| | | | | | | | | | | | |
Security | | Principal Amount* | | | | | | Value | |
Long Term Investments – 115.6% | | | | | | | | | | | | |
Mortgage Backed Securities – 54.5% | | | | | | | | | | | | |
Agency Collateralized Mortgage Obligations – 3.6% | | | | | | | | | | | | |
Federal Home Loan Mortgage Corp. | | | | | | | | | | | | |
Series 3768, Class CB, 3.500%, 12/15/25 | | | 243,767 | | | | | | | $ | 256,821 | |
Series 3800, Class CB, 3.500%, 2/15/26 | | | 383,000 | | | | | | | | 404,881 | |
Series 3806, Class L, 3.500%, 2/15/26 | | | 845,110 | | | | | | | | 900,037 | |
Series 3877, Class LM, 3.500%, 6/15/26 | | | 780,000 | | | | | | | | 823,667 | |
Series 4961, Class JB, 2.500%, 12/15/42 | | | 354,913 | | | | | | | | 368,739 | |
Federal National Mortgage Association | | | | | | | | | | | | |
Series2012-17, Class BC, 3.500%, 3/25/27 | | | 368,000 | | | | | | | | 401,457 | |
Series2017-72, Class B, 3.000%, 9/25/47 | | | 142,966 | | | | | | | | 152,440 | |
Series2017-72, Class CD, 3.000%, 9/25/47 | | | 149,537 | | | | | | | | 159,785 | |
Series2018-72, Class BA, 3.500%, 7/25/54 | | | 211,569 | | | | | | | | 224,419 | |
Series2020-1, Class AC, 3.500%, 8/25/58 | | | 529,941 | | | | | | | | 575,348 | |
Federal National Mortgage Association Connecticut Avenue Securities | | | | | | | | | | | | |
Series C01, Class 1M2, 4.037%, (1 MonthUSD-LIBOR + 3.550%), 7/25/29 (a) | | | 116,254 | | | | | | | | 112,749 | |
Series C07, Class 2M2, 4.837%, (1 MonthUSD-LIBOR + 4.350%), 5/25/29 (a) | | | 175,280 | | | | | | | | 173,633 | |
FREMF Mortgage Trust | | | | | | | | | | | | |
Series2017-K64, Class B, 4.117%, 5/25/50 (a)(b) | | | 70,000 | | | | | | | | 71,960 | |
Series2017-K65, Class B, 4.214%, 7/25/50 (a)(b) | | | 155,000 | | | | | | | | 160,032 | |
Series2017-K66, Class B, 4.173%, 7/25/27 (a)(b) | | | 136,000 | | | | | | | | 140,095 | |
Series2017-K67, Class B, 4.079%, 9/25/49 (a)(b) | | | 85,000 | | | | | | | | 87,065 | |
Series2017-K68, Class B, 3.975%, 10/25/49 (a)(b) | | | 90,000 | | | | | | | | 91,663 | |
Series2017-K69, Class C, 3.854%, 10/25/49 (a)(b) | | | 40,000 | | | | | | | | 36,874 | |
Series2017-K71, Class B, 3.882%, 11/25/50 (a)(b) | | | 220,000 | | | | | | | | 226,839 | |
Series2017-K71, Class C, 3.882%, 11/25/50 (a)(b) | | | 65,000 | | | | | | | | 59,807 | |
Series 2017-K725, Class B, 4.012%, 2/25/50 (a)(b) | | | 100,000 | | | | | | | | 102,394 | |
Series 2017-K726, Class B, 4.109%, 7/25/49 (a)(b) | | | 175,000 | | | | | | | | 179,818 | |
Series 2017-K729, Class B, 3.800%, 11/25/49 (a)(b) | | | 250,000 | | | | | | | | 254,200 | |
Series 2017-K729, Class C, 3.800%, 11/25/49 (a)(b) | | | 90,000 | | | | | | | | 86,402 | |
Series 2018-K154, Class B, 4.159%, 11/25/32 (a)(b) | | | 67,000 | | | | | | | | 52,731 | |
Series 2018-KW07, Class B, 4.221%, 10/25/31 (a)(b) | | | 461,000 | | | | | | | | 355,623 | |
STACR Trust, Series 2018-HRP1, Class M2, 2.137%, (1 MonthUSD-LIBOR + 1.650%), 4/25/43 (a)(b) | | | 62,347 | | | | | | | | 58,953 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,518,432 | |
| | | | | | | | | | | | |
Commercial Mortgage-Backed Securities – 4.9% | | | | | | | | | | | | |
245 Park Avenue Trust, Series 2017-245P, Class A, 3.508%, 6/5/37 (b) | | | 712,000 | | | | | | | | 760,753 | |
BANK, Series 2017-BNK8, Class ASB, 3.314%, 11/15/50 | | | 147,000 | | | | | | | | 156,946 | |
BWAY Mortgage Trust, Series 2013-1515, Class A1, 2.809%, 3/10/33 (b) | | | 116,848 | | | | | | | | 118,661 | |
COMM Mortgage Trust | | | | | | | | | | | | |
Series2013-WWP, Class A2, 3.424%, 3/10/31 (b) | | | 640,000 | | | | | | | | 675,598 | |
Series2013-WWP, Class B, 3.726%, 3/10/31 (b) | | | 644,000 | | | | | | | | 684,752 | |
Series LC6, Class A4, 2.941%, 1/10/46 | | | 304,902 | | | | | | | | 312,269 | |
CPT Mortgage Trust, Series2019-CPT, Class A, 2.865%, 11/13/39 (b) | | | 240,000 | | | | | | | | 259,049 | |