Principal
Amount
|
|
Value |
COLLATERALIZED MORTGAGE OBLIGATIONS 1.6%
|
||
$ 330,830
|
FHLMC, Series 2023-DNA1, Class 2023-M1A,
REMIC, (SOFR30A + 2.10%), 6.66%,
3/25/43(1)(2)
|
$ 331,287
|
325,051
|
FNMA, Series 2023-R02, Class 1M1, (SOFR30A
+ 2.30%), 6.87%, 1/25/43(1)(2)
|
324,691
|
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $658,950)
|
655,978
|
|
COMMERCIAL MORTGAGE-BACKED SECURITIES 5.1%
|
||
150,000
|
COMM Mortgage Trust, Series 2014-UBS2,
Class AM, 4.20%, 3/10/47
|
146,360
|
180,000
|
FHLMC Multifamily Structured Pass-Through
Certificates, Series K058, Class A2, 2.65%,
8/25/26
|
170,661
|
250,000
|
FHLMC Multifamily Structured Pass-Through
Certificates, Series K061, Class A2, 3.35%,
11/25/26(2)
|
241,060
|
200,000
|
FHLMC Multifamily Structured Pass-Through
Certificates, Series K063, Class A2, 3.43%,
1/25/27(2)
|
194,017
|
300,000
|
FHLMC Multifamily Structured Pass-Through
Certificates, Series K069, Class A2, 3.19%,
9/25/27(2)
|
287,603
|
200,000
|
FHLMC Multifamily Structured Pass-Through
Certificates, Series K092, Class A2, 3.30%,
4/25/29
|
190,485
|
450,000
|
FHLMC Multifamily Structured Pass-Through
Certificates, Series K103, Class A2, 2.65%,
11/25/29
|
409,941
|
175,000
|
FREMF Mortgage Trust, Series 2015-K43,
Class B, 3.73%, 2/25/48(1)(2)
|
169,569
|
138,847
|
GNMA, Series 2012-125, Class AB, 2.11%,
2/16/53(2)
|
119,210
|
104,546
|
GNMA, Series 2013-12, Class AB, 1.83%,
11/16/52
|
97,815
|
36,751
|
Sequoia Mortgage Trust, Series 2004-8,
Class A1, (1-month LIBOR + 0.70%),
5.46%, 9/20/34(2)
|
31,163
|
39,507
|
Wells Fargo Commercial Mortgage Trust,
Series 2015-NXS2, Class ASB, 3.46%,
7/15/58
|
38,447
|
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(Cost $2,403,514)
|
2,096,331
|
|
CORPORATE BONDS & NOTES 32.8%
|
||
BASIC MATERIALS 1.0%
|
||
|
CHEMICALS 0.3%
|
|
150,000
|
Nutrien Ltd., Senior Unsecured Notes, 4.20%,
4/1/29
|
144,476
|
|
IRON/STEEL 0.4%
|
|
165,000
|
Steel Dynamics, Inc., Senior Unsecured
Notes, 3.25%, 1/15/31
|
146,875
|
|
MINING 0.3%
|
|
145,000
|
Freeport-McMoRan, Inc., Guaranteed Notes,
4.63%, 8/1/30
|
136,960
|
|
|
428,311
|
COMMUNICATIONS 2.8%
|
||
|
INTERNET 0.7%
|
|
150,000
|
Expedia Group, Inc., Guaranteed Notes,
3.25%, 2/15/30
|
129,990
|
Principal
Amount
|
|
Value
|
CORPORATE BONDS & NOTES 32.8% (continued)
|
||
COMMUNICATIONS 2.8% (continued)
|
||
|
INTERNET 0.7% (continued)
|
|
$ 145,000
|
Netflix, Inc., Senior Unsecured Notes, 4.88%,
4/15/28
|
$ 144,275
|
|
|
274,265
|
|
MEDIA 0.8%
|
|
150,000
|
Charter Communications
Operating LLC/Charter Communications
