| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Long-Term Investments 97.9% | |||||
| Asset-Backed Securities 4.2% | |||||
| Collateralized Loan Obligations | |||||
| AGL Core CLO Ltd. (Cayman Islands), | |||||
| Series 2019-02A, Class A1, 144A, 3 Month LIBOR + 1.390% (Cap N/A, Floor 1.390%) | 2.525 %(c) | 04/20/32 | 2,000 | $1,983,021 | |
| Series 2020-04A, Class A, 144A, 3 Month LIBOR + 2.210% (Cap N/A, Floor 2.210%) | 2.893(c) | 04/20/28 | 6,000 | 5,971,590 | |
| Atlas Senior Loan Fund Ltd. (Cayman Islands), Series 2014-01A, Class AR2, 144A, 3 Month LIBOR + 1.260% (Cap N/A, Floor 0.000%) | 2.436(c) | 07/16/29 | 3,481 | 3,427,943 | |
| Battalion CLO Ltd., Series 2020-15A, Class A1, 144A, 3 Month LIBOR + 1.350% (Cap N/A, Floor 1.350%) | 3.012(c) | 01/17/33 | 2,250 | 2,197,365 | |
| Canyon CLO Ltd. (Cayman Islands), Series 2020-01A, Class A, 144A, 3 Month LIBOR + 1.920% (Cap N/A, Floor 1.920%) | 2.319(c) | 07/15/28 | 3,750 | 3,767,415 | |
| Octagon Investment Partners 45 Ltd. (Cayman Islands), Series 2019-01A, Class A, 144A, 3 Month LIBOR + 1.330% (Cap N/A, Floor 1.330%) | 2.549(c) | 10/15/32 | 6,000 | 5,926,095 | |
| Race Point CLO Ltd. (Cayman Islands), Series 2015-09A, Class A1AR, 144A, 3 Month LIBOR + 1.210% (Cap N/A, Floor 0.000%) | 2.429(c) | 10/15/30 | 2,000 | 1,957,016 | |
| Trimaran Cavu Ltd. (Cayman Islands), Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.460% (Cap N/A, Floor 1.460%) | 2.595(c) | 07/20/32 | 4,000 | 3,939,583 | |
| Wellfleet CLO Ltd. (Cayman Islands), Series 2017-02A, Class A1R, 144A, 3 Month LIBOR + 1.060% (Cap N/A, Floor 0.000%) | 2.195(c) | 10/20/29 | 3,500 | 3,419,580 | |
| Total Asset-Backed Securities (cost $31,269,213) | 32,589,608 | ||||
| Commercial Mortgage-Backed Securities 11.7% | |||||
| BANK, Series 2017-BNK05, Class A3 | 3.020 | 06/15/60 | 3,600 | 3,770,581 | |
| Barclays Commercial Mortgage Trust, Series 2019-C04, Class A4 | 2.661 | 08/15/52 | 6,000 | 6,264,120 | |
| CD Mortgage Trust, Series 2019-CD08, Class A3 | 2.657 | 08/15/57 | 6,000 | 6,300,203 | |
| Fannie Mae-Aces, | |||||
| Series 2012-M02, Class A2 | 2.717 | 02/25/22 | 151 | 155,270 | |
| Series 2015-M17, Class A2 | 2.931(cc) | 11/25/25 | 2,829 | 3,031,990 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Commercial Mortgage-Backed Securities (Continued) | |||||
| Fannie Mae-Aces, (cont’d.) | |||||
| Series 2016-M11, Class A2 | 2.369 %(cc) | 07/25/26 | 2,600 | $2,785,106 | |
| Series 2016-M13, Class A2 | 2.483(cc) | 09/25/26 | 4,400 | 4,630,950 | |
| Series 2018-M14, Class A1 | 3.578(cc) | 08/25/28 | 1,536 | 1,715,134 | |
| Series 2019-M01, Class A2 | 3.555(cc) | 09/25/28 | 2,000 | 2,311,935 | |
| FHLMC Multifamily Structured Pass-Through Certificates, | |||||
| Series K0008, Class X1, IO | 1.321(cc) | 06/25/20 | 1,144 | 11 | |
| Series K0019, Class X1, IO | 1.591(cc) | 03/25/22 | 22,612 | 540,005 | |
| Series K0020, Class X1, IO | 1.364(cc) | 05/25/22 | 13,159 | 292,220 | |
| Series K0021, Class X1, IO | 1.417(cc) | 06/25/22 | 14,565 | 338,225 | |
| Series K0025, Class X1, IO | 0.811(cc) | 10/25/22 | 36,935 | 601,414 | |
| Series K0060, Class AM | 3.300(cc) | 10/25/26 | 3,860 | 4,350,013 | |
| Series K0064, Class AM | 3.327(cc) | 03/25/27 | 2,100 | 2,368,558 | |
| Series K0068, Class AM | 3.315 | 08/25/27 | 3,200 | 3,624,700 | |
| Series K0076, Class AM | 3.900 | 04/25/28 | 750 | 883,026 | |
| Series K0077, Class A2 | 3.850(cc) | 05/25/28 | 1,570 | 1,864,188 | |
| Series K0077, Class AM | 3.850(cc) | 05/25/28 | 310 | 367,842 | |
| Series K0078, Class AM | 3.920 | 06/25/28 | 925 | 1,095,344 | |
| Series K0079, Class AM | 3.930 | 06/25/28 | 1,225 | 1,449,451 | |
| Series K0080, Class AM | 3.986(cc) | 07/25/28 | 3,300 | 3,915,087 | |
| Series K0081, Class AM | 3.900(cc) | 08/25/28 | 2,600 | 3,084,329 | |
| Series K0083, Class AM | 4.030(cc) | 10/25/28 | 450 | 538,511 | |
| Series K0084, Class AM | 3.880(cc) | 10/25/28 | 2,200 | 2,591,695 | |
| Series K0085, Class AM | 4.060(cc) | 10/25/28 | 1,100 | 1,319,841 | |
| Series K0086, Class A2 | 3.859(cc) | 11/25/28 | 2,500 | 2,989,809 | |
| Series K0086, Class AM | 3.919(cc) | 12/25/28 | 350 | 418,715 | |
| Series K0087, Class AM | 3.832(cc) | 12/25/28 | 400 | 474,211 | |
| Series K0088, Class AM | 3.761(cc) | 01/25/29 | 880 | 1,043,267 | |
| Series K0090, Class AM | 3.492(cc) | 03/25/29 | 1,450 | 1,693,931 | |
| Series K0091, Class AM | 3.566 | 03/25/29 | 1,650 | 1,934,821 | |
| Series K0151, Class A3 | 3.511 | 04/25/30 | 900 | 1,046,146 | |
| Series K0152, Class A2 | 3.080 | 01/25/31 | 375 | 422,053 | |
| Series K0157, Class A2 | 3.990(cc) | 05/25/33 | 2,900 | 3,490,831 | |
| Series K0157, Class A3 | 3.990(cc) | 08/25/33 | 755 | 930,077 | |
| Series K0158, Class A2 | 3.900(cc) | 12/25/30 | 1,275 | 1,526,106 | |
| Series K1514, Class A2 | 2.859 | 10/25/34 | 5,217 | 5,820,001 | |
| Series KC03, Class A2 | 3.499 | 01/25/26 | 1,100 | 1,198,604 | |
| Series W5FX, Class AFX | 3.214(cc) | 04/25/28 | 1,970 | 2,219,922 | |
| JPMBB Commercial Mortgage Securities Trust, Series 2016-C01, Class A3 | 3.515 | 03/15/49 | 2,500 | 2,607,564 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Commercial Mortgage-Backed Securities (Continued) | |||||
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C09, Class A3 | 2.834 % | 05/15/46 | 878 | $899,623 | |
| Wells Fargo Commercial Mortgage Trust, Series 2015-LC22, Class A3 | 3.572 | 09/15/58 | 2,256 | 2,389,229 | |
| Total Commercial Mortgage-Backed Securities (cost $82,873,949) | 91,294,659 | ||||
| Corporate Bonds 0.8% | |||||
| Diversified Financial Services | |||||
| Private Export Funding Corp., | |||||
| Sr. Unsec’d. Notes, 144A | 2.650 | 02/16/21 | 2,870 | 2,912,613 | |
| U.S. Gov’t. Gtd. Notes, Series BB | 4.300 | 12/15/21 | 1,210 | 1,275,205 | |
| U.S. Gov’t. Gtd. Notes, Series KK | 3.550 | 01/15/24 | 2,085 | 2,292,210 | |
| Total Corporate Bonds (cost $6,281,614) | 6,480,028 | ||||
| Residential Mortgage-Backed Securities 0.0% | |||||
| Merrill Lynch Mortgage Investors Trust, Series 2003-E, Class A1, 1 Month LIBOR + 0.620% (Cap 11.750%, Floor 0.310%) | 0.788(c) | 10/25/28 | 39 | 37,935 | |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2004-01, Class 4A3 | 3.811(cc) | 02/25/34 | 166 | 158,459 | |
| Total Residential Mortgage-Backed Securities (cost $206,012) | 196,394 | ||||
| U.S. Government Agency Obligations 34.6% | |||||
| Fannie Mae Strips Principal, MTN | 2.001(s) | 10/08/27 | 530 | 484,900 | |
| Federal Home Loan Bank | 3.250 | 11/16/28 | 1,800 | 2,144,218 | |
| Federal Home Loan Mortgage Corp. | (2.451)(s) | 11/15/38 | 2,500 | 1,731,715 | |
