| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| (x) | The following represents restricted securities that are acquired in unregistered, private sales from the issuing company or from an affiliate of the issuer and is considered restricted as to disposition under federal securities law. |
| Issuer | Acquisition Date | Original Cost | Market Value | Percentage of Net Assets | ||||
| Diamond Sports Group LLC* | 01/02/25 | $70,103 | $5,034 | 0.0% | ||||
| Diamond Sports Group LLC, expiring 06/30/26* | 01/02/25 | — | — | 0.0 | ||||
| Digicel International Finance Ltd./DIFL US LLC (Jamaica), Sr. Sec’d. Notes, 144A, 8.625%, 08/01/32 | 07/30/25-08/13/25 | 406,500 | 407,949 | 0.0 | ||||
| Invitation Homes Operating Partnership LP, Gtd. Notes, 2.000%, 08/15/31 | 10/15/24 | 225,295 | 231,433 | 0.0 | ||||
| Invitation Homes Operating Partnership LP, Gtd. Notes, 4.875%, 02/01/35 | 09/23/24 | 662,460 | 639,631 | 0.0 | ||||
| Invitation Homes Operating Partnership LP, Gtd. Notes, 5.450%, 08/15/30 | 01/24/24 | 320,340 | 325,612 | 0.0 | ||||
| Total | $1,684,698 | $1,609,659 | 0.0% | |||||
| OTC Traded | ||||||||||||||||
| Description | Call/ Put | Counterparty | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | |||||||||
| 2-Year 30 CMS Curve CAP | Call | BOA | 05/13/26 | 1.30% | — | 4,102 | $— | |||||||||
| 2-Year 30 CMS Curve CAP | Call | BOA | 05/13/26 | 1.30% | — | 23,952 | — | |||||||||
| 2-Year 30 CMS Curve CAP | Call | CITI | 05/13/26 | 1.30% | — | 8,205 | — | |||||||||
| 2-Year 30 CMS Curve CAP | Call | CITI | 05/13/26 | 1.30% | — | 47,905 | — | |||||||||
| Currency Option EUR vs HUF | Call | CITI | 04/14/26 | 500.00 | — | EUR | 2,989 | 10 | ||||||||
| Currency Option EUR vs USD | Call | MSI | 04/14/26 | 1.25 | — | EUR | 5,978 | 20 | ||||||||
| Currency Option USD vs BRL | Call | DB | 04/01/26 | 5.45 | — | 3,510 | — | |||||||||
| Currency Option USD vs BRL | Call | CITI | 04/01/26 | 7.00 | — | 3,510 | — | |||||||||
| Currency Option USD vs BRL | Call | CITI | 04/09/26 | 6.50 | — | 3,471 | 15 | |||||||||
| Currency Option USD vs CNH | Call | CITI | 06/17/26 | 6.85 | — | 13,669 | 91,735 | |||||||||
| Currency Option USD vs COP | Call | JPM | 04/09/26 | 4,700.00 | — | 3,471 | — | |||||||||
| Currency Option USD vs COP | Call | CITI | 04/28/26 | 4,500.00 | — | 3,360 | 114 | |||||||||
| Currency Option USD vs INR | Call | MSI | 04/21/26 | 93.00 | — | 6,835 | 98,203 | |||||||||
| Currency Option USD vs INR | Call | MSI | 04/21/26 | 94.25 | — | 6,835 | 51,671 | |||||||||
| Currency Option USD vs INR | Call | CITI | 05/04/26 | 110.00 | — | 3,340 | 160 | |||||||||
| Currency Option USD vs KRW | Call | DB | 04/09/26 | 1,700.00 | — | 6,943 | 366 | |||||||||
| Currency Option USD vs KRW | Call | CITI | 04/21/26 | 1,750.00 | — | 11,757 | 1,683 | |||||||||
| Currency Option USD vs MXN | Call | CITI | 04/23/26 | 23.00 | — | 3,372 | 197 | |||||||||
| Currency Option USD vs MXN | Call | MSI | 04/23/26 | 23.00 | — | 3,360 | 196 | |||||||||
| Currency Option USD vs PLN | Call | MSI | 06/11/26 | 3.76 | — | 6,914 | 87,202 | |||||||||
| Currency Option USD vs TRY | Call | BOA | 04/10/26 | 99.00 | — | 6,943 | 586 | |||||||||
| Currency Option USD vs ZAR | Call | MSI | 04/01/26 | 21.00 | — | 3,498 | — | |||||||||
| Currency Option USD vs ZAR | Call | CITI | 04/23/26 | 23.00 | — | 6,743 | 243 | |||||||||
| Currency Option USD vs BRL | Put | CITI | 04/14/26 | 4.60 | — | 3,437 | 1 | |||||||||
| Currency Option USD vs BRL | Put | CITI | 04/16/26 | 4.60 | — | 3,417 | 3 | |||||||||
| Currency Option USD vs BRL | Put | MSI | 04/22/26 | 4.60 | — | 3,401 | 8 | |||||||||
| Currency Option USD vs COP | Put | CITI | 04/15/26 | 3,300.00 | — | 3,421 | 4 | |||||||||
| Currency Option USD vs COP | Put | MSI | 05/04/26 | 3,200.00 | — | 10,056 | 125 | |||||||||
| Currency Option USD vs CZK | Put | MSI | 05/04/26 | 19.00 | — | 3,340 | 20 | |||||||||
| Currency Option USD vs HUF | Put | CITI | 06/11/26 | 260.00 | — | 6,914 | 103 | |||||||||
| Currency Option USD vs INR | Put | CITI | 04/07/26 | 85.00 | — | 5,247 | — | |||||||||
| Currency Option USD vs INR | Put | MSI | 04/21/26 | 88.00 | — | 6,835 | 176 | |||||||||
| Currency Option USD vs INR | Put | MSI | 04/21/26 | 88.00 | — | 6,835 | 176 | |||||||||
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| OTC Traded | |||||||||||||||||
| Description | Call/ Put | Counterparty | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | ||||||||||
| Currency Option USD vs KRW | Put | CITI | 04/21/26 | 1,455.00 | — | 11,757 | $20,564 | ||||||||||
| Currency Option USD vs MXN | Put | MSI | 04/16/26 | 16.00 | — | 6,842 | 5 | ||||||||||
| Currency Option USD vs MXN | Put | CITI | 04/28/26 | 16.00 | — | 3,348 | 6 | ||||||||||
| Currency Option USD vs MXN | Put | MSI | 04/28/26 | 16.00 | — | 3,368 | 6 | ||||||||||
| Currency Option USD vs THB | Put | MSI | 04/16/26 | 29.00 | — | 3,417 | 4 | ||||||||||
| Currency Option USD vs TRY | Put | BARC | 04/24/26 | 46.00 | — | 3,360 | 54,357 | ||||||||||
| Currency Option USD vs TRY | Put | BOA | 10/22/26 | 53.50 | — | 5,288 | 245,092 | ||||||||||
| Currency Option USD vs TRY | Put | CITI | 10/22/26 | 53.50 | — | 5,288 | 245,092 | ||||||||||
| Total OTC Traded (cost $1,419,721) | $898,143 | ||||||||||||||||
| OTC Swaptions | |||||||||||||||||
| Description | Call/ Put | Counterparty | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | |||||||||
| 1-Year Interest Rate Swap, 02/07/29 | Call | JPM | 02/03/28 | 2.24% | 2.24%(A) | 3 Month EURIBOR(Q)/ 2.079% | EUR | 35,700 | $82,067 | ||||||||
| 1-Year Interest Rate Swap, 02/07/29 | Call | JPM | 02/03/28 | 2.24% | 2.24%(A) | 3 Month EURIBOR(Q)/ 2.079% | EUR | 6,760 | 15,540 | ||||||||
| 5-Year Interest Rate Swap, 08/13/31 | Call | CITI | 08/11/26 | 3.29% | 3.29%(A) | 1 Day SOFR(A)/ 3.680% | 10,458 | 52,984 | |||||||||
| 5-Year Interest Rate Swap, 08/13/31 | Call | CITI | 08/11/26 | 3.29% | 3.29%(A) | 1 Day SOFR(A)/ 3.680% | 1,989 | 10,077 | |||||||||
| 1-Year Interest Rate Swap, 09/23/27 | Put | CITI | 09/21/26 | 2.80% | 3 Month EURIBOR(Q)/ 2.079% | 2.80%(A) | EUR | 39,740 | 120,288 | ||||||||
| 1-Year Interest Rate Swap, 09/23/27 | Put | CITI | 09/21/26 | 2.80% | 3 Month EURIBOR(Q)/ 2.079% | 2.80%(A) | EUR | 7,765 | 23,504 | ||||||||
| 1-Year Interest Rate Swap, 09/23/27 | Put | CITI | 09/21/26 | 10.29% | 3 Month EURIBOR(Q)/ 2.079% | 10.29%(A) | EUR | 39,740 | 220 | ||||||||
| 1-Year Interest Rate Swap, 09/23/27 | Put | CITI | 09/21/26 | 10.29% | 3 Month EURIBOR(Q)/ 2.079% | 10.29%(A) | EUR | 7,765 | 43 | ||||||||
| 1-Year Interest Rate Swap, 03/23/28 | Put | JPM | 03/19/27 | 3.82% | 1 Day SOFR(T)/ 3.680% | 3.82%(T) | 58,640 | 162,735 | |||||||||
| 1-Year Interest Rate Swap, 03/23/28 | Put | JPM | 03/19/27 | 11.07% | 1 Day SOFR(T)/ 3.680% | 11.07%(T) | 58,640 | 133 | |||||||||
| 2-Year Interest Rate Swap, 09/30/28 | Put | CITI | 09/28/26 | 3.61% | 1 Day SOFR(A)/ 3.680% | 3.61%(A) | 11,390 | 60,832 | |||||||||
| 2-Year Interest Rate Swap, 09/30/28 | Put | CITI | 09/28/26 | 7.22% | 1 Day SOFR(A)/ 3.680% | 7.22%(A) | 11,390 | 134 | |||||||||
| 2-Year Interest Rate Swap, 11/06/28 | Put | BNP | 11/04/26 | 3.21% | 1 Day SOFR(A)/ 3.680% | 3.21%(A) | 63,625 | 647,927 | |||||||||
| 2-Year Interest Rate Swap, 11/06/28 | Put | BNP | 11/04/26 | 3.21% | 1 Day SOFR(A)/ 3.680% | 3.21%(A) | 11,545 | 117,569 | |||||||||
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| OTC Swaptions | |||||||||||||||||
| Description | Call/ Put | Counterparty | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | |||||||||
| 2-Year Interest Rate Swap, 11/06/28 | Put | BNP | 11/04/26 | 8.19% | 1 Day SOFR(A)/ 3.680% | 8.19%(A) | 63,625 | $570 | |||||||||
| 2-Year Interest Rate Swap, 11/06/28 | Put | BNP | 11/04/26 | 8.19% | 1 Day SOFR(A)/ 3.680% | 8.19%(A) | 11,545 | 103 | |||||||||
| 5-Year Interest Rate Swap, 08/13/31 | Put | CITI | 08/11/26 | 3.89% | 1 Day SOFR(A)/ 3.680% | 3.89%(A) | 10,458 | 64,373 | |||||||||
| 5-Year Interest Rate Swap, 08/13/31 | Put | CITI | 08/11/26 | 3.89% | 1 Day SOFR(A)/ 3.680% | 3.89%(A) | 1,989 | 12,243 | |||||||||
| Total OTC Swaptions (cost $647,113) | $1,371,342 | ||||||||||||||||
| Total Options Purchased (cost $2,066,834) | $2,269,485 | ||||||||||||||||
| OTC Traded | |||||||||||||||||
| Description | Call/ Put | Counterparty | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | ||||||||||
| Currency Option EUR vs HUF | Call | CITI | 04/14/26 | 400.00 | — | EUR | 2,989 | $(22,290) | |||||||||
| Currency Option EUR vs USD | Call | MSI | 04/14/26 | 1.17 | — | EUR | 5,978 | (18,963) | |||||||||
| Currency Option USD vs BRL | Call | CITI | 04/01/26 | 5.45 | — | 3,510 | — | ||||||||||
| Currency Option USD vs BRL | Call | CITI | 04/09/26 | 5.29 | — | 3,471 | (12,460) | ||||||||||
| Currency Option USD vs COP | Call | JPM | 04/09/26 | 3,800.00 | — | 3,471 | (2,672) | ||||||||||
| Currency Option USD vs COP | Call | CITI | 04/28/26 | 3,800.00 | — | 3,360 | (18,307) | ||||||||||
| Currency Option USD vs INR | Call | MSI | 04/21/26 | 94.00 | — | 6,835 | (59,029) | ||||||||||
| Currency Option USD vs INR | Call | MSI | 04/21/26 | 96.00 | — | 6,835 | (20,248) | ||||||||||
| Currency Option USD vs INR | Call | CITI | 05/04/26 | 95.60 | — | 3,340 | (18,939) | ||||||||||
| Currency Option USD vs KRW | Call | DB | 04/09/26 | 1,480.00 | — | 6,943 | (151,470) | ||||||||||
| Currency Option USD vs KRW | Call | CITI | 04/21/26 | 1,470.00 | — | 11,757 | (344,291) | ||||||||||
| Currency Option USD vs MXN | Call | MSI | 04/23/26 | 17.85 | — | 3,360 | (54,247) | ||||||||||
| Currency Option USD vs MXN | Call | CITI | 04/23/26 | 18.25 | — | 3,372 | (27,444) | ||||||||||
| Currency Option USD vs TRY | Call | BOA | 04/10/26 | 45.50 | — | 6,943 | (35,803) | ||||||||||
| Currency Option USD vs ZAR | Call | CITI | 04/23/26 | 18.00 | — | 6,743 | (25,859) | ||||||||||
| Currency Option USD vs BRL | Put | CITI | 04/14/26 | 5.12 | — | 3,437 | (12,563) | ||||||||||
| Currency Option USD vs BRL | Put | CITI | 04/16/26 | 5.15 | — | 3,417 | (20,419) | ||||||||||
| Currency Option USD vs BRL | Put | MSI | 04/22/26 | 5.25 | — | 3,401 | (61,259) | ||||||||||
| Currency Option USD vs COP | Put | CITI | 04/15/26 | 3,700.00 | — | 3,421 | (43,234) | ||||||||||
| Currency Option USD vs COP | Put | MSI | 05/04/26 | 3,670.00 | — | 10,056 | (119,906) | ||||||||||
| Currency Option USD vs CZK | Put | MSI | 05/04/26 | 21.40 | — | 3,340 | (49,246) | ||||||||||
| Currency Option USD vs HUF | Put | CITI | 06/11/26 | 320.00 | — | 6,914 | (75,515) | ||||||||||
| Currency Option USD vs INR | Put | CITI | 04/07/26 | 91.25 | — | 5,247 | (1,069) | ||||||||||
| Currency Option USD vs INR | Put | MSI | 04/21/26 | 92.50 | — | 6,835 | (18,613) | ||||||||||
