| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Long-Term Investments 100.0% | |||||
| Asset-Backed Securities 6.1% | |||||
| 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%) | 1.608 %(c) | 04/20/32 | 2,000 | $1,997,017 | |
| Series 2020-04A, Class A, 144A, 3 Month LIBOR + 2.210% (Cap N/A, Floor 2.210%) | 2.428(c) | 04/20/28 | 6,000 | 6,022,901 | |
| Atlas Senior Loan Fund Ltd. (Cayman Islands), Series 2014-01A, Class AR2, 144A, 3 Month LIBOR + 1.260% (Cap N/A, Floor 0.000%) | 1.490(c) | 07/16/29 | 3,450 | 3,418,865 | |
| Battalion CLO Ltd., | |||||
| Series 2018-12A, Class A2R, 144A, 3 Month LIBOR + 1.450% (Cap N/A, Floor 1.450%) | 1.673(c) | 05/17/31 | 4,500 | 4,506,660 | |
| Series 2020-15A, Class A1, 144A, 3 Month LIBOR + 1.350% (Cap N/A, Floor 1.350%) | 1.568(c) | 01/17/33 | 2,250 | 2,244,040 | |
| Canyon CLO Ltd. (Cayman Islands), Series 2020-01A, Class A, 144A, 3 Month LIBOR + 1.920% (Cap N/A, Floor 1.920%) | 2.157(c) | 07/15/28 | 3,700 | 3,720,867 | |
| Greywolf CLO Ltd. (Cayman Islands), Series 2018-02A, Class A1, 144A, 3 Month LIBOR + 1.180% (Cap N/A, Floor 1.180%) | 1.398(c) | 10/20/31 | 4,500 | 4,471,708 | |
| ICG US CLO Ltd. (Cayman Islands), Series 2019-01A, Class A1A, 144A, 3 Month LIBOR + 1.380% (Cap N/A, Floor 1.380%) | 1.595(c) | 10/26/32 | 4,000 | 3,981,988 | |
| KKR CLO Ltd. (Cayman Islands), Series 30A, Class A1, 144A, 3 Month LIBOR + 1.500% (Cap N/A, Floor 1.500%) | 1.736(c) | 10/17/31 | 4,000 | 4,005,909 | |
| Octagon Investment Partners 45 Ltd. (Cayman Islands), Series 2019-01A, Class A, 144A, 3 Month LIBOR + 1.330% (Cap N/A, Floor 1.330%) | 1.567(c) | 10/15/32 | 6,000 | 5,993,913 | |
| Race Point CLO Ltd. (Cayman Islands), Series 2015-09A, Class A1AR, 144A, 3 Month LIBOR + 1.210% (Cap N/A, Floor 0.000%) | 1.447(c) | 10/15/30 | 1,989 | 1,985,319 | |
| Trimaran Cavu Ltd. (Cayman Islands), Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.460% (Cap N/A, Floor 1.460%) | 1.678(c) | 07/20/32 | 4,000 | 3,994,044 | |
| Wellfleet CLO Ltd. (Cayman Islands), | |||||
| Series 2015-01A, Class AR3, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 1.280%) | 1.498(c) | 07/20/29 | 1,972 | 1,951,874 | |
| Series 2017-02A, Class A1R, 144A, 3 Month LIBOR + 1.060% (Cap N/A, Floor 0.000%) | 1.278(c) | 10/20/29 | 3,500 | 3,475,467 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Asset-Backed Securities (Continued) | |||||
| Collateralized Loan Obligations (cont’d.) | |||||
| York CLO Ltd. (Cayman Islands), Series 2020-01A, Class A1, 144A, 3 Month LIBOR + 1.500% (Cap N/A, Floor 1.500%) | 1.669 %(c) | 04/20/32 | 1,500 | $1,500,298 | |
| Total Asset-Backed Securities (cost $51,655,449) | 53,270,870 | ||||
| Commercial Mortgage-Backed Securities 10.5% | |||||
| BANK, Series 2017-BNK05, Class A3 | 3.020 | 06/15/60 | 3,600 | 3,840,312 | |
| Barclays Commercial Mortgage Securities Trust, Series 2020-C07, Class A4 | 1.786 | 04/15/53 | 4,000 | 4,081,503 | |
| Barclays Commercial Mortgage Trust, Series 2019-C04, Class A4 | 2.661 | 08/15/52 | 6,000 | 6,500,584 | |
| CD Mortgage Trust, Series 2019-CD08, Class A3 | 2.657 | 08/15/57 | 6,000 | 6,354,464 | |
| Fannie Mae-Aces, | |||||
| Series 2012-M02, Class A2 | 2.717 | 02/25/22 | 105 | 106,621 | |
| Series 2018-M14, Class A1 | 3.697(cc) | 08/25/28 | 1,502 | 1,682,654 | |
| Series 2019-M01, Class A2 | 3.673(cc) | 09/25/28 | 2,000 | 2,344,950 | |
| FHLMC Multifamily Structured Pass-Through Certificates, | |||||
| Series K0019, Class X1, IO | 1.724(cc) | 03/25/22 | 22,004 | 361,257 | |
| Series K0020, Class X1, IO | 1.489(cc) | 05/25/22 | 12,882 | 203,572 | |
| Series K0021, Class X1, IO | 1.539(cc) | 06/25/22 | 14,369 | 229,226 | |
| Series K0025, Class X1, IO | 0.926(cc) | 10/25/22 | 36,433 | 440,133 | |
| Series K0060, Class AM | 3.300(cc) | 10/25/26 | 3,860 | 4,380,796 | |
| Series K0064, Class AM | 3.327(cc) | 03/25/27 | 2,100 | 2,394,751 | |
| Series K0068, Class AM | 3.315 | 08/25/27 | 3,200 | 3,659,774 | |
| Series K0076, Class AM | 3.900 | 04/25/28 | 750 | 887,257 | |
| Series K0077, Class AM | 3.850(cc) | 05/25/28 | 310 | 369,552 | |
| Series K0078, Class AM | 3.920 | 06/25/28 | 925 | 1,101,882 | |
| Series K0079, Class AM | 3.930 | 06/25/28 | 1,225 | 1,460,184 | |
| Series K0080, Class AM | 3.986(cc) | 07/25/28 | 3,300 | 3,957,000 | |
| Series K0081, Class AM | 3.900(cc) | 08/25/28 | 2,600 | 3,092,417 | |
| Series K0083, Class AM | 4.030(cc) | 10/25/28 | 450 | 540,496 | |
| Series K0084, Class AM | 3.880(cc) | 10/25/28 | 2,200 | 2,585,405 | |
| Series K0085, Class AM | 4.060(cc) | 10/25/28 | 1,100 | 1,329,044 | |
| Series K0086, Class A2 | 3.859(cc) | 11/25/28 | 2,500 | 2,986,265 | |
| Series K0086, Class AM | 3.919(cc) | 12/25/28 | 350 | 418,257 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Commercial Mortgage-Backed Securities (Continued) | |||||
| FHLMC Multifamily Structured Pass-Through Certificates, (cont’d.) | |||||
| Series K0087, Class AM | 3.832 %(cc) | 12/25/28 | 400 | $473,947 | |
| Series K0088, Class AM | 3.761(cc) | 01/25/29 | 880 | 1,043,446 | |
| Series K0090, Class AM | 3.492(cc) | 03/25/29 | 1,450 | 1,704,318 | |
| Series K0091, Class AM | 3.566 | 03/25/29 | 1,650 | 1,943,529 | |
| Series K0151, Class A3 | 3.511 | 04/25/30 | 900 | 1,053,809 | |
| Series K0152, Class A2 | 3.080 | 01/25/31 | 375 | 428,311 | |
| Series K0157, Class A2 | 3.990(cc) | 05/25/33 | 2,900 | 3,551,559 | |
| Series K0157, Class A3 | 3.990(cc) | 08/25/33 | 755 | 932,896 | |
| Series K0158, Class A2 | 3.900(cc) | 12/25/30 | 1,275 | 1,563,670 | |
| Series K1513, Class A3 | 2.797 | 08/25/34 | 6,500 | 7,298,526 | |
| Series K1514, Class A2 | 2.859 | 10/25/34 | 5,217 | 5,991,729 | |
| Series KC03, Class A2 | 3.499 | 01/25/26 | 1,100 | 1,203,709 | |
| Series W5FX, Class AFX | 3.336(cc) | 04/25/28 | 1,970 | 2,211,371 | |
| JPMBB Commercial Mortgage Securities Trust, Series 2016-C01, Class A3 | 3.515 | 03/15/49 | 2,500 | 2,598,650 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C09, Class A3 | 2.834 | 05/15/46 | 878 | 910,581 | |
| Wells Fargo Commercial Mortgage Trust, Series 2015-LC22, Class A3 | 3.572 | 09/15/58 | 2,220 | 2,457,431 | |
| Total Commercial Mortgage-Backed Securities (cost $82,402,501) | 90,675,838 | ||||
| Corporate Bonds 0.7% | |||||
| Diversified Financial Services | |||||
| Private Export Funding Corp., | |||||
| Sr. Unsec’d. Notes, 144A | 2.650 | 02/16/21 | 2,510 | 2,522,247 | |
| U.S. Gov’t. Gtd. Notes, Series BB | 4.300 | 12/15/21 | 1,210 | 1,258,757 | |
| U.S. Gov’t. Gtd. Notes, Series KK | 3.550 | 01/15/24 | 2,085 | 2,270,809 | |
| Total Corporate Bonds (cost $5,897,951) | 6,051,813 | ||||
