USFR

About USFR

The Fund employs a “passive management” – or indexing– investment approach designed to track the performance of the Bloomberg U.S. Treasury Floating Rate Bond Index (the “Index”).The Fund generally uses a representative sampling strategy to achieve its investment objective, meaning it generally will invest in asample of the securities in the Index whose risk, return and other characteristics resemble the risk, return and other characteristicsof the Index as a whole. Under normal circumstances, at least 80% of the Fund’s total assets (exclusive of collateral held fromsecurities lending) will be invested in the constituent securities of the Index and investments that have economic characteristics thatare substantially identical to the economic characteristics of such constituent securities. Bloomberg Index Services Limited, the Index Provider, designed theIndex to measure the performance of floating rate public obligations of the U.S. Treasury (“Floating Rate Notes” or“FRNs”). Unlike fixed-rate U.S. Treasury bonds, FRNs have interest rates that adjust periodically. FRN interest ratesmay be higher or lower than the interest rates of fixed-rate bonds of comparable quality with similar maturities. The FRN interestrate is the sum of an index (or coupon) rate and a spread. The FRN index rate is based on the highest accepted discount rate of themost recent 13-week T-bill and is reset daily based on a weekly rate according to the result of the most recent 13-week T-billauction. The spread applied to an FRN is determined at its initial auction and is the highest accepted discount margin in thatauction. The spread remains the same for the life of an FRN. Because FRN index rates reset daily based on a weekly rate, the valueof an FRN generally fluctuates much less than that of a fixed-rate bond in response to market interest rate movements. FRN values,however, will decline if their index rates do not rise as much, or as quickly, as interest rates in general. The Index is rules-based and market capitalization weighted and comprisedof FRNs that have a minimum amount outstanding of one billion as of the monthly rebalancing date, which falls on the last business dayof each month. FRNs eligible for inclusion in the Index must have an issue date on or before the Index rebalancing date. The Index excludesfixed-rate securities, Treasury inflation-protected securities, convertible bonds and bonds with survivor put options. Both the FRNs andthe FRNs’ coupon and principal payments must be denominated in U.S. dollars. FRNs pay interest rates quarterly until maturity.