Principal Amount or Shares | Value | ||
1 | MORTGAGE-BACKED SECURITIES—94.2% | ||
Federal Home Loan Mortgage Corporation—20.8% | |||
$9,225,753 | 2.500%, 4/1/2050 | $9,608,671 | |
2,897,227 | 3.000%, 5/1/2045 | 3,080,726 | |
268,143 | 3.500%, 11/1/2025 | 283,538 | |
864,352 | 3.500%, 8/1/2026 | 914,787 | |
977,363 | 3.500%, 6/1/2032 | 1,048,781 | |
2,033,501 | 3.500%, 5/1/2046 | 2,182,728 | |
10,562,288 | 3.500%, 9/1/2047 | 11,274,680 | |
1,861,885 | 3.500%, 10/1/2047 | 1,987,463 | |
6,957,212 | 3.500%, 11/1/2047 | 7,448,194 | |
14,807,131 | 3.500%, 3/1/2050 | 15,686,672 | |
343,010 | 4.000%, 6/1/2049 | 365,278 | |
333,487 | 4.500%, 3/1/2024 | 348,688 | |
390,256 | 4.500%, 11/1/2039 | 430,732 | |
534,611 | 4.500%, 5/1/2040 | 589,726 | |
831,051 | 4.500%, 6/1/2040 | 916,725 | |
177,638 | 4.500%, 9/1/2040 | 195,951 | |
144,095 | 5.000%, 8/1/2023 | 150,027 | |
37,985 | 5.500%, 12/1/2021 | 38,971 | |
5,234 | 5.500%, 1/1/2022 | 5,385 | |
4,762 | 5.500%, 1/1/2022 | 4,899 | |
36,039 | 5.500%, 1/1/2022 | 36,975 | |
669,508 | 5.500%, 5/1/2034 | 765,873 | |
19,036 | 5.500%, 12/1/2035 | 21,974 | |
153,079 | 5.500%, 3/1/2036 | 177,897 | |
284,799 | 5.500%, 1/1/2038 | 331,236 | |
124,890 | 5.500%, 3/1/2038 | 145,358 | |
101,981 | 5.500%, 11/1/2038 | 119,108 | |
102,768 | 5.500%, 1/1/2039 | 119,653 | |
97,727 | 6.000%, 3/1/2038 | 116,671 | |
19,115 | 6.500%, 9/1/2029 | 21,469 | |
31,007 | 7.000%, 2/1/2031 | 36,401 | |
34,721 | 7.000%, 10/1/2031 | 39,423 | |
32,321 | 7.000%, 1/1/2032 | 37,829 | |
37,212 | 7.000%, 3/1/2032 | 42,894 | |
101,476 | 7.500%, 6/1/2027 | 115,076 | |
15,334 | 7.500%, 8/1/2029 | 17,834 | |
2,067 | 7.500%, 3/1/2030 | 2,435 | |
4,634 | 7.500%, 1/1/2031 | 5,429 | |
94,794 | 7.500%, 2/1/2031 | 111,221 | |
TOTAL | 58,827,378 | ||
Federal National Mortgage Association—36.2% | |||
2,944,494 | 2.500%, 12/1/2049 | 3,066,706 | |
2,477,417 | 3.000%, 6/1/2027 | 2,618,790 | |
1,677,979 | 3.000%, 7/1/2027 | 1,773,732 | |
1,217,414 | 3.000%, 6/1/2032 | 1,288,433 |
Principal Amount or Shares | Value | ||
1 | MORTGAGE-BACKED SECURITIES—continued | ||
Federal National Mortgage Association—continued | |||
$3,390,053 | 3.000%, 8/1/2032 | $3,587,815 | |
2,478,076 | 3.000%, 8/1/2045 | 2,635,027 | |
3,135,319 | 3.000%, 8/1/2045 | 3,333,898 | |
15,430,850 | 3.000%, 10/1/2046 | 16,461,224 | |
9,926,533 | 3.000%, 3/1/2050 | 10,511,813 | |
540,735 | 3.500%, 1/1/2026 | 571,780 | |
5,934,614 | 3.500%, 12/1/2041 | 6,492,523 | |
1,082,454 | 3.500%, 4/1/2042 | 1,183,538 | |
403,864 | 3.500%, 9/1/2042 | 441,578 | |
2,916,632 | 3.500%, 9/1/2042 | 3,188,999 | |
391,803 | 3.500%, 9/1/2042 | 428,391 | |
832,493 | 3.500%, 12/1/2042 | 909,454 | |
9,879,679 | 3.500%, 3/1/2050 | 10,485,054 | |
3,024,732 | 4.000%, 12/1/2031 | 3,264,585 | |
2,369,071 | 4.000%, 12/1/2041 | 2,605,053 | |
