Schedule of Portfolio Holdings

Holdings as of 9/30/2021
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Security Name Interest Rate Maturity Date Shares Market Value Weight
FNMA TBA 30 YR 2 2 10/14/51 25,785,000 25,839,390 7.80%
FNMA TBA 30 YR 2 2 11/10/51 12,695,000 12,698,967 3.83%
FED HOME LN DISCOUNT NT 0 10/22/21 12,000,000 11,999,930 3.62%
FED HOME LN DISCOUNT NT 0 10/27/21 12,000,000 11,999,913 3.62%
FED HOME LN DISCOUNT NT 0 11/19/21 12,000,000 11,999,510 3.62%
FED HOME LN DISCOUNT NT 0 2/23/22 12,000,000 11,998,067 3.62%
FED FARM CRD DISCOUNT NT 0.01 1/10/22 7,000,000 6,999,411 2.11%
FNMA TBA 30 YR 4 4 10/14/51 5,800,000 6,214,609 1.88%
FREDDIE MAC 1.5 2/12/25 5,600,000 5,761,403 1.74%
GNMA II TBA 30 YR 3.5 3.5 10/21/51 5,300,000 5,572,350 1.68%
FNMA TBA 30 YR 2.5 2.5 10/14/51 5,095,000 5,250,636 1.58%
FED FARM CRD DISCOUNT NT 0 1/3/22 5,000,000 4,999,608 1.51%
FNMA TBA 15 YR 2 2 10/19/36 4,300,000 4,427,320 1.34%
FNMA TBA 30 YR 3 3 10/14/51 3,890,000 4,069,001 1.23%
GNMA II TBA 30 YR 3 3 10/21/51 3,800,000 3,968,922 1.20%
GNMA II TBA 30 YR 3 3 11/18/51 3,800,000 3,962,242 1.20%
GNMA II TBA 30 YR 2.5 2.5 10/21/51 3,625,000 3,740,264 1.13%
FEDERAL HOME LOAN BANK 2.375 3/14/25 2,710,000 2,869,759 0.87%
FNMA TBA 30 YR 2.5 2.5 11/10/51 2,505,000 2,576,627 0.78%
FNMA TBA 30 YR 3 3 11/10/51 1,910,000 1,995,735 0.60%
FEDERAL FARM CREDIT BANK 2.78 11/2/37 1,800,000 1,953,494 0.59%
HOWARD UNIVERSITY 3.476 10/1/41 1,850,000 1,928,248 0.58%
GNMA II TBA 30 YR 2.5 2.5 11/18/51 1,775,000 1,828,250 0.55%
CHARTER COMM OPT LLC/CAP 6.484 10/23/45 1,325,000 1,801,004 0.54%
FNMA TBA 30 YR 3.5 3.5 10/14/51 1,700,000 1,798,779 0.54%
FNMA TBA 15 YR 3 3 10/19/36 1,700,000 1,787,590 0.54%
GNMA II TBA 30 YR 4 4 10/21/51 1,600,000 1,697,563 0.51%
REPUBLIC OF CHILE 0.83 7/2/31 1,370,000 1,586,919 0.48%
TOYOTA MOTOR CORP 2.362 3/25/31 1,500,000 1,550,502 0.47%
SUMITOMO MITSUI TR BK LT 1.55 3/25/26 1,500,000 1,515,963 0.46%
FED HOME LN DISCOUNT NT 0 10/6/21 1,500,000 1,499,998 0.45%
GNMA II TBA 30 YR 2 2 11/18/51 1,450,000 1,467,275 0.44%
JOHNSON CONTROLS/TYCO FI 2 9/16/31 1,400,000 1,363,073 0.41%
MACARTHUR FOUNDATION 1.299 12/1/30 1,440,000 1,355,490 0.41%
HP INC 3 6/17/27 1,250,000 1,334,956 0.40%
HP ENTERPRISE CO 4.65 10/1/24 1,200,000 1,325,850 0.40%
AT+T INC 2.75 6/1/31 1,285,000 1,317,497 0.40%
VERIZON COMMUNICATIONS 3.4 3/22/41 1,250,000 1,303,922 0.39%
EDP FINANCE BV 1.71 1/24/28 1,300,000 1,277,592 0.39%
ADVOCATE HEALTH CORP 3.829 8/15/28 1,115,000 1,252,222 0.38%
ROYALTY PHARMA PLC 3.3 9/2/40 1,250,000 1,245,478 0.38%
OCHSNER LSU HEALTH SYST 2.51 5/15/31 1,250,000 1,224,449 0.37%
FEDERAL FARM CREDIT BANK 3.66 3/7/44 974,000 1,193,538 0.36%
HSBC HOLDINGS PLC 4.95 3/31/30 1,000,000 1,188,686 0.36%
FEDERAL FARM CREDIT BANK 2.625 10/15/49 1,140,000 1,186,323 0.36%
FEDERAL FARM CREDIT BANK 3.43 4/6/45 1,000,000 1,177,758 0.36%
VIACOMCBS INC 4.95 1/15/31 985,000 1,176,233 0.35%
MET TRANSPRTN AUTH NY REVENUE 5.175 11/15/49 855,000 1,172,680 0.35%
STONECO LTD 3.95 6/16/28 1,200,000 1,161,900 0.35%
CREDIT AGRICOLE LONDON 4.125 1/10/27 1,000,000 1,121,591 0.34%
BANK OF AMERICA CORP 7.75 5/14/38 700,000 1,095,503 0.33%
