TOTAL INVESTMENTS–100.28% (Cost $1,413,636,276) | 1,431,421,565 | ||
LIABILITIES NET OF RECEIVABLES AND OTHER ASSETS–(0.28%) | (3,934,387) | ||
NET ASSETS APPLICABLE TO 143,820,949 SHARES OUTSTANDING–100.00% | $1,427,487,178 | ||
| ° Principal amount shown is stated in U.S. dollars unless noted that the security is denominated in another currency. | |
| ♦ Pass Through Agreement. Security represents the contractual right to receive a proportionate amount of underlying payments due to the counterparty pursuant to various agreements related to the rescheduling of obligations and the exchange of certain notes. |
| • Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at September 30, 2021. For securities based on a published reference rate and spread, the reference rate and spread are indicated in their description above and may be subject to caps and/or floors. 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 such as changes in current interest rate and prepayments on the underlying pool of assets. These securities do not indicate a reference rate and spread in their description above. | |
| μ Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at September 30, 2021. Rate will reset at a future date. |
| The following futures contracts were outstanding at September 30, 2021: |
| Contracts to Buy (Sell) | Notional Amount | Notional Cost (Proceeds) | Expiration Date | Value/ Unrealized Appreciation1 | Value/ Unrealized Depreciation1 | ||||||
| Interest Rate Contract: | |||||||||||
| (255) | U.S. Treasury 5 yr Notes | $(31,299,258) | $(31,461,842) | 12/31/21 | $162,584 | $— | |||||
| The use of futures contracts involves elements of market risk and risks in excess of the amounts recognized in the financial statements. The notional amounts presented above represent the Fund’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Fund’s net assets. |
| 1 Includes cumulative appreciation (depreciation) of futures contracts from the date the contracts were opened through September 30, 2021. |
| Summary of Abbreviations: |
| CLO–Collateralized Loan Obligation |
| CMPC–Coût Moyen Pondéré du Capital |
| FREMF–Freddie Mac Multifamily |
| GNMA–Government National Mortgage Association |
| LB–Lehman Brothers |
| LIBOR01M–Intercontinental Exchange London Interbank Offered Rate USD 1 Month |
| LIBOR03M–Intercontinental Exchange London Interbank Offered Rate USD 3 Month |
| S.F.–Single Family |
| SOFR–Secured Overnight Financing Rate |
| SOFR30A–Secured Overnight Financing Rate 30 Days Average |
| yr–Year |
| Level 1– | inputs are quoted prices in active markets for identical investments (e.g., equity securities, open-end investment companies, futures contracts, options contracts) |
| Level 2– | other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) (e.g., debt securities, government securities, swap contracts, foreign currency exchange contracts, foreign securities utilizing international fair value pricing) |
| Level 3– | inputs are significant unobservable inputs (including the Fund's own assumptions used to determine the fair value of investments) (e.g., indicative quotes from brokers, fair valued securities) |
| Level 1 | Level 2 | Level 3 | Total | ||||
| Investments: | |||||||
| Assets: | |||||||
Agency Collateralized Mortgage Obligations | $— | $16,350,261 | $— | $16,350,261 | |||
Agency Commercial Mortgage-Backed Securities | — | 9,093,602 | — | 9,093,602 | |||
Agency Mortgage-Backed Securities | — | 102,035,509 | — | 102,035,509 | |||
Corporate Bonds | — | 707,920,857 | — | 707,920,857 | |||
Non-Agency Asset-Backed Securities | — | 212,371,482 | — | 212,371,482 | |||
Non-Agency Collateralized Mortgage Obligations | — | 24,967,745 | — | 24,967,745 | |||
Non-Agency Commercial Mortgage-Backed Security | — | 132,200 | — | 132,200 | |||
U.S. Treasury Obligations | — | 310,238,438 | — | 310,238,438 | |||
Money Market Fund | 48,311,471 | — | — | 48,311,471 | |||
Total Investments | $48,311,471 | $1,383,110,094 | $— | $1,431,421,565 | |||
| Derivatives: |
| Assets: | |||||||
Futures Contract | $162,584 | $— | $— | $162,584 |