Annual Report
August 31, 2023

US Treasury 3 Month Bill ETF | (Nasdaq: TBIL)

US Treasury 6 Month Bill ETF | (Nasdaq: XBIL)

US Treasury 12 Month Bill ETF | (Nasdaq: OBIL)

US Treasury 2 Year Note ETF | (Nasdaq: UTWO)

US Treasury 3 Year Note ETF | (Nasdaq: UTRE)

US Treasury 5 Year Note ETF | (Nasdaq: UFIV)

US Treasury 7 Year Note ETF | (Nasdaq: USVN)

US Treasury 10 Year Note ETF | (Nasdaq: UTEN)

US Treasury 20 Year Bond ETF | (Nasdaq: UTWY)

US Treasury 30 Year Bond ETF | (Nasdaq: UTHY)

Each a series of The RBB Fund, Inc.

 

F/m Investments, LLC d/b/a North Slope Capital, LLC

 

 

 

Table of Contents

 

   

Letter to Shareholders

1

Performance Data

3

Fund Expense Examples

13

Schedules of Investments

17

Financial Statements

36

Notes to Financial Statements

62

Report of Independent Registered Public Accounting Firm

74

Shareholder Tax Information

75

Notice to Shareholders

76

Directors and Officers

84

 

 

 

 

US Benchmark Series

Letter to Shareholders

August 31, 2023 (Unaudited)

 

F/m Investments LLC
d/b/a North Slope Capital, LLC
3050 K Street NW
Suite 201
Washington, DC 20007

 

Dear Shareholder:

 

Last year we wrote to you about the nascent US Benchmark Series offering simplified access to “on-the-run” benchmark US Treasury bills, notes, and bonds. Then three funds, TBIL, UTWO and UTEN, listed and actively trading. Today ten key points of the yield curve are available with over $3 billion in assets under management and millions of shares traded:

 

 

TBIL – US Treasury 3 Month Bill ETF

 

XBIL – US Treasury 6 Month Bill ETF

 

OBIL – US Treasury 12 Month Bill ETF

 

UTWO – US Treasury 2 Year Note ETF

 

UTRE – US Treasury 3 Year Note ETF

 

UFIV – US Treasury 5 Year Note ETF

 

USVN – US Treasury 7 Year Note ETF

 

UTEN – US Treasury 10 Year Note ETF

 

UTWY – US Treasury 20 Year Bond ETF

 

UTHY – US Treasury 30 Year Bond ETF

 

Offering a simpler, more precise way to own US Treasury securities, the US Benchmark Series enables investors to not just buy the current on-the-run US Treasury, but remain invested in that maturity for future similar offerings. This month, next month, next year and for many years to come. Each series of the US Benchmark Series (each a “Fund”) seeks to provide precise exposure to a single point on the yield curve, in a low cost, tax efficient exchange traded fund (“ETF”).

 

After a year of watching, trading, and owning the US Benchmark Series, investors are engaging and still exploring something we call: The Power of The Point. What point? The ten precise points on the yield curve, represented by the US Benchmark Series, refreshed with each new US Treasury issue, provide a new paradigm in investing. Combining the different Funds to balance income with potential total return or capital preservation with interest rate risk, investors are creating whole new portfolios that are easy to implement, quick to adjust and liquid to sell.

 

Each of the Funds continues to perform in line with our expectations, delivering monthly income and principal movement in line with its underlying US Treasury security. The high levels of liquidity of the on-the-run US Treasury security each Fund holds has translated into tight spreads and a consistent price experience for investors.

 

Looking at the potential rate environment for the rest of 2023 and into 2024, we continue to expect volatile markets. Higher rates seem to be taking hold and restricting economic growth. However, the slowing economic growth may not cool inflation enough, which may cause rates to stay high or go higher, perhaps for an extended period.

 

Savers and investors alike have enjoyed this new higher rate environment. For over a decade, earning a safe income was out of reach. Finally, the pendulum has swung, and many financial and retirement plans are thankful for it.

 

 

1

 

 

US Benchmark Series

Letter to Shareholders (continued)

August 31, 2023 (Unaudited)

 

Be well. Do good work. Keep in touch.

 

 

 

Alexander Morris

 

Peter Baden

 

Marcin Zdunek

 

Past performance is not a guarantee of future results.

 

Must be preceded or accompanied by a current prospectus.

 

Investments involve risk. Principal loss is possible. As with all ETFs, Shares may be bought and sold in the secondary market at market prices. Interest rate risk is the risk of losses attributable to changes in interest rates. In general, if prevailing interest rates rise, the values of debt instruments tend to fall, and if interest rates fall, the values of debt instruments tend to rise.

 

2

 

 

 

US Treasury 3 month bill ETF

Performance Data

(Unaudited)

 

 

 

 

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODs ENDED August 31, 2023

 

1 Year

Since
Inception

Inception
Date

US Treasury 3 Month Bill ETF (at NAV)

4.50%

4.32%

8/8/2022

US Treasury 3 Month Bill ETF (at Market Price)

4.56%

4.40%

8/8/2022

ICE BofA US 3-Month Treasury Bill Index*

4.28%

4.14%(1)

Fund Expense Ratio (2): 0.15%

     

 

The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. The investment return and principal value of an investment will fluctuate so that shares, when redeemed or sold, may be worth more or less than their original cost. For the most recent month end performance, please call 1-800-617-0004 or visit our website at www.ustreasuryetfs.com. Market price is the price at which shares in the ETF can be bought or sold on the exchanges during trading hours, while the net asset value (NAV) represents the value of each share’s portion of the fund’s underlying assets and cash at the end of the trading day.

 

(1)

Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself.

 

(2)

The expense ratio of the Fund is set forth according to the Prospectus for the Fund and may differ from the expense ratio disclosed in the Financial Highlights table in this report. See the Financial Highlights for most current expense ratio.

 

*

The ICE BofA US 3-Month Treasury Bill Index is a single security index comprised of the most recently issued 3-Month Treasury bill .

 

 

3

 

 

US Treasury 6 Month Bill ETF

Performance Data

(Unaudited)

 

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED August 31, 2023

 

Since
Inception

Inception
Date

US Treasury 6 Month Bill ETF (at NAV)

2.35%

3/6/2023

US Treasury 6 Month Bill ETF (at Market Price)

2.42%

3/6/2023

ICE BofA US 6-Month Treasury Bill Index*

2.43%(1)

Fund Expense Ratio (2): 0.15%

   

 

The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. The investment return and principal value of an investment will fluctuate so that shares, when redeemed or sold, may be worth more or less than their original cost. For the most recent month end performance, please call 1-800-617-0004 or visit our website at www.ustreasuryetfs.com. Market price is the price at which shares in the ETF can be bought or sold on the exchanges during trading hours, while the net asset value (NAV) represents the value of each share’s portion of the fund’s underlying assets and cash at the end of the trading day.

 

(1)

Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself.

 

(2)

The expense ratio of the Fund is set forth according to the Prospectus for the Fund and may differ from the expense ratio disclosed in the Financial Highlights table in this report. See the Financial Highlights for most current expense ratio.

 

*

The ICE BofA US 6-Month Treasury Bill Index is a single security index comprised of the most recently issued 6-Month Treasury bill .

 

4

 

 

 

US Treasury 12 Month Bill ETF

Performance Data

(Unaudited)

 

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED August 31, 2023

 

Since
Inception

Inception
Date

US Treasury 12 Month Bill ETF (at NAV)

3.01%

11/14/2022

US Treasury 12 Month Bill ETF (at Market Price)

3.08%

11/14/2022

ICE BofA US 12-Month Treasury Bill Index*

3.15%(1)

Fund Expense Ratio (2): 0.15%

   

 

The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. The investment return and principal value of an investment will fluctuate so that shares, when redeemed or sold, may be worth more or less than their original cost. For the most recent month end performance, please call 1-800-617-0004 or visit our website at www.ustreasuryetfs.com. Market price is the price at which shares in the ETF can be bought or sold on the exchanges during trading hours, while the net asset value (NAV) represents the value of each share’s portion of the fund’s underlying assets and cash at the end of the trading day.

 

(1)

Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself.

 

(2)

The expense ratio of the Fund is set forth according to the Prospectus for the Fund and may differ from the expense ratio disclosed in the Financial Highlights table in this report. See the Financial Highlights for most current expense ratio.

 

*

The ICE BofA US 12-Month Treasury Bill Index is a single security index comprised of the most recently issued US 12-Month Treasury bill .

 

 

5

 

 

US Treasury 2 Year Note ETF

Performance Data

(Unaudited)

 

 

 

 

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODs ENDED August 31, 2023

 

1 Year

Since
Inception

Inception
Date

US Treasury 2 Year Note ETF (at NAV)

0.38%

0.17%

8/8/2022

US Treasury 2 Year Note ETF (at Market Price)

0.44%

0.22%

8/8/2022

ICE BofA Current 2-Year US Treasury Index*

0.39%

0.14%(1)

Fund Expense Ratio (2): 0.15%

     

 

The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. The investment return and principal value of an investment will fluctuate so that shares, when redeemed or sold, may be worth more or less than their original cost. For the most recent month end performance, please call 1-800-617-0004 or visit our website at www.ustreasuryetfs.com. Market price is the price at which shares in the ETF can be bought or sold on the exchanges during trading hours, while the net asset value (NAV) represents the value of each share’s portion of the fund’s underlying assets and cash at the end of the trading day.