| Currency Option USD vs INR | Put | MSI | 04/21/26 | 93.50 | — | 6,835 | (44,072) | ||||||||||
| Currency Option USD vs MXN | Put | MSI | 04/16/26 | 17.70 | — | 6,842 | (27,708) | ||||||||||
| Currency Option USD vs MXN | Put | MSI | 04/28/26 | 17.70 | — | 3,368 | (21,739) | ||||||||||
| Currency Option USD vs MXN | Put | CITI | 04/28/26 | 18.00 | — | 3,348 | (49,531) | ||||||||||
| Currency Option USD vs THB | Put | MSI | 04/16/26 | 32.15 | — | 3,417 | (15,530) | ||||||||||
| Currency Option USD vs TRY | Put | BOA | 10/22/26 | 48.00 | — | 5,288 | (23,422) | ||||||||||
| Currency Option USD vs TRY | Put | CITI | 10/22/26 | 48.00 | — | 5,288 | (23,422) | ||||||||||
| Total OTC Traded (premiums received $1,329,361) | $(1,419,270) | ||||||||||||||||
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| OTC Swaptions | |||||||||||||||||
| Description | Call/ Put | Counterparty | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | |||||||||
| 1-Year Interest Rate Swap, 02/07/29 | Call | JPM | 02/03/28 | 1.74% | 3 Month EURIBOR(Q)/ 2.079% | 1.74%(A) | EUR | 35,700 | $(39,350) | ||||||||
| 1-Year Interest Rate Swap, 02/07/29 | Call | JPM | 02/03/28 | 1.74% | 3 Month EURIBOR(Q)/ 2.079% | 1.74%(A) | EUR | 6,760 | (7,451) | ||||||||
| 5-Year Interest Rate Swap, 08/13/31 | Call | CITI | 08/11/26 | 3.09% | 1 Day SOFR(A)/ 3.680% | 3.09%(A) | 10,458 | (32,448) | |||||||||
| 5-Year Interest Rate Swap, 08/13/31 | Call | CITI | 08/11/26 | 3.09% | 1 Day SOFR(A)/ 3.680% | 3.09%(A) | 1,989 | (6,171) | |||||||||
| 1-Year Interest Rate Swap, 09/23/27 | Put | CITI | 09/21/26 | 3.24% | 3.24%(A) | 3 Month EURIBOR(Q)/ 2.079% | EUR | 79,480 | (120,953) | ||||||||
| 1-Year Interest Rate Swap, 09/23/27 | Put | CITI | 09/21/26 | 3.24% | 3.24%(A) | 3 Month EURIBOR(Q)/ 2.079% | EUR | 15,530 | (23,634) | ||||||||
| 1-Year Interest Rate Swap, 03/23/28 | Put | JPM | 03/19/27 | 4.27% | 4.27%(T) | 1 Day SOFR(T)/ 3.680% | 117,280 | (175,729) | |||||||||
| 2-Year Interest Rate Swap, 09/30/28 | Put | CITI | 09/28/26 | 3.86% | 3.86%(A) | 1 Day SOFR(A)/ 3.680% | 11,390 | (38,866) | |||||||||
| 2-Year Interest Rate Swap, 09/30/28 | Put | CITI | 09/28/26 | 4.11% | 4.11%(A) | 1 Day SOFR(A)/ 3.680% | 11,390 | (24,000) | |||||||||
| 2-Year Interest Rate Swap, 11/06/28 | Put | BNP | 11/04/26 | 3.49% | 3.49%(A) | 1 Day SOFR(A)/ 3.680% | 63,625 | (436,560) | |||||||||
| 2-Year Interest Rate Swap, 11/06/28 | Put | BNP | 11/04/26 | 3.49% | 3.49%(A) | 1 Day SOFR(A)/ 3.680% | 11,545 | (79,216) | |||||||||
| 2-Year Interest Rate Swap, 11/06/28 | Put | BNP | 11/04/26 | 3.69% | 3.69%(A) | 1 Day SOFR(A)/ 3.680% | 63,625 | (320,878) | |||||||||
| 2-Year Interest Rate Swap, 11/06/28 | Put | BNP | 11/04/26 | 3.69% | 3.69%(A) | 1 Day SOFR(A)/ 3.680% | 11,545 | (58,224) | |||||||||
| 5-Year Interest Rate Swap, 08/13/31 | Put | CITI | 08/11/26 | 3.69% | 3.69%(A) | 1 Day SOFR(A)/ 3.680% | 10,458 | (100,357) | |||||||||
| 5-Year Interest Rate Swap, 08/13/31 | Put | CITI | 08/11/26 | 3.69% | 3.69%(A) | 1 Day SOFR(A)/ 3.680% | 1,989 | (19,087) | |||||||||
| CDX.NA.HY.45.V2, 12/20/30 | Put | MSI | 04/15/26 | $105.00 | 5.00%(Q) | CDX.NA.HY.45.V2(Q) | 21,880 | (159,228) | |||||||||
| CDX.NA.IG.45.V1, 12/20/30 | Put | RBC | 04/15/26 | 0.70% | 1.00%(Q) | CDX.NA.IG.45.V1(Q) | 106,870 | (50,911) | |||||||||
| CDX.NA.IG.45.V1, 12/20/30 | Put | CITI | 04/15/26 | 0.75% | 1.00%(Q) | CDX.NA.IG.45.V1(Q) | 78,620 | (24,992) | |||||||||
| CDX.NA.IG.45.V1, 12/20/30 | Put | GSI | 05/20/26 | 0.70% | 1.00%(Q) | CDX.NA.IG.45.V1(Q) | 123,000 | (179,930) | |||||||||
| Total OTC Swaptions (premiums received $936,647) | $(1,897,985) | ||||||||||||||||
| Total Options Written (premiums received $2,266,008) | $(3,317,255) | ||||||||||||||||
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| Futures contracts outstanding at March 31, 2026: | ||||||||
| Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||
| Long Positions: | ||||||||
| 766 | 2 Year U.S. Treasury Notes | Jun. 2026 | $158,903,109 | $(1,228,061) | ||||
| 146 | 5 Year Canadian Government Bonds | Jun. 2026 | 11,911,106 | (24,333) | ||||
| 4 | 5 Year Euro-Bobl | Jun. 2026 | 533,679 | 89 | ||||
| 6,151 | 5 Year U.S. Treasury Notes | Jun. 2026 | 665,413,273 | (9,334,357) | ||||
| 173 | 10 Year Canadian Government Bonds | Jun. 2026 | 14,924,686 | (66,868) | ||||
| 238 | 10 Year Euro-Bund | Jun. 2026 | 34,493,823 | (859,501) | ||||
| 170 | 10 Year U.K. Gilt | Jun. 2026 | 19,753,803 | (1,010,423) | ||||
| 3,930 | 10 Year U.S. Treasury Notes | Jun. 2026 | 436,414,238 | (7,414,279) | ||||
| 2,079 | 10 Year U.S. Ultra Treasury Notes | Jun. 2026 | 235,998,995 | (4,694,514) | ||||
| 1,139 | 20 Year U.S. Treasury Bonds | Jun. 2026 | 129,703,625 | (4,155,912) | ||||
| 6 | 30 Year Euro Buxl | Jun. 2026 | 764,664 | (15,263) | ||||
| 1,034 | 30 Year U.S. Ultra Treasury Bonds | Jun. 2026 | 120,525,626 | (2,885,879) | ||||
| 500 | 10 Year Australian Treasury Bonds | Jun. 2026 | 37,172,360 | (228,931) | ||||
| 320 | Euro Schatz Index | Jun. 2026 | 39,113,964 | (347,779) | ||||
| 1 | Euro-BTP Italian Government Bond | Jun. 2026 | 134,402 | (1,202) | ||||
| 119 | Euro-OAT | Jun. 2026 | 16,325,353 | (398,884) | ||||
| 112 | 10 Year Korean Treasury Bonds | Jun. 2026 | 7,941,240 | (92,867) | ||||
| 1,303 | Mini MSCI EAFE Index | Jun. 2026 | 189,006,665 | (2,927,711) | ||||
| 771 | Russell 2000 E-Mini Index | Jun. 2026 | 96,845,310 | (298,857) | ||||
| 1,661 | S&P 500 E-Mini Index | Jun. 2026 | 545,700,788 | (12,796,060) | ||||
| 245 | Short Euro-BTP | Jun. 2026 | 29,974,947 | (224,830) | ||||
| (49,006,422) | ||||||||
| Short Positions: | ||||||||
| 496 | 2 Year U.S. Treasury Notes | Jun. 2026 | 102,892,875 | 615,726 | ||||
| 93 | 5 Year Euro-Bobl | Jun. 2026 | 12,408,039 | 188,879 | ||||
| 767 | 5 Year U.S. Treasury Notes | Jun. 2026 | 82,973,822 | 885,162 | ||||
| 127 | 10 Year Euro-Bund | Jun. 2026 | 18,406,368 | 290,176 | ||||
| 281 | 10 Year U.S. Treasury Notes | Jun. 2026 | 31,204,173 | 565,425 | ||||
| 164 | 10 Year U.S. Ultra Treasury Notes | Jun. 2026 | 18,616,563 | 333,456 | ||||
| 345 | 20 Year U.S. Treasury Bonds | Jun. 2026 | 39,286,875 | 412,603 | ||||
| 80 | 30 Year Euro Buxl | Jun. 2026 | 10,195,522 | 105,413 | ||||
| 91 | British Pound Currency | Jun. 2026 | 7,522,288 | 58,705 | ||||
| 85 | Canadian Dollar Currency | Jun. 2026 | 6,120,000 | 117,948 | ||||
| 933 | Euro Currency | Jun. 2026 | 135,115,894 | 1,802,100 | ||||
| 5,375,593 | ||||||||
| $(43,630,829) | ||||||||
| Purchase Bond Forwards | Counterparty | Settlement Date | Notional Amount (000)# | Strike Price | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||||
| OTC Bond Forward Contracts: | |||||||||||||||||
| U.S. Treasury Bond | |||||||||||||||||
| 4.750%, 11/15/43 | BNP | 07/29/26 | 72,635 | $99.35 | $72,165,020 | $71,553,537 | $— | $(611,483) | |||||||||
| 2.000%, 02/15/50 | CITI | 06/12/26 | 83,815 | $59.75 | 50,082,306 | 48,856,518 | — | (1,225,788) | |||||||||
| $122,247,326 | $120,410,055 | $— | $(1,837,271) | ||||||||||||||
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
| OTC Forward Foreign Currency Exchange Contracts: | |||||||||||||
| Australian Dollar, | |||||||||||||
| Expiring 04/15/26 | GSI | AUD | 1,283 | $907,176 | $885,311 | $— | $(21,865) | ||||||
| Expiring 04/15/26 | MSI | AUD | 5,883 | 4,162,111 | 4,058,334 | — | (103,777) | ||||||
| Expiring 04/15/26 | MSI | AUD | 671 | 451,181 | 463,143 | 11,962 | — | ||||||
| Expiring 04/15/26 | WBC | AUD | 1,939 | 1,302,169 | 1,337,350 | 35,181 | — | ||||||
| Expiring 04/15/26 | WBC | AUD | 1,110 | 783,158 | 765,352 | — | (17,806) | ||||||
| Expiring 04/28/26 | BNP | AUD | 1,646 | 1,127,126 | 1,135,323 | 8,197 | — | ||||||
| Expiring 04/28/26 | GSI | AUD | 13,879 | 9,774,902 | 9,572,379 | — | (202,523) | ||||||
| Expiring 04/28/26 | MSI | AUD | 866 | 609,918 | 597,176 | — | (12,742) | ||||||
| Brazilian Real, | |||||||||||||
| Expiring 04/02/26 | GSI | BRL | 124,153 | 23,906,105 | 23,959,912 | 53,807 | — | ||||||
| Expiring 05/05/26 | DB | BRL | 52,861 | 10,034,572 | 10,133,734 | 99,162 | — | ||||||
| Expiring 05/05/26 | DB | BRL | 17,912 | 3,372,000 | 3,433,765 | 61,765 | — | ||||||
| Expiring 05/05/26 | RBC | BRL | 52,861 | 10,051,554 | 10,133,735 | 82,181 | — | ||||||
| British Pound, | |||||||||||||
| Expiring 04/22/26 | BARC | GBP | 914 | 1,205,878 | 1,210,336 | 4,458 | — | ||||||
| Expiring 04/28/26 | BARC | GBP | 50 | 67,122 | 66,121 | — | (1,001) | ||||||
| Expiring 04/28/26 | CITI | GBP | 105 | 140,571 | 139,559 | — | (1,012) | ||||||
| Expiring 04/28/26 | CITI | GBP | 100 | 135,047 | 133,013 | — | (2,034) | ||||||
| Expiring 04/28/26 | CITI | GBP | 97 | 129,929 | 128,657 | — | (1,272) | ||||||
| Expiring 04/28/26 | GSI | GBP | 573 | 759,912 | 758,039 | — | (1,873) | ||||||
| Expiring 04/28/26 | HSBC | GBP | 242 | 324,671 | 320,763 | — | (3,908) | ||||||
| Expiring 04/28/26 | HSBC | GBP | 155 | 207,134 | 205,274 | — | (1,860) | ||||||
| Expiring 04/28/26 | MSI | GBP | 1,088 | 1,434,554 | 1,439,836 | 5,282 | — | ||||||
| Expiring 06/17/26 | GSI | GBP | 2,298 | 3,057,894 | 3,040,384 | — | (17,510) | ||||||
| Expiring 06/17/26 | GSI | GBP | 1,328 | 1,757,781 | 1,757,192 | — | (589) | ||||||
| Expiring 06/17/26 | MSI | GBP | 788 | 1,052,129 | 1,042,486 | — | (9,643) | ||||||
| Expiring 06/17/26 | MSI | GBP | 292 | 389,419 | 385,738 | — | (3,681) | ||||||
| Expiring 06/17/26 | MSI | GBP | 244 | 328,426 | 322,882 | — | (5,544) | ||||||
| Expiring 06/17/26 | MSI | GBP | 218 | 289,522 | 288,477 | — | (1,045) | ||||||
| Expiring 06/17/26 | WBC | GBP | 2,029 | 2,686,188 | 2,685,214 | — | (974) | ||||||
| Canadian Dollar, | |||||||||||||
| Expiring 04/15/26 | CITI | CAD | 1,567 | 1,132,939 | 1,127,482 | — | (5,457) | ||||||
| Expiring 04/15/26 | GSI | CAD | 339 | 245,480 | 244,069 | — | (1,411) | ||||||
| Expiring 04/15/26 | MSI | CAD | 1,754 | 1,284,608 | 1,261,494 | — | (23,114) | ||||||
| Expiring 04/28/26 | BNP | CAD | 17,425 | 12,863,437 | 12,541,320 | — | (322,117) | ||||||
| Expiring 04/28/26 | GSI | CAD | 111 | 80,190 | 79,981 | — | (209) | ||||||
| Chilean Peso, | |||||||||||||
| Expiring 06/17/26 | CITI | CLP | 3,286,622 | 3,525,000 | 3,550,654 | 25,654 | — | ||||||
| Chinese Renminbi, | |||||||||||||
| Expiring 04/28/26 | BNP | CNH | 28,327 | 4,124,721 | 4,121,963 | — | (2,758) | ||||||
| Expiring 05/13/26 | CITI | CNH | 11,989 | 1,739,128 | 1,746,155 | 7,027 | — | ||||||
| Expiring 06/17/26 | BOA | CNH | 11,827 | 1,719,000 | 1,726,387 | 7,387 | — | ||||||
| Expiring 06/17/26 | HSBC | CNH | 14,996 | 2,192,000 | 2,189,065 | — | (2,935) | ||||||
| Colombian Peso, | |||||||||||||
| Expiring 06/17/26 | BOA | COP | 12,734,291 | 3,372,000 | 3,404,389 | 32,389 | — | ||||||