Operating Capital, Senior Secured Notes,
4.91%, 7/23/25
|
148,503
|
175,000
|
Comcast Corp., Guaranteed Notes, 4.15%,
10/15/28
|
173,114
|
|
|
321,617
|
|
TELECOMMUNICATIONS 1.3%
|
|
150,000
|
AT&T, Inc., Senior Unsecured Notes, 2.55%,
12/1/33
|
120,653
|
150,000
|
Motorola Solutions, Inc., Senior Unsecured
Notes, 4.60%, 5/23/29
|
145,915
|
150,000
|
T-Mobile USA, Inc., Guaranteed Notes, 3.50%,
4/15/31
|
134,875
|
175,000
|
Vodafone Group PLC, Senior Unsecured Notes,
4.25%, 9/17/50
|
143,066
|
|
|
544,509
|
|
|
1,140,391
|
CONSUMER, CYCLICAL 4.2%
|
||
|
AUTO MANUFACTURERS 1.1%
|
|
175,000
|
Cummins, Inc., Senior Unsecured Notes,
1.50%, 9/1/30
|
143,175
|
170,000
|
Ford Motor Credit Co. LLC, Senior Unsecured
Notes, 3.38%, 11/13/25
|
159,339
|
150,000
|
General Motors Financial Co., Inc., Senior
Unsecured Notes, 5.00%, 4/9/27
|
148,225
|
|
|
450,739
|
|
HOME BUILDERS 0.7%
|
|
142,000
|
PulteGroup, Inc., Guaranteed Notes, 5.00%,
1/15/27
|
140,822
|
150,000
|
Toll Brothers Finance Corp., Guaranteed
Notes, 4.88%, 11/15/25
|
147,139
|
|
|
287,961
|
|
LODGING 0.6%
|
|
125,000
|
Hyatt Hotels Corp., Senior Unsecured Notes,
1.80%, 10/1/24
|
118,343
|
150,000
|
Marriott International, Inc., 4.90%, 4/15/29
|
148,686
|
|
|
267,029
|
|
RETAIL 1.8%
|
|
150,000
|
AutoZone, Inc., Senior Unsecured Notes,
3.75%, 6/1/27
|
145,107
|
175,000
|
Costco Wholesale Corp., Senior Unsecured
Notes, 1.75%, 4/20/32
|
143,868
|
150,000
|
Dollar General Corp., Senior Unsecured Notes,
3.50%, 4/3/30
|
137,780
|
150,000
|
McDonald's Corp., Senior Unsecured Notes,
4.60%, 9/9/32(3)
|
151,784
|
Principal
Amount
|
|
Value
|
CORPORATE BONDS & NOTES 32.8% (continued)
|
||
CONSUMER, CYCLICAL 4.2% (continued)
|
||
|
RETAIL 1.8% (continued)
|
|
$ 150,000
|
O'Reilly Automotive, Inc., Senior Unsecured
Notes, 3.60%, 9/1/27
|
$ 144,802
|
|
|
723,341
|
|
|
1,729,070
|
CONSUMER, NON-CYCLICAL 6.6%
|
||
|
BEVERAGES 1.3%
|
|
150,000
|
Anheuser-Busch InBev Worldwide, Inc.,
Guaranteed Notes, 4.90%, 1/23/31(3)
|
154,538
|
150,000
|
Constellation Brands, Inc., 2.25%, 8/1/31
|
123,232
|
160,000
|
Constellation Brands, Inc., Guaranteed Notes,
5.25%, 11/15/48
|
154,296
|
125,000
|
Diageo Capital PLC, Guaranteed Notes,
2.00%, 4/29/30
|
106,498
|
|
|
538,564
|
|
BIOTECHNOLOGY 0.6%
|
|
150,000
|
Amgen, Inc., Senior Unsecured Notes, 2.20%,
2/21/27(3)
|
138,203
|
150,000
|
Regeneron Pharmaceuticals, Inc., Senior
Unsecured Notes, 1.75%, 9/15/30
|
121,389
|
|
|
259,592
|
|
COMMERCIAL SERVICES 0.7%
|
|
150,000
|
PayPal Holdings, Inc., Senior Unsecured