| Federal Home Loan Mortgage Corp. | 2.000 | 01/01/32 | 413 | 426,956 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 05/01/23 | 129 | 135,485 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 12/01/23 | 190 | 199,015 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 03/01/30 | 929 | 980,089 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 09/01/31 | 582 | 610,552 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 10/01/32 | 690 | 726,518 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 10/01/28 | 162 | 172,844 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 06/01/29 | 480 | 511,955 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 12/01/30 | 558 | 592,875 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 01/01/37 | 1,174 | 1,242,073 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| U.S. Government Agency Obligations (Continued) | |||||
| Federal Home Loan Mortgage Corp. | 3.000 % | 04/01/43 | 1,411 | $1,511,091 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 10/01/46 | 894 | 945,079 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 11/01/46 | 743 | 785,733 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 12/01/46 | 725 | 765,009 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 01/01/47 | 1,564 | 1,654,317 | |
| Federal Home Loan Mortgage Corp. | 3.500 | 08/01/26 | 256 | 270,993 | |
| Federal Home Loan Mortgage Corp. | 3.500 | 01/01/27 | 142 | 150,367 | |
| Federal Home Loan Mortgage Corp. | 3.500 | 11/01/28 | 987 | 1,055,587 | |
| Federal Home Loan Mortgage Corp. | 3.500 | 11/01/37 | 559 | 594,598 | |
| Federal Home Loan Mortgage Corp. | 3.500 | 06/01/42 | 1,398 | 1,516,422 | |
| Federal Home Loan Mortgage Corp. | 3.500 | 06/01/43 | 1,040 | 1,128,621 | |
| Federal Home Loan Mortgage Corp. | 3.500 | 07/01/43 | 2,512 | 2,725,593 | |
| Federal Home Loan Mortgage Corp. | 3.500 | 07/01/47 | 5,403 | 5,753,790 | |
| Federal Home Loan Mortgage Corp. | 3.500 | 08/01/47 | 4,103 | 4,362,967 | |
| Federal Home Loan Mortgage Corp. | 3.500 | 10/01/47 | 350 | 372,328 | |
| Federal Home Loan Mortgage Corp. | 4.000 | 06/01/26 | 80 | 85,171 | |
| Federal Home Loan Mortgage Corp. | 4.000 | 09/01/26 | 227 | 241,398 | |
| Federal Home Loan Mortgage Corp. | 4.000 | 11/01/39 | 947 | 1,042,394 | |
| Federal Home Loan Mortgage Corp. | 4.000 | 09/01/40 | 646 | 710,173 | |
| Federal Home Loan Mortgage Corp. | 4.000 | 12/01/40 | 353 | 387,813 | |
| Federal Home Loan Mortgage Corp. | 4.000 | 12/01/40 | 507 | 556,866 | |
| Federal Home Loan Mortgage Corp. | 4.000 | 04/01/42 | 1,317 | 1,450,500 | |
| Federal Home Loan Mortgage Corp. | 4.000 | 05/01/46 | 1,491 | 1,616,397 | |
| Federal Home Loan Mortgage Corp. | 4.000 | 08/01/46 | 348 | 378,323 | |
| Federal Home Loan Mortgage Corp. | 4.000 | 12/01/46 | 324 | 349,912 | |
| Federal Home Loan Mortgage Corp. | 4.000 | 07/01/47 | 968 | 1,036,141 | |
| Federal Home Loan Mortgage Corp. | 4.000 | 08/01/47 | 339 | 363,286 | |
| Federal Home Loan Mortgage Corp. | 4.000 | 08/01/47 | 989 | 1,060,312 | |
| Federal Home Loan Mortgage Corp. | 4.000 | 06/01/48 | 301 | 321,267 | |
| Federal Home Loan Mortgage Corp. | 4.000 | 11/01/48 | 610 | 648,312 | |
| Federal Home Loan Mortgage Corp. | 4.500 | 09/01/39 | 1,344 | 1,494,039 | |
| Federal Home Loan Mortgage Corp. | 4.500 | 07/01/47 | 305 | 329,570 | |
| Federal Home Loan Mortgage Corp. | 4.500 | 07/01/47 | 312 | 338,771 | |
| Federal Home Loan Mortgage Corp. | 4.500 | 08/01/47 | 1,038 | 1,126,387 | |
| Federal Home Loan Mortgage Corp. | 5.000 | 06/01/33 | 629 | 714,868 | |
| Federal Home Loan Mortgage Corp. | 5.000 | 03/01/34 | 68 | 78,312 | |
| Federal Home Loan Mortgage Corp. | 5.000 | 05/01/34 | 59 | 67,429 | |
| Federal Home Loan Mortgage Corp. | 5.000 | 05/01/34 | 754 | 863,762 | |
| Federal Home Loan Mortgage Corp. | 5.000 | 02/01/48 | 339 | 371,252 | |
| Federal Home Loan Mortgage Corp. | 5.500 | 05/01/37 | 91 | 106,756 | |
| Federal Home Loan Mortgage Corp. | 5.500 | 01/01/38 | 80 | 92,770 | |
| Federal Home Loan Mortgage Corp. | 6.000 | 12/01/33 | 46 | 53,732 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| U.S. Government Agency Obligations (Continued) | |||||
| Federal Home Loan Mortgage Corp. | 6.000 % | 09/01/34 | 138 | $153,666 | |
| Federal Home Loan Mortgage Corp. | 6.250 | 07/15/32 | 40 | 63,049 | |
| Federal Home Loan Mortgage Corp. | 6.500 | 09/01/32 | 40 | 45,795 | |
| Federal Home Loan Mortgage Corp. | 6.500 | 09/01/32 | 112 | 127,209 | |
| Federal Home Loan Mortgage Corp. | 6.750 | 09/15/29 | 100 | 150,873 | |
| Federal Home Loan Mortgage Corp. | 7.000 | 09/01/32 | 29 | 30,185 | |
| Federal Home Loan Mortgage Corp. | 8.000 | 08/01/22 | 2 | 1,595 | |
| Federal National Mortgage Assoc. | 2.000 | TBA | 2,000 | 2,063,437 | |
| Federal National Mortgage Assoc. | 2.000 | 08/01/31 | 495 | 511,058 | |
| Federal National Mortgage Assoc. | 2.000 | 10/01/34 | 1,144 | 1,180,840 | |
| Federal National Mortgage Assoc. | 2.500 | TBA | 7,000 | 7,244,948 | |
| Federal National Mortgage Assoc. | 2.500 | 08/01/28 | 545 | 571,210 | |
| Federal National Mortgage Assoc. | 2.500 | 08/01/29 | 120 | 126,496 | |
| Federal National Mortgage Assoc. | 2.500 | 11/01/31 | 334 | 351,777 | |
| Federal National Mortgage Assoc. | 2.500 | 01/01/35 | 1,961 | 2,057,631 | |
| Federal National Mortgage Assoc. | 2.500 | 02/01/43 | 268 | 282,908 | |
| Federal National Mortgage Assoc. | 2.500 | 12/01/46 | 1,264 | 1,332,894 | |
| Federal National Mortgage Assoc. | 3.000 | TBA | 10,500 | 11,020,767 | |
| Federal National Mortgage Assoc. | 3.000 | 01/01/27 | 485 | 512,527 | |
| Federal National Mortgage Assoc. | 3.000 | 08/01/28 | 974 | 1,028,759 | |
| Federal National Mortgage Assoc. | 3.000 | 02/01/31 | 981 | 1,036,036 | |
| Federal National Mortgage Assoc. | 3.000 | 11/01/36 | 510 | 539,416 | |
| Federal National Mortgage Assoc. | 3.000 | 12/01/42 | 1,245 | 1,332,525 | |
| Federal National Mortgage Assoc. | 3.000 | 02/01/43 | 686 | 734,060 | |
| Federal National Mortgage Assoc. | 3.000 | 03/01/43 | 376 | 402,890 | |
| Federal National Mortgage Assoc. | 3.000 | 04/01/43 | 663 | 709,126 | |
| Federal National Mortgage Assoc. | 3.000 | 06/01/43 | 355 | 379,382 | |
| Federal National Mortgage Assoc. | 3.000 | 06/01/43 | 772 | 825,848 | |
| Federal National Mortgage Assoc. | 3.000 | 07/01/43 | 2,198 | 2,352,552 | |
| Federal National Mortgage Assoc. | 3.000 | 11/01/46 | 1,912 | 2,020,585 | |
| Federal National Mortgage Assoc. | 3.000 | 01/01/47 | 356 | 377,080 | |
| Federal National Mortgage Assoc. | 3.000 | 04/01/47 | 5,731 | 6,059,939 | |
