Principal Amount† | | | | | | Value | | | | Percentage of Net Assets | |
CORPORATE BONDS/NOTES: 11.5% | | | | | | | | |
| | | Basic Materials: 0.9% | | | | | | | | |
1,250,000(1) | | | Alpek SAB de CV, 4.250%, 09/18/2029 | | $ | 1,277,187 | | | | 0.1 | |
1,925,000(1) | | | Anglo American Capital PLC, 3.625%, 09/11/2024 | | | 1,996,590 | | | | 0.1 | |
700,000(1) | | | Aruba Investments, Inc., 8.750%, 02/15/2023 | | | 698,540 | | | | 0.0 | |
250,000(1) | | | Braskem Netherlands Finance BV, 4.500%, 01/31/2030 | | | 249,125 | | | | 0.0 | |
1,500,000(1) | | | Celulosa Arauco y Constitucion SA, 4.250%, 04/30/2029 | | | 1,526,771 | | | | 0.1 | |
525,000 | | | Cleveland-Cliffs, Inc., 5.750%, 03/01/2025 | | | 519,422 | | | | 0.0 | |
1,500,000 | | | CNAC HK Finbridge Co. Ltd., 5.125%, 03/14/2028 | | | 1,691,094 | | | | 0.1 | |
525,000(1) | | | Compass Minerals International, Inc., 6.750%, 12/01/2027 | | | 558,784 | | | | 0.0 | |
250,000(1) | | | Constellium SE, 5.750%, 05/15/2024 | | | 257,604 | | | | 0.0 | |
550,000(1) | | | Constellium SE, 6.625%, 03/01/2025 | | | 572,049 | | | | 0.0 | |
1,250,000(1) | | | Evraz PLC, 5.250%, 04/02/2024 | | | 1,358,031 | | | | 0.1 | |
600,000(1) | | | First Quantum Minerals Ltd., 6.500%, 03/01/2024 | | | 602,751 | | | | 0.0 | |
550,000 | | | Freeport-McMoRan, Inc., 4.550%, 11/14/2024 | | | 582,541 | | | | 0.0 | |
750,000(1) | | | Gold Fields Orogen Holdings BVI Ltd., 5.125%, 05/15/2024 | | | 802,564 | | | | 0.0 | |
1,200,000 | | | International Paper Co., 4.350%, 08/15/2048 | | | 1,275,939 | | | | 0.1 | |
1,800,000(1) | | | MMK International Capital DAC, 4.375%, 06/13/2024 | | | 1,904,029 | | | | 0.1 | |
750,000(1) | | | Novelis Corp., 5.875%, 09/30/2026 | | | 799,821 | | | | 0.0 | |
175,000(1) | | | Novelis Corp., 6.250%, 08/15/2024 | | | 183,967 | | | | 0.0 | |
300,000(1) | | | OCI NV, 5.250%, 11/01/2024 | | | 312,750 | | | | 0.0 | |
600,000(1) | | | OCI NV, 6.625%, 04/15/2023 | | | 627,600 | | | | 0.0 | |
500,000 | | | Olin Corp., 5.125%, 09/15/2027 | | | 522,411 | | | | 0.0 | |
700,000(1) | | | Schweitzer-Mauduit International, Inc., 6.875%, 10/01/2026 | | | 756,243 | | | | 0.0 | |
2,500,000(1) | | | Severstal OAO Via Steel Capital SA, 3.150%, 09/16/2024 | | | 2,515,625 | | | | 0.1 | |
350,000 | | | Southern Copper Corp., 5.875%, 04/23/2045 | | | 438,780 | | | | 0.0 | |
420,000(1) | | | SPCM SA, 4.875%, 09/15/2025 | | | 437,846 | | | | 0.0 | |
1,350,000 | | | Suzano Austria GmbH, 5.000%, 01/15/2030 | | | 1,421,510 | | | | 0.1 | |
750,000 | | | Teck Resources Ltd., 5.200%, 03/01/2042 | | | 770,443 | | | | 0.0 | |
550,000(1) | | | Tronox, Inc., 6.500%, 04/15/2026 | | | 567,999 | | | | 0.0 | |
500,000(1) | | | Univar Solutions USA, Inc., 5.125%, 12/01/2027 | | | 522,815 | | | | 0.0 | |
| | | | | | 25,750,831 | | | | 0.9 | |
| | | | | | | | | | | |
| | | Communications: 1.9% | | | | | | | | |
250,000(1) | | | Altice France SA/France, 8.125%, 02/01/2027 | | | 282,025 | | | | 0.0 | |
400,000(1) | | | Altice Luxembourg SA, 7.625%, 02/15/2025 | | | 417,000 | | | | 0.0 | |
800,000(1) | | | Altice Luxembourg SA, 10.500%, 05/15/2027 | | | 913,520 | | | | 0.1 | |
550,000(1) | | | Altice Finco SA, 7.625%, 02/15/2025 | | | 570,853 | | | | 0.0 | |
725,000 | | | AMC Networks, Inc., 4.750%, 08/01/2025 | | | 729,230 | | | | 0.0 | |
290,000 | | | AT&T, Inc., 3.400%, 05/15/2025 | | | 303,982 | | | | 0.0 | |
1,068,000 | | | AT&T, Inc., 4.500%, 03/09/2048 | | | 1,180,240 | | | | 0.1 | |
500,000 | | | AT&T, Inc., 5.150%, 02/15/2050 | | | 602,355 | | | | 0.0 | |
650,000(1) | | | Block Communications, Inc., 6.875%, 02/15/2025 | | | 675,993 | | | | 0.0 | |
800,000(1) | | | C&W Senior Financing DAC, 7.500%, 10/15/2026 | | | 868,146 | | | | 0.1 | |
475,000 | | | Cablevision Systems Corp., 5.875%, 09/15/2022 | | | 512,658 | | | | 0.0 | |
278,000 | | | ViacomCBS, Inc., 4.000%, 01/15/2026 | | | 298,134 | | | | 0.0 | |
925,000(1) | | | CCO Holdings LLC / CCO Holdings Capital Corp., 5.125%, 05/01/2027 | | | 977,586 | | | | 0.1 | |
400,000(1) | | | CCO Holdings LLC / CCO Holdings Capital Corp., 5.000%, 02/01/2028 | | | 420,468 | | | | 0.0 | |
1,500,000(1) | | | CCO Holdings LLC / CCO Holdings Capital Corp., 5.750%, 02/15/2026 | | | 1,585,305 | | | | 0.1 | |
325,000(1) | | | CCO Holdings LLC / CCO Holdings Capital Corp., 5.875%, 04/01/2024 | | | 336,646 | | | | 0.0 | |
295,000(1) | | | CCO Holdings LLC / CCO Holdings Capital Corp., 4.750%, 03/01/2030 | | | 301,455 | | | | 0.0 | |
100,000 | | | CenturyLink, Inc., 5.625%, 04/01/2020 | | | 100,744 | | | | 0.0 | |
545,000 | | | CenturyLink, Inc., 5.625%, 04/01/2025 | | | 580,226 | | | | 0.0 | |
410,000 | | | CenturyLink, Inc., 5.800%, 03/15/2022 | | | 431,750 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | Percentage of Net Assets | |
CORPORATE BONDS/NOTES: (continued) | | | | | | | | |
| | | Communications: (continued) | | | | | | | | |
273,000 | | | Charter Communications Operating LLC / Charter Communications Operating Capital, 4.464%, 07/23/2022 | | $ | 286,922 | | | | 0.0 | |
700,000(1) | | | Clear Channel Worldwide Holdings, Inc., 9.250%, 02/15/2024 | | | 776,709 | | | | 0.0 | |
80,000 | | | Comcast Corp., 4.250%, 01/15/2033 | | | 92,592 | | | | 0.0 | |
1,750,000 | | | Comcast Corp., 4.700%, 10/15/2048 | | | 2,157,075 | | | | 0.1 | |
60,000 | | | Comcast Corp., 5.650%, 06/15/2035 | | | 78,882 | | | | 0.0 | |
1,000,000(1) | | | CommScope Tech Finance LLC, 6.000%, 06/15/2025 | | | 1,003,630 | | | | 0.1 | |
450,000(1) | | | CommScope Technologies LLC, 5.000%, 03/15/2027 | | | 424,136 | | | | 0.0 | |
675,000(1) | | | Connect Finco SARL / Connect US Finco LLC, 6.750%, 10/01/2026 | | | 719,719 | | | | 0.0 | |
1,325,000(2) | | | CSC Holdings LLC, 5.250%, 06/01/2024 | | | 1,430,450 | | | | 0.1 | |
700,000(1) | | | CSC Holdings LLC, 5.500%, 05/15/2026 | | | 742,744 | | | | 0.0 | |
400,000(1) | | | CSC Holdings LLC, 5.750%, 01/15/2030 | | | 427,500 | | | | 0.0 | |
400,000(1) | | | CSC Holdings LLC, 7.500%, 04/01/2028 | | | 452,929 | | | | 0.0 | |
575,000(1) | | | Cumulus Media New Holdings, Inc., 6.750%, 07/01/2026 | | | 617,046 | | | | 0.0 | |
500,000(1) | | | Diamond Sports Group LLC / Diamond Sports Finance Co., 5.375%, 08/15/2026 | | | 506,713 | | | | 0.0 | |
900,000(1),(2) | | | Diamond Sports Group LLC / Diamond Sports Finance Co., 6.625%, 08/15/2027 | | | 876,915 | | | | 0.1 | |
1,282,000 | | | Discovery Communications LLC, 2.950%, 03/20/2023 | | | 1,306,587 | | | | 0.1 | |
625,000 | | | DISH DBS Corp., 5.000%, 03/15/2023 | | | 642,712 | | | | 0.0 | |
275,000 | | | DISH DBS Corp., 5.875%, 07/15/2022 | | | 291,989 | | | | 0.0 | |
800,000 | | | DISH DBS Corp., 5.875%, 11/15/2024 | | | 819,168 | | | | 0.0 | |
700,000 | | | Embarq Corp., 7.995%, 06/01/2036 | | | 741,492 | | | | 0.0 | |
575,000(1),(2) | | | Entercom Media Corp., 7.250%, 11/01/2024 | | | 606,864 | | | | 0.0 | |
375,000(1) | | | Frontier Communications Corp., 8.000%, 04/01/2027 | | | 392,569 | | | | 0.0 | |
525,000 | | | Frontier Communications Corp., 11.000%, 09/15/2025 | | | 255,938 | | | | 0.0 | |
200,000(1) | | | GCI LLC, 6.625%, 06/15/2024 | | | 217,083 | | | | 0.0 | |
675,000(1) | | | Gray Television, Inc., 5.125%, 10/15/2024 | | | 701,720 | | | | 0.0 | |
500,000(1) | | | Gray Television, Inc., 7.000%, 05/15/2027 | | | 556,550 | | | | 0.0 | |
650,000 | | | Hughes Satellite Systems Corp., 6.625%, 08/01/2026 | | | 723,351 | | | | 0.0 | |
225,000(1) | | | iHeartCommunications, Inc., 5.250%, 08/15/2027 | | | 235,834 | | | | 0.0 | |
750,000 | | | iHeartCommunications, Inc., 8.375%, 05/01/2027 | | | 830,138 | | | | 0.1 | |
225,000(1),(2) | | | Intelsat Connect Finance SA, 9.500%, 02/15/2023 | | | 157,995 | | | | 0.0 | |
450,000(1) | | | Intelsat Jackson Holdings SA, 8.500%, 10/15/2024 | | | 410,812 | | | | 0.0 | |
600,000(2) | | | Intelsat Luxembourg SA, 8.125%, 06/01/2023 | | | 356,244 | | | | 0.0 | |
600,000(1) | | | LCPR Senior Secured Financing DAC, 6.750%, 10/15/2027 | | | 637,110 | | | | 0.0 | |
225,000 | | | Level 3 Financing, Inc., 5.125%, 05/01/2023 | | | 226,875 | | | | 0.0 | |
675,000 | | | Level 3 Financing, Inc., 5.250%, 03/15/2026 | | | 703,249 | | | | 0.0 | |
750,000(1) | | | MDC Partners, Inc., 6.500%, 05/01/2024 | | | 680,625 | | | | 0.0 | |
475,000(1) | | | Midcontinent Communications / Midcontinent Finance Corp., 5.375%, 08/15/2027 | | | 503,665 | | | | 0.0 | |
175,000(1) | | | Netflix, Inc., 4.875%, 06/15/2030 | | | 178,058 | | | | 0.0 | |
825,000 | | | Netflix, Inc., 5.875%, 11/15/2028 | | | 916,088 | | | | 0.1 | |
750,000(1) | | | Nexstar Broadcasting, Inc., 5.625%, 08/01/2024 | | | 783,439 | | | | 0.0 | |
650,000(1) | | | Nexstar Broadcasting, Inc., 5.625%, 07/15/2027 | | | 686,173 | | | | 0.0 | |
450,000(1) | | | Altice France SA/France, 7.375%, 05/01/2026 | | | 483,971 | | | | 0.0 | |
1,966,000 | | | Omnicom Group, Inc. / Omnicom Capital, Inc., 3.650%, 11/01/2024 | | | 2,077,478 | | | | 0.1 | |
700,000(1) | | | Plantronics, Inc., 5.500%, 05/31/2023 | | | 685,993 | | | | 0.0 | |
550,000(1) | | | Sinclair Television Group, Inc., 5.125%, 02/15/2027 | | | 566,691 | | | | 0.0 | |
150,000(1) | | | Sinclair Television Group, Inc., 5.625%, 08/01/2024 | | | 154,625 | | | | 0.0 | |
325,000(1) | | | Sirius XM Radio, Inc., 4.625%, 07/15/2024 | | | 341,928 | | | | 0.0 | |
950,000(1) | | | Sirius XM Radio, Inc., 5.000%, 08/01/2027 | | | 1,004,008 | | | | 0.1 | |
725,000 | | | Sprint Communications, Inc., 6.000%, 11/15/2022 | | | 761,634 | | | | 0.0 | |
1,600,000 | | | Sprint Corp., 7.125%, 06/15/2024 | | | 1,729,336 | | | | 0.1 | |
725,000 | | | Sprint Corp., 7.625%, 03/01/2026 | | | 800,871 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | Percentage of Net Assets | |
CORPORATE BONDS/NOTES: (continued) | | | | | | | | |
| | | Communications: (continued) | | | | | | | | |
575,000(1) | | | TEGNA, Inc., 5.000%, 09/15/2029 | | $ | 585,781 | | | | 0.0 | |
1,025,000 | | | Telecom Italia Capital SA, 6.375%, 11/15/2033 | | | 1,139,646 | | | | 0.1 | |
575,000(1) | | | Telesat Canada / Telesat LLC, 6.500%, 10/15/2027 | | | 600,501 | | | | 0.0 | |
700,000(1) | | | Terrier Media Buyer, Inc., 8.875%, 12/15/2027 | | | 742,000 | | | | 0.0 | |
259,000 | | | Time Warner Cable LLC, 5.000%, 02/01/2020 | | | 259,490 | | | | 0.0 | |
1,250,000 | | | T-Mobile USA, Inc., 5.375%, 04/15/2027 | | | 1,334,153 | | | | 0.1 | |
220,000(1) | | | Townsquare Media, Inc., 6.500%, 04/01/2023 | | | 223,941 | | | | 0.0 | |
1,800,000 | | | Verizon Communications, Inc., 4.522%, 09/15/2048 | | | 2,156,266 | | | | 0.1 | |
550,000(3) | | | ViacomCBS, Inc., 6.250%, 02/28/2057 | | | 610,926 | | | | 0.0 | |
625,000(1) | | | ViaSat, Inc., 5.625%, 09/15/2025 | | | 645,053 | | | | 0.0 | |
150,000(1) | | | ViaSat, Inc., 5.625%, 04/15/2027 | | | 160,778 | | | | 0.0 | |
800,000(1) | | | Virgin Media Secured Finance PLC, 5.500%, 05/15/2029 | | | 848,480 | | | | 0.1 | |
475,000 | | | Zayo Group LLC / Zayo Capital, Inc., 6.000%, 04/01/2023 | | | 486,678 | | | | 0.0 | |
200,000(1) | | | Ziggo BV, 4.875%, 01/15/2030 | | | 206,927 | | | | 0.0 | |
| | | | | | 55,851,761 | | | | 1.9 | |
| | | | | | | | | | | |
| | | Consumer, Cyclical: 1.4% | | | | | | | | |
1,300,000(1) | | | 1011778 BC ULC / New Red Finance, Inc., 5.000%, 10/15/2025 | | | 1,344,961 | | | | 0.1 | |
700,000(1) | | | Adient Global Holdings Ltd., 4.875%, 08/15/2026 | | | 626,517 | | | | 0.0 | |
575,000(1) | | | Allison Transmission, Inc., 5.875%, 06/01/2029 | | | 630,960 | | | | 0.0 | |
975,000 | | | AMC Entertainment Holdings, Inc., 5.875%, 11/15/2026 | | | 880,983 | | | | 0.1 | |
325,000(1) | | | American Builders & Contractors Supply Co., Inc., 4.000%, 01/15/2028 | | | 330,476 | | | | 0.0 | |
775,000 | | | Asbury Automotive Group, Inc., 6.000%, 12/15/2024 | | | 801,803 | | | | 0.0 | |
450,000(1) | | | Ashton Woods USA LLC / Ashton Woods Finance Co., 6.750%, 08/01/2025 | | | 461,437 | | | | 0.0 | |
875,000(1) | | | Caesars Resort Collection LLC / CRC Finco, Inc., 5.250%, 10/15/2025 | | | 906,719 | | | | 0.1 | |
475,000(1) | | | CCM Merger, Inc., 6.000%, 03/15/2022 | | | 485,688 | | | | 0.0 | |
400,000 | | | Cedar Fair L.P. / Canada's Wonderland Co. / Magnum Management Corp., 5.375%, 06/01/2024 | | | 412,166 | | | | 0.0 | |
800,000(1) | | | Cedar Fair L.P., 5.250%, 07/15/2029 | | | 863,480 | | | | 0.1 | |
850,000 | | | Century Communities, Inc., 5.875%, 07/15/2025 | | | 887,540 | | | | 0.1 | |
200,000(1),(4) | | | Core & Main Holdings L.P., 8.625% (PIK Rate 9.375%, Cash Rate 8.625%), 09/15/2024 | | | 208,583 | | | | 0.0 | |
600,000(1) | | | Core & Main L.P., 6.125%, 08/15/2025 | | | 623,994 | | | | 0.0 | |
925,000 | | | Dana, Inc., 5.500%, 12/15/2024 | | | 953,522 | | | | 0.1 | |
550,000(1) | | | Golden Entertainment, Inc., 7.625%, 04/15/2026 | | | 593,930 | | | | 0.0 | |
975,000(1) | | | Golden Nugget, Inc., 6.750%, 10/15/2024 | | | 1,011,553 | | | | 0.1 | |
950,000 | | | H&E Equipment Services, Inc., 5.625%, 09/01/2025 | | | 997,894 | | | | 0.1 | |
525,000(1) | | | IAA, Inc., 5.500%, 06/15/2027 | | | 558,784 | | | | 0.0 | |
500,000(1) | | | Installed Building Products, Inc., 5.750%, 02/01/2028 | | | 535,799 | | | | 0.0 | |
400,000(1) | | | International Game Technology PLC, 6.250%, 02/15/2022 | | | 422,712 | | | | 0.0 | |
600,000(1) | | | International Game Technology PLC, 6.500%, 02/15/2025 | | | 674,994 | | | | 0.0 | |
1,050,000 | | | L Brands, Inc., 6.750%, 07/01/2036 | | | 924,105 | | | | 0.1 | |
825,000 | | | Lennar Corp., 5.250%, 06/01/2026 | | | 905,724 | | | | 0.1 | |
450,000 | | | Lennar Corp., 5.375%, 10/01/2022 | | | 481,640 | | | | 0.0 | |
675,000(1) | | | Lions Gate Capital Holdings LLC, 5.875%, 11/01/2024 | | | 687,093 | | | | 0.0 | |
625,000(1) | | | Live Nation Entertainment, Inc., 4.750%, 10/15/2027 | | | 648,031 | | | | 0.0 | |
725,000 | | | M/I Homes, Inc., 5.625%, 08/01/2025 | | | 761,551 | | | | 0.0 | |
160,000 | | | M/I Homes, Inc., 6.750%, 01/15/2021 | | | 160,664 | | | | 0.0 | |
925,000(1) | | | Mattel, Inc., 5.875%, 12/15/2027 | | | 976,430 | | | | 0.1 | |
700,000(2) | | | Men's Wearhouse, Inc./The, 7.000%, 07/01/2022 | | | 670,468 | | | | 0.0 | |
525,000 | | | Meritage Homes Corp., 5.125%, 06/06/2027 | | | 560,620 | | | | 0.0 | |
425,000 | | | Meritage Homes Corp., 6.000%, 06/01/2025 | | | 476,176 | | | | 0.0 | |
175,000 | | | MGM Resorts International, 5.500%, 04/15/2027 | | | 194,574 | | | | 0.0 | |
450,000 | | | MGM Resorts International, 5.750%, 06/15/2025 | | | 505,121 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | Percentage of Net Assets | |
CORPORATE BONDS/NOTES: (continued) | | | | | | | �� | |
| | | Consumer, Cyclical: (continued) | | | | | | | | |
650,000 | | | MGM Resorts International, 6.000%, 03/15/2023 | | $ | 714,730 | | | | 0.0 | |
650,000(1) | | | Michaels Stores, Inc., 8.000%, 07/15/2027 | | | 621,953 | | | | 0.0 | |
450,000(1),(2) | | | Motion Bondco DAC, 6.625%, 11/15/2027 | | | 477,563 | | | | 0.0 | |
75,000 | | | Murphy Oil USA, Inc., 4.750%, 09/15/2029 | | | 79,344 | | | | 0.0 | |
735,000 | | | Murphy Oil USA, Inc., 5.625%, 05/01/2027 | | | 790,380 | | | | 0.0 | |
675,000(1) | | | Navistar International Corp., 6.625%, 11/01/2025 | | | 689,064 | | | | 0.0 | |
650,000(1) | | | Penn National Gaming, Inc., 5.625%, 01/15/2027 | | | 688,774 | | | | 0.0 | |
575,000(1) | | | Performance Food Group, Inc., 5.500%, 10/15/2027 | | | 615,983 | | | | 0.0 | |
425,000(1) | | | PetSmart, Inc., 5.875%, 06/01/2025 | | | 434,031 | | | | 0.0 | |
700,000(1) | | | PetSmart, Inc., 7.125%, 03/15/2023 | | | 687,750 | | | | 0.0 | |
775,000(1) | | | Resideo Funding, Inc., 6.125%, 11/01/2026 | | | 782,769 | | | | 0.0 | |
550,000(1) | | | Scientific Games International, Inc., 5.000%, 10/15/2025 | | | 577,500 | | | | 0.0 | |
85,000 | | | Scientific Games International, Inc., 6.625%, 05/15/2021 | | | 86,415 | | | | 0.0 | |
325,000(1) | | | Scientific Games International, Inc., 7.000%, 05/15/2028 | | | 348,351 | | | | 0.0 | |
825,000(1) | | | Scientific Games International, Inc., 8.250%, 03/15/2026 | | | 911,109 | | | | 0.1 | |
375,000(1) | | | Silversea Cruise Finance Ltd., 7.250%, 02/01/2025 | | | 397,656 | | | | 0.0 | |
600,000(1) | | | Six Flags Entertainment Corp., 5.500%, 04/15/2027 | | | 640,860 | | | | 0.0 | |
725,000 | | | Sonic Automotive, Inc., 6.125%, 03/15/2027 | | | 757,877 | | | | 0.0 | |
425,000(1) | | | Speedway Motorsports LLC / Speedway Funding II, Inc., 4.875%, 11/01/2027 | | | 431,906 | | | | 0.0 | |
325,000(1) | | | Staples, Inc., 7.500%, 04/15/2026 | | | 337,797 | | | | 0.0 | |
550,000(1) | | | Staples, Inc., 10.750%, 04/15/2027 | | | 559,268 | | | | 0.0 | |
825,000(1) | | | Station Casinos LLC, 5.000%, 10/01/2025 | | | 841,500 | | | | 0.1 | |
400,000(1) | | | Taylor Morrison Communities, Inc., 5.750%, 01/15/2028 | | | 437,139 | | | | 0.0 | |
725,000 | | | Tempur Sealy International, Inc., 5.500%, 06/15/2026 | | | 765,310 | | | | 0.0 | |
550,000 | | | United Airlines Holdings, Inc., 4.875%, 01/15/2025 | | | 584,603 | | | | 0.0 | |
875,000(1) | | | Viking Cruises Ltd., 5.875%, 09/15/2027 | | | 936,775 | | | | 0.1 | |
500,000(1) | | | William Carter Co/The, 5.625%, 03/15/2027 | | | 538,661 | | | | 0.0 | |
250,000(1) | | | WMG Acquisition Corp., 5.000%, 08/01/2023 | | | 256,354 | | | | 0.0 | |
725,000(1) | | | Wolverine World Wide, Inc., 5.000%, 09/01/2026 | | | 737,688 | | | | 0.0 | |
| | | | | | 39,895,802 | | | | 1.4 | |
| | | | | | | | | | | |
| | | Consumer, Non-cyclical: 1.9% | | | | | | | | |
1,092,000 | | | AbbVie, Inc., 3.750%, 11/14/2023 | | | 1,149,309 | | | | 0.1 | |
1,000,000 | | | AbbVie, Inc., 4.875%, 11/14/2048 | | | 1,146,990 | | | | 0.1 | |
100,000 | | | Acadia Healthcare Co., Inc., 5.625%, 02/15/2023 | | | 101,833 | | | | 0.0 | |
675,000 | | | Acadia Healthcare Co., Inc., 6.500%, 03/01/2024 | | | 701,436 | | | | 0.0 | |
277,000 | | | Allergan Funding SCS, 3.000%, 03/12/2020 | | | 277,212 | | | | 0.0 | |
875,000(1) | | | Adani Ports & Special Economic Zone Ltd., 4.375%, 07/03/2029 | | | 907,564 | | | | 0.0 | |
525,000(1) | | | Albertsons Cos, Inc. / Safeway, Inc. / New Albertsons L.P. / Albertsons LLC, 5.875%, 02/15/2028 | | | 558,784 | | | | 0.0 | |
725,000 | | | Albertsons Cos, Inc. / Safeway, Inc. / New Albertsons L.P. / Albertsons LLC, 6.625%, 06/15/2024 | | | 760,634 | | | | 0.0 | |
2,000,000 | | | Altria Group, Inc., 4.500%, 05/02/2043 | | | 2,043,192 | | | | 0.1 | |
140,000 | | | Amgen, Inc., 3.200%, 11/02/2027 | | | 147,392 | | | | 0.0 | |
525,000(1) | | | AMN Healthcare, Inc., 4.625%, 10/01/2027 | | | 527,807 | | | | 0.0 | |
1,200,000 | | | Anheuser-Busch InBev Worldwide, Inc., 4.600%, 04/15/2048 | | | 1,367,527 | | | | 0.1 | |
750,000 | | | Anthem, Inc., 3.700%, 09/15/2049 | | | 749,675 | | | | 0.0 | |
1,250,000 | | | BAT Capital Corp., 4.540%, 08/15/2047 | | | 1,255,725 | | | | 0.1 | |
1,075,000(1) | | | Bausch Health Americas, Inc., 8.500%, 01/31/2027 | | | 1,226,199 | | | | 0.1 | |
1,025,000(1) | | | Bausch Health Cos, Inc., 5.500%, 11/01/2025 | | | 1,073,262 | | | | 0.1 | |
425,000(1) | | | Bausch Health Cos, Inc., 6.125%, 04/15/2025 | | | 440,009 | | | | 0.0 | |
675,000(1) | | | Bausch Health Cos, Inc., 7.000%, 01/15/2028 | | | 743,749 | | | | 0.0 | |
1,250,000 | | | Becton Dickinson and Co., 4.669%, 06/06/2047 | | | 1,487,866 | | | | 0.1 | |
280,000(1) | | | Bristol-Myers Squibb Co., 3.250%, 08/15/2022 | | | 289,294 | | | | 0.0 | |
1,200,000(1) | | | Bristol-Myers Squibb Co., 4.550%, 02/20/2048 | | | 1,469,533 | | | | 0.1 | |
Principal Amount† | | | | | Value | | | Percentage of Net Assets | |
CORPORATE BONDS/NOTES: (continued) | | | | | | | | |
| | | Consumer, Non-cyclical: (continued) | | | | | | | | |
550,000(1) | | | Cardtronics, Inc. / Cardtronics USA, Inc., 5.500%, 05/01/2025 | | $ | 572,228 | | | | 0.0 | |
315,000(1) | | | Catalent Pharma Solutions, Inc., 5.000%, 07/15/2027 | | | 330,545 | | | | 0.0 | |
330,000(1) | | | Centene Corp., 4.250%, 12/15/2027 | | | 340,098 | | | | 0.0 | |
440,000(1) | | | Centene Corp., 4.625%, 12/15/2029 | | | 464,508 | | | | 0.0 | |
1,325,000 | | | Centene Corp., 4.750%, 01/15/2025 | | | 1,379,080 | | | | 0.1 | |
295,000(1) | | | Centene Corp., 4.750%, 01/15/2025 | | | 307,040 | | | | 0.0 | |
500,000(1) | | | Chobani LLC / Chobani Finance Corp., Inc., 7.500%, 04/15/2025 | | | 503,745 | | | | 0.0 | |
725,000 | | | CHS/Community Health Systems, Inc., 6.250%, 03/31/2023 | | | 737,687 | | | | 0.0 | |
1,220,000 | | | Cigna Corp., 3.750%, 07/15/2023 | | | 1,279,688 | | | | 0.1 | |
1,250,000 | | | Cigna Corp., 4.900%, 12/15/2048 | | | 1,494,639 | | | | 0.1 | |
700,000(1) | | | Cott Holdings, Inc., 5.500%, 04/01/2025 | | | 732,959 | | | | 0.0 | |
239,000 | | | CVS Health Corp., 3.875%, 07/20/2025 | | | 254,507 | | | | 0.0 | |
1,250,000 | | | CVS Health Corp., 5.050%, 03/25/2048 | | | 1,479,205 | | | | 0.1 | |
450,000 | | | DaVita, Inc., 5.125%, 07/15/2024 | | | 462,188 | | | | 0.0 | |
1,325,000(1) | | | DP World Crescent Ltd., 3.750%, 01/30/2030 | | | 1,342,962 | | | | 0.1 | |
1,050,000 | | | DP World Crescent Ltd., 3.875%, 07/18/2029 | | | 1,078,938 | | | | 0.1 | |
500,000(1),(4) | | | Eagle Holding CO II LLC, 7.625% (PIK Rate 8.375%, Cash Rate 7.625%), 05/15/2022 | | | 509,116 | | | | 0.0 | |
550,000(1),(4) | | | Eagle Holding Co. II LLC, 7.750% (PIK Rate 8.500%, Cash Rate 7.750%), 05/15/2022 | | | 559,438 | | | | 0.0 | |
200,000(1) | | | Endo Ltd. / Endo Finance LLC / Endo Finco, Inc., 6.000%, 02/01/2025 | | | 135,438 | | | | 0.0 | |
700,000(1) | | | Garda World Security Corp., 8.750%, 05/15/2025 | | | 729,743 | | | | 0.0 | |
700,000(1) | | | Graham Holdings Co., 5.750%, 06/01/2026 | | | 749,243 | | | | 0.0 | |
2,775,000 | | | HCA, Inc., 5.375%, 02/01/2025 | | | 3,074,464 | | | | 0.1 | |
150,000 | | | HCA, Inc., 5.625%, 09/01/2028 | | | 171,217 | | | | 0.0 | |
350,000 | | | HCA, Inc., 7.500%, 02/15/2022 | | | 387,373 | | | | 0.0 | |
300,000(1) | | | Hertz Corp./The, 6.000%, 01/15/2028 | | | 300,555 | | | | 0.0 | |
400,000(1) | | | Hertz Corp./The, 7.125%, 08/01/2026 | | | 433,950 | | | | 0.0 | |
675,000(1) | | | Hertz Corp., 5.500%, 10/15/2024 | | | 693,282 | | | | 0.0 | |
325,000(1) | | | Hill-Rom Holdings, Inc., 4.375%, 09/15/2027 | | | 335,269 | | | | 0.0 | |
550,000(1) | | | JBS USA LUX SA / JBS USA Finance, Inc., 5.875%, 07/15/2024 | | | 566,638 | | | | 0.0 | |
450,000(1) | | | JBS USA LUX SA / JBS USA Finance, Inc., 6.750%, 02/15/2028 | | | 498,087 | | | | 0.0 | |
700,000(1) | | | JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc., 5.500%, 01/15/2030 | | | 753,165 | | | | 0.0 | |
500,000(1) | | | KeHE Distributors LLC / KeHE Finance Corp., 8.625%, 10/15/2026 | | | 524,688 | | | | 0.0 | |
35,000 | | | Kraft Heinz Foods Co., 2.800%, 07/02/2020 | | | 35,059 | | | | 0.0 | |
700,000 | | | Molina Healthcare, Inc., 5.375%, 11/15/2022 | | | 745,332 | | | | 0.0 | |
925,000(1) | | | MPH Acquisition Holdings LLC, 7.125%, 06/01/2024 | | | 897,241 | | | | 0.0 | |
525,000 | | | New Albertsons L.P., 7.450%, 08/01/2029 | | | 536,995 | | | | 0.0 | |
600,000(1),(2) | | | Par Pharmaceutical, Inc., 7.500%, 04/01/2027 | | | 598,515 | | | | 0.0 | |
350,000(1) | | | Pilgrim's Pride Corp., 5.750%, 03/15/2025 | | | 362,500 | | | | 0.0 | |
450,000(1) | | | Pilgrim's Pride Corp., 5.875%, 09/30/2027 | | | 487,395 | | | | 0.0 | |
320,000(1),(2),(4) | | | Polaris Intermediate Corp., 8.500% (PIK Rate 9.250%, Cash Rate 8.500%), 12/01/2022 | | | 298,798 | | | | 0.0 | |
1,200,000(1) | | | Post Holdings, Inc., 5.625%, 01/15/2028 | | | 1,295,220 | | | | 0.1 | |
140,000(1) | | | Post Holdings, Inc., 8.000%, 07/15/2025 | | | 150,348 | | | | 0.0 | |
263,000 | | | Reynolds American, Inc., 4.450%, 06/12/2025 | | | 283,151 | | | | 0.0 | |
800,000(1) | | | Select Medical Corp., 6.250%, 08/15/2026 | | | 867,484 | | | | 0.0 | |
575,000(1) | | | Simmons Foods, Inc., 5.750%, 11/01/2024 | | | 579,074 | | | | 0.0 | |
725,000 | | | Spectrum Brands, Inc., 5.750%, 07/15/2025 | | | 758,539 | | | | 0.0 | |
325,000 | | | Tenet Healthcare Corp., 5.125%, 05/01/2025 | | | 335,563 | | | | 0.0 | |
1,225,000 | | | Tenet Healthcare Corp., 6.750%, 06/15/2023 | | | 1,348,474 | | | | 0.1 | |
125,000 | | | Tenet Healthcare Corp., 8.125%, 04/01/2022 | | | 138,504 | | | | 0.0 | |
400,000(2) | | | Teva Pharmaceutical Finance Netherlands III BV, 6.000%, 04/15/2024 | | | 405,634 | | | | 0.0 | |
1,174,000 | | | Thermo Fisher Scientific, Inc., 3.000%, 04/15/2023 | | | 1,207,048 | | | | 0.1 | |
825,000 | | | United Rentals North America, Inc., 4.625%, 10/15/2025 | | | 849,903 | | | | 0.0 | |
625,000 | | | United Rentals North America, Inc., 5.250%, 01/15/2030 | | | 673,844 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | Percentage of Net Assets | |
CORPORATE BONDS/NOTES: (continued) | | | | | | |
| | | Consumer, Non-cyclical: (continued) | | | | | | | | |
675,000 | | | United Rentals North America, Inc., 6.500%, 12/15/2026 | | $ | 743,116 | | | | 0.0 | |
450,000(1) | | | Vizient, Inc., 6.250%, 05/15/2027 | | | 482,781 | | | | 0.0 | |
600,000(1) | | | West Street Merger Sub, Inc., 6.375%, 09/01/2025 | | | 599,994 | | | | 0.0 | |
| | | | | | 56,287,187 | | | | 1.9 | |
| | | | | | | | | | | |
| | | Energy: 1.6% | | | | | | | | |
280,000(1) | | | Archrock Partners L.P. / Archrock Partners Finance Corp., 6.250%, 04/01/2028 | | | 289,100 | | | | 0.0 | |
225,000(1) | | | Archrock Partners L.P. / Archrock Partners Finance Corp., 6.875%, 04/01/2027 | | | 238,460 | | | | 0.0 | |
600,000(1) | | | Calfrac Holdings L.P., 8.500%, 06/15/2026 | | | 247,515 | | | | 0.0 | |
900,000(1),(2) | | | California Resources Corp., 8.000%, 12/15/2022 | | | 389,250 | | | | 0.0 | |
775,000(2) | | | Carrizo Oil & Gas, Inc., 6.250%, 04/15/2023 | | | 788,439 | | | | 0.0 | |
2,000,000 | | | Cenovus Energy, Inc., 5.250%, 06/15/2037 | | | 2,215,545 | | | | 0.1 | |
280,000(1) | | | Chesapeake Energy Corp., 11.500%, 01/01/2025 | | | 264,600 | | | | 0.0 | |