| 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%) | 0.770(c) | 10/25/28 | 34 | 33,817 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| Residential Mortgage-Backed Securities (Continued) | |||||
| Structured Adjustable Rate Mortgage Loan Trust, Series 2004-01, Class 4A3 | 3.136 %(cc) | 02/25/34 | 152 | $150,961 | |
| Total Residential Mortgage-Backed Securities (cost $186,941) | 184,778 | ||||
| U.S. Government Agency Obligations 44.1% | |||||
| Fannie Mae Principal Strips, MTN | 2.001(s) | 10/08/27 | 530 | 496,296 | |
| Federal Home Loan Bank | 3.250 | 11/16/28 | 1,800 | 2,143,113 | |
| Federal Home Loan Mortgage Corp. | 2.000 | 01/01/32 | 355 | 371,856 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 05/01/23 | 91 | 94,579 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 12/01/23 | 140 | 145,747 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 02/01/28 | 1,421 | 1,491,472 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 05/01/28 | 1,005 | 1,047,791 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 05/01/28 | 1,234 | 1,287,244 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 03/01/30 | 776 | 822,755 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 09/01/31 | 513 | 535,292 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 10/01/32 | 601 | 637,613 | |
| Federal Home Loan Mortgage Corp. | 2.500 | 11/01/46 | 1,824 | 1,940,737 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 10/01/28 | 143 | 153,055 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 06/01/29 | 416 | 442,369 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 12/01/30 | 488 | 519,611 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 01/01/37 | 948 | 995,952 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 01/01/40 | 4,933 | 5,160,496 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 04/01/43 | 1,226 | 1,307,784 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 07/01/43 | 1,459 | 1,549,798 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 10/01/46 | 649 | 679,935 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 11/01/46 | 590 | 618,069 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 12/01/46 | 561 | 589,714 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 01/01/47 | 1,215 | 1,275,613 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 03/01/47 | 409 | 428,551 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 12/01/49 | 666 | 696,480 | |
| Federal Home Loan Mortgage Corp. | 3.000 | 06/01/50 | 1,296 | 1,354,676 | |
| Federal Home Loan Mortgage Corp. | 3.500 | 08/01/26 | 220 | 232,751 | |
| Federal Home Loan Mortgage Corp. | 3.500 | 01/01/27 | 123 | 130,333 | |
| Federal Home Loan Mortgage Corp. | 3.500 | 11/01/28 | 875 | 949,339 | |
| Federal Home Loan Mortgage Corp. | 3.500 | 11/01/37 | 438 | 465,077 | |
| Federal Home Loan Mortgage Corp. | 3.500 | 06/01/42 | 1,070 | 1,151,743 | |
| Federal Home Loan Mortgage Corp. | 3.500 | 06/01/43 | 823 | 889,313 | |
| Federal Home Loan Mortgage Corp. | 3.500 | 07/01/43 | 2,066 | 2,241,145 | |
| Federal Home Loan Mortgage Corp. | 3.500 | 07/01/47 | 3,501 | 3,721,052 | |
| Federal Home Loan Mortgage Corp. | 3.500 | 08/01/47 | 2,674 | 2,833,248 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| U.S. Government Agency Obligations (Continued) | |||||
| Federal Home Loan Mortgage Corp. | 3.500 % | 10/01/47 | 233 | $247,288 | |
| Federal Home Loan Mortgage Corp. | 4.000 | 06/01/26 | 63 | 67,389 | |
| Federal Home Loan Mortgage Corp. | 4.000 | 09/01/26 | 184 | 195,836 | |
| Federal Home Loan Mortgage Corp. | 4.000 | 11/01/39 | 797 | 874,822 | |
| Federal Home Loan Mortgage Corp. | 4.000 | 09/01/40 | 494 | 538,831 | |
| Federal Home Loan Mortgage Corp. | 4.000 | 12/01/40 | 299 | 328,842 | |
| Federal Home Loan Mortgage Corp. | 4.000 | 12/01/40 | 407 | 445,340 | |
| Federal Home Loan Mortgage Corp. | 4.000 | 04/01/42 | 697 | 766,401 | |
| Federal Home Loan Mortgage Corp. | 4.000 | 04/01/42 | 767 | 835,907 | |
| Federal Home Loan Mortgage Corp. | 4.000 | 05/01/46 | 1,160 | 1,256,864 | |
| Federal Home Loan Mortgage Corp. | 4.000 | 08/01/46 | 307 | 334,994 | |
| Federal Home Loan Mortgage Corp. | 4.000 | 12/01/46 | 261 | 282,674 | |
| Federal Home Loan Mortgage Corp. | 4.000 | 07/01/47 | 677 | 727,633 | |
| Federal Home Loan Mortgage Corp. | 4.000 | 08/01/47 | 255 | 272,831 | |
| Federal Home Loan Mortgage Corp. | 4.000 | 08/01/47 | 701 | 752,253 | |
| Federal Home Loan Mortgage Corp. | 4.000 | 06/01/48 | 186 | 198,750 | |
| Federal Home Loan Mortgage Corp. | 4.000 | 11/01/48 | 372 | 396,289 | |
| Federal Home Loan Mortgage Corp. | 4.500 | 09/01/39 | 1,107 | 1,241,022 | |
| Federal Home Loan Mortgage Corp. | 4.500 | 07/01/47 | 230 | 250,330 | |
| Federal Home Loan Mortgage Corp. | 4.500 | 07/01/47 | 248 | 272,298 | |
| Federal Home Loan Mortgage Corp. | 4.500 | 08/01/47 | 807 | 882,396 | |
| Federal Home Loan Mortgage Corp. | 5.000 | 06/01/33 | 602 | 692,108 | |
| Federal Home Loan Mortgage Corp. | 5.000 | 03/01/34 | 66 | 76,653 | |
| Federal Home Loan Mortgage Corp. | 5.000 | 05/01/34 | 51 | 59,637 | |
| Federal Home Loan Mortgage Corp. | 5.000 | 05/01/34 | 598 | 688,557 | |
| Federal Home Loan Mortgage Corp. | 5.000 | 02/01/48 | 268 | 299,307 | |
| Federal Home Loan Mortgage Corp. | 5.500 | 05/01/37 | 81 | 95,999 | |
| Federal Home Loan Mortgage Corp. | 5.500 | 01/01/38 | 70 | 82,542 | |
| Federal Home Loan Mortgage Corp. | 6.000 | 12/01/33 | 37 | 43,575 | |
| Federal Home Loan Mortgage Corp. | 6.000 | 09/01/34 | 135 | 151,579 | |
| Federal Home Loan Mortgage Corp. | 6.250 | 07/15/32 | 40 | 61,985 | |
| Federal Home Loan Mortgage Corp. | 6.500 | 09/01/32 | 38 | 43,387 | |
| Federal Home Loan Mortgage Corp. | 6.500 | 09/01/32 | 108 | 122,894 | |
| Federal Home Loan Mortgage Corp. | 6.750 | 09/15/29 | 100 | 149,259 | |
| Federal Home Loan Mortgage Corp. | 7.000 | 09/01/32 | 28 | 29,299 | |
| Federal Home Loan Mortgage Corp. | 8.000 | 08/01/22 | 1 | 1,237 | |
| Federal Home Loan Mortgage Corp., MTN | (2.451)(s) | 11/15/38 | 2,500 | 1,780,564 | |
| Federal National Mortgage Assoc. | 0.875 | 08/05/30 | 970 | 950,042 | |
| Federal National Mortgage Assoc. | 2.000 | TBA | 7,000 | 7,258,294 | |
| Federal National Mortgage Assoc. | 2.000 | TBA | 60,000 | 62,330,127 | |
| Federal National Mortgage Assoc. | 2.000 | 08/01/31 | 434 | 454,001 | |
| Federal National Mortgage Assoc. | 2.000 | 10/01/34 | 945 | 983,533 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| U.S. Government Agency Obligations (Continued) | |||||
| Federal National Mortgage Assoc. | 2.500 % | TBA(tt) | 3,500 | $3,667,233 | |