| Federal National Mortgage Assoc. | 3.000 | 02/01/50 | 1,072 | 1,127,882 | |
| Federal National Mortgage Assoc. | 3.500 | TBA | 1,000 | 1,055,312 | |
| Federal National Mortgage Assoc. | 3.500 | 09/01/26 | 155 | 164,165 | |
| Federal National Mortgage Assoc. | 3.500 | 03/01/27 | 387 | 409,272 | |
| Federal National Mortgage Assoc. | 3.500 | 12/01/30 | 83 | 88,423 | |
| Federal National Mortgage Assoc. | 3.500 | 02/01/33 | 170 | 179,458 | |
| Federal National Mortgage Assoc. | 3.500 | 05/01/33 | 357 | 378,623 | |
| Federal National Mortgage Assoc. | 3.500 | 10/01/41 | 2,140 | 2,322,676 | |
| Federal National Mortgage Assoc. | 3.500 | 12/01/41 | 582 | 631,064 | |
| Federal National Mortgage Assoc. | 3.500 | 03/01/42 | 578 | 629,319 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| U.S. Government Agency Obligations (Continued) | |||||
| Federal National Mortgage Assoc. | 3.500 % | 05/01/42 | 2,627 | $2,849,821 | |
| Federal National Mortgage Assoc. | 3.500 | 07/01/42 | 963 | 1,042,369 | |
| Federal National Mortgage Assoc. | 3.500 | 12/01/42 | 1,444 | 1,567,999 | |
| Federal National Mortgage Assoc. | 3.500 | 03/01/43 | 668 | 723,814 | |
| Federal National Mortgage Assoc. | 3.500 | 06/01/45 | 4,909 | 5,273,018 | |
| Federal National Mortgage Assoc. | 3.500 | 01/01/46 | 1,466 | 1,571,395 | |
| Federal National Mortgage Assoc. | 3.500 | 12/01/46 | 1,880 | 2,011,710 | |
| Federal National Mortgage Assoc. | 3.500 | 11/01/47 | 1,754 | 1,858,589 | |
| Federal National Mortgage Assoc. | 3.500 | 01/01/48 | 2,263 | 2,394,532 | |
| Federal National Mortgage Assoc. | 3.500 | 03/01/48 | 6,108 | 6,461,371 | |
| Federal National Mortgage Assoc. | 3.500 | 04/01/48 | 4,602 | 4,889,965 | |
| Federal National Mortgage Assoc. | 3.500 | 11/01/48 | 3,564 | 3,794,632 | |
| Federal National Mortgage Assoc. | 4.000 | 09/01/40 | 1,021 | 1,119,183 | |
| Federal National Mortgage Assoc. | 4.000 | 01/01/41 | 1,354 | 1,489,389 | |
| Federal National Mortgage Assoc. | 4.000 | 09/01/44 | 1,080 | 1,183,277 | |
| Federal National Mortgage Assoc. | 4.000 | 06/01/47 | 3,885 | 4,174,999 | |
| Federal National Mortgage Assoc. | 4.000 | 06/01/47 | 5,136 | 5,505,909 | |
| Federal National Mortgage Assoc. | 4.000 | 08/01/47 | 1,072 | 1,149,070 | |
| Federal National Mortgage Assoc. | 4.000 | 09/01/47 | 4,031 | 4,315,817 | |
| Federal National Mortgage Assoc. | 4.000 | 10/01/47 | 312 | 333,566 | |
| Federal National Mortgage Assoc. | 4.000 | 10/01/47 | 2,838 | 3,038,236 | |
| Federal National Mortgage Assoc. | 4.000 | 11/01/47 | 3,440 | 3,670,390 | |
| Federal National Mortgage Assoc. | 4.000 | 12/01/47 | 685 | 735,207 | |
| Federal National Mortgage Assoc. | 4.000 | 06/01/48 | 439 | 466,263 | |
| Federal National Mortgage Assoc. | 4.500 | 04/01/41 | 1,171 | 1,302,862 | |
| Federal National Mortgage Assoc. | 4.500 | 05/01/41 | 599 | 666,483 | |
| Federal National Mortgage Assoc. | 4.500 | 01/01/45 | 275 | 305,525 | |
| Federal National Mortgage Assoc. | 4.500 | 12/01/47 | 2,388 | 2,582,342 | |
| Federal National Mortgage Assoc. | 4.500 | 06/01/48 | 712 | 769,217 | |
| Federal National Mortgage Assoc. | 4.500 | 10/01/48 | 3,025 | 3,265,616 | |
| Federal National Mortgage Assoc. | 5.000 | 12/01/31 | 63 | 69,051 | |
| Federal National Mortgage Assoc. | 5.000 | 03/01/34 | 314 | 360,263 | |
| Federal National Mortgage Assoc. | 5.000 | 07/01/35 | 125 | 143,163 | |
| Federal National Mortgage Assoc. | 5.000 | 09/01/35 | 70 | 79,775 | |
| Federal National Mortgage Assoc. | 5.000 | 11/01/35 | 79 | 90,451 | |
| Federal National Mortgage Assoc. | 5.000 | 05/01/36 | 48 | 55,481 | |
| Federal National Mortgage Assoc. | 5.500 | 02/01/34 | 332 | 387,654 | |
| Federal National Mortgage Assoc. | 5.500 | 09/01/34 | 530 | 615,659 | |
| Federal National Mortgage Assoc. | 5.500 | 02/01/35 | 405 | 468,197 | |
| Federal National Mortgage Assoc. | 5.500 | 06/01/35 | 58 | 63,303 | |
| Federal National Mortgage Assoc. | 5.500 | 06/01/35 | 175 | 193,466 | |
| Federal National Mortgage Assoc. | 5.500 | 09/01/35 | 100 | 109,868 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| U.S. Government Agency Obligations (Continued) | |||||
| Federal National Mortgage Assoc. | 5.500 % | 09/01/35 | 247 | $275,963 | |
| Federal National Mortgage Assoc. | 5.500 | 10/01/35 | 322 | 373,707 | |
| Federal National Mortgage Assoc. | 5.500 | 11/01/35 | 262 | 291,315 | |
| Federal National Mortgage Assoc. | 5.500 | 11/01/35 | 650 | 739,237 | |
| Federal National Mortgage Assoc. | 5.500 | 11/01/36 | 8 | 9,465 | |
| Federal National Mortgage Assoc. | 6.000 | 08/01/21 | 7 | 6,774 | |
| Federal National Mortgage Assoc. | 6.000 | 09/01/21 | 4 | 4,334 | |
| Federal National Mortgage Assoc. | 6.000 | 07/01/22 | 1 | 786 | |
| Federal National Mortgage Assoc. | 6.000 | 09/01/33 | 1 | 594 | |
| Federal National Mortgage Assoc. | 6.000 | 11/01/33 | —(r) | 472 | |
| Federal National Mortgage Assoc. | 6.000 | 02/01/34 | —(r) | 290 | |
| Federal National Mortgage Assoc. | 6.000 | 06/01/34 | —(r) | 150 | |
| Federal National Mortgage Assoc. | 6.000 | 09/01/34 | —(r) | 297 | |
| Federal National Mortgage Assoc. | 6.000 | 09/01/34 | 19 | 22,100 | |
| Federal National Mortgage Assoc. | 6.000 | 09/01/34 | 23 | 25,430 | |
| Federal National Mortgage Assoc. | 6.000 | 11/01/34 | 4 | 4,337 | |
| Federal National Mortgage Assoc. | 6.000 | 11/01/34 | 28 | 31,947 | |
| Federal National Mortgage Assoc. | 6.000 | 02/01/35 | —(r) | 540 | |
| Federal National Mortgage Assoc. | 6.000 | 03/01/35 | 17 | 19,533 | |
| Federal National Mortgage Assoc. | 6.000 | 04/01/35 | 1 | 756 | |
| Federal National Mortgage Assoc. | 6.000 | 12/01/35 | 62 | 69,014 | |
| Federal National Mortgage Assoc. | 6.000 | 01/01/36 | 166 | 184,684 | |
| Federal National Mortgage Assoc. | 6.000 | 05/01/36 | 73 | 83,926 | |
| Federal National Mortgage Assoc. | 6.000 | 05/01/36 | 388 | 447,797 | |
| Federal National Mortgage Assoc. | 6.250 | 05/15/29 | 100 | 145,055 | |
| Federal National Mortgage Assoc. | 6.500 | 07/01/32 | 494 | 584,636 | |
| Federal National Mortgage Assoc. | 6.500 | 08/01/32 | 202 | 230,820 | |
| Federal National Mortgage Assoc. | 6.500 | 09/01/32 | 79 | 92,084 | |
| Federal National Mortgage Assoc. | 6.500 | 10/01/32 | 81 | 93,018 | |
| Federal National Mortgage Assoc. | 6.500 | 10/01/32 | 548 | 656,413 | |
| Federal National Mortgage Assoc. | 6.500 | 10/01/37 | 276 | 329,759 | |
| Federal National Mortgage Assoc. | 6.625 | 11/15/30 | 580 | 900,359 | |
| Federal National Mortgage Assoc. | 7.000 | 05/01/24 | —(r) | 50 | |
| Federal National Mortgage Assoc. | 7.000 | 05/01/24 | 7 | 7,176 | |
