Principal Amount† | | | Value | Percentage of Net Assets |
COLLATERALIZED MORTGAGE OBLIGATIONS: 49.4% | |
1,782,499 | | Fannie Mae 2004-28 PZ, 6.000%, 05/25/2034 | $ 2,312,509 | 0.1 |
2,412,152 | | Fannie Mae 2004-88 ZC, 6.500%, 12/25/2034 | 2,959,825 | 0.2 |
6,644,220 | | Fannie Mae 2005-17 B, 6.500%, (US0001M + 6.500%), 03/25/2035 | 8,366,039 | 0.5 |
1,873,366 | | Fannie Mae 2005-43 PZ, 6.000%, 05/25/2035 | 2,196,005 | 0.1 |
996,160 | | Fannie Mae 2007-60 ZB, 4.750%, 05/25/2037 | 1,084,391 | 0.1 |
2,564,666 | (1) | Fannie Mae 2010-150 PS, 6.509%, (-1.000*US0001M + 6.600%), 12/25/2039 | 121,077 | 0.0 |
4,177,188 | (1) | Fannie Mae 2010-95 SB, 6.509%, (-1.000*US0001M + 6.600%), 09/25/2040 | 680,087 | 0.0 |
5,207,854 | | Fannie Mae 2011-99 CZ, 4.500%, 10/25/2041 | 6,058,174 | 0.3 |
6,589,077 | (1) | Fannie Mae 2012-148 HI, 3.500%, 05/25/2042 | 682,373 | 0.0 |
17,420,316 | (1) | Fannie Mae 2012-148 IM, 3.000%, 01/25/2028 | 1,185,996 | 0.1 |
197,645 | (2) | Fannie Mae REMIC Trust 2002-W1 3A, 3.456%, 04/25/2042 | 206,147 | 0.0 |
956,212 | (2) | Fannie Mae REMIC Trust 2002-W6 3A, 3.687%, 01/25/2042 | 1,001,289 | 0.1 |
1,086,033 | | Fannie Mae REMIC Trust 2003-16 CX, 6.500%, 03/25/2033 | 1,276,034 | 0.1 |
2,536,874 | | Fannie Mae REMIC Trust 2003-34 LN, 5.000%, 05/25/2033 | 2,735,707 | 0.2 |
97,938 | | Fannie Mae REMIC Trust 2004-61 SH, 23.622%, (-3.998*US0001M + 23.988%), 11/25/2032 | 148,246 | 0.0 |
3,035,912 | (2) | Fannie Mae REMIC Trust 2004-W11 2A, 3.564%, 03/25/2043 | 3,011,461 | 0.2 |
2,772,230 | | Fannie Mae REMIC Trust 2004-W3 A8, 5.500%, 05/25/2034 | 3,047,725 | 0.2 |
524,428 | (1) | Fannie Mae REMIC Trust 2005-17 ES, 6.659%, (-1.000*US0001M + 6.750%), 03/25/2035 | 62,353 | 0.0 |
482,155 | | Fannie Mae REMIC Trust 2005-59 NQ, 16.646%, (-2.500*US0001M + 16.875%), 05/25/2035 | 597,829 | 0.0 |
565,573 | | Fannie Mae REMIC Trust 2005-88 ZC, 5.000%, 10/25/2035 | 639,267 | 0.0 |
135,820 | | Fannie Mae REMIC Trust 2006-115 ES, 26.194%, (-4.000*US0001M + 26.560%), 12/25/2036 | 215,334 | 0.0 |
963,482 | (1) | Fannie Mae REMIC Trust 2006-36 SP, 6.609%, (-1.000*US0001M + 6.700%), 05/25/2036 | 151,024 | 0.0 |
3,083,448 | (1) | Fannie Mae REMIC Trust 2006-79 SH, 6.359%, (-1.000*US0001M + 6.450%), 08/25/2036 | 763,670 | 0.0 |
226,470 | (2) | Fannie Mae REMIC Trust 2009-12 LK, 10.930%, 03/25/2039 | 264,266 | 0.0 |
1,861,549 | | Fannie Mae REMIC Trust 2009-66 XA, 5.500%, 12/25/2035 | 2,305,286 | 0.1 |
3,008,438 | | Fannie Mae REMIC Trust 2010-155 JC, 4.000%, 12/25/2039 | 3,166,674 | 0.2 |
5,084,839 | | Fannie Mae REMIC Trust 2010-2 LC, 5.000%, 02/25/2040 | 5,945,975 | 0.3 |
1,397,767 | | Fannie Mae REMIC Trust 2011-30 ZA, 5.000%, 04/25/2041 | 1,487,607 | 0.1 |
4,981,744 | (1) | Fannie Mae REMIC Trust 2012-128 VS, 6.159%, (-1.000*US0001M + 6.250%), 06/25/2042 | 666,249 | 0.0 |
3,423,761 | (1) | Fannie Mae REMIC Trust 2012-142 BI, 3.000%, 11/25/2027 | 207,130 | 0.0 |
2,470,355 | (1) | Fannie Mae REMIC Trust 2012-154 PI, 4.000%, 05/25/2042 | 292,620 | 0.0 |
1,962,143 | (1) | Fannie Mae REMIC Trust 2012-68 SD, 6.609%, (-1.000*US0001M + 6.700%), 06/25/2032 | 330,412 | 0.0 |
3,457,000 | | Fannie Mae REMIC Trust 2012-97 PC, 3.500%, 09/25/2042 | 3,877,327 | 0.2 |
799,339 | (1) | Fannie Mae REMIC Trust 2013-13 PI, 3.500%, 04/25/2042 | 72,894 | 0.0 |
2,047,328 | (1) | Fannie Mae REMIC Trust 2013-54 ID, 3.000%, 01/25/2033 | 148,458 | 0.0 |
636,662 | | Fannie Mae REMICS 2005-122 SE, 22.780%, (-3.500*US0001M + 23.100%), 11/25/2035 | 869,853 | 0.1 |
651,541 | | Fannie Mae REMICS 2005-75 GS, 19.976%, (-3.000*US0001M + 20.250%), 08/25/2035 | 900,188 | 0.1 |
3,940 | (3) | Fannie Mae REMICS 2006-44 P, 0.000%, 12/25/2033 | 3,640 | 0.0 |
Principal Amount† | | | Value | Percentage of Net Assets |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |
451,799 | | Fannie Mae REMICS 2006-8 PM, 26.034%, (-4.000*US0001M + 26.400%), 03/25/2036 | $ 1,078,258 | 0.1 |
580,446 | | Fannie Mae REMICS 2007-1 NR, 46.805%, (-7.600*US0001M + 47.500%), 02/25/2037 | 1,836,081 | 0.1 |
1,423,584 | | Fannie Mae REMICS 2010-26 F, 0.862%, (US0001M + 0.770%), 11/25/2036 | 1,457,999 | 0.1 |
1,441,668 | | Fannie Mae REMICS 2010-39 FN, 0.922%, (US0001M + 0.830%), 05/25/2040 | 1,473,968 | 0.1 |
692,509 | | Fannie Mae REMICS 2010-80 PZ, 5.000%, 07/25/2040 | 823,841 | 0.0 |
1,000,000 | | Fannie Mae REMICS 2010-87 PL, 4.000%, 06/25/2040 | 1,111,943 | 0.1 |
1,455,472 | | Fannie Mae REMICS 2011-10 ZC, 5.000%, 02/25/2041 | 1,655,746 | 0.1 |
750,000 | | Fannie Mae REMICS 2011-105 MB, 4.000%, 10/25/2041 | 849,382 | 0.0 |
1,730,000 | | Fannie Mae REMICS 2011-131 PB, 4.500%, 12/25/2041 | 1,985,776 | 0.1 |
3,516,926 | (1) | Fannie Mae REMICS 2012-137 EI, 3.000%, 12/25/2027 | 205,921 | 0.0 |
2,967,281 | | Fannie Mae REMICS 2012-148 KH, 3.000%, 03/25/2042 | 3,109,405 | 0.2 |
7,798,334 | | Fannie Mae REMICS 2012-17 QZ, 4.000%, 03/25/2042 | 8,555,928 | 0.5 |
2,500,000 | | Fannie Mae REMICS 2012-40 MY, 3.500%, 04/25/2042 | 2,757,617 | 0.2 |
2,127,659 | (3) | Fannie Mae REMICS 2013-135 PO, 0.000%, 01/25/2044 | 1,893,490 | 0.1 |
3,499,083 | (1) | Fannie Mae REMICS 2013-25 BI, 3.000%, 03/25/2033 | 311,517 | 0.0 |
1,274,045 | | Fannie Mae REMICS 2013-55 VZ, 3.000%, 06/25/2043 | 1,364,488 | 0.1 |
