| | | | | | | | | | | | | | | |
Security | | Principal Amount* | | | | Value |
| | | |
Long Term Investments – 115.8% | | | | | | | | | | | | | | | |
| | | |
Mortgage Backed Securities – 49.1% | | | | | | | | | | | | | | | |
| | | |
Agency Collateralized Mortgage Obligations – 4.9% | | | | | | | | | | | | | | | |
| | | |
Federal Home Loan Mortgage Corp. | | | | | | | | | | | | | | | |
| | | |
Series 3768, Class CB, 3.500%, 12/15/25 | | | | 189,723 | | | | | | | | | $ | 199,330 | |
| | | |
Series 3800, Class CB, 3.500%, 2/15/26 | | | | 360,712 | | | | | | | | | | 378,883 | |
| | | |
Series 3806, Class L, 3.500%, 2/15/26 | | | | 795,194 | | | | | | | | | | 845,844 | |
| | | |
Series 3877, Class LM, 3.500%, 6/15/26 | | | | 706,469 | | | | | | | | | | 743,067 | |
| | | |
Series 4961, Class JB, 2.500%, 12/15/42 | | | | 326,695 | | | | | | | | | | 340,402 | |
| | | |
Federal National Mortgage Association | | | | | | | | | | | | | | | |
| | | |
Series 2012-17, Class BC, 3.500%, 3/25/27 | | | | 368,000 | | | | | | | | | | 399,981 | |
| | | |
Series 2017-72, Class B, 3.000%, 9/25/47 | | | | 118,431 | | | | | | | | | | 126,804 | |
| | | |
Series 2017-72, Class CD, 3.000%, 9/25/47 | | | | 123,846 | | | | | | | | | | 132,870 | |
| | | |
Series 2018-72, Class BA, 3.500%, 7/25/54 | | | | 186,596 | | | | | | | | | | 196,562 | |
| | | |
Series 2020-1, Class AC, 3.500%, 8/25/58 | | | | 468,341 | | | | | | | | | | 507,143 | |
| | | |
Federal National Mortgage Association Connecticut Avenue Securities | | | | | | | | | | | | | | | |
| | | |
Series 2016-C07, Class 2M2, 4.499%, (1 Month USD-LIBOR + 4.35%), 5/25/29 (a) | | | | 131,806 | | | | | | | | | | 137,648 | |
| | | |
Series 2017-C01, Class 1M2, 3.699%, (1 Month USD-LIBOR + 3.55%), 7/25/29 (a) | | | | 84,603 | | | | | | | | | | 87,295 | |
| | | |
Freddie Mac Multifamily Structured Pass Through Certificates | | | | | | | | | | | | | | | |
| | | |
Series K103, Class X1, 0.638%, 11/25/29 (a) | | | | 8,924,827 | | | | | | | | | | 455,172 | |
| | | |
Series K111, Class X1, 1.573%, 5/25/30 (a) | | | | 1,454,288 | | | | | | | | | | 184,959 | |
| | | |
Series K112, Class X1, 1.433%, 5/25/30 (a) | | | | 1,504,748 | | | | | | | | | | 175,952 | |
| | | |
Series K113, Class X1, 1.490%, 6/25/30 (a) | | | | 2,104,981 | | | | | | | | | | 237,707 | |
| | | |
Series K114, Class X1, 1.119%, 6/25/30 (a) | | | | 1,934,539 | | | | | | | | | | 178,649 | |
| | | |
Series KG03, Class X1, 1.381%, 6/25/30 (a) | | | | 3,210,000 | | | | | | | | | | 347,401 | |
| | | |
Series KSG1, Class X1, 1.258%, 9/25/30 (a) | | | | 4,070,000 | | | | | | | | | | 378,650 | |
| | | |
FREMF Mortgage Trust | | | | | | | | | | | | | | | |
| | | |
Series 2017-K64, Class B, 3.981%, 5/25/50 (a)(b) | | | | 70,000 | | | | | | | | | | 78,195 | |
| | | |
Series 2017-K65, Class B, 4.073%, 7/25/50 (a)(b) | | | | 155,000 | | | | | | | | | | 173,271 | |
| | | |
Series 2017-K66, Class B, 4.035%, 7/25/27 (a)(b) | | | | 136,000 | | | | | | | | | | 152,704 | |
| | | |
Series 2017-K67, Class B, 3.944%, 9/25/49 (a)(b) | | | | 85,000 | | | | | | | | | | 95,085 | |
| | | |
Series 2017-K67, Class C, 3.944%, 9/25/49 (a)(b) | | | | 100,000 | | | | | | | | | | 106,476 | |
| | | |
Series 2017-K68, Class B, 3.844%, 10/25/49 (a)(b) | | | | 90,000 | | | | | | | | | | 100,110 | |
| | | |
Series 2017-K69, Class C, 3.727%, 10/25/49 (a)(b) | | | | 40,000 | | | | | | | | | | 41,097 | |
| | | |
Series 2017-K71, Class B, 3.753%, 11/25/50 (a)(b) | | | | 220,000 | | | | | | | | | | 243,942 | |
| | | |
Series 2017-K71, Class C, 3.753%, 11/25/50 (a)(b) | | | | 65,000 | | | | | | | | | | 68,274 | |
| | | |
Series 2017-K725, Class B, 3.878%, 2/25/50 (a)(b) | | | | 100,000 | | | | | | | | | | 107,518 | |
| | | |
Series 2017-K726, Class B, 3.991%, 7/25/49 (a)(b) | | | | 175,000 | | | | | | | | | | 188,779 | |
| | | |
Series 2017-K729, Class B, 3.675%, 11/25/49 (a)(b) | | | | 250,000 | | | | | | | | | | 268,907 | |
| | | |
Series 2017-K729, Class C, 3.675%, 11/25/49 (a)(b) | | | | 90,000 | | | | | | | | | | 93,321 | |
| | | |
Series 2018-K154, Class B, 4.021%, 11/25/32 (a)(b) | | | | 67,000 | | | | | | | | | | 62,265 | |
| | | |
Series 2018-KW07, Class B, 4.081%, 10/25/31 (a)(b) | | | | 461,000 | | | | | | | | | | 473,717 | |
| | | |
Series 2019-K103, Class B, 3.453%, 12/25/51 (a)(b) | | | | 525,000 | | | | | | | | | | 565,729 | |
| | | |
Series K104, Class B, 3.539%, 2/25/52 (a)(b) | | | | 520,000 | | | | | | | | | | 566,335 | |