2,550,000 | | | CNOOC Finance 2013 Ltd., 2.875%, 09/30/2029 | | | 2,555,271 | | | | 0.1 | |
250,000 | | | Continental Resources, Inc./OK, 4.500%, 04/15/2023 | | | 261,242 | | | | 0.0 | |
700,000 | | | Crestwood Midstream Partners L.P. / Crestwood Midstream Finance Corp., 5.750%, 04/01/2025 | | | 717,493 | | | | 0.0 | |
375,000 | | | Crestwood Midstream Partners L.P. / Crestwood Midstream Finance Corp., 6.250%, 04/01/2023 | | | 383,282 | | | | 0.0 | |
825,000 | | | Delek Logistics Partners L.P. / Delek Logistics Finance Corp., 6.750%, 05/15/2025 | | | 823,280 | | | | 0.0 | |
455,000 | | | Diamond Offshore Drilling, Inc., 4.875%, 11/01/2043 | | | 249,538 | | | | 0.0 | |
500,000 | | | Empresa Nacional del Petroleo, 3.750%, 08/05/2026 | | | 512,071 | | | | 0.0 | |
1,200,000 | | | Empresa Nacional del Petroleo, 5.250%, 11/06/2029 | | | 1,345,658 | | | | 0.1 | |
340,000(1) | | | Empresa Nacional del Petroleo, 5.250%, 11/06/2029 | | | 381,270 | | | | 0.0 | |
300,000(1) | | | Endeavor Energy Resources L.P. / EER Finance, Inc., 5.500%, 01/30/2026 | | | 310,447 | | | | 0.0 | |
200,000(1) | | | Endeavor Energy Resources L.P. / EER Finance, Inc., 5.750%, 01/30/2028 | | | 210,620 | | | | 0.0 | |
1,075,000 | | | Energy Transfer Operating L.P., 4.900%, 02/01/2024 | | | 1,153,459 | | | | 0.1 | |
1,750,000 | | | Energy Transfer Operating L.P., 6.000%, 06/15/2048 | | | 2,039,351 | | | | 0.1 | |
725,000(1) | | | Enviva Partners L.P. / Enviva Partners Finance Corp., 6.500%, 01/15/2026 | | | 778,019 | | | | 0.0 | |
2,525,000 | | | Gazprom PJSC Via Gaz Capital SA, 4.950%, 03/23/2027 | | | 2,819,178 | | | | 0.1 | |
775,000 | | | Gulfport Energy Corp., 6.000%, 10/15/2024 | | | 552,188 | | | | 0.0 | |
500,000(1) | | | Hess Midstream Operations L.P., 5.125%, 06/15/2028 | | | 506,875 | | | | 0.0 | |
765,000(1) | | | Hess Midstream Operations L.P., 5.625%, 02/15/2026 | | | 795,600 | | | | 0.0 | |
475,000(1) | | | Indigo Natural Resources LLC, 6.875%, 02/15/2026 | | | 447,699 | | | | 0.0 | |
2,625,000 | | | KazMunayGas National Co. JSC, 4.750%, 04/19/2027 | | | 2,889,492 | | | | 0.1 | |
2,550,000 | | | KazMunayGas National Co. JSC, 5.375%, 04/24/2030 | | | 2,962,720 | | | | 0.1 | |
1,250,000 | | | Kinder Morgan, Inc./DE, 5.200%, 03/01/2048 | | | 1,449,458 | | | | 0.1 | |
675,000(1) | | | Magnolia Oil & Gas Operating LLC / Magnolia Oil & Gas Finance Corp., 6.000%, 08/01/2026 | | | 693,797 | | | | 0.0 | |
575,000 | | | Montage Resources Corp., 8.875%, 07/15/2023 | | | 531,869 | | | | 0.0 | |
650,000(1) | | | Moss Creek Resources Holdings, Inc., 7.500%, 01/15/2026 | | | 495,851 | | | | 0.0 | |
1,047,000 | | | MPLX L.P., 3.375%, 03/15/2023 | | | 1,075,243 | | | | 0.1 | |
300,000 | | | Murphy Oil Corp., 5.875%, 12/01/2027 | | | 315,375 | | | | 0.0 | |
440,000 | | | Murphy Oil Corp., 5.750%, 08/15/2025 | | | 461,135 | | | | 0.0 | |
185,000 | | | Murphy Oil Corp., 6.875%, 08/15/2024 | | | 195,561 | | | | 0.0 | |
270,000(1) | | | Noble Holding International Ltd., 7.875%, 02/01/2026 | | | 196,519 | | | | 0.0 | |
1,025,000 | | | PBF Logistics L.P. / PBF Logistics Finance Corp., 6.875%, 05/15/2023 | | | 1,058,302 | | | | 0.1 | |
2,350,000 | | | Petrobras Global Finance BV, 5.750%, 02/01/2029 | | | 2,654,913 | | | | 0.1 | |
775,000 | | | Petrobras Global Finance BV, 7.375%, 01/17/2027 | | | 946,934 | | | | 0.1 | |
Principal Amount† | | | | | Value | | | Percentage of Net Assets | |
CORPORATE BONDS/NOTES: (continued) | | | | | | | | |
| | | Energy: (continued) | | | | | | | | |
1,400,000 | | | Petroleos del Peru SA, 4.750%, 06/19/2032 | | $ | 1,536,987 | | | | 0.1 | |
575,000 | | | Petroleos Mexicanos, 6.500%, 01/23/2029 | | | 606,537 | | | | 0.0 | |
230,000 | | | Sunoco L.P. / Sunoco Finance Corp., 4.875%, 01/15/2023 | | | 235,850 | | | | 0.0 | |
10,000 | | | Sunoco L.P. / Sunoco Finance Corp., 5.500%, 02/15/2026 | | | 10,404 | | | | 0.0 | |
10,000 | | | Sunoco L.P. / Sunoco Finance Corp., 5.875%, 03/15/2028 | | | 10,647 | | | | 0.0 | |
850,000(1) | | | Tallgrass Energy Partners L.P. / Tallgrass Energy Finance Corp., 5.500%, 01/15/2028 | | | 834,974 | | | | 0.0 | |
250,000(1) | | | Targa Resources Partners L.P. / Targa Resources Partners Finance Corp., 6.500%, 07/15/2027 | | | 274,213 | | | | 0.0 | |
525,000(1) | | | Targa Resources Partners L.P. / Targa Resources Partners Finance Corp., 6.875%, 01/15/2029 | | | 583,721 | | | | 0.0 | |
200,000(1) | | | Targa Resources Partners L.P. / Targa Resources Partners Finance Corp., 5.500%, 03/01/2030 | | | 205,750 | | | | 0.0 | |
3,951,000(3) | | | Transcanada Trust, 5.500%, 09/15/2079 | | | 4,156,452 | | | | 0.2 | |
875,000 | | | Transocean, Inc., 6.800%, 03/15/2038 | | | 623,525 | | | | 0.0 | |
175,000 | | | Valaris plc, 5.750%, 10/01/2044 | | | 79,351 | | | | 0.0 | |
775,000(1) | | | Vermilion Energy, Inc., 5.625%, 03/15/2025 | | | 733,665 | | | | 0.0 | |
325,000(1) | | | Viper Energy Partners L.P., 5.375%, 11/01/2027 | | | 338,601 | | | | 0.0 | |
625,000 | | | WPX Energy, Inc., 5.250%, 10/15/2027 | | | 660,531 | | | | 0.0 | |
| | | | | | 48,093,827 | | | | 1.6 | |
| | | | | | | | | | | |
| | | Financial: 1.1% | | | | | | | | |
150,000 | | | AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 4.625%, 10/30/2020 | | | 153,013 | | | | 0.0 | |
200,000(1) | | | Allied Universal Holdco LLC / Allied Universal Finance Corp., 6.625%, 07/15/2026 | | | 215,315 | | | | 0.0 | |
550,000(1) | | | Allied Universal Holdco LLC / Allied Universal Finance Corp., 9.750%, 07/15/2027 | | | 588,826 | | | | 0.0 | |
700,000 | | | Ally Financial, Inc., 5.750%, 11/20/2025 | | | 784,875 | | | | 0.0 | |
1,730,000 | | | American International Group, Inc., 3.900%, 04/01/2026 | | | 1,853,958 | | | | 0.1 | |
1,000,000 | | | American International Group, Inc., 4.750%, 04/01/2048 | | | 1,203,866 | | | | 0.1 | |
1,550,000(1) | | | Banco Internacional del Peru SAA Interbank, 3.250%, 10/04/2026 | | | 1,553,693 | | | | 0.1 | |
1,200,000(1) | | | Banco Votorantim SA, 4.500%, 09/24/2024 | | | 1,236,012 | | | | 0.1 | |
327,000 | | | Bank of America Corp., 2.625%, 10/19/2020 | | | 328,899 | | | | 0.0 | |
425,000 | | | BBVA Bancomer SA/Texas, 6.750%, 09/30/2022 | | | 463,480 | | | | 0.0 | |
409,000(1) | | | BPCE SA, 4.500%, 03/15/2025 | | | 440,735 | | | | 0.0 | |
281,000 | | | Chubb INA Holdings, Inc., 3.350%, 05/03/2026 | | | 298,780 | | | | 0.0 | |
425,000 | | | CIT Group, Inc., 5.000%, 08/15/2022 | | | 451,560 | | | | 0.0 | |
150,000 | | | CIT Group, Inc., 5.250%, 03/07/2025 | | | 165,313 | | | | 0.0 | |
350,000 | | | CIT Group, Inc., 6.125%, 03/09/2028 | | | 413,997 | | | | 0.0 | |
200,000 | | | Citigroup, Inc., 2.900%, 12/08/2021 | | | 203,301 | | | | 0.0 | |
1,000,000 | | | Citigroup, Inc., 4.750%, 05/18/2046 | | | 1,200,090 | | | | 0.1 | |
1,000,000 | | | Corp Financiera de Desarrollo SA, 4.750%, 07/15/2025 | | | 1,095,425 | | | | 0.1 | |
900,000(1) | | | ESH Hospitality, Inc., 5.250%, 05/01/2025 | | | 932,251 | | | | 0.0 | |
403,000 | | | GE Capital International Funding Co. Unlimited Co., 3.373%, 11/15/2025 | | | 419,792 | | | | 0.0 | |
279,000 | | | Goldman Sachs Group, Inc., 4.250%, 10/21/2025 | | | 302,950 | | | | 0.0 | |
281,000 | | | Healthpeak Properties, Inc., 4.000%, 06/01/2025 | | | 302,063 | | | | 0.0 | |
1,125,000 | | | Icahn Enterprises L.P. / Icahn Enterprises Finance Corp., 6.250%, 05/15/2026 | | | 1,200,233 | | | | 0.1 | |
277,000 | | | JPMorgan Chase & Co., 4.250%, 10/01/2027 | | | 306,575 | | | | 0.0 | |
1,050,000(1),(3) | | | Kookmin Bank, 4.350%, 12/31/2199 | | | 1,070,606 | | | | 0.1 | |
400,000 | | | Lloyds Banking Group PLC, 4.582%, 12/10/2025 | | | 433,104 | | | | 0.0 | |
575,000(1) | | | LPL Holdings, Inc., 4.625%, 11/15/2027 | | | 587,937 | | | | 0.0 | |
825,000 | | | MGM Growth Properties Operating Partnership L.P. / MGP Finance Co-Issuer, Inc., 5.625%, 05/01/2024 | | | 900,970 | | | | 0.0 | |
268,000 | | | Morgan Stanley, 4.000%, 07/23/2025 | | | 289,998 | | | | 0.0 | |
925,000 | | | MPT Operating Partnership L.P. / MPT Finance Corp., 5.000%, 10/15/2027 | | | 982,836 | | | | 0.0 | |
350,000 | | | MPT Operating Partnership L.P. / MPT Finance Corp., 5.500%, 05/01/2024 | | | 359,625 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | Percentage of Net Assets | |
CORPORATE BONDS/NOTES: (continued) | | | | | | | | |
| | | Financial: (continued) | | | | | | | | |
800,000 | | | Navient Corp., 7.250%, 09/25/2023 | | $ | 906,016 | | | | 0.0 | |
1,100,000(1),(3) | | | NBK Tier 1 Financing 2 Ltd., 4.500%, 12/31/2199 | | | 1,100,000 | | | | 0.0 | |
950,000(1) | | | QNB Finansbank AS, 6.875%, 09/07/2024 | | | 1,014,006 | | | | 0.1 | |
675,000(1) | | | Quicken Loans, Inc., 5.250%, 01/15/2028 | | | 700,193 | | | | 0.0 | |
525,000(1) | | | Realogy Group LLC / Realogy Co-Issuer Corp., 5.250%, 12/01/2021 | | | 531,431 | | | | 0.0 | |
970,000 | | | Simon Property Group L.P., 3.375%, 12/01/2027 | | | 1,030,844 | | | | 0.1 | |
440,000 | | | Springleaf Finance Corp., 5.375%, 11/15/2029 | | | 460,086 | | | | 0.0 | |
225,000 | | | Springleaf Finance Corp., 6.125%, 05/15/2022 | | | 242,156 | | | | 0.0 | |
525,000 | | | Springleaf Finance Corp., 6.125%, 03/15/2024 | | | 576,182 | | | | 0.0 | |
750,000 | | | Springleaf Finance Corp., 7.125%, 03/15/2026 | | | 868,556 | | | | 0.0 | |
550,000(1) | | | Turkiye Vakiflar Bankasi TAO, 8.125%, 03/28/2024 | | | 585,425 | | | | 0.0 | |
200,000(1) | | | UBS Group AG, 2.950%, 09/24/2020 | | | 201,420 | | | | 0.0 | |
500,000 | | | Vnesheconombank Via VEB Finance PLC, 6.025%, 07/05/2022 | | | 538,963 | | | | 0.0 | |
269,000 | | | Wells Fargo & Co., 4.300%, 07/22/2027 | | | 294,725 | | | | 0.0 | |
1,750,000 | | | Wells Fargo & Co., 4.750%, 12/07/2046 | | | 2,098,323 | | | | 0.1 | |
| | | | | | 31,888,404 | | | | 1.1 | |
| | | | | | | | | | | |
| | | Industrial: 1.1% | | | | | | | | |
520,000(1) | | | Advanced Disposal Services, Inc., 5.625%, 11/15/2024 | | | 542,316 | | | | 0.0 | |
800,000 | | | AECOM, 5.875%, 10/15/2024 | | | 887,020 | | | | 0.1 | |
475,000(1) | | | Amsted Industries, Inc., 5.625%, 07/01/2027 | | | 504,853 | | | | 0.0 | |
1,000,000(1),(4) | | | ARD Finance SA, 6.500% (PIK Rate 7.250%, Cash Rate 6.500%), 06/30/2027 | | | 1,035,800 | | | | 0.1 | |
400,000(1) | | | Ardagh Packaging Finance PLC / Ardagh Holdings USA, Inc., 5.250%, 08/15/2027 | | | 421,748 | | | | 0.0 | |
410,000(1) | | | ATS Automation Tooling Systems, Inc., 6.500%, 06/15/2023 | | | 423,495 | | | | 0.0 | |
475,000(1) | | | Berry Global, Inc., 5.625%, 07/15/2027 | | | 510,637 | | | | 0.0 | |
700,000(1) | | | BMC East LLC, 5.500%, 10/01/2024 | | | 730,040 | | | | 0.0 | |
2,796,000(3) | | | BNSF Funding Trust I, 6.613%, 12/15/2055 | | | 3,135,770 | | | | 0.1 | |
425,000(1) | | | Bombardier, Inc., 6.000%, 10/15/2022 | | | 425,935 | | | | 0.0 | |
650,000(1) | | | Bombardier, Inc., 8.750%, 12/01/2021 | | | 713,619 | | | | 0.0 | |
650,000(1) | | | Builders FirstSource, Inc., 6.750%, 06/01/2027 | | | 714,413 | | | | 0.0 | |
5,000,000(5) | | | Carillion PLC, 0.000%, 01/06/2020 | | | 0 | | | | – | |
625,000(1) | | | Cascades, Inc./Cascades USA, Inc., 5.375%, 01/15/2028 | | | 643,750 | | | | 0.0 | |
500,000 | | | Cemex SAB de CV, 6.125%, 05/05/2025 | | | 519,798 | | | | 0.0 | |
350,000(1) | | | Clean Harbors, Inc., 4.875%, 07/15/2027 | | | 369,022 | | | | 0.0 | |
325,000(1) | | | Clean Harbors, Inc., 5.125%, 07/15/2029 | | | 349,520 | | | | 0.0 | |
600,000(1) | | | F-Brasile SpA / F-Brasile US LLC, 7.375%, 08/15/2026 | | | 636,000 | | | | 0.0 | |
603,000 | | | FedEx Corp., 4.000%, 01/15/2024 | | | 645,188 | | | | 0.0 | |
1,000,000 | | | FedEx Corp., 4.950%, 10/17/2048 | | | 1,091,658 | | | | 0.1 | |
725,000(1) | | | FXI Holdings, Inc., 7.875%, 11/01/2024 | | | 697,805 | | | | 0.0 | |
575,000(1) | | | GFL Environmental, Inc., 8.500%, 05/01/2027 | | | 633,564 | | | | 0.0 | |
155,000(1) | | | GFL Environmental, Inc., 7.000%, 06/01/2026 | | | 164,183 | | | | 0.0 | |
425,000(1) | | | Granite Holdings US Acquisition Co., 11.000%, 10/01/2027 | | | 431,523 | | | | 0.0 | |
850,000(1) | | | Itron, Inc., 5.000%, 01/15/2026 | | | 883,233 | | | | 0.1 | |
800,000(1) | | | James Hardie International Finance DAC, 4.750%, 01/15/2025 | | | 832,332 | | | | 0.1 | |
1,550,000(1) | | | Klabin Austria GmbH, 5.750%, 04/03/2029 | | | 1,653,633 | | | | 0.1 | |
650,000(1) | | | Koppers, Inc., 6.000%, 02/15/2025 | | | 682,494 | | | | 0.0 | |
200,000 | | | Lockheed Martin Corp., 3.550%, 01/15/2026 | | | 214,529 | | | | 0.0 | |
300,000(1) | | | Masonite International Corp., 5.375%, 02/01/2028 | | | 317,430 | | | | 0.0 | |
450,000(1) | | | Masonite International Corp., 5.750%, 09/15/2026 | | | 479,406 | | | | 0.0 | |
850,000(1) | | | Mauser Packaging Solutions Holding Co., 7.250%, 04/15/2025 | | | 841,491 | | | | 0.1 | |
600,000(1) | | | Norbord, Inc., 5.750%, 07/15/2027 | | | 624,209 | | | | 0.0 | |
650,000(1) | | | Owens-Brockway Glass Container, Inc., 5.875%, 08/15/2023 | | | 695,230 | | | | 0.0 | |
150,000(1) | | | Owens-Brockway Glass Container, Inc., 6.375%, 08/15/2025 | | | 164,250 | | | | 0.0 | |
625,000(1) | | | PGT Escrow Issuer, Inc., 6.750%, 08/01/2026 | | | 671,311 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | Percentage of Net Assets | |
CORPORATE BONDS/NOTES: (continued) | | | | | | | | |
| | | Industrial: (continued) | | | | | | | | |
725,000(1) | | | Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 5.125%, 07/15/2023 | | $ | 743,730 | | | | 0.0 | |
200,000(1) | | | Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 7.000%, 07/15/2024 | | | 207,125 | | | | 0.0 | |
475,000(1) | | | Sealed Air Corp., 5.500%, 09/15/2025 | | | 523,885 | | | | 0.0 | |
725,000(1) | | | SSL Robotics LLC, 9.750%, 12/31/2023 | | | 790,250 | | | | 0.1 | |
425,000(1) | | | Standard Industries, Inc./NJ, 5.000%, 02/15/2027 | | | 444,050 | | | | 0.0 | |
750,000(1) | | | Standard Industries, Inc./NJ, 6.000%, 10/15/2025 | | | 790,305 | | | | 0.1 | |
600,000(1) | | | Stevens Holding Co., Inc., 6.125%, 10/01/2026 | | | 657,209 | | | | 0.0 | |
325,000(1) | | | Summit Materials LLC / Summit Materials Finance Corp., 5.125%, 06/01/2025 | | | 334,885 | | | | 0.0 | |
425,000(1) | | | Summit Materials LLC / Summit Materials Finance Corp., 6.500%, 03/15/2027 | | | 458,085 | | | | 0.0 | |
650,000(1) | | | TransDigm, Inc., 5.500%, 11/15/2027 | | | 658,502 | | | | 0.0 | |
550,000 | | | TransDigm, Inc., 6.375%, 06/15/2026 | | | 584,353 | | | | 0.0 | |
675,000 | | | TransDigm, Inc., 6.500%, 05/15/2025 | | | 703,407 | | | | 0.0 | |
976,000 | | | United Technologies Corp., 3.650%, 08/16/2023 | | | 1,028,764 | | | | 0.1 | |
181,000(1) | | | Zekelman Industries, Inc., 9.875%, 06/15/2023 | | | 190,389 | | | | 0.0 | |
| | | | | | 32,402,144 | | | | 1.1 | |
| | | | | | | | | | | |
| | | Technology: 0.4% | | | | | | | | |
1,269,000 | | | Analog Devices, Inc., 3.125%, 12/05/2023 | | | 1,311,590 | | | | 0.1 | |
775,000(1) | | | Ascend Learning LLC, 6.875%, 08/01/2025 | | | 816,009 | | | | 0.0 | |
675,000 | | | CDW LLC / CDW Finance Corp., 5.000%, 09/01/2025 | | | 706,782 | | | | 0.0 | |
400,000 | | | CDW LLC / CDW Finance Corp., 5.500%, 12/01/2024 | | | 444,834 | | | | 0.0 | |
850,000(1) | | | Change Healthcare Holdings LLC / Change Healthcare Finance, Inc., 5.750%, 03/01/2025 | | | 875,491 | | | | 0.1 | |
345,000(1) | | | Dell International LLC / EMC Corp., 7.125%, 06/15/2024 | | | 364,406 | | | | 0.0 | |
1,000,000(1) | | | Dell International LLC / EMC Corp., 8.350%, 07/15/2046 | | | 1,376,490 | | | | 0.1 | |
725,000 | | | Donnelley Financial Solutions, Inc., 8.250%, 10/15/2024 | | | 743,426 | | | | 0.0 | |
36,000(1) | | | MSCI, Inc., 5.250%, 11/15/2024 | | | 37,061 | | | | 0.0 | |
450,000(1) | | | MSCI, Inc., 5.750%, 08/15/2025 | | | 473,058 | | | | 0.0 | |
500,000(1) | | | MTS Systems Corp., 5.750%, 08/15/2027 | | | 523,924 | | | | 0.0 | |
125,000(1) | | | Open Text Corp., 5.625%, 01/15/2023 | | | 127,448 | | | | 0.0 | |
675,000(1) | | | Open Text Corp., 5.875%, 06/01/2026 | | | 723,499 | | | | 0.0 | |
350,000 | | | Oracle Corp., 3.250%, 11/15/2027 | | | 370,947 | | | | 0.0 | |
550,000(1) | | | RP Crown Parent LLC, 7.375%, 10/15/2024 | | | 572,916 | | | | 0.0 | |
950,000(1) | | | Tempo Acquisition LLC / Tempo Acquisition Finance Corp., 6.750%, 06/01/2025 | | | 983,240 | | | | 0.1 | |
850,000(1),(2) | | | Veritas US, Inc. / Veritas Bermuda Ltd.., 10.500%, 02/01/2024 | | | 788,728 | | | | 0.0 | |
| | | | | | 11,239,849 | | | | 0.4 | |
| | | | | | | | | | | |
| | | Utilities: 1.2% | | | | | | | | |
800,000(2) | | | Calpine Corp., 5.750%, 01/15/2025 | | | 823,000 | | | | 0.0 | |
280,000(1) | | | Clearway Energy Operating LLC, 4.750%, 03/15/2028 | | | 284,200 | | | | 0.0 | |
5,670,000(3) | | | Dominion Energy, Inc., 4.650%, 12/31/2199 | | | 5,791,451 | | | | 0.2 | |
2,260,000 | | | Dominion Energy, Inc., 2.750%, 01/15/2022 | | | 2,292,505 | | | | 0.1 | |
600,000 | | | Dominion Energy, Inc., 2.750%, 09/15/2022 | | | 609,139 | | | | 0.0 | |
800,000(1) | | | Drax Finco PLC, 6.625%, 11/01/2025 | | | 851,668 | | | | 0.0 | |
1,415,000 | | | Duke Energy Carolinas LLC, 3.200%, 08/15/2049 | | | 1,409,279 | | | | 0.1 | |
3,935,000(3) | | | Duke Energy Corp., 4.875%, 12/31/2199 | | | 4,132,439 | | | | 0.2 | |
500,000(1) | | | Israel Electric Corp. Ltd., 4.250%, 08/14/2028 | | | 545,787 | | | | 0.0 | |
2,500,000 | | | Kallpa Generacion SA, 4.125%, 08/16/2027 | | | 2,554,019 | | | | 0.1 | |
650,000(1) | | | LBC Tank Terminals Holding Netherlands BV, 6.875%, 05/15/2023 | | | 659,207 | | | | 0.0 | |
2,500,000 | | | Mississippi Power Co., 4.250%, 03/15/2042 | | | 2,685,891 | | | | 0.1 | |
2,875,000(3) | | | NextEra Energy Capital Holdings, Inc., 5.650%, 05/01/2079 | | | 3,184,580 | | | | 0.1 | |
900,000 | | | NRG Energy, Inc., 5.750%, 01/15/2028 | | | 978,165 | | | | 0.0 | |
175,000 | | | NRG Energy, Inc., 6.625%, 01/15/2027 | | | 190,199 | | | | 0.0 | |
2,325,000(1) | | | Perusahaan Listrik Negara PT, 3.875%, 07/17/2029 | | | 2,430,433 | | | | 0.1 | |
1,000,000 | | | Perusahaan Listrik Negara PT, 4.125%, 05/15/2027 | | | 1,056,598 | | | | 0.1 | |
Principal Amount† | | | | | Value | | | Percentage of Net Assets | |
CORPORATE BONDS/NOTES: (continued) | | | | | | | | |
| | | Utilities: (continued) | | | | | | | | |
2,950,000 | | | Perusahaan Listrik Negara PT, 5.450%, 05/21/2028 | | $ | 3,398,031 | | | | 0.1 | |
425,000(1) | | | Vistra Operations Co. LLC, 5.500%, 09/01/2026 | | | 451,487 | | | | 0.0 | |
650,000(1) | | | Vistra Operations Co. LLC, 5.625%, 02/15/2027 | | | 686,140 | | | | 0.0 | |
| | | | | | 35,014,218 | | | | 1.2 | |
| | | | | | | | | | | |
| | | Total Corporate Bonds/Notes (Cost $320,879,531) | | | 336,424,023 | | | | 11.5 | |
| | | | | | | | | | | |
COLLATERALIZED MORTGAGE OBLIGATIONS: 26.2% | | | | | | | | |
197,354 | | | Adjustable Rate Mortgage Trust 2005-7 7A21, 2.292%, (US0001M + 0.500%), 10/25/2035 | | | 200,424 | | | | 0.0 | |
389,302(3) | | | Adjustable Rate Mortgage Trust 2006-2 1A1, 4.595%, 05/25/2036 | | | 385,434 | | | | 0.0 | |
1,254,561(1),(3) | | | Agate Bay Mortgage Trust 2014-1 B4, 3.866%, 07/25/2044 | | | 1,288,288 | | | | 0.1 | |
4,735,435(1),(3) | | | Agate Bay Mortgage Trust 2014-2 B2, 3.881%, 09/25/2044 | | | 4,842,910 | | | | 0.2 | |
1,920,348(1),(3) | | | Agate Bay Mortgage Trust 2014-2 B4, 3.881%, 09/25/2044 | | | 1,955,538 | | | | 0.1 | |
2,727,649(1),(3) | | | Agate Bay Mortgage Trust 2015-2 B3, 3.727%, 03/25/2045 | | | 2,787,983 | | | | 0.1 | |
1,229,261(1),(3) | | | Agate Bay Mortgage Trust 2015-4 B3, 3.577%, 06/25/2045 | | | 1,257,177 | | | | 0.1 | |
2,617,198(1),(3) | | | Agate Bay Mortgage Trust 2016-1 B3, 3.776%, 12/25/2045 | | | 2,633,969 | | | | 0.1 | |
1,000,000(1),(3) | | | Agate Bay Mortgage Trust 2016-1 B4, 3.776%, 12/25/2045 | | | 940,014 | | | | 0.0 | |
1,137,085(1),(3) | | | Agate Bay Mortgage Trust 2016-2 B4, 3.797%, 03/25/2046 | | | 1,056,316 | | | | 0.0 | |
724,807 | | | Alternative Loan Trust 2004-J7 MI, 2.812%, (US0001M + 1.020%), 10/25/2034 | | | 712,241 | | | | 0.0 | |
139,512 | | | Alternative Loan Trust 2005-10CB 1A1, 2.292%, (US0001M + 0.500%), 05/25/2035 | | | 119,958 | | | | 0.0 | |
556,564 | | | Alternative Loan Trust 2005-10CB 1A2, 2.242%, (US0001M + 0.450%), 05/25/2035 | | | 477,494 | | | | 0.0 | |
591,576 | | | Alternative Loan Trust 2005-23CB A15, 5.500%, 07/25/2035 | | | 591,156 | | | | 0.0 | |
203,648 | | | Alternative Loan Trust 2005-51 3A2A, 3.530%, (12MTA + 1.290%), 11/20/2035 | | | 199,255 | | | | 0.0 | |
63,778 | | | Alternative Loan Trust 2005-6CB 1A3, 5.250%, 04/25/2035 | | | 63,410 | | | | 0.0 | |
301,053 | | | Alternative Loan Trust 2005-J2 1A12, 2.192%, (US0001M + 0.400%), 04/25/2035 | | | 257,437 | | | | 0.0 | |
40,572 | | | Alternative Loan Trust 2006-13T1 A9, 6.000%, 05/25/2036 | | | 30,980 | | | | 0.0 | |
733,846 | | | Alternative Loan Trust 2006-18CB A10, 2.192%, (US0001M + 0.400%), 07/25/2036 | | | 447,539 | | | | 0.0 | |
173,760 | | | Alternative Loan Trust 2006-19CB A12, 2.192%, (US0001M + 0.400%), 08/25/2036 | | | 112,598 | | | | 0.0 | |
735,835 | | | Alternative Loan Trust 2006-19CB A28, 2.392%, (US0001M + 0.600%), 08/25/2036 | | | 487,692 | | | | 0.0 | |
1,222,386 | | | Alternative Loan Trust 2006-27CB A5, 6.000%, 11/25/2036 | | | 1,073,679 | | | | 0.0 | |
469,201 | | | Alternative Loan Trust 2006-HY11 A1, 1.912%, (US0001M + 0.120%), 06/25/2036 | | | 449,911 | | | | 0.0 | |
1,289,039 | | | Alternative Loan Trust 2007-15CB A5, 5.750%, 07/25/2037 | | | 1,141,208 | | | | 0.0 | |
188,504 | | | Alternative Loan Trust 2007-2CB 2A1, 2.392%, (US0001M + 0.600%), 03/25/2037 | | | 117,820 | | | | 0.0 | |
334,036 | | | Alternative Loan Trust 2007-HY8C A1, 1.952%, (US0001M + 0.160%), 09/25/2047 | | | 331,425 | | | | 0.0 | |
944,671 | | | Alternative Loan Trust 2007-OA4 A1, 1.962%, (US0001M + 0.170%), 05/25/2047 | | | 899,391 | | | | 0.0 | |
1,785,141(1),(3) | | | Arroyo Mortgage Trust 2019-3 A3, 3.416%, 10/25/2048 | | | 1,797,801 | | | | 0.1 | |
547,375 | | | Banc of America Funding 2007-2 1A16 Trust, 2.392%, (US0001M + 0.600%), 03/25/2037 | | | 431,755 | | | | 0.0 | |
2,687,217 | | | Banc of America Funding 2007-C 7A1 Trust, 1.975%, (US0001M + 0.210%), 05/20/2047 | | | 2,631,693 | | | | 0.1 | |
454,203(3) | | | Bear Stearns ALT-A Trust 2005-3 4A3, 4.008%, 04/25/2035 | | | 462,799 | | | | 0.0 | |
660,479(3) | | | Bear Stearns ALT-A Trust 2006-6 31A1, 4.480%, 11/25/2036 | | | 613,500 | | | | 0.0 | |
758,234(3) | | | Bear Stearns ALT-A Trust 2006-6 32A1, 3.816%, 11/25/2036 | | | 631,081 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | Percentage of Net Assets | |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | | | | | | | |
178,168(3) | | | Bear Stearns Structured Products, Inc. Trust 2007-R6 1A1, 4.001%, 01/26/2036 | | $ | 158,932 | | | | 0.0 | |
1,711,594(1),(3) | | | Chase Home Lending Mortgage Trust 2019-ATR1 A3, 4.000%, 04/25/2049 | | | 1,744,120 | | | | 0.1 | |
2,500,000(1),(3) | | | Chase Home Lending Mortgage Trust 2019-ATR1 A5, 4.000%, 04/25/2049 | | | 2,574,393 | | | | 0.1 | |
996,829(1),(3) | | | Chase Mortgage Finance Corp. 2019-1 B2, 3.977%, 03/25/2050 | | | 1,022,970 | | | | 0.0 | |
1,295,877(1),(3) | | | Chase Mortgage Finance Corp. 2019-1 B3, 3.977%, 03/25/2050 | | | 1,309,039 | | | | 0.1 | |
605,101(3) | | | Chase Mortgage Finance Trust Series 2006-A1 2A3, 4.305%, 09/25/2036 | | | 579,787 | | | | 0.0 | |
803,684(1),(3) | | | Chase Home Lending Mortgage Trust 2019-ATR2 A3, 3.500%, 07/25/2049 | | | 817,685 | | | | 0.0 | |
86,772(3) | | | CHL Mortgage Pass-Through Trust 2004-22 A3, 3.841%, 11/25/2034 | | | 87,471 | | | | 0.0 | |
596,896 | | | CHL Mortgage Pass-Through Trust 2005-HYB9 2A1, 3.939%, (US0012M + 1.750%), 02/20/2036 | | | 575,763 | | | | 0.0 | |
2,098,475(1),(3) | | | CIM Trust 2019-INV1 A1, 4.000%, 02/25/2049 | | | 2,135,060 | | | | 0.1 | |
1,578,154(1),(3) | | | CIM Trust 2019-INV2 A3, 4.000%, 05/25/2049 | | | 1,617,290 | | | | 0.1 | |
959,374(1),(3) | | | CIM Trust 2019-INV3 A15, 3.500%, 08/25/2049 | | | 961,287 | | | | 0.0 | |
1,439,062(1),(3) | | | CIM Trust 2019-INV3 A3, 3.500%, 08/25/2049 | | | 1,464,006 | | | | 0.1 | |
3,018,817(1),(3) | | | CIM Trust 2019-J1 1A2, 3.500%, 08/25/2049 | | | 3,063,879 | | | | 0.1 | |
3,240,633(1),(3) | | | CIM Trust 2019-J2 B2, 3.853%, 10/25/2049 | | | 3,307,463 | | | | 0.1 | |
2,034,863(1),(3) | | | CIM Trust 2019-J2 B3, 3.853%, 10/25/2049 | | | 2,022,265 | | | | 0.1 | |
725,480 | | | Citicorp Mortgage Securities Trust Series 2006-3 1A4, 6.000%, 06/25/2036 | | | 738,135 | | | | 0.0 | |
120,354(3) | | | Citigroup Mortgage Loan Trust 2006-AR2 1A1, 4.514%, 03/25/2036 | | | 111,908 | | | | 0.0 | |
82,620(3) | | | Citigroup Mortgage Loan Trust 2006-AR9 2A, 4.329%, 11/25/2036 | | | 73,866 | | | | 0.0 | |
354,001(1),(3) | | | Citigroup Mortgage Loan Trust 2015-A B2, 4.500%, 06/25/2058 | | | 375,264 | | | | 0.0 | |
278,658(3) | | | Citigroup Mortgage Loan Trust, Inc. 2005-4 A, 4.609%, 08/25/2035 | | | 286,576 | | | | 0.0 | |
684,574 | | | Citigroup Mortgage Loan Trust, Inc. 2005-9 22A2, 6.000%, 11/25/2035 | | | 707,159 | | | | 0.0 | |
3,800,000(1),(3) | | | COLT 2018-1 B1 Mortgage Loan Trust, 4.362%, 02/25/2048 | | | 3,816,721 | | | | 0.1 | |
1,000,000(1),(3) | | | COLT 2019-1 M1 Mortgage Loan Trust, 4.518%, 03/25/2049 | | | 1,011,193 | | | | 0.0 | |
4,736,352(1),(3) | | | COLT 2019-4 A3 Mortgage Loan Trust, 2.988%, 11/25/2049 | | | 4,730,439 | | | | 0.2 | |
6,000,000(1) | | | Connecticut Avenue Securities Trust 2019-R07 1M2, 3.892%, (US0001M + 2.100%), 10/25/2039 | | | 6,063,651 | | | | 0.2 | |
26,535 | | | Countrywide Alternative Loan Trust 2005-53T2 2A6, 2.292%, (US0001M + 0.500%), 11/25/2035 | | | 14,933 | | | | 0.0 | |
984,934 | | | Countrywide Asset-Backed Certificates 2005-IM1 M1, 2.512%, (US0001M + 0.720%), 11/25/2035 | | | 980,816 | | | | 0.0 | |
4,273,131(1),(6) | | | CSMC 2019-AFC1 A3 Trust, 2.877% (Step Rate @ 3.877% on 0), 07/25/2049 | | | 4,265,588 | | | | 0.2 | |
