|
|
Principal
Amount
|
Value
|
|
|
U.S. Government Sponsored Agency Mortgage-Backed
Securities–57.35%
|
|||
|
Collateralized Mortgage Obligations–6.45%
|
|||
|
Fannie Mae ACES, Series 2019-M5,
Class A2,
3.27%, 02/25/2029
|
|
$4,406,467
|
$4,310,161
|
|
Fannie Mae REMICs,
|
|
|
|
|
1.50%, 01/25/2028
|
|
127,731
|
126,134
|
|
6.50%, 03/25/2032
|
|
114,876
|
120,067
|
|
5.75%, 10/25/2035
|
|
19,541
|
19,998
|
|
4.08% (30 Day Average SOFR +
0.41%), 05/25/2036(a)
|
|
493,810
|
488,666
|
|
4.23% (30 Day Average SOFR +
0.56%), 03/25/2037(a)
|
|
332,726
|
330,134
|
|
6.60%, 06/25/2039(b)
|
|
617,405
|
640,415
|
|
4.00%, 07/25/2040
|
|
333,013
|
327,843
|
|
4.28% (30 Day Average SOFR +
0.61%), 05/25/2041(a)
|
|
86,614
|
86,515
|
|
4.30% (30 Day Average SOFR +
0.63%), 11/25/2041(a)
|
|
325,963
|
324,847
|
|
4.12% (30 Day Average SOFR +
0.43%), 08/25/2044(a)
|
|
393,723
|
384,786
|
|
4.28% (30 Day Average SOFR +
0.59%), 02/25/2056(a)
|
|
783,099
|
777,829
|
|
4.22% (30 Day Average SOFR +
0.53%), 12/25/2056(a)
|
|
980,684
|
961,191
|
|
IO,
2.00%, 03/25/2051(c)
|
|
2,244,222
|
312,006
|
|
Freddie Mac Multifamily Structured
Pass-Through Ctfs.,
|
|
|
|
|
Series KS11, Class AFX1,
2.15%, 12/25/2028
|
|
2,920,200
|
2,832,941
|
|
Series K092, Class AM,
3.02%, 04/25/2029
|
|
5,000,000
|
4,832,948
|
|
Freddie Mac REMICs,
|
|
|
|
|
4.29% (30 Day Average SOFR +
0.61%), 12/15/2035(a)
|
|
322,822
|
321,716
|
|
4.09% (30 Day Average SOFR +
0.41%), 03/15/2036 to
09/15/2044(a)
|
|
372,821
|
371,038
|
|
4.15% (30 Day Average SOFR +
0.46%), 11/15/2036(a)
|
|
546,222
|
539,759
|
|
4.16% (30 Day Average SOFR +
0.48%), 03/15/2037(a)
|
|
296,989
|
293,974
|
|
4.19% (30 Day Average SOFR +
0.51%), 06/15/2037(a)
|
|
469,408
|
465,284
|
|
4.65% (30 Day Average SOFR +
0.97%), 11/15/2039(a)
|
|
167,547
|
168,911
|
|
4.24% (30 Day Average SOFR +
0.56%), 03/15/2040 to
02/15/2042(a)
|
|
1,051,356
|
1,043,637
|
|
Freddie Mac STRIPS,
4.15%(30 Day Average SOFR +
0.46%), 10/15/2037(a)
|
|
406,218
|
401,420
|
|
|
|
|
20,482,220
|
|
|
Principal
Amount
|
Value
|
|
|
Federal Home Loan Mortgage Corp. (FHLMC)–11.21%
|
|||
|
8.50%, 12/01/2026 to
08/01/2031
|
|
$12,053
|
$12,374
|
|
7.05%, 05/20/2027
|
|
1,371
|
1,374
|
|
6.50%, 08/01/2028 to
12/01/2035
|
|
405,196
|
420,784
|
|
7.00%, 08/01/2028 to
11/01/2035
|
|
522,515
|
549,585
|
|
6.00%, 09/01/2029 to
12/01/2053
|
|
4,819,803
|
4,932,861
|
|
7.50%, 09/01/2030 to
06/01/2035
|
|
184,842
|
189,667
|
|
6.03%, 10/20/2030
|
|
146,510
|
148,342
|
|
8.00%, 11/17/2030 to
02/01/2035
|
|
27,399
|
27,828
|
|
3.00%, 02/01/2032 to
01/01/2050
|
|
6,964,548
|
6,268,190
|
|
2.50%, 09/01/2034 to
