Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
CORPORATE BONDS/NOTES:38.5% | | | | | | | |
| | Basic Materials: 1.6% | |
1,377,000(1) | | Anglo American Capital PLC, 3.625%, 09/11/2024 | | $ | 1,499,300 | | | | 0.0 | |
2,746,000(1) | | Anglo American Capital PLC, 4.875%, 05/14/2025 | | | 3,177,744 | | | | 0.0 | |
1,846,000(1) | | Anglo American Capital PLC, 5.625%, 04/01/2030 | | | 2,354,086 | | | | 0.0 | |
750,000(1) | | Braskem Netherlands Finance BV, 4.500%, 01/31/2030 | | | 771,563 | | | | 0.0 | |
4,505,000 | | Celulosa Arauco y Constitucion SA, 3.875%, 11/02/2027 | | | 4,982,800 | | | | 0.1 | |
3,000,000 | | CNAC HK Finbridge Co. Ltd., 3.875%, 06/19/2029 | | | 3,043,095 | | | | 0.0 | |
5,485,000 | | CNAC HK Finbridge Co. Ltd., 5.125%, 03/14/2028 | | | 5,979,500 | | | | 0.1 | |
1,528,000 | | Dow Chemical Co., 4.375%, 11/15/2042 | | | 1,872,847 | | | | 0.0 | |
5,044,000 | | Dow Chemical Co/The, 2.100%, 11/15/2030 | | | 5,176,922 | | | | 0.1 | |
4,978,000 | | Dow Chemical Co/The, 3.600%, 11/15/2050 | | | 5,593,307 | | | | 0.1 | |
2,984,000 | | Dow Chemical Co/The, 4.250%, 10/01/2034 | | | 3,608,034 | | | | 0.0 | |
1,534,000 | | Dow Chemical Co/The, 5.550%, 11/30/2048 | | | 2,198,183 | | | | 0.0 | |
9,525,000(1) | | Element Solutions, Inc., 3.875%, 09/01/2028 | | | 9,816,703 | | | | 0.1 | |
1,788,000 | | FMC Corp., 3.450%, 10/01/2029 | | | 2,042,103 | | | | 0.0 | |
9,260,000 | | Freeport-McMoRan, Inc., 4.250%, 03/01/2030 | | | 9,986,355 | | | | 0.1 | |
5,625,000(1) | | Georgia-Pacific LLC, 2.300%, 04/30/2030 | | | 6,018,192 | | | | 0.1 | |
1,960,000(1) | | Georgia-Pacific LLC, 3.163%, 11/15/2021 | | | 1,997,190 | | | | 0.0 | |
10,165,000(1) | | Ingevity Corp., 3.875%, 11/01/2028 | | | 10,260,297 | | | | 0.1 | |
2,280,000 | | International Paper Co., 4.400%, 08/15/2047 | | | 2,985,608 | | | | 0.0 | |
4,087,000(2) | | Inversiones CMPC SA, 4.375%, 04/04/2027 | | | 4,658,444 | | | | 0.1 | |
5,352,000 | | Mosaic Co/The, 5.450%, 11/15/2033 | | | 6,665,386 | | | | 0.1 | |
1,748,000(1) | | Newcrest Finance Pty Ltd., 3.250%, 05/13/2030 | | | 1,933,587 | | | | 0.0 | |
1,400,000(1) | | Newcrest Finance Pty Ltd., 4.200%, 05/13/2050 | | | 1,715,953 | | | | 0.0 | |
87,000 | | Newmont Corp., 3.700%, 03/15/2023 | | | 92,062 | | | | 0.0 | |
8,925,000(1) | | Novelis Corp., 4.750%, 01/30/2030 | | | 9,632,217 | | | | 0.1 | |
2,099,000 | | Nutrien Ltd., 2.950%, 05/13/2030 | | | 2,311,746 | | | | 0.0 | |
1,812,000 | | Nutrien Ltd., 3.950%, 05/13/2050 | | | 2,216,219 | | | | 0.0 | |
9,750,000(1) | | OCI NV, 4.625%, 10/15/2025 | | | 10,133,906 | | | | 0.1 | |
3,189,000 | | Steel Dynamics, Inc., 1.650%, 10/15/2027 | | | 3,290,396 | | | | 0.0 | |
2,139,000 | | Steel Dynamics, Inc., 2.400%, 06/15/2025 | | | 2,275,384 | | | | 0.0 | |
4,316,000 | | Steel Dynamics, Inc., 3.250%, 10/15/2050 | | | 4,516,560 | | | | 0.1 | |
2,425,000 | | Suzano Austria GmbH, 3.750%, 01/15/2031 | | | 2,575,956 | | | | 0.0 | |
4,825,000 | | Suzano Austria GmbH, 6.000%, 01/15/2029 | | | 5,811,158 | | | | 0.1 | |
1,750,000 | | Teck Resources Ltd., 6.125%, 10/01/2035 | | | 2,257,381 | | | | 0.0 | |
1,499,000 | | Teck Resources Ltd., 6.000%, 08/15/2040 | | | 1,879,375 | | | | 0.0 | |
8,175,000(1) | | Valvoline, Inc., 3.625%, 06/15/2031 | | | 8,418,247 | | | | 0.1 | |
1,790,000(1) | | Valvoline, Inc., 4.250%, 02/15/2030 | | | 1,900,085 | | | | 0.0 | |
9,700,000(1) | | WR Grace & Co-Conn, 4.875%, 06/15/2027 | | | 10,299,169 | | | | 0.1 | |
| | | | | 165,947,060 | | | | 1.6 | |
| | | | | | | | | | |
| | Communications: 4.2% | |
2,455,000 | | Alibaba Group Holding Ltd., 3.600%, 11/28/2024 | | | 2,704,802 | | | | 0.0 | |
5,817,000 | | Alphabet, Inc., 1.900%, 08/15/2040 | | | 5,709,406 | | | | 0.1 | |
3,113,000 | | Alphabet, Inc., 2.050%, 08/15/2050 | | | 2,974,565 | | | | 0.0 | |
4,071,000 | | Amazon.com, Inc., 2.500%, 06/03/2050 | | | 4,224,178 | | | | 0.0 | |
6,215,000 | | Amazon.com, Inc., 2.700%, 06/03/2060 | | | 6,654,547 | | | | 0.1 | |
9,525,000(1) | | ANGI Group LLC, 3.875%, 08/15/2028 | | | 9,711,833 | | | | 0.1 | |
5,246,000 | | AT&T, Inc., 1.650%, 02/01/2028 | | | 5,357,013 | | | | 0.1 | |
3,523,000 | | AT&T, Inc., 2.250%, 02/01/2032 | | | 3,578,621 | | | | 0.0 | |
2,356,000(1) | | AT&T, Inc., 2.550%, 12/01/2033 | | | 2,427,869 | | | | 0.0 | |
5,830,000 | | AT&T, Inc., 2.750%, 06/01/2031 | | | 6,233,740 | | | | 0.1 | |
7,317,000 | | AT&T, Inc., 3.100%, 02/01/2043 | | | 7,423,786 | | | | 0.1 | |
2,868,000 | | AT&T, Inc., 3.500%, 06/01/2041 | | | 3,096,598 | | | | 0.0 | |
4,040,000(1) | | AT&T, Inc., 3.550%, 09/15/2055 | | | 4,026,493 | | | | 0.0 | |
18,911,000(1) | | AT&T, Inc., 3.650%, 09/15/2059 | | | 19,005,300 | | | | 0.2 | |
3,058,000(1) | | AT&T, Inc., 3.800%, 12/01/2057 | | | 3,188,760 | | | | 0.0 | |
930,000 | | AT&T, Inc., 4.300%, 02/15/2030 | | | 1,111,741 | | | | 0.0 | |
2,219,000 | | AT&T, Inc., 4.500%, 05/15/2035 | | | 2,693,576 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
CORPORATE BONDS/NOTES: (continued) | | | | | | | |
| | Communications: (continued) | |
3,460,000 | | Booking Holdings, Inc., 4.100%, 04/13/2025 | | $ | 3,927,040 | | | | 0.0 | |
6,915,000 | | Booking Holdings, Inc., 4.625%, 04/13/2030 | | | 8,597,888 | | | | 0.1 | |
4,725,000 | | Charter Communications Operating LLC / Charter Communications Operating Capital, 4.464%, 07/23/2022 | | | 4,982,510 | | | | 0.1 | |
3,860,000 | | Charter Communications Operating LLC / Charter Communications Operating Capital, 4.800%, 03/01/2050 | | | 4,613,370 | | | | 0.1 | |
5,882,000 | | Charter Communications Operating LLC / Charter Communications Operating Capital, 4.908%, 07/23/2025 | | | 6,838,049 | | | | 0.1 | |
6,014,000 | | Comcast Corp., 1.500%, 02/15/2031 | | | 5,977,433 | | | | 0.1 | |
