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Name | Symbol | Market | Type |
---|---|---|---|
Franklin Short Duration US Government ETF | AMEX:FTSD | AMEX | Exchange Traded Fund |
Price Change | % Change | Price | High Price | Low Price | Open Price | Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|
0.084 | 0.09% | 90.804 | 90.8694 | 90.74 | 90.74 | 4,528 | 21:15:00 |
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
Collateralized Mortgage Obligations(a) — 44.7%
|
|||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF57 A (30 Day Average SOFR + 0.565%)
|
5.979%
|
12/25/28
|
$1,249,955
|
$1,254,707
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, K043 A2
|
3.062%
|
12/25/24
|
1,463,214
|
1,445,030
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, K053 A2
|
2.995%
|
12/25/25
|
1,500,000
|
1,454,865
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, K-F112 AS (30 Day Average SOFR + 0.230%)
|
5.554%
|
4/25/31
|
762,684
|
756,083
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF129 AS (30 Day Average SOFR + 0.250%)
|
5.574%
|
1/25/29
|
806,432
|
798,369
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF130 AS (30 Day Average SOFR + 0.290%)
|
5.614%
|
1/25/29
|
2,603,848
|
2,581,203
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF132 AS (30 Day Average SOFR + 0.390%)
|
5.714%
|
2/25/32
|
1,621,932
|
1,610,613
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF135 AS (30 Day Average SOFR + 0.370%)
|
5.694%
|
5/25/29
|
2,651,977
|
2,640,524
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF137 AS (30 Day Average SOFR + 0.450%)
|
5.774%
|
4/25/32
|
2,333,942
|
2,324,587
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF138 AS (30 Day Average SOFR + 0.480%)
|
5.804%
|
6/25/32
|
2,637,173
|
2,631,426
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF139 AS (30 Day Average SOFR + 0.540%)
|
5.864%
|
6/25/32
|
2,395,017
|
2,398,996
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF160 AS (30 Day Average SOFR + 0.700%)
|
6.024%
|
10/25/30
|
1,384,568
|
1,392,170
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF30 A (30 Day Average SOFR + 0.484%)
|
5.809%
|
3/25/27
|
16,417
|
16,383
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF34 A (30 Day Average SOFR + 0.474%)
|
5.799%
|
8/25/24
|
315,196
|
315,172
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF38 A (30 Day Average SOFR + 0.444%)
|
5.769%
|
9/25/24
|
15,857
|
15,852
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF40 A (30 Day Average SOFR + 0.454%)
|
5.779%
|
11/25/27
|
126,521
|
126,007
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF41 A (30 Day Average SOFR + 0.414%)
|
5.739%
|
11/25/24
|
11,601
|
11,591
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF42 A (30 Day Average SOFR + 0.364%)
|
5.689%
|
12/25/24
|
110,653
|
110,659
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF43 A (30 Day Average SOFR + 0.354%)
|
5.679%
|
1/25/28
|
385,538
|
382,019
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF44 A (30 Day Average SOFR + 0.304%)
|
5.629%
|
2/25/25
|
130,743
|
130,476
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF45 A (30 Day Average SOFR + 0.324%)
|
5.649%
|
3/25/25
|
220,921
|
220,473
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF46 A (30 Day Average SOFR + 0.334%)
|
5.659%
|
3/25/28
|
79,213
|
78,980
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF47 A (30 Day Average SOFR + 0.344%)
|
5.669%
|
5/25/25
|
89,111
|
88,902
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF48 A (30 Day Average SOFR + 0.404%)
|
5.729%
|
6/25/28
|
274,566
|
272,477
(b)
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
Collateralized Mortgage Obligations(a) — continued
|
|||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF51 A (30 Day Average SOFR + 0.514%)
|
5.839%
|
8/25/25
|
$115,095
|
$115,041
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF56 A (30 Day Average SOFR + 0.674%)
|
5.999%
|
11/25/28
|
521,172
|
522,412
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF58 A (30 Day Average SOFR + 0.614%)
|
5.939%
|
1/25/26
|
517,537
|
517,620
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF59 A (30 Day Average SOFR + 0.654%)
|
5.979%
|
2/25/29
|
503,158
|
503,992
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF60 A (30 Day Average SOFR + 0.604%)
|
5.929%
|
2/25/26
|
1,340,564
|
1,342,526
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF61 A (30 Day Average SOFR + 0.644%)
|
5.969%
|
3/25/29
|
1,757,279
|
1,765,806
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF62 A (30 Day Average SOFR + 0.594%)
|
5.919%
|
4/25/26
|
848,056
|
848,902
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF63 A (30 Day Average SOFR + 0.554%)
|
5.879%
|
5/25/29
|
1,032,759
|
1,035,748
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF64 A (30 Day Average SOFR + 0.554%)
|
5.879%
|
6/25/26
|
499,396
|
498,616
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF65 A (30 Day Average SOFR + 0.634%)
|
5.959%
|
7/25/29
|
608,858
|
610,678
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF67 A (30 Day Average SOFR + 0.634%)
|
5.959%
|
8/25/29
|
1,150,512
|
1,154,020
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF68 A (30 Day Average SOFR + 0.604%)
|
5.929%
|
7/25/26
|
897,120
|
898,212
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF70 A (30 Day Average SOFR + 0.634%)
|
5.959%
|
9/25/29
|
527,168
|
529,031
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF72 A (30 Day Average SOFR + 0.614%)
|
5.939%
