CREDIT DERIVATIVES AND CREDIT-RELATED CONTINGENCY FEATURES (Tables)

3 Months Ended

Mar. 31, 2026

CREDIT DERIVATIVES AND CREDIT-RELATED CONTINGENCY FEATURES [Abstract]

Credit derivatives generally require the seller to make a payment to the buyer in the event the underlying referenced security or index to the contract defaults or another triggering event, as defined in the applicable derivative contract, occurs. The Trust sells credit derivative contracts for speculative investment purposes. The following table summarizes the notional amounts of credit derivative contracts sold by the Trust by their maturity for contracts which are outstanding at March 31, 2026 and December 31, 2025. Notional amounts are disclosed as they represent the maximum potential payout, however, management believes that the carrying value of these contracts is a more relevant measure of these obligations. At March 31, 2026, the carrying value of such credit derivative contracts sold was $(5,386,413). At December 31, 2025, the carrying value of such credit derivative contracts purchased was $26,945,598.

	March 31, 2026				December 31, 2025
Credit Default Index Swaps	Maturity Date: June 2031				Maturity Date: December 2030
Investment grade		$	(244,611,675	)		$	667,773,760
Non-investment grade			37,751,005				246,875,320
Total		$	(206,860,670	)		$	914,649,080

- Definition

Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note).

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