Principal
Amount
|
|
Value |
COLLATERALIZED MORTGAGE OBLIGATIONS 2.5%
|
||
$ 300,761
|
FHLMC, Series 2023-DNA1, Class M1A, REMIC,
(SOFR30A + 2.10%), 7.42%, 3/25/43(1)(2)
|
$303,523
|
299,396
|
FNMA, Series 2023-R02, Class 1M1, (SOFR30A
+ 2.30%), 7.62%, 1/25/43(1)(2)
|
303,327
|
311,422
|
FNMA, Series 2023-R04, Class 1M1, (SOFR30A
+ 2.30%), 7.62%, 5/25/43(1)(2)
|
315,348
|
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $914,491)
|
922,198
|
|
COMMERCIAL MORTGAGE-BACKED SECURITIES 2.8%
|
||
150,000
|
COMM Mortgage Trust, Series 2014-UBS2,
Class AM, 4.20%, 3/10/47
|
148,275
|
300,000
|
FHLMC Multifamily Structured Pass-Through
Certificates, Series K069, Class A2, 3.19%,
9/25/27(2)
|
278,717
|
200,000
|
FHLMC Multifamily Structured Pass-Through
Certificates, Series K092, Class A2, 3.30%,
4/25/29
|
182,418
|
175,000
|
FREMF Mortgage Trust, Series 2015-K43,
Class B, 3.86%, 2/25/48(1)(2)
|
168,498
|
134,135
|
GNMA, Series 2012-125, Class AB, 2.11%,
2/16/53(2)
|
104,435
|
100,418
|
GNMA, Series 2013-12, Class AB, 1.83%,
11/16/52
|
91,166
|
32,298
|
Sequoia Mortgage Trust, Series 2004-8,
Class A1, (SOFR + 0.70%), 6.14%,
9/20/34(2)
|
28,134
|
28,441
|
Wells Fargo Commercial Mortgage Trust,
Series 2015-NXS2, Class ASB, 3.46%,
7/15/58
|
27,765
|
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(Cost $1,167,573)
|
1,029,408
|
|
CORPORATE BONDS & NOTES 32.9%
|
||
BASIC MATERIALS 0.7%
|
||
|
IRON/STEEL 0.4%
|
|
165,000
|
Steel Dynamics, Inc., Senior Unsecured
Notes, 3.25%, 1/15/31
|
139,661
|
|
MINING 0.3%
|
|
145,000
|
Freeport-McMoRan, Inc., Guaranteed Notes,
4.63%, 8/1/30
|
130,642
|
|
|
270,303
|
COMMUNICATIONS 3.3%
|
||
|
INTERNET 0.7%
|
|
150,000
|
Expedia Group, Inc., Guaranteed Notes,
3.25%, 2/15/30(3)
|
126,870
|
150,000
|
Netflix, Inc., Senior Unsecured Notes, 4.88%,
4/15/28(3)
|
145,338
|
|
|
272,208
|
|
MEDIA 0.8%
|
|
150,000
|
Charter Communications
Operating LLC/Charter Communications
Operating Capital, Senior Secured Notes,
4.91%, 7/23/25
|
146,573
|
150,000
|
Comcast Corp., Guaranteed Notes, 4.15%,
10/15/28(3)
|
142,088
|
|
|
288,661
|
Principal
Amount
|
|
Value
|
CORPORATE BONDS & NOTES 32.9% (continued)
|
||
COMMUNICATIONS 3.3% (continued)
|
||
|
TELECOMMUNICATIONS 1.8%
|
|
$ 150,000
|
AT&T, Inc., Senior Unsecured Notes, 2.55%,
12/1/33
|
$110,173
|
150,000
|
Bell Canada Co. (The), 5.10%, 5/11/33
|
140,222
|
150,000
|
Cisco Systems, Inc., 2.50%, 9/20/26
|
139,251
|
150,000
|
T-Mobile USA, Inc., Guaranteed Notes, 3.50%,
4/15/31
|
126,836
|
175,000
|
Vodafone Group PLC, Senior Unsecured Notes,
