First
Trust Low Duration Opportunities ETF
(LMBS) |
1 | |
2 | |
5 | |
8 | |
9 | |
39 | |
40 | |
41 | |
42 | |
43 | |
53 | |
54 | |
61 | |
63 |
Performance | |||||
|
|
Average
Annual Total
Returns |
Cumulative
Total Returns | ||
|
1
Year
Ended
10/31/23 |
5
Years
Ended
10/31/23 |
Inception
(11/4/14)
to
10/31/23 |
5
Years
Ended
10/31/23 |
Inception
(11/4/14)
to
10/31/23 |
Fund
Performance |
|
|
|
|
|
NAV |
3.29% |
0.88% |
1.93% |
4.48% |
18.78% |
Market
Price |
3.50% |
0.85% |
1.93% |
4.32% |
18.74% |
Index
Performance |
|
|
|
|
|
ICE
BofA 1-5 Year US Treasury & Agency Index |
2.45% |
0.93% |
0.82% |
4.72% |
7.57% |
Fund
Allocation |
%
of
Net
Assets |
U.S.
Government Agency Mortgage-Backed
Securities |
82.4% |
Mortgage-Backed
Securities |
12.4 |
U.S.
Government Bonds and Notes |
5.0 |
Asset-Backed
Securities |
3.5 |
Exchange-Traded
Funds |
0.0(1)
|
U.S.
Treasury Bills |
10.6 |
Money
Market Funds |
1.7 |
Purchased
Options |
0.0(1)
|
U.S.
Government Agency Mortgage-Backed
Securities
Sold Short |
(6.5) |
Written
Options |
(0.7) |
Net
Other Assets and Liabilities(2)
|
(8.4) |
Total |
100.0% |
Credit
Quality(3)
|
% of Total Long
Fixed-Income
Investments,
Cash
&
Cash Equivalents(4)
|
Government
& Agency |
84.5% |
AAA |
2.5 |
AA+ |
0.2 |
AA |
0.4 |
AA- |
0.5 |
A+ |
0.0(1)
|
BBB |
0.1 |
BB+ |
0.3 |
B- |
0.0(1)
|
NR |
9.8 |
Cash
& Cash Equivalents |
1.7 |
Total |
100.0% |
Top
Ten Holdings |
% of
Fixed-Income
Investments(4)
|
Federal
National Mortgage Association, Pool
TBA,
6.00%, 12/15/53 |
7.4% |
Federal
National Mortgage Association, Pool
TBA,
5.00%, 12/15/53 |
2.7 |
Federal
National Mortgage Association, Pool
TBA,
5.50%, 12/15/53 |
2.4 |
U.S.
Treasury Note, 4.63%, 10/15/26 |
2.1 |
Federal
National Mortgage Association, Pool
FM3003,
4.00%, 05/01/49 |
1.8 |
U.S.
Treasury Bill, 0.00%, 09/05/24 |
1.7 |
Federal
National Mortgage Association, Pool
FM2972,
4.00%, 12/01/44 |
1.6 |
U.S.
Treasury Bill, 0.00%, 05/16/24 |
1.6 |
U.S.
Treasury Note, 2.50%, 05/31/24 |
1.4 |
U.S.
Treasury Bill, 0.00%, 03/21/24 |
1.1 |
Total |
23.8% |
Weighted
Average Effective Net Duration | |
October
31, 2023 |
2.64
Years |
High
- June 30, 2023 |
2.82
Years |
Low
- November 30, 2022 |
1.81
Years |
(1)
|
Amount
is less than 0.1%. |
(2)
|
Includes variation
margin on futures contracts.
|
(3)
|
The
ratings are by S&P Global Ratings. A credit rating is an assessment
provided by a nationally recognized statistical rating organization
(NRSRO)
of the creditworthiness of an issuer with respect to debt obligations.
Ratings are measured highest to lowest on a scale that generally
ranges
from AAA to D for long-term ratings and A-1+
to C for short-term ratings. Investment grade is defined as those issuers
that have a long-
term
credit rating of BBB- or higher or a short-term credit rating of A-3 or
higher. The credit ratings shown relate to the credit worthiness of the
issuers
of the underlying securities in the Fund, and not to the Fund or its
shares. U.S. Treasury and U.S. Agency mortgage-backed securities
appear
under “Government & Agency.” Credit ratings are subject to
change. |
(4)
|
Percentages
are based on the long positions only. Money market funds and short
positions are excluded. |
![]() |
Performance
figures assume reinvestment of
all
distributions and do not reflect the
deduction
of taxes that a shareholder would
pay
on Fund distributions or the redemption
or
sale of Fund shares. An index is a statistical
composite
that tracks a specified financial
market
or sector. Unlike the Fund, the index
does
not actually hold a portfolio of securities
and
therefore does not incur the expenses
incurred
by the Fund. These expenses
negatively
impact the performance of the
Fund.
The Fund’s past performance does not
predict
future performance.
Performance
in securitized product investment
strategies
can be impacted from the benefits of
purchasing
odd lot positions. The impact of
these
investments can be particularly
meaningful
when funds have limited assets
under
management and may not be a
sustainable
source of performance as a fund
grows
in size. |
|
Beginning
Account
Value
May
1, 2023
|
Ending
Account
Value
October
31, 2023
|
Annualized
Expense
Ratio
Based
on the
Six-Month
Period
(a) |
Expenses
Paid
During
the
Six-Month
Period
(a) (b) |
First
Trust Low Duration Opportunities ETF (LMBS)
| ||||
Actual |
$1,000.00 |
$992.20 |
0.64% |
$3.21 |
Hypothetical
(5% return before expenses) |
$1,000.00 |
$1,021.98 |
0.64% |
$3.26 |
(a) |
Annualized
expense ratio and expenses paid during the six-month period do not include
fees and expenses of the underlying funds in which the
Fund
invests. |
(b) |
Expenses
are equal to the annualized expense ratio as indicated in the table
multiplied by the average account value over the period (May 1, 2023
through
October 31, 2023), multiplied by 184/365 (to reflect the six-month
period). |
Principal
Value |
Description |
Stated
Coupon |
Stated
Maturity |
Value | |
U.S.
GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES —
82.4% | |||||
|
Collateralized
Mortgage Obligations — 31.6% |
| |||
|
Federal
Home Loan Mortgage Corporation |
|
|
| |
$453 |
Series
1993-1630, Class PK |
6.00% |
11/15/23 |
$452 | |
5,566 |
Series
1994-1710, Class G, 30 Day Average SOFR +
CSA +
1.50%
(a) |
6.93% |
04/15/24 |
5,575 | |
703 |
Series
1998-2089, Class PJ, IO |
7.00% |
10/15/28 |
52 | |
2,801 |
Series
1998-2102, Class Z |
6.00% |
12/15/28 |
2,779 | |
755 |
Series
2002-2405, Class BF |
7.00% |
03/25/24 |
751 | |
150,747 |
Series
2002-2410, Class OG |
6.38% |
02/15/32 |
150,254 | |
94,885 |
Series
2002-2437, Class SA, IO, (30 Day Average SOFR +
CSA)
×-1+
7.90% (b) |
2.47% |
01/15/29 |
3,738 | |
138,226 |
Series
2003-2557, Class HL |
5.30% |
01/15/33 |
134,696 | |
85,828 |
Series
2003-2564, Class AC |
5.50% |
02/15/33 |
84,191 | |
212,395 |
Series
2003-2574, Class PE |
5.50% |
02/15/33 |
208,276 | |
87,944 |
Series
2003-2577, Class LI, IO |
5.50% |
02/15/33 |
10,731 | |
714,000 |
Series
2003-2581, Class LL |
5.25% |
03/15/33 |
693,566 | |
16,446 |
Series
2003-2597, Class AE |
5.50% |
04/15/33 |
16,183 | |
1,025,000 |
Series
2003-2613, Class LL |
5.00% |
05/15/33 |
988,224 | |
275,813 |
Series
2003-2626, Class ZW |
5.00% |
06/15/33 |
257,159 | |
601,273 |
Series
2003-2626, Class ZX |
5.00% |
06/15/33 |
511,691 | |
245,855 |
Series
2004-2793, Class PE |
5.00% |
05/15/34 |
237,846 | |
681,695 |
Series
2004-2891, Class ZA |
6.50% |
11/15/34 |
691,390 | |
236,517 |
Series
2004-2907, Class DZ |
4.00% |
12/15/34 |
219,382 | |
785,000 |
Series
2005-2973, Class GE |
5.50% |
05/15/35 |
752,468 | |
92,154 |
Series
2005-3031, Class BI, IO, (30 Day Average SOFR +
CSA)
×-1+
6.69% (b) |
1.26% |
08/15/35 |
6,159 | |
1,888,489 |
Series
2005-3054, Class ZW |
6.00% |
10/15/35 |
1,863,625 | |
24,056 |
Series
2005-3074, Class ZH |
5.50% |
11/15/35 |
22,505 | |
151,201 |
Series
2006-243, Class 11, IO, STRIPS (c) |
7.00% |
08/15/36 |
21,987 | |
74,288 |
Series
2006-3117, Class ZU |
6.00% |
02/15/36 |
73,189 | |
3,042,934 |
Series
2006-3196, Class ZK |
6.50% |
04/15/32 |
3,081,895 | |
27,182 |
Series
2007-3274, Class B |
6.00% |
02/15/37 |
26,683 | |
166,318 |
Series
2007-3322, Class NF, 30 Day Average SOFR ×2,566.67+
CSA
- 16,683.33%, 0.00% Floor (a) |
0.00% |
05/15/37 |
143,606 | |
32,244 |
Series
2007-3340, Class PF, 30 Day Average SOFR +
CSA +
0.30%
(a) |
5.73% |
07/15/37 |
31,240 | |
64,737 |
Series
2007-3360, Class CB |
5.50% |
08/15/37 |
62,312 | |
56,976 |
Series
2007-3380, Class FS, 30 Day Average SOFR +
CSA +
0.35%
(a) |
5.78% |
11/15/36 |
54,885 | |
145,187 |
Series
2008-3406, Class B |
6.00% |
01/15/38 |
142,662 | |
79,713 |
Series
2008-3413, Class B |
5.50% |
04/15/37 |
76,608 | |
165,682 |
Series
2008-3420, Class AZ |
5.50% |
02/15/38 |
157,894 | |
139,484 |
Series
2008-3448, Class SA, IO, (30 Day Average SOFR +
CSA)
×-1+
6.05% (b) |
0.62% |
05/15/38 |
368 | |
1,331,875 |
Series
2009-3542, Class ZP |
5.00% |
06/15/39 |
1,274,641 | |
177,000 |
Series
2009-3550, Class LL |
4.50% |
07/15/39 |
163,741 | |
811,047 |
Series
2009-3563, Class ZP |
5.00% |
08/15/39 |
760,919 | |
1,008,075 |
Series
2009-3572, Class JS, IO, (30 Day Average SOFR +
CSA)
×-1+
6.80% (b) |
1.37% |
09/15/39 |
47,273 | |
36,190 |
Series
2009-3585, Class QZ |
5.00% |
08/15/39 |
28,139 | |
94,762 |
Series
2009-3587, Class FX, 30 Day Average SOFR +
CSA +
0.00%
(a) |
5.43% |
12/15/37 |
84,592 |
Principal
Value |
Description |
Stated
Coupon |
Stated
Maturity |
Value | |
U.S.
GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES
(Continued) | |||||
|
Collateralized
Mortgage Obligations (Continued) |
| |||
|
Federal
Home Loan Mortgage Corporation (Continued) |
|
|
| |
$370,221 |
Series
2009-3593, Class F, 30 Day Average SOFR +
CSA +
0.50%
(a) |
5.43% |
03/15/36 |
$359,744 | |
1,036,566 |
Series
2009-3605, Class NC |
5.50% |
06/15/37 |
1,014,100 | |
475,022 |
Series
2010-3622, Class PB |
5.00% |
01/15/40 |
458,532 | |
107,000 |
Series
2010-3645, Class WD |
4.50% |
02/15/40 |
98,908 | |
483,257 |
Series
2010-3667, Class PL |
5.00% |
05/15/40 |
452,932 | |
45,922 |
Series
2010-3699, Class FD, 30 Day Average SOFR +
CSA +
0.60%
(a) |
6.03% |
07/15/40 |
45,211 | |
216,416 |
Series
2010-3704, Class ED |
4.00% |
12/15/36 |
213,293 | |
550,000 |
Series
2010-3714, Class PB |
4.75% |
08/15/40 |
509,088 | |
181,198 |
Series
2010-3735, Class IK, IO |
3.50% |
10/15/25 |
3,834 | |
53,760 |
Series
2010-3735, Class JI, IO |
4.50% |
10/15/30 |
4,792 | |
185,360 |
Series
2010-3740, Class SC, IO, (30 Day Average SOFR +
CSA)
×-1+
6.00% (b) |
0.57% |
10/15/40 |
12,375 | |
160,169 |
Series
2010-3770, Class GZ |
4.50% |
10/15/40 |
124,001 | |
600,000 |
Series
2011-3796, Class PB |
5.00% |
01/15/41 |
585,167 | |
300,000 |
Series
2011-3820, Class NC |
4.50% |
03/15/41 |
276,779 | |
1,387,000 |
Series
2011-3895, Class PW |
4.50% |
07/15/41 |
1,292,287 | |
1,964,685 |
Series
2011-3925, Class ZD |
4.50% |
09/15/41 |
1,721,940 | |
7,693,899 |
Series
2011-3954, Class GS, IO, (30 Day Average SOFR +
CSA)
×-1+
6.00% (b) |
0.57% |
11/15/41 |
546,994 | |
298,444 |
Series
2012-267, Class S5, IO, STRIPS, (30 Day Average SOFR
+
CSA) ×-1+
6.00% (b) |
0.57% |
08/15/42 |
16,331 | |
6,085,173 |
Series
2012-276, Class S5, IO, STRIPS, (30 Day Average SOFR
+
CSA) ×-1+
6.00% (b) |
0.57% |
09/15/42 |
449,893 | |
336,525 |
Series
2012-3999, Class WA (c) |
5.55% |
08/15/40 |
325,396 | |
1,878,000 |
Series
2012-4000, Class PY |
4.50% |
02/15/42 |
1,603,418 | |
23,090 |
Series
2012-4012, Class GC |
3.50% |
06/15/40 |
22,296 | |
20,433 |
Series
2012-4015, Class KB |
1.75% |
05/15/41 |
17,902 | |
176,460 |
Series
2012-4021, Class IP, IO |
3.00% |
03/15/27 |
5,656 | |
1,203,719 |
Series
2012-4026, Class GZ |
4.50% |
04/15/42 |
983,919 | |
272,282 |
Series
2012-4030, Class IL, IO |
3.50% |
04/15/27 |
8,310 | |
528,982 |
Series
2012-4054, Class AI, IO |
3.00% |
04/15/27 |
14,258 | |
702,481 |
Series
2012-4090, Class YZ |
4.50% |
08/15/42 |
519,365 | |
23,334 |
Series
2012-4097, Class ES, IO, (30 Day Average SOFR +
CSA)
×-1+
6.10% (b) |
0.67% |
08/15/42 |
1,761 | |
2,261,518 |
Series
2012-4097, Class SA, IO, (30 Day Average SOFR +
CSA)
×-1+
6.05% (b) |
0.62% |
08/15/42 |
175,677 | |
2,447,000 |
Series
2012-4098, Class PE |
4.00% |
08/15/42 |
1,888,549 | |
173,947 |
Series
2012-4103, Class HI, IO |
3.00% |
09/15/27 |
6,490 | |
27,340 |
Series
2012-4116, Class AS, IO, (30 Day Average SOFR +
CSA)
×-1+
6.15% (b) |
0.72% |
10/15/42 |
2,235 | |
643,981 |
Series
2012-4121, Class HI, IO |
3.50% |
10/15/27 |
24,529 | |
1,071,721 |
Series
2012-4132, Class AI, IO |
4.00% |
10/15/42 |
179,186 | |
258,946 |
Series
2012-4136, Class TU, IO, (30 Day Average SOFR +
CSA)
×-22.50+
139.5%, 4.50% Cap (b) |
4.50% |
08/15/42 |
41,041 | |
230,156 |
Series
2012-4145, Class YI, IO |
3.00% |
12/15/27 |
8,538 | |
194,957 |
Series
2013-299, Class S1, IO, STRIPS, (30 Day Average SOFR
+
CSA) ×-1+
6.00% (b) |
0.57% |
01/15/43 |
14,517 | |
188,463 |
Series
2013-303, Class C2, IO, STRIPS |
3.50% |
01/15/28 |
7,775 |
Principal
Value |
Description |
Stated
Coupon |
Stated
Maturity |
Value | |
U.S.
GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES
(Continued) | |||||
|
Collateralized
Mortgage Obligations (Continued) |
| |||
|
Federal
Home Loan Mortgage Corporation (Continued) |
|
|
| |
$118,513 |
Series
2013-304, Class C37, IO, STRIPS |
3.50% |
12/15/27 |
$4,309 | |
487,628 |
Series
2013-304, Class C40, IO, STRIPS |
3.50% |
09/15/26 |
14,433 | |
542,209 |
Series
2013-4151, Class DI, IO |
3.50% |
11/15/31 |
13,776 | |
1,773,404 |
Series
2013-4154, Class IB, IO |
3.50% |
01/15/28 |
71,190 | |
7,068,044 |
Series
2013-4170, Class CO, PO |
(d) |
11/15/32 |
5,769,035 | |
905,000 |
Series
2013-4176, Class HE |
4.00% |
03/15/43 |
731,041 | |
732,650 |
Series
2013-4177, Class GL |
3.00% |
03/15/33 |
642,985 | |
2,278,064 |
Series
2013-4193, Class AI, IO |
3.00% |
04/15/28 |
100,197 | |
826,035 |
Series
2013-4193, Class PB |
4.00% |
04/15/43 |
662,769 | |
14,391,500 |
Series
2013-4199, Class BZ |
3.50% |
05/15/43 |
12,099,616 | |
500,000 |
Series
2013-4211, Class PB |
3.00% |
05/15/43 |
384,217 | |
14,324,079 |
Series
2013-4218, Class ZK |
2.50% |
02/15/43 |
9,853,015 | |
5,388,000 |
Series
2013-4224, Class ME |
4.00% |
07/15/43 |
4,439,981 | |
11,838 |
Series
2013-4226, Class NS, (30 Day Average SOFR +
CSA) ×
-3+
10.50%, 0.00% Floor (b) |
0.00% |
01/15/43 |
4,998 | |
1,450,000 |
Series
2013-4247, Class AY |
4.50% |
09/15/43 |
1,262,796 | |
85,700 |
Series
2013-4265, Class IB, IO |
4.50% |
12/15/24 |
1,057 | |
4,115,193 |
Series
2014-4316, Class XZ |
4.50% |
03/15/44 |
3,755,213 | |
8,213,768 |
Series
2014-4329, Class VZ |
4.00% |
04/15/44 |
7,373,221 | |
1,934,431 |
Series
2014-4387, Class IE, IO |
2.50% |
11/15/28 |
65,263 | |
13,303,171 |
Series
2015-4499, Class CZ |
3.50% |
08/15/45 |
10,179,035 | |
418,953 |
Series
2015-4512, Class W (c) (e) |
5.40% |
05/15/38 |
402,253 | |
68,651 |
Series
2015-4520, Class AI, IO |
3.50% |
10/15/35 |
6,989 | |
66,726 |
Series
2015-4522, Class JZ |
2.00% |
01/15/45 |
65,655 | |
290,817 |
Series
2016-4546, Class PZ |
4.00% |
12/15/45 |
181,529 | |
492,281 |
Series
2016-4546, Class ZT |
4.00% |
01/15/46 |
303,664 | |
4,998,610 |
Series
2016-4559, Class LI, IO |
2.50% |
03/15/31 |
292,092 | |
151,109 |
Series
2016-4568, Class MZ |
4.00% |
04/15/46 |
87,900 | |
9,762,692 |
Series
2016-4570, Class ST, IO, (30 Day Average SOFR +
CSA)
×-1+
6.00% (b) |
0.57% |
04/15/46 |
755,340 | |
3,576,293 |
Series
2016-4572, Class LI, IO |
4.00% |
08/15/45 |
565,065 | |
7,406,140 |
Series
2016-4587, Class ZH |
4.00% |
03/15/44 |
6,293,182 | |
1,040,648 |
Series
2016-4591, Class GI, IO |
4.00% |
12/15/44 |
152,663 | |
771,702 |
Series
2016-4600, Class WT |
3.50% |
07/15/36 |
634,357 | |
136,619 |
Series
2016-4605, Class KS, (30 Day Average SOFR +
CSA) ×
-1.57+
4.71%, 0.00% Floor (b) |
0.00% |
08/15/43 |
71,416 | |
169,065 |
Series
2016-4609, Class YI, IO |
4.00% |
04/15/54 |
7,590 | |
600,000 |
Series
2017-4681, Class JY |
2.50% |
05/15/47 |
436,338 | |
2,631,349 |
Series
2018-4774, Class SL, IO, (30 Day Average SOFR +
CSA)
×-1+
6.20% (b) |
0.77% |
04/15/48 |
228,126 | |
4,099,276 |
Series
2018-4826, Class ME |
3.50% |
09/15/48 |
3,515,305 | |
2,518,723 |
Series
2018-4833, Class PY |
4.00% |
10/15/48 |
2,208,660 | |
3,396,582 |
Series
2019-4872, Class BZ |
4.00% |
04/15/49 |
2,559,704 | |
6,075,248 |
Series
2019-4910, Class SA, IO, (30 Day Average SOFR +
CSA)
×-1+
6.05% (b) |
0.62% |
06/15/49 |
700,256 | |
9,997,923 |
Series
2019-4919, Class FP, 30 Day Average SOFR +
CSA +
0.45%
(a) |
5.89% |
09/25/49 |
9,481,149 | |
10,214,505 |
Series
2019-4928, Class F, 30 Day Average SOFR +
CSA +
0.50%
(a) |
5.94% |
11/25/49 |
9,715,297 |
Principal
Value |
Description |
Stated
Coupon |
Stated
Maturity |
Value | |
U.S.
GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES
(Continued) | |||||
|
Collateralized
Mortgage Obligations (Continued) |
| |||
|
Federal
Home Loan Mortgage Corporation (Continued) |
|
|
| |
$7,761,056 |
Series
2019-4938, Class BS, IO, (30 Day Average SOFR +
CSA)
×-1+
6.00% (b) |
0.56% |
12/25/49 |
$640,430 | |
8,570,774 |
Series
2019-4943, Class NS, IO, (30 Day Average SOFR +
CSA)
×-1+
6.00% (b) |
0.56% |
01/25/50 |
1,133,874 | |
2,515,155 |
Series
2020-4974, Class IA, IO |
3.50% |
12/25/49 |
626,450 | |
37,603,895 |
Series
2020-4991, Class DA |
2.00% |
02/25/44 |
33,461,796 | |
36,130,708 |
Series
2020-5001, Class A |
2.00% |
01/25/45 |
31,393,611 | |
37,979,867 |
Series
2020-5004, Class F, 30 Day Average SOFR +
CSA +
0.35%
(a) |
5.79% |
07/25/50 |
35,623,273 | |
12,605,005 |
Series
2020-5034, Class IO, IO (c) |
|
10/15/45 |
640,348 | |
17,823,386 |
Series
2020-5045, Class AF, 30 Day Average SOFR +
0.25% (a) |
5.57% |
11/25/50 |
16,452,388 | |
18,073,446 |
Series
2020-5045, Class BF, 30 Day Average SOFR +
0.30% (a) |
5.62% |
11/25/50 |
16,726,910 | |
8,815,818 |
Series
2021-5178, Class HL |
2.00% |
01/25/52 |
5,025,195 | |
11,997,895 |
Series
2022-5208, Class HZ |
3.50% |
03/25/52 |
8,799,069 | |
14,011,015 |
Series
2022-5208, Class Z |
3.00% |
04/25/52 |
9,376,834 | |
9,750,000 |
Series
2022-5210, Class LB |
3.00% |
08/25/50 |
6,690,003 | |
12,541,722 |
Series
2022-5220, Class KZ |
4.00% |
02/25/51 |
9,969,078 | |
6,547,491 |
Series
2022-5221, Class VE |
3.50% |
07/25/33 |
5,880,619 | |
33,673,000 |
Series
2022-5221, Class YC |
4.00% |
05/25/52 |
27,529,550 | |
5,133,112 |
Series
2022-5222, Class BZ |
3.50% |
05/25/37 |
4,331,787 | |
7,417,419 |
Series
2022-5222, Class DP |
3.25% |
05/25/52 |
6,662,213 | |
13,544,511 |
Series
2022-5224, Class DZ |
4.00% |
04/25/52 |
10,615,248 | |
10,998,865 |
Series
2022-5225, Class HZ |
4.00% |
08/25/51 |
7,933,067 | |
14,644,651 |
Series
2022-5225, Class NZ |
4.00% |
05/25/52 |
10,680,468 | |
8,576,987 |
Series
2022-5228, Class DZ |
4.50% |
06/25/52 |
6,567,176 | |
8,917,916 |
Series
2022-5230, Class DL |
3.50% |
09/25/44 |
6,800,995 | |
9,012,230 |
Series
2022-5232, Class GO, PO |
(d) |
08/25/51 |
4,752,296 | |
8,839,355 |
Series
2022-5255, Class KZ |
4.00% |
09/25/52 |
6,705,642 | |
7,871,994 |
Series
2022-5270, Class AL |
3.00% |
11/25/48 |
5,097,621 | |
|
Federal
National Mortgage Association Grantor Trust |
|
|
| |
1,758,141 |
Series
2005-T1, Class A1, 1 Mo. LIBOR +
0.40%, 5.41% Cap (a) |
5.41% |
05/25/35 |
1,646,618 | |
17,204,056 |
Series
2022-23, Class EZ |
3.00% |
03/25/52 |
9,276,052 | |
|
Federal
National Mortgage Association |
|
|
| |
98 |
Series
1993-230, Class FA, 30 Day Average SOFR +
CSA +
0.60%
(a) |
6.04% |
12/25/23 |
98 | |
3,189 |
Series
1994-61, Class FG, 30 Day Average SOFR +
CSA +
1.50%
(a) |
6.94% |
04/25/24 |
3,193 | |
11,124 |
Series
1996-51, Class AY, IO |
7.00% |
12/18/26 |
588 | |
389 |
Series
1998-37, Class VZ |
6.00% |
06/17/28 |
388 | |
10,767 |
Series
2001-34, Class SR, IO, (30 Day Average SOFR +
CSA) ×
-1+
8.10% (b) |
2.66% |
08/18/31 |
224 | |
1,405 |
Series
2001-42, Class SB, (30 Day Average SOFR +
CSA) ×-16
+
128.00%, 8.50% Cap (b) |
8.50% |
09/25/31 |
1,373 | |
43,904 |
Series
2001-46, Class F, 30 Day Average SOFR +
CSA +
0.40%
(a) |
5.84% |
09/18/31 |
43,829 | |
4,840 |
Series
2002-22, Class G |
6.50% |
04/25/32 |
4,879 | |
47,282 |
Series
2002-30, Class Z |
6.00% |
05/25/32 |
47,206 | |
77,048 |
Series
2002-80, Class CZ |
4.50% |
09/25/32 |
68,481 | |
58,787 |
Series
2002-320, Class 2, IO, STRIPS |
7.00% |
04/25/32 |
11,481 | |
52,634 |
Series
2002-323, Class 6, IO, STRIPS |
6.00% |
01/25/32 |
6,985 |
Principal
Value |
Description |
Stated
Coupon |
Stated
Maturity |
Value | |
U.S.
GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES
(Continued) | |||||
|
Collateralized
Mortgage Obligations (Continued) |
| |||
|
Federal
National Mortgage Association (Continued) |
|
|
| |
$138,116 |
Series
2002-324, Class 2, IO, STRIPS |
6.50% |
07/25/32 |
$19,637 | |
10,459 |
Series
2003-14, Class AT |
4.00% |
03/25/33 |
10,070 | |
28,623 |
Series
2003-21, Class OA |
4.00% |
03/25/33 |
27,453 | |
63,779 |
Series
2003-32, Class UI, IO |
6.00% |
05/25/33 |
10,037 | |
273,483 |
Series
2003-45, Class JB |
5.50% |
06/25/33 |
267,677 | |
10,197 |
Series
2003-63, Class F1, 30 Day Average SOFR +
CSA +
0.30%
(a) |
5.74% |
11/25/27 |
10,146 | |
355,000 |
Series
2003-71, Class NH |
4.29% |
08/25/33 |
323,786 | |
163,716 |
Series
2003-343, Class 2, IO, STRIPS |
4.50% |
10/25/33 |
20,119 | |
165,860 |
Series
2003-345, Class 14, IO, STRIPS |
6.00% |
03/25/34 |
24,859 | |
34,099 |
Series
2003-348, Class 17, IO, STRIPS |
7.50% |
12/25/33 |
4,567 | |
49,618 |
Series
2003-348, Class 18, IO, STRIPS (c) |
7.50% |
12/25/33 |
7,601 | |
145,902 |
Series
2004-10, Class ZB |
6.00% |
02/25/34 |
143,388 | |
184,765 |
Series
2004-25, Class LC |
5.50% |
04/25/34 |
179,972 | |
201,532 |
Series
2004-25, Class UC |
5.50% |
04/25/34 |
195,880 | |
46,648 |
Series
2004-28, Class ZH |
5.50% |
05/25/34 |
42,541 | |
779,967 |
Series
2004-60, Class AC |
5.50% |
04/25/34 |
764,220 | |
1,203,382 |
Series
2005-2, Class S, IO, (30 Day Average SOFR +
CSA) ×-1
+
6.60% (b) |
1.16% |
02/25/35 |
64,033 | |
242,665 |
Series
2005-2, Class TB, IO, (30 Day Average SOFR +
CSA) ×
-1+
5.90%, 0.40% Cap (b) |
0.40% |
07/25/33 |
1,704 | |
63,187 |
Series
2005-29, Class ZT |
5.00% |
04/25/35 |
56,954 | |
54,402 |
Series
2005-40, Class SA, IO, (30 Day Average SOFR +
CSA) ×
-1+
6.70% (b) |
1.26% |
05/25/35 |
3,122 | |
329,976 |
Series
2005-52, Class TZ |
6.50% |
06/25/35 |
331,956 | |
1,185,794 |
Series
2005-57, Class KZ |
6.00% |
07/25/35 |
1,157,497 | |
30,045 |
Series
2005-79, Class NS, IO, (30 Day Average SOFR +
CSA) ×
-1+
6.09% (b) |
0.65% |
09/25/35 |
1,448 | |
2,992,975 |
Series
2005-86, Class WZ |
5.50% |
10/25/35 |
2,937,355 | |
61,672 |
Series
2005-95, Class WZ |
6.00% |
11/25/35 |
60,933 | |
82,788 |
Series
2005-359, Class 6, IO, STRIPS |
5.00% |
11/25/35 |
12,321 | |
71,276 |
Series
2005-362, Class 13, IO, STRIPS |
6.00% |
08/25/35 |
12,243 | |
34,495 |
Series
2006-5, Class 2A2, 30 Day Average SOFR +
CSA +
0.14%
(a) |
4.48% |
02/25/35 |
34,064 | |
15,574,157 |
Series
2006-5, Class N2, IO (e) |
0.00% |
02/25/35 |
9,734 | |
36,117 |
Series
2006-15, Class IS, IO, (30 Day Average SOFR +
CSA) ×
-1+
6.58% (b) |
1.14% |
03/25/36 |
2,852 | |
520,313 |
Series
2006-20, Class PI, IO, (30 Day Average SOFR +
CSA) ×
-1+
6.68% (b) |
1.24% |
11/25/30 |
10,246 | |
28,501 |
Series
2006-31, Class PZ |
6.00% |
05/25/36 |
27,620 | |
35,669 |
Series
2006-85, Class MZ |
6.50% |
09/25/36 |
35,470 | |
167,395 |
Series
2006-117, Class GF, 30 Day Average SOFR +
CSA +
0.35%
(a) |
5.79% |
12/25/36 |
162,280 | |
1,426,187 |
Series
2006-118, Class A1, 30 Day Average SOFR +
CSA +
0.60%
(a) |
5.49% |
12/25/36 |
1,381,861 | |
313,274 |
Series
2007-7, Class KA |
5.75% |
08/25/36 |
302,599 | |
18,900 |
Series
2007-25, Class FB, 30 Day Average SOFR +
CSA +
0.33%
(a) |
5.77% |
04/25/37 |
18,040 | |
907,360 |
Series
2007-57, Class ZG |
4.75% |
06/25/37 |
825,446 | |
589,945 |
Series
2007-60, Class ZS |
4.75% |
07/25/37 |
524,384 |
Principal
Value |
Description |
Stated
Coupon |
Stated
Maturity |
Value | |
U.S.
GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES
(Continued) | |||||
|
Collateralized
Mortgage Obligations (Continued) |
| |||
|
Federal
National Mortgage Association (Continued) |
|
|
| |
$505,051 |
Series
2007-68, Class AE |
6.50% |
07/25/37 |
$501,116 | |
247,631 |
Series
2007-116, Class PB |
5.50% |
08/25/35 |
242,264 | |
57,468 |
Series
2007-117, Class MD |
5.50% |
07/25/37 |
56,209 | |
2,353,712 |
Series
2007-W10, Class 3A (e) |
3.45% |
06/25/47 |
2,320,927 | |
129,325 |
Series
2008-3, Class FZ, 30 Day Average SOFR +
CSA +
0.55%
(a) |
5.99% |
02/25/38 |
117,206 | |
17,850 |
Series
2008-8, Class ZA |
5.00% |
02/25/38 |
16,496 | |
6,078 |
Series
2008-17, Class IP, IO |
6.50% |
02/25/38 |
375 | |
1,481,315 |
Series
2009-37, Class NZ |
5.71% |
02/25/37 |
1,445,289 | |
4,400,000 |
Series
2009-50, Class GX |
5.00% |
07/25/39 |
4,158,354 | |
2,381,399 |
Series
2009-85, Class J |
4.50% |
10/25/39 |
2,229,909 | |
159,464 |
Series
2009-91, Class HL |
5.00% |
11/25/39 |
151,478 | |
97,000 |
Series
2009-92, Class DB |
5.00% |
11/25/39 |
91,354 | |
876,309 |
Series
2009-103, Class PZ |
6.00% |
12/25/39 |
842,145 | |
146,787 |
Series
2009-106, Class SN, IO, (30 Day Average SOFR +
CSA)
×-1+
6.25% (b) |
0.81% |
01/25/40 |
8,002 | |
291,192 |
Series
2009-109, Class PZ |
4.50% |
01/25/40 |
250,094 | |
46,157 |
Series
2009-115, Class HZ |
5.00% |
01/25/40 |
43,958 | |
10 |
Series
2009-14, Class BS, IO, (30 Day Average SOFR +
CSA) ×
-1+
6.25% (b) (f) |
0.81% |
03/25/24 |
0 | |
17,994 |
Series
2009-398, Class C13, IO, STRIPS (f) |
4.00% |
06/25/24 |
132 | |
209,553 |
Series
2010-3, Class DZ |
4.50% |
02/25/40 |
175,610 | |
121,780 |
Series
2010-21, Class KO, PO |
(d) |
03/25/40 |
99,892 | |
500,000 |
Series
2010-35, Class EP |
5.50% |
04/25/40 |
471,995 | |
276,062 |
Series
2010-38, Class KC |
4.50% |
04/25/40 |
256,841 | |
279,956 |
Series
2010-45, Class WB |
5.00% |
05/25/40 |
267,484 | |
326,212 |
Series
2010-68, Class BI, IO |
5.50% |
07/25/50 |
70,826 | |
29,847 |
Series
2010-75, Class MT (e) |
1.59% |
12/25/39 |
24,736 | |
78,244 |
Series
2010-115, Class PO, PO |
(d) |
04/25/40 |
64,629 | |
193,936 |
Series
2010-129, Class SM, IO, (30 Day Average SOFR +
CSA)
×-1+
6.00% (b) |
0.56% |
11/25/40 |
3,767 | |
2,821,000 |
Series
2010-142, Class DL |
4.00% |
12/25/40 |
2,477,947 | |
146,745 |
Series
2011-9, Class AZ |
5.00% |
05/25/40 |
140,336 | |
1,507,000 |
Series
2011-10, Class AY |
6.00% |
02/25/41 |
1,469,263 | |
88,060 |
Series
2011-30, Class LS, IO (c) |
(d) |
04/25/41 |
4,828 | |
140,520 |
Series
2011-30, Class ZB |
5.00% |
04/25/41 |
131,806 | |
276,665 |
Series
2011-52, Class GB |
5.00% |
06/25/41 |
268,145 | |
524,331 |
Series
2011-73, Class PI, IO |
4.50% |
05/25/41 |
18,536 | |
155,093 |
Series
2011-74, Class TQ, IO, (30 Day Average SOFR +
CSA) ×
-6.43+
55.93%, 4.50% Cap (b) |
4.50% |
12/25/33 |
19,169 | |
1,023,903 |
Series
2011-101, Class EI, IO |
3.50% |
10/25/26 |
23,415 | |
750,000 |
Series
2011-105, Class MB |
4.00% |
10/25/41 |
609,559 | |
1,878,844 |
Series
2011-111, Class PZ |
4.50% |
11/25/41 |
1,702,200 | |
3,223,850 |
Series
2011-123, Class JS, IO, (30 Day Average SOFR +
CSA) ×
-1+
6.65% (b) |
1.21% |
03/25/41 |
125,554 | |
776,952 |
Series
2012-39, Class PB |
4.25% |
04/25/42 |
695,692 | |
365,641 |
Series
2012-52, Class BZ |
4.00% |
05/25/42 |
304,056 | |
76,270 |
Series
2012-66, Class DI, IO |
3.50% |
06/25/27 |
2,844 | |
1,412,304 |
Series
2012-101, Class AI, IO |
3.00% |
06/25/27 |
28,560 |
Principal
Value |
Description |
Stated
Coupon |
Stated
Maturity |
Value | |
U.S.
GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES
(Continued) | |||||
|
Collateralized
Mortgage Obligations (Continued) |
| |||
|
Federal
National Mortgage Association (Continued) |
|
|
| |
$1,794,774 |
Series
2012-103, Class HI, IO |
3.00% |
09/25/27 |
$58,825 | |
127,000 |
Series
2012-118, Class IB, IO |
3.50% |
11/25/42 |
19,819 | |
6,495,827 |
Series
2012-122, Class SD, IO, (30 Day Average SOFR +
CSA)
×-1+
6.10% (b) |
0.66% |
11/25/42 |
468,526 | |
435,138 |
Series
2012-133, Class KO, PO |
(d) |
12/25/42 |
179,781 | |
469,133 |
Series
2012-138, Class MA |
1.00% |
12/25/42 |
369,514 | |
768,492 |
Series
2012-146, Class QA |
1.00% |
01/25/43 |
611,768 | |
246,425 |
Series
2012-409, Class 49, IO, STRIPS (c) |
3.50% |
11/25/41 |
36,625 | |
281,798 |
Series
2012-409, Class 53, IO, STRIPS (c) |
3.50% |
04/25/42 |
41,632 | |
690,000 |
Series
2013-10, Class HQ |
2.50% |
02/25/43 |
433,082 | |
247,365 |
Series
2013-13, Class IK, IO |
2.50% |
03/25/28 |
9,241 | |
6,463,322 |
Series
2013-19, Class ZD |
3.50% |
03/25/43 |
5,120,888 | |
52,309 |
Series
2013-23, Class ZB |
3.00% |
03/25/43 |
30,549 | |
750,000 |
Series
2013-41, Class DB |
3.00% |
05/25/43 |
524,912 | |
975,595 |
Series
2013-43, Class IX, IO |
4.00% |
05/25/43 |
192,170 | |
316,425 |
Series
2013-52, Class MD |
1.25% |
06/25/43 |
245,234 | |
468,360 |
Series
2013-55, Class AI, IO |
3.00% |
06/25/33 |
45,369 | |
136,289 |
Series
2013-70, Class JZ |
3.00% |
07/25/43 |
109,775 | |
72,832 |
Series
2013-75, Class FC, 30 Day Average SOFR +
0.36% (a) |
5.69% |
07/25/42 |
71,881 | |
12,120,547 |
Series
2013-75, Class ZG |
3.25% |
07/25/43 |
8,362,408 | |
379,979 |
Series
2013-105, Class BN |
4.00% |
05/25/43 |
302,532 | |
137,151 |
Series
2013-105, Class KO, PO |
(d) |
10/25/43 |
114,027 | |
195,852 |
Series
2013-106, Class KN |
3.00% |
10/25/43 |
134,798 | |
19,485,929 |
Series
2013-115, Class Z |
3.00% |
11/25/33 |
17,580,899 | |
45,685,745 |
Series
2013-119, Class VZ |
3.00% |
10/25/33 |
40,983,864 | |
38,035,683 |
Series
2013-119, Class ZB |
3.00% |
12/25/33 |
33,822,839 | |
1,003,000 |
Series
2013-130, Class QY |
4.50% |
06/25/41 |
901,112 | |
44,519 |
Series
2014-29, Class GI, IO |
3.00% |
05/25/29 |
1,828 | |
908,010 |
Series
2014-44, Class NI, IO |
4.50% |
08/25/29 |
17,109 | |
327,228 |
Series
2014-46, Class KA (a) |
6.50% |
08/25/44 |
760,920 | |
84,538 |
Series
2014-68, Class GI, IO |
4.50% |
10/25/43 |
6,603 | |
626,536 |
Series
2014-82, Class GZ |
4.00% |
12/25/44 |
439,850 | |
334,883 |
Series
2014-84, Class LI, IO |
3.50% |
12/25/26 |
8,197 | |
875,000 |
Series
2015-16, Class MY |
3.50% |
04/25/45 |
655,501 | |
206,908 |
Series
2015-76, Class BI, IO |
4.00% |
10/25/39 |
4,384 | |
24,585 |
Series
2015-93, Class KI, IO |
3.00% |
09/25/44 |
621 | |
4,970,369 |
Series
2016-2, Class EZ |
2.50% |
02/25/46 |
4,216,369 | |
8,774,460 |
Series
2016-37, Class PY |
3.00% |
06/25/46 |
6,206,365 | |
15,414,102 |
Series
2016-40, Class MS, IO, (30 Day Average SOFR +
CSA) ×
-1+
6.00% (b) |
0.56% |
07/25/46 |
1,413,176 | |
11,510,000 |
Series
2016-50, Class GY |
3.00% |
08/25/46 |
8,139,252 | |
5,980,442 |
Series
2016-62, Class SB, IO, (30 Day Average SOFR +
CSA) ×
-1+
6.10% (b) |
0.66% |
09/25/46 |
246,138 | |
2,763,391 |
Series
2016-73, Class PI, IO |
3.00% |
08/25/46 |
497,888 | |
332,209 |
Series
2016-74, Class HI, IO |
3.50% |
10/25/46 |
53,751 | |
240,182 |
Series
2016-84, Class DF, 30 Day Average SOFR +
CSA +
0.42%
(a) |
5.25% |
11/25/46 |
233,147 | |
7,183,563 |
Series
2017-18, Class AS, IO, (30 Day Average SOFR +
CSA) ×
-1+
6.05% (b) |
0.61% |
03/25/47 |
668,391 |
Principal
Value |
Description |
Stated
Coupon |
Stated
Maturity |
Value | |
U.S.
GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES
(Continued) | |||||
|
Collateralized
Mortgage Obligations (Continued) |
| |||
|
Federal
National Mortgage Association (Continued) |
|
|
| |
$597,364 |
Series
2017-46, Class BY |
3.00% |
06/25/47 |
$383,925 | |
12,635,385 |
Series
2017-50, Class BZ |
3.00% |
07/25/47 |
9,876,598 | |
5,011,144 |
Series
2017-65, Class SA, IO, (30 Day Average SOFR +
CSA) ×
-1+
5.90% (b) |
0.46% |
09/25/47 |
348,130 | |
4,205,454 |
Series
2017-84, Class ZK |
3.50% |
10/25/57 |
3,094,242 | |
2,981,782 |
Series
2017-87, Class GI, IO |
4.00% |
06/25/44 |
451,139 | |
2,252,259 |
Series
2017-87, Class ZA |
4.00% |
11/25/57 |
1,509,399 | |
2,690,547 |
Series
2018-17, Class Z |
3.50% |
03/25/48 |
1,852,645 | |
20,840,944 |
Series
2018-84, Class ZM |
4.00% |
11/25/48 |
17,537,375 | |
4,094,685 |
Series
2018-86, Class DL |
3.50% |
12/25/48 |
3,541,974 | |
2,270,058 |
Series
2018-92, Class DB |
3.50% |
01/25/49 |
1,958,819 | |
6,413,628 |
Series
2018-94, Class AZ |
4.00% |
01/25/49 |
5,666,490 | |
6,764,274 |
Series
2019-8, Class DY |
3.50% |
03/25/49 |
5,777,529 | |
8,637,410 |
Series
2019-17, Class GZ |
4.00% |
11/25/56 |
6,529,549 | |
9,093,755 |
Series
2019-26, Class GA |
3.50% |
06/25/49 |
7,773,668 | |
3,719,311 |
Series
2019-27, Class HA |
3.00% |
06/25/49 |
3,086,432 | |
6,234,760 |
Series
2019-29, Class HT |
3.00% |
06/25/49 |
5,213,385 | |
5,272,277 |
Series
2019-34, Class JA |
3.00% |
07/25/49 |
4,391,685 | |
3,106,683 |
Series
2019-37, Class A |
3.00% |
07/25/49 |
2,591,807 | |
6,151,741 |
Series
2019-38, Class CF, 30 Day Average SOFR +
CSA +
0.45%
(a) |
5.89% |
07/25/49 |
5,847,845 | |
12,206,037 |
Series
2019-41, Class SN, IO, (30 Day Average SOFR +
CSA) ×
-1+
6.05% (b) |
0.61% |
08/25/49 |
863,915 | |
9,583,616 |
Series
2019-57, Class JA |
2.50% |
10/25/49 |
7,785,492 | |
3,697,135 |
Series
2019-59, Class PT |
2.50% |
10/25/49 |
2,982,798 | |
8,715,596 |
Series
2019-66, Class C |
3.00% |
11/25/49 |
7,337,951 | |
19,215,064 |
Series
2019-70, Class WA, PO |
(d) |
11/25/42 |
15,494,744 | |
11,514,997 |
Series
2020-9, Class SJ, IO, (30 Day Average SOFR +
CSA) ×-1
+
6.00% (b) |
0.56% |
02/25/50 |
1,287,496 | |
11,969,763 |
Series
2020-20, Class KI, IO |
4.00% |
03/25/50 |
3,760,807 | |
17,934,153 |
Series
2020-34, Class FA, 30 Day Average SOFR +
CSA +
0.45%
(a) |
5.89% |
06/25/50 |
16,949,295 | |
6,749,564 |
Series
2020-38, Class NF, 30 Day Average SOFR +
CSA +
0.45%
(a) |
5.89% |
06/25/50 |
6,365,751 | |
12,495,615 |
Series
2020-93, Class NI, IO |
3.00% |
01/25/51 |
1,219,320 | |
9,512,884 |
Series
2021-18, Class JC |
1.50% |
04/25/36 |
8,021,477 | |
13,311,922 |
Series
2023-44, Class PO, PO |
(d) |
10/25/53 |
9,361,236 | |
|
Government
National Mortgage Association |
|
|
| |
134,237 |
Series
2003-4, Class MZ |
5.50% |
01/20/33 |
133,763 | |
237,489 |
Series
2003-18, Class PG |
5.50% |
03/20/33 |
236,641 | |
1,620,583 |
Series
2003-35, Class TZ |
5.75% |
04/16/33 |
1,514,434 | |
136,710 |
Series
2003-62, Class MZ |
5.50% |
07/20/33 |
135,118 | |
146,447 |
Series
2003-84, Class Z |
5.50% |
10/20/33 |
144,070 | |
81,323 |
Series
2004-37, Class B |
6.00% |
04/17/34 |
81,273 | |
470,921 |
Series
2004-49, Class MZ |
6.00% |
06/20/34 |
470,500 | |
33,406 |
Series
2004-68, Class ZC |
6.00% |
08/20/34 |
33,365 | |
39,653 |
Series
2004-71, Class ST, (1 Mo. CME Term SOFR +
CSA) ×
-6.25+
44.50%, 7.00% Cap (b) |
7.00% |
09/20/34 |
39,502 | |
247,246 |
Series
2004-88, Class SM, IO, (1 Mo. CME Term SOFR +
CSA)
×-1+
6.10% (b) |
0.65% |
10/16/34 |
6,425 |
Principal
Value |
Description |
Stated
Coupon |
Stated
Maturity |
Value | |
U.S.
GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES
(Continued) | |||||
|
Collateralized
Mortgage Obligations (Continued) |
| |||
|
Government
National Mortgage Association (Continued) |
|
|
| |
$255,924 |
Series
2004-105, Class JZ |
5.00% |
12/20/34 |
$247,163 | |
201,945 |
Series
2004-105, Class KA |
5.00% |
12/16/34 |
196,368 | |
254,862 |
Series
2005-3, Class JZ |
5.00% |
01/16/35 |
234,875 | |
254,862 |
Series
2005-3, Class KZ |
5.00% |
01/16/35 |
241,089 | |
52,982 |
Series
2005-7, Class MA, (1 Mo. CME Term SOFR +
CSA) ×
-2.81+
18.97% (b) |
3.65% |
12/17/34 |
50,561 | |
104,496 |
Series
2005-33, Class AY |
5.50% |
04/16/35 |
103,417 | |
92,925 |
Series
2005-41, Class PA |
4.00% |
05/20/35 |
88,369 | |
1,840,647 |
Series
2005-78, Class ZA |
5.00% |
10/16/35 |
1,790,320 | |
163,638 |
Series
2005-93, Class PO, PO |
(d) |
06/20/35 |
143,375 | |
475,448 |
Series
2006-38, Class OH |
6.50% |
08/20/36 |
474,158 | |
204,673 |
Series
2006-61, Class ZA |
5.00% |
11/20/36 |
200,022 | |
489,027 |
Series
2007-16, Class OZ |
6.00% |
04/20/37 |
486,314 | |
108,069 |
Series
2007-27, Class SD, IO, (1 Mo. CME Term SOFR +
CSA)
×-1+
6.20% (b) |
0.75% |
05/20/37 |
2,897 | |
84,782 |
Series
2007-41, Class OL, PO |
(d) |
07/20/37 |
73,586 | |
153,766 |
Series
2007-42, Class SB, IO, (1 Mo. CME Term SOFR +
CSA)
×-1+
6.75% (b) |
1.30% |
07/20/37 |
6,491 | |
465,792 |
Series
2007-71, Class ZD |
6.00% |
11/20/37 |
461,065 | |
159,929 |
Series
2007-81, Class FZ, 1 Mo. CME Term SOFR +
CSA +
0.35%
(a) |
5.80% |
12/20/37 |
158,183 | |
72,487 |
Series
2008-33, Class XS, IO, (1 Mo. CME Term SOFR +
CSA)
×-1+
7.70% (b) |
2.25% |
04/16/38 |
3,639 | |
416,606 |
Series
2008-47, Class ML |
5.25% |
06/16/38 |
405,468 | |
122,735 |
Series
2008-54, Class PE |
5.00% |
06/20/38 |
118,078 | |
343,475 |
Series
2008-71, Class JI, IO |
6.00% |
04/20/38 |
19,128 | |
91,735 |
Series
2009-14, Class KI, IO |
6.50% |
03/20/39 |
10,871 | |
30,101 |
Series
2009-14, Class KS, IO, (1 Mo. CME Term SOFR +
CSA)
×-1+
6.30% (b) |
0.85% |
03/20/39 |
725 | |
71,694 |
Series
2009-25, Class SE, IO, (1 Mo. CME Term SOFR +
CSA)
×-1+
7.60% (b) |
2.15% |
09/20/38 |
2,804 | |
2,508,615 |
Series
2009-29, Class PC |
7.00% |
05/20/39 |
2,548,624 | |
441,545 |
Series
2009-32, Class SZ |
5.50% |
05/16/39 |
429,936 | |
3,732,412 |
Series
2009-57, Class VB |
5.00% |
06/16/39 |
3,619,298 | |
305,371 |
Series
2009-61, Class PZ |
7.50% |
08/20/39 |
319,217 | |
7,595,772 |
Series
2009-61, Class WQ, IO, (1 Mo. CME Term SOFR +
CSA)
×-1+
6.25% (b) |
0.80% |
11/16/35 |
446,877 | |
918,944 |
Series
2009-69, Class ZB |
6.00% |
08/20/39 |
890,480 | |
455,000 |
Series
2009-75, Class JN |
5.50% |
09/16/39 |
428,849 | |
662,751 |
Series
2009-78, Class KZ |
5.50% |
09/16/39 |
626,956 | |
87,464 |
Series
2009-79, Class OK, PO |
(d) |
11/16/37 |
72,893 | |
155,941 |
Series
2009-81, Class TZ |
5.50% |
09/20/39 |
147,040 | |
69,000 |
Series
2009-94, Class AL |
5.00% |
10/20/39 |
66,169 | |
3,182,916 |
Series
2009-106, Class SL, IO, (1 Mo. CME Term SOFR +
CSA)
×-1+
6.10% (b) |
0.65% |
04/20/36 |
109,159 | |
53,653 |
Series
2009-106, Class WZ |
5.50% |
11/16/39 |
50,232 | |
732,000 |
Series
2009-126, Class LB |
5.00% |
12/20/39 |
684,422 | |
16,214 |
Series
2010-4, Class WA |
3.00% |
01/16/40 |
15,062 | |
1,002,232 |
Series
2010-59, Class ZD |
6.50% |
05/20/40 |
1,008,103 |
Principal
Value |
Description |
Stated
Coupon |
Stated
Maturity |
Value | |
U.S.
GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES
(Continued) | |||||
|
Collateralized
Mortgage Obligations (Continued) |
| |||
|
Government
National Mortgage Association (Continued) |
|
|
| |
$983,513 |
Series
2010-85, Class SL, IO, (1 Mo. CME Term SOFR +
CSA)
×-1+
6.60% (b) |
1.15% |
07/20/37 |
$27,249 | |
89,000 |
Series
2010-116, Class BM |
4.50% |
09/16/40 |
79,042 | |
1,406,100 |
Series
2010-116, Class JB |
5.00% |
06/16/40 |
1,311,038 | |
525,156 |
Series
2010-157, Class OP, PO |
(d) |
12/20/40 |
422,801 | |
290,943 |
Series
2011-4, Class PZ |
5.00% |
01/20/41 |
282,514 | |
771,202 |
Series
2011-35, Class BP |
4.50% |
03/16/41 |
707,581 | |
151,160 |
Series
2011-48, Class LI, IO |
5.50% |
01/16/41 |
15,900 | |
5,035,018 |
Series
2011-61, Class WS, IO, (1 Mo. CME Term SOFR +
CSA)
×-1+
6.47% (b) |
1.02% |
02/20/38 |
173,213 | |
37,022 |
Series
2011-63, Class BI, IO |
6.00% |
02/20/38 |
2,020 | |
481,933 |
Series
2011-71, Class ZC |
5.50% |
07/16/34 |
474,819 | |
1,216,249 |
Series
2011-81, Class IC, IO, (1 Mo. CME Term SOFR +
CSA)
×-1+
6.72%, 0.62% Cap (b) |
0.62% |
07/20/35 |
13,172 | |
141,842 |
Series
2011-112, Class IP, IO |
0.50% |
08/16/26 |
3 | |
239,265 |
Series
2011-129, Class CL |
5.00% |
03/20/41 |
233,120 | |
2,679 |
Series
2011-136, Class GB |
2.50% |
05/20/40 |
2,530 | |
33,133 |
Series
2011-151, Class TB, IO, (1 Mo. CME Term SOFR +
CSA)
×-70+
465.50%, 3.50% Cap (b) |
3.50% |
04/20/41 |
2,482 | |
6,483,218 |
Series
2012-84, Class QS, IO, (1 Mo. CME Term SOFR +
CSA)
×-1+
6.10% (b) |
0.65% |
07/16/42 |
253,660 | |
6,711,842 |
Series
2012-84, Class SJ, (1 Mo. CME Term SOFR +
CSA) ×
-0.57+
2.51%, 0.00% Floor (b) |
0.00% |
07/16/42 |
3,364,053 | |
251,623 |
Series
2012-108, Class KB |
2.75% |
09/16/42 |
175,009 | |
2,094,384 |
Series
2012-143, Class TI, IO |
3.00% |
12/16/27 |
72,095 | |
1,343,763 |
Series
2012-149, Class PC (c) |
6.33% |
12/20/42 |
1,350,041 | |
63,793 |
Series
2013-5, Class IA, IO |
3.50% |
10/16/42 |
8,111 | |
2,223,000 |
Series
2013-20, Class QM |
2.63% |
02/16/43 |
1,664,342 | |
142,135 |
Series
2013-69, Class PI, IO |
5.00% |
05/20/43 |
14,053 | |
953,680 |
Series
2013-70, Class PM |
2.50% |
05/20/43 |
674,360 | |
1,387,720 |
Series
2013-91, Class PB |
3.50% |
09/20/42 |
1,344,153 | |
697,569 |
Series
2013-130, Class WS, IO, (1 Mo. CME Term SOFR +
CSA)
×-1+
6.10% (b) |
0.65% |
09/20/43 |
60,380 | |
688,000 |
Series
2013-183, Class PB |
4.50% |
12/20/43 |
603,791 | |
1,480,672 |
Series
2014-44, Class IC, IO |
3.00% |
04/20/28 |
57,105 | |
5,199,035 |
Series
2014-44, Class ID, IO (c) (e) |
0.33% |
03/16/44 |
48,224 | |
17,134 |
Series
2014-91, Class JI, IO |
4.50% |
01/20/40 |
1,017 | |
619,284 |
Series
2014-94, Class Z |
4.50% |
01/20/44 |
520,934 | |
1,184,386 |
Series
2014-115, Class QI, IO |
3.00% |
03/20/29 |
20,685 | |
2,459,679 |
Series
2014-116, Class SB, IO, (1 Mo. CME Term SOFR +
CSA)
×-1+
5.60% (b) |
0.15% |
08/20/44 |
168,261 | |
1,048,806 |
Series
2014-118, Class TV, IO, (1 Mo. CME Term SOFR +
CSA)
×-1+
6.25% (b) |
0.80% |
05/20/44 |
67,100 | |
11,476,602 |
Series
2015-24, Class BZ |
3.00% |
02/20/45 |
9,507,264 | |
4,201,839 |
Series
2015-66, Class LI, IO |
5.00% |
05/16/45 |
383,089 | |
11,497 |
Series
2015-95, Class IK, IO (c) (f) |
0.00% |
05/16/37 |
0 | |
1,945,599 |
Series
2015-124, Class DI, IO |
3.50% |
01/20/38 |
29,187 | |
348,883 |
Series
2015-137, Class WA (c) (e) |
5.54% |
01/20/38 |
343,512 | |
275,658 |
Series
2015-138, Class MI, IO |
4.50% |
08/20/44 |
29,401 | |
51,780 |
Series
2015-151, Class KW (c) |
4.72% |
04/20/34 |
49,639 |
Principal
Value |
Description |
Stated
Coupon |
Stated
Maturity |
Value | |
U.S.
GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES
(Continued) | |||||
|
Collateralized
Mortgage Obligations (Continued) |
| |||
|
Government
National Mortgage Association (Continued) |
|
|
| |
$20,160,221 |
Series
2015-164, Class MZ |
3.00% |
09/20/45 |
$13,459,054 | |
3,183,576 |
Series
2015-168, Class GI, IO |
5.50% |
02/16/33 |
84,221 | |
201,318 |
Series
2016-16, Class KZ |
3.00% |
02/16/46 |
137,947 | |
5,870,028 |
Series
2016-37, Class AF, 1 Mo. CME Term SOFR +
CSA +
0.47%
(a) |
5.90% |
11/20/43 |
5,607,343 | |
41,440 |
Series
2016-55, Class PB (c) |
5.68% |
03/20/31 |
40,936 | |
816,550 |
Series
2016-69, Class WI, IO |
4.50% |
05/20/46 |
203,134 | |
2,331,898 |
Series
2016-75, Class SA, IO, (1 Mo. CME Term SOFR +
CSA)
×-1+
6.00% (b) |
0.55% |
05/20/40 |
117,907 | |
402,874 |
Series
2016-78, Class UI, IO |
4.00% |
06/20/46 |
44,053 | |
7,231,381 |
Series
2016-83, Class BP |
3.00% |
06/20/46 |
5,333,229 | |
269,214 |
Series
2016-99, Class JA (c) |
5.51% |
11/20/45 |
263,420 | |
1,067,525 |
Series
2016-109, Class ZM |
3.50% |
08/20/36 |
851,848 | |
5,547,461 |
Series
2016-111, Class PI, IO |
3.50% |
06/20/45 |
510,692 | |
6,774,003 |
Series
2016-120, Class AS, IO, (1 Mo. CME Term SOFR +
CSA)
×-1+
6.10% (b) |
0.65% |
09/20/46 |
571,361 | |
464,000 |
Series
2016-141, Class PC |
5.00% |
10/20/46 |
411,847 | |
339,171 |
Series
2016-145, Class LZ |
3.00% |
10/20/46 |
201,625 | |
7,174,700 |
Series
2016-156, Class ZM |
3.50% |
11/20/46 |
6,138,288 | |
303,000 |
Series
2016-160, Class LE |
2.50% |
11/20/46 |
183,322 | |
171,030 |
Series
2016-167, Class KI, IO |
6.00% |
12/16/46 |
23,113 | |
1,939,965 |
Series
2017-12, Class SD, IO, (1 Mo. CME Term SOFR +
CSA)
×-1+
6.10% (b) |
0.65% |
01/20/47 |
164,591 | |
1,004,275 |
Series
2017-17, Class KZ |
4.50% |
02/20/47 |
795,896 | |
3,434,309 |
Series
2017-32, Class DI, IO |
5.50% |
05/20/35 |
551,786 | |
6,323,467 |
Series
2017-33, Class PZ |
3.00% |
02/20/47 |
4,811,614 | |
3,750,867 |
Series
2017-56, Class BI, IO |
6.00% |
04/16/47 |
580,034 | |
3,361,212 |
Series
2017-123, Class IO, IO |
5.00% |
08/16/47 |
727,151 | |
4,272,348 |
Series
2017-130, Class LS, IO, (1 Mo. CME Term SOFR +
CSA)
×-1+
6.20% (b) |
0.75% |
08/16/47 |
237,667 | |
3,575,153 |
Series
2017-133, Class JI, IO |
7.00% |
06/20/41 |
455,684 | |
3,095,779 |
Series
2017-186, Class TI, IO, (1 Mo. CME Term SOFR +
CSA)
×-1+
6.50%, 0.50% Cap (b) |
0.50% |
05/20/40 |
39,157 | |
938,273 |
Series
2018-44, Class Z |
2.50% |
09/20/47 |
593,119 | |
4,392,516 |
Series
2018-79, Class IO, IO |
5.00% |
06/20/48 |
555,898 | |
5,204,477 |
Series
2018-131, Class IA, IO |
5.00% |
04/20/44 |
530,469 | |
10,000,000 |
Series
2018-134, Class KB |
3.50% |
10/20/48 |
8,354,469 | |
6,734,770 |
Series
2018-155, Class KD |
4.00% |
11/20/48 |
6,010,817 | |
3,837,276 |
Series
2018-160, Class GY |
4.50% |
11/20/48 |
3,439,959 | |
5,577,757 |
Series
2018-78I, Class EZ |
3.00% |
04/20/48 |
4,575,269 | |
941,977 |
Series
2019-27, Class DI, IO |
5.50% |
01/20/40 |
149,629 | |
9,039,637 |
Series
2019-128, Class EF, 1 Mo. CME Term SOFR +
CSA +
0.57%,
4.00% Cap (a) |
4.00% |
10/20/49 |
7,637,722 | |
2,054,463 |
Series
2019-128, Class ES, IO, (1 Mo. CME Term SOFR +
CSA)
×-1+
3.43%, 0.00% Floor (b) |
0.00% |
10/20/49 |
10,853 | |
3,000,000 |
Series
2020-62, Class IC, IO |
2.50% |
01/20/50 |
632,260 | |
14,014,801 |
Series
2020-62, Class WI, IO |
2.50% |
08/20/49 |
2,869,158 | |
7,097,422 |
Series
2020-84, Class IM, IO |
2.50% |
05/20/50 |
1,552,326 | |
19,759,118 |
Series
2020-84, Class IO, IO |
2.50% |
04/20/50 |
4,484,879 | |
6,428,474 |
Series
2021-46, Class IL, IO |
3.00% |
03/20/51 |
774,979 |
Principal
Value |
Description |
Stated
Coupon |
Stated
Maturity |
Value | |
U.S.
GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES
(Continued) | |||||
|
Collateralized
Mortgage Obligations (Continued) |
| |||
|
Government
National Mortgage Association (Continued) |
|
|
| |
$33,344,676 |
Series
2022-63, Class AZ |
3.00% |
08/20/51 |
$23,885,448 | |
17,183,548 |
Series
2022-63, Class BZ |
3.50% |
11/20/46 |
12,704,827 | |
19,896,659 |
Series
2022-63, Class HZ |
2.50% |
11/20/51 |
12,516,622 | |
11,429,527 |
Series
2022-63, Class MZ |
3.00% |
05/20/51 |
7,621,683 | |
16,088,065 |
Series
2022-65, Class BZ |
3.50% |
04/20/52 |
10,667,119 | |
7,358,235 |
Series
2022-68, Class DZ |
3.50% |
04/20/52 |
4,741,133 | |
12,825,014 |
Series
2022-68, Class MZ |
3.50% |
04/20/52 |
8,703,397 | |
21,904,058 |
Series
2022-68, Class XA |
3.50% |
02/20/49 |
20,021,440 | |
13,239,166 |
Series
2022-68, Class Z |
3.50% |
04/20/52 |
9,374,781 | |
17,800,283 |
Series
2022-68, Class ZC |
3.50% |
04/20/52 |
11,638,348 | |
12,991,946 |
Series
2022-69, Class QL |
3.00% |
04/20/52 |
10,034,762 | |
15,893,306 |
Series
2022-76, Class PG |
4.00% |
04/20/52 |
14,828,776 | |
10,917,513 |
Series
2022-78, Class AM |
3.50% |
04/20/52 |
7,468,338 | |
14,453,676 |
Series
2022-90, Class KZ |
3.00% |
04/20/51 |
9,434,689 | |
8,824,434 |
Series
2022-90, Class ZG |
1.50% |
02/20/52 |
3,653,593 | |
22,341,349 |
Series
2022-124, Class EY |
4.00% |
07/20/52 |
17,429,574 | |
12,000,000 |
Series
2022-124, Class MY |
3.50% |
07/20/52 |
9,222,640 | |
9,698,933 |
Series
2022-146, Class MF, 30 Day Average SOFR +
0.45% (a) |
5.77% |
08/20/52 |
9,183,106 | |
10,072,785 |
Series
2022-154, Class EZ |
3.50% |
09/20/52 |
6,907,012 | |
10,173,000 |
Series
2022-204, Class YC |
4.00% |
07/20/52 |
8,528,308 | |
12,400,587 |
Series
2023-83, Class CA |
5.00% |
11/20/60 |
11,801,313 | |
|
Seasoned
Credit Risk Transfer Trust |
|
|
| |
8,397,287 |
Series
2018-2, Class MA |
3.50% |
11/25/57 |
7,760,208 | |
8,620,056 |
Series
2018-3, Class MA |
3.50% |
08/25/57 |
7,940,263 | |
27,467,523 |
Series
2018-4, Class MA |
3.50% |
03/25/58 |
25,200,293 | |
20,341,620 |
Series
2019-1, Class MA |
3.50% |
07/25/58 |
18,597,595 | |
5,026,413 |
Series
2019-3, Class MA |
3.50% |
10/25/58 |
4,603,280 | |
24,256,586 |
Series
2020-2, Class MAU |
2.50% |
11/25/59 |
21,256,980 | |
|
Seasoned
Loans Structured Transaction Trust |
|
|
| |
3,602,639 |
Series
2019-3, Class A1C |
2.75% |
11/25/29 |
3,203,925 | |
5,201,231 |
Series
2021-1, Class A1D |
2.00% |
05/26/31 |
4,540,221 | |
10,000,000 |
Series
2022-1, Class A2 |
3.50% |
05/25/32 |
8,186,968 | |
|
|
1,210,324,642 | |||
|
Commercial
Mortgage-Backed Securities — 14.5% |
| |||
|
Federal
Home Loan Mortgage Corporation Multiclass
Certificates |
|
|
| |
79,276,000 |
Series
2020-RR02, Class DX, IO (c) |
1.82% |
09/27/28 |
5,661,103 | |
150,334,000 |
Series
2020-RR06, Class BX, IO (c) |
1.84% |
05/27/33 |
15,914,545 | |
37,600,000 |
Series
2020-RR09, Class AX, IO (c) |
2.63% |
11/27/28 |
3,880,320 | |
47,500,000 |
Series
2020-RR09, Class BX, IO (c) |
2.20% |
02/27/29 |
4,360,500 | |
96,907,000 |
Series
2020-RR10, Class X, IO (c) |
2.01% |
12/27/27 |
5,814,493 | |
112,919,000 |
Series
2020-RR11, Class AX, IO (c) |
2.84% |
01/27/29 |
11,824,584 | |
44,200,500 |
Series
2020-RR11, Class BX, IO (c) |
2.44% |
12/27/28 |
3,204,797 | |
35,981,681 |
Series
2021-P009, Class X, IO (e) |
1.40% |
01/25/31 |
1,433,474 | |
4,047,837 |
Series
2021-P011, Class X1, IO (e) |
1.78% |
09/25/45 |
466,388 | |
112,345,000 |
Series
2021-RR15, Class X, IO (e) |
1.56% |
10/27/34 |
11,746,759 | |
100,924,000 |
Series
2021-RR18, Class X, IO (e) (g) (h) |
1.90% |
10/27/28 |
7,195,881 | |
32,013,000 |
Series
2021-RR19, Class X, IO (e) |
1.98% |
04/27/29 |
1,813,591 | |
55,000,000 |
Series
2021-RR20, Class X, IO (e) |
1.85% |
04/25/33 |
6,942,980 |
Principal
Value |
Description |
Stated
Coupon |
Stated
Maturity |
Value | |
U.S.
GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES
(Continued) | |||||
|
Commercial
Mortgage-Backed Securities (Continued) |
| |||
|
Federal
Home Loan Mortgage Corporation Multifamily Structured
Pass
Through Certificates |
|
|
| |
$128,644,992 |
Series
2015-K047, Class X3, IO (e) |
1.49% |
06/25/43 |
$2,748,950 | |
1,234,442 |
Series
2016-K054, Class A1 |
2.30% |
01/25/25 |
1,207,561 | |
19,868,000 |
Series
2016-K152, Class A2 |
3.08% |
01/25/31 |
16,947,577 | |
279,800,537 |
Series
2016-KIR1, Class X, IO (e) |
1.03% |
03/25/26 |
5,666,213 | |
5,900,000 |
Series
2018-K156, Class A3 |
3.70% |
06/25/33 |
5,055,054 | |
1,900,000 |
Series
2018-K157, Class A3 |
3.99% |
08/25/33 |
1,656,585 | |
8,000,000 |
Series
2018-K158, Class A3 |
3.90% |
10/25/33 |
6,948,510 | |
9,101,000 |
Series
2018-K159, Class A3 |
3.95% |
11/25/33 |
7,922,277 | |
11,254,652 |
Series
2018-KSW4, Class A, 30 Day Average SOFR +
CSA +
0.43%
(a) |
5.86% |
10/25/28 |
11,195,417 | |
3,000,000 |
Series
2019-1513, Class A2 |
2.73% |
12/25/31 |
2,491,705 | |
73,854,896 |
Series
2019-K097, Class X1, IO (e) |
1.09% |
07/25/29 |
3,659,835 | |
57,392,734 |
Series
2019-K099, Class X1, IO (e) |
0.88% |
09/25/29 |
2,341,296 | |
57,790,000 |
Series
2019-K099, Class XAM, IO (e) |
1.14% |
09/25/29 |
3,207,977 | |
125,264,064 |
Series
2019-K100, Class X1, IO (e) |
0.65% |
09/25/29 |
3,897,754 | |
69,276,280 |
Series
2019-K101, Class X1, IO (c) |
0.83% |
10/25/29 |
2,731,882 | |
64,993,000 |
Series
2019-K102, Class XAM, IO (c) |
1.08% |
10/25/29 |
3,468,901 | |
59,029,000 |
Series
2019-K103, Class XAM, IO (e) |
0.90% |
11/25/29 |
2,690,006 | |
101,657,193 |
Series
2019-K734, Class X1, IO (e) |
0.65% |
02/25/26 |
1,085,811 | |
68,018,000 |
Series
2019-K734, Class XAM, IO (e) |
0.42% |
02/25/26 |
650,737 | |
41,521,965 |
Series
2019-K735, Class X1, IO (e) |
0.96% |
05/25/26 |
793,128 | |
53,727,679 |
Series
2019-K736, Class X1, IO (e) |
1.28% |
07/25/26 |
1,447,005 | |
28,544,609 |
Series
2019-K1510, Class X1, IO (e) |
0.48% |
01/25/34 |
940,662 | |
15,780,539 |
Series
2019-K1511, Class X1, IO (e) |
0.78% |
03/25/34 |
815,593 | |
157,802,599 |
Series
2019-K1512, Class X1, IO (e) |
0.91% |
04/25/34 |
9,361,955 | |
56,788,785 |
Series
2019-K1513, Class X1, IO (e) |
0.86% |
08/25/34 |
3,261,647 | |
35,529,637 |
Series
2020-K109, Class XAM, IO (e) |
1.80% |
04/25/30 |
3,361,004 | |
108,307,522 |
Series
2020-K110, Class X1, IO (e) |
1.70% |
04/25/30 |
8,778,834 | |
24,006,055 |
Series
2020-K110, Class XAM, IO (e) |
1.87% |
04/25/30 |
2,299,994 | |
29,273,633 |
Series
2020-K112, Class XAM, IO (e) |
1.67% |
05/25/30 |
2,576,598 | |
82,019,000 |
Series
2020-K113, Class XAM, IO (e) |
1.59% |
06/25/30 |
6,920,599 | |
53,269,611 |
Series
2020-K114, Class XAM, IO (e) |
1.34% |
06/25/30 |
3,847,723 | |
120,533,519 |
Series
2020-K115, Class X1, IO (e) |
1.33% |
06/25/30 |
8,073,805 | |
55,537,412 |
Series
2020-K115, Class XAM, IO (e) |
1.55% |
07/25/30 |
4,588,934 | |
16,385,350 |
Series
2020-K116, Class X1, IO (e) |
1.42% |
07/25/30 |
1,164,153 | |
55,652,865 |
Series
2020-K116, Class XAM, IO (e) |
1.60% |
08/25/30 |
4,847,125 | |
8,000,000 |
Series
2020-K117, Class A2 |
1.41% |
08/25/30 |
6,142,532 | |
63,500,000 |
Series
2020-K117, Class XAM, IO (e) |
1.43% |
09/25/30 |
4,954,359 | |
77,265,079 |
Series
2020-K118, Class X1, IO (e) |
0.96% |
09/25/30 |
3,864,359 | |
37,151,661 |
Series
2020-K118, Class XAM, IO (e) |
1.17% |
09/25/30 |
2,406,581 | |
51,000,000 |
Series
2020-K119, Class XAM, IO (e) |
1.13% |
10/25/30 |
3,201,464 | |
7,000,000 |
Series
2020-K120, Class A2 |
1.50% |
10/25/30 |
5,369,250 | |
77,535,017 |
Series
2020-K120, Class XAM, IO (e) |
1.21% |
10/25/30 |
5,165,701 | |
28,126,776 |
Series
2020-K121, Class X1, IO (e) |
1.02% |
10/25/30 |
1,482,683 | |
24,471,000 |
Series
2020-K121, Class XAM, IO (e) |
1.19% |
11/25/30 |
1,653,102 | |
77,947,185 |
Series
2020-K122, Class X1, IO (e) |
0.88% |
11/25/30 |
3,604,192 | |
35,410,560 |
Series
2020-K122, Class XAM, IO (e) |
1.08% |
11/25/30 |
2,154,180 | |
74,130,848 |
Series
2020-K737, Class X1, IO (c) |
0.63% |
10/25/26 |
1,055,912 |
Principal
Value |
Description |
Stated
Coupon |
Stated
Maturity |
Value | |
U.S.
GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES
(Continued) | |||||
|
Commercial
Mortgage-Backed Securities (Continued) |
| |||
|
Federal
Home Loan Mortgage Corporation Multifamily Structured
Pass
Through Certificates (Continued) |
|
|
| |
$38,645,000 |
Series
2020-K738, Class XAM, IO (c) |
1.37% |
03/25/27 |
$1,567,889 | |
129,456,366 |
Series
2020-K739, Class X1, IO (e) |
1.21% |
09/25/27 |
4,473,209 | |
46,072,531 |
Series
2020-K739, Class XAM, IO (e) |
1.57% |
09/25/27 |
2,313,804 | |
70,811,000 |
Series
2020-K740, Class XAM, IO (e) |
1.11% |
10/25/27 |
2,606,029 | |
89,707,038 |
Series
2020-K1515, Class X1, IO (e) |
1.51% |
02/25/35 |
9,731,393 | |
44,611,726 |
Series
2020-K1516, Class X1, IO (e) |
1.51% |
05/25/35 |
5,122,457 | |
55,731,526 |
Series
2020-K1517, Class X1, IO (e) |
1.32% |
07/25/35 |
5,566,821 | |
89,782,322 |
Series
2020-KG04, Class X1, IO (e) |
0.85% |
11/25/30 |
3,975,471 | |
5,700,000 |
Series
2021-K123, Class A2 |
1.62% |
12/25/30 |
4,393,830 | |
4,725,000 |
Series
2021-K124, Class A2 |
1.66% |
12/25/30 |
3,641,795 | |
64,367,000 |
Series
2021-K128, Class XAM, IO (e) |
0.73% |
03/25/31 |
2,832,830 | |
145,866,810 |
Series
2021-K129, Class X1, IO (e) |
1.03% |
05/25/31 |
8,146,938 | |
43,636,000 |
Series
2021-K129, Class XAM, IO (e) |
1.22% |
05/25/31 |
3,148,093 | |
41,565,013 |
Series
2021-K130, Class XAM, IO (e) |
1.21% |
07/25/31 |
3,082,549 | |
48,086,863 |
Series
2021-K131, Class XAM, IO (e) |
0.94% |
07/25/31 |
2,762,456 | |
78,491,000 |
Series
2021-K132, Class XAM, IO (e) |
0.86% |
09/25/31 |
4,099,342 | |
107,703,000 |
Series
2021-K741, Class XAM, IO (e) |
0.95% |
12/25/27 |
3,623,112 | |
106,661,968 |
Series
2021-K744, Class X1, IO (e) |
0.85% |
07/25/28 |
3,512,464 | |
9,783,521 |
Series
2021-K1522, Class A1 |
1.91% |
11/25/35 |
7,407,087 | |
143,990,000 |
Series
2021-KG05, Class X1, IO (e) |
0.31% |
01/25/31 |
2,580,430 | |
64,431,976 |
Series
2021-KG06, Class X1, IO (e) |
0.53% |
10/25/31 |
2,052,796 | |
200,000,000 |
Series
2022-K148, Class XAM, IO (e) |
0.25% |
08/25/32 |
4,083,982 | |
14,000,000 |
Series
2023-KJ47, Class A2 |
5.43% |
06/25/31 |
13,740,770 | |
|
Federal
Home Loan Mortgage Corporation Multifamily ML
Certificates |
|
|
| |
7,473,493 |
Series
2023-ML15, Class A (e) |
4.00% |
01/25/40 |
6,429,085 | |
|
Federal
National Mortgage Association Alternative Credit
Enhancement
Securities |
|
|
| |
29,610,955 |
Series
2023-M1, Class 2A1 (e) |
3.94% |
12/25/37 |
26,375,881 | |
24,693,284 |
Series
2023-M1, Class Z (e) |
3.94% |
01/25/53 |
17,327,920 | |
|
FREMF
Mortgage Trust |
|
|
| |
4,505,000 |
Series
2015-K44, Class B (e) (i) |
3.72% |
01/25/48 |
4,355,479 | |
8,205,000 |
Series
2015-K45, Class B (e) (i) |
3.61% |
04/25/48 |
7,896,458 | |
|
Government
National Mortgage Association |
|
|
| |
2,897,703 |
Series
2011-31, Class Z (c) |
3.53% |
09/16/52 |
2,503,136 | |
19,356,106 |
Series
2012-120, Class Z (c) |
2.46% |
01/16/55 |
11,403,123 | |
91,044 |
Series
2013-74, Class AG (e) |
2.53% |
12/16/53 |
65,509 | |
4,932 |
Series
2013-194, Class AE (c) |
2.75% |
11/16/44 |
4,481 | |
16,781,922 |
Series
2015-30, Class DZ |
2.95% |
05/16/55 |
13,932,468 | |
6,482,789 |
Series
2015-70, Class IO, IO (c) |
0.57% |
12/16/49 |
111,649 | |
3,834,475 |
Series
2015-125, Class VA (c) |
2.70% |
05/16/35 |
3,547,928 | |
15,611,703 |
Series
2016-11, Class IO, IO (c) |
0.78% |
01/16/56 |
532,829 | |
7,534,877 |
Series
2016-26, Class IO, IO (c) |
0.63% |
02/16/58 |
169,401 | |
10,295,837 |
Series
2016-52, Class IO, IO (c) |
0.76% |
03/16/58 |
328,823 | |
9,528,944 |
Series
2016-127, Class IO, IO (c) |
0.85% |
05/16/58 |
377,463 | |
3,266,065 |
Series
2017-23, Class Z |
2.50% |
05/16/59 |
1,741,994 | |
4,249,626 |
Series
2017-35, Class Z (c) |
2.50% |
05/16/59 |
2,374,294 | |
6,548,750 |
Series
2017-76, Class B |
2.60% |
12/16/56 |
4,468,307 |
Principal
Value |
Description |
Stated
Coupon |
Stated
Maturity |
Value | |
U.S.
GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES
(Continued) | |||||
|
Commercial
Mortgage-Backed Securities (Continued) |
| |||
|
Government
National Mortgage Association (Continued) |
|
|
| |
$2,283,069 |
Series
2017-106, Class AE |
2.60% |
12/16/56 |
$1,739,610 | |
2,703,284 |
Series
2017-146, Class Z |
2.60% |
09/16/57 |
1,533,897 | |
4,443,550 |
Series
2018-4, Class Z |
2.50% |
10/16/59 |
2,249,501 | |
17,770,818 |
Series
2018-123, Class Z |
2.50% |
06/16/60 |
13,246,746 | |
25,416,363 |
Series
2018-170, Class Z |
2.50% |
11/16/60 |
17,440,571 | |
18,777,973 |
Series
2019-7, Class Z |
2.50% |
01/16/61 |
11,062,335 | |
1,936,235 |
Series
2019-104, Class Z |
2.80% |
05/16/61 |
954,517 | |
6,700,000 |
Series
2020-161, Class B |
2.00% |
08/16/62 |
3,343,677 | |
8,963,279 |
Series
2020-169, Class Z |
1.83% |
06/16/62 |
3,101,163 | |
23,054,266 |
Series
2022-43, Class Z |
2.00% |
09/16/61 |
10,748,867 | |
19,658,062 |
Series
2022-106, Class Z |
2.00% |
05/16/63 |
11,263,886 | |
|
|
555,063,082 | |||
|
Pass-Through
Securities — 36.3% |
| |||
|
Federal
Home Loan Mortgage Corporation | ||||
925,543 |
Pool
760043, 5 Yr. Constant Maturity Treasury Rate +
1.39% (a) |
3.57% |
12/01/48 |
891,179 | |
3,097,538 |
Pool
840359, FTSE USD IBOR Consumer Cash Fallbacks Term
1Y
+
1.66% (a) |
5.19% |
06/01/46 |
3,133,965 | |
69,268 |
Pool
A19763
|
5.00% |
04/01/34 |
66,132 | |
314,141 |
Pool
A47828
|
3.50% |
08/01/35 |
280,116 | |
139,384 |
Pool
A47937
|
5.50% |
08/01/35 |
137,382 | |
58,137 |
Pool
A48972
|
5.50% |
05/01/36 |
57,035 | |
58,179 |
Pool
A54675
|
5.50% |
01/01/36 |
57,270 | |
129,170 |
Pool
A65324
|
5.50% |
09/01/37 |
127,152 | |
71,252 |
Pool
A97294
|
4.00% |
02/01/41 |
63,815 | |
537,329 |
Pool
B70791
|
4.00% |
06/01/39 |
520,004 | |
2,320 |
Pool
C01310
|
6.50% |
03/01/32 |
2,338 | |
8,928 |
Pool
C03458
|
5.00% |
02/01/40 |
8,589 | |
80,447 |
Pool
C04269
|
3.00% |
10/01/42 |
68,042 | |
13,058 |
Pool
C91482
|
3.50% |
07/01/32 |
12,176 | |
6,655 |
Pool
E02883
|
4.00% |
04/01/26 |
6,487 | |
11,442 |
Pool
G01443
|
6.50% |
08/01/32 |
11,509 | |
192,265 |
Pool
G02017
|
5.00% |
12/01/35 |
186,877 | |
88,387 |
Pool
G04814
|
5.50% |
10/01/38 |
86,924 | |
14,708 |
Pool
G05173
|
4.50% |
11/01/31 |
13,728 | |
208,178 |
Pool
G05275
|
5.50% |
02/01/39 |
204,665 | |
50,396 |
Pool
G05449
|
4.50% |
05/01/39 |
46,610 | |
148,546 |
Pool
G06583
|
5.00% |
06/01/41 |
142,414 | |
390,206 |
Pool
G07100
|
5.50% |
07/01/40 |
383,662 | |
37,639 |
Pool
G07266
|
4.00% |
12/01/42 |
33,507 | |
277,216 |
Pool
G07329
|
4.00% |
01/01/43 |
247,262 | |
273,078 |
Pool
G07683
|
4.00% |
03/01/44 |
242,929 | |
1,495 |
Pool
G08113
|
6.50% |
02/01/36 |
1,512 | |
37 |
Pool
G13625
|
5.50% |
01/01/24 |
37 | |
10,388 |
Pool
G13733
|
5.00% |
11/01/24 |
10,076 | |
13,092 |
Pool
G14088
|
4.00% |
02/01/26 |
12,762 | |
2,479 |
Pool
G14106
|
6.00% |
10/01/24 |
2,475 | |
6 |
Pool
G14233
|
6.00% |
01/01/24 |
6 | |
131,468 |
Pool
G14348
|
4.00% |
10/01/26 |
128,191 | |
2,342 |
Pool
G14376
|
4.00% |
09/01/25 |
2,297 |
Principal
Value |
Description |
Stated
Coupon |
Stated
Maturity |
Value | |
U.S.
GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES
(Continued) | |||||
|
Pass-Through
Securities (Continued) |
| |||
|
Federal
Home Loan Mortgage Corporation (Continued) | ||||
$292 |
Pool
G14995
|
5.50% |
12/01/24 |
$291 | |
98 |
Pool
G15821
|
5.00% |
07/01/25 |
95 | |
28,023 |
Pool
G15949
|
4.00% |
01/01/29 |
27,316 | |
51 |
Pool
G15957
|
5.50% |
12/01/24 |
51 | |
3,089 |
Pool
G18287
|
5.50% |
12/01/23 |
3,083 | |
7,653 |
Pool
G60020
|
4.50% |
12/01/43 |
6,953 | |
322,281 |
Pool
G60114
|
5.50% |
06/01/41 |
317,253 | |
476,880 |
Pool
G60168
|
4.50% |
07/01/45 |
438,373 | |
178,353 |
Pool
G60194
|
3.50% |
08/01/45 |
154,288 | |
163,163 |
Pool
G60808
|
3.00% |
10/01/46 |
135,522 | |
2,598 |
Pool
H09034
|
5.50% |
05/01/37 |
2,571 | |
9,069 |
Pool
J09465
|
4.00% |
04/01/24 |
8,983 | |
3,555 |
Pool
J09504
|
4.00% |
04/01/24 |
3,521 | |
1,406 |
Pool
J09798
|
4.00% |
05/01/24 |
1,393 | |
3,547 |
Pool
J10623
|
4.00% |
09/01/24 |
3,478 | |
85,840 |
Pool
N70075
|
5.00% |
01/01/35 |
83,788 | |
219,529 |
Pool
N70081
|
5.50% |
07/01/38 |
211,724 | |
45,252 |
Pool
Q07189
|
4.00% |
04/01/42 |
40,494 | |
15,736 |
Pool
Q07479
|
3.50% |
04/01/42 |
13,849 | |
69,479 |
Pool
Q11791
|
3.50% |
10/01/42 |
61,060 | |
46,168 |
Pool
Q11836
|
3.50% |
10/01/42 |
40,459 | |
327,944 |
Pool
Q14034
|
3.50% |
12/01/42 |
288,635 | |
313,880 |
Pool
Q54651
|
4.50% |
03/01/48 |
288,238 | |
654,219 |
Pool
Q55037
|
4.50% |
04/01/48 |
601,400 | |
1,786,555 |
Pool
Q61217
|
4.00% |
01/01/49 |
1,573,939 | |
10,292,657 |
Pool
SC0252
|
3.00% |
01/01/42 |
8,598,209 | |
9,893,794 |
Pool
SD0887
|
3.50% |
09/01/49 |
8,545,607 | |
15,340,344 |
Pool
SD0948
|
3.00% |
05/01/47 |
12,772,257 | |
21,904,382 |
Pool
SD0949
|
3.00% |
09/01/48 |
18,419,797 | |
16,369,675 |
Pool
SD0954
|
3.00% |
02/01/47 |
13,825,478 | |
10,560,470 |
Pool
SD0961
|
3.50% |
11/01/48 |
9,064,202 | |
10,643,533 |
Pool
SD1169
|
3.50% |
02/01/48 |
9,193,324 | |
18,788,274 |
Pool
SD1170
|
3.50% |
09/01/49 |
16,227,635 | |
5,196,010 |
Pool
SD1289
|
3.00% |
10/01/50 |
4,299,970 | |
7,065,163 |
Pool
SD1361
|
3.50% |
02/01/50 |
6,102,507 | |
10,662,275 |
Pool
SD4005
|
4.00% |
12/01/49 |
9,446,923 | |
250,778 |
Pool
U50165
|
4.00% |
05/01/32 |
225,210 | |
1,546,346 |
Pool
U59020
|
4.00% |
06/01/35 |
1,381,397 | |
847,147 |
Pool
U64762
|
4.50% |
10/01/45 |
779,629 | |
79,521 |
Pool
U80068
|
3.50% |
10/01/32 |
74,696 | |
47,989 |
Pool
U80212
|
3.50% |
02/01/33 |
45,026 | |
67,391 |
Pool
U90245
|
3.50% |
10/01/42 |
58,686 | |
680,585 |
Pool
U90690
|
3.50% |
06/01/42 |
592,673 | |
9,508 |
Pool
U90932
|
3.00% |
02/01/43 |
7,900 | |
23,713 |
Pool
U92272
|
4.50% |
12/01/43 |
21,709 | |
76,523 |
Pool
U99045
|
3.50% |
03/01/43 |
66,718 | |
85,683 |
Pool
U99084
|
4.50% |
02/01/44 |
79,100 | |
42,692 |
Pool
U99091
|
4.50% |
03/01/44 |
39,084 | |
113,114 |
Pool
U99096
|
4.50% |
05/01/44 |
103,680 |
Principal
Value |
Description |
Stated
Coupon |
Stated
Maturity |
Value | |
U.S.
GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES
(Continued) | |||||
|
Pass-Through
Securities (Continued) |
| |||
|
Federal
Home Loan Mortgage Corporation (Continued) | ||||
$10,486,063 |
Pool
ZA4196
|
3.00% |
04/01/43 |
$8,826,943 | |
15,491,419 |
Pool
ZL8982
|
3.50% |
01/01/45 |
13,381,138 | |
1,205,551 |
Pool
ZS2492
|
6.50% |
04/01/35 |
1,234,883 | |
19,735,427 |
Pool
ZS9446
|
3.50% |
08/01/45 |
17,046,755 | |
26,240,680 |
Pool
ZS9776
|
3.50% |
08/01/46 |
22,568,205 | |
47,531,893 |
Pool
ZT0779
|
3.00% |
09/01/47 |
38,947,025 | |
|
Federal
National Mortgage Association | ||||
32,008 |
Pool
190371
|
6.50% |
07/01/36 |
32,441 | |
18,633 |
Pool
255190
|
5.50% |
05/01/34 |
18,338 | |
5,915 |
Pool
255984
|
4.50% |
11/01/25 |
5,636 | |
51,289 |
Pool
256181
|
5.50% |
03/01/36 |
50,808 | |
243,218 |
Pool
256576
|
5.50% |
01/01/37 |
240,640 | |
4,553 |
Pool
256808
|
5.50% |
07/01/37 |
4,449 | |
34,317 |
Pool
256936
|
6.00% |
10/01/37 |
34,355 | |
38,602 |
Pool
545759
|
6.50% |
07/01/32 |
39,240 | |
8,616 |
Pool
555851
|
6.50% |
01/01/33 |
8,612 | |
250,135 |
Pool
735415
|
6.50% |
12/01/32 |
253,964 | |
2,394 |
Pool
745875
|
6.50% |
09/01/36 |
2,427 | |
33,772 |
Pool
747097
|
6.00% |
10/01/29 |
33,497 | |
206,090 |
Pool
788149
|
5.50% |
05/01/33 |
196,849 | |
203,564 |
Pool
850000
|
5.50% |
01/01/36 |
200,092 | |
32,338 |
Pool
871039
|
5.50% |
02/01/37 |
31,835 | |
68,968 |
Pool
888163
|
7.00% |
12/01/33 |
70,858 | |
7,959 |
Pool
890149
|
6.50% |
10/01/38 |
8,191 | |
6,351 |
Pool
890231
|
5.00% |
07/01/25 |
6,142 | |
25 |
Pool
890378
|
6.00% |
05/01/24 |
25 | |
641,535 |
Pool
890556
|
4.50% |
10/01/43 |
585,107 | |
60,510 |
Pool
922386
|
5.50% |
01/01/37 |
58,692 | |
7,757 |
Pool
930562
|
5.00% |
02/01/39 |
7,485 | |
84,824 |
Pool
953115
|
5.50% |
11/01/38 |
82,659 | |
30,316 |
Pool
976871
|
6.50% |
08/01/36 |
30,312 | |
11,972 |
Pool
995097
|
6.50% |
10/01/37 |
12,323 | |
58,691 |
Pool
995149
|
6.50% |
10/01/38 |
59,889 | |
30,258 |
Pool
995228
|
6.50% |
11/01/38 |
31,325 | |
8 |
Pool
995252
|
5.00% |
12/01/23 |
8 | |
79,766 |
Pool
AA3303
|
5.50% |
06/01/38 |
76,314 | |
343,999 |
Pool
AB0460
|
5.50% |
02/01/37 |
339,566 | |
5,443 |
Pool
AB2133
|
4.00% |
01/01/26 |
5,326 | |
826,809 |
Pool
AB2506
|
5.00% |
03/01/41 |
785,235 | |
847,754 |
Pool
AB2959
|
4.50% |
07/01/40 |
801,190 | |
414,811 |
Pool
AB8676
|
3.50% |
05/01/42 |
361,889 | |
3,304 |
Pool
AC1232
|
5.00% |
07/01/24 |
3,202 | |
2,229 |
Pool
AD0889
|
6.00% |
09/01/24 |
2,222 | |
6,225 |
Pool
AD5222
|
4.50% |
05/01/30 |
5,924 | |
145,890 |
Pool
AE0137
|
4.50% |
03/01/36 |
135,381 | |
2,439,594 |
Pool
AE7733
|
5.00% |
11/01/40 |
2,332,151 | |
379,812 |
Pool
AE9959
|
5.00% |
03/01/41 |
360,636 | |
187,845 |
Pool
AH0979
|
3.50% |
01/01/41 |
158,438 | |
75,571 |
Pool
AH1141
|
4.50% |
12/01/40 |
69,819 |
Principal
Value |
Description |
Stated
Coupon |
Stated
Maturity |
Value | |
U.S.
GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES
(Continued) | |||||
|
Pass-Through
Securities (Continued) |
| |||
|
Federal
National Mortgage Association (Continued) | ||||
$102,099 |
Pool
AI6093
|
4.50% |
06/01/31 |
$95,599 | |
19,097 |
Pool
AI6581
|
4.50% |
07/01/41 |
17,643 | |
266,489 |
Pool
AI9114
|
4.00% |
06/01/42 |
236,931 | |
1,154,775 |
Pool
AI9124
|
4.00% |
08/01/42 |
1,026,696 | |
885,588 |
Pool
AI9158
|
6.50% |
01/01/41 |
926,039 | |
56,578 |
Pool
AL0212
|
5.50% |
02/01/38 |
55,670 | |
70 |
Pool
AL0399
|
6.00% |
08/01/24 |
70 | |
9 |
Pool
AL0446
|
6.00% |
05/01/24 |
9 | |
59,127 |
Pool
AL2142
|
6.50% |
09/01/38 |
60,072 | |
41 |
Pool
AL2589
|
5.50% |
05/01/25 |
41 | |
62,377 |
Pool
AL2892
|
3.50% |
12/01/42 |
54,582 | |
368,634 |
Pool
AL3093
|
3.50% |
02/01/43 |
321,622 | |
4 |
Pool
AL4962
|
6.00% |
05/01/24 |
4 | |
432,228 |
Pool
AL5890
|
4.50% |
03/01/43 |
399,322 | |
22 |
Pool
AL6057
|
6.00% |
08/01/24 |
22 | |
8,098 |
Pool
AL6948
|
5.00% |
09/01/25 |
7,847 | |
385,197 |
Pool
AL7637
|
5.00% |
01/01/42 |
373,395 | |
880,977 |
Pool
AL7905
|
4.50% |
03/01/34 |
806,050 | |
12,634,721 |
Pool
AL9401
|
4.00% |
02/01/46 |
11,216,705 | |
6,554,062 |
Pool
AL9566
|
3.50% |
06/01/46 |
5,661,264 | |
675,396 |
Pool
AL9777
|
4.50% |
01/01/47 |
619,741 | |
9,361,205 |
Pool
AN2973
|
2.84% |
10/01/36 |
7,145,960 | |
177,878 |
Pool
AP1197
|
3.50% |
09/01/42 |
156,312 | |
106,326 |
Pool
AP7963
|
4.00% |
09/01/42 |
95,013 | |
1,440,349 |
Pool
AQ0411
|
3.50% |
10/01/42 |
1,265,738 | |
38,800 |
Pool
AQ9715
|
3.00% |
01/01/43 |
32,185 | |
216,119 |
Pool
AQ9999
|
3.00% |
02/01/43 |
179,271 | |
2,014,261 |
Pool
AS1719
|
5.00% |
02/01/44 |
1,909,727 | |
300,047 |
Pool
AS5236
|
4.00% |
05/01/45 |
274,710 | |
155,301 |
Pool
AS7211
|
3.00% |
04/01/46 |
128,854 | |
178,401 |
Pool
AS9990
|
4.50% |
07/01/47 |
161,910 | |
63,029 |
Pool
AT0332
|
3.00% |
04/01/43 |
51,828 | |
60,149 |
Pool
AY0013
|
4.50% |
01/01/45 |
55,508 | |
221,687 |
Pool
BE3631
|
4.50% |
05/01/47 |
202,651 | |
10,027 |
Pool
BH9428
|
4.50% |
09/01/47 |
9,138 | |
32,249 |
Pool
BJ6232
|
5.00% |
04/01/48 |
30,264 | |
507,314 |
Pool
BJ9100
|
4.50% |
02/01/48 |
465,635 | |
319,370 |
Pool
BJ9111
|
4.50% |
03/01/48 |
293,129 | |
983,907 |
Pool
BJ9124
|
4.50% |
04/01/48 |
903,094 | |
199,935 |
Pool
BK4769
|
5.00% |
08/01/48 |
188,184 | |
6,000,000 |
Pool
BL0516
|
4.09% |
12/01/38 |
4,986,758 | |
11,221,905 |
Pool
BM3867
|
4.00% |
02/01/46 |
9,972,546 | |
4,036,228 |
Pool
BM4785
|
4.50% |
10/01/38 |
3,764,296 | |
4,859,109 |
Pool
BM5671
|
4.50% |
01/01/49 |
4,463,418 | |
24,280,660 |
Pool
BM6732
|
4.00% |
11/01/48 |
21,932,615 | |
16,962,036 |
Pool
BM7079
|
4.00% |
10/01/48 |
14,857,116 | |
7,427,989 |
Pool
BM7129
|
3.00% |
01/01/47 |
6,161,528 | |
891,783 |
Pool
BN4059
|
4.00% |
12/01/48 |
771,217 | |
4,224,291 |
Pool
BV8046
|
4.50% |
09/01/52 |
3,846,008 |
Principal
Value |
Description |
Stated
Coupon |
Stated
Maturity |
Value | |
U.S.
GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES
(Continued) | |||||
|
Pass-Through
Securities (Continued) |
| |||
|
Federal
National Mortgage Association (Continued) | ||||
$3,484,489 |
Pool
CA2947
|
4.00% |
12/01/48 |
$3,065,941 | |
1,661,120 |
Pool
FM1284
|
3.50% |
02/01/46 |
1,449,379 | |
1,502,445 |
Pool
FM1285
|
4.00% |
10/01/43 |
1,344,539 | |
26,678,338 |
Pool
FM2863
|
3.50% |
09/01/48 |
22,936,947 | |
76,842,908 |
Pool
FM2972
|
4.00% |
12/01/44 |
68,237,316 | |
89,247,339 |
Pool
FM3003
|
4.00% |
05/01/49 |
79,067,405 | |
6,197,315 |
Pool
FM8218
|
4.00% |
04/01/48 |
5,488,400 | |
4,440,732 |
Pool
FM9408
|
4.50% |
06/01/46 |
4,065,291 | |
12,894,771 |
Pool
FS0045
|
3.00% |
09/01/47 |
10,717,388 | |
13,969,939 |
Pool
FS0074
|
3.00% |
01/01/47 |
11,784,094 | |
36,218,746 |
Pool
FS0742
|
3.50% |
05/01/44 |
31,464,208 | |
36,142,464 |
Pool
FS1797
|
3.50% |
07/01/46 |
31,688,619 | |
9,006,981 |
Pool
FS1884
|
4.00% |
05/01/42 |
7,936,132 | |
43,928,248 |
Pool
FS2044
|
4.50% |
07/01/44 |
40,346,898 | |
26,203,934 |
Pool
FS2127
|
3.50% |
06/01/48 |
22,561,677 | |
8,308,392 |
Pool
FS2787
|
4.00% |
10/01/48 |
7,380,126 | |
16,033,745 |
Pool
FS2796
|
3.50% |
08/01/47 |
13,850,530 | |
17,303,419 |
Pool
FS2925
|
3.00% |
08/01/48 |
14,565,543 | |
1,747,795 |
Pool
FS4013
|
4.00% |
04/01/42 |
1,560,151 | |
1,702,562 |
Pool
FS4015
|
5.50% |
03/01/49 |
1,671,338 | |
57,538 |
Pool
MA0096
|
4.50% |
06/01/29 |
54,751 | |
1,427 |
Pool
MA0293
|
4.50% |
01/01/30 |
1,358 | |
22,921 |
Pool
MA0295
|
5.00% |
01/01/30 |
21,955 | |
19,870 |
Pool
MA0353
|
4.50% |
03/01/30 |
18,906 | |
2,551 |
Pool
MA0777
|
5.00% |
06/01/31 |
2,417 | |
24,629 |
Pool
MA1222
|
4.00% |
10/01/32 |
23,249 | |
44,903 |
Pool
MA1228
|
3.00% |
09/01/42 |
37,251 | |
1,828 |
Pool
MA2509
|
3.00% |
01/01/46 |
1,472 | |
148,661 |
Pool
MA3101
|
4.50% |
08/01/47 |
135,984 | |
93,897 |
Pool
MA3123
|
5.00% |
08/01/47 |
88,237 | |
16,375,000 |
Pool
TBA (j) |
4.00% |
11/15/53 |
14,146,465 | |
5,000,000 |
Pool
TBA
|
6.50% |
11/15/53 |
4,969,899 | |
20,000,000 |
Pool
TBA
|
3.50% |
12/15/53 |
16,674,480 | |
10,000,000 |
Pool
TBA
|
4.50% |
12/15/53 |
8,934,217 | |
125,530,000 |
Pool
TBA (j) |
5.00% |
12/15/53 |
115,693,548 | |
111,503,000 |
Pool
TBA (j) |
5.50% |
12/15/53 |
105,744,916 | |
329,825,000 |
Pool
TBA (j) |
6.00% |
12/15/53 |
320,853,866 | |
45,000,000 |
Pool
TBA
|
6.50% |
12/15/53 |
44,700,967 | |
|
Government
National Mortgage Association | ||||
44,585 |
Pool
3149
|
6.00% |
10/20/31 |
44,925 | |
28,233 |
Pool
3172
|
6.00% |
12/20/31 |
28,808 | |
30,166 |
Pool
3227
|
6.00% |
04/20/32 |
30,265 | |
6,364 |
Pool
3474
|
6.00% |
11/20/33 |
6,436 | |
16,702 |
Pool
455986
|
5.25% |
07/15/25 |
16,232 | |
45,991 |
Pool
487108
|
6.00% |
04/15/29 |
45,536 | |
25,394 |
Pool
553144
|
5.50% |
04/15/33 |
24,658 | |
82,228 |
Pool
604338
|
5.00% |
05/15/33 |
79,383 | |
57,989 |
Pool
604897
|
5.00% |
12/15/33 |
55,977 | |
76,282 |
Pool
605389
|
5.00% |
04/15/34 |
73,636 |
Principal
Value |
Description |
Stated
Coupon |
Stated
Maturity |
Value | |
U.S.
GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES
(Continued) | |||||
|
Pass-Through
Securities (Continued) |
| |||
|
Government
National Mortgage Association (Continued) | ||||
$185,305 |
Pool
615403
|
4.50% |
08/15/33 |
$173,939 | |
6,383 |
Pool
627123
|
5.50% |
03/15/34 |
6,243 | |
66,119 |
Pool
638704
|
5.50% |
11/15/36 |
65,400 | |
136,546 |
Pool
653143
|
4.90% |
04/15/36 |
131,315 | |
227,240 |
Pool
658324
|
5.50% |
03/15/37 |
224,156 | |
96,787 |
Pool
677190
|
5.00% |
06/15/38 |
93,794 | |
13,785 |
Pool
687833
|
6.00% |
08/15/38 |
13,796 | |
39,609 |
Pool
706840
|
4.50% |
05/15/40 |
37,356 | |
165,428 |
Pool
706855
|
4.50% |
09/15/40 |
156,110 | |
211,583 |
Pool
711483
|
4.00% |
01/15/40 |
193,534 | |
98,736 |
Pool
711543
|
4.00% |
11/15/40 |
90,271 | |
681,711 |
Pool
711563
|
4.50% |
03/15/41 |
642,653 | |
3,894,389 |
Pool
720225
|
4.50% |
07/15/39 |
3,645,251 | |
193,634 |
Pool
723216
|
4.50% |
08/15/40 |
183,049 | |
56,008 |
Pool
723248
|
5.00% |
10/15/39 |
54,256 | |
209,722 |
Pool
724230
|
5.00% |
08/15/39 |
201,926 | |
51,644 |
Pool
724267
|
5.00% |
09/15/39 |
49,656 | |
130,611 |
Pool
724340
|
4.50% |
09/15/39 |
123,320 | |
76,900 |
Pool
725272
|
4.50% |
11/15/39 |
72,566 | |
32,785 |
Pool
726394
|
4.50% |
10/15/39 |
30,972 | |
5,009 |
Pool
728921
|
4.50% |
12/15/24 |
4,937 | |
168,659 |
Pool
733595
|
4.50% |
04/15/40 |
158,772 | |
60,834 |
Pool
733733
|
5.00% |
06/15/40 |
58,243 | |
448,520 |
Pool
736317
|
4.25% |
06/20/36 |
403,602 | |
91,245 |
Pool
736617
|
4.00% |
12/15/35 |
83,332 | |
632,704 |
Pool
737673
|
4.50% |
11/15/40 |
596,372 | |
149,602 |
Pool
737996
|
4.00% |
02/15/41 |
136,057 | |
229,279 |
Pool
739341
|
3.50% |
10/15/41 |
202,369 | |
129,646 |
Pool
743673
|
4.50% |
07/15/40 |
122,703 | |
222,079 |
Pool
745478
|
5.00% |
08/20/40 |
208,248 | |
489,851 |
Pool
748939
|
4.00% |
09/20/40 |
437,310 | |
69,437 |
Pool
754384
|
4.50% |
03/20/42 |
65,798 | |
252,139 |
Pool
762905
|
4.50% |
04/15/41 |
237,498 | |
893,464 |
Pool
769102
|
4.50% |
07/20/41 |
859,637 | |
239,808 |
Pool
781623
|
5.00% |
06/15/33 |
227,370 | |
37,212 |
Pool
781697
|
6.00% |
11/15/33 |
37,625 | |
199,843 |
Pool
781824
|
5.50% |
11/15/34 |
196,208 | |
7,657 |
Pool
781862
|
5.50% |
01/15/35 |
7,518 | |
15,727 |
Pool
782070
|
7.00% |
06/15/32 |
15,922 | |
38,695 |
Pool
782810
|
4.50% |
11/15/39 |
36,674 | |
61,070 |
Pool
783091
|
5.50% |
06/15/40 |
60,411 | |
2,918 |
Pool
783220
|
5.50% |
09/15/24 |
2,910 | |
108,488 |
Pool
783375
|
5.00% |
08/15/41 |
104,309 | |
163,670 |
Pool
783760
|
5.00% |
02/15/42 |
158,788 | |
2,603,178 |
Pool
784063
|
5.00% |
09/20/45 |
2,477,745 | |
356,573 |
Pool
784343
|
5.00% |
02/15/41 |
346,076 | |
3,354,963 |
Pool
784752
|
4.00% |
03/15/45 |
3,067,302 | |
1,254,491 |
Pool
785020
|
3.00% |
05/20/50 |
1,011,239 | |
1,819,116 |
Pool
AC0197
|
4.00% |
12/20/42 |
1,646,069 |
Principal
Value |
Description |
Stated
Coupon |
Stated
Maturity |
Value | |
U.S.
GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES
(Continued) | |||||
|
Pass-Through
Securities (Continued) |
| |||
|
Government
National Mortgage Association (Continued) | ||||
$326,652 |
Pool
AD0026
|
3.50% |
06/20/33 |
$287,922 | |
64,474 |
Pool
AD0856
|
3.75% |
08/20/33 |
58,000 | |
34,428 |
Pool
AG8899
|
4.00% |
12/20/43 |
30,812 | |
527,697 |
Pool
AI6317
|
4.50% |
06/20/44 |
482,958 | |
392,282 |
Pool
AK2389
|
4.50% |
11/20/44 |
359,741 | |
100,242 |
Pool
AN4469
|
5.00% |
12/15/40 |
95,598 | |
167,490 |
Pool
AR8421
|
5.00% |
10/20/41 |
156,867 | |
848,587 |
Pool
BB1216
|
4.50% |
06/20/47 |
778,147 | |
352,782 |
Pool
BB4731
|
4.00% |
07/20/47 |
314,531 | |
279,174 |
Pool
BB4757
|
4.00% |
08/20/47 |
252,042 | |
160,957 |
Pool
BB4769
|
4.00% |
08/20/47 |
143,534 | |
228,467 |
Pool
BD0483
|
4.50% |
11/20/47 |
209,506 | |
373,184 |
Pool
BF0415
|
5.00% |
06/20/35 |
350,950 | |
268,045 |
Pool
BL6909
|
5.00% |
03/20/49 |
251,563 | |
111,115 |
Pool
MA1017
|
6.00% |
05/20/43 |
113,353 | |
79,899 |
Pool
MA1162
|
6.00% |
07/20/43 |
81,512 | |
10,216 |
Pool
MA2215
|
3.50% |
09/20/44 |
8,656 | |
71,363 |
Pool
MA2683
|
6.00% |
03/20/45 |
72,784 | |
72,665 |
Pool
MA2759
|
6.00% |
01/20/45 |
74,131 | |
34,182 |
Pool
MA2897
|
6.00% |
03/20/45 |
34,872 | |
151,352 |
Pool
MA2966
|
6.00% |
09/20/39 |
154,407 | |
145,194 |
Pool
MA3249
|
6.00% |
04/20/40 |
148,088 | |
307,457 |
Pool
MA3459
|
6.00% |
08/20/39 |
313,661 | |
197,768 |
Pool
MA4076
|
7.00% |
01/20/39 |
202,107 | |
2,013,419 |
Pool
MA5714
|
6.00% |
01/20/49 |
2,053,903 | |
|
|
1,387,081,645 | |||
|
Total
U.S. Government Agency Mortgage-Backed Securities |
3,152,469,369 | |||
|
(Cost
$3,518,871,021) |
| |||
MORTGAGE-BACKED
SECURITIES — 12.4% | |||||
|
Collateralized
Mortgage Obligations — 7.1% |
| |||
|
Arroyo
Mortgage Trust | ||||
9,000,000 |
Series
2019-2, Class M1 (i) |
4.76% |
04/25/49 |
7,434,726 | |
2,288,440 |
Series
2019-3, Class A3 (i) |
3.42% |
10/25/48 |
2,076,085 | |
2,396,229 |
Series
2021-1R, Class A2 (i) |
1.48% |
10/25/48 |
1,879,489 | |
3,308,234 |
Series
2021-1R, Class A3 (i) |
1.64% |
10/25/48 |
2,594,061 | |
|
BRAVO
Residential Funding Trust | ||||
1,501,868 |
Series
2021-NQM1, Class A2 (i) |
1.26% |
02/25/49 |
1,304,957 | |
3,754,671 |
Series
2021-NQM1, Class A3 (i) |
1.33% |
02/25/49 |
3,233,996 | |
2,192,463 |
Series
2021-NQM2, Class A1 (i) |
0.97% |
03/25/60 |
2,015,706 | |
6,257,609 |
Series
2023-NQM1, Class A1, steps up to 6.76% on
01/01/27
(i) (k) |
5.76% |
01/25/63 |
6,124,717 | |
|
Chase
Home Lending Mortgage Trust | ||||
1,531,423 |
Series
2019-ATR2, Class A11, 1 Mo. CME Term SOFR +
CSA
+
0.90% (a) (i) |
6.34% |
07/25/49 |
1,463,984 | |
|
CHL
Mortgage Pass-Through Trust | ||||
29,528 |
Series
2004-8, Class 2A1 |
4.50% |
06/25/19 |
17,495 | |
|
CIM
Trust | ||||
1,863,659 |
Series
2018-J1, Class A22 (i) |
3.50% |
03/25/48 |
1,551,123 | |
1,308,216 |
Series
2019-INV1, Class A11 (i) |
4.00% |
02/25/49 |
1,177,087 |
Principal
Value |
Description |
Stated
Coupon |
Stated
Maturity |
Value | |
MORTGAGE-BACKED
SECURITIES (Continued) | |||||
|
Collateralized
Mortgage Obligations (Continued) |
| |||
|
Citigroup
Global Markets Mortgage Securities VII, Inc. | ||||
$228 |
Series
2003-UP2, Class PO1, PO |
(d) |
12/25/18 |
$205 | |
|
COLT
Mortgage Loan Trust | ||||
10,523,989 |
Series
2022-5, Class A1 (i) |
4.55% |
04/25/67 |
9,775,739 | |
|
Connecticut
Avenue Securities Trust | ||||
5,000,000 |
Series
2019-R01, Class 2B1, 30 Day Average SOFR +
CSA +
4.35%
(a) (i) |
9.79% |
07/25/31 |
5,332,523 | |
1,266,031 |
Series
2019-R01, Class 2M2, 30 Day Average SOFR +
CSA +
2.45%
(a) (i) |
7.89% |
07/25/31 |
1,267,870 | |
4,000,000 |
Series
2021-R02, Class 2M2, 30 Day Average SOFR +
2.00%
(a) (i) |
7.32% |
11/25/41 |
3,931,477 | |
5,000,000 |
Series
2022-R02, Class 2M2, 30 Day Average SOFR +
3.00%
(a) (i) |
8.32% |
01/25/42 |
5,006,630 | |
|
Ellington
Financial Mortgage Trust | ||||
5,428,357 |
Series
2022-2, Class A1 (i) |
4.30% |
04/25/67 |
4,903,690 | |
6,384,672 |
Series
2023-1, Class A1, steps up to 6.73% on 01/01/27
(i) (k) |
5.73% |
02/25/68 |
6,254,388 | |
|
Federal
Home Loan Mortgage Corporation STACR Debt Notes | ||||
9,246,869 |
Series
2020-HQA5, Class M2, 30 Day Average SOFR +
2.60%
(a) (i) |
7.92% |
11/25/50 |
9,365,740 | |
|
Federal
Home Loan Mortgage Corporation STACR REMIC Trust | ||||
774,120 |
Series
2020-DNA1, Class M2, 30 Day Average SOFR +
CSA +
1.70%
(a) (i) |
7.14% |
01/25/50 |
775,156 | |
5,000,000 |
Series
2020-DNA2, Class B1, 30 Day Average SOFR +
CSA +
2.50%
(a) (i) |
7.94% |
02/25/50 |
5,038,544 | |
8,764,999 |
Series
2020-HQA2, Class M2, 30 Day Average SOFR +
CSA +
3.10%
(a) (i) |
8.54% |
03/25/50 |
9,067,691 | |
|
Flagstar
Mortgage Trust | ||||
275,452 |
Series
2018-2, Class A4 (i) |
3.50% |
04/25/48 |
267,025 | |
3,684,229 |
Series
2018-4, Class B1 (e) (i) |
4.17% |
07/25/48 |
3,189,984 | |
1,402,022 |
Series
2019-2, Class A11 (i) |
3.50% |
12/25/49 |
1,185,090 | |
15,617,589 |
Series
2021-9INV, Class A1 (i) |
2.50% |
09/25/41 |
12,823,704 | |
|
GCAT
Trust | ||||
5,954,041 |
Series
2021-NQM7, Class A1 (i) |
1.92% |
08/25/66 |
5,012,485 | |
4,977,305 |
Series
2023-NQM3, Class A1 (i) |
6.89% |
08/25/68 |
4,972,228 | |
|
GMACM
Mortgage Loan Trust | ||||
723 |
Series
2003-J10, Class A1 |
4.75% |
01/25/19 |
705 | |
|
GS
Mortgage-Backed Securities Trust | ||||
569,862 |
Series
2019-PJ3, Class A1 (i) |
3.50% |
03/25/50 |
498,771 | |
3,344,238 |
Series
2021-PJ6, Class A8 (i) |
2.50% |
11/25/51 |
2,762,965 | |
|
JP
Morgan Mortgage Trust | ||||
4,166 |
Series
2004-S2, Class 5A1 |
5.50% |
12/25/19 |
3,670 | |
2,417,150 |
Series
2015-IVR2, Class A5 (e) (i) |
6.90% |
01/25/45 |
2,399,292 | |
1,663,442 |
Series
2018-5, Class A1 (i) |
3.50% |
10/25/48 |
1,379,524 | |
1,174,695 |
Series
2018-5, Class A13 (i) |
3.50% |
10/25/48 |
946,323 | |
1,217,971 |
Series
2018-8, Class A7 (i) |
4.00% |
01/25/49 |
1,058,505 | |
1,413,895 |
Series
2019-1, Class A5 (i) |
4.00% |
05/25/49 |
1,239,025 | |
637,304 |
Series
2019-8, Class A15 (i) |
3.50% |
03/25/50 |
529,779 | |
1,137,085 |
Series
2019-INV2, Class A15 (i) |
3.50% |
02/25/50 |
968,501 | |
391 |
Series
2019-LTV2, Class A11, 1 Mo. CME Term SOFR +
CSA +
0.90%
(a) (i) |
6.34% |
12/25/49 |
391 | |
3,965,165 |
Series
2020-INV1, Class A15 (i) |
3.50% |
08/25/50 |
3,349,086 |
Principal
Value |
Description |
Stated
Coupon |
Stated
Maturity |
Value | |
MORTGAGE-BACKED
SECURITIES (Continued) | |||||
|
Collateralized
Mortgage Obligations (Continued) |
| |||
|
JP
Morgan Wealth Management | ||||
$10,000,000 |
Series
2020-ATR1, Class A5 (i) |
3.00% |
02/25/50 |
$7,685,522 | |
|
Mello
Mortgage Capital Acceptance | ||||
3,723,963 |
Series
2018-MTG2, Class A9 (i) |
4.27% |
10/25/48 |
3,331,972 | |
|
MetLife
Securitization Trust | ||||
3,511,025 |
Series
2018-1A, Class A (i) |
3.75% |
03/25/57 |
3,206,865 | |
|
MFA
Trust | ||||
8,404,111 |
Series
2022-INV1, Class A1, steps up to 4.91% on
03/25/26
(i) (k) |
3.91% |
04/25/66 |
7,787,825 | |
|
New
Residential Mortgage Loan Trust | ||||
4,714,495 |
Series
2015-2A, Class B1 (i) |
4.50% |
08/25/55 |
4,423,498 | |
3,558,565 |
Series
2016-1A, Class A1 (i) |
3.75% |
03/25/56 |
3,239,353 | |
8,350,077 |
Series
2018-3A, Class A1 (i) |
4.50% |
05/25/58 |
7,792,621 | |
9,308,476 |
Series
2018-4A, Class A1S, 1 Mo. CME Term SOFR +
CSA +
0.75%
(a) (i) |
6.19% |
01/25/48 |
9,030,317 | |
4,301,213 |
Series
2019-NQM5, Class A1 (i) |
2.71% |
11/25/59 |
3,814,784 | |
|
OBX
Trust | ||||
1,315,240 |
Series
2018-EXP1, Class 1A3 (i) |
4.00% |
04/25/48 |
1,135,822 | |
552,407 |
Series
2018-EXP1, Class 2A1, 1 Mo. CME Term SOFR +
CSA +
0.85%
(a) (i) |
6.29% |
04/25/48 |
547,908 | |
|
PRKCM
Trust | ||||
8,358,944 |
Series
2021-AFC1, Class A1 (i) |
1.51% |
08/25/56 |
6,288,107 | |
|
Provident
Funding Mortgage Trust | ||||
1,201,793 |
Series
2019-1, Class A5 (i) |
3.00% |
12/25/49 |
948,103 | |
2,558,138 |
Series
2020-1, Class A5 (i) |
3.00% |
02/25/50 |
2,014,581 | |
|
RUN
Trust | ||||
8,737,592 |
Series
2022-NQM1, Class A1 (i) |
4.00% |
03/25/67 |
7,900,562 | |
|
Seasoned
Credit Risk Transfer Trust | ||||
5,412,697 |
Series
2017-2, Class M1 (i) |
4.00% |
08/25/56 |
5,302,335 | |
|
Sequoia
Mortgage Trust | ||||
1,654,748 |
Series
2017-2, Class A19 (i) |
3.50% |
02/25/47 |
1,363,512 | |
370,009 |
Series
2017-CH1, Class A13 (i) |
4.00% |
08/25/47 |
334,629 | |
4,998,365 |
Series
2018-CH1, Class B1B (i) |
4.45% |
03/25/48 |
4,398,433 | |
3,300,782 |
Series
2020-1, Class A19 (i) |
3.50% |
02/25/50 |
2,731,670 | |
9,682,295 |
Series
2020-1, Class A7 (i) |
3.50% |
02/25/50 |
8,105,998 | |
|
Starwood
Mortgage Residential Trust | ||||
8,001,308 |
Series
2022-3, Class A1 (i) |
4.16% |
03/25/67 |
7,032,230 | |
|
TIAA
Bank Mortgage Loan Trust | ||||
652,819 |
Series
2018-3, Class A1 (i) |
4.00% |
11/25/48 |
571,426 | |
|
Towd
Point Mortgage Trust | ||||
11,895,453 |
Series
2019-1, Class A1 (i) |
3.75% |
03/25/58 |
11,045,576 | |
|
Verus
Securitization Trust | ||||
1,871,559 |
Series
2019-INV3, Class A2 (i) |
2.95% |
11/25/59 |
1,806,094 | |
6,255,000 |
Series
2020-INV1, Class A3, steps up to 4.89% on
05/26/24
(i) (k) |
3.89% |
03/25/60 |
5,847,312 | |
10,818,413 |
Series
2022-5, Class A1, steps up to 4.80% on 06/25/26
(i) (k) |
3.80% |
04/25/67 |
9,589,697 | |
|
Vista
Point Securitization Trust | ||||
5,743,000 |
Series
2020-1, Class M1 (i) |
4.15% |
03/25/65 |
5,166,581 | |
|
Wells
Fargo Mortgage Backed Securities Trust | ||||
320,600 |
Series
2019-1, Class A1 (i) |
3.93% |
11/25/48 |
290,901 |
Principal
Value |
Description |
Stated
Coupon |
Stated
Maturity |
Value | |
MORTGAGE-BACKED
SECURITIES (Continued) | |||||
|
Collateralized
Mortgage Obligations (Continued) |
| |||
|
WinWater
Mortgage Loan Trust | ||||
$1,087,010 |
Series
2016-1, Class 1A18 (i) |
3.50% |
01/20/46 |
$907,077 | |
1,424,419 |
Series
2016-1, Class 2A3 (i) |
3.00% |
12/20/30 |
1,308,915 | |
3,473,272 |
Series
2016-1, Class B1 (e) (i) |
3.77% |
01/20/46 |
3,135,783 | |
|
|
272,266,141 | |||
|
Commercial
Mortgage-Backed Securities — 5.3% |
| |||
|
BAMLL
Commercial Mortgage Securities Trust | ||||
5,625,000 |
Series
2013-WBRK, Class A (e) (i) |
3.53% |
03/10/37 |
4,905,709 | |
|
BBCMS
Mortgage Trust | ||||
9,394,000 |
Series
2018-TALL, Class A, 1 Mo. CME Term SOFR +
CSA +
0.87%
(a) (i) |
6.25% |
03/15/37 |
8,703,934 | |
|
Benchmark
Mortgage Trust | ||||
141,411,899 |
Series
2023-V2, Class XA, IO (e) |
0.99% |
05/15/55 |
5,317,978 | |
|
BPR
Trust | ||||
4,641,431 |
Series
2021-WILL, Class A, 1 Mo. CME Term SOFR +
CSA +
1.75%
(a) (i) |
7.20% |
06/15/38 |
4,492,098 | |
10,000,000 |
Series
2022-OANA, Class A, 1 Mo. CME Term SOFR +
CSA +
1.90%
(a) (i) |
7.23% |
04/15/37 |
9,793,697 | |
|
BX
Commercial Mortgage Trust | ||||
10,000,000 |
Series
2019-IMC, Class A, 1 Mo. CME Term SOFR +
CSA +
1.00%
(a) (i) |
6.38% |
04/15/34 |
9,915,868 | |
|
CENT
Trust | ||||
4,000,000 |
Series
2023-CITY, Class A, 1 Mo. CME Term SOFR +
2.62%
(a) (i) |
7.95% |
09/15/28 |
4,022,478 | |
|
CFCRE
Commercial Mortgage Trust | ||||
76,091,693 |
Series
2017-C8, Class XA, IO (e) |
1.48% |
06/15/50 |
2,949,824 | |
|
Citigroup
Commercial Mortgage Trust | ||||
2,915,000 |
Series
2014-GC23, Class B |
4.18% |
07/10/47 |
2,737,242 | |
87,382,743 |
Series
2016-P4, Class XA, IO (e) |
1.89% |
07/10/49 |
3,246,374 | |
8,989,195 |
Series
2017-P7, Class A3 |
3.44% |
04/14/50 |
8,204,751 | |
|
COMM
Mortgage Trust | ||||
344,758 |
Series
2012-CR3, Class AM (i) |
3.42% |
10/15/45 |
315,367 | |
10,000,000 |
Series
2013-CR13, Class AM |
4.45% |
11/10/46 |
9,923,719 | |
11,475,000 |
Series
2014-CR15, Class AM |
4.43% |
02/10/47 |
11,379,184 | |
6,850,000 |
Series
2014-CR21, Class AM |
3.99% |
12/10/47 |
6,484,424 | |
|
Credit
Suisse Mortgage Trust | ||||
7,500,000 |
Series
2020-WEST, Class A (i) |
3.04% |
02/15/35 |
5,269,899 | |
|
CSAIL
Commercial Mortgage Trust | ||||
56,874,684 |
Series
2020-C19, Class XA, IO (e) |
1.10% |
03/15/53 |
2,843,791 | |
|
FIVE
Mortgage Trust | ||||
33,859,964 |
Series
2023-V1, Class XA, IO (a) |
0.83% |
02/10/56 |
996,587 | |
|
Hilton
USA Trust | ||||
4,250,000 |
Series
2016-HHV, Class A (i) |
3.72% |
11/05/38 |
3,923,560 | |
|
JP
Morgan Chase Commercial Mortgage Securities Trust | ||||
4,060,488 |
Series
2017-JP5, Class A4 |
3.46% |
03/15/50 |
3,858,361 | |
10,466,125 |
Series
2018-PHH, Class A, 1 Mo. CME Term SOFR +
CSA +
1.21%
(a) (i) |
6.59% |
06/15/35 |
9,256,031 | |
5,000,000 |
Series
2020-ACE, Class A (i) |
3.29% |
01/10/37 |
4,757,491 |
Principal
Value |
Description |
Stated
Coupon |
Stated
Maturity |
Value | |
MORTGAGE-BACKED
SECURITIES (Continued) | |||||
|
Commercial
Mortgage-Backed Securities (Continued) |
| |||
|
Life
Mortgage Trust | ||||
$5,250,000 |
Series
2022-BMR2, Class A1, 1 Mo. CME Term SOFR +
1.30%
(a) (i) |
6.63% |
05/15/39 |
$5,143,436 | |
|
MHC
Commercial Mortgage Trust | ||||
5,843,980 |
Series
2021-MHC, Class A, 1 Mo. CME Term SOFR +
CSA +
0.80%
(a) (i) |
6.25% |
04/15/38 |
5,758,771 | |
|
Morgan
Stanley Bank of America Merrill Lynch Trust | ||||
8,015,000 |
Series
2014-C15, Class AS |
4.26% |
04/15/47 |
7,908,065 | |
6,319,081 |
Series
2016-C31, Class A4 |
2.84% |
11/15/49 |
5,788,432 | |
|
Morgan
Stanley Capital I Trust | ||||
7,527,000 |
Series
2018-MP, Class A (e) (i) |
4.28% |
07/11/40 |
5,995,551 | |
|
One
Bryant Park Trust | ||||
10,000,000 |
Series
2019-OBP, Class A (i) |
2.52% |
09/15/54 |
7,853,615 | |
|
Queens
Center Mortgage Trust | ||||
6,097,739 |
Series
2013-QCA, Class A (i) |
3.28% |
01/11/37 |
5,565,919 | |
|
RBS
Commercial Funding, Inc. Trust | ||||
7,045,000 |
Series
2013-GSP, Class A (e) (i) |
3.83% |
01/15/32 |
6,961,670 | |
|
Ready
Capital Mortgage Financing LLC | ||||
6,757,925 |
Series
2021-FL6, Class A, 1 Mo. CME Term SOFR +
CSA +
0.95%
(a) (i) |
6.39% |
07/25/36 |
6,587,479 | |
|
RIAL
2022-FL8 Issuer Ltd | ||||
4,428,000 |
Series
2022-FL8, Class A, 1 Mo. CME Term SOFR +
2.25%
(a) (i) |
7.58% |
01/19/37 |
4,349,124 | |
|
VMC
Finance LLC | ||||
2,983,500 |
Series
2021-HT1, Class A, 1 Mo. CME Term SOFR +
CSA +
1.65%
(a) (i) |
7.10% |
01/18/37 |
2,912,944 | |
|
Wells
Fargo Commercial Mortgage Trust | ||||
7,500,000 |
Series
2015-NXS2, Class B (e) |
4.27% |
07/15/58 |
6,945,970 | |
5,450,000 |
Series
2020-SDAL, Class C, 1 Mo. CME Term SOFR +
CSA +
1.74%
(a) (i) |
7.19% |
02/15/37 |
5,334,603 | |
|
WFLD
Mortgage Trust | ||||
3,500,000 |
Series
2014-MONT, Class A (e) (i) |
3.75% |
08/10/31 |
2,914,747 | |
|
|
203,318,693 | |||
|
Total
Mortgage-Backed Securities |
475,584,834 | |||
|
(Cost
$516,056,483) |
| |||
U.S.