| Federal National Mortgage Assoc. | 2.500 | 06/01/28 | 457 | 476,890 | |
| Federal National Mortgage Assoc. | 2.500 | 08/01/28 | 469 | 488,391 | |
| Federal National Mortgage Assoc. | 2.500 | 11/01/28 | 1,055 | 1,099,820 | |
| Federal National Mortgage Assoc. | 2.500 | 08/01/29 | 100 | 104,789 | |
| Federal National Mortgage Assoc. | 2.500 | 08/01/31 | 479 | 499,262 | |
| Federal National Mortgage Assoc. | 2.500 | 11/01/31 | 296 | 312,479 | |
| Federal National Mortgage Assoc. | 2.500 | 04/01/35 | 2,500 | 2,598,546 | |
| Federal National Mortgage Assoc. | 2.500 | 02/01/43 | 230 | 244,581 | |
| Federal National Mortgage Assoc. | 2.500 | 12/01/46 | 1,089 | 1,158,815 | |
| Federal National Mortgage Assoc. | 2.500 | 03/01/50 | 457 | 479,085 | |
| Federal National Mortgage Assoc. | 2.500 | 05/01/50 | 1,763 | 1,848,911 | |
| Federal National Mortgage Assoc. | 2.500 | 06/01/50 | 969 | 1,016,496 | |
| Federal National Mortgage Assoc. | 2.500 | 08/01/50 | 638 | 669,714 | |
| Federal National Mortgage Assoc. | 2.500 | 09/01/50 | 6,872 | 7,207,721 | |
| Federal National Mortgage Assoc. | 2.500 | 10/01/50 | 13,562 | 14,225,636 | |
| Federal National Mortgage Assoc. | 3.000 | TBA | 20,000 | 20,905,859 | |
| Federal National Mortgage Assoc. | 3.000 | 01/01/27 | 405 | 429,229 | |
| Federal National Mortgage Assoc. | 3.000 | 08/01/28 | 815 | 853,712 | |
| Federal National Mortgage Assoc. | 3.000 | 02/01/31 | 751 | 785,757 | |
| Federal National Mortgage Assoc. | 3.000 | 11/01/36 | 379 | 395,423 | |
| Federal National Mortgage Assoc. | 3.000 | 11/01/39 | 500 | 522,299 | |
| Federal National Mortgage Assoc. | 3.000 | 12/01/42 | 1,169 | 1,243,378 | |
| Federal National Mortgage Assoc. | 3.000 | 02/01/43 | 593 | 629,807 | |
| Federal National Mortgage Assoc. | 3.000 | 03/01/43 | 360 | 390,680 | |
| Federal National Mortgage Assoc. | 3.000 | 04/01/43 | 568 | 610,213 | |
| Federal National Mortgage Assoc. | 3.000 | 06/01/43 | 293 | 311,358 | |
| Federal National Mortgage Assoc. | 3.000 | 06/01/43 | 603 | 637,983 | |
| Federal National Mortgage Assoc. | 3.000 | 07/01/43 | 1,855 | 1,971,458 | |
| Federal National Mortgage Assoc. | 3.000 | 09/01/46 | 2,001 | 2,090,684 | |
| Federal National Mortgage Assoc. | 3.000 | 11/01/46 | 2,111 | 2,206,463 | |
| Federal National Mortgage Assoc. | 3.000 | 11/01/46 | 2,250 | 2,367,733 | |
| Federal National Mortgage Assoc. | 3.000 | 01/01/47 | 271 | 283,953 | |
| Federal National Mortgage Assoc. | 3.000 | 04/01/47 | 4,456 | 4,667,556 | |
| Federal National Mortgage Assoc. | 3.000 | 12/01/49 | 858 | 905,241 | |
| Federal National Mortgage Assoc. | 3.000 | 01/01/50 | 2,000 | 2,091,872 | |
| Federal National Mortgage Assoc. | 3.000 | 06/01/50 | 1,945 | 2,033,317 | |
| Federal National Mortgage Assoc. | 3.500 | 09/01/26 | 131 | 139,003 | |
| Federal National Mortgage Assoc. | 3.500 | 03/01/27 | 298 | 318,688 | |
| Federal National Mortgage Assoc. | 3.500 | 12/01/30 | 72 | 76,613 | |
| Federal National Mortgage Assoc. | 3.500 | 11/01/32 | 2,425 | 2,587,698 | |
| Federal National Mortgage Assoc. | 3.500 | 02/01/33 | 131 | 139,570 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| U.S. Government Agency Obligations (Continued) | |||||
| Federal National Mortgage Assoc. | 3.500 % | 05/01/33 | 259 | $275,046 | |
| Federal National Mortgage Assoc. | 3.500 | 10/01/41 | 1,565 | 1,682,525 | |
| Federal National Mortgage Assoc. | 3.500 | 12/01/41 | 456 | 490,320 | |
| Federal National Mortgage Assoc. | 3.500 | 03/01/42 | 487 | 529,020 | |
| Federal National Mortgage Assoc. | 3.500 | 05/01/42 | 2,172 | 2,355,403 | |
| Federal National Mortgage Assoc. | 3.500 | 07/01/42 | 741 | 797,291 | |
| Federal National Mortgage Assoc. | 3.500 | 12/01/42 | 1,284 | 1,393,583 | |
| Federal National Mortgage Assoc. | 3.500 | 03/01/43 | 575 | 623,182 | |
| Federal National Mortgage Assoc. | 3.500 | 06/01/45 | 3,639 | 3,887,409 | |
| Federal National Mortgage Assoc. | 3.500 | 01/01/46 | 1,038 | 1,105,790 | |
| Federal National Mortgage Assoc. | 3.500 | 12/01/46 | 1,653 | 1,765,606 | |
| Federal National Mortgage Assoc. | 3.500 | 11/01/47 | 4,293 | 4,543,117 | |
| Federal National Mortgage Assoc. | 3.500 | 01/01/48 | 1,571 | 1,659,990 | |
| Federal National Mortgage Assoc. | 3.500 | 03/01/48 | 4,168 | 4,404,534 | |
| Federal National Mortgage Assoc. | 3.500 | 04/01/48 | 3,267 | 3,459,826 | |
| Federal National Mortgage Assoc. | 3.500 | 11/01/48 | 2,375 | 2,511,666 | |
| Federal National Mortgage Assoc. | 4.000 | 09/01/40 | 776 | 842,786 | |
| Federal National Mortgage Assoc. | 4.000 | 01/01/41 | 1,097 | 1,198,191 | |
| Federal National Mortgage Assoc. | 4.000 | 09/01/44 | 761 | 827,169 | |
| Federal National Mortgage Assoc. | 4.000 | 06/01/47 | 2,982 | 3,208,033 | |
| Federal National Mortgage Assoc. | 4.000 | 06/01/47 | 3,513 | 3,779,524 | |
| Federal National Mortgage Assoc. | 4.000 | 08/01/47 | 742 | 797,038 | |
| Federal National Mortgage Assoc. | 4.000 | 09/01/47 | 4,146 | 4,452,019 | |
| Federal National Mortgage Assoc. | 4.000 | 10/01/47 | 231 | 247,307 | |
| Federal National Mortgage Assoc. | 4.000 | 10/01/47 | 2,085 | 2,233,795 | |
| Federal National Mortgage Assoc. | 4.000 | 11/01/47 | 2,457 | 2,640,739 | |
| Federal National Mortgage Assoc. | 4.000 | 12/01/47 | 509 | 546,338 | |
| Federal National Mortgage Assoc. | 4.000 | 06/01/48 | 274 | 293,339 | |
| Federal National Mortgage Assoc. | 4.500 | 04/01/41 | 877 | 971,610 | |
| Federal National Mortgage Assoc. | 4.500 | 05/01/41 | 518 | 581,204 | |
| Federal National Mortgage Assoc. | 4.500 | 01/01/45 | 224 | 250,510 | |
| Federal National Mortgage Assoc. | 4.500 | 12/01/47 | 1,879 | 2,040,404 | |
| Federal National Mortgage Assoc. | 4.500 | 06/01/48 | 512 | 557,793 | |
| Federal National Mortgage Assoc. | 4.500 | 10/01/48 | 2,153 | 2,335,669 | |
| Federal National Mortgage Assoc. | 5.000 | 12/01/31 | 61 | 67,739 | |
| Federal National Mortgage Assoc. | 5.000 | 03/01/34 | 279 | 321,333 | |
| Federal National Mortgage Assoc. | 5.000 | 07/01/35 | 109 | 127,037 | |
| Federal National Mortgage Assoc. | 5.000 | 09/01/35 | 63 | 73,159 | |
| Federal National Mortgage Assoc. | 5.000 | 11/01/35 | 77 | 89,208 | |
| Federal National Mortgage Assoc. | 5.000 | 05/01/36 | 42 | 49,289 | |
| Federal National Mortgage Assoc. | 5.500 | 02/01/34 | 291 | 343,146 | |
| Federal National Mortgage Assoc. | 5.500 | 09/01/34 | 511 | 605,709 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| U.S. Government Agency Obligations (Continued) | |||||
| Federal National Mortgage Assoc. | 5.500 % | 02/01/35 | 393 | $458,058 | |