5,019,000 | | Comcast Corp., 1.950%, 01/15/2031 | | | 5,165,637 | | | | 0.1 | |
5,000,000 | | Comcast Corp., 2.650%, 02/01/2030 | | | 5,466,117 | | | | 0.1 | |
3,288,000 | | Comcast Corp., 3.900%, 03/01/2038 | | | 4,023,592 | | | | 0.0 | |
6,289,000 | | Comcast Corp., 3.950%, 10/15/2025 | | | 7,228,450 | | | | 0.1 | |
2,932,000 | | Comcast Corp., 3.999%, 11/01/2049 | | | 3,697,731 | | | | 0.0 | |
6,080,000 | | Comcast Corp., 4.000%, 03/01/2048 | | | 7,651,216 | | | | 0.1 | |
3,250,000 | | Comcast Corp., 4.600%, 10/15/2038 | | | 4,282,612 | | | | 0.0 | |
9,425,000(1) | | CommScope Technologies LLC, 5.000%, 03/15/2027 | | | 9,348,422 | | | | 0.1 | |
1,690,000 | | Corning, Inc., 5.450%, 11/15/2079 | | | 2,320,130 | | | | 0.0 | |
9,250,000(1) | | CSC Holdings LLC, 5.750%, 01/15/2030 | | | 10,151,921 | | | | 0.1 | |
1,875,000(1) | | Deutsche Telekom AG, 3.625%, 01/21/2050 | | | 2,161,241 | | | | 0.0 | |
2,876,000(2) | | Discovery Communications LLC, 2.950%, 03/20/2023 | | | 3,031,805 | | | | 0.0 | |
3,750,000 | | Discovery Communications LLC, 5.200%, 09/20/2047 | | | 4,885,180 | | | | 0.1 | |
4,340,000(2) | | DISH DBS Corp., 5.875%, 11/15/2024 | | | 4,557,000 | | | | 0.0 | |
8,006,000(2) | | Fox Corp., 3.500%, 04/08/2030 | | | 9,103,533 | | | | 0.1 | |
4,750,000(1) | | GCI LLC, 4.750%, 10/15/2028 | | | 5,075,019 | | | | 0.1 | |
8,075,000(1) | | Gray Television, Inc., 7.000%, 05/15/2027 | | | 8,852,219 | | | | 0.1 | |
2,770,000 | | Interpublic Group of Cos, Inc./The, 3.750%, 10/01/2021 | | | 2,839,798 | | | | 0.0 | |
4,583,000 | | Interpublic Group of Cos, Inc./The, 4.750%, 03/30/2030 | | | 5,687,437 | | | | 0.1 | |
2,944,000 | | Interpublic Group of Cos., Inc., 4.200%, 04/15/2024 | | | 3,277,206 | | | | 0.0 | |
9,745,000(1) | | Match Group Holdings II LLC, 4.125%, 08/01/2030 | | | 10,127,199 | | | | 0.1 | |
2,000,000(1) | | Millicom International Cellular SA, 4.500%, 04/27/2031 | | | 2,162,500 | | | | 0.0 | |
9,365,000(1) | | NBCUniversal Enterprise, Inc., 5.250%, 12/31/2199 | | | 9,564,006 | | | | 0.1 | |
9,935,000(1) | | Sinclair Television Group, Inc., 5.125%, 02/15/2027 | | | 10,127,491 | | | | 0.1 | |
9,130,000(1) | | Sirius XM Radio, Inc., 5.500%, 07/01/2029 | | | 10,062,972 | | | | 0.1 | |
7,255,000 | | Sprint Nextel Corp., 6.875%, 11/15/2028 | | | 9,579,176 | | | | 0.1 | |
3,370,000(1) | | TEGNA, Inc., 4.625%, 03/15/2028 | | | 3,452,144 | | | | 0.0 | |
6,775,000 | | TEGNA, Inc., 5.000%, 09/15/2029 | | | 7,163,597 | | | | 0.1 | |
7,190,000 | | Telecom Italia Capital SA, 7.721%, 06/04/2038 | | | 10,017,468 | | | | 0.1 | |
3,420,000(1) | | Tencent Holdings Ltd., 2.985%, 01/19/2023 | | | 3,560,887 | | | | 0.0 | |
4,400,000(1) | | Tencent Holdings Ltd., 2.390%, 06/03/2030 | | | 4,516,380 | | | | 0.0 | |
2,350,000 | | Time Warner Cable LLC, 5.500%, 09/01/2041 | | | 3,025,479 | | | | 0.0 | |
2,829,000 | | Time Warner Cable LLC, 5.875%, 11/15/2040 | | | 3,783,346 | | | | 0.0 | |
2,569,000(1) | | T-Mobile USA, Inc., 2.050%, 02/15/2028 | | | 2,675,382 | | | | 0.0 | |
4,830,000(1) | | T-Mobile USA, Inc., 3.300%, 02/15/2051 | | | 4,978,305 | | | | 0.1 | |
3,111,000(1) | | T-Mobile USA, Inc., 3.600%, 11/15/2060 | | | 3,307,973 | | | | 0.0 | |
4,084,000(1) | | T-Mobile USA, Inc., 3.750%, 04/15/2027 | | | 4,654,943 | | | | 0.1 | |
10,865,000(1) | | T-Mobile USA, Inc., 3.875%, 04/15/2030 | | | 12,595,360 | | | | 0.1 | |
4,085,000(1) | | T-Mobile USA, Inc., 4.375%, 04/15/2040 | | | 4,989,296 | | | | 0.1 | |
1,000,000(1) | | Total Play Telecomunicaciones SA de CV, 7.500%, 11/12/2025 | | | 1,000,000 | | | | 0.0 | |
15,634,000 | | Verizon Communications, Inc., 2.650%, 11/20/2040 | | | 15,811,957 | | | | 0.2 | |
3,959,000 | | Verizon Communications, Inc., 2.875%, 11/20/2050 | | | 3,992,759 | | | | 0.0 | |
1,518,000(1) | | Verizon Communications, Inc., 2.987%, 10/30/2056 | | | 1,528,173 | | | | 0.0 | |
2,278,000 | | Verizon Communications, Inc., 3.000%, 11/20/2060 | | | 2,293,823 | | | | 0.0 | |
4,610,000 | | Verizon Communications, Inc., 3.850%, 11/01/2042 | | | 5,470,349 | | | | 0.1 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
CORPORATE BONDS/NOTES: (continued) | | | | | | | |
| | Communications: (continued) | |
1,159,000 | | Verizon Communications, Inc., 4.000%, 03/22/2050 | | $ | 1,406,022 | | | | 0.0 | |
2,816,000 | | Verizon Communications, Inc., 4.500%, 08/10/2033 | | | 3,551,360 | | | | 0.0 | |
6,432,000 | | Verizon Communications, Inc., 4.812%, 03/15/2039 | | | 8,391,590 | | | | 0.1 | |
793,000 | | ViacomCBS, Inc., 4.375%, 03/15/2043 | | | 936,879 | | | | 0.0 | |
656,000 | | ViacomCBS, Inc., 4.950%, 01/15/2031 | | | 822,511 | | | | 0.0 | |
2,090,000 | | ViacomCBS, Inc., 5.500%, 05/15/2033 | | | 2,705,644 | | | | 0.0 | |
9,660,000(1),(2) | | ViaSat, Inc., 5.625%, 04/15/2027 | | | 10,161,113 | | | | 0.1 | |
1,093,000 | | Walt Disney Co/The, 2.000%, 09/01/2029 | | | 1,142,655 | | | | 0.0 | |
2,705,000 | | Walt Disney Co/The, 3.500%, 05/13/2040 | | | 3,179,825 | | | | 0.0 | |
1,674,000 | | Walt Disney Co/The, 3.800%, 05/13/2060 | | | 2,126,974 | | | | 0.0 | |
3,472,000 | | Walt Disney Co/The, 4.750%, 11/15/2046 | | | 4,720,729 | | | | 0.1 | |
10,050,000(1) | | Zayo Group Holdings, Inc., 4.000%, 03/01/2027 | | | 10,088,240 | | | | 0.1 | |
| | | | | 433,539,891 | | | | 4.2 | |
| | | | | | | | | | |
| | Consumer, Cyclical: 2.2% | |
10,165,000(1) | | 1011778 BC ULC / New Red Finance, Inc., 4.000%, 10/15/2030 | | | 10,321,643 | | | | 0.1 | |
4,800,000(1) | | Academy Ltd., 6.000%, 11/15/2027 | | | 5,040,000 | | | | 0.1 | |
4,429,000(1) | | Alaska Airlines 2020-1 Class A Pass Through Trust, 4.800%, 02/15/2029 | | | 4,892,318 | | | | 0.1 | |
4,770,000(1) | | Allison Transmission, Inc., 3.750%, 01/30/2031 | | | 4,889,250 | | | | 0.1 | |
