Written Interest Rate Swaptions (OTC) — (0.0)%(1) | |||||
Description | Counterparty | Notional Amount | Expiration Date | Value | |
Option to enter into interest rate swap expiring 5/10/29 to receive 1.93% and pay SOFR | Bank of America, N.A. | USD | (501,491,332) | 5/8/24 | $(96,913) |
Total | $(96,913) |
(1) | Amount is less than (0.05)%. |
Futures Contracts | |||||
Description | Number of Contracts | Position | Expiration Date | Notional Amount | Value/Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 5-Year Treasury Note | 8,545 | Long | 3/28/24 | $926,197,891 | $16,357,526 |
U.S. 10-Year Treasury Note | 1,663 | Long | 3/19/24 | 186,801,672 | 1,654,424 |
U.S. Ultra-Long Treasury Bond | (523) | Short | 3/19/24 | (67,581,406) | (1,634,391) |
$16,377,559 |
Interest Rate Swaps (Centrally Cleared) | ||||||||
Notional Amount (000's omitted) | Fund Pays/ Receives Floating Rate | Floating Rate | Annual Fixed Rate | Termination Date | Value | Unamortized Upfront Receipts (Payments) | Unrealized Appreciation (Depreciation) | |
USD | 450,000 | Receives | SOFR (pays annually) | 3.07% (pays annually) | 10/14/32 | $ 20,033,885 | $ — | $ 20,033,885 |
USD | 94,000 | Receives | SOFR (pays annually) | 3.16% (pays annually) | 1/5/33 | 3,460,678 | — | 3,460,678 |
USD | 125,000 | Receives | SOFR (pays annually) | 2.47% (pays annually) | 3/28/33 | 13,655,185 | (2,493,069) | 11,162,116 |
USD | 245,000 | Receives | SOFR (pays quarterly) | 2.01% (pays semi-annually) | 2/16/52 | 78,135,604 | — | 78,135,604 |
USD | 300,000 | Receives | SOFR (pays annually) | 1.92% (pays annually) | 4/8/52 | 94,956,456 | — | 94,956,456 |
Total | $210,241,808 | $(2,493,069) | $207,748,739 |
Counterparty | Trade Date | Maturity Date | Interest Rate Paid (Received) | Principal Amount | Value Including Accrued Interest |
BMO Capital Markets Corp. | 1/3/24 | On Demand(1) | 5.50% | $375,206,861 | $376,811,913 |
TD Securities (USA) LLC | 12/13/23 | On Demand(1) | 5.53 | 80,713,290 | 81,333,214 |
Total | $455,920,151 | $458,145,127 |
(1) | Open reverse repurchase agreement with no specific maturity date. Either party may terminate the agreement upon demand. |
Name | Value, beginning of period | Purchases | Sales proceeds | Net realized gain (loss) | Change in unrealized appreciation (depreciation) | Value, end of period | Dividend income | Shares, end of period |
Short-Term Investments | ||||||||
Liquidity Fund, Institutional Class(1) | $5,892,398 | $556,768,535 | $(480,420,831) | $ — | $ — | $82,240,102 | $360,363 | 82,240,102 |
(1) | Represents investment in Morgan Stanley Institutional Liquidity Funds - Government Portfolio. |
• | Level 1 – quoted prices in active markets for identical investments |
• | Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 – significant unobservable inputs (including a fund's own assumptions in determining the fair value of investments) |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Collateralized Mortgage Obligations | $ — | $1,487,260,738 | $ — | $1,487,260,738 |
U.S. Department of Agriculture Loans | — | 47,563,682 | — | 47,563,682 |
U.S. Government Agency Commercial Mortgage-Backed Securities | — | 16,937,329 | — | 16,937,329 |
U.S. Government Agency Mortgage-Backed Securities | — | 2,469,008,157 | — | 2,469,008,157 |
U.S. Government Guaranteed Small Business Administration Pools & Loans | — | 92,644,065 | — | 92,644,065 |
Short-Term Investments | 82,240,102 | — | — | 82,240,102 |
Total Investments | $ 82,240,102 | $4,113,413,971 | $ — | $4,195,654,073 |
Futures Contracts | $ 18,011,950 | $ — | $ — | $ 18,011,950 |
Swap Contracts | — | 210,241,808 | — | 210,241,808 |
Total | $100,252,052 | $4,323,655,779 | $ — | $4,423,907,831 |
Liability Description | ||||
TBA Sale Commitments | $ — | $ (581,770,791) | $ — | $ (581,770,791) |
Written Interest Rate Swaptions | — | (96,913) | — | (96,913) |
Futures Contracts | (1,634,391) | — | — | (1,634,391) |
Total | $ (1,634,391) | $ (581,867,704) | $ — | $ (583,502,095) |