Brown Advisory Sustainable Bond Fund | ||||||||
Schedule of Investments | ||||||||
September 30, 2023 (Unaudited) | ||||||||
MORTGAGE BACKED SECURITIES - 32.3% | Principal Amount | Value | ||||||
Federal Home Loan Mortgage Corp. | $ | – | ||||||
Series 2015-HQ2, Class M3, 8.68% (30 day avg SOFR US + 3.36%), 05/25/2025 | 62,216 | 63,004 | ||||||
Series 4094, Class NI, 2.50%, 03/15/2027 (a) | 199,525 | 2,333 | ||||||
Series KW03, Class A2, 3.02%, 06/25/2027 | 300,000 | 278,403 | ||||||
Series 4107, Class LI, 3.00%, 08/15/2027 (a) | 1,608,247 | 102,732 | ||||||
Pool G31063, 3.50%, 11/01/2037 | 600,732 | 539,086 | ||||||
Series 4143, Class IA, 3.50%, 09/15/2042 (a) | 1,086,498 | 90,909 | ||||||
Series Q010, Class APT1, 4.92%, 04/25/2046 (b) | 86,056 | 85,586 | ||||||
Series Q007, Class APT1, 5.71%, 10/25/2047 (b) | 147,810 | 147,129 | ||||||
Pool QC5510, 3.50%, 07/01/2051 | 1,089,115 | 939,390 | ||||||
Pool RA6064, 2.50%, 09/01/2051 | 5,072,534 | 4,118,839 | ||||||
Pool SD3234, 2.50%, 12/01/2051 | 7,781,438 | 6,180,007 | ||||||
Pool QD7054, 3.00%, 02/01/2052 | 1,779,860 | 1,475,468 | ||||||
Pool RA6699, 3.50%, 02/01/2052 | 1,846,960 | 1,591,604 | ||||||
Pool QD5888, 3.50%, 02/01/2052 | 1,840,671 | 1,586,211 | ||||||
Pool QD7450, 3.00%, 03/01/2052 | 1,754,743 | 1,456,491 | ||||||
Pool QE0380, 2.50%, 04/01/2052 | 162,894 | 130,588 | ||||||
Pool SD3100, 3.50%, 09/01/2052 | 6,990,301 | 6,038,913 | ||||||
Pool SD2875, 5.00%, 05/01/2053 | 3,366,292 | 3,193,497 | ||||||
Federal National Mortgage Association | $ | – | ||||||
Pool BS4700, 2.43%, 02/01/2032 | 1,620,000 | 1,263,006 | ||||||
Series 2021-95, Class WI, 0.00%, 02/25/2035 (a)(b) | 4,824,630 | 144,288 | ||||||
Pool MA2897, 3.00%, 02/01/2037 | 425,910 | 380,332 | ||||||
Series 2012-65, Class HJ, 5.00%, 07/25/2040 | 193,374 | 187,806 | ||||||
Pool 467095, 5.90%, 01/01/2041 | 245,118 | 252,953 | ||||||
Pool 469130, 4.87%, 10/01/2041 | 161,346 | 154,524 | ||||||
Pool BH7686, 4.50%, 12/01/2047 | 97,144 | 90,360 | ||||||
Pool BK5105, 5.50%, 05/01/2048 | 142,103 | 138,773 | ||||||
Pool BK8032, 5.50%, 06/01/2048 | 212,216 | 207,871 | ||||||
Pool BN4936, 5.50%, 12/01/2048 | 145,294 | 141,145 | ||||||
Pool BN4921, 5.50%, 01/01/2049 | 145,546 | 141,236 | ||||||
Pool FM8754, 3.00%, 09/01/2051 | 5,497,500 | 4,592,427 | ||||||
Pool BT7699, 4.00%, 09/01/2051 | 1,826,928 | 1,681,189 | ||||||
Pool FS0031, 2.50%, 10/01/2051 | 1,185,493 | 943,263 | ||||||
Pool FS1480, 2.50%, 11/01/2051 | 615,494 | 492,539 | ||||||
Pool FS0491, 3.50%, 01/01/2052 | 2,746,380 | 2,369,008 | ||||||
Pool FS0731, 2.00%, 02/01/2052 | 1,066,281 | 821,899 | ||||||
Pool CB2909, 3.50%, 02/01/2052 | 1,754,078 | 1,511,516 | ||||||
Pool MA4565, 3.50%, 03/01/2052 | 2,440,125 | 2,103,569 | ||||||
Pool BV4532, 3.50%, 03/01/2052 | 1,827,136 | 1,574,332 | ||||||
Pool FS5458, 5.50%, 08/01/2053 | 6,992,974 | 6,763,846 | ||||||
Federal National Mortgage Association, TBA | $ | – | ||||||
2.00%, 10/15/2053 | 25,660,000 | 19,523,651 | ||||||
2.50%, 10/15/2053 | 6,045,000 | 4,798,917 | ||||||