4.25%, 9/17/50
|
126,877
|
|
|
643,359
|
|
|
1,204,228
|
CONSUMER, CYCLICAL 3.8%
|
||
|
AUTO MANUFACTURERS 1.1%
|
|
150,000
|
Cummins, Inc., Senior Unsecured Notes,
1.50%, 9/1/30
|
117,139
|
170,000
|
Ford Motor Credit Co. LLC, Senior Unsecured
Notes, 3.38%, 11/13/25
|
157,729
|
150,000
|
General Motors Financial Co., Inc., Senior
Unsecured Notes, 5.00%, 4/9/27
|
143,981
|
|
|
418,849
|
|
HOME BUILDERS 0.4%
|
|
152,000
|
PulteGroup, Inc., Guaranteed Notes, 5.00%,
1/15/27
|
148,601
|
|
LODGING 0.8%
|
|
150,000
|
Hyatt Hotels Corp., Senior Unsecured Notes,
1.80%, 10/1/24
|
143,902
|
150,000
|
Marriott International, Inc., 4.90%, 4/15/29
|
143,018
|
|
|
286,920
|
|
RETAIL 1.5%
|
|
150,000
|
AutoZone, Inc., Senior Unsecured Notes,
3.75%, 6/1/27
|
141,342
|
150,000
|
Costco Wholesale Corp., Senior Unsecured
Notes, 1.75%, 4/20/32(3)
|
114,824
|
150,000
|
McDonald's Corp., Senior Unsecured Notes,
4.60%, 9/9/32(3)
|
141,107
|
150,000
|
O'Reilly Automotive, Inc., Senior Unsecured
Notes, 3.60%, 9/1/27(3)
|
140,078
|
|
|
537,351
|
|
|
1,391,721
|
CONSUMER, NON-CYCLICAL 7.5%
|
||
|
BEVERAGES 1.3%
|
|
125,000
|
Anheuser-Busch InBev Worldwide, Inc.,
Guaranteed Notes, 4.90%, 1/23/31(3)
|
121,702
|
150,000
|
Constellation Brands, Inc., 2.25%, 8/1/31
|
116,849
|
150,000
|
Constellation Brands, Inc., Guaranteed Notes,
5.25%, 11/15/48
|
132,950
|
135,000
|
Diageo Capital PLC, Guaranteed Notes,
2.00%, 4/29/30
|
109,519
|
|
|
481,020
|
|
BIOTECHNOLOGY 1.1%
|
|
160,000
|
Amgen, Inc., Senior Unsecured Notes, 2.20%,
2/21/27
|
143,631
|
150,000
|
Gilead Sciences, Inc., 4.60%, 9/1/35
|
137,264
|
Principal
Amount
|
|
Value
|
CORPORATE BONDS & NOTES 32.9% (continued)
|
||
CONSUMER, NON-CYCLICAL 7.5% (continued)
|
||
|
BIOTECHNOLOGY 1.1% (continued)
|
|
$ 150,000
|
Regeneron Pharmaceuticals, Inc., Senior
Unsecured Notes, 1.75%, 9/15/30
|
$115,417
|
|
|
396,312
|
|
COMMERCIAL SERVICES 0.7%
|
|
150,000
|
PayPal Holdings, Inc., Senior Unsecured
Notes, 2.65%, 10/1/26
|
138,342
|
155,000
|
Service Corp. International, Senior Unsecured
Notes, 4.00%, 5/15/31
|
127,252
|
|
|
265,594
|
|
HEALTHCARE PRODUCTS 0.4%
|
|
150,000
|
Stryker Corp., 3.38%, 11/1/25
|
143,560
|
|
HEALTHCARE SERVICES 1.2%
|
|
150,000
|
Centene Corp., Senior Unsecured Notes,
4.63%, 12/15/29
|
135,094
|
150,000
|
Elevance Health, Inc., 4.75%, 2/15/33
|
139,618
|
150,000
|
HCA, Inc., Guaranteed Notes, 5.38%, 2/1/25
|
148,413
|
|
|
423,125
|
|
PHARMACEUTICALS 2.8%
|
|
150,000
|
AbbVie, Inc., Senior Unsecured Notes, 2.95%,
11/21/26
|
139,201
|
150,000
|