8,060,432 | 4.000%, 12/1/2041 | 8,923,781 | |
2,301,102 | 4.000%, 6/1/2042 | 2,524,561 | |
4,732,439 | 4.000%, 12/1/2042 | 5,245,244 | |
1,940,977 | 4.500%, 9/1/2041 | 2,140,470 | |
972,442 | 4.500%, 10/1/2041 | 1,068,742 | |
2,257,980 | 4.500%, 11/1/2041 | 2,481,586 | |
155,212 | 4.500%, 11/1/2041 | 171,165 | |
125,270 | 5.000%, 10/1/2023 | 130,431 | |
76,808 | 5.000%, 4/1/2024 | 80,547 | |
1,060,133 | 5.000%, 1/1/2040 | 1,205,067 | |
366,044 | 5.500%, 12/1/2035 | 422,472 | |
17,423 | 6.000%, 2/1/2022 | 17,953 | |
638,316 | 6.000%, 2/1/2033 | 738,233 | |
30,127 | 6.000%, 5/1/2036 | 35,734 | |
134,437 | 6.000%, 7/1/2036 | 160,589 | |
378,854 | 6.000%, 1/1/2037 | 452,325 | |
34,490 | 6.000%, 9/1/2037 | 41,097 | |
56,209 | 6.000%, 9/1/2037 | 67,115 | |
123,456 | 6.000%, 6/1/2038 | 147,284 | |
88,784 | 6.000%, 8/1/2038 | 106,446 | |
39,337 | 6.000%, 10/1/2038 | 47,002 | |
2,014 | 6.500%, 12/1/2027 | 2,252 | |
3,059 | 6.500%, 6/1/2029 | 3,490 | |
8,994 | 6.500%, 7/1/2029 | 10,250 | |
1,866 | 6.500%, 8/1/2029 | 2,117 | |
7,844 | 6.500%, 8/1/2029 | 8,877 | |
146,622 | 6.500%, 5/1/2032 | 168,803 | |
35,554 | 6.500%, 12/1/2035 | 41,823 | |
28,933 | 6.500%, 7/1/2037 | 34,497 | |
351,240 | 6.500%, 8/1/2037 | 416,781 | |
66,242 | 6.500%, 9/1/2037 | 78,979 | |
1,186 | 7.000%, 7/1/2029 | 1,360 | |
4,475 | 7.000%, 9/1/2029 | 4,694 | |
162 | 7.000%, 10/1/2031 | 178 |
Principal Amount or Shares | Value | ||
1 | MORTGAGE-BACKED SECURITIES—continued | ||
Federal National Mortgage Association—continued | |||
$52,121 | 7.000%, 11/1/2031 | $61,309 | |
17,184 | 7.000%, 12/1/2031 | 20,091 | |
47,027 | 7.000%, 12/1/2031 | 55,545 | |
21,028 | 7.000%, 12/1/2031 | 24,296 | |
6,542 | 7.000%, 1/1/2032 | 7,673 | |
33,469 | 7.000%, 2/1/2032 | 39,611 | |
18,626 | 7.500%, 7/1/2028 | 21,527 | |
33,709 | 7.500%, 8/1/2031 | 39,539 | |
60,210 | 8.000%, 12/1/2026 | 67,967 | |
4,706 | 10.000%, 9/1/2021 | 4,839 | |
2 | 10.000%, 11/1/2021 | 2 | |
TOTAL | 102,172,737 | ||
Government National Mortgage Association—16.9% | |||
1,897,867 | 3.500%, 12/15/2040 | 2,051,276 | |
4,052,010 | 3.500%, 9/15/2041 | 4,377,010 | |
849,001 | 3.500%, 1/15/2042 | 915,240 | |
1,864,733 | 3.500%, 2/15/2042 | 2,010,219 | |
396,606 | 3.500%, 8/15/2042 | 428,169 | |
2,809,366 | 3.500%, 8/20/2042 | 3,046,956 | |
900,868 | 3.500%, 9/15/2042 | 970,309 | |
3,014,993 | 4.000%, 3/15/2042 | 3,278,840 | |
1,408,948 | 4.000%, 8/15/2042 | 1,532,248 | |
630,128 | 4.000%, 12/15/2042 | 684,287 | |
2,280,747 | 4.000%, 2/15/2043 | 2,491,743 | |
1,153,904 | 4.000%, 2/15/2043 | 1,254,524 | |
2,438,937 | 4.000%, 3/15/2043 | 2,664,567 | |
684,919 | 4.000%, 3/15/2043 | 748,282 | |
1,456,649 | 4.000%, 3/15/2043 | 1,583,667 | |
1,099,260 | 4.000%, 3/15/2043 | 1,193,740 | |
1,861,556 | 4.500%, 6/15/2040 | 2,067,907 | |