3.00%, 10/15/2053 | 9,100,000 | 7,525,629 | ||||||
4.00%, 10/15/2053 | 24,700,000 | 21,992,648 | ||||||
4.50%, 10/15/2053 | 7,200,000 | 6,611,063 | ||||||
Ginnie Mae I Pool | $ | – | ||||||
Pool 781950, 4.50%, 07/15/2035 | 523,601 | 497,597 | ||||||
Pool 723334, 5.00%, 09/15/2039 | 231,765 | 226,766 | ||||||
Pool 783467, 4.00%, 10/15/2041 | 2,720,243 | 2,522,791 | ||||||
Ginnie Mae II Pool | $ | – | ||||||
Pool MA7106, 2.00%, 01/20/2036 | 630,665 | 542,390 | ||||||
Pool MA7164, 2.00%, 02/20/2036 | 618,061 | 531,517 | ||||||
Pool MA2754, 3.50%, 04/20/2045 | 1,039,777 | 928,170 | ||||||
Pool 784507, 4.00%, 12/20/2047 | 3,161,454 | 2,887,431 | ||||||
Pool MA7774, 6.00%, 11/20/2051 | 266,143 | 274,408 | ||||||
GNMA, TBA | $ | – | ||||||
2.00%, 10/15/2053 | 26,785,000 | 21,180,029 | ||||||
2.50%, 10/15/2053 | 16,800,000 | 13,733,315 | ||||||
3.00%, 10/15/2053 | 8,800,000 | 7,459,375 | ||||||
3.50%, 10/15/2053 | 5,350,000 | 4,686,684 | ||||||
4.00%, 10/15/2053 | 14,434,000 | 13,005,823 | ||||||
4.50%, 10/15/2053 | 4,915,000 | 4,540,807 | ||||||
Government National Mortgage Association | $ | – | ||||||
Series 2017-167, Class SE, 0.76% (1 mo Term SOFR + 6.09%), 11/20/2047 (a) | 1,887,354 | 176,730 | ||||||
Series 2021-125, Class UL, 1.50%, 07/20/2051 | 920,149 | 649,819 | ||||||
Series 2021-158, Class JD, 1.50%, 09/20/2051 | 1,343,418 | 926,682 | ||||||
Series 2021-160, Class DK, 2.00%, 09/20/2051 | 2,104,659 | 1,335,608 | ||||||
Series 2021-177, Class KD, 2.00%, 10/20/2051 | 1,383,690 | 1,017,768 | ||||||
Series 2022-9, Class CD, 2.00%, 01/20/2052 | 2,468,351 | 1,854,516 | ||||||
Series 2014-45, Class BI, 0.54%, 07/16/2054 (a)(b) | 369,149 | 3,999 | ||||||
Series 2014-135, Class IO, 0.43%, 01/16/2056 (a)(b) | 230,110 | 4,126 | ||||||
Series 2015-172, Class IO, 0.62%, 03/16/2057 (a)(b) | 224,103 | 4,704 | ||||||
Series 2016-40, Class IO, 0.61%, 07/16/2057 (a)(b) | 429,053 | 9,048 | ||||||
Series 2016-56, Class IO, 1.01%, 11/16/2057 (a)(b) | 287,287 | 12,250 | ||||||
Series 2016-98, Class IO, 0.85%, 05/16/2058 (a)(b) | 438,076 | 16,638 | ||||||
Series 2021-84, Class ED, 1.00%, 07/16/2060 | 8,413,141 | 5,798,066 | ||||||
Seasoned Credit Risk Transfer Trust | $ | – | ||||||
Series 2017-1, Class M1, 4.00%, 01/25/2056 (b)(c) | 63,610 | 63,021 | ||||||
TOTAL MORTGAGE BACKED SECURITIES (Cost $215,827,888) | 199,318,058 | |||||||
CORPORATE BONDS - 27.6% | Principal Amount | Value | ||||||
AbbVie, Inc. | $ | – | ||||||
2.60%, 11/21/2024 | 6,155,000 | 5,935,932 | ||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | $ | – | ||||||
1.65%, 10/29/2024 | 3,360,000 | 3,197,380 | ||||||
3.00%, 10/29/2028 | 7,440,000 | 6,382,844 | ||||||
AIB Group PLC | $ | – | ||||||
7.58% (Fixed until 10/14/25, then SOFR + 3.46%), 10/14/2026 (c) | 3,110,000 | 3,168,305 | ||||||
6.61% (Fixed until 09/13/28, then SOFR + 2.33%), 09/13/2029 (c) | 3,000,000 | 2,989,475 | ||||||
Aptiv PLC | $ | – | ||||||
3.25%, 03/01/2032 | 7,685,000 | 6,303,325 | ||||||
AT&T, Inc. | $ | – | ||||||
4.35%, 03/01/2029 | 6,825,000 | 6,353,253 | ||||||