Notes, 2.65%, 10/1/26
|
141,441
|
155,000
|
Service Corp. International, Senior Unsecured
Notes, 4.00%, 5/15/31
|
136,121
|
|
|
277,562
|
|
HEALTHCARE SERVICES 1.8%
|
|
150,000
|
Centene Corp., Senior Unsecured Notes,
4.63%, 12/15/29
|
141,036
|
150,000
|
Elevance Health, Inc., 4.75%, 2/15/33
|
150,753
|
150,000
|
HCA, Inc., Guaranteed Notes, 5.38%, 2/1/25
|
150,063
|
150,000
|
Laboratory Corp. of America Holdings, Senior
Unsecured Notes, 2.95%, 12/1/29
|
133,876
|
150,000
|
UnitedHealth Group, Inc., Senior Unsecured
Notes, 4.63%, 11/15/41
|
144,237
|
|
|
719,965
|
|
PHARMACEUTICALS 2.2%
|
|
150,000
|
AbbVie, Inc., Senior Unsecured Notes, 2.95%,
11/21/26
|
142,723
|
150,000
|
AstraZeneca PLC, Senior Unsecured Notes,
1.38%, 8/6/30
|
122,278
|
150,000
|
Becton Dickinson and Co., Senior Unsecured
Notes, 3.70%, 6/6/27(3)
|
144,923
|
150,000
|
CVS Health Corp., Senior Unsecured Notes,
1.75%, 8/21/30
|
121,942
|
175,000
|
Merck & Co., Inc., Senior Unsecured Notes,
3.90%, 3/7/39
|
160,374
|
160,000
|
Novartis Capital Corp., Guaranteed Notes,
2.75%, 8/14/50(3)
|
118,363
|
140,000
|
Takeda Pharmaceutical Co. Ltd., Senior
Unsecured Notes, 3.03%, 7/9/40
|
106,806
|
|
|
917,409
|
|
|
2,713,092
|
Principal
Amount
|
|
Value
|
CORPORATE BONDS & NOTES 32.8% (continued)
|
||
ENERGY 3.4%
|
||
|
OIL & GAS 1.5%
|
|
$ 150,000
|
Canadian Natural Resources Ltd., Senior
Unsecured Notes, 2.05%, 7/15/25
|
$ 140,135
|
165,000
|
EOG Resources, Inc., Senior Unsecured Notes,
4.38%, 4/15/30
|
164,478
|
150,000
|
Hess Corp., Senior Unsecured Notes, 4.30%,
4/1/27
|
146,419
|
150,000
|
Occidental Petroleum Corp., Senior Unsecured
Notes, 5.50%, 12/1/25
|
149,831
|
|
|
600,863
|
|
PIPELINES 1.9%
|
|
125,000
|
Boardwalk Pipelines LP, Guaranteed Notes,
4.95%, 12/15/24
|
124,247
|
150,000
|
Enbridge, Inc., Guaranteed Notes, 2.50%,
8/1/33
|
120,874
|
140,000
|
Enterprise Products Operating LLC,
Guaranteed Notes, 4.85%, 8/15/42
|
130,510
|
140,000
|
Magellan Midstream Partners LP, Senior
Unsecured Notes, 4.25%, 9/15/46
|
111,365
|
150,000
|
Targa Resources Corp., Guaranteed Notes,
5.20%, 7/1/27
|
148,746
|
150,000
|
TransCanada PipeLines Ltd., Senior
Unsecured Notes, 4.25%, 5/15/28
|
145,541
|
|
|
781,283
|
|
|
1,382,146
|
FINANCIAL 11.2%
|
||
|
BANKS 5.6%
|
|
150,000
|
Bank of New York Mellon Corp., (SOFR +
1.51%), 4.71%, 2/1/34(2)
|
148,469
|
150,000
|
Citigroup, Inc., Senior Unsecured Notes,
(3-month LIBOR + 1.16%), 3.35%,
4/24/25(2)
|
146,190
|
155,000
|
Citigroup, Inc., Subordinated Notes, 5.30%,
5/6/44
|
147,420
|
175,000
