Futures Contracts | |||||
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 10-Year Treasury Note | (175) | Short | 6/18/24 | $(18,801,563) | $ 518,029 |
U.S. Long Treasury Bond | (112) | Short | 6/18/24 | (12,747,000) | 593,164 |
$1,111,193 |
• | Level 1 – quoted prices in active markets for identical investments |
• | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 – significant unobservable inputs (including a fund's own assumptions in determining the fair value of investments) |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Corporate Bonds | $ — | $ 26,246,898 | $ — | $ 26,246,898 |
Tax-Exempt Mortgage-Backed Securities | — | 6,407,009 | — | 6,407,009 |
Tax-Exempt Municipal Obligations | — | 1,461,228,086 | — | 1,461,228,086 |
Taxable Municipal Obligations | — | 117,909,427 | — | 117,909,427 |
Total Investments | $ — | $1,611,791,420 | $ — | $1,611,791,420 |
Futures Contracts | $1,111,193 | $ — | $ — | $ 1,111,193 |
Total | $1,111,193 | $1,611,791,420 | $ — | $1,612,902,613 |