BRIGHTHOUSE FINANCIAL IN 5.625 5/15/30 890,000 1,074,494 0.32%
BWAY MORTGAGE TRUST 3.4543 3/10/33 1,000,000 1,067,599 0.32%
BROADCOM INC 4.15 11/15/30 958,000 1,061,473 0.32%
INTERCHILE SA 4.5 6/30/56 1,000,000 1,045,250 0.32%
NEW JERSEY ST EDUCTNL FACS AUT 3.958 7/1/48 1,000,000 1,045,006 0.32%
VERISURE HOLDING AB 0 3/27/28 900,000 1,038,654 0.31%
OREGON ST UNIV GEN REVENUE 3.424 3/1/60 1,000,000 1,029,755 0.31%
VENA ENERGY CAP PTE LTD 3.133 2/26/25 1,000,000 1,028,905 0.31%
ILLINOIS ST FIN AUTH REVENUE 3.51 5/15/41 1,000,000 1,022,926 0.31%
CITIGROUP INC 1.678 5/15/24 1,000,000 1,019,698 0.31%
STARBUCKS CORP 2.55 11/15/30 990,000 1,016,602 0.31%
PEACEHEALTH OBLIGATED GR 1.375 11/15/25 1,000,000 1,008,590 0.30%
AMGEN INC 2.3 2/25/31 1,000,000 1,002,792 0.30%
MASSACHUSETTS ST EDUCTNL FING 2.305 7/1/29 1,000,000 996,899 0.30%
MILLICOM INTL CELLULAR 4.5 4/27/31 950,000 994,940 0.30%
COLORADO ST HLTH FACS AUTH HOS 4.48 12/1/40 940,000 994,558 0.30%
UPC FINANCING PARTNERSHIP 0 1/31/29 995,000 993,963 0.30%
WASHINGTON ST HSG FIN COMMISSI 3 1/1/25 985,000 985,151 0.30%
FLORIDA ST DEV FIN CORP EDUCTN 4.009 4/1/40 925,000 978,150 0.30%
UNIV OF CALIFORNIA CA RGTS MED 3.706 5/15/20 900,000 964,326 0.29%
GNMA II TBA 30 YR 4.5 4.5 10/21/50 900,000 959,625 0.29%
OKLAHOMA ST UNIV AGRIC MECH 3.627 9/1/40 880,000 949,524 0.29%
NSTAR ELECTRIC CO 3.95 4/1/30 830,000 948,495 0.29%
GRACECHURCH MORTGAGE FINANCE P 2.347 12/10/40 925,000 938,597 0.28%
STARBUCKS CORP 4.45 8/15/49 750,000 916,158 0.28%
GREENKO DUTCH BV 3.85 3/29/26 896,350 913,022 0.28%
XYLEM INC 2.25 1/30/31 900,000 900,863 0.27%
USAA CAPITAL CORP 2.125 5/1/30 885,000 891,505 0.27%
SUSTAINABLE ENERGY UTILITY INC 2.344 9/15/29 900,000 889,573 0.27%
PARK AVENUE TRUST 3.508 6/5/37 800,000 871,524 0.26%
OKLAHOMA ST DEV FIN AUTH HLTHS 5.45 8/15/28 770,000 870,901 0.26%
SLG OFFICE TRUST 2.85061 7/15/41 835,000 860,287 0.26%
ING GROEP NV 4.625 1/6/26 750,000 851,155 0.26%
FNMA POOL BE4435 3 11/1/46 802,661 850,861 0.26%
MADISON AVENUE TRUST 3.29437 8/15/34 829,000 846,700 0.26%
HUDSON YARDS 2.835 8/10/38 800,000 846,114 0.26%
CONSERVATION FUND 3.474 12/15/29 800,000 844,492 0.25%
CITYLINE COMMERCIAL MORTGAGE T 2.870703 11/10/31 800,000 825,811 0.25%
CITY OF TORONTO CANADA 2.6 9/24/39 1,060,000 819,146 0.25%
CALIFORNIA ST HLTH FACS FING A 2.984 6/1/33 760,000 809,512 0.24%
BROADCOM INC 3.187 11/15/36 800,000 797,677 0.24%
AEGEA FINANCE SARL 5.75 10/10/24 770,000 790,213 0.24%
HONG KONG 2.5 5/28/24 750,000 788,891 0.24%
AERCAP IRELAND CAP/GLOBA 3.5 5/26/22 775,000 788,058 0.24%
MERCADOLIBRE INC 2.375 1/14/26 800,000 788,008 0.24%
KLABIN AUSTRIA GMBH 5.75 4/3/29 700,000 784,882 0.24%
BOSTON MEDICAL CTR CORP 4.519 7/1/26 705,000 779,613 0.24%
YMCA OF GREATER NY 2.303 8/1/26 765,000 767,801 0.23%
GNMA II TBA 30 YR 2 2 10/21/51 750,000 760,371 0.23%
HUDSON YARDS 3.228 7/10/39 700,000 757,429 0.23%
PHILADELPHIA PA WTR WSTWTR R 4.189 10/1/37 665,000 753,023 0.23%
FREDDIE MAC 3.5 2/15/26 713,645 747,542 0.23%
FREDDIE MAC MULTICLASS CERTIFI 1.84848 9/25/45 4,670,000 746,625 0.23%
FNMA POOL BD1165 3 10/1/46 703,151 744,325 0.22%
RIVERSIDE CNTY CA PENSN OBLG 3.07 2/15/28 670,000 724,581 0.22%
