Basket Holdings: 126AS OF 03/27/2024

SymbolCompanyWeight
Net Other Assets44.50
Federal National Mortgage Association 3%8.18
Federal National Mortgage Association 2%7.52
Fidelity Cash Central Fund7.51
Sblofi Swap Cy885802 12/15/564.84
Government National Mortgage Association 2%4.53
Federal Home Loan Mortgage Corp. 2.5%3.76
Federal National Mortgage Association 6.5%3.22
BX 2021-PAC MORTGAGE TRUST3.13
WELLS FARGO COMMERCIAL MORTGAGE TRUST3.09
Federal National Mortgage Association 3.5%2.90
United States Treasury Notes 4.625%2.76
Government National Mortgage Association 2.5%2.69
Government National Mortgage Association 2%2.59
Gscofi Swap Cy873248 04/17/652.57
Federal Home Loan Mortgage Corp. 2%2.53
Federal National Mortgage Association 2%2.50
Federal Home Loan Mortgage Corp. 2%2.49
United States Treasury Notes 4.375%2.32
United States Treasury Notes 4%2.25
Government National Mortgage Association 3%2.09
Government National Mortgage Association 2.5%2.07
AJAX MORTGAGE LOAN TRUST 1.74%1.88
United States Treasury Bonds 4.375%1.78
Federal Home Loan Mortgage Corp. 2.26%1.70
Fnma Pass-Thru I 2.5%1.68
Government National Mortgage Association 6.5%1.60
Government National Mortgage Association 6.5%1.60
Government National Mortgage Association 6%1.59
Federal Home Loan Mortgage Corp. 2.5%1.58
Fnma Pass-Thru I 5.5%1.53
Federal National Mortgage Association 2%1.53
Federal Home Loan Mortgage Corp. 4%1.50
Federal Home Loan Mortgage Corp. 5.5%1.47
Fnma Pass-Thru I 4.5%1.47
Federal National Mortgage Association 5%1.44
Government National Mortgage Association 3.5%1.44
Fnma Pass-Thru I 5%1.41
Government National Mortgage Association 3%1.40
PRPM LLC 2.115%1.39
Federal National Mortgage Association 3%1.36
Fnma Pass-Thru I 3%1.33
Fnma Pass-Thru I 2.5%1.23
Federal National Mortgage Association 2.5%1.22
Federal Home Loan Mortgage Corp. 3.5%1.16
Fnma Pass-Thru I 1.5%1.16
Federal National Mortgage Association 2.5%1.14
Federal Home Loan Mortgage Corp. 1.5%1.13
Federal National Mortgage Association 1.5%1.12
Federal Home Loan Mortgage Corp. 2%1.08
Federal Home Loan Mortgage Corp. 2%1.05
Federal Home Loan Mortgage Corp. 2.5%0.97
Federal Home Loan Mortgage Corp. 2.5%0.96
United States Treasury Bonds 3.625%0.94
United States Treasury Notes 4.25%0.94
Morgan Stanley Capital I Trust 2018-L1 4.139%0.91
Fnma Pass-Thru I 6.5%0.81
Fnma Pass-Thru I 5.5%0.79
United States Treasury Notes 4.25%0.79
Government National Mortgage Association 5.5%0.79
Government National Mortgage Association 5%0.78
Federal Home Loan Mortgage Corp. 1.5%0.77
Federal Home Loan Mortgage Corp. 3.85%0.77
Federal National Mortgage Association 1.5%0.76
Federal National Mortgage Association 3.5%0.76
Federal Home Loan Mortgage Corp. 1.5%0.76
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 3.243%0.76
Government National Mortgage Association 4.5%0.75
Federal Home Loan Mortgage Corp. 2.653%0.75
Federal National Mortgage Association 4.5%0.75
Fnma Pass-Thru I 6%0.73
United States Treasury Bonds 3.625%0.72
United States Treasury Bonds 4.125%0.70
Fnma Pass-Thru I 4.5%0.69
Fnma Pass-Thru I 4%0.66
Government National Mortgage Association 2.5%0.66
Federal Home Loan Mortgage Corp. 2.5%0.66
Sblofi Swap Cy873248 04/17/650.66
Federal Home Loan Mortgage Corp. 2.5%0.65
Fnma Pass-Thru I 4%0.65
United States Treasury Notes 4%0.65
Us Dollar0.65
Fnma Pass-Thru I 2%0.63
Federal Home Loan Mortgage Corp. 2%0.63
Federal Home Loan Mortgage Corp. 2.5%0.63
Federal Home Loan Mortgage Corp. 2%0.62
Federal Home Loan Mortgage Corp. 3%0.62
Fnma Pass-Thru I 3%0.62
Bank 2018-Bnk14 4.231%0.61
Federal National Mortgage Association 2%0.61
Fnma Pass-Thru I 3.5%0.60
CSAIL 2015-C4 Commercial Mortgage Trust 3.5438%0.60
Fnma Pass-Thru I 2.5%0.58
Fnma Pass-Thru I 4%0.57
CFMT 2021-Ebo1 Llc 1.1581%0.57
United States Treasury Notes 3.875%0.49
United States Treasury Notes 4.375%0.47
Morgan Stanley Capital I Trust 2017-HR2 3.587%0.45
Fnma Pass-Thru I 4.5%0.44
CITIGROUP COMMERCIAL MORTGAGE TRUST 3.102%0.44
Federal Home Loan Mortgage Corp. 3.329%0.38
WELLS FARGO COMMERCIAL MORTGAGE TRUST 3.817%0.33
Capital One Multi Asset Execution Trust 4.42%0.31
Discover Card Execution Note Trust 4.31%0.31
United States Treasury Notes 3.375%0.30
Morgan Stanley Capital I Trust 2016-UB11 2.782%0.29
Federal Home Loan Mortgage Corp. 2.108%0.27
United States Treasury Bonds 3.875%0.23
Federal Home Loan Mortgage Corp. 2.745%0.23
Federal Home Loan Mortgage Corp. 3.023%0.22
CARMAX AUTO OWNER TRUST 2023-2 5.5%0.21
VERIZON MASTER TRUST 4.89%0.19
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 5.4%0.19
Citi Swap Rec 3.755 3/19/290.13
Us Long Bond(Cbt)ft Jun24 Usm40.13
Citi Swap Pay 3.755 03/19/290.12
Gscofi Swap Cy562346 11/18/640.11
CNH EQUIPMENT TRUST 2023-A 5.38%0.10
WORLD OMNI AUTO RECEIVABLES TRUST 2023-B 4.66%0.06
GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2023-2 4.47%0.06
Us 10yr Note (Cbt)jun24 Tym40.05
VOLKSWAGEN AUTO LEASE TRUST 2024-A 5.21%0.03
Cash†0.03
WORLD OMNI AUTO RECEIVABLES TRUST 2023-B 5.25%0.02
GM FINANCIAL AUTOMOBILE LEASING TRUST 2023-2 5.44%0.02
Us 5yr Note (Cbt) Jun24 Fvm40.01

†Part or all of this cash position may represent cash-in-lieu of marketable securities and not actual cash.Click here for more information.

Top basket holdings are as of the date indicated and may not be representative of the fund's current or future investments.