Principal
Value
U.S.
Government
Obligations
–
48.1%
U.S.
Treasury
Note,
4.25%,
10/15/2025(a)
(Cost
$118,464,903)
.........................................................
$
119,250,000
$
120,116,425
U.S.
Treasury
Bills
–
47.1%
U.S.
Treasury
Bill,
4.69%,
6/8/2023(b)
.............................................
$
94,300,000
93,512,690
U.S.
Treasury
Bill,
5.29%,
9/7/2023(b)
.............................................
24,400,000
23,904,257
Total
U.S.
Treasury
Bills
(Cost
$117,345,148)
.....................................................
117,416,947
Notional
Amount
Purchased
Swaptions
–
2.2%
Puts
–
Over
the
Counter
–
2.2%
Interest
Rate
Swaption,
pay
semi
annually
a
fixed
rate
of
4.00%
and
received
quarterly
a
floating
rate
of
SOFR,
Expires
5/11/28
(counterparty:
Bank
of
America
NA)(c)
.................................................
310,000,000
5,392,567
Interest
Rate
Swaption,
pay
semi
annually
a
fixed
rate
of
4.25%
and
received
quarterly
a
floating
rate
of
3-month
LIBOR,
Expires
5/11/28
(counterparty:
Bank
of
America
NA)(c)
...........................................
340,000,000
9,849,888
Interest
Rate
Swaption,
pay
semi
annually
a
fixed
rate
of
4.50%
and
received
quarterly
a
floating
rate
of
SOFR,
Expires
5/11/29
(counterparty:
Bank
of
America
NA)(c)
.................................................
20,000,000
(426,400)
Interest
Rate
Swaption,
pay
semi
annually
a
fixed
rate
of
4.25%
and
received
quarterly
a
floating
rate
of
SOFR,
Expires
5/10/30
(counterparty:
Bank
of
America
NA)(c)
.................................................
260,000,000
(1,559,043)
Interest
Rate
Swaption,
pay
semi
annually
a
fixed
rate
of
4.25%
and
received
quarterly
a
floating
rate
of
3-month
LIBOR,
Expires
5/12/28
(counterparty:
Goldman
Sachs
International)
.....................................
160,000,000
4,773,477
Interest
Rate
Swaption,
pay
semi
annually
a
fixed
rate
of
4.50%
and
received
quarterly
a
floating
rate
of
1-Year-SOFR,
Expires
5/11/29
(counterparty:
Goldman
Sachs
International)
.....................................
370,000,000
(8,696,880)
Interest
Rate
Swaption,
pay
semi
annually
a
fixed
rate
of
4.25%
and
received
quarterly
a
floating
rate
of
SOFR,
Expires
5/10/30
(counterparty:
Goldman
Sachs
International)
.............................................
530,000,000
(3,680,079)
Interest
Rate
Swaption,
pay
semi
annually
a
fixed
rate
of
4.00%
and
received
quarterly
a
floating
rate
of
SOFR,
Expires
5/11/28
(counterparty:
Morgan
Stanley
Capital
Services
LLC)(c)
...................................
660,000,000
3,064,678
Interest
Rate
Swaption,
pay
semi
annually
a
fixed
rate
of
4.25%
and
received
quarterly
a
floating
rate
of
SOFR,
Expires
5/10/30
(counterparty:
Morgan
Stanley
Capital
Services
LLC)(c)
...................................
530,000,000
(3,260,792)
5,457,416
Total
Purchased
Swaptions
(Cost
$0)
..............................................................
5,457,416
Total
Investments
–
97.4%
(Cost
$235,810,051)
.........................................................................
$
242,990,788
Other
Assets
in
Excess
of
Liabilities
–
2.6%
.........................................................
6,432,860
Net
Assets
–
100.0%
..........................................................................
$
249,423,648
(a)
Securities
with
an
aggregate
market
value
of
$8,560,095
have
been
pledged
as
collateral
for
purchased
swaptions
as
of
March
31,
2023.
(b)
Represents
a
zero
coupon
bond.
Rate
shown
reflects
the
effective
yield.
(c)
U.S.
Treasury
Notes
with
a
market
value
of
$11,560,471
have
been
pledged
as
collateral
by
the
broker
for
purchased
swaptions
as
of
March
31,
2023.