4,162,449 | | American Airlines 2016-2 Class AA Pass Through Trust, 3.200%, 12/15/2029 | | | 4,075,044 | | | | 0.0 | |
9,508,000 | | Asbury Automotive Group, Inc., 4.750%, 03/01/2030 | | | 10,209,215 | | | | 0.1 | |
4,340,000(1) | | BMW US Capital LLC, 3.450%, 04/12/2023 | | | 4,627,622 | | | | 0.1 | |
2,507,000(1) | | British Airways 2020-1 Class A Pass Through Trust, 4.250%, 05/15/2034 | | | 2,685,170 | | | | 0.0 | |
867,432 | | Continental Airlines 2012-1 Class A Pass Through Trust, 4.150%, 10/11/2025 | | | 874,896 | | | | 0.0 | |
2,925,000 | | Cummins, Inc., 2.600%, 09/01/2050 | | | 2,988,276 | | | | 0.0 | |
4,640,000(1) | | Daimler Finance North America LLC, 2.125%, 03/10/2025 | | | 4,879,012 | | | | 0.1 | |
5,659,000(1) | | Daimler Finance North America LLC, 2.300%, 02/12/2021 | | | 5,670,501 | | | | 0.1 | |
6,383,000(1) | | Daimler Finance North America LLC, 2.550%, 08/15/2022 | | | 6,603,734 | | | | 0.1 | |
2,890,000 | | Dana, Inc., 5.375%, 11/15/2027 | | | 3,068,819 | | | | 0.0 | |
6,625,000 | | Dana, Inc., 5.625%, 06/15/2028 | | | 7,144,168 | | | | 0.1 | |
1,578,281 | | Delta Air Lines 2002-1 Class G-1 Pass Through Trust, 6.718%, 07/02/2024 | | | 1,623,035 | | | | 0.0 | |
1,391,308 | | Delta Air Lines 2015-1 Class AA Pass Through Trust, 3.625%, 01/30/2029 | | | 1,433,797 | | | | 0.0 | |
4,991,802 | | Delta Air Lines 2020-1 Class A Pass Through Trust, 2.500%, 12/10/2029 | | | 4,758,586 | | | | 0.1 | |
1,470,000(1) | | Delta Air Lines, Inc. / SkyMiles IP Ltd., 4.500%, 10/20/2025 | | | 1,571,731 | | | | 0.0 | |
1,414,884(1) | | Delta Air Lines, Inc. / SkyMiles IP Ltd., 4.750%, 10/20/2028 | | | 1,545,511 | | | | 0.0 | |
945,000 | | Dollar General Corp., 3.500%, 04/03/2030 | | | 1,085,967 | | | | 0.0 | |
1,650,000(2) | | Falabella SA, 3.750%, 10/30/2027 | | | 1,782,173 | | | | 0.0 | |
5,600,000 | | Ford Motor Credit Co. LLC, 4.000%, 11/13/2030 | | | 5,897,808 | | | | 0.1 | |
3,510,000 | | Ford Motor Credit Co. LLC, 5.113%, 05/03/2029 | | | 3,913,474 | | | | 0.0 | |
2,200,000 | | General Motors Co., 5.400%, 04/01/2048 | | | 2,770,639 | | | | 0.0 | |
2,333,000 | | General Motors Co., 6.125%, 10/01/2025 | | | 2,831,639 | | | | 0.0 | |
3,665,000 | | General Motors Financial Co., Inc., 4.150%, 06/19/2023 | | | 3,943,992 | | | | 0.0 | |
1,732,000 | | General Motors Financial Co., Inc., 4.350%, 01/17/2027 | | | 1,973,560 | | | | 0.0 | |
2,509,000 | | General Motors Financial Co., Inc., 5.200%, 03/20/2023 | | | 2,752,100 | | | | 0.0 | |
10,150,000(1) | | H&E Equipment Services, Inc., 3.875%, 12/15/2028 | | | 10,239,117 | | | | 0.1 | |
4,653,000(1),(2) | | Harley-Davidson Financial Services, Inc., 3.350%, 06/08/2025 | | | 5,043,196 | | | | 0.1 | |
4,240,000 | | Home Depot, Inc./The, 3.300%, 04/15/2040 | | | 5,001,062 | | | | 0.1 | |
3,250,000 | | Home Depot, Inc./The, 4.500%, 12/06/2048 | | | 4,566,568 | | | | 0.1 | |
1,763,000 | | Lowe’s Cos, Inc., 1.700%, 10/15/2030 | | | 1,781,955 | | | | 0.0 | |
3,631,000 | | Lowe’s Cos, Inc., 4.050%, 05/03/2047 | | | 4,545,572 | | | | 0.0 | |
2,795,000 | | McDonald’s Corp., 3.500%, 07/01/2027 | | | 3,208,642 | | | | 0.0 | |
595,000 | | McDonald’s Corp., 3.625%, 05/01/2043 | | | 686,180 | | | | 0.0 | |
2,325,000 | | McDonald’s Corp., 3.625%, 09/01/2049 | | | 2,733,611 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
CORPORATE BONDS/NOTES: (continued) | | | | | | | |
| | Consumer, Cyclical: (continued) | |
3,095,000 | | McDonald’s Corp., 4.450%, 09/01/2048 | | $ | 4,051,741 | | | | 0.0 | |
4,025,000 | | MGM Resorts International, 5.500%, 04/15/2027 | | | 4,491,518 | | | | 0.0 | |
4,750,000(1) | | Michaels Stores, Inc., 4.750%, 10/01/2027 | | | 4,875,875 | | | | 0.1 | |
4,602,000(1) | | Nissan Motor Co. Ltd., 3.522%, 09/17/2025 | | | 4,937,811 | | | | 0.1 | |
2,419,000(1) | | Nissan Motor Co. Ltd., 4.345%, 09/17/2027 | | | 2,673,851 | | | | 0.0 | |
1,212,000(1) | | Nissan Motor Co. Ltd., 4.810%, 09/17/2030 | | | 1,367,791 | | | | 0.0 | |
6,440,000(1) | | PetSmart, Inc., 5.875%, 06/01/2025 | | | 6,629,175 | | | | 0.1 | |
2,331,000 | | Ralph Lauren Corp., 1.700%, 06/15/2022 | | | 2,373,843 | | | | 0.0 | |
3,798,000 | | TJX Cos, Inc./The, 1.150%, 05/15/2028 | | | 3,819,358 | | | | 0.0 | |
3,164,000 | | TJX Cos, Inc./The, 1.600%, 05/15/2031 | | | 3,213,195 | | | | 0.0 | |
4,414,000 | | Toyota Motor Credit Corp., 1.150%, 08/13/2027 | | | 4,434,184 | | | | 0.0 | |
4,238,000 | | Toyota Motor Credit Corp., 2.150%, 02/13/2030 | | | 4,554,260 | | | | 0.1 | |
3,207,723 | | United Airlines 2016-1 Class AA Pass Through Trust, 3.100%, 01/07/2030 | | | 3,258,090 | | | | 0.0 | |
4,207,071 | | United Airlines 2016-2 Class AA Pass Through Trust, 2.875%, 04/07/2030 | | | 4,242,646 | | | | 0.0 | |
4,959,000 | | WW Grainger, Inc., 1.850%, 02/15/2025 | | | 5,225,002 | | | | 0.1 | |
9,800,000(1) | | Wyndham Hotels & Resorts, Inc., 4.375%, 08/15/2028 | | | 10,201,065 | | | | 0.1 | |
| | | | | 224,008,988 | | | | 2.2 | |
| | | | | | | | | | |
| | Consumer, Non-cyclical: 6.4% | |
2,740,000 | | AbbVie, Inc., 2.300%, 11/21/2022 | | | 2,841,645 | | | | 0.0 | |
5,636,000 | | AbbVie, Inc., 2.600%, 11/21/2024 | | | 6,044,977 | | | | 0.1 | |
8,167,000 | | AbbVie, Inc., 2.900%, 11/06/2022 | | | 8,546,096 | | | | 0.1 | |
3,188,000 | | AbbVie, Inc., 2.950%, 11/21/2026 | | | 3,529,284 | | | | 0.0 | |
1,609,000 | | AbbVie, Inc., 4.050%, 11/21/2039 | | | 1,946,502 | | | | 0.0 | |
3,810,000 | | AbbVie, Inc., 4.300%, 05/14/2036 | | | 4,696,356 | | | | 0.1 | |
4,325,000 | | AbbVie, Inc., 4.400%, 11/06/2042 | | | 5,431,360 | | | | 0.1 | |
2,526,000 | | AbbVie, Inc., 4.450%, 05/14/2046 | | | 3,216,294 | | | | 0.0 | |
7,965,000 | | AbbVie, Inc., 4.500%, 05/14/2035 | | | 10,011,101 | | | | 0.1 | |