|
10/25/26
|
1,543,217
|
1,542,317
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF75 AL (30 Day Average SOFR + 0.624%)
|
5.949%
|
12/25/29
|
1,328,891
|
1,322,331
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF77 AL (30 Day Average SOFR + 0.814%)
|
6.139%
|
2/25/27
|
592,750
|
594,966
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF78 AL (30 Day Average SOFR + 0.914%)
|
6.239%
|
3/25/30
|
1,092,212
|
1,100,644
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF79 AL (30 Day Average SOFR + 0.584%)
|
5.909%
|
5/25/30
|
1,153,551
|
1,155,493
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF80 AL (30 Day Average SOFR + 0.554%)
|
5.879%
|
6/25/30
|
1,742,632
|
1,745,048
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF81 AL (30 Day Average SOFR + 0.474%)
|
5.799%
|
6/25/27
|
285,930
|
285,404
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF82 AL (30 Day Average SOFR + 0.484%)
|
5.809%
|
6/25/30
|
838,834
|
839,627
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF83 AL (30 Day Average SOFR + 0.474%)
|
5.799%
|
6/25/30
|
465,291
|
465,735
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF84 AL (30 Day Average SOFR + 0.414%)
|
5.739%
|
7/25/30
|
1,245,173
|
1,230,549
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF85 AL (30 Day Average SOFR + 0.414%)
|
5.739%
|
8/25/30
|
278,999
|
277,818
(b)
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
Collateralized Mortgage Obligations(a) — continued
|
|||||
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF86 AL (30 Day Average SOFR + 0.404%)
|
5.729%
|
8/25/27
|
$649,399
|
$645,356
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF87 AL (30 Day Average SOFR + 0.464%)
|
5.789%
|
8/25/30
|
948,495
|
943,664
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF88 AL (30 Day Average SOFR + 0.444%)
|
5.769%
|
9/25/30
|
773,805
|
774,170
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF89 AL (30 Day Average SOFR + 0.434%)
|
5.759%
|
9/25/30
|
1,234,078
|
1,227,091
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF94 AL (30 Day Average SOFR + 0.414%)
|
5.739%
|
11/25/30
|
547,391
|
545,792
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF96 AL (30 Day Average SOFR + 0.374%)
|
5.699%
|
12/25/30
|
1,099,805
|
1,090,803
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF98 AL (30 Day Average SOFR + 0.284%)
|
5.609%
|
12/25/30
|
611,134
|
601,064
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) Multifamily Structured Pass-Through
Certificates, KF99 AS (30 Day Average SOFR + 0.200%)
|
5.524%
|
12/25/30
|
989,063
|
973,910
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 3736 FN (30 Day Average
SOFR + 0.564%)
|
5.898%
|
10/15/40
|
1,016,254
|
1,001,537
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 4952 PD, PAC
|
2.000%
|
2/25/50
|
850,257
|
689,262
|
|
Federal Home Loan Mortgage Corp. (FHLMC) REMIC, 5009 BH
|
0.750%
|
5/25/44
|
1,520,578
|
1,175,622
|
|
Federal National Mortgage Association (FNMA) ACES, 2020-M42 A1
|
0.785%
|
7/25/30
|
2,304,538
|
2,123,587
|
|
Federal National Mortgage Association (FNMA) REMIC, 2011-96 FA (30 Day
Average SOFR + 0.564%)
|
5.900%
|
10/25/41
|
1,282,142
|
1,276,115
(b)
|
|
Federal National Mortgage Association (FNMA) REMIC, 2013-3 BQ, PAC
|
1.750%
|
1/25/43
|
904,975
|
767,356
|
|
Federal National Mortgage Association (FNMA) REMIC, 2016-62 FH (30 Day
Average SOFR + 0.514%)
|
5.850%
|
9/25/46
|
711,225
|
702,007
(b)
|
|
Federal National Mortgage Association (FNMA) REMIC, 2016-75 FC (30 Day
Average SOFR + 0.514%)
|
5.850%
|
10/25/46
|
620,043
|
612,227
(b)
|
|
Federal National Mortgage Association (FNMA) REMIC, 2017-20 JA, PAC
|
3.000%
|
10/25/45
|
834,062
|
791,919
|
|
Federal National Mortgage Association (FNMA) REMIC, 2018-70 HF (30 Day
Average SOFR + 0.464%)
|
5.800%
|
10/25/58
|
1,218,443
|
1,187,768
(b)
|
|
Federal National Mortgage Association (FNMA) REMIC, 2019-47 FB (30 Day
Average SOFR + 0.514%)
|
5.850%
|
5/25/40
|
358,609
|
353,203
(b)
|
|
Federal National Mortgage Association (FNMA) REMIC, 2019-38 CF (30 Day
Average SOFR + 0.565%)
|
5.900%
|
7/25/49
|
1,494,952
|
1,464,993
(b)
|
|
Government National Mortgage Association (GNMA), 2007-20 FM (1 mo. Term
SOFR + 0.414%)
|
5.753%
|
4/20/37
|
1,143,842
|
1,140,656
(b)
|
|
Government National Mortgage Association (GNMA), 2010-12 FD (1 mo. Term SOFR
+ 0.714%)
|
6.043%
|
1/16/40
|
882,235
|
882,542
(b)
|
|
Government National Mortgage Association (GNMA), 2011-80 FC (1 mo. Term SOFR
+ 0.444%)
|
5.783%
|
6/20/41
|
1,560,186
|
1,543,038
(b)
|
|
|
|||||
Total Collateralized Mortgage Obligations (Cost — $67,962,265)
|
66,473,782
|
||||
Mortgage-Backed Securities — 27.6%
|
|||||
FHLMC — 3.9%
|
|||||
Federal Home Loan Mortgage Corp. (FHLMC)
|
3.500%
|
6/1/26
|
62,774
|
61,571
|
|
Federal Home Loan Mortgage Corp. (FHLMC)
|
4.000%
|
3/1/49
|
753,791
|
701,512
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.347%)
|
5.787%
|
3/1/35
|
67,224
|
68,274
(b)
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
|
|||||
FHLMC — continued
|
|||||
Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.475%)
|
6.552%
|
8/1/34
|
$61,305
|
$62,306
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.520%)
|
5.978%
|
4/1/36
|
34,081
|
34,698
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.558%)
|
6.396%
|
2/1/36
|
17,934
|
17,946
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.621%)
|
5.871%
|
9/1/36
|
498
|
502
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.625%)
|
5.874%
|
12/1/36
|
22,567
