Principal
Amount
|
|
|
| Market
Value
|
| U.S. Government Mortgage-Backed Obligations — 6.6%
(Continued)
|
$ 30,941
| FNMA, Pool #AB1149, 5.000%, 6/1/40
|
|
| $ 35,407
|
30,398
| FNMA, Pool #AB1800, 4.000%, 11/1/40
|
|
| 33,658
|
52,454
| FNMA, Pool #AD3795, 4.500%, 4/1/40
|
|
| 58,799
|
75,493
| FNMA, Pool #AD9150, 5.000%, 8/1/40
|
|
| 85,878
|
143,161
| FNMA, Pool #AD9193, 5.000%, 9/1/40
|
|
| 162,770
|
91,712
| FNMA, Pool #AE0548, 4.500%, 11/1/40
|
|
| 101,913
|
74,650
| FNMA, Pool #AE4429, 4.000%, 10/1/40
|
|
| 82,564
|
3,725
| FNMA, Pool #AH2666, 4.000%, 1/1/26
|
|
| 3,951
|
6,206
| FNMA, Pool #AH3493, 4.000%, 2/1/26
|
|
| 6,582
|
119,408
| FNMA, Pool #AJ5457, 4.000%, 11/1/41
|
|
| 132,082
|
117,317
| FNMA, Pool #AL0054, 4.500%, 2/1/41
|
|
| 131,062
|
246,307
| FNMA, Pool #AL5718, 3.500%, 9/1/44
|
|
| 268,837
|
305,090
| FNMA, Pool #AR9195, 3.000%, 3/1/43
|
|
| 327,708
|
99,538
| FNMA, Pool #AS7813, 4.000%, 8/1/46
|
|
| 108,437
|
255,327
| FNMA, Pool #AT2016, 3.000%, 4/1/43
|
|
| 273,238
|
217,065
| FNMA, Pool #BC1158, 3.500%, 2/1/46
|
|
| 233,257
|
377,240
| FNMA, Pool #FM4996, 2.000%, 12/1/50
|
|
| 379,451
|
430,176
| FNMA, Pool #FM5166, 3.000%, 12/1/50
|
|
| 451,811
|
382,337
| FNMA, Pool #FM5279, 3.500%, 11/1/50
|
|
| 404,641
|
316,483
| FNMA, Pool #FM5468, 2.500%, 1/1/36
|
|
| 331,954
|
352,192
| FNMA, Pool #FM5682, 2.500%, 1/1/51
|
|
| 364,284
|
120,738
| FNMA, Pool #MA1175, 3.000%, 9/1/42
|
|
| 128,850
|
78,122
| FNMA, Pool #MA2177, 4.000%, 2/1/35
|
|
| 85,556
|
492,397
| FNMA, Pool #MA4166, 3.000%, 10/1/40
|
|
| 515,794
|
98,658
| GNMA, Pool #4853, 4.000%, 11/20/40
|
|
| 108,118
|
73,238
| GNMA, Pool #4883, 4.500%, 12/20/40
|
|
| 81,364
|
290,060
| GNMA, Pool #5175, 4.500%, 9/20/41
|
|
| 324,112
|
29,271
| GNMA, Pool #736696, 4.500%, 5/15/40
|
|
| 33,045
|
165,704
| GNMA, Pool #AD1745, 3.000%, 2/20/43
|
|
| 178,015
|
108,851
| GNMA, Pool #MA1157, 3.500%, 7/20/43
|
|
| 117,695
|
| Total U.S. Government Mortgage-Backed Obligations
| $7,019,121
|
| Commercial Mortgage-Backed Securities — 5.0%
|
675,000
| BANK, Ser 2018-BN14, Class A3, 3.966%, 9/15/60
|
|
| 752,776
|
750,000
| BHMS, Ser 2018-ATLS, Class A, 144a, (1M LIBOR +1.250%), 1.334%, 7/15/35(A)
|
|
| 751,995
|
500,000
| BPR Trust, Ser 2021-KEN, Class B, 144a, (1M LIBOR +1.950%), 2.034%, 2/15/29(A)
|
|
| 500,234
|
360,000
| DBUBS Mortgage Trust, Ser 2017-BRBK, Class B, 144a, 3.648%, 10/10/34(A)(B)
|
|
| 379,501
|
375,000
| GS Mortgage Securities Corp. II, Ser 2017-SLP, Class B, 144a, 3.772%, 10/10/32
|
|
| 382,673
|
250,000
| GS Mortgage Securities Trust, Ser 2017-FARM, Class B, 144a, 3.659%, 1/10/43(A)(B)
|
|
| 268,459
|
315,000
| HONO Mortgage Trust, Ser 2021-LULU, Class B, 144a, (1M LIBOR +1.450%), 1.550%, 10/15/36
|
|
| 314,996
|
350,000
| JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2018-MINN, Class A, 144a, (1M LIBOR +1.020%), 2.020%, 11/15/35(A)
|
|
| 351,408
|
320,000
| New York City Housing Development Corp., Ser 2014-8SPR, Class B, 3.864%, 2/15/48(A)(B)
|
|
| 335,341
|
675,000
| SG Commercial Mortgage Securities Trust, Ser 2019-787E, Class A, 144a, 4.163%, 2/15/41
|
|
| 764,715
|
498,994
| WFRBS Commercial Mortgage Trust, Ser 2014-C19, Class A3, 3.660%, 3/15/47
|
|
| 494,900
|
| Total Commercial Mortgage-Backed Securities
| $5,296,998
|