Principal
Amount
or Shares
|
|
|
Value
|
|
1
|
MORTGAGE-BACKED SECURITIES—90.6%
|
|
|
|
Federal Home Loan Mortgage Corporation—24.9%
|
|
$ 4,833,034
|
|
2.000%, 6/1/2050
|
$4,986,655
|
9,785,309
|
|
3.000%, 1/1/2046
|
10,693,248
|
9,699,858
|
|
3.000%, 7/1/2050
|
10,186,109
|
8,201,559
|
|
3.500%, 4/1/2050
|
8,694,491
|
13,199,866
|
|
3.500%, 4/1/2050
|
14,201,105
|
6,318,993
|
|
4.000%, 4/1/2049
|
6,942,487
|
224,509
|
|
4.000%, 6/1/2049
|
239,365
|
4,150,831
|
|
4.000%, 4/1/2050
|
4,431,976
|
224,288
|
|
4.500%, 3/1/2024
|
234,063
|
315,975
|
|
4.500%, 11/1/2039
|
353,572
|
439,511
|
|
4.500%, 5/1/2040
|
491,807
|
668,054
|
|
4.500%, 6/1/2040
|
747,544
|
148,654
|
|
4.500%, 9/1/2040
|
166,342
|
109,107
|
|
5.000%, 8/1/2023
|
113,253
|
25,075
|
|
5.500%, 12/1/2021
|
25,578
|
3,678
|
|
5.500%, 1/1/2022
|
3,758
|
3,385
|
|
5.500%, 1/1/2022
|
3,458
|
18,023
|
|
5.500%, 1/1/2022
|
18,355
|
599,655
|
|
5.500%, 5/1/2034
|
691,048
|
18,610
|
|
5.500%, 12/1/2035
|
21,685
|
123,792
|
|
5.500%, 3/1/2036
|
144,438
|
261,701
|
|
5.500%, 1/1/2038
|
305,451
|
112,179
|
|
5.500%, 3/1/2038
|
131,207
|
90,648
|
|
5.500%, 11/1/2038
|
106,217
|
90,182
|
|
5.500%, 1/1/2039
|
105,300
|
87,616
|
|
6.000%, 3/1/2038
|
104,521
|
18,123
|
|
6.500%, 9/1/2029
|
20,371
|
30,051
|
|
7.000%, 2/1/2031
|
35,497
|
32,819
|
|
7.000%, 10/1/2031
|
37,320
|
31,189
|
|
7.000%, 1/1/2032
|
36,717
|
35,409
|
|
7.000%, 3/1/2032
|
41,008
|
93,275
|
|
7.500%, 6/1/2027
|
105,507
|
14,701
|
|
7.500%, 8/1/2029
|
17,049
|
4,467
|
|
7.500%, 1/1/2031
|
5,221
|
91,145
|
|
7.500%, 2/1/2031
|
106,608
|
|
|
TOTAL
|
64,548,331
|
|
|
Federal National Mortgage Association—42.8%
|
|
2,129,932
|
|
3.000%, 6/1/2027
|
2,238,757
|
1,364,295
|
|
3.000%, 7/1/2027
|
1,438,265
|
2,082,441
|
|
3.000%, 8/1/2045
|
2,196,269
|
2,471,815
|
|
3.000%, 8/1/2045
|
2,606,926
|
13,463,854
|
|
3.000%, 10/1/2046
|
14,313,403
|
3,353,070
|
|
3.000%, 7/1/2047
|
3,533,209
|
5,419,540
|
|
3.000%, 9/1/2047
|
5,810,620
|
Principal
Amount
or Shares
|
|
|
Value
|
|
1
|
MORTGAGE-BACKED SECURITIES—continued
|
|
|
|
Federal National Mortgage Association—continued
|
|
$ 8,873,201
|
|
3.000%, 3/1/2050
|
$9,325,638
|
4,907,470
|
|
3.500%, 12/1/2041
|
5,337,988
|
824,886
|
|
3.500%, 4/1/2042
|
895,962
|
357,134
|
|
3.500%, 9/1/2042
|
387,460
|
2,547,005
|
|
3.500%, 9/1/2042
|
2,810,243
|
300,343
|
|
3.500%, 9/1/2042
|
325,847
|
746,013
|
|