|
23,159
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.638%)
|
7.197%
|
5/1/36
|
7,818
|
7,826
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.645%)
|
6.001%
|
6/1/37
|
30,674
|
31,133
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.647%)
|
5.936%
|
1/1/37
|
5,366
|
5,505
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.652%)
|
6.270%
|
1/1/36
|
5,038
|
5,143
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.660%)
|
5.946%
|
1/1/38
|
15,089
|
15,207
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.663%)
|
6.406%
|
12/1/35
|
62,215
|
62,643
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.733%)
|
6.068%
|
10/1/36
|
5,246
|
5,315
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.740%)
|
6.054%
|
1/1/37
|
1,564
|
1,578
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.746%)
|
6.460%
|
1/1/42
|
43,456
|
44,749
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.750%)
|
6.782%
|
4/1/34
|
2,624
|
2,620
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.750%)
|
6.477%
|
3/1/35
|
69,574
|
70,035
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.761%)
|
7.379%
|
5/1/35
|
1,434
|
1,440
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.769%)
|
6.213%
|
9/1/37
|
288,340
|
296,304
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.774%)
|
6.291%
|
5/1/42
|
275,630
|
282,920
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.780%)
|
6.230%
|
5/1/35
|
108,495
|
111,430
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.801%)
|
6.418%
|
3/1/35
|
20,334
|
20,844
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.817%)
|
6.273%
|
7/1/43
|
750,916
|
773,930
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.826%)
|
6.075%
|
9/1/36
|
2,910
|
2,934
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.841%)
|
6.382%
|
11/1/42
|
240,193
|
247,013
(b)
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
|
|||||
FHLMC — continued
|
|||||
Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.848%)
|
6.572%
|
9/1/35
|
$58,118
|
$58,672
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.850%)
|
6.155%
|
9/1/36
|
24,090
|
24,839
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.861%)
|
6.116%
|
1/1/36
|
9,928
|
10,010
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.861%)
|
6.111%
|
8/1/36
|
1,089
|
1,104
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.863%)
|
6.641%
|
7/1/35
|
2,561
|
2,593
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.872%)
|
6.132%
|
1/1/36
|
3,868
|
3,906
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.875%)
|
6.371%
|
3/1/36
|
133,148
|
136,888
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.882%)
|
7.214%
|
4/1/37
|
20,865
|
20,957
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.958%)
|
7.175%
|
9/1/36
|
8,934
|
9,020
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.980%)
|
7.487%
|
6/1/37
|
551
|
554
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 2.027%)
|
6.387%
|
3/1/36
|
1,785
|
1,809
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 1.695%)
|
6.582%
|
7/1/29
|
11,926
|
11,862
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 1.975%)
|
5.838%
|
7/1/33
|
18,615
|
19,017
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 1.975%)
|
5.975%
|
8/1/33
|
5,319
|
5,346
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.219%)
|
6.344%
|
10/1/33
|
50,633
|
51,879
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.225%)
|
6.341%
|
10/1/33
|
7,656
|
7,826
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.225%)
|
6.350%
|
11/1/33
|
68,650
|
70,331
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.225%)
|
6.432%
|
1/1/35
|
4,401
|
4,511
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.237%)
|
6.519%
|
7/1/37
|
20,320
|
20,656
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.238%)
|
6.534%
|
1/1/38
|
313,941
|
321,812
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.245%)
|
6.318%
|
10/1/35
|
41,832
|
43,054
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.245%)
|
6.370%
|
1/1/36
|
6,077
|
6,247
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.248%)
|
6.524%
|
6/1/37
|
49,132
|
48,929
(b)
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
|
|||||
FHLMC — continued
|
|||||
Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.250%)
|
6.308%
|
9/1/33
|
$1,663
|
$1,696
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.250%)
|
6.375%
|
11/1/33-
11/1/34
|
48,325
|
49,410
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.250%)
|
6.168%
|
7/1/34
|
66,283
|
68,196
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.250%)
|
6.250%
|
7/1/34
|
4,249
|
4,316
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.250%)
|
6.482%
|
2/1/35
|
13,495
|
13,844
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.250%)
|
6.033%
|
7/1/36
|
17,348
|
17,917
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.250%)
|
6.364%
|
10/1/38
|
30,953
|
31,300
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.251%)
|
6.477%
|
2/1/36
|
17,898
|
18,393
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.252%)
|
6.561%
|
7/1/35
|
149,897
|
153,927
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.252%)
|
6.437%
|
11/1/36
|
6,850
|
6,965
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.265%)
|
6.523%
|
9/1/36
|
709,344
|
729,742
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.266%)
|
6.972%
|
6/1/34
|
13,091
|
13,306
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.315%)
|
7.065%
|
8/1/24
|
2
|
2
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.315%)