GOVERNMENT BONDS AND NOTES — 5.0% | |||||
3,289,150 |
U.S.
Treasury Inflation Indexed Note (l) |
0.63% |
01/15/24 |
3,260,111 | |
40,000,000 |
U.S.
Treasury Note (m) |
2.25% |
03/31/24 |
39,474,235 | |
60,000,000 |
U.S.
Treasury Note (m) |
2.50% |
05/31/24 |
58,965,724 | |
91,000,000 |
U.S.
Treasury Note
|
4.63% |
10/15/26 |
90,328,164 | |
|
Total
U.S. Government Bonds and Notes |
192,028,234 | |||
|
(Cost
$191,792,976) |
| |||
ASSET-BACKED
SECURITIES — 3.5% | |||||
|
American
Credit Acceptance Receivables Trust | ||||
627,765 |
Series
2022-1, Class B (i) |
1.68% |
09/14/26 |
626,793 | |
|
BMW
Vehicle Owner Trust | ||||
7,500,000 |
Series
2023-A, Class A4 |
5.25% |
11/26/29 |
7,396,065 | |
|
CFMT
LLC | ||||
4,052,000 |
Series
2021-EBO1, Class M1 (i) |
1.65% |
11/25/50 |
3,442,118 |
Principal
Value |
Description |
Stated
Coupon |
Stated
Maturity |
Value | |
ASSET-BACKED
SECURITIES (Continued) | |||||
|
Citibank
Credit Card Issuance Trust | ||||
$10,000,000 |
Series
2017-A6, Class A6, 1 Mo. CME Term SOFR +
CSA +
0.77%
(a) |
6.22% |
05/14/29 |
$10,022,554 | |
|
Corevest
American Finance Trust | ||||
7,791,765 |
Series
2020-1, Class A1 (i) |
1.83% |
03/15/50 |
7,440,048 | |
10,023,179 |
Series
2020-3, Class A (i) |
1.36% |
08/15/53 |
9,159,653 | |
6,904,261 |
Series
2020-4, Class A (i) |
1.17% |
12/15/52 |
6,287,970 | |
|
CWABS,
Inc. Asset-Backed Certificates Trust | ||||
1,939,115 |
Series
2004-5, Class M1, 1 Mo. CME Term SOFR +
CSA +
0.86%
(a) |
6.29% |
08/25/34 |
1,927,867 | |
|
Diamond
Resorts Owner Trust | ||||
3,501,627 |
Series
2021-1A, Class A (i) |
1.51% |
11/21/33 |
3,215,675 | |
|
FNA
VI LLC | ||||
5,746,886 |
Series
2021-1A, Class A (i) |
1.35% |
01/10/32 |
5,277,222 | |
|
GM
Financial Consumer Automobile Receivables Trust | ||||
8,500,000 |
Series
2023-3, Class A3 |
5.45% |
06/16/28 |
8,465,393 | |
|
GSAMP
Trust | ||||
3,521,602 |
Series
2006-SEA1, Class M2, 1 Mo. CME Term SOFR +
CSA +
1.65%
(a) (i) |
4.37% |
05/25/36 |
3,645,413 | |
|
Hyundai
Auto Receivables Trust | ||||
7,500,000 |
Series
2023-B, Class A3 |
5.48% |
04/17/28 |
7,462,917 | |
|
M360
Ltd. | ||||
5,000,000 |
Series
2021-CRE3, Class A, 1 Mo. CME Term SOFR +
CSA +
1.50%
(a) (i) |
6.95% |
11/22/38 |
4,933,273 | |
|
OSCAR
US Funding XIV LLC | ||||
1,619,488 |
Series
2022-1A, Class A2 (i) |
1.60% |
03/10/25 |
1,613,062 | |
|
Pagaya
AI Debt Trust | ||||
9,518,248 |
Series
2023-5, Class A (i) |
7.18% |
04/15/31 |
9,526,185 | |
|
Sierra
Timeshare Receivables Funding LLC | ||||
1,207,007 |
Series
2019-1A, Class A (i) |
3.20% |
01/20/36 |
1,188,116 | |
2,743,580 |
Series
2020-2A, Class A (i) |
1.33% |
07/20/37 |
2,576,883 | |
|
Tricon
American Homes | ||||
9,346,446 |
Series
2020-SFR1, Class A (i) |
1.50% |
07/17/38 |
8,305,262 | |
|
Verizon
Master Trust | ||||
10,000,000 |
Series
2022-7, Class A1A, steps up to 5.98% on 11/20/24 (k) |
5.23% |
11/22/27 |
9,916,451 | |
22,500,000 |
Series
2023-4, Class A1A |
5.16% |
06/20/29 |
22,317,253 | |
|
Total
Asset-Backed Securities |
134,746,173 | |||
|
(Cost
$137,833,062) |
|
Shares |
Description |
Value | |||
EXCHANGE-TRADED
FUNDS — 0.0% | |||||
|
Capital
Markets — 0.0% |
| |||
17,000 |
First
Trust Intermediate Government Opportunities ETF (n) |
321,980 | |||
73,956 |
First
Trust Long Duration Opportunities ETF (n) |
1,436,965 | |||
|
Total
Exchange-Traded Funds |
1,758,945 | |||
|
(Cost
$2,098,206) |
|
Principal
Value |
Description |
Stated
Coupon |
Stated
Maturity |
Value | |
U.S.
TREASURY BILLS — 10.6% | |||||
$40,000,000 |
U.S.
Treasury Bill
|
(d) |
01/04/24 |
$39,623,467 | |
20,000,000 |
U.S.
Treasury Bill
|
(d) |
01/11/24 |
19,791,240 | |
15,000,000 |
U.S.
Treasury Bill
|
(d) |
02/01/24 |
14,796,258 | |
40,000,000 |
U.S.
Treasury Bill
|
(d) |
02/29/24 |
39,292,667 | |
50,000,000 |
U.S.
Treasury Bill
|
(d) |
03/21/24 |
48,958,412 | |
50,000,000 |
U.S.
Treasury Bill
|
(d) |
04/04/24 |
48,856,606 | |
20,000,000 |
U.S.
Treasury Bill
|
(d) |
04/18/24 |
19,500,488 | |
70,000,000 |
U.S.
Treasury Bill
|
(d) |
05/16/24 |
67,990,299 | |
35,000,000 |
U.S.
Treasury Bill
|
(d) |
06/13/24 |
33,868,515 | |
75,000,000 |
U.S.
Treasury Bill
|
(d) |
09/05/24 |
71,663,605 | |
|
Total
U.S. Treasury Bills |
404,341,557 | |||
|
(Cost
$404,361,322) |
|
Shares |
Description |
Value | |||
MONEY
MARKET FUNDS — 1.7% | |||||
65,375,733 |
Morgan
Stanley Institutional Liquidity Funds - Treasury Portfolio - Institutional
Class - 5.22% (o) |
65,375,733 | |||
|
(Cost
$65,375,733) |
| |||
|
Total
Investments — 115.6% |
4,426,304,845 | |||
|
(Cost
$4,836,388,803) |
|
Number
of
Contracts |
Description |
Notional
Amount |
Exercise
Price |
Expiration
Date |
Value |
PURCHASED
OPTIONS — 0.0% | |||||
|
Call
Options Purchased — 0.0% |
| |||
100 |
2
Year Mid-Curve Options on 3 Months SOFR
Futures
Call
|
$23,965,000 |
$96.75 |
12/15/23 |
6,250 |
100 |
2
Year Mid-Curve Options on 3 Months SOFR
Futures
Call
|
23,962,500 |
96.75 |
03/15/24 |
24,375 |
120 |
2
Year Mid-Curve Options on 3 Months SOFR
Futures
Call
|
28,750,500 |
96.75 |
06/14/24 |
46,500 |
644 |
U.S.
2-Year Treasury Futures Call
|
130,359,678 |
101.50 |
11/24/23 |
161,000 |
50 |
U.S.
10-Year Treasury Futures Call
|
5,308,593 |
108.00 |
11/24/23 |
12,500 |
|
Total
Purchased Options |
250,625 | |||
|
(Cost
$786,373) |
|
Principal
Value |
Description |
Stated
Coupon |
Stated
Maturity |
Value | |
U.S.
GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES SOLD SHORT —
(6.5)% | |||||
|
Federal
National Mortgage Association |
|
|
| |
(128,455,000
) |
Pool
TBA (j) |
4.50% |
11/15/53 |
(114,704,275
) | |
(20,000,000
) |
Pool
TBA
|
5.00% |
11/01/53 |
(18,439,063
) | |
(39,600,000
) |
Pool
TBA
|
3.00% |
11/15/53 |
(31,689,674
) | |
(28,875,000
) |
Pool
TBA
|
3.50% |
11/15/53 |
(24,046,710
) | |
(8,375,000
) |
Pool
TBA
|
4.00% |
12/01/53 |
(7,240,449
) | |
(10,000,000
) |
Pool
TBA
|
3.00% |
12/15/53 |
(8,012,209
) | |
(5,000,000
) |
Pool
TBA
|
5.50% |
11/01/53 |
(4,742,578
) | |
(17,000,000
) |
Pool
TBA (j) |
4.50% |
11/15/38 |
(16,124,765
) |
Principal
Value |
Description |
Stated
Coupon |
Stated
Maturity |
Value | |
U.S.
GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES SOLD SHORT
(Continued) | |||||
|
Federal
National Mortgage Association (Continued) |
|
|
| |
$(15,000,000
) |
Pool
TBA
|
4.50% |
12/15/38 |
$(14,233,594
) | |
(10,000,000
) |
Pool
TBA
|
6.00% |
11/01/53 |
(9,731,128
) | |
|
Total
Investments Sold Short — (6.5)% |
(248,964,445
) | |||
|
(Proceeds
$257,334,338) |
|
Number
of
Contracts |
Description |
Notional
Amount |
Exercise
Price |
Expiration
Date |
Value |
WRITTEN
OPTIONS — (0.7)% | |||||
|
Call
Options Written — (0.0)% |
| |||
(500
) |
3
Month SOFR Futures Call
|
$(118,531,250
) |
$96.50 |
06/14/24 |
(121,875
) |
(195
) |
1
Year Mid-Curve Options on 3 Months SOFR
Futures
Call
|
(46,683,000
) |
96.75 |
06/14/24 |
(93,844
) |
(275
) |
U.S.
2-Year Treasury Futures Call
|
(55,666,011
) |
102.00 |
11/24/23 |
(25,781
) |
(1,350
) |
U.S.
5-Year Treasury Futures Call
|
(141,486,345
) |
107.00 |
02/23/24 |
(653,906
) |
(50
) |
U.S.
10-Year Treasury Futures Call
|
(5,308,594
) |
112.00 |
11/24/23 |
(1,563
) |
(75
) |
U.S.
10-Year Treasury Futures Call
|
(7,962,890
) |
114.00 |
11/24/23 |
(1,172
) |
(25
) |
U.S.
Treasury Long Bond Futures Call
|
(2,735,938
) |
114.00 |
11/24/23 |
(10,156
) |
(402
) |
U.S.
Treasury Long Bond Futures Call
|
(43,993,875
) |
116.00 |
11/24/23 |
(69,094
) |
(200
) |
U.S.
Treasury Long Bond Futures Call
|
(21,887,500
) |
128.00 |
11/24/23 |
(0
) |
(100
) |
U.S.
Treasury Long Bond Futures Call
|
(10,943,750
) |
130.00 |
11/24/23 |
(0
) |
(525
) |
U.S.
Treasury Long Bond Futures Call
|
(57,454,687
) |
132.00 |
11/24/23 |
(0
) |
(200
) |
U.S.
Treasury Long Bond Futures Call
|
(21,875,000
) |
116.00 |
12/22/23 |
(131,250
) |
(175
) |
U.S.
Treasury Long Bond Futures Call
|
(19,140,625
) |
116.00 |
02/23/24 |
(287,109
) |
(20
) |
Ultra
U.S. Treasury Long Bond Futures Call
|
(2,251,250
) |
118.00 |
11/24/23 |
(13,125
) |
(10
) |
Ultra
U.S. Treasury Long Bond Futures Call
|
(1,125,625
) |
124.00 |
11/24/23 |
(1,406
) |
(5
) |
Ultra
U.S. Treasury Long Bond Futures Call
|
(562,813
) |
135.00 |
11/24/23 |
(78
) |
|
Total
Call Options Written |
(1,410,359
) | |||
|
(Premiums
received $3,198,884) |
| |||
|
Put
Options Written — (0.7)% |
| |||
(100
) |
3
Month SOFR Futures Put
|
(23,706,250
) |
94.50 |
06/14/24 |
(45,000
) |
(100
) |
2
Year Mid-Curve Options on 3 Months SOFR
Futures
Put
|
(23,965,000
) |
96.75 |
12/15/23 |
(228,125
) |
(100
) |
2
Year Mid-Curve Options on 3 Months SOFR
Futures
Put
|
(23,962,500
) |
96.75 |
03/15/24 |
(246,250
) |
(75
) |
U.S.
2-Year Treasury Futures Put
|
(15,181,640
) |
101.00 |
11/24/23 |
(18,750
) |
(644
) |
U.S.
2-Year Treasury Futures Put
|
(130,359,678
) |
101.50 |
11/24/23 |
(533,313
) |
(555
) |
U.S.
2-Year Treasury Futures Put
|
(112,344,132
) |
102.00 |
11/24/23 |
(927,891
) |
(961
) |
U.S.
2-Year Treasury Futures Put
|
(194,527,407
) |
102.50 |
11/24/23 |
(2,522,625
) |
(1,136
) |
U.S.
2-Year Treasury Futures Put
|
(229,951,233
) |
102.63 |
11/24/23 |
(3,248,251
) |
(400
) |
U.S.
5-Year Treasury Futures Put
|
(41,790,624
) |
103.00 |
11/24/23 |
(37,500
) |
(425
) |
U.S.
5-Year Treasury Futures Put
|
(44,402,538
) |
105.00 |
11/24/23 |
(368,555
) |
(1,070
) |
U.S.
5-Year Treasury Futures Put
|
(111,789,919
) |
107.00 |
11/24/23 |
(2,750,235
) |
(150
) |
U.S.
5-Year Treasury Futures Put
|
(15,671,484
) |
107.25 |
11/24/23 |
(421,875
) |
(625
) |
U.S.
5-Year Treasury Futures Put
|
(65,297,850
) |
107.50 |
11/24/23 |
(1,909,180
) |
(25
) |
U.S.
10-Year Treasury Futures Put
|
(2,654,297
) |
106.00 |
11/24/23 |
(19,531
) |
(825
) |
U.S.
10-Year Treasury Futures Put
|
(87,591,793
) |
108.00 |
11/24/23 |
(1,714,453
) |
(597
) |
U.S.
Treasury Long Bond Futures Put
|
(65,334,187
) |
116.00 |
11/24/23 |
(4,011,094
) |
(625
) |
U.S.
Treasury Long Bond Futures Put
|
(68,398,437
) |
122.00 |
11/24/23 |
(7,851,563
) |
Number
of
Contracts |
Description |
Notional
Amount |
Exercise
Price |
Expiration
Date |
Value |
WRITTEN
OPTIONS (Continued) | |||||
|
Put
Options Written (Continued) |
| |||
(15
) |
Ultra
U.S. Treasury Long Bond Futures Put
|
$(1,688,438
) |
$110.00 |
11/24/23 |
$(21,563
) |
(30
) |
Ultra
U.S. Treasury Long Bond Futures Put
|
(3,376,875
) |
112.00 |
11/24/23 |
(67,031
) |
|
Total
Put Options Written |
(26,942,785
) | |||
|
(Premiums
received $11,367,333) |
| |||
|
Total
Written Options |
(28,353,144
) | |||
|
(Premiums
received $14,566,217) |
| |||
|
Net
Other Assets and Liabilities — (8.4)% |
(321,612,405
) | |||
|
Net
Assets — 100.0% |
$3,827,625,476 |
Futures
Contracts |
Position |
Number
of
Contracts |
Expiration
Date |
Notional
Value |
Unrealized
Appreciation
(Depreciation)/
Value |
U.S.
2-Year Treasury Notes |
Short |
380 |
Dec-2023 |
$(76,920,313
) |
$59,165 |
U.S.
5-Year Treasury Notes |
Short |
615 |
Dec-2023 |
(64,253,086
) |
(44,026
) |
U.S.
10-Year Treasury Notes |
Short |
1,448 |
Dec-2023 |
(153,736,875
) |
5,188,721 |
U.S.
