Holdings of the Fund as of 6/28/2024
Total Number of Holdings (excluding cash): 79
| US 2YR NOTE (CBT) Sep24 |
TUU4 |
|
20 |
$4,084,375.00 |
11.42% |
| US 5YR NOTE (CBT) Sep24 |
FVU4 |
|
24 |
$2,557,875.00 |
7.15% |
| Fannie Mae FN BF0207, 4.50%, due 04/01/2047 |
|
3140FXGR7 |
1,383,392 |
$1,329,934.69 |
3.72% |
| Fannie Mae FN AS7738, 3%, due 08/01/2046 |
|
3138WHS45 |
1,451,678 |
$1,250,496.84 |
3.50% |
| GNMA Series 2015-123, Class ZA, 3.50%, due 09/20/2045 |
|
38379QDE2 |
1,357,717 |
$1,214,112.59 |
3.39% |
| US LONG BOND(CBT) Sep24 |
USU4 |
|
10 |
$1,183,125.00 |
3.31% |
| Freddie Mac FR SD7509, 3%, due 11/01/2049 |
|
3132DVKW4 |
1,301,292 |
$1,128,563.35 |
3.15% |
| Fannie Mae Series 2024-6, Class AL, 2%, due 04/01/2040 |
|
3136BQ2K4 |
1,500,000 |
$1,090,138.80 |
3.05% |
| Freddie Mac Series 4316, Class BZ, 3%, due 03/15/2044 |
|
3137B8YJ0 |
1,223,549 |
$1,070,995.16 |
2.99% |
| Freddie Mac Series 4213, Class GZ, 3.50%, due 06/15/2043 |
|
3137B32M9 |
1,175,033 |
$1,067,630.20 |
2.98% |
| Fannie Mae Series 2012-134, Class ZC, 2.50%, due 12/25/2042 |
|
3136AAWE1 |
1,402,242 |
$1,042,851.72 |
2.92% |
| Fannie Mae Series 2024-26, Class PO, 0%, due 05/25/2054 |
|
3136BRVQ7 |
1,378,930 |
$1,036,268.43 |
2.90% |
| Freddie Mac Series 4741, Class GY, 3%, due 12/15/2047 |
|
3137FCBP8 |
1,250,000 |
$1,036,417.38 |
2.90% |
| Fannie Mae Series 2014-12, Class ZB, 3%, due 03/25/2039 |
|
3136AJJJ6 |
1,124,391 |
$1,027,412.05 |
2.87% |
| Freddie Mac Series 5256, Class FC, Variable rate, due 09/25/2052 |
|
3137H92G3 |
1,053,205 |
$1,025,074.11 |
2.87% |
| FHLMC Multifamily Structured Pass Through Certs. Series KJ47, Class A2, 5.43%, due 06/25/2031 |
|
3137HAMP8 |
1,000,000 |
$1,022,123.30 |
2.86% |
| Fannie Mae Series 2016-94, Class MB, 2.50%, due 12/25/2046 |
|
3136AULL3 |
1,350,000 |
$1,019,115.00 |
2.85% |
| FHLMC Multifamily Structured Pass Through Certs. Series KJ24, Class A2, 2.821%, due 09/25/2027 |
|
3137FMD74 |
1,052,070 |
$1,004,362.70 |
2.81% |
| Freddie Mac Series 4798, Class GZ, 4%, due 06/15/2048 |
|
3137F5MU0 |
1,083,731 |
$1,001,084.27 |
2.80% |
| Freddie Mac Series 4929, Class FB, Variable rate, due 09/25/2049 |
|
3137FPKK0 |
1,010,878 |
$990,639.43 |
2.77% |
| Fannie Mae FN AS7749, 3.50%, due 08/01/2046 |
|
3138WHTF9 |
1,051,157 |
$947,812.88 |
2.65% |
| U.S. Treasury Bond, 2.375%, due 05/15/2051 |
|
912810SX7 |
1,400,000 |
$922,414.07 |
2.58% |
| Freddie Mac - SCRT Series 2019-2, Class MA, 3.50%, due 08/25/2058 |
|
35563PKG3 |
976,304 |
$906,923.80 |
2.54% |
| U.S. Treasury Bond, 4.125%, due 08/15/2053 |
|
912810TT5 |
975,000 |
$908,159.18 |
2.54% |
| Fannie Mae or Freddie Mac TBA, 3.50%, due 04/01/2052 |
|
01F032674 |
1,018,000 |
$901,089.06 |
2.52% |
| Fannie Mae FN FS3541, 3.50%, due 08/01/2052 |
|
3140XJ5B5 |
975,265 |
$864,223.29 |
2.42% |
| Freddie Mac FR ZS9776, 3.50%, due 08/01/2046 |
|
3132AA2H6 |
928,977 |
$841,446.95 |
2.35% |
| Fannie Mae or Freddie Mac TBA, 3%, due 03/01/2052 |
|
01F030686 |
869,000 |
$741,564.79 |
2.07% |