3.500%, 12/1/2042
|
808,894
|
7,271,699
|
|
3.500%, 5/1/2049
|
7,888,264
|
5,232,099
|
|
3.500%, 9/1/2049
|
5,700,906
|
5,192,925
|
|
3.500%, 12/1/2049
|
5,645,240
|
7,139,837
|
|
3.500%, 12/1/2049
|
7,681,409
|
2,640,557
|
|
4.000%, 12/1/2031
|
2,856,541
|
1,770,656
|
|
4.000%, 12/1/2041
|
1,967,500
|
7,130,388
|
|
4.000%, 12/1/2041
|
7,958,725
|
1,911,578
|
|
4.000%, 6/1/2042
|
2,118,712
|
4,160,778
|
|
4.000%, 12/1/2042
|
4,640,234
|
1,672,341
|
|
4.500%, 9/1/2041
|
1,868,193
|
905,218
|
|
4.500%, 10/1/2041
|
1,009,250
|
1,823,954
|
|
4.500%, 11/1/2041
|
2,033,571
|
153,169
|
|
4.500%, 11/1/2041
|
170,772
|
3,014,109
|
|
4.500%, 8/1/2049
|
3,368,039
|
99,532
|
|
5.000%, 10/1/2023
|
103,434
|
55,519
|
|
5.000%, 4/1/2024
|
58,009
|
905,904
|
|
5.000%, 1/1/2040
|
1,041,724
|
283,968
|
|
5.500%, 12/1/2035
|
330,263
|
10,378
|
|
6.000%, 2/1/2022
|
10,610
|
587,427
|
|
6.000%, 2/1/2033
|
681,235
|
29,365
|
|
6.000%, 5/1/2036
|
34,839
|
124,327
|
|
6.000%, 7/1/2036
|
148,478
|
320,013
|
|
6.000%, 1/1/2037
|
381,827
|
28,594
|
|
6.000%, 9/1/2037
|
34,229
|
46,343
|
|
6.000%, 9/1/2037
|
55,249
|
87,368
|
|
6.000%, 6/1/2038
|
104,251
|
71,977
|
|
6.000%, 8/1/2038
|
86,197
|
38,689
|
|
6.000%, 10/1/2038
|
46,175
|
1,882
|
|
6.500%, 12/1/2027
|
2,107
|
2,931
|
|
6.500%, 6/1/2029
|
3,352
|
8,608
|
|
6.500%, 7/1/2029
|
9,835
|
1,692
|
|
6.500%, 8/1/2029
|
1,924
|
7,198
|
|
6.500%, 8/1/2029
|
8,161
|
138,181
|
|
6.500%, 5/1/2032
|
159,621
|
29,180
|
|
6.500%, 12/1/2035
|
34,639
|
28,483
|
|
6.500%, 7/1/2037
|
34,216
|
337,248
|
|
6.500%, 8/1/2037
|
403,543
|
65,206
|
|
6.500%, 9/1/2037
|
78,323
|
1,098
|
|
7.000%, 7/1/2029
|
1,264
|
3,484
|
|
7.000%, 9/1/2029
|
3,625
|
147
|
|
7.000%, 10/1/2031
|
161
|
50,389
|
|
7.000%, 11/1/2031
|
59,695
|
15,153
|
|
7.000%, 12/1/2031
|
17,844
|
Principal
Amount
or Shares
|
|
|
Value
|
|
1
|
MORTGAGE-BACKED SECURITIES—continued
|
|
|
|
Federal National Mortgage Association—continued
|
|
$ 45,716
|
|
7.000%, 12/1/2031
|
$54,373
|
12,556
|
|
7.000%, 12/1/2031
|
14,916
|
5,812
|
|
7.000%, 1/1/2032
|
6,854
|
32,592
|
|
7.000%, 2/1/2032
|
38,849
|
17,796
|
|
7.500%, 7/1/2028
|
20,497
|
32,557
|
|
7.500%, 8/1/2031
|
38,354
|
56,145
|
|
8.000%, 12/1/2026
|
63,190
|
2,176
|
|
10.000%, 9/1/2021
|
2,201
|
1
|
|
10.000%, 11/1/2021
|
1
|
|
|
TOTAL
|
111,110,902
|
|
|
Government National Mortgage Association—1.6%
|
|
180,879
|
|