Astrazeneca Finance LLC, 4.88%, 3/3/28
|
147,371
|
150,000
|
Becton Dickinson and Co., Senior Unsecured
Notes, 3.70%, 6/6/27
|
140,571
|
150,000
|
CVS Health Corp., Senior Unsecured Notes,
1.75%, 8/21/30
|
115,425
|
150,000
|
Eli Lilly & Co., 4.70%, 2/27/33
|
144,400
|
150,000
|
Merck & Co., Inc., Senior Unsecured Notes,
3.90%, 3/7/39
|
124,712
|
140,000
|
Takeda Pharmaceutical Co. Ltd., Senior
Unsecured Notes, 3.03%, 7/9/40
|
97,205
|
125,000
|
Teva Pharmaceutical Finance Netherlands III
BV, Guaranteed Notes, 3.15%, 10/1/26
|
111,409
|
|
|
1,020,294
|
|
|
2,729,905
|
ENERGY 3.0%
|
||
|
OIL & GAS 1.2%
|
|
150,000
|
Canadian Natural Resources Ltd., Senior
Unsecured Notes, 2.05%, 7/15/25
|
139,982
|
150,000
|
Hess Corp., Senior Unsecured Notes, 4.30%,
4/1/27
|
142,482
|
150,000
|
Occidental Petroleum Corp., Senior Unsecured
Notes, 5.50%, 12/1/25(3)
|
148,038
|
|
|
430,502
|
|
PIPELINES 1.8%
|
|
150,000
|
Boardwalk Pipelines LP, Guaranteed Notes,
4.95%, 12/15/24
|
147,795
|
150,000
|
Enbridge, Inc., Guaranteed Notes, 2.50%,
8/1/33
|
111,264
|
150,000
|
Energy Transfer LP, 5.25%, 4/15/29
|
143,825
|
150,000
|
Enterprise Products Operating LLC,
Guaranteed Notes, 4.85%, 8/15/42
|
129,401
|
Principal
Amount
|
|
Value
|
CORPORATE BONDS & NOTES 32.9% (continued)
|
||
ENERGY 3.0% (continued)
|
||
|
PIPELINES 1.8% (continued)
|
|
$ 150,000
|
Targa Resources Corp., Guaranteed Notes,
5.20%, 7/1/27(3)
|
$146,988
|
|
|
679,273
|
|
|
1,109,775
|
FINANCIAL 9.7%
|
||
|
BANKS 4.8%
|
|
150,000
|
Bank of America Corp., (SOFR + 2.16%),
5.02%, 7/22/33(2)(3)
|
138,007
|
160,000
|
Citigroup, Inc., Senior Unsecured Notes,
(SOFR + 1.16%), 3.35%, 4/24/25(2)
|
157,146
|
155,000
|
Citigroup, Inc., Subordinated Notes, 5.30%,
5/6/44
|
132,416
|
175,000
|
Goldman Sachs Group, Inc., Senior
Unsecured Notes, 3.75%, 2/25/26
|
166,360
|
150,000
|
JPMorgan Chase & Co., Subordinated Notes,
4.13%, 12/15/26
|
142,566
|
175,000
|
JPMorgan Chase & Co., Senior Unsecured
Notes, (SOFR + 1.64%), 3.96%,
11/15/48(2)
|
127,684
|
175,000
|
Lloyds Banking Group PLC, Senior Unsecured
Notes, 3.90%, 3/12/24
|
173,246
|
150,000
|
Morgan Stanley, (SOFR + 2.56%), 6.34%,
10/18/33(2)
|
150,855
|
150,000
|
NatWest Group PLC, (1 yr. CMT + 1.35%),
5.85%, 3/2/27(2)
|
148,045
|
150,000
|
Northern Trust Corp., Senior Unsecured
Notes, 1.95%, 5/1/30(3)
|
119,438
|
160,000
|
Royal Bank of Canada, 5.00%, 2/1/33
|
149,081
|
150,000
|
Wells Fargo & Co., Senior Unsecured Notes,
(SOFR + 1.32%), 6.64%, 4/25/26(2)(3)
|
150,855
|
|
|
1,755,699
|
|
DIVERSIFIED FINANCIALS 2.1%
|
|
175,000
|