| Federal National Mortgage Assoc. | 5.500 | 06/01/35 | 56 | 62,978 | |
| Federal National Mortgage Assoc. | 5.500 | 06/01/35 | 164 | 185,760 | |
| Federal National Mortgage Assoc. | 5.500 | 09/01/35 | 96 | 107,536 | |
| Federal National Mortgage Assoc. | 5.500 | 09/01/35 | 240 | 273,858 | |
| Federal National Mortgage Assoc. | 5.500 | 10/01/35 | 272 | 318,474 | |
| Federal National Mortgage Assoc. | 5.500 | 11/01/35 | 257 | 292,194 | |
| Federal National Mortgage Assoc. | 5.500 | 11/01/35 | 563 | 665,354 | |
| Federal National Mortgage Assoc. | 5.500 | 11/01/36 | 7 | 8,399 | |
| Federal National Mortgage Assoc. | 6.000 | 08/01/21 | 4 | 3,636 | |
| Federal National Mortgage Assoc. | 6.000 | 09/01/21 | 2 | 2,382 | |
| Federal National Mortgage Assoc. | 6.000 | 07/01/22 | —(r) | 511 | |
| Federal National Mortgage Assoc. | 6.000 | 09/01/33 | 1 | 577 | |
| Federal National Mortgage Assoc. | 6.000 | 11/01/33 | —(r) | 464 | |
| Federal National Mortgage Assoc. | 6.000 | 02/01/34 | —(r) | 284 | |
| Federal National Mortgage Assoc. | 6.000 | 06/01/34 | —(r) | 144 | |
| Federal National Mortgage Assoc. | 6.000 | 09/01/34 | —(r) | 292 | |
| Federal National Mortgage Assoc. | 6.000 | 09/01/34 | 15 | 18,060 | |
| Federal National Mortgage Assoc. | 6.000 | 09/01/34 | 21 | 23,913 | |
| Federal National Mortgage Assoc. | 6.000 | 11/01/34 | 4 | 4,313 | |
| Federal National Mortgage Assoc. | 6.000 | 11/01/34 | 28 | 31,800 | |
| Federal National Mortgage Assoc. | 6.000 | 02/01/35 | —(r) | 525 | |
| Federal National Mortgage Assoc. | 6.000 | 03/01/35 | 15 | 17,246 | |
| Federal National Mortgage Assoc. | 6.000 | 04/01/35 | 1 | 708 | |
| Federal National Mortgage Assoc. | 6.000 | 12/01/35 | 61 | 68,104 | |
| Federal National Mortgage Assoc. | 6.000 | 01/01/36 | 162 | 182,134 | |
| Federal National Mortgage Assoc. | 6.000 | 05/01/36 | 72 | 85,156 | |
| Federal National Mortgage Assoc. | 6.000 | 05/01/36 | 381 | 452,336 | |
| Federal National Mortgage Assoc. | 6.250 | 05/15/29 | 100 | 143,160 | |
| Federal National Mortgage Assoc. | 6.500 | 07/01/32 | 472 | 556,185 | |
| Federal National Mortgage Assoc. | 6.500 | 08/01/32 | 194 | 221,983 | |
| Federal National Mortgage Assoc. | 6.500 | 09/01/32 | 77 | 88,414 | |
| Federal National Mortgage Assoc. | 6.500 | 10/01/32 | 78 | 90,207 | |
| Federal National Mortgage Assoc. | 6.500 | 10/01/32 | 504 | 601,997 | |
| Federal National Mortgage Assoc. | 6.500 | 10/01/37 | 271 | 324,305 | |
| Federal National Mortgage Assoc. | 6.625 | 11/15/30 | 580 | 879,965 | |
| Federal National Mortgage Assoc. | 7.000 | 05/01/24 | 6 | 6,375 | |
| Federal National Mortgage Assoc. | 7.000 | 05/01/24 | 10 | 10,178 | |
| Federal National Mortgage Assoc. | 7.000 | 05/01/24 | 12 | 11,790 | |
| Federal National Mortgage Assoc. | 7.000 | 05/01/24 | 44 | 47,710 | |
| Federal National Mortgage Assoc. | 7.000 | 12/01/31 | 1 | 1,131 | |
| Federal National Mortgage Assoc. | 7.000 | 12/01/31 | 243 | 285,013 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| U.S. Government Agency Obligations (Continued) | |||||
| Federal National Mortgage Assoc. | 7.000 % | 09/01/33 | 62 | $64,240 | |
| Federal National Mortgage Assoc. | 7.000 | 11/01/33 | 65 | 66,925 | |
| Federal National Mortgage Assoc. | 9.000 | 04/01/25 | 2 | 2,409 | |
| Federal National Mortgage Assoc. | 9.500 | 01/01/25 | 1 | 687 | |
| Federal National Mortgage Assoc. | 9.500 | 01/01/25 | 2 | 1,718 | |
| Federal National Mortgage Assoc. | 9.500 | 01/01/25 | 5 | 5,478 | |
| Federal National Mortgage Assoc. | 9.500 | 02/01/25 | 1 | 966 | |
| Government National Mortgage Assoc. | 2.000 | TBA | 8,000 | 8,368,184 | |
| Government National Mortgage Assoc. | 2.500 | TBA | 10,500 | 11,061,581 | |
| Government National Mortgage Assoc. | 2.500 | 12/20/46 | 374 | 395,861 | |
| Government National Mortgage Assoc. | 3.000 | TBA | 3,000 | 3,131,309 | |
| Government National Mortgage Assoc. | 3.000 | 03/15/45 | 1,385 | 1,444,473 | |
| Government National Mortgage Assoc. | 3.000 | 07/20/45 | 2,985 | 3,174,388 | |
| Government National Mortgage Assoc. | 3.000 | 07/20/46 | 1,564 | 1,662,593 | |
| Government National Mortgage Assoc. | 3.000 | 08/20/46 | 2,910 | 3,093,959 | |
| Government National Mortgage Assoc. | 3.000 | 10/20/46 | 232 | 246,668 | |
| Government National Mortgage Assoc. | 3.000 | 02/20/47 | 3,999 | 4,249,336 | |
| Government National Mortgage Assoc. | 3.000 | 05/20/47 | 765 | 813,818 | |
| Government National Mortgage Assoc. | 3.000 | 12/20/47 | 305 | 321,538 | |
| Government National Mortgage Assoc. | 3.000 | 04/20/49 | 1,249 | 1,305,926 | |
| Government National Mortgage Assoc. | 3.000 | 12/20/49 | 786 | 819,760 | |
| Government National Mortgage Assoc. | 3.000 | 01/20/50 | 6,120 | 6,385,442 | |
| Government National Mortgage Assoc. | 3.500 | 04/20/42 | 257 | 279,718 | |
| Government National Mortgage Assoc. | 3.500 | 01/20/43 | 1,514 | 1,646,536 | |
| Government National Mortgage Assoc. | 3.500 | 04/20/43 | 694 | 755,421 | |
| Government National Mortgage Assoc. | 3.500 | 03/20/45 | 1,130 | 1,211,518 | |
| Government National Mortgage Assoc. | 3.500 | 04/20/45 | 622 | 666,910 | |
| Government National Mortgage Assoc. | 3.500 | 07/20/46 | 2,423 | 2,605,499 | |
| Government National Mortgage Assoc. | 3.500 | 01/20/47 | 515 | 552,254 | |
| Government National Mortgage Assoc. | 3.500 | 03/20/47 | 238 | 255,682 | |
| Government National Mortgage Assoc. | 3.500 | 07/20/47 | 1,504 | 1,619,786 | |
| Government National Mortgage Assoc. | 3.500 | 02/20/48 | 3,406 | 3,637,021 | |
| Government National Mortgage Assoc. | 3.500 | 11/20/48 | 870 | 920,462 | |
| Government National Mortgage Assoc. | 3.500 | 01/20/49 | 742 | 790,756 | |
| Government National Mortgage Assoc. | 3.500 | 02/20/49 | 4,985 | 5,288,075 | |
| Government National Mortgage Assoc. | 3.500 | 05/20/49 | 1,516 | 1,599,437 | |
| Government National Mortgage Assoc. | 3.500 | 06/20/49 | 3,437 | 3,626,478 | |
| Government National Mortgage Assoc. | 3.500 | 11/20/49 | 1,249 | 1,321,915 | |
| Government National Mortgage Assoc. | 3.500 | 12/20/49 | 238 | 251,057 | |
| Government National Mortgage Assoc. | 4.000 | 02/20/41 | 338 | 373,751 | |
| Government National Mortgage Assoc. | 4.000 | 06/20/44 | 709 | 776,650 | |
| Government National Mortgage Assoc. | 4.000 | 08/20/44 | 216 | 236,537 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| U.S. Government Agency Obligations (Continued) | |||||
| Government National Mortgage Assoc. | 4.000 % | 11/20/45 | 473 | $516,074 | |
| Government National Mortgage Assoc. | 4.000 | 11/20/46 | 451 | 490,440 | |
