069,763) | $ 132,291 | ||||||||||||
Total centrally cleared credit default swap contracts | $ 1,944,822 | $ 3,884,515 | $ 1,939,693 |
(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. |
Foreign Currency Contracts Outstanding at January 31, 2023 | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
5,475,000 | BRL | 1,045,646 | USD | CBK | 03/02/2023 | $ 27,058 | ||||
7,355,000 | CNH | 1,057,454 | USD | UBS | 03/15/2023 | 34,303 | ||||
23,720,000 | CZK | 1,063,558 | USD | MSC | 03/15/2023 | 18,164 | ||||
16,582,000 | EGP | 562,102 | USD | GSC | 04/10/2023 | (35,396) | ||||
9,328,000 | EGP | 302,170 | USD | GSC | 04/18/2023 | (6,549) | ||||
5,578,000 | EUR | 5,923,296 | USD | MSC | 03/15/2023 | 157,922 | ||||
3,382,000 | EUR | 3,626,316 | USD | UBS | 03/15/2023 | 60,790 | ||||
2,376,000 | EUR | 2,557,994 | USD | SSG | 03/15/2023 | 32,357 | ||||
500,000 | EUR | 533,461 | USD | SCB | 03/15/2023 | 11,646 | ||||
22,000 | EUR | 23,939 | USD | RBC | 03/15/2023 | 46 | ||||
121,000 | EUR | 132,185 | USD | CBA | 03/15/2023 | (269) | ||||
1,622,000 | EUR | 1,774,440 | USD | JPM | 03/15/2023 | (6,112) | ||||
398,400,000 | HUF | 1,026,540 | USD | BCLY | 03/16/2023 | 64,259 | ||||
16,413,000,000 | IDR | 1,053,872 | USD | BOA | 03/15/2023 | 40,155 | ||||
243,950,000 | KZT | 517,666 | USD | DEUT | 04/28/2023 | 321 | ||||
243,950,000 | KZT | 504,550 | USD | DEUT | 07/31/2023 | 2,906 | ||||
35,570,000 | THB | 1,083,956 | USD | TDB | 03/15/2023 | (1,542) | ||||
37,135,000 | UYU | 924,427 | USD | CBK | 04/18/2023 | 21,326 | ||||
5,305,000 | UYU | 133,627 | USD | JPM | 04/18/2023 | 1,480 | ||||
348,543 | USD | 1,684,098,000 | COP | BNP | 03/15/2023 | (9,001) | ||||
536,879 | USD | 16,582,000 | EGP | GSC | 04/10/2023 | 10,172 | ||||
307,348 | USD | 9,328,000 | EGP | GSC | 04/18/2023 | 11,726 | ||||
23,212,191 | USD | 21,235,000 | EUR | TDB | 02/28/2023 | 84,657 | ||||
2,095,783 | USD | 1,927,000 | EUR | MSC | 03/15/2023 | (5,060) | ||||
492,821 | USD | 465,000 | EUR | SSG | 03/15/2023 | (14,129) | ||||
41,909,819 | USD | 39,591,000 | EUR | BCLY | 03/15/2023 | (1,252,872) | ||||
19,878 | USD | 16,000 | GBP | JPM | 02/28/2023 | 140 | ||||
Total foreign currency contracts | $ (751,502) |
26 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Convertible Bonds | $ 9,792,153 | $ — | $ 9,792,153 | $ — | ||||
Corporate Bonds | 6,638,385,681 | — | 6,638,385,681 | — | ||||
Foreign Government Obligations | 550,556,408 | — | 550,556,408 | — | ||||
Municipal Bonds | 43,034,031 | — | 43,034,031 | — | ||||
Senior Floating Rate Interests | 10,724,988 | — | 10,724,988 | — | ||||
U.S. Government Securities | 399,047,498 | — | 399,047,498 | — | ||||
Common Stocks | ||||||||
Banks | 425,432,795 | 425,432,795 | — | — | ||||
Capital Goods | 591,521,525 | 505,485,379 | 86,036,146 | — | ||||
Consumer Services | 69,094,148 | 69,094,148 | — | — | ||||
Diversified Financials | 506,505,960 | 506,505,960 | — | — | ||||
Energy | 514,422,421 | 514,382,353 | 40,068 | — | ||||
Food & Staples Retailing | 60,849,942 | 60,849,942 | — | — | ||||
Food, Beverage & Tobacco | 318,661,139 | 318,661,139 | — | — | ||||
Health Care Equipment & Services | 162,535,094 | 162,535,094 | — | — | ||||
Household & Personal Products | 187,688,334 | 187,688,334 | — | — | ||||
Insurance | 315,237,570 | 315,237,570 | — | — | ||||
Materials | 286,003,656 | 286,003,656 | — | — | ||||
Media & Entertainment | 109,324,885 | 109,324,885 | — | — | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 864,061,055 | 775,256,076 | 88,804,979 | — | ||||
Real Estate | 343,199,140 | 343,199,140 | — | — | ||||
Retailing | 239,826,984 | 239,826,984 | — | — | ||||
Semiconductors & Semiconductor Equipment | 381,911,040 | 381,911,040 | — | — | ||||
Software & Services | 66,219,423 | 66,219,423 | — | — | ||||
Technology Hardware & Equipment | 241,753,716 | 241,753,716 | — | — | ||||
Transportation | 63,654,226 | 63,654,226 | — | — | ||||
Utilities | 468,532,126 | 468,532,126 | — | — | ||||
Escrows | 27,639,016 | — | 27,639,016 | — | ||||
Preferred Stocks | 35,174,800 | 35,174,800 | — | — | ||||
Short-Term Investments | 142,329,924 | 47,027,040 | 95,302,884 | — | ||||
Foreign Currency Contracts(2) | 579,428 | — | 579,428 | — | ||||
Futures Contracts(2) | 7,519,978 | 7,519,978 | — | — | ||||
Swaps - Credit Default(2) | 1,939,693 | — | 1,939,693 | — | ||||
Total | $ 14,083,158,777 | $ 6,131,275,804 | $ 7,951,882,973 | $ — | ||||
Liabilities | ||||||||
Foreign Currency Contracts(2) | $ (1,330,930) | $ — | $ (1,330,930) | $ — | ||||
Futures Contracts(2) | (6,196,628) | (6,196,628) | — | — | ||||
Total | $ (7,527,558) | $ (6,196,628) | $ (1,330,930) | $ — |
(1) | For the period ended January 31, 2023, investments valued at $296,400 were transferred into Level 3 due to the unavailability of active market pricing. There were no transfers 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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Exchange-Traded Option Contracts Outstanding at January 31, 2023 | ||||||||||||||||
Description | Exercise Price/ FX Rate/ Rate | Expiration Date | Number of Contracts | Notional Amount | Market Value† | Premiums Paid (Received) by Fund | Unrealized Appreciation/ (Depreciation) | |||||||||
Purchased option contracts: | ||||||||||||||||
Put | ||||||||||||||||
iShares MSCI EAFE ETF Option | 66.00 | USD | 03/17/2023 | 230 | USD | 23,000 | $ 7,360 | $ 7,929 | $ (569) | |||||||
iShares MSCI EAFE ETF Option | 55.00 | USD | 03/17/2023 | 264 | USD | 26,400 | 1,056 | 56,692 | (55,636) | |||||||
iShares MSCI EAFE ETF Option | 62.00 | USD | 06/16/2023 | 344 | USD | 34,400 | 23,908 | 23,820 | 88 | |||||||
iShares MSCI EAFE ETF Option | 60.00 | USD | 09/15/2023 | 458 | USD | 45,800 | 43,739 | 46,526 | (2,787) | |||||||
iShares MSCI Emerging Markets Option | 39.00 | USD | 03/17/2023 | 194 | USD | 19,400 | 7,178 | 4,962 | 2,216 | |||||||
iShares MSCI Emerging Markets Option | 35.00 | USD | 03/17/2023 | 288 | USD | 28,800 | 2,448 | 46,803 | (44,355) | |||||||
iShares MSCI Emerging Markets Option | 32.00 | USD | 03/17/2023 | 288 | USD | 28,800 | 1,728 | 25,219 | (23,491) | |||||||
iShares MSCI Emerging Markets Option | 37.00 | USD | 06/16/2023 | 386 | USD | 38,600 | 22,388 | 19,555 | 2,833 | |||||||
iShares MSCI Emerging Markets Option | 35.00 | USD | 09/15/2023 | 580 | USD | 58,000 | 40,890 | 35,744 | 5,146 | |||||||
S&P 500 Index Option | 3,700.00 | USD | 03/17/2023 | 7 | USD | 700 | 12,950 | 14,436 | (1,486) | |||||||
S&P 500 Index Option | 3,350.00 | USD | 03/17/2023 | 10 | USD | 1,000 | 5,500 | 101,533 | (96,033) | |||||||
S&P 500 Index Option | 3,550.00 | USD | 06/16/2023 | 10 | USD | 1,000 | 44,940 | 47,244 | (2,304) | |||||||
S&P 500 Index Option | 3,450.00 | USD | 09/15/2023 | 13 | USD | 1,300 | 87,828 | 86,899 | 929 | |||||||
Total purchased exchange-traded option contracts | $ 301,913 | $ 517,362 | $ (215,449) |
Futures Contracts Outstanding at January 31, 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 | 7 | 03/31/2023 | $ 1,439,539 | $ (247) | ||||
U.S. Treasury 10-Year Note Future | 59 | 03/22/2023 | 6,756,422 | 111,964 | ||||
U.S. Treasury Ultra Bond Future | 4 | 03/22/2023 | 567,000 | (6,508) | ||||
Total futures contracts | $ 105,209 |
Foreign Currency Contracts Outstanding at January 31, 2023 | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
1,255,766 | USD | 1,150,000 | CHF | UBS | 02/28/2023 | $ (4,173) | ||||
3,394,106 | USD | 3,105,000 | EUR | TDB | 02/28/2023 | 12,378 | ||||
3,719,626 | USD | 2,994,000 | GBP | JPM | 02/28/2023 | 26,211 | ||||
1,129,695 | USD | 146,200,000 | JPY | JPM | 02/28/2023 | 2,233 | ||||
440,578 | USD | 4,350,000 | NOK | UBS | 02/28/2023 | 4,216 | ||||
244,453 | USD | 2,500,000 | SEK | UBS | 02/28/2023 | 5,018 | ||||
Total foreign currency contracts | $ 45,883 |
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Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Asset & Commercial Mortgage-Backed Securities | $ 9,663,137 | $ — | $ 9,663,137 | $ — | ||||
Corporate Bonds | 12,265,578 | — | 12,265,578 | — | ||||
Municipal Bonds | 464,187 | — | 464,187 | — | ||||
U.S. Government Agencies | 6,259,890 | — | 6,259,890 | — | ||||
U.S. Government Securities | 2,193,400 | — | 2,193,400 | — | ||||
Common Stocks | ||||||||
Banks | 800,378 | 800,378 | — | — | ||||
Capital Goods | 2,372,077 | 769,184 | 1,602,893 | — | ||||
Commercial & Professional Services | 381,976 | — | 381,976 | — | ||||
Consumer Durables & Apparel | 666,300 | 638,443 | 27,857 | — | ||||
Consumer Services | 966,643 | 680,634 | 286,009 | — | ||||
Energy | 4,307,591 | 2,386,099 | 1,812,048 | 109,444 | ||||
Food, Beverage & Tobacco | 2,585,486 | 1,416,979 | 1,168,507 | — | ||||
Health Care Equipment & Services | 1,670,483 | 1,670,483 | — | — | ||||
Household & Personal Products | 1,444,032 | 956,393 | 487,639 | — | ||||
Insurance | 1,860,817 | 893,184 | 967,633 | — | ||||
Materials | 5,515,981 | 2,699,197 | 2,816,784 | — | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 1,774,342 | 987,404 | 786,938 | — | ||||
Real Estate | 3,021,316 | 2,192,666 | 828,650 | — | ||||
Retailing | 486,412 | 486,412 | — | — | ||||
Semiconductors & Semiconductor Equipment | 351,786 | 351,786 | — | — | ||||
Software & Services | 2,346,483 | 1,919,086 | 427,397 | — | ||||
Telecommunication Services | 453,656 | — | 453,656 | — | ||||
Transportation | 775,778 | 775,778 | — | — | ||||
Utilities | 640,926 | 273,022 | 367,904 | — | ||||
Escrows | 96,033 | — | 96,033 | — | ||||
Warrants | — | — | — | — | ||||
Affiliated Investment Companies | 15,546,983 | 15,546,983 | — | — | ||||
Short-Term Investments | 1,378,083 | 893,024 | 485,059 | — | ||||
Purchased Options | 301,913 | 301,913 | — | — | ||||
Foreign Currency Contracts(2) | 50,056 | — | 50,056 | — | ||||
Futures Contracts(2) | 111,964 | 111,964 | — | — | ||||
Total | $ 80,753,687 | $ 36,751,012 | $ 43,893,231 | $ 109,444 | ||||
Liabilities | ||||||||
Foreign Currency Contracts(2) | $ (4,173) | $ — | $ (4,173) | $ — | ||||
Futures Contracts(2) | (6,755) | (6,755) | — | — | ||||
Total | $ (10,928) | $ (6,755) | $ (4,173) | $ — |
(1) | For the period ended January 31, 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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Futures Contracts Outstanding at January 31, 2023 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
Nasdaq 100 E-MINI Future | 423 | 03/17/2023 | $ 102,805,920 | $ 6,208,016 | ||||
Total futures contracts | $ 6,208,016 |
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Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Automobiles & Components | $ 49,509,912 | $ 49,509,912 | $ — | $ — | ||||
Banks | 122,539,959 | 122,539,959 | — | — | ||||
Capital Goods | 558,933,434 | 528,449,135 | 12,387,775 | 18,096,524 | ||||
Commercial & Professional Services | 101,926,319 | 101,926,319 | — | — | ||||
Consumer Durables & Apparel | 182,859,250 | 182,859,250 | — | — | ||||
Consumer Services | 213,171,058 | 213,171,058 | — | — | ||||
Diversified Financials | 301,631,493 | 301,631,493 | — | — | ||||
Energy | 156,330,014 | 156,330,014 | — | — | ||||
Food & Staples Retailing | 56,303,389 | 56,303,389 | — | — | ||||
Food, Beverage & Tobacco | 211,319,176 | 211,319,176 | — | — | ||||
Health Care Equipment & Services | 522,988,020 | 522,988,020 | — | — | ||||
Household & Personal Products | 143,449,320 | 143,449,320 | — | — | ||||
Insurance | 333,426,669 | 333,426,669 | — | — | ||||
Materials | 284,802,204 | 284,802,204 | — | — | ||||
Media & Entertainment | 272,759,876 | 272,759,876 | — | — | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 415,091,148 | 415,091,148 | — | — | ||||
Real Estate | 160,461,258 | 160,461,258 | — | — | ||||
Retailing | 286,410,698 | 275,617,632 | — | 10,793,066 | ||||
Semiconductors & Semiconductor Equipment | 156,204,378 | 156,204,378 | — | — | ||||
Software & Services | 719,030,844 | 718,737,055 | — | 293,789 | ||||
Technology Hardware & Equipment | 303,765,544 | 303,765,544 | — | — | ||||
Transportation | 102,215,767 | 102,215,767 | — | — | ||||
Utilities | 47,072,873 | 47,072,873 | — | — | ||||
Convertible Preferred Stocks | 1,597,412 | — | — | 1,597,412 | ||||
Exchange-Traded Funds | 36,343,496 | 36,343,496 | — | — | ||||
Short-Term Investments | 23,939,314 | 3,920,691 | 20,018,623 | — | ||||
Futures Contracts(2) | 6,208,016 | 6,208,016 | — | — | ||||
Total | $ 5,770,290,841 | $ 5,707,103,652 | $ 32,406,398 | $ 30,780,791 |
(1) | For the period ended January 31, 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 | ||||||||
Affiliated Investment Companies | $ 1,406,558,284 | $ 1,406,558,284 | $ — | $ — | ||||
Short-Term Investments | 3,340,097 | 3,340,097 | — | — | ||||
Total | $ 1,409,898,381 | $ 1,409,898,381 | $ — | $ — |
(1) | For the period ended January 31, 2023, there were no transfers in and out of Level 3. |
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Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Australia | $ 630,357 | $ — | $ 630,357 | $ — | ||||
Belgium | 413,203 | — | 413,203 | — | ||||
Canada | 1,027,854 | 1,027,854 | — | — | ||||
Chile | 523,778 | — | 523,778 | — | ||||
China | 4,017,046 | — | 4,017,046 | — | ||||
Denmark | 2,731,306 | — | 2,731,306 | — | ||||
France | 4,171,196 | — | 4,171,196 | — | ||||
Germany | 6,104,092 | — | 6,104,092 | — | ||||
Ireland | 2,753,840 | 2,462,874 | 290,966 | — | ||||
Israel | 2,097,641 | 2,097,641 | — | — | ||||
Italy | 1,335,964 | — | 1,335,964 | — | ||||
Japan | 9,417,664 | — | 9,417,664 | — | ||||
Netherlands | 832,274 | — | 832,274 | — | ||||
Norway | 1,531,447 | — | 1,531,447 | — | ||||
South Korea | 1,475,864 | — | 1,475,864 | — | ||||
Spain | 1,964,205 | — | 1,964,205 | — | ||||
Sweden | 2,370,206 | — | 2,370,206 | — | ||||
Taiwan | 1,356,574 | — | 1,356,574 | — | ||||
United Kingdom | 4,413,006 | — | 4,413,006 | — | ||||
United States | 63,276,819 | 60,272,878 | 3,003,941 | — | ||||
Short-Term Investments | 1,150,270 | 928,231 | 222,039 | — | ||||
Total | $ 113,594,606 | $ 66,789,478 | $ 46,805,128 | $ — |
(1) | For the period ended January 31, 2023, there were no transfers in and out of Level 3. |
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Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Affiliated Investment Companies | $ 107,983,305 | $ 107,983,305 | $ — | $ — | ||||
Short-Term Investments | 249,155 | 249,155 | — | — | ||||
Total | $ 108,232,460 | $ 108,232,460 | $ — | $ — |
(1) | For the period ended January 31, 2023, there were no transfers in and out of Level 3. |
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Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Automobiles & Components | $ 74,785,889 | $ 74,785,889 | $ — | $ — | ||||
Banks | 508,935,878 | 508,935,878 | — | — | ||||
Capital Goods | 866,217,603 | 866,217,603 | — | — | ||||
Commercial & Professional Services | 140,657,902 | 140,657,902 | — | — | ||||
Consumer Durables & Apparel | 156,702,357 | 156,702,357 | — | — | ||||
Consumer Services | 205,225,176 | 205,225,176 | — | — | ||||
Diversified Financials | 458,781,290 | 458,781,290 | — | — | ||||
Energy | 370,455,437 | 370,455,437 | — | — | ||||
Food & Staples Retailing | 108,676,535 | 108,676,535 | — | — | ||||
Food, Beverage & Tobacco | 282,191,373 | 282,191,373 | — | — | ||||
Health Care Equipment & Services | 764,385,040 | 764,385,040 | — | — | ||||
Household & Personal Products | 311,705,991 | 311,705,991 | — | — | ||||
Insurance | 246,993,174 | 246,993,174 | — | — | ||||
Materials | 108,997,346 | 108,997,346 | — | — | ||||
Media & Entertainment | 586,600,113 | 586,600,113 | — | — | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 929,833,569 | 929,833,569 | — | — | ||||
Real Estate | 176,221,438 | 176,221,438 | — | — | ||||
Retailing | 523,185,566 | 523,185,566 | — | — | ||||
Semiconductors & Semiconductor Equipment | 509,396,594 | 509,396,594 | — | — | ||||
Software & Services | 1,077,294,934 | 1,077,294,934 | — | — | ||||
Technology Hardware & Equipment | 987,957,272 | 987,957,272 | — | — | ||||
Utilities | 341,008,087 | 341,008,087 | — | — | ||||
Short-Term Investments | 15,460,607 | — | 15,460,607 | — | ||||
Total | $ 9,751,669,171 | $ 9,736,208,564 | $ 15,460,607 | $ — |
(1) | For the period ended January 31, 2023, there were no transfers in and out of Level 3. |
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48 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Banks | $ 777,782,127 | $ 777,782,127 | $ — | $ — | ||||
Capital Goods | 906,037,861 | 812,959,994 | 93,077,867 | — | ||||
Consumer Services | 354,105,973 | 354,105,973 | — | — | ||||
Diversified Financials | 1,162,165,360 | 1,162,165,360 | — | — | ||||
Energy | 843,827,400 | 843,827,400 | — | — | ||||
Food & Staples Retailing | 375,953,790 | 375,953,790 | — | — | ||||
Food, Beverage & Tobacco | 345,140,582 | 345,140,582 | — | — | ||||
Health Care Equipment & Services | 1,314,317,940 | 1,314,317,940 | — | — | ||||
Household & Personal Products | 257,396,894 | 257,396,894 | — | — | ||||
Insurance | 927,509,853 | 927,509,853 | — | — | ||||
Materials | 588,644,352 | 588,644,352 | — | — | ||||
Media & Entertainment | 1,085,864,723 | 1,085,864,723 | — | — | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 1,397,821,112 | 1,397,821,112 | — | — | ||||
Real Estate | 638,869,939 | 638,869,939 | — | — | ||||
Retailing | 485,706,347 | 485,706,347 | — | — | ||||
Semiconductors & Semiconductor Equipment | 435,958,470 | 435,958,470 | — | — | ||||
Software & Services | 1,777,625,423 | 1,777,625,423 | — | — | ||||
Technology Hardware & Equipment | 683,482,691 | 683,482,691 | — | — | ||||
Telecommunication Services | 260,545,545 | 260,545,545 | — | — | ||||
Transportation | 272,231,948 | 272,231,948 | — | — | ||||
Utilities | 709,237,192 | 709,237,192 | — | — | ||||
Short-Term Investments | 88,965,171 | — | 88,965,171 | — | ||||
Total | $ 15,689,190,693 | $ 15,507,147,655 | $ 182,043,038 | $ — |
(1) | For the period ended January 31, 2023, there were no transfers in and out of Level 3. |
49 |
50 |
51 |
52 |
(7) | All, or a portion of the security, was pledged as collateral in connection with futures contracts. As of January 31, 2023, the market value of securities pledged was $319,138. |
Futures Contracts Outstanding at January 31, 2023 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
U.S. Treasury 5-Year Note Future | 6 | 03/31/2023 | $ 655,453 | $ (3,472) | ||||
Short position contracts: | ||||||||
U.S. Treasury 10-Year Ultra Future | 16 | 03/22/2023 | $ 1,939,250 | $ (436) | ||||
U.S. Treasury Ultra Bond Future | 1 | 03/22/2023 | 141,750 | (1,033) | ||||
Total | $ (1,469) | |||||||
Total futures contracts | $ (4,941) |
Centrally Cleared Credit Default Swap Contracts Outstanding at January 31, 2023 | |||||||||||||||
Reference Entity | Notional Amount(1) | (Pay)/Receive Fixed Rate | Expiration Date | Periodic Payment Frequency | Cost Basis | Value† | Unrealized Appreciation/ (Depreciation) | ||||||||
Credit default swaps on indices: | |||||||||||||||
Sell protection: | |||||||||||||||
CDX.NA.HY.39.V1 | USD | 510,000 | 5.00% | 12/20/2027 | Quarterly | $ 8,916 | $ 16,739 | $ 7,823 | |||||||
Total centrally cleared credit default swap contracts | $ 8,916 | $ 16,739 | $ 7,823 |
(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. |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Corporate Bonds | $ 33,731,250 | $ — | $ 33,731,250 | $ — | ||||
Foreign Government Obligations | 519,714 | — | 519,714 | — | ||||
U.S. Government Securities | 12,017,249 | — | 12,017,249 | — | ||||
Preferred Stocks | 255,300 | 255,300 | — | — | ||||
Swaps - Credit Default(2) | 7,823 | — | 7,823 | — | ||||
Total | $ 46,531,336 | $ 255,300 | $ 46,276,036 | $ — | ||||
Liabilities | ||||||||
Futures Contracts(2) | $ (4,941) | $ (4,941) | $ — | $ — | ||||
Total | $ (4,941) | $ (4,941) | $ — | $ — |
(1) | For the period ended January 31, 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. |
53 |
54 |
55 |
56 |
Futures Contracts Outstanding at January 31, 2023 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
MSCI Emerging Markets Index Future | 75 | 03/17/2023 | $ 3,917,250 | $ 210,325 | ||||
Total futures contracts | $ 210,325 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Brazil | $ 17,480,132 | $ 17,480,132 | $ — | $ — | ||||
Chile | 3,270,311 | 3,270,311 | — | — | ||||
China | 123,428,860 | 12,048,387 | 110,791,585 | 588,888 | ||||
Colombia | 903,114 | 903,114 | — | — | ||||
Czech Republic | 1,871,743 | 1,871,743 | — | — | ||||
Greece | 1,936,846 | — | 1,936,846 | — | ||||
Hong Kong | 10,387,843 | — | 9,195,266 | 1,192,577 | ||||
Hungary | 781,316 | — | 781,316 | — | ||||
India | 48,407,971 | 926,353 | 47,481,618 | — | ||||
Indonesia | 5,743,143 | — | 5,743,143 | — | ||||
Luxembourg | 656,172 | 656,172 | — | — | ||||
Malaysia | 1,820,456 | — | 1,820,456 | — | ||||
Mexico | 14,588,831 | 14,588,831 | — | — | ||||
Poland | 1,864,364 | — | 1,864,364 | — | ||||
Qatar | 5,860,855 | — | 5,860,855 | — | ||||
Romania | 507,005 | — | 507,005 | — | ||||
Russia | — | — | — | — | ||||
Saudi Arabia | 13,355,800 | 13,355,800 | — | — | ||||
South Africa | 9,657,261 | 3,092,816 | 6,564,445 | — | ||||
South Korea | 47,699,367 | 762,809 | 46,936,558 | — | ||||
Taiwan | 53,402,180 | — | 53,402,180 | — | ||||
Thailand | 16,321,680 | 13,257,283 | 3,064,397 | — | ||||
Turkey | 1,907,449 | — | 1,907,449 | — | ||||
United Arab Emirates | 3,954,368 | — | 3,954,368 | — | ||||
Preferred Stocks | 4,080,665 | 4,080,665 | — | — | ||||
Short-Term Investments | 1,154,315 | 16,142 | 1,138,173 | — | ||||
Futures Contracts(2) | 210,325 | 210,325 | — | — | ||||
Total | $ 391,252,372 | $ 86,520,883 | $ 302,950,024 | $ 1,781,465 |
(1) | For the period ended January 31, 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. |
57 |
58 |
59 |
60 |
61 |
OTC Option Contracts Outstanding at January 31, 2023 | |||||||||||||||||||
Description | Counterparty | Exercise Price/ FX Rate/Rate | Expiration Date | Number of Contracts | Notional Amount | Market Value† | Premiums Paid (Received) by Fund | Unrealized Appreciation/ (Depreciation) | |||||||||||
Purchased option contracts: | |||||||||||||||||||
Call | |||||||||||||||||||
AUD Call/USD Put | MSC | 0.70 | AUD | 02/27/2023 | 1,220,000 | AUD | 1,220,000 | $ 13,630 | $ 7,850 | $ 5,780 | |||||||||
EUR Call/USD Put | BOA | 1.05 | EUR | 02/27/2023 | 388,000 | EUR | 388,000 | 16,668 | 16,846 | (178) | |||||||||
NZD Call/USD Put | BCLY | 0.65 | NZD | 02/27/2023 | 1,315,000 | NZD | 1,315,000 | 9,678 | 7,851 | 1,827 | |||||||||
USD Call/BRL Put | MSC | 6.06 | USD | 02/16/2023 | 815,000 | USD | 815,000 | 1 | 15,371 | (15,370) | |||||||||
USD Call/BRL Put | MSC | 5.97 | USD | 05/08/2023 | 781,000 | USD | 781,000 | 3,671 | 17,456 | (13,785) | |||||||||
USD Call/BRL Put | GSC | 6.11 | USD | 06/14/2023 | 413,000 | USD | 413,000 | 2,726 | 9,856 | (7,130) | |||||||||
USD Call/CLP Put | MSC | 1,029.00 | USD | 02/06/2023 | 576,000 | USD | 576,000 | 1 | 10,887 | (10,886) | |||||||||
USD Call/CZK Put | CBK | 24.22 | USD | 03/06/2023 | 412,000 | USD | 412,000 | 157 | 68 | 89 | |||||||||
USD Call/HUF Put | MSC | 398.53 | USD | 02/27/2023 | 614,000 | USD | 614,000 | 979 | 900 | 79 | |||||||||
USD Call/HUF Put | CBK | 435.12 | USD | 03/06/2023 | 412,000 | USD | 412,000 | 222 | 177 | 45 | |||||||||
USD Call/INR Put | MSC | 84.48 | USD | 02/17/2023 | 407,000 | USD | 407,000 | 81 | 2,271 | (2,190) | |||||||||
USD Call/INR Put | MSC | 83.80 | USD | 04/26/2023 | 1,184,000 | USD | 1,184,000 | 6,286 | 5,687 | 599 | |||||||||
USD Call/INR Put | UBS | 84.15 | USD | 04/27/2023 | 382,000 | USD | 382,000 | 1,913 | 1,913 | — | |||||||||
USD Call/MXN Put | BOA | 20.72 | USD | 04/20/2023 | 837,000 | USD | 837,000 | 2,832 | 30,673 | (27,841) | |||||||||
USD Call/THB Put | MSC | 34.18 | USD | 04/11/2023 | 604,000 | USD | 604,000 | 2,427 | 4,745 | (2,318) | |||||||||
USD Call/TRY Put | BOA | 19.79 | USD | 04/21/2023 | 388,000 | USD | 388,000 | 10,282 | 11,954 | (1,672) | |||||||||
USD Call/ZAR Put | BOA | 17.03 | USD | 02/27/2023 | 599,000 | USD | 599,000 | 18,982 | 19,243 | (261) | |||||||||
USD Call/ZAR Put | BOA | 17.96 | USD | 04/04/2023 | 391,000 | USD | 391,000 | 6,808 | 5,120 | 1,688 | |||||||||
Total Call | $ 97,344 | $ 168,868 | $ (71,524) | ||||||||||||||||
Put | |||||||||||||||||||
EUR Put/USD Call | BOA | 1.05 | EUR | 02/27/2023 | 388,000 | EUR | 388,000 | $ 378 | $ 424 | $ (46) | |||||||||
MXN Call/USD Put | UBS | 19.53 | USD | 04/25/2023 | 1,042,000 | USD | 1,042,000 | 34,753 | 12,150 | 22,603 | |||||||||
MXN Call/USD Put | BOA | 20.72 | USD | 04/20/2023 | 837,000 | USD | 837,000 | 72,057 | 27,584 | 44,473 | |||||||||
USD Put/BRL Call | BOA | 5.19 | USD | 02/16/2023 | 815,000 | USD | 815,000 | 21,493 | 14,997 | 6,496 | |||||||||
USD Put/CLP Call | BOA | 906.35 | USD | 02/21/2023 | 605,000 | USD | 605,000 | 81,419 | 8,510 | 72,909 | |||||||||
USD Put/CLP Call | MSC | 852.30 | USD | 02/28/2023 | 820,000 | USD | 820,000 | 57,512 | 11,020 | 46,492 | |||||||||
USD Put/CLP Call | BOA | 809.50 | USD | 04/04/2023 | 391,000 | USD | 391,000 | 13,808 | 5,622 | 8,186 | |||||||||