12/01/2050
|
|
9,006,643
|
8,261,568
|
|
5.00%, 01/01/2037 to
01/01/2040
|
|
247,342
|
250,381
|
|
4.50%, 01/01/2040 to
08/01/2041
|
|
1,315,152
|
1,302,110
|
|
5.50%, 11/01/2052 to
05/01/2053
|
|
10,899,433
|
11,109,970
|
|
ARM,
6.42% (1 yr. Refinitiv USD IBOR
Consumer Cash Fallbacks + 1.88%),
09/01/2035(a)
|
|
499,336
|
515,577
|
|
6.60% (1 yr. Refinitiv USD IBOR
Consumer Cash Fallbacks + 1.85%),
07/01/2036(a)
|
|
516,291
|
535,692
|
|
6.26% (1 yr. Refinitiv USD IBOR
Consumer Cash Fallbacks + 1.51%),
10/01/2036(a)
|
|
110,124
|
112,782
|
|
6.51% (1 yr. Refinitiv USD IBOR
Consumer Cash Fallbacks + 1.91%),
10/01/2036(a)
|
|
18,779
|
19,553
|
|
6.41% (1 yr. Refinitiv USD IBOR
Consumer Cash Fallbacks + 1.95%),
11/01/2037(a)
|
|
94,677
|
97,805
|
|
6.33% (1 yr. Refinitiv USD IBOR
Consumer Cash Fallbacks +
2.08%), 01/01/2038(a)
|
|
13,608
|
14,016
|
|
6.49% (1 yr. Refinitiv USD IBOR
Consumer Cash Fallbacks + 1.89%),
07/01/2038(a)
|
|
97,531
|
100,709
|
|
6.37% (1 yr. Refinitiv USD IBOR
Consumer Cash Fallbacks + 1.79%),
06/01/2043(a)
|
|
152,269
|
157,600
|
|
5.89% (1 yr. Refinitiv USD IBOR
Consumer Cash Fallbacks + 1.64%),
01/01/2048(a)
|
|
521,675
|
541,158
|
|
|
|
|
35,569,926
|
|
|
Principal
Amount
|
Value
|
|
|
Federal National Mortgage Association (FNMA)–12.00%
|
|||
|
6.50%, 07/01/2026 to
11/01/2037
|
|
$336,078
|
$349,806
|
|
8.00%, 09/01/2026 to
07/01/2037
|
|
353,437
|
367,654
|
|
7.50%, 12/01/2026 to
08/01/2037
|
|
682,806
|
700,683
|
|
8.50%, 12/01/2026 to
12/01/2036
|
|
76,031
|
79,606
|
|
3.50%, 05/01/2027 to
08/01/2027
|
|
203,736
|
202,102
|
|
6.00%, 06/01/2027 to
11/01/2055
|
|
7,861,965
|
8,111,715
|
|
0.75%, 10/08/2027
|
|
6,000,000
|
5,730,702
|
|
7.00%, 01/01/2028 to
02/01/2036
|
|
195,345
|
204,514
|
|
3.00%, 12/01/2031 to
03/01/2050
|
|
3,152,463
|
2,934,757
|
|
5.00%, 08/01/2033 to
04/01/2053
|
|
2,730,261
|
2,722,411
|
|
2.50%, 12/01/2034 to
08/01/2051
|
|
6,861,020
|
6,459,690
|
|
5.50%, 04/01/2035 to
05/01/2035
|
|
354,098
|
361,615
|
|
2.00%, 09/01/2035 to
03/01/2051
|
|
5,603,309
|
4,784,082
|
|
4.50%, 06/01/2039 to
08/01/2041
|
|
1,228,657
|
1,213,971
|
|
4.00%, 09/01/2043 to
12/01/2048
|
|
3,413,128
|
3,286,125
|
|
ARM,
6.11% (1 yr. U.S. Treasury Yield
Curve Rate + 2.36%),
10/01/2034(a)
|
|
247,425
|
255,385
|
|
6.10% (1 yr. U.S. Treasury Yield
Curve Rate + 2.21%),
05/01/2035(a)
|
|
26,054
|
27,083
|
|
6.06% (1 yr. Refinitiv USD IBOR
Consumer Cash Fallbacks + 1.72%),
03/01/2038(a)
|
|
9,033
|
9,272
|
|
6.14% (1 yr. Refinitiv USD IBOR
Consumer Cash Fallbacks + 1.77%),
02/01/2042(a)
|
|
87,259
|
90,300
|
|
6.27% (1 yr. Refinitiv USD IBOR
Consumer Cash Fallbacks + 1.52%),
