Futures Contracts | |||||
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 2-Year Treasury Note | 92 | Long | 12/30/22 | $ 18,895,937 | $ (293,142) |
U.S. 10-Year Treasury Note | 17 | Long | 12/20/22 | 1,905,062 | (97,896) |
U.S. Long Treasury Bond | 39 | Long | 12/20/22 | 4,929,844 | (368,979) |
U.S. Ultra Long Treasury Bond | 133 | Long | 12/20/22 | 18,221,000 | (1,703,940) |
U.S. 5-Year Treasury Note | (71) | Short | 12/30/22 | (7,633,055) | 17,059 |
U.S. Ultra 10-Year Treasury Note | (155) | Short | 12/20/22 | (18,365,078) | 1,165,447 |
$(1,281,451) |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Interest/ Dividend income | Principal amount/ Units/Shares, end of period |
Commercial Mortgage-Backed Securities | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C29, Class C, 4.886%, 5/15/49 | $1,014,911 | $ — | $ — | $ — | $(123,488) | $891,423 | $35,884 | $993,200 |
Morgan Stanley Capital I Trust: | ||||||||
Series 2016-UBS12, Class D, 3.312%, 12/15/49 | 1,017,226 | — | — | — | (85,372) | 942,737 | 43,346 | 1,745,000 |
Series 2019-BPR, Class A, 4.468%, (1 mo. USD LIBOR + 1.65%), 5/15/36 | 2,493,382 | — | (310,621) | — | (26,215) | 2,156,541 | 43,879 | 2,210,379 |
Short-Term Investments | ||||||||
Eaton Vance Cash Reserves Fund, LLC | 38,096,434 | 122,078,814 | (160,176,574) | 1,326 | — | — | 2,657 | — |
Liquidity Fund, Institutional Class(1) | — | 106,594,842 | (89,318,975) | — | — | 17,275,867 | 55,378 | 17,275,867 |
Total | $1,326 | $(235,075) | $21,266,568 | $181,144 |
(1) | Represents investment in Morgan Stanley Institutional Liquidity Funds - Government Portfolio. |
• | Level 1 – quoted prices in active markets for identical investments |
• | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 – significant unobservable inputs (including a fund's own assumptions in determining the fair value of investments) |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Asset-Backed Securities | $ — | $ 59,146,289 | $ — | $ 59,146,289 |
Collateralized Mortgage Obligations | — | 13,424,216 | — | 13,424,216 |
Commercial Mortgage-Backed Securities | — | 60,687,015 | — | 60,687,015 |
Corporate Bonds | — | 170,789,853 | — | 170,789,853 |
Preferred Stocks | 3,467,894 | — | — | 3,467,894 |
Senior Floating-Rate Loans | — | 3,697,285 | — | 3,697,285 |
Taxable Municipal Obligations | — | 8,809,641 | — | 8,809,641 |
U.S. Government Agency Mortgage-Backed Securities | — | 63,029,058 | — | 63,029,058 |
Asset Description (continued) | Level 1 | Level 2 | Level 3 | Total |
U.S. Treasury Obligations | $ — | $177,467,717 | $ — | $177,467,717 |
Short-Term Investments | 17,275,867 | — | — | 17,275,867 |
Total Investments | $20,743,761 | $557,051,074 | $ — | $577,794,835 |
Futures Contracts | $ 1,182,506 | $ — | $ — | $ 1,182,506 |
Total | $21,926,267 | $557,051,074 | $ — | $578,977,341 |
Liability Description | ||||
Futures Contracts | $(2,463,957) | $ — | $ — | $ (2,463,957) |
Total | $(2,463,957) | $ — | $ — | $ (2,463,957) |