USD Put/COP Call | CBK | 4,778.00 | USD | 02/06/2023 | 387,000 | USD | 387,000 | 9,793 | 6,023 | 3,770 | |||||||||
USD Put/COP Call | MSC | 5,139.00 | USD | 02/06/2023 | 387,000 | USD | 387,000 | 38,429 | 51,030 | (12,601) | |||||||||
USD Put/COP Call | MSC | 4,672.00 | USD | 04/04/2023 | 783,000 | USD | 783,000 | 19,342 | 10,477 | 8,865 | |||||||||
USD Put/COP Call | MSC | 4,346.00 | USD | 04/24/2023 | 391,000 | USD | 391,000 | 2,346 | 4,856 | (2,510) | |||||||||
USD Put/CZK Call | JPM | 22.47 | USD | 03/06/2023 | 412,000 | USD | 412,000 | 12,074 | 3,029 | 9,045 | |||||||||
USD Put/CZK Call | CBK | 21.30 | USD | 04/26/2023 | 395,000 | USD | 395,000 | 2,248 | 2,493 | (245) | |||||||||
USD Put/HUF Call | MSC | 398.53 | USD | 02/27/2023 | 614,000 | USD | 614,000 | 60,426 | 67,128 | (6,702) | |||||||||
USD Put/HUF Call | JPM | 379.35 | USD | 03/06/2023 | 412,000 | USD | 412,000 | 20,513 | 5,245 | 15,268 | |||||||||
USD Put/HUF Call | JPM | 379.15 | USD | 03/06/2023 | 824,000 | USD | 824,000 | 40,654 | 11,367 | 29,287 | |||||||||
USD Put/HUF Call | CBK | 346.75 | USD | 04/26/2023 | 395,000 | USD | 395,000 | 3,280 | 4,348 | (1,068) | |||||||||
USD Put/INR Call | UBS | 80.69 | USD | 02/17/2023 | 407,000 | USD | 407,000 | 362 | 362 | — | |||||||||
USD Put/KRW Call | JPM | 1,296.00 | USD | 02/23/2023 | 803,000 | USD | 803,000 | 42,398 | 6,745 | 35,653 | |||||||||
USD Put/MXN Call | MSC | 19.45 | USD | 02/27/2023 | 817,000 | USD | 817,000 | 25,281 | 18,334 | 6,947 | |||||||||
USD Put/PLN Call | CBK | 4.33 | USD | 03/06/2023 | 1,235,000 | USD | 1,235,000 | 14,984 | 11,924 | 3,060 | |||||||||
USD Put/PLN Call | BOA | 4.20 | USD | 04/26/2023 | 395,000 | USD | 395,000 | 2,926 | 2,950 | (24) | |||||||||
USD Put/ZAR Call | BOA | 17.03 | USD | 02/27/2023 | 599,000 | USD | 599,000 | 4,152 | 17,458 | (13,306) | |||||||||
Total Put | $ 580,628 | $ 304,076 | $ 276,552 | ||||||||||||||||
Total purchased OTC option contracts | $ 677,972 | $ 472,944 | $ 205,028 | ||||||||||||||||
Written option contracts: | |||||||||||||||||||
Call | |||||||||||||||||||
AUD Call/USD Put | MSC | 0.67 | AUD | 02/27/2023 | (1,220,000) | AUD | (1,220,000) | $ (43,307) | $ (22,637) | $ (20,670) | |||||||||
EUR Call/USD Put | CBK | 1.05 | EUR | 02/27/2023 | (388,000) | EUR | (388,000) | (16,669) | (7,871) | (8,798) | |||||||||
NZD Call/USD Put | BCLY | 0.62 | NZD | 02/27/2023 | (1,315,000) | NZD | (1,315,000) | (36,247) | (22,386) | (13,861) | |||||||||
USD Call/BRL Put | BOA | 6.06 | USD | 02/16/2023 | (815,000) | USD | (815,000) | (16) | (866) | 850 | |||||||||
USD Call/CLP Put | MSC | 947.00 | USD | 02/06/2023 | (576,000) | USD | (576,000) | (1) | (24,791) | 24,790 | |||||||||
USD Call/CLP Put | BOA | 933.50 | USD | 04/04/2023 | (391,000) | USD | (391,000) | (1,368) | (6,780) | 5,412 |
62 |
OTC Option Contracts Outstanding at January 31, 2023 – (continued) | |||||||||||||||||||
Description | Counterparty | Exercise Price/ FX Rate/Rate | Expiration Date | Number of Contracts | Notional Amount | Market Value† | Premiums Paid (Received) by Fund | Unrealized Appreciation/ (Depreciation) | |||||||||||
Written – (continued): | |||||||||||||||||||
Call – (continued): | |||||||||||||||||||
USD Call/CLP Put | BOA | 810.10 | USD | 04/26/2023 | (394,000) | USD | (394,000) | $ (13,566) | $ (14,864) | $ 1,298 | |||||||||
USD Call/CZK Put | JPM | 24.22 | USD | 03/06/2023 | (412,000) | USD | (412,000) | (157) | (3,496) | 3,339 | |||||||||
USD Call/CZK Put | CBK | 22.68 | USD | 04/26/2023 | (395,000) | USD | (395,000) | (3,540) | (3,036) | (504) | |||||||||
USD Call/HUF Put | CBK | 398.53 | USD | 02/27/2023 | (614,000) | USD | (614,000) | (977) | (25,908) | 24,931 | |||||||||
USD Call/HUF Put | JPM | 435.12 | USD | 03/06/2023 | (412,000) | USD | (412,000) | (222) | (7,797) | 7,575 | |||||||||
USD Call/HUF Put | CBK | 390.65 | USD | 04/26/2023 | (395,000) | USD | (395,000) | (5,996) | (5,506) | (490) | |||||||||
USD Call/INR Put | UBS | 84.48 | USD | 02/17/2023 | (407,000) | USD | (407,000) | (151) | (151) | — | |||||||||
USD Call/KRW Put | BOA | 1,240.65 | USD | 04/10/2023 | (401,000) | USD | (401,000) | (5,801) | (9,008) | 3,207 | |||||||||
USD Call/PLN Put | BOA | 4.57 | USD | 04/26/2023 | (395,000) | USD | (395,000) | (3,787) | (3,869) | 82 | |||||||||
USD Call/THB Put | MSC | 33.00 | USD | 04/11/2023 | (604,000) | USD | (604,000) | (7,189) | (11,583) | 4,394 | |||||||||
USD Call/THB Put | JPM | 34.20 | USD | 04/21/2023 | (1,032,000) | USD | (1,032,000) | (4,552) | (22,838) | 18,286 | |||||||||
USD Call/THB Put | MSC | 32.50 | USD | 04/25/2023 | (1,570,000) | USD | (1,570,000) | (30,121) | (28,889) | (1,232) | |||||||||
USD Call/TRY Put | BOA | 21.28 | USD | 04/21/2023 | (388,000) | USD | (388,000) | (5,354) | (6,281) | 927 | |||||||||
USD Call/ZAR Put | JPM | 17.03 | USD | 02/27/2023 | (599,000) | USD | (599,000) | (18,982) | (14,085) | (4,897) | |||||||||
Total Call | $ (198,003) | $ (242,642) | $ 44,639 | ||||||||||||||||
Puts | |||||||||||||||||||
EUR Put/USD Call | CBK | 1.05 | EUR | 02/27/2023 | (388,000) | EUR | (388,000) | $ (378) | $ (8,417) | $ 8,039 | |||||||||
USD Put/BRL Call | MSC | 5.19 | USD | 02/16/2023 | (815,000) | USD | (815,000) | (21,679) | (12,584) | (9,095) | |||||||||
USD Put/BRL Call | MSC | 4.95 | USD | 05/08/2023 | (781,000) | USD | (781,000) | (13,746) | (13,965) | 219 | |||||||||
USD Put/BRL Call | GSC | 5.05 | USD | 06/14/2023 | (413,000) | USD | (413,000) | (11,605) | (7,668) | (3,937) | |||||||||
USD Put/CLP Call | BOA | 968.00 | USD | 02/21/2023 | (605,000) | USD | (605,000) | (127,664) | (23,974) | (103,690) | |||||||||
USD Put/CLP Call | MSC | 909.00 | USD | 02/28/2023 | (820,000) | USD | (820,000) | (112,306) | (32,275) | (80,031) | |||||||||
USD Put/CLP Call | BOA | 810.10 | USD | 04/26/2023 | (394,000) | USD | (394,000) | (15,170) | (13,188) | (1,982) | |||||||||
USD Put/COP Call | CBK | 5,139.00 | USD | 02/06/2023 | (387,000) | USD | (387,000) | (38,422) | (17,317) | (21,105) | |||||||||
USD Put/COP Call | MSC | 4,778.00 | USD | 02/06/2023 | (387,000) | USD | (387,000) | (9,791) | (21,157) | 11,366 | |||||||||
USD Put/COP Call | MSC | 4,973.00 | USD | 04/04/2023 | (783,000) | USD | (783,000) | (51,374) | (29,871) | (21,503) | |||||||||
USD Put/COP Call | MSC | 4,623.00 | USD | 04/24/2023 | (391,000) | USD | (391,000) | (8,758) | (14,310) | 5,552 | |||||||||
USD Put/CZK Call | CBK | 22.47 | USD | 03/06/2023 | (412,000) | USD | (412,000) | (12,074) | (13,066) | 992 | |||||||||
USD Put/HUF Call | CBK | 398.53 | USD | 02/27/2023 | (614,000) | USD | (614,000) | (60,426) | (22,779) | (37,647) | |||||||||
USD Put/HUF Call | JPM | 404.40 | USD | 03/06/2023 | (824,000) | USD | (824,000) | (92,569) | (32,515) | (60,054) | |||||||||
USD Put/HUF Call | CBK | 379.35 | USD | 03/06/2023 | (412,000) | USD | (412,000) | (20,513) | (23,975) | 3,462 | |||||||||
USD Put/INR Call | MSC | 80.69 | USD | 02/17/2023 | (407,000) | USD | (407,000) | (366) | (1,876) | 1,510 | |||||||||
USD Put/INR Call | MSC | 80.62 | USD | 04/26/2023 | (1,184,000) | USD | (1,184,000) | (3,893) | (4,665) | 772 | |||||||||
USD Put/INR Call | UBS | 80.85 | USD | 04/27/2023 | (382,000) | USD | (382,000) | (1,452) | (1,452) | — | |||||||||
USD Put/KRW Call | JPM | 1,349.00 | USD | 02/23/2023 | (803,000) | USD | (803,000) | (76,205) | (19,104) | (57,101) | |||||||||
USD Put/KRW Call | BOA | 1,240.65 | USD | 04/10/2023 | (401,000) | USD | (401,000) | (9,480) | (8,417) | (1,063) | |||||||||
USD Put/MXN Call | MSC | 18.79 | USD | 02/27/2023 | (817,000) | USD | (817,000) | (5,570) | (6,144) | 574 | |||||||||
USD Put/PLN Call | CBK | 4.53 | USD | 03/06/2023 | (1,235,000) | USD | (1,235,000) | (56,654) | (34,681) | (21,973) | |||||||||
USD Put/THB Call | JPM | 34.20 | USD | 04/21/2023 | (1,032,000) | USD | (1,032,000) | (55,611) | (21,357) | (34,254) | |||||||||
USD Put/THB Call | MSC | 32.50 | USD | 04/25/2023 | (1,570,000) | USD | (1,570,000) | (27,024) | (28,888) | 1,864 | |||||||||
USD Put/ZAR Call | JPM | 17.03 | USD | 02/27/2023 | (599,000) | USD | (599,000) | (4,152) | (7,312) | 3,160 | |||||||||
USD Put/ZAR Call | BOA | 16.11 | USD | 04/04/2023 | (391,000) | USD | (391,000) | (1,037) | (4,230) | 3,193 | |||||||||
Total puts | $ (837,919) | $ (425,187) | $ (412,732) | ||||||||||||||||
Total Written Option Contracts OTC option contracts | $ (1,035,922) | $ (667,829) | $ (368,093) |
Futures Contracts Outstanding at January 31, 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 | 7 | 03/31/2023 | $ 1,439,539 | $ (263) | ||||
U.S. Treasury 5-Year Note Future | 10 | 03/31/2023 | 1,092,422 | 3,755 | ||||
U.S. Treasury Ultra Bond Future | 3 | 03/22/2023 | 425,250 | 19,252 | ||||
Total | $ 22,744 |
63 |
Futures Contracts Outstanding at January 31, 2023 – (continued) | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Short position contracts: | ||||||||
Euro-BOBL Future | 9 | 03/08/2023 | $ 1,147,705 | $ 19,591 | ||||
Euro-Schatz Future | 1 | 03/08/2023 | 114,961 | 840 | ||||
U.S. Treasury 10-Year Note Future | 29 | 03/22/2023 | 3,320,953 | (39,041) | ||||
U.S. Treasury 10-Year Ultra Future | 2 | 03/22/2023 | 242,406 | 1,450 | ||||
U.S. Treasury Long Bond Future | 2 | 03/22/2023 | 259,750 | (2,441) | ||||
Total | $ (19,601) | |||||||
Total futures contracts | $ 3,143 |
OTC Interest Rate Swap Contracts Outstanding at January 31, 2023 | |||||||||||||||||||
Counterparty | 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) | ||||||||||
BCLY | BZDIOVRA | 11.78% Fixed | BRL | 1,058,271 | 01/02/2029 | At Maturity | $ — | $ — | $ (6,903) | $ (6,903) | |||||||||
BOA | 8.59% Fixed | BZDIOVRA | BRL | 723,075 | 01/04/2027 | At Maturity | — | — | 17,643 | 17,643 | |||||||||
BOA | BZDIOVRA | 12.94% Fixed | BRL | 2,426,817 | 01/02/2025 | At Maturity | — | — | 855 | 855 | |||||||||
BOA | BZDIOVRA | 13.59% Fixed | BRL | 3,014,798 | 01/02/2025 | At Maturity | — | — | 6,488 | 6,488 | |||||||||
MSC | BZDIOVRA | 7.05% Fixed | BRL | 30,391 | 07/03/2023 | At Maturity | — | — | (32) | (32) | |||||||||
MSC | BZDIOVRA | 8.77% Fixed | BRL | 1,064,756 | 07/01/2024 | At Maturity | — | — | (15,791) | (15,791) | |||||||||
MSC | BZDIOVRA | 12.82% Fixed | BRL | 1,800,368 | 01/02/2025 | At Maturity | — | — | 98 | 98 | |||||||||
Total OTC interest rate swap contracts | $ — | $ — | $ 2,358 | $ 2,358 |
Centrally Cleared Interest Rate Swap Contracts Outstanding at January 31, 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) | |||||||||
1 Mo. CLICP | 6.51% Fixed | CLP | 305,045,000 | 03/15/2025 | Semi-Annual | $ — | $ — | $ (2,931) | $ (2,931) | ||||||||
1 Mo. CLICP | 6.37% Fixed | CLP | 426,600,000 | 03/15/2025 | Semi-Annual | — | — | (5,538) | (5,538) | ||||||||
1 Mo. CLICP | 6.35% Fixed | CLP | 767,620,000 | 03/15/2025 | Semi-Annual | — | — | (10,385) | (10,385) | ||||||||
1 Mo. CLICP | 5.91% Fixed | CLP | 140,660,000 | 03/15/2026 | Semi-Annual | — | — | (1,190) | (1,190) | ||||||||
1 Mo. CLICP | 5.41% Fixed | CLP | 65,396,000 | 03/15/2026 | Semi-Annual | — | — | (1,603) | (1,603) | ||||||||
1 Mo. CLICP | 5.91% Fixed | CLP | 201,355,000 | 03/15/2026 | Semi-Annual | — | — | (1,704) | (1,704) | ||||||||
1 Mo. CLICP | 5.72% Fixed | CLP | 189,649,000 | 03/15/2026 | Semi-Annual | — | — | (2,578) | (2,578) | ||||||||
1 Mo. CLICP | 5.92% Fixed | CLP | 340,685,000 | 03/15/2026 | Semi-Annual | — | — | (2,689) | (2,689) | ||||||||
5.34% Fixed | 1 Mo. CLICP | CLP | 781,195,000 | 03/15/2028 | Semi-Annual | — | — | 8,232 | 8,232 | ||||||||
5.37% Fixed | 1 Mo. CLICP | CLP | 768,190,000 | 03/15/2028 | Semi-Annual | — | — | 6,654 | 6,654 | ||||||||
5.35% Fixed | 1 Mo. CLICP | CLP | 387,695,000 | 03/15/2028 | Semi-Annual | — | — | 3,795 | 3,795 | ||||||||
5.21% Fixed | 1 Mo. CLICP | CLP | 258,975,000 | 03/15/2028 | Semi-Annual | — | — | 3,747 | 3,747 | ||||||||
5.28% Fixed | 1 Mo. CLICP | CLP | 153,350,000 | 03/15/2028 | Semi-Annual | — | — | 1,634 | 1,634 | ||||||||
5.34% Fixed | 1 Mo. CLICP | CLP | 73,875,000 | 03/15/2028 | Semi-Annual | — | — | 760 | 760 | ||||||||
1 Mo. CLICP | 5.04% Fixed | CLP | 31,395,000 | 03/15/2033 | Semi-Annual | — | — | (501) | (501) | ||||||||
1 Mo. CLICP | 5.10% Fixed | CLP | 71,425,000 | 03/15/2033 | Semi-Annual | — | — | (699) | (699) | ||||||||
1 Mo. CLICP | 5.12% Fixed | CLP | 237,825,000 | 03/15/2033 | Semi-Annual | — | — | (2,931) | (2,931) | ||||||||
1 Mo. CLICP | 5.09% Fixed | CLP | 329,005,000 | 03/15/2033 | Semi-Annual | — | — | (4,664) | (4,664) | ||||||||
6.29% Fixed | 1 Mo. INR MIBOR | INR | 26,745,000 | 03/15/2028 | Semi-Annual | — | — | (200) | (200) | ||||||||
8.50% Fixed | 1 Mo. MXN TIIE | MXN | 665,000 | 11/30/2027 | Lunar | — | — | 97 | 97 | ||||||||
8.31% Fixed | 1 Mo. MXN TIIE | MXN | 11,345,000 | 02/25/2032 | Lunar | — | — | 4,217 | 4,217 | ||||||||
9.17% Fixed | 1 Mo. MXN TIIE | MXN | 2,722,500 | 10/15/2032 | Lunar | — | — | (7,214) | (7,214) | ||||||||
1 Mo. MXN TIIE | 8.73% Fixed | MXN | 3,866,000 | 04/25/2042 | Lunar | — | — | 3,831 | 3,831 | ||||||||
3M ZAR JIBAR | 7.79% Fixed | ZAR | 9,525,000 | 03/15/2025 | Quarterly | — | — | 4,972 | 4,972 | ||||||||
8.16% Fixed | 3M ZAR JIBAR | ZAR | 3,110,000 | 03/15/2028 | Quarterly | — | — | (3,180) | (3,180) | ||||||||
8.10% Fixed | 3M ZAR JIBAR | ZAR | 24,585,000 | 03/15/2028 | Quarterly | — | — | (21,978) | (21,978) | ||||||||
3M ZAR JIBAR | 8.96% Fixed | ZAR | 12,096,000 | 03/15/2033 | Quarterly | — | — | 9,825 | 9,825 | ||||||||
3M ZAR JIBAR | 9.01% Fixed | ZAR | 6,730,000 | 03/15/2033 | Quarterly | — | — | 6,692 | 6,692 | ||||||||
6M CZK PRIBOR | 5.54% Fixed | CZK | 18,335,000 | 03/15/2025 | Annual | — | — | (5,198) | (5,198) | ||||||||
4.50% Fixed | 6M CZK PRIBOR | CZK | 15,315,000 | 03/15/2028 | Annual | — | — | 6,330 | 6,330 | ||||||||
6M CZK PRIBOR | 4.14% Fixed | CZK | 4,105,000 | 03/15/2033 | Annual | — | — | (2,863) | (2,863) | ||||||||
6M HUF BUBOR | 10.50% Fixed | HUF | 523,930,000 | 03/15/2025 | Annual | — | — | (18,309) | (18,309) |
64 |
Centrally Cleared Interest Rate Swap Contracts Outstanding at January 31, 2023 – (continued) | |||||||||||||||||
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) | |||||||||
8.26% Fixed | 6M HUF BUBOR | HUF | 360,670,000 | 03/15/2028 | Annual | $ — | $ — | $ 13,519 | $ 13,519 | ||||||||
6M HUF BUBOR | 7.60% Fixed | HUF | 119,197,000 | 03/15/2033 | Annual | — | — | (6,086) | (6,086) | ||||||||
6M WIBOR PLN | 6.60% Fixed | PLN | 1,585,000 | 03/15/2025 | Annual | — | — | 2,335 | 2,335 | ||||||||
5.84% Fixed | 6M WIBOR PLN | PLN | 1,330,000 | 03/15/2028 | Annual | — | — | (5,965) | (5,965) | ||||||||
6M WIBOR PLN | 5.76% Fixed | PLN | 365,000 | 03/15/2033 | Annual | — | — | 2,511 | 2,511 | ||||||||
Total centrally cleared interest rate swaps contracts | $ — | $ — | $ (29,255) | $ (29,255) |
Foreign Currency Contracts Outstanding at January 31, 2023 | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
335,000 | AUD | 225,287 | USD | MSC | 03/01/2023 | $ 11,447 | ||||
1,255,000 | AUD | 847,676 | USD | BCLY | 03/15/2023 | 39,700 | ||||
78,000 | AUD | 53,906 | USD | UBS | 03/15/2023 | 1,245 | ||||
90,000 | AUD | 62,486 | USD | BOA | 03/15/2023 | 1,150 | ||||
1,645,000 | BRL | 281,919 | USD | GSC | 02/10/2023 | 41,486 | ||||
2,141,000 | BRL | 383,829 | USD | MSC | 02/22/2023 | 36,331 | ||||
18,939,000 | BRL | 3,484,177 | USD | CBK | 03/02/2023 | 226,495 | ||||
2,349,000 | BRL | 440,895 | USD | GSC | 03/02/2023 | 19,340 | ||||
1,968,000 | BRL | 364,208 | USD | MSC | 05/10/2023 | 16,554 | ||||
1,055,000 | BRL | 190,674 | USD | GSC | 06/16/2023 | 11,880 | ||||
135,000 | CAD | 99,378 | USD | GSC | 03/15/2023 | 2,116 | ||||
175,411,000 | CLP | 181,210 | USD | BOA | 02/23/2023 | 38,398 | ||||
218,424,000 | CLP | 240,290 | USD | MSC | 03/02/2023 | 32,801 | ||||
40,841,000 | CLP | 44,930 | USD | BOA | 03/02/2023 | 6,133 | ||||
621,590,000 | CLP | 706,396 | USD | MSC | 03/15/2023 | 69,104 | ||||
214,106,000 | CLP | 255,545 | USD | GSC | 03/15/2023 | 11,576 | ||||
90,600,000 | CLP | 104,986 | USD | BCLY | 03/15/2023 | 8,047 | ||||
69,060,000 | CLP | 78,813 | USD | DEUT | 03/15/2023 | 7,347 | ||||
67,300,000 | CLP | 77,108 | USD | UBS | 03/15/2023 | 6,856 | ||||
29,100,000 | CLP | 34,922 | USD | CBK | 03/15/2023 | 1,384 | ||||
30,641,000 | CLP | 37,661 | USD | BOA | 04/28/2023 | 318 | ||||
21,315,912 | CNH | 3,082,390 | USD | BNP | 03/15/2023 | 81,688 | ||||
6,059,000 | CNH | 880,791 | USD | GSC | 03/15/2023 | 18,590 | ||||
1,137,000 | CNH | 164,795 | USD | SCB | 03/15/2023 | 3,979 | ||||
627,000 | CNH | 90,246 | USD | CIBC | 03/15/2023 | 2,824 | ||||
205,000 | CNH | 30,295 | USD | MSC | 03/15/2023 | 135 | ||||
260,000 | CNH | 38,569 | USD | BMO | 03/15/2023 | 25 | ||||
622,354,000 | COP | 121,104 | USD | CBK | 02/08/2023 | 11,974 | ||||
1,604,950,000 | COP | 331,256 | USD | BNP | 03/15/2023 | 9,486 | ||||
2,067,920,000 | COP | 435,688 | USD | CBK | 03/15/2023 | 3,343 | ||||
386,000,000 | COP | 79,752 | USD | UBS | 03/15/2023 | 2,198 | ||||
1,189,611,000 | COP | 239,214 | USD | MSC | 04/10/2023 | 12,077 | ||||
554,268,000 | COP | 119,894 | USD | MSC | 04/26/2023 | (3,174) | ||||
7,861,000 | CZK | 359,607 | USD | CBK | 03/08/2023 | (967) | ||||
10,643,000 | CZK | 461,806 | USD | BCLY | 03/15/2023 | 23,556 | ||||
9,480,000 | CZK | 415,005 | USD | CBK | 03/15/2023 | 17,319 | ||||
4,584,000 | CZK | 201,515 | USD | UBS | 03/15/2023 | 7,533 | ||||
3,770,000 | CZK | 170,555 | USD | BNP | 03/15/2023 | 1,371 | ||||
2,760,000 | EGP | 95,535 | USD | BNP | 02/15/2023 | (5,213) | ||||
1,152,000 | EGP | 39,050 | USD | GSC | 04/10/2023 | (2,348) | ||||
648,000 | EGP | 20,991 | USD | GSC | 04/18/2023 | (417) | ||||
4,720,000 | EGP | 177,711 | USD | CBK | 06/01/2023 | (30,323) | ||||
27,000 | EUR | 28,210 | USD | CBK | 03/01/2023 | 1,199 | ||||
2,773,000 | EUR | 2,935,333 | USD | BCLY | 03/15/2023 | 87,832 | ||||
1,096,000 | EUR | 1,168,674 | USD | UBS | 03/15/2023 | 26,201 | ||||
226,000 | EUR | 243,251 | USD | DEUT | 03/15/2023 | 3,138 | ||||
85,000 | EUR | 90,591 | USD | BOA | 03/15/2023 | 2,078 | ||||
70,000 | EUR | 74,787 | USD | CBA | 03/15/2023 | 1,528 | ||||
32,000 | EUR | 33,906 | USD | CBK | 03/15/2023 | 981 | ||||
162,000 | EUR | 176,050 | USD | GSC | 03/15/2023 | 565 | ||||
96,000 | GBP | 118,010 | USD | BCLY | 03/15/2023 | 460 | ||||
67,000 | GBP | 83,451 | USD | BNP | 03/15/2023 | (770) |
65 |
Foreign Currency Contracts Outstanding at January 31, 2023 – (continued) | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
27,251,000 | HUF | 68,025 | USD | CBK | 03/01/2023 | $ 6,959 | ||||
146,896,000 | HUF | 365,095 | USD | MSC | 03/02/2023 | 38,971 | ||||
104,508,000 | HUF | 258,427 | USD | JPM | 03/08/2023 | 28,470 | ||||
132,270,000 | HUF | 366,399 | USD | CBK | 03/08/2023 | (3,289) | ||||
601,445,000 | HUF | 1,485,510 | USD | UBS | 03/16/2023 | 161,216 | ||||
77,928,000 | HUF | 201,319 | USD | MSC | 03/16/2023 | 12,045 | ||||
71,346,000 | HUF | 186,297 | USD | JPM | 03/16/2023 | 9,045 | ||||
47,400,000 | HUF | 122,993 | USD | GSC | 03/16/2023 | 6,785 | ||||
128,100,000 | HUF | 348,674 | USD | BOA | 03/16/2023 | 2,057 | ||||
32,319,422,000 | IDR | 2,065,535 | USD | BCLY | 03/15/2023 | 87,514 | ||||
5,626,515,000 | IDR | 359,536 | USD | DEUT | 03/15/2023 | 15,290 | ||||
908,000,000 | IDR | 57,885 | USD | BNP | 03/15/2023 | 2,604 | ||||
2,950,542,000 | IDR | 194,550 | USD | GSC | 03/15/2023 | 2,009 | ||||
594,000,000 | IDR | 39,179 | USD | CBK | 03/15/2023 | 391 | ||||
631,514,000 | IDR | 42,194 | USD | SCB | 03/15/2023 | (124) | ||||
14,967,000 | INR | 181,594 | USD | MSC | 02/21/2023 | 1,236 | ||||
44,408,000 | INR | 536,328 | USD | MSC | 03/08/2023 | 5,410 | ||||
31,188,000 | INR | 375,311 | USD | MSC | 03/15/2023 | 4,870 | ||||
19,711,000 | INR | 239,571 | USD | BCLY | 03/15/2023 | 706 | ||||
4,130,000 | INR | 50,661 | USD | GSC | 03/15/2023 | (317) | ||||
16,280,000 | INR | 199,047 | USD | BNP | 03/15/2023 | (593) | ||||
10,590,000 | INR | 129,827 | USD | BOA | 03/15/2023 | (735) | ||||
41,697,000 | INR | 507,881 | USD | MSC | 04/28/2023 | (1,380) | ||||
13,610,000 | INR | 165,010 | USD | UBS | 05/02/2023 | 271 | ||||
35,610,000 | KRW | 26,545 | USD | BOA | 02/21/2023 | 2,350 | ||||
326,667,000 | KRW | 242,155 | USD | JPM | 02/27/2023 | 22,964 | ||||
1,108,288,000 | KRW | 842,270 | USD | DEUT | 03/15/2023 | 57,757 | ||||
32,166,000 | KRW | 25,888 | USD | BOA | 04/12/2023 | 262 | ||||
108,000,000 | KZT | 223,687 | USD | GSC | 03/15/2023 | 8,048 | ||||
6,874,000 | KZT | 14,513 | USD | BOA | 04/24/2023 | 97 | ||||
17,676,000 | KZT | 37,342 | USD | BOA | 04/25/2023 | 216 | ||||
24,550,000 | KZT | 50,619 | USD | BOA | 07/24/2023 | 506 | ||||
3,208,000 | MXN | 167,170 | USD | DEUT | 02/17/2023 | 2,708 | ||||
4,359,000 | MXN | 221,120 | USD | DEUT | 02/21/2023 | 9,559 | ||||
11,239,000 | MXN | 560,627 | USD | RBC | 03/15/2023 | 31,521 | ||||
12,809,000 | MXN | 647,836 | USD | MSC | 03/15/2023 | 27,029 | ||||
6,760,000 | MXN | 337,398 | USD | GSC | 03/15/2023 | 18,765 | ||||
1,075,000 | MXN | 54,820 | USD | SSG | 03/15/2023 | 1,818 | ||||
2,880,000 | MXN | 150,143 | USD | DEUT | 03/15/2023 | 1,596 | ||||
2,128,000 | MYR | 486,798 | USD | BNP | 03/15/2023 | 14,214 | ||||
256,000 | MYR | 59,211 | USD | SCB | 03/15/2023 | 1,061 | ||||
180,000 | MYR | 41,958 | USD | DEUT | 03/15/2023 | 421 | ||||
364,000 | NZD | 225,975 | USD | BCLY | 03/01/2023 | 9,390 | ||||
220,000 | NZD | 139,287 | USD | UBS | 03/15/2023 | 2,972 | ||||
185,000 | NZD | 118,519 | USD | BNP | 03/15/2023 | 1,107 | ||||
94,000 | NZD | 60,093 | USD | SCB | 03/15/2023 | 690 | ||||
180,000 | NZD | 116,865 | USD | SSG | 03/15/2023 | (471) | ||||
334,000 | PEN | 86,039 | USD | BOA | 03/15/2023 | 503 | ||||
111,000 | PEN | 28,865 | USD | SCB | 03/15/2023 | (104) | ||||
451,000 | PEN | 117,468 | USD | CBK | 03/15/2023 | (611) | ||||
18,007,000 | PHP | 320,352 | USD | MSC | 03/15/2023 | 8,450 | ||||
2,700,000 | PHP | 48,474 | USD | CBK | 03/15/2023 | 827 | ||||
873,000 | PLN | 188,675 | USD | JPM | 02/16/2023 | 12,642 | ||||
1,765,000 | PLN | 389,883 | USD | CBK | 03/08/2023 | 16,457 | ||||
1,002,000 | PLN | 230,610 | USD | BOA | 03/08/2023 | 72 | ||||
7,486,000 | PLN | 1,651,203 | USD | BCLY | 03/15/2023 | 71,217 | ||||
3,550,000 | PLN | 808,792 | USD | UBS | 03/15/2023 | 8,011 | ||||
1,206,000 | PLN | 272,772 | USD | BNP | 03/15/2023 | 4,711 | ||||
140,000 | PLN | 30,769 | USD | MSC | 03/15/2023 | 1,442 | ||||
610,000 | PLN | 139,030 | USD | JPM | 03/15/2023 | 1,322 | ||||
455,000 | PLN | 103,898 | USD | GSC | 03/15/2023 | 791 | ||||
4,792,000 | RON | 1,016,546 | USD | DEUT | 03/15/2023 | 40,078 | ||||
640,000 | RON | 139,547 | USD | GSC | 03/15/2023 | 1,571 | ||||
3,303,000 | RSD | 29,515 | USD | CBK | 03/15/2023 | 1,083 | ||||
3,945,000 | RUB | 57,591 | USD | UBS | 02/27/2023 | (2,094) |
66 |
Foreign Currency Contracts Outstanding at January 31, 2023 – (continued) | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
4,941,000 | RUB | 69,250 | USD | GSC | 02/28/2023 | $ 164 | ||||
1,540,000 | RUB | 22,449 | USD | UBS | 02/28/2023 | (814) | ||||
2,356,000 | RUB | 33,129 | USD | GSC | 03/02/2023 | (57) | ||||
1,400,000 | RUB | 19,732 | USD | JPM | 03/02/2023 | (80) | ||||
3,756,000 | RUB | 52,716 | USD | JPM | 03/06/2023 | (78) | ||||
2,720,000 | RUB | 38,095 | USD | JPM | 03/09/2023 | (23) | ||||
4,720,000 | RUB | 64,157 | USD | GSC | 03/13/2023 | 1,802 | ||||
1,970,000 | RUB | 27,514 | USD | JPM | 03/13/2023 | 15 | ||||
10,870,000 | RUB | 147,750 | USD | GSC | 03/21/2023 | 3,658 | ||||
1,320,000 | RUB | 18,405 | USD | UBS | 03/21/2023 | (19) | ||||
5,240,000 | RUB | 72,930 | USD | UBS | 03/23/2023 | (1) | ||||
5,440,000 | RUB | 75,451 | USD | UBS | 03/27/2023 | 139 | ||||
220,000 | SGD | 162,336 | USD | MSC | 03/15/2023 | 5,270 | ||||
540,000 | SGD | 409,382 | USD | JPM | 03/15/2023 | 2,016 | ||||
125,000 | SGD | 94,650 | USD | BOA | 03/15/2023 | 581 | ||||
3,109,000 | THB | 89,198 | USD | MSC | 03/02/2023 | 5,281 | ||||
242,606,000 | THB | 7,102,478 | USD | BCLY | 03/15/2023 | 280,150 | ||||
19,850,000 | THB | 579,703 | USD | GSC | 03/15/2023 | 24,342 | ||||
2,672,000 | THB | 77,236 | USD | JPM | 03/15/2023 | 4,074 | ||||
1,770,000 | THB | 51,492 | USD | DEUT | 03/15/2023 | 2,370 | ||||
1,280,000 | THB | 38,931 | USD | ANZ | 03/15/2023 | 20 | ||||
2,588,000 | THB | 79,098 | USD | CIB | 03/15/2023 | (344) | ||||
2,010,000 | THB | 61,659 | USD | UBS | 03/15/2023 | (494) | ||||
2,075,000 | THB | 55,238 | USD | JPM | 04/25/2023 | 8,156 | ||||
1,795,000 | THB | 55,146 | USD | MSC | 04/27/2023 | (296) | ||||
1,154,000 | TRY | 58,371 | USD | BOA | 02/17/2023 | 2,539 | ||||
2,528,500 | TRY | 128,628 | USD | GSC | 03/15/2023 | 2,765 | ||||
1,073,000 | TRY | 54,219 | USD | BOA | 04/24/2023 | 143 | ||||
4,590,000 | UYU | 112,956 | USD | JPM | 03/15/2023 | 4,676 | ||||
6,159,000 | UYU | 156,941 | USD | CBK | 03/15/2023 | 901 | ||||
2,820,000 | ZAR | 157,940 | USD | MSC | 03/15/2023 | 3,509 | ||||
1,380,000 | ZAR | 79,370 | USD | CBK | 03/15/2023 | (363) | ||||
1,990,000 | ZAR | 114,661 | USD | BOA | 03/15/2023 | (731) | ||||
5,580,000 | ZAR | 321,244 | USD | BNP | 03/15/2023 | (1,780) | ||||
12,110,000 | ZAR | 695,144 | USD | BCLY | 03/15/2023 | (1,828) | ||||