2,621,056 | 4.500%, 8/15/2040 | 2,908,320 | |
1,133,508 | 4.500%, 8/15/2040 | 1,257,739 | |
1,584,345 | 4.500%, 11/15/2040 | 1,757,987 | |
624,330 | 4.500%, 1/15/2042 | 691,585 | |
634,109 | 5.000%, 10/15/2033 | 703,355 | |
2,021,255 | 5.000%, 2/15/2040 | 2,279,852 | |
1,020,485 | 5.000%, 9/15/2041 | 1,152,320 | |
910,056 | 5.000%, 10/15/2041 | 1,026,487 | |
186,754 | 5.500%, 4/15/2034 | 209,782 | |
479,918 | 5.500%, 6/15/2034 | 541,743 | |
54,277 | 6.000%, 1/15/2032 | 62,445 | |
240,627 | 6.000%, 5/15/2036 | 280,677 | |
5,847 | 6.500%, 5/15/2027 | 6,482 | |
4,588 | 6.500%, 1/15/2029 | 5,197 | |
12,551 | 6.500%, 1/15/2029 | 14,146 | |
8,059 | 6.500%, 1/20/2029 | 9,031 | |
4,556 | 6.500%, 2/15/2029 | 4,952 | |
9,601 | 6.500%, 3/15/2029 | 10,846 | |
9,591 | 6.500%, 3/15/2029 | 10,880 |
Principal Amount or Shares | Value | ||
1 | MORTGAGE-BACKED SECURITIES—continued | ||
Government National Mortgage Association—continued | |||
$2,733 | 6.500%, 3/20/2029 | $3,070 | |
4,077 | 6.500%, 5/20/2029 | 4,589 | |
9,218 | 6.500%, 7/20/2029 | 10,376 | |
4,472 | 6.500%, 8/20/2029 | 5,044 | |
1,914 | 6.500%, 10/20/2029 | 2,148 | |
3,679 | 6.500%, 11/20/2029 | 4,173 | |
2,847 | 6.500%, 10/20/2030 | 3,241 | |
5,489 | 6.500%, 4/20/2031 | 6,272 | |
2,671 | 6.500%, 5/20/2031 | 3,051 | |
15,279 | 6.500%, 6/20/2031 | 17,469 | |
5,334 | 6.500%, 7/15/2031 | 6,104 | |
780 | 6.500%, 7/15/2031 | 899 | |
4,273 | 6.500%, 7/20/2031 | 4,888 | |
4,688 | 6.500%, 10/20/2031 | 5,368 | |
3,814 | 6.500%, 11/20/2031 | 4,370 | |
11,617 | 6.500%, 1/20/2032 | 13,297 | |
174,936 | 6.500%, 10/20/2038 | 205,632 | |
16,258 | 7.000%, 6/15/2026 | 17,934 | |
5,896 | 7.000%, 6/15/2026 | 6,490 | |
6,486 | 7.000%, 12/15/2026 | 7,124 | |
8,432 | 7.000%, 6/15/2027 | 9,320 | |
1,463 | 7.000%, 10/15/2027 | 1,630 | |
6,199 | 7.000%, 11/15/2027 | 6,801 | |
4,527 | 7.000%, 2/15/2028 | 5,039 | |
13,629 | 7.000%, 4/15/2028 | 15,285 | |
21,932 | 7.000%, 6/15/2028 | 24,726 | |
3,298 | 7.000%, 6/15/2028 | 3,725 | |
23,138 | 7.000%, 7/15/2028 | 25,995 | |
9,556 | 7.000%, 7/15/2028 | 10,698 | |
47,290 | 7.000%, 8/15/2028 | 53,703 | |
8,712 | 7.000%, 8/15/2028 | 9,821 | |
3,874 | 7.000%, 9/15/2028 | 4,367 | |
1,113 | 7.000%, 9/15/2028 | 1,240 | |
5,404 | 7.000%, 10/15/2028 | 6,097 | |
16,701 | 7.000%, 10/15/2028 | 18,796 | |
51,931 | 7.000%, 11/15/2028 | 59,154 | |
3,373 | 7.000%, 11/15/2028 | 3,472 | |
50,617 | 7.000%, 12/15/2028 | 56,346 | |
13,916 | 7.000%, 12/15/2028 | 15,863 | |
18,036 | 7.000%, 12/15/2028 | 20,299 | |
15,107 | 7.000%, 12/15/2028 | 17,031 | |
3,907 | 7.000%, 1/15/2029 | 4,443 | |
5,191 | 7.000%, 1/15/2029 | 5,917 | |
5,141 | 7.000%, 1/15/2029 | 5,776 | |
3,026 | 7.000%, 1/15/2029 | 3,278 | |
11,163 | 7.000%, 1/15/2029 | 12,724 | |
2,509 | 7.000%, 1/15/2029 | 2,849 | |