| Federal National Mortgage Assoc. | 7.000 | 05/01/24 | 12 | 11,891 | |
| Federal National Mortgage Assoc. | 7.000 | 05/01/24 | 13 | 13,313 | |
| Federal National Mortgage Assoc. | 7.000 | 05/01/24 | 51 | 55,520 | |
| Federal National Mortgage Assoc. | 7.000 | 12/01/31 | 1 | 1,172 | |
| Federal National Mortgage Assoc. | 7.000 | 12/01/31 | 252 | 298,667 | |
| Federal National Mortgage Assoc. | 7.000 | 09/01/33 | 64 | 65,682 | |
| Federal National Mortgage Assoc. | 7.000 | 11/01/33 | 66 | 68,441 | |
| Federal National Mortgage Assoc. | 9.000 | 04/01/25 | 3 | 2,797 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| U.S. Government Agency Obligations (Continued) | |||||
| Federal National Mortgage Assoc. | 9.500 % | 01/01/25 | 1 | $973 | |
| Federal National Mortgage Assoc. | 9.500 | 01/01/25 | 2 | 1,924 | |
| Federal National Mortgage Assoc. | 9.500 | 01/01/25 | 6 | 6,058 | |
| Federal National Mortgage Assoc. | 9.500 | 02/01/25 | 1 | 1,077 | |
| Government National Mortgage Assoc. | 2.500 | TBA | 3,500 | 3,662,695 | |
| Government National Mortgage Assoc. | 2.500 | TBA | 7,000 | 7,344,531 | |
| Government National Mortgage Assoc. | 2.500 | 12/20/46 | 476 | 505,183 | |
| Government National Mortgage Assoc. | 3.000 | TBA | 2,500 | 2,646,094 | |
| Government National Mortgage Assoc. | 3.000 | 03/15/45 | 1,931 | 2,043,361 | |
| Government National Mortgage Assoc. | 3.000 | 07/20/45 | 3,897 | 4,152,252 | |
| Government National Mortgage Assoc. | 3.000 | 07/20/46 | 2,072 | 2,201,249 | |
| Government National Mortgage Assoc. | 3.000 | 08/20/46 | 3,876 | 4,124,049 | |
| Government National Mortgage Assoc. | 3.000 | 10/20/46 | 306 | 324,545 | |
| Government National Mortgage Assoc. | 3.000 | 02/20/47 | 5,186 | 5,504,146 | |
| Government National Mortgage Assoc. | 3.000 | 05/20/47 | 1,012 | 1,074,772 | |
| Government National Mortgage Assoc. | 3.000 | 12/20/47 | 417 | 441,796 | |
| Government National Mortgage Assoc. | 3.000 | 04/20/49 | 1,768 | 1,873,741 | |
| Government National Mortgage Assoc. | 3.500 | 04/20/42 | 323 | 353,906 | |
| Government National Mortgage Assoc. | 3.500 | 01/20/43 | 1,839 | 2,012,651 | |
| Government National Mortgage Assoc. | 3.500 | 04/20/43 | 839 | 918,403 | |
| Government National Mortgage Assoc. | 3.500 | 03/20/45 | 1,455 | 1,564,334 | |
| Government National Mortgage Assoc. | 3.500 | 04/20/45 | 810 | 871,062 | |
| Government National Mortgage Assoc. | 3.500 | 07/20/46 | 3,113 | 3,345,004 | |
| Government National Mortgage Assoc. | 3.500 | 01/20/47 | 664 | 708,940 | |
| Government National Mortgage Assoc. | 3.500 | 03/20/47 | 317 | 339,358 | |
| Government National Mortgage Assoc. | 3.500 | 07/20/47 | 2,035 | 2,166,974 | |
| Government National Mortgage Assoc. | 3.500 | 02/20/48 | 4,528 | 4,830,338 | |
| Government National Mortgage Assoc. | 3.500 | 11/20/48 | 1,215 | 1,290,159 | |
| Government National Mortgage Assoc. | 3.500 | 01/20/49 | 959 | 1,022,605 | |
| Government National Mortgage Assoc. | 4.000 | 02/20/41 | 422 | 467,021 | |
| Government National Mortgage Assoc. | 4.000 | 06/20/44 | 886 | 970,469 | |
| Government National Mortgage Assoc. | 4.000 | 08/20/44 | 268 | 293,520 | |
| Government National Mortgage Assoc. | 4.000 | 11/20/45 | 593 | 645,167 | |
| Government National Mortgage Assoc. | 4.000 | 11/20/46 | 569 | 616,414 | |
| Government National Mortgage Assoc. | 4.000 | 02/20/47 | 586 | 632,337 | |
| Government National Mortgage Assoc. | 4.000 | 10/20/47 | 657 | 704,345 | |
| Government National Mortgage Assoc. | 4.000 | 12/20/47 | 478 | 513,598 | |
| Government National Mortgage Assoc. | 4.000 | 07/20/48 | 1,668 | 1,782,001 | |
| Government National Mortgage Assoc. | 4.000 | 02/20/49 | 2,126 | 2,267,257 | |
| Government National Mortgage Assoc. | 4.500 | 02/20/40 | 250 | 276,632 | |
| Government National Mortgage Assoc. | 4.500 | 01/20/41 | 148 | 163,203 | |
| Government National Mortgage Assoc. | 4.500 | 02/20/41 | 730 | 806,808 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| U.S. Government Agency Obligations (Continued) | |||||
| Government National Mortgage Assoc. | 4.500 % | 03/20/41 | 374 | $413,665 | |
| Government National Mortgage Assoc. | 4.500 | 06/20/44 | 537 | 592,478 | |
| Government National Mortgage Assoc. | 4.500 | 02/20/46 | 52 | 57,569 | |
| Government National Mortgage Assoc. | 4.500 | 03/20/46 | 259 | 284,570 | |
| Government National Mortgage Assoc. | 4.500 | 03/20/47 | 1,589 | 1,747,030 | |
| Government National Mortgage Assoc. | 4.500 | 08/20/47 | 304 | 333,046 | |
| Government National Mortgage Assoc. | 4.500 | 01/20/48 | 247 | 267,796 | |
| Government National Mortgage Assoc. | 4.500 | 02/20/48 | 1,596 | 1,744,333 | |
| Government National Mortgage Assoc. | 5.000 | 07/15/33 | 427 | 491,068 | |
| Government National Mortgage Assoc. | 5.000 | 09/15/33 | 529 | 602,970 | |
| Government National Mortgage Assoc. | 5.000 | 04/15/34 | 16 | 17,617 | |
| Government National Mortgage Assoc. | 5.500 | 02/15/34 | 446 | 503,632 | |
| Government National Mortgage Assoc. | 5.500 | 02/15/36 | 113 | 131,021 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/22 | —(r) | 203 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/22 | 1 | 544 | |
| Government National Mortgage Assoc. | 7.000 | 01/15/23 | —(r) | 289 | |
| Government National Mortgage Assoc. | 7.000 | 01/15/23 | 1 | 828 | |
| Government National Mortgage Assoc. | 7.000 | 01/15/23 | 1 | 1,004 | |
| Government National Mortgage Assoc. | 7.000 | 01/15/23 | 1 | 1,212 | |
| Government National Mortgage Assoc. | 7.000 | 01/15/23 | 2 | 2,080 | |
| Government National Mortgage Assoc. | 7.000 | 03/15/23 | 1 | 1,199 | |
| Government National Mortgage Assoc. | 7.000 | 03/15/23 | 2 | 2,082 | |
| Government National Mortgage Assoc. | 7.000 | 04/15/23 | 1 | 727 | |
| Government National Mortgage Assoc. | 7.000 | 04/15/23 | 2 | 1,989 | |
| Government National Mortgage Assoc. | 7.000 | 05/15/23 | —(r) | 73 | |
| Government National Mortgage Assoc. | 7.000 | 05/15/23 | —(r) | 197 | |
| Government National Mortgage Assoc. | 7.000 | 05/15/23 | —(r) | 335 | |
| Government National Mortgage Assoc. | 7.000 | 05/15/23 | —(r) | 373 | |
| Government National Mortgage Assoc. | 7.000 | 05/15/23 | —(r) | 435 | |
| Government National Mortgage Assoc. | 7.000 | 05/15/23 | 1 | 509 | |
| Government National Mortgage Assoc. | 7.000 | 05/15/23 | 1 | 905 | |
| Government National Mortgage Assoc. | 7.000 | 05/15/23 | 4 | 3,772 | |
| Government National Mortgage Assoc. | 7.000 | 05/15/23 | 5 | 5,327 | |
| Government National Mortgage Assoc. | 7.000 | 05/15/23 | 6 | 5,540 | |
