|
Brown Advisory Sustainable Bond Fund
|
||||||||
|
Schedule of Investments
|
||||||||
|
March 31, 2024 (Unaudited)
|
||||||||
|
MORTGAGE-BACKED SECURITIES - 33.1%
|
Par
|
Value
|
||||||
|
Federal Home Loan Mortgage Corp.
|
||||||||
|
Pool G31063, 3.50%, 11/01/2037
|
$
|
568,039
|
$
|
533,954
|
||||
|
Pool QC5510, 3.50%, 07/01/2051
|
1,078,587
|
966,916
|
||||||
|
Pool QD5888, 3.50%, 02/01/2052
|
1,746,739
|
1,570,458
|
||||||
|
Pool QD7054, 3.00%, 02/01/2052
|
1,685,415
|
1,452,506
|
||||||
|
Pool QD7450, 3.00%, 03/01/2052
|
1,701,822
|
1,469,139
|
||||||
|
Pool QE0380, 2.50%, 04/01/2052
|
154,466
|
129,468
|
||||||
|
Pool RA6064, 2.50%, 09/01/2051
|
4,535,895
|
3,835,013
|
||||||
|
Pool RA6699, 3.50%, 02/01/2052
|
1,781,875
|
1,602,029
|
||||||
|
Pool RA7935, 5.00%, 09/01/2052
|
5,043,187
|
4,965,811
|
||||||
|
Pool SD2875, 5.00%, 05/01/2053
|
3,226,410
|
3,183,215
|
||||||
|
Pool SD3100, 3.50%, 09/01/2052
|
6,835,581
|
6,143,974
|
||||||
|
Pool SD3234, 2.50%, 12/01/2051
|
7,581,150
|
6,295,168
|
||||||
|
Pool SD3477, 6.50%, 08/01/2053
|
2,843,484
|
2,939,860
|
||||||
|
Series 2015-HQ2, Class M3, 8.68% (30 day avg SOFR US + 3.36%), 05/25/2025
|
44,131
|
44,718
|
||||||
|
Series 4094, Class NI, 2.50%, 03/15/2027 (a)
|
98,233
|
604
|
||||||
|
Series 4107, Class LI, 3.00%, 08/15/2027 (a)
|
1,608,247
|
83,256
|
||||||
|
Series 4143, Class IA, 3.50%, 09/15/2042 (a)
|
985,158
|
73,947
|
||||||
|
Series KW03, Class A2, 3.02%, 06/25/2027
|
300,000
|
284,462
|
||||||
|
Series Q007, Class APT1, 6.67%, 10/25/2047 (b)
|
135,342
|
135,048
|
||||||
|
Series Q010, Class APT1, 6.50%, 04/25/2046 (b)
|
85,320
|
85,922
|
||||||
|
Federal National Mortgage Association
|
||||||||
|
Pool 467095, 5.90%, 01/01/2041
|
241,758
|
257,316
|
||||||
|
Pool BH7686, 4.50%, 12/01/2047
|
67,135
|
64,864
|
||||||
|
Pool BK5105, 5.50%, 05/01/2048
|
110,121
|
111,454
|
||||||
|
Pool BK8032, 5.50%, 06/01/2048
|
209,969
|
212,510
|
||||||
|
Pool BN4921, 5.50%, 01/01/2049
|
144,364
|
145,666
|
||||||
|
Pool BN4936, 5.50%, 12/01/2048
|
144,022
|
145,483
|
||||||
|
Pool BT7699, 4.00%, 09/01/2051
|
1,810,410
|
1,731,355
|
||||||
|
Pool BV4532, 3.50%, 03/01/2052
|
1,809,987
|
1,624,770
|
||||||
|
Pool CA8871, 3.00%, 02/01/2051
|
1,058,316
|
911,603
|
||||||
|
Pool CB2432, 3.00%, 12/01/2051
|
2,725,634
|
2,348,466
|
||||||
|
Pool CB2909, 3.50%, 02/01/2052
|
1,684,046
|
1,513,609
|
||||||
|
Pool DA0025, 6.00%, 09/01/2053
|
5,145,395
