ABBEY CAPITAL MULTI ASSET FUND
|
CONSOLIDATED PORTFOLIO OF INVESTMENTS
|
MAY 31, 2023
|
(UNAUDITED)
|
COUPON*
|
MATURITY DATE
|
PAR (000's)
|
VALUE
|
||||||||||
SHORT-TERM INVESTMENTS - 82.7%
|
|||||||||||||
U.S. TREASURY OBLIGATIONS - 80.3%
|
|||||||||||||
U.S. Treasury Bills
|
4.716
|
%
|
06/01/23
|
2,164
|
$
|
2,164,000
|
|||||||
U.S. Treasury Bills
|
4.701
|
%
|
06/08/23
|
11,214
|
11,202,558
|
||||||||
U.S. Treasury Bills
|
4.656
|
%
|
06/22/23
|
1,659
|
1,654,125
|
||||||||
U.S. Treasury Bills
|
4.780
|
%
|
06/29/23
|
6,948
|
6,920,750
|
||||||||
U.S. Treasury Bills
|
4.859
|
%
|
07/06/23
|
9,033
|
8,990,418
|
||||||||
U.S. Treasury Bills
|
4.827
|
%
|
07/13/23
|
12,185
|
12,112,764
|
||||||||
U.S. Treasury Bills
|
4.858
|
%
|
07/20/23
|
9,856
|
9,787,817
|
||||||||
U.S. Treasury Bills
|
4.819
|
%
|
07/27/23
|
16,965
|
16,828,317
|
||||||||
U.S. Treasury Bills
|
4.827
|
%
|
08/03/23
|
16,231
|
16,084,640
|
||||||||
U.S. Treasury Bills
|
4.937
|
%
|
08/10/23
|
27,492
|
27,217,666
|
||||||||
U.S. Treasury Bills
|
5.057
|
%
|
08/17/23
|
9,397
|
9,295,022
|
||||||||
U.S. Treasury Bills
|
5.141
|
%
|
08/24/23
|
29,388
|
29,034,785
|
||||||||
U.S. Treasury Bills
|
5.158
|
%
|
08/31/23
|
5,269
|
5,199,030
|
||||||||
U.S. Treasury Bills
|
5.124
|
%
|
09/07/23
|
14,858
|
14,653,905
|
||||||||
U.S. Treasury Bills
|
4.894
|
%
|
09/14/23
|
13,279
|
13,082,297
|
||||||||
U.S. Treasury Bills
|
4.740
|
%
|
09/21/23
|
3,677
|
3,618,713
|
||||||||
U.S. Treasury Bills
|
4.888
|
%
|
09/28/23
|
9,356
|
9,199,797
|
||||||||
U.S. Treasury Bills
|
4.966
|
%
|
10/05/23
|
9,107
|
8,941,360
|
||||||||
U.S. Treasury Bills
|
4.977
|
%
|
10/12/23
|
26,873
|
26,350,616
|
||||||||
U.S. Treasury Bills
|
5.051
|
%
|
10/19/23
|
20,859
|
20,433,872
|
||||||||
U.S. Treasury Bills
|
5.086
|
%
|
10/26/23
|
53,954
|
52,797,324
|
||||||||
U.S. Treasury Bills
|
5.093
|
%
|
11/02/23
|
14,120
|
13,806,061
|
||||||||
U.S. Treasury Bills
|
5.124
|
%
|
11/09/23
|
19,736
|
19,269,658
|
||||||||
U.S. Treasury Bills
|
5.355
|
%
|
11/16/23
|
20,621
|
20,121,143
|
||||||||
U.S. Treasury Bills
|
5.436
|
%
|
11/24/23
|
25,846
|
25,190,412
|
||||||||
TOTAL U.S. TREASURY OBLIGATIONS ($384,371,149)
|
383,957,050
|
||||||||||||
NUMBER OF
|
|||||||||||||
SHARES
|
|||||||||||||
MONEY MARKET DEPOSIT ACCOUNT - 2.4%
|
(000's)
|
||||||||||||
U.S. Bank Money Market Deposit Account, 5.00% (United States)(a)
|
11,367
|
11,636,667
|
|||||||||||
TOTAL MONEY MARKET DEPOSIT ACCOUNT ($11,636,667)
|
11,636,667
|
||||||||||||
TOTAL SHORT-TERM INVESTMENTS
|
|||||||||||||
(Cost $396,007,816)
|
395,593,717
|
||||||||||||
TOTAL INVESTMENTS - 82.7%
|
|||||||||||||
(Cost $396,007,816)
|
395,593,717
|
||||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 17.3%
|
82,668,758
|
||||||||||||
NET ASSETS - 100.0%
|
$
|
478,262,475
|
|||||||||||
|
|||||||||||||
* Short-term investments' coupon reflect the annualized effective yield on the date of purchase for discounted investments.
|
|||||||||||||
(a) The rate shown is as of May 31 2023.
|
Futures contracts outstanding as of May 31, 2023 were as follows:
|
|||||||||||||
LONG CONTRACTS
|
EXPIRATION DATE
|
NUMBER OF CONTRACTS
|
NOTIONAL AMOUNT
|
VALUE AND UNREALIZED APPRECIATION/ (DEPRECIATION)
|
|||||||||
10-Year Mini Japanese Government Bond Futures
|
Jun-23
|
171
|
$
|
18,239,590
|
$
|
28,423
|
|||||||
3-Month Euro Euribor
|
Jun-24
|
1
|
258,527
|
374
|
|||||||||
3-Month SOFR Futures
|
Dec-24
|
22
|
5,321,525
|
(19,938
|
)
|
||||||||
3-Month SOFR Futures
|
Dec-25
|
41
|
9,940,450
|
(19,888
|
)
|
||||||||
90-DAY Bank Bill
|
Jun-23
|
3
|
1,932,005
|
(1,479
|
)
|
||||||||
90-DAY Bank Bill
|
Dec-23
|
23
|
14,809,871
|
(7,062
|
)
|
||||||||
Australian 10-Year Bond Futures
|
Jun-23
|
41
|
3,197,880
|
(53,453
|
)
|
||||||||
Australian 3-Year Bond Futures
|
Jun-23
|
59
|
4,123,354
|
(30,563
|
)
|
||||||||
CAC40 10 Euro Futures
|
Jun-23
|
148
|
11,231,225
|
(421,407
|
)
|
||||||||
Cattle Feeder Futures
|
Aug-23
|
18
|
2,152,575
|
71,400
|
|||||||||
Cattle Feeder Futures
|
Sep-23
|
5
|
605,563
|
28,675
|
|||||||||
CHF Currency Futures
|
Jun-23
|
1
|
137,469
|
(2,725
|
)
|
||||||||
Cocoa Futures
|
Jul-23
|
15
|
451,050
|
5,350
|
|||||||||
Cocoa Futures
|
Sep-23
|
92
|
2,777,480
|
51,340
|
|||||||||
Cocoa Futures
|
Dec-23
|
33
|
993,300
|
(1,830
|
)
|
||||||||
Cocoa Futures ICE
|
Jul-23
|
28
|
817,127
|
33,052
|
|||||||||
Cocoa Futures ICE
|
Sep-23
|
47
|
1,355,235
|
70,047
|
|||||||||
Cocoa Futures ICE
|
Dec-23
|
10
|
283,123
|
(697
|
)
|
||||||||
Coffee 'C' Futures
|
Sep-23
|
1
|
65,944
|
(6,244
|
)
|
||||||||
Coffee Robusta Futures
|
Jul-23
|
4
|
102,240
|
6,610
|
|||||||||
Coffee Robusta Futures
|
Sep-23
|
12
|
302,400
|
6,980
|
|||||||||
DAX Index Futures
|
Jun-23
|
51
|
21,349,033
|
(436,972
|
)
|
||||||||
DJIA Mini E-CBOT
|
Jun-23
|
53
|
8,739,435
|
(216,428
|
)
|
||||||||
Dollar Index
|
Jun-23
|
172
|
17,930,140
|
114,510
|
|||||||||
E-Mini Consumer Discretionary Select Futures
|
Jun-23
|
1
|
153,350
|
(190
|
)
|
||||||||
E-mini S&P 500 ESG Index
|
Jun-23
|
2
|
371,660
|
3,010
|
|||||||||
E-Mini Technology Select Futures
|
Jun-23
|
2
|
331,420
|
32,450
|
|||||||||
EUR Foreign Exchange Currency Futures
|
Jun-23
|
114
|
15,226,838
|
(43,378
|
)
|
||||||||
Euro STOXX 50
|
Jun-23
|
199
|
8,970,039
|
148,428
|
|||||||||
Euro/JPY Futures
|
Jun-23
|
53
|
7,056,998
|
184,263
|
|||||||||
Euro-Bobl Futures
|
Jun-23
|
25
|
3,157,000
|
1,432
|
|||||||||
Euro-BTP Futures
|
Jun-23
|
17
|
2,107,147
|
19,219
|
|||||||||
Euro-Bund Futures
|
Jun-23
|
14
|
2,035,936
|
2,309
|
|||||||||
FTSE 100 Index Futures
|
Jun-23
|
142
|
13,163,294
|
(446,796
|
)
|
||||||||
FTSE Taiwan Index
|
Jun-23
|
28
|
1,590,680
|
19,330
|
|||||||||
FTSE/JSE TOP 40
|
Jun-23
|
5
|
178,034
|
(8,022
|
)
|
||||||||
FTSE/MIB Index Futures
|
Jun-23
|
41
|
5,717,623
|
(69,489
|
)
|
||||||||
Gasoline RBOB Futures
|
Jun-23
|
25
|
2,565,990
|
(51,431
|
)
|
||||||||
Gasoline RBOB Futures
|
Aug-23
|
3
|
299,326
|
(4,704
|
)
|
||||||||
Gasoline RBOB Futures
|
Oct-23
|
1
|
89,048
|
(3,927
|
)
|
||||||||
GBP Currency Futures
|
Jun-23
|
59
|
4,582,825
|
68,584
|
|||||||||
Gold 100 Oz Futures
|
Aug-23
|
61
|
12,090,810
|
12,370
|
|||||||||
Gold 100 Oz Futures
|
Dec-23
|
2
|
404,080
|
(1,980
|
)
|
||||||||
Hang Seng Index Futures
|
Jun-23
|
6
|
697,278
|
(22,642
|
)
|
||||||||
IBEX 35 Index Futures
|
Jun-23
|
6
|
579,586
|
(9,934
|
)
|
||||||||
JPN 10-Year Bond (Osaka Securities Exchange)
|
Jun-23
|
4
|
4,266,284
|
(3,302
|
)
|
||||||||
JPY Currency Futures
|
Jun-23
|
112
|
10,080,000
|
32,594
|
|||||||||
Live Cattle Futures
|
Aug-23
|
89
|
5,969,230
|
167,040
|
|||||||||
Live Cattle Futures
|
Oct-23
|
35
|
2,404,850
|
63,530
|
|||||||||
Live Cattle Futures
|
Dec-23
|
22
|
1,543,960
|
44,940
|
|||||||||
LME Aluminum Forward
|
Jun-23
|
2
|
112,576
|
(6,362
|
)
|
||||||||
LME Aluminum Forward
|
Jun-23
|
945
|
52,979,062
|
(2,744,834
|
)
|
||||||||
LME Aluminum Forward
|
Jun-23
|
4
|
224,300
|
(11,293
|
)
|
||||||||
LME Aluminum Forward
|
Jul-23
|
4
|
224,563
|
(18,562
|
)
|
||||||||
LME Aluminum Forward
|
Jul-23
|
2
|
112,475
|
(5,676
|
)
|
||||||||
LME Aluminum Forward
|
Jul-23
|
4
|
224,850
|
(15,713
|
)
|
||||||||
LME Aluminum Forward
|
Jul-23
|
2
|
112,375
|
(9,200
|
)
|
||||||||
LME Aluminum Forward
|
Jul-23
|
1
|
56,113
|
668
|
|||||||||
LME Aluminum Forward
|
Jul-23
|
5
|
280,438
|
3,313
|
|||||||||
LME Aluminum Forward
|
Aug-23
|
1
|
56,086
|
(1,827
|
)
|
||||||||
LME Aluminum Forward
|
Sep-23
|
83
|
4,678,046
|
(85,200
|
)
|
||||||||
LME Copper Forward
|
Jun-23
|
2
|
403,600
|
(48,229
|
)
|
||||||||
LME Copper Forward
|
Jun-23
|
1
|
201,813
|
(24,089
|
)
|
||||||||
LME Copper Forward
|
Jun-23
|
2
|
403,905
|
(47,849
|
)
|
||||||||
LME Copper Forward
|
Jun-23
|
1
|
201,991
|
(23,849
|
)
|
||||||||
LME Copper Forward
|
Jun-23
|
314
|
63,427,999
|
(6,245,053
|
)
|
||||||||
LME Copper Forward
|
Jun-23
|
1
|
202,006
|
(21,819
|
)
|
||||||||
LME Copper Forward
|
Jun-23
|
1
|
202,073
|
(9,565
|
)
|
||||||||
LME Copper Forward
|
Jul-23
|
1
|
202,140
|
(22,611
|
)
|
||||||||
LME Copper Forward
|
Jul-23
|
1
|
202,043
|
(850
|
)
|
||||||||
LME Copper Forward
|
Jul-23
|
1
|
202,098
|
(9,596
|
)
|
||||||||
LME Copper Forward
|
Aug-23
|
1
|
202,166
|
(12,728
|
)
|
||||||||
LME Copper Forward
|
Sep-23
|
34
|
6,878,200
|
(7,830
|
)
|
||||||||
LME Lead Forward
|
Jun-23
|
1
|
50,288
|
(2,699
|
)
|
||||||||
LME Lead Forward
|
Jun-23
|
1
|
50,353
|
(2,723
|
)
|
||||||||
LME Lead Forward
|
Jun-23
|
1
|
50,369
|
(3,263
|
)
|
||||||||
LME Lead Forward
|
Jun-23
|
66
|
3,333,858
|
(188,252
|
)
|
||||||||
LME Lead Forward
|
Jun-23
|
1
|
50,463
|
(3,075
|
)
|
||||||||
LME Lead Forward
|
Jun-23
|
1
|
50,444
|
(2,931
|
)
|
||||||||
LME Lead Forward
|
Sep-23
|
52
|
2,617,875
|
(73,037
|
)
|
||||||||
LME Nickel Forward
|
Jun-23
|
1
|
122,757
|
(21,123
|
)
|
||||||||
LME Nickel Forward
|
Jun-23
|
2
|
245,676
|
(37,648
|
)
|
||||||||
LME Nickel Forward
|
Jul-23
|
1
|
123,001
|
(31,379
|
)
|
||||||||
LME Nickel Forward
|
Jul-23
|
1
|
123,014
|
(23,896
|
)
|
||||||||
LME Nickel Forward
|
Jul-23
|
1
|
123,052
|
(2,658
|
)
|
||||||||
LME Nickel Forward
|
Aug-23
|
2
|
246,366
|
(40,746
|
)
|
||||||||
LME Nickel Forward
|
Aug-23
|
1
|
123,452
|
(4,349
|
)
|
||||||||
LME Zinc Forward
|
Jun-23
|
1
|
55,931
|
(11,181
|
)
|
||||||||
LME Zinc Forward
|
Jun-23
|
97
|
5,431,394
|
(1,031,230
|
)
|
||||||||
LME Zinc Forward
|
Jun-23
|
2
|
112,085
|
(22,214
|
)
|
||||||||
LME Zinc Forward
|
Jul-23
|
1
|
56,027
|
(1,416
|
)
|
||||||||
LME Zinc Forward
|
Jul-23
|
1
|
56,031
|
(1,419
|
)
|
||||||||
LME Zinc Forward
|
Jul-23
|
1
|
56,094
|
(12,519
|
)
|
||||||||
LME Zinc Forward
|
Jul-23
|
1
|
56,113
|
(10,125
|
)
|
||||||||
LME Zinc Forward
|
Aug-23
|
1
|
56,144
|
(5,806
|
)
|
||||||||
LME Zinc Forward
|
Aug-23
|
1
|
56,169
|
94
|
|||||||||
Micro E-mini Nasdaq 100 Index Futures
|
Jun-23
|
1
|
28,601
|
2,517
|
|||||||||
Micro Gold Futures
|
Aug-23
|
1
|
19,821
|
(227
|
)
|
||||||||
Mini TOPIX Index Futures
|
Jun-23
|
6
|
91,556
|
7,951
|
|||||||||
MSCI EAFE Index Futures
|
Jun-23
|
23
|
2,361,410
|
(92,735
|
)
|
||||||||
MXN Currency Futures
|
Jun-23
|
205
|
5,774,850
|
136,310
|
|||||||||
Nasdaq 100 E-Mini
|
Jun-23
|
90
|
25,740,899
|
555,470
|
|||||||||
Nikkei 225 (Chicago Mercantile Exchange)
|
Jun-23
|
11
|
1,693,450
|
110,625
|
|||||||||
Nikkei 225 (Osaka Securities Exchange)
|
Jun-23
|
26
|
5,757,043
|
374,161
|
|||||||||
Nikkei 225 (Singapore Exchange)
|
Jun-23
|
267
|
29,569,782
|
94,258
|
|||||||||
Nikkei 225 Mini
|
Jun-23
|
114
|
2,524,242
|
198,579
|
|||||||||
Nikkei/Yen Futures
|
Jun-23
|
2
|
220,922
|
2,081
|
|||||||||
NZD Currency Futures
|
Jun-23
|
24
|
1,442,280
|
(29,280
|
)
|
||||||||
OAT Futures
|
Jul-23
|
1
|
16,950
|
(150
|
)
|
||||||||
OMX Helsinki All-Share Index Futures
|
Jun-23
|
4
|
78,318
|
(852
|
)
|
||||||||
OMX Stockholm 30 Index Futures
|
Jun-23
|
529
|
10,915,823
|
(55,928
|
)
|
||||||||
Orange Juice Futures
|
Jul-23
|
3
|
126,990
|
8,618
|
|||||||||
Palm Oil Futures
|
Jul-23
|
1
|
17,495
|
(1,712
|
)
|
||||||||
Platinum Standard Futures
|
Apr-24
|
1
|
16,042
|
(373
|
)
|
||||||||
S&P 500 E-Mini Futures
|
Jun-23
|
1,200
|
251,429,999
|
12,887,596
|
|||||||||
S&P/TSX 60 IX Futures
|
Jun-23
|
21
|
3,640,309
|
(192,530
|
)
|
||||||||
SGX Nifty 50
|
Jun-23
|
78
|
2,911,584
|
25,865
|
|||||||||
Silver Futures
|
Jul-23
|
65
|
7,665,775
|
(427,171
|
)
|
||||||||
SPI 200 Futures
|
Jun-23
|
79
|
9,120,918
|
(93,665
|
)
|
||||||||
STOXX Dividend Futures
|
Dec-24
|
1
|
14,633
|
556
|
|||||||||
STOXX Europe 600 Banks Index
|
Jun-23
|
2
|
15,504
|
(323
|
)
|
||||||||
STOXX Europe 600 Index
|
Jun-23
|
19
|
458,580
|
(6,258
|
)
|
||||||||
STOXX Europe 600 Institutional Index
|
Jun-23
|
1
|
17,022
|
1,181
|
|||||||||
STOXX Europe 600 Utilities Index
|
Jun-23
|
1
|
20,432
|
978
|
|||||||||
STOXX Europe 600 ESG-X Index Futures
|
Jun-23
|
10
|
179,682
|
(3,314
|
)
|
||||||||
Sugar No. 11 (World)
|
Jul-23
|
76
|
2,133,107
|
(28,668
|
)
|
||||||||
Sugar No. 11 (World)
|
Oct-23
|
183
|
5,070,710
|
71,478
|
|||||||||
Sugar No. 11 (World)
|
Mar-24
|
42
|
1,151,539
|
(7,011
|
)
|
||||||||
Sugar No. 11 (World)
|
May-24
|
1
|
25,659
|
(504
|
)
|
||||||||
Topix Index Futures
|
Jun-23
|
69
|
10,528,907
|
445,193
|
|||||||||
U.S. Treasury 10-Year Notes (Chicago Board of Trade)
|
Sep-23
|
125
|
14,308,594
|
29,813
|
|||||||||
U.S. Treasury Long Bond (Chicago Board of Trade)
|
Sep-23
|
12
|
1,540,125
|
18,234
|
|||||||||
USD/CHN Futures
|
Jun-23
|
2
|
199,855
|
2,623
|
|||||||||
White Sugar ICE
|
Aug-23
|
9
|
313,245
|
25,410
|
|||||||||
$
|
2,488,226
|
SHORT CONTRACTS
|
EXPIRATION DATE
|
NUMBER OF CONTRACTS
|
NOTIONAL AMOUNT
|
VALUE AND UNREALIZED APPRECIATION/ (DEPRECIATION)
|
|||||||||
1-Month SOFR Future
|
Oct-23
|
6
|
$
|
(2,369,440
|
)
|
$
|
3,584
|
||||||
3 Year Treasury Note
|
Sep-23
|
1
|
(211,297
|
)
|
(516
|
)
|
|||||||
3-Month Euro Euribor
|
Sep-23
|
21
|
(5,399,048
|
)
|
(521
|
)
|
|||||||
3-Month Euro Euribor
|
Dec-23
|
244
|
(62,787,213
|
)
|
1,523
|
||||||||
3-Month Euro Euribor
|
Mar-24
|
209
|
(53,895,343
|
)
|
(93,823
|
)
|
|||||||
3-Month Euro Euribor
|
Jun-24
|
17
|
(4,394,962
|
)
|
(5,572
|
)
|
|||||||
3-Month Euro Euribor
|
Sep-24
|
68
|
(17,620,732
|
)
|
(18,532
|
)
|
|||||||
3-Month Euro Euribor
|
Dec-24
|
16
|
(4,152,896
|
)
|
(8,003
|
)
|
|||||||
3-Month Euro Euribor
|
Mar-25
|
26
|
(6,754,361
|
)
|
(13,802
|
)
|
|||||||
3-Month Euro Euribor
|
Jun-25
|
18
|
(4,679,223
|
)
|
(9,567
|
)
|
|||||||
3-Month Euro Euribor
|
Sep-25
|
14
|
(3,641,266
|
)
|
(6,961
|
)
|
|||||||
3-Month Euro Euribor
|
Mar-26
|
38
|
(9,890,544
|
)
|
(16,635
|
)
|
|||||||
3-Month SOFR Futures
|
Sep-23
|
121
|
(28,686,074
|
)
|
57,413
|
||||||||
3-Month SOFR Futures
|
Dec-23
|
75
|
(17,841,563
|
)
|
55,025
|
||||||||
3-Month SOFR Futures
|
Mar-24
|
23
|
(5,498,150
|
)
|
8,813
|
||||||||
3-Month SOFR Futures
|
Jun-24
|
19
|
(4,564,513
|
)
|
5,438
|
||||||||
3-Month SOFR Futures
|
Sep-24
|
160
|
(38,593,999
|
)
|
(29,276
|
)
|
|||||||
3-Month SOFR Futures
|
Dec-24
|
14
|
(3,386,425
|
)
|
(1,988
|
)
|
|||||||
3-Month SOFR Futures
|
Mar-25
|
12
|
(2,907,150
|
)
|
(2,625
|
)
|
|||||||
3-Month SOFR Futures
|
Jun-25
|
8
|
(1,939,200
|
)
|
(2,300
|
)
|
|||||||
3-Month SOFR Futures
|
Sep-25
|
8
|
(1,939,500
|
)
|
(2,350
|
)
|
|||||||
3-Month SONIA Index Futures
|
Sep-23
|
254
|
(74,804,388
|
)
|
(67,204
|
)
|
|||||||
3-Month SONIA Index Futures
|
Dec-23
|
55
|
(16,187,538
|
)
|
64,235
|
||||||||
3-Month SONIA Index Futures
|
Mar-24
|
39
|
(11,493,597
|
)
|
62,586
|
||||||||
3-Month SONIA Index Futures
|
Jun-24
|
22
|
(6,498,619
|
)
|
29,668
|
||||||||
3-Month SONIA Index Futures
|
Sep-24
|
64
|
(18,951,847
|
)
|
48,156
|
||||||||
3-Month SONIA Index Futures
|
Dec-24
|
41
|
(12,165,253
|
)
|
6,126
|
||||||||
3-Month SONIA Index Futures
|
Mar-25
|
17
|
(5,050,209
|
)
|
7,728
|
||||||||
3-Month SONIA Index Futures
|
Jun-25
|
15
|
(4,459,799
|
)
|
6,811
|
||||||||
3-Month SONIA Index Futures
|
Sep-25
|
11
|
(3,273,085
|
)
|
5,613
|
||||||||
3-Month SONIA Index Futures
|
Dec-25
|
30
|
(8,933,125
|
)
|
11,647
|
||||||||
90-DAY Bank Bill
|
Sep-23
|
2
|
(1,287,752
|
)
|
189
|
||||||||
90-DAY Bank Bill
|
Dec-23
|
8
|
(5,151,259
|
)
|
2,013
|
||||||||
90-DAY Bank Bill
|
Mar-24
|
6
|
(3,864,576
|
)
|
850
|
||||||||
90-DAY Bank Bill
|
Jun-24
|
3
|
(1,932,949
|
)
|
(205
|
)
|
|||||||
90-DAY Bank Bill
|
Sep-24
|
2
|
(1,289,010
|
)
|
(16
|
)
|
|||||||
90-DAY Bank Bill
|
Dec-24
|
1
|
(644,663
|
)
|
(63
|
)
|
|||||||
AUD/USD Currency Futures
|
Jun-23
|
192
|
(12,475,200
|
)
|
213,116
|
||||||||
Australian 10-Year Bond Futures
|
Jun-23
|
114
|
(8,891,667
|
)
|
(375
|
)
|
|||||||
Australian 3-Year Bond Futures
|
Jun-23
|
641
|
(44,797,797
|
)
|
(35,115
|
)
|
|||||||
Bank Acceptance Futures
|
Sep-23
|
24
|
(4,188,066
|
)
|
8,499
|
||||||||
Bank Acceptance Futures
|
Dec-23
|
24
|
(4,189,171
|
)
|
14,116
|
||||||||
Bank Acceptance Futures
|
Mar-24
|
18
|
(3,148,011
|
)
|
14,116
|
||||||||
Bank Acceptance Futures
|
Jun-24
|
16
|
(2,806,335
|
)
|
12,302
|
||||||||
Bank Acceptance Futures
|
Sep-24
|
8
|
(1,408,177
|
)
|
5,193
|
||||||||
Bank Acceptance Futures
|
Dec-24
|
5
|
(883,149
|
)
|
2,007
|
||||||||
Brent Crude Futures
|
Aug-23
|
25
|
(1,815,000
|
)
|
77,520
|
||||||||
Brent Crude Futures
|
Sep-23
|
6
|
(434,940
|
)
|
16,660
|
||||||||
Brent Crude Futures
|
Oct-23
|
4
|
(288,800
|
)
|
14,640
|
||||||||
Brent Crude Futures
|
Dec-23
|
4
|
(286,520
|
)
|
11,740
|
||||||||
Brent Crude Oil Last Day
|
Aug-23
|
4
|
(290,400
|
)
|
20,190
|
||||||||
CAD Currency Futures
|
Jun-23
|
268
|
(19,750,260
|
)
|
(23,655
|
)
|
|||||||
Canada 5-Year Bond Futures
|
Sep-23
|
1
|
(82,018
|
)
|
(155
|
)
|
|||||||
Canadian 10-Year Bond Futures
|
Sep-23
|
103
|
(9,383,433
|
)
|
(47,433
|
)
|
|||||||
Canola Futures (Winnipeg Commodity Exchange)
|
Jul-23
|
6
|
(57,414
|
)
|
7,268
|
||||||||
Canola Futures (Winnipeg Commodity Exchange)
|
Nov-23
|
22
|
(202,514
|
)
|
18,399
|
||||||||
CHF Currency Futures
|
Jun-23
|
56
|
(7,698,250
|
)
|
59,238
|
||||||||
Coffee 'C' Futures
|
Jul-23
|
1
|
(66,994
|
)
|
1,669
|
||||||||
Coffee 'C' Futures
|
Sep-23
|
4
|
(263,775
|
)
|
3,150
|
||||||||
Coffee 'C' Futures
|
Dec-23
|
2
|
(130,200
|
)
|
1,931
|
||||||||
Coffee 'C' Futures
|
Mar-24
|
1
|
(64,969
|
)
|
(206
|
)
|
|||||||
Copper Futures
|
Jul-23
|
87
|
(7,910,475
|
)
|
255,908
|
||||||||
Copper Futures
|
Sep-23
|
1
|
(91,338
|
)
|
1,613
|
||||||||
Corn Futures
|
Jul-23
|
67
|
(1,989,900
|
)
|
(49,013
|
)
|
|||||||
Corn Futures
|
Sep-23
|
13
|
(335,563
|
)
|
16,788
|
||||||||
Corn Futures
|
Dec-23
|
132
|
(3,443,550
|
)
|
(62,813
|
)
|
|||||||
Cotton No.2 Futures
|
Jul-23
|
1
|
(41,740
|
)
|
(575
|
)
|
|||||||
Cotton No.2 Futures
|
Dec-23
|
49
|
(1,947,015
|
)
|
73,850
|
||||||||
DAX Index Futures
|
Jun-23
|
1
|
(418,609
|
)
|
3,046
|
||||||||
DAX-Mini Futures
|
Jun-23
|
1
|
(83,722
|
)
|
657
|
||||||||
DJIA Mini E-CBOT
|
Jun-23
|
7
|
(1,154,265
|
)
|
11,135
|
||||||||
Dutch TTF Gas Futures
|
Jul-23
|
25
|
(533,860
|
)
|
86,234
|
||||||||
E-Mini Crude Oil
|
Jul-23
|
7
|
(238,315
|
)
|
9,448
|
||||||||
E-Mini Health Care Select Futures
|
Jun-23
|
1
|
(129,100
|
)
|
3,770
|
||||||||
E-Mini Industrial Select Futures
|
Jun-23
|
1
|
(97,550
|
)
|
810
|
||||||||
E-Mini Materials Select Futures
|
Jun-23
|
1
|
(79,450
|
)
|
5,410
|
||||||||
E-Mini Natural Gas
|
Jul-23
|
1
|
(5,665
|
)
|
98
|
||||||||
EUR Foreign Exchange Currency Futures
|
Jun-23
|
43
|
(5,743,456
|
)
|
44,169
|
||||||||
Euro BUXL 30-Year Bond Futures
|
Jun-23
|
23
|
(3,409,902
|
)
|
(68,217
|
)
|
|||||||
Euro STOXX 50
|
Jun-23
|
114
|
(5,138,615
|
)
|
130,353
|
||||||||
Euro-Bobl Futures
|
Jun-23
|
273
|
(34,474,442
|
)
|
(321,226
|
)
|
|||||||
Euro-BTP Futures
|
Jun-23
|
26
|
(3,222,695
|
)
|
(89,104
|
)
|
|||||||
Euro-Bund Futures
|
Jun-23
|
148
|
(21,522,757
|
)
|
(330,313
|
)
|
|||||||
Euro-Oat Futures
|
Jun-23
|
51
|
(7,116,254
|
)
|
(151,602
|
)
|
|||||||
European Climate Exchange Futures
|
Dec-23
|
7
|
(606,217
|
)
|
20,266
|
||||||||
Euro-Schatz Futures
|
Jun-23
|
158
|
(17,837,783
|
)
|
(40,629
|
)
|
|||||||
FTSE 100 Index Futures
|
Jun-23
|
112
|
(10,382,316
|
)
|
412,188
|
||||||||
FTSE China A50 Index
|
Jun-23
|
114
|
(1,397,754
|
)
|
24,458
|
||||||||
FTSE KLCI Futures
|
Jun-23
|
6
|
(90,283
|
)
|
872
|
||||||||
FTSE/JSE TOP 40
|
Jun-23
|
1
|
(35,607
|
)
|
1,010
|
||||||||
FTSE/MIB Index Futures
|
Jun-23
|
1
|
(139,454
|
)
|
2,255
|
||||||||
Gasoline RBOB Futures
|
Jul-23
|
18
|
(1,847,513
|
)
|
111,947
|
||||||||
GBP Currency Futures
|
Jun-23
|
3
|
(233,025
|
)
|
(1,475
|
)
|
|||||||
Gold 100 Oz Futures
|
Aug-23
|
5
|
(991,050
|
)
|
1,950
|
||||||||
Hang Seng China Enterprises Index Futures
|
Jun-23
|
29
|
(1,137,157
|
)
|
28,479
|
||||||||
Hang Seng Index Futures
|
Jun-23
|
55
|
(6,391,714
|
)
|
206,367
|
||||||||
INR/USD Futures
|
Jun-23
|
1
|
(60,410
|
)
|
(1
|
)
|
|||||||
JPY Currency Futures
|
Jun-23
|
383
|
(34,469,999
|
)
|
200,313
|
||||||||
Kansas City Hard Red Winter Wheat Futures
|
Jul-23
|
13
|
(513,825
|
)
|
8,225
|
||||||||
Kansas City Hard Red Winter Wheat Futures
|
Sep-23
|
1
|
(39,263
|
)
|
1,325
|
||||||||
Lean Hogs Futures
|
Jul-23
|
72
|
(2,399,760
|
)
|
69,070
|
||||||||
Lean Hogs Futures
|
Aug-23
|
99
|
(3,241,260
|
)
|
79,320
|
||||||||
Lean Hogs Futures
|
Oct-23
|
2
|
(60,160
|
)
|
750
|
||||||||
LME Aluminum Forward
|
Jun-23
|
2
|
(112,576
|
)
|
8,087
|
||||||||
LME Aluminum Forward
|
Jun-23
|
945
|
(52,979,062
|
)
|
2,622,773
|
||||||||
LME Aluminum Forward
|
Jun-23
|
4
|
(224,300
|
)
|
9,408
|
||||||||
LME Aluminum Forward
|
Jul-23
|
2
|
(112,282
|
)
|
5,638
|
||||||||
LME Aluminum Forward
|
Jul-23
|
2
|
(112,475
|
)
|
5,863
|
||||||||
LME Aluminum Forward
|
Jul-23
|
2
|
(112,425
|
)
|
5,788
|
||||||||
LME Aluminum Forward
|
Jul-23
|
2
|
(112,375
|
)
|
5,800
|
||||||||
LME Aluminum Forward
|
Jul-23
|
1
|
(56,113
|
)
|
2,150
|
||||||||
LME Aluminum Forward
|
Jul-23
|
5
|
(280,438
|
)
|
11,350
|
||||||||
LME Aluminum Forward
|
Aug-23
|
2
|
(112,224
|
)
|
1,951
|
||||||||
LME Aluminum Forward
|
Aug-23
|
2
|
(112,224
|
)
|
(224
|
)
|
|||||||
LME Aluminum Forward
|
Aug-23
|
1
|
(56,106
|
)
|
(1,294
|
)
|
|||||||
LME Aluminum Forward
|
Aug-23
|
6
|
(336,900
|
)
|
(3,573
|
)
|
|||||||
LME Aluminum Forward
|
Sep-23
|
318
|
(17,923,116
|
)
|
96,324
|
||||||||
LME Copper Forward
|
Jun-23
|
2
|
(403,600
|
)
|
37,950
|
||||||||
LME Copper Forward
|
Jun-23
|
1
|
(201,813
|
)
|
19,875
|
||||||||
LME Copper Forward
|
Jun-23
|
2
|
(403,905
|
)
|
28,645
|
||||||||
LME Copper Forward
|
Jun-23
|
1
|
(201,991
|
)
|
10,422
|
||||||||
LME Copper Forward
|
Jun-23
|
314
|
(63,427,999
|
)
|
5,479,266
|
||||||||
LME Copper Forward
|
Jun-23
|
1
|
(202,006
|
)
|
9,594
|
||||||||
LME Copper Forward
|
Jun-23
|
1
|
(202,073
|
)
|
20,932
|
||||||||
LME Copper Forward
|
Jul-23
|
1
|
(202,140
|
)
|
9,521
|
||||||||
LME Copper Forward
|
Jul-23
|
1
|
(202,043
|
)
|
17,283
|
||||||||
LME Copper Forward
|
Jul-23
|
1
|
(202,098
|
)
|
12,953
|
||||||||
LME Copper Forward
|
Aug-23
|
1
|
(202,204
|
)
|
4,421
|
||||||||
LME Copper Forward
|
Aug-23
|
1
|
(202,088
|
)
|
3,225
|
||||||||
LME Copper Forward
|
Aug-23
|
1
|
(202,156
|
)
|
844
|
||||||||
LME Copper Forward
|
Aug-23
|
1
|
(202,225
|
)
|
780
|
||||||||
LME Copper Forward
|
Sep-23
|
90
|
(18,207,000
|
)
|
226,041
|
||||||||
LME Lead Forward
|
Jun-23
|
1
|
(50,288
|
)
|
2,837
|
||||||||
LME Lead Forward
|
Jun-23
|
1
|
(50,353
|
)
|
3,198
|
||||||||
LME Lead Forward
|
Jun-23
|
1
|
(50,369
|
)
|
1,932
|
||||||||
LME Lead Forward
|
Jun-23
|
66
|
(3,333,858
|
)
|
83,731
|
||||||||
LME Lead Forward
|
Jun-23
|
1
|
(50,463
|
)
|
2,700
|
||||||||
LME Lead Forward
|
Jun-23
|
1
|
(50,444
|
)
|
3,000
|
||||||||
LME Lead Forward
|
Aug-23
|
1
|
(50,368
|
)
|
2,508
|
||||||||
LME Lead Forward
|
Aug-23
|
1
|
(50,278
|
)
|
1,109
|
||||||||
LME Lead Forward
|
Sep-23
|
57
|
(2,869,594
|
)
|
62,889
|
||||||||
LME Nickel Forward
|
Jun-23
|
1
|
(122,757
|
)
|
18,153
|
||||||||
LME Nickel Forward
|
Jun-23
|
2
|
(245,676
|
)
|
38,332
|
||||||||
LME Nickel Forward
|
Jul-23
|
1
|
(123,001
|
)
|
20,981
|
||||||||
LME Nickel Forward
|
Jul-23
|
2
|
(246,027
|
)
|
44,976
|
||||||||
LME Nickel Forward
|
Jul-23
|
1
|
(123,052
|
)
|
21,968
|
||||||||
LME Nickel Forward
|
Jul-23
|
1
|
(123,078
|
)
|
18,522
|
||||||||
LME Nickel Forward
|
Aug-23
|
1
|
(123,183
|
)
|
26,937
|
||||||||
LME Nickel Forward
|
Aug-23
|
1
|
(123,345
|
)
|
4,395
|
||||||||
LME Nickel Forward
|
Aug-23
|
1
|
(123,452
|
)
|
4,589
|
||||||||
LME Nickel Forward
|
Aug-23
|
1
|
(123,528
|
)
|
2,530
|
||||||||
LME Nickel Forward
|
Sep-23
|
3
|
(371,466
|
)
|
16,966
|
||||||||
LME Zinc Forward
|
Jun-23
|
1
|
(55,931
|
)
|
15,144
|
||||||||
LME Zinc Forward
|
Jun-23
|
97
|
(5,431,394
|
)
|
1,402,618
|
||||||||
LME Zinc Forward
|
Jun-23
|
2
|
(112,085
|
)
|
32,421
|
||||||||
LME Zinc Forward
|
Jul-23
|
1
|
(56,027
|
)
|
11,130
|
||||||||
LME Zinc Forward
|
Jul-23
|
1
|
(56,031
|
)
|
11,006
|
||||||||
LME Zinc Forward
|
Jul-23
|
1
|
(56,094
|
)
|
13,119
|
||||||||
LME Zinc Forward
|
Jul-23
|
1
|
(56,094
|
)
|
11,069
|
||||||||
LME Zinc Forward
|
Jul-23
|
1
|
(56,113
|
)
|
9,263
|
||||||||
LME Zinc Forward
|
Aug-23
|
1
|
(56,144
|
)
|
5,444
|
||||||||
LME Zinc Forward
|
Aug-23
|
1
|
(56,205
|
)
|
2,420
|
||||||||
LME Zinc Forward
|
Aug-23
|
2
|
(112,425
|
)
|
2,655
|
||||||||
LME Zinc Forward
|
Sep-23
|
97
|
(5,457,463
|
)
|
682,896
|
||||||||
Long Gilt Futures
|
Sep-23
|
320
|
(38,528,654
|
)
|
(492,469
|
)
|
|||||||
Low Sulphur Gasoil G Futures
|
Jul-23
|
38
|
(2,495,650
|
)
|
120,125
|
||||||||
Low Sulphur Gasoil G Futures
|
Aug-23
|
10
|
(656,250
|
)
|
21,075
|
||||||||
Low Sulphur Gasoil G Futures
|
Sep-23
|
2
|
(131,800
|
)
|
4,650
|
||||||||
Low Sulphur Gasoil G Futures
|
Oct-23
|
2
|
(132,350
|
)
|
3,800
|
||||||||
Micro E-mini Dow Jones Index Futures
|
Jun-23
|
1
|
(16,490
|
)
|
217
|
||||||||
Micro E-mini S&P 500 Index
|
Jun-23
|
2
|
(41,905
|
)
|
(538
|
)
|
|||||||
Micro EUR/USD Futures
|
Jun-23
|
2
|
(26,714
|
)
|
143
|
||||||||
Milk Futures
|
Jun-23
|
1
|
(30,820
|
)
|
360
|
||||||||
Mill Wheat Euro
|
Sep-23
|
92
|
(1,073,124
|
)
|
139,692
|
||||||||
Mill Wheat Euro
|
Dec-23
|
3
|
(35,955
|
)
|
3,968
|
||||||||
Mill Wheat Euro
|
Mar-24
|
3
|
(36,717
|
)
|
3,674
|
||||||||
Mini H-Shares Index Futures
|
Jun-23
|
2
|
(15,685
|
)
|
46
|
||||||||
Mini HSI Index Futures
|
Jun-23
|
4
|
(92,970
|
)
|
2,280
|
||||||||
MSCI Emerging Markets Index Futures
|
Jun-23
|
34
|
(1,626,560
|
)
|
32,150
|
||||||||
MSCI Singapore Exchange ETS
|
Jun-23
|
9
|
(189,244
|
)
|
3,017
|
||||||||
Nasdaq 100 E-Mini
|
Jun-23
|
1
|
(286,010
|
)
|
(6,310
|
)
|
|||||||
Natural Gas Futures
|
Jul-23
|
186
|
(4,214,760
|
)
|
394,125
|
||||||||
Natural Gas Futures
|
Aug-23
|
98
|
(2,310,840
|
)
|
143,620
|
||||||||
Natural Gas Futures
|
Sep-23
|
2
|
(47,160
|
)
|
9,500
|
||||||||
NY Harbor Ultra-Low Sulfur Diesel Futures
|
Jul-23
|
118
|
(11,155,460
|
)
|
602,817
|
||||||||
NY Harbor Ultra-Low Sulfur Diesel Futures
|
Aug-23
|
7
|
(662,647
|
)
|
34,243
|
||||||||
NY Harbor Ultra-Low Sulfur Diesel Futures
|
Sep-23
|
3
|
(285,025
|
)
|
24,809
|
||||||||
NY Harbor Ultra-Low Sulfur Diesel Futures
|
Oct-23
|
1
|
(95,290
|
)
|
5,355
|
||||||||
NZD Currency Futures
|
Jun-23
|
2
|
(120,190
|
)
|
175
|
||||||||
Palladium Futures
|
Sep-23
|
4
|
(543,600
|
)
|
33,900
|
||||||||
Palm Oil Futures
|
Aug-23
|
7
|
(121,368
|
)
|
8,065
|
||||||||
Palm Oil Futures
|
Sep-23
|
1
|
(17,398
|
)
|
856
|
||||||||
Phelix-DE Base Futures
|
Jul-23
|
1
|
(203,042
|
)
|
30,021
|
||||||||
Platinum Futures
|
Jul-23
|
1
|
(49,950
|
)
|
375
|
||||||||
Rapeseed Euro
|
Aug-23
|
18
|
(380,235
|
)
|
51,735
|
||||||||
Rapeseed Euro
|
Nov-23
|
1
|
(21,538
|
)
|
2,365
|
||||||||
Red Wheat Futures (Minneapolis Grain Exchange)
|
Jul-23
|
1
|
(39,000
|
)
|
1,150
|
||||||||
Rough Rice Futures
|
Jul-23
|
2
|
(69,160
|
)
|
(870
|
)
|
|||||||
Russell 2000 E-Mini
|
Jun-23
|
10
|
(875,900
|
)
|
5,585
|
||||||||
S&P 500 E-Mini Futures
|
Jun-23
|
34
|
(7,123,850
|
)
|
2,200
|
||||||||
S&P Mid 400 E-Mini
|
Jun-23
|
3
|
(722,700
|
)
|
7,370
|
||||||||
S&P/TSX 60 IX Futures
|
Jun-23
|
7
|
(1,213,436
|
)
|
1,326
|
||||||||
SET50 Index Futures
|
Jun-23
|
64
|
(339,016
|
)
|
1,362
|
||||||||
SGX Iron Ore 62% Futures
|
Jul-23
|
16
|
(157,440
|
)
|
200
|
||||||||
Short BTP Future
|
Jun-23
|
66
|
(7,437,822
|
)
|
(34,376
|
)
|
|||||||
Silver Futures
|
Jul-23
|
3
|
(353,805
|
)
|
(4,730
|
)
|
|||||||
South African Rand Futures
|
Jun-23
|
1
|
(25,288
|
)
|
150
|
||||||||
Soybean Futures
|
Jul-23
|
62
|
(4,029,225
|
)
|
197,922
|
||||||||
Soybean Futures
|
Nov-23
|
56
|
(3,210,200
|
)
|
140,138
|
||||||||
Soybean Futures
|
Jan-24
|
3
|
(173,550
|
)
|
6,938
|
||||||||
Soybean Meal Futures
|
Jul-23
|
11
|
(432,740
|
)
|
17,160
|
||||||||
Soybean Meal Futures
|
Dec-23
|
17
|
(620,500
|
)
|
11,870
|
||||||||
Soybean Oil Futures
|
Jul-23
|
14
|
(388,080
|
)
|
44,694
|
||||||||
Soybean Oil Futures
|
Dec-23
|
47
|
(1,301,430
|
)
|
53,190
|
||||||||
Soybean Oil Futures
|
Jan-24
|
2
|
(55,380
|
)
|
7,902
|
||||||||
U.S. Treasury 10-Year Notes (Chicago Board of Trade)
|
Sep-23
|
319
|
(36,515,530
|
)
|
(234,307
|
)
|
|||||||
U.S. Treasury 2-Year Notes (Chicago Board of Trade)
|
Sep-23
|
137
|
(28,198,452
|
)
|
(1,391
|
)
|
|||||||
U.S. Treasury 5-Year Notes (Chicago Board of Trade)
|
Sep-23
|
674
|
(73,518,656
|
)
|
(219,016
|
)
|
|||||||
U.S. Treasury Long Bond (Chicago Board of Trade)
|
Sep-23
|
170
|
(21,818,438
|
)
|
(242,102
|
)
|
|||||||
U.S. Treasury Ultra 10-Year Notes
|
Sep-23
|
34
|
(4,095,406
|
)
|
(40,547
|
)
|
|||||||
U.S. Treasury Ultra Long Bond (Chicago Board of Trade)
|
Sep-23
|
27
|
(3,695,625
|
)
|
(59,867
|
)
|
|||||||
UK Natural Gas Futures
|
Jul-23
|
10
|
(244,988
|
)
|
42,515
|
||||||||
Wheat (Chicago Board of Trade)
|
Jul-23
|
72
|
(2,139,300
|
)
|
209,575
|
||||||||
Wheat (Chicago Board of Trade)
|
Sep-23
|
35
|
(1,064,000
|
)
|
115,813
|
||||||||
Wheat (Chicago Board of Trade)
|
Dec-23
|
115
|
(3,603,813
|
)
|
207,363
|
||||||||
White Maize Futures
|
Jul-23
|
3
|
(56,018
|
)
|
2,256
|
||||||||
WTI Crude Futures
|
Jul-23
|
86
|
(5,855,740
|
)
|
358,409
|
||||||||
WTI Crude Futures
|
Aug-23
|
9
|
(614,160
|
)
|
30,950
|
||||||||
WTI Crude Futures
|
Sep-23
|
21
|
(1,430,940
|
)
|
89,250
|
||||||||
WTI Crude Futures
|
Dec-23
|
2
|
(134,680
|
)
|
5,830
|
||||||||
WTI Crude Futures IPE
|
Jun-23
|
3
|
(204,270
|
)
|
8,370
|
||||||||
WTI Crude Futures IPE
|
Oct-23
|
1
|
(67,920
|
)
|
3,360
|
||||||||
$
|
14,336,104
|
||||||||||||
Total Futures Contracts
|
$
|
16,824,330
|
Forward foreign currency contracts outstanding as of May 31, 2023 were as follows:
|
|||||||||||||||
CURRENCY PURCHASED
|
CURRENCY SOLD
|
EXPIRATION DATE
|
COUNTERPARTY
|
UNREALIZED APPRECIATION/ (DEPRECIATION)
|
|||||||||||
AUD
|
200,000
|
JPY
|
18,083,664
|
Jun 01 2023
|
SOCIETE GENERALE
|
$
|
280
|
||||||||
AUD
|
17,644,779
|
USD
|
11,465,577
|
Jun 01 2023
|
SOCIETE GENERALE
|
11,864
|
|||||||||
AUD
|
2,000,000
|
USD
|
1,352,870
|
Jun 21 2023
|
SOCIETE GENERALE
|
(50,916
|
)
|
||||||||
AUD
|
4,200,000
|
JPY
|
382,416,468
|
Jul 12 2023
|
SOCIETE GENERALE
|
(26,802
|
)
|
||||||||
BRL
|
25,875,328
|
USD
|
5,150,000
|
Jun 21 2023
|
SOCIETE GENERALE
|
(66,634
|
)
|
||||||||
CAD
|
30,501,628
|
USD
|
22,370,550
|
Jun 01 2023
|
SOCIETE GENERALE
|
98,929
|
|||||||||
CAD
|
2,408,312
|
USD
|
1,800,000
|
Jun 21 2023
|
SOCIETE GENERALE
|
(24,918
|
)
|
||||||||
CAD
|
5,860,564
|
AUD
|
6,600,000
|
Jul 12 2023
|
SOCIETE GENERALE
|
21,874
|
|||||||||
CAD
|
2,200,000
|
JPY
|
225,700,222
|
Jul 12 2023
|
SOCIETE GENERALE
|
(8,416
|
)
|
||||||||
CHF
|
19,201,724
|
USD
|
21,196,295
|
Jun 01 2023
|
SOCIETE GENERALE
|
(110,558
|
)
|
||||||||
CHF
|
566,132
|
GBP
|
500,000
|
Jun 02 2023
|
SOCIETE GENERALE
|
(253
|
)
|
||||||||
CHF
|
19,201,724
|
USD
|
21,135,635
|
Jun 02 2023
|
SOCIETE GENERALE
|
(47,578
|
)
|
||||||||
CHF
|
4,179,729
|
EUR
|
4,300,000
|
Jun 21 2023
|
SOCIETE GENERALE
|
(1,171
|
)
|
||||||||
CHF
|
5,123,881
|
USD
|
5,800,000
|
Jun 21 2023
|
SOCIETE GENERALE
|
(159,917
|
)
|
||||||||
CHF
|
4,715,735
|
EUR
|
4,875,000
|
Jul 12 2023
|
SOCIETE GENERALE
|
(20,481
|
)
|
||||||||
CHF
|
976,168
|
GBP
|
875,000
|
Jul 12 2023
|
SOCIETE GENERALE
|
(12,327
|
)
|
||||||||
CHF
|
2,250,000
|
JPY
|
347,288,895
|
Jul 12 2023
|
SOCIETE GENERALE
|
(26,675
|
)
|
||||||||
CHF
|
2,750,000
|
USD
|
3,048,350
|
Jul 12 2023
|
SOCIETE GENERALE
|
(14,072
|
)
|
||||||||
CLP
|
80,965,856
|
USD
|
100,000
|
Jun 05 2023
|
SOCIETE GENERALE
|
(109
|
)
|
||||||||
CLP
|
30,870,011
|
USD
|
39,133
|
Jun 16 2023
|
SOCIETE GENERALE
|
(1,108
|
)
|
||||||||
CLP
|
157,897,726
|
USD
|
200,000
|
Jun 20 2023
|
SOCIETE GENERALE
|
(5,619
|
)
|
||||||||
CLP
|
1,641,507,476
|
USD
|
2,050,000
|
Jun 22 2023
|
SOCIETE GENERALE
|
(29,804
|
)
|
||||||||
CLP
|
163,264,000
|
USD
|
200,000
|
Jul 03 2023
|
SOCIETE GENERALE
|
612
|
|||||||||
CNH
|
6,234,698
|
USD
|
900,000
|
Jun 21 2023
|
SOCIETE GENERALE
|
(22,311
|
)
|
||||||||
COP
|
2,286,292,668
|
USD
|
500,000
|
Jun 21 2023
|
SOCIETE GENERALE
|
10,882
|
|||||||||
CZK
|
52,040,986
|
EUR
|
2,200,000
|
Jun 21 2023
|
SOCIETE GENERALE
|
(11,932
|
)
|
||||||||
EUR
|
200,000
|
GBP
|
172,611
|
Jun 01 2023
|
SOCIETE GENERALE
|
(932
|
)
|
||||||||
EUR
|
4,864,797
|
USD
|
5,200,468
|
Jun 01 2023
|
SOCIETE GENERALE
|
(194
|
)
|
||||||||
EUR
|
1,000,000
|
CHF
|
978,781
|
Jun 21 2023
|
SOCIETE GENERALE
|
(7,159
|
)
|
||||||||
EUR
|
600,000
|
CZK
|
14,250,081
|
Jun 21 2023
|
SOCIETE GENERALE
|
684
|
|||||||||
EUR
|
2,100,000
|
GBP
|
1,851,547
|
Jun 21 2023
|
SOCIETE GENERALE
|
(56,810
|
)
|
||||||||
EUR
|
100,000
|
HUF
|
37,897,933
|
Jun 21 2023
|
SOCIETE GENERALE
|
(1,642
|
)
|
||||||||
EUR
|
11,050,000
|
JPY
|
1,644,337,727
|
Jun 21 2023
|
SOCIETE GENERALE
|
(15,334
|
)
|
||||||||
EUR
|
14,100,000
|
NOK
|
166,865,404
|
Jun 21 2023
|
SOCIETE GENERALE
|
41,728
|
|||||||||
EUR
|
650,000
|
PLN
|
2,972,433
|
Jun 21 2023
|
SOCIETE GENERALE
|
(5,350
|
)
|
||||||||
EUR
|
19,800,000
|
SEK
|
225,398,339
|
Jun 21 2023
|
SOCIETE GENERALE
|
395,516
|
|||||||||
EUR
|
3,300,000
|
USD
|
3,630,147
|
Jun 21 2023
|
SOCIETE GENERALE
|
(98,392
|
)
|
||||||||
EUR
|
3,875,000
|
AUD
|
6,347,353
|
Jul 12 2023
|
SOCIETE GENERALE
|
16,914
|
|||||||||
EUR
|
4,500,000
|
CAD
|
6,544,177
|
Jul 12 2023
|
SOCIETE GENERALE
|
(3,967
|
)
|
||||||||
EUR
|
4,400,000
|
GBP
|
3,810,836
|
Jul 12 2023
|
SOCIETE GENERALE
|
(29,898
|
)
|
||||||||
EUR
|
2,100,000
|
JPY
|
313,415,550
|
Jul 12 2023
|
SOCIETE GENERALE
|
(14,313
|
)
|
||||||||
EUR
|
3,000,000
|
NOK
|
35,734,909
|
Jul 12 2023
|
SOCIETE GENERALE
|
(11,302
|
)
|
||||||||
EUR
|
5,875,000
|
SEK
|
68,115,151
|
Jul 12 2023
|
SOCIETE GENERALE
|
3,775
|
|||||||||
GBP
|
172,683
|
EUR
|
200,000
|
Jun 01 2023
|
SOCIETE GENERALE
|
1,021
|
|||||||||
GBP
|
19,572,236
|
USD
|
24,142,891
|
Jun 01 2023
|
SOCIETE GENERALE
|
204,493
|
|||||||||
GBP
|
500,000
|
CHF
|
563,018
|
Jun 02 2023
|
SOCIETE GENERALE
|
3,672
|
|||||||||
GBP
|
257,764
|
EUR
|
300,000
|
Jun 02 2023
|
SOCIETE GENERALE
|
(47
|
)
|
||||||||
GBP
|
19,572,236
|
USD
|
24,240,747
|
Jun 02 2023
|
SOCIETE GENERALE
|
107,113
|
|||||||||
GBP
|
8,577,882
|
EUR
|
9,850,000
|
Jun 21 2023
|
SOCIETE GENERALE
|
133,611
|
|||||||||
GBP
|
2,300,000
|
USD
|
2,886,185
|
Jun 21 2023
|
SOCIETE GENERALE
|
(23,785
|
)
|
||||||||
GBP
|
3,125,000
|
AUD
|
5,907,770
|
Jul 12 2023
|
SOCIETE GENERALE
|
41,860
|
|||||||||
GBP
|
172,878
|
EUR
|
200,000
|
Jul 12 2023
|
SOCIETE GENERALE
|
933
|
|||||||||
GBP
|
1,875,000
|
JPY
|
322,857,675
|
Jul 12 2023
|
SOCIETE GENERALE
|
1,696
|
|||||||||
GBP
|
750,000
|
USD
|
926,333
|
Jul 12 2023
|
SOCIETE GENERALE
|
7,443
|
|||||||||
HUF
|
1,101,658,554
|
EUR
|
2,900,000
|
Jun 21 2023
|
SOCIETE GENERALE
|
55,112
|
|||||||||
HUF
|
112,875,405
|
EUR
|
300,000
|
Jul 12 2023
|
SOCIETE GENERALE
|
306
|
|||||||||
IDR
|
738,286,376
|
USD
|
50,000
|
Jun 21 2023
|
SOCIETE GENERALE
|
(759
|
)
|
||||||||
ILS
|
1,091,388
|
USD
|
300,000
|
Jun 21 2023
|
SOCIETE GENERALE
|
(7,234
|
)
|
||||||||
INR
|
49,674,600
|
USD
|
600,000
|
Jun 05 2023
|
SOCIETE GENERALE
|
325
|
|||||||||
INR
|
16,571,400
|
USD
|
200,000
|
Jun 09 2023
|
SOCIETE GENERALE
|
240
|
|||||||||
INR
|
613,067,593
|
USD
|
7,400,000
|
Jun 12 2023
|
SOCIETE GENERALE
|
7,188
|
|||||||||
INR
|
49,309,181
|
USD
|
600,000
|
Jun 21 2023
|
SOCIETE GENERALE
|
(4,428
|
)
|
||||||||
JPY
|
18,241,682
|
AUD
|
200,000
|
Jun 01 2023
|
SOCIETE GENERALE
|
854
|
|||||||||
JPY
|
16,930,576
|
NZD
|
200,000
|
Jun 01 2023
|
SOCIETE GENERALE
|
1,077
|
|||||||||
JPY
|
5,460,206,330
|
USD
|
39,057,270
|
Jun 01 2023
|
SOCIETE GENERALE
|
138,993
|
|||||||||
JPY
|
279,796,495
|
EUR
|
1,900,000
|
Jun 21 2023
|
SOCIETE GENERALE
|
(18,537
|
)
|
||||||||
JPY
|
93,579,515
|
USD
|
700,000
|
Jun 21 2023
|
SOCIETE GENERALE
|
(26,106
|
)
|
||||||||
JPY
|
17,995,858
|
AUD
|
200,000
|
Jul 12 2023
|
SOCIETE GENERALE
|
(273
|
)
|
||||||||
JPY
|
16,651,000
|
NZD
|
200,000
|
Jul 12 2023
|
SOCIETE GENERALE
|
(126
|
)
|
||||||||
KRW
|
2,878,501,198
|
USD
|
2,200,000
|
Jun 05 2023
|
SOCIETE GENERALE
|
(30,785
|
)
|
||||||||
KRW
|
1,978,567,525
|
USD
|
1,500,000
|
Jun 21 2023
|
SOCIETE GENERALE
|
(7,566
|
)
|
||||||||
MXN
|
120,498,431
|
USD
|
6,650,000
|
Jun 21 2023
|
SOCIETE GENERALE
|
130,444
|
|||||||||
MXN
|
86,000,000
|
USD
|
4,834,777
|
Jul 12 2023
|
SOCIETE GENERALE
|
(16,278
|
)
|
||||||||
NOK
|
1,500,000
|
SEK
|
1,457,301
|
Jun 01 2023
|
SOCIETE GENERALE
|
841
|
|||||||||
NOK
|
38,232,317
|
EUR
|
3,300,000
|
Jun 21 2023
|
SOCIETE GENERALE
|
(83,832
|
)
|
||||||||
NZD
|
200,000
|
JPY
|
16,761,044
|
Jun 01 2023
|
SOCIETE GENERALE
|
140
|
|||||||||
NZD
|
1,400,000
|
USD
|
884,643
|
Jun 21 2023
|
SOCIETE GENERALE
|
(41,509
|
)
|
||||||||
NZD
|
9,082,686
|
AUD
|
8,400,000
|
Jul 12 2023
|
SOCIETE GENERALE
|
(3,211
|
)
|
||||||||
NZD
|
4,000,000
|
JPY
|
337,015,640
|
Jul 12 2023
|
SOCIETE GENERALE
|
(26,355
|
)
|
||||||||
PEN
|
741,995
|
USD
|
200,000
|
Jun 21 2023
|
SOCIETE GENERALE
|
1,726
|
|||||||||
PHP
|
2,765,287
|
USD
|
50,000
|
Jun 21 2023
|
SOCIETE GENERALE
|
(796
|
)
|
||||||||
PLN
|
40,045,112
|
EUR
|
8,700,000
|
Jun 21 2023
|
SOCIETE GENERALE
|
132,974
|
|||||||||
PLN
|
2,723,292
|
EUR
|
600,000
|
Jul 12 2023
|
SOCIETE GENERALE
|
(1,418
|
)
|
||||||||
PLN
|
17,379,388
|
USD
|
4,100,000
|
Jul 12 2023
|
SOCIETE GENERALE
|
(6,114
|
)
|
||||||||
SEK
|
1,466,250
|
NOK
|
1,500,000
|
Jun 01 2023
|
SOCIETE GENERALE
|
(17
|
)
|
||||||||
SEK
|
52,697,290
|
EUR
|
4,700,000
|
Jun 21 2023
|
SOCIETE GENERALE
|
(168,277
|
)
|
||||||||
SEK
|
39,420,351
|
NOK
|
40,500,000
|
Jul 12 2023
|
SOCIETE GENERALE
|
(14,985
|
)
|
||||||||
SGD
|
3,588,287
|
USD
|
2,700,000
|
Jun 21 2023
|
SOCIETE GENERALE
|
(44,607
|
)
|
||||||||
SGD
|
9,043,107
|
USD
|
6,700,000
|
Jul 12 2023
|
SOCIETE GENERALE
|
(2,435
|
)
|
||||||||
THB
|
8,390,617
|
USD
|
250,000
|
Jun 21 2023
|
SOCIETE GENERALE
|
(8,371
|
)
|
||||||||
TRY
|
501,647
|
USD
|
22,567
|
Jun 20 2023
|
SOCIETE GENERALE
|
(101
|
)
|
||||||||
TWD
|
52,329,777
|
USD
|
1,700,000
|
Jun 05 2023
|
SOCIETE GENERALE
|
3,820
|
|||||||||
TWD
|
29,099,734
|
USD
|
950,000
|
Jun 21 2023
|
SOCIETE GENERALE
|
(777
|
)
|
||||||||
USD
|
11,547,140
|
AUD
|
17,644,779
|
Jun 01 2023
|
SOCIETE GENERALE
|
69,699
|
|||||||||
USD
|
11,465,969
|
AUD
|
17,644,779
|
Jun 02 2023
|
SOCIETE GENERALE
|
(11,888
|
)
|
||||||||
USD
|
5,102,650
|
AUD
|
7,700,000
|
Jun 21 2023
|
SOCIETE GENERALE
|
90,124
|
|||||||||
USD
|
2,287,916
|
AUD
|
3,500,000
|
Jul 12 2023
|
SOCIETE GENERALE
|
7,691
|
|||||||||
USD
|
450,000
|
BRL
|
2,271,928
|
Jun 21 2023
|
SOCIETE GENERALE
|
3,666
|
|||||||||
USD
|
8,200,000
|
CAD
|
11,133,630
|
Jun 21 2023
|
SOCIETE GENERALE
|
(6,206
|
)
|
||||||||
USD
|
4,257,371
|
CAD
|
5,800,000
|
Jul 12 2023
|
SOCIETE GENERALE
|
(19,696
|
)
|
||||||||
USD
|
21,133,308
|
CHF
|
19,201,724
|
Jun 01 2023
|
SOCIETE GENERALE
|
47,571
|
|||||||||
USD
|
4,800,000
|
CHF
|
4,306,779
|
Jun 21 2023
|
SOCIETE GENERALE
|
59,338
|
|||||||||
USD
|
100,000
|
CLP
|
78,492,144
|
Jun 05 2023
|
SOCIETE GENERALE
|
3,161
|
|||||||||
USD
|
39,133
|
CLP
|
31,430,903
|
Jun 16 2023
|
SOCIETE GENERALE
|
417
|
|||||||||
USD
|
200,000
|
CLP
|
162,952,288
|
Jun 20 2023
|
SOCIETE GENERALE
|
(604
|
)
|
||||||||
USD
|
500,000
|
CLP
|
403,942,436
|
Jun 22 2023
|
SOCIETE GENERALE
|
2,870
|
|||||||||
USD
|
100,000
|
CLP
|
81,688,144
|
Jun 27 2023
|
SOCIETE GENERALE
|
(459
|
)
|
||||||||
USD
|
100,000
|
CLP
|
80,950,404
|
Jul 03 2023
|
SOCIETE GENERALE
|
532
|
|||||||||
USD
|
7,000,000
|
CNH
|
48,514,077
|
Jun 21 2023
|
SOCIETE GENERALE
|
170,434
|
|||||||||
USD
|
5,200,000
|
CNH
|
36,709,244
|
Jul 12 2023
|
SOCIETE GENERALE
|
22,611
|
|||||||||
USD
|
50,000
|
COP
|
227,279,920
|
Jun 21 2023
|
SOCIETE GENERALE
|
(787
|
)
|
||||||||
USD
|
5,200,772
|
EUR
|
4,864,797
|
Jun 01 2023
|
SOCIETE GENERALE
|
498
|
|||||||||
USD
|
5,200,768
|
EUR
|
4,864,797
|
Jun 02 2023
|
SOCIETE GENERALE
|
208
|
|||||||||
USD
|
3,143,254
|
EUR
|
2,900,000
|
Jun 21 2023
|
SOCIETE GENERALE
|
39,590
|
|||||||||
USD
|
669,441
|
EUR
|
625,000
|
Jul 12 2023
|
SOCIETE GENERALE
|
(264
|
)
|
||||||||
USD
|
24,240,303
|
GBP
|
19,572,307
|
Jun 01 2023
|
SOCIETE GENERALE
|
(107,170
|
)
|
||||||||
USD
|
1,615,277
|
GBP
|
1,300,000
|
Jun 21 2023
|
SOCIETE GENERALE
|
(2,602
|
)
|
||||||||
USD
|
100,000
|
IDR
|
1,494,112,249
|
Jun 21 2023
|
SOCIETE GENERALE
|
349
|
|||||||||
USD
|
4,200,000
|
ILS
|
15,356,583
|
Jun 21 2023
|
SOCIETE GENERALE
|
80,584
|
|||||||||
USD
|
1,800,000
|
ILS
|
6,693,201
|
Jul 12 2023
|
SOCIETE GENERALE
|
2,632
|
|||||||||
USD
|
600,000
|
INR
|
49,140,477
|
Jun 05 2023
|
SOCIETE GENERALE
|
6,130
|
|||||||||
USD
|
200,000
|
INR
|
16,369,600
|
Jun 09 2023
|
SOCIETE GENERALE
|
2,199
|
|||||||||
USD
|
7,400,000
|
INR
|
608,446,500
|
Jun 12 2023
|
SOCIETE GENERALE
|
48,645
|
|||||||||
USD
|
2,050,000
|
INR
|
169,227,267
|
Jun 21 2023
|
SOCIETE GENERALE
|
6,019
|
|||||||||
USD
|
600,000
|
INR
|
49,715,100
|
Jun 23 2023
|
SOCIETE GENERALE
|
(432
|
)
|
||||||||
USD
|
8,000,000
|
INR
|
663,256,859
|
Jun 26 2023
|
SOCIETE GENERALE
|
(9,607
|
)
|
||||||||
USD
|
38,987,590
|
JPY
|
5,460,533,880
|
Jun 01 2023
|
SOCIETE GENERALE
|
(211,026
|
)
|
||||||||
USD
|
39,063,196
|
JPY
|
5,460,206,330
|
Jun 02 2023
|
SOCIETE GENERALE
|
(138,904
|
)
|
||||||||
USD
|
10,500,000
|
JPY
|
1,427,599,748
|
Jun 21 2023
|
SOCIETE GENERALE
|
219,430
|
|||||||||
USD
|
1,436,025
|
JPY
|
200,000,000
|
Jul 12 2023
|
SOCIETE GENERALE
|
(9,034
|
)
|
||||||||
USD
|
2,200,000
|
KRW
|
2,944,739,050
|
Jun 05 2023
|
SOCIETE GENERALE
|
(19,131
|
)
|
||||||||
USD
|
3,750,000
|
KRW
|
4,992,762,926
|
Jun 21 2023
|
SOCIETE GENERALE
|
(16,043
|
)
|
||||||||
USD
|
2,200,000
|
KRW
|
2,875,790,126
|
Jun 23 2023
|
SOCIETE GENERALE
|
30,524
|
|||||||||
USD
|
800,000
|
MXN
|
14,337,738
|
Jun 21 2023
|
SOCIETE GENERALE
|
(6,784
|
)
|
||||||||
USD
|
3,300,000
|
NOK
|
36,672,803
|
Jul 12 2023
|
SOCIETE GENERALE
|
(10,551
|
)
|
||||||||
USD
|
2,085,818
|
NZD
|
3,400,000
|
Jun 21 2023
|
SOCIETE GENERALE
|
38,206
|
|||||||||
USD
|
2,055,382
|
NZD
|
3,400,000
|
Jul 12 2023
|
SOCIETE GENERALE
|
8,000
|
|||||||||
USD
|
100,000
|
PHP
|
5,573,796
|
Jun 21 2023
|
SOCIETE GENERALE
|
823
|
|||||||||
USD
|
824
|
SEK
|
8,949
|
Jun 01 2023
|
SOCIETE GENERALE
|
(1
|
)
|
||||||||
USD
|
2,600,000
|
SEK
|
28,121,246
|
Jul 12 2023
|
SOCIETE GENERALE
|
2,583
|
|||||||||
USD
|
2,750,000
|
SGD
|
3,691,537
|
Jun 21 2023
|
SOCIETE GENERALE
|
18,200
|
|||||||||
USD
|
700,000
|
THB
|
24,097,766
|
Jun 21 2023
|
SOCIETE GENERALE
|
6,043
|
|||||||||
USD
|
2,600,000
|
TRY
|
57,931,518
|
Jun 20 2023
|
SOCIETE GENERALE
|
5,522
|
|||||||||
USD
|
1,700,000
|
TWD
|
51,980,490
|
Jun 05 2023
|
SOCIETE GENERALE
|
7,553
|
|||||||||
USD
|
4,200,000
|
TWD
|
128,478,470
|
Jun 21 2023
|
SOCIETE GENERALE
|
9,077
|
|||||||||
USD
|
1,700,000
|
TWD
|
52,230,832
|
Jun 26 2023
|
SOCIETE GENERALE
|
(4,767
|
)
|
||||||||
USD
|
4,250,000
|
ZAR
|
80,346,031
|
Jun 21 2023
|
SOCIETE GENERALE
|
183,842
|
|||||||||
USD
|
2,700,000
|
ZAR
|
53,602,414
|
Jul 12 2023
|
SOCIETE GENERALE
|
(6,934
|
)
|
||||||||
ZAR
|
4,671,086
|
USD
|
250,000
|
Jun 21 2023
|
SOCIETE GENERALE
|
(13,605
|
)
|
||||||||
Total Forward Foreign Currency Contracts
|
$
|
751,593
|
AUD
|
Australian Dollar
|
LME
|
London Mercantile Exchange
|
|||
BRL
|
Brazilian Real
|
MIB
|
Milano Indice di Borsa
|
|||
CAD
|
Canadian Dollar
|
MXN
|
Mexican Peso
|
|||
CHF
|
Swiss Franc
|
NOK
|
Norwegian Krone
|
|||
CLP
|
Chilean Peso
|
NZD
|
New Zealand Dollar
|
|||
CNH
|
Chinese Yuan Renminbi
|
OMX
|
Stockholm Stock Exchange
|
|||
COP
|
Colombian Peso
|
PHP
|
Philippine Peso
|
|||
CZK
|
Czech Koruna
|
PLN
|
Polish Zloty
|
|||
DAX
|
Deutscher Aktienindex
|
RBOB
|
Reformulated Blendstock for Oxygenate Blending
|
|||
DJIA
|
Dow Jones Industrial Average
|
RUB
|
Russian Ruble
|
|||
EUR
|
Euro
|
SEK
|
Swedish Krona
|
|||
FTSE
|
Financial Times Stock Exchange
|
SGD
|
Singapore Dollar
|
|||
GBP
|
British Pound
|
THB
|
Thai Baht
|
|||
HUF
|
Hungarian Forint
|
TRY
|
Turkish Lira
|
|||
ILS
|
Israeli New Shekel
|
TWD
|
Taiwan Dollar
|
|||
INR
|
Indian Rupee
|
USD
|
United States Dollar
|
|||
JPY
|
Japanese Yen
|
WTI
|
West Texas Intermediate
|
|||
KRW
|
Korean Won
|
ZAR
|
South African Rand
|
|||
The accompanying notes are an integral part of the consolidated portfolio of investments.
|
ABBEY CAPITAL MULTI ASSET FUND
|
NOTES TO CONSOLIDATED PORTFOLIO OF INVESTMENTS
|
MAY 31, 2023 (UNAUDITED)
|
CONSOLIDATION OF SUBSIDIARIES – The Abbey Capital Mulit-Asset Fund (the "Fund") strategy is
achieved by the Fund investing up to 25% of its total assets in ACMAF Master Offshore Limited (the “Cayman Subsidiary”), a wholly-owned and controlled subsidiary of the Fund organized under the acts of the Cayman Islands. Effective on or
about November 12, 2020, the Fund’s previous wholly-owned subsidiary, the Abbey Capital Multi Asset Offshore Fund Limited, became a wholly-owned subsidiary of the Cayman Subsidiary through a share exchange between the Fund and the Cayman
Subsidiary and registered as a segregated portfolio company under the acts of the Cayman Islands under the name ACMAF Offshore SPC (the “SPC”). The Cayman Subsidiary invests all or substantially all of its assets in segregated portfolios of
the SPC. The Cayman Subsidiary serves solely as an intermediate entity through which the Fund invests in the SPC and makes no independent investment decisions and has no investment or other discretion over the Fund’s investable assets.
Effective on or about July 8, 2021, the Fund may also invest a portion of its assets in segregated series of another whollyowned subsidiary of the Fund, the ACMAF Onshore Series LLC (the “Onshore Subsidiary”), a Delaware series limited
liability company. The consolidated financial statements of the Fund include the financial statements of the Cayman Subsidiary, the Onshore Subsidiary and SPC. The Fund consolidates the results of subsidiaries in which the Fund holds a
controlling financial interest. All inter-company accounts and transactions have been eliminated. As of May 31, 2023, the net assets of the Cayman Subsidiary and SPC were $97,276,754, which represented 20.34% of the Fund’s net assets. As of
May 31, 2023, the net assets of the Onshore Subsidiary were $66,192,838, which represented 13.84% of the Fund’s net assets.
|
PORTFOLIO VALUATION — The Fund's net asset value (“NAV”) is calculated once daily at the close of
regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities
exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Fixed income securities are valued using an independent pricing service, which considers such
factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Forward exchange contracts are valued by interpolating between spot and forward currency rates as quoted
by an independent pricing service. Futures contracts are generally valued using the settlement price determined by the relevant exchange. Options for which the primary market is a national securities exchange are valued at the last sale
price on the exchange on which they are traded, or, in the absence of any sale, will be valued at the mean of the last bid and ask prices prior to the market close. Options not traded on a national securities exchange are valued at the last
quoted bid price for long option positions and the closing ask price for short option positions. If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s
Board of Directors. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same
investments.
|
FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure the fair value of the Fund's investments are summarized into three levels as described in
the hierarchy below:
|
||||||||
• Level 1 – Prices are determined using quoted prices in active markets for identical securities.
|
||||||||
• Level 2 – Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
|
||||||||
• Level 3 – Prices are determined using significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
|
||||||||
The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
|
||||||||
The following is a summary of the inputs used, as of May 31, 2023, in valuing the Fund's investments carried at fair value:
|
ASSETS
|
TOTAL
|
LEVEL 1
|
LEVEL 2
|
LEVEL 3
|
|||||||||||
Short-Term Investments
|
$
|
395,593,717
|
$
|
395,593,717
|
$
|
-
|
$
|
-
|
|||||||
Commodity Contracts
|
|||||||||||||||
Futures Contracts
|
16,013,181
|
16,013,181
|
-
|
-
|
|||||||||||
Equity Contracts
|
|||||||||||||||
Futures Contracts
|
15,796,592
|
15,796,592
|
-
|
-
|
|||||||||||
Foreign Currency Contracts
|
|||||||||||||||
Forward Foreign Currency Contracts
|
2,773,711
|
-
|
2,773,711
|
-
|
|||||||||||
Futures Contracts
|
1,056,188
|
1,056,188
|
-
|
-
|
|||||||||||
Interest Rate Contracts
|
|||||||||||||||
Futures Contracts
|
533,455
|
533,455
|
-
|
-
|
|||||||||||
Total Assets
|
$
|
431,766,844
|
$
|
428,993,133
|
$
|
2,773,711
|
$
|
-
|
|||||||
LIABILITIES
|
TOTAL
|
LEVEL 1
|
LEVEL 2
|
LEVEL 3
|
|||||||||||
Commodity Contracts
|
|||||||||||||||
Futures Contracts
|
$
|
(11,566,351
|
)
|
$
|
(11,566,351
|
)
|
$
|
-
|
$
|
-
|
|||||
Equity Contracts
|
|||||||||||||||
Futures Contracts
|
(2,084,333
|
)
|
(2,084,333
|
)
|
-
|
-
|
|||||||||
Foreign Currency Contracts
|
|||||||||||||||
Forward Foreign Currency Contracts
|
(2,022,118
|
)
|
-
|
(2,022,118
|
)
|
-
|
|||||||||
Futures Contracts
|
(100,514
|
)
|
(100,514
|
)
|
-
|
-
|
|||||||||
Interest Rate Contracts
|
|||||||||||||||
Futures Contracts
|
(2,823,888
|
)
|
(2,823,888
|
)
|
-
|
-
|
|||||||||
Total Liabilities
|
$
|
(18,597,204
|
)
|
$
|
(16,575,086
|
)
|
$
|
(2,022,118
|
)
|
$
|
-
|
At the end of each quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are
considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of
contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1, 2 and 3 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.
|
|||||||||||||||
Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair
value of the Fund's investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may
differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.
|
|||||||||||||||
For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) requires the Fund to present a reconciliation of the beginning
to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between
levels are based on values at the end of the period. A reconciliation of Level 3 investments is presented only if the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net
assets. The amounts and reasons for all Level 3 transfers are disclosed if the Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.
|
|||||||||||||||
For the period ended May 31, 2023, the Fund had no Level 3 transfers.
|
|||||||||||||||
For more information with regard to significant accounting policies, see the most recent semi-annual or annual report filed with the Securities and Exchange Commission.
|