|
6.494%
|
5/1/36
|
582,816
|
600,401
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.339%)
|
6.655%
|
3/1/35
|
5,753
|
5,926
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.353%)
|
6.547%
|
9/1/29
|
39,641
|
39,616
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.353%)
|
6.510%
|
1/1/37
|
12,124
|
12,303
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.357%)
|
6.614%
|
1/1/28
|
258
|
257
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.375%)
|
6.500%
|
9/1/27
|
3
|
3
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.409%)
|
6.534%
|
11/1/33
|
22,775
|
23,126
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.500%)
|
6.706%
|
12/1/35
|
107,952
|
111,709
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.764%)
|
7.098%
|
1/1/29
|
979
|
972
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (1 year Treasury Constant Maturity
Rate + 2.833%)
|
7.030%
|
10/1/29
|
2,037
|
2,042
(b)
|
|
Federal Home Loan Mortgage Corp. (FHLMC) (6 mo. FTSE USD IBOR Consumer Cash
Fallbacks + 2.336%)
|
6.980%
|
9/1/30
|
181
|
180
(b)
|
|
Total FHLMC
|
5,745,908
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
|
|||||
FNMA — 21.4%
|
|||||
Federal National Mortgage Association (FNMA)
|
3.500%
|
9/1/25-
5/1/31
|
$369,613
|
$363,050
|
|
Federal National Mortgage Association (FNMA)
|
5.500%
|
3/1/53
|
6,775,865
|
6,691,928
|
|
Federal National Mortgage Association (FNMA)
|
6.000%
|
7/1/53-
9/1/53
|
11,593,148
|
11,634,580
|
|
Federal National Mortgage Association (FNMA)
|
5.500%
|
7/1/54
|
6,017,000
|
5,934,971
(c)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.784%)
|
6.117%
|
3/1/36
|
8,893
|
9,010
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.336%)
|
5.617%
|
10/1/34
|
13,357
|
13,347
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.344%)
|
5.889%
|
6/1/35
|
29,301
|
29,442
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.359%)
|
5.828%
|
2/1/35
|
23,103
|
23,090
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.365%)
|
5.615%
|
10/1/35
|
2,858
|
2,860
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.434%)
|
5.749%
|
12/1/33
|
754
|
755
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.445%)
|
5.695%
|
1/1/35
|
27,650
|
27,623
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.450%)
|
5.797%
|
2/1/36
|
13,836
|
14,156
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.515%)
|
5.896%
|
7/1/35
|
3,983
|
4,081
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.538%)
|
5.913%
|
1/1/35
|
14,414
|
14,749
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.543%)
|
6.542%
|
3/1/34
|
50,575
|
51,331
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.553%)
|
5.928%
|
1/1/35
|
12,170
|
12,462
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.565%)
|
6.190%
|
4/1/33
|
4,525
|
4,536
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.595%)
|
5.970%
|
1/1/33
|
10,085
|
10,100
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.605%)
|
6.314%
|
7/1/36
|
23,748
|
23,890
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.617%)
|
5.867%
|
12/1/34
|
3,121
|
3,192
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.620%)
|
5.969%
|
2/1/35
|
6,575
|
6,744
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.623%)
|
5.873%
|
7/1/34
|
45
|
45
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.623%)
|
6.185%
|
1/1/38
|
41,164
|
42,283
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.625%)
|
6.222%
|
3/1/35
|
703
|
702
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.625%)
|
6.305%
|
11/1/35
|
85,837
|
87,822
(b)
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
|
|||||
FNMA — continued
|
|||||
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.631%)
|
5.893%
|
1/1/35
|
$4,508
|
$4,522
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.637%)
|
6.246%
|
4/1/40
|
138,459
|
139,708
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.643%)
|
6.018%
|
12/1/32
|
1,068
|
1,074
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.643%)
|
5.996%
|
8/1/38
|
145,392
|
149,048
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.644%)
|
6.274%
|
11/1/36
|
13,577
|
13,981
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.650%)
|
5.900%
|
11/1/34
|
3,396
|
3,460
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.650%)
|
6.574%
|
5/1/35
|
13,361
|
13,701
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.657%)
|
6.054%
|
3/1/42
|
143,539
|
147,156
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.665%)
|
6.155%
|
7/1/35
|
22,642
|
22,676
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.665%)
|
6.229%
|
9/1/37
|
75,848
|
77,882
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.669%)
|
5.919%
|
12/1/34
|
8,132
|
8,192
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.676%)
|
5.978%
|
1/1/35
|
24,452
|
24,872
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.690%)
|
5.940%
|
12/1/39
|
12,677
|
13,112
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.691%)
|
5.941%
|
12/1/34
|
75,275
|
75,811
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.701%)
|
6.305%
|
3/1/35
|
2,546
|
2,565
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.703%)
|
5.953%
|
7/1/35
|
3,814
|
3,851
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.706%)
|
7.396%
|
6/1/36
|
13,134
|
13,498
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.709%)
|
6.347%
|
11/1/36
|
60,835
|
61,579
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.715%)
|
6.235%
|
7/1/42
|
861,822
|
888,623