|
5,335,197
|
||||||
|
Pool DA4870, 6.50%, 01/01/2054
|
2,686,130
|
2,745,304
|
||||||
|
Pool FM8754, 3.00%, 09/01/2051
|
5,438,599
|
4,703,002
|
||||||
|
Pool FS0031, 2.50%, 10/01/2051
|
1,125,431
|
931,163
|
||||||
|
Pool FS0195, 2.50%, 01/01/2052
|
3,935,077
|
3,276,226
|
||||||
|
Pool FS0491, 3.50%, 01/01/2052
|
2,684,402
|
2,405,315
|
||||||
|
Pool FS0731, 2.00%, 02/01/2052
|
1,034,630
|
831,523
|
||||||
|
Pool FS1480, 2.50%, 11/01/2051
|
590,669
|
492,547
|
||||||
|
Pool FS4862, 2.50%, 10/01/2051
|
7,491,344
|
6,222,867
|
||||||
|
Pool FS5314, 2.00%, 05/01/2052
|
7,595,915
|
6,031,805
|
||||||
|
Pool FS5458, 5.50%, 08/01/2053
|
6,750,490
|
6,719,131
|
||||||
|
Pool FS6744, 2.50%, 10/01/2051
|
6,572,727
|
5,540,652
|
||||||
|
Pool MA2897, 3.00%, 02/01/2037
|
403,214
|
370,915
|
||||||
|
Pool MA4565, 3.50%, 03/01/2052
|
2,339,997
|
2,104,019
|
||||||
|
Series 2012-65, Class HJ, 5.00%, 07/25/2040
|
176,136
|
175,873
|
||||||
|
Series 2021-95, Class WI, 0.25%, 02/25/2035 (a)(b)
|
4,355,956
|
182,017
|
||||||
|
Federal National Mortgage Association, TBA
|
||||||||
|
4.50%, 04/15/2054
|
7,200,000
|
6,857,126
|
||||||
|
6.00%, 04/15/2054
|
11,000,000
|
11,101,862
|
||||||
|
5.50%, 04/15/2054
|
4,820,000
|
4,796,828
|
||||||
|
Ginnie Mae I Pool
|
||||||||
|
Pool 723334, 5.00%, 09/15/2039
|
219,523
|
221,722
|
||||||
|
Pool 781950, 4.50%, 07/15/2035
|
492,298
|
481,227
|
||||||
|
Pool 783467, 4.00%, 10/15/2041
|
2,577,933
|
2,469,190
|
||||||
|
Ginnie Mae II Pool
|
||||||||
|
Pool 784507, 4.00%, 12/20/2047
|
3,024,746
|
2,848,521
|
||||||
|
Pool MA2754, 3.50%, 04/20/2045
|
993,490
|
920,870
|
||||||
|
Pool MA6994, 2.00%, 11/20/2050
|
3,437,621
|
2,818,357
|
||||||
|
Pool MA7106, 2.00%, 01/20/2036
|
587,003
|
526,694
|
||||||
|
Pool MA7164, 2.00%, 02/20/2036
|
574,611
|
515,587
|
||||||
|
Pool MA7471, 2.00%, 07/20/2051
|
7,251,803
|
5,945,249
|
||||||
|
Pool MA7774, 6.00%, 11/20/2051
|
258,873
|
267,671
|
||||||
|
Pool MA8642, 2.50%, 02/20/2053
|
6,358,599
|
5,423,306
|
||||||
|
Government National Mortgage Association
|
||||||||
|
Series 2014-135, Class IO, 0.41%, 01/16/2056 (a)(b)
|
225,481
|
4,437
|
||||||
|
Series 2014-45, Class BI, 0.53%, 07/16/2054 (a)(b)
|
363,591
|
3,795
|
||||||
|
Series 2015-172, Class IO, 0.62%, 03/16/2057 (a)(b)
|
207,143
|
4,256
|
||||||
|
Series 2016-40, Class IO, 0.59%, 07/16/2057 (a)(b)
|
406,138
|
8,886
|
||||||
|
Series 2016-56, Class IO, 0.97%, 11/16/2057 (a)(b)