5.500%, 4/15/2034
|
205,809
|
415,507
|
|
5.500%, 6/15/2034
|
475,224
|
52,633
|
|
6.000%, 1/15/2032
|
60,760
|
210,452
|
|
6.000%, 5/15/2036
|
246,718
|
5,486
|
|
6.500%, 5/15/2027
|
6,097
|
4,394
|
|
6.500%, 1/15/2029
|
5,009
|
11,949
|
|
6.500%, 1/15/2029
|
13,541
|
7,109
|
|
6.500%, 1/20/2029
|
7,981
|
4,141
|
|
6.500%, 2/15/2029
|
4,497
|
9,175
|
|
6.500%, 3/15/2029
|
10,425
|
2,315
|
|
6.500%, 3/20/2029
|
2,605
|
3,640
|
|
6.500%, 5/20/2029
|
4,109
|
7,992
|
|
6.500%, 7/20/2029
|
9,028
|
4,006
|
|
6.500%, 8/20/2029
|
4,537
|
1,807
|
|
6.500%, 10/20/2029
|
2,036
|
3,529
|
|
6.500%, 11/20/2029
|
4,018
|
2,741
|
|
6.500%, 10/20/2030
|
3,135
|
4,872
|
|
6.500%, 4/20/2031
|
5,596
|
2,374
|
|
6.500%, 5/20/2031
|
2,726
|
13,625
|
|
6.500%, 6/20/2031
|
15,659
|
5,128
|
|
6.500%, 7/15/2031
|
5,917
|
757
|
|
6.500%, 7/15/2031
|
879
|
3,789
|
|
6.500%, 7/20/2031
|
4,358
|
4,017
|
|
6.500%, 10/20/2031
|
4,626
|
3,323
|
|
6.500%, 11/20/2031
|
3,826
|
10,181
|
|
6.500%, 1/20/2032
|
11,724
|
154,758
|
|
6.500%, 10/20/2038
|
183,207
|
14,755
|
|
7.000%, 6/15/2026
|
16,261
|
4,892
|
|
7.000%, 6/15/2026
|
5,377
|
5,378
|
|
7.000%, 12/15/2026
|
5,904
|
6,983
|
|
7.000%, 6/15/2027
|
7,714
|
1,252
|
|
7.000%, 10/15/2027
|
1,394
|
4,782
|
|
7.000%, 11/15/2027
|
5,270
|
4,050
|
|
7.000%, 2/15/2028
|
4,509
|
11,920
|
|
7.000%, 4/15/2028
|
13,386
|
18,251
|
|
7.000%, 6/15/2028
|
20,577
|
2,439
|
|
7.000%, 6/15/2028
|
2,755
|
14,606
|
|
7.000%, 7/15/2028
|
16,351
|
8,919
|
|
7.000%, 7/15/2028
|
9,984
|
Principal
Amount
or Shares
|
|
|
Value
|
|
1
|
MORTGAGE-BACKED SECURITIES—continued
|
|
|
|
Government National Mortgage Association—continued
|
|
$ 45,137
|
|
7.000%, 8/15/2028
|
$51,368
|
6,838
|
|
7.000%, 8/15/2028
|
7,710
|
3,674
|
|
7.000%, 9/15/2028
|
4,147
|
935
|
|
7.000%, 9/15/2028
|
1,050
|
4,232
|
|
7.000%, 10/15/2028
|
4,780
|
15,815
|
|
7.000%, 10/15/2028
|
17,813
|
49,645
|
|
7.000%, 11/15/2028
|
56,647
|
1,722
|
|
7.000%, 11/15/2028
|
1,747
|
46,664
|
|
7.000%, 12/15/2028
|
51,960
|
13,324
|
|
7.000%, 12/15/2028
|
15,229
|
16,537
|
|
7.000%, 12/15/2028
|
18,644
|
12,850
|
|
7.000%, 12/15/2028
|
14,502
|
3,735
|
|
7.000%, 1/15/2029
|
4,258
|
2,573
|
|
7.000%, 1/15/2029
|
2,944
|
4,849
|
|
7.000%, 1/15/2029
|
5,450
|
2,709
|
|
7.000%, 1/15/2029
|
2,922
|
10,693
|
|
7.000%, 1/15/2029
|
12,222
|
2,389
|
|
7.000%, 1/15/2029
|
2,719
|
3,616
|
|
7.000%, 1/15/2029
|
4,013