| Government National Mortgage Assoc. | 7.000 | 06/15/23 | —(r) | 90 | |
| Government National Mortgage Assoc. | 7.000 | 06/15/23 | —(r) | 229 | |
| Government National Mortgage Assoc. | 7.000 | 06/15/23 | —(r) | 399 | |
| Government National Mortgage Assoc. | 7.000 | 06/15/23 | 1 | 713 | |
| Government National Mortgage Assoc. | 7.000 | 06/15/23 | 1 | 1,083 | |
| Government National Mortgage Assoc. | 7.000 | 06/15/23 | 1 | 1,290 | |
| Government National Mortgage Assoc. | 7.000 | 06/15/23 | 2 | 2,434 | |
| Government National Mortgage Assoc. | 7.000 | 07/15/23 | —(r) | 148 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| U.S. Government Agency Obligations (Continued) | |||||
| Government National Mortgage Assoc. | 7.000 % | 07/15/23 | —(r) | $176 | |
| Government National Mortgage Assoc. | 7.000 | 07/15/23 | —(r) | 313 | |
| Government National Mortgage Assoc. | 7.000 | 07/15/23 | —(r) | 316 | |
| Government National Mortgage Assoc. | 7.000 | 07/15/23 | —(r) | 343 | |
| Government National Mortgage Assoc. | 7.000 | 07/15/23 | 1 | 707 | |
| Government National Mortgage Assoc. | 7.000 | 07/15/23 | 1 | 871 | |
| Government National Mortgage Assoc. | 7.000 | 07/15/23 | 1 | 913 | |
| Government National Mortgage Assoc. | 7.000 | 07/15/23 | 1 | 1,169 | |
| Government National Mortgage Assoc. | 7.000 | 07/15/23 | 2 | 2,413 | |
| Government National Mortgage Assoc. | 7.000 | 07/15/23 | 11 | 10,743 | |
| Government National Mortgage Assoc. | 7.000 | 08/15/23 | —(r) | 74 | |
| Government National Mortgage Assoc. | 7.000 | 08/15/23 | —(r) | 219 | |
| Government National Mortgage Assoc. | 7.000 | 08/15/23 | —(r) | 294 | |
| Government National Mortgage Assoc. | 7.000 | 08/15/23 | —(r) | 348 | |
| Government National Mortgage Assoc. | 7.000 | 08/15/23 | —(r) | 389 | |
| Government National Mortgage Assoc. | 7.000 | 08/15/23 | 1 | 679 | |
| Government National Mortgage Assoc. | 7.000 | 08/15/23 | 1 | 992 | |
| Government National Mortgage Assoc. | 7.000 | 08/15/23 | 1 | 1,148 | |
| Government National Mortgage Assoc. | 7.000 | 08/15/23 | 1 | 1,173 | |
| Government National Mortgage Assoc. | 7.000 | 08/15/23 | 2 | 1,615 | |
| Government National Mortgage Assoc. | 7.000 | 08/15/23 | 2 | 2,029 | |
| Government National Mortgage Assoc. | 7.000 | 08/15/23 | 2 | 2,105 | |
| Government National Mortgage Assoc. | 7.000 | 08/15/23 | 2 | 2,334 | |
| Government National Mortgage Assoc. | 7.000 | 08/15/23 | 2 | 2,348 | |
| Government National Mortgage Assoc. | 7.000 | 08/15/23 | 4 | 3,644 | |
| Government National Mortgage Assoc. | 7.000 | 08/15/23 | 4 | 4,039 | |
| Government National Mortgage Assoc. | 7.000 | 09/15/23 | —(r) | 401 | |
| Government National Mortgage Assoc. | 7.000 | 09/15/23 | —(r) | 429 | |
| Government National Mortgage Assoc. | 7.000 | 09/15/23 | 1 | 671 | |
| Government National Mortgage Assoc. | 7.000 | 09/15/23 | 1 | 700 | |
| Government National Mortgage Assoc. | 7.000 | 09/15/23 | 1 | 785 | |
| Government National Mortgage Assoc. | 7.000 | 09/15/23 | 5 | 5,415 | |
| Government National Mortgage Assoc. | 7.000 | 09/15/23 | 20 | 20,612 | |
| Government National Mortgage Assoc. | 7.000 | 10/15/23 | —(r) | 119 | |
| Government National Mortgage Assoc. | 7.000 | 10/15/23 | —(r) | 156 | |
| Government National Mortgage Assoc. | 7.000 | 10/15/23 | —(r) | 368 | |
| Government National Mortgage Assoc. | 7.000 | 10/15/23 | —(r) | 417 | |
| Government National Mortgage Assoc. | 7.000 | 10/15/23 | —(r) | 422 | |
| Government National Mortgage Assoc. | 7.000 | 10/15/23 | 1 | 549 | |
| Government National Mortgage Assoc. | 7.000 | 10/15/23 | 1 | 835 | |
| Government National Mortgage Assoc. | 7.000 | 10/15/23 | 1 | 865 | |
| Government National Mortgage Assoc. | 7.000 | 10/15/23 | 1 | 922 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| U.S. Government Agency Obligations (Continued) | |||||
| Government National Mortgage Assoc. | 7.000 % | 10/15/23 | 1 | $974 | |
| Government National Mortgage Assoc. | 7.000 | 10/15/23 | 1 | 993 | |
| Government National Mortgage Assoc. | 7.000 | 10/15/23 | 1 | 1,063 | |
| Government National Mortgage Assoc. | 7.000 | 10/15/23 | 1 | 1,073 | |
| Government National Mortgage Assoc. | 7.000 | 10/15/23 | 1 | 1,119 | |
| Government National Mortgage Assoc. | 7.000 | 10/15/23 | 2 | 1,536 | |
| Government National Mortgage Assoc. | 7.000 | 10/15/23 | 2 | 1,815 | |
| Government National Mortgage Assoc. | 7.000 | 10/15/23 | 2 | 1,838 | |
| Government National Mortgage Assoc. | 7.000 | 10/15/23 | 3 | 2,691 | |
| Government National Mortgage Assoc. | 7.000 | 10/15/23 | 3 | 3,262 | |
| Government National Mortgage Assoc. | 7.000 | 10/15/23 | 5 | 4,661 | |
| Government National Mortgage Assoc. | 7.000 | 10/15/23 | 5 | 4,853 | |
| Government National Mortgage Assoc. | 7.000 | 10/15/23 | 8 | 8,240 | |
| Government National Mortgage Assoc. | 7.000 | 10/15/23 | 9 | 9,469 | |
| Government National Mortgage Assoc. | 7.000 | 10/15/23 | 15 | 15,129 | |
| Government National Mortgage Assoc. | 7.000 | 10/15/23 | 23 | 24,198 | |
| Government National Mortgage Assoc. | 7.000 | 11/15/23 | —(r) | 361 | |
| Government National Mortgage Assoc. | 7.000 | 11/15/23 | 1 | 516 | |
| Government National Mortgage Assoc. | 7.000 | 11/15/23 | 1 | 706 | |
| Government National Mortgage Assoc. | 7.000 | 11/15/23 | 1 | 776 | |
| Government National Mortgage Assoc. | 7.000 | 11/15/23 | 1 | 827 | |
| Government National Mortgage Assoc. | 7.000 | 11/15/23 | 1 | 852 | |
| Government National Mortgage Assoc. | 7.000 | 11/15/23 | 1 | 1,174 | |
| Government National Mortgage Assoc. | 7.000 | 11/15/23 | 1 | 1,257 | |
| Government National Mortgage Assoc. | 7.000 | 11/15/23 | 2 | 2,098 | |
| Government National Mortgage Assoc. | 7.000 | 11/15/23 | 2 | 2,250 | |
| Government National Mortgage Assoc. | 7.000 | 11/15/23 | 3 | 2,951 | |
| Government National Mortgage Assoc. | 7.000 | 11/15/23 | 3 | 2,961 | |
| Government National Mortgage Assoc. | 7.000 | 11/15/23 | 3 | 3,089 | |
| Government National Mortgage Assoc. | 7.000 | 11/15/23 | 3 | 3,395 | |
| Government National Mortgage Assoc. | 7.000 | 11/15/23 | 4 | 4,399 | |
| Government National Mortgage Assoc. | 7.000 | 11/15/23 | 5 | 4,711 | |
| Government National Mortgage Assoc. | 7.000 | 11/15/23 | 9 | 9,733 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | —(r) | 277 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | —(r) | 286 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | —(r) | 329 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | —(r) | 345 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | —(r) | 352 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | 1 | 532 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | 1 | 758 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | 1 | 784 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | 1 | 794 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| U.S. Government Agency Obligations (Continued) | |||||
