Principal
Amount
or Shares
|
|
|
Value
|
|
1
|
MORTGAGE-BACKED SECURITIES—98.0%
|
|
|
|
Federal Home Loan Mortgage Corporation—30.3%
|
|
$ 2,951,679
|
|
1.500%, 11/1/2050
|
$2,895,139
|
4,105,830
|
|
2.000%, 6/1/2050
|
4,154,804
|
4,000,000
|
|
2.000%, 4/1/2051
|
4,042,712
|
8,962,113
|
|
3.000%, 1/1/2046
|
9,654,403
|
7,357,715
|
|
3.000%, 7/1/2050
|
7,703,041
|
12,197,069
|
|
3.000%, 10/1/2050
|
12,923,894
|
6,636,118
|
|
3.500%, 4/1/2050
|
7,082,851
|
10,260,843
|
|
3.500%, 4/1/2050
|
11,049,706
|
4,936,868
|
|
4.000%, 4/1/2049
|
5,436,594
|
151,546
|
|
4.000%, 6/1/2049
|
162,624
|
2,642,523
|
|
4.000%, 4/1/2050
|
2,834,861
|
131,187
|
|
4.500%, 3/1/2024
|
137,116
|
250,649
|
|
4.500%, 11/1/2039
|
279,880
|
353,029
|
|
4.500%, 5/1/2040
|
396,663
|
585,361
|
|
4.500%, 6/1/2040
|
657,711
|
105,672
|
|
4.500%, 9/1/2040
|
118,733
|
76,374
|
|
5.000%, 8/1/2023
|
79,149
|
11,286
|
|
5.500%, 12/1/2021
|
11,416
|
2,075
|
|
5.500%, 1/1/2022
|
2,103
|
1,964
|
|
5.500%, 1/1/2022
|
1,990
|
6,476
|
|
5.500%, 1/1/2022
|
6,550
|
544,493
|
|
5.500%, 5/1/2034
|
626,282
|
18,169
|
|
5.500%, 12/1/2035
|
21,083
|
65,043
|
|
5.500%, 3/1/2036
|
75,554
|
219,429
|
|
5.500%, 1/1/2038
|
255,031
|
97,920
|
|
5.500%, 3/1/2038
|
113,981
|
75,359
|
|
5.500%, 11/1/2038
|
87,831
|
76,356
|
|
5.500%, 1/1/2039
|
88,884
|
72,805
|
|
6.000%, 3/1/2038
|
86,604
|
17,038
|
|
6.500%, 9/1/2029
|
19,141
|
29,057
|
|
7.000%, 2/1/2031
|
34,341
|
30,845
|
|
7.000%, 10/1/2031
|
35,085
|
30,015
|
|
7.000%, 1/1/2032
|
35,361
|
33,537
|
|
7.000%, 3/1/2032
|
38,918
|
87,299
|
|
7.500%, 6/1/2027
|
98,852
|
14,042
|
|
7.500%, 8/1/2029
|
16,329
|
4,293
|
|
7.500%, 1/1/2031
|
5,033
|
85,841
|
|
7.500%, 2/1/2031
|
100,551
|
|
|
TOTAL
|
71,370,801
|
|
|
Federal National Mortgage Association—50.9%
|
|
13,301,205
|
|
2.000%, 9/1/2050
|
13,447,392
|
5,738,675
|
|
2.000%, 11/1/2050
|
5,801,746
|
5,500,000
|
|
2.000%, 5/1/2051
|
5,558,729
|
6,573,521
|
|
2.500%, 10/1/2050
|
6,829,985
|
1,781,725
|
|
3.000%, 6/1/2027
|
1,879,231
|
Principal
Amount
or Shares
|
|
|
Value
|
|
1
|
MORTGAGE-BACKED SECURITIES—continued
|
|
|
|
Federal National Mortgage Association—continued
|
|
$ 1,103,715
|
|
3.000%, 7/1/2027
|
$1,164,116
|
1,529,888
|
|
3.000%, 8/1/2045
|
1,617,946
|
11,369,038
|
|
3.000%, 10/1/2046
|
12,051,849
|
4,544,087
|
|
3.000%, 9/1/2047