|
13,120
|
|
7.000%, 1/15/2029
|
15,021
|
30,062
|
|
7.000%, 1/15/2029
|
34,390
|
11,879
|
|
7.000%, 1/15/2029
|
13,494
|
1,740
|
|
7.000%, 1/15/2029
|
1,822
|
1,739
|
|
7.000%, 2/15/2029
|
1,923
|
2,759
|
|
7.000%, 2/15/2029
|
3,153
|
1,959
|
|
7.000%, 2/15/2029
|
1,999
|
6,463
|
|
7.000%, 2/15/2029
|
7,375
|
2,171
|
|
7.000%, 2/15/2029
|
2,471
|
9,944
|
|
7.000%, 2/15/2029
|
11,337
|
221
|
|
7.000%, 2/15/2029
|
250
|
113
|
|
7.000%, 2/15/2029
|
124
|
1,245
|
|
7.000%, 3/15/2029
|
1,405
|
3,053
|
|
7.000%, 3/15/2029
|
3,472
|
9,324
|
|
7.000%, 3/15/2029
|
10,382
|
1,049
|
|
7.000%, 3/15/2029
|
1,201
|
1,021
|
|
7.000%, 3/15/2029
|
1,170
|
1,634
|
|
7.000%, 3/15/2029
|
1,871
|
1,056
|
|
7.000%, 3/15/2029
|
1,206
|
1,997
|
|
7.000%, 3/15/2029
|
2,268
|
44,584
|
|
7.000%, 4/15/2029
|
50,917
|
2,442
|
|
7.000%, 4/15/2029
|
2,789
|
1,944
|
|
7.000%, 4/15/2029
|
2,211
|
5,071
|
|
7.000%, 4/15/2029
|
5,786
|
8,798
|
|
7.000%, 4/15/2029
|
9,879
|
6,115
|
|
7.000%, 4/15/2029
|
6,670
|
217
|
|
7.000%, 4/15/2029
|
248
|
2,995
|
|
7.000%, 5/15/2029
|
3,418
|
668
|
|
7.000%, 5/15/2029
|
761
|
2,280
|
|
7.000%, 5/15/2029
|
2,613
|
2,770
|
|
7.000%, 5/15/2029
|
3,182
|
Principal
Amount
or Shares
|
|
|
Value
|
|
1
|
MORTGAGE-BACKED SECURITIES—continued
|
|
|
|
Government National Mortgage Association—continued
|
|
$ 2,785
|
|
7.000%, 5/15/2029
|
$3,178
|
5,861
|
|
7.000%, 6/15/2029
|
6,711
|
2,669
|
|
7.000%, 6/15/2029
|
3,066
|
3,615
|
|
7.000%, 6/15/2029
|
4,110
|
290
|
|
7.000%, 6/15/2029
|
334
|
690
|
|
7.000%, 6/15/2029
|
793
|
10,493
|
|
7.000%, 6/15/2029
|
12,004
|
1,688
|
|
7.000%, 6/15/2029
|
1,938
|
811
|
|
7.000%, 6/15/2029
|
929
|
6,084
|
|
7.000%, 7/15/2029
|
6,942
|
1,940
|
|
7.000%, 7/15/2029
|
2,146
|
10,941
|
|
7.000%, 7/15/2029
|
12,548
|
54,300
|
|
7.000%, 7/15/2029
|
62,119
|
9,899
|
|
7.000%, 7/15/2029
|
11,379
|
1,061
|
|
7.000%, 7/15/2029
|
1,202
|
2,167
|
|
7.000%, 7/15/2029
|
2,487
|
5,496
|
|
7.000%, 7/15/2029
|
6,317
|
2,351
|
|
7.000%, 7/15/2029
|
2,666
|
6,781
|
|
7.000%, 7/15/2029
|
7,757
|
952
|
|
7.000%, 8/15/2029
|
1,092
|
1,900
|
|
7.000%, 8/15/2029
|
2,188
|
2,143
|
|
7.000%, 8/15/2029
|
2,441
|
1,454
|
|
7.000%, 8/15/2029
|
1,674
|
9,682
|
|
7.000%, 8/15/2029
|
10,979
|
3,611
|
|
7.000%, 9/15/2029
|
4,117
|
12,133
|
|
7.000%, 9/15/2029
|
13,844
|
5,828
|
|
7.000%, 9/15/2029
|
6,715
|
4,510
|
|
7.000%, 9/15/2029
|
5,184
|
6,918
