Principal Amount† | | | Value | Percentage of Net Assets |
CORPORATE BONDS/NOTES: 37.9% | |
| | Basic Materials: 1.3% |
2,669,000 | | Air Products and Chemicals, Inc., 2.700%, 05/15/2040 | $ 2,841,228 | 0.0 |
1,377,000 | (1) | Anglo American Capital PLC, 3.625%, 09/11/2024 | 1,446,549 | 0.0 |
2,746,000 | (1) | Anglo American Capital PLC, 4.875%, 05/14/2025 | 3,059,747 | 0.0 |
1,846,000 | (1) | Anglo American Capital PLC, 5.625%, 04/01/2030 | 2,233,577 | 0.0 |
750,000 | (1) | Braskem Netherlands Finance BV, 4.500%, 01/31/2030 | 687,562 | 0.0 |
4,505,000 | | Celulosa Arauco y Constitucion SA, 3.875%, 11/02/2027 | 4,611,138 | 0.1 |
3,410,000 | (1) | Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. L.P., 3.700%, 06/01/2028 | 3,631,304 | 0.1 |
3,000,000 | | CNAC HK Finbridge Co. Ltd., 3.875%, 06/19/2029 | 3,259,001 | 0.0 |
5,485,000 | | CNAC HK Finbridge Co. Ltd., 5.125%, 03/14/2028 | 6,370,909 | 0.1 |
2,984,000 | | Dow Chemical Co/The, 4.250%, 10/01/2034 | 3,334,392 | 0.1 |
1,534,000 | | Dow Chemical Co/The, 5.550%, 11/30/2048 | 2,016,445 | 0.0 |
3,104,000 | | FMC Corp., 3.200%, 10/01/2026 | 3,355,367 | 0.1 |
1,788,000 | | FMC Corp., 3.450%, 10/01/2029 | 1,945,908 | 0.0 |
9,260,000 | (2) | Freeport-McMoRan, Inc., 4.250%, 03/01/2030 | 8,990,904 | 0.1 |
5,625,000 | (1) | Georgia-Pacific LLC, 2.300%, 04/30/2030 | 5,867,623 | 0.1 |
1,960,000 | (1) | Georgia-Pacific LLC, 3.163%, 11/15/2021 | 2,015,725 | 0.0 |
1,996,000 | | International Flavors & Fragrances, Inc., 3.400%, 09/25/2020 | 2,006,066 | 0.0 |
2,280,000 | | International Paper Co., 4.400%, 08/15/2047 | 2,669,222 | 0.0 |
4,087,000 | (2) | Inversiones CMPC SA, 4.375%, 04/04/2027 | 4,377,422 | 0.1 |
5,352,000 | | Mosaic Co/The, 5.450%, 11/15/2033 | 5,687,075 | 0.1 |
1,748,000 | (1) | Newcrest Finance Pty Ltd., 3.250%, 05/13/2030 | 1,870,189 | 0.0 |
1,400,000 | (1) | Newcrest Finance Pty Ltd., 4.200%, 05/13/2050 | 1,568,637 | 0.0 |
87,000 | | Newmont Corp., 3.700%, 03/15/2023 | 90,167 | 0.0 |
8,925,000 | (1) | Novelis Corp., 4.750%, 01/30/2030 | 8,545,509 | 0.1 |
2,099,000 | (2) | Nutrien Ltd., 2.950%, 05/13/2030 | 2,228,882 | 0.0 |
2,000,000 | | Nutrien Ltd., 3.625%, 03/15/2024 | 2,163,777 | 0.0 |
1,812,000 | | Nutrien Ltd., 3.950%, 05/13/2050 | 2,008,157 | 0.0 |
2,139,000 | | Steel Dynamics, Inc., 2.400%, 06/15/2025 | 2,205,563 | 0.0 |
4,825,000 | | Suzano Austria GmbH, 6.000%, 01/15/2029 | 5,222,194 | 0.1 |
1,750,000 | | Teck Resources Ltd., 6.125%, 10/01/2035 | 1,983,091 | 0.0 |
1,499,000 | | Teck Resources Ltd., 6.000%, 08/15/2040 | 1,589,716 | 0.0 |
9,075,000 | (1) | Valvoline, Inc., 4.250%, 02/15/2030 | 8,954,484 | 0.1 |
875,000 | (1) | Valvoline, Inc., 4.375%, 08/15/2025 | 882,564 | 0.0 |
8,650,000 | (1) | WR Grace & Co-Conn, 4.875%, 06/15/2027 | 8,805,960 | 0.1 |
| | | 118,526,054 | 1.3 |
| | | | |
| | Communications: 3.7% |
2,455,000 | | Alibaba Group Holding Ltd., 3.600%, 11/28/2024 | 2,679,265 | 0.0 |
4,071,000 | (2) | Amazon.com, Inc., 2.500%, 06/03/2050 | 4,138,793 | 0.1 |
1,479,000 | | Amazon.com, Inc., 2.700%, 06/03/2060 | 1,510,422 | 0.0 |
5,830,000 | (2) | AT&T, Inc., 2.750%, 06/01/2031 | 6,044,994 | 0.1 |
2,130,000 | | AT&T, Inc., 2.950%, 07/15/2026 | 2,306,993 | 0.0 |
2,868,000 | | AT&T, Inc., 3.500%, 06/01/2041 | 3,023,001 | 0.0 |
3,876,000 | | AT&T, Inc., 4.300%, 02/15/2030 | 4,531,931 | 0.1 |
2,219,000 | | AT&T, Inc., 4.500%, 05/15/2035 | 2,635,337 | 0.0 |
3,047,000 | | AT&T, Inc., 4.500%, 03/09/2048 | 3,581,431 | 0.0 |
10,276,000 | | AT&T, Inc., 4.550%, 03/09/2049 | 12,131,172 | 0.1 |
3,275,000 | | AT&T, Inc., 5.150%, 11/15/2046 | 4,124,691 | 0.1 |
5,275,000 | (2) | AT&T, Inc., 5.150%, 02/15/2050 | 6,772,641 | 0.1 |
3,460,000 | | Booking Holdings, Inc., 4.100%, 04/13/2025 | 3,891,791 | 0.0 |
6,915,000 | | Booking Holdings, Inc., 4.625%, 04/13/2030 | 8,103,115 | 0.1 |
657,000 | | Charter Communications Operating LLC / Charter Communications Operating Capital, 3.700%, 04/01/2051 | 642,582 | 0.0 |
4,725,000 | | Charter Communications Operating LLC / Charter Communications Operating Capital, 4.464%, 07/23/2022 | 5,039,534 | 0.1 |
3,860,000 | | Charter Communications Operating LLC / Charter Communications Operating Capital, 4.800%, 03/01/2050 | 4,393,009 | 0.1 |
5,882,000 | | Charter Communications Operating LLC / Charter Communications Operating Capital, 4.908%, 07/23/2025 | 6,749,468 | 0.1 |
5,019,000 | | Comcast Corp., 1.950%, 01/15/2031 | 5,123,596 | 0.1 |
5,000,000 | | Comcast Corp., 2.650%, 02/01/2030 | 5,441,014 | 0.1 |
3,288,000 | | Comcast Corp., 3.900%, 03/01/2038 | 3,908,088 | 0.0 |
6,289,000 | | Comcast Corp., 3.950%, 10/15/2025 | 7,211,944 | 0.1 |
2,932,000 | | Comcast Corp., 3.999%, 11/01/2049 | 3,545,706 | 0.0 |
6,080,000 | | Comcast Corp., 4.000%, 03/01/2048 | 7,478,189 | 0.1 |
3,250,000 | | Comcast Corp., 4.600%, 10/15/2038 | 4,144,163 | 0.1 |
9,425,000 | (1) | CommScope Technologies LLC, 5.000%, 03/15/2027 | 8,517,467 | 0.1 |
1,690,000 | | Corning, Inc., 5.450%, 11/15/2079 | 2,021,281 | 0.0 |
8,250,000 | (1) | CSC Holdings LLC, 5.750%, 01/15/2030 | 8,628,634 | 0.1 |
1,875,000 | (1) | Deutsche Telekom AG, 3.625%, 01/21/2050 | 2,082,872 | 0.0 |
2,876,000 | | Discovery Communications LLC, 2.950%, 03/20/2023 | 3,023,791 | 0.0 |
3,750,000 | | Discovery Communications LLC, 5.200%, 09/20/2047 | 4,367,911 | 0.1 |
4,340,000 | (2) | DISH DBS Corp., 5.875%, 11/15/2024 | 4,321,707 | 0.1 |
8,006,000 | (2) | Fox Corp., 3.500%, 04/08/2030 | 8,956,423 | 0.1 |
8,075,000 | (1),(2) | Gray Television, Inc., 7.000%, 05/15/2027 | 8,298,274 | 0.1 |
2,770,000 | | Interpublic Group of Cos, Inc./The, 3.750%, 10/01/2021 | 2,873,155 | 0.0 |
4,583,000 | | Interpublic Group of Cos, Inc./The, 4.750%, 03/30/2030 | 5,413,209 | 0.1 |
2,944,000 | | Interpublic Group of Cos., Inc., 4.200%, 04/15/2024 | 3,217,879 | 0.0 |
8,930,000 | (1),(2) | Match Group, Inc., 4.125%, 08/01/2030 | 8,758,365 | 0.1 |
9,365,000 | (1) | NBCUniversal Enterprise, Inc., 5.250%, 12/31/2199 | 9,389,677 | 0.1 |
9,220,000 | (1),(2) | Sinclair Television Group, Inc., 5.125%, 02/15/2027 | 8,423,023 | 0.1 |
3,990,000 | (1) | Sirius XM Radio, Inc., 5.500%, 07/01/2029 | 4,229,520 | 0.1 |
7,255,000 | | Sprint Nextel Corp., 6.875%, 11/15/2028 | 8,861,620 | 0.1 |
7,190,000 | | Telecom Italia Capital SA, 7.721%, 06/04/2038 | 9,070,113 | 0.1 |
3,420,000 | (1) | Tencent Holdings Ltd., 2.985%, 01/19/2023 | 3,554,125 | 0.0 |
4,400,000 | (1) | Tencent Holdings Ltd., 2.390%, 06/03/2030 | 4,410,220 | 0.1 |
2,350,000 | | Time Warner Cable LLC, 5.500%, 09/01/2041 | 2,835,705 | 0.0 |
2,829,000 | | Time Warner Cable LLC, 5.875%, 11/15/2040 | 3,495,145 | 0.0 |
2,569,000 | (1) | T-Mobile USA, Inc., 2.050%, 02/15/2028 | 2,576,630 | 0.0 |
1,807,000 | (1),(2) | T-Mobile USA, Inc., 2.550%, 02/15/2031 | 1,817,878 | 0.0 |
4,084,000 | (1) | T-Mobile USA, Inc., 3.750%, 04/15/2027 | 4,536,303 | 0.1 |
10,865,000 | (1) | T-Mobile USA, Inc., 3.875%, 04/15/2030 | 12,130,175 | 0.1 |
4,085,000 | (1) | T-Mobile USA, Inc., 4.375%, 04/15/2040 | 4,743,073 | 0.1 |
4,610,000 | | Verizon Communications, Inc., 3.850%, 11/01/2042 | 5,635,604 | 0.1 |
2,999,000 | | Verizon Communications, Inc., 4.016%, 12/03/2029 | 3,591,830 | 0.0 |
1,159,000 | (2) | Verizon Communications, Inc., 4.000%, 03/22/2050 | 1,465,869 | 0.0 |
6,432,000 | | Verizon Communications, Inc., 4.812%, 03/15/2039 | 8,413,380 | 0.1 |
2,014,000 | | ViacomCBS, Inc., 4.200%, 05/19/2032 | 2,239,583 | 0.0 |
3,668,000 | | ViacomCBS, Inc., 4.375%, 03/15/2043 | 3,839,886 | 0.0 |
3,167,000 | | ViacomCBS, Inc., 4.950%, 01/15/2031 | 3,711,164 | 0.0 |
2,090,000 | | ViacomCBS, Inc., 5.500%, 05/15/2033 | 2,511,134 | 0.0 |
8,715,000 | (1),(2) | ViaSat, Inc., 5.625%, 04/15/2027 | 8,942,156 | 0.1 |
1,093,000 | | Walt Disney Co/The, 2.000%, 09/01/2029 | 1,124,425 | 0.0 |
2,075,000 | | Walt Disney Co/The, 3.000%, 09/15/2022 | 2,189,679 | 0.0 |
2,705,000 | | Walt Disney Co/The, 3.500%, 05/13/2040 | 2,958,045 | 0.0 |
3,000,000 | | Walt Disney Co/The, 3.600%, 01/13/2051 | 3,351,665 | 0.0 |
1,674,000 | | Walt Disney Co/The, 3.800%, 05/13/2060 | 1,927,347 | 0.0 |
3,472,000 | | Walt Disney Co/The, 4.750%, 11/15/2046 | 4,520,155 | 0.1 |
9,075,000 | (1) | Zayo Group Holdings, Inc., 4.000%, 03/01/2027 | 8,628,328 | 0.1 |
| | | 334,757,295 | 3.7 |
| | | | |
| | Consumer, Cyclical: 2.1% |
8,860,000 | (1) | 1011778 BC ULC / New Red Finance, Inc., 5.000%, 10/15/2025 | 8,830,718 | 0.1 |
4,234,000 | (1) | Advance Auto Parts, Inc., 3.900%, 04/15/2030 | 4,537,597 | 0.1 |
4,429,000 | (1) | Alaska Airlines 2020-1 Class A Pass Through Trust, 4.800%, 02/15/2029 | 4,484,362 | 0.1 |
4,750,000 | | AMC Entertainment Holdings, Inc., 5.875%, 11/15/2026 | 1,555,625 | 0.0 |
4,278,144 | | American Airlines 2016-2 Class AA Pass Through Trust, 3.200%, 12/15/2029 | 4,042,307 | 0.0 |
2,728,000 | (1),(2) | Asbury Automotive Group, Inc., 4.750%, 03/01/2030 | 2,666,620 | 0.0 |
4,205,000 | (1) | BMW US Capital LLC, 3.400%, 08/13/2021 | 4,318,311 | 0.1 |
4,340,000 | (1) | BMW US Capital LLC, 3.450%, 04/12/2023 | 4,600,677 | 0.1 |
5,195,000 | (1),(2) | Caesars Resort Collection LLC / CRC Finco, Inc., 5.250%, 10/15/2025 | 4,527,494 | 0.1 |
901,270 | | Continental Airlines 2012-1 Class A Pass Through Trust, 4.150%, 10/11/2025 | 846,155 | 0.0 |
4,640,000 | (1) | Daimler Finance North America LLC, 2.125%, 03/10/2025 | 4,697,673 | 0.1 |
5,659,000 | (1) | Daimler Finance North America LLC, 2.300%, 02/12/2021 | 5,698,713 | 0.1 |
6,383,000 | (1) | Daimler Finance North America LLC, 2.550%, 08/15/2022 | 6,552,531 | 0.1 |
3,060,000 | (1) | Dana Financing Luxembourg Sarl, 6.500%, 06/01/2026 | 3,178,192 | 0.0 |
2,890,000 | | Dana, Inc., 5.375%, 11/15/2027 | 2,875,550 | 0.0 |
3,695,000 | | Dana, Inc., 5.625%, 06/15/2028 | 3,677,227 | 0.0 |
1,578,281 | | Delta Air Lines 2002-1 Class G-1 Pass Through Trust, 6.718%, 07/02/2024 | 1,547,113 | 0.0 |
5,228,000 | | Delta Air Lines 2020-1 Class A Pass Through Trust, 2.500%, 12/10/2029 | 4,707,809 | 0.1 |
5,534,000 | | Delta Air Lines 2020-1 Class AA Pass Through Trust, 2.000%, 12/10/2029 | 5,297,085 | 0.1 |
1,430,252 | | Delta Air Lines 2015-1 Class AA Pass Through Trust, 3.625%, 01/30/2029 | 1,418,652 | 0.0 |
2,143,000 | | Dollar General Corp., 3.500%, 04/03/2030 | 2,405,368 | 0.0 |
499,000 | | Dollar General Corp., 4.125%, 04/03/2050 | 598,158 | 0.0 |
3,970,000 | | DR Horton, Inc., 4.750%, 02/15/2023 | 4,290,213 | 0.1 |
1,650,000 | | Falabella SA, 3.750%, 10/30/2027 | 1,678,851 | 0.0 |
1,642,000 | | Ford Motor Credit Co. LLC, 3.664%, 09/08/2024 | 1,554,087 | 0.0 |
3,266,000 | | Ford Motor Credit Co. LLC, 4.134%, 08/04/2025 | 3,107,844 | 0.0 |
1,375,000 | (2) | Ford Motor Credit Co. LLC, 5.125%, 06/16/2025 | 1,381,573 | 0.0 |
2,200,000 | | General Motors Co., 5.400%, 04/01/2048 | 2,177,443 | 0.0 |
2,333,000 | | General Motors Co., 6.125%, 10/01/2025 | 2,624,769 | 0.0 |
3,665,000 | | General Motors Financial Co., Inc., 4.150%, 06/19/2023 | 3,832,336 | 0.0 |
1,732,000 | | General Motors Financial Co., Inc., 4.350%, 01/17/2027 | 1,794,283 | 0.0 |
2,509,000 | | General Motors Financial Co., Inc., 5.200%, 03/20/2023 | 2,686,209 | 0.0 |
4,653,000 | (1),(2) | Harley-Davidson Financial Services, Inc., 3.350%, 06/08/2025 | 4,760,470 | 0.1 |
1,315,000 | | Hasbro, Inc., 2.600%, 11/19/2022 | 1,361,628 | 0.0 |
4,240,000 | | Home Depot, Inc./The, 3.300%, 04/15/2040 | 4,825,198 | 0.1 |
3,250,000 | | Home Depot, Inc./The, 4.500%, 12/06/2048 | 4,326,783 | 0.1 |
5,451,000 | (2) | Lowe's Cos, Inc., 3.700%, 04/15/2046 | 6,105,198 | 0.1 |
2,795,000 | | McDonald's Corp., 3.500%, 07/01/2027 | 3,178,013 | 0.0 |
595,000 | | McDonald's Corp., 3.625%, 05/01/2043 | 655,706 | 0.0 |
2,325,000 | | McDonald's Corp., 3.625%, 09/01/2049 | 2,588,511 | 0.0 |
3,095,000 | | McDonald's Corp., 4.450%, 09/01/2048 | 3,830,273 | 0.0 |
2,431,000 | (2) | MGM Resorts International, 4.625%, 09/01/2026 | 2,219,272 | 0.0 |
1,170,000 | (2) | MGM Resorts International, 5.500%, 04/15/2027 | 1,132,823 | 0.0 |
6,440,000 | (1) | PetSmart, Inc., 5.875%, 06/01/2025 | 6,476,096 | 0.1 |
2,331,000 | | Ralph Lauren Corp., 1.700%, 06/15/2022 | 2,372,297 | 0.0 |
3,631,000 | | Ross Stores, Inc., 4.800%, 04/15/2030 | 4,358,989 | 0.1 |
4,240,000 | (1),(2) | Six Flags Entertainment Corp., 5.500%, 04/15/2027 | 3,794,800 | 0.0 |
865,000 | | Southwest Airlines Co., 3.450%, 11/16/2027 | 854,201 | 0.0 |
4,238,000 | | Toyota Motor Credit Corp., 2.150%, 02/13/2030 | 4,462,181 | 0.1 |
3,678,940 | | United Airlines 2016-1 Class AA Pass Through Trust, 3.100%, 01/07/2030 | 3,544,802 | 0.0 |
4,339,226 | | United Airlines 2016-2 Class AA Pass Through Trust, 2.875%, 04/07/2030 | 4,065,348 | 0.0 |
4,134,000 | | Walgreens Boots Alliance, Inc., 3.450%, 06/01/2026 | 4,481,399 | 0.1 |
3,869,000 | | Walgreens Boots Alliance, Inc., 4.100%, 04/15/2050 | 3,923,470 | 0.0 |
4,959,000 | | WW Grainger, Inc., 1.850%, 02/15/2025 | 5,186,353 | 0.1 |
| | | 186,695,356 | 2.1 |
| | | | |
| | Consumer, Non-cyclical: 6.3% |
1,275,000 | | Abbott Laboratories, 2.950%, 03/15/2025 | 1,403,700 | 0.0 |
2,740,000 | (1) | AbbVie, Inc., 2.300%, 11/21/2022 | 2,833,624 | 0.0 |
5,636,000 | (1) | AbbVie, Inc., 2.600%, 11/21/2024 | 6,005,340 | 0.1 |
2,210,000 | | AbbVie, Inc., 2.900%, 11/06/2022 | 2,319,633 | 0.0 |
3,188,000 | (1) | AbbVie, Inc., 2.950%, 11/21/2026 | 3,491,352 | 0.0 |
2,763,000 | (1) | AbbVie, Inc., 3.200%, 11/21/2029 | 3,085,034 | 0.0 |
1,599,000 | | AbbVie, Inc., 3.375%, 11/14/2021 | 1,655,636 | 0.0 |
3,172,000 | (1) | AbbVie, Inc., 4.050%, 11/21/2039 | 3,683,925 | 0.1 |
3,810,000 | | AbbVie, Inc., 4.300%, 05/14/2036 | 4,518,358 | 0.1 |
2,526,000 | | AbbVie, Inc., 4.450%, 05/14/2046 | 3,075,928 | 0.0 |
7,965,000 | | AbbVie, Inc., 4.500%, 05/14/2035 | 9,834,062 | 0.1 |
2,298,000 | (1) | AbbVie, Inc., 4.625%, 10/01/2042 | 2,822,749 | 0.0 |
1,849,000 | | Aetna, Inc., 2.800%, 06/15/2023 | 1,949,546 | 0.0 |
1,764,000 | | Aetna, Inc., 4.500%, 05/15/2042 | 2,102,164 | 0.0 |
3,975,000 | (1),(2) | Albertsons Cos, Inc. / Safeway, Inc. / New Albertsons L.P. / Albertsons LLC, 4.625%, 01/15/2027 | 3,979,194 | 0.1 |
4,145,000 | (1),(2) | Albertsons Cos, Inc. / Safeway, Inc. / New Albertsons L.P. / Albertsons LLC, 5.875%, 02/15/2028 | 4,283,692 | 0.1 |
2,573,000 | (1),(2) | Alcon Finance Corp., 2.600%, 05/27/2030 | 2,647,832 | 0.0 |
7,180,000 | | Altria Group, Inc., 3.800%, 02/14/2024 | 7,855,696 | 0.1 |
2,895,000 | | Altria Group, Inc., 4.800%, 02/14/2029 | 3,377,066 | 0.0 |
1,325,000 | | Altria Group, Inc., 5.800%, 02/14/2039 | 1,653,979 | 0.0 |
1,326,000 | | Altria Group, Inc., 5.950%, 02/14/2049 | 1,741,215 | 0.0 |
9,003,000 | | AmerisourceBergen Corp., 3.400%, 05/15/2024 | 9,751,021 | 0.1 |
968,000 | (2) | Amgen, Inc., 1.900%, 02/21/2025 | 1,012,096 | 0.0 |
3,014,000 | (2) | Amgen, Inc., 2.300%, 02/25/2031 | 3,160,604 | 0.0 |
1,045,000 | (2) | Amgen, Inc., 2.450%, 02/21/2030 | 1,106,974 | 0.0 |
10,519,000 | | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide, Inc., 4.700%, 02/01/2036 | 12,415,003 | 0.1 |
10,000,000 | | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide, Inc., 4.900%, 02/01/2046 | 12,269,237 | 0.1 |
1,960,000 | | Anheuser-Busch InBev Worldwide, Inc., 4.439%, 10/06/2048 | 2,260,837 | 0.0 |
4,324,000 | | Anheuser-Busch InBev Worldwide, Inc., 5.450%, 01/23/2039 | 5,468,423 | 0.1 |
4,460,000 | | Anthem, Inc., 3.300%, 01/15/2023 | 4,757,483 | 0.1 |
1,598,000 | | Anthem, Inc., 3.500%, 08/15/2024 | 1,749,623 | 0.0 |
1,293,000 | | Anthem, Inc., 3.700%, 09/15/2049 | 1,474,388 | 0.0 |
4,159,000 | | Anthem, Inc., 5.100%, 01/15/2044 | 5,495,697 | 0.1 |
5,220,000 | | AstraZeneca PLC, 2.375%, 11/16/2020 | 5,259,831 | 0.1 |
7,854,000 | | AstraZeneca PLC, 3.375%, 11/16/2025 | 8,832,939 | 0.1 |
1,005,000 | | BAT Capital Corp., 3.215%, 09/06/2026 | 1,080,612 | 0.0 |
3,580,000 | | BAT Capital Corp., 3.222%, 08/15/2024 | 3,838,258 | 0.1 |
7,473,000 | | BAT Capital Corp., 3.557%, 08/15/2027 | 8,090,789 | 0.1 |
4,970,000 | (1) | Bausch Health Cos, Inc., 5.250%, 01/30/2030 | 4,720,854 | 0.1 |
3,275,000 | (1),(2) | Bausch Health Cos, Inc., 6.125%, 04/15/2025 | 3,326,352 | 0.0 |
6,336,000 | | Baxalta, Inc., 4.000%, 06/23/2025 | 7,180,382 | 0.1 |
6,487,000 | | Becton Dickinson and Co., 2.894%, 06/06/2022 | 6,714,542 | 0.1 |
2,720,000 | | Becton Dickinson and Co., 3.363%, 06/06/2024 | 2,934,356 | 0.0 |
2,334,000 | (2) | Becton Dickinson and Co., 3.794%, 05/20/2050 | 2,604,831 | 0.0 |
3,451,000 | | Biogen, Inc., 3.150%, 05/01/2050 | 3,338,389 | 0.0 |
5,925,000 | | Boston Scientific Corp., 2.650%, 06/01/2030 | 6,161,992 | 0.1 |
1,327,000 | | Boston Scientific Corp., 4.000%, 03/01/2029 | 1,519,177 | 0.0 |
2,250,000 | (1) | Bristol-Myers Squibb Co., 2.550%, 05/14/2021 | 2,294,472 | 0.0 |
4,662,000 | (1) | Bristol-Myers Squibb Co., 3.875%, 08/15/2025 | 5,306,994 | 0.1 |
3,421,000 | (1) | Bristol-Myers Squibb Co., 4.125%, 06/15/2039 | 4,380,878 | 0.1 |
3,870,000 | | Bunge Ltd. Finance Corp., 4.350%, 03/15/2024 | 4,229,011 | 0.1 |
5,377,000 | (1) | Cargill, Inc., 3.875%, 05/23/2049 | 6,370,482 | 0.1 |
4,450,000 | | Centene Corp., 3.375%, 02/15/2030 | 4,500,174 | 0.1 |
6,698,000 | (1) | Cigna Corp., 3.050%, 11/30/2022 | 7,063,717 | 0.1 |
8,636,000 | | Cigna Corp., 3.200%, 09/17/2020 | 8,684,623 | 0.1 |
3,471,000 | (1) | Cigna Corp., 3.250%, 04/15/2025 | 3,794,159 | 0.1 |
2,145,000 | (2) | Cigna Corp., 3.400%, 03/15/2050 | 2,321,725 | 0.0 |
1,882,000 | | Cigna Corp., 4.800%, 08/15/2038 | 2,388,488 | 0.0 |
4,165,000 | | Cigna Corp., 4.900%, 12/15/2048 | 5,514,531 | 0.1 |
4,125,000 | | Coca-Cola Co/The, 2.500%, 06/01/2040 | 4,278,462 | 0.1 |
4,767,000 | (2) | Coca-Cola Co/The, 2.750%, 06/01/2060 | 4,832,339 | 0.1 |
2,587,000 | | CVS Health Corp., 3.700%, 03/09/2023 | 2,780,758 | 0.0 |
2,465,000 | | CVS Health Corp., 3.875%, 07/20/2025 | 2,770,028 | 0.0 |
4,783,000 | | CVS Health Corp., 4.300%, 03/25/2028 | 5,595,407 | 0.1 |
9,602,000 | | CVS Health Corp., 5.050%, 03/25/2048 | 12,510,414 | 0.1 |
7,379,000 | (1) | Danone SA, 2.947%, 11/02/2026 | 8,096,310 | 0.1 |
8,925,000 | (1) | DaVita, Inc., 4.625%, 06/01/2030 | 8,881,491 | 0.1 |
2,074,000 | | DENTSPLY SIRONA, Inc., 3.250%, 06/01/2030 | 2,177,437 | 0.0 |
– | (2) | DH Europe Finance II Sarl, 3.400%, 11/15/2049 | – | – |
1,942,000 | | Diageo Capital PLC, 2.125%, 04/29/2032 | 2,016,139 | 0.0 |
997,000 | (2) | Equifax, Inc., 2.600%, 12/15/2025 | 1,064,166 | 0.0 |
1,019,000 | | Equifax, Inc., 3.100%, 05/15/2030 | 1,085,450 | 0.0 |
3,460,000 | | General Mills, Inc., 3.700%, 10/17/2023 | 3,768,638 | 0.1 |
4,340,000 | (2) | General Mills, Inc., 4.000%, 04/17/2025 | 4,913,429 | 0.1 |
7,000,000 | | Gilead Sciences, Inc., 4.400%, 12/01/2021 | 7,324,163 | 0.1 |
3,420,000 | | GlaxoSmithKline Capital PLC, 2.875%, 06/01/2022 | 3,575,257 | 0.0 |
11,343,000 | | Global Payments, Inc., 2.650%, 02/15/2025 | 12,054,202 | 0.1 |
3,076,000 | | HCA, Inc., 4.500%, 02/15/2027 | 3,431,896 | 0.0 |
1,449,000 | | HCA, Inc., 5.250%, 04/15/2025 | 1,666,323 | 0.0 |
2,194,000 | | HCA, Inc., 5.250%, 06/15/2049 | 2,647,850 | 0.0 |
2,657,000 | | HCA, Inc., 5.500%, 06/15/2047 | 3,241,837 | 0.0 |
2,509,000 | (1) | Health Care Service Corp. A Mutual Legal Reserve Co., 1.500%, 06/01/2025 | 2,557,503 | 0.0 |
1,173,000 | (1) | Health Care Service Corp. A Mutual Legal Reserve Co., 3.200%, 06/01/2050 | 1,200,777 | 0.0 |
4,873,000 | | Humana, Inc., 4.500%, 04/01/2025 | 5,575,758 | 0.1 |
1,671,000 | | IHS Markit Ltd., 4.250%, 05/01/2029 | 1,914,423 | 0.0 |
2,290,000 | (1) | Imperial Brands Finance PLC, 3.750%, 07/21/2022 | 2,391,839 | 0.0 |
5,375,000 | | Kaiser Foundation Hospitals, 3.266%, 11/01/2049 | 6,080,059 | 0.1 |
3,200,000 | (2) | Keurig Dr Pepper, Inc., 4.057%, 05/25/2023 | 3,492,580 | 0.0 |
1,789,000 | | Keurig Dr Pepper, Inc., 4.417%, 05/25/2025 | 2,064,135 | 0.0 |
4,825,000 | (1) | Kraft Heinz Foods Co., 4.625%, 10/01/2039 | 4,858,747 | 0.1 |
3,495,000 | | Kraft Heinz Foods Co., 6.875%, 01/26/2039 | 4,326,211 | 0.1 |
1,500,000 | | Kroger Co., 3.875%, 10/15/2046 | 1,685,442 | 0.0 |
1,309,000 | | Kroger Co/The, 4.650%, 01/15/2048 | 1,653,205 | 0.0 |
251,000 | | Kroger Co/The, 5.150%, 08/01/2043 | 320,113 | 0.0 |
2,414,000 | | Laboratory Corp. of America Holdings, 3.250%, 09/01/2024 | 2,607,006 | 0.0 |
5,806,000 | | Laboratory Corp. of America Holdings, 3.750%, 08/23/2022 | 6,127,932 | 0.1 |
1,434,000 | | Laboratory Corp. of America Holdings, 4.000%, 11/01/2023 | 1,568,455 | 0.0 |
1,280,000 | | Laboratory Corp. of America Holdings, 4.700%, 02/01/2045 | 1,561,113 | 0.0 |
3,336,000 | (1) | Mars, Inc., 4.125%, 04/01/2054 | 4,246,995 | 0.1 |
1,484,000 | | Medtronic, Inc., 4.375%, 03/15/2035 | 1,940,521 | 0.0 |
3,392,000 | | Mondelez International, Inc., 2.750%, 04/13/2030 | 3,666,286 | 0.1 |
1,311,000 | | Moody's Corp., 3.250%, 05/20/2050 | 1,412,145 | 0.0 |
170,000 | | Mylan NV, 3.750%, 12/15/2020 | 171,816 | 0.0 |
4,946,000 | | Mylan, Inc., 5.200%, 04/15/2048 | 6,101,245 | 0.1 |
7,470,000 | | PayPal Holdings, Inc., 2.850%, 10/01/2029 | 8,190,528 | 0.1 |
3,338,000 | | Perrigo Finance Unlimited Co., 3.150%, 06/15/2030 | 3,372,943 | 0.0 |
1,938,000 | | Pfizer, Inc., 2.550%, 05/28/2040 | 2,016,000 | 0.0 |
1,890,000 | | Pfizer, Inc., 2.700%, 05/28/2050 | 1,954,918 | 0.0 |
3,795,000 | | Pfizer, Inc., 3.200%, 09/15/2023 | 4,096,200 | 0.1 |
3,993,000 | | Philip Morris International, Inc., 2.100%, 05/01/2030 | 4,118,663 | 0.1 |
1,689,000 | | Philip Morris International, Inc., 3.875%, 08/21/2042 | 1,938,348 | 0.0 |
2,555,000 | | Philip Morris International, Inc., 4.375%, 11/15/2041 | 3,136,775 | 0.0 |
8,920,000 | (1) | Pilgrim's Pride Corp., 5.875%, 09/30/2027 | 8,942,434 | 0.1 |
8,405,000 | (1),(2) | Post Holdings, Inc., 5.500%, 12/15/2029 | 8,705,983 | 0.1 |
2,383,000 | | Quest Diagnostics, Inc., 2.800%, 06/30/2031 | 2,503,329 | 0.0 |
1,436,000 | (2) | RELX Capital, Inc., 3.000%, 05/22/2030 | 1,556,955 | 0.0 |
6,443,000 | | RELX Capital, Inc., 4.000%, 03/18/2029 | 7,491,900 | 0.1 |
1,903,000 | | Reynolds American, Inc., 5.850%, 08/15/2045 | 2,386,442 | 0.0 |
818,000 | | Reynolds American, Inc., 6.150%, 09/15/2043 | 1,017,956 | 0.0 |
2,250,000 | (1) | SC Johnson & Son, Inc., 4.750%, 10/15/2046 | 2,888,447 | 0.0 |
3,698,000 | | Shire Acquisitions Investments Ireland DAC, 2.400%, 09/23/2021 | 3,772,766 | 0.1 |
5,239,000 | (2) | Stryker Corp., 2.900%, 06/15/2050 | 5,266,180 | 0.1 |
3,741,000 | | Sysco Corp., 5.950%, 04/01/2030 | 4,696,586 | 0.1 |
1,823,000 | | Takeda Pharmaceutical Co. Ltd., 3.025%, 07/09/2040 | 1,843,654 | 0.0 |
1,125,000 | | Takeda Pharmaceutical Co. Ltd., 3.175%, 07/09/2050 | 1,134,778 | 0.0 |
1,375,000 | | Takeda Pharmaceutical Co. Ltd., 3.375%, 07/09/2060 | 1,382,603 | 0.0 |