08/01/2043(a)
|
|
62,972
|
64,825
|
|
6.00% (1 yr. U.S. Treasury Yield
Curve Rate + 1.88%),
05/01/2044(a)
|
|
123,279
|
126,760
|
|
|
|
|
38,083,058
|
|
|
Principal
Amount
|
Value
|
|
|
Government National Mortgage Association (GNMA)–19.70%
|
|||
|
6.50%, 04/15/2027 to
09/15/2034
|
|
$376,696
|
$388,164
|
|
6.38%, 10/20/2027
|
|
12,187
|
12,228
|
|
7.00%, 11/15/2027 to
12/15/2036
|
|
202,985
|
207,365
|
|
7.50%, 08/15/2028 to
10/15/2035
|
|
140,679
|
146,004
|
|
6.00%, 09/15/2029 to
08/15/2033
|
|
97,017
|
98,342
|
|
8.00%, 12/15/2030 to
01/15/2037
|
|
212,862
|
218,882
|
|
6.10%, 12/20/2033
|
|
882,744
|
911,742
|
|
5.65%, 08/20/2034(b)
|
|
196,866
|
200,029
|
|
8.50%, 10/15/2036 to
01/15/2037
|
|
91,749
|
93,171
|
|
5.87%, 01/20/2039(b)
|
|
909,618
|
935,375
|
|
4.59% (1 mo. Term SOFR +
0.91%), 09/16/2039(a)
|
|
239,785
|
240,751
|
|
4.49% (1 mo. Term SOFR +
0.81%), 05/20/2040(a)
|
|
635,144
|
635,817
|
|
4.53%, 07/20/2041(b)
|
|
184,415
|
184,955
|
|
5.40%, 09/20/2041
|
|
495,637
|
507,437
|
|
4.04% (1 mo. Term SOFR +
0.36%), 01/20/2042(a)
|
|
7,464
|
7,396
|
|
3.50%, 10/20/2042 to
06/20/2050
|
|
3,947,378
|
3,642,262
|
|
4.08% (1 mo. Term SOFR +
0.41%), 08/20/2047(a)
|
|
1,351,134
|
1,316,074
|
|
3.00%, 10/20/2048 to
11/20/2049
|
|
6,819,224
|
6,145,819
|
|
2.50%, 07/20/2049
|
|
1,941,734
|
1,733,999
|
|
TBA,
2.00%, 04/01/2056(d)
|
|
12,000,000
|
9,915,937
|
|
2.50%, 04/01/2056(d)
|
|
7,620,000
|
6,556,772
|
|
4.50%, 04/01/2056(d)
|
|
7,500,000
|
7,246,602
|
|
5.00%, 04/01/2056(d)
|
|
12,050,000
|
11,935,967
|
|
5.50%, 04/01/2056(d)
|
|
6,985,000
|
7,030,577
|
|
Series 2020-137, Class A,
1.50%, 04/16/2062
|
|
2,944,679
|
2,211,483
|
|
|
|
|
62,523,150
|
|
Uniform Mortgage-Backed Securities–7.99%
|
|||
|
TBA,
4.00%, 04/01/2041(d)
|
|
8,000
|
7,814
|
|
4.50%, 04/01/2041(d)
|
|
13,287,000
|
13,193,371
|
|
5.00%, 04/01/2041(d)
|
|
6,811,000
|
6,861,798
|
|
2.00%, 04/01/2056(d)
|
|
1,440,000
|
1,160,213
|
|
2.50%, 04/01/2056(d)
|
|
3,163,000
|
2,659,885
|
|
3.00%, 04/01/2056(d)
|
|
1,705,000
|
1,497,829
|
|
|
|
|
25,380,910
|
|
Total U.S. Government Sponsored Agency
Mortgage-Backed Securities
(Cost $188,836,067)
|
182,039,264
|
||
|
U.S. Treasury Securities–29.75%
|
|||
|
U.S. Treasury Bills–1.33%
|
|||
|
3.53% - 4.11%, 05/14/2026(e)(f)
|
|
4,218,000
|
4,199,700
|
|
U.S. Treasury Bonds–1.07%
|
|||
|
5.38%, 02/15/2031
|
|
3,200,000
|
3,401,625
|
|
|
Principal
Amount
|
Value
|
|
|
U.S. Treasury Notes–27.35%
|
|||
|
0.88%, 06/30/2026
|
|
$2,000,000
|
$1,985,951
|
|
1.50%, 08/15/2026
|
|
7,450,000
|
7,387,121
|
|
1.13%, 02/28/2027
|
|
9,159,000
|
8,945,762
|
|
2.38%, 05/15/2027
|
