The
following
abbreviations
are
used
in
the
report:
(c)
Security
exempt
from
registration
under
Rule
144A
of
the
Securities
Act
of
1933,
as
amended.
The
security
may
be
resold
in
transactions
exempt
from
registration
normally
to
qualified
institutional
buyers.
The
aggregate
value
is
$744,388,804,
which
is
33.16%
of
net
assets.
These
securities
have
been
determined
to
be
liquid
in
accordance
with
procedures
adopted
by
the
Fund’s
Board
of
Directors
except
as
indicated
in
(e).
(d)
Perpetual
security
with
no
stated
maturity
date.
(e)
These
securities
have
been
determined
to
be
illiquid
in
accordance
with
procedures
adopted
by
the
Fund’s
Board
of
Directors.
(f)
Zero
coupon
security.
The
rate
represents
the
yield
at
time
of
purchase.
(g)
The
rate
shown
represents
the
current
yield
as
of
January
31,
2023.
Reference
Entity
Counterparty
Payment/
Expiration
Date
Notional
Amount
(000)
Value
Upfront
Premium
Paid
(Received)
Unrealized
Appreciation
Total
Return
Swaps
Total
return
swap
with
Barclays
Barclays
Bank
Plc
02/06/2024
$
50,000
$
929,580
$
–
$
929,580
receiving
total
return
of
the
Barclays
US
Mortgage
Backed
Securities
Index
over
the
initial
level
of
2,045.18
and
paying
a
(SOFR
RATE
+
0.750%)
at
expiration
date
Total
Total
Return
Swaps
$
929,580
CDI
—
Chess
Depositary
Interests
CLO
—
Collateralized
Loan
Obligation
ETF
—
Exchange-Traded
Fund
GMTN
—
Global
Medium
Term
Note
LIBOR
—
London
Interbank
Offered
Rate
MTN
—
Medium
Term
Note
REIT
—
Real
Estate
Investment
Trust
SOFR
—
Secured
Overnight
Financing
Rate
SOFR
30A
—
Secured
Overnight
Financing
Rate
30
Day
Average
USD
SPDR
—
Standard
&
Poor's
Depositary
Receipt
STEP
—
Step
Coupon
Bond
USD
—
U.S.
Dollar
Portfolio
Diversification
by
Sector
(Unaudited)
Sector:
Percentage
of
Net
Assets
Asset-Backed
Securities
.........................
16.5
%
Bank
Loans
.................................
0.3
Corporate
Bonds
.............................
9.0
Exchange-Traded
Funds
........................
19.3
Non-Agency
Mortgage-Backed
Securities
............
25.2
Preferred
Stocks
..............................
0.2
U.S.
Government
Agencies
and
Securities
...........
23.1
Other
*
......................................
6.4
100.0%
*
Includes
cash
and
equivalents,
swap
agreements,
pending
trades
and
Fund
share
transactions,
interest
and
dividends
receivable,
prepaids
and
accrued
expenses
payable.