Treasury Long Bond Futures |
Short |
653 |
Dec-2023 |
(71,462,688
) |
5,756,033 |
Ultra
10-Year U.S. Treasury Notes |
Short |
8,236 |
Dec-2023 |
(896,308,437
) |
47,736,118 |
Ultra
U.S. Treasury Bond Futures |
Short |
1,992 |
Dec-2023 |
(224,224,500
) |
17,121,680 |
|
|
|
|
$(1,486,905,899
) |
$75,817,691 |
(a) |
Floating
or variable rate security. |
(b) |
Inverse
floating rate security. |
(c) |
Weighted
Average Coupon security. Coupon is based on the blended interest rate of
the underlying holdings, which may have
different
coupons. The coupon may change in any period. |
(d) |
Zero
coupon security. |
(e) |
Collateral
Strip Rate security. Coupon is based on the weighted net interest rate of
the investment’s underlying collateral. The
interest
rate resets periodically. |
(f) |
Pursuant
to procedures adopted by the Trust’s Board of Trustees, this security has
been determined to be illiquid by First Trust
Advisors
L.P., the Fund’s advisor (the “Advisor”). |
(g) |
This
security is fair valued by the Advisor’s Pricing Committee in accordance
with procedures approved by the Trust’s Board of
Trustees,
and in accordance with provisions of the Investment Company Act of 1940
and rules thereunder, as amended. At
October
31, 2023, securities noted as such are valued at $7,195,881 or 0.2% of net
assets. |
(h) |
This
security’s value was determined using significant unobservable inputs (see
Note
2A-
Portfolio Valuation in the Notes to
Financial
Statements). |
(i) |
This
security, sold within the terms of a private placement memorandum, is
exempt from registration upon resale under
Rule
144A of the Securities Act of 1933, as amended,
and may be resold in transactions exempt from registration, normally to
qualified
institutional buyers. Pursuant to procedures adopted by the Trust’s Board
of Trustees, this security has been determined
to
be liquid by the Advisor. Although market instability can result in
periods of increased overall market illiquidity, liquidity for
each
security is determined based on security specific factors and assumptions,
which require subjective judgment. At
October
31, 2023, securities noted as such amounted to $476,467,667 or 12.4% of
net assets. |
(j) |
All
or a portion of this security is part of a mortgage dollar roll agreement
(see Note 2I
- Mortgage Dollar Rolls and TBA
Transactions
in the Notes to Financial Statements). |
(k) |
Step-up
security. A security where the coupon increases or steps up at a
predetermined date. |
(l) |
Security
whose principal value is adjusted in accordance with changes to the
country’s Consumer Price Index. Interest is
calculated
on the basis of the current adjusted principal
value. |
(m) |
All
or a portion of this security is segregated as collateral for open futures
and options contracts. At October 31, 2023, the
segregated
value of these securities amounts to
$78,702,841. |
(n) |
Investment
in an affiliated fund. |
(o) |
Rate
shown reflects yield as of October 31,
2023. |
Abbreviations
throughout the Portfolio of Investments: | |
CME |
–
Chicago Mercantile Exchange |
CSA |
–
Credit Spread Adjustment |
IO |
–
Interest-Only Security - Principal amount shown represents par value on
which interest payments are based |
LIBOR |
–
London Interbank Offered Rate |
PO |
–
Principal-Only Security |
REMIC |
–
Real Estate Mortgage Investment Conduit |
SOFR |
–
Secured Overnight Financing Rate |
STRIPS |
–
Separate Trading of Registered Interest and Principal of
Securities |
TBA |
–
To-Be-Announced Security |
ASSETS
TABLE | ||||
|
Total
Value
at
10/31/2023 |
Level
1
Quoted
Prices |
Level
2
Significant
Observable
Inputs |
Level
3
Significant
Unobservable
Inputs |
U.S.
Government Agency Mortgage-Backed
Securities |
$3,152,469,369 |
$— |
$3,145,273,488 |
$7,195,881 |
Mortgage-Backed
Securities |
475,584,834 |
— |
475,584,834 |
— |
U.S.
Government Bonds and Notes |
192,028,234 |
— |
192,028,234 |
— |
Asset-Backed
Securities |
134,746,173 |
— |
134,746,173 |
— |
Exchange-Traded
Funds* |
1,758,945 |
1,758,945 |
— |
— |
U.S.
Treasury Bills |
404,341,557 |
— |
404,341,557 |
— |
Money
Market Funds |
65,375,733 |
65,375,733 |
— |
— |
Total
Investments |
4,426,304,845 |
67,134,678 |
4,351,974,286 |
7,195,881 |
Purchased
Options |
250,625 |
250,625 |
— |
— |
Futures
Contracts** |
75,861,717 |
75,861,717 |
— |
— |
Total |
$4,502,417,187 |
$143,247,020 |
$4,351,974,286 |
$7,195,881 |
LIABILITIES
TABLE | ||||
|
Total
Value
at
10/31/2023 |
Level
1
Quoted
Prices |
Level
2
Significant
Observable
Inputs |
Level
3
Significant
Unobservable
Inputs |
U.S.
Government Agency Mortgage-Backed
Securities
Sold Short |
$(248,964,445
) |
$— |
$(248,964,445
) |
$— |
Written
Options |
(28,353,144
) |
(28,353,144
) |
— |
— |
Futures
Contracts** |
(44,026
) |
(44,026
) |
— |
— |
Total |
$(277,361,615
) |
$(28,397,170
) |
$(248,964,445
) |
$— |
* |
See
Portfolio of Investments for industry breakout. |
** |
Includes
cumulative appreciation/depreciation on futures contracts as reported in
the Futures Contracts table. Only the current
day’s
variation margin is presented on the Statement of Assets and
Liabilities. |
ASSETS: |
|
Investments,
at value - Unaffiliated |
$4,424,545,900 |
Investments,
at value - Affiliated |
1,758,945 |
Total
investments, at value |
4,426,304,845 |
Options
contracts purchased, at value |
250,625 |
Cash |
8,855,197 |
Cash
segregated as collateral for open futures and written options
contracts |
286,607 |
Receivables: |
|
Investment
securities sold |
1,959,286,047 |
Interest |
16,967,880 |
Dividends |
394,709 |
Total
Assets |
6,412,345,910 |
| |
LIABILITIES: |
|
Investments
sold short, at value |
248,964,445 |
Options
contracts written, at value |
28,353,144 |
Payables: |
|
Investment
securities purchased |
2,280,636,854 |
Distributions
to shareholders |
17,117,500 |
Capital
shares purchased |
7,011,947 |
Investment
advisory fees |
2,165,162 |
Variation
margin |
471,382 |
Total
Liabilities |
2,584,720,434 |
NET
ASSETS |
$3,827,625,476 |
| |
NET
ASSETS consist of: |
|
Paid-in
capital |
$4,281,345,758 |
Par
value |
818,500 |
Accumulated
distributable earnings (loss) |
(454,538,782
) |
NET
ASSETS |
$3,827,625,476 |
NET
ASSET VALUE,
per share |
$46.76 |
Number
of shares outstanding (unlimited number of shares authorized, par value
$0.01 per share) |
81,850,002 |
Investments,
at cost - Unaffiliated |
$4,834,290,597 |
Investments,
at cost - Affiliated |
$2,098,206 |
Total
investments, at cost |
$4,836,388,803 |
Premiums
paid on options contracts purchased |
$786,373 |
Investments
sold short, proceeds |
$257,334,338 |
Premiums
received on options contracts written |
$14,566,217 |
INVESTMENT
INCOME: |
|
Interest |
$186,241,358 |
Dividends
- Unaffiliated |
1,838,542 |
Dividends
- Affiliated |
44,492 |
Total
investment income |
188,124,392 |
| |
EXPENSES: |
|
Investment
advisory fees |
28,530,503 |
Total
expenses |
28,530,503 |
NET
INVESTMENT INCOME (LOSS) |
159,593,889 |
| |
NET
REALIZED AND UNREALIZED GAIN (LOSS): |
|
Net
realized gain (loss) on: |
|
Investments
- Unaffiliated |
(169,577,983
) |
Investments
- Affiliated |
(42,307
) |
Investments
sold short |
11,518,250 |
Purchased
options contracts |
(6,161,443
) |
Written
options contracts |
31,179,376 |
Futures
contracts |
131,918,646 |
Net
realized gain (loss) |
(1,165,461
) |
Net
change in unrealized appreciation (depreciation) on: |
|
Investments
- Unaffiliated |
20,240,699 |
Investments
- Affiliated |
(200,644
) |
Investments
sold short |
4,551,837 |
Purchased
options contracts |
(573,839
) |
Written
options contracts |
(12,830,477
) |
Futures
contracts |
(13,551,104
) |
Net
change in unrealized appreciation (depreciation) |
(2,363,528
) |
NET
REALIZED AND UNREALIZED GAIN (LOSS) |
(3,528,989
) |
NET
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS |
$156,064,900 |
|
Year
Ended
10/31/2023 |
Year
Ended
10/31/2022 |
OPERATIONS: |
|
|
Net
investment income (loss) |
$159,593,889 |
$93,545,648 |
Net
realized gain (loss) |
(1,165,461
) |
(14,952,412
) |
Net
change in unrealized appreciation (depreciation) |
(2,363,528
) |
(363,022,517
) |
Net
increase (decrease) in net assets resulting from
operations |
156,064,900 |
(284,429,281
) |
| ||
DISTRIBUTIONS
TO SHAREHOLDERS FROM: |
|
|
Investment
operations |
(161,397,004
) |
(108,879,377
) |
| ||
SHAREHOLDER
TRANSACTIONS: |
|
|
Proceeds
from shares sold |
80,900,132 |
116,467,481 |
Cost
of shares redeemed |
(1,111,189,614
) |
(1,640,879,473
) |
Net
increase (decrease) in net assets resulting from shareholder
transactions |
(1,030,289,482
) |
(1,524,411,992
) |
Total
increase (decrease) in net assets |
(1,035,621,586
) |
(1,917,720,650
) |
| ||
NET
ASSETS: |
|
|
Beginning
of period |
4,863,247,062 |
6,780,967,712 |
End
of period |
$3,827,625,476 |
$4,863,247,062 |
| ||
CHANGES
IN SHARES OUTSTANDING: |
|
|
Shares
outstanding, beginning of period |
103,550,002 |
134,550,002 |
Shares
sold |
1,650,000 |
2,350,000 |
Shares
redeemed |
(23,350,000
) |
(33,350,000
) |
Shares
outstanding, end of period |
81,850,002 |
103,550,002 |
|
Year
Ended October
31,
| ||||
|
2023
|
2022
|
2021
|
2020
|
2019
|
Net
asset value, beginning of period |
$46.97 |
$50.40 |
$51.45 |
$51.87 |
$50.78 |
Income
from investment operations: |
|
|
|
|
|
Net
investment income (loss)
|
1.72
(a) |
0.85 |
0.39 |
0.87 |
1.24 |
Net
realized and unrealized gain (loss) |
(0.17
) |
(3.32
) |
(0.40
) |
(0.10
) |
1.21 |
Total
from investment operations |
1.55 |
(2.47
) |
(0.01
) |
0.77 |
2.45 |
Distributions
paid to shareholders from: |
|
|
|
|
|
Net
investment income |
(1.76
) |
(0.69
) |
(0.36
) |
(0.99
) |
(1.23
) |
Net
realized gain |
— |
(0.27
) |
— |
— |
(0.05
) |
Return
of capital |
— |
— |
(0.68
) |
(0.20
) |
(0.08
) |
Total
distributions |
(1.76
) |
(0.96
) |
(1.04
) |
(1.19
) |
(1.36
) |
Net
asset value, end of period |
$46.76 |
$46.97 |
$50.40 |
$51.45 |
$51.87 |
Total
return
(b) |
3.29
% |
(4.96
)% |
(0.02
)% |
1.50
% |
4.88
% |
| |||||
Ratios
to average net assets/supplemental data: |
|
|
|
|
|
Net
assets, end of period (in 000’s) |
$3,827,625 |
$4,863,247 |
$6,780,968 |
$6,389,742 |
$3,765,469 |
Ratio
of total expenses to average net assets (c) |
0.64
% |
0.65
% |
0.65
% |
0.65
% |
0.65
% |
Ratio
of net investment income (loss) to average net
assets
|
3.60
% |
1.66
% |
0.75
% |
1.57
% |
2.41
% |
Portfolio
turnover rate (d) (e) |
646
% |
831
% |
495
% |
434
% |
373
% |
(a) |
Based
on average shares outstanding. |
(b) |
Total
return is calculated assuming an initial investment made at the net asset
value at the beginning of the period, reinvestment of all
distributions
at net asset value during the period, and redemption at net asset value on
the last day of the period. The returns presented do not
reflect
the deduction of taxes that a shareholder would pay on Fund distributions
or the redemption or sale of Fund shares. Total return is
calculated
for the time period presented and is not annualized for periods of less
than a year. |
(c) |
The
Fund indirectly bears its proportionate share of fees and expenses
incurred by the underlying funds in which the Fund invests. This ratio
does
not include these indirect fees and expenses. |
(d) |
Portfolio
turnover is calculated for the time period presented and is not annualized
for periods of less than a year and does not include securities
received
or delivered from processing creations or redemptions and in-kind
transactions. |
(e) |
The
portfolio turnover rate not including mortgage dollar rolls was 556%,
641%, 368%, 245%, and 246% for the years ended October 31, 2023,
2022,
2021, 2020, and 2019
respectively. |
Security
Name |
Shares
at
10/31/2023 |
Value
at
10/31/2022 |
Purchases |
Sales |
Change
in
Unrealized
Appreciation
(Depreciation) |
Realized
Gain
(Loss) |
Value
at
10/31/2023 |
Dividend
Income |
First
Trust Intermediate Government
Opportunities
ETF |
17,000 |
$— |
$336,868 |
$— |
$(14,888
) |
$— |
$321,980 |
$2,400 |
First
Trust Long Duration
Opportunities
ETF |
73,956 |
523,731 |
1,247,572 |
(106,275
) |
(185,756
) |
(42,307
) |
1,436,965 |
42,092 |
|
|
$523,731 |
$1,584,440 |
$(106,275
) |
$(200,644
) |
$(42,307
) |
$1,758,945 |
$44,492 |
Distributions
paid from: |
2023 |
2022 |
Ordinary
income |
$155,241,504 |
$77,623,014 |
Capital
gains |
— |
30,590,238 |
Return
of capital |
— |
— |
Undistributed
ordinary income |
$(11,287,841
) |
Accumulated
capital and other gain (loss) |
(10,798,525
) |
Net
unrealized appreciation (depreciation) |
(432,452,416
) |
Accumulated
Net
Investment
Income
(Loss) |
Accumulated
Net
Realized
Gain
(Loss)
on
Investments |
Paid-In
Capital |
$(17,155,806
) |
$17,155,806 |
$— |
Tax
Cost |
Gross
Unrealized
Appreciation |
Gross
Unrealized
(Depreciation) |
Net
Unrealized
Appreciation
(Depreciation) |
$4,657,507,988 |
$16,389,658 |
$(448,842,074
) |
$(432,452,416
) |
Breakpoints |
|
Fund
net assets up to and including $2.5 billion |
0.65000
% |
Fund
net assets greater than $2.5 billion up to and including $5
billion |
0.63375
% |
Fund
net assets greater than $5 billion up to and including $7.5
billion |
0.61750
% |
Fund
net assets greater than $7.5 billion up to and including $10
billion |
0.60125
% |
Fund
net assets greater than $10 billion |
0.58500
% |
|
|
Asset
Derivatives |
Liability
Derivatives | ||
Derivative
Instrument |
Risk
Exposure |
Statement
of Assets and
Liabilities
Location |
Value |
Statement
of Assets and
Liabilities
Location |
Value |
Options
contracts |
Interest
Rate Risk |
Options
contracts
purchased,
at value |
$250,625 |
Options
contracts written,
at
value |
$28,353,144 |
Futures
contracts |
Interest
Rate Risk |
Unrealized
appreciation on
futures
contracts* |
75,861,717 |
Unrealized
depreciation on
futures
contracts* |
44,026 |
* |
Includes
cumulative appreciation/depreciation on futures contracts as reported in
the Fund’s Portfolio of Investments. Only the
current
day’s variation margin is presented on the Statement of Assets and
Liabilities. |
| |
Statement
of Operations Location |
|
Interest
Rate Risk Exposure |
|
Net
realized gain (loss) on: |
|
Purchased
options contracts |
$(6,161,443
) |
Written
options contracts |
31,179,376 |
Futures
contracts |
131,918,646 |
Net
change in unrealized appreciation (depreciation) on: |
|
Purchased
options contracts |
(573,839
) |
Written
options contracts |
(12,830,477
) |
Futures
contracts |
(13,551,104
) |
Name,
Year
of Birth and
Position
with the Trust |
Term
of Office
and
Year First
Elected
or
Appointed |
Principal
Occupations
During
Past 5 Years |
Number
of
Portfolios
in
the
First Trust
Fund
Complex
Overseen
by
Trustee |
Other
Trusteeships
or
Directorships
Held
by Trustee
During
Past
5
Years |
INDEPENDENT
TRUSTEES | ||||
Richard
E. Erickson, Trustee
(1951) |
• Indefinite
Term
• Since
Inception |
Retired;
Physician, Edward-Elmhurst
Medical
Group (2021 to September
2023);
Physician and Officer,
Wheaton
Orthopedics (1990 to 2021) |
254 |
None |
Thomas
R. Kadlec, Trustee
(1957) |
• Indefinite
Term
• Since
Inception |
Retired;
President, ADM Investors
Services,
Inc. (Futures Commission
Merchant)
(2010 to July 2022) |
254 |
Director,
National Futures
Association
and ADMIS
Singapore
Ltd.; Formerly,
Director
of ADM Investor
Services,
Inc., ADM Investor
Services
International,
ADMIS
Hong Kong Ltd., and
Futures
Industry Association |
Denise
M. Keefe, Trustee
(1964) |
• Indefinite
Term
• Since
2021 |
Executive
Vice President, Advocate
Aurora
Health and President,
Advocate
Aurora Continuing Health
Division
(Integrated Healthcare
System) |
254 |
Director
and Board Chair of
Advocate
Home Health
Services,
Advocate Home
Care
Products and Advocate
Hospice;
Director and Board
Chair
of Aurora At Home
(since
2018); Director of
Advocate
Physician Partners
Accountable
Care
Organization;
Director of
RML
Long Term Acute Care
Hospitals;
Director of Senior
Helpers
(since 2021); and
Director
of MobileHelp
(since
2022) |
Robert
F. Keith, Trustee
(1956) |
• Indefinite
Term
• Since
Inception |
President,
Hibs Enterprises (Financial
and
Management Consulting) |
254 |
Formerly,
Director of Trust
Company
of Illinois |
Niel
B. Nielson, Trustee
(1954) |
• Indefinite
Term
• Since
Inception |
Senior
Advisor (2018 to Present),
Managing
Director and Chief
Operating
Officer (2015 to 2018),
Pelita
Harapan Educational
Foundation
(Educational Products
and
Services) |
254 |
None |
Bronwyn
Wright, Trustee
(1971) |
• Indefinite
Term
• Since
2023 |
Independent
Director to a number of
Irish
collective investment funds
(2009
to Present); Various roles at
international
affiliates of Citibank
(1994
to 2009), including Managing
Director,
Citibank Europe plc and
Head
of Securities and Fund Services,
Citi
Ireland (2007 to 2009) |
229 |
None |
Name,
Year
of Birth and
Position
with the Trust |
Term
of Office
and
Year First
Elected
or
Appointed |
Principal
Occupations
During
Past 5 Years |
Number
of
Portfolios
in
the
First Trust
Fund
Complex
Overseen
by
Trustee |
Other
Trusteeships
or
Directorships
Held
by Trustee
During
Past
5
Years |
INTERESTED
TRUSTEE | ||||
James
A. Bowen(1),
Trustee,
Chairman
of the Board
(1955) |
• Indefinite
Term
• Since
Inception |
Chief
Executive Officer, First Trust
Advisors
L.P. and First Trust
Portfolios
L.P., Chairman of the
Board
of Directors, BondWave LLC
(Software
Development Company)
and
Stonebridge Advisors LLC
(Investment
Advisor) |
254 |
None |
Name
and
Year
of Birth |
Position
and
Offices
with
Trust |
Term
of Office
and
Length of
Service |
Principal
Occupations
During
Past 5 Years |
OFFICERS(2) | |||
James
M. Dykas
(1966) |
President
and Chief
Executive
Officer |
• Indefinite
Term
• Since 2016 |
Managing
Director and Chief Financial Officer, First Trust
Advisors
L.P. and First Trust Portfolios L.P.; Chief Financial
Officer,
BondWave LLC (Software Development Company) and
Stonebridge
Advisors LLC (Investment Advisor) |
Derek
D. Maltbie
(1972) |
Treasurer,
Chief Financial
Officer
and Chief
Accounting
Officer |
• Indefinite
Term
• Since
2023 |
Senior
Vice President, First Trust Advisors L.P. and First Trust
Portfolios
L.P., July 2021 to Present. Previously, Vice President,
First
Trust Advisors L.P. and First Trust Portfolios L.P., 2014 -
2021. |
W.
Scott Jardine
(1960) |
Secretary
and Chief Legal
Officer |
• Indefinite
Term
• Since
Inception |
General
Counsel, First Trust Advisors L.P. and First Trust
Portfolios
L.P.; Secretary and General Counsel, BondWave LLC;
Secretary,
Stonebridge Advisors LLC |
Daniel
J. Lindquist
(1970) |
Vice
President |
• Indefinite
Term
• Since
Inception |
Managing
Director, First Trust Advisors L.P. and First Trust
Portfolios
L.P. |
Kristi
A. Maher
(1966) |
Chief
Compliance Officer
and
Assistant Secretary |
• Indefinite
Term
• Since
Inception |
Deputy
General Counsel, First Trust Advisors L.P. and First
Trust
Portfolios L.P. |
Roger
F. Testin
(1966) |
Vice
President |
• Indefinite
Term
• Since
Inception |
Senior
Vice President, First Trust Advisors L.P. and First Trust
Portfolios
L.P. |
Stan
Ueland
(1970) |
Vice
President |
• Indefinite
Term
• Since
Inception |
Senior
Vice President, First Trust Advisors L.P. and First Trust
Portfolios
L.P.
|