| Government National Mortgage Assoc. | 7.000 % | 12/15/23 | 1 | $1,004 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | 1 | 1,155 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | 1 | 1,181 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | 1 | 1,224 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | 2 | 1,701 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | 2 | 1,849 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | 2 | 1,922 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | 2 | 2,103 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | 2 | 2,381 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | 3 | 2,557 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | 3 | 3,446 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | 3 | 3,553 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | 3 | 3,631 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | 4 | 3,932 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | 4 | 4,573 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | 6 | 5,771 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | 7 | 6,968 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | 8 | 8,627 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | 11 | 11,157 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | 13 | 13,661 | |
| Government National Mortgage Assoc. | 7.000 | 01/15/24 | —(r) | 283 | |
| Government National Mortgage Assoc. | 7.000 | 01/15/24 | 1 | 628 | |
| Government National Mortgage Assoc. | 7.000 | 01/15/24 | 1 | 667 | |
| Government National Mortgage Assoc. | 7.000 | 01/15/24 | 1 | 780 | |
| Government National Mortgage Assoc. | 7.000 | 01/15/24 | 1 | 1,014 | |
| Government National Mortgage Assoc. | 7.000 | 01/15/24 | 1 | 1,145 | |
| Government National Mortgage Assoc. | 7.000 | 01/15/24 | 2 | 1,635 | |
| Government National Mortgage Assoc. | 7.000 | 01/15/24 | 2 | 1,703 | |
| Government National Mortgage Assoc. | 7.000 | 01/15/24 | 2 | 1,965 | |
| Government National Mortgage Assoc. | 7.000 | 01/15/24 | 2 | 2,065 | |
| Government National Mortgage Assoc. | 7.000 | 01/15/24 | 3 | 3,043 | |
| Government National Mortgage Assoc. | 7.000 | 01/15/24 | 5 | 5,487 | |
| Government National Mortgage Assoc. | 7.000 | 02/15/24 | —(r) | 311 | |
| Government National Mortgage Assoc. | 7.000 | 02/15/24 | —(r) | 351 | |
| Government National Mortgage Assoc. | 7.000 | 02/15/24 | 1 | 557 | |
| Government National Mortgage Assoc. | 7.000 | 02/15/24 | 1 | 1,132 | |
| Government National Mortgage Assoc. | 7.000 | 02/15/24 | 1 | 1,280 | |
| Government National Mortgage Assoc. | 7.000 | 02/15/24 | 2 | 1,594 | |
| Government National Mortgage Assoc. | 7.000 | 02/15/24 | 6 | 6,865 | |
| Government National Mortgage Assoc. | 7.000 | 03/15/24 | —(r) | 86 | |
| Government National Mortgage Assoc. | 7.000 | 03/15/24 | —(r) | 377 | |
| Government National Mortgage Assoc. | 7.000 | 03/15/24 | 1 | 813 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| U.S. Government Agency Obligations (Continued) | |||||
| Government National Mortgage Assoc. | 7.000 % | 03/15/24 | 2 | $1,988 | |
| Government National Mortgage Assoc. | 7.000 | 04/15/24 | —(r) | 81 | |
| Government National Mortgage Assoc. | 7.000 | 04/15/24 | —(r) | 270 | |
| Government National Mortgage Assoc. | 7.000 | 04/15/24 | —(r) | 299 | |
| Government National Mortgage Assoc. | 7.000 | 04/15/24 | 1 | 601 | |
| Government National Mortgage Assoc. | 7.000 | 04/15/24 | 1 | 742 | |
| Government National Mortgage Assoc. | 7.000 | 04/15/24 | 1 | 962 | |
| Government National Mortgage Assoc. | 7.000 | 04/15/24 | 1 | 976 | |
| Government National Mortgage Assoc. | 7.000 | 04/15/24 | 1 | 1,230 | |
| Government National Mortgage Assoc. | 7.000 | 04/15/24 | 2 | 1,684 | |
| Government National Mortgage Assoc. | 7.000 | 04/15/24 | 3 | 3,444 | |
| Government National Mortgage Assoc. | 7.000 | 04/15/24 | 5 | 5,195 | |
| Government National Mortgage Assoc. | 7.000 | 04/15/24 | 6 | 5,901 | |
| Government National Mortgage Assoc. | 7.000 | 05/15/24 | —(r) | 172 | |
| Government National Mortgage Assoc. | 7.000 | 05/15/24 | —(r) | 304 | |
| Government National Mortgage Assoc. | 7.000 | 05/15/24 | 1 | 556 | |
| Government National Mortgage Assoc. | 7.000 | 05/15/24 | 1 | 737 | |
| Government National Mortgage Assoc. | 7.000 | 05/15/24 | 1 | 1,221 | |
| Government National Mortgage Assoc. | 7.000 | 05/15/24 | 2 | 1,627 | |
| Government National Mortgage Assoc. | 7.000 | 05/15/24 | 2 | 1,983 | |
| Government National Mortgage Assoc. | 7.000 | 05/15/24 | 2 | 2,391 | |
| Government National Mortgage Assoc. | 7.000 | 05/15/24 | 3 | 3,326 | |
| Government National Mortgage Assoc. | 7.000 | 05/15/24 | 5 | 5,255 | |
| Government National Mortgage Assoc. | 7.000 | 05/15/24 | 7 | 7,570 | |
| Government National Mortgage Assoc. | 7.000 | 06/15/24 | —(r) | 145 | |
| Government National Mortgage Assoc. | 7.000 | 06/15/24 | —(r) | 200 | |
| Government National Mortgage Assoc. | 7.000 | 06/15/24 | —(r) | 293 | |
| Government National Mortgage Assoc. | 7.000 | 06/15/24 | 1 | 565 | |
| Government National Mortgage Assoc. | 7.000 | 06/15/24 | 1 | 975 | |
| Government National Mortgage Assoc. | 7.000 | 06/15/24 | 2 | 2,489 | |
| Government National Mortgage Assoc. | 7.000 | 06/15/24 | 3 | 2,703 | |
| Government National Mortgage Assoc. | 7.000 | 06/15/24 | 3 | 2,932 | |
| Government National Mortgage Assoc. | 7.000 | 06/15/24 | 5 | 5,451 | |
| Government National Mortgage Assoc. | 7.000 | 06/15/24 | 7 | 7,209 | |
| Government National Mortgage Assoc. | 7.000 | 07/15/24 | 1 | 914 | |
| Government National Mortgage Assoc. | 7.000 | 07/15/24 | 2 | 2,100 | |
| Government National Mortgage Assoc. | 7.000 | 10/15/24 | 1 | 1,354 | |
| Government National Mortgage Assoc. | 7.000 | 02/15/29 | 6 | 6,227 | |
| Government National Mortgage Assoc. | 7.500 | 01/15/23 | —(r) | 30 | |
| Government National Mortgage Assoc. | 7.500 | 01/15/23 | —(r) | 163 | |
| Government National Mortgage Assoc. | 7.500 | 03/15/23 | —(r) | 321 | |
| Government National Mortgage Assoc. | 7.500 | 05/15/23 | —(r) | 143 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| U.S. Government Agency Obligations (Continued) | |||||
