Principal Amount† | | | Value | Percentage of Net Assets |
COLLATERALIZED MORTGAGE OBLIGATIONS: 55.0% | |
1,892,440 | | Fannie Mae 2004-28 PZ, 6.000%, 05/25/2034 | $ | 2,119,856 | 0.2 |
2,045,412 | | Fannie Mae 2004-88 ZC, 6.500%, 12/25/2034 | 2,292,544 | 0.2 |
5,585,729 | | Fannie Mae 2005-17 B, 6.500%, (US0001M + 6.500%), 03/25/2035 | 6,533,566 | 0.5 |
1,468,649 | | Fannie Mae 2005-43 PZ, 6.000%, 05/25/2035 | 1,596,245 | 0.1 |
722,681 | | Fannie Mae 2007-60 ZB, 4.750%, 05/25/2037 | 737,660 | 0.1 |
781,402 | (1) | Fannie Mae 2010-150 PS, 4.976%, (-1.000*US0001M + 6.600%), 12/25/2039 | 9,983 | 0.0 |
3,066,425 | (1) | Fannie Mae 2010-95 SB, 4.976%, (-1.000*US0001M + 6.600%), 09/25/2040 | 302,325 | 0.0 |
5,433,359 | | Fannie Mae 2011-99 CZ, 4.500%, 10/25/2041 | 5,612,555 | 0.4 |
5,196,380 | (1) | Fannie Mae 2012-148 HI, 3.500%, 05/25/2042 | 622,307 | 0.0 |
11,869,850 | (1) | Fannie Mae 2012-148 IM, 3.000%, 01/25/2028 | 641,016 | 0.1 |
160,437 | (2) | Fannie Mae REMIC Trust 2002-W1 3A, 3.252%, 04/25/2042 | 155,680 | 0.0 |
785,974 | (2) | Fannie Mae REMIC Trust 2002-W6 3A, 3.832%, 01/25/2042 | 769,987 | 0.1 |
899,119 | | Fannie Mae REMIC Trust 2003-16 CX, 6.500%, 03/25/2033 | 976,838 | 0.1 |
2,174,317 | | Fannie Mae REMIC Trust 2003-34 LN, 5.000%, 05/25/2033 | 2,187,883 | 0.2 |
75,894 | | Fannie Mae REMIC Trust 2004-61 SH, 17.497%, (-3.998*US0001M + 23.988%), 11/25/2032 | 89,272 | 0.0 |
2,569,400 | (2) | Fannie Mae REMIC Trust 2004-W11 2A, 3.473%, 03/25/2043 | 2,437,463 | 0.2 |
2,197,679 | | Fannie Mae REMIC Trust 2004-W3 A8, 5.500%, 05/25/2034 | 2,231,649 | 0.2 |
353,885 | (1) | Fannie Mae REMIC Trust 2005-17 ES, 5.126%, (-1.000*US0001M + 6.750%), 03/25/2035 | 20,993 | 0.0 |
312,234 | | Fannie Mae REMIC Trust 2005-59 NQ, 12.816%, (-2.500*US0001M + 16.875%), 05/25/2035 | 342,103 | 0.0 |
450,097 | | Fannie Mae REMIC Trust 2005-88 ZC, 5.000%, 10/25/2035 | 468,235 | 0.0 |
98,994 | | Fannie Mae REMIC Trust 2006-115 ES, 20.066%, (-4.000*US0001M + 26.560%), 12/25/2036 | 126,855 | 0.0 |
692,782 | (1) | Fannie Mae REMIC Trust 2006-36 SP, 5.076%, (-1.000*US0001M + 6.700%), 05/25/2036 | 66,030 | 0.0 |
2,476,617 | (1) | Fannie Mae REMIC Trust 2006-79 SH, 4.826%, (-1.000*US0001M + 6.450%), 08/25/2036 | 347,451 | 0.0 |
143,136 | (2) | Fannie Mae REMIC Trust 2009-12 LK, 13.157%, 03/25/2039 | 161,217 | 0.0 |
1,861,549 | | Fannie Mae REMIC Trust 2009-66 XA, 5.500%, 12/25/2035 | 2,042,770 | 0.2 |
4,758,390 | | Fannie Mae REMIC Trust 2010-2 LC, 5.000%, 02/25/2040 | 4,999,048 | 0.4 |
1,226,210 | | Fannie Mae REMIC Trust 2011-30 ZA, 5.000%, 04/25/2041 | 1,264,479 | 0.1 |
3,626,329 | (1) | Fannie Mae REMIC Trust 2012-128 VS, 4.626%, (-1.000*US0001M + 6.250%), 06/25/2042 | 283,176 | 0.0 |
2,036,328 | (1) | Fannie Mae REMIC Trust 2012-142 BI, 3.000%, 11/25/2027 | 90,547 | 0.0 |
1,833,568 | (1) | Fannie Mae REMIC Trust 2012-154 PI, 4.000%, 05/25/2042 | 238,813 | 0.0 |
1,525,487 | (1) | Fannie Mae REMIC Trust 2012-68 SD, 5.076%, (-1.000*US0001M + 6.700%), 06/25/2032 | 148,091 | 0.0 |
3,457,000 | | Fannie Mae REMIC Trust 2012-97 PC, 3.500%, 09/25/2042 | 3,245,009 | 0.2 |
618,659 | (1) | Fannie Mae REMIC Trust 2013-13 PI, 3.500%, 04/25/2042 | 53,344 | 0.0 |
1,463,643 | (1) | Fannie Mae REMIC Trust 2013-54 ID, 3.000%, 01/25/2033 | 111,974 | 0.0 |
427,871 | | Fannie Mae REMICS 2005-122 SE, 17.418%, (-3.500*US0001M + 23.100%), 11/25/2035 | 483,442 | 0.0 |
2,560,615 | (1) | Fannie Mae REMICS 2005-17 SA, 5.076%, (-1.000*US0001M + 6.700%), 03/25/2035 | 368,611 | 0.0 |
395,318 | | Fannie Mae REMICS 2005-75 GS, 15.379%, (-3.000*US0001M + 20.250%), 08/25/2035 | 454,151 | 0.0 |
3,315 | (3) | Fannie Mae REMICS 2006-44 P, 0.000%, 12/25/2033 | 2,823 | 0.0 |
Principal Amount† | | | Value | Percentage of Net Assets |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |
5,433,315 | (1) | Fannie Mae REMICS 2006-8 HL, 5.076%, (-1.000*US0001M + 6.700%), 03/25/2036 | $ | 670,838 | 0.1 |
580,446 | | Fannie Mae REMICS 2007-1 NR, 35.161%, (-7.600*US0001M + 47.500%), 02/25/2037 | 1,192,283 | 0.1 |
6,792,288 | (1) | Fannie Mae REMICS 2010-147 LS, 4.826%, (-1.000*US0001M + 6.450%), 01/25/2041 | 1,022,053 | 0.1 |
1,098,313 | | Fannie Mae REMICS 2010-26 F, 2.394%, (US0001M + 0.770%), 11/25/2036 | 1,114,515 | 0.1 |
1,076,010 | | Fannie Mae REMICS 2010-39 FN, 2.454%, (US0001M + 0.830%), 05/25/2040 | 1,093,153 | 0.1 |
727,939 | | Fannie Mae REMICS 2010-80 PZ, 5.000%, 07/25/2040 | 764,052 | 0.1 |
1,000,000 | | Fannie Mae REMICS 2010-87 PL, 4.000%, 06/25/2040 | 997,860 | 0.1 |
1,071,514 | | Fannie Mae REMICS 2011-10 ZC, 5.000%, 02/25/2041 | 1,124,895 | 0.1 |
750,000 | | Fannie Mae REMICS 2011-105 MB, 4.000%, 10/25/2041 | 724,486 | 0.1 |
1,830,000 | | Fannie Mae REMICS 2011-131 PB, 4.500%, 12/25/2041 | 1,893,733 | 0.1 |
2,403,686 | (1) | Fannie Mae REMICS 2012-137 EI, 3.000%, 12/25/2027 | 115,738 | 0.0 |
2,129,982 | | Fannie Mae REMICS 2012-148 KH, 3.000%, 03/25/2042 | 2,097,527 | 0.2 |
4,954,042 | | Fannie Mae REMICS 2012-17 QZ, 4.000%, 03/25/2042 | 4,989,050 | 0.4 |
2,820,292 | | Fannie Mae REMICS 2012-27 EZ, 4.250%, 03/25/2042 | 2,891,666 | 0.2 |
2,500,000 | | Fannie Mae REMICS 2012-40 MY, 3.500%, 04/25/2042 | 2,391,829 | 0.2 |
754,283 | | Fannie Mae REMICS 2013-125 AZ, 4.000%, 11/25/2039 | 719,275 | 0.1 |
1,404,332 | (3) | Fannie Mae REMICS 2013-135 PO, 0.000%, 01/25/2044 | 1,109,764 | 0.1 |
2,723,434 | (1) | Fannie Mae REMICS 2013-25 BI, 3.000%, 03/25/2033 | 224,092 | 0.0 |
1,312,797 | | Fannie Mae REMICS 2013-55 VZ, 3.000%, 06/25/2043 | 1,247,733 | 0.1 |
2,015,976 | (1) | Fannie Mae REMICS 2013-62 AI, 3.000%, 06/25/2033 | 196,787 | 0.0 |
1,401,927 | | Fannie Mae REMICS 2015-22 DY, 3.000%, 04/25/2045 | 1,198,129 | 0.1 |
1,312,661 | | Fannie Mae REMICS 2015-26 UZ, 3.000%, 05/25/2045 | 1,114,312 | 0.1 |
711,932 | | Fannie Mae REMICS 2015-68 JW, 3.500%, 09/25/2030 | 699,167 | 0.1 |
1,410,000 | | Fannie Mae REMICS 2016-103 PB, 3.000%, 01/25/2047 | 1,302,454 | 0.1 |