9,641 | 7.000%, 1/15/2029 | 10,896 | |
13,687 | 7.000%, 1/15/2029 | 15,624 |
Principal Amount or Shares | Value | ||
1 | MORTGAGE-BACKED SECURITIES—continued | ||
Government National Mortgage Association—continued | |||
$31,377 | 7.000%, 1/15/2029 | $35,793 | |
12,455 | 7.000%, 1/15/2029 | 14,122 | |
2,125 | 7.000%, 1/15/2029 | 2,242 | |
6,315 | 7.000%, 2/15/2029 | 6,958 | |
2,881 | 7.000%, 2/15/2029 | 3,284 | |
3,233 | 7.000%, 2/15/2029 | 3,345 | |
6,755 | 7.000%, 2/15/2029 | 7,689 | |
2,294 | 7.000%, 2/15/2029 | 2,603 | |
10,400 | 7.000%, 2/15/2029 | 11,829 | |
240 | 7.000%, 2/15/2029 | 270 | |
124 | 7.000%, 2/15/2029 | 136 | |
1,315 | 7.000%, 3/15/2029 | 1,482 | |
3,219 | 7.000%, 3/15/2029 | 3,653 | |
10,178 | 7.000%, 3/15/2029 | 11,330 | |
1,094 | 7.000%, 3/15/2029 | 1,249 | |
1,064 | 7.000%, 3/15/2029 | 1,215 | |
1,707 | 7.000%, 3/15/2029 | 1,948 | |
1,103 | 7.000%, 3/15/2029 | 1,257 | |
51 | 7.000%, 3/15/2029 | 52 | |
2,308 | 7.000%, 3/15/2029 | 2,607 | |
10,114 | 7.000%, 4/15/2029 | 11,562 | |
46,625 | 7.000%, 4/15/2029 | 53,109 | |
9,720 | 7.000%, 4/15/2029 | 11,120 | |
2,554 | 7.000%, 4/15/2029 | 2,909 | |
2,074 | 7.000%, 4/15/2029 | 2,351 | |
36 | 7.000%, 4/15/2029 | 41 | |
5,364 | 7.000%, 4/15/2029 | 6,101 | |
9,386 | 7.000%, 4/15/2029 | 10,526 | |
6,831 | 7.000%, 4/15/2029 | 7,481 | |
226 | 7.000%, 4/15/2029 | 258 | |
3,143 | 7.000%, 5/15/2029 | 3,577 | |
924 | 7.000%, 5/15/2029 | 1,051 | |
2,377 | 7.000%, 5/15/2029 | 2,716 | |
2,883 | 7.000%, 5/15/2029 | 3,301 | |
2,912 | 7.000%, 5/15/2029 | 3,314 | |
6,114 | 7.000%, 6/15/2029 | 6,980 | |
2,778 | 7.000%, 6/15/2029 | 3,181 | |
3,796 | 7.000%, 6/15/2029 | 4,307 | |
302 | 7.000%, 6/15/2029 | 346 | |
718 | 7.000%, 6/15/2029 | 822 | |
10,956 | 7.000%, 6/15/2029 | 12,498 | |
1,758 | 7.000%, 6/15/2029 | 2,013 | |
850 | 7.000%, 6/15/2029 | 972 | |
6,397 | 7.000%, 7/15/2029 | 7,287 | |
2,146 | 7.000%, 7/15/2029 | 2,385 | |
11,400 | 7.000%, 7/15/2029 | 13,032 | |
57,232 | 7.000%, 7/15/2029 | 65,240 | |
10,304 | 7.000%, 7/15/2029 | 11,804 | |
1,115 | 7.000%, 7/15/2029 | 1,261 |
Principal Amount or Shares | Value | ||
1 | MORTGAGE-BACKED SECURITIES—continued | ||
Government National Mortgage Association—continued | |||
$2,298 | 7.000%, 7/15/2029 | $2,621 | |
5,717 | 7.000%, 7/15/2029 | 6,549 | |
2,700 | 7.000%, 7/15/2029 | 3,050 | |
7,077 | 7.000%, 7/15/2029 | 8,073 | |
992 | 7.000%, 8/15/2029 | 1,134 | |
1,975 | 7.000%, 8/15/2029 | 2,266 | |
2,251 | 7.000%, 8/15/2029 | 2,558 | |
1,511 | 7.000%, 8/15/2029 | 1,734 | |
10,193 | 7.000%, 8/15/2029 | 11,539 | |
3,782 | 7.000%, 9/15/2029 | 4,302 | |
12,791 | 7.000%, 9/15/2029 | 14,570 | |
6,055 | 7.000%, 9/15/2029 | 6,950 | |
4,691 | 7.000%, 9/15/2029 | 5,373 | |
7,198 | 7.000%, 9/15/2029 | 8,241 | |
1,983 | 7.000%, 11/15/2029 | 2,278 | |
