|
|
|
Interest
rate
|
Maturity
date
|
Principal
|
Value
|
|
|
Agency securities: 71.51%
|
|
|
|
|
|
|
|
FHLMC¤
|
|
0.00
%
|
7-15-2032
|
$
|
9,900,000
|
$6,705,824
|
|
FHLMC
|
|
2.50
|
9-1-2050
|
|
1,095,792
|
886,807
|
|
FHLMC
|
|
2.50
|
6-1-2051
|
|
12,242,815
|
9,906,927
|
|
FHLMC
|
|
2.50
|
11-1-2051
|
|
8,633,774
|
7,082,258
|
|
FHLMC
|
|
2.50
|
12-1-2051
|
|
1,868,437
|
1,513,527
|
|
FHLMC
|
|
3.00
|
6-1-2050
|
|
410,374
|
352,994
|
|
FHLMC
|
|
3.00
|
7-1-2050
|
|
1,242,280
|
1,068,327
|
|
FHLMC
|
|
3.00
|
8-1-2050
|
|
3,104,684
|
2,648,306
|
|
FHLMC
|
|
3.50
|
8-1-2045
|
|
1,132,255
|
1,018,204
|
|
FHLMC
|
|
3.50
|
11-1-2045
|
|
2,000,106
|
1,798,012
|
|
FHLMC
|
|
3.50
|
12-1-2045
|
|
1,816,676
|
1,632,643
|
|
FHLMC
|
|
4.00
|
6-1-2037
|
|
3,927,572
|
3,768,189
|
|
FHLMC
|
|
4.00
|
11-1-2042
|
|
4,686,328
|
4,335,396
|
|
FHLMC
|
|
4.00
|
6-1-2044
|
|
1,057,019
|
980,762
|
|
FHLMC
|
|
4.00
|
5-1-2049
|
|
625,401
|
574,458
|
|
FHLMC
|
|
4.00
|
9-1-2049
|
|
234,558
|
215,968
|
|
FHLMC
|
|
4.50
|
3-1-2042
|
|
85,928
|
83,038
|
|
FHLMC
|
|
4.50
|
9-1-2044
|
|
1,298,953
|
1,248,811
|
|
FHLMC
|
|
4.50
|
9-1-2049
|
|
2,355,796
|
2,233,575
|
|
FHLMC
|
|
5.00
|
6-1-2026
|
|
13,104
|
12,990
|
|
FHLMC
|
|
5.00
|
8-1-2040
|
|
354,684
|
349,571
|
|
FHLMC
|
|
5.00
|
7-1-2052
|
|
2,209,026
|
2,129,137
|
|
FHLMC
|
|
5.00
|
9-1-2052
|
|
2,413,751
|
2,325,947
|
|
FHLMC
|
|
5.50
|
7-1-2035
|
|
1,088,553
|
1,093,894
|
|
FHLMC
|
|
5.50
|
12-1-2038
|
|
613,577
|
616,598
|
|
FHLMC
|
|
5.50
|
3-1-2053
|
|
1,378,777
|
1,359,069
|
|
FHLMC
|
|
6.00
|
10-1-2032
|
|
8,955
|
9,137
|
|
FHLMC
|
|
6.00
|
1-1-2053
|
|
2,660,363
|
2,669,451
|
|
FHLMC
|
|
6.50
|
9-1-2028
|
|
3,741
|
3,806
|
|
FHLMC
|
|
7.00
|
12-1-2026
|
|
89
|
91
|
|
FHLMC
|
|
7.00
|
4-1-2029
|
|
417
|
429
|
|
FHLMC
|
|
7.00
|
5-1-2029
|
|
2,092
|
2,152
|
|
FHLMC
|
|
7.00
|
4-1-2032
|
|
30,277
|
31,135
|
|
FHLMC
|
|
7.50
|
11-1-2031
|
|
41,887
|
41,597
|
|
FHLMC
|
|
7.50
|
4-1-2032
|
|
68,096
|
69,186
|
|
FHLMC
|
|
8.00
|
6-1-2024
|
|
2
|
2
|
|
FHLMC
|
|
8.00
|
8-1-2026
|
|
2,113
|
2,140
|
|
FHLMC
|
|
8.00
|
11-1-2026
|
|
1,915
|
1,935
|
|
FHLMC
|
|
8.00
|
11-1-2028
|
|
441
|
441
|
|
FHLMC
|
|
8.50
|
12-1-2025
|
|
444
|
444
|
|
FHLMC
|
|
8.50
|
5-1-2026
|
|
103
|
103
|
|
FHLMC
|
|
8.50
|
8-1-2026
|
|
1,186
|
1,186
|
|
FHLMC Multifamily Structured Pass-Through Certificates Series K039
Class A2
|
|
3.30
|
7-25-2024
|
|
156,444
|
155,643
|
|
FHLMC Multifamily Structured Pass-Through Certificates Series K075
Class A2±±
|
|
3.65
|
2-25-2028
|
|
4,370,000
|
4,173,026
|
|
FHLMC Multifamily Structured Pass-Through Certificates Series K153
Class A3±±
|
|
3.12
|
10-25-2031
|
|
160,000
|
142,318
|
|
|
|
Interest
rate
|
Maturity
date
|
Principal
|
Value
|
|
|
Agency securities(continued)
|
|
|
|
|
|
|
|
FHLMC Multifamily Structured Pass-Through Certificates Series KF80
Class AS (30 Day Average U.S. SOFR+0.51%)±
|
|
5.84
%
|
6-25-2030
|
$
|
871,324
|
$870,887
|
|
FHLMC Multifamily Structured Pass-Through Certificates Series KIR2
Class A1
|
|
2.75
|
3-25-2027
|
|
2,331,045
|
2,243,252
|
|
FHLMC Multifamily Structured Pass-Through Certificates
Series KW03 Class A1
|
|
2.62
|
12-25-2026
|
|
729,564
|
708,553
|
|
FHLMC Structured Pass-Through Certificates Series T-35 Class A (30
Day Average U.S. SOFR+0.39%)±
|
|
5.72
|
9-25-2031
|
|
249,932
|
253,844
|
|
FHLMC Structured Pass-Through Certificates Series T-42 Class A6
|
|
9.50
|
2-25-2042
|
|
458,467