5,103,044 | (1) | Fannie Mae REMICS 2016-4 DS, 4.476%, (-1.000*US0001M + 6.100%), 02/25/2046 | 745,964 | 0.1 |
4,283,554 | | Fannie Mae REMICS 2016-64 LD, 3.500%, 09/25/2046 | 4,143,721 | 0.3 |
5,301,429 | | Fannie Mae REMICS 2017-22 DZ, 4.000%, 04/25/2047 | 5,190,876 | 0.4 |
7,510,000 | | Fannie Mae REMICS 2018-16 TV, 3.000%, 05/25/2041 | 7,089,765 | 0.5 |
443,764 | | Fannie Mae REMICS 2018-25 AL, 3.500%, 04/25/2048 | 422,751 | 0.0 |
529,699 | | Fannie Mae REMICS 2018-37 DZ, 4.000%, 06/25/2048 | 534,296 | 0.0 |
7,522,359 | (1) | Fannie Mae REMICS 2019-49 IG, 3.000%, 03/25/2033 | 618,785 | 0.0 |
1,622,176 | | Fannie Mae REMICS 2019-6 GZ, 4.000%, 03/25/2059 | 1,627,874 | 0.1 |
4,953,974 | (1) | Fannie Mae REMICS 2020-44 TI, 5.500%, 12/25/2035 | 837,418 | 0.1 |
2,969,454 | | Fannie Mae Series 2016-51 S, 4.296%, (-1.000*US0001M + 5.920%), 10/25/2043 | 2,843,531 | 0.2 |
1,521,105 | (2) | Fannie Mae Trust 2004-W2 3A, 2.991%, 02/25/2044 | 1,524,658 | 0.1 |
1,361,482 | (2) | Fannie Mae Trust 2004-W2 4A, 3.028%, 02/25/2044 | 1,364,683 | 0.1 |
2,373,207 | | Freddie Mac 3770 GA, 4.500%, 10/15/2040 | 2,468,451 | 0.2 |
1,760,215 | | Freddie Mac REMIC Trust 2005-S001 2A2, 1.774%, (US0001M + 0.150%), 09/25/2045 | 1,745,220 | 0.1 |
323,957 | | Freddie Mac REMIC Trust 2653 SC, 6.269%, (-0.500*US0001M + 6.800%), 07/15/2033 | 330,420 | 0.0 |
755,409 | | Freddie Mac REMIC Trust 2767 ZW, 6.000%, 03/15/2034 | 822,138 | 0.1 |
Principal Amount† | | | Value | Percentage of Net Assets |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |
85,915 | | Freddie Mac REMIC Trust 3012 ST, 17.194%, (-3.600*US0001M + 21.960%), 04/15/2035 | $ | 96,402 | 0.0 |
228,417 | | Freddie Mac REMIC Trust 3065 DC, 15.888%, (-3.000*US0001M + 19.860%), 03/15/2035 | 256,984 | 0.0 |
299,979 | | Freddie Mac REMIC Trust 3158 NE, 5.500%, 05/15/2036 | 321,564 | 0.0 |
2,961,134 | (1) | Freddie Mac REMIC Trust 3181 TA, 0.500%, (-0.794*US0001M + 5.635%), 07/15/2036 | 56,393 | 0.0 |
209,281 | (1) | Freddie Mac REMIC Trust 3507 IA, 5.500%, 09/15/2035 | 29,974 | 0.0 |
276,951 | | Freddie Mac REMIC Trust 3864 NT, 5.500%, (-9.167*US0001M + 60.500%), 03/15/2039 | 281,567 | 0.0 |
1,281,954 | | Freddie Mac REMIC Trust 3888 ZG, 4.000%, 07/15/2041 | 1,273,238 | 0.1 |
64,240 | (1) | Freddie Mac REMIC Trust 4027 QI, 4.500%, 12/15/2040 | 529 | 0.0 |
8,003,896 | (1) | Freddie Mac REMIC Trust 4176 IA, 2.500%, 03/15/2028 | 367,654 | 0.0 |
138,820 | (3) | Freddie Mac REMICS 2974 KO, 0.000%, 05/15/2035 | 114,490 | 0.0 |
3,628,261 | | Freddie Mac REMICS 3196 ZK, 6.500%, 04/15/2032 | 4,198,773 | 0.3 |
1,084,514 | | Freddie Mac REMICS 3658 CZ, 5.000%, 04/15/2040 | 1,158,105 | 0.1 |
4,827,923 | (1) | Freddie Mac REMICS 3960 SG, 4.676%, (-1.000*US0001M + 6.000%), 11/15/2041 | 642,883 | 0.1 |
5,075,000 | | Freddie Mac REMICS 4059 DY, 3.500%, 06/15/2042 | 5,031,119 | 0.4 |
1,410,107 | | Freddie Mac REMICS 4097 ZA, 3.500%, 08/15/2042 | 1,381,330 | 0.1 |
3,997,837 | | Freddie Mac REMICS 4136 ZG, 3.000%, 11/15/2042 | 3,758,451 | 0.3 |
9,391,594 | | Freddie Mac REMICS 4159 LZ, 3.500%, 01/15/2043 | 9,130,669 | 0.7 |
1,871,677 | | Freddie Mac REMICS 4249 CS, 3.854%, (-0.750*US0001M + 4.650%), 09/15/2043 | 1,502,361 | 0.1 |
2,877,185 | | Freddie Mac REMICS 4274 US, 4.526%, (-1.000*US0001M + 5.850%), 10/15/2035 | 2,486,794 | 0.2 |
10,314,964 | | Freddie Mac REMICS 4367 MZ, 4.000%, 07/15/2044 | 10,385,467 | 0.8 |
2,607,543 | | Freddie Mac REMICS 4372 Z, 3.000%, 08/15/2044 | 2,453,737 | 0.2 |
8,675,523 | (1) | Freddie Mac REMICS 4438 AS, 4.876%, (-1.000*US0001M + 6.200%), 02/15/2045 | 1,142,228 | 0.1 |
6,185,796 | | Freddie Mac REMICS 4480 ZX, 4.000%, 11/15/2044 | 6,194,946 | 0.5 |
4,020,624 | | Freddie Mac REMICS 4631 CZ, 3.500%, 11/15/2046 | 3,901,134 | 0.3 |
102,847 | | Freddie Mac REMICS 4764 DA, 4.000%, 07/15/2045 | 102,998 | 0.0 |
2,779,198 | | Freddie Mac REMICS 4818 GZ, 4.000%, 08/15/2048 | 2,743,980 | 0.2 |
2,597,868 | | Freddie Mac REMICS 5000 DC, 2.500%, 03/25/2040 | 2,344,216 | 0.2 |
1,401,607 | | Freddie Mac Series 4040 UZ, 5.000%, 05/15/2042 | 1,516,042 | 0.1 |
1,112,120 | (2) | Freddie Mac Structured Pass-Through Certificates T-54 2A, 3.564%, 07/25/2033 | 1,097,271 | 0.1 |
639,355 | (2) | Freddie Mac Structured Pass-Through Certificates T-54 4A, 3.569%, 02/25/2043 | 630,891 | 0.0 |
5,843,089 | | Freddie Mac Whole Loan Securities Trust 2017-SC02 1A2, 3.000%, 05/25/2047 | 5,557,819 | 0.4 |
26,995 | (1) | Freddie Mac-Ginnie Mae Series 21 SA, 6.376%, (-1.000*US0001M + 8.000%), 10/25/2023 | 715 | 0.0 |
732,087 | | Ginnie Mae 2004-65 ZG, 5.500%, 07/20/2034 | 771,294 | 0.1 |
6,044,595 | | Ginnie Mae 2009-110 ZA, 5.500%, 11/16/2039 | 6,548,267 | 0.5 |
840,584 | | Ginnie Mae 2009-32 QZ, 5.500%, 05/16/2039 | 899,641 | 0.1 |
672,898 | | Ginnie Mae 2009-32 YZ, 7.000%, 05/16/2039 | 772,556 | 0.1 |
4,643,141 | | Ginnie Mae 2009-50 MZ, 6.000%, 07/16/2039 | 4,990,445 | 0.4 |
367,632 | | Ginnie Mae 2009-54 HZ, 5.000%, 07/20/2039 | 386,482 | 0.0 |
1,160,609 | | Ginnie Mae 2009-79 PZ, 6.000%, 09/20/2039 | 1,343,707 | 0.1 |
778,580 | | Ginnie Mae 2009-H01 FA, 2.745%, (US0001M + 1.150%), 11/20/2059 | 782,127 | 0.1 |
2,000,000 | | Ginnie Mae 2010-116 PB, 5.000%, 06/16/2040 | 2,046,707 | 0.2 |
Principal Amount† | | | Value | Percentage of Net Assets |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |
2,647,763 | | Ginnie Mae 2010-125 BZ, 4.500%, 09/16/2040 | $ | 2,720,892 | 0.2 |
2,438,280 | (3) | Ginnie Mae 2011-70 PO, 0.000%, 05/16/2041 | 1,953,587 | 0.2 |
2,029,091 | (1) | Ginnie Mae 2014-107 XS, 4.091%, (-1.000*US0001M + 5.600%), 07/16/2044 | 210,259 | 0.0 |
1,850,316 | | Ginnie Mae 2014-149 KL, 4.000%, 10/16/2044 | 1,867,796 | 0.1 |
989,726 | (1) | Ginnie Mae 2014-96 SQ, 4.091%, (-1.000*US0001M + 5.600%), 07/16/2044 | 103,078 | 0.0 |
130,000 | | Ginnie Mae 2015-123 GY, 3.000%, 09/20/2045 | 117,088 | 0.0 |
6,195,742 | | Ginnie Mae 2015-H13 FG, 1.203%, (US0001M + 0.400%), 04/20/2065 | 6,142,271 | 0.5 |
14,237,626 | (1) | Ginnie Mae 2016-120 IM, 3.500%, 07/20/2046 | 1,676,906 | 0.1 |
528,827 | (1) | Ginnie Mae 2016-84 IO, 5.000%, 12/20/2040 | 19,690 | 0.0 |
12,306,301 | | Ginnie Mae 2016-H20 FB, 1.353%, (US0001M + 0.550%), 09/20/2066 | 12,212,655 | 0.9 |
1,000,000 | | Ginnie Mae 2017-117 BE, 2.500%, 08/20/2047 | 893,337 | 0.1 |
1,000,000 | | Ginnie Mae 2017-117 NG, 2.500%, 08/20/2047 | 883,601 | 0.1 |
750,000 | | Ginnie Mae 2017-163 YA, 2.500%, 11/20/2047 | 671,519 | 0.1 |
10,000,000 | | Ginnie Mae 2017-180 QB, 2.500%, 12/20/2047 | 9,053,276 | 0.7 |
4,631,012 | | Ginnie Mae 2018-64 ZH, 2.500%, 05/16/2045 | 4,290,026 | 0.3 |
869,496 | (1) | Ginnie Mae 2018-78 IC, 4.000%, 02/20/2047 | 107,235 | 0.0 |
1,000,000 | | Ginnie Mae 2018-91 JN, 3.000%, 07/20/2048 | 917,935 | 0.1 |
109,899 | | Ginnie Mae 2019-71 EN, 4.000%, 06/20/2049 | 103,053 | 0.0 |
7,151,833 | (1) | Ginnie Mae 2021-74 KI, 3.000%, 04/20/2051 | 1,062,142 | 0.1 |
2,346,452 | | Ginnie Mae 2022-47 EB, 3.000%, 03/20/2037 | 2,261,988 | 0.2 |
326,735 | | Ginnie Mae Series 2002-92 EA, 4.500%, 02/20/2029 | 328,123 | 0.0 |
75,571 | | Ginnie Mae Series 2004-16 AE, 5.500%, 02/20/2034 | 79,480 | 0.0 |
702,913 | | Ginnie Mae Series 2004-17 MZ, 5.500%, 03/16/2034 | 730,466 | 0.1 |
489,479 | | Ginnie Mae Series 2004-28 CZ, 5.500%, 04/20/2034 | 515,487 | 0.0 |
248,381 | (3) | Ginnie Mae Series 2004-37 OA, 0.000%, 04/17/2034 | 214,276 | 0.0 |
1,816,360 | | Ginnie Mae Series 2004-4 MG, 5.000%, 01/16/2034 | 1,874,566 | 0.1 |
1,825,814 | | Ginnie Mae Series 2004-81 Z, 5.000%, 10/20/2034 | 1,890,805 | 0.1 |
754,444 | (1) | Ginnie Mae Series 2004-98 SA, 5.105%, (-1.000*US0001M + 6.700%), 11/20/2034 | 115,937 | 0.0 |
620,967 | | Ginnie Mae Series 2005-21 Z, 5.000%, 03/20/2035 | 650,067 | 0.1 |
146,802 | (1) | Ginnie Mae Series 2005-25 SI, 6.000%, (-6.000*US0001M + 43.200%), 01/20/2034 | 19,860 | 0.0 |
481,054 | (1) | Ginnie Mae Series 2005-7 AH, 5.261%, (-1.000*US0001M + 6.770%), 02/16/2035 | 53,862 | 0.0 |
550,744 | (1) | Ginnie Mae Series 2005-73 IM, 5.500%, 09/20/2035 | 101,720 | 0.0 |
323,392 | | Ginnie Mae Series 2005-80 Z, 5.000%, 10/20/2035 | 338,406 | 0.0 |
124,603 | | Ginnie Mae Series 2005-91 UP, 11.281%, (-2.000*US0001M + 14.300%), 09/16/2031 | 133,788 | 0.0 |
5,875,746 | | Ginnie Mae Series 2006-10 ZT, 6.000%, 03/20/2036 | 6,244,691 | 0.5 |
1,042,838 | | Ginnie Mae Series 2006-17 TW, 6.000%, 04/20/2036 | 1,120,437 | 0.1 |
5,265,112 | (1) | Ginnie Mae Series 2006-26 TB, 0.250%, (-1.000*US0001M + 6.500%), 06/20/2036 | 51,742 | 0.0 |
1,625,757 | | Ginnie Mae Series 2006-7 ZA, 5.500%, 02/20/2036 | 1,721,629 | 0.1 |
1,227,322 | (1) | Ginnie Mae Series 2007-17 CI, 7.500%, 04/16/2037 | 262,427 | 0.0 |
1,242,083 | (3) | Ginnie Mae Series 2007-41 OL, 0.000%, 07/20/2037 | 1,031,257 | 0.1 |
70,952 | | Ginnie Mae Series 2007-45 PE, 5.500%, 07/16/2037 | 74,790 | 0.0 |
247,262 | | Ginnie Mae Series 2007-48 SY, 15.722%, (-3.000*US0001M + 20.250%), 08/16/2037 | 274,674 | 0.0 |
1,442,882 | (1) | Ginnie Mae Series 2007-53 SC, 4.905%, (-1.000*US0001M + 6.500%), 09/20/2037 | 195,688 | 0.0 |
35,625 | | Ginnie Mae Series 2007-53 SW, 15.420%, (-3.000*US0001M + 20.205%), 09/20/2037 | 42,766 | 0.0 |
Principal Amount† | | | Value | Percentage of Net Assets |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |
705,588 | | Ginnie Mae Series 2007-60 YZ, 5.500%, 10/20/2037 | $ | 735,472 | 0.1 |
3,165,000 | | Ginnie Mae Series 2008-20 PZ, 6.000%, 03/20/2038 | 3,348,272 | 0.3 |
398,932 | (1) | Ginnie Mae Series 2008-3 SA, 4.955%, (-1.000*US0001M + 6.550%), 01/20/2038 | 61,658 | 0.0 |
686,153 | (1) | Ginnie Mae Series 2008-40 PS, 4.991%, (-1.000*US0001M + 6.500%), 05/16/2038 | 79,727 | 0.0 |
902,249 | (1) | Ginnie Mae Series 2008-51 GS, 4.721%, (-1.000*US0001M + 6.230%), 06/16/2038 | 123,610 | 0.0 |
1,696,325 | (1) | Ginnie Mae Series 2008-82 SA, 4.405%, (-1.000*US0001M + 6.000%), 09/20/2038 | 222,707 | 0.0 |
1,945,320 | (1) | Ginnie Mae Series 2009-110 SA, 4.841%, (-1.000*US0001M + 6.350%), 04/16/2039 | 80,256 | 0.0 |
879,892 | | Ginnie Mae Series 2009-110 ZC, 4.500%, 11/16/2039 | 911,566 | 0.1 |
2,316,983 | | Ginnie Mae Series 2009-118 XZ, 5.000%, 12/20/2039 | 2,391,413 | 0.2 |
1,015,641 | | Ginnie Mae Series 2009-121 ZQ, 5.500%, 09/20/2039 | 1,074,452 | 0.1 |
966,311 | | Ginnie Mae Series 2009-31 BP, 5.000%, 05/20/2039 | 1,009,421 | 0.1 |
1,414,915 | | Ginnie Mae Series 2009-31 ZL, 4.500%, 05/20/2039 | 1,466,216 | 0.1 |
1,381,174 | | Ginnie Mae Series 2009-34 Z, 4.500%, 05/16/2039 | 1,422,388 | 0.1 |
1,862,281 | | Ginnie Mae Series 2009-53 ZB, 6.000%, 07/16/2039 | 1,979,096 | 0.2 |
177,968 | (1) | Ginnie Mae Series 2009-55 BI, 1.000%, (-25.000*US0001M + 162.500%), 06/16/2037 | 6,914 | 0.0 |
2,270,249 | | Ginnie Mae Series 2009-61 EZ, 7.500%, 08/20/2039 | 2,556,582 | 0.2 |
6,758,641 | | Ginnie Mae Series 2009-61 PZ, 7.500%, 08/20/2039 | 8,004,176 | 0.6 |
3,781,171 | | Ginnie Mae Series 2009-61 ZQ, 6.000%, 08/16/2039 | 4,299,003 | 0.3 |
827,635 | (1) | Ginnie Mae Series 2009-66 QS, 4.505%, (-1.000*US0001M + 6.100%), 07/20/2039 | 61,433 | 0.0 |
1,149,867 | | Ginnie Mae Series 2009-68 ZC, 5.500%, 08/16/2039 | 1,259,062 | 0.1 |
542,829 | (1) | Ginnie Mae Series 2009-77 SA, 4.641%, (-1.000*US0001M + 6.150%), 09/16/2039 | 70,152 | 0.0 |
3,504,418 | | Ginnie Mae Series 2009-77 ZB, 5.500%, 09/16/2039 | 3,751,314 | 0.3 |
2,304,969 | | Ginnie Mae Series 2009-87 WZ, 6.000%, 10/20/2039 | 2,663,452 | 0.2 |
671,340 | | Ginnie Mae Series 2009-92 DZ, 4.500%, 10/16/2039 | 695,990 | 0.1 |
1,599,192 | | Ginnie Mae Series 2009-98 MZ, 5.000%, 10/16/2039 | 1,679,586 | 0.1 |
1,109,919 | (1) | Ginnie Mae Series 2010-106 IP, 5.000%, 03/20/2040 | 95,886 | 0.0 |
7,868,426 | | Ginnie Mae Series 2010-113 BE, 4.500%, 09/20/2040 | 8,148,760 | 0.6 |
1,075,570 | (1) | Ginnie Mae Series 2010-116 NS, 5.141%, (-1.000*US0001M + 6.650%), 09/16/2040 | 117,767 | 0.0 |
3,767,538 | | Ginnie Mae Series 2010-117 ZQ, 4.500%, 09/20/2040 | 3,986,493 | 0.3 |