18,675 | 7.000%, 12/15/2029 | 21,272 | |
4,302 | 7.000%, 12/15/2029 | 4,889 | |
3,411 | 7.000%, 1/15/2030 | 3,924 | |
19,868 | 7.000%, 1/15/2030 | 22,867 | |
8,950 | 7.000%, 1/15/2030 | 9,754 | |
5,712 | 7.000%, 1/15/2030 | 6,466 | |
20,212 | 7.000%, 2/15/2030 | 22,748 | |
12,121 | 7.000%, 2/15/2030 | 13,951 | |
10,355 | 7.000%, 2/15/2030 | 11,926 | |
52,992 | 7.000%, 2/15/2030 | 61,031 | |
51,889 | 7.000%, 3/15/2030 | 59,404 | |
21,456 | 7.000%, 3/15/2030 | 24,494 | |
5,032 | 7.000%, 4/15/2030 | 5,504 | |
3,363 | 7.000%, 4/15/2030 | 3,876 | |
16,656 | 7.000%, 6/15/2030 | 19,155 | |
5,237 | 7.000%, 6/15/2030 | 6,028 | |
44,762 | 7.000%, 8/15/2030 | 51,585 | |
7,392 | 7.000%, 8/15/2030 | 8,439 | |
11,287 | 7.000%, 9/15/2030 | 12,528 | |
14,418 | 7.000%, 10/15/2030 | 16,616 | |
5,530 | 7.000%, 10/15/2030 | 6,056 | |
3,696 | 7.000%, 11/15/2030 | 4,263 | |
9,252 | 7.000%, 2/15/2031 | 10,670 | |
110,282 | 7.000%, 2/15/2031 | 126,975 | |
28,541 | 7.000%, 3/15/2031 | 32,898 | |
4,105 | 7.000%, 3/15/2031 | 4,719 | |
1,024 | 7.000%, 7/15/2031 | 1,177 | |
430 | 7.000%, 9/15/2031 | 489 | |
21,669 | 7.000%, 10/15/2031 | 25,071 | |
9,820 | 7.000%, 11/15/2031 | 11,380 | |
14,892 | 7.000%, 1/15/2032 | 17,129 | |
8,712 | 7.000%, 4/15/2032 | 10,034 | |
13,627 | 7.000%, 5/15/2032 | 15,716 | |
729 | 7.000%, 11/15/2032 | 812 |
Principal Amount or Shares | Value | ||
1 | MORTGAGE-BACKED SECURITIES—continued | ||
Government National Mortgage Association—continued | |||
$584 | 7.000%, 1/15/2033 | $679 | |
188,153 | 7.500%, 11/15/2027 | 212,503 | |
170,089 | 7.500%, 11/15/2027 | 192,682 | |
513 | 7.500%, 4/15/2029 | 587 | |
4,948 | 7.500%, 7/15/2029 | 5,541 | |
391 | 7.500%, 7/15/2029 | 449 | |
9,417 | 7.500%, 8/15/2029 | 10,938 | |
30,989 | 7.500%, 8/15/2029 | 35,438 | |
8,330 | 7.500%, 8/15/2029 | 9,534 | |
1,205 | 7.500%, 8/15/2029 | 1,399 | |
24,573 | 7.500%, 8/15/2029 | 28,411 | |
36,371 | 7.500%, 8/15/2029 | 42,278 | |
688 | 7.500%, 8/15/2029 | 792 | |
21,702 | 7.500%, 8/20/2029 | 25,004 | |
4,713 | 7.500%, 9/15/2029 | 5,436 | |
47,420 | 7.500%, 9/15/2029 | 54,467 | |
27,118 | 7.500%, 10/15/2029 | 31,227 | |
4,839 | 7.500%, 10/15/2029 | 5,616 | |
3,255 | 7.500%, 10/15/2029 | 3,786 | |
10,765 | 7.500%, 10/15/2029 | 12,183 | |
6,706 | 7.500%, 12/15/2029 | 7,735 | |
8,246 | 7.500%, 1/15/2030 | 9,503 | |
13,855 | 7.500%, 3/20/2030 | 16,042 | |
18,133 | 7.500%, 8/15/2030 | 20,881 | |
23 | 7.500%, 10/15/2030 | 23 | |
62,855 | 7.500%, 10/15/2030 | 70,311 | |
13,086 | 7.500%, 10/15/2030 | 15,166 | |
12,424 | 7.500%, 10/15/2030 | 14,509 | |
9,224 | 7.500%, 11/20/2030 | 10,737 | |
7,503 | 7.500%, 12/15/2030 | 8,767 | |
7,487 | 7.500%, 1/15/2031 | 8,760 | |
6,120 | 7.500%, 2/15/2031 | 7,152 | |
22,793 | 7.500%, 4/20/2031 | 26,579 | |
60,376 | 7.500%, 7/15/2031 | 70,130 | |