Bio-Rad Laboratories, Inc. | $ | – | ||||||
3.70%, 03/15/2032 | 7,260,000 | 6,114,805 | ||||||
Broadcom, Inc. | $ | – | ||||||
4.30%, 11/15/2032 | 7,100,000 | 6,196,575 | ||||||
CaixaBank S.A. | $ | – | ||||||
6.84% (Fixed until 09/13/33, then SOFR + 2.77%), 09/13/2034 (c) | 6,000,000 | 5,884,993 | ||||||
Carrier Global Corp. | $ | – | ||||||
2.24%, 02/15/2025 | 3,260,000 | 3,099,105 | ||||||
Consolidated Edison Co. of New York, Inc. | $ | – | ||||||
3.35%, 04/01/2030 | 5,385,000 | 4,732,459 | ||||||
Crown Castle, Inc. | $ | – | ||||||
3.30%, 07/01/2030 | 7,450,000 | 6,293,526 | ||||||
DH Europe Finance II Sarl | $ | – | ||||||
2.60%, 11/15/2029 | 7,335,000 | 6,308,300 | ||||||
Equinix, Inc. | $ | – | ||||||
3.20%, 11/18/2029 | 7,395,000 | 6,338,456 | ||||||
Ferguson Finance PLC | $ | – | ||||||
4.65%, 04/20/2032 (c) | 6,960,000 | 6,253,714 | ||||||
Fortis, Inc. | $ | – | ||||||
3.06%, 10/04/2026 | 6,895,000 | 6,323,011 | ||||||
Kreditanstalt fuer Wiederaufbau | $ | – | ||||||
0.63%, 01/22/2026 | 26,100,000 | 23,612,135 | ||||||
Marvell Technology, Inc. | $ | – | ||||||
5.95%, 09/15/2033 | 6,385,000 | 6,270,480 | ||||||
Micron Technology, Inc. | $ | – | ||||||
6.75%, 11/01/2029 | 3,100,000 | 3,151,739 | ||||||
Nationwide Building Society | $ | – | ||||||
4.30% (Fixed until 03/08/28, then 3 mo. LIBOR US + 1.45%), 03/08/2029 (c) | 3,465,000 | 3,183,391 | ||||||
NatWest Group PLC | $ | – | ||||||
5.08% (Fixed until 01/27/29, then 3 mo. LIBOR US + 1.91%), 01/27/2030 | 3,375,000 | 3,147,862 | ||||||
8.00% (Fixed until 08/10/25, then 5 Year Swap Rate USD + 5.72%), Perpetual | 3,275,000 | 3,185,576 | ||||||
Revvity, Inc. | $ | – | ||||||
2.25%, 09/15/2031 | 8,225,000 | 6,261,185 | ||||||
Roper Technologies, Inc. | $ | – | ||||||
1.75%, 02/15/2031 | 6,120,000 | 4,647,241 | ||||||
Societe Generale S.A. | $ | – | ||||||
2.80% (Fixed until 01/19/27, then 1 Year CMT Rate + 1.30%), 01/19/2028 (c) | 7,155,000 | 6,363,548 | ||||||
Sprint Capital Corp. | $ | – | ||||||
8.75%, 03/15/2032 | 5,435,000 | 6,292,241 | ||||||
Trimble, Inc. | $ | – | ||||||
6.10%, 03/15/2033 | 6,455,000 | 6,328,774 | ||||||
Veralto Corp. | $ | – | ||||||
5.45%, 09/18/2033 (c) | 6,365,000 | 6,160,590 | ||||||
TOTAL CORPORATE BONDS (Cost $178,827,810) | 170,480,220 | |||||||
FOREIGN GOVERNMENT BOND - 23.6% | Principal Amount | Value | ||||||
Asian Development Bank | $ | – | ||||||
2.88%, 05/06/2025 | 24,830,000 | 23,909,946 | ||||||
1.88%, 03/15/2029 | 10,200,000 | 8,810,635 | ||||||
Council of Europe Development Bank | $ | – | ||||||
3.00%, 06/16/2025 | 14,100,000 | 13,564,292 | ||||||
European Investment Bank | $ | – | ||||||
2.75%, 08/15/2025 | 23,915,000 | 22,901,641 | ||||||
1.38%, 03/15/2027 | 24,655,000 | 21,996,563 | ||||||
Inter-American Development Bank | $ | – | ||||||
5.29% (SOFR + 0.28%), 04/12/2027 | 10,625,000 | 10,601,512 | ||||||
Inter-American Development Bank | $ | – | ||||||
0.88%, 04/20/2026 | 22,670,000 | 20,463,317 | ||||||
International Bank for Reconstruction & Development | $ | – | ||||||