| Government National Mortgage Assoc. | 4.000 | 02/20/47 | 454 | 489,744 | |
| Government National Mortgage Assoc. | 4.000 | 10/20/47 | 509 | 549,490 | |
| Government National Mortgage Assoc. | 4.000 | 12/20/47 | 368 | 398,085 | |
| Government National Mortgage Assoc. | 4.000 | 07/20/48 | 1,200 | 1,285,566 | |
| Government National Mortgage Assoc. | 4.000 | 02/20/49 | 1,528 | 1,631,450 | |
| Government National Mortgage Assoc. | 4.000 | 03/20/49 | 2,483 | 2,646,126 | |
| Government National Mortgage Assoc. | 4.500 | 02/20/40 | 203 | 225,660 | |
| Government National Mortgage Assoc. | 4.500 | 01/20/41 | 122 | 137,612 | |
| Government National Mortgage Assoc. | 4.500 | 02/20/41 | 588 | 663,288 | |
| Government National Mortgage Assoc. | 4.500 | 03/20/41 | 301 | 335,094 | |
| Government National Mortgage Assoc. | 4.500 | 06/20/44 | 438 | 487,889 | |
| Government National Mortgage Assoc. | 4.500 | 02/20/46 | 42 | 47,301 | |
| Government National Mortgage Assoc. | 4.500 | 03/20/46 | 214 | 237,608 | |
| Government National Mortgage Assoc. | 4.500 | 03/20/47 | 1,194 | 1,307,065 | |
| Government National Mortgage Assoc. | 4.500 | 08/20/47 | 227 | 246,493 | |
| Government National Mortgage Assoc. | 4.500 | 01/20/48 | 188 | 203,562 | |
| Government National Mortgage Assoc. | 4.500 | 02/20/48 | 1,243 | 1,351,487 | |
| Government National Mortgage Assoc. | 5.000 | 07/15/33 | 376 | 435,571 | |
| Government National Mortgage Assoc. | 5.000 | 09/15/33 | 507 | 582,988 | |
| Government National Mortgage Assoc. | 5.000 | 04/15/34 | 16 | 17,184 | |
| Government National Mortgage Assoc. | 5.500 | 02/15/34 | 314 | 351,967 | |
| Government National Mortgage Assoc. | 5.500 | 02/15/36 | 111 | 129,342 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/22 | —(r) | 161 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/22 | —(r) | 393 | |
| Government National Mortgage Assoc. | 7.000 | 01/15/23 | —(r) | 231 | |
| Government National Mortgage Assoc. | 7.000 | 01/15/23 | —(r) | 454 | |
| Government National Mortgage Assoc. | 7.000 | 01/15/23 | —(r) | 494 | |
| Government National Mortgage Assoc. | 7.000 | 01/15/23 | 1 | 991 | |
| Government National Mortgage Assoc. | 7.000 | 01/15/23 | 2 | 1,664 | |
| Government National Mortgage Assoc. | 7.000 | 03/15/23 | 1 | 939 | |
| Government National Mortgage Assoc. | 7.000 | 03/15/23 | 2 | 1,594 | |
| Government National Mortgage Assoc. | 7.000 | 04/15/23 | 1 | 577 | |
| Government National Mortgage Assoc. | 7.000 | 04/15/23 | 2 | 1,634 | |
| Government National Mortgage Assoc. | 7.000 | 05/15/23 | —(r) | 61 | |
| Government National Mortgage Assoc. | 7.000 | 05/15/23 | —(r) | 129 | |
| Government National Mortgage Assoc. | 7.000 | 05/15/23 | —(r) | 240 | |
| Government National Mortgage Assoc. | 7.000 | 05/15/23 | —(r) | 312 | |
| Government National Mortgage Assoc. | 7.000 | 05/15/23 | —(r) | 367 | |
| Government National Mortgage Assoc. | 7.000 | 05/15/23 | —(r) | 422 | |
| Government National Mortgage Assoc. | 7.000 | 05/15/23 | 1 | 707 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| U.S. Government Agency Obligations (Continued) | |||||
| Government National Mortgage Assoc. | 7.000 % | 05/15/23 | 3 | $3,160 | |
| Government National Mortgage Assoc. | 7.000 | 05/15/23 | 4 | 3,881 | |
| Government National Mortgage Assoc. | 7.000 | 05/15/23 | 5 | 4,648 | |
| Government National Mortgage Assoc. | 7.000 | 06/15/23 | —(r) | 74 | |
| Government National Mortgage Assoc. | 7.000 | 06/15/23 | —(r) | 317 | |
| Government National Mortgage Assoc. | 7.000 | 06/15/23 | 1 | 608 | |
| Government National Mortgage Assoc. | 7.000 | 06/15/23 | 1 | 915 | |
| Government National Mortgage Assoc. | 7.000 | 06/15/23 | 1 | 1,068 | |
| Government National Mortgage Assoc. | 7.000 | 06/15/23 | 2 | 2,060 | |
| Government National Mortgage Assoc. | 7.000 | 07/15/23 | —(r) | 87 | |
| Government National Mortgage Assoc. | 7.000 | 07/15/23 | —(r) | 113 | |
| Government National Mortgage Assoc. | 7.000 | 07/15/23 | —(r) | 150 | |
| Government National Mortgage Assoc. | 7.000 | 07/15/23 | —(r) | 178 | |
| Government National Mortgage Assoc. | 7.000 | 07/15/23 | —(r) | 263 | |
| Government National Mortgage Assoc. | 7.000 | 07/15/23 | 1 | 534 | |
| Government National Mortgage Assoc. | 7.000 | 07/15/23 | 1 | 694 | |
| Government National Mortgage Assoc. | 7.000 | 07/15/23 | 1 | 741 | |
| Government National Mortgage Assoc. | 7.000 | 07/15/23 | 1 | 943 | |
| Government National Mortgage Assoc. | 7.000 | 07/15/23 | 2 | 1,998 | |
| Government National Mortgage Assoc. | 7.000 | 07/15/23 | 9 | 9,174 | |
| Government National Mortgage Assoc. | 7.000 | 08/15/23 | —(r) | 136 | |
| Government National Mortgage Assoc. | 7.000 | 08/15/23 | —(r) | 178 | |
| Government National Mortgage Assoc. | 7.000 | 08/15/23 | —(r) | 276 | |
| Government National Mortgage Assoc. | 7.000 | 08/15/23 | —(r) | 276 | |
| Government National Mortgage Assoc. | 7.000 | 08/15/23 | 1 | 566 | |
| Government National Mortgage Assoc. | 7.000 | 08/15/23 | 1 | 846 | |
| Government National Mortgage Assoc. | 7.000 | 08/15/23 | 1 | 925 | |
| Government National Mortgage Assoc. | 7.000 | 08/15/23 | 1 | 973 | |
| Government National Mortgage Assoc. | 7.000 | 08/15/23 | 1 | 1,353 | |
| Government National Mortgage Assoc. | 7.000 | 08/15/23 | 1 | 1,409 | |
| Government National Mortgage Assoc. | 7.000 | 08/15/23 | 1 | 1,441 | |
| Government National Mortgage Assoc. | 7.000 | 08/15/23 | 2 | 1,653 | |
| Government National Mortgage Assoc. | 7.000 | 08/15/23 | 2 | 1,726 | |
| Government National Mortgage Assoc. | 7.000 | 08/15/23 | 3 | 3,122 | |
| Government National Mortgage Assoc. | 7.000 | 08/15/23 | 3 | 3,156 | |
| Government National Mortgage Assoc. | 7.000 | 09/15/23 | —(r) | 283 | |
| Government National Mortgage Assoc. | 7.000 | 09/15/23 | —(r) | 368 | |
| Government National Mortgage Assoc. | 7.000 | 09/15/23 | 1 | 567 | |
| Government National Mortgage Assoc. | 7.000 | 09/15/23 | 1 | 597 | |
| Government National Mortgage Assoc. | 7.000 | 09/15/23 | 1 | 610 | |
| Government National Mortgage Assoc. | 7.000 | 09/15/23 | 4 | 4,007 | |
| Government National Mortgage Assoc. | 7.000 | 09/15/23 | 15 | 15,863 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| U.S. Government Agency Obligations (Continued) | |||||
| Government National Mortgage Assoc. | 7.000 % | 10/15/23 | —(r) | $99 | |
| Government National Mortgage Assoc. | 7.000 | 10/15/23 | —(r) | 135 | |
| Government National Mortgage Assoc. | 7.000 | 10/15/23 | —(r) | 212 | |
| Government National Mortgage Assoc. | 7.000 | 10/15/23 | —(r) | 325 | |
| Government National Mortgage Assoc. | 7.000 | 10/15/23 | —(r) | 362 | |
| Government National Mortgage Assoc. | 7.000 | 10/15/23 | —(r) | 462 | |
| Government National Mortgage Assoc. | 7.000 | 10/15/23 | 1 | 652 | |
| Government National Mortgage Assoc. | 7.000 | 10/15/23 | 1 | 723 | |
| Government National Mortgage Assoc. | 7.000 | 10/15/23 | 1 | 727 | |
| Government National Mortgage Assoc. | 7.000 | 10/15/23 | 1 | 801 | |
| Government National Mortgage Assoc. | 7.000 | 10/15/23 | 1 | 832 | |
| Government National Mortgage Assoc. | 7.000 | 10/15/23 | 1 | 849 | |
| Government National Mortgage Assoc. | 7.000 | 10/15/23 | 1 | 922 | |
| Government National Mortgage Assoc. | 7.000 | 10/15/23 | 1 | 956 | |
| Government National Mortgage Assoc. | 7.000 | 10/15/23 | 1 | 1,052 | |
| Government National Mortgage Assoc. | 7.000 | 10/15/23 | 1 | 1,262 | |
| Government National Mortgage Assoc. | 7.000 | 10/15/23 | 1 | 1,373 | |
| Government National Mortgage Assoc. | 7.000 | 10/15/23 | 2 | 2,203 | |
| Government National Mortgage Assoc. | 7.000 | 10/15/23 | 3 | 2,727 | |
| Government National Mortgage Assoc. | 7.000 | 10/15/23 | 4 | 3,862 | |
| Government National Mortgage Assoc. | 7.000 | 10/15/23 | 4 | 4,212 | |
| Government National Mortgage Assoc. | 7.000 | 10/15/23 | 7 | 7,072 | |
| Government National Mortgage Assoc. | 7.000 | 10/15/23 | 8 | 7,988 | |
| Government National Mortgage Assoc. | 7.000 | 10/15/23 | 13 | 12,803 | |
| Government National Mortgage Assoc. | 7.000 | 10/15/23 | 19 | 20,144 | |
| Government National Mortgage Assoc. | 7.000 | 11/15/23 | —(r) | 312 | |
| Government National Mortgage Assoc. | 7.000 | 11/15/23 | —(r) | 398 | |
| Government National Mortgage Assoc. | 7.000 | 11/15/23 | —(r) | 479 | |
| Government National Mortgage Assoc. | 7.000 | 11/15/23 | 1 | 601 | |
| Government National Mortgage Assoc. | 7.000 | 11/15/23 | 1 | 603 | |
| Government National Mortgage Assoc. | 7.000 | 11/15/23 | 1 | 659 | |
| Government National Mortgage Assoc. | 7.000 | 11/15/23 | 1 | 1,016 | |
| Government National Mortgage Assoc. | 7.000 | 11/15/23 | 1 | 1,054 | |
| Government National Mortgage Assoc. | 7.000 | 11/15/23 | 1 | 1,493 | |
| Government National Mortgage Assoc. | 7.000 | 11/15/23 | 2 | 1,838 | |
| Government National Mortgage Assoc. | 7.000 | 11/15/23 | 2 | 2,202 | |
| Government National Mortgage Assoc. | 7.000 | 11/15/23 | 2 | 2,439 | |
| Government National Mortgage Assoc. | 7.000 | 11/15/23 | 2 | 2,480 | |
| Government National Mortgage Assoc. | 7.000 | 11/15/23 | 3 | 2,620 | |
| Government National Mortgage Assoc. | 7.000 | 11/15/23 | 3 | 3,123 | |
| Government National Mortgage Assoc. | 7.000 | 11/15/23 | 4 | 3,750 | |
| Government National Mortgage Assoc. | 7.000 | 11/15/23 | 7 | 7,867 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| U.S. Government Agency Obligations (Continued) | |||||
| Government National Mortgage Assoc. | 7.000 % | 12/15/23 | —(r) | $187 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | —(r) | 235 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | —(r) | 244 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | —(r) | 298 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | —(r) | 301 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | —(r) | 398 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | 1 | 643 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | 1 | 682 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | 1 | 682 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | 1 | 807 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | 1 | 991 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | 1 | 1,031 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | 1 | 1,034 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | 1 | 1,436 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | 2 | 1,516 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | 2 | 1,584 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | 2 | 1,663 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | 2 | 1,974 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | 2 | 2,058 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | 3 | 2,867 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | 3 | 2,975 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | 3 | 3,102 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | 4 | 3,849 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | 5 | 5,026 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | 6 | 5,762 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | 7 | 7,178 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | 10 | 9,712 | |
| Government National Mortgage Assoc. | 7.000 | 12/15/23 | 11 | 11,431 | |
| Government National Mortgage Assoc. | 7.000 | 01/15/24 | —(r) | 246 | |
| Government National Mortgage Assoc. | 7.000 | 01/15/24 | —(r) | 344 | |
| Government National Mortgage Assoc. | 7.000 | 01/15/24 | —(r) | 505 | |
| Government National Mortgage Assoc. | 7.000 | 01/15/24 | 1 | 545 | |
| Government National Mortgage Assoc. | 7.000 | 01/15/24 | 1 | 861 | |
| Government National Mortgage Assoc. | 7.000 | 01/15/24 | 1 | 1,000 | |
| Government National Mortgage Assoc. | 7.000 | 01/15/24 | 1 | 1,113 | |
| Government National Mortgage Assoc. | 7.000 | 01/15/24 | 1 | 1,276 | |
| Government National Mortgage Assoc. | 7.000 | 01/15/24 | 1 | 1,475 | |
| Government National Mortgage Assoc. | 7.000 | 01/15/24 | 2 | 1,726 | |
| Government National Mortgage Assoc. | 7.000 | 01/15/24 | 3 | 2,657 | |
| Government National Mortgage Assoc. | 7.000 | 02/15/24 | —(r) | 257 | |
| Government National Mortgage Assoc. | 7.000 | 02/15/24 | —(r) | 273 | |
| Government National Mortgage Assoc. | 7.000 | 02/15/24 | —(r) | 483 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| U.S. Government Agency Obligations (Continued) | |||||
| Government National Mortgage Assoc. | 7.000 % | 02/15/24 | 1 | $841 | |
| Government National Mortgage Assoc. | 7.000 | 02/15/24 | 1 | 971 | |
| Government National Mortgage Assoc. | 7.000 | 02/15/24 | 1 | 1,125 | |
| Government National Mortgage Assoc. | 7.000 | 02/15/24 | 5 | 5,675 | |
| Government National Mortgage Assoc. | 7.000 | 03/15/24 | —(r) | 76 | |
| Government National Mortgage Assoc. | 7.000 | 03/15/24 | —(r) | 180 | |
| Government National Mortgage Assoc. | 7.000 | 03/15/24 | 1 | 676 | |
| Government National Mortgage Assoc. | 7.000 | 03/15/24 | 1 | 1,250 | |
| Government National Mortgage Assoc. | 7.000 | 04/15/24 | —(r) | 66 | |
| Government National Mortgage Assoc. | 7.000 | 04/15/24 | —(r) | 69 | |