918,000 | | Ginnie Mae Series 2010-121 TB, 4.000%, 09/20/2040 | 921,309 | 0.1 |
39,000 | (1) | Ginnie Mae Series 2010-130 KI, 5.500%, 09/16/2040 | 1,957 | 0.0 |
1,500,000 | | Ginnie Mae Series 2010-14 B, 4.500%, 02/16/2040 | 1,545,743 | 0.1 |
705,309 | (1) | Ginnie Mae Series 2010-158 SA, 4.455%, (-1.000*US0001M + 6.050%), 12/20/2040 | 94,419 | 0.0 |
988,263 | | Ginnie Mae Series 2010-162 ZE, 4.000%, 12/16/2040 | 1,005,668 | 0.1 |
10,225,530 | (1) | Ginnie Mae Series 2010-166 GS, 4.405%, (-1.000*US0001M + 6.000%), 12/20/2040 | 1,063,282 | 0.1 |
595,376 | (1) | Ginnie Mae Series 2010-166 NI, 4.500%, 04/20/2039 | 23,848 | 0.0 |
1,047,362 | | Ginnie Mae Series 2010-169 AW, 4.500%, 12/20/2040 | 1,072,134 | 0.1 |
1,014,481 | | Ginnie Mae Series 2010-169 JZ, 4.000%, 12/20/2040 | 1,002,697 | 0.1 |
217,584 | (1) | Ginnie Mae Series 2010-19 LI, 5.000%, 07/16/2039 | 12,923 | 0.0 |
Principal Amount† | | | Value | Percentage of Net Assets |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |
1,014,872 | | Ginnie Mae Series 2010-31 BP, 5.000%, 03/20/2040 | $ | 1,044,023 | 0.1 |
1,058,521 | (1) | Ginnie Mae Series 2010-4 WI, 6.000%, 01/16/2040 | 149,478 | 0.0 |
4,780,572 | | Ginnie Mae Series 2010-42 VZ, 5.500%, 10/20/2039 | 5,083,979 | 0.4 |
781,168 | | Ginnie Mae Series 2010-59 ZA, 4.500%, 05/20/2040 | 800,995 | 0.1 |
2,539,031 | | Ginnie Mae Series 2010-H01 FA, 1.843%, (US0001M + 0.820%), 01/20/2060 | 2,534,941 | 0.2 |
7,626,747 | | Ginnie Mae Series 2010-H10 FB, 2.023%, (US0001M + 1.000%), 05/20/2060 | 7,638,779 | 0.6 |
3,938,532 | | Ginnie Mae Series 2010-H10 FC, 2.023%, (US0001M + 1.000%), 05/20/2060 | 3,943,044 | 0.3 |
1,401,642 | | Ginnie Mae Series 2010-H20 AF, 1.133%, (US0001M + 0.330%), 10/20/2060 | 1,387,919 | 0.1 |
225,146 | | Ginnie Mae Series 2010-H26 LF, 1.153%, (US0001M + 0.350%), 08/20/2058 | 223,257 | 0.0 |
428,903 | | Ginnie Mae Series 2011-116 CI, 4.000%, 05/16/2026 | 17,955 | 0.0 |
203,934 | (1) | Ginnie Mae Series 2011-123 QI, 5.000%, 05/20/2041 | 20,915 | 0.0 |
476,485 | | Ginnie Mae Series 2011-128 TF, 1.959%, (US0001M + 0.450%), 05/16/2041 | 475,163 | 0.0 |
2,492,061 | (1) | Ginnie Mae Series 2011-141 PS, 5.191%, (-1.000*US0001M + 6.700%), 06/16/2041 | 240,731 | 0.0 |
1,892,868 | (1) | Ginnie Mae Series 2011-146 EI, 5.000%, 11/16/2041 | 326,783 | 0.0 |
945,000 | | Ginnie Mae Series 2011-151 PY, 3.000%, 11/20/2041 | 889,857 | 0.1 |
50,228 | | Ginnie Mae Series 2011-169 BC, 7.000%, 05/16/2032 | 52,973 | 0.0 |
192,501 | (2) | Ginnie Mae Series 2011-169 BG, 5.430%, 04/16/2039 | 199,372 | 0.0 |
6,397,531 | | Ginnie Mae Series 2011-25 Z, 4.000%, 02/20/2041 | 6,440,457 | 0.5 |
1,245,330 | | Ginnie Mae Series 2011-59 QC, 4.000%, 12/20/2040 | 1,243,489 | 0.1 |
1,531,242 | | Ginnie Mae Series 2011-69 HW, 4.000%, 04/20/2040 | 1,541,183 | 0.1 |
999,403 | (1) | Ginnie Mae Series 2011-73 LS, 5.095%, (-1.000*US0001M + 6.690%), 08/20/2039 | 17,655 | 0.0 |
2,207,685 | | Ginnie Mae Series 2011-89 Z, 3.500%, 06/20/2041 | 2,189,139 | 0.2 |
1,499,438 | | Ginnie Mae Series 2011-H01 AF, 1.253%, (US0001M + 0.450%), 11/20/2060 | 1,487,998 | 0.1 |
2,025,395 | | Ginnie Mae Series 2011-H03 FA, 1.303%, (US0001M + 0.500%), 01/20/2061 | 2,010,913 | 0.2 |
469,478 | | Ginnie Mae Series 2011-H07 FA, 1.303%, (US0001M + 0.500%), 02/20/2061 | 466,323 | 0.0 |
178,765 | | Ginnie Mae Series 2011-H08 FD, 1.303%, (US0001M + 0.500%), 02/20/2061 | 177,426 | 0.0 |
534,550 | | Ginnie Mae Series 2011-H09 AF, 1.303%, (US0001M + 0.500%), 03/20/2061 | 530,984 | 0.0 |
486,822 | | Ginnie Mae Series 2011-H11 FB, 1.303%, (US0001M + 0.500%), 04/20/2061 | 483,458 | 0.0 |
675,912 | | Ginnie Mae Series 2011-H19 FA, 1.273%, (US0001M + 0.470%), 08/20/2061 | 671,088 | 0.1 |
1,418,854 | | Ginnie Mae Series 2011-H20 FA, 1.353%, (US0001M + 0.550%), 09/20/2061 | 1,409,755 | 0.1 |
312,017 | | Ginnie Mae Series 2011-H21 FT, 2.361%, (H15T1Y + 0.700%), 10/20/2061 | 311,225 | 0.0 |
1,153,066 | (1) | Ginnie Mae Series 2012-103 IC, 3.500%, 08/16/2040 | 60,264 | 0.0 |
275,026 | (1) | Ginnie Mae Series 2012-124 MI, 4.000%, 03/20/2042 | 20,438 | 0.0 |
3,247,095 | (1) | Ginnie Mae Series 2012-136 BI, 3.500%, 11/20/2042 | 527,153 | 0.0 |
2,924,201 | (1) | Ginnie Mae Series 2012-146 AI, 3.000%, 10/20/2037 | 104,897 | 0.0 |
306,295 | (1) | Ginnie Mae Series 2012-34 MS, 5.191%, (-1.000*US0001M + 6.700%), 04/16/2041 | 26,716 | 0.0 |
Principal Amount† | | | Value | Percentage of Net Assets |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |
2,830,737 | (1) | Ginnie Mae Series 2012-48 SA, 5.141%, (-1.000*US0001M + 6.650%), 04/16/2042 | $ | 439,316 | 0.0 |
3,660,265 | (1) | Ginnie Mae Series 2012-60 SG, 4.591%, (-1.000*US0001M + 6.100%), 05/16/2042 | 535,140 | 0.0 |
4,050,933 | | Ginnie Mae Series 2012-77 FE, 1.899%, (US0001M + 0.390%), 05/16/2041 | 4,043,401 | 0.3 |
732,142 | (1) | Ginnie Mae Series 2012-93 NS, 4.505%, (-1.000*US0001M + 6.100%), 07/20/2042 | 90,412 | 0.0 |
897,903 | (1) | Ginnie Mae Series 2012-98 EI, 4.000%, 04/20/2041 | 101,231 | 0.0 |
2,372,708 | | Ginnie Mae Series 2012-H06 FS, 1.503%, (US0001M + 0.700%), 03/20/2062 | 2,362,160 | 0.2 |
6,398,484 | | Ginnie Mae Series 2012-H08 FA, 1.403%, (US0001M + 0.600%), 01/20/2062 | 6,361,910 | 0.5 |
2,304,343 | | Ginnie Mae Series 2012-H08 FB, 1.403%, (US0001M + 0.600%), 03/20/2062 | 2,292,779 | 0.2 |
401,352 | | Ginnie Mae Series 2012-H11 FA, 1.503%, (US0001M + 0.700%), 02/20/2062 | 399,826 | 0.0 |
649,594 | | Ginnie Mae Series 2012-H11 GA, 1.383%, (US0001M + 0.580%), 05/20/2062 | 646,287 | 0.1 |
1,231,065 | | Ginnie Mae Series 2012-H11 VA, 1.453%, (US0001M + 0.650%), 05/20/2062 | 1,224,005 | 0.1 |
1,922,572 | | Ginnie Mae Series 2012-H12 FA, 1.353%, (US0001M + 0.550%), 04/20/2062 | 1,911,008 | 0.1 |
10,308,910 | | Ginnie Mae Series 2012-H12 FB, 1.853%, (US0001M + 1.050%), 02/20/2062 | 10,327,480 | 0.8 |
551,216 | | Ginnie Mae Series 2012-H14 FK, 1.383%, (US0001M + 0.580%), 07/20/2062 | 549,244 | 0.0 |
3,907,166 | | Ginnie Mae Series 2012-H20 BA, 1.363%, (US0001M + 0.560%), 09/20/2062 | 3,885,435 | 0.3 |
2,106,708 | | Ginnie Mae Series 2012-H20 PT, 2.383%, (US0001M + 1.000%), 07/20/2062 | 2,101,594 | 0.2 |
2,210,577 | | Ginnie Mae Series 2012-H26 BA, 1.153%, (US0001M + 0.350%), 10/20/2062 | 2,189,570 | 0.2 |
568,326 | | Ginnie Mae Series 2012-H29 FA, 1.318%, (US0001M + 0.515%), 10/20/2062 | 564,737 | 0.0 |
1,095,317 | | Ginnie Mae Series 2012-H30 GA, 1.153%, (US0001M + 0.350%), 12/20/2062 | 1,086,238 | 0.1 |
1,513,834 | | Ginnie Mae Series 2012-H31 FD, 1.143%, (US0001M + 0.340%), 12/20/2062 | 1,497,661 | 0.1 |
1,231,468 | | Ginnie Mae Series 2013-119 TZ, 3.000%, 08/20/2043 | 1,168,279 | 0.1 |
7,000,000 | | Ginnie Mae Series 2013-147 BE, 4.000%, 12/20/2039 | 7,091,267 | 0.5 |
1,464,929 | | Ginnie Mae Series 2013-167 Z, 3.000%, 10/16/2043 | 1,375,598 | 0.1 |
1,900,000 | (1) | Ginnie Mae Series 2013-186 UI, 2.500%, 11/20/2043 | 384,035 | 0.0 |
564,375 | (1) | Ginnie Mae Series 2013-186 VI, 4.000%, 12/20/2042 | 78,717 | 0.0 |
370,177 | | Ginnie Mae Series 2013-186 ZE, 2.500%, 12/16/2043 | 339,524 | 0.0 |
3,523,105 | (1) | Ginnie Mae Series 2013-20 LI, 4.500%, 12/16/2042 | 423,173 | 0.0 |
1,829,692 | (1) | Ginnie Mae Series 2013-23 IO, 3.500%, 02/20/2043 | 304,422 | 0.0 |
583,307 | (1) | Ginnie Mae Series 2013-41 PI, 3.500%, 04/20/2040 | 10,550 | 0.0 |
861,754 | (1) | Ginnie Mae Series 2013-88 AI, 4.788%, (-1.000*US0001M + 5.850%), 06/20/2043 | 95,023 | 0.0 |
1,354,840 | (1) | Ginnie Mae Series 2013-99 SK, 4.838%, (-1.000*US0001M + 5.900%), 07/20/2043 | 136,324 | 0.0 |
1,773,180 | | Ginnie Mae Series 2013-H02 FD, 1.143%, (US0001M + 0.340%), 12/20/2062 | 1,757,282 | 0.1 |
276,598 | | Ginnie Mae Series 2013-H07 HA, 1.213%, (US0001M + 0.410%), 03/20/2063 | 274,074 | 0.0 |
2,041,521 | | Ginnie Mae Series 2013-H08 BF, 1.203%, (US0001M + 0.400%), 03/20/2063 | 2,020,859 | 0.2 |
Principal Amount† | | | Value | Percentage of Net Assets |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |
1,999,155 | | Ginnie Mae Series 2013-H10 FT, 2.456%, (H15T1Y + 0.450%), 04/20/2063 | $ | 1,987,412 | 0.2 |
1,640,878 | | Ginnie Mae Series 2013-H13 FS, 1.803%, (US0001M + 1.000%), 06/20/2063 | 1,644,478 | 0.1 |
2,447,889 | | Ginnie Mae Series 2013-H14 FC, 1.273%, (US0001M + 0.470%), 06/20/2063 | 2,431,055 | 0.2 |
753,002 | | Ginnie Mae Series 2013-H14 FD, 1.273%, (US0001M + 0.470%), 06/20/2063 | 747,063 | 0.1 |
708,415 | | Ginnie Mae Series 2013-H14 FG, 1.273%, (US0001M + 0.470%), 05/20/2063 | 702,848 | 0.1 |
589,628 | | Ginnie Mae Series 2013-H15 FA, 1.343%, (US0001M + 0.540%), 06/20/2063 | 586,321 | 0.0 |
1,483,891 | | Ginnie Mae Series 2013-H17 FA, 1.353%, (US0001M + 0.550%), 07/20/2063 | 1,476,799 | 0.1 |
527,809 | | Ginnie Mae Series 2013-H18 BA, 1.403%, (US0001M + 0.600%), 07/20/2063 | 524,889 | 0.0 |
877,962 | | Ginnie Mae Series 2013-H18 EA, 1.303%, (US0001M + 0.500%), 07/20/2063 | 873,523 | 0.1 |
1,691,153 | | Ginnie Mae Series 2013-H18 FA, 1.303%, (US0001M + 0.500%), 06/20/2063 | 1,678,722 | 0.1 |
2,148,267 | | Ginnie Mae Series 2013-H19 DF, 1.453%, (US0001M + 0.650%), 05/20/2063 | 2,137,080 | 0.2 |
1,157,207 | | Ginnie Mae Series 2013-H20 FB, 1.803%, (US0001M + 1.000%), 08/20/2063 | 1,157,054 | 0.1 |
655,581 | | Ginnie Mae Series 2013-H21 FB, 1.503%, (US0001M + 0.700%), 09/20/2063 | 653,420 | 0.1 |
1,135,857 | | Ginnie Mae Series 2013-H22 FB, 1.503%, (US0001M + 0.700%), 08/20/2063 | 1,131,786 | 0.1 |
1,876,357 | | Ginnie Mae Series 2013-H22 FT, 2.615%, (H15T1Y + 0.650%), 04/20/2063 | 1,870,832 | 0.1 |
1,882,177 | | Ginnie Mae Series 2013-H23 FA, 2.103%, (US0001M + 1.300%), 09/20/2063 | 1,887,535 | 0.1 |
215,132 | | Ginnie Mae Series 2013-H24 FB, 1.533%, (US0001M + 0.730%), 09/20/2063 | 214,525 | 0.0 |
2,793,200 | | Ginnie Mae Series 2014-115 EM, 4.000%, 08/20/2044 | 2,802,872 | 0.2 |
3,021,509 | | Ginnie Mae Series 2014-118 ZP, 4.000%, 08/20/2044 | 3,014,873 | 0.2 |
1,324,404 | (1) | Ginnie Mae Series 2014-129 WS, 4.838%, (-1.000*US0001M + 5.900%), 09/20/2044 | 142,195 | 0.0 |
1,241,532 | (1) | Ginnie Mae Series 2014-161 WS, 4.838%, (-1.000*US0001M + 5.900%), 11/20/2044 | 128,171 | 0.0 |
1,253,670 | (1) | Ginnie Mae Series 2014-183 IM, 5.000%, 06/20/2035 | 206,544 | 0.0 |
1,437,770 | (1) | Ginnie Mae Series 2014-30 ES, 3.405%, (-1.000*US0001M + 5.000%), 03/20/2040 | 116,547 | 0.0 |
2,201,247 | (1) | Ginnie Mae Series 2014-99 IO, 4.500%, 06/20/2044 | 456,353 | 0.0 |
8,739,156 | | Ginnie Mae Series 2014-H03 FS, 1.453%, (US0001M + 0.650%), 02/20/2064 | 8,688,265 | 0.7 |
1,591,303 | | Ginnie Mae Series 2014-H04 FB, 1.453%, (US0001M + 0.650%), 02/20/2064 | 1,584,618 | 0.1 |
4,886,605 | | Ginnie Mae Series 2014-H05 FB, 1.403%, (US0001M + 0.600%), 12/20/2063 | 4,865,436 | 0.4 |
1,175,923 | | Ginnie Mae Series 2014-H06 FA, 1.373%, (US0001M + 0.570%), 03/20/2064 | 1,169,105 | 0.1 |
527,217 | | Ginnie Mae Series 2014-H06 HB, 1.453%, (US0001M + 0.650%), 03/20/2064 | 524,836 | 0.0 |
2,630,301 | | Ginnie Mae Series 2014-H11 VA, 1.303%, (US0001M + 0.500%), 06/20/2064 | 2,603,217 | 0.2 |
3,259,088 | | Ginnie Mae Series 2014-H15 FA, 1.303%, (US0001M + 0.500%), 07/20/2064 | 3,226,362 | 0.2 |
1,564,262 | | Ginnie Mae Series 2014-H21 FA, 1.453%, (US0001M + 0.650%), 10/20/2064 | 1,553,701 | 0.1 |
8,538,871 | (2) | Ginnie Mae Series 2015-10 Q, 2.383%, 10/20/2044 | 7,811,093 | 0.6 |
Principal Amount† | | | Value | Percentage of Net Assets |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |
2,364,266 | (1) | Ginnie Mae Series 2015-141 IX, 1.384%, (-0.714*US0001M + 2.142%), 06/20/2045 | $ | 56,151 | 0.0 |
12,125,000 | | Ginnie Mae Series 2015-143 B, 3.500%, 04/20/2045 | 11,890,618 | 0.9 |
2,257,684 | (1) | Ginnie Mae Series 2015-149 IL, 4.500%, 10/20/2045 | 464,032 | 0.0 |
1,408,171 | (1) | Ginnie Mae Series 2015-157 PI, 4.000%, 03/20/2044 | 142,537 | 0.0 |
2,863,171 | | Ginnie Mae Series 2015-165 ZA, 3.500%, 07/20/2045 | 2,802,578 | 0.2 |
1,990,358 | | Ginnie Mae Series 2015-H03 FA, 1.303%, (US0001M + 0.500%), 12/20/2064 | 1,977,102 | 0.2 |
89,666 | | Ginnie Mae Series 2015-H04 FL, 1.273%, (US0001M + 0.470%), 02/20/2065 | 88,810 | 0.0 |
2,747,147 | | Ginnie Mae Series 2015-H05 FC, 1.283%, (US0001M + 0.480%), 02/20/2065 | 2,719,350 | 0.2 |
1,331,240 | | Ginnie Mae Series 2015-H06 FA, 1.283%, (US0001M + 0.480%), 02/20/2065 | 1,319,215 | 0.1 |
2,428,743 | | Ginnie Mae Series 2015-H08 FB, 1.433%, (US0001M + 0.630%), 03/20/2065 | 2,405,142 | 0.2 |
2,023,697 | | Ginnie Mae Series 2015-H08 FC, 1.283%, (US0001M + 0.480%), 03/20/2065 | 2,004,827 | 0.2 |
3,201,170 | | Ginnie Mae Series 2015-H09 FA, 1.423%, (US0001M + 0.620%), 04/20/2065 | 3,168,481 | 0.2 |
5,313,469 | | Ginnie Mae Series 2015-H10 FA, 1.403%, (US0001M + 0.600%), 04/20/2065 | 5,262,713 | 0.4 |
1,666,461 | | Ginnie Mae Series 2015-H10 FH, 1.403%, (US0001M + 0.600%), 04/20/2065 | 1,649,213 | 0.1 |
209,381 | | Ginnie Mae Series 2015-H12 FA, 1.283%, (US0001M + 0.480%), 05/20/2065 | 207,389 | 0.0 |
1,510,225 | | Ginnie Mae Series 2015-H12 FL, 1.033%, (US0001M + 0.230%), 05/20/2065 | 1,493,227 | 0.1 |
492,584 | | Ginnie Mae Series 2015-H14 FB, 1.233%, (US0001M + 0.430%), 05/20/2065 | 489,098 | 0.0 |
1,134,056 | | Ginnie Mae Series 2015-H18 FB, 1.403%, (US0001M + 0.600%), 07/20/2065 | 1,126,289 | 0.1 |
1,074,740 | | Ginnie Mae Series 2015-H20 FB, 1.403%, (US0001M + 0.600%), 08/20/2065 | 1,067,309 | 0.1 |
1,633,491 | | Ginnie Mae Series 2015-H22 FC, 1.403%, (US0001M + 0.600%), 09/20/2065 | 1,621,869 | 0.1 |
1,970,064 | | Ginnie Mae Series 2015-H23 FB, 1.323%, (US0001M + 0.520%), 09/20/2065 | 1,951,909 | 0.2 |
1,359,573 | | Ginnie Mae Series 2015-H26 FA, 1.323%, (US0001M + 0.520%), 10/20/2065 | 1,346,746 | 0.1 |
2,611,361 | | Ginnie Mae Series 2015-H26 FC, 1.403%, (US0001M + 0.600%), 08/20/2065 | 2,600,303 | 0.2 |
478,099 | | Ginnie Mae Series 2015-H26 FG, 1.323%, (US0001M + 0.520%), 10/20/2065 | 473,620 | 0.0 |
1,786,376 | | Ginnie Mae Series 2015-H27 FA, 1.553%, (US0001M + 0.750%), 09/20/2065 | 1,780,160 | 0.1 |
3,401,836 | | Ginnie Mae Series 2015-H29 FL, 1.403%, (US0001M + 0.600%), 11/20/2065 | 3,376,814 | 0.3 |
27,609,871 | | Ginnie Mae Series 2015-H30 FC, 1.463%, (US0001M + 0.660%), 11/20/2065 | 27,420,194 | 2.1 |
103,497 | | Ginnie Mae Series 2015-H30 FD, 1.403%, (US0001M + 0.600%), 10/20/2065 | 102,914 | 0.0 |
2,953,560 | | Ginnie Mae Series 2015-H30 FE, 1.403%, (US0001M + 0.600%), 11/20/2065 | 2,931,344 | 0.2 |
2,024,936 | | Ginnie Mae Series 2015-H31 FT, 1.453%, (US0001M + 0.650%), 11/20/2065 | 2,016,614 | 0.2 |
5,750,761 | (1) | Ginnie Mae Series 2016-145 IU, 3.500%, 10/20/2046 | 874,385 | 0.1 |
5,292,274 | (1) | Ginnie Mae Series 2016-20 BS, 4.505%, (-1.000*US0001M + 6.100%), 02/20/2046 | 708,032 | 0.1 |
3,376,651 | (2) | Ginnie Mae Series 2016-5 AB, 4.692%, 01/20/2046 | 3,495,580 | 0.3 |
5,085,557 | | Ginnie Mae Series 2016-69 B, 3.000%, 05/20/2046 | 4,904,585 | 0.4 |
Principal Amount† | | | Value | Percentage of Net Assets |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |
497,992 | | Ginnie Mae Series 2016-H01 FL, 1.453%, (US0001M + 0.650%), 12/20/2065 | $ | 495,914 | 0.0 |
942,161 | | Ginnie Mae Series 2016-H02 FH, 1.803%, (US0001M + 1.000%), 01/20/2066 | 941,146 | 0.1 |
197,563 | | Ginnie Mae Series 2016-H03 FB, 1.453%, (US0001M + 0.650%), 01/20/2066 | 196,381 | 0.0 |
2,363,313 | | Ginnie Mae Series 2016-H04 FK, 1.853%, (US0001M + 1.050%), 02/20/2066 | 2,361,415 | 0.2 |
317,027 | | Ginnie Mae Series 2016-H07 FK, 1.803%, (US0001M + 1.000%), 03/20/2066 | 316,408 | 0.0 |
5,107,537 | | Ginnie Mae Series 2016-H08 FT, 1.523%, (US0001M + 0.720%), 02/20/2066 | 5,089,514 | 0.4 |
1,027,265 | | Ginnie Mae Series 2016-H09 FB, 1.703%, (US0001M + 0.900%), 04/20/2066 | 1,024,048 | 0.1 |
2,212,148 | | Ginnie Mae Series 2016-H11 F, 1.603%, (US0001M + 0.800%), 05/20/2066 | 2,203,018 | 0.2 |
966,337 | | Ginnie Mae Series 2016-H11 FE, 1.653%, (US0001M + 0.850%), 04/20/2066 | 962,331 | 0.1 |
2,304,344 | | Ginnie Mae Series 2016-H13 FD, 2.480%, (H15T1Y + 0.450%), 05/20/2066 | 2,289,310 | 0.2 |
462,484 | | Ginnie Mae Series 2016-H13 FT, 1.383%, (US0001M + 0.580%), 05/20/2066 | 460,500 | 0.0 |
300,999 | | Ginnie Mae Series 2016-H20 FG, 1.503%, (US0001M + 0.700%), 08/20/2066 | 299,798 | 0.0 |
1,951,300 | | Ginnie Mae Series 2016-H21 FH, 1.653%, (US0001M + 0.850%), 09/20/2066 | 1,949,151 | 0.1 |
4,675,113 | | Ginnie Mae Series 2016-H23 F, 1.553%, (US0001M + 0.750%), 10/20/2066 | 4,658,193 | 0.4 |
3,704,713 | | Ginnie Mae Series 2017-107 QZ, 3.000%, 08/20/2045 | 3,450,025 | 0.3 |
1,635,500 | | Ginnie Mae Series 2017-122 CZ, 3.000%, 08/20/2047 | 1,427,093 | 0.1 |
2,375,767 | (1) | Ginnie Mae Series 2017-123 IO, 5.000%, 08/16/2047 | 540,629 | 0.0 |
2,890,000 | | Ginnie Mae Series 2017-162 PL, 3.000%, 10/20/2047 | 2,622,920 | 0.2 |
1,503,804 | | Ginnie Mae Series 2017-56 HM, 3.000%, 12/20/2046 | 1,464,154 | 0.1 |
4,933,068 | | Ginnie Mae Series 2017-56 JZ, 3.000%, 04/20/2047 | 4,440,696 | 0.3 |
24,155,120 | | Ginnie Mae Series 2017-H05 FC, 1.553%, (US0001M + 0.750%), 02/20/2067 | 24,027,668 | 1.8 |
1,109,570 | | Ginnie Mae Series 2017-H07 FG, 1.263%, (US0001M + 0.460%), 02/20/2067 | 1,100,805 | 0.1 |
147,413 | | Ginnie Mae Series 2017-H14 FD, 1.273%, (US0001M + 0.470%), 06/20/2067 | 146,006 | 0.0 |
1,367,753 | | Ginnie Mae Series 2017-H14 FV, 1.303%, (US0001M + 0.500%), 06/20/2067 | 1,354,272 | 0.1 |
1,980,246 | | Ginnie Mae Series 2017-H17 FG, 1.303%, (US0001M + 0.500%), 08/20/2067 | 1,964,988 | 0.2 |
1,246,645 | | Ginnie Mae Series 2017-H19 FA, 1.253%, (US0001M + 0.450%), 08/20/2067 | 1,238,937 | 0.1 |
1,368,641 | | Ginnie Mae Series 2018-112 AL, 3.500%, 08/20/2048 | 1,361,083 | 0.1 |
331,214 | | Ginnie Mae Series 2018-163 DZ, 4.500%, 11/20/2048 | 328,801 | 0.0 |
2,406,521 | | Ginnie Mae Series 2018-H04 FM, 1.103%, (US0001M + 0.300%), 03/20/2068 | 2,377,261 | 0.2 |
563,179 | | Ginnie Mae Series 2018-H07 FE, 1.153%, (US0001M + 0.350%), 02/20/2068 | 558,587 | 0.0 |
5,720,790 | | Ginnie Mae Series 2018-H14 FG, 1.153%, (US0001M + 0.350%), 09/20/2068 | 5,657,490 | 0.4 |
6,187,372 | | Ginnie Mae Series 2018-H18 FC, 1.153%, (US0001M + 0.350%), 08/20/2065 | 6,137,197 | 0.5 |
2,817,077 | | Ginnie Mae Series 2019-1 LZ, 3.500%, 01/20/2049 | 2,750,505 | 0.2 |
1,929,360 | | Ginnie Mae Series 2019-1 Z, 4.000%, 01/20/2049 | 1,913,010 | 0.1 |
3,577,479 | | Ginnie Mae Series 2019-100 FD, 1.995%, (US0001M + 0.400%), 08/20/2049 | 3,555,077 | 0.3 |
Principal Amount† | | | Value | Percentage of Net Assets |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |
968,505 | | Ginnie Mae Series 2019-29 AI, 5.000%, 07/20/2048 | $ | 182,770 | 0.0 |
12,000,000 | (1) | Ginnie Mae Series 2019-56 YI, 5.000%, 05/20/2049 | 3,441,883 | 0.3 |
872,933 | | Ginnie Mae Series 2019-H01 FJ, 1.103%, (US0001M + 0.300%), 09/20/2068 | 867,719 | 0.1 |
1,337,813 | | Ginnie Mae Series 2019-H01 FL, 1.253%, (US0001M + 0.450%), 12/20/2068 | 1,325,402 | 0.1 |
3,435,104 | | Ginnie Mae Series 2019-H05 FL, 1.283%, (US0001M + 0.480%), 03/20/2069 | 3,406,500 | 0.3 |
219,121 | | Ginnie Mae Series 2019-H10 FM, 1.203%, (US0001M + 0.400%), 05/20/2069 | 216,756 | 0.0 |
2,611,741 | | Ginnie Mae Series 2019-H19 FB, 1.253%, (US0001M + 0.450%), 11/20/2069 | 2,590,211 | 0.2 |
23,091,159 | (1) | Ginnie Mae Series 2020-47 LI, 3.500%, 04/20/2050 | 3,774,811 | 0.3 |
1,304,707 | | Ginnie Mae Series 2020-H01 FT, 0.710%, (H15T1Y + 0.500%), 01/20/2070 | 1,299,268 | 0.1 |
6,756,651 | | Ginnie Mae Series 2020-H10 FD, 1.203%, (US0001M + 0.400%), 05/20/2070 | 6,706,440 | 0.5 |
9,875,076 | (1) | Ginnie Mae Series 2021-58 SB, 4.705%, (-1.000*US0001M + 6.300%), 04/20/2051 | 1,134,488 | 0.1 |
17,120,375 | (1) | Ginnie Mae Series 2021-77 SK, 1.705%, (-1.000*US0001M + 3.300%), 05/20/2051 | 603,676 | 0.0 |
102,964 | (2) | Ginnie Mae Series 2021-H09 Z, 3.073%, 10/20/2066 | 99,483 | 0.0 |
742,383 | | Seasoned Credit Risk Transfer Trust Series 2017-2 MA, 3.000%, 08/25/2056 | 723,600 | 0.1 |
4,662,079 | | Seasoned Credit Risk Transfer Trust Series 2019-1 M55D, 4.000%, 07/25/2058 | 4,669,680 | 0.4 |
1,871,237 | | Seasoned Credit Risk Transfer Trust Series 2019-3 M55D, 4.000%, 10/25/2058 | 1,874,210 | 0.1 |
6,035,000 | | Seasoned Loans Structured Transaction Series 2019-1 A2, 3.500%, 05/25/2029 | 5,928,513 | 0.5 |
3,608,591 | | Seasoned Loans Structured Transaction Trust Series 2019-2 A1C, 2.750%, 09/25/2029 | 3,469,568 | 0.3 |
5,875,000 | | Seasoned Loans Structured Transaction Trust Series 2019-3 A2C, 2.750%, 11/25/2029 | 5,340,460 | 0.4 |
1,368,775 | | Vendee Mortgage Trust 2011-2 DZ, 3.750%, 10/15/2041 | 1,322,222 | 0.1 |
25,580,973 | (1),(2) | Vendee Mortgage Trust 2011-2 IO, 0.362%, 10/15/2041 | 319,042 | 0.0 |
| | | | |
| Total Collateralized Mortgage Obligations | | |
| (Cost $757,959,883) | 721,244,964 | 55.0 |
| | | |
U.S. GOVERNMENT AGENCY OBLIGATIONS: 70.6% | |
| | Federal Home Loan Mortgage Corporation: 1.3%(4) |
790,977 | | 3.500%,07/01/2047 | 774,356 | 0.1 |
1,734,955 | | 3.500%,12/01/2047 | 1,695,873 | 0.1 |
3,340,792 | | 3.500%,03/01/2048 | 3,270,503 | 0.3 |
3,794,922 | | 3.500%,11/01/2048 | 3,715,112 | 0.3 |
1,106,883 | | 4.000%,07/01/2047 | 1,112,692 | 0.1 |
447,975 | | 4.500%,08/01/2047 | 456,513 | 0.0 |
467,691 | | 5.000%,11/01/2035 | 485,745 | 0.1 |
24,429 | | 5.000%,12/01/2035 | 25,778 | 0.0 |
11,905 | | 5.000%,01/01/2038 | 12,484 | 0.0 |
12,619 | | 5.000%,03/01/2038 | 13,314 | 0.0 |
42,364 | | 5.000%,03/01/2038 | 44,693 | 0.0 |
102,403 | | 5.000%,02/01/2039 | 104,827 | 0.0 |
454,538 | | 5.000%,07/01/2039 | 477,918 | 0.1 |
150,969 | | 5.000%,01/01/2040 | 159,230 | 0.0 |
508,743 | | 5.000%,04/01/2040 | 531,760 | 0.1 |
1,525,685 | | 5.000%,10/01/2040 | 1,608,875 | 0.1 |
155,264 | | 5.000%,05/01/2041 | 159,006 | 0.0 |
133,835 | | 5.290%,10/01/2037 | 138,387 | 0.0 |
24,656 | | 5.410%,07/01/2037 | 25,601 | 0.0 |
12,279 | | 5.410%,08/01/2037 | 12,743 | 0.0 |
35,775 | | 5.440%,01/01/2037 | 37,182 | 0.0 |
17,967 | | 5.440%,02/01/2037 | 18,670 | 0.0 |
46,736 | | 5.440%,04/01/2037 | 48,595 | 0.0 |
29,107 | | 5.440%,09/01/2037 | 30,252 | 0.0 |
27,668 | | 5.440%,02/01/2038 | 28,756 | 0.0 |
99,014 | | 5.450%,12/01/2037 | 102,332 | 0.0 |
128,344 | | 5.450%,12/01/2037 | 132,102 | 0.0 |
38,096 | | 5.460%,05/01/2037 | 39,623 | 0.0 |
32,949 | | 5.460%,08/01/2037 | 34,269 | 0.0 |
36,339 | | 5.460%,01/01/2038 | 37,569 | 0.0 |
35,088 | | 5.480%,08/01/2037 | 36,518 | 0.0 |
73,539 | | 5.500%,08/01/2037 | 77,278 | 0.0 |
87,116 | | 5.500%,11/01/2037 | 90,974 | 0.0 |
16,785 | | 5.520%,10/01/2037 | 17,490 | 0.0 |
36,717 | | 5.620%,12/01/2036 | 38,350 | 0.0 |
60,370 | | 5.620%,03/01/2037 | 63,095 | 0.0 |
62,413 | | 5.620%,08/01/2037 | 65,233 | 0.0 |
72,152 | | 5.625%,12/01/2036 | 75,355 | 0.0 |
108,561 | | 5.625%,01/01/2037 | 113,391 | 0.0 |
93,930 | | 5.625%,03/01/2037 | 98,096 | 0.0 |
87,618 | | 5.625%,06/01/2037 | 91,505 | 0.0 |
Principal Amount† | | | Value | Percentage of Net Assets |
U.S. GOVERNMENT AGENCY OBLIGATIONS: (continued) | |
| | Uniform Mortgage-Backed Securities: (continued) |
70,224 | | 4.750%,07/01/2035 | $ | 71,217 | 0.0 |
46,538 | | 5.000%,04/01/2029 | 48,040 | 0.0 |
46,586 | | 5.000%,02/01/2033 | 47,638 | 0.0 |
26,143 | | 5.000%,05/01/2033 | 27,078 | 0.0 |
469,186 | | 5.000%,06/01/2033 | 491,515 | 0.0 |
88,246 | | 5.000%,07/01/2033 | 90,244 | 0.0 |
73,256 | | 5.000%,11/01/2033 | 77,077 | 0.0 |
1,174,075 | | 5.000%,03/01/2034 | 1,234,961 | 0.1 |
590,810 | | 5.000%,04/01/2034 | 621,658 | 0.1 |
83,922 | | 5.000%,03/01/2035 | 88,240 | 0.0 |
1,039,329 | | 5.000%,07/01/2035 | 1,091,162 | 0.1 |
533,423 | | 5.000%,08/01/2035 | 556,731 | 0.1 |
106,008 | | 5.000%,05/01/2036 | 108,436 | 0.0 |
701,536 | | 5.000%,01/01/2040 | 739,078 | 0.1 |
1,369,476 | | 5.000%,05/01/2040 | 1,434,367 | 0.1 |
140,156 | | 5.000%,06/01/2040 | 147,218 | 0.0 |
521,121 | | 5.000%,09/01/2040 | 548,992 | 0.1 |
1,225,634 | | 5.000%,02/01/2041 | 1,283,743 | 0.1 |
1,823,103 | | 5.000%,09/01/2041 | 1,914,157 | 0.2 |
165,713 | | 5.000%,05/01/2042 | 174,449 | 0.0 |
87,011 | | 5.030%,05/01/2037 | 89,078 | 0.0 |
95,093 | | 5.030%,09/01/2037 | 97,354 | 0.0 |
149,874 | | 5.155%,01/01/2037 | 154,140 | 0.0 |
36,767 | | 5.250%,04/01/2032 | 37,923 | 0.0 |
116,263 | | 5.250%,04/01/2032 | 120,024 | 0.0 |
25,538 | | 5.280%,11/01/2036 | 26,372 | 0.0 |
100,745 | | 5.280%,11/01/2036 | 104,042 | 0.0 |
43,150 | | 5.280%,01/01/2037 | 44,556 | 0.0 |
89,051 | | 5.290%,08/01/2037 | 91,970 | 0.0 |
183,646 | | 5.290%,09/01/2037 | 189,702 | 0.0 |
69,106 | | 5.290%,09/01/2037 | 71,371 | 0.0 |
17,319 | | 5.300%,10/01/2036 | 17,889 | 0.0 |
75,554 | | 5.300%,12/01/2036 | 78,047 | 0.0 |
63,332 | | 5.300%,02/01/2037 | 65,446 | 0.0 |
49,136 | | 5.300%,05/01/2037 | 50,776 | 0.0 |
229,345 | | 5.300%,08/01/2037 | 237,755 | 0.0 |
115,111 | | 5.390%,12/01/2037 | 119,273 | 0.0 |
162,348 | | 5.405%,11/01/2036 | 168,397 | 0.0 |
210,966 | | 5.405%,02/01/2037 | 219,076 | 0.0 |
74,319 | | 5.740%,07/01/2037 | 77,694 | 0.0 |
9,680 | | 7.500%,05/01/2028 | 9,699 | 0.0 |
| | | 72,207,840 | 5.5 |
| | | | |
| Total U.S. Government Agency Obligations | | |
| (Cost $952,588,627) | 925,341,948 | 70.6 |
| | | |
COMMERCIAL MORTGAGE-BACKED SECURITIES: 3.4% | |
9,269,943 | (1),(2) | Freddie Mac Multifamily Structured Pass Through Certificates K106 X1, 1.477%, 01/25/2030 | 764,149 | 0.1 |
28,107,180 | (1),(2) | Freddie Mac Multifamily Structured Pass Through Certificates K107 X1, 1.810%, 03/25/2030 | 2,970,632 | 0.2 |
19,442,520 | (1),(2) | Freddie Mac Multifamily Structured Pass Through Certificates K110 X1, 1.814%, 04/25/2030 | 2,017,900 | 0.2 |
2,988,772 | (1),(2) | Freddie Mac Multifamily Structured Pass Through Certificates K119 X1, 1.026%, 09/25/2030 | 182,241 | 0.0 |
16,518,522 | (1),(2) | Freddie Mac Multifamily Structured Pass Through Certificates K-1516 X1, 1.630%, 05/25/2035 | 2,321,950 | 0.2 |
14,973,994 | (1),(2) | Freddie Mac Multifamily Structured Pass Through Certificates K-1517 X1, 1.443%, 07/25/2035 | 1,846,523 | 0.1 |
34,827,634 | (1),(2) | Freddie Mac Multifamily Structured Pass Through Certificates K-1519 X1, 0.705%, 12/25/2035 | 1,992,851 | 0.2 |
24,909,213 | (1),(2) | Freddie Mac Multifamily Structured Pass Through Certificates K740 X1, 0.844%, 09/25/2027 | 818,288 | 0.1 |
31,466,000 | (1) | Freddie Mac Multifamily Structured Pass Through Certificates KL06 XFX, 1.364%, 12/25/2029 | 2,454,261 | 0.2 |
34,830,570 | (1),(2) | Freddie Mac Multifamily Structured Pass Through Certificates KLU3 X1, 2.080%, 01/25/2031 | 4,152,349 | 0.3 |
272,682 | (2) | Ginnie Mae 2004-23 Z, 5.761%, 03/16/2044 | 279,319 | 0.0 |
4,058,612 | (1),(2) | Ginnie Mae 2006-67 IO, 0.549%, 11/16/2046 | 11,147 | 0.0 |
46,230 | (2) | Ginnie Mae 2007-52 Z, 4.350%, 01/16/2048 | 46,179 | 0.0 |
559,884 | | Ginnie Mae 2008-39 Z, 4.500%, 02/16/2048 | 561,405 | 0.0 |
227,477 | (1),(2) | Ginnie Mae 2008-45 IO, 0.856%, 02/16/2048 | 286 | 0.0 |
72,473 | (2) | Ginnie Mae 2009-115 D, 4.824%, 01/16/2050 | 72,401 | 0.0 |
277,806 | (1),(2) | Ginnie Mae 2010-122 IO, 0.256%, 02/16/2044 | 76 | 0.0 |
59,133 | (1),(2) | Ginnie Mae 2010-123 IA, 2.050%, 10/16/2052 | 662 | 0.0 |
12,015,834 | (1),(2) | Ginnie Mae 2011-47 IO, 0.157%, 01/16/2051 | 37,761 | 0.0 |
1,902,055 | (2) | Ginnie Mae 2018-114 Z, 3.100%, 04/16/2060 | 1,666,089 | 0.1 |
10,750,377 | | Ginnie Mae 2018-116 Z, 3.000%, 06/16/2058 | 9,684,473 | 0.7 |
1,919,056 | | Ginnie Mae 2018-169 Z, 3.000%, 04/16/2061 | 1,587,066 | 0.1 |
1,909,055 | | Ginnie Mae 2019-17 Z, 3.000%, 12/16/2060 | 1,584,237 | 0.1 |
2,525,160 | (2) | Ginnie Mae 2019-19 Z, 3.200%, 11/16/2060 | 2,235,030 | 0.2 |
2,227,205 | | Ginnie Mae 2019-53 Z, 3.000%, 06/16/2061 | 1,899,481 | 0.2 |
Principal Amount† | | | Value | Percentage of Net Assets |
COMMERCIAL MORTGAGE-BACKED SECURITIES: (continued) | |
5,095,625 | | Ginnie Mae 2021-79, 1.750%, 08/16/2063 | $ | 2,947,124 | 0.2 |
2,540,931 | | Ginnie Mae 2021-80 Z, 1.500%, 12/16/2062 | 1,611,855 | 0.1 |
2,333,712 | | Ginnie Mae 2021-90 B, 1.750%, 05/16/2061 | 1,524,055 | 0.1 |
| | | | |
| Total Commercial Mortgage-Backed Securities | | |
| (Cost $53,057,472) | 45,269,790 | 3.4 |
| | | |
ASSET-BACKED SECURITIES: 0.1% | |
| | Other Asset-Backed Securities: 0.1% |
1,317,287 | | Fannie Mae Grantor Trust 2001-T9 A1, 1.734%, (US0001M + 0.220%), 09/25/2031 | 1,301,191 | 0.1 |
96,360 | (2) | Fannie Mae Grantor Trust 2003-T4 2A6, 4.551%, 07/26/2033 | 96,548 | 0.0 |
17,372 | (2) | Fannie Mae REMIC Trust 2001-W4 AF6, 5.110%, 01/25/2032 | 17,788 | 0.0 |
15,766 | (2) | Fannie Mae REMIC Trust 2002-W12 AF6, 5.066%, 02/25/2033 | 15,387 | 0.0 |
11,936 | (2) | Fannie Mae REMIC Trust 2002-W2 AF6, 6.000%, 05/25/2032 | 11,762 | 0.0 |
| | | | |
| Total Asset-Backed Securities | | |
| (Cost $1,443,544) | 1,442,676 | 0.1 |
| | | |
| Total Long-Term Investments | | |
| (Cost $1,765,049,526) | 1,693,299,378 | 129.1 |
| | | |
SHORT-TERM INVESTMENTS: 4.1% |
| | U.S. Government Agency Obligations: 4.0% |
15,750,000 | (6) | Federal Home Loan Bank Discount Notes, 1.170%, 07/06/2022 | 15,746,980 | 1.2 |
6,700,000 | (6) | Federal Home Loan Bank Discount Notes, 1.290%, 07/13/2022 | 6,696,918 | 0.5 |
14,800,000 | (6) | Federal Home Loan Bank Discount Notes, 1.680%, 08/10/2022 | 14,772,144 | 1.1 |
11,300,000 | (6) | Federal Home Loan Bank Discount Notes, 2.780%, 03/27/2023 | 11,072,222 | 0.9 |
4,000,000 | | Federal Home Loan Banks, 1.520%, 09/16/2022 | 4,000,097 | 0.3 |
| | | |
| Total U.S. Government Agency Obligations | | |
| (Cost $52,288,028) | 52,288,361 | 4.0 |
| | | |
| | U.S. Treasury Bills: 0.1% |
975,000 | (6) | United States Treasury Bill, 0.700%, 07/05/2022 | | |
| | (Cost $974,930) | 974,906 | 0.1 |
| | | | |
| Total Short-Term Investments | | |
| (Cost $53,262,958) | 53,263,267 | 4.1 |
| | | |
| Total Investments in Securities (Cost $1,818,312,484) | $ | 1,746,562,645 | 133.2 |
| Liabilities in Excess of Other Assets | (435,588,295) | | (33.2) |
| Net Assets | $ | 1,310,974,350 | | 100.0 |