2,298,000 | | AbbVie, Inc., 4.625%, 10/01/2042 | | | 2,924,028 | | | | 0.0 | |
1,849,000 | | Aetna, Inc., 2.800%, 06/15/2023 | | | 1,946,613 | | | | 0.0 | |
1,764,000 | | Aetna, Inc., 4.500%, 05/15/2042 | | | 2,174,758 | | | | 0.0 | |
3,398,000 | | Aetna, Inc., 6.625%, 06/15/2036 | | | 5,002,173 | | | | 0.1 | |
8,045,000(1) | | Albertsons Cos, Inc. / Safeway, Inc. / New Albertsons L.P. / Albertsons LLC, 3.500%, 03/15/2029 | | | 8,137,517 | | | | 0.1 | |
2,800,000(1) | | Albertsons Cos, Inc. / Safeway, Inc. / New Albertsons L.P. / Albertsons LLC, 5.875%, 02/15/2028 | | | 3,051,664 | | | | 0.0 | |
2,573,000(1) | | Alcon Finance Corp., 2.600%, 05/27/2030 | | | 2,743,677 | | | | 0.0 | |
6,696,000 | | Altria Group, Inc., 4.400%, 02/14/2026 | | | 7,776,175 | | | | 0.1 | |
2,895,000 | | Altria Group, Inc., 4.800%, 02/14/2029 | | | 3,473,764 | | | | 0.0 | |
1,325,000 | | Altria Group, Inc., 5.800%, 02/14/2039 | | | 1,745,839 | | | | 0.0 | |
1,326,000 | | Altria Group, Inc., 5.950%, 02/14/2049 | | | 1,857,748 | | | | 0.0 | |
9,003,000 | | AmerisourceBergen Corp., 3.400%, 05/15/2024 | | | 9,782,958 | | | | 0.1 | |
968,000 | | Amgen, Inc., 1.900%, 02/21/2025 | | | 1,019,261 | | | | 0.0 | |
1,045,000 | | Amgen, Inc., 2.450%, 02/21/2030 | | | 1,120,203 | | | | 0.0 | |
4,134,000 | | Amgen, Inc., 4.950%, 10/01/2041 | | | 5,600,781 | | | | 0.1 | |
2,960,000(1) | | AMN Healthcare, Inc., 4.000%, 04/15/2029 | | | 3,034,000 | | | | 0.0 | |
2,410,000(1) | | AMN Healthcare, Inc., 4.625%, 10/01/2027 | | | 2,529,162 | | | | 0.0 | |
10,519,000 | | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide, Inc., 4.700%, 02/01/2036 | | | 13,357,143 | | | | 0.1 | |
10,000,000 | | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide, Inc., 4.900%, 02/01/2046 | | | 13,055,164 | | | | 0.1 | |
2,495,000 | | Anheuser-Busch InBev Worldwide, Inc., 4.350%, 06/01/2040 | | | 3,065,500 | | | | 0.0 | |
4,324,000 | | Anheuser-Busch InBev Worldwide, Inc., 5.450%, 01/23/2039 | | | 5,845,076 | | | | 0.1 | |
1,598,000 | | Anthem, Inc., 3.500%, 08/15/2024 | | | 1,753,945 | | | | 0.0 | |
1,293,000 | | Anthem, Inc., 3.700%, 09/15/2049 | | | 1,546,480 | | | | 0.0 | |
4,225,000 | | Anthem, Inc., 4.650%, 08/15/2044 | | | 5,561,864 | | | | 0.1 | |
2,250,000 | | Anthem, Inc., 5.100%, 01/15/2044 | | | 3,125,192 | | | | 0.0 | |
7,854,000 | | AstraZeneca PLC, 3.375%, 11/16/2025 | | | 8,836,752 | | | | 0.1 | |
3,222,000 | | Automatic Data Processing, Inc., 1.250%, 09/01/2030 | | | 3,217,087 | | | | 0.0 | |
14,471,000 | | BAT Capital Corp., 2.259%, 03/25/2028 | | | 15,034,635 | | | | 0.2 | |
2,393,000 | | BAT Capital Corp., 2.726%, 03/25/2031 | | | 2,481,419 | | | | 0.0 | |
1,005,000 | | BAT Capital Corp., 3.215%, 09/06/2026 | | | 1,108,015 | | | | 0.0 | |
2,393,000 | | BAT Capital Corp., 3.734%, 09/25/2040 | | | 2,501,251 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
CORPORATE BONDS/NOTES: (continued) | | | | | | | |
| | Consumer, Non-cyclical: (continued) | |
9,725,000(1) | | Bausch Health Cos, Inc., 5.250%, 01/30/2030 | | $ | 10,197,829 | | | | 0.1 | |
8,862,000(1) | | Bayer US Finance LLC, 3.000%, 10/08/2021 | | | 9,014,270 | | | | 0.1 | |
5,532,000 | | Becton Dickinson and Co., 2.894%, 06/06/2022 | | | 5,719,055 | | | | 0.1 | |
2,720,000 | | Becton Dickinson and Co., 3.363%, 06/06/2024 | | | 2,957,747 | | | | 0.0 | |
2,334,000 | | Becton Dickinson and Co., 3.794%, 05/20/2050 | | | 2,775,170 | | | | 0.0 | |
2,418,000 | | Bristol-Myers Squibb Co., 1.450%, 11/13/2030 | | | 2,430,870 | | | | 0.0 | |
2,418,000 | | Bristol-Myers Squibb Co., 2.550%, 11/13/2050 | | | 2,476,123 | | | | 0.0 | |
4,662,000 | | Bristol-Myers Squibb Co., 3.875%, 08/15/2025 | | | 5,324,473 | | | | 0.1 | |
3,421,000 | | Bristol-Myers Squibb Co., 4.125%, 06/15/2039 | | | 4,368,776 | | | | 0.1 | |
7,916,000 | | Cardinal Health, Inc., 3.079%, 06/15/2024 | | | 8,523,651 | | | | 0.1 | |
5,377,000(1) | | Cargill, Inc., 3.875%, 05/23/2049 | | | 6,583,672 | | | | 0.1 | |
4,450,000 | | Centene Corp., 3.375%, 02/15/2030 | | | 4,688,765 | | | | 0.1 | |
4,750,000 | | Centene Corp., 4.625%, 12/15/2029 | | | 5,279,649 | | | | 0.1 | |
9,290,000 | | Central Garden & Pet Co., 4.125%, 10/15/2030 | | | 9,702,244 | | | | 0.1 | |
6,698,000 | | Cigna Corp., 3.050%, 11/30/2022 | | | 7,019,146 | | | | 0.1 | |
3,471,000 | | Cigna Corp., 3.250%, 04/15/2025 | | | 3,814,615 | | | | 0.0 | |
2,145,000(2) | | Cigna Corp., 3.400%, 03/15/2050 | | | 2,413,780 | | | | 0.0 | |
1,882,000 | | Cigna Corp., 4.800%, 08/15/2038 | | | 2,453,547 | | | | 0.0 | |
1,375,000 | | Cigna Corp., 4.800%, 07/15/2046 | | | 1,813,891 | | | | 0.0 | |
4,165,000 | | Cigna Corp., 4.900%, 12/15/2048 | | | 5,727,696 | | | | 0.1 | |
4,125,000 | | Coca-Cola Co/The, 2.500%, 06/01/2040 | | | 4,393,904 | | | | 0.1 | |
2,818,000 | | Coca-Cola Co/The, 2.750%, 06/01/2060 | | | 3,046,025 | | | | 0.0 | |
4,475,000 | | CVS Health Corp., 2.700%, 08/21/2040 | | | 4,534,078 | | | | 0.1 | |
2,465,000 | | CVS Health Corp., 3.875%, 07/20/2025 | | | 2,794,924 | | | | 0.0 | |
3,492,000 | | CVS Health Corp., 4.125%, 04/01/2040 | | | 4,174,840 | | | | 0.0 | |
2,326,000 | | CVS Health Corp., 4.780%, 03/25/2038 | | | 2,938,676 | | | | 0.0 | |
9,602,000 | | CVS Health Corp., 5.050%, 03/25/2048 | | | 13,014,513 | | | | 0.1 | |
7,379,000(1) | | Danone SA, 2.947%, 11/02/2026 | | | 8,115,033 | | | | 0.1 | |
6,060,000(1) | | DaVita, Inc., 3.750%, 02/15/2031 | | | 6,164,444 | | | | 0.1 | |
4,330,000(1) | | DaVita, Inc., 4.625%, 06/01/2030 | | | 4,592,506 | | | | 0.1 | |
6,370,000 | | DENTSPLY SIRONA, Inc., 3.250%, 06/01/2030 | | | 7,099,201 | | | | 0.1 | |
1,942,000 | | Diageo Capital PLC, 2.125%, 04/29/2032 | | | 2,053,153 | | | | 0.0 | |