| U.S. Treasury Bond, 3%, due 02/15/2047 |
|
912810RV2 |
910,000 |
$697,660.75 |
1.95% |
| Fannie Mae FN 310208, 3%, due 03/01/2048 |
|
31374CR57 |
677,622 |
$576,288.72 |
1.61% |
| FHLMC Multifamily Structured Pass Through Certs. Series K129, Class XAM, Variable rate, due 05/25/2031 |
|
3137H13T1 |
8,000,000 |
$549,167.20 |
1.54% |
| FHLMC Multifamily Structured Pass Through Certs. Series KG04, Class X1, Variable rate, due 11/25/2030 |
|
3137F84T7 |
13,258,088 |
$552,403.56 |
1.54% |
| Freddie Mac - SLST Series 2021-1, Class A1D, 2%, due 05/26/2031 |
|
35564CJU2 |
590,621 |
$526,078.72 |
1.47% |
| FREMF Mortgage Trust Series 2019-KL4F, Class BA, Variable rate, due 10/25/2025 |
|
30297TAU9 |
500,000 |
$485,839.55 |
1.36% |
| U.S. Treasury Bond, 4.375%, due 08/15/2043 |
|
912810TU2 |
475,000 |
$458,634.77 |
1.28% |
| Fannie Mae FN BM7079, 4%, due 10/01/2048 |
|
3140JB2M7 |
469,559 |
$435,028.32 |
1.22% |
| Fannie Mae FN 310211, 3.50%, due 07/01/2048 |
|
31374CR81 |
487,497 |
$431,380.78 |
1.21% |
| Fannie Mae FN BM7129, 3%, due 01/01/2047 |
|
3140JB4P8 |
479,820 |
$425,860.87 |
1.19% |
| Freddie Mac FR ZS9446, 3.50%, due 08/01/2045 |
|
3132AAP73 |
466,659 |
$425,162.96 |
1.19% |
| Fannie Mae FN BM6732, 4%, due 11/01/2048 |
|
3140JBPS9 |
449,555 |
$421,379.34 |
1.18% |
| Freddie Mac FR ZL8982, 3.50%, due 01/01/2045 |
|
3131XQ6T8 |
463,951 |
$420,961.12 |
1.18% |
| Freddie Mac FR SD4005, 4%, due 12/01/2049 |
|
3132E0NW8 |
444,428 |
$419,323.19 |
1.17% |
| Fannie Mae Series 2015-89, Class CZ, 4%, due 08/25/2045 |
|
3136AQYA2 |
422,650 |
$378,257.09 |
1.06% |
| Freddie Mac - SLST Series 2019-3, Class A1C, 2.75%, due 11/25/2029 |
|
35564CEE3 |
405,285 |
$374,325.07 |
1.05% |
| FHLMC Multifamily Structured Pass Through Certs. Series KG05, Class X1, Variable rate, due 01/25/2031 |
|
3137FFXM4 |
22,253,878 |
$373,453.45 |
1.04% |
| FHLMC Multifamily Structured Pass Through Certs. Series K-1512, Class X1, Variable rate, due 04/25/2034 |
|
3137FMTU6 |
6,271,485 |
$361,382.40 |
1.01% |
| Freddie Mac Multiclass Certificates Series 2020-RR06, Class BX, Variable rate, due 05/27/2033 |
|
3137FRV99 |
3,500,000 |
$347,436.08 |
0.97% |
| FREDDIE MAC Series 4316, Class XZ, 4.50%, due 03/15/2044 |
|
3137B9AH8 |
331,604 |
$322,012.50 |
0.90% |
| Freddie Mac Series 4945, Class LB, 3%, due 03/25/2040 |
|
3137FRNY3 |
350,000 |
$299,857.08 |
0.84% |
| Fannie Mae or Freddie Mac TBA, 3.50%, due 04/01/2052 |
|
01F032682 |
300,000 |
$265,593.75 |
0.74% |
| GNMA Series 2024-32, Class IO, Variable rate, due 06/16/2063 |
|
38381J2J5 |
5,060,702 |
$250,449.10 |
0.70% |
| FHLMC Multifamily Structured Pass Through Certs. Series K110, Class X1, Variable rate, due 04/25/2030 |
|
3137FTZS9 |
3,245,302 |
$246,109.44 |
0.69% |
| FHLMC Multifamily Structured Pass Through Certs. Series K740, Class XAM, 1.11174%, due 10/25/2027 |
|
3137F72F1 |
7,700,000 |
$238,047.04 |
0.67% |
| U.S. Treasury Bond, 3.375%, due 08/15/2042 |
|
912810TK4 |
180,000 |
$152,085.94 |
0.43% |
| Freddie Mac FG U90690, 3.50%, due 06/01/2042 |
|
3132H3XT5 |