|
265,839
|
11,040
|
||||||
|
Series 2016-98, Class IO, 0.84%, 05/16/2058 (a)(b)
|
416,721
|
16,639
|
||||||
|
Series 2017-167, Class SE, 0.76% (-1 x 1 mo. Term SOFR + 6.09%), 11/20/2047 (a)(c)
|
1,833,906
|
207,234
|
||||||
|
Series 2021-125, Class UL, 1.50%, 07/20/2051
|
920,147
|
673,254
|
||||||
|
Series 2021-158, Class JD, 1.50%, 09/20/2051
|
1,343,418
|
956,333
|
||||||
|
Series 2021-160, Class DK, 2.00%, 09/20/2051
|
2,104,659
|
1,389,245
|
||||||
|
Series 2021-177, Class KD, 2.00%, 10/20/2051
|
1,383,690
|
1,045,722
|
||||||
|
Series 2022-9, Class CD, 2.00%, 01/20/2052
|
2,468,351
|
1,913,717
|
||||||
|
Government National Mortgage Association, TBA
|
||||||||
|
2.00%, 04/15/2054
|
18,085,000
|
14,819,308
|
||||||
|
2.50%, 04/15/2054
|
2,600,000
|
2,214,812
|
||||||
|
3.00%, 04/15/2054
|
8,800,000
|
7,761,671
|
||||||
|
4.00%, 04/15/2054
|
6,634,000
|
6,208,398
|
||||||
|
4.50%, 04/15/2054
|
4,915,000
|
4,723,242
|
||||||
|
Seasoned Credit Risk Transfer Trust, Series 2017-1, Class M1, 4.00%, 01/25/2056 (b)(d)
|
28,599
|
28,441
|
||||||
|
TOTAL MORTGAGE-BACKED SECURITIES
(Cost $186,675,590)
|
180,114,760
|
|||||||
|
CORPORATE BONDS – 33.1%
|
Par
|
Value
|
||||||
|
AbbVie, Inc., 2.60%, 11/21/2024
|
5,450,000
|
5,352,879
|
||||||
|
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
|
||||||||
|
1.65%, 10/29/2024
|
2,745,000
|
2,678,514
|
||||||
|
3.00%, 10/29/2028
|
5,960,000
|
5,395,877
|
||||||
|
AIB Group PLC
|
||||||||
|
7.58% to 10/14/2025 then SOFR + 3.46%, 10/14/2026 (d)
|
2,600,000
|
2,668,884
|
||||||
|
6.61% to 09/13/2028 then SOFR + 2.33%, 09/13/2029 (d)
|
2,575,000
|
2,685,612
|
||||||
|
Aptiv PLC, 3.25%, 03/01/2032
|
6,195,000
|
5,391,172
|
||||||
|
AT&T, Inc., 4.35%, 03/01/2029
|
5,505,000
|
5,365,051
|
||||||
|
Banco Bilbao Vizcaya Argentaria SA, 6.03% to 03/13/2034 then 1 yr. CMT Rate + 1.95%,
03/13/2035
|
2,600,000
|
2,640,037
|
||||||
|
BBVA Bancomer SA/Texas, 8.13% to 01/08/2034 then 5 yr. CMT Rate + 4.21%, 01/08/2039 (d)
|
2,725,000
|
2,824,997
|
||||||
|
Bio-Rad Laboratories, Inc., 3.70%, 03/15/2032
|
6,020,000
|
5,416,147
|
||||||
|
CaixaBank S.A., 6.84% to 09/13/2033 then SOFR + 2.77%, 09/13/2034 (d)
|
5,105,000
|
5,460,205
|
||||||
|
Carrier Global Corp., 2.24%, 02/15/2025
|
5,515,000
|
5,350,395
|
||||||
|
Consolidated Edison Co. of New York, Inc., 3.35%, 04/01/2030
|
4,380,000
|
4,037,920
|
||||||
|
Crown Castle, Inc., 3.30%, 07/01/2030
|
