Principal Amount† | | | | Value | | | Percentage of Net Assets | |
COLLATERALIZED MORTGAGE OBLIGATIONS: 54.2% | | | | | | | | |
1,729,948 | | Fannie Mae 2004-28 PZ, 6.000%, 05/25/2034 | | $ | 2,339,102 | | | | 0.1 | |
2,620,587 | | Fannie Mae 2004-88 ZC, 6.500%, 12/25/2034 | | | 3,256,905 | | | | 0.2 | |
7,108,822 | | Fannie Mae 2005-17 B, 6.500%, (US0001M + 6.500%), 03/25/2035 | | | 9,061,924 | | | | 0.5 | |
2,084,545 | | Fannie Mae 2005-43 PZ, 6.000%, 05/25/2035 | | | 2,478,092 | | | | 0.1 | |
1,116,154 | | Fannie Mae 2007-60 ZB, 4.750%, 05/25/2037 | | | 1,220,309 | | | | 0.1 | |
3,613,841 (1) | | Fannie Mae 2010-150 PS, 6.452%, (-1.000*US0001M + 6.600%), 12/25/2039 | | | 218,790 | | | | 0.0 | |
4,869,968 (1) | | Fannie Mae 2010-95 SB, 6.452%, (-1.000*US0001M + 6.600%), 09/25/2040 | | | 857,435 | | | | 0.1 | |
5,092,200 | | Fannie Mae 2011-99 CZ, 4.500%, 10/25/2041 | | | 6,092,045 | | | | 0.4 | |
7,386,502 (1) | | Fannie Mae 2012-148 HI, 3.500%, 05/25/2042 | | | 808,271 | | | | 0.0 | |
21,063,286 (1) | | Fannie Mae 2012-148 IM, 3.000%, 01/25/2028 | | | 1,404,586 | | | | 0.1 | |
221,253 (2) | | Fannie Mae REMIC Trust 2002-W1 3A, 3.669%, 04/25/2042 | | | 231,712 | | | | 0.0 | |
1,051,123 (2) | | Fannie Mae REMIC Trust 2002-W6 3A, 4.161%, 01/25/2042 | | | 1,105,292 | | | | 0.1 | |
1,242,633 | | Fannie Mae REMIC Trust 2003-16 CX, 6.500%, 03/25/2033 | | | 1,468,758 | | | | 0.1 | |
2,884,440 | | Fannie Mae REMIC Trust 2003-34 LN, 5.000%, 05/25/2033 | | | 3,174,433 | | | | 0.2 | |
108,370 | | Fannie Mae REMIC Trust 2004-61 SH, 23.396%, (-3.998*US0001M + 23.988%), 11/25/2032 | | | 171,973 | | | | 0.0 | |
3,249,528 (2) | | Fannie Mae REMIC Trust 2004-W11 2A, 3.860%, 03/25/2043 | | | 3,283,197 | | | | 0.2 | |
3,166,895 | | Fannie Mae REMIC Trust 2004-W3 A8, 5.500%, 05/25/2034 | | | 3,499,065 | | | | 0.2 | |
628,222 (1) | | Fannie Mae REMIC Trust 2005-17 ES, 6.602%, (-1.000*US0001M + 6.750%), 03/25/2035 | | | 84,360 | | | | 0.0 | |
580,486 | | Fannie Mae REMIC Trust 2005-59 NQ, 16.505%, (-2.500*US0001M + 16.875%), 05/25/2035 | | | 729,652 | | | | 0.0 | |
646,610 | | Fannie Mae REMIC Trust 2005-88 ZC, 5.000%, 10/25/2035 | | | 738,393 | | | | 0.0 | |
158,825 | | Fannie Mae REMIC Trust 2006-115 ES, 25.968%, (-4.000*US0001M + 26.560%), 12/25/2036 | | | 261,621 | | | | 0.0 | |
1,134,322 (1) | | Fannie Mae REMIC Trust 2006-36 SP, 6.552%, (-1.000*US0001M + 6.700%), 05/25/2036 | | | 212,793 | | | | 0.0 | |
3,500,888 (1) | | Fannie Mae REMIC Trust 2006-79 SH, 6.302%, (-1.000*US0001M + 6.450%), 08/25/2036 | | | 930,030 | | | | 0.1 | |
268,820 (2) | | Fannie Mae REMIC Trust 2009-12 LK, 10.280%, 03/25/2039 | | | 316,057 | | | | 0.0 | |
1,861,549 | | Fannie Mae REMIC Trust 2009-66 XA, 5.500%, 12/25/2035 | | | 2,353,300 | | | | 0.1 | |
3,618,598 | | Fannie Mae REMIC Trust 2010-155 JC, 4.000%, 12/25/2039 | | | 3,847,802 | | | | 0.2 | |
5,084,839 | | Fannie Mae REMIC Trust 2010-2 LC, 5.000%, 02/25/2040 | | | 6,075,180 | | | | 0.4 | |
1,606,276 | | Fannie Mae REMIC Trust 2011-30 ZA, 5.000%, 04/25/2041 | | | 1,749,687 | | | | 0.1 | |
5,800,183 (1) | | Fannie Mae REMIC Trust 2012-128 VS, 6.102%, (-1.000*US0001M + 6.250%), 06/25/2042 | | | 934,567 | | | | 0.1 | |
4,318,176 (1) | | Fannie Mae REMIC Trust 2012-142 BI, 3.000%, 11/25/2027 | | | 277,108 | | | | 0.0 | |
2,768,053 (1) | | Fannie Mae REMIC Trust 2012-154 PI, 4.000%, 05/25/2042 | | | 352,205 | | | | 0.0 | |
2,217,768 (1) | | Fannie Mae REMIC Trust 2012-68 SD, 6.552%, (-1.000*US0001M + 6.700%), 06/25/2032 | | | 429,577 | | | | 0.0 | |
3,457,000 | | Fannie Mae REMIC Trust 2012-97 PC, 3.500%, 09/25/2042 | | | 4,002,589 | | | | 0.2 | |
902,808 (1) | | Fannie Mae REMIC Trust 2013-13 PI, 3.500%, 04/25/2042 | | | 94,227 | | | | 0.0 | |
2,506,710 (1) | | Fannie Mae REMIC Trust 2013-54 ID, 3.000%, 01/25/2033 | | | 204,331 | | | | 0.0 | |
1,466 | | Fannie Mae REMICS 2004-89 ES, 12.954%, (-1.850*US0001M + 13.228%), 08/25/2034 | | | 1,469 | | | | 0.0 | |
4,459 (3) | | Fannie Mae REMICS 2006-44 P, 0.000%, 12/25/2033 | | | 4,217 | | | | 0.0 | |
1,000,000 | | Fannie Mae REMICS 2010-87 PL, 4.000%, 06/25/2040 | | | 1,136,254 | | | | 0.1 | |
1,778,020 | | Fannie Mae REMICS 2011-10 ZC, 5.000%, 02/25/2041 | | | 2,018,325 | | | | 0.1 | |
Principal Amount† | | | | Value | | | Percentage of Net Assets | |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | | | | | | | |
4,163,007 (1) | | Fannie Mae REMICS 2012-137 EI, 3.000%, 12/25/2027 | | $ | 266,459 | | | | 0.0 | |
10,236,361 | | Fannie Mae REMICS 2012-17 QZ, 4.000%, 03/25/2042 | | | 11,277,379 | | | | 0.7 | |
2,500,000 | | Fannie Mae REMICS 2012-40 MY, 3.500%, 04/25/2042 | | | 2,815,013 | | | | 0.2 | |
2,578,277 (3) | | Fannie Mae REMICS 2013-135 PO, 0.000%, 01/25/2044 | | | 2,353,126 | | | | 0.1 | |
1,255,101 | | Fannie Mae REMICS 2013-55 VZ, 3.000%, 06/25/2043 | | | 1,367,618 | | | | 0.1 | |
13,001,028 (1) | | Fannie Mae REMICS 2019-49 IG, 3.000%, 03/25/2033 | | | 1,102,596 | | | | 0.1 | |
4,738,943 | | Fannie Mae Series 2016-51 S, 5.772%, (-1.000*US0001M + 5.920%), 10/25/2043 | | | 5,300,490 | | | | 0.3 | |
2,294,797 (2) | | Fannie Mae Trust 2004-W2 3A, 3.637%, 02/25/2044 | | | 2,414,878 | | | | 0.1 | |
2,123,430 (2) | | Fannie Mae Trust 2004-W2 4A, 3.526%, 02/25/2044 | | | 2,225,844 | | | | 0.1 | |
1,566,562 | | Fannie Mae REMICS 2010-26 F, 0.918%, (US0001M + 0.770%), 11/25/2036 | | | 1,600,955 | | | | 0.1 | |
1,653,562 | | Fannie Mae REMICS 2010-39 FN, 0.978%, (US0001M + 0.830%), 05/25/2040 | | | 1,686,357 | | | | 0.1 | |