RIVERSIDE CNTY CA PENSN OBLG 2.963 2/15/27 670,000 719,796 0.22%
ONE MARKET PLAZA TRUST 3.6139 2/10/32 710,000 718,705 0.22%
MCCORMICK + CO 2.5 4/15/30 700,000 715,692 0.22%
SCENTRE GROUP TRUST 1/2 4.375 5/28/30 615,000 710,200 0.21%
FIFTH THIRD BANCORP 8.25 3/1/38 425,000 704,647 0.21%
HOLOGIC INC 3.25 2/15/29 695,000 698,510 0.21%
COMCAST CORP 3.2 7/15/36 650,000 692,360 0.21%
AMERICAN MUNI PWR OHIO INC OH 6.27 2/15/50 485,000 686,691 0.21%
COMM MORTGAGE TRUST 3.7255 3/10/31 644,000 670,040 0.20%
COMM MORTGAGE TRUST 3.4244 3/10/31 640,000 663,628 0.20%
MORGAN STANLEY 2.699 1/22/31 640,000 660,209 0.20%
TOLL BROS FINANCE CORP 4.35 2/15/28 600,000 657,750 0.20%
STANFORD HEALTH CARE 3.31 8/15/30 595,000 654,362 0.20%
MORGAN STANLEY CAPITAL I TRUST 2.684 11/15/34 650,000 650,838 0.20%
TRUIST FINANCIAL CORP 3.875 3/19/29 575,000 649,253 0.20%
COMMONSPIRIT HEALTH 3.347 10/1/29 600,000 644,865 0.19%
DCERT BUYER INC 0 10/16/26 640,126 641,041 0.19%
NATIONWIDE MUTUAL INSURA 4.35 4/30/50 550,000 626,192 0.19%
MKT 2020 525M MORTGAGE TRUST 2.694 2/12/40 600,000 624,198 0.19%
BLUEHUB LOAN FUND 2.89 1/1/27 600,000 619,240 0.19%
NEW YORK TRANSPRTN DEV CORP LE 4.248 9/1/35 555,000 617,084 0.19%
FREMF MORTGAGE TRUST 3.76503 10/25/52 565,000 614,591 0.19%
MASSACHUSETTS ST EDUCTNL FING 1.921 7/1/27 615,000 612,964 0.18%
FREMF MORTGAGE TRUST 4.462757 12/25/50 550,000 604,598 0.18%
COMM MORTGAGE TRUST 1.67 1/10/38 595,000 602,053 0.18%
AXA SA 8.6 12/15/30 400,000 601,190 0.18%
HOME DEPOT INC 5.95 4/1/41 420,000 599,878 0.18%
FED HM LN PC POOL G08816 3.5 6/1/48 563,654 597,533 0.18%
BANK OF AMERICA CORP 4.083 3/20/51 500,000 590,935 0.18%
JP MORGAN CHASE COMMERCIAL MOR 4.1283 7/5/31 555,000 585,160 0.18%
FANNIE MAE 5.625 7/15/37 391,000 583,014 0.18%
HARBOR FREIGHT TOOLS USA INC 0 10/19/27 573,117 573,540 0.17%
AMGEN INC 3.2 11/2/27 525,000 570,942 0.17%
MASSACHUSETTS ST HLTH EDUCTN 6.432 10/1/35 420,000 570,621 0.17%
BANK OF AMERICA CORP 2.456 10/22/25 545,000 569,695 0.17%
COOK CNTY IL CMNTY HIGH SCH DI 5.019 12/1/41 435,000 565,710 0.17%
BPCE SA 4.875 4/1/26 500,000 563,806 0.17%
AT+T INC 3.55 9/15/55 572,000 563,549 0.17%
CLEARWAY ENERGY OP LLC 3.75 2/15/31 560,000 562,100 0.17%
FREMF MORTGAGE TRUST 3.571843 12/25/51 525,000 559,507 0.17%
BRANDYWINE OPER PARTNERS 4.55 10/1/29 500,000 558,772 0.17%
FREMF MORTGAGE TRUST 3.66023 2/25/52 520,000 557,647 0.17%
OCHSNER CLINIC FOUNDATIO 5.897 5/15/45 400,000 556,589 0.17%
FNMA POOL BC1171 3.5 6/1/46 517,925 555,791 0.17%
FREMF MORTGAGE TRUST 4.052835 8/25/52 500,000 551,392 0.17%
STHRN OH PORT EXEMPT FAC REVEN 6.5 12/1/30 470,000 543,977 0.16%
ERAC USA FINANCE LLC 3.85 11/15/24 500,000 540,965 0.16%
INVEST ENERGY RES LTD 6.25 4/26/29 500,000 540,625 0.16%
BIOGROUP LCD 0 1/28/28 465,000 537,350 0.16%
AIR LEASE CORP 3.625 12/1/27 500,000 536,621 0.16%
VENTAS REALTY LP 3.5 2/1/25 500,000 535,138 0.16%
US BANCORP 3.6 9/11/24 493,000 534,201 0.16%
MORGAN STANLEY CAPITAL I TRUST 0.784 11/15/34 531,000 531,168 0.16%
DIST OF COLUMBIA REVENUE 4.125 7/1/27 500,000 530,841 0.16%
COMM MORTGAGE TRUST 2.446 11/10/46 524,000 529,824 0.16%
AZURE POWER SOLAR ENERGY 5.65 12/24/24 500,000 528,150 0.16%
SBA TOWER TRUST 3.869 10/15/49 500,000 522,913 0.16%