1,640 | 7.500%, 9/15/2031 | 1,912 | |
2,645 | 7.500%, 9/15/2031 | 2,713 | |
16,554 | 7.500%, 10/15/2031 | 19,413 | |
12,127 | 7.500%, 11/15/2031 | 14,245 | |
12,482 | 7.500%, 12/15/2031 | 13,883 | |
10,153 | 7.500%, 3/15/2032 | 11,820 | |
7,786 | 7.500%, 5/15/2032 | 9,156 | |
1,675 | 8.000%, 11/15/2023 | 1,783 | |
56,464 | 8.000%, 11/15/2027 | 63,452 | |
23,644 | 8.000%, 11/15/2027 | 26,483 | |
9,653 | 8.000%, 5/15/2029 | 11,207 | |
92,280 | 8.000%, 8/15/2029 | 106,902 | |
70,694 | 8.000%, 11/15/2029 | 82,307 | |
29,969 | 8.000%, 12/15/2029 | 34,916 | |
534 | 8.000%, 12/15/2029 | 547 |
Principal Amount or Shares | Value | ||
1 | MORTGAGE-BACKED SECURITIES—continued | ||
Government National Mortgage Association—continued | |||
$2,731 | 8.000%, 1/15/2030 | $3,178 | |
13,820 | 8.000%, 1/15/2030 | 16,124 | |
2,977 | 8.000%, 1/15/2030 | 3,441 | |
1,621 | 8.000%, 3/15/2030 | 1,707 | |
12,307 | 8.000%, 4/15/2030 | 14,316 | |
5,814 | 8.000%, 4/15/2030 | 6,731 | |
430 | 8.000%, 4/15/2030 | 502 | |
3,234 | 8.000%, 4/15/2030 | 3,773 | |
6,656 | 8.000%, 4/15/2030 | 7,755 | |
786 | 8.000%, 4/15/2030 | 913 | |
2,061 | 8.000%, 5/15/2030 | 2,398 | |
1,327 | 8.000%, 5/15/2030 | 1,540 | |
8,305 | 8.000%, 5/15/2030 | 9,614 | |
266 | 8.000%, 5/15/2030 | 305 | |
4,802 | 8.000%, 5/15/2030 | 5,603 | |
1,706 | 8.000%, 5/15/2030 | 1,957 | |
8,270 | 8.000%, 6/15/2030 | 9,457 | |
7,690 | 8.000%, 6/15/2030 | 8,902 | |
9,102 | 8.000%, 6/15/2030 | 10,552 | |
969 | 8.000%, 6/15/2030 | 1,132 | |
1,279 | 8.000%, 6/15/2030 | 1,467 | |
31,818 | 8.000%, 6/15/2030 | 37,054 | |
65,545 | 8.000%, 6/15/2030 | 76,365 | |
4,721 | 8.000%, 6/15/2030 | 5,461 | |
2,538 | 8.000%, 7/15/2030 | 2,959 | |
1,821 | 8.000%, 7/15/2030 | 1,954 | |
45,377 | 8.000%, 7/15/2030 | 52,782 | |
9,651 | 8.000%, 7/15/2030 | 11,240 | |
5,492 | 8.000%, 7/15/2030 | 6,381 | |
18,666 | 8.000%, 8/15/2032 | 22,029 | |
21,914 | 8.500%, 6/15/2030 | 25,573 | |
TOTAL | 47,814,106 | ||
2 | Uniform Mortgage-Backed Securities, TBA—20.3% | ||
20,000,000 | 2.500%, 5/1/2050 | 20,824,212 | |
34,500,000 | 3.000%, 5/1/2050 | 36,419,070 | |
TOTAL | 57,243,282 | ||
TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $257,829,564) | 266,057,503 | ||
COLLATERALIZED MORTGAGE OBLIGATIONS—18.6% | |||
Federal Home Loan Mortgage Corporation—9.4% | |||
5,160,345 | 3,4 | Federal Home Loan Mortgage Corp. REMIC, Series 3114, Class PF, 1.214% (1-month USLIBOR +0.400%), 2/15/2036 | 5,149,930 |
4,204,307 | 3,4 | Federal Home Loan Mortgage Corp. REMIC, Series 3910, Class FB, 1.314% (1-month USLIBOR +0.500%), 8/15/2041 | 4,195,873 |
17,307,293 | 3,4 | Federal Home Loan Mortgage Corp. REMIC, Series 4863, Class F, 1.264% (1-month USLIBOR +0.450%), 3/15/2049 | 17,226,426 |
TOTAL | 26,572,229 | ||
Federal National Mortgage Association—2.8% | |||