16,320,000 | ZAR | 940,069 | USD | GSC | 03/15/2023 | (5,724) | ||||
13,807,000 | ZAR | 797,348 | USD | JPM | 03/15/2023 | (6,877) | ||||
3,009,000 | ZAR | 177,627 | USD | BOA | 04/06/2023 | (5,668) | ||||
101,704 | USD | 145,000 | AUD | WEST | 03/15/2023 | (822) | ||||
125,366 | USD | 186,000 | AUD | SCB | 03/15/2023 | (6,150) | ||||
785,356 | USD | 1,159,000 | AUD | BCLY | 03/15/2023 | (34,139) | ||||
427,228 | USD | 2,181,000 | BRL | GSC | 02/10/2023 | (1,554) | ||||
53,761 | USD | 293,000 | BRL | MSC | 02/10/2023 | (3,842) | ||||
369,850 | USD | 1,948,000 | BRL | BOA | 02/22/2023 | (12,435) | ||||
47,037 | USD | 250,000 | BRL | BOA | 03/02/2023 | (1,945) | ||||
34,977 | USD | 190,000 | BRL | GSC | 03/02/2023 | (2,250) | ||||
623,993 | USD | 3,305,000 | BRL | CBK | 03/02/2023 | (23,548) | ||||
98,762 | USD | 135,000 | CAD | BNP | 03/15/2023 | (2,732) | ||||
130,445 | USD | 123,531,000 | CLP | MSC | 02/08/2023 | (24,547) | ||||
428,810 | USD | 345,792,000 | CLP | BOA | 03/02/2023 | (3,528) | ||||
95,043 | USD | 76,700,000 | CLP | BOA | 03/15/2023 | (648) | ||||
51,828 | USD | 45,600,000 | CLP | BNP | 03/15/2023 | (5,063) | ||||
140,440 | USD | 118,300,000 | CLP | UBS | 03/15/2023 | (7,152) | ||||
107,379 | USD | 93,900,000 | CLP | SCB | 03/15/2023 | (9,772) | ||||
270,185 | USD | 243,145,000 | CLP | MSC | 03/15/2023 | (33,164) | ||||
181,957 | USD | 157,211,000 | CLP | BOA | 04/06/2023 | (13,527) | ||||
219,762 | USD | 1,476,000 | CNH | RBC | 03/15/2023 | 669 | ||||
22,972 | USD | 155,000 | CNH | BNP | 03/15/2023 | (36) | ||||
220,071 | USD | 1,501,000 | CNH | GSC | 03/15/2023 | (2,734) | ||||
346,232 | USD | 2,372,000 | CNH | SCB | 03/15/2023 | (5,861) | ||||
207,035 | USD | 1,436,000 | CNH | BCLY | 03/15/2023 | (6,121) | ||||
613,195 | USD | 4,254,000 | CNH | BOA | 03/15/2023 | (18,258) | ||||
64,090 | USD | 290,967,000 | COP | MSC | 02/08/2023 | 1,872 | ||||
58,228 | USD | 268,200,000 | COP | BOA | 03/15/2023 | 1,288 | ||||
24,750 | USD | 121,000,000 | COP | GSC | 03/15/2023 | (939) |
67 |
Foreign Currency Contracts Outstanding at January 31, 2023 – (continued) | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
144,925 | USD | 688,900,000 | COP | SCB | 03/15/2023 | $ (1,333) | ||||
42,218 | USD | 205,223,000 | COP | BCLY | 03/15/2023 | (1,352) | ||||
416,372 | USD | 1,979,557,000 | COP | BNP | 03/15/2023 | (3,902) | ||||
263,640 | USD | 1,282,764,000 | COP | CBK | 03/15/2023 | (8,699) | ||||
189,806 | USD | 4,413,000 | CZK | JPM | 03/08/2023 | (11,526) | ||||
74,125 | USD | 1,630,000 | CZK | SGG | 03/15/2023 | (209) | ||||
23,597 | USD | 540,000 | CZK | BNP | 03/15/2023 | (1,029) | ||||
134,136 | USD | 2,982,000 | CZK | MSC | 03/15/2023 | (1,854) | ||||
34,675 | USD | 810,000 | CZK | BCLY | 03/15/2023 | (2,264) | ||||
139,569 | USD | 3,120,000 | CZK | UBS | 03/15/2023 | (2,715) | ||||
188,162 | USD | 4,123,000 | CZK | CBK | 04/28/2023 | 580 | ||||
92,462 | USD | 2,760,000 | EGP | DEUT | 02/15/2023 | 2,141 | ||||
348,320 | USD | 320,000 | EUR | BOA | 03/01/2023 | (223) | ||||
101,520 | USD | 96,000 | EUR | CBK | 03/01/2023 | (3,043) | ||||
167,939 | USD | 154,000 | EUR | SSG | 03/15/2023 | 45 | ||||
8,594 | USD | 8,000 | EUR | DEUT | 03/15/2023 | (128) | ||||
36,356 | USD | 34,000 | EUR | JPM | 03/15/2023 | (712) | ||||
122,963 | USD | 114,000 | EUR | SCB | 03/15/2023 | (1,321) | ||||
192,763 | USD | 179,000 | EUR | MSC | 03/15/2023 | (2,386) | ||||
567,442 | USD | 531,000 | EUR | BNP | 03/15/2023 | (11,461) | ||||
631,474 | USD | 591,000 | EUR | GSC | 03/15/2023 | (12,843) | ||||
854,255 | USD | 799,000 | EUR | UBS | 03/15/2023 | (16,827) | ||||
3,221,808 | USD | 3,044,000 | EUR | BCLY | 03/15/2023 | (96,806) | ||||
93,906 | USD | 76,000 | GBP | GSC | 03/15/2023 | 118 | ||||
161,920 | USD | 132,000 | GBP | BNP | 03/15/2023 | (975) | ||||
111,803 | USD | 93,000 | GBP | JPM | 03/15/2023 | (2,964) | ||||
635,698 | USD | 228,597,000 | HUF | MSC | 03/01/2023 | 6,688 | ||||
258,607 | USD | 93,732,000 | HUF | MSC | 03/02/2023 | 778 | ||||
23,104 | USD | 8,900,000 | HUF | BNP | 03/08/2023 | (1,329) | ||||
188,733 | USD | 76,654,000 | HUF | JPM | 03/08/2023 | (21,699) | ||||
112,049 | USD | 40,500,000 | HUF | BCLY | 03/16/2023 | 1,162 | ||||
105,228 | USD | 38,300,000 | HUF | UBS | 03/16/2023 | 365 | ||||
90,695 | USD | 33,500,000 | HUF | GSC | 03/16/2023 | (1,027) | ||||
98,945 | USD | 40,200,000 | HUF | BNP | 03/16/2023 | (11,120) | ||||
537,129 | USD | 209,695,000 | HUF | BOA | 03/16/2023 | (37,006) | ||||
175,746 | USD | 64,323,000 | HUF | CBK | 04/28/2023 | 1,712 | ||||
137,574 | USD | 2,063,000,000 | IDR | BNP | 03/15/2023 | 142 | ||||
90,007 | USD | 1,369,000,000 | IDR | DEUT | 03/15/2023 | (1,193) | ||||
169,019 | USD | 2,639,395,000 | IDR | GSC | 03/15/2023 | (6,812) | ||||
290,008 | USD | 4,529,000,000 | IDR | CBK | 03/15/2023 | (11,704) | ||||
56,573 | USD | 4,639,000 | INR | UBS | 02/21/2023 | (95) | ||||
481,388 | USD | 39,339,000 | INR | MSC | 03/08/2023 | 1,487 | ||||
107,737 | USD | 8,810,000 | INR | BNP | 03/15/2023 | 343 | ||||
126,833 | USD | 10,470,000 | INR | JPM | 03/15/2023 | (796) | ||||
90,854 | USD | 7,550,000 | INR | MSC | 03/15/2023 | (1,180) | ||||
78,516 | USD | 6,540,000 | INR | DEUT | 03/15/2023 | (1,206) | ||||
182,409 | USD | 15,160,000 | INR | UBS | 03/15/2023 | (2,391) | ||||
198,989 | USD | 16,532,000 | INR | GSC | 03/15/2023 | (2,536) | ||||
361,228 | USD | 476,098,000 | KRW | JPM | 02/10/2023 | (24,966) | ||||
395,268 | USD | 492,109,000 | KRW | BOA | 02/21/2023 | (4,048) | ||||
287,195 | USD | 376,593,000 | KRW | BCLY | 03/15/2023 | (18,631) | ||||
107,323 | USD | 52,100,000 | KZT | CBK | 03/15/2023 | (4,468) | ||||
127,166 | USD | 2,505,000 | MXN | DEUT | 02/17/2023 | (5,485) | ||||
176,739 | USD | 3,647,000 | MXN | DEUT | 02/21/2023 | (16,261) | ||||
256,594 | USD | 4,991,000 | MXN | MSC | 03/01/2023 | (7,092) | ||||
108,246 | USD | 2,050,000 | MXN | BCLY | 03/15/2023 | 238 | ||||
138,362 | USD | 2,700,000 | MXN | DEUT | 03/15/2023 | (3,892) | ||||
386,698 | USD | 7,430,000 | MXN | BNP | 03/15/2023 | (4,765) | ||||
156,782 | USD | 3,110,000 | MXN | MSC | 03/15/2023 | (7,074) | ||||
338,410 | USD | 6,577,000 | MXN | CBK | 03/15/2023 | (8,111) | ||||
360,798 | USD | 7,040,000 | MXN | GSC | 03/15/2023 | (10,118) | ||||
604,914 | USD | 11,750,000 | MXN | BOA | 03/15/2023 | (14,157) | ||||
130,945 | USD | 2,723,000 | MXN | BOA | 04/24/2023 | (11,479) | ||||
286,192 | USD | 5,900,000 | MXN | UBS | 04/27/2023 | (22,233) | ||||
89,728 | USD | 380,000 | MYR | DEUT | 03/15/2023 | 262 |
68 |
Foreign Currency Contracts Outstanding at January 31, 2023 – (continued) | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
121,310 | USD | 530,000 | MYR | BNP | 03/15/2023 | $ (3,473) | ||||
358,607 | USD | 562,000 | NZD | TDB | 03/15/2023 | (4,799) | ||||
224,595 | USD | 860,000 | PEN | CBK | 03/15/2023 | 1,763 | ||||
167,331 | USD | 644,000 | PEN | BCLY | 03/15/2023 | 466 | ||||
14,336 | USD | 55,000 | PEN | GSC | 03/15/2023 | 85 | ||||
30,213 | USD | 117,000 | PEN | BOA | 03/15/2023 | (103) | ||||
462,323 | USD | 25,652,000 | PHP | MSC | 03/15/2023 | (6,074) | ||||
188,740 | USD | 825,000 | PLN | JPM | 02/16/2023 | (1,509) | ||||
181,015 | USD | 820,000 | PLN | BOA | 03/08/2023 | (7,766) | ||||
16,738 | USD | 75,000 | PLN | GSC | 03/15/2023 | (518) | ||||
158,746 | USD | 693,000 | PLN | BCLY | 03/15/2023 | (703) | ||||
164,206 | USD | 721,000 | PLN | MSC | 03/15/2023 | (1,686) | ||||
39,718 | USD | 180,000 | PLN | UBS | 03/15/2023 | (1,697) | ||||
277,177 | USD | 1,220,000 | PLN | DEUT | 03/15/2023 | (3,527) | ||||
319,192 | USD | 1,421,000 | PLN | BOA | 03/15/2023 | (7,759) | ||||
169,495 | USD | 739,000 | PLN | BOA | 04/28/2023 | 12 | ||||
80,572 | USD | 362,000 | RON | BOA | 03/15/2023 | 752 | ||||
66,876 | USD | 303,000 | RON | UBS | 03/15/2023 | 65 | ||||
80,601 | USD | 370,000 | RON | CIB | 03/15/2023 | (983) | ||||
89,268 | USD | 415,000 | RON | SCB | 03/15/2023 | (2,238) | ||||
284,546 | USD | 1,306,000 | RON | GSC | 03/15/2023 | (3,424) | ||||
58,229 | USD | 3,945,000 | RUB | GSC | 02/27/2023 | 2,732 | ||||
96,157 | USD | 6,481,000 | RUB | UBS | 02/28/2023 | 5,109 | ||||
54,673 | USD | 3,756,000 | RUB | GSC | 03/02/2023 | 1,949 | ||||
53,966 | USD | 3,756,000 | RUB | GSC | 03/06/2023 | 1,328 | ||||
38,202 | USD | 2,720,000 | RUB | GSC | 03/09/2023 | 130 | ||||
94,894 | USD | 6,690,000 | RUB | UBS | 03/13/2023 | 1,405 | ||||
176,029 | USD | 12,190,000 | RUB | GSC | 03/21/2023 | 6,234 | ||||
77,343 | USD | 5,240,000 | RUB | UBS | 03/23/2023 | 4,414 | ||||
78,273 | USD | 5,440,000 | RUB | GSC | 03/27/2023 | 2,683 | ||||
57,246 | USD | 75,000 | SGD | CBK | 03/15/2023 | 108 | ||||
87,623 | USD | 115,000 | SGD | UBS | 03/15/2023 | 10 | ||||
384,143 | USD | 510,000 | SGD | JPM | 03/15/2023 | (4,399) | ||||
374,175 | USD | 500,000 | SGD | BCLY | 03/15/2023 | (6,749) | ||||
1,622,382 | USD | 53,133,000 | THB | MSC | 03/02/2023 | 7,721 | ||||
1,781,541 | USD | 61,383,000 | THB | BCLY | 03/02/2023 | (83,829) | ||||
96,471 | USD | 3,140,000 | THB | ANZ | 03/15/2023 | 919 | ||||
55,485 | USD | 1,910,000 | THB | DEUT | 03/15/2023 | (2,638) | ||||
315,030 | USD | 10,742,000 | THB | BCLY | 03/15/2023 | (11,855) | ||||
499,624 | USD | 16,970,000 | THB | GSC | 03/15/2023 | (16,781) | ||||
152,394 | USD | 5,029,000 | THB | MSC | 04/17/2023 | (1,131) | ||||
275,341 | USD | 9,480,000 | THB | CBK | 04/25/2023 | (14,285) | ||||
921,255 | USD | 31,553,000 | THB | JPM | 04/25/2023 | (42,728) | ||||
22,521 | USD | 427,000 | TRY | BOA | 02/17/2023 | (17) | ||||
110,265 | USD | 2,115,000 | TRY | GSC | 03/15/2023 | 360 | ||||
54,547 | USD | 1,050,000 | TRY | BNP | 03/15/2023 | (15) | ||||
153,062 | USD | 2,623,000 | ZAR | BOA | 03/01/2023 | 2,701 | ||||
210,407 | USD | 3,709,000 | ZAR | JPM | 03/01/2023 | (2,209) | ||||
632,513 | USD | 10,840,000 | ZAR | GSC | 03/15/2023 | 11,908 | ||||
507,296 | USD | 8,770,000 | ZAR | BOA | 03/15/2023 | 5,201 | ||||
321,007 | USD | 5,520,000 | ZAR | BNP | 03/15/2023 | 4,979 | ||||
237,219 | USD | 4,060,000 | ZAR | BCLY | 03/15/2023 | 4,778 | ||||
89,815 | USD | 1,524,000 | ZAR | UBS | 03/15/2023 | 2,563 | ||||
140,666 | USD | 2,423,000 | ZAR | MSC | 03/15/2023 | 1,946 | ||||
127,293 | USD | 2,200,000 | ZAR | SSG | 03/15/2023 | 1,339 | ||||
126,915 | USD | 2,220,000 | ZAR | CBK | 03/15/2023 | (183) | ||||
Total foreign currency contracts | $ 1,146,588 |
69 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Corporate Bonds | $ 11,595,662 | $ — | $ 11,595,662 | $ — | ||||
Foreign Government Obligations | 22,738,007 | — | 22,738,007 | — | ||||
Short-Term Investments | 739,923 | 189,530 | 550,393 | — | ||||
Purchased Options | 677,972 | — | 677,972 | — | ||||
Foreign Currency Contracts(2) | 2,125,986 | — | 2,125,986 | — | ||||
Futures Contracts(2) | 44,888 | 44,888 | — | — | ||||
Swaps - Interest Rate(2) | 104,235 | — | 104,235 | — | ||||
Total | $ 38,026,673 | $ 234,418 | $ 37,792,255 | $ — | ||||
Liabilities | ||||||||
Foreign Currency Contracts(2) | $ (979,398) | $ — | $ (979,398) | $ — | ||||
Futures Contracts(2) | (41,745) | (41,745) | — | — | ||||
Swaps - Interest Rate(2) | (131,132) | — | (131,132) | — | ||||
Written Options | (1,035,922) | — | (1,035,922) | — | ||||
Total | $ (2,188,197) | $ (41,745) | $ (2,146,452) | $ — |
(1) | For the period ended January 31, 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. |
70 |
71 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Banks | $ 337,308,863 | $ 337,308,863 | $ — | $ — | ||||
Capital Goods | 493,981,163 | 422,086,749 | 71,894,414 | — | ||||
Consumer Durables & Apparel | 59,516,518 | 59,516,518 | — | — | ||||
Diversified Financials | 466,896,065 | 466,896,065 | — | — | ||||
Energy | 423,103,881 | 423,103,881 | — | — | ||||
Food, Beverage & Tobacco | 308,370,162 | 308,370,162 | — | — | ||||
Health Care Equipment & Services | 248,489,578 | 248,489,578 | — | — | ||||
Household & Personal Products | 137,966,582 | 137,966,582 | — | — | ||||
Insurance | 257,700,691 | 257,700,691 | — | — | ||||
Materials | 238,553,990 | 238,553,990 | — | — | ||||
Media & Entertainment | 86,318,790 | 86,318,790 | — | — | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 669,756,372 | 608,350,899 | 61,405,473 | — | ||||
Real Estate | 231,342,694 | 231,342,694 | — | — | ||||
Retailing | 251,443,033 | 251,443,033 | — | — | ||||
Semiconductors & Semiconductor Equipment | 272,304,124 | 272,304,124 | — | — | ||||
Software & Services | 55,741,963 | 55,741,963 | — | — | ||||
Technology Hardware & Equipment | 239,935,514 | 239,935,514 | — | — | ||||
Transportation | 53,830,155 | 53,830,155 | — | — | ||||
Utilities | 398,265,809 | 398,265,809 | — | — | ||||
Short-Term Investments | 32,963,708 | — | 32,963,708 | — | ||||
Total | $ 5,263,789,655 | $ 5,097,526,060 | $ 166,263,595 | $ — |
(1) | For the period ended January 31, 2023, there were no transfers in and out of Level 3. |
72 |
73 |
74 |
75 |
76 |
77 |
78 |
Futures Contracts Outstanding at January 31, 2023 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Short position contracts: | ||||||||
Euro-BOBL Future | 20 | 03/08/2023 | $ 2,346,000 | $ 43,691 | ||||
U.S. Treasury 5-Year Note Future | 58 | 03/31/2023 | 6,336,047 | (67,486) | ||||
Total futures contracts | $ (23,795) |
79 |
OTC Total Return Swap Contracts Outstanding at January 31, 2023 | |||||||||||||||||||
Reference Entity | Counter- party | Notional Amount | Payments received (paid) by the Fund | Expiration Date | Periodic Payment Frequency | Upfront Premiums Paid | Upfront Premiums Received | Market Value† | Unrealized Appreciation/ Depreciation | ||||||||||
Markit iBoxx USD Liquid Leveraged Loan Index | MSC | USD | 40,660,000 | (4.81%) | 03/20/2023 | At Maturity | $ — | $ — | $ 1,055,373 | $ 1,055,373 | |||||||||
Markit iBoxx USD Liquid Leveraged Loan Index | GSC | USD | 19,025,000 | (4.75%) | 06/20/2023 | At Maturity | — | — | 651,004 | 651,004 | |||||||||
Markit iBoxx USD Liquid Leveraged Loan Index | MSC | USD | 22,375,000 | (4.75%) | 09/20/2023 | At Maturity | — | — | 541,306 | 541,306 | |||||||||
Markit iBoxx USD Liquid Leveraged Loan Index | MSC | USD | 22,400,000 | (4.75%) | 09/20/2023 | At Maturity | — | — | 698,310 | 698,310 | |||||||||
Total OTC total return swap contracts | $ — | $ — | $ 2,945,993 | $ 2,945,993 |
Centrally Cleared Credit Default Swap Contracts Outstanding at January 31, 2023 | |||||||||||||||
Reference Entity | Notional Amount(1) | (Pay)/Receive Fixed Rate | Expiration Date | Periodic Payment Frequency | Cost Basis | Value† | Unrealized Appreciation/ (Depreciation) | ||||||||
Credit default swaps on indices: | |||||||||||||||
Buy protection: | |||||||||||||||
CDX.EM.39.V1 | USD | 9,225,000 | (5.00%) | 12/20/2027 | Quarterly | $ (206,617) | $ (302,786) | $ (96,169) | |||||||
Total centrally cleared credit default swap contracts | $ (206,617) | $ (302,786) | $ (96,169) |
(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. |
Foreign Currency Contracts Outstanding at January 31, 2023 | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
1,043,000 | EUR | 1,135,876 | USD | JPM | 02/28/2023 | $ 80 | ||||
3,190,602 | EUR | 3,481,336 | USD | UBS | 02/28/2023 | (6,377) | ||||
153,418,689 | USD | 140,350,641 | EUR | TDB | 02/28/2023 | 559,533 | ||||
3,537,696 | USD | 3,242,000 | EUR | CIB | 02/28/2023 | 6,758 | ||||
14,164,545 | USD | 11,401,321 | GBP | JPM | 02/28/2023 | 99,813 | ||||
Total foreign currency contracts | $ 659,807 |
80 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Asset & Commercial Mortgage-Backed Securities | $ 44,899,339 | $ — | $ 44,899,339 | $ — | ||||
Convertible Bonds | 7,746,526 | — | 7,746,526 | — | ||||
Corporate Bonds | 84,481,374 | — | 84,481,374 | — | ||||
Senior Floating Rate Interests | 1,360,370,158 | — | 1,360,370,158 | — | ||||
Common Stocks | ||||||||
Energy | 9,942,642 | — | 3,663,883 | 6,278,759 | ||||
Insurance | 87,754 | — | 87,754 | — | ||||
Materials | 2,409,280 | — | 2,409,280 | — | ||||
Exchange-Traded Funds | 63,633,942 | 63,633,942 | — | — | ||||
Warrants | 132,987 | — | — | 132,987 | ||||
Short-Term Investments | 127,225,864 | 127,225,864 | — | — | ||||
Foreign Currency Contracts(2) | 666,184 | — | 666,184 | — | ||||
Futures Contracts(2) | 43,691 | 43,691 | — | — | ||||
Swaps- Total Return(2) | 2,945,993 | — | 2,945,993 | — | ||||
Total | $ 1,704,585,734 | $ 190,903,497 | $ 1,507,270,491 | $ 6,411,746 | ||||
Liabilities | ||||||||
Foreign Currency Contracts(2) | $ (6,377) | $ — | $ (6,377) | $ — | ||||
Futures Contracts(2) | (67,486) | (67,486) | — | — | ||||
Swaps - Credit Default(2) | (96,169) | — | (96,169) | — | ||||
Total | $ (170,032) | $ (67,486) | $ (102,546) | $ — |
(1) | For the period ended January 31, 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. |
81 |
82 |
83 |
84 |
85 |
86 |
Futures Contracts Outstanding at January 31, 2023 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Short position contracts: | ||||||||
Euro-BOBL Future | 6 | 03/08/2023 | $ 765,137 | $ 13,006 | ||||
U.S. Treasury 5-Year Note Future | 17 | 03/31/2023 | 1,857,117 | (19,771) | ||||
Total futures contracts | $ (6,765) |
87 |
OTC Total Return Swap Contracts Outstanding at January 31, 2023 | |||||||||||||||||||
Reference Entity | Counter- party | Notional Amount | Payments received (paid) by the Fund | Expiration Date | Periodic Payment Frequency | Upfront Premiums Paid | Upfront Premiums Received | Market Value† | Unrealized Appreciation/ Depreciation | ||||||||||
Markit iBoxx USD Liquid Leveraged Loan Index | MSC | USD | 8,315,000 | (4.81%) | 03/20/2023 | At Maturity | $ — | $ — | $ 249,806 | $ 249,806 | |||||||||
Markit iBoxx USD Liquid Leveraged Loan Index | GSC | USD | 4,125,000 | (4.75%) | 06/20/2023 | At Maturity | — | — | 141,151 | 141,151 | |||||||||
Markit iBoxx USD Liquid Leveraged Loan Index | MSC | USD | 5,400,000 | (4.75%) | 09/20/2023 | At Maturity | — | — | 168,342 | 168,342 | |||||||||
Markit iBoxx USD Liquid Leveraged Loan Index | MSC | USD | 5,400,000 | (4.75%) | 09/20/2023 | At Maturity | — | — | 130,639 | 130,639 | |||||||||
Total OTC total return swap contracts | $ — | $ — | $ 689,938 | $ 689,938 |
Centrally Cleared Credit Default Swap Contracts Outstanding at January 31, 2023 | |||||||||||||||
Reference Entity | Notional Amount(1) | (Pay)/Receive Fixed Rate | Expiration Date | Periodic Payment Frequency | Cost Basis | Value† | Unrealized Appreciation/ (Depreciation) | ||||||||
Credit default swaps on indices: | |||||||||||||||
Buy protection: | |||||||||||||||
CDX.EM.39.V1 | USD | 2,030,000 | (5.00%) | 12/20/2027 | Quarterly | $ (45,205) | $ (66,629) | $ (21,424) | |||||||
Total centrally cleared credit default swap contracts | $ (45,205) | $ (66,629) | $ (21,424) |
(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. |
Foreign Currency Contracts Outstanding at January 31, 2023 | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
230,000 | EUR | 250,481 | USD | JPM | 02/28/2023 | $ 18 | ||||
1,399,113 | EUR | 1,526,603 | USD | UBS | 02/28/2023 | (2,797) | ||||
2,091,000 | EUR | 2,284,526 | USD | RBC | 02/28/2023 | (7,169) | ||||
30,882,619 | USD | 28,252,069 | EUR | TDB | 02/28/2023 | 112,632 | ||||
1,766,671 | USD | 1,617,000 | EUR | RBC | 02/28/2023 | 5,559 | ||||
1,463,310 | USD | 1,341,000 | EUR | CIB | 02/28/2023 | 2,795 | ||||
3,575,512 | USD | 2,878,000 | GBP | JPM | 02/28/2023 | 25,195 | ||||
Total foreign currency contracts | $ 136,233 |
88 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Asset & Commercial Mortgage-Backed Securities | $ 9,685,081 | $ — | $ 9,685,081 | $ — | ||||
Convertible Bonds | 1,993,636 | — | 1,993,636 | — | ||||
Corporate Bonds | 25,078,138 | — | 25,078,138 | — | ||||
Senior Floating Rate Interests | 292,875,097 | — | 292,875,097 | — | ||||
Common Stocks | ||||||||
Energy | 1,213,059 | — | 505,638 | 707,421 | ||||
Insurance | 17,407 | — | 17,407 | — | ||||
Materials | 197,056 | — | 197,056 | — | ||||
Exchange-Traded Funds | 15,377,155 | 15,377,155 | — | — | ||||
Warrants | 33,217 | — | — | 33,217 | ||||
Short-Term Investments | 21,086,684 | 21,086,684 | — | — | ||||
Foreign Currency Contracts(2) | 146,199 | — | 146,199 | — | ||||
Futures Contracts(2) | 13,006 | 13,006 | — | — | ||||
Swaps- Total Return(2) | 689,938 | — | 689,938 | — | ||||
Total | $ 368,405,673 | $ 36,476,845 | $ 331,188,190 | $ 740,638 | ||||
Liabilities | ||||||||
Foreign Currency Contracts(2) | $ (9,966) | $ — | $ (9,966) | $ — | ||||
Futures Contracts(2) | (19,771) | (19,771) | — | — | ||||
Swaps - Credit Default(2) | (21,424) | — | (21,424) | — | ||||
Total | $ (51,161) | $ (19,771) | $ (31,390) | $ — |
(1) | For the period ended January 31, 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. |
89 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Affiliated Investment Companies | $ 518,918,081 | $ 518,918,081 | $ — | $ — | ||||
Short-Term Investments | 1,699,384 | 1,699,384 | — | — | ||||
Total | $ 520,617,465 | $ 520,617,465 | $ — | $ — |
(1) | For the period ended January 31, 2023, there were no transfers in and out of Level 3. |
90 |
91 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Australia | $ 1,471,636 | $ — | $ 1,471,636 | $ — | ||||
Bangladesh | 826,319 | — | — | 826,319 | ||||
Brazil | 4,136,797 | 4,136,797 | — | — | ||||
Canada | 5,385,380 | 5,385,380 | — | — | ||||
China | 6,932,989 | — | 6,932,989 | — | ||||
Finland | 3,903,515 | — | 3,903,515 | — | ||||
India | 1,136,226 | — | 1,136,226 | — | ||||
Indonesia | 3,364,553 | — | 3,364,553 | — | ||||
Ireland | 4,079,458 | 4,079,458 | — | — | ||||
Israel | 2,835,470 | 2,835,470 | — | — | ||||
Japan | 2,448,317 | — | 2,448,317 | — | ||||
Kenya | 1,023,529 | 1,023,529 | — | — | ||||
Netherlands | 5,348,131 | — | 5,348,131 | — | ||||
Puerto Rico | 3,583,557 | 3,583,557 | — | — | ||||
South Africa | 5,318,290 | — | 5,318,290 | — | ||||
South Korea | 2,965,648 | — | 2,965,648 | — | ||||
Spain | 3,223,332 | — | 3,223,332 | — | ||||
Sweden | 790,910 | — | 790,910 | — | ||||
Switzerland | 2,792,673 | — | 2,792,673 | — | ||||
Taiwan | 3,501,734 | — | 3,501,734 | — | ||||
United Kingdom | 8,654,806 | 2,462,385 | 6,192,421 | — | ||||
United States | 103,597,245 | 97,784,265 | 5,812,980 | — | ||||
Short-Term Investments | 1,379,590 | — | 1,379,590 | — | ||||
Total | $ 178,700,105 | $ 121,290,841 | $ 56,582,945 | $ 826,319 |
(1) | For the period ended January 31, 2023, investments valued at $991,228 were transferred into Level 3 due to the unavailability of active market pricing. There were no transfers out of Level 3. |
92 |
93 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Biotechnology | $ 207,399,700 | $ 183,105,604 | $ 24,294,096 | $ — | ||||
Health Care Distributors | 16,618,084 | 16,618,084 | — | — | ||||
Health Care Equipment | 225,211,309 | 210,711,909 | 14,499,400 | — | ||||
Health Care Facilities | 45,645,308 | 45,645,308 | — | — | ||||
Health Care Services | 30,664,325 | 30,664,325 | — | — | ||||
Life Sciences Tools & Services | 144,246,901 | 138,598,511 | 5,648,390 | — | ||||
Managed Health Care | 216,102,092 | 216,102,092 | — | — | ||||
Pharmaceuticals | 395,627,858 | 321,108,952 | 74,518,906 | — | ||||
Rights | 7,564 | — | — | 7,564 | ||||
Short-Term Investments | 4,037,762 | — | 4,037,762 | — | ||||
Total | $ 1,285,560,903 | $ 1,162,554,785 | $ 122,998,554 | $ 7,564 |
(1) | For the period ended January 31, 2023, there were no transfers in and out of Level 3. |
94 |
95 |
96 |
97 |
98 |
99 |
Futures Contracts Outstanding at January 31, 2023 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Short position contracts: | ||||||||
Euro-BOBL Future | 19 | 03/08/2023 | $ (2,228,700) | $ 41,171 | ||||
Total futures contracts | $ 41,171 |
Foreign Currency Contracts Outstanding at January 31, 2023 | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
12,661,493 | USD | 11,583,000 | EUR | TDB | 02/28/2023 | $ 46,178 | ||||
1,136,760 | USD | 915,000 | GBP | JPM | 02/28/2023 | 8,010 | ||||
Total foreign currency contracts | $ 54,188 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Convertible Bonds | $ 4,481,932 | $ — | $ 4,481,932 | $ — | ||||
Corporate Bonds | 359,921,632 | — | 359,921,632 | — | ||||
Senior Floating Rate Interests | 5,501,801 | — | 5,501,801 | — | ||||
Common Stocks | ||||||||
Energy | 22,476 | — | 22,476 | — | ||||
Escrows | 6,317,375 | — | 6,317,375 | — | ||||
Short-Term Investments | 1,759,927 | — | 1,759,927 | — | ||||
Foreign Currency Contracts(2) | 54,188 | — | 54,188 | — | ||||
Futures Contracts(2) | 41,171 | 41,171 | — | — | ||||
Total | $ 378,100,502 | $ 41,171 | $ 378,059,331 | $ — |
(1) | For the period ended January 31, 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. |
100 |
101 |
102 |
103 |
104 |
105 |
OTC Option Contracts Outstanding at January 31, 2023 | |||||||||||||||||||
Description | Counterparty | Exercise Price/ FX Rate/Rate | Expiration Date | Number of Contracts | Notional Amount | Market Value† | Premiums Paid (Received) by Fund | Unrealized Appreciation/ (Depreciation) | |||||||||||
Purchased option contracts: | |||||||||||||||||||
Call | |||||||||||||||||||