6,070,000
|
5,398,693
|
||||||
|
Equinix, Inc., 3.20%, 11/18/2029
|
8,900,000
|
7,969,825
|
||||||
|
Ferguson Finance PLC, 4.65%, 04/20/2032 (d)
|
5,575,000
|
5,321,347
|
||||||
|
Ford Motor Credit Co. LLC, 4.06%, 11/01/2024
|
3,245,000
|
3,211,897
|
||||||
|
Ford Motor Credit Co. LLC, 8.30% (SOFR + 2.95%), 03/06/2026
|
2,075,000
|
2,138,329
|
||||||
|
Fortis, Inc., 3.06%, 10/04/2026
|
5,640,000
|
5,341,854
|
||||||
|
Kreditanstalt fuer Wiederaufbau, 0.63%, 01/22/2026
|
19,025,000
|
17,684,066
|
||||||
|
Intesa Sanpaolo SpA, 8.25% to 11/21/2032 then 1 yr. CMT Rate + 4.40%, 11/21/2033 (d)
|
2,465,000
|
2,754,583
|
||||||
|
Marvell Technology, Inc., 2.95%, 04/15/2031
|
9,375,000
|
8,103,053
|
||||||
|
Micron Technology, Inc., 6.75%, 11/01/2029
|
2,510,000
|
2,695,260
|
||||||
|
Nationwide Building Society, 4.30% to 03/08/2028 then 3 mo. LIBOR US + 1.45%, 03/08/2029 (d)(e)
|
2,805,000
|
2,686,094
|
||||||
|
NatWest Group PLC, 5.08% to 01/27/2029 then 3 mo. LIBOR US + 1.91%, 01/27/2030 (e)
|
2,740,000
|
2,693,457
|
||||||
|
PNC Financial Services Group, Inc., 6.88% to 10/20/2033 then SOFR + 2.28%, 10/20/2034
|
4,900,000
|
5,368,439
|
||||||
|
Regal Rexnord Corp., 6.30%, 02/15/2030 (d)
|
2,630,000
|
2,694,483
|
||||||
|
Revvity, Inc., 2.25%, 09/15/2031
|
9,915,000
|
8,141,536
|
||||||
|
Roper Technologies, Inc., 1.75%, 02/15/2031
|
5,000,000
|
4,027,644
|
||||||
|
Sprint Capital Corp., 8.75%, 03/15/2032
|
6,640,000
|
8,056,026
|
||||||
|
Toronto-Dominion Bank/The, 5.26%, 12/11/2026
|
5,300,000
|
5,336,753
|
||||||
|
Trimble, Inc., 6.10%, 03/15/2033
|
7,695,000
|
8,043,364
|
||||||
|
UBS Group AG, 7.75% to 04/12/2031 then USISSO05 + 4.16%, Perpetual (d)
|
2,660,000
|
2,742,378
|
||||||
|
Veralto Corp., 5.45%, 09/18/2033 (d)
|
5,310,000
|
5,378,775
|
||||||
|
Waste Connections, Inc., 5.00%, 03/01/2034
|
9,015,000
|
8,933,420
|
||||||
|
TOTAL CORPORATE BONDS (Cost
$180,524,271)
|
179,988,966
|
|||||||
|
FOREIGN GOVERNMENT BONDS - 16.4%
|
Par
|
Value
|
||||||
|
Asian Development Bank, 2.88%, 05/06/2025
|
18,050,000
|
17,635,946
|
||||||
|
European Investment Bank
|
||||||||
|
2.75%, 08/15/2025
|
3,750,000
|
3,644,313
|
||||||
|
1.38%, 03/15/2027
|
24,655,000
|
22,554,312
|
||||||
|
Inter-American Development Bank, 0.88%, 04/20/2026
|
22,670,000
|
20,995,086
|
||||||
|
International Bank for Reconstruction & Development, 0.63%, 04/22/2025
|
25,400,000
|
24,281,054
|
||||||
|
TOTAL FOREIGN GOVERNMENT BOND
