Principal
Amount
|
|
|
| Market
Value
|
| U.S. Government Mortgage-Backed Obligations — 7.4%
(Continued)
|
$ 178,336
| FNMA, Pool #725423, 5.500%, 5/1/34
|
|
| $ 183,759
|
159,517
| FNMA, Pool #725610, 5.500%, 7/1/34
|
|
| 164,491
|
3,788
| FNMA, Pool #889734, 5.500%, 6/1/37
|
|
| 3,916
|
24,664
| FNMA, Pool #AB1149, 5.000%, 6/1/40
|
|
| 24,890
|
24,299
| FNMA, Pool #AB1800, 4.000%, 11/1/40
|
|
| 23,168
|
40,370
| FNMA, Pool #AD3795, 4.500%, 4/1/40
|
|
| 39,456
|
50,826
| FNMA, Pool #AD9150, 5.000%, 8/1/40
|
|
| 51,291
|
105,614
| FNMA, Pool #AD9193, 5.000%, 9/1/40
|
|
| 106,574
|
68,314
| FNMA, Pool #AE0548, 4.500%, 11/1/40
|
|
| 66,944
|
61,267
| FNMA, Pool #AE4429, 4.000%, 10/1/40
|
|
| 58,426
|
2,287
| FNMA, Pool #AH2666, 4.000%, 1/1/26
|
|
| 2,221
|
4,500
| FNMA, Pool #AH3493, 4.000%, 2/1/26
|
|
| 4,368
|
91,507
| FNMA, Pool #AL0054, 4.500%, 2/1/41
|
|
| 89,671
|
250,705
| FNMA, Pool #AR9195, 3.000%, 3/1/43
|
|
| 224,885
|
206,408
| FNMA, Pool #AT2016, 3.000%, 4/1/43
|
|
| 184,901
|
161,914
| FNMA, Pool #BC1158, 3.500%, 2/1/46
|
|
| 148,472
|
612,127
| FNMA, Pool #BV4148, 3.000%, 3/1/52
|
|
| 535,774
|
331,687
| FNMA, Pool #FM4996, 2.000%, 12/1/50
|
|
| 270,832
|
308,939
| FNMA, Pool #FM5166, 3.000%, 12/1/50
|
|
| 271,303
|
257,232
| FNMA, Pool #FM5279, 3.500%, 11/1/50
|
|
| 233,806
|
218,815
| FNMA, Pool #FM5468, 2.500%, 1/1/36
|
|
| 199,005
|
298,328
| FNMA, Pool #FM5682, 2.500%, 1/1/51
|
|
| 252,887
|
94,569
| FNMA, Pool #MA1175, 3.000%, 9/1/42
|
|
| 84,887
|
61,003
| FNMA, Pool #MA2177, 4.000%, 2/1/35
|
|
| 58,216
|
364,645
| FNMA, Pool #MA4166, 3.000%, 10/1/40
|
|
| 322,723
|
662,231
| FNMA, Pool #MA4571, 2.500%, 3/1/42
|
|
| 567,727
|
76,095
| GNMA, Pool #4853, 4.000%, 11/20/40
|
|
| 72,671
|
57,032
| GNMA, Pool #4883, 4.500%, 12/20/40
|
|
| 56,349
|
229,507
| GNMA, Pool #5175, 4.500%, 9/20/41
|
|
| 226,762
|
17,634
| GNMA, Pool #736696, 4.500%, 5/15/40
|
|
| 17,340
|
143,136
| GNMA, Pool #AD1745, 3.000%, 2/20/43
|
|
| 127,350
|
85,075
| GNMA, Pool #MA1157, 3.500%, 7/20/43
|
|
| 78,866
|
| Total U.S. Government Mortgage-Backed Obligations
| $6,422,474
|
| Asset-Backed Securities — 4.7%
|
230,126
| CF Hippolyta Issuer LLC, Ser 2020-1, Class A1, 144a, 1.690%, 7/15/60
|
|
| 204,452
|
699,625
| Driven Brands Funding LLC, Ser 2019-1A, Class A2, 144a, 4.641%, 4/20/49
|
|
| 648,697
|
347,375
| Driven Brands Funding LLC, Ser 2021-1A, Class A2, 144a, 2.791%, 10/20/51
|
|
| 274,306
|
291,973
| Elara HGV Timeshare Issuer LLC, Ser 2019-A, Class B, 144a, 2.910%, 1/25/34
|
|
| 267,307
|
297,000
| Jack in the Box Funding LLC, Ser 2022-1A, Class A2I, 144a, 3.445%, 2/26/52
|
|
| 258,054
|
265,990
| Jersey Mike's Funding, Ser 2019-1A, Class A2, 144a, 4.433%, 2/15/50
|
|
| 241,779
|
152,500
| Jimmy Johns Funding LLC, Ser 2017-1A, Class A2II, 144a, 4.846%, 7/30/47
|
|
| 142,782
|
299,250
| Jimmy Johns Funding LLC, Ser 2022-1A, Class A2I, 144a, 4.077%, 4/30/52
|
|
| 271,383
|
375,000
| Madison Park Funding XLIX Ltd. (Cayman Islands), Ser 2021-49A, Class B1, 144a, (3M LIBOR +1.700%), 4.438%, 10/19/34(B)
|
|
| 352,463
|
289,383
| Mill City Mortgage Loan Trust, Ser 2018-3, Class M3, 144a, 3.250%, 8/25/58(B)(C)
|
|
| 240,859
|
350,000
| New Mountain CLO 1 Ltd. (Cayman Islands), Ser CLO-1A, Class AR, 144a, (3M LIBOR +1.200%), 3.712%, 10/15/34(B)
|
|
| 333,421
|
412,800
| Planet Fitness Master Issuer LLC, Ser 2018-1A, Class A2II, 144a, 4.666%, 9/5/48
|
|
|
389,371
|