2,661,835 | (1) | Fannie Mae REMICS 2013-62 AI, 3.000%, 06/25/2033 | 248,695 | 0.0 |
1,401,927 | | Fannie Mae REMICS 2015-22 DY, 3.000%, 04/25/2045 | 1,484,280 | 0.1 |
1,273,914 | | Fannie Mae REMICS 2015-26 UZ, 3.000%, 05/25/2045 | 1,324,427 | 0.1 |
711,932 | | Fannie Mae REMICS 2015-68 JW, 3.500%, 09/25/2030 | 785,805 | 0.0 |
1,410,000 | | Fannie Mae REMICS 2016-103 PB, 3.000%, 01/25/2047 | 1,523,475 | 0.1 |
4,283,554 | | Fannie Mae REMICS 2016-64 LD, 3.500%, 09/25/2046 | 4,752,769 | 0.3 |
5,093,896 | | Fannie Mae REMICS 2017-22 DZ, 4.000%, 04/25/2047 | 5,903,058 | 0.3 |
8,000,000 | | Fannie Mae REMICS 2018-11 BX, 4.000%, 12/25/2047 | 8,622,541 | 0.5 |
508,963 | | Fannie Mae REMICS 2018-37 DZ, 4.000%, 06/25/2048 | 584,102 | 0.0 |
10,682,724 | (1) | Fannie Mae REMICS 2019-49 IG, 3.000%, 03/25/2033 | 863,639 | 0.0 |
1,558,673 | | Fannie Mae REMICS 2019-6 GZ, 4.000%, 03/25/2059 | 1,872,636 | 0.1 |
6,340,518 | (1) | Fannie Mae REMICS 2020-44 TI, 5.500%, 12/25/2035 | 1,179,836 | 0.1 |
4,022,791 | | Fannie Mae Series 2016-51 S, 5.829%, (-1.000*US0001M + 5.920%), 10/25/2043 | 4,390,017 | 0.2 |
1,966,465 | (2) | Fannie Mae Trust 2004-W2 3A, 3.232%, 02/25/2044 | 2,071,176 | 0.1 |
1,947,270 | (2) | Fannie Mae Trust 2004-W2 4A, 3.301%, 02/25/2044 | 2,047,618 | 0.1 |
2,489,115 | | Freddie Mac 3770 GA, 4.500%, 10/15/2040 | 2,881,798 | 0.2 |
2,168,156 | | Freddie Mac REMIC Trust 2005-S001 2A2, 0.242%, (US0001M + 0.150%), 09/25/2045 | 2,151,008 | 0.1 |
416,155 | | Freddie Mac REMIC Trust 2653 SC, 6.754%, (-0.500*US0001M + 6.800%), 07/15/2033 | 465,815 | 0.0 |
1,017,891 | | Freddie Mac REMIC Trust 2767 ZW, 6.000%, 03/15/2034 | 1,202,179 | 0.1 |
116,161 | | Freddie Mac REMIC Trust 3012 ST, 21.698%, (-3.600*US0001M + 21.960%), 04/15/2035 | 160,538 | 0.0 |
274,506 | | Freddie Mac REMIC Trust 3065 DC, 19.641%, (-3.000*US0001M + 19.860%), 03/15/2035 | 378,741 | 0.0 |
437,406 | | Freddie Mac REMIC Trust 3158 NE, 5.500%, 05/15/2036 | 511,081 | 0.0 |
3,694,963 | (1) | Freddie Mac REMIC Trust 3181 TA, 0.500%, (-0.794*US0001M + 5.635%), 07/15/2036 | 73,654 | 0.0 |
Principal Amount† | | | Value | Percentage of Net Assets |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |
272,780 | (1) | Freddie Mac REMIC Trust 3507 IA, 5.500%, 09/15/2035 | $ 46,655 | 0.0 |
361,166 | | Freddie Mac REMIC Trust 3864 NT, 5.500%, (-9.167*US0001M + 60.500%), 03/15/2039 | 394,984 | 0.0 |
1,769,640 | | Freddie Mac REMIC Trust 3888 ZG, 4.000%, 07/15/2041 | 1,916,786 | 0.1 |
365,302 | (1) | Freddie Mac REMIC Trust 4027 QI, 4.500%, 12/15/2040 | 12,708 | 0.0 |
11,430,542 | (1) | Freddie Mac REMIC Trust 4176 IA, 2.500%, 03/15/2028 | 592,374 | 0.0 |
165,960 | (3) | Freddie Mac REMICS 2974 KO, 0.000%, 05/15/2035 | 149,009 | 0.0 |
3,400,522 | | Freddie Mac REMICS 3196 ZK, 6.500%, 04/15/2032 | 4,557,565 | 0.3 |
1,031,729 | | Freddie Mac REMICS 3658 CZ, 5.000%, 04/15/2040 | 1,254,256 | 0.1 |
5,075,000 | | Freddie Mac REMICS 4059 DY, 3.500%, 06/15/2042 | 5,740,793 | 0.3 |
1,361,676 | | Freddie Mac REMICS 4097 ZA, 3.500%, 08/15/2042 | 1,488,679 | 0.1 |
3,873,475 | | Freddie Mac REMICS 4136 LU, 3.000%, 07/15/2032 | 3,929,006 | 0.2 |
9,069,036 | | Freddie Mac REMICS 4159 LZ, 3.500%, 01/15/2043 | 9,853,617 | 0.5 |
2,398,803 | | Freddie Mac REMICS 4249 CS, 4.581%, (-0.750*US0001M + 4.650%), 09/15/2043 | 2,352,167 | 0.1 |
2,877,185 | | Freddie Mac REMICS 4274 US, 5.777%, (-1.000*US0001M + 5.850%), 10/15/2035 | 2,959,918 | 0.2 |
920,827 | | Freddie Mac REMICS 4341 VH, 4.350%, 03/15/2027 | 939,224 | 0.1 |
9,911,168 | | Freddie Mac REMICS 4367 MZ, 4.000%, 07/15/2044 | 11,350,410 | 0.6 |
6,989,080 | | Freddie Mac REMICS 4480 ZX, 4.000%, 11/15/2044 | 7,692,798 | 0.4 |
2,118,479 | | Freddie Mac REMICS 4764 CJ, 4.000%, 06/15/2045 | 2,159,977 | 0.1 |
1,586,208 | | Freddie Mac REMICS 4764 DA, 4.000%, 07/15/2045 | 1,623,947 | 0.1 |
4,997,200 | | Freddie Mac REMICS 4818 GZ, 4.000%, 08/15/2048 | 5,327,610 | 0.3 |
2,597,868 | | Freddie Mac REMICS 5000 DC, 2.500%, 03/25/2040 | 2,717,073 | 0.2 |
1,333,388 | | Freddie Mac Series 4040 UZ, 5.000%, 05/15/2042 | 1,713,939 | 0.1 |
1,372,076 | (2) | Freddie Mac Structured Pass-Through Certificates T-54 2A, 3.640%, 07/25/2033 | 1,453,394 | 0.1 |
799,157 | (2) | Freddie Mac Structured Pass-Through Certificates T-54 4A, 3.565%, 02/25/2043 | 866,543 | 0.0 |
66,141 | (1) | Freddie Mac-Ginnie Mae Series 21 SA, 7.909%, (-1.000*US0001M + 8.000%), 10/25/2023 | 4,643 | 0.0 |
2,014,670 | | Seasoned Credit Risk Transfer Trust Series 2019-3 M55D, 4.000%, 10/25/2058 | 2,212,530 | 0.1 |
936,130 | | Ginnie Mae 2004-65 ZG, 5.500%, 07/20/2034 | 1,063,640 | 0.1 |
5,721,838 | | Ginnie Mae 2009-110 ZA, 5.500%, 11/16/2039 | 6,955,807 | 0.4 |
795,700 | | Ginnie Mae 2009-32 QZ, 5.500%, 05/16/2039 | 952,988 | 0.1 |
627,534 | | Ginnie Mae 2009-32 YZ, 7.000%, 05/16/2039 | 806,095 | 0.0 |
4,534,644 | | Ginnie Mae 2009-50 MZ, 6.000%, 07/16/2039 | 5,405,048 | 0.3 |
492,726 | | Ginnie Mae 2009-54 HZ, 5.000%, 07/20/2039 | 562,119 | 0.0 |
1,209,408 | | Ginnie Mae 2009-H01 FA, 1.243%, (US0001M + 1.150%), 11/20/2059 | 1,219,406 | 0.1 |
2,000,000 | | Ginnie Mae 2010-116 PB, 5.000%, 06/16/2040 | 2,321,474 | 0.1 |