(Cost $90,152,458)
|
89,110,711
|
|||||||
|
U.S. TREASURY OBLIGATIONS - 16.1%
|
Par
|
Value
|
||||||
|
United States Treasury Bond
|
||||||||
|
3.88%, 02/15/2043
|
2,650,000
|
2,450,525
|
||||||
|
4.13%, 08/15/2053
|
9,000,000
|
8,652,656
|
||||||
|
United States Treasury Note
|
||||||||
|
3.25%, 06/30/2027
|
6,270,000
|
6,056,184
|
||||||
|
3.50%, 04/30/2028
|
2,980,000
|
2,891,298
|
||||||
|
2.88%, 05/15/2028
|
5,560,000
|
5,262,670
|
||||||
|
0.88%, 11/15/2030
|
4,565,000
|
3,696,045
|
||||||
|
1.88%, 02/15/2032
|
20,490,000
|
17,310,449
|
||||||
|
United States Treasury Note/Bond, 4.50%, 11/15/2033
|
16,050,000
|
16,409,871
|
||||||
|
United States Treasury STRIP, 0.00%, 05/15/2043 (f)
|
61,020,000
|
25,186,251
|
||||||
|
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $91,354,563)
|
87,915,949
|
|||||||
|
ASSET-BACKED SECURITIES - 7.0%
|
Par
|
Value
|
||||||
|
American Homes 4 Rent Trust, Series 2015-SFR1, Class D, 4.41%, 04/17/2052 (d)
|
520,000
|
510,984
|
||||||
|
AmeriCredit Automobile Receivables Trust, Series 2020-2, Class C, 1.48%, 02/18/2026
|
573,167
|
566,048
|
||||||
|
CarMax Auto Owner Trust
|
||||||||
|
Series 2021-2, Class C, 1.34%, 02/16/2027
|
2,255,000
|
2,142,376
|
||||||
|
Series 5.72000, Class A2A, 5.72%, 11/16/2026
|
2,680,248
|
2,684,232
|
||||||
|
CNH Equipment Trust
|
||||||||
|
Series 2020-A, Class A4, 1.51%, 04/15/2027
|
477,904
|
477,189
|
||||||
|
Series 2021-C, Class B, 1.41%, 04/16/2029
|
2,650,000
|
2,464,014
|
||||||
|
Series 2023-B, Class A2, 5.90%, 02/16/2027
|
5,150,000
|
5,163,136
|
||||||
|
Dext ABS LLC
|
||||||||
|
Series 2021-1, Class A, 1.12%, 02/15/2028 (d)
|
657,960
|
645,746
|
||||||
|
Series 2021-1, Class B, 1.76%, 02/15/2028 (d)
|
870,000
|
826,388
|
||||||
|
Drive Auto Receivables Trust, Series 2020-1, Class D, 2.70%, 05/17/2027
|
496,929
|
496,191
|
||||||
|
FHF Trust
|
||||||||
|
Series 2021-1A, Class A, 1.27%, 03/15/2027 (d)
|
377,266
|
369,192
|
||||||
|
Series 2021-2A, Class A, 0.83%, 12/15/2026 (d)
|
253,038
|
246,012
|
||||||
|
Series 2024-1A, Class A2, 5.69%, 02/15/2030 (d)
|
2,250,000
|
2,251,151
|
||||||
|
HPEFS Equipment Trust, Series 2021-1A, Class D, 1.03%, 03/20/2031 (d)
|
942,356
|
939,542
|
||||||
|
John Deere Owner Trust
|
||||||||
|
Series 2023-B, Class A2, 5.59%, 06/15/2026
|
3,399,415
|
3,401,878
|
||||||
|
Series 2023-C, Class A2, 5.76%, 08/17/2026
|
5,850,000
|
5,857,721
|
||||||
|