7,240,000 | | Takeda Pharmaceutical Co. Ltd., 4.000%, 11/26/2021 | 7,560,327 | 0.1 |
8,680,000 | (1) | Tenet Healthcare Corp., 5.125%, 11/01/2027 | 8,589,728 | 0.1 |
9,510,000 | | Unilever Capital Corp., 3.000%, 03/07/2022 | 9,927,400 | 0.1 |
10,039,000 | (2) | Unilever Capital Corp., 3.250%, 03/07/2024 | 10,939,338 | 0.1 |
4,500,000 | (2) | United Rentals North America, Inc., 4.000%, 07/15/2030 | 4,358,093 | 0.1 |
4,325,000 | | United Rentals North America, Inc., 4.875%, 01/15/2028 | 4,439,894 | 0.1 |
2,117,000 | | UnitedHealth Group, Inc., 3.500%, 08/15/2039 | 2,464,353 | 0.0 |
1,483,000 | | UnitedHealth Group, Inc., 3.875%, 08/15/2059 | 1,819,839 | 0.0 |
2,310,000 | | UnitedHealth Group, Inc., 4.200%, 01/15/2047 | 2,939,268 | 0.0 |
2,828,000 | (1) | Upjohn, Inc., 3.850%, 06/22/2040 | 3,043,509 | 0.0 |
2,828,000 | (1) | Upjohn, Inc., 4.000%, 06/22/2050 | 3,040,305 | 0.0 |
2,025,000 | | Zimmer Biomet Holdings, Inc., 3.550%, 03/20/2030 | 2,187,430 | 0.0 |
| | | 567,653,843 | 6.3 |
| | | | |
| | Energy: 3.8% |
5,828,000 | | BP Capital Markets America, Inc., 3.216%, 11/28/2023 | 6,268,384 | 0.1 |
4,856,000 | | BP Capital Markets America, Inc., 3.224%, 04/14/2024 | 5,235,846 | 0.1 |
3,280,000 | | BP Capital Markets PLC, 4.742%, 03/11/2021 | 3,373,002 | 0.0 |
5,095,000 | (3) | BP Capital Markets PLC, 4.875%, 12/31/2199 | 5,273,325 | 0.1 |
3,000,000 | | Cenovus Energy, Inc., 3.800%, 09/15/2023 | 2,822,697 | 0.0 |
2,725,000 | | Cenovus Energy, Inc., 6.750%, 11/15/2039 | 2,683,832 | 0.0 |
4,095,000 | (1),(2) | Cheniere Corpus Christi Holdings LLC, 3.700%, 11/15/2029 | 4,200,994 | 0.1 |
2,150,000 | | Cheniere Corpus Christi Holdings LLC, 5.875%, 03/31/2025 | 2,415,179 | 0.0 |
1,680,000 | | Cimarex Energy Co., 4.375%, 06/01/2024 | 1,774,291 | 0.0 |
4,032,000 | (2) | Continental Resources, Inc./OK, 3.800%, 06/01/2024 | 3,814,595 | 0.1 |
5,525,000 | (1) | Crestwood Midstream Partners L.P. / Crestwood Midstream Finance Corp., 5.625%, 05/01/2027 | 4,623,569 | 0.1 |
2,550,000 | (2) | Crestwood Midstream Partners L.P. / Crestwood Midstream Finance Corp., 5.750%, 04/01/2025 | 2,210,557 | 0.0 |
3,662,000 | | Diamondback Energy, Inc., 2.875%, 12/01/2024 | 3,671,762 | 0.0 |
1,580,000 | | Diamondback Energy, Inc., 3.250%, 12/01/2026 | 1,590,826 | 0.0 |
4,650,000 | | Diamondback Energy, Inc., 3.500%, 12/01/2029 | 4,501,120 | 0.1 |
1,436,000 | | Diamondback Energy, Inc., 4.750%, 05/31/2025 | 1,537,400 | 0.0 |
8,250,000 | | Ecopetrol SA, 6.875%, 04/29/2030 | 9,516,375 | 0.1 |
7,100,000 | | Empresa Nacional del Petroleo, 3.750%, 08/05/2026 | 7,355,184 | 0.1 |
400,000 | (1) | Empresa Nacional del Petroleo, 3.750%, 08/05/2026 | 414,377 | 0.0 |
5,582,000 | (2) | Enable Midstream Partners L.P., 4.150%, 09/15/2029 | 4,901,724 | 0.1 |
1,217,000 | | Energy Transfer Operating L.P., 4.650%, 06/01/2021 | 1,243,245 | 0.0 |
645,000 | | Energy Transfer Operating L.P., 4.900%, 03/15/2035 | 648,546 | 0.0 |
8,457,000 | | Energy Transfer Operating L.P., 5.300%, 04/15/2047 | 8,190,431 | 0.1 |
1,263,000 | | Energy Transfer Partners L.P. / Regency Energy Finance Corp., 4.500%, 11/01/2023 | 1,357,483 | 0.0 |
3,140,000 | | Enterprise Products Operating LLC, 3.500%, 02/01/2022 | 3,274,908 | 0.0 |
1,389,000 | | Enterprise Products Operating LLC, 3.950%, 01/31/2060 | 1,450,708 | 0.0 |
3,800,000 | (3) | Enterprise Products Operating LLC, 4.875%, 08/16/2077 | 3,311,681 | 0.0 |
2,185,000 | | Enterprise Products Operating LLC, 4.900%, 05/15/2046 | 2,537,714 | 0.0 |
1,989,000 | | EOG Resources, Inc., 4.950%, 04/15/2050 | 2,598,587 | 0.0 |
8,950,000 | (1) | EQM Midstream Partners L.P., 6.000%, 07/01/2025 | 9,061,875 | 0.1 |
430,000 | (1),(2) | EQM Midstream Partners L.P., 6.500%, 07/01/2027 | 441,537 | 0.0 |
2,642,000 | (2) | Equinor ASA, 3.125%, 04/06/2030 | 2,919,501 | 0.0 |
1,510,000 | | Exxon Mobil Corp., 2.726%, 03/01/2023 | 1,589,136 | 0.0 |
1,970,000 | | Exxon Mobil Corp., 2.995%, 08/16/2039 | 2,091,126 | 0.0 |
1,850,000 | | Exxon Mobil Corp., 4.227%, 03/19/2040 | 2,243,504 | 0.0 |
5,050,000 | | Gazprom PJSC Via Gaz Capital SA, 4.950%, 03/23/2027 | 5,613,252 | 0.1 |
3,450,000 | | Gazprom PJSC Via Gaz Capital SA, 4.950%, 02/06/2028 | 3,885,666 | 0.1 |
9,050,000 | | Gazprom PJSC Via Gaz Finance PLC, 3.250%, 02/25/2030 | 9,027,375 | 0.1 |
163,000 | | Halliburton Co., 3.500%, 08/01/2023 | 170,809 | 0.0 |
136,000 | | Halliburton Co., 3.800%, 11/15/2025 | 147,409 | 0.0 |
5,735,000 | | Halliburton Co., 4.850%, 11/15/2035 | 6,038,137 | 0.1 |
5,775,000 | | KazMunayGas National Co. JSC, 4.750%, 04/19/2027 | 6,279,735 | 0.1 |
2,650,000 | | KazMunayGas National Co. JSC, 5.375%, 04/24/2030 | 3,008,081 | 0.0 |
1,575,000 | (1) | KazMunayGas National Co. JSC, 5.375%, 04/24/2030 | 1,787,822 | 0.0 |
1,295,000 | | Kinder Morgan Energy Partners L.P., 4.250%, 09/01/2024 | 1,421,444 | 0.0 |
3,850,000 | | Marathon Petroleum Corp., 4.700%, 05/01/2025 | 4,314,548 | 0.1 |
2,663,000 | | Marathon Petroleum Corp., 5.125%, 04/01/2024 | 2,698,940 | 0.0 |
1,443,000 | | Marathon Petroleum Corp., 5.000%, 09/15/2054 | 1,480,570 | 0.0 |
1,020,000 | | MPLX L.P., 5.250%, 01/15/2025 | 1,060,766 | 0.0 |
2,833,000 | | Newfield Exploration Co., 5.375%, 01/01/2026 | 2,655,998 | 0.0 |
265,000 | | Noble Energy, Inc., 3.250%, 10/15/2029 | 239,768 | 0.0 |
4,468,000 | (2) | Noble Energy, Inc., 4.200%, 10/15/2049 | 3,713,061 | 0.0 |
2,013,000 | | Noble Energy, Inc., 4.950%, 08/15/2047 | 1,796,837 | 0.0 |
4,867,000 | | Occidental Petroleum Corp., 2.900%, 08/15/2024 | 4,170,970 | 0.1 |
816,000 | | Occidental Petroleum Corp., 3.500%, 08/15/2029 | 600,494 | 0.0 |
803,000 | | Occidental Petroleum Corp., 4.400%, 08/15/2049 | 561,036 | 0.0 |
2,023,000 | | ONEOK Partners L.P., 3.375%, 10/01/2022 | 2,096,025 | 0.0 |
1,910,000 | | ONEOK, Inc., 2.200%, 09/15/2025 | 1,876,917 | 0.0 |
5,335,000 | | Pertamina Persero PT, 3.100%, 01/21/2030 | 5,397,645 | 0.1 |
6,075,000 | (1),(2) | Pertamina Persero PT, 3.100%, 01/21/2030 | 6,146,335 | 0.1 |
750,000 | | Pertamina Persero PT, 5.625%, 05/20/2043 | 872,529 | 0.0 |
10,500,000 | | Petrobras Global Finance BV, 5.750%, 02/01/2029 | 10,813,793 | 0.1 |
4,750,000 | | Petroleos del Peru SA, 4.750%, 06/19/2032 | 5,289,410 | 0.1 |
4,000,000 | (1) | Petroleos del Peru SA, 4.750%, 06/19/2032 | 4,454,240 | 0.1 |
12,600,000 | (1) | Petroleos Mexicanos, 5.950%, 01/28/2031 | 10,413,333 | 0.1 |
8,500,000 | | Petroleos Mexicanos, 6.500%, 03/13/2027 | 7,683,915 | 0.1 |
2,225,000 | (2) | Petroleos Mexicanos, 6.500%, 01/23/2029 | 1,943,404 | 0.0 |
2,225,000 | | Petroleos Mexicanos, 6.875%, 08/04/2026 | 2,107,420 | 0.0 |
2,035,000 | | Phillips 66, 3.850%, 04/09/2025 | 2,258,064 | 0.0 |
10,116,000 | | Plains All American Pipeline L.P. / PAA Finance Corp., 3.550%, 12/15/2029 | 9,854,698 | 0.1 |
2,140,000 | | Plains All American Pipeline L.P. / PAA Finance Corp., 3.800%, 09/15/2030 | 2,111,744 | 0.0 |
662,000 | | Plains All American Pipeline L.P. / PAA Finance Corp., 4.500%, 12/15/2026 | 702,132 | 0.0 |
3,468,000 | | Plains All American Pipeline L.P. / PAA Finance Corp., 4.650%, 10/15/2025 | 3,705,968 | 0.0 |
1,450,000 | (1),(2) | PTTEP Treasury Center Co. Ltd., 2.587%, 06/10/2027 | 1,486,072 | 0.0 |
1,890,000 | | Sabine Pass Liquefaction LLC, 4.200%, 03/15/2028 | 2,028,234 | 0.0 |
2,203,000 | | Sabine Pass Liquefaction LLC, 5.000%, 03/15/2027 | 2,466,532 | 0.0 |
5,190,000 | (1),(2) | Schlumberger Investment SA, 2.400%, 08/01/2022 | 5,321,085 | 0.1 |
5,198,000 | | Schlumberger Investment SA, 2.650%, 06/26/2030 | 5,333,713 | 0.1 |
4,235,000 | | Shell International Finance BV, 3.250%, 05/11/2025 | 4,690,375 | 0.1 |
3,245,000 | | Shell International Finance BV, 4.125%, 05/11/2035 | 3,961,824 | 0.1 |
325,000 | | Sunoco Logistics Partners Operations L.P., 4.250%, 04/01/2024 | 348,040 | 0.0 |
1,003,000 | | Sunoco Logistics Partners Operations L.P., 5.350%, 05/15/2045 | 972,431 | 0.0 |
4,143,000 | | Total Capital Canada Ltd., 2.750%, 07/15/2023 | 4,434,998 | 0.1 |
4,282,000 | | Total Capital International SA, 2.986%, 06/29/2041 | 4,374,035 | 0.1 |
4,687,000 | | Total Capital International SA, 3.127%, 05/29/2050 | 4,798,101 | 0.1 |
6,241,000 | | Total Capital International SA, 3.461%, 07/12/2049 | 6,755,694 | 0.1 |
1,290,000 | (1) | Transcontinental Gas Pipe Line Co. LLC, 3.250%, 05/15/2030 | 1,380,464 | 0.0 |
4,932,000 | | Valero Energy Corp., 2.850%, 04/15/2025 | 5,207,693 | 0.1 |
10,875,000 | | Williams Cos, Inc./The, 4.000%, 09/15/2025 | 12,056,461 | 0.1 |
1,356,000 | | Williams Cos, Inc./The, 5.400%, 03/04/2044 | 1,511,269 | 0.0 |
1,846,000 | | Williams Partners L.P., 3.600%, 03/15/2022 | 1,919,302 | 0.0 |
2,768,000 | | Williams Partners L.P., 3.750%, 06/15/2027 | 2,954,268 | 0.0 |
8,255,000 | (2) | WPX Energy, Inc., 5.750%, 06/01/2026 | 8,031,331 | 0.1 |
| | | 339,577,233 | 3.8 |
| | | | |
| | Financial: 11.9% |
12,331,000 | (1) | ABN AMRO Bank NV, 4.750%, 07/28/2025 | 13,635,595 | 0.2 |
3,795,000 | | American Express Co., 3.700%, 08/03/2023 | 4,132,239 | 0.1 |
4,430,000 | | American International Group, Inc., 3.875%, 01/15/2035 | 5,087,294 | 0.1 |
2,017,000 | | American International Group, Inc., 4.200%, 04/01/2028 | 2,297,826 | 0.0 |
1,147,000 | | American International Group, Inc., 4.375%, 01/15/2055 | 1,320,244 | 0.0 |
4,050,000 | | American International Group, Inc., 4.500%, 07/16/2044 | 4,730,801 | 0.1 |
1,488,000 | | American International Group, Inc., 4.750%, 04/01/2048 | 1,796,343 | 0.0 |
1,247,000 | (3) | American International Group, Inc., 5.750%, 04/01/2048 | 1,288,986 | 0.0 |
1,955,000 | | American Tower Corp., 2.750%, 01/15/2027 | 2,101,109 | 0.0 |
3,085,000 | | American Tower Corp., 3.700%, 10/15/2049 | 3,395,425 | 0.0 |
3,420,000 | (1) | ANZ New Zealand Int'l Ltd./London, 3.400%, 03/19/2024 | 3,704,743 | 0.0 |
4,027,000 | (2) | Arch Capital Group Ltd., 3.635%, 06/30/2050 | 4,233,222 | 0.1 |
3,460,000 | | Assurant, Inc., 3.700%, 02/22/2030 | 3,491,221 | 0.0 |
4,643,000 | | Assurant, Inc., 4.900%, 03/27/2028 | 5,079,956 | 0.1 |
8,605,000 | (1),(2) | Athene Global Funding, 2.800%, 05/26/2023 | 8,782,698 | 0.1 |
3,452,000 | (1) | Athene Global Funding, 2.950%, 11/12/2026 | 3,468,842 | 0.0 |
2,332,000 | (2) | AvalonBay Communities, Inc., 2.450%, 01/15/2031 | 2,489,364 | 0.0 |
4,600,000 | (1),(2) | Banco Bradesco SA/Cayman Islands, 3.200%, 01/27/2025 | 4,534,220 | 0.1 |
4,250,000 | | Banco de Bogota SA, 6.250%, 05/12/2026 | 4,506,870 | 0.1 |
764,000 | | Banco Nacional de Comercio Exterior SNC/Cayman Islands, 4.375%, 10/14/2025 | 790,094 | 0.0 |
5,200,000 | | Banco Santander SA, 2.746%, 05/28/2025 | 5,392,441 | 0.1 |
4,600,000 | | Banco Santander SA, 3.125%, 02/23/2023 | 4,799,076 | 0.1 |
4,175,000 | (2) | Bancolombia SA, 3.000%, 01/29/2025 | 4,095,842 | 0.1 |
1,495,000 | (2),(3) | Bank of America Corp., 2.015%, 02/13/2026 | 1,546,997 | 0.0 |
3,615,000 | (3) | Bank of America Corp., 2.496%, 02/13/2031 | 3,794,066 | 0.0 |
3,402,000 | (3) | Bank of America Corp., 2.592%, 04/29/2031 | 3,606,298 | 0.0 |
4,297,000 | (3) | Bank of America Corp., 2.676%, 06/19/2041 | 4,429,642 | 0.1 |
3,625,000 | (3) | Bank of America Corp., 3.194%, 07/23/2030 | 4,003,925 | 0.1 |
2,750,000 | (3) | Bank of America Corp., 3.419%, 12/20/2028 | 3,064,545 | 0.0 |
7,787,000 | (3) | Bank of America Corp., 3.499%, 05/17/2022 | 7,973,036 | 0.1 |
2,300,000 | (3) | Bank of America Corp., 3.550%, 03/05/2024 | 2,458,596 | 0.0 |
1,941,000 | | Bank of America Corp., 3.950%, 04/21/2025 | 2,149,154 | 0.0 |
1,718,000 | (3) | Bank of America Corp., 3.970%, 03/05/2029 | 1,970,532 | 0.0 |
2,645,000 | (3) | Bank of America Corp., 4.078%, 04/23/2040 | 3,231,982 | 0.0 |
2,903,000 | (3) | Bank of America Corp., 4.083%, 03/20/2051 | 3,639,241 | 0.0 |
7,307,000 | | Bank of America Corp., 4.183%, 11/25/2027 | 8,344,208 | 0.1 |
4,495,000 | | Bank of America Corp., 4.250%, 10/22/2026 | 5,157,053 | 0.1 |
9,614,000 | (3) | Bank of America Corp., 4.271%, 07/23/2029 | 11,323,444 | 0.1 |
594,000 | (2),(3) | Bank of America Corp., 5.125%, 12/31/2199 | 590,774 | 0.0 |
5,000,000 | (3) | Bank of America Corp., 2.884%, 10/22/2030 | 5,413,547 | 0.1 |
5,594,000 | (3) | Bank of Montreal, 3.803%, 12/15/2032 | 6,025,437 | 0.1 |
2,940,000 | (2) | Bank of Nova Scotia/The, 2.200%, 02/03/2025 | 3,087,445 | 0.0 |
2,417,000 | | Bank of Nova Scotia/The, 2.700%, 08/03/2026 | 2,645,692 | 0.0 |
7,130,000 | | Bank of Nova Scotia/The, 3.125%, 04/20/2021 | 7,288,948 | 0.1 |
4,740,000 | (2),(3) | Bank of Nova Scotia/The, 4.900%, 12/31/2199 | 4,742,962 | 0.1 |
3,962,000 | | Bank of Nova Scotia, 4.500%, 12/16/2025 | 4,508,261 | 0.1 |
3,395,000 | (1),(2) | Banque Federative du Credit Mutuel SA, 2.375%, 11/21/2024 | 3,580,198 | 0.0 |
2,980,000 | (1) | Barclays Bank PLC, 10.179%, 06/12/2021 | 3,223,120 | 0.0 |
4,548,000 | (3) | Barclays PLC, 3.932%, 05/07/2025 | 4,916,162 | 0.1 |
2,475,000 | (3) | Barclays PLC, 4.610%, 02/15/2023 | 2,606,647 | 0.0 |
5,060,000 | | Berkshire Hathaway Finance Corp., 4.250%, 01/15/2049 | 6,494,081 | 0.1 |
2,394,000 | | Berkshire Hathaway, Inc., 2.750%, 03/15/2023 | 2,536,117 | 0.0 |
5,150,000 | (1),(3) | BNP Paribas SA, 2.219%, 06/09/2026 | 5,267,594 | 0.1 |
9,060,000 | (1),(3) | BNP Paribas SA, 2.819%, 11/19/2025 | 9,494,297 | 0.1 |
2,000,000 | (1),(3) | BNP Paribas SA, 3.052%, 01/13/2031 | 2,106,501 | 0.0 |
4,499,000 | (1) | BNP Paribas SA, 3.375%, 01/09/2025 | 4,868,843 | 0.1 |
3,062,000 | | Boston Properties L.P., 3.250%, 01/30/2031 | 3,300,982 | 0.0 |
8,130,000 | (1),(2) | BPCE SA, 2.700%, 10/01/2029 | 8,683,014 | 0.1 |
2,094,000 | (1) | BPCE SA, 5.150%, 07/21/2024 | 2,339,459 | 0.0 |
7,020,000 | (1) | BPCE SA, 5.700%, 10/22/2023 | 7,857,795 | 0.1 |
4,814,000 | | Brookfield Finance LLC, 3.450%, 04/15/2050 | 4,627,046 | 0.1 |
3,394,000 | | Brookfield Finance, Inc., 4.350%, 04/15/2030 | 3,837,557 | 0.0 |
1,394,000 | (2) | Camden Property Trust, 2.800%, 05/15/2030 | 1,509,113 | 0.0 |
11,000,000 | | Canadian Imperial Bank of Commerce, 2.250%, 01/28/2025 | 11,489,923 | 0.1 |
12,153,000 | (3) | Canadian Imperial Bank of Commerce, 2.606%, 07/22/2023 | 12,566,740 | 0.1 |
2,002,000 | | Canadian Imperial Bank of Commerce, 3.100%, 04/02/2024 | 2,148,556 | 0.0 |
2,119,000 | | Capital One Financial Corp., 3.650%, 05/11/2027 | 2,320,248 | 0.0 |
3,146,000 | | Capital One Financial Corp., 3.750%, 03/09/2027 | 3,476,745 | 0.0 |
2,160,000 | | Charles Schwab Corp./The, 3.250%, 05/22/2029 | 2,432,791 | 0.0 |
9,025,000 | | Charles Schwab Corp./The, 3.550%, 02/01/2024 | 9,905,224 | 0.1 |
3,329,000 | (3) | Charles Schwab Corp./The, 5.375%, 12/31/2199 | 3,564,760 | 0.0 |
3,245,000 | | Chubb INA Holdings, Inc., 2.875%, 11/03/2022 | 3,413,617 | 0.0 |
5,310,000 | | Citibank NA, 3.400%, 07/23/2021 | 5,471,772 | 0.1 |
2,787,000 | (2),(3) | Citigroup, Inc., 1.678%, 05/15/2024 | 2,843,248 | 0.0 |
3,170,000 | (3) | Citigroup, Inc., 2.876%, 07/24/2023 | 3,300,454 | 0.0 |
4,915,000 | | Citigroup, Inc., 5.500%, 09/13/2025 | 5,830,207 | 0.1 |
1,147,000 | (1) | Citizens Financial Group, Inc., 4.150%, 09/28/2022 | 1,209,081 | 0.0 |
1,201,000 | | Columbia Property Trust Operating Partnership L.P., 3.650%, 08/15/2026 | 1,242,708 | 0.0 |
638,000 | | Columbia Property Trust Operating Partnership L.P., 4.150%, 04/01/2025 | 674,172 | 0.0 |
1,520,000 | (1) | Commonwealth Bank of Australia, 3.743%, 09/12/2039 | 1,634,501 | 0.0 |
4,027,000 | (1),(3) | Cooperatieve Rabobank UA, 1.339%, 06/24/2026 | 4,034,022 | 0.1 |
6,000,000 | | Cooperatieve Rabobank UA, 3.950%, 11/09/2022 | 6,353,421 | 0.1 |
9,163,000 | | Cooperatieve Rabobank UA, 4.375%, 08/04/2025 | 10,345,473 | 0.1 |
1,500,000 | | Cooperatieve Rabobank UA, 4.625%, 12/01/2023 | 1,655,956 | 0.0 |
3,150,000 | | Corp Financiera de Desarrollo SA, 4.750%, 07/15/2025 | 3,449,707 | 0.0 |
5,284,000 | (1),(2),(3) | Credit Agricole SA/London, 1.907%, 06/16/2026 | 5,362,970 | 0.1 |
4,068,000 | (1) | Credit Suisse AG, 6.500%, 08/08/2023 | 4,459,211 | 0.1 |
3,222,000 | (1),(2),(3) | Credit Suisse Group AG, 2.193%, 06/05/2026 | 3,266,062 | 0.0 |
6,870,000 | (1),(3) | Credit Suisse Group AG, 2.997%, 12/14/2023 | 7,156,797 | 0.1 |
1,170,000 | (1),(3) | Credit Suisse Group AG, 3.869%, 01/12/2029 | 1,292,375 | 0.0 |
3,166,000 | (1),(3) | Credit Suisse Group AG, 4.194%, 04/01/2031 | 3,620,337 | 0.0 |
1,441,000 | (1) | Credit Suisse Group AG, 4.282%, 01/09/2028 | 1,614,594 | 0.0 |
2,470,000 | | Credit Suisse Group Funding Guernsey Ltd., 3.450%, 04/16/2021 | 2,528,762 | 0.0 |
3,190,000 | | Credit Suisse Group Funding Guernsey Ltd., 3.800%, 09/15/2022 | 3,389,992 | 0.0 |
3,611,000 | (2) | Credit Suisse AG/New York NY, 1.000%, 05/05/2023 | 3,632,362 | 0.0 |
1,671,000 | (2) | Crown Castle International Corp., 2.250%, 01/15/2031 | 1,686,915 | 0.0 |
1,033,000 | | Crown Castle International Corp., 4.150%, 07/01/2050 | 1,192,665 | 0.0 |
8,650,000 | (1) | Danske Bank A/S, 2.800%, 03/10/2021 | 8,784,648 | 0.1 |
2,005,000 | (1) | Danske Bank A/S, 5.000%, 01/12/2022 | 2,109,464 | 0.0 |
2,897,000 | | Discover Bank, 4.250%, 03/13/2026 | 3,261,329 | 0.0 |
2,404,000 | (3) | Discover Bank, 4.682%, 08/09/2028 | 2,428,797 | 0.0 |
805,000 | | Discover Financial Services, 3.850%, 11/21/2022 | 853,360 | 0.0 |
3,568,000 | (1) | Equitable Financial Life Global Funding, 1.400%, 07/07/2025 | 3,572,717 | 0.0 |
6,000,000 | | ERP Operating L.P., 2.500%, 02/15/2030 | 6,404,651 | 0.1 |
9,425,000 | (1) | ESH Hospitality, Inc., 4.625%, 10/01/2027 | 8,875,428 | 0.1 |
4,085,000 | | Essex Portfolio L.P., 3.000%, 01/15/2030 | 4,451,015 | 0.1 |
1,862,000 | (2) | Essex Portfolio L.P., 3.250%, 05/01/2023 | 1,962,195 | 0.0 |
5,348,000 | | Fairfax Financial Holdings Ltd., 4.850%, 04/17/2028 | 5,734,661 | 0.1 |
2,931,000 | (1) | Fairfax US, Inc., 4.875%, 08/13/2024 | 3,017,328 | 0.0 |
4,670,000 | (1) | Federation des Caisses Desjardins du Quebec, 2.050%, 02/10/2025 | 4,808,948 | 0.1 |
13,105,000 | (1) | Federation des Caisses Desjardins du Quebec, 2.250%, 10/30/2020 | 13,187,488 | 0.2 |
750,000 | | Fondo MIVIVIENDA SA, 3.500%, 01/31/2023 | 772,429 | 0.0 |
2,511,000 | (1),(2) | GE Capital Funding LLC, 4.400%, 05/15/2030 | 2,613,972 | 0.0 |
4,509,000 | | GE Capital International Funding Co. Unlimited Co., 4.418%, 11/15/2035 | 4,582,837 | 0.1 |
2,426,000 | (2) | Goldman Sachs Group, Inc./The, 2.625%, 04/25/2021 | 2,464,827 | 0.0 |
5,493,000 | | Goldman Sachs Group, Inc., 4.250%, 10/21/2025 | 6,194,954 | 0.1 |
1,680,000 | | Goldman Sachs Group, Inc., 5.150%, 05/22/2045 | 2,227,508 | 0.0 |
792,000 | | Goldman Sachs Group, Inc., 6.750%, 10/01/2037 | 1,143,333 | 0.0 |
991,000 | (1),(3) | Harborwalk Funding Trust, 5.077%, 02/15/2069 | 1,214,568 | 0.0 |
5,115,000 | | Healthpeak Properties, Inc., 3.000%, 01/15/2030 | 5,355,111 | 0.1 |
4,791,000 | (1) | HSBC Bank PLC, 4.125%, 08/12/2020 | 4,811,226 | 0.1 |
6,500,000 | (3) | HSBC Holdings PLC, 2.099%, 06/04/2026 | 6,572,175 | 0.1 |
1,308,000 | (3) | HSBC Holdings PLC, 2.633%, 11/07/2025 | 1,357,182 | 0.0 |
8,523,000 | (3) | HSBC Holdings PLC, 3.262%, 03/13/2023 | 8,831,955 | 0.1 |
3,435,000 | (3) | HSBC Holdings PLC, 3.803%, 03/11/2025 | 3,713,169 | 0.0 |
2,924,000 | (3) | HSBC Holdings PLC, 3.973%, 05/22/2030 | 3,247,665 | 0.0 |
4,593,000 | (3) | HSBC Holdings PLC, 4.041%, 03/13/2028 | 5,078,505 | 0.1 |
4,085,000 | | HSBC Holdings PLC, 4.300%, 03/08/2026 | 4,614,685 | 0.1 |
1,883,000 | | HSBC Holdings PLC, 4.950%, 03/31/2030 | 2,258,818 | 0.0 |
4,831,000 | (3) | HSBC Holdings PLC, 6.000%, 12/31/2199 | 4,804,840 | 0.1 |
6,599,000 | | ING Groep NV, 3.550%, 04/09/2024 | 7,186,110 | 0.1 |
3,146,000 | | Intercontinental Exchange, Inc., 2.100%, 06/15/2030 | 3,214,613 | 0.0 |
3,571,000 | | Intercontinental Exchange, Inc., 3.000%, 06/15/2050 | 3,656,500 | 0.0 |
2,889,000 | | Intercontinental Exchange, Inc., 4.250%, 09/21/2048 | 3,585,770 | 0.0 |
2,500,000 | (1) | Itau Unibanco Holding SA/Cayman Island, 3.250%, 01/24/2025 | 2,462,500 | 0.0 |
9,423,000 | (3) | JPMorgan Chase & Co., 2.182%, 06/01/2028 | 9,759,678 | 0.1 |
5,000,000 | (3) | JPMorgan Chase & Co., 2.301%, 10/15/2025 | 5,240,835 | 0.1 |
7,367,000 | (3) | JPMorgan Chase & Co., 2.522%, 04/22/2031 | 7,797,306 | 0.1 |
3,604,000 | (2) | JPMorgan Chase & Co., 2.550%, 10/29/2020 | 3,622,508 | 0.0 |
8,459,000 | (3) | JPMorgan Chase & Co., 3.207%, 04/01/2023 | 8,809,693 | 0.1 |
9,040,000 | (3) | JPMorgan Chase & Co., 3.514%, 06/18/2022 | 9,285,444 | 0.1 |
10,000 | (3) | JPMorgan Chase & Co., 3.559%, 04/23/2024 | 10,726 | 0.0 |
4,270,000 | (3) | JPMorgan Chase & Co., 3.797%, 07/23/2024 | 4,631,889 | 0.1 |
3,700,000 | | JPMorgan Chase & Co., 3.875%, 09/10/2024 | 4,104,673 | 0.1 |
4,145,000 | (3) | JPMorgan Chase & Co., 4.452%, 12/05/2029 | 4,972,712 | 0.1 |
2,200,000 | (3) | JPMorgan Chase & Co., 4.493%, 03/24/2031 | 2,693,073 | 0.0 |
11,251,000 | (3) | JPMorgan Chase & Co., 4.600%, 12/31/2199 | 10,045,455 | 0.1 |
4,236,000 | (3) | JPMorgan Chase & Co., 5.000%, 12/31/2199 | 4,077,900 | 0.1 |
2,990,000 | | Kilroy Realty L.P., 3.450%, 12/15/2024 | 3,138,122 | 0.0 |
4,649,000 | | Kimco Realty Corp., 3.700%, 10/01/2049 | 4,309,846 | 0.1 |
2,838,000 | (1) | KKR Group Finance Co. VII LLC, 3.625%, 02/25/2050 | 2,825,145 | 0.0 |
2,813,000 | (1) | Liberty Mutual Group, Inc., 3.951%, 10/15/2050 | 2,981,683 | 0.0 |
2,545,000 | (3) | Lloyds Banking Group PLC, 2.438%, 02/05/2026 | 2,630,303 | 0.0 |
2,849,000 | (3) | Lloyds Banking Group PLC, 2.907%, 11/07/2023 | 2,967,533 | 0.0 |
5,378,000 | | Loews Corp., 3.200%, 05/15/2030 | 5,848,645 | 0.1 |
3,097,000 | (1) | Macquarie Bank Ltd., 3.624%, 06/03/2030 | 3,251,374 | 0.0 |
4,479,000 | (2) | Mitsubishi UFJ Financial Group, Inc., 2.193%, 02/25/2025 | 4,631,245 | 0.1 |
2,576,000 | | Mitsubishi UFJ Financial Group, Inc., 2.559%, 02/25/2030 | 2,691,808 | 0.0 |
725,000 | | Mitsubishi UFJ Financial Group, Inc., 2.757%, 09/13/2026 | 777,006 | 0.0 |
4,700,000 | | Mitsubishi UFJ Financial Group, Inc., 3.218%, 03/07/2022 | 4,900,121 | 0.1 |
5,500,000 | | Mizuho Financial Group Cayman 2 Ltd., 4.200%, 07/18/2022 | 5,762,790 | 0.1 |
3,417,000 | (3) | Mizuho Financial Group, Inc., 2.226%, 05/25/2026 | 3,505,987 | 0.0 |
3,080,000 | (1) | Mizuho Financial Group, Inc., 2.632%, 04/12/2021 | 3,131,714 | 0.0 |
660,000 | (1) | Mizuho Financial Group, Inc., 3.477%, 04/12/2026 | 728,965 | 0.0 |
5,414,000 | (3) | Morgan Stanley, 2.188%, 04/28/2026 | 5,637,068 | 0.1 |
6,933,000 | | Morgan Stanley, 2.750%, 05/19/2022 | 7,210,114 | 0.1 |
4,751,000 | (3) | Morgan Stanley, 3.622%, 04/01/2031 | 5,437,562 | 0.1 |
3,840,000 | | Morgan Stanley, 3.700%, 10/23/2024 | 4,261,666 | 0.1 |
3,210,000 | | Morgan Stanley, 3.875%, 04/29/2024 | 3,551,453 | 0.0 |