3,735,741 | | Ginnie Mae 2010-125 BZ, 4.500%, 09/16/2040 | 3,966,670 | 0.2 |
3,189,974 | (3) | Ginnie Mae 2011-70 PO, 0.000%, 05/16/2041 | 2,858,359 | 0.2 |
2,640,087 | (1) | Ginnie Mae 2014-107 XS, 5.525%, (-1.000*US0001M + 5.600%), 07/16/2044 | 423,229 | 0.0 |
1,305,587 | (1) | Ginnie Mae 2014-96 SQ, 5.525%, (-1.000*US0001M + 5.600%), 07/16/2044 | 215,064 | 0.0 |
8,581,531 | | Ginnie Mae 2015-H13 FG, 0.507%, (US0001M + 0.400%), 04/20/2065 | 8,607,746 | 0.5 |
17,768,939 | (1) | Ginnie Mae 2016-120 IM, 3.500%, 07/20/2046 | 2,152,460 | 0.1 |
977,092 | (1) | Ginnie Mae 2016-84 IO, 5.000%, 12/20/2040 | 50,886 | 0.0 |
16,162,895 | | Ginnie Mae 2016-H20 FB, 0.657%, (US0001M + 0.550%), 09/20/2066 | 16,294,480 | 0.9 |
1,231,230 | (1) | Ginnie Mae 2018-78 IC, 4.000%, 02/20/2047 | 143,741 | 0.0 |
Principal Amount† | | | Value | Percentage of Net Assets |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |
433,154 | | Ginnie Mae Series 2002-92 EA, 4.500%, 02/20/2029 | $ 452,664 | 0.0 |
95,714 | | Ginnie Mae Series 2004-16 AE, 5.500%, 02/20/2034 | 106,455 | 0.0 |
891,995 | | Ginnie Mae Series 2004-17 MZ, 5.500%, 03/16/2034 | 988,671 | 0.1 |
617,517 | | Ginnie Mae Series 2004-28 CZ, 5.500%, 04/20/2034 | 699,324 | 0.0 |
318,377 | (3) | Ginnie Mae Series 2004-37 OA, 0.000%, 04/17/2034 | 295,269 | 0.0 |
2,301,223 | | Ginnie Mae Series 2004-4 MG, 5.000%, 01/16/2034 | 2,547,938 | 0.1 |
2,334,053 | | Ginnie Mae Series 2004-81 Z, 5.000%, 10/20/2034 | 2,601,166 | 0.1 |
974,346 | (1) | Ginnie Mae Series 2004-98 SA, 6.607%, (-1.000*US0001M + 6.700%), 11/20/2034 | 223,254 | 0.0 |
789,489 | | Ginnie Mae Series 2005-21 Z, 5.000%, 03/20/2035 | 888,664 | 0.1 |
216,816 | (1) | Ginnie Mae Series 2005-25 SI, 6.000%, (-6.000*US0001M + 43.200%), 01/20/2034 | 30,521 | 0.0 |
619,474 | (1) | Ginnie Mae Series 2005-7 AH, 6.695%, (-1.000*US0001M + 6.770%), 02/16/2035 | 115,631 | 0.0 |
721,216 | (1) | Ginnie Mae Series 2005-73 IM, 5.500%, 09/20/2035 | 129,935 | 0.0 |
421,150 | | Ginnie Mae Series 2005-80 Z, 5.000%, 10/20/2035 | 474,799 | 0.0 |
183,715 | | Ginnie Mae Series 2005-91 UP, 14.151%, (-2.000*US0001M + 14.300%), 09/16/2031 | 224,381 | 0.0 |
7,444,997 | | Ginnie Mae Series 2006-10 ZT, 6.000%, 03/20/2036 | 8,477,253 | 0.5 |
1,315,182 | | Ginnie Mae Series 2006-17 TW, 6.000%, 04/20/2036 | 1,508,680 | 0.1 |
6,498,889 | (1) | Ginnie Mae Series 2006-26 TB, 0.250%, (-1.000*US0001M + 6.500%), 06/20/2036 | 60,052 | 0.0 |
2,043,951 | | Ginnie Mae Series 2006-7 ZA, 5.500%, 02/20/2036 | 2,332,038 | 0.1 |
1,497,828 | (1) | Ginnie Mae Series 2007-17 CI, 7.500%, 04/16/2037 | 355,133 | 0.0 |
1,544,858 | (3) | Ginnie Mae Series 2007-41 OL, 0.000%, 07/20/2037 | 1,383,015 | 0.1 |
87,452 | | Ginnie Mae Series 2007-45 PE, 5.500%, 07/16/2037 | 98,855 | 0.0 |
286,221 | | Ginnie Mae Series 2007-48 SY, 20.026%, (-3.000*US0001M + 20.250%), 08/16/2037 | 399,706 | 0.0 |
1,644,541 | (1) | Ginnie Mae Series 2007-53 SC, 6.407%, (-1.000*US0001M + 6.500%), 09/20/2037 | 357,899 | 0.0 |
46,390 | | Ginnie Mae Series 2007-53 SW, 19.925%, (-3.000*US0001M + 20.205%), 09/20/2037 | 67,628 | 0.0 |
891,704 | | Ginnie Mae Series 2007-60 YZ, 5.500%, 10/20/2037 | 986,848 | 0.1 |
3,160,383 | | Ginnie Mae Series 2008-20 PZ, 6.000%, 03/20/2038 | 3,649,202 | 0.2 |
487,585 | (1) | Ginnie Mae Series 2008-3 SA, 6.457%, (-1.000*US0001M + 6.550%), 01/20/2038 | 110,097 | 0.0 |
889,394 | (1) | Ginnie Mae Series 2008-40 PS, 6.425%, (-1.000*US0001M + 6.500%), 05/16/2038 | 164,996 | 0.0 |
1,126,015 | (1) | Ginnie Mae Series 2008-51 GS, 6.155%, (-1.000*US0001M + 6.230%), 06/16/2038 | 232,185 | 0.0 |
2,125,069 | (1) | Ginnie Mae Series 2008-82 SA, 5.907%, (-1.000*US0001M + 6.000%), 09/20/2038 | 428,065 | 0.0 |
3,371,837 | (1) | Ginnie Mae Series 2009-110 SA, 6.275%, (-1.000*US0001M + 6.350%), 04/16/2039 | 296,535 | 0.0 |
841,245 | | Ginnie Mae Series 2009-110 ZC, 4.500%, 11/16/2039 | 980,502 | 0.1 |
3,135,752 | | Ginnie Mae Series 2009-118 XZ, 5.000%, 12/20/2039 | 3,568,357 | 0.2 |
1,285,640 | | Ginnie Mae Series 2009-121 ZQ, 5.500%, 09/20/2039 | 1,469,193 | 0.1 |
1,029,000 | | Ginnie Mae Series 2009-31 BP, 5.000%, 05/20/2039 | 1,197,965 | 0.1 |
1,939,037 | | Ginnie Mae Series 2009-31 ZL, 4.500%, 05/20/2039 | 2,171,914 | 0.1 |
1,888,925 | | Ginnie Mae Series 2009-34 Z, 4.500%, 05/16/2039 | 2,100,843 | 0.1 |
2,610,302 | | Ginnie Mae Series 2009-53 ZB, 6.000%, 07/16/2039 | 2,995,840 | 0.2 |
Principal Amount† | | | Value | Percentage of Net Assets |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |
227,377 | (1) | Ginnie Mae Series 2009-55 BI, 1.000%, (-25.000*US0001M + 162.500%), 06/16/2037 | $ 8,691 | 0.0 |
2,106,701 | | Ginnie Mae Series 2009-61 EZ, 7.500%, 08/20/2039 | 2,680,970 | 0.2 |
6,271,749 | | Ginnie Mae Series 2009-61 PZ, 7.500%, 08/20/2039 | 8,516,019 | 0.5 |
3,561,505 | | Ginnie Mae Series 2009-61 ZQ, 6.000%, 08/16/2039 | 4,508,926 | 0.3 |
1,176,922 | (1) | Ginnie Mae Series 2009-66 QS, 6.007%, (-1.000*US0001M + 6.100%), 07/20/2039 | 139,671 | 0.0 |
1,088,469 | | Ginnie Mae Series 2009-68 ZC, 5.500%, 08/16/2039 | 1,344,497 | 0.1 |
724,416 | (1) | Ginnie Mae Series 2009-77 SA, 6.075%, (-1.000*US0001M + 6.150%), 09/16/2039 | 139,975 | 0.0 |
3,811,110 | | Ginnie Mae Series 2009-77 ZB, 5.500%, 09/16/2039 | 4,412,109 | 0.2 |