| Expiring 06/17/26 | JPM | COP | 22,422,544 | 5,871,928 | 5,994,450 | 122,522 | — | ||||||
| Czech Koruna, | |||||||||||||
| Expiring 04/22/26 | BNP | CZK | 78,533 | 3,820,000 | 3,699,492 | — | (120,508) | ||||||
| Expiring 04/22/26 | BOA | CZK | 57,977 | 2,776,000 | 2,731,163 | — | (44,837) | ||||||
| Expiring 04/22/26 | GSI | CZK | 52,772 | 2,566,000 | 2,485,970 | — | (80,030) | ||||||
| Expiring 04/22/26 | JPM | CZK | 78,461 | 3,822,000 | 3,696,136 | — | (125,864) | ||||||
| Expiring 06/17/26 | CITI | CZK | 18,708 | 875,266 | 881,807 | 6,541 | — | ||||||
| Danish Krone, | |||||||||||||
| Expiring 06/17/26 | CITI | DKK | 13,899 | 2,140,316 | 2,159,153 | 18,837 | — | ||||||
| Expiring 06/17/26 | GSI | DKK | 6,662 | 1,025,774 | 1,034,945 | 9,171 | — | ||||||
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
| OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
| Euro, | |||||||||||||
| Expiring 04/22/26 | BARC | EUR | 5,740 | $6,619,782 | $6,641,663 | $21,881 | $— | ||||||
| Expiring 04/22/26 | CITI | EUR | 6,975 | 8,003,265 | 8,071,237 | 67,972 | — | ||||||
| Expiring 04/22/26 | HSBC | EUR | 36,241 | 42,846,391 | 41,935,295 | — | (911,096) | ||||||
| Expiring 04/22/26 | HSBC | EUR | 3,194 | 3,776,369 | 3,696,067 | — | (80,302) | ||||||
| Expiring 04/22/26 | MSI | EUR | 21,770 | 25,935,450 | 25,190,716 | — | (744,734) | ||||||
| Expiring 04/22/26 | MSI | EUR | 10,980 | 13,081,042 | 12,705,421 | — | (375,621) | ||||||
| Expiring 04/22/26 | MSI | EUR | 7,349 | 8,845,381 | 8,503,991 | — | (341,390) | ||||||
| Expiring 04/22/26 | MSI | EUR | 2,367 | 2,848,481 | 2,738,543 | — | (109,938) | ||||||
| Expiring 04/22/26 | MSI | EUR | 2,000 | 2,388,026 | 2,314,258 | — | (73,768) | ||||||
| Expiring 04/22/26 | SSB | EUR | 100 | 119,502 | 115,712 | — | (3,790) | ||||||
| Expiring 04/22/26 | UAG | EUR | 11,892 | 13,672,916 | 13,760,611 | 87,695 | — | ||||||
| Expiring 04/28/26 | BARC | EUR | 11,659 | 13,587,203 | 13,495,684 | — | (91,519) | ||||||
| Expiring 04/28/26 | BARC | EUR | 1,570 | 1,817,331 | 1,817,737 | 406 | — | ||||||
| Expiring 04/28/26 | BARC | EUR | 1,437 | 1,668,779 | 1,663,226 | — | (5,553) | ||||||
| Expiring 04/28/26 | GSI | EUR | 5,644 | 6,591,600 | 6,532,592 | — | (59,008) | ||||||
| Expiring 04/28/26 | GSI | EUR | 1,973 | 2,292,002 | 2,283,225 | — | (8,777) | ||||||
| Expiring 04/28/26 | HSBC | EUR | 896 | 1,038,589 | 1,037,171 | — | (1,418) | ||||||
| Expiring 04/28/26 | HSBC | EUR | 657 | 761,148 | 760,103 | — | (1,045) | ||||||
| Expiring 04/28/26 | HSBC | EUR | 405 | 464,720 | 468,671 | 3,951 | — | ||||||
| Expiring 04/28/26 | MSI | EUR | 3,838 | 4,427,242 | 4,442,024 | 14,782 | — | ||||||
| Expiring 06/17/26 | CITI | EUR | 930 | 1,075,456 | 1,078,305 | 2,849 | — | ||||||
| Expiring 06/17/26 | CITI | EUR | 736 | 846,006 | 853,734 | 7,728 | — | ||||||
| Expiring 06/17/26 | GSI | EUR | 2,735 | 3,143,286 | 3,172,042 | 28,756 | — | ||||||
| Expiring 06/17/26 | GSI | EUR | 655 | 756,006 | 759,197 | 3,191 | — | ||||||
| Expiring 06/17/26 | MSI | EUR | 3,294 | 3,807,782 | 3,821,158 | 13,376 | — | ||||||
| Expiring 06/17/26 | MSI | EUR | 990 | 1,145,738 | 1,148,017 | 2,279 | — | ||||||
| Hong Kong Dollar, | |||||||||||||
| Expiring 05/13/26 | CITI | HKD | 36,099 | 4,632,256 | 4,614,956 | — | (17,300) | ||||||
| Expiring 05/13/26 | GSI | HKD | 13,403 | 1,720,148 | 1,713,463 | — | (6,685) | ||||||
| Indian Rupee, | |||||||||||||
| Expiring 06/17/26 | CITI | INR | 152,574 | 1,637,892 | 1,607,365 | — | (30,527) | ||||||
| Expiring 06/17/26 | HSBC | INR | 195,805 | 2,039,000 | 2,062,808 | 23,808 | — | ||||||
| Israeli Shekel, | |||||||||||||
| Expiring 04/15/26 | CITI | ILS | 9,039 | 2,871,307 | 2,876,835 | 5,528 | — | ||||||
| Expiring 04/15/26 | GSI | ILS | 2,734 | 868,690 | 870,305 | 1,615 | — | ||||||
| Japanese Yen, | |||||||||||||
| Expiring 04/22/26 | BARC | JPY | 224,824 | 1,415,621 | 1,419,665 | 4,044 | — | ||||||
| Expiring 04/22/26 | MSI | JPY | 436,480 | 2,781,437 | 2,756,181 | — | (25,256) | ||||||
| Expiring 04/28/26 | BARC | JPY | 21,082 | 133,856 | 133,205 | — | (651) | ||||||
| Expiring 04/28/26 | BARC | JPY | 10,426 | 66,299 | 65,874 | — | (425) | ||||||
| Expiring 04/28/26 | GSI | JPY | 179,394 | 1,137,746 | 1,133,502 | — | (4,244) | ||||||
| Expiring 04/28/26 | HSBC | JPY | 323,653 | 2,062,822 | 2,045,000 | — | (17,822) | ||||||
| Expiring 04/28/26 | HSBC | JPY | 29,000 | 182,231 | 183,237 | 1,006 | — | ||||||
| Expiring 04/28/26 | HSBC | JPY | 27,907 | 174,723 | 176,331 | 1,608 | — | ||||||
| Expiring 04/28/26 | MSI | JPY | 153,102 | 964,524 | 967,376 | 2,852 | — | ||||||
| Expiring 05/13/26 | CITI | JPY | 43,722 | 280,841 | 276,562 | — | (4,279) | ||||||
| Expiring 05/13/26 | GSI | JPY | 243,825 | 1,566,533 | 1,542,312 | — | (24,221) | ||||||
| Expiring 05/13/26 | MSI | JPY | 1,900,561 | 12,210,617 | 12,021,950 | — | (188,667) | ||||||
| Expiring 05/13/26 | MSI | JPY | 1,872,482 | 12,067,743 | 11,844,341 | — | (223,402) | ||||||
| Mexican Peso, | |||||||||||||
| Expiring 04/28/26 | CITI | MXN | 115,293 | 6,542,804 | 6,417,633 | — | (125,171) | ||||||
| Expiring 04/28/26 | SCB | MXN | 12,055 | 671,233 | 671,025 | — | (208) | ||||||
| Expiring 06/17/26 | BARC | MXN | 61,239 | 3,471,000 | 3,393,748 | — | (77,252) | ||||||
| Expiring 06/17/26 | JPM | MXN | 111,787 | 6,330,051 | 6,195,022 | — | (135,029) | ||||||
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
| OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
| New Taiwanese Dollar, | |||||||||||||
| Expiring 06/17/26 | CITI | TWD | 166,554 | $5,229,000 | $5,182,440 | $— | $(46,560) | ||||||
| Expiring 06/17/26 | MSI | TWD | 317,698 | 9,983,746 | 9,885,373 | — | (98,373) | ||||||
| Expiring 06/17/26 | MSI | TWD | 114,578 | 3,605,000 | 3,565,160 | — | (39,840) | ||||||
| New Zealand Dollar, | |||||||||||||
| Expiring 04/15/26 | MSI | NZD | 1,064 | 615,496 | 611,684 | — | (3,812) | ||||||
| Expiring 04/28/26 | CITI | NZD | 24,132 | 14,092,608 | 13,880,853 | — | (211,755) | ||||||
| Expiring 04/28/26 | CITI | NZD | 1,343 | 767,626 | 772,513 | 4,887 | — | ||||||
| Norwegian Krone, | |||||||||||||
| Expiring 06/17/26 | MSI | NOK | 23,517 | 2,430,833 | 2,427,058 | — | (3,775) | ||||||
| Philippine Peso, | |||||||||||||
| Expiring 06/17/26 | BOA | PHP | 138,641 | 2,313,000 | 2,275,961 | — | (37,039) | ||||||
| Expiring 06/17/26 | HSBC | PHP | 334,131 | 5,544,000 | 5,485,164 | — | (58,836) | ||||||
| Polish Zloty, | |||||||||||||
| Expiring 04/22/26 | BARC | PLN | 16,888 | 4,757,900 | 4,549,282 | — | (208,618) | ||||||
| Expiring 04/22/26 | TD | PLN | 7,270 | 2,039,100 | 1,958,277 | — | (80,823) | ||||||
| Expiring 04/28/26 | HSBC | PLN | 4,849 | 1,304,724 | 1,306,188 | 1,464 | — | ||||||
| Singapore Dollar, | |||||||||||||
| Expiring 05/13/26 | CITI | SGD | 5,832 | 4,616,677 | 4,550,445 | — | (66,232) | ||||||
| Expiring 05/13/26 | GSI | SGD | 1,508 | 1,193,444 | 1,176,272 | — | (17,172) | ||||||
| Expiring 06/17/26 | BOA | SGD | 2,856 | 2,252,000 | 2,233,821 | — | (18,179) | ||||||
| South African Rand, | |||||||||||||
| Expiring 04/28/26 | BNP | ZAR | 150,395 | 8,932,654 | 8,868,256 | — | (64,398) | ||||||
| Expiring 06/17/26 | BARC | ZAR | 56,208 | 3,297,508 | 3,302,167 | 4,659 | — | ||||||
| South Korean Won, | |||||||||||||
| Expiring 05/13/26 | MSI | KRW | 2,465,685 | 1,691,184 | 1,641,004 | — | (50,180) | ||||||
| Expiring 06/17/26 | JPM | KRW | 3,101,242 | 2,110,880 | 2,066,195 | — | (44,685) | ||||||
| Swedish Krona, | |||||||||||||
| Expiring 04/28/26 | BNP | SEK | 3,554 | 380,058 | 376,032 | — | (4,026) | ||||||
| Expiring 06/17/26 | CITI | SEK | 5,725 | 610,683 | 607,089 | — | (3,594) | ||||||
| Expiring 06/17/26 | GSI | SEK | 24,314 | 2,593,661 | 2,578,426 | — | (15,235) | ||||||
| Expiring 06/17/26 | MSI | SEK | 54,180 | 5,826,567 | 5,745,691 | — | (80,876) | ||||||
| Swiss Franc, | |||||||||||||
| Expiring 06/17/26 | CITI | CHF | 1,958 | 2,503,817 | 2,469,671 | — | (34,146) | ||||||
| Expiring 06/17/26 | GSI | CHF | 137 | 175,082 | 172,675 | — | (2,407) | ||||||
| Expiring 06/17/26 | MSI | CHF | 12,482 | 16,008,213 | 15,743,462 | — | (264,751) | ||||||
| Thai Baht, | |||||||||||||
| Expiring 06/17/26 | GSI | THB | 74,590 | 2,276,000 | 2,276,056 | 56 | — | ||||||
| Turkish Lira, | |||||||||||||
| Expiring 04/13/26 | GSI | TRY | 233,062 | 5,073,227 | 5,159,881 | 86,654 | — | ||||||
| Expiring 04/13/26 | UAG | TRY | 307,058 | 6,723,405 | 6,798,129 | 74,724 | — | ||||||
| Expiring 04/28/26 | BARC | TRY | 37,655 | 817,851 | 816,021 | — | (1,830) | ||||||
| Expiring 04/28/26 | CITI | TRY | 285,962 | 6,193,145 | 6,197,069 | 3,924 | — | ||||||
| $498,971,892 | $493,748,971 | 1,063,218 | (6,286,139) | ||||||||||
| Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
| OTC Forward Foreign Currency Exchange Contracts: | |||||||||||||
| Australian Dollar, | |||||||||||||
| Expiring 04/15/26 | CITI | AUD | 1,880 | $1,257,751 | $1,297,063 | $— | $(39,312) | ||||||
| Expiring 04/15/26 | CITI | AUD | 419 | 280,155 | 289,241 | — | (9,086) | ||||||
| Expiring 04/15/26 | GSI | AUD | 294 | 196,349 | 202,738 | — | (6,389) | ||||||
| Expiring 04/15/26 | MSI | AUD | 6,300 | 4,446,685 | 4,345,506 | 101,179 | — | ||||||
| Expiring 04/15/26 | WBC | AUD | 198 | 132,221 | 136,515 | — | (4,294) | ||||||
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
| OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
| Australian Dollar (cont’d.), | |||||||||||||
| Expiring 04/22/26 | JPM | AUD | 4,783 | $3,195,469 | $3,299,075 | $— | $(103,606) | ||||||
| Expiring 04/28/26 | GSI | AUD | 9,167 | 6,451,413 | 6,322,300 | 129,113 | — | ||||||
| Expiring 04/28/26 | HSBC | AUD | 1,692 | 1,202,367 | 1,166,716 | 35,651 | — | ||||||
| Expiring 04/28/26 | MSI | AUD | 13,036 | 9,194,199 | 8,990,774 | 203,425 | — | ||||||
| Brazilian Real, | |||||||||||||
| Expiring 04/02/26 | CITI | BRL | 18,431 | 3,471,000 | 3,556,938 | — | (85,938) | ||||||
| Expiring 04/02/26 | DB | BRL | 52,861 | 10,097,635 | 10,201,487 | — | (103,852) | ||||||
| Expiring 04/02/26 | RBC | BRL | 52,861 | 10,115,025 | 10,201,488 | — | (86,463) | ||||||
| British Pound, | |||||||||||||
| Expiring 04/22/26 | BNY | GBP | 10,751 | 14,463,974 | 14,229,134 | 234,840 | — | ||||||
| Expiring 04/22/26 | BNY | GBP | 5,245 | 7,056,242 | 6,941,675 | 114,567 | — | ||||||
| Expiring 04/22/26 | HSBC | GBP | 5,230 | 6,965,314 | 6,922,092 | 43,222 | — | ||||||
| Expiring 04/22/26 | SSB | GBP | 1,255 | 1,717,656 | 1,661,444 | 56,212 | — | ||||||
| Expiring 04/28/26 | BARC | GBP | 111 | 146,645 | 146,408 | 237 | — | ||||||
| Expiring 04/28/26 | BARC | GBP | 85 | 113,647 | 112,997 | 650 | — | ||||||
| Expiring 04/28/26 | BNP | GBP | 96 | 127,892 | 126,848 | 1,044 | — | ||||||