800,000(1),(3) | | | CSMC 2017-HL1 A12 Trust, 3.500%, 06/25/2047 | | | 817,487 | | | | 0.0 | |
502,672 | | | CSMC Series 2007-2 3A6, 5.400%, 03/25/2037 | | | 426,262 | | | | 0.0 | |
1,754,657(1),(3) | | | CSMC Trust 2013-7 A11, 3.500%, 08/25/2043 | | | 1,804,812 | | | | 0.1 | |
1,500,000(1),(3) | | | Deephave Residential Mortgage Trust 2019-2A M1, 3.921%, 04/25/2059 | | | 1,522,797 | | | | 0.1 | |
1,400,000(1),(3) | | | Deephaven Residential Mortgage Trust 2018-2A M1, 4.375%, 04/25/2058 | | | 1,413,515 | | | | 0.1 | |
2,126,000(1),(3) | | | Deephaven Residential Mortgage Trust 2018-3 M1, 4.357%, 08/25/2058 | | | 2,151,474 | | | | 0.1 | |
2,000,000(1),(3) | | | Deephaven Residential Mortgage Trust 2019-1A M1, 4.402%, 08/25/2058 | | | 2,023,428 | | | | 0.1 | |
2,000,000(1),(3) | | | Deephaven Residential Mortgage Trust 2019-4 M1, 3.484%, 10/25/2059 | | | 2,002,697 | | | | 0.1 | |
Principal Amount† | | | | | Value | | | Percentage of Net Assets | |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | | | | | | | |
675,777 | | | Deutsche ALT-A Securities, Inc. ALT 2007-AB1 A1, 2.092%, (US0001M + 0.300%), 04/25/2037 | | $ | 433,185 | | | | 0.0 | |
153,333(1),(3) | | | Deutsche Mortgage Securities, Inc. Re-REMIC Trust Certificates Series 2007-WM1 A1, 3.804%, 06/27/2037 | | | 157,801 | | | | 0.0 | |
2,444,723(1),(3) | | | Ellington Financial Mortgage Trust 2019-2 A3, 3.046%, 11/25/2059 | | | 2,448,947 | | | | 0.1 | |
790,804(7) | | | Fannie Mae 2007-18 BS, 4.808%, (-1.000*US0001M + 6.600%), 06/25/2035 | | | 141,786 | | | | 0.0 | |
2,193,617(7) | | | Fannie Mae 2008-94 SI, 3.708%, (-1.000*US0001M + 5.500%), 04/25/2036 | | | 459,414 | | | | 0.0 | |
858,598(7) | | | Fannie Mae 2009-95 HI, 6.000%, 12/25/2038 | | | 29,271 | | | | 0.0 | |
314,618 | | | Fannie Mae 2010-15 FD, 2.532%, (US0001M + 0.740%), 03/25/2040 | | | 318,678 | | | | 0.0 | |
846,790 | | | Fannie Mae 2011-47 GF, 2.362%, (US0001M + 0.570%), 06/25/2041 | | | 851,479 | | | | 0.0 | |
268,194 | | | Fannie Mae 2012-10 UF, 2.342%, (US0001M + 0.550%), 02/25/2042 | | | 270,136 | | | | 0.0 | |
312,988(7) | | | Fannie Mae 2012-84 KI, 6.000%, (US0001M + 6.000%), 08/25/2042 | | | 68,287 | | | | 0.0 | |
1,194,110(7) | | | Fannie Mae 2012-93 IL, 3.000%, 09/25/2027 | | | 82,041 | | | | 0.0 | |
7,041,141(7) | | | Fannie Mae 2013-67 AI, 3.000%, 07/25/2028 | | | 494,309 | | | | 0.0 | |
1,802,004(7) | | | Fannie Mae 2015-56 DI, 3.000%, 12/25/2032 | | | 102,112 | | | | 0.0 | |
38,587,492(7) | | | Fannie Mae 2018-86 US, 4.408%, (-1.000*US0001M + 6.200%), 12/25/2048 | | | 6,545,511 | | | | 0.2 | |
3,050,000 | | | Fannie Mae Connecticut Avenue Securities 16-C06 1M2, 6.042%, (US0001M + 4.250%), 04/25/2029 | | | 3,278,733 | | | | 0.1 | |
127,194 | | | Fannie Mae Connecticut Avenue Securities 2014-CO4 1M2, 6.692%, (US0001M + 4.900%), 11/25/2024 | | | 139,800 | | | | 0.0 | |
2,169,443 | | | Fannie Mae Connecticut Avenue Securities 2015-C02 1M2, 5.792%, (US0001M + 4.000%), 05/25/2025 | | | 2,303,541 | | | | 0.1 | |
1,708,629 | | | Fannie Mae Connecticut Avenue Securities 2015-C03 2M2, 6.792%, (US0001M + 5.000%), 07/25/2025 | | | 1,816,556 | | | | 0.1 | |
2,286,863 | | | Fannie Mae Connecticut Avenue Securities 2015-C04 2M2, 7.342%, (US0001M + 5.550%), 04/25/2028 | | | 2,442,867 | | | | 0.1 | |
5,093,630 | | | Fannie Mae Connecticut Avenue Securities 2015-CO1 1M2, 6.092%, (US0001M + 4.300%), 02/25/2025 | | | 5,427,109 | | | | 0.2 | |
1,737,447 | | | Fannie Mae Connecticut Avenue Securities 2016-C01 2M2, 8.742%, (US0001M + 6.950%), 08/25/2028 | | | 1,900,811 | | | | 0.1 | |
5,200,000 | | | Fannie Mae Connecticut Avenue Securities 2016-C04 1M2, 6.042%, (US0001M + 4.250%), 01/25/2029 | | | 5,533,344 | | | | 0.2 | |
6,625,061 | | | Fannie Mae Connecticut Avenue Securities 2016-C05 2M2, 6.242%, (US0001M + 4.450%), 01/25/2029 | | | 7,004,608 | | | | 0.2 | |
8,890,595 | | | Fannie Mae Connecticut Avenue Securities 2016-C07 2M2, 6.142%, (US0001M + 4.350%), 05/25/2029 | | | 9,382,688 | | | | 0.3 | |
2,500,000 | | | Fannie Mae Connecticut Avenue Securities 2017-C01 1M2, 5.342%, (US0001M + 3.550%), 07/25/2029 | | | 2,647,800 | | | | 0.1 | |
4,900,000 | | | Fannie Mae Connecticut Avenue Securities 2017-C02 2M2, 5.442%, (US0001M + 3.650%), 09/25/2029 | | | 5,165,940 | | | | 0.2 | |
8,500,000 | | | Fannie Mae Connecticut Avenue Securities 2017-C03 1M2, 4.792%, (US0001M + 3.000%), 10/25/2029 | | | 8,887,486 | | | | 0.3 | |
1,400,000 | | | Fannie Mae Connecticut Avenue Securities 2017-C04 2M2, 4.642%, (US0001M + 2.850%), 11/25/2029 | | | 1,449,083 | | | | 0.1 | |
Principal Amount† | | | | | Value | | | Percentage of Net Assets | |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | | | | | | | |
6,575,000 | | | Fannie Mae Connecticut Avenue Securities 2017-C05 1M2, 3.992%, (US0001M + 2.200%), 01/25/2030 | | $ | 6,693,422 | | | | 0.2 | |
5,150,000 | | | Fannie Mae Connecticut Avenue Securities 2017-C06 1M2, 4.442%, (US0001M + 2.650%), 02/25/2030 | | | 5,289,449 | | | | 0.2 | |
950,000 | | | Fannie Mae Connecticut Avenue Securities 2017-C07 1M2, 4.192%, (US0001M + 2.400%), 05/28/2030 | | | 968,472 | | | | 0.0 | |
6,381,705 | | | Fannie Mae Connecticut Avenue Securities 2017-C07 2M2, 4.292%, (US0001M + 2.500%), 05/25/2030 | | | 6,484,662 | | | | 0.2 | |
3,742,755 | | | Fannie Mae Connecticut Avenue Securities 2017-CO6 2M2, 4.592%, (US0001M + 2.800%), 02/25/2030 | | | 3,847,074 | | | | 0.1 | |
4,339,875 | | | Fannie Mae Connecticut Avenue Securities 2018-C02 2M2, 3.992%, (US0001M + 2.200%), 08/25/2030 | | | 4,381,211 | | | | 0.2 | |
3,200,000 | | | Fannie Mae Connecticut Avenue Securities 2018-C03 1M2, 3.942%, (US0001M + 2.150%), 10/25/2030 | | | 3,227,583 | | | | 0.1 | |
3,300,000 | | | Fannie Mae Connecticut Avenue Securities 2018-C04 2M2, 4.342%, (US0001M + 2.550%), 12/25/2030 | | | 3,361,562 | | | | 0.1 | |
9,000,000 | | | Fannie Mae Connecticut Avenue Securities 2018-C05 1M2, 4.142%, (US0001M + 2.350%), 01/25/2031 | | | 9,136,874 | | | | 0.3 | |
1,000,000 | | | Fannie Mae Connecticut Avenue Securities 2018-C06 1B1, 5.542%, (US0001M + 3.750%), 03/25/2031 | | | 1,059,763 | | | | 0.0 | |
7,212,719 | | | Fannie Mae Connecticut Avenue Securities 2018-C06 1M2, 3.792%, (US0001M + 2.000%), 03/25/2031 | | | 7,248,736 | | | | 0.3 | |
1,100,000 | | | Fannie Mae Connecticut Avenue Securities 2018-C06 2B1, 5.892%, (US0001M + 4.100%), 03/25/2031 | | | 1,190,622 | | | | 0.0 | |
4,400,000 | | | Fannie Mae Connecticut Avenue Securities 2018-C06 2M2, 3.892%, (US0001M + 2.100%), 03/25/2031 | | | 4,428,621 | | | | 0.2 | |
8,540,000 | | | Fannie Mae Connecticut Avenue Securities 2018-CO1 1M2, 4.042%, (US0001M + 2.250%), 07/25/2030 | | | 8,660,794 | | | | 0.3 | |
8,000,000(1) | | | Fannie Mae Connecticut Avenue Securities 2019-R02 1M2, 4.092%, (US0001M + 2.300%), 08/25/2031 | | | 8,080,861 | | | | 0.3 | |
2,825,013(1) | | | Fannie Mae Connecticut Avenue Securities Trust 2018-R07 1M2, 4.192%, (US0001M + 2.400%), 04/25/2031 | | | 2,860,115 | | | | 0.1 | |
6,000,000(1) | | | Fannie Mae Connecticut Avenue Securities Trust 2019-R01 2M2, 4.242%, (US0001M + 2.450%), 07/25/2031 | | | 6,079,210 | | | | 0.2 | |
5,628,647 | | | Fannie Mae Connecticut Avenue Securities, 7.492%, (US0001M + 5.700%), 04/25/2028 | | | 6,256,568 | | | | 0.2 | |
4,739,206 | | | Fannie Mae Connecticut Avenue Securities, 7.692%, (US0001M + 5.900%), 10/25/2028 | | | 5,125,126 | | | | 0.2 | |
5,722,235 | | | Fannie Mae Connecticut Avenue Securities, 7.792%, (US0001M + 6.000%), 09/25/2028 | | | 6,301,760 | | | | 0.2 | |
183,203(7) | | | Fannie Mae REMIC Trust 2000-26 SP, 6.708%, (-1.000*US0001M + 8.500%), 08/25/2030 | | | 39,204 | | | | 0.0 | |
231,886(7) | | | Fannie Mae REMIC Trust 2002-13 SR, 4.808%, (-1.000*US0001M + 6.600%), 03/25/2032 | | | 34,707 | | | | 0.0 | |
126,366(7) | | | Fannie Mae REMIC Trust 2004-64 SW, 5.258%, (-1.000*US0001M + 7.050%), 08/25/2034 | | | 23,305 | | | | 0.0 | |
88,922(7) | | | Fannie Mae REMIC Trust 2004-66 SE, 4.708%, (-1.000*US0001M + 6.500%), 09/25/2034 | | | 14,580 | | | | 0.0 | |
453,840(7) | | | Fannie Mae REMIC Trust 2009-25 SN, 4.758%, (-1.000*US0001M + 6.550%), 04/25/2039 | | | 94,155 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | Percentage of Net Assets | |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | | | | | | | |
198,096(7) | | | Fannie Mae REMIC Trust 2012-146 LI, 4.500%, 10/25/2041 | | $ | 12,981 | | | | 0.0 | |
21,122,339(7) | | | Fannie Mae REMIC Trust 2012-66 IB, 0.050%, (-1.000*US0001M + 6.050%), 06/25/2042 | | | 42,407 | | | | 0.0 | |
967,476(7) | | | Fannie Mae REMIC Trust 2013-116 SC, 4.408%, (-1.000*US0001M + 6.200%), 04/25/2033 | | | 108,727 | | | | 0.0 | |
2,052,513(7) | | | Fannie Mae REMICS 2004-53 UC, 5.758%, (-1.000*US0001M + 7.550%), 07/25/2034 | | | 438,503 | | | | 0.0 | |
2,289,000(7) | | | Fannie Mae REMICS 2005-59 NS, 4.958%, (-1.000*US0001M + 6.750%), 05/25/2035 | | | 280,333 | | | | 0.0 | |
7,235,429(7) | | | Fannie Mae REMICS 2007-22 SD, 4.608%, (-1.000*US0001M + 6.400%), 03/25/2037 | | | 1,390,765 | | | | 0.1 | |
5,348,963(7) | | | Fannie Mae REMICS 2007-30 IE, 4.948%, (-1.000*US0001M + 6.740%), 04/25/2037 | | | 1,315,638 | | | | 0.1 | |
3,772,873(7) | | | Fannie Mae REMICS 2007-55 S, 4.968%, (-1.000*US0001M + 6.760%), 06/25/2037 | | | 712,379 | | | | 0.0 | |
8,319,939(7) | | | Fannie Mae REMICS 2011-123 SD, 4.808%, (-1.000*US0001M + 6.600%), 08/25/2039 | | | 763,709 | | | | 0.0 | |
26,719,949(7) | | | Fannie Mae REMICS 2012-111 UI, 3.000%, 10/25/2027 | | | 1,953,450 | | | | 0.1 | |
21,835,808(7) | | | Fannie Mae REMICS 2012-128 KI, 3.000%, 11/25/2027 | | | 1,572,032 | | | | 0.1 | |
7,602,318(7) | | | Fannie Mae REMICS 2012-150 PS, 4.358%, (-1.000*US0001M + 6.150%), 01/25/2043 | | | 1,119,155 | | | | 0.0 | |
22,074,040(7) | | | Fannie Mae REMICS 2013-1 LI, 2.500%, 02/25/2028 | | | 1,401,567 | | | | 0.1 | |
8,591,243(7) | | | Fannie Mae REMICS 2013-21 KI, 3.000%, 03/25/2028 | | | 628,982 | | | | 0.0 | |
9,313,682(7) | | | Fannie Mae REMICS 2013-32 EI, 2.500%, 04/25/2033 | | | 912,933 | | | | 0.0 | |
6,444,117(7) | | | Fannie Mae REMICS 2013-97 JS, 4.358%, (-1.000*US0001M + 6.150%), 04/25/2038 | | | 937,995 | | | | 0.0 | |
14,221,012(7) | | | Fannie Mae REMICS 2019-15 AI, 4.000%, 04/25/2059 | | | 3,098,043 | | | | 0.1 | |
31,032,859(7) | | | Fannie Mae REMICS 2019-17 SA, 4.308%, (-1.000*US0001M + 6.100%), 04/25/2049 | | | 5,271,741 | | | | 0.2 | |
30,342,474(7) | | | Fannie Mae REMICS 2019-8 SB, 4.308%, (-1.000*US0001M + 6.100%), 03/25/2049 | | | 5,184,652 | | | | 0.2 | |
638,732 | | | Fannie Mae Series 2006-11 FA, 2.092%, (US0001M + 0.300%), 03/25/2036 | | | 635,333 | | | | 0.0 | |
963,701(7) | | | Fannie Mae Interest Strip Series 346 6, 5.000%, 10/25/2033 | | | 176,019 | | | | 0.0 | |
183,586 | | | Fannie Mae REMICS 2006-46 SP, 17.629%, (-3.667*US0001M + 24.200%), 06/25/2036 | | | 288,570 | | | | 0.0 | |
697,369(7) | | | Fannie Mae REMICS 2010-102 DI, 4.000%, 06/25/2029 | | | 23,809 | | | | 0.0 | |
659,448(7) | | | Fannie Mae REMICS 2011-48 HI, 4.000%, 10/25/2038 | | | 29,528 | | | | 0.0 | |
2,194,193(7) | | | Fannie Mae REMICS 2012-121 DI, 2.500%, 11/25/2027 | | | 135,533 | | | | 0.0 | |
5,635,077(7) | | | Fannie Mae REMICS 2012-148 IB, 3.500%, 01/25/2028 | | | 462,507 | | | | 0.0 | |
2,754,111(7) | | | Fannie Mae REMICS 2013-137 PI, 5.000%, 10/25/2041 | | | 457,926 | | | | 0.0 | |
21,662,320(7) | | | Fannie Mae REMICS 2013-19 JS, 4.408%, (-1.000*US0001M + 6.200%), 10/25/2041 | | | 2,823,174 | | | | 0.1 | |
2,444,355(7) | | | Fannie Mae REMICS 2013-2 NI, 4.000%, 02/25/2043 | | | 334,993 | | | | 0.0 | |
3,059,221(7) | | | Fannie Mae REMICS 2013-41 BI, 3.000%, 05/25/2028 | | | 216,874 | | | | 0.0 | |
2,856,697(7) | | | Fannie Mae REMICS 2013-69 PI, 3.000%, 04/25/2033 | | | 248,227 | | | | 0.0 | |
13,410,635(7) | | | Fannie Mae REMICS 2016-19 SB, 4.308%, (-1.000*US0001M + 6.100%), 04/25/2046 | | | 2,203,033 | | | | 0.1 | |
3,795,080(7) | | | Fannie Mae REMICS 2016-4 BI, 4.000%, 02/25/2046 | | | 646,536 | | | | 0.0 | |
2,576,731(7) | | | Fannie Mae REMICS 2016-61 PI, 4.500%, 01/25/2046 | | | 488,307 | | | | 0.0 | |
88,224 | | | First Horizon Alternative Mortgage Securities Trust 2006-FA8 1A7, 6.000%, 02/25/2037 | | | 62,653 | | | | 0.0 | |
800,000(1),(3) | | | Flagstar Mortgage Trust 2017-2 A7, 3.500%, 10/25/2047 | | | 817,857 | | | | 0.0 | |
672,339(1),(3) | | | Flagstar Mortgage Trust 2018-1 B3, 4.030%, 03/25/2048 | | | 680,483 | | | | 0.0 | |
4,833,999(1),(3) | | | Flagstar Mortgage Trust 2018-2 B2, 4.050%, 04/25/2048 | | | 4,967,074 | | | | 0.2 | |
3,970,330(1),(3) | | | Flagstar Mortgage Trust 2018-3INV A3, 4.000%, 05/25/2048 | | | 4,059,796 | | | | 0.1 | |
977,795(1),(3) | | | Flagstar Mortgage Trust 2018-5 B3, 4.537%, 09/25/2048 | | | 1,020,128 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | Percentage of Net Assets | |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | | | | | | | |
675,000(1),(3) | | | Flagstar Mortgage Trust 2018-6RR 1A7, 4.000%, 10/25/2048 | | $ | 728,640 | | | | 0.0 | |
3,693,112(1),(3) | | | Flagstar Mortgage Trust 2018-6RR B1, 5.022%, 10/25/2048 | | | 4,090,962 | | | | 0.1 | |
1,497,668(1),(3) | | | Flagstar Mortgage Trust 2019-2 B1, 4.202%, 12/25/2049 | | | 1,569,658 | | | | 0.1 | |
2,096,735(1),(3) | | | Flagstar Mortgage Trust 2019-2 B2, 4.202%, 12/25/2049 | | | 2,169,469 | | | | 0.1 | |
1,708,540(7) | | | Freddie Mac 2009-70 PS, 4.958%, (-1.000*US0001M + 6.750%), 01/25/2037 | | | 369,798 | | | | 0.0 | |
276,004(7) | | | Freddie Mac 2524 SH, 5.760%, (-1.000*US0001M + 7.500%), 11/15/2032 | | | 28,026 | | | | 0.0 | |
467,932(7) | | | Freddie Mac 2525 SM, 6.260%, (-1.000*US0001M + 8.000%), 02/15/2032 | | | 101,026 | | | | 0.0 | |
443,001(7) | | | Freddie Mac 2981 CS, 4.980%, (-1.000*US0001M + 6.720%), 05/15/2035 | | | 72,303 | | | | 0.0 | |
236,955(7) | | | Freddie Mac 2989 HS, 5.410%, (-1.000*US0001M + 7.150%), 08/15/2034 | | | 98,811 | | | | 0.0 | |
240,767(7) | | | Freddie Mac 3018 SM, 5.460%, (-1.000*US0001M + 7.200%), 08/15/2035 | | | 51,043 | | | | 0.0 | |
2,366,037(7) | | | Freddie Mac 3222 SN, 4.860%, (-1.000*US0001M + 6.600%), 09/15/2036 | | | 420,080 | | | | 0.0 | |
423,725(3),(7) | | | Freddie Mac 324 144, 6.000%, 06/15/2039 | | | 92,575 | | | | 0.0 | |
855,408(7) | | | Freddie Mac 3523 SA, 4.260%, (-1.000*US0001M + 6.000%), 09/15/2036 | | | 147,178 | | | | 0.0 | |
750,516(7) | | | Freddie Mac 3582 MS, 4.410%, (-1.000*US0001M + 6.150%), 10/15/2039 | | | 137,360 | | | | 0.0 | |
1,157,782(7) | | | Freddie Mac 3688 BI, 5.000%, 07/15/2040 | | | 219,727 | | | | 0.0 | |
4,901,109(7) | | | Freddie Mac 4186 IA, 3.000%, 03/15/2033 | | | 560,199 | | | | 0.0 | |
180,740(7) | | | Freddie Mac 4333 AI, 5.500%, 02/15/2044 | | | 33,523 | | | | 0.0 | |
8,673,942(7) | | | Freddie Mac 4813 IO, 5.500%, 08/15/2048 | | | 1,918,638 | | | | 0.1 | |
126,237(7) | | | Freddie Mac REMIC Trust 2266 S, 6.810%, (-1.000*US0001M + 8.550%), 11/15/2030 | | | 22,200 | | | | 0.0 | |
213,055(7) | | | Freddie Mac REMIC Trust 2374 S, 6.360%, (-1.000*US0001M + 8.100%), 06/15/2031 | | | 45,703 | | | | 0.0 | |
118,193(7) | | | Freddie Mac REMIC Trust 2417 SY, 6.660%, (-1.000*US0001M + 8.400%), 12/15/2031 | | | 27,727 | | | | 0.0 | |
239,016(7) | | | Freddie Mac REMIC Trust 2577 SA, 5.710%, (-1.000*US0001M + 7.450%), 02/15/2033 | | | 51,510 | | | | 0.0 | |
3,405 | | | Freddie Mac REMIC Trust 2973 SB, 11.954%, (-3.667*US0001M + 18.333%), 05/15/2035 | | | 3,445 | | | | 0.0 | |
114,544(7) | | | Freddie Mac REMIC Trust 2981 SU, 6.060%, (-1.000*US0001M + 7.800%), 05/15/2030 | | | 18,008 | | | | 0.0 | |
167,529 | | | Freddie Mac REMIC Trust 3031 BP, 8.000%, (-6.723*US0001M + 44.975%), 08/15/2035 | | | 190,520 | | | | 0.0 | |
779,446(7) | | | Freddie Mac REMIC Trust 3049 PI, 4.910%, (-1.000*US0001M + 6.650%), 10/15/2035 | | | 150,712 | | | | 0.0 | |
62,177 | | | Freddie Mac REMIC Trust 3085 SK, 45.123%, (-12.000*US0001M + 66.000%), 12/15/2035 | | | 179,172 | | | | 0.0 | |
87,670(8),(9) | | | Freddie Mac REMIC Trust 3151 PO, 0.000%, 05/15/2036 | | | 78,806 | | | | 0.0 | |
131,949(7) | | | Freddie Mac REMIC Trust 3590 PI, 6.000%, 07/15/2039 | | | 5,146 | | | | 0.0 | |
231,436(7) | | | Freddie Mac REMIC Trust 3624 TS, 3.060%, (-1.000*US0001M + 4.800%), 01/15/2040 | | | 27,177 | | | | 0.0 | |
355,720(7) | | | Freddie Mac REMIC Trust 4261 ID, 6.500%, 06/15/2032 | | | 54,377 | | | | 0.0 | |
1,215,548(7) | | | Freddie Mac REMIC Trust 4287 CI, 4.500%, 07/15/2041 | | | 173,588 | | | | 0.0 | |
2,107,842(7) | | | Freddie Mac REMICS 2781 SB, 5.410%, (-1.000*US0001M + 7.150%), 04/15/2034 | | | 410,675 | | | | 0.0 | |
667,598 | | | Freddie Mac REMICS 2921 PF, 2.090%, (US0001M + 0.350%), 01/15/2035 | | | 664,981 | | | | 0.0 | |
5,161,866(7) | | | Freddie Mac REMICS 3128 JI, 4.890%, (-1.000*US0001M + 6.630%), 03/15/2036 | | | 1,071,882 | | | | 0.0 | |
21,739,150(7) | | | Freddie Mac REMICS 4120 TI, 2.500%, 10/15/2027 | | | 1,264,999 | | | | 0.1 | |
10,688,031(7) | | | Freddie Mac REMICS 4182 IL, 3.000%, 03/15/2028 | | | 764,886 | | | | 0.0 | |
50,743,232(7) | | | Freddie Mac REMICS 4273 PS, 4.360%, (-1.000*US0001M + 6.100%), 11/15/2043 | | | 8,761,798 | | | | 0.3 | |
4,269,926(7) | | | Freddie Mac REMICS 4290 EI, 5.000%, 12/15/2043 | | | 764,788 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | Percentage of Net Assets | |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | | | | | | | |
1,330,566 | | | Freddie Mac REMICS Trust 3740 FB, 2.240%, (US0001M + 0.500%), 10/15/2040 | | $ | 1,329,435 | | | | 0.1 | |
1,500,000(1) | | | Freddie Mac STACR Trust 2018-DNA2 M2, 3.942%, (US0001M + 2.150%), 12/25/2030 | | | 1,516,136 | | | | 0.1 | |
2,200,000(1) | | | Freddie Mac STACR Trust 2018-DNA3 M2, 3.892%, (US0001M + 2.100%), 09/25/2048 | | | 2,219,848 | | | | 0.1 | |
1,592,400(7) | | | Freddie Mac Strips Series 224 IO, 6.000%, 03/01/2033 | | | 360,690 | | | | 0.0 | |
805,901(7) | | | Freddie Mac Strips Series 237 S23, 5.360%, (-1.000*US0001M + 7.100%), 05/15/2036 | | | 166,778 | | | | 0.0 | |
1,173,934(7) | | | Freddie Mac Strips Series 260 33, 4.000%, 05/15/2039 | | | 166,099 | | | | 0.0 | |
1,168,387 | | | Freddie Mac Structured Agency Credit Risk Debt Notes 2014-DN3 M3, 5.792%, (US0001M + 4.000%), 08/25/2024 | | | 1,245,809 | | | | 0.1 | |
1,200,000 | | | Freddie Mac Structured Agency Credit Risk Debt Notes 2015-DNA3 M3, 6.492%, (US0001M + 4.700%), 04/25/2028 | | | 1,330,583 | | | | 0.1 | |
500,000 | | | Freddie Mac Structured Agency Credit Risk Debt Notes 2015-HQA1 M3, 6.492%, (US0001M + 4.700%), 03/25/2028 | | | 532,629 | | | | 0.0 | |
6,200,000 | | | Freddie Mac Structured Agency Credit Risk Debt Notes 2016-DNA1 M3, 7.342%, (US0001M + 5.550%), 07/25/2028 | | | 6,845,788 | | | | 0.2 | |
4,665,000 | | | Freddie Mac Structured Agency Credit Risk Debt Notes 2016-HQA2 M3, 6.942%, (US0001M + 5.150%), 11/25/2028 | | | 5,105,880 | | | | 0.2 | |
500,000 | | | Freddie Mac Structured Agency Credit Risk Debt Notes 2016-HQA3 M3, 5.642%, (US0001M + 3.850%), 03/25/2029 | | | 534,002 | | | | 0.0 | |
7,910,000 | | | Freddie Mac Structured Agency Credit Risk Debt Notes 2017-DNA2 M2, 5.242%, (US0001M + 3.450%), 10/25/2029 | | | 8,433,860 | | | | 0.3 | |
2,750,000 | | | Freddie Mac Structured Agency Credit Risk Debt Notes 2017-DNA3 M2, 4.292%, (US0001M + 2.500%), 03/25/2030 | | | 2,817,176 | | | | 0.1 | |
8,800,000 | | | Freddie Mac Structured Agency Credit Risk Debt Notes 2017-HQA1 M2, 5.342%, (US0001M + 3.550%), 08/25/2029 | | | 9,250,277 | | | | 0.3 | |
5,550,000 | | | Freddie Mac Structured Agency Credit Risk Debt Notes 2017-HQA2 M2, 4.442%, (US0001M + 2.650%), 12/25/2029 | | | 5,707,879 | | | | 0.2 | |
3,883,470 | | | Freddie Mac Structured Agency Credit Risk Debt Notes 2017-HQA3 M2, 4.142%, (US0001M + 2.350%), 04/25/2030 | | | 3,953,338 | | | | 0.1 | |
1,000,000 | | | Freddie Mac Structured Agency Credit Risk Debt Notes 2018-DNA1 M2, 3.592%, (US0001M + 1.800%), 07/25/2030 | | | 1,002,974 | | | | 0.0 | |
3,300,000 | | | Freddie Mac Structured Agency Credit Risk Debt Notes 2018-HQA1 M2, 4.092%, (US0001M + 2.300%), 09/25/2030 | | | 3,340,148 | | | | 0.1 | |
5,600,000(1) | | | Freddie Mac Structured Agency Credit Risk Debt Notes 2019-DNA1 M2, 4.442%, (US0001M + 2.650%), 01/25/2049 | | | 5,708,809 | | | | 0.2 | |
1,600,000(1) | | | Freddie Mac Structured Agency Credit Risk Debt Notes 2019-HQA2 M2, 3.842%, (US0001M + 2.050%), 04/25/2049 | | | 1,608,728 | | | | 0.1 | |
2,379,960(7) | | | Freddie Mac REMICS 3298 S, 4.370%, (-1.000*US0001M + 6.110%), 04/15/2037 | | | 430,918 | | | | 0.0 | |
118,561(7) | | | Freddie Mac REMICS 3759 DI, 4.000%, 10/15/2029 | | | 2,035 | | | | 0.0 | |
320,298(7) | | | Freddie Mac REMICS 3763 AI, 3.500%, 06/15/2025 | | | 9,958 | | | | 0.0 | |
2,752,053(7) | | | Freddie Mac REMICS 3851 PI, 4.000%, 08/15/2038 | | | 97,921 | | | | 0.0 | |
6,631,261(7) | | | Freddie Mac REMICS 4097 IC, 2.500%, 08/15/2027 | | | 402,728 | | | | 0.0 | |
1,642,333(7) | | | Freddie Mac REMICS 4116 IL, 4.500%, 05/15/2042 | | | 254,167 | | | | 0.0 | |
3,251,966(7) | | | Freddie Mac REMICS 4136 QI, 3.000%, 11/15/2032 | | | 226,070 | | | | 0.0 | |
2,340,961(7) | | | Freddie Mac REMICS 4143 IK, 4.000%, 10/15/2041 | | | 242,173 | | | | 0.0 | |
2,566,094(7) | | | Freddie Mac REMICS 4153 YI, 3.000%, 09/15/2042 | | | 122,526 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | Percentage of Net Assets | |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | | | | | | | |
3,850,759(7) | | | Freddie Mac REMICS 4157 IH, 3.500%, 01/15/2043 | | $ | 550,693 | | | | 0.0 | |
2,728,355(7) | | | Freddie Mac REMICS 4162 DI, 2.000%, 02/15/2028 | | | 133,043 | | | | 0.0 | |
2,225,868(7) | | | Freddie Mac REMICS 4266 LI, 3.500%, 06/15/2028 | | | 131,524 | | | | 0.0 | |
1,046,048 | | | Freddie Mac REMICS 4385 LS, 5.387%, (-2.333*US0001M + 9.333%), 07/15/2037 | | | 1,166,114 | | | | 0.0 | |
4,389,424(7) | | | Freddie Mac REMICS 4494 LI, 5.000%, 12/15/2043 | | | 585,421 | | | | 0.0 | |
11,715,838(7) | | | Freddie Mac REMICS 4618 SA, 4.260%, (-1.000*US0001M + 6.000%), 09/15/2046 | | | 2,385,592 | | | | 0.1 | |
5,786,985 | | | Freddie Mac REMICS 4625 BI, 3.500%, 06/15/2046 | | | 802,681 | | | | 0.0 | |
4,216,375(7) | | | Freddie Mac REMICS 4708 KI, 4.500%, 11/15/2046 | | | 745,099 | | | | 0.0 | |
57,424,498(7) | | | Freddie Mac REMICS 4903 NS, 4.360%, (-1.000*US0001M + 6.100%), 08/25/2049 | | | 10,346,103 | | | | 0.4 | |
28,368,895(7) | | | Freddie Mac REMICS 4909 SJ, 4.310%, (-1.000*US0001M + 6.050%), 09/25/2049 | | | 5,743,708 | | | | 0.2 | |
9,002,030(7) | | | Freddie Mac REMICS 4910 SD, 4.310%, (-1.000*US0001M + 6.050%), 06/15/2049 | | | 1,936,323 | | | | 0.1 | |
26,298,526(7) | | | Freddie Mac REMICS 4910 SH, 4.310%, (-1.000*US0001M + 6.050%), 09/25/2049 | | | 5,673,357 | | | | 0.2 | |
36,889,222(7) | | | Freddie Mac REMICS 4924 SY, 4.310%, (-1.000*US0001M + 6.050%), 10/25/2049 | | | 8,045,576 | | | | 0.3 | |
3,264,553(7) | | | Freddie Mac Strips 287 IO, 3.000%, 10/15/2027 | | | 241,544 | | | | 0.0 | |
2,840,000 | | | Freddie Mac Structured Agency Credit Risk Debt Notes 2017-DNA1 M2, 5.042%, (US0001M + 3.250%), 07/25/2029 | | | 2,987,598 | | | | 0.1 | |
2,473,355(1),(3) | | | Galton Funding Mortgage Trust 2019-1 B1, 4.250%, 02/25/2059 | | | 2,579,969 | | | | 0.1 | |
1,978,684(1),(3) | | | Galton Funding Mortgage Trust 2019-1 B2, 4.500%, 02/25/2059 | | | 2,067,937 | | | | 0.1 | |
806,106(1),(3) | | | Galton Funding Mortgage Trust 2017-2 A21, 4.000%, 06/25/2059 | | | 815,516 | | | | 0.0 | |
1,650,378(1),(3) | | | Galton Funding Mortgage Trust 2018-2 B2, 4.750%, 10/25/2058 | | | 1,749,767 | | | | 0.1 | |
6,373,060(7) | | | Ginnie Mae 2007-59 SC, 4.735%, (-1.000*US0001M + 6.500%), 07/20/2037 | | | 1,195,767 | | | | 0.0 | |
241,284(7) | | | Ginnie Mae 2011-101 EI, 6.000%, (-19.355*US0001M + 109.161%), 10/16/2039 | | | 60,148 | | | | 0.0 | |
39,198,158(7) | | | Ginnie Mae 2013-130 SB, 3.342%, (-1.000*US0001M + 5.050%), 09/16/2043 | | | 5,058,460 | | | | 0.2 | |
567,987(7) | | | Ginnie Mae Series 2008-40 SA, 4.660%, (-1.000*US0001M + 6.400%), 05/16/2038 | | | 102,593 | | | | 0.0 | |
990,052(7) | | | Ginnie Mae Series 2009-116 SJ, 4.740%, (-1.000*US0001M + 6.480%), 12/16/2039 | | | 199,531 | | | | 0.0 | |
976,174(7) | | | Ginnie Mae Series 2010-4 SL, 4.660%, (-1.000*US0001M + 6.400%), 01/16/2040 | | | 180,477 | | | | 0.0 | |
267,154(7) | | | Ginnie Mae Series 2010-98 QS, 4.835%, (-1.000*US0001M + 6.600%), 01/20/2040 | | | 26,742 | | | | 0.0 | |
2,623,734(7) | | | Ginnie Mae Series 2011-101 BI, 0.650%, (-1.000*US0001M + 6.650%), 11/20/2037 | | | 62,022 | | | | 0.0 | |
8,053,302(7) | | | Ginnie Mae Series 2011-25 AS, 4.295%, (-1.000*US0001M + 6.060%), 02/20/2041 | | | 1,382,311 | | | | 0.1 | |
50,776(7) | | | Ginnie Mae Series 2012-149 BI, 3.500%, 10/20/2041 | | | 5,870 | | | | 0.0 | |
3,968,984(7) | | | Ginnie Mae Series 2013-103 DS, 4.385%, (-1.000*US0001M + 6.150%), 07/20/2043 | | | 719,463 | | | | 0.0 | |
162,086(7) | | | Ginnie Mae Series 2013-134 DS, 4.335%, (-1.000*US0001M + 6.100%), 09/20/2043 | | | 29,131 | | | | 0.0 | |
367,488(7) | | | Ginnie Mae Series 2013-44 LI, 4.500%, 01/16/2043 | | | 56,827 | | | | 0.0 | |
32,470,674(7) | | | Ginnie Mae Series 2015-144 SA, 4.435%, (-1.000*US0001M + 6.200%), 10/20/2045 | | | 6,771,603 | | | | 0.2 | |
5,894,141(7) | | | Ginnie Mae Series 2015-69 IL, 0.200%, (-1.000*US0001M + 6.700%), 07/20/2034 | | | 45,667 | | | | 0.0 | |
323,896(7) | | | Ginnie Mae Series 2015-98 IU, 4.000%, 08/20/2044 | | | 49,490 | | | | 0.0 | |
1,003,480(7) | | | Ginnie Mae Series 2016-8 PI, 4.000%, 10/20/2044 | | | 136,815 | | | | 0.0 | |
12,282,396(7) | | | Ginnie Mae Series 2018-153 SQ, 4.435%, (-1.000*US0001M + 6.200%), 11/20/2048 | | | 2,182,547 | | | | 0.1 | |
1,682,171(7) | | | Ginnie Mae Series 2010-143 JI, 4.000%, 08/16/2039 | | | 142,875 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | Percentage of Net Assets | |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | | | | | | | |
2,506,190(7) | | | Ginnie Mae Series 2010-143 PI, 4.000%, 11/16/2037 | | $ | 61,841 | | | | 0.0 | |
2,644,628(7) | | | Ginnie Mae Series 2010-4 IP, 5.000%, 01/16/2039 | | | 308,265 | | | | 0.0 | |
2,750,000(7) | | | Ginnie Mae Series 2011-124 KI, 4.000%, 08/20/2039 | | | 322,251 | | | | 0.0 | |
1,350,833 | | | Ginnie Mae Series 2011-159 CI, 5.000%, 06/16/2040 | | | 48,608 | | | | 0.0 | |
4,490,442(7) | | | Ginnie Mae Series 2012-148 IP, 3.500%, 04/20/2041 | | | 345,729 | | | | 0.0 | |
4,111,005(7) | | | Ginnie Mae Series 2012-39 PI, 4.000%, 03/16/2042 | | | 512,382 | | | | 0.0 | |
2,028,194(7) | | | Ginnie Mae Series 2013-81 IO, 4.500%, 01/16/2040 | | | 202,625 | | | | 0.0 | |
5,120,130(7) | | | Ginnie Mae Series 2014-84 PI, 4.500%, 04/20/2043 | | | 673,827 | | | | 0.0 | |
5,082,168(7) | | | Ginnie Mae Series 2015-132 BI, 4.000%, 11/20/2044 | | | 744,881 | | | | 0.0 | |
37,189,089(7) | | | Ginnie Mae Series 2018-93 SJ, 4.435%, (-1.000*US0001M + 6.200%), 07/20/2048 | | | 4,952,675 | | | | 0.2 | |
23,228,213(7) | | | Ginnie Mae Series 2019-89 SC, 4.335%, (-1.000*US0001M + 6.100%), 07/20/2049 | | | 4,877,202 | | | | 0.2 | |
979,562(1),(3) | | | GS Mortgage-Backed Securities Corp. Trust 2019-PJ1 A1, 4.000%, 08/25/2049 | | | 994,389 | | | | 0.0 | |
1,813,978(1),(3) | | | GS Mortgage-Backed Securities Corp. Trust 2019-PJ1 B3, 4.351%, 08/25/2049 | | | 1,851,345 | | | | 0.1 | |
1,466,943(1),(3) | | | GS Mortgage-Backed Securities Corp. Trust 2019-PJ2 A1, 4.000%, 11/25/2049 | | | 1,489,663 | | | | 0.1 | |
3,990,524(1),(3) | | | GS Mortgage-Backed Securities Corp. Trust 2019-PJ2 B2, 4.500%, 11/25/2049 | | | 4,198,553 | | | | 0.2 | |
3,969,684(1),(3) | | | GS Mortgage-Backed Securities Corp. Trust 2019-PJ2 B3, 4.500%, 11/25/2049 | | | 4,086,596 | | | | 0.1 | |
498,363(1),(3) | | | GS Mortgage-Backed Securities Corp. Trust 2019-PJ3 B1, 4.117%, 03/25/2050 | | | 516,766 | | | | 0.0 | |
498,363(1),(3) | | | GS Mortgage-Backed Securities Corp. Trust 2019-PJ3 B2, 4.117%, 03/25/2050 | | | 509,088 | | | | 0.0 | |
523,487 | | | HarborView Mortgage Loan Trust 2006-14 2A1A, 1.914%, (US0001M + 0.150%), 01/25/2047 | | | 520,431 | | | | 0.0 | |
609,640 | | | HarborView Mortgage Loan Trust 2007-5 A1A, 1.954%, (US0001M + 0.190%), 09/19/2037 | | | 596,156 | | | | 0.0 | |
2,852 | | | HomeBanc Mortgage Trust 2004-1 2A, 2.652%, (US0001M + 0.860%), 08/25/2029 | | | 2,778 | | | | 0.0 | |
23,566 | | | HomeBanc Mortgage Trust 2005-3 A2, 2.102%, (US0001M + 0.310%), 07/25/2035 | | | 23,669 | | | | 0.0 | |
2,006,766(1),(3) | | | Homeward Opportunities Fund I Trust 2019-2 A3, 3.007%, 09/25/2059 | | | 2,003,242 | | | | 0.1 | |
88,056 | | | IndyMac INDX Mortgage Loan Trust 2006-AR2 1A1B, 2.002%, (US0001M + 0.210%), 04/25/2046 | | | 83,639 | | | | 0.0 | |
933,819(1),(3) | | | JP Morgan Mortgage Trust 2014-5 B3, 2.980%, 10/25/2029 | | | 904,828 | | | | 0.0 | |
1,615,891(1),(3) | | | J.P. Morgan Mortgage Trust 2019-2 A3, 4.000%, 08/25/2049 | | | 1,639,781 | | | | 0.1 | |
1,119,479(1),(3) | | | J.P. Morgan Mortgage Trust 2019-2 B1, 4.663%, 08/25/2049 | | | 1,184,321 | | | | 0.0 | |
2,712,395(1),(3) | | | J.P. Morgan Mortgage Trust 2019-2 B2, 4.663%, 08/25/2049 | | | 2,854,521 | | | | 0.1 | |
3,846,062(1),(3) | | | J.P. Morgan Mortgage Trust 2019-LTV1 A3, 4.000%, 06/25/2049 | | | 3,905,630 | | | | 0.1 | |
2,366,673(1),(3) | | | J.P. Morgan Mortgage Trust 2019-LTV1 B1, 4.900%, 06/25/2049 | | | 2,597,372 | | | | 0.1 | |
1,873,616(1),(3) | | | J.P. Morgan Mortgage Trust 2019-LTV1 B2, 4.900%, 06/25/2049 | | | 2,007,316 | | | | 0.1 | |
2,170,332(3) | | | JP Morgan Mortgage Trust 2005-A4 B1, 4.329%, 07/25/2035 | | | 2,205,795 | | | | 0.1 | |
94,126 | | | JP Morgan Mortgage Trust 2005-S3 1A10, 6.000%, 01/25/2036 | | | 72,439 | | | | 0.0 | |
238,616 | | | JP Morgan Mortgage Trust 2006-S2 1A18, 6.000%, 07/25/2036 | | | 202,525 | | | | 0.0 | |
536,033 | | | JP Morgan Mortgage Trust 2006-S3 1A30, 6.500%, 08/25/2036 | | | 372,794 | | | | 0.0 | |
636,478(1),(3) | | | JP Morgan Mortgage Trust 2016-1 B3, 3.871%, 05/25/2046 | | | 648,652 | | | | 0.0 | |
2,095,000(1),(3) | | | JP Morgan Mortgage Trust 2016-1 B4, 3.871%, 05/25/2046 | | | 1,985,952 | | | | 0.1 | |
2,040,624(1),(3) | | | JP Morgan Mortgage Trust 2016-4 A13, 3.500%, 10/25/2046 | | | 2,049,985 | | | | 0.1 | |
936,784(1),(3) | | | JP Morgan Mortgage Trust 2017-1 B4, 3.539%, 01/25/2047 | | | 927,783 | | | | 0.0 | |
3,824,129(1),(3) | | | JP Morgan Mortgage Trust 2017-3 1A13, 3.500%, 08/25/2047 | | | 3,845,733 | | | | 0.1 | |
Principal Amount† | | | | | Value | | | Percentage of Net Assets | |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | | | | | | | |
1,526,935(1),(3) | | | JP Morgan Mortgage Trust 2017-3 B1, 3.845%, 08/25/2047 | | $ | 1,593,619 | | | | 0.1 | |
1,131,063(1),(3) | | | JP Morgan Mortgage Trust 2017-3 B2, 3.845%, 08/25/2047 | | | 1,177,842 | | | | 0.0 | |
500,000(1),(3) | | | JP Morgan Mortgage Trust 2017-4 A7, 3.500%, 11/25/2048 | | | 506,034 | | | | 0.0 | |
1,950,603(1),(3) | | | JP Morgan Mortgage Trust 2017-5 B1, 3.155%, 10/26/2048 | | | 1,999,419 | | | | 0.1 | |
575,970(1),(3) | | | JP Morgan Mortgage Trust 2017-6 B3, 3.826%, 12/25/2048 | | | 579,620 | | | | 0.0 | |
1,619,435(1),(3) | | | JP Morgan Mortgage Trust 2017-6 B4, 3.826%, 12/25/2048 | | | 1,603,116 | | | | 0.1 | |
2,368,122(1),(3) | | | JP Morgan Mortgage Trust 2018-1 B2, 3.744%, 06/25/2048 | | | 2,392,776 | | | | 0.1 | |
3,854,939(1),(3) | | | JP Morgan Mortgage Trust 2018-3 B1, 3.762%, 09/25/2048 | | | 3,973,137 | | | | 0.1 | |
2,409,337(1),(3) | | | JP Morgan Mortgage Trust 2018-3 B3, 3.762%, 09/25/2048 | | | 2,420,746 | | | | 0.1 | |
483,180(1),(3) | | | JP Morgan Mortgage Trust 2018-4 B1, 3.779%, 10/25/2048 | | | 498,589 | | | | 0.0 | |
483,180(1),(3) | | | JP Morgan Mortgage Trust 2018-4 B2, 3.779%, 10/25/2048 | | | 491,250 | | | | 0.0 | |
1,942,345(1),(3) | | | JP MORGAN MORTGAGE TRUST 2018-5 A13, 3.500%, 10/25/2048 | | | 1,994,410 | | | | 0.1 | |
1,006,999(1),(3) | | | JP Morgan Mortgage Trust 2018-6 1A10, 3.500%, 12/25/2048 | | | 1,021,283 | | | | 0.0 | |
1,932,711(1),(3) | | | JP Morgan Mortgage Trust 2018-6C B2, 3.962%, 12/25/2048 | | | 1,986,877 | | | | 0.1 | |
2,796,880(1),(3) | | | JP Morgan Mortgage Trust 2018-8 A3, 4.000%, 01/25/2049 | | | 2,843,974 | | | | 0.1 | |
8,371,706(1),(3) | | | JP Morgan Mortgage Trust 2018-8 B1, 4.210%, 01/25/2049 | | | 8,929,014 | | | | 0.3 | |
3,901,529(1),(3) | | | JP Morgan Mortgage Trust 2018-8 B2, 4.210%, 01/25/2049 | | | 4,103,645 | | | | 0.1 | |
989,820(1),(3) | | | JP Morgan Mortgage Trust 2018-9 B2, 4.467%, 02/25/2049 | | | 1,046,148 | | | | 0.0 | |
1,952,307(1),(3) | | | JP Morgan Mortgage Trust 2018-9 B3, 4.467%, 02/25/2049 | | | 2,024,813 | | | | 0.1 | |
1,534,236(1),(3) | | | JP Morgan Mortgage Trust 2018-LTV1 B1, 4.781%, 04/25/2049 | | | 1,629,628 | | | | 0.1 | |
2,911,137(1),(3) | | | JP Morgan Mortgage Trust 2019-1 A3, 4.000%, 05/25/2049 | | | 2,956,225 | | | | 0.1 | |
2,205,019(1),(3) | | | JP Morgan Mortgage Trust 2019-3 A3, 4.000%, 09/25/2049 | | | 2,232,926 | | | | 0.1 | |
7,423,835(1),(3) | | | JP Morgan Mortgage Trust 2019-5 A3, 4.000%, 11/25/2049 | | | 7,538,815 | | | | 0.3 | |
2,972,596(1),(3) | | | JP Morgan Mortgage Trust 2019-5 B1, 4.462%, 11/25/2049 | | | 3,100,576 | | | | 0.1 | |
4,954,327(1),(3) | | | JP Morgan Mortgage Trust 2019-5 B2, 4.462%, 11/25/2049 | | | 5,139,685 | | | | 0.2 | |
1,738,069(1),(3) | | | JP Morgan Mortgage Trust 2019-6 A3, 3.500%, 12/25/2049 | | | 1,765,655 | | | | 0.1 | |
6,460,156(1),(3) | | | JP Morgan Mortgage Trust 2019-6 B2, 4.260%, 12/25/2049 | | | 6,757,934 | | | | 0.2 | |
994,852(1),(3) | | | JP Morgan Mortgage Trust 2019-7 B3A, 3.488%, 12/31/2049 | | | 938,431 | | | | 0.0 | |
952,239(1),(3) | | | JP Morgan Mortgage Trust 2019-8 A15, 3.500%, 03/25/2050 | | | 964,996 | | | | 0.0 | |
3,963,180(1),(3) | | | JP Morgan Mortgage Trust 2019-INV1 B2, 5.151%, 10/25/2049 | | | 4,296,011 | | | | 0.2 | |
1,885,004(1),(3) | | | JP Morgan Mortgage Trust 2019-INV2 A15, 3.500%, 02/25/2050 | | | 1,899,094 | | | | 0.1 | |
5,756,761(1),(3) | | | JP Morgan Mortgage Trust 2019-LTV2 A18, 4.000%, 12/25/2049 | | | 5,908,774 | | | | 0.2 | |
1,958,710(1),(3) | | | JP Morgan Mortgage Trust 2019-LTV2 B2, 4.830%, 12/25/2049 | | | 2,109,081 | | | | 0.1 | |
1,985,514(1),(3) | | | JP Morgan Mortgage Trust 2019-LTV2 B3, 4.830%, 12/25/2049 | | | 2,099,453 | | | | 0.1 | |
2,785,032(1),(3) | | | JP Morgan Mortgage Trust 2019-LTV3 B2, 4.582%, 12/31/2049 | | | 2,929,768 | | | | 0.1 | |
6,482,617(1),(3) | | | JP Morgan Mortgage Trust 2019-LTV3 B3, 4.582%, 12/31/2049 | | | 6,663,145 | | | | 0.2 | |
2,088,824(1),(3) | | | JP Morgan Trust 2015-3 B4, 3.663%, 05/25/2045 | | | 2,076,443 | | | | 0.1 | |
5,793,424,847(1),(7) | | | L Street Securities 2017-PM1 XIO, 0.000%, 10/25/2048 | | | 7,052,915 | | | | 0.3 | |
74,310 | | | Lehman XS Trust Series 2005-5N 1A2, 2.152%, (US0001M + 0.360%), 11/25/2035 | | | 68,794 | | | | 0.0 | |
884,726(1),(3) | | | Mello Mortgage Capital Acceptance 2018-MTG2 A1, 4.479%, 10/25/2048 | | | 907,099 | | | | 0.0 | |
655,000 | | | Morgan Stanley Mortgage Loan Trust 2005-5AR 1B1, 3.592%, (US0001M + 1.800%), 09/25/2035 | | | 647,977 | | | | 0.0 | |
1,283,244 | | | Morgan Stanley Mortgage Loan Trust 2006-9AR A2, 1.942%, (US0001M + 0.150%), 08/25/2036 | | | 568,553 | | | | 0.0 | |
430,184(1),(3) | | | New Residential Mortgage Loan Trust 2017-3A B2, 4.750%, 04/25/2057 | | | 456,713 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | Percentage of Net Assets | |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | | | | | | | |
1,400,000(1),(3) | | | New Residential Mortgage Loan Trust 2019-NQM2 M1, 4.267%, 04/25/2049 | | $ | 1,426,051 | | | | 0.1 | |
997,043(1),(3) | | | New Residential Mortgage Loan Trust 2019-NQM3 A3, 3.086%, 07/25/2049 | | | 998,192 | | | | 0.0 | |
2,121,301(1),(3) | | | OBX 2019-EXP1 1A3 Trust, 4.000%, 01/25/2059 | | | 2,160,701 | | | | 0.1 | |
850,111(1),(3) | | | OBX 2019-EXP2 1A3 Trust, 4.000%, 07/25/2059 | | | 863,948 | | | | 0.0 | |
1,400,731(1),(3) | | | OBX 2019-EXP3 1A9 Trust, 3.500%, 10/25/2059 | | | 1,404,607 | | | | 0.1 | |
3,242,435(1),(3) | | | OBX 2019-INV2 A25 Trust, 4.000%, 05/27/2049 | | | 3,294,159 | | | | 0.1 | |
37,184 | | | Prime Mortgage Trust 2007-1 A4, 5.500%, 03/25/2037 | | | 34,424 | | | | 0.0 | |
1,000,000(1),(3) | | | PSMC 2019-3 A12 Trust, 3.500%, 11/25/2049 | | | 1,012,689 | | | | 0.0 | |
3,838,271(1),(3) | | | RCKT Mortgage Trust 2019-1 B1A, 3.956%, 09/25/2049 | | | 4,054,122 | | | | 0.1 | |
2,492,086(1),(3) | | | RCKT Mortgage Trust 2019-1 B2A, 3.956%, 09/25/2049 | | | 2,602,286 | | | | 0.1 | |
2,596,691(3) | | | Sequoia Mortgage Trust 2013-3 B3, 3.515%, 03/25/2043 | | | 2,637,728 | | | | 0.1 | |
483,628(1) | | | Sequoia Mortgage Trust 2013-9 B1, 3.500%, 07/25/2043 | | | 491,736 | | | | 0.0 | |
2,792,661(1) | | | Sequoia Mortgage Trust 2013-9 B2, 3.500%, 07/25/2043 | | | 2,838,385 | | | | 0.1 | |
1,580,929(1),(3) | | | Sequoia Mortgage Trust 2015-1 B1, 3.877%, 01/25/2045 | | | 1,633,156 | | | | 0.1 | |
1,209,572(1),(3) | | | Sequoia Mortgage Trust 2018-6 B1, 4.203%, 07/25/2048 | | | 1,277,888 | | | | 0.1 | |
771,981(1),(3) | | | Sequoia Mortgage Trust 2018-CH1 B1B, 4.487%, 02/25/2048 | | | 821,541 | | | | 0.0 | |
578,986(1),(3) | | | Sequoia Mortgage Trust 2018-CH1 B2B, 4.487%, 02/25/2048 | | | 611,610 | | | | 0.0 | |
3,400,000(1),(3) | | | Sequoia Mortgage Trust 2018-CH4 A13, 4.500%, 10/25/2048 | | | 3,525,537 | | | | 0.1 | |
1,657,680(1),(3) | | | Sequoia Mortgage Trust 2019-1 A1, 4.000%, 02/25/2049 | | | 1,700,837 | | | | 0.1 | |
3,530,988(1),(3) | | | Sequoia Mortgage Trust 2019-2 A1, 4.000%, 06/25/2049 | | | 3,599,952 | | | | 0.1 | |
1,783,803(1),(3) | | | Sequoia Mortgage Trust 2019-2 B2, 4.244%, 06/25/2049 | | | 1,852,735 | | | | 0.1 | |
1,684,265(1),(3) | | | Sequoia Mortgage Trust 2019-2 B3, 4.244%, 06/25/2049 | | | 1,716,372 | | | | 0.1 | |
5,438,813(1),(3) | | | Sequoia Mortgage Trust 2019-3 A2, 3.500%, 09/25/2049 | | | 5,509,774 | | | | 0.2 | |
5,898,669(1),(3) | | | Sequoia Mortgage Trust 2019-4 A19, 3.500%, 11/25/2049 | | | 5,984,477 | | | | 0.2 | |
2,000,000(1),(3) | | | Sequoia Mortgage Trust 2019-5 A19, 3.500%, 12/25/2049 | | | 2,033,262 | | | | 0.1 | |
2,176,000(1),(3) | | | Sequoia Mortgage Trust 2019-5 B2, 3.784%, 12/25/2049 | | | 2,198,278 | | | | 0.1 | |
2,177,000(1),(3) | | | Sequoia Mortgage Trust 2019-5 B3, 3.784%, 12/25/2049 | | | 2,149,228 | | | | 0.1 | |
1,790,365(1),(3) | | | Sequoia Mortgage Trust 2019-CH1 A1, 4.500%, 03/25/2049 | | | 1,823,259 | | | | 0.1 | |
2,665,668(1),(3) | | | Sequoia Mortgage Trust 2019-CH1 B1B, 5.049%, 03/25/2049 | | | 2,937,101 | | | | 0.1 | |
986,189(1),(3) | | | Sequoia Mortgage Trust 2019-CH1 B2B, 5.049%, 03/25/2049 | | | 1,076,940 | | | | 0.0 | |
3,807,020(1),(3) | | | Sequoia Mortgage Trust 2019-CH2 A1, 4.500%, 08/25/2049 | | | 3,872,028 | | | | 0.1 | |
1,991,300(1),(3) | | | Sequoia Mortgage Trust 2019-CH3 B1B, 4.525%, 09/25/2049 | | | 2,083,924 | | | | 0.1 | |
1,609,676(1),(3) | | | Sequoia Mortgage Trust 2017-1 B2, 3.626%, 02/25/2047 | | | 1,652,750 | | | | 0.1 | |
2,406,116(1),(3) | | | Shellpoint Co-Originator Trust 2017-2 B2, 3.722%, 10/25/2047 | | | 2,419,269 | | | | 0.1 | |
3,189,746(1),(3) | | | Shellpoint Co-Originator Trust 2017-2 B3, 3.722%, 10/25/2047 | | | 3,158,160 | | | | 0.1 | |
3,347,710(1),(3) | | | Starwood Mortgage Residential Trust 2019-1 A3, 3.299%, 06/25/2049 | | | 3,357,057 | | | | 0.1 | |
71,642(3) | | | Structured Adjustable Rate Mortgage Loan Trust 2005-4 3A1, 4.383%, 03/25/2035 | | | 73,039 | | | | 0.0 | |
600,000(1),(3) | | | Verus Securitization Trust 2017-SG1A B1, 3.615%, 11/25/2047 | | | 600,182 | | | | 0.0 | |
4,000,000(1),(3) | | | Verus Securitization Trust 2018-1 B1, 3.801%, 01/25/2058 | | | 4,024,230 | | | | 0.1 | |
2,100,000(1),(3) | | | Verus Securitization Trust 2018-2 B1, 4.426%, 06/01/2058 | | | 2,126,034 | | | | 0.1 | |
3,000,000(1),(3) | | | Verus Securitization Trust 2018-3 M1, 4.595%, 10/25/2058 | | | 3,075,700 | | | | 0.1 | |
2,871,433(1),(3) | | | Verus Securitization Trust 2019-1 A2, 3.938%, 02/25/2059 | | | 2,904,057 | | | | 0.1 | |
3,592,114(1),(6) | | | Verus Securitization Trust 2019-3 A2, 2.938% (Step Rate @ 3.938% on 0), 07/25/2059 | | | 3,600,718 | | | | 0.1 | |
Principal Amount† | | | | | | Value | | | | Percentage of Net Assets | |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | | | | | | | |
3,569,764(1),(3) | | | Verus Securitization Trust 2019-INV2 A2, 3.117%, 07/25/2059 | | $ | 3,579,807 | | | | 0.1 | |
130,455(3) | | | WaMu Mortgage Pass Through Certificates Series 2006-AR12 2A3, 3.210%, 10/25/2036 | | | 122,616 | | | | 0.0 | |
289,250(3) | | | WaMu Mortgage Pass-Through Certificates Series 2004-AR4 A6 Trust, 4.505%, 06/25/2034 | | | 291,156 | | | | 0.0 | |
1,763,757(3) | | | WaMu Mortgage Pass-Through Certificates Series 2004-AR7 A6, 4.532%, 07/25/2034 | | | 1,799,914 | | | | 0.1 | |
139,673,795(3) | | | WaMu Mortgage Pass-Through Certificates Series 2005-AR1 X Trust, 1.446%, 01/25/2045 | | | 3,271,998 | | | | 0.1 | |
310,836(3) | | | WaMu Mortgage Pass-Through Certificates Series 2005-AR10 1A3, 4.141%, 09/25/2035 | | | 313,239 | | | | 0.0 | |
45,411,124(3) | | | WaMu Mortgage Pass-Through Certificates Series 2005-AR2 X Trust, 1.409%, 01/25/2045 | | | 1,807,022 | | | | 0.1 | |
20,358(3) | | | WaMu Mortgage Pass-Through Certificates Series 2006-AR12 1A1, 3.693%, 10/25/2036 | | | 20,051 | | | | 0.0 | |
137,363(3) | | | WaMu Mortgage Pass-Through Certificates Series 2006-AR14 1A3, 3.271%, 11/25/2036 | | | 132,950 | | | | 0.0 | |
527,900(3) | | | WaMu Mortgage Pass-Through Certificates Series 2006-AR14 1A4, 3.271%, 11/25/2036 | | | 510,939 | | | | 0.0 | |
75,872(3) | | | WaMu Mortgage Pass-Through Certificates Series 2006-AR16 3A1, 3.522%, 12/25/2036 | | | 73,239 | | | | 0.0 | |
69,832(3) | | | WaMu Mortgage Pass-Through Certificates Series 2006-AR8 1A4, 3.875%, 08/25/2046 | | | 67,813 | | | | 0.0 | |
127,721(3) | | | WaMu Mortgage Pass-Through Certificates Series 2007-HY2 1A1, 3.804%, 12/25/2036 | | | 127,984 | | | | 0.0 | |
596,989(3) | | | WaMu Mortgage Pass-Through Certificates Series 2007-HY3 1A1, 3.538%, 03/25/2037 | | | 567,264 | | | | 0.0 | |
12,850(3) | | | WaMu Mortgage Pass-Through Certificates Series 2007-HY4 1A1, 3.501%, 04/25/2037 | | | 11,854 | | | | 0.0 | |
71,457(3) | | | WaMu Mortgage Pass-Through Certificates Series 2007-HY7 2A2, 3.612%, 07/25/2037 | | | 65,463 | | | | 0.0 | |
755,334 | | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-10 2A3, 2.692%, (US0001M + 0.900%), 11/25/2035 | | | 648,786 | | | | 0.0 | |
801,041 | | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-10 2A9, 6.000%, 11/25/2035 | | | 795,706 | | | | 0.0 | |
783,928 | | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-11 A1, 5.750%, 01/25/2036 | | | 736,291 | | | | 0.0 | |
1,009,410 | | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-5 CB3, 5.500%, 07/25/2035 | | | 985,975 | | | | 0.0 | |
187,109 | | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-8 1A2, 5.500%, 10/25/2035 | | | 186,492 | | | | 0.0 | |
887,113 | | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 2CB2, 2.392%, (US0001M + 0.600%), 07/25/2036 | | | 485,581 | | | | 0.0 | |
2,262,212 | | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR5 3A Trust, 3.180%, (12MTA + 0.940%), 07/25/2046 | | | 1,676,259 | | | | 0.1 | |
1,005,551 | | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR6 2A, 3.200%, (12MTA + 0.960%), 08/25/2046 | | | 752,371 | | | | 0.0 | |
51,922 | | | Wells Fargo Alternative Loan 2007-PA2 2A1, 2.222%, (US0001M + 0.430%), 06/25/2037 | | | 43,134 | | | | 0.0 | |
1,282,489(3) | | | Wells Fargo Mortgage Backed Securities 2006-AR12 1A1, 4.716%, 09/25/2036 | | | 1,257,572 | | | | 0.1 | |
215,110(3) | | | Wells Fargo Mortgage Backed Securities 2007-AR7 A1, 4.354%, 12/28/2037 | | | 206,633 | | | | 0.0 | |
Principal Amount† | | | | | | Value | | | | Percentage of Net Assets | |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | | | | | | | |
3,279,071(1),(3) | | | Wells Fargo Mortgage Backed Securities 2018-1 B1, 3.697%, 07/25/2047 | | $ | 3,357,930 | | | | 0.1 | |
1,454,563(1),(3) | | | Wells Fargo Mortgage Backed Securities 2018-1 B3, 3.697%, 07/25/2047 | | | 1,459,419 | | | | 0.1 | |
3,032,306(1),(3) | | | Wells Fargo Mortgage Backed Securities 2019-2 A1 Trust, 4.000%, 04/25/2049 | | | 3,089,635 | | | | 0.1 | |
1,600,000(1),(3) | | | Wells Fargo Mortgage Backed Securities 2019-4 B3 Trust, 3.605%, 09/25/2049 | | | 1,493,499 | | | | 0.1 | |
725,668(1),(3) | | | WinWater Mortgage Loan Trust 2015-5 B4, 3.777%, 08/20/2045 | | | 724,162 | | | | 0.0 | |
| | | | | | | | | | | |
| | | Total Collateralized Mortgage Obligations (Cost $746,909,726) | | | 765,516,408 | | | | 26.2 | |
| | | | | | | | | | | |
U.S. GOVERNMENT AGENCY OBLIGATIONS: 5.5% | | | | | | | | |
| | | Federal Home Loan Mortgage Corporation: 0.2%(10) | | | | | | | | |
5,399,073 | | | 3.500%,05/01/2049 | | | 5,551,988 | | | | 0.2 | |
| | | | | | | | | | | |
| | | Government National Mortgage Association: 2.5% | | | | | | | | |
45,750,000(11) | | | 3.000%,01/20/2050 | | | 46,966,801 | | | | 1.6 | |
24,386,000(11) | | | 4.000%,01/20/2050 | | | 25,240,861 | | | | 0.9 | |
| | | | | | 72,207,662 | | | | 2.5 | |
| | | | | | | | | | | |
| | | Uniform Mortgage-Backed Securities: 2.8% | | | | | | | | |
13,625,000(11) | | | 3.000%,01/25/2035 | | | 13,960,410 | | | | 0.5 | |
13,200,000(11) | | | 3.000%,01/14/2050 | | | 13,379,918 | | | | 0.4 | |
39,400,000(11) | | | 3.500%,06/25/2042 | | | 40,512,209 | | | | 1.4 | |
15,348,660 | | | 3.500%,08/01/2049 | | | 15,779,353 | | | | 0.5 | |
6,919 | | | 5.500%,10/01/2039 | | | 7,775 | | | | 0.0 | |
| | | | | | 83,639,665 | | | | 2.8 | |
| | | | | | | | | | | |
| | | Total U.S. Government Agency Obligations (Cost $161,306,667) | | | 161,399,315 | | | | 5.5 | |
| | | | | | | | | | | |
U.S. TREASURY OBLIGATIONS: 1.0% | | | | | | | | |
| | | U.S. Treasury Bonds: 0.7% | | | | | | | | |
18,939,000 | | | 2.250%,08/15/2049 | | | 18,356,372 | | | | 0.7 | |
| | | | | | | | | | | |
| | | U.S. Treasury Notes: 0.3% | | | | | | | | |
9,600,000 | | | 1.750%,11/15/2029 | | | 9,448,873 | | | | 0.3 | |
| | | | | | | | | | | |
| | | Total U.S. Treasury Obligations (Cost $28,041,132) | | | 27,805,245 | | | | 1.0 | |
| | | | | | | | | | | |
SOVEREIGN BONDS: 2.8% | | | | | | | | |
1,075,000 | | | Argentine Republic Government International Bond, 6.875%, 01/26/2027 | | | 537,874 | | | | 0.0 | |
BRL 58,000,000 | | | Brazil Notas do Tesouro Nacional Serie F, 10.000%, 01/01/2027 | | | 16,952,227 | | | | 0.6 | |
1,500,000 | | | Brazilian Government International Bond, 6.000%, 04/07/2026 | | | 1,752,750 | | | | 0.1 | |
2,700,000 | | | Colombia Government International Bond, 3.875%, 04/25/2027 | | | 2,862,938 | | | | 0.1 | |
EUR 1,875,000 | | | Croatia Government International Bond, 1.125%, 06/19/2029 | | | 2,175,623 | | | | 0.1 | |
800,000 | | | Croatia Government International Bond, 5.500%, 04/04/2023 | | | 883,512 | | | | 0.0 | |
500,000 | | | Dominican Republic International Bond, 6.000%, 07/19/2028 | | | 557,054 | | | | 0.0 | |
1,725,000 | | | Dominican Republic International Bond, 6.875%, 01/29/2026 | | | 1,973,585 | | | | 0.1 | |
300,000 | | | Ecuador Government International Bond, 7.875%, 01/23/2028 | | | 268,396 | | | | 0.0 | |
1,700,000 | | | Egypt Government International Bond, 5.875%, 06/11/2025 | | | 1,811,418 | | | | 0.1 | |
675,000 | | | Egypt Government International Bond, 7.500%, 01/31/2027 | | | 754,153 | | | | 0.0 | |
IDR 90,789,000,000 | | | Indonesia Treasury Bond, 8.375%, 04/15/2039 | | | 7,013,953 | | | | 0.3 | |
1,342,000 | | | Ivory Coast Government International Bond, 5.750%, 12/31/2032 | | | 1,344,496 | | | | 0.1 | |
650,000 | | | Jordan Government International Bond, 6.125%, 01/29/2026 | | | 697,551 | | | | 0.0 | |
1,350,000(1) | | | Kenya Government International Bond, 7.000%, 05/22/2027 | | | 1,440,368 | | | | 0.1 | |
500,000(1) | | | KSA Sukuk Ltd., 3.628%, 04/20/2027 | | | 531,167 | | | | 0.0 | |
MXN 120,260,000 | | | Mexican Bonos, 7.750%, 11/13/2042 | | | 6,751,542 | | | | 0.2 | |
1,600,000 | | | Mexico Government International Bond, 4.500%, 04/22/2029 | | | 1,756,800 | | | | 0.1 | |
600,000 | | | Oman Government International Bond, 6.000%, 08/01/2029 | | | 628,128 | | | | 0.0 | |
600,000 | | | Panama Government International Bond, 3.160%, 01/23/2030 | | | 618,900 | | | | 0.0 | |
500,000 | | | Panama Government International Bond, 9.375%, 04/01/2029 | | | 765,174 | | | | 0.0 | |
PEN 9,681,000(1) | | | Peru Government Bond, 6.150%, 08/12/2032 | | | 3,314,128 | | | | 0.1 | |
PEN 9,681,000 | | | Peru Government Bond, 6.850%, 02/12/2042 | | | 3,516,269 | | | | 0.1 | |
750,000(1) | | | Perusahaan Penerbit SBSN Indonesia III, 4.150%, 03/29/2027 | | | 805,995 | | | | 0.0 | |
1,800,000(1) | | | Perusahaan Penerbit SBSN Indonesia III, 4.450%, 02/20/2029 | | | 1,989,985 | | | | 0.1 | |
Principal Amount† | | | | | | Value | | | | Percentage of Net Assets | |
SOVEREIGN BONDS: (continued) | | | | | | | | |
450,000 | | | Nigeria Government International Bond, 6.500%, 11/28/2027 | | $ | 460,740 | | | | 0.0 | |
700,000 | | | Republic of South Africa Government International Bond, 4.300%, 10/12/2028 | | | 687,604 | | | | 0.0 | |
750,000 | | | Republic of South Africa Government International Bond, 4.850%, 09/30/2029 | | | 751,875 | | | | 0.0 | |
RUB 557,160,000 | | | Russian Federal Bond - OFZ, 7.250%, 05/10/2034 | | | 9,681,543 | | | | 0.3 | |
800,000 | | | Russian Foreign Bond - Eurobond, 4.375%, 03/21/2029 | | | 891,042 | | | | 0.0 | |
500,000 | | | Saudi Government International Bond, 3.625%, 03/04/2028 | | | 528,862 | | | | 0.0 | |
2,000,000 | | | Saudi Government International Bond, 4.500%, 04/17/2030 | | | 2,265,000 | | | | 0.1 | |
1,300,000 | | | South Africa Government International Bond, 5.875%, 09/16/2025 | | | 1,433,438 | | | | 0.1 | |
950,000 | | | Sri Lanka Government International Bond, 6.350%, 06/28/2024 | | | 949,943 | | | | 0.0 | |
325,000 | | | Turkey Government International Bond, 7.250%, 12/23/2023 | | | 352,492 | | | | 0.0 | |
550,000 | | | Turkey Government International Bond, 7.375%, 02/05/2025 | | | 601,828 | | | | 0.0 | |
1,100,000 | | | Turkey Government International Bond, 5.600%, 11/14/2024 | | | 1,121,246 | | | | 0.1 | |
450,000 | | | Ukraine Government International Bond, 7.375%, 09/25/2032 | | | 479,953 | | | | 0.0 | |
975,000 | | | Ukraine Government International Bond, 7.750%, 09/01/2023 | | | 1,061,126 | | | | 0.0 | |
| | | | | | | | | | | |
| | | Total Sovereign Bonds (Cost $81,018,661) | | | 82,970,678 | | | | 2.8 | |
| | | | | | | | | | | |
COMMERCIAL MORTGAGE-BACKED SECURITIES: 19.1% | | | | | | | | |
5,000,000(1) | | | Atrium Hotel Portfolio Trust 2018-ATRM C, 3.390%, (US0001M + 1.650%), 06/15/2035 | | | 5,003,415 | | | | 0.2 | |
5,000,000(1) | | | Austin Fairmont Hotel Trust 2019-FAIR E, 3.990%, (US0001M + 2.250%), 09/15/2032 | | | 5,014,103 | | | | 0.2 | |
3,670,000(1),(3) | | | BAMLL Re-REMIC Trust 2016-FRR16 B, 1.003%, 05/27/2021 | | | 3,528,324 | | | | 0.1 | |
6,700,000(1) | | | BANK 2017-BNK4 E, 3.357%, 05/15/2050 | | | 5,322,666 | | | | 0.2 | |
5,320,000(1),(3),(7) | | | BANK 2017-BNK4 XE, 1.468%, 05/15/2050 | | | 492,875 | | | | 0.0 | |
1,500,000(1),(3) | | | BANK 2017-BNK5 D, 3.078%, 06/15/2060 | | | 1,360,496 | | | | 0.1 | |
1,600,000(1),(3) | | | BANK 2017-BNK6 E, 2.653%, 07/15/2060 | | | 1,163,463 | | | | 0.0 | |
16,600,000(1),(3),(7) | | | BANK 2017-BNK6 XE, 1.500%, 07/15/2060 | | | 1,574,490 | | | | 0.1 | |
4,500,000(1) | | | BANK 2018-BNK14 D, 3.000%, 09/15/2060 | | | 4,089,742 | | | | 0.1 | |
51,207,561(3),(7) | | | BANK 2019-BN17 XA, 1.036%, 04/15/2052 | | | 4,124,692 | | | | 0.1 | |
10,294,591(3),(7) | | | BANK 2019-BNK16 XA, 0.967%, 02/15/2052 | | | 721,385 | | | | 0.0 | |
29,428,581(3),(7) | | | Bank 2019-BNK19 XA, 0.965%, 08/15/2061 | | | 2,252,575 | | | | 0.1 | |
4,380,000(1) | | | BANK 2017-BNK6 D, 3.100%, 07/15/2060 | | | 3,944,469 | | | | 0.1 | |
58,771,880(3),(7) | | | BANK 2019-BNK22 XA, 0.605%, 11/15/2062 | | | 2,967,951 | | | | 0.1 | |
3,799,000(1),(3) | | | BAMLL Commercial Mortgage Securities Trust 2016-FR14 C, 1.328%, 02/27/2048 | | | 3,696,638 | | | | 0.1 | |
1,000,000(1),(3) | | | BAMLL RE-Remic Trust 2014-FRR8 A, 2.161%, 11/26/2047 | | | 913,455 | | | | 0.0 | |
104,511,873(3),(7) | | | Benchmark 2018-B7 XA Mortgage Trust, 0.447%, 05/15/2053 | | | 3,277,095 | | | | 0.1 | |
53,292,945(3),(7) | | | BENCHMARK 2019-B10 XA Mortgage Trust, 1.232%, 03/15/2062 | | | 4,774,984 | | | | 0.2 | |
42,285,000(1),(3),(7) | | | BENCHMARK 2019-B10 XB Mortgage Trust, 0.901%, 03/15/2062 | | | 3,208,434 | | | | 0.1 | |
43,929,778(3),(7) | | | Benchmark 2019-B12 XA Mortgage Trust, 1.069%, 08/15/2052 | | | 3,283,307 | | | | 0.1 | |
3,090,000(1) | | | Benchmark 2019-B9 D Mortgage Trust, 3.000%, 03/15/2052 | | | 2,762,680 | | | | 0.1 | |
7,330,000(1),(3),(7) | | | Benchmark 2019-B9 XD Mortgage Trust, 2.002%, 03/15/2052 | | | 1,129,703 | | | | 0.0 | |
77,390,467(3),(7) | | | BMARK 2018-B4 XA, 0.539%, 07/15/2051 | | | 2,654,160 | | | | 0.1 | |
3,020,000(1) | | | Benchmark 2019-B14 D Mortgage Trust, 2.500%, 12/15/2061 | | | 2,551,696 | | | | 0.1 | |
2,420,000(1) | | | BHP Trust 2019-BXHP D, 3.511%, (US0001M + 1.771%), 08/15/2036 | | | 2,409,592 | | | | 0.1 | |
6,190,000(1) | | | BHP Trust 2019-BXHP E, 4.307%, (US0001M + 2.568%), 08/15/2036 | | | 6,172,752 | | | | 0.2 | |
3,820,004 | | | BMD2 RE-REMIC TR 2019 3.6, 3.665%, 09/25/2022 | | | 3,672,875 | | | | 0.1 | |
8,620,000(1) | | | BX Commercial Mortgage Trust 2019-XL G, 4.040%, (US0001M + 2.300%), 10/15/2036 | | | 8,643,067 | | | | 0.3 | |
8,620,000(1) | | | BX Commercial Mortgage Trust 2019-XL J, 4.390%, (US0001M + 2.650%), 10/15/2036 | | | 8,652,618 | | | | 0.3 | |
1,650,000(1) | | | BX Trust 2019-MMP E, 3.640%, (US0001M + 1.900%), 08/15/2036 | | | 1,653,148 | | | | 0.1 | |
Principal Amount† | | | | | | Value | | | | Percentage of Net Assets | |
COMMERCIAL MORTGAGE-BACKED SECURITIES: (continued) | | | | | | | | |
3,710,000(1) | | | BX Trust 2019-OC11 E, 4.076%, 12/09/2041 | | $ | 3,602,907 | | | | 0.1 | |
4,990,000(1),(3) | | | CALI Mortgage Trust 2019-101C E, 4.324%, 03/10/2039 | | | 5,188,206 | | | | 0.2 | |
100,000(1) | | | CAMB Commercial Mortgage Trust 2019-LIFE F, 4.290%, (US0001M + 2.550%), 12/15/2037 | | | 100,745 | | | | 0.0 | |
92,405,041(3),(7) | | | Cantor Commercial Real Estate Lending 2019-CF1 XA, 1.144%, 05/15/2052 | | | 7,685,521 | | | | 0.3 | |
40,703,795(3),(7) | | | Cantor Commercial Real Estate Lending 2019-CF2 XA, 1.376%, 11/15/2052 | | | 3,721,259 | | | | 0.1 | |
8,152,614(3),(7) | | | CD 2016-CD1 Mortgage Trust XA, 1.409%, 08/10/2049 | | | 580,226 | | | | 0.0 | |
14,660,000(1),(3),(7) | | | CD 2016-CD1 Mortgage Trust XB, 0.679%, 08/10/2049 | | | 620,701 | | | | 0.0 | |
2,140,256(1),(3) | | | CFCRE Commercial Mortgage Trust 2011-C1 E, 6.089%, 04/15/2044 | | | 1,998,970 | | | | 0.1 | |
4,860,000(1) | | | CGDB Commercial Mortgage Trust 2019-MOB E, 3.740%, (US0001M + 2.000%), 11/15/2036 | | | 4,862,511 | | | | 0.2 | |
4,640,000(1) | | | CGDB Commercial Mortgage Trust 2019-MOB F, 4.290%, (US0001M + 2.550%), 11/15/2036 | | | 4,645,933 | | | | 0.2 | |
1,000,000(1),(3) | | | Citigroup Commercial Mortgage Trust 2013-GC17 D, 5.110%, 11/10/2046 | | | 1,032,245 | | | | 0.0 | |
4,826,000(1),(3) | | | Citigroup Commercial Mortgage Trust 2014-GC19 E, 4.592%, 03/10/2047 | | | 4,784,584 | | | | 0.2 | |
6,030,000(1),(3) | | | Citigroup Commercial Mortgage Trust 2014-GC19 F, 3.665%, 03/10/2047 | | | 5,232,600 | | | | 0.2 | |
2,130,000(1) | | | Citigroup Commercial Mortgage Trust 2016-C2 E, 4.594%, 08/10/2049 | | | 1,880,930 | | | | 0.1 | |
3,080,000(1) | | | Citigroup Commercial Mortgage Trust 2016-P5 D, 3.000%, 10/10/2049 | | | 2,741,243 | | | | 0.1 | |
27,638,798(3),(7) | | | Citigroup Commercial Mortgage Trust 2017-C4 XA, 1.109%, 10/12/2050 | | | 1,757,485 | | | | 0.1 | |
34,080,000(3),(7) | | | Citigroup Commercial Mortgage Trust 2019-C7 XA, 1.009%, 12/15/2072 | | | 2,399,617 | | | | 0.1 | |
12,040,000(1),(3) | | | Citigroup Commercial Mortgage Trust 2016-P4 E, 4.723%, 07/10/2049 | | | 10,795,383 | | | | 0.4 | |
5,790,000(1),(3) | | | Citigroup Commercial Mortgage Trust 2016-P4 F, 4.723%, 07/10/2049 | | | 4,398,593 | | | | 0.2 | |
40,964,675(3),(7) | | | Citigroup Commercial Mortgage Trust 2019-GC41 XA, 1.190%, 08/10/2056 | | | 3,211,381 | | | | 0.1 | |
8,380,000(1),(3) | | | COMM 2013-GAM F, 3.417%, 02/10/2028 | | | 8,088,548 | | | | 0.3 | |
3,000,000(3) | | | COMM 2012-CCRE2 C Mortgage Trust, 4.831%, 08/15/2045 | | | 3,093,235 | | | | 0.1 | |
3,909,713(3),(7) | | | COMM 2012-CR1 XA, 1.856%, 05/15/2045 | | | 144,381 | | | | 0.0 | |
11,035,984(3),(7) | | | COMM 2012-CR3 XA, 1.859%, 10/15/2045 | | | 439,029 | | | | 0.0 | |
868,289(3),(7) | | | COMM 2012-CR4 XA, 1.700%, 10/15/2045 | | | 34,427 | | | | 0.0 | |
7,001,600(1),(3),(7) | | | COMM 2012-LTRT XA, 0.930%, 10/05/2030 | | | 135,720 | | | | 0.0 | |
2,200,000(1),(3) | | | COMM 2013-LC6 D Mortgage Trust, 4.265%, 01/10/2046 | | | 2,244,663 | | | | 0.1 | |
11,060,000(1),(3) | | | COMM 2014-LC15 D Mortgage Trust, 4.984%, 04/10/2047 | | | 11,246,093 | | | | 0.4 | |
11,097,457(3),(7) | | | COMM 2016-COR1 XA, 1.436%, 10/10/2049 | | | 767,649 | | | | 0.0 | |
2,813,372(3),(7) | | | COMM 2016-CR28 XA, 0.687%, 02/10/2049 | | | 88,177 | | | | 0.0 | |
1,000,000(3) | | | COMM 2017-COR2 C, 4.562%, 09/10/2050 | | | 1,061,871 | | | | 0.0 | |
21,459,716(3),(7) | | | COMM 2017-COR2 XA, 1.173%, 09/10/2050 | | | 1,569,394 | | | | 0.1 | |
3,840,000(1) | | | Credit Suisse Mortgage Capital Certificates 2019-ICE4 F, 4.390%, (US0001M + 2.650%), 05/15/2036 | | | 3,857,042 | | | | 0.1 | |
1,430,000(3) | | | CSAIL 2015-C2 C Commercial Mortgage Trust, 4.192%, 06/15/2057 | | | 1,388,863 | | | | 0.1 | |
3,450,000(1) | | | CSWF 2018-TOP F, 4.490%, (US0001M + 2.750%), 08/15/2035 | | | 3,460,386 | | | | 0.1 | |
2,314,968(1),(3) | | | DBUBS 2011-LC1A F Mortgage Trust, 5.702%, 11/10/2046 | | | 2,363,772 | | | | 0.1 | |
5,000,000(1),(3) | | | DBUBS 2011-LC2A D, 5.530%, 07/10/2044 | | | 5,140,873 | | | | 0.2 | |
2,300,000(1),(3) | | | DBUBS 2017-BRBK E Mortgage Trust, 3.530%, 10/10/2034 | | | 2,290,173 | | | | 0.1 | |
2,450,000(1),(3) | | | DBUBS 2011-LC2 E Mortgage Trust, 5.530%, 07/10/2044 | | | 2,482,641 | | | | 0.1 | |
5,000,000(1) | | | DBWF 2018-GLKS D Mortgage Trust, 4.164%, (US0001M + 2.400%), 11/19/2035 | | | 5,019,535 | | | | 0.2 | |
4,800,000(1),(3) | | | DBJPM 16-C3 F Mortgage Trust, 4.241%, 08/10/2049 | | | 3,858,856 | | | | 0.1 | |
Principal Amount† | | | | | | Value | | | | Percentage of Net Assets | |
COMMERCIAL MORTGAGE-BACKED SECURITIES: (continued) | | | | | | | | |
4,160,000(1) | | | Exantas Capital Corp. 2019-RSO7 D Ltd., 4.437%, (US0001M + 2.700%), 04/15/2036 | | $ | 4,166,465 | | | | 0.1 | |
3,680,000(1) | | | Fontainebleau Miami Beach Trust 2019-FBLU F, 4.095%, 12/10/2036 | | | 3,615,140 | | | | 0.1 | |
6,617,598(3),(7) | | | Freddie Mac Multifamily Structured Pass Through Certificates K006 BX1, 5.397%, 02/25/2020 | | | 14,878 | | | | 0.0 | |
16,928,081(3),(7) | | | Freddie Mac Multifamily Structured Pass Through Certificates K014 X3, 3.200%, 02/25/2042 | | | 693,064 | | | | 0.0 | |
7,470,000(3),(7) | | | Freddie Mac Multifamily Structured Pass Through Certificates K035 X3, 1.791%, 12/25/2041 | | | 455,211 | | | | 0.0 | |
8,937,711(3),(7) | | | Freddie Mac Multifamily Structured Pass Through Certificates K715 X3, 2.014%, 02/25/2041 | | | 178,932 | | | | 0.0 | |
20,330,706(3),(7) | | | Freddie Mac Multifamily Structured Pass Through Certificates KC01 X3, 3.849%, 01/25/2026 | | | 2,039,800 | | | | 0.1 | |
644,849(1),(7) | | | FREMF Mortgage Trust 2012-K17 X2A, 0.100%, 12/25/2044 | | | 959 | | | | 0.0 | |
203,197,429(1),(7) | | | FREMF Mortgage Trust 2014-K714 X2B, 0.100%, 01/25/2047 | | | 149,208 | | | | 0.0 | |
1,000,000(1) | | | GPT 2018-GPP E Mortgage Trust, 4.210%, (US0001M + 2.470%), 06/15/2035 | | | 995,214 | | | | 0.0 | |
2,000,000(1) | | | GS Mortgage Securities Corp. II 2018-RIVR F, 3.840%, (US0001M + 2.100%), 07/15/2035 | | | 1,994,513 | | | | 0.1 | |
3,500,000(1) | | | GS Mortgage Securities Corp. II 2018-RIVR G, 4.340%, (US0001M + 2.600%), 07/15/2035 | | | 3,496,648 | | | | 0.1 | |
4,230,000(1) | | | GS Mortgage Securities Corp. Trust 2019-70P E, 3.940%, (US0001M + 2.200%), 10/15/2036 | | | 4,239,730 | | | | 0.2 | |
1,690,000(1) | | | GS Mortgage Securities Corp. Trust 2019-70P F, 4.390%, (US0001M + 2.650%), 10/15/2036 | | | 1,700,000 | | | | 0.1 | |
1,010,000(1),(3) | | | GS Mortgage Securities Trust 2010-C2 E, 4.548%, 12/10/2043 | | | 1,014,629 | | | | 0.0 | |
3,080,000(3) | | | GS Mortgage Securities Trust 2012-GCJ7 C, 5.686%, 05/10/2045 | | | 3,225,271 | | | | 0.1 | |
15,518,000(1),(3) | | | GS Mortgage Securities Trust 2012-GCJ7 E, 5.000%, 05/10/2045 | | | 10,929,799 | | | | 0.4 | |
1,330,000(1) | | | GS Mortgage Securities Trust 2013-GC16 G, 3.500%, 11/10/2046 | | | 1,157,962 | | | | 0.0 | |
6,670,000(1),(3) | | | GS Mortgage Securities Trust 2016-GS4 D, 3.233%, 11/10/2049 | | | 6,190,073 | | | | 0.2 | |
15,431,432(3),(7) | | | GS Mortgage Securities Trust 2019-GC38 XA, 0.964%, 02/10/2052 | | | 1,114,338 | | | | 0.0 | |
3,760,000(1),(3) | | | GS Mortgage Securities Trust 2019-GC40 DBD, 3.550%, 07/10/2052 | | | 3,749,526 | | | | 0.1 | |
2,880,000(1),(3) | | | GS Mortgage Securities Trust 2019-GC40 DBE, 3.550%, 07/10/2052 | | | 2,808,893 | | | | 0.1 | |
41,183,283(3),(7) | | | GS Mortgage Securities Trust 2019-GC40 XA, 1.094%, 07/10/2052 | | | 3,255,687 | | | | 0.1 | |
84,940,247(3),(7) | | | GS Mortgage Securities Trust 2019-GSA1 XA, 0.835%, 11/10/2052 | | | 5,780,133 | | | | 0.2 | |
6,200,000(1) | | | Hawaii Hotel Trust 2019-MAUI F, 4.490%, (US0001M + 3.000%), 05/15/2038 | | | 6,218,411 | | | | 0.2 | |
2,670,000(1),(3) | | | Hudson Yards 2019-55HY F Mortgage Trust, 3.041%, 12/10/2041 | | | 2,369,173 | | | | 0.1 | |
180,000(1),(3) | | | IMT Trust 2017-APTS EFX, 3.497%, 06/15/2034 | | | 178,488 | | | | 0.0 | |
4,860,000(1),(3) | | | Jackson Park Trust 2019-LIC F, 3.242%, 10/14/2039 | | | 4,195,922 | | | | 0.1 | |
1,800,000(1) | | | JP Morgan Chase Commercial Mortgage Securities Corp. 2019-BKWD E, 4.340%, (US0001M + 2.600%), 09/15/2029 | | | 1,805,801 | | | | 0.1 | |
2,845,000(1),(3) | | | JP Morgan Chase Commercial Mortgage Securities Trust 2011-C5 D, 5.418%, 08/15/2046 | | | 2,906,449 | | | | 0.1 | |
3,760,000(1),(3) | | | JPMCC Re-REMIC Trust 2015-FRR2 AK36, 2.205%, 12/27/2046 | | | 3,580,688 | | | | 0.1 | |
5,910,000(1) | | | J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-WPT FFX, 5.542%, 07/05/2033 | | | 6,089,428 | | | | 0.2 | |
Principal Amount† | | | | | Value | | | Percentage of Net Assets | |
COMMERCIAL MORTGAGE-BACKED SECURITIES: (continued) | | | | | | | | |
5,440,000(1) | | | J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-MFP E, 3.900%, (US0001M + 2.160%), 07/15/2036 | | $ | 5,454,319 | | | | 0.2 | |
6,150,000(1),(3) | | | JP Morgan Chase Commercial Mortgage Securities Trust 2011-C4 F, 3.873%, 07/15/2046 | | | 6,181,120 | | | | 0.2 | |
5,000,000(1),(3) | | | JP Morgan Chase Commercial Mortgage Securities Trust 2011-C4 G, 3.873%, 07/15/2046 | | | 5,007,190 | | | | 0.2 | |
5,286,932(3),(7) | | | JP Morgan Chase Commercial Mortgage Securities Trust 2012-CIBX XA, 1.478%, 06/15/2045 | | | 116,905 | | | | 0.0 | |
2,000,000(3) | | | JP Morgan Chase Commercial Mortgage Securities Trust 2013-C10 D, 4.113%, 12/15/2047 | | | 2,054,937 | | | | 0.1 | |
5,500,000(1),(3) | | | JP Morgan Chase Commercial Mortgage Securities Trust 2013-C10 E, 3.500%, 12/15/2047 | | | 5,289,925 | | | | 0.2 | |
1,655,000(1),(3) | | | JP Morgan Chase Commercial Mortgage Securities Trust 2013-C13 E, 3.986%, 01/15/2046 | | | 1,637,930 | | | | 0.1 | |
7,470,000(1),(3) | | | JP Morgan Chase Commercial Mortgage Securities Trust 2013-C13 F, 3.986%, 01/15/2046 | | | 7,132,316 | | | | 0.2 | |
25,989,402(3),(7) | | | JP Morgan Chase Commercial Mortgage Securities Trust 2014-C20 XA, 0.952%, 07/15/2047 | | | 654,177 | | | | 0.0 | |
1,000,000(1),(3) | | | JPMBB Commercial Mortgage Securities Trust 2013-C15 D, 5.198%, 11/15/2045 | | | 1,066,093 | | | | 0.0 | |
2,549,000(1),(3) | | | JPMBB Commercial Mortgage Securities Trust 2013-C17 D, 4.892%, 01/15/2047 | | | 2,663,382 | | | | 0.1 | |
9,560,000(1),(3) | | | JPMBB Commercial Mortgage Securities Trust 2013-C17 E, 3.867%, 01/15/2047 | | | 9,091,394 | | | | 0.3 | |
2,200,000(1),(3) | | | JPMBB Commercial Mortgage Securities Trust 2013-C17 F, 3.867%, 01/15/2047 | | | 1,939,093 | | | | 0.1 | |
1,405,000(3) | | | JPMBB Commercial Mortgage Securities Trust 2014-C21 C, 4.658%, 08/15/2047 | | | 1,452,941 | | | | 0.1 | |
2,440,000(1) | | | JPMBB Commercial Mortgage Securities Trust 2014-C26 E, 4.000%, 01/15/2048 | | | 2,105,485 | | | | 0.1 | |
52,915,098(3),(7) | | | JPMBB Commercial Mortgage Securities Trust 2015-C27 XA, 1.194%, 02/15/2048 | | | 2,488,840 | | | | 0.1 | |
56,667,475(3),(7) | | | JPMBB Commercial Mortgage Securities Trust 2015-C28 XA, 1.059%, 10/15/2048 | | | 2,066,714 | | | | 0.1 | |
21,461,910(3),(7) | | | JPMDB Commercial Mortgage Securities Trust 2017-C7 XA, 0.904%, 10/15/2050 | | | 1,134,206 | | | | 0.0 | |
929,718(3) | | | LB-UBS Commercial Mortgage Trust 2005-C3 F, 5.013%, 07/15/2040 | | | 930,103 | | | | 0.0 | |
13,552,803(1),(3),(7) | | | LSTAR Commercial Mortgage Trust 2017-5 X, 1.084%, 03/10/2050 | | | 535,176 | | | | 0.0 | |
6,737,000(1) | | | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C13 F, 3.707%, 11/15/2046 | | | 6,361,767 | | | | 0.2 | |
12,082,309(3),(7) | | | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C13 XA, 0.986%, 11/15/2046 | | | 370,620 | | | | 0.0 | |
14,099,573(3),(7) | | | Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19 XA, 1.003%, 12/15/2047 | | | 536,201 | | | | 0.0 | |
2,980,000(1),(3) | | | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15 D, 4.910%, 04/15/2047 | | | 3,127,008 | | | | 0.1 | |
7,689,000(1) | | | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18 D, 3.389%, 10/15/2047 | | | 7,275,171 | | | | 0.3 | |
1,000,000(3) | | | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20 C, 4.462%, 02/15/2048 | | | 1,047,059 | | | | 0.0 | |
8,220,000 | | | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25 D, 3.068%, 10/15/2048 | | | 7,899,170 | | | | 0.3 | |
4,300,000(1) | | | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C26 D, 3.060%, 10/15/2048 | | | 4,086,543 | | | | 0.1 | |
15,727,522(3),(7) | | | Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34 XA, 0.816%, 11/15/2052 | | | 775,194 | | | | 0.0 | |
270,000(1),(3) | | | Morgan Stanley Capital I Trust 2011-C1 D, 5.375%, 09/15/2047 | | | 276,757 | | | | 0.0 | |
5,970,000(1) | | | Morgan Stanley Capital I Trust 2011-C1 K, 4.193%, 09/15/2047 | | | 5,949,300 | | | | 0.2 | |
4,268,000(1) | | | Morgan Stanley Capital I Trust 2011-C1 L, 4.193%, 09/15/2047 | | | 4,192,354 | | | | 0.1 | |
4,220,000(1) | | | Morgan Stanley Capital I Trust 2011-C1 M, 4.193%, 09/15/2047 | | | 4,103,626 | | | | 0.1 | |
Principal Amount† | | | | | Value | | | Percentage of Net Assets | |
COMMERCIAL MORTGAGE-BACKED SECURITIES: (continued) | | | | | | | | |
4,841,000(1),(3) | | | Morgan Stanley Capital I Trust 2016-BNK2 D, 3.000%, 11/15/2049 | | $ | 4,426,176 | | | | 0.2 | |
25,660,000(1),(3),(7) | | | Morgan Stanley Capital I Trust 2018-L1 XD, 1.796%, 10/15/2051 | | | 3,543,769 | | | | 0.1 | |
910,000 | | | Morgan Stanley Capital I, Inc. 2017-HR2 D, 2.730%, 12/15/2050 | | | 819,942 | | | | 0.0 | |
38,469,903(3),(7) | | | Morgan Stanley Capital I, Inc. 2017-HR2 XA, 0.794%, 12/15/2050 | | | 1,980,308 | | | | 0.1 | |
2,370,000(1) | | | MRCD 2019-PARK E Mortgage Trust, 2.718%, 12/15/2036 | | | 2,243,291 | | | | 0.1 | |
4,450,000(1) | | | MRCD 2019-PARK F Mortgage Trust, 2.718%, 12/15/2036 | | | 4,140,550 | | | | 0.1 | |
790,000(1) | | | Prima Capital CRE Securitization 2019-RK1 CD Ltd., 3.500%, 04/15/2038 | | | 774,860 | | | | 0.0 | |
10,151,000(1) | | | Prima Capital CRE Securitization 2019-RK1 DD Ltd., 3.500%, 04/15/2038 | | | 9,819,354 | | | | 0.3 | |
4,470,000(1),(3) | | | Ready Capital Mortgage Trust 2019-5 D, 5.544%, 02/25/2052 | | | 4,571,660 | | | | 0.2 | |
5,310,000(1),(3) | | | ReadyCap Commercial Mortgage Trust 2018-4 D, 5.338%, 02/27/2051 | | | 5,373,689 | | | | 0.2 | |
2,673,000(1) | | | Shelter Growth CRE 2018-FL1 D Issuer Ltd., 4.740%, (US0001M + 3.000%), 01/15/2035 | | | 2,678,737 | | | | 0.1 | |
1,000,000(1),(3) | | | UBS Commercial Mortgage Trust 2017-C5, 4.317%, 11/15/2050 | | | 973,726 | | | | 0.0 | |
45,936,979(3),(7) | | | UBS Commercial Mortgage Trust 2019-C16 XA, 1.562%, 04/15/2052 | | | 4,973,353 | | | | 0.2 | |
3,448,000(1) | | | Wells Fargo Commercial Mortgage Trust 2010-C1 F, 4.000%, 11/15/2043 | | | 3,414,081 | | | | 0.1 | |
8,190,000(1),(3) | | | Wells Fargo Commercial Mortgage Trust 2015-C30 D, 4.497%, 09/15/2058 | | | 8,394,703 | | | | 0.3 | |
8,329,649(1) | | | Wells Fargo Commercial Mortgage Trust 2015-C30 E, 3.250%, 09/15/2058 | | | 7,037,290 | | | | 0.2 | |
78,780,000(3),(7) | | | Wells Fargo Commercial Mortgage Trust 2016-NXS6 XB, 0.526%, 11/15/2049 | | | 2,800,558 | | | | 0.1 | |
20,786,942(3),(7) | | | Wells Fargo Commercial Mortgage Trust 2017-C40 XA, 0.974%, 10/15/2050 | | | 1,166,181 | | | | 0.0 | |
2,464,134(1) | | | Wells Fargo Commercial Mortgage Trust 2018-BXI E, 3.897%, (US0001M + 2.157%), 12/15/2036 | | | 2,465,608 | | | | 0.1 | |
8,430,000(1) | | | Wells Fargo Commercial Mortgage Trust 2019-C49 D, 3.000%, 03/15/2052 | | | 7,402,040 | | | | 0.3 | |
377,831(1),(3),(7) | | | WFRBS Commercial Mortgage Trust 2012-C8 XA, 1.811%, 08/15/2045 | | | 13,640 | | | | 0.0 | |
2,921,039(1),(3),(7) | | | WFRBS Commercial Mortgage Trust 2012-C9 XA, 1.896%, 11/15/2045 | | | 126,385 | | | | 0.0 | |
9,230,000(1),(3) | | | WFRBS Commercial Mortgage Trust 2013-C11 E, 4.261%, 03/15/2045 | | | 9,269,100 | | | | 0.3 | |
960,000(1),(3) | | | WFRBS Commercial Mortgage Trust 2013-C11 F, 4.261%, 03/15/2045 | | | 927,099 | | | | 0.0 | |
10,350,000(1) | | | WFRBS Commercial Mortgage Trust 2013-C12 E, 3.500%, 03/15/2048 | | | 9,511,308 | | | | 0.3 | |
5,950,000(1) | | | WFRBS Commercial Mortgage Trust 2013-C12 F, 3.500%, 03/15/2048 | | | 5,228,427 | | | | 0.2 | |
4,795,282(1),(3),(7) | | | WFRBS Commercial Mortgage Trust 2013-C12 XA, 1.221%, 03/15/2048 | | | 144,760 | | | | 0.0 | |
9,000,000(1),(3) | | | WFRBS Commercial Mortgage Trust 2013-C17 D, 5.041%, 12/15/2046 | | | 9,472,764 | | | | 0.3 | |
760,000(1) | | | WFRBS Commercial Mortgage Trust 2013-C17 E, 3.500%, 12/15/2046 | | | 700,257 | | | | 0.0 | |
3,000,000(1) | | | WFRBS Commercial Mortgage Trust 2013-C17 F, 3.500%, 12/15/2046 | | | 2,504,220 | | | | 0.1 | |
42,181,973(3),(7) | | | WFRBS Commercial Mortgage Trust 2013-UBS1 XA, 0.850%, 03/15/2046 | | | 922,520 | | | | 0.0 | |
39,967,814(3),(7) | | | Wells Fargo Commercial Mortgage Trust 2019-C52 XA, 1.624%, 08/15/2052 | | | 4,712,533 | | | | 0.2 | |
7,735,000(1),(3) | | | West Town Mall Trust 2017-KNOX E, 4.346%, 07/05/2030 | | | 7,752,602 | | | | 0.3 | |
1,500,000(1),(3) | | | WFLD 2014-MONT D Mortgage Trust, 3.755%, 08/10/2031 | | | 1,474,438 | | | | 0.1 | |
| | | | | | | | | | | |
| | | Total Commercial Mortgage-Backed Securities (Cost $544,819,155) | | | 558,106,596 | | | | 19.1 | |
| | | | | | | | | | | |
ASSET-BACKED SECURITIES: 10.8% | | | | | | | | |
| | | Automobile Asset-Backed Securities: 1.1% | | | | | | | | |
1,075,000 | | | Americredit Automobile Receivables Trust 2018-2 D, 4.010%, 07/18/2024 | | | 1,119,743 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | Percentage of Net Assets | |
ASSET-BACKED SECURITIES: (continued) | | | | | | | | |
| | | Automobile Asset-Backed Securities: (continued) | | | | | | | | |
2,000,000 | | | Americredit Automobile Receivables Trust 2019-1 D, 3.620%, 03/18/2025 | | $ | 2,055,093 | | | | 0.1 | |
2,800,000 | | | AmeriCredit Automobile Receivables Trust 2019-3 C, 2.320%, 07/18/2025 | | | 2,791,105 | | | | 0.1 | |
2,450,000 | | | AmeriCredit Automobile Receivables Trust 2019-3 D, 2.580%, 09/18/2025 | | | 2,426,700 | | | | 0.1 | |
3,000,000 | | | Carmax Auto Owner Trust 2019-2 D, 3.410%, 10/15/2025 | | | 3,055,932 | | | | 0.1 | |
2,500,000(1) | | | Santander Drive Auto Receivables Trust 2018-1 E, 4.370%, 05/15/2025 | | | 2,541,368 | | | | 0.1 | |
1,000,000 | | | Santander Drive Auto Receivables Trust 2018-2 D, 3.880%, 02/15/2024 | | | 1,024,244 | | | | 0.0 | |
4,450,000 | | | Santander Drive Auto Receivables Trust 2019-2 D, 3.220%, 07/15/2025 | | | 4,540,064 | | | | 0.2 | |
2,250,000 | | | Santander Drive Auto Receivables Trust 2019-3 C, 2.490%, 10/15/2025 | | | 2,259,327 | | | | 0.1 | |
6,000,000 | | | Santander Drive Auto Receivables Trust 2019-3 D, 2.680%, 10/15/2025 | | | 5,979,370 | | | | 0.2 | |
850,000(1) | | | Tesla Auto Lease Trust 2018-B C, 4.360%, 10/20/2021 | | | 872,838 | | | | 0.0 | |
3,800,000(1) | | | Tesla Auto Lease Trust 2019-A C, 2.680%, 01/20/2023 | | | 3,788,042 | | | | 0.1 | |
| | | | | | 32,453,826 | | | | 1.1 | |
| | | | | | | | | | | |
| | | Home Equity Asset-Backed Securities: 0.3% | | | | | | | | |
2,755,937(1),(3) | | | ACE Securities Corp. Mortgage Loan Trust Series 2007-D1 A2, 6.336%, 02/25/2038 | | | 2,635,985 | | | | 0.1 | |
474,648 | | | GSAA Home Equity Trust 2006-3 A3, 2.092%, (US0001M + 0.300%), 03/25/2036 | | | 341,202 | | | | 0.0 | |
2,984,415(3) | | | GSAA Home Equity Trust 2006-4 4A3, 4.022%, 03/25/2036 | | | 2,425,613 | | | | 0.1 | |
1,069,301 | | | GSAA Home Equity Trust 2007-1 1A1, 1.872%, (US0001M + 0.080%), 02/25/2037 | | | 506,640 | | | | 0.0 | |
1,182,649(3) | | | GSAA Trust 2006-7 AF2, 5.995%, 03/25/2046 | | | 746,261 | | | | 0.0 | |
1,158,346(3) | | | Morgan Stanley Mortgage Loan Trust 2007-10XS A2, 6.250%, 02/25/2037 | | | 797,309 | | | | 0.1 | |
695,286 | | | Nomura Home Equity Loan, Inc. Home Equity Loan Trust Series 2007-1 2A4A, 2.252%, (US0001M + 0.230%), 02/25/2037 | | | 645,891 | | | | 0.0 | |
| | | | | | 8,098,901 | | | | 0.3 | |
| | | | | | | | | | | |
| | | Other Asset-Backed Securities: 8.5% | | | | | | | | |
2,862,681(1) | | | Ajax Mortgage Loan Trust 2018-A A, 3.850%, 04/25/2058 | | | 2,899,404 | | | | 0.1 | |
3,481,895(1),(3) | | | Ajax Mortgage Loan Trust 2018-C A, 4.360%, 09/25/2065 | | | 3,528,400 | | | | 0.1 | |
3,089,000(1) | | | Ajax Mortgage Loan Trust 2019-D A2, 3.500%, 09/25/2065 | | | 3,065,804 | | | | 0.1 | |
4,234,000(1) | | | Ajax Mortgage Loan Trust 2019-F A2, 3.500%, 09/25/2059 | | | 4,203,882 | | | | 0.1 | |
2,500,000(1) | | | AMMC CLO 16 Ltd. 2015-16A CR, 4.351%, (US0003M + 2.350%), 04/14/2029 | | | 2,487,390 | | | | 0.1 | |
2,000,000(1) | | | AMMC CLO XI Ltd. 2012-11A CR2, 3.836%, (US0003M + 1.900%), 04/30/2031 | | | 1,897,598 | | | | 0.1 | |
4,750,000(1) | | | Apidos CLO XI 2012-11A CRR, 4.502%, (US0003M + 2.500%), 10/17/2030 | | | 4,717,994 | | | | 0.2 | |
1,650,000(1) | | | Applebee's Funding LLC / IHOP Funding LLC 2019-1A A2I, 4.194%, 06/07/2049 | | | 1,674,766 | | | | 0.1 | |
750,000(1) | | | Applebee's Funding LLC / IHOP Funding LLC 2019-1A A2II, 4.723%, 06/07/2049 | | | 770,055 | | | | 0.0 | |
2,514,123(1) | | | Aqua Finance Trust 2019-A A, 3.140%, 07/16/2040 | | | 2,522,429 | | | | 0.1 | |
1,100,000(1) | | | Ares XLII Clo Ltd. 2017-42A C, 4.153%, (US0003M + 2.200%), 01/22/2028 | | | 1,079,273 | | | | 0.0 | |
750,000(1) | | | Atrium CDO Corp. 12A CR, 3.603%, (US0003M + 1.650%), 04/22/2027 | | | 742,868 | | | | 0.0 | |
1,250,000(1) | | | Atrium CDO Corp. 12A DR, 4.753%, (US0003M + 2.800%), 04/22/2027 | | | 1,192,576 | | | | 0.0 | |
2,000,000(1) | | | Babson CLO Ltd. 2018-3A C, 3.866%, (US0003M + 1.900%), 07/20/2029 | | | 1,943,852 | | | | 0.1 | |
6,000,000(1) | | | Barings Clo Ltd. 2019-4A C, 4.703%, (US0003M + 2.800%), 01/15/2033 | | | 5,999,760 | | | | 0.2 | |
2,000,000(1) | | | Benefit Street Partners CLO V-B Ltd. 2018-5BA B, 4.116%, (US0003M + 2.150%), 04/20/2031 | | | 1,913,784 | | | | 0.1 | |
Principal Amount† | | | | | Value | | | Percentage of Net Assets | |
ASSET-BACKED SECURITIES: (continued) | | | | | | | | |
| | | Other Asset-Backed Securities: (continued) | | | | | | | | |
500,000(1) | | | Benefit Street Partners CLO VII Ltd. 2015-VIIA CR, 4.403%, (US0003M + 2.400%), 07/18/2027 | | $ | 488,048 | | | | 0.0 | |
2,750,000(1) | | | BlueMountain CLO 2012-2A DR2 Ltd., 4.799%, (US0003M + 2.900%), 11/20/2028 | | | 2,643,968 | | | | 0.1 | |
1,000,000(1) | | | BlueMountain CLO 2013-2A CR, 3.903%, (US0003M + 1.950%), 10/22/2030 | | | 957,603 | | | | 0.0 | |
1,000,000(1) | | | BlueMountain CLO 2015-4 CR Ltd., 3.866%, (US0003M + 1.900%), 04/20/2030 | | | 950,871 | | | | 0.0 | |
2,250,000(1) | | | BlueMountain CLO 2016-1 Ltd. 2016-1A DR, 4.616%, (US0003M + 2.650%), 04/20/2027 | | | 2,130,622 | | | | 0.1 | |
3,750,000(1) | | | BlueMountain CLO XXV Ltd. 2019-25A C, 4.736%, (US0003M + 2.450%), 07/15/2032 | | | 3,750,956 | | | | 0.1 | |
250,000(1) | | | Bowman Park CLO Ltd. 2014-1A E, 7.310%, (US0003M + 5.400%), 11/23/2025 | | | 247,837 | | | | 0.0 | |
750,000(1) | | | Buttermilk Park CLO Ltd. 2018-1A C, 4.101%, (US0003M + 2.100%), 10/15/2031 | | | 730,639 | | | | 0.0 | |
2,000,000(1) | | | Carlyle Global Market Strategies CLO 2015-2A CR Ltd., 4.186%, (US0003M + 2.250%), 04/27/2027 | | | 1,997,326 | | | | 0.1 | |
250,000(1) | | | Carlyle Global Market Strategies CLO 2015-2A DR Ltd., 6.286%, (US0003M + 4.350%), 04/27/2027 | | | 244,433 | | | | 0.0 | |
1,500,000(1) | | | Carlyle Global Market Strategies CLO 2015-3A CR Ltd., 4.786%, (US0003M + 2.850%), 07/28/2028 | | | 1,449,616 | | | | 0.1 | |
1,500,000(1) | | | Carlyle US CLO 2016-4A BR Ltd., 4.066%, (US0003M + 2.100%), 10/20/2027 | | | 1,450,362 | | | | 0.1 | |
1,000,000(1) | | | Cent CLO C17A BR Ltd., 3.786%, (US0003M + 1.850%), 04/30/2031 | | | 962,486 | | | | 0.0 | |
1,500,000(1) | | | CIFC Funding 2013-IA BR Ltd., 4.401%, (US0003M + 2.400%), 07/16/2030 | | | 1,464,075 | | | | 0.1 | |
2,000,000(1) | | | Cifc Funding 2014-4RA B Ltd., 4.202%, (US0003M + 2.200%), 10/17/2030 | | | 1,947,072 | | | | 0.1 | |
6,250,000(1) | | | CIFC Funding 2017-2A C, 4.316%, (US0003M + 2.350%), 04/20/2030 | | | 6,178,056 | | | | 0.2 | |
1,100,000 | | | Countrywide Asset-Backed Certificates 2005-AB2 M1, 2.497%, (US0001M + 0.705%), 09/25/2035 | | | 1,080,842 | | | | 0.0 | |
1,750,000(1) | | | Cumberland Park CLO Ltd. 2015-2A CR, 3.766%, (US0003M + 1.800%), 07/20/2028 | | | 1,740,567 | | | | 0.1 | |
500,000(1) | | | Cumberland Park CLO Ltd. 2015-2A DR, 4.666%, (US0003M + 2.700%), 07/20/2028 | | | 497,809 | | | | 0.0 | |
845,750(1) | | | DB Master Finance LLC 2019-1A A23, 4.352%, 05/20/2049 | | | 877,930 | | | | 0.0 | |
447,750(1) | | | DB Master Finance LLC 2019-1A A2II, 4.021%, 05/20/2049 | | | 459,765 | | | | 0.0 | |
580,500(1) | | | Domino's Pizza Master Issuer LLC 2015-1A A1II, 4.474%, 10/25/2045 | | | 609,513 | | | | 0.0 | |
1,078,000(1) | | | Domino's Pizza Master Issuer LLC 2017-1A A23, 4.118%, 07/25/2047 | | | 1,118,299 | | | | 0.0 | |
3,087,000(1) | | | Domino's Pizza Master Issuer LLC 2017-1A A2II, 3.082%, 07/25/2047 | | | 3,096,626 | | | | 0.1 | |
2,330,500(1) | | | Domino's Pizza Master Issuer LLC 2018-1A A2I, 4.116%, 07/25/2048 | | | 2,400,951 | | | | 0.1 | |
3,550,000(1) | | | Domino's Pizza Master Issuer LLC 2019-1A A2, 3.668%, 10/25/2049 | | | 3,555,041 | | | | 0.1 | |
2,183,500(1) | | | Driven Brands Funding LLC 2019-1A A2, 4.641%, 04/20/2049 | | | 2,260,272 | | | | 0.1 | |
1,231,250(1) | | | Driven Brands Funding, LLC 2018-1A A2, 4.739%, 04/20/2048 | | | 1,279,127 | | | | 0.0 | |
2,750,000(1) | | | Dryden 30 Senior Loan Fund 2013-30A DR, 4.510%, (US0003M + 2.600%), 11/15/2028 | | | 2,567,986 | | | | 0.1 | |
1,750,000(1) | | | Dryden 55 CLO Ltd. 2018-55A C, 3.901%, (US0003M + 1.900%), 04/15/2031 | | | 1,678,966 | | | | 0.1 | |
1,150,000(1) | | | Dryden XXV Senior Loan Fund 2012-25A DRR, 4.986%, (US0003M + 3.000%), 10/15/2027 | | | 1,139,640 | | | | 0.0 | |
750,000(1) | | | Dryden XXVI Senior Loan Fund 2013-26A CR, 3.851%, (US0003M + 1.850%), 04/15/2029 | | | 732,225 | | | | 0.0 | |
3,061,863(1) | | | Five Guys Holdings, Inc. 2017-1A A2, 4.600%, 07/25/2047 | | | 3,178,762 | | | | 0.1 | |
750,000(1) | | | Galaxy XXII CLO Ltd. 2016-22A DR, 5.101%, (US0003M + 3.100%), 07/16/2028 | | | 737,138 | | | | 0.0 | |
976,037(1) | | | Helios Issuer, LLC 2018-1A A, 4.870%, 07/20/2048 | | | 1,021,936 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | Percentage of Net Assets | |
ASSET-BACKED SECURITIES: (continued) | | | | | | | | |
| | | Other Asset-Backed Securities: (continued) | | | | | | | | |
3,766,369(1) | | | Helios Issuer, LLC 2018-1A B, 7.710%, 07/20/2048 | | $ | 3,966,304 | | | | 0.1 | |
1,000,000(1) | | | Invitation Homes 2018-SFR1 D Trust, 3.187%, (US0001M + 1.450%), 03/17/2037 | | | 999,492 | | | | 0.0 | |
4,500,000(1) | | | Jay Park CLO Ltd. 2016-1A BR, 3.966%, (US0003M + 2.000%), 10/20/2027 | | | 4,390,668 | | | | 0.2 | |
3,750,000(1) | | | Jersey Mike's Funding 2019-1A A2, 4.433%, 02/15/2050 | | | 3,758,374 | | | | 0.1 | |
1,000,000(1) | | | JG Wentworth XLII LLC 2018-2A B, 4.700%, 10/15/2077 | | | 1,091,359 | | | | 0.0 | |
1,350,000(1) | | | LCM XVIII L.P. 18A CR, 3.816%, (US0003M + 1.850%), 04/20/2031 | | | 1,267,727 | | | | 0.0 | |
1,000,000(1) | | | LCM XX L.P. 20A-CR, 3.916%, (US0003M + 1.950%), 10/20/2027 | | | 976,667 | | | | 0.0 | |
1,500,000(1) | | | LCM XX L.P. 20A-DR, 4.766%, (US0003M + 2.800%), 10/20/2027 | | | 1,448,172 | | | | 0.1 | |
2,800,000(1) | | | LCM XXII Ltd. 22A CR, 4.766%, (US0003M + 2.800%), 10/20/2028 | | | 2,613,262 | | | | 0.1 | |
951,158(1) | | | LCSS Financing 2018-A A LLC, 4.700%, 12/15/2062 | | | 1,066,068 | | | | 0.0 | |
1,000,000(1) | | | Madison Park Funding XIII Ltd. 2014-13A CR2, 3.866%, (US0003M + 1.900%), 04/19/2030 | | | 977,100 | | | | 0.0 | |
2,500,000(1) | | | Madison Park Funding XIX Ltd. 2015-19A B1R, 4.253%, (US0003M + 2.300%), 01/22/2028 | | | 2,500,067 | | | | 0.1 | |
6,000,000(1) | | | Madison Park Funding XXI Ltd. 2016-21A BR, 4.790%, (US0003M + 2.850%), 10/15/2032 | | | 6,004,092 | | | | 0.2 | |
1,000,000(1) | | | Magnetite VIII Ltd. 2014-8A CR2, 3.851%, (US0003M + 1.850%), 04/15/2031 | | | 978,219 | | | | 0.0 | |
4,000,000(1) | | | Mariner CLO 2015-1A DR LLC, 5.616%, (US0003M + 3.650%), 04/20/2029 | | | 3,908,240 | | | | 0.1 | |
1,500,000(1) | | | Marlette Funding Trust 2018-1A C, 3.690%, 03/15/2028 | | | 1,509,787 | | | | 0.1 | |
1,700,000(1) | | | Marlette Funding Trust 2018-4A C, 4.910%, 12/15/2028 | | | 1,746,780 | | | | 0.1 | |
1,700,000(1) | | | Marlette Funding Trust 2019-1A B, 3.940%, 04/16/2029 | | | 1,734,420 | | | | 0.1 | |
2,000,000(1) | | | Marlette Funding Trust 2019-2A C, 4.110%, 07/16/2029 | | | 2,027,063 | | | | 0.1 | |
4,050,000(1) | | | Marlette Funding Trust 2019-3A C, 3.790%, 09/17/2029 | | | 4,066,502 | | | | 0.1 | |
1,950,000(1) | | | Marlette Funding Trust 2019-4A B, 2.950%, 12/17/2029 | | | 1,949,509 | | | | 0.1 | |
2,931,429(1) | | | Mill City Solar Loan 2019-2GS A Ltd., 3.690%, 07/20/2043 | | | 2,964,736 | | | | 0.1 | |
1,029,931(1) | | | Mosaic Solar Loan Trust 2018-1A A, 4.010%, 06/22/2043 | | | 1,058,298 | | | | 0.0 | |
2,500,000(1) | | | Mosaic Solar Loan Trust 2018-2-GS B, 4.740%, 02/22/2044 | | | 2,551,153 | | | | 0.1 | |
2,372,423(1) | | | Mosaic Solar Loan Trust 2019-1A A, 4.370%, 12/21/2043 | | | 2,473,177 | | | | 0.1 | |
1,284,012(1) | | | Mosaic Solar Loan Trust 2019-2A A, 2.880%, 09/20/2040 | | | 1,284,056 | | | | 0.0 | |
1,871,042(1) | | | Mosaic Solar Loans 2017-2A A LLC, 3.820%, 06/22/2043 | | | 1,906,402 | | | | 0.1 | |
2,300,000(1) | | | Neuberger Berman Loan Advisers CLO 33 Ltd. 2019-33A C, 4.590%, (US0003M + 2.450%), 10/16/2032 | | | 2,301,203 | | | | 0.1 | |
700,000(1) | | | Ocean Trails CLO IV 2013-4A DR, 4.905%, (US0003M + 3.000%), 08/13/2025 | | | 700,666 | | | | 0.0 | |
2,450,000(1) | | | OCP CLO 2015-8 Ltd. 2015-8A BR, 3.852%, (US0003M + 1.850%), 04/17/2027 | | | 2,450,069 | | | | 0.1 | |
2,000,000(1) | | | Octagon Investment Partners 31 Ltd. 2017-1A C, 4.366%, (US0003M + 2.400%), 07/20/2030 | | | 1,963,440 | | | | 0.1 | |
2,250,000(1) | | | Octagon Investment Partners 32 Ltd. 2017-1A C, 4.251%, (US0003M + 2.250%), 07/15/2029 | | | 2,199,744 | | | | 0.1 | |
600,000(1) | | | Octagon Investment Partners 33 Ltd. 2017-1A B, 3.816%, (US0003M + 1.850%), 01/20/2031 | | | 581,654 | | | | 0.0 | |
1,000,000(1) | | | Octagon Investment Partners XXIII Ltd. 2015-1A CR, 3.851%, (US0003M + 1.850%), 07/15/2027 | | | 981,931 | | | | 0.0 | |
1,500,000(1) | | | OHA Credit Funding 3 Ltd. 2019-3A C, 5.075%, (US0003M + 2.450%), 07/20/2032 | | | 1,501,502 | | | | 0.1 | |
1,545,000(1) | | | OHA Credit Partners IX Ltd. 2013-9A DR, 5.266%, (US0003M + 3.300%), 10/20/2025 | | | 1,546,276 | | | | 0.1 | |
2,185,000(1) | | | Palmer Square Loan Funding 2017-1A D Ltd., 6.851%, (US0003M + 4.850%), 10/15/2025 | | | 2,172,272 | | | | 0.1 | |
1,500,000(1) | | | Palmer Square Loan Funding 2018-1A D Ltd., 5.951%, (US0003M + 3.950%), 04/15/2026 | | | 1,438,505 | | | | 0.1 | |
Principal Amount�� | | | | | Value | | | Percentage of Net Assets | |
ASSET-BACKED SECURITIES: (continued) | | | | | | |
| | | Other Asset-Backed Securities: (continued) | | | | | | | | |
1,000,000(1) | | | Palmer Square Loan Funding 2018-1A E Ltd., 7.901%, (US0003M + 5.900%), 04/15/2026 | | $ | 876,968 | | | | 0.0 | |
1,500,000(1),(11) | | | Palmer Square Loan Funding 2018-2A C Ltd., 3.951%, (US0003M + 1.950%), 07/15/2026 | | | 1,456,235 | | | | 0.1 | |
3,000,000(1) | | | Palmer Square Loan Funding 2018-4 D Ltd., 6.160%, (US0003M + 4.250%), 11/15/2026 | | | 2,938,776 | | | | 0.1 | |
1,580,000(1) | | | Planet Fitness Master Issuer LLC 2018-1A A2I, 4.262%, 09/05/2048 | | | 1,610,372 | | | | 0.1 | |
580,883(3) | | | Popular ABS Mortgage Pass-Through Trust 2005-D A5, 3.789%, 01/25/2036 | | | 581,804 | | | | 0.0 | |
2,450,000(1) | | | Primose Funding LLC 2019-1A A2, 4.475%, 07/30/2049 | | | 2,486,507 | | | | 0.1 | |
670,000(1) | | | Recette CLO Ltd. 2015-1A DR, 4.716%, (US0003M + 2.750%), 10/20/2027 | | | 670,042 | | | | 0.0 | |
3,000,000(1) | | | Shackleton CLO Ltd. 2019-15A C, 4.703%, (US0003M + 2.800%), 01/15/2030 | | | 2,999,880 | | | | 0.1 | |
1,985,000(1) | | | Sofi Consumer Loan Program 2018-1 C Trust, 3.970%, 02/25/2027 | | | 2,020,528 | | | | 0.1 | |
2,050,000(1) | | | Sofi Consumer Loan Program 2018-2 C Trust, 4.250%, 04/26/2027 | | | 2,098,818 | | | | 0.1 | |
3,000,000(1) | | | SoFi Consumer Loan Program 2018-4 D Trust, 4.760%, 11/26/2027 | | | 3,087,899 | | | | 0.1 | |
2,750,000(1) | | | SoFi Consumer Loan Program 2019-1 D Trust, 4.420%, 02/25/2028 | | | 2,829,615 | | | | 0.1 | |
3,000,000(1) | | | SoFi Consumer Loan Program 2019-2 D Trust, 4.200%, 04/25/2028 | | | 3,081,935 | | | | 0.1 | |
4,000,000(1) | | | SoFi Consumer Loan Program 2019-3 D Trust, 3.890%, 05/25/2028 | | | 4,072,819 | | | | 0.1 | |
2,000,000(1) | | | SoFi Consumer Loan Program 2019-4 C Trust, 2.840%, 08/25/2028 | | | 1,995,391 | | | | 0.1 | |
600,000(1) | | | SoFi Consumer Loan Program 2019-4 D Trust, 3.480%, 08/25/2028 | | | 598,483 | | | | 0.0 | |
1,936,556(1) | | | Sunrun Athena Issuer 2018-1 A LLC, 5.310%, 04/30/2049 | | | 2,083,921 | | | | 0.1 | |
3,850,000(1) | | | Sunrun Atlas Issuer 2019-2 A LLC, 3.610%, 01/30/2055 | | | 3,833,176 | | | | 0.1 | |
1,200,000(1) | | | Symphony Credit Opportunities Fund Ltd. 2015-2A CR, 4.261%, (US0003M + 2.260%), 07/15/2028 | | | 1,200,101 | | | | 0.0 | |
1,089,000(1) | | | Taco Bell Funding LLC 2018-1A A2II, 4.940%, 11/25/2048 | | | 1,173,174 | | | | 0.0 | |
1,000,000(1) | | | TCI-Flatiron Clo 2017-1A C Ltd., 3.754%, (US0003M + 1.850%), 11/18/2030 | | | 969,352 | | | | 0.0 | |
4,000,000(1) | | | TES 2017-2A B LLC, 6.990%, 02/20/2048 | | | 4,242,325 | | | | 0.2 | |
3,450,000(1) | | | TES LLC 2017-1A B, 7.740%, 10/20/2047 | | | 3,438,899 | | | | 0.1 | |
2,000,000(1) | | | THL Credit Wind River 2014-1 CRR CLO Ltd., 3.953%, (US0003M + 1.950%), 07/18/2031 | | | 1,897,618 | | | | 0.1 | |
1,000,000(1) | | | THL Credit Wind River 2016-1A CR CLO Ltd., 4.086%, (US0003M + 2.100%), 07/15/2028 | | | 979,241 | | | | 0.0 | |
2,000,000(1),(3) | | | Towd Point Mortgage Trust 2015-6 M2, 3.750%, 04/25/2055 | | | 2,123,326 | | | | 0.1 | |
2,500,000(1),(3) | | | Towd Point Mortgage Trust 2017-6 A2, 3.000%, 10/25/2057 | | | 2,515,269 | | | | 0.1 | |
1,500,000(1) | | | Upland CLO Ltd. 2016-1A BR, 3.816%, (US0003M + 1.850%), 04/20/2031 | | | 1,441,347 | | | | 0.1 | |
1,795,000(1) | | | Venture XX CLO Ltd. 2015-20A CR, 3.901%, (US0003M + 1.900%), 04/15/2027 | | | 1,752,248 | | | | 0.1 | |
2,793,000(1) | | | Wendys Funding LLC 2018-1A A2I, 3.573%, 03/15/2048 | | | 2,825,678 | | | | 0.1 | |
980,000(1) | | | Wendy's Funding LLC 2018-1A A2II, 3.884%, 03/15/2048 | | | 997,767 | | | | 0.0 | |
3,383,000(1) | | | Wendy's Funding LLC 2019-1A A2I, 3.783%, 06/15/2049 | | | 3,454,652 | | | | 0.1 | |
2,000,000(1) | | | West CLO 2014-2A BR Ltd., 3.751%, (US0003M + 1.750%), 01/16/2027 | | | 2,000,196 | | | | 0.1 | |
| | | | | | 247,656,518 | | | | 8.5 | |
| | | | | | | | | | | |
| | | Student Loan Asset-Backed Securities: 0.9% | | | | | | | | |
772,634(1) | | | Commonbond Student Loan Trust 2018-CGS C, 4.350%, 02/25/2046 | | | 780,131 | | | | 0.0 | |
5,085,203(1) | | | Commonbond Student Loan Trust 2019-A-GS A1, 2.540%, 01/25/2047 | | | 5,039,705 | | | | 0.2 | |
303,454(1) | | | Earnest Student Loan Program, LLC 2017-A C, 4.130%, 01/25/2041 | | | 300,538 | | | | 0.0 | |
1,086,000(1) | | | ELFI Graduate Loan Program 2018-A B LLC, 4.000%, 08/25/2042 | | | 1,087,068 | | | | 0.1 | |
Principal Amount† | | | | | Value | | | Percentage of Net Assets | |
ASSET-BACKED SECURITIES: (continued) | | | | | | |
| | | Student Loan Asset-Backed Securities: (continued) | | | | | | | | |
2,150,000(1),(3) | | | ELFI Graduate Loan Program 2019-A B LLC, 2.940%, 03/25/2044 | | $ | 2,114,592 | | | | 0.1 | |
1,356,240(1) | | | Laurel Road Prime Student Loan Trust 2018-B BFX, 3.720%, 05/26/2043 | | | 1,368,065 | | | | 0.1 | |
4,000,000(1) | | | SMB Private Education Loan Trust 2014-A C, 4.500%, 09/15/2045 | | | 3,793,484 | | | | 0.1 | |
1,000,000(1) | | | SMB Private Education Loan Trust 2017-A B, 3.500%, 06/17/2041 | | | 1,001,017 | | | | 0.0 | |
2,250,000(1),(3) | | | SoFi Professional Loan Program 2017-A B LLC, 3.440%, 03/26/2040 | | | 2,297,196 | | | | 0.1 | |
1,000,000(1),(3) | | | SoFi Professional Loan Program 2017-A C, 4.430%, 03/26/2040 | | | 1,056,777 | | | | 0.0 | |
1,000,000(1),(3) | | | SoFi Professional Loan Program 2017-C C, 4.210%, 07/25/2040 | | | 1,043,962 | | | | 0.0 | |
1,000,000(1) | | | SoFi Professional Loan Program 2017-E C LLC, 4.160%, 11/26/2040 | | | 1,024,172 | | | | 0.0 | |
1,000,000(1) | | | Sofi Professional Loan Program 2018-D BFX Trust, 4.140%, 02/25/2048 | | | 1,041,951 | | | | 0.0 | |
2,000,000(1) | | | Sofi Professional Loan Program 2019-B BFX LLC, 3.730%, 08/17/2048 | | | 2,018,826 | | | | 0.1 | |
3,000,000(1) | | | Sofi Professional Loan Program 2019-C BFX LLC, 3.050%, 11/16/2048 | | | 2,895,007 | | | | 0.1 | |
| | | | | | 26,862,491 | | | | 0.9 | |
| | | | | | | | | | | |
| | | Total Asset-Backed Securities | | | | | | | | |
| | | (Cost $314,489,960) | | | 315,071,736 | | | | 10.8 | |
| | | | | | | | | | | |
BANK LOANS: 11.9% | | | | | | | | |
| | | Aerospace & Defense: 0.2% | | | | | | | | |
226,705 | | | 1199169 B.C. Unlimited Liability Company 2019 Term Loan B2, 5.945%, (US0003M + 4.000%), 04/06/2026 | | | 228,729 | | | | 0.0 | |
464,286 | | | American Airlines, Inc. 2018 Term Loan B, 3.513%, (US0001M + 1.750%), 06/27/2025 | | | 466,578 | | | | 0.0 | |
421,670 | | | Dynasty Acquisition Co., Inc. 2019 Term Loan B1, 5.945%, (US0003M + 4.000%), 04/06/2026 | | | 425,436 | | | | 0.0 | |
379,187 | | | KBR, Inc. Term Loan B, 5.549%, (US0001M + 3.750%), 04/25/2025 | | | 382,031 | | | | 0.0 | |
935,454 | | | Maxar Technologies Ltd. Term Loan B, 4.854%, (US0003M + 2.750%), 10/04/2024 | | | 902,323 | | | | 0.1 | |
790,223 | | | TransDigm, Inc. 2018 Term Loan F, 4.299%, (US0001M + 2.500%), 06/09/2023 | | | 793,681 | | | | 0.0 | |
2,229,521 | | | TransDigm, Inc. 2018 Term Loan G, 4.299%, (US0001M + 2.500%), 08/22/2024 | | | 2,239,623 | | | | 0.1 | |
| | | | | | 5,438,401 | | | | 0.2 | |
| | | | | | | | | | | |
| | | Auto Components: 0.0% | | | | | | | | |
912,532 | | | Broadstreet Partners, Inc. 2018 Term Loan B, 5.049%, (US0001M + 3.250%), 11/08/2023 | | | 916,667 | | | | 0.0 | |
| | | | | | | | | | | |
| | | Automotive: 0.4% | | | | | | | | |
200,000 | | | American Axle and Manufacturing, Inc. Term Loan B, 4.734%, (US0001M + 2.250%), 04/06/2024 | | | 199,812 | | | | 0.0 | |
340,000 | | | Autokiniton US Holdings, Inc. Term Loan, 7.549%, (US0001M + 5.750%), 05/22/2025 | | | 329,375 | | | | 0.0 | |
136,364 | | | Belron Finance US LLC 2018 Term Loan B, 4.151%, (US0003M + 2.250%), 11/13/2025 | | | 136,994 | | | | 0.0 | |
1,113,208 | | | Belron Finance US LLC USD Term Loan B, 4.144%, (US0003M + 2.250%), 11/07/2024 | | | 1,120,513 | | | | 0.0 | |
136,364 | | | Belron Finance US LLC 2019 USD Term Loan B, 4.436%, (US0003M + 2.500%), 10/30/2026 | | | 136,994 | | | | 0.0 | |
192,614 | | | Bright Bidco B.V. 2018 Term Loan B, 5.397%, (US0003M + 3.500%), 06/30/2024 | | | 114,846 | | | | 0.0 | |
3,112,561 | | | Gates Global LLC 2017 USD Repriced Term Loan B, 4.549%, (US0001M + 2.750%), 04/01/2024 | | | 3,120,343 | | | | 0.1 | |
1,226,825 | | | Hertz Corporation, (The) 2016 Term Loan B, 4.656%, (US0003M + 2.750%), 06/30/2023 | | | 1,234,110 | | | | 0.1 | |
148,500 | | | Holley Purchaser, Inc. Term Loan B, 6.927%, (US0003M + 5.000%), 10/24/2025 | | | 140,704 | | | | 0.0 | |
272,458 | | | KAR Auction Services, Inc. 2019 Term Loan B6, 4.063%, (US0001M + 2.250%), 09/19/2026 | | | 274,897 | | | | 0.0 | |
57,619 | | | Mister Car Wash Holdings, Inc. 2019 Delayed Draw Term Loan, 5.585%, (US0003M + 3.500%), 05/14/2026 | | | 57,965 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | Percentage of Net Assets | |
BANK LOANS: (continued) | | | | | | |
| | | Automotive: (continued) | | | | | | | | |
1,146,619 | | | Mister Car Wash Holdings, Inc. 2019 Term Loan B, 5.410%, (US0003M + 3.500%), 05/14/2026 | | $ | 1,153,499 | | | | 0.0 | |
1,760,588 | | | Panther BF Aggregator 2 LP USD Term Loan B, 5.305%, (US0001M + 3.500%), 04/30/2026 | | | 1,771,209 | | | | 0.1 | |
1,423,058 | | | Tenneco, Inc. 2018 Term Loan B, 4.799%, (US0001M + 3.000%), 10/01/2025 | | | 1,395,664 | | | | 0.1 | |
641,174 | | | Truck Hero, Inc. 1st Lien Term Loan, 5.549%, (US0001M + 3.750%), 04/21/2024 | | | 627,549 | | | | 0.0 | |
| | | | | | 11,814,474 | | | | 0.4 | |
| | | | | | | | | | | |
| | | Beverage & Tobacco: 0.0% | | | | | | | | |
350,000 | | | Aramark Services, Inc. 2019 Term Loan B4, 3.658%, (US0003M + 1.750%), 01/27/2027 | | | 352,297 | | | | 0.0 | |
965,250 | | | Sunshine Investments B.V. USD Term Loan B3, 5.160%, (US0003M + 3.250%), 03/28/2025 | | | 968,266 | | | | 0.0 | |
| | | | | | 1,320,563 | | | | 0.0 | |
| | | | | | | | | | | |
| | | Brokers, Dealers & Investment Houses: 0.1% | | | | | | | | |
1,994,964 | | | Brookfield Property REIT Inc. 1st Lien Term Loan B, 4.299%, (US0001M + 2.500%), 08/27/2025 | | | 1,984,989 | | | | 0.1 | |
943,608 | | | Forest City Enterprises, L.P. 2019 Term Loan B, 5.299%, (US0001M + 3.500%), 12/08/2025 | | | 948,522 | | | | 0.0 | |
| | | | | | 2,933,511 | | | | 0.1 | |
| | | | | | | | | | | |
| | | Building & Development: 0.4% | | | | | | | | |
427,418 | | | Advanced Drainage Systems Inc Term Loan B, 4.013%, (US0001M + 2.250%), 07/31/2026 | | | 432,226 | | | | 0.0 | |
1,244,608 | | | Capital Automotive L.P. 2017 1st Lien Term Loan, 4.300%, (US0001M + 2.500%), 03/24/2024 | | | 1,250,443 | | | | 0.0 | |
1,634,997 | | | Core & Main LP 2017 Term Loan B, 4.528%, (US0001M + 2.750%), 08/01/2024 | | | 1,635,664 | | | | 0.1 | |
1,931,521 | | | GYP Holdings III Corp. 2018 Term Loan B, 4.549%, (US0001M + 2.750%), 06/01/2025 | | | 1,937,557 | | | | 0.1 | |
991,711 | | | Henry Company LLC Term Loan B, 5.799%, (US0001M + 4.000%), 10/05/2023 | | | 997,289 | | | | 0.0 | |
112,500 | | | Interior Logic Group Holdings IV LLC 2018 Term Loan B, 5.799%, (US0003M + 4.000%), 05/30/2025 | | | 106,312 | | | | 0.0 | |
1,879,141 | | | MX Holdings US, Inc. 2018 USD Term Loan B1C, 4.549%, (US0001M + 2.750%), 07/31/2025 | | | 1,892,060 | | | | 0.1 | |
1,400,000 | | | Quikrete Holdings Inc Term Loan, 4.549%, (US0001M + 2.750%), 11/15/2023 | | | 1,408,875 | | | | 0.1 | |
644,080 | | | Werner FinCo LP 2017 Term Loan, 5.799%, (US0001M + 4.000%), 07/24/2024 | | | 644,080 | | | | 0.0 | |
| | | | | | 10,304,506 | | | | 0.4 | |
| | | | | | | | | | | |
| | | Business Equipment & Services: 1.1% | | | | | | | | |
443,384 | | | 24-7 Intouch Inc 2018 Term Loan, 6.049%, (US0001M + 4.250%), 08/25/2025 | | | 427,311 | | | | 0.0 | |
2,067,946 | | | AlixPartners, LLP 2017 Term Loan B, 4.549%, (US0001M + 2.750%), 04/04/2024 | | | 2,082,901 | | | | 0.1 | |
642,190 | | | Ascend Learning, LLC 2017 Term Loan B, 4.799%, (US0001M + 3.000%), 07/12/2024 | | | 646,738 | | | | 0.0 | |
216,456 | | | Big Ass Fans, LLC 2018 Term Loan, 5.695%, (US0003M + 3.750%), 05/21/2024 | | | 217,674 | | | | 0.0 | |
1,022,132 | | | Canyon Valor Companies, Inc. USD 2017 Term Loan B1, 4.549%, (US0001M + 2.750%), 06/16/2023 | | | 1,023,410 | | | | 0.0 | |
587,600 | | | Colorado Buyer Inc Term Loan B, 4.740%, (US0001M + 3.000%), 05/01/2024 | | | 521,984 | | | �� | 0.0 | |
643,024 | | | Convergint Technologies LLC 2018 1st Lien Term Loan, 4.799%, (US0001M + 3.000%), 02/03/2025 | | | 641,416 | | | | 0.0 | |
928,118 | | | EIG Investors Corp. 2018 1st Lien Term Loan, 5.669%, (US0003M + 3.750%), 02/09/2023 | | | 920,384 | | | | 0.0 | |
923,926 | | | Ellie Mae, Inc. Term Loan, 5.945%, (US0003M + 4.000%), 04/17/2026 | | | 927,776 | | | | 0.0 | |
791,497 | | | EVO Payments International LLC 2018 1st Lien Term Loan, 5.049%, (US0001M + 3.250%), 12/22/2023 | | | 799,907 | | | | 0.0 | |
1,629,102 | | | Financial & Risk US Holdings, Inc. 2018 USD Term Loan, 5.049%, (US0001M + 3.250%), 10/01/2025 | | | 1,645,393 | | | | 0.1 | |
575,609 | | | GreenSky Holdings, LLC 2018 Term Loan B, 5.063%, (US0001M + 3.250%), 03/31/2025 | | | 577,048 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | Percentage of Net Assets | |
BANK LOANS: (continued) | | | | | | |
| | | Business Equipment & Services: (continued) | | | | | | | | |
594 | | | Guidehouse LLP 2018 Term Loan, 6.299%, (US0001M + 4.500%), 05/01/2025 | | $ | 592 | | | | 0.0 | |
401,896 | | | ION Trading Technologies S.a.r.l. USD Incremental Term Loan B, 6.064%, (US0003M + 4.000%), 11/21/2024 | | | 382,974 | | | | 0.0 | |
146,899 | | | iQor US Inc. Term Loan B, 7.099%, (US0003M + 5.000%), 04/01/2021 | | | 127,215 | | | | 0.0 | |
1,740,212 | | | KUEHG Corp. 2018 Incremental Term Loan, 5.695%, (US0003M + 3.750%), 02/21/2025 | | | 1,746,738 | | | | 0.1 | |
1,041,722 | | | Learning Care Group, Inc. 2018 1st Lien Term Loan, 5.324%, (US0003M + 3.250%), 03/13/2025 | | | 1,044,760 | | | | 0.1 | |
100,000 | | | Learning Care Group, Inc. 2018 2nd Lien Term Loan, 9.685%, (US0003M + 7.500%), 03/13/2026 | | | 100,500 | | | | 0.0 | |
497,455 | | | NeuStar, Inc. 2018 Term Loan B4, 5.299%, (US0001M + 3.500%), 08/08/2024 | | | 460,561 | | | | 0.0 | |
989,062 | | | NVA Holdings, Inc. Term Loan B3, 6.500%, (PRIME + 1.750%), 02/02/2025 | | | 989,449 | | | | 0.0 | |
888,587 | | | PI US MergerCo, Inc. USD 2017 1st Lien Term Loan, 5.049%, (US0001M + 3.250%), 01/03/2025 | | | 895,252 | | | | 0.0 | |
1,624,587 | | | Pre-Paid Legal Services, Inc. 2018 1st Lien Term Loan, 5.049%, (US0001M + 3.250%), 05/01/2025 | | | 1,630,172 | | | | 0.1 | |
493,144 | | | Prometric Holdings, Inc. 1st Lien Term Loan, 4.792%, (US0001M + 3.000%), 01/29/2025 | | | 493,452 | | | | 0.0 | |
2,509,830 | | | Red Ventures, LLC 2018 Term Loan B, 4.799%, (US0001M + 3.000%), 11/08/2024 | | | 2,535,189 | | | | 0.1 | |
643,348 | | | Renaissance Learning, Inc. 2018 Add On Term Loan, 5.049%, (US0001M + 3.250%), 05/30/2025 | | | 641,941 | | | | 0.0 | |
147,000 | | | Research Now Group, Inc. 2017 1st Lien Term Loan, 7.409%, (US0003M + 5.500%), 12/20/2024 | | | 147,582 | | | | 0.0 | |
81,499 | | | Sandvine Corporation 2018 1st Lien Term Loan, 6.299%, (US0001M + 4.500%), 11/02/2025 | | | 80,531 | | | | 0.0 | |
633,456 | | | Solera Holdings, Inc. USD Term Loan B, 4.549%, (US0001M + 2.750%), 03/03/2023 | | | 635,549 | | | | 0.0 | |
396,241 | | | SSH Group Holdings, Inc. 2018 1st Lien Term Loan, 6.049%, (US0001M + 4.250%), 07/30/2025 | | | 398,717 | | | | 0.0 | |
1,054,700 | | | Staples, Inc. 7 Year Term Loan, 6.691%, (US0001M + 5.000%), 04/16/2026 | | | 1,037,780 | | | | 0.1 | |
606,106 | | | SurveyMonkey Inc. 2018 Term Loan B, 5.380%, (US0001W + 3.750%), 10/10/2025 | | | 608,379 | | | | 0.0 | |
1,295,678 | | | Verifone Systems, Inc. 2018 1st Lien Term Loan, 5.899%, (US0003M + 4.000%), 08/20/2025 | | | 1,282,721 | | | | 0.1 | |
1,139,806 | | | Verra Mobility Corporation 2018 1st Lien Term Loan, 5.549%, (US0001M + 3.750%), 02/28/2025 | | | 1,148,829 | | | | 0.1 | |
2,012,075 | | | Verscend Holding Corp. 2018 Term Loan B, 6.299%, (US0001M + 4.500%), 08/27/2025 | | | 2,028,423 | | | | 0.1 | |
1,399,679 | | | West Corporation 2017 Term Loan, 5.927%, (US0003M + 4.000%), 10/10/2024 | | | 1,189,727 | | | | 0.1 | |
689,570 | | | West Corporation 2018 Term Loan B1, 5.427%, (US0003M + 3.500%), 10/10/2024 | | | 581,968 | | | | 0.0 | |
100,000 | | | Yak Access, LLC 2018 2nd Lien Term Loan B, 11.785%, (US0001M + 10.000%), 07/10/2026 | | | 88,500 | | | | 0.0 | |
630,008 | | | Yak Access, LLC 2018 1st Lien Term Loan B, 6.792%, (US0001M + 5.000%), 07/11/2025 | | | 611,108 | | | | 0.0 | |
| | | | | | 31,320,551 | | | | 1.1 | |
| | | | | | | | | | | |
| | | Cable & Satellite Television: 0.2% | | | | | | | | |
1,538,112 | | | CSC Holdings, LLC 2019 Term Loan B5, 4.240%, (US0001M + 2.500%), 04/15/2027 | | | 1,549,648 | | | | 0.1 | |
1,481,147 | | | Radiate Holdco, LLC 1st Lien Term Loan, 4.799%, (US0001M + 3.000%), 02/01/2024 | | | 1,488,206 | | | | 0.1 | |
600,000 | | | Telesat Canada Term Loan B5, 4.630%, (US0003M + 2.750%), 12/07/2026 | | | 604,500 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | Percentage of Net Assets | |
BANK LOANS: (continued) | | | | | | |
| | | Cable & Satellite Television: (continued) | | | | | | | | |
1,149,808 | | | Virgin Media Bristol LLC USD Term Loan N, 4.240%, (US0001M + 2.500%), 01/31/2028 | | $ | 1,158,431 | | | | 0.0 | |
| | | | | | 4,800,785 | | | | 0.2 | |
| | | | | | | | | | | |
| | | Chemicals & Plastics: 0.3% | | | | | | | | |
1,347,204 | | | Alpha 3 B.V. 2017 Term Loan B1, 4.945%, (US0003M + 3.000%), 01/31/2024 | | | 1,352,818 | | | | 0.1 | |
279,300 | | | Ascend Performance Materials Operations LLC 2019 Term Loan B, 7.195%, (US0003M + 5.250%), 08/27/2026 | | | 280,696 | | | | 0.0 | |
670,315 | | | Composite Resins Holding B.V. 2018 Term Loan B, 6.144%, (US0003M + 4.250%), 08/01/2025 | | | 672,410 | | | | 0.0 | |
1,136,282 | | | Diamond (BC) B.V. USD Term Loan, 4.927%, (US0003M + 3.000%), 09/06/2024 | | | 1,117,817 | | | | 0.0 | |
557,511 | | | Encapsys, LLC 1st Lien Term Loan, 5.299%, (US0001M + 3.500%), 11/07/2024 | | | 562,389 | | | | 0.0 | |
596 | | | Platform Specialty Products Corporation Term Loan, 3.702%, (US0003M + 2.000%), 11/15/2025 | | | 600 | | | | 0.0 | |