 

(1)

Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself.

 

(2)

The expense ratio of the Fund is set forth according to the Prospectus for the Fund and may differ from the expense ratio disclosed in the Financial Highlights table in this report. See the Financial Highlights for most current expense ratio.

 

*

The ICE BofA Current 2-Year US Treasury Index is a single security index comprised of the most recently issued 2-year US Treasury note.

 

6

 

 

 

US Treasury 3 Year Note ETF

Performance Data

(Unaudited)

 

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED August 31, 2023

 

Since
Inception

Inception
Date

US Treasury 3 Year Note ETF (at NAV)

-0.66%

3/27/2023

US Treasury 3 Year Note ETF (at Market Price)

-0.62%

3/27/2023

ICE BofA Current 3-Year US Treasury Index*

-0.65%(1)

Fund Expense Ratio (2): 0.15%

   

 

The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. The investment return and principal value of an investment will fluctuate so that shares, when redeemed or sold, may be worth more or less than their original cost. For the most recent month end performance, please call 1-800-617-0004 or visit our website at www.ustreasuryetfs.com. Market price is the price at which shares in the ETF can be bought or sold on the exchanges during trading hours, while the net asset value (NAV) represents the value of each share’s portion of the fund’s underlying assets and cash at the end of the trading day.

 

(1)

Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself.

 

(2)

The expense ratio of the Fund is set forth according to the Prospectus for the Fund and may differ from the expense ratio disclosed in the Financial Highlights table in this report. See the Financial Highlights for most current expense ratio.

 

*

The ICE BofA Current 3-Year US Treasury Index is a single security index comprised of the most recently issued 3-year US Treasury note.

 

 

7

 

 

US Treasury 5 Year Note ETF

Performance Data

(Unaudited)

 

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED August 31, 2023

 

Since
Inception

Inception
Date

US Treasury 5 Year Note ETF (at NAV)

-1.69%

3/27/2023

US Treasury 5 Year Note ETF (at Market Price)

-1.62%

3/27/2023

ICE BofA Current 5-Year US Treasury Index*

-1.65%(1)

Fund Expense Ratio (2): 0.15%

   

 

The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. The investment return and principal value of an investment will fluctuate so that shares, when redeemed or sold, may be worth more or less than their original cost. For the most recent month end performance, please call 1-800-617-0004 or visit our website at www.ustreasuryetfs.com. Market price is the price at which shares in the ETF can be bought or sold on the exchanges during trading hours, while the net asset value (NAV) represents the value of each share’s portion of the fund’s underlying assets and cash at the end of the trading day.

 

(1)

Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself.

 

(2)

The expense ratio of the Fund is set forth according to the Prospectus for the Fund and may differ from the expense ratio disclosed in the Financial Highlights table in this report. See the Financial Highlights for most current expense ratio.

 

*

The ICE BofA Current 5-Year US Treasury Index is a single security index comprised of the most recently issued 5-year US Treasury note.

 

8

 

 

 

US Treasury 7 Year Note ETF

Performance Data

(Unaudited)

 

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED August 31, 2023

 

Since
Inception

Inception
Date

US Treasury 7 Year Note ETF (at NAV)

-2.58%

3/27/2023

US Treasury 7 Year Note ETF (at Market Price)

-2.55%

3/27/2023

ICE BofA Current 7-Year US Treasury Index*

-2.47%(1)

Fund Expense Ratio (2): 0.15%

   

 

The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. The investment return and principal value of an investment will fluctuate so that shares, when redeemed or sold, may be worth more or less than their original cost. For the most recent month end performance, please call 1-800-617-0004 or visit our website at www.ustreasuryetfs.com. Market price is the price at which shares in the ETF can be bought or sold on the exchanges during trading hours, while the net asset value (NAV) represents the value of each share’s portion of the fund’s underlying assets and cash at the end of the trading day.

 

(1)

Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself.

 

(2)

The expense ratio of the Fund is set forth according to the Prospectus for the Fund and may differ from the expense ratio disclosed in the Financial Highlights table in this report. See the Financial Highlights for most current expense ratio.

 

*

The ICE BofA Current 7-Year US Treasury Index is a single security index comprised of the most recently issued 7-year US Treasury note.

 

 

9

 

 

US Treasury 10 Year Note ETF

Performance Data

(Unaudited)

 

 

 

 

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODs ENDED August 31, 2023

 

1 Year

Since
Inception

Inception
Date

US Treasury 10 Year Note ETF (at NAV)

-4.87%

-7.28%

8/8/2022

US Treasury 10 Year Note ETF (at Market Price)

-4.49%

-7.22%

8/8/2022

ICE BofA Current 10-Year US Treasury Index*

-4.71%

-7.13%(1)

Fund Expense Ratio (2): 0.15%

     

 

The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. The investment return and principal value of an investment will fluctuate so that shares, when redeemed or sold, may be worth more or less than their original cost. For the most recent month end performance, please call 1-800-617-0004 or visit our website at www.ustreasuryetfs.com. Market price is the price at which shares in the ETF can be bought or sold on the exchanges during trading hours, while the net asset value (NAV) represents the value of each share’s portion of the fund’s underlying assets and cash at the end of the trading day.

 

(1)

Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself.

 

(2)

The expense ratio of the Fund is set forth according to the Prospectus for the Fund and may differ from the expense ratio disclosed in the Financial Highlights table in this report. See the Financial Highlights for most current expense ratio.

 

*

The ICE BofA Current 10-Year US Treasury Index is a single security index comprised of the most recently issued 10-year US Treasury note.

 

10

 

 

 

US Treasury 20 Year BOND ETF

Performance Data

(Unaudited)

 

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED August 31, 2023

 

Since
Inception

Inception
Date

US Treasury 20 Year Bond ETF (at NAV)

-5.10%

3/27/2023

US Treasury 20 Year Bond ETF (at Market Price)

-5.04%

3/27/2023

ICE BofA Current 20-Year US Treasury Index*

-5.09%(1)

Fund Expense Ratio (2): 0.15%

   

 

The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. The investment return and principal value of an investment will fluctuate so that shares, when redeemed or sold, may be worth more or less than their original cost. For the most recent month end performance, please call 1-800-617-0004 or visit our website at www.ustreasuryetfs.com. Market price is the price at which shares in the ETF can be bought or sold on the exchanges during trading hours, while the net asset value (NAV) represents the value of each share’s portion of the fund’s underlying assets and cash at the end of the trading day.

 

(1)

Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself.

 

(2)

The expense ratio of the Fund is set forth according to the Prospectus for the Fund and may differ from the expense ratio disclosed in the Financial Highlights table in this report. See the Financial Highlights for most current expense ratio.

 

*

The ICE BofA Current 20-Year US Treasury Index is a single security index comprised of the most recently issued 20-year US Treasury note.

 

 

 

11

 

 

US Treasury 30 Year BOND ETF

Performance Data

(Unaudited)

 

AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIOD ENDED August 31, 2023

 

Since
Inception

Inception
Date

US Treasury 30 Year Bond ETF (at NAV)

-6.17%

3/27/2023

US Treasury 30 Year Bond ETF (at Market Price)

-6.12%

3/27/2023

ICE BofA Current 30-Year US Treasury Index*

-6.12%(1)

Fund Expense Ratio (2): 0.15%

   

 

The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher. The investment return and principal value of an investment will fluctuate so that shares, when redeemed or sold, may be worth more or less than their original cost. For the most recent month end performance, please call 1-800-617-0004 or visit our website at www.ustreasuryetfs.com. Market price is the price at which shares in the ETF can be bought or sold on the exchanges during trading hours, while the net asset value (NAV) represents the value of each share’s portion of the fund’s underlying assets and cash at the end of the trading day.

 

(1)

Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself.

 

(2)

The expense ratio of the Fund is set forth according to the Prospectus for the Fund and may differ from the expense ratio disclosed in the Financial Highlights table in this report. See the Financial Highlights for most current expense ratio.

 

*

The ICE BofA Current 30-Year US Treasury Index is a single security index comprised of the most recently issued 30-year US Treasury note.

 

 

12

 

 

 

US Benchmark Series

Fund Expense Examples

August 31, 2023 (UNAUDITED)

 

As a shareholder of the Fund(s), you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund(s) and to compare these costs with the ongoing costs of investing in other ETFs.

 

These examples are based on an investment of $1,000 invested at the beginning of the six-month period from March 1, 2023 through August 31, 2023, and held for the entire period. For the US Treasury 6 Month Bill ETF, the actual values and expenses are based on the 178-day period from inception on March 6, 2023, through August 31, 2023. For the US Treasury 3 Year Note ETF, US Treasury 5 Year Note ETF, US Treasury 7 Year Note ETF, US Treasury 20 Year Bond ETF, and US Treasury 30 Year Bond ETF, the actual values and expenses are based on the 157-day period from inception on March 27, 2023, through August 31, 2023.