AerCap Ireland Capital DAC/AerCap Global
Aviation Trust, Guaranteed Notes, 1.75%,
1/30/26
|
157,932
|
150,000
|
Air Lease Corp., Senior Unsecured Notes,
3.63%, 4/1/27
|
135,719
|
160,000
|
Ally Financial, Inc., Senior Unsecured Notes,
4.75%, 6/9/27(3)
|
147,491
|
155,000
|
American Express Co., 4.90%, 2/13/26
|
152,068
|
165,000
|
Discover Financial Services, Senior Unsecured
Notes, 3.95%, 11/6/24
|
160,459
|
|
|
753,669
|
|
INSURANCE 0.7%
|
|
150,000
|
Aflac, Inc., Senior Unsecured Notes, 3.60%,
4/1/30
|
132,841
|
125,000
|
Prudential Financial, Inc., Junior
Subordinated Notes, (3-month LIBOR +
2.67%), 5.70%, 9/15/48(2)
|
114,587
|
|
|
247,428
|
|
REITS 2.1%
|
|
150,000
|
American Tower Corp., 5.50%, 3/15/28
|
147,163
|
150,000
|
Equinix, Inc., Senior Unsecured Notes,
2.50%, 5/15/31
|
117,090
|
Principal
Amount
|
|
Value
|
CORPORATE BONDS & NOTES 32.9% (continued)
|
||
FINANCIAL 9.7% (continued)
|
||
|
REITS 2.1% (continued)
|
|
$ 150,000
|
Extra Space Storage LP, 2.20%, 10/15/30
|
$116,312
|
150,000
|
Kimco Realty Corp., Senior Unsecured Notes,
2.25%, 12/1/31
|
112,593
|
150,000
|
Welltower, Inc., Senior Unsecured Notes,
4.25%, 4/15/28
|
139,741
|
150,000
|
Weyerhaeuser Co., 4.75%, 5/15/26
|
146,381
|
|
|
779,280
|
|
|
3,536,076
|
INDUSTRIAL 1.6%
|
||
|
ELECTRONICS 0.7%
|
|
160,000
|
Amphenol Corp., Senior Unsecured Notes,
2.20%, 9/15/31
|
125,114
|
150,000
|
Flex Ltd., Senior Unsecured Notes, 4.75%,
6/15/25
|
146,350
|
|
|
271,464
|
|
MISCELLANEOUS MANUFACTURERS 0.4%
|
|
150,000
|
Teledyne Technologies, Inc., 2.25%, 4/1/28
|
129,051
|
|
TRANSPORTATION 0.5%
|
|
150,000
|
CSX Corp., Senior Unsecured Notes, 3.35%,
9/15/49
|
100,030
|
150,000
|
Union Pacific Corp., Senior Unsecured Notes,
3.25%, 2/5/50
|
101,016
|
|
|
201,046
|
|
|
601,561
|
TECHNOLOGY 2.5%
|
||
|
COMPUTERS 0.8%
|
|
150,000
|
Apple, Inc., 4.65%, 2/23/46
|
133,655
|
150,000
|
Dell International LLC/EMC Corp., Senior
Unsecured Notes, 4.90%, 10/1/26
|
146,348
|
|
|
280,003
|
|
SEMICONDUCTORS 0.9%
|
|
140,000
|
Analog Devices, Inc., Senior Unsecured Notes,
2.80%, 10/1/41
|
93,454
|
150,000
|
Broadcom, Inc., 4.30%, 11/15/32
|
130,866
|
150,000
|
NVIDIA Corp., 3.50%, 4/1/40
|
118,098
|
|
|
342,418
|
|
SOFTWARE 0.8%
|
|
150,000
|
Adobe, Inc., Senior Unsecured Notes, 2.30%,
2/1/30(3)
|
126,218
|
150,000
|
Oracle Corp., 6.25%, 11/9/32(3)
|
151,853
|
|
|
278,071
|
|
|
900,492
|
UTILITIES 0.8%
|
||
|
ELECTRIC 0.8%
|
|
150,000
|
Duke Energy Corp., Senior Unsecured Notes,
4.50%, 8/15/32
|
134,934
|
150,000
|
Southern Co., 5.70%, 3/15/34
|
146,901
|
|
|
281,835