|
3,700,000
|
3,642,476
|
|
0.50%, 06/30/2027
|
|
1,900,000
|
1,824,148
|
|
4.38%, 07/15/2027
|
|
5,000,000
|
5,034,766
|
|
3.63%, 08/31/2027
|
|
9,800,000
|
9,771,863
|
|
3.38%, 09/15/2027
|
|
9,800,000
|
9,737,027
|
|
2.25%, 11/15/2027
|
|
2,900,000
|
2,828,293
|
|
2.75%, 02/15/2028
|
|
1,900,000
|
1,863,855
|
|
1.25%, 06/30/2028
|
|
4,500,000
|
4,253,906
|
|
2.88%, 08/15/2028
|
|
7,500,000
|
7,342,969
|
|
2.38%, 05/15/2029
|
|
2,600,000
|
2,489,754
|
|
1.63%, 08/15/2029
|
|
400,000
|
372,305
|
|
3.63%, 08/31/2030
|
|
9,790,000
|
9,670,876
|
|
3.88%, 12/31/2032
|
|
9,800,000
|
9,658,934
|
|
|
|
|
86,810,006
|
|
Total U.S. Treasury Securities (Cost $95,933,235)
|
94,411,331
|
||
|
Certificates of Deposit–13.99%
|
|||
|
Diversified Banks–13.99%
|
|||
|
Bank of Nova Scotia (Canada),
|
|
|
|
|
4.05% (SOFR + 0.40%),
02/09/2027(a)
|
|
5,000,000
|
5,000,818
|
|
3.95% (SOFR + 0.30%),
02/24/2027(a)
|
|
4,400,000
|
4,409,152
|
|
BNP Paribas S.A. (France), 3.96%
(SOFR + 0.31%), 02/05/2027(a)
|
|
7,000,000
|
6,998,043
|
|
Credit Agricole Corporate and
Investment Bank (France), 3.99%
(SOFR + 0.34%), 08/28/2026(a)
|
|
6,000,000
|
6,004,038
|
|
Credit Industriel et Commercial
(France), 3.98% (SOFR + 0.33%),
08/20/2026(a)
|
|
4,000,000
|
4,002,576
|
|
Royal Bank of Canada (Canada),
3.98% (SOFR + 0.33%),
07/09/2026(a)
|
|
9,000,000
|
9,004,146
|
|
Standard Chartered Bank (United
Kingdom), 3.98% (SOFR + 0.33%),
07/24/2026(a)
|
|
9,000,000
|
9,001,962
|
|
Total Certificates of Deposit (Cost $44,400,000)
|
44,420,735
|
||
|
|
|||
|
Asset-Backed Securities–10.52%(g)
|
|||
|
Angel Oak Mortgage Trust,
Series 2025-HB1, Class A1, 5.46%
(30 Day Average SOFR + 1.80%),
02/25/2055(a)(h)
|
|
436,599
|
438,547
|
|
Bank, Series 2017-BNK5, Class AS,
3.62%, 06/15/2060
|
|
1,800,000
|
1,764,320
|
|
Bear Stearns Adjustable Rate Mortgage
Trust, Series 2004-10, Class 12A1,
0.00%, 01/25/2035(b)(i)
|
|
149,527
|
146,065
|
|
Chase Mortgage Finance Corp.,
|
|
|
|
|
Series 2016-SH1, Class M3,
3.75%, 04/25/2045(b)(h)
|
|
585,863
|
543,551
|
|
Series 2016-SH2, Class M3,
3.75%, 12/25/2045(b)(h)
|
|
811,365
|
753,488
|
|
CHNGE Mortgage Trust,
Series 2023-3, Class A1, 7.10%,
07/25/2058(h)
|
|
816,394
|
817,025
|
|
Cross Mortgage Trust, Series 2026-
NQM3, Class A3, 5.48%,
03/25/2071(h)
|
|
3,000,000
|
2,989,658
|
|
|
Principal
Amount
|
Value
|
|
|
|
|||
|
Ellington Financial Mortgage Trust,
Series 2022-3, Class A1, 5.00%,
08/25/2067(h)
|
|
$715,489
|
$713,682
|
|
FRESB Mortgage Trust, Series 2019-
SB63, Class A5, 4.48% (30 Day
Average SOFR + 0.81%),
02/25/2039(a)
|
|
2,012,273
|
2,002,146
|
|
GS Mortgage-Backed Securities Corp.