 

ACTUAL EXPENSES

 

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

HYPOTHETICAL EXAMPLES FOR COMPARISON PURPOSES

 

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

 

13

 

 

US Benchmark Series

Fund Expense Examples (Continued)

August 31, 2023 (Unaudited)

 

 

 

Beginning
Account Value
March 1,
2023

   

Ending
Account Value
August 31,
2023

   

Expenses
Paid During
Period*

   

Annualized
Expense
Ratio

   

ACTUAL
SIX MONTH/ SINCE INCEPTION TOTAL INVESTMENT RETURNS FOR THE FUNDS*

 

US Treasury 3 Month Bill ETF

                                       

Actual

  $ 1,000.00     $ 1,025.60     $ 0.77       0.15 %     2.56 %

Hypothetical (5% return before expenses)

    1,000.00       1,024.45       0.77       0.15 %     N/A  

US Treasury 6 Month Bill ETF

                                       

Actual

  $ 1,000.00     $ 1,023.50     $ 0.74       0.15 %     2.35 %

Hypothetical (5% return before expenses)

    1,000.00       1,024.45       0.77       0.15 %     N/A  

US Treasury 12 Month Bill ETF

                                       

Actual

  $ 1,000.00     $ 1,019.90     $ 0.76       0.15 %     1.99 %

Hypothetical (5% return before expenses)

    1,000.00       1,024.45       0.77       0.15 %     N/A  

US Treasury 2 Year Note ETF

                                       

Actual

  $ 1,000.00     $ 1,013.60     $ 0.76       0.15 %     1.36 %

Hypothetical (5% return before expenses)

    1,000.00       1,024.45       0.77       0.15 %     N/A  

US Treasury 3 Year Note ETF

                                       

Actual

  $ 1,000.00     $ 993.40     $ 0.64       0.15 %     -0.66 %

Hypothetical (5% return before expenses)

    1,000.00       1,024.45       0.77       0.15 %     N/A  

US Treasury 5 Year Note ETF

                                       

Actual

  $ 1,000.00     $ 983.10     $ 0.64       0.15 %     -1.69 %

Hypothetical (5% return before expenses)

    1,000.00       1,024.45       0.77       0.15 %     N/A  

US Treasury 7 Year Note ETF

                                       

Actual

  $ 1,000.00     $ 974.20     $ 0.64       0.15 %     -2.58 %

Hypothetical (5% return before expenses)

    1,000.00       1,024.45       0.77       0.15 %     N/A  

US Treasury 10 Year Note ETF

                                       

Actual

  $ 1,000.00     $ 1,001.10     $ 0.76       0.15 %     0.11 %

Hypothetical (5% return before expenses)

    1,000.00       1,024.45       0.77       0.15 %     N/A  

US Treasury 20 Year Bond ETF

                                       

Actual

  $ 1,000.00     $ 949.00     $ 0.63       0.15 %     -5.10 %

Hypothetical (5% return before expenses)

    1,000.00       1,024.45       0.77       0.15 %     N/A  

 

 

 

14

 

 

 

US Benchmark Series

Fund Expense Examples (Concluded)

August 31, 2023 (Unaudited)

 

 

 

Beginning
Account Value
March 1,
2023

   

Ending
Account Value
August 31,
2023

   

Expenses
Paid During
Period*

   

Annualized
Expense
Ratio

   

Actual
SIX MONTH/ SINCE INCEPTION Total Investment Returns
for the Funds*

 

US Treasury 30 Year Bond ETF

                                       

Actual

  $ 1,000.00     $ 938.30     $ 0.63       0.15 %     -6.17 %

Hypothetical (5% return before expenses)

    1,000.00       1,024.45       0.77       0.15 %     N/A  

 

*

Expenses are equal to each Fund’s annualized expense ratio for the period March 1, 2023 through August 31, 2023, multiplied by the average account value over the period, multiplied by the number of days (184) in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. For the US Treasury 6 Month Bill ETF, the actual dollar amounts shown are expenses paid by the Fund during the period from the inception of the Fund on March 6, 2023 multiplied by 178 days, which is the number of days from the inception of the Fund through August 31, 2023. For the US Treasury 3 Year Note ETF, US Treasury 5 Year Note ETF, US Treasury 7 Year Note ETF, US Treasury 20 Year Bond ETF, and US Treasury 30 Year Bond ETF, the actual dollar amounts shown are expenses paid by the Funds during the period from the inception of the Funds on March 27, 2023 multiplied by 157 days, which is the number of days from the inception of the Funds through August 31, 2023. Each Fund’s ending account value in the first section in the table is based on the actual six-month total investment return for the Fund (with the exception of the US Treausury 6 Month Bill ETF, US Treasury 3 Year Note ETF, US Treasury 5 Year Note ETF, US Treasury 7 Year Note ETF, US Treasury 20 Year Bond ETF, and US Treasury 30 Year Bond ETF, for which the ending account value is based on the actual since inception total investment return for the Funds).

 

 

15

 

 

US Treasury 3 Month Bill ETF

PORTFOLIO HOLDINGS SUMMARY TABLE

August 31, 2023

 

SECURITY TYPE/CLASSIFICATION

 

% OF NET
ASSETS

   

VALUE

 
                 

SHORT-TERM INVESTMENTS

               

U.S. Treasury Obligations

    99.6 %   $ 1,769,023,157  

Money Market Deposit Accounts

    0.4       7,730,318  

LIABILITIES IN EXCESS OF OTHER ASSETS

    0.0       (170,166 )

NET ASSETS

    100.0 %   $ 1,776,583,309  

 

 

The accompanying notes are an integral part of these financial statements.

 

16

 

 

 

US Treasury 3 Month Bill ETF

Schedule of Investments

August 31, 2023

 

 

 

Coupon*

   

Maturity
Date

   

Par (000’s)

   

Value

 
                                 

SHORT-TERM INVESTMENTS — 100.0%

                               

U.S. TREASURY OBLIGATIONS — 99.6%

                               

United States Treasury Bill

    5.508 %     11/30/2023     $ 1,792,835     $ 1,769,023,157  

TOTAL U.S. TREASURY OBLIGATIONS (COST $1,769,033,038)

                            1,769,023,157  

 

 

 

Number of
shares
(
000’s)

   

 

 
                 

MONEY MARKET DEPOSIT ACCOUNTS — 0.4%

               

U.S. Bank Money Market Deposit Account, 5.20% (a)

    7,730       7,730,318  

TOTAL MONEY MARKET DEPOSIT ACCOUNTS (COST $7,730,318)

            7,730,318  

TOTAL SHORT-TERM INVESTMENTS (COST $1,776,763,356) — 100.0%

            1,776,753,475  

LIABILITIES IN EXCESS OF OTHER ASSETS — 0.0%

            (170,166 )

TOTAL NET ASSETS — 100.0%

          $ 1,776,583,309  

 

*

Short-term investments’ coupon reflects the annualized yield on the date of purchase for discounted investments.

 

(a)

The rate shown is as of August 31, 2023.

 

The accompanying notes are an integral part of these financial statements.

 

 

17

 

 

US Treasury 6 Month Bill ETF

PORTFOLIO HOLDINGS SUMMARY TABLE

August 31, 2023

 

SECURITY TYPE/CLASSIFICATION

 

% OF NET
ASSETS

   

VALUE

 
                 

SHORT-TERM INVESTMENTS

               

U.S. Treasury Obligations

    99.5 %   $ 309,869,664  

Money Market Deposit Accounts

    0.5       1,476,366  

LIABILITIES IN EXCESS OF OTHER ASSETS

    0.0       (27,620 )

NET ASSETS

    100.0 %   $ 311,318,410  

 

 

The accompanying notes are an integral part of these financial statements.

 

18

 

 

 

US Treasury 6 Month Bill ETF

Schedule of Investments

August 31, 2023

 

 

 

Coupon*

   

Maturity
Date

   

Par (000’s)

   

Value

 
                                 

SHORT-TERM INVESTMENTS — 100.0%

                               

U.S. TREASURY OBLIGATIONS — 99.5%

                               

United States Treasury Bill

    5.559 %     2/29/2024     $ 318,320     $ 309,869,664  

TOTAL U.S. TREASURY OBLIGATIONS (COST $309,849,370)

                            309,869,664  

 

 

 

Number of
shares
(
000’s)

   

 

 
                 

MONEY MARKET DEPOSIT ACCOUNTS — 0.5%

               

U.S. Bank Money Market Deposit Account, 5.20% (a)

    1,476       1,476,366  

TOTAL MONEY MARKET DEPOSIT ACCOUNTS (COST $1,476,366)

            1,476,366  

TOTAL SHORT-TERM INVESTMENTS (COST $311,325,736) — 100.0%

            311,346,030  

LIABILITIES IN EXCESS OF OTHER ASSETS — 0.0%

            (27,620 )

TOTAL NET ASSETS — 100.0%

          $ 311,318,410  

 

*

Short-term investments’ coupon reflects the annualized yield on the date of purchase for discounted investments.

 

(a)

The rate shown is as of August 31, 2023.

 

The accompanying notes are an integral part of these financial statements.

 

 

19

 

 

US Treasury 12 Month Bill ETF

PORTFOLIO HOLDINGS SUMMARY TABLE

August 31, 2023

 

SECURITY TYPE/CLASSIFICATION

 

% OF NET
ASSETS

   

VALUE

 
                 

SHORT-TERM INVESTMENTS

               

U.S. Treasury Obligations

    99.5 %   $ 125,726,101  

Money Market Deposit Accounts

    0.5       570,620  

LIABILITIES IN EXCESS OF OTHER ASSETS

    0.0       (14,828 )

NET ASSETS

    100.0 %   $ 126,281,893  

 

 

The accompanying notes are an integral part of these financial statements.