| Expiring 04/28/26 | BNP | GBP | 82 | 109,062 | 108,185 | 877 | — | ||||||
| Expiring 04/28/26 | CITI | GBP | 34,879 | 46,267,652 | 46,164,535 | 103,117 | — | ||||||
| Expiring 04/28/26 | CITI | GBP | 31 | 41,783 | 41,466 | 317 | — | ||||||
| Expiring 04/28/26 | HSBC | GBP | 229 | 303,894 | 303,199 | 695 | — | ||||||
| Expiring 04/28/26 | HSBC | GBP | 109 | 144,923 | 144,316 | 607 | — | ||||||
| Expiring 04/28/26 | HSBC | GBP | 97 | 129,592 | 128,625 | 967 | — | ||||||
| Expiring 04/28/26 | HSBC | GBP | 83 | 110,338 | 109,234 | 1,104 | — | ||||||
| Expiring 04/28/26 | HSBC | GBP | 61 | 80,904 | 80,683 | 221 | — | ||||||
| Expiring 04/28/26 | HSBC | GBP | 33 | 43,378 | 43,305 | 73 | — | ||||||
| Expiring 06/17/26 | CITI | GBP | 7,341 | 9,718,080 | 9,714,646 | 3,434 | — | ||||||
| Expiring 06/17/26 | MSI | GBP | 14,021 | 18,683,130 | 18,554,202 | 128,928 | — | ||||||
| Canadian Dollar, | |||||||||||||
| Expiring 04/15/26 | GSI | CAD | 1,341 | 983,413 | 964,697 | 18,716 | — | ||||||
| Expiring 04/15/26 | GSI | CAD | 1,172 | 846,847 | 842,770 | 4,077 | — | ||||||
| Expiring 04/15/26 | GSI | CAD | 907 | 661,574 | 652,291 | 9,283 | — | ||||||
| Expiring 04/15/26 | MSI | CAD | 1,339 | 980,414 | 963,259 | 17,155 | — | ||||||
| Expiring 04/15/26 | MSI | CAD | 170 | 123,015 | 122,287 | 728 | — | ||||||
| Expiring 04/15/26 | WBC | CAD | 7,805 | 5,641,383 | 5,614,103 | 27,280 | — | ||||||
| Expiring 04/22/26 | CITI | CAD | 12,915 | 9,346,059 | 9,293,152 | 52,907 | — | ||||||
| Expiring 04/28/26 | BARC | CAD | 174 | 125,551 | 125,561 | — | (10) | ||||||
| Expiring 04/28/26 | BARC | CAD | 39 | 27,907 | 27,911 | — | (4) | ||||||
| Expiring 04/28/26 | GSI | CAD | 29,187 | 21,359,687 | 21,007,091 | 352,596 | — | ||||||
| Expiring 04/28/26 | HSBC | CAD | 81 | 58,961 | 58,212 | 749 | — | ||||||
| Expiring 04/28/26 | HSBC | CAD | 75 | 55,592 | 54,264 | 1,328 | — | ||||||
| Expiring 04/28/26 | HSBC | CAD | 60 | 43,649 | 42,827 | 822 | — | ||||||
| Expiring 04/28/26 | HSBC | CAD | 2 | 1,447 | 1,420 | 27 | — | ||||||
| Chilean Peso, | |||||||||||||
| Expiring 06/17/26 | CITI | CLP | 3,871,893 | 4,322,997 | 4,182,943 | 140,054 | — | ||||||
| Chinese Renminbi, | |||||||||||||
| Expiring 05/13/26 | GSI | CNH | 11,298 | 1,639,217 | 1,645,614 | — | (6,397) | ||||||
| Expiring 06/17/26 | BNP | CNH | 229,278 | 33,542,348 | 33,468,650 | 73,698 | — | ||||||
| Expiring 06/17/26 | BNP | CNH | 103,228 | 15,101,846 | 15,068,665 | 33,181 | — | ||||||
| Colombian Peso, | |||||||||||||
| Expiring 04/06/26 | CITI | COP | 13,689,000 | 3,510,000 | 3,720,493 | — | (210,493) | ||||||
| Expiring 04/06/26 | CITI | COP | 13,192,500 | 3,517,999 | 3,585,551 | — | (67,552) | ||||||
| Expiring 04/06/26 | CITI | COP | 12,928,650 | 3,517,999 | 3,513,840 | 4,159 | — | ||||||
| Czech Koruna, | |||||||||||||
| Expiring 04/22/26 | BARC | CZK | 105,831 | 5,032,000 | 4,985,428 | 46,572 | — | ||||||
| Expiring 04/22/26 | CITI | CZK | 38,789 | 1,897,000 | 1,827,245 | 69,755 | — | ||||||
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
| OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
| Czech Koruna (cont’d.), | |||||||||||||
| Expiring 04/22/26 | DB | CZK | 74,655 | $3,564,000 | $3,516,819 | $47,181 | $— | ||||||
| Expiring 04/22/26 | TD | CZK | 508,705 | 24,492,295 | 23,963,902 | 528,393 | — | ||||||
| Expiring 04/28/26 | MSI | CZK | 88,799 | 4,170,726 | 4,183,439 | — | (12,713) | ||||||
| Expiring 06/17/26 | MSI | CZK | 18,747 | 883,783 | 883,659 | 124 | — | ||||||
| Danish Krone, | |||||||||||||
| Expiring 06/17/26 | MSI | DKK | 22,092 | 3,420,795 | 3,431,872 | — | (11,077) | ||||||
| Expiring 06/17/26 | MSI | DKK | 13,708 | 2,122,221 | 2,129,451 | — | (7,230) | ||||||
| Expiring 06/17/26 | MSI | DKK | 6,829 | 1,058,665 | 1,060,842 | — | (2,177) | ||||||
| Expiring 06/17/26 | MSI | DKK | 4,372 | 678,124 | 679,219 | — | (1,095) | ||||||
| Euro, | |||||||||||||
| Expiring 04/22/26 | BARC | EUR | 39,581 | 46,182,467 | 45,799,890 | 382,577 | — | ||||||
| Expiring 04/22/26 | BARC | EUR | 1,598 | 1,907,868 | 1,848,981 | 58,887 | — | ||||||
| Expiring 04/22/26 | BNP | EUR | 1,561 | 1,847,368 | 1,806,190 | 41,178 | — | ||||||
| Expiring 04/22/26 | BNP | EUR | 1,155 | 1,375,555 | 1,336,680 | 38,875 | — | ||||||
| Expiring 04/22/26 | BOA | EUR | 5,956 | 6,914,000 | 6,891,821 | 22,179 | — | ||||||
| Expiring 04/22/26 | CITI | EUR | 18,099 | 21,477,000 | 20,942,337 | 534,663 | — | ||||||
| Expiring 04/22/26 | CITI | EUR | 5,365 | 6,186,600 | 6,208,255 | — | (21,655) | ||||||
| Expiring 04/22/26 | CITI | EUR | 2,988 | 3,421,000 | 3,457,182 | — | (36,182) | ||||||
| Expiring 04/22/26 | CITI | EUR | 2,965 | 3,410,832 | 3,430,888 | — | (20,056) | ||||||
| Expiring 04/22/26 | DB | EUR | 76,608 | 89,704,308 | 88,644,949 | 1,059,359 | — | ||||||
| Expiring 04/22/26 | DB | EUR | 33,926 | 39,726,193 | 39,257,048 | 469,145 | — | ||||||
| Expiring 04/22/26 | HSBC | EUR | 506 | 589,643 | 585,141 | 4,502 | — | ||||||
| Expiring 04/22/26 | MSI | EUR | 2,462 | 2,915,000 | 2,848,528 | 66,472 | — | ||||||
| Expiring 04/22/26 | SSB | EUR | 89,376 | 104,346,001 | 103,419,108 | 926,893 | — | ||||||
| Expiring 04/22/26 | SSB | EUR | 39,581 | 46,210,373 | 45,799,892 | 410,481 | — | ||||||
| Expiring 04/22/26 | SSB | EUR | 8,305 | 9,798,332 | 9,609,658 | 188,674 | — | ||||||
| Expiring 04/22/26 | SSB | EUR | 632 | 731,973 | 730,942 | 1,031 | — | ||||||
| Expiring 04/22/26 | SSB | EUR | 456 | 538,597 | 527,571 | 11,026 | — | ||||||
| Expiring 04/22/26 | UAG | EUR | 89,376 | 104,302,653 | 103,419,107 | 883,546 | — | ||||||
| Expiring 04/28/26 | CITI | EUR | 678 | 780,680 | 784,978 | — | (4,298) | ||||||
| Expiring 04/28/26 | GSI | EUR | 5,662 | 6,507,182 | 6,554,177 | — | (46,995) | ||||||
| Expiring 04/28/26 | HSBC | EUR | 186,227 | 214,203,030 | 215,556,273 | — | (1,353,243) | ||||||
| Expiring 04/28/26 | HSBC | EUR | 628 | 730,029 | 726,967 | 3,062 | — | ||||||
| Expiring 04/28/26 | MSI | EUR | 5,248 | 6,079,331 | 6,074,387 | 4,944 | — | ||||||
| Expiring 06/17/26 | GSI | EUR | 700 | 810,636 | 811,396 | — | (760) | ||||||
| Expiring 06/17/26 | MSI | EUR | 2,364 | 2,735,515 | 2,741,578 | — | (6,063) | ||||||
| Expiring 06/17/26 | WBC | EUR | 10,850 | 12,471,324 | 12,585,393 | — | (114,069) | ||||||
| Hong Kong Dollar, | |||||||||||||
| Expiring 05/13/26 | GSI | HKD | 5,152 | 661,010 | 658,697 | 2,313 | — | ||||||
| Hungarian Forint, | |||||||||||||
| Expiring 04/22/26 | BOA | HUF | 192,254 | 564,000 | 577,175 | — | (13,175) | ||||||
| Expiring 04/28/26 | CITI | HUF | 2,180,931 | 6,393,233 | 6,544,472 | — | (151,239) | ||||||
| Indian Rupee, | |||||||||||||
| Expiring 06/17/26 | BOA | INR | 193,033 | 2,036,000 | 2,033,605 | 2,395 | — | ||||||
| Israeli Shekel, | |||||||||||||
| Expiring 04/15/26 | CITI | ILS | 1,686 | 540,932 | 536,619 | 4,313 | — | ||||||
| Japanese Yen, | |||||||||||||
| Expiring 04/28/26 | BARC | JPY | 12,952 | 81,658 | 81,838 | — | (180) | ||||||
| Expiring 04/28/26 | BNP | JPY | 2,268,272 | 14,292,787 | 14,332,083 | — | (39,296) | ||||||
| Expiring 04/28/26 | HSBC | JPY | 35,146 | 220,551 | 222,070 | — | (1,519) | ||||||
| Expiring 04/28/26 | HSBC | JPY | 32,248 | 203,388 | 203,756 | — | (368) | ||||||
| Expiring 04/28/26 | HSBC | JPY | 16,594 | 104,969 | 104,849 | 120 | — | ||||||
| Expiring 05/13/26 | GSI | JPY | 2,265,678 | 14,625,929 | 14,331,491 | 294,438 | — | ||||||
| Expiring 05/13/26 | WBC | JPY | 162,430 | 1,043,547 | 1,027,448 | 16,099 | — | ||||||
| Expiring 05/13/26 | WBC | JPY | 118,700 | 749,120 | 750,832 | — | (1,712) | ||||||
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
| OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
| Mexican Peso, | |||||||||||||
| Expiring 04/28/26 | CITI | MXN | 115,944 | $6,480,054 | $6,453,870 | $26,184 | $— | ||||||
| Expiring 04/28/26 | HSBC | MXN | 115,052 | 6,436,111 | 6,404,187 | 31,924 | — | ||||||
| Expiring 06/17/26 | JPM | MXN | 38,581 | 2,119,000 | 2,138,097 | — | (19,097) | ||||||
| Expiring 06/17/26 | MSI | MXN | 37,599 | 2,105,000 | 2,083,667 | 21,333 | — | ||||||
| New Zealand Dollar, | |||||||||||||
| Expiring 04/28/26 | CITI | NZD | 425 | 250,524 | 244,701 | 5,823 | — | ||||||
| Norwegian Krone, | |||||||||||||
| Expiring 06/17/26 | CITI | NOK | 436 | 44,686 | 44,957 | — | (271) | ||||||
| Polish Zloty, | |||||||||||||
| Expiring 04/22/26 | BARC | PLN | 23,813 | 6,590,304 | 6,414,619 | 175,685 | — | ||||||
| Expiring 04/22/26 | JPM | PLN | 12,770 | 3,421,000 | 3,439,929 | — | (18,929) | ||||||
| Expiring 04/28/26 | HSBC | PLN | 16,342 | 4,434,837 | 4,401,933 | 32,904 | — | ||||||
| Singapore Dollar, | |||||||||||||
| Expiring 04/28/26 | GSI | SGD | 8,564 | 6,714,341 | 6,675,423 | 38,918 | — | ||||||
| Expiring 05/13/26 | MSI | SGD | 985 | 782,154 | 768,524 | 13,630 | — | ||||||
| Expiring 06/17/26 | MSI | SGD | 36,319 | 28,748,510 | 28,403,014 | 345,496 | — | ||||||
| South African Rand, | |||||||||||||
| Expiring 04/28/26 | MSI | ZAR | 54,670 | 3,240,027 | 3,223,695 | 16,332 | — | ||||||
| Expiring 06/17/26 | CITI | ZAR | 29,036 | 1,732,000 | 1,705,836 | 26,164 | — | ||||||
| Expiring 06/17/26 | GSI | ZAR | 70,699 | 4,330,696 | 4,153,476 | 177,220 | — | ||||||
| South Korean Won, | |||||||||||||
| Expiring 05/13/26 | GSI | KRW | 2,469,107 | 1,693,373 | 1,643,281 | 50,092 | — | ||||||
| Swedish Krona, | |||||||||||||
| Expiring 04/28/26 | BARC | SEK | 21,138 | 2,279,831 | 2,236,375 | 43,456 | — | ||||||
| Expiring 06/17/26 | GSI | SEK | 7,954 | 856,432 | 843,536 | 12,896 | — | ||||||
| Swiss Franc, | |||||||||||||
| Expiring 04/22/26 | CITI | CHF | 698 | 881,048 | 875,634 | 5,414 | — | ||||||
| Expiring 04/28/26 | BNP | CHF | 10,607 | 13,542,671 | 13,308,936 | 233,735 | — | ||||||
| Expiring 06/17/26 | MSI | CHF | 877 | 1,120,537 | 1,106,560 | 13,977 | — | ||||||
| Expiring 06/17/26 | WBC | CHF | 749 | 957,313 | 944,226 | 13,087 | — | ||||||
| Thai Baht, | |||||||||||||
| Expiring 06/17/26 | HSBC | THB | 912,964 | 29,106,330 | 27,858,465 | 1,247,865 | — | ||||||
| Expiring 06/17/26 | HSBC | THB | 166,104 | 5,247,000 | 5,068,559 | 178,441 | — | ||||||
| Turkish Lira, | |||||||||||||
| Expiring 04/13/26 | BARC | TRY | 308,061 | 6,788,623 | 6,820,335 | — | (31,712) | ||||||
| Expiring 04/13/26 | UAG | TRY | 255,687 | 5,616,446 | 5,660,800 | — | (44,354) | ||||||
| Expiring 04/28/26 | BARC | TRY | 35,725 | 776,386 | 774,203 | 2,183 | — | ||||||
| Expiring 04/28/26 | BARC | TRY | 17,966 | 389,779 | 389,338 | 441 | — | ||||||
| $1,233,097,516 | $1,225,050,740 | 10,729,637 | (2,682,861) | ||||||||||
| $11,792,855 | $(8,969,000) | ||||||||||||
| Cross currency exchange contracts outstanding at March 31, 2026: | ||||||||||||||
| Settlement | Type | Notional Amount (000) | In Exchange For (000) | Unrealized Appreciation | Unrealized Depreciation | Counterparty | ||||||||
| OTC Cross Currency Exchange Contracts: | ||||||||||||||
| 04/22/26 | Buy | CZK | 120,877 | EUR | 4,953 | $— | $(37,013) | BOA | ||||||
| 04/22/26 | Buy | EUR | 3,302 | GBP | 2,884 | 3,958 | — | SSB | ||||||
| 04/28/26 | Buy | AUD | 1,646 | JPY | 180,259 | — | (3,642) | CITI | ||||||
| 04/28/26 | Buy | AUD | 3,265 | NZD | 3,902 | 7,384 | — | BARC | ||||||
| 04/28/26 | Buy | CAD | 1,554 | GBP | 845 | — | (392) | CITI | ||||||
| 04/28/26 | Buy | CAD | 1,556 | GBP | 845 | 1,399 | — | GSI | ||||||
| 04/28/26 | Buy | CAD | 3,128 | EUR | 1,960 | — | (17,854) | CITI | ||||||
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| Cross currency exchange contracts outstanding at March 31, 2026 (continued): | ||||||||||||||
| Settlement | Type | Notional Amount (000) | In Exchange For (000) | Unrealized Appreciation | Unrealized Depreciation | Counterparty | ||||||||
| OTC Cross Currency Exchange Contracts (cont’d.): | ||||||||||||||
| 04/28/26 | Buy | CHF | 895 | EUR | 980 | $— | $(11,465) | BNP | ||||||
| 04/28/26 | Buy | CHF | 1,788 | EUR | 1,953 | — | (17,382) | GSI | ||||||
| 04/28/26 | Buy | EUR | 705 | PLN | 3,024 | 1,294 | — | MSI | ||||||
| 04/28/26 | Buy | EUR | 1,953 | AUD | 3,247 | 21,048 | — | GSI | ||||||
| 04/28/26 | Buy | EUR | 1,973 | GBP | 1,707 | 25,560 | — | GSI | ||||||
| 04/28/26 | Buy | EUR | 1,973 | GBP | 1,710 | 20,846 | — | GSI | ||||||
| 04/28/26 | Buy | EUR | 1,980 | CAD | 3,122 | 44,701 | — | CITI | ||||||
| 04/28/26 | Buy | GBP | 1,695 | JPY | 359,945 | — | (31,125) | GSI | ||||||
| 04/28/26 | Buy | GBP | 1,710 | CAD | 3,118 | 18,416 | — | GSI | ||||||
| 04/28/26 | Buy | JPY | 61,205 | AUD | 547 | 9,410 | — | BNP | ||||||
| 04/28/26 | Buy | JPY | 120,039 | AUD | 1,072 | 18,996 | — | GSI | ||||||
| 04/28/26 | Buy | JPY | 179,373 | GBP | 845 | 14,829 | — | GSI | ||||||
| 04/28/26 | Buy | JPY | 179,684 | GBP | 854 | 4,935 | — | MSI | ||||||
| 04/28/26 | Buy | JPY | 180,027 | GBP | 854 | 7,099 | — | GSI | ||||||
| 04/28/26 | Buy | JPY | 181,185 | AUD | 1,619 | 28,041 | — | GSI | ||||||
| 04/28/26 | Buy | NZD | 1,931 | JPY | 178,999 | — | (20,516) | CITI | ||||||
| 04/28/26 | Buy | SEK | 21,153 | EUR | 1,953 | — | (22,598) | BARC | ||||||
| 04/28/26 | Buy | SEK | 21,339 | EUR | 1,982 | — | (36,319) | BNP | ||||||
| 04/28/26 | Buy | SEK | 60,686 | EUR | 5,601 | — | (62,715) | BARC | ||||||
| 04/28/26 | Buy | TRY | 91,622 | EUR | 1,646 | 79,743 | — | HSBC | ||||||
| $307,659 | $(261,021) | |||||||||||||
| Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
| OTC Packaged Credit Default Swap Agreements on corporate and/or sovereign issues - Buy Protection(1)**: | ||||||||||||||||
| Arab Republic of Egypt | 06/20/31 | 1.000%(Q) | 500 | $66,406 | $83 | $66,323 | DB | |||||||||
| Dominican Republic | 06/20/31 | 1.000%(Q) | 500 | 18,832 | 83 | 18,749 | DB | |||||||||
| Federal Republic of Nigeria | 06/20/31 | 1.000%(Q) | 500 | 49,153 | 83 | 49,070 | DB | |||||||||
| Federation of Malaysia | 06/20/31 | 1.000%(Q) | 500 | (12,535) | 83 | (12,618) | DB | |||||||||
| Federative Republic of Brazil | 06/20/31 | 1.000%(Q) | 1,750 | 31,527 | 291 | 31,236 | DB | |||||||||
| Islamic Republic of Pakistan | 06/20/31 | 1.000%(Q) | 500 | 94,622 | 83 | 94,539 | DB | |||||||||
| Kingdom of Bahrain | 06/20/31 | 1.000%(Q) | 500 | 45,095 | 83 | 45,012 | DB | |||||||||
| Kingdom of Morocco | 06/20/31 | 1.000%(Q) | 500 | (474) | 83 | (557) | DB | |||||||||
| Kingdom of Saudi Arabia | 06/20/31 | 1.000%(Q) | 1,750 | (12,280) | 291 | (12,571) | DB | |||||||||
| Oriental Republic of Uruguay | 06/20/31 | 1.000%(Q) | 500 | (7,205) | 83 | (7,288) | DB | |||||||||
| People’s Republic of China | 06/20/31 | 1.000%(Q) | 1,750 | (39,135) | 291 | (39,426) | DB | |||||||||
| Republic of Angola | 06/20/31 | 1.000%(Q) | 500 | 89,209 | 83 | 89,126 | DB | |||||||||
| Republic of Argentina | 06/20/31 | 1.000%(Q) | 500 | 105,100 | 83 | 105,017 | DB | |||||||||
| Republic of Chile | 06/20/31 | 1.000%(Q) | 500 | (8,700) | 83 | (8,783) | DB | |||||||||
| Republic of Colombia | 06/20/31 | 1.000%(Q) | 1,500 | 86,870 | 249 | 86,621 | DB | |||||||||
| Republic of Costa Rica | 06/20/31 | 1.000%(Q) | 500 | 11,764 | 83 | 11,681 | DB | |||||||||
| Republic of Ecuador | 06/20/31 | 1.000%(Q) | 500 | 82,180 | 83 | 82,097 | DB | |||||||||
| Republic of El Salvador | 06/20/31 | 1.000%(Q) | 500 | 61,828 | 83 | 61,745 | DB | |||||||||
| Republic of Guatemala | 06/20/31 | 1.000%(Q) | 500 | 14,612 | 83 | 14,529 | DB | |||||||||
| Republic of Indonesia | 06/20/31 | 1.000%(Q) | 1,750 | 1,458 | 291 | 1,167 | DB | |||||||||
| Republic of Ivory Coast | 06/20/31 | 1.000%(Q) | 500 | 47,039 | 83 | 46,956 | DB | |||||||||
| Republic of Kazakhstan | 06/20/31 | 1.000%(Q) | 500 | 2,037 | 83 | 1,954 | DB | |||||||||
| Republic of Kenya | 06/20/31 | 1.000%(Q) | 500 | 84,105 | 83 | 84,022 | DB | |||||||||
| Republic of Panama | 06/20/31 | 1.000%(Q) | 750 | 9,766 | 125 | 9,641 | DB | |||||||||
| Republic of Peru | 06/20/31 | 1.000%(Q) | 500 | (3,237) | 83 | (3,320) | DB | |||||||||
| Republic of Philippines | 06/20/31 | 1.000%(Q) | 500 | (2,275) | 83 | (2,358) | DB | |||||||||
| Republic of South Africa | 06/20/31 | 1.000%(Q) | 1,750 | 78,258 | 291 | 77,967 | DB | |||||||||
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
| OTC Packaged Credit Default Swap Agreements on corporate and/or sovereign issues - Buy Protection(1)**(cont’d.): | ||||||||||||||||
| Republic of Turkey | 06/20/31 | 1.000%(Q) | 1,750 | $155,961 | $291 | $155,670 | DB | |||||||||
| Sultanate of Oman | 06/20/31 | 1.000%(Q) | 500 | (658) | 83 | (741) | DB | |||||||||
| United Mexican States | 06/20/31 | 1.000%(Q) | 1,750 | 7,049 | 291 | 6,758 | DB | |||||||||
| $1,056,372 | $4,154 | $1,052,218 | ||||||||||||||
| Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at March 31, 2026(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
| OTC Packaged Credit Default Swap Agreement on credit indices— Sell Protection(2)**: | |||||||||||||||||
| CDX.EM.45.V1 | 06/20/31 | 1.000%(Q) | 25,000 | 1.936% | $(1,045,770) | $(6,646) | $(1,039,124) | DB | |||||||||
| ** | The Portfolio entered into multiple credit default swap agreements in a packaged trade consisting of two parts. The Portfolio bought/sold protection on an Emerging Market CDX Index and bought/sold protection on the countries which comprise the index. The upfront premium is attached to the index of the trade for the Emerging Markets CDX package(s). Each swap is priced individually. If any of the component swaps are closed out early, the Index exposure will be reduced by an amount proportionate to the terminated swap(s). |
| Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
| OTC Credit Default Swap Agreements on corporate and/or sovereign issues - Buy Protection(1): | ||||||||||||||||
| China Development Bank | 06/20/29 | 1.000%(Q) | 795 | $(14,944) | $(5,239) | $(9,705) | JPM | |||||||||
| Industrial & Commercial Bank of China Ltd. | 06/20/29 | 1.000%(Q) | 795 | (15,565) | (4,578) | (10,987) | JPM | |||||||||
| Israel Electric Corp. Ltd. | 03/20/32 | 1.000%(Q) | 800 | 1,808 | 28,390 | (26,582) | BARC | |||||||||
| Kingdom of Morocco | 12/20/27 | 1.000%(Q) | 9,700 | (72,319) | (56,495) | (15,824) | BARC | |||||||||
| Republic of France | 12/20/30 | 0.250%(Q) | 830 | (3,735) | (2,338) | (1,397) | BARC | |||||||||
| Republic of Italy | 12/20/27 | 1.000%(Q) | EUR | 700 | (13,138) | (8,448) | (4,690) | BARC | ||||||||
| Republic of Italy | 12/20/30 | 1.000%(Q) | 1,245 | (34,377) | (44,390) | 10,013 | BARC | |||||||||
| Republic of South Africa | 12/20/28 | 1.000%(Q) | 2,000 | 14,020 | 32,687 | (18,667) | GSI | |||||||||
| Republic of South Africa | 12/20/28 | 1.000%(Q) | 1,600 | 11,217 | 85,148 | (73,931) | JPM | |||||||||
| Republic of South Africa | 12/20/28 | 1.000%(Q) | 1,200 | 8,412 | 62,498 | (54,086) | MSI | |||||||||
| $(118,621) | $87,235 | $(205,856) | ||||||||||||||
| Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at March 31, 2026(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
| OTC Credit Default Swap Agreements on corporate and/or sovereign issues - Sell Protection(2): | |||||||||||||||||
| Alphabet, Inc. | 06/20/30 | 1.000%(Q) | 1,140 | 0.415% | $26,495 | $26,481 | $14 | GSI | |||||||||
| Bank of Nova Scotia | 12/20/26 | 1.000%(Q) | 571 | 0.184% | 3,543 | 2,930 | 613 | CITI | |||||||||
| Barclays Bank PLC | 06/20/26 | 1.000%(Q) | EUR | 705 | 0.307% | 1,534 | 1,213 | 321 | GSI | ||||||||
| Barclays Bank PLC | 12/20/26 | 1.000%(Q) | 237 | 0.386% | 1,125 | 1,157 | (32) | GSI | |||||||||
| Barclays Bank PLC | 12/20/26 | 1.000%(Q) | EUR | 170 | 0.366% | 967 | 1,022 | (55) | GSI | ||||||||
| Citigroup, Inc. | 12/20/26 | 1.000%(Q) | 3,855 | 0.320% | 20,133 | 18,999 | 1,134 | GSI | |||||||||
| Comision Federal de Electricidad | 06/20/28 | 1.000%(Q) | 255 | 1.641% | (3,362) | (827) | (2,535) | BARC | |||||||||
| Deutsche Telekom AG | 06/20/26 | 1.000%(Q) | EUR | 331 | 0.124% | 877 | 819 | 58 | JPM | ||||||||
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at March 31, 2026(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
| OTC Credit Default Swap Agreements on corporate and/or sovereign issues - Sell Protection(2)(cont’d.): | |||||||||||||||||
| European Investment Bank | 12/20/26 | —%(Q) | 2,060 | 0.040% | $(587) | $(741) | $154 | BARC | |||||||||
| Federative Republic of Brazil | 06/20/26 | 1.000%(Q) | 450 | 0.485% | 666 | 578 | 88 | BARC | |||||||||
| Federative Republic of Brazil | 06/20/27 | 1.000%(Q) | 200 | 0.610% | 1,003 | 1,104 | (101) | BARC | |||||||||
| HSBC Bank PLC | 12/20/26 | 1.000%(Q) | 282 | 0.203% | 1,711 | 1,693 | 18 | MSI | |||||||||
| Kingdom of Norway | 12/20/26 | —%(Q) | 900 | 0.036% | (235) | (320) | 85 | BARC | |||||||||
| Kingdom of Saudi Arabia | 06/20/26 | 1.000%(Q) | 235 | 0.375% | 405 | 374 | 31 | CITI | |||||||||
| Kingdom of Spain | 06/20/26 | 1.000%(Q) | EUR | 636 | 0.034% | 1,834 | 1,528 | 306 | BARC | ||||||||
| Kingdom of Spain | 06/20/26 | —%(Q) | EUR | 500 | 0.057% | (73) | (25) | (48) | BARC | ||||||||
| National Bank of Canada | 12/20/26 | 1.000%(Q) | 318 | 0.311% | 1,680 | 1,669 | 11 | CITI | |||||||||
| Nomura Holdings, Inc. | 06/20/26 | 1.000%(Q) | 1,474 | 0.249% | 2,957 | 2,389 | 568 | BARC | |||||||||
| Oracle Corp. | 06/20/30 | 1.000%(Q) | 510 | 1.622% | (11,851) | 9,809 | (21,660) | GSI | |||||||||
| People’s Republic of China | 06/20/29 | 1.000%(Q) | 1,590 | 0.442% | 27,483 | 12,735 | 14,748 | JPM | |||||||||
| Petroleos Mexicanos | 06/20/26 | 1.000%(Q) | 300 | 1.886% | (491) | (401) | (90) | BARC | |||||||||
| Petroleos Mexicanos | 06/20/26 | 1.000%(T) | 215 | 1.886% | (351) | (263) | (88) | BARC | |||||||||
| Republic of Chile | 06/20/28 | 1.000%(Q) | 179 | 0.349% | 2,562 | 2,458 | 104 | BARC | |||||||||
| Republic of Estonia | 12/20/26 | 1.000%(Q) | 250 | 0.171% | 1,574 | 341 | 1,233 | JPM | |||||||||
| Republic of France | 12/20/30 | 0.250%(Q) | 830 | 0.310% | (2,093) | (4,815) | 2,722 | BARC | |||||||||
| Republic of France | 06/20/34 | 0.250%(Q) | 855 | 0.529% | (16,624) | (15,494) | (1,130) | CITI | |||||||||
| Republic of France | 12/20/34 | 0.250%(Q) | 20,000 | 0.555% | (445,690) | (527,585) | 81,895 | BOA | |||||||||
| Republic of France | 12/20/34 | 0.250%(Q) | 2,655 | 0.555% | (59,165) | (55,494) | (3,671) | BOA | |||||||||
| Republic of France | 06/20/35 | 0.250%(Q) | 1,870 | 0.578% | (46,838) | (61,680) | 14,842 | BARC | |||||||||
| Republic of France | 06/20/35 | 0.250%(Q) | 1,330 | 0.578% | (33,312) | (43,868) | 10,556 | BARC | |||||||||
| Republic of Italy | 12/20/30 | 1.000%(Q) | 1,245 | 0.370% | 34,376 | 33,263 | 1,113 | BARC | |||||||||
| Republic of Italy | 12/20/34 | 1.000%(Q) | 470 | 0.645% | 12,326 | (2,548) | 14,874 | CITI | |||||||||
| Republic of Italy | 12/20/34 | 1.000%(Q) | 470 | 0.645% | 12,326 | (2,548) | 14,874 | CITI | |||||||||
| Republic of Ivory Coast | 06/20/27 | 1.000%(Q) | 1,021 | 1.781% | (9,148) | (3,038) | (6,110) | BARC | |||||||||
| Republic of Panama | 06/20/26 | 1.000%(Q) | 339 | 0.516% | 478 | 365 | 113 | CITI | |||||||||
| Republic of Romania | 12/20/26 | 1.000%(Q) | 93 | 0.611% | 290 | 327 | (37) | BOA | |||||||||
| Republic of South Africa | 12/20/26 | 1.000%(Q) | 184 | 0.728% | 421 | 727 | (306) | BARC | |||||||||
| Siemens AG | 06/20/26 | 1.000%(Q) | EUR | 472 | 0.104% | 1,275 | 1,207 | 68 | JPM | ||||||||
| Siemens AG | 06/20/26 | 1.000%(Q) | EUR | 368 | 0.104% | 994 | 861 | 133 | GSI | ||||||||
| Skandinaviska Enskilda Banken AB | 12/20/26 | 1.000%(Q) | 918 | 0.100% | 6,249 | 5,773 | 476 | MSI | |||||||||
| Slovak Republic | 12/20/27 | 1.000%(Q) | 330 | 0.183% | 4,648 | 4,566 | 82 | BARC | |||||||||
| Socialist Republic of Vietnam | 12/20/27 | 1.000%(Q) | 800 | 0.452% | 7,615 | 8,039 | (424) | BARC | |||||||||
| Standard Chartered PLC | 12/20/26 | 1.000%(Q) | 273 | 0.200% | 1,661 | 1,600 | 61 | MSI | |||||||||
| State of Qatar | 12/20/26 | 1.000%(Q) | 565 | 0.244% | 3,260 | 3,516 | (256) | BARC | |||||||||
| Stellantis NV | 06/20/26 | 1.000%(Q) | EUR | 363 | 0.296% | 800 | 758 | 42 | BARC | ||||||||
| U.S. Treasury Notes | 06/20/26 | 0.250%(Q) | EUR | 2,425 | 0.174% | 713 | 819 | (106) | BARC | ||||||||
| Wells Fargo & Co. | 06/20/26 | 1.000%(Q) | 632 | 0.227% | 1,299 | 1,186 | 113 | JPM | |||||||||
| Wells Fargo & Co. | 06/20/26 | 1.000%(Q) | 565 | 0.227% | 1,161 | 1,060 | 101 | JPM | |||||||||
| $(443,379) | $(568,281) | $124,902 | |||||||||||||||
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at March 31, 2026(4) | Value at Trade Date | Value at March 31, 2026 | Unrealized Appreciation (Depreciation) | |||||||||
| Centrally Cleared Credit Default Swap Agreements on credit indices - Sell Protection(2): | ||||||||||||||||
| CDX.NA.HY.45.V2 | 12/20/30 | 5.000%(Q) | 18,231 | 3.649% | $1,083,788 | $990,449 | $(93,339) | |||||||||
| CDX.NA.HY.46.V1 | 06/20/31 | 5.000%(Q) | 3,160 | 3.857% | 117,499 | 156,665 | 39,166 | |||||||||
| CDX.NA.IG.46.V1 | 06/20/31 | 1.000%(Q) | 182,020 | 0.631% | 2,959,075 | 3,202,507 | 243,432 | |||||||||
| CDX.NA.IG.46.V1 | 06/20/31 | 1.000%(Q) | 431,510 | 0.631% | 7,015,001 | 7,592,099 | 577,098 | |||||||||
| $11,175,363 | $11,941,720 | $766,357 | ||||||||||||||
| Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at March 31, 2026(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | ||||||||
| OTC Credit Default Swap Agreements on credit indices - Sell Protection(2): | ||||||||||||||||
| CMBX.NA.17.AAA | 12/15/56 | 0.500%(M) | 2,250 | * | $(31,558) | $(27,915) | $(3,643) | CITI | ||||||||
| CMBX.NA.17.AAA | 12/15/56 | 0.500%(M) | 2,000 | * | (28,023) | (48,262) | 20,239 | CITI | ||||||||
| CMBX.NA.18.AAA | 12/17/57 | 0.500%(M) | 6,400 | * | 1,556 | 7,417 | (5,861) | GSI | ||||||||
| CMBX.NA.19.AAA | 12/17/58 | 0.500%(M) | 2,350 | * | (3,642) | (263) | (3,379) | CITI | ||||||||
| CMBX.NA.19.AAA | 12/17/58 | 0.500%(M) | 2,150 | * | (3,332) | (452) | (2,880) | GSI | ||||||||
| $(64,999) | $(69,475) | $4,476 | ||||||||||||||
| (1) | If the Portfolio is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (2) | If the Portfolio is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (3) | Notional amount represents the maximum potential amount the Portfolio 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. |
| (4) | Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements where the Portfolio is the seller of protection as of the reporting date serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include up-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
| * | When an implied credit spread is not available, reference the fair value of credit default swap agreements on credit indices and asset-backed securities. Where the Portfolio is the seller of protection, it serves as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the reporting date. Increasing fair value in absolute terms, when compared to the notional amount of the swap, represents a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| Currency swap agreements outstanding at March 31, 2026: | ||||||||||||||||||
| Notional Amount (000)# | Fund Receives | Notional Amount (000)# | Fund Pays | Counterparty | Termination Date | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||
| OTC Currency Swap Agreement: | ||||||||||||||||||
| JPY | 619 | 1 Day SOFR(Q)/ 3.680% | 97,200 | 1 Day TONAR -35bps(Q)/ 0.377% | CITI | 02/10/31 | $8,733 | $— | $8,733 | |||||||||
| Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at March 31, 2026 | Unrealized Appreciation (Depreciation) | ||||||||
| Centrally Cleared Interest Rate Swap Agreements: | ||||||||||||||
| AUD | 815 | 12/03/27 | 2.600%(S) | 6 Month BBSW(2)(S)/ 4.785% | $(10,523) | $(23,133) | $(12,610) | |||||||
| AUD | 2,175 | 12/03/28 | 2.650%(S) | 6 Month BBSW(2)(S)/ 4.785% | (39,347) | (88,987) | (49,640) | |||||||
| AUD | 3,735 | 12/03/30 | 2.750%(S) | 6 Month BBSW(2)(S)/ 4.785% | (106,612) | (236,288) | (129,676) | |||||||
| AUD | 1,785 | 12/03/31 | 2.750%(S) | 6 Month BBSW(2)(S)/ 4.785% | 107,269 | (134,996) | (242,265) | |||||||
| AUD | 2,860 | 12/03/32 | 2.850%(S) | 6 Month BBSW(2)(S)/ 4.785% | (125,227) | (239,955) | (114,728) | |||||||
| AUD | 3,690 | 12/03/33 | 2.800%(S) | 6 Month BBSW(1)(S)/ 4.785% | 280,176 | 361,782 | 81,606 | |||||||
| AUD | 7,285 | 12/03/34 | 2.850%(S) | 6 Month BBSW(2)(S)/ 4.785% | (472,123) | (780,667) | (308,544) | |||||||
| AUD | 4,180 | 11/07/35 | 4.330%(S) | 6 Month BBSW(2)(S)/ 4.785% | — | (149,196) | (149,196) | |||||||
| AUD | 1,040 | 12/03/35 | 2.850%(S) | 6 Month BBSW(2)(S)/ 4.785% | (115,391) | (123,215) | (7,824) | |||||||
| AUD | 160 | 12/03/38 | 2.900%(S) | 6 Month BBSW(2)(S)/ 4.785% | (15,151) | (23,370) | (8,219) | |||||||
| AUD | 530 | 12/03/52 | 2.900%(S) | 6 Month BBSW(2)(S)/ 4.785% | (48,752) | (119,369) | (70,617) | |||||||
| CAD | 3,505 | 12/03/26 | 2.550%(S) | 1 Day CORRA(2)(S)/ 2.270% | 413 | (3,595) | (4,008) | |||||||
| CAD | 4,265 | 12/03/27 | 3.650%(S) | 1 Day CORRA(2)(S)/ 2.270% | 37,452 | 61,794 | 24,342 | |||||||
| CAD | 775 | 12/03/28 | 3.550%(S) | 1 Day CORRA(2)(S)/ 2.270% | (1,963) | 13,328 | 15,291 | |||||||
| CAD | 2,890 | 12/03/29 | 3.500%(S) | 1 Day CORRA(2)(S)/ 2.270% | 46,661 | 56,553 | 9,892 | |||||||
| CAD | 1,215 | 12/03/30 | 3.500%(S) | 1 Day CORRA(2)(S)/ 2.270% | (3,792) | 27,349 | 31,141 | |||||||
| CAD | 2,030 | 12/03/34 | 3.500%(S) | 1 Day CORRA(2)(S)/ 2.270% | 55,932 | 47,127 | (8,805) | |||||||
| CAD | 3,430 | 12/03/35 | 3.500%(S) | 1 Day CORRA(2)(S)/ 2.270% | 87,899 | 74,114 | (13,785) | |||||||
| CAD | 18,385 | 05/20/36 | 3.010%(S) | 1 Day CORRA(2)(S)/ 2.270% | — | (246,672) | (246,672) | |||||||
| CAD | 1,340 | 12/03/50 | 3.350%(S) | 1 Day CORRA(2)(S)/ 2.270% | 1,132 | (30,931) | (32,063) | |||||||
| CHF | 1,500 | 08/10/31 | (0.220)%(A) | 1 Day SARON(2)(A)/ (0.066)% | — | (57,442) | (57,442) | |||||||
| CHF | 1,495 | 03/20/34 | 1.258%(A) | 1 Day SARON(1)(A)/ (0.066)% | (117,193) | (121,065) | (3,872) | |||||||
| CHF | 250 | 05/08/34 | 2.000%(A) | 1 Day SARON(2)(A)/ (0.066)% | 16,688 | 44,792 | 28,104 | |||||||
| CHF | 730 | 12/13/34 | 0.371%(A) | 1 Day SARON(2)(A)/ (0.066)% | — | (7,942) | (7,942) | |||||||
| CHF | 3,495 | 05/08/35 | 2.000%(A) | 1 Day SARON(2)(A)/ (0.066)% | 593,019 | 672,620 | 79,601 | |||||||
| CHF | 3,245 | 07/04/35 | 0.519%(A) | 1 Day SARON(2)(A)/ (0.066)% | — | 20,130 | 20,130 | |||||||
| CHF | 4,800 | 02/23/36 | 0.480%(A) | 3 Month SARON(2)(A)/ (0.040)% | — | (32,200) | (32,200) | |||||||
| CLP | 278,800 | 08/12/26 | 3.620%(S) | 1 Day CLOIS(2)(S)/ 4.500% | — | (1,527) | (1,527) | |||||||
| CNH | 109,540 | 08/20/26 | 2.440%(Q) | 7 Day China Fixing Repo Rates(2)(Q)/ 1.351% | (67) | 74,597 | 74,664 | |||||||
| CNH | 60,000 | 12/06/27 | 2.820%(Q) | 7 Day China Fixing Repo Rates(2)(Q)/ 1.351% | — | 198,742 | 198,742 | |||||||
| CNH | 6,425 | 04/26/28 | 2.790%(Q) | 7 Day China Fixing Repo Rates(2)(Q)/ 1.351% | — | 26,450 | 26,450 | |||||||
| CNH | 35,760 | 05/11/28 | 2.600%(Q) | 7 Day China Fixing Repo Rates(2)(Q)/ 1.351% | 48,425 | 125,218 | 76,793 | |||||||
| CNH | 13,300 | 06/01/28 | 2.473%(Q) | 7 Day China Fixing Repo Rates(2)(Q)/ 1.351% | — | 41,204 | 41,204 | |||||||
| CNH | 519,630 | 05/10/29 | 2.650%(Q) | 7 Day China Fixing Repo Rates(2)(Q)/ 1.351% | 2,489,081 | 2,651,860 | 162,779 | |||||||
| CNH | 26,210 | 05/15/29 | 2.027%(Q) | 7 Day China Fixing Repo Rates(2)(Q)/ 1.351% | 2,459 | 58,779 | 56,320 | |||||||
| CNH | 17,000 | 11/11/29 | 1.500%(Q) | 7 Day China Fixing Repo Rates(2)(Q)/ 1.351% | 6,085 | (5,008) | (11,093) | |||||||
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at March 31, 2026 | Unrealized Appreciation (Depreciation) | ||||||||
| Centrally Cleared Interest Rate Swap Agreements (cont’d.): | ||||||||||||||
| CNH | 5,000 | 12/12/29 | 1.496%(Q) | 7 Day China Fixing Repo Rates(2)(Q)/ 1.351% | $— | $(1,713) | $(1,713) | |||||||
| CNH | 72,580 | 05/11/30 | 1.500%(Q) | 7 Day China Fixing Repo Rates(2)(Q)/ 1.351% | (39,956) | (32,063) | 7,893 | |||||||
| CNH | 163,000 | 06/11/30 | 1.447%(Q) | 7 Day China Fixing Repo Rates(2)(Q)/ 1.351% | — | (126,568) | (126,568) | |||||||
| CNH | 45,800 | 11/20/30 | 1.585%(Q) | 7 Day China Fixing Repo Rates(2)(Q)/ 1.351% | (1,085) | (1,434) | (349) | |||||||
| CNH | 30,000 | 03/02/31 | 1.575%(Q) | 7 Day China Fixing Repo Rates(2)(Q)/ 1.351% | — | (4,749) | (4,749) | |||||||
| CNH | 28,860 | 05/11/31 | 1.600%(Q) | 7 Day China Fixing Repo Rates(2)(Q)/ 1.351% | (250) | (742) | (492) | |||||||
| CZK | 25,000 | 08/12/26 | 2.062%(A) | 6 Month PRIBOR(2)(S)/ 3.620% | — | 3,857 | 3,857 | |||||||
| CZK | 39,075 | 03/17/31 | 4.370%(A) | 6 Month PRIBOR(2)(S)/ 3.620% | — | 418 | 418 | |||||||
| CZK | 11,000 | 03/30/36 | 4.420%(A) | 6 Month PRIBOR(2)(S)/ 3.620% | — | (4,551) | (4,551) | |||||||
| DKK | 4,500 | 04/08/32 | 1.581%(A) | 6 Month CIBOR(2)(S)/ 2.523% | (19,839) | (55,351) | (35,512) | |||||||
| DKK | 3,000 | 07/10/34 | 3.200%(A) | 6 Month CIBOR(2)(S)/ 2.523% | 25,561 | 8,961 | (16,600) | |||||||
| DKK | 1,700 | 07/10/35 | 3.200%(A) | 6 Month CIBOR(2)(S)/ 2.523% | 7,157 | 4,251 | (2,906) | |||||||
| EUR | 3,520 | 04/23/26 | 3.076%(A) | 1 Day EuroSTR(1)(A)/ 1.929% | — | (45,264) | (45,264) | |||||||
| EUR | 1,495 | 10/11/29 | 2.101%(A) | 1 Day EuroSTR(1)(A)/ 1.929% | — | 26,435 | 26,435 | |||||||
| EUR | 9,605 | 05/11/31 | 2.650%(A) | 1 Day EuroSTR(1)(A)/ 1.929% | (237,919) | (80,543) | 157,376 | |||||||
| EUR | 11,050 | 05/11/32 | 2.600%(A) | 1 Day EuroSTR(1)(A)/ 1.929% | (347,011) | (24,080) | 322,931 | |||||||
| EUR | 2,870 | 03/20/33 | 2.996%(A) | 6 Month EURIBOR(2)(S)/ 2.475% | — | 12,339 | 12,339 | |||||||
| EUR | 65 | 03/20/34 | 2.560%(A) | 1 Day EuroSTR(2)(A)/ 1.929% | 195 | (1,036) | (1,231) | |||||||
| EUR | 6,885 | 05/11/34 | 2.650%(A) | 1 Day EuroSTR(2)(A)/ 1.929% | 163,544 | (15,885) | (179,429) | |||||||
| EUR | 2,055 | 03/20/38 | 2.982%(A) | 6 Month EURIBOR(1)(S)/ 2.475% | — | 34,324 | 34,324 | |||||||
| EUR | 950 | 11/24/41 | 0.565%(A) | 6 Month EURIBOR(1)(S)/ 2.475% | — | 228,410 | 228,410 | |||||||
| EUR | 950 | 11/24/41 | 0.600%(A) | 3 Month EURIBOR(2)(Q)/ 2.079% | — | (227,079) | (227,079) | |||||||
| EUR | 2,303 | 11/25/41 | 0.629%(A) | 6 Month EURIBOR(1)(S)/ 2.475% | — | 541,217 | 541,217 | |||||||
| EUR | 2,303 | 11/25/41 | 0.663%(A) | 3 Month EURIBOR(2)(Q)/ 2.079% | — | (538,287) | (538,287) | |||||||
| EUR | 1,355 | 02/17/42 | 0.536%(A) | 6 Month EURIBOR(2)(S)/ 2.475% | — | (529,302) | (529,302) | |||||||
| EUR | 1,140 | 03/22/42 | 1.257%(A) | 6 Month EURIBOR(1)(S)/ 2.475% | — | 206,908 | 206,908 | |||||||
| EUR | 1,140 | 03/22/42 | 1.310%(A) | 3 Month EURIBOR(2)(Q)/ 2.079% | — | (204,031) | (204,031) | |||||||
| EUR | 1,720 | 02/24/43 | 2.910%(A) | 6 Month EURIBOR(1)(S)/ 2.475% | 1,426 | 79,369 | 77,943 | |||||||
| EUR | 1,720 | 02/24/43 | 2.960%(A) | 3 Month EURIBOR(2)(Q)/ 2.079% | (756) | (62,962) | (62,206) | |||||||
| EUR | 1,000 | 05/11/44 | 1.150%(A) | 1 Day EuroSTR(2)(A)/ 1.929% | (226,080) | (320,174) | (94,094) | |||||||
| EUR | 4,615 | 05/11/45 | 2.700%(A) | 1 Day EuroSTR(2)(A)/ 1.929% | 88,959 | (254,509) | (343,468) | |||||||
| EUR | 2,640 | 11/28/54 | 1.468%(A) | 6 Month EURIBOR(1)(S)/ 2.475% | (1,876) | 194,445 | 196,321 | |||||||
| GBP | 1,770 | 05/08/26 | 1.000%(A) | 1 Day SONIA(1)(A)/ 3.730% | (64,763) | 70,576 | 135,339 | |||||||
| GBP | 5,720 | 05/08/26 | 1.000%(A) | 1 Day SONIA(1)(A)/ 3.730% | (79,241) | 228,078 | 307,319 | |||||||
| GBP | 6,520 | 05/08/27 | 1.050%(A) | 1 Day SONIA(1)(A)/ 3.730% | 336,565 | 533,493 | 196,928 | |||||||
| GBP | 2,690 | 05/08/27 | 1.050%(A) | 1 Day SONIA(2)(A)/ 3.730% | (102,744) | (220,106) | (117,362) | |||||||
| GBP | 270 | 05/08/28 | 4.100%(A) | 1 Day SONIA(1)(A)/ 3.730% | (3,544) | 885 | 4,429 | |||||||
| GBP | 425 | 05/08/29 | 1.100%(A) | 1 Day SONIA(1)(A)/ 3.730% | 70,730 | 64,724 | (6,006) | |||||||
| GBP | 2,315 | 05/08/30 | 3.950%(A) | 1 Day SONIA(2)(A)/ 3.730% | 19,740 | (30,255) | (49,995) | |||||||
| GBP | 1,350 | 05/08/31 | 1.150%(A) | 1 Day SONIA(1)(A)/ 3.730% | (104,023) | 292,870 | 396,893 | |||||||
| GBP | 600 | 05/08/31 | 1.150%(A) | 1 Day SONIA(1)(A)/ 3.730% | (13,825) | 130,164 | 143,989 | |||||||
| GBP | 2,145 | 05/08/32 | 3.850%(A) | 1 Day SONIA(2)(A)/ 3.730% | (27,190) | (63,431) | (36,241) | |||||||
| GBP | 2,365 | 02/08/33 | 3.850%(A) | 1 Day SONIA(1)(A)/ 3.730% | 5,931 | 77,104 | 71,173 | |||||||
| GBP | 2,320 | 05/08/33 | 1.150%(A) | 1 Day SONIA(2)(A)/ 3.730% | (378,293) | (660,723) | (282,430) | |||||||
| GBP | 2,570 | 05/08/33 | 3.850%(A) | 1 Day SONIA(1)(A)/ 3.730% | 61,653 | 94,725 | 33,072 | |||||||
| GBP | 2,320 | 05/08/35 | 3.900%(A) | 1 Day SONIA(2)(A)/ 3.730% | (37,098) | (114,874) | (77,776) | |||||||
| GBP | 2,150 | 02/08/36 | 3.900%(A) | 1 Day SONIA(2)(A)/ 3.730% | (52,141) | (118,573) | (66,432) | |||||||
| GBP | 1,680 | 05/08/36 | 3.900%(A) | 1 Day SONIA(1)(A)/ 3.730% | 76,466 | 99,877 | 23,411 | |||||||
| GBP | 4,640 | 05/08/40 | 3.950%(A) | 1 Day SONIA(2)(A)/ 3.730% | (170,069) | (432,345) | (262,276) | |||||||
| GBP | 915 | 02/08/41 | 3.950%(A) | 1 Day SONIA(1)(A)/ 3.730% | 62,181 | 90,355 | 28,174 | |||||||
| GBP | 365 | 05/08/41 | 1.250%(A) | 1 Day SONIA(2)(A)/ 3.730% | 44,900 | (190,041) | (234,941) | |||||||
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at March 31, 2026 | Unrealized Appreciation (Depreciation) | ||||||||
| Centrally Cleared Interest Rate Swap Agreements (cont’d.): | ||||||||||||||
| GBP | 1,110 | 05/08/43 | 1.250%(A) | 1 Day SONIA(1)(A)/ 3.730% | $420,545 | $633,720 | $213,175 | |||||||
| GBP | 1,225 | 05/08/45 | 3.950%(A) | 1 Day SONIA(1)(A)/ 3.730% | 82,646 | 164,818 | 82,172 | |||||||
| GBP | 4,640 | 02/19/46 | 4.423%(A) | 1 Day SONIA(2)(A)/ 3.730% | (118) | (267,589) | (267,471) | |||||||
| GBP | 2,890 | 02/27/46 | 5.000%(A) | 1 Day SONIA(2)(A)/ 3.730% | 2,834 | (57,842) | (60,676) | |||||||
| GBP | 5,675 | 05/08/46 | 1.250%(A) | 1 Day SONIA(2)(A)/ 3.730% | 201,848 | (3,611,787) | (3,813,635) | |||||||
| GBP | 3,010 | 05/08/46 | 3.950%(A) | 1 Day SONIA(1)(A)/ 3.730% | 381,098 | 426,044 | 44,946 | |||||||
| GBP | 900 | 05/08/48 | 1.250%(A) | 1 Day SONIA(1)(A)/ 3.730% | 385,636 | 606,219 | 220,583 | |||||||
| GBP | 775 | 05/08/50 | 3.900%(A) | 1 Day SONIA(2)(A)/ 3.730% | (86,481) | (134,126) | (47,645) | |||||||
| GBP | 505 | 05/08/54 | 1.250%(A) | 1 Day SONIA(2)(A)/ 3.730% | (283,040) | (382,827) | (99,787) | |||||||
| GBP | 380 | 05/08/54 | 3.900%(A) | 1 Day SONIA(2)(A)/ 3.730% | (7,763) | (70,835) | (63,072) | |||||||
| GBP | 2,220 | 05/08/55 | 3.900%(A) | 1 Day SONIA(2)(A)/ 3.730% | (174,745) | (419,162) | (244,417) | |||||||
| GBP | 4,760 | 02/27/56 | 4.700%(A) | 1 Day SONIA(1)(A)/ 3.730% | (3,070) | 44,375 | 47,445 | |||||||
| HUF | 70,000 | 08/10/31 | 2.748%(A) | 6 Month BUBOR(2)(S)/ 6.620% | — | (38,507) | (38,507) | |||||||
| ILS | 1,600 | 07/08/30 | 3.950%(A) | 1 Day SHIR(2)(A)/ 4.000% | 432 | 338 | (94) | |||||||
| ILS | 2,115 | 07/08/34 | 4.000%(A) | 1 Day SHIR(2)(A)/ 4.000% | (5,458) | 414 | 5,872 | |||||||
| JPY | 349,000 | 07/08/26 | (0.050)%(A) | 1 Day TONAR(2)(A)/ 0.727% | 2,267 | (15,417) | (17,684) | |||||||
| JPY | 1,560,000 | 07/08/26 | 0.400%(A) | 1 Day TONAR(2)(A)/ 0.727% | (4,520) | (24,658) | (20,138) | |||||||
| JPY | 2,415,000 | 07/08/27 | 0.500%(A) | 1 Day TONAR(2)(A)/ 0.727% | (69,968) | (135,022) | (65,054) | |||||||
| JPY | 857,000 | 04/11/28 | 0.609%(A) | 1 Day TONAR(1)(A)/ 0.727% | — | 78,042 | 78,042 | |||||||
| JPY | 237,600 | 07/31/28 | 0.268%(A) | 1 Day TONAR(2)(A)/ 0.727% | — | (42,718) | (42,718) | |||||||
| JPY | 320,000 | 07/08/29 | (0.050)%(A) | 1 Day TONAR(2)(A)/ 0.727% | (42,564) | (112,905) | (70,341) | |||||||
| JPY | 1,505,000 | 07/08/29 | 0.650%(A) | 1 Day TONAR(2)(A)/ 0.727% | (33,427) | (271,951) | (238,524) | |||||||
| JPY | 180,000 | 07/08/30 | (0.050)%(A) | 1 Day TONAR(1)(A)/ 0.727% | 59,416 | 85,730 | 26,314 | |||||||
| JPY | 720,000 | 07/08/30 | 0.750%(A) | 1 Day TONAR(2)(A)/ 0.727% | (41,174) | (167,407) | (126,233) | |||||||
| JPY | 745,000 | 07/08/31 | 0.000%(A) | 1 Day TONAR(2)(A)/ 0.727% | 7,853 | (436,589) | (444,442) | |||||||
| JPY | 5,000 | 07/08/31 | 0.800%(A) | 1 Day TONAR(1)(A)/ 0.727% | 154 | 1,482 | 1,328 | |||||||
| JPY | 561,000 | 07/08/32 | 0.050%(A) | 1 Day TONAR(2)(A)/ 0.727% | (147,933) | (390,204) | (242,271) | |||||||
| JPY | 400,000 | 07/08/32 | 0.900%(A) | 1 Day TONAR(2)(A)/ 0.727% | (27,190) | (136,147) | (108,957) | |||||||
| JPY | 205,000 | 07/08/34 | 0.100%(A) | 1 Day TONAR(2)(A)/ 0.727% | (90,854) | (193,275) | (102,421) | |||||||
| JPY | 1,626,000 | 07/08/34 | 1.050%(A) | 1 Day TONAR(2)(A)/ 0.727% | 35,324 | (719,470) | (754,794) | |||||||
| JPY | 345,000 | 07/08/35 | 1.100%(A) | 1 Day TONAR(2)(A)/ 0.727% | (32,867) | (174,452) | (141,585) | |||||||
| JPY | 81,000 | 07/08/37 | 0.150%(A) | 1 Day TONAR(2)(A)/ 0.727% | (43,235) | (108,900) | (65,665) | |||||||
| JPY | 130,000 | 07/08/38 | 0.200%(A) | 1 Day TONAR(2)(A)/ 0.727% | (95,012) | (189,356) | (94,344) | |||||||
| JPY | 539,865 | 07/08/39 | 1.350%(A) | 1 Day TONAR(2)(A)/ 0.727% | 20,374 | (388,253) | (408,627) | |||||||
| JPY | 515,000 | 07/08/40 | 1.400%(A) | 1 Day TONAR(2)(A)/ 0.727% | (86,511) | (400,344) | (313,833) | |||||||
| JPY | 553,500 | 07/08/41 | 0.250%(A) | 1 Day TONAR(2)(A)/ 0.727% | 18,522 | (1,029,955) | (1,048,477) | |||||||
| JPY | 52,000 | 09/02/41 | 0.227%(A) | 1 Day TONAR(2)(A)/ 0.727% | — | (98,907) | (98,907) | |||||||
| JPY | 470,000 | 07/08/44 | 1.550%(A) | 1 Day TONAR(2)(A)/ 0.727% | (3,244) | (482,452) | (479,208) | |||||||
| JPY | 170,000 | 07/08/45 | 1.600%(A) | 1 Day TONAR(2)(A)/ 0.727% | (57,396) | (180,595) | (123,199) | |||||||
| JPY | 320,000 | 12/19/45 | 2.481%(A) | 1 Day TONAR(2)(A)/ 0.727% | — | (79,993) | (79,993) | |||||||
| JPY | 1,610,000 | 02/24/46 | 2.530%(A) | 1 Day TONAR(2)(A)/ 0.727% | — | (372,523) | (372,523) | |||||||
| JPY | 935,000 | 03/02/46 | 2.569%(A) | 1 Day TONAR(2)(A)/ 0.727% | — | (182,638) | (182,638) | |||||||
| JPY | 330,000 | 07/08/46 | 0.350%(A) | 1 Day TONAR(2)(A)/ 0.727% | 37,969 | (808,839) | (846,808) | |||||||
| JPY | 50,000 | 07/08/48 | 0.450%(A) | 1 Day TONAR(2)(A)/ 0.727% | (38,676) | (128,830) | (90,154) | |||||||
| JPY | 170,000 | 07/08/49 | 1.700%(A) | 1 Day TONAR(2)(A)/ 0.727% | (1,771) | (213,495) | (211,724) | |||||||
| JPY | 150,000 | 07/08/50 | 1.700%(A) | 1 Day TONAR(2)(A)/ 0.727% | (73,569) | (198,430) | (124,861) | |||||||
| JPY | 223,500 | 07/08/51 | 0.450%(A) | 1 Day TONAR(2)(A)/ 0.727% | 22,819 | (645,844) | (668,663) | |||||||
| JPY | 36,000 | 09/02/51 | 0.393%(A) | 1 Day TONAR(2)(A)/ 0.727% | — | (106,998) | (106,998) | |||||||
| JPY | 45,300 | 07/31/53 | 1.102%(A) | 1 Day TONAR(1)(A)/ 0.727% | — | 102,292 | 102,292 | |||||||
| JPY | 625,000 | 07/08/54 | 1.750%(A) | 1 Day TONAR(2)(A)/ 0.727% | (17,089) | (928,899) | (911,810) | |||||||
| JPY | 310,000 | 07/08/55 | 1.750%(A) | 1 Day TONAR(2)(A)/ 0.727% | (241,126) | (475,343) | (234,217) | |||||||
| JPY | 220,000 | 09/01/55 | 2.485%(A) | 1 Day TONAR(2)(A)/ 0.727% | — | (131,030) | (131,030) | |||||||
| KRW | 270,000 | 04/19/28 | 3.135%(Q) | 3 Month KWCDC(2)(Q)/ 2.820% | — | (1,418) | (1,418) | |||||||
| KRW | 5,400,000 | 08/13/31 | 1.630%(Q) | 3 Month KWCDC(2)(Q)/ 2.820% | — | (374,161) | (374,161) | |||||||
| KRW | 790,215 | 03/10/33 | 3.150%(Q) | 3 Month KWCDC(2)(Q)/ 2.820% | (9,512) | (19,932) | (10,420) | |||||||
| KRW | 125,000 | 11/24/33 | 3.610%(Q) | 3 Month KWCDC(2)(Q)/ 2.820% | — | (873) | (873) | |||||||
| KRW | 2,360,990 | 03/10/34 | 3.150%(Q) | 3 Month KWCDC(2)(Q)/ 2.820% | 1,284 | (67,663) | (68,947) | |||||||
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at March 31, 2026 | Unrealized Appreciation (Depreciation) | ||||||||
| Centrally Cleared Interest Rate Swap Agreements (cont’d.): | ||||||||||||||
| KRW | 13,878,000 | 03/10/35 | 3.200%(Q) | 3 Month KWCDC(2)(Q)/ 2.820% | $425,227 | $(402,392) | $(827,619) | |||||||
| KRW | 1,040,000 | 03/10/36 | 3.200%(Q) | 3 Month KWCDC(2)(Q)/ 2.820% | (8,994) | (33,429) | (24,435) | |||||||
| MXN | 288,850 | 02/28/31 | 7.348%(M) | 28 Day Mexican Interbank Rate(2)(M)/ 7.057% | — | (524,450) | (524,450) | |||||||
| MXN | 13,200 | 04/19/32 | 8.945%(M) | 28 Day Mexican Interbank Rate(2)(M)/ 7.057% | — | 16,282 | 16,282 | |||||||
| MXN | 66,000 | 02/25/33 | 7.565%(M) | 28 Day Mexican Interbank Rate(2)(M)/ 7.057% | — | (147,355) | (147,355) | |||||||
| MXN | 169,805 | 02/25/33 | 7.566%(M) | 28 Day Mexican Interbank Rate(2)(M)/ 7.057% | — | (378,368) | (378,368) | |||||||
| MXN | 4,110 | 05/09/34 | 8.400%(M) | 28 Day Mexican Interbank Rate(2)(M)/ 7.057% | — | (3,218) | (3,218) | |||||||
| MXN | 24,000 | 12/06/34 | 9.100%(M) | 28 Day Mexican Interbank Rate(2)(M)/ 7.057% | 47,638 | 57,789 | 10,151 | |||||||
| MYR | 1,020 | 03/12/31 | 3.480%(Q) | 3 Month KLIBOR(2)(Q)/ 3.370% | (1) | (583) | (582) | |||||||
| NOK | 2,085 | 08/10/31 | 1.460%(A) | 6 Month NIBOR(2)(S)/ 4.660% | — | (30,605) | (30,605) | |||||||
| NZD | 795 | 08/10/31 | 1.876%(S) | 3 Month BBR(2)(Q)/ 2.540% | — | (48,051) | (48,051) | |||||||
| NZD | 2,260 | 05/08/35 | 4.400%(S) | 3 Month BBR(2)(Q)/ 2.540% | 59,811 | 27,158 | (32,653) | |||||||
| NZD | 3,540 | 07/31/35 | 4.068%(S) | 3 Month BBR(2)(Q)/ 2.540% | — | (34,891) | (34,891) | |||||||
| NZD | 22,775 | 02/23/36 | 4.014%(S) | 3 Month BBR(2)(Q)/ 2.540% | — | (340,996) | (340,996) | |||||||
| PLN | 26,000 | 05/11/27 | 4.400%(A) | 6 Month WIBOR(2)(S)/ 3.890% | (40,171) | 171,950 | 212,121 | |||||||
| PLN | 880 | 05/11/29 | 4.350%(A) | 6 Month WIBOR(2)(S)/ 3.890% | 273 | 4,489 | 4,216 | |||||||
| PLN | 1,000 | 11/09/31 | 2.845%(A) | 6 Month WIBOR(2)(S)/ 3.890% | — | (24,566) | (24,566) | |||||||
| SEK | 23,000 | 07/10/27 | 3.600%(A) | 3 Month STIBOR(2)(Q)/ 2.186% | 30,488 | 83,405 | 52,917 | |||||||
| SEK | 17,480 | 07/10/28 | 3.450%(A) | 3 Month STIBOR(2)(Q)/ 2.186% | 53,017 | 68,149 | 15,132 | |||||||
| SEK | 7,600 | 08/10/31 | 0.530%(A) | 3 Month STIBOR(2)(Q)/ 2.186% | — | (92,774) | (92,774) | |||||||
| SGD | 1,200 | 07/29/31 | 1.120%(S) | 1 Day SORA(2)(S)/ 0.995% | (2,709) | (42,748) | (40,039) | |||||||
| SGD | 1,070 | 09/10/34 | 2.450%(S) | 1 Day SORA(2)(S)/ 0.995% | (13,772) | 15,162 | 28,934 | |||||||
| SGD | 705 | 09/10/35 | 2.500%(S) | 1 Day SORA(2)(S)/ 0.995% | 26,919 | 10,986 | (15,933) | |||||||
| SGD | 300 | 09/11/35 | 1.720%(S) | 1 Day SORA(2)(S)/ 0.995% | — | (10,987) | (10,987) | |||||||
| SGD | 630 | 09/15/35 | 1.680%(S) | 1 Day SORA(2)(S)/ 0.995% | — | (24,881) | (24,881) | |||||||
| SGD | 1,270 | 09/17/35 | 1.680%(S) | 1 Day SORA(2)(S)/ 0.995% | — | (50,177) | (50,177) | |||||||
| SGD | 865 | 09/25/35 | 1.710%(S) | 1 Day SORA(2)(S)/ 0.995% | — | (32,646) | (32,646) | |||||||
| THB | 248,805 | 08/18/26 | 1.168%(Q) | 1 Day THOR(1)(Q)/ 0.989% | — | (5,457) | (5,457) | |||||||
| THB | 38,500 | 08/17/31 | 1.320%(Q) | 1 Day THOR(2)(Q)/ 0.989% | — | (25,926) | (25,926) | |||||||
| THB | 20,100 | 04/18/34 | 2.895%(Q) | 1 Day THOR(2)(Q)/ 0.989% | — | 44,418 | 44,418 | |||||||
| THB | 17,500 | 04/22/34 | 2.818%(Q) | 1 Day THOR(2)(Q)/ 0.989% | — | 35,418 | 35,418 | |||||||
| THB | 109,455 | 09/10/34 | 2.350%(Q) | 1 Day THOR(2)(Q)/ 0.989% | 36,021 | 92,028 | 56,007 | |||||||
| THB | 12,200 | 12/16/34 | 2.173%(Q) | 1 Day THOR(2)(Q)/ 0.989% | — | 4,469 | 4,469 | |||||||
| THB | 59,645 | 09/10/35 | 2.400%(Q) | 1 Day THOR(2)(Q)/ 0.989% | 122,713 | 51,662 | (71,051) | |||||||
| TWD | 62,800 | 02/17/28 | 1.390%(Q) | 3 Month TAIBOR(1)(Q)/ 1.678% | — | 23,396 | 23,396 | |||||||
| 3,850 | 04/23/26 | 4.861%(A) | 1 Day SOFR(2)(A)/ 3.680% | — | 29,062 | 29,062 | ||||||||
| 116,965 | 05/11/26 | 4.750%(A) | 1 Day SOFR(2)(A)/ 3.680% | 69,141 | 615,809 | 546,668 | ||||||||
| 2,780 | 05/11/26 | 4.750%(A) | 1 Day SOFR(2)(A)/ 3.680% | 3,417 | 14,637 | 11,220 | ||||||||
| 127,025 | 05/17/26 | 4.669%(A) | 1 Day SOFR(1)(A)/ 3.680% | — | (581,679) | (581,679) | ||||||||
| 128,030 | 08/27/26 | 3.809%(T) | 1 Day SOFR(2)(T)/ 3.680% | — | (246,522) | (246,522) | ||||||||
| 16,320 | 09/25/26 | 4.699%(A) | 1 Day SOFR(1)(A)/ 3.680% | 3,019 | (129,403) | (132,422) | ||||||||
| 64,660 | 05/13/27 | 4.497%(A) | 1 Day SOFR(2)(A)/ 3.680% | 8,972 | 677,957 | 668,985 | ||||||||
| 40,240 | 05/13/29 | 4.253%(A) | 1 Day SOFR(1)(A)/ 3.680% | (42,786) | (786,061) | (743,275) | ||||||||
| 800 | 02/22/32 | 3.989%(A) | 1 Day SOFR(1)(A)/ 3.680% | — | (14,333) | (14,333) | ||||||||
| 2,850 | 03/28/32 | 3.841%(A) | 1 Day SOFR(1)(A)/ 3.680% | — | (27,654) | (27,654) | ||||||||
| 1,690 | 08/01/35 | 3.869%(A) | 1 Day SOFR(1)(A)/ 3.680% | — | (4,683) | (4,683) | ||||||||
| 2,650 | 11/10/35 | 3.669%(A) | 1 Day SOFR(1)(A)/ 3.680% | — | 36,499 | 36,499 | ||||||||
| 18,901 | 05/26/36 | 3.672%(A) | 1 Day SOFR(1)(A)/ 3.680% | — | 294,967 | 294,967 | ||||||||
| 3,405 | 05/11/45 | 4.000%(A) | 1 Day SOFR(2)(A)/ 3.680% | (138,992) | (66,145) | 72,847 | ||||||||
| 1,415 | 05/11/49 | 1.350%(A) | 1 Day SOFR(2)(A)/ 3.680% | (534,873) | (629,269) | (94,396) | ||||||||
| 34,290 | 12/16/49 | 3.805%(A) | 1 Day SOFR(2)(A)/ 3.680% | (235,031) | (1,798,606) | (1,563,575) | ||||||||
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at March 31, 2026 | Unrealized Appreciation (Depreciation) | ||||||||
| Centrally Cleared Interest Rate Swap Agreements (cont’d.): | ||||||||||||||
| 17,090 | 12/16/49 | 3.805%(A) | 1 Day SOFR(2)(A)/ 3.680% | $(254,832) | $(896,418) | $(641,586) | ||||||||
| 14,071 | 11/15/52 | 3.927%(A) | 1 Day SOFR(1)(A)/ 3.680% | — | 479,102 | 479,102 | ||||||||
| 420 | 04/30/54 | 4.027%(A) | 1 Day SOFR(1)(A)/ 3.680% | — | 7,445 | 7,445 | ||||||||
| 805 | 05/10/54 | 3.850%(A) | 1 Day SOFR(2)(A)/ 3.680% | (4,468) | (39,211) | (34,743) | ||||||||
| 4,960 | 05/11/54 | 1.350%(A) | 1 Day SOFR(1)(A)/ 3.680% | 2,264,076 | 2,429,365 | 165,289 | ||||||||
| 1,305 | 05/11/54 | 1.350%(A) | 1 Day SOFR(1)(A)/ 3.680% | 572,115 | 639,177 | 67,062 | ||||||||
| 11,215 | 12/14/54 | 3.136%(A) | 1 Day SOFR(1)(A)/ 3.680% | 74,732 | 394,553 | 319,821 | ||||||||
| 63,140 | 12/14/54 | 3.136%(A) | 1 Day SOFR(1)(A)/ 3.680% | 923,405 | 2,221,321 | 1,297,916 | ||||||||
| 853 | 12/15/54 | 3.638%(A) | 1 Day SOFR(1)(A)/ 3.680% | — | 60,018 | 60,018 | ||||||||
| 30,360 | 12/16/54 | 3.719%(A) | 1 Day SOFR(1)(A)/ 3.680% | 235,350 | 2,065,100 | 1,829,750 | ||||||||
| 11,865 | 12/16/54 | 3.719%(A) | 1 Day SOFR(1)(A)/ 3.680% | 189,270 | 807,062 | 617,792 | ||||||||
| 31,800 | 01/15/55 | 4.130%(A) | 1 Day SOFR(1)(A)/ 3.680% | (582,624) | (72,077) | 510,547 | ||||||||
| 1,590 | 01/15/55 | 4.130%(A) | 1 Day SOFR(1)(A)/ 3.680% | (31,409) | (3,604) | 27,805 | ||||||||
| 2,655 | 05/11/55 | 3.850%(A) | 1 Day SOFR(1)(A)/ 3.680% | 129,594 | 127,597 | (1,997) | ||||||||
| 37,365 | 05/11/55 | 3.850%(A) | 1 Day SOFR(1)(A)/ 3.680% | 1,347,796 | 1,795,725 | 447,929 | ||||||||
| 870 | 05/10/74 | 3.420%(A) | 1 Day SOFR(1)(A)/ 3.680% | 9,031 | 93,422 | 84,391 | ||||||||
| 1,320 | 05/11/74 | 1.950%(A) | 1 Day SOFR(1)(A)/ 3.680% | 5,948 | 66,694 | 60,746 | ||||||||
| $6,483,874 | $(6,468,984) | $(12,952,858) | ||||||||||||
| Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Fair Value | Upfront Premiums Paid(Received) | Unrealized Appreciation (Depreciation) | Counterparty | ||||||||
| OTC Interest Rate Swap Agreements: | |||||||||||||||
| BRL | 14,979 | 01/02/31 | 13.788%(T) | 1 Day BROIS(1)(T)/ 0.054% | $13,424 | $— | $13,424 | GSI | |||||||
| BRL | 14,979 | 01/02/31 | 13.940%(T) | 1 Day BROIS(2)(T)/ 0.054% | (11,630) | — | (11,630) | GSI | |||||||
| CNH | 2,100 | 07/31/30 | 2.515%(Q) | 7 Day China Fixing Repo Rates(2)(Q)/ 1.351% | 12,371 | — | 12,371 | MSI | |||||||
| CNH | 2,100 | 11/24/30 | 2.495%(Q) | 7 Day China Fixing Repo Rates(2)(Q)/ 1.351% | 12,614 | — | 12,614 | MSI | |||||||
| MYR | 8,100 | 08/12/26 | 2.605%(Q) | 3 Month KLIBOR(2)(Q)/ 3.370% | (6,906) | (15) | (6,891) | HSBC | |||||||
| MYR | 13,000 | 12/19/29 | 3.560%(Q) | 3 Month KLIBOR(2)(Q)/ 3.370% | 8,403 | 9 | 8,394 | MSI | |||||||
| MYR | 2,185 | 11/23/30 | 3.880%(Q) | 3 Month KLIBOR(2)(Q)/ 3.370% | 8,757 | (2) | 8,759 | MSI | |||||||
| MYR | 1,855 | 02/28/32 | 3.625%(Q) | 3 Month KLIBOR(2)(Q)/ 3.370% | 1,434 | — | 1,434 | JPM | |||||||
| MYR | 900 | 07/12/32 | 3.650%(Q) | 3 Month KLIBOR(2)(Q)/ 3.370% | 903 | (6) | 909 | GSI | |||||||
| MYR | 5,000 | 07/29/35 | 3.330%(Q) | 3 Month KLIBOR(2)(Q)/ 3.370% | (40,835) | (3) | (40,832) | JPM | |||||||
| $(1,465) | $(17) | $(1,448) | |||||||||||||
| (1) | The Portfolio pays the fixed rate and receives the floating rate. |
| (2) | The Portfolio pays the floating rate and receives the fixed rate. |
| SCHEDULE OF INVESTMENTS | as of March 31, 2026 (unaudited) |
| Total return swap agreements outstanding at March 31, 2026: | ||||||||||||||
| Reference Entity | Financing Rate | Counterparty | Termination Date | Long (Short) Notional Amount (000)#(1) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation)(2) | |||||||
| OTC Total Return Swap Agreements: | ||||||||||||||
| Bloomberg Commodity Total Return Index(Q) | 3 Month U.S. Treasury Bill +8bps(Q)/ 3.700% | ML | 04/07/27 | 83,301 | $— | $— | $— | |||||||
| U.S. Treasury Bond(T) | 1 Day USOIS +26bps(T)/ 3.900% | JPM | 05/04/26 | 30,140 | (1,246,978) | — | (1,246,978) | |||||||
| $(1,246,978) | $— | $(1,246,978) | ||||||||||||
| (1) | On a long total return swap, the Portfolio receives payments for any positive return on the reference entity (makes payments for any negative return) and pays the financing rate. On a short total return swap, the Portfolio makes payments for any positive return on the reference entity (receives payments for any negative return) and receives the financing rate. |
| (2) | Upfront/recurring fees or commissions, as applicable, are included in the net unrealized appreciation (depreciation). |