|
Goldman Sachs Group, Inc., Senior
Unsecured Notes, 3.75%, 2/25/26
|
170,113
|
125,000
|
JPMorgan Chase & Co., Subordinated Notes,
4.13%, 12/15/26
|
122,041
|
175,000
|
JPMorgan Chase & Co., Senior Unsecured
Notes, (3-month LIBOR + 1.38%), 3.96%,
11/15/48(2)
|
144,658
|
150,000
|
KeyCorp, Senior Unsecured Notes, 2.55%,
10/1/29(3)
|
119,855
|
175,000
|
Lloyds Banking Group PLC, Senior Unsecured
Notes, 3.90%, 3/12/24
|
171,558
|
150,000
|
Morgan Stanley, (SOFR + 2.56%), 6.34%,
10/18/33(2)
|
163,829
|
150,000
|
NatWest Group PLC, (1 yr. CMT + 1.30%),
5.85%, 3/2/27(2)
|
150,383
|
150,000
|
Northern Trust Corp., Senior Unsecured
Notes, 1.95%, 5/1/30(3)
|
125,072
|
150,000
|
PNC Financial Services Group, Inc. (The),
Senior Unsecured Notes, (SOFR + 0.98%),
2.31%, 4/23/32(2)
|
122,779
|
160,000
|
Royal Bank of Canada, 5.00%, 2/1/33
|
161,899
|
150,000
|
Synovus Bank, 5.63%, 2/15/28
|
134,625
|
Principal
Amount
|
|
Value
|
CORPORATE BONDS & NOTES 32.8% (continued)
|
||
FINANCIAL 11.2% (continued)
|
||
|
BANKS 5.6% (continued)
|
|
$ 200,000
|
Wells Fargo & Co., Senior Unsecured Notes,
(SOFR + 1.32%), 5.96%, 4/25/26(2)
|
$ 199,794
|
150,000
|
Zions Bancorp NA, Subordinated Notes,
3.25%, 10/29/29
|
104,823
|
|
|
2,333,508
|
|
DIVERSIFIED FINANCIALS 1.5%
|
|
175,000
|
AerCap Ireland Capital DAC/AerCap Global
Aviation Trust, Guaranteed Notes, 1.75%,
1/30/26
|
156,698
|
175,000
|
Air Lease Corp., Senior Unsecured Notes,
3.63%, 4/1/27
|
162,260
|
160,000
|
Ally Financial, Inc., Senior Unsecured Notes,
4.75%, 6/9/27
|
149,000
|
165,000
|
Discover Financial Services, Senior Unsecured
Notes, 3.95%, 11/6/24
|
157,332
|
|
|
625,290
|
|
INSURANCE 1.0%
|
|
150,000
|
Aflac, Inc., Senior Unsecured Notes, 3.60%,
4/1/30
|
141,111
|
125,000
|
Allstate Corp., Senior Unsecured Notes,
1.45%, 12/15/30
|
97,224
|
175,000
|
Prudential Financial, Inc., Junior
Subordinated Notes, (3-month LIBOR +
2.67%), 5.70%, 9/15/48(2)
|
163,188
|
|
|
401,523
|
|
REITS 3.1%
|
|
150,000
|
American Tower Corp., 5.50%, 3/15/28
|
152,930
|
125,000
|
AvalonBay Communities, Inc., Senior
Unsecured Notes, 2.45%, 1/15/31
|
105,323
|
150,000
|
Crown Castle, Inc., Senior Unsecured Notes,
3.80%, 2/15/28
|
142,352
|
125,000
|
Digital Realty Trust LP, Guaranteed Notes,
3.60%, 7/1/29
|
112,227
|
150,000
|
Equinix, Inc., Senior Unsecured Notes,
2.50%, 5/15/31
|
123,513
|
150,000
|
Kimco Realty Corp., Senior Unsecured Notes,
2.25%, 12/1/31
|
117,512
|
150,000
|
Life Storage LP, Guaranteed Notes, 2.20%,
10/15/30
|
123,069
|
140,000
|
Prologis LP, Senior Unsecured Notes, 2.25%,