1,080,753 | | Ginnie Mae Series 2009-87 WZ, 6.000%, 10/20/2039 | 1,389,385 | 0.1 |
641,853 | | Ginnie Mae Series 2009-92 DZ, 4.500%, 10/16/2039 | 748,016 | 0.0 |
1,521,357 | | Ginnie Mae Series 2009-98 MZ, 5.000%, 10/16/2039 | 1,824,075 | 0.1 |
1,544,807 | (1) | Ginnie Mae Series 2010-106 IP, 5.000%, 03/20/2040 | 154,679 | 0.0 |
10,371,000 | | Ginnie Mae Series 2010-113 BE, 4.500%, 09/20/2040 | 11,806,172 | 0.7 |
1,372,049 | (1) | Ginnie Mae Series 2010-116 NS, 6.575%, (-1.000*US0001M + 6.650%), 09/16/2040 | 242,255 | 0.0 |
5,093,552 | | Ginnie Mae Series 2010-117 ZQ, 4.500%, 09/20/2040 | 5,868,727 | 0.3 |
96,006 | (1) | Ginnie Mae Series 2010-130 KI, 5.500%, 09/16/2040 | 6,080 | 0.0 |
1,500,000 | | Ginnie Mae Series 2010-14 B, 4.500%, 02/16/2040 | 1,695,485 | 0.1 |
935,613 | | Ginnie Mae Series 2010-146 NL, 4.000%, 10/16/2039 | 947,261 | 0.1 |
943,675 | (1) | Ginnie Mae Series 2010-158 SA, 5.957%, (-1.000*US0001M + 6.050%), 12/20/2040 | 181,210 | 0.0 |
1,233,642 | | Ginnie Mae Series 2010-162 ZE, 4.000%, 12/16/2040 | 1,375,134 | 0.1 |
13,840,187 | (1) | Ginnie Mae Series 2010-166 GS, 5.907%, (-1.000*US0001M + 6.000%), 12/20/2040 | 2,103,386 | 0.1 |
1,060,930 | (1) | Ginnie Mae Series 2010-166 NI, 4.500%, 04/20/2039 | 56,518 | 0.0 |
1,424,097 | | Ginnie Mae Series 2010-169 AW, 4.500%, 12/20/2040 | 1,577,713 | 0.1 |
1,672,979 | | Ginnie Mae Series 2010-169 JZ, 4.000%, 12/20/2040 | 1,789,449 | 0.1 |
331,156 | (1) | Ginnie Mae Series 2010-19 LI, 5.000%, 07/16/2039 | 25,507 | 0.0 |
1,404,644 | | Ginnie Mae Series 2010-31 BP, 5.000%, 03/20/2040 | 1,554,673 | 0.1 |
1,498,768 | (1) | Ginnie Mae Series 2010-4 WI, 6.000%, 01/16/2040 | 225,836 | 0.0 |
5,026,443 | | Ginnie Mae Series 2010-42 VZ, 5.500%, 10/20/2039 | 5,927,327 | 0.3 |
1,068,117 | | Ginnie Mae Series 2010-59 ZA, 4.500%, 05/20/2040 | 1,199,221 | 0.1 |
3,551,899 | | Ginnie Mae Series 2010-H01 FA, 0.910%, (US0001M + 0.820%), 01/20/2060 | 3,590,153 | 0.2 |
9,277,470 | | Ginnie Mae Series 2010-H10 FB, 1.090%, (US0001M + 1.000%), 05/20/2060 | 9,445,365 | 0.5 |
5,296,294 | | Ginnie Mae Series 2010-H10 FC, 1.090%, (US0001M + 1.000%), 05/20/2060 | 5,378,461 | 0.3 |
1,712,255 | | Ginnie Mae Series 2010-H20 AF, 0.437%, (US0001M + 0.330%), 10/20/2060 | 1,715,233 | 0.1 |
714,857 | | Ginnie Mae Series 2011-116 CI, 4.000%, 05/16/2026 | 39,977 | 0.0 |
273,392 | (1) | Ginnie Mae Series 2011-123 QI, 5.000%, 05/20/2041 | 32,411 | 0.0 |
629,413 | | Ginnie Mae Series 2011-128 TF, 0.525%, (US0001M + 0.450%), 05/16/2041 | 634,942 | 0.0 |
3,169,388 | (1) | Ginnie Mae Series 2011-141 PS, 6.625%, (-1.000*US0001M + 6.700%), 06/16/2041 | 537,446 | 0.0 |
2,306,402 | (1) | Ginnie Mae Series 2011-146 EI, 5.000%, 11/16/2041 | 413,216 | 0.0 |
945,000 | | Ginnie Mae Series 2011-151 PY, 3.000%, 11/20/2041 | 1,014,181 | 0.1 |
Principal Amount† | | | Value | Percentage of Net Assets |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |
76,077 | | Ginnie Mae Series 2011-169 BC, 7.000%, 05/16/2032 | $ 83,740 | 0.0 |
205,611 | (2) | Ginnie Mae Series 2011-169 BG, 5.432%, 04/16/2039 | 227,032 | 0.0 |
7,549,584 | | Ginnie Mae Series 2011-25 Z, 4.000%, 02/20/2041 | 8,253,109 | 0.5 |
1,544,443 | | Ginnie Mae Series 2011-59 QC, 4.000%, 12/20/2040 | 1,641,640 | 0.1 |
3,797,798 | | Ginnie Mae Series 2011-69 HW, 4.000%, 04/20/2040 | 3,944,367 | 0.2 |
2,507,551 | (1) | Ginnie Mae Series 2011-73 LS, 6.597%, (-1.000*US0001M + 6.690%), 08/20/2039 | 136,501 | 0.0 |
2,978,619 | | Ginnie Mae Series 2011-89 Z, 3.500%, 06/20/2041 | 3,254,364 | 0.2 |
1,803,814 | | Ginnie Mae Series 2011-H01 AF, 0.557%, (US0001M + 0.450%), 11/20/2060 | 1,811,988 | 0.1 |
2,540,437 | | Ginnie Mae Series 2011-H03 FA, 0.607%, (US0001M + 0.500%), 01/20/2061 | 2,554,551 | 0.1 |
790,811 | | Ginnie Mae Series 2011-H07 FA, 0.607%, (US0001M + 0.500%), 02/20/2061 | 793,883 | 0.0 |
230,856 | | Ginnie Mae Series 2011-H08 FD, 0.607%, (US0001M + 0.500%), 02/20/2061 | 232,153 | 0.0 |
665,117 | | Ginnie Mae Series 2011-H11 FB, 0.607%, (US0001M + 0.500%), 04/20/2061 | 668,588 | 0.0 |
1,818,673 | | Ginnie Mae Series 2011-H20 FA, 0.657%, (US0001M + 0.550%), 09/20/2061 | 1,830,472 | 0.1 |
402,861 | | Ginnie Mae Series 2011-H21 FT, 0.750%, (H15T1Y + 0.700%), 10/20/2061 | 401,668 | 0.0 |
242,458 | (1) | Ginnie Mae Series 2012-102 TI, 4.000%, 08/20/2039 | 1,877 | 0.0 |
1,627,091 | (1) | Ginnie Mae Series 2012-103 IC, 3.500%, 08/16/2040 | 105,009 | 0.0 |
376,133 | (1) | Ginnie Mae Series 2012-124 MI, 4.000%, 03/20/2042 | 27,721 | 0.0 |
4,104,105 | (1) | Ginnie Mae Series 2012-136 BI, 3.500%, 11/20/2042 | 631,935 | 0.0 |
4,775,342 | (1) | Ginnie Mae Series 2012-146 AI, 3.000%, 10/20/2037 | 219,115 | 0.0 |
415,382 | (1) | Ginnie Mae Series 2012-34 MS, 6.625%, (-1.000*US0001M + 6.700%), 04/16/2041 | 61,783 | 0.0 |
3,552,618 | (1) | Ginnie Mae Series 2012-48 SA, 6.575%, (-1.000*US0001M + 6.650%), 04/16/2042 | 790,924 | 0.0 |
4,728,955 | (1) | Ginnie Mae Series 2012-60 SG, 6.025%, (-1.000*US0001M + 6.100%), 05/16/2042 | 1,010,305 | 0.1 |
5,090,874 | | Ginnie Mae Series 2012-77 FE, 0.465%, (US0001M + 0.390%), 05/16/2041 | 5,127,970 | 0.3 |
1,062,236 | (1) | Ginnie Mae Series 2012-93 NS, 6.007%, (-1.000*US0001M + 6.100%), 07/20/2042 | 198,119 | 0.0 |