JPMorgan Chase Bank NA, Series 2021-3, Class B, 0.76%, 02/26/2029 (d)
|
599,057
|
581,598
|
||||||
|
Newtek Small Business Loan Trust, Series 2018-1, Class A, 7.95% (Prime Rate + (0.55%)),
02/25/2044 (d)
|
387,156
|
384,394
|
||||||
|
PFS Financing Corp, Series 2021-A, Class A, 0.71%, 04/15/2026 (d)
|
1,075,000
|
1,072,765
|
||||||
|
Stack Infrastructure Issuer LLC, Series 2024-1A, Class A2, 5.90%, 03/25/2049 (d)
|
1,000,000
|
1,005,408
|
||||||
|
Verizon Master Trust, Series 2021-1, Class A, 0.50%, 05/20/2027
|
5,850,000
|
5,808,083
|
||||||
|
TOTAL ASSET-BACKED SECURITIES
(Cost $38,174,588)
|
37,894,048
|
|||||||
|
MUNICIPAL BONDS - 1.5%
|
Par
|
Value
|
||||||
|
California Health Facilities Financing Authority, 3.03%, 06/01/2034
|
2,650,000
|
2,279,770
|
||||||
|
Colorado Health Facilities Authority, 3.36%, 12/01/2030 (Obligor: Covenant Living Cmnty
Obl)
|
1,325,000
|
1,174,873
|
||||||
|
Honolulu Hawaii, 3.00%, 09/01/2027
|
100,000
|
94,944
|
||||||
|
Los Angeles California Community College District/CA, 6.60%, 08/01/2042
|
30,000
|
33,948
|
||||||
|
Los Angeles California Wastewater System Revenue, 3.49%, 06/01/2029
|
430,000
|
411,158
|
||||||
|
Maryland Community Development Administration, 3.24%, 09/01/2048
|
10,000
|
9,694
|
||||||
|
Metropolitan Pier & Exposition Authority, 3.96%, 12/15/2026
|
3,300,000
|
3,164,704
|
||||||
|
New York City New York Housing Development Corp., 2.71%, 08/01/2031
|
1,000,000
|
870,166
|
||||||
|
University of California, 2.99%, 05/15/2026
|
355,000
|
342,021
|
||||||
|
University of North Texas System, 3.69%, 04/15/2030
|
25,000
|
23,799
|
||||||
|
TOTAL MUNICIPAL BONDS (Cost
$9,250,587)
|
8,405,077
|
|||||||
|
SHORT-TERM INVESTMENTS - 4.4%
|
||||||||
|
Money Market Funds - 4.3%
|
Shares
|
|||||||
|
First American Government Obligations Fund - Class Z, 5.19%(g)
|
23,596,919
|
23,596,919
|
||||||
|
U.S. Treasury Bills - 0.1%
|
Par
|
|||||||
|
4.87%, 04/11/2024(h)
|
800,000
|
798,837
|
||||||
|
24,395,756
|
||||||||
|
TOTAL SHORT-TERM INVESTMENTS
(Cost $24,395,758)
|
24,395,756
|
|||||||
|
TOTAL INVESTMENTS – 111.6% (Cost
$620,527,815)
|
$
|
607,825,267
|
||||||
|
Liabilities in Excess of Other Assets - (11.6)%
|
(63,379,052
|
)
|
||||||
|
TOTAL NET ASSETS - 100.0%
|
$
|
544,446,215
|
||||||
|
Percentages are stated as a percent of net assets.
|
||||||||
|
CMT - Constant Maturity Treasury Rate
|
|
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 March 31, 2024.