675,446 | | Fannie Mae REMICS 2010-80 PZ, 5.000%, 07/25/2040 | | | 830,818 | | | | 0.1 | |
750,000 | | Fannie Mae REMICS 2011-105 MB, 4.000%, 10/25/2041 | | | 875,484 | | | | 0.1 | |
1,730,000 | | Fannie Mae REMICS 2011-131 PB, 4.500%, 12/25/2041 | | | 2,039,722 | | | | 0.1 | |
3,954,573 (1) | | Fannie Mae REMICS 2013-25 BI, 3.000%, 03/25/2033 | | | 363,438 | | | | 0.0 | |
3,176,027 (1) | | Fannie Mae REMICS 2013-62 AI, 3.000%, 06/25/2033 | | | 295,757 | | | | 0.0 | |
1,401,927 | | Fannie Mae REMICS 2015-22 DY, 3.000%, 04/25/2045 | | | 1,536,990 | | | | 0.1 | |
1,254,972 | | Fannie Mae REMICS 2015-26 UZ, 3.000%, 05/25/2045 | | | 1,345,708 | | | | 0.1 | |
711,932 | | Fannie Mae REMICS 2015-68 JW, 3.500%, 09/25/2030 | | | 808,534 | | | | 0.0 | |
1,410,000 | | Fannie Mae REMICS 2016-103 PB, 3.000%, 01/25/2047 | | | 1,547,153 | | | | 0.1 | |
4,283,554 | | Fannie Mae REMICS 2016-64 LD, 3.500%, 09/25/2046 | | | 4,824,821 | | | | 0.3 | |
4,993,196 | | Fannie Mae REMICS 2017-22 DZ, 4.000%, 04/25/2047 | | | 5,751,936 | | | | 0.3 | |
1,527,860 | | Fannie Mae REMICS 2019-6 GZ, 4.000%, 03/25/2059 | | | 1,885,167 | | | | 0.1 | |
7,159,842 (1) | | Fannie Mae REMICS 2020-44 TI, 5.500%, 12/25/2035 | | | 1,346,565 | | | | 0.1 | |
2,552,786 | | Freddie Mac 3770 GA, 4.500%, 10/15/2040 | | | 3,020,164 | | | | 0.2 | |
2,418,456 | | Freddie Mac REMIC Trust 2005-S001 2A2, 0.298%, (US0001M + 0.150%), 09/25/2045 | | | 2,396,693 | | | | 0.1 | |
457,192 | | Freddie Mac REMIC Trust 2653 SC, 6.723%, (-0.500*US0001M + 6.800%), 07/15/2033 | | | 523,404 | | | | 0.0 | |
1,207,116 | | Freddie Mac REMIC Trust 2767 ZW, 6.000%, 03/15/2034 | | | 1,456,898 | | | | 0.1 | |
133,614 | | Freddie Mac REMIC Trust 3012 ST, 21.389%, (-3.600*US0001M + 21.960%), 04/15/2035 | | | 193,113 | | | | 0.0 | |
304,801 | | Freddie Mac REMIC Trust 3065 DC, 19.384%, (-3.000*US0001M + 19.860%), 03/15/2035 | | | 434,716 | | | | 0.0 | |
609,595 | | Freddie Mac REMIC Trust 3158 NE, 5.500%, 05/15/2036 | | | 715,740 | | | | 0.0 | |
3,938,669 (1) | | Freddie Mac REMIC Trust 3181 TA, 0.500%, (-0.794*US0001M + 5.635%), 07/15/2036 | | | 84,057 | | | | 0.0 | |
310,470 (1) | | Freddie Mac REMIC Trust 3507 IA, 5.500%, 09/15/2035 | | | 56,821 | | | | 0.0 | |
421,376 | | Freddie Mac REMIC Trust 3864 NT, 5.500%, (-9.167*US0001M + 60.500%), 03/15/2039 | | | 455,735 | | | | 0.0 | |
2,167,651 | | Freddie Mac REMIC Trust 3888 ZG, 4.000%, 07/15/2041 | | | 2,428,508 | | | | 0.1 | |
647,691 (1) | | Freddie Mac REMIC Trust 4027 QI, 4.500%, 12/15/2040 | | | 29,970 | | | | 0.0 | |
3,292,071 | | Freddie Mac REMICS 3196 ZK, 6.500%, 04/15/2032 | | | 4,582,892 | | | | 0.3 | |
1,338,088 | | Freddie Mac REMICS 4097 ZA, 3.500%, 08/15/2042 | | | 1,451,571 | | | | 0.1 | |
6,344,838 | | Freddie Mac REMICS 4136 LU, 3.000%, 07/15/2032 | | | 6,538,436 | | | | 0.4 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | | | | | | | |
1,300,534 | | Freddie Mac Series 4040 UZ, 5.000%, 05/15/2042 | | $ | 1,714,799 | | | | 0.1 | |
1,524,217 (2) | | Freddie Mac Structured Pass-Through Certificates T-54 2A, 3.810%, 07/25/2033 | | | 1,601,709 | | | | 0.1 | |
905,368 (2) | | Freddie Mac Structured Pass-Through Certificates T-54 4A, 3.737%, 02/25/2043 | | | 972,313 | | | | 0.1 | |
89,817 (1) | | Freddie Mac-Ginnie Mae Series 21 SA, 7.852%, (-1.000*US0001M + 8.000%), 10/25/2023 | | | 7,858 | | | | 0.0 | |
187,395 (3) | | Freddie Mac REMICS 2974 KO, 0.000%, 05/15/2035 | | | 171,993 | | | | 0.0 | |
1,006,307 | | Freddie Mac REMICS 3658 CZ, 5.000%, 04/15/2040 | | | 1,268,103 | | | | 0.1 | |
5,075,000 | | Freddie Mac REMICS 4059 DY, 3.500%, 06/15/2042 | | | 5,798,144 | | | | 0.3 | |
8,911,936 | | Freddie Mac REMICS 4159 LZ, 3.500%, 01/15/2043 | | | 9,923,943 | | | | 0.6 | |
3,167,640 | | Freddie Mac REMICS 4249 CS, 4.534%, (-0.750*US0001M + 4.650%), 09/15/2043 | | | 3,226,697 | | | | 0.2 | |
2,877,185 | | Freddie Mac REMICS 4274 US, 5.691%, (-1.000*US0001M + 5.850%), 10/15/2035 | | | 3,134,001 | | | | 0.2 | |
991,006 | | Freddie Mac REMICS 4341 VH, 4.350%, 03/15/2027 | | | 1,030,091 | | | | 0.1 | |
9,715,237 | | Freddie Mac REMICS 4367 MZ, 4.000%, 07/15/2044 | | | 11,468,857 | | | | 0.7 | |
6,850,915 | | Freddie Mac REMICS 4480 ZX, 4.000%, 11/15/2044 | | | 7,736,089 | | | | 0.4 | |
4,551,314 | | Freddie Mac REMICS 4764 CJ, 4.000%, 06/15/2045 | | | 4,672,839 | | | | 0.3 | |
3,180,684 | | Freddie Mac REMICS 4764 DA, 4.000%, 07/15/2045 | | | 3,268,592 | | | | 0.2 | |
2,597,868 | | Freddie Mac REMICS 5000 DC, 2.500%, 03/25/2040 | | | 2,774,076 | | | | 0.2 | |
1,066,270 | | Ginnie Mae 2004-65 ZG, 5.500%, 07/20/2034 | | | 1,225,047 | | | | 0.1 | |
5,566,981 | | Ginnie Mae 2009-110 ZA, 5.500%, 11/16/2039 | | | 6,929,983 | | | | 0.4 | |
774,165 | | Ginnie Mae 2009-32 QZ, 5.500%, 05/16/2039 | | | 954,515 | | | | 0.1 | |
606,012 | | Ginnie Mae 2009-32 YZ, 7.000%, 05/16/2039 | | | 807,699 | | | | 0.0 | |
4,400,954 | | Ginnie Mae 2009-50 MZ, 6.000%, 07/16/2039 | | | 5,355,030 | | | | 0.3 | |
578,996 | | Ginnie Mae 2009-54 HZ, 5.000%, 07/20/2039 | | | 662,769 | | | | 0.0 | |
1,439,402 | | Ginnie Mae 2009-H01 FA, 1.302%, (US0001M + 1.150%), 11/20/2059 | | | 1,451,721 | | | | 0.1 | |
2,000,000 | | Ginnie Mae 2010-116 PB, 5.000%, 06/16/2040 | | | 2,384,911 | | | | 0.1 | |
4,120,715 | | Ginnie Mae 2010-125 BZ, 4.500%, 09/16/2040 | | | 4,432,078 | | | | 0.3 | |
3,828,867 (3) | | Ginnie Mae 2011-70 PO, 0.000%, 05/16/2041 | | | 3,558,248 | | | | 0.2 | |
3,151,834 (1) | | Ginnie Mae 2014-107 XS, 5.447%, (-1.000*US0001M + 5.600%), 07/16/2044 | | | 562,979 | | | | 0.0 | |