|
|
7.000%, 9/15/2029
|
7,946
|
1,910
|
|
7.000%, 11/15/2029
|
2,203
|
17,868
|
|
7.000%, 12/15/2029
|
20,406
|
3,814
|
|
7.000%, 12/15/2029
|
4,348
|
3,289
|
|
7.000%, 1/15/2030
|
3,798
|
19,161
|
|
7.000%, 1/15/2030
|
22,141
|
18,933
|
|
7.000%, 2/15/2030
|
21,303
|
4,264
|
|
7.000%, 2/15/2030
|
4,924
|
9,610
|
|
7.000%, 2/15/2030
|
11,113
|
51,133
|
|
7.000%, 2/15/2030
|
59,130
|
49,855
|
|
7.000%, 3/15/2030
|
57,265
|
20,569
|
|
7.000%, 3/15/2030
|
23,551
|
3,784
|
|
7.000%, 4/15/2030
|
4,064
|
3,246
|
|
7.000%, 4/15/2030
|
3,757
|
16,098
|
|
7.000%, 6/15/2030
|
18,668
|
5,049
|
|
7.000%, 6/15/2030
|
5,834
|
43,197
|
|
7.000%, 8/15/2030
|
49,988
|
7,074
|
|
7.000%, 8/15/2030
|
8,099
|
10,482
|
|
7.000%, 9/15/2030
|
11,620
|
13,915
|
|
7.000%, 10/15/2030
|
16,103
|
4,743
|
|
7.000%, 10/15/2030
|
5,152
|
3,579
|
|
7.000%, 11/15/2030
|
4,144
|
Principal
Amount
or Shares
|
|
|
Value
|
|
1
|
MORTGAGE-BACKED SECURITIES—continued
|
|
|
|
Government National Mortgage Association—continued
|
|
$ 8,957
|
|
7.000%, 2/15/2031
|
$10,371
|
106,645
|
|
7.000%, 2/15/2031
|
123,841
|
27,545
|
|
7.000%, 3/15/2031
|
32,009
|
3,955
|
|
7.000%, 3/15/2031
|
4,583
|
987
|
|
7.000%, 7/15/2031
|
1,139
|
405
|
|
7.000%, 9/15/2031
|
463
|
21,033
|
|
7.000%, 10/15/2031
|
24,440
|
9,373
|
|
7.000%, 11/15/2031
|
10,892
|
14,338
|
|
7.000%, 1/15/2032
|
16,556
|
8,387
|
|
7.000%, 4/15/2032
|
9,706
|
12,880
|
|
7.000%, 5/15/2032
|
14,931
|
684
|
|
7.000%, 11/15/2032
|
761
|
568
|
|
7.000%, 1/15/2033
|
664
|
164,268
|
|
7.500%, 11/15/2027
|
185,331
|
133,356
|
|
7.500%, 11/15/2027
|
150,963
|
488
|
|
7.500%, 4/15/2029
|
559
|
4,613
|
|
7.500%, 7/15/2029
|
5,149
|
374
|
|
7.500%, 7/15/2029
|
429
|
9,065
|
|
7.500%, 8/15/2029
|
10,544
|
29,396
|
|
7.500%, 8/15/2029
|
33,596
|
1,138
|
|
7.500%, 8/15/2029
|
1,322
|
23,585
|
|
7.500%, 8/15/2029
|
27,293
|
35,031
|
|
7.500%, 8/15/2029
|
40,780
|
549
|
|
7.500%, 8/15/2029
|
632
|
19,451
|
|
7.500%, 8/20/2029
|
22,364
|
4,507
|
|
7.500%, 9/15/2029
|
5,201
|
31,181
|
|
7.500%, 9/15/2029
|
36,018
|
18,122
|
|
7.500%, 10/15/2029
|
20,774
|
4,655
|
|
7.500%, 10/15/2029
|
5,410
|
3,137
|
|
7.500%, 10/15/2029
|
3,654
|
10,079
|
|
7.500%, 10/15/2029
|
11,384
|
5,761
|
|
7.500%, 12/15/2029
|
6,655
|
7,352
|
|
7.500%, 1/15/2030
|
8,492
|
12,813
|
|
7.500%, 3/20/2030
|
14,810
|
15,347
|
|
7.500%, 8/15/2030
|
17,678
|
56,488
|
|
7.500%, 10/15/2030