 

20

 

 

 

US Treasury 12 Month Bill ETF

Schedule of Investments

August 31, 2023

 

 

 

Coupon*

   

Maturity
Date

   

Par (000’s)

   

Value

 
                                 

SHORT-TERM INVESTMENTS — 100.0%

                               

U.S. TREASURY OBLIGATIONS — 99.5%

                               

United States Treasury Bill

    5.387 %     8/8/2024     $ 132,140     $ 125,726,101  

TOTAL U.S. TREASURY OBLIGATIONS (COST $125,790,810)

                            125,726,101  

 

 

 

Number of
shares
(
000’s)

   

 

 
                 

MONEY MARKET DEPOSIT ACCOUNTS — 0.5%

               

U.S. Bank Money Market Deposit Account, 5.20% (a)

    571       570,620  

TOTAL MONEY MARKET DEPOSIT ACCOUNTS (COST $570,620)

            570,620  

TOTAL SHORT-TERM INVESTMENTS (COST $126,361,430) — 100.0%

            126,296,721  

LIABILITIES IN EXCESS OF OTHER ASSETS — 0.0%

            (14,828 )

TOTAL NET ASSETS — 100.0%

          $ 126,281,893  

 

*

Short-term investments’ coupon reflects the annualized yield on the date of purchase for discounted investments.

 

(a)

The rate shown is as of August 31, 2023.

 

The accompanying notes are an integral part of these financial statements.

 

 

21

 

 

US Treasury 2 Year Note ETF

PORTFOLIO HOLDINGS SUMMARY TABLE

August 31, 2023

 

SECURITY TYPE/CLASSIFICATION

 

% OF NET
ASSETS

   

VALUE

 
                 

U.S. GOVERNMENT NOTES/BONDS

               

U.S. Treasury Obligations

    99.6 %   $ 304,129,778  

SHORT-TERM INVESTMENTS

               

Money Market Deposit Accounts

    0.4       1,209,523  

OTHER ASSETS IN EXCESS OF LIABILITIES

    0.0       2,974  

NET ASSETS

    100.0 %   $ 305,342,275  

 

 

The accompanying notes are an integral part of these financial statements.

 

22

 

 

 

US Treasury 2 Year Note ETF

Schedule of Investments

August 31, 2023

 

 

 

Coupon

   

Maturity
Date

   

Par (000’s)

   

Value

 
                                 

U.S. GOVERNMENT NOTES/BONDS — 99.6%

                               

U.S. TREASURY OBLIGATIONS — 99.6%

                               

United States Treasury Note/Bond

    5.000 %     8/31/2025     $ 303,265     $ 304,129,778  

TOTAL U.S. TREASURY OBLIGATIONS (COST $303,915,683)

                            304,129,778  

 

 

 

Number of
shares
(
000’s)

   

 

 
                 

SHORT-TERM INVESTMENTS — 0.4%

               

MONEY MARKET DEPOSIT ACCOUNTS — 0.4%

               

U.S. Bank Money Market Deposit Account, 5.20% (a)

    1,210       1,209,523  

TOTAL MONEY MARKET DEPOSIT ACCOUNTS (COST $1,209,523)

            1,209,523  

TOTAL SHORT-TERM INVESTMENTS (COST $1,209,523)

            1,209,523  

TOTAL INVESTMENTS (COST $305,125,206) — 100.0%

            305,339,301  

OTHER ASSETS IN EXCESS OF LIABILITIES — 0.0%

            2,974  

TOTAL NET ASSETS — 100.0%

          $ 305,342,275  

 

(a)

The rate shown is as of August 31, 2023.

 

The accompanying notes are an integral part of these financial statements.

 

 

23

 

 

US Treasury 3 Year Note ETF

PORTFOLIO HOLDINGS SUMMARY TABLE

August 31, 2023

 

SECURITY TYPE/CLASSIFICATION

 

% OF NET
ASSETS

   

VALUE

 
                 

U.S. GOVERNMENT NOTES/BONDS

               

U.S. Treasury Obligations

    99.8 %   $ 1,467,321  

SHORT-TERM INVESTMENTS

               

Money Market Deposit Accounts

    0.0       448  

OTHER ASSETS IN EXCESS OF LIABILITIES

    0.2       2,795  

NET ASSETS

    100.0 %   $ 1,470,564  

 

 

The accompanying notes are an integral part of these financial statements.

 

24

 

 

 

US Treasury 3 Year Note ETF

Schedule of Investments

August 31, 2023

 

 

 

Coupon

   

Maturity
Date

   

Par (000’s)

   

Value

 
                                 

U.S. GOVERNMENT NOTES/BONDS — 99.8%

                               

U.S. TREASURY OBLIGATIONS — 99.8%

                               

United States Treasury Note/Bond

    4.375 %     8/15/2026     $ 1,474     $ 1,467,321  

TOTAL U.S. TREASURY OBLIGATIONS (COST $1,463,106)

                            1,467,321  

 

 

 

Number of
shares
(
000’s)

   

 

 
                 

SHORT-TERM INVESTMENTS — 0.0%

               

MONEY MARKET DEPOSIT ACCOUNTS — 0.0%

               

U.S. Bank Money Market Deposit Account, 5.20% (a)

    *     448  

TOTAL MONEY MARKET DEPOSIT ACCOUNTS (COST $448)

            448  

TOTAL SHORT-TERM INVESTMENTS (COST $448)

            448  

TOTAL INVESTMENTS (COST $1,463,554) — 99.8%

            1,467,769  

OTHER ASSETS IN EXCESS OF LIABILITIES — 0.2%

            2,795  

TOTAL NET ASSETS — 100.0%

          $ 1,470,564  

 

*

Number of shares is less than 1,000.

 

(a)

The rate shown is as of August 31, 2023.

 

The accompanying notes are an integral part of these financial statements.

 

 

25

 

 

US Treasury 5 Year Note ETF

PORTFOLIO HOLDINGS SUMMARY TABLE

August 31, 2023

 

SECURITY TYPE/CLASSIFICATION

 

% OF NET
ASSETS

   

VALUE

 
                 

U.S. GOVERNMENT NOTES/BONDS

               

U.S. Treasury Obligations

    99.7 %   $ 4,356,725  

SHORT-TERM INVESTMENTS

               

Money Market Deposit Accounts

    0.3       15,079  

OTHER ASSETS IN EXCESS OF LIABILITIES

    0.0       58  

NET ASSETS

    100.0 %   $ 4,371,862  

 

 

The accompanying notes are an integral part of these financial statements.

 

26

 

 

 

US Treasury 5 Year Note ETF

Schedule of Investments

August 31, 2023

 

 

 

Coupon

   

Maturity
Date

   

Par (000’s)

   

Value

 
                                 

U.S. GOVERNMENT NOTES/BONDS — 99.7%

                               

U.S. TREASURY OBLIGATIONS — 99.7%

                               

United States Treasury Note/Bond

    4.375 %     8/31/2028     $ 4,330     $ 4,356,725  

TOTAL U.S. TREASURY OBLIGATIONS (COST $4,349,611)

                            4,356,725  

 

 

 

Number of
shares
(
000’s)

   

 

 
                 

SHORT-TERM INVESTMENTS — 0.3%

               

MONEY MARKET DEPOSIT ACCOUNTS — 0.3%

               

U.S. Bank Money Market Deposit Account, 5.20% (a)

    15       15,079  

TOTAL MONEY MARKET DEPOSIT ACCOUNTS (COST $15,079)

            15,079  

TOTAL SHORT-TERM INVESTMENTS (COST $15,079)

            15,079  

TOTAL INVESTMENTS (COST $4,364,690) — 100.0%

            4,371,804  

OTHER ASSETS IN EXCESS OF LIABILITIES — 0.0%

            58  

TOTAL NET ASSETS — 100.0%

          $ 4,371,862  

 

(a)

The rate shown is as of August 31, 2023.

 

The accompanying notes are an integral part of these financial statements.

 

 

27

 

 

US Treasury 7 Year Note ETF

PORTFOLIO HOLDINGS SUMMARY TABLE

August 31, 2023

 

SECURITY TYPE/CLASSIFICATION

 

% OF NET
ASSETS

   

VALUE

 
                 

U.S. GOVERNMENT NOTES/BONDS

               

U.S. Treasury Obligations

    99.6 %   $ 958,938  

SHORT-TERM INVESTMENTS

               

Money Market Deposit Accounts

    0.4       3,888  

LIABILITIES IN EXCESS OF OTHER ASSETS

    0.0       (11 )

NET ASSETS

    100.0 %   $ 962,815  

 

 

The accompanying notes are an integral part of these financial statements.