|
TOTAL CORPORATE BONDS & NOTES
(Cost $13,378,452)
|
12,025,896
|
Principal
Amount
|
|
Value
|
LONG-TERM MUNICIPAL SECURITIES 2.3%
|
||
|
CALIFORNIA 0.4%
|
|
$ 150,000
|
Regents of the University of California
Medical Center Pooled Revenue, Series Q,
4.13%, 5/15/32
|
$136,343
|
|
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
|
199,722
|
|
OREGON 0.3%
|
|
145,000
|
State of Oregon, Series C, GO, 2.38%, 5/1/36
|
103,279
|
|
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
|
416,490
|
TOTAL LONG-TERM MUNICIPAL SECURITIES
(Cost $988,713)
|
855,834
|
|
U.S. GOVERNMENT AGENCY OBLIGATIONS 0.7%
|
||
250,000
|
FNMA, 2.63%, 9/6/24(3)
|
243,515
|
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(Cost $250,288)
|
243,515
|
|
RESIDENTIAL MORTGAGE-BACKED SECURITIES 33.2%
|
||
19,826
|
FHLMC Gold PC Pool #A29526, 5.00%, 1/1/35
|
18,944
|
79,964
|
FHLMC Gold PC Pool #C91749, 4.00%, 1/1/34
|
74,328
|
33,188
|
FHLMC Gold PC Pool #G06224, 3.50%, 1/1/41
|
29,499
|
5,427
|
FHLMC Gold PC Pool #J11587, 4.00%, 1/1/25
|
5,263
|
16,976
|
FHLMC Gold PC Pool #Q06307, 3.50%, 2/1/42
|
15,088
|
18,992
|
FHLMC Gold PC Pool #Q08656, 4.00%, 6/1/42
|
17,296
|
35,424
|
FHLMC Gold PC Pool #Q08903, 3.50%, 6/1/42
|
31,467
|
112,659
|
FHLMC Gold PC Pool #Q14593, 3.00%, 1/1/43
|
96,446
|
136,558
|
FHLMC Gold Pool #Q34167, 4.00%, 6/1/45
|
124,859
|
28,823
|
FHLMC Gold Pool #Q57991, 4.00%, 8/1/48
|
26,184
|
175,908
|
FHLMC Pool #QB2958, 3.00%, 9/1/50
|
146,238
|
187,451
|
FHLMC Pool #QB5314, 2.50%, 11/1/50
|
149,929
|
224,045
|
FHLMC Pool #QB8153, 2.50%, 1/1/51
|
179,202
|
787,212
|
FHLMC Pool #QF1236, 4.50%, 10/1/52
|
723,149
|
134,527
|
FHLMC Pool #SD8023, 2.50%, 11/1/49
|
107,702
|
143,735
|
FHLMC Pool #SD8163, 3.50%, 8/1/51
|
124,028
|
426,320
|
FHLMC Pool #SD8173, 2.50%, 10/1/51
|
339,293
|
1,014,358
|
FHLMC Pool #SD8256, 4.00%, 10/1/52
|
903,546
|
993,127
|
FHLMC Pool #SD8300, 5.50%, 2/1/53
|
960,121
|
49,098
|
FNMA Pool #AB2346, 4.50%, 2/1/41
|
46,384
|
25,787
|
FNMA Pool #AB5231, 2.50%, 5/1/27
|
24,641
|
25,339
|
FNMA Pool #AB5716, 3.00%, 7/1/27
|
24,366
|
46,399
|
FNMA Pool #AI4285, 5.00%, 6/1/41
|
45,034
|
206,313
|
FNMA Pool #AR6394, 3.00%, 2/1/43
|
176,390
|
57,929
|
FNMA Pool #AS5892, 3.50%, 10/1/45
|
50,850
|
19,319
|
FNMA Pool #AS6102, 3.50%, 11/1/45
|
16,952
|
34,337
|
FNMA Pool #AS6205, 3.50%, 11/1/45
|
30,134
|
25,550
|
FNMA Pool #AS6385, 4.00%, 12/1/45
|
23,243
|
65,332
|
FNMA Pool #AS9562, 3.00%, 5/1/47
|
55,083
|
73,896
|
FNMA Pool #AU4279, 3.00%, 9/1/43
|
63,167
|
59,084
|
FNMA Pool #AV0703, 4.00%, 12/1/43