1,513,683 (1) | | Ginnie Mae 2014-96 SQ, 5.447%, (-1.000*US0001M + 5.600%), 07/16/2044 | | | 262,464 | | | | 0.0 | |
9,688,009 | | Ginnie Mae 2015-H13 FG, 0.540%, (US0001M + 0.400%), 04/20/2065 | | | 9,690,968 | | | | 0.6 | |
19,422,507 (1) | | Ginnie Mae 2016-120 IM, 3.500%, 07/20/2046 | | | 2,391,998 | | | | 0.1 | |
1,263,850 (1) | | Ginnie Mae 2016-84 IO, 5.000%, 12/20/2040 | | | 75,417 | | | | 0.0 | |
17,766,913 | | Ginnie Mae 2016-H20 FB, 0.690%, (US0001M + 0.550%), 09/20/2066 | | | 17,850,943 | | | | 1.0 | |
1,433,929 (1) | | Ginnie Mae 2018-78 IC, 4.000%, 02/20/2047 | | | 172,051 | | | | 0.0 | |
2,928,199 | | Ginnie Mae Series 2003-86 ZC, 4.500%, 10/20/2033 | | | 3,229,150 | | | | 0.2 | |
109,198 | | Ginnie Mae Series 2004-16 AE, 5.500%, 02/20/2034 | | | 121,485 | | | | 0.0 | |
1,001,214 | | Ginnie Mae Series 2004-17 MZ, 5.500%, 03/16/2034 | | | 1,102,984 | | | | 0.1 | |
703,983 | | Ginnie Mae Series 2004-28 CZ, 5.500%, 04/20/2034 | | | 802,375 | | | | 0.0 | |
351,421 (3) | | Ginnie Mae Series 2004-37 OA, 0.000%, 04/17/2034 | | | 332,973 | | | | 0.0 | |
2,597,592 | | Ginnie Mae Series 2004-4 MG, 5.000%, 01/16/2034 | | | 2,886,160 | | | | 0.2 | |
2,676,240 | | Ginnie Mae Series 2004-81 Z, 5.000%, 10/20/2034 | | | 2,996,167 | | | | 0.2 | |
1,077,308 (1) | | Ginnie Mae Series 2004-98 SA, 6.548%, (-1.000*US0001M + 6.700%), 11/20/2034 | | | 276,313 | | | | 0.0 | |
882,234 | | Ginnie Mae Series 2005-21 Z, 5.000%, 03/20/2035 | | | 1,003,576 | | | | 0.1 | |
253,670 (1) | | Ginnie Mae Series 2005-25 SI, 6.000%, (-6.000*US0001M + 43.200%), 01/20/2034 | | | 38,083 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | | | | | | | |
701,318 (1) | | Ginnie Mae Series 2005-7 AH, 6.617%, (-1.000*US0001M + 6.770%), 02/16/2035 | | $ | 146,480 | | | | 0.0 | |
828,227 (1) | | Ginnie Mae Series 2005-73 IM, 5.500%, 09/20/2035 | | | 155,208 | | | | 0.0 | |
486,569 | | Ginnie Mae Series 2005-80 Z, 5.000%, 10/20/2035 | | | 550,591 | | | | 0.0 | |
219,338 | | Ginnie Mae Series 2005-91 UP, 13.994%, (-2.000*US0001M + 14.300%), 09/16/2031 | | | 275,241 | | | | 0.0 | |
8,323,083 | | Ginnie Mae Series 2006-10 ZT, 6.000%, 03/20/2036 | | | 9,516,187 | | | | 0.6 | |
1,473,036 | | Ginnie Mae Series 2006-17 TW, 6.000%, 04/20/2036 | | | 1,709,862 | | | | 0.1 | |
7,323,079 (1) | | Ginnie Mae Series 2006-26 TB, 0.250%, (-1.000*US0001M + 6.500%), 06/20/2036 | | | 70,929 | | | | 0.0 | |
2,360,943 | | Ginnie Mae Series 2006-7 ZA, 5.500%, 02/20/2036 | | | 2,725,288 | | | | 0.2 | |
1,658,835 (1) | | Ginnie Mae Series 2007-17 CI, 7.500%, 04/16/2037 | | | 419,238 | | | | 0.0 | |
1,692,869 (3) | | Ginnie Mae Series 2007-41 OL, 0.000%, 07/20/2037 | | | 1,541,761 | | | | 0.1 | |
97,802 | | Ginnie Mae Series 2007-45 PE, 5.500%, 07/16/2037 | | | 111,161 | | | | 0.0 | |
314,937 | | Ginnie Mae Series 2007-48 SY, 19.791%, (-3.000*US0001M + 20.250%), 08/16/2037 | | | 457,370 | | | | 0.0 | |
1,837,350 (1) | | Ginnie Mae Series 2007-53 SC, 6.348%, (-1.000*US0001M + 6.500%), 09/20/2037 | | | 459,122 | | | | 0.0 | |
52,404 | | Ginnie Mae Series 2007-53 SW, 19.750%, (-3.000*US0001M + 20.205%), 09/20/2037 | | | 79,091 | | | | 0.0 | |
1,006,012 | | Ginnie Mae Series 2007-60 YZ, 5.500%, 10/20/2037 | | | 1,120,448 | | | | 0.1 | |
3,067,209 | | Ginnie Mae Series 2008-20 PZ, 6.000%, 03/20/2038 | | | 3,620,559 | | | | 0.2 | |
539,646 (1) | | Ginnie Mae Series 2008-3 SA, 6.398%, (-1.000*US0001M + 6.550%), 01/20/2038 | | | 134,433 | | | | 0.0 | |
1,002,632 (1) | | Ginnie Mae Series 2008-40 PS, 6.347%, (-1.000*US0001M + 6.500%), 05/16/2038 | | | 207,702 | | | | 0.0 | |
2,393,809 (1) | | Ginnie Mae Series 2008-82 SA, 5.848%, (-1.000*US0001M + 6.000%), 09/20/2038 | | | 534,248 | | | | 0.0 | |
4,109,283 (1) | | Ginnie Mae Series 2009-110 SA, 6.197%, (-1.000*US0001M + 6.350%), 04/16/2039 | | | 444,619 | | | | 0.0 | |
822,563 | | Ginnie Mae Series 2009-110 ZC, 4.500%, 11/16/2039 | | | 971,929 | | | | 0.1 | |
1,432,283 | | Ginnie Mae Series 2009-121 ZQ, 5.500%, 09/20/2039 | | | 1,647,124 | | | | 0.1 | |
1,029,000 | | Ginnie Mae Series 2009-31 BP, 5.000%, 05/20/2039 | | | 1,217,788 | | | | 0.1 | |
2,368,395 | | Ginnie Mae Series 2009-31 ZL, 4.500%, 05/20/2039 | | | 2,663,609 | | | | 0.2 | |
2,149,781 | | Ginnie Mae Series 2009-34 Z, 4.500%, 05/16/2039 | | | 2,403,972 | | | | 0.1 | |
3,000,056 | | Ginnie Mae Series 2009-53 ZB, 6.000%, 07/16/2039 | | | 3,445,375 | | | | 0.2 | |
252,542 (1) | | Ginnie Mae Series 2009-55 BI, 1.000%, (-25.000*US0001M + 162.500%), 06/16/2037 | | | 9,967 | | | | 0.0 | |
2,029,399 | | Ginnie Mae Series 2009-61 EZ, 7.500%, 08/20/2039 | | | 2,667,166 | | | | 0.2 | |
6,041,619 | | Ginnie Mae Series 2009-61 PZ, 7.500%, 08/20/2039 | | | 8,533,416 | | | | 0.5 | |
3,456,505 | | Ginnie Mae Series 2009-61 ZQ, 6.000%, 08/16/2039 | | | 4,546,571 | | | | 0.3 | |
1,379,682 (1) | | Ginnie Mae Series 2009-66 QS, 5.948%, (-1.000*US0001M + 6.100%), 07/20/2039 | | | 193,288 | | | | 0.0 | |
821,387 (1) | | Ginnie Mae Series 2009-77 SA, 5.997%, (-1.000*US0001M + 6.150%), 09/16/2039 | | | 175,236 | | | | 0.0 | |
3,707,966 | | Ginnie Mae Series 2009-77 ZB, 5.500%, 09/16/2039 | | | 4,343,548 | | | | 0.3 | |
1,048,890 | | Ginnie Mae Series 2009-87 WZ, 6.000%, 10/20/2039 | | | 1,402,058 | | | | 0.1 | |
627,599 | | Ginnie Mae Series 2009-92 DZ, 4.500%, 10/16/2039 | | | 739,580 | | | | 0.0 | |
1,483,871 | | Ginnie Mae Series 2009-98 MZ, 5.000%, 10/16/2039 | | | 1,831,379 | | | | 0.1 | |
1,802,726 (1) | | Ginnie Mae Series 2010-106 IP, 5.000%, 03/20/2040 | | | 197,530 | | | | 0.0 | |