| Government National Mortgage Assoc. | 7.500 % | 05/15/23 | 3 | $3,403 | |
| Government National Mortgage Assoc. | 7.500 | 06/15/23 | —(r) | 135 | |
| Government National Mortgage Assoc. | 7.500 | 07/15/23 | —(r) | 26 | |
| Government National Mortgage Assoc. | 7.500 | 07/15/23 | —(r) | 152 | |
| Government National Mortgage Assoc. | 7.500 | 09/15/23 | 2 | 1,951 | |
| Government National Mortgage Assoc. | 7.500 | 10/15/23 | 3 | 2,840 | |
| Government National Mortgage Assoc. | 7.500 | 10/15/23 | 6 | 6,805 | |
| Government National Mortgage Assoc. | 7.500 | 11/15/23 | 1 | 554 | |
| Government National Mortgage Assoc. | 7.500 | 11/15/23 | 7 | 7,238 | |
| Government National Mortgage Assoc. | 7.500 | 12/15/23 | 1 | 513 | |
| Government National Mortgage Assoc. | 7.500 | 12/15/23 | 2 | 1,866 | |
| Government National Mortgage Assoc. | 7.500 | 01/15/24 | 1 | 1,061 | |
| Government National Mortgage Assoc. | 7.500 | 01/15/24 | 1 | 1,077 | |
| Government National Mortgage Assoc. | 7.500 | 01/15/24 | 1 | 1,583 | |
| Government National Mortgage Assoc. | 7.500 | 01/15/24 | 7 | 7,484 | |
| Government National Mortgage Assoc. | 7.500 | 01/15/24 | 9 | 9,214 | |
| Government National Mortgage Assoc. | 7.500 | 02/15/24 | 1 | 703 | |
| Government National Mortgage Assoc. | 7.500 | 02/15/24 | 8 | 8,731 | |
| Government National Mortgage Assoc. | 7.500 | 03/15/24 | 2 | 2,475 | |
| Government National Mortgage Assoc. | 7.500 | 04/15/24 | 2 | 2,034 | |
| Government National Mortgage Assoc. | 7.500 | 04/15/24 | 2 | 2,041 | |
| Government National Mortgage Assoc. | 7.500 | 04/15/24 | 5 | 4,929 | |
| Government National Mortgage Assoc. | 7.500 | 05/15/24 | —(r) | 280 | |
| Government National Mortgage Assoc. | 7.500 | 06/15/24 | —(r) | 422 | |
| Government National Mortgage Assoc. | 7.500 | 06/15/24 | 1 | 1,028 | |
| Government National Mortgage Assoc. | 7.500 | 06/15/24 | 3 | 3,176 | |
| Government National Mortgage Assoc. | 7.500 | 06/15/24 | 4 | 4,300 | |
| Government National Mortgage Assoc. | 7.500 | 07/15/24 | 4 | 3,786 | |
| Government National Mortgage Assoc. | 7.500 | 07/15/24 | 8 | 8,283 | |
| Government National Mortgage Assoc. | 8.500 | 04/15/25 | 78 | 87,471 | |
| Government National Mortgage Assoc. | 9.500 | 07/20/21 | —(r) | 9 | |
| Government National Mortgage Assoc. | 9.500 | 08/20/21 | 2 | 1,905 | |
| Israel Government, USAID Bond, U.S. Gov’t. Gtd. Notes | 2.903(s) | 11/15/25 | 900 | 860,000 | |
| Israel Government, USAID Bond, U.S. Gov’t. Gtd. Notes | 2.938(s) | 05/15/26 | 875 | 830,362 | |
| Israel Government, USAID Bond, U.S. Gov’t. Gtd. Notes | 2.975(s) | 02/15/26 | 650 | 627,955 | |
| Israel Government, USAID Bond, U.S. Gov’t. Gtd. Notes | 5.500 | 09/18/33 | 500 | 757,494 | |
| Residual Funding Corp., Strips Principal, Bonds, PO | 2.737(s) | 01/15/30 | 1,540 | 1,353,991 | |
| Residual Funding Corp., Strips Principal, Bonds, PO | 3.114(s) | 04/15/30 | 2,280 | 1,994,769 | |
| Resolution Funding Corp., Strips Interest, Bonds | 1.547(s) | 04/15/28 | 900 | 820,960 | |
| Resolution Funding Corp., Strips Interest, Bonds | 2.046(s) | 01/15/30 | 280 | 243,015 | |
| Resolution Funding Corp., Strips Interest, Bonds | 2.477(s) | 01/15/29 | 500 | 443,569 | |
| Resolution Funding Corp., Strips Interest, Bonds | 3.624(s) | 04/15/30 | 1,000 | 859,106 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| U.S. Government Agency Obligations (Continued) | |||||
| Tennessee Valley Authority, Sr. Unsec’d. Notes | 0.750 % | 05/15/25 | 1,485 | $1,499,513 | |
| Tennessee Valley Authority, Sr. Unsec’d. Notes | 2.875 | 02/01/27 | 335 | 374,394 | |
| Tennessee Valley Authority, Sr. Unsec’d. Notes | 5.880 | 04/01/36 | 170 | 258,730 | |
| Tennessee Valley Authority, Sr. Unsec’d. Notes | 6.750 | 11/01/25 | 1,300 | 1,717,722 | |
| Tennessee Valley Authority, Sr. Unsec’d. Notes | 7.125 | 05/01/30 | 1,170 | 1,808,375 | |
| Total U.S. Government Agency Obligations (cost $259,590,064) | 269,074,637 | ||||
| U.S. Treasury Obligations 46.6% | |||||
| U.S. Treasury Bonds | 1.125 | 05/15/40 | 520 | 514,630 | |
| U.S. Treasury Bonds | 2.000 | 02/15/50 | 1,400 | 1,600,375 | |
| U.S. Treasury Bonds | 2.875 | 05/15/43 | 18,620 | 24,240,913 | |
| U.S. Treasury Bonds | 3.000 | 11/15/44 | 17,825 | 23,807,516 | |
| U.S. Treasury Bonds | 3.000 | 11/15/45 | 12,395 | 16,667,402 | |
| U.S. Treasury Bonds | 3.125 | 02/15/43 | 6,850 | 9,257,133 | |
| U.S. Treasury Bonds | 3.125 | 08/15/44 | 8,300 | 11,291,891 | |
| U.S. Treasury Bonds | 3.375 | 05/15/44 | 12,185 | 17,184,658 | |
| U.S. Treasury Bonds | 3.625 | 08/15/43(k) | 22,440 | 32,671,237 | |
| U.S. Treasury Bonds | 3.625 | 02/15/44 | 815 | 1,190,027 | |
| U.S. Treasury Bonds | 3.750 | 11/15/43 | 38,695 | 57,443,937 | |
| U.S. Treasury Notes | 0.375 | 04/30/25 | 150 | 150,492 | |
| U.S. Treasury Notes | 0.500 | 04/30/27 | 725 | 725,340 | |
| U.S. Treasury Notes | 0.625 | 05/15/30 | 2,770 | 2,762,642 | |
| U.S. Treasury Notes | 1.125 | 02/28/27 | 20,005 | 20,858,130 | |
| U.S. Treasury Notes | 1.250 | 08/31/24 | 1,570 | 1,635,498 | |
| U.S. Treasury Notes | 1.750 | 06/30/24 | 3,085 | 3,272,510 | |
| U.S. Treasury Notes | 2.125 | 08/15/21 | 3,115 | 3,187,156 | |
| U.S. Treasury Notes | 2.250 | 11/15/25 | 40,375 | 44,475,586 | |
| U.S. Treasury Notes | 2.375 | 08/15/24 | 25,305 | 27,536,980 | |
| U.S. Treasury Notes | 3.125 | 11/15/28 | 5,585 | 6,759,595 | |
| U.S. Treasury Strips Coupon | 1.052(s) | 05/15/29 | 10,710 | 10,041,880 | |
| U.S. Treasury Strips Coupon | 1.225(s) | 02/15/41 | 150 | 112,289 | |
| U.S. Treasury Strips Coupon | 1.351(s) | 08/15/43 | 350 | 245,533 | |
| U.S. Treasury Strips Coupon | 1.371(s) | 05/15/42 | 665 | 481,579 | |
| U.S. Treasury Strips Coupon | 1.389(s) | 05/15/43 | 4,550 | 3,219,303 | |
| U.S. Treasury Strips Coupon | 1.394(s) | 11/15/41 | 1,295 | 948,790 | |
| U.S. Treasury Strips Coupon | 1.450(s) | 08/15/42 | 180 | 129,431 | |
| U.S. Treasury Strips Coupon | 1.463(s) | 11/15/42 | 475 | 339,384 | |
| U.S. Treasury Strips Coupon | 1.479(s) | 05/15/24 | 2,215 | 2,186,707 | |
| U.S. Treasury Strips Coupon | 1.872(s) | 05/15/31 | 1,100 | 1,000,098 | |
| U.S. Treasury Strips Coupon | 1.889(s) | 08/15/29 | 1,100 | 1,026,781 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| U.S. Treasury Obligations (Continued) | |||||
| U.S. Treasury Strips Coupon | 1.982 %(s) | 08/15/39 | 2,050 | $1,585,947 | |
| U.S. Treasury Strips Coupon | 2.010(s) | 08/15/30 | 1,585 | 1,457,705 | |
| U.S. Treasury Strips Coupon | 2.056(s) | 11/15/38 | 590 | 465,040 | |
| U.S. Treasury Strips Coupon | 2.058(s) | 02/15/39(k) | 2,755 | 2,158,370 | |