1,180,680 | (1) | Ginnie Mae Series 2012-98 EI, 4.000%, 04/20/2041 | 124,692 | 0.0 |
2,792,724 | | Ginnie Mae Series 2012-H06 FS, 0.807%, (US0001M + 0.700%), 03/20/2062 | 2,827,815 | 0.2 |
9,111,657 | | Ginnie Mae Series 2012-H08 FA, 0.707%, (US0001M + 0.600%), 01/20/2062 | 9,177,342 | 0.5 |
3,385,057 | | Ginnie Mae Series 2012-H08 FB, 0.707%, (US0001M + 0.600%), 03/20/2062 | 3,405,979 | 0.2 |
609,983 | | Ginnie Mae Series 2012-H11 FA, 0.807%, (US0001M + 0.700%), 02/20/2062 | 615,274 | 0.0 |
1,143,391 | | Ginnie Mae Series 2012-H11 GA, 0.687%, (US0001M + 0.580%), 05/20/2062 | 1,149,534 | 0.1 |
1,613,332 | | Ginnie Mae Series 2012-H11 VA, 0.757%, (US0001M + 0.650%), 05/20/2062 | 1,631,843 | 0.1 |
2,283,414 | | Ginnie Mae Series 2012-H12 FA, 0.657%, (US0001M + 0.550%), 04/20/2062 | 2,296,250 | 0.1 |
15,484,161 | | Ginnie Mae Series 2012-H12 FB, 1.157%, (US0001M + 1.050%), 02/20/2062 | 15,713,379 | 0.9 |
881,633 | | Ginnie Mae Series 2012-H14 FK, 0.687%, (US0001M + 0.580%), 07/20/2062 | 886,954 | 0.1 |
6,718,056 | | Ginnie Mae Series 2012-H20 BA, 0.667%, (US0001M + 0.560%), 09/20/2062 | 6,752,132 | 0.4 |
Principal Amount† | | | Value | Percentage of Net Assets |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |
2,592,881 | | Ginnie Mae Series 2012-H20 PT, 0.908%, (US0001M + 0.005%), 07/20/2062 | $ 2,589,878 | 0.1 |
3,029,272 | | Ginnie Mae Series 2012-H26 BA, 0.457%, (US0001M + 0.350%), 10/20/2062 | 3,035,427 | 0.2 |
305,227 | | Ginnie Mae Series 2012-H29 FA, 0.622%, (US0001M + 0.515%), 10/20/2062 | 306,654 | 0.0 |
1,730,334 | | Ginnie Mae Series 2012-H30 GA, 0.457%, (US0001M + 0.350%), 12/20/2062 | 1,733,466 | 0.1 |
1,858,379 | | Ginnie Mae Series 2012-H31 FD, 0.447%, (US0001M + 0.340%), 12/20/2062 | 1,862,359 | 0.1 |
1,751,780 | | Ginnie Mae Series 2013-119 TZ, 3.000%, 08/20/2043 | 1,809,198 | 0.1 |
7,000,000 | | Ginnie Mae Series 2013-147 BE, 4.000%, 12/20/2039 | 7,913,557 | 0.4 |
1,421,687 | | Ginnie Mae Series 2013-167 Z, 3.000%, 10/16/2043 | 1,496,070 | 0.1 |
1,900,000 | (1) | Ginnie Mae Series 2013-186 UI, 2.500%, 11/20/2043 | 427,027 | 0.0 |
799,425 | (1) | Ginnie Mae Series 2013-186 VI, 4.000%, 12/20/2042 | 93,564 | 0.0 |
4,524,513 | (1) | Ginnie Mae Series 2013-20 LI, 4.500%, 12/16/2042 | 600,725 | 0.0 |
2,262,810 | (1) | Ginnie Mae Series 2013-23 IO, 3.500%, 02/20/2043 | 368,950 | 0.0 |
1,563,374 | (1) | Ginnie Mae Series 2013-41 PI, 3.500%, 04/20/2040 | 48,337 | 0.0 |
1,148,179 | (1) | Ginnie Mae Series 2013-88 AI, 5.764%, (-1.000*US0001M + 5.850%), 06/20/2043 | 202,786 | 0.0 |
1,609,555 | (1) | Ginnie Mae Series 2013-99 SK, 5.814%, (-1.000*US0001M + 5.900%), 07/20/2043 | 270,401 | 0.0 |
2,692,753 | | Ginnie Mae Series 2013-H02 FD, 0.447%, (US0001M + 0.340%), 12/20/2062 | 2,697,161 | 0.2 |
391,757 | | Ginnie Mae Series 2013-H07 HA, 0.517%, (US0001M + 0.410%), 03/20/2063 | 393,093 | 0.0 |
1,674,075 | | Ginnie Mae Series 2013-H08 BF, 0.507%, (US0001M + 0.400%), 03/20/2063 | 1,679,060 | 0.1 |
2,694,913 | | Ginnie Mae Series 2013-H10 FT, 0.500%, (H15T1Y + 0.450%), 04/20/2063 | 2,674,596 | 0.2 |
1,822,320 | | Ginnie Mae Series 2013-H13 FS, 1.107%, (US0001M + 1.000%), 06/20/2063 | 1,862,308 | 0.1 |
3,611,413 | | Ginnie Mae Series 2013-H14 FC, 0.577%, (US0001M + 0.470%), 06/20/2063 | 3,626,209 | 0.2 |
1,188,644 | | Ginnie Mae Series 2013-H14 FD, 0.577%, (US0001M + 0.470%), 06/20/2063 | 1,193,596 | 0.1 |
1,077,223 | | Ginnie Mae Series 2013-H14 FG, 0.577%, (US0001M + 0.470%), 05/20/2063 | 1,081,902 | 0.1 |
923,274 | | Ginnie Mae Series 2013-H15 FA, 0.647%, (US0001M + 0.540%), 06/20/2063 | 927,831 | 0.1 |
2,752,779 | | Ginnie Mae Series 2013-H17 FA, 0.657%, (US0001M + 0.550%), 07/20/2063 | 2,764,779 | 0.2 |
713,079 | | Ginnie Mae Series 2013-H18 BA, 0.707%, (US0001M + 0.600%), 07/20/2063 | 718,273 | 0.0 |
1,302,307 | | Ginnie Mae Series 2013-H18 EA, 0.607%, (US0001M + 0.500%), 07/20/2063 | 1,307,713 | 0.1 |
2,178,522 | | Ginnie Mae Series 2013-H18 FA, 0.607%, (US0001M + 0.500%), 06/20/2063 | 2,190,251 | 0.1 |
3,288,726 | | Ginnie Mae Series 2013-H19 DF, 0.757%, (US0001M + 0.650%), 05/20/2063 | 3,312,152 | 0.2 |
2,029,664 | | Ginnie Mae Series 2013-H20 FB, 1.107%, (US0001M + 1.000%), 08/20/2063 | 2,050,419 | 0.1 |
1,036,584 | | Ginnie Mae Series 2013-H21 FB, 0.807%, (US0001M + 0.700%), 09/20/2063 | 1,044,361 | 0.1 |
1,740,189 | | Ginnie Mae Series 2013-H22 FB, 0.807%, (US0001M + 0.700%), 08/20/2063 | 1,754,066 | 0.1 |
2,448,306 | | Ginnie Mae Series 2013-H22 FT, 0.700%, (H15T1Y + 0.650%), 04/20/2063 | 2,439,948 | 0.1 |
2,784,604 | | Ginnie Mae Series 2013-H23 FA, 1.407%, (US0001M + 1.300%), 09/20/2063 | 2,830,152 | 0.2 |
Principal Amount† | | | Value | Percentage of Net Assets |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |
373,321 | | Ginnie Mae Series 2013-H24 FB, 0.837%, (US0001M + 0.730%), 09/20/2063 | $ 375,921 | 0.0 |
2,793,200 | | Ginnie Mae Series 2014-115 EM, 4.000%, 08/20/2044 | 3,190,715 | 0.2 |
4,142,775 | | Ginnie Mae Series 2014-118 ZP, 4.000%, 08/20/2044 | 4,499,436 | 0.3 |
1,750,359 | (1) | Ginnie Mae Series 2014-129 WS, 5.814%, (-1.000*US0001M + 5.900%), 09/20/2044 | 299,674 | 0.0 |
1,630,086 | (1) | Ginnie Mae Series 2014-161 WS, 5.814%, (-1.000*US0001M + 5.900%), 11/20/2044 | 271,775 | 0.0 |