4,709,000(2) | | Eli Lilly and Co., 2.500%, 09/15/2060 | | | 4,804,929 | | | | 0.1 | |
5,250,000(1) | | Emergent BioSolutions, Inc., 3.875%, 08/15/2028 | | | 5,446,219 | | | | 0.1 | |
1,525,000 | | Encompass Health Corp., 4.750%, 02/01/2030 | | | 1,636,233 | | | | 0.0 | |
997,000 | | Equifax, Inc., 2.600%, 12/15/2025 | | | 1,077,890 | | | | 0.0 | |
3,460,000 | | General Mills, Inc., 3.700%, 10/17/2023 | | | 3,771,394 | | | | 0.0 | |
4,340,000 | | General Mills, Inc., 4.000%, 04/17/2025 | | | 4,908,261 | | | | 0.1 | |
2,056,000 | | Gilead Sciences, Inc., 0.750%, 09/29/2023 | | | 2,062,380 | | | | 0.0 | |
1,582,000 | | Gilead Sciences, Inc., 2.800%, 10/01/2050 | | | 1,573,600 | | | | 0.0 | |
1,540,000 | | Gilead Sciences, Inc., 3.500%, 02/01/2025 | | | 1,701,797 | | | | 0.0 | |
11,343,000 | | Global Payments, Inc., 2.650%, 02/15/2025 | | | 12,151,785 | | | | 0.1 | |
3,076,000 | | HCA, Inc., 4.500%, 02/15/2027 | | | 3,579,513 | | | | 0.0 | |
1,449,000 | | HCA, Inc., 5.250%, 04/15/2025 | | | 1,692,643 | | | | 0.0 | |
622,000 | | HCA, Inc., 5.250%, 06/15/2049 | | | 821,570 | | | | 0.0 | |
2,509,000(1) | | Health Care Service Corp. A Mutual Legal Reserve Co., 1.500%, 06/01/2025 | | | 2,576,353 | | | | 0.0 | |
1,173,000(1) | | Health Care Service Corp. A Mutual Legal Reserve Co., 3.200%, 06/01/2050 | | | 1,270,107 | | | | 0.0 | |
5,172,000 | | Humana, Inc., 3.125%, 08/15/2029 | | | 5,716,153 | | | | 0.1 | |
4,873,000 | | Humana, Inc., 4.500%, 04/01/2025 | | | 5,600,729 | | | | 0.1 | |
3,350,000(1) | | Hutama Karya Persero PT, 3.750%, 05/11/2030 | | | 3,757,028 | | | | 0.0 | |
2,290,000(1) | | Imperial Brands Finance PLC, 3.750%, 07/21/2022 | | | 2,388,742 | | | | 0.0 | |
2,151,000 | | Johnson & Johnson, 0.550%, 09/01/2025 | | | 2,161,249 | | | | 0.0 | |
2,152,000 | | Johnson & Johnson, 0.950%, 09/01/2027 | | | 2,163,110 | | | | 0.0 | |
2,629,000 | | Johnson & Johnson, 2.100%, 09/01/2040 | | | 2,651,189 | | | | 0.0 | |
2,649,000 | | Johnson & Johnson, 2.250%, 09/01/2050 | | | 2,664,782 | | | | 0.0 | |
4,368,000 | | Johnson & Johnson, 2.450%, 09/01/2060 | | | 4,541,959 | | | | 0.1 | |
5,375,000 | | Kaiser Foundation Hospitals, 3.266%, 11/01/2049 | | | 6,175,043 | | | | 0.1 | |
1,789,000 | | Keurig Dr Pepper, Inc., 4.417%, 05/25/2025 | | | 2,063,427 | | | | 0.0 | |
4,825,000(1) | | Kraft Heinz Foods Co., 4.625%, 10/01/2039 | | | 5,397,768 | | | | 0.1 | |
3,495,000 | | Kraft Heinz Foods Co., 6.875%, 01/26/2039 | | | 4,848,617 | | | | 0.1 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
CORPORATE BONDS/NOTES: (continued) | | | | | | | |
| | Consumer, Non-cyclical: (continued) | |
1,500,000 | | Kroger Co., 3.875%, 10/15/2046 | | $ | 1,760,575 | | | | 0.0 | |
251,000 | | Kroger Co/The, 5.150%, 08/01/2043 | | | 344,357 | | | | 0.0 | |
2,414,000 | | Laboratory Corp. of America Holdings, 3.250%, 09/01/2024 | | | 2,628,285 | | | | 0.0 | |
5,806,000 | | Laboratory Corp. of America Holdings, 3.750%, 08/23/2022 | | | 6,075,042 | | | | 0.1 | |
1,434,000 | | Laboratory Corp. of America Holdings, 4.000%, 11/01/2023 | | | 1,562,210 | | | | 0.0 | |
1,280,000 | | Laboratory Corp. of America Holdings, 4.700%, 02/01/2045 | | | 1,681,498 | | | | 0.0 | |
3,585,000(1) | | Mars, Inc., 0.875%, 07/16/2026 | | | 3,600,573 | | | | 0.0 | |
3,336,000(1) | | Mars, Inc., 4.125%, 04/01/2054 | | | 4,416,154 | | | | 0.1 | |
4,269,000 | | McKesson Corp., 0.900%, 12/03/2025 | | | 4,293,595 | | | | 0.1 | |
1,484,000 | | Medtronic, Inc., 4.375%, 03/15/2035 | | | 1,999,096 | | | | 0.0 | |
4,946,000 | | Mylan, Inc., 5.200%, 04/15/2048 | | | 6,527,711 | | | | 0.1 | |
7,470,000 | | PayPal Holdings, Inc., 2.850%, 10/01/2029 | | | 8,309,283 | | | | 0.1 | |
1,938,000 | | Pfizer, Inc., 2.550%, 05/28/2040 | | | 2,072,615 | | | | 0.0 | |
1,890,000 | | Pfizer, Inc., 2.700%, 05/28/2050 | | | 2,032,013 | | | | 0.0 | |
1,689,000 | | Philip Morris International, Inc., 3.875%, 08/21/2042 | | | 1,988,798 | | | | 0.0 | |
2,555,000 | | Philip Morris International, Inc., 4.375%, 11/15/2041 | | | 3,193,887 | | | | 0.0 | |
8,920,000(1) | | Pilgrim’s Pride Corp., 5.875%, 09/30/2027 | | | 9,685,871 | | | | 0.1 | |
1,430,000(1) | | Post Holdings, Inc., 4.625%, 04/15/2030 | | | 1,506,090 | | | | 0.0 | |
8,405,000(1) | | Post Holdings, Inc., 5.500%, 12/15/2029 | | | 9,182,673 | | | | 0.1 | |
2,383,000 | | Quest Diagnostics, Inc., 2.800%, 06/30/2031 | | | 2,614,563 | | | | 0.0 | |
10,749,000 | | Regeneron Pharmaceuticals, Inc., 1.750%, 09/15/2030 | | | 10,597,478 | | | | 0.1 | |
1,436,000 | | RELX Capital, Inc., 3.000%, 05/22/2030 | | | 1,595,641 | | | | 0.0 | |
6,443,000 | | RELX Capital, Inc., 4.000%, 03/18/2029 | | | 7,652,926 | | | | 0.1 | |
1,903,000 | | Reynolds American, Inc., 5.850%, 08/15/2045 | | | 2,435,283 | | | | 0.0 | |
818,000 | | Reynolds American, Inc., 6.150%, 09/15/2043 | | | 1,059,827 | | | | 0.0 | |
1,626,000(1) | | Royalty Pharma PLC, 1.200%, 09/02/2025 | | | 1,652,347 | | | | 0.0 | |
2,055,000(1) | | Royalty Pharma PLC, 1.750%, 09/02/2027 | | | 2,116,217 | | | | 0.0 | |
3,310,000(1) | | Royalty Pharma PLC, 3.300%, 09/02/2040 | | | 3,485,435 | | | | 0.0 | |
2,050,000(1) | | Royalty Pharma PLC, 3.550%, 09/02/2050 | | | 2,192,193 | | | | 0.0 | |
1,815,000 | | S&P Global, Inc., 2.300%, 08/15/2060 | | | 1,727,515 | | | | 0.0 | |
2,250,000(1) | | SC Johnson & Son, Inc., 4.750%, 10/15/2046 | | | 3,131,024 | | | | 0.0 | |
6,336,000 | | Shire Acquisitions Investments Ireland DAC, 2.875%, 09/23/2023 | | | 6,721,760 | | | | 0.1 | |
6,130,000 | | Smith & Nephew PLC, 2.032%, 10/14/2030 | | | 6,246,548 | | | | 0.1 | |
3,000,000 | | Stryker Corp., 2.900%, 06/15/2050 | | | 3,187,164 | | | | 0.0 | |
3,741,000 | | Sysco Corp., 5.950%, 04/01/2030 | | | 4,920,631 | | | | 0.1 | |