EUR Call/CNH Put | MSC | 7.94 | EUR | 08/11/2023 | 27,006,000 | EUR | 27,006,000 | $ 111,567 | $ 113,282 | $ (1,715) | |||||||||
Total purchased OTC option contracts | $ 111,567 | $ 113,282 | $ (1,715) |
Futures Contracts Outstanding at January 31, 2023 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
U.S. Treasury 10-Year Note Future | 516 | 03/22/2023 | $ 59,090,063 | $ 709,309 | ||||
U.S. Treasury Ultra Bond Future | 4 | 03/22/2023 | 567,000 | (4,393) | ||||
Total | $ 704,916 | |||||||
Short position contracts: | ||||||||
Canadian 10-Year Bond Future | 166 | 03/22/2023 | $ 15,752,253 | $ (143,194) | ||||
Euro BUXL 30-Year Bond Future | 37 | 03/08/2023 | 5,792,337 | 417,539 | ||||
Euro-BUND Future | 42 | 03/08/2023 | 6,247,244 | 149,349 | ||||
Euro-Schatz Future | 130 | 03/08/2023 | 14,944,892 | 109,218 | ||||
U.S. Treasury 2-Year Note Future | 244 | 03/31/2023 | 50,178,219 | (130,517) | ||||
U.S. Treasury 5-Year Note Future | 132 | 03/31/2023 | 14,419,969 | (36,717) | ||||
Total | $ 365,678 | |||||||
Total futures contracts | $ 1,070,594 |
OTC Interest Rate Swap Contracts Outstanding at January 31, 2023 | |||||||||||||||||||
Counterparty | 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) | ||||||||||
BOA(1) | 2.12% Fixed | CPURNSA | USD | 8,580,000 | 01/15/2024 | At Maturity | $ — | $ — | $ 632,220 | $ 632,220 | |||||||||
BOA(1) | 1.24% Fixed | CPURNSA | USD | 6,050,000 | 01/15/2029 | At Maturity | — | — | 353,033 | 353,033 | |||||||||
CBK | 2.84% Fixed | CPURNSA | USD | 15,300,000 | 01/15/2027 | At Maturity | — | — | 378,918 | 378,918 | |||||||||
CBK | 2.83% Fixed | CPURNSA | USD | 6,600,000 | 04/15/2026 | At Maturity | — | — | 431,566 | 431,566 | |||||||||
CBK | 2.60% Fixed | CPURNSA | USD | 18,520,000 | 01/15/2031 | At Maturity | — | — | 1,383,305 | 1,383,305 | |||||||||
Total OTC interest rate swap contracts | $ — | $ — | $ 3,179,042 | $ 3,179,042 |
(1) | At January 31, 2023, the counterparty had deposited in a segregated account securities with a value of $2,370,000 in connection with open swap contracts. |
OTC Total Return Swap Contracts Outstanding at January 31, 2023 | |||||||||||||||||||
Reference Entity | Counter- party | Notional Amount | Payments received (paid) by the Fund | Expiration Date | Periodic Payment Frequency | Upfront Premiums Paid | Upfront Premiums Received | Market Value† | Unrealized Appreciation/ Depreciation | ||||||||||
ABX.HE.AAA.06 | CSI | USD | 875,000 | 4.75% | 03/20/2023 | At Maturity | $ — | $ — | $ (12,545) | $ (12,545) | |||||||||
ABX.HE.AAA.07 | GSC | USD | 5,740,000 | 4.75% | 03/20/2023 | At Maturity | — | — | (53,368) | (53,368) | |||||||||
Total OTC total return swap contracts | $ — | $ — | $ (65,913) | $ (65,913) |
106 |
Centrally Cleared Credit Default Swap Contracts Outstanding at January 31, 2023 | |||||||||||||||
Reference Entity | Notional Amount(1) | (Pay)/Receive Fixed Rate | Expiration Date | Periodic Payment Frequency | Cost Basis | Value† | Unrealized Appreciation/ (Depreciation) | ||||||||
Credit default swaps on single-name issues: | |||||||||||||||
Buy protection: | |||||||||||||||
Brazil Republic | USD | 1,735,000 | (1.00%) | 06/20/2027 | Quarterly | $ 85,141 | $ 72,293 | $ (12,848) | |||||||
Total centrally cleared credit default swap contracts | $ 85,141 | $ 72,293 | $ (12,848) |
(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 January 31, 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) | |||||||||
0.94% Fixed | 12 Mo. Federal Funds Rate | USD | 13,439,000 | 08/22/2024 | Annual | $ — | $ — | $ 872,485 | $ 872,485 | ||||||||
1.03% Fixed | 12 Mo. Federal Funds Rate | USD | 9,012,000 | 09/06/2026 | Annual | — | — | 878,814 | 878,814 | ||||||||
1.00% Fixed | 12 Mo. Federal Funds Rate | USD | 3,322,000 | 09/29/2026 | Annual | 36,854 | — | 327,898 | 291,044 | ||||||||
Total centrally cleared interest rate swaps contracts | $ 36,854 | $ — | $ 2,079,197 | $ 2,042,343 |
Bond Forward Contracts Outstanding at January 31, 2023 | |||||||||
Counterparty | Reference Obligation | Notional Amount | Expiration Date | Unrealized Appreciation/ (Depreciation) | |||||
MSC | U.S. Treasury Bonds, 0.13%, 04/15/2025(1) | USD | 14,187,985 | 04/15/2025 | $(17,593) | ||||
MSC | U.S. Treasury Bonds, 0.38%, 07/15/2025(1) | USD | 10,064,633 | 07/15/2025 | (2,526) | ||||
GSC | U.S. Treasury Bonds, 0.50%, 04/15/2024(1) | USD | 9,292,809 | 04/15/2024 | (5,238) | ||||
MSC | U.S. Treasury Bonds, 0.63%, 01/15/2026(1) | USD | 14,266,442 | 01/15/2026 | (33,295) | ||||
MSC | U.S. Treasury Bonds, 0.75%, 07/15/2028(1) | USD | 3,335,045 | 07/15/2028 | (14,380) | ||||
Total Bond Forward Contracts | $(73,032) |
(1) | The principal amount for these securities are adjusted for inflation and the interest payments equal a fixed percentage of the inflation-adjusted principal amount. |
Foreign Currency Contracts Outstanding at January 31, 2023 | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
1,143,000 | BRL | 220,068 | USD | MSC | 02/02/2023 | $ 4,996 | ||||
38,257,000 | BRL | 7,534,365 | USD | CBK | 02/02/2023 | (1,320) | ||||
15,943,000 | BRL | 3,126,569 | USD | CBK | 03/02/2023 | (2,895) | ||||
97,000 | EUR | 105,537 | USD | MSC | 02/28/2023 | 108 | ||||
55,000 | EUR | 59,938 | USD | SSG | 02/28/2023 | (36) | ||||
428,800,000 | JPY | 3,313,359 | USD | JPM | 02/28/2023 | (6,549) | ||||
114,665,000 | MXN | 6,064,557 | USD | BOA | 02/28/2023 | (5,368) | ||||
50,550,000 | NOK | 5,119,817 | USD | UBS | 02/28/2023 | (48,989) | ||||
162,000 | ZAR | 9,486 | USD | MSC | 02/28/2023 | (198) | ||||
3,141,478 | USD | 15,943,000 | BRL | CBK | 02/02/2023 | 2,200 | ||||
4,516,303 | USD | 23,457,000 | BRL | MSC | 02/02/2023 | (102,529) | ||||
4,600,133 | USD | 23,457,000 | BRL | CBK | 03/02/2023 | 4,260 | ||||
3,304,085 | USD | 4,408,000 | CAD | TDB | 02/28/2023 | (9,456) | ||||
13,086,958 | USD | 11,972,224 | EUR | TDB | 02/28/2023 | 47,729 | ||||
4,994,352 | USD | 6,156,288,000 | KRW | MSC | 02/28/2023 | (8,523) | ||||
6,576,684 | USD | 124,348,000 | MXN | BOA | 02/28/2023 | 5,821 | ||||
6,604,090 | USD | 10,164,000 | NZD | MSC | 02/28/2023 | 31,998 | ||||
Total foreign currency contracts | $ (88,751) |
107 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Asset & Commercial Mortgage-Backed Securities | $ 18,474,875 | $ — | $ 18,474,875 | $ — | ||||
Corporate Bonds | 10,404,621 | — | 10,404,621 | — | ||||
Foreign Government Obligations | 42,967,922 | — | 42,967,922 | — | ||||
Senior Floating Rate Interests | 11,495,021 | — | 11,495,021 | — | ||||
U.S. Government Agencies | 6,855,119 | — | 6,855,119 | — | ||||
U.S. Government Securities | 373,086,293 | — | 373,086,293 | — | ||||
Short-Term Investments | 217,872 | — | 217,872 | — | ||||
Purchased Options | 111,567 | — | 111,567 | — | ||||
Foreign Currency Contracts(2) | 94,912 | — | 94,912 | — | ||||
Futures Contracts(2) | 1,385,415 | 1,385,415 | — | — | ||||
Swaps - Interest Rate(2) | 5,221,385 | — | 5,221,385 | — | ||||
Total | $ 470,315,002 | $ 1,385,415 | $ 468,929,587 | $ — | ||||
Liabilities | ||||||||
Bond Forward Contracts(2) | $ (73,032) | $ — | $ (73,032) | $ — | ||||
Foreign Currency Contracts(2) | (183,663) | — | (183,663) | — | ||||
Futures Contracts(2) | (314,821) | (314,821) | — | — | ||||
Swaps - Credit Default(2) | (12,848) | — | (12,848) | — | ||||
Swaps - Total Return(2) | (65,913) | — | (65,913) | — | ||||
Total | $ (650,277) | $ (314,821) | $ (335,456) | $ — |
(1) | For the period ended January 31, 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. |
108 |
109 |
110 |
111 |
112 |
113 |
Futures Contracts Outstanding at January 31, 2023 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
SPI 200 Future | 96 | 03/16/2023 | $ 12,578,243 | $ 589,653 | ||||
Total futures contracts | $ 589,653 |
114 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Australia | $ 9,321,806 | $ 448,538 | $ 8,873,268 | $ — | ||||
Austria | 5,645,631 | — | 5,645,631 | — | ||||
Belgium | 3,260,692 | — | 3,260,692 | — | ||||
Brazil | 11,784,835 | 11,778,595 | 6,240 | — | ||||
Burkina Faso | 533,295 | 533,295 | — | — | ||||
Canada | 28,960,934 | 28,960,934 | — | — | ||||
Chile | 854,726 | 461,280 | 393,446 | — | ||||
China | 65,568,909 | 11,994,063 | 53,574,846 | — | ||||
Denmark | 2,143,620 | — | 2,143,620 | — | ||||
Egypt | 550,684 | — | 550,684 | — | ||||
Finland | 5,618,074 | — | 5,618,074 | — | ||||
France | 55,807,682 | 121,212 | 55,686,470 | — | ||||
Germany | 28,552,330 | — | 28,552,330 | — | ||||
Hong Kong | 25,629,387 | — | 25,629,387 | — | ||||
Hungary | 259,472 | 259,472 | — | — | ||||
India | 18,525,697 | 4,324,017 | 14,201,680 | — | ||||
Indonesia | 5,226,101 | — | 5,226,101 | — | ||||
Ireland | 5,303,101 | 3,236,991 | 2,066,110 | — | ||||
Italy | 17,458,988 | — | 17,458,988 | — | ||||
Japan | 89,906,882 | — | 89,906,882 | — | ||||
Luxembourg | 855,621 | — | 855,621 | — | ||||
Malaysia | 2,800,723 | 1,073,296 | 1,727,427 | — | ||||
Mexico | 4,197,943 | 3,842,408 | 355,535 | — | ||||
Netherlands | 30,126,723 | — | 30,126,723 | — | ||||
Nigeria | 1,638,597 | — | 1,638,597 | — | ||||
Norway | 218,312 | — | 218,312 | — | ||||
Philippines | 1,224,219 | — | 1,224,219 | — | ||||
Poland | 534,727 | — | 534,727 | — | ||||
Portugal | 2,288,463 | — | 2,288,463 | — | ||||
Russia | 183,849 | 183,849 | — | — | ||||
Saudi Arabia | 3,209,378 | 3,209,378 | — | — | ||||
South Africa | 10,317,620 | 679,698 | 9,637,922 | — | ||||
South Korea | 29,206,948 | — | 29,206,948 | — | ||||
Spain | 11,938,839 | — | 11,938,839 | — | ||||
Sweden | 15,414,040 | — | 15,414,040 | — | ||||
Switzerland | 26,246,205 | — | 26,246,205 | — | ||||
Taiwan | 33,994,937 | — | 33,994,937 | — | ||||
Tanzania | 815,334 | 815,334 | — | — | ||||
Thailand | 3,273,502 | — | 3,273,502 | — | ||||
Turkey | 1,692,898 | 975,006 | 717,892 | — | ||||
United Kingdom | 54,097,819 | 638,504 | 53,459,315 | — | ||||
United States | 36,406,561 | 11,367,354 | 24,351,564 | 687,643 | ||||
Convertible Preferred Stocks | 724,215 | — | — | 724,215 | ||||
Exchange-Traded Funds | 170,090 | 170,090 | — | — | ||||
Closed End Funds | 411,258 | 411,258 | — | — | ||||
Preferred Stocks | 8,593,225 | 3,990,981 | 4,602,244 | — | ||||
Short-Term Investments | 4,414,760 | 1,859,818 | 2,554,942 | — | ||||
Futures Contracts(2) | 589,653 | 589,653 | — | — | ||||
Total | $ 666,499,305 | $ 91,925,024 | $ 573,162,423 | $ 1,411,858 |
(1) | For the period ended January 31, 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. |
115 |
116 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Australia | $ 9,073,979 | $ — | $ 9,073,979 | $ — | ||||
Austria | 7,393,566 | — | 7,393,566 | — | ||||
China | 27,121,124 | 6,120,362 | 21,000,762 | — | ||||
France | 34,033,772 | — | 34,033,772 | — | ||||
Germany | 8,414,635 | — | 8,414,635 | — | ||||
Hong Kong | 13,426,861 | — | 13,426,861 | — | ||||
India | 6,768,935 | — | 6,768,935 | — | ||||
Ireland | 6,984,389 | 6,984,389 | — | — | ||||
Italy | 20,826,542 | 2,179,612 | 18,646,930 | — | ||||
Japan | 21,145,875 | — | 21,145,875 | — | ||||
Netherlands | 29,350,518 | — | 29,350,518 | — | ||||
South Africa | 11,166,498 | — | 11,166,498 | — | ||||
South Korea | 12,420,692 | — | 12,420,692 | — | ||||
Spain | 8,260,004 | — | 8,260,004 | — | ||||
Sweden | 14,523,950 | — | 14,523,950 | — | ||||
Switzerland | 21,926,490 | — | 21,926,490 | — | ||||
Taiwan | 22,064,712 | — | 22,064,712 | — | ||||
United Kingdom | 10,924,998 | — | 10,924,998 | — | ||||
United States | 34,696,420 | 24,862,427 | 9,833,993 | — | ||||
Preferred Stocks | 5,948,720 | — | 5,948,720 | — | ||||
Total | $ 326,472,680 | $ 40,146,790 | $ 286,325,890 | $ — |
(1) | For the period ended January 31, 2023, there were no transfers in and out of Level 3. |
117 |
118 |
119 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Australia | $ 124,929,496 | $ — | $ 124,929,496 | $ — | ||||
Brazil | 45,551,506 | 45,373,828 | 177,678 | — | ||||
Canada | 237,429,683 | 237,429,683 | — | — | ||||
China | 488,488,545 | 50,343,951 | 438,144,594 | — | ||||
Denmark | 37,195,039 | 21,957,321 | 15,237,718 | — | ||||
Finland | 40,746,629 | — | 40,746,629 | — | ||||
France | 366,130,833 | — | 366,130,833 | — | ||||
Germany | 285,658,196 | — | 285,658,196 | — | ||||
Hong Kong | 147,352,683 | — | 147,352,683 | — | ||||
India | 88,214,572 | — | 88,214,572 | — | ||||
Indonesia | 31,832,088 | — | 31,832,088 | — | ||||
Ireland | 31,821,825 | — | 31,821,825 | — | ||||
Italy | 85,338,210 | — | 85,338,210 | — | ||||
Japan | 546,921,893 | — | 546,921,893 | — | ||||
Netherlands | 62,677,769 | — | 62,677,769 | — | ||||
South Africa | 75,478,504 | — | 75,478,504 | — | ||||
South Korea | 40,398,038 | — | 40,398,038 | — | ||||
Spain | 88,561,351 | — | 88,561,351 | — | ||||
Switzerland | 269,064,121 | — | 269,064,121 | — | ||||
Taiwan | 82,365,294 | — | 82,365,294 | — | ||||
Thailand | 50,285,781 | — | 50,285,781 | — | ||||
United Kingdom | 557,344,693 | — | 557,344,693 | — | ||||
United States | 136,194,849 | 9,989,238 | 126,205,611 | — | ||||
Exchange-Traded Funds | 60,635,372 | 60,635,372 | — | — | ||||
Preferred Stocks | 41,187,254 | 41,187,254 | — | — | ||||
Short-Term Investments | 12,839,727 | — | 12,839,727 | — | ||||
Total | $ 4,034,643,951 | $ 466,916,647 | $ 3,567,727,304 | $ — |
(1) | For the period ended January 31, 2023, there were no transfers in and out of Level 3. |
120 |
121 |
122 |
123 |
Futures Contracts Outstanding at January 31, 2023 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
MSCI EAFE Index Future | 596 | 03/17/2023 | $ 63,146,200 | $ 87,027 | ||||
Total futures contracts | $ 87,027 |
124 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Australia | $ 11,405,607 | $ 7,420,956 | $ 3,984,651 | $ — | ||||
Austria | 33,659,092 | — | 33,659,092 | — | ||||
Belgium | 30,544,372 | — | 30,544,372 | — | ||||
Brazil | 70,498,613 | 70,498,613 | — | — | ||||
Burkina Faso | 8,554,093 | 8,554,093 | — | — | ||||
Canada | 52,691,136 | 52,691,136 | — | — | ||||
Chile | 21,046,485 | 21,046,485 | — | — | ||||
China | 34,269,218 | — | 34,269,218 | — | ||||
Egypt | 9,124,968 | — | 9,124,968 | — | ||||
Finland | 33,669,800 | — | 33,669,800 | — | ||||
France | 314,229,680 | 1,997,075 | 312,232,605 | — | ||||
Germany | 127,378,692 | — | 127,378,692 | — | ||||
Hong Kong | 56,042,990 | — | 56,042,990 | — | ||||
Hungary | 3,342,498 | 3,342,498 | — | — | ||||
India | 15,766,428 | — | 15,766,428 | — | ||||
Indonesia | 13,171,268 | — | 13,171,268 | — | ||||
Ireland | 34,507,876 | — | 34,507,876 | — | ||||
Italy | 132,133,554 | — | 132,133,554 | — | ||||
Japan | 746,281,641 | — | 746,281,641 | — | ||||
Luxembourg | 14,080,916 | — | 14,080,916 | — | ||||
Malaysia | 14,713,417 | — | 14,713,417 | — | ||||
Mexico | 15,016,050 | 9,201,480 | 5,814,570 | — | ||||
Netherlands | 156,618,743 | — | 156,618,743 | — | ||||
Norway | 3,643,651 | — | 3,643,651 | — | ||||
Philippines | 7,242,721 | — | 7,242,721 | — | ||||
Poland | 8,816,228 | — | 8,816,228 | — | ||||
Russia | 2,340,094 | 2,340,094 | — | — | ||||
South Africa | 51,998,119 | 8,092,818 | 43,905,301 | — | ||||
South Korea | 115,313,143 | — | 115,313,143 | — | ||||
Spain | 29,013,657 | — | 29,013,657 | — | ||||
Sweden | 37,649,629 | — | 37,649,629 | — | ||||
Switzerland | 142,146,294 | — | 142,146,294 | — | ||||
Taiwan | 29,371,288 | — | 29,371,288 | — | ||||
Thailand | 18,041,844 | — | 18,041,844 | — | ||||
Turkey | 26,097,055 | 14,741,199 | 11,355,856 | — | ||||
United Kingdom | 226,537,076 | 8,718,281 | 217,818,795 | — | ||||
United States | 55,181,564 | — | 55,181,564 | — | ||||
Closed End Funds | 5,700,800 | 5,700,800 | — | — | ||||
Preferred Stocks | 30,658,390 | — | 30,658,390 | — | ||||
Short-Term Investments | 62,901,574 | 34,232,016 | 28,669,558 | — | ||||
Futures Contracts(2) | 87,027 | 87,027 | — | — | ||||
Total | $ 2,801,487,291 | $ 248,664,571 | $ 2,552,822,720 | $ — |
(1) | For the period ended January 31, 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. |
125 |
126 |
127 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Automobiles & Components | $ 82,036,288 | $ 82,036,288 | $ — | $ — | ||||
Banks | 201,500,399 | 201,500,399 | — | — | ||||
Capital Goods | 1,062,440,679 | 1,062,440,679 | — | — | ||||
Commercial & Professional Services | 159,686,617 | 159,686,617 | — | — | ||||
Consumer Durables & Apparel | 317,811,053 | 317,811,053 | — | — | ||||
Consumer Services | 255,662,409 | 255,662,409 | — | — | ||||
Diversified Financials | 226,861,770 | 226,861,770 | — | — | ||||
Energy | 456,921,940 | 456,921,940 | — | — | ||||
Food & Staples Retailing | 19,894,827 | 19,894,827 | — | — | ||||
Health Care Equipment & Services | 398,296,598 | 398,296,598 | — | — | ||||
Insurance | 216,693,718 | 216,693,718 | — | — | ||||
Materials | 427,807,444 | 427,807,444 | — | — | ||||
Media & Entertainment | 156,220,045 | 156,220,045 | — | — | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 1,041,285,582 | 1,041,285,582 | — | — | ||||
Real Estate | 86,133,296 | 86,133,296 | — | — | ||||
Retailing | 343,544,312 | 343,544,312 | — | — | ||||
Semiconductors & Semiconductor Equipment | 249,649,819 | 249,649,819 | — | — | ||||
Software & Services | 1,211,419,852 | 1,211,419,852 | — | — | ||||
Technology Hardware & Equipment | 314,578,611 | 314,578,611 | — | — | ||||
Transportation | 429,750,066 | 429,750,066 | — | — | ||||
Utilities | 68,524,730 | 68,524,730 | — | — | ||||
Short-Term Investments | 157,037,718 | 156,508,044 | 529,674 | — | ||||
Total | $ 7,883,757,773 | $ 7,883,228,099 | $ 529,674 | $ — |
(1) | For the period ended January 31, 2023, there were no transfers in and out of Level 3. |
128 |
129 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Automobiles & Components | $ 17,752,573 | $ 17,752,573 | $ — | $ — | ||||
Banks | 71,879,400 | 71,879,400 | — | — | ||||
Capital Goods | 156,771,016 | 156,771,016 | — | — | ||||
Commercial & Professional Services | 25,473,108 | 25,473,108 | — | — | ||||
Consumer Durables & Apparel | 36,286,778 | 36,286,778 | — | — | ||||
Consumer Services | 20,755,065 | 20,755,065 | — | — | ||||
Diversified Financials | 32,256,301 | 32,256,301 | — | — | ||||
Energy | 55,269,333 | 55,269,333 | — | — | ||||
Food & Staples Retailing | 18,474,214 | 18,474,214 | — | — | ||||
Food, Beverage & Tobacco | 9,147,681 | 9,147,681 | — | — | ||||
Health Care Equipment & Services | 87,059,743 | 87,059,743 | — | — | ||||
Insurance | 77,267,169 | 77,267,169 | — | — | ||||
Materials | 54,494,383 | 54,494,383 | — | — | ||||
Media & Entertainment | 26,326,162 | 26,326,162 | — | — | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 16,413,023 | 16,413,023 | — | — | ||||
Real Estate | 73,868,427 | 73,868,427 | — | — | ||||
Retailing | 35,950,641 | 35,950,641 | — | — | ||||
Semiconductors & Semiconductor Equipment | 56,301,452 | 56,301,452 | — | — | ||||
Software & Services | 9,924,113 | 9,924,113 | — | — | ||||
Technology Hardware & Equipment | 50,653,313 | 50,653,313 | — | — | ||||
Transportation | 18,702,479 | 18,702,479 | — | — | ||||
Utilities | 43,906,378 | 43,906,378 | — | — | ||||
Short-Term Investments | 1,588,667 | — | 1,588,667 | — | ||||
Total | $ 996,521,419 | $ 994,932,752 | $ 1,588,667 | $ — |
(1) | For the period ended January 31, 2023, there were no transfers in and out of Level 3. |
130 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Affiliated Investment Companies | $ 330,021,740 | $ 330,021,740 | $ — | $ — | ||||
Short-Term Investments | 940,112 | 940,112 | — | — | ||||
Total | $ 330,961,852 | $ 330,961,852 | $ — | $ — |
(1) | For the period ended January 31, 2023, there were no transfers in and out of Level 3. |
131 |
132 |
133 |
134 |
135 |
136 |
137 |
138 |
139 |
140 |
141 |
142 |
143 |
144 |
145 |
146 |
147 |
Exchange-Traded Option Contracts Outstanding at January 31, 2023 | ||||||||||||||||
Description | Exercise Price/ FX Rate/ Rate | Expiration Date | Number of Contracts | Notional Amount | Market Value† | Premiums Paid (Received) by Fund | Unrealized Appreciation/ (Depreciation) | |||||||||
Purchased option contracts: | ||||||||||||||||
Put | ||||||||||||||||
S&P 500 Index Option | 3,600.00 | USD | 03/17/2023 | 165 | USD | 16,500 | $ 202,950 | $ 1,031,796 | $ (828,846) | |||||||
Total purchased exchange-traded option contracts | $ 202,950 | $ 1,031,796 | $ (828,846) |
Futures Contracts Outstanding at January 31, 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 | 35 | 03/31/2023 | $ 7,197,695 | $ 24,108 | ||||
U.S. Treasury 5-Year Note Future | 300 | 03/31/2023 | 32,772,657 | 164,883 | ||||
U.S. Treasury 10-Year Ultra Future | 26 | 03/22/2023 | 3,151,281 | 56,988 | ||||
Total | $ 245,979 | |||||||
Short position contracts: | ||||||||
U.S. Treasury 10-Year Note Future | 20 | 03/22/2023 | $ (2,290,313) | $ (19,638) | ||||
Total futures contracts | $ 226,341 |
148 |
Foreign Currency Contracts Outstanding at January 31, 2023 | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
557,000 | EUR | 607,755 | USD | UBS | 02/28/2023 | $ (1,113) | ||||
40,503,005 | USD | 37,053,000 | EUR | TDB | 02/28/2023 | 147,718 | ||||
13,858,526 | USD | 11,155,000 | GBP | JPM | 02/28/2023 | 97,656 | ||||
Total foreign currency contracts | $ 244,261 |
149 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Asset & Commercial Mortgage-Backed Securities | $ 132,364,307 | $ — | $ 132,364,307 | $ — | ||||
Convertible Bonds | 24,561,570 | — | 24,561,570 | — | ||||
Corporate Bonds | 113,228,621 | — | 113,228,621 | — | ||||
Foreign Government Obligations | 6,520,114 | — | 6,520,114 | — | ||||
Municipal Bonds | 6,716,767 | — | 6,716,767 | — | ||||
Senior Floating Rate Interests | 52,330,517 | — | 52,330,517 | — | ||||
U.S. Government Agencies | 15,070,739 | — | 15,070,739 | — | ||||
U.S. Government Securities | 79,178,018 | — | 79,178,018 | — | ||||
Common Stocks | ||||||||
Automobiles & Components | 2,863,787 | 93,570 | 2,770,217 | — | ||||
Banks | 11,685,220 | 5,122,990 | 6,562,230 | — | ||||
Capital Goods | 27,038,258 | 10,181,300 | 16,856,958 | — | ||||
Commercial & Professional Services | 6,859,275 | — | 6,859,275 | — | ||||
Consumer Durables & Apparel | 14,741,747 | 14,133,440 | 608,307 | — | ||||
Consumer Services | 3,419,982 | 2,708,956 | 711,026 | — | ||||
Diversified Financials | 3,599,325 | 3,097,444 | 501,881 | — | ||||
Energy | 3,656,703 | 154,565 | 3,502,138 | — | ||||
Food & Staples Retailing | 1,251,905 | 799,903 | 452,002 | — | ||||
Food, Beverage & Tobacco | 12,254,155 | 6,129,290 | 6,124,865 | — | ||||
Health Care Equipment & Services | 8,081,295 | 7,031,758 | 1,049,537 | — | ||||
Household & Personal Products | 4,404,034 | 2,850,832 | 1,553,202 | — | ||||
Insurance | 9,925,017 | 4,181,774 | 5,743,243 | — | ||||
Materials | 8,106,192 | 3,630,034 | 4,476,158 | — | ||||
Media & Entertainment | 3,002,093 | 628,921 | 2,373,172 | — | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 12,327,914 | 8,733,350 | 3,594,564 | — | ||||
Real Estate | 13,109,553 | 9,136,143 | 3,956,105 | 17,305 | ||||
Retailing | 3,231,658 | 1,830,848 | 1,400,810 | — | ||||
Semiconductors & Semiconductor Equipment | 7,262,807 | 4,844,088 | 2,418,719 | — | ||||
Software & Services | 15,567,058 | 13,105,731 | 2,461,327 | — | ||||
Technology Hardware & Equipment | 2,700,384 | 580,278 | 2,120,106 | — | ||||
Telecommunication Services | 6,156,705 | 2,134,521 | 4,022,184 | — | ||||
Transportation | 3,933,918 | 2,312,519 | 1,621,399 | — | ||||
Utilities | 8,850,439 | 1,306,527 | 7,543,912 | — | ||||
Convertible Preferred Stocks | 846,594 | 846,594 | — | — | ||||
Equity Linked Securities | 32,578,298 | — | 32,578,298 | — | ||||
Preferred Stocks | 3,637,037 | 2,108,250 | 1,528,787 | — | ||||
Short-Term Investments | 7,680,017 | 3,792,236 | 3,887,781 | — | ||||
Purchased Options | 202,950 | 202,950 | — | — | ||||
Foreign Currency Contracts(2) | 245,374 | — | 245,374 | — | ||||
Futures Contracts(2) | 245,979 | 245,979 | — | — | ||||
Total | $ 669,436,326 | $ 111,924,791 | $ 557,494,230 | $ 17,305 | ||||
Liabilities | ||||||||
Foreign Currency Contracts(2) | $ (1,113) | $ — | $ (1,113) | $ — | ||||
Futures Contracts(2) | (19,638) | (19,638) | — | — | ||||
Total | $ (20,751) | $ (19,638) | $ (1,113) | $ — |
(1) | For the period ended January 31, 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. |
150 |
151 |
152 |
153 |
154 |
155 |
156 |
157 |
158 |
159 |
160 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Municipal Bonds | $ 1,633,602,825 | $ — | $ 1,633,602,825 | $ — | ||||
U.S. Government Agencies | 2,555,407 | — | 2,555,407 | — | ||||
Short-Term Investments | 20,548,368 | — | 20,548,368 | — | ||||
Total | $ 1,656,706,600 | $ — | $ 1,656,706,600 | $ — |
(1) | For the period ended January 31, 2023, there were no transfers in and out of Level 3. |
161 |
162 |
163 |
164 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Municipal Bonds | $ 52,069,638 | $ — | $ 52,069,638 | $ — | ||||
Short-Term Investments | 178,030 | — | 178,030 | — | ||||
Total | $ 52,247,668 | $ — | $ 52,247,668 | $ — |
(1) | For the period ended January 31, 2023, there were no transfers in and out of Level 3. |
165 |
166 |
167 |
168 |
169 |
(6) | Current yield as of period end. |