|
54,082
|
24,329
|
FNMA Pool #AW7362, 2.50%, 8/1/29
|
22,133
|
Principal
Amount
|
|
Value
|
RESIDENTIAL MORTGAGE-BACKED SECURITIES 33.2% (continued)
|
||
$ 70,723
|
FNMA Pool #AX0416, 4.00%, 8/1/44
|
$64,264
|
41,115
|
FNMA Pool #AY1670, 3.50%, 2/1/45
|
36,158
|
24,752
|
FNMA Pool #AY4195, 4.00%, 5/1/45
|
22,586
|
32,882
|
FNMA Pool #BA3885, 3.50%, 11/1/45
|
28,843
|
1,052,661
|
FNMA Pool #BX7762, 5.00%, 3/1/53
|
993,927
|
131,761
|
FNMA Pool #CA2320, 3.50%, 9/1/48
|
116,232
|
64,461
|
FNMA Pool #CA5540, 3.00%, 4/1/50
|
53,982
|
719,996
|
FNMA Pool #CB0856, 3.00%, 6/1/51
|
597,397
|
803,050
|
FNMA Pool #CB5892, 4.50%, 3/1/53
|
737,764
|
1,068,723
|
FNMA Pool #FM9834, 3.50%, 6/1/49
|
933,907
|
53,050
|
FNMA Pool #MA0641, 4.00%, 2/1/31
|
49,256
|
71,573
|
FNMA Pool #MA4012, 2.00%, 5/1/35
|
62,003
|
451,366
|
FNMA Pool #MA4548, 2.50%, 2/1/52
|
358,969
|
1,001,630
|
FNMA Pool #MA4979, 5.50%, 4/1/53
|
968,341
|
790,386
|
FNMA Pool #MA5106, 5.00%, 8/1/53
|
746,049
|
750,000
|
FNMA Pool #MA5166, 6.00%, 10/1/53
|
740,413
|
12,541
|
FNMA REMIC Trust Series 2013-18, Series
2013-18, Class AE, 2.00%, 3/25/28
|
11,842
|
7,042
|
GNMA, Series 2011-136, Class GB, 2.50%,
5/20/40
|
6,678
|
1,307,914
|
GNMA, Series 2021-98, Class IG, IO, 3.00%,
6/20/51
|
194,903
|
34,087
|
GNMA II Pool #5332, 4.00%, 3/20/42
|
31,531
|
126,047
|
GNMA II Pool #MA3937, 3.50%, 9/20/46
|
112,062
|
115,999
|
GNMA II Pool #MA7054, 3.50%, 12/20/50
|
102,212
|
123,697
|
GNMA II Pool #MA7651, 3.50%, 10/20/51
|
108,608
|
407,174
|
GNMA II Pool #MA8945, 4.00%, 6/20/53
|
366,902
|
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES
(Cost $13,556,789)
|
12,149,870
|
|
U.S. TREASURY OBLIGATIONS 23.4%
|
||
120,000
|
U.S. Treasury Bonds, 5.38%, 2/15/31
|
125,798
|
250,000
|
U.S. Treasury Bonds, 4.38%, 2/15/38
|
242,236
|
650,000
|
U.S. Treasury Bonds, 3.50%, 2/15/39
|
561,514
|
425,000
|
U.S. Treasury Bonds, 1.13%, 5/15/40
|
243,943
|
800,000
|
U.S. Treasury Bonds, 2.88%, 5/15/43
|
592,688
|
800,000
|
U.S. Treasury Bonds, 3.00%, 2/15/48
|
585,313
|
1,550,000
|
U.S. Treasury Bonds, 2.25%, 8/15/49
|
964,875
|
300,000
|
U.S. Treasury Notes, 2.25%, 3/31/24
|
295,301
|
150,000
|
U.S. Treasury Notes, 2.38%, 8/15/24
|
146,033
|
1,235,000
|
U.S. Treasury Notes, 2.25%, 11/15/24
|
1,193,029
|
300,000
|
U.S. Treasury Notes, 3.00%, 9/30/25
|
288,363
|
550,000
|
U.S. Treasury Notes, 4.50%, 7/15/26
|
544,930
|
150,000
|
U.S. Treasury Notes, 2.25%, 8/15/27
|
137,074
|
450,000
|
U.S. Treasury Notes, 2.75%, 2/15/28
|
416,180
|
200,000
|
U.S. Treasury Notes, 3.50%, 1/31/30
