Principal
Amount
|
|
|
| Market
Value
|
| Asset-Backed Securities — 9.0% (Continued)
|
$ 335,879
| Towd Point Mortgage Trust, Ser 2019-1, Class A1, 144a, 3.735%, 3/25/58(A)(B)
|
|
| $ 355,833
|
380,000
| Voya CLO Ltd. (Cayman Islands), Ser 2017-4A, Class A1, 144a, (3M LIBOR +1.130%), 1.371%, 10/15/30(A)
|
|
| 380,018
|
275,000
| Voya CLO Ltd. (Cayman Islands), Ser 2019-2A, Class A, 144a, (3M LIBOR +1.270%), 1.494%, 7/20/32(A)
|
|
| 275,101
|
894,938
| Wendy's Funding LLC, Ser 2018-1A, Class A2I, 144a, 3.573%, 3/15/48
|
|
| 919,915
|
| Total Asset-Backed Securities
| $9,364,207
|
| U.S. Government Mortgage-Backed Obligations — 8.1%
|
63,529
| FHLMC, Pool #A95946, 4.000%, 1/1/41
|
|
| 70,042
|
50,337
| FHLMC, Pool #A96485, 4.500%, 1/1/41
|
|
| 56,077
|
13,366
| FHLMC, Pool #G03217, 5.500%, 9/1/37
|
|
| 15,137
|
8,505
| FHLMC, Pool #G03781, 6.000%, 1/1/38
|
|
| 10,004
|
319,572
| FHLMC, Pool #G05624, 4.500%, 9/1/39
|
|
| 360,461
|
432,839
| FHLMC, Pool #Q29056, 4.000%, 10/1/44
|
|
| 479,180
|
186,936
| FHLMC, Pool #Q29260, 4.000%, 10/1/44
|
|
| 206,917
|
4,244
| FNMA, Pool #561741, 7.500%, 1/1/31
|
|
| 4,847
|
258,794
| FNMA, Pool #725423, 5.500%, 5/1/34
|
|
| 301,859
|
233,645
| FNMA, Pool #725610, 5.500%, 7/1/34
|
|
| 273,204
|
5,695
| FNMA, Pool #889734, 5.500%, 6/1/37
|
|
| 6,684
|
36,773
| FNMA, Pool #AB1149, 5.000%, 6/1/40
|
|
| 42,791
|
36,779
| FNMA, Pool #AB1800, 4.000%, 11/1/40
|
|
| 40,730
|
61,793
| FNMA, Pool #AD3795, 4.500%, 4/1/40
|
|
| 69,432
|
94,386
| FNMA, Pool #AD9150, 5.000%, 8/1/40
|
|
| 109,836
|
176,314
| FNMA, Pool #AD9193, 5.000%, 9/1/40
|
|
| 202,784
|
116,691
| FNMA, Pool #AE0548, 4.500%, 11/1/40
|
|
| 131,578
|
88,847
| FNMA, Pool #AE4429, 4.000%, 10/1/40
|
|
| 98,368
|
5,158
| FNMA, Pool #AH2666, 4.000%, 1/1/26
|
|
| 5,493
|
9,091
| FNMA, Pool #AH3493, 4.000%, 2/1/26
|
|
| 9,692
|
130,658
| FNMA, Pool #AJ5457, 4.000%, 11/1/41
|
|
| 143,305
|
145,337
| FNMA, Pool #AL0054, 4.500%, 2/1/41
|
|
| 163,851
|
302,829
| FNMA, Pool #AL5718, 3.500%, 9/1/44
|
|
| 327,618
|
344,307
| FNMA, Pool #AR9195, 3.000%, 3/1/43
|
|
| 366,096
|
133,465
| FNMA, Pool #AS7813, 4.000%, 8/1/46
|
|
| 146,131
|
317,194
| FNMA, Pool #AT2016, 3.000%, 4/1/43
|
|
| 336,947
|
294,078
| FNMA, Pool #BC1158, 3.500%, 2/1/46
|
|
| 315,300
|
395,370
| FNMA, Pool #FM4996, 2.000%, 12/1/50
|
|
| 395,205
|
555,859
| FNMA, Pool #FM5166, 3.000%, 12/1/50
|
|
| 582,675
|
527,207
| FNMA, Pool #FM5279, 3.500%, 11/1/50
|
|
| 556,490
|
370,825
| FNMA, Pool #FM5468, 2.500%, 1/1/36
|
|
| 389,515
|
378,512
| FNMA, Pool #FM5682, 2.500%, 1/1/51
|
|
| 389,018
|
153,205
| FNMA, Pool #MA1175, 3.000%, 9/1/42
|
|
| 162,072
|
92,680
| FNMA, Pool #MA2177, 4.000%, 2/1/35
|
|
| 101,623
|
558,927
| FNMA, Pool #MA4166, 3.000%, 10/1/40
|
|
| 585,155
|
121,100
| GNMA, Pool #4853, 4.000%, 11/20/40
|
|
| 134,109
|
87,317
| GNMA, Pool #4883, 4.500%, 12/20/40
|
|
| 97,913
|
342,792
| GNMA, Pool #5175, 4.500%, 9/20/41
|
|
| 384,396
|
32,601
| GNMA, Pool #736696, 4.500%, 5/15/40
|
|
| 36,629
|
181,901
| GNMA, Pool #AD1745, 3.000%, 2/20/43
|
|
| 193,952
|
131,948
| GNMA, Pool #MA1157, 3.500%, 7/20/43
|
|
| 143,339
|
| Total U.S. Government Mortgage-Backed Obligations
| $8,446,455
|
| Commercial Mortgage-Backed Securities — 4.8%
|
675,000
| BANK, Ser 2018-BN14, Class A3, 3.966%, 9/15/60
|
|
| 750,327
|
750,000
| BHMS, Ser 2018-ATLS, Class A, 144a, (1M LIBOR +1.250%), 1.356%, 7/15/35(A)
|
|
| 749,535
|
500,000
| BPR Trust, Ser 2021-KEN, Class B, 144a, (1M LIBOR +1.950%), 2.056%, 2/15/29(A)
|
|
| 500,000
|
360,000
| DBUBS Mortgage Trust, Ser 2017-BRBK, Class B, 144a, 3.530%, 10/10/34(A)(B)
|
|
|
382,163
|