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.718%)
|
6.278%
|
9/1/37
|
238,437
|
245,691
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.720%)
|
6.273%
|
8/1/37
|
39,831
|
39,847
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.723%)
|
6.024%
|
1/1/37
|
18,380
|
18,470
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.729%)
|
6.336%
|
5/1/38
|
557,738
|
573,703
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.730%)
|
6.385%
|
6/1/35
|
5,273
|
5,351
(b)
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
|
|||||
FNMA — continued
|
|||||
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.739%)
|
6.807%
|
10/1/34
|
$2,403
|
$2,399
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.750%)
|
6.000%
|
10/1/33
|
16,316
|
16,393
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.750%)
|
6.229%
|
3/1/35
|
17,952
|
18,078
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.750%)
|
6.158%
|
9/1/35
|
59,492
|
60,170
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.765%)
|
7.140%
|
5/1/35
|
49,098
|
50,542
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.771%)
|
6.132%
|
8/1/44
|
970,784
|
1,001,668
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.797%)
|
6.297%
|
9/1/42
|
426,187
|
440,201
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.810%)
|
6.310%
|
10/1/40
|
201,010
|
207,932
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.811%)
|
6.062%
|
1/1/41
|
100,911
|
104,584
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.820%)
|
6.195%
|
12/1/35
|
13,700
|
14,134
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.832%)
|
6.394%
|
9/1/40
|
33,145
|
34,416
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.838%)
|
6.408%
|
5/1/35
|
39,562
|
40,671
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.844%)
|
6.094%
|
9/1/37
|
261
|
264
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.856%)
|
6.515%
|
5/1/37
|
77,290
|
78,265
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.870%)
|
6.120%
|
8/1/36
|
34,826
|
35,145
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 1.978%)
|
6.598%
|
8/1/37
|
23,662
|
24,458
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year FTSE USD IBOR Consumer
Cash Fallbacks + 2.377%)
|
6.822%
|
3/1/36
|
10,029
|
10,479
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 1.869%)
|
5.870%
|
8/1/29
|
108
|
107
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 1.999%)
|
6.124%
|
12/1/34
|
3,170
|
3,207
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.002%)
|
6.127%
|
9/1/34
|
3,654
|
3,692
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.046%)
|
6.171%
|
12/1/33
|
41,373
|
41,739
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.075%)
|
7.203%
|
3/1/33
|
17,922
|
18,148
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.076%)
|
6.148%
|
2/1/37
|
13,821
|
13,740
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.091%)
|
6.234%
|
4/1/40
|
20,778
|
21,238
(b)
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
|
|||||
FNMA — continued
|
|||||
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.135%)
|
6.726%
|
5/1/36
|
$14,854
|
$15,098
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.142%)
|
6.222%
|
8/1/28
|
12
|
12
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.155%)
|
6.280%
|
1/1/33
|
6,900
|
6,973
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.162%)
|
6.178%
|
9/1/35
|
38,272
|
39,062
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.163%)
|
6.258%
|
12/1/37
|
14,233
|
14,693
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.167%)
|
6.439%
|
9/1/39
|
210
|
210
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.182%)
|
6.182%
|
8/1/32
|
3,356
|
3,385
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.185%)
|
6.981%
|
5/1/36
|
8,195
|
8,255
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.188%)
|
6.382%
|
9/1/33
|
1,502
|
1,504
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.193%)
|
6.375%
|
10/1/34
|
34,127
|
35,050
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.193%)
|
6.421%
|
2/1/35
|
16,740
|
16,960
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.193%)
|
6.363%
|
9/1/39
|
25,419
|
26,080
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.204%)
|
6.339%
|
12/1/40
|
26,139
|
26,761
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.207%)
|
6.349%
|
6/1/32
|
68
|
68
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.210%)
|
6.335%
|
12/1/34
|
28,659
|
29,490
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.219%)
|
6.460%
|
12/1/40
|
371,192
|
381,907
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.222%)
|
6.496%
|
7/1/38
|
85,443
|
86,851
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.223%)
|
7.223%
|
6/1/35
|
12,589
|
12,846
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.230%)
|
6.230%
|
7/1/35
|
14,783
|
15,030
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.236%)
|
6.537%
|
5/1/33
|
5,289
|
5,306
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.241%)
|
6.474%
|
12/1/40
|
122,011
|
125,773
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.243%)
|
6.230%
|
3/1/38
|
2,431
|
2,474
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.249%)
|
6.674%
|
8/1/39
|
1,887
|
1,920
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.262%)
|
6.334%
|
4/1/34
|
22,135
|
22,539
(b)
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
|
|||||
FNMA — continued
|
|||||
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.273%)
|
6.273%
|
11/1/34
|
$8,299
|
$8,453
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.281%)