 

28

 

 

 

US Treasury 7 Year Note ETF

Schedule of Investments

August 31, 2023

 

 

 

Coupon

   

Maturity
Date

   

Par (000’s)

   

Value

 
                                 

U.S. GOVERNMENT NOTES/BONDS — 99.6%

                               

U.S. TREASURY OBLIGATIONS — 99.6%

                               

United States Treasury Note/Bond

    4.125 %     8/31/2030     $ 963     $ 958,938  

TOTAL U.S. TREASURY OBLIGATIONS (COST $957,508)

                            958,938  

 

 

 

Number of
shares
(
000’s)

   

 

 
                 

SHORT-TERM INVESTMENTS — 0.4%

               

MONEY MARKET DEPOSIT ACCOUNTS — 0.4%

               

U.S. Bank Money Market Deposit Account, 5.20% (a)

    4       3,888  

TOTAL MONEY MARKET DEPOSIT ACCOUNTS (COST $3,888)

            3,888  

TOTAL SHORT-TERM INVESTMENTS (COST $3,888)

            3,888  

TOTAL INVESTMENTS (COST $961,396) — 100.0%

            962,826  

LIABILITIES IN EXCESS OF OTHER ASSETS — 0.0%

            (11 )

TOTAL NET ASSETS — 100.0%

          $ 962,815  

 

(a)

The rate shown is as of August 31, 2023.

 

The accompanying notes are an integral part of these financial statements.

 

 

29

 

 

US Treasury 10 Year Note ETF

PORTFOLIO HOLDINGS SUMMARY TABLE

August 31, 2023

 

SECURITY TYPE/CLASSIFICATION

 

% OF NET
ASSETS

   

VALUE

 
                 

U.S. GOVERNMENT NOTES/BONDS

               

U.S. Treasury Obligations

    99.5 %   $ 55,813,787  

SHORT-TERM INVESTMENTS

               

Money Market Deposit Accounts

    0.0       4,833  

OTHER ASSETS IN EXCESS OF LIABILITIES

    0.5       274,924  

NET ASSETS

    100.0 %   $ 56,093,544  

 

 

The accompanying notes are an integral part of these financial statements.

 

30

 

 

 

US Treasury 10 Year Note ETF

Schedule of Investments

August 31, 2023

 

 

 

Coupon

   

Maturity
Date

   

Par (000’s)

   

Value

 
                                 

U.S. GOVERNMENT NOTES/BONDS — 99.5%

                               

U.S. TREASURY OBLIGATIONS — 99.5%

                               

United States Treasury Note/Bond

    3.875 %     8/15/2033     $ 56,826     $ 55,813,787  

TOTAL U.S. TREASURY OBLIGATIONS (COST $55,409,094)

                            55,813,787  

 

 

 

Number of
shares
(0
00’s)

   

 

 
                 

SHORT-TERM INVESTMENTS — 0.0%

               

MONEY MARKET DEPOSIT ACCOUNTS — 0.0%

               

U.S. Bank Money Market Deposit Account, 5.20% (a)

    5       4,833  

TOTAL MONEY MARKET DEPOSIT ACCOUNTS (COST $4,833)

            4,833  

TOTAL SHORT-TERM INVESTMENTS (COST $4,833)

            4,833  

TOTAL INVESTMENTS (COST $55,413,927) — 99.5%

            55,818,620  

OTHER ASSETS IN EXCESS OF LIABILITIES — 0.5%

            274,924  

TOTAL NET ASSETS — 100.0%

          $ 56,093,544  

 

(a)

The rate shown is as of August 31, 2023.

 

The accompanying notes are an integral part of these financial statements.

 

 

31

 

 

US TREASURY 20 YEAR BOND ETF

PORTFOLIO HOLDINGS SUMMARY TABLE

August 31, 2023

 

SECURITY TYPE/CLASSIFICATION

 

% OF NET
ASSETS

   

VALUE

 
                 

U.S. GOVERNMENT NOTES/BONDS

               

U.S. Treasury Obligations

    99.5 %   $ 1,865,032  

SHORT-TERM INVESTMENTS

               

Money Market Deposit Accounts

    0.3       5,867  

OTHER ASSETS IN EXCESS OF LIABILITIES

    0.2       3,545  

NET ASSETS

    100.0 %   $ 1,874,444  

 

 

The accompanying notes are an integral part of these financial statements.

 

32

 

 

 

US Treasury 20 Year Bond ETF

Schedule of Investments

August 31, 2023

 

 

 

Coupon

   

Maturity
Date

   

Par (000’s)

   

Value

 
                                 

U.S. GOVERNMENT NOTES/BONDS — 99.5%

                               

U.S. TREASURY OBLIGATIONS — 99.5%

                               

United States Treasury Note/Bond

    4.375 %     8/15/2043     $ 1,870     $ 1,865,032  

TOTAL U.S. TREASURY OBLIGATIONS (COST $1,859,189)

                            1,865,032  

 

 

 

Number of
shares
(0
00’s)

   

 

 
                 

SHORT-TERM INVESTMENTS — 0.3%

               

MONEY MARKET DEPOSIT ACCOUNTS — 0.3%

               

U.S. Bank Money Market Deposit Account, 5.20% (a)

    6       5,867  

TOTAL MONEY MARKET DEPOSIT ACCOUNTS (COST $5,867)

            5,867  

TOTAL SHORT-TERM INVESTMENTS (COST $5,867)

            5,867  

TOTAL INVESTMENTS (COST $1,865,056) — 99.8%

            1,870,899  

OTHER ASSETS IN EXCESS OF LIABILITIES — 0.2%

            3,545  

TOTAL NET ASSETS — 100.0%

          $ 1,874,444  

 

(a)

The rate shown is as of August 31, 2023.

 

The accompanying notes are an integral part of these financial statements.

 

 

33

 

 

US Treasury 30 Year BONd ETF

PORTFOLIO HOLDINGS SUMMARY TABLE

August 31, 2023

 

SECURITY TYPE/CLASSIFICATION

 

% OF NET
ASSETS

   

VALUE

 
                 

U.S. GOVERNMENT NOTES/BONDS

               

U.S. Treasury Obligations

    99.8 %   $ 2,776,187  

SHORT-TERM INVESTMENTS

               

Money Market Deposit Accounts

    0.0       865  

OTHER ASSETS IN EXCESS OF LIABILITIES

    0.2       5,015  

NET ASSETS

    100.0 %   $ 2,782,067  

 

 

The accompanying notes are an integral part of these financial statements.

 

34

 

 

 

US Treasury 30 Year Bond ETF

Schedule of Investments

August 31, 2023

 

 

 

Coupon

   

Maturity
Date

   

Par (000’s)

   

Value

 
                                 

U.S. GOVERNMENT NOTES/BONDS — 99.8%

                               

U.S. TREASURY OBLIGATIONS — 99.8%

                               

United States Treasury Note/Bond

    4.125 %     8/15/2053     $ 2,814     $ 2,776,187  

TOTAL U.S. TREASURY OBLIGATIONS (COST $2,737,494)

                            2,776,187  

 

 

 

Number of
shares
(0
00’s)

   

 

 
                 

SHORT-TERM INVESTMENTS — 0.0%

               

MONEY MARKET DEPOSIT ACCOUNTS — 0.0%

               

U.S. Bank Money Market Deposit Account, 5.20% (a)

    1       865  

TOTAL MONEY MARKET DEPOSIT ACCOUNTS (COST $865)

            865  

TOTAL SHORT-TERM INVESTMENTS (COST $865)

            865  

TOTAL INVESTMENTS (COST $2,738,359) — 99.8%

            2,777,052  

OTHER ASSETS IN EXCESS OF LIABILITIES — 0.2%

            5,015  

TOTAL NET ASSETS — 100.0%

          $ 2,782,067  

 

(a)

The rate shown is as of August 31, 2023.

 

The accompanying notes are an integral part of these financial statements.

 

 

35

 

 

US Benchmark Series

Statements of Assets and Liabilities

August 31, 2023

 

 

 

US Treasury
3 Month
Bill ETF

   

US Treasury
6 Month
Bill ETF

   

US Treasury
12 Month
Bill ETF

   

US Treasury
2 Year
Note ETF

 

ASSETS

                               

Investments in securities of unaffiliated issuers, at value (cost $—, $—, $—, and $303,915,683, respectively)

  $     $     $     $ 304,129,778  

Short-term investments, at value (cost $1,776,763,356, $311,325,736, $126,361,430, and $1,209,523, respectively)

    1,776,753,475       311,346,030       126,296,721       1,209,523  

Receivables for:

                               

Capital shares sold

    25,529,937       3,509,219              

Interest

    3,780       653       149       42,399  

Investments sold

          548              

Total assets

    1,802,287,192       314,856,450       126,296,870       305,381,700  
                                 

LIABILITIES

                               

Payables for:

                               

Investments purchased

    25,513,576       3,504,477              

Advisory fees

    190,307       33,563       14,977       39,425  

Total liabilities

    25,703,883       3,538,040       14,977       39,425  

Net assets

  $ 1,776,583,309     $ 311,318,410     $ 126,281,893     $ 305,342,275  
                                 

NET ASSETS CONSIST OF:

                               

Par value

  $ 35,490     $ 6,210     $ 2,530     $ 6,340  

Paid-in capital

    1,772,582,770       310,825,755       126,962,031       315,047,234  

Total distributable earnings/(losses)

    3,965,049       486,445       (682,668 )     (9,711,299 )

Net assets

  $ 1,776,583,309     $ 311,318,410     $ 126,281,893     $ 305,342,275  
                                 

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

    35,490,000       6,210,000       2,530,000       6,340,000  

Net asset value and redemption price per share

  $ 50.06     $ 50.13     $ 49.91     $ 48.16  

 

 

The accompanying notes are an integral part of these financial statements.