4/15/30
|
118,767
|
155,000
|
Sabra Health Care LP, Guaranteed Notes,
3.90%, 10/15/29
|
128,163
|
150,000
|
Welltower, Inc., Senior Unsecured Notes,
4.25%, 4/15/28
|
143,451
|
|
|
1,267,307
|
|
|
4,627,628
|
INDUSTRIAL 1.9%
|
||
|
BUILDING MATERIALS 0.3%
|
|
150,000
|
Vulcan Materials Co., Senior Unsecured Notes,
3.50%, 6/1/30
|
137,081
|
|
ELECTRONICS 0.7%
|
|
160,000
|
Amphenol Corp., Senior Unsecured Notes,
2.20%, 9/15/31
|
132,712
|
Principal
Amount
|
|
Value
|
CORPORATE BONDS & NOTES 32.8% (continued)
|
||
INDUSTRIAL 1.9% (continued)
|
||
|
ELECTRONICS 0.7% (continued)
|
|
$ 150,000
|
Flex Ltd., Senior Unsecured Notes, 4.75%,
6/15/25
|
$ 147,260
|
|
|
279,972
|
|
MACHINERY - DIVERSIFIED 0.3%
|
|
150,000
|
John Deere Capital Corp., Senior Unsecured
Notes, 2.45%, 1/9/30
|
133,394
|
|
TRANSPORTATION 0.6%
|
|
175,000
|
CSX Corp., Senior Unsecured Notes, 3.35%,
9/15/49
|
131,783
|
150,000
|
Union Pacific Corp., Senior Unsecured Notes,
3.25%, 2/5/50
|
114,000
|
|
|
245,783
|
|
|
796,230
|
TECHNOLOGY 1.3%
|
||
|
SEMICONDUCTORS 0.6%
|
|
140,000
|
Analog Devices, Inc., Senior Unsecured Notes,
2.80%, 10/1/41
|
106,877
|
140,000
|
Broadcom, Inc., 4.30%, 11/15/32
|
128,988
|
|
|
235,865
|
|
SOFTWARE 0.7%
|
|
150,000
|
Adobe, Inc., Senior Unsecured Notes, 2.30%,
2/1/30(3)
|
133,221
|
150,000
|
Oracle Corp., 6.25%, 11/9/32
|
161,332
|
|
|
294,553
|
|
|
530,418
|
UTILITIES 0.4%
|
||
|
ELECTRIC 0.4%
|
|
150,000
|
Duke Energy Corp., Senior Unsecured Notes,
4.50%, 8/15/32
|
145,020
|
TOTAL CORPORATE BONDS & NOTES
(Cost $14,887,827)
|
13,492,306
|
|
LONG-TERM MUNICIPAL SECURITIES 2.5%
|
||
|
CALIFORNIA 0.4%
|
|
200,000
|
San Marcos California Unified School District,
Refunding Revenue Bonds, 3.17%, 8/1/38
|
159,520
|
|
CONNECTICUT 0.2%
|
|
125,000
|
Hartford County Metropolitan District Clean
Water Project Revenue, Series B, 2.17%,
4/1/34
|
99,160
|
|
DISTRICT OF COLUMBIA 0.5%
|
|
200,000
|
District of Columbia Income Tax Secured
Revenue Bonds, Build America Bonds,
Series F, 4.91%, 12/1/23
|
199,926
|
|
OREGON 0.3%
|
|
145,000
|
State of Oregon, Series C, GO, 2.38%, 5/1/36
|
112,396
|
|
TEXAS 1.1%
|
|
500,000
|
Tarrant County Cultural Education Facilities
Finance Corp., Revenue Bonds, Baylor
Health Care System Project, Series C,
Series C, 4.45%, 11/15/43
|
458,907
|
TOTAL LONG-TERM MUNICIPAL SECURITIES
(Cost $1,178,829)
|
1,029,909
|
Principal
Amount
|
|
Value
|
U.S. GOVERNMENT AGENCY OBLIGATIONS 0.6%
|
||
$ 250,000
|
FNMA, 2.63%, 9/6/24(3)
|
$ 244,058
|