3,524,000 | | Morgan Stanley, 4.000%, 07/23/2025 | 3,998,248 | 0.1 |
2,439,000 | (3) | Morgan Stanley, 4.457%, 04/22/2039 | 3,081,872 | 0.0 |
4,155,000 | | Morgan Stanley, 5.500%, 07/28/2021 | 4,376,262 | 0.1 |
1,970,000 | (3) | Morgan Stanley, 5.597%, 03/24/2051 | 2,992,515 | 0.0 |
4,390,000 | | MPT Operating Partnership L.P. / MPT Finance Corp., 5.000%, 10/15/2027 | 4,524,575 | 0.1 |
5,540,000 | | MUFG Union Bank NA, 3.150%, 04/01/2022 | 5,772,580 | 0.1 |
2,990,000 | (1),(3) | National Australia Bank Ltd., 3.933%, 08/02/2034 | 3,264,229 | 0.0 |
4,651,000 | (1) | National Securities Clearing Corp., 1.500%, 04/23/2025 | 4,760,137 | 0.1 |
5,105,000 | (1),(2) | Nationwide Building Society, 2.000%, 01/27/2023 | 5,260,367 | 0.1 |
4,500,000 | | Navient Corp., 5.000%, 03/15/2027 | 3,789,878 | 0.0 |
1,000,000 | (1),(2),(3) | NBK Tier 1 Financing 2 Ltd., 4.500%, 12/31/2199 | 953,000 | 0.0 |
3,915,000 | (1) | New York Life Global Funding, 2.875%, 04/10/2024 | 4,225,028 | 0.1 |
1,345,000 | (1),(2),(3) | Nordea Bank ABP, 6.125%, 12/31/2199 | 1,369,472 | 0.0 |
4,988,000 | (1),(2) | Nordea Bank Abp, 1.000%, 06/09/2023 | 5,046,029 | 0.1 |
DKK 4 | (4) | Nordea Kredit Realkreditaktieselskab, 6.000%, 07/01/2029 | – | – |
3,885,000 | (2) | Northern Trust Corp., 1.950%, 05/01/2030 | 4,002,250 | 0.1 |
4,068,000 | (1) | Northwestern Mutual Life Insurance Co/The, 3.625%, 09/30/2059 | 4,532,764 | 0.1 |
7,860,000 | | ORIX Corp., 3.250%, 12/04/2024 | 8,489,225 | 0.1 |
1,580,000 | | Piedmont Operating Partnership L.P., 4.450%, 03/15/2024 | 1,620,907 | 0.0 |
2,000,000 | | Power Sector Assets & Liabilities Management Corp., 7.390%, 12/02/2024 | 2,463,405 | 0.0 |
2,626,000 | (2) | Prologis L.P., 2.250%, 04/15/2030 | 2,768,053 | 0.0 |
2,335,000 | | Prologis L.P., 3.000%, 04/15/2050 | 2,474,724 | 0.0 |
8,675,000 | (1) | Quicken Loans LLC, 5.250%, 01/15/2028 | 9,047,201 | 0.1 |
3,576,000 | (2) | Realty Income Corp., 3.250%, 01/15/2031 | 3,876,431 | 0.0 |
3,152,000 | | Regency Centers L.P., 2.950%, 09/15/2029 | 3,201,155 | 0.0 |
3,622,000 | | Regency Centers L.P., 3.700%, 06/15/2030 | 3,901,408 | 0.0 |
1,250,000 | | Retail Opportunity Investments Partnership L.P., 5.000%, 12/15/2023 | 1,284,871 | 0.0 |
4,410,000 | | Royal Bank of Canada, 0.956%, (US0003M + 0.660%), 10/05/2023 | 4,419,286 | 0.1 |
9,225,000 | | Royal Bank of Canada, 2.250%, 11/01/2024 | 9,723,808 | 0.1 |
5,550,000 | | Royal Bank of Canada, 3.700%, 10/05/2023 | 6,067,552 | 0.1 |
2,910,000 | (3) | Royal Bank of Scotland Group PLC, 3.073%, 05/22/2028 | 3,059,339 | 0.0 |
9,148,000 | | Royal Bank of Scotland Group PLC, 3.875%, 09/12/2023 | 9,868,829 | 0.1 |
459,000 | (3) | Royal Bank of Scotland Group PLC, 4.269%, 03/22/2025 | 499,323 | 0.0 |
3,017,000 | (3) | Royal Bank of Scotland Group PLC, 4.519%, 06/25/2024 | 3,280,431 | 0.0 |
1,690,000 | | Santander UK PLC, 3.400%, 06/01/2021 | 1,735,151 | 0.0 |
3,572,000 | (1) | Scentre Group Trust 1 / Scentre Group Trust 2, 3.625%, 01/28/2026 | 3,750,016 | 0.0 |
2,534,000 | (1),(2) | Scentre Group Trust 1 / Scentre Group Trust 2, 4.375%, 05/28/2030 | 2,789,342 | 0.0 |
3,213,000 | (2) | State Street Corp., 2.400%, 01/24/2030 | 3,458,968 | 0.0 |
5,250,000 | (3) | State Street Corp., 3.031%, 11/01/2034 | 5,650,580 | 0.1 |
5,224,000 | | Sumitomo Mitsui Financial Group, Inc., 2.130%, 07/08/2030 | 5,246,810 | 0.1 |
3,225,000 | (2) | Sumitomo Mitsui Financial Group, Inc., 2.448%, 09/27/2024 | 3,388,319 | 0.0 |
300,000 | | Sumitomo Mitsui Financial Group, Inc., 3.010%, 10/19/2026 | 328,191 | 0.0 |
2,904,000 | (1) | Swedbank AB, 1.300%, 06/02/2023 | 2,940,998 | 0.0 |
2,878,000 | | Toronto-Dominion Bank/The, 2.650%, 06/12/2024 | 3,081,663 | 0.0 |
5,920,000 | (2) | Toronto-Dominion Bank/The, 3.150%, 09/17/2020 | 5,955,376 | 0.1 |
9,340,000 | | Toronto-Dominion Bank/The, 3.250%, 03/11/2024 | 10,184,062 | 0.1 |
6,822,000 | (2) | Toronto-Dominion Bank/The, 3.500%, 07/19/2023 | 7,463,400 | 0.1 |
1,354,000 | | Travelers Cos, Inc./The, 4.000%, 05/30/2047 | 1,668,469 | 0.0 |
4,600,000 | | Truist Bank, 2.250%, 03/11/2030 | 4,651,589 | 0.1 |
3,293,000 | | Truist Bank, 3.200%, 04/01/2024 | 3,572,206 | 0.0 |
9,310,000 | (3) | Truist Financial Corp., 4.800%, 12/31/2199 | 8,583,146 | 0.1 |
2,705,000 | (3) | Truist Financial Corp., 4.950%, 12/31/2199 | 2,772,625 | 0.0 |
3,609,000 | (3) | Truist Financial Corp., 5.100%, 12/31/2199 | 3,735,676 | 0.0 |
1,575,000 | (1) | Turkiye Vakiflar Bankasi TAO, 5.250%, 02/05/2025 | 1,450,751 | 0.0 |
7,048,000 | (1) | UBS AG/London, 1.750%, 04/21/2022 | 7,182,894 | 0.1 |
7,760,000 | (1) | UBS AG/London, 2.450%, 12/01/2020 | 7,810,441 | 0.1 |
1,470,000 | | UBS AG/Stamford CT, 7.625%, 08/17/2022 | 1,640,081 | 0.0 |
3,180,000 | | UBS AG, 5.125%, 05/15/2024 | 3,461,071 | 0.0 |
7,779,000 | (1),(3) | UBS Group AG, 2.859%, 08/15/2023 | 8,064,147 | 0.1 |
2,565,000 | (1),(2),(3) | UBS Group AG, 3.126%, 08/13/2030 | 2,772,671 | 0.0 |
4,458,000 | | UDR, Inc., 3.000%, 08/15/2031 | 4,755,886 | 0.1 |
5,000,000 | | US Bank NA/Cincinnati OH, 2.050%, 01/21/2025 | 5,304,259 | 0.1 |
4,048,000 | (1) | USAA Capital Corp., 2.125%, 05/01/2030 | 4,173,103 | 0.1 |
5,017,000 | (3) | Wells Fargo & Co., 2.393%, 06/02/2028 | 5,187,650 | 0.1 |
9,435,000 | (2),(3) | Wells Fargo & Co., 2.406%, 10/30/2025 | 9,827,879 | 0.1 |
10,000,000 | (2),(3) | Wells Fargo & Co., 2.879%, 10/30/2030 | 10,695,617 | 0.1 |
3,788,000 | (2),(3) | Wells Fargo & Co., 3.068%, 04/30/2041 | 3,956,238 | 0.1 |
6,670,000 | | Wells Fargo & Co., 3.750%, 01/24/2024 | 7,292,747 | 0.1 |
4,723,000 | | Wells Fargo & Co., 4.125%, 08/15/2023 | 5,148,741 | 0.1 |
1,556,000 | | Wells Fargo & Co., 4.750%, 12/07/2046 | 1,992,290 | 0.0 |
3,115,000 | (3) | Wells Fargo & Co., 5.013%, 04/04/2051 | 4,320,894 | 0.1 |
4,455,000 | (3) | Wells Fargo Bank NA, 2.082%, 09/09/2022 | 4,527,938 | 0.1 |
12,450,000 | | Wells Fargo Bank NA, 3.625%, 10/22/2021 | 12,929,998 | 0.1 |
2,270,000 | (2) | Westpac Banking Corp., 2.350%, 02/19/2025 | 2,413,332 | 0.0 |
372,000 | | Willis Towers Watson PLC, 5.750%, 03/15/2021 | 383,936 | 0.0 |
6,680,000 | | XLIT Ltd., 4.450%, 03/31/2025 | 7,532,997 | 0.1 |
2,000,000 | | XLIT Ltd., 5.250%, 12/15/2043 | 2,691,926 | 0.0 |
2,296,000 | (2) | XLIT Ltd., 5.500%, 03/31/2045 | 3,080,297 | 0.0 |
| | | 1,076,163,978 | 11.9 |
| | | | |
| | Industrial: 2.5% |
1,335,000 | | 3M Co., 3.700%, 04/15/2050 | 1,592,206 | 0.0 |
6,505,000 | | AECOM, 5.125%, 03/15/2027 | 7,016,033 | 0.1 |
8,620,000 | (1) | Airbus Finance BV, 2.700%, 04/17/2023 | 8,942,347 | 0.1 |
5,435,000 | | Amphenol Corp., 2.800%, 02/15/2030 | 5,789,532 | 0.1 |
2,027,000 | (1) | Aviation Capital Group LLC, 4.375%, 01/30/2024 | 1,906,458 | 0.0 |
3,878,000 | (1),(2) | BAE Systems PLC, 3.400%, 04/15/2030 | 4,237,955 | 0.1 |
2,530,000 | (3) | BNSF Funding Trust I, 6.613%, 12/15/2055 | 2,777,434 | 0.0 |
1,269,000 | | Boeing Co/The, 3.850%, 11/01/2048 | 1,138,002 | 0.0 |
2,575,000 | | Boeing Co/The, 4.875%, 05/01/2025 | 2,806,782 | 0.0 |
2,599,000 | | Boeing Co/The, 5.805%, 05/01/2050 | 3,073,576 | 0.0 |
2,600,000 | | Boeing Co/The, 5.930%, 05/01/2060 | 3,085,222 | 0.0 |
9,445,000 | (1),(2) | Builders FirstSource, Inc., 5.000%, 03/01/2030 | 8,900,449 | 0.1 |
4,885,000 | | Burlington Northern Santa Fe LLC, 3.900%, 08/01/2046 | 5,882,261 | 0.1 |
1,165,000 | | Burlington Northern Santa Fe LLC, 4.450%, 03/15/2043 | 1,472,830 | 0.0 |
2,728,000 | | Burlington Northern Santa Fe LLC, 5.150%, 09/01/2043 | 3,780,457 | 0.1 |
5,082,000 | (1) | Carrier Global Corp., 2.493%, 02/15/2027 | 5,183,826 | 0.1 |
2,965,000 | (1) | Carrier Global Corp., 2.722%, 02/15/2030 | 2,978,064 | 0.0 |
3,085,000 | (1) | Carrier Global Corp., 3.577%, 04/05/2050 | 3,023,640 | 0.0 |
5,615,000 | | Caterpillar Financial Services Corp., 3.150%, 09/07/2021 | 5,797,348 | 0.1 |
8,612,000 | (1) | CCL Industries, Inc., 3.050%, 06/01/2030 | 8,828,630 | 0.1 |
200,000 | | Cemex SAB de CV, 6.125%, 05/05/2025 | 194,771 | 0.0 |
2,715,000 | | CSX Corp., 4.650%, 03/01/2068 | 3,545,536 | 0.0 |
890,000 | | CSX Corp., 4.500%, 08/01/2054 | 1,129,884 | 0.0 |
1,428,000 | | FedEx Corp., 3.900%, 02/01/2035 | 1,547,200 | 0.0 |
4,000,000 | | FedEx Corp., 4.050%, 02/15/2048 | 4,116,066 | 0.1 |
2,096,000 | (2) | FedEx Corp., 4.250%, 05/15/2030 | 2,398,153 | 0.0 |
2,647,000 | | FedEx Corp., 4.400%, 01/15/2047 | 2,814,761 | 0.0 |
2,800,000 | (2) | GATX Corp., 4.000%, 06/30/2030 | 3,014,814 | 0.0 |
5,327,000 | | General Dynamics Corp., 3.500%, 04/01/2027 | 6,106,176 | 0.1 |
3,392,000 | (2) | General Dynamics Corp., 3.625%, 04/01/2030 | 3,975,748 | 0.1 |
2,518,000 | (2) | General Electric Co., 3.625%, 05/01/2030 | 2,525,433 | 0.0 |
5,925,000 | | Honeywell International, Inc., 1.950%, 06/01/2030 | 6,198,754 | 0.1 |
2,268,000 | | Honeywell International, Inc., 2.800%, 06/01/2050 | 2,426,265 | 0.0 |
3,350,000 | (1) | Hutama Karya Persero PT, 3.750%, 05/11/2030 | 3,526,086 | 0.0 |
2,786,000 | | Lockheed Martin Corp., 2.800%, 06/15/2050 | 2,947,560 | 0.0 |
2,966,000 | | Lockheed Martin Corp., 4.070%, 12/15/2042 | 3,813,979 | 0.1 |
3,379,000 | | Norfolk Southern Corp., 3.650%, 08/01/2025 | 3,818,722 | 0.1 |
434,000 | | Northrop Grumman Corp., 2.930%, 01/15/2025 | 469,146 | 0.0 |
1,605,000 | | Packaging Corp. of America, 3.000%, 12/15/2029 | 1,744,615 | 0.0 |
2,395,000 | (2) | Packaging Corp. of America, 4.050%, 12/15/2049 | 2,864,911 | 0.0 |
2,270,000 | | Raytheon Technologies Corp., 3.125%, 07/01/2050 | 2,432,734 | 0.0 |
2,335,000 | (1) | Raytheon Technologies Corp., 3.200%, 03/15/2024 | 2,514,089 | 0.0 |
3,686,000 | (1) | Raytheon Technologies Corp., 3.500%, 03/15/2027 | 4,149,418 | 0.1 |
211,000 | | Raytheon Technologies Corp., 3.650%, 08/16/2023 | 228,541 | 0.0 |
8,741,000 | | Raytheon Technologies Corp., 4.500%, 06/01/2042 | 10,839,307 | 0.1 |
534,000 | | Raytheon Technologies Corp., 5.400%, 05/01/2035 | 722,463 | 0.0 |
792,000 | | Raytheon Technologies Corp., 6.125%, 07/15/2038 | 1,151,077 | 0.0 |
1,678,000 | (2) | Roper Technologies, Inc., 2.000%, 06/30/2030 | 1,681,049 | 0.0 |
5,565,000 | (1),(2) | Sealed Air Corp., 4.000%, 12/01/2027 | 5,578,912 | 0.1 |
2,570,000 | (1) | SMBC Aviation Capital Finance DAC, 2.650%, 07/15/2021 | 2,581,777 | 0.0 |
2,540,000 | (1) | SMBC Aviation Capital Finance DAC, 3.550%, 04/15/2024 | 2,602,259 | 0.0 |
4,770,000 | (1),(2) | Standard Industries, Inc./NJ, 4.375%, 07/15/2030 | 4,732,746 | 0.1 |
1,125,000 | (1) | Standard Industries, Inc./NJ, 4.750%, 01/15/2028 | 1,143,737 | 0.0 |
2,885,000 | (1) | Standard Industries, Inc./NJ, 5.000%, 02/15/2027 | 2,929,443 | 0.0 |
6,290,000 | | Stanley Black & Decker, Inc., 2.900%, 11/01/2022 | 6,638,971 | 0.1 |
4,150,000 | (1),(2) | Summit Materials LLC / Summit Materials Finance Corp., 5.125%, 06/01/2025 | 4,113,252 | 0.1 |
2,720,000 | | Textron, Inc., 3.000%, 06/01/2030 | 2,713,068 | 0.0 |
5,745,000 | (1) | TTX Co., 3.600%, 01/15/2025 | 6,322,693 | 0.1 |
1,000,000 | (2) | Union Pacific Corp., 2.400%, 02/05/2030 | 1,071,095 | 0.0 |
2,700,000 | | Union Pacific Corp., 3.250%, 02/05/2050 | 2,966,942 | 0.0 |
3,920,000 | | United Parcel Service, Inc., 2.050%, 04/01/2021 | 3,970,840 | 0.1 |
951,000 | | United Parcel Service, Inc., 2.500%, 04/01/2023 | 997,781 | 0.0 |
2,431,000 | | United Parcel Service, Inc., 2.800%, 11/15/2024 | 2,635,399 | 0.0 |
2,209,000 | (1) | Vinci SA, 3.750%, 04/10/2029 | 2,550,011 | 0.0 |
3,540,000 | | WRKCo, Inc., 3.000%, 06/15/2033 | 3,701,236 | 0.1 |
| | | 228,360,472 | 2.5 |
| | | | |
| | Technology: 1.9% |
3,569,000 | (2) | Amdocs Ltd., 2.538%, 06/15/2030 | 3,562,163 | 0.1 |
562,000 | | Analog Devices, Inc., 3.500%, 12/05/2026 | 628,783 | 0.0 |
5,675,000 | | Apple, Inc., 2.400%, 01/13/2023 | 5,959,600 | 0.1 |
2,605,000 | | Apple, Inc., 2.650%, 05/11/2050 | 2,699,360 | 0.0 |
4,128,000 | | Apple, Inc., 3.450%, 02/09/2045 | 4,832,344 | 0.1 |
7,492,000 | | Apple, Inc., 3.750%, 09/12/2047 | 9,022,684 | 0.1 |
5,095,000 | | Apple, Inc., 3.750%, 11/13/2047 | 6,214,308 | 0.1 |
963,000 | | Apple, Inc., 4.450%, 05/06/2044 | 1,286,926 | 0.0 |
5,735,000 | (1) | Broadcom, Inc., 4.300%, 11/15/2032 | 6,346,157 | 0.1 |
3,840,000 | | Broadridge Financial Solutions, Inc., 2.900%, 12/01/2029 | 4,110,267 | 0.1 |
2,143,000 | (1) | Dell International LLC / EMC Corp., 6.020%, 06/15/2026 | 2,458,701 | 0.0 |
2,695,000 | | Fiserv, Inc., 2.750%, 07/01/2024 | 2,875,325 | 0.0 |
7,158,000 | | Fiserv, Inc., 3.200%, 07/01/2026 | 7,928,915 | 0.1 |
2,895,000 | | HP, Inc., 4.050%, 09/15/2022 | 3,101,889 | 0.0 |
2,000,000 | (2) | IBM Credit LLC, 3.000%, 02/06/2023 | 2,128,112 | 0.0 |
2,289,000 | | International Business Machines Corp., 2.875%, 11/09/2022 | 2,419,628 | 0.0 |
2,139,000 | (1) | Infor, Inc., 1.450%, 07/15/2023 | 2,158,262 | 0.0 |
2,496,000 | (1) | Infor, Inc., 1.750%, 07/15/2025 | 2,509,392 | 0.0 |
1,975,000 | | Intel Corp., 3.100%, 02/15/2060 | 2,185,702 | 0.0 |
11,150,000 | | Intel Corp., 3.250%, 11/15/2049 | 12,723,689 | 0.2 |
3,083,000 | | International Business Machines Corp., 2.950%, 05/15/2050 | 3,175,879 | 0.0 |
7,595,000 | | International Business Machines Corp., 3.300%, 05/15/2026 | 8,553,278 | 0.1 |
1,805,000 | | Lam Research Corp., 2.875%, 06/15/2050 | 1,870,833 | 0.0 |
1,212,000 | | Lam Research Corp., 3.125%, 06/15/2060 | 1,283,141 | 0.0 |
5,223,000 | (1) | Microchip Technology, Inc., 2.670%, 09/01/2023 | 5,378,841 | 0.1 |
6,701,000 | | Microsoft Corp., 2.400%, 08/08/2026 | 7,321,527 | 0.1 |
6,002,000 | | Microsoft Corp., 2.525%, 06/01/2050 | 6,242,810 | 0.1 |
9,677,000 | | Microsoft Corp., 3.700%, 08/08/2046 | 12,158,713 | 0.1 |
4,239,000 | | NetApp, Inc., 1.875%, 06/22/2025 | 4,299,123 | 0.1 |
1,820,000 | | NVIDIA Corp., 3.500%, 04/01/2040 | 2,130,912 | 0.0 |
2,425,000 | (2) | NVIDIA Corp., 3.500%, 04/01/2050 | 2,826,443 | 0.0 |
1,855,000 | | NVIDIA Corp., 3.700%, 04/01/2060 | 2,216,078 | 0.0 |
2,761,000 | (1) | NXP BV / NXP Funding LLC / NXP USA, Inc., 3.400%, 05/01/2030 | 2,977,081 | 0.0 |
3,692,000 | | Oracle Corp., 3.600%, 04/01/2040 | 4,205,591 | 0.1 |
370,000 | | Oracle Corp., 3.850%, 07/15/2036 | 432,163 | 0.0 |
8,841,000 | | Oracle Corp., 4.000%, 11/15/2047 | 10,491,879 | 0.1 |
1,605,000 | | VMware, Inc., 4.650%, 05/15/2027 | 1,777,636 | 0.0 |
5,108,000 | | Xilinx, Inc., 2.375%, 06/01/2030 | 5,273,069 | 0.1 |
| | | 167,767,204 | 1.9 |
| | | | |
| | Utilities: 4.4% |
1,059,000 | (2) | AEP Texas, Inc., 3.450%, 01/15/2050 | 1,151,566 | 0.0 |
3,943,000 | (1) | AES Corp./The, 3.950%, 07/15/2030 | 4,177,116 | 0.1 |
3,770,000 | | Alabama Power Co., 3.375%, 10/01/2020 | 3,797,819 | 0.1 |
2,480,000 | | Alabama Power Co., 3.450%, 10/01/2049 | 2,763,035 | 0.0 |
1,927,000 | | Ameren Corp., 2.700%, 11/15/2020 | 1,938,900 | 0.0 |
640,000 | | American Electric Power Co., Inc., 2.950%, 12/15/2022 | 673,053 | 0.0 |
3,136,000 | | American Electric Power Co., Inc., 3.250%, 03/01/2050 | 3,243,484 | 0.0 |
7,500,000 | (1) | American Transmission Systems, Inc., 5.000%, 09/01/2044 | 9,327,388 | 0.1 |
5,385,000 | (1) | American Transmission Systems, Inc., 5.250%, 01/15/2022 | 5,706,277 | 0.1 |
2,011,000 | (2) | Appalachian Power Co., 3.700%, 05/01/2050 | 2,214,938 | 0.0 |
2,595,000 | | Arizona Public Service Co., 4.200%, 08/15/2048 | 3,131,917 | 0.0 |
9,776,000 | | Avangrid, Inc., 3.200%, 04/15/2025 | 10,694,761 | 0.1 |
2,887,000 | | Avangrid, Inc., 3.800%, 06/01/2029 | 3,357,359 | 0.0 |
2,510,000 | (2) | Baltimore Gas and Electric Co., 3.200%, 09/15/2049 | 2,672,599 | 0.0 |
1,000,000 | | Baltimore Gas and Electric Co., 3.350%, 07/01/2023 | 1,069,488 | 0.0 |
3,615,000 | | Black Hills Corp., 2.500%, 06/15/2030 | 3,700,765 | 0.1 |
3,250,000 | | Black Hills Corp., 3.050%, 10/15/2029 | 3,444,615 | 0.0 |
1,720,000 | | Black Hills Corp., 4.250%, 11/30/2023 | 1,874,785 | 0.0 |
2,750,000 | | Black Hills Corp., 4.350%, 05/01/2033 | 3,133,001 | 0.0 |
1,432,000 | | CenterPoint Energy Houston Electric LLC, 2.900%, 07/01/2050 | 1,495,436 | 0.0 |
566,000 | | CenterPoint Energy Houston Electric LLC, 3.550%, 08/01/2042 | 633,187 | 0.0 |
6,300,000 | (1) | Centrais Eletricas Brasileiras SA, 3.625%, 02/04/2025 | 6,170,850 | 0.1 |
2,166,000 | (1) | Cleveland Electric Illuminating Co/The, 3.500%, 04/01/2028 | 2,375,413 | 0.0 |
5,860,000 | (3) | CMS Energy Corp., 4.750%, 06/01/2050 | 5,986,609 | 0.1 |
2,519,000 | | Commonwealth Edison Co., 3.750%, 08/15/2047 | 2,999,335 | 0.0 |
1,864,000 | | Consolidated Edison Co. of New York, Inc., 4.000%, 11/15/2057 | 2,153,522 | 0.0 |
2,591,000 | | Consolidated Edison Co. of New York, Inc., 4.625%, 12/01/2054 | 3,297,760 | 0.0 |
831,000 | | Consolidated Edison Co. of New York, Inc., 5.300%, 03/01/2035 | 1,128,383 | 0.0 |
4,148,000 | | Consumers Energy Co., 2.500%, 05/01/2060 | 3,968,906 | 0.1 |
633,000 | (2) | Delmarva Power & Light Co., 3.500%, 11/15/2023 | 689,783 | 0.0 |
4,865,000 | (3) | Dominion Energy, Inc., 4.650%, 12/31/2199 | 4,768,100 | 0.1 |
3,860,000 | (2) | DTE Electric Co., 2.250%, 03/01/2030 | 4,067,656 | 0.1 |
7,263,000 | | DTE Electric Co., 2.950%, 03/01/2050 | 7,614,810 | 0.1 |
1,790,000 | (2) | DTE Electric Co., 3.950%, 03/01/2049 | 2,182,919 | 0.0 |
1,210,000 | | DTE Electric Co., 4.050%, 05/15/2048 | 1,494,050 | 0.0 |
1,539,000 | | Duke Energy Carolinas LLC, 2.950%, 12/01/2026 | 1,711,692 | 0.0 |
2,322,000 | (2) | Duke Energy Carolinas LLC, 3.200%, 08/15/2049 | 2,608,684 | 0.0 |
2,340,000 | | Duke Energy Carolinas LLC, 3.700%, 12/01/2047 | 2,765,733 | 0.0 |
2,185,000 | | Duke Energy Carolinas LLC, 4.000%, 09/30/2042 | 2,637,000 | 0.0 |
2,155,000 | (3) | Duke Energy Corp., 4.875%, 12/31/2199 | 2,155,466 | 0.0 |
3,030,000 | | Duke Energy Florida LLC, 4.200%, 07/15/2048 | 3,835,457 | 0.1 |
3,500,000 | | Duke Energy Indiana LLC, 3.250%, 10/01/2049 | 3,885,622 | 0.1 |
1,890,000 | | Duke Energy Ohio, Inc., 2.125%, 06/01/2030 | 1,959,730 | 0.0 |
3,723,000 | | Duke Energy Progress LLC, 3.700%, 10/15/2046 | 4,364,086 | 0.1 |
4,000,000 | | Duke Energy Progress LLC, 4.100%, 05/15/2042 | 4,833,234 | 0.1 |
3,677,000 | | Duke Energy Progress LLC, 4.200%, 08/15/2045 | 4,563,211 | 0.1 |
1,200,000 | | Duke Energy Indiana LLC, 3.750%, 05/15/2046 | 1,397,576 | 0.0 |
1,869,000 | | Entergy Corp., 2.800%, 06/15/2030 | 1,972,531 | 0.0 |
3,323,000 | | Entergy Corp., 2.950%, 09/01/2026 | 3,669,879 | 0.1 |
3,860,000 | | Entergy Gulf States Louisiana LLC, 3.950%, 10/01/2020 | 3,869,809 | 0.1 |
5,263,000 | | Entergy Louisiana LLC, 4.200%, 04/01/2050 | 6,694,381 | 0.1 |
464,000 | | Entergy Mississippi LLC, 3.100%, 07/01/2023 | 488,392 | 0.0 |
2,172,000 | | Entergy Texas, Inc., 4.000%, 03/30/2029 | 2,523,443 | 0.0 |
1,758,000 | | Entergy Louisiana LLC, 2.900%, 03/15/2051 | 1,807,107 | 0.0 |
6,480,000 | | Entergy Louisiana LLC, 4.050%, 09/01/2023 | 7,094,873 | 0.1 |
2,033,000 | (2) | Essential Utilities, Inc., 2.704%, 04/15/2030 | 2,129,549 | 0.0 |
2,882,000 | | Evergy Kansas Central, Inc., 3.250%, 09/01/2049 | 3,112,496 | 0.0 |
2,520,000 | | Evergy Metro, Inc., 2.250%, 06/01/2030 | 2,643,075 | 0.0 |
6,159,000 | | Eversource Energy, 2.900%, 10/01/2024 | 6,613,630 | 0.1 |
2,871,000 | (2) | Eversource Energy, 3.450%, 01/15/2050 | 3,090,240 | 0.0 |
3,617,000 | | Exelon Corp., 3.497%, 06/01/2022 | 3,776,785 | 0.1 |
1,060,000 | | Exelon Corp., 4.050%, 04/15/2030 | 1,226,164 | 0.0 |
1,585,000 | (2) | Exelon Corp., 4.700%, 04/15/2050 | 2,022,589 | 0.0 |
1,116,000 | | Exelon Generation Co. LLC, 3.250%, 06/01/2025 | 1,204,355 | 0.0 |
3,475,000 | | FirstEnergy Corp., 2.850%, 07/15/2022 | 3,606,533 | 0.0 |
1,519,000 | | FirstEnergy Corp., 4.250%, 03/15/2023 | 1,643,609 | 0.0 |
1,725,000 | | Fortis, Inc./Canada, 3.055%, 10/04/2026 | 1,863,816 | 0.0 |
3,055,000 | | Georgia Power Co., 2.200%, 09/15/2024 | 3,208,352 | 0.0 |
2,124,000 | | Georgia Power Co., 5.750%, 04/15/2023 | 2,374,047 | 0.0 |
1,444,000 | | Idaho Power Co., 4.200%, 03/01/2048 | 1,814,671 | 0.0 |
6,060,000 | | Inkia Energy Ltd., 5.875%, 11/09/2027 | 6,003,187 | 0.1 |
2,870,000 | | Interstate Power and Light Co., 2.300%, 06/01/2030 | 2,936,731 | 0.0 |
4,400,000 | | Interstate Power and Light Co., 3.250%, 12/01/2024 | 4,780,980 | 0.1 |
3,462,000 | (1) | IPALCO Enterprises, Inc., 4.250%, 05/01/2030 | 3,764,936 | 0.1 |
3,199,000 | (1) | Jersey Central Power & Light Co., 4.300%, 01/15/2026 | 3,704,308 | 0.1 |
3,950,000 | (1) | Kallpa Generacion SA, 4.125%, 08/16/2027 | 4,038,164 | 0.1 |
1,423,000 | | Kentucky Utilities Co., 3.300%, 06/01/2050 | 1,527,708 | 0.0 |
2,862,000 | (2) | LG&E and KU Energy LLC, 3.750%, 11/15/2020 | 2,872,883 | 0.0 |
1,950,000 | (1) | Metropolitan Edison Co., 3.500%, 03/15/2023 | 2,059,620 | 0.0 |
2,430,000 | (2) | MidAmerican Energy Co., 3.150%, 04/15/2050 | 2,683,189 | 0.0 |
1,702,000 | | MidAmerican Energy Co., 3.500%, 10/15/2024 | 1,891,606 | 0.0 |
4,552,000 | | Mississippi Power Co., 4.250%, 03/15/2042 | 5,370,411 | 0.1 |
271,000 | | Mississippi Power Co., 4.750%, 10/15/2041 | 322,582 | 0.0 |
3,392,000 | (1) | Narragansett Electric Co/The, 3.395%, 04/09/2030 | 3,824,484 | 0.1 |
2,880,000 | (3) | National Rural Utilities Cooperative Finance Corp., 4.750%, 04/30/2043 | 2,888,489 | 0.0 |
5,049,000 | | NextEra Energy Capital Holdings, Inc., 3.150%, 04/01/2024 | 5,483,023 | 0.1 |
6,788,000 | | NiSource, Inc., 3.600%, 05/01/2030 | 7,771,830 | 0.1 |
1,901,000 | | NiSource, Inc., 5.950%, 06/15/2041 | 2,622,711 | 0.0 |
4,760,000 | | NiSource, Inc., 3.650%, 06/15/2023 | 5,145,662 | 0.1 |
3,175,000 | (2) | NRG Energy, Inc., 5.750%, 01/15/2028 | 3,356,975 | 0.0 |
555,000 | | NSTAR Electric Co., 2.375%, 10/15/2022 | 574,696 | 0.0 |
1,137,000 | | Ohio Power Co., 5.375%, 10/01/2021 | 1,204,899 | 0.0 |
1,861,000 | (5) | Pacific Gas and Electric Co., 4.250%, 03/15/2046 | 2,052,767 | 0.0 |
1,472,000 | (5) | Pacific Gas and Electric Co., 4.300%, 03/15/2045 | 1,629,202 | 0.0 |
2,484,000 | (5) | Pacific Gas and Electric Co., 4.450%, 04/15/2042 | 2,774,119 | 0.0 |
1,138,000 | | PECO Energy Co., 4.150%, 10/01/2044 | 1,411,592 | 0.0 |
750,000 | (1) | Perusahaan Listrik Negara PT, 5.375%, 01/25/2029 | 867,045 | 0.0 |
2,675,000 | | Perusahaan Listrik Negara PT, 5.450%, 05/21/2028 | 3,085,867 | 0.0 |
4,500,000 | (1) | Perusahaan Listrik Negara PT, 5.450%, 05/21/2028 | 5,191,177 | 0.1 |
2,035,000 | | Piedmont Natural Gas Co., Inc., 3.350%, 06/01/2050 | 2,230,245 | 0.0 |
7,000,000 | | PNM Resources, Inc., 3.250%, 03/09/2021 | 7,105,277 | 0.1 |
4,226,000 | | PPL Capital Funding, Inc., 4.125%, 04/15/2030 | 4,817,576 | 0.1 |
5,924,000 | | Public Service Electric and Gas Co., 3.250%, 09/01/2023 | 6,392,572 | 0.1 |
6,952,000 | | Public Service Electric and Gas Co., 3.000%, 05/15/2025 | 7,608,391 | 0.1 |
1,168,000 | (1) | Puget Energy, Inc., 4.100%, 06/15/2030 | 1,291,813 | 0.0 |