1,330,424 | 3,4 | Federal National Mortgage Association REMIC, Series 2007-84, Class FN, 0.987% (1-month USLIBOR +0.500%), 8/25/2037 | 1,328,100 |
6,586,541 | 3,4 | Federal National Mortgage Association REMIC, Series 2018-95, Class FB, 0.887% (1-month USLIBOR +0.400%), 1/25/2049 | 6,548,782 |
TOTAL | 7,876,882 |
Principal Amount or Shares | Value | ||
COLLATERALIZED MORTGAGE OBLIGATIONS—continued | |||
Government National Mortgage Association—6.4% | |||
$8,374,591 | 3,4 | Government National Mortgage Association REMIC, Series 2016-116, Class DF, 1.118% (1-month USLIBOR +0.400%), 9/20/2046 | $8,305,051 |
5,490,442 | 3,4 | Government National Mortgage Association REMIC, Series 2019-10, Class FC, 1.168% (1-month USLIBOR +0.450%), 1/20/2049 | 5,479,232 |
4,278,590 | 3,4 | Government National Mortgage Association REMIC, Series 2019-6, Class FJ, 1.118% (1-month USLIBOR +0.400%), 1/20/2049 | 4,262,395 |
TOTAL | 18,046,678 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (IDENTIFIED COST $52,639,118) | 52,495,789 | ||
COMMERCIAL MORTGAGE-BACKED SECURITIES—3.4% | |||
Agency Commercial Mortgage-Backed Securities—3.4% | |||
5,995,327 | Federal Home Loan Mortgage Corp. REMIC, Series K106, Class A1, 1.783%, 5/25/2029 | 6,254,402 | |
1,250,000 | Federal Home Loan Mortgage Corp. REMIC, Series K107, Class A2, 1.639%, 2/25/2030 | 1,296,337 | |
1,850,000 | Federal National Mortgage Association REMIC, Series 2020-M14, Class A2, 1.784%, 5/25/2030 | 1,938,574 | |
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $9,199,541) | 9,489,313 | ||
INVESTMENT COMPANY—15.0% | |||
42,428,859 | 4 | Federated Government Obligations Fund, Premier Shares, 0.22%5 (IDENTIFIED COST $42,428,859) | 42,428,859 |
TOTAL INVESTMENT IN SECURITIES—131.2% (IDENTIFIED COST $362,097,082) | 370,471,464 | ||
OTHER ASSETS AND LIABILITIES - NET—(31.2)%6 | (88,165,432) | ||
TOTAL NET ASSETS—100% | $282,306,032 |
Description | Number of Contracts | Notional Value | Expiration Date | Value and Unrealized Depreciation |
7United States Treasury Notes 10-Year Short Futures | 60 | $8,343,750 | June 2020
| $(35,453) |
7United States Treasury Notes 10-Year Ultra Short Futures | 20 | $3,140,625 | June 2020
| $(18,125) |
UNREALIZED DEPRECIATION ON FUTURES CONTRACTS | $(53,578) |
Federated Government Obligations Fund, Premier Shares | |
Balance of Shares Held 1/31/2020 | 7,998,382 |
Purchases/Additions | 50,782,605 |
Sales/Reductions | (16,352,128) |
Balance of Shares Held 4/30/2020 | 42,428,859 |
Value | $42,428,859 |
Change in Unrealized Appreciation/Depreciation | N/A |
Net Realized Gain/(Loss) | N/A |
Dividend Income | $23,771 |
1 | Due to monthly principal payments, the average lives of the Federal Home Loan Mortgage Corporation, Federal National Mortgage Association and Government National Mortgage Association securities approximates one to ten years. |