10,371,000 | | Ginnie Mae Series 2010-113 BE, 4.500%, 09/20/2040 | | | 11,984,387 | | | | 0.7 | |
1,546,431 (1) | | Ginnie Mae Series 2010-116 NS, 6.497%, (-1.000*US0001M + 6.650%), 09/16/2040 | | | 304,607 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | | | | | | | |
122,700 (1) | | Ginnie Mae Series 2010-130 KI, 5.500%, 09/16/2040 | | $ | 9,058 | | | | 0.0 | |
1,500,000 | | Ginnie Mae Series 2010-14 B, 4.500%, 02/16/2040 | | | 1,718,395 | | | | 0.1 | |
2,267,060 | | Ginnie Mae Series 2010-146 NL, 4.000%, 10/16/2039 | | | 2,331,086 | | | | 0.1 | |
1,113,233 (1) | | Ginnie Mae Series 2010-158 SA, 5.898%, (-1.000*US0001M + 6.050%), 12/20/2040 | | | 217,463 | | | | 0.0 | |
1,405,744 | | Ginnie Mae Series 2010-162 ZE, 4.000%, 12/16/2040 | | | 1,592,400 | | | | 0.1 | |
15,653,828 (1) | | Ginnie Mae Series 2010-166 GS, 5.848%, (-1.000*US0001M + 6.000%), 12/20/2040 | | | 2,776,094 | | | | 0.2 | |
1,294,521 (1) | | Ginnie Mae Series 2010-166 NI, 4.500%, 04/20/2039 | | | 86,401 | | | | 0.0 | |
1,658,989 | | Ginnie Mae Series 2010-169 AW, 4.500%, 12/20/2040 | | | 1,844,593 | | | | 0.1 | |
2,172,639 | | Ginnie Mae Series 2010-169 JZ, 4.000%, 12/20/2040 | | | 2,327,526 | | | | 0.1 | |
397,938 (1) | | Ginnie Mae Series 2010-19 LI, 5.000%, 07/16/2039 | | | 34,462 | | | | 0.0 | |
1,726,496 | | Ginnie Mae Series 2010-31 BP, 5.000%, 03/20/2040 | | | 1,969,444 | | | | 0.1 | |
1,781,341 (1) | | Ginnie Mae Series 2010-4 WI, 6.000%, 01/16/2040 | | | 279,937 | | | | 0.0 | |
5,156,138 | | Ginnie Mae Series 2010-42 VZ, 5.500%, 10/20/2039 | | | 6,152,299 | | | | 0.4 | |
1,294,550 | | Ginnie Mae Series 2010-59 ZA, 4.500%, 05/20/2040 | | | 1,459,683 | | | | 0.1 | |
4,101,656 | | Ginnie Mae Series 2010-H01 FA, 0.966%, (US0001M + 0.820%), 01/20/2060 | | | 4,136,700 | | | | 0.2 | |
9,932,009 | | Ginnie Mae Series 2010-H10 FB, 1.146%, (US0001M + 1.000%), 05/20/2060 | | | 10,089,701 | | | | 0.6 | |
5,865,563 | | Ginnie Mae Series 2010-H10 FC, 1.146%, (US0001M + 1.000%), 05/20/2060 | | | 5,946,026 | | | | 0.3 | |
1,655,854 | | Ginnie Mae Series 2010-H20 AF, 0.470%, (US0001M + 0.330%), 10/20/2060 | | | 1,653,633 | | | | 0.1 | |
314,204 (1) | | Ginnie Mae Series 2011-123 QI, 5.000%, 05/20/2041 | | | 40,259 | | | | 0.0 | |
3,556,841 (1) | | Ginnie Mae Series 2011-141 PS, 6.547%, (-1.000*US0001M + 6.700%), 06/16/2041 | | | 680,402 | | | | 0.0 | |
90,468 | | Ginnie Mae Series 2011-169 BC, 7.000%, 05/16/2032 | | | 100,081 | | | | 0.0 | |
242,795 (2) | | Ginnie Mae Series 2011-169 BG, 5.432%, 04/16/2039 | | | 270,540 | | | | 0.0 | |
7,400,339 | | Ginnie Mae Series 2011-25 Z, 4.000%, 02/20/2041 | | | 8,129,129 | | | | 0.5 | |
1,702,806 | | Ginnie Mae Series 2011-59 QC, 4.000%, 12/20/2040 | | | 1,834,973 | | | | 0.1 | |
3,370,817 (1) | | Ginnie Mae Series 2011-73 LS, 6.538%, (-1.000*US0001M + 6.690%), 08/20/2039 | | | 229,839 | | | | 0.0 | |
3,491,559 | | Ginnie Mae Series 2011-89 Z, 3.500%, 06/20/2041 | | | 3,827,401 | | | | 0.2 | |
2,735,625 | | Ginnie Mae Series 2011-H03 FA, 0.640%, (US0001M + 0.500%), 01/20/2061 | | | 2,743,164 | | | | 0.2 | |
978,192 | | Ginnie Mae Series 2011-H07 FA, 0.640%, (US0001M + 0.500%), 02/20/2061 | | | 979,936 | | | | 0.1 | |
256,828 | | Ginnie Mae Series 2011-H08 FD, 0.640%, (US0001M + 0.500%), 02/20/2061 | | | 257,520 | | | | 0.0 | |
726,318 | | Ginnie Mae Series 2011-H11 FB, 0.640%, (US0001M + 0.500%), 04/20/2061 | | | 728,204 | | | | 0.0 | |
684,887 (1) | | Ginnie Mae Series 2012-102 TI, 4.000%, 08/20/2039 | | | 18,373 | | | | 0.0 | |
1,902,458 (1) | | Ginnie Mae Series 2012-103 IC, 3.500%, 08/16/2040 | | | 134,078 | | | | 0.0 | |
479,622 (1) | | Ginnie Mae Series 2012-124 MI, 4.000%, 03/20/2042 | | | 35,139 | | | | 0.0 | |
5,758,386 (1) | | Ginnie Mae Series 2012-146 AI, 3.000%, 10/20/2037 | | | 280,938 | | | | 0.0 | |
467,478 (1) | | Ginnie Mae Series 2012-34 MS, 6.547%, (-1.000*US0001M + 6.700%), 04/16/2041 | | | 76,677 | | | | 0.0 | |
4,010,622 (1) | | Ginnie Mae Series 2012-48 SA, 6.497%, (-1.000*US0001M + 6.650%), 04/16/2042 | | | 970,144 | | | | 0.1 | |
5,584,701 (1) | | Ginnie Mae Series 2012-60 SG, 5.947%, (-1.000*US0001M + 6.100%), 05/16/2042 | | | 1,281,826 | | | | 0.1 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | | | | | | | |
1,330,395 (1) | | Ginnie Mae Series 2012-98 EI, 4.000%, 04/20/2041 | | $ | 151,353 | | | | 0.0 | |
1,845,264 | | Ginnie Mae Series 2012-H11 VA, 0.790%, (US0001M + 0.650%), 05/20/2062 | | | 1,860,131 | | | | 0.1 | |
17,683,368 | | Ginnie Mae Series 2012-H12 FB, 1.190%, (US0001M + 1.050%), 02/20/2062 | | | 17,920,209 | | | | 1.0 | |
1,051,423 | | Ginnie Mae Series 2012-H14 FK, 0.720%, (US0001M + 0.580%), 07/20/2062 | | | 1,055,282 | | | | 0.1 | |
8,133,507 | | Ginnie Mae Series 2012-H20 BA, 0.700%, (US0001M + 0.560%), 09/20/2062 | | | 8,159,014 | | | | 0.5 | |
1,577,617 | | Ginnie Mae Series 2012-H31 FD, 0.480%, (US0001M + 0.340%), 12/20/2062 | | | 1,575,744 | | | | 0.1 | |
7,000,000 | | Ginnie Mae Series 2013-147 BE, 4.000%, 12/20/2039 | | | 8,077,168 | | | | 0.5 | |
1,400,547 | | Ginnie Mae Series 2013-167 Z, 3.000%, 10/16/2043 | | | 1,508,920 | | | | 0.1 | |
1,900,000 (1) | | Ginnie Mae Series 2013-186 UI, 2.500%, 11/20/2043 | | | 392,074 | | | | 0.0 | |
973,831 (1) | | Ginnie Mae Series 2013-186 VI, 4.000%, 12/20/2042 | | | 108,148 | | | | 0.0 | |
5,120,494 (1) | | Ginnie Mae Series 2013-20 LI, 4.500%, 12/16/2042 | | | 724,005 | | | | 0.0 | |
2,050,898 (1) | | Ginnie Mae Series 2013-41 PI, 3.500%, 04/20/2040 | | | 76,092 | | | | 0.0 | |
1,999,276 | | Ginnie Mae Series 2013-H08 BF, 0.540%, (US0001M + 0.400%), 03/20/2063 | | | 1,999,295 | | | | 0.1 | |