1,823,000 | | Takeda Pharmaceutical Co. Ltd., 3.025%, 07/09/2040 | | | 1,924,670 | | | | 0.0 | |
1,125,000 | | Takeda Pharmaceutical Co. Ltd., 3.175%, 07/09/2050 | | | 1,199,125 | | | | 0.0 | |
1,375,000 | | Takeda Pharmaceutical Co. Ltd., 3.375%, 07/09/2060 | | | 1,525,746 | | | | 0.0 | |
7,240,000 | | Takeda Pharmaceutical Co. Ltd., 4.000%, 11/26/2021 | | | 7,450,124 | | | | 0.1 | |
8,680,000(1) | | Tenet Healthcare Corp., 5.125%, 11/01/2027 | | | 9,211,650 | | | | 0.1 | |
10,039,000 | | Unilever Capital Corp., 3.250%, 03/07/2024 | | | 10,911,466 | | | | 0.1 | |
4,500,000 | | United Rentals North America, Inc., 4.000%, 07/15/2030 | | | 4,741,875 | | | | 0.1 | |
4,325,000 | | United Rentals North America, Inc., 4.875%, 01/15/2028 | | | 4,611,531 | | | | 0.1 | |
2,117,000 | | UnitedHealth Group, Inc., 3.500%, 08/15/2039 | | | 2,518,521 | | | | 0.0 | |
1,483,000 | | UnitedHealth Group, Inc., 3.875%, 08/15/2059 | | | 1,920,130 | | | | 0.0 | |
2,310,000 | | UnitedHealth Group, Inc., 4.200%, 01/15/2047 | | | 3,056,261 | | | | 0.0 | |
9,504,000(1) | | Viatris, Inc., 3.850%, 06/22/2040 | | | 10,727,281 | | | | 0.1 | |
2,828,000(1) | | Viatris, Inc., 4.000%, 06/22/2050 | | | 3,240,157 | | | | 0.0 | |
2,025,000 | | Zimmer Biomet Holdings, Inc., 3.550%, 03/20/2030 | | | 2,294,561 | | | | 0.0 | |
| | | | | 655,614,171 | | | | 6.4 | |
| | | | | | | | | | |
| | Energy: 3.8% | |
9,895,000 | | Apache Corp., 5.100%, 09/01/2040 | | | 10,630,941 | | | | 0.1 | |
2,621,000 | | BP Capital Markets America, Inc., 1.749%, 08/10/2030 | | | 2,631,771 | | | | 0.0 | |
2,005,000 | | BP Capital Markets America, Inc., 2.939%, 06/04/2051 | | | 2,047,415 | | | | 0.0 | |
5,828,000 | | BP Capital Markets America, Inc., 3.216%, 11/28/2023 | | | 6,253,838 | | | | 0.1 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
CORPORATE BONDS/NOTES: (continued) | | | | | | | |
| | Energy: (continued) | |
4,856,000 | | BP Capital Markets America, Inc., 3.224%, 04/14/2024 | | $ | 5,253,372 | | | | 0.1 | |
3,280,000 | | BP Capital Markets PLC, 4.742%, 03/11/2021 | | | 3,306,688 | | | | 0.0 | |
3,610,000(3) | | BP Capital Markets PLC, 4.875%, 12/31/2199 | | | 4,036,702 | | | | 0.0 | |
1,140,000 | | Burlington Resources LLC, 5.950%, 10/15/2036 | | | 1,613,088 | | | | 0.0 | |
1,220,000 | | Canadian Natural Resources Ltd., 6.750%, 02/01/2039 | | | 1,691,879 | | | | 0.0 | |
4,095,000 | | Cheniere Corpus Christi Holdings LLC, 3.700%, 11/15/2029 | | | 4,564,894 | | | | 0.1 | |
2,150,000 | | Cheniere Corpus Christi Holdings LLC, 5.875%, 03/31/2025 | | | 2,503,847 | | | | 0.0 | |
5,525,000(1),(2) | | Crestwood Midstream Partners L.P. / Crestwood Midstream Finance Corp., 5.625%, 05/01/2027 | | | 5,480,109 | | | | 0.1 | |
2,550,000(2) | | Crestwood Midstream Partners L.P. / Crestwood Midstream Finance Corp., 5.750%, 04/01/2025 | | | 2,601,000 | | | | 0.0 | |
3,662,000 | | Diamondback Energy, Inc., 2.875%, 12/01/2024 | | | 3,852,129 | | | | 0.0 | |
4,245,000 | | Diamondback Energy, Inc., 3.250%, 12/01/2026 | | | 4,537,140 | | | | 0.1 | |
4,650,000 | | Diamondback Energy, Inc., 3.500%, 12/01/2029 | | | 4,972,635 | | | | 0.1 | |
1,436,000 | | Diamondback Energy, Inc., 4.750%, 05/31/2025 | | | 1,617,921 | | | | 0.0 | |
8,250,000 | | Ecopetrol SA, 6.875%, 04/29/2030 | | | 10,663,125 | | | | 0.1 | |
7,100,000 | | Empresa Nacional del Petroleo, 3.750%, 08/05/2026 | | | 7,769,431 | | | | 0.1 | |
400,000(1) | | Empresa Nacional del Petroleo, 3.750%, 08/05/2026 | | | 437,714 | | | | 0.0 | |
903,000 | | Enable Midstream Partners L.P., 4.150%, 09/15/2029 | | | 899,343 | | | | 0.0 | |
5,373,000(3) | | Enbridge, Inc., 5.750%, 07/15/2080 | | | 6,057,137 | | | | 0.1 | |
1,217,000 | | Energy Transfer Operating L.P., 4.650%, 06/01/2021 | | | 1,226,224 | | | | 0.0 | |
645,000 | | Energy Transfer Operating L.P., 4.900%, 03/15/2035 | | | 711,293 | | | | 0.0 | |
8,457,000 | | Energy Transfer Operating L.P., 5.300%, 04/15/2047 | | | 9,444,799 | | | | 0.1 | |
1,263,000 | | Energy Transfer Partners L.P. / Regency Energy Finance Corp., 4.500%, 11/01/2023 | | | 1,367,779 | | | | 0.0 | |
1,775,000(1) | | EnfraGen Energia Sur SA / EnfraGen Spain SA / Prime Energia SpA, 5.375%, 12/30/2030 | | | 1,846,000 | | | | 0.0 | |
1,389,000 | | Enterprise Products Operating LLC, 3.950%, 01/31/2060 | | | 1,542,427 | | | | 0.0 | |
3,800,000(3) | | Enterprise Products Operating LLC, 4.875%, 08/16/2077 | | | 3,676,367 | | | | 0.0 | |
1,989,000 | | EOG Resources, Inc., 4.950%, 04/15/2050 | | | 2,698,429 | | | | 0.0 | |
7,515,000(1) | | EQM Midstream Partners L.P., 6.000%, 07/01/2025 | | | 8,238,319 | | | | 0.1 | |
2,642,000 | | Equinor ASA, 3.125%, 04/06/2030 | | | 2,999,415 | | | | 0.0 | |
1,850,000 | | Exxon Mobil Corp., 4.227%, 03/19/2040 | | | 2,304,195 | | | | 0.0 | |
5,050,000 | | Gazprom PJSC Via Gaz Capital SA, 4.950%, 03/23/2027 | | | 5,731,745 | | | | 0.1 | |
3,450,000 | | Gazprom PJSC Via Gaz Capital SA, 4.950%, 02/06/2028 | | | 3,955,856 | | | | 0.0 | |
9,050,000 | | Gazprom PJSC Via Gaz Finance PLC, 3.250%, 02/25/2030 | | | 9,375,601 | | | | 0.1 | |
9,800,000 | | Gazprom PJSC Via Gaz Finance PLC, 4.599%, 12/31/2199 | | | 10,221,400 | | | | 0.1 | |
163,000 | | Halliburton Co., 3.500%, 08/01/2023 | | | 174,233 | | | | 0.0 | |
136,000 | | Halliburton Co., 3.800%, 11/15/2025 | | | 152,593 | | | | 0.0 | |
2,450,000 | | Halliburton Co., 4.850%, 11/15/2035 | | | 2,860,230 | | | | 0.0 | |
2,765,000 | | Hess Corp., 5.600%, 02/15/2041 | | | 3,374,401 | | | | 0.0 | |
5,775,000 | | KazMunayGas National Co. JSC, 4.750%, 04/19/2027 | | | 6,713,871 | | | | 0.1 | |
2,650,000 | | KazMunayGas National Co. JSC, 5.375%, 04/24/2030 | | | 3,273,622 | | | | 0.0 | |
1,575,000(1) | | KazMunayGas National Co. JSC, 5.375%, 04/24/2030 | | | 1,945,643 | | | | 0.0 | |