2 | All or a portion of these To Be Announced Securities (TBAs) are subject to dollar-roll transactions. |
3 | Floating/variable note with current rate and current maturity or next reset date shown. |
4 | All or a portion of these securities are segregated pending settlement of dollar-roll transactions. |
5 | 7-day net yield. |
6 | Assets, other than investments in securities, less liabilities. A significant portion of this balance is the result of dollar-roll transactions as of April 30, 2020. |
7 | Non-income-producing security. |
■ | Fixed-income securities are fair valued using price evaluations provided by a pricing service approved by the Fund’s Board of Trustees (the “Trustees”). |
■ | Shares of other mutual funds or non-exchange-traded investment companies are valued based upon their reported NAVs. |
■ | Derivative contracts listed on exchanges are valued at their reported settlement or closing price, except that options are valued at the mean of closing bid and asked quotations. |
■ | Over-the-counter (OTC) derivative contracts are fair valued using price evaluations provided by a pricing service approved by the Trustees. |
■ | For securities that are fair valued in accordance with procedures established by and under the general supervision of the Trustees, certain factors may be considered, such as: the last traded or purchase price of the security, information obtained by contacting the issuer or dealers, analysis of the issuer’s financial statements or other available documents, fundamental analytical data, the nature and duration of restrictions on disposition, the movement of the market in which the security is normally traded, public trading in similar securities or derivative contracts of the issuer or comparable issuers, movement of a relevant index, or other factors including but not limited to industry changes and relevant government actions. |
Valuation Inputs | ||||
Level 1— Quoted Prices | Level 2— Other Significant Observable Inputs | Level 3— Significant Unobservable Inputs | Total | |
Debt Securities: | ||||
Mortgage-Backed Securities | $— | $266,057,503 | $— | $266,057,503 |
Collateralized Mortgage Obligations | — | 52,495,789 | — | 52,495,789 |
Commercial Mortgage-Backed Securities | — | 9,489,313 | — | 9,489,313 |
Investment Company | 42,428,859 | — | — | 42,428,859 |
TOTAL SECURITIES | $42,428,859 | $328,042,605 | $— | $370,471,464 |
Other Financial Instruments1 | ||||
Assets | $— | $— | $— | $— |
Liabilities | (53,578) | — | — | (53,578) |
TOTAL OTHER FINANCIAL INSTRUMENTS | $(53,578) | $— | $— | $(53,578) |
1 | Other financial instruments are futures contracts. |
LIBOR | —London Interbank Offered Rate |
REMIC | —Real Estate Mortgage Investment Conduit |