|
4,835,459
|
10,362,281
|
|
3.000%, 3/1/2050
|
10,945,769
|
4,094,195
|
|
3.500%, 12/1/2041
|
4,467,814
|
2,125,599
|
|
3.500%, 9/1/2042
|
2,316,251
|
226,207
|
|
3.500%, 9/1/2042
|
246,497
|
669,152
|
|
3.500%, 12/1/2042
|
729,170
|
5,620,935
|
|
3.500%, 5/1/2049
|
6,077,670
|
4,274,506
|
|
3.500%, 9/1/2049
|
4,637,865
|
4,307,417
|
|
3.500%, 12/1/2049
|
4,666,842
|
5,351,395
|
|
3.500%, 12/1/2049
|
5,769,504
|
2,217,847
|
|
4.000%, 12/1/2031
|
2,409,771
|
1,390,134
|
|
4.000%, 12/1/2041
|
1,536,495
|
6,012,611
|
|
4.000%, 12/1/2041
|
6,645,654
|
1,336,797
|
|
4.000%, 6/1/2042
|
1,477,543
|
3,597,303
|
|
4.000%, 12/1/2042
|
3,974,924
|
1,644,569
|
|
4.500%, 9/1/2041
|
1,857,602
|
635,972
|
|
4.500%, 10/1/2041
|
714,379
|
1,260,815
|
|
4.500%, 11/1/2041
|
1,416,257
|
151,074
|
|
4.500%, 11/1/2041
|
169,699
|
2,413,829
|
|
4.500%, 8/1/2049
|
2,695,582
|
73,544
|
|
5.000%, 10/1/2023
|
76,521
|
43,910
|
|
5.000%, 4/1/2024
|
45,915
|
717,817
|
|
5.000%, 1/1/2040
|
824,161
|
276,114
|
|
5.500%, 12/1/2035
|
319,931
|
5,137
|
|
6.000%, 2/1/2022
|
5,202
|
522,928
|
|
6.000%, 2/1/2033
|
606,067
|
26,409
|
|
6.000%, 5/1/2036
|
31,166
|
104,262
|
|
6.000%, 7/1/2036
|
123,652
|
293,074
|
|
6.000%, 1/1/2037
|
347,464
|
25,867
|
|
6.000%, 9/1/2037
|
30,723
|
42,878
|
|
6.000%, 9/1/2037
|
50,992
|
85,360
|
|
6.000%, 6/1/2038
|
101,175
|
69,672
|
|
6.000%, 8/1/2038
|
82,782
|
38,019
|
|
6.000%, 10/1/2038
|
45,092
|
1,745
|
|
6.500%, 12/1/2027
|
1,952
|
2,798
|
|
6.500%, 6/1/2029
|
3,200
|
8,208
|
|
6.500%, 7/1/2029
|
9,377
|
6,568
|
|
6.500%, 8/1/2029
|
7,451
|
1,522
|
|
6.500%, 8/1/2029
|
1,731
|
128,676
|
|
6.500%, 5/1/2032
|
148,684
|
25,406
|
|
6.500%, 12/1/2035
|
30,138
|
28,017
|
|
6.500%, 7/1/2037
|
33,516
|
300,272
|
|
6.500%, 8/1/2037
|
358,008
|
64,087
|
|
6.500%, 9/1/2037
|
76,749
|
980
|
|
7.000%, 7/1/2029
|
1,129
|
2,465
|
|
7.000%, 9/1/2029
|
2,541
|
132
|
|
7.000%, 10/1/2031
|
144
|
Principal
Amount
or Shares
|
|
|
Value
|
|
1
|
MORTGAGE-BACKED SECURITIES—continued
|
|
|
|
Federal National Mortgage Association—continued
|
|
$ 46,101
|
|
7.000%, 11/1/2031
|
$54,779
|
44,318
|
|
7.000%, 12/1/2031
|
52,717
|
12,178
|
|
7.000%, 12/1/2031
|
14,470
|
13,625
|
|
7.000%, 12/1/2031
|
16,055
|
5,249
|
|
7.000%, 1/1/2032
|
6,198
|
31,679
|
|
7.000%, 2/1/2032
|
37,756
|
16,930
|
|