2,983,981 | | Ginnie Mae Series 2013-H10 FT, 0.570%, (H15T1Y + 0.450%), 04/20/2063 | | | 2,960,947 | | | | 0.2 | |
4,359,849 | | Ginnie Mae Series 2013-H14 FC, 0.610%, (US0001M + 0.470%), 06/20/2063 | | | 4,367,046 | | | | 0.3 | |
807,086 | | Ginnie Mae Series 2013-H18 BA, 0.740%, (US0001M + 0.600%), 07/20/2063 | | | 810,872 | | | | 0.0 | |
3,915,594 | | Ginnie Mae Series 2013-H19 DF, 0.790%, (US0001M + 0.650%), 05/20/2063 | | | 3,934,249 | | | | 0.2 | |
2,483,146 | | Ginnie Mae Series 2013-H20 FB, 1.140%, (US0001M + 1.000%), 08/20/2063 | | | 2,506,442 | | | | 0.1 | |
3,191,699 | | Ginnie Mae Series 2013-H23 FA, 1.440%, (US0001M + 1.300%), 09/20/2063 | | | 3,242,318 | | | | 0.2 | |
435,747 | | Ginnie Mae Series 2013-H24 FB, 0.870%, (US0001M + 0.730%), 09/20/2063 | | | 438,200 | | | | 0.0 | |
2,793,200 | | Ginnie Mae Series 2014-115 EM, 4.000%, 08/20/2044 | | | 3,266,661 | | | | 0.2 | |
6,118,637 | | Ginnie Mae Series 2014-118 ZP, 4.000%, 08/20/2044 | | | 6,684,496 | | | | 0.4 | |
1,689,046 (1) | | Ginnie Mae Series 2014-183 IM, 5.000%, 06/20/2035 | | | 297,059 | | | | 0.0 | |
2,445,928 (1) | | Ginnie Mae Series 2014-30 ES, 4.848%, (-1.000*US0001M + 5.000%), 03/20/2040 | | | 382,310 | | | | 0.0 | |
7,727,145 | | Ginnie Mae Series 2014-H05 FB, 0.740%, (US0001M + 0.600%), 12/20/2063 | | | 7,762,135 | | | | 0.4 | |
9,571,985 (2) | | Ginnie Mae Series 2015-10 Q, 2.341%, 10/20/2044 | | | 10,360,740 | | | | 0.6 | |
2,364,266 (1) | | Ginnie Mae Series 2015-141 IX, 2.032%, (-0.714*US0001M + 2.142%), 06/20/2045 | | | 210,235 | | | | 0.0 | |
12,125,000 | | Ginnie Mae Series 2015-143 B, 3.500%, 04/20/2045 | | | 13,652,292 | | | | 0.8 | |
2,594,000 (1) | | Ginnie Mae Series 2015-157 PI, 4.000%, 03/20/2044 | | | 247,495 | | | | 0.0 | |
7,958,540 | | Ginnie Mae Series 2015-27 PB, 3.000%, 08/20/2044 | | | 8,435,078 | | | | 0.5 | |
3,214,326 | | Ginnie Mae Series 2015-H31 FT, 0.790%, (US0001M + 0.650%), 11/20/2065 | | | 3,228,060 | | | | 0.2 | |
10,776,210 (1) | | Ginnie Mae Series 2016-145 IU, 3.500%, 10/20/2046 | | | 1,359,224 | | | | 0.1 | |
5,012,128 (2) | | Ginnie Mae Series 2016-5 AB, 4.679%, 01/20/2046 | | | 5,716,046 | | | | 0.3 | |
7,403,497 | | Ginnie Mae Series 2016-H08 FT, 0.860%, (US0001M + 0.720%), 02/20/2066 | | | 7,448,735 | | | | 0.4 | |
2,890,000 | | Ginnie Mae Series 2017-162 PL, 3.000%, 10/20/2047 | | | 3,107,594 | | | | 0.2 | |
2,211,674 | | Ginnie Mae Series 2017-H19 FA, 0.590%, (US0001M + 0.450%), 08/20/2067 | | | 2,214,301 | | | | 0.1 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | | | | | | | |
33,056,509 | | Ginnie Mae Series 2017-H23 FC, 0.590%, (US0001M + 0.450%), 11/20/2067 | | $ | 33,107,407 | | | | 1.9 | |
2,717,244 | | Ginnie Mae Series 2018-112 AL, 3.500%, 08/20/2048 | | | 2,896,523 | | | | 0.2 | |
1,730,103 | | Ginnie Mae Series 2019-29 AI, 5.000%, 07/20/2048 | | | 288,750 | | | | 0.0 | |
1,270,448 (1) | | Ginnie Mae Series 2008-51 GS, 6.077%, (-1.000*US0001M + 6.230%), 06/16/2038 | | | 272,022 | | | | 0.0 | |
3,393,296 | | Ginnie Mae Series 2009-118 XZ, 5.000%, 12/20/2039 | | | 3,836,210 | | | | 0.2 | |
1,059,010 | | Ginnie Mae Series 2009-68 ZC, 5.500%, 08/16/2039 | | | 1,357,685 | | | | 0.1 | |
6,746,592 | | Ginnie Mae Series 2010-117 ZQ, 4.500%, 09/20/2040 | | | 7,790,642 | | | | 0.5 | |
766,422 | | Ginnie Mae Series 2011-128 TF, 0.603%, (US0001M + 0.450%), 05/16/2041 | | | 770,987 | | | | 0.0 | |
945,000 | | Ginnie Mae Series 2011-151 PY, 3.000%, 11/20/2041 | | | 1,032,152 | | | | 0.1 | |
5,362,109 | | Ginnie Mae Series 2011-69 HW, 4.000%, 04/20/2040 | | | 5,598,665 | | | | 0.3 | |
1,856,350 | | Ginnie Mae Series 2011-H01 AF, 0.590%, (US0001M + 0.450%), 11/20/2060 | | | 1,859,218 | | | | 0.1 | |
2,014,660 | | Ginnie Mae Series 2011-H20 FA, 0.690%, (US0001M + 0.550%), 09/20/2061 | | | 2,022,446 | | | | 0.1 | |
5,795,461 | | Ginnie Mae Series 2012-77 FE, 0.543%, (US0001M + 0.390%), 05/16/2041 | | | 5,821,684 | | | | 0.3 | |
1,289,735 (1) | | Ginnie Mae Series 2012-93 NS, 5.948%, (-1.000*US0001M + 6.100%), 07/20/2042 | | | 250,755 | | | | 0.0 | |
2,909,289 | | Ginnie Mae Series 2012-H06 FS, 0.840%, (US0001M + 0.700%), 03/20/2062 | | | 2,936,927 | | | | 0.2 | |
10,265,372 | | Ginnie Mae Series 2012-H08 FA, 0.740%, (US0001M + 0.600%), 01/20/2062 | | | 10,313,729 | | | | 0.6 | |
3,988,384 | | Ginnie Mae Series 2012-H08 FB, 0.740%, (US0001M + 0.600%), 03/20/2062 | | | 4,004,612 | | | | 0.2 | |
1,369,201 | | Ginnie Mae Series 2012-H11 GA, 0.720%, (US0001M + 0.580%), 05/20/2062 | | | 1,373,932 | | | | 0.1 | |
2,663,472 | | Ginnie Mae Series 2012-H12 FA, 0.690%, (US0001M + 0.550%), 04/20/2062 | | | 2,672,239 | | | | 0.2 | |
2,926,486 | | Ginnie Mae Series 2012-H20 PT, 0.962%, 07/20/2062 | | | 2,924,176 | | | | 0.2 | |
3,409,641 | | Ginnie Mae Series 2012-H26 BA, 0.490%, (US0001M + 0.350%), 10/20/2062 | | | 3,406,934 | | | | 0.2 | |
355,475 | | Ginnie Mae Series 2012-H29 FA, 0.655%, (US0001M + 0.515%), 10/20/2062 | | | 356,354 | | | | 0.0 | |
1,613,171 | | Ginnie Mae Series 2012-H30 GA, 0.490%, (US0001M + 0.350%), 12/20/2062 | | | 1,611,976 | | | | 0.1 | |
2,491,469 | | Ginnie Mae Series 2013-119 TZ, 3.000%, 08/20/2043 | | | 2,572,665 | | | | 0.2 | |
62,029 | | Ginnie Mae Series 2013-62 KS, 3.848%, (-1.000*US0001M + 4.000%), 03/20/2043 | | | 62,086 | | | | 0.0 | |
1,291,611 (1) | | Ginnie Mae Series 2013-88 AI, 5.695%, (-1.000*US0001M + 5.850%), 06/20/2043 | | | 251,268 | | | | 0.0 | |
1,839,576 (1) | | Ginnie Mae Series 2013-99 SK, 5.745%, (-1.000*US0001M + 5.900%), 07/20/2043 | | | 343,602 | | | | 0.0 | |