|
|
(c)
|
Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates. Reference interest
rates are typically based on a negative multiplier or slope. Interest rate may also be subject to a cap or floor.
|
|
(d)
|
Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may only
be resold in transactions exempt from registration to qualified institutional investors.
|
|
(e)
|
Securities referencing LIBOR are expected to transition to an alternative reference rate by the security’s next scheduled coupon
reset date.
|
|
(f)
|
Zero coupon bond issued at a discount.
|
|
(g)
|
The rate shown represents the 7-day effective yield as of March 31, 2024.
|
|
(h)
|
The rate shown is the effective yield as of March 31, 2024.
|
|
Schedule of Open Futures Contracts
|
|||||||||||||||||
|
March 31, 2024 (Unaudited)
|
|||||||||||||||||
|
Description
|
Contracts Purchased
|
Expiration Date
|
Notional Amount
|
Notional Value
|
Unrealized
Appreciation
(Depreciation)
|
||||||||||||
|
U.S. Treasury 2 Year Notes
|
7
|
06/28/2024
|
$
|
1,436,763
|
$
|
1,431,391
|
$
|
(5,372
|
)
|
||||||||
|
U.S. Treasury 5 Year Note
|
484
|
06/28/2024
|
51,700,607
|
51,795,563
|
94,956
|
||||||||||||
|
U.S. Treasury Ultra Bonds
|
174
|
06/18/2024
|
21,789,711
|
22,446,000
|
656,289
|
||||||||||||
|
$
|
745,873
|
||||||||||||||||
|
–
|
|||||||||||||||||
|
Description
|
Contracts Sold
|
Expiration Date
|
Notional Amount
|
Notional Value
|
Unrealized
Appreciation
(Depreciation)
|
||||||||||||
|
10 Year U.S. Ultra Treasury Notes
|
(42)
|
06/18/2024
|
$
|
(4,770,188
|
)
|
$
|
(4,813,594
|
)
|
$
|
(43,406
|
)
|
||||||
|
U.S. Treasury 10 Year Notes
|
(194)
|
06/18/2024
|
(21,380,259
|
)
|
(21,494,594
|
)
|
(114,335
|
)
|
|||||||||
|
U.S. Treasury Long Bonds
|
(174)
|
06/18/2024
|
(20,536,168
|
)
|
(20,956,125
|
)
|
(419,957
|
)
|
|||||||||
|
$
|
(577,698
|
)
|
|||||||||||||||
|
Total Unrealized Appreciation (Depreciation)
|
$
|
168,175
|
|||||||||||||||
|
Level 1
|
Level 2
|
Level 3
|
||||||||||
|
Mortgage-Backed Securities
|
–
|
180,114,760
|
–
|
|||||||||
|
Corporate Bonds
|
–
|
179,988,966
|
–
|
|||||||||
|
Foreign Government Bonds
|
–
|
89,110,711
|
–
|
|||||||||
|
U.S. Treasury Obligations
|
–
|
87,915,949
|
–
|
|||||||||
|
Asset-Backed Securities
|
–
|
37,894,048
|
–
|
|||||||||
|
Municipal Bonds
|
–
|
8,405,077
|
–
|
|||||||||
|
Money Market Funds
|
23,596,919
|
–
|
–
|
|||||||||
|
U.S. Treasury Bills
|
–
|
798,837
|
–
|
|||||||||
|
Total Investments
|
23,596,919
|
584,228,348
|
–
|
|||||||||
|
Futures Contracts – Long*
|
745,873
|
–
|
–
|
|||||||||
|
Futures Contracts – Short*
|
(577,698
|
)
|
–
|
–
|
||||||||
|
Total Unrealized Appreciation (Depreciation) on Futures Contracts
|
168,175
|
–
|
–
|
|||||||||
|
* Represents the net unrealized appreciation (depreciation) as of March 31, 2024.
|
||||||||||||