894,619 | | | Polar US Borrower, LLC 2018 1st Lien Term Loan, 6.791%, (US0003M + 4.750%), 10/15/2025 | | | 892,383 | | | | 0.0 | |
2,598,674 | | | Starfruit Finco B.V 2018 USD Term Loan B, 4.960%, (US0001M + 3.250%), 10/01/2025 | | | 2,605,155 | | | | 0.1 | |
1,494,013 | | | Tronox Finance LLC Term Loan B, 4.610%, (US0001M + 2.750%), 09/23/2024 | | | 1,498,449 | | | | 0.1 | |
180,000 | | | Univar Inc. 2019 USD Term Loan B5, 3.799%, (US0001M + 2.000%), 07/01/2026 | | | 180,816 | | | | 0.0 | |
| | | | | | 9,163,533 | | | | 0.3 | |
| | | | | | | | | | | |
| | | Clothing/Textiles: 0.0% | | | | | | | | |
1,236,144 | | | Varsity Brands, Inc. 2017 Term Loan B, 5.295%, (US0001M + 3.500%), 12/15/2024 | | | 1,218,374 | | | | 0.0 | |
| | | | | | | | | | | |
| | | Consumer, Cyclical: 0.0% | | | | | | | | |
975,685 | | | 24 Hour Fitness Worldwide, Inc. 2018 Term Loan B, 5.299%, (US0001M + 3.500%), 05/30/2025 | | | 743,785 | | | | 0.0 | |
| | | | | | | | | | | |
| | | Containers & Glass Products: 0.5% | | | | | | | | |
893,707 | | | Albea Beauty Holdings S.A 2018 USD Term Loan B2, 4.907%, (US0006M + 3.000%), 04/22/2024 | | | 872,481 | | | | 0.0 | |
1,651,700 | | | Berry Global, Inc. USD Term Loan U, 4.215%, (US0003M + 2.500%), 07/01/2026 | | | 1,659,156 | | | | 0.1 | |
1,282,056 | | | BWAY Holding Company 2017 Term Loan B, 5.234%, (US0003M + 3.250%), 04/03/2024 | | | 1,279,852 | | | | 0.1 | |
1,397,975 | | | Charter NEX US, Inc. Incremental Term Loan, 5.299%, (US0001M + 3.500%), 05/16/2024 | | | 1,408,809 | | | | 0.1 | |
2,003 | | | Consolidated Container Company LLC 2017 1st Lien Term Loan, 4.548%, (US0001M + 2.750%), 05/22/2024 | | | 2,014 | | | | 0.0 | |
806,699 | | | Flex Acquisition Company, Inc. 1st Lien Term Loan, 5.091%, (US0003M + 3.000%), 12/29/2023 | | | 801,859 | | | | 0.0 | |
1,018,888 | | | Flex Acquisition Company, Inc. 2018 Incremental Term Loan, 5.349%, (US0003M + 3.250%), 06/29/2025 | | | 1,013,539 | | | | 0.1 | |
395,237 | | | Pelican Products, Inc. 2018 1st Lien Term Loan, 5.240%, (US0001M + 3.500%), 05/01/2025 | | | 363,618 | | | | 0.0 | |
641,311 | | | Plastipak Packaging, Inc. 2018 Term Loan B, 4.940%, (US0001M + 2.500%), 10/14/2024 | | | 641,511 | | | | 0.0 | |
3,462,771 | | | Reynolds Group Holdings Inc. USD 2017 Term Loan, 4.549%, (US0001M + 2.750%), 02/05/2023 | | | 3,478,461 | | | | 0.1 | |
888,189 | | | Ring Container Technologies Group, LLC 1st Lien Term Loan, 4.549%, (US0001M + 2.750%), 10/31/2024 | | | 892,259 | | | | 0.0 | |
789,991 | | | TricorBraun Hldgs Inc First Lien Term Loan, 5.698%, (US0003M + 3.750%), 11/30/2023 | | | 784,395 | | | | 0.0 | |
| | | | | | 13,197,954 | | | | 0.5 | |
| | | | | | | | | | | |
| | | Cosmetics/Toiletries: 0.0% | | | | | | | | |
148,125 | | | Anastasia Parent, LLC 2018 Term Loan B, 5.677%, (US0003M + 3.750%), 08/11/2025 | | | 127,110 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | Percentage of Net Assets | |
BANK LOANS: (continued) | | | | | | | |
| | | Cosmetics/Toiletries: (continued) | | | | | | | | |
720,915 | | | Wellness Merger Sub, Inc. 1st Lien Term Loan, 6.159%, (US0003M + 4.250%), 06/30/2024 | | $ | 713,105 | | | | 0.0 | |
| | | | | | 840,215 | | | | 0.0 | |
| | | | | | | | | | | |
| | | Drugs: 0.1% | | | | | | | | |
6,307 | | | Alvogen Pharma US, Inc. 2018 Term Loan B, 6.550%, (US0001M + 4.750%), 04/02/2022 | | | 5,475 | | | | 0.0 | |
1,135,842 | | | Endo Luxembourg Finance Company I S.a r.l. 2017 Term Loan B, 6.063%, (US0001M + 4.250%), 04/29/2024 | | | 1,082,093 | | | | 0.1 | |
1,038,362 | | | Horizon Therapeutics USA Inc Term Loan B, 4.000%, (US0003M + 2.250%), 05/22/2026 | | | 1,047,447 | | | | 0.0 | |
| | | | | | 2,135,015 | | | | 0.1 | |
| | | | | | | | | | | |
| | | Ecological Services & Equipment: 0.0% | | | | | | | | |
1,367,688 | | | GFL Environmental Inc. 2018 USD Term Loan B, 4.799%, (US0001M + 3.000%), 05/30/2025 | | | 1,371,473 | | | | 0.0 | |
| | | | | | | | | | | |
| | | Electronics/Electrical: 1.8% | | | | | | | | |
422,227 | | | ABC Financial Services, Inc. 1st Lien Term Loan, 5.995%, (US0003M + 4.250%), 01/02/2025 | | | 421,171 | | | | 0.0 | |
1,537,307 | | | Barracuda Networks, Inc. 1st Lien Term Loan, 5.160%, (US0003M + 3.250%), 02/12/2025 | | | 1,548,837 | | | | 0.1 | |
1,194,780 | | | BMC Software Finance, Inc. 2018 USD Term Loan B, 6.049%, (US0001M + 4.250%), 10/02/2025 | | | 1,183,018 | | | | 0.1 | |
643,719 | | | Brave Parent Holdings, Inc. 1st Lien Term Loan, 5.927%, (US0003M + 4.000%), 04/18/2025 | | | 634,331 | | | | 0.0 | |
680,169 | | | Cohu, Inc. 2018 Term Loan B, 4.799%, (US0001M + 3.000%), 10/01/2025 | | | 676,768 | | | | 0.0 | |
1,142,228 | | | Compuware Corporation 2018 Term Loan B, 5.799%, (US0001M + 4.000%), 08/22/2025 | | | 1,150,318 | | | | 0.1 | |
819,224 | | | Dynatrace LLC 2018 1st Lien Term Loan, 4.549%, (US0001M + 2.750%), 08/22/2025 | | | 825,437 | | | | 0.0 | |
148,500 | | | EagleView Technology Corporation 2018 Add On Term Loan B, 5.409%, (US0003M + 3.500%), 08/14/2025 | | | 140,333 | | | | 0.0 | |
395,861 | | | Electrical Components International, Inc. 2018 1st Lien Term Loan, 6.195%, (US0003M + 4.250%), 06/26/2025 | | | 368,151 | | | | 0.0 | |
1,626,310 | | | Epicor Software Corporation 1st Lien Term Loan, 5.050%, (US0001M + 3.250%), 06/01/2022 | | | 1,639,524 | | | | 0.1 | |
407,158 | | | Exact Merger Sub LLC 1st Lien Term Loan, 6.195%, (US0003M + 4.250%), 09/27/2024 | | | 408,227 | | | | 0.0 | |
890,525 | | | GlobalFoundries Inc USD Term Loan B, 6.750%, (US0003M + 4.750%), 06/05/2026 | | | 863,809 | | | | 0.0 | |
1,058,392 | | | Greeneden U.S. Holdings II, LLC 2018 USD Term Loan B, 5.049%, (US0001M + 3.250%), 12/01/2023 | | | 1,063,816 | | | | 0.0 | |
595,000 | | | Helios Software Holdings, Inc. USD Term Loan, 6.183%, (US0003M + 4.250%), 10/24/2025 | | | 591,839 | | | | 0.0 | |
250,000 | | | Hyland Software, Inc. 2017 2nd Lien Term Loan, 8.799%, (US0001M + 7.000%), 07/07/2025 | | | 253,750 | | | | 0.0 | |
1,672,403 | | | Hyland Software, Inc. 2018 1st Lien Term Loan, 5.299%, (US0001M + 3.500%), 07/01/2024 | | | 1,688,256 | | | | 0.1 | |
1,213,900 | | | Imperva, Inc. 1st Lien Term Loan, 5.986%, (US0003M + 4.000%), 01/12/2026 | | | 1,144,101 | | | | 0.0 | |
110,000 | | | Imperva, Inc. 2nd Lien Term Loan, 9.736%, (US0003M + 7.750%), 01/10/2027 | | | 99,000 | | | | 0.0 | |
2,134,897 | | | Infor (US), Inc. Term Loan B6, 4.695%, (US0003M + 2.750%), 02/01/2022 | | | 2,146,906 | | | | 0.1 | |
1,675,465 | | | Informatica Corporation 2018 USD Term Loan, 5.049%, (US0001M + 3.250%), 08/05/2022 | | | 1,684,628 | | | | 0.1 | |
1,554,853 | | | Kronos Incorporated 2017 Term Loan B, 4.909%, (US0003M + 3.000%), 11/01/2023 | | | 1,564,571 | | | | 0.1 | |
305,999 | | | MA FinanceCo., LLC USD Term Loan B3, 4.299%, (US0001M + 2.500%), 06/21/2024 | | | 307,192 | | | | 0.0 | |
2,895,730 | | | McAfee, LLC 2018 USD Term Loan B, 5.555%, (US0001M + 3.750%), 09/30/2024 | | | 2,912,018 | | | | 0.1 | |
2,376,403 | | | MH Sub I, LLC 2017 1st Lien Term Loan, 5.549%, (US0001M + 3.750%), 09/13/2024 | | | 2,389,771 | | | | 0.1 | |
Principal Amount† | | | | | Value | | | Percentage of Net Assets | |
BANK LOANS: (continued) | | | | | | | |
| | | Electronics/Electrical: (continued) | | | | | | | | |
400,000 | | | MH Sub I, LLC 2017 2nd Lien Term Loan, 9.299%, (US0001M + 7.500%), 09/15/2025 | | $ | 401,500 | | | | 0.0 | |
863,350 | | | Project Boost Purchaser, LLC 2019 Term Loan B, 5.299%, (US0001M + 3.500%), 06/01/2026 | | | 868,566 | | | | 0.0 | |
670,737 | | | Project Leopard Holdings, Inc. 2019 Term Loan, 6.049%, (US0001M + 4.250%), 07/07/2023 | | | 674,091 | | | | 0.0 | |
1,556,781 | | | Quest Software US Holdings Inc. 2018 1st Lien Term Loan, 6.177%, (US0003M + 4.250%), 05/16/2025 | | | 1,545,105 | | | | 0.1 | |
115,000 | | | Quest Software US Holdings Inc. 2018 2nd Lien Term Loan, 10.177%, (US0003M + 8.250%), 05/18/2026 | | | 112,772 | | | | 0.0 | |
1,776,035 | | | Rackspace Hosting, Inc. 2017 Incremental 1st Lien Term Loan, 4.902%, (US0003M + 3.000%), 11/03/2023 | | | 1,740,515 | | | | 0.1 | |
741,382 | | | Riverbed Technology, Inc. 2016 Term Loan, 5.050%, (US0001M + 3.250%), 04/24/2022 | | | 651,356 | | | | 0.0 | |
90,000 | | | Rocket Software, Inc. 2018 2nd Lien Term Loan, 10.049%, (US0001M + 8.250%), 11/27/2026 | | | 75,825 | | | | 0.0 | |
825,850 | | | Rocket Software, Inc. 2018 Term Loan, 6.049%, (US0001M + 4.250%), 11/28/2025 | | | 805,720 | | | | 0.0 | |
1,882,728 | | | RP Crown Parent LLC Term Loan B, 4.555%, (US0001M + 2.750%), 10/12/2023 | | | 1,893,695 | | | | 0.1 | |
2,066,484 | | | Seattle Spinco, Inc. USD Term Loan B3, 4.299%, (US0001M + 2.500%), 06/21/2024 | | | 2,074,543 | | | | 0.1 | |
1,041,987 | | | Severin Acquisition, LLC 2018 Term Loan B, 4.894%, (US0003M + 3.000%), 08/01/2025 | | | 1,038,405 | | | | 0.0 | |
950,225 | | | Sirius Computer Solutions, Inc. 2019 Term Loan B, 6.049%, (US0001M + 4.250%), 07/01/2026 | | | 956,758 | | | | 0.0 | |
393,774 | | | SkillSoft Corporation 1st Lien Term Loan, 6.946%, (US0003M + 4.750%), 04/28/2021 | | | 306,487 | | | | 0.0 | |
2,994,905 | | | SolarWinds Holdings, Inc. 2018 Term Loan B, 4.549%, (US0001M + 2.750%), 02/05/2024 | | | 3,021,734 | | | | 0.1 | |
636,087 | | | SonicWall US Holdings Inc. 1st Lien Term Loan, 5.399%, (US0003M + 3.500%), 05/16/2025 | | | 621,510 | | | | 0.0 | |
100,000 | | | SonicWall US Holdings Inc. 2nd Lien Term Loan, 9.399%, (US0003M + 7.500%), 05/18/2026 | | | 89,500 | | | | 0.0 | |
119,162 | | | SS&C Technologies Holdings Europe S.A.R.L. 2018 Term Loan B4, 4.049%, (US0001M + 2.250%), 04/16/2025 | | | 120,084 | | | | 0.0 | |
171,864 | | | SS&C Technologies Inc. 2018 Term Loan B3, 4.049%, (US0001M + 2.250%), 04/16/2025 | | | 173,193 | | | | 0.0 | |
1,337,590 | | | Travelport Finance (Luxembourg) S.a.r.l. 2019 Term Loan, 6.945%, (US0003M + 5.000%), 05/29/2026 | | | 1,252,653 | | | | 0.1 | |
645,125 | | | TriTech Software Systems 2018 Term Loan B, 5.549%, (US0001M + 3.750%), 08/29/2025 | | | 618,245 | | | | 0.0 | |
424,292 | | | TTM Technologies, Inc. 2017 Term Loan, 4.191%, (US0001M + 2.500%), 09/28/2024 | | | 425,884 | | | | 0.0 | |
2,365,000 | | | Ultimate Software Group Inc(The) Term Loan B, 5.549%, (US0001M + 3.750%), 05/04/2026 | | | 2,380,767 | | | | 0.1 | |
1,653,274 | | | Veritas Bermuda Ltd. USD Repriced Term Loan B, 6.323%, (US0001M + 4.500%), 01/27/2023 | | | 1,597,476 | | | | 0.1 | |
1,120,065 | | | Vertafore, Inc. 2018 1st Lien Term Loan, 5.049%, (US0001M + 3.250%), 07/02/2025 | | | 1,109,213 | | | | 0.0 | |
350,000 | | | Vertafore, Inc. 2018 2nd Lien Term Loan, 9.049%, (US0001M + 7.250%), 07/02/2026 | | | 347,958 | | | | 0.0 | |
73,181 | | | Web.com Group, Inc. 2018 2nd Lien Term Loan, 9.495%, (US0003M + 7.750%), 10/09/2026 | | | 70,650 | | | | 0.0 | |
390,845 | | | Web.com Group, Inc. 2018 Term Loan B, 5.495%, (US0003M + 3.750%), 10/10/2025 | | | 390,601 | | | | 0.0 | |
542,466 | | | Xperi Corporation 2018 Term Loan B1, 4.299%, (US0001M + 2.500%), 12/01/2023 | | | 543,991 | | | | 0.0 | |
| | | | | | 51,614,569 | | | | 1.8 | |
Principal Amount† | | | | | Value | | | Percentage of Net Assets | |
ASSET-BACKED SECURITIES: (continued) | | | | | | | |
| | | Financial: 0.0% | | | | | | | | |
180,855 | | | Blucora, Inc. 2017 Term Loan B, 4.799%, (US0001M + 3.000%), 05/22/2024 | | $ | 181,081 | | | | 0.0 | |
| | | | | | | | | | | |
| | | Financial Intermediaries: 0.3% | | | | | | | | |
1,634,560 | | | Blackhawk Network Holdings, Inc 2018 1st Lien Term Loan, 4.799%, (US0001M + 3.000%), 06/15/2025 | | | 1,638,137 | | | | 0.1 | |
333,751 | | | Blackstone Mortgage Trust, Inc. 2019 Term Loan B, 4.049%, (US0001M + 2.250%), 04/23/2026 | | | 336,146 | | | | 0.0 | |
940,603 | | | Cushman & Wakefield U.S. Borrower, LLC 2018 Add On Term Loan B, 5.049%, (US0001M + 3.250%), 08/21/2025 | | | 945,453 | | | | 0.0 | |
2,897,636 | | | Edelman Financial Center, LLC 2018 1st Lien Term Loan, 5.035%, (US0001M + 3.250%), 07/21/2025 | | | 2,917,557 | | | | 0.1 | |
1,278,550 | | | Focus Financial Partners, LLC 2018 Incremental Term Loan, 4.299%, (US0001M + 2.500%), 07/03/2024 | | | 1,288,938 | | | | 0.1 | |
253,418 | | | VFH Parent LLC 2019 Term Loan B, 5.197%, (US0001M + 3.500%), 03/01/2026 | | | 254,716 | | | | 0.0 | |
930,364 | | | Victory Capital Holdings, Inc. 2019 Term Loan B, 5.349%, (US0001M + 3.250%), 07/01/2026 | | | 938,214 | | | | 0.0 | |
| | | | | | 8,319,161 | | | | 0.3 | |
| | | | | | | | | | | |
| | | Food Products: 0.3% | | | | | | | | |
559,350 | | | 8th Avenue Food & Provisions, Inc. 2018 1st Lien Term Loan, 5.486%, (US0001M + 3.750%), 10/01/2025 | | | 562,759 | | | | 0.0 | |
100,000 | | | 8th Avenue Food & Provisions, Inc. 2018 2nd Lien Term Loan, 9.486%, (US0001M + 7.750%), 10/01/2026 | | | 99,000 | | | | 0.0 | |
746,625 | | | Atkins Nutritionals Holdings II, Inc. 2017 Term Loan B, 5.734%, (US0003M + 3.750%), 07/07/2024 | | | 755,958 | | | | 0.0 | |
647,383 | | | B&G Foods, Inc. 2019 Term Loan B4, 4.299%, (US0001M + 2.500%), 10/10/2026 | | | 653,857 | | | | 0.0 | |
1,390,810 | | | CHG PPC Parent LLC 2018 Term Loan B, 4.549%, (US0001M + 2.750%), 03/31/2025 | | | 1,397,764 | | | | 0.1 | |
1,796,826 | | | IRB Holding Corp 1st Lien Term Loan, 5.216%, (US0003M + 3.250%), 02/05/2025 | | | 1,808,180 | | | | 0.1 | |
1,130,152 | | | JBS USA Lux S.A. 2019 Term Loan B, 3.799%, (US0001M + 2.000%), 05/01/2026 | | | 1,139,335 | | | | 0.0 | |
552,084 | | | NPC International, Inc. 1st Lien Term Loan, 5.427%, (US0003M + 3.500%), 04/19/2024 | | | 257,271 | | | | 0.0 | |
1,290,450 | | | Sigma Bidco B.V. 2018 USD Term Loan B, 5.085%, (US0003M + 3.000%), 07/02/2025 | | | 1,294,214 | | | | 0.1 | |
| | | | | | 7,968,338 | | | | 0.3 | |
| | | | | | | | | | | |
| | | Food Service: 0.2% | | | | | | | | |
1,000,000 | | | 1011778 B.C. Unlimited Liability Company Term Loan B4, 3.549%, (US0001M + 1.750%), 11/19/2026 | | | 1,002,494 | | | | 0.0 | |
412,925 | | | Carrols Restaurant Group, Inc. Term Loan B, 5.050%, (US0001M + 3.250%), 04/30/2026 | | | 407,591 | | | | 0.0 | |
143,883 | | | Fogo De Chao, Inc. 2018 Add On Term Loan, 6.049%, (US0001M + 4.250%), 04/07/2025 | | | 144,422 | | | | 0.0 | |
2,912,506 | | | Golden Nugget, Inc. 2017 Incremental Term Loan B, 4.692%, (US0003M + 2.750%), 10/04/2023 | | | 2,926,737 | | | | 0.1 | |
908,675 | | | Hearthside Food Solutions, LLC 2018 Term Loan B, 5.487%, (US0001M + 3.688%), 05/23/2025 | | | 902,428 | | | | 0.0 | |
788,025 | | | US Foods, Inc. 2019 Term Loan B, 3.799%, (US0001M + 2.000%), 09/13/2026 | | | 792,368 | | | | 0.0 | |
1,000,000 | | | Welbilt, Inc. 2018 Term Loan B, 4.299%, (US0001M + 2.500%), 10/23/2025 | | | 1,005,000 | | | | 0.1 | |
| | | | | | 7,181,040 | | | | 0.2 | |
| | | | | | | | | | | |
| | | Food/Drug Retailers: 0.2% | | | | | | | | |
2,101,845 | | | Albertsons, LLC 2019 Term Loan B7, 4.549%, (US0001M + 2.750%), 11/17/2025 | | | 2,123,647 | | | | 0.1 | |
811,900 | | | Albertsons, LLC 2019 Term Loan B8, 4.549%, (US0001M + 2.750%), 08/17/2026 | | | 820,479 | | | | 0.0 | |
1,139,811 | | | EG Finco Limited 2018 USD Term Loan, 5.961%, (US0003M + 4.000%), 02/07/2025 | | | 1,136,819 | | | | 0.1 | |
147,375 | | | EG Group Limited 2018 USD Term Loan B, 5.961%, (US0003M + 4.000%), 02/07/2025 | | | 146,988 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | Percentage of Net Assets | |
BANK LOANS: (continued) | | | | | | | |
| | | Food/Drug Retailers: (continued) | | | | | | | | |
145,500 | | | Moran Foods LLC Term Loan, 8.549%, (US0001M + 6.750%), 12/05/2023 | | $ | 53,289 | | | | 0.0 | |
475,000 | | | Portillo Restaurant Group (The) Term Loan, 7.213%, (US0003M + 5.500%), 09/06/2024 | | | 475,594 | | | | 0.0 | |
983,822 | | | United Natural Foods, Inc. Term Loan B, 6.049%, (US0001M + 4.250%), 10/22/2025 | | | 845,841 | | | | 0.0 | |
| | | | | | 5,602,657 | | | | 0.2 | |
| | | | | | | | | | | |
| | | Forest Products: 0.0% | | | | | | | | |
325,000 | | | LABL, Inc. 2019 USD Term Loan, 6.299%, (US0001M + 4.500%), 07/01/2026 | | | 326,625 | | | | 0.0 | |
| | | | | | | | | | | |
| | | Health Care: 1.3% | | | | | | | | |
148,500 | | | Accelerated Health Systems, LLC Term Loan B, 5.236%, (US0001M + 3.500%), 10/31/2025 | | | 148,871 | | | | 0.0 | |
1,416,000 | | | ADMI Corp. 2018 Term Loan B, 4.549%, (US0001M + 2.750%), 04/30/2025 | | | 1,420,425 | | | | 0.1 | |
397,000 | | | Agiliti Health, Inc Term Loan, 4.750%, (US0001M + 3.000%), 01/04/2026 | | | 399,977 | | | | 0.0 | |
146,250 | | | Air Methods Corporation 2017 Term Loan B, 5.445%, (US0003M + 3.500%), 04/22/2024 | | | 128,456 | | | | 0.0 | |
2,096,662 | | | Athenahealth, Inc. 2019 Term Loan B, 6.401%, (US0003M + 4.500%), 02/11/2026 | | | 2,110,622 | | | | 0.1 | |
637,723 | | | ATI Holdings Acquisition, Inc. 2016 Term Loan, 5.299%, (US0001M + 3.500%), 05/10/2023 | | | 636,926 | | | | 0.0 | |
1,956,470 | | | Auris Luxembourg III S.a.r.l. 2019 USD Term Loan B, 5.549%, (US0001M + 3.750%), 02/27/2026 | | | 1,969,514 | | | | 0.1 | |
2,472,959 | | | Bausch Health Companies, Inc. 2018 Term Loan B, 4.740%, (US0001M + 3.000%), 06/02/2025 | | | 2,491,120 | | | | 0.1 | |
2,101,577 | | | Change Healthcare Holdings LLC 2017 Term Loan B, 4.299%, (US0001M + 2.500%), 03/01/2024 | | | 2,111,866 | | | | 0.1 | |
1,049,199 | | | CHG Healthcare Services Inc. 2017 1st Lien Term Loan B, 4.799%, (US0001M + 3.000%), 06/07/2023 | | | 1,057,462 | | | | 0.0 | |
375,000 | | | Da Vinci Purchaser Corp. 2019 Term Loan, 6.408%, (US0003M + 4.500%), 12/03/2026 | | | 375,469 | | | | 0.0 | |
1,783,297 | | | DaVita, Inc. 2019 Term Loan B, 4.049%, (US0001M + 2.250%), 08/12/2026 | | | 1,798,249 | | | | 0.1 | |
645,333 | | | DentalCorp Perfect Smile ULC 1st Lien Term Loan, 5.549%, (US0001M + 3.750%), 06/06/2025 | | | 643,182 | | | | 0.0 | |
245,999 | | | Diplomat Pharmacy, Inc. 2017 Term Loan B, 6.410%, (US0003M + 4.500%), 12/20/2024 | | | 239,849 | | | | 0.0 | |
480,000 | | | Emerald TopCo Inc Term Loan, 5.299%, (US0001M + 3.500%), 07/24/2026 | | | 483,540 | | | | 0.0 | |
2,481,811 | | | Envision Healthcare Corporation 2018 1st Lien Term Loan, 5.549%, (US0001M + 3.750%), 10/10/2025 | | | 2,126,086 | | | | 0.1 | |
1,386,617 | | | ExamWorks Group, Inc. 2017 Term Loan, 5.049%, (US0001M + 3.250%), 07/27/2023 | | | 1,399,617 | | | | 0.1 | |
543,484 | | | Global Medical Response, Inc. 2017 Term Loan B2, 6.049%, (US0001M + 4.250%), 03/14/2025 | | | 527,471 | | | | 0.0 | |
789,122 | | | Global Medical Response, Inc. 2018 Term Loan B1, 5.035%, (US0001M + 3.250%), 04/28/2022 | | | 774,080 | | | | 0.0 | |
850,796 | | | GoodRx, Inc. 1st Lien Term Loan, 4.549%, (US0001M + 2.750%), 10/10/2025 | | | 858,241 | | | | 0.0 | |
1,086,411 | | | Inovalon Holdings, Inc. 2018 Term Loan B, 5.250%, (US0001M + 3.500%), 04/02/2025 | | | 1,093,654 | | | | 0.0 | |
2,581,601 | | | Jaguar Holding Company II 2018 Term Loan, 4.299%, (US0001M + 2.500%), 08/18/2022 | | | 2,598,454 | | | | 0.1 | |
274,313 | | | Medical Solutions L.L.C. 2017 Term Loan, 6.299%, (US0001M + 4.500%), 06/14/2024 | | | 273,884 | | | | 0.0 | |
849,168 | | | MPH Acquisition Holdings LLC 2016 Term Loan B, 4.695%, (US0003M + 2.750%), 06/07/2023 | | | 839,968 | | | | 0.0 | |
242,571 | | | nThrive, Inc. 2016 1st Lien Term Loan, 6.299%, (US0001M + 4.500%), 10/20/2022 | | | 205,276 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | Percentage of Net Assets | |
BANK LOANS: (continued) | | | | | | | |
| | | Health Care: (continued) | | | | | | | | |
2,104,316 | | | Ortho-Clinical Diagnostics SA 2018 Term Loan B, 5.306%, (US0003M + 3.250%), 06/30/2025 | | $ | 2,083,273 | | | | 0.1 | |
798,000 | | | Phoenix Guarantor Inc Term Loan B, 6.210%, (US0001M + 4.500%), 03/05/2026 | | | 803,486 | | | | 0.0 | |
983,197 | | | RegionalCare Hospital Partners Holdings, Inc. 2018 Term Loan B, 6.299%, (US0001M + 4.500%), 11/17/2025 | | | 992,312 | | | | 0.0 | |
1,141,679 | | | Select Medical Corporation 2017 Term Loan B, 4.580%, (US0003M + 2.500%), 03/06/2025 | | | 1,145,590 | | | | 0.1 | |
1,020,000 | | | Sotera Health Holdings, LLC 2019 Term Loan, 6.289%, (US0003M + 4.500%), 12/11/2026 | | | 1,024,675 | | | | 0.0 | |
2,130,791 | | | Surgery Center Holdings, Inc. 2017 Term Loan B, 5.050%, (US0001M + 3.250%), 09/02/2024 | | | 2,127,062 | | | | 0.1 | |
394,342 | | | Tecomet Inc. 2017 Repriced Term Loan, 4.995%, (US0003M + 3.250%), 05/01/2024 | | | 395,635 | | | | 0.0 | |
638,009 | | | U.S. Anesthesia Partners, Inc. 2017 Term Loan, 4.799%, (US0001M + 3.000%), 06/23/2024 | | | 635,058 | | | | 0.0 | |
188,575 | | | Vizient, Inc. 2019 Term Loan B5, 4.549%, (US0001M + 2.750%), 05/06/2026 | | | 190,264 | | | | 0.0 | |
1,286,780 | | | Wink Holdco, Inc 1st Lien Term Loan B, 4.799%, (US0001M + 3.000%), 12/02/2024 | | | 1,287,584 | | | | 0.1 | |
| | | | | | 37,397,198 | | | | 1.3 | |
| | | | | | | | | | | |
| | | Home Furnishings: 0.0% | | | | | | | | |
865,000 | | | Prime Security Services Borrower, LLC 2019 Term Loan B1, 4.944%, (US0001M + 3.250%), 09/23/2026 | | | 868,364 | | | | 0.0 | |
| | | | | | | | | | | |
| | | Industrial: 0.1% | | | | | | | | |
2,140,688 | | | NCI Building Systems, Inc. 2018 Term Loan, 5.486%, (US0001M + 3.750%), 04/12/2025 | | | 2,139,779 | | | | 0.1 | |
| | | | | | | | | | | |
| | | Industrial Equipment: 0.2% | | | | | | | | |
605,000 | | | APi Group DE, Inc. Term Loan B, 4.299%, (US0001M + 2.500%), 10/01/2026 | | | 610,577 | | | | 0.0 | |
396,620 | | | CPM Holdings, Inc. 2018 1st Lien Term Loan, 5.549%, (US0001M + 3.750%), 11/17/2025 | | | 394,307 | | | | 0.0 | |
708,275 | | | EWT Holdings III Corp. 2017 Repriced Term Loan, 4.799%, (US0001M + 3.000%), 12/20/2024 | | | 712,480 | | | | 0.0 | |
1,718,612 | | | Filtration Group Corporation 2018 1st Lien Term Loan, 4.799%, (US0001M + 3.000%), 03/29/2025 | | | 1,727,849 | | | | 0.1 | |
1,257,425 | | | Gardner Denver, Inc. 2017 USD Term Loan B, 4.549%, (US0001M + 2.750%), 07/30/2024 | | | 1,266,725 | | | | 0.1 | |
695,000 | | | Granite Holdings US Acquisition Co. Term Loan B, 7.211%, (US0003M + 5.250%), 09/30/2026 | | | 698,475 | | | | 0.0 | |
694,450 | | | Kenan Advantage Group, Inc. 2015 Term Loan, 4.799%, (US0001M + 3.000%), 07/31/2022 | | | 691,268 | | | | 0.0 | |
175,438 | | | Kenan Advantage Group, Inc. CAD Term Loan B, 4.799%, (US0001M + 3.000%), 07/31/2022 | | | 174,634 | | | | 0.0 | |
| | | | | | 6,276,315 | | | | 0.2 | |
| | | | | | | | | | | |
| | | Insurance: 0.8% | | | | | | | | |
866,789 | | | Achilles Acquisition LLC 2018 Term Loan, 5.813%, (US0001M + 4.000%), 10/13/2025 | | | 877,082 | | | | 0.0 | |
3,212,467 | | | Acrisure, LLC 2017 Term Loan B, 6.195%, (US0003M + 4.250%), 11/22/2023 | | | 3,218,892 | | | | 0.1 | |
396,241 | | | Alera Group Holdings, Inc. 2018 Term Loan B, 6.299%, (US0001M + 4.500%), 08/01/2025 | | | 398,717 | | | | 0.0 | |
2,054,080 | | | Alliant Holdings Intermediate, LLC 2018 Term Loan B, 4.799%, (US0001M + 3.000%), 05/09/2025 | | | 2,057,289 | | | | 0.1 | |
1,636,786 | | | AmWINS Group, Inc. 2017 Term Loan B, 4.533%, (US0001M + 2.750%), 01/25/2024 | | | 1,651,721 | | | | 0.1 | |
1,282,983 | | | Applied Systems, Inc. 2017 1st Lien Term Loan, 5.195%, (US0003M + 3.250%), 09/19/2024 | | | 1,289,531 | | | | 0.0 | |
150,000 | | | Applied Systems, Inc. 2017 2nd Lien Term Loan, 8.945%, (US0003M + 7.000%), 09/19/2025 | | | 153,938 | | | | 0.0 | |
Principal Amount† | | | | | | Value | | | | Percentage of Net Assets | |
BANK LOANS: (continued) | | | | | | | | |
| | | Insurance: (continued) | | | | | | | | |
148,500 | | | Aretec Group, Inc. 2018 Term Loan, 6.049%, (US0001M + 4.250%), 10/01/2025 | | $ | 147,015 | | | | 0.0 | |
1,838,468 | | | AssuredPartners, Inc. 2017 1st Lien Add-On Term Loan, 5.299%, (US0001M + 3.500%), 10/22/2024 | | | 1,846,281 | | | | 0.1 | |
1,632,927 | | | CCC Information Services, Inc. 2017 1st Lien Term Loan, 4.550%, (US0001M + 2.750%), 04/29/2024 | | | 1,643,132 | | | | 0.0 | |
2,436,762 | | | Hub International Limited 2018 Term Loan B, 4.690%, (US0003M + 2.750%), 04/25/2025 | | | 2,438,855 | | | | 0.1 | |
2,092,274 | | | NFP Corp. Term Loan B, 4.799%, (US0001M + 3.000%), 01/08/2024 | | | 2,087,230 | | | | 0.1 | |
3,070,886 | | | Sedgwick Claims Management Services, Inc. 2018 Term Loan B, 5.049%, (US0001M + 3.250%), 12/31/2025 | | | 3,077,795 | | | | 0.1 | |
2,377,006 | | | USI, Inc. 2017 Repriced Term Loan, 4.945%, (US0003M + 3.000%), 05/16/2024 | | | 2,379,680 | | | | 0.1 | |
| | | | | | 23,267,158 | | | | 0.8 | |
| | | | | | | | | | | |
| | | Leisure Good/Activities/Movies: 0.6% | | | | | | | | |
1,693,456 | | | AMC Entertainment Holdings Inc. 2019 Term Loan B, 4.800%, (US0001M + 3.000%), 04/22/2026 | | | 1,707,851 | | | | 0.1 | |
1,254,995 | | | Bombardier Recreational Products, Inc. 2019 Incremental Term Loan B2, 4.299%, (US0001M + 2.500%), 05/23/2025 | | | 1,261,793 | | | | 0.1 | |
1,045,000 | | | ClubCorp Club Operations, Inc. 2017 Incremental Term Loan, 4.695%, (US0003M + 2.750%), 09/18/2024 | | | 992,314 | | | | 0.0 | |
1,994,701 | | | Crown Finance US, Inc. 2018 USD Term Loan, 4.049%, (US0001M + 2.250%), 02/28/2025 | | | 1,994,978 | | | | 0.1 | |
423,897 | | | Crown Finance US, Inc. 2019 Incremental Term Loan, 4.299%, (US0001M + 2.500%), 09/30/2026 | | | 424,957 | | | | 0.0 | |
1,250,000 | | | Delta 2 (LUX) S.a.r.l. 2018 USD Term Loan, 4.299%, (US0001M + 2.500%), 02/01/2024 | | | 1,258,007 | | | | 0.0 | |
1,630,746 | | | Equinox Holdings, Inc. 2017 1st Lien Term Loan, 4.799%, (US0001M + 3.000%), 03/08/2024 | | | 1,640,593 | | | | 0.1 | |
1,664,850 | | | Fitness International, LLC 2018 Term Loan B, 5.049%, (US0001M + 3.250%), 04/18/2025 | | | 1,666,412 | | | | 0.1 | |
542,120 | | | GVC Holdings PLC 2018 USD Term Loan B2, 4.446%, (US0006M + 2.250%), 03/29/2024 | | | 545,735 | | | | 0.0 | |
1,239,886 | | | Intrawest Resorts Holdings, Inc. Term Loan B1, 4.549%, (US0001M + 2.750%), 07/31/2024 | | | 1,248,992 | | | | 0.0 | |
1,139,353 | | | Kingpin Intermediate Holdings LLC 2018 Term Loan B, 5.300%, (US0001M + 3.500%), 07/03/2024 | | | 1,142,666 | | | | 0.0 | |
1,726,841 | | | Life Time, Inc. 2017 Term Loan B, 4.659%, (US0003M + 2.750%), 06/10/2022 | | | 1,733,533 | | | | 0.1 | |
53,434 | | | Motion Finco Sarl Delayed Draw Term Loan B2, 5.156%, (US0003M + 3.250%), 11/04/2026 | | | 54,102 | | | | 0.0 | |
406,566 | | | Motion Finco Sarl USD Term Loan B1, 5.156%, (US0003M + 3.250%), 11/13/2026 | | | 411,648 | | | | 0.0 | |
120,000 | | | NEP/NCP Holdco, Inc. 2018 2nd Lien Term Loan, 8.799%, (US0001M + 7.000%), 10/19/2026 | | | 109,800 | | | | 0.0 | |
795,000 | | | Playtika Holding Corp Term Loan B, 7.799%, (US0001M + 6.000%), 12/10/2024 | | | 804,937 | | | | 0.0 | |
500,784 | | | SRAM, LLC 2018 Term Loan B, 4.591%, (US0001M + 2.750%), 03/15/2024 | | | 505,153 | | | | 0.0 | |
645,987 | | | WeddingWire, Inc. 1st Lien Term Loan, 6.299%, (US0001M + 4.500%), 12/19/2025 | | | 650,009 | | | | 0.0 | |
100,000 | | | WeddingWire, Inc. 2nd Lien Term Loan, 10.049%, (US0001M + 8.250%), 12/21/2026 | | | 99,000 | | | | 0.0 | |
246,250 | | | Zodiac Pool Solutions LLC 2018 Term Loan B, 4.049%, (US0001M + 2.250%), 07/02/2025 | | | 247,738 | | | | 0.0 | |
| | | | | | 18,500,218 | | | | 0.6 | |
| | | | | | | | | | | |
| | | Lodging & Casinos: 0.6% | | | | | | | | |
188,203 | | | Aimbridge Acquisition Co., Inc. 2019 Term Loan B, 5.573%, (US0001M + 3.750%), 02/02/2026 | | | 190,085 | | | | 0.0 | |
3,687,111 | | | Caesars Resort Collection, LLC 2017 1st Lien Term Loan B, 4.549%, (US0001M + 2.750%), 12/23/2024 | | | 3,697,354 | | | | 0.1 | |
Principal Amount† | | | | | | Value | | | | Percentage of Net Assets | |
BANK LOANS: (continued) | | | | | | | | |
| | | Lodging & Casinos: (continued) | | | | | | | | |
129,349 | | | Eldorado Resorts LLC 2017 Term Loan B, 4.047%, (US0001M + 2.250%), 04/17/2024 | | $ | 129,450 | | | | 0.0 | |
1,447,891 | | | Everi Payments Inc. Term Loan B, 4.549%, (US0001M + 2.750%), 05/09/2024 | | | 1,452,415 | | | | 0.1 | |
1,380,899 | | | Golden Entertainment, Inc. 2017 1st Lien Term Loan, 4.800%, (US0001M + 3.000%), 10/21/2024 | | | 1,387,355 | | | | 0.0 | |
2,199,617 | | | PCI Gaming Authority Term Loan, 4.299%, (US0001M + 2.500%), 05/29/2026 | | | 2,216,801 | | | | 0.1 | |
3,325,667 | | | Scientific Games International, Inc. 2018 Term Loan B5, 4.549%, (US0001M + 2.750%), 08/14/2024 | | | 3,339,326 | | | | 0.1 | |
3,179,762 | | | Stars Group Holdings B.V. (The) 2018 USD Incremental Term Loan, 5.445%, (US0003M + 3.500%), 07/10/2025 | | | 3,211,798 | | | | 0.1 | |
1,779,261 | | | Station Casinos LLC 2016 Term Loan B, 4.300%, (US0001M + 2.500%), 06/08/2023 | | | 1,789,367 | | | | 0.1 | |
| | | | | | 17,413,951 | | | | 0.6 | |
| | | | | | | | | | | |
| | | Nonferrous Metals/Minerals: 0.1% | | | | | | | | |
2,449,637 | | | Covia Holdings Corporation Term Loan, 6.043%, (US0003M + 4.000%), 06/01/2025 | | | 1,898,468 | | | | 0.1 | |
821,400 | | | U.S. Silica Company 2018 Term Loan B, 5.813%, (US0001M + 4.000%), 05/01/2025 | | | 730,362 | | | | 0.0 | |
| | | | | | 2,628,830 | | | | 0.1 | |
| | | | | | | | | | | |
| | | Oil & Gas: 0.1% | | | | | | | | |
390,000 | | | Encino Acquisition Partners Holdings, LLC 2018 2nd Lien Term Loan, 8.549%, (US0001M + 6.750%), 10/29/2025 | | | 283,075 | | | | 0.0 | |
945,250 | | | Lower Cadence Holdings LLC Term Loan B, 5.799%, (US0001M + 4.000%), 05/22/2026 | | | 937,570 | | | | 0.1 | |
528,675 | | | Lucid Energy Group II LLC Incremental Term Loan B2, 4.792%, (US0001M + 3.000%), 02/19/2025 | | | 486,821 | | | | 0.0 | |
2,271 | | | McDermott Technology Americas Inc 2018 1st Lien Term Loan, 6.945%, (US0003M + 5.000%), 05/09/2025 | | | 1,336 | | | | 0.0 | |
148,500 | | | Moda Ingleside Energy Center, LLC 2018 Term Loan B, 5.049%, (US0001M + 3.250%), 09/29/2025 | | | 149,243 | | | | 0.0 | |
56,725 | | | Navitas Midstream Midland Basin, LLC Term Loan B, 6.299%, (US0001M + 4.500%), 12/13/2024 | | | 53,463 | | | | 0.0 | |
363,175 | | | UGI Energy Services, LLC Term Loan B, 5.549%, (US0001M + 3.750%), 08/13/2026 | | | 365,445 | | | | 0.0 | |
| | | | | | 2,276,953 | | | | 0.1 | |
| | | | | | | | | | | |
| | | Publishing: 0.1% | | | | | | | | |
2,164,873 | | | Meredith Corporation 2018 Term Loan B, 4.549%, (US0001M + 2.750%), 01/31/2025 | | | 2,180,839 | | | | 0.1 | |
| | | | | | | | | | | |
| | | Radio & Television: 0.5% | | | | | | | | |
1,293,204 | | | A-L Parent LLC 2016 1st Lien Term Loan, 5.042%, (US0001M + 3.250%), 12/01/2023 | | | 1,149,875 | | | | 0.0 | |
633,413 | | | Clear Channel Outdoor Holdings, Inc. Term Loan B, 5.299%, (US0001M + 3.500%), 08/21/2026 | | | 637,966 | | | | 0.0 | |
289,275 | | | Cumulus Media New Holdings Inc. Term Loan B, 5.549%, (US0001M + 3.750%), 03/31/2026 | | | 292,770 | | | | 0.0 | |
2,403,975 | | | Diamond Sports Group, LLC Term Loan, 5.030%, (US0001M + 3.250%), 08/24/2026 | | | 2,403,975 | | | | 0.1 | |
1,687,983 | | | Entercom Media Corp. 2019 Term Loan, 4.305%, (US0001M + 2.500%), 11/18/2024 | | | 1,704,863 | | | | 0.1 | |
1,134,428 | | | NASCAR Holdings, Inc Term Loan B, 4.495%, (US0003M + 2.750%), 10/19/2026 | | | 1,148,076 | | | | 0.0 | |
2,984,540 | | | Nexstar Broadcasting, Inc. 2019 Term Loan B4, 4.452%, (US0001M + 2.750%), 09/18/2026 | | | 3,004,438 | | | | 0.1 | |
2,288,040 | | | Sinclair Television Group Inc. Term Loan B2B, 4.240%, (US0001M + 2.500%), 09/30/2026 | | | 2,299,123 | | | | 0.1 | |
540,000 | | | Terrier Media Buyer, Inc. Term Loan B, 6.158%, (US0003M + 4.250%), 12/17/2026 | | | 546,075 | | | | 0.0 | |
1,749,451 | | | Univision Communications Inc. Term Loan C5, 4.549%, (US0001M + 2.750%), 03/15/2024 | | | 1,730,394 | | | | 0.1 | |
| | | | | | 14,917,555 | | | | 0.5 | |
Principal Amount† | | | | | | Value | | | | Percentage of Net Assets | |
BANK LOANS: (continued) | | | | | | | | |
| | | Rail Industries: 0.0% | | | | | | | | |
305,000 | | | Genesee & Wyoming Inc. (New) Term Loan, 3.906%, (US0003M + 2.000%), 12/30/2026 | | $ | 308,336 | | | | 0.0 | |
| | | | | | | | | | | |
| | | Retailers (Except Food & Drug): 0.2% | | | | | | | | |
245,590 | | | Academy, Ltd. 2015 Term Loan B, 5.692%, (US0001M + 4.000%), 07/01/2022 | | | 202,766 | | | | 0.0 | |
1,037,651 | | | Bass Pro Group, LLC Term Loan B, 6.799%, (US0001M + 5.000%), 09/25/2024 | | | 1,035,317 | | | | 0.0 | |
210,184 | | | Belk, Inc. 2019 Term Loan B, 8.803%, (US0003M + 6.750%), 07/31/2025 | | | 148,705 | | | | 0.0 | |
1,416,997 | | | BJs Wholesale Club, Inc. 2017 1st Lien Term Loan, 4.491%, (US0001M + 2.750%), 02/03/2024 | | | 1,428,313 | | | | 0.1 | |
854,511 | | | Jo-Ann Stores, Inc. 2016 Term Loan, 6.934%, (US0003M + 5.000%), 10/20/2023 | | | 604,032 | | | | 0.0 | |
1,082,058 | | | Leslies Poolmart, Inc. 2016 Term Loan, 5.344%, (US0001M + 3.500%), 08/16/2023 | | | 1,015,106 | | | | 0.0 | |
1,370,851 | | | Mens Wearhouse, Inc. (The) 2018 Term Loan, 4.941%, (US0001M + 3.250%), 04/09/2025 | | | 1,110,390 | | | | 0.1 | |
240,625 | | | Petco Animal Supplies, Inc. 2017 Term Loan B, 5.177%, (US0003M + 3.250%), 01/26/2023 | | | 205,208 | | | | 0.0 | |
| | | | | | 5,749,837 | | | | 0.2 | |
| | | | | | | | | | | |
| | | Steel: 0.0% | | | | | | | | |
1,137,072 | | | GrafTech Finance, Inc. 2018 Term Loan B, 5.299%, (US0001M + 3.500%), 02/12/2025 | | | 1,135,622 | | | | 0.0 | |
| | | | | | | | | | | |
| | | Surface Transport: 0.1% | | | | | | | | |
1,890,296 | | | Navistar International Corporation 2017 1st Lien Term Loan B, 5.240%, (US0001M + 3.500%), 11/06/2024 | | | 1,887,933 | | | | 0.1 | |
789,201 | | | PODS, LLC 2018 1st Lien Term Loan, 4.490%, (US0001M + 2.750%), 12/06/2024 | | | 794,256 | | | | 0.0 | |
746,969 | | | Savage Enterprises LLC 2018 1st Lien Term Loan B, 5.740%, (US0001M + 4.000%), 08/01/2025 | | | 757,641 | | | | 0.0 | |
| | | | | | 3,439,830 | | | | 0.1 | |
| | | | | | | | | | | |
| | | Technology: 0.1% | | | | | | | | |
1,858,994 | | | Misys (Finastra) - Term Loan B 1L, 5.696%, (US0006M + 3.500%), 06/13/2024 | | | 1,850,474 | | | | 0.1 | |
| | | | | | | | | | | |
| | | Telecommunications: 0.8% | | | | | | | | |
540,851 | | | Altice Financing SA USD 2017 1st Lien Term Loan, 4.515%, (US0001M + 2.750%), 01/31/2026 | | | 539,161 | | | | 0.0 | |
185,000 | | | Asurion LLC 2017 2nd Lien Term Loan, 8.299%, (US0001M + 6.500%), 08/04/2025 | | | 187,729 | | | | 0.0 | |
188,163 | | | Asurion LLC 2017 Term Loan B4, 4.799%, (US0001M + 3.000%), 08/04/2022 | | | 189,527 | | | | 0.0 | |
2,978,682 | | | Asurion LLC 2018 Term Loan B6, 4.799%, (US0001M + 3.000%), 11/03/2023 | | | 3,000,713 | | | | 0.1 | |
3,226,798 | | | Asurion LLC 2018 Term Loan B7, 4.799%, (US0001M + 3.000%), 11/03/2024 | | | 3,248,311 | | | | 0.1 | |
850,004 | | | Avaya, Inc. 2018 Term Loan B, 5.990%, (US0001M + 4.250%), 12/15/2024 | | | 836,191 | | | | 0.0 | |
3,621,525 | | | CenturyLink, Inc. 2017 Term Loan B, 4.549%, (US0001M + 2.750%), 01/31/2025 | | | 3,640,640 | | | | 0.1 | |
1,805,475 | | | CommScope, Inc. 2019 Term Loan B, 5.049%, (US0001M + 3.250%), 04/06/2026 | | | 1,819,459 | | | | 0.1 | |
720,000 | | | Connect Finco Sarl Term Loan B, 6.406%, (US0003M + 4.500%), 12/11/2026 | | | 726,570 | | | | 0.0 | |
1,238,541 | | | Consolidated Communications, Inc. 2016 Term Loan B, 4.800%, (US0001M + 3.000%), 10/04/2023 | | | 1,179,091 | | | | 0.1 | |
1,286,524 | | | Flexential Intermediate Corporation 2017 1st Lien Term Loan, 5.445%, (US0003M + 3.500%), 08/01/2024 | | | 1,075,855 | | | | 0.1 | |
675,137 | | | Global Tel*Link Corporation 2018 1st Lien Term Loan, 6.049%, (US0001M + 4.250%), 11/29/2025 | | | 616,906 | | | | 0.0 | |
120,000 | | | Global Tel*Link Corporation 2018 2nd Lien Term Loan, 10.049%, (US0001M + 8.250%), 11/29/2026 | | | 104,250 | | | | 0.0 | |
1,238,061 | | | GTT Communications, Inc. 2018 USD Term Loan B, 4.550%, (US0001M + 2.750%), 05/31/2025 | | | 1,034,812 | | | | 0.1 | |
Principal Amount† | | | | | | Value | | | | Percentage of Net Assets | |
BANK LOANS: (continued) | | | | | | | | |
| | | Telecommunications: (continued) | | | | | | | | |
470,000 | �� | | Iridium Satellite LLC Term Loan, 5.542%, (US0001M + 3.750%), 11/04/2026 | | $ | 476,756 | | | | 0.0 | |
1,131,488 | | | Level 3 Financing Inc. 2019 Term Loan B, 3.549%, (US0001M + 1.750%), 03/01/2027 | | | 1,138,795 | | | | 0.1 | |
394,460 | | | Securus Technologies Holdings, Inc. 2017 1st Lien Term Loan, 6.299%, (US0001M + 4.500%), 11/01/2024 | | | 293,873 | | | | 0.0 | |
643,972 | | | Speedcast International Limited Term Loan B, 4.695%, (US0003M + 2.750%), 05/15/2025 | | | 499,078 | | | | 0.0 | |
1,037,584 | | | Sprint Communications, Inc. 1st Lien Term Loan B, 4.313%, (US0001M + 2.500%), 02/02/2024 | | | 1,030,768 | | | | 0.0 | |
493,583 | | | Sprint Communications, Inc. 2018 Term Loan B, 4.813%, (US0001M + 3.000%), 02/02/2024 | | | 492,960 | | | | 0.0 | |
305,000 | | | Telenet Financing USD LLC USD Term Loan AN, 3.990%, (US0001M + 2.250%), 08/15/2026 | | | 307,192 | | | | 0.0 | |
| | | | | | 22,438,637 | | | | 0.8 | |
| | | | | | | | | | | |
| | | Utilities: 0.2% | | | | | | | | |
859,345 | | | Calpine Construction Finance Company, L.P. 2017 Term Loan B, 4.299%, (US0001M + 2.500%), 01/15/2025 | | | 864,179 | | | | 0.1 | |
1,745,625 | | | Calpine Corporation 2019 Term Loan B10, 4.299%, (US0001M + 2.500%), 08/12/2026 | | | 1,758,354 | | | | 0.1 | |
348,984 | | | Heritage Power LLC Term Loan B, 8.205%, (US0006M + 6.000%), 07/30/2026 | | | 335,025 | | | | 0.0 | |
367,674 | | | LMBE-MC Holdco II LLC Term Loan B, 5.945%, (US0003M + 4.000%), 12/03/2025 | | | 365,835 | | | | 0.0 | |
725,691 | | | Nautilus Power, LLC Term Loan B, 6.049%, (US0001M + 4.250%), 05/16/2024 | | | 725,691 | | | | 0.0 | |
651,725 | | | Sabre Industries, Inc. 2019 Term Loan B, 6.035%, (US0001M + 4.250%), 04/15/2026 | | | 657,021 | | | | 0.0 | |
| | | | | | 4,706,105 | | | | 0.2 | |
| | | | | | | | | | | |
| | | Total Bank Loans (Cost $347,669,667) | | | 346,209,279 | | | | 11.9 | |
| | | | | | | | | | | |
CONVERTIBLE BONDS/NOTES: 0.0% | | | | | | | | |
| | | Communications: 0.0% | | | | | | | | |
200,000 | | | DISH Network Corp., 3.375%, 08/15/2026 | | | 192,880 | | | | 0.0 | |
| | | | | | | | | | | |
| | | Total Convertible Bonds/Notes (Cost $197,825) | | | 192,880 | | | | 0.0 | |
| | | | | | | | | | | |
| | | | | | Value | | | | Percentage of Net Assets | |
PURCHASED OPTIONS(12): 0.0% |
| | | Total Purchased Options (Cost $328,335) | | | 193,112 | | | | 0.0 | |
| | | | | | | | | | | |
| | | Total Long-Term Investments (Cost $2,545,660,659) | | | 2,593,889,272 | | | | 88.8 | |
| | | | | | | | | | | |
Principal Amount† | | | | | | Value | | | | Percentage of Net Assets | |
SHORT-TERM INVESTMENTS: 15.7% |
| | | Repurchase Agreements: 0.3% | | | | | | | | |
2,091,369(13) | | | Bank of Montreal, Repurchase Agreement dated 12/31/19, 1.57%, due 01/02/20 (Repurchase Amount $2,091,549, collateralized by various U.S. Government Agency Obligations, 2.500%-5.000%, Market Value plus accrued interest $2,133,196, due 04/20/49-12/01/49) | | | 2,091,369 | | | | 0.1 | |
619,614(13) | | | Citadel Securities LLC, Repurchase Agreement dated 12/31/19, 1.60%, due 01/02/20 (Repurchase Amount $619,668, collateralized by various U.S. Government Securities, 0.000%-8.500%, Market Value plus accrued interest $632,062, due 01/15/20-11/15/48) | | | 619,614 | | | | 0.0 | |
2,091,369(13) | | | Citigroup, Inc., Repurchase Agreement dated 12/31/19, 1.57%, due 01/02/20 (Repurchase Amount $2,091,549, collateralized by various U.S. Government/U.S. Government Agency Obligations, 0.000%-9.000%, Market Value plus accrued interest $2,133,196, due 02/13/20-09/20/69) | | | 2,091,369 | | | | 0.1 | |
Principal Amount† | | | | | | Value | | | | Percentage of Net Assets | |
SHORT-TERM INVESTMENTS: (continued) |
| | | Repurchase Agreements: (continued) | | | | | | | | |
2,091,369(13) | | | HSBC Securities USA, Repurchase Agreement dated 12/31/19, 1.57%, due 01/02/20 (Repurchase Amount $2,091,549, collateralized by various U.S. Government Agency Obligations, 3.000%-4.000%, Market Value plus accrued interest $2,133,196, due 07/20/47-06/20/48) | | $ | 2,091,369 | | | | 0.0 | |
2,091,369(13) | | | Jefferies LLC, Repurchase Agreement dated 12/31/19, 1.58%, due 01/02/20 (Repurchase Amount $2,091,550, collateralized by various U.S. Government Securities, 0.000%-2.875%, Market Value plus accrued interest $2,133,197, due 01/28/20-05/15/27) | | | 2,091,369 | | | | 0.1 | |
| | | | | | | | | | | |
| | | Total Repurchase Agreements (Cost $8,985,090) | | | 8,985,090 | | | | 0.3 | |
| | | | | | | | | | | |
Shares | | | | | | Value | | | | Percentage of Net Assets | |
| | | Mutual Funds: 15.4% | | | | | | | | |
17,847,416(14) | | | BlackRock Liquidity Funds, FedFund, Institutional Class, 1.520% | | | 17,847,416 | | | | 0.6 | |
430,289,000(14) | | | Goldman Sachs Financial Square Government Fund - Institutional Shares, 1.500% | | | 430,289,000 | | | | 14.8 | |
| | | Total Mutual Funds (Cost $448,136,416) | | | 448,136,416 | | | | 15.4 | |
| | | | | | | | | | | |
| | | Total Short-Term Investments (Cost $457,121,506) | | | 457,121,506 | | | | 15.7 | |
| | | | | | | | | | | |
| | | Total Investments in Securities (Cost $3,002,782,165) | | $ | 3,051,010,778 | | | | 104.5 | |
| | | Liabilities in Excess of Other Assets | | | (132,207,998 | ) | | | (4.5 | ) |
| | | Net Assets | | $ | 2,918,802,780 | | | | 100.0 | |
|
† | Unless otherwise indicated, principal amount is shown in USD. |
(1) | Securities with purchases pursuant to Rule 144A or section 4(a)(2), under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. |
(2) | Security, or a portion of the security, is on loan. |
(3) | Variable rate security. Rate shown is the rate in effect as of December 31, 2019. |
(4) | All or a portion of this security is payment-in-kind ("PIK") which may pay interest or additional principal at the issuer's discretion. Rates shown are the current rate and possible payment rates. |
(5) | For fair value measurement disclosure purposes, security is categorized as Level 3, whose value was determined using significant unobservable inputs. |
(6) | Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rates shown reflect the current and next coupon rate as of December 31, 2019. |
(7) | Interest only securities represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. Principal amount shown represents the notional amount on which current interest is calculated. Payments of principal on the pool reduce the value of the interest only security. |
(8) | Represents a zero coupon bond. Rate shown reflects the effective yield as of December 31, 2019. |
(9) | Principal only securities represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. No payments of interest on the pool are passed through the principal only security. |
(10) | The Federal Housing Finance Agency (“FHFA”) placed the Federal Home Loan Mortgage Corporation and Federal National Mortgage Association into conservatorship with FHFA as the conservator. As such, the FHFA oversees the continuing affairs of these companies. |
(11) | Settlement is on a when-issued or delayed-delivery basis. |
(12) | The tables within the Portfolio of Investments detail open purchased options which are non-income producing securities. |
(13) | All or a portion of the security represents securities purchased with cash collateral received for securities on loan. |
(14) | Rate shown is the 7-day yield as of December 31, 2019. |
At December 31, 2019, the following forward foreign currency contracts were outstanding for Voya Strategic Income Opportunities Fund:
Currency Purchased | | Currency Sold | | Counterparty | | Settlement Date | | Unrealized Appreciation (Depreciation) | |
USD 1,356 | | MXN 25,889 | | BNP Paribas | | 02/07/20 | | $ | (6 | ) |
USD 17,655,546 | | BRL 71,141,331 | | BNP Paribas | | 02/07/20 | | | (9,997 | ) |
USD 14,737,000 | | CHF 14,437,809 | | Brown Brothers Harriman & Co. | | 01/17/20 | | | (196,603 | ) |
GBP 30,134,837 | | USD 39,683,000 | | Brown Brothers Harriman & Co. | | 01/17/20 | | | 250,410 | |
EUR 9,504,058 | | USD 10,554,000 | | Brown Brothers Harriman & Co. | | 01/17/20 | | | 116,311 | |
EUR 10,661,395 | | USD 11,849,000 | | Brown Brothers Harriman & Co. | | 01/17/20 | | | 120,665 | |
CHF 48,427,198 | | USD 49,070,214 | | Brown Brothers Harriman & Co. | | 01/17/20 | | | 1,019,970 | |
CHF 14,905,860 | | USD 15,184,000 | | Brown Brothers Harriman & Co. | | 01/17/20 | | | 233,726 | |
NZD 18,300,590 | | USD 12,052,000 | | Brown Brothers Harriman & Co. | | 01/17/20 | | | 270,612 | |
CHF 14,795,217 | | USD 15,089,000 | | Brown Brothers Harriman & Co. | | 01/17/20 | | | 214,284 | |
USD 6,533,000 | | NZD 9,704,642 | | Brown Brothers Harriman & Co. | | 01/17/20 | | | 33,675 | |
AUD 16,742,322 | | USD 11,419,000 | | Brown Brothers Harriman & Co. | | 01/17/20 | | | 334,228 | |
AUD 26,382,653 | | USD 18,140,000 | | Brown Brothers Harriman & Co. | | 01/17/20 | | | 380,809 | |
USD 13,880,000 | | SEK 130,522,731 | | Brown Brothers Harriman & Co. | | 01/17/20 | | | (65,052 | ) |
USD 28,113,000 | | CAD 37,054,902 | | Brown Brothers Harriman & Co. | | 01/17/20 | | | (424,753 | ) |
USD 31,425,000 | | NOK 276,999,779 | | Brown Brothers Harriman & Co. | | 01/17/20 | | | (128,528 | ) |
SEK 139,997,977 | | USD 14,993,000 | | Brown Brothers Harriman & Co. | | 01/17/20 | | | (35,612 | ) |
SEK 141,676,399 | | USD 15,083,000 | | Brown Brothers Harriman & Co. | | 01/17/20 | | | 53,710 | |
USD 29,161,000 | | GBP 22,255,362 | | Brown Brothers Harriman & Co. | | 01/17/20 | | | (330,863 | ) |
USD 40,525,000 | | CAD 52,891,487 | | Brown Brothers Harriman & Co. | | 01/17/20 | | | (209,265 | ) |
USD 11,354,000 | | JPY 1,230,759,975 | | Brown Brothers Harriman & Co. | | 01/17/20 | | | 17,797 | |
USD 14,771,000 | | CHF 14,477,264 | | Brown Brothers Harriman & Co. | | 01/17/20 | | | (203,412 | ) |
USD 14,859,000 | | CHF 14,531,627 | | Brown Brothers Harriman & Co. | | 01/17/20 | | | (171,641 | ) |
USD 12,541,000 | | CAD 16,501,786 | | Brown Brothers Harriman & Co. | | 01/17/20 | | | (167,815 | ) |
CAD 47,387,296 | | USD 35,757,925 | | Brown Brothers Harriman & Co. | | 01/17/20 | | | 737,299 | |
GBP 5,555,620 | | USD 7,345,000 | | Citibank N.A. | | 01/17/20 | | | 17,073 | |
ILS 120,173 | | USD 34,491 | | Citibank N.A. | | 02/07/20 | | | 371 | |
CZK 943,369 | | USD 41,109 | | Citibank N.A. | | 02/07/20 | | | 505 | |
CLP 44,100,907 | | USD 59,120 | | Citibank N.A. | | 02/07/20 | | | (445 | ) |
USD 3,366,103 | | MXN 64,479,702 | | Citibank N.A. | | 02/07/20 | | | (25,649 | ) |
USD 3,322,338 | | MXN 64,149,175 | | Citibank N.A. | | 02/07/20 | | | (52,028 | ) |
RUB 20,141,334 | | USD 314,119 | | HSBC Bank USA N.A. | | 02/07/20 | | | 8,961 | |
USD 7,103,955 | | IDR 100,279,433,384 | | JPMorgan Chase Bank N.A. | | 02/07/20 | | | (124,086 | ) |
SEK 56,851,389 | | USD 6,054,000 | | Morgan Stanley Capital Services LLC | | 01/17/20 | | | 20,004 | |
SEK 140,257,399 | | USD 14,888,000 | | Morgan Stanley Capital Services LLC | | 01/17/20 | | | 97,104 | |
USD 44,033,000 | | CHF 43,116,339 | | Morgan Stanley Capital Services LLC | | 01/17/20 | | | (563,951 | ) |
EUR 9,272,526 | | USD 10,283,000 | | Morgan Stanley Capital Services LLC | | 01/17/20 | | | 127,367 | |
AUD 9,515,928 | | USD 6,562,000 | | Morgan Stanley Capital Services LLC | | 01/17/20 | | | 118,248 | |
CHF 30,488,521 | | USD 31,509,000 | | State Street Bank and Trust Co. | | 01/17/20 | | | 26,495 | |
USD 17,891,000 | | JPY 1,950,687,039 | | State Street Bank and Trust Co. | | 01/17/20 | | | (76,259 | ) |
USD 5,452,000 | | JPY 594,128,974 | | State Street Bank and Trust Co. | | 01/17/20 | | | (20,364 | ) |
EUR 106,352,773 | | USD 118,027,000 | | State Street Bank and Trust Co. | | 01/17/20 | | | 1,376,426 | |
USD 14,341,000 | | JPY 1,554,167,728 | | State Street Bank and Trust Co. | | 01/17/20 | | | 25,974 | |
USD 25,064,000 | | CAD 33,040,124 | | State Street Bank and Trust Co. | | 01/17/20 | | | (381,780 | ) |
EUR 96,862,114 | | USD 108,287,000 | | State Street Bank and Trust Co. | | 01/17/20 | | | 461,159 | |
USD 7,236,000 | | CAD 9,568,040 | | State Street Bank and Trust Co. | | 01/17/20 | | | (132,805 | ) |
USD 6,750,000 | | CAD 8,926,942 | | State Street Bank and Trust Co. | | 01/17/20 | | | (125,066 | ) |
USD 16,494,000 | | AUD 24,123,780 | | State Street Bank and Trust Co. | | 01/17/20 | | | (441,064 | ) |
USD 29,728,471 | | GBP 22,566,142 | | State Street Bank and Trust Co. | | 01/17/20 | | | (175,225 | ) |
USD 95,352,262 | | EUR 85,879,743 | | State Street Bank and Trust Co. | | 01/17/20 | | | (1,065,869 | ) |
USD 27,576,353 | | AUD 40,380,596 | | State Street Bank and Trust Co. | | 01/17/20 | | | (771,110 | ) |
EUR 19,021,947 | | USD 21,327,000 | | State Street Bank and Trust Co. | | 01/17/20 | | | 29,149 | |
GBP 20,441,694 | | USD 26,838,000 | | State Street Bank and Trust Co. | | 01/17/20 | | | 250,467 | |
USD 106,414,000 | | EUR 95,262,044 | | State Street Bank and Trust Co. | | 01/17/20 | | | (537,743 | ) |
JPY 3,419,047,264 | | USD 31,600,204 | | State Street Bank and Trust Co. | | 01/17/20 | | | (108,269 | ) |
NOK 337,828,927 | | USD 37,139,000 | | State Street Bank and Trust Co. | | 01/17/20 | | | 1,343,683 | |
USD 19,460,000 | | SEK 182,468,848 | | State Street Bank and Trust Co. | | 01/17/20 | | | (34,976 | ) |
USD 7,096,000 | | CHF 6,978,015 | | State Street Bank and Trust Co. | | 01/17/20 | | | (121,639 | ) |
USD 18,807,000 | | CAD 24,711,302 | | State Street Bank and Trust Co. | | 01/17/20 | | | (224,356 | ) |
CHF 14,678,326 | | USD 15,011,000 | | State Street Bank and Trust Co. | | 01/17/20 | | | 171,379 | |
USD 23,994,000 | | AUD 34,264,426 | | State Street Bank and Trust Co. | | 01/17/20 | | | (59,869 | ) |
USD 43,590,000 | | SEK 407,142,151 | | State Street Bank and Trust Co. | | 01/17/20 | | | 90,922 | |
USD 10,841,000 | | GBP 8,359,873 | | State Street Bank and Trust Co. | | 01/17/20 | | | (237,150 | ) |
USD 10,460,000 | | GBP 8,078,861 | | State Street Bank and Trust Co. | | 01/17/20 | | | (245,764 | ) |
USD 10,428,000 | | GBP 8,005,398 | | State Street Bank and Trust Co. | | 01/17/20 | | | (180,414 | ) |
USD 12,505,000 | | CAD 16,385,910 | | State Street Bank and Trust Co. | | 01/17/20 | | | (114,574 | ) |
AUD 20,564,032 | | USD 14,128,000 | | State Street Bank and Trust Co. | | 01/17/20 | | | 308,096 | |
CHF 11,461,519 | | USD 11,852,000 | | State Street Bank and Trust Co. | | 01/17/20 | | | (44,918 | ) |
USD 14,789,000 | | SEK 138,259,340 | | State Street Bank and Trust Co. | | 01/17/20 | | | 17,369 | |
JPY 2,431,269,139 | | USD 22,351,000 | | State Street Bank and Trust Co. | | 01/17/20 | | | 42,773 | |
NZD 24,140,368 | | USD 15,822,807 | | State Street Bank and Trust Co. | | 01/17/20 | | | 431,992 | |
| | | | | | | | $ | 4,171,159 | |
At December 31, 2019, the following futures contracts were outstanding for Voya Strategic Income Opportunities Fund:
At December 31, 2019, the following centrally cleared credit default swaps were outstanding for Voya Strategic Income Opportunities Fund:
At December 31, 2019, the following centrally cleared interest rate swaps were outstanding for Voya Strategic Income Opportunities Fund:
At December 31, 2019, the following over-the-counter volatility swaps were outstanding for Voya Strategic Income Opportunities Fund:
At December 31, 2019, the following over-the-counter purchased foreign currency options were outstanding for Voya Strategic Income Opportunities Fund:
At December 31, 2019, the following OTC written foreign currency options were outstanding for Voya Strategic Income Opportunities Fund:
At December 31, 2019, the following over-the-counter forward premium swaptions were outstanding for Voya Strategic Income Opportunities Fund:
At December 31, 2019, the aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments at period end were:
Cost for federal income tax purposes was $2,992,766,430.