Futures Contracts Outstanding at January 31, 2023 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
Brent Crude Oil Future | 19 | 03/31/2023 | $ 1,618,230 | $ 20,726 | ||||
Brent Crude Oil Future | 20 | 05/31/2023 | 1,686,200 | 105,213 | ||||
Coffee Future | 9 | 07/19/2023 | 610,706 | 71,042 | ||||
Copper Future | 12 | 07/27/2023 | 1,271,100 | 19,239 | ||||
Cotton No. 2 Future | 7 | 05/08/2023 | 304,325 | 7,729 | ||||
Cotton No. 2 Future | 15 | 07/07/2023 | 655,950 | 26,162 | ||||
Gasoline RBOB Future | 6 | 02/28/2023 | 646,834 | 32,338 | ||||
Gasoline RBOB Future | 8 | 06/30/2023 | 882,134 | 40,037 | ||||
Gold 100oz Future | 12 | 04/26/2023 | 2,334,360 | 37,136 | ||||
Gold 100oz Future | 16 | 06/28/2023 | 3,139,520 | 184,804 | ||||
Lean Hogs Future | 5 | 06/14/2023 | 206,100 | 273 | ||||
Live Cattle Future | 8 | 06/30/2023 | 509,280 | 3,943 | ||||
LME Nickel Future | 7 | 03/13/2023 | 1,270,332 | 303,853 | ||||
LME Nickel Future | 3 | 05/15/2023 | 547,164 | 111,038 | ||||
LME Nickel Future | 2 | 07/17/2023 | 366,684 | 36,691 | ||||
LME Zinc Future | 22 | 03/13/2023 | 1,869,318 | 222,305 | ||||
LME Zinc Future | 20 | 05/15/2023 | 1,693,500 | 236,052 | ||||
LME Zinc Future | 19 | 07/17/2023 | 1,601,700 | 71,853 | ||||
NY Harbor ULSD Future | 5 | 06/30/2023 | 601,230 | 16,903 | ||||
Primary Aluminum Future | 4 | 03/13/2023 | 262,850 | 31,902 | ||||
Primary Aluminum Future | 4 | 05/15/2023 | 265,250 | 29,187 | ||||
Primary Aluminum Future | 4 | 07/17/2023 | 267,500 | 14,830 | ||||
Silver Future | 7 | 03/29/2023 | 834,260 | 71,691 | ||||
Silver Future | 1 | 07/27/2023 | 121,265 | (2,523) | ||||
Soybean Future | 12 | 07/14/2023 | 911,250 | 4,803 | ||||
Soybean Meal Future | 17 | 07/14/2023 | 775,710 | 8,170 | ||||
Wheat Future | 25 | 07/14/2023 | 964,063 | 14,890 | ||||
WTI Crude Future | 9 | 02/21/2023 | 709,830 | (14,164) | ||||
Total | $ 1,706,123 | |||||||
Short position contracts: | ||||||||
LME Nickel Future | 7 | 03/13/2023 | $ 1,270,332 | $ (298,591) | ||||
LME Nickel Future | 3 | 05/15/2023 | 547,164 | (56,673) | ||||
LME Zinc Future | 22 | 03/13/2023 | 1,869,318 | (280,776) | ||||
LME Zinc Future | 20 | 05/15/2023 | 1,693,500 | (92,919) | ||||
LME Zinc Future | 2 | 07/17/2023 | 168,600 | 5,069 | ||||
Primary Aluminum Future | 4 | 03/13/2023 | 262,850 | (28,298) | ||||
Primary Aluminum Future | 4 | 05/15/2023 | 265,250 | (14,914) | ||||
Total | $ (767,102) | |||||||
Total futures contracts | $ 939,021 |
Foreign Currency Contracts Outstanding at January 31, 2023 | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
1,820,000 | AUD | 1,294,046 | USD | MSC | 02/28/2023 | $ (7,956) | ||||
1,705,000 | CAD | 1,278,010 | USD | TDB | 02/28/2023 | 3,657 | ||||
270,000 | EUR | 294,276 | USD | MSC | 02/28/2023 | (213) | ||||
290,000 | GBP | 358,971 | USD | MSC | 02/28/2023 | (1,225) | ||||
19,274,000,000 | IDR | 1,291,563 | USD | JPM | 02/28/2023 | (6,480) | ||||
8,390,000 | NOK | 849,758 | USD | UBS | 02/28/2023 | (8,131) | ||||
2,258,891 | USD | 3,177,000 | AUD | MSC | 02/28/2023 | 13,887 | ||||
134,574 | USD | 190,000 | AUD | ANZ | 02/28/2023 | 312 | ||||
153,578 | USD | 205,000 | CAD | MSC | 02/28/2023 | (523) | ||||
2,217,965 | USD | 2,959,000 | CAD | TDB | 02/28/2023 | (6,347) | ||||
2,704,354 | USD | 2,474,000 | EUR | TDB | 02/28/2023 | 9,863 | ||||
3,377,977 | USD | 2,719,000 | GBP | JPM | 02/28/2023 | 23,803 | ||||
132,102 | USD | 1,978,000,000 | IDR | MSC | 02/28/2023 | 220 |
170 |
Foreign Currency Contracts Outstanding at January 31, 2023 – (continued) | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
1,988,649 | USD | 257,362,000 | JPY | JPM | 02/28/2023 | $ 3,931 | ||||
88,759 | USD | 880,000 | NOK | BOA | 02/28/2023 | 484 | ||||
Total foreign currency contracts | $ 25,282 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Foreign Government Obligations | $ 5,788,275 | $ — | $ 5,788,275 | $ — | ||||
U.S. Government Securities | 46,046,156 | — | 46,046,156 | — | ||||
Common Stocks | ||||||||
Automobiles & Components | 94,196 | 5,634 | 88,562 | — | ||||
Banks | 2,784,063 | 143,913 | 2,640,150 | — | ||||
Capital Goods | 1,594,740 | 605,865 | 988,875 | — | ||||
Commercial & Professional Services | 507,193 | 71,274 | 435,919 | — | ||||
Consumer Durables & Apparel | 299,679 | 180,877 | 118,802 | — | ||||
Consumer Services | 552,842 | 352,732 | 200,110 | — | ||||
Diversified Financials | 693,415 | 416,049 | 277,366 | — | ||||
Energy | 24,083,041 | 13,449,473 | 10,633,568 | — | ||||
Food & Staples Retailing | 273,956 | — | 273,956 | — | ||||
Food, Beverage & Tobacco | 349,786 | 222,701 | 127,085 | — | ||||
Insurance | 886,615 | — | 886,615 | — | ||||
Materials | 22,200,194 | 10,587,929 | 11,612,265 | — | ||||
Real Estate | 11,430,418 | 7,566,206 | 3,864,212 | — | ||||
Retailing | 50,799 | — | 50,799 | — | ||||
Semiconductors & Semiconductor Equipment | 5,891 | 5,891 | — | — | ||||
Software & Services | 161,432 | 161,432 | — | — | ||||
Technology Hardware & Equipment | 17,992 | 17,992 | — | — | ||||
Telecommunication Services | 2,251,907 | 203,074 | 2,048,833 | — | ||||
Transportation | 924,435 | 390,818 | 533,617 | — | ||||
Utilities | 6,437,377 | 3,807,274 | 2,630,103 | — | ||||
Exchange-Traded Funds | 2,170,735 | 2,170,735 | — | — | ||||
Closed End Funds | 67,699 | 67,699 | — | — | ||||
Short-Term Investments | 21,391,744 | 21,032,670 | 359,074 | — | ||||
Foreign Currency Contracts(2) | 56,157 | — | 56,157 | — | ||||
Futures Contracts(2) | 1,727,879 | 1,727,879 | — | — | ||||
Total | $ 152,848,616 | $ 63,188,117 | $ 89,660,499 | $ — | ||||
Liabilities | ||||||||
Foreign Currency Contracts(2) | $ (30,875) | $ — | $ (30,875) | $ — | ||||
Futures Contracts(2) | (788,858) | (788,858) | — | — | ||||
Total | $ (819,733) | $ (788,858) | $ (30,875) | $ — |
(1) | For the period ended January 31, 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. |
171 |
172 |
173 |
174 |
175 |
176 |
177 |
178 |
179 |
180 |
181 |
182 |
183 |
184 |
185 |
186 |
Futures Contracts Outstanding at January 31, 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 | 1,480 | 03/31/2023 | $ 304,359,688 | $ 1,176,479 | ||||
Short position contracts: | ||||||||
U.S. Treasury 5-Year Note Future | 1,373 | 03/31/2023 | $ 149,989,524 | $ (1,597,173) | ||||
U.S. Treasury 10-Year Note Future | 278 | 03/22/2023 | 31,835,344 | (528,253) | ||||
Total | $ (2,125,426) | |||||||
Total futures contracts | $ (948,947) |
Foreign Currency Contracts Outstanding at January 31, 2023 | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
2,614,000 | EUR | 2,826,779 | USD | TDB | 02/06/2023 | $ 16,266 | ||||
2,780,054 | USD | 2,614,000 | EUR | TDB | 02/06/2023 | (62,991) | ||||
25,176,409 | USD | 23,031,908 | EUR | TDB | 02/28/2023 | 91,821 | ||||
2,832,002 | USD | 2,614,000 | EUR | TDB | 03/07/2023 | (16,297) | ||||
Total foreign currency contracts | $ 28,799 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Asset & Commercial Mortgage-Backed Securities | $ 362,110,622 | $ — | $ 362,110,622 | $ — | ||||
Corporate Bonds | 1,046,684,542 | — | 1,046,684,542 | — | ||||
Senior Floating Rate Interests | 329,539,314 | — | 329,539,314 | — | ||||
U.S. Government Agencies | 47,865,356 | — | 47,865,356 | — | ||||
U.S. Government Securities | 87,894,144 | — | 87,894,144 | — | ||||
Short-Term Investments | 6,315,884 | 3,613,313 | 2,702,571 | — | ||||
Foreign Currency Contracts(2) | 108,087 | — | 108,087 | — | ||||
Futures Contracts(2) | 1,176,479 | 1,176,479 | — | — | ||||
Total | $ 1,881,694,428 | $ 4,789,792 | $ 1,876,904,636 | $ — | ||||
Liabilities | ||||||||
Foreign Currency Contracts(2) | $ (79,288) | $ — | $ (79,288) | $ — | ||||
Futures Contracts(2) | (2,125,426) | (2,125,426) | — | — | ||||
Total | $ (2,204,714) | $ (2,125,426) | $ (79,288) | $ — |
(1) | For the period ended January 31, 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. |
187 |
188 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Banks | $ 24,902,385 | $ 24,902,385 | $ — | $ — | ||||
Capital Goods | 13,650,090 | 13,650,090 | — | — | ||||
Commercial & Professional Services | 8,630,740 | 6,296,323 | 2,334,417 | — | ||||
Consumer Durables & Apparel | 11,125,005 | 11,125,005 | — | — | ||||
Consumer Services | 4,565,622 | 4,565,622 | — | — | ||||
Diversified Financials | 13,237,963 | 13,237,963 | — | — | ||||
Energy | 7,296,928 | 7,296,928 | — | — | ||||
Health Care Equipment & Services | 5,823,833 | 5,823,833 | — | — | ||||
Household & Personal Products | 6,249,090 | 6,249,090 | — | — | ||||
Insurance | 9,034,580 | 6,763,130 | 2,271,450 | — | ||||
Materials | 4,679,208 | 4,679,208 | — | — | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 2,019,695 | 2,019,695 | — | — | ||||
Real Estate | 4,451,939 | 4,451,939 | — | — | ||||
Retailing | 2,491,148 | 2,491,148 | — | — | ||||
Semiconductors & Semiconductor Equipment | 3,841,219 | 3,841,219 | — | — | ||||
Software & Services | 6,707,207 | 6,707,207 | — | — | ||||
Utilities | 2,120,736 | 2,120,736 | — | — | ||||
Exchange-Traded Funds | 3,652,265 | 3,652,265 | — | — | ||||
Short-Term Investments | 224,339 | — | 224,339 | — | ||||
Total | $ 134,703,992 | $ 129,873,786 | $ 4,830,206 | $ — |
(1) | For the period ended January 31, 2023, there were no transfers in and out of Level 3. |
189 |
190 |
191 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Common Stocks | ||||||||
Automobiles & Components | $ 14,890,850 | $ 14,890,850 | $ — | $ — | ||||
Banks | 18,726,621 | 18,726,621 | — | — | ||||
Capital Goods | 111,149,897 | 111,149,897 | — | — | ||||
Commercial & Professional Services | 16,156,974 | 16,156,974 | — | — | ||||
Consumer Durables & Apparel | 26,808,619 | 26,808,619 | — | — | ||||
Consumer Services | 37,522,665 | 37,522,665 | — | — | ||||
Diversified Financials | 7,716,072 | 7,716,072 | — | — | ||||
Energy | 45,810,821 | 45,810,821 | — | — | ||||
Food, Beverage & Tobacco | 13,602,762 | 13,602,762 | — | — | ||||
Health Care Equipment & Services | 69,012,442 | 69,012,442 | — | — | ||||
Household & Personal Products | 6,952,098 | 6,952,098 | — | — | ||||
Materials | 21,977,507 | 21,977,507 | — | — | ||||
Media & Entertainment | 18,113,969 | 18,113,969 | — | — | ||||
Pharmaceuticals, Biotechnology & Life Sciences | 80,882,375 | 80,882,375 | — | — | ||||
Real Estate | 17,439,689 | 17,439,689 | — | — | ||||
Retailing | 918,082 | — | — | 918,082 | ||||
Semiconductors & Semiconductor Equipment | 22,518,267 | 22,518,267 | — | — | ||||
Software & Services | 72,948,785 | 72,948,785 | — | — | ||||
Technology Hardware & Equipment | 16,400,208 | 16,400,208 | — | — | ||||
Exchange-Traded Funds | 12,918,574 | 12,918,574 | — | — | ||||
Short-Term Investments | 11,136,105 | 9,482,483 | 1,653,622 | — | ||||
Total | $ 643,603,382 | $ 641,031,678 | $ 1,653,622 | $ 918,082 |
(1) | For the period ended January 31, 2023, there were no transfers in and out of Level 3. |
192 |
193 |
194 |
195 |
196 |
197 |
198 |
199 |
200 |
201 |
202 |
203 |
204 |
205 |
206 |
207 |
208 |
209 |
210 |
211 |
212 |
Futures Contracts Outstanding at January 31, 2023 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
U.S. Treasury 10-Year Note Future | 3,013 | 03/22/2023 | $ 345,035,578 | $ 4,161,021 | ||||
U.S. Treasury 10-Year Ultra Future | 557 | 03/22/2023 | 67,510,141 | 313,642 | ||||
U.S. Treasury Long Bond Future | 267 | 03/22/2023 | 34,676,625 | 28,247 | ||||
U.S. Treasury Ultra Bond Future | 321 | 03/22/2023 | 45,501,750 | 2,017,825 | ||||
Total | $ 6,520,735 | |||||||
Short position contracts: | ||||||||
Canadian 10-Year Bond Future | 936 | 03/22/2023 | $ 88,819,932 | $ (790,272) | ||||
Euro BUXL 30-Year Bond Future | 173 | 03/08/2023 | 27,083,089 | 1,659,565 | ||||
Euro-BOBL Future | 55 | 03/08/2023 | 7,013,750 | 102,597 | ||||
Euro-BUND Future | 276 | 03/08/2023 | 41,053,318 | 1,021,350 | ||||
Euro-Schatz Future | 703 | 03/08/2023 | 80,817,379 | 590,627 | ||||
Long Gilt Future | 1 | 03/29/2023 | 128,845 | 1,922 | ||||
U.S. Treasury 2-Year Note Future | 1,538 | 03/31/2023 | 316,287,298 | (754,985) | ||||
U.S. Treasury 5-Year Note Future | 1,404 | 03/31/2023 | 153,376,032 | (849,071) | ||||
Total | $ 981,733 | |||||||
Total futures contracts | $ 7,502,468 |
213 |
OTC Credit Default Swap Contracts Outstanding at January 31, 2023 | |||||||||||||||||||
Reference Entity | Counter- party | Notional Amount(1) | (Pay)/Receive Fixed Rate | Expiration Date | Periodic Payment Frequency | Upfront Premiums Paid | Upfront Premiums Received | Market Value† | Unrealized Appreciation/ (Depreciation) | ||||||||||
Credit default swaps on indices: | |||||||||||||||||||
Buy protection: | |||||||||||||||||||
ABX.HE.PENAAA.06 | CSI | USD | 149,996 | (0.11%) | 05/25/2046 | Monthly | $ 17,473 | $ — | $ 10,982 | $ (6,491) | |||||||||
ABX.HE.PENAAA.06 | JPM | USD | 95,468 | (0.11%) | 05/25/2046 | Monthly | 79,396 | — | 6,990 | (72,406) | |||||||||
PrimeX.ARM.2(2) | MSC | USD | 49,151 | (4.58%) | 12/25/2037 | Monthly | — | (114) | (238) | (124) | |||||||||
Total | $ 96,869 | $ (114) | $ 17,734 | $ (79,021) | |||||||||||||||
Sell protection: | |||||||||||||||||||
ABX.HE.PENAAA.06 | BCLY | USD | 245,465 | 0.11% | 05/25/2046 | Monthly | $ — | $ (4,929) | $ (17,972) | $ (13,043) | |||||||||
PrimeX.ARM.2(2) | JPM | USD | 49,151 | 4.58% | 12/25/2037 | Monthly | 1,371 | — | 238 | (1,133) | |||||||||
Total | $ 1,371 | $ (4,929) | $ (17,734) | $ (14,176) | |||||||||||||||
Total | $ 98,240 | $ (5,043) | $ — | $ (93,197) | |||||||||||||||
Credit default swaps on single-name issues: | |||||||||||||||||||
Buy protection: | |||||||||||||||||||
MEDIOBANCA SPA | BNP | EUR | 2,960,000 | (1.00%) | 12/20/2027 | Quarterly | $ 80,545 | $ — | $ 51,738 | $ (28,807) | |||||||||
Total | $ 80,545 | $ — | $ 51,738 | $ (28,807) | |||||||||||||||
Total OTC credit default swap contracts | $ 178,785 | $ (5,043) | $ 51,738 | $ (122,004) |
(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. |
(2) | Investment valued using significant unobservable inputs. |
Centrally Cleared Credit Default Swap Contracts Outstanding at January 31, 2023 | |||||||||||||||
Reference Entity | Notional Amount(1) | (Pay)/Receive Fixed Rate | Expiration Date | Periodic Payment Frequency | Cost Basis | Value† | Unrealized Appreciation/ (Depreciation) | ||||||||
Credit default swaps on indices: | |||||||||||||||
Buy protection: | |||||||||||||||
CDX.EM.39.V1 | USD | 170,215,000 | (5.00%) | 12/20/2027 | Quarterly | $ 1,883,153 | $ (5,586,860) | $ (7,470,013) | |||||||
Sell protection: | |||||||||||||||
CDX.NA.HY.39.V1 | USD | 27,100,000 | 5.00% | 12/20/2027 | Quarterly | $ 702,458 | $ 889,487 | $ 187,029 | |||||||
ITRAXX-XOVERS.38.V1 | EUR | 94,165,000 | 5.00% | 12/20/2027 | Quarterly | 1,221,319 | 4,028,713 | 2,807,394 | |||||||
Total | $ 1,923,777 | $ 4,918,200 | $ 2,994,423 | ||||||||||||
Credit default swaps on single-name issues: | |||||||||||||||
Sell protection: | |||||||||||||||
Peruvian Government International Bond (BBB) | USD | 740,000 | 1.00% | 12/20/2027 | Quarterly | $ (6,132) | $ (4,961) | $ 1,171 | |||||||
Republic of Turkey (B+) | USD | 976,000 | 1.00% | 12/20/2027 | Quarterly | (186,519) | (165,992) | 20,527 | |||||||
Total | $ (192,651) | $ (170,953) | $ 21,698 | ||||||||||||
Total centrally cleared credit default swap contracts | $ 3,614,279 | $ (839,613) | $ (4,453,892) |
(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 January 31, 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) | |||||||||
2.88% Fixed | 12 Mo. USD SOFR | USD | 8,095,000 | 03/15/2053 | Annual | $ 94,747 | $ — | $ 158,130 | $ 63,383 | ||||||||
2.97% Fixed | 12 Mo. USD SOFR | USD | 20,715,000 | 03/15/2053 | Annual | 67,165 | — | 44,134 | (23,031) | ||||||||
Total centrally cleared interest rate swaps contracts | $ 161,912 | $ — | $ 202,264 | $ 40,352 |
214 |
Foreign Currency Contracts Outstanding at January 31, 2023 | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
635,000 | BRL | 121,266 | USD | GSC | 03/02/2023 | $ 3,148 | ||||
6,335,000 | BRL | 1,148,998 | USD | UBS | 03/15/2023 | 88,851 | ||||
2,000,000 | CAD | 1,494,481 | USD | UBS | 02/01/2023 | 8,664 | ||||
851,000 | CNH | 122,351 | USD | UBS | 03/15/2023 | 3,969 | ||||
2,750,000 | CZK | 123,305 | USD | MSC | 03/15/2023 | 2,106 | ||||
79,180,000 | EGP | 2,711,644 | USD | GSC | 03/15/2023 | (165,049) | ||||
1,920,000 | EGP | 65,084 | USD | GSC | 04/10/2023 | (3,912) | ||||
1,080,000 | EGP | 34,985 | USD | GSC | 04/18/2023 | (695) | ||||
224,448 | EUR | 245,000 | USD | MSC | 02/28/2023 | (548) | ||||
11,093,000 | EUR | 11,861,035 | USD | MSC | 03/15/2023 | 232,717 | ||||
8,577,000 | EUR | 9,190,641 | USD | RBC | 03/15/2023 | 160,130 | ||||
2,712,000 | EUR | 2,902,002 | USD | SCB | 03/15/2023 | 54,660 | ||||
3,296,000 | EUR | 3,538,757 | USD | WEST | 03/15/2023 | 54,591 | ||||
5,402,000 | EUR | 5,837,277 | USD | UBS | 03/15/2023 | 52,062 | ||||
1,851,000 | EUR | 1,994,191 | USD | SSG | 03/15/2023 | 23,796 | ||||
1,277,000 | EUR | 1,383,190 | USD | BOA | 03/15/2023 | 9,014 | ||||
145,000 | EUR | 158,404 | USD | CBA | 03/15/2023 | (323) | ||||
195,000 | EUR | 213,327 | USD | JPM | 03/15/2023 | (735) | ||||
46,100,000 | HUF | 118,784 | USD | BCLY | 03/16/2023 | 7,436 | ||||
1,895,300,000 | JPY | 14,780,009 | USD | SSG | 02/06/2023 | (207,403) | ||||
939,800,000 | JPY | 7,335,777 | USD | SSG | 02/13/2023 | (103,488) | ||||
2,618,000,000 | JPY | 20,442,313 | USD | ANZ | 02/21/2023 | (275,377) | ||||
523,750,000 | JPY | 4,096,202 | USD | CBA | 02/27/2023 | (58,660) | ||||
1,427,850,000 | JPY | 11,168,437 | USD | RBC | 03/06/2023 | (147,247) | ||||
1,250,000,000 | JPY | 9,642,023 | USD | SCB | 03/10/2023 | 12,194 | ||||
1,250,000,000 | JPY | 9,655,168 | USD | JPM | 03/20/2023 | 13,588 | ||||
28,900,000 | KZT | 61,326 | USD | DEUT | 04/28/2023 | 38 | ||||
28,900,000 | KZT | 59,772 | USD | DEUT | 07/31/2023 | 345 | ||||
4,130,000 | THB | 125,857 | USD | TDB | 03/15/2023 | (179) | ||||
4,925,000 | UYU | 123,009 | USD | JPM | 04/18/2023 | 2,421 | ||||
6,511,290 | USD | 9,640,000 | AUD | BCLY | 03/15/2023 | (304,880) | ||||
15,177,154 | USD | 82,245,000 | BRL | GSC | 03/15/2023 | (893,384) | ||||
1,883,800 | USD | 2,500,000 | CAD | SCB | 02/01/2023 | 4,868 | ||||
2,254,624 | USD | 3,000,000 | CAD | UBS | 02/01/2023 | (95) | ||||
364,112 | USD | 500,000 | CAD | BOA | 02/01/2023 | (11,675) | ||||
3,035,381 | USD | 4,136,000 | CAD | MSC | 02/01/2023 | (73,124) | ||||
3,738,928 | USD | 5,000,000 | CAD | JPM | 02/02/2023 | (18,956) | ||||
1,862,811 | USD | 2,500,000 | CAD | BCLY | 02/08/2023 | (16,193) | ||||
3,152,154 | USD | 4,300,000 | CAD | MSC | 02/09/2023 | (79,754) | ||||
734,768 | USD | 1,000,000 | CAD | UBS | 02/10/2023 | (16,844) | ||||
549,837 | USD | 750,000 | CAD | BOA | 02/14/2023 | (13,887) | ||||
1,126,831 | USD | 1,500,000 | CAD | RBC | 02/15/2023 | (624) | ||||
1,345,423 | USD | 1,800,000 | CAD | CBK | 02/15/2023 | (7,522) | ||||
1,767,463 | USD | 2,400,000 | CAD | MSC | 02/15/2023 | (36,464) | ||||
3,737,352 | USD | 5,000,000 | CAD | CBK | 02/16/2023 | (20,854) | ||||
756,518 | USD | 1,010,000 | CAD | SCB | 02/21/2023 | (2,665) | ||||
5,899,705 | USD | 8,000,000 | CAD | NWM | 02/22/2023 | (113,663) | ||||
3,171,138 | USD | 4,300,000 | CAD | NWM | 02/23/2023 | (61,068) | ||||
1,032,525 | USD | 1,400,000 | CAD | NWM | 02/27/2023 | (19,850) | ||||
5,177,570 | USD | 7,060,000 | CAD | BOA | 02/27/2023 | (129,402) | ||||
366,802 | USD | 500,000 | CAD | TDB | 02/28/2023 | (9,054) | ||||
1,101,768 | USD | 1,500,000 | CAD | RBC | 02/28/2023 | (25,798) | ||||
3,728,487 | USD | 5,085,000 | CAD | CBK | 02/28/2023 | (93,962) | ||||
236,515 | USD | 300,000 | CAD | DEUT | 03/01/2023 | 11,000 | ||||
5,700,165 | USD | 7,775,000 | CAD | MSC | 03/01/2023 | (144,437) | ||||
2,983,446 | USD | 4,000,000 | CAD | JPM | 03/07/2023 | (23,581) | ||||
3,099,861 | USD | 4,225,000 | CAD | BMO | 03/08/2023 | (76,340) | ||||
6,603,348 | USD | 9,000,000 | CAD | BMO | 03/09/2023 | (162,583) | ||||
3,509,705 | USD | 4,800,000 | CAD | BMO | 03/14/2023 | (98,950) | ||||
3,122,848 | USD | 4,260,000 | CAD | BOA | 03/15/2023 | (79,860) | ||||
6,273,741 | USD | 8,545,000 | CAD | MSC | 03/15/2023 | (150,472) | ||||
3,490,333 | USD | 4,715,000 | CAD | ANZ | 03/21/2023 | (54,636) | ||||
2,408,242 | USD | 3,270,000 | CAD | BOA | 03/22/2023 | (50,327) | ||||
3,261,529 | USD | 4,130,000 | CAD | MSC | 03/29/2023 | 156,174 | ||||
1,463,512 | USD | 2,000,000 | CAD | CBK | 03/29/2023 | (40,291) |
215 |
Foreign Currency Contracts Outstanding at January 31, 2023 – (continued) | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
3,951,528 | USD | 5,400,000 | CAD | CBK | 03/30/2023 | $ (108,778) | ||||
749,268 | USD | 1,005,000 | CAD | RBC | 04/04/2023 | (6,431) | ||||
3,450,551 | USD | 4,715,000 | CAD | CBK | 04/04/2023 | (94,842) | ||||
2,522,882 | USD | 3,425,000 | CAD | BOA | 04/06/2023 | (52,561) | ||||
793,262 | USD | 1,000,000 | CAD | MSC | 04/10/2023 | 41,277 | ||||
2,001,858 | USD | 2,700,000 | CAD | BOA | 04/10/2023 | (28,501) | ||||
2,803,882 | USD | 3,745,000 | CAD | UBS | 04/11/2023 | (12,329) | ||||
4,494,008 | USD | 6,000,000 | CAD | MSC | 04/11/2023 | (17,947) | ||||
2,694,511 | USD | 3,600,000 | CAD | MSC | 04/12/2023 | (12,689) | ||||
1,478,647 | USD | 2,000,000 | CAD | BOA | 04/12/2023 | (25,353) | ||||
2,845,595 | USD | 3,870,000 | CAD | CIBC | 04/12/2023 | (64,646) | ||||
550,786 | USD | 750,000 | CAD | RBC | 04/14/2023 | (13,226) | ||||
749,851 | USD | 1,000,000 | CAD | BOA | 04/26/2023 | (2,256) | ||||
3,747,017 | USD | 5,000,000 | CAD | MSC | 04/27/2023 | (13,556) | ||||
2,357,689 | USD | 3,000,000 | CAD | JPM | 05/01/2023 | 101,248 | ||||
1,559,892 | USD | 2,000,000 | CAD | UBS | 05/01/2023 | 55,598 | ||||
780,453 | USD | 1,000,000 | CAD | SGG | 05/01/2023 | 28,306 | ||||
147,807 | USD | 190,000 | CAD | TDB | 05/01/2023 | 4,899 | ||||
518,035 | USD | 705,000 | CAD | BMO | 05/30/2023 | (12,421) | ||||
1,235,871 | USD | 1,600,000 | CAD | JPM | 06/05/2023 | 31,908 | ||||
773,781 | USD | 1,000,000 | CAD | TDB | 06/09/2023 | 21,266 | ||||
2,769,626 | USD | 3,761,000 | CAD | MSC | 06/13/2023 | (60,724) | ||||
1,832,045 | USD | 2,500,000 | CAD | CBK | 07/17/2023 | (50,139) | ||||
114,591 | USD | 150,000 | CAD | BNP | 09/01/2023 | 1,597 | ||||
375,895 | USD | 500,000 | CAD | DEUT | 09/01/2023 | (750) | ||||
1,903,839 | USD | 2,500,000 | CAD | BCLY | 09/08/2023 | 20,449 | ||||
372,847 | USD | 500,000 | CAD | CBK | 09/25/2023 | (3,912) | ||||
1,865,436 | USD | 2,500,000 | CAD | CBK | 09/26/2023 | (18,379) | ||||
739,103 | USD | 1,000,000 | CAD | DEUT | 12/15/2023 | (15,271) | ||||
1,101,483 | USD | 1,500,000 | CAD | CBK | 12/15/2023 | (30,078) | ||||
750,845 | USD | 1,000,000 | CAD | BOA | 01/16/2024 | (3,911) | ||||
40,317 | USD | 194,807,000 | COP | BNP | 03/15/2023 | (1,041) | ||||
62,164 | USD | 1,920,000 | EGP | GSC | 04/10/2023 | 992 | ||||
35,585 | USD | 1,080,000 | EGP | GSC | 04/18/2023 | 1,295 | ||||
78,654,000 | USD | 71,892,766 | EUR | DEUT | 02/28/2023 | 353,912 | ||||
57,218,262 | USD | 52,344,468 | EUR | TDB | 02/28/2023 | 208,681 | ||||
1,248,302 | USD | 1,143,000 | EUR | MSC | 02/28/2023 | 3,434 | ||||
1,698,149 | USD | 1,561,000 | EUR | GSC | 02/28/2023 | (1,972) | ||||
1,585,320 | USD | 1,458,000 | EUR | UBS | 02/28/2023 | (2,622) | ||||
2,633,000 | USD | 2,420,357 | EUR | JPM | 02/28/2023 | (3,067) | ||||
274,096 | USD | 252,000 | EUR | MSC | 03/15/2023 | (638) | ||||
407,694 | USD | 378,000 | EUR | SSG | 03/15/2023 | (4,406) | ||||
82,510,091 | USD | 77,974,051 | EUR | BCLY | 03/15/2023 | (2,498,367) | ||||
11,688,123 | USD | 9,408,000 | GBP | JPM | 02/28/2023 | 82,362 | ||||
315,348 | USD | 256,000 | GBP | GSC | 02/28/2023 | (455) | ||||
13,443,066 | USD | 10,959,000 | GBP | BNP | 03/15/2023 | (80,925) | ||||
13,140,543 | USD | 1,895,300,000 | JPY | BOA | 02/06/2023 | (1,432,062) | ||||
6,434,803 | USD | 939,800,000 | JPY | BNP | 02/13/2023 | (797,486) | ||||
18,671,300 | USD | 2,618,000,000 | JPY | UBS | 02/21/2023 | (1,495,637) | ||||
3,796,531 | USD | 523,750,000 | JPY | JPM | 02/27/2023 | (241,011) | ||||
10,434,487 | USD | 1,427,850,000 | JPY | JPM | 03/06/2023 | (586,703) | ||||
14,306,832 | USD | 2,018,350,000 | JPY | BNP | 03/10/2023 | (1,281,639) | ||||
13,376,334 | USD | 1,805,400,000 | JPY | BNP | 03/15/2023 | (577,937) | ||||
15,690,188 | USD | 2,103,400,000 | JPY | UBS | 03/20/2023 | (579,621) | ||||
15,315,997 | USD | 2,076,200,000 | JPY | JPM | 03/27/2023 | (760,368) | ||||
20,014,540 | USD | 2,615,400,000 | JPY | CBK | 04/04/2023 | (257,150) | ||||
16,903,560 | USD | 2,212,600,000 | JPY | UBS | 04/10/2023 | (260,104) | ||||
1,446,790 | USD | 184,750,000 | JPY | BOA | 04/17/2023 | 12,270 | ||||
3,520,124 | USD | 459,400,000 | JPY | BOA | 07/10/2023 | (90,604) | ||||
Total foreign currency contracts | $ (13,526,060) |
216 |
Foreign Cross Currency Contracts Outstanding at January 31, 2023 | ||||||||||
Contract Amount | Counterparty | Delivery Date | Contract Amount | Unrealized Appreciation/ Depreciation | ||||||
EUR | 11,572,704 | JPM | 02/28/2023 | GBP | 11,539,146 | $ 33,558 | ||||
GBP | 108,557 | GSC | 02/28/2023 | EUR | 108,526 | 31 | ||||
GBP | 798,143 | RBC | 02/28/2023 | EUR | 802,568 | (4,425) | ||||