7.500%, 7/1/2028
|
19,544
|
27,386
|
|
7.500%, 8/1/2031
|
32,433
|
52,085
|
|
8.000%, 12/1/2026
|
58,692
|
|
|
TOTAL
|
119,599,848
|
|
|
Government National Mortgage Association—1.6%
|
|
135,442
|
|
5.500%, 4/15/2034
|
154,070
|
393,085
|
|
5.500%, 6/15/2034
|
448,294
|
50,935
|
|
6.000%, 1/15/2032
|
58,775
|
177,960
|
|
6.000%, 5/15/2036
|
207,484
|
5,108
|
|
6.500%, 5/15/2027
|
5,680
|
4,193
|
|
6.500%, 1/15/2029
|
4,788
|
11,325
|
|
6.500%, 1/15/2029
|
12,852
|
6,330
|
|
6.500%, 1/20/2029
|
7,124
|
3,714
|
|
6.500%, 2/15/2029
|
4,026
|
2,060
|
|
6.500%, 3/20/2029
|
2,327
|
3,174
|
|
6.500%, 5/20/2029
|
3,595
|
7,391
|
|
6.500%, 7/20/2029
|
8,379
|
3,333
|
|
6.500%, 8/20/2029
|
3,785
|
1,698
|
|
6.500%, 10/20/2029
|
1,918
|
3,371
|
|
6.500%, 11/20/2029
|
3,847
|
2,632
|
|
6.500%, 10/20/2030
|
3,018
|
4,153
|
|
6.500%, 4/20/2031
|
4,783
|
2,197
|
|
6.500%, 5/20/2031
|
2,532
|
12,167
|
|
6.500%, 6/20/2031
|
14,032
|
2,507
|
|
6.500%, 7/15/2031
|
2,910
|
733
|
|
6.500%, 7/15/2031
|
851
|
3,315
|
|
6.500%, 7/20/2031
|
3,825
|
3,624
|
|
6.500%, 10/20/2031
|
4,188
|
2,988
|
|
6.500%, 11/20/2031
|
3,455
|
9,105
|
|
6.500%, 1/20/2032
|
10,513
|
131,829
|
|
6.500%, 10/20/2038
|
156,834
|
13,016
|
|
7.000%, 6/15/2026
|
14,380
|
4,339
|
|
7.000%, 6/15/2026
|
4,775
|
4,592
|
|
7.000%, 12/15/2026
|
5,053
|
6,345
|
|
7.000%, 6/15/2027
|
7,019
|
1,107
|
|
7.000%, 10/15/2027
|
1,235
|
3,100
|
|
7.000%, 11/15/2027
|
3,429
|
3,604
|
|
7.000%, 2/15/2028
|
4,033
|
10,779
|
|
7.000%, 4/15/2028
|
12,128
|
2,234
|
|
7.000%, 6/15/2028
|
2,532
|
15,448
|
|
7.000%, 6/15/2028
|
17,491
|
8,205
|
|
7.000%, 7/15/2028
|
9,200
|
13,319
|
|
7.000%, 7/15/2028
|
14,952
|
42,752
|
|
7.000%, 8/15/2028
|
48,738
|
Principal
Amount
or Shares
|
|
|
Value
|
|
1
|
MORTGAGE-BACKED SECURITIES—continued
|
|
|
|
Government National Mortgage Association—continued
|
|
$ 5,054
|
|
7.000%, 8/15/2028
|
$5,704
|
869
|
|
7.000%, 9/15/2028
|
977
|
3,467
|
|
7.000%, 9/15/2028
|
3,921
|
3,879
|
|
7.000%, 10/15/2028
|
4,405
|
14,895
|
|
7.000%, 10/15/2028
|
16,812
|
464
|
|
7.000%, 11/15/2028
|
465
|
47,318
|
|
7.000%, 11/15/2028
|
54,144
|
11,409
|
|
7.000%, 12/15/2028
|
12,890
|
12,709
|
|
7.000%, 12/15/2028
|
14,569
|
33,052
|
|
7.000%, 12/15/2028
|
36,717
|
14,871
|
|
7.000%, 12/15/2028
|
16,803
|
3,555
|
|
7.000%, 1/15/2029
|
4,064
|
2,457