PENNSYLVANIA ST INDL DEV AUTH 3.556 7/1/24 505,000 521,906 0.16%
FHLMC MULTIFAMILY STRUCTURED P 2.800635 10/25/55 2,171,905 508,608 0.15%
PUBLIC SERVICE COLORADO 4.1 6/15/48 420,000 508,033 0.15%
CITIGROUP INC 2.561 5/1/32 500,000 505,524 0.15%
CITIGROUP INC 3.352 4/24/25 475,000 504,617 0.15%
NEW YORK ST TRANSPRTN DEV CORP 3.473 7/1/28 500,000 501,985 0.15%
DIAMOND BC B V 0 9/29/28 500,000 501,000 0.15%
PATTERN ENERGY OP LP/PAT 4.5 8/15/28 475,000 495,781 0.15%
FREMF MORTGAGE TRUST 4.220633 10/25/31 461,000 493,159 0.15%
RUSSELL INVESTMENTS 0 5/30/25 487,551 488,872 0.15%
AMERICAN BUILDERS CONTRACTOR 0 1/15/27 490,000 487,479 0.15%
DIGNITY HEALTH 4.5 11/1/42 408,000 485,596 0.15%
ORLANDO HEALTH OBL GRP 4.416 10/1/44 395,000 484,282 0.15%
FREDDIE MAC 3.5 6/15/26 448,873 471,195 0.14%
HAT HOLDINGS I LLC/HAT 6 4/15/25 450,000 470,813 0.14%
BOSTON PROPERTIES LP 3.65 2/1/26 430,000 468,823 0.14%
ZELIS HEALTHCARE CORPORATION 0 9/30/26 469,068 467,632 0.14%
ALTICE FRANCE SA 0 1/31/26 468,589 465,661 0.14%
BOELS TOPHOLDING BV 0 2/6/27 400,000 463,218 0.14%
OREGON ST HLTH SCIENCE UNIV 5 7/1/45 350,000 461,097 0.14%
DIST OF COLUMBIA REVENUE 3.432 4/1/42 430,000 453,634 0.14%
FNMA POOL BJ6137 3.5 1/1/48 418,947 443,571 0.13%
BIOGEN INC 3.25 2/15/51 448,000 440,088 0.13%
APTIV CORP 4.15 3/15/24 401,000 430,759 0.13%
FREMF MORTGAGE TRUST 3.883583 7/25/26 400,000 426,065 0.13%
VIACOMCBS INC 2.9 1/15/27 400,000 424,971 0.13%
RUSH OBLIGATED GROUP 3.922 11/15/29 375,000 424,185 0.13%
FHLMC MULTIFAMILY STRUCTURED P 0.756217 11/25/29 8,918,929 422,327 0.13%
CLEARWAY ENERGY OP LLC 4.75 3/15/28 400,000 422,148 0.13%
AMERICAN INTL GROUP 3.9 4/1/26 380,000 421,125 0.13%
NATURE CONSERVANCY (THE) 1.154 7/1/27 430,000 419,733 0.13%
THERMO FISHER SCIENTIFIC 4.133 3/25/25 375,000 412,594 0.12%
THERMO FISHER SCIENTIFIC 2.375 4/15/32 305,000 410,494 0.12%
SELF HELP CREDIT 2.5 6/27/22 400,000 407,331 0.12%
GO DADDY OPCO/FINCO 3.5 3/1/29 410,000 406,925 0.12%
AIA GROUP LTD 4.5 3/16/46 325,000 404,624 0.12%
CHANGE HEALTH / FIN INC 5.75 3/1/25 395,000 398,456 0.12%
WRKCO INC 3 9/15/24 375,000 397,945 0.12%
AMERICAN TOWER CORP 5 2/15/24 362,000 397,859 0.12%
FREMF MORTGAGE TRUST 4.302375 5/25/51 355,000 396,079 0.12%
FREMF MORTGAGE TRUST 3.609718 11/25/52 380,000 395,703 0.12%
DC OFFICE TRUST 2.965 9/15/45 370,000 392,285 0.12%
FANNIE MAE 3.5 3/25/27 368,000 391,977 0.12%
COOPERATIEVE RABOBANK UA 3.95 11/9/22 375,000 389,332 0.12%
FANNIE MAE 3.5 8/25/58 357,666 383,946 0.12%
FLORIDA ST BRD OF ADMIN FIN CO 1.258 7/1/25 375,000 379,181 0.11%
ALLINA HEALTH SYSTEM 4.805 11/15/45 291,000 374,682 0.11%
WELLS FARGO COMMERCIAL MORTGAG 3.617 9/15/57 340,000 369,915 0.11%
ARDAGH PKG FIN/HLDGS USA 5.25 8/15/27 360,000 366,975 0.11%
YMCA OF GREATER NY 3.23 8/1/32 375,000 364,982 0.11%
SACRAMENTO CNTY CA PENSN OBLG 5.73 8/15/23 340,000 359,668 0.11%
FHLMC MULTIFAMILY STRUCTURED P 1.026498 9/25/30 4,975,442 358,114 0.11%
FHLMC MULTIFAMILY STRUCTURED P 1.25713 9/25/30 4,067,004 356,674 0.11%
DISCOVER FINANCIAL SVS 3.75 3/4/25 325,000 350,768 0.11%
FNMA POOL BE8063 3 12/1/46 325,632 344,784 0.10%
WISCONSIN ST HLTH EDUCTNL FA 3.94 8/15/41 335,000 341,602 0.10%