2,758,000 | (2) | San Diego Gas & Electric Co., 3.000%, 08/15/2021 | 2,818,918 | 0.0 |
3,937,000 | | Sempra Energy, 3.800%, 02/01/2038 | 4,261,150 | 0.1 |
3,344,000 | (2),(3) | Sempra Energy, 4.875%, 12/31/2199 | 3,352,360 | 0.0 |
5,750,000 | (2) | Sierra Pacific Power Co., 2.600%, 05/01/2026 | 6,255,161 | 0.1 |
435,000 | | Southern California Edison Co., 2.400%, 02/01/2022 | 441,927 | 0.0 |
1,570,000 | (2) | Southern California Edison Co., 3.650%, 02/01/2050 | 1,732,516 | 0.0 |
980,000 | | Southern California Edison Co., 3.875%, 06/01/2021 | 1,002,853 | 0.0 |
813,000 | | Southern California Edison Co., 4.050%, 03/15/2042 | 929,117 | 0.0 |
1,444,000 | | Southern Co. Gas Capital Corp., 4.400%, 05/30/2047 | 1,719,858 | 0.0 |
1,680,000 | | Southern Co. Gas Capital Corp., 5.875%, 03/15/2041 | 2,235,947 | 0.0 |
3,690,000 | | Tampa Electric Co., 5.400%, 05/15/2021 | 3,829,816 | 0.1 |
1,710,000 | | Tucson Electric Power Co., 4.850%, 12/01/2048 | 2,234,058 | 0.0 |
2,500,000 | | Union Electric Co., 3.250%, 10/01/2049 | 2,725,333 | 0.0 |
1,945,000 | | Union Electric Co., 3.500%, 03/15/2029 | 2,252,739 | 0.0 |
2,260,000 | | Union Electric Co., 3.900%, 09/15/2042 | 2,629,428 | 0.0 |
1,915,000 | | Virginia Electric and Power Co., 3.450%, 09/01/2022 | 2,012,347 | 0.0 |
5,165,000 | | Virginia Electric and Power Co., 3.800%, 09/15/2047 | 6,057,786 | 0.1 |
3,485,000 | | Washington Gas Light Co., 3.650%, 09/15/2049 | 3,872,492 | 0.1 |
763,000 | | WEC Energy Group, Inc., 3.100%, 03/08/2022 | 794,834 | 0.0 |
3,590,000 | | Wisconsin Public Service Corp., 3.671%, 12/01/2042 | 3,971,226 | 0.1 |
| | | 400,683,985 | 4.4 |
| | | | |
| Total Corporate Bonds/Notes | | |
| (Cost $3,240,614,049) | 3,420,185,420 | 37.9 |
| | | |
COLLATERALIZED MORTGAGE OBLIGATIONS: 21.7% | |
961,516 | (1),(3) | Agate Bay Mortgage Trust 2014-2 B4, 3.874%, 09/25/2044 | 958,242 | 0.0 |
2,808,625 | | Alternative Loan Trust 2004-J7 MI, 1.205%, (US0001M + 1.020%), 10/25/2034 | 2,695,958 | 0.0 |
2,678,137 | | Alternative Loan Trust 2005-10CB 1A1, 0.685%, (US0001M + 0.500%), 05/25/2035 | 2,127,278 | 0.0 |
2,259,285 | | Alternative Loan Trust 2005-51 3A2A, 2.794%, (12MTA + 1.290%), 11/20/2035 | 2,036,463 | 0.0 |
681,868 | | Alternative Loan Trust 2005-65CB 2A4, 5.500%, 12/25/2035 | 606,610 | 0.0 |
862,633 | | Alternative Loan Trust 2005-6CB 1A3, 5.250%, 04/25/2035 | 838,681 | 0.0 |
1,594,636 | | Alternative Loan Trust 2005-J2 1A12, 0.585%, (US0001M + 0.400%), 04/25/2035 | 1,294,862 | 0.0 |
754,865 | | Alternative Loan Trust 2006-13T1 A9, 6.000%, 05/25/2036 | 543,491 | 0.0 |
169,119 | | Alternative Loan Trust 2006-18CB A10, 0.585%, (US0001M + 0.400%), 07/25/2036 | 78,695 | 0.0 |
1,031,116 | | Alternative Loan Trust 2006-19CB A28, 0.785%, (US0001M + 0.600%), 08/25/2036 | 576,300 | 0.0 |
894,696 | | Alternative Loan Trust 2006-HY11 A1, 0.305%, (US0001M + 0.120%), 06/25/2036 | 824,951 | 0.0 |
1,105,406 | | Alternative Loan Trust 2007-23CB A3, 0.685%, (US0001M + 0.500%), 09/25/2037 | 440,697 | 0.0 |
2,807,688 | | Alternative Loan Trust 2007-2CB 2A1, 0.785%, (US0001M + 0.600%), 03/25/2037 | 1,390,392 | 0.0 |
1,071,142 | | Alternative Loan Trust 2007-3T1 1A11, 6.000%, 04/25/2037 | 713,512 | 0.0 |
1,060,139 | | Alternative Loan Trust 2007-8CB A3, 0.685%, (US0001M + 0.500%), 05/25/2037 | 531,545 | 0.0 |
1,944,967 | | American Home Mortgage Assets Trust 2007-4 A4, 0.475%, (US0001M + 0.290%), 08/25/2037 | 1,691,961 | 0.0 |
2,339,886 | (1),(3) | Arroyo Mortgage Trust 2019-3 A3, 3.416%, 10/25/2048 | 2,375,630 | 0.0 |
973,096 | | Banc of America Funding 2007-2 1A16 Trust, 0.785%, (US0001M + 0.600%), 03/25/2037 | 734,855 | 0.0 |
1,032,269 | (6) | Banc of America Mortgage 2007-2 A8 Trust, 6.000%, 05/25/2037 | 189,634 | 0.0 |
1,329,543 | (3) | Bear Stearns ALT-A Trust 2005-4 23A1, 3.769%, 05/25/2035 | 1,294,653 | 0.0 |
1,766,840 | (3) | Bear Stearns ALT-A Trust 2005-7 21A1, 3.842%, 09/25/2035 | 1,609,654 | 0.0 |
3,344,456 | | Bear Stearns Mortgage Funding Trust 2006-AR5 2A1, 0.375%, (US0001M + 0.190%), 01/25/2037 | 2,881,627 | 0.0 |
1,896,764 | (1),(3) | Chase Mortgage Finance Corp. 2019-1 B2, 3.951%, 03/25/2050 | 1,900,882 | 0.0 |
2,215,689 | (1),(3) | Chase Mortgage Finance Corp. 2019-1 B3, 3.951%, 03/25/2050 | 2,304,987 | 0.0 |
1,794,667 | (3) | CHL Mortgage Pass-Through Trust 2004-22 A3, 3.819%, 11/25/2034 | 1,750,578 | 0.0 |
654,319 | | CHL Mortgage Pass-Through Trust 2007-7 A7, 5.750%, 06/25/2037 | 506,829 | 0.0 |
1,203,814 | (1),(3) | CIM Trust 2019-INV1 A1, 3.845%, 02/25/2049 | 1,243,858 | 0.0 |
1,165,438 | (1),(3) | CIM Trust 2019-INV3 A3, 3.500%, 08/25/2049 | 1,207,310 | 0.0 |
5,207,896 | (1),(3) | CIM Trust 2019-J1 1A2, 3.500%, 08/25/2049 | 5,357,234 | 0.1 |
2,957,233 | (1),(3) | CIM Trust 2019-J2 B2, 3.841%, 10/25/2049 | 2,844,829 | 0.0 |
985,744 | (1),(3) | CIM Trust 2019-J2 B3, 3.841%, 10/25/2049 | 869,088 | 0.0 |
2,600,000 | (1),(3) | CIM Trust 2019-R5 M2, 3.250%, 09/25/2059 | 2,613,515 | 0.0 |
1,239,344 | | Citicorp Mortgage Securities Trust Series 2006-3 1A4, 6.000%, 06/25/2036 | 1,248,119 | 0.0 |
1,260,479 | (3) | Citigroup Mortgage Loan Trust 2006-AR9 2A, 4.359%, 11/25/2036 | 1,067,463 | 0.0 |
582,791 | (3) | Citigroup Mortgage Loan Trust 2007-10 22AA, 3.934%, 09/25/2037 | 548,714 | 0.0 |
1,533,804 | (1),(3) | Citigroup Mortgage Loan Trust 2015-A B2, 4.500%, 06/25/2058 | 1,547,470 | 0.0 |
1,680,000 | (1),(3) | COLT 2018-2 M1 Mortgage Loan Trust, 4.189%, 07/27/2048 | 1,672,375 | 0.0 |
1,550,000 | (1),(3) | COLT 2018-3 M1 Mortgage Loan Trust, 4.283%, 10/26/2048 | 1,566,030 | 0.0 |
2,000,000 | (1),(3) | COLT 2019-1 M1 Mortgage Loan Trust, 4.518%, 03/25/2049 | 2,002,940 | 0.0 |
1,637,959 | (1),(3) | COLT 2019-4 A3 Mortgage Loan Trust, 2.988%, 11/25/2049 | 1,650,936 | 0.0 |
401,080 | (1),(3) | COLT 2018-4 A1 Mortgage Loan Trust, 4.006%, 12/28/2048 | 408,778 | 0.0 |
7,550,000 | (1) | Connecticut Avenue Securities Trust 2020-R02 2M2, 2.185%, (US0001M + 2.000%), 01/25/2040 | 7,243,019 | 0.1 |
519,830 | | Countrywide Alternative Loan Trust 2005-53T2 2A6, 0.685%, (US0001M + 0.500%), 11/25/2035 | 242,067 | 0.0 |
5,262,410 | | Countrywide Asset-Backed Certificates 2005-IM1 M1, 0.905%, (US0001M + 0.720%), 11/25/2035 | 5,107,273 | 0.1 |
1,662,900 | (1) | CSMC Series 2008-2R 1A1, 6.000%, 07/25/2037 | 1,566,683 | 0.0 |
1,548,092 | (1),(3) | CSMC Trust 2015-2 B3, 3.923%, 02/25/2045 | 1,539,324 | 0.0 |
1,800,000 | (1),(3) | Deephave Residential Mortgage Trust 2019-2A M1, 3.921%, 04/25/2059 | 1,749,796 | 0.0 |
1,360,000 | (1),(3) | Deephaven Residential Mortgage Trust 2018-1A M1, 3.939%, 12/25/2057 | 1,354,376 | 0.0 |
1,000,000 | (1),(3) | Deephaven Residential Mortgage Trust 2018-2A M1, 4.375%, 04/25/2058 | 1,011,469 | 0.0 |
2,300,000 | (1),(3) | Deephaven Residential Mortgage Trust 2019-1A M1, 4.402%, 08/25/2058 | 2,284,864 | 0.0 |
1,000,000 | (1),(3) | Deephaven Residential Mortgage Trust 2019-4 M1, 3.484%, 10/25/2059 | 986,199 | 0.0 |
3,000,000 | (1),(3) | Deephaven Residential Mortgage Trust 2020-1 M1, 3.010%, 01/25/2060 | 2,843,364 | 0.0 |
86,724,213 | (3),(6) | Deutsche ALT-A Securities, Inc. ALT 07-AB1 X, 0.837%, 04/25/2037 | 3,312,145 | 0.1 |
3,046,870 | (1),(3) | Ellington Financial Mortgage Trust 2019-2 A3, 3.046%, 11/25/2059 | 3,064,899 | 0.0 |
3,900,000 | (1),(3) | Ellington Financial Mortgage Trust 2020-1 A1, 2.006%, 06/25/2065 | 3,919,280 | 0.1 |
800,000 | (1) | Fannie Mae Connecticut Avenue Securities Trust 2020-SBT1 1M2, 3.835%, (US0001M + 3.650%), 02/25/2040 | 760,072 | 0.0 |
4,334,432 | (6) | Fannie Mae 2008-12 SC, 6.166%, (-1.000*US0001M + 6.350%), 03/25/2038 | 956,394 | 0.0 |
8,453,088 | | Fannie Mae 2011-99 CZ, 4.500%, 10/25/2041 | 9,707,310 | 0.1 |
788,269 | | Fannie Mae 2012-110 CA, 3.000%, 10/25/2042 | 844,467 | 0.0 |
5,919,751 | | Fannie Mae 2012-66 EP, 4.000%, 06/25/2042 | 7,120,636 | 0.1 |
4,676,557 | | Fannie Mae 2013-116 UB, 4.000%, 11/25/2043 | 4,983,712 | 0.1 |
3,727,595 | | Fannie Mae 2013-20 DL, 4.000%, 03/25/2033 | 4,210,298 | 0.1 |
26,009,219 | (6) | Fannie Mae 2016-82 SD, 5.866%, (-1.000*US0001M + 6.050%), 11/25/2046 | 6,061,300 | 0.1 |
5,050,906 | | Fannie Mae 2016-88 EA, 3.500%, 01/25/2045 | 5,327,857 | 0.1 |
15,436,620 | (6) | Fannie Mae 2018-86 US, 6.406%, (-1.000*US0001M + 6.590%), 09/25/2040 | 3,964,076 | 0.1 |
19,505,775 | | Fannie Mae Connecticut Avenue Securities 16-C06 1M2, 4.435%, (US0001M + 4.250%), 04/25/2029 | 20,550,005 | 0.2 |
6,428,314 | | Fannie Mae Connecticut Avenue Securities 2015-C02 1M2, 4.185%, (US0001M + 4.000%), 05/25/2025 | 6,545,028 | 0.1 |
170,012 | | Fannie Mae Connecticut Avenue Securities 2015-C02 2M2, 4.185%, (US0001M + 4.000%), 05/25/2025 | 172,865 | 0.0 |
1,186,012 | | Fannie Mae Connecticut Avenue Securities 2015-C03 2M2, 5.185%, (US0001M + 5.000%), 07/25/2025 | 1,220,383 | 0.0 |
8,733,050 | | Fannie Mae Connecticut Avenue Securities 2015-C04 2M2, 5.735%, (US0001M + 5.550%), 04/25/2028 | 9,320,646 | 0.1 |
3,030,571 | | Fannie Mae Connecticut Avenue Securities 2015-CO1 1M2, 4.485%, (US0001M + 4.300%), 02/25/2025 | 3,080,684 | 0.0 |
531,285 | | Fannie Mae Connecticut Avenue Securities 2016-C01 2M2, 7.135%, (US0001M + 6.950%), 08/25/2028 | 564,803 | 0.0 |
15,836,879 | | Fannie Mae Connecticut Avenue Securities 2016-C04 1M2, 4.435%, (US0001M + 4.250%), 01/25/2029 | 16,527,747 | 0.2 |
16,177,763 | | Fannie Mae Connecticut Avenue Securities 2016-C05 2M2, 4.635%, (US0001M + 4.450%), 01/25/2029 | 16,663,767 | 0.2 |
9,788,212 | | Fannie Mae Connecticut Avenue Securities 2016-C07 2M2, 4.535%, (US0001M + 4.350%), 05/25/2029 | 10,211,282 | 0.1 |
3,158,770 | | Fannie Mae Connecticut Avenue Securities 2017-C01 1M2, 3.735%, (US0001M + 3.550%), 07/25/2029 | 3,238,838 | 0.0 |
14,973,599 | | Fannie Mae Connecticut Avenue Securities 2017-C02 2M2, 3.835%, (US0001M + 3.650%), 09/25/2029 | 15,111,002 | 0.2 |
5,168,000 | | Fannie Mae Connecticut Avenue Securities 2017-C03 1M2, 3.185%, (US0001M + 3.000%), 10/25/2029 | 5,246,976 | 0.1 |
10,428,698 | | Fannie Mae Connecticut Avenue Securities 2017-C04 2M2, 3.035%, (US0001M + 2.850%), 11/25/2029 | 10,342,644 | 0.1 |
14,882,102 | | Fannie Mae Connecticut Avenue Securities 2017-C05 1M2, 2.385%, (US0001M + 2.200%), 01/25/2030 | 14,702,498 | 0.2 |
1,273,092 | | Fannie Mae Connecticut Avenue Securities 2017-C06 1M2, 2.835%, (US0001M + 2.650%), 02/25/2030 | 1,273,192 | 0.0 |
22,978,805 | | Fannie Mae Connecticut Avenue Securities 2017-C07 1M2, 2.585%, (US0001M + 2.400%), 05/28/2030 | 22,673,561 | 0.3 |
7,159,425 | | Fannie Mae Connecticut Avenue Securities 2017-C07 2M2, 2.685%, (US0001M + 2.500%), 05/25/2030 | 7,107,257 | 0.1 |
9,334,092 | | Fannie Mae Connecticut Avenue Securities 2017-CO6 2M2, 2.985%, (US0001M + 2.800%), 02/25/2030 | 9,256,460 | 0.1 |
11,898,140 | | Fannie Mae Connecticut Avenue Securities 2018-C02 2M2, 2.385%, (US0001M + 2.200%), 08/25/2030 | 11,740,753 | 0.1 |
5,217,810 | | Fannie Mae Connecticut Avenue Securities 2018-C03 1M2, 2.335%, (US0001M + 2.150%), 10/25/2030 | 5,174,133 | 0.1 |
21,528,525 | | Fannie Mae Connecticut Avenue Securities 2018-C04 2M2, 2.735%, (US0001M + 2.550%), 12/25/2030 | 21,388,934 | 0.3 |
17,975,807 | | Fannie Mae Connecticut Avenue Securities 2018-C05 1M2, 2.535%, (US0001M + 2.350%), 01/25/2031 | 17,740,355 | 0.2 |
11,448,988 | | Fannie Mae Connecticut Avenue Securities 2018-C06 1M2, 2.185%, (US0001M + 2.000%), 03/25/2031 | 11,084,221 | 0.1 |
10,658,369 | | Fannie Mae Connecticut Avenue Securities 2018-C06 2M2, 2.285%, (US0001M + 2.100%), 03/25/2031 | 10,504,041 | 0.1 |
19,083,249 | | Fannie Mae Connecticut Avenue Securities 2018-CO1 1M2, 2.435%, (US0001M + 2.250%), 07/25/2030 | 18,794,248 | 0.2 |
4,178,820 | (1) | Fannie Mae Connecticut Avenue Securities 2019-R02 1M2, 2.485%, (US0001M + 2.300%), 08/25/2031 | 4,151,203 | 0.1 |
3,609,972 | (1) | Fannie Mae Connecticut Avenue Securities 2019-R04 2M2, 2.285%, (US0001M + 2.100%), 06/25/2039 | 3,535,777 | 0.1 |
6,926,810 | (1) | Fannie Mae Connecticut Avenue Securities 2019-RO3 1M2, 2.335%, (US0001M + 2.150%), 09/25/2031 | 6,840,225 | 0.1 |
12,944,022 | (1) | Fannie Mae Connecticut Avenue Securities Trust 2018-R07 1M2, 2.585%, (US0001M + 2.400%), 04/25/2031 | 12,907,604 | 0.2 |
12,167,418 | (1) | Fannie Mae Connecticut Avenue Securities Trust 2019-R01 2M2, 2.635%, (US0001M + 2.450%), 07/25/2031 | 11,978,486 | 0.1 |
1,000,000 | (1) | Fannie Mae Connecticut Avenue Securities Trust 2019-R05 1B1, 4.285%, (US0001M + 4.100%), 07/25/2039 | 908,106 | 0.0 |
3,550,000 | (1) | Fannie Mae Connecticut Avenue Securities Trust 2019-R06 2M2, 2.285%, (US0001M + 2.100%), 09/25/2039 | 3,476,850 | 0.1 |
3,300,000 | (1) | Fannie Mae Connecticut Avenue Securities Trust 2020-R01 1M2, 2.235%, (US0001M + 2.050%), 01/25/2040 | 3,175,143 | 0.0 |
500,000 | (1) | Fannie Mae Connecticut Avenue Securities Trust 2020-SBT1 2M2, 3.835%, (US0001M + 3.650%), 02/25/2040 | 487,846 | 0.0 |
6,711,691 | | Fannie Mae Connecticut Avenue Securities, 5.885%, (US0001M + 5.700%), 04/25/2028 | 7,117,685 | 0.1 |
14,702 | | Fannie Mae Grantor Trust 1998-T2 A6, 0.037%, (US0001M + 0.550%), 01/25/2032 | 14,898 | 0.0 |
11,437 | (6) | Fannie Mae Interest Strip Series 104 2, 9.500%, 10/25/2021 | 487 | 0.0 |
404,052 | (6) | Fannie Mae Interest Strip Series 418 20, 3.000%, 05/25/2043 | 37,180 | 0.0 |
1,219,876 | (6) | Fannie Mae Interest Strip Series 418 59, 3.000%, 08/25/2028 | 78,318 | 0.0 |
182 | (6) | Fannie Mae Interest Strip Series 83 2, 9.500%, 09/25/2020 | 1 | 0.0 |
141,527 | | Fannie Mae REMIC Trust 1999-33 Z, 6.000%, 07/25/2029 | 159,565 | 0.0 |
136,513 | (6) | Fannie Mae REMIC Trust 1999-6 SE, 7.491%, (-1.000*US0001M + 7.685%), 02/17/2029 | 11,021 | 0.0 |
1,144,001 | | Fannie Mae REMIC Trust 2003-105 AZ, 5.500%, 10/25/2033 | 1,333,123 | 0.0 |
408,126 | | Fannie Mae REMIC Trust 2003-45 FJ, 1.673%, (US0001M + 1.500%), 06/25/2033 | 426,044 | 0.0 |
1,518,680 | (6) | Fannie Mae REMIC Trust 2003-66 SA, 7.466%, (-1.000*US0001M + 7.650%), 07/25/2033 | 379,420 | 0.0 |
262,606 | (6) | Fannie Mae REMIC Trust 2003-74 IO, 6.000%, 08/25/2033 | 57,610 | 0.0 |
719,999 | | Fannie Mae REMIC Trust 2003-84 PZ, 5.000%, 09/25/2033 | 828,600 | 0.0 |
1,068,885 | | Fannie Mae REMIC Trust 2004-50 VZ, 5.500%, 07/25/2034 | 1,223,882 | 0.0 |
22,619 | | Fannie Mae REMIC Trust 2004-56 FE, 0.635%, (US0001M + 0.450%), 10/25/2033 | 22,645 | 0.0 |
574,717 | | Fannie Mae REMIC Trust 2004-7 Z, 5.500%, 02/25/2034 | 652,135 | 0.0 |
1,173,158 | | Fannie Mae REMIC Trust 2004-75 ZG, 4.500%, 10/25/2034 | 1,286,534 | 0.0 |
2,949,860 | | Fannie Mae REMIC Trust 2005-25 Z, 5.000%, 04/25/2035 | 3,371,349 | 0.1 |
144,292 | | Fannie Mae REMIC Trust 2006-104 ES, 32.528%, (-5.000*US0001M + 33.450%), 11/25/2036 | 282,714 | 0.0 |
2,538,274 | (6) | Fannie Mae REMIC Trust 2006-12 SD, 6.566%, (-1.000*US0001M + 6.750%), 10/25/2035 | 540,758 | 0.0 |
820,716 | (6) | Fannie Mae REMIC Trust 2006-123 UI, 6.556%, (-1.000*US0001M + 6.740%), 01/25/2037 | 212,917 | 0.0 |
193,539 | (6) | Fannie Mae REMIC Trust 2006-72 HS, 6.516%, (-1.000*US0001M + 6.700%), 08/25/2026 | 26,248 | 0.0 |
26,902 | | Fannie Mae REMIC Trust 2007-10 Z, 6.000%, 02/25/2037 | 31,177 | 0.0 |
4,346,081 | (6) | Fannie Mae REMIC Trust 2007-91 AS, 6.216%, (-1.000*US0001M + 6.400%), 10/25/2037 | 1,152,825 | 0.0 |
1,826,348 | | Fannie Mae REMIC Trust 2009-19 PW, 4.500%, 10/25/2036 | 2,064,534 | 0.0 |
8,931,391 | (3) | Fannie Mae REMIC Trust 2009-50 HZ, 5.544%, 02/25/2049 | 10,169,410 | 0.1 |
2,052,975 | (6) | Fannie Mae REMIC Trust 2009-90 TS, 5.966%, (-1.000*US0001M + 6.150%), 11/25/2039 | 422,388 | 0.0 |
2,289,126 | (6) | Fannie Mae REMIC Trust 2010-118 GS, 5.766%, (-1.000*US0001M + 5.950%), 10/25/2039 | 172,049 | 0.0 |
5,467,409 | (6) | Fannie Mae REMIC Trust 2010-123 SL, 5.886%, (-1.000*US0001M + 6.070%), 11/25/2040 | 1,087,060 | 0.0 |
6,119,258 | (6) | Fannie Mae REMIC Trust 2010-41 SB, 6.216%, (-1.000*US0001M + 6.400%), 05/25/2040 | 1,340,243 | 0.0 |
1,799,353 | (6) | Fannie Mae REMIC Trust 2010-43 VS, 6.266%, (-1.000*US0001M + 6.450%), 05/25/2040 | 379,383 | 0.0 |
11,049,000 | | Fannie Mae REMIC Trust 2010-59 PC, 5.000%, 06/25/2040 | 12,738,598 | 0.2 |
1,796,746 | (6) | Fannie Mae REMIC Trust 2011-102 SA, 6.416%, (-1.000*US0001M + 6.600%), 10/25/2041 | 347,574 | 0.0 |
3,137,033 | | Fannie Mae REMIC Trust 2011-30 ZA, 5.000%, 04/25/2041 | 3,501,959 | 0.1 |
2,832,978 | (6) | Fannie Mae REMIC Trust 2011-93 GS, 6.366%, (-1.000*US0001M + 6.550%), 04/25/2039 | 748,583 | 0.0 |
894,821 | (6) | Fannie Mae REMIC Trust 2012-103 IT, 4.000%, 04/25/2041 | 20,705 | 0.0 |
7,251,725 | (6) | Fannie Mae REMIC Trust 2012-122 SB, 5.966%, (-1.000*US0001M + 6.150%), 11/25/2042 | 1,378,099 | 0.0 |
3,455,300 | (6) | Fannie Mae REMIC Trust 2012-128 LI, 3.500%, 06/25/2042 | 302,348 | 0.0 |
7,035,067 | (6) | Fannie Mae REMIC Trust 2012-133 AS, 6.016%, (-1.000*US0001M + 6.200%), 10/25/2042 | 1,381,969 | 0.0 |
1,066,696 | (6) | Fannie Mae REMIC Trust 2012-149 GI, 3.500%, 06/25/2042 | 119,874 | 0.0 |
4,240,662 | (6) | Fannie Mae REMIC Trust 2012-15 SP, 6.436%, (-1.000*US0001M + 6.620%), 06/25/2040 | 280,673 | 0.0 |
2,359,527 | (6) | Fannie Mae REMIC Trust 2012-24 HS, 6.366%, (-1.000*US0001M + 6.550%), 09/25/2040 | 302,501 | 0.0 |
5,531,985 | (6) | Fannie Mae REMIC Trust 2012-30 QS, 6.416%, (-1.000*US0001M + 6.600%), 04/25/2031 | 516,010 | 0.0 |
1,579,890 | (6) | Fannie Mae REMIC Trust 2012-68 YS, 6.516%, (-1.000*US0001M + 6.700%), 07/25/2042 | 282,189 | 0.0 |
2,573,332 | (6) | Fannie Mae REMIC Trust 2013-26 JS, 6.016%, (-1.000*US0001M + 6.200%), 10/25/2032 | 388,672 | 0.0 |
9,012,111 | (6) | Fannie Mae REMIC Trust 2013-60 DS, 6.016%, (-1.000*US0001M + 6.200%), 06/25/2033 | 1,647,588 | 0.0 |
7,678,228 | (6) | Fannie Mae REMIC Trust 2013-9 SM, 6.066%, (-1.000*US0001M + 6.250%), 02/25/2033 | 1,539,171 | 0.0 |
5,066,547 | (6) | Fannie Mae REMIC Trust 2014-17 DS, 6.016%, (-1.000*US0001M + 6.200%), 02/25/2043 | 558,284 | 0.0 |
2,694,808 | (6) | Fannie Mae REMIC Trust 2014-28 BS, 6.016%, (-1.000*US0001M + 6.200%), 08/25/2043 | 434,755 | 0.0 |
3,019,000 | | Fannie Mae REMIC Trust 2015-17 MK, 2.500%, 12/25/2041 | 3,334,271 | 0.1 |
51,476,276 | (6) | Fannie Mae REMIC Trust 2015-79 SA, 6.066%, (-1.000*US0001M + 6.250%), 11/25/2045 | 11,513,323 | 0.1 |
20,795,528 | (6) | Fannie Mae REMIC Trust 2015-9 IO, 5.500%, 03/25/2045 | 4,429,306 | 0.1 |
36,554,839 | (6) | Fannie Mae REMICS 16-60 SB, 5.916%, (-1.000*US0001M + 6.100%), 09/25/2046 | 8,024,730 | 0.1 |
– | | Fannie Mae REMICS 1990-59 K, 1184.190%, 06/25/2020 | – | – |
140,695 | (6) | Fannie Mae REMICS 1997-18 SG, 7.906%, (-1.000*US0001M + 8.100%), 03/17/2027 | 18,547 | 0.0 |
86,545 | (6) | Fannie Mae REMICS 1997-91 FC, 0.000%, (US0001M + (8.500)%), 11/25/2023 | 27 | 0.0 |
5,915 | (6) | Fannie Mae REMICS 1999-57 SC, 9.556%, (-1.000*US0001M + 9.750%), 11/17/2029 | 115 | 0.0 |
1,427 | (6) | Fannie Mae REMICS 2000-38 SK, 9.006%, (-1.000*US0001M + 9.200%), 10/17/2030 | 14 | 0.0 |
306,344 | (6) | Fannie Mae REMICS 2001-72 SC, 1.000%, (-1.000*US0001M + 8.500%), 12/25/2031 | 11,488 | 0.0 |
103,402 | (6) | Fannie Mae REMICS 2001-8 SK, 8.556%, (-1.000*US0001M + 8.750%), 03/18/2031 | 16,363 | 0.0 |
52 | (6) | Fannie Mae REMICS 2001-8 SO, 9.610%, (-1.000*US0001M + 9.800%), 02/20/2031 | 1 | 0.0 |
658,509 | (6) | Fannie Mae REMICS 2003-49 SW, 6.816%, (-1.000*US0001M + 7.000%), 01/25/2033 | 140,833 | 0.0 |
5,403,291 | (6) | Fannie Mae REMICS 2004-54 SN, 6.866%, (-1.000*US0001M + 7.050%), 07/25/2034 | 1,270,502 | 0.0 |
176,498 | (6) | Fannie Mae REMICS 2004-88 JH, 6.416%, (-1.000*US0001M + 6.600%), 06/25/2033 | 1,843 | 0.0 |
1,368,504 | (6) | Fannie Mae REMICS 2005-75 SP, 6.566%, (-1.000*US0001M + 6.750%), 08/25/2035 | 258,236 | 0.0 |
2,784,638 | (6) | Fannie Mae REMICS 2006-56 SM, 6.566%, (-1.000*US0001M + 6.750%), 07/25/2036 | 602,056 | 0.0 |
470,890 | (6) | Fannie Mae REMICS 2007-21 SB, 6.216%, (-1.000*US0001M + 6.400%), 03/25/2037 | 61,332 | 0.0 |
1,418,453 | (6) | Fannie Mae REMICS 2007-52 NS, 6.266%, (-1.000*US0001M + 6.450%), 06/25/2037 | 316,191 | 0.0 |
1,684,982 | (6) | Fannie Mae REMICS 2007-85 SM, 6.276%, (-1.000*US0001M + 6.460%), 09/25/2037 | 363,861 | 0.0 |
524,678 | | Fannie Mae REMICS 2008-16 Z, 5.500%, 03/25/2038 | 607,490 | 0.0 |
172 | (6) | Fannie Mae REMICS 2010-112 SG, 6.176%, (-1.000*US0001M + 6.360%), 06/25/2021 | 4 | 0.0 |
8,727,059 | (6) | Fannie Mae REMICS 2010-150 SJ, 6.296%, (-1.000*US0001M + 6.480%), 01/25/2041 | 2,236,039 | 0.0 |
1,402,790 | (6) | Fannie Mae REMICS 2010-35 CS, 6.266%, (-1.000*US0001M + 6.450%), 04/25/2050 | 264,153 | 0.0 |
1,919,746 | | Fannie Mae REMICS 2011-10 ZC, 5.000%, 02/25/2041 | 2,230,335 | 0.0 |
6,166,562 | | Fannie Mae REMICS 2011-101 DB, 4.000%, 10/25/2041 | 7,231,976 | 0.1 |
676,884 | | Fannie Mae REMICS 2011-116 ZA, 3.500%, 11/25/2041 | 731,213 | 0.0 |
132,000 | | Fannie Mae REMICS 2011-127 UY, 3.500%, 12/25/2041 | 146,047 | 0.0 |
11,476,236 | (6) | Fannie Mae REMICS 2011-47 GS, 5.746%, (-1.000*US0001M + 5.930%), 06/25/2041 | 2,263,870 | 0.0 |
2,981,018 | | Fannie Mae REMICS 2011-8 ZA, 4.000%, 02/25/2041 | 3,254,525 | 0.1 |
7,536,940 | (6) | Fannie Mae REMICS 2012-111 SL, 5.916%, (-1.000*US0001M + 6.100%), 05/25/2041 | 885,728 | 0.0 |
5,952,327 | | Fannie Mae REMICS 2012-111 ZK, 3.500%, 10/25/2042 | 6,602,229 | 0.1 |
9,663,134 | (6) | Fannie Mae REMICS 2012-120 WI, 3.000%, 11/25/2027 | 644,826 | 0.0 |
3,000,000 | | Fannie Mae REMICS 2012-134 KV, 3.000%, 07/25/2031 | 3,145,215 | 0.0 |
10,322,092 | | Fannie Mae REMICS 2012-17 QZ, 4.000%, 03/25/2042 | 11,511,193 | 0.1 |
5,815,272 | | Fannie Mae REMICS 2012-2 HE, 4.000%, 02/25/2042 | 6,716,355 | 0.1 |
1,814,487 | | Fannie Mae REMICS 2012-30 AB, 4.000%, 04/25/2042 | 2,027,507 | 0.0 |
2,649,113 | | Fannie Mae REMICS 2012-33 BW, 4.000%, 04/25/2042 | 3,029,238 | 0.0 |
1,058,948 | | Fannie Mae REMICS 2012-44 KW, 3.500%, 05/25/2032 | 1,118,538 | 0.0 |
5,392,019 | | Fannie Mae REMICS 2012-55 PC, 3.500%, 05/25/2042 | 5,871,450 | 0.1 |
500,000 | | Fannie Mae REMICS 2012-80 MY, 3.250%, 08/25/2042 | 571,520 | 0.0 |
2,700,000 | | Fannie Mae REMICS 2013-111 BA, 3.000%, 11/25/2033 | 3,005,847 | 0.0 |
1,403,000 | | Fannie Mae REMICS 2013-13 BE, 4.000%, 03/25/2043 | 1,780,808 | 0.0 |
1,187,997 | | Fannie Mae REMICS 2013-16 GD, 3.000%, 03/25/2033 | 1,242,838 | 0.0 |
9,823,728 | (6) | Fannie Mae REMICS 2013-40 LS, 5.966%, (-1.000*US0001M + 6.150%), 05/25/2043 | 1,867,775 | 0.0 |
10,435,926 | (6) | Fannie Mae REMICS 2013-70 BI, 3.000%, 07/25/2033 | 998,696 | 0.0 |
11,800,998 | (6) | Fannie Mae REMICS 2014-15 SB, 6.466%, (-1.000*US0001M + 6.650%), 04/25/2044 | 3,175,835 | 0.0 |
