Principal Amount† | | | Value | Percentage of Net Assets |
COLLATERALIZED MORTGAGE OBLIGATIONS: 54.0% | |
1,949,927 | | Fannie Mae 2004-28 PZ, 6.000%, 05/25/2034 | $ | 2,033,320 | 0.2 |
1,885,839 | | Fannie Mae 2004-88 ZC, 6.500%, 12/25/2034 | 2,005,173 | 0.2 |
5,221,642 | | Fannie Mae 2005-17 B, 6.500%, (US0001M + 6.500%), 03/25/2035 | 5,624,497 | 0.5 |
1,377,536 | | Fannie Mae 2005-43 PZ, 6.000%, 05/25/2035 | 1,437,837 | 0.1 |
627,349 | | Fannie Mae 2007-60 ZB, 4.750%, 05/25/2037 | 615,289 | 0.1 |
42,894 | (1) | Fannie Mae 2010-150 PS, 2.211%, (-1.000*US0001M + 6.600%), 12/25/2039 | 102 | 0.0 |
2,624,101 | (1) | Fannie Mae 2010-95 SB, 2.211%, (-1.000*US0001M + 6.600%), 09/25/2040 | 175,559 | 0.0 |
6,227,176 | | Fannie Mae 2011-99 CZ, 4.500%, 10/25/2041 | 6,093,590 | 0.5 |
4,755,521 | (1) | Fannie Mae 2012-148 HI, 3.500%, 05/25/2042 | 543,668 | 0.0 |
9,910,388 | (1) | Fannie Mae 2012-148 IM, 3.000%, 01/25/2028 | 476,674 | 0.0 |
149,211 | (2) | Fannie Mae REMIC Trust 2002-W1 3A, 3.421%, 04/25/2042 | 138,767 | 0.0 |
730,233 | (2) | Fannie Mae REMIC Trust 2002-W6 3A, 4.013%, 01/25/2042 | 685,335 | 0.1 |
791,717 | | Fannie Mae REMIC Trust 2003-16 CX, 6.500%, 03/25/2033 | 822,364 | 0.1 |
1,927,703 | | Fannie Mae REMIC Trust 2003-34 LN, 5.000%, 05/25/2033 | 1,874,180 | 0.2 |
82,940 | | Fannie Mae REMIC Trust 2004-61 SH, 6.442%, (-3.998*US0001M + 23.988%), 11/25/2032 | 86,610 | 0.0 |
2,297,206 | (2) | Fannie Mae REMIC Trust 2004-W11 2A, 3.711%, 03/25/2043 | 2,159,344 | 0.2 |
2,053,556 | | Fannie Mae REMIC Trust 2004-W3 A8, 5.500%, 05/25/2034 | 2,043,933 | 0.2 |
284,240 | (1) | Fannie Mae REMIC Trust 2005-17 ES, 2.361%, (-1.000*US0001M + 6.750%), 03/25/2035 | 8,537 | 0.0 |
265,068 | | Fannie Mae REMIC Trust 2005-59 NQ, 5.903%, (-2.500*US0001M + 16.875%), 05/25/2035 | 267,233 | 0.0 |
416,369 | | Fannie Mae REMIC Trust 2005-88 ZC, 5.000%, 10/25/2035 | 413,843 | 0.0 |
84,359 | | Fannie Mae REMIC Trust 2006-115 ES, 9.005%, (-4.000*US0001M + 26.560%), 12/25/2036 | 96,676 | 0.0 |
586,362 | (1) | Fannie Mae REMIC Trust 2006-36 SP, 2.311%, (-1.000*US0001M + 6.700%), 05/25/2036 | 35,434 | 0.0 |
2,253,795 | (1) | Fannie Mae REMIC Trust 2006-79 SH, 2.061%, (-1.000*US0001M + 6.450%), 08/25/2036 | 209,092 | 0.0 |
127,195 | (2) | Fannie Mae REMIC Trust 2009-12 LK, 13.220%, 03/25/2039 | 141,016 | 0.0 |
1,861,549 | | Fannie Mae REMIC Trust 2009-66 XA, 5.500%, 12/25/2035 | 1,910,731 | 0.2 |
4,562,276 | | Fannie Mae REMIC Trust 2010-2 LC, 5.000%, 02/25/2040 | 4,556,338 | 0.4 |
1,183,917 | | Fannie Mae REMIC Trust 2011-30 ZA, 5.000%, 04/25/2041 | 1,163,568 | 0.1 |
3,211,226 | (1) | Fannie Mae REMIC Trust 2012-128 VS, 1.861%, (-1.000*US0001M + 6.250%), 06/25/2042 | 164,226 | 0.0 |
1,673,387 | (1) | Fannie Mae REMIC Trust 2012-142 BI, 3.000%, 11/25/2027 | 60,545 | 0.0 |
1,625,805 | (1) | Fannie Mae REMIC Trust 2012-154 PI, 4.000%, 05/25/2042 | 211,244 | 0.0 |
1,333,332 | (1) | Fannie Mae REMIC Trust 2012-68 SD, 2.311%, (-1.000*US0001M + 6.700%), 06/25/2032 | 84,500 | 0.0 |
3,457,000 | | Fannie Mae REMIC Trust 2012-97 PC, 3.500%, 09/25/2042 | 2,971,038 | 0.2 |
552,663 | (1) | Fannie Mae REMIC Trust 2013-13 PI, 3.500%, 04/25/2042 | 46,054 | 0.0 |
1,309,422 | (1) | Fannie Mae REMIC Trust 2013-54 ID, 3.000%, 01/25/2033 | 91,031 | 0.0 |
354,624 | | Fannie Mae REMICS 2005-122 SE, 7.740%, (-3.500*US0001M + 23.100%), 11/25/2035 | 364,071 | 0.0 |
2,342,932 | (1) | Fannie Mae REMICS 2005-17 SA, 2.311%, (-1.000*US0001M + 6.700%), 03/25/2035 | 217,983 | 0.0 |
324,419 | | Fannie Mae REMICS 2005-75 GS, 7.084%, (-3.000*US0001M + 20.250%), 08/25/2035 | 359,351 | 0.0 |
2,910 | (3) | Fannie Mae REMICS 2006-44 P, 0.000%, 12/25/2033 | 2,381 | 0.0 |
4,836,311 | (1) | Fannie Mae REMICS 2006-8 HL, 2.311%, (-1.000*US0001M + 6.700%), 03/25/2036 | 421,269 | 0.0 |
Principal Amount† | | | Value | Percentage of Net Assets |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |
580,446 | | Fannie Mae REMICS 2007-1 NR, 14.146%, (-7.600*US0001M + 47.500%), 02/25/2037 | $ | 922,699 | 0.1 |
6,331,384 | (1) | Fannie Mae REMICS 2010-147 LS, 2.061%, (-1.000*US0001M + 6.450%), 01/25/2041 | 710,517 | 0.1 |
1,014,519 | | Fannie Mae REMICS 2010-26 F, 5.159%, (US0001M + 0.770%), 11/25/2036 | 1,013,415 | 0.1 |
984,011 | | Fannie Mae REMICS 2010-39 FN, 5.219%, (US0001M + 0.830%), 05/25/2040 | 981,589 | 0.1 |
746,329 | | Fannie Mae REMICS 2010-80 PZ, 5.000%, 07/25/2040 | 745,153 | 0.1 |
1,000,000 | | Fannie Mae REMICS 2010-87 PL, 4.000%, 06/25/2040 | 955,221 | 0.1 |
1,082,945 | | Fannie Mae REMICS 2011-10 ZC, 5.000%, 02/25/2041 | 1,077,829 | 0.1 |
750,000 | | Fannie Mae REMICS 2011-105 MB, 4.000%, 10/25/2041 | 670,050 | 0.1 |
2,007,175 | (1) | Fannie Mae REMICS 2012-137 EI, 3.000%, 12/25/2027 | 86,092 | 0.0 |
1,962,223 | | Fannie Mae REMICS 2012-148 KH, 3.000%, 03/25/2042 | 1,834,393 | 0.2 |
4,513,688 | | Fannie Mae REMICS 2012-17 QZ, 4.000%, 03/25/2042 | 4,293,191 | 0.4 |
2,659,541 | | Fannie Mae REMICS 2012-27 EZ, 4.250%, 03/25/2042 | 2,530,163 | 0.2 |
2,500,000 | | Fannie Mae REMICS 2012-40 MY, 3.500%, 04/25/2042 | 2,230,733 | 0.2 |
769,495 | | Fannie Mae REMICS 2013-125 AZ, 4.000%, 11/25/2039 | 653,667 | 0.1 |
1,287,380 | (3) | Fannie Mae REMICS 2013-135 PO, 0.000%, 01/25/2044 | 955,619 | 0.1 |