|
503,971
|
|
FHLMC Structured Pass-Through Certificates Series T-55
Class 2A1±±
|
|
3.31
|
3-25-2043
|
|
193,930
|
178,009
|
|
FHLMC Structured Pass-Through Certificates Series T-56 Class A4
|
|
6.00
|
5-25-2043
|
|
2,589,305
|
2,476,386
|
|
FHLMC Structured Pass-Through Certificates Series T-57
Class 2A1±±
|
|
4.43
|
7-25-2043
|
|
1,121,141
|
1,037,714
|
|
FHLMC Structured Pass-Through Certificates Series T-57 Class 1A1
|
|
6.50
|
7-25-2043
|
|
580,708
|
585,248
|
|
FHLMC Structured Pass-Through Certificates Series T-62 Class 1A1
(12 Month Treasury Average+1.20%)±
|
|
6.31
|
10-25-2044
|
|
413,327
|
373,904
|
|
FHLMC Structured Pass-Through Certificates Series T-67
Class 1A1C±±
|
|
4.20
|
3-25-2036
|
|
420,883
|
384,323
|
|
FHLMC Structured Pass-Through Certificates Series T-67
Class 2A1C±±
|
|
4.24
|
3-25-2036
|
|
675,680
|
624,187
|
|
FHLMC Whole Loan Securities Trust Series 2015-SC01 Class 1A
|
|
3.50
|
5-25-2045
|
|
296,485
|
256,183
|
|
FHLMC (1 Year Treasury Constant Maturity+2.13%)±
|
|
7.13
|
1-1-2026
|
|
3,089
|
3,051
|
|
FHLMC (1 Year Treasury Constant Maturity+2.16%)±
|
|
6.82
|
10-1-2026
|
|
14,520
|
14,417
|
|
FHLMC (1 Year Treasury Constant Maturity+2.25%)±
|
|
7.25
|
6-1-2032
|
|
2,474
|
2,483
|
|
FHLMC (11th District COFI+1.25%)±
|
|
4.67
|
7-1-2032
|
|
113,169
|
109,480
|
|
FHLMC (3 Year Treasury Constant Maturity+2.09%)±
|
|
2.96
|
5-1-2026
|
|
256
|
253
|
|
FHLMC (30 Day Average U.S. SOFR+0.26%)±
|
|
5.58
|
7-1-2031
|
|
3,013,000
|
2,982,428
|
|
FHLMC (RFUCCT1Y+1.66%)±
|
|
6.03
|
6-1-2043
|
|
637,706
|
644,773
|
|
FHLMC (RFUCCT1Y+1.67%)±
|
|
6.45
|
7-1-2038
|
|
392,471
|
402,859
|
|
FHLMC (RFUCCT1Y+1.91%)±
|
|
6.16
|
9-1-2031
|
|
27,664
|
27,596
|
|
FHLMC Series 2733 Class FB (30 Day Average U.S. SOFR+0.71%)±
|
|
6.04
|
10-15-2033
|
|
157,282
|
157,034
|
|
FHLMC Series 3070 Class FT (30 Day Average U.S. SOFR+0.46%)±
|
|
5.79
|
11-15-2035
|
|
272,384
|
270,502
|
|
FHLMC Series 3614 Class QB
|
|
4.00
|
12-15-2024
|
|
41,855
|
41,634
|
|
FHLMC Series 3830 Class FD (30 Day Average U.S. SOFR+0.47%)±
|
|
5.80
|
3-15-2041
|
|
116,127
|
114,993
|
|
FHLMC Series 4057 Class FN (30 Day Average U.S. SOFR+0.46%)±
|
|
5.79
|
12-15-2041
|
|
102,925
|
101,697
|
|
FHLMC Series 4068 Class FK (30 Day Average U.S. SOFR+0.41%)±
|
|
5.74
|
6-15-2040
|
|
17,667
|
17,645
|
|
FHLMC Series 4093 Class FB (30 Day Average U.S. SOFR+0.46%)±
|
|
5.79
|
7-15-2039
|
|
54,870
|
54,808
|
|
FHLMC Series 4159 Class AF (30 Day Average U.S. SOFR+1.29%)±
|
|
6.62
|
12-15-2036
|
|
113,379
|
115,572
|
|
FHLMC Series 4218 Class DF (30 Day Average U.S. SOFR+0.36%)±
|
|
5.69
|
7-15-2042
|
|
167,220
|
163,704
|
|
FHLMC Series 4409 Class MA
|
|
3.00
|
1-15-2054
|
|
11,156
|
10,844
|
|
FHLMC Series 4620 Class AF (30 Day Average U.S. SOFR+0.55%)±
|
|
5.88
|
11-15-2042
|
|
1,268,870
|
1,255,869
|
|
FHLMC Series 5198 Class FB (30 Day Average U.S. SOFR+0.25%)±
|
|
3.78
|
6-15-2049
|
|
1,737,243
|
1,674,260
|
|
FNMA
|
|
1.38
|
7-1-2030
|
|
3,853,239
|
3,197,034
|
|
FNMA
|
|
1.65
|
6-1-2030
|
|
1,345,916
|
1,133,567
|
|
FNMA
|
|
1.65
|
7-1-2030
|
|
2,338,347
|
1,949,156
|
|
FNMA
|
|
1.66
|
7-1-2032
|
|
3,927,409
|
3,146,508
|
|
FNMA
|
|
1.97
|
5-1-2030
|
|
4,240,494
|
3,642,871
|
|
|
|
Interest
rate
|
Maturity
date
|
Principal
|
Value
|
|
|
Agency securities(continued)
|
|
|
|
|
|
|
|
FNMA
|
|
2.00
%
|
2-1-2052
|
$
|
39,334,763
|
$30,537,538
|
|
FNMA
|
|
2.32
|
1-1-2026
|
|
3,869,315
|
3,684,908
|
|
FNMA
|
|
2.35
|
2-1-2032
|
|
2,206,331
|
1,871,735
|
|
FNMA
|
|
2.50
|
9-1-2050
|
|
344,870
|
280,953
|
|
FNMA
|
|
2.50
|
12-1-2050
|
|
1,219,128
|
986,588
|
|
FNMA
|
|
2.50
|
7-1-2051
|
|
1,731,749
|
1,399,360
|
|
FNMA
|
|
2.50
|
10-1-2051
|
|
5,743,197
|
4,640,783
|
|
FNMA
|
|
2.50
|
1-1-2052
|
|
2,850,560
|
2,311,591
|
|
FNMA
|
|
2.51
|
9-1-2031
|
|
4,957,894
|
4,285,941
|
|
FNMA
|
|
2.65
|
2-1-2032
|
|
4,955,081
|
4,270,290
|
|
FNMA
|
|
2.75
|
9-1-2031
|
|
872,418
|
761,930
|
|
FNMA
|
|
2.86
|
7-1-2029
|
|
953,050
|
867,807
|
|
FNMA
|
|
3.00
|
5-1-2027
|
|
149,519
|
144,887
|
|
FNMA
|
|
3.00
|
6-1-2034
|
|
1,765,044
|
1,634,029
|
|
FNMA
|
|
3.00
|
4-1-2045
|
|
28,160
|
24,440
|
|
FNMA
|
|
3.00
|
11-1-2045
|
|
2,477,451
|
2,144,534
|
|
FNMA
|
|
3.00
|
12-1-2045
|
|
5,789,722
|
5,014,438
|
|
FNMA
|
|
3.00
|
12-1-2046
|
|
219,633
|
188,894
|
|
FNMA
|
|
3.00
|
9-1-2050
|
|
3,252,595
|
2,775,432
|
|
FNMA
|
|
3.00
|
4-1-2052
|
|
2,305,259
|
1,962,530
|
|
FNMA
|
|
3.00
|
8-1-2050
|
|
30,001
|
25,558
|
|
FNMA
|
|
3.48
|
3-1-2029
|
|
853,108
|
803,088
|
|
FNMA
|
|
3.50
|
4-1-2034
|
|
1,682,627
|
1,627,125
|
|
FNMA
|
|
3.50
|
2-1-2043
|
|
15,272
|
13,916
|
|
FNMA
|
|
3.50
|
2-1-2045
|
|
340,482
|
309,162
|
|
FNMA
|
|
3.50
|
4-1-2045
|
|
1,446,314
|
1,299,148
|
|
FNMA
|
|
3.50
|
8-1-2045
|
|
125,955
|
113,137
|
|
FNMA
|
|
3.50
|
12-1-2045
|
|
493,584
|
443,360
|
|
FNMA
|
|
3.50
|
2-1-2046
|
|
529,771
|
475,306
|
|
FNMA
|
|
3.50
|
5-1-2052
|
|
5,393,985
|
4,733,475
|
|
FNMA
|
|
3.86
|
3-1-2029
|
|
776,540
|
742,994
|
|
FNMA
|
|
4.00
|
8-1-2037
|
|
1,782,063
|
1,710,353
|
|
FNMA
|
|
4.00
|
4-1-2046
|
|
4,013,596
|
3,727,960
|
|
FNMA
|
|
4.00
|
3-1-2047
|
|
968,940
|
899,949
|
|
FNMA
|
|
4.00
|
9-1-2048
|
|
69,867
|
64,504
|
|
FNMA
|
|
4.00
|
10-1-2052
|
|
2,841,554
|
2,581,144
|
|
FNMA
|
|
4.38
|
7-1-2032
|
|
1,031,000
|
986,271
|
|
FNMA
|
|
4.50
|
1-1-2026
|
|
2,213
|
2,185
|
|
FNMA
|
|
4.50
|
10-1-2046
|
|
83,515
|
80,001
|
|
FNMA
|
|
4.50
|
9-1-2049
|
|
682,931
|
648,056
|
|
FNMA
|
|
4.50
|
9-1-2052
|
|
10,428,738
|
9,780,525
|
|
FNMA
|
|
4.50
|
11-1-2052
|
|
2,505,667
|
2,346,633
|
|
FNMA
|
|
4.94
|
10-1-2032
|
|
1,581,000
|
1,568,807
|
|
FNMA
|
|
5.00
|
3-1-2034
|
|
148,336
|
146,447
|
|
FNMA
|
|
5.00
|
8-1-2040
|
|
1,979,492
|
1,935,775
|
|
FNMA
|
|
5.00
|
10-1-2040
|
|
190,127
|
187,227
|
|
FNMA
|
|
5.00
|
1-1-2042
|
|
158,900
|
156,461
|
|
FNMA
|
|
5.00
|
12-1-2048
|
|
192,500
|
187,695
|
|
|
|
Interest
rate
|
Maturity
date
|
Principal
|
Value
|
|
|
Agency securities(continued)
|
|
|
|
|
|
|
|
FNMA
|
|
5.05
%
|
11-1-2030
|
$
|
1,600,000
|
$1,611,571
|
|
FNMA
|
|
5.16
|
10-1-2031
|
|
2,760,000
|
2,803,399
|
|
FNMA
|
|
5.50
|
1-1-2025
|
|
69
|
69
|
|
FNMA
|
|
5.50
|
9-1-2033
|
|
864,167
|
867,238
|
|
FNMA
|
|
5.50
|
8-1-2035
|
|
240,999
|
241,855
|
|
FNMA
|
|
5.50
|
1-1-2037
|
|
194,154
|
194,847
|
|
FNMA
|
|
5.50
|
4-1-2040
|
|
499,470
|
501,249
|
|
FNMA
|
|
5.50
|
2-1-2053
|
|
5,207,367
|
5,136,752
|
|
FNMA
|
|
6.00
|
1-1-2028
|
|
172,292
|
172,538
|
|
FNMA
|
|
6.00
|
2-1-2035
|
|
322,854
|
323,107
|
|
FNMA
|
|
6.00
|
11-1-2037
|
|
131,651
|
134,409
|
|
FNMA
|
|
6.00
|
7-1-2038
|
|
55,990
|
57,263
|
|
FNMA
|
|
6.50
|
3-1-2028
|
|
4,400
|
4,418
|
|
FNMA
|
|
6.50
|
12-1-2029
|
|
47,923
|
48,711
|
|
FNMA
|
|
6.50
|
11-1-2031
|
|
9,547
|
9,704
|
|
FNMA
|
|
6.50
|
7-1-2036
|
|
160,412
|
165,936
|
|
FNMA
|
|
7.00
|
11-1-2026
|
|
612
|
628
|
|
FNMA
|
|
7.00
|
1-1-2032
|
|
1,026
|
1,054
|
|
FNMA
|
|
7.00
|
2-1-2032
|
|
21,657
|
22,246
|
|
FNMA
|
|
7.00
|
10-1-2032
|
|
71,768
|
73,720
|
|
FNMA
|
|
7.00
|
2-1-2034
|
|
1,214
|
1,247
|
|
FNMA
|
|
7.00
|
4-1-2034
|
|
33,265
|
34,170
|
|
FNMA
|
|
7.50
|
9-1-2031
|
|
26,806
|
27,219
|
|
FNMA
|
|
7.50
|
2-1-2032
|
|
12,177
|
12,371
|
|
FNMA
|
|
7.50
|
10-1-2037
|
|
283,050
|
292,119
|
|
FNMA
|
|
8.00
|
6-1-2028
|
|
75
|
75
|
|
FNMA
|
|
8.00
|
2-1-2030
|
|
10,557
|
10,536
|
|
FNMA
|
|
8.00
|
7-1-2031
|
|
149,387
|
150,885
|
|
FNMA
|
|
8.50
|
5-1-2026
|
|
3,845
|
3,839
|
|
FNMA
|
|
8.50
|
11-1-2026
|
|
9,788
|
9,783
|
|
FNMA
|
|
8.50
|
12-1-2026
|
|
27,902
|
28,192
|
|
FNMA
|
|
8.50
|
3-1-2027
|
|
176
|
176
|
|
FNMA
|
|
9.00
|
3-1-2025
|
|
309
|
309
|
|
FNMA
|
|
9.00
|
7-1-2028
|
|
63
|
63
|
|
FNMA
|
|
9.50
|
7-1-2028
|
|
113
|
113
|
|
FNMA Principal STRIPS¤
|
|
0.00
|
7-15-2037
|
|
7,810,000
|
4,056,206
|
|
FNMA (1 Year Treasury Constant Maturity+2.19%)±
|
|
6.40
|
12-1-2040
|
|
42,121
|
43,174
|
|
FNMA (1 Year Treasury Constant Maturity+2.20%)±
|
|
6.59
|
12-1-2034
|
|
130,319
|
129,212
|
|
FNMA (1 Year Treasury Constant Maturity+2.22%)±
|
|
6.34
|
11-1-2031
|
|
37,715
|
37,489
|
|
FNMA (1 Year Treasury Constant Maturity+2.22%)±
|
|
6.51
|
9-1-2035
|
|
80,755
|
81,936
|
|
FNMA (1 Year Treasury Constant Maturity+2.22%)±
|
|
7.22
|
6-1-2032
|
|
56,394
|
56,685
|
|
FNMA (1 Year Treasury Constant Maturity+2.24%)±
|
|
6.07
|
9-1-2031
|
|
13,616
|
13,624
|
|
FNMA (1 Year Treasury Constant Maturity+2.25%)±
|
|
6.76
|
12-1-2040
|
|
13,138
|
13,087
|
|
FNMA (1 Year Treasury Constant Maturity+2.42%)±
|
|
6.57
|
10-1-2027
|
|
10,024
|
9,978
|
|
FNMA (11th District COFI+1.25%)±
|
|
4.49
|
9-1-2027
|
|
30,799
|
30,230
|
|
FNMA (11th District COFI+1.26%)±
|
|
4.60
|
5-1-2036
|
|
109,816
|
107,488
|
|
FNMA (11th District COFI+1.28%)±
|
|
4.46
|
5-1-2036
|
|
209,572
|
202,009
|
|
FNMA (RFUCCT1Y+1.61%)±
|
|
7.31
|
5-1-2046
|
|
520,727
|
531,911
|
|
|
|
Interest
rate
|
Maturity
date
|
Principal
|
Value
|
|
|
Agency securities(continued)
|
|
|
|
|
|
|
|
FNMA (RFUCCT1Y+1.62%)±
|
|
2.39
%
|
8-1-2050
|
$
|
1,291,757
|
$1,144,500
|
|
FNMA (RFUCCT1Y+1.73%)±
|
|
5.98
|
9-1-2036
|
|
148,974
|
149,598
|
|
FNMA (RFUCCT1Y+1.77%)±
|
|
6.24
|
7-1-2044
|
|
58,589
|
60,078
|
|
FNMA (RFUCCT1Y+1.81%)±
|
|
6.03
|
8-1-2036
|
|
415,487
|
428,330
|
|
FNMA Series 2000-T6 Class A2
|
|
9.50
|
11-25-2040
|
|
309,538
|
310,671
|
|
FNMA Series 2001-T10 Class A3
|
|
9.50
|
12-25-2041
|
|
318,113
|
326,159
|
|
FNMA Series 2001-T12 Class A3
|
|
9.50
|
8-25-2041
|
|
87,500
|
90,921
|
|
FNMA Series 2002-5 Class F (30 Day Average U.S. SOFR+0.46%)±
|
|
5.79
|
2-25-2032
|
|
18,420
|
18,396
|
|
FNMA Series 2002-T1 Class A3
|
|
7.50
|
11-25-2031
|
|
115,543
|
118,049
|
|
FNMA Series 2002-T12 Class A5±±
|
|
5.07
|
10-25-2041
|
|
421,232
|
418,758
|
|
FNMA Series 2002-T16 Class A1
|
|
6.50
|
7-25-2042
|
|
772,298
|
791,593
|
|
FNMA Series 2002-T19 Class A1
|
|
6.50
|
7-25-2042
|
|
1,918,066
|
1,964,005
|
|
FNMA Series 2002-W4 Class A4
|
|
6.25
|
5-25-2042
|
|
260,052
|
258,586
|
|
FNMA Series 2003-T2 Class A1 (30 Day Average U.S. SOFR+0.39%)±
|
|
5.72
|
3-25-2033
|
|
624,823
|
613,312
|
|
FNMA Series 2003-W1 Class 1A1±±
|
|
4.76
|
12-25-2042
|
|
351,038
|
341,458
|
|
FNMA Series 2003-W11 Class A1±±
|
|
7.45
|
6-25-2033
|
|
24,795
|
24,925
|
|
FNMA Series 2003-W3 Class 1A4±±
|
|
4.36
|
8-25-2042
|
|
1,104,263
|
1,024,334
|
|
FNMA Series 2003-W5 Class A (1 Month LIBOR+0.11%)±
|
|
5.66
|
4-25-2033
|
|
177,452
|
174,455
|
|
FNMA Series 2003-W6 Class 6A±±
|
|
4.37
|
8-25-2042
|
|
429,194
|
412,226
|
|
FNMA Series 2003-W6 Class PT4±±
|
|
8.25
|
10-25-2042
|
|
612,270
|
643,061
|
|
FNMA Series 2003-W8 Class PT1±±
|
|
7.84
|
12-25-2042
|
|
220,056
|
220,087
|
|
FNMA Series 2003-W9 Class A (30 Day Average U.S. SOFR+0.23%)±
|
|
5.24
|
6-25-2033
|
|
41,499
|
39,656
|
|
FNMA Series 2004-T1 Class 1A2
|
|
6.50
|
1-25-2044
|
|
152,378
|
152,991
|
|
FNMA Series 2004-W1 Class 2A2
|
|
7.00
|
12-25-2033
|
|
482,243
|
493,880
|
|
FNMA Series 2004-W15 Class 1A3
|
|
7.00
|
8-25-2044
|
|
240,683
|
246,564
|
|
FNMA Series 2005-71 Class DB
|
|
4.50
|
8-25-2025
|
|
1,268
|
1,259
|
|
FNMA Series 2006-50 Class BF (30 Day Average U.S. SOFR+0.51%)±
|
|
5.84
|
6-25-2036
|
|
349,307
|
345,561
|
|
FNMA Series 2007-101 Class A2 (30 Day Average
U.S. SOFR+0.36%)±
|
|
4.84
|
6-27-2036
|
|
40,618
|
40,665
|
|
FNMA Series 2007-W10 Class 2A±±
|
|
6.26
|
8-25-2047
|
|
114,231
|
116,156
|
|
FNMA Series 2008-17 Class DP
|
|
4.75
|
2-25-2038
|
|
396,566
|
383,983
|
|
FNMA Series 2010-136 Class FA (30 Day Average
U.S. SOFR+0.61%)±
|
|
5.94
|
12-25-2040
|
|
468,320
|
459,154
|
|
FNMA Series 2011-110 Class FE (30 Day Average
U.S. SOFR+0.51%)±
|
|
5.84
|
4-25-2041
|
|
33,665
|
33,525
|
|
FNMA Series 2011-128 Class FK (30 Day Average
U.S. SOFR+0.46%)±
|
|
5.79
|
7-25-2041
|
|
71,245
|
70,806
|
|
FNMA Series 2013-114 Class LM
|
|
4.00
|
3-25-2042
|
|
629,423
|
593,631
|
|
FNMA Series 2014-17 Class FE (30 Day Average U.S. SOFR+0.66%)±
|
|
5.99
|
4-25-2044
|
|
926,284
|
908,439
|
|
FNMA Series 2014-20 Class TM±±
|
|
4.50
|
4-25-2044
|
|
269,444
|
44,988
|
|
FNMA Series 2017-M2 Class A2±±
|
|
2.82
|
2-25-2027
|
|
5,969,720
|
5,654,408
|
|
FNMA Series 2018-M1 Class A2±±
|
|
2.99
|
12-25-2027
|
|
592,109
|
555,251
|
|
FNMA Series 2018-M13 Class A2±±
|
|
3.74
|
9-25-2030
|
|
354,020
|
333,307
|
|
FNMA Series 2019-M5 Class A2
|
|
3.27
|
2-25-2029
|
|
5,046,741
|
4,704,755
|
|
GNMA
|
|
2.00
|
3-20-2052
|
|
9,418,439
|
7,556,530
|
|
GNMA
|
|
2.50
|
3-20-2052
|
|
4,419,875
|
3,684,960
|
|
GNMA
|
|
2.50
|
4-20-2052
|
|
10,321,402
|
8,605,187
|
|
GNMA
|
|
2.50
|
9-20-2051
|
|
1,464,845
|
1,221,257
|
|
|
|
Interest
rate
|
Maturity
date
|
Principal
|
Value
|
|
|
Agency securities(continued)
|
|
|
|
|
|
|
|
GNMA
|
|
3.00
%
|
11-20-2045
|
$
|
2,619,507
|
$2,304,763
|
|
GNMA
|
|
3.00
|
4-20-2051
|
|
3,953,763
|
3,425,398
|
|
GNMA
|
|
3.00
|
5-20-2052
|
|
2,567,016
|
2,217,807
|
|
GNMA
|
|
3.50
|
12-20-2047
|
|
2,344,334
|
2,113,961
|
|
GNMA
|
|
3.50
|
7-20-2051
|
|
1,960,414
|
1,757,518
|
|
GNMA
|
|
4.00
|
11-15-2024
|
|
33,655
|
33,499
|
|
GNMA
|
|
4.00
|
12-20-2047
|
|
1,598,220
|
1,490,121
|
|
GNMA
|
|
4.25
|
6-20-2036
|
|
170,912
|
160,618
|
|
GNMA
|
|
4.50
|
8-20-2049
|
|
354,666
|
337,955
|
|
GNMA
|
|
4.50
|
7-20-2052
|
|
2,418,207
|
2,288,998
|
|
GNMA
|
|
4.50
|
9-20-2052
|
|
1,044,145
|
987,924
|
|
GNMA
|
|
4.50
|
3-20-2053
|
|
2,810,776
|
2,658,765
|
|
GNMA
|
|
5.00
|
7-20-2040
|
|
354,310
|
352,846
|
|
GNMA
|
|
5.00
|
9-20-2052
|
|
1,906,322
|
1,851,912
|
|
GNMA
|
|
5.00
|
6-20-2053
|
|
2,802,622
|
2,721,134
|
|
GNMA
|
|
5.50
|
4-20-2053
|
|
2,688,881
|
2,668,880
|
|
GNMA
|
|
6.00
|
8-20-2034
|
|
21,231
|
21,002
|
|
GNMA%%
|
|
6.00
|
6-15-2054
|
|
8,865,000
|
8,919,277
|
|
GNMA
|
|
6.50
|
12-15-2025
|
|
1,539
|
1,564
|
|
GNMA
|
|
6.50
|
5-15-2029
|
|
96
|
98
|
|
GNMA
|
|
6.50
|
5-15-2031
|
|
479
|
493
|
|
GNMA
|
|
6.50
|
9-20-2033
|
|
16,630
|
16,895
|
|
GNMA%%
|
|
6.50
|
6-15-2054
|
|
1,250,000
|
1,268,815
|
|
GNMA
|
|
7.00
|
5-15-2026
|
|
284
|
285
|
|
GNMA
|
|
7.00
|
3-15-2028
|
|
1,278
|
1,274
|
|
GNMA
|
|
7.00
|
4-15-2031
|
|
351
|
349
|
|
GNMA
|
|
7.00
|
8-15-2031
|
|
13,037
|
13,046
|
|
GNMA
|
|
7.00
|
3-15-2032
|
|
9,976
|
9,970
|
|
GNMA Series 2005-23 Class IOƒ±±
|
|
0.00
|
6-17-2045
|
|
518,067
|
1
|
|
GNMA Series 2006-32 Class XMƒ±±
|
|
0.13
|
11-16-2045
|
|
2,067,353
|
21
|
|
GNMA Series 2008-22 Class XMƒ±±
|
|
1.31
|
2-16-2050
|
|
3,784,034
|
47,070
|
|
GNMA Series 2010-158 Class EIƒ
|
|
4.00
|
12-16-2025
|
|
319,616
|
4,048
|
|
GNMA Series 2012-H12 Class HD
|
|
2.00
|
5-20-2062
|
|
17,570
|
15,942
|
|
GNMA Series 2018-H01 Class BF (U.S. SOFR 1 Month+0.51%)±
|
|
5.84
|
1-20-2068
|
|
1,830,622
|
1,825,097
|
|
GNMA Series 2019-H06 Class HIƒ±±
|
|
1.82
|
4-20-2069
|
|
2,131,554
|
39,234
|
|
Resolution Funding Corp. Principal STRIPS¤
|
|
0.00
|
1-15-2030
|
|
16,245,000
|
12,396,563
|
|
Resolution Funding Corp. Principal STRIPS¤
|
|
0.00
|
4-15-2030
|
|
9,185,000
|
6,917,933
|
|
TVA Principal STRIPS¤
|
|
0.00
|
11-1-2025
|
|
5,650,000
|
5,269,155
|
|
TVA Principal STRIPS¤
|
|
0.00
|
6-15-2035
|
|
2,448,000
|
1,384,753
|
|
TVA Principal STRIPS¤
|
|
0.00
|
1-15-2048
|
|
1,000,000
|
284,592
|
|
U.S. International Development Finance Corp. Series AA-1¤
|
|
0.00
|
1-17-2026
|
|
2,000,000
|
2,107,481
|
|
Total agency securities (Cost $364,922,286)
|
|
|
|
|
|
334,314,135
|
|
|
|
Interest
rate
|
Maturity
date
|
Principal
|
Value
|
|
|
Asset-backed securities: 0.66%
|
|
|
|
|
|
|
|
FirstKey Homes Trust Series 2021-SFR1 Class A144A
|
|
1.54
%
|
8-17-2038
|
$
|
1,202,250
|
$1,101,572
|
|
Navient Student Loan Trust Series 2019-2A Class A2 (30 Day Average
U.S. SOFR+1.11%)144A±
|
|
6.44
|
2-27-2068
|
|
1,996,596
|
1,997,399
|
|
Total asset-backed securities (Cost $3,196,368)
|
|
|
|
|
|
3,098,971
|
|
Corporate bonds and notes: 4.34%
|
|
|
|
|
|
|
|
Consumer, non-cyclical: 0.53%
|
|
|
|
|
|
|
|
Commercial services: 0.53%
|
|
|
|
|
|
|
|
Rockefeller Foundation Series 2020
|
|
2.49
|
10-1-2050
|
|
4,000,000
|
2,467,335
|
|
Financial: 2.86%
|
|
|
|
|
|
|
|
Diversified financial services: 2.06%
|
|
|
|
|
|
|
|
Private Export Funding Corp.144A
|
|
0.55
|
7-30-2024
|
|
9,715,000
|
9,640,391
|
|
REITS: 0.80%
|
|
|
|
|
|
|
|
American Tower Trust #1144A
|
|
3.65
|
3-23-2028
|
|
4,000,000
|
3,752,469
|
|
Government securities: 0.53%
|
|
|
|
|
|
|
|
Multi-national: 0.53%
|
|
|
|
|
|
|
|
Inter-American Development Bank
|
|
7.00
|
6-15-2025
|
|
2,000,000
|
2,032,796
|
|
International Bank for Reconstruction & Development Series C¤
|
|
0.00
|
3-11-2031
|
|
615,000
|
440,673
|
|
|
|
|
|
|
|
2,473,469
|
|
Industrial: 0.42%
|
|
|
|
|
|
|
|
Engineering & construction: 0.42%
|
|
|
|
|
|
|
|
GTP Acquisition Partners I LLC Series 2015-2 Class A144A
|
|
3.48
|
6-16-2025
|
|
2,000,000
|
1,949,994
|
|
Total corporate bonds and notes (Cost $22,467,614)
|
|
|
|
|
|
20,283,658
|
|
Non-agency mortgage-backed securities: 4.93%
|
|
|
|
|
|
|
|
Angel Oak Mortgage Trust Series 2020-4 Class A1144A±±
|
|
1.47
|
6-25-2065
|
|
444,835
|
412,635
|
|
Arroyo Mortgage Trust Series 2019-1 Class A1144A±±
|
|
3.81
|
1-25-2049
|
|
884,556
|
835,404
|
|
Benchmark Mortgage Trust Series 2018-B1 Class A4
|
|
3.40
|
1-15-2051
|
|
199,190
|
191,301
|
|
Benchmark Mortgage Trust Series 2019-B9 Class A5
|
|
4.02
|
3-15-2052
|
|
784,571
|
725,439
|
|
BRAVO Residential Funding Trust Series 2020-RPL1 Class A1144A±±
|
|
2.50
|
5-26-2059
|
|
1,294,084
|
1,238,374
|
|
BX Trust Series 2019-OC11 Class A144A
|
|
3.20
|
12-9-2041
|
|
3,030,000
|
2,676,339
|
|
CD Mortgage Trust Series 2017-CD6 Class A5
|
|
3.46
|
11-13-2050
|
|
2,340,000
|
2,175,043
|
|
GCAT Trust Series 2022-HX1 Class A1144A±±
|
|
2.89
|
12-27-2066
|
|
747,318
|
674,085
|
|
GS Mortgage Securities Trust Series 2014-GC24 Class A4
|
|
3.67
|
9-10-2047
|
|
829,008
|
826,580
|
|
JPMBB Commercial Mortgage Securities Trust Series 2015-C28
Class A4
|
|
3.23
|
10-15-2048
|
|
5,000,000
|
4,895,203
|
|
Legacy Mortgage Asset Trust Series 2020-RPL1 Class A1144A±±
|
|
3.00
|
9-25-2059
|
|
1,968,327
|
1,841,066
|
|
New Residential Mortgage Loan Trust Series 2020-NQM2
Class A1144A±±
|
|
1.65
|
5-24-2060
|
|
286,824
|
270,134
|
|
Starwood Mortgage Residential Trust Series 2021-6 Class A1144A±±
|
|
1.92
|
11-25-2066
|
|
3,479,578
|
2,945,085
|
|
Towd Point Mortgage Trust Series 2015-2 Class 1M2144A±±
|
|
3.71
|
11-25-2060
|
|
638,723
|
632,578
|
|
UBS Commercial Mortgage Trust Series 2017-C5 Class A5
|
|
3.47
|
11-15-2050
|
|
2,581,000
|
2,366,022
|
|
Vendee Mortgage Trust Series 1995-1 Class 4±±
|
|
8.72
|
2-15-2025
|
|
4,947
|
4,961
|
|
|
|
Interest
rate
|
Maturity
date
|
Principal
|
Value
|
|
|
Non-agency mortgage-backed securities(continued)
|
|
|
|
|
|
|
|
Vendee Mortgage Trust Series 1995-2C Class 3A
|
|
8.79
%
|
6-15-2025
|
$
|
18,111
|
$18,311
|
|
Verus Securitization Trust Series 2021-R3 Class A1144A±±
|
|
1.02
|
4-25-2064
|
|
345,444
|
308,189
|
|
Total non-agency mortgage-backed securities (Cost $25,007,135)
|
|
|
|
|
|
23,036,749
|
|
U.S. Treasury securities: 18.90%
|
|
|
|
|
|
|
|
U.S. Treasury Bonds
|
|
3.63
|
2-15-2044
|
|
2,030,000
|
1,739,694
|
|
U.S. Treasury Bonds
|
|
4.25
|
2-15-2054
|
|
8,335,000
|
7,817,970
|
|
U.S. Treasury Bonds
|
|
4.38
|
8-15-2043
|
|
5,440,000
|
5,194,988
|
|
U.S. Treasury Bonds
|
|
4.63
|
5-15-2054
|
|
610,000
|
609,238
|
|
U.S. Treasury Bonds
|
|
4.75
|
11-15-2043
|
|
1,475,000
|
1,478,688
|
|
U.S. Treasury Bonds
|
|
4.75
|
11-15-2053
|
|
4,310,000
|
4,390,812
|
|
U.S. Treasury Notes
|
|
2.75
|
4-30-2027
|
|
7,380,000
|
6,995,721
|
|
U.S. Treasury Notes
|
|
4.00
|
2-15-2034
|
|
870,000
|
836,423
|
|
U.S. Treasury Notes
|
|
4.25
|
1-31-2026
|
|
32,810,000
|
32,433,197
|
|
U.S. Treasury Notes
|
|
4.63
|
4-30-2031
|
|
3,170,000
|
3,193,280
|
|
U.S. Treasury Notes##
|
|
4.63
|
5-31-2031
|
|
3,160,000
|
3,184,194
|
|
U.S. Treasury Notes
|
|
5.00
|
9-30-2025
|
|
13,040,000
|
13,025,228
|
|
U.S. Treasury Principal STRIPS¤
|
|
0.00
|
5-15-2039
|
|
7,980,000
|
4,085,959
|
|
U.S. Treasury STRIPS¤
|
|
0.00
|
5-15-2040
|
|
7,275,000
|
3,371,224
|
|
Total U.S. Treasury securities (Cost $93,019,167)
|
|
|
|
|
|
88,356,616
|
|
|
|
Yield
|
|
Shares
|
|
|
|
Short-term investments: 1.65%
|
|
|
|
|
|
|
|
Investment companies: 1.65%
|
|
|
|
|
|
|
|
Allspring Government Money Market Fund Select Class♠∞##
|
|
5.24
|
|
|
7,692,661
|
7,692,661
|
|
Total short-term investments (Cost $7,692,661)
|
|
|
|
|
|
7,692,661
|
|
Total investments in securities (Cost $516,305,231)
|
101.99
%
|
|
|
|
|
476,782,790
|
|
Other assets and liabilities, net
|
(1.99
)
|
|
|
|
|
(9,297,332
)
|
|
Total net assets
|
100.00
%
|
|
|
|
|
$467,485,458
|
|
±
|
Variable rate investment. The rate shown is the rate in effect at period end.
|
|
¤
|
The security is issued in zero coupon form with no periodic interest payments.
|
|
±±
|
The coupon of the security is adjusted based on the principal and/or interest payments
received from the underlying pool of mortgages as well as the credit quality
and the actual prepayment speed of the underlying mortgages. The rate shown is the
rate in effect at period end.
|
|
%%
|
The security is purchased on a when-issued basis.
|
|
ƒ
|
Investment in an interest-only security that entitles holders to receive only the
interest payments on the underlying mortgages. The principal amount shown is the
notional amount of the underlying mortgages. The rate represents the coupon rate.
|
|
144A
|
The security may be resold in transactions exempt from registration, normally to qualified
institutional buyers, pursuant to Rule 144A under the Securities Act of
1933.
|
|
##
|
All or a portion of this security is segregated as collateral for when-issued securities.
|
|
♠
|
The issuer of the security is an affiliated person of the Fund as defined in the Investment
Company Act of 1940.
|
|
∞
|
The rate represents the 7-day annualized yield at period end.
|
|
Abbreviations:
|
|
|
COFI
|
Cost of Funds Index
|
|
FHLMC
|
Federal Home Loan Mortgage Corporation
|
|
FNMA
|
Federal National Mortgage Association
|
|
GNMA
|
Government National Mortgage Association
|
|
LIBOR
|
London Interbank Offered Rate
|
|
REIT
|
Real estate investment trust
|
|
RFUCCT1Y
|
Refinitiv USD IBOR Consumer Cash Fallbacks Term 1-year
|
|
SOFR
|
Secured Overnight Financing Rate
|
|
STRIPS
|
Separate trading of registered interest and principal securities
|
|
TVA
|
Tennessee Valley Authority
|
|
|
Value,
beginning of
period
|
Purchases
|
Sales
proceeds
|
Net
realized
gains
(losses)
|
Net
change in
unrealized
gains
(losses)
|
Value,
end of
period
|
Shares,
end
of period
|
Income
from
affiliated
securities
|
|
Short-term investments
|
|
|
|
|
|
|
|
|
|
Allspring Government Money Market Fund Select
Class
|
$24,023,931
|
$266,564,361
|
$(282,895,631
)
|
$0
|
$0
|
$7,692,661
|
7,692,661
|
$652,522
|
|
Description
|
Number of
contracts
|
Expiration
date
|
Notional
cost
|
Notional
value
|
Unrealized
gains
|
Unrealized
losses
|
|
Long
|
|
|
|
|
|
|
|
Ultra Long Term U.S. Treasury Bond
|
36
|
9-19-2024
|
$4,488,457
|
$4,407,750
|
$0
|
$(80,707
)
|
|
2-Year U.S. Treasury Notes
|
114
|
9-30-2024
|
23,244,904
|
23,222,157
|
0
|
(22,747
)
|
|
5-Year U.S. Treasury Notes
|
440
|
9-30-2024
|
46,699,141
|
46,550,625
|
0
|
(148,516
)
|
|
Short
|
|
|
|
|
|
|
|
Ultra 10-Year U.S. Treasury Notes
|
(31
)
|
9-19-2024
|
(3,480,666
)
|
(3,472,969
)
|
7,697
|
0
|
|
|
|
|
|
|
$7,697
|
$(251,970
)
|
|
|
Quoted prices
(Level 1)
|
Other significant
observable inputs
(Level 2)
|
Significant
unobservable inputs
(Level 3)
|
Total
|
|
Assets
|
|
|
|
|
|
Investments in:
|
|
|
|
|
|
Agency securities
|
$0
|
$334,314,135
|
$0
|
$334,314,135
|
|
Asset-backed securities
|
0
|
3,098,971
|
0
|
3,098,971
|
|
Corporate bonds and notes
|
0
|
20,283,658
|
0
|
20,283,658
|
|
Non-agency mortgage-backed securities
|
0
|
23,036,749
|
0
|
23,036,749
|
|
U.S. Treasury securities
|
80,899,433
|
7,457,183
|
0
|
88,356,616
|
|
Short-term investments
|
|
|
|
|
|
Investment companies
|
7,692,661
|
0
|
0
|
7,692,661
|
|
|
88,592,094
|
388,190,696
|
0
|
476,782,790
|
|
Futures contracts
|
7,697
|
0
|
0
|
7,697
|
|
Total assets
|
$88,599,791
|
$388,190,696
|
$0
|
$476,790,487
|
|
Liabilities
|
||||
|
Futures contracts
|
$251,970
|
$0
|
$0
|
$251,970
|
|
Total liabilities
|
$251,970
|
$0
|
$0
|
$251,970
|