7,393,255 | (6) | Fannie Mae REMICS 2014-20 HI, 4.000%, 01/25/2040 | 182,874 | 0.0 |
970,000 | | Fannie Mae REMICS 2014-61 PY, 3.500%, 10/25/2044 | 1,122,749 | 0.0 |
16,673,583 | | Fannie Mae REMICS 2015-20 EZ, 3.500%, 04/25/2045 | 18,677,407 | 0.2 |
834,255 | | Fannie Mae REMICS 2015-45 EY, 2.500%, 12/25/2040 | 841,912 | 0.0 |
8,786,292 | (6) | Fannie Mae REMICS 2015-56 IC, 6.000%, 08/25/2045 | 1,650,430 | 0.0 |
2,000,000 | | Fannie Mae REMICS 2015-67 AV, 3.500%, 01/25/2036 | 2,294,429 | 0.0 |
5,000,000 | | Fannie Mae REMICS 2015-67 QV, 3.000%, 12/25/2040 | 5,357,521 | 0.1 |
3,732,671 | (6) | Fannie Mae REMICS 2015-76 PI, 6.000%, 09/25/2045 | 597,448 | 0.0 |
8,922,144 | (6) | Fannie Mae REMICS 2016-52 MI, 4.000%, 12/25/2045 | 1,398,530 | 0.0 |
805,677 | | Fannie Mae REMICS 2016-9 D, 3.000%, 03/25/2046 | 863,557 | 0.0 |
8,836,964 | | Fannie Mae REMICS 2017-54 D, 3.000%, 07/25/2047 | 9,423,702 | 0.1 |
50,076,703 | (6) | Fannie Mae REMICS 2018-15 SC, 6.116%, (-1.000*US0001M + 6.300%), 03/25/2048 | 11,297,780 | 0.1 |
4,388,742 | | Fannie Mae REMICS 2018-38 LA, 3.000%, 06/25/2048 | 4,597,585 | 0.1 |
25,986,523 | | Fannie Mae REMICS 2018-73 AB, 3.000%, 10/25/2048 | 28,079,508 | 0.3 |
4,405,056 | | Fannie Mae REMICS 2018-8 AB, 3.500%, 10/25/2047 | 4,664,503 | 0.1 |
64,375,343 | (6) | Fannie Mae REMICS 2018-82 SA, 6.016%, (-1.000*US0001M + 6.200%), 11/25/2048 | 13,923,563 | 0.2 |
63,116,729 | (6) | Fannie Mae REMICS 2018-86 SM, 6.016%, (-1.000*US0001M + 6.200%), 12/25/2048 | 13,862,472 | 0.2 |
54,962,224 | (6) | Fannie Mae REMICS 2018-91 SB, 5.916%, (-1.000*US0001M + 6.100%), 12/25/2058 | 11,581,915 | 0.1 |
17,985,545 | (6) | Fannie Mae REMICS 2019-21 AI, 5.000%, 05/25/2059 | 3,565,075 | 0.1 |
20,430,475 | (6) | Fannie Mae REMICS 2019-30 SB, 5.916%, (-1.000*US0001M + 6.100%), 07/25/2049 | 3,853,541 | 0.1 |
18,689,356 | (6) | Fannie Mae REMICS 2019-39 SA, 5.916%, (-1.000*US0001M + 6.100%), 08/25/2049 | 3,505,946 | 0.1 |
99,935,147 | (6) | Fannie Mae REMICS 2019-41 S, 5.816%, (-1.000*US0001M + 6.000%), 08/25/2059 | 18,639,354 | 0.2 |
11,884,937 | (6) | Fannie Mae REMICS 2019-47 SB, 5.916%, (-1.000*US0001M + 6.100%), 05/25/2040 | 2,249,985 | 0.0 |
10 | | Fannie Mae REMICS G-9 G, 509.000%, 04/25/2021 | 18 | 0.0 |
5,372 | | Fannie Mae REMICS G93-35 ZQ, 6.500%, 11/25/2023 | 5,702 | 0.0 |
3,761,728 | | Fannie Mae REMICS Trust 2010-53 JZ, 5.000%, 07/25/2040 | 4,230,323 | 0.1 |
35,331,052 | (6) | Fannie Mae Series 2013-44 DI, 3.000%, 05/25/2033 | 3,369,007 | 0.1 |
1,838,324 | (6) | Fannie Mae Series 2013-72 YS, 5.966%, (-1.000*US0001M + 6.150%), 07/25/2033 | 303,267 | 0.0 |
10,951,719 | (6) | Fannie Mae REMICS 2009-66 SP, 5.916%, (-1.000*US0001M + 6.100%), 09/25/2039 | 1,902,482 | 0.0 |
5,543,598 | | Fannie Mae REMICS 2011-136 PZ, 4.000%, 01/25/2042 | 6,548,831 | 0.1 |
9,699,029 | | Fannie Mae REMICS 2012-94 LZ, 3.500%, 09/25/2042 | 10,605,995 | 0.1 |
6,765,429 | (6) | Fannie Mae REMICS 2016-104 BI, 6.000%, 01/25/2047 | 1,439,438 | 0.0 |
30,573,404 | (6) | Fannie Mae REMICS 2016-81 CS, 5.916%, (-1.000*US0001M + 6.100%), 11/25/2046 | 6,104,955 | 0.1 |
5,326,765 | | Fannie Mae REMICS 2017-41 MZ, 4.000%, 06/25/2057 | 6,579,406 | 0.1 |
43,032,892 | (6) | Fannie Mae REMICS 2020-35 IO, 5.000%, 06/25/2050 | 7,800,701 | 0.1 |
25,309,932 | (6) | Fannie Mae REMICS 2020-44 EI, 3.500%, 09/25/2042 | 2,823,639 | 0.0 |
179,519 | (6) | FHLMC-GNMA 20 S, 8.716%, (-1.000*US0001M + 8.900%), 10/25/2023 | 18,854 | 0.0 |
699,951 | | First Horizon Alternative Mortgage Securities Trust 2006-FA8 1A11, 6.000%, 02/25/2037 | 471,130 | 0.0 |
1,785,000 | (1),(3) | First Republic Mortgage Trust 2020-1 B1, 2.898%, 04/25/2050 | 1,723,068 | 0.0 |
1,092,758 | (1),(3) | First Republic Mortgage Trust 2020-1 B2, 2.898%, 04/25/2050 | 1,000,684 | 0.0 |
1,897,901 | (1),(3) | Flagstar Mortgage Trust 2018-1 B1, 4.026%, 03/25/2048 | 1,919,501 | 0.0 |
2,225,289 | (1),(3) | Flagstar Mortgage Trust 2018-1 B2, 4.026%, 03/25/2048 | 2,184,124 | 0.0 |
2,474,863 | (1),(3) | Flagstar Mortgage Trust 2018-1 B3, 4.026%, 03/25/2048 | 2,358,213 | 0.0 |
1,264,067 | (1),(3) | Flagstar Mortgage Trust 2018-2 B2, 4.038%, 04/25/2048 | 1,244,181 | 0.0 |
3,282,563 | (1),(3) | Flagstar Mortgage Trust 2018-3INV A3, 4.000%, 05/25/2048 | 3,429,580 | 0.1 |
959,841 | (1),(3) | Flagstar Mortgage Trust 2018-4 B3, 4.308%, 07/25/2048 | 969,355 | 0.0 |
1,814,176 | (1),(3) | Flagstar Mortgage Trust 2018-5 B3, 4.543%, 09/25/2048 | 1,829,021 | 0.0 |
1,506,071 | (1),(3) | Flagstar Mortgage Trust 2019-2 B1, 4.160%, 12/25/2049 | 1,596,833 | 0.0 |
1,460,582 | (1),(3) | Flagstar Mortgage Trust 2019-2 B2, 4.160%, 12/25/2049 | 1,487,118 | 0.0 |
2,471,367 | (1),(3) | Flagstar Mortgage Trust 2020-1NV B2A, 4.345%, 03/25/2050 | 2,393,219 | 0.0 |
3,028,000 | (1),(3) | Flagstar Mortgage Trust 2018-6RR B3, 5.005%, 10/25/2048 | 2,974,235 | 0.0 |
2,041,737 | (1),(3) | Flagstar Mortgage Trust 2020-1NV B1A, 4.345%, 03/25/2050 | 1,996,464 | 0.0 |
25,118,380 | | Freddie Mac 326 350, 3.500%, 03/15/2044 | 27,628,015 | 0.3 |
10,039,572 | (6) | Freddie Mac 3510 AS, 6.225%, (-1.000*US0001M + 6.410%), 04/15/2037 | 2,465,403 | 0.0 |
7,606,373 | (6) | Freddie Mac 4191 SA, 6.015%, (-1.000*US0001M + 6.200%), 03/15/2043 | 1,362,024 | 0.0 |
4,296,666 | | Freddie Mac 4316 XZ, 4.500%, 03/15/2044 | 5,333,628 | 0.1 |
5,000,000 | | Freddie Mac 4800 KG, 3.500%, 11/15/2045 | 5,163,410 | 0.1 |
786,599 | | Freddie Mac Reference Series R007 ZA, 6.000%, 05/15/2036 | 940,296 | 0.0 |
367,765 | | Freddie Mac Reference Series R008 ZA, 6.000%, 07/15/2036 | 427,024 | 0.0 |
108,505 | | Freddie Mac REMIC Trust 2110 PG, 6.000%, 01/15/2029 | 123,468 | 0.0 |
99,510 | | Freddie Mac REMIC Trust 2114 ZM, 6.000%, 01/15/2029 | 110,448 | 0.0 |
676,799 | | Freddie Mac REMIC Trust 2143 ZB, 6.000%, 04/15/2029 | 767,541 | 0.0 |
104,976 | | Freddie Mac REMIC Trust 2528 KM, 5.500%, 11/15/2022 | 108,765 | 0.0 |
282,742 | | Freddie Mac REMIC Trust 2541 NE, 5.500%, 12/15/2032 | 328,310 | 0.0 |
108,742 | (6) | Freddie Mac REMIC Trust 2594 IY, 6.000%, 04/15/2033 | 22,823 | 0.0 |
756,932 | | Freddie Mac REMIC Trust 2845 QH, 5.000%, 08/15/2034 | 867,678 | 0.0 |
148,930 | | Freddie Mac REMIC Trust 2861 Z, 5.500%, 09/15/2034 | 176,525 | 0.0 |
426,023 | (6) | Freddie Mac REMIC Trust 2866 GS, 6.415%, (-1.000*US0001M + 6.600%), 09/15/2034 | 10,556 | 0.0 |
221,262 | (6) | Freddie Mac REMIC Trust 2883 SD, 6.515%, (-1.000*US0001M + 6.700%), 10/15/2034 | 7,443 | 0.0 |
208,956 | | Freddie Mac REMIC Trust 2930 ZL, 5.000%, 02/15/2035 | 239,339 | 0.0 |
303,861 | | Freddie Mac REMIC Trust 2931 ZY, 5.000%, 02/15/2035 | 348,314 | 0.0 |
6,292,330 | (6) | Freddie Mac REMIC Trust 3045 DI, 6.545%, (-1.000*US0001M + 6.730%), 10/15/2035 | 1,466,574 | 0.0 |
1,113,201 | | Freddie Mac REMIC Trust 3117 ZA, 5.500%, 02/15/2036 | 1,277,704 | 0.0 |
1,293,901 | (6) | Freddie Mac REMIC Trust 3171 PS, 6.300%, (-1.000*US0001M + 6.485%), 06/15/2036 | 277,585 | 0.0 |
6,421,004 | (6) | Freddie Mac REMIC Trust 3199 S, 6.265%, (-1.000*US0001M + 6.450%), 08/15/2036 | 1,579,218 | 0.0 |
531,780 | | Freddie Mac REMIC Trust 3351 ZC, 5.500%, 07/15/2037 | 624,249 | 0.0 |
191,864 | | Freddie Mac REMIC Trust 3394 ZY, 6.000%, 11/15/2037 | 221,014 | 0.0 |
300,051 | (3),(6) | Freddie Mac REMIC Trust 3524 LA, 5.096%, 03/15/2033 | 341,107 | 0.0 |
29,526 | | Freddie Mac REMIC Trust 3556 NT, 3.285%, (US0001M + 3.100%), 03/15/2038 | 30,097 | 0.0 |
6,065,703 | | Freddie Mac REMIC Trust 3639 ZN, 5.500%, 12/15/2034 | 7,093,106 | 0.1 |
549,339 | | Freddie Mac REMIC Trust 3662 ZB, 5.500%, 08/15/2036 | 647,416 | 0.0 |
78,086 | (6) | Freddie Mac REMIC Trust 3710 SL, 5.815%, (-1.000*US0001M + 6.000%), 05/15/2036 | 191 | 0.0 |
408,593 | | Freddie Mac REMIC Trust 3724 CM, 5.500%, 06/15/2037 | 480,963 | 0.0 |
877,434 | | Freddie Mac REMIC Trust 3753 DC, 3.500%, 09/15/2039 | 906,438 | 0.0 |
1,522,058 | (6) | Freddie Mac REMIC Trust 3856 KS, 6.365%, (-1.000*US0001M + 6.550%), 05/15/2041 | 300,223 | 0.0 |
1,087,002 | (6) | Freddie Mac REMIC Trust 3925 SD, 5.865%, (-1.000*US0001M + 6.050%), 07/15/2040 | 122,157 | 0.0 |
7,086,134 | (6) | Freddie Mac REMIC Trust 3925 SL, 5.865%, (-1.000*US0001M + 6.050%), 01/15/2041 | 746,543 | 0.0 |
346,952 | | Freddie Mac REMIC Trust 4000 PA, 4.500%, 01/15/2042 | 392,457 | 0.0 |
1,519,520 | (6) | Freddie Mac REMIC Trust 4027 QI, 4.500%, 12/15/2040 | 78,600 | 0.0 |
1,833,965 | (6) | Freddie Mac REMIC Trust 4088 CS, 5.815%, (-1.000*US0001M + 6.000%), 08/15/2042 | 341,120 | 0.0 |
7,115,045 | (6) | Freddie Mac REMIC Trust 4161 WI, 3.000%, 02/15/2033 | 732,438 | 0.0 |
3,801,008 | (6) | Freddie Mac REMIC Trust 4194 GI, 4.000%, 04/15/2043 | 550,340 | 0.0 |
3,428,440 | | Freddie Mac REMIC Trust 4203 BN, 3.000%, 04/15/2033 | 3,737,669 | 0.1 |
1,354,160 | | Freddie Mac REMIC Trust 4246 ZX, 4.500%, 04/15/2041 | 1,558,174 | 0.0 |
1,787,703 | (6) | Freddie Mac REMIC Trust 4293 KI, 4.500%, 08/15/2043 | 201,194 | 0.0 |
5,014,607 | | Freddie Mac REMIC Trust 4335 ZX, 4.250%, 05/15/2044 | 5,858,279 | 0.1 |
6,731,133 | | Freddie Mac REMIC Trust 435 XZ, 4.250%, 05/15/2044 | 7,922,243 | 0.1 |
1,916,000 | | Freddie Mac REMIC Trust 4370 AD, 3.000%, 08/15/2040 | 1,999,033 | 0.0 |
6,227,622 | (6) | Freddie Mac REMIC Trust 4386 LS, 5.915%, (-1.000*US0001M + 6.100%), 09/15/2044 | 1,147,385 | 0.0 |
– | | Freddie Mac REMICS 1006 I, 860.000%, 10/15/2020 | – | – |
11 | | Freddie Mac REMICS 1023 C, 508.500%, 12/15/2020 | 17 | 0.0 |
30 | | Freddie Mac REMICS 1094 L, 1141.844%, 06/15/2021 | 130 | 0.0 |
12 | | Freddie Mac REMICS 1159 D, 1135.255%, 11/15/2021 | 50 | 0.0 |
7 | | Freddie Mac REMICS 1278 L, 1127.368%, 05/15/2022 | 30 | 0.0 |
648 | (6) | Freddie Mac REMICS 1368 S, 9.315%, (-1.000*US0001M + 9.500%), 08/15/2022 | 14 | 0.0 |
56,174 | (6) | Freddie Mac REMICS 2074 S, 8.506%, (-1.000*US0001M + 8.700%), 07/17/2028 | 5,464 | 0.0 |
50,020 | (6) | Freddie Mac REMICS 2232 SA, 8.406%, (-1.000*US0001M + 8.600%), 05/17/2030 | 3,398 | 0.0 |
20,895 | (6) | Freddie Mac REMICS 2301 SP, 9.065%, (-1.000*US0001M + 9.250%), 04/15/2031 | 3,024 | 0.0 |
1,542,069 | (6) | Freddie Mac REMICS 2953 LS, 6.515%, (-1.000*US0001M + 6.700%), 12/15/2034 | 96,396 | 0.0 |
1,611,165 | (6) | Freddie Mac REMICS 2993 GS, 5.965%, (-1.000*US0001M + 6.150%), 06/15/2025 | 146,770 | 0.0 |
913,062 | (6) | Freddie Mac REMICS 3006 SI, 6.555%, (-1.000*US0001M + 6.740%), 07/15/2035 | 196,464 | 0.0 |
1,031,159 | (6) | Freddie Mac REMICS 3006 YI, 6.555%, (-1.000*US0001M + 6.740%), 07/15/2035 | 238,825 | 0.0 |
6,083,011 | (6) | Freddie Mac REMICS 3213 JS, 7.015%, (-1.000*US0001M + 7.200%), 09/15/2036 | 1,688,876 | 0.0 |
1,349,095 | (6) | Freddie Mac REMICS 3375 QI, 0.600%, (-10.000*US0001M + 64.600%), 10/15/2037 | 35,691 | 0.0 |
4,413,358 | | Freddie Mac REMICS 3736 ZP, 4.000%, 10/15/2040 | 4,929,696 | 0.1 |
4,338,315 | | Freddie Mac REMICS 3740 KE, 4.000%, 10/15/2040 | 4,738,949 | 0.1 |
21,531,151 | | Freddie Mac REMICS 3753 KZ, 4.500%, 11/15/2040 | 24,769,683 | 0.3 |
6,413,392 | | Freddie Mac REMICS 3775 GZ, 4.500%, 12/15/2040 | 7,188,954 | 0.1 |
1,900,000 | | Freddie Mac REMICS 3820 NC, 4.500%, 03/15/2041 | 2,264,116 | 0.0 |
717,488 | | Freddie Mac REMICS 3843 JZ, 5.100%, 04/15/2041 | 934,202 | 0.0 |
500,000 | | Freddie Mac REMICS 3848 WX, 5.000%, 04/15/2041 | 590,242 | 0.0 |
2,650,000 | | Freddie Mac REMICS 3890 ME, 5.000%, 07/15/2041 | 3,306,681 | 0.1 |
5,000,000 | | Freddie Mac REMICS 3893 PU, 4.000%, 07/15/2041 | 5,608,922 | 0.1 |
7,000,000 | | Freddie Mac REMICS 3919 BY, 4.000%, 09/15/2041 | 7,867,605 | 0.1 |
9,437,865 | | Freddie Mac REMICS 3919 ZB, 4.000%, 09/15/2041 | 10,800,126 | 0.1 |
3,790,000 | | Freddie Mac REMICS 3923 GY, 4.000%, 09/15/2041 | 4,502,886 | 0.1 |
3,000,000 | | Freddie Mac REMICS 3934 CB, 4.000%, 10/15/2041 | 3,342,281 | 0.1 |
420,000 | | Freddie Mac REMICS 3934 KB, 5.000%, 10/15/2041 | 488,925 | 0.0 |
1,500,000 | | Freddie Mac REMICS 3997 PB, 4.000%, 02/15/2042 | 1,707,163 | 0.0 |
2,780,548 | | Freddie Mac REMICS 4000 ZT, 3.500%, 01/15/2042 | 3,062,866 | 0.0 |
8,355,843 | (6) | Freddie Mac REMICS 4057 SN, 6.465%, (-1.000*US0001M + 6.650%), 12/15/2041 | 1,302,674 | 0.0 |
3,174,218 | | Freddie Mac REMICS 4057 ZB, 3.500%, 06/15/2042 | 3,446,430 | 0.1 |
14,952,864 | | Freddie Mac REMICS 4084 TZ, 4.000%, 07/15/2042 | 17,180,512 | 0.2 |
2,748,546 | (6) | Freddie Mac REMICS 4090 SN, 6.515%, (-1.000*US0001M + 6.700%), 08/15/2032 | 590,575 | 0.0 |
1,445,986 | | Freddie Mac REMICS 4100 JA, 3.500%, 10/15/2041 | 1,554,940 | 0.0 |
2,128,000 | | Freddie Mac REMICS 4193 BP, 4.000%, 04/15/2043 | 2,701,004 | 0.0 |
10,416,315 | | Freddie Mac REMICS 4199 BZ, 3.500%, 05/15/2043 | 11,477,409 | 0.1 |
310,000 | | Freddie Mac REMICS 4235 QD, 3.000%, 08/15/2033 | 346,848 | 0.0 |
44,932,593 | (6) | Freddie Mac REMICS 4301 SD, 5.915%, (-1.000*US0001M + 6.100%), 07/15/2037 | 9,422,508 | 0.1 |
6,310,525 | | Freddie Mac REMICS 4310 BZ, 4.000%, 02/15/2044 | 7,132,347 | 0.1 |
3,102,000 | | Freddie Mac REMICS 4401 BL, 3.500%, 10/15/2034 | 3,635,186 | 0.1 |
24,564,766 | (6) | Freddie Mac REMICS 4461 AS, 5.415%, (-1.000*US0001M + 5.600%), 04/15/2045 | 4,871,311 | 0.1 |
3,124,000 | | Freddie Mac REMICS 4492 VB, 3.500%, 05/15/2035 | 3,606,120 | 0.1 |
858,009 | | Freddie Mac REMICS 4500 HC, 3.000%, 11/15/2042 | 883,644 | 0.0 |
2,913,000 | | Freddie Mac REMICS 4505 PB, 3.000%, 08/15/2045 | 3,239,892 | 0.0 |
27,277,255 | (6) | Freddie Mac REMICS 4574 ST, 5.815%, (-1.000*US0001M + 6.000%), 04/15/2046 | 4,972,862 | 0.1 |
7,163,894 | | Freddie Mac REMICS 4608 JV, 3.500%, 01/15/2055 | 7,563,471 | 0.1 |
549,054 | | Freddie Mac REMICS 4673 WA, 3.500%, 09/15/2043 | 560,865 | 0.0 |
32,548,952 | | Freddie Mac REMICS 4771 HZ, 3.500%, 03/15/2048 | 36,429,373 | 0.4 |
2,457,000 | | Freddie Mac REMICS 4772 VG, 4.500%, 08/15/2036 | 2,793,047 | 0.0 |
1,350,000 | | Freddie Mac REMICS 4787 PY, 4.000%, 05/15/2048 | 1,463,022 | 0.0 |
13,474,764 | | Freddie Mac REMICS 4795 D, 5.000%, 05/15/2048 | 16,088,725 | 0.2 |
1,632,872 | | Freddie Mac REMICS 4904 HB, 3.000%, 08/25/2049 | 1,819,184 | 0.0 |
606,535 | | Freddie Mac REMICS 4914 DB, 3.000%, 09/25/2049 | 675,894 | 0.0 |
11,729,928 | | Freddie Mac Series 4348 ZX, 4.250%, 06/15/2044 | 13,532,305 | 0.2 |
3,566,231 | (1) | Freddie Mac STACR 2019-HQA3 M2, 2.035%, (US0001M + 1.850%), 09/27/2049 | 3,471,258 | 0.1 |
4,500,000 | (1) | Freddie Mac STACR Remic Trust 2020-DNA2 M2, 2.035%, (US0001M + 1.850%), 02/25/2050 | 4,324,686 | 0.1 |
6,900,000 | (1) | Freddie Mac STACR REMIC Trust 2020-HQA1 M2, 2.085%, (US0001M + 1.900%), 01/25/2050 | 6,620,688 | 0.1 |
7,700,000 | (1) | Freddie Mac Stacr Remic Trust 2020-HQA2 M2, 3.285%, (US0001M + 3.100%), 03/25/2050 | 7,469,932 | 0.1 |
17,557,309 | (1) | Freddie Mac STACR Trust 2018-DNA2 M2, 2.335%, (US0001M + 2.150%), 12/25/2030 | 17,035,190 | 0.2 |
7,900,000 | (1) | Freddie Mac STACR Trust 2018-DNA3 M2, 2.285%, (US0001M + 2.100%), 09/25/2048 | 7,673,666 | 0.1 |
12,200,000 | (1) | Freddie Mac Stacr Trust 2018-HQA2 M2, 2.485%, (US0001M + 2.300%), 10/25/2048 | 11,858,637 | 0.1 |
6,529,167 | | Freddie Mac Strips 277 30, 3.000%, 09/15/2042 | 6,944,148 | 0.1 |
6,606,530 | (6) | Freddie Mac Strips 303 C17, 3.500%, 01/15/2043 | 940,805 | 0.0 |
49,986,697 | (6) | Freddie Mac Strips Series 311 S1, 5.765%, (-1.000*US0001M + 5.950%), 08/15/2043 | 8,997,606 | 0.1 |
3,891,693 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2015-DNA2 M3, 4.085%, (US0001M + 3.900%), 12/25/2027 | 3,975,839 | 0.1 |
5,750,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2015-DNA3 M3, 4.885%, (US0001M + 4.700%), 04/25/2028 | 6,037,165 | 0.1 |
2,047,050 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2015-HQ1 M3, 3.985%, (US0001M + 3.800%), 03/25/2025 | 2,084,278 | 0.0 |
12,889,640 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2016-DNA1 M3, 5.718%, (US0001M + 5.550%), 07/25/2028 | 13,583,452 | 0.2 |
6,866,239 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2016-HQA2 M3, 5.335%, (US0001M + 5.150%), 11/25/2028 | 7,239,765 | 0.1 |
750,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2016-HQA3 M3, 4.035%, (US0001M + 3.850%), 03/25/2029 | 777,909 | 0.0 |
8,824,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2017-DNA2 M2, 3.635%, (US0001M + 3.450%), 10/25/2029 | 9,032,433 | 0.1 |
8,930,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2017-DNA3 M2, 2.685%, (US0001M + 2.500%), 03/25/2030 | 9,056,461 | 0.1 |
11,264,425 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2017-HQA1 M2, 3.735%, (US0001M + 3.550%), 08/25/2029 | 11,546,791 | 0.1 |
11,611,347 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2017-HQA2 M2, 2.835%, (US0001M + 2.650%), 12/25/2029 | 11,603,863 | 0.1 |
10,410,168 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2017-HQA3 M2, 2.535%, (US0001M + 2.350%), 04/25/2030 | 10,467,532 | 0.1 |
8,083,995 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2018-DNA1 M2, 1.985%, (US0001M + 1.800%), 07/25/2030 | 7,978,127 | 0.1 |
1,442,702 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2018-HQA1 M2, 2.485%, (US0001M + 2.300%), 09/25/2030 | 1,434,771 | 0.0 |
9,354,622 | (1) | Freddie Mac Structured Agency Credit Risk Debt Notes 2019-DNA1 M2, 2.835%, (US0001M + 2.650%), 01/25/2049 | 9,300,301 | 0.1 |
8,508,068 | (1) | Freddie Mac Structured Agency Credit Risk Debt Notes 2019-HQA2 M2, 2.235%, (US0001M + 2.050%), 04/25/2049 | 8,396,517 | 0.1 |
4,500,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes, 3.171%, 06/25/2050 | 4,500,000 | 0.0 |
1,050,062 | (3) | Freddie Mac Structured Pass Through Certificates T-48 1A, 4.853%, 07/25/2033 | 1,177,782 | 0.0 |
12,762,835 | (6) | Freddie Mac REMICS 3346 SC, 6.365%, (-1.000*US0001M + 6.550%), 10/15/2033 | 2,811,379 | 0.0 |
123,320,995 | (6) | Freddie Mac REMICS 4585 AS, 5.915%, (-1.000*US0001M + 6.100%), 05/15/2046 | 26,311,065 | 0.3 |
34,924,367 | (6) | Freddie Mac REMICS 4611 BS, 5.915%, (-1.000*US0001M + 6.100%), 06/15/2041 | 7,483,139 | 0.1 |
10,026,564 | | Freddie Mac REMICS 4664 KZ, 3.500%, 02/15/2047 | 11,066,769 | 0.1 |
6,407,019 | | Freddie Mac REMICS 4682 HZ, 3.500%, 04/15/2047 | 7,073,772 | 0.1 |
21,880,211 | | Freddie Mac REMICS 4776 AZ, 4.000%, 07/15/2047 | 24,393,177 | 0.3 |
65,449,488 | (6) | Freddie Mac REMICS 4879 DS, 5.915%, (-1.000*US0001M + 6.100%), 08/15/2034 | 13,257,900 | 0.2 |
2,030,188 | | Freddie Mac REMICS 4941 CZ, 3.000%, 11/25/2049 | 2,158,464 | 0.0 |
12,938,445 | (1) | Freddie Mac STACR Trust 2019-DNA3 M2, 2.235%, (US0001M + 2.050%), 07/25/2049 | 12,758,854 | 0.2 |
6,153,320 | (1) | Freddie Mac Stacr Trust 2019-HQA1 M2, 2.535%, (US0001M + 2.350%), 02/25/2049 | 6,067,644 | 0.1 |
46,881,734 | (6) | Freddie Mac Strips 365 C23, 3.500%, 10/15/2047 | 6,108,005 | 0.1 |
3,614,719 | (1),(3) | Galton Funding Mortgage Trust 2017-2 A21, 4.000%, 06/25/2059 | 3,717,194 | 0.1 |
3,578,248 | (1),(3) | Galton Funding Mortgage Trust 2018-1 B1, 3.800%, 11/25/2057 | 3,650,442 | 0.1 |
3,911,625 | (1),(3) | Galton Funding Mortgage Trust 2018-2 B2, 4.750%, 10/25/2058 | 4,029,126 | 0.1 |
2,500,000 | (1),(3) | Galton Funding Mortgage Trust 2018-2 A51, 4.500%, 10/25/2058 | 2,649,538 | 0.0 |
1,927,075 | (6) | Ginnie Mae 2005-37 SI, 5.960%, (-1.000*US0001M + 6.150%), 05/20/2035 | 377,743 | 0.0 |
1,924,611 | (6) | Ginnie Mae 2007-23 ST, 6.010%, (-1.000*US0001M + 6.200%), 04/20/2037 | 322,026 | 0.0 |
2,174,402 | (6) | Ginnie Mae 2007-40 SE, 6.560%, (-1.000*US0001M + 6.750%), 07/20/2037 | 510,697 | 0.0 |
1,515,279 | (6) | Ginnie Mae 2007-7 EI, 6.010%, (-1.000*US0001M + 6.200%), 02/20/2037 | 322,804 | 0.0 |
5,210,615 | (6) | Ginnie Mae 2010-11 SA, 6.225%, (-1.000*US0001M + 6.420%), 01/16/2040 | 1,205,594 | 0.0 |
2,263,383 | (6) | Ginnie Mae 2010-14 SB, 6.610%, (-1.000*US0001M + 6.800%), 11/20/2035 | 508,846 | 0.0 |
1,800,187 | (6) | Ginnie Mae 2010-99 IT, 5.000%, 08/16/2040 | 311,751 | 0.0 |
871,665 | | Ginnie Mae 2013-69 KA, 1.250%, 08/20/2042 | 861,069 | 0.0 |
2,240,876 | | Ginnie Mae 2015-3 ZD, 4.000%, 01/20/2045 | 2,706,318 | 0.0 |
53,884,909 | (6) | Ginnie Mae 2018-167 CS, 5.910%, (-1.000*US0001M + 6.100%), 12/20/2048 | 7,801,597 | 0.1 |
593,623 | (6) | Ginnie Mae Series 2005-7 AH, 6.575%, (-1.000*US0001M + 6.770%), 02/16/2035 | 127,708 | 0.0 |
11,733,525 | (6) | Ginnie Mae Series 2007-41 SL, 6.510%, (-1.000*US0001M + 6.700%), 07/20/2037 | 2,871,093 | 0.0 |
1,284,462 | (6) | Ginnie Mae Series 2008-2 SW, 6.360%, (-1.000*US0001M + 6.550%), 01/20/2038 | 337,128 | 0.0 |
750,875 | (6) | Ginnie Mae Series 2008-35 SN, 6.210%, (-1.000*US0001M + 6.400%), 04/20/2038 | 131,609 | 0.0 |
415,753 | (6) | Ginnie Mae Series 2008-40 PS, 6.305%, (-1.000*US0001M + 6.500%), 05/16/2038 | 86,989 | 0.0 |
1,042,604 | (6) | Ginnie Mae Series 2009-25 KS, 6.010%, (-1.000*US0001M + 6.200%), 04/20/2039 | 231,647 | 0.0 |
818,175 | | Ginnie Mae Series 2009-29 PB, 4.750%, 05/20/2039 | 933,157 | 0.0 |
873,706 | | Ginnie Mae Series 2009-31 ZL, 4.500%, 05/20/2039 | 1,004,990 | 0.0 |
1,172,348 | (6) | Ginnie Mae Series 2009-33 SN, 6.110%, (-1.000*US0001M + 6.300%), 05/20/2039 | 35,227 | 0.0 |
12,265,301 | | Ginnie Mae Series 2009-33 ZB, 6.000%, 05/20/2039 | 13,817,827 | 0.2 |
1,793,337 | | Ginnie Mae Series 2009-34 Z, 4.500%, 05/16/2039 | 2,017,263 | 0.0 |
152,925 | (6) | Ginnie Mae Series 2009-43 HS, 6.010%, (-1.000*US0001M + 6.200%), 06/20/2038 | 4,264 | 0.0 |
2,427,213 | | Ginnie Mae Series 2009-98 DA, 3.250%, 07/16/2039 | 2,599,418 | 0.0 |
4,864,590 | | Ginnie Mae Series 2010-108 WL, 4.000%, 04/16/2040 | 5,367,279 | 0.1 |
1,967,923 | (6) | Ginnie Mae Series 2010-116 NS, 6.455%, (-1.000*US0001M + 6.650%), 09/16/2040 | 412,269 | 0.0 |
5,641,675 | (6) | Ginnie Mae Series 2010-116 SK, 6.430%, (-1.000*US0001M + 6.620%), 08/20/2040 | 1,276,310 | 0.0 |
8,171,299 | (6) | Ginnie Mae Series 2010-149 HS, 5.905%, (-1.000*US0001M + 6.100%), 05/16/2040 | 1,023,851 | 0.0 |
480,000 | | Ginnie Mae Series 2010-164 MD, 4.000%, 12/20/2040 | 552,605 | 0.0 |
1,775,087 | (6) | Ginnie Mae Series 2010-168 BI, 5.000%, 04/20/2040 | 414,135 | 0.0 |
1,606,983 | (6) | Ginnie Mae Series 2010-68 MS, 5.660%, (-1.000*US0001M + 5.850%), 06/20/2040 | 314,125 | 0.0 |
3,647,490 | | Ginnie Mae Series 2011-52 PA, 4.250%, 02/16/2041 | 3,984,223 | 0.1 |
4,342,018 | (6) | Ginnie Mae Series 2011-72 SA, 5.155%, (-1.000*US0001M + 5.350%), 05/16/2041 | 759,797 | 0.0 |
4,368,624 | (6) | Ginnie Mae Series 2011-73 LS, 6.500%, (-1.000*US0001M + 6.690%), 08/20/2039 | 352,286 | 0.0 |
62,993 | | Ginnie Mae Series 2012-43 MA, 4.000%, 10/20/2041 | 64,308 | 0.0 |
1,089,971 | (6) | Ginnie Mae Series 2012-91 QI, 4.500%, 09/20/2041 | 81,878 | 0.0 |
1,388,000 | | Ginnie Mae Series 2013-116 KB, 3.500%, 12/20/2042 | 1,513,969 | 0.0 |
7,994,102 | (6) | Ginnie Mae Series 2013-167 PI, 5.500%, 11/20/2043 | 1,430,946 | 0.0 |
605,900 | | Ginnie Mae Series 2013-27 KA, 2.250%, 02/20/2043 | 630,142 | 0.0 |
1,687,492 | (6) | Ginnie Mae Series 2014-10 GI, 4.500%, 01/16/2029 | 117,868 | 0.0 |
5,045,190 | (6) | Ginnie Mae Series 2014-185 SB, 5.410%, (-1.000*US0001M + 5.600%), 12/20/2044 | 991,295 | 0.0 |
4,758,809 | (6) | Ginnie Mae Series 2014-3 QS, 5.960%, (-1.000*US0001M + 6.150%), 03/20/2043 | 725,250 | 0.0 |
8,556,112 | (6) | Ginnie Mae Series 2014-3 SU, 5.860%, (-1.000*US0001M + 6.050%), 07/20/2039 | 1,844,506 | 0.0 |
6,824,995 | (6) | Ginnie Mae Series 2014-56 SP, 6.005%, (-1.000*US0001M + 6.200%), 12/16/2039 | 1,048,641 | 0.0 |
11,551,848 | (6) | Ginnie Mae Series 2014-58 SG, 5.405%, (-1.000*US0001M + 5.600%), 04/16/2044 | 2,029,436 | 0.0 |
38,756,371 | (6) | Ginnie Mae Series 2015-110 MS, 5.520%, (-1.000*US0001M + 5.710%), 08/20/2045 | 6,352,278 | 0.1 |
2,135,054 | | Ginnie Mae Series 2015-27 PB, 3.000%, 08/20/2044 | 2,280,097 | 0.0 |
27,737,125 | (6) | Ginnie Mae Series 2016-160 GS, 5.910%, (-1.000*US0001M + 6.100%), 11/20/2046 | 6,168,515 | 0.1 |
1,970,021 | | Ginnie Mae Series 2016-44 JA, 3.500%, 03/20/2046 | 2,130,875 | 0.0 |
302,390 | | Ginnie Mae Series 2018-104 HZ, 3.500%, 08/20/2048 | 337,123 | 0.0 |
3,397,187 | | Ginnie Mae Series 2018-120 DE, 3.500%, 09/20/2048 | 3,596,906 | 0.1 |
180,940 | | Ginnie Mae Series 2018-122 GZ, 3.500%, 09/20/2048 | 215,540 | 0.0 |
4,660,133 | | Ginnie Mae Series 2018-126 A, 3.500%, 09/20/2048 | 4,952,186 | 0.1 |
179,731 | | Ginnie Mae Series 2018-147 KZ, 3.750%, 10/20/2048 | 215,662 | 0.0 |
176,532 | | Ginnie Mae Series 2019-100 JB, 3.000%, 08/20/2049 | 188,370 | 0.0 |
532,322 | | Ginnie Mae Series 2019-100 KB, 3.000%, 08/20/2049 | 567,340 | 0.0 |
1,349,931 | | Ginnie Mae Series 2019-100 MC, 3.000%, 08/20/2049 | 1,430,111 | 0.0 |
1,081,376 | | Ginnie Mae Series 2019-23 NG, 3.500%, 02/20/2049 | 1,212,961 | 0.0 |
71,326 | | Ginnie Mae Series 2019-54 AB, 3.000%, 04/20/2049 | 77,471 | 0.0 |
798,785 | | Ginnie Mae Series 2019-78 MB, 3.000%, 06/20/2049 | 908,992 | 0.0 |
416,445 | | Ginnie Mae Series 2019-89 KB, 3.000%, 07/20/2049 | 470,920 | 0.0 |
299,424 | | Ginnie Mae Series 2019-89 WB, 3.000%, 07/20/2049 | 315,782 | 0.0 |
5,696,607 | (6) | Ginnie Mae Series 2013-111 SA, 6.510%, (-1.000*US0001M + 6.700%), 07/20/2043 | 1,215,370 | 0.0 |
32,275,414 | (6) | Ginnie Mae Series 2016-6 SB, 5.460%, (-1.000*US0001M + 5.650%), 01/20/2046 | 6,244,115 | 0.1 |
29,799,425 | (6) | Ginnie Mae Series 2017-163 SH, 6.010%, (-1.000*US0001M + 6.200%), 11/20/2047 | 6,330,810 | 0.1 |
41,712,913 | (6) | Ginnie Mae Series 2019-159 SM, 5.860%, (-1.000*US0001M + 6.050%), 12/20/2049 | 9,153,056 | 0.1 |
36,388,175 | (6) | Ginnie Mae Series 2020-32 SG, 5.910%, (-1.000*US0001M + 6.100%), 03/20/2050 | 8,933,876 | 0.1 |
99,556,786 | (6) | Ginnie Mae Series 2020-46 BS, 3.160%, (-1.000*US0001M + 3.350%), 04/20/2050 | 8,373,233 | 0.1 |
1,809,327 | (1),(3) | GS Mortage-Backed Securities Trust 2020-PJ1 A1, 3.500%, 05/01/2050 | 1,843,005 | 0.0 |
2,901,817 | (1),(3) | GS Mortage-Backed Securities Trust 2020-PJ1 A4, 3.500%, 05/01/2050 | 3,020,794 | 0.0 |
2,100,000 | (1),(3) | GS Mortage-Backed Securities Trust 2020-PJ1 A8, 3.500%, 05/01/2050 | 2,210,257 | 0.0 |
4,782,490 | (1),(3) | GS Mortgage-Backed Securities Corp. Trust 2019-PJ2 A1, 4.000%, 11/25/2049 | 4,928,493 | 0.1 |
2,950,114 | (1),(3) | GS Mortgage-Backed Securities Corp. Trust 2019-PJ2 B3, 4.497%, 11/25/2049 | 3,081,816 | 0.0 |
1,184,073 | (1),(3) | GS Mortgage-Backed Securities Corp. Trust 2019-PJ3 B1, 4.091%, 03/25/2050 | 1,267,299 | 0.0 |
6,887,355 | (1),(3) | GS Mortgage-Backed Securities Corp. Trust 2020-PJ2 A4, 3.500%, 07/25/2050 | 7,053,797 | 0.1 |
1,661,101 | (1),(3) | GS Mortgage-Backed Securities Corp. Trust 2020-PJ3 B2A, 3.468%, 10/25/2050 | 1,572,322 | 0.0 |
3,028 | | GSR Mortgage Loan Trust 2005-5F 8A1, 0.685%, (US0001M + 0.500%), 06/25/2035 | 2,830 | 0.0 |
208,654 | | GSR Mortgage Loan Trust 2007-1F 3A13, 6.000%, 01/25/2037 | 190,898 | 0.0 |
2,587,340 | | HarborView Mortgage Loan Trust 2007-5 A1A, 0.384%, (US0001M + 0.190%), 09/19/2037 | 2,342,481 | 0.0 |
133,653 | | HomeBanc Mortgage Trust 2004-1 2A, 1.045%, (US0001M + 0.860%), 08/25/2029 | 126,828 | 0.0 |
2,000,000 | | HomeBanc Mortgage Trust 2005-4 M1, 0.655%, (US0001M + 0.470%), 10/25/2035 | 1,932,737 | 0.0 |
1,783,406 | (1),(3) | Homeward Opportunities Fund I Trust 2019-2 A3, 3.007%, 09/25/2059 | 1,805,401 | 0.0 |
1,090,607 | | Impac CMB Trust Series 2005-1 M1, 0.875%, (US0001M + 0.690%), 04/25/2035 | 1,008,463 | 0.0 |
1,669,330 | | IndyMac INDX Mortgage Loan Trust 2006-AR2 1A1B, 0.395%, (US0001M + 0.210%), 04/25/2046 | 1,479,833 | 0.0 |
2,423,563 | | IndyMac INDX Mortgage Loan Trust 2006-AR2 2A1, 0.395%, (US0001M + 0.210%), 02/25/2046 | 1,928,653 | 0.0 |
1,808,332 | (1),(3) | JP Morgan Mortgage Trust 2019-INV1 B3, 5.109%, 10/25/2049 | 1,872,245 | 0.0 |
6,436,884 | (1),(3) | JP Morgan Mortgage Trust 2020-1 A15, 3.500%, 06/25/2050 | 6,633,897 | 0.1 |
2,300,000 | (1),(3) | JP Morgan Mortgage Trust 2020-1 A7, 3.500%, 06/25/2050 | 2,379,974 | 0.0 |
1,296,272 | (1),(3) | JP Morgan Mortgage Trust 2020-1 B1, 3.883%, 06/25/2050 | 1,354,071 | 0.0 |
1,828,686 | (1),(3) | JP Morgan Mortgage Trust 2020-2 A15, 3.500%, 07/25/2050 | 1,894,649 | 0.0 |
1,040,416 | (1),(3) | JP Morgan Mortgage Trust 2020-INV1 A3, 3.500%, 08/25/2050 | 1,086,186 | 0.0 |
748,032 | (1),(3) | J.P. Morgan Mortgage Trust 2019-2 A3, 4.000%, 08/25/2049 | 773,465 | 0.0 |
4,803,809 | (1),(3) | J.P. Morgan Mortgage Trust 2019-LTV1 A3, 4.000%, 06/25/2049 | 4,961,347 | 0.1 |
372,470 | | JP Morgan Alternative Loan Trust 2005-S1 1A1, 5.500%, 12/25/2035 | 254,260 | 0.0 |
2,472,598 | (3) | JP Morgan Mortgage Trust 2005-A4 B1, 3.330%, 07/25/2035 | 2,348,848 | 0.0 |
4,287,063 | (1),(3) | JP Morgan Mortgage Trust 2016-1 B3, 3.860%, 05/25/2046 | 4,376,015 | 0.1 |
1,098,238 | (1),(3) | JP Morgan Mortgage Trust 2017-1 B4, 3.520%, 01/25/2047 | 1,084,270 | 0.0 |
4,734,294 | (1),(3) | JP Morgan Mortgage Trust 2017-3 1A13, 3.500%, 08/25/2047 | 4,925,673 | 0.1 |
3,453,689 | (1),(3) | JP Morgan Mortgage Trust 2017-3 B1, 3.817%, 08/25/2047 | 3,575,621 | 0.1 |
1,973,404 | (1),(3) | JP Morgan Mortgage Trust 2017-3 B2, 3.817%, 08/25/2047 | 2,009,960 | 0.0 |
1,423,741 | (1),(3) | JP Morgan Mortgage Trust 2017-6 B3, 3.814%, 12/25/2048 | 1,445,509 | 0.0 |
949,161 | (1),(3) | JP Morgan Mortgage Trust 2017-6 B4, 3.814%, 12/25/2048 | 933,954 | 0.0 |
2,053,859 | (1),(3) | JP Morgan Mortgage Trust 2018-1 B1, 3.729%, 06/25/2048 | 2,071,486 | 0.0 |
1,977,017 | (1),(3) | JP Morgan Mortgage Trust 2018-1 B2, 3.729%, 06/25/2048 | 1,976,095 | 0.0 |
2,609,776 | (1),(3) | JP Morgan Mortgage Trust 2018-1 B3, 3.729%, 06/25/2048 | 2,595,147 | 0.0 |
2,524,328 | (1),(3) | JP Morgan Mortgage Trust 2018-3 B1, 3.754%, 09/25/2048 | 2,560,613 | 0.0 |
2,175,146 | (1),(3) | JP Morgan Mortgage Trust 2018-4 B2, 3.763%, 10/25/2048 | 2,167,322 | 0.0 |
1,733,518 | (1),(3) | JP Morgan Mortgage Trust 2018-6C B2, 3.937%, 12/25/2048 | 1,839,017 | 0.0 |
2,921,245 | (1),(3) | JP Morgan Mortgage Trust 2018-9 B3, 4.457%, 02/25/2049 | 3,033,127 | 0.0 |
1,854,515 | (1),(3) | JP Morgan Mortgage Trust 2019-1 A3, 4.000%, 05/25/2049 | 1,919,356 | 0.0 |
3,183,478 | (1),(3) | JP Morgan Mortgage Trust 2019-1 B1, 4.512%, 05/25/2049 | 3,365,788 | 0.1 |
2,489,650 | (1),(3) | JP Morgan Mortgage Trust 2019-6 A3, 3.500%, 12/25/2049 | 2,552,470 | 0.0 |
2,789,101 | (1),(3) | JP Morgan Mortgage Trust 2019-6 B1, 4.259%, 12/25/2049 | 2,985,591 | 0.0 |
4,210,725 | (1),(3) | JP Morgan Mortgage Trust 2019-6 B2, 4.259%, 12/25/2049 | 4,252,596 | 0.1 |
2,238,475 | (1),(3) | JP Morgan Mortgage Trust 2019-8 A15, 3.500%, 03/25/2050 | 2,330,108 | 0.0 |
3,649,164 | (1),(3) | JP Morgan Mortgage Trust 2019-LTV2 A18, 4.000%, 12/25/2049 | 3,752,103 | 0.1 |
3,588,347 | (1),(3) | JP Morgan Mortgage Trust 2019-LTV2 B3, 4.805%, 12/25/2049 | 3,574,479 | 0.1 |
797,315 | (1),(3) | JP Morgan Mortgage Trust 2020-3 B2, 3.901%, 08/25/2050 | 845,416 | 0.0 |
4,500,000 | (1),(3) | JP Morgan Mortgage Trust 2020-4 A15, 3.000%, 11/25/2050 | 4,610,742 | 0.1 |
6,000,000 | (1),(3) | JP Morgan Mortgage Trust 2020-LTV1 A5, 3.500%, 06/25/2050 | 6,214,930 | 0.1 |
7,617,817,917 | (1),(6) | L Street Securities 2017-PM1 XIO, 0.000%, 10/25/2048 | 4,537,934 | 0.1 |
15,356,760 | (6) | Lehman Mortgage Trust 2006-7 2A4, 6.366%, (-1.000*US0001M + 6.550%), 11/25/2036 | 5,072,640 | 0.1 |
10,774,063 | (6) | Lehman Mortgage Trust 2006-9 2A5, 6.436%, (-1.000*US0001M + 6.620%), 01/25/2037 | 938,794 | 0.0 |
1,506,045 | | Lehman XS Trust Series 2005-5N 1A2, 0.545%, (US0001M + 0.360%), 11/25/2035 | 1,239,913 | 0.0 |
4,682,526 | | Morgan Stanley Mortgage Loan Trust 2007-13 6A1, 6.000%, 10/25/2037 | 3,721,007 | 0.1 |
2,671,084 | (1),(3) | New Residential Mortgage Loan Trust 2017-3A B2, 4.750%, 04/25/2057 | 2,853,520 | 0.0 |
864,439 | (1),(3) | New Residential Mortgage Loan Trust 2017-6A B2, 4.000%, 08/27/2057 | 876,683 | 0.0 |
1,871,278 | (1),(3) | OBX 2019-EXP1 1A3 Trust, 4.000%, 01/25/2059 | 1,949,506 | 0.0 |
1,760,972 | (1),(3) | OBX 2019-EXP2 1A3 Trust, 4.000%, 07/25/2059 | 1,843,096 | 0.0 |
2,094,585 | (1),(3) | OBX 2019-INV2 A25 Trust, 4.000%, 05/27/2049 | 2,144,490 | 0.0 |
9,826,000 | | Opteum Mortgage Acceptance Corp. Asset Backed Pass-Through Certificates 2005-4 M2, 0.685%, (US0001M + 0.500%), 11/25/2035 | 8,835,434 | 0.1 |
131,901 | | Prime Mortgage Trust 2007-1 A4, 5.500%, 03/25/2037 | 120,254 | 0.0 |
893,732 | (1),(3) | PSMC 2020-1 A1 Trust, 3.500%, 01/25/2050 | 916,599 | 0.0 |
4,688,012 | (1),(3) | RCKT Mortgage Trust 2019-1 A13, 3.500%, 09/25/2049 | 4,879,673 | 0.1 |
1,937,569 | (1),(3) | RCKT Mortgage Trust 2020-1 A13, 3.000%, 02/25/2050 | 1,988,206 | 0.0 |
9,244,733 | | Seasoned Credit Risk Transfer Trust Series 2018-2 MV, 3.500%, 11/25/2057 | 10,565,625 | 0.1 |
1,653,978 | (1),(3) | Sequoia Mortgage Trust 2014-3 B3, 3.934%, 10/25/2044 | 1,672,242 | 0.0 |
1,675,474 | (1),(3) | Sequoia Mortgage Trust 2014-4 B3, 3.869%, 11/25/2044 | 1,687,912 | 0.0 |
1,754,250 | (1),(3) | Sequoia Mortgage Trust 2015-2 B3, 3.739%, 05/25/2045 | 1,781,849 | 0.0 |
1,569,157 | (1),(3) | Sequoia Mortgage Trust 2015-3 B3, 3.701%, 07/25/2045 | 1,570,458 | 0.0 |
3,300,000 | (1),(3) | Sequoia Mortgage Trust 2017-CH2 A13, 4.000%, 12/25/2047 | 3,468,516 | 0.1 |
1,394,845 | (1),(3) | Sequoia Mortgage Trust 2018-CH1 A19, 4.000%, 02/25/2048 | 1,431,927 | 0.0 |
2,587,335 | (1),(3) | Sequoia Mortgage Trust 2018-CH1 B2B, 4.469%, 02/25/2048 | 2,683,144 | 0.0 |
1,218,142 | (1),(3) | Sequoia Mortgage Trust 2019-1 A1, 4.000%, 02/25/2049 | 1,263,172 | 0.0 |
3,215,359 | (1),(3) | Sequoia Mortgage Trust 2019-3 A2, 3.500%, 09/25/2049 | 3,307,760 | 0.1 |
3,414,793 | (1),(3) | Sequoia Mortgage Trust 2019-4 A19, 3.500%, 11/25/2049 | 3,542,332 | 0.1 |
1,325,059 | (1),(3) | Sequoia Mortgage Trust 2019-5 A19, 3.500%, 12/25/2049 | 1,380,263 | 0.0 |
1,137,777 | (1),(3) | Sequoia Mortgage Trust 2019-CH1 A1, 4.500%, 03/25/2049 | 1,180,103 | 0.0 |
3,752,124 | (1),(3) | Sequoia Mortgage Trust 2019-CH2 A1, 4.500%, 08/25/2049 | 3,873,536 | 0.1 |
4,632,321 | (1),(3) | Sequoia Mortgage Trust 2020-1 A19, 3.500%, 02/25/2050 | 4,821,727 | 0.1 |
5,200,000 | (1),(3) | Sequoia Mortgage Trust 2020-1 A7, 3.500%, 02/25/2050 | 5,611,286 | 0.1 |
4,164,222 | (1),(3) | Sequoia Mortgage Trust 2020-2 A19, 3.500%, 03/25/2050 | 4,252,123 | 0.1 |
749,911 | (1),(3) | Sequoia Mortgage Trust 2017-5 B3, 3.839%, 08/25/2047 | 704,727 | 0.0 |
1,986,693 | (1),(3) | Sequoia Mortgage Trust 2020-2 B2, 3.674%, 03/25/2050 | 1,818,932 | 0.0 |
2,675,926 | (1),(3) | Sequoia Mortgage Trust 2020-3 B2, 3.427%, 04/25/2050 | 2,605,351 | 0.0 |
1,881,319 | (1),(3) | Shellpoint Co-Originator Trust 2017-2 B2, 3.705%, 10/25/2047 | 1,868,718 | 0.0 |
2,193,308 | (1),(3) | Starwood Mortgage Residential Trust 2019-1 A3, 3.299%, 06/25/2049 | 2,154,970 | 0.0 |
13,826 | (3) | Structured Adjustable Rate Mortgage Loan Trust 2004-12 7A3, 4.038%, 09/25/2034 | 13,792 | 0.0 |
2,426,764 | (1),(3) | TIAA Bank Mortgage Loan Trust 2018-2 B2, 3.807%, 07/25/2048 | 2,312,152 | 0.0 |
1,231,000 | (1),(3) | Verus Securitization Trust 2018-2 B1, 4.426%, 06/01/2058 | 1,226,679 | 0.0 |
2,321,556 | (1),(7) | Verus Securitization Trust 2019-3 A2, 2.938% (Step Rate @ 3.938% on 07/25/2023), 07/25/2059 | 2,313,238 | 0.0 |
880,097 | (1),(7) | Verus Securitization Trust 2019-4 A3, 3.000% (Step Rate @ 4.000% on 10/25/2023), 11/25/2059 | 898,820 | 0.0 |
2,490,201 | (1),(3) | Verus Securitization Trust 2019-INV2 A2, 3.117%, 07/25/2059 | 2,542,211 | 0.0 |
1,700,000 | (1),(3) | Verus Securitization Trust 2020-INV1 A1, 1.977%, 04/25/2060 | 1,698,496 | 0.0 |
1,000,000 | (1),(3) | Verus Securitization Trust 2020-INV1 A2, 3.035%, 04/25/2060 | 1,006,816 | 0.0 |
867,357 | (3) | Wachovia Mortgage Loan LLC Series 2005-B 2A1, 4.219%, 10/20/2035 | 825,825 | 0.0 |
352,203 | (3) | WaMu Mortgage Pass Through Certificates Series 2006-AR12 2A3, 3.219%, 10/25/2036 | 327,231 | 0.0 |
4,465,741 | (3) | WaMu Mortgage Pass-Through Certificates Series 2004-AR4 A6 Trust, 2.939%, 06/25/2034 | 4,285,382 | 0.1 |
2,478,571 | | WaMu Mortgage Pass-Through Certificates Series 2005-AR11 A1C3, 0.695%, (US0001M + 0.510%), 08/25/2045 | 2,505,552 | 0.0 |
74,588,197 | (3),(6) | WaMu Mortgage Pass-Through Certificates Series 2005-AR11 X, 2.443%, 08/25/2045 | 3,582,210 | 0.1 |
1,951,714 | | WaMu Mortgage Pass-Through Certificates Series 2005-AR13 A1C3, 0.675%, (US0001M + 0.490%), 10/25/2045 | 1,844,902 | 0.0 |
381,164 | (3) | WaMu Mortgage Pass-Through Certificates Series 2006-AR12 1A1, 3.711%, 10/25/2036 | 361,151 | 0.0 |
849,356 | (3) | WaMu Mortgage Pass-Through Certificates Series 2006-AR14 1A4, 3.266%, 11/25/2036 | 786,367 | 0.0 |
1,071,621 | (3) | WaMu Mortgage Pass-Through Certificates Series 2006-AR16 2A1, 3.332%, 12/25/2036 | 975,600 | 0.0 |
2,477,473 | (3) | WaMu Mortgage Pass-Through Certificates Series 2006-AR16 2A3, 3.332%, 12/25/2036 | 2,255,483 | 0.0 |
1,614,630 | (3) | WaMu Mortgage Pass-Through Certificates Series 2006-AR16 3A1, 3.526%, 12/25/2036 | 1,463,357 | 0.0 |
1,319,546 | (3) | WaMu Mortgage Pass-Through Certificates Series 2006-AR8 1A4, 3.913%, 08/25/2046 | 1,218,911 | 0.0 |
1,905,364 | (3) | WaMu Mortgage Pass-Through Certificates Series 2007-HY2 1A1, 3.515%, 12/25/2036 | 1,844,558 | 0.0 |
489,246 | (3) | WaMu Mortgage Pass-Through Certificates Series 2007-HY3 1A1, 3.224%, 03/25/2037 | 434,439 | 0.0 |
1,224,257 | (3) | WaMu Mortgage Pass-Through Certificates Series 2007-HY4 1A1, 3.185%, 04/25/2037 | 1,068,659 | 0.0 |
1,566,864 | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-10 2A3, 1.085%, (US0001M + 0.900%), 11/25/2035 | 1,301,167 | 0.0 |
1,581,238 | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-11 A1, 5.750%, 01/25/2036 | 1,469,291 | 0.0 |
997,821 | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-5 CB3, 5.500%, 07/25/2035 | 975,975 | 0.0 |
445,609 | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-8 1A2, 5.500%, 10/25/2035 | 443,189 | 0.0 |
4,385,616 | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR6 2A, 2.464%, (12MTA + 0.960%), 08/25/2046 | 2,895,362 | 0.0 |
722,635 | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OC1 A3, 0.415%, (US0001M + 0.230%), 01/25/2047 | 651,532 | 0.0 |
1,497,081 | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OC1 A4, 0.505%, (US0001M + 0.320%), 01/25/2047 | 1,349,454 | 0.0 |
884,945 | | Wells Fargo Alternative Loan 2007-PA2 2A1, 0.615%, (US0001M + 0.430%), 06/25/2037 | 698,925 | 0.0 |
1,054,908 | | Wells Fargo Alternative Loan 2007-PA3 3A1, 6.250%, 07/25/2037 | 1,033,430 | 0.0 |
318,100 | (3) | Wells Fargo Mortgage Backed Securities 2006-AR4 2A4, 4.018%, 04/25/2036 | 299,269 | 0.0 |
2,014,027 | (1),(3) | Wells Fargo Mortgage Backed Securities 2019-4 B3 Trust, 3.581%, 09/25/2049 | 1,735,985 | 0.0 |
3,000,000 | (1),(3) | Wells Fargo Mortgage Backed Securities 2020-2 A17 Trust, 3.000%, 12/25/2049 | 3,083,212 | 0.0 |
3,000,000 | (1),(3) | Wells Fargo Mortgage Backed Securities 2020-2 A5 Trust, 3.000%, 12/25/2049 | 3,166,197 | 0.0 |
3,000,000 | (1),(3) | Wells Fargo Mortgage Backed Securities 2020-2 B1 Trust, 3.311%, 12/25/2049 | 3,003,300 | 0.0 |
3,171,296 | (1),(3) | Wells Fargo Mortgage Backed Securities 2020-1 A17 Trust, 3.000%, 12/25/2049 | 3,201,676 | 0.0 |
1,787,420 | (1),(3) | WinWater Mortgage Loan Trust 2015-5 B4, 3.777%, 08/20/2045 | 1,795,016 | 0.0 |
| | | | |
| Total Collateralized Mortgage Obligations | | |
| (Cost $1,856,313,419) | 1,957,127,377 | 21.7 |
| | | |
U.S. GOVERNMENT AGENCY OBLIGATIONS: 14.1% | |
| | Federal Home Loan Mortgage Corporation: 4.4%(8) |
606,365 | | 2.500%,05/01/2030 | 644,237 | 0.0 |
903,580 | | 2.500%,05/01/2030 | 958,284 | 0.0 |
1,122,480 | | 2.500%,06/01/2030 | 1,194,030 | 0.0 |
3,401 | | 2.670%, (US0012M + 1.773%),05/01/2037 | 3,576 | 0.0 |
1,537,577 | | 3.000%,11/01/2042 | 1,648,613 | 0.0 |
1,568,247 | | 3.000%,02/01/2043 | 1,681,574 | 0.0 |
1,972,018 | | 3.000%,03/01/2045 | 2,109,009 | 0.0 |
1,902,039 | | 3.000%,03/01/2045 | 2,057,060 | 0.0 |
4,655,455 | | 3.000%,04/01/2045 | 4,978,862 | 0.1 |
4,827,766 | | 3.000%,04/01/2045 | 5,221,267 | 0.1 |
2,098,980 | | 3.000%,10/01/2046 | 2,277,246 | 0.0 |
19,704,638 | | 3.000%,10/01/2046 | 20,942,949 | 0.2 |
7,849,534 | | 3.000%,03/01/2048 | 8,391,718 | 0.1 |
6,757,545 | | 3.000%,03/01/2048 | 7,179,260 | 0.1 |
24,987,836 | | 3.000%,08/01/2048 | 26,500,010 | 0.3 |
7,796,903 | | 3.500%,01/01/2045 | 8,426,341 | 0.1 |
2,495,699 | | 3.500%,03/01/2045 | 2,714,957 | 0.0 |
10,577,679 | | 3.500%,12/01/2046 | 11,572,672 | 0.1 |
21,452,481 | | 3.500%,12/01/2046 | 23,084,671 | 0.3 |
8,567,054 | | 3.500%,04/01/2047 | 9,453,325 | 0.1 |
12,239,883 | | 3.500%,07/01/2047 | 12,901,753 | 0.2 |
10,524,016 | | 3.500%,10/01/2047 | 11,102,036 | 0.1 |
31,776,838 | | 3.500%,01/01/2048 | 33,892,810 | 0.4 |
3,766,540 | | 3.500%,03/01/2048 | 4,047,078 | 0.1 |
56,121,535 | | 3.500%,03/01/2048 | 61,351,905 | 0.7 |
37,769,970 | | 3.500%,11/01/2048 | 41,290,144 | 0.5 |
938,069 | | 4.000%,10/01/2041 | 1,024,536 | 0.0 |
1,550,806 | | 4.000%,12/01/2041 | 1,701,757 | 0.0 |
2,447,722 | | 4.000%,08/01/2044 | 2,649,411 | 0.0 |
1,213,311 | | 4.000%,07/01/2045 | 1,311,905 | 0.0 |
2,334,076 | | 4.000%,09/01/2045 | 2,527,687 | 0.0 |
4,265,413 | | 4.000%,09/01/2045 | 4,619,218 | 0.1 |
2,477,516 | | 4.000%,09/01/2045 | 2,664,169 | 0.0 |
26,899,919 | | 4.000%,11/01/2045 | 29,131,323 | 0.3 |
3,251,329 | | 4.000%,05/01/2046 | 3,511,532 | 0.1 |
2,949,178 | | 4.000%,05/01/2047 | 3,154,330 | 0.0 |
15,095,793 | | 4.000%,11/01/2047 | 16,052,934 | 0.2 |
804,184 | | 4.000%,03/01/2048 | 854,202 | 0.0 |
8,368,440 | | 4.000%,06/01/2048 | 9,272,473 | 0.1 |
675,690 | | 4.500%,08/01/2041 | 741,907 | 0.0 |
1,275,304 | | 4.500%,09/01/2041 | 1,419,704 | 0.0 |
1,068,310 | | 4.500%,10/01/2041 | 1,189,638 | 0.0 |
1,601,820 | | 4.500%,03/01/2044 | 1,784,398 | 0.0 |
5,659,141 | | 4.500%,02/01/2048 | 6,100,693 | 0.1 |
1,515,808 | | 4.500%,06/01/2048 | 1,631,516 | 0.0 |
102,969 | | 5.000%,01/01/2041 | 118,411 | 0.0 |
961,105 | | 5.000%,04/01/2041 | 1,104,740 | 0.0 |
27,647 | | 5.500%,07/01/2037 | 31,766 | 0.0 |
1,478,742 | | 5.500%,11/01/2038 | 1,699,729 | 0.0 |
1,258 | | 6.000%,12/01/2028 | 1,401 | 0.0 |
15,096 | | 6.000%,01/01/2029 | 16,785 | 0.0 |
3,524 | | 6.500%,01/01/2024 | 3,923 | 0.0 |
4,438 | | 6.500%,12/01/2031 | 5,056 | 0.0 |
450,937 | | 6.500%,09/01/2034 | 517,144 | 0.0 |
5,805 | | 5.000%,06/01/2035 | 6,665 | 0.0 |
58,008 | | 5.000%,07/01/2035 | 66,601 | 0.0 |
354,641 | | 5.000%,08/01/2035 | 406,804 | 0.0 |
20,402 | | 5.000%,10/01/2035 | 23,102 | 0.0 |
500,541 | | 5.000%,10/01/2035 | 574,788 | 0.0 |
278,242 | | 5.000%,02/01/2036 | 319,642 | 0.0 |
4,096 | | 5.000%,03/01/2036 | 4,707 | 0.0 |
51,831 | | 5.000%,03/01/2036 | 59,553 | 0.0 |
8,555 | | 5.000%,05/01/2036 | 9,829 | 0.0 |
5,435 | | 5.000%,06/01/2036 | 6,246 | 0.0 |
214,922 | | 5.000%,07/01/2036 | 246,715 | 0.0 |
148,953 | | 5.000%,11/01/2040 | 167,961 | 0.0 |
59,573 | | 5.000%,05/01/2041 | 68,520 | 0.0 |
263,750 | | 5.000%,06/01/2041 | 303,362 | 0.0 |
386,687 | | 5.000%,06/01/2041 | 439,241 | 0.0 |
139,368 | | 5.500%,03/01/2037 | 160,337 | 0.0 |
140,970 | | 5.500%,06/01/2039 | 162,024 | 0.0 |
1,378,058 | | 5.500%,10/01/2039 | 1,582,310 | 0.0 |
42,453 | | 6.000%,09/01/2036 | 47,229 | 0.0 |
310 | | 6.500%,02/01/2028 | 345 | 0.0 |
556 | | 6.500%,09/01/2031 | 619 | 0.0 |
145 | | 6.500%,09/01/2031 | 162 | 0.0 |
15,792 | | 6.500%,11/01/2031 | 18,430 | 0.0 |
7,376 | | 6.500%,04/01/2032 | 8,398 | 0.0 |
1,313 | | 6.500%,08/01/2032 | 1,514 | 0.0 |
4,245 | | 6.500%,08/01/2032 | 4,829 | 0.0 |
6,383 | | 7.000%,12/01/2027 | 6,504 | 0.0 |
887 | | 7.000%,10/01/2031 | 909 | 0.0 |
2,919 | | 7.000%,03/01/2032 | 3,408 | 0.0 |
1,094 | | 7.500%,09/01/2030 | 1,288 | 0.0 |
3,500 | | 7.500%,09/01/2031 | 4,244 | 0.0 |
14,351 | | 7.500%,02/01/2032 | 16,814 | 0.0 |
| | | 655,085,015 | 7.3 |
| | | | |
| Total U.S. Government Agency Obligations | | |
| (Cost $1,216,021,512) | 1,277,221,517 | 14.1 |
| | | |
U.S. TREASURY OBLIGATIONS: 4.2% | |
| | U.S. Treasury Bonds: 2.3% |
92,615,000 | (2) | 0.625%,05/15/2030 | 92,347,285 | 1.0 |
78,471,000 | | 1.125%,05/15/2040 | 77,752,193 | 0.9 |
34,536,000 | | 2.000%,02/15/2050 | 39,542,371 | 0.4 |
| | | 209,641,849 | 2.3 |
| | | | |
| | U.S. Treasury Notes: 1.9% |
66,227,000 | (2) | 0.125%,06/30/2022 | 66,193,369 | 0.7 |
53,274,000 | (2) | 0.250%,06/15/2023 | 53,390,537 | 0.6 |
20,443,000 | | 0.250%,06/30/2025 | 20,405,069 | 0.2 |
33,005,000 | | 0.500%,06/30/2027 | 33,029,496 | 0.4 |
| | | 173,018,471 | 1.9 |
| | | | |
| Total U.S. Treasury Obligations | | |
| (Cost $381,146,352) | 382,660,320 | 4.2 |
| | | |
ASSET-BACKED SECURITIES: 13.2% | |
| | Automobile Asset-Backed Securities: 1.6% |
8,246,000 | | Americredit Automobile Receivables Trust 2018-1 C, 3.500%, 01/18/2024 | 8,583,435 | 0.1 |
5,950,000 | | Americredit Automobile Receivables Trust 2018-2 D, 4.010%, 07/18/2024 | 6,194,735 | 0.1 |
8,440,000 | | Americredit Automobile Receivables Trust 2019-1 D, 3.620%, 03/18/2025 | 8,666,065 | 0.1 |
5,750,000 | | AmeriCredit Automobile Receivables Trust 2019-3 C, 2.320%, 07/18/2025 | 5,870,544 | 0.1 |
5,050,000 | | AmeriCredit Automobile Receivables Trust 2019-3 D, 2.580%, 09/18/2025 | 5,024,023 | 0.1 |
8,300,000 | | AmeriCredit Automobile Receivables Trust 2020-1 D, 1.800%, 12/18/2025 | 8,036,741 | 0.1 |
750,000 | | CarMax Auto Owner Trust 2017-4 D, 3.300%, 05/15/2024 | 760,138 | 0.0 |
1,500,000 | | Carmax Auto Owner Trust 2018-4 D, 4.150%, 04/15/2025 | 1,530,509 | 0.0 |