0.63%, 04/22/2025 | 25,400,000 | 23,610,441 | ||||||
TOTAL FOREIGN GOVERNMENT BOND (Cost $148,739,076) | 145,858,347 | |||||||
U.S. TREASURY SECURITIES - 13.2% | Principal Amount | Value | ||||||
United States Treasury Bond | $ | – | ||||||
3.88%, 02/15/2043 | 2,650,000 | 2,306,742 | ||||||
United States Treasury Note | $ | – | ||||||
3.25%, 06/30/2027 | 6,270,000 | 5,958,214 | ||||||
3.88%, 12/31/2027 | 2,445,000 | 2,369,931 | ||||||
3.50%, 04/30/2028 | 2,980,000 | 2,840,662 | ||||||
2.88%, 05/15/2028 | 12,560,000 | 11,641,550 | ||||||
2.88%, 04/30/2029 | 3,800,000 | 3,470,914 | ||||||
3.50%, 04/30/2030 | 3,486,000 | 3,263,087 | ||||||
0.88%, 11/15/2030 | 11,765,000 | 9,155,560 | ||||||
1.88%, 02/15/2032 | 20,490,000 | 16,647,324 | ||||||
3.50%, 02/15/2033 | 4,805,000 | 4,409,338 | ||||||
United States Treasury STRIP | $ | – | ||||||
4.25%, 05/15/2043 (d) | 53,020,000 | 19,575,244 | ||||||
TOTAL U.S. TREASURY SECURITIES (Cost $90,467,991) | 81,638,566 | |||||||
ASSET BACKED SECURITIES - 6.5% | Principal Amount | Value | ||||||
American Homes 4 Rent Trust | $ | – | ||||||
Series 2014-SFR2, Class D, 5.15%, 10/17/2036 (c) | 540,000 | 530,541 | ||||||
Series 2015-SFR1, Class D, 4.41%, 04/17/2052 (c) | 520,000 | 502,874 | ||||||
AmeriCredit Automobile Receivables Trust | $ | – | ||||||
Series 2020-2, Class C, 1.48%, 02/18/2026 | 1,000,000 | 974,431 | ||||||
CarMax Auto Owner Trust | $ | – | ||||||
Series 5.72000, Class A2A, 5.72%, 11/16/2026 | 2,870,000 | 2,877,335 | ||||||
Series 2021-2, Class C, 1.34%, 02/16/2027 | 2,255,000 | 2,075,685 | ||||||
CNH Equipment Trust | $ | – | ||||||
Series 2023-B, Class A2, 5.90%, 02/16/2027 | 5,150,000 | 5,158,389 | ||||||
Series 2020-A, Class A4, 1.51%, 04/15/2027 | 1,000,000 | 982,308 | ||||||
Series 2021-C, Class B, 1.41%, 04/16/2029 | 2,650,000 | 2,403,246 | ||||||
Dext ABS LLC | $ | – | ||||||
Series 2021-1, Class A, 1.12%, 02/15/2028 (c) | 1,076,409 | 1,039,968 | ||||||
Series 2021-1, Class B, 1.76%, 02/15/2028 (c) | 870,000 | 801,855 | ||||||
Drive Auto Receivables Trust | $ | – | ||||||
Series 2019-3, Class D, 3.18%, 10/15/2026 | 430,644 | 430,104 | ||||||
Series 2020-1, Class D, 2.70%, 05/17/2027 | 813,243 | 802,204 | ||||||
FHF Trust | $ | – | ||||||
Series 2021-2A, Class A, 0.83%, 12/15/2026 (c) | 387,790 | 371,765 | ||||||
Series 2021-1A, Class A, 1.27%, 03/15/2027 (c) | 579,518 | 560,025 | ||||||
GM Financial Automobile Leasing Trust | $ | – | ||||||
Series 2021-2, Class C, 1.01%, 05/20/2025 | 1,000,000 | 989,583 | ||||||
HPEFS Equipment Trust | $ | – | ||||||
Series 2021-2A, Class B, 0.61%, 09/20/2028 (c) | 1,975,000 | 1,964,830 | ||||||
Series 2021-1A, Class D, 1.03%, 03/20/2031 (c) | 2,000,000 | 1,954,449 | ||||||
John Deere Owner Trust | $ | – | ||||||
Series 2023-B, Class A2, 5.59%, 06/15/2026 | 3,775,000 | 3,779,090 | ||||||
Series 2023-C, Class A2, 5.76%, 08/17/2026 | 5,850,000 | 5,850,161 | ||||||
JPMorgan Chase Bank NA | $ | – | ||||||
Series 2021-3, Class B, 0.76%, 02/26/2029 (c) | 951,201 | 909,794 | ||||||
