PMC Core Fixed Income Fund | |||||||
Schedule of Investments | |||||||
November 30, 2022 (Unaudited) | |||||||
Principal | |||||||
Amount | Value | ||||||
ASSET BACKED SECURITIES - 9.29% | |||||||
37 Capital CLO I | |||||||
2021-1, 5.279% (3 Month LIBOR USD + 1.200%), 10/15/2034 (b)(c) | $ | 1,000,000 | $ | 966,890 | |||
AM Capital Funding LLC | |||||||
2018-1, 4.980%, 12/15/2023 (b) | 760,000 | 748,831 | |||||
Amur Equipment Finance Receivables XI LLC | |||||||
2022-2A, 5.300%, 06/21/2028 (b) | 255,000 | 252,478 | |||||
Angel Oak Mortgage Trust | |||||||
2021-3, 1.068%, 05/25/2066 (b)(d) | 680,938 | 532,362 | |||||
Aqua Finance Trust 2021-A | |||||||
2021-A, 1.540%, 07/17/2046 (b) | 532,949 | 485,641 | |||||
Avis Budget Rental Car Funding AESOP LLC | |||||||
2020-2A B, 2.960%, 02/20/2027 (b) | 567,000 | 508,389 | |||||
2021-2A A, 1.660%, 02/20/2028 (b) | 1,592,000 | 1,367,989 | |||||
2021-2A B, 1.900%, 02/20/2028 (b) | 495,000 | 417,954 | |||||
Beacon Container Finance II LLC | |||||||
2021-1A, 2.250%, 10/22/2046 (b) | 946,950 | 800,806 | |||||
BlueMountain CLO Ltd. | |||||||
2013-2R, 5.505% (3 Month LIBOR USD + 1.180%), 10/22/2030 (b)(c) | 362,743 | 356,844 | |||||
Cedar Funding VI CLO Ltd. | |||||||
2016-6A, 5.293% (3 Month LIBOR USD + 1.050%), 04/20/2034 (b)(c) | 1,480,000 | 1,427,547 | |||||
Crown Castle Towers LLC | |||||||
4.241%, 07/15/2048 (b) | 439,000 | 399,234 | |||||
Dryden 75 CLO Ltd. | |||||||
2019-75R2, 5.119% (3 Month LIBOR USD + 1.040%), 04/15/2034 (b)(c) | 850,000 | 819,609 | |||||
Fort Washington CLO Ltd. | |||||||
2021-2A, 5.463% (3 Month LIBOR USD + 1.220%), 10/20/2034 (b)(c) | 2,000,000 | 1,939,922 | |||||
GCAT Trust | |||||||
2019-NQM3, 2.686%, 11/25/2059 (b)(d) | 117,125 | 108,891 | |||||
2021-NQM5, 1.262%, 07/25/2066 (b)(d) | 897,554 | 696,347 | |||||
JPMorgan Chase Bank NA - CACLN | |||||||
2021-3, 0.760%, 02/26/2029 (b) | 1,078,712 | 1,013,310 | |||||
Madison Park Funding XXVI Ltd. | |||||||
2007-26, 5.615% (3 Month LIBOR USD + 1.200%), 07/29/2030 (b)(c) | 2,295,000 | 2,259,930 | |||||
Magnetite XXIII Ltd. | |||||||
2019-23R, 5.488% (3 Month LIBOR USD + 1.130%), 01/25/2035 (b)(c) | 1,000,000 | 969,548 | |||||
MetroNet Infrastructure Issuer LLC | |||||||
2022-1A, 6.350%, 10/20/2052 (b) | 693,000 | 661,994 | |||||
MVW 2021-1W LLC | |||||||
2021-1W, 1.440%, 01/22/2041 (b) | 347,678 | 315,322 | |||||
MVW 2021-2 LLC | |||||||
2021-2A A, 1.430%, 05/20/2039 (b) | 811,351 | 716,931 | |||||
2021-2A B, 1.830%, 05/20/2039 (b) | 661,972 | 593,972 | |||||
MVW 2022-1 LLC | |||||||
2022-1, 4.400%, 11/21/2039 (b) | 295,876 | 288,902 | |||||
Navient Private Education Refi Loan Trust | |||||||
2021-B, 0.940%, 07/15/2069 (b) | 953,477 | 804,777 | |||||
2021-C, 1.060%, 10/15/2069 (b) | 607,371 | 524,507 | |||||
2021-E, 0.970%, 12/16/2069 (b) | 1,440,737 | 1,190,242 | |||||
Navient Student Loan Trust | |||||||
2019-7, 4.544% (1 Month LIBOR USD + 0.500%), 01/25/2068 (b)(c) | 168,869 | 168,589 | |||||
PFS Financing Corp. | |||||||
2021-B, 0.770%, 08/15/2026 (b) | 1,890,000 | 1,733,031 | |||||
Prestige Auto Receivables Trust | |||||||
2021-1, 1.530%, 02/15/2028 (b) | 599,000 | 549,325 | |||||
RASC Trust | |||||||
2005-KS12, 4.734% (1 Month LIBOR USD + 0.460%), 01/25/2036 (c) | 78,994 | 78,429 | |||||
SBA Tower Trust | |||||||
2020-1-2, 2.328%, 01/15/2028 (b) | 618,000 | 517,004 | |||||
2021-3, 2.593%, 10/15/2031 (b) | 1,243,000 | 965,355 | |||||
Sierra Timeshare Receivables Funding LLC | |||||||
2019-2, 2.590%, 05/20/2036 (b) | 349,125 | 335,858 | |||||
2020-2, 3.510%, 07/20/2037 (b) | 405,796 | 382,355 | |||||
2021-2, 1.350%, 09/20/2038 (b) | 309,494 | 285,472 | |||||
Starwood Mortgage Residential Trust | |||||||
2021-3, 1.127%, 06/25/2056 (b)(d) | 573,889 | 461,001 | |||||
2021-6, 1.920%, 11/25/2066 (b)(d) | 909,197 | 734,059 | |||||
Taco Bell Funding LLC | |||||||
2021-1, 1.946%, 08/25/2051 (b) | 1,384,020 | 1,171,354 | |||||
Thayer Park CLO Ltd. | |||||||
2017-R, 5.283% (3 Month LIBOR USD + 1.040%), 04/20/2034 (b)(c) | 500,000 | 485,085 | |||||
Towd Point Mortgage Trust | |||||||
2017-5, 4.644% (1 Month LIBOR USD + 0.600%), 02/25/2057 (b)(c) | 181,118 | 178,276 | |||||
2017-2 A1, 2.750%, 04/25/2057 (b)(d) | 11,704 | 11,543 | |||||
2017-2 A2, 3.250%, 04/25/2057 (b)(d) | 351,000 | 336,963 | |||||
2017-4, 2.750%, 06/25/2057 (b)(d) | 105,715 | 100,346 | |||||
2017-3, 2.750%, 07/25/2057 (b)(d) | 119,056 | 115,988 | |||||
2022-4, 3.750%, 09/25/2062 (b) | 899,395 | 837,290 | |||||
TRESTLES CLO Ltd. | |||||||
2017-1, 5.348% (3 Month LIBOR USD + 0.990%), 04/25/2032 (b)(c) | 500,000 | 488,198 | |||||
TRESTLES CLO V Ltd. | |||||||
2021-5, 5.413% (3 Month LIBOR USD + 1.170%), 10/20/2034 (b)(c) | 1,000,000 | 970,294 | |||||
United Airlines Pass Through Trust | |||||||
2020-1, 5.875%, 10/15/2027 | 1,070,969 | 1,058,980 | |||||
Vantage Data Centers Issuer LLC | |||||||
2019-1, 3.188%, 07/15/2044 (b) | 1,273,230 | 1,199,734 | |||||
2021-1, 2.165%, 10/15/2046 (b) | 1,078,000 | 910,801 | |||||
Verus Securitization Trust | |||||||
2021-3, 1.046%, 06/25/2066 (b)(d) | 750,219 | 607,166 | |||||
2021-6, 1.630%, 10/25/2066 (b)(d) | 1,183,200 | 935,368 | |||||
Voya CLO Ltd. | |||||||
2014-2A, 5.099% (3 Month LIBOR USD + 1.020%), 04/17/2030 (b)(c) | 1,659,379 | 1,633,426 | |||||
TOTAL ASSET BACKED SECURITIES (Cost $42,317,918) | 38,420,459 | ||||||
CORPORATE BONDS - 37.19% | |||||||
Accommodation - 0.07% | |||||||
Wyndham Hotels & Resorts, Inc. | |||||||
4.375%, 08/15/2028 (b) | 165,000 | 147,706 | |||||
Wynn Las Vegas LLC | |||||||
5.500%, 03/01/2025 (b) | 125,000 | 120,429 | |||||
268,135 | |||||||
Administrative and Support Services - 1.03% | |||||||
ASGN, Inc. | |||||||
4.625%, 05/15/2028 (b) | 350,000 | 312,954 | |||||
Booking Holdings, Inc. | |||||||
3.550%, 03/15/2028 | 1,097,000 | 1,028,580 | |||||
Korn Ferry | |||||||
4.625%, 12/15/2027 (b) | 100,000 | 91,584 | |||||
Live Nation Entertainment, Inc. | |||||||
4.750%, 10/15/2027 (b) | 145,000 | 129,190 | |||||
PayPal Holdings, Inc. | |||||||
2.400%, 10/01/2024 | 1,110,000 | 1,063,401 | |||||
Visa, Inc. | |||||||
2.800%, 12/14/2022 | 1,639,000 | 1,638,231 | |||||
4,263,940 | |||||||
Air Transportation - 0.24% | |||||||
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd. | |||||||
6.500%, 06/20/2027 (b) | 190,000 | 189,286 | |||||
Southwest Airlines Co. | |||||||
5.250%, 05/04/2025 | 800,000 | 804,111 | |||||
993,397 | |||||||
Ambulatory Health Care Services - 0.04% | |||||||
Acadia Healthcare Co, Inc. | |||||||
5.000%, 04/15/2029 (b) | 195,000 | 180,207 | |||||
Beverage and Tobacco Product Manufacturing - 1.77% | |||||||
Anheuser-Busch InBev Worldwide, Inc. | |||||||
4.700%, 02/01/2036 | 1,435,000 | 1,365,600 | |||||
4.350%, 06/01/2040 | 1,006,000 | 906,119 | |||||
4.600%, 04/15/2048 | 720,000 | 651,204 | |||||
4.750%, 04/15/2058 | 510,000 | 464,597 | |||||
5.800%, 01/23/2059 | 400,000 | 419,551 | |||||
Philip Morris International, Inc. | |||||||
3.125%, 08/17/2027 (f) | 2,654,000 | 2,452,043 | |||||
5.750%, 11/17/2032 | 1,045,000 | 1,063,920 | |||||
7,323,034 | |||||||
Broadcasting (except Internet) - 1.85% | |||||||
CCO Holdings LLC / CCO Holdings Capital Corp. | |||||||
4.250%, 02/01/2031 (b) | 298,000 | 242,393 | |||||
Charter Communications Operating LLC / Charter Communications Operating Capital | |||||||
5.250%, 04/01/2053 | 665,000 | 532,367 | |||||
Comcast Corp. | |||||||
3.150%, 02/15/2028 | 405,000 | 376,277 | |||||
4.150%, 10/15/2028 | 1,708,000 | 1,655,647 | |||||
CSC Holdings LLC | |||||||
4.625%, 12/01/2030 (b)(f) | 435,000 | 276,552 | |||||
3.375%, 02/15/2031 (b) | 264,000 | 191,928 | |||||
Discovery Communications LLC | |||||||
2.950%, 03/20/2023 (f) | 566,000 | 562,269 | |||||
DISH DBS Corp. | |||||||
5.875%, 11/15/2024 | 110,000 | 103,410 | |||||
Fox Corp. | |||||||
5.576%, 01/25/2049 | 770,000 | 686,402 | |||||
Magallanes, Inc. | |||||||
5.050%, 03/15/2042 (b) | 1,545,000 | 1,223,868 | |||||
5.141%, 03/15/2052 (b) | 845,000 | 646,057 | |||||
Paramount Global | |||||||
4.200%, 05/19/2032 (f) | 970,000 | 802,891 | |||||
Sirius XM Radio, Inc. | |||||||
4.125%, 07/01/2030 (b) | 415,000 | 348,571 | |||||
7,648,632 | |||||||
Building Material and Garden Equipment and Supplies Dealers - 0.62% | |||||||
Home Depot, Inc. | |||||||
2.700%, 04/01/2023 (f) | 1,202,000 | 1,194,254 | |||||
4.500%, 09/15/2032 (f) | 655,000 | 648,479 | |||||
4.950%, 09/15/2052 (f) | 715,000 | 701,626 | |||||
2,544,359 | |||||||
Chemical Manufacturing - 1.50% | |||||||
AbbVie, Inc. | |||||||
4.050%, 11/21/2039 | 270,000 | 233,748 | |||||
4.700%, 05/14/2045 | 710,000 | 648,705 | |||||
4.250%, 11/21/2049 | 485,000 | 412,595 | |||||
Biogen, Inc. | |||||||
2.250%, 05/01/2030 | 2,894,000 | 2,383,000 | |||||
Bristol-Myers Squibb Co. | |||||||
2.950%, 03/15/2032 | 785,000 | 691,277 | |||||
3.550%, 03/15/2042 | 300,000 | 249,111 | |||||
Merck & Co, Inc. | |||||||
2.750%, 12/10/2051 (f) | 615,000 | 424,490 | |||||
Roche Holdings, Inc. | |||||||
2.607%, 12/13/2051 (b)(f) | 615,000 | 409,570 | |||||
Viatris, Inc. | |||||||
4.000%, 06/22/2050 | 1,140,000 | 738,570 | |||||
6,191,066 | |||||||
Computer and Electronic Product Manufacturing - 2.55% | |||||||
Apple, Inc. | |||||||
1.800%, 09/11/2024 | 2,818,000 | 2,693,530 | |||||
Broadcom, Inc. | |||||||
4.926%, 05/15/2037 (b) | 705,000 | 615,454 | |||||
Dell International LLC / EMC Corp. | |||||||
5.450%, 06/15/2023 | 289,000 | 289,151 | |||||
6.200%, 07/15/2030 | 1,140,000 | 1,171,772 | |||||
ILLUMINA, Inc. | |||||||
5.750%, 12/13/2027 | 670,000 | 674,036 | |||||
Intel Corp. | |||||||
3.750%, 03/25/2027 | 1,144,000 | 1,112,546 | |||||
Marvell Technology, Inc. | |||||||
2.950%, 04/15/2031 | 2,035,000 | 1,658,936 | |||||
Microchip Technology, Inc. | |||||||
4.333%, 06/01/2023 | 690,000 | 687,145 | |||||
QUALCOMM, Inc. | |||||||
6.000%, 05/20/2053 | 1,515,000 | 1,639,538 | |||||
10,542,108 | |||||||
Construction of Buildings - 0.03% | |||||||
Shea Homes LP / Shea Homes Funding Corp. | |||||||
4.750%, 02/15/2028 | 150,000 | 129,259 | |||||
Credit Intermediation and Related Activities - 5.75% | |||||||
Bank of America Corp. | |||||||
3.875%, 08/01/2025 (f) | 1,591,000 | 1,568,328 | |||||
3.559% to 04/23/2026, then 3 Month LIBOR USD + 1.060%, 04/23/2027 (a)(f) | 1,610,000 | 1,517,884 | |||||
3.705% to 04/24/2027, then 3 Month LIBOR USD + 1.512%, 04/24/2028 (a) | 660,000 | 614,094 | |||||
3.970% to 03/05/2028, then 3 Month LIBOR USD + 1.070%, 03/05/2029 (a) | 630,000 | 584,711 | |||||
2.884% to 10/22/2029, then 3 Month LIBOR USD + 1.190%, 10/22/2030 (a) | 743,000 | 631,074 | |||||
2.496% to 02/13/2030, then 3 Month LIBOR USD + 0.990%, 02/13/2031 (a) | 785,000 | 643,922 | |||||
4.571% to 04/27/2032, then SOFR + 1.830%, 04/27/2033 (a) | 725,000 | 673,827 | |||||
Citigroup, Inc. | |||||||
3.200%, 10/21/2026 | 1,115,000 | 1,040,919 | |||||
4.300%, 11/20/2026 | 890,000 | 867,547 | |||||
1.122% to 01/28/2026, then SOFR + 0.765%, 01/28/2027 (a) | 1,610,000 | 1,403,627 | |||||
3.887% to 01/10/2027, then 3 Month LIBOR USD + 1.563%, 01/10/2028 (a) | 835,000 | 784,337 | |||||
3.520% to 10/27/2027, then 3 Month LIBOR USD + 1.151%, 10/27/2028 (a) | 455,000 | 415,960 | |||||
2.976% to 11/05/2029, then SOFR + 1.422%, 11/05/2030 (a) | 495,000 | 421,432 | |||||
Ford Motor Credit Co. LLC | |||||||
5.113%, 05/03/2029 (f) | 310,000 | 285,065 | |||||
General Motors Financial Co., Inc. | |||||||
5.100%, 01/17/2024 | 370,000 | 368,786 | |||||
3.600%, 06/21/2030 | 700,000 | 598,777 | |||||
GSK Consumer Healthcare Capital US LLC | |||||||
3.375%, 03/24/2029 | 920,000 | 835,213 | |||||
3.625%, 03/24/2032 | 1,040,000 | 911,889 | |||||
JPMorgan Chase & Co. | |||||||
2.700%, 05/18/2023 | 480,000 | 475,781 | |||||
2.950%, 10/01/2026 | 1,658,000 | 1,562,848 | |||||
2.580% to 04/22/2031, then SOFR + 1.250%, 04/22/2032 (a) | 1,535,000 | 1,241,411 | |||||
OneMain Finance Corp. | |||||||
3.500%, 01/15/2027 (f) | 255,000 | 209,147 | |||||
Synchrony Financial | |||||||
2.875%, 10/28/2031 | 920,000 | 689,378 | |||||
Wells Fargo & Co. | |||||||
2.406% to 10/30/2024, then SOFR + 1.087%, 10/30/2025 (a) | 900,000 | 848,095 | |||||
2.393% to 06/02/2027, then SOFR + 2.100%, 06/02/2028 (a) | 1,020,000 | 901,350 | |||||
4.150%, 01/24/2029 | 1,563,000 | 1,471,667 | |||||
2.572% to 02/11/2030, then SOFR + 1.262%, 02/11/2031 (a) | 1,045,000 | 872,879 | |||||
4.897% to 07/25/2032, then SOFR + 2.100%, 07/25/2033 (a) | 1,025,000 | 984,362 | |||||
5.013% to 04/04/2050, then SOFR + 4.502%, 04/04/2051 (a) | 365,000 | 341,380 | |||||
23,765,690 | |||||||
Electrical Equipment, Appliance, and Component Manufacturing - 0.05% | |||||||
Energizer Holdings, Inc. | |||||||
4.375%, 03/31/2029 (b) | 250,000 | 213,059 | |||||
Electronics and Appliance Stores - 0.02% | |||||||
AMC Networks, Inc. | |||||||
4.250%, 02/15/2029 (f) | 100,000 | 73,994 | |||||
Food Manufacturing - 0.03% | |||||||
Post Holdings, Inc. | |||||||
4.625%, 04/15/2030 (b) | 150,000 | 129,893 | |||||
Food Services and Drinking Places - 0.54% | |||||||
Aramark Services, Inc. | |||||||
5.000%, 02/01/2028 (b) | 235,000 | 219,858 | |||||
McDonald's Corp. | |||||||
3.500%, 07/01/2027 (f) | 1,622,000 | 1,548,416 | |||||
Starbucks Corp. | |||||||
2.550%, 11/15/2030 | 530,000 | 452,031 | |||||
2,220,305 | |||||||
General Merchandise Stores - 0.28% | |||||||
Walmart, Inc. | |||||||
2.350%, 12/15/2022 | 1,142,000 | 1,141,337 | |||||
Health and Personal Care Stores - 0.11% | |||||||
CVS Health Corp. | |||||||
4.125%, 04/01/2040 | 560,000 | 471,985 | |||||
Hospitals - 0.24% | |||||||
HCA, Inc. | |||||||
5.250%, 06/15/2049 | 870,000 | 758,023 | |||||
Tenet Healthcare Corp. | |||||||
6.125%, 10/01/2028 (b)(f) | 265,000 | 233,942 | |||||
991,965 | |||||||
Insurance Carriers and Related Activities - 1.43% | |||||||
Berkshire Hathaway, Inc. | |||||||
2.750%, 03/15/2023 | 2,543,000 | 2,531,423 | |||||
Cigna Corp. | |||||||
3.200%, 03/15/2040 | 690,000 | 529,185 | |||||
Equitable Holdings, Inc. | |||||||
5.000%, 04/20/2048 | 545,000 | 472,206 | |||||
MetLife, Inc. | |||||||
6.500%, 12/15/2032 | 2,137,000 | 2,357,654 | |||||
5,890,468 | |||||||
Machinery Manufacturing - 0.25% | |||||||
Deere & Co. | |||||||
5.375%, 10/16/2029 | 983,000 | 1,030,159 | |||||
Management of Companies and Enterprises - 0.31% | |||||||
Abbott Laboratories | |||||||
3.400%, 11/30/2023 | 1,128,000 | 1,111,782 | |||||
Park Intermediate Holdings LLC / PK Domestic Property LLC | |||||||
5.875%, 10/01/2028 (b) | 195,000 | 180,843 | |||||
1,292,625 | |||||||
Merchant Wholesalers, Durable Goods - 0.51% | |||||||
CDW LLC / CDW Finance Corp. | |||||||
2.670%, 12/01/2026 | 328,000 | 291,324 | |||||
3.276%, 12/01/2028 | 1,915,000 | 1,613,043 | |||||
3.569%, 12/01/2031 | 265,000 | 216,539 | |||||
2,120,906 | |||||||
Merchant Wholesalers, Nondurable Goods - 0.43% | |||||||
Energy Transfer LP | |||||||
3.600%, 02/01/2023 | 600,000 | 598,131 | |||||
Performance Food Group, Inc. | |||||||
5.500%, 10/15/2027 (b) | 90,000 | 87,178 | |||||
Sysco Corp. | |||||||
6.600%, 04/01/2050 | 764,000 | 847,164 | |||||
Univar Solutions USA, Inc. | |||||||
5.125%, 12/01/2027 (b) | 250,000 | 239,551 | |||||
1,772,024 | |||||||
Nonstore Retailers - 0.72% | |||||||
Amazon.com, Inc. | |||||||
3.800%, 12/05/2024 | 1,637,000 | 1,611,690 | |||||
eBay, Inc. | |||||||
2.600%, 05/10/2031 (f) | 1,680,000 | 1,371,966 | |||||
2,983,656 | |||||||
Oil and Gas Extraction - 0.92% | |||||||
CQP Holdco LP / BIP-V Chinook Holdco LLC | |||||||
5.500%, 06/15/2031 (b) | 315,000 | 284,645 | |||||
Dominion Energy, Inc. | |||||||
4.350%, 08/15/2032 (f) | 1,415,000 | 1,327,237 | |||||
Occidental Petroleum Corp. | |||||||
4.300%, 08/15/2039 | 260,000 | 211,042 | |||||
Phillips 66 | |||||||
1.300%, 02/15/2026 | 1,290,000 | 1,157,524 | |||||
Pioneer Natural Resources Co. | |||||||
2.150%, 01/15/2031 | 997,000 | 803,918 | |||||
3,784,366 | |||||||
Other Information Services - 0.16% | |||||||
Meta Platforms, Inc. | |||||||
4.450%, 08/15/2052 (b) | 815,000 | 664,421 | |||||
Petroleum and Coal Products Manufacturing - 0.19% | |||||||
Marathon Petroleum Corp. | |||||||
4.700%, 05/01/2025 | 775,000 | 768,282 | |||||
Pipeline Transportation - 0.89% | |||||||
Antero Midstream Partners LP / Antero Midstream Finance Corp. | |||||||
5.375%, 06/15/2029 (b) | 225,000 | 207,823 | |||||
Buckeye Partners LP | |||||||
3.950%, 12/01/2026 | 75,000 | 66,308 | |||||
DT Midstream, Inc. | |||||||
4.125%, 06/15/2029 (b) | 125,000 | 110,283 | |||||
Energy Transfer LP | |||||||
6.625% to 02/15/2028, then 3 Month LIBOR USD + 4.155% (a)(h) | 785,000 | 574,031 | |||||
7.125% to 05/15/2030, then 5 Year CMT Rate + 5.306% (a)(h) | 1,055,000 | 888,837 | |||||
EQM Midstream Partners LP | |||||||
5.500%, 07/15/2028 | 350,000 | 324,730 | |||||
MPLX LP | |||||||
4.700%, 04/15/2048 | 815,000 | 656,110 | |||||
Plains All American Pipeline LP / PAA Finance Corp. | |||||||
4.650%, 10/15/2025 | 780,000 | 767,815 | |||||
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp. | |||||||
6.000%, 09/01/2031 (b) | 110,000 | 98,236 | |||||
3,694,173 | |||||||
Plastics and Rubber Products Manufacturing - 0.03% | |||||||
Goodyear Tire & Rubber Co. | |||||||
5.250%, 04/30/2031 | 125,000 | 107,096 | |||||
Professional, Scientific, and Technical Services - 0.38% | |||||||
Presidio Holdings, Inc. | |||||||
4.875%, 02/01/2027 (b) | 120,000 | 112,176 | |||||
ServiceNow, Inc. | |||||||
1.400%, 09/01/2030 | 1,894,000 | 1,461,674 | |||||
1,573,850 | |||||||
Publishing Industries (except Internet) - 1.33% | |||||||
Microsoft Corp. | |||||||
3.125%, 11/03/2025 | 2,676,000 | 2,600,787 | |||||
Oracle Corp. | |||||||
2.875%, 03/25/2031 | 1,045,000 | 872,979 | |||||
4.000%, 07/15/2046 | 615,000 | 452,441 | |||||
6.900%, 11/09/2052 | 1,240,000 | 1,363,471 | |||||
Ziff Davis, Inc. | |||||||
4.625%, 10/15/2030 (b) | 255,000 | 221,759 | |||||
5,511,437 | |||||||
Real Estate - 0.63% | |||||||
Public Storage | |||||||
2.300%, 05/01/2031 | 2,787,000 | 2,301,026 | |||||
RHP Hotel Properties LP / RHP Finance Corp. | |||||||
4.750%, 10/15/2027 | 140,000 | 128,058 | |||||
Uniti Group LP / Uniti Fiber Holdings Inc / CSL Capital LLC | |||||||
7.875%, 02/15/2025 (b) | 190,000 | 191,112 | |||||
2,620,196 | |||||||
Rental and Leasing Services - 0.17% | |||||||
Air Lease Corp. | |||||||
2.300%, 02/01/2025 | 655,000 | 609,621 | |||||
Harsco Corp. | |||||||
5.750%, 07/31/2027 (b) | 110,000 | 89,009 | |||||
698,630 | |||||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 4.28% | |||||||
BAT Capital Corp. | |||||||
3.222%, 08/15/2024 | 222,000 | 213,884 | |||||
3.557%, 08/15/2027 | 220,000 | 200,526 | |||||
3.734%, 09/25/2040 | 665,000 | 462,474 | |||||
Charles Schwab Corp. | |||||||
2.300%, 05/13/2031 | 1,725,000 | 1,422,215 | |||||
CME Group, Inc. | |||||||
3.000%, 03/15/2025 | 1,085,000 | 1,049,605 | |||||
CommScope, Inc. | |||||||
8.250%, 03/01/2027 (b)(f) | 377,000 | 324,220 | |||||
Goldman Sachs Group, Inc. | |||||||
3.850%, 01/26/2027 | 1,375,000 | 1,320,179 | |||||
3.800%, 03/15/2030 | 1,450,000 | 1,313,852 | |||||
2.615% to 04/22/2031, then SOFR + 1.281%, 04/22/2032 (a) | 1,040,000 | 839,357 | |||||
2.383% to 07/21/2031, then SOFR + 1.248%, 07/21/2032 (a) | 1,315,000 | 1,035,999 | |||||
4.017% to 10/31/2037, then 3 Month LIBOR USD + 1.373%, 10/31/2038 (a) | 250,000 | 209,981 | |||||
Morgan Stanley | |||||||
0.791% to 01/22/2024, then SOFR + 0.509%, 01/22/2025 (a)(f) | 1,300,000 | 1,222,568 | |||||
6.250%, 08/09/2026 | 2,436,000 | 2,552,068 | |||||
3.950%, 04/23/2027 | 935,000 | 899,310 | |||||
3.591% to 07/22/2027, then 3 Month LIBOR USD + 1.340%, 07/22/2028 (a) | 1,625,000 | 1,497,826 | |||||
2.699% to 01/22/2030, then SOFR + 1.143%, 01/22/2031 (a) | 1,190,000 | 995,549 | |||||
2.239% to 07/21/2031, then SOFR + 1.178%, 07/21/2032 (a) | 1,670,000 | 1,298,932 | |||||
5.297% to 04/20/2032, then SOFR + 2.620%, 04/20/2037 (a) | 480,000 | 445,825 | |||||
MPH Acquisition Holdings LLC | |||||||
5.500%, 09/01/2028 (b)(f) | 205,000 | 163,976 | |||||
Prime Security Services Borrower LLC / Prime Finance, Inc. | |||||||
5.750%, 04/15/2026 (b) | 230,000 | 225,788 | |||||
17,694,134 | |||||||
Support Activities for Mining - 0.82% | |||||||
ConocoPhillips Co. | |||||||
3.800%, 03/15/2052 | 475,000 | 382,878 | |||||
Diamondback Energy, Inc. | |||||||
3.125%, 03/24/2031 | 1,310,000 | 1,099,541 | |||||
6.250%, 03/15/2033 | 1,275,000 | 1,315,306 | |||||
Hess Corp. | |||||||
5.600%, 02/15/2041 | 470,000 | 451,672 | |||||
Hilcorp Energy I LP / Hilcorp Finance Co. | |||||||
6.250%, 11/01/2028 (b) | 160,000 | 152,550 | |||||
3,401,947 | |||||||
Telecommunications - 2.62% | |||||||
AT&T, Inc. | |||||||
2.550%, 12/01/2033 | 1,100,000 | 860,096 | |||||
3.650%, 06/01/2051 | 845,000 | 614,922 | |||||
3.500%, 09/15/2053 | 265,000 | 185,473 | |||||
3.550%, 09/15/2055 | 184,000 | 127,273 | |||||
3.650%, 09/15/2059 | 1,018,000 | 698,766 | |||||
Frontier Communications Holdings LLC | |||||||
5.875%, 10/15/2027 (b) | 235,000 | 222,075 | |||||
Lumen Technologies, Inc. | |||||||
4.500%, 01/15/2029 (b) | 210,000 | 142,070 | |||||
T-Mobile USA, Inc. | |||||||
2.875%, 02/15/2031 | 125,000 | 104,608 | |||||
5.200%, 01/15/2033 (f) | 650,000 | 650,286 | |||||
4.375%, 04/15/2040 | 550,000 | 475,922 | |||||
3.000%, 02/15/2041 | 1,186,000 | 853,151 | |||||
4.500%, 04/15/2050 | 645,000 | 542,220 | |||||
3.300%, 02/15/2051 | 350,000 | 241,730 | |||||
Verizon Communications, Inc. | |||||||
4.329%, 09/21/2028 | 2,494,000 | 2,422,306 | |||||
4.016%, 12/03/2029 | 400,000 | 376,708 | |||||
2.355%, 03/15/2032 | 2,360,000 | 1,896,079 | |||||
2.987%, 10/30/2056 | 660,000 | 415,620 | |||||
10,829,305 | |||||||
Transportation Equipment Manufacturing - 2.11% | |||||||
Boeing Co. | |||||||
4.875%, 05/01/2025 (f) | 1,371,000 | 1,357,552 | |||||
3.900%, 05/01/2049 | 185,000 | 130,651 | |||||
5.805%, 05/01/2050 | 2,125,000 | 1,995,188 | |||||
Ford Motor Co. | |||||||
4.750%, 01/15/2043 | 90,000 | 66,698 | |||||
General Motors Co. | |||||||
6.125%, 10/01/2025 | 1,448,000 | 1,466,502 | |||||
Lockheed Martin Corp. | |||||||
5.250%, 01/15/2033 | 375,000 | 388,996 | |||||
5.900%, 11/15/2063 | 490,000 | 535,555 | |||||
Raytheon Technologies Corp. | |||||||
7.500%, 09/15/2029 | 2,213,000 | 2,516,177 | |||||
TransDigm, Inc. | |||||||
6.250%, 03/15/2026 (b)(f) | 275,000 | 271,245 | |||||
8,728,564 | |||||||
Utilities - 2.19% | |||||||
American Electric Power Co, Inc. | |||||||
5.950%, 11/01/2032 (f) | 940,000 | 983,707 | |||||
Calpine Corp. | |||||||
4.500%, 02/15/2028 (b) | 310,000 | 283,572 | |||||
DTE Energy Co. | |||||||
3.400%, 06/15/2029 | 607,000 | 541,528 | |||||
Exelon Corp. | |||||||
4.700%, 04/15/2050 | 475,000 | 417,613 | |||||
Kinder Morgan Energy Partners LP | |||||||
4.150%, 02/01/2024 | 755,000 | 745,086 | |||||
Kinder Morgan, Inc. | |||||||
5.550%, 06/01/2045 | 1,745,000 | 1,622,502 | |||||
New Fortress Energy, Inc. | |||||||
6.500%, 09/30/2026 (b) | 95,000 | 91,941 | |||||
Pacific Gas and Electric Co. | |||||||
2.500%, 02/01/2031 | 1,405,000 | 1,098,979 | |||||
Southern Co. | |||||||
2.950%, 07/01/2023 (f) | 313,000 | 309,559 | |||||
Vistra Operations Co. LLC | |||||||
4.375%, 05/01/2029 (b) | 265,000 | 233,333 | |||||
WEC Energy Group, Inc. | |||||||
5.150%, 10/01/2027 | 1,795,000 | 1,818,592 | |||||
Wisconsin Electric Power Co. | |||||||
4.750%, 09/30/2032 | 905,000 | 893,937 | |||||
9,040,349 | |||||||
Warehousing and Storage - 0.09% | |||||||
Iron Mountain, Inc. | |||||||
5.250%, 03/15/2028 (b) | 45,000 | 42,132 | |||||
4.875%, 09/15/2029 (b)(f) | 240,000 | 211,492 | |||||
5.250%, 07/15/2030 (b) | 150,000 | 135,190 | |||||
388,814 | |||||||
Wood Product Manufacturing - 0.01% | |||||||
Standard Industries, Inc. | |||||||
4.750%, 01/15/2028 (b)(f) | 65,000 | 59,007 | |||||
TOTAL CORPORATE BONDS (Cost $174,053,416) | 153,746,774 | ||||||
FOREIGN CORPORATE BONDS - 8.22% | |||||||
Air Transportation - 0.82% | |||||||
Delta Air Lines, Inc. / SkyMiles IP Ltd. | |||||||
4.500%, 10/20/2025 (b) | 3,500,000 | 3,409,385 | |||||
Chemical Manufacturing - 0.04% | |||||||
NOVA Chemicals Corp. | |||||||
4.875%, 06/01/2024 (b) | 120,000 | 116,924 | |||||
5.250%, 06/01/2027 (b) | 75,000 | 67,412 | |||||
184,336 | |||||||
Computer and Electronic Product Manufacturing - 0.39% | |||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | |||||||
4.450%, 10/01/2025 | 800,000 | 767,592 | |||||
NXP BV / NXP Funding LLC / NXP USA, Inc. | |||||||
5.000%, 01/15/2033 | 905,000 | 856,218 | |||||
1,623,810 | |||||||
Credit Intermediation and Related Activities - 4.76% | |||||||
ABN AMRO Bank NV | |||||||
3.324% to 03/13/2032, then 5 Year CMT Rate + 1.900%, 03/13/2037 (a)(b) | 600,000 | 433,570 | |||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | |||||||
3.300%, 01/30/2032 | 880,000 | 698,526 | |||||
Banco Santander SA | |||||||
1.849%, 03/25/2026 | 1,600,000 | 1,409,206 | |||||
5.294%, 08/18/2027 | 1,400,000 | 1,359,616 | |||||
3.490%, 05/28/2030 | 400,000 | 335,735 | |||||
Barclays PLC | |||||||
2.852% to 05/07/2025, then SOFR + 2.714%, 05/07/2026 (a) | 2,145,000 | 1,977,071 | |||||
3.564% to 09/23/2030, then 5 Year CMT Rate + 2.900%, 09/23/2035 (a) | 1,000,000 | 757,956 | |||||
BAT International Finance PLC | |||||||
1.668%, 03/25/2026 | 1,590,000 | 1,408,466 | |||||
BNP Paribas SA | |||||||
2.219% to 06/09/2025, then SOFR + 2.074%, 06/09/2026 (a)(b) | 1,015,000 | 931,688 | |||||
3.052% to 01/13/2030, then SOFR + 1.507%, 01/13/2031 (a)(b) | 615,000 | 509,100 | |||||
Credit Suisse Group AG | |||||||
3.800%, 06/09/2023 | 860,000 | 821,314 | |||||
2.997% to 12/14/2022, then 3 Month LIBOR USD + 1.200%, 12/14/2023 (a)(b) | 1,145,000 | 1,133,563 | |||||
6.537% to 08/12/2032, then SOFR + 3.920%, 08/12/2033 (a)(b)(f) | 950,000 | 830,619 | |||||
9.016% to 11/15/2032, then SOFR + 5.020%, 11/15/2033 (a)(b) | 770,000 | 777,607 | |||||
HSBC Holdings PLC | |||||||
2.633% to 11/07/2024, then SOFR + 1.402%, 11/07/2025 (a) | 1,417,000 | 1,317,286 | |||||
2.099% to 06/04/2025, then SOFR + 1.929%, 06/04/2026 (a) | 200,000 | 181,223 | |||||
4.950%, 03/31/2030 | 285,000 | 272,688 | |||||
6.000% to 05/22/2027, then 5 Year Mid Swap Rate USD + 3.746% (a)(h) | 910,000 | 807,807 | |||||
Intesa Sanpaolo SpA | |||||||
4.198% to 06/01/2031, then 1 Year CMT Rate + 2.600%, 06/01/2032 (a)(b) | 770,000 | 566,713 | |||||
8.248% to 11/21/2032, then 1 Year CMT Rate + 4.400%, 11/21/2033 (a)(b) | 710,000 | 725,023 | |||||
Virgin Media Vendor Financing Notes IV DAC | |||||||
5.000%, 07/15/2028 (b) | 350,000 | 300,494 | |||||
UBS Group AG | |||||||
4.751% to 05/12/2027, then 1 Year CMT Rate + 1.750%, 05/12/2028 (a)(b) | 1,170,000 | 1,123,156 | |||||
Westpac Banking Corp. | |||||||
2.668% to 11/15/2030, then 5 Year CMT Rate + 1.750%, 11/15/2035 (a) | 1,370,000 | 1,006,885 | |||||
19,685,312 | |||||||
Food Manufacturing - 0.15% | |||||||
Grupo Bimbo SAB de CV | |||||||
4.700%, 11/10/2047 (b) | 730,000 | 631,317 | |||||
Management of Companies and Enterprises - 1.44% | |||||||
Altice France SA | |||||||
5.500%, 01/15/2028 (b) | 405,000 | 338,106 | |||||
Carnival Corp. | |||||||
10.500%, 02/01/2026 (b) | 95,000 | 96,287 | |||||
7.625%, 03/01/2026 (b)(f) | 340,000 | 287,115 | |||||
Credit Suisse Group AG | |||||||
3.869% to 01/12/2028, then 3 Month LIBOR USD + 1.410%, 01/12/2029 (a)(b) | 250,000 | 199,428 | |||||
4.194% to 04/01/2030, then SOFR + 3.730%, 04/01/2031 (a)(b) | 560,000 | 423,248 | |||||
3.091% to 05/14/2031, then SOFR + 1.730%, 05/14/2032 (a)(b) | 830,000 | 564,331 | |||||
Lloyds Banking Group PLC | |||||||
1.627% to 05/11/2026, then 1 Year CMT Rate + 0.850%, 05/11/2027 (a) | 1,610,000 | 1,385,846 | |||||
7.953% to 11/15/2032, then 1 Year CMT Rate + 3.750%, 11/15/2033 (a) | 430,000 | 451,799 | |||||
3.369% to 12/14/2041, then 5 Year CMT Rate + 1.500%, 12/14/2046 (a) | 920,000 | 596,700 | |||||
Natwest Group PLC | |||||||
3.032% to 11/28/2030, t hen 5 Year CMT Rate + 2.350%, 11/28/2035 (a)(f) | 2,170,000 | 1,590,760 | |||||
5,933,620 | |||||||
Mining (except Oil and Gas) - 0.03% | |||||||
Hudbay Minerals, Inc. | |||||||
6.125%, 04/01/2029 (b) | 125,000 | 112,060 | |||||
Oil and Gas Extraction - 0.21% | |||||||
Canadian Natural Resources Ltd. | |||||||
6.250%, 03/15/2038 | 850,000 | 865,387 | |||||
Securities, Commodity Contracts, and Other Financial Investments and Related Activities - 0.18% | |||||||
Societe Generale SA | |||||||
3.337% to 01/21/2032, then 1 Year CMT Rate + 1.600%, 01/21/2033 (a)(b) | 975,000 | 761,630 | |||||
Support Activities for Transportation - 0.06% | |||||||
American Airlines Inc/AAdvantage Loyalty IP Ltd. | |||||||
5.500%, 04/20/2026 (b) | 235,000 | 227,803 | |||||
Telecommunications - 0.10% | |||||||
Vodafone Group PLC | |||||||
4.875%, 06/19/2049 | 500,000 | 424,661 | |||||
Water Transportation - 0.04% | |||||||
Royal Caribbean Cruises Ltd. | |||||||
5.500%, 04/01/2028 (b) | 205,000 | 167,569 | |||||
TOTAL FOREIGN CORPORATE BONDS (Cost $38,968,957) | 34,026,890 | ||||||
FOREIGN GOVERNMENT AGENCY ISSUES - 1.31% | |||||||
Asian Development Bank | |||||||
3.125%, 04/27/2032 | 960,000 | 895,709 | |||||
Development Bank of Japan, Inc. | |||||||
1.000%, 08/27/2030 (b) | 260,000 | 201,613 | |||||
European Investment Bank | |||||||
3.250%, 11/15/2027 | 235,000 | 227,417 | |||||
International Bank for Reconstruction & Development | |||||||
3.125%, 06/15/2027 | 640,000 | 617,276 | |||||
3.625%, 09/21/2029 | 640,000 | 627,595 | |||||
International Finance Corp. | |||||||
3.625%, 09/15/2025 | 660,000 | 649,199 | |||||
Japan International Cooperation Agency | |||||||
3.250%, 05/25/2027 | 790,000 | 749,056 | |||||
Kreditanstalt fuer Wiederaufbau | |||||||
3.000%, 05/20/2027 | 740,000 | 710,844 | |||||
Province of Ontario Canada | |||||||
2.125%, 01/21/2032 | 865,000 | 726,047 | |||||
TOTAL FOREIGN GOVERNMENT AGENCY ISSUES (Cost $5,778,044) | 5,404,756 | ||||||
FOREIGN GOVERNMENT NOTES/BONDS - 1.03% | |||||||
Colombia Government International Bond | |||||||
4.000%, 02/26/2024 | 590,000 | 573,746 | |||||
3.000%, 01/30/2030 | 570,000 | 426,966 | |||||
Dominican Republic International Bond | |||||||
6.875%, 01/29/2026 (b) | 330,000 | 334,234 | |||||
6.850%, 01/27/2045 (b) | 560,000 | 487,900 | |||||
Hungary Government International Bond | |||||||
7.625%, 03/29/2041 | 360,000 | 393,199 | |||||
Indonesia Government International Bond | |||||||
4.350%, 01/08/2027 (b) | 550,000 | 544,480 | |||||
Mexico Government International Bond | |||||||
4.350%, 01/15/2047 | 740,000 | 582,200 | |||||
Republic of South Africa Government International Bond | |||||||
5.000%, 10/12/2046 | 150,000 | 108,556 | |||||
Romanian Government International Bond | |||||||
6.125%, 01/22/2044 (b) | 505,000 | 462,712 | |||||
Saudi Government International Bond | |||||||
4.500%, 10/26/2046 (b) | 400,000 | 352,527 | |||||
TOTAL FOREIGN GOVERNMENT NOTES/BONDS (Cost $5,075,815) | 4,266,520 | ||||||
NON-AGENCY MORTGAGE BACKED SECURITIES - 4.83% | |||||||
Angel Oak Mortgage Trust | |||||||
2019-6, 2.620%, 11/25/2059 (b)(d) | 83,452 | 79,159 | |||||
Bank | |||||||
2021-BNK31, 1.739%, 02/15/2054 | 454,000 | 383,439 | |||||
2022-BNK39, 2.928%, 02/15/2055 | 179,000 | 151,112 | |||||
BBCMS Mortgage Trust | |||||||
2021-C11, 1.502%, 09/15/2054 (d)(e) | 7,966,713 | 620,284 | |||||
BB-UBS Trust | |||||||
2012-SHOW, 3.430%, 11/05/2036 (b) | 1,646,000 | 1,529,285 | |||||
Benchmark Mortgage Trust | |||||||
2020-B21, 1.978%, 12/17/2053 | 251,000 | 199,890 | |||||
2021-B23, 1.766%, 02/15/2054 | 612,000 | 517,075 | |||||
2021-B26, 0.998%, 06/15/2054 (d)(e) | 9,536,759 | 476,323 | |||||
2021-B31 D, 2.250%, 12/15/2054 (b) | 278,000 | 157,662 | |||||
2021-B31 C, 3.195%, 12/15/2054 (d) | 415,000 | 298,309 | |||||
BX Commercial Mortgage Trust | |||||||
2021-VOLT, 5.525% (1 Month LIBOR USD + 1.650%), 09/15/2036 (b)(c) | 1,085,000 | 1,014,575 | |||||
BX Trust | |||||||
2019-OC11, 3.202%, 12/09/2041 (b) | 971,000 | 818,839 | |||||
BXP Trust | |||||||
2017-GM, 3.379%, 06/13/2039 (b) | 331,000 | 296,633 | |||||
CAMB Commercial Mortgage Trust | |||||||
2019-LIFE, 5.123% (1 Month LIBOR USD + 1.250%), 12/15/2037 (b)(c) | 978,000 | 948,060 | |||||
Citigroup Commercial Mortgage Trust | |||||||
2013-GCJ11, 3.732%, 04/10/2046 (d) | 455,000 | 450,595 | |||||
2013-GC17, 5.095%, 11/10/2046 (d) | 145,000 | 140,009 | |||||
2014-GC25, 1.096%, 10/10/2047 (d)(e) | 1,286,214 | 16,857 | |||||
2015-GC27, 1.460%, 02/10/2048 (d)(e) | 930,098 | 19,900 | |||||
2022-GC48, 4.743%, 05/15/2054 (d) | 619,207 | 588,463 | |||||
COMM Mortgage Trust | |||||||
2012-CCRE4, 3.251%, 10/15/2045 | 476,000 | 458,303 | |||||
2014-UBS2, 3.472%, 03/10/2047 | 186,566 | 183,660 | |||||
2014-CR16, 1.102%, 04/10/2047 (d)(e) | 1,217,592 | 11,988 | |||||
2014-LC15, 1.216%, 04/10/2047 (d)(e) | 1,189,742 | 11,053 | |||||
2014-CR17, 1.111%, 05/10/2047 (d)(e) | 1,030,940 | 9,941 | |||||
2014-UBS3, 1.216%, 06/10/2047 (d)(e) | 862,488 | 9,287 | |||||
2014-UBS6, 0.985%, 12/10/2047 (d)(e) | 1,399,773 | 17,861 | |||||
2014-CCRE21, 3.987%, 12/10/2047 | 281,514 | 266,540 | |||||
Connecticut Avenue Securities Trust | |||||||
2021-R01, 5.071% (SOFR30A + 1.550%), 10/25/2041 (b)(c) | 480,000 | 461,306 | |||||
2022-R01, 5.421% (SOFR30A + 1.900%), 12/25/2041 (b)(c) | 1,070,000 | 997,845 | |||||
2022-R03, 7.021% (SOFR30A + 3.500%), 03/25/2042 (b)(c) | 1,065,000 | 1,049,098 | |||||
2022-R07, 6.497% (SOFR30A + 2.950%), 06/25/2042 (b)(c) | 596,833 | 600,566 | |||||
CSAIL Commercial Mortgage Trust | |||||||
2019-C17, 3.016%, 09/15/2029 | 850,000 | 730,146 | |||||
2015-C1, 4.044%, 04/15/2050 (d) | 450,000 | 412,463 | |||||
2015-C2, 0.857%, 06/15/2057 (d)(e) | 1,410,730 | 18,453 | |||||
GS Mortgage Securities Trust | |||||||
2014-GC18, 1.192%, 01/10/2047 (d)(e) | 3,195,758 | 25,031 | |||||
2014-GC26, 1.086%, 11/10/2047 (d)(e) | 1,805,817 | 26,133 | |||||
2015-GC34, 3.278%, 10/10/2048 | 76,158 | 73,317 | |||||
2020-GC47, 2.377%, 05/12/2053 | 73,000 | 60,248 | |||||
Hilton USA Trust | |||||||
2016-HHV, 3.719%, 11/05/2038 (b) | 283,000 | 257,990 | |||||
Hudson Yards Mortgage Trust | |||||||
2019-55HY, 3.041%, 12/10/2041 (b)(d) | 865,000 | 735,087 | |||||
J.P. Morgan Chase Commercial Mortgage Securities Trust | |||||||
2022-OPO, 3.377%, 01/05/2039 (b) | 501,000 | 410,842 | |||||
Morgan Stanley Bank of America Merrill Lynch Trust | |||||||
2013-C9, 2.657%, 05/15/2046 | 21,297 | 21,229 | |||||
Morgan Stanley Capital I Trust | |||||||
2015-MS1, 3.779%, 05/15/2048 (d) | 200,000 | 190,684 | |||||
2018-L1, 4.879%, 10/15/2051 (d) | 325,000 | 294,756 | |||||
2020-HR8, 2.041%, 07/15/2053 | 335,000 | 269,589 | |||||
New Residential Mortgage Loan Trust | |||||||
2019-NQM5, 2.710%, 11/25/2059 (b)(d) | 149,372 | 133,772 | |||||
OBX Trust | |||||||
2021-NQM3, 1.054%, 07/25/2061 (b)(d) | 783,435 | 590,482 | |||||
Taubman Centers Commercial Mortgage Trust | |||||||
2022-DPM, 6.726% (TSFR1M + 2.932%), 05/15/2037 (b)(c) | 1,045,000 | 1,006,025 | |||||
UBS Commercial Mortgage Trust | |||||||
2017-C2, 3.487%, 08/15/2050 | 1,025,000 | 939,412 | |||||
2017-C4, 3.836%, 10/15/2050 (d) | 200,000 | 180,153 | |||||
Verus Securitization Trust | |||||||
2019-4, 2.642%, 11/25/2059 (b) | 43,080 | 41,013 | |||||
Wells Fargo Commercial Mortgage Trust | |||||||
2015-C29, 3.637%, 06/15/2048 | 130,000 | 123,500 | |||||
2018-C48, 4.302%, 01/15/2052 | 333,945 | 317,171 | |||||
WFRBS Commercial Mortgage Trust | |||||||
2014-LC14, 1.416%, 03/15/2047 (d)(e) | 644,544 | 6,073 | |||||
2014-C22 XA, 0.937%, 09/15/2057 (d)(e) | 2,813,513 | 28,095 | |||||
2014-C22 AS, 4.069%, 09/15/2057 (d) | 290,000 | 275,990 | |||||
TOTAL NON-AGENCY MORTGAGE BACKED SECURITIES (Cost $23,446,505) | 19,951,571 | ||||||
AGENCY MORTGAGE BACKED SECURITIES - 30.93% | |||||||
Fannie Mae Connecticut Avenue Securities | |||||||
2017-C03, 7.016% (1 Month LIBOR USD + 3.000%), 10/25/2029 (c) | 1,026,067 | 1,033,294 | |||||
2017-C04, 6.866% (1 Month LIBOR USD + 2.850%), 11/25/2029 (c) | 238,486 | 242,314 | |||||
2017-C05, 6.216% (1 Month LIBOR USD + 2.200%), 01/25/2030 (c) | 521,239 | 523,298 | |||||
2017-C06, 6.816% (1 Month LIBOR USD + 2.800%), 02/25/2030 (c) | 1,124,779 | 1,120,193 | |||||
2017-C07 1M2, 6.444% (1 Month LIBOR USD + 2.400%), 05/25/2030 (c) | 522,621 | 519,152 | |||||
2017-C07 2M2, 6.544% (1 Month LIBOR USD + 2.500%), 05/25/2030 (c) | 500,656 | 505,537 | |||||
2018-C01, 6.266% (1 Month LIBOR USD + 2.250%), 07/25/2030 (c) | 1,158,849 | 1,143,847 | |||||
2018-C02, 6.216% (1 Month LIBOR USD + 2.200%), 08/25/2030 (c) | 1,111,132 | 1,094,087 | |||||
2018-C03, 6.166% (1 Month LIBOR USD + 2.150%), 10/25/2030 (c) | 777,913 | 769,802 | |||||
2018-C04, 6.566% (1 Month LIBOR USD + 2.550%), 12/25/2030 (c) | 1,612,491 | 1,591,975 | |||||
Fannie Mae Interest Strip | |||||||
4.000%, 08/25/2043 (e) | 1,304,720 | 245,710 | |||||
Fannie Mae Pool | |||||||
MA0096, 4.500%, 06/01/2029 | 2,947 | 2,981 | |||||
AB3000, 4.500%, 05/01/2031 | 8,369 | 8,464 | |||||
AB1389, 4.500%, 08/01/2040 | 25,085 | 25,102 | |||||
MA0510, 4.500%, 09/01/2040 | 276 | 276 | |||||
AE8714, 3.500%, 11/01/2040 | 9,506 | 8,953 | |||||
890310, 4.500%, 12/01/2040 | 5,978 | 5,982 | |||||
AH3952, 4.000%, 01/01/2041 | 75,607 | 73,575 | |||||
AL0791, 4.000%, 02/01/2041 | 26,288 | 25,581 | |||||
AE0954, 4.500%, 02/01/2041 | 21,155 | 21,170 | |||||
AS7001, 3.000%, 04/01/2041 | 506,012 | 463,143 | |||||
AL0245, 4.000%, 04/01/2041 | 5,492 | 5,334 | |||||
AL0065, 4.500%, 04/01/2041 | 9,972 | 9,979 | |||||
AH7395, 4.500%, 06/01/2041 | 2,277 | 2,254 | |||||
AB3194, 4.500%, 06/01/2041 | 6,819 | 6,824 | |||||
FM0040, 3.000%, 10/01/2041 | 94,034 | 86,067 | |||||
AL1547, 4.500%, 11/01/2041 | 3,884 | 3,886 | |||||
AJ9278, 3.500%, 12/01/2041 | 5,033 | 4,743 | |||||
AJ6346, 3.500%, 12/01/2041 | 16,326 | 15,385 | |||||
AK6744, 4.000%, 03/01/2042 | 31,279 | 30,460 | |||||
AO1214, 3.500%, 04/01/2042 | 57,678 | 54,353 | |||||
AK6568, 3.500%, 04/01/2042 | 20,735 | 19,540 | |||||
AK9393, 3.500%, 04/01/2042 | 10,097 | 9,515 | |||||
AL4029, 4.500%, 04/01/2042 | 29,146 | 29,166 | |||||
AL7306, 4.500%, 09/01/2042 | 16,987 | 16,830 | |||||
AP8743, 3.500%, 10/01/2042 | 160,358 | 151,097 | |||||
AL2897, 3.500%, 01/01/2043 | 22,548 | 21,239 | |||||
AL3714, 3.500%, 01/01/2043 | 14,816 | 13,954 | |||||
AQ9330, 3.500%, 01/01/2043 | 20,220 | 19,044 | |||||
AB7965, 3.500%, 02/01/2043 | 12,715 | 11,973 | |||||
AT1001, 3.500%, 04/01/2043 | 14,690 | 13,825 | |||||
AT2021, 3.500%, 04/01/2043 | 13,354 | 12,583 | |||||
AB9046, 3.500%, 04/01/2043 | 39,621 | 37,314 | |||||
AB9260, 3.500%, 05/01/2043 | 35,756 | 33,633 | |||||
AU0949, 3.500%, 08/01/2043 | 31,648 | 29,822 | |||||
AS0212, 3.500%, 08/01/2043 | 34,857 | 32,802 | |||||
AU3751, 4.000%, 08/01/2043 | 65,182 | 63,569 | |||||
AS0531, 4.000%, 09/01/2043 | 30,765 | 30,004 | |||||
AU6857, 4.000%, 09/01/2043 | 27,255 | 26,538 | |||||
AU4658, 4.500%, 09/01/2043 | 5,567 | 5,517 | |||||
MA1600, 3.500%, 10/01/2043 | 14,949 | 14,062 | |||||
AS1042, 4.000%, 11/01/2043 | 25,319 | 24,692 | |||||
AS1333, 4.500%, 12/01/2043 | 10,688 | 10,696 | |||||
AL4450, 4.500%, 12/01/2043 | 11,834 | 11,842 | |||||
AS1559, 4.000%, 01/01/2044 | 17,275 | 16,848 | |||||
AS2516, 4.500%, 05/01/2044 | 12,035 | 12,043 | |||||
MA1926, 4.500%, 06/01/2044 | 12,491 | 12,499 | |||||
AS2751, 4.500%, 06/01/2044 | 14,641 | 14,651 | |||||
AL6223, 4.500%, 08/01/2044 | 14,485 | 14,495 | |||||
AX0118, 4.000%, 09/01/2044 | 109,292 | 106,286 | |||||
AS3467, 4.000%, 10/01/2044 | 9,436 | 9,203 | |||||
AX2491, 4.000%, 10/01/2044 | 7,385 | 7,202 | |||||
AL6432, 4.000%, 01/01/2045 | 23,414 | 22,835 | |||||
AL6520, 4.000%, 02/01/2045 | 84,017 | 81,938 | |||||
AZ0862, 3.500%, 07/01/2045 | 45,160 | 42,294 | |||||
AZ0814, 3.500%, 07/01/2045 | 26,459 | 24,785 | |||||
BM1953, 3.500%, 08/01/2045 | 57,030 | 53,734 | |||||
AZ4775, 3.500%, 10/01/2045 | 11,266 | 10,549 | |||||
AZ4788, 4.000%, 10/01/2045 | 241,003 | 234,699 | |||||
AS6311, 3.500%, 12/01/2045 | 16,433 | 15,375 | |||||
CA2929, 3.500%, 12/01/2045 | 91,926 | 86,036 | |||||
AS6405, 4.000%, 12/01/2045 | 189,191 | 183,920 | |||||
AS6464, 3.500%, 01/01/2046 | 21,977 | 20,555 | |||||
BC4114, 3.500%, 02/01/2046 | 130,669 | 122,242 | |||||
AL8219, 4.000%, 02/01/2046 | 194,518 | 190,502 | |||||
BC0305, 4.000%, 03/01/2046 | 48,408 | 47,046 | |||||
AS6795, 4.000%, 03/01/2046 | 41,816 | 40,568 | |||||
AL8387, 4.000%, 03/01/2046 | 482,703 | 470,945 | |||||
FM1370, 3.000%, 04/01/2046 | 32,944 | 30,015 | |||||
BC0793, 3.500%, 04/01/2046 | 110,038 | 103,107 | |||||
BC0835, 4.000%, 04/01/2046 | 102,765 | 99,873 | |||||
AS7248, 4.000%, 05/01/2046 | 55,872 | 54,265 | |||||
AS7200, 4.500%, 05/01/2046 | 6,445 | 6,390 | |||||
AS7388, 3.500%, 06/01/2046 | 458,800 | 430,649 | |||||
AL8735, 4.000%, 06/01/2046 | 113,200 | 110,175 | |||||
AS7401, 4.000%, 06/01/2046 | 39,809 | 38,652 | |||||
AL9282, 4.000%, 06/01/2046 | 75,748 | 73,616 | |||||
AS7580, 3.000%, 07/01/2046 | 103,974 | 93,737 | |||||
AS7492, 4.000%, 07/01/2046 | 20,038 | 19,468 | |||||
AS7801, 3.500%, 08/01/2046 | 97,478 | 91,050 | |||||
MA2737, 3.000%, 09/01/2046 | 581,691 | 524,206 | |||||
MA2771, 3.000%, 10/01/2046 | 88,200 | 79,452 | |||||
AS8056, 3.000%, 10/01/2046 | 57,694 | 51,930 | |||||
BM3932, 3.500%, 10/01/2046 | 82,169 | 76,787 | |||||
AS8269, 3.000%, 11/01/2046 | 74,079 | 66,678 | |||||
AS8661, 4.000%, 01/01/2047 | 68,060 | 65,891 | |||||
AS8659, 4.000%, 01/01/2047 | 24,016 | 23,251 | |||||
BE2975, 4.000%, 01/01/2047 | 98,432 | 95,268 | |||||
AS8699, 4.000%, 01/01/2047 | 20,674 | 20,001 | |||||
MA2872, 4.500%, 01/01/2047 | 60,222 | 59,736 | |||||
AS8700, 4.500%, 01/01/2047 | 23,949 | 23,766 | |||||
AL9879, 3.500%, 02/01/2047 | 1,368,458 | 1,278,505 | |||||
BE5475, 3.500%, 02/01/2047 | 37,167 | 34,677 | |||||
AL9916, 4.000%, 02/01/2047 | 112,145 | 109,020 | |||||
AS8966, 4.000%, 03/01/2047 | 19,358 | 18,689 | |||||
FM4894, 4.000%, 03/01/2047 | 435,994 | 424,467 | |||||
AS8982, 4.500%, 03/01/2047 | 8,221 | 8,151 | |||||
CA5843, 3.000%, 04/01/2047 | 114,782 | 103,875 | |||||
FM1000, 3.000%, 04/01/2047 | 209,691 | 188,230 | |||||
MA2959, 3.500%, 04/01/2047 | 79,664 | 74,009 | |||||
BM5348, 3.500%, 05/01/2047 | 45,305 | 42,327 | |||||
BM5347, 3.500%, 05/01/2047 | 90,406 | 84,482 | |||||
AS9536, 3.500%, 05/01/2047 | 40,662 | 37,972 | |||||
BM5784, 3.500%, 05/01/2047 | 100,921 | 94,318 | |||||
BE3619, 4.000%, 05/01/2047 | 85,983 | 83,244 | |||||
MA3008, 4.500%, 05/01/2047 | 16,519 | 16,254 | |||||
AS9829, 3.500%, 06/01/2047 | 37,045 | 34,583 | |||||
BE3702, 4.000%, 06/01/2047 | 48,370 | 46,744 | |||||
AS9664, 4.000%, 06/01/2047 | 21,420 | 20,744 | |||||
AS9831, 4.000%, 06/01/2047 | 53,908 | 52,154 | |||||
BM5179, 3.000%, 07/01/2047 | 67,175 | 60,634 | |||||
BE3767, 3.500%, 07/01/2047 | 46,826 | 43,718 | |||||
CA0062, 4.000%, 07/01/2047 | 42,122 | 40,611 | |||||
MA3121, 4.000%, 09/01/2047 | 500,754 | 482,822 | |||||
FM4019, 3.500%, 10/01/2047 | 425,927 | 395,961 | |||||
CA0559, 4.500%, 10/01/2047 | 50,069 | 49,612 | |||||
FM1467, 3.000%, 12/01/2047 | 65,817 | 59,764 | |||||
BH7058, 3.500%, 12/01/2047 | 118,282 | 110,155 | |||||
MA3210, 3.500%, 12/01/2047 | 109,681 | 102,131 | |||||
FM2897, 3.000%, 02/01/2048 | 208,105 | 187,521 | |||||
CA4140, 3.000%, 02/01/2048 | 67,757 | 60,766 | |||||
CA1535, 3.500%, 02/01/2048 | 22,518 | 21,005 | |||||
BJ8783, 3.500%, 02/01/2048 | 68,445 | 63,839 | |||||
CA1218, 4.500%, 02/01/2048 | 36,269 | 35,733 | |||||
MA3278, 4.500%, 02/01/2048 | 214,707 | 211,841 | |||||
BM3590, 3.500%, 03/01/2048 | 91,346 | 85,180 | |||||
BJ0650, 3.500%, 03/01/2048 | 49,294 | 45,977 | |||||
BJ0648, 3.500%, 03/01/2048 | 46,316 | 43,200 | |||||
FM5923, 3.500%, 03/01/2048 | 579,154 | 540,338 | |||||
BM3900, 4.000%, 04/01/2048 | 89,011 | 85,693 | |||||
CA1710, 4.500%, 05/01/2048 | 62,921 | 62,159 | |||||
FM2385, 3.000%, 09/01/2048 | 127,297 | 114,109 | |||||
FM1572, 3.000%, 09/01/2048 | 209,841 | 189,208 | |||||
FM2915, 3.000%, 11/01/2048 | 455,838 | 413,446 | |||||
BM5024, 3.000%, 11/01/2048 | 55,745 | 49,893 | |||||
FM1239, 3.500%, 11/01/2048 | 73,366 | 68,413 | |||||
FM5108, 3.500%, 11/01/2048 | 599,593 | 560,179 | |||||
CA2922, 3.000%, 12/01/2048 | 182,930 | 163,593 | |||||
FM2239, 3.000%, 12/01/2048 | 112,359 | 101,012 | |||||
FM1051, 4.500%, 05/01/2049 | 150,952 | 149,123 | |||||
FM4895, 4.000%, 06/01/2049 | 381,589 | 367,897 | |||||
CA3683, 4.500%, 06/01/2049 | 56,165 | 55,446 | |||||
BO2201, 3.000%, 09/01/2049 | 158,345 | 140,745 | |||||
CA4571, 4.000%, 11/01/2049 | 366,646 | 348,877 | |||||
BO8947, 3.000%, 01/01/2050 | 83,985 | 74,901 | |||||
BO6164, 3.000%, 01/01/2050 | 68,420 | 60,899 | |||||
FM3619, 4.500%, 01/01/2050 | 96,671 | 94,609 | |||||
BP2099, 3.000%, 02/01/2050 | 341,150 | 303,671 | |||||
BP1424, 3.000%, 03/01/2050 | 129,507 | 114,999 | |||||
FM7592, 3.500%, 03/01/2050 | 585,140 | 540,722 | |||||
CA5519, 3.000%, 04/01/2050 | 75,292 | 66,954 | |||||
FM4334, 3.000%, 04/01/2050 | 178,855 | 159,598 | |||||
CA5559, 3.500%, 04/01/2050 | 594,359 | 548,283 | |||||
MA3992, 3.500%, 04/01/2050 | 146,925 | 135,578 | |||||
CA5670, 3.000%, 05/01/2050 | 120,684 | 107,156 | |||||
CA5668, 3.000%, 05/01/2050 | 291,180 | 258,873 | |||||
CA6086, 3.000%, 06/01/2050 | 1,162,717 | 1,037,470 | |||||
CA6291, 3.000%, 07/01/2050 | 82,817 | 73,644 | |||||
BP6466, 3.000%, 07/01/2050 | 185,946 | 165,199 | |||||
BP6481, 4.500%, 07/01/2050 | 34,814 | 34,147 | |||||
BQ0239, 2.500%, 08/01/2050 | 195,782 | 169,595 | |||||
BQ0188, 3.000%, 08/01/2050 | 99,985 | 88,808 | |||||
BP6716, 2.500%, 09/01/2050 | 346,268 | 297,439 | |||||
BK3044, 2.500%, 09/01/2050 | 324,769 | 279,222 | |||||
MA4121, 3.000%, 09/01/2050 | 559,468 | 499,503 | |||||
FM9143, 4.500%, 09/01/2050 | 132,682 | 130,911 | |||||
MA4160, 3.000%, 10/01/2050 | 473,658 | 420,712 | |||||
MA4170, 4.500%, 10/01/2050 | 294,141 | 287,789 | |||||
FM7475, 4.500%, 10/01/2050 | 22,533 | 22,258 | |||||
MA4208, 2.000%, 12/01/2050 | 2,420,859 | 1,998,612 | |||||
FM5316, 2.000%, 12/01/2050 | 191,582 | 158,076 | |||||
MA4237, 2.000%, 01/01/2051 | 203,183 | 167,696 | |||||
BR1269, 2.500%, 01/01/2051 | 776,984 | 671,866 | |||||
MA4256, 2.500%, 02/01/2051 | 683,167 | 586,296 | |||||
MA4282, 2.500%, 03/01/2051 | 435,034 | 373,853 | |||||
MA4306, 2.500%, 04/01/2051 | 280,272 | 240,307 | |||||
BR7795, 2.500%, 04/01/2051 | 709,305 | 607,939 | |||||
MA4307, 3.000%, 04/01/2051 | 821,604 | 728,656 | |||||
MA4325, 2.000%, 05/01/2051 | 702,561 | 579,100 | |||||
BT2488, 2.500%, 05/01/2051 | 435,731 | 373,371 | |||||
MA4326, 2.500%, 05/01/2051 | 462,922 | 396,814 | |||||
FM7189, 2.500%, 05/01/2051 | 499,023 | 427,760 | |||||
MA4356, 2.500%, 06/01/2051 | 921,195 | 789,546 | |||||
FM7738, 2.500%, 06/01/2051 | 500,959 | 429,633 | |||||
BT0417, 2.500%, 06/01/2051 | 302,848 | 259,504 | |||||
MA4378, 2.000%, 07/01/2051 | 661,745 | 545,116 | |||||
FS1550, 2.500%, 07/01/2051 | 349,559 | 300,400 | |||||
MA4379, 2.500%, 07/01/2051 | 363,323 | 311,362 | |||||
CB1027, 2.500%, 07/01/2051 | 263,432 | 225,663 | |||||
CB1038, 2.500%, 07/01/2051 | 325,328 | 279,068 | |||||
BT1339, 2.500%, 07/01/2051 | 769,912 | 659,631 | |||||
FM8178, 2.500%, 07/01/2051 | 800,230 | 685,417 | |||||
MA4380, 3.000%, 07/01/2051 | 906,887 | 803,169 | |||||
MA4399, 2.500%, 08/01/2051 | 2,405,065 | 2,060,750 | |||||
BT3273, 2.500%, 08/01/2051 | 777,361 | 665,940 | |||||
FM8422, 2.500%, 08/01/2051 | 770,644 | 660,343 | |||||
FM8360, 2.500%, 08/01/2051 | 362,641 | 311,341 | |||||
MA4401, 3.500%, 08/01/2051 | 236,962 | 217,288 | |||||
BT7263, 2.500%, 09/01/2051 | 466,391 | 399,486 | |||||
MA4437, 2.000%, 10/01/2051 | 347,866 | 286,429 | |||||
MA4465, 2.000%, 11/01/2051 | 93,689 | 77,107 | |||||
CB2852, 2.000%, 11/01/2051 | 1,354,277 | 1,114,983 | |||||
MA4493, 2.500%, 12/01/2051 | 441,361 | 377,465 | |||||
FS0121, 2.000%, 01/01/2052 | 781,671 | 645,165 | |||||
CB2548, 2.500%, 01/01/2052 | 141,191 | 120,803 | |||||
BU1350, 3.000%, 02/01/2052 | 84,917 | 75,027 | |||||
BV4139, 2.500%, 03/01/2052 | 212,961 | 182,661 | |||||
MA4600, 3.500%, 05/01/2052 | 1,548,876 | 1,418,379 | |||||
BU8667, 4.000%, 05/01/2052 | 569,963 | 538,746 | |||||
CB3622, 4.000%, 05/01/2052 | 486,429 | 459,689 | |||||
MA4626, 4.000%, 06/01/2052 | 702,994 | 664,055 | |||||
CB3914, 4.000%, 06/01/2052 | 527,793 | 498,558 | |||||
BV2558, 5.000%, 06/01/2052 | 703,377 | 699,414 | |||||
BV2634, 4.000%, 07/01/2052 | 536,714 | 506,984 | |||||
BV2623, 4.500%, 07/01/2052 | 269,099 | 261,536 | |||||
MA4656, 4.500%, 07/01/2052 | 338,936 | 329,516 | |||||
BW0036, 4.500%, 07/01/2052 | 414,330 | 404,379 | |||||
FS2603, 4.500%, 08/01/2052 | 696,236 | 676,670 | |||||
BV7959, 5.000%, 08/01/2052 | 736,017 | 731,956 | |||||
CB4404, 5.000%, 08/01/2052 | 719,837 | 716,251 | |||||
BV8055, 4.500%, 09/01/2052 | 709,907 | 689,956 | |||||
BW6232, 5.000%, 09/01/2052 | 896,916 | 891,871 | |||||
BW1201, 5.000%, 09/01/2052 | 790,310 | 785,840 | |||||
MA4785, 5.000%, 10/01/2052 | 741,061 | 736,892 | |||||
Fannie Mae Principal Strip | |||||||
0.000%, 07/15/2037 | 1,370,000 | 706,362 | |||||
Fannie Mae REMICS | |||||||
2012-70, 1.984% (1 Month LIBOR USD + 6.000%), 07/25/2042 (c)(e) | 933,482 | 110,534 | |||||
2012-68, 2.034% (1 Month LIBOR USD + 6.050%), 07/25/2042 (c)(e) | 1,530,112 | 170,020 | |||||
2013-6, 2.084% (1 Month LIBOR USD + 6.100%), 02/25/2043 (c)(e) | 984,796 | 121,439 | |||||
2013-18, 2.084% (1 Month LIBOR USD + 6.100%), 03/25/2043 (c)(e) | 1,065,176 | 119,341 | |||||
2014-90, 2.134% (1 Month LIBOR USD + 6.150%), 01/25/2045 (c)(e) | 1,498,888 | 188,422 | |||||
2015-32, 2.184% (1 Month LIBOR USD + 6.200%), 05/25/2045 (c)(e) | 957,389 | 117,322 | |||||
2016-03, 4.000%, 02/25/2046 (e) | 448,111 | 80,298 | |||||
2016-40, 1.834% (1 Month LIBOR USD + 5.850%), 07/25/2046 (c)(e) | 616,820 | 65,041 | |||||
2018-07, 4.000%, 02/25/2048 (e) | 1,226,235 | 235,447 | |||||
2020-52, 4.500%, 08/25/2050 (e) | 1,120,172 | 238,684 | |||||
Freddie Mac Gold Pool | |||||||
G1-3122, 5.000%, 04/01/2023 | 26 | 26 | |||||
G1-4953, 3.500%, 01/01/2029 | 15,154 | 14,956 | |||||
A8-6315, 4.500%, 05/01/2039 | 14,186 | 14,171 | |||||
A8-6521, 4.500%, 05/01/2039 | 28,405 | 28,456 | |||||
A9-3617, 4.500%, 08/01/2040 | 2,406 | 2,410 | |||||
Q0-0285, 4.500%, 04/01/2041 | 3,704 | 3,710 | |||||
Q0-0876, 4.500%, 05/01/2041 | 23,656 | 23,699 | |||||
Q0-2173, 4.500%, 07/01/2041 | 16,195 | 16,223 | |||||
Q0-3705, 4.000%, 10/01/2041 | 16,920 | 16,597 | |||||
C0-3795, 3.500%, 04/01/2042 | 113,784 | 107,343 | |||||
Q0-9004, 3.500%, 06/01/2042 | 10,595 | 9,995 | |||||
C0-9004, 3.500%, 07/01/2042 | 11,283 | 10,644 | |||||
Q0-9896, 3.500%, 08/01/2042 | 14,674 | 13,843 | |||||
Q1-1348, 3.500%, 09/01/2042 | 29,729 | 28,033 | |||||
Q1-8305, 3.500%, 05/01/2043 | 12,418 | 11,700 | |||||
Q1-9475, 3.500%, 06/01/2043 | 21,097 | 19,877 | |||||
G6-0030, 3.500%, 07/01/2043 | 66,653 | 62,865 | |||||
Q2-0780, 3.500%, 08/01/2043 | 26,091 | 24,575 | |||||
Q2-0857, 3.500%, 08/01/2043 | 16,882 | 15,915 | |||||
G0-7459, 3.500%, 08/01/2043 | 13,430 | 12,659 | |||||
G0-8541, 3.500%, 08/01/2043 | 23,621 | 22,256 | |||||
V8-0509, 4.000%, 10/01/2043 | 14,060 | 13,727 | |||||
G0-8558, 4.000%, 11/01/2043 | 15,533 | 15,165 | |||||
Q2-6367, 4.000%, 05/01/2044 | 4,312 | 4,210 | |||||
Q2-6513, 4.500%, 06/01/2044 | 11,849 | 11,750 | |||||
Q2-9916, 4.000%, 11/01/2044 | 17,388 | 16,976 | |||||
Q4-5219, 3.500%, 01/01/2045 | 79,668 | 74,825 | |||||
G0-7961, 3.500%, 03/01/2045 | 18,256 | 17,154 | |||||
G0-8633, 4.000%, 03/01/2045 | 35,020 | 34,191 | |||||
G0-8636, 3.500%, 04/01/2045 | 21,263 | 19,935 | |||||
G0-8637, 4.000%, 04/01/2045 | 17,575 | 17,158 | |||||
Q3-3869, 4.000%, 06/01/2045 | 11,779 | 11,500 | |||||
Q3-5225, 3.500%, 08/01/2045 | 10,687 | 10,015 | |||||
G0-8659, 3.500%, 08/01/2045 | 58,225 | 54,553 | |||||
G0-8660, 4.000%, 08/01/2045 | 69,759 | 68,086 | |||||
V8-1873, 4.000%, 08/01/2045 | 15,396 | 15,023 | |||||
V8-1992, 4.000%, 10/01/2045 | 214,396 | 207,743 | |||||
G0-8672, 4.000%, 10/01/2045 | 11,674 | 11,383 | |||||
G0-8676, 3.500%, 11/01/2045 | 25,380 | 23,793 | |||||
G6-0480, 4.500%, 11/01/2045 | 10,437 | 10,457 | |||||
G0-8681, 3.500%, 12/01/2045 | 18,827 | 17,632 | |||||
G0-8682, 4.000%, 12/01/2045 | 23,420 | 22,812 | |||||
Q3-8470, 4.000%, 01/01/2046 | 13,030 | 12,688 | |||||
Q3-8473, 4.000%, 01/01/2046 | 23,361 | 22,781 | |||||
G0-8694, 4.000%, 02/01/2046 | 13,482 | 13,125 | |||||
Q3-9434, 3.500%, 03/01/2046 | 3,920 | 3,674 | |||||
Q3-9644, 3.500%, 03/01/2046 | 85,879 | 80,428 | |||||
G0-8693, 3.500%, 03/01/2046 | 4,203 | 3,936 | |||||
Q3-9438, 4.000%, 03/01/2046 | 72,876 | 70,923 | |||||
G0-8699, 4.000%, 03/01/2046 | 36,444 | 35,468 | |||||
G0-8702, 3.500%, 04/01/2046 | 43,192 | 40,432 | |||||
Q4-0375, 3.500%, 05/01/2046 | 28,002 | 26,210 | |||||
G0-8706, 3.500%, 05/01/2046 | 19,889 | 18,772 | |||||
Q4-0718, 3.500%, 05/01/2046 | 123,769 | 115,835 | |||||
G0-8708, 4.500%, 05/01/2046 | 28,561 | 28,483 | |||||
Q4-1208, 3.500%, 06/01/2046 | 61,982 | 58,110 | |||||
Q4-5458, 4.000%, 08/01/2046 | 60,970 | 59,336 | |||||
G0-8721, 3.000%, 09/01/2046 | 42,283 | 38,144 | |||||
G0-8735, 4.500%, 10/01/2046 | 38,510 | 38,245 | |||||
G0-8741, 3.000%, 01/01/2047 | 773,307 | 696,214 | |||||
G0-8743, 4.000%, 01/01/2047 | 34,575 | 33,552 | |||||
Q4-6279, 3.500%, 02/01/2047 | 48,505 | 45,376 | |||||
Q4-6283, 4.000%, 02/01/2047 | 37,610 | 36,463 | |||||
G0-8752, 4.000%, 03/01/2047 | 16,893 | 16,509 | |||||
Q4-6539, 4.500%, 03/01/2047 | 3,458 | 3,395 | |||||
G0-8757, 3.500%, 04/01/2047 | 7,961 | 7,443 | |||||
G0-8759, 4.500%, 04/01/2047 | 12,910 | 12,817 | |||||
V8-3204, 4.500%, 05/01/2047 | 31,221 | 30,800 | |||||
Q4-9100, 4.000%, 07/01/2047 | 79,100 | 76,504 | |||||
Q4-9394, 4.500%, 07/01/2047 | 67,652 | 67,025 | |||||
Q4-9888, 3.500%, 08/01/2047 | 41,248 | 38,553 | |||||
Q5-0035, 3.500%, 08/01/2047 | 60,177 | 56,257 | |||||
Q5-0109, 3.500%, 08/01/2047 | 8,669 | 8,102 | |||||
G6-1228, 4.000%, 08/01/2047 | 116,138 | 112,632 | |||||
G0-8779, 3.500%, 09/01/2047 | 170,807 | 157,481 | |||||
G0-8785, 4.000%, 10/01/2047 | 87,962 | 84,606 | |||||
Q5-2319, 3.500%, 11/01/2047 | 131,581 | 122,888 | |||||
G6-1631, 3.500%, 11/01/2047 | 157,159 | 146,987 | |||||
G6-1467, 4.000%, 11/01/2047 | 113,890 | 109,694 | |||||
G6-1281, 3.500%, 01/01/2048 | 74,058 | 69,164 | |||||
G0-8800, 3.500%, 02/01/2048 | 100,818 | 94,094 | |||||
Q5-4463, 4.000%, 02/01/2048 | 55,852 | 54,062 | |||||
G6-7710, 3.500%, 03/01/2048 | 140,737 | 131,017 | |||||
Freddie Mac Multifamily Structured Pass Through Certificates | |||||||
K-098, 1.517%, 08/25/2029 (d)(e) | 1,985,000 | 152,928 | |||||
Freddie Mac Pool | |||||||
ZS-9972, 3.000%, 03/01/2042 | 715,573 | 654,879 | |||||
ZM-0630, 4.000%, 01/01/2046 | 240,656 | 234,085 | |||||
ZT-0390, 4.000%, 03/01/2046 | 91,823 | 89,552 | |||||
ZM-1590, 3.000%, 08/01/2046 | 519,751 | 467,099 | |||||
SD-0035, 3.000%, 04/01/2047 | 463,794 | 420,031 | |||||
ZM-4908, 3.500%, 11/01/2047 | 210,530 | 196,398 | |||||
ZA-5250, 4.000%, 01/01/2048 | 189,674 | 182,800 | |||||
ZS-4759, 3.500%, 03/01/2048 | 128,819 | 120,144 | |||||
ZM-6197, 4.000%, 04/01/2048 | 461,060 | 443,542 | |||||
SD-0298, 3.000%, 11/01/2048 | 326,757 | 294,384 | |||||
ZN-2103, 4.500%, 12/01/2048 | 30,480 | 30,076 | |||||
ZA-7141, 3.000%, 06/01/2049 | 65,250 | 58,085 | |||||
SD-8005, 3.500%, 08/01/2049 | 598,497 | 554,122 | |||||
SD-8013, 4.500%, 09/01/2049 | 90,697 | 89,372 | |||||
SI-2009, 3.000%, 10/01/2049 | 395,081 | 351,802 | |||||
QA-5549, 3.000%, 12/01/2049 | 212,499 | 188,989 | |||||
QA-7325, 3.000%, 02/01/2050 | 168,337 | 150,187 | |||||
QA-6750, 3.000%, 02/01/2050 | 123,291 | 110,108 | |||||
QA-8311, 3.000%, 03/01/2050 | 190,862 | 171,743 | |||||
SD-8068, 3.000%, 06/01/2050 | 541,629 | 481,404 | |||||
RA-2970, 2.500%, 07/01/2050 | 180,457 | 155,540 | |||||
SD-8074, 3.000%, 07/01/2050 | 79,732 | 70,930 | |||||
SD-8075, 3.500%, 07/01/2050 | 463,817 | 428,011 | |||||
QB-2682, 2.500%, 08/01/2050 | 134,317 | 115,417 | |||||
SD-8084, 3.000%, 08/01/2050 | 232,711 | 206,649 | |||||
SD-8086, 4.000%, 08/01/2050 | 171,052 | 162,883 | |||||
RA-3484, 3.000%, 09/01/2050 | 271,593 | 241,078 | |||||
SD-8098, 2.000%, 10/01/2050 | 2,349,230 | 1,939,442 | |||||
QB-4785, 2.500%, 10/01/2050 | 191,191 | 164,213 | |||||
QB-6037, 2.500%, 11/01/2050 | 139,442 | 119,711 | |||||
SD-8122, 2.500%, 01/01/2051 | 408,245 | 350,482 | |||||
SD-8129, 2.500%, 02/01/2051 | 550,806 | 473,367 | |||||
RA-4527, 2.500%, 02/01/2051 | 279,381 | 240,134 | |||||
SD-8135, 2.500%, 03/01/2051 | 197,505 | 169,778 | |||||
QC-0945, 2.500%, 04/01/2051 | 796,795 | 682,973 | |||||
SD-8147, 2.500%, 05/01/2051 | 461,615 | 395,626 | |||||
QC-2565, 2.000%, 06/01/2051 | 544,306 | 448,459 | |||||
QC-4235, 2.500%, 07/01/2051 | 705,381 | 604,113 | |||||
QC-3907, 2.500%, 07/01/2051 | 457,547 | 391,945 | |||||
SD-8156, 2.500%, 07/01/2051 | 429,409 | 367,933 | |||||
SD-8160, 2.000%, 08/01/2051 | 820,570 | 675,800 | |||||
QC-5978, 2.500%, 08/01/2051 | 612,561 | 524,802 | |||||
QC-6209, 2.500%, 08/01/2051 | 385,069 | 329,910 | |||||
SD-8167, 2.500%, 09/01/2051 | 1,115,951 | 955,954 | |||||
RA-5855, 2.500%, 09/01/2051 | 735,727 | 629,657 | |||||
SD-8169, 3.500%, 09/01/2051 | 108,414 | 99,489 | |||||
SD-0780, 2.500%, 12/01/2051 | 502,539 | 430,438 | |||||
SD-8189, 2.500%, 01/01/2052 | 445,409 | 380,207 | |||||
RA-6686, 4.000%, 01/01/2052 | 232,619 | 219,951 | |||||
QD-7594, 2.500%, 02/01/2052 | 680,587 | 584,911 | |||||
SD-8214, 3.500%, 05/01/2052 | 482,788 | 442,113 | |||||
SD-1883, 4.000%, 06/01/2052 | 650,000 | 614,400 | |||||
QE-5195, 4.000%, 06/01/2052 | 636,639 | 601,467 | |||||
QE-4039, 4.000%, 06/01/2052 | 1,226,795 | 1,158,843 | |||||
QE-5474, 4.000%, 07/01/2052 | 344,539 | 325,529 | |||||
SD-1060, 4.000%, 07/01/2052 | 340,441 | 321,654 | |||||
QE-6058, 4.500%, 07/01/2052 | 910,108 | 884,625 | |||||
SD-8231, 4.500%, 07/01/2052 | 339,358 | 329,926 | |||||
SD-8233, 5.000%, 07/01/2052 | 673,306 | 669,623 | |||||
SD-1382, 4.000%, 08/01/2052 | 836,676 | 790,278 | |||||
QE-6925, 4.500%, 08/01/2052 | 265,132 | 257,708 | |||||
SD-1576, 5.000%, 08/01/2052 | 944,177 | 938,866 | |||||
QE-9381, 4.000%, 09/01/2052 | 889,960 | 840,670 | |||||
SD-1709, 5.500%, 09/01/2052 | 837,925 | 849,892 | |||||
SD-8258, 5.000%, 10/01/2052 | 690,144 | 686,262 | |||||
SD-1719, 5.500%, 10/01/2052 | 873,929 | 885,655 | |||||
SD-8268, 5.500%, 11/01/2052 | 397,977 | 402,483 | |||||
Freddie Mac REMICS | |||||||
4121, 2.327% (1 Month LIBOR USD + 6.200%), 10/15/2042 (c)(e) | 939,831 | 105,136 | |||||
4122, 4.000%, 10/15/2042 (e) | 966,777 | 182,742 | |||||
4159, 2.277% (1 Month LIBOR USD + 6.150%), 01/15/2043 (c)(e) | 1,316,649 | 163,572 | |||||
4459, 4.000%, 08/15/2043 (e) | 1,955,792 | 361,147 | |||||
4385, 4.500%, 09/15/2044 (e) | 193,240 | 34,476 | |||||
4572, 2.177% (1 Month LIBOR USD + 6.050%), 04/15/2046 (c)(e) | 428,728 | 46,788 | |||||
4583, 2.127% (1 Month LIBOR USD + 6.000%), 05/15/2046 (c)(e) | 440,382 | 50,227 | |||||
4616, 2.127% (1 Month LIBOR USD + 6.000%), 09/15/2046 (c)(e) | 1,027,160 | 122,896 | |||||
4623, 2.127% (1 Month LIBOR USD + 6.000%), 10/15/2046 (c)(e) | 952,336 | 121,812 | |||||
4648, 2.127% (1 Month LIBOR USD + 6.000%), 01/15/2047 (c)(e) | 407,481 | 45,889 | |||||
Freddie Mac STACR REMIC Trust | |||||||
2022-HQA1, 7.021% (SOFR30A + 3.500%), 03/25/2042 (b)(c) | 309,000 | 298,746 | |||||
2022-DNA3, 6.421% (SOFR30A + 2.900%), 04/25/2042 (b)(c) | 506,000 | 484,841 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes | |||||||
2017-HQA3, 6.366% (1 Month LIBOR USD + 2.350%), 04/25/2030 (c) | 694,167 | 686,151 | |||||
2018-DNA1, 5.816% (1 Month LIBOR USD + 1.800%), 07/25/2030 (c) | 312,390 | 304,108 | |||||
2018-HQA1, 6.316% (1 Month LIBOR USD + 2.300%), 09/25/2030 (c) | 650,357 | 635,633 | |||||
2019-CS03, 4.016% (1 Month LIBOR USD + 0.000%), 10/25/2032 (b)(c) | 177,631 | 177,140 | |||||
2021-DNA7, 4.371% (SOFR30A + 0.850%), 11/25/2041 (b)(c) | 1,881,687 | 1,835,575 | |||||
2022-DNA2, 5.921% (SOFR30A + 2.400%), 02/25/2042 (b)(c) | 1,650,000 | 1,553,438 | |||||
Ginnie Mae | |||||||
#TBA, 4.500%, 12/15/2041 | 4,225,000 | 4,127,462 | |||||
#TBA, 5.000%, 12/15/2048 | 1,420,000 | 1,415,563 | |||||
#TBA, 5.500%, 12/15/2052 | 1,160,000 | 1,171,691 | |||||
Ginnie Mae II Pool | |||||||
MA0699M, 3.500%, 01/20/2043 | 24,172 | 22,978 | |||||
MA0783M, 3.500%, 02/20/2043 | 32,981 | 31,350 | |||||
MA0934M, 3.500%, 04/20/2043 | 23,533 | 22,369 | |||||
MA3663M, 3.500%, 05/20/2046 | 40,584 | 38,336 | |||||
MA3803M, 3.500%, 07/20/2046 | 15,742 | 14,839 | |||||
MA4510M, 3.500%, 06/20/2047 | 64,054 | 60,218 | |||||
MA4586M, 3.500%, 07/20/2047 | 88,435 | 82,900 | |||||
MA4652M, 3.500%, 08/20/2047 | 59,420 | 55,857 | |||||
MA4900M, 3.500%, 12/20/2047 | 44,964 | 42,298 | |||||
MA6542M, 3.500%, 03/20/2050 | 243,120 | 228,918 | |||||
MA6600M, 3.500%, 04/20/2050 | 18,088 | 16,931 | |||||
MA6601M, 4.000%, 04/20/2050 | 81,502 | 78,325 | |||||
MA7138M, 3.500%, 01/20/2051 | 234,740 | 219,628 | |||||
MA7192M, 2.000%, 02/20/2051 | 293,396 | 250,442 | |||||
MA7193M, 2.500%, 02/20/2051 | 296,162 | 260,922 | |||||
MA7254M, 2.000%, 03/20/2051 | 299,009 | 255,171 | |||||
MA7255M, 2.500%, 03/20/2051 | 733,761 | 646,301 | |||||
MA7311M, 2.000%, 04/20/2051 | 852,021 | 726,927 | |||||
MA7312M, 2.500%, 04/20/2051 | 811,108 | 714,910 | |||||
MA7367M, 2.500%, 05/20/2051 | 298,189 | 262,391 | |||||
MA7418M, 2.500%, 06/20/2051 | 623,090 | 548,011 | |||||
MA7472M, 2.500%, 07/20/2051 | 408,639 | 359,227 | |||||
MA7589M, 2.500%, 09/20/2051 | 914,517 | 803,551 | |||||
MA7648M, 2.000%, 10/20/2051 | 297,641 | 253,433 | |||||
MA7766M, 2.000%, 12/20/2051 | 375,435 | 319,453 | |||||
MA7828M, 3.000%, 01/20/2052 | 605,759 | 546,651 | |||||
MA8045M, 4.000%, 05/20/2052 | 662,952 | 632,017 | |||||
MA8099M, 3.500%, 06/20/2052 | 614,309 | 569,598 | |||||
MA8151M, 4.500%, 07/20/2052 | 915,286 | 895,305 | |||||
MA8200M, 4.000%, 08/20/2052 | 595,426 | 567,640 | |||||
MA8201M, 4.500%, 08/20/2052 | 595,643 | 582,620 | |||||
MA8267M, 4.000%, 09/20/2052 | 572,463 | 545,748 | |||||
MA8268M, 4.500%, 09/20/2052 | 896,110 | 876,518 | |||||
Government National Mortgage Association | |||||||
2013-23, 3.500%, 02/20/2043 (e) | 587,919 | 106,855 | |||||
2015-162, 2.811% (1 Month LIBOR USD + 6.750%), 11/20/2045 (c)(e) | 882,433 | 122,756 | |||||
2018-007, 2.261% (1 Month LIBOR USD + 6.200%), 01/20/2048 (c)(e) | 987,291 | 105,114 | |||||
2020-173, 2.500%, 11/20/2050 (e) | 2,332,125 | 307,310 | |||||
2021-116, 2.500%, 06/20/2051 (e) | 2,592,556 | 350,036 | |||||
Uniform Mortgage Backed Securities | |||||||
#TBA, 5.500%, 12/15/2040 | 2,660,000 | 2,686,392 | |||||
#TBA, 4.500%, 12/15/2040 | 1,170,000 | 1,135,814 | |||||
#TBA, 5.000%, 12/15/2040 | 2,215,000 | 2,199,426 | |||||
#TBA, 6.000%, 12/15/2040 | 830,000 | 847,832 | |||||
TOTAL AGENCY MORTGAGE BACKED SECURITIES (Cost $139,000,503) | 127,891,566 | ||||||
U.S. GOVERNMENT AGENCY ISSUES - 0.45% | |||||||
Federal Home Loan Mortgage Corp. | |||||||
0.375%, 09/23/2025 | 225,000 | 202,326 | |||||
Federal National Mortgage Association | |||||||
0.500%, 11/07/2025 | 255,000 | 228,980 | |||||
0.750%, 10/08/2027 | 745,000 | 641,702 | |||||
0.875%, 08/05/2030 | 575,000 | 455,376 | |||||
Tennessee Valley Authority | |||||||
5.250%, 09/15/2039 | 320,000 | 334,055 | |||||
TOTAL U.S. GOVERNMENT AGENCY ISSUES (Cost $2,180,540) | 1,862,439 | ||||||
U.S. GOVERNMENT NOTES/BONDS - 5.56% | |||||||
United States Treasury Note/Bond | |||||||
4.125%, 10/31/2027 (f) | 1,655,000 | 1,673,683 | |||||
2.875%, 05/15/2032 | 230,000 | 214,798 | |||||
4.125%, 11/15/2032 | 880,000 | 910,937 | |||||
4.250%, 11/15/2040 | 775,000 | 807,271 | |||||
1.750%, 08/15/2041 | 500,000 | 347,051 | |||||
3.125%, 11/15/2041 | 2,540,000 | 2,236,291 | |||||
3.250%, 05/15/2042 | 4,515,000 | 4,033,518 | |||||
3.375%, 08/15/2042 | 95,000 | 86,465 | |||||
3.375%, 05/15/2044 | 1,380,000 | 1,239,520 | |||||
3.125%, 08/15/2044 | 2,040,000 | 1,755,277 | |||||
3.000%, 11/15/2044 | 1,003,300 | 844,183 | |||||
3.000%, 05/15/2047 | 2,420,000 | 2,024,103 | |||||
3.125%, 05/15/2048 | 470,000 | 403,741 | |||||
3.375%, 11/15/2048 | 1,985,000 | 1,791,540 | |||||
2.250%, 02/15/2052 | 795,000 | 569,574 | |||||
2.875%, 05/15/2052 | 1,870,000 | 1,542,750 | |||||
3.000%, 08/15/2052 | 2,000,000 | 1,699,688 | |||||
4.000%, 11/15/2052 | 790,000 | 815,305 | |||||
TOTAL U.S. GOVERNMENT NOTES/BONDS (Cost $24,624,803) | 22,995,695 | ||||||
U.S. TREASURY BILLS - 4.00% | |||||||
United States Treasury Bill | |||||||
3.698%, 12/22/2022 (i) | 16,560,000 | 16,525,766 | |||||
TOTAL U.S. TREASURY BILLS (Cost $16,525,702) | 16,525,766 | ||||||
Shares | |||||||
EXCHANGE TRADED FUNDS - 0.02% | |||||||
iShares Core U.S. Aggregate Bond ETF | 817 | 80,303 | |||||
TOTAL EXCHANGE TRADED FUNDS (Cost $85,062) | 80,303 | ||||||
INVESTMENTS PURCHASED WITH COLLATERAL FROM SECURITIES LENDING - 4.57% | |||||||
Money Market Fund - 4.57% | |||||||
Mount Vernon Liquid Assets Portfolio, LLC, 4.010% (g) | 18,915,311 | 18,915,311 | |||||
TOTAL INVESTMENTS PURCHASED WITH COLLATERAL FROM SECURITIES LENDING (Cost $18,915,311) | 18,915,311 | ||||||
SHORT-TERM INVESTMENTS - 0.52% | |||||||
First American Government Obligations Fund, Class X, 3.664% (g) | 2,131,998 | 2,131,998 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $2,131,998) | 2,131,998 | ||||||
Total Investments (Cost $493,104,574) - 107.92% | 446,220,048 | ||||||
Liabilities in Excess of Other Assets - (7.92)% | (32,765,240) | ||||||
TOTAL NET ASSETS - 100.00% | $ | 413,454,808 | |||||
Percentages are stated as a percent of net assets. | |||||||
(a) | Variable rate security; the rate shown represents the rate at November 30, 2022. | ||||||
(b) | Securities issued under Rule 144A under the Securities Act of 1933. Such securities are deemed to be liquid. | ||||||
(c) | Floating rate security; the rate shown represents the rate at November 30, 2022. The coupon is based on an underlying pool of loans and other conditions at the time the loans are securitized. | ||||||
(d) | Variable rate security; the rate shown represents the rate at November 30, 2022. The coupon is based on an underlying pool of loans and other conditions at the time the loans are securitized. | ||||||
(e) | Represents an interest-only security that entitles holders to receive only interest payments on underlying mortgages. | ||||||
(f) | All or portion of this security is out on loan as of November 30, 2022. Total value of securities out on loan is $18,617,768. | ||||||
(g) | The rate shown represents the seven day yield at November 30, 2022. | ||||||
(h) | Perpetual maturity. The date referenced is the next call date. | ||||||
(i) | Rate shown is the effective yield based on purchase price. The calculation assumes the security is held to maturity. | ||||||
Abbreviations | |||||||
#TBA | Pool number to be announced | ||||||
The accompanying notes are an integral part of these schedule of investments. |
Summary of Fair Value Exposure at November 30, 2022 | |||||||
The Fund has adopted Statement of Financial Accounting Standard, “Fair Value Measurements and Disclosures” (“Fair Value Measurements”) and FASB Staff Position “Determining Fair Value when the Volume and Level of Activity for the Asset or Liability Have Significantly Decreased and Identified Transactions that are not Orderly” (“Determining Fair Value”). Determining Fair Value clarifies Fair Value Measurements and requires an entity to evaluate certain factors to determine whether there has been a significant decrease in volume and level of activity for the security such that recent transactions and quoted prices may not be determinative of fair value and further analysis and adjustment may be necessary to estimate fair value. Determining Fair Value also requires enhanced disclosure regarding the inputs and valuation techniques used to measure fair value in those instances as well as expanded disclosure of valuation levels for major security types. Fair Value Measurements requires the Fund to classify securities based on valuation method. These inputs are summarized in the three broad levels listed below: | |||||||
Level 1 - Quoted prices in active markets for identical securities. | |||||||
Level 2 - Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) | |||||||
Level 3 - Significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments.) | |||||||
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following is a summary of the inputs used to value the Funds' investments carried at fair value as of November 30, 2022. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Fixed Income Securities: | ||||||||||||||||
Asset Backed Securities | $ | - | $ | 38,420,459 | $ | - | $ | 38,420,459 | ||||||||
Corporate Bonds* | - | 153,746,774 | - | 153,746,774 | ||||||||||||
Foreign Corporate Bonds* | - | 34,026,890 | - | 34,026,890 | ||||||||||||
Foreign Government Agency Issues | - | 5,404,756 | - | 5,404,756 | ||||||||||||
Foreign Government Notes/Bonds | - | 4,266,520 | - | 4,266,520 | ||||||||||||
Non-Agency Mortgage Backed Securities | - | 19,951,571 | - | 19,951,571 | ||||||||||||
Agency Mortgage Backed Securities | - | 127,891,566 | - | 127,891,566 | ||||||||||||
U.S. Government Agency Issues | - | 1,862,439 | - | 1,862,439 | ||||||||||||
U.S. Government Notes/Bonds | - | 22,995,695 | - | 22,995,695 | ||||||||||||
U.S. Treasury Bills | - | 16,525,766 | - | 16,525,766 | ||||||||||||
Total Fixed Income Securities | - | 425,092,436 | - | 425,092,436 | ||||||||||||
Exchange-Traded Funds | 80,303 | - | - | 80,303 | ||||||||||||
Money Market Funds | 21,047,309 | - | - | 21,047,309 | ||||||||||||
Total Investments in Securities | $ | 21,127,612 | $ | 425,092,436 | $ | - | $ | 446,220,048 |
* For further breakdown by industry, please refer to the Schedule of Investments. | |||||||
The Fund did not hold any Level 3 securities during the period ended November 30, 2022. | |||||||