21,081,000 | | CarMax Auto Owner Trust 2020-2 A4, 2.050%, 05/15/2025 | 21,992,302 | 0.2 |
600,000 | | GM Financial Automobile Leasing Trust 2018-1 B, 2.870%, 12/20/2021 | 602,159 | 0.0 |
6,150,000 | (1) | Oscar US Funding XI LLC 2019-2A A4, 2.680%, 09/10/2026 | 6,298,111 | 0.1 |
500,000 | | Santander Drive Auto Receivables Trust 2018-1 D, 3.320%, 03/15/2024 | 512,496 | 0.0 |
9,100,000 | | Santander Drive Auto Receivables Trust 2018-4 D, 3.980%, 12/15/2025 | 9,348,850 | 0.1 |
2,850,000 | | Santander Drive Auto Receivables Trust 2019-3 C, 2.490%, 10/15/2025 | 2,881,997 | 0.0 |
7,550,000 | | Santander Drive Auto Receivables Trust 2019-3 D, 2.680%, 10/15/2025 | 7,543,317 | 0.1 |
9,600,000 | | Santander Drive Auto Receivables Trust 2020-1 B, 3.030%, 11/15/2024 | 9,924,637 | 0.1 |
9,850,000 | (1) | Santander Retail Auto Lease Trust 2019-C A4, 1.930%, 11/20/2023 | 10,058,944 | 0.1 |
7,207,729 | (1) | Santander Consumer Auto Receivables Trust 2020-AA A, 1.370%, 10/15/2024 | 7,252,440 | 0.1 |
4,150,000 | (1) | Tesla Auto Lease Trust 2018-B C, 4.360%, 10/20/2021 | 4,233,389 | 0.0 |
18,750,000 | (1) | Toyota Auto Loan Extended Note Trust 2020-1A A, 1.350%, 05/25/2033 | 19,064,059 | 0.2 |
| | | 144,378,891 | 1.6 |
| | | | |
| | Credit Card Asset-Backed Securities: 0.0% |
600,000 | | Synchrony Credit Card Master Note Trust 2017-2 C, 3.010%, 10/15/2025 | 622,701 | 0.0 |
| | | | |
| | Home Equity Asset-Backed Securities: 0.2% |
3,433,674 | (1),(3) | ACE Securities Corp. Mortgage Loan Trust Series 2007-D1 A2, 6.336%, 02/25/2038 | 3,252,843 | 0.0 |
6,726,790 | | Freddie Mac Structured Pass Through Certificates T-31 A7, 0.418%, (US0001M + 0.250%), 05/25/2031 | 6,693,351 | 0.1 |
5,855,403 | (3) | GSAA Home Equity Trust 2006-4 4A3, 3.716%, 03/25/2036 | 4,488,848 | 0.1 |
3,629,762 | (3) | GSAA Trust 2006-7 AF2, 5.995%, 03/25/2046 | 2,086,085 | 0.0 |
261,537 | (3) | HSI Asset Loan Obligation Trust 2007-WF1 A6, 4.864%, 12/25/2036 | 208,185 | 0.0 |
858,292 | | Nomura Home Equity Loan, Inc. Home Equity Loan Trust Series 2007-1 2A3, 0.505%, (US0001M + 0.160%), 02/25/2037 | 757,875 | 0.0 |
1,044,407 | | Nomura Home Equity Loan, Inc. Home Equity Loan Trust Series 2007-1 2A4A, 0.645%, (US0001M + 0.230%), 02/25/2037 | 916,278 | 0.0 |
2,785,128 | (3) | Renaissance Home Equity Loan Trust 2005-3 AF4, 5.140%, 11/25/2035 | 2,931,880 | 0.0 |
| | | 21,335,345 | 0.2 |
| | | | |
| | Other Asset-Backed Securities: 9.4% |
2,767,575 | (1) | Ajax Mortgage Loan Trust 2018-A A, 3.850%, 04/25/2058 | 2,541,339 | 0.0 |
10,000,000 | (1) | Allegany Park CLO Ltd. 2019-1A A, 3.164%, (US0003M + 1.330%), 01/20/2033 | 9,801,620 | 0.1 |
1,071,622 | (1),(3),(4),(6) | American Homes 4 Rent 2015-SFR1 XS, 3.230%, 04/17/2052 | – | – |
10,000,000 | (1) | AMMC CLO 15 Ltd. 2014-15A ARR, 2.479%, (US0003M + 1.260%), 01/15/2032 | 9,735,550 | 0.1 |
3,900,000 | (1) | Apidos CLO XII 2013-12A AR, 2.299%, (US0003M + 1.080%), 04/15/2031 | 3,808,884 | 0.0 |
500,000 | (1) | Apidos CLO XII 2013-12A CR, 3.019%, (US0003M + 1.800%), 04/15/2031 | 475,547 | 0.0 |
20,000,000 | (1) | Apidos CLO XXXII 2019-32A A1, 3.003%, (US0003M + 1.320%), 01/20/2033 | 19,628,020 | 0.2 |
11,400,000 | (1) | Apidos CLO XXXIII 2020-33A A, 2.000%, (US0003M + 1.700%), 07/24/2031 | 11,399,875 | 0.1 |
4,450,000 | (1) | Applebee's Funding LLC / IHOP Funding LLC 2019-1A A2I, 4.194%, 06/07/2049 | 3,949,731 | 0.0 |
2,050,000 | (1) | Applebee's Funding LLC / IHOP Funding LLC 2019-1A A2II, 4.723%, 06/07/2049 | 1,766,362 | 0.0 |
4,209,473 | (1) | Aqua Finance Trust 2019-A A, 3.140%, 07/16/2040 | 4,205,645 | 0.1 |
10,000,000 | (1) | ARES XLVI CLO Ltd. 2017-46A A2, 2.449%, (US0003M + 1.230%), 01/15/2030 | 9,609,820 | 0.1 |
3,890,000 | (1) | Babson CLO Ltd. 2017-1A A2, 2.485%, (US0003M + 1.350%), 07/18/2029 | 3,757,417 | 0.0 |
6,361,000 | (1) | Babson CLO Ltd. 2018-3A A2, 2.435%, (US0003M + 1.300%), 07/20/2029 | 6,139,624 | 0.1 |
1,650,000 | (1) | Bain Capital Credit CLO 2017-1A A2, 2.485%, (US0003M + 1.350%), 07/20/2030 | 1,604,468 | 0.0 |
3,750,000 | (1) | Barings Clo Ltd. 2019-4A C, 4.405%, (US0003M + 2.800%), 01/15/2033 | 3,706,215 | 0.0 |
7,500,000 | (1) | Beechwood Park CLO Ltd. 2019-1A A1, 3.233%, (US0003M + 1.330%), 01/17/2033 | 7,363,537 | 0.1 |
8,770,000 | (1) | Benefit Street Partners CLO II Ltd. 2013-IIA A1R, 2.469%, (US0003M + 1.250%), 07/15/2029 | 8,654,973 | 0.1 |
15,250,000 | (1) | Benefit Street Partners CLO VIII Ltd. 2015-8A A1BR, 2.335%, (US0003M + 1.200%), 01/20/2031 | 14,715,731 | 0.2 |
5,000,000 | (1) | Benefit Street Partners CLO XIV Ltd. 2018-14A A2, 2.285%, (US0003M + 1.150%), 04/20/2031 | 4,728,000 | 0.1 |
17,350,000 | (1) | Benefit Street Partners CLO XIX Ltd. 2019-19A A, 3.228%, (US0003M + 1.350%), 01/15/2033 | 16,966,235 | 0.2 |
2,500,000 | (1) | Benefit Street Partners Clo XII Ltd. 2017-12A A1, 2.469%, (US0003M + 1.250%), 10/15/2030 | 2,443,100 | 0.0 |
4,070,000 | (1) | BlueMountain CLO 2015-1A BR, 3.811%, (US0003M + 2.500%), 04/13/2027 | 4,034,469 | 0.1 |
7,570,000 | (1) | Broad River BSL Funding CLO 2020-1A A, 2.061%, (US0003M + 1.850%), 04/20/2029 | 7,560,871 | 0.1 |
10,000,000 | (1) | Carbone CLO Ltd. 2017-1A A1, 2.275%, (US0003M + 1.140%), 01/20/2031 | 9,747,760 | 0.1 |
689,945 | (1) | Carlyle Global Market Strategies CLO 2014-2RA A1 Ltd., 1.442%, (US0003M + 1.050%), 05/15/2031 | 671,214 | 0.0 |
3,250,000 | (1) | Carlyle Global Market Strategies CLO Ltd. 2014-1A A2R2, 2.265%, (US0003M + 1.130%), 04/17/2031 | 3,078,173 | 0.0 |
3,530,000 | (1) | Cedar Funding VIII Clo Ltd. 2017-8A A1, 2.385%, (US0003M + 1.250%), 10/17/2030 | 3,466,453 | 0.0 |
37,149 | | Chase Funding Trust Series 2003-5 2A2, 0.785%, (US0001M + 0.600%), 07/25/2033 | 34,340 | 0.0 |
4,050,000 | (1) | CIFC Funding 2013-2A A1LR, 2.345%, (US0003M + 1.210%), 10/18/2030 | 3,989,218 | 0.1 |
2,150,000 | (1) | CIFC Funding 2017-2A C, 3.485%, (US0003M + 2.350%), 04/20/2030 | 2,077,278 | 0.0 |
7,400,000 | (1) | CIFC Funding 2017-4 A1, 2.270%, (US0003M + 1.250%), 10/24/2030 | 7,261,960 | 0.1 |
3,000,000 | (1) | CIFC Funding 2017-5A A1, 2.315%, (US0003M + 1.180%), 11/16/2030 | 2,955,249 | 0.0 |
11,380,000 | (1) | CIFC Funding 2019-6A A1 Ltd., 2.506%, (US0003M + 1.330%), 01/16/2033 | 11,175,592 | 0.1 |
3,000,000 | (1) | CIFC Funding 2019-6A A2 Ltd., 2.926%, (US0003M + 1.750%), 01/16/2033 | 2,993,781 | 0.0 |
3,700,000 | | CNH Equipment Trust 2020-A A4, 1.510%, 04/15/2027 | 3,767,777 | 0.0 |
4,675,000 | (1) | Cole Park CLO Ltd. 2015-1A CR, 3.135%, (US0003M + 2.000%), 10/20/2028 | 4,575,591 | 0.1 |
7,425,000 | | Countrywide Asset-Backed Certificates 2005-AB2 M1, 0.890%, (US0001M + 0.705%), 09/25/2035 | 6,987,232 | 0.1 |
9,499,718 | | Credit-Based Asset Servicing & Securitization LLC 2006-CB8 A2C, 0.335%, (US0001M + 0.150%), 10/25/2036 | 8,314,339 | 0.1 |
4,714,375 | (1) | DB Master Finance LLC 2019-1A A23, 4.352%, 05/20/2049 | 5,122,258 | 0.1 |
2,431,625 | (1) | DB Master Finance LLC 2019-1A A2II, 4.021%, 05/20/2049 | 2,572,484 | 0.0 |
4,200,000 | (1) | Deer Creek Clo Ltd. 2017-1A A, 2.315%, (US0003M + 1.180%), 10/20/2030 | 4,111,678 | 0.1 |
7,000,000 | (1) | Dewolf Park Clo Ltd. 2017-1A A, 2.429%, (US0003M + 1.210%), 10/15/2030 | 6,868,309 | 0.1 |
633,750 | (1) | Domino's Pizza Master Issuer LLC 2017-1A A2II, 3.082%, 07/25/2047 | 650,592 | 0.0 |
6,815,750 | (1) | Domino's Pizza Master Issuer LLC 2019-1A A2, 3.668%, 10/25/2049 | 7,148,631 | 0.1 |
2,603,625 | (1) | Domino's Pizza Master Issuer LLC 2018-1A A211, 4.328%, 07/25/2048 | 2,842,426 | 0.0 |
5,776,875 | (1) | Driven Brands Funding LLC 2019-1A A2, 4.641%, 04/20/2049 | 6,119,039 | 0.1 |
2,303,000 | (1) | Driven Brands Funding, LLC 2018-1A A2, 4.739%, 04/20/2048 | 2,447,344 | 0.0 |
6,660,000 | (1) | Dryden Senior Loan Fund 2017-47A A2, 2.569%, (US0003M + 1.350%), 04/15/2028 | 6,443,990 | 0.1 |
5,565,000 | (1) | Dryden XXVIII Senior Loan Fund 2013-28A A1LR, 1.592%, (US0003M + 1.200%), 08/15/2030 | 5,477,630 | 0.1 |
7,000,000 | (1) | Dryden 78 CLO Ltd. 2020-78A A, 2.447%, (US0003M + 1.180%), 04/17/2033 | 6,802,187 | 0.1 |
8,000,000 | (1) | Eaton Vance Clo 2015-1A A2R Ltd., 2.385%, (US0003M + 1.250%), 01/20/2030 | 7,771,232 | 0.1 |
4,228,050 | (1) | Five Guys Holdings, Inc. 2017-1A A2, 4.600%, 07/25/2047 | 4,265,652 | 0.1 |
4,250,000 | (1) | Galaxy XIX CLO Ltd. 2015-19A A1R, 2.240%, (US0003M + 1.220%), 07/24/2030 | 4,171,405 | 0.1 |
2,500,000 | (1) | Galaxy XV CLO Ltd. 2013-15A AR, 2.419%, (US0003M + 1.200%), 10/15/2030 | 2,445,240 | 0.0 |
11,150,000 | (1) | Galaxy XXI CLO Ltd. 2015-21A AR, 2.155%, (US0003M + 1.020%), 04/20/2031 | 10,802,577 | 0.1 |
2,300,000 | (1) | Gilbert Park CLO Ltd. 2017-1A A, 2.409%, (US0003M + 1.190%), 10/15/2030 | 2,259,865 | 0.0 |
7,000,000 | (1) | Goldentree Loan Management US Clo 2 Ltd. 2017-2A A, 2.285%, (US0003M + 1.150%), 11/28/2030 | 6,854,176 | 0.1 |
4,727,499 | (1) | Helios Issuer, LLC 2018-1A A, 4.870%, 07/20/2048 | 4,727,092 | 0.1 |
1,331,827 | (1) | HERO Funding Trust 2015-2A A, 3.990%, 09/20/2040 | 1,389,607 | 0.0 |
1,260,351 | (1) | HERO Funding Trust 2016-2A A, 3.750%, 09/20/2041 | 1,315,350 | 0.0 |
3,146,882 | (1) | HERO Funding Trust 2016-4A A2, 4.290%, 09/20/2047 | 3,359,367 | 0.0 |
1,250,000 | (1) | Home Partners of America 2018-1 E Trust, 2.044%, (US0001M + 1.850%), 07/17/2037 | 1,180,476 | 0.0 |
24,491,140 | (1) | Invitation Homes 2017-SFR2 A Trust, 1.044%, (US0001M + 0.850%), 12/17/2036 | 24,189,784 | 0.3 |
7,750,000 | (1) | Jay Park CLO Ltd. 2016-1A BR, 3.135%, (US0003M + 2.000%), 10/20/2027 | 7,526,699 | 0.1 |
7,300,000 | (1) | Jersey Mike's Funding 2019-1A A2, 4.433%, 02/15/2050 | 7,194,004 | 0.1 |
4,242,430 | (1) | JG Wentworth XLII LLC 2018-2A A, 3.960%, 10/15/2075 | 4,716,348 | 0.1 |
3,057,869 | (1) | JGWPT XXXIII LLC 2014-3A A, 3.500%, 06/15/2077 | 3,292,683 | 0.0 |
10,050,000 | (1) | Kayne CLO 6 Ltd. 2019-6A A1, 3.131%, (US0003M + 1.380%), 01/20/2033 | 9,893,160 | 0.1 |
6,000,000 | (1) | Kayne CLO 6 Ltd. 2019-6A A2, 3.601%, (US0003M + 1.850%), 01/20/2033 | 5,963,712 | 0.1 |
4,250,000 | (1) | Kayne CLO 7 Ltd. 2020-7A A1, 2.607%, (US0003M + 1.200%), 04/17/2033 | 4,143,504 | 0.1 |
6,000,000 | (1),(9) | KKR CLO 21 A Ltd., 2.219%, (US0003M + 1.000%), 04/15/2031 | 5,796,330 | 0.1 |
6,000,000 | (1) | LCM 26A A2 Ltd., 2.385%, (US0003M + 1.250%), 01/20/2031 | 5,751,702 | 0.1 |
11,237,000 | (1) | LCM XIV L.P. 14A AR, 2.175%, (US0003M + 1.040%), 07/20/2031 | 10,878,315 | 0.1 |
5,000,000 | (1) | LCM XVIII L.P. 18A A2R, 2.355%, (US0003M + 1.220%), 04/20/2031 | 4,774,410 | 0.1 |
3,600,000 | (1) | Madison Park Funding XXI Ltd. 2016-21A BR, 4.069%, (US0003M + 2.850%), 10/15/2032 | 3,526,265 | 0.0 |
5,400,000 | (1) | Madison Park Funding XV Ltd. 2014-15A B1R, 3.191%, (US0003M + 2.200%), 01/27/2026 | 5,384,237 | 0.1 |
1,400,000 | (1) | Madison Park Funding XXVII Ltd. 2018-27A B, 2.935%, (US0003M + 1.800%), 04/20/2030 | 1,323,060 | 0.0 |
13,050,000 | (1) | Magnetite CLO Ltd. 2020-26A A, 1.949%, (US0003M + 1.750%), 07/15/2030 | 13,056,682 | 0.2 |
13,150,000 | (1) | Magnetite XXII Ltd. 2019-22A A2, 2.869%, (US0003M + 1.650%), 04/15/2031 | 12,959,233 | 0.1 |
3,324,654 | (1) | Marlette Funding Trust 2018-1A C, 3.690%, 03/15/2028 | 3,314,010 | 0.0 |
3,488,000 | (1) | Marlette Funding Trust 2018-4A C, 4.910%, 12/15/2028 | 3,488,172 | 0.0 |
500,000 | (1) | Marlette Funding Trust 2019-2 A2A, 3.530%, 07/16/2029 | 508,949 | 0.0 |
4,200,000 | (1) | Marlette Funding Trust 2019-2A C, 4.110%, 07/16/2029 | 3,676,960 | 0.0 |
1,100,000 | (1),(3) | Mill City Mortgage Loan Trust 2017-1 M2, 3.250%, 11/25/2058 | 1,174,010 | 0.0 |
3,200,000 | (1),(3) | Mill City Mortgage Loan Trust 2017-2 M2, 3.250%, 07/25/2059 | 3,397,923 | 0.0 |
2,482,000 | (1),(3) | Mill City Mortgage Trust 2015-2 B2, 3.751%, 09/25/2057 | 2,407,979 | 0.0 |
1,170,664 | (1) | Mill City Solar Loan 2019-1A A Ltd., 4.340%, 03/20/2043 | 1,224,050 | 0.0 |
6,041,273 | (1) | Mill City Solar Loan 2019-2GS A Ltd., 3.690%, 07/20/2043 | 6,110,041 | 0.1 |
4,626,216 | (1) | Mosaic Solar Loan Trust 2018-1A A, 4.010%, 06/22/2043 | 4,689,942 | 0.1 |
7,582,345 | (1) | Mosaic Solar Loan Trust 2018-2-GS A, 4.200%, 02/22/2044 | 7,853,447 | 0.1 |
1,937,383 | (1) | Mosaic Solar Loan Trust 2018-2-GS B, 4.740%, 02/22/2044 | 1,947,235 | 0.0 |
5,974,366 | (1) | Mosaic Solar Loan Trust 2019-2A A, 2.880%, 09/20/2040 | 5,947,764 | 0.1 |
2,862,812 | (1) | Mosaic Solar Loans 2017-2A A LLC, 3.820%, 06/22/2043 | 2,955,347 | 0.0 |
8,000,000 | (1) | Mosaic Solar Loan Trust 2020-1A B, 3.100%, 04/20/2046 | 8,070,000 | 0.1 |
3,250,000 | (1) | Neuberger Berman Loan Advisers CLO 33 Ltd. 2019-33A C, 3.626%, (US0003M + 2.450%), 10/16/2032 | 3,174,516 | 0.0 |
12,250,000 | (1) | Neuberger Berman Loan Advisers CLO 35 Ltd. 2019-35A A1, 3.243%, (US0003M + 1.340%), 01/19/2033 | 12,021,709 | 0.1 |
16,650,000 | (1) | Oaktree CLO 2020-1A A Ltd., 2.345%, (US0003M + 2.000%), 07/15/2029 | 16,677,539 | 0.2 |
2,500,000 | (1) | OCP CLO 2015-8 Ltd. 2015-8A BR, 2.985%, (US0003M + 1.850%), 04/17/2027 | 2,451,570 | 0.0 |
5,000,000 | (1) | OCP CLO 2017-13A A1A Ltd., 2.479%, (US0003M + 1.260%), 07/15/2030 | 4,925,020 | 0.1 |
11,000,000 | (1) | OCP CLO 2020-18A A Ltd., 2.053%, (US0003M + 1.800%), 04/20/2030 | 11,021,747 | 0.1 |
12,050,000 | (1) | OCP CLO 2020-19 A A1 Ltd., 2.070%, (US0003M + 1.750%), 07/20/2031 | 12,048,470 | 0.1 |
9,470,000 | (1) | Octagon Investment Partners 30 Ltd. 2017-1A A1, 2.455%, (US0003M + 1.320%), 03/17/2030 | 9,300,856 | 0.1 |
3,000,000 | (1) | Octagon Investment Partners Ltd. 2017-1A A2, 2.569%, (US0003M + 1.350%), 07/15/2029 | 2,901,126 | 0.0 |
5,520,000 | (1) | Octagon Investment Partners XIV Ltd. 2012-1A A1BR, 2.594%, (US0003M + 1.375%), 07/15/2029 | 5,345,430 | 0.1 |
4,060,000 | (1) | Octagon Investment Partners XV Ltd. 2013-1A A2R, 2.485%, (US0003M + 1.350%), 07/19/2030 | 3,929,723 | 0.0 |
21,243,110 | (1) | Octagon Loan Funding Ltd. 2014-1A ARR, 1.566%, (US0003M + 1.180%), 11/18/2031 | 20,700,880 | 0.2 |
17,700,000 | (1) | OHA Loan Funding 2015-1A A1R2 Ltd., 1.732%, (US0003M + 1.340%), 11/15/2032 | 17,282,315 | 0.2 |
3,550,000 | (1) | Palmer Square CLO 2014-1A A1R2 Ltd., 2.265%, (US0003M + 1.130%), 01/17/2031 | 3,491,603 | 0.0 |
6,600,000 | (1) | Palmer Square CLO 2015-2A A1R2 Ltd., 2.235%, (US0003M + 1.100%), 07/20/2030 | 6,466,634 | 0.1 |
10,000,000 | (1) | Palmer Square CLO 2018-1A A1 Ltd., 2.165%, (US0003M + 1.030%), 04/18/2031 | 9,783,860 | 0.1 |
6,700,000 | (1) | Palmer Square Loan Funding 2018-1A B Ltd., 2.619%, (US0003M + 1.400%), 04/15/2026 | 6,505,901 | 0.1 |
4,000,000 | (1) | Palmer Square Loan Funding 2018-1A C Ltd., 3.069%, (US0003M + 1.850%), 04/15/2026 | 3,787,012 | 0.0 |
1,000,000 | (1),(9) | Palmer Square Loan Funding 2018-2A C Ltd., 3.169%, (US0003M + 1.950%), 07/15/2026 | 944,583 | 0.0 |
6,091,500 | (1) | Planet Fitness Master Issuer LLC 2018-1A A2I, 4.262%, 09/05/2048 | 6,149,095 | 0.1 |
547,067 | (3) | Popular ABS Mortgage Pass-Through Trust 2005-D A5, 3.681%, 01/25/2036 | 553,312 | 0.0 |
5,024,775 | (1) | Primose Funding LLC 2019-1A A2, 4.475%, 07/30/2049 | 5,082,863 | 0.1 |
2,000,000 | (1),(3) | Sofi Consumer Loan Program 2016-4 C LLC, 5.920%, 11/25/2025 | 1,955,833 | 0.0 |
5,101,000 | (1) | SoFi Consumer Loan Program 2017-3 B, 3.850%, 05/25/2026 | 5,131,787 | 0.1 |
1,585,000 | (1) | Sofi Consumer Loan Program 2017-6 B LLC, 3.520%, 11/25/2026 | 1,589,360 | 0.0 |
7,000,000 | (1) | Sofi Consumer Loan Program 2018-1 C Trust, 3.970%, 02/25/2027 | 6,411,591 | 0.1 |
7,190,000 | (1) | Sofi Consumer Loan Program 2018-2 B Trust, 3.790%, 04/26/2027 | 7,413,103 | 0.1 |
3,700,000 | (1) | Sofi Consumer Loan Program 2018-2 C Trust, 4.250%, 04/26/2027 | 3,474,916 | 0.0 |
9,950,000 | (1) | Sofi Consumer Loan Program 2018-3 C Trust, 4.670%, 08/25/2027 | 8,739,319 | 0.1 |
3,450,000 | (1) | SoFi Consumer Loan Program 2018-4 B Trust, 3.960%, 11/26/2027 | 3,486,216 | 0.0 |
2,000,000 | (1) | SoFi Consumer Loan Program 2019-2 C Trust, 3.460%, 04/25/2028 | 2,007,086 | 0.0 |
2,000,000 | (1) | SoFi Consumer Loan Program 2019-2 D Trust, 4.200%, 04/25/2028 | 1,772,732 | 0.0 |
4,100,000 | (1) | SoFi Consumer Loan Program 2019-4 C Trust, 2.840%, 08/25/2028 | 3,947,631 | 0.0 |
1,300,000 | (1) | SoFi Consumer Loan Program 2019-4 D Trust, 3.480%, 08/25/2028 | 1,070,280 | 0.0 |
344,458 | (1) | Sonic Capital LLC 2018-1A A2, 4.026%, 02/20/2048 | 366,472 | 0.0 |
7,275,667 | (1) | Sonic Capital LLC 2020-1A A2I, 3.845%, 01/20/2050 | 7,668,819 | 0.1 |
22,060,000 | (1) | Sound Point CLO XXV Ltd. 2019-4A A1A, 3.231%, (US0003M + 1.400%), 01/15/2033 | 21,259,619 | 0.2 |
4,805,062 | (1) | Sunrun Athena Issuer 2018-1 A LLC, 5.310%, 04/30/2049 | 4,560,845 | 0.1 |
4,729,670 | (1) | Sunrun Xanadu Issuer 2019-1A A LLC, 3.980%, 06/30/2054 | 4,646,209 | 0.1 |
6,057,750 | (1) | Taco Bell Funding LLC 2018-1A A2II, 4.940%, 11/25/2048 | 6,573,502 | 0.1 |
7,200,000 | (1) | TES LLC 2017-1A B, 7.740%, 10/20/2047 | 6,406,124 | 0.1 |
6,914,151 | (1) | THL Credit Wind River 2013-2A AR CLO Ltd., 2.365%, (US0003M + 1.230%), 10/18/2030 | 6,775,370 | 0.1 |
12,250,000 | (1) | THL Credit Wind River 2016-2A A1R CLO Ltd., 1.877%, (US0003M + 1.190%), 11/01/2031 | 11,920,561 | 0.1 |
7,080,000 | (1) | THL Credit Wind River 2017-2A A CLO Ltd., 2.365%, (US0003M + 1.230%), 07/20/2030 | 6,944,765 | 0.1 |
7,500,000 | (1) | Tiaa Clo III Ltd. 2017-2A A, 2.326%, (US0003M + 1.150%), 01/16/2031 | 7,219,313 | 0.1 |
1,400,000 | (1),(3) | Towd Point Mortgage Trust 2015-2 1B1, 3.745%, 11/25/2060 | 1,468,241 | 0.0 |
2,640,000 | (1),(3) | Towd Point Mortgage Trust 2015-2 2B2, 4.477%, 11/25/2057 | 2,807,370 | 0.0 |
4,346,000 | (1),(3) | Towd Point Mortgage Trust 2016-2 M1, 3.000%, 08/25/2055 | 4,464,460 | 0.1 |
3,200,000 | (1),(3) | Towd Point Mortgage Trust 2017-1 M1, 3.750%, 10/25/2056 | 3,437,091 | 0.0 |
2,200,000 | (1),(3) | Towd Point Mortgage Trust 2017-3 M1, 3.500%, 07/25/2057 | 2,302,935 | 0.0 |
3,000,000 | (1) | Trafigura Securitisation Finance PLC 2018-1A B, 4.290%, 03/15/2022 | 3,004,305 | 0.0 |
7,250,000 | (1) | Venture XX CLO Ltd. 2015-20A CR, 3.119%, (US0003M + 1.900%), 04/15/2027 | 6,870,912 | 0.1 |
1,950,000 | (1) | Wendys Funding LLC 2018-1A A2I, 3.573%, 03/15/2048 | 2,023,515 | 0.0 |
3,597,750 | (1) | Wendy's Funding LLC 2018-1A A2II, 3.884%, 03/15/2048 | 3,804,297 | 0.0 |
| | | 850,047,897 | 9.4 |
| | | | |
| | Student Loan Asset-Backed Securities: 2.0% |
711,230 | (1) | Commonbond Student Loan Trust 2016-B, 4.000%, 10/25/2040 | 734,260 | 0.0 |
187,604 | (1) | Commonbond Student Loan Trust 2018-A-GS C, 3.820%, 02/25/2044 | 189,874 | 0.0 |
2,027,336 | (1) | Commonbond Student Loan Trust 2017-BGS B, 3.260%, 09/25/2042 | 2,078,465 | 0.0 |
3,006,013 | (1) | Commonbond Student Loan Trust 2018-AGS A1, 3.210%, 02/25/2044 | 3,092,705 | 0.0 |
6,679,489 | (1) | Commonbond Student Loan Trust 2018-CGS A2, 0.985%, (US0001M + 0.800%), 02/25/2046 | 6,573,452 | 0.1 |
10,500,000 | (1) | Commonbond Student Loan Trust 2020-AGS A, 1.980%, 08/25/2050 | 10,609,547 | 0.1 |
255,319 | (1) | Earnest Student Loan Program, LLC 2016-A B, 2.500%, 01/25/2039 | 254,228 | 0.0 |
299,740 | (1),(3) | Earnest Student Loan Program, LLC 2016-B B, 4.810%, 09/25/2036 | 297,881 | 0.0 |
226,637 | (1) | Earnest Student Loan Program, LLC 2016-C B, 4.460%, 01/26/2037 | 230,689 | 0.0 |
452,715 | (1) | Laurel Road Prime Student Loan Trust 2017-B A4, 3.020%, 08/25/2042 | 452,873 | 0.0 |
10,697,000 | (1) | Navient Private Education Refi Loan Trust 2019-A A2A, 3.420%, 01/15/2043 | 10,967,224 | 0.1 |
9,150,000 | (1) | Navient Private Education Refi Loan Trust 2020-DA A, 1.690%, 05/15/2069 | 9,193,596 | 0.1 |
2,700,000 | (1) | SMB Private Education Loan Trust 2014-A C, 4.500%, 09/15/2045 | 2,357,798 | 0.0 |
1,450,000 | (1) | SMB Private Education Loan Trust 2017-A B, 3.500%, 06/17/2041 | 1,442,678 | 0.0 |
22,200,000 | (1) | SMB Private Education Loan Trust 2020-PTA A2A, 1.600%, 09/15/2054 | 21,934,772 | 0.3 |
4,100,000 | (1),(3) | SoFi Professional Loan Program 2016-E C, 4.430%, 10/25/2041 | 4,299,961 | 0.1 |
3,000,000 | (1),(3) | SoFi Professional Loan Program 2017-C B, 3.560%, 07/25/2040 | 2,906,977 | 0.0 |
3,900,000 | (1) | SoFi Professional Loan Program 2017-F BFX LLC, 3.620%, 01/25/2041 | 4,075,398 | 0.1 |
3,250,000 | (1) | Sofi Professional Loan Program 2018-A B LLC, 3.610%, 02/25/2042 | 3,257,277 | 0.0 |
8,000,000 | (1) | Sofi Professional Loan Program 2018-B BFX Trust, 3.830%, 08/25/2047 | 7,815,354 | 0.1 |
13,529,000 | (1) | Sofi Professional Loan Program 2018-C A2FX Trust, 3.590%, 01/25/2048 | 14,139,750 | 0.2 |
5,800,000 | (1) | Sofi Professional Loan Program 2018-C BFX Trust, 4.130%, 01/25/2048 | 5,975,571 | 0.1 |
6,000,000 | (1) | Sofi Professional Loan Program 2018-D BFX Trust, 4.140%, 02/25/2048 | 6,338,921 | 0.1 |
3,000,000 | (1) | Sofi Professional Loan Program 2019-B BFX LLC, 3.730%, 08/17/2048 | 3,061,965 | 0.0 |
6,633,000 | (1) | Sofi Professional Loan Program 2018-D A2FX Trust, 3.600%, 02/25/2048 | 7,027,916 | 0.1 |
20,812,000 | (1) | Sofi Professional Loan Program 2019-C A2FX LLC, 2.370%, 11/16/2048 | 21,272,220 | 0.2 |
24,500,000 | (1) | SoFi Professional Loan Program 2020-C AFX Trust, 1.950%, 02/15/2046 | 24,890,616 | 0.3 |
| | | 175,471,968 | 2.0 |
| | | | |
| Total Asset-Backed Securities | | |
| (Cost $1,198,866,619) | 1,191,856,802 | 13.2 |
| | | |
COMMERCIAL MORTGAGE-BACKED SECURITIES: 7.6% | |
10,647,000 | (1),(3) | BAMLL Re-REMIC Trust 2016-FRR16 B, 0.993%, 05/27/2021 | 10,316,102 | 0.1 |
35,288,849 | (3),(6) | BANK 2017-BNK4 XA, 1.573%, 05/15/2050 | 2,391,638 | 0.0 |
167,655,000 | (3),(6) | BANK 2017-BNK8 XB, 0.222%, 11/15/2050 | 2,035,013 | 0.0 |
204,198,450 | (3),(6) | BANK 2018-BNK14 XA, 0.669%, 09/15/2060 | 6,455,999 | 0.1 |
19,110,000 | (1),(3),(6) | BANK 2018-BNK14 XD, 1.752%, 09/15/2060 | 2,135,539 | 0.0 |
24,662,389 | (3),(6) | BANK 2019-BNK16 XA, 1.125%, 02/15/2052 | 1,569,707 | 0.0 |
5,210,000 | (1) | BANK 2019-BNK18 D, 3.000%, 05/15/2062 | 4,037,018 | 0.1 |
6,580,000 | (3) | Bank 2019-BNK19 C, 4.169%, 08/15/2061 | 5,979,499 | 0.1 |
100,590,135 | (3),(6) | Bank 2019-BNK19 XA, 1.097%, 08/15/2061 | 6,979,225 | 0.1 |
92,840,000 | (1),(3),(6) | BBCCRE Trust 2015-GTP XA, 0.749%, 08/10/2033 | 2,677,710 | 0.0 |
2,620,000 | (1),(3) | BENCHMARK 2018-B3 D Mortgage Trust, 3.208%, 04/10/2051 | 1,779,976 | 0.0 |
54,413,838 | (3),(6) | Benchmark 2019-B12 XA Mortgage Trust, 1.205%, 08/15/2052 | 3,568,753 | 0.0 |
7,470,000 | (1) | Benchmark 2019-B9 D Mortgage Trust, 3.000%, 03/15/2052 | 5,690,272 | 0.1 |
36,616,766 | (3),(6) | Benchmark 2019-B9 XA Mortgage Trust, 1.212%, 03/15/2052 | 2,626,451 | 0.0 |
6,420,000 | (1) | Benchmark 2020-B17 D Mortgage Trust, 2.250%, 03/15/2053 | 4,464,664 | 0.1 |