|
|
7.000%, 1/15/2029
|
2,819
|
4,546
|
|
7.000%, 1/15/2029
|
5,125
|
2,379
|
|
7.000%, 1/15/2029
|
2,560
|
2,266
|
|
7.000%, 1/15/2029
|
2,583
|
11,281
|
|
7.000%, 1/15/2029
|
12,849
|
3,314
|
|
7.000%, 1/15/2029
|
3,682
|
1,341
|
|
7.000%, 1/15/2029
|
1,394
|
10,205
|
|
7.000%, 1/15/2029
|
11,698
|
12,531
|
|
7.000%, 1/15/2029
|
14,390
|
28,697
|
|
7.000%, 1/15/2029
|
32,925
|
1,042
|
|
7.000%, 2/15/2029
|
1,184
|
2,632
|
|
7.000%, 2/15/2029
|
3,017
|
6,160
|
|
7.000%, 2/15/2029
|
7,049
|
2,059
|
|
7.000%, 2/15/2029
|
2,350
|
9,471
|
|
7.000%, 2/15/2029
|
10,827
|
206
|
|
7.000%, 2/15/2029
|
233
|
101
|
|
7.000%, 2/15/2029
|
111
|
1,171
|
|
7.000%, 3/15/2029
|
1,325
|
7,820
|
|
7.000%, 3/15/2029
|
8,759
|
2,334
|
|
7.000%, 3/15/2029
|
2,660
|
1,002
|
|
7.000%, 3/15/2029
|
1,150
|
976
|
|
7.000%, 3/15/2029
|
1,122
|
1,559
|
|
7.000%, 3/15/2029
|
1,789
|
1,003
|
|
7.000%, 3/15/2029
|
1,149
|
1,791
|
|
7.000%, 3/15/2029
|
2,048
|
42,440
|
|
7.000%, 4/15/2029
|
48,607
|
2,328
|
|
7.000%, 4/15/2029
|
2,666
|
1,425
|
|
7.000%, 4/15/2029
|
1,627
|
4,665
|
|
7.000%, 4/15/2029
|
5,348
|
8,198
|
|
7.000%, 4/15/2029
|
9,223
|
5,378
|
|
7.000%, 4/15/2029
|
5,850
|
207
|
|
7.000%, 4/15/2029
|
238
|
2,663
|
|
7.000%, 5/15/2029
|
3,039
|
634
|
|
7.000%, 5/15/2029
|
724
|
2,179
|
|
7.000%, 5/15/2029
|
2,505
|
2,653
|
|
7.000%, 5/15/2029
|
3,057
|
2,653
|
|
7.000%, 5/15/2029
|
3,036
|
5,599
|
|
7.000%, 6/15/2029
|
6,430
|
Principal
Amount
or Shares
|
|
|
Value
|
|
1
|
MORTGAGE-BACKED SECURITIES—continued
|
|
|
|
Government National Mortgage Association—continued
|
|
$ 2,555
|
|
7.000%, 6/15/2029
|
$2,944
|
3,430
|
|
7.000%, 6/15/2029
|
3,910
|
278
|
|
7.000%, 6/15/2029
|
321
|
661
|
|
7.000%, 6/15/2029
|
762
|
10,013
|
|
7.000%, 6/15/2029
|
11,488
|
1,616
|
|
7.000%, 6/15/2029
|
1,862
|
737
|
|
7.000%, 6/15/2029
|
842
|
5,755
|
|
7.000%, 7/15/2029
|
6,585
|
1,749
|
|
7.000%, 7/15/2029
|
1,935
|
8,164
|
|
7.000%, 7/15/2029
|
9,392
|
48,101
|
|
7.000%, 7/15/2029
|
55,471
|
9,480
|
|
7.000%, 7/15/2029
|
10,932
|
1,004
|
|
7.000%, 7/15/2029
|
1,140
|
2,035
|
|
7.000%, 7/15/2029
|
2,345
|
5,266
|
|
7.000%, 7/15/2029
|
6,073
|
2,196
|
|
7.000%, 7/15/2029
|
2,493
|
6,473
|
|
7.000%, 7/15/2029
|
7,427
|
911
|
|
7.000%, 8/15/2029
|
1,048
|
1,823
|
|
7.000%, 8/15/2029
|
2,106
|
2,031
|
|
7.000%, 8/15/2029