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(Cost $250,439)
|
244,058
|
|
RESIDENTIAL MORTGAGE-BACKED SECURITIES 27.8%
|
||
20,763
|
FHLMC Gold PC Pool #A29526, 5.00%, 1/1/35
|
20,898
|
88,262
|
FHLMC Gold PC Pool #C91749, 4.00%, 1/1/34
|
86,261
|
35,295
|
FHLMC Gold PC Pool #G06224, 3.50%, 1/1/41
|
33,714
|
9,712
|
FHLMC Gold PC Pool #J11587, 4.00%, 1/1/25
|
9,767
|
17,499
|
FHLMC Gold PC Pool #Q06307, 3.50%, 2/1/42
|
16,713
|
19,333
|
FHLMC Gold PC Pool #Q08656, 4.00%, 6/1/42
|
18,940
|
37,344
|
FHLMC Gold PC Pool #Q08903, 3.50%, 6/1/42
|
35,667
|
120,271
|
FHLMC Gold PC Pool #Q14593, 3.00%, 1/1/43
|
111,046
|
155,802
|
FHLMC Gold Pool #Q34167, 4.00%, 6/1/45
|
152,063
|
49,897
|
FHLMC Gold Pool #Q57991, 4.00%, 8/1/48
|
48,514
|
177,938
|
FHLMC Pool #QB2958, 3.00%, 9/1/50
|
160,420
|
189,876
|
FHLMC Pool #QB5314, 2.50%, 11/1/50
|
164,033
|
233,839
|
FHLMC Pool #QB8153, 2.50%, 1/1/51
|
202,615
|
140,170
|
FHLMC Pool #SD8023, 2.50%, 11/1/49
|
121,481
|
154,966
|
FHLMC Pool #SD8163, 3.50%, 8/1/51
|
144,409
|
443,187
|
FHLMC Pool #SD8173, 2.50%, 10/1/51
|
382,393
|
809,147
|
FHLMC Pool, #QF1236, 4.50%, 10/1/52
|
792,743
|
1,042,396
|
FHLMC Pool, #SD8256, 4.00%, 10/1/52
|
996,945
|
1,038,202
|
FHLMC Pool, #SD8300, 5.50%, 2/1/53
|
1,048,641
|
50,503
|
FNMA Pool #AB2346, 4.50%, 2/1/41
|
50,789
|
31,830
|
FNMA Pool #AB5231, 2.50%, 5/1/27
|
30,685
|
31,152
|
FNMA Pool #AB5716, 3.00%, 7/1/27
|
30,263
|
49,943
|
FNMA Pool #AI4285, 5.00%, 6/1/41
|
51,010
|
216,898
|
FNMA Pool #AR6394, 3.00%, 2/1/43
|
200,051
|
61,690
|
FNMA Pool #AS5892, 3.50%, 10/1/45
|
58,243
|
20,111
|
FNMA Pool #AS6102, 3.50%, 11/1/45
|
18,987
|
36,322
|
FNMA Pool #AS6205, 3.50%, 11/1/45
|
34,293
|
27,349
|
FNMA Pool #AS6385, 4.00%, 12/1/45
|
26,665
|
68,740
|
FNMA Pool #AS9562, 3.00%, 5/1/47
|
62,783
|
77,001
|
FNMA Pool #AU4279, 3.00%, 9/1/43
|
71,017
|
62,240
|
FNMA Pool #AV0703, 4.00%, 12/1/43
|
60,874
|
27,642
|
FNMA Pool #AW7362, 2.50%, 8/1/29
|
26,213
|
71,757
|
FNMA Pool #AX0416, 4.00%, 8/1/44
|
69,694
|
42,970
|
FNMA Pool #AY1670, 3.50%, 2/1/45
|
40,675
|
25,754
|
FNMA Pool #AY4195, 4.00%, 5/1/45
|
25,117
|
33,380
|
FNMA Pool #BA3885, 3.50%, 11/1/45
|
31,514
|
1,070,000
|
FNMA Pool #BX7762, 5.00%, 3/1/53
|
1,067,052
|
133,663
|
FNMA Pool #CA2320, 3.50%, 9/1/48
|
126,592
|
67,222
|
FNMA Pool #CA5540, 3.00%, 4/1/50
|
60,856
|
727,500
|
FNMA Pool #CB0856, 3.00%, 6/1/51
|
654,524
|
834,030
|
FNMA Pool #CB5892, 4.50%, 3/1/53
|
817,538
|
1,140,469
|
FNMA Pool #FM9834, 3.50%, 6/1/49
|
1,069,925
|
59,209
|
FNMA Pool #MA0641, 4.00%, 2/1/31
|
57,808
|
76,940
|
FNMA Pool #MA4012, 2.00%, 5/1/35
|
69,836
|
466,774
|
FNMA Pool #MA4548, 2.50%, 2/1/52
|
402,666
|
1,050,000
|
FNMA Pool #MA4979, 5.50%, 4/1/53
|
1,060,558
|
15,027
|
FNMA REMIC Trust Series 2013-18, Series
2013-18, Class AE, 2.00%, 3/25/28
|
14,303
|
Principal
Amount
|
|
Value
|
RESIDENTIAL MORTGAGE-BACKED SECURITIES 27.8% (continued)
|
||
$ 8,253
|
GNMA, Series 2011-136, Class GB, 2.50%,
5/20/40
|
$ 8,209
|
1,373,113
|
GNMA, Series 2021-98, Class 2021-IG, IO,
3.00%, 6/20/51
|
206,678
|
35,810
|
GNMA II Pool #5332, 4.00%, 3/20/42
|
35,358
|
133,586
|
GNMA II Pool #MA3937, 3.50%, 9/20/46
|
127,125
|
122,811
|
GNMA II Pool #MA7054, 3.50%, 12/20/50
|
116,131
|
129,829
|
GNMA II Pool #MA7651, 3.50%, 10/20/51
|
121,695
|
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES
(Cost $12,190,914)
|
11,452,990
|
|
U.S. TREASURY OBLIGATIONS 25.8%
|
||
120,000
|
U.S. Treasury Bonds, 5.38%, 2/15/31(3)
|
135,220
|
250,000
|
U.S. Treasury Bonds, 4.38%, 2/15/38
|
273,750
|
650,000
|
U.S. Treasury Bonds, 3.50%, 2/15/39
|
642,129
|
350,000
|
U.S. Treasury Bonds, 1.13%, 5/15/40
|
232,900
|
750,000
|
U.S. Treasury Bonds, 2.88%, 5/15/43
|
648,018
|
964,000
|
U.S. Treasury Bonds, 3.00%, 2/15/48
|
840,864
|
1,930,000
|
U.S. Treasury Bonds, 2.25%, 8/15/49
|
1,451,194
|
200,000
|
U.S. Treasury Bonds, 2.88%, 5/15/52
|
171,094
|
111,593
|
U.S. Treasury Inflation Indexed Note, 0.13%,
7/15/31
|
102,767
|
550,000
|
U.S. Treasury Notes, 1.25%, 7/31/23
|
543,641
|
550,000
|
U.S. Treasury Notes, 0.13%, 8/31/23
|
539,731
|
1,335,000
|
U.S. Treasury Notes, 2.25%, 11/15/24
|
1,293,125
|
300,000
|
U.S. Treasury Notes, 3.00%, 9/30/25
|
293,402
|
1,075,000
|
U.S. Treasury Notes, 2.75%, 2/15/28
|
1,032,588
|
675,000
|
U.S. Treasury Notes, 1.63%, 8/15/29
|
602,068
|
200,000
|
U.S. Treasury Notes, 3.50%, 1/31/30
|
199,188
|
700,000
|
U.S. Treasury Notes, 1.50%, 2/15/30
|
613,648
|
625,000
|
U.S. Treasury Notes, 1.13%, 2/15/31
|
526,294
|
525,000
|
U.S. Treasury Notes, 2.75%, 8/15/32
|
494,074
|
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $11,871,093)
|
10,635,695
|
Shares |
|
Value |
SHORT-TERM INVESTMENTS 18.4%
|
||
|
MONEY MARKET FUNDS 18.4%
|
|
7,020,753
|
State Street Institutional U.S. Government
Money Market Fund, Premier Class,
4.70%(4)
|
7,020,753
|
561,688
|
State Street Navigator Securities Lending
Government Money Market Portfolio(5)
|
561,688
|
|
|
7,582,441
|
TOTAL SHORT-TERM INVESTMENTS
(Cost $7,582,441)
|
7,582,441
|
|
TOTAL INVESTMENTS IN SECURITIES 114.6%
(Cost $51,024,007)
|
$47,189,708
|
|
EXCESS OF LIABILITIES OVER CASH AND OTHER ASSETS
(14.6)%
|
(6,013,332)
|
|
NET ASSETS(6) 100.0%
|
$41,176,376
|
(1)
|
Pursuant to Rule 144A under the Securities Act of 1933,
this security can only be sold to qualified institutional
investors.
|
(2)
|
Floating or variable rate security. The rate disclosed is
the rate in effect as of March 31, 2023. The information
in parentheses represents the benchmark and reference
rate for each relevant security and the rate adjusts based
upon the reference rate and spread. The security may be
further subject to interest rate floor and caps. For
securities which do not indicate a reference rate and
spread in their descriptions, the interest rate adjusts
periodically based on current interest rates and, for
mortgage-backed securities, prepayments in the
underlying pool of assets.
|
(3)
|
A portion or all of the security was held on loan. As of
March 31, 2023, the market value of the securities on
loan was $1,463,490.
|
(4)
|
Rate reflects 7 day yield as of March 31, 2023.
|
(5)
|
Securities with an aggregate market value of $1,463,490
were out on loan in exchange for $561,688 of cash
collateral as of March 31, 2023. The collateral was
invested in a cash collateral reinvestment vehicle.
|
(6)
|
For federal income tax purposes, the aggregate cost was
$51,024,007, aggregate gross unrealized appreciation
was $75,768, aggregate gross unrealized depreciation
was $3,910,067 and the net unrealized depreciation was
$3,834,299.
|
FHLMC
|
Federal Home Loan Mortgage Corp.
|
FNMA
|
Federal National Mortgage Association.
|
FREMF
|
Freddie Mac Multifamily.
|
GNMA
|
Government National Mortgage Association.
|
LIBOR
|
London Interbank Offered Rate.
|
REMIC
|
Real Estate Mortgage Investment Conduit.
|
SOFR
|
Secured Overnight Financing Rate.
|
Investments in Securities:
|
Level 1
|
Level 2
|
Level 3
|
Total
|
Assets
|
|
|
|
|
Collateralized Mortgage Obligations
|
$—
|
$655,978
|
$—
|
$655,978
|
Commercial Mortgage-Backed Securities
|
—
|
2,096,331
|
—
|
2,096,331
|
Corporate Bonds & Notes*
|
—
|
13,492,306
|
—
|
13,492,306
|
Long-Term Municipal Securities*
|
—
|
1,029,909
|
—
|
1,029,909
|
U.S. Government Agency Obligations
|
—
|
244,058
|
—
|
244,058
|
Residential Mortgage-Backed Securities
|
—
|
11,452,990
|
—
|
11,452,990
|
U.S. Treasury Obligations
|
—
|
10,635,695
|
—
|
10,635,695
|
Short-Term Investments
|
7,582,441
|
—
|
—
|
7,582,441
|
Total Investments in Securities
|
$7,582,441
|
$39,607,267
|
$—
|
$47,189,708
|
*
|
See Schedule of Investments for further breakdown by category.
|