1,513,620 | (1) | Ginnie Mae Series 2014-183 IM, 5.000%, 06/20/2035 | 257,861 | 0.0 |
1,989,961 | (1) | Ginnie Mae Series 2014-30 ES, 4.907%, (-1.000*US0001M + 5.000%), 03/20/2040 | 308,774 | 0.0 |
2,928,540 | (1) | Ginnie Mae Series 2014-99 IO, 4.500%, 06/20/2044 | 548,781 | 0.0 |
10,077,805 | | Ginnie Mae Series 2014-H03 FS, 0.757%, (US0001M + 0.650%), 02/20/2064 | 10,199,556 | 0.6 |
2,129,961 | | Ginnie Mae Series 2014-H04 FB, 0.757%, (US0001M + 0.650%), 02/20/2064 | 2,147,056 | 0.1 |
7,186,435 | | Ginnie Mae Series 2014-H05 FB, 0.707%, (US0001M + 0.600%), 12/20/2063 | 7,232,888 | 0.4 |
1,696,191 | | Ginnie Mae Series 2014-H06 FA, 0.677%, (US0001M + 0.570%), 03/20/2064 | 1,706,906 | 0.1 |
690,910 | | Ginnie Mae Series 2014-H06 HB, 0.757%, (US0001M + 0.650%), 03/20/2064 | 696,685 | 0.0 |
3,184,487 | | Ginnie Mae Series 2014-H11 VA, 0.607%, (US0001M + 0.500%), 06/20/2064 | 3,211,777 | 0.2 |
3,799,981 | | Ginnie Mae Series 2014-H15 FA, 0.607%, (US0001M + 0.500%), 07/20/2064 | 3,831,749 | 0.2 |
1,752,372 | | Ginnie Mae Series 2014-H21 FA, 0.757%, (US0001M + 0.650%), 10/20/2064 | 1,774,990 | 0.1 |
9,185,957 | (2) | Ginnie Mae Series 2015-10 Q, 2.355%, 10/20/2044 | 9,413,961 | 0.5 |
2,364,266 | (1) | Ginnie Mae Series 2015-141 IX, 2.081%, (-0.714*US0001M + 2.142%), 06/20/2045 | 172,834 | 0.0 |
12,125,000 | | Ginnie Mae Series 2015-143 B, 3.500%, 04/20/2045 | 13,356,609 | 0.7 |
2,871,487 | (1) | Ginnie Mae Series 2015-149 IL, 4.500%, 10/20/2045 | 577,698 | 0.0 |
2,114,946 | (1) | Ginnie Mae Series 2015-157 PI, 4.000%, 03/20/2044 | 191,707 | 0.0 |
3,958,791 | | Ginnie Mae Series 2015-165 ZA, 3.500%, 07/20/2045 | 4,219,894 | 0.2 |
7,421,609 | | Ginnie Mae Series 2015-27 PB, 3.000%, 08/20/2044 | 7,771,024 | 0.4 |
2,506,422 | | Ginnie Mae Series 2015-H03 FA, 0.607%, (US0001M + 0.500%), 12/20/2064 | 2,518,977 | 0.1 |
110,522 | | Ginnie Mae Series 2015-H04 FL, 0.577%, (US0001M + 0.470%), 02/20/2065 | 111,218 | 0.0 |
3,226,656 | | Ginnie Mae Series 2015-H05 FC, 0.587%, (US0001M + 0.480%), 02/20/2065 | 3,222,439 | 0.2 |
1,698,362 | | Ginnie Mae Series 2015-H06 FA, 0.587%, (US0001M + 0.480%), 02/20/2065 | 1,708,906 | 0.1 |
3,211,176 | | Ginnie Mae Series 2015-H08 FB, 0.737%, (US0001M + 0.630%), 03/20/2065 | 3,247,563 | 0.2 |
2,374,371 | | Ginnie Mae Series 2015-H08 FC, 0.587%, (US0001M + 0.480%), 03/20/2065 | 2,391,088 | 0.1 |
3,667,304 | | Ginnie Mae Series 2015-H09 FA, 0.727%, (US0001M + 0.620%), 04/20/2065 | 3,709,540 | 0.2 |
6,685,285 | | Ginnie Mae Series 2015-H10 FA, 0.707%, (US0001M + 0.600%), 04/20/2065 | 6,756,058 | 0.4 |
2,041,338 | | Ginnie Mae Series 2015-H10 FH, 0.707%, (US0001M + 0.600%), 04/20/2065 | 2,063,174 | 0.1 |
261,453 | | Ginnie Mae Series 2015-H12 FA, 0.587%, (US0001M + 0.480%), 05/20/2065 | 263,276 | 0.0 |
1,982,009 | | Ginnie Mae Series 2015-H12 FL, 0.337%, (US0001M + 0.230%), 05/20/2065 | 1,981,106 | 0.1 |
Principal Amount† | | | Value | Percentage of Net Assets |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |
667,302 | | Ginnie Mae Series 2015-H14 FB, 0.537%, (US0001M + 0.430%), 05/20/2065 | $ 669,706 | 0.0 |
942,963 | | Ginnie Mae Series 2015-H18 FB, 0.707%, (US0001M + 0.600%), 07/20/2065 | 952,964 | 0.1 |
1,094,441 | | Ginnie Mae Series 2015-H20 FB, 0.707%, (US0001M + 0.600%), 08/20/2065 | 1,106,598 | 0.1 |
1,967,415 | | Ginnie Mae Series 2015-H22 FC, 0.707%, (US0001M + 0.600%), 09/20/2065 | 1,990,003 | 0.1 |
1,556,831 | | Ginnie Mae Series 2015-H26 FA, 0.627%, (US0001M + 0.520%), 10/20/2065 | 1,571,182 | 0.1 |
3,723,500 | | Ginnie Mae Series 2015-H26 FC, 0.707%, (US0001M + 0.600%), 08/20/2065 | 3,742,750 | 0.2 |
300,086 | | Ginnie Mae Series 2015-H26 FG, 0.627%, (US0001M + 0.520%), 10/20/2065 | 301,290 | 0.0 |
2,063,836 | | Ginnie Mae Series 2015-H27 FA, 0.857%, (US0001M + 0.750%), 09/20/2065 | 2,096,722 | 0.1 |
2,761,354 | | Ginnie Mae Series 2015-H29 FL, 0.707%, (US0001M + 0.600%), 11/20/2065 | 2,779,515 | 0.2 |
33,693,350 | | Ginnie Mae Series 2015-H30 FC, 0.767%, (US0001M + 0.660%), 11/20/2065 | 34,149,605 | 1.9 |
131,480 | | Ginnie Mae Series 2015-H30 FD, 0.707%, (US0001M + 0.600%), 10/20/2065 | 132,509 | 0.0 |
1,348,323 | | Ginnie Mae Series 2015-H30 FE, 0.707%, (US0001M + 0.600%), 11/20/2065 | 1,364,448 | 0.1 |
2,892,976 | | Ginnie Mae Series 2015-H31 FT, 0.757%, (US0001M + 0.650%), 11/20/2065 | 2,903,450 | 0.2 |
8,575,376 | (1) | Ginnie Mae Series 2016-145 IU, 3.500%, 10/20/2046 | 1,125,277 | 0.1 |
7,425,799 | (1) | Ginnie Mae Series 2016-20 BS, 6.007%, (-1.000*US0001M + 6.100%), 02/20/2046 | 1,447,714 | 0.1 |
4,328,693 | (2) | Ginnie Mae Series 2016-5 AB, 4.693%, 01/20/2046 | 4,921,172 | 0.3 |
7,895,422 | | Ginnie Mae Series 2016-69 B, 3.000%, 05/20/2046 | 8,288,142 | 0.5 |
739,836 | | Ginnie Mae Series 2016-H01 FL, 0.757%, (US0001M + 0.650%), 12/20/2065 | 744,879 | 0.0 |
584,709 | | Ginnie Mae Series 2016-H02 FH, 1.107%, (US0001M + 1.000%), 01/20/2066 | 599,163 | 0.0 |
234,879 | | Ginnie Mae Series 2016-H03 FB, 0.757%, (US0001M + 0.650%), 01/20/2066 | 236,826 | 0.0 |
2,988,254 | | Ginnie Mae Series 2016-H04 FK, 1.157%, (US0001M + 1.050%), 02/20/2066 | 3,030,105 | 0.2 |
405,361 | | Ginnie Mae Series 2016-H07 FK, 1.107%, (US0001M + 1.000%), 03/20/2066 | 415,296 | 0.0 |