|
6.550%
|
8/1/36
|
54,818
|
56,497
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.282%)
|
6.402%
|
10/1/33
|
1,044
|
1,075
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.290%)
|
7.290%
|
5/1/33
|
17,999
|
18,567
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.290%)
|
6.363%
|
9/1/35
|
41,896
|
42,623
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.303%)
|
6.401%
|
10/1/34
|
7,382
|
7,624
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.320%)
|
6.447%
|
7/1/33
|
115
|
116
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.323%)
|
6.437%
|
1/1/32
|
1,868
|
1,878
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.478%)
|
6.550%
|
7/1/28
|
265
|
264
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.486%)
|
6.611%
|
5/1/35
|
7,619
|
7,819
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 2.515%)
|
6.565%
|
1/1/28
|
283
|
282
(b)
|
|
Federal National Mortgage Association (FNMA) (1 year Treasury Constant Maturity
Rate + 3.014%)
|
6.594%
|
12/1/30
|
155
|
154
(b)
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 0.845%)
|
5.845%
|
11/1/33
|
214
|
213
(b)
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 0.926%)
|
5.426%
|
9/1/33
|
439
|
435
(b)
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 1.169%)
|
6.794%
|
3/1/28
|
459
|
457
(b)
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 1.355%)
|
5.868%
|
5/1/32
|
832
|
824
(b)
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 1.375%)
|
7.010%
|
9/1/27
|
699
|
696
(b)
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 1.375%)
|
6.704%
|
11/1/33
|
83
|
83
(b)
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 1.412%)
|
5.700%
|
8/1/33
|
1,987
|
2,023
(b)
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 1.430%)
|
7.083%
|
2/1/36
|
89,958
|
90,301
(b)
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 1.490%)
|
7.062%
|
3/1/35
|
36,110
|
36,733
(b)
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 1.494%)
|
5.845%
|
4/1/36
|
1,399
|
1,407
(b)
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 1.495%)
|
7.125%
|
5/1/36
|
7,523
|
7,662
(b)
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 1.498%)
|
6.388%
|
11/1/35
|
2,728
|
2,745
(b)
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
|
|||||
FNMA — continued
|
|||||
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 1.507%)
|
7.199%
|
1/1/35
|
$1,321
|
$1,339
(b)
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 1.510%)
|
7.094%
|
2/1/33
|
45,025
|
45,625
(b)
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 1.518%)
|
6.268%
|
11/1/33
|
2,798
|
2,780
(b)
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 1.550%)
|
7.175%
|
5/1/33-
5/1/35
|
5,042
|
5,050
(b)
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 1.550%)
|
7.169%
|
3/1/34
|
2,547
|
2,593
(b)
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 1.550%)
|
7.134%
|
3/1/36
|
1,454
|
1,490
(b)
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 1.550%)
|
5.955%
|
4/1/36
|
3,355
|
3,370
(b)
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 1.565%)
|
7.280%
|
6/1/35
|
5,384
|
5,474
(b)
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 1.565%)
|
7.392%
|
7/1/35
|
3,773
|
3,816
(b)
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 1.570%)
|
5.995%
|
11/1/35
|
205,418
|
209,401
(b)
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 1.570%)
|
6.320%
|
11/1/35
|
3,082
|
3,107
(b)
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 1.600%)
|
6.428%
|
6/1/34
|
49,405
|
49,889
(b)
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 1.680%)
|
7.302%
|
4/1/36
|
1,604
|
1,636
(b)
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 1.745%)
|
6.063%
|
2/1/35
|
8,489
|
8,422
(b)
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 1.770%)
|
6.520%
|
11/1/34
|
12,361
|
12,317
(b)
|
|
Federal National Mortgage Association (FNMA) (6 mo. FTSE USD IBOR Consumer
Cash Fallbacks + 2.175%)
|
6.300%
|
12/1/24
|
12
|
12
(b)
|
|
Federal National Mortgage Association (FNMA) (Enterprise 11th District COFI
Replacement Index + 1.254%)
|
4.414%
|
10/1/27
|
35
|
34
(b)
|
|
Federal National Mortgage Association (FNMA) (Enterprise 11th District COFI
Replacement Index + 1.254%)
|
4.453%
|
8/1/28
|
9,530
|
9,395
(b)
|
|
Federal National Mortgage Association (FNMA) (Enterprise 11th District COFI
Replacement Index + 1.695%)
|
4.859%
|
8/1/29
|
2,911
|
2,883
(b)
|
|
Federal National Mortgage Association (FNMA) (Federal Reserve U.S. 12 mo.
Cumulative Avg 1 Year CMT + 1.400%)
|
6.514%
|
6/1/40-
11/1/40
|
23,060
|
23,144
(b)
|
|
Federal National Mortgage Association (FNMA) (Federal Reserve U.S. 12 mo.
Cumulative Avg 1 Year CMT + 1.664%)
|
6.764%
|
11/1/35
|
14,054
|
14,018
(b)
|
|
Federal National Mortgage Association (FNMA) (Federal Reserve U.S. 12 mo.
Cumulative Avg 1 Year CMT + 1.668%)
|
6.805%
|
11/1/35
|
8,958
|
8,970
(b)
|
|
Federal National Mortgage Association (FNMA) (Federal Reserve U.S. 12 mo.
Cumulative Avg 1 Year CMT + 1.831%)
|
6.962%
|
11/1/35
|
9,193
|
9,283
(b)
|
|
Federal National Mortgage Association (FNMA) (Federal Reserve U.S. 12 mo.
Cumulative Avg 1 Year CMT + 1.851%)
|
6.999%
|
11/1/35
|
8,045
|
8,131
(b)
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
|
|||||
FNMA — continued
|
|||||
Federal National Mortgage Association (FNMA) (Federal Reserve U.S. 12 mo.
Cumulative Avg 1 Year CMT + 1.879%)
|
7.019%
|
11/1/35
|
$76,859
|
$76,955
(b)
|
|
Federal National Mortgage Association (FNMA) (Federal Reserve U.S. 12 mo.
Cumulative Avg 1 Year CMT + 1.894%)
|
7.041%
|
11/1/35
|
14,300
|
14,587
(b)
|
|
Federal National Mortgage Association (FNMA) (Federal Reserve U.S. 12 mo.
Cumulative Avg 1 Year CMT + 1.903%)
|
7.110%
|
11/1/35
|
19,042
|
19,445
(b)
|
|
Federal National Mortgage Association (FNMA) (Federal Reserve U.S. 12 mo.
Cumulative Avg 1 Year CMT + 1.917%)
|
7.063%
|
10/1/35
|
53,711
|
54,827
(b)
|
|
Federal National Mortgage Association (FNMA) (Federal Reserve U.S. 12 mo.
Cumulative Avg 1 Year CMT + 1.940%)
|
7.084%
|
11/1/35
|
30,132
|
30,778
(b)
|
|
Federal National Mortgage Association (FNMA) (Federal Reserve U.S. 12 mo.
Cumulative Avg 1 Year CMT + 1.988%)
|
7.120%
|
11/1/35
|
14,960
|
15,304
(b)
|
|
Federal National Mortgage Association (FNMA) (Federal Reserve U.S. 12 mo.
Cumulative Avg 1 Year CMT + 2.003%)
|
7.089%
|
11/1/35
|
68,882
|
69,724
(b)
|
|
Federal National Mortgage Association (FNMA) (Federal Reserve U.S. 12 mo.
Cumulative Avg 1 Year CMT + 2.058%)
|
7.207%
|
10/1/35
|
138,958
|
142,434
(b)
|
|
Federal National Mortgage Association (FNMA) (Federal Reserve U.S. 12 mo.
Cumulative Avg 1 Year CMT + 2.177%)
|
7.315%
|
10/1/36
|
23,012
|
23,522
(b)
|
|
Federal National Mortgage Association (FNMA) (Federal Reserve U.S. 12 mo.
Cumulative Avg 1 Year CMT + 2.229%)
|
7.396%
|
9/1/36
|
14,755
|
15,110
(b)
|
|
Federal National Mortgage Association (FNMA) (Federal Reserve U.S. 12 mo.
Cumulative Avg 1 Year CMT + 2.247%)
|
7.366%
|
5/1/36
|
28,765
|
29,674
(b)
|
|
Total FNMA
|
31,888,509
|
||||
GNMA — 2.3%
|
|||||
Government National Mortgage Association (GNMA) II
|
6.000%
|
7/20/54
|
3,420,000
|
3,434,738
(c)
|
|
|
|||||
Total Mortgage-Backed Securities (Cost — $41,548,242)
|
41,069,155
|
||||
U.S. Government & Agency Obligations — 23.1%
|
|||||
U.S. Government Agencies — 1.3%
|
|||||
Export-Import Bank of the United States, Secured Notes
|
2.628%
|
11/12/26
|
702,973
|
678,752
|
|
Export-Import Bank of the United States, Senior Secured Notes
|
1.900%
|
7/12/24
|
139,424
|
139,258
|
|
United States International Development Finance Corp.
|
4.010%
|
5/15/30
|
1,080,000
|
1,046,649
|
|
Total U.S. Government Agencies
|
1,864,659
|
||||
U.S. Government Obligations — 21.8%
|
|||||
U.S. Treasury Notes
|
2.750%
|
5/15/25
|
2,500,000
|
2,448,395
|
|
U.S. Treasury Notes
|
3.125%
|
8/15/25
|
18,700,000
|
18,310,295
|
|
U.S. Treasury Notes
|
4.500%
|
11/15/25
|
9,000,000
|
8,946,562
|
|
U.S. Treasury Notes
|
4.875%
|
4/30/26
|
2,700,000
|
2,704,324
|
|
Total U.S. Government Obligations
|
32,409,576
|
||||
|
|||||
Total U.S. Government & Agency Obligations (Cost — $34,578,047)
|
34,274,235
|
||||
Corporate Bonds & Notes — 1.0%
|
|||||
Energy — 0.7%
|
|||||
Oil, Gas & Consumable Fuels — 0.7%
|
|||||
Petroleos Mexicanos, Senior Notes
|
2.378%
|
4/15/25
|
140,000
|
134,871
|
|
Reliance Industries Ltd., Senior Notes
|
2.060%
|
1/15/26
|
500,000
|
487,436
|
|
Reliance Industries Ltd., Senior Notes
|
2.512%
|
1/15/26
|
375,000
|
365,555
|
|
|
|||||
Total Energy
|
987,862
|
Security
|
|
Rate
|
Maturity
Date
|
Face
Amount
|
Value
|
|
|||||
Financials — 0.3%
|
|||||
Financial Services — 0.3%
|
|||||
KE Export Leasing 2013-A LLC, Senior Notes (3 mo. Term SOFR + 0.492%)
|
5.828%
|
2/28/25
|
$134,543
|
$134,640
(b)
|
|
MSN 41079 and 41084 Ltd., Senior Notes
|
1.631%
|
12/14/24
|
229,933
|
226,810
|
|
Ulani MSN 37894, Senior Notes
|
2.184%
|
12/20/24
|
173,914
|
171,734
|
|
|
|||||
Total Financials
|
533,184
|
||||
Total Corporate Bonds & Notes (Cost — $1,555,894)
|
1,521,046
|
||||
Total Investments before Short-Term Investments (Cost — $145,644,448)
|
143,338,218
|
||||
|
|
|
|
Shares
|
|
Short-Term Investments — 3.4%
|
|||||
Institutional Fiduciary Trust, Money Market Portfolio (Cost — $5,130,056)
|
4.970%
|
|
5,130,056
|
5,130,056
(d)
|
|
Total Investments — 99.8% (Cost — $150,774,504)
|
148,468,274
|
||||
Other Assets in Excess of Liabilities — 0.2%
|
244,342
|
||||
Total Net Assets — 100.0%
|
$148,712,616
|
(a)
|
Collateralized mortgage obligations are secured by an underlying pool of mortgages
or mortgage pass-through certificates that are structured to direct
payments on underlying collateral to different series or classes of the obligations.
The interest rate may change positively or inversely in relation to one or
more interest rates, financial indices or other financial indicators and may be subject
to an upper and/or lower limit.
|
(b)
|
Variable rate security. Interest rate disclosed is as of the most recent information
available. Certain variable rate securities are not based on a published
reference rate and spread but are determined by the issuer or agent and are based
on current market conditions. These securities do not indicate a
reference rate and spread in their description above.
|
(c)
|
This security is traded on a to-be-announced (“TBA”) basis. At June 30, 2024, the Fund held TBA securities with a total cost of $9,354,805.
|
(d)
|
In this instance, as defined in the Investment Company Act of 1940, and “Affiliated Company” represents Fund ownership of at least 5% of the outstanding
voting securities of an issuer. At June 30, 2024, the total market value of investments
in Affiliated Companies was $5,130,056 and the cost was
$5,130,056 (Note 2).
|
Abbreviation(s) used in this schedule:
|
||
ACES
|
—
|
Alternative Credit Enhancement Securities
|
CMT
|
—
|
Constant Maturity Treasury
|
IBOR
|
—
|
Interbank Offered Rate
|
PAC
|
—
|
Planned Amortization Class
|
REMIC
|
—
|
Real Estate Mortgage Investment Conduit
|
SOFR
|
—
|
Secured Overnight Financing Rate
|
USD
|
—
|
United States Dollar
|
|
Number of
Contracts
|
Expiration
Date
|
Notional
Amount
|
Market
Value
|
Unrealized
Appreciation
(Depreciation)
|
Contracts to Buy:
|
|
|
|
|
|
U.S. Treasury 2-Year Notes
|
240
|
9/24
|
$48,822,978
|
$49,012,500
|
$189,522
|
U.S. Treasury 5-Year Notes
|
14
|
9/24
|
1,475,219
|
1,492,094
|
16,875
|
|
|
|
|
|
206,397
|
Contracts to Sell:
|
|
|
|
|
|
U.S. Treasury 10-Year Notes
|
79
|
9/24
|
8,571,388
|
8,688,766
|
(117,378)
|
U.S. Treasury Long-Term Bonds
|
25
|
9/24
|
2,891,369
|
2,957,812
|
(66,443)
|
U.S. Treasury Ultra 10-Year Notes
|
6
|
9/24
|
670,339
|
681,188
|
(10,849)
|
|
|
|
|
|
(194,670)
|
Net unrealized appreciation on open futures contracts
|
$11,727
|
ASSETS
|
||||
Description
|
Quoted Prices
(Level 1)
|
Other Significant
Observable Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
Total
|
Long-Term Investments†:
|
|
|
|
|
Collateralized Mortgage Obligations
|
—
|
$66,473,782
|
—
|
$66,473,782
|
Mortgage-Backed Securities
|
—
|
41,069,155
|
—
|
41,069,155
|
U.S. Government & Agency Obligations
|
—
|
34,274,235
|
—
|
34,274,235
|
Corporate Bonds & Notes
|
—
|
1,521,046
|
—
|
1,521,046
|
Total Long-Term Investments
|
—
|
143,338,218
|
—
|
143,338,218
|
Short-Term Investments†
|
$5,130,056
|
—
|
—
|
5,130,056
|
Total Investments
|
$5,130,056
|
$143,338,218
|
—
|
$148,468,274
|
Other Financial Instruments:
|
|
|
|
|
Futures Contracts††
|
$206,397
|
—
|
—
|
$206,397
|
Total
|
$5,336,453
|
$143,338,218
|
—
|
$148,674,671
|
LIABILITIES
|
||||
Description
|
Quoted Prices
(Level 1)
|
Other Significant
Observable Inputs
(Level 2)
|
Significant
Unobservable
Inputs
(Level 3)
|
Total
|
Other Financial Instruments:
|
|
|
|
|
Futures Contracts††
|
$194,670
|
—
|
—
|
$194,670
|
†
|
See Schedule of Investments for additional detailed categorizations.
|
††
|
Reflects the unrealized appreciation (depreciation) of the instruments.
|
|
Affiliate
Value at
March 31, 2024
|
Purchased
|
Sold
|
||
Cost
|
Shares
|
Proceeds
|
Shares
|
||
Institutional Fiduciary
Trust, Money Market
Portfolio
|
$2,360,028
|
$9,226,432
|
9,226,432
|
$6,456,404
|
6,456,404
|
(cont’d)
|
Realized
Gain (Loss)
|
Dividend
Income
|
Net Increase
(Decrease) in
Unrealized
Appreciation
(Depreciation)
|
Affiliate
Value at
June 30,
2024
|
Institutional Fiduciary Trust,
Money Market Portfolio
|
—
|
$14,744
|
—
|
$5,130,056
|
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