Trust, Series 2025-NQM6, Class A1,
5.02%, 02/25/2066(h)
|
|
3,033,268
|
3,024,335
|
|
GS Mortgage-Backed Securities Trust,
|
|
|
|
|
Series 2025-HE1, Class A1, 5.21%
(30 Day Average SOFR + 1.55%),
10/25/2055(a)(h)
|
|
980,867
|
982,775
|
|
Series 2025-HE2, Class A1, 5.21%
(30 Day Average SOFR + 1.55%),
12/25/2065(a)(h)
|
|
3,135,119
|
3,135,425
|
|
Series 2025-HE2, Class M1, 5.56%
(30 Day Average SOFR + 1.90%),
12/25/2065(a)(h)
|
|
810,000
|
813,176
|
|
Series 2025-PJ4, Class A4,
6.00%, 09/25/2055(b)(h)
|
|
1,084,109
|
1,089,087
|
|
Series 2026-CES1, Class A1,
4.90%, 05/25/2056(h)
|
|
797,774
|
791,394
|
|
Morgan Stanley Residential Mortgage
Loan Trust, Series 2026-1,
Class A3, 5.50%, 04/25/2056(b)(h)
|
|
3,000,000
|
3,001,557
|
|
New Residential Mortgage Loan Trust,
Series 2018-4A, Class A1S, 4.54%
(1 mo. Term SOFR + 0.86%),
01/25/2048(a)(h)
|
|
550,525
|
542,195
|
|
OBX Trust, Series 2026-R1, Class A3,
5.29%, 01/25/2063(h)
|
|
2,957,901
|
2,932,918
|
|
SMB Private Education Loan Trust,
Series 2021-D, Class A1A, 1.34%,
03/17/2053(h)
|
|
820,284
|
777,210
|
|
Textainer Marine Containers VII Ltd.
(China),
|
|
|
|
|
Series 2020-3A, Class A, 2.11%,
09/20/2045(h)
|
|
1,246,752
|
1,196,050
|
|
Series 2021-2A, Class B, 2.82%,
04/20/2046(h)
|
|
2,426,667
|
2,271,759
|
|
Verus Securitization Trust,
Series 2023-INV3, Class A3,
7.73%, 11/25/2068(b)(h)
|
|
2,635,341
|
2,662,823
|
|
Total Asset-Backed Securities (Cost $33,811,301)
|
33,389,186
|
||
|
Commercial Paper–8.51%(e)
|
|||
|
Diversified Banks–8.51%
|
|||
|
Bank of Montreal (Canada), 4.04%
(SOFR + 0.39%), 02/17/2027(a)
|
|
8,000,000
|
8,001,336
|
|
Toronto-Dominion Bank (The) (Canada),
4.05% (SOFR + 0.40%),
04/10/2026(a)(h)
|
|
4,000,000
|
4,000,240
|
|
UBS AG (Switzerland), 4.04% (SOFR +
0.38%), 05/15/2026(a)(h)
|
|
9,000,000
|
9,002,580
|
|
Westpac Banking Corp. (Australia),
3.92% (SOFR + 0.27%),
02/23/2027(a)(h)
|
|
6,000,000
|
5,995,208
|
|
Total Commercial Paper (Cost $26,998,399)
|
26,999,364
|
||
|
|
Shares
|
Value
|
|
|
Money Market Funds–0.87%
|
|||
|
Invesco Government & Agency Portfolio,
Institutional Class, 3.58%(j)(k)
(Cost $2,769,291)
|
2,769,291
|
$2,769,291
|
|
|
TOTAL INVESTMENTS IN SECURITIES–120.99%
(Cost $392,748,293)
|
384,029,171
|
||
|
OTHER ASSETS LESS LIABILITIES—(20.99)%
|
(66,630,808
)
|
||
|
NET ASSETS–100.00%
|
$317,398,363
|
||
|
|
||||
|
Securities Sold Short
|
|
|||
|
|
Principal
Amount
|
Value
|
||
|
U.S. Government Sponsored Agency Mortgage-Backed
Securities Short–(2.75)%
|
||||
|
Uniform Mortgage-Backed Securities–(2.75)%
|
||||
|
TBA, 2.50%, 04/01/2041(d)
|
$(6,789,000
)
|
$(6,415,291
)
|
||
|
TBA, 2.00%, 04/01/2056(d)
|
(1,440,000
)
|
(1,160,213
)
|
||
|
TBA, 2.00%, 05/01/2056(d)
|
(1,440,000
)
|
(1,159,594
)
|
||
|
Total Securities Sold Short (Proceeds
$(8,773,308))
|
(8,735,098
)
|
|||
|
ACES
|
– Automatically Convertible Extendable Security
|
|
ARM
|
– Adjustable Rate Mortgage
|
|
Ctfs.
|
– Certificates
|
|
IBOR
|
– Interbank Offered Rate
|
|
IO
|
– Interest Only
|
|
REMICs
|
– Real Estate Mortgage Investment Conduits
|
|
SOFR
|
– Secured Overnight Financing Rate
|
|
STRIPS
|
– Separately Traded Registered Interest and Principal Security
|
|
TBA
|
– To Be Announced
|
|
USD
|
– U.S. Dollar
|
|
(a)
|
Interest or dividend rate is redetermined periodically. Rate shown is the rate in
effect on March 31, 2026.
|
|
(b)
|
Interest rate is redetermined periodically based on the cash flows generated by the
pool of assets backing the security, less any applicable fees. The rate shown is
the rate in effect on March 31, 2026.
|
|
(c)
|
Interest only security. Principal amount shown is the notional principal and does
not reflect the maturity value of the security.
|
|
(d)
|
Security purchased on a forward commitment basis. This security is subject to dollar
roll transactions.
|
|
(e)
|
Security traded on a discount basis. The interest rate shown represents the discount
rate at the time of purchase by the Fund.
|
|
(f)
|
All or a portion of the value was pledged as collateral to cover margin requirements
for open futures contracts.
|
|
(g)
|
Non-U.S. government sponsored securities.
|
|
(h)
|
Security purchased or received in a transaction exempt from registration under the Securities Act of 1933, as amended (the “1933 Act”). The security may be
resold pursuant to an exemption from registration under the 1933 Act, typically to
qualified institutional buyers. The aggregate value of these securities at
March 31, 2026 was $48,474,683, which represented 15.27% of the Fund’s Net Assets.
|
|
(i)
|
Zero coupon bond issued at a discount.
|
|
(j)
|
Affiliated holding. Affiliated holdings are investments in entities which are under
common ownership or control of Invesco Ltd. or are investments in entities in
which the Fund owns 5% or more of the outstanding voting securities. The table below shows the Fund’s transactions in, and earnings from, its investments in
affiliates for the three months ended March 31, 2026.
|
|
|
Value
December 31, 2025
|
Purchases
at Cost
|
Proceeds
from Sales
|
Change in
Unrealized
Appreciation
|
Realized
Gain
|
Value
March 31, 2026
|
Dividend Income
|
|
Investments in Affiliated Money Market Funds:
|
|
|
|
|
|
|
|
|
Invesco Government & Agency Portfolio, Institutional
Class
|
$15,949,906
|
$47,799,064
|
$(60,979,679)
|
$-
|
$-
|
$2,769,291
|
$84,942
|
|
(k)
|
The rate shown is the 7-day SEC standardized yield as of March 31, 2026.
|
|
Open Futures Contracts
|
|||||
|
Long Futures Contracts
|
Number of
Contracts
|
Expiration
Month
|
Notional
Value
|
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
Interest Rate Risk
|
|||||
|
U.S. Treasury 2 Year Notes
|
228
|
June-2026
|
$47,297,531
|
$(338,784
)
|
$(338,784
)
|
|
U.S. Treasury 5 Year Notes
|
737
|
June-2026
|
79,728,430
|
(1,014,495
)
|
(1,014,495
)
|
|
U.S. Treasury 10 Year Notes
|
252
|
June-2026
|
27,983,813
|
(460,291
)
|
(460,291
)
|
|
U.S. Treasury 10 Year Ultra Notes
|
99
|
June-2026
|
11,238,047
|
(217,894
)
|
(217,894
)
|
|
U.S. Treasury Ultra Bonds
|
4
|
June-2026
|
466,250
|
(11,756
)
|
(11,756
)
|
|
Subtotal—Long Futures Contracts
|
(2,043,220
)
|
(2,043,220
)
|
|||
|
Short Futures Contracts
|
|
|
|
|
|
|
Interest Rate Risk
|
|||||
|
U.S. Treasury Long Bonds
|
95
|
June-2026
|
(10,818,125
)
|
351,632
|
351,632
|
|
Total Futures Contracts
|
$(1,691,588
)
|
$(1,691,588
)
|
|||
|
Open Centrally Cleared Interest Rate Swap Agreements
|
||||||||||
|
Pay/
Receive
Floating
Rate
|
Floating Rate Index
|
Payment
Frequency
|
(Pay)/
Receive
Fixed
Rate
|
Payment
Frequency
|
Maturity
Date
|
Notional Value
|
Upfront
Payments
Paid
(Received)
|
Value
|
Unrealized
Appreciation
|
|
|
Interest Rate Risk
|
||||||||||
|
Receive
|
SOFR
|
Annually
|
(3.57)%
|
Annually
|
01/30/2031
|
USD
|
7,049,000
|
$—
|
$11,919
|
$11,919
|
|
Abbreviations:
|
|
|
SOFR
|
—Secured Overnight Financing Rate
|
|
USD
|
—U.S. Dollar
|
|
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|
Investments in Securities
|
|
|
|
|
|
U.S. Government Sponsored Agency Mortgage-Backed Securities
|
$—
|
$182,039,264
|
$—
|
$182,039,264
|
|
U.S. Treasury Securities
|
—
|
94,411,331
|
—
|
94,411,331
|
|
Certificates of Deposit
|
—
|
44,420,735
|
—
|
44,420,735
|
|
Asset-Backed Securities
|
—
|
33,389,186
|
—
|
33,389,186
|
|
Commercial Paper
|
—
|
26,999,364
|
—
|
26,999,364
|
|
Money Market Funds
|
2,769,291
|
—
|
—
|
2,769,291
|
|
Total Investments in Securities
|
2,769,291
|
381,259,880
|
—
|
384,029,171
|
|
Other Investments - Assets*
|
|
|
|
|
|
Futures Contracts
|
351,632
|
—
|
—
|
351,632
|
|
Swap Agreements
|
—
|
11,919
|
—
|
11,919
|
|
|
351,632
|
11,919
|
—
|
363,551
|
|
Other Investments - Liabilities*
|
|
|
|
|
|
Securities Sold Short
|
—
|
(8,735,098
)
|
—
|
(8,735,098
)
|
|
Futures Contracts
|
(2,043,220
)
|
—
|
—
|
(2,043,220
)
|
|
|
(2,043,220
)
|
(8,735,098
)
|
—
|
(10,778,318
)
|
|
Total Other Investments
|
(1,691,588
)
|
(8,723,179
)
|
—
|
(10,414,767
)
|
|
Total Investments
|
$1,077,703
|
$372,536,701
|
$—
|
$373,614,404
|
|
*
|
Futures contracts and swap agreements are valued at unrealized appreciation (depreciation).
Securities sold short are shown at value.
|