6,551,487 | | Ginnie Mae Series 2016-H08 FT, 0.827%, (US0001M + 0.720%), 02/20/2066 | 6,603,730 | 0.4 |
1,294,234 | | Ginnie Mae Series 2016-H09 FB, 1.007%, (US0001M + 0.900%), 04/20/2066 | 1,322,102 | 0.1 |
53,760 | | Ginnie Mae Series 2016-H10 FJ, 0.707%, (US0001M + 0.600%), 04/20/2066 | 53,776 | 0.0 |
2,660,953 | | Ginnie Mae Series 2016-H11 F, 0.907%, (US0001M + 0.800%), 05/20/2066 | 2,708,771 | 0.2 |
1,149,830 | | Ginnie Mae Series 2016-H11 FE, 0.957%, (US0001M + 0.850%), 04/20/2066 | 1,172,937 | 0.1 |
3,364,520 | | Ginnie Mae Series 2016-H13 FD, 0.500%, (H15T1Y + 0.450%), 05/20/2066 | 3,341,115 | 0.2 |
894,247 | | Ginnie Mae Series 2016-H13 FT, 0.687%, (US0001M + 0.580%), 05/20/2066 | 898,010 | 0.1 |
413,215 | | Ginnie Mae Series 2016-H20 FG, 0.807%, (US0001M + 0.700%), 08/20/2066 | 416,485 | 0.0 |
1,803,332 | | Ginnie Mae Series 2016-H21 FH, 0.957%, (US0001M + 0.850%), 09/20/2066 | 1,839,712 | 0.1 |
3,595,357 | | Ginnie Mae Series 2017-107 QZ, 3.000%, 08/20/2045 | 3,789,819 | 0.2 |
3,219,798 | (1) | Ginnie Mae Series 2017-123 IO, 5.000%, 08/16/2047 | 676,132 | 0.0 |
2,890,000 | | Ginnie Mae Series 2017-162 PL, 3.000%, 10/20/2047 | 3,059,834 | 0.2 |
Principal Amount† | | | Value | Percentage of Net Assets |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |
2,339,117 | | Ginnie Mae Series 2017-56 HM, 3.000%, 12/20/2046 | $ 2,477,823 | 0.1 |
4,787,453 | | Ginnie Mae Series 2017-56 JZ, 3.000%, 04/20/2047 | 5,188,072 | 0.3 |
32,346,145 | | Ginnie Mae Series 2017-H05 FC, 0.857%, (US0001M + 0.750%), 02/20/2067 | 32,768,537 | 1.8 |
1,438,657 | | Ginnie Mae Series 2017-H07 FG, 0.567%, (US0001M + 0.460%), 02/20/2067 | 1,445,267 | 0.1 |
193,626 | | Ginnie Mae Series 2017-H14 FD, 0.577%, (US0001M + 0.470%), 06/20/2067 | 194,798 | 0.0 |
1,616,395 | | Ginnie Mae Series 2017-H14 FV, 0.607%, (US0001M + 0.500%), 06/20/2067 | 1,629,319 | 0.1 |
2,518,549 | | Ginnie Mae Series 2017-H17 FG, 0.607%, (US0001M + 0.500%), 08/20/2067 | 2,533,182 | 0.1 |
1,968,532 | | Ginnie Mae Series 2017-H19 FA, 0.557%, (US0001M + 0.450%), 08/20/2067 | 1,974,864 | 0.1 |
29,931,957 | | Ginnie Mae Series 2017-H23 FC, 0.557%, (US0001M + 0.450%), 11/20/2067 | 30,067,109 | 1.7 |
2,150,730 | | Ginnie Mae Series 2018-112 AL, 3.500%, 08/20/2048 | 2,299,728 | 0.1 |
316,666 | | Ginnie Mae Series 2018-163 DZ, 4.500%, 11/20/2048 | 365,141 | 0.0 |
3,170,902 | | Ginnie Mae Series 2018-H04 FM, 0.407%, (US0001M + 0.300%), 03/20/2068 | 3,174,884 | 0.2 |
772,955 | | Ginnie Mae Series 2018-H07 FE, 0.457%, (US0001M + 0.350%), 02/20/2068 | 774,374 | 0.0 |
7,172,063 | | Ginnie Mae Series 2018-H14 FG, 0.457%, (US0001M + 0.350%), 09/20/2068 | 7,162,535 | 0.4 |
8,260,445 | | Ginnie Mae Series 2018-H18 FC, 0.457%, (US0001M + 0.350%), 08/20/2065 | 8,276,500 | 0.5 |
3,952,573 | | Ginnie Mae Series 2019-1 Z, 4.000%, 01/20/2049 | 4,170,396 | 0.2 |
5,920,673 | | Ginnie Mae Series 2019-100 FD, 0.493%, (US0001M + 0.400%), 08/20/2049 | 5,954,068 | 0.3 |
1,430,178 | | Ginnie Mae Series 2019-29 AI, 5.000%, 07/20/2048 | 228,214 | 0.0 |
12,000,000 | (1) | Ginnie Mae Series 2019-56 YI, 5.000%, 05/20/2049 | 3,734,584 | 0.2 |
1,340,879 | | Ginnie Mae Series 2019-H01 FJ, 0.407%, (US0001M + 0.300%), 09/20/2068 | 1,341,762 | 0.1 |
1,763,224 | | Ginnie Mae Series 2019-H01 FL, 0.557%, (US0001M + 0.450%), 12/20/2068 | 1,766,327 | 0.1 |
4,492,502 | | Ginnie Mae Series 2019-H05 FL, 0.587%, (US0001M + 0.480%), 03/20/2069 | 4,490,210 | 0.3 |
293,950 | | Ginnie Mae Series 2019-H10 FM, 0.507%, (US0001M + 0.400%), 05/20/2069 | 293,940 | 0.0 |
3,419,713 | | Ginnie Mae Series 2019-H19 FB, 0.557%, (US0001M + 0.450%), 11/20/2069 | 3,435,003 | 0.2 |
32,800,156 | (1) | Ginnie Mae Series 2020-47 LI, 3.500%, 04/20/2050 | 4,477,471 | 0.2 |
1,809,753 | | Ginnie Mae Series 2020-H01 FT, 0.610%, (H15T1Y + 0.500%), 01/20/2070 | 1,799,636 | 0.1 |
8,796,183 | | Ginnie Mae Series 2020-H10 FD, 0.493%, (US0001M + 0.400%), 05/20/2070 | 8,820,416 | 0.5 |
989,898 | | Seasoned Credit Risk Transfer Trust Series 2017-2 MA, 3.000%, 08/25/2056 | 1,035,157 | 0.1 |
5,532,536 | | Seasoned Credit Risk Transfer Trust Series 2019-1 M55D, 4.000%, 07/25/2058 | 6,079,960 | 0.3 |
5,470,000 | | Seasoned Loans Structured Transaction Series 2019-1 A2, 3.500%, 05/25/2029 | 6,043,344 | 0.3 |
1,050,000 | | Seasoned Loans Structured Transaction Trust Series 2019-3 A2C, 2.750%, 11/25/2029 | 1,115,260 | 0.1 |
1,771,004 | | Vendee Mortgage Trust 2011-2 DZ, 3.750%, 10/15/2041 | 1,892,966 | 0.1 |
| | | | |
| Total Collateralized Mortgage Obligations | | |
| (Cost $876,767,055) | 893,313,510 | 49.4 |
Principal Amount† | | | Value | Percentage of Net Assets |
U.S. GOVERNMENT AGENCY OBLIGATIONS: (continued) | |
| | Uniform Mortgage-Backed Securities: (continued) |
19,622 | | 5.300%,10/01/2036 | $ 21,729 | 0.0 |
117,814 | | 5.300%,12/01/2036 | 130,501 | 0.0 |
82,138 | | 5.300%,12/01/2036 | 90,946 | 0.0 |
66,053 | | 5.300%,02/01/2037 | 73,194 | 0.0 |
51,589 | | 5.300%,05/01/2037 | 57,164 | 0.0 |
316,116 | | 5.300%,08/01/2037 | 355,323 | 0.0 |
124,099 | | 5.390%,12/01/2037 | 137,834 | 0.0 |
170,167 | | 5.405%,11/01/2036 | 189,204 | 0.0 |
223,668 | | 5.405%,02/01/2037 | 249,050 | 0.0 |