GBP | 980,716 | MSC | 02/28/2023 | EUR | 985,620 | (4,904) | ||||
Total foreign cross currency contracts | $ 24,260 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Asset & Commercial Mortgage-Backed Securities | $ 332,360,814 | $ — | $ 332,360,814 | $ — | ||||
Convertible Bonds | 60,654,453 | — | 60,654,453 | — | ||||
Corporate Bonds | 542,467,377 | — | 542,467,377 | — | ||||
Foreign Government Obligations | 329,016,970 | — | 329,016,970 | — | ||||
Municipal Bonds | 9,873,786 | — | 9,873,786 | — | ||||
Senior Floating Rate Interests | 196,378,467 | — | 196,378,467 | — | ||||
U.S. Government Agencies | 287,168,803 | — | 287,168,803 | — | ||||
U.S. Government Securities | 310,137,149 | — | 310,137,149 | — | ||||
Common Stocks | ||||||||
Energy | 152,577 | — | 73,777 | 78,800 | ||||
Convertible Preferred Stocks | 4,889,321 | 4,889,321 | — | — | ||||
Escrows | 2,550,878 | — | 2,550,878 | — | ||||
Preferred Stocks | 1,473,695 | 1,473,695 | — | — | ||||
Warrants | — | — | — | — | ||||
Short-Term Investments | 125,963,117 | 20,690,941 | 105,272,176 | — | ||||
Foreign Currency Contracts(2) | 1,904,855 | — | 1,904,855 | — | ||||
Futures Contracts(2) | 9,896,796 | 9,896,796 | — | — | ||||
Swaps - Credit Default(2) | 3,016,121 | — | 3,016,121 | — | ||||
Swaps - Interest Rate(2) | 63,383 | — | 63,383 | — | ||||
Total | $ 2,217,968,562 | $ 36,950,753 | $ 2,180,939,009 | $ 78,800 | ||||
Liabilities | ||||||||
Foreign Currency Contracts(2) | $ (15,406,655) | $ — | $ (15,406,655) | $ — | ||||
Futures Contracts(2) | (2,394,328) | (2,394,328) | — | — | ||||
Swaps - Credit Default(2) | (7,592,017) | — | (7,592,017) | — | ||||
Swaps - Interest Rate(2) | (23,031) | — | (23,031) | — | ||||
Total | $ (25,416,031) | $ (2,394,328) | $ (23,021,703) | $ — |
(1) | For the period ended January 31, 2023, investments valued at $141,360 were transferred into Level 3 due to the unavailability of active market pricing. There were no transfers out of Level 3. |
(2) | Derivative instruments (excluding purchased and written options, if applicable) are valued at the unrealized appreciation/(depreciation) on the investments. |
217 |
218 |
219 |
220 |
221 |
222 |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Municipal Bonds | $ 91,155,835 | $ — | $ 91,155,835 | $ — | ||||
U.S. Government Agencies | 510,200 | — | 510,200 | — | ||||
Short-Term Investments | 1,917,742 | — | 1,917,742 | — | ||||
Total | $ 93,583,777 | $ — | $ 93,583,777 | $ — |
(1) | For the period ended January 31, 2023, there were no transfers in and out of Level 3. |
223 |
224 |
225 |
226 |
227 |
228 |
229 |
230 |
231 |
232 |
233 |
234 |
235 |
236 |
237 |
238 |
239 |
240 |
OTC Swaptions Outstanding at January 31, 2023 | ||||||||||||||||||
Description | Counter- party | Exercise Price/ FX Rate/Rate | Pay/ Receive Floating Rate | Expiration Date | Notional Amount | Market Value† | Premiums Paid (Received) by Fund | Unrealized Appreciation/ (Depreciation) | ||||||||||
Purchased swaptions: | ||||||||||||||||||
Call | ||||||||||||||||||
1D USD SOFR Compound * | DEUT | 2.99% | Pay | 01/17/2024 | USD | 5,818,000 | $ 167,497 | $ 216,720 | $ (49,223) | |||||||||
Put | ||||||||||||||||||
1D USD SOFR Compound * | DEUT | 2.99% | Pay | 01/17/2024 | USD | 5,818,000 | $ 222,660 | $ 216,721 | $ 5,939 | |||||||||
Total purchased OTC swaption contracts | $ 390,157 | $ 433,441 | $ (43,284) |
* | Swaptions with forward premiums. |
Futures Contracts Outstanding at January 31, 2023 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
U.S. Treasury 5-Year Note Future | 1,473 | 03/31/2023 | $ 160,913,743 | $ 1,515,511 | ||||
Short position contracts: | ||||||||
Canadian 10-Year Bond Future | 1,036 | 03/22/2023 | $ 98,309,240 | $ (857,357) | ||||
Euro BUXL 30-Year Bond Future | 204 | 03/08/2023 | 31,936,128 | 2,106,853 | ||||
Euro-BUND Future | 367 | 03/08/2023 | 54,589,014 | 1,384,651 | ||||
Euro-Schatz Future | 764 | 03/08/2023 | 87,829,983 | 641,868 | ||||
U.S. Treasury 2-Year Note Future | 1,870 | 03/31/2023 | 384,562,579 | (811,992) | ||||
U.S. Treasury 10-Year Note Future | 532 | 03/22/2023 | 60,922,312 | (68,552) | ||||
U.S. Treasury 10-Year Ultra Future | 478 | 03/22/2023 | 57,935,094 | (1,063,335) | ||||
U.S. Treasury Long Bond Future | 441 | 03/22/2023 | 57,274,875 | (1,492,159) | ||||
U.S. Treasury Ultra Bond Future | 358 | 03/22/2023 | 50,746,500 | (2,257,612) | ||||
Total | $ (2,417,635) | |||||||
Total futures contracts | $ (902,124) |
241 |
TBA Sale Commitments Outstanding at January 31, 2023 | ||||||||
Description | Principal Amount | Maturity Date | Market Value† | Unrealized Appreciation/ (Depreciation) | ||||
GNMA, 4.50% | $ 525,000 | 02/21/2053 | $ (520,817) | $ 1,148 | ||||
UMBS, 3.00% | 32,805,000 | 02/25/2052 | (29,757,030) | (151,565) | ||||
UMBS, 4.00% | 22,968,000 | 02/13/2053 | (22,150,662) | (168,013) | ||||
UMBS, 5.00% | 17,010,000 | 02/13/2053 | (17,050,532) | 33,887 | ||||
Total TBA sale commitments (proceeds receivable $69,194,498) | $ (69,479,041) | $ (284,543) | ||||||
At January 31, 2023, the aggregate market value of TBA Sale Commitments represents (2.2)% of total net assets. |
OTC Credit Default Swap Contracts Outstanding at January 31, 2023 | |||||||||||||||||||
Reference Entity | Counter- party | Notional Amount(1) | (Pay)/Receive Fixed Rate | Expiration Date | Periodic Payment Frequency | Upfront Premiums Paid | Upfront Premiums Received | Market Value† | Unrealized Appreciation/ (Depreciation) | ||||||||||
Credit default swaps on indices: | |||||||||||||||||||
Buy protection: | |||||||||||||||||||
ABX.HE.PENAAA.06 | MSC | USD | 89,082 | (0.11%) | 05/25/2046 | Monthly | $ 10,379 | $ — | $ 6,523 | $ (3,856) | |||||||||
ABX.HE.PENAAA.06 | GSC | USD | 237,493 | (0.11%) | 05/25/2046 | Monthly | 53,827 | — | 17,390 | (36,437) | |||||||||
ABX.HE.PENAAA.06 | JPM | USD | 294,376 | (0.11%) | 05/25/2046 | Monthly | 151,439 | — | 21,555 | (129,884) | |||||||||
PrimeX.ARM.2(2) | MSC | USD | 56,125 | (4.58%) | 12/25/2037 | Monthly | — | (130) | (272) | (142) | |||||||||
Total | $ 215,645 | $ (130) | $ 45,196 | $ (170,319) | |||||||||||||||
Sell protection: | |||||||||||||||||||
ABX.HE.PENAAA.06 | BCLY | USD | 620,954 | 0.11% | 05/25/2046 | Monthly | $ — | $ (12,469) | $ (45,464) | $ (32,995) | |||||||||
PrimeX.ARM.2(2) | JPM | USD | 56,124 | 4.58% | 12/25/2037 | Monthly | 1,565 | — | 272 | (1,293) | |||||||||
Total | $ 1,565 | $ (12,469) | $ (45,192) | $ (34,288) | |||||||||||||||
Total OTC credit default swap contracts | $ 217,210 | $ (12,599) | $ 4 | $ (204,607) |
(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. |
(2) | Investment valued using significant unobservable inputs. |
Centrally Cleared Credit Default Swap Contracts Outstanding at January 31, 2023 | |||||||||||||||
Reference Entity | Notional Amount(1) | (Pay)/Receive Fixed Rate | Expiration Date | Periodic Payment Frequency | Cost Basis | Value† | Unrealized Appreciation/ (Depreciation) | ||||||||
Credit default swaps on indices: | |||||||||||||||
Sell protection: | |||||||||||||||
CDX.NA.HY.39.V1 | USD | 20,980,000 | 5.00% | 12/20/2027 | Quarterly | $ 543,821 | $ 688,613 | $ 144,792 | |||||||
Total | $ 543,821 | $ 688,613 | $ 144,792 | ||||||||||||
Credit default swaps on single-name issues: | |||||||||||||||
Buy protection: | |||||||||||||||
Brazil Republic | USD | 9,715,000 | (1.00%) | 06/20/2027 | Quarterly | $ 477,508 | $ 404,797 | $ (72,711) | |||||||
Total | $ 477,508 | $ 404,797 | $ (72,711) | ||||||||||||
Total centrally cleared credit default swap contracts | $ 1,021,329 | $ 1,093,410 | $ 72,081 |
(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. |
242 |
Centrally Cleared Interest Rate Swap Contracts Outstanding at January 31, 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) | |||||||||
2.99% Fixed | 12 Mo. USD SOFR | USD | 212,000 | 01/17/2034 | Annual | $ — | $ — | $ 824 | $ 824 | ||||||||
1.56% Fixed | 12 Mo. USD SOFR | USD | 12,720,000 | 12/15/2051 | Annual | — | (76,200) | 3,550,419 | 3,626,619 | ||||||||
2.88% Fixed | 12 Mo. USD SOFR | USD | 7,545,000 | 03/15/2053 | Annual | 88,318 | — | 147,386 | 59,068 | ||||||||
2.97% Fixed | 12 Mo. USD SOFR | USD | 32,095,000 | 03/15/2053 | Annual | 83,930 | — | 68,380 | (15,550) | ||||||||
Total centrally cleared interest rate swaps contracts | $ 172,248 | $ (76,200) | $ 3,767,009 | $ 3,670,961 |
Foreign Currency Contracts Outstanding at January 31, 2023 | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
1,561,000 | EUR | 1,663,696 | USD | MSC | 03/15/2023 | $ 38,128 | ||||
1,559,000 | EUR | 1,698,198 | USD | JPM | 03/15/2023 | 1,447 | ||||
857,000 | EUR | 933,293 | USD | SSG | 03/15/2023 | 1,021 | ||||
135,000 | EUR | 146,528 | USD | BCLY | 03/15/2023 | 651 | ||||
217,000 | EUR | 236,719 | USD | CBA | 03/15/2023 | (142) | ||||
10,887,686 | USD | 58,910,000 | BRL | CBK | 03/15/2023 | (623,232) | ||||
1,281,924 | USD | 1,172,731 | EUR | TDB | 02/28/2023 | 4,675 | ||||
66,466,813 | USD | 62,815,000 | EUR | BCLY | 03/15/2023 | (2,015,025) | ||||
Total foreign currency contracts | $ (2,592,477) |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Asset & Commercial Mortgage-Backed Securities | $ 670,346,935 | $ — | $ 670,346,935 | $ — | ||||
Corporate Bonds | 760,538,991 | — | 760,538,991 | — | ||||
Foreign Government Obligations | 102,315,149 | — | 102,315,149 | — | ||||
Municipal Bonds | 41,225,999 | — | 41,225,999 | — | ||||
Senior Floating Rate Interests | 371,115 | — | 371,115 | — | ||||
U.S. Government Agencies | 1,266,573,753 | — | 1,266,573,753 | — | ||||
U.S. Government Securities | 849,724,573 | — | 849,724,573 | — | ||||
Common Stocks | ||||||||
Energy | 143,162 | — | 48,309 | 94,853 | ||||
Preferred Stocks | 375,669 | 375,669 | — | — | ||||
Warrants | — | — | — | — | ||||
Short-Term Investments | 15,155,288 | 9,424,014 | 5,731,274 | — | ||||
Purchased Options | 390,157 | — | 390,157 | — | ||||
Foreign Currency Contracts(2) | 45,922 | — | 45,922 | — | ||||
Futures Contracts(2) | 5,648,883 | 5,648,883 | — | — | ||||
Swaps - Credit Default(2) | 144,792 | — | 144,792 | — | ||||
Swaps - Interest Rate(2) | 3,686,511 | — | 3,686,511 | — | ||||
Total | $ 3,716,686,899 | $ 15,448,566 | $ 3,701,143,480 | $ 94,853 | ||||
Liabilities | ||||||||
Foreign Currency Contracts(2) | $ (2,638,399) | $ — | $ (2,638,399) | $ — | ||||
Futures Contracts(2) | (6,551,007) | (6,551,007) | — | — | ||||
Swaps - Credit Default(2) | (277,318) | — | (277,318) | — | ||||
Swaps - Interest Rate(2) | (15,550) | — | (15,550) | — | ||||
TBA Sale Commitments | (69,479,041) | — | (69,479,041) | — | ||||
Total | $ (78,961,315) | $ (6,551,007) | $ (72,410,308) | $ — |
(1) | For the period ended January 31, 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. |
243 |
244 |
245 |
246 |
247 |
248 |
249 |
250 |
251 |
252 |
253 |
254 |
OTC Option Contracts Outstanding at January 31, 2023 | |||||||||||||||||||
Description | Counterparty | Exercise Price/ FX Rate/Rate | Expiration Date | Number of Contracts | Notional Amount | Market Value† | Premiums Paid (Received) by Fund | Unrealized Appreciation/ (Depreciation) | |||||||||||
Purchased option contracts: | |||||||||||||||||||
Call | |||||||||||||||||||
Call GBP vs. Put USD | DEUT | 1.42 | GBP | 05/04/2023 | 2,210,000 | GBP | 2,210,000 | $ 25,088 | $ 186,737 | $ (161,649) | |||||||||
Put | |||||||||||||||||||
Call JPY vs. Put USD | DEUT | 112.00 | USD | 02/23/2023 | 4,136,000 | USD | 4,136,000 | $ 3,329 | $ 144,759 | $ (141,430) | |||||||||
Total purchased OTC option contracts | $ 28,417 | $ 331,496 | $ (303,079) |
OTC Swaptions Outstanding at January 31, 2023 | ||||||||||||||||||
Description | Counter- party | Exercise Price/ FX Rate/Rate | Pay/ Receive Floating Rate | Expiration Date | Notional Amount | Market Value† | Premiums Paid (Received) by Fund | Unrealized Appreciation/ (Depreciation) | ||||||||||
Purchased swaptions: | ||||||||||||||||||
Put | ||||||||||||||||||
1Y Mid-Curve 3M SOFR* | GSC | 95.00% | Pay | 06/16/2023 | USD | 6,553 | $ 245,737 | $ 285,940 | $ (40,203) | |||||||||
1Y Mid-Curve 3M SOFR* | GSC | 96.00% | Pay | 06/16/2023 | USD | 6,553 | 2,252,594 | 2,462,491 | (209,897) | |||||||||
ITRAXX-EUROPE.S38.V1* | BNP | 100.00% | Pay | 03/15/2023 | EUR | 217,560,000 | 168,403 | 301,134 | (132,731) | |||||||||
$ 2,666,734 | $ 3,049,565 | $ (382,831) | ||||||||||||||||
Written swaptions: | ||||||||||||||||||
Put | ||||||||||||||||||
1Y Mid-Curve 3M SOFR* | GSC | 95.50% | Pay | 06/16/2023 | USD | (13,106) | $ (1,556,338) | $ (1,635,370) | $ 79,032 |
* | Swaptions with forward premiums. |
Futures Contracts Outstanding at January 31, 2023 | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Long position contracts: | ||||||||
Australian 10-Year Bond Future | 30 | 03/15/2023 | $ 2,550,071 | $ (11,457) | ||||
Canadian 5-Year Bond Future | 149 | 03/22/2023 | 12,667,603 | (41,783) | ||||
Canadian 10-Year Bond Future | 44 | 03/22/2023 | 4,175,296 | (13,298) | ||||
Euro-BUND Future | 56 | 03/08/2023 | 8,329,659 | (99,920) | ||||
Long Gilt Future | 26 | 03/29/2023 | 3,349,973 | (5,974) | ||||
U.S. Treasury 10-Year Note Future | 4,649 | 03/22/2023 | 532,383,140 | (2,390,236) | ||||
U.S. Treasury 10-Year Ultra Future | 246 | 03/22/2023 | 29,815,969 | 97,842 | ||||
U.S. Treasury Ultra Bond Future | 983 | 03/22/2023 | 139,340,250 | (981,247) | ||||
Total | $ (3,446,073) | |||||||
Short position contracts: | ||||||||
Euro BUXL 30-Year Bond Future | 310 | 03/08/2023 | $ 48,530,390 | $ 2,517,194 | ||||
Euro-BOBL Future | 1,201 | 03/08/2023 | 153,154,801 | 600,981 | ||||
Euro-BTP Future | 579 | 03/08/2023 | 71,833,979 | 1,312,979 | ||||
Euro-Schatz Future | 119 | 03/08/2023 | 13,680,325 | 99,978 | ||||
French Government Bond Future | 101 | 03/08/2023 | 14,441,183 | 27,083 | ||||
Japan 10-Year Bond Future | 43 | 03/13/2023 | 48,416,087 | 601,697 |
255 |
Futures Contracts Outstanding at January 31, 2023 – (continued) | ||||||||
Description | Number of Contracts | Expiration Date | Current Notional Amount | Value and Unrealized Appreciation/ (Depreciation) | ||||
Short position contracts – (continued): | ||||||||
U.S. Treasury 2-Year Note Future | 2,837 | 03/31/2023 | $ 583,424,619 | $ 148,371 | ||||
U.S. Treasury 5-Year Note Future | 2,065 | 03/31/2023 | 225,585,118 | 418,477 | ||||
U.S. Treasury Long Bond Future | 38 | 03/22/2023 | 4,935,250 | 7,618 | ||||
Total | $ 5,734,378 | |||||||
Total futures contracts | $ 2,288,305 |
OTC Credit Default Swap Contracts Outstanding at January 31, 2023 | |||||||||||||||||||
Reference Entity | Counter- party | Notional Amount(1) | (Pay)/Receive Fixed Rate | Expiration Date | Periodic Payment Frequency | Upfront Premiums Paid | Upfront Premiums Received | Market Value† | Unrealized Appreciation/ (Depreciation) | ||||||||||
Credit default swaps on indices: | |||||||||||||||||||
Sell protection: | |||||||||||||||||||
CMBX.NA.BBB-.14 | ICE | USD | 875,000 | 3.00% | 12/16/2072 | Monthly | $ — | $ (146,069) | $ (151,935) | $ (5,866) | |||||||||
Total OTC credit default swap contracts | $ — | $ (146,069) | $ (151,935) | $ (5,866) |
(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. |
OTC Interest Rate Swap Contracts Outstanding at January 31, 2023 | |||||||||||||||||||
Counterparty | 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) | ||||||||||
CBK | 3.82% Fixed | 12 Mo. EUR EURIBOR | EUR | 23,905,000 | 09/15/2024 | At Maturity | $ — | $ — | $ 5,471 | $ 5,471 | |||||||||
CBK | 3.69% Fixed | 12 Mo. EUR EURIBOR | EUR | 7,969,000 | 09/15/2024 | At Maturity | — | — | 24,001 | 24,001 | |||||||||
Total OTC interest rate swap contracts | $ — | $ — | $ 29,472 | $ 29,472 |
Centrally Cleared Credit Default Swap Contracts Outstanding at January 31, 2023 | |||||||||||||||
Reference Entity | Notional Amount(1) | (Pay)/Receive Fixed Rate | Expiration Date | Periodic Payment Frequency | Cost Basis | Value† | Unrealized Appreciation/ (Depreciation) | ||||||||
Credit default swaps on indices: | |||||||||||||||
Buy protection: | |||||||||||||||
CDX.EM.39.V1 | USD | 18,300,000 | (5.00%) | 12/20/2027 | Quarterly | $ (426,433) | $ (600,649) | $ (174,216) | |||||||
CDX.NA.HY.38.V2 | USD | 7,669,530 | (5.00%) | 06/20/2027 | Quarterly | 68,440 | (343,484) | (411,924) | |||||||
CDX.NA.IG.39.V1 | USD | 74,520,000 | (1.00%) | 12/20/2027 | Quarterly | (858,749) | (1,010,824) | (152,075) | |||||||
ITRAXX-FINSUBS.38.V1 | EUR | 32,380,000 | (1.00%) | 12/20/2027 | Quarterly | 1,920,600 | 825,693 | (1,094,907) | |||||||
Total | $ 703,858 | $ (1,129,264) | $ (1,833,122) | ||||||||||||
Sell protection: | |||||||||||||||
ITRAXX-FINSUBS.38.V1 | EUR | 56,630,000 | 1.00% | 12/20/2027 | Quarterly | $ (750,263) | $ 387,187 | $ 1,137,450 | |||||||
Credit default swaps on single-name issues: | |||||||||||||||
Buy protection: | |||||||||||||||
Bouygues S.A. | EUR | 9,790,000 | (1.00%) | 06/20/2027 | Quarterly | $ (195,984) | $ (227,147) | $ (31,163) | |||||||
Sell protection: | |||||||||||||||
Virgin Media Finance plc (B) | EUR | 12,350,000 | 5.00% | 12/20/2025 | Quarterly | $ 910,367 | $ 784,967 | $ (125,400) | |||||||
Total | $ 714,383 | $ 557,820 | $ (156,563) | ||||||||||||
Total centrally cleared credit default swap contracts | $ 667,978 | $ (184,257) | $ (852,235) |
(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. |
256 |
Centrally Cleared Interest Rate Swap Contracts Outstanding at January 31, 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) | |||||||||
2.88% Fixed | 1 Mo. CNRR | CNY | 52,295,000 | 03/15/2028 | Quarterly | $ — | $ (25,252) | $ 13,031 | $ 38,283 | ||||||||
12 Mo. CHF SARON | 1.09% Fixed | CHF | 3,159,500 | 06/16/2052 | Annual | — | (361,301) | (313,206) | 48,095 | ||||||||
12 Mo. JPY TONAR | 0.47% Fixed | JPY | 2,468,880,000 | 06/18/2028 | Annual | 3,616 | — | (117,974) | (121,590) | ||||||||
12 Mo. JPY TONAR | 0.69% Fixed | JPY | 753,328,000 | 06/21/2033 | Annual | 20,307 | — | (124,811) | (145,118) | ||||||||
12 Mo. SONIA | 4.31% Fixed | GBP | 419,159,000 | 12/21/2024 | Annual | — | (138,457) | 2,687,924 | 2,826,381 | ||||||||
12 Mo. SONIA | 3.63% Fixed | GBP | 11,581,000 | 06/21/2028 | Annual | 7,351 | — | 67,614 | 60,263 | ||||||||
3.22% Fixed | 12 Mo. SONIA | GBP | 5,501,000 | 06/21/2033 | Annual | — | (8,266) | 69,631 | 77,897 | ||||||||
12 Mo. USD SOFR | 4.81% Fixed | USD | 36,329,000 | 03/15/2024 | At Maturity | — | (7,699) | (7,702) | (3) | ||||||||
12 Mo. USD SOFR | 3.72% Fixed | USD | 518,194,000 | 03/20/2026 | Annual | — | (1,091,247) | 5,388,440 | 6,479,687 | ||||||||
12 Mo. USD SOFR | 3.60% Fixed | USD | 36,400,000 | 03/20/2026 | Annual | — | — | 297,211 | 297,211 | ||||||||
12 Mo. USD SOFR | 3.59% Fixed | USD | 36,400,000 | 03/20/2026 | Annual | — | — | 289,721 | 289,721 | ||||||||
12 Mo. USD SOFR | 3.48% Fixed | USD | 45,508,000 | 03/20/2026 | Annual | — | — | 272,609 | 272,609 | ||||||||
12 Mo. USD SOFR | 3.49% Fixed | USD | 27,300,000 | 03/20/2026 | Annual | — | — | 170,703 | 170,703 | ||||||||
12 Mo. USD SOFR | 3.51% Fixed | USD | 18,200,000 | 03/20/2026 | Annual | — | — | 120,063 | 120,063 | ||||||||
12 Mo. USD SOFR | 3.49% Fixed | USD | 18,200,000 | 03/20/2026 | Annual | — | — | 111,457 | 111,457 | ||||||||
2.84% Fixed | 12 Mo. USD SOFR | USD | 21,424,000 | 06/18/2028 | Annual | — | (34,007) | (6,556) | 27,451 | ||||||||
3.19% Fixed | 12 Mo. USD SOFR | USD | 27,113,000 | 06/21/2028 | Annual | 50,539 | — | 98,405 | 47,866 | ||||||||
2.03% Fixed | 12 Mo. USD SOFR | USD | 39,561,000 | 06/16/2032 | Annual | 632,141 | — | 1,462,446 | 830,305 | ||||||||
3.09% Fixed | 12 Mo. USD SOFR | USD | 5,823,000 | 03/15/2033 | Annual | 48,320 | — | 52,681 | 4,361 | ||||||||
12 Mo. USD SOFR | 3.03% Fixed | USD | 15,641,000 | 06/21/2033 | Annual | 17,397 | — | 16,476 | (921) | ||||||||
3.42% Fixed | 12 Mo. USD SOFR | USD | 4,195,000 | 03/20/2034 | Annual | — | — | (142,518) | (142,518) | ||||||||
3.42% Fixed | 12 Mo. USD SOFR | USD | 4,195,000 | 03/20/2034 | Annual | — | — | (142,576) | (142,576) | ||||||||
3.42% Fixed | 12 Mo. USD SOFR | USD | 6,290,000 | 03/20/2034 | Annual | — | — | (213,697) | (213,697) | ||||||||
3.37% Fixed | 12 Mo. USD SOFR | USD | 10,484,000 | 03/20/2034 | Annual | — | — | (313,362) | (313,362) | ||||||||
3.49% Fixed | 12 Mo. USD SOFR | USD | 8,390,000 | 03/20/2034 | Annual | — | — | (333,206) | (333,206) | ||||||||
3.50% Fixed | 12 Mo. USD SOFR | USD | 8,390,000 | 03/20/2034 | Annual | — | — | (337,325) | (337,325) | ||||||||
3.47% Fixed | 12 Mo. USD SOFR | USD | 118,934,000 | 03/20/2034 | Annual | 600,696 | — | (4,504,467) | (5,105,163) | ||||||||
12 Mo. USD SOFR | 2.69% Fixed | USD | 106,197,000 | 06/17/2039 | Annual | — | (151,951) | (653,673) | (501,722) | ||||||||
12 Mo. USD SOFR | 3.73% Fixed | USD | 8,950,000 | 12/16/2039 | Annual | — | — | 59,912 | 59,912 | ||||||||
12 Mo. USD SOFR | 3.47% Fixed | USD | 5,665,000 | 12/16/2039 | Annual | — | — | 20,259 | 20,259 | ||||||||
12 Mo. USD SOFR | 3.16% Fixed | USD | 5,965,000 | 12/16/2039 | Annual | — | — | (538) | (538) | ||||||||
12 Mo. USD SOFR | 3.16% Fixed | USD | 5,965,000 | 12/16/2039 | Annual | — | — | (1,029) | (1,029) | ||||||||
12 Mo. USD SOFR | 3.13% Fixed | USD | 11,935,000 | 12/16/2039 | Annual | — | — | (5,883) | (5,883) | ||||||||
12 Mo. USD SOFR | 3.07% Fixed | USD | 5,965,000 | 12/16/2039 | Annual | — | — | (6,942) | (6,942) | ||||||||
2.31% Fixed | 12 Mo. USD SOFR | USD | 22,221,000 | 06/17/2047 | Annual | 167,615 | — | 668,776 | 501,161 | ||||||||
2.64% Fixed | 12 Mo. USD SOFR | USD | 2,520,000 | 12/16/2047 | Annual | — | — | 24,460 | 24,460 | ||||||||
2.60% Fixed | 12 Mo. USD SOFR | USD | 1,260,000 | 12/16/2047 | Annual | — | — | 14,844 | 14,844 | ||||||||
2.67% Fixed | 12 Mo. USD SOFR | USD | 1,260,000 | 12/16/2047 | Annual | — | — | 10,150 | 10,150 | ||||||||
2.69% Fixed | 12 Mo. USD SOFR | USD | 1,260,000 | 12/16/2047 | Annual | — | — | 8,555 | 8,555 | ||||||||
2.96% Fixed | 12 Mo. USD SOFR | USD | 1,260,000 | 12/16/2047 | Annual | — | — | (9,327) | (9,327) | ||||||||
3.19% Fixed | 12 Mo. USD SOFR | USD | 2,020,000 | 12/16/2047 | Annual | — | — | (40,530) | (40,530) | ||||||||
3 Mo. AUD BBSW | 3.50% Fixed | AUD | 27,064,000 | 09/18/2027 | Quarterly | 3,489 | — | (43,326) | (46,815) | ||||||||
2.56% Fixed | 3 Mo. CAD CDOR | CAD | 26,834,000 | 03/19/2027 | Semi-Annual | — | (308) | 56,663 | 56,971 | ||||||||
2.22% Fixed | 3 Mo. CAD CDOR | CAD | 24,398,000 | 06/19/2027 | Semi-Annual | 341,158 | — | 310,393 | (30,765) | ||||||||
3.34% Fixed | 3 Mo. CAD CDOR | CAD | 35,781,000 | 06/21/2028 | Semi-Annual | — | (267,370) | (181,137) | 86,233 | ||||||||
3 Mo. CAD CDOR | 3.50% Fixed | CAD | 19,637,000 | 12/15/2032 | Semi-Annual | 72,527 | — | 100,253 | 27,726 | ||||||||
3.38% Fixed | 3 Mo. CAD CDOR | CAD | 8,808,000 | 06/21/2033 | Semi-Annual | — | (111,000) | (44,656) | 66,344 | ||||||||
4.44% Fixed | 3 Mo. HKD HIBOR | HKD | 279,771,000 | 03/15/2024 | Quarterly | 13,892 | — | 13,879 | (13) | ||||||||
3 Mo. NZD NZDBBR | 3.59% Fixed | NZD | 66,015,000 | 06/15/2027 | Semi-Annual | — | (820,011) | (1,386,269) | (566,258) | ||||||||
3 Mo. NZD NZDBBR | 4.22% Fixed | NZD | 60,160,000 | 12/21/2027 | Quarterly | — | — | (229,098) | (229,098) | ||||||||
3 Mo. NZD NZDBBR | 4.29% Fixed | NZD | 6,235,000 | 03/15/2028 | Semi-annual | — | — | 0 | — | ||||||||
3 Mo. NZD NZDBBR | 4.32% Fixed | NZD | 6,235,000 | 03/15/2028 | Semi-annual | — | — | 0 | — | ||||||||
3 Mo. NZD NZDBBR | 4.26% Fixed | NZD | 3,355,000 | 03/15/2028 | Semi-annual | — | — | (5,334) | (5,334) | ||||||||
4.34% Fixed | 3 Mo. NZD NZDBBR | NZD | 18,626,000 | 03/15/2028 | Semi-Annual | — | — | (10,022) | (10,022) | ||||||||
4.09% Fixed | 3 Mo. NZD NZDBBR | NZD | 22,529,000 | 03/15/2028 | Semi-Annual | 266,246 | — | 145,669 | (120,577) | ||||||||
3 Mo. NZD NZDBBR | 4.25% Fixed | NZD | 62,010,000 | 03/15/2028 | Quarterly | 88,144 | — | (123,453) | (211,597) | ||||||||
4.34% Fixed | 3 Mo. NZD NZDBBR | NZD | 33,986,000 | 03/19/2028 | Semi-Annual | 32,550 | — | (280,598) | (313,148) | ||||||||
4.27% Fixed | 3 Mo. NZD NZDBBR | NZD | 10,148,000 | 03/15/2033 | Semi-Annual | — | — | 4,341 | 4,341 | ||||||||
3 Mo. NZD NZDBBR | 4.19% Fixed | NZD | 25,240,000 | 03/15/2033 | Quarterly | — | — | (25,757) | (25,757) | ||||||||
3 Mo. SEK STIBOR | 2.44% Fixed | SEK | 203,036,000 | 03/19/2027 | Quarterly | — | (16,950) | (30,527) | (13,577) | ||||||||
3 Mo. SEK STIBOR | 2.79% Fixed | SEK | 601,966,000 | 03/15/2028 | Annually | — | — | 12,166 | 12,166 | ||||||||
2.50% Fixed | 3 Mo. SEK STIBOR | SEK | 208,048,000 | 06/18/2028 | Annual | 19,652 | — | 17,807 | (1,845) | ||||||||
3 Mo. SEK STIBOR | 2.69% Fixed | SEK | 141,097,000 | 06/21/2028 | Quarterly | 12,721 | — | (35,166) | (47,887) | ||||||||
3 Mo. SEK STIBOR | 2.88% Fixed | SEK | 60,394,000 | 03/15/2033 | Quarterly | — | (16,986) | 77,337 | 94,323 |
257 |
Centrally Cleared Interest Rate Swap Contracts Outstanding at January 31, 2023 – (continued) | |||||||||||||||||
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) | |||||||||
3 Mo. SEK STIBOR | 2.59% Fixed | SEK | 91,002,000 | 03/15/2033 | Quarterly | $ 1,121 | $ — | $ (21,846) | $ (22,967) | ||||||||