DIGNITY HEALTH 5.267 11/1/64 250,000 339,001 0.10%
ROYALTY PHARMA PLC 2.15 9/2/31 350,000 335,593 0.10%
BLACK KNIGHT INFOSERV LL 3.625 9/1/28 330,000 332,063 0.10%
FREMF MORTGAGE TRUST 4.052835 8/25/52 307,000 329,792 0.10%
FHLMC MULTIFAMILY STRUCTURED P 1.483151 6/25/30 3,210,000 329,196 0.10%
ADVOCATE HEALTH CORP 2.211 6/15/30 325,000 329,048 0.10%
CROWN CASTLE INTL CORP 3.7 6/15/26 300,000 327,445 0.10%
MORGAN STANLEY BAML TRUST 4.051 4/15/47 300,000 320,837 0.10%
REGENCY CENTERS LP 3.75 6/15/24 300,000 319,983 0.10%
MORGAN STANLEY BAML TRUST 4.259 10/15/46 300,000 317,517 0.10%
COMM MORTGAGE TRUST 3.183 2/10/48 291,000 310,298 0.09%
GO DADDY OPERATING COMPANY LLC 0 8/10/27 306,900 305,385 0.09%
WASHINGTON ST HSG FIN COMMISSI 4 1/1/24 300,000 304,917 0.09%
STARBUCKS CORP 3.75 12/1/47 275,000 299,412 0.09%
FED HM LN PC POOL Q33602 3 5/1/45 278,424 298,350 0.09%
COMM MORTGAGE TRUST 2.941 1/10/46 287,682 293,578 0.09%
CHICAGO IL TRANSIT AUTH SALES 3.912 12/1/40 260,000 293,385 0.09%
APPLE INC 2.65 5/11/50 300,000 288,073 0.09%
GILEAD SCIENCES INC 1.65 10/1/30 300,000 287,897 0.09%
MET TRANSPRTN AUTH NY REVENUE 5 11/15/50 240,000 287,672 0.09%
CHARTER COMMUNICATIONS OPERATI 0 2/1/27 284,522 283,035 0.09%
MICRON TECHNOLOGY INC 4.64 2/6/24 260,000 282,316 0.09%
REINSURANCE GRP OF AMER 3.95 9/15/26 250,000 276,765 0.08%
TRICOLOR AUTO SECURITIZATION T 0.74 4/15/24 275,638 275,673 0.08%
DANAHER CORP 0 170 275,494 0.08%
SQUARE INC 0.125 3/1/25 135,000 274,370 0.08%
FNMA POOL 932441 4 1/1/40 246,292 272,511 0.08%
BECTON DICKINSON AND CO 0 5,000 269,900 0.08%
FHLMC MULTIFAMILY STRUCTURED P 1.490215 6/25/30 2,549,848 268,349 0.08%
FREMF MORTGAGE TRUST 3.800159 11/25/49 250,000 267,268 0.08%
ETSY INC 0.125 10/1/26 110,000 267,135 0.08%
COOPERATIEVE RABOBANK UA 3.875 9/26/23 250,000 266,506 0.08%
INSULET CORPORATION 0 5/4/28 264,338 265,370 0.08%
BANK 0.763013 11/15/62 5,540,484 262,773 0.08%
BNP PARIBAS 3.8 1/10/24 245,000 261,317 0.08%
FREDDIE MAC 2.5 52215 248,891 259,803 0.08%
BANK 1.900373 3/15/63 1,933,291 259,358 0.08%
BPCE SA 3 5/22/22 250,000 254,324 0.08%
CPT MORTGAGE TRUST 2.865 11/13/39 240,000 253,272 0.08%
VODAFONE GROUP PLC 6.15 2/27/37 185,000 253,041 0.08%
CARMAX AUTO OWNER TRUST 2.7 10/16/23 250,000 251,173 0.08%
AMERICAN TOWER CORP 3.375 5/15/24 235,000 250,430 0.08%
FINASTRA USA, INC. 0 6/13/24 250,538 248,801 0.08%
SHELBY CNTY TN HLTH EDUCTNL H 4 9/1/22 250,000 248,553 0.08%
LENNAR CORP 4.125 1/15/22 245,000 245,306 0.07%
KWG GROUP HOLDINGS 6 8/14/26 275,000 245,062 0.07%
DEXCOM INC 0.25 11/15/25 205,000 243,950 0.07%
FREDDIE MAC 3.5 2/15/26 230,468 241,536 0.07%
FREMF MORTGAGE TRUST 3.881278 11/25/50 220,000 240,765 0.07%
MORGAN STANLEY 3.95 4/23/27 210,000 233,660 0.07%
MARYLAND ST HLTH HGR EDUCTNL 3.968 7/1/27 205,000 232,464 0.07%
FREMF MORTGAGE TRUST 3.893234 9/25/51 204,000 215,964 0.07%
EBAY INC 3.6 6/5/27 195,000 215,842 0.07%
ADEVINTA ASA 0 6/26/28 185,000 214,584 0.06%
ADIENT US LLC 0 4/8/28 209,475 209,793 0.06%
ALIBABA GROUP HOLDING 2.8 6/6/23 200,000 206,923 0.06%
GRAY TELEVISION INC 5.875 7/15/26 200,000 206,700 0.06%
MASSACHUSETTS ST EDUCTNL FING 2.306 7/1/25 200,000 206,627 0.06%
