Principal
Value
U.S.
Treasury
Bills
–
60.7%
U.S.
Treasury
Bill,
4.80%,
1/14/2025(a)(b)
(Cost
$73,980,433)
......................................................
$
75,000,000
$
74,025,524
U.S.
Government
Obligations
–
39.1%
U.S.
Treasury
Note,
0.25%,
9/30/2025(b)
(Cost
$47,196,750)
......................................................
$
49,425,000
47,644,177
Notional
Amount
Purchased
Swaptions
–
0.0%†
Puts
–
Over
the
Counter
–
0.0%†
Interest
Rate
Swaption,
pay
semi
annually
a
fixed
rate
of
4.25%
and
received
quarterly
a
floating
rate
of
SOFR,
Expires
5/11/30
(counterparty:
Bank
of
America
NA)
...................................................
135,000,000
1,211,659
Interest
Rate
Swaption,
pay
semi
annually
a
fixed
rate
of
4.50%
and
received
quarterly
a
floating
rate
of
SOFR,
Expires
5/13/30
(counterparty:
Barclays
Bank
PLC)
.....................................................
245,000,000
251,512
Interest
Rate
Swaption,
pay
semi
annually
a
fixed
rate
of
4.25%
and
received
quarterly
a
floating
rate
of
SOFR,
Expires
5/11/30
(counterparty:
Goldman
Sachs
International)
.............................................
150,000,000
1,295,279
Interest
Rate
Swaption,
pay
semi
annually
a
fixed
rate
of
4.50%
and
received
quarterly
a
floating
rate
of
SOFR,
Expires
5/13/30
(counterparty:
Goldman
Sachs
International)
.............................................
375,000,000
(1,544,166)
Interest
Rate
Swaption,
pay
semi
annually
a
fixed
rate
of
4.50%
and
received
quarterly
a
floating
rate
of
SOFR,
Expires
5/13/30
(counterparty:
J&P
Morgan
Chase
&
Co.)
...................................................
120,000,000
(1,678,003)
Interest
Rate
Swaption,
pay
semi
annually
a
fixed
rate
of
4.50%
and
received
quarterly
a
floating
rate
of
SOFR,
Expires
5/13/30
(counterparty:
Morgan
Stanley
Capital
Services
LLC)
.....................................
745,000,000
493,869
30,150
Total
Purchased
Swaptions
(Cost
$0)
................................................
30,150
Total
Investments
–
99.8%
(Cost
$121,177,183)
...........................................................
$
121,699,851
Other
Assets
in
Excess
of
Liabilities
–
0.2%
...........................................
238,527
Net
Assets
–
100.0%
............................................................
$
121,938,378
†
Less
than
0.05%
(a)
Represents
a
zero
coupon
bond.
Rate
shown
reflects
the
effective
yield.
(b)
Securities
with
an
aggregate
market
value
of
$18,182,523
have
been
pledged
as
collateral
for
purchased
swaptions
as
of
September
30,
2024.