MVW Owner Trust | $ | – | ||||||
Series 2017-1A, Class A, 2.42%, 12/20/2034 (c) | 652,394 | 637,085 | ||||||
Newtek Small Business Loan Trust | $ | – | ||||||
Series 2018-1, Class A, 7.95% (Prime Rate + (0.55%)), 02/25/2044 (c) | 510,786 | 506,283 | ||||||
Oportun Funding LLC | $ | – | ||||||
Series 2019-A, Class A, 3.08%, 08/08/2025 (c) | 96,064 | 95,283 | ||||||
PFS Financing Corp | $ | – | ||||||
Series 2021-A, Class A, 0.71%, 04/15/2026 (c) | 1,075,000 | 1,044,154 | ||||||
SoFi Consumer Loan Program Trust | $ | – | ||||||
Series 2021-1, Class A, 0.49%, 09/25/2030 (c) | 60,500 | 60,005 | ||||||
Tesla Auto Lease Trust | $ | – | ||||||
Series 2021-A, Class C, 1.18%, 03/20/2025 (c) | 2,705,000 | 2,673,291 | ||||||
TOTAL ASSET BACKED SECURITIES (Cost $40,842,852) | 39,974,738 | |||||||
MUNICIPAL BONDS - 1.3% | Principal Amount | Value | ||||||
California Health Facilities Financing Authority | $ | – | ||||||
3.03%, 06/01/2034 | 2,650,000 | 2,129,837 | ||||||
Colorado Health Facilities Authority | $ | – | ||||||
3.36%, 12/01/2030 | 1,325,000 | 1,118,523 | ||||||
Honolulu Hawaii | $ | – | ||||||
3.00%, 09/01/2027 | 100,000 | 93,081 | ||||||
Los Angeles California Community College District/CA | $ | – | ||||||
6.60%, 08/01/2042 | 30,000 | 32,939 | ||||||
Los Angeles California Wastewater System Revenue | $ | – | ||||||
3.49%, 06/01/2029 | 430,000 | 393,906 | ||||||
Maryland Community Development Administration | $ | – | ||||||
3.24%, 09/01/2048 | 15,000 | 14,609 | ||||||
Metropolitan Pier & Exposition Authority | $ | – | ||||||
3.96%, 12/15/2026 | 3,300,000 | 3,101,457 | ||||||
New York City New York Housing Development Corp. | $ | – | ||||||
2.71%, 08/01/2031 | 1,000,000 | 801,940 | ||||||
University of California | $ | – | ||||||
2.99%, 05/15/2026 | 355,000 | 334,701 | ||||||
University of North Texas System | $ | – | ||||||
3.69%, 04/15/2030 | 25,000 | 22,643 | ||||||
TOTAL MUNICIPAL BONDS (Cost $9,257,503) | 8,043,636 | |||||||
SHORT-TERM INVESTMENTS - 15.9% | ||||||||
Money Market Funds - 15.6% | Shares | |||||||
First American Government Obligations Fund - Class Z, 5.22%(e) | 96,334,597 | 96,334,597 | ||||||
Total Money Market Funds | 96,334,597 | |||||||
U.S. Treasury Bills - 0.3% | Principal Amount | |||||||
United States Treasury Bill, 5.30%, 10/12/2023(f) | 2,050,000 | 2,046,998 | ||||||
Total U.S. Treasury Bills | 2,046,998 | |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $98,381,323) | 98,381,595 | |||||||
TOTAL INVESTMENTS - 120.4% (Cost $782,344,443) | 743,695,160 | |||||||
Liabilities in Excess of Other Assets - (20.4)% | (126,227,364 | ) | ||||||
TOTAL NET ASSETS - 100.0% | $ | 617,467,796 | ||||||
Percentages are stated as a percent of net assets. |
LIBOR - London Interbank Offered Rate |
PLC - Public Limited Company |
SOFR - Secured Overnight Financing Rate |
STRIP Separate Trading of Registered Interest and Principal |
TBA - To be Announced |
(a) | Interest only security. |
(b) | Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of September 30, 2023. |