AZURE POWER ENERGY LTD 3.575 8/19/26 200,000 202,999 0.06%
FHLMC MULTIFAMILY STRUCTURED P 1.212427 6/25/30 2,351,014 201,762 0.06%
KAISER FOUNDATION HOSPIT 3.15 5/1/27 185,000 201,011 0.06%
COMM MORTGAGE TRUST 2.173 11/10/46 200,000 200,918 0.06%
ARDAGH METAL PACKAGING 3.25 9/1/28 200,000 199,750 0.06%
WISCONSIN ST HLTH EDUCTNL FA 4.19 8/15/55 190,000 193,994 0.06%
MORGAN STANLEY BAML TRUST 3.526 12/15/47 180,167 192,764 0.06%
COMMONSPIRIT HEALTH 2.782 10/1/30 185,000 190,515 0.06%
SEATTLE SPINCO INC 0 6/21/24 191,114 189,710 0.06%
FREMF MORTGAGE TRUST 4.123055 7/25/49 175,000 186,857 0.06%
GO DADDY OPER CO LLC 0 2/15/24 183,265 182,349 0.06%
LANCASTER CNTY PA HOSP AUTH 5 7/1/24 165,000 180,405 0.05%
PROLOGIS LP 3.25 10/1/26 165,000 179,592 0.05%
NEW YORK LIFE INSURANCE 3.75 5/15/50 160,000 179,079 0.05%
MOSAIC SOLAR LOANS LLC 1.44 8/20/46 179,064 176,834 0.05%
REINSURANCE GRP OF AMER 4.7 9/15/23 164,000 176,446 0.05%
NUVEEN FINANCE LLC 4.125 11/1/24 160,000 175,878 0.05%
BLACKHAWK NETWORK HLDGS INC 0 6/15/25 174,150 173,062 0.05%
FREMF MORTGAGE TRUST 4.21384 7/25/50 155,000 171,542 0.05%
FHLMC MULTIFAMILY STRUCTURED P 1.681042 5/25/30 1,451,590 170,983 0.05%
BENCHMARK MORTGAGE TRUST 1.389059 3/15/62 2,334,382 169,936 0.05%
BRISTOL MYERS SQUIBB CO 3.875 8/15/25 154,000 169,841 0.05%
FNMA POOL 745327 6 3/1/36 145,135 167,434 0.05%
USI INC 0 5/16/24 168,000 167,100 0.05%
PRUDENTIAL PLC 3.125 4/14/30 155,000 166,919 0.05%
GARTNER INC 3.75 10/1/30 160,000 164,872 0.05%
YUZHOU GROUP 6.35 1/13/27 255,000 164,850 0.05%
KIMCO REALTY CORP 3.4 11/1/22 160,000 164,389 0.05%
FHLMC MULTIFAMILY STRUCTURED P 1.535836 5/25/30 1,503,464 163,689 0.05%
FHLMC MULTIFAMILY STRUCTURED P 0.940936 11/25/30 2,418,520 159,803 0.05%
O REILLY AUTOMOTIVE INC 3.8 9/1/22 155,000 158,520 0.05%
BANK 3.314 11/15/50 147,000 158,225 0.05%
BON SECOURS MERCY 1.35 6/1/25 155,000 156,203 0.05%
SAN BERNARDINO CNTY CA PENSN O 6.02 8/1/23 145,000 155,941 0.05%
OKLAHOMA ST DEV FIN AUTH HLTHS 4.65 8/15/30 130,000 152,723 0.05%
LANCASTER CNTY PA HOSP AUTH 5 7/1/25 135,000 151,498 0.05%
FREMF MORTGAGE TRUST 4.173331 7/25/27 136,000 150,343 0.05%
FED HM LN PC POOL G08347 4.5 6/1/39 132,408 148,050 0.04%
FNMA POOL AY3370 2.5 4/1/45 139,221 144,392 0.04%
FNMA POOL AE4192 4 10/1/40 127,314 141,730 0.04%
FED HM LN PC POOL G30614 3.5 12/1/32 130,687 140,105 0.04%
FANNIE MAE 3.5 7/25/54 132,675 138,256 0.04%
FNMA POOL AB4168 3.5 1/1/32 124,457 133,363 0.04%
FANNIE MAE CAS 4.436 5/25/29 126,965 132,430 0.04%
BANK 1.044336 5/15/62 2,139,085 125,299 0.04%
COTY INC 0 4/7/25 125,075 123,199 0.04%
FREDDIE MAC 3.5 12/15/25 117,225 122,924 0.04%
FANNIE MAE 3 2/25/49 114,689 120,564 0.04%
LIFE FINANCIAL SERVICES TRUST 1.484 3/15/38 120,000 120,436 0.04%
HOWARD UNIVERSITY 1.991 10/1/25 120,000 120,436 0.04%
NORTHEASTERN UNIVERSITY 5.285 3/1/32 100,000 120,071 0.04%
FED HM LN PC POOL G01837 5 7/1/35 102,506 117,123 0.04%
FNMA POOL AS3608 2.5 12/1/43 112,516 116,382 0.04%
ZEPHYR GERMAN BIDCO GMBH 0 3/10/28 100,000 115,634 0.03%
FED HM LN PC POOL J17791 3 1/1/27 107,874 114,202 0.03%
FED HM LN PC POOL A37619 4.5 9/1/35 101,332 112,814 0.03%
FNMA POOL AB6472 2 10/1/27 106,485 110,234 0.03%