| Government National Mortgage Assoc. | 7.000 | 04/15/24 | —(r) | 194 | |
| Government National Mortgage Assoc. | 7.000 | 04/15/24 | —(r) | 498 | |
| Government National Mortgage Assoc. | 7.000 | 04/15/24 | 1 | 533 | |
| Government National Mortgage Assoc. | 7.000 | 04/15/24 | 1 | 657 | |
| Government National Mortgage Assoc. | 7.000 | 04/15/24 | 1 | 773 | |
| Government National Mortgage Assoc. | 7.000 | 04/15/24 | 1 | 1,092 | |
| Government National Mortgage Assoc. | 7.000 | 04/15/24 | 1 | 1,373 | |
| Government National Mortgage Assoc. | 7.000 | 04/15/24 | 5 | 4,613 | |
| Government National Mortgage Assoc. | 7.000 | 04/15/24 | 5 | 5,151 | |
| Government National Mortgage Assoc. | 7.000 | 05/15/24 | —(r) | 152 | |
| Government National Mortgage Assoc. | 7.000 | 05/15/24 | —(r) | 269 | |
| Government National Mortgage Assoc. | 7.000 | 05/15/24 | —(r) | 328 | |
| Government National Mortgage Assoc. | 7.000 | 05/15/24 | —(r) | 495 | |
| Government National Mortgage Assoc. | 7.000 | 05/15/24 | 1 | 1,051 | |
| Government National Mortgage Assoc. | 7.000 | 05/15/24 | 1 | 1,453 | |
| Government National Mortgage Assoc. | 7.000 | 05/15/24 | 2 | 1,690 | |
| Government National Mortgage Assoc. | 7.000 | 05/15/24 | 2 | 2,079 | |
| Government National Mortgage Assoc. | 7.000 | 05/15/24 | 3 | 2,894 | |
| Government National Mortgage Assoc. | 7.000 | 05/15/24 | 4 | 4,489 | |
| Government National Mortgage Assoc. | 7.000 | 05/15/24 | 6 | 6,604 | |
| Government National Mortgage Assoc. | 7.000 | 06/15/24 | —(r) | 122 | |
| Government National Mortgage Assoc. | 7.000 | 06/15/24 | —(r) | 162 | |
| Government National Mortgage Assoc. | 7.000 | 06/15/24 | —(r) | 257 | |
| Government National Mortgage Assoc. | 7.000 | 06/15/24 | 1 | 528 | |
| Government National Mortgage Assoc. | 7.000 | 06/15/24 | 1 | 1,252 | |
| Government National Mortgage Assoc. | 7.000 | 06/15/24 | 2 | 2,214 | |
| Government National Mortgage Assoc. | 7.000 | 06/15/24 | 2 | 2,303 | |
| Government National Mortgage Assoc. | 7.000 | 06/15/24 | 3 | 2,769 | |
| Government National Mortgage Assoc. | 7.000 | 06/15/24 | 5 | 4,842 | |
| Government National Mortgage Assoc. | 7.000 | 07/15/24 | —(r) | 375 | |
| Government National Mortgage Assoc. | 7.000 | 07/15/24 | 2 | 1,808 | |
| Government National Mortgage Assoc. | 7.000 | 02/15/29 | 6 | 5,956 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| U.S. Government Agency Obligations (Continued) | |||||
| Government National Mortgage Assoc. | 7.500 % | 01/15/23 | —(r) | $25 | |
| Government National Mortgage Assoc. | 7.500 | 01/15/23 | —(r) | 113 | |
| Government National Mortgage Assoc. | 7.500 | 03/15/23 | —(r) | 244 | |
| Government National Mortgage Assoc. | 7.500 | 05/15/23 | 3 | 2,816 | |
| Government National Mortgage Assoc. | 7.500 | 06/15/23 | —(r) | 113 | |
| Government National Mortgage Assoc. | 7.500 | 07/15/23 | —(r) | 127 | |
| Government National Mortgage Assoc. | 7.500 | 09/15/23 | 2 | 1,621 | |
| Government National Mortgage Assoc. | 7.500 | 10/15/23 | 2 | 2,460 | |
| Government National Mortgage Assoc. | 7.500 | 10/15/23 | 5 | 5,809 | |
| Government National Mortgage Assoc. | 7.500 | 11/15/23 | —(r) | 484 | |
| Government National Mortgage Assoc. | 7.500 | 11/15/23 | 6 | 6,164 | |
| Government National Mortgage Assoc. | 7.500 | 12/15/23 | —(r) | 448 | |
| Government National Mortgage Assoc. | 7.500 | 12/15/23 | 2 | 1,527 | |
| Government National Mortgage Assoc. | 7.500 | 01/15/24 | 1 | 613 | |
| Government National Mortgage Assoc. | 7.500 | 01/15/24 | 1 | 851 | |
| Government National Mortgage Assoc. | 7.500 | 01/15/24 | 1 | 1,352 | |
| Government National Mortgage Assoc. | 7.500 | 01/15/24 | 6 | 6,375 | |
| Government National Mortgage Assoc. | 7.500 | 01/15/24 | 8 | 7,786 | |
| Government National Mortgage Assoc. | 7.500 | 02/15/24 | 1 | 599 | |
| Government National Mortgage Assoc. | 7.500 | 02/15/24 | 7 | 7,389 | |
| Government National Mortgage Assoc. | 7.500 | 03/15/24 | 2 | 2,181 | |
| Government National Mortgage Assoc. | 7.500 | 04/15/24 | 2 | 1,746 | |
| Government National Mortgage Assoc. | 7.500 | 04/15/24 | 2 | 1,812 | |
| Government National Mortgage Assoc. | 7.500 | 04/15/24 | 4 | 4,368 | |
| Government National Mortgage Assoc. | 7.500 | 05/15/24 | —(r) | 155 | |
| Government National Mortgage Assoc. | 7.500 | 06/15/24 | —(r) | 255 | |
| Government National Mortgage Assoc. | 7.500 | 06/15/24 | 1 | 909 | |
| Government National Mortgage Assoc. | 7.500 | 06/15/24 | 3 | 2,797 | |
| Government National Mortgage Assoc. | 7.500 | 06/15/24 | 4 | 3,822 | |
| Government National Mortgage Assoc. | 7.500 | 07/15/24 | 3 | 3,271 | |
| Government National Mortgage Assoc. | 7.500 | 07/15/24 | 7 | 7,050 | |
| Government National Mortgage Assoc. | 8.500 | 04/15/25 | 65 | 71,882 | |
| Government National Mortgage Assoc. | 9.500 | 07/20/21 | —(r) | 5 | |
| Israel Government, USAID Bond, Gov’t. Gtd. Notes | 5.500 | 09/18/33 | 500 | 736,785 | |
| Resolution Funding Corp. Interest Strips, Bonds | 1.547(s) | 04/15/28 | 900 | 817,983 | |
| Resolution Funding Corp. Interest Strips, Bonds | 2.046(s) | 01/15/30 | 280 | 245,276 | |
| Resolution Funding Corp. Interest Strips, Bonds | 2.477(s) | 01/15/29 | 500 | 448,494 | |
| Resolution Funding Corp. Interest Strips, Bonds | 3.624(s) | 04/15/30 | 1,000 | 876,965 | |
| Resolution Funding Corp. Principal Strips, Bonds, PO | 2.737(s) | 01/15/30 | 1,540 | 1,366,153 | |
| Resolution Funding Corp. Principal Strips, Bonds, PO | 3.114(s) | 04/15/30 | 2,280 | 2,016,963 | |
| Tennessee Valley Authority, Sr. Unsec’d. Notes | 0.750 | 05/15/25 | 1,485 | 1,504,250 | |
| Tennessee Valley Authority, Sr. Unsec’d. Notes | 2.875 | 02/01/27 | 335 | 376,969 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| U.S. Government Agency Obligations (Continued) | |||||
| Tennessee Valley Authority, Sr. Unsec’d. Notes | 5.880 % | 04/01/36 | 170 | $261,175 | |
| Tennessee Valley Authority, Sr. Unsec’d. Notes | 6.750 | 11/01/25 | 1,300 | 1,684,827 | |
| Tennessee Valley Authority, Sr. Unsec’d. Notes | 7.125 | 05/01/30 | 1,170 | 1,784,897 | |
| Total U.S. Government Agency Obligations (cost $374,145,351) | 382,525,131 | ||||
| U.S. Treasury Obligations 38.6% | |||||
| U.S. Treasury Bonds | 1.625 | 11/15/50 | 4,860 | 4,913,156 | |
| U.S. Treasury Bonds | 2.875 | 05/15/43 | 18,620 | 23,824,872 | |
| U.S. Treasury Bonds | 3.000 | 11/15/44 | 22,455 | 29,412,542 | |
| U.S. Treasury Bonds | 3.125 | 02/15/43 | 3,590 | 4,768,530 | |
| U.S. Treasury Bonds | 3.125 | 08/15/44 | 8,300 | 11,077,906 | |
| U.S. Treasury Bonds | 3.375 | 05/15/44 | 22,885 | 31,688,574 | |