(c) | Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(d) | Zero-coupon bond. Rate disclosed is calculated yield to maturity as of the date of this report. |
(e) | The rate shown represents the 7-day effective yield as of September 30, 2023. |
(f) | This security is pledged as collateral in connection with open futures contracts. Rate disclosed is yield to maturity as of the date of this report. |
Schedule of Open Futures Contracts | |||||||||||||||||
September 30, 2023 (Unaudited) | |||||||||||||||||
Description | Contracts Purchased | Expiration Date | Notional Amount | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||||
U.S. Treasury 2 Year Notes | 88 | 12/29/2023 | $ | 17,893,554 | $ | 17,838,563 | $ | (54,991 | ) | ||||||||
U.S. Treasury 5 Year Note | 370 | 12/29/2023 | 39,342,007 | 38,982,969 | (359,038 | ) | |||||||||||
U.S. Treasury Ultra Bonds | 345 | 12/19/2023 | 44,035,992 | 40,947,187 | (3,088,805 | ) | |||||||||||
$ | 101,271,553 | $ | 97,768,719 | $ | (3,502,834 | ) | |||||||||||
Description | Contracts Sold | Expiration Date | Notional Amount | Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||||
U.S. Treasury Long Bonds | (179) | 12/19/2023 | $ | (21,464,128 | ) | $ | (20,366,844 | ) | $ | 1,097,284 | |||||||
10 Year U.S. Ultra Treasury Notes | (9) | 12/19/2023 | (1,045,529 | ) | (1,004,063 | ) | 41,466 | ||||||||||
U.S. Treasury 10 Year Notes | (51) | 12/19/2023 | (5,595,553 | ) | (5,511,187 | ) | 84,366 | ||||||||||
$ | (28,105,210 | ) | $ | (26,882,094 | ) | $ | 1,223,116 | ||||||||||
Total Unrealized Appreciation (Depreciation) | $ | (2,279,718 | ) |
There is no variation margin due to or from the Fund as of the date of this report. The Fund’s investments in futures contracts were valued using Level 1 inputs as of the date of this report.
Various inputs may be used to determine the value of the Fund’s investments. These inputs are summarized in three broad levels. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1 - Quoted prices in active markets for identical securities.
Level 2 - Evaluated price based on other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment spreads, credit risk, etc.).
Level 3 - Significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
Level 1 | Level 2 | Level 3 | |||||||||
Fixed Income Securities: | |||||||||||
Mortgage Backed Securities | $ | – | $ | 199,318,058 | $ | – | |||||
Corporate Bonds | – | 170,480,220 | – | ||||||||
Foreign Government Bond | – | 145,858,347 | – | ||||||||
U.S. Treasury Securities | – | 81,638,566 | – | ||||||||
Asset Backed Securities | – | 39,974,738 | – | ||||||||
Municipal Bonds | – | 8,043,636 | – | ||||||||
Total Fixed Income Securities | – | 645,313,565 | – | ||||||||
Short-Term Investments: | – | – | – | ||||||||
U.S. Treasury Bills | – | 2,046,998 | – | ||||||||
Money Market Funds | 96,334,597 | – | – | ||||||||
Total Short-Term Investments | 96,334,597 | 2,046,998 | – | ||||||||
Total Investments in Securities | $ | 96,334,597 | $ | 647,360,563 | $ | – |