OKLAHOMA ST UNIV AGRIC MECH 3.427 9/1/36 100,000 109,087 0.03%
FED HM LN PC POOL G06990 5.5 8/1/40 93,229 108,816 0.03%
FNMA POOL MA1931 2.5 6/1/24 104,057 108,363 0.03%
MASSACHUSETTS ST DEV FIN AGY R 4 10/1/27 100,000 108,189 0.03%
FNMA POOL AP9592 3.5 10/1/32 99,012 106,737 0.03%
FREMF MORTGAGE TRUST 4.014893 2/25/50 100,000 106,377 0.03%
FREMF MORTGAGE TRUST 4.079068 9/25/49 100,000 105,713 0.03%
BENCHMARK MORTGAGE TRUST 1.635175 1/15/54 885,728 104,497 0.03%
MARSH + MCLENNAN COS INC 3.3 3/14/23 100,000 103,885 0.03%
UPTOWN DEV AUTH TX INCR CONTRA 2.581 9/1/31 100,000 102,948 0.03%
HOWARD UNIVERSITY 2.657 10/1/26 100,000 102,942 0.03%
COMM MORTGAGE TRUST 2.772948 11/10/46 100,000 102,168 0.03%
COMM MORTGAGE TRUST 2.772948 11/10/46 100,000 99,160 0.03%
FREMF MORTGAGE TRUST 3.974615 10/25/49 90,000 98,661 0.03%
COLONY AMERICAN FINANCE LTD 2.25 12/15/52 100,000 98,313 0.03%
CHG PPC PARENT LLC 0 3/31/25 96,750 96,387 0.03%
FREMF MORTGAGE TRUST 3.800159 11/25/49 90,000 94,797 0.03%
FREMF MORTGAGE TRUST 4.079068 9/25/49 85,000 93,647 0.03%
FNMA POOL AR1524 2 1/1/28 88,322 91,263 0.03%
FED HM LN PC POOL A94362 4 10/1/40 81,565 90,828 0.03%
BWAY MORTGAGE TRUST 2.8093 3/10/33 85,557 88,543 0.03%
NEXSTAR BROADCASTING INC 0 1/17/24 87,074 87,085 0.03%
FED HM LN PC POOL A95085 4 11/1/40 78,868 87,024 0.03%
FHLMC MULTIFAMILY STRUCTURED P 0.811985 12/25/30 1,467,904 86,476 0.03%
FED HM LN PC POOL Q01807 4.5 7/1/36 77,011 85,871 0.03%
FNMA POOL MA1630 4 10/1/33 77,189 84,642 0.03%
FANNIE MAE CAS 3.636 7/25/29 81,285 83,791 0.03%
FNMA POOL AB1343 4.5 8/1/40 74,586 83,667 0.03%
FED HM LN PC POOL G14599 2.5 11/1/27 79,262 83,094 0.03%
VODAFONE GROUP PLC 4.375 2/19/43 70,000 81,466 0.02%
FED HM LN PC POOL G01828 4.5 4/1/35 71,613 79,691 0.02%
FREMF MORTGAGE TRUST 4.128708 5/25/50 70,000 77,080 0.02%
INLAND VLY CA DEV AGY SUCCESSO 5.5 3/1/33 70,000 76,605 0.02%
FNMA POOL 930672 4.5 3/1/39 68,166 76,463 0.02%
FED HM LN PC POOL G02424 5.5 12/1/36 64,754 75,369 0.02%
FED HM LN PC POOL G06079 6 7/1/39 62,569 74,035 0.02%
FED HM LN PC POOL G04997 5 1/1/37 63,560 72,588 0.02%
FNMA POOL MA0949 3.5 1/1/32 68,080 72,388 0.02%
FREMF MORTGAGE TRUST 4.157067 11/25/32 67,000 71,748 0.02%
FREMF MORTGAGE TRUST 3.881278 11/25/50 65,000 68,614 0.02%
FNMA POOL AE0216 4 8/1/40 60,292 66,478 0.02%
FHLMC MULTIFAMILY STRUCTURED P 0.402383 1/25/31 2,465,000 66,081 0.02%
FNMA POOL BE1416 2.5 11/1/31 62,573 65,487 0.02%
FED HM LN PC POOL A89384 4 10/1/39 57,186 63,100 0.02%
DEUTSCHE BANK COMMERCIAL MORTG 1.830336 9/15/53 643,011 62,859 0.02%
FNMA POOL 995243 4.5 8/1/38 55,626 62,356 0.02%
FED HM LN PC POOL A89148 4 10/1/39 56,055 62,050 0.02%
COX COMMUNICATIONS INC 3.15 8/15/24 57,000 60,363 0.02%
VERIZON COMMUNICATIONS 2.355 3/15/32 61,000 60,315 0.02%
FNMA POOL 190370 6 6/1/36 50,646 59,908 0.02%
BENCHMARK MORTGAGE TRUST 1.918332 7/15/53 504,364 55,444 0.02%
FNMA POOL AE0625 4 12/1/40 47,189 53,185 0.02%
FREDDIE MAC STACR 1.736 4/25/43 52,657 52,816 0.02%
FNMA POOL MA0639 4 2/1/41 47,811 52,667 0.02%
FHLMC MULTIFAMILY STRUCTURED P 0.844832 9/25/27 1,297,448 52,666 0.02%
FED HM LN PC POOL Q06160 4 2/1/37 47,694 52,651 0.02%
FHLMC MULTIFAMILY STRUCTURED P 1.123751 10/25/30 664,071 52,554 0.02%
FNMA POOL AL1627 4.5 9/1/41 45,547 51,052 0.02%
FNMA POOL 995082 5.5 8/1/37 43,408 50,380 0.02%
FED HM LN PC POOL A93101 5 7/1/40 43,962 50,067 0.02%
SS C TECHNOLOGIES INC 0 4/16/25 50,233 49,790 0.02%
MARYLAND ST HLTH HGR EDUCTNL 4.168 7/1/29 40,000 46,568 0.01%
FED HM LN PC POOL 849167 3.015 10/1/43 44,297 46,043 0.01%
FED HM LN PC POOL A97047 4.5 2/1/41 40,171 44,910 0.01%
FED HM LN PC POOL Q00291 5 4/1/41 39,021 44,388 0.01%
FREMF MORTGAGE TRUST 3.853406 10/25/49 40,000 42,149 0.01%
FNMA POOL BD1153 3 8/1/46 38,030 40,152 0.01%
FED HM LN PC POOL A95796 4 12/1/40 35,489 38,976 0.01%
SS C TECHNOLOGIES INC 0 4/16/25 38,038 37,703 0.01%
FNMA POOL AC9564 4.5 2/1/40 32,049 35,951 0.01%
FED HM LN PC POOL A87874 4 8/1/39 29,249 32,570 0.01%
FNMA POOL AD1649 4 3/1/40 28,636 31,681 0.01%
FNMA POOL AA9846 4 8/1/39 28,317 31,228 0.01%
FED HM LN PC POOL A89729 4 11/1/39 27,834 30,810 0.01%
FNMA POOL 889529 6 3/1/38 25,900 30,638 0.01%
FNMA POOL AE0215 4 12/1/39 26,795 29,532 0.01%
FED HM LN PC POOL G08499 3 7/1/42 27,265 28,975 0.01%
FED HM LN PC POOL J20118 2.5 8/1/27 27,647 28,930 0.01%
FNMA POOL AC1877 4.5 9/1/39 25,388 28,219 0.01%
MA FINANCECO LLC 0 6/21/24 28,300 28,092 0.01%
FNMA POOL AL0049 6 12/1/35 23,135 26,701 0.01%
FNMA POOL AL0005 4.5 1/1/41 22,747 25,392 0.01%
FNMA POOL AJ5974 4 12/1/36 22,766 25,183 0.01%
FHLMC MULTIFAMILY STRUCTURED P 0.973885 11/25/30 364,598 25,169 0.01%
FNMA POOL 745044 4.5 8/1/35 22,551 25,073 0.01%
FNMA POOL AE0624 4 11/1/40 21,789 24,038 0.01%
FED HM LN PC POOL A93996 4.5 9/1/40 20,144 22,523 0.01%
FNMA POOL AE4113 4 10/1/40 19,674 21,702 0.01%
FNMA POOL AC2817 4 10/1/39 18,962 20,914 0.01%
FNMA POOL AI7951 4.5 8/1/36 18,499 20,419 0.01%
FED HM LN PC POOL G01838 5 7/1/35 17,327 19,797 0.01%
FNMA POOL AS8449 2.5 12/1/31 18,230 19,082 0.01%
FED HM LN PC POOL G01779 5 4/1/35 15668.61 17,905 0.01%
FNMA POOL AE5143 4 11/1/40 15155.63 16,770 0.01%
FNMA POOL 890248 6 8/1/37 13750.62 16,120 0.00%
FED HM LN PC POOL A94742 4 11/1/40 14071.47 15,504 0.00%
FED HM LN PC POOL A12413 5 8/1/33 13416.03 15,287 0.00%
FNMA POOL AW4685 1.89 5/1/44 14203.68 14,645 0.00%
FNMA POOL AB1763 4 11/1/30 12171.07 13,125 0.00%
FED HM LN PC POOL Z40004 6 8/1/36 10349.31 12,245 0.00%
FNMA POOL AD8033 4 8/1/40 10859.91 12,018 0.00%
FED HM LN PC POOL A95084 4 11/1/40 9836.08 10,888 0.00%
COX COMMUNICATIONS INC 3.85 2/1/25 10000 10,799 0.00%
FNMA POOL MA0919 3.5 12/1/31 7032.04 7,477 0.00%
FED HM LN PC POOL G05052 5 10/1/33 6486.94 7,202 0.00%
FED HM LN PC POOL Q17103 4 6/1/41 6587.53 7,067 0.00%
FNMA POOL AC5401 5 10/1/39 2808.36 3,216 0.00%
BROADCOM INC 5 4/15/30 0 0 0.00%

The composition of the Fund’s portfolio is subject to change.


Check the background of DSIL Investment Services LLC and its investment professionals on FINRA's BrokerCheck. Before investing, consider the Domini Funds’ investment objectives, risks, charges, and expenses. View or order a prospectus. Read it carefully.

DSIL Investment Services LLC (DSILD) distributor, Member FINRA.

Domini Impact Investments LLC (Domini) is the Funds’ investment manager. The Funds are subadvised by unaffiliated entities.

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