| U.S. Treasury Strips Coupon | 2.089(s) | 11/15/35 | 1,525 | 1,282,370 | |
| U.S. Treasury Strips Coupon | 2.172(s) | 02/15/28 | 695 | 661,417 | |
| U.S. Treasury Strips Coupon | 2.208(s) | 05/15/39 | 1,505 | 1,171,666 | |
| U.S. Treasury Strips Coupon | 2.228(s) | 05/15/28 | 345 | 327,575 | |
| U.S. Treasury Strips Coupon | 2.251(s) | 08/15/40 | 2,200 | 1,666,758 | |
| U.S. Treasury Strips Coupon | 2.267(s) | 02/15/29 | 305 | 286,414 | |
| U.S. Treasury Strips Coupon | 2.334(s) | 08/15/41 | 2,485 | 1,819,098 | |
| U.S. Treasury Strips Coupon | 2.353(s) | 02/15/44 | 620 | 429,883 | |
| U.S. Treasury Strips Coupon | 2.365(s) | 05/15/44 | 2,275 | 1,568,150 | |
| U.S. Treasury Strips Coupon | 2.365(s) | 11/15/44 | 7,750 | 5,302,998 | |
| U.S. Treasury Strips Coupon | 2.380(s) | 05/15/41 | 3,445 | 2,561,277 | |
| U.S. Treasury Strips Coupon | 2.394(s) | 11/15/43 | 13,768 | 9,606,407 | |
| U.S. Treasury Strips Coupon | 2.418(s) | 08/15/35 | 25 | 21,111 | |
| U.S. Treasury Strips Coupon | 2.434(s) | 11/15/45 | 590 | 395,577 | |
| U.S. Treasury Strips Coupon | 2.436(s) | 02/15/46 | 665 | 444,043 | |
| U.S. Treasury Strips Coupon | 2.484(s) | 02/15/22(k) | 1,675 | 1,670,158 | |
| U.S. Treasury Strips Coupon | 3.117(s) | 08/15/27 | 920 | 880,145 | |
| Total U.S. Treasury Obligations (cost $342,960,639) | 362,727,532 | ||||
| Total Long-Term Investments (cost $723,181,491) | 762,362,858 | ||||
| Description | Shares | Value | |||
| Short-Term Investments 6.5% | |||||
| Affiliated Mutual Fund 6.4% | |||||
| PGIM Core Ultra Short Bond Fund (cost $50,071,696)(w) | 50,071,696 | $50,071,696 | |||
| Options Purchased*~ 0.1% | |||||
| (cost $12,443) | 685,388 | ||||
| TOTAL SHORT-TERM INVESTMENTS (cost $50,084,139) | 50,757,084 | ||||
| TOTAL INVESTMENTS 104.4% (cost $773,265,630) | 813,119,942 | ||||
| Liabilities in excess of other assets(z) (4.4)% | (34,047,908) | ||||
| Net Assets 100.0% | $779,072,034 | ||||
| Below is a list of the abbreviation(s) used in the quarterly schedule of portfolio holdings: |
| 144A—Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, pursuant to the requirements of Rule 144A, may not be resold except to qualified institutional buyers. | |
| A—Annual payment frequency for swaps | |
| Aces—Alternative Credit Enhancements Securities | |
| CLO—Collateralized Loan Obligation | |
| CMS—Constant Maturity Swap | |
| FHLMC—Federal Home Loan Mortgage Corporation | |
| IO—Interest Only (Principal amount represents notional) | |
| LIBOR—London Interbank Offered Rate | |
| MTN—Medium Term Note | |
| PO—Principal Only | |
| Q—Quarterly payment frequency for swaps | |
| S—Semiannual payment frequency for swaps | |
| Strips—Separate Trading of Registered Interest and Principal of Securities | |
| TBA—To Be Announced | |
| USAID—United States Agency for International Development | |
| USOIS—United States Overnight Index Swap |
| * | Non-income producing security. |
| # | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
| ~ | See tables subsequent to the Schedule of Investments for options detail. |
| (c) | Variable rate instrument. The interest rate shown reflects the rate in effect at May 31, 2020. |
| (cc) | Variable rate instrument. The rate shown is based on the latest available information as of May 31, 2020. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
| (k) | Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
| (r) | Principal or notional amount is less than $500 par. |
| (s) | Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date. |
| (w) | PGIM Investments LLC, the manager of the Fund, also serves as manager of the PGIM Core Ultra Short Bond Fund. |
| (z) | Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
| OTC Traded | ||||||||||||||||
| Description | Call/ Put | Counterparty | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | |||||||||
| 2-Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 07/12/21 | 0.11% | — | 2,178 | $47,313 | |||||||||
| 2-Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 07/13/21 | 0.11% | — | 2,118 | 46,213 | |||||||||
| 2-Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 08/16/21 | 0.15% | — | 5,296 | 108,670 | |||||||||
| 2-Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 08/20/21 | 0.15% | — | 10,512 | 216,465 | |||||||||
| 2-Year 10 CMS Curve CAP | Call | Bank of America, N.A. | 09/13/21 | 0.14% | — | 10,660 | 226,428 | |||||||||
| 2-Year 10 CMS Curve CAP | Call | Barclays Bank PLC | 11/09/21 | 0.21% | — | 2,118 | 40,299 | |||||||||
| Total Options Purchased (cost $12,443) | $685,388 | |||||||||||||||
| Futures contracts outstanding at May 31, 2020: | ||||||||
| Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||
| Long Positions: | ||||||||
| 463 | 5 Year U.S. Treasury Notes | Sep. 2020 | $58,164,375 | $58,804 | ||||
| 34 | 10 Year U.S. Treasury Notes | Sep. 2020 | 4,728,125 | 25,248 | ||||
| 84,052 | ||||||||
| Short Positions: | ||||||||
| 6 | 2 Year U.S. Treasury Notes | Sep. 2020 | 1,325,063 | (402) | ||||
| 556 | 20 Year U.S. Treasury Bonds | Sep. 2020 | 99,176,500 | (299,062) | ||||
| 337 | 30 Year U.S. Ultra Treasury Bonds | Sep. 2020 | 73,476,531 | 356,355 | ||||
| 56,891 | ||||||||
| $140,943 | ||||||||
| Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at May 31, 2020 | Unrealized Appreciaton (Depreciation) | ||||||||
| Centrally Cleared Interest Rate Swap Agreements: | ||||||||||||||
| 6,243 | 03/31/21 | 2.173%(A) | 1 Day USOIS(2)(A) | $(2,294) | $136,252 | $138,546 | ||||||||
| 40,886 | 06/15/21 | 1.830%(S) | 3 Month LIBOR(2)(Q) | — | 931,752 | 931,752 | ||||||||
| 34,954 | 09/15/21 | 1.381%(S) | 3 Month LIBOR(2)(Q) | (71,869) | 542,913 | 614,782 | ||||||||
| 22,925 | 09/15/21 | 1.480%(S) | 3 Month LIBOR(2)(Q) | 21,841 | 384,918 | 363,077 | ||||||||
| 43,040 | 09/15/21 | 1.604%(S) | 3 Month LIBOR(2)(Q) | 72,391 | 740,200 | 667,809 | ||||||||
| Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at May 31, 2020 | Unrealized Appreciaton (Depreciation) | ||||||||
| Centrally Cleared Interest Rate Swap Agreements (cont’d.): | ||||||||||||||
| 1,534 | 11/15/45 | 0.508%(A) | 1 Day USOIS(1)(A) | $35,756 | $57,962 | $22,206 | ||||||||
| 345 | 11/15/45 | 1.044%(A) | 1 Day USOIS(1)(A) | — | (31,231) | (31,231) | ||||||||
| 1,360 | 08/09/49 | 1.508%(A) | 1 Day USOIS(1)(A) | — | (310,889) | (310,889) | ||||||||
| 1,824 | 03/30/50 | 0.855%(S) | 3 Month LIBOR(1)(Q) | — | 43,244 | 43,244 | ||||||||
| $55,825 | $2,495,121 | $2,439,296 | ||||||||||||
| (1) | The Fund pays the fixed rate and receives the floating rate. |
| (2) | The Fund pays the floating rate and receives the fixed rate. |