3,101,412 | | Ginnie Mae Series 2013-H02 FD, 0.480%, (US0001M + 0.340%), 12/20/2062 | | | 3,098,583 | | | | 0.2 | |
464,566 | | Ginnie Mae Series 2013-H07 HA, 0.550%, (US0001M + 0.410%), 03/20/2063 | | | 464,810 | | | | 0.0 | |
1,974,060 | | Ginnie Mae Series 2013-H13 FS, 1.140%, (US0001M + 1.000%), 06/20/2063 | | | 2,012,393 | | | | 0.1 | |
1,430,131 | | Ginnie Mae Series 2013-H14 FD, 0.610%, (US0001M + 0.470%), 06/20/2063 | | | 1,432,589 | | | | 0.1 | |
1,261,244 | | Ginnie Mae Series 2013-H14 FG, 0.610%, (US0001M + 0.470%), 05/20/2063 | | | 1,263,481 | | | | 0.1 | |
1,099,728 | | Ginnie Mae Series 2013-H15 FA, 0.680%, (US0001M + 0.540%), 06/20/2063 | | | 1,102,808 | | | | 0.1 | |
3,150,712 | | Ginnie Mae Series 2013-H17 FA, 0.690%, (US0001M + 0.550%), 07/20/2063 | | | 3,159,267 | | | | 0.2 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | | | | | | | |
1,549,621 | | Ginnie Mae Series 2013-H18 EA, 0.640%, (US0001M + 0.500%), 07/20/2063 | | $ | 1,552,930 | | | | 0.1 | |
2,431,916 | | Ginnie Mae Series 2013-H18 FA, 0.640%, (US0001M + 0.500%), 06/20/2063 | | | 2,438,184 | | | | 0.1 | |
1,142,448 | | Ginnie Mae Series 2013-H21 FB, 0.840%, (US0001M + 0.700%), 09/20/2063 | | | 1,149,534 | | | | 0.1 | |
1,942,664 | | Ginnie Mae Series 2013-H22 FB, 0.840%, (US0001M + 0.700%), 08/20/2063 | | | 1,954,309 | | | | 0.1 | |
2,732,436 | | Ginnie Mae Series 2013-H22 FT, 0.770%, (H15T1Y + 0.650%), 04/20/2063 | | | 2,723,249 | | | | 0.2 | |
2,114,672 (1) | | Ginnie Mae Series 2014-129 WS, 5.745%, (-1.000*US0001M + 5.900%), 09/20/2044 | | | 397,314 | | | | 0.0 | |
2,125,129 (1) | | Ginnie Mae Series 2014-161 WS, 5.745%, (-1.000*US0001M + 5.900%), 11/20/2044 | | | 382,714 | | | | 0.0 | |
9,431,655 | | Ginnie Mae Series 2014-H03 FS, 0.790%, (US0001M + 0.650%), 02/20/2064 | | | 9,512,443 | | | | 0.6 | |
2,269,215 | | Ginnie Mae Series 2014-H04 FB, 0.790%, (US0001M + 0.650%), 02/20/2064 | | | 2,283,114 | | | | 0.1 | |
1,948,308 | | Ginnie Mae Series 2014-H06 FA, 0.710%, (US0001M + 0.570%), 03/20/2064 | | | 1,955,956 | | | | 0.1 | |
772,609 | | Ginnie Mae Series 2014-H06 HB, 0.790%, (US0001M + 0.650%), 03/20/2064 | | | 777,168 | | | | 0.0 | |
3,402,742 | | Ginnie Mae Series 2014-H11 VA, 0.640%, (US0001M + 0.500%), 06/20/2064 | | | 3,416,839 | | | | 0.2 | |
3,686,374 | | Ginnie Mae Series 2014-H15 FA, 0.640%, (US0001M + 0.500%), 07/20/2064 | | | 3,701,327 | | | | 0.2 | |
1,675,350 | | Ginnie Mae Series 2014-H21 FA, 0.790%, (US0001M + 0.650%), 10/20/2064 | | | 1,689,473 | | | | 0.1 | |
3,890,214 | | Ginnie Mae Series 2015-165 ZA, 3.500%, 07/20/2045 | | | 4,176,776 | | | | 0.2 | |
2,870,568 | | Ginnie Mae Series 2015-H03 FA, 0.640%, (US0001M + 0.500%), 12/20/2064 | | | 2,877,623 | | | | 0.2 | |
3,382,476 | | Ginnie Mae Series 2015-H05 FC, 0.620%, (US0001M + 0.480%), 02/20/2065 | | | 3,379,185 | | | | 0.2 | |
1,868,000 | | Ginnie Mae Series 2015-H06 FA, 0.620%, (US0001M + 0.480%), 02/20/2065 | | | 1,873,043 | | | | 0.1 | |
3,488,488 | | Ginnie Mae Series 2015-H08 FB, 0.770%, (US0001M + 0.630%), 03/20/2065 | | | 3,513,698 | | | | 0.2 | |
2,519,548 | | Ginnie Mae Series 2015-H08 FC, 0.620%, (US0001M + 0.480%), 03/20/2065 | | | 2,527,420 | | | | 0.1 | |
3,973,932 | | Ginnie Mae Series 2015-H09 FA, 0.760%, (US0001M + 0.620%), 04/20/2065 | | | 4,002,357 | | | | 0.2 | |
7,180,142 | | Ginnie Mae Series 2015-H10 FA, 0.740%, (US0001M + 0.600%), 04/20/2065 | | | 7,226,036 | | | | 0.4 | |
2,311,803 | | Ginnie Mae Series 2015-H10 FH, 0.740%, (US0001M + 0.600%), 04/20/2065 | | | 2,326,045 | | | | 0.1 | |
275,585 | | Ginnie Mae Series 2015-H12 FA, 0.620%, (US0001M + 0.480%), 05/20/2065 | | | 274,133 | | | | 0.0 | |
2,258,352 | | Ginnie Mae Series 2015-H12 FL, 0.370%, (US0001M + 0.230%), 05/20/2065 | | | 2,250,427 | | | | 0.1 | |
737,759 | | Ginnie Mae Series 2015-H14 FB, 0.570%, (US0001M + 0.430%), 05/20/2065 | | | 738,487 | | | | 0.0 | |
993,263 | | Ginnie Mae Series 2015-H18 FB, 0.740%, (US0001M + 0.600%), 07/20/2065 | | | 999,665 | | | | 0.1 | |
1,171,486 | | Ginnie Mae Series 2015-H20 FB, 0.740%, (US0001M + 0.600%), 08/20/2065 | | | 1,179,364 | | | | 0.1 | |
2,094,822 | | Ginnie Mae Series 2015-H22 FC, 0.740%, (US0001M + 0.600%), 09/20/2065 | | | 2,109,147 | | | | 0.1 | |
1,295,038 | | Ginnie Mae Series 2015-H26 FA, 0.660%, (US0001M + 0.520%), 10/20/2065 | | | 1,301,405 | | | | 0.1 | |
4,230,844 | | Ginnie Mae Series 2015-H26 FC, 0.740%, (US0001M + 0.600%), 08/20/2065 | | | 4,245,627 | | | | 0.2 | |
324,640 | | Ginnie Mae Series 2015-H26 FG, 0.660%, (US0001M + 0.520%), 10/20/2065 | | | 326,202 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | | | | | | | |
2,172,238 | | Ginnie Mae Series 2015-H27 FA, 0.890%, (US0001M + 0.750%), 09/20/2065 | | $ | 2,198,215 | | | | 0.1 | |
2,776,802 | | Ginnie Mae Series 2015-H29 FL, 0.740%, (US0001M + 0.600%), 11/20/2065 | | | 2,797,911 | | | | 0.2 | |
36,518,475 | | Ginnie Mae Series 2015-H30 FC, 0.800%, (US0001M + 0.660%), 11/20/2065 | | | 36,847,032 | | | | 2.1 | |
1,414,623 | | Ginnie Mae Series 2015-H30 FE, 0.740%, (US0001M + 0.600%), 11/20/2065 | | | 1,425,774 | | | | 0.1 | |
8,789,398 (1) | | Ginnie Mae Series 2016-20 BS, 5.948%, (-1.000*US0001M + 6.100%), 02/20/2046 | | | 1,905,550 | | | | 0.1 | |
10,932,131 | | Ginnie Mae Series 2016-69 B, 3.000%, 05/20/2046 | | | 11,501,509 | | | | 0.7 | |
903,115 | | Ginnie Mae Series 2016-H01 FL, 0.790%, (US0001M + 0.650%), 12/20/2065 | | | 907,342 | | | | 0.1 | |
250,279 | | Ginnie Mae Series 2016-H03 FB, 0.790%, (US0001M + 0.650%), 01/20/2066 | | | 252,645 | | | | 0.0 | |