1,295,000 | | Kinder Morgan Energy Partners L.P., 4.250%, 09/01/2024 | | | 1,444,347 | | | | 0.0 | |
3,850,000 | | Marathon Petroleum Corp., 4.700%, 05/01/2025 | | | 4,413,858 | | | | 0.1 | |
2,663,000 | | Marathon Petroleum Corp., 5.125%, 04/01/2024 | | | 2,709,354 | | | | 0.0 | |
1,443,000 | | Marathon Petroleum Corp., 5.000%, 09/15/2054 | | | 1,635,560 | | | | 0.0 | |
2,897,000 | | MPLX L.P., 1.750%, 03/01/2026 | | | 2,999,603 | | | | 0.0 | |
2,026,000 | | MPLX L.P., 2.650%, 08/15/2030 | | | 2,125,625 | | | | 0.0 | |
1,020,000 | | MPLX L.P., 5.250%, 01/15/2025 | | | 1,046,782 | | | | 0.0 | |
265,000 | | Noble Energy, Inc., 3.250%, 10/15/2029 | | | 304,373 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
CORPORATE BONDS/NOTES: (continued) | | | | | | | |
| | Energy: (continued) | |
4,468,000 | | Noble Energy, Inc., 4.200%, 10/15/2049 | | $ | 5,801,856 | | | | 0.1 | |
2,013,000 | | Noble Energy, Inc., 4.950%, 08/15/2047 | | | 2,862,166 | | | | 0.0 | |
1,910,000 | | ONEOK, Inc., 2.200%, 09/15/2025 | | | 1,993,200 | | | | 0.0 | |
5,335,000(2) | | Pertamina Persero PT, 3.100%, 01/21/2030 | | | 5,740,551 | | | | 0.1 | |
6,075,000(1) | | Pertamina Persero PT, 3.100%, 01/21/2030 | | | 6,536,804 | | | | 0.1 | |
750,000 | | Pertamina Persero PT, 5.625%, 05/20/2043 | | | 930,053 | | | | 0.0 | |
16,250,000 | | Petrobras Global Finance BV, 5.600%, 01/03/2031 | | | 18,700,500 | | | | 0.2 | |
10,500,000 | | Petrobras Global Finance BV, 5.750%, 02/01/2029 | | | 12,256,125 | | | | 0.1 | |
4,750,000 | | Petroleos del Peru SA, 4.750%, 06/19/2032 | | | 5,460,505 | | | | 0.1 | |
4,000,000(1) | | Petroleos del Peru SA, 4.750%, 06/19/2032 | | | 4,598,320 | | | | 0.1 | |
7,000,000 | | Petroleos Mexicanos, 5.950%, 01/28/2031 | | | 6,994,750 | | | | 0.1 | |
8,500,000 | | Petroleos Mexicanos, 6.500%, 03/13/2027 | | | 8,966,990 | | | | 0.1 | |
2,225,000 | | Petroleos Mexicanos, 6.500%, 01/23/2029 | | | 2,304,010 | | | | 0.0 | |
3,900,000(1),(2) | | Petroleos Mexicanos, 6.875%, 10/16/2025 | | | 4,279,860 | | | | 0.1 | |
2,225,000 | | Petroleos Mexicanos, 6.875%, 08/04/2026 | | | 2,434,150 | | | | 0.0 | |
1,425,000 | | Phillips 66, 0.900%, 02/15/2024 | | | 1,429,636 | | | | 0.0 | |
5,693,000 | | Pioneer Natural Resources Co., 1.900%, 08/15/2030 | | | 5,643,533 | | | | 0.1 | |
10,116,000 | | Plains All American Pipeline L.P. / PAA Finance Corp., 3.550%, 12/15/2029 | | | 10,600,967 | | | | 0.1 | |
2,140,000 | | Plains All American Pipeline L.P. / PAA Finance Corp., 3.800%, 09/15/2030 | | | 2,302,140 | | | | 0.0 | |
3,962,000 | | Plains All American Pipeline L.P. / PAA Finance Corp., 4.500%, 12/15/2026 | | | 4,440,041 | | | | 0.1 | |
3,468,000 | | Plains All American Pipeline L.P. / PAA Finance Corp., 4.650%, 10/15/2025 | | | 3,878,780 | | | | 0.0 | |
1,450,000(1) | | PTTEP Treasury Center Co. Ltd., 2.587%, 06/10/2027 | | | 1,516,868 | | | | 0.0 | |
1,890,000 | | Sabine Pass Liquefaction LLC, 4.200%, 03/15/2028 | | | 2,169,782 | | | | 0.0 | |
2,203,000 | | Sabine Pass Liquefaction LLC, 5.000%, 03/15/2027 | | | 2,598,575 | | | | 0.0 | |
3,750,000(1) | | Saudi Arabian Oil Co., 2.250%, 11/24/2030 | | | 3,821,544 | | | | 0.0 | |
1,750,000(1) | | Saudi Arabian Oil Co., 3.250%, 11/24/2050 | | | 1,774,706 | | | | 0.0 | |
2,663,000(1) | | Schlumberger Holdings Corp., 4.000%, 12/21/2025 | | | 3,029,316 | | | | 0.0 | |
5,190,000(1) | | Schlumberger Investment SA, 2.400%, 08/01/2022 | | | 5,322,595 | | | | 0.1 | |
4,235,000 | | Shell International Finance BV, 3.250%, 05/11/2025 | | | 4,696,153 | | | | 0.1 | |
3,245,000 | | Shell International Finance BV, 4.125%, 05/11/2035 | | | 4,061,205 | | | | 0.0 | |
325,000 | | Sunoco Logistics Partners Operations L.P., 4.250%, 04/01/2024 | | | 352,006 | | | | 0.0 | |
1,003,000 | | Sunoco Logistics Partners Operations L.P., 5.350%, 05/15/2045 | | | 1,114,227 | | | | 0.0 | |
3,000,000(1) | | Tengizchevroil Finance Co. International Ltd., 3.250%, 08/15/2030 | | | 3,182,922 | | | | 0.0 | |
4,282,000 | | Total Capital International SA, 2.986%, 06/29/2041 | | | 4,687,056 | | | | 0.1 | |
4,687,000 | | Total Capital International SA, 3.127%, 05/29/2050 | | | 5,084,761 | | | | 0.1 | |
1,290,000 | | Transcontinental Gas Pipe Line Co. LLC, 3.250%, 05/15/2030 | | | 1,447,668 | | | | 0.0 | |
4,932,000 | | Valero Energy Corp., 2.850%, 04/15/2025 | | | 5,254,906 | | | | 0.1 | |
10,875,000 | | Williams Cos, Inc./The, 4.000%, 09/15/2025 | | | 12,357,742 | | | | 0.1 | |
1,356,000 | | Williams Cos, Inc./The, 5.400%, 03/04/2044 | | | 1,677,169 | | | | 0.0 | |
1,846,000 | | Williams Partners L.P., 3.600%, 03/15/2022 | | | 1,906,407 | | | | 0.0 | |
2,768,000 | | Williams Partners L.P., 3.750%, 06/15/2027 | | | 3,158,980 | | | | 0.0 | |
9,195,000 | | WPX Energy, Inc., 5.750%, 06/01/2026 | | | 9,680,036 | | | | 0.1 | |
| | | | | 390,985,624 | | | | 3.8 | |
| | | | | | | | | | |
| | Financial: 11.7% | |
12,331,000(1),(2) | | ABN AMRO Bank NV, 4.750%, 07/28/2025 | | | 14,219,191 | | | | 0.1 | |
3,163,000 | | American International Group, Inc., 3.875%, 01/15/2035 | | | 3,800,713 | | | | 0.0 | |
1,147,000 | | American International Group, Inc., 4.375%, 01/15/2055 | | | 1,475,962 | | | | 0.0 | |
6,570,000 | | American International Group, Inc., 4.500%, 07/16/2044 | | | 8,417,179 | | | | 0.1 | |
2,121,000 | | American International Group, Inc., 4.750%, 04/01/2048 | | | 2,829,952 | | | | 0.0 | |
2,202,000 | | American International Group, Inc., 4.800%, 07/10/2045 | | | 2,914,532 | | | | 0.0 | |
1,247,000(3) | | American International Group, Inc., 5.750%, 04/01/2048 | | | 1,428,588 | | | | 0.0 | |
3,085,000 | | American Tower Corp., 3.700%, 10/15/2049 | | | 3,505,528 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