92,716,973 | (3),(6) | Benchmark 2020-B17 XA Mortgage Trust, 1.542%, 03/15/2053 | 8,885,123 | 0.1 |
3,860,000 | (1) | BHP Trust 2019-BXHP D, 1.956%, (US0001M + 1.771%), 08/15/2036 | 3,382,801 | 0.0 |
3,940,000 | (1) | BHP Trust 2019-BXHP E, 2.752%, (US0001M + 2.568%), 08/15/2036 | 3,277,517 | 0.0 |
8,025,365 | (1) | BX Commercial Mortgage Trust 2019-XL A, 1.105%, (US0001M + 0.920%), 10/15/2036 | 7,998,752 | 0.1 |
24,572,902 | (1) | BX Commercial Mortgage Trust 2019-XL G, 2.485%, (US0001M + 2.300%), 10/15/2036 | 23,703,186 | 0.3 |
14,051,076 | (1) | BX Commercial Mortgage Trust 2019-XL J, 2.835%, (US0001M + 2.650%), 10/15/2036 | 13,335,875 | 0.2 |
9,449,000 | (1) | BX Commercial Mortgage Trust 2020-BXLP G, 2.685%, (US0001M + 2.500%), 12/15/2029 | 9,025,546 | 0.1 |
5,150,000 | (1) | BX Trust 2019-MMP E, 2.085%, (US0001M + 1.900%), 08/15/2036 | 4,813,797 | 0.1 |
6,000,000 | (1) | BX Trust 2019-OC11 A, 3.202%, 12/09/2041 | 6,297,820 | 0.1 |
6,300,000 | (1),(3) | BX Trust 2019-OC11 E, 4.076%, 12/09/2041 | 5,673,321 | 0.1 |
7,290,000 | | Cantor Commercial Real Estate Lending 2019-CF2 A5, 2.874%, 11/15/2052 | 7,587,404 | 0.1 |
3,340,000 | (3) | CCUBS Commercial Mortgage Trust 2017-C1 C, 4.539%, 11/15/2050 | 2,961,193 | 0.0 |
93,423,461 | (3),(6) | CCUBS Commercial Mortgage Trust 2017-C1 XA, 1.157%, 11/15/2050 | 4,649,714 | 0.1 |
24,743,691 | (3),(6) | CD 2016-CD1 Mortgage Trust XA, 1.532%, 08/10/2049 | 1,470,072 | 0.0 |
45,113,000 | (1),(3),(6) | CD 2016-CD1 Mortgage Trust XB, 0.811%, 08/10/2049 | 1,723,262 | 0.0 |
33,638,038 | (3),(6) | CD 2017-CD4 Mortgage Trust XA, 1.457%, 05/10/2050 | 2,062,557 | 0.0 |
4,280,000 | (3) | CD 2017-CD6 Mortgage Trust C, 4.409%, 11/13/2050 | 3,977,687 | 0.0 |
7,453,264 | (1),(3) | CFCRE Commercial Mortgage Trust 2011-C1 E, 6.292%, 04/15/2044 | 6,806,705 | 0.1 |
4,139,000 | (3) | Citigroup Commercial Mortgage Trust 2013-GC17 C, 5.261%, 11/10/2046 | 4,010,061 | 0.1 |
3,910,000 | (1),(3) | Citigroup Commercial Mortgage Trust 2014-GC19, 5.261%, 03/10/2047 | 3,385,196 | 0.0 |
7,745,000 | (1) | Citigroup Commercial Mortgage Trust 2016-C2 E, 4.594%, 08/10/2049 | 4,584,256 | 0.1 |
40,637,628 | (3),(6) | Citigroup Commercial Mortgage Trust 2016-P4 XA, 2.127%, 07/10/2049 | 3,350,390 | 0.0 |
82,380,764 | (3),(6) | Citigroup Commercial Mortgage Trust 2017-C4 XA, 1.251%, 10/12/2050 | 4,355,660 | 0.1 |
3,940,000 | (3) | Citigroup Commercial Mortgage Trust 2017-P8 C, 4.410%, 09/15/2050 | 3,530,689 | 0.0 |
40,139,896 | (3),(6) | Citigroup Commercial Mortgage Trust 2017-P8 XA, 1.054%, 09/15/2050 | 2,010,941 | 0.0 |
88,710,842 | (3),(6) | Citigroup Commercial Mortgage Trust 2018-C5 XA, 0.755%, 06/10/2051 | 3,878,465 | 0.0 |
7,480,000 | | Citigroup Commercial Mortgage Trust 2019-GC43 A4, 3.038%, 11/10/2052 | 8,343,003 | 0.1 |
28,183,126 | (3),(6) | COMM 2012-CR2 XA, 1.790%, 08/15/2045 | 704,429 | 0.0 |
30,900,589 | (3),(6) | COMM 2012-CR4 XA, 1.846%, 10/15/2045 | 1,034,351 | 0.0 |
27,260,000 | (1),(3),(6) | COMM 2012-CR4 XB, 0.766%, 10/15/2045 | 376,251 | 0.0 |
47,890,602 | (1),(3),(6) | COMM 2012-LC4 XA, 2.284%, 12/10/2044 | 1,147,272 | 0.0 |
4,640,000 | (1),(3) | COMM 2013-CR10 E Mortgage Trust, 4.949%, 08/10/2046 | 3,910,421 | 0.0 |
9,645,000 | (1),(3) | COMM 2013-CR10 F Mortgage Trust, 4.949%, 08/10/2046 | 7,776,141 | 0.1 |
3,310,000 | (3) | COMM 2015-CCRE26 D Mortgage Trust, 3.630%, 10/10/2048 | 2,353,814 | 0.0 |
128,741,496 | (1),(3),(6) | COMM 2015-PC1 XA, 0.794%, 07/10/2050 | 2,756,137 | 0.0 |
920,000 | (3) | COMM 2016-COR1 C, 4.529%, 10/10/2049 | 829,282 | 0.0 |
68,536,260 | (3),(6) | COMM 2016-CR28 XA, 0.775%, 02/10/2049 | 1,849,328 | 0.0 |
36,076,145 | (3),(6) | COMM 2017-COR2 XA, 1.321%, 09/10/2050 | 2,359,430 | 0.0 |
12,420,000 | | COMM 2018-COR3 A3 Mortgage Trust, 4.228%, 05/10/2051 | 14,601,628 | 0.2 |
8,261,000 | (1),(3) | COMM 2020-CBM F Mortgage Trust, 3.754%, 11/13/2039 | 6,624,763 | 0.1 |
15,420,000 | (1) | Credit Suisse Mortgage Capital Certificates 2019-ICE4 F, 2.835%, (US0001M + 2.650%), 05/15/2036 | 14,647,736 | 0.2 |
5,421,000 | (3) | Csail 2015-C2 C Commercial Mortgage Trust, 4.330%, 06/15/2057 | 3,221,834 | 0.0 |
4,340,000 | (1),(3) | CSAIL 2017-CX10 D Commercial Mortgage Trust, 4.248%, 11/15/2050 | 3,446,306 | 0.0 |
19,066,000 | (3) | CSAIL 2018-CX11 A5 Commercial Mortgage Trust, 4.033%, 04/15/2051 | 21,891,108 | 0.2 |
5,848,000 | (1) | CSWF 2018-TOP E, 2.435%, (US0001M + 2.250%), 08/15/2035 | 5,246,250 | 0.1 |
5,528,000 | (1) | CSWF 2018-TOP F, 2.935%, (US0001M + 2.750%), 08/15/2035 | 4,823,189 | 0.1 |
4,460,000 | (1),(3) | DBJPM 16-C3 Mortgage Trust, 3.632%, 08/10/2049 | 3,200,719 | 0.0 |
5,000,000 | (1),(3) | DBUBS 2011-LC2 E Mortgage Trust, 5.714%, 07/10/2044 | 3,856,914 | 0.0 |
12,519,000 | (1) | DBUBS 2011-LC2A F Mortgage Trust, 3.823%, (US0001M + 3.650%), 07/10/2044 | 8,838,432 | 0.1 |
4,480,000 | (1) | Exantas Capital Corp. 2019-RSO7 C Ltd., 2.244%, (US0001M + 2.050%), 04/15/2036 | 3,919,628 | 0.0 |
4,500,000 | (1),(3) | Fontainebleau Miami Beach Trust 2019-FBLU F, 4.095%, 12/10/2036 | 3,728,740 | 0.0 |
2,700,625 | (3),(6) | Freddie Mac Multifamily Structured Pass Through Certificates K008 X3, 5.442%, 08/25/2020 | 17,211 | 0.0 |
77,599,012 | (3),(6) | Freddie Mac Multifamily Structured Pass Through Certificates K013 X3, 2.910%, 01/25/2043 | 902,399 | 0.0 |
42,047,111 | (3),(6) | Freddie Mac Multifamily Structured Pass Through Certificates K020 X3, 1.937%, 05/25/2040 | 1,390,658 | 0.0 |
31,879,545 | (3),(6) | Freddie Mac Multifamily Structured Pass Through Certificates K029 X3, 1.647%, 05/25/2041 | 1,329,906 | 0.0 |
68,923,280 | (3),(6) | Freddie Mac Multifamily Structured Pass Through Certificates K109 X1, 1.700%, 04/25/2030 | 8,738,858 | 0.1 |
11,750,602 | (1) | FREMF 2017-KGL1 BFL Mortgage Trust, 2.683%, (US0001M + 2.500%), 10/25/2027 | 11,381,756 | 0.1 |
186,629,572 | (1),(6) | FREMF Mortgage Trust 2012-K17 X2A, 0.100%, 12/25/2044 | 194,487 | 0.0 |
223,355,545 | (3),(6) | Freddie Mac Multifamily Structured Pass Through Certificates KHG2 X, 0.406%, 02/25/2030 | 5,552,753 | 0.1 |
4,580,000 | (1) | GS Mortgage Securities Corp. II 2018-RIVR E, 1.735%, (US0001M + 1.550%), 07/15/2035 | 4,101,126 | 0.1 |
4,400,000 | (1) | GS Mortgage Securities Corp. II 2018-RIVR F, 2.285%, (US0001M + 2.100%), 07/15/2035 | 3,784,444 | 0.0 |
12,770,000 | (1) | GS Mortgage Securities Corp. Trust 2019-70P E, 2.385%, (US0001M + 2.200%), 10/15/2036 | 11,896,195 | 0.1 |
5,110,000 | (1) | GS Mortgage Securities Corp. Trust 2019-70P F, 2.835%, (US0001M + 2.650%), 10/15/2036 | 4,241,283 | 0.1 |
8,190,000 | (1),(3) | GS Mortgage Securities Trust 2010-C2 E, 4.548%, 12/10/2043 | 7,866,634 | 0.1 |
3,710,000 | (1),(3) | GS Mortgage Securities Trust 2010-C2 F, 4.548%, 12/10/2043 | 3,530,650 | 0.0 |
5,340,000 | (1),(3) | GS Mortgage Securities Trust 2010-C2 G, 4.548%, 12/10/2043 | 5,172,555 | 0.1 |
6,140,000 | (1) | GS Mortgage Securities Trust 2013-GC16 G, 3.500%, 11/10/2046 | 4,418,757 | 0.1 |
46,688,896 | (3),(6) | GS Mortgage Securities Trust 2013-GC16 XA, 1.206%, 11/10/2046 | 1,330,507 | 0.0 |
65,005,332 | (3),(6) | GS Mortgage Securities Trust 2014-GC22 XA, 1.139%, 06/10/2047 | 1,594,386 | 0.0 |
81,606,045 | (3),(6) | GS Mortgage Securities Trust 2016-GS4 XA, 0.683%, 11/10/2049 | 1,894,297 | 0.0 |
69,836,494 | (3),(6) | GS Mortgage Securities Trust 2017-GS6 XA, 1.185%, 05/10/2050 | 3,995,080 | 0.0 |
6,310,000 | | GS Mortgage Securities Trust 2019-GC38 A4, 3.968%, 02/10/2052 | 7,356,878 | 0.1 |
78,337,867 | (3),(6) | GS Mortgage Securities Trust 2019-GC38 XA, 1.124%, 02/10/2052 | 5,121,424 | 0.1 |
13,220,000 | (1),(3) | GS Mortgage Securities Trust 2019-GC40 DBD, 3.668%, 07/10/2052 | 12,342,548 | 0.1 |
10,120,000 | (1),(3) | GS Mortgage Securities Trust 2019-GC40 DBE, 3.668%, 07/10/2052 | 8,952,662 | 0.1 |
11,820,000 | | GS Mortgage Securities Trust 2019-GSA1 A4, 3.048%, 11/10/2052 | 13,114,533 | 0.2 |
7,690,000 | (1),(3) | Hudson Yards 2019-55HY F Mortgage Trust, 3.041%, 12/10/2041 | 6,829,241 | 0.1 |
1,806,000 | (1),(3) | Jackson Park Trust 2019-LIC F, 3.242%, 10/14/2039 | 1,507,989 | 0.0 |
2,400,000 | (1),(3) | JP Morgan Chase Commercial Mortgage Securities Trust 2011-C4 E, 5.663%, 07/15/2046 | 2,272,277 | 0.0 |
4,500,000 | (1),(3) | JP Morgan Chase Commercial Mortgage Securities Trust 2011-C4 G, 3.873%, 07/15/2046 | 3,998,226 | 0.1 |
72,889,293 | (3),(6) | JP Morgan Chase Commercial Mortgage Securities Trust 2012-CIBX XA, 1.645%, 06/15/2045 | 1,118,581 | 0.0 |
5,550,000 | (1),(3) | JP Morgan Chase Commercial Mortgage Securities Trust 2013-C13 E, 3.986%, 01/15/2046 | 4,554,416 | 0.1 |
88,542,290 | (3),(6) | JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP4 XA, 0.822%, 12/15/2049 | 2,547,955 | 0.0 |
10,720,000 | (1),(3) | JP Morgan Chase Commercial Mortgage Securities Trust 2020-LOOP E, 3.862%, 12/05/2038 | 8,781,791 | 0.1 |
6,363,797 | (1),(3) | JPMBB Commercial Mortgage Securities Trust 2013-C15 D, 5.370%, 11/15/2045 | 5,589,336 | 0.1 |
7,840,000 | (1),(3) | JPMBB Commercial Mortgage Securities Trust 2013-C17 D, 5.053%, 01/15/2047 | 6,272,065 | 0.1 |
6,470,000 | (1),(3) | JPMBB Commercial Mortgage Securities Trust 2013-C17 F, 3.867%, 01/15/2047 | 4,402,258 | 0.1 |
10,805,684 | (3),(6) | JPMBB Commercial Mortgage Securities Trust 2014-C19 XA, 0.903%, 04/15/2047 | 190,452 | 0.0 |
3,080,000 | (1),(3) | JPMBB Commercial Mortgage Securities Trust 2014-C26 D, 4.022%, 01/15/2048 | 2,625,857 | 0.0 |
1,272,855 | (3),(6) | JPMBB Commercial Mortgage Securities Trust 2015-C28 XA, 1.112%, 10/15/2048 | 44,956 | 0.0 |
12,440,000 | | JPMCC Commercial Mortgage Securities Trust 2019-COR4 A5, 4.029%, 03/10/2052 | 14,569,355 | 0.2 |
5,000,000 | | JPMDB Commercial Mortgage Securities Trust 2019-COR6 A4, 3.057%, 11/13/2052 | 5,545,286 | 0.1 |
2,000,000 | (1) | KNDL 2019-KNSQ F Mortgage Trust, 2.185%, (US0001M + 2.000%), 05/15/2036 | 1,864,252 | 0.0 |
4,083,618 | (1),(3),(6) | LB-UBS Commercial Mortgage Trust 2006-C7 XW, 0.877%, 11/15/2038 | 12,124 | 0.0 |
46,337,956 | (1),(3),(6) | LSTAR Commercial Mortgage Trust 2017-5 X, 1.148%, 03/10/2050 | 1,588,785 | 0.0 |
4,340,000 | (1),(3) | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C13 D, 5.067%, 11/15/2046 | 3,407,123 | 0.0 |
74,137,295 | (3),(6) | Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19 XA, 1.150%, 12/15/2047 | 2,483,496 | 0.0 |
3,470,000 | (1),(3) | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15 D, 5.071%, 04/15/2047 | 2,779,869 | 0.0 |
7,040,000 | (1) | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C26 D, 3.060%, 10/15/2048 | 5,406,836 | 0.1 |
14,914,000 | (1) | Morgan Stanley Capital I Trust 2011-C1 J, 4.193%, 09/15/2047 | 10,815,481 | 0.1 |
7,864,000 | (1),(3) | Morgan Stanley Capital I Trust 2016-BNK2 E, 4.034%, 11/15/2049 | 4,393,486 | 0.1 |
7,455,000 | | Morgan Stanley Capital I Trust 2019-H6 A4, 3.417%, 06/15/2052 | 8,446,842 | 0.1 |
490,000 | (1) | Morgan Stanley Capital I Trust 2019-H7 D, 3.000%, 07/15/2052 | 314,472 | 0.0 |
2,500,000 | (1) | Morgan Stanley Capital I Trust 2019-PLND E, 2.335%, (US0001M + 2.150%), 05/15/2036 | 2,155,102 | 0.0 |
4,670,000 | | Morgan Stanley Capital I, Inc. 2017-HR2 D, 2.730%, 12/15/2050 | 3,109,268 | 0.0 |
46,483,656 | (3),(6) | Morgan Stanley Capital I, Inc. 2017-HR2 XA, 0.932%, 12/15/2050 | 2,122,281 | 0.0 |
6,820,000 | (1) | MRCD 2019-PARK E Mortgage Trust, 2.718%, 12/15/2036 | 6,348,330 | 0.1 |
8,247,000 | (1) | MRCD 2019-PARK F Mortgage Trust, 2.718%, 12/15/2036 | 7,543,510 | 0.1 |
14,680,000 | (1) | One Bryant Park Trust 2019-OBP A, 2.516%, 09/13/2049 | 15,632,233 | 0.2 |
7,680,000 | | UBS Commercial Mortgage Trust 2019-C17 A4, 2.921%, 09/15/2052 | 8,365,449 | 0.1 |
5,280,000 | (1),(3) | UBS-Barclays Commercial Mortgage Trust 2012-C4 D, 4.621%, 12/10/2045 | 2,945,155 | 0.0 |
9,020,000 | (1),(3) | UBS-Barclays Commercial Mortgage Trust 2012-C4 E, 4.621%, 12/10/2045 | 4,468,367 | 0.1 |
6,239,500 | (1) | Wells Fargo Commercial Mortgage Trust 2010-C1 E, 4.000%, 11/15/2043 | 6,086,373 | 0.1 |
8,780,000 | (1) | Wells Fargo Commercial Mortgage Trust 2010-C1 F, 4.000%, 11/15/2043 | 8,528,332 | 0.1 |
8,660,000 | | Wells Fargo Commercial Mortgage Trust 2018-C44 A5, 4.212%, 05/15/2051 | 10,155,574 | 0.1 |
1,264,000 | (1) | Wells Fargo Commercial Mortgage Trust 2019-C49 D, 3.000%, 03/15/2052 | 816,920 | 0.0 |
6,000,000 | (1),(10) | Wells Fargo Re-REMIC Trust 2013-FRR1 BK26, 0.000%, 01/27/2045 | 5,000,138 | 0.1 |
3,270,000 | (1),(3) | WFRBS Commercial Mortgage Trust 2011-C5 E, 5.845%, 11/15/2044 | 2,572,375 | 0.0 |
13,234,455 | (1),(3),(6) | WFRBS Commercial Mortgage Trust 2012-C8 XA, 1.964%, 08/15/2045 | 360,873 | 0.0 |
9,522,502 | (1),(3),(6) | WFRBS Commercial Mortgage Trust 2012-C9 XA, 2.048%, 11/15/2045 | 326,155 | 0.0 |
12,946,000 | (1),(3) | WFRBS Commercial Mortgage Trust 2013-C11 F, 4.399%, 03/15/2045 | 8,212,940 | 0.1 |
3,920,000 | (1) | WFRBS Commercial Mortgage Trust 2013-C17 E, 3.500%, 12/15/2046 | 2,825,215 | 0.0 |
81,353,770 | (3),(6) | WFRBS Commercial Mortgage Trust 2014-C25 XA, 0.960%, 11/15/2047 | 2,344,331 | 0.0 |
| | | | |
| Total Commercial Mortgage-Backed Securities | | |
| (Cost $738,774,527) | 683,436,377 | 7.6 |
| | | |
SOVEREIGN BONDS: 2.4% | |
2,750,000 | (5) | Argentine Republic Government International Bond, 5.625%, 01/26/2022 | 1,149,541 | 0.0 |
4,960,000 | (5) | Argentine Republic Government International Bond, 6.875%, 04/22/2021 | 2,093,740 | 0.0 |
2,900,000 | (5) | Argentine Republic Government International Bond, 6.875%, 01/26/2027 | 1,176,675 | 0.0 |
BRL 95,000,000 | | Brazil Notas do Tesouro Nacional Serie F, 10.000%, 01/01/2027 | 20,697,335 | 0.2 |
BRL 52,000,000 | | Brazil Notas do Tesouro Nacional Series F, 10.000%, 01/01/2023 | 10,861,726 | 0.1 |
7,775,000 | (2) | Brazilian Government International Bond, 3.875%, 06/12/2030 | 7,511,039 | 0.1 |
5,900,000 | (2) | Brazilian Government International Bond, 4.625%, 01/13/2028 | 6,193,141 | 0.1 |
700,000 | | Brazilian Government International Bond, 6.000%, 04/07/2026 | 793,222 | 0.0 |
1,000,000 | (2) | Colombia Government International Bond, 3.125%, 04/15/2031 | 993,260 | 0.0 |
5,225,000 | | Colombia Government International Bond, 3.875%, 04/25/2027 | 5,531,028 | 0.1 |
2,500,000 | | Croatia Government International Bond, 5.500%, 04/04/2023 | 2,758,025 | 0.0 |
272,000 | | Croatia Government International Bond, 6.375%, 03/24/2021 | 282,027 | 0.0 |
7,900,000 | (1) | Dominican Republic International Bond, 4.500%, 01/30/2030 | 7,185,050 | 0.1 |
300,000 | (1) | Dominican Republic International Bond, 5.500%, 01/27/2025 | 304,544 | 0.0 |
270,000 | | Dominican Republic International Bond, 5.875%, 04/18/2024 | 277,734 | 0.0 |
900,000 | | Dominican Republic International Bond, 5.950%, 01/25/2027 | 908,604 | 0.0 |
300,000 | (1),(2) | Dominican Republic International Bond, 6.600%, 01/28/2024 | 315,647 | 0.0 |
4,825,000 | | Dominican Republic International Bond, 6.875%, 01/29/2026 | 5,073,777 | 0.1 |
2,675,000 | | Egypt Government International Bond, 5.875%, 06/11/2025 | 2,701,750 | 0.0 |
250,000 | (1),(2) | Egypt Government International Bond, 5.875%, 06/11/2025 | 252,500 | 0.0 |
1,300,000 | | Egypt Government International Bond, 6.588%, 02/21/2028 | 1,286,912 | 0.0 |
9,150,000 | | Egypt Government International Bond, 7.500%, 01/31/2027 | 9,622,167 | 0.1 |
7,675,000 | (1) | Egypt Government International Bond, 7.625%, 05/29/2032 | 7,510,678 | 0.1 |
1,000,000 | (1),(2) | Egypt Government International Bond, 8.875%, 05/29/2050 | 990,830 | 0.0 |
1,240,000 | (1),(2) | Gabon Government International Bond, 6.625%, 02/06/2031 | 1,110,998 | 0.0 |
12,725,000 | (1) | Ghana Government International Bond, 6.375%, 02/11/2027 | 11,945,594 | 0.1 |
IDR 132,518,000,000 | | Indonesia Treasury Bond, 8.375%, 04/15/2039 | 9,787,871 | 0.1 |
3,288,330 | (3) | Ivory Coast Government International Bond, 5.750%, 12/31/2032 | 3,250,830 | 0.1 |
2,350,000 | | Jordan Government International Bond, 5.850%, 07/07/2030 | 2,350,000 | 0.0 |
1,000,000 | | Jordan Government International Bond, 6.125%, 01/29/2026 | 1,056,320 | 0.0 |
1,200,000 | (1) | Kenya Government International Bond, 7.000%, 05/22/2027 | 1,188,000 | 0.0 |
2,250,000 | | Morocco Government International Bond, 4.250%, 12/11/2022 | 2,375,312 | 0.0 |
600,000 | (1) | Morocco Government International Bond, 4.250%, 12/11/2022 | 633,416 | 0.0 |
850,000 | | Namibia International Bonds, 5.500%, 11/03/2021 | 856,035 | 0.0 |
3,400,000 | | Oman Government International Bond, 6.000%, 08/01/2029 | 3,179,000 | 0.1 |
693,000 | | Panama Government International Bond, 6.700%, 01/26/2036 | 1,000,037 | 0.0 |
1,000,000 | | Panama Government International Bond, 9.375%, 04/01/2029 | 1,521,060 | 0.0 |
600,000 | | Paraguay Government International Bond, 4.625%, 01/25/2023 | 631,506 | 0.0 |
600,000 | (1) | Paraguay Government International Bond, 4.625%, 01/25/2023 | 631,506 | 0.0 |
PEN 14,130,000 | | Peru Government Bond, 6.850%, 02/12/2042 | 4,713,485 | 0.1 |
3,600,000 | (1),(2) | Perusahaan Penerbit SBSN Indonesia III, 2.800%, 06/23/2030 | 3,609,000 | 0.1 |
2,675,000 | | Perusahaan Penerbit SBSN Indonesia III, 4.150%, 03/29/2027 | 2,913,155 | 0.0 |
4,000,000 | (1) | Perusahaan Penerbit SBSN Indonesia III, 4.400%, 03/01/2028 | 4,453,140 | 0.1 |
4,200,000 | | Philippine Government International Bond, 3.750%, 01/14/2029 | 4,808,451 | 0.1 |
3,450,000 | (2) | Republic of South Africa Government International Bond, 4.300%, 10/12/2028 | 3,208,431 | 0.1 |
12,300,000 | | Republic of South Africa Government International Bond, 4.850%, 09/30/2029 | 11,689,551 | 0.1 |
3,600,000 | | Russian Foreign Bond - Eurobond, 4.250%, 06/23/2027 | 4,032,000 | 0.1 |
2,600,000 | | Russian Foreign Bond - Eurobond, 4.750%, 05/27/2026 | 2,967,255 | 0.0 |
1,750,000 | (1) | Saudi Government International Bond, 3.250%, 10/22/2030 | 1,881,793 | 0.0 |
2,925,000 | (1) | Saudi Government International Bond, 4.500%, 04/17/2030 | 3,460,304 | 0.1 |
1,200,000 | | Sri Lanka Government International Bond, 6.350%, 06/28/2024 | 840,011 | 0.0 |
9,475,000 | | Turkey Government International Bond, 4.875%, 10/09/2026 | 8,816,345 | 0.1 |
1,000,000 | | Turkey Government International Bond, 5.125%, 02/17/2028 | 922,208 | 0.0 |
1,000,000 | | Turkey Government International Bond, 6.125%, 10/24/2028 | 973,430 | 0.0 |
200,000 | | Turkey Government International Bond, 6.250%, 09/26/2022 | 203,115 | 0.0 |
2,625,000 | | Turkey Government International Bond, 7.250%, 12/23/2023 | 2,739,062 | 0.0 |
2,083,000 | | Turkey Government International Bond, 7.375%, 02/05/2025 | 2,199,134 | 0.0 |
1,500,000 | | Ukraine Government International Bond, 7.750%, 09/01/2023 | 1,577,133 | 0.0 |
10,400,000 | | Ukraine Government International Bond, 7.750%, 09/01/2025 | 10,886,762 | 0.1 |
| | | | |
| Total Sovereign Bonds | | |
| (Cost $234,120,967) | 214,882,202 | 2.4 |
| | | |
| | | Value | Percentage of Net Assets |
PURCHASED OPTIONS (11): 0.0% |
| Total Purchased Options | | |
| (Cost $4,583,449) | 2,573,414 | 0.0 |
| | | |
| Total Long-Term Investments | | |
| (Cost $8,870,440,894) | 9,129,943,429 | 101.1 |
| | | |
Principal Amount† | | | Value | Percentage of Net Assets |
SHORT-TERM INVESTMENTS: 3.5% |
| | Floating Rate Notes: 0.1% |
2,100,000 | (12) | Bank of Montreal, 0.200%, 07/13/2020 | 2,100,045 | 0.0 |
2,700,000 | (12) | National Bank of Canada, 1.180%, 07/16/2020 | 2,700,094 | 0.0 |
2,600,000 | (12) | Royal Bank of Canada, 0.350%, 07/17/2020 | 2,600,238 | 0.0 |
3,000,000 | (12) | Svenska Handelsbanken AB, 0.330%, 07/07/2020 | 3,000,102 | 0.1 |
| | | |
| Total Floating Rate Notes | | |
| (Cost $10,400,479) | 10,400,479 | 0.1 |
| | | |
| | Repurchase Agreements: 2.7% |
8,380,383 | (12) | Amherst Pierpoint Securities LLC, Repurchase Agreement dated 06/30/20, 0.14%, due 07/01/20 (Repurchase Amount $8,380,415, collateralized by various U.S. Government/U.S. Government Agency Obligations, 0.000%-8.000%, Market Value plus accrued interest $8,547,991, due 08/13/20-05/20/70) | 8,380,383 | 0.1 |
21,286,974 | (12) | BNP Paribas S.A., Repurchase Agreement dated 06/30/20, 0.07%-0.24%, due 07/01/20 (Repurchase Amount $21,287,098, collateralized by various U.S. Government Securities, 0.000%-6.500%, Market Value plus accrued interest $22,251,279, due 08/15/20-02/15/48) | 21,286,974 | 0.2 |
50,209,135 | (12) | Cantor Fitzgerald Securities, Repurchase Agreement dated 06/30/20, 0.10%, due 07/01/20 (Repurchase Amount $50,209,273, collateralized by various U.S. Government/U.S. Government Agency Obligations, 0.000%-9.000%, Market Value plus accrued interest $51,213,318, due 08/01/20-02/20/70) | 50,209,135 | 0.6 |
9,854,320 | (12) | CF Secured LLC, Repurchase Agreement dated 06/30/20, 0.10%, due 07/01/20 (Repurchase Amount $9,854,347, collateralized by various U.S. Government/U.S. Government Agency Obligations, 2.500%-5.500%, Market Value plus accrued interest $10,051,406, due 01/01/29-06/01/50) | 9,854,320 | 0.1 |
21,162,474 | (12) | Citadel Securities LLC, Repurchase Agreement dated 06/30/20, 0.15%, due 07/01/20 (Repurchase Amount $21,162,561, collateralized by various U.S. Government Securities, 0.000%-7.625%, Market Value plus accrued interest $21,585,815, due 07/31/20-11/15/49) | 21,162,474 | 0.2 |
65,047,886 | (12) | Citigroup, Inc., Repurchase Agreement dated 06/30/20, 0.09%, due 07/01/20 (Repurchase Amount $65,048,046, collateralized by various U.S. Government/U.S. Government Agency Obligations, 0.500%-7.500%, Market Value plus accrued interest $66,348,847, due 07/31/21-05/20/70) | 65,047,886 | 0.7 |
12,900,534 | (12) | Industrial & Comm. Bank of China, Repurchase Agreement dated 06/30/20, 0.11%, due 07/01/20 (Repurchase Amount $12,900,573, collateralized by various U.S. Government/U.S. Government Agency Obligations, 0.000%-9.500%, Market Value plus accrued interest $13,158,545, due 07/15/20-06/01/50) | 12,900,534 | 0.2 |
The following is a summary of the fair valuations according to the inputs used as of June 30, 2020 in valuing the assets and liabilities:
At June 30, 2020, the following forward foreign currency contracts were outstanding for Voya Intermediate Bond Fund:
At June 30, 2020, the following futures contracts were outstanding for Voya Intermediate Bond Fund:
At June 30, 2020, the following OTC purchased equity options were outstanding for Voya Intermediate Bond Fund:
At June 30, 2020, the following over-the-counter purchased foreign currency options were outstanding for Voya Intermediate Bond Fund:
At June 30, 2020, the aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments on a tax basis were: