U.S. Treasury Obligation (68.2%) | | Principal Amount | | Value | |
| | | | | |
U.S. Treasury Notes, 0.50%, 3/31/25 | | $ | 10,000,000 | | $ | 10,063,281 | |
TOTAL U.S. TREASURY OBLIGATION | | | | | |
(Cost $10,042,165) | | | | 10,063,281 | |
| | | | | |
Repurchase Agreements (26.2%) | | | | | |
| | | | | |
Canadian Imperial Bank of Commerce, 0.00%, 4/1/20, dated 3/31/20, with a repurchase price of $860,000 (Collateralized by $840,600 U.S. Treasury Notes, 2.50%, 2/15/22, total value 877,302) | | 860,000 | | 860,000 | |
HSBC Securities (USA), Inc., 0.00%, 4/1/20, dated 3/31/20, with a repurchase price of $1,105,000 (Collateralized by $1,661,700 U.S. Treasury STRIPS, 1.41%*, 11/15/47, total value $1,127,126) | | 1,105,000 | | 1,105,000 | |
RBC Capital Markets, LLC, 0.00%, 4/1/20, dated 3/31/20, with a repurchase price of $1,032,000 (Collateralized by $1,005,000 U.S. Treasury Inflation-Protected Securities (TIPS), 0.125%, 4/15/22, total value $1,052,702) | | 1,032,000 | | 1,032,000 | |
Societe’ Generale, 0.00%, 4/1/20, dated 3/31/20, with a repurchase price of $860,000 (Collateralized by $697,600 U.S. Treasury Inflation-Protected Securities (TIPS), 0.625%, 2/15/43, total value $877,241) | | 860,000 | | 860,000 | |
UMB Financial Corp., 0.00%, 4/1/20, dated 3/31/20, with a repurchase price of $3,000 (Collateralized by $10,000 Federal Home Loan Bank, 3.375%, 12/8/23, total value $11,099) | | 3,000 | | 3,000 | |
TOTAL REPURCHASE AGREEMENTS | | | | | |
(Cost $3,860,000) | | | | 3,860,000 | |
| | | | | |
TOTAL INVESTMENT SECURITIES | | | | | |
(Cost $13,902,165) - 94.4% | | | | 13,923,281 | |
Net other assets (liabilities) - 5.6% | | | | 827,083 | |
NET ASSETS - 100.0% | | | | $ | 14,750,364 | |
| | | | | | | |
* Represents the effective yield or interest rate in effect at March 31, 2020.
(a) When a credit event occurs as defined under the terms of the swap agreement, the Fund as a seller of credit protection will either (i) pay to the buyer of protection an amount equal to the par value of the defaulted reference entity and take delivery of the reference entity or (ii) pay a net amount equal to the par value of the defaulted reference entity less its recovery value.
(b) Implied credit spread, represented in absolute terms, utilized in determining the value of the credit default swap agreements as of period end will serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default or other credit event for the credit derivative. The implied credit spread of a referenced entity reflects the cost of buying/selling protection and may include payments required to be made to enter into the agreement. Generally, wider credit spreads represent a perceived deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the swap agreement.
(c) The notional amount represents the maximum potential amount the Fund could be required pay as a seller of credit protection if a credit event occurs, as defined under the terms of the swap agreement, for each security included in the CDX North America High Yield Index.