|
2,321
|
1,395
|
|
7.000%, 8/15/2029
|
1,611
|
7,225
|
|
7.000%, 8/15/2029
|
8,259
|
1,920
|
|
7.000%, 9/15/2029
|
2,205
|
11,434
|
|
7.000%, 9/15/2029
|
13,071
|
5,592
|
|
7.000%, 9/15/2029
|
6,465
|
4,322
|
|
7.000%, 9/15/2029
|
4,985
|
6,627
|
|
7.000%, 9/15/2029
|
7,636
|
1,835
|
|
7.000%, 11/15/2029
|
2,122
|
17,029
|
|
7.000%, 12/15/2029
|
19,503
|
3,451
|
|
7.000%, 12/15/2029
|
3,945
|
3,162
|
|
7.000%, 1/15/2030
|
3,663
|
18,427
|
|
7.000%, 1/15/2030
|
21,364
|
17,604
|
|
7.000%, 2/15/2030
|
19,827
|
4,098
|
|
7.000%, 2/15/2030
|
4,748
|
9,203
|
|
7.000%, 2/15/2030
|
10,678
|
24,527
|
|
7.000%, 2/15/2030
|
28,456
|
47,744
|
|
7.000%, 3/15/2030
|
55,013
|
19,637
|
|
7.000%, 3/15/2030
|
22,550
|
362
|
|
7.000%, 4/15/2030
|
365
|
3,125
|
|
7.000%, 4/15/2030
|
3,629
|
15,519
|
|
7.000%, 6/15/2030
|
18,055
|
4,856
|
|
7.000%, 6/15/2030
|
5,630
|
23,016
|
|
7.000%, 8/15/2030
|
26,795
|
6,744
|
|
7.000%, 8/15/2030
|
7,737
|
9,371
|
|
7.000%, 9/15/2030
|
10,368
|
13,394
|
|
7.000%, 10/15/2030
|
15,550
|
3,925
|
|
7.000%, 10/15/2030
|
4,230
|
3,457
|
|
7.000%, 11/15/2030
|
4,036
|
8,654
|
|
7.000%, 2/15/2031
|
10,102
|
102,870
|
|
7.000%, 2/15/2031
|
119,841
|
Principal
Amount
or Shares
|
|
|
Value
|
|
1
|
MORTGAGE-BACKED SECURITIES—continued
|
|
|
|
Government National Mortgage Association—continued
|
|
$ 3,799
|
|
7.000%, 3/15/2031
|
$4,417
|
26,584
|
|
7.000%, 3/15/2031
|
30,990
|
948
|
|
7.000%, 7/15/2031
|
1,097
|
379
|
|
7.000%, 9/15/2031
|
436
|
20,372
|
|
7.000%, 10/15/2031
|
23,758
|
9,076
|
|
7.000%, 11/15/2031
|
10,585
|
8,134
|
|
7.000%, 1/15/2032
|
9,299
|
8,050
|
|
7.000%, 4/15/2032
|
9,346
|
12,107
|
|
7.000%, 5/15/2032
|
14,120
|
636
|
|
7.000%, 11/15/2032
|
709
|
552
|
|
7.000%, 1/15/2033
|
647
|
145,898
|
|
7.500%, 11/15/2027
|
165,181
|
123,726
|
|
7.500%, 11/15/2027
|
140,411
|
463
|
|
7.500%, 4/15/2029
|
531
|
4,264
|
|
7.500%, 7/15/2029
|
4,765
|
355
|
|
7.500%, 7/15/2029
|
409
|
1,056
|
|
7.500%, 8/15/2029
|
1,224
|
458
|
|
7.500%, 8/15/2029
|
529
|
27,533
|
|
7.500%, 8/15/2029
|
31,528
|
22,556
|
|
7.500%, 8/15/2029
|
26,168
|
8,699
|
|
7.500%, 8/15/2029
|
10,147
|
33,637
|
|
7.500%, 8/15/2029
|
39,270
|
17,410
|
|
7.500%, 8/20/2029
|
20,085
|
4,292
|
|
7.500%, 9/15/2029
|
4,965
|
29,674
|
|
7.500%, 9/15/2029
|
34,361
|
4,464
|
|
7.500%, 10/15/2029
|
5,202
|
9,364
|
|
7.500%, 10/15/2029
|
10,589
|
17,063
|
|
7.500%, 10/15/2029
|
19,621
|
3,013
|
|
7.500%, 10/15/2029
|
3,521
|
5,252
|
|
7.500%, 12/15/2029
|
6,082
|
6,972
|
|
7.500%, 1/15/2030
|
8,081
|
11,025
|
|
7.500%, 3/20/2030
|
12,798
|
13,794
|
|
7.500%, 8/15/2030
|
15,973
|
11,627
|
|
7.500%, 10/15/2030
|
13,709
|
49,447
|
|
7.500%, 10/15/2030
|
54,706
|
9,295
|
|
7.500%, 10/15/2030
|
10,833
|
7,182
|
|
7.500%, 11/20/2030
|
8,373
|
7,028
|
|
7.500%, 12/15/2030
|
8,292
|
7,023
|
|
7.500%, 1/15/2031
|
8,299
|
5,733
|
|
7.500%, 2/15/2031
|
6,764
|
18,780
|
|
7.500%, 4/20/2031
|
22,053
|
54,965
|
|
7.500%, 7/15/2031
|
64,117
|
1,508
|
|
7.500%, 9/15/2031
|
1,767
|
284
|
|
7.500%, 9/15/2031
|
286
|
15,571
|
|
7.500%, 10/15/2031
|
18,375
|
11,426
|
|
7.500%, 11/15/2031
|
13,509
|
10,337
|
|
7.500%, 12/15/2031
|
11,471
|
8,421
|
|
7.500%, 3/15/2032
|
9,900
|
6,326
|
|
7.500%, 5/15/2032
|
7,502
|
831
|
|
8.000%, 11/15/2023
|
874
|
Principal
Amount
or Shares
|
|
|
Value
|
|
1
|
MORTGAGE-BACKED SECURITIES—continued
|
|
|
|
Government National Mortgage Association—continued
|
|
$ 28,111
|
|
8.000%, 11/15/2027
|
$31,434
|
8,916
|
|
8.000%, 5/15/2029
|
10,414
|
18,409
|
|
8.000%, 8/15/2029
|
21,539
|
65,554
|
|
8.000%, 11/15/2029
|
76,831
|
27,825
|
|
8.000%, 12/15/2029
|
32,639
|
2,521
|
|
8.000%, 1/15/2030
|
2,950
|
12,856
|
|
8.000%, 1/15/2030
|
15,105
|
2,729
|
|
8.000%, 1/15/2030
|
3,171
|
850
|
|
8.000%, 3/15/2030
|
878
|
11,491
|
|
8.000%, 4/15/2030
|
13,543
|
401
|
|
8.000%, 4/15/2030
|
472
|
6,134
|
|
8.000%, 4/15/2030
|
7,195
|
697
|
|
8.000%, 4/15/2030
|
811
|
5,336
|
|
8.000%, 4/15/2030
|
6,210
|
2,988
|
|
8.000%, 4/15/2030
|
3,508
|
1,925
|
|
8.000%, 5/15/2030
|
2,271
|
1,224
|
|
8.000%, 5/15/2030
|
1,428
|
240
|
|
8.000%, 5/15/2030
|
276
|
1,292
|
|
8.000%, 5/15/2030
|
1,504
|
3,011
|
|
8.000%, 5/15/2030
|
3,546
|
7,638
|
|
8.000%, 5/15/2030
|
8,889
|
4,773
|
|
8.000%, 6/15/2030
|
5,377
|
904
|
|
8.000%, 6/15/2030
|
1,065
|
916
|
|
8.000%, 6/15/2030
|
1,077
|
4,277
|
|
8.000%, 6/15/2030
|
4,968
|
8,384
|
|
8.000%, 6/15/2030
|
9,776
|
60,880
|
|
8.000%, 6/15/2030
|
71,412
|
29,758
|
|
8.000%, 6/15/2030
|
35,124
|
3,536
|
|
8.000%, 6/15/2030
|
3,844
|
644
|
|
8.000%, 7/15/2030
|
662
|
42,286
|
|
8.000%, 7/15/2030
|
49,838
|
2,359
|
|
8.000%, 7/15/2030
|
2,769
|
3,856
|
|
8.000%, 7/15/2030
|
4,551
|
20,030
|
|
8.500%, 6/15/2030
|
23,467
|
|
|
TOTAL
|
3,657,524
|
|
2
|
Uniform Mortgage-Backed Securities, TBA—15.2%
|
|
34,500,000
|
|
2.500%, 5/1/2051
|
35,796,455
|
|
|
TOTAL MORTGAGE-BACKED SECURITIES
(IDENTIFIED COST $227,980,570)
|
230,424,628
|
|
|
GOVERNMENT AGENCY—1.2%
|
|
|
|
Federal Farm Credit System—1.2%
|
|
3,000,000
|
|
0.700%, 1/27/2027
(IDENTIFIED COST $3,000,000)
|
2,938,604
|
|
|
INVESTMENT COMPANY—18.7%
|
|
43,964,485
|
3
|
Federated Hermes Government Obligations Fund, Premier Shares, 0.02%4
(IDENTIFIED COST $43,964,485)
|
43,964,485
|
|
|
TOTAL INVESTMENT IN SECURITIES—117.9%
(IDENTIFIED COST $274,945,055)
|
277,327,717
|
|
|
OTHER ASSETS AND LIABILITIES - NET—(17.9)%5
|
(42,139,779)
|
|
|
TOTAL NET ASSETS—100%
|
$235,187,938
|
Description
|
Number of
Contracts
|
Notional
Value
|
Expiration
Date
|
Value and
Unrealized
Appreciation
(Depreciation)
|
Short Futures:
|
|
|
|
|
6United States Treasury Notes 10-Year Short Futures
|
85
|
$11,222,656
|
June 2021
|
$197,039
|
6United States Treasury Long Bond Short Futures
|
25
|
$3,931,250
|
June 2021
|
$(61,151)
|
6United States Treasury Notes 10-Year Ultra Short Futures
|
25
|
$3,638,672
|
June 2021
|
$91,851
|
NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS
|
$227,739
|
|
Federated
Hermes
Government
Obligations Fund,
Premier Shares
|
Value as of 1/31/2021
|
$8,455,721
|
Purchases at Cost
|
$75,744,020
|
Proceeds from Sales
|
$(40,235,256)
|
Change in Unrealized Appreciation/Depreciation
|
N/A
|
Net Realized Gain/(Loss)
|
N/A
|
Value as of 4/30/2021
|
$43,964,485
|
Shares Held as of 4/30/2021
|
43,964,485
|
Dividend Income
|
$3,006
|
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
|
7-day net yield.
|
5
|
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, 2021.
|
6
|
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
|
$—
|
$230,424,628
|
$—
|
$230,424,628
|
Government Agencies
|
—
|
2,938,604
|
—
|
2,938,604
|
Investment Company
|
43,964,485
|
—
|
—
|
43,964,485
|
TOTAL SECURITIES
|
$43,964,485
|
$233,363,232
|
$—
|
$277,327,717
|
Other Financial Instruments:1
|
|
|
|
|
Assets
|
$288,890
|
$—
|
$—
|
$288,890
|
Liabilities
|
(61,151)
|
—
|
—
|
(61,151)
|
TOTAL OTHER FINANCIAL INSTRUMENTS
|
$227,739
|
$—
|
$—
|
$227,739
|
1
|
Other financial instruments are futures contracts.
|