| U.S. Treasury Bonds | 3.625 | 08/15/43(k) | 22,440 | 32,078,681 | |
| U.S. Treasury Bonds | 3.625 | 02/15/44 | 7,315 | 10,483,309 | |
| U.S. Treasury Bonds | 3.750 | 11/15/43 | 40,095 | 58,407,138 | |
| U.S. Treasury Notes | 0.500 | 06/30/27 | 840 | 836,194 | |
| U.S. Treasury Notes | 2.375 | 08/15/24 | 1,155 | 1,245,776 | |
| U.S. Treasury Notes | 3.125 | 11/15/28 | 30,865 | 36,661,833 | |
| U.S. Treasury Strips Coupon | 0.768(s) | 05/15/30 | 1,145 | 1,046,512 | |
| U.S. Treasury Strips Coupon | 0.919(s) | 02/15/29 | 8,675 | 8,095,876 | |
| U.S. Treasury Strips Coupon | 1.020(s) | 05/15/33 | 820 | 707,923 | |
| U.S. Treasury Strips Coupon | 1.052(s) | 05/15/29 | 10,710 | 9,954,025 | |
| U.S. Treasury Strips Coupon | 1.122(s) | 02/15/36 | 480 | 394,481 | |
| U.S. Treasury Strips Coupon | 1.123(s) | 05/15/36 | 815 | 666,167 | |
| U.S. Treasury Strips Coupon | 1.225(s) | 02/15/41 | 150 | 111,486 | |
| U.S. Treasury Strips Coupon | 1.351(s) | 08/15/43 | 350 | 244,549 | |
| U.S. Treasury Strips Coupon | 1.389(s) | 05/15/43 | 4,550 | 3,207,395 | |
| U.S. Treasury Strips Coupon | 1.417(s) | 02/15/38 | 810 | 638,476 | |
| U.S. Treasury Strips Coupon | 1.450(s) | 08/15/42 | 180 | 129,213 | |
| U.S. Treasury Strips Coupon | 1.453(s) | 02/15/39(k) | 11,255 | 8,692,289 | |
| U.S. Treasury Strips Coupon | 1.463(s) | 11/15/42 | 475 | 338,976 | |
| U.S. Treasury Strips Coupon | 1.505(s) | 11/15/41 | 2,445 | 1,784,086 | |
| U.S. Treasury Strips Coupon | 1.677(s) | 02/15/43(k) | 19,800 | 14,054,906 | |
| U.S. Treasury Strips Coupon | 1.787(s) | 05/15/41 | 13,445 | 9,934,069 | |
| U.S. Treasury Strips Coupon | 1.872(s) | 05/15/31 | 1,100 | 984,973 | |
| U.S. Treasury Strips Coupon | 1.982(s) | 08/15/39 | 2,050 | 1,568,250 | |
| U.S. Treasury Strips Coupon | 2.010(s) | 08/15/30 | 1,585 | 1,439,688 | |
| U.S. Treasury Strips Coupon | 2.056(s) | 11/15/38 | 590 | 458,080 | |
| U.S. Treasury Strips Coupon | 2.089(s) | 11/15/35 | 1,525 | 1,258,899 | |
| U.S. Treasury Strips Coupon | 2.172(s) | 02/15/28 | 695 | 659,191 | |
| Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
| U.S. Treasury Obligations (Continued) | |||||
| U.S. Treasury Strips Coupon | 2.188 %(s) | 05/15/39 | 1,505 | $1,156,087 | |
| U.S. Treasury Strips Coupon | 2.228(s) | 05/15/28 | 345 | 325,944 | |
| U.S. Treasury Strips Coupon | 2.251(s) | 08/15/40 | 2,200 | 1,651,375 | |
| U.S. Treasury Strips Coupon | 2.334(s) | 08/15/41 | 1,760 | 1,291,881 | |
| U.S. Treasury Strips Coupon | 2.353(s) | 02/15/44 | 620 | 429,011 | |
| U.S. Treasury Strips Coupon | 2.365(s) | 05/15/44 | 2,275 | 1,566,284 | |
| U.S. Treasury Strips Coupon | 2.365(s) | 11/15/44 | 7,750 | 5,273,027 | |
| U.S. Treasury Strips Coupon | 2.418(s) | 08/15/35 | 25 | 20,735 | |
| U.S. Treasury Strips Coupon | 2.434(s) | 11/15/45 | 590 | 392,834 | |
| U.S. Treasury Strips Coupon | 2.436(s) | 02/15/46 | 665 | 440,069 | |
| U.S. Treasury Strips Coupon | 2.480(s) | 11/15/43 | 13,768 | 9,590,810 | |
| U.S. Treasury Strips Coupon | 3.117(s) | 08/15/27 | 920 | 878,025 | |
| Total U.S. Treasury Obligations (cost $320,463,337) | 334,784,103 | ||||
| Total Long-Term Investments (cost $834,751,530) | 867,492,533 | ||||
| Shares | |||||
| Short-Term Investments 12.6% | |||||
| Affiliated Mutual Fund 12.6% | |||||
| PGIM Core Ultra Short Bond Fund (cost $109,676,222)(w) | 109,676,222 | 109,676,222 | |||
| Option Purchased*~ 0.0% | |||||
| (cost $102,681) | 168,609 | ||||
| TOTAL SHORT-TERM INVESTMENTS (cost $109,778,903) | 109,844,831 | ||||
| TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN 112.6% (cost $944,530,433) | 977,337,364 | ||||
| Options Written*~ (0.0)% | |||||
| (premiums received $35,272) | (40,875) | ||||
| TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN 112.6% (cost $944,495,161) | 977,296,489 | ||||
| Liabilities in excess of other assets(z) (12.6)% | (109,625,484) | ||||
| Net Assets 100.0% | $867,671,005 | ||||
| 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 | |
| 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 | |
| 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 November 30, 2020. |
| (cc) | Variable rate instrument. The rate shown is based on the latest available information as of November 30, 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. |
| (tt) | All or partial principal amount represents “TBA” mortgage dollar rolls. The aggregate mortgage dollar roll principal amount of 3,500,000 is 0.40% of net assets. |
| (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: |
| Forward Commitment Contracts | |||||||||||
| U.S. Government Agency Obligations | Interest Rate | Maturity Date | Settlement Date | Principal Amount (000)# | Value | ||||||
| Federal National Mortgage Assoc. | 2.500% | TBA | 01/14/21 | (3,500) | $(3,660,455) | ||||||
| Federal National Mortgage Assoc. | 3.500% | TBA | 12/14/20 | (2,500) | (2,637,207) | ||||||
| TOTAL FORWARD COMMITMENT CONTRACTS (proceeds receivable $6,292,734) | $(6,297,662) | ||||||||||
| Exchange Traded | |||||||||||||||
| Description | Call/ Put | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | |||||||||
| 10 Year U.S. Treasury Notes Futures | Call | 12/24/20 | $138.00 | 327 | 327 | $168,609 | |||||||||
| (cost $102,681) | |||||||||||||||
| Exchange Traded | |||||||||||||||
| Description | Call/ Put | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | |||||||||
| 10 Year U.S. Treasury Notes Futures | Call | 12/24/20 | $139.00 | 327 | 327 | $(40,875) | |||||||||
| (premiums received $35,272) | |||||||||||||||
| Futures contracts outstanding at November 30, 2020: | ||||||||
| Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||
| Long Positions: | ||||||||
| 412 | 2 Year U.S. Treasury Notes | Mar. 2021 | $90,990,843 | $45,381 | ||||
| 927 | 5 Year U.S. Treasury Notes | Mar. 2021 | 116,830,969 | 180,336 | ||||
| 101 | 10 Year U.S. Treasury Notes | Mar. 2021 | 13,955,360 | 42,662 | ||||
| 268,379 | ||||||||
| Short Positions: | ||||||||
| 699 | 10 Year U.S. Ultra Treasury Notes | Mar. 2021 | 109,830,375 | (196,890) | ||||
| 537 | 30 Year U.S. Ultra Treasury Bonds | Mar. 2021 | 116,008,781 | 264,064 | ||||
| 67,174 | ||||||||
| $335,553 | ||||||||
| Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at November 30, 2020 | Unrealized Appreciation (Depreciation) | ||||||||
| Centrally Cleared Interest Rate Swap Agreement: | ||||||||||||||
| 2,429 | 08/09/49 | 1.508%(A) | 1 Day USOIS(1)(A) | $(493,230) | $(275,980) | $217,250 | ||||||||
| (1) | The Fund pays the fixed rate and receives the floating rate. |
| (2) | The Fund pays the floating rate and receives the fixed rate. |