 

36

 

 

 

US Benchmark Series

Statements of Assets and Liabilities (CONTINUED)

August 31, 2023

 

 

 

US Treasury
3 Year
Note ETF

   

US Treasury
5 Year
Note ETF

   

US Treasury
7 Year
Note ETF

   

US Treasury
10 Year
Note ETF

 

ASSETS

                               

Investments in securities of unaffiliated issuers, at value (cost $1,463,106, $4,349,611, $957,508, and $55,409,094, respectively)

  $ 1,467,321     $ 4,356,725     $ 958,938     $ 55,813,787  

Short-term investments, at value (cost $448, $15,079, $3,888 and $4,833, respectively)

    448       15,079       3,888       4,833  

Receivables for:

                               

Capital shares sold

                      3,116,295  

Interest

    2,982       529       111       101,792  

Investments sold

                      487  

Total assets

    1,470,751       4,372,333       962,937       59,037,194  
                                 

LIABILITIES

                               

Payables for:

                               

Investments purchased

                      2,937,467  

Advisory fees

    187       471       122       6,183  

Total liabilities

    187       471       122       2,943,650  

Net assets

  $ 1,470,564     $ 4,371,862     $ 962,815     $ 56,093,544  
                                 

NET ASSETS CONSIST OF:

                               

Par value

  $ 30     $ 90     $ 20     $ 1,260  

Paid-in capital

    1,509,260       4,431,201       1,017,259       58,482,487  

Total distributable earnings/(losses)

    (38,726 )     (59,429 )     (54,464 )     (2,390,203 )

Net assets

  $ 1,470,564     $ 4,371,862     $ 962,815     $ 56,093,544  
                                 

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

    30,000       90,000       20,000       1,260,000  

Net asset value and redemption price per share

  $ 49.02     $ 48.58     $ 48.14     $ 44.52  

 

 

The accompanying notes are an integral part of these financial statements.

 

 

37

 

 

US Benchmark Series

Statements of Assets and Liabilities (CONTINUED)

August 31, 2023

 

 

 

US Treasury
20 Year
BOND ETF

   

US Treasury
30 Year
BOND ETF

 

ASSETS

               

Investments in securities of unaffiliated issuers, at value (cost $1,859,189 and $2,737,494, respectively)

  $ 1,865,032     $ 2,776,187  

Short-term investments, at value (cost $5,867 and $865, respectively)

    5,867       865  

Receivables for:

               

Capital shares sold

           

Interest

    3,782       5,365  

Investments sold

           

Total assets

    1,874,681       2,782,417  
                 

LIABILITIES

               

Payables for:

               

Investments purchased

           

Advisory fees

    237       350  

Total liabilities

    237       350  

Net assets

  $ 1,874,444     $ 2,782,067  
                 

NET ASSETS CONSIST OF:

               

Par value

  $ 40     $ 60  

Paid-in capital

    1,973,726       2,978,640  

Total distributable earnings/(losses)

    (99,322 )     (196,633 )

Net assets

  $ 1,874,444     $ 2,782,067  
                 

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

    40,000       60,000  

Net asset value and redemption price per share

  $ 46.86     $ 46.37  

 

 

The accompanying notes are an integral part of these financial statements.

 

38

 

 

 

US Benchmark Series

Statements of Operations

FOR THE YEAR OR Period ENDED August 31, 2023

 

 

 

US Treasury
3 Month
Bill ETF

   

US Treasury
6 Month
Bill ETF
(1)

   

US Treasury
12 Month
Bill ETF
(2)

   

US Treasury
2 Year
Note ETF

 

INVESTMENT INCOME

                               

Interest income

  $ 28,983,041     $ 3,565,286     $ 2,638,783     $ 10,339,031  

Total investment income

    28,983,041       3,565,286       2,638,783       10,339,031  
                                 

EXPENSES

                               

Advisory fees (Note 3)

    847,161       98,933       77,978       360,437  

Total expenses

    847,161       98,933       77,978       360,437  

Net investment income/(loss)

    28,135,880       3,466,353       2,560,805       9,978,594  
                                 

NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS

                               

Net realized gain/(loss) from investments

    (636,764 )     (281,210 )     (972,406 )     (11,021,770 )

Net realized gain from redemption in-kind

    443,251       8,113       412,943       4,672,205  

Net change in unrealized appreciation/(depreciation) on investments

    (10,665 )     20,294       (64,709 )     219,991  

Net realized and unrealized gain/(loss)

    (204,178 )     (252,803 )     (624,172 )     (6,129,574 )

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $ 27,931,702     $ 3,213,550     $ 1,936,633     $ 3,849,020  

 

(1)

Inception date of the Fund was March 6, 2023.

 

(2)

Inception date of the Fund was November 14, 2022.

 

The accompanying notes are an integral part of these financial statements.

 

 

39

 

 

US Benchmark Series

Statements of Operations (CONTINUED)

FOR THE YEAR OR Period ENDED August 31, 2023

 

 

 

US Treasury
3 Year
Note ETF
(1)

   

US Treasury
5 Year
Note ETF
(1)

   

US Treasury
7 Year
Note ETF
(1)

   

US Treasury
10 Year
Note ETF

 

INVESTMENT INCOME

                               

Interest income

  $ 24,778     $ 29,686     $ 15,680     $ 787,169  

Total investment income

    24,778       29,686       15,680       787,169  
                                 

EXPENSES

                               

Advisory fees (Note 3)

    927       1,137       635       33,236  

Total expenses

    927       1,137       635       33,236  

Net investment income/(loss)

    23,851       28,549       15,045       753,933  
                                 

NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS

                               

Net realized gain/(loss) from investments

    (47,163 )     (75,589 )     (59,397 )     (2,775,350 )

Net realized gain/(loss) from redemption in-kind

    8,155       11,194       12,227       (932,705 )

Net change in unrealized appreciation on investments

    4,215       7,114       1,429       906,748  

Net realized and unrealized gain/(loss)

    (34,793 )     (57,281 )     (45,741 )     (2,801,307 )

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $ (10,942 )   $ (28,732 )   $ (30,696 )   $ (2,047,374 )

 

(1)

Inception date of the Fund was March 27, 2023.

 

The accompanying notes are an integral part of these financial statements.

 

40

 

 

 

US Benchmark Series

Statements of Operations (CONTINUED)

FOR THE Period ENDED August 31, 2023

 

 

 

US Treasury
20 Year
Bond ETF
(1)

   

US Treasury
30 Year
Bond ETF
(1)

 

INVESTMENT INCOME

               

Interest income

  $ 21,467     $ 37,226  

Total investment income

    21,467       37,226  
                 

EXPENSES

               

Advisory fees (Note 3)

    801       1,443  

Total expenses

    801       1,443  

Net investment income/(loss)

    20,666       35,783  
                 

NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS

               

Net realized gain/(loss) from investments

    (110,655 )     (241,154 )

Net realized gain from redemption in-kind

           

Net change in unrealized appreciation on investments

    5,844       38,693  

Net realized and unrealized gain/(loss)

    (104,811 )     (202,461 )

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $ (84,145 )   $ (166,678 )

 

(1)

Inception date of the Fund was March 27, 2023.

 

The accompanying notes are an integral part of these financial statements.

 

 

41

 

 

US Treasury 3 Month Bill ETF

Statements of Changes in Net Assets

 

 

 

For the
YEAR Ended
August 31,
2023

   

FOR THE
Period ENDED
AUGUST 31,
2022
(1)

 

INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

               

Net investment income/(loss)

  $ 28,135,880     $ 54,238  

Net realized gain/(loss) from investments

    (193,513 )     (19,200 )

Net change in unrealized appreciation/(depreciation) on investments

    (10,665 )     784  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

    27,931,702       35,822  
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

               

Total distributable earnings

    (23,559,224 )      

Net decrease in net assets from dividends and distributions to shareholders

    (23,559,224 )      
                 

CAPITAL SHARE TRANSACTIONS:

               

Proceeds from shares sold

    2,413,134,681       38,808,130  

Shares redeemed

    (679,767,752 )     (50 )

Net increase/(decrease) in net assets from capital share transactions

    1,733,366,929       38,808,080  

TOTAL INCREASE/(DECREASE) IN NET ASSETS

    1,737,739,407       38,843,902  
                 

NET ASSETS:

               

Beginning of period

  $ 38,843,902     $  

End of period

  $ 1,776,583,309     $ 38,843,902  
                 

SHARE TRANSACTIONS:

               

Shares sold

    48,300,000       780,001  

Shares redeemed

    (13,590,000 )     (1 )

Net increase/(decrease) in shares

    34,710,000       780,000  

 

(1)

Inception date of the Fund was August 8, 2022.

 

The accompanying notes are an integral part of these financial statements.

 

42

 

 

 

US Treasury 6 Month Bill ETF

Statement of Changes in Net Assets

 

 

 

FOR THE
PERIOD ENDED
AUGUST 31,
2023
(1)

 

INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

       

Net investment income/(loss)

  $ 3,466,353  

Net realized gain/(loss) from investments

    (273,097 )

Net change in unrealized appreciation/(depreciation) on investments

    20,294  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

    3,213,550  
         

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

       

Total distributable earnings

    (2,720,580 )

Net decrease in net assets from dividends and distributions to shareholders

    (2,720,580 )
         

CAPITAL SHARE TRANSACTIONS:

       

Proceeds from shares sold

    353,006,880  

Shares redeemed

    (42,181,440 )

Net increase/(decrease) in net assets from capital share transactions

    310,825,440  

TOTAL INCREASE/(DECREASE) IN NET ASSETS

    311,318,410  
         

NET ASSETS:

       

Beginning of period

  $  

End of period

  $ 311,318,410  
         

SHARE TRANSACTIONS:

       

Shares sold

    7,050,000  

Shares redeemed

    (840,000 )

Net increase/(decrease) in shares

    6,210,000  

 

(1)

Inception date of the Fund was March 6, 2023.

 

The accompanying notes are an integral part of these financial statements.

 

 

43

 

 

US Treasury 12 Month Bill ETF

Statement of Changes in Net Assets

 

 

 

For the
Period Ended
August 31,
2023
(1)

 

INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

       

Net investment income/(loss)

  $ 2,560,805  

Net realized gain/(loss) from investments

    (559,463 )

Net change in unrealized appreciation/(depreciation) on investments

    (64,709 )

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

    1,936,633  
         

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

       

Total distributable earnings

    (2,206,389 )

Net decrease in net assets from dividends and distributions to shareholders

    (2,206,389 )
         

CAPITAL SHARE TRANSACTIONS:

       

Proceeds from shares sold

    208,609,456  

Shares redeemed

    (82,057,807 )

Net increase/(decrease) in net assets from capital share transactions

    126,551,649  

TOTAL INCREASE/(DECREASE) IN NET ASSETS

    126,281,893  
         

NET ASSETS:

       

Beginning of period

  $  

End of period

  $ 126,281,893  
         

SHARE TRANSACTIONS:

       

Shares sold

    4,160,000  

Shares redeemed

    (1,630,000 )

Net increase/(decrease) in shares

    2,530,000.00  

 

(1)

Inception date of the Fund was November 14, 2022.

 

The accompanying notes are an integral part of these financial statements.

 

44

 

 

 

US Treasury 2 Year Note ETF

Statements of Changes in Net Assets

 

 

 

For the
YEAR Ended
August 31,
2023

   

FOR THE
Period ENDED
AUGUST 31,
2022
(1)

 

INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

               

Net investment income/(loss)

  $ 9,978,594     $ 17,647  

Net realized gain/(loss) from investments

    (6,349,565 )     (41,291 )

Net change in unrealized appreciation/(depreciation) on investments

    219,991       (5,896 )

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

    3,849,020       (29,540 )
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

               

Total distributable earnings

    (9,134,861 )      

Net decrease in net assets from dividends and distributions to shareholders

    (9,134,861 )      
                 

CAPITAL SHARE TRANSACTIONS:

               

Proceeds from shares sold

    949,817,059       17,936,161  

Shares redeemed

    (657,095,514 )     (50 )

Net increase/(decrease) in net assets from capital share transactions

    292,721,545       17,936,111  

TOTAL INCREASE/(DECREASE) IN NET ASSETS

    287,435,704       17,906,571  
                 

NET ASSETS:

               

Beginning of period

  $ 17,906,571     $  

End of period

  $ 305,342,275     $ 17,906,571  
                 

SHARE TRANSACTIONS:

               

Shares sold

    19,390,000       360,001  

Shares redeemed

    (13,410,000 )     (1 )

Net increase/(decrease) in shares

    5,980,000       360,000  

 

(1)

Inception date of the Fund was August 8, 2022.

 

The accompanying notes are an integral part of these financial statements.

 

 

45

 

 

US Treasury 3 Year Note ETF

Statement of Changes in Net Assets

 

 

 

For the
Period Ended
August 31,
2023
(1)

 

INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

       

Net investment income/(loss)

  $ 23,851  

Net realized gain/(loss) from investments

    (39,008 )

Net change in unrealized appreciation/(depreciation) on investments

    4,215  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

    (10,942 )
         

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

       

Total distributable earnings

    (19,629 )

Net decrease in net assets from dividends and distributions to shareholders

    (19,629 )
         

CAPITAL SHARE TRANSACTIONS:

       

Proceeds from shares sold

    3,006,457  

Shares redeemed

    (1,505,322 )

Net increase/(decrease) in net assets from capital share transactions

    1,501,135  

TOTAL INCREASE/(DECREASE) IN NET ASSETS

    1,470,564  
         

NET ASSETS:

       

Beginning of period

  $  

End of period

  $ 1,470,564  
         

SHARE TRANSACTIONS:

       

Shares sold

    60,000  

Shares redeemed

    (30,000 )

Net increase/(decrease) in shares

    30,000  

 

(1)

Inception date of the Fund was March 27, 2023.

 

The accompanying notes are an integral part of these financial statements.

 

46

 

 

 

US Treasury 5 Year Note ETF

Statement of Changes in Net Assets

 

 

 

For the
Period Ended
August 31,
2023
(1)

 

INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

       

Net investment income/(loss)

  $ 28,549  

Net realized gain/(loss) from investments

    (64,395 )

Net change in unrealized appreciation/(depreciation) on investments

    7,114  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

    (28,732 )
         

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

       

Total distributable earnings

    (19,503 )

Net decrease in net assets from dividends and distributions to shareholders

    (19,503 )
         

CAPITAL SHARE TRANSACTIONS:

       

Proceeds from shares sold

    5,428,657  

Shares redeemed

    (1,008,560 )

Net increase/(decrease) in net assets from capital share transactions

    4,420,097  

TOTAL INCREASE/(DECREASE) IN NET ASSETS

    4,371,862  
         

NET ASSETS:

       

Beginning of period

  $  

End of period

  $ 4,371,862  
         

SHARE TRANSACTIONS:

       

Shares sold

    110,000  

Shares redeemed

    (20,000 )

Net increase/(decrease) in shares

    90,000  

 

(1)

Inception date of the Fund was March 27, 2023.

 

The accompanying notes are an integral part of these financial statements.

 

 

47

 

 

US Treasury 7 Year Note ETF

Statement of Changes in Net Assets

 

 

 

For the
Period Ended
August 31,
2023
(1)

 

INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

       

Net investment income/(loss)

  $ 15,045  

Net realized gain/(loss) from investments

    (47,170 )

Net change in unrealized appreciation/(depreciation) on investments

    1,429  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

    (30,696 )
         

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

       

Total distributable earnings

    (11,541 )

Net decrease in net assets from dividends and distributions to shareholders

    (11,541 )
         

CAPITAL SHARE TRANSACTIONS:

       

Proceeds from shares sold

    2,014,762  

Shares redeemed

    (1,009,710 )

Net increase/(decrease) in net assets from capital share transactions

    1,005,052  

TOTAL INCREASE/(DECREASE) IN NET ASSETS

    962,815  
         

NET ASSETS:

       

Beginning of period

  $  

End of period

  $ 962,815  
         

SHARE TRANSACTIONS:

       

Shares sold

    40,000  

Shares redeemed

    (20,000 )

Net increase/(decrease) in shares

    20,000  

 

(1)

Inception date of the Fund was March 27, 2023.

 

The accompanying notes are an integral part of these financial statements.

 

48

 

 

 

US Treasury 10 Year Note ETF

Statements of Changes in Net Assets

 

 

 

For the
YEAR Ended
August 31,
2023

   

FOR THE
Period ENDED
AUGUST 31,
2022
(1)

 

INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

               

Net investment income/(loss)

  $ 753,933     $ 33,043  

Net realized gain/(loss) from investments

    (3,708,055 )     (137,849 )

Net change in unrealized appreciation/(depreciation) on investments

    906,748       (502,055 )

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

    (2,047,374 )     (606,861 )
                 

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

               

Total distributable earnings

    (679,725 )      

Net decrease in net assets from dividends and distributions to shareholders

    (679,725 )      
                 

CAPITAL SHARE TRANSACTIONS:

               

Proceeds from shares sold

    82,290,461       20,940,800  

Shares redeemed

    (43,803,707 )     (50 )

Net increase/(decrease) in net assets from capital share transactions

    38,486,754       20,940,750  

TOTAL INCREASE/(DECREASE) IN NET ASSETS

    35,759,655       20,333,889  
                 

NET ASSETS:

               

Beginning of period

  $ 20,333,889     $  

End of period

  $ 56,093,544     $ 20,333,889  
                 

SHARE TRANSACTIONS:

               

Shares sold

    1,790,000       420,001  

Shares redeemed

    (950,000 )     (1 )

Net increase/(decrease) in shares

    840,000       420,000  

 

(1)

Inception date of the Fund was August 8, 2022.

 

The accompanying notes are an integral part of these financial statements.

 

 

49

 

 

US Treasury 20 Year Bond ETF

Statement of Changes in Net Assets

 

 

 

For the
Period Ended
August 31,
2023
(1)

 

INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

       

Net investment income/(loss)

  $ 20,666  

Net realized gain/(loss) from investments

    (110,655 )

Net change in unrealized appreciation/(depreciation) on investments

    5,844  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

    (84,145 )
         

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

       

Total distributable earnings

    (15,177 )

Net decrease in net assets from dividends and distributions to shareholders

    (15,177 )
         

CAPITAL SHARE TRANSACTIONS:

       

Proceeds from shares sold

    1,973,766  

Shares redeemed

     

Net increase/(decrease) in net assets from capital share transactions

    1,973,766  

TOTAL INCREASE/(DECREASE) IN NET ASSETS

    1,874,444  
         

NET ASSETS:

       

Beginning of period

  $  

End of period

  $ 1,874,444  
         

SHARE TRANSACTIONS:

       

Shares sold

    40,000  

Shares redeemed

     

Net increase/(decrease) in shares

    40,000  

 

(1)

Inception date of the Fund was March 27, 2023.

 

The accompanying notes are an integral part of these financial statements.

 

50

 

 

 

US Treasury 30 Year Bond ETF

Statement of Changes in Net Assets

 

 

 

For the
Period Ended
August 31,
2023
(1)

 

INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

       

Net investment income/(loss)

  $ 35,783  

Net realized gain/(loss) from investments

    (241,154 )

Net change in unrealized appreciation/(depreciation) on investments

    38,693  

NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

    (166,678 )
         

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:

       

Total distributable earnings

    (29,955 )

Net decrease in net assets from dividends and distributions to shareholders

    (29,955 )
         

CAPITAL SHARE TRANSACTIONS:

       

Proceeds from shares sold

    2,978,700  

Shares redeemed

     

Net increase/(decrease) in net assets from capital share transactions

    2,978,700  

TOTAL INCREASE/(DECREASE) IN NET ASSETS

    2,782,067  
         

NET ASSETS:

       

Beginning of period

  $  

End of period

  $ 2,782,067  
         

SHARE TRANSACTIONS:

       

Shares sold

    60,000  

Shares redeemed

     

Net increase/(decrease) in shares

    60,000  

 

(1)

Inception date of the Fund was March 27, 2023.

 

The accompanying notes are an integral part of these financial statements.

 

 

51

 

 

US Treasury 3 Month Bill ETF

Financial Highlights

 

Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

 

FOR THE
YEAR
ENDED
AUGUST 31,

   

FOR THE
PERIOD
ENDED
AUGUST 31,

 

 

 

2023

   

2022(1)

 

PER SHARE OPERATING PERFORMANCE

               

Net asset value, beginning of period

  $ 49.80     $ 49.75  

Net investment income/(loss)(2)

    2.49       0.09  

Net realized and unrealized gain/(loss) from investments

    (0.29 )     (0.04 )

Net increase/(decrease) in net assets resulting from operations

    2.20       0.05  

Dividends and distributions to shareholders from:

               

Net investment income

    (1.94 )      

Total dividends and distributions to shareholders

    (1.94 )      

Net asset value, end of period

  $ 50.06     $ 49.80  

Market value, end of period

  $ 50.10     $ 49.81  

Total investment return/(loss) on net asset value(3)

    4.50 %     0.10 %(5)

Total investment return/(loss) on market price(4)

    4.56 %     0.12 %(5)

RATIOS/SUPPLEMENTAL DATA

               

Net assets, end of period (000’s omitted)

  $ 1,776,583     $ 38,844  

Ratio of expenses to average net assets

    0.15 %     0.15 %(6)

Ratio of net investment income/(loss) to average net assets

    4.98 %     2.61 %(6)

Portfolio turnover rate

    0 %     0 %(5)

 

(1)

Inception date of the Fund was August 8, 2022.

 

(2)

Per share data calculated using average shares outstanding method.

 

(3)

Total investment return/(loss) on net asset value is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

 

(4)

Total investment return/(loss) on market price is calculated assuming an initial investment made at the market price on the first day of the period, reinvestment of dividends and distributions at market price during the period and redemption at market price on the last day of the period.

 

(5)

Not annualized.

 

(6)

Annualized.

 

The accompanying notes are an integral part of these financial statements.

 

52

 

 

 

US Treasury 6 Month Bill ETF

Financial Highlights

 

Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the period. This information has been derived from information provided in the financial statements.

 

 

 

FOR THE
PERIOD
ENDED
AUGUST 31,

 

 

 

2023(1)

 

PER SHARE OPERATING PERFORMANCE

       

Net asset value, beginning of period

  $ 50.00  

Net investment income/(loss)(2)

    1.28  

Net realized and unrealized gain/(loss) from investments

    (0.12 )

Net increase/(decrease) in net assets resulting from operations

    1.16  

Dividends and distributions to shareholders from:

       

Net investment income

    (1.03 )

Total dividends and distributions to shareholders

    (1.03 )

Net asset value, end of period

  $ 50.13  

Market value, end of period

  $ 50.17  

Total investment return/(loss) on net asset value(3)

    2.35 %(5)

Total investment return/(loss) on market price(4)

    2.42 %(5)

RATIOS/SUPPLEMENTAL DATA

       

Net assets, end of period (000’s omitted)

  $ 311,318  

Ratio of expenses to average net assets

    0.15 %(6)

Ratio of net investment income/(loss) to average net assets

    5.26 %(6)

Portfolio turnover rate

    0 %(5)

 

(1)

Inception date of the Fund was March 6, 2023.

 

(2)

Per share data calculated using average shares outstanding method.

 

(3)

Total investment return/(loss) on net asset value is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

 

(4)

Total investment return/(loss) on market price is calculated assuming an initial investment made at the market price on the first day of the period, reinvestment of dividends and distributions at market price during the period and redemption at market price on the last day of the period.

 

(5)

Not annualized.

 

(6)

Annualized.

 

The accompanying notes are an integral part of these financial statements.

 

 

53

 

 

US Treasury 12 Month Bill ETF

Financial Highlights

 

Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the period. This information has been derived from information provided in the financial statements.

 

 

 

FOR THE
Period
ENDED
AUGUST 31,

 

 

 

2023(1)

 

PER SHARE OPERATING PERFORMANCE

       

Net asset value, beginning of period

  $ 50.07  

Net investment income/(loss)(2)

    1.96  

Net realized and unrealized gain/(loss) from investments

    (0.48 )

Net increase/(decrease) in net assets resulting from operations

    1.48  

Dividends and distributions to shareholders from:

       

Net investment income

    (1.64 )

Total dividends and distributions to shareholders

    (1.64 )

Net asset value, end of period

  $ 49.91  

Market value, end of period

  $ 49.94  

Total investment return/(loss) on net asset value(3)

    3.01 %(5)

Total investment return/(loss) on market price(4)

    3.08 %(5)

RATIOS/SUPPLEMENTAL DATA

       

Net assets, end of period (000’s omitted)

  $ 126,282  

Ratio of expenses to average net assets

    0.15 %(6)

Ratio of net investment income/(loss) to average net assets

    4.93 %(6)

Portfolio turnover rate

    0 %(5)

 

(1)

Inception date of the Fund was November 14, 2022.

 

(2)

Per share data calculated using average shares outstanding method.

 

(3)

Total investment return/(loss) on net asset value is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

 

(4)

Total investment return/(loss) on market price is calculated assuming an initial investment made at the market price on the first day of the period, reinvestment of dividends and distributions at market price during the period and redemption at market price on the last day of the period.

 

(5)

Not annualized.

 

(6)

Annualized.

 

The accompanying notes are an integral part of these financial statements.

 

54

 

 

 

US Treasury 2 Year Note ETF

Financial Highlights

 

Contained below is per share operating performance data for shares outstanding, total investment return/(loss), ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

 

FOR THE
YEAR
ENDED
AUGUST 31,

   

FOR THE
PERIOD
ENDED
AUGUST 31,

 

 

 

2023

   

2022(1)

 

PER SHARE OPERATING PERFORMANCE

               

Net asset value, beginning of period

  $ 49.74     $ 49.84  

Net investment income/(loss)(2)

    2.02       0.11  

Net realized and unrealized gain/(loss) from investments

    (1.84 )     (0.21 )

Net increase/(decrease) in net assets resulting from operations

    0.18       (0.10 )

Dividends and distributions to shareholders from:

               

Net investment income

    (1.76 )      

Total dividends and distributions to shareholders

    (1.76 )      

Net asset value, end of period

  $ 48.16     $ 49.74  

Market value, end of period

  $ 48.19     $ 49.74  

Total investment return/(loss) on net asset value(3)

    0.38 %     (0.20 )%(5)

Total investment return/(loss) on market price(4)

    0.44 %     (0.20 )%(5)

RATIOS/SUPPLEMENTAL DATA

               

Net assets, end of period (000’s omitted)

  $ 305,342     $ 17,907  

Ratio of expenses to average net assets

    0.15 %     0.15 %(6)

Ratio of net investment income/(loss) to average net assets

    4.15 %     3.54 %(6)

Portfolio turnover rate

    1,048 %     100 %(5)

 

(1)

Inception date of the Fund was August 8, 2022.

 

(2)

Per share data calculated using average shares outstanding method.

 

(3)

Total investment return/(loss) on net asset value is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

 

(4)

Total investment return/(loss) on market price is calculated assuming an initial inv