Investments in Derivatives
Part F of Form N-PORT was prepared in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) and in conformity with the
applicable rules and regulations of the U.S. Securities and Exchange Commission (“SEC”) related to interim filings. Part F of Form N-PORT does not
include all information and footnotes required by U.S. GAAP for complete financial statements. Certain footnote disclosures normally included in
financial statements prepared in accordance with U.S. GAAP have been condensed or omitted from this report pursuant to the rules of the SEC. For
a full set of the Fund’s notes to financial statements, please refer to the Fund’s most recently filed annual or semi-annual report.
Fair Value Measurements
The Fund’s investments in securities are recorded at their estimated fair value utilizing valuation methods approved by the Board of Directors/
Trustees. Fair value is defined as the price that would be received upon selling an investment or transferring a liability in an orderly transaction to an
independent buyer in the principal or most advantageous market for the investment. U.S. GAAP establishes the three-tier hierarchy which is used to
maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements
for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs
are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect management’s assumptions about
the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the
circumstances. The following is a summary of the three-tiered hierarchy of valuation input levels.
Level 1 – Inputs are unadjusted and prices are determined using quoted prices in active markets for identical securities.
Level 2 – Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, credit
spreads, etc.).
Level 3 – Prices are determined using significant unobservable inputs (including management’s assumptions in determining the fair value of
investments).
The following table summarizes the market value of the Fund's investments as of the end of the reporting period, based on the inputs used to value
them:
(f)
Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in reverse
repurchase agreements. As of the end of the fiscal period, investments with a value of $1,025,206,919 have been pledged as
collateral for reverse repurchase agreements.
(g)
Investment, or portion of investment, is hypothecated. The total value of investments hypothecated as of the end of the fiscal period
was $743,730,197.
(h)
Floating or variable rate security includes the reference rate and spread, when applicable. For mortgage-backed or asset-backed
securities the variable rate is based on the underlying asset of the security. Coupon rate reflects the rate at period end.
(i)
For fair value measurement disclosure purposes, investment classified as Level 3.
(j)
Agreement with Fixed Income Clearing Corporation, 4.120% dated 10/31/25 to be repurchased at $15,580,347 on 11/3/25,
collateralized by Government Agency Securities, with coupon rate 4.625% and maturity date 9/30/30, valued at $15,886,679.
(k)
Borrowings as a percentage of Total Investments is 17.0%.
(l)
The Fund may pledge up to 100% of its eligible investments (excluding any investments separately pledged as collateral for
specific investments in derivatives, when applicable) in the Portfolio of Investments as collateral for borrowings. As of the end of the
reporting period, investments with a value of $1,755,322,451 have been pledged as collateral for borrowings.
(m)
Reverse Repurchase Agreements, including accrued interest as a percentage of Total investments is 14.2%.
(n)
TFP Shares, Net as a percentage of Total Investments is 8.9%.
Futures Contracts - Long
Description
Number of
Contracts
Expiration
Date
Notional
Amount
Value
Unrealized
Appreciation
(Depreciation)
U.S. Treasury 10-Year Note
1,469
12/25
$
164,545,776
$
165,514,984
$
969,208
U.S. Treasury Ultra Bond
136
12/25
15,882,312
16,494,250
611,938
Total
$180,428,088
$182,009,234
$1,581,146
Interest Rate Swaps - OTC Uncleared
Counterparty
Fund
Pay/Receive
Floating Rate
Floating Rate
Index
Fixed Rate
(Annualized)
Fixed Rate
Payment
Frequency
Effective
Date(a)
Optional
Termination
Date
Maturity
Date
Notional
Amount
Value
Unrealized
Appreciation
(Depreciation)
Morgan Stanley
Capital Services,
LLC
Receive
SOFR
2.364%
Monthly
7/01/19
7/01/26
7/01/28
$
138,000,000
$
1,522,976
$
1,522,976
SOFR
Secured Overnight Financing Rate
(a)
Effective date represents the date on which both the Fund and counterparty commence interest payment accruals on each contract.