86,167 | | 5.740%,07/01/2037 | 96,266 | 0.0 |
12,808 | | 7.500%,05/01/2028 | 12,858 | 0.0 |
| | | 124,850,851 | 6.9 |
| | | | |
| Total U.S. Government Agency Obligations | | |
| (Cost $1,092,562,452) | 1,101,429,400 | 60.9 |
| | | |
COMMERCIAL MORTGAGE-BACKED SECURITIES: 3.7% | |
9,283,582 | (1),(2) | Freddie Mac Multifamily Structured Pass Through Certificates K106 X1, 1.477%, 01/25/2030 | 941,805 | 0.1 |
28,116,787 | (1),(2) | Freddie Mac Multifamily Structured Pass Through Certificates K107 X1, 1.810%, 03/25/2030 | 3,617,101 | 0.2 |
19,472,487 | (1),(2) | Freddie Mac Multifamily Structured Pass Through Certificates K110 X1, 1.815%, 04/25/2030 | 2,479,307 | 0.1 |
2,995,968 | (1),(2) | Freddie Mac Multifamily Structured Pass Through Certificates K119 X1, 1.027%, 09/25/2030 | 222,655 | 0.0 |
16,561,788 | (1),(2) | Freddie Mac Multifamily Structured Pass Through Certificates K-1516 X1, 1.631%, 05/25/2035 | 2,765,332 | 0.2 |
14,989,015 | (1),(2) | Freddie Mac Multifamily Structured Pass Through Certificates K-1517 X1, 1.447%, 07/25/2035 | 2,202,324 | 0.1 |
34,949,547 | (1),(2) | Freddie Mac Multifamily Structured Pass Through Certificates K-1519 X1, 0.707%, 12/25/2035 | 2,357,979 | 0.1 |
24,965,604 | (1),(2) | Freddie Mac Multifamily Structured Pass Through Certificates K740 X1, 0.845%, 09/25/2027 | 1,055,583 | 0.1 |
31,466,000 | (1) | Freddie Mac Multifamily Structured Pass Through Certificates KL06 XFX, 1.364%, 12/25/2029 | 2,894,133 | 0.2 |
34,895,607 | (1),(2) | Freddie Mac Multifamily Structured Pass Through Certificates KLU3 X1, 2.080%, 01/25/2031 | 4,832,752 | 0.3 |
317,706 | (2) | Ginnie Mae 2004-23 Z, 5.728%, 03/16/2044 | 349,633 | 0.0 |
4,735,220 | (1),(2) | Ginnie Mae 2006-67 IO, 0.471%, 11/16/2046 | 13,463 | 0.0 |
364,621 | (2) | Ginnie Mae 2007-52 Z, 4.350%, 01/16/2048 | 395,775 | 0.0 |
628,337 | | Ginnie Mae 2008-39 Z, 4.500%, 02/16/2048 | 674,185 | 0.0 |
231,753 | (1),(2) | Ginnie Mae 2008-45 IO, 0.854%, 02/16/2048 | 291 | 0.0 |
186,288 | (2) | Ginnie Mae 2009-115 D, 4.775%, 01/16/2050 | 192,817 | 0.0 |
1,300,370 | (1),(2) | Ginnie Mae 2010-122 IO, 0.241%, 02/16/2044 | 1,443 | 0.0 |
61,147 | (1),(2) | Ginnie Mae 2010-123 IA, 2.050%, 10/16/2052 | 701 | 0.0 |
14,656,530 | (1),(2) | Ginnie Mae 2011-47 IO, 0.158%, 01/16/2051 | 50,830 | 0.0 |
158,543 | (2) | Ginnie Mae 2011-53 B, 3.905%, 05/16/2051 | 162,919 | 0.0 |
1,844,070 | (2) | Ginnie Mae 2018-114 Z, 3.100%, 04/16/2060 | 1,997,352 | 0.1 |
10,433,047 | | Ginnie Mae 2018-116 Z, 3.000%, 06/16/2058 | 11,195,552 | 0.6 |
1,862,409 | | Ginnie Mae 2018-169 Z, 3.000%, 04/16/2061 | 2,004,691 | 0.1 |
1,852,703 | | Ginnie Mae 2019-17 Z, 3.000%, 12/16/2060 | 1,994,420 | 0.1 |
2,445,739 | (2) | Ginnie Mae 2019-19 Z, 3.200%, 11/16/2060 | 2,633,659 | 0.2 |
2,161,462 | | Ginnie Mae 2019-53 Z, 3.000%, 06/16/2061 | 2,289,518 | 0.1 |
9,987,443 | | Ginnie Mae 2021-60 GA, 3.100%, 05/16/2056 | 10,099,669 | 0.6 |
5,000,000 | | Ginnie Mae 2021-79, 1.750%, 08/16/2063 | 4,301,372 | 0.3 |
2,503,125 | | Ginnie Mae 2021-80 Z, 1.500%, 12/16/2062 | 2,112,518 | 0.1 |
2,333,712 | | Ginnie Mae 2021-90 B, 1.750%, 05/16/2061 | 2,104,157 | 0.1 |
| | | | |
| | | | |
| Total Commercial Mortgage-Backed Securities | | |
| (Cost $65,628,741) | 65,943,936 | 3.7 |
| | | |
ASSET-BACKED SECURITIES: 0.1% | |
| | Other Asset-Backed Securities: 0.1% |
1,786,362 | | Fannie Mae Grantor Trust 2001-T9 A1, 0.202%, (US0001M + 0.220%), 09/25/2031 | 1,762,182 | 0.1 |
96,360 | (2) | Fannie Mae Grantor Trust 2003-T4 2A6, 4.624%, 07/26/2033 | 98,431 | 0.0 |
41,929 | (2) | Fannie Mae REMIC Trust 2001-W4 AF6, 5.110%, 01/25/2032 | 44,967 | 0.0 |
25,965 | (2) | Fannie Mae REMIC Trust 2002-W12 AF6, 5.066%, 02/25/2033 | 25,991 | 0.0 |
Principal Amount† | | | Value | Percentage of Net Assets |
ASSET-BACKED SECURITIES: (continued) | |
| | Other Asset-Backed Securities: (continued) |
28,063 | (2) | Fannie Mae REMIC Trust 2002-W2 AF6, 6.000%, 05/25/2032 | $ 30,323 | 0.0 |
| | | | |
| Total Asset-Backed Securities | | |
| (Cost $1,955,744) | 1,961,894 | 0.1 |
| | | |
| Total Long-Term Investments | | |
| (Cost $2,036,913,992) | 2,062,648,740 | 114.1 |
| | | |
SHORT-TERM INVESTMENTS: 27.8% |
| | U.S. Treasury Bills: 27.8% |
1,925,000 | (6) | United States Treasury Bill, 0.040%, 07/27/2021 | 1,924,943 | 0.1 |
21,600,000 | (6) | United States Treasury Bill, 0.040%, 07/29/2021 | 21,599,282 | 1.2 |
103,350,000 | (6) | United States Treasury Bill, 0.040%, 09/09/2021 | 103,341,459 | 5.7 |
1,200,000 | (6) | United States Treasury Bill, 0.040%, 09/16/2021 | 1,199,897 | 0.1 |
349,850,000 | (6) | United States Treasury Bill, 0.040%, 11/26/2021 | 349,788,154 | 19.3 |
25,000,000 | (6) | United States Treasury Bill, 0.060%, 05/19/2022 | 24,985,689 | 1.4 |
| | | |
| Total U.S. Treasury Bills | | |
| | | |
| Total Short-Term Investments | | |
| (Cost $502,865,903) | 502,839,424 | 27.8 |
| | | |
| Total Investments in Securities (Cost $2,539,779,895) | $ 2,565,488,164 | 141.9 |
| Liabilities in Excess of Other Assets | (757,533,703) | | (41.9) |
| Net Assets | $ 1,807,954,461 | | 100.0 |
The following is a summary of the fair valuations according to the inputs used as of June 30, 2021 in valuing the assets and liabilities: