PMC Core Fixed Income Fund | |||||||
Schedule of Investments | |||||||
May 31, 2023 (Unaudited) | |||||||
Principal | |||||||
Amount | Value | ||||||
ASSET BACKED SECURITIES - 9.28% | |||||||
37 Capital CLO I | |||||||
2021-1, 6.460% (3 Month LIBOR USD + 1.200%), 10/15/2034 (b)(c) | $ | 1,000,000 | $ | 975,319 | |||
AM Capital Funding LLC | |||||||
2018-1, 4.980%, 12/15/2023 (b) | 760,000 | 759,057 | |||||
Amur Equipment Finance Receivables XI LLC | |||||||
2022-2A, 5.300%, 06/21/2028 (b) | 240,110 | 238,372 | |||||
Angel Oak Mortgage Trust | |||||||
2021-3, 1.068%, 05/25/2066 (b)(d) | 615,981 | 510,424 | |||||
Aqua Finance Trust 2021-A | |||||||
2021-A, 1.540%, 07/17/2046 (b) | 461,499 | 412,113 | |||||
Avis Budget Rental Car Funding AESOP LLC | |||||||
2018-2 B, 4.270%, 03/20/2025 (b) | 360,000 | 354,455 | |||||
2019-3 A, 2.360%, 03/20/2026 (b) | 376,000 | 355,525 | |||||
2020-2 B, 2.960%, 02/20/2027 (b) | 567,000 | 525,709 | |||||
Beacon Container Finance II LLC | |||||||
2021-1A, 2.250%, 10/22/2046 (b) | 893,850 | 779,449 | |||||
BlueMountain CLO Ltd. | |||||||
2013-2R, 6.453% (3 Month LIBOR USD + 1.180%), 10/22/2030 (b)(c) | 323,456 | 320,549 | |||||
CCG Receivables Trust | |||||||
2023-1, 5.820%, 09/16/2030 (b) | 543,000 | 547,068 | |||||
Cedar Funding VI CLO Ltd. | |||||||
2016-6A, 6.300% (3 Month LIBOR USD + 1.050%), 04/20/2034 (b)(c) | 1,480,000 | 1,436,999 | |||||
Crown Castle Towers LLC | |||||||
4.241%, 07/15/2048 (b) | 439,000 | 411,904 | |||||
Dryden 75 CLO Ltd. | |||||||
2019-75R2, 6.300% (3 Month LIBOR USD + 1.040%), 04/15/2034 (b)(c) | 850,000 | 828,940 | |||||
Fort Washington CLO Ltd. | |||||||
2021-2A, 6.470% (3 Month LIBOR USD + 1.220%), 10/20/2034 (b)(c) | 2,000,000 | 1,940,854 | |||||
GCAT Trust | |||||||
2019-NQM3, 2.686%, 11/25/2059 (b)(d) | 108,638 | 101,252 | |||||
2021-NQM5, 1.262%, 07/25/2066 (b)(d) | 497,910 | 400,444 | |||||
JPMorgan Chase Bank NA - CACLN | |||||||
2021-3, 0.760%, 02/26/2029 (b) | 794,820 | 752,616 | |||||
Madison Park Funding XXVI Ltd. | |||||||
2007-26, 6.499% (3 Month LIBOR USD + 1.200%), 07/29/2030 (b)(c) | 2,267,034 | 2,249,675 | |||||
Magnetite XXIII Ltd. | |||||||
2019-23R, 6.385% (3 Month LIBOR USD + 1.130%), 01/25/2035 (b)(c) | 1,000,000 | 977,237 | |||||
MetroNet Infrastructure Issuer LLC | |||||||
2022-1A, 6.350%, 10/20/2052 (b) | 693,000 | 683,798 | |||||
MVW LLC | |||||||
2021-2A A, 1.430%, 05/20/2039 (b) | 679,044 | 606,879 | |||||
2021-2A B, 1.830%, 05/20/2039 (b) | 554,024 | 494,181 | |||||
2022-1, 4.400%, 11/21/2039 (b) | 257,892 | 243,692 | |||||
2023-1, 5.420%, 10/20/2040 (b) | 540,521 | 536,375 | |||||
2021-1W, 1.440%, 01/22/2041 (b) | 278,047 | 252,448 | |||||
Navient Private Education Refi Loan Trust | |||||||
2021-B, 0.940%, 07/15/2069 (b) | 1,023,341 | 893,212 | |||||
2021-C, 1.060%, 10/15/2069 (b) | 761,134 | 663,979 | |||||
2021-E, 0.970%, 12/16/2069 (b) | 1,332,666 | 1,138,874 | |||||
2021-F, 1.110%, 02/18/2070 (b) | 481,644 | 410,043 | |||||
Navient Student Loan Trust | |||||||
2019-7, 5.638% (1 Month LIBOR USD + 0.500%), 01/25/2068 (b)(c) | 2,454 | 2,452 | |||||
RASC Trust | |||||||
2005-KS12, 5.828% (1 Month LIBOR USD + 0.460%), 01/25/2036 (c) | 56,236 | 55,726 | |||||
SBA Tower Trust | |||||||
2020-1-2, 2.328%, 01/15/2028 (b) | 618,000 | 534,603 | |||||
2021-3, 2.593%, 10/15/2031 (b) | 1,243,000 | 1,002,565 | |||||
Sierra Timeshare Receivables Funding LLC | |||||||
2019-2, 2.590%, 05/20/2036 (b) | 277,871 | 267,642 | |||||
2020-2, 3.510%, 07/20/2037 (b) | 319,948 | 302,503 | |||||
2021-2, 1.350%, 09/20/2038 (b) | 235,088 | 221,364 | |||||
SoFi Consumer Loan Program Trust | |||||||
2023-1S, 5.810%, 05/15/2031 (b) | 364,336 | 364,799 | |||||
SoFi Professional Loan Program Trust | |||||||
2021-B, 1.140%, 02/15/2047 (b) | 96,363 | 81,306 | |||||
Starwood Mortgage Residential Trust | |||||||
2021-3, 1.127%, 06/25/2056 (b)(d) | 546,547 | 447,311 | |||||
2021-6, 1.920%, 11/25/2066 (b)(d) | 859,889 | 711,528 | |||||
Taco Bell Funding LLC | |||||||
2021-1, 1.946%, 08/25/2051 (b) | 788,985 | 686,239 | |||||
Thayer Park CLO Ltd. | |||||||
2017-R, 6.290% (3 Month LIBOR USD + 1.040%), 04/20/2034 (b)(c) | 500,000 | 488,812 | |||||
Towd Point Mortgage Trust | |||||||
2017-5, 4.455% (1 Month LIBOR USD + 0.600%), 02/25/2057 (b)(c) | 140,940 | 140,602 | |||||
2017-2 A1, 2.750%, 04/25/2057 (b)(d) | 6,488 | 6,411 | |||||
2017-2, 3.250%, 04/25/2057 (b)(d) | 351,000 | 339,525 | |||||
2017-3, 2.750%, 06/25/2057 (b)(d) | 89,984 | 87,601 | |||||
2017-4, 2.750%, 06/25/2057 (b)(d) | 93,796 | 89,135 | |||||
2022-4, 3.750%, 09/25/2062 (b) | 1,483,730 | 1,413,112 | |||||
TRESTLES CLO Ltd. | |||||||
2017-1, 6.245% (3 Month LIBOR USD + 0.990%), 04/25/2032 (b)(c) | 500,000 | 491,751 | |||||
TRESTLES CLO V Ltd. | |||||||
2021-5, 6.420% (3 Month LIBOR USD + 1.170%), 10/20/2034 (b)(c) | 1,000,000 | 979,137 | |||||
Vantage Data Centers Issuer LLC | |||||||
2019-1, 3.188%, 07/15/2044 (b) | 1,266,650 | 1,221,144 | |||||
2021-1, 2.165%, 10/15/2046 (b) | 817,000 | 725,765 | |||||
Verus Securitization Trust | |||||||
2021-3, 1.046%, 06/25/2066 (b)(d) | 687,708 | 576,260 | |||||
2021-6, 1.630%, 10/25/2066 (b)(d) | 595,682 | 491,157 | |||||
2022-7, 5.152%, 07/25/2067 (b) | 900,480 | 889,606 | |||||
TOTAL ASSET BACKED SECURITIES (Cost $35,760,933) | 33,419,498 | ||||||
CORPORATE BONDS - 29.36% | |||||||
Automobiles & Components - 0.71% | |||||||
Ford Motor Co. | |||||||
4.750%, 01/15/2043 | 90,000 | 66,437 | |||||
Ford Motor Credit Co. LLC | |||||||
5.113%, 05/03/2029 | 310,000 | 284,108 | |||||
General Motors Co. | |||||||
6.125%, 10/01/2025 | 1,248,000 | 1,266,966 | |||||
General Motors Financial Co., Inc. | |||||||
5.100%, 01/17/2024 | 320,000 | 319,070 | |||||
3.600%, 06/21/2030 | 605,000 | 524,511 | |||||
Goodyear Tire & Rubber Co. | |||||||
5.250%, 04/30/2031 | 125,000 | 109,957 | |||||
2,571,049 | |||||||
Banks - 3.90% | |||||||
Bank of America Corp. | |||||||
3.875%, 08/01/2025 | 480,000 | 468,525 | |||||
3.559% to 04/23/2026, then TSFR3M + 1.322%, 04/23/2027 (a) | 1,610,000 | 1,528,960 | |||||
2.884% to 10/22/2029, then TSFR3M + 1.452%, 10/22/2030 (a) | 743,000 | 641,521 | |||||
1.922% to 10/24/2030, then SOFR + 1.370%, 10/24/2031 (a) | 2,430,000 | 1,920,912 | |||||
Citigroup, Inc. | |||||||
3.200%, 10/21/2026 | 1,121,000 | 1,053,835 | |||||
3.887% to 01/10/2027, then TSFR3M + 1.825%, 01/10/2028 (a) | 835,000 | 795,348 | |||||
2.976% to 11/05/2029, then SOFR + 1.422%, 11/05/2030 (a) | 495,000 | 429,360 | |||||
6.174% to 05/25/2033, then SOFR + 2.661%, 05/25/2034 (a) | 560,000 | 568,077 | |||||
JPMorgan Chase & Co. | |||||||
2.950%, 10/01/2026 | 1,667,000 | 1,572,916 | |||||
Wells Fargo & Co. | |||||||
2.406% to 10/30/2024, then TSFR3M + 1.087%, 10/30/2025 (a) | 900,000 | 859,104 | |||||
2.393% to 06/02/2027, then SOFR + 2.100%, 06/02/2028 (a) | 1,020,000 | 912,949 | |||||
4.150%, 01/24/2029 | 1,581,000 | 1,499,866 | |||||
5.389% to 04/24/2033, then SOFR + 2.020%, 04/24/2034 (a) | 1,445,000 | 1,444,946 | |||||
5.013% to 04/04/2050, then TSFR3M + 4.502%, 04/04/2051 (a) | 365,000 | 332,852 | |||||
14,029,171 | |||||||
Capital Goods - 1.48% | |||||||
Boeing Co. | |||||||
4.875%, 05/01/2025 | 1,181,000 | 1,169,863 | |||||
3.900%, 05/01/2049 | 160,000 | 119,930 | |||||
5.805%, 05/01/2050 | 1,273,000 | 1,244,789 | |||||
Deere & Co. | |||||||
5.375%, 10/16/2029 | 999,000 | 1,044,968 | |||||
Honeywell International, Inc. | |||||||
5.000%, 02/15/2033 (f) | 905,000 | 931,946 | |||||
Raytheon Technologies Corp. | |||||||
7.500%, 09/15/2029 | 467,000 | 532,809 | |||||
TransDigm, Inc. | |||||||
6.250%, 03/15/2026 (b) | 275,000 | 273,403 | |||||
5,317,708 | |||||||
Commercial & Professional Services - 0.29% | |||||||
ASGN, Inc. | |||||||
4.625%, 05/15/2028 (b) | 350,000 | 315,894 | |||||
Harsco Corp. | |||||||
5.750%, 07/31/2027 (b) | 165,000 | 142,837 | |||||
Korn Ferry | |||||||
4.625%, 12/15/2027 (b) | 100,000 | 94,854 | |||||
Waste Management, Inc. | |||||||
4.150%, 04/15/2032 (f) | 503,000 | 483,910 | |||||
1,037,495 | |||||||
Consumer Discretionary Distribution & Retail - 0.47% | |||||||
Amazon.com, Inc. | |||||||
3.800%, 12/05/2024 | 1,038,000 | 1,022,155 | |||||
eBay, Inc. | |||||||
2.600%, 05/10/2031 (f) | 790,000 | 662,981 | |||||
1,685,136 | |||||||
Consumer Durables & Apparel - 0.02% | |||||||
Shea Homes LP / Shea Homes Funding Corp. | |||||||
4.750%, 02/15/2028 | 75,000 | 65,876 | |||||
Consumer Services - 0.90% | |||||||
Booking Holdings, Inc. | |||||||
3.550%, 03/15/2028 | 1,100,000 | 1,050,784 | |||||
McDonald's Corp. | |||||||
3.500%, 07/01/2027 | 1,623,000 | 1,560,607 | |||||
Prime Security Services Borrower LLC / Prime Finance, Inc. | |||||||
5.750%, 04/15/2026 (b) | 230,000 | 225,338 | |||||
Wyndham Hotels & Resorts, Inc. | |||||||
4.375%, 08/15/2028 (b) | 165,000 | 151,604 | |||||
Wynn Las Vegas LLC | |||||||
5.500%, 03/01/2025 (b) | 125,000 | 122,668 | |||||
Yum! Brands, Inc. | |||||||
5.375%, 04/01/2032 | 155,000 | 146,968 | |||||
3,257,969 | |||||||
Consumer Staples Distribution & Retail - 0.29% | |||||||
Walmart, Inc. | |||||||
4.150%, 09/09/2032 | 392,000 | 389,025 | |||||
4.500%, 04/15/2053 | 673,000 | 644,279 | |||||
1,033,304 | |||||||
Energy - 3.10% | |||||||
BP Capital Markets America, Inc. | |||||||
4.812%, 02/13/2033 (f) | 595,000 | 588,519 | |||||
4.893%, 09/11/2033 | 685,000 | 680,538 | |||||
Buckeye Partners LP | |||||||
3.950%, 12/01/2026 | 75,000 | 66,969 | |||||
CQP Holdco LP / BIP-V Chinook Holdco LLC | |||||||
5.500%, 06/15/2031 (b) | 155,000 | 138,325 | |||||
Diamondback Energy, Inc. | |||||||
3.125%, 03/24/2031 (f) | 1,130,000 | 963,622 | |||||
6.250%, 03/15/2033 | 580,000 | 602,909 | |||||
DT Midstream, Inc. | |||||||
4.125%, 06/15/2029 (b) | 125,000 | 108,565 | |||||
Energy Transfer LP | |||||||
7.125% to 05/15/2030, then 5 Year CMT Rate + 5.306% (a)(h) | 910,000 | 767,131 | |||||
6.625% to 02/15/2028, then 3 Month LIBOR USD + 4.155% (a)(f)(h) | 675,000 | 520,594 | |||||
EQM Midstream Partners LP | |||||||
5.500%, 07/15/2028 | 350,000 | 328,715 | |||||
Kinder Morgan Energy Partners LP | |||||||
4.150%, 02/01/2024 | 650,000 | 642,564 | |||||
Kinder Morgan, Inc. | |||||||
5.550%, 06/01/2045 | 1,505,000 | 1,365,390 | |||||
Marathon Petroleum Corp. | |||||||
4.700%, 05/01/2025 | 665,000 | 656,971 | |||||
MPLX LP | |||||||
4.700%, 04/15/2048 | 700,000 | 560,400 | |||||
5.650%, 03/01/2053 | 430,000 | 392,096 | |||||
New Fortress Energy, Inc. | |||||||
6.500%, 09/30/2026 (b) | 95,000 | 84,287 | |||||
Occidental Petroleum Corp. | |||||||
4.300%, 08/15/2039 | 260,000 | 204,966 | |||||
Phillips 66 | |||||||
1.300%, 02/15/2026 | 1,110,000 | 1,008,668 | |||||
Plains All American Pipeline LP / PAA Finance Corp. | |||||||
4.650%, 10/15/2025 | 670,000 | 659,096 | |||||
Pioneer Natural Resources Co. | |||||||
2.150%, 01/15/2031 | 687,000 | 561,747 | |||||
Hilcorp Energy I LP / Hilcorp Finance Co. | |||||||
6.250%, 11/01/2028 (b) | 160,000 | 149,684 | |||||
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp. | |||||||
6.000%, 09/01/2031 (b) | 110,000 | 93,675 | |||||
11,145,431 | |||||||
Equity Real Estate Investment Trusts (REITs) - 0.82% | |||||||
Iron Mountain, Inc. | |||||||
5.250%, 03/15/2028 (b) | 45,000 | 42,165 | |||||
4.875%, 09/15/2029 (b) | 240,000 | 214,395 | |||||
5.250%, 07/15/2030 (b) | 150,000 | 134,571 | |||||
Public Storage | |||||||
2.300%, 05/01/2031 (f) | 3,068,000 | 2,574,151 | |||||
2,965,282 | |||||||
Financial Services - 1.99% | |||||||
Goldman Sachs Group, Inc. | |||||||
3.800%, 03/15/2030 (f) | 1,459,000 | 1,353,504 | |||||
Morgan Stanley | |||||||
0.791% to 01/22/2024, then SOFR + 0.509%, 01/22/2025 (a)(f) | 1,300,000 | 1,258,217 | |||||
6.250%, 08/09/2026 | 449,000 | 462,829 | |||||
3.591% (3 Month LIBOR USD + 1.340%), 07/22/2028 (a) | 1,625,000 | 1,516,776 | |||||
2.699% to 01/22/2030, then SOFR + 1.143%, 01/22/2031 (a) | 1,190,000 | 1,017,664 | |||||
5.250% to 04/21/2033, then SOFR + 1.870%, 04/21/2034 (a) | 1,340,000 | 1,330,961 | |||||
OneMain Finance Corp. | |||||||
3.500%, 01/15/2027 | 255,000 | 212,299 | |||||
7,152,250 | |||||||
Food, Beverage & Tobacco - 1.90% | |||||||
Anheuser-Busch InBev Worldwide, Inc. | |||||||
4.350%, 06/01/2040 | 866,000 | 794,039 | |||||
4.600%, 04/15/2048 | 453,000 | 415,615 | |||||
4.750%, 04/15/2058 | 440,000 | 404,909 | |||||
Aramark Services, Inc. | |||||||
5.000%, 02/01/2028 (b) | 235,000 | 222,339 | |||||
Mars, Inc. | |||||||
4.750%, 04/20/2033 (b) | 1,235,000 | 1,226,461 | |||||
Molson Coors Beverage Co. | |||||||
4.200%, 07/15/2046 | 1,280,000 | 1,033,737 | |||||
Performance Food Group, Inc. | |||||||
5.500%, 10/15/2027 (b) | 90,000 | 86,669 | |||||
Philip Morris International, Inc. | |||||||
3.125%, 08/17/2027 | 407,000 | 383,822 | |||||
5.125%, 02/15/2030 | 1,250,000 | 1,238,328 | |||||
5.750%, 11/17/2032 | 900,000 | 922,701 | |||||
Post Holdings, Inc. | |||||||
4.625%, 04/15/2030 (b) | 150,000 | 131,488 | |||||
6,860,108 | |||||||
Health Care Equipment & Services - 0.54% | |||||||
Abbott Laboratories | |||||||
3.400%, 11/30/2023 | 1,128,000 | 1,115,553 | |||||
Acadia Healthcare Co, Inc. | |||||||
5.000%, 04/15/2029 (b) | 195,000 | 179,050 | |||||
CVS Health Corp. | |||||||
4.125%, 04/01/2040 | 485,000 | 402,728 | |||||
Tenet Healthcare Corp. | |||||||
6.125%, 10/01/2028 (f) | 265,000 | 251,415 | |||||
1,948,746 | |||||||
Household & Personal Products - 0.13% | |||||||
Energizer Holdings, Inc. | |||||||
4.375%, 03/31/2029 (b) | 250,000 | 214,250 | |||||
Procter & Gamble Co. | |||||||
2.300%, 02/01/2032 | 297,000 | 260,579 | |||||
474,829 | |||||||
Insurance - 0.63% | |||||||
MetLife, Inc. | |||||||
6.500%, 12/15/2032 (f) | 1,755,000 | 1,939,786 | |||||
Travelers Cos, Inc. | |||||||
5.450%, 05/25/2053 | 310,000 | 317,267 | |||||
2,257,053 | |||||||
Materials - 0.10% | |||||||
Standard Industries, Inc. | |||||||
4.750%, 01/15/2028 (b) | 130,000 | 118,789 | |||||
Univar Solutions USA, Inc. | |||||||
5.125%, 12/01/2027 (b) | 250,000 | 251,371 | |||||
370,160 | |||||||
Media & Entertainment - 3.17% | |||||||
AMC Networks, Inc. | |||||||
4.250%, 02/15/2029 | 100,000 | 57,139 | |||||
CCO Holdings LLC / CCO Holdings Capital Corp. | |||||||
4.250%, 02/01/2031 (b) | 298,000 | 239,003 | |||||
Charter Communications Operating LLC / Charter Communications Operating Capital | |||||||
5.500%, 04/01/2063 | 665,000 | 513,717 | |||||
Comcast Corp. | |||||||
4.150%, 10/15/2028 | 1,727,000 | 1,686,003 | |||||
5.350%, 05/15/2053 | 1,175,000 | 1,165,145 | |||||
CSC Holdings LLC | |||||||
4.625%, 12/01/2030 (b) | 435,000 | 186,336 | |||||
DISH DBS Corp. | |||||||
5.875%, 11/15/2024 | 110,000 | 94,448 | |||||
Fox Corp. | |||||||
5.576%, 01/25/2049 | 660,000 | 596,487 | |||||
Live Nation Entertainment, Inc. | |||||||
4.750%, 10/15/2027 (b) | 145,000 | 134,521 | |||||
Meta Platforms, Inc. | |||||||
4.950%, 05/15/2033 | 1,355,000 | 1,352,351 | |||||
5.750%, 05/15/2063 | 1,140,000 | 1,132,580 | |||||
Paramount Global | |||||||
4.200%, 05/19/2032 (f) | 1,760,000 | 1,475,400 | |||||
4.950%, 05/19/2050 (f) | 915,000 | 681,124 | |||||
Sirius XM Radio, Inc. | |||||||
4.125%, 07/01/2030 (b)(f) | 315,000 | 248,041 | |||||
Warnermedia Holdings, Inc. | |||||||
5.050%, 03/15/2042 | 460,000 | 372,186 | |||||
5.141%, 03/15/2052 | 1,605,000 | 1,251,531 | |||||
Ziff Davis, Inc. | |||||||
4.625%, 10/15/2030 (b) | 255,000 | 217,683 | |||||
11,403,695 | |||||||
Pharmaceuticals, Biotechnology & Life Sciences - 0.51% | |||||||
AbbVie, Inc. | |||||||
4.050%, 11/21/2039 | 235,000 | 201,450 | |||||
4.250%, 11/21/2049 | 420,000 | 355,114 | |||||
Amgen, Inc. | |||||||
5.750%, 03/02/2063 | 835,000 | 829,760 | |||||
Biogen, Inc. | |||||||
2.250%, 05/01/2030 | 276,000 | 231,541 | |||||
Bristol-Myers Squibb Co. | |||||||
3.550%, 03/15/2042 | 260,000 | 213,243 | |||||
1,831,108 | |||||||
Real Estate Management & Development - 0.10% | |||||||
Park Intermediate Holdings LLC / PK Domestic Property LLC | |||||||
5.875%, 10/01/2028 (b) | 195,000 | 178,425 | |||||
RHP Hotel Properties LP / RHP Finance Corp. | |||||||
4.750%, 10/15/2027 | 205,000 | 190,180 | |||||
368,605 | |||||||
Semiconductors & Semiconductor Equipment - 1.01% | |||||||
Intel Corp. | |||||||
3.750%, 03/25/2027 | 1,157,000 | 1,123,964 | |||||
Marvell Technology, Inc. | |||||||
2.950%, 04/15/2031 | 891,000 | 747,283 | |||||
Microchip Technology, Inc. | |||||||
4.333%, 06/01/2023 | 595,000 | 595,000 | |||||
QUALCOMM, Inc. | |||||||
5.400%, 05/20/2033 | 226,000 | 236,343 | |||||
Texas Instruments, Inc. | |||||||
5.050%, 05/18/2063 | 965,000 | 942,712 | |||||
3,645,302 | |||||||
Software & Services - 1.86% | |||||||
CommScope, Inc. | |||||||
8.250%, 03/01/2027 (b) | 377,000 | 296,240 | |||||
Microsoft Corp. | |||||||
3.125%, 11/03/2025 | 2,684,000 | 2,611,640 | |||||
MPH Acquisition Holdings LLC | |||||||
5.500%, 09/01/2028 (b)(f) | 205,000 | 163,593 | |||||
Oracle Corp. | |||||||
2.875%, 03/25/2031 | 900,000 | 766,094 | |||||
4.000%, 07/15/2046 | 530,000 | 397,117 | |||||
5.550%, 02/06/2053 (f) | 1,030,000 | 962,314 | |||||
ServiceNow, Inc. | |||||||
1.400%, 09/01/2030 | 1,894,000 | 1,507,536 | |||||
6,704,534 | |||||||
Technology Hardware & Equipment - 1.28% | |||||||
Apple, Inc. | |||||||
1.800%, 09/11/2024 (f) | 2,818,000 | 2,720,858 | |||||
CDW LLC / CDW Finance Corp. | |||||||
2.670%, 12/01/2026 | 283,000 | 253,508 | |||||
3.569%, 12/01/2031 | 530,000 | 442,799 | |||||
Dell International LLC / EMC Corp. | |||||||
6.200%, 07/15/2030 (f) | 980,000 | 1,023,709 | |||||
Presidio Holdings, Inc. | |||||||
4.875%, 02/01/2027 (b) | 185,000 | 173,163 | |||||
4,614,037 | |||||||
Telecommunication Services - 1.82% | |||||||
AT&T, Inc. | |||||||
2.550%, 12/01/2033 | 945,000 | 742,750 | |||||
3.650%, 06/01/2051 | 725,000 | 524,885 | |||||
3.500%, 09/15/2053 | 230,000 | 159,628 | |||||
3.550%, 09/15/2055 | 159,000 | 109,142 | |||||
Frontier Communications Holdings LLC | |||||||
5.875%, 10/15/2027 (b)(f) | 235,000 | 209,679 | |||||
Sprint Capital Corp. | |||||||
8.750%, 03/15/2032 | 1,275,000 | 1,548,370 | |||||
T-Mobile USA, Inc. | |||||||
2.875%, 02/15/2031 | 125,000 | 106,859 | |||||
4.375%, 04/15/2040 | 475,000 | 416,936 | |||||
3.000%, 02/15/2041 | 1,021,000 | 737,378 | |||||
4.500%, 04/15/2050 | 560,000 | 476,539 | |||||
3.300%, 02/15/2051 | 305,000 | 210,493 | |||||
Verizon Communications, Inc. | |||||||
4.329%, 09/21/2028 | 359,000 | 349,579 | |||||
4.016%, 12/03/2029 | 345,000 | 325,326 | |||||
2.355%, 03/15/2032 | 815,000 | 657,091 | |||||
6,574,655 | |||||||
Transportation - 0.47% | |||||||
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd. | |||||||
6.500%, 06/20/2027 (b) | 170,000 | 169,876 | |||||
Southwest Airlines Co. | |||||||
5.250%, 05/04/2025 | 690,000 | 687,726 | |||||
United Airlines Pass Through Trust | |||||||
5.875%, 10/15/2027 | 840,859 | 832,011 | |||||
1,689,613 | |||||||
Utilities - 1.87% | |||||||
Calpine Corp. | |||||||
4.500%, 02/15/2028 (b) | 310,000 | 282,710 | |||||
Dominion Energy, Inc. | |||||||
4.350%, 08/15/2032 (f) | 978,000 | 920,584 | |||||
5.375%, 11/15/2032 (f) | 990,000 | 994,162 | |||||
DTE Energy Co. | |||||||
3.400%, 06/15/2029 | 527,000 | 479,125 | |||||
Exelon Corp. | |||||||
5.300%, 03/15/2033 | 1,410,000 | 1,420,544 | |||||
4.700%, 04/15/2050 | 410,000 | 356,081 | |||||
NextEra Energy Capital Holdings, Inc. | |||||||
5.250%, 02/28/2053 | 625,000 | 590,362 | |||||
Southern Co. | |||||||
2.950%, 07/01/2023 (f) | 273,000 | 272,206 | |||||
5.200%, 06/15/2033 | 1,190,000 | 1,177,653 | |||||
Vistra Operations Co. LLC | |||||||
4.375%, 05/01/2029 (b) | 265,000 | 231,171 | |||||
6,724,598 | |||||||
TOTAL CORPORATE BONDS (Cost $115,640,297) | 105,727,714 | ||||||
FOREIGN CORPORATE BONDS - 1.74% | |||||||
Banks - 0.42% | |||||||
HSBC Holdings PLC | |||||||
6.000% to 05/22/2027, then 5 Year Mid Swap Rate USD + 3.746% (a)(h) | 910,000 | 809,302 | |||||
International Bank for Reconstruction & Development | |||||||
3.875%, 02/14/2030 | 695,000 | 695,873 | |||||
1,505,175 | |||||||
Consumer Services - 0.17% | |||||||
Carnival Corp. | |||||||
10.500%, 02/01/2026 (b) | 95,000 | 98,812 | |||||
7.625%, 03/01/2026 (b)(f) | 340,000 | 322,678 | |||||
Royal Caribbean Cruises Ltd. | |||||||
5.500%, 04/01/2028 (b) | 205,000 | 188,815 | |||||
610,305 | |||||||
Materials - 0.08% | |||||||
Hudbay Minerals, Inc. | |||||||
6.125%, 04/01/2029 (b)(f) | 125,000 | 112,423 | |||||
NOVA Chemicals Corp. | |||||||
4.875%, 06/01/2024 (b) | 120,000 | 117,340 | |||||
5.250%, 06/01/2027 (b) | 75,000 | 67,918 | |||||
297,681 | |||||||
Media & Entertainment - 0.08% | |||||||
Virgin Media Vendor Financing Notes IV DAC | |||||||
5.000%, 07/15/2028 (b) | 350,000 | 304,529 | |||||
Pharmaceuticals, Biotechnology & Life Sciences -0.13% | |||||||
Pfizer Investment Enterprises Pte Ltd. | |||||||
5.340%, 05/19/2063 | 475,000 | 474,184 | |||||
Transportation - 0.86% | |||||||
American Airlines Inc/AAdvantage Loyalty IP Ltd. | |||||||
5.500%, 04/20/2026 (b) | 235,000 | 230,622 | |||||
Delta Air Lines, Inc. / SkyMiles IP Ltd. | |||||||
4.500%, 10/20/2025 (b) | 2,916,180 | 2,862,120 | |||||
3,092,742 | |||||||
TOTAL FOREIGN CORPORATE BONDS (Cost $6,712,592) | 6,284,616 | ||||||
FOREIGN GOVERNMENT AGENCY ISSUES - 1.01% | |||||||
Asian Development Bank | |||||||
3.750%, 04/25/2028 | 1,140,000 | 1,131,997 | |||||
Development Bank of Japan, Inc. | |||||||
1.000%, 08/27/2030 (b) | 260,000 | 208,160 | |||||
International Finance Corp. | |||||||
3.625%, 09/15/2025 | 660,000 | 651,048 | |||||
Kreditanstalt fuer Wiederaufbau | |||||||
3.875%, 06/15/2028 | 890,000 | 889,595 | |||||
Province of Ontario Canada | |||||||
2.125%, 01/21/2032 | 865,000 | 745,081 | |||||
TOTAL FOREIGN GOVERNMENT AGENCY ISSUES (Cost $3,808,030) | 3,625,881 | ||||||
FOREIGN GOVERNMENT NOTES/BONDS - 1.47% | |||||||
Colombia Government International Bond | |||||||
4.000%, 02/26/2024 | 590,000 | 580,243 | |||||
3.000%, 01/30/2030 (f) | 570,000 | 439,977 | |||||
Dominican Republic International Bond | |||||||
6.875%, 01/29/2026 (b) | 330,000 | 334,114 | |||||
6.850%, 01/27/2045 (b) | 560,000 | 497,772 | |||||
Hungary Government International Bond | |||||||
7.625%, 03/29/2041 | 360,000 | 399,807 | |||||
Indonesia Government International Bond | |||||||
4.350%, 01/08/2027 (b) | 550,000 | 546,409 | |||||
Mexico Government International Bond | |||||||
4.350%, 01/15/2047 | 740,000 | 583,969 | |||||
Province of Quebec Canada | |||||||
3.625%, 04/13/2028 | 1,010,000 | 989,479 | |||||
Republic of South Africa Government International Bond | |||||||
5.000%, 10/12/2046 | 150,000 | 95,962 | |||||
Romanian Government International Bond | |||||||
6.125%, 01/22/2044 (b) | 505,000 | 472,227 | |||||
Saudi Government International Bond | |||||||
4.500%, 10/26/2046 (b) | 400,000 | 350,150 | |||||
TOTAL FOREIGN GOVERNMENT NOTES/BONDS (Cost $6,069,765) | 5,290,109 | ||||||
NON-AGENCY MORTGAGE BACKED SECURITIES - 6.98% | |||||||
American Tower Trust #1 | |||||||
2023-1, 5.490%, 03/15/2053 (b) | 924,000 | 941,192 | |||||
Angel Oak Mortgage Trust | |||||||
2019-6, 2.620%, 11/25/2059 (b)(d) | 71,494 | 68,913 | |||||
Bank | |||||||
2021-BNK31, 1.739%, 02/15/2054 | 454,000 | 390,985 | |||||
2022-BNK39, 2.928%, 02/15/2055 | 179,000 | 151,671 | |||||
2023-BNK45 B, 6.148%, 02/15/2056 (d) | 483,000 | 451,842 | |||||
2023-BNK45 C, 6.279%, 02/15/2056 (d) | 522,000 | 455,929 | |||||
BBCMS Mortgage Trust | |||||||
2021-C11, 1.380%, 09/15/2054 (d)(e) | 7,947,576 | 602,959 | |||||
BB-UBS Trust | |||||||
2012-SHOW, 3.430%, 11/05/2036 (b) | 1,646,000 | 1,540,285 | |||||
Benchmark Mortgage Trust | |||||||
2020-B17, 3.371%, 03/15/2053 (d) | 470,000 | 343,660 | |||||
2021-B23, 1.766%, 02/15/2054 | 612,000 | 517,155 | |||||
2021-B26, 0.885%, 06/15/2054 (d)(e) | 9,532,492 | 457,114 | |||||
2021-B31 D, 2.250%, 12/15/2054 (b) | 278,000 | 133,876 | |||||
2021-B31 C, 3.195%, 12/15/2054 (d) | 415,000 | 277,526 | |||||
BMO Mortgage Trust | |||||||
2023-C5, 6.627%, 06/15/2056 (d) | 180,000 | 171,870 | |||||
BX Commercial Mortgage Trust | |||||||
2021-VOLT, 6.757% (1 Month LIBOR USD + 1.650%), 09/15/2036 (b)(c) | 1,085,000 | 1,031,403 | |||||
2020-VIV2, 3.542%, 03/09/2044 (b)(d) | 650,000 | 541,904 | |||||
BX Trust | |||||||
2019-OC11, 3.202%, 12/09/2041 (b) | 971,000 | 847,862 | |||||
BXP Trust | |||||||
2017-GM, 3.379%, 06/13/2039 (b) | 331,000 | 298,994 | |||||
CAMB Commercial Mortgage Trust | |||||||
2019-LIFE, 6.357% (1 Month LIBOR USD + 1.250%), 12/15/2037 (b)(c) | 978,000 | 963,971 | |||||
Citigroup Commercial Mortgage Trust | |||||||
2023-SMRT, 6.048%, 06/10/2028 (b)(d) | 298,000 | 290,339 | |||||
2013-GC17, 5.095%, 11/10/2046 (d) | 145,000 | 140,991 | |||||
2014-GC25, 0.942%, 10/10/2047 (d)(e) | 1,268,882 | 10,990 | |||||
2015-GC27, 1.305%, 02/10/2048 (d)(e) | 890,144 | 13,690 | |||||
2022-GC48, 4.580%, 05/15/2054 (d) | 619,207 | 592,654 | |||||
COMM Mortgage Trust | |||||||
2012-CCRE4, 3.251%, 10/15/2045 | 476,000 | 426,290 | |||||
2014-UBS2, 3.472%, 03/10/2047 | 110,952 | 109,524 | |||||
2014-CR16, 0.933%, 04/10/2047 (d)(e) | 1,200,298 | 6,309 | |||||
2014-LC15, 1.041%, 04/10/2047 (d)(e) | 1,166,478 | 4,877 | |||||
2014-CR17, 0.945%, 05/10/2047 (d)(e) | 1,017,443 | 5,138 | |||||
2014-UBS3, 1.049%, 06/10/2047 (d)(e) | 848,203 | 4,770 | |||||
2014-UBS6, 0.833%, 12/10/2047 (d)(e) | 1,379,673 | 12,130 | |||||
2014-CCRE21, 3.987%, 12/10/2047 | 281,514 | 268,349 | |||||
Connecticut Avenue Securities Trust | |||||||
2021-R01, 6.523% (SOFR30A + 1.550%), 10/25/2041 (b)(c) | 480,000 | 469,491 | |||||
2022-R01, 6.873% (SOFR30A + 1.900%), 12/25/2041 (b)(c) | 915,000 | 891,585 | |||||
2022-R03, 8.473% (SOFR30A + 3.500%), 03/25/2042 (b)(c) | 1,065,000 | 1,090,102 | |||||
2022-R07 1M1, 7.931% (SOFR30A + 2.950%), 06/25/2042 (b)(c) | 545,417 | 559,053 | |||||
2022-R07 1M2, 9.631% (SOFR30A + 4.650%), 06/25/2042 (b)(c) | 1,005,000 | 1,059,242 | |||||
2022-R08, 7.523% (SOFR30A + 2.550%), 07/25/2042 (b)(c) | 961,215 | 972,668 | |||||
2023-R02, 7.273% (SOFR30A + 2.300%), 01/25/2043 (b)(c) | 708,791 | 713,817 | |||||
Credit Suisse Mortgage Capital Certificates | |||||||
2019-ICE4, 6.537% (1 Month LIBOR USD + 1.430%), 05/15/2036 (b)(c) | 132,670 | 131,454 | |||||
CSAIL Commercial Mortgage Trust | |||||||
2019-C17, 3.016%, 09/15/2029 | 850,000 | 743,382 | |||||
2015-C1, 4.044%, 04/15/2050 (d) | 450,000 | 397,322 | |||||
2015-C2, 0.714%, 06/15/2057 (d)(e) | 1,392,468 | 13,635 | |||||
FIVE Mortgage Trust | |||||||
2023-V1, 6.405%, 02/10/2056 (d) | 315,000 | 292,684 | |||||
GS Mortgage Securities Trust | |||||||
2014-GC18, 1.017%, 01/10/2047 (d)(e) | 3,146,717 | 8,400 | |||||
2014-GC26, 0.915%, 11/10/2047 (d)(e) | 1,695,518 | 16,737 | |||||
2015-GC34, 3.278%, 10/10/2048 | 62,068 | 59,772 | |||||
2019-GC42, 3.692%, 09/10/2052 (d) | 449,000 | 346,388 | |||||
2020-GC47, 2.377%, 05/12/2053 | 73,000 | 60,501 | |||||
Hilton USA Trust | |||||||
2016-HHV, 3.719%, 11/05/2038 (b) | 283,000 | 265,339 | |||||
J.P. Morgan Chase Commercial Mortgage Securities Trust | |||||||
2022-OPO, 3.377%, 01/05/2039 (b) | 501,000 | 406,116 | |||||
Morgan Stanley Capital I Trust | |||||||
2015-MS1, 3.779%, 05/15/2048 (d) | 200,000 | 190,991 | |||||
2018-L1, 4.719%, 10/15/2051 (d) | 325,000 | 291,211 | |||||
2018-H4, 5.070%, 12/15/2051 (d) | 293,000 | 249,376 | |||||
New Residential Mortgage Loan Trust | |||||||
2019-NQM5, 2.710%, 11/25/2059 (b)(d) | 141,652 | 127,861 | |||||
OBX Trust | |||||||
2021-NQM3, 1.054%, 07/25/2061 (b)(d) | 762,973 | 586,474 | |||||
Taubman Centers Commercial Mortgage Trust | |||||||
2022-DPM, 7.991% (TSFR1M + 2.932%), 05/15/2037 (b)(c) | 1,045,000 | 1,015,925 | |||||
UBS Commercial Mortgage Trust | |||||||
2017-C2, 3.487%, 08/15/2050 | 625,000 | 577,424 | |||||
2017-C4 AS, 3.836%, 10/15/2050 (d) | 200,000 | 182,319 | |||||
Verus Securitization Trust | |||||||
2019-4, 2.642%, 10/25/2059 (b) | 39,268 | 37,795 | |||||
Wells Fargo Commercial Mortgage Trust | |||||||
2015-C29, 3.637%, 06/15/2048 | 130,000 | 124,244 | |||||
2016-NXS6, 4.387%, 11/15/2049 (d) | 625,000 | 541,396 | |||||
2018-C48, 4.302%, 01/15/2052 | 333,945 | 318,199 | |||||
WFRBS Commercial Mortgage Trust | |||||||
2014-LC14, 1.230%, 03/15/2047 (d)(e) | 631,726 | 2,114 | |||||
2014-C22 XA, 0.779%, 09/15/2057 (d)(e) | 2,766,712 | 17,854 | |||||
2014-C22 AS, 4.069%, 09/15/2057 (d) | 290,000 | 272,992 | |||||
TOTAL NON-AGENCY MORTGAGE BACKED SECURITIES (Cost $28,351,316) | 25,109,025 | ||||||
AGENCY MORTGAGE BACKED SECURITIES - 30.43% | |||||||
Fannie Mae Connecticut Avenue Securities | |||||||
2017-C06, 7.938% (1 Month LIBOR USD + 2.800%), 02/25/2030 (c) | 1,021,015 | 1,044,805 | |||||
2017-C07 1M2, 7.538% (1 Month LIBOR USD + 2.400%), 05/25/2030 (c) | 474,351 | 480,889 | |||||
2018-C01, 7.388% (1 Month LIBOR USD + 2.250%), 07/25/2030 (c) | 1,043,749 | 1,052,341 | |||||
2018-C02, 7.338% (1 Month LIBOR USD + 2.200%), 08/25/2030 (c) | 1,010,956 | 1,031,975 | |||||
2018-C04, 7.688% (1 Month LIBOR USD + 2.550%), 12/25/2030 (c) | 875,877 | 894,963 | |||||
Fannie Mae Interest Strip | |||||||
#TBA, 4.000%, 08/25/2043 (e) | 1,235,667 | 229,586 | |||||
Fannie Mae or Freddie Mac | |||||||
#TBA, 5.500%, 06/01/2037 | 1,275,000 | 1,273,705 | |||||
Fannie Mae Pool | |||||||
MA0096, 4.500%, 06/01/2029 | 2,573 | 2,540 | |||||
AB3000, 4.500%, 05/01/2031 | 7,764 | 7,665 | |||||
AB1389, 4.500%, 08/01/2040 | 23,773 | 23,614 | |||||
MA0510, 4.500%, 09/01/2040 | 249 | 247 | |||||
AE8714, 3.500%, 11/01/2040 | 9,209 | 8,693 | |||||
890310, 4.500%, 12/01/2040 | 5,699 | 5,661 | |||||
AE0954, 4.500%, 02/01/2041 | 19,802 | 19,669 | |||||
AS7001, 3.000%, 04/01/2041 | 487,311 | 443,396 | |||||
AL0065, 4.500%, 04/01/2041 | 9,475 | 9,412 | |||||
AB3194, 4.500%, 06/01/2041 | 6,488 | 6,445 | |||||
AH7395, 4.500%, 06/01/2041 | 821 | 800 | |||||
FM0040, 3.000%, 10/01/2041 | 89,962 | 81,855 | |||||
AL1547, 4.500%, 11/01/2041 | 3,783 | 3,758 | |||||
AJ6346, 3.500%, 12/01/2041 | 15,519 | 14,640 | |||||
AJ9278, 3.500%, 12/01/2041 | 4,750 | 4,481 | |||||
AK6568, 3.500%, 04/01/2042 | 19,242 | 18,152 | |||||
AK9393, 3.500%, 04/01/2042 | 9,549 | 9,008 | |||||
AO1214, 3.500%, 04/01/2042 | 52,737 | 49,751 | |||||
AL4029, 4.500%, 04/01/2042 | 27,700 | 27,515 | |||||
AL7306, 4.500%, 09/01/2042 | 16,307 | 16,038 | |||||
AP8743, 3.500%, 10/01/2042 | 147,750 | 139,375 | |||||
AQ9330, 3.500%, 01/01/2043 | 18,899 | 17,825 | |||||
AL2897, 3.500%, 01/01/2043 | 21,221 | 20,015 | |||||
AL3714, 3.500%, 01/01/2043 | 14,261 | 13,449 | |||||
AB7965, 3.500%, 02/01/2043 | 12,261 | 11,563 | |||||
AB9046, 3.500%, 04/01/2043 | 36,818 | 34,724 | |||||
AT2021, 3.500%, 04/01/2043 | 12,695 | 11,976 | |||||
AT1001, 3.500%, 04/01/2043 | 14,400 | 13,576 | |||||
AB9260, 3.500%, 05/01/2043 | 33,694 | 31,733 | |||||
AU0949, 3.500%, 08/01/2043 | 29,374 | 27,710 | |||||
AS0212, 3.500%, 08/01/2043 | 32,953 | 31,049 | |||||
AU4658, 4.500%, 09/01/2043 | 5,464 | 5,368 | |||||
MA1600, 3.500%, 10/01/2043 | 14,283 | 13,451 | |||||
AS1333, 4.500%, 12/01/2043 | 9,474 | 9,352 | |||||
AL4450, 4.500%, 12/01/2043 | 11,130 | 10,992 | |||||
AS2516, 4.500%, 05/01/2044 | 11,837 | 11,685 | |||||
AS2751, 4.500%, 06/01/2044 | 14,385 | 14,200 | |||||
MA1926, 4.500%, 06/01/2044 | 11,998 | 11,844 | |||||
AL6223, 4.500%, 08/01/2044 | 13,431 | 13,259 | |||||
AZ0814, 3.500%, 07/01/2045 | 25,364 | 23,699 | |||||
AZ0862, 3.500%, 07/01/2045 | 43,319 | 40,476 | |||||
BM1953, 3.500%, 08/01/2045 | 53,671 | 50,628 | |||||
AZ4775, 3.500%, 10/01/2045 | 10,784 | 10,070 | |||||
CA2929, 3.500%, 12/01/2045 | 89,942 | 83,956 | |||||
AS6311, 3.500%, 12/01/2045 | 15,678 | 14,634 | |||||
AS6464, 3.500%, 01/01/2046 | 21,266 | 19,850 | |||||
BC4114, 3.500%, 02/01/2046 | 128,613 | 120,051 | |||||
AL8219, 4.000%, 02/01/2046 | 181,457 | 175,821 | |||||
AL8387, 4.000%, 03/01/2046 | 455,765 | 439,051 | |||||
FM1370, 3.000%, 04/01/2046 | 31,694 | 28,836 | |||||
BC0793, 3.500%, 04/01/2046 | 106,483 | 99,599 | |||||
AS7200, 4.500%, 05/01/2046 | 6,371 | 6,282 | |||||
AS7388, 3.500%, 06/01/2046 | 444,020 | 416,036 | |||||
AS7580, 3.000%, 07/01/2046 | 99,845 | 90,591 | |||||
AS7801, 3.500%, 08/01/2046 | 92,623 | 86,255 | |||||
MA2737, 3.000%, 09/01/2046 | 559,558 | 507,293 | |||||
AS8056, 3.000%, 10/01/2046 | 55,413 | 50,197 | |||||
MA2771, 3.000%, 10/01/2046 | 84,498 | 76,575 | |||||
BM3932, 3.500%, 10/01/2046 | 77,065 | 71,934 | |||||
AS8269, 3.000%, 11/01/2046 | 71,218 | 64,489 | |||||
AS8700, 4.500%, 01/01/2047 | 22,627 | 22,310 | |||||
MA2872, 4.500%, 01/01/2047 | 58,567 | 57,664 | |||||
AL9879, 3.500%, 02/01/2047 | 1,332,094 | 1,241,351 | |||||
BE5475, 3.500%, 02/01/2047 | 36,687 | 34,089 | |||||
FM4894, 4.000%, 03/01/2047 | 424,801 | 408,666 | |||||
AS8982, 4.500%, 03/01/2047 | 7,460 | 7,346 | |||||
FM1000, 3.000%, 04/01/2047 | 201,105 | 181,686 | |||||
CA5843, 3.000%, 04/01/2047 | 111,980 | 101,524 | |||||
MA2959, 3.500%, 04/01/2047 | 76,216 | 70,552 | |||||
BM5347, 3.500%, 05/01/2047 | 86,676 | 80,798 | |||||
BM5784, 3.500%, 05/01/2047 | 93,389 | 87,085 | |||||
AS9536, 3.500%, 05/01/2047 | 38,694 | 35,998 | |||||
BM5348, 3.500%, 05/01/2047 | 43,754 | 40,760 | |||||
MA3008, 4.500%, 05/01/2047 | 15,348 | 14,993 | |||||
AS9829, 3.500%, 06/01/2047 | 35,331 | 32,844 | |||||
BE3702, 4.000%, 06/01/2047 | 45,740 | 43,607 | |||||
AS9831, 4.000%, 06/01/2047 | 50,918 | 48,700 | |||||
BM5179, 3.000%, 07/01/2047 | 64,837 | 58,874 | |||||
BE3767, 3.500%, 07/01/2047 | 44,462 | 41,351 | |||||
CA0062, 4.000%, 07/01/2047 | 38,936 | 37,252 | |||||
MA3121, 4.000%, 09/01/2047 | 478,156 | 456,341 | |||||
FM4019, 3.500%, 10/01/2047 | 405,574 | 377,530 | |||||
CA0559, 4.500%, 10/01/2047 | 48,732 | 47,992 | |||||
FM1467, 3.000%, 12/01/2047 | 63,445 | 58,062 | |||||
BH7058, 3.500%, 12/01/2047 | 112,955 | 104,762 | |||||
MA3210, 3.500%, 12/01/2047 | 104,440 | 97,195 | |||||
FM2897, 3.000%, 02/01/2048 | 199,839 | 181,434 | |||||
CA4140, 3.000%, 02/01/2048 | 62,502 | 56,398 | |||||
BJ8783, 3.500%, 02/01/2048 | 67,106 | 62,319 | |||||
CA1535, 3.500%, 02/01/2048 | 21,566 | 20,032 | |||||
CA1218, 4.500%, 02/01/2048 | 34,196 | 33,486 | |||||
MA3278, 4.500%, 02/01/2048 | 203,769 | 199,802 | |||||
FM5923, 3.500%, 03/01/2048 | 548,537 | 509,627 | |||||
BJ0648, 3.500%, 03/01/2048 | 43,992 | 40,864 | |||||
BJ0650, 3.500%, 03/01/2048 | 47,084 | 43,736 | |||||
BM3590, 3.500%, 03/01/2048 | 81,420 | 75,627 | |||||
BM3900, 4.000%, 04/01/2048 | 84,090 | 80,311 | |||||
CA1710, 4.500%, 05/01/2048 | 59,468 | 58,402 | |||||
FM1572, 3.000%, 09/01/2048 | 201,626 | 182,894 | |||||
FM2385, 3.000%, 09/01/2048 | 121,741 | 109,839 | |||||
FM2915, 3.000%, 11/01/2048 | 437,982 | 399,783 | |||||
BM5024, 3.000%, 11/01/2048 | 53,453 | 48,167 | |||||
FM5108, 3.500%, 11/01/2048 | 576,252 | 536,996 | |||||
FM1239, 3.500%, 11/01/2048 | 70,942 | 65,881 | |||||
FM2239, 3.000%, 12/01/2048 | 108,033 | 97,708 | |||||
CA2922, 3.000%, 12/01/2048 | 171,001 | 153,878 | |||||
FM1051, 4.500%, 05/01/2049 | 141,249 | 138,893 | |||||
FM4895, 4.000%, 06/01/2049 | 362,998 | 347,186 | |||||
CA3683, 4.500%, 06/01/2049 | 51,399 | 50,504 | |||||
BO2201, 3.000%, 09/01/2049 | 149,493 | 133,456 | |||||
CA4571, 4.000%, 11/01/2049 | 352,910 | 336,159 | |||||
BO6164, 3.000%, 01/01/2050 | 66,848 | 59,780 | |||||
BO8947, 3.000%, 01/01/2050 | 79,898 | 71,524 | |||||
FM3619, 4.500%, 01/01/2050 | 90,879 | 88,479 | |||||
BP2099, 3.000%, 02/01/2050 | 336,338 | 300,778 | |||||
BP1424, 3.000%, 03/01/2050 | 117,496 | 104,770 | |||||
FM7592, 3.500%, 03/01/2050 | 561,169 | 520,482 | |||||
CA5519, 3.000%, 04/01/2050 | 72,006 | 64,318 | |||||
FM4334, 3.000%, 04/01/2050 | 168,345 | 150,811 | |||||
CA5559, 3.500%, 04/01/2050 | 548,083 | 507,643 | |||||
CA5668, 3.000%, 05/01/2050 | 276,540 | 247,014 | |||||
CA6086, 3.000%, 06/01/2050 | 1,100,712 | 986,253 | |||||
BP6466, 3.000%, 07/01/2050 | 179,119 | 159,856 | |||||
BP6481, 4.500%, 07/01/2050 | 34,483 | 33,690 | |||||
BQ0239, 2.500%, 08/01/2050 | 183,073 | 158,420 | |||||
BP6716, 2.500%, 09/01/2050 | 332,841 | 286,119 | |||||
BK3044, 2.500%, 09/01/2050 | 318,464 | 273,792 | |||||
MA4121, 3.000%, 09/01/2050 | 535,086 | 479,705 | |||||
FM9143, 4.500%, 09/01/2050 | 126,322 | 123,931 | |||||
MA4160, 3.000%, 10/01/2050 | 451,907 | 403,191 | |||||
FM7475, 4.500%, 10/01/2050 | 21,101 | 20,729 | |||||
MA4170, 4.500%, 10/01/2050 | 262,013 | 256,287 | |||||
MA4208, 2.000%, 12/01/2050 | 2,350,624 | 1,943,986 | |||||
FM5316, 2.000%, 12/01/2050 | 184,364 | 152,432 | |||||
BR1269, 2.500%, 01/01/2051 | 724,730 | 627,111 | |||||
MA4256, 2.500%, 02/01/2051 | 660,537 | 567,231 | |||||
MA4282, 2.500%, 03/01/2051 | 421,054 | 361,970 | |||||
BR7795, 2.500%, 04/01/2051 | 670,820 | 575,507 | |||||
MA4306, 2.500%, 04/01/2051 | 271,837 | 233,257 | |||||
MA4325, 2.000%, 05/01/2051 | 683,949 | 564,475 | |||||
BT2488, 2.500%, 05/01/2051 | 426,618 | 365,770 | |||||
FM7189, 2.500%, 05/01/2051 | 480,473 | 412,206 | |||||
MA4326, 2.500%, 05/01/2051 | 449,367 | 385,635 | |||||
BT0417, 2.500%, 06/01/2051 | 289,537 | 248,247 | |||||
FM7738, 2.500%, 06/01/2051 | 481,263 | 414,132 | |||||
MA4356, 2.500%, 06/01/2051 | 895,278 | 766,131 | |||||
MA4378, 2.000%, 07/01/2051 | 645,266 | 531,698 | |||||
FS1550, 2.500%, 07/01/2051 | 338,333 | 290,882 | |||||
CB1027, 2.500%, 07/01/2051 | 257,552 | 220,679 | |||||
CB1038, 2.500%, 07/01/2051 | 315,945 | 271,932 | |||||
MA4379, 2.500%, 07/01/2051 | 352,587 | 302,306 | |||||
BT1339, 2.500%, 07/01/2051 | 749,483 | 642,207 | |||||
FM8178, 2.500%, 07/01/2051 | 791,115 | 677,852 | |||||
MA4399, 2.500%, 08/01/2051 | 2,331,538 | 1,994,471 | |||||
FM8360, 2.500%, 08/01/2051 | 351,741 | 302,055 | |||||
FM8422, 2.500%, 08/01/2051 | 741,097 | 634,916 | |||||
BT3273, 2.500%, 08/01/2051 | 768,695 | 658,475 | |||||
BT7263, 2.500%, 09/01/2051 | 450,924 | 386,368 | |||||
CB2852, 2.000%, 11/01/2051 | 1,318,477 | 1,089,092 | |||||
MA4493, 2.500%, 12/01/2051 | 428,737 | 367,043 | |||||
FS0121, 2.000%, 01/01/2052 | 551,044 | 454,639 | |||||
BV4139, 2.500%, 03/01/2052 | 203,830 | 175,051 | |||||
CB3622, 4.000%, 05/01/2052 | 471,170 | 445,649 | |||||
BU8667, 4.000%, 05/01/2052 | 548,929 | 519,632 | |||||
MA4626, 4.000%, 06/01/2052 | 684,178 | 647,045 | |||||
CB3914, 4.000%, 06/01/2052 | 516,865 | 488,865 | |||||
BV2558, 5.000%, 06/01/2052 | 639,781 | 630,645 | |||||
BV2634, 4.000%, 07/01/2052 | 512,411 | 484,440 | |||||
BW0036, 4.500%, 07/01/2052 | 397,321 | 387,788 | |||||
BV2623, 4.500%, 07/01/2052 | 259,175 | 250,725 | |||||
FS2603, 4.500%, 08/01/2052 | 662,805 | 641,180 | |||||
BV7959, 5.000%, 08/01/2052 | 713,018 | 703,013 | |||||
CB4404, 5.000%, 08/01/2052 | 703,096 | 692,858 | |||||
BV8055, 4.500%, 09/01/2052 | 683,800 | 661,488 | |||||
BW6232, 5.000%, 09/01/2052 | 880,403 | 867,608 | |||||
BW1201, 5.000%, 09/01/2052 | 769,145 | 758,309 | |||||
MA4785, 5.000%, 10/01/2052 | 715,496 | 704,743 | |||||
FS3642, 5.000%, 11/01/2052 | 340,553 | 335,435 | |||||
MA4842, 5.500%, 12/01/2052 | 1,106,063 | 1,108,460 | |||||
MA4868, 5.000%, 01/01/2053 | 660,301 | 650,377 | |||||
MA4918, 5.000%, 02/01/2053 | 698,613 | 688,426 | |||||
MA4919, 5.500%, 02/01/2053 | 631,128 | 630,726 | |||||
MA4941, 5.500%, 03/01/2053 | 680,852 | 681,751 | |||||
FS4357, 5.500%, 04/01/2053 | 549,442 | 550,209 | |||||
BW4908, 6.000%, 04/01/2053 | 478,538 | 484,949 | |||||
Fannie Mae Principal Strip | |||||||
#TBA, 0.000%, 07/15/2037 | 1,370,000 | 756,760 | |||||
Fannie Mae REMICS | |||||||
2012-70, 0.862% (1 Month LIBOR USD + 6.000%), 07/25/2042 (c)(e) | 876,056 | 105,904 | |||||
2012-68, 0.912% (1 Month LIBOR USD + 6.050%), 07/25/2042 (c)(e) | 1,441,392 | 162,000 | |||||
2013-6, 0.962% (1 Month LIBOR USD + 6.100%), 02/25/2043 (c)(e) | 934,455 | 115,453 | |||||
2013-18, 0.962% (1 Month LIBOR USD + 6.100%), 03/25/2043 (c)(e) | 1,022,691 | 114,605 | |||||
2014-90, 1.012% (1 Month LIBOR USD + 6.150%), 01/25/2045 (c)(e) | 1,556,526 | 199,937 | |||||
2015-32, 1.062% (1 Month LIBOR USD + 6.200%), 05/25/2045 (c)(e) | 911,628 | 111,577 | |||||
2016-40, 0.712% (1 Month LIBOR USD + 5.850%), 07/25/2046 (c)(e) | 598,482 | 62,914 | |||||
2018-07, 4.000%, 02/25/2048 | 1,150,719 | 218,827 | |||||
2020-52, 4.500%, 08/25/2050 | 1,053,040 | 217,906 | |||||
Freddie Mac Gold Pool | |||||||
G1-4953, 3.500%, 01/01/2029 | 13,179 | 12,757 | |||||
A8-6315, 4.500%, 05/01/2039 | 13,648 | 13,537 | |||||
A8-6521, 4.500%, 05/01/2039 | 27,675 | 27,522 | |||||
A9-3617, 4.500%, 08/01/2040 | 2,348 | 2,335 | |||||
Q0-0285, 4.500%, 04/01/2041 | 3,522 | 3,503 | |||||
Q0-0876, 4.500%, 05/01/2041 | 22,180 | 22,058 | |||||
Q0-2173, 4.500%, 07/01/2041 | 15,848 | 15,760 | |||||
C0-3795, 3.500%, 04/01/2042 | 111,001 | 104,835 | |||||
Q0-9004, 3.500%, 06/01/2042 | 10,090 | 9,529 | |||||
C0-9004, 3.500%, 07/01/2042 | 10,748 | 10,151 | |||||
Q0-9896, 3.500%, 08/01/2042 | 13,769 | 13,004 | |||||
Q1-1348, 3.500%, 09/01/2042 | 29,142 | 27,517 | |||||
Q1-8305, 3.500%, 05/01/2043 | 11,833 | 11,170 | |||||
Q1-9475, 3.500%, 06/01/2043 | 20,110 | 18,980 | |||||
G6-0030, 3.500%, 07/01/2043 | 63,115 | 59,625 | |||||
Q2-0780, 3.500%, 08/01/2043 | 25,597 | 24,159 | |||||
Q2-0857, 3.500%, 08/01/2043 | 15,814 | 14,931 | |||||
G0-7459, 3.500%, 08/01/2043 | 12,826 | 12,108 | |||||
G0-8541, 3.500%, 08/01/2043 | 22,483 | 21,221 | |||||
Q2-6513, 4.500%, 06/01/2044 | 11,584 | 11,445 | |||||
Q4-5219, 3.500%, 01/01/2045 | 78,198 | 73,319 | |||||
G0-7961, 3.500%, 03/01/2045 | 17,457 | 16,379 | |||||
G0-8636, 3.500%, 04/01/2045 | 20,257 | 18,943 | |||||
Q3-5225, 3.500%, 08/01/2045 | 10,038 | 9,384 | |||||
G0-8659, 3.500%, 08/01/2045 | 55,512 | 51,876 | |||||
G0-8676, 3.500%, 11/01/2045 | 24,204 | 22,638 | |||||
G6-0480, 4.500%, 11/01/2045 | 9,685 | 9,576 | |||||
G0-8681, 3.500%, 12/01/2045 | 17,930 | 16,755 | |||||
Q3-9644, 3.500%, 03/01/2046 | 83,741 | 78,256 | |||||
Q3-9434, 3.500%, 03/01/2046 | 3,808 | 3,563 | |||||
G0-8693, 3.500%, 03/01/2046 | 4,002 | 3,740 | |||||
G0-8702, 3.500%, 04/01/2046 | 41,138 | 38,443 | |||||
G0-8706, 3.500%, 05/01/2046 | 18,912 | 17,823 | |||||
Q4-0718, 3.500%, 05/01/2046 | 118,812 | 111,028 | |||||
Q4-0375, 3.500%, 05/01/2046 | 27,024 | 25,253 | |||||
G0-8708, 4.500%, 05/01/2046 | 25,722 | 25,421 | |||||
Q4-1208, 3.500%, 06/01/2046 | 59,567 | 55,755 | |||||
G0-8721, 3.000%, 09/01/2046 | 40,552 | 36,805 | |||||
G0-8735, 4.500%, 10/01/2046 | 34,426 | 33,958 | |||||
G0-8741, 3.000%, 01/01/2047 | 742,281 | 672,624 | |||||
G0-8743, 4.000%, 01/01/2047 | 32,585 | 31,268 | |||||
Q4-6279, 3.500%, 02/01/2047 | 44,079 | 41,124 | |||||
Q4-6539, 4.500%, 03/01/2047 | 3,406 | 3,329 | |||||
G0-8757, 3.500%, 04/01/2047 | 7,577 | 7,060 | |||||
G0-8759, 4.500%, 04/01/2047 | 12,294 | 12,119 | |||||
V8-3204, 4.500%, 05/01/2047 | 29,077 | 28,485 | |||||
Q4-9100, 4.000%, 07/01/2047 | 72,931 | 69,834 | |||||
Q4-9394, 4.500%, 07/01/2047 | 60,643 | 59,688 | |||||
Q4-9888, 3.500%, 08/01/2047 | 39,542 | 36,805 | |||||
Q5-0035, 3.500%, 08/01/2047 | 57,910 | 53,919 | |||||
Q5-0109, 3.500%, 08/01/2047 | 7,680 | 7,151 | |||||
G6-1228, 4.000%, 08/01/2047 | 106,233 | 102,642 | |||||
G0-8779, 3.500%, 09/01/2047 | 163,342 | 150,207 | |||||
G0-8785, 4.000%, 10/01/2047 | 83,949 | 79,787 | |||||
G6-1631, 3.500%, 11/01/2047 | 151,662 | 141,495 | |||||
Q5-2319, 3.500%, 11/01/2047 | 126,350 | 117,511 | |||||
G6-1467, 4.000%, 11/01/2047 | 107,795 | 102,535 | |||||
G6-1281, 3.500%, 01/01/2048 | 71,002 | 66,042 | |||||
G0-8800, 3.500%, 02/01/2048 | 95,811 | 89,059 | |||||
Q5-4463, 4.000%, 02/01/2048 | 52,816 | 50,803 | |||||
G6-7710, 3.500%, 03/01/2048 | 133,612 | 123,880 | |||||
Freddie Mac Multifamily Structured Pass Through Certificates | |||||||
K-098, 1.392%, 08/25/2029 (d)(e) | 1,985,000 | 145,540 | |||||
Freddie Mac Pool | |||||||
ZS-9972, 3.000%, 03/01/2042 | 685,502 | 623,678 | |||||
ZM-1590, 3.000%, 08/01/2046 | 486,557 | 439,746 | |||||
SD-0035, 3.000%, 04/01/2047 | 444,407 | 405,536 | |||||
ZM-4908, 3.500%, 11/01/2047 | 202,160 | 187,798 | |||||
ZA-5250, 4.000%, 01/01/2048 | 180,495 | 173,295 | |||||
ZS-4759, 3.500%, 03/01/2048 | 122,268 | 113,556 | |||||
ZM-6197, 4.000%, 04/01/2048 | 440,359 | 422,213 | |||||
SD-0298, 3.000%, 11/01/2048 | 313,935 | 284,976 | |||||
ZN-2103, 4.500%, 12/01/2048 | 30,189 | 29,661 | |||||
ZA-7141, 3.000%, 06/01/2049 | 64,123 | 57,339 | |||||
SD-8005, 3.500%, 08/01/2049 | 569,755 | 528,744 | |||||
SD-8013, 4.500%, 09/01/2049 | 83,066 | 81,459 | |||||
SI-2009, 3.000%, 10/01/2049 | 374,636 | 335,042 | |||||
QA-5549, 3.000%, 12/01/2049 | 209,987 | 187,607 | |||||
QA-6750, 3.000%, 02/01/2050 | 117,439 | 105,278 | |||||
QA-7325, 3.000%, 02/01/2050 | 158,462 | 141,909 | |||||
QA-8311, 3.000%, 03/01/2050 | 186,280 | 167,730 | |||||
SD-8068, 3.000%, 06/01/2050 | 519,402 | 463,724 | |||||
RA-2970, 2.500%, 07/01/2050 | 173,623 | 149,714 | |||||
SD-8074, 3.000%, 07/01/2050 | 76,152 | 68,077 | |||||
QB-2682, 2.500%, 08/01/2050 | 131,146 | 112,748 | |||||
SD-8084, 3.000%, 08/01/2050 | 223,796 | 199,604 | |||||
SD-8086, 4.000%, 08/01/2050 | 165,014 | 157,243 | |||||
RA-3484, 3.000%, 09/01/2050 | 261,209 | 232,823 | |||||
SD-8098, 2.000%, 10/01/2050 | 2,282,467 | 1,887,703 | |||||
QB-4785, 2.500%, 10/01/2050 | 184,516 | 158,610 | |||||
QB-6037, 2.500%, 11/01/2050 | 137,743 | 118,397 | |||||
SD-8122, 2.500%, 01/01/2051 | 394,649 | 339,242 | |||||
SD-8129, 2.500%, 02/01/2051 | 533,107 | 456,846 | |||||
RA-4527, 2.500%, 02/01/2051 | 272,224 | 234,291 | |||||
SD-8135, 2.500%, 03/01/2051 | 190,759 | 163,993 | |||||
QC-0945, 2.500%, 04/01/2051 | 786,750 | 675,335 | |||||
SD-8147, 2.500%, 05/01/2051 | 446,883 | 383,367 | |||||
QC-4235, 2.500%, 07/01/2051 | 679,695 | 582,251 | |||||
QC-3907, 2.500%, 07/01/2051 | 434,032 | 371,889 | |||||
SD-8156, 2.500%, 07/01/2051 | 417,017 | 357,529 | |||||
SD-8160, 2.000%, 08/01/2051 | 800,651 | 660,301 | |||||
QC-6209, 2.500%, 08/01/2051 | 372,303 | 319,289 | |||||
QC-5978, 2.500%, 08/01/2051 | 594,946 | 510,937 | |||||
SD-8167, 2.500%, 09/01/2051 | 1,082,802 | 927,776 | |||||
RA-5855, 2.500%, 09/01/2051 | 715,453 | 612,198 | |||||
QC-8520, 2.500%, 10/01/2051 | 277,807 | 237,640 | |||||
SD-0780, 2.500%, 12/01/2051 | 486,956 | 417,113 | |||||
RA-6686, 4.000%, 01/01/2052 | 223,942 | 211,904 | |||||
QE-4039, 4.000%, 06/01/2052 | 1,185,229 | 1,121,269 | |||||
SD-1883, 4.000%, 06/01/2052 | 629,806 | 595,632 | |||||
QE-5474, 4.000%, 07/01/2052 | 338,592 | 320,148 | |||||
SD-1060, 4.000%, 07/01/2052 | 332,221 | 314,194 | |||||
QE-6058, 4.500%, 07/01/2052 | 864,726 | 836,520 | |||||
SD-8231, 4.500%, 07/01/2052 | 330,701 | 319,929 | |||||
SD-8233, 5.000%, 07/01/2052 | 650,596 | 641,253 | |||||
SD-1576, 5.000%, 08/01/2052 | 884,309 | 871,928 | |||||
QE-9381, 4.000%, 09/01/2052 | 754,105 | 712,753 | |||||
SD-1803, 5.500%, 09/01/2052 | 318,650 | 319,570 | |||||
SD-1709, 5.500%, 09/01/2052 | 776,511 | 778,125 | |||||
SD-8258, 5.000%, 10/01/2052 | 667,397 | 657,367 | |||||
SD-1719, 5.500%, 10/01/2052 | 850,458 | 853,883 | |||||
SD-1884, 5.000%, 11/01/2052 | 105,592 | 104,028 | |||||
SD-1913, 5.000%, 11/01/2052 | 411,510 | 405,749 | |||||
SD-8268, 5.500%, 11/01/2052 | 381,586 | 382,628 | |||||
QF-4848, 6.000%, 12/01/2052 | 599,780 | 609,147 | |||||
SD-8289, 5.500%, 01/01/2053 | 632,391 | 631,989 | |||||
QF-6551, 5.500%, 01/01/2053 | 625,264 | 624,866 | |||||
SD-8290, 6.000%, 01/01/2053 | 168,066 | 170,580 | |||||
SD-2174, 6.000%, 01/01/2053 | 568,452 | 575,494 | |||||
SD-2334, 5.000%, 02/01/2053 | 419,604 | 414,118 | |||||
SD-8300, 5.500%, 02/01/2053 | 150,793 | 151,077 | |||||
QF-7085, 5.500%, 02/01/2053 | 978,107 | 977,766 | |||||
SD-8309, 6.000%, 03/01/2053 | 604,060 | 612,749 | |||||
SD-8316, 5.500%, 04/01/2053 | 491,553 | 492,063 | |||||
SD-2913, 5.500%, 05/01/2053 | 675,000 | 675,510 | |||||
SD-3010, 5.500%, 06/01/2053 | 475,000 | 475,090 | |||||
Freddie Mac REMICS | |||||||
4121, 1.093% (1 Month LIBOR USD + 6.200%), 10/15/2042 (c)(e) | 884,940 | 93,819 | |||||
4122, 4.000%, 10/15/2042 (e) | 914,737 | 167,238 | |||||
4159, 1.043% (1 Month LIBOR USD + 6.150%), 01/15/2043 (c)(e) | 1,709,596 | 210,963 | |||||
4459, 4.000%, 08/15/2043 (e) | 1,873,515 | 332,661 | |||||
4385, 4.500%, 09/15/2044 (e) | 182,599 | 33,721 | |||||
4572, 0.943% (1 Month LIBOR USD + 6.050%), 04/15/2046 (c)(e) | 405,915 | 44,974 | |||||
4583, 0.893% (1 Month LIBOR USD + 6.000%), 05/15/2046 (c)(e) | 416,934 | 39,980 | |||||
4616, 0.893% (1 Month LIBOR USD + 6.000%), 09/15/2046 (c)(e) | 973,998 | 117,701 | |||||
4623, 0.893% (1 Month LIBOR USD + 6.000%), 10/15/2046 (c)(e) | 901,412 | 94,138 | |||||
4648, 0.893% (1 Month LIBOR USD + 6.000%), 01/15/2047 (c)(e) | 375,214 | 44,457 | |||||
5013, 3.000%, 09/25/2050 | 2,493,760 | 359,485 | |||||
Freddie Mac STACR REMIC Trust | |||||||
2021-DNA7, 6.773% (SOFR30A + 1.800%), 11/25/2041 (b)(c) | 473,000 | 454,060 | |||||
2022-DNA2, 7.373% (SOFR30A + 2.400%), 02/25/2042 (b)(c) | 990,000 | 978,382 | |||||
2022-HQA1, 8.473% (SOFR30A + 3.500%), 03/25/2042 (b)(c) | 309,000 | 313,249 | |||||
2022-DNA3, 7.873% (SOFR30A + 2.900%), 04/25/2042 (b)(c) | 1,162,000 | 1,161,269 | |||||
Freddie Mac Structured Agency Credit Risk Debt Notes | |||||||
2017-HQA3, 7.488% (1 Month LIBOR USD + 2.350%), 04/25/2030 (c) | 643,487 | 652,074 | |||||
2018-DNA1, 6.938% (1 Month LIBOR USD + 1.800%), 07/25/2030 (c) | 285,650 | 285,882 | |||||
2018-HQA1, 7.438% (1 Month LIBOR USD + 2.300%), 09/25/2030 (c) | 599,098 | 604,859 | |||||
Ginnie Mae | |||||||
#TBA, 5.000%, 06/15/2041 | 1,105,000 | 1,090,389 | |||||
#TBA, 5.500%, 06/15/2053 | 1,135,000 | 1,133,847 | |||||
Ginnie Mae II Pool | |||||||
MA0699M, 3.500%, 01/20/2043 | 22,981 | 21,730 | |||||
MA0783M, 3.500%, 02/20/2043 | 31,305 | 29,606 | |||||
MA0934M, 3.500%, 04/20/2043 | 22,322 | 21,116 | |||||
MA3663M, 3.500%, 05/20/2046 | 38,525 | 36,265 | |||||
MA3803M, 3.500%, 07/20/2046 | 14,921 | 14,031 | |||||
MA4510M, 3.500%, 06/20/2047 | 60,722 | 57,088 | |||||
MA4586M, 3.500%, 07/20/2047 | 83,798 | 78,813 | |||||
MA4652M, 3.500%, 08/20/2047 | 56,431 | 53,036 | |||||
MA4900M, 3.500%, 12/20/2047 | 42,553 | 40,018 | |||||
MA6542M, 3.500%, 03/20/2050 | 228,296 | 214,839 | |||||
MA6600M, 3.500%, 04/20/2050 | 17,092 | 15,986 | |||||
MA6601M, 4.000%, 04/20/2050 | 77,287 | 74,034 | |||||
MA7192M, 2.000%, 02/20/2051 | 281,491 | 239,432 | |||||
MA7193M, 2.500%, 02/20/2051 | 282,693 | 247,863 | |||||
MA7254M, 2.000%, 03/20/2051 | 287,013 | 244,300 | |||||
MA7255M, 2.500%, 03/20/2051 | 701,173 | 614,849 | |||||
MA7311M, 2.000%, 04/20/2051 | 818,630 | 696,828 | |||||
MA7312M, 2.500%, 04/20/2051 | 776,400 | 680,657 | |||||
MA7367M, 2.500%, 05/20/2051 | 286,254 | 250,418 | |||||
MA7418M, 2.500%, 06/20/2051 | 599,163 | 524,572 | |||||
MA7472M, 2.500%, 07/20/2051 | 393,137 | 343,407 | |||||
MA7589M, 2.500%, 09/20/2051 | 214,364 | 187,437 | |||||
MA7648M, 2.000%, 10/20/2051 | 287,344 | 244,083 | |||||
MA8045M, 4.000%, 05/20/2052 | 645,864 | 613,848 | |||||
MA8099M, 3.500%, 06/20/2052 | 95,583 | 88,573 | |||||
MA8151M, 4.500%, 07/20/2052 | 892,495 | 867,024 | |||||
MA8200M, 4.000%, 08/20/2052 | 194,459 | 184,819 | |||||
MA8201M, 4.500%, 08/20/2052 | 1,141,361 | 1,108,373 | |||||
MA8268M, 4.500%, 09/20/2052 | 542,513 | 526,722 | |||||
MA8269M, 5.000%, 09/20/2052 | 633,156 | 625,137 | |||||
MA8347M, 4.500%, 10/20/2052 | 206,289 | 200,366 | |||||
MA8429M, 5.500%, 11/20/2052 | 517,498 | 517,541 | |||||
MA8569M, 5.000%, 01/20/2053 | 470,780 | 465,446 | |||||
MA8570M, 5.500%, 01/20/2053 | 346,720 | 346,579 | |||||
MA8725M, 5.000%, 03/20/2053 | 199,006 | 196,486 | |||||
Government National Mortgage Association | |||||||
2013-23, 3.500%, 02/20/2043 (e) | 1,031,906 | 154,870 | |||||
2015-162, 1.602% (1 Month LIBOR USD + 6.750%), 11/20/2045 (c)(e) | 847,202 | 118,613 | |||||
2018-007, 1.052% (1 Month LIBOR USD + 6.200%), 01/20/2048 (c)(e) | 933,146 | 101,434 | |||||
2020-173, 2.500%, 11/20/2050 (e) | 2,226,156 | 292,329 | |||||
2021-116, 2.500%, 06/20/2051 (e) | 2,483,861 | 343,131 | |||||
TOTAL AGENCY MORTGAGE BACKED SECURITIES (Cost $118,895,163) | 109,543,671 | ||||||
U.S. GOVERNMENT AGENCY ISSUES - 0.53% | |||||||
Federal Home Loan Mortgage Corp. | |||||||
0.375%, 09/23/2025 | 225,000 | 205,429 | |||||
Federal National Mortgage Association | |||||||
0.500%, 11/07/2025 | 255,000 | 232,660 | |||||
0.750%, 10/08/2027 | 745,000 | 653,178 | |||||
0.875%, 08/05/2030 | 575,000 | 467,550 | |||||
Tennessee Valley Authority | |||||||
5.250%, 09/15/2039 | 320,000 | 338,934 | |||||
TOTAL U.S. GOVERNMENT AGENCY ISSUES (Cost $2,179,056) | 1,897,751 | ||||||
U.S. GOVERNMENT NOTES/BONDS - 16.31% | |||||||
United States Treasury Inflation Indexed Bonds | |||||||
1.625%, 10/15/2027 | 9,037,909 | 9,024,874 | |||||
1.125%, 01/15/2033 | 1,585,799 | 1,538,800 | |||||
1.000%, 02/15/2049 | 2,015,160 | 1,732,247 | |||||
United States Treasury Note/Bond | |||||||
3.625%, 05/15/2026 | 2,370,000 | 2,343,060 | |||||
3.625%, 03/31/2028 | 12,095,000 | 12,006,650 | |||||
3.500%, 04/30/2030 | 4,510,000 | 4,455,387 | |||||
3.500%, 02/15/2033 | 885,000 | 874,352 | |||||
3.375%, 05/15/2033 | 10,670,000 | 10,439,095 | |||||
3.875%, 02/15/2043 | 310,000 | 303,994 | |||||
2.875%, 05/15/2043 | 1,700,000 | 1,430,191 | |||||
3.375%, 05/15/2044 | 1,380,000 | 1,250,517 | |||||
2.500%, 02/15/2045 | 2,155,000 | 1,672,482 | |||||
3.125%, 05/15/2048 | 85,000 | 73,402 | |||||
3.000%, 02/15/2049 | 1,675,000 | 1,416,618 | |||||
1.250%, 05/15/2050 | 1,430,000 | 799,739 | |||||
1.875%, 11/15/2051 | 945,000 | 620,045 | |||||
2.875%, 05/15/2052 | 3,685,000 | 3,043,004 | |||||
3.000%, 08/15/2052 | 5,300,000 | 4,491,750 | |||||
3.625%, 05/15/2053 | 1,255,000 | 1,203,819 | |||||
TOTAL U.S. GOVERNMENT NOTES/BONDS (Cost $59,140,436) | 58,720,026 | ||||||
Shares | |||||||
EXCHANGE TRADED FUNDS - 3.43% | |||||||
iShares Core U.S. Aggregate Bond ETF (f) | 125,156 | 12,336,627 | |||||
TOTAL EXCHANGE TRADED FUNDS (Cost $12,504,291) | 12,336,627 | ||||||
INVESTMENTS PURCHASED WITH COLLATERAL FROM SECURITIES LENDING - 5.18% | |||||||
Money Market Fund - 5.18% | |||||||
Mount Vernon Liquid Assets Portfolio, LLC, 5.220% (g) | 18,641,639 | 18,641,639 | |||||
TOTAL INVESTMENTS PURCHASED WITH COLLATERAL FROM SECURITIES LENDING (Cost $18,641,639) | 18,641,639 | ||||||
SHORT-TERM INVESTMENTS - 1.30% | |||||||
First American Government Obligations Fund, Class X, 4.965% (g) | 4,663,999 | 4,663,999 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $4,663,999) | 4,663,999 | ||||||
Total Investments (Cost $412,367,517) - 107.02% | 385,260,556 | ||||||
Liabilities in Excess of Other Assets - (7.02)% | (25,276,503) | ||||||
TOTAL NET ASSETS - 100.00% | $ | 359,984,053 |
Percentages are stated as a percent of net assets. |
(a) | Variable rate security; the rate shown represents the rate at May 31, 2023. | ||||||
(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 May 31, 2023. 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 May 31, 2023. 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 May 31, 2023. Total value of securities out on loan is $18,272,806. | ||||||
(g) | The rate shown represents the seven day yield at May 31, 2023. | ||||||
(h) | Perpetual maturity. The date referenced is the next call date. | ||||||
Abbreviations | |||||||
#TBA | Pool number to be announced |
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. | |||||||
and Standard & Poors Financial Services LLC ("S&P"). GICS is a service mark of MSCI and S&P and has been | |||||||
licensed for use by U.S. Bancorp Fund Services, LLC. | |||||||
The accompanying notes are an integral part of these financial statements. |
Summary of Fair Value Exposure at May 31, 2023 | ||||||||
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 May 31, 2023. |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Fixed Income Securities: | ||||||||||||||||
Asset Backed Securities | $ | - | $ | 33,419,498 | $ | - | $ | 33,419,498 | ||||||||
Corporate Bonds* | - | 105,727,714 | - | 105,727,714 | ||||||||||||
Foreign Corporate Bonds* | - | 6,284,616 | - | 6,284,616 | ||||||||||||
Foreign Government Agency Issues | - | 3,625,881 | - | 3,625,881 | ||||||||||||
Foreign Government Notes/Bonds | - | 5,290,109 | - | 5,290,109 | ||||||||||||
Non-Agency Mortgage Backed Securities | - | 25,109,025 | - | 25,109,025 | ||||||||||||
Agency Mortgage Backed Securities | - | 109,543,671 | - | 109,543,671 | ||||||||||||
U.S. Government Agency Issues | - | 1,897,751 | - | 1,897,751 | ||||||||||||
U.S. Government Notes/Bonds | - | 58,720,026 | - | 58,720,026 | ||||||||||||
Total Fixed Income Securities | - | 349,618,291 | - | 349,618,291 | ||||||||||||
Exchange-Traded Funds | 12,336,627 | - | - | 12,336,627 | ||||||||||||
Money Market Funds | 23,305,638 | - | - | 23,305,638 | ||||||||||||
Total Investments in Securities | $ | 35,642,265 | $ | 349,618,291 | $ | - | $ | 385,260,556 |
* 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 May 31, 2023. |