6 Mo. AUD BBSW | 3.78% Fixed | AUD | 18,954,000 | 06/21/2028 | Semi-Annual | 17,517 | — | (36,955) | (54,472) | ||||||||
6 Mo. AUD BBSW | 3.28% Fixed | AUD | 56,535,000 | 06/16/2032 | Semi-Annual | — | (678,179) | (1,677,749) | (999,570) | ||||||||
6 Mo. AUD BBSW | 4.22% Fixed | AUD | 22,748,000 | 12/15/2032 | Semi-Annual | — | (134,851) | (135,328) | (477) | ||||||||
6 Mo. AUD BBSW | 3.97% Fixed | AUD | 9,770,000 | 06/21/2033 | Semi-Annual | 13,958 | — | (92,218) | (106,176) | ||||||||
1.97% Fixed | 6 Mo. EUR EURIBOR | EUR | 50,088,800 | 06/19/2026 | Annual | 457,501 | — | 863,242 | 405,741 | ||||||||
6 Mo. EUR EURIBOR | 2.94% Fixed | EUR | 37,509,000 | 03/15/2028 | Semi-Annual | — | (51,531) | (10,345) | 41,186 | ||||||||
6 Mo. EUR EURIBOR | 2.41% Fixed | EUR | 19,195,000 | 06/18/2028 | Semi-Annual | 23,119 | — | (147,956) | (171,075) | ||||||||
6 Mo. EUR EURIBOR | 2.59% Fixed | EUR | 12,472,000 | 06/21/2028 | Semi-Annual | 23,997 | — | (202,962) | (226,959) | ||||||||
6 Mo. EUR EURIBOR | 0.53% Fixed | EUR | 30,516,400 | 09/16/2031 | Annual | 280,997 | — | (3,068,923) | (3,349,920) | ||||||||
1.13% Fixed | 6 Mo. EUR EURIBOR | EUR | 14,459,000 | 06/15/2032 | Annual | 646,681 | — | 2,161,079 | 1,514,398 | ||||||||
6 Mo. EUR EURIBOR | 2.38% Fixed | EUR | 44,062,300 | 06/16/2032 | Annual | — | (766,705) | (763,583) | 3,122 | ||||||||
6 Mo. EUR EURIBOR | 2.72% Fixed | EUR | 56,687,000 | 03/15/2033 | Semi-Annual | 431,740 | — | (847,727) | (1,279,467) | ||||||||
6 Mo. EUR EURIBOR | 2.56% Fixed | EUR | 5,937,000 | 06/21/2033 | Semi-Annual | 15,381 | — | (171,367) | (186,748) | ||||||||
6 Mo. EUR EURIBOR | 2.72% Fixed | EUR | 45,512,400 | 12/17/2033 | Semi-Annual | — | (130,592) | (155,844) | (25,252) | ||||||||
2.63% Fixed | 6 Mo. EUR EURIBOR | EUR | 48,348,000 | 12/21/2035 | Annual | 96,042 | — | 183,793 | 87,751 | ||||||||
6 Mo. EUR EURIBOR | 1.28% Fixed | EUR | 20,125,000 | 06/15/2037 | Annual | — | (1,225,539) | (3,962,100) | (2,736,561) | ||||||||
6 Mo. EUR EURIBOR | 2.09% Fixed | EUR | 7,124,000 | 08/15/2048 | Semi-Annual | — | (20,488) | (570,623) | (550,135) | ||||||||
0.63% Fixed | 6 Mo. EUR EURIBOR | EUR | 10,659,350 | 09/17/2051 | Annual | — | (300,133) | 1,183,983 | 1,484,116 | ||||||||
1.00% Fixed | 6 Mo. EUR EURIBOR | EUR | 5,692,000 | 06/15/2052 | Annual | 524,762 | — | 1,715,574 | 1,190,812 | ||||||||
0.94% Fixed | 6 Mo. EUR EURIBOR | EUR | 4,342,500 | 06/16/2052 | Annual | 491,668 | — | 640,853 | 149,185 | ||||||||
1.03% Fixed | 6 Mo. EUR EURIBOR | EUR | 12,025,000 | 06/17/2052 | Annual | 562,244 | — | 768,473 | 206,229 | ||||||||
1.34% Fixed | 6 Mo. EUR EURIBOR | EUR | 9,436,950 | 12/16/2052 | Annual | — | (64,360) | 277,541 | 341,901 | ||||||||
0.63% Fixed | 6 Mo. EUR EURIBOR | EUR | 4,753,000 | 06/15/2072 | Annual | — | (90,136) | 1,974,085 | 2,064,221 | ||||||||
1.16% Fixed | 6 Mo. EUR EURIBOR | EUR | 887,500 | 06/15/2072 | Annual | — | (18,738) | 213,650 | 232,388 | ||||||||
3.53% Fixed | 6 Mo. NOK NIBOR | NOK | 244,310,000 | 03/15/2028 | Annual | 15,335 | — | (571,836) | (587,171) | ||||||||
6 Mo. NOK NIBOR | 2.66% Fixed | NOK | 198,116,000 | 06/18/2028 | Semi-Annual | — | (28,921) | (82,766) | (53,845) | ||||||||
2.91% Fixed | 6 Mo. NOK NIBOR | NOK | 86,580,000 | 03/15/2033 | Annual | 20,298 | — | 51,757 | 31,459 | ||||||||
Total centrally cleared interest rate swaps contracts | $ 6,020,722 | $ (6,560,978) | $ 507,113 | $ 1,047,369 |
Foreign Currency Contracts Outstanding at January 31, 2023 | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
141,025,000 | AUD | 95,225,016 | USD | TDB | 02/06/2023 | $ 4,343,198 | ||||
319,568,000 | AUD | 223,722,443 | USD | MSC | 02/06/2023 | 1,902,908 | ||||
36,265,000 | AUD | 24,657,320 | USD | GSC | 02/06/2023 | 946,943 | ||||
57,130,000 | AUD | 39,779,181 | USD | JPM | 02/06/2023 | 556,448 | ||||
61,330,000 | AUD | 43,086,360 | USD | UBS | 02/06/2023 | 214,605 | ||||
23,640,000 | AUD | 16,502,128 | USD | BNP | 02/06/2023 | 188,477 | ||||
5,205,000 | AUD | 3,555,799 | USD | CBK | 02/06/2023 | 119,099 | ||||
10,180,000 | AUD | 7,143,051 | USD | BCLY | 02/06/2023 | 44,358 | ||||
10,180,000 | AUD | 7,170,232 | USD | BOA | 02/06/2023 | 17,177 | ||||
158,733,000 | AUD | 111,280,723 | USD | MSC | 03/07/2023 | 918,557 | ||||
12,158,000 | AUD | 8,663,991 | USD | BNP | 03/07/2023 | (70,196) | ||||
31,345,000 | BRL | 6,035,022 | USD | MSC | 02/02/2023 | 137,006 | ||||
25,950,000 | BRL | 4,975,077 | USD | CBK | 02/02/2023 | 134,642 | ||||
57,295,000 | BRL | 11,236,076 | USD | CBK | 03/02/2023 | (10,406) | ||||
154,690,000 | CAD | 114,607,981 | USD | UBS | 02/06/2023 | 1,655,882 | ||||
105,040,000 | CAD | 77,676,331 | USD | JPM | 02/06/2023 | 1,270,958 | ||||
47,465,000 | CAD | 35,084,516 | USD | SSG | 02/06/2023 | 589,828 | ||||
47,465,000 | CAD | 35,100,472 | USD | MSC | 02/06/2023 | 573,871 | ||||
66,825,000 | CAD | 49,755,125 | USD | GSC | 02/06/2023 | 470,053 | ||||
29,805,000 | CAD | 22,117,303 | USD | BOA | 02/06/2023 | 283,916 | ||||
23,150,000 | CAD | 17,211,896 | USD | CBK | 02/06/2023 | 187,473 | ||||
33,227,000 | CAD | 24,792,451 | USD | DEUT | 02/06/2023 | 180,716 | ||||
9,640,000 | CAD | 7,157,574 | USD | RBC | 02/06/2023 | 87,779 | ||||
9,520,000 | CAD | 7,122,870 | USD | TDB | 02/06/2023 | 32,292 | ||||
9,500,000 | CAD | 7,135,035 | USD | BNP | 02/06/2023 | 5,095 | ||||
133,615,000 | CAD | 99,361,141 | USD | CBK | 03/07/2023 | 1,084,851 | ||||
18,955,000 | CAD | 14,127,368 | USD | GSC | 03/07/2023 | 122,184 | ||||
9,475,000 | CAD | 7,044,191 | USD | RBC | 03/07/2023 | 78,706 | ||||
9,250,000 | CAD | 6,941,330 | USD | BOA | 03/07/2023 | 12,420 |
258 |
Foreign Currency Contracts Outstanding at January 31, 2023 – (continued) | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
191,640,000 | CHF | 207,254,861 | USD | UBS | 02/06/2023 | $ 2,208,694 | ||||
39,415,000 | CHF | 42,538,268 | USD | CBK | 02/06/2023 | 542,539 | ||||
13,170,000 | CHF | 14,302,295 | USD | GSC | 02/06/2023 | 92,585 | ||||
6,595,000 | CHF | 7,134,743 | USD | BOA | 02/06/2023 | 73,627 | ||||
34,730,000 | CHF | 37,920,320 | USD | SSG | 02/06/2023 | 39,758 | ||||
20,000 | CHF | 21,631 | USD | UBS | 03/07/2023 | 299 | ||||
13,154,150,000 | CLP | 16,219,667 | USD | MSC | 02/06/2023 | 289,100 | ||||
74,193,000 | CNH | 10,889,855 | USD | GSC | 02/06/2023 | 97,527 | ||||
14,473,000 | CNH | 2,146,533 | USD | MSC | 02/06/2023 | (3,199) | ||||
11,940,000 | CNH | 1,772,592 | USD | JPM | 02/06/2023 | (4,375) | ||||
61,912,000 | CNH | 9,178,675 | USD | MSC | 03/07/2023 | 6,723 | ||||
24,149,000 | CNH | 3,586,929 | USD | BOA | 04/28/2023 | 7,672 | ||||
23,411,910,000 | COP | 4,847,786 | USD | BNP | 02/06/2023 | 160,336 | ||||
23,411,910,000 | COP | 4,977,445 | USD | MSC | 03/07/2023 | 1,316 | ||||
150,450,000 | CZK | 6,749,271 | USD | CBK | 02/06/2023 | 127,076 | ||||
167,379,000 | CZK | 7,601,226 | USD | TDB | 02/06/2023 | 48,864 | ||||
43,290,000 | CZK | 1,951,178 | USD | MSC | 02/06/2023 | 27,400 | ||||
751,889,000 | DKK | 109,431,298 | USD | BCLY | 02/06/2023 | 497,700 | ||||
53,626,000 | EUR | 57,097,460 | USD | TDB | 02/06/2023 | 1,227,388 | ||||
96,239,000 | EUR | 104,051,826 | USD | JPM | 02/06/2023 | 619,882 | ||||
23,106,000 | EUR | 24,930,706 | USD | CBK | 02/06/2023 | 199,901 | ||||
35,841,000 | EUR | 38,883,738 | USD | GSC | 02/06/2023 | 97,743 | ||||
18,777,000 | EUR | 20,336,801 | USD | UBS | 02/06/2023 | 85,488 | ||||
8,574,000 | EUR | 9,253,519 | USD | BCLY | 02/06/2023 | 71,757 | ||||
9,227,000 | EUR | 9,972,758 | USD | MSC | 02/06/2023 | 62,736 | ||||
13,220,000 | EUR | 14,317,075 | USD | SSG | 02/06/2023 | 61,296 | ||||
51,353,000 | EUR | 55,802,338 | USD | BNP | 02/06/2023 | 50,343 | ||||
28,207,000 | EUR | 30,698,126 | USD | BOA | 02/06/2023 | (19,556) | ||||
77,193,000 | EUR | 83,549,033 | USD | MSC | 02/28/2023 | 523,663 | ||||
13,070,000 | EUR | 14,200,366 | USD | JPM | 02/28/2023 | 34,476 | ||||
6,535,000 | EUR | 7,089,446 | USD | BCLY | 02/28/2023 | 27,975 | ||||
86,000 | EUR | 93,709 | USD | SSG | 02/28/2023 | (45) | ||||
8,715,000 | GBP | 10,400,445 | USD | BNP | 02/06/2023 | 345,221 | ||||
39,430,000 | GBP | 48,468,335 | USD | GSC | 02/06/2023 | 149,176 | ||||
14,300,000 | GBP | 17,612,149 | USD | JPM | 02/06/2023 | 19,866 | ||||
16,754,000 | GBP | 20,653,885 | USD | BCLY | 02/06/2023 | 3,933 | ||||
18,000 | GBP | 21,709 | USD | TDB | 02/06/2023 | 486 | ||||
2,876,000 | GBP | 3,559,159 | USD | SSG | 02/06/2023 | (13,028) | ||||
5,738,000 | GBP | 7,076,142 | USD | GSC | 03/07/2023 | 3,486 | ||||
10,000 | GBP | 12,320 | USD | BCLY | 03/07/2023 | 18 | ||||
4,427,245,000 | HUF | 11,712,288 | USD | MSC | 02/06/2023 | 566,161 | ||||
3,581,445,000 | HUF | 9,849,959 | USD | MSC | 03/07/2023 | (14,842) | ||||
32,784,000,000 | IDR | 2,157,552 | USD | DEUT | 02/06/2023 | 29,162 | ||||
26,983,000,000 | IDR | 1,794,082 | USD | MSC | 02/06/2023 | 5,701 | ||||
33,484,500,000 | IDR | 2,232,300 | USD | JPM | 03/07/2023 | (26) | ||||
51,968,000 | ILS | 15,062,855 | USD | BNP | 02/06/2023 | (5,222) | ||||
9,840,000 | ILS | 2,868,596 | USD | CBK | 02/06/2023 | (17,474) | ||||
546,420,000 | INR | 6,591,593 | USD | BNP | 02/06/2023 | 75,942 | ||||
468,833,000 | INR | 5,702,177 | USD | CBK | 02/06/2023 | 18,625 | ||||
115,747,000 | INR | 1,406,489 | USD | MSC | 02/06/2023 | 5,881 | ||||
248,470,000 | INR | 3,037,902 | USD | JPM | 02/06/2023 | (6,017) | ||||
261,030,000 | INR | 3,196,155 | USD | SCB | 02/06/2023 | (11,011) | ||||
1,640,500,000 | INR | 20,019,770 | USD | JPM | 03/08/2023 | (36,924) | ||||
45,679,410,000 | JPY | 350,626,365 | USD | MSC | 02/06/2023 | 594,044 | ||||
9,714,500,000 | JPY | 74,473,984 | USD | JPM | 02/06/2023 | 218,982 | ||||
918,000,000 | JPY | 7,051,991 | USD | BOA | 02/06/2023 | 6,338 | ||||
3,232,200,000 | JPY | 24,867,540 | USD | CBK | 02/06/2023 | (15,760) | ||||
273,600,000 | JPY | 2,125,714 | USD | SSG | 02/06/2023 | (22,055) | ||||
1,383,900,000 | JPY | 10,664,234 | USD | UBS | 02/06/2023 | (23,687) | ||||
7,865,300,000 | JPY | 60,687,004 | USD | BNP | 02/06/2023 | (212,188) | ||||
9,749,200,000 | JPY | 75,562,513 | USD | BCLY | 02/06/2023 | (602,746) | ||||
5,517,100,000 | JPY | 43,061,395 | USD | GSC | 02/06/2023 | (641,450) | ||||
25,908,010,000 | JPY | 199,720,247 | USD | MSC | 03/07/2023 | 286,763 | ||||
17,666,050,000 | KRW | 14,295,234 | USD | JPM | 02/06/2023 | 49,615 | ||||
26,439,440,000 | KRW | 21,419,436 | USD | BCLY | 02/06/2023 | 49,412 |
259 |
Foreign Currency Contracts Outstanding at January 31, 2023 – (continued) | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
429,910,881,000 | KRW | 349,041,042 | USD | BNP | 02/06/2023 | $ 46,984 | ||||
8,792,670,000 | KRW | 7,118,418 | USD | BOA | 02/06/2023 | 21,238 | ||||
2,206,910,000 | KRW | 1,774,471 | USD | GSC | 02/06/2023 | 17,542 | ||||
17,438,090,000 | KRW | 14,147,404 | USD | BNP | 03/07/2023 | 27,735 | ||||
11,125,750,000 | KRW | 9,018,247 | USD | MSC | 03/07/2023 | 25,693 | ||||
8,719,040,000 | KRW | 7,074,272 | USD | BCLY | 03/07/2023 | 13,293 | ||||
1,846,673,000 | MXN | 95,022,306 | USD | DEUT | 02/03/2023 | 2,995,018 | ||||
60,310,000 | MXN | 3,204,484 | USD | CBK | 02/03/2023 | (3,363) | ||||
1,680,013,000 | MXN | 88,663,929 | USD | UBS | 03/07/2023 | (10,052) | ||||
996,008,000 | NOK | 98,953,953 | USD | UBS | 02/06/2023 | 858,401 | ||||
77,780,000 | NOK | 7,780,716 | USD | BCLY | 02/06/2023 | 13,804 | ||||
120,330,000 | NOK | 12,073,018 | USD | BOA | 02/06/2023 | (14,459) | ||||
195,362,000 | NOK | 19,595,183 | USD | CBK | 02/06/2023 | (17,487) | ||||
106,110,000 | NOK | 10,655,815 | USD | JPM | 02/06/2023 | (22,278) | ||||
69,750,000 | NOK | 7,081,949 | USD | SSG | 02/06/2023 | (92,134) | ||||
70,160,000 | NOK | 7,138,061 | USD | BNP | 02/06/2023 | (107,159) | ||||
84,211,000 | NOK | 8,366,691 | USD | UBS | 03/07/2023 | 83,822 | ||||
70,580,000 | NOK | 7,032,294 | USD | JPM | 03/07/2023 | 50,359 | ||||
63,530,000 | NOK | 6,344,372 | USD | BOA | 03/07/2023 | 30,818 | ||||
58,190,000 | NOK | 5,833,216 | USD | CBK | 03/07/2023 | 6,109 | ||||
84,690,000 | NZD | 53,648,616 | USD | UBS | 02/03/2023 | 1,096,985 | ||||
44,805,000 | NZD | 28,347,844 | USD | BOA | 02/03/2023 | 615,158 | ||||
33,520,000 | NZD | 21,409,373 | USD | GSC | 02/03/2023 | 258,742 | ||||
43,805,000 | NZD | 28,083,291 | USD | JPM | 02/03/2023 | 233,290 | ||||
11,235,000 | NZD | 7,091,397 | USD | SSG | 02/03/2023 | 171,170 | ||||
44,210,000 | NZD | 28,678,452 | USD | MSC | 02/03/2023 | (100,072) | ||||
2,855,000 | NZD | 1,835,799 | USD | TDB | 03/07/2023 | 10,292 | ||||
4,706,000 | NZD | 3,043,711 | USD | MSC | 03/07/2023 | (731) | ||||
5,039,000 | NZD | 3,260,804 | USD | SSG | 03/07/2023 | (2,501) | ||||
774,000 | PEN | 201,196 | USD | CBK | 02/06/2023 | (3) | ||||
10,896,000 | PEN | 2,837,131 | USD | UBS | 02/06/2023 | (4,836) | ||||
158,240,000 | PHP | 2,829,757 | USD | CBK | 02/06/2023 | 66,680 | ||||
158,240,000 | PHP | 2,887,591 | USD | MSC | 03/07/2023 | 7,995 | ||||
112,166,000 | PLN | 25,475,887 | USD | BNP | 02/06/2023 | 408,193 | ||||
50,409,000 | PLN | 11,569,658 | USD | MSC | 02/06/2023 | 63,017 | ||||
5,760,000 | PLN | 1,319,089 | USD | MSC | 03/07/2023 | 7,097 | ||||
248,480,000 | SEK | 23,543,337 | USD | CBK | 02/06/2023 | 226,383 | ||||
11,110,000 | SEK | 1,079,364 | USD | GSC | 02/06/2023 | (16,576) | ||||
27,870,000 | SEK | 2,685,049 | USD | UBS | 02/06/2023 | (18,991) | ||||
170,110,000 | SEK | 16,294,685 | USD | BCLY | 02/06/2023 | (21,877) | ||||
14,600,000 | SEK | 1,418,656 | USD | SSG | 02/06/2023 | (22,013) | ||||
145,930,000 | SEK | 14,142,313 | USD | MSC | 02/06/2023 | (182,576) | ||||
2,723,815,000 | SEK | 261,230,018 | USD | JPM | 02/06/2023 | (668,517) | ||||
696,400,000 | SEK | 67,731,501 | USD | BOA | 02/06/2023 | (1,113,531) | ||||
36,840,000 | SEK | 3,519,953 | USD | BCLY | 03/07/2023 | 9,779 | ||||
913,152,000 | SEK | 87,508,577 | USD | JPM | 03/07/2023 | (17,211) | ||||
8,031,000 | SGD | 6,098,876 | USD | BCLY | 02/06/2023 | 14,597 | ||||
3,730,000 | SGD | 2,838,520 | USD | JPM | 03/07/2023 | 2,686 | ||||
391,663,000 | THB | 11,616,979 | USD | BCLY | 02/06/2023 | 255,786 | ||||
391,663,000 | THB | 11,931,851 | USD | BCLY | 03/07/2023 | (23,345) | ||||
110,940,000 | THB | 3,406,725 | USD | SCB | 03/07/2023 | (33,597) | ||||
6,968,000 | TRY | 360,523 | USD | JPM | 02/06/2023 | 9,133 | ||||
6,968,000 | TRY | 363,627 | USD | JPM | 03/07/2023 | 298 | ||||
217,916,000 | TWD | 7,125,629 | USD | MSC | 02/06/2023 | 136,543 | ||||
136,571,000 | TWD | 4,568,203 | USD | BNP | 03/07/2023 | (2,907) | ||||
107,895,000 | TWD | 3,615,784 | USD | DEUT | 03/07/2023 | (9,069) | ||||
143,720,000 | ZAR | 8,353,545 | USD | GSC | 02/06/2023 | (98,214) | ||||
813,584,000 | ZAR | 47,543,864 | USD | MSC | 02/06/2023 | (811,293) | ||||
267,004,000 | ZAR | 15,275,265 | USD | MSC | 03/07/2023 | 22,212 | ||||
14,281,474 | USD | 20,235,000 | AUD | BOA | 02/06/2023 | (5,091) | ||||
7,779,747 | USD | 11,270,000 | AUD | SSG | 02/06/2023 | (177,238) | ||||
15,629,398 | USD | 22,455,000 | AUD | BCLY | 02/06/2023 | (224,559) | ||||
14,200,238 | USD | 20,520,000 | AUD | GSC | 02/06/2023 | (287,546) | ||||
14,432,017 | USD | 20,904,000 | AUD | NWM | 02/06/2023 | (326,884) | ||||
16,198,613 | USD | 23,458,000 | AUD | CBK | 02/06/2023 | (363,495) |
260 |
Foreign Currency Contracts Outstanding at January 31, 2023 – (continued) | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
42,849,833 | USD | 62,415,000 | AUD | JPM | 02/06/2023 | $ (1,217,177) | ||||
128,189,495 | USD | 183,290,000 | AUD | MSC | 02/06/2023 | (1,219,176) | ||||
51,303,954 | USD | 74,923,000 | AUD | UBS | 02/06/2023 | (1,594,108) | ||||
151,963,662 | USD | 225,053,000 | AUD | TDB | 02/06/2023 | (6,931,039) | ||||
7,314,091 | USD | 10,290,000 | AUD | BOA | 03/07/2023 | 40,678 | ||||
4,943,839 | USD | 7,025,000 | AUD | BNP | 03/07/2023 | (21,732) | ||||
9,312,211 | USD | 13,227,000 | AUD | CBK | 03/07/2023 | (37,199) | ||||
171,620,411 | USD | 244,961,000 | AUD | MSC | 03/07/2023 | (1,528,511) | ||||
1,957,137 | USD | 2,620,000 | CAD | SSG | 02/06/2023 | (12,036) | ||||
2,476,760 | USD | 3,320,000 | CAD | RBC | 02/06/2023 | (18,528) | ||||
7,115,934 | USD | 9,530,000 | CAD | BNP | 02/06/2023 | (46,744) | ||||
21,296,119 | USD | 28,575,000 | CAD | BCLY | 02/06/2023 | (180,640) | ||||
24,866,026 | USD | 33,425,000 | CAD | TDB | 02/06/2023 | (255,958) | ||||
35,450,875 | USD | 47,585,000 | CAD | BOA | 02/06/2023 | (313,660) | ||||
45,567,210 | USD | 61,195,000 | CAD | JPM | 02/06/2023 | (426,500) | ||||
53,294,868 | USD | 71,515,000 | CAD | GSC | 02/06/2023 | (455,278) | ||||
102,902,715 | USD | 138,370,000 | CAD | CBK | 02/06/2023 | (1,095,156) | ||||
103,242,379 | USD | 140,192,000 | CAD | UBS | 02/06/2023 | (2,124,895) | ||||
7,107,281 | USD | 9,475,000 | CAD | GSC | 03/07/2023 | (15,616) | ||||
17,215,211 | USD | 23,150,000 | CAD | CBK | 03/07/2023 | (187,960) | ||||
7,120,997 | USD | 6,515,000 | CHF | BCLY | 02/06/2023 | 67 | ||||
15,284,653 | USD | 13,995,000 | CHF | SSG | 02/06/2023 | (11,958) | ||||
7,132,931 | USD | 6,565,000 | CHF | MSC | 02/06/2023 | (42,649) | ||||
10,694,667 | USD | 9,890,000 | CHF | GSC | 02/06/2023 | (115,157) | ||||
17,781,684 | USD | 16,470,000 | CHF | BNP | 02/06/2023 | (220,115) | ||||
43,496,163 | USD | 40,110,000 | CHF | UBS | 02/06/2023 | (344,283) | ||||
120,210,843 | USD | 111,220,000 | CHF | CBK | 02/06/2023 | (1,353,217) | ||||
86,656,700 | USD | 80,785,000 | CHF | JPM | 02/06/2023 | (1,641,742) | ||||
50,627,682 | USD | 46,810,000 | CHF | UBS | 03/07/2023 | (699,108) | ||||
3,392,631 | USD | 2,915,627,000 | CLP | CBK | 02/06/2023 | (266,549) | ||||
4,361,215 | USD | 3,748,900,000 | CLP | BOA | 02/06/2023 | (343,743) | ||||
7,555,914 | USD | 6,489,623,000 | CLP | UBS | 02/06/2023 | (588,716) | ||||
16,142,042 | USD | 13,154,150,000 | CLP | MSC | 03/07/2023 | (290,806) | ||||
1,787,121 | USD | 12,067,000 | CNH | GSC | 02/06/2023 | 96 | ||||
1,776,639 | USD | 12,002,000 | CNH | UBS | 02/06/2023 | (760) | ||||
9,162,646 | USD | 61,912,000 | CNH | MSC | 02/06/2023 | (6,019) | ||||
2,128,431 | USD | 14,625,000 | CNH | BNP | 02/06/2023 | (37,413) | ||||
3,639,638 | USD | 24,149,000 | CNH | BOA | 01/24/2024 | (7,482) | ||||
5,006,824 | USD | 23,411,910,000 | COP | MSC | 02/06/2023 | (1,297) | ||||
7,586,224 | USD | 169,980,000 | CZK | CBK | 02/06/2023 | (182,746) | ||||
8,408,090 | USD | 191,139,000 | CZK | BNP | 02/06/2023 | (327,956) | ||||
7,587,753 | USD | 167,379,000 | CZK | TDB | 03/07/2023 | (48,977) | ||||
89,084,998 | USD | 609,671,000 | DKK | MSC | 02/06/2023 | (51,194) | ||||
20,555,322 | USD | 142,218,000 | DKK | BCLY | 02/06/2023 | (237,484) | ||||
53,499,134 | USD | 365,394,000 | DKK | SSG | 03/07/2023 | (34,412) | ||||
109,656,824 | USD | 751,889,000 | DKK | BCLY | 03/07/2023 | (501,756) | ||||
5,734,057 | USD | 5,271,000 | EUR | BCLY | 02/06/2023 | 1,199 | ||||
19,813,770 | USD | 18,231,000 | EUR | CBK | 02/06/2023 | (14,678) | ||||
8,910,900 | USD | 8,219,000 | EUR | DEUT | 02/06/2023 | (28,270) | ||||
13,102,102 | USD | 12,211,000 | EUR | UBS | 02/06/2023 | (178,857) | ||||
25,377,045 | USD | 23,525,000 | EUR | GSC | 02/06/2023 | (209,275) | ||||
10,894,750 | USD | 10,244,000 | EUR | TDB | 02/06/2023 | (246,856) | ||||
14,165,586 | USD | 13,265,000 | EUR | BNP | 02/06/2023 | (261,727) | ||||
27,049,568 | USD | 25,191,000 | EUR | BOA | 02/06/2023 | (348,732) | ||||
75,602,211 | USD | 69,855,000 | EUR | JPM | 02/06/2023 | (373,665) | ||||
100,536,815 | USD | 92,980,000 | EUR | MSC | 02/06/2023 | (590,331) | ||||
63,382,964 | USD | 59,178,000 | EUR | SSG | 02/06/2023 | (980,364) | ||||
64,224,655 | USD | 58,754,064 | EUR | TDB | 02/28/2023 | 234,234 | ||||
4,279,737 | USD | 3,931,000 | EUR | BOA | 02/28/2023 | (1,607) | ||||
9,986,747 | USD | 9,227,000 | EUR | MSC | 02/28/2023 | (62,594) | ||||
3,931,651 | USD | 3,629,000 | EUR | TDB | 03/07/2023 | (22,625) | ||||
35,182,235 | USD | 28,513,000 | GBP | BNP | 02/06/2023 | 25,476 | ||||
3,563,059 | USD | 2,878,000 | GBP | UBS | 02/06/2023 | 14,462 | ||||
2,144,309 | USD | 1,729,000 | GBP | JPM | 02/06/2023 | 12,438 | ||||
2,145,482 | USD | 1,734,000 | GBP | SSG | 02/06/2023 | 7,446 |
261 |
Foreign Currency Contracts Outstanding at January 31, 2023 – (continued) | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
3,373,263 | USD | 2,797,000 | GBP | TDB | 02/06/2023 | $ (75,461) | ||||
7,106,298 | USD | 5,841,000 | GBP | CBK | 02/06/2023 | (95,702) | ||||
6,984,983 | USD | 5,867,000 | GBP | BCLY | 02/06/2023 | (249,076) | ||||
40,050,977 | USD | 32,734,000 | GBP | GSC | 02/06/2023 | (310,309) | ||||
14,121,906 | USD | 11,367,000 | GBP | JPM | 02/28/2023 | 99,512 | ||||
16,384,142 | USD | 13,299,000 | GBP | BCLY | 03/07/2023 | (24,357) | ||||
9,948,458 | USD | 3,581,445,000 | HUF | MSC | 02/06/2023 | 15,737 | ||||
2,279,354 | USD | 845,800,000 | HUF | BCLY | 02/06/2023 | (66,374) | ||||
2,231,854 | USD | 33,484,500,000 | IDR | JPM | 02/06/2023 | (1,584) | ||||
1,689,650 | USD | 26,282,500,000 | IDR | CBK | 02/06/2023 | (63,410) | ||||
2,478,928 | USD | 8,380,000 | ILS | MSC | 02/06/2023 | 50,838 | ||||
15,197,968 | USD | 53,428,000 | ILS | BNP | 02/06/2023 | (282,697) | ||||
11,658,244 | USD | 40,458,000 | ILS | BNP | 03/09/2023 | (78,000) | ||||
20,055,012 | USD | 1,640,500,000 | INR | JPM | 02/06/2023 | 37,275 | ||||
28,501,799 | USD | 3,663,700,000 | JPY | UBS | 02/06/2023 | 332,297 | ||||
78,431,766 | USD | 10,177,800,000 | JPY | CBK | 02/06/2023 | 176,574 | ||||
89,298,109 | USD | 11,591,900,000 | JPY | GSC | 02/06/2023 | 170,168 | ||||
41,309,033 | USD | 5,373,500,000 | JPY | SSG | 02/06/2023 | (6,800) | ||||
3,065,568 | USD | 400,200,000 | JPY | JPM | 02/06/2023 | (11,495) | ||||
244,970,312 | USD | 31,895,310,000 | JPY | MSC | 02/06/2023 | (266,738) | ||||
125,818,892 | USD | 16,449,100,000 | JPY | BCLY | 02/06/2023 | (655,147) | ||||
36,093,846 | USD | 4,781,700,000 | JPY | BNP | 02/06/2023 | (671,747) | ||||
108,205,070 | USD | 15,803,300,000 | JPY | BNP | 02/13/2023 | (13,410,211) | ||||
118,231,119 | USD | 16,577,800,000 | JPY | UBS | 02/21/2023 | (9,470,729) | ||||
83,733,531 | USD | 11,551,450,000 | JPY | JPM | 02/27/2023 | (5,315,565) | ||||
74,071,246 | USD | 10,137,650,000 | JPY | ANZ | 03/06/2023 | (4,178,544) | ||||
3,218,583 | USD | 416,700,000 | JPY | SSG | 03/07/2023 | 1,704 | ||||
12,346,450 | USD | 1,601,600,000 | JPY | MSC | 03/07/2023 | (17,727) | ||||
32,727,759 | USD | 4,617,100,000 | JPY | BNP | 03/10/2023 | (2,931,829) | ||||
14,254,611 | USD | 17,518,200,000 | KRW | MSC | 02/06/2023 | 29,817 | ||||
1,782,499 | USD | 2,189,800,000 | KRW | GSC | 02/06/2023 | 4,379 | ||||
14,287,636 | USD | 17,633,800,000 | KRW | BCLY | 02/06/2023 | (31,026) | ||||
7,096,616 | USD | 8,828,190,000 | KRW | CBK | 02/06/2023 | (71,883) | ||||
33,844,397 | USD | 41,820,980,000 | KRW | BOA | 02/06/2023 | (114,275) | ||||
10,584,408 | USD | 13,412,990,000 | KRW | JPM | 02/06/2023 | (306,953) | ||||
302,769,505 | USD | 383,611,991,000 | KRW | BNP | 02/06/2023 | (8,723,780) | ||||
342,378,981 | USD | 421,057,671,000 | KRW | BNP | 03/07/2023 | 108,079 | ||||
3,199,296 | USD | 60,230,000 | MXN | MSC | 02/03/2023 | 2,421 | ||||
11,159,880 | USD | 213,640,000 | MXN | SSG | 02/03/2023 | (179,659) | ||||
13,167,829 | USD | 130,260,000 | NOK | JPM | 02/06/2023 | 114,161 | ||||
14,421,764 | USD | 142,990,000 | NOK | CBK | 02/06/2023 | 92,393 | ||||
8,854,207 | USD | 87,680,000 | NOK | MSC | 02/06/2023 | 67,584 | ||||
3,583,570 | USD | 35,470,000 | NOK | BOA | 02/06/2023 | 29,036 | ||||
8,355,484 | USD | 84,211,000 | NOK | UBS | 02/06/2023 | (83,502) | ||||
115,278,734 | USD | 1,154,889,000 | NOK | BCLY | 02/06/2023 | (455,464) | ||||
92,474,439 | USD | 930,758,000 | NOK | UBS | 03/07/2023 | (926,460) | ||||
21,458,153 | USD | 33,140,000 | NZD | GSC | 02/03/2023 | 35,679 | ||||
239,763 | USD | 385,000 | NZD | NWM | 02/03/2023 | (9,110) | ||||
14,459,760 | USD | 22,400,000 | NZD | MSC | 02/03/2023 | (20,126) | ||||
7,189,560 | USD | 11,200,000 | NZD | BCLY | 02/03/2023 | (50,383) | ||||
16,673,215 | USD | 26,230,000 | NZD | BOA | 02/03/2023 | (282,472) | ||||
30,073,044 | USD | 47,310,000 | NZD | CBK | 02/03/2023 | (509,250) | ||||
47,871,367 | USD | 75,675,000 | NZD | JPM | 02/03/2023 | (1,046,728) | ||||
234,047,348 | USD | 374,797,000 | NZD | UBS | 02/03/2023 | (8,230,218) | ||||
3,204,627 | USD | 4,940,000 | NZD | BOA | 03/07/2023 | 10,339 | ||||
5,304,743 | USD | 8,215,000 | NZD | BNP | 03/07/2023 | (7,215) | ||||
211,185,717 | USD | 328,432,000 | NZD | TDB | 03/07/2023 | (1,184,000) | ||||
3,010,118 | USD | 11,670,000 | PEN | CBK | 02/06/2023 | (23,370) | ||||
200,685 | USD | 774,000 | PEN | CBK | 03/07/2023 | 8 | ||||
2,890,228 | USD | 158,240,000 | PHP | MSC | 02/06/2023 | (6,209) | ||||
5,141,229 | USD | 22,510,000 | PLN | CBK | 02/06/2023 | (53,311) | ||||
14,398,363 | USD | 63,070,000 | PLN | BOA | 02/06/2023 | (156,039) | ||||
17,551,110 | USD | 76,995,000 | PLN | MSC | 02/06/2023 | (216,706) | ||||
11,544,090 | USD | 50,409,000 | PLN | MSC | 03/07/2023 | (62,106) | ||||
69,383,583 | USD | 716,046,000 | SEK | CBK | 02/06/2023 | 886,267 |
262 |
Foreign Currency Contracts Outstanding at January 31, 2023 – (continued) | ||||||||||
Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Counterparty | Settlement Date | Appreciation/ (Depreciation) | ||||||
14,394,103 | USD | 147,940,000 | SEK | BNP | 02/06/2023 | $ 242,089 | ||||
14,343,354 | USD | 147,690,000 | SEK | BOA | 02/06/2023 | 215,255 | ||||
7,100,300 | USD | 73,970,000 | SEK | MSC | 02/06/2023 | 24,293 | ||||
19,600,413 | USD | 207,540,000 | SEK | BCLY | 02/06/2023 | (252,967) | ||||
261,649,151 | USD | 2,745,129,000 | SEK | JPM | 02/06/2023 | (951,257) | ||||
193,023,766 | USD | 2,014,203,000 | SEK | JPM | 03/07/2023 | 37,963 | ||||
6,000,000 | USD | 8,031,000 | SGD | JPM | 02/06/2023 | (113,473) | ||||
6,102,551 | USD | 8,031,000 | SGD | BCLY | 03/07/2023 | (14,801) | ||||
11,897,418 | USD | 391,663,000 | THB | BCLY | 02/06/2023 | 24,653 | ||||
369,655 | USD | 6,968,000 | TRY | JPM | 02/06/2023 | (1) | ||||
4,549,031 | USD | 136,571,000 | TWD | BNP | 02/06/2023 | (2,274) | ||||
2,653,997 | USD | 81,345,000 | TWD | JPM | 02/06/2023 | (56,871) | ||||
35,161,030 | USD | 598,670,000 | ZAR | GSC | 02/06/2023 | 773,200 | ||||
5,306,147 | USD | 91,630,000 | ZAR | UBS | 02/06/2023 | 42,885 | ||||
15,314,253 | USD | 267,004,000 | ZAR | MSC | 02/06/2023 | (22,557) | ||||
20,316,542 | USD | 355,123,000 | ZAR | MSC | 03/07/2023 | (29,543) | ||||
Total foreign currency contracts | $ (59,624,664) |
Description | Total | Level 1 | Level 2 | Level 3(1) | ||||
Assets | ||||||||
Asset & Commercial Mortgage-Backed Securities | $ 310,011,025 | $ — | $ 310,011,025 | $ — | ||||
Convertible Bonds | 6,907,888 | — | 6,907,888 | — | ||||
Corporate Bonds | 490,964,776 | — | 490,964,776 | — | ||||
Foreign Government Obligations | 1,613,587,876 | — | 1,613,587,876 | — | ||||
Senior Floating Rate Interests | 98,066,727 | — | 98,066,727 | — | ||||
U.S. Government Agencies | 60,545,374 | — | 60,545,374 | — | ||||
U.S. Government Securities | 157,584,066 | — | 157,584,066 | — | ||||
Common Stocks | ||||||||
United States | 23,830 | — | 23,830 | — | ||||
Escrows | 1,979,923 | — | 1,979,923 | — | ||||
Short-Term Investments | 800,325,513 | 3,229,627 | 797,095,886 | — | ||||
Purchased Options | 2,695,151 | 2,498,331 | 196,820 | — | ||||
Foreign Currency Contracts(2) | 37,639,672 | — | 37,639,672 | — | ||||
Futures Contracts(2) | 5,832,220 | 5,832,220 | — | — | ||||
Swaps - Credit Default(2) | 1,137,450 | — | 1,137,450 | — | ||||
Swaps - Interest Rate(2) | 20,471,779 | — | 20,471,779 | — | ||||
Total | $ 3,607,773,270 | $ 11,560,178 | $ 3,596,213,092 | $ — | ||||
Liabilities | ||||||||
Foreign Currency Contracts(2) | $ (97,264,336) | $ — | $ (97,264,336) | $ — | ||||
Futures Contracts(2) | (3,543,915) | (3,543,915) | — | — | ||||
Swaps - Credit Default(2) | (1,995,551) | — | (1,995,551) | — | ||||
Swaps - Interest Rate(2) | (19,394,938) | — | (19,394,938) | — | ||||
Written Options | (1,556,338) | (1,556,338) | — | — | ||||
Total | $ (123,755,078) | $ (5,100,253) | $ (118,654,825) | $ — |
(1) | For the period ended January 31, 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. |
263 |
264 |
Other Abbreviations: | |
ACWI | All Country World Index |
ADR | American Depositary Receipt |
AGM | Assured Guaranty Municipal |
AMBAC | American Municipal Bond Assurance Co. |
ASA | Allmennaksjeselskap |
BAM | Build America Mutual Assurance Corp. |
BBSW | Bank Bill Swap Reference Rate |
Bhd | Berhad |
BUBOR | Budapest Interbank Offered Rate |
BZDIOVRA | Brazil Cetip Interbank Deposit Rate |
CDOR | Canadian Dollar Offered Rate |
CJSC | Closed Joint Stock Company |
CLICP | Sinacofi Chile Interbank Offered Rate |
CLO | Collateralized Loan Obligation |
CMO | Collateralized Mortgage Obligation |
CR | Custodial Receipts |
ETF | Exchange-Traded Fund |
EURIBOR | Euro Interbank Offered Rate |
FHA | Federal Housing Authority |
FHLB | Federal Home Loan Bank |
FHLMC | Federal Home Loan Mortgage Corp. |
FNMA | Federal National Mortgage Association |
GDR | Global Depositary Receipt |
GNMA | Government National Mortgage Association |
HUD | Housing and Urban Development |
JIBAR | Johannesburg Interbank Agreed Rate |
JSC | Joint Stock Company |
KGaA | Kommanditgesellschaft Auf Aktien |
LIBOR | London Interbank Offered Rate |
LME | London Metal Exchange |
MIBOR | Mumbai Inter-Bank Offered Rate |
MSCI | Morgan Stanley Capital International |
NATL | National Public Finance Guarantee Corp. |
NIBOR | Norwegian Interbank Offered Rate |
NVDR | Non-Voting Depositary Receipt |
Nyrt | New York REIT Inc |
OJSC | Open Joint Stock Company |
PIK | Payment-in-kind |
PJSC | Private Joint Stock Company |
PRIBOR | Prague Interbank Offered Rate |
PSF-GTD | Permanent School Fund Guaranteed |
PT | Perseroan Terbatas |
Q-SBLF | Qualified School Bond Loan Fund |
RBOB | Reformulated Blendstock for Oxygenate Blending |
REIT | Real Estate Investment Trust |
SD CRED PROG | School District Credit Enhancement Program |
SOFR | Secured Overnight Financing Rate |
SONIA | Sterling Overnight Index Average |
SPDR | Standard & Poor's Depositary Receipt |
ST APPROP | State Appropriation |
ST GTD | State Guaranteed |
ST INTERCEPT | State Intercept Program |
STIBOR | Stockholm Interbank Offered Rate |
TBA | To Be Announced |
Tbk | Terbuka |
TCRS | Tennessee Consolidated Retirement System |
TIIE | Interbank Equilibrium Interest Rate |
ULSD | Ultra-Low Sulfur Diesel |
UMBS | Uniform Mortgage-Backed Securities |
WIBOR | Warsaw Interbank Offered Rate |
WTI | West Texas Intermediate |
265 |
1. | Investment Valuation and Fair Value Measurements: |
For purposes of calculating the net asset value per share ("NAV") of each class of each Fund, portfolio securities and other assets held in the Fund’s portfolio for which market prices are readily available are valued at market value. Market value is generally determined on the basis of official close price or last reported trade price. If no trades were reported, market value is based on prices obtained from a quotation reporting system, established market makers (including evaluated prices), or independent pricing services. Pricing vendors may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data, credit quality information, general market conditions, news, and other factors and assumptions. | |
With respect to a Fund's investments that do not have readily available market prices, the Company's Board of Directors (the "Board") has designated Hartford Funds Management Company, LLC (the "Investment Manager") as its valuation designee to perform fair valuations pursuant to Rule 2a-5 under the 1940 Act (the "Valuation Designee"). | |
If market prices are not readily available or are deemed unreliable, the Valuation Designee determines the fair value of the security or other instrument in good faith under policies and procedures approved by and under the supervision of the Board ("Valuation Procedures"). | |
The Valuation Designee has delegated the day-to-day responsibility for implementing the Valuation Procedures to the Valuation Committee. The Valuation Committee will consider all available relevant factors in determining an investment’s fair value. The Valuation Designee reports fair value matters to the Audit Committee of the Board. | |
Prices of foreign equities that are principally traded on certain foreign markets will generally be adjusted daily pursuant to a fair value pricing service in order to reflect an adjustment for the factors occurring after the close of certain foreign markets but before the NYSE Close. Securities and other instruments that are primarily traded on foreign markets may trade on days that are not business days of the Funds. The value of the foreign securities or other instruments in which a Fund invests may change on days when a shareholder will not be able to purchase, redeem or exchange shares of the Fund. | |
Fixed income investments (other than short-term obligations) and non-exchange traded derivatives held by a Fund are normally valued at prices supplied by independent pricing services in accordance with the Valuation Procedures. Short-term investments maturing in 60 days or less are generally valued at amortized cost, which approximates fair value. | |
Exchange-traded derivatives, such as options, futures and options on futures, are valued at the last sale price determined by the exchange where such instruments principally trade as of the close of such exchange (“Exchange Close”). If a last sale price is not available, the value will be the mean of the most recently quoted bid and ask prices as of the Exchange Close. If a mean of the bid and ask prices cannot be calculated for the day, the value will be the most recently quoted bid price as of the Exchange Close. Over-the-counter derivatives are normally valued based on prices supplied by independent pricing services in accordance with the Valuation Procedures. | |
Investments valued in currencies other than U.S. dollars are converted to U.S. dollars using the prevailing spot currency exchange rates obtained from independent pricing services for calculation of the NAV. As a result, the NAV of a Fund’s shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of securities or other instruments traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the Exchange is closed and the market value may change on days when an investor is not able to purchase, redeem or exchange shares of a Fund. | |
Foreign currency contracts represent agreements to exchange currencies on specific future dates at predetermined rates. Foreign currency contracts are valued using foreign currency exchange rates and forward rates as provided by an independent pricing service on the Valuation Date. | |
Shares of investment companies listed and traded on an exchange are valued in the same manner as any exchange-listed equity security. Investments in investment companies that are not listed or traded on an exchange ("Non-Traded Funds"), if any, are valued at the respective NAV of each Non-Traded Fund on the Valuation Date. Such Non-Traded Funds and listed investment companies may use fair value pricing as disclosed in their prospectuses. | |
Financial instruments for which prices are not available from an independent pricing service may be valued using quotations obtained from one or more dealers that make markets in the respective financial instrument in accordance with the Valuation Procedures. | |
U.S. Generally Accepted Accounting Principles ("U.S. GAAP") defines fair value as the price that a Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants. The U.S. GAAP fair value measurement standards require disclosure of a fair value hierarchy for each major category of assets and liabilities. Various inputs are used in determining the fair value of each Fund’s investments. These inputs are summarized into three broad hierarchy levels. This hierarchy is based on whether the valuation inputs are observable or unobservable. |
266 |
These levels are: |
• | Level 1 – Quoted prices in active markets for identical investments. Level 1 may include exchange traded instruments, such as domestic equities, some foreign equities, options, futures, mutual funds, exchange traded funds, rights and warrants. |
• | Level 2 – Observable inputs other than Level 1 prices, such as quoted prices for similar investments; quoted prices in markets that are not active; or other inputs that are observable or can be corroborated by observable market data. Level 2 may include debt investments that are traded less frequently than exchange traded instruments and which are valued using independent pricing services; foreign equities, which are principally traded on certain foreign markets and are adjusted daily pursuant to a fair value pricing service in order to reflect an adjustment for the factors occurring after the close of certain foreign markets but before the NYSE Close; senior floating rate interests, which are valued using an aggregate of dealer bids; short-term investments, which are valued at amortized cost; and swaps, which are valued based upon the terms of each swap contract. |
• | Level 3 – Significant unobservable inputs that are supported by limited or no market activity. Level 3 may include financial instruments whose values are determined using indicative market quotes or require significant management judgment or estimation. These unobservable valuation inputs may include estimates for current yields, maturity/duration, prepayment speed, and indicative market quotes for comparable investments along with other assumptions relating to credit quality, collateral value, complexity of the investment structure, general market conditions and liquidity. This category may include investments where trading has been halted or there are certain restrictions on trading. While these investments are priced using unobservable inputs, the valuation of these investments reflects the best available data and management believes the prices are a reasonable representation of exit price. |
2. | Affiliate Fund Transactions: |
A summary of affiliate fund transactions for the Balanced Retirement Fund, Checks and Balances Fund, Conservative Allocation Fund, Growth Allocation Fund and Moderate Allocation Fund for the period ended January 31, 2023 is as follows: | |
Affiliated Investment Companies | Beginning Value as of November 1, 2022 | Purchases at Cost | Proceeds from Sales | Net Realized Gain/(Loss) on Sales | Change in Unrealized Appreciation/ (Depreciation) | Ending Value as of January 31, 2023 | Shares as of January 31, 2023 | Dividend Income | Capital Gains Distribution | |||||||||
Hartford AARP Balanced Retirement Fund | ||||||||||||||||||
Hartford Multifactor Developed Markets (ex-US) ETF | $ 1,601,376 | $ 1,032,323 | $ — | $ — | $ 264,677 | $ 2,898,376 | 109,249 | $ 33,181 | $ — | |||||||||
Hartford Multifactor Emerging Markets ETF | 2,726,461 | 767,715 | — | — | 366,143 | 3,860,319 | 185,586 | 210,190 | — | |||||||||
Hartford Multifactor US Equity ETF | 823,646 | — | — | — | 35,387 | 859,033 | 21,195 | 10,170 | — |
267 |
Affiliated Investment Companies | Beginning Value as of November 1, 2022 | Purchases at Cost | Proceeds from Sales | Net Realized Gain/(Loss) on Sales | Change in Unrealized Appreciation/ (Depreciation) | Ending Value as of January 31, 2023 | Shares as of January 31, 2023 | Dividend Income | Capital Gains Distribution | |||||||||
Hartford AARP Balanced Retirement Fund – (continued) | ||||||||||||||||||
The Hartford World Bond Fund, Class F | $ 7,818,058 | $ 96,095 | $ 332,318 | $ (22,363) | $ 369,783 | $ 7,929,255 | 776,617 | $ — | $ — | |||||||||
Total | $12,969,541 | $1,896,133 | $332,318 | $(22,363) | $1,035,990 | $15,546,983 | 1,092,647 | $253,541 | $— | |||||||||
The Hartford Checks and Balances Fund | ||||||||||||||||||
Hartford Total Return Bond ETF | $ 444,889,471 | $ 7,904,750 | $ 24,622,648 | $ (5,305,566) | $ 34,995,419 | $ 457,861,426 | 13,385,804 | $ 3,259,306 | $ — | |||||||||
The Hartford Capital Appreciation Fund, Class F | 460,196,320 | 40,842,512 | 32,483,154 | (6,625,989) | 14,170,920 | 476,100,609 | 13,483,450 | 3,406,115 | 23,857,777 | |||||||||
The Hartford Dividend and Growth Fund, Class F | 459,839,865 | 36,822,225 | 25,996,999 | 2,415,408 | (484,251) | 472,596,249 | 15,612,694 | 2,840,253 | 20,199,271 | |||||||||
Total | $1,364,925,656 | $85,569,487 | $83,102,801 | $(9,516,147) | $48,682,088 | $1,406,558,284 | 42,481,948 | $9,505,674 | $44,057,048 | |||||||||
The Hartford Conservative Allocation Fund | ||||||||||||||||||
Hartford Core Bond ETF | $ 20,713,165 | $ — | $ — | $ — | $ 1,310,359 | $ 22,023,524 | 624,873 | $ 148,630 | $ — | |||||||||
Hartford Core Equity Fund, Class F | 11,641,553 | 464,395 | 344,229 | (41,580) | 120,457 | 11,840,596 | 289,926 | 147,396 | 315,887 | |||||||||
Hartford Large Cap Growth ETF | 2,955,709 | — | — | — | 244,498 | 3,200,207 | 245,603 | — | — | |||||||||
Hartford Multifactor Developed Markets (ex-US) ETF | 3,128,346 | — | — | — | 510,190 | 3,638,536 | 137,148 | 32,410 | — | |||||||||
Hartford Multifactor US Equity ETF | 4,063,826 | — | — | — | 174,599 | 4,238,425 | 104,575 | 25,089 | — | |||||||||
Hartford Schroders Commodity Strategy ETF | 1,114,100 | — | — | — | (34,891) | 1,079,209 | 64,662 | 7,119 | — | |||||||||
Hartford Schroders Emerging Markets Equity Fund, Class F | 983,081 | 21,414 | 139,536 | (33,243) | 234,834 | 1,066,550 | 66,743 | 21,416 | — | |||||||||
Hartford Schroders International Multi-Cap Value Fund, Class F | 1,603,951 | 880,893 | 717,023 | (14,238) | 289,171 | 2,042,754 | 217,314 | 39,955 | — | |||||||||
Hartford Schroders Sustainable Core Bond Fund, Class F | 16,370,971 | 498,117 | 588,345 | (92,401) | 1,002,963 | 17,191,305 | 1,951,340 | 171,856 | — | |||||||||
Hartford Small Cap Value Fund, Class F | 1,592,159 | 161,591 | 101,132 | 4,058 | 16,551 | 1,673,227 | 145,498 | 30,594 | 113,788 | |||||||||
The Hartford Equity Income Fund, Class F | 3,742,538 | 412,563 | 258,669 | 1,380 | (162,534) | 3,735,278 | 181,060 | 28,899 | 355,206 |
268 |
Affiliated Investment Companies | Beginning Value as of November 1, 2022 | Purchases at Cost | Proceeds from Sales | Net Realized Gain/(Loss) on Sales | Change in Unrealized Appreciation/ (Depreciation) | Ending Value as of January 31, 2023 | Shares as of January 31, 2023 | Dividend Income | Capital Gains Distribution | |||||||||
The Hartford Conservative Allocation Fund – (continued) | ||||||||||||||||||
The Hartford Growth Opportunities Fund, Class F | $ 908,752 | $ 2,625 | $ 399,926 | $ (72,110) | $ 121,216 | $ 560,557 | 15,233 | $ — | $ — | |||||||||
The Hartford Inflation Plus Fund, Class F | 5,159,295 | 209,219 | 92,220 | (8,294) | 97,972 | 5,365,972 | 525,561 | 31,867 | — | |||||||||
The Hartford International Growth Fund, Class F | 1,071,735 | 3,178 | 954,175 | (80,823) | 229,897 | 269,812 | 18,048 | 3,178 | — | |||||||||
The Hartford International Opportunities Fund, Class F | 2,132,973 | 21,905 | 390,560 | (29,437) | 418,693 | 2,153,574 | 129,266 | 21,904 | — | |||||||||
The Hartford Small Company Fund, Class F | 1,599,011 | 92,314 | 77,748 | (28,150) | 67,875 | 1,653,302 | 88,412 | — | — | |||||||||
The Hartford Strategic Income Fund, Class F | 9,231,699 | 292,071 | 408,786 | (72,373) | 802,712 | 9,845,323 | 1,268,727 | 132,016 | — | |||||||||
The Hartford World Bond Fund, Class F | 15,437,452 | 827,184 | 561,911 | (32,750) | 735,179 | 16,405,154 | 1,606,773 | — | — | |||||||||
Total | $103,450,316 | $3,887,469 | $5,034,260 | $(499,961) | $6,179,741 | $107,983,305 | 7,680,762 | $842,329 | $784,881 | |||||||||
The Hartford Growth Allocation Fund | ||||||||||||||||||
Hartford Core Bond ETF | $ 32,018,289 | $ — | $ — | $ — | $ 2,025,544 | $ 34,043,833 | 965,925 | $ 229,752 | $ — | |||||||||
Hartford Core Equity Fund, Class F | 95,779,674 | 3,813,130 | 3,630,046 | (111,570) | 597,471 | 96,448,659 | 2,361,623 | 1,180,910 | 2,632,219 | |||||||||
Hartford Large Cap Growth ETF | 31,685,142 | — | — | — | 2,621,011 | 34,306,153 | 2,632,859 | — | — | |||||||||
Hartford Multifactor Developed Markets (ex-US) ETF | 34,631,830 | — | — | — | 5,647,979 | 40,279,809 | 1,518,274 | 358,794 | — | |||||||||
Hartford Multifactor US Equity ETF | 49,234,028 | — | — | — | 2,115,293 | 51,349,321 | 1,266,946 | 303,957 | — | |||||||||
Hartford Schroders Commodity Strategy ETF | 10,220,185 | — | — | — | (320,077) | 9,900,108 | 593,176 | 65,304 | — | |||||||||
Hartford Schroders Emerging Markets Equity Fund, Class F | 11,411,040 | 259,301 | 1,014,974 | (210,030) | 2,611,387 | 13,056,724 | 817,067 | 259,301 | — | |||||||||
Hartford Schroders International Multi-Cap Value Fund, Class F | 18,428,609 | 348,890 | 1,632,741 | (174,211) | 3,199,673 | 20,170,220 | 2,145,768 | 348,890 | — |
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Affiliated Investment Companies | Beginning Value as of November 1, 2022 | Purchases at Cost | Proceeds from Sales | Net Realized Gain/(Loss) on Sales | Change in Unrealized Appreciation/ (Depreciation) | Ending Value as of January 31, 2023 | Shares as of January 31, 2023 | Dividend Income | Capital Gains Distribution | |||||||||
The Hartford Growth Allocation Fund – (continued) | ||||||||||||||||||
Hartford Schroders Sustainable Core Bond Fund, Class F | $ 26,092,673 | $ 276,114 | $ — | $ — | $ 1,443,163 | $ 27,811,950 | 3,156,861 | $ 276,114 | $ — | |||||||||
Hartford Small Cap Value Fund, Class F | 17,697,452 | 1,642,628 | 668,976 | (69,383) | 302,820 | 18,904,541 | 1,643,873 | 348,066 | 1,294,564 | |||||||||
The Hartford Equity Income Fund, Class F | 46,940,731 | 5,010,853 | 1,383,227 | 8,193 | (2,217,308) | 48,359,242 | 2,344,122 | 374,396 | 4,636,458 | |||||||||
The Hartford Growth Opportunities Fund, Class F | 18,206,768 | — | 6,240,685 | (2,473,036) | 3,344,933 | 12,837,980 | 348,858 | — | — | |||||||||
The Hartford International Growth Fund, Class F | 13,736,368 | 127,381 | 6,044,108 | (1,116,074) | 3,873,456 | 10,577,023 | 707,493 | 127,381 | — | |||||||||
The Hartford International Opportunities Fund, Class F | 28,856,535 | 308,901 | 4,321,940 | (552,688) | 6,043,006 | 30,333,814 | 1,820,757 | 308,899 | — | |||||||||
The Hartford Small Company Fund, Class F | 16,838,392 | — | — | — | 396,306 | 17,234,698 | 921,642 | — | — | |||||||||
The Hartford Strategic Income Fund, Class F | 14,051,769 | 204,033 | — | — | 1,119,728 | 15,375,530 | 1,981,383 | 204,033 | — | |||||||||
The Hartford World Bond Fund, Class F | 23,676,633 | 12,941,150 | — | — | 1,310,693 | 37,928,476 | 3,714,836 | — | — | |||||||||
Total | $489,506,118 | $24,932,381 | $24,936,697 | $(4,698,799) | $34,115,078 | $518,918,081 | 28,941,463 | $4,385,797 | $8,563,241 | |||||||||
Hartford Moderate Allocation Fund | ||||||||||||||||||
Hartford Core Bond ETF | $ 42,661,782 | $ — | $ — | $ — | $ 2,698,875 | $ 45,360,657 | 1,287,017 | $ 306,126 | $ — | |||||||||
Hartford Core Equity Fund, Class F | 57,034,410 | 2,267,708 | 2,072,915 | (507,338) | 822,059 | 57,543,924 | 1,409,009 | 706,229 | 1,561,479 | |||||||||
Hartford Large Cap Growth ETF | 13,343,132 | — | — | — | 1,103,750 | 14,446,882 | 1,108,740 | — | — | |||||||||
Hartford Multifactor Developed Markets (ex-US) ETF | 18,040,703 | — | — | — | 2,942,193 | 20,982,896 | 790,912 | 186,906 | — | |||||||||
Hartford Multifactor US Equity ETF | 19,316,689 | — | — | — | 829,923 | 20,146,612 | 497,079 | 119,256 | — | |||||||||
Hartford Schroders Commodity Strategy ETF | 5,531,339 | — | — | — | (173,231) | 5,358,108 | 321,037 | 35,344 | — | |||||||||
Hartford Schroders Emerging Markets Equity Fund, Class F | 5,963,068 | 128,580 | 784,891 | (188,933) | 1,416,381 | 6,534,205 | 408,899 | 128,579 | — |
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Affiliated Investment Companies | Beginning Value as of November 1, 2022 | Purchases at Cost | Proceeds from Sales | Net Realized Gain/(Loss) on Sales | Change in Unrealized Appreciation/ (Depreciation) | Ending Value as of January 31, 2023 | Shares as of January 31, 2023 | Dividend Income | Capital Gains Distribution | |||||||||
Hartford Moderate Allocation Fund – (continued) | ||||||||||||||||||
Hartford Schroders International Multi-Cap Value Fund, Class F | $ 9,739,490 | $ 2,580,432 | $ 3,368,829 | $ (330,178) | $ 1,946,690 | $ 10,567,605 | 1,124,213 | $ 198,609 | $ — | |||||||||
Hartford Schroders Sustainable Core Bond Fund, Class F | 32,971,285 | 675,512 | 319,271 | (49,750) | 1,890,331 | 35,168,107 | 3,991,840 | 350,003 | — | |||||||||
Hartford Small Cap Value Fund, Class F | 8,119,027 | 730,251 | 642,327 | 53,727 | 42,537 | 8,303,215 | 722,019 | 154,737 | 575,515 | |||||||||
The Hartford Equity Income Fund, Class F | 19,354,854 | 1,966,446 | 1,574,419 | 53,445 | (872,555) | 18,927,771 | 917,488 | 147,175 | 1,819,272 | |||||||||
The Hartford Growth Opportunities Fund, Class F | 5,221,990 | — | 1,965,797 | (187,177) | 449,590 | 3,518,606 | 95,614 | — | — | |||||||||
The Hartford International Growth Fund, Class F | 7,341,594 | 57,716 | 3,821,000 | (721,366) | 2,122,387 | 4,979,331 | 333,066 | 57,715 | — | |||||||||
The Hartford International Opportunities Fund, Class F | 14,640,062 | 148,428 | 2,602,910 | (222,219) | 2,936,206 | 14,899,567 | 894,332 | 148,428 | — | |||||||||
The Hartford Small Company Fund, Class F | 7,715,387 | — | — | — | 181,589 | 7,896,976 | 422,298 | — | — | |||||||||
The Hartford Strategic Income Fund, Class F | 18,404,287 | 264,492 | 283,456 | (47,243) | 1,508,534 | 19,846,614 | 2,557,553 | 264,492 | — | |||||||||
The Hartford World Bond Fund, Class F | 30,114,359 | 3,992,790 | — | — | 1,433,515 | 35,540,664 | 3,480,966 | — | — | |||||||||
Total | $315,513,458 | $12,812,355 | $17,435,815 | $(2,147,032) | $21,278,774 | $330,021,740 | 20,362,082 | $2,803,599 | $3,956,266 |
3. | Subsequent Events: |
The banking sector has recently been subject to increased market volatility. As a result, a Fund’s investments in the banking sector are subject to increased volatility risk. It is unknown whether such volatility will continue. |
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