|
62,737
|
12,441
|
|
7.500%, 10/15/2030
|
14,422
|
12,033
|
|
7.500%, 10/15/2030
|
14,149
|
8,191
|
|
7.500%, 11/20/2030
|
9,513
|
7,270
|
|
7.500%, 12/15/2030
|
8,518
|
7,260
|
|
7.500%, 1/15/2031
|
8,517
|
5,930
|
|
7.500%, 2/15/2031
|
6,948
|
21,869
|
|
7.500%, 4/20/2031
|
25,605
|
57,654
|
|
7.500%, 7/15/2031
|
67,061
|
1,575
|
|
7.500%, 9/15/2031
|
1,839
|
998
|
|
7.500%, 9/15/2031
|
1,018
|
16,072
|
|
7.500%, 10/15/2031
|
18,906
|
11,784
|
|
7.500%, 11/15/2031
|
13,887
|
11,431
|
|
7.500%, 12/15/2031
|
12,679
|
9,018
|
|
7.500%, 3/15/2032
|
10,572
|
Principal
Amount
or Shares
|
|
|
Value
|
|
1
|
MORTGAGE-BACKED SECURITIES—continued
|
|
|
|
Government National Mortgage Association—continued
|
|
$ 7,553
|
|
7.500%, 5/15/2032
|
$8,912
|
1,285
|
|
8.000%, 11/15/2023
|
1,359
|
51,735
|
|
8.000%, 11/15/2027
|
58,035
|
21,015
|
|
8.000%, 11/15/2027
|
23,602
|
9,292
|
|
8.000%, 5/15/2029
|
10,822
|
19,166
|
|
8.000%, 8/15/2029
|
22,357
|
68,178
|
|
8.000%, 11/15/2029
|
79,659
|
28,920
|
|
8.000%, 12/15/2029
|
33,816
|
281
|
|
8.000%, 12/15/2029
|
284
|
2,628
|
|
8.000%, 1/15/2030
|
3,069
|
13,348
|
|
8.000%, 1/15/2030
|
15,632
|
2,856
|
|
8.000%, 1/15/2030
|
3,309
|
1,243
|
|
8.000%, 3/15/2030
|
1,298
|
11,908
|
|
8.000%, 4/15/2030
|
13,986
|
5,581
|
|
8.000%, 4/15/2030
|
6,477
|
415
|
|
8.000%, 4/15/2030
|
488
|
3,116
|
|
8.000%, 4/15/2030
|
3,649
|
6,401
|
|
8.000%, 4/15/2030
|
7,484
|
742
|
|
8.000%, 4/15/2030
|
863
|
1,994
|
|
8.000%, 5/15/2030
|
2,344
|
1,276
|
|
8.000%, 5/15/2030
|
1,485
|
7,979
|
|
8.000%, 5/15/2030
|
9,260
|
253
|
|
8.000%, 5/15/2030
|
291
|
3,122
|
|
8.000%, 5/15/2030
|
3,664
|
1,573
|
|
8.000%, 5/15/2030
|
1,811
|
5,154
|
|
8.000%, 6/15/2030
|
5,795
|
6,927
|
|
8.000%, 6/15/2030
|
7,974
|
8,751
|
|
8.000%, 6/15/2030
|
10,174
|
937
|
|
8.000%, 6/15/2030
|
1,100
|
951
|
|
8.000%, 6/15/2030
|
1,114
|
30,810
|
|
8.000%, 6/15/2030
|
36,240
|
63,262
|
|
8.000%, 6/15/2030
|
73,972
|
4,503
|
|
8.000%, 6/15/2030
|
5,218
|
2,450
|
|
8.000%, 7/15/2030
|
2,867
|
1,555
|
|
8.000%, 7/15/2030
|
1,657
|
43,884
|
|
8.000%, 7/15/2030
|
51,544
|
3,998
|
|
8.000%, 7/15/2030
|
4,702
|
18,226
|
|
8.000%, 8/15/2032
|
21,637
|
21,005
|
|
8.500%, 6/15/2030
|
24,559
|
|
|
TOTAL
|
4,159,153
|
|
2
|
Uniform Mortgage-Backed Securities, TBA—21.3%
|
|
30,000,000
|
|
2.500%, 11/1/2050
|
31,256,256
|
23,000,000
|
|
3.000%, 11/1/2050
|
24,036,803
|
|
|
TOTAL
|
55,293,059
|
|
|
TOTAL MORTGAGE-BACKED SECURITIES
(IDENTIFIED COST $229,917,433)
|
235,111,445
|
|
|
COLLATERALIZED MORTGAGE OBLIGATIONS—20.7%
|
|
|
|
Federal Home Loan Mortgage Corporation—11.7%
|
|
4,757,379
|
3,4
|
REMIC, Series 3114, Class PF, 0.548% (1-month USLIBOR +0.400%), 2/15/2036
|
4,795,929
|
3,621,797
|
3,4
|
REMIC, Series 3910, Class FB, 0.648% (1-month USLIBOR +0.500%), 8/15/2041
|
3,665,230
|
Principal
Amount
or Shares
|
|
|
Value
|
|
|
COLLATERALIZED MORTGAGE OBLIGATIONS—continued
|
|
|
|
Federal Home Loan Mortgage Corporation—continued
|
|
$13,032,985
|
3,4
|
REMIC, Series 4863, Class F, 0.598% (1-month USLIBOR +0.450%), 3/15/2049
|
$13,114,716
|
8,722,051
|
3,4
|
REMIC, Series 4915, Class FD, 0.598% (1-month USLIBOR +0.450%), 9/25/2049
|
8,792,279
|
|
|
TOTAL
|
30,368,154
|
|
|
Federal National Mortgage Association—2.9%
|
|
1,201,410
|
3,4
|
REMIC, Series 2007-84, Class FN, 0.649% (1-month USLIBOR +0.500%), 8/25/2037
|
1,213,103
|
6,170,769
|
3,4
|
REMIC, Series 2018-95, Class FB, 0.549% (1-month USLIBOR +0.400%), 1/25/2049
|
6,213,932
|
|
|
TOTAL
|
7,427,035
|
|
|
Government National Mortgage Association—6.1%
|
|
7,439,767
|
3,4
|
REMIC, Series 2016-116, Class DF, 0.551% (1-month USLIBOR +0.400%), 9/20/2046
|
7,472,473
|
4,787,727
|
3,4
|
REMIC, Series 2019-10, Class FC, 0.601% (1-month USLIBOR +0.450%), 1/20/2049
|
4,816,205
|
3,494,029
|
3,4
|
REMIC, Series 2019-6, Class FJ, 0.551% (1-month USLIBOR +0.400%), 1/20/2049
|
3,512,535
|
|
|
TOTAL
|
15,801,213
|
|
|
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(IDENTIFIED COST $53,158,858)
|
53,596,402
|
|
|
U.S. TREASURY—4.2%
|
|
|
|
U.S. Treasury Notes—4.2%
|
|
10,101,400
|
|
U.S. Treasury Inflation-Protected Notes, 0.125%, 1/15/2030
(IDENTIFIED COST $10,567,647)
|
11,015,439
|
|
|
COMMERCIAL MORTGAGE-BACKED SECURITIES—3.6%
|
|
|
|
Agency Commercial Mortgage-Backed Securities—3.6%
|
|
5,965,886
|
|
FHLMC REMIC, Series K106, Class A1, 1.783%, 5/25/2029
|
6,204,052
|
1,250,000
|
|
FHLMC REMIC, Series K107, Class A2, 1.639%, 1/25/2030
|
1,296,491
|
1,850,000
|
|
FNMA REMIC, Series 2020-M14, Class A2, 1.784%, 5/25/2030
|
1,907,434
|
|
|
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(IDENTIFIED COST $9,169,953)
|
9,407,977
|
|
|
INVESTMENT COMPANY—6.2%
|
|
16,094,358
|
|
Federated Hermes Government Obligations Fund, Premier Shares, 0.03%5
(IDENTIFIED COST $16,094,358)
|
16,094,358
|
|
|
TOTAL INVESTMENT IN SECURITIES—125.3%
(IDENTIFIED COST $318,908,249)
|
325,225,621
|
|
|
OTHER ASSETS AND LIABILITIES - NET—(25.3)%6
|
(65,624,440)
|
|
|
TOTAL NET ASSETS—100%
|
$259,601,181
|
Description
|
Number of
Contracts
|
Notional
Value
|
Expiration
Date
|
Value and
Unrealized
Appreciation
|
Short Futures:
|
|
|
|
|
7United States Treasury Notes 10-Year Short Futures
|
60
|
$8,293,125
|
December 2020
|
$42,984
|
7United States Treasury Notes 10-Year Ultra Short Futures
|
80
|
$12,582,500
|
December 2020
|
$224,813
|
NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS
|
$267,797
|
|
Federated
Hermes
Government
Obligations Fund,
Premier Shares
|
Value as of 1/31/2020
|
$7,998,382
|
Purchases at Cost
|
$108,833,470
|
Proceeds from Sales
|
$(100,737,494)
|
Change in Unrealized Appreciation/Depreciation
|
N/A
|
Net Realized Gain/(Loss)
|
N/A
|
Value as of 10/31/2020
|
$16,094,358
|
Shares Held as of 10/31/2020
|
16,094,358
|
Dividend Income
|
$32,006
|
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
|
All or a portion of these securities are segregated pending settlement of dollar-roll transactions.
|
4
|
Floating/variable note with current rate and current maturity or next reset date shown.
|
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 October 31, 2020.
|
7
|
Non-income-producing security.
|
Valuation Inputs
|
||||
|
Level 1—
Quoted
Prices
|
Level 2—
Other
Significant
Observable
Inputs
|
Level 3—
Significant
Unobservable
Inputs
|
Total
|
Debt Securities:
|
|
|
|
|
Mortgage-Backed Securities
|
$—
|
$235,111,445
|
$—
|
$235,111,445
|
Collateralized Mortgage Obligations
|
—
|
53,596,402
|
—
|
53,596,402
|
U.S. Treasury
|
—
|
11,015,439
|
—
|
11,015,439
|
Commercial Mortgage-Backed Securities
|
—
|
9,407,977
|
—
|
9,407,977
|
Investment Company
|
16,094,358
|
—
|
—
|
16,094,358
|
TOTAL SECURITIES
|
$16,094,358
|
$309,131,263
|
$—
|
$325,225,621
|
Other Financial Instruments:1
|
|
|
|
|
Assets
|
$267,797
|
$—
|
$—
|
$267,797
|
TOTAL OTHER FINANCIAL INSTRUMENTS
|
$267,797
|
$—
|
$—
|
$267,797
|
1
|
Other financial instruments are futures contracts.
|
The following acronym(s) are used throughout this portfolio:
|
|
|
FHLMC
|
—Federal Home Loan Mortgage Corporation
|
|
FNMA
|
—Federal National Mortgage Association
|
|
LIBOR
|
—London Interbank Offered Rate
|
|
REMIC
|
—Real Estate Mortgage Investment Conduit
|