141,548 |
$128,464.21 |
0.36% |
| FHLMC Multifamily Structured Pass Through Certs. Series KSW4, Class A, Variable rate, due 10/25/2028 |
|
3137FJZ51 |
120,546 |
$120,503.59 |
0.34% |
| iShares 20+ Year Treasury Bond ETF |
TLT |
464287432 |
1,300 |
$119,314.00 |
0.33% |
| U.S. Treasury Bond, 3.25%, due 05/15/2042 |
|
912810TH1 |
128,000 |
$106,477.50 |
0.30% |
| U.S. Treasury Bond, 3%, due 11/15/2045 |
|
912810RP5 |
135,000 |
$104,572.27 |
0.29% |
| U.S. Treasury Bond, 3%, due 05/15/2045 |
|
912810RM2 |
100,000 |
$77,757.82 |
0.22% |
| 2024-08-23 US 10YR NOTE (CBT)Sep24 C 112 |
|
|
-2 |
($781.25) |
0.00% |
| 2024-08-23 US LONG BOND(CBT) Sep24 C 126 |
|
|
-5 |
($1,328.13) |
0.00% |
| 2024-08-23 US LONG BOND(CBT) Sep24 P 106 |
|
|
-1 |
($78.13) |
0.00% |
| 2024-08-23 US LONG BOND(CBT) Sep24 P 112 |
|
|
-1 |
($406.25) |
0.00% |
| 2024-08-23 US LONG BOND(CBT) Sep24 P 113 |
|
|
-1 |
($546.88) |
0.00% |
| 2024-11-22 US 5YR NOTE (CBT) Dec24 P 105 |
|
|
-3 |
($1,429.68) |
0.00% |
| 2024-11-22 US LONG BOND(CBT) Dec24 P 106 |
|
|
-1 |
($453.13) |
0.00% |
| 2025-03-14 SOFR 1yr MidCurve Mar26 P 94.50 |
|
|
-3 |
($225.00) |
0.00% |
| 2024-08-23 US LONG BOND(CBT) Sep24 C 123 |
|
|
-5 |
($3,203.13) |
-0.01% |
| 2024-08-23 US LONG BOND(CBT) Sep24 C 124 |
|
|
-10 |
($4,843.77) |
-0.01% |
| 2024-08-23 US ULTRA BOND CBT Sep24 C 128 |
|
|
-2 |
($3,656.25) |
-0.01% |
| 2024-11-22 US 5YR NOTE (CBT) Dec24 C 108.50 |
|
|
-5 |
($3,242.19) |
-0.01% |
| 2024-11-22 US LONG BOND(CBT) Dec24 C 128 |
|
|
-6 |
($5,343.77) |
-0.01% |
| 2025-03-14 SOFR 1yr MidCurve Mar26 C 96.50 |
|
|
-3 |
($2,006.25) |
-0.01% |
| 2024-08-23 US LONG BOND(CBT) Sep24 C 122 |
|
|
-9 |
($7,734.40) |
-0.02% |
| 2024-11-22 US LONG BOND(CBT) Dec24 C 124 |
|
|
-6 |
($9,937.50) |
-0.03% |
| 2024-11-22 US LONG BOND(CBT) Dec24 C 122 |
|
|
-12 |
($26,812.53) |
-0.07% |
| 2024-11-22 US LONG BOND(CBT) Dec24 P 113 |
|
|
-15 |
($24,609.44) |
-0.07% |
| Fannie Mae or Freddie Mac TBA, 4%, due 05/01/2052 |
|
01F040685 |
-29,000 |
($26,551.99) |
-0.07% |
| Fannie Mae or Freddie Mac TBA, 4.50%, due 04/01/2053 |
|
01F042681 |
-57,000 |
($53,755.90) |
-0.15% |
| Fannie Mae or Freddie Mac TBA, 5%, due 03/01/2054 |
|
01F050684 |
-82,000 |
($79,245.31) |
-0.22% |
| Fannie Mae or Freddie Mac TBA, 6%, due 03/01/2054 |
|
01F060683 |
-139,000 |
($139,342.07) |
-0.39% |
| US Dollar |
$USD |
|
-311,404 |
($311,403.60) |
-0.87% |
| US 10yr Ultra Fut Sep24 |
UXYU4 |
|
-33 |
($3,746,531.25) |
-10.47% |
Holdings are subject to change.
The holdings information set forth above for the date indicated reflects creation and redemption transactions from the prior business day and may differ from the holdings information currently available from the Fund's custodian and accounting agent. With respect to the market value of the Fund's holdings set forth above, the pricing sources are generally third party vendors. The Fund ultimately relies on pricing information provided by the Fund's accounting agent.
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