|
187,461
|
300,000
|
U.S. Treasury Notes, 1.50%, 2/15/30
|
248,672
|
700,000
|
U.S. Treasury Notes, 1.13%, 2/15/31
|
552,125
|
525,000
|
U.S. Treasury Notes, 2.75%, 8/15/32
|
454,617
|
850,000
|
U.S. Treasury Notes, 3.38%, 5/15/33
|
770,844
|
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $10,173,297)
|
8,550,996
|
Shares |
|
Value |
SHORT-TERM INVESTMENTS 2.7%
|
||
|
MONEY MARKET FUNDS 2.5%
|
|
508,090
|
State Street Institutional U.S. Government
Money Market Fund, Premier Class,
5.29%(4)
|
$508,090
|
400,690
|
State Street Navigator Securities Lending
Government Money Market Portfolio(5)
|
400,690
|
|
|
908,780
|
Principal
Amount
|
|
|
U.S. TREASURY OBLIGATIONS 0.2%
|
|
|
100,000
|
U.S. Treasury Bills, 0.10%, 11/21/23
|
99,254
|
TOTAL SHORT-TERM INVESTMENTS
(Cost $1,008,034)
|
1,008,034
|
|
TOTAL INVESTMENTS IN SECURITIES 100.5%
(Cost $41,437,637)
|
$36,785,751
|
|
EXCESS OF LIABILITIES OVER CASH AND OTHER ASSETS
(0.5)%
|
(194,053
)
|
|
NET ASSETS(6) 100.0%
|
$36,591,698
|
(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 September 30, 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
September 30, 2023, the market value of the securities
on loan was $2,234,419.
|
(4)
|
Rate reflects 7 day yield as of September 30, 2023.
|
(5)
|
Securities with an aggregate market value of $2,234,419
were out on loan in exchange for $400,690 of cash
collateral as of September 30, 2023. The collateral was
invested in a cash collateral reinvestment vehicle.
|
(6)
|
For federal income tax purposes, the aggregate cost was
$41,437,637, aggregate gross unrealized appreciation
was $8,509, aggregate gross unrealized depreciation was
$4,660,395 and the net unrealized depreciation was
$4,651,886.
|
CMT
|
Constant Maturity Treasury
|
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.
|
REITS
|
Real Estate Investment Trusts.
|
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
|
$—
|
$922,198
|
$—
|
$922,198
|
Commercial Mortgage-Backed Securities
|
—
|
1,029,408
|
—
|
1,029,408
|
Corporate Bonds & Notes*
|
—
|
12,025,896
|
—
|
12,025,896
|
Long-Term Municipal Securities*
|
—
|
855,834
|
—
|
855,834
|
U.S. Government Agency Obligations
|
—
|
243,515
|
—
|
243,515
|
Residential Mortgage-Backed Securities
|
—
|
12,149,870
|
—
|
12,149,870
|
U.S. Treasury Obligations
|
—
|
8,550,996
|
—
|
8,550,996
|
Short-Term Investments
|
908,780
|
99,254
|
—
|
1,008,034
|
Total Investments in Securities
|
$908,780
|
$35,876,971
|
$—
|
$36,785,751
|
*
|
See Schedule of Investments for further breakdown by category.
|