2,430,015 | (1) | Fannie Mae REMICS 2013-25 BI, 3.000%, 03/25/2033 | 183,682 | 0.0 |
1,332,612 | | Fannie Mae REMICS 2013-55 VZ, 3.000%, 06/25/2043 | 1,192,629 | 0.1 |
1,848,626 | (1) | Fannie Mae REMICS 2013-62 AI, 3.000%, 06/25/2033 | 164,166 | 0.0 |
1,401,927 | | Fannie Mae REMICS 2015-22 DY, 3.000%, 04/25/2045 | 1,077,810 | 0.1 |
1,332,475 | | Fannie Mae REMICS 2015-26 UZ, 3.000%, 05/25/2045 | 1,017,334 | 0.1 |
711,932 | | Fannie Mae REMICS 2015-68 JW, 3.500%, 09/25/2030 | 661,046 | 0.1 |
2,630,000 | | Fannie Mae REMICS 2016-103 PB, 3.000%, 01/25/2047 | 2,229,797 | 0.2 |
4,711,631 | (1) | Fannie Mae REMICS 2016-4 DS, 1.711%, (-1.000*US0001M + 6.100%), 02/25/2046 | 518,851 | 0.0 |
4,283,554 | | Fannie Mae REMICS 2016-64 LD, 3.500%, 09/25/2046 | 3,815,203 | 0.3 |
5,408,345 | | Fannie Mae REMICS 2017-22 DZ, 4.000%, 04/25/2047 | 4,986,846 | 0.4 |
7,510,000 | | Fannie Mae REMICS 2018-16 TV, 3.000%, 05/25/2041 | 6,611,151 | 0.5 |
443,764 | | Fannie Mae REMICS 2018-25 AL, 3.500%, 04/25/2048 | 385,872 | 0.0 |
540,382 | | Fannie Mae REMICS 2018-37 DZ, 4.000%, 06/25/2048 | 499,869 | 0.0 |
6,644,326 | (1) | Fannie Mae REMICS 2019-49 IG, 3.000%, 03/25/2033 | 500,959 | 0.0 |
1,654,891 | | Fannie Mae REMICS 2019-6 GZ, 4.000%, 03/25/2059 | 1,456,314 | 0.1 |
4,369,913 | (1) | Fannie Mae REMICS 2020-44 TI, 5.500%, 12/25/2035 | 702,028 | 0.1 |
2,774,872 | | Fannie Mae Series 2016-51 S, 1.531%, (-1.000*US0001M + 5.920%), 10/25/2043 | 2,437,778 | 0.2 |
1,403,418 | (2) | Fannie Mae Trust 2004-W2 3A, 3.355%, 02/25/2044 | 1,346,420 | 0.1 |
1,176,862 | (2) | Fannie Mae Trust 2004-W2 4A, 3.491%, 02/25/2044 | 1,134,477 | 0.1 |
2,343,010 | | Freddie Mac 3770 GA, 4.500%, 10/15/2040 | 2,295,695 | 0.2 |
1,640,961 | | Freddie Mac REMIC Trust 2005-S001 2A2, 4.539%, (US0001M + 0.150%), 09/25/2045 | 1,529,371 | 0.1 |
300,857 | | Freddie Mac REMIC Trust 2653 SC, 4.740%, (-0.500*US0001M + 6.800%), 07/15/2033 | 291,643 | 0.0 |
662,752 | | Freddie Mac REMIC Trust 2767 ZW, 6.000%, 03/15/2034 | 687,187 | 0.1 |
72,022 | | Freddie Mac REMIC Trust 3012 ST, 6.416%, (-3.600*US0001M + 21.960%), 04/15/2035 | 72,770 | 0.0 |
210,863 | | Freddie Mac REMIC Trust 3065 DC, 6.906%, (-3.000*US0001M + 19.860%), 03/15/2035 | 213,078 | 0.0 |
Principal Amount† | | | Value | Percentage of Net Assets |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |
290,352 | | Freddie Mac REMIC Trust 3158 NE, 5.500%, 05/15/2036 | $ | 296,508 | 0.0 |
2,708,332 | (1) | Freddie Mac REMIC Trust 3181 TA, 0.500%, (-0.794*US0001M + 5.635%), 07/15/2036 | 48,215 | 0.0 |
182,648 | (1) | Freddie Mac REMIC Trust 3507 IA, 5.500%, 09/15/2035 | 22,696 | 0.0 |
252,355 | | Freddie Mac REMIC Trust 3864 NT, 5.500%, (-9.167*US0001M + 60.500%), 03/15/2039 | 247,069 | 0.0 |
1,187,738 | | Freddie Mac REMIC Trust 3888 ZG, 4.000%, 07/15/2041 | 1,118,166 | 0.1 |
6,716,141 | (1) | Freddie Mac REMIC Trust 4176 IA, 2.500%, 03/15/2028 | 288,483 | 0.0 |
120,734 | (3) | Freddie Mac REMICS 2974 KO, 0.000%, 05/15/2035 | 95,351 | 0.0 |
3,747,788 | | Freddie Mac REMICS 3196 ZK, 6.500%, 04/15/2032 | 4,040,738 | 0.3 |
1,111,911 | | Freddie Mac REMICS 3658 CZ, 5.000%, 04/15/2040 | 1,114,232 | 0.1 |
4,459,224 | (1) | Freddie Mac REMICS 3960 SG, 1.682%, (-1.000*US0001M + 6.000%), 11/15/2041 | 419,534 | 0.0 |
5,075,000 | | Freddie Mac REMICS 4059 DY, 3.500%, 06/15/2042 | 4,727,830 | 0.4 |
1,342,836 | | Freddie Mac REMICS 4097 ZA, 3.500%, 08/15/2042 | 1,243,894 | 0.1 |
4,058,181 | | Freddie Mac REMICS 4136 ZG, 3.000%, 11/15/2042 | 3,611,656 | 0.3 |
9,557,150 | | Freddie Mac REMICS 4159 LZ, 3.500%, 01/15/2043 | 8,758,408 | 0.7 |
1,871,677 | | Freddie Mac REMICS 4249 CS, 1.560%, (-0.750*US0001M + 4.650%), 09/15/2043 | 1,352,357 | 0.1 |
2,856,693 | | Freddie Mac REMICS 4274 US, 1.532%, (-1.000*US0001M + 5.850%), 10/15/2035 | 2,297,825 | 0.2 |
10,522,990 | | Freddie Mac REMICS 4367 MZ, 4.000%, 07/15/2044 | 9,992,859 | 0.8 |
2,646,901 | | Freddie Mac REMICS 4372 Z, 3.000%, 08/15/2044 | 2,331,598 | 0.2 |
7,933,477 | (1) | Freddie Mac REMICS 4438 AS, 1.882%, (-1.000*US0001M + 6.200%), 02/15/2045 | 720,362 | 0.1 |
6,118,871 | | Freddie Mac REMICS 4480 ZX, 4.000%, 11/15/2044 | 5,813,119 | 0.5 |
4,103,433 | | Freddie Mac REMICS 4631 CZ, 3.500%, 11/15/2046 | 3,774,960 | 0.3 |
2,545,377 | | Freddie Mac REMICS 4818 GZ, 4.000%, 08/15/2048 | 2,395,534 | 0.2 |
2,597,868 | | Freddie Mac REMICS 5000 DC, 2.500%, 03/25/2040 | 2,215,805 | 0.2 |
1,437,014 | | Freddie Mac Series 4040 UZ, 5.000%, 05/15/2042 | 1,415,772 | 0.1 |
1,019,106 | (2) | Freddie Mac Structured Pass-Through Certificates T-54 2A, 3.745%, 07/25/2033 | 949,416 | 0.1 |
547,096 | (2) | Freddie Mac Structured Pass-Through Certificates T-54 4A, 3.777%, 02/25/2043 | 500,801 | 0.0 |
5,364,895 | | Freddie Mac Whole Loan Securities Trust 2017-SC02 1A2, 3.000%, 05/25/2047 | 4,898,450 | 0.4 |
12,794 | (1) | Freddie Mac-Ginnie Mae Series 21 SA, 3.611%, (-1.000*US0001M + 8.000%), 10/25/2023 | 132 | 0.0 |
666,604 | | Ginnie Mae 2004-65 ZG, 5.500%, 07/20/2034 | 676,642 | 0.1 |
6,212,737 | | Ginnie Mae 2009-110 ZA, 5.500%, 11/16/2039 | 6,334,688 | 0.5 |
863,966 | | Ginnie Mae 2009-32 QZ, 5.500%, 05/16/2039 | 882,194 | 0.1 |
696,796 | | Ginnie Mae 2009-32 YZ, 7.000%, 05/16/2039 | 749,445 | 0.1 |
4,361,319 | | Ginnie Mae 2009-50 MZ, 6.000%, 07/16/2039 | 4,497,481 | 0.4 |
342,432 | | Ginnie Mae 2009-54 HZ, 5.000%, 07/20/2039 | 342,654 | 0.0 |
1,195,865 | | Ginnie Mae 2009-79 PZ, 6.000%, 09/20/2039 | 1,293,966 | 0.1 |
632,995 | | Ginnie Mae 2009-H01 FA, 5.503%, (US0001M + 1.150%), 11/20/2059 | 632,789 | 0.1 |
2,000,000 | | Ginnie Mae 2010-116 PB, 5.000%, 06/16/2040 | 2,021,869 | 0.2 |
2,429,136 | | Ginnie Mae 2010-125 BZ, 4.500%, 09/16/2040 | 2,406,246 | 0.2 |
2,256,954 | (3) | Ginnie Mae 2011-70 PO, 0.000%, 05/16/2041 | 1,705,701 | 0.1 |
1,883,202 | (1) | Ginnie Mae 2014-107 XS, 1.274%, (-1.000*US0001M + 5.600%), 07/16/2044 | 137,469 | 0.0 |
1,850,316 | | Ginnie Mae 2014-149 KL, 4.000%, 10/16/2044 | 1,698,055 | 0.1 |
Principal Amount† | | | Value | Percentage of Net Assets |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |
931,331 | (1) | Ginnie Mae 2014-96 SQ, 1.274%, (-1.000*US0001M + 5.600%), 07/16/2044 | $ | 68,846 | 0.0 |
130,000 | | Ginnie Mae 2015-123 GY, 3.000%, 09/20/2045 | 103,651 | 0.0 |
5,278,470 | | Ginnie Mae 2015-H13 FG, 4.242%, (US0001M + 0.400%), 04/20/2065 | 5,235,387 | 0.4 |
12,975,727 | (1) | Ginnie Mae 2016-120 IM, 3.500%, 07/20/2046 | 1,549,068 | 0.1 |
362,232 | (1) | Ginnie Mae 2016-84 IO, 5.000%, 12/20/2040 | 10,830 | 0.0 |
10,762,348 | | Ginnie Mae 2016-H20 FB, 4.392%, (US0001M + 0.550%), 09/20/2066 | 10,676,295 | 0.9 |
1,000,000 | | Ginnie Mae 2017-117 BE, 2.500%, 08/20/2047 | 826,745 | 0.1 |
1,000,000 | | Ginnie Mae 2017-117 NG, 2.500%, 08/20/2047 | 809,004 | 0.1 |
750,000 | | Ginnie Mae 2017-163 YA, 2.500%, 11/20/2047 | 603,875 | 0.1 |
10,000,000 | | Ginnie Mae 2017-180 QB, 2.500%, 12/20/2047 | 8,457,018 | 0.7 |
4,689,202 | | Ginnie Mae 2018-64 ZH, 2.500%, 05/16/2045 | 3,981,553 | 0.3 |
777,647 | (1) | Ginnie Mae 2018-78 IC, 4.000%, 02/20/2047 | 108,485 | 0.0 |
1,000,000 | | Ginnie Mae 2018-91 JN, 3.000%, 07/20/2048 | 860,888 | 0.1 |
109,899 | | Ginnie Mae 2019-71 EN, 4.000%, 06/20/2049 | 94,891 | 0.0 |
6,499,117 | (1) | Ginnie Mae 2021-74 KI, 3.000%, 04/20/2051 | 968,723 | 0.1 |
2,346,452 | | Ginnie Mae 2022-47 EB, 3.000%, 03/20/2037 | 1,992,939 | 0.2 |
284,167 | | Ginnie Mae Series 2002-92 EA, 4.500%, 02/20/2029 | 283,494 | 0.0 |
69,191 | | Ginnie Mae Series 2004-16 AE, 5.500%, 02/20/2034 | 70,036 | 0.0 |
649,353 | | Ginnie Mae Series 2004-17 MZ, 5.500%, 03/16/2034 | 652,715 | 0.1 |
447,220 | | Ginnie Mae Series 2004-28 CZ, 5.500%, 04/20/2034 | 454,194 | 0.0 |
228,710 | (3) | Ginnie Mae Series 2004-37 OA, 0.000%, 04/17/2034 | 189,688 | 0.0 |
1,648,333 | | Ginnie Mae Series 2004-81 Z, 5.000%, 10/20/2034 | 1,649,767 | 0.1 |
686,253 | (1) | Ginnie Mae Series 2004-98 SA, 2.347%, (-1.000*US0001M + 6.700%), 11/20/2034 | 71,951 | 0.0 |
570,690 | | Ginnie Mae Series 2005-21 Z, 5.000%, 03/20/2035 | 574,013 | 0.1 |
125,077 | (1) | Ginnie Mae Series 2005-25 SI, 6.000%, (-6.000*US0001M + 43.200%), 01/20/2034 | 15,391 | 0.0 |
422,788 | (1) | Ginnie Mae Series 2005-7 AH, 2.444%, (-1.000*US0001M + 6.770%), 02/16/2035 | 33,667 | 0.0 |
505,451 | (1) | Ginnie Mae Series 2005-73 IM, 5.500%, 09/20/2035 | 90,511 | 0.0 |
298,113 | | Ginnie Mae Series 2005-80 Z, 5.000%, 10/20/2035 | 299,767 | 0.0 |
100,262 | | Ginnie Mae Series 2005-91 UP, 5.647%, (-2.000*US0001M + 14.300%), 09/16/2031 | 100,868 | 0.0 |
5,371,034 | | Ginnie Mae Series 2006-10 ZT, 6.000%, 03/20/2036 | 5,497,926 | 0.5 |
1,217,819 | | Ginnie Mae Series 2006-17 TW, 6.000%, 04/20/2036 | 1,239,252 | 0.1 |
4,897,482 | (1) | Ginnie Mae Series 2006-26 TB, 0.250%, (-1.000*US0001M + 6.500%), 06/20/2036 | 44,836 | 0.0 |
1,474,236 | | Ginnie Mae Series 2006-7 ZA, 5.500%, 02/20/2036 | 1,501,834 | 0.1 |
1,110,503 | (1) | Ginnie Mae Series 2007-17 CI, 7.500%, 04/16/2037 | 216,121 | 0.0 |
1,116,311 | (3) | Ginnie Mae Series 2007-41 OL, 0.000%, 07/20/2037 | 887,936 | 0.1 |
66,199 | | Ginnie Mae Series 2007-45 PE, 5.500%, 07/16/2037 | 67,240 | 0.0 |
230,235 | | Ginnie Mae Series 2007-48 SY, 7.271%, (-3.000*US0001M + 20.250%), 08/16/2037 | 226,429 | 0.0 |
1,348,747 | (1) | Ginnie Mae Series 2007-53 SC, 2.147%, (-1.000*US0001M + 6.500%), 09/20/2037 | 134,288 | 0.0 |
38,285 | | Ginnie Mae Series 2007-53 SW, 7.146%, (-3.000*US0001M + 20.205%), 09/20/2037 | 39,340 | 0.0 |
657,053 | | Ginnie Mae Series 2007-60 YZ, 5.500%, 10/20/2037 | 661,584 | 0.1 |
2,890,806 | | Ginnie Mae Series 2008-20 PZ, 6.000%, 03/20/2038 | 2,950,581 | 0.2 |
364,456 | (1) | Ginnie Mae Series 2008-3 SA, 2.197%, (-1.000*US0001M + 6.550%), 01/20/2038 | 42,939 | 0.0 |
625,394 | (1) | Ginnie Mae Series 2008-40 PS, 2.174%, (-1.000*US0001M + 6.500%), 05/16/2038 | 48,998 | 0.0 |
Principal Amount† | | | Value | Percentage of Net Assets |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |
830,533 | (1) | Ginnie Mae Series 2008-51 GS, 1.904%, (-1.000*US0001M + 6.230%), 06/16/2038 | $ | 83,764 | 0.0 |
1,571,483 | (1) | Ginnie Mae Series 2008-82 SA, 1.647%, (-1.000*US0001M + 6.000%), 09/20/2038 | 151,618 | 0.0 |
1,548,591 | (1) | Ginnie Mae Series 2009-110 SA, 2.024%, (-1.000*US0001M + 6.350%), 04/16/2039 | 28,988 | 0.0 |
899,876 | | Ginnie Mae Series 2009-110 ZC, 4.500%, 11/16/2039 | 874,762 | 0.1 |
2,142,793 | | Ginnie Mae Series 2009-118 XZ, 5.000%, 12/20/2039 | 2,147,340 | 0.2 |
945,434 | | Ginnie Mae Series 2009-121 ZQ, 5.500%, 09/20/2039 | 962,097 | 0.1 |
886,041 | | Ginnie Mae Series 2009-31 BP, 5.000%, 05/20/2039 | 888,412 | 0.1 |
1,301,486 | | Ginnie Mae Series 2009-31 ZL, 4.500%, 05/20/2039 | 1,294,280 | 0.1 |
1,258,238 | | Ginnie Mae Series 2009-34 Z, 4.500%, 05/16/2039 | 1,246,020 | 0.1 |
1,731,388 | | Ginnie Mae Series 2009-53 ZB, 6.000%, 07/16/2039 | 1,776,411 | 0.2 |
161,963 | (1) | Ginnie Mae Series 2009-55 BI, 1.000%, (-25.000*US0001M + 162.500%), 06/16/2037 | 5,877 | 0.0 |
2,356,725 | | Ginnie Mae Series 2009-61 EZ, 7.500%, 08/20/2039 | 2,525,400 | 0.2 |
7,016,083 | | Ginnie Mae Series 2009-61 PZ, 7.500%, 08/20/2039 | 7,831,293 | 0.6 |
3,896,034 | | Ginnie Mae Series 2009-61 ZQ, 6.000%, 08/16/2039 | 4,131,456 | 0.3 |
698,544 | (1) | Ginnie Mae Series 2009-66 QS, 1.747%, (-1.000*US0001M + 6.100%), 07/20/2039 | 27,492 | 0.0 |
2,992,247 | | Ginnie Mae Series 2009-68 ZC, 5.500%, 08/16/2039 | 3,051,223 | 0.3 |
494,209 | (1) | Ginnie Mae Series 2009-77 SA, 1.824%, (-1.000*US0001M + 6.150%), 09/16/2039 | 46,815 | 0.0 |
3,194,274 | | Ginnie Mae Series 2009-77 ZB, 5.500%, 09/16/2039 | 3,284,944 | 0.3 |
2,374,988 | | Ginnie Mae Series 2009-87 WZ, 6.000%, 10/20/2039 | 2,539,014 | 0.2 |
686,587 | | Ginnie Mae Series 2009-92 DZ, 4.500%, 10/16/2039 | 666,734 | 0.1 |
1,639,591 | | Ginnie Mae Series 2009-98 MZ, 5.000%, 10/16/2039 | 1,630,077 | 0.1 |
966,742 | (1) | Ginnie Mae Series 2010-106 IP, 5.000%, 03/20/2040 | 85,914 | 0.0 |
7,313,926 | | Ginnie Mae Series 2010-113 BE, 4.500%, 09/20/2040 | 7,243,831 | 0.6 |
950,030 | (1) | Ginnie Mae Series 2010-116 NS, 2.324%, (-1.000*US0001M + 6.650%), 09/16/2040 | 71,552 | 0.0 |
3,853,106 | | Ginnie Mae Series 2010-117 ZQ, 4.500%, 09/20/2040 | 3,820,668 | 0.3 |
918,000 | | Ginnie Mae Series 2010-121 TB, 4.000%, 09/20/2040 | 875,017 | 0.1 |
29,000 | (1) | Ginnie Mae Series 2010-130 KI, 5.500%, 09/16/2040 | 1,177 | 0.0 |
1,500,000 | | Ginnie Mae Series 2010-14 B, 4.500%, 02/16/2040 | 1,482,390 | 0.1 |
654,767 | (1) | Ginnie Mae Series 2010-158 SA, 1.697%, (-1.000*US0001M + 6.050%), 12/20/2040 | 65,232 | 0.0 |
920,712 | | Ginnie Mae Series 2010-162 ZE, 4.000%, 12/16/2040 | 898,716 | 0.1 |
9,152,618 | (1) | Ginnie Mae Series 2010-166 GS, 1.647%, (-1.000*US0001M + 6.000%), 12/20/2040 | 741,488 | 0.1 |
457,189 | (1) | Ginnie Mae Series 2010-166 NI, 4.500%, 04/20/2039 | 16,772 | 0.0 |
917,989 | | Ginnie Mae Series 2010-169 AW, 4.500%, 12/20/2040 | 906,078 | 0.1 |
946,437 | | Ginnie Mae Series 2010-169 JZ, 4.000%, 12/20/2040 | 899,864 | 0.1 |
172,930 | (1) | Ginnie Mae Series 2010-19 LI, 5.000%, 07/16/2039 | 8,456 | 0.0 |
937,558 | | Ginnie Mae Series 2010-31 BP, 5.000%, 03/20/2040 | 926,468 | 0.1 |
888,445 | (1) | Ginnie Mae Series 2010-4 WI, 6.000%, 01/16/2040 | 120,747 | 0.0 |
4,548,608 | | Ginnie Mae Series 2010-42 VZ, 5.500%, 10/20/2039 | 4,644,685 | 0.4 |
726,817 | | Ginnie Mae Series 2010-59 ZA, 4.500%, 05/20/2040 | 716,701 | 0.1 |
Principal Amount† | | | Value | Percentage of Net Assets |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |
2,080,460 | | Ginnie Mae Series 2010-H01 FA, 4.875%, (US0001M + 0.820%), 01/20/2060 | $ | 2,075,852 | 0.2 |
6,511,158 | | Ginnie Mae Series 2010-H10 FB, 5.055%, (US0001M + 1.000%), 05/20/2060 | 6,513,713 | 0.5 |
3,512,449 | | Ginnie Mae Series 2010-H10 FC, 5.055%, (US0001M + 1.000%), 05/20/2060 | 3,513,179 | 0.3 |
1,312,714 | | Ginnie Mae Series 2010-H20 AF, 4.172%, (US0001M + 0.330%), 10/20/2060 | 1,300,399 | 0.1 |
192,295 | | Ginnie Mae Series 2010-H26 LF, 4.148%, (US0001M + 0.350%), 08/20/2058 | 190,518 | 0.0 |
317,752 | | Ginnie Mae Series 2011-116 CI, 4.000%, 05/16/2026 | 10,844 | 0.0 |
174,489 | (1) | Ginnie Mae Series 2011-123 QI, 5.000%, 05/20/2041 | 16,832 | 0.0 |
439,104 | | Ginnie Mae Series 2011-128 TF, 4.776%, (US0001M + 0.450%), 05/16/2041 | 431,107 | 0.0 |
2,206,660 | (1) | Ginnie Mae Series 2011-141 PS, 2.374%, (-1.000*US0001M + 6.700%), 06/16/2041 | 145,476 | 0.0 |
1,731,594 | (1) | Ginnie Mae Series 2011-146 EI, 5.000%, 11/16/2041 | 316,149 | 0.0 |
945,000 | | Ginnie Mae Series 2011-151 PY, 3.000%, 11/20/2041 | 826,374 | 0.1 |
40,821 | | Ginnie Mae Series 2011-169 BC, 7.000%, 05/16/2032 | 41,760 | 0.0 |
119,406 | (2) | Ginnie Mae Series 2011-169 BG, 5.450%, 04/16/2039 | 119,597 | 0.0 |
5,899,500 | | Ginnie Mae Series 2011-25 Z, 4.000%, 02/20/2041 | 5,729,305 | 0.5 |
1,218,723 | | Ginnie Mae Series 2011-59 QC, 4.000%, 12/20/2040 | 1,178,314 | 0.1 |
1,169,984 | | Ginnie Mae Series 2011-69 HW, 4.000%, 04/20/2040 | 1,158,250 | 0.1 |
436,810 | (1) | Ginnie Mae Series 2011-73 LS, 2.337%, (-1.000*US0001M + 6.690%), 08/20/2039 | 2,198 | 0.0 |
2,036,941 | | Ginnie Mae Series 2011-89 Z, 3.500%, 06/20/2041 | 1,930,858 | 0.2 |
1,306,960 | | Ginnie Mae Series 2011-H01 AF, 4.292%, (US0001M + 0.450%), 11/20/2060 | 1,298,217 | 0.1 |
1,754,752 | | Ginnie Mae Series 2011-H03 FA, 4.342%, (US0001M + 0.500%), 01/20/2061 | 1,742,545 | 0.1 |
341,222 | | Ginnie Mae Series 2011-H07 FA, 4.342%, (US0001M + 0.500%), 02/20/2061 | 338,720 | 0.0 |
182,024 | | Ginnie Mae Series 2011-H08 FD, 4.342%, (US0001M + 0.500%), 02/20/2061 | 180,706 | 0.0 |
431,630 | | Ginnie Mae Series 2011-H09 AF, 4.342%, (US0001M + 0.500%), 03/20/2061 | 428,796 | 0.0 |
420,087 | | Ginnie Mae Series 2011-H11 FB, 4.342%, (US0001M + 0.500%), 04/20/2061 | 417,343 | 0.0 |
532,548 | | Ginnie Mae Series 2011-H19 FA, 4.312%, (US0001M + 0.470%), 08/20/2061 | 528,933 | 0.0 |
1,252,148 | | Ginnie Mae Series 2011-H20 FA, 4.392%, (US0001M + 0.550%), 09/20/2061 | 1,244,445 | 0.1 |
262,304 | | Ginnie Mae Series 2011-H21 FT, 4.892%, (H15T1Y + 0.700%), 10/20/2061 | 262,067 | 0.0 |
998,146 | (1) | Ginnie Mae Series 2012-103 IC, 3.500%, 08/16/2040 | 45,593 | 0.0 |
243,727 | (1) | Ginnie Mae Series 2012-124 MI, 4.000%, 03/20/2042 | 21,126 | 0.0 |
12,707,615 | (1) | Ginnie Mae Series 2012-136 BI, 3.500%, 11/20/2042 | 1,903,616 | 0.2 |
2,272,315 | (1) | Ginnie Mae Series 2012-146 AI, 3.000%, 10/20/2037 | 69,718 | 0.0 |
268,524 | (1) | Ginnie Mae Series 2012-34 MS, 2.374%, (-1.000*US0001M + 6.700%), 04/16/2041 | 14,990 | 0.0 |
2,621,052 | (1) | Ginnie Mae Series 2012-48 SA, 2.324%, (-1.000*US0001M + 6.650%), 04/16/2042 | 307,380 | 0.0 |
3,411,961 | (1) | Ginnie Mae Series 2012-60 SG, 1.774%, (-1.000*US0001M + 6.100%), 05/16/2042 | 307,069 | 0.0 |
3,727,298 | | Ginnie Mae Series 2012-77 FE, 4.716%, (US0001M + 0.390%), 05/16/2041 | 3,681,558 | 0.3 |
Principal Amount† | | | Value | Percentage of Net Assets |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |
705,049 | (1) | Ginnie Mae Series 2012-93 NS, 1.747%, (-1.000*US0001M + 6.100%), 07/20/2042 | $ | 59,522 | 0.0 |
792,143 | (1) | Ginnie Mae Series 2012-98 EI, 4.000%, 04/20/2041 | 82,966 | 0.0 |
2,164,790 | | Ginnie Mae Series 2012-H06 FS, 4.542%, (US0001M + 0.700%), 03/20/2062 | 2,153,584 | 0.2 |
5,193,485 | | Ginnie Mae Series 2012-H08 FA, 4.442%, (US0001M + 0.600%), 01/20/2062 | 5,162,029 | 0.4 |
1,783,797 | | Ginnie Mae Series 2012-H08 FB, 4.442%, (US0001M + 0.600%), 03/20/2062 | 1,774,477 | 0.2 |
320,648 | | Ginnie Mae Series 2012-H11 FA, 4.542%, (US0001M + 0.700%), 02/20/2062 | 319,245 | 0.0 |
424,069 | | Ginnie Mae Series 2012-H11 GA, 4.422%, (US0001M + 0.580%), 05/20/2062 | 421,436 | 0.0 |
1,246,609 | | Ginnie Mae Series 2012-H11 VA, 4.492%, (US0001M + 0.650%), 05/20/2062 | 1,238,587 | 0.1 |
1,505,261 | | Ginnie Mae Series 2012-H12 FA, 4.392%, (US0001M + 0.550%), 04/20/2062 | 1,495,606 | 0.1 |
8,377,560 | | Ginnie Mae Series 2012-H12 FB, 4.854%, (US0001M + 1.050%), 02/20/2062 | 8,384,647 | 0.7 |
412,711 | | Ginnie Mae Series 2012-H14 FK, 4.422%, (US0001M + 0.580%), 07/20/2062 | 410,437 | 0.0 |
2,876,964 | | Ginnie Mae Series 2012-H20 BA, 4.402%, (US0001M + 0.560%), 09/20/2062 | 2,859,718 | 0.2 |
1,778,010 | | Ginnie Mae Series 2012-H20 PT, 4.911%, 07/20/2062 | 1,773,551 | 0.1 |
1,792,207 | | Ginnie Mae Series 2012-H26 BA, 4.192%, (US0001M + 0.350%), 10/20/2062 | 1,775,619 | 0.2 |
482,318 | | Ginnie Mae Series 2012-H29 FA, 4.357%, (US0001M + 0.515%), 10/20/2062 | 479,362 | 0.0 |
777,565 | | Ginnie Mae Series 2012-H30 GA, 4.192%, (US0001M + 0.350%), 12/20/2062 | 770,622 | 0.1 |
1,322,783 | | Ginnie Mae Series 2012-H31 FD, 4.182%, (US0001M + 0.340%), 12/20/2062 | 1,308,928 | 0.1 |
1,165,701 | | Ginnie Mae Series 2013-119 TZ, 3.000%, 08/20/2043 | 1,054,014 | 0.1 |
7,000,000 | | Ginnie Mae Series 2013-147 BE, 4.000%, 12/20/2039 | 6,665,513 | 0.6 |
1,487,041 | | Ginnie Mae Series 2013-167 Z, 3.000%, 10/16/2043 | 1,320,944 | 0.1 |
1,900,000 | (1) | Ginnie Mae Series 2013-186 UI, 2.500%, 11/20/2043 | 351,015 | 0.0 |
517,150 | (1) | Ginnie Mae Series 2013-186 VI, 4.000%, 12/20/2042 | 73,629 | 0.0 |
375,604 | | Ginnie Mae Series 2013-186 ZE, 2.500%, 12/16/2043 | 325,216 | 0.0 |
3,098,901 | (1) | Ginnie Mae Series 2013-20 LI, 4.500%, 12/16/2042 | 369,894 | 0.0 |
1,717,800 | (1) | Ginnie Mae Series 2013-23 IO, 3.500%, 02/20/2043 | 279,098 | 0.0 |
336,633 | (1) | Ginnie Mae Series 2013-41 PI, 3.500%, 04/20/2040 | 4,702 | 0.0 |
774,580 | (1) | Ginnie Mae Series 2013-88 AI, 1.730%, (-1.000*US0001M + 5.850%), 06/20/2043 | 62,656 | 0.0 |
1,290,168 | (1) | Ginnie Mae Series 2013-99 SK, 1.780%, (-1.000*US0001M + 5.900%), 07/20/2043 | 89,677 | 0.0 |
1,236,978 | | Ginnie Mae Series 2013-H02 FD, 4.182%, (US0001M + 0.340%), 12/20/2062 | 1,224,386 | 0.1 |
245,469 | | Ginnie Mae Series 2013-H07 HA, 4.252%, (US0001M + 0.410%), 03/20/2063 | 243,338 | 0.0 |
1,822,853 | | Ginnie Mae Series 2013-H08 BF, 4.242%, (US0001M + 0.400%), 03/20/2063 | 1,801,662 | 0.2 |
1,690,715 | | Ginnie Mae Series 2013-H10 FT, 4.979%, (H15T1Y + 0.450%), 04/20/2063 | 1,684,754 | 0.1 |
1,468,822 | | Ginnie Mae Series 2013-H13 FS, 4.842%, (US0001M + 1.000%), 06/20/2063 | 1,469,495 | 0.1 |
1,740,572 | | Ginnie Mae Series 2013-H14 FC, 4.312%, (US0001M + 0.470%), 06/20/2063 | 1,727,534 | 0.1 |
Principal Amount† | | | Value | Percentage of Net Assets |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |
622,638 | | Ginnie Mae Series 2013-H14 FD, 4.312%, (US0001M + 0.470%), 06/20/2063 | $ | 617,686 | 0.1 |
560,093 | | Ginnie Mae Series 2013-H14 FG, 4.312%, (US0001M + 0.470%), 05/20/2063 | 555,639 | 0.0 |
453,902 | | Ginnie Mae Series 2013-H15 FA, 4.382%, (US0001M + 0.540%), 06/20/2063 | 451,311 | 0.0 |
914,341 | | Ginnie Mae Series 2013-H17 FA, 4.392%, (US0001M + 0.550%), 07/20/2063 | 909,813 | 0.1 |
427,678 | | Ginnie Mae Series 2013-H18 BA, 4.442%, (US0001M + 0.600%), 07/20/2063 | 425,254 | 0.0 |
664,046 | | Ginnie Mae Series 2013-H18 EA, 4.342%, (US0001M + 0.500%), 07/20/2063 | 661,183 | 0.1 |
1,446,868 | | Ginnie Mae Series 2013-H18 FA, 4.342%, (US0001M + 0.500%), 06/20/2063 | 1,436,458 | 0.1 |
1,597,363 | | Ginnie Mae Series 2013-H19 DF, 4.492%, (US0001M + 0.650%), 05/20/2063 | 1,585,509 | 0.1 |
658,685 | | Ginnie Mae Series 2013-H20 FB, 4.842%, (US0001M + 1.000%), 08/20/2063 | 658,600 | 0.1 |
528,192 | | Ginnie Mae Series 2013-H21 FB, 4.542%, (US0001M + 0.700%), 09/20/2063 | 526,514 | 0.0 |
847,249 | | Ginnie Mae Series 2013-H22 FB, 4.542%, (US0001M + 0.700%), 08/20/2063 | 843,986 | 0.1 |
1,460,058 | | Ginnie Mae Series 2013-H22 FT, 5.143%, (H15T1Y + 0.650%), 04/20/2063 | 1,458,432 | 0.1 |
1,198,597 | | Ginnie Mae Series 2013-H23 FA, 5.142%, (US0001M + 1.300%), 09/20/2063 | 1,201,546 | 0.1 |
151,020 | | Ginnie Mae Series 2013-H24 FB, 4.572%, (US0001M + 0.730%), 09/20/2063 | 150,701 | 0.0 |
2,793,200 | | Ginnie Mae Series 2014-115 EM, 4.000%, 08/20/2044 | 2,656,680 | 0.2 |
2,748,066 | | Ginnie Mae Series 2014-118 ZP, 4.000%, 08/20/2044 | 2,616,660 | 0.2 |
1,235,968 | (1) | Ginnie Mae Series 2014-129 WS, 1.780%, (-1.000*US0001M + 5.900%), 09/20/2044 | 95,486 | 0.0 |
1,074,716 | (1) | Ginnie Mae Series 2014-161 WS, 1.780%, (-1.000*US0001M + 5.900%), 11/20/2044 | 79,333 | 0.0 |
1,137,594 | (1) | Ginnie Mae Series 2014-183 IM, 5.000%, 06/20/2035 | 179,784 | 0.0 |
1,328,239 | (1) | Ginnie Mae Series 2014-30 ES, 0.647%, (-1.000*US0001M + 5.000%), 03/20/2040 | 77,606 | 0.0 |
2,045,692 | (1) | Ginnie Mae Series 2014-99 IO, 4.500%, 06/20/2044 | 401,846 | 0.0 |
8,115,574 | | Ginnie Mae Series 2014-H03 FS, 4.492%, (US0001M + 0.650%), 02/20/2064 | 8,062,104 | 0.7 |
2,331,005 | | Ginnie Mae Series 2014-H04 FB, 4.492%, (US0001M + 0.650%), 02/20/2064 | 2,322,052 | 0.2 |
3,792,327 | | Ginnie Mae Series 2014-H05 FB, 4.442%, (US0001M + 0.600%), 12/20/2063 | 3,777,483 | 0.3 |
952,182 | | Ginnie Mae Series 2014-H06 FA, 4.412%, (US0001M + 0.570%), 03/20/2064 | 946,524 | 0.1 |
422,868 | | Ginnie Mae Series 2014-H06 HB, 4.492%, (US0001M + 0.650%), 03/20/2064 | 420,831 | 0.0 |
2,493,163 | | Ginnie Mae Series 2014-H11 VA, 4.342%, (US0001M + 0.500%), 06/20/2064 | 2,466,846 | 0.2 |
3,121,422 | | Ginnie Mae Series 2014-H15 FA, 4.342%, (US0001M + 0.500%), 07/20/2064 | 3,089,163 | 0.3 |
1,493,329 | | Ginnie Mae Series 2014-H21 FA, 4.186%, (US0001M + 0.650%), 10/20/2064 | 1,465,585 | 0.1 |
8,333,403 | (2) | Ginnie Mae Series 2015-10 Q, 2.393%, 10/20/2044 | 6,947,637 | 0.6 |
2,364,266 | (1) | Ginnie Mae Series 2015-141 IX, 6.534%, (-0.714*US0001M + 2.142%), 06/20/2045 | 43,732 | 0.0 |
15,125,000 | | Ginnie Mae Series 2015-143 B, 3.500%, 04/20/2045 | 13,774,944 | 1.1 |
2,122,754 | (1) | Ginnie Mae Series 2015-149 IL, 4.500%, 10/20/2045 | 427,334 | 0.0 |
Principal Amount† | | | Value | Percentage of Net Assets |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |
1,273,597 | (1) | Ginnie Mae Series 2015-157 PI, 4.000%, 03/20/2044 | $ | 135,622 | 0.0 |
2,648,592 | | Ginnie Mae Series 2015-165 ZA, 3.500%, 07/20/2045 | 2,501,228 | 0.2 |
1,634,885 | | Ginnie Mae Series 2015-H03 FA, 4.342%, (US0001M + 0.500%), 12/20/2064 | 1,624,428 | 0.1 |
79,792 | | Ginnie Mae Series 2015-H04 FL, 4.312%, (US0001M + 0.470%), 02/20/2065 | 79,035 | 0.0 |
2,689,903 | | Ginnie Mae Series 2015-H05 FC, 4.322%, (US0001M + 0.480%), 02/20/2065 | 2,652,318 | 0.2 |
1,197,304 | | Ginnie Mae Series 2015-H06 FA, 4.322%, (US0001M + 0.480%), 02/20/2065 | 1,186,419 | 0.1 |
2,236,131 | | Ginnie Mae Series 2015-H08 FB, 2.890%, (US0001M + 0.630%), 03/20/2065 | 2,193,458 | 0.2 |
1,882,149 | | Ginnie Mae Series 2015-H08 FC, 4.322%, (US0001M + 0.480%), 03/20/2065 | 1,865,065 | 0.2 |
2,987,947 | | Ginnie Mae Series 2015-H09 FA, 2.758%, (US0001M + 0.620%), 04/20/2065 | 2,929,197 | 0.2 |
5,148,729 | | Ginnie Mae Series 2015-H10 FA, 3.381%, (US0001M + 0.600%), 04/20/2065 | 5,063,372 | 0.4 |
1,558,172 | | Ginnie Mae Series 2015-H10 FH, 3.085%, (US0001M + 0.600%), 04/20/2065 | 1,528,678 | 0.1 |
197,155 | | Ginnie Mae Series 2015-H12 FA, 4.322%, (US0001M + 0.480%), 05/20/2065 | 195,342 | 0.0 |
1,274,286 | | Ginnie Mae Series 2015-H12 FL, 4.072%, (US0001M + 0.230%), 05/20/2065 | 1,261,094 | 0.1 |
685,173 | | Ginnie Mae Series 2015-H14 FB, 4.272%, (US0001M + 0.430%), 05/20/2065 | 680,983 | 0.1 |
1,069,702 | | Ginnie Mae Series 2015-H18 FB, 4.442%, (US0001M + 0.600%), 07/20/2065 | 1,054,695 | 0.1 |
1,003,671 | | Ginnie Mae Series 2015-H20 FB, 4.407%, (US0001M + 0.600%), 08/20/2065 | 988,134 | 0.1 |
1,540,428 | | Ginnie Mae Series 2015-H22 FC, 4.344%, (US0001M + 0.600%), 09/20/2065 | 1,515,655 | 0.1 |
1,814,019 | | Ginnie Mae Series 2015-H23 FB, 4.362%, (US0001M + 0.520%), 09/20/2065 | 1,797,026 | 0.2 |
1,220,715 | | Ginnie Mae Series 2015-H26 FA, 4.362%, (US0001M + 0.520%), 10/20/2065 | 1,208,495 | 0.1 |
1,975,457 | | Ginnie Mae Series 2015-H26 FC, 4.442%, (US0001M + 0.600%), 08/20/2065 | 1,968,521 | 0.2 |
446,555 | | Ginnie Mae Series 2015-H26 FG, 4.362%, (US0001M + 0.520%), 10/20/2065 | 440,359 | 0.0 |
1,674,788 | | Ginnie Mae Series 2015-H27 FA, 4.511%, (US0001M + 0.750%), 09/20/2065 | 1,651,331 | 0.1 |
3,450,047 | | Ginnie Mae Series 2015-H29 FL, 4.442%, (US0001M + 0.600%), 11/20/2065 | 3,408,796 | 0.3 |
26,141,622 | | Ginnie Mae Series 2015-H30 FC, 4.331%, (US0001M + 0.660%), 11/20/2065 | 25,663,759 | 2.1 |
86,021 | | Ginnie Mae Series 2015-H30 FD, 4.442%, (US0001M + 0.600%), 10/20/2065 | 85,506 | 0.0 |
2,782,582 | | Ginnie Mae Series 2015-H30 FE, 4.442%, (US0001M + 0.600%), 11/20/2065 | 2,760,200 | 0.2 |
1,509,648 | | Ginnie Mae Series 2015-H31 FT, 4.492%, (US0001M + 0.650%), 11/20/2065 | 1,503,246 | 0.1 |
5,319,525 | (1) | Ginnie Mae Series 2016-145 IU, 3.500%, 10/20/2046 | 863,282 | 0.1 |
4,807,115 | (1) | Ginnie Mae Series 2016-20 BS, 1.747%, (-1.000*US0001M + 6.100%), 02/20/2046 | 509,779 | 0.0 |
3,101,104 | (2) | Ginnie Mae Series 2016-5 AB, 4.690%, 01/20/2046 | 3,073,920 | 0.3 |
4,695,281 | | Ginnie Mae Series 2016-69 B, 3.000%, 05/20/2046 | 4,150,252 | 0.3 |
399,872 | | Ginnie Mae Series 2016-H01 FL, 4.492%, (US0001M + 0.650%), 12/20/2065 | 398,225 | 0.0 |
1,384,150 | | Ginnie Mae Series 2016-H02 FH, 4.842%, (US0001M + 1.000%), 01/20/2066 | 1,365,901 | 0.1 |
Principal Amount† | | | Value | Percentage of Net Assets |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |
180,175 | | Ginnie Mae Series 2016-H03 FB, 4.492%, (US0001M + 0.650%), 01/20/2066 | $ | 178,290 | 0.0 |
2,205,884 | | Ginnie Mae Series 2016-H04 FK, 3.205%, (US0001M + 1.050%), 02/20/2066 | 2,178,363 | 0.2 |
294,109 | | Ginnie Mae Series 2016-H07 FK, 2.991%, (US0001M + 1.000%), 03/20/2066 | 290,149 | 0.0 |
3,600,358 | | Ginnie Mae Series 2016-H08 FT, 4.562%, (US0001M + 0.720%), 02/20/2066 | 3,586,202 | 0.3 |
976,231 | | Ginnie Mae Series 2016-H09 FB, 3.547%, (US0001M + 0.900%), 04/20/2066 | 964,391 | 0.1 |
2,029,139 | | Ginnie Mae Series 2016-H11 F, 4.642%, (US0001M + 0.800%), 05/20/2066 | 2,004,043 | 0.2 |
885,400 | | Ginnie Mae Series 2016-H11 FE, 3.507%, (US0001M + 0.850%), 04/20/2066 | 874,149 | 0.1 |
1,836,892 | | Ginnie Mae Series 2016-H13 FD, 5.010%, (H15T1Y + 0.450%), 05/20/2066 | 1,826,427 | 0.2 |
493,638 | | Ginnie Mae Series 2016-H13 FT, 4.422%, (US0001M + 0.580%), 05/20/2066 | 491,436 | 0.0 |
232,101 | | Ginnie Mae Series 2016-H20 FG, 4.542%, (US0001M + 0.700%), 08/20/2066 | 231,120 | 0.0 |
1,798,979 | | Ginnie Mae Series 2016-H21 FH, 4.692%, (US0001M + 0.850%), 09/20/2066 | 1,780,310 | 0.2 |
4,400,022 | | Ginnie Mae Series 2016-H23 F, 4.592%, (US0001M + 0.750%), 10/20/2066 | 4,348,041 | 0.4 |
3,760,632 | | Ginnie Mae Series 2017-107 QZ, 3.000%, 08/20/2045 | 3,060,816 | 0.3 |
1,660,186 | | Ginnie Mae Series 2017-122 CZ, 3.000%, 08/20/2047 | 1,287,758 | 0.1 |
2,158,925 | (1) | Ginnie Mae Series 2017-123 IO, 5.000%, 08/16/2047 | 457,088 | 0.0 |
2,890,000 | | Ginnie Mae Series 2017-162 PL, 3.000%, 10/20/2047 | 2,422,576 | 0.2 |
1,361,635 | | Ginnie Mae Series 2017-56 HM, 3.000%, 12/20/2046 | 1,239,358 | 0.1 |
5,007,528 | | Ginnie Mae Series 2017-56 JZ, 3.000%, 04/20/2047 | 4,094,762 | 0.3 |
23,336,755 | | Ginnie Mae Series 2017-H05 FC, 3.282%, (US0001M + 0.750%), 02/20/2067 | 23,009,511 | 1.9 |
926,936 | | Ginnie Mae Series 2017-H07 FG, 4.302%, (US0001M + 0.460%), 02/20/2067 | 919,620 | 0.1 |
588,087 | | Ginnie Mae Series 2017-H14 FD, 4.312%, (US0001M + 0.470%), 06/20/2067 | 574,108 | 0.1 |
1,252,464 | | Ginnie Mae Series 2017-H14 FV, 4.342%, (US0001M + 0.500%), 06/20/2067 | 1,239,710 | 0.1 |
1,672,529 | | Ginnie Mae Series 2017-H17 FG, 4.342%, (US0001M + 0.500%), 08/20/2067 | 1,659,504 | 0.1 |
826,846 | | Ginnie Mae Series 2017-H19 FA, 4.292%, (US0001M + 0.450%), 08/20/2067 | 821,484 | 0.1 |
1,546,925 | | Ginnie Mae Series 2018-112 AL, 3.500%, 08/20/2048 | 1,424,858 | 0.1 |
338,736 | | Ginnie Mae Series 2018-163 DZ, 4.500%, 11/20/2048 | 313,696 | 0.0 |
2,101,719 | | Ginnie Mae Series 2018-H04 FM, 4.142%, (US0001M + 0.300%), 03/20/2068 | 2,076,271 | 0.2 |
436,651 | | Ginnie Mae Series 2018-H07 FE, 4.192%, (US0001M + 0.350%), 02/20/2068 | 433,708 | 0.0 |
5,015,240 | | Ginnie Mae Series 2018-H14 FG, 4.192%, (US0001M + 0.350%), 09/20/2068 | 4,962,039 | 0.4 |
4,998,313 | | Ginnie Mae Series 2018-H18 FC, 4.192%, (US0001M + 0.350%), 08/20/2065 | 4,961,659 | 0.4 |
9,524,352 | | Ginnie Mae Series 2019-1 LZ, 3.500%, 01/20/2049 | 8,218,805 | 0.7 |
1,462,737 | | Ginnie Mae Series 2019-1 Z, 4.000%, 01/20/2049 | 1,387,259 | 0.1 |
3,223,469 | | Ginnie Mae Series 2019-100 FD, 4.753%, (US0001M + 0.400%), 08/20/2049 | 3,144,534 | 0.3 |
878,396 | | Ginnie Mae Series 2019-29 AI, 5.000%, 07/20/2048 | 177,615 | 0.0 |
12,000,000 | (1) | Ginnie Mae Series 2019-56 YI, 5.000%, 05/20/2049 | 3,218,530 | 0.3 |
Principal Amount† | | | Value | Percentage of Net Assets |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |
654,949 | | Ginnie Mae Series 2019-H01 FJ, 4.142%, (US0001M + 0.300%), 09/20/2068 | $ | 650,271 | 0.1 |
1,156,585 | | Ginnie Mae Series 2019-H01 FL, 4.292%, (US0001M + 0.450%), 12/20/2068 | 1,143,763 | 0.1 |
2,912,575 | | Ginnie Mae Series 2019-H05 FL, 4.322%, (US0001M + 0.480%), 03/20/2069 | 2,878,330 | 0.2 |
590,266 | | Ginnie Mae Series 2019-H10 FM, 4.242%, (US0001M + 0.400%), 05/20/2069 | 580,926 | 0.1 |
2,197,004 | | Ginnie Mae Series 2019-H19 FB, 4.292%, (US0001M + 0.450%), 11/20/2069 | 2,179,287 | 0.2 |
21,685,803 | (1) | Ginnie Mae Series 2020-47 LI, 3.500%, 04/20/2050 | 3,637,926 | 0.3 |
1,030,409 | | Ginnie Mae Series 2020-H01 FT, 5.060%, (H15T1Y + 0.500%), 01/20/2070 | 1,026,993 | 0.1 |
5,602,720 | | Ginnie Mae Series 2020-H10 FD, 4.242%, (US0001M + 0.400%), 05/20/2070 | 5,564,752 | 0.5 |
9,192,947 | (1) | Ginnie Mae Series 2021-58 SB, 1.947%, (-1.000*US0001M + 6.300%), 04/20/2051 | 923,332 | 0.1 |
16,111,172 | (1) | Ginnie Mae Series 2021-77 SK, 7.692%, (-1.000*US0001M + 3.300%), 05/20/2051 | 329,786 | 0.0 |
104,557 | (2) | Ginnie Mae Series 2021-H09 Z, 3.076%, 10/20/2066 | 96,362 | 0.0 |
691,519 | | Seasoned Credit Risk Transfer Trust Series 2017-2 MA, 3.000%, 08/25/2056 | 642,446 | 0.1 |
4,418,818 | | Seasoned Credit Risk Transfer Trust Series 2019-1 M55D, 4.000%, 07/25/2058 | 4,203,028 | 0.4 |
1,752,102 | | Seasoned Credit Risk Transfer Trust Series 2019-3 M55D, 4.000%, 10/25/2058 | 1,667,127 | 0.1 |
6,035,000 | | Seasoned Loans Structured Transaction Series 2019-1 A2, 3.500%, 05/25/2029 | 5,544,029 | 0.5 |
3,362,841 | | Seasoned Loans Structured Transaction Trust Series 2019-2 A1C, 2.750%, 09/25/2029 | 3,095,738 | 0.3 |
5,875,000 | | Seasoned Loans Structured Transaction Trust Series 2019-3 A2C, 2.750%, 11/25/2029 | 5,100,820 | 0.4 |
1,279,571 | | Vendee Mortgage Trust 2011-2 DZ, 3.750%, 10/15/2041 | 1,184,461 | 0.1 |
23,913,848 | (1),(2) | Vendee Mortgage Trust 2011-2 IO, 0.356%, 10/15/2041 | 387,811 | 0.0 |
| | | | |
| Total Collateralized Mortgage Obligations | | |
| (Cost $715,998,571) | 655,313,387 | 54.0 |
| | | |
COMMERCIAL MORTGAGE-BACKED SECURITIES: 3.4% | |
9,260,316 | (1),(2) | Freddie Mac Multifamily Structured Pass Through Certificates K106 X1, 1.354%, 01/25/2030 | | 682,135 | 0.1 |
28,102,267 | (1),(2) | Freddie Mac Multifamily Structured Pass Through Certificates K107 X1, 1.691%, 03/25/2030 | 2,667,818 | 0.2 |
19,427,180 | (1),(2) | Freddie Mac Multifamily Structured Pass Through Certificates K110 X1, 1.697%, 04/25/2030 | 1,802,961 | 0.2 |
2,984,793 | (1),(2) | Freddie Mac Multifamily Structured Pass Through Certificates K119 X1, 0.931%, 09/25/2030 | 161,054 | 0.0 |
16,496,401 | (1),(2) | Freddie Mac Multifamily Structured Pass Through Certificates K-1516 X1, 1.511%, 05/25/2035 | 1,937,234 | 0.2 |
14,679,354 | (1),(2) | Freddie Mac Multifamily Structured Pass Through Certificates K-1517 X1, 1.324%, 07/25/2035 | 1,533,333 | 0.1 |
34,229,600 | (1),(2) | Freddie Mac Multifamily Structured Pass Through Certificates K-1519 X1, 0.599%, 12/25/2035 | 1,683,052 | 0.1 |
24,830,944 | (1),(2) | Freddie Mac Multifamily Structured Pass Through Certificates K740 X1, 0.756%, 09/25/2027 | 715,716 | 0.1 |
31,466,000 | (1),(2) | Freddie Mac Multifamily Structured Pass Through Certificates KL06 XFX, 1.364%, 12/25/2029 | 2,230,360 | 0.2 |
34,783,948 | (1),(2) | Freddie Mac Multifamily Structured Pass Through Certificates KLU3 X1, 1.937%, 01/25/2031 | 3,854,743 | 0.3 |
264,253 | (2) | Ginnie Mae 2004-23 Z, 5.759%, 03/16/2044 | 259,896 | 0.0 |
3,977,349 | (1),(2) | Ginnie Mae 2006-67 IO, 0.546%, 11/16/2046 | 9,396 | 0.0 |
45,284 | (2) | Ginnie Mae 2007-52 Z, 4.350%, 01/16/2048 | 45,166 | 0.0 |
483,828 | | Ginnie Mae 2008-39 Z, 4.500%, 02/16/2048 | 482,573 | 0.1 |
225,230 | (1),(2) | Ginnie Mae 2008-45 IO, 0.857%, 02/16/2048 | 595 | 0.0 |
63,480 | (2) | Ginnie Mae 2009-115 D, 4.824%, 01/16/2050 | 62,745 | 0.0 |
58,077 | (1),(2) | Ginnie Mae 2010-123 IA, 2.050%, 10/16/2052 | 45 | 0.0 |
8,307,116 | (1),(2) | Ginnie Mae 2011-47 IO, 0.139%, 01/16/2051 | 21,603 | 0.0 |
1,931,728 | (2) | Ginnie Mae 2018-114 Z, 3.100%, 04/16/2060 | 1,456,626 | 0.1 |
10,912,644 | | Ginnie Mae 2018-116 Z, 3.000%, 06/16/2058 | 8,883,185 | 0.7 |
1,948,023 | | Ginnie Mae 2018-169 Z, 3.000%, 04/16/2061 | 1,330,717 | 0.1 |
1,937,870 | | Ginnie Mae 2019-17 Z, 3.000%, 12/16/2060 | 1,340,264 | 0.1 |
2,565,833 | (2) | Ginnie Mae 2019-19 Z, 3.200%, 11/16/2060 | 2,061,408 | 0.2 |
3,351,723 | | Ginnie Mae 2019-53 Z, 3.000%, 06/16/2061 | 2,552,048 | 0.2 |
5,140,375 | | Ginnie Mae 2021-79, 1.750%, 08/16/2063 | 2,514,164 | 0.2 |
2,560,048 | | Ginnie Mae 2021-80 Z, 1.500%, 12/16/2062 | 1,297,840 | 0.1 |
2,333,712 | | Ginnie Mae 2021-90 B, 1.750%, 05/16/2061 | 1,251,781 | 0.1 |
| | | | |
| Total Commercial Mortgage-Backed Securities | | |
| (Cost $53,005,252) | 40,838,458 | 3.4 |
| | | |
ASSET-BACKED SECURITIES: 0.1% | |
| | Other Asset-Backed Securities: 0.1% |
1,189,045 | | Fannie Mae Grantor Trust 2001-T9 A1, 4.499%, (US0001M + 0.220%), 09/25/2031 | 1,175,199 | 0.1 |
96,360 | (2) | Fannie Mae Grantor Trust 2003-T4 2A6, 4.453%, 07/26/2033 | 93,878 | 0.0 |
11,936 | (2) | Fannie Mae REMIC Trust 2001-W4 AF6, 5.110%, 01/25/2032 | 11,910 | 0.0 |
9,840 | (2) | Fannie Mae REMIC Trust 2002-W12 AF6, 5.066%, 02/25/2033 | 9,263 | 0.0 |
The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the assets and liabilities:
At December 31, 2022, the following futures contracts were outstanding for Voya GNMA Income Fund:
At December 31, 2022, the aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments on a tax basis were: