Interest rate | Maturity date | Principal | Value | ||
Agency securities: 33.41% | |||||
FHLMC ¤ | 0.00% | 12-14-2029 | $ 6,390,000 | $ 4,754,768 | |
FHLMC | 1.50 | 8-25-2049 | 3,320,483 | 2,622,288 | |
FHLMC | 1.50 | 3-25-2051 | 6,384,142 | 5,112,040 | |
FHLMC | 1.75 | 5-15-2043 | 1,730,919 | 1,473,052 | |
FHLMC | 2.00 | 11-1-2040 | 1,064,054 | 907,235 | |
FHLMC | 2.00 | 1-1-2041 | 2,560,453 | 2,176,742 | |
FHLMC | 2.00 | 4-1-2041 | 2,883,334 | 2,458,119 | |
FHLMC | 2.00 | 7-1-2041 | 4,396,973 | 3,748,491 | |
FHLMC | 2.00 | 11-1-2041 | 2,165,820 | 1,835,650 | |
FHLMC | 2.00 | 11-1-2041 | 2,892,984 | 2,451,964 | |
FHLMC | 2.00 | 12-1-2041 | 12,752,495 | 10,808,439 | |
FHLMC | 2.00 | 1-1-2042 | 3,340,769 | 2,831,470 | |
FHLMC | 2.00 | 2-1-2042 | 18,535,610 | 15,712,306 | |
FHLMC | 2.00 | 4-1-2042 | 4,532,326 | 3,825,140 | |
FHLMC | 2.00 | 4-1-2042 | 5,275,280 | 4,471,838 | |
FHLMC | 2.00 | 2-1-2047 | 2,155,309 | 1,766,707 | |
FHLMC | 2.00 | 6-25-2049 | 1,986,607 | 1,633,249 | |
FHLMC | 2.00 | 12-1-2051 | 1,529,921 | 1,253,818 | |
FHLMC (12 Month LIBOR +1.65%) ± | 2.29 | 3-1-2043 | 633,929 | 650,718 | |
FHLMC (12 Month LIBOR +1.64%) ± | 2.30 | 8-1-2043 | 465,723 | 471,819 | |
FHLMC (12 Month LIBOR +1.64%) ± | 2.36 | 7-1-2043 | 320,799 | 324,718 | |
FHLMC | 2.45 | 4-25-2032 | 4,278,000 | 3,650,962 | |
FHLMC | 2.50 | 4-1-2042 | 1,456,391 | 1,263,846 | |
FHLMC | 2.50 | 5-1-2042 | 6,398,216 | 5,568,160 | |
FHLMC | 2.50 | 6-1-2042 | 2,259,987 | 1,957,713 | |
FHLMC | 2.50 | 7-25-2048 | 4,188,974 | 3,727,366 | |
FHLMC | 2.50 | 11-25-2048 | 1,874,884 | 1,633,782 | |
FHLMC | 2.50 | 4-25-2049 | 4,691,108 | 4,033,572 | |
FHLMC | 2.50 | 5-25-2049 | 2,905,259 | 2,564,569 | |
FHLMC | 2.50 | 5-25-2049 | 4,233,164 | 3,667,107 | |
FHLMC | 2.50 | 7-25-2049 | 3,614,230 | 3,240,189 | |
FHLMC | 2.50 | 8-1-2051 | 1,698,037 | 1,448,372 | |
FHLMC | 2.50 | 9-1-2051 | 10,990,438 | 9,449,136 | |
FHLMC | 2.50 | 1-1-2052 | 11,178,614 | 9,523,918 | |
FHLMC | 2.50 | 2-1-2052 | 1,190,827 | 1,014,364 | |
FHLMC | 2.50 | 3-1-2052 | 3,868,100 | 3,293,699 | |
FHLMC (12 Month LIBOR +1.63%) ± | 2.51 | 11-1-2043 | 519,089 | 522,684 | |
FHLMC (12 Month LIBOR +1.65%) ± | 2.55 | 10-1-2043 | 966,801 | 981,780 | |
FHLMC (12 Month LIBOR +1.61%) ± | 2.56 | 9-1-2043 | 250,901 | 253,538 | |
FHLMC (12 Month LIBOR +1.64%) ± | 2.66 | 9-1-2045 | 5,816,531 | 5,908,472 | |
FHLMC (12 Month LIBOR +1.61%) ± | 2.67 | 10-1-2043 | 572,359 | 577,279 | |
FHLMC (12 Month LIBOR +1.64%) ± | 2.82 | 5-1-2049 | 1,874,065 | 1,822,166 | |
FHLMC (12 Month LIBOR +1.72%) ± | 2.84 | 1-1-2044 | 1,040,958 | 1,058,553 | |
FHLMC | 2.92 | 6-25-2032 | 2,296,000 | 2,026,274 | |
FHLMC | 3.00 | 4-1-2040 | 2,935,938 | 2,664,488 | |
FHLMC | 3.00 | 7-15-2042 | 5,480,874 | 4,947,728 | |
FHLMC | 3.00 | 9-1-2046 | 5,356,617 | 4,822,550 | |
FHLMC | 3.00 | 10-15-2047 | 4,072,430 | 3,680,243 | |
FHLMC | 3.00 | 11-1-2048 | 1,842,302 | 1,653,534 | |
FHLMC | 3.00 | 5-15-2050 | 3,299,212 | 2,998,274 | |
FHLMC ±± | 3.12 | 8-25-2032 | 4,268,000 | 3,819,654 | |
FHLMC (12 Month LIBOR +1.64%) ± | 3.47 | 3-1-2049 | 2,579,111 | 2,565,583 | |
FHLMC | 3.50 | 6-1-2046 | 2,350,173 | 2,174,426 | |
FHLMC | 3.50 | 10-1-2046 | 1,931,559 | 1,796,685 |
Interest rate | Maturity date | Principal | Value | ||
Agency securities (continued) | |||||
FHLMC (12 Month LIBOR +1.69%) ± | 3.73% | 9-1-2047 | $ 5,374,472 | $ 5,474,430 | |
FHLMC (30 Day Average U.S. SOFR +2.13%) ± | 3.91 | 7-1-2052 | 2,301,704 | 2,214,378 | |
FHLMC (12 Month LIBOR +1.64%) ± | 3.97 | 4-1-2048 | 6,187,511 | 6,212,554 | |
FHLMC (30 Day Average U.S. SOFR +2.14%) ± | 3.99 | 8-1-2052 | 3,093,391 | 2,941,440 | |
FHLMC | 4.00 | 4-1-2037 | 1,209,678 | 1,173,480 | |
FHLMC | 4.00 | 7-1-2049 | 7,795,385 | 7,538,989 | |
FHLMC (30 Day Average U.S. SOFR +2.38%) ± | 4.12 | 9-1-2052 | 1,755,488 | 1,693,845 | |
FHLMC (30 Day Average U.S. SOFR +2.13%) ± | 4.30 | 7-1-2052 | 2,753,816 | 2,675,116 | |
FHLMC | 4.50 | 6-1-2039 | 187,614 | 183,323 | |
FHLMC | 4.50 | 7-1-2039 | 226,260 | 221,535 | |
FHLMC (30 Day Average U.S. SOFR +0.20%) ± | 4.68 | 6-25-2051 | 3,973,182 | 3,821,222 | |
FHLMC (12 Month LIBOR +1.77%) ± | 5.50 | 9-1-2042 | 420,341 | 432,246 | |
FHLMC (12 Month LIBOR +1.69%) ± | 5.91 | 2-1-2043 | 700,873 | 717,890 | |
FHLMC | 7.00 | 9-15-2026 | 101 | 102 | |
FHLMC | 2.58 | 5-25-2032 | 4,278,000 | 3,668,611 | |
FHLMC ±± | 3.00 | 6-25-2032 | 8,221,000 | 7,302,639 | |
FNMA ¤ | 0.00 | 11-15-2030 | 18,777,000 | 13,411,464 | |
FNMA | 1.50 | 10-1-2041 | 14,362,836 | 11,610,373 | |
FNMA | 1.50 | 11-1-2041 | 40,186,425 | 32,932,512 | |
FNMA | 1.50 | 1-25-2043 | 2,077,693 | 1,748,710 | |
FNMA | 1.50 | 1-25-2043 | 6,670,054 | 5,881,599 | |
FNMA | 1.50 | 5-25-2051 | 10,228,591 | 8,367,024 | |
FNMA | 1.50 | 11-25-2051 | 5,924,560 | 4,851,694 | |
FNMA | 1.52 | 8-21-2035 | 8,018,000 | 5,557,132 | |
FNMA (30 Day Average U.S. SOFR +2.21%) ± | 1.62 | 12-1-2051 | 1,481,709 | 1,310,660 | |
FNMA | 1.70 | 8-25-2033 | 7,602,221 | 6,819,843 | |
FNMA | 1.75 | 5-25-2043 | 2,384,784 | 2,033,030 | |
FNMA | 1.75 | 6-25-2046 | 15,252,996 | 12,635,890 | |
FNMA | 1.90 | 1-25-2036 | 7,437,000 | 5,351,040 | |
FNMA | 2.00 | 6-25-2038 | 7,618,986 | 6,834,581 | |
FNMA | 2.00 | 12-1-2040 | 22,739,253 | 19,387,862 | |
FNMA | 2.00 | 1-1-2041 | 16,075,535 | 13,576,932 | |
FNMA | 2.00 | 4-1-2041 | 1,858,426 | 1,584,618 | |
FNMA | 2.00 | 10-1-2041 | 7,560,282 | 6,445,286 | |
FNMA | 2.00 | 1-1-2042 | 4,978,957 | 4,219,912 | |
FNMA | 2.00 | 1-1-2042 | 3,056,281 | 2,579,406 | |
FNMA | 2.00 | 2-1-2042 | 38,837,085 | 32,921,448 | |
FNMA | 2.00 | 2-1-2042 | 9,112,170 | 7,724,180 | |
FNMA | 2.00 | 2-1-2042 | 5,023,363 | 4,258,220 | |
FNMA | 2.00 | 3-1-2042 | 20,869,118 | 17,612,864 | |
FNMA | 2.00 | 4-1-2042 | 3,885,048 | 3,293,324 | |
FNMA | 2.00 | 5-1-2042 | 2,331,383 | 1,976,298 | |
FNMA | 2.00 | 8-1-2042 | 4,312,766 | 3,639,857 | |
FNMA | 2.00 | 4-1-2046 | 11,068,676 | 9,110,285 | |
FNMA | 2.00 | 1-1-2047 | 2,032,007 | 1,668,144 | |
FNMA | 2.00 | 3-1-2047 | 2,141,117 | 1,761,691 | |
FNMA | 2.00 | 3-1-2047 | 12,471,799 | 10,230,748 | |
FNMA | 2.00 | 1-25-2048 | 3,451,515 | 3,036,127 | |
FNMA | 2.00 | 7-25-2050 | 7,877,452 | 6,553,667 | |
FNMA | 2.00 | 7-25-2050 | 3,518,113 | 2,901,859 | |
FNMA (12 Month LIBOR +1.56%) ± | 2.26 | 6-1-2043 | 390,389 | 398,630 | |
FNMA | 2.50 | 12-1-2035 | 12,552,872 | 11,507,449 | |
FNMA | 2.50 | 5-1-2036 | 6,578,278 | 6,029,655 | |
FNMA | 2.50 | 6-1-2036 | 7,839,389 | 7,186,087 | |
FNMA | 2.50 | 12-1-2040 | 6,833,829 | 5,998,340 |
Interest rate | Maturity date | Principal | Value | ||
Agency securities (continued) | |||||
FNMA | 2.50% | 5-1-2041 | $ 7,211,271 | $ 6,328,730 | |
FNMA | 2.50 | 8-1-2041 | 4,019,752 | 3,515,415 | |
FNMA | 2.50 | 2-1-2042 | 4,213,002 | 3,697,884 | |
FNMA | 2.50 | 4-1-2042 | 10,164,580 | 8,858,474 | |
FNMA | 2.50 | 5-1-2042 | 5,243,977 | 4,550,707 | |
FNMA | 2.50 | 6-1-2042 | 4,831,252 | 4,210,470 | |
FNMA | 2.50 | 5-1-2046 | 2,001,046 | 1,726,293 | |
FNMA | 2.50 | 3-25-2047 | 2,690,952 | 2,348,386 | |
FNMA | 2.50 | 7-25-2047 | 9,397,354 | 8,383,174 | |
FNMA | 2.50 | 12-1-2047 | 9,921,935 | 8,781,987 | |
FNMA | 2.50 | 10-1-2050 | 6,457,569 | 5,565,511 | |
FNMA | 2.50 | 6-1-2051 | 4,509,736 | 3,850,097 | |
FNMA | 2.50 | 9-1-2051 | 5,156,752 | 4,399,254 | |
FNMA | 2.50 | 11-25-2051 | 3,729,991 | 3,241,053 | |
FNMA | 2.50 | 12-1-2051 | 9,423,787 | 8,053,895 | |
FNMA | 2.50 | 12-1-2051 | 4,537,232 | 3,877,684 | |
FNMA | 2.50 | 12-1-2051 | 13,765,318 | 11,764,344 | |
FNMA | 2.50 | 3-1-2052 | 1,827,329 | 1,562,761 | |
FNMA | 2.50 | 3-1-2052 | 2,934,724 | 2,498,927 | |
FNMA ±± | 2.59 | 6-25-2032 | 3,393,000 | 2,931,111 | |
FNMA ±± | 2.96 | 2-25-2027 | 1,517,842 | 1,417,794 | |
FNMA (12 Month LIBOR +1.60%) ± | 2.98 | 3-1-2050 | 5,874,343 | 5,711,134 | |
FNMA | 3.00 | 7-25-2040 | 4,303,864 | 3,878,282 | |
FNMA | 3.00 | 11-1-2042 | 3,693,991 | 3,343,059 | |
FNMA | 3.00 | 1-1-2043 | 4,523,229 | 4,086,296 | |
FNMA | 3.00 | 2-1-2043 | 17,742,115 | 15,858,292 | |
FNMA | 3.00 | 7-1-2043 | 2,814,332 | 2,546,920 | |
FNMA | 3.00 | 8-1-2043 | 3,895,436 | 3,525,392 | |
FNMA | 3.00 | 12-1-2043 | 3,702,600 | 3,351,147 | |
FNMA | 3.00 | 2-1-2044 | 3,832,225 | 3,468,490 | |
FNMA | 3.00 | 5-25-2044 | 2,484,103 | 2,240,530 | |
FNMA | 3.00 | 10-1-2044 | 19,164,206 | 17,184,832 | |
FNMA | 3.00 | 2-1-2045 | 3,972,507 | 3,595,465 | |
FNMA | 3.00 | 2-1-2045 | 2,124,227 | 1,916,670 | |
FNMA | 3.00 | 8-25-2046 | 2,140,240 | 1,963,063 | |
FNMA | 3.00 | 10-1-2046 | 5,408,912 | 4,862,449 | |
FNMA | 3.00 | 10-1-2046 | 5,595,499 | 5,064,286 | |
FNMA | 3.00 | 11-1-2046 | 6,552,245 | 5,908,177 | |
FNMA | 3.00 | 11-1-2046 | 4,562,681 | 4,100,070 | |
FNMA | 3.00 | 12-1-2046 | 15,355,435 | 13,845,232 | |
FNMA | 3.00 | 1-1-2047 | 3,196,502 | 2,872,412 | |
FNMA | 3.00 | 2-1-2047 | 10,285,704 | 9,309,456 | |
FNMA | 3.00 | 2-1-2048 | 2,688,883 | 2,418,245 | |
FNMA | 3.00 | 3-25-2048 | 2,640,821 | 2,448,862 | |
FNMA | 3.00 | 4-1-2048 | 12,145,438 | 10,992,822 | |
FNMA | 3.00 | 5-25-2048 | 5,650,003 | 5,136,183 | |
FNMA | 3.00 | 12-1-2048 | 8,510,784 | 7,627,237 | |
FNMA | 3.00 | 10-1-2049 | 46,501,316 | 42,087,565 | |
FNMA | 3.00 | 2-1-2050 | 6,988,017 | 6,300,952 | |
FNMA | 3.00 | 2-1-2050 | 29,775,401 | 26,790,601 | |
FNMA | 3.00 | 5-1-2050 | 11,462,746 | 10,257,856 | |
FNMA | 3.00 | 7-1-2050 | 22,587,736 | 20,366,558 | |
FNMA | 3.00 | 2-1-2055 | 2,037,842 | 1,819,025 | |
FNMA | 3.00 | 7-1-2060 | 26,348,264 | 23,109,162 | |
FNMA (12 Month LIBOR +1.58%) ± | 3.17 | 10-1-2043 | 1,287,608 | 1,302,781 |
Interest rate | Maturity date | Principal | Value | ||
Agency securities (continued) | |||||
FNMA (12 Month LIBOR +1.57%) ± | 3.31% | 3-1-2043 | $ 196,885 | $ 203,239 | |
FNMA | 3.50 | 3-1-2042 | 2,375,685 | 2,228,789 | |
FNMA | 3.50 | 7-1-2042 | 1,629,503 | 1,528,592 | |
FNMA | 3.50 | 8-1-2042 | 2,365,124 | 2,218,919 | |
FNMA | 3.50 | 9-1-2042 | 2,432,269 | 2,281,923 | |
FNMA | 3.50 | 10-25-2042 | 4,972,476 | 4,615,712 | |
FNMA | 3.50 | 11-1-2042 | 1,968,245 | 1,846,521 | |
FNMA | 3.50 | 11-1-2042 | 5,190,268 | 4,845,098 | |
FNMA | 3.50 | 12-1-2043 | 9,593,494 | 8,932,076 | |
FNMA | 3.50 | 2-1-2046 | 5,244,553 | 4,882,279 | |
FNMA | 3.50 | 7-1-2047 | 24,450,475 | 22,939,646 | |
FNMA | 3.50 | 7-1-2048 | 1,692,411 | 1,561,016 | |
FNMA | 3.50 | 12-25-2048 | 2,104,906 | 1,989,316 | |
FNMA | 3.50 | 6-1-2049 | 27,533,709 | 25,485,861 | |
FNMA | 3.50 | 7-1-2049 | 15,028,632 | 13,871,338 | |
FNMA | 3.50 | 4-1-2050 | 5,435,613 | 5,080,834 | |
FNMA | 3.50 | 4-1-2050 | 8,303,069 | 7,645,239 | |
FNMA %% | 3.50 | 3-13-2053 | 14,200,000 | 12,925,328 | |
FNMA (30 Day Average U.S. SOFR +2.37%) ± | 3.68 | 8-1-2052 | 3,448,600 | 3,290,136 | |
FNMA (12 Month LIBOR +1.58%) ± | 3.74 | 6-1-2045 | 1,540,763 | 1,552,014 | |
FNMA (12 Month LIBOR +1.58%) ± | 3.83 | 1-1-2046 | 3,970,117 | 3,986,487 | |
FNMA (30 Day Average U.S. SOFR +2.12%) ± | 3.96 | 8-1-2052 | 2,257,091 | 2,150,400 | |
FNMA | 4.00 | 1-1-2027 | 10,772,011 | 10,514,499 | |
FNMA | 4.00 | 9-1-2033 | 1,478,250 | 1,452,669 | |
FNMA | 4.00 | 3-1-2035 | 26,090,664 | 25,466,161 | |
FNMA | 4.00 | 10-1-2037 | 1,030,391 | 988,383 | |
FNMA | 4.00 | 6-1-2038 | 1,932,394 | 1,853,737 | |
FNMA | 4.00 | 9-1-2045 | 609,866 | 598,666 | |
FNMA | 4.00 | 1-1-2046 | 4,357,740 | 4,277,713 | |
FNMA | 4.00 | 4-1-2047 | 593,743 | 568,035 | |
FNMA | 4.00 | 4-1-2047 | 408,780 | 398,792 | |
FNMA | 4.00 | 4-1-2047 | 76,813 | 73,508 | |
FNMA | 4.00 | 10-1-2047 | 503,891 | 491,582 | |
FNMA | 4.00 | 10-1-2047 | 411,249 | 397,995 | |
FNMA | 4.00 | 7-1-2048 | 13,606,289 | 13,048,483 | |
FNMA | 4.00 | 12-1-2048 | 2,167,050 | 2,114,104 | |
FNMA | 4.00 | 5-1-2049 | 300,838 | 285,311 | |
FNMA | 4.00 | 5-1-2049 | 1,953,335 | 1,887,049 | |
FNMA (30 Day Average U.S. SOFR +2.13%) ± | 4.15 | 10-1-2052 | 11,918,901 | 11,625,824 | |
FNMA (30 Day Average U.S. SOFR +2.12%) ± | 4.17 | 7-1-2052 | 5,753,659 | 5,527,528 | |
FNMA (30 Day Average U.S. SOFR +2.37%) ± | 4.23 | 9-1-2052 | 1,710,675 | 1,659,052 | |
FNMA (30 Day Average U.S. SOFR +2.13%) ± | 4.25 | 11-1-2052 | 3,904,352 | 3,820,485 | |
FNMA (30 Day Average U.S. SOFR +2.13%) ± | 4.32 | 8-1-2052 | 6,332,013 | 6,180,569 | |
FNMA (30 Day Average U.S. SOFR +2.12%) ± | 4.35 | 7-1-2052 | 5,972,037 | 5,835,707 | |
FNMA | 4.50 | 6-1-2041 | 175,654 | 174,384 | |
FNMA | 4.50 | 3-1-2043 | 2,284,292 | 2,267,771 | |
FNMA | 4.50 | 10-1-2045 | 3,575,652 | 3,517,717 | |
FNMA | 4.50 | 2-1-2046 | 90,813 | 89,682 | |
FNMA | 4.50 | 7-1-2048 | 3,534,986 | 3,506,290 | |
FNMA | 4.50 | 11-1-2048 | 1,537,018 | 1,550,359 | |
FNMA (30 Day Average U.S. SOFR +2.13%) ± | 4.62 | 8-1-2052 | 6,867,976 | 6,765,864 | |
FNMA (30 Day Average U.S. SOFR +2.12%) ± | 4.65 | 8-1-2052 | 5,363,941 | 5,233,223 | |
FNMA (30 Day Average U.S. SOFR +2.13%) ± | 4.65 | 8-1-2052 | 5,379,406 | 5,303,816 | |
FNMA (1 Month LIBOR +0.30%) ± | 4.92 | 12-25-2048 | 6,546,221 | 6,405,778 | |
FNMA (1 Month LIBOR +0.45%) ± | 5.07 | 6-25-2050 | 2,054,416 | 2,005,571 |
Interest rate | Maturity date | Principal | Value | ||
Agency securities (continued) | |||||
FNMA (1 Month LIBOR +0.50%) ± | 5.12% | 4-25-2049 | $ 1,484,825 | $ 1,462,624 | |
FNMA | 5.50 | 9-1-2052 | 4,508,695 | 4,637,410 | |
FNMA %% | 5.50 | 3-13-2053 | 15,500,000 | 15,473,359 | |
FNMA | 6.00 | 2-1-2029 | 1,204 | 1,219 | |
FNMA | 6.00 | 3-1-2033 | 15,949 | 16,451 | |
FNMA | 6.00 | 11-1-2033 | 5,457 | 5,629 | |
FNMA (12 Month LIBOR +1.64%) ± | 6.13 | 1-1-2043 | 278,124 | 283,891 | |
FNMA | 6.50 | 11-1-2052 | 1,916,468 | 2,021,881 | |
FNMA | 6.50 | 12-1-2052 | 1,369,865 | 1,454,990 | |
FNMA | 6.50 | 2-1-2053 | 995,183 | 1,061,920 | |
FNMA | 7.00 | 2-1-2053 | 3,898,270 | 4,036,524 | |
FNMA %% | 6.00 | 4-13-2053 | 7,500,000 | 7,580,823 | |
FNMA %% | 6.00 | 5-11-2053 | 6,500,000 | 6,561,921 | |
FNMA %% | 6.50 | 4-13-2053 | 20,700,000 | 21,172,118 | |
FNMA Series MA4387 Class FN | 2.00 | 7-1-2041 | 20,381,967 | 17,377,200 | |
FNMA Series MA2863 Class FN | 3.00 | 1-1-2047 | 2,361,839 | 2,123,710 | |
FNMA Series MA4268 Class FN | 2.00 | 2-1-2041 | 1,065,575 | 897,934 | |
FNMA Series MA4333 Class FN | 2.00 | 5-1-2041 | 5,216,860 | 4,447,944 | |
FNMA Series MA4364 Class FN | 2.00 | 6-1-2041 | 1,289,518 | 1,099,444 | |
FNMA Series MA4407 Class FN | 2.00 | 8-1-2041 | 1,467,418 | 1,250,988 | |
FNMA Series MA2895 Class FN | 3.00 | 2-1-2047 | 2,626,797 | 2,357,611 | |
FNMA Series MA4176 Class FN | 2.00 | 11-1-2040 | 826,429 | 704,633 | |
FNMA POOL MA4017 FN 05 | 3.00 | 5-1-2040 | 6,794,026 | 6,149,345 | |
FNMA POOL MA4377 FN 07 | 1.50 | 7-1-2051 | 17,135,341 | 13,265,436 | |
FNMA Series MA4204 Class FN | 2.00 | 12-1-2040 | 5,932,404 | 5,058,085 | |
GNMA | 2.00 | 9-20-2051 | 4,419,454 | 3,581,686 | |
GNMA | 3.00 | 10-20-2046 | 613,344 | 547,785 | |
GNMA | 3.00 | 12-20-2046 | 916,801 | 817,857 | |
GNMA | 3.00 | 1-20-2047 | 695,796 | 620,700 | |
GNMA | 3.00 | 3-20-2047 | 2,160,351 | 1,927,207 | |
GNMA | 3.00 | 3-20-2047 | 282,880 | 252,351 | |
GNMA | 3.00 | 4-20-2047 | 1,699,086 | 1,515,728 | |
GNMA | 3.00 | 7-20-2047 | 1,263,060 | 1,132,799 | |
GNMA | 3.00 | 9-20-2047 | 1,155,594 | 1,030,874 | |
GNMA | 3.00 | 9-20-2047 | 688,928 | 614,567 | |
GNMA | 3.00 | 11-20-2047 | 243,932 | 217,605 | |
GNMA | 3.00 | 3-20-2048 | 365,218 | 325,801 | |
GNMA | 3.00 | 10-20-2050 | 9,861,334 | 8,830,773 | |
GNMA | 3.50 | 1-20-2048 | 2,413,535 | 2,248,700 | |
GNMA | 4.00 | 6-20-2047 | 16,974,923 | 16,276,223 | |
GNMA | 4.00 | 3-20-2048 | 641,609 | 609,299 | |
GNMA | 4.00 | 4-20-2048 | 964,269 | 915,709 | |
GNMA | 4.00 | 4-20-2048 | 677,515 | 643,397 | |
GNMA | 4.00 | 4-20-2048 | 706,253 | 670,687 | |
GNMA | 4.50 | 8-15-2047 | 404,386 | 400,442 | |
GNMA | 4.50 | 6-20-2048 | 2,560,675 | 2,517,407 | |
GNMA | 4.50 | 2-20-2049 | 2,936,618 | 2,811,225 | |
GNMA (30 Day Average U.S. SOFR +0.70%) ± | 5.13 | 11-20-2052 | 10,393,250 | 10,442,367 | |
GNMA Series CL3644 Class G2 | 3.00 | 2-20-2048 | 915,111 | 816,344 | |
GNMA Series CM1041 Class G2 | 3.00 | 12-20-2046 | 259,605 | 231,586 | |
GNMA Series CN5874 Class G2 | 3.00 | 1-20-2048 | 1,005,543 | 897,014 | |
GNMA Series CP3380 Class G2 | 3.00 | 11-20-2047 | 634,188 | 565,738 | |
GNMA Series CP9544 Class G2 | 3.00 | 7-20-2047 | 1,191,075 | 1,062,520 | |
GNMA Series 6713 Class G2 | 3.00 | 12-20-2047 | 238,048 | 212,355 | |
GNMA Series 786309 Class GN | 3.00 | 11-15-2047 | 11,287,545 | 10,388,460 |
Interest rate | Maturity date | Principal | Value | ||
Agency securities (continued) | |||||
GNMA Series CN6482 Class G2 | 3.00% | 1-20-2048 | $ 407,857 | $ 363,836 | |
GNMA II POOL 786481 G2 01 | 6.00 | 1-20-2053 | 4,967,336 | 5,138,723 | |
GNMA Series 2021-27 Class BD | 5.00 | 2-20-2051 | 2,412,089 | 2,418,822 | |
GNMA Series 2021-27 Class CW ±± | 5.00 | 2-20-2051 | 1,434,709 | 1,420,183 | |
GNMA Series 2021-27 Class NT | 5.00 | 2-20-2051 | 2,894,688 | 2,820,478 | |
GNMA Series 2021-8 Class CY | 5.00 | 1-20-2051 | 943,323 | 934,370 | |
GNMA Series CM2623 Class G2 | 3.00 | 6-20-2043 | 4,301,950 | 3,876,398 | |
GNMA Series CN9873 Class G2 | 3.00 | 8-20-2043 | 1,396,252 | 1,258,130 | |
GNMA Series CO7019 Class G2 | 3.00 | 1-20-2047 | 356,425 | 318,180 | |
GNMA Series CO7322 Class G2 | 3.00 | 4-20-2047 | 1,623,739 | 1,448,497 | |
GNMA Series CO7380 Class G2 | 3.00 | 5-20-2047 | 608,897 | 543,182 | |
GNMA Series CO9408 Class G2 | 3.00 | 2-20-2048 | 214,097 | 190,986 | |
GNMA Series CO9450 Class G2 | 3.00 | 1-20-2047 | 1,411,256 | 1,258,937 | |
GNMA Series CO9673 Class G2 | 3.00 | 12-20-2046 | 841,526 | 750,699 | |
GNMA Series 2012-141 Class WA ±± | 4.52 | 11-16-2041 | 822,312 | 805,173 | |
GNMA Series 2017-167 Class BQ | 2.50 | 8-20-2044 | 2,616,539 | 2,382,129 | |
GNMA Series 2021-23 Class MG | 1.50 | 2-20-2051 | 7,715,551 | 6,340,766 | |
GNMA Series 2021-27 Class Q | 5.00 | 2-20-2051 | 2,541,936 | 2,482,988 | |
GNMA Series 2022-107 Class C | 2.50 | 6-20-2051 | 12,051,938 | 10,367,659 | |
GNMA Series 2022-31 Class GH | 2.50 | 12-20-2049 | 8,136,473 | 7,219,465 | |
GNMA Series 2022-50 Class DC | 2.50 | 8-20-2051 | 3,714,566 | 3,185,952 | |
GNMA Series 2022-84 Class A | 2.50 | 1-20-2052 | 4,262,075 | 3,639,582 | |
GNMA Series CN0172 Class G2 | 3.00 | 12-20-2046 | 240,042 | 214,136 | |
Total Agency securities (Cost $1,499,541,477) | 1,428,629,569 | ||||
Asset-backed securities: 11.35% | |||||
Ally Auto Receivables Trust Series 2022-1 Class A3 | 3.31 | 11-15-2026 | 4,276,000 | 4,157,111 | |
Ally Auto Receivables Trust Series 2022-3 Class A4 | 5.07 | 6-15-2031 | 1,860,000 | 1,862,895 | |
American Express Credit Account Master Trust Series 2022-3 Class A | 3.75 | 8-15-2027 | 2,972,000 | 2,885,019 | |
American Express Credit Account Master Trust Series 2022-4 Class A | 4.95 | 10-15-2027 | 4,123,000 | 4,122,665 | |
AmeriCredit Automobile Receivables Series 2022-1 Class A3 | 2.45 | 11-18-2026 | 1,432,000 | 1,378,711 | |
AmeriCredit Automobile Receivables Series 2022-2 Class A3 | 4.38 | 4-18-2028 | 3,567,000 | 3,512,477 | |
Avis Budget Rental Car Funding (AESOP) LLC Series 144A | 4.77 | 2-20-2029 | 3,340,000 | 3,240,266 | |
Avis Budget Rental Car Funding (AESOP) LLC 144A | 5.20 | 10-20-2027 | 4,141,000 | 4,083,041 | |
Avis Budget Rental Car Funding (AESOP) LLC 144A | 5.25 | 4-20-2029 | 8,286,000 | 8,196,511 | |
Avis Budget Rental Car Funding (AESOP) LLC Series 144A | 1.66 | 2-20-2028 | 7,680,000 | 6,670,839 | |
Avis Budget Rental Car Funding (AESOP) LLC Series 144A | 2.36 | 3-20-2026 | 3,825,000 | 3,598,190 | |
Bank of America Credit Card Trust Series 2022-A1 Class A1 | 3.53 | 11-15-2027 | 4,832,000 | 4,673,159 | |
BMW Vehicle Lease Trust Series 2023 1 Class A4 | 5.07 | 6-25-2026 | 2,481,000 | 2,469,183 | |
BMW Vehicle Lease Trust Series 2023-1 Class A3 | 5.16 | 11-25-2025 | 2,965,000 | 2,961,316 | |
Capital One Multi-Asset Execution Trust Series 2021-A2 Class A2 | 1.39 | 7-15-2030 | 2,218,000 | 1,873,779 | |
Capital One Multi-Asset Execution Trust Series 2022-A3 Class A | 4.95 | 10-15-2027 | 4,294,000 | 4,291,337 | |
Capital One Prime Auto Receivable Trust | 4.76 | 8-15-2028 | 3,423,000 | 3,394,277 | |
Capital One Prime Auto Receivable Trust | 4.87 | 2-15-2028 | 10,269,000 | 10,205,793 | |
Capital One Series 2022-A2 Class A | 3.49 | 5-15-2027 | 5,110,000 | 4,941,782 | |
Chase Auto Owner Trust Series 2022-AA Class A4 144A | 3.99 | 3-27-2028 | 2,419,000 | 2,349,286 | |
College Avenue Student Loan Trust Series 2017-A Class A1 (1 Month LIBOR +1.65%) 144A± | 6.27 | 11-26-2046 | 1,516,857 | 1,489,770 |
Interest rate | Maturity date | Principal | Value | ||
Asset-backed securities (continued) | |||||
College Avenue Student Loan Trust Series 2018-A Class A2 144A | 4.13% | 12-26-2047 | $ 1,249,022 | $ 1,164,114 | |
College Avenue Student Loan Trust Series 2019-A Class A2 144A | 3.28 | 12-28-2048 | 2,109,727 | 1,909,123 | |
College Avenue Student Loan Trust Series 2021-A Class A2 144A | 1.60 | 7-25-2051 | 2,707,740 | 2,337,990 | |
Discover Card Series 2022-A3 Class A3 | 3.56 | 7-15-2027 | 16,027,000 | 15,499,369 | |
Enterprise Fleet Financing LLC 144A%% | 5.59 | 10-22-2029 | 3,036,000 | 3,038,846 | |
Enterprise Fleet Financing LLC 144A%% | 5.68 | 1-22-2029 | 4,926,000 | 4,929,079 | |
Ford Credit Auto Lease Trust 144A | 4.85 | 8-15-2035 | 12,829,000 | 12,689,331 | |
Ford Credit Auto Lease Trust Series 2023 A A3 | 4.94 | 3-15-2026 | 5,301,000 | 5,273,318 | |
Ford Credit Auto Lease Trust Series 2023 A A4 | 4.83 | 5-15-2026 | 2,649,000 | 2,627,979 | |
Ford Credit Auto Owner Trust Series 2022-C Class A4 | 4.59 | 12-15-2027 | 6,031,000 | 5,967,695 | |
Ford Credit Auto Owner Trust Series 2022 -1 Class A 144A | 3.88 | 11-15-2034 | 11,752,000 | 11,199,301 | |
Ford Credit Auto Owner Trust Series 2022-A Class A3 | 1.29 | 6-15-2026 | 2,308,000 | 2,197,767 | |
Ford Credit Auto Owner Trust Series 2022-A Class A4 | 3.37 | 7-15-2025 | 1,710,000 | 1,666,061 | |
Ford Credit Auto Owner Trust Series 2022-D Class A4 | 5.30 | 3-15-2028 | 1,673,000 | 1,680,622 | |
GM Financial Automobile Leasing Trust Series 2022-2 Class A3 | 3.42 | 6-20-2025 | 1,969,000 | 1,924,897 | |
GM Financial Automobile Leasing Trust Series 2023 Class A3 | 5.16 | 4-20-2026 | 2,634,000 | 2,632,308 | |
GM Financial Automobile Leasing Trust Series 2023 Class A4 | 5.16 | 1-20-2027 | 3,702,000 | 3,685,216 | |
GM Financial Revolving Receivable Trust Series 2022 -1 Class A 144A | 5.91 | 10-11-2035 | 4,422,000 | 4,569,448 | |
GM Financial Securitized Term Series 2022-2 Class A3 | 3.10 | 2-16-2027 | 9,921,000 | 9,588,694 | |
GM Financial Securitized Term Series 2022-2 Class A4 | 3.25 | 4-17-2028 | 5,291,000 | 5,046,853 | |
GM Financial Securitized Term Series 2022-4 Class A3 | 4.82 | 8-16-2027 | 4,868,000 | 4,830,634 | |
Hertz Vehicle Financing LLC Series 2021-2A Class A 144A | 1.68 | 12-27-2027 | 4,377,000 | 3,811,043 | |
Hertz Vehicle Financing LLC Series 2022-1A Class A 144A | 1.99 | 6-25-2026 | 8,169,000 | 7,555,112 | |
Hertz Vehicle Financing LLC Series 2022-2A Class A 144A | 2.33 | 6-26-2028 | 4,182,000 | 3,688,453 | |
Hertz Vehicle Financing LLC Series 2022-4A Class A 144A | 3.73 | 9-25-2026 | 1,924,000 | 1,838,241 | |
Hertz Vehicle Financing LLC Series 2023 -2A Class A 144A%% | 5.57 | 9-25-2029 | 8,139,000 | 8,127,237 | |
Honda Automobile Receivables Owners Trust Series 2022-2 Class A4 | 3.76 | 12-18-2028 | 2,317,000 | 2,233,336 | |
Honda Automobile Receivables Owners Trust Series 2023-1 Class A3 | 5.04 | 4-21-2027 | 8,900,000 | 8,883,128 | |
Honda Automobile Receivables Owners Trust Series 2023-1 Class A4 | 4.97 | 6-21-2029 | 4,278,000 | 4,275,589 | |
Hyundai Auto Lease Securitization Series 2022-C Class A4 144A | 4.48 | 8-17-2026 | 4,938,000 | 4,850,209 | |
Hyundai Auto Lease Securitization Series 2023-A Class A4 144A | 4.94 | 11-16-2026 | 2,177,000 | 2,157,585 | |
Hyundai Auto Receivables Trust Series 2021-C Class A4 | 1.03 | 12-15-2027 | 2,976,000 | 2,703,975 | |
Hyundai Auto Receivables Trust Series 2022-A Class A3 | 2.22 | 10-15-2026 | 5,544,000 | 5,295,272 | |
Hyundai Auto Receivables Trust Series 2022-A Class A4 | 2.35 | 4-17-2028 | 1,708,000 | 1,592,015 | |
Hyundai Auto Receivables Trust Series 2022-C Class A4 | 5.52 | 10-16-2028 | 3,910,000 | 3,951,394 | |
Mercedes Benz Auto Receivables Series 2022-1 Class A4 | 5.25 | 2-15-2029 | 3,874,000 | 3,898,772 | |
Mercedes Benz Auto Receivables Series 2023-1 Class A4 | 4.31 | 4-16-2029 | 2,935,000 | 2,859,949 | |
Mercedes Benz Auto Receivables Series 2023-1 Class A3 | 4.51 | 11-15-2027 | 3,623,000 | 3,579,459 | |
Navient Student Loan Trust Series 2014-AA Class A3 (1 Month LIBOR +1.60%) 144A± | 6.19 | 10-15-2031 | 2,484,183 | 2,485,943 | |
Navient Student Loan Trust Series 2016-AA Class A2B (1 Month LIBOR +2.15%) 144A± | 6.74 | 12-15-2045 | 1,035,160 | 1,042,563 |
Interest rate | Maturity date | Principal | Value | ||
Asset-backed securities (continued) | |||||
Navient Student Loan Trust Series 2018-CA Class A2 144A | 3.52% | 6-16-2042 | $ 205,979 | $ 201,991 | |
Navient Student Loan Trust Series 2018-DA Class A2A 144A | 4.00 | 12-15-2059 | 3,095,289 | 2,959,297 | |
Navient Student Loan Trust Series 2019-A Class A2A 144A | 3.42 | 1-15-2043 | 3,045,785 | 2,913,869 | |
Navient Student Loan Trust Series 2019-BA Class A2A 144A | 3.39 | 12-15-2059 | 4,824,354 | 4,556,997 | |
Navient Student Loan Trust Series 2019-CA Class A2 144A | 3.13 | 2-15-2068 | 2,620,447 | 2,467,232 | |
Navient Student Loan Trust Series 2019-D Class A2A 144A | 3.01 | 12-15-2059 | 6,254,677 | 5,748,457 | |
Navient Student Loan Trust Series 2019-FA Class A2 144A | 2.60 | 8-15-2068 | 3,377,362 | 3,106,104 | |
Navient Student Loan Trust Series 2020-BA ClassA2 144A | 2.12 | 1-15-2069 | 2,222,767 | 2,008,056 | |
Navient Student Loan Trust Series 2020-GA Class A 144A | 1.17 | 9-16-2069 | 2,747,549 | 2,440,616 | |
Navient Student Loan Trust Series 2020-HA Class A 144A | 1.31 | 1-15-2069 | 1,864,553 | 1,693,127 | |
Navient Student Loan Trust Series 2020-IA Class A1A 144A | 1.33 | 4-15-2069 | 1,598,306 | 1,397,714 | |
Navient Student Loan Trust Series 2021-3A Class A1A 144A | 1.77 | 8-25-2070 | 5,317,514 | 4,568,724 | |
Navient Student Loan Trust Series 2021-A Class A 144A | 0.84 | 5-15-2069 | 903,530 | 783,781 | |
Navient Student Loan Trust Series 2021-BA Class A 144A | 0.94 | 7-15-2069 | 1,373,695 | 1,185,121 | |
Navient Student Loan Trust Series 2021-CA Class A 144A | 1.06 | 10-15-2069 | 5,656,272 | 4,904,015 | |
Navient Student Loan Trust Series 2021-EA Class A 144A | 0.97 | 12-16-2069 | 7,700,377 | 6,480,495 | |
Navient Student Loan Trust Series 2021-FA Class A 144A | 1.11 | 2-18-2070 | 4,953,239 | 4,203,751 | |
Navient Student Loan Trust Series 2022-A Class A 144A | 2.23 | 7-15-2070 | 3,534,894 | 3,101,581 | |
Nelnet Student Loan Trust Series 2004-4 Class A5 (3 Month LIBOR +0.16%) ± | 4.98 | 1-25-2037 | 3,697,322 | 3,638,690 | |
Nelnet Student Loan Trust Series 2004-5 Class A5 (3 Month LIBOR +0.18%) ± | 5.00 | 10-27-2036 | 1,272,112 | 1,242,231 | |
Nelnet Student Loan Trust Series 2005-1 Class A5 (3 Month LIBOR +0.11%) ± | 4.93 | 10-25-2033 | 10,461,267 | 10,224,638 | |
Nelnet Student Loan Trust Series 2005-2 Class A5 (3 Month LIBOR +0.10%) ± | 4.85 | 3-23-2037 | 10,483,800 | 10,252,854 | |
Nelnet Student Loan Trust Series 2005-3 Class A5 (3 Month LIBOR +0.12%) ± | 4.87 | 12-24-2035 | 7,973,155 | 7,812,561 | |
Nelnet Student Loan Trust Series 2005-4 Class A4 (3 Month LIBOR +0.18%) ± | 4.93 | 3-22-2032 | 2,022,453 | 1,970,563 | |
Nissan Auto Lease Trust 2023 A A4 | 4.80 | 7-15-2027 | 2,647,000 | 2,620,227 | |
Nissan Auto Receivables Owner Trust Series 2022-B Class A4 | 4.45 | 11-15-2029 | 2,437,000 | 2,392,175 | |
Penfed Auto Receivables Owner Trust Series 2022-A Class A3 144A | 3.96 | 4-15-2026 | 3,548,000 | 3,487,148 | |
Penfed Auto Receivables Owner Trust Series 2022-A Class A4 144A | 4.18 | 12-15-2028 | 1,743,000 | 1,706,284 | |
Santander Drive Auto Receivable Series 2022-2 Class A3 | 2.98 | 10-15-2026 | 10,521,000 | 10,373,765 | |
Santander Drive Auto Receivable Series 2022-4 Class A3 | 4.14 | 2-16-2027 | 5,140,000 | 5,070,736 | |
Santander Drive Auto Receivable Trust Series 2022-5 Class A3 | 4.11 | 8-17-2026 | 4,588,000 | 4,531,652 | |
Santander Drive Auto Receivables Series 2022-3 Class A3 | 3.40 | 12-15-2026 | 3,524,000 | 3,470,633 | |
Santander Drive Auto Receivables Series 2022-6 Class A3 | 4.49 | 11-16-2026 | 8,785,000 | 8,682,509 | |
Santander Drive Auto Receivables Series 2022-7 Class A3 | 5.75 | 4-15-2027 | 2,810,000 | 2,830,960 | |
SMB Private Education Loan Trust Series 2016-B Class A2A 144A | 2.43 | 2-17-2032 | 1,124,600 | 1,077,915 |
Interest rate | Maturity date | Principal | Value | ||
Asset-backed securities (continued) | |||||
SMB Private Education Loan Trust Series 2016-B Class A2B (1 Month LIBOR +1.45%) 144A± | 6.04% | 2-17-2032 | $ 876,670 | $ 871,831 | |
SMB Private Education Loan Trust Series 2016-C Class A2B (1 Month LIBOR +1.10%) 144A± | 5.69 | 9-15-2034 | 985,769 | 981,383 | |
SMB Private Education Loan Trust Series 2018-C Class A2A 144A | 3.63 | 11-15-2035 | 1,908,614 | 1,821,776 | |
SMB Private Education Loan Trust Series 2019-A Class A2A 144A | 3.44 | 7-15-2036 | 7,087,650 | 6,751,193 | |
SMB Private Education Loan Trust Series 2020-BA Class A1A 144A | 1.29 | 7-15-2053 | 2,738,770 | 2,432,567 | |
SMB Private Education Loan Trust Series 2020-PTA Class A2A 144A | 1.60 | 9-15-2054 | 4,275,170 | 3,797,100 | |
SMB Private Education Loan Trust Series 2020-PTB Class A2A 144A | 1.60 | 9-15-2054 | 12,306,436 | 10,949,189 | |
SMB Private Education Loan Trust Series 2021-A Class APT1 144A | 1.07 | 1-15-2053 | 7,271,346 | 6,253,849 | |
SMB Private Education Loan Trust Series 2021-B Class A 144A | 1.31 | 7-17-2051 | 2,696,843 | 2,398,018 | |
SMB Private Education Loan Trust Series 2021-D Class A1A 144A | 1.34 | 3-17-2053 | 7,391,339 | 6,567,989 | |
SMB Private Education Loan Trust Series 2021-E Class A1A 144A | 1.68 | 2-15-2051 | 5,905,600 | 5,340,788 | |
SMB Private Education Loan Trust Series 2022-D Class A1B (30 Day Average U.S. SOFR +1.80%) 144A± | 6.20 | 10-15-2058 | 4,100,271 | 4,103,071 | |
SoFi Professional Loan Program LLC Series 2017-D Class A2 144A | 2.65 | 9-25-2040 | 110,717 | 105,716 | |
SoFi Professional Loan Program LLC Series 2017-E Class A2B 144A | 2.72 | 11-26-2040 | 106,687 | 106,146 | |
SoFi Professional Loan Program LLC Series 2020-C Class AFX 144A | 1.95 | 2-15-2046 | 472,101 | 427,042 | |
SoFi Professional Loan Program LLC Series 2021-A Class AFX 144A | 1.03 | 8-17-2043 | 1,692,856 | 1,406,554 | |
SoFi Professional Loan Program LLC Series 2021-B Class AFX 144A | 1.14 | 2-15-2047 | 3,914,333 | 3,219,472 | |
Synchrony Card Issuance Trust Series 2022-A1 Class A | 3.37 | 4-15-2028 | 4,162,000 | 4,014,664 | |
Synchrony Card Issuance Trust Series 2022-A2 Class A | 3.86 | 7-15-2028 | 2,737,000 | 2,662,348 | |
T-Mobile US Trust Series 2022-1A Class A 144A | 4.91 | 5-22-2028 | 6,475,000 | 6,439,775 | |
Toyota Auto Loan Extended Note Series 2022-1A Class A 144A | 3.82 | 4-25-2035 | 4,199,000 | 4,001,052 | |
Toyota Auto Receivables Owner Trust Series 2022-B Class A4 | 3.11 | 8-16-2027 | 3,985,000 | 3,785,110 | |
Toyota Auto Receivables Owner Trust Series 2022-C Class A4 | 3.77 | 2-15-2028 | 3,857,000 | 3,724,094 | |
Toyota Auto Receivables Owner Trust Series 2022-D Class A4 | 5.43 | 4-17-2028 | 2,132,000 | 2,161,008 | |
Toyota Auto Receivables Owner Trust Series 2023-A Class A4 | 4.42 | 8-15-2028 | 2,768,000 | 2,709,256 | |
Triton Container Finance LLC Series 2020-1A Class A 144A | 2.11 | 9-20-2045 | 877,647 | 756,442 | |
Total Asset-backed securities (Cost $508,452,320) | 485,539,229 |
Interest rate | Maturity date | Principal | Value | ||
Corporate bonds and notes: 21.88% | |||||
Communication services: 1.37% | |||||
Diversified telecommunication services: 0.80% | |||||
AT&T Incorporated | 1.70% | 3-25-2026 | $ 7,386,000 | $ 6,637,126 | |
AT&T Incorporated | 3.50 | 6-1-2041 | 1,586,000 | 1,190,644 | |
AT&T Incorporated | 3.80 | 12-1-2057 | 4,467,000 | 3,136,118 | |
AT&T Incorporated | 3.65 | 9-15-2059 | 1,553,000 | 1,051,759 | |
T-Mobile USA Incorporated | 2.25 | 2-15-2026 | 3,465,000 | 3,151,969 | |
T-Mobile USA Incorporated | 4.95 | 3-15-2028 | 3,292,000 | 3,231,558 | |
T-Mobile USA Incorporated | 2.88 | 2-15-2031 | 674,000 | 559,149 | |
T-Mobile USA Incorporated | 5.05 | 7-15-2033 | 5,762,000 | 5,552,578 | |
T-Mobile USA Incorporated | 5.65 | 1-15-2053 | 3,540,000 | 3,470,397 | |
T-Mobile USA Incorporated | 3.50 | 4-15-2031 | 444,000 | 384,365 | |
Verizon Communications Incorporated | 2.36 | 3-15-2032 | 4,120,000 | 3,238,947 | |
Verizon Communications Incorporated | 2.65 | 11-20-2040 | 2,078,000 | 1,407,439 | |
Verizon Communications Incorporated | 3.88 | 3-1-2052 | 1,650,000 | 1,263,398 | |
34,275,447 | |||||
Media: 0.57% | |||||
Charter Communications Operating LLC | 3.50 | 6-1-2041 | 853,000 | 558,144 | |
Charter Communications Operating LLC | 3.50 | 3-1-2042 | 5,337,000 | 3,444,077 | |
Comcast Corporation | 5.35 | 11-15-2027 | 3,261,000 | 3,308,497 | |
Comcast Corporation | 5.50 | 11-15-2032 | 3,016,000 | 3,099,178 | |
Comcast Corporation | 4.05 | 11-1-2052 | 1,600,000 | 1,284,974 | |
Comcast Corporation | 2.99 | 11-1-2063 | 1,857,000 | 1,134,900 | |
Discovery Communications LLC | 4.00 | 9-15-2055 | 1,735,000 | 1,121,898 | |
Magallanes Incorporated 144A | 5.05 | 3-15-2042 | 3,257,000 | 2,638,612 | |
Magallanes Incorporated 144A | 5.14 | 3-15-2052 | 6,206,000 | 4,864,907 | |
Magallanes Incorporated 144A | 5.39 | 3-15-2062 | 3,701,000 | 2,886,818 | |
24,342,005 | |||||
Consumer discretionary: 0.92% | |||||
Automobiles: 0.12% | |||||
Ford Motor Company | 4.75 | 1-15-2043 | 315,000 | 229,728 | |
General Motors Company | 5.40 | 10-15-2029 | 3,888,000 | 3,733,449 | |
General Motors Company | 5.20 | 4-1-2045 | 1,324,000 | 1,091,800 | |
5,054,977 | |||||
Hotels, restaurants & leisure: 0.03% | |||||
GLP Capital LP | 5.30 | 1-15-2029 | 1,435,000 | 1,357,352 | |
Internet & direct marketing retail: 0.11% | |||||
Amazon.com Incorporated | 4.70 | 12-1-2032 | 4,053,000 | 4,006,539 | |
Amazon.com Incorporated | 2.88 | 5-12-2041 | 1,037,000 | 772,977 | |
4,779,516 | |||||
Multiline retail: 0.17% | |||||
Target Corporation | 4.40 | 1-15-2033 | 4,455,000 | 4,225,376 | |
Target Corporation | 4.80 | 1-15-2053 | 3,301,000 | 3,084,654 | |
7,310,030 |
Interest rate | Maturity date | Principal | Value | ||
Specialty retail: 0.49% | |||||
Home Depot Incorporated | 4.50% | 9-15-2032 | $ 3,108,000 | $ 2,996,330 | |
Home Depot Incorporated | 3.30 | 4-15-2040 | 612,000 | 487,362 | |
Home Depot Incorporated | 3.13 | 12-15-2049 | 2,874,000 | 2,039,774 | |
Home Depot Incorporated | 2.38 | 3-15-2051 | 2,370,000 | 1,420,825 | |
Home Depot Incorporated | 3.63 | 4-15-2052 | 1,475,000 | 1,129,449 | |
Home Depot Incorporated | 4.95 | 9-15-2052 | 3,243,000 | 3,115,231 | |
Lowe's Companies Incorporated | 4.25 | 4-1-2052 | 3,112,000 | 2,450,338 | |
Lowe's Companies Incorporated | 5.63 | 4-15-2053 | 7,326,000 | 7,012,195 | |
20,651,504 | |||||
Consumer staples: 1.50% | |||||
Beverages: 0.68% | |||||
Anheuser-Busch InBev Worldwide Incorporated | 4.70 | 2-1-2036 | 9,151,000 | 8,589,395 | |
Anheuser-Busch InBev Worldwide Incorporated | 4.38 | 4-15-2038 | 4,400,000 | 3,934,396 | |
Anheuser-Busch InBev Worldwide Incorporated | 4.90 | 2-1-2046 | 5,684,000 | 5,213,786 | |
PepsiCo Inc. | 4.45 | 5-15-2028 | 4,120,000 | 4,088,336 | |
PepsiCo Inc. | 4.45 | 2-15-2033 | 4,944,000 | 4,862,585 | |
PepsiCo Inc. | 4.65 | 2-15-2053 | 2,470,000 | 2,417,669 | |
29,106,167 | |||||
Food & staples retailing: 0.03% | |||||
Walmart Incorporated | 4.50 | 9-9-2052 | 1,187,000 | 1,118,639 | |
Household products: 0.12% | |||||
Colgate-Palmolive Company %% | 4.60 | 3-1-2033 | 4,920,000 | 4,915,948 | |
Tobacco: 0.67% | |||||
Philip Morris International Incorporated | 5.00 | 11-17-2025 | 3,503,000 | 3,482,411 | |
Philip Morris International Incorporated | 4.88 | 2-13-2026 | 2,653,000 | 2,623,112 | |
Philip Morris International Incorporated | 5.13 | 11-17-2027 | 5,254,000 | 5,229,350 | |
Philip Morris International Incorporated | 4.88 | 2-15-2028 | 7,095,000 | 6,945,446 | |
Philip Morris International Incorporated | 5.13 | 2-15-2030 | 4,469,000 | 4,374,560 | |
Philip Morris International Incorporated | 5.75 | 11-17-2032 | 2,631,000 | 2,661,630 | |
Philip Morris International Incorporated | 5.38 | 2-15-2033 | 3,576,000 | 3,515,940 | |
28,832,449 | |||||
Energy: 0.98% | |||||
Oil, gas & consumable fuels: 0.98% | |||||
BP Capital Market America Incorporated | 4.81 | 2-13-2033 | 9,054,000 | 8,893,391 | |
Enable Midstream Partners | 4.40 | 3-15-2027 | 732,000 | 699,275 | |
Enable Midstream Partners | 4.95 | 5-15-2028 | 5,464,000 | 5,262,046 | |
Energy Transfer Operating Partners LP | 5.75 | 2-15-2033 | 6,008,000 | 5,910,550 | |
Energy Transfer Operating Partners LP | 6.13 | 12-15-2045 | 1,321,000 | 1,236,483 | |
Energy Transfer Operating Partners LP | 5.30 | 4-15-2047 | 4,273,000 | 3,627,012 | |
Exxon Mobil Corporation | 4.33 | 3-19-2050 | 5,464,000 | 4,850,193 | |
Exxon Mobil Corporation | 3.45 | 4-15-2051 | 4,152,000 | 3,166,695 | |
MPLX LP | 5.00 | 3-1-2033 | 4,966,000 | 4,659,244 | |
MPLX LP | 4.95 | 3-14-2052 | 2,228,000 | 1,852,584 | |
MPLX LP | 5.65 | 3-1-2053 | 829,000 | 763,333 | |
Sunoco Logistics Partner LP | 5.40 | 10-1-2047 | 1,255,000 | 1,078,969 | |
41,999,775 |
Interest rate | Maturity date | Principal | Value | ||
Financials: 6.01% | |||||
Banks: 3.52% | |||||
Bank of America Corporation (U.S. SOFR +0.65%) ± | 1.53% | 12-6-2025 | $ 13,769,000 | $ 12,799,374 | |
Bank of America Corporation (U.S. SOFR +1.29%) ± | 5.08 | 1-20-2027 | 7,284,000 | 7,207,888 | |
Bank of America Corporation (U.S. SOFR +0.91%) ± | 1.66 | 3-11-2027 | 11,770,000 | 10,481,379 | |
Bank of America Corporation (U.S. SOFR +0.96%) ± | 1.73 | 7-22-2027 | 10,668,000 | 9,396,174 | |
Bank of America Corporation (U.S. SOFR +1.99%) ± | 6.20 | 11-10-2028 | 8,036,000 | 8,262,432 | |
Bank of America Corporation (3 Month LIBOR +1.04%) ± | 3.42 | 12-20-2028 | 8,220,000 | 7,481,712 | |
Bank of America Corporation (U.S. SOFR +1.32%) ± | 2.69 | 4-22-2032 | 11,353,000 | 9,207,674 | |
Bank of America Corporation (U.S. SOFR +2.16%) ± | 5.02 | 7-22-2033 | 3,429,000 | 3,299,052 | |
Citigroup Incorporated (U.S. SOFR +2.09%) ± | 4.91 | 5-24-2033 | 4,192,000 | 3,972,689 | |
Citigroup Incorporated (U.S. SOFR +2.34%) ± | 6.27 | 11-17-2033 | 8,113,000 | 8,496,485 | |
JPMorgan Chase & Company (U.S. SOFR +0.61%) ± | 1.56 | 12-10-2025 | 15,702,000 | 14,594,898 | |
JPMorgan Chase & Company (U.S. SOFR +0.80%) ± | 1.05 | 11-19-2026 | 4,601,000 | 4,074,829 | |
JPMorgan Chase & Company (U.S. SOFR 3 Month +0.70%) ± | 1.04 | 2-4-2027 | 14,846,000 | 13,036,671 | |
JPMorgan Chase & Company (U.S. SOFR +0.89%) ± | 1.58 | 4-22-2027 | 3,672,000 | 3,248,482 | |
JPMorgan Chase & Company (U.S. SOFR +0.77%) ± | 1.47 | 9-22-2027 | 3,692,000 | 3,200,670 | |
JPMorgan Chase & Company (U.S. SOFR +1.56%) ± | 4.32 | 4-26-2028 | 2,418,000 | 2,318,101 | |
JPMorgan Chase & Company (U.S. SOFR +1.89%) ± | 2.18 | 6-1-2028 | 4,545,000 | 3,976,266 | |
JPMorgan Chase & Company (U.S. SOFR +1.75%) ± | 4.57 | 6-14-2030 | 3,750,000 | 3,566,561 | |
JPMorgan Chase & Company (U.S. SOFR +2.08%) ± | 4.91 | 7-25-2033 | 3,105,000 | 2,973,069 | |
KeyBank NA | 5.00 | 1-26-2033 | 1,827,000 | 1,756,708 | |
Wells Fargo & Company (U.S. SOFR +1.51%) ± | 3.53 | 3-24-2028 | 15,494,000 | 14,347,413 | |
Wells Fargo & Company (U.S. SOFR +2.10%) ± | 4.90 | 7-25-2033 | 3,150,000 | 3,008,680 | |
150,707,207 | |||||
Capital markets: 1.34% | |||||
Antares Holdings LP 144A | 3.75 | 7-15-2027 | 3,739,000 | 3,152,452 | |
Athene Global Funding 144A | 2.50 | 3-24-2028 | 1,876,000 | 1,594,232 | |
Athene Global Funding 144A | 2.65 | 10-4-2031 | 2,857,000 | 2,222,685 | |
Blackstone Private Equity Funds 144A | 6.20 | 4-22-2033 | 3,774,000 | 3,872,521 | |
Goldman Sachs Group Incorporated (U.S. SOFR +0.91%) ± | 1.95 | 10-21-2027 | 3,675,000 | 3,219,100 | |
Morgan Stanley (U.S. SOFR +0.51%) ± | 0.79 | 1-22-2025 | 9,465,000 | 9,050,852 | |
Morgan Stanley (U.S. SOFR +0.53%) ± | 0.79 | 5-30-2025 | 9,562,000 | 8,954,262 | |
Morgan Stanley (U.S. SOFR +0.75%) ± | 0.86 | 10-21-2025 | 818,000 | 753,482 | |
Morgan Stanley (U.S. SOFR +0.72%) ± | 0.99 | 12-10-2026 | 7,548,000 | 6,639,212 | |
Morgan Stanley (U.S. SOFR +1.73%) ± | 5.12 | 2-1-2029 | 4,126,000 | 4,051,770 | |
Morgan Stanley (U.S. SOFR +2.56%) ± | 6.34 | 10-18-2033 | 8,104,000 | 8,543,278 | |
Morgan Stanley (U.S. SOFR +0.86%) ± | 1.51 | 7-20-2027 | 5,772,000 | 5,038,497 | |
57,092,343 | |||||
Consumer finance: 0.76% | |||||
Bunge Limited Finance Corporation | 1.63 | 8-17-2025 | 1,702,000 | 1,551,354 | |
Ford Motor Credit Company LLC | 2.70 | 8-10-2026 | 2,830,000 | 2,462,758 | |
Ford Motor Credit Company LLC | 2.90 | 2-10-2029 | 2,638,000 | 2,147,306 | |
Ford Motor Credit Company LLC | 7.35 | 3-6-2030 | 976,000 | 988,356 | |
General Motors Financial Company Incorporated | 3.10 | 1-12-2032 | 1,597,000 | 1,271,039 | |
Hyundai Capital America Company 144A | 0.80 | 1-8-2024 | 1,305,000 | 1,252,331 | |
Hyundai Capital America Company 144A | 1.30 | 1-8-2026 | 3,129,000 | 2,771,054 | |
John Deere Capital Corporation | 4.15 | 9-15-2027 | 7,789,000 | 7,569,969 | |
John Deere Capital Corporation %% | 5.05 | 3-3-2026 | 5,736,000 | 5,736,798 |
Interest rate | Maturity date | Principal | Value | ||
Consumer finance (continued) | |||||
John Deere Capital Corporation %% | 4.90% | 3-3-2028 | $ 4,097,000 | $ 4,087,764 | |
John Deere Capital Corporation | 4.85 | 10-11-2029 | 2,720,000 | 2,720,232 | |
32,558,961 | |||||
Insurance: 0.39% | |||||
AON Corporation | 5.35 | 2-28-2033 | 1,961,000 | 1,960,265 | |
Brighthouse Financial Incorporated | 3.85 | 12-22-2051 | 1,465,000 | 966,012 | |
Export Finance and Insurance Corporation 144A | 4.63 | 10-26-2027 | 5,603,000 | 5,616,727 | |
Liberty Mutual Group Incorporated 144A | 5.50 | 6-15-2052 | 1,437,000 | 1,346,533 | |
Marsh and McLennan Companies Incorporated | 6.25 | 11-1-2052 | 813,000 | 902,344 | |
SBL Holdings Incorporated 144A | 5.00 | 2-18-2031 | 5,133,000 | 4,204,352 | |
Stewart Information Services Corporation | 3.60 | 11-15-2031 | 1,999,000 | 1,547,209 | |
16,543,442 | |||||
Health care: 3.15% | |||||
Biotechnology: 1.22% | |||||
AbbVie Incorporated | 4.55 | 3-15-2035 | 2,474,000 | 2,300,833 | |
AbbVie Incorporated | 4.30 | 5-14-2036 | 1,073,000 | 964,963 | |
AbbVie Incorporated | 4.05 | 11-21-2039 | 1,753,000 | 1,478,607 | |
AbbVie Incorporated | 4.45 | 5-14-2046 | 1,092,000 | 935,606 | |
AbbVie Incorporated | 4.25 | 11-21-2049 | 10,021,000 | 8,344,516 | |
Amgen Incorporated %% | 5.25 | 3-2-2025 | 8,239,000 | 8,220,677 | |
Amgen Incorporated %% | 5.15 | 3-2-2028 | 6,592,000 | 6,565,918 | |
Amgen Incorporated %% | 5.25 | 3-2-2030 | 1,633,000 | 1,625,035 | |
Amgen Incorporated | 4.20 | 3-1-2033 | 3,973,000 | 3,653,659 | |
Amgen Incorporated %% | 5.25 | 3-2-2033 | 4,120,000 | 4,091,296 | |
Amgen Incorporated %% | 5.65 | 3-2-2053 | 6,664,000 | 6,609,146 | |
Amgen Incorporated %% | 5.75 | 3-2-2063 | 823,000 | 811,645 | |
Gilead Sciences Incorporated | 1.65 | 10-1-2030 | 1,484,000 | 1,174,292 | |
Gilead Sciences Incorporated | 4.00 | 9-1-2036 | 1,321,000 | 1,163,163 | |
Gilead Sciences Incorporated | 2.60 | 10-1-2040 | 2,567,000 | 1,787,448 | |
Gilead Sciences Incorporated | 2.80 | 10-1-2050 | 4,075,000 | 2,646,288 | |
52,373,092 | |||||
Health care equipment & supplies: 0.13% | |||||
Abbott Laboratories | 1.40 | 6-30-2030 | 3,713,000 | 2,972,386 | |
Abbott Laboratories | 4.75 | 11-30-2036 | 2,479,000 | 2,464,837 | |
5,437,223 | |||||
Health care providers & services: 1.03% | |||||
Centene Corporation | 3.00 | 10-15-2030 | 3,327,000 | 2,717,926 | |
Centene Corporation | 2.50 | 3-1-2031 | 1,383,000 | 1,077,869 | |
Cigna Corporation %% | 5.40 | 3-15-2033 | 8,199,000 | 8,138,332 | |
Cigna Corporation | 4.90 | 12-15-2048 | 1,647,000 | 1,481,310 | |
CVS Health Corporation | 3.00 | 8-15-2026 | 1,598,000 | 1,482,716 | |
CVS Health Corporation | 4.88 | 7-20-2035 | 485,000 | 455,707 | |
GSK Consumer Healthcare Company | 3.38 | 3-24-2027 | 1,673,000 | 1,555,624 | |
GSK Consumer Healthcare Company | 3.38 | 3-24-2029 | 1,568,000 | 1,395,256 | |
GSK Consumer Healthcare Company | 3.63 | 3-24-2032 | 3,855,000 | 3,367,282 | |
HCA Incorporated 144A | 4.63 | 3-15-2052 | 6,743,000 | 5,304,975 | |
UnitedHealth Group Incorporated | 5.25 | 2-15-2028 | 2,482,000 | 2,515,756 | |
UnitedHealth Group Incorporated | 4.00 | 5-15-2029 | 2,276,000 | 2,157,904 |
Interest rate | Maturity date | Principal | Value | ||
Health care providers & services (continued) | |||||
UnitedHealth Group Incorporated | 5.35% | 2-15-2033 | $ 4,819,000 | $ 4,929,714 | |
UnitedHealth Group Incorporated | 2.75 | 5-15-2040 | 1,132,000 | 824,290 | |
UnitedHealth Group Incorporated | 3.05 | 5-15-2041 | 777,000 | 583,850 | |
UnitedHealth Group Incorporated | 3.25 | 5-15-2051 | 2,451,000 | 1,755,343 | |
UnitedHealth Group Incorporated | 5.88 | 2-15-2053 | 3,942,000 | 4,252,280 | |
43,996,134 | |||||
Pharmaceuticals: 0.77% | |||||
AstraZeneca %% | 4.88 | 3-3-2028 | 4,919,000 | 4,889,776 | |
AstraZeneca %% | 4.90 | 3-3-2030 | 4,919,000 | 4,899,024 | |
AstraZeneca %% | 4.88 | 3-3-2033 | 3,282,000 | 3,283,162 | |
Bristol-Myers Squibb Company | 2.55 | 11-13-2050 | 4,285,000 | 2,726,038 | |
Eli Lilly and Company | 4.70 | 2-27-2033 | 3,271,000 | 3,253,817 | |
Eli Lilly and Company | 4.88 | 2-27-2053 | 2,456,000 | 2,451,882 | |
Eli Lilly and Company | 4.95 | 2-27-2063 | 1,144,000 | 1,137,319 | |
Pfizer Incorporated | 2.55 | 5-28-2040 | 814,000 | 588,267 | |
Roche Holdings Incorporated 144A | 2.08 | 12-13-2031 | 10,327,000 | 8,373,288 | |
Roche Holdings Incorporated 144A | 2.61 | 12-13-2051 | 2,154,000 | 1,415,340 | |
33,017,913 | |||||
Industrials: 1.33% | |||||
Aerospace & defense: 0.85% | |||||
Lockheed Martin Corporation | 5.70 | 11-15-2054 | 3,302,000 | 3,573,648 | |
Northrop Grunman | 4.40 | 5-1-2030 | 5,285,000 | 5,047,518 | |
Northrop Grunman | 4.70 | 3-15-2033 | 3,415,000 | 3,293,049 | |
Northrop Grunman | 4.95 | 3-15-2053 | 2,442,000 | 2,301,595 | |
Raytheon Technologies Corporation | 5.00 | 2-27-2026 | 2,531,000 | 2,527,204 | |
Raytheon Technologies Corporation | 5.15 | 2-27-2033 | 5,066,000 | 5,040,463 | |
Raytheon Technologies Corporation | 5.38 | 2-27-2053 | 3,376,000 | 3,390,677 | |
The Boeing Company | 2.20 | 2-4-2026 | 5,611,000 | 5,096,752 | |
The Boeing Company | 3.25 | 2-1-2035 | 1,817,000 | 1,398,666 | |
The Boeing Company | 3.75 | 2-1-2050 | 3,242,000 | 2,280,760 | |
The Boeing Company | 5.93 | 5-1-2060 | 2,508,000 | 2,342,018 | |
36,292,350 | |||||
Airlines: 0.20% | |||||
Delta Air Lines Incorporated 144A | 4.75 | 10-20-2028 | 8,730,000 | 8,291,023 | |
Construction & engineering: 0.06% | |||||
Quanta Services Incorporated | 0.95 | 10-1-2024 | 2,949,000 | 2,729,048 | |
Road & rail: 0.17% | |||||
Norfolk Southern Corporation | 4.45 | 3-1-2033 | 2,497,000 | 2,344,958 | |
Norfolk Southern Corporation | 4.55 | 6-1-2053 | 657,000 | 567,269 | |
Union Pacific Corporation | 2.38 | 5-20-2031 | 1,572,000 | 1,302,004 | |
Union Pacific Corporation | 2.80 | 2-14-2032 | 2,134,000 | 1,804,489 | |
Union Pacific Corporation | 3.38 | 2-14-2042 | 1,775,000 | 1,394,289 | |
7,413,009 | |||||
Transportation infrastructure: 0.05% | |||||
Crowley Conro LLC | 4.18 | 8-15-2043 | 2,377,139 | 2,209,617 |
Interest rate | Maturity date | Principal | Value | ||
Information technology: 2.46% | |||||
Electronic equipment, instruments & components: 0.17% | |||||
Dell International LLC | 6.10% | 7-15-2027 | $ 1,503,000 | $ 1,544,422 | |
Dell International LLC | 5.25 | 2-1-2028 | 5,852,000 | 5,758,636 | |
7,303,058 | |||||
IT services: 0.19% | |||||
Fiserv Incorporated %% | 5.45 | 3-2-2028 | 4,920,000 | 4,913,171 | |
Fiserv Incorporated %% | 5.60 | 3-2-2033 | 3,279,000 | 3,273,140 | |
8,186,311 | |||||
Semiconductors & semiconductor equipment: 0.92% | |||||
Advanced Micro Devices | 3.92 | 6-1-2032 | 4,771,000 | 4,420,757 | |
Broadcom Incorporated | 3.15 | 11-15-2025 | 1,938,000 | 1,825,056 | |
Broadcom Incorporated 144A | 2.45 | 2-15-2031 | 2,586,000 | 2,049,120 | |
Broadcom Incorporated 144A | 3.42 | 4-15-2033 | 2,125,000 | 1,710,832 | |
Broadcom Incorporated 144A | 3.47 | 4-15-2034 | 1,659,000 | 1,313,050 | |
Broadcom Incorporated 144A | 4.93 | 5-15-2037 | 2,363,000 | 2,055,406 | |
Intel Corporation | 2.80 | 8-12-2041 | 3,867,000 | 2,633,017 | |
Intel Corporation | 5.63 | 2-10-2043 | 2,141,000 | 2,089,671 | |
Intel Corporation | 5.70 | 2-10-2053 | 4,947,000 | 4,834,088 | |
Intel Corporation | 5.90 | 2-10-2063 | 2,306,000 | 2,269,623 | |
KLA Corporation | 3.30 | 3-1-2050 | 1,354,000 | 983,295 | |
KLA Corporation | 4.95 | 7-15-2052 | 1,376,000 | 1,301,272 | |
NVIDIA Corporation | 2.85 | 4-1-2030 | 6,052,000 | 5,332,823 | |
NVIDIA Corporation | 2.00 | 6-15-2031 | 1,650,000 | 1,334,138 | |
Qualcomm Incorporated | 6.00 | 5-20-2053 | 3,725,000 | 4,019,721 | |
Xilinx Incorporated | 2.38 | 6-1-2030 | 1,265,000 | 1,065,880 | |
39,237,749 | |||||
Software: 0.92% | |||||
Microsoft Corporation | 2.53 | 6-1-2050 | 1,811,000 | 1,209,385 | |
Microsoft Corporation | 2.92 | 3-17-2052 | 3,294,000 | 2,369,802 | |
Oracle Corporation | 4.90 | 2-6-2033 | 4,230,000 | 3,995,198 | |
Oracle Corporation | 4.00 | 7-15-2046 | 2,871,000 | 2,095,898 | |
Oracle Corporation | 3.95 | 3-25-2051 | 3,127,000 | 2,246,071 | |
Oracle Corporation | 6.90 | 11-9-2052 | 5,367,000 | 5,796,119 | |
Oracle Corporation | 5.55 | 2-6-2053 | 2,200,000 | 2,015,930 | |
Oracle Corporation | 4.38 | 5-15-2055 | 997,000 | 756,269 | |
VMware Incorporated | 0.60 | 8-15-2023 | 7,239,000 | 7,081,665 | |
VMware Incorporated | 1.00 | 8-15-2024 | 5,140,000 | 4,802,594 | |
VMware Incorporated | 1.40 | 8-15-2026 | 4,809,000 | 4,153,163 | |
VMware Incorporated | 4.70 | 5-15-2030 | 2,971,000 | 2,781,154 | |
39,303,248 | |||||
Technology hardware, storage & peripherals: 0.26% | |||||
Apple Incorporated | 3.25 | 8-8-2029 | 1,205,000 | 1,108,211 | |
Apple Incorporated | 2.38 | 2-8-2041 | 1,203,000 | 850,506 | |
Apple Incorporated | 2.65 | 5-11-2050 | 2,278,000 | 1,529,698 | |
Apple Incorporated | 2.40 | 8-20-2050 | 187,000 | 118,622 | |
Apple Incorporated | 2.65 | 2-8-2051 | 1,012,000 | 674,999 | |
Apple Incorporated | 3.95 | 8-8-2052 | 4,795,000 | 4,084,763 |
Interest rate | Maturity date | Principal | Value | ||
Technology hardware, storage & peripherals (continued) | |||||
Apple Incorporated | 2.80% | 2-8-2061 | $ 1,050,000 | $ 673,571 | |
Apple Incorporated | 4.10 | 8-8-2062 | 2,330,000 | 1,973,619 | |
11,013,989 | |||||
Materials: 0.36% | |||||
Chemicals: 0.14% | |||||
Dow Chemical Corporation | 7.38 | 11-1-2029 | 1,473,000 | 1,635,703 | |
Dow Chemical Corporation | 6.90 | 5-15-2053 | 1,550,000 | 1,732,345 | |
Rohm & Haas Company | 7.85 | 7-15-2029 | 2,576,000 | 2,854,227 | |
6,222,275 | |||||
Metals & mining: 0.22% | |||||
Freeport-McMoRan Incorporated | 5.25 | 9-1-2029 | 4,609,000 | 4,452,156 | |
Glencore Funding Company 144A | 4.88 | 3-12-2029 | 1,316,000 | 1,271,415 | |
Glencore Funding Company 144A | 2.63 | 9-23-2031 | 3,640,000 | 2,899,364 | |
Glencore Funding Company 144A | 3.88 | 4-27-2051 | 932,000 | 689,098 | |
9,312,033 | |||||
Real estate: 1.53% | |||||
Equity REITs: 1.22% | |||||
Agree LP Company | 2.00 | 6-15-2028 | 3,094,000 | 2,564,988 | |
Agree LP Company | 4.80 | 10-1-2032 | 1,551,000 | 1,450,653 | |
Agree LP Company | 2.60 | 6-15-2033 | 704,000 | 537,327 | |
American Tower Corporation | 3.13 | 1-15-2027 | 1,551,000 | 1,423,658 | |
American Tower Corporation %% | 5.50 | 3-15-2028 | 3,281,000 | 3,257,587 | |
Brixmor Operating Partnership | 2.50 | 8-16-2031 | 1,723,000 | 1,339,153 | |
Crown Castle International Corporation REIT | 1.05 | 7-15-2026 | 4,438,000 | 3,842,309 | |
Crown Castle International Corporation | 2.90 | 3-15-2027 | 2,384,000 | 2,165,704 | |
Crown Castle International Corporation | 5.00 | 1-11-2028 | 6,594,000 | 6,493,962 | |
Crown Castle International Corporation | 2.90 | 4-1-2041 | 1,650,000 | 1,121,482 | |
Federal Realty Investment Trust | 3.95 | 1-15-2024 | 1,969,000 | 1,939,953 | |
Kimco Realty Corporation | 4.60 | 2-1-2033 | 2,473,000 | 2,272,820 | |
Mid-America Apartments LP | 4.30 | 10-15-2023 | 1,460,000 | 1,451,730 | |
Mid-America Apartments LP | 3.95 | 3-15-2029 | 1,428,000 | 1,341,266 | |
Realty Income Corporation | 3.65 | 1-15-2028 | 771,000 | 722,141 | |
Realty Income Corporation | 2.20 | 6-15-2028 | 1,525,000 | 1,316,476 | |
Realty Income Corporation | 2.85 | 12-15-2032 | 2,061,000 | 1,692,834 | |
Realty Income Corporation | 4.85 | 3-15-2030 | 1,978,000 | 1,918,647 | |
Realty Income Corporation | 5.63 | 10-13-2032 | 4,521,000 | 4,608,242 | |
Regency Centers LP | 2.95 | 9-15-2029 | 3,900,000 | 3,283,086 | |
Store Capital Corporation | 4.50 | 3-15-2028 | 3,807,000 | 3,392,594 | |
Store Capital Corporation | 4.63 | 3-15-2029 | 1,817,000 | 1,603,296 | |
Store Capital Corporation | 2.75 | 11-18-2030 | 2,519,000 | 1,902,535 | |
Store Capital Corporation | 2.70 | 12-1-2031 | 990,000 | 719,891 | |
52,362,334 | |||||
Real estate management & development: 0.31% | |||||
Invitation Homes Operating Partnership LP | 2.00 | 8-15-2031 | 491,000 | 368,298 | |
Invitation Homes Operating Partnership LP | 4.15 | 4-15-2032 | 2,834,000 | 2,492,981 | |
American Homes 4 Rent | 3.63 | 4-15-2032 | 2,848,000 | 2,406,099 | |
American Homes 4 Rent | 4.30 | 4-15-2052 | 1,276,000 | 977,909 | |
Essex Portfolio LP | 1.70 | 3-1-2028 | 3,727,000 | 3,113,144 |
Interest rate | Maturity date | Principal | Value | ||
Real estate management & development (continued) | |||||
Essex Portfolio LP | 2.55% | 6-15-2031 | $ 1,468,000 | $ 1,171,897 | |
Sun Communities Operating LP | 4.20 | 4-15-2032 | 2,848,000 | 2,526,439 | |
13,056,767 | |||||
Utilities: 2.27% | |||||
Electric utilities: 1.89% | |||||
American Electric Power %% | 5.63 | 3-1-2033 | 3,281,000 | 3,279,191 | |
American Transmission System Incorporated 144A | 2.65 | 1-15-2032 | 1,028,000 | 842,401 | |
Commonwealth Edison Company | 5.30 | 2-1-2053 | 662,000 | 657,978 | |
Con Edison Company: New York | 5.20 | 3-1-2033 | 4,582,000 | 4,582,487 | |
Duke Energy Carolinas LLC | 2.55 | 4-15-2031 | 1,501,000 | 1,250,334 | |
Duke Energy Carolinas LLC | 2.85 | 3-15-2032 | 2,741,000 | 2,296,942 | |
Duke Energy Carolinas LLC | 3.55 | 3-15-2052 | 1,995,000 | 1,487,151 | |
Duke Energy Carolinas LLC | 5.35 | 1-15-2053 | 3,307,000 | 3,258,958 | |
Duke Energy Florida LLC | 2.40 | 12-15-2031 | 2,200,000 | 1,787,433 | |
Duke Energy Progress LLC | 2.55 | 6-15-2031 | 1,616,000 | 1,301,525 | |
Duke Energy Progress LLC | 2.50 | 8-15-2050 | 2,226,000 | 1,331,002 | |
Duke Energy Progress LLC | 3.50 | 6-15-2051 | 456,000 | 318,712 | |
Entergy Arkansas LLC | 5.15 | 1-15-2033 | 3,309,000 | 3,291,827 | |
Entergy Arkansas LLC | 2.65 | 6-15-2051 | 1,987,000 | 1,236,199 | |
Eversource Energy | 1.65 | 8-15-2030 | 2,507,000 | 1,933,263 | |
Exelon Corporation | 5.15 | 3-15-2028 | 2,295,000 | 2,274,606 | |
Exelon Corporation | 5.30 | 3-15-2033 | 4,127,000 | 4,075,214 | |
Exelon Corporation | 5.60 | 3-15-2053 | 1,981,000 | 1,934,173 | |
FirstEnergy Corporation 144A | 2.75 | 3-1-2032 | 2,423,000 | 1,978,421 | |
Metropolitan Edison Company 144A | 4.30 | 1-15-2029 | 2,593,000 | 2,417,436 | |
Mid-American Energy Company | 2.70 | 8-1-2052 | 1,912,000 | 1,237,329 | |
Mississippi Power Company | 3.95 | 3-30-2028 | 1,808,000 | 1,702,508 | |
Mississippi Power Company | 4.25 | 3-15-2042 | 1,014,000 | 829,022 | |
Mississippi Power Company | 3.10 | 7-30-2051 | 2,645,000 | 1,733,563 | |
Pacific Gas & Electric Company | 2.10 | 8-1-2027 | 1,181,000 | 1,005,774 | |
Pacific Gas & Electric Company | 4.50 | 7-1-2040 | 759,000 | 594,593 | |
Pacific Gas & Electric Company | 4.20 | 6-1-2041 | 1,281,000 | 961,636 | |
Pacific Gas & Electric Company | 4.75 | 2-15-2044 | 742,000 | 581,055 | |
Pacific Gas & Electric Company | 3.95 | 12-1-2047 | 5,051,000 | 3,444,376 | |
Pacific Gas & Electric Company | 4.95 | 7-1-2050 | 7,054,000 | 5,569,106 | |
Peco Energy Company 1st Mortgage | 2.85 | 9-15-2051 | 2,661,000 | 1,756,047 | |
Pennsylvania Electric Company 144A | 3.25 | 3-15-2028 | 2,150,000 | 1,944,304 | |
Public Service Company of Oklahoma | 3.15 | 8-15-2051 | 1,493,000 | 994,478 | |
Public Service Electric and Gas Company | 1.90 | 8-15-2031 | 2,959,000 | 2,354,506 | |
Public Service Electric and Gas Company | 2.70 | 5-1-2050 | 1,205,000 | 791,622 | |
Public Service Electric and Gas Company | 2.05 | 8-1-2050 | 612,000 | 347,912 | |
Southern California Edison Company | 4.13 | 3-1-2048 | 1,662,000 | 1,320,463 | |
STAR Electric Company | 3.10 | 6-1-2051 | 1,361,000 | 950,035 | |
STAR Electric Company | 4.55 | 6-1-2052 | 1,792,000 | 1,613,028 | |
Targa Resources Partners Company | 5.50 | 3-1-2030 | 872,000 | 825,954 | |
Targa Resources Partners Company | 4.88 | 2-1-2031 | 3,481,000 | 3,160,992 | |
Trans-Allegheny Interstate Line Company 144A | 3.85 | 6-1-2025 | 1,042,000 | 999,540 | |
Virginia Electric & Power Company | 2.95 | 11-15-2051 | 2,207,000 | 1,454,924 | |
Virginia Electric & Power Company | 4.63 | 5-15-2052 | 1,335,000 | 1,173,625 | |
Wisconsin Electric Power | 4.75 | 9-30-2032 | 2,214,000 | 2,163,842 | |
81,045,487 |
Interest rate | Maturity date | Principal | Value | ||
Gas utilities: 0.04% | |||||
Baltimore Gas & Electric Gas Company | 2.25% | 6-15-2031 | $ 2,207,000 | $ 1,785,270 | |
Multi-utilities: 0.34% | |||||
CenterPoint Energy Incorporated | 3.60 | 3-1-2052 | 1,629,000 | 1,263,733 | |
Consumers Energy Company | 2.65 | 8-15-2052 | 988,000 | 627,844 | |
Consumers Energy Company | 2.50 | 5-1-2060 | 1,262,000 | 708,358 | |
Dominion Energy Incorporated | 3.38 | 4-1-2030 | 1,650,000 | 1,443,369 | |
Dominion Energy Incorporated | 5.38 | 11-15-2032 | 1,571,000 | 1,541,694 | |
DTE Energy Company %% | 5.20 | 4-1-2033 | 3,279,000 | 3,282,415 | |
DTE Energy Company | 2.95 | 3-1-2050 | 2,576,000 | 1,754,236 | |
DTE Energy Company | 3.65 | 3-1-2052 | 1,179,000 | 912,528 | |
Public Service Enterprise Group | 1.60 | 8-15-2030 | 1,699,000 | 1,312,572 | |
Public Service Enterprise Group | 2.45 | 11-15-2031 | 1,910,000 | 1,527,647 | |
14,374,396 | |||||
Total Corporate bonds and notes (Cost $1,017,608,801) | 935,608,088 | ||||
Municipal obligations: 0.39% | |||||
Nevada: 0.10% | |||||
Airport revenue: 0.10% | |||||
Clark County NV Airport Authority Build America Bonds Series C | 6.82 | 7-1-2045 | 3,365,000 | 4,097,693 | |
New York: 0.12% | |||||
Airport revenue: 0.12% | |||||
Port Authority of New York & New Jersey Consolidated Bonds Series 174 | 4.46 | 10-1-2062 | 5,505,000 | 5,019,260 | |
Ohio: 0.04% | |||||
Education revenue: 0.04% | |||||
Ohio State University General Receipts Taxable Bonds Series A | 4.80 | 6-1-2111 | 1,957,000 | 1,769,641 | |
Texas: 0.13% | |||||
Education revenue: 0.03% | |||||
University of Texas Financing System Bond Series B | 2.44 | 8-15-2049 | 1,695,000 | 1,131,471 | |
Transportation revenue: 0.10% | |||||
North Texas Tollway Authority | 6.72 | 1-1-2049 | 3,609,000 | 4,470,527 | |
Total Municipal obligations (Cost $17,142,385) | 16,488,592 | ||||
Non-agency mortgage-backed securities: 4.90% | |||||
3650R Commercial Mortgage Trust Series 2021-PF1 Class A5 | 2.52 | 11-15-2054 | 2,521,000 | 2,046,493 | |
Angel Oak Mortgage Trust Series 2020-2 Class A1 144A±± | 2.53 | 1-26-2065 | 1,314,038 | 1,202,306 | |
Angel Oak Mortgage Trust Series 2020-5 Class A1 144A±± | 1.37 | 5-25-2065 | 521,180 | 473,009 | |
Angel Oak Mortgage Trust Series 2021-6 Class A1 144A±± | 1.46 | 9-25-2066 | 2,702,863 | 2,174,838 | |
Bank 2022-BNK44 Class A5 ±± | 5.75 | 11-15-2055 | 3,828,000 | 4,023,308 | |
Bank 2023 -BNK45 Class A5 | 5.20 | 2-15-2056 | 1,762,000 | 1,774,579 |
Interest rate | Maturity date | Principal | Value | ||
Non-agency mortgage-backed securities (continued) | |||||
Barclays Commercial Mortgage Series 2018-C2 Class ASB | 4.24% | 12-15-2051 | $ 1,159,000 | $ 1,119,665 | |
Barclays Commercial Mortgage Series 2019-C3 Class A3 | 3.32 | 5-15-2052 | 2,320,000 | 2,105,765 | |
Benchmark Mortgage Trust 2019 B13 A4 | 2.95 | 8-15-2057 | 1,814,000 | 1,587,492 | |
Bunker Hill Loan Depositary Trust Series 2019-2 Class A1 144A | 2.88 | 7-25-2049 | 1,906,905 | 1,770,456 | |
Bunker Hill Loan Depositary Trust Series 2019-3 Class A1 144A | 2.72 | 11-25-2059 | 1,251,163 | 1,207,599 | |
BX Trust Series 2021-VOLT Class A (1 Month LIBOR +0.70%) 144A± | 5.29 | 9-15-2036 | 10,912,000 | 10,649,616 | |
BX Trust Series 2021-XL2 Class A (1 Month LIBOR +0.69%) 144A± | 5.28 | 10-15-2038 | 5,041,330 | 4,915,332 | |
CFCRE Commercial Mortgage Trust Series 2017-C8 Class ASB | 3.37 | 6-15-2050 | 1,358,675 | 1,297,727 | |
Citigroup Commercial Mortgage Series 2022-GC48 Class A5 ±± | 4.58 | 5-15-2054 | 3,191,000 | 3,074,044 | |
Colt Funding LLC Series 2021-2 Class A1 144A±± | 0.92 | 8-25-2066 | 3,652,250 | 2,888,441 | |
Colt Funding LLC Series 2021-4 Class A1 144A±± | 1.40 | 10-25-2066 | 3,844,273 | 3,091,881 | |
Commercial Mortgage Pass-Through Certificate Series 2013-CR13 Class A4 ±± | 4.19 | 11-10-2046 | 1,746,000 | 1,719,002 | |
Commercial Mortgage Trust Series 2013-CR10 Class A4 ±± | 4.21 | 8-10-2046 | 89,000 | 88,754 | |
Commercial Mortgage Trust Series 2013-CR11 Class A4 | 4.26 | 8-10-2050 | 12,738,000 | 12,613,638 | |
Commercial Mortgage Trust Series 2014-UBS4 Class A4 | 3.42 | 8-10-2047 | 3,937,000 | 3,814,624 | |
Commercial Mortgage Trust Series 2015-LC19 Class A3 | 2.92 | 2-10-2048 | 8,129,307 | 7,780,795 | |
Commercial Mortgage Trust Series 2015-LC23 Class A3 | 3.52 | 10-10-2048 | 1,982,000 | 1,890,176 | |
CSAIL Commercial Mortgage Trust Series 2019-C16 Class A2 | 3.07 | 6-15-2052 | 1,924,000 | 1,698,832 | |
CSAIL Commercial Mortgage Trust Series 2021-C20 Class A3 | 2.80 | 3-15-2054 | 1,257,000 | 1,054,905 | |
EQUS Mortgage Trust Series 2021-EQAZ (1 Month LIBOR +0.75%) 144A± | 5.34 | 10-15-2038 | 4,122,917 | 4,022,159 | |
F1VE 2023 V1 A3 ±± | 5.67 | 2-10-2056 | 3,945,000 | 4,016,061 | |
Goldman Sachs Mortgage Securities Trust Series 2013-GC14 Class A5 | 4.24 | 8-10-2046 | 2,275,000 | 2,261,856 | |
Goldman Sachs Mortgage Securities Trust Series 2014-GC18 Class A4 | 4.07 | 1-10-2047 | 5,471,323 | 5,362,653 | |
Goldman Sachs Mortgage Securities Trust Series 2015-GC32 Class A3 | 3.50 | 7-10-2048 | 1,895,326 | 1,805,041 | |
Goldman Sachs Mortgage Securities Trust Series 2020-GC47 Class A5 | 2.38 | 5-12-2053 | 1,792,000 | 1,497,780 | |
Goldman Sachs Mortgage Securities Trust Series 2020-GSA2 Class A4 | 1.72 | 12-12-2053 | 5,595,000 | 4,441,248 | |
Impact Funding LLC Series 2010-1 Class A1 144A | 5.31 | 1-25-2051 | 3,398,451 | 3,303,511 | |
JPM DB Commercial Mortgage Securities Series 2013-C12 Class A5 | 3.66 | 7-15-2045 | 2,942,639 | 2,927,395 | |
JPM DB Commercial Mortgage Securities Series 2013-C17 Class A4 | 4.20 | 1-15-2047 | 1,095,000 | 1,080,298 | |
JPM DB Commercial Mortgage Securities Series 2014-C23 Class A4 | 3.67 | 9-15-2047 | 1,623,137 | 1,574,222 | |
JPMorgan Chase Commercial Mortgage Securities Trust Series 2013-C16 Class A4 | 4.17 | 12-15-2046 | 4,973,000 | 4,912,866 | |
JPMorgan Chase Commercial Mortgage Securities Trust Series 2015-C28 Class A3 | 2.91 | 10-15-2048 | 7,575,913 | 7,196,039 | |
JPMorgan Chase Commercial Mortgage Securities Trust Series 2015-C30 Class A5 | 3.82 | 7-15-2048 | 3,008,000 | 2,865,518 |
Interest rate | Maturity date | Principal | Value | ||
Non-agency mortgage-backed securities (continued) | |||||
JPMorgan Chase Commercial Mortgage Securities Trust Series 2016-JP3 Class A3 | 3.39% | 12-15-2049 | $ 1,080,000 | $ 1,002,632 | |
Med Trust Series 2021-MDLN (1 Month LIBOR +0.95%) 144A± | 5.54 | 11-15-2038 | 6,642,267 | 6,480,419 | |
MFRA Trust Series 2021-NQM2 Class A1 144A±± | 1.03 | 11-25-2064 | 1,547,953 | 1,262,333 | |
Morgan Stanley Capital 1 Trust Series 2019- L2 Class A3 | 3.81 | 3-15-2052 | 2,625,000 | 2,423,900 | |
Morgan Stanley Capital International Trust Series 2020-HR8 Class A3 | 1.79 | 7-15-2053 | 3,030,000 | 2,419,340 | |
New Residential Mortgage Loan Trust Series 2019-NQM4 Class A1 144A±± | 2.49 | 9-25-2059 | 822,242 | 752,592 | |
NewRez WareHouse Securitization Series 2021-1 Class A (1 Month LIBOR +0.75%) 144A± | 5.37 | 5-25-2055 | 10,288,000 | 10,176,217 | |
Starwood Mortgage Residential Trust Series 2020-1 Class A1 144A±± | 2.28 | 2-25-2050 | 287,854 | 273,461 | |
Starwood Mortgage Residential Trust Series 2020-INV1 Class A1 144A±± | 1.03 | 11-25-2055 | 1,156,942 | 1,014,420 | |
Starwood Mortgage Residential Trust Series 2020-INV3 Class A1 144A±± | 1.49 | 4-25-2065 | 1,323,968 | 1,237,368 | |
Starwood Mortgage Residential Trust Series 2021-1 Class A1 144A±± | 1.22 | 5-25-2065 | 1,458,937 | 1,282,003 | |
Starwood Mortgage Residential Trust Series 2021-4 Class A1 144A±± | 1.16 | 8-25-2056 | 3,633,934 | 3,015,847 | |
Verizon Master Trust Series 2022-2 Class A | 1.53 | 7-20-2028 | 3,146,000 | 2,937,669 | |
Verizon Master Trust Series 2022-4 Class A | 3.40 | 11-20-2028 | 6,886,000 | 6,640,881 | |
Verizon Master Trust Series 2022-6 Class A | 3.67 | 1-22-2029 | 6,257,000 | 6,056,515 | |
Verizon Master Trust Series 2023-1 Class A | 4.49 | 1-22-2029 | 6,417,000 | 6,328,132 | |
Verus Securitization Trust Series 2019-2 Class A1 144A±± | 2.91 | 7-25-2059 | 689,689 | 667,150 | |
Verus Securitization Trust Series 2019-3 Class A1 144A±± | 2.69 | 11-25-2059 | 620,500 | 588,312 | |
Verus Securitization Trust Series 2019-4 Class A1 144A | 2.64 | 11-25-2059 | 1,354,595 | 1,288,464 | |
Verus Securitization Trust Series 2020-1 Class A1 144A | 2.42 | 1-25-2060 | 295,226 | 278,555 | |
Verus Securitization Trust Series 2020-2 Class A1 144A±± | 2.23 | 5-25-2060 | 949,799 | 910,639 | |
Verus Securitization Trust Series 2020-5 Class A1 144A | 1.22 | 5-25-2065 | 592,470 | 536,856 | |
Verus Securitization Trust Series 2021-1 Class A1 144A±± | 0.82 | 1-25-2066 | 1,991,123 | 1,652,921 | |
Verus Securitization Trust Series 2021-2 Class A1 144A±± | 1.03 | 2-25-2066 | 3,529,460 | 2,997,110 | |
Verus Securitization Trust Series 2021-3 Class A1 144A±± | 1.05 | 6-25-2066 | 2,650,695 | 2,199,376 | |
Verus Securitization Trust Series 2021-4 Class A1 144A±± | 0.94 | 7-25-2066 | 3,233,337 | 2,569,116 | |
Verus Securitization Trust Series 2021-5 Class A1 144A±± | 1.01 | 9-25-2066 | 10,346,505 | 8,295,224 | |
Verus Securitization Trust Series 2021-7 Class A1 144A±± | 1.83 | 10-25-2066 | 4,824,702 | 4,046,241 | |
Verus Securitization Trust Series 2021-8 Class A1 144A±± | 1.82 | 11-25-2066 | 3,413,485 | 2,907,845 | |
Verus Securitization Trust Series 2021-R1 Class A1 144A±± | 0.82 | 10-25-2063 | 1,731,065 | 1,548,940 | |
Verus Securitization Trust Series 2021-R3 Class A1 144A±± | 1.02 | 4-25-2064 | 1,661,799 | 1,479,813 | |
Visio Trust Series 2020-1R Class A1 144A | 1.31 | 11-25-2055 | 1,286,321 | 1,160,051 | |
Total Non-agency mortgage-backed securities (Cost $226,493,371) | 209,760,266 | ||||
U.S. Treasury securities: 24.19% | |||||
U.S. Treasury Bond | 5.25 | 11-15-2028 | 2,064,000 | 2,179,294 | |
U.S. Treasury Bond | 5.25 | 2-15-2029 | 8,249,000 | 8,715,262 | |
U.S. Treasury Bond | 1.13 | 5-15-2040 | 87,097,000 | 55,126,277 | |
U.S. Treasury Bond | 1.13 | 8-15-2040 | 85,421,000 | 53,798,546 | |
U.S. Treasury Bond ## | 1.38 | 11-15-2040 | 154,317,000 | 101,397,119 | |
U.S. Treasury Bond | 1.88 | 2-15-2041 | 6,755,000 | 4,827,978 | |
U.S. Treasury Bond ## | 1.75 | 8-15-2041 | 126,129,000 | 87,403,455 |
Interest rate | Maturity date | Principal | Value | ||
U.S. Treasury securities (continued) | |||||
U.S. Treasury Bond | 2.00% | 8-15-2051 | $ 22,967,000 | $ 15,437,233 | |
U.S. Treasury Bond | 2.25 | 2-15-2052 | 11,829,000 | 8,434,169 | |
U.S. Treasury Bond | 2.88 | 5-15-2052 | 13,255,000 | 10,854,085 | |
U.S. Treasury Bond | 3.00 | 8-15-2052 | 40,262,000 | 33,845,244 | |
U.S. Treasury Note | 4.50 | 11-30-2024 | 1,215,000 | 1,206,220 | |
U.S. Treasury Note | 4.25 | 12-31-2024 | 20,327,000 | 20,099,115 | |
U.S. Treasury Note | 4.13 | 1-31-2025 | 12,198,000 | 12,039,331 | |
U.S. Treasury Note | 4.63 | 2-28-2025 | 117,000 | 116,625 | |
U.S. Treasury Note | 2.88 | 4-30-2025 | 16,500,000 | 15,867,715 | |
U.S. Treasury Note | 3.00 | 7-15-2025 | 23,933,000 | 23,043,926 | |
U.S. Treasury Note | 3.00 | 9-30-2025 | 9,660,000 | 9,285,675 | |
U.S. Treasury Note | 4.50 | 11-15-2025 | 13,222,000 | 13,199,791 | |
U.S. Treasury Note | 0.38 | 11-30-2025 | 233,000 | 208,135 | |
U.S. Treasury Note | 4.00 | 12-15-2025 | 496,000 | 489,374 | |
U.S. Treasury Note | 3.88 | 1-15-2026 | 19,157,000 | 18,827,739 | |
U.S. Treasury Note | 4.00 | 2-15-2026 | 21,964,000 | 21,660,279 | |
U.S. Treasury Note | 1.63 | 5-15-2026 | 30,674,000 | 28,106,251 | |
U.S. Treasury Note | 0.75 | 5-31-2026 | 5,070,000 | 4,507,745 | |
U.S. Treasury Note | 1.50 | 8-15-2026 | 101,122,000 | 91,776,115 | |
U.S. Treasury Note | 2.00 | 11-15-2026 | 41,350,000 | 38,032,308 | |
U.S. Treasury Note | 3.25 | 6-30-2027 | 18,369,000 | 17,624,912 | |
U.S. Treasury Note | 2.75 | 7-31-2027 | 17,375,000 | 16,322,998 | |
U.S. Treasury Note | 4.13 | 9-30-2027 | 17,801,000 | 17,707,823 | |
U.S. Treasury Note | 4.13 | 10-31-2027 | 63,150,000 | 62,834,250 | |
U.S. Treasury Note | 2.25 | 11-15-2027 | 9,209,000 | 8,437,746 | |
U.S. Treasury Note | 3.88 | 11-30-2027 | 3,035,000 | 2,991,728 | |
U.S. Treasury Note | 3.88 | 12-31-2027 | 11,563,000 | 11,394,072 | |
U.S. Treasury Note | 3.50 | 1-31-2028 | 4,777,000 | 4,631,824 | |
U.S. Treasury Note | 2.75 | 2-15-2028 | 37,619,000 | 35,197,277 | |
U.S. Treasury Note | 4.00 | 2-29-2028 | 5,803,000 | 5,759,931 | |
U.S. Treasury Note | 1.38 | 10-31-2028 | 30,676,000 | 26,417,309 | |
U.S. Treasury Note | 1.50 | 11-30-2028 | 11,372,000 | 9,848,774 | |
U.S. Treasury Note | 2.75 | 5-31-2029 | 51,797,000 | 47,910,202 | |
U.S. Treasury Note | 3.25 | 6-30-2029 | 13,449,000 | 12,798,615 | |
U.S. Treasury Note | 2.63 | 7-31-2029 | 8,779,000 | 8,049,931 | |
U.S. Treasury Note | 3.13 | 8-31-2029 | 2,239,000 | 2,114,368 | |
U.S. Treasury Note | 3.88 | 9-30-2029 | 554,000 | 546,556 | |
U.S. Treasury Note | 4.00 | 10-31-2029 | 4,256,000 | 4,230,896 | |
U.S. Treasury Note | 3.88 | 11-30-2029 | 2,025,000 | 1,999,055 | |
U.S. Treasury Note | 3.88 | 12-31-2029 | 3,282,000 | 3,242,001 | |
U.S. Treasury Note | 3.50 | 1-31-2030 | 0 | 0 | |
U.S. Treasury Note | 4.00 | 2-28-2030 | 2,134,000 | 2,125,998 | |
U.S. Treasury Note | 3.50 | 2-15-2033 | 1,996,000 | 1,930,194 | |
U.S. Treasury Note | 3.38 | 8-15-2042 | 2,921,000 | 2,629,813 | |
U.S. Treasury Note | 4.00 | 11-15-2042 | 8,766,000 | 8,641,358 | |
U.S. Treasury Note | 3.88 | 2-15-2043 | 2,207,000 | 2,141,135 | |
U.S. Treasury Note | 1.88 | 11-15-2051 | 7,074,000 | 4,600,863 | |
U.S. Treasury Note | 4.00 | 11-15-2052 | 11,450,000 | 11,653,953 | |
U.S. Treasury Note | 3.63 | 2-15-2053 | 21,007,000 | 19,999,320 | |
Total U.S. Treasury securities (Cost $1,166,225,011) | 1,034,267,908 |
Interest rate | Maturity date | Principal | Value | ||
Yankee corporate bonds and notes: 4.27% | |||||
Energy: 0.32% | |||||
Oil, gas & consumable fuels: 0.32% | |||||
Aker BP ASA 144A | 3.75% | 1-15-2030 | $ 520,000 | $ 458,822 | |
Aker BP ASA 144A | 4.00 | 1-15-2031 | 1,816,000 | 1,597,337 | |
Galaxy Pipeline Assets Company 144A | 1.75 | 9-30-2027 | 2,884,186 | 2,657,690 | |
Galaxy Pipeline Assets Company 144A | 2.16 | 3-31-2034 | 3,165,111 | 2,671,239 | |
Galaxy Pipeline Assets Company 144A | 2.63 | 3-31-2036 | 2,154,000 | 1,702,341 | |
Galaxy Pipeline Assets Company 144A | 2.94 | 9-30-2040 | 1,493,289 | 1,175,440 | |
Petroleos Mexicanos Company | 2.38 | 4-15-2025 | 907,250 | 886,511 | |
Petroleos Mexicanos Company | 2.46 | 12-15-2025 | 2,419,500 | 2,347,222 | |
13,496,602 | |||||
Financials: 2.90% | |||||
Banks: 1.85% | |||||
Barclays plc (1 Year Treasury Constant Maturity +3.50%) ± | 7.44 | 11-2-2033 | 9,260,000 | 9,997,470 | |
Cooperative Rabobank UA (1 Year Treasury Constant Maturity +1.40%) 144A± | 5.56 | 2-28-2029 | 11,553,000 | 11,489,930 | |
Lloyds Banking Group PLC (1 Year Treasury Constant Maturity +1.70%) ±%% | 5.87 | 3-6-2029 | 4,919,000 | 4,919,951 | |
Lloyds Banking Group PLC (1 Year Treasury Constant Maturity +2.30%) ± | 4.98 | 8-11-2033 | 1,545,000 | 1,439,032 | |
Mitsubishi UFJ Financial Group Incorporated (1 Year Treasury Constant Maturity +1.08%) ± | 5.72 | 2-20-2026 | 13,209,000 | 13,190,614 | |
Mitsubishi UFJ Financial Group Incorporated (1 Year Treasury Constant Maturity +1.38%) ± | 5.42 | 2-22-2029 | 3,392,000 | 3,368,391 | |
Mitsubishi UFJ Financial Group Incorporated (1 Year Treasury Constant Maturity +1.53%) ± | 5.48 | 2-22-2031 | 2,079,000 | 2,058,240 | |
Mitsubishi UFJ Financial Group Incorporated (1 Year Treasury Constant Maturity +1.63%) ± | 5.44 | 2-22-2034 | 3,715,000 | 3,651,493 | |
Mizuho Financial Group (1 Year Treasury Constant Maturity +1.50%) ± | 5.67 | 5-27-2029 | 4,948,000 | 4,938,513 | |
Mizuho Financial Group (1 Year Treasury Constant Maturity +1.65%) ± | 5.74 | 5-27-2031 | 3,391,000 | 3,386,044 | |
Mizuho Financial Group (1 Year Treasury Constant Maturity +1.80%) ± | 5.75 | 5-27-2034 | 4,169,000 | 4,148,377 | |
National Australia Bank Subordinated 144A | 6.43 | 1-12-2033 | 3,396,000 | 3,431,808 | |
Sumitomo Mitsui Financial Group Incorporated | 5.52 | 1-13-2028 | 6,643,000 | 6,625,453 | |
Sumitomo Mitsui Financial Group Incorporated | 5.71 | 1-13-2030 | 6,551,000 | 6,584,738 | |
79,230,054 | |||||
Capital markets: 0.32% | |||||
Credit Suisse Group AG (U.S. SOFR +5.02%) 144A± | 9.02 | 11-15-2033 | 4,081,000 | 4,285,775 | |
Deutsche Bank AG (U.S. SOFR +2.26%) ± | 3.74 | 1-7-2033 | 7,160,000 | 5,485,799 | |
UBS Group AG (1 Year Treasury Constant Maturity +2.20%) 144A± | 5.60 | 1-12-2034 | 3,958,000 | 3,963,330 | |
13,734,904 | |||||
Diversified financial services: 0.67% | |||||
AerCap Ireland Capital Designated Activity Company / AerCap Global Aviation Trust | 1.15 | 10-29-2023 | 16,629,000 | 16,136,214 | |
DH Europe Finance II | 2.20 | 11-15-2024 | 4,060,000 | 3,863,212 | |
Lundin Energy Finance Company 144A | 2.00 | 7-15-2026 | 3,911,000 | 3,469,159 |
Interest rate | Maturity date | Principal | Value | ||
Diversified financial services (continued) | |||||
Lundin Energy Finance Company 144A | 3.10% | 7-15-2031 | $ 4,519,000 | $ 3,699,788 | |
Trust Fibrauno 144A | 6.39 | 1-15-2050 | 1,883,000 | 1,470,305 | |
28,638,678 | |||||
Insurance: 0.06% | |||||
Enstar Group Limited | 3.10 | 9-1-2031 | 3,043,000 | 2,310,941 | |
Health care: 0.05% | |||||
Pharmaceuticals: 0.05% | |||||
Shire Acquisitions Investments Ireland Designated Activity Company | 2.88 | 9-23-2023 | 1,217,000 | 1,198,977 | |
Takeda Pharmaceutical | 4.40 | 11-26-2023 | 986,000 | 976,486 | |
2,175,463 | |||||
Industrials: 0.21% | |||||
Road & rail: 0.19% | |||||
Canadian National Railway | 3.85 | 8-5-2032 | 2,332,000 | 2,139,758 | |
Canadian National Railway | 4.40 | 8-5-2052 | 1,553,000 | 1,384,679 | |
Canadian Pacific Railway Company | 1.35 | 12-2-2024 | 3,675,000 | 3,425,747 | |
Canadian Pacific Railway Company | 1.75 | 12-2-2026 | 711,000 | 629,644 | |
Canadian Pacific Railway Company | 3.00 | 12-2-2041 | 725,000 | 549,209 | |
8,129,037 | |||||
Transportation infrastructure: 0.02% | |||||
Adani Ports & Special Company 144A | 3.00 | 2-16-2031 | 1,342,500 | 1,002,818 | |
Information technology: 0.10% | |||||
Semiconductors & semiconductor equipment: 0.10% | |||||
NXP BV | 4.40 | 6-1-2027 | 1,791,000 | 1,714,656 | |
NXP BV | 2.50 | 5-11-2031 | 1,640,000 | 1,295,340 | |
NXP BV | 3.25 | 5-11-2041 | 1,621,000 | 1,126,333 | |
4,136,329 | |||||
Materials: 0.66% | |||||
Metals & mining: 0.66% | |||||
Anglo American Capital Company 144A | 3.88 | 3-16-2029 | 4,168,000 | 3,745,343 | |
Anglo American Capital Company 144A | 4.75 | 3-16-2052 | 3,234,000 | 2,675,134 | |
BHP Billiton USA | 4.88 | 2-27-2026 | 8,182,000 | 8,127,806 | |
BHP Billiton USA | 4.75 | 2-28-2028 | 6,543,000 | 6,464,589 | |
BHP Billiton USA | 4.90 | 2-28-2033 | 4,092,000 | 4,075,559 | |
Glencore Finance Canada Company 144A | 6.90 | 11-15-2037 | 1,706,000 | 1,843,541 | |
Glencore Finance Canada Company 144A | 6.00 | 11-15-2041 | 603,000 | 592,387 | |
Glencore Finance Canada Company 144A | 5.55 | 10-25-2042 | 741,000 | 686,246 | |
28,210,605 | |||||
Utilities: 0.03% | |||||
Electric utilities: 0.03% | |||||
Israel Electric Corporation Limited 144A | 3.75 | 2-22-2032 | 1,561,000 | 1,341,383 | |
Total Yankee corporate bonds and notes (Cost $190,941,875) | 182,406,814 |
Interest rate | Maturity date | Principal | Value | ||
Yankee government bonds: 0.77% | |||||
Government of Bermuda 144A | 5.00% | 7-15-2032 | $ 1,863,000 | $ 1,811,367 | |
Mexico | 6.35 | 2-9-2035 | 1,908,000 | 1,957,577 | |
Province of Saskatchewan | 3.25 | 6-8-2027 | 2,258,000 | 2,136,312 | |
Republic of Paraguay 144A | 5.40 | 3-30-2050 | 2,746,000 | 2,299,362 | |
Republic of Peru | 3.00 | 1-15-2034 | 1,127,000 | 886,789 | |
Republic of Peru | 3.60 | 1-15-2072 | 872,000 | 563,963 | |
Republic of Poland | 5.75 | 11-16-2032 | 1,772,000 | 1,855,426 | |
Saudi International Bond 144A | 5.00 | 1-18-2053 | 1,546,000 | 1,410,725 | |
State of Israel | 4.50 | 1-17-2033 | 5,843,000 | 5,633,949 | |
United Mexican States | 3.50 | 2-12-2034 | 3,936,000 | 3,205,690 | |
United Mexican States | 3.75 | 4-19-2071 | 3,462,000 | 2,236,686 | |
United Mexican States | 3.77 | 5-24-2061 | 2,580,000 | 1,692,036 | |
United Mexican States « | 4.40 | 2-12-2052 | 3,851,000 | 2,915,884 | |
United Mexican States | 4.50 | 4-22-2029 | 3,905,000 | 3,709,483 | |
United Mexican States | 4.60 | 2-10-2048 | 883,000 | 703,891 | |
Total Yankee government bonds (Cost $35,510,359) | 33,019,140 |
Yield | Shares | ||||
Short-term investments: 1.44% | |||||
Investment companies: 1.44% | |||||
Allspring Government Money Market Fund Select Class♠∞## | 4.39 | 61,294,319 | 61,294,319 | ||
Securities Lending Cash Investments LLC♠∩∞ | 4.54 | 267,073 | 267,073 | ||
Total Short-term investments (Cost $61,561,365) | 61,561,392 |
Principal | |||||
Securities Sold Short: (0.64)% | |||||
Agency securities: (0.64)% | |||||
FNMA %% | 3.50 | 3-13-2053 | $(29,900,000) | (27,216,008) | |
Total Agency securities (Cost $(27,646,863)) | (27,216,008) | ||||
Total Securities Sold Short (Proceeds $(27,646,863)) | (27,216,008) | ||||
Total investments in securities (excluding securities sold short (Cost 4,723,476,964)) | 102.60% | 4,387,280,998 | |||
Total securities sold short | (0.64) | (27,216,008) | |||
Other Assets and liabilities, net | (1.96) | (83,992,929) | |||
Total net assets | 100.00% | $4,276,051,627 |
¤ | The security is issued in zero coupon form with no periodic interest payments. |
± | Variable rate investment. The rate shown is the rate in effect at period end. |
±± | 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. |
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 for when-issued securities. |
« | All or a portion of this security is on loan. |
♠ | The issuer of the security is an affiliated person of the Portfolio as defined in the Investment Company Act of 1940. |
∩ | The investment is a non-registered investment company purchased with cash collateral received from securities on loan. |
∞ | The rate represents the 7-day annualized yield at period end. |
%% | The security is purchased on a when-issued basis. |
Abbreviations | |
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 |
SOFR | Secured Overnight Financing Rate |
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 | $114,848,590 | $1,857,846,107 | $(1,911,400,378) | $0 | $0 | $61,294,319 | 61,294,319 | $2,521,197 | ||
Securities Lending Cash Investments LLC | 10,235,000 | 224,350,425 | (234,318,352) | 0 | 0 | 267,073 | 267,073 | 39,402# | ||
$0 | $0 | $61,561,392 | $2,560,599 |
# | Amount shown represents income before fees and rebates. |
■ | 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 Portfolio’s own assumptions in determining the fair value of investments) |
Quoted prices (Level 1) | Other significant observable inputs (Level 2) | Significant unobservable inputs (Level 3) | Total | |
Assets | ||||
Investments in: | ||||
Agency securities | $0 | $1,428,629,569 | $0 | $1,428,629,569 |
Asset-backed securities | 0 | 485,539,229 | 0 | 485,539,229 |
Corporate bonds and notes | 0 | 935,608,088 | 0 | 935,608,088 |
Municipal obligations | 0 | 16,488,592 | 0 | 16,488,592 |
Non-agency mortgage-backed securities | 0 | 209,760,266 | 0 | 209,760,266 |
U.S. Treasury securities | 1,034,267,908 | 0 | 0 | 1,034,267,908 |
Yankee corporate bonds and notes | 0 | 182,406,814 | 0 | 182,406,814 |
Yankee government bonds | 0 | 33,019,140 | 0 | 33,019,140 |
Short-term investments | ||||
Investment companies | 61,561,392 | 0 | 0 | 61,561,392 |
Total assets | $1,095,829,300 | $3,291,451,698 | $0 | $4,387,280,998 |
Liabilities | ||||
Securities sold short | ||||
Agency securities | $0 | $27,216,008 | $0 | $27,216,008 |
Total liabilities | $0 | $27,216,008 | $0 | $27,216,008 |