3,320,060 | | Ginnie Mae Series 2016-H04 FK, 1.190%, (US0001M + 1.050%), 02/20/2066 | | | 3,372,515 | | | | 0.2 | |
71,848 | | Ginnie Mae Series 2016-H07 FK, 1.140%, (US0001M + 1.000%), 03/20/2066 | | | 73,385 | | | | 0.0 | |
1,374,386 | | Ginnie Mae Series 2016-H09 FB, 1.040%, (US0001M + 0.900%), 04/20/2066 | | | 1,398,786 | | | | 0.1 | |
571,382 | | Ginnie Mae Series 2016-H10 FJ, 0.740%, (US0001M + 0.600%), 04/20/2066 | | | 571,652 | | | | 0.0 | |
2,377,063 | | Ginnie Mae Series 2016-H11 F, 0.940%, (US0001M + 0.800%), 05/20/2066 | | | 2,410,529 | | | | 0.1 | |
1,248,655 | | Ginnie Mae Series 2016-H11 FE, 0.990%, (US0001M + 0.850%), 04/20/2066 | | | 1,269,040 | | | | 0.1 | |
3,688,774 | | Ginnie Mae Series 2016-H13 FD, 0.570%, (H15T1Y + 0.450%), 05/20/2066 | | | 3,661,689 | | | | 0.2 | |
1,093,560 | | Ginnie Mae Series 2016-H13 FT, 0.720%, (US0001M + 0.580%), 05/20/2066 | | | 1,096,539 | | | | 0.1 | |
468,947 | | Ginnie Mae Series 2016-H20 FG, 0.840%, (US0001M + 0.700%), 08/20/2066 | | | 471,725 | | | | 0.0 | |
2,035,076 | | Ginnie Mae Series 2016-H21 FH, 0.990%, (US0001M + 0.850%), 09/20/2066 | | | 2,068,349 | | | | 0.1 | |
3,541,895 | | Ginnie Mae Series 2017-107 QZ, 3.000%, 08/20/2045 | | | 3,783,905 | | | | 0.2 | |
2,696,702 | | Ginnie Mae Series 2017-56 HM, 3.000%, 12/20/2046 | | | 2,878,166 | | | | 0.2 | |
4,716,266 | | Ginnie Mae Series 2017-56 JZ, 3.000%, 04/20/2047 | | | 5,238,997 | | | | 0.3 | |
35,521,358 | | Ginnie Mae Series 2017-H05 FC, 0.890%, (US0001M + 0.750%), 02/20/2067 | | | 35,993,422 | | | | 2.1 | |
714,842 | | Ginnie Mae Series 2017-H07 FG, 0.600%, (US0001M + 0.460%), 02/20/2067 | | | 716,088 | | | | 0.0 | |
207,754 | | Ginnie Mae Series 2017-H14 FD, 0.610%, (US0001M + 0.470%), 06/20/2067 | | | 208,271 | | | | 0.0 | |
1,751,689 | | Ginnie Mae Series 2017-H14 FV, 0.640%, (US0001M + 0.500%), 06/20/2067 | | | 1,758,453 | | | | 0.1 | |
2,799,146 | | Ginnie Mae Series 2017-H17 FG, 0.640%, (US0001M + 0.500%), 08/20/2067 | | | 2,807,019 | | | | 0.2 | |
309,634 | | Ginnie Mae Series 2018-163 DZ, 4.500%, 11/20/2048 | | | 368,869 | | | | 0.0 | |
3,511,700 | | Ginnie Mae Series 2018-H04 FM, 0.440%, (US0001M + 0.300%), 03/20/2068 | | | 3,503,299 | | | | 0.2 | |
921,696 | | Ginnie Mae Series 2018-H07 FE, 0.490%, (US0001M + 0.350%), 02/20/2068 | | | 921,054 | | | | 0.1 | |
7,628,845 | | Ginnie Mae Series 2018-H14 FG, 0.490%, (US0001M + 0.350%), 09/20/2068 | | | 7,620,762 | | | | 0.4 | |
9,064,319 | | Ginnie Mae Series 2018-H18 FC, 0.490%, (US0001M + 0.350%), 08/20/2065 | | | 9,057,030 | | | | 0.5 | |
5,543,744 | | Ginnie Mae Series 2019-1 Z, 4.000%, 01/20/2049 | | | 5,824,378 | | | | 0.3 | |
7,839,153 | | Ginnie Mae Series 2019-100 FD, 0.552%, (US0001M + 0.400%), 08/20/2049 | | | 7,856,873 | | | | 0.5 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | | | | |
12,000,000 (1) | | Ginnie Mae Series 2019-56 YI, 5.000%, 05/20/2049 | | $ | 3,872,651 | | | | 0.2 | |
1,469,064 | | Ginnie Mae Series 2019-H01 FJ, 0.440%, (US0001M + 0.300%), 09/20/2068 | | | 1,467,075 | | | | 0.1 | |
1,405,014 | | Ginnie Mae Series 2019-H01 FL, 0.590%, (US0001M + 0.450%), 12/20/2068 | | | 1,405,231 | | | | 0.1 | |
4,994,948 | | Ginnie Mae Series 2019-H05 FL, 0.620%, (US0001M + 0.480%), 03/20/2069 | | | 4,994,054 | | | | 0.3 | |
3,757,111 | | Ginnie Mae Series 2019-H19 FB, 0.590%, (US0001M + 0.450%), 11/20/2069 | | | 3,762,932 | | | | 0.2 | |
2,037,101 | | Ginnie Mae Series 2020-H01 FT, 2.036%, (H15T1Y + 0.500%), 01/20/2070 | | | 2,024,644 | | | | 0.1 | |
9,763,432 | | Ginnie Mae Series 2020-H10 FD, 0.552%, (US0001M + 0.400%), 05/20/2070 | | | 9,766,188 | | | | 0.6 | |
1,144,367 | | Seasoned Credit Risk Transfer Trust Series 2017-2 MA, 3.000%, 08/25/2056 | | | 1,227,453 | | | | 0.1 | |
320,222 | | Seasoned Credit Risk Transfer Trust Series 2019-1 M55D, 4.000%, 07/25/2058 | | | 352,339 | | | | 0.0 | |
2,475,000 | | Seasoned Loans Structured Transaction Series 2019-1 A2, 3.500%, 05/25/2029 | | | 2,736,070 | | | | 0.2 | |
1,738,158 | | Vendee Mortgage Trust 2011-2 DZ, 3.750%, 10/15/2041 | | | 1,933,005 | | | | 0.1 | |
| | | | | | | | | | |
| | Total Collateralized Mortgage Obligations | | | | | | | | |
| | (Cost $917,757,474) | | | 942,866,098 | | | | 54.2 | |
| | | | | | | | | | |
U.S. GOVERNMENT AGENCY OBLIGATIONS: 59.3% | | | | | |
| | Federal Home Loan Mortgage Corporation: 1.5%(4) | |
1,946,185 | | 3.500%,07/01/2047 | | | 2,066,527 | | | | 0.1 | |
3,348,379 | | 3.500%,12/01/2047 | | | 3,624,489 | | | | 0.2 | |
5,459,360 | | 3.500%,03/01/2048 | | | 5,966,795 | | | | 0.4 | |
6,220,136 | | 3.500%,11/01/2048 | | | 6,798,304 | | | | 0.4 | |
2,473,122 | | 4.000%,07/01/2047 | | | 2,658,107 | | | | 0.2 | |
1,014,888 | | 4.500%,08/01/2047 | | | 1,109,075 | | | | 0.1 | |
141,984 | | 5.290%,10/01/2037 | | | 158,047 | | | | 0.0 | |
26,127 | | 5.410%,07/01/2037 | | | 29,148 | | | | 0.0 | |
25,338 | | 5.410%,08/01/2037 | | | 28,269 | | | | 0.0 | |
15,421 | | 5.410%,08/01/2037 | | | 17,195 | | | | 0.0 | |
38,067 | | 5.440%,01/01/2037 | | | 42,492 | | | | 0.0 | |
20,448 | | 5.440%,02/01/2037 | | | 22,819 | | | | 0.0 | |
49,863 | | 5.440%,04/01/2037 | | | 55,700 | | | | 0.0 | |
30,793 | | 5.440%,09/01/2037 | | | 34,376 | | | | 0.0 | |
29,396 | | 5.440%,02/01/2038 | | | 32,813 | | | | 0.0 | |
135,803 | | 5.450%,12/01/2037 | | | 150,234 | | | | 0.0 | |
104,605 | | 5.450%,12/01/2037 | | | 116,168 | | | | 0.0 | |
68,310 | | 5.460%,05/01/2037 | | | 76,537 | | | | 0.0 | |
34,901 | | 5.460%,08/01/2037 | | | 38,974 | | | | 0.0 | |
38,371 | | 5.460%,01/01/2038 | | | 42,613 | | | | 0.0 | |
37,194 | | 5.480%,08/01/2037 | | | 41,550 | | | | 0.0 | |
78,237 | | 5.500%,08/01/2037 | | | 88,174 | | | | 0.0 | |
92,236 | | 5.500%,11/01/2037 | | | 103,524 | | | | 0.0 | |
28,189 | | 5.500%,04/01/2038 | | | 31,512 | | | | 0.0 | |
17,743 | | 5.520%,10/01/2037 | | | 19,834 | | | | 0.0 | |
39,521 | | 5.620%,12/01/2036 | | | 44,237 | | | | 0.0 | |
95,070 | | 5.620%,03/01/2037 | | | 107,365 | | | | 0.0 | |
67,098 | | 5.620%,08/01/2037 | | | 75,187 | | | | 0.0 | |
198,900 | | 5.625%,12/01/2036 | | | 222,790 | | | | 0.0 | |
192,057 | | 5.625%,01/01/2037 | | | 215,209 | | | | 0.0 | |
16,910 | | 5.625%,02/01/2037 | | | 18,900 | | | | 0.0 | |
171,245 | | 5.625%,03/01/2037 | | | 191,789 | | | | 0.0 | |
92,761 | | 5.625%,06/01/2037 | | | 103,815 | | | | 0.0 | |
82,534 | | 5.625%,07/01/2037 | | | 92,365 | | | | 0.0 | |
45,704 | | 5.625%,02/01/2038 | | | 51,147 | | | | 0.0 | |
641,242 | | 5.750%,09/01/2037 | | | 751,712 | | | | 0.1 | |
79,336 | | 5.750%,10/01/2037 | | | 88,919 | �� | | | 0.0 | |
149,064 | | 5.750%,11/01/2037 | | | 167,180 | | | | 0.0 | |
53,370 | | 5.750%,12/01/2037 | | | 59,815 | | | | 0.0 | |
96,987 | | 6.090%,12/01/2037 | | | 109,034 | | | | 0.0 | |
6,441 | | 7.500%,01/01/2030 | | | 7,622 | | | | 0.0 | |
8,228 | | 8.000%,01/01/2030 | | | 8,264 | | | | 0.0 | |
| | | | | 25,668,626 | | | | 1.5 | |
| | | | | | | | | | |
| | Federal National Mortgage Association: 0.8%(4) | |
7,476,216 | | 4.000%,07/01/2056 | | | 8,343,225 | | | | 0.5 | |
1,386,184 | | 4.500%,09/01/2047 | | | 1,593,948 | | | | 0.1 | |
334,822 | | 5.290%,09/01/2037 | | | 363,290 | | | | 0.1 | |
262,012 | | 5.290%,09/01/2037 | | | 280,283 | | | | 0.0 | |
294,033 | | 5.290%,11/01/2037 | | | 324,859 | | | | 0.0 | |
82,561 | | 5.290%,12/01/2037 | | | 85,948 | | | | 0.0 | |
265,246 | | 5.290%,04/01/2038 | | | 287,155 | | | | 0.0 | |
52,798 | | 5.350%,04/01/2029 | | | 59,151 | | | | 0.0 | |
38,446 | | 5.350%,09/01/2029 | | | 43,300 | | | | 0.0 | |
69,215 | | 5.390%,05/01/2038 | | | 80,932 | | | | 0.0 | |
161,429 | | 5.440%,08/01/2047 | | | 177,804 | | | | 0.0 | |
118,310 | | 5.440%,08/01/2047 | | | 130,150 | | | | 0.0 | |
288,281 | | 5.440%,08/01/2047 | | | 312,408 | | | | 0.0 | |
166,207 | | 5.440%,08/01/2047 | | | 179,870 | | | | 0.0 | |
177,466 | | 5.440%,09/01/2047 | | | 192,107 | | | | 0.0 | |
476,207 | | 5.440%,10/01/2047 | | | 525,453 | | | | 0.1 | |
94,633 | | 5.440%,05/01/2048 | | | 104,098 | | | | 0.0 | |
66,409 | | 5.620%,12/01/2036 | | | 69,738 | | | | 0.0 | |
45,379 | | 5.875%,06/01/2035 | | | 46,976 | | | | 0.0 | |
104,003 | | 5.890%,08/01/2047 | | | 112,910 | | | | 0.0 | |
112,291 | | 5.890%,10/01/2047 | | | 122,509 | | | | 0.0 | |
19,998 | | 5.900%,09/01/2028 | | | 21,632 | | | | 0.0 | |
35,107 | | 6.600%,07/01/2027 | | | 35,697 | | | | 0.0 | |
33,215 | | 6.600%,09/01/2027 | | | 33,672 | | | | 0.0 | |
28,973 | | 6.600%,11/01/2027 | | | 29,182 | | | | 0.0 | |
24,699 | | 6.600%,06/01/2028 | | | 24,878 | | | | 0.0 | |
| | | | | 13,581,175 | | | | 0.8 | |
| | | | | | | | | | |
| | Government National Mortgage Association: 52.7% | |
327,069,000 (5) | | 2.000%,01/01/2051 | | | 342,003,880 | | | | 19.7 | |
132,800,000 (5) | | 2.500%,02/01/2051 | | | 140,296,002 | | | | 8.1 | |
1,368,492 | | 3.000%,04/20/2045 | | | 1,460,147 | | | | 0.1 | |
420,382 | | 3.000%,11/20/2045 | | | 446,993 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
COMMERCIAL MORTGAGE-BACKED SECURITIES: (continued) | | | | | |
31,466,000 (1) | | Freddie Mac Multifamily Structured Pass Through Certificates KL06 XFX, 1.364%, 12/25/2029 | | $ | 3,023,370 | | | | 0 .2 | |
368,985 (2) | | Ginnie Mae 2004-23 Z, 5.688%, 03/16/2044 | | | 409,026 | | | | 0.0 | |
4,933,120 (1),(2) | | Ginnie Mae 2006-67 IO, 0.478%, 11/16/2046 | | | 14,223 | | | | 0.0 | |
370,980 (2) | | Ginnie Mae 2007-52 Z, 4.350%, 01/16/2048 | | | 406,523 | | | | 0.0 | |
638,304 | | Ginnie Mae 2008-39 Z, 4.500%, 02/16/2048 | | | 686,397 | | | | 0.1 | |
233,786 (1),(2) | | Ginnie Mae 2008-45 IO, 0.853%, 02/16/2048 | | | 304 | | | | 0.0 | |
239,059 (2) | | Ginnie Mae 2009-115 D, 4.732%, 01/16/2050 | | | 249,045 | | | | 0.0 | |
1,562,865 (1),(2) | | Ginnie Mae 2010-122 IO, 0.241%, 02/16/2044 | | | 2,037 | | | | 0.0 | |
62,109 (1),(2) | | Ginnie Mae 2010-123 IA, 2.050%, 10/16/2052 | | | 686 | | | | 0.0 | |
16,566,743 (1),(2) | | Ginnie Mae 2011-47 IO, 0.107%, 01/16/2051 | | | 36,796 | | | | 0.0 | |
167,977 (2) | | Ginnie Mae 2011-53 B, 3.906%, 05/16/2051 | | | 172,915 | | | | 0.0 | |
| | | | | | | | | | |
| Total Commercial Mortgage-Backed Securities | | | | | | | | |
| (Cost $6,229,905) | | | 6,135,378 | | | | 0.4 | |
| | | | | | | | | |
ASSET-BACKED SECURITIES: 0.1% | | | | | |
| | Other Asset-Backed Securities: 0.1% | |
130,358 (2) | | Fannie Mae Grantor Trust 2003-T4 2A6, 4.665%, 07/26/2033 | | | 133,866 | | | | 0.0 | |
81,716 (2) | | Fannie Mae REMIC Trust 2001-W4 AF6, 5.610%, 01/25/2032 | | | 89,275 | | | | 0.0 | |
33,828 (2) | | Fannie Mae REMIC Trust 2002-W12 AF6, 5.066%, 02/25/2033 | | | 33,837 | | | | 0.0 | |
37,814 (2) | | Fannie Mae REMIC Trust 2002-W2 AF6, 6.988%, 05/25/2032 | | | 40,915 | | | | 0.0 | |
2,015,161 | | Fannie Mae Grantor Trust 2001-T9 A1, 0.368%, (US0001M + 0.220%), 09/25/2031 | | | 1,985,611 | | | | 0.1 | |
| | | | | | | | | | |
| Total Asset-Backed Securities | | | | | | | | |
| (Cost $2,275,045) | | | 2,283,504 | | | | 0.1 | |
| | | | | | | | | |
| Total Long-Term Investments | | | | | | | | |
| (Cost $1,941,314,805) | | | 1,981,970,000 | | | | 114.0 | |