CORPORATE BONDS/NOTES: (continued) | | | | | | | |
| | Financial: (continued) | |
3,420,000(1) | | ANZ New Zealand Int’l Ltd./London, 3.400%, 03/19/2024 | | $ | 3,716,106 | | | | 0.0 | |
2,845,000 | | Arch Capital Group Ltd., 3.635%, 06/30/2050 | | | 3,317,309 | | | | 0.0 | |
5,050,000(2) | | Assurant, Inc., 3.700%, 02/22/2030 | | | 5,637,882 | | | | 0.1 | |
4,643,000(2) | | Assurant, Inc., 4.900%, 03/27/2028 | | | 5,337,522 | | | | 0.1 | |
10,344,000(1) | | Athene Global Funding, 2.550%, 11/19/2030 | | | 10,359,281 | | | | 0.1 | |
5,689,000(1) | | Athene Global Funding, 2.800%, 05/26/2023 | | | 5,941,089 | | | | 0.1 | |
3,452,000(1) | | Athene Global Funding, 2.950%, 11/12/2026 | | | 3,706,499 | | | | 0.0 | |
2,332,000 | | AvalonBay Communities, Inc., 2.450%, 01/15/2031 | | | 2,510,982 | | | | 0.0 | |
1,137,000(1) | | Aviation Capital Group LLC, 3.875%, 05/01/2023 | | | 1,185,422 | | | | 0.0 | |
2,027,000(1) | | Aviation Capital Group LLC, 4.375%, 01/30/2024 | | | 2,140,748 | | | | 0.0 | |
5,189,000(1) | | Aviation Capital Group LLC, 5.500%, 12/15/2024 | | | 5,748,638 | | | | 0.1 | |
4,600,000(1) | | Banco Bradesco SA/Cayman Islands, 3.200%, 01/27/2025 | | | 4,824,296 | | | | 0.1 | |
4,250,000(2) | | Banco de Bogota SA, 6.250%, 05/12/2026 | | | 4,908,793 | | | | 0.1 | |
764,000 | | Banco Nacional de Comercio Exterior SNC/Cayman Islands, 4.375%, 10/14/2025 | | | 847,005 | | | | 0.0 | |
3,750,000(1) | | Banco Nacional de Panama, 2.500%, 08/11/2030 | | | 3,759,375 | | | | 0.0 | |
5,200,000 | | Banco Santander SA, 2.746%, 05/28/2025 | | | 5,555,788 | | | | 0.1 | |
4,600,000 | | Banco Santander SA, 3.125%, 02/23/2023 | | | 4,844,556 | | | | 0.1 | |
4,175,000 | | Bancolombia SA, 3.000%, 01/29/2025 | | | 4,345,966 | | | | 0.0 | |
7,100,000(1),(3) | | Bangkok Bank PCL/Hong Kong, 5.000%, 12/31/2199 | | | 7,441,157 | | | | 0.1 | |
9,365,000(3) | | Bank of America Corp., 0.981%, 09/25/2025 | | | 9,472,131 | | | | 0.1 | |
5,462,000(3) | | Bank of America Corp., 1.197%, 10/24/2026 | | | 5,536,062 | | | | 0.1 | |
4,961,000(3) | | Bank of America Corp., 1.898%, 07/23/2031 | | | 5,013,763 | | | | 0.1 | |
3,901,000(3) | | Bank of America Corp., 1.922%, 10/24/2031 | | | 3,953,752 | | | | 0.0 | |
1,495,000(2),(3) | | Bank of America Corp., 2.015%, 02/13/2026 | | | 1,567,452 | | | | 0.0 | |
3,402,000(3) | | Bank of America Corp., 2.592%, 04/29/2031 | | | 3,648,582 | | | | 0.0 | |
10,498,000(3) | | Bank of America Corp., 2.676%, 06/19/2041 | | | 10,954,392 | | | | 0.1 | |
3,625,000(3) | | Bank of America Corp., 3.194%, 07/23/2030 | | | 4,063,528 | | | | 0.0 | |
2,750,000(3) | | Bank of America Corp., 3.419%, 12/20/2028 | | | 3,111,245 | | | | 0.0 | |
7,787,000(3) | | Bank of America Corp., 3.499%, 05/17/2022 | | | 7,879,502 | | | | 0.1 | |
2,300,000(3) | | Bank of America Corp., 3.550%, 03/05/2024 | | | 2,458,191 | | | | 0.0 | |
1,941,000 | | Bank of America Corp., 3.950%, 04/21/2025 | | | 2,188,844 | | | | 0.0 | |
1,718,000(3) | | Bank of America Corp., 3.970%, 03/05/2029 | | | 2,003,985 | | | | 0.0 | |
2,645,000(3) | | Bank of America Corp., 4.078%, 04/23/2040 | | | 3,256,807 | | | | 0.0 | |
2,903,000(3) | | Bank of America Corp., 4.083%, 03/20/2051 | | | 3,670,296 | | | | 0.0 | |
7,307,000 | | Bank of America Corp., 4.183%, 11/25/2027 | | | 8,481,320 | | | | 0.1 | |
4,495,000 | | Bank of America Corp., 4.250%, 10/22/2026 | | | 5,275,506 | | | | 0.1 | |
9,614,000(3) | | Bank of America Corp., 4.271%, 07/23/2029 | | | 11,450,351 | | | | 0.1 | |
594,000(3) | | Bank of America Corp., 5.125%, 12/31/2199 | | | 628,496 | | | | 0.0 | |
5,000,000(3) | | Bank of America Corp., 2.884%, 10/22/2030 | | | 5,491,987 | | | | 0.1 | |
5,594,000(3) | | Bank of Montreal, 3.803%, 12/15/2032 | | | 6,342,708 | | | | 0.1 | |
3,960,000(2),(3) | | Bank of New York Mellon Corp./The, 3.700%, 12/31/2199 | | | 4,112,064 | | | | 0.0 | |
2,940,000 | | Bank of Nova Scotia/The, 2.200%, 02/03/2025 | | | 3,125,146 | | | | 0.0 | |
2,417,000 | | Bank of Nova Scotia/The, 2.700%, 08/03/2026 | | | 2,666,273 | | | | 0.0 | |
4,740,000(2),(3) | | Bank of Nova Scotia/The, 4.900%, 12/31/2199 | | | 5,143,706 | | | | 0.1 | |
3,962,000 | | Bank of Nova Scotia, 4.500%, 12/16/2025 | | | 4,624,709 | | | | 0.1 | |
4,952,000(1) | | Banque Federative du Credit Mutuel SA, 0.650%, 02/27/2024 | | | 4,967,515 | | | | 0.1 | |
13,595,000(1) | | Banque Federative du Credit Mutuel SA, 2.375%, 11/21/2024 | | | 14,418,476 | | | | 0.1 | |
2,980,000(1) | | Barclays Bank PLC, 10.179%, 06/12/2021 | | | 3,099,603 | | | | 0.0 | |
6,041,000(3) | | Barclays PLC, 1.007%, 12/10/2024 | | | 6,084,910 | | | | 0.1 | |
3,687,000(3) | | Barclays PLC, 3.564%, 09/23/2035 | | | 3,999,621 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
CORPORATE BONDS/NOTES: (continued) | | | | | | | |
| | Financial: (continued) | |
4,548,000(3) | | Barclays PLC, 3.932%, 05/07/2025 | | $ | 4,977,086 | | | | 0.1 | |
2,475,000(3) | | Barclays PLC, 4.610%, 02/15/2023 | | | 2,584,103 | | | | 0.0 | |
2,575,000 | | Berkshire Hathaway Finance Corp., 1.450%, 10/15/2030 | | | 2,610,497 | | | | 0.0 | |
1,687,000 | | Berkshire Hathaway Finance Corp., 2.850%, 10/15/2050 | | | 1,810,867 | | | | 0.0 | |
5,060,000 | | Berkshire Hathaway Finance Corp., 4.250%, 01/15/2049 | | | 6,722,013 | | | | 0.1 | |
5,150,000(1),(3) | | BNP Paribas SA, 2.219%, 06/09/2026 | | | 5,392,471 | | | | 0.1 | |
2,641,000(1),(3) | | BNP Paribas SA, 2.588%, 08/12/2035 | | | 2,703,021 | | | | 0.0 | |
9,060,000(1),(3) | | BNP Paribas SA, 2.819%, 11/19/2025 | | | 9,683,021 | | | | 0.1 | |
2,000,000(1),(3) | | BNP Paribas SA, 3.052%, 01/13/2031 | | | 2,183,901 | | | | 0.0 | |
4,499,000(1) | | BNP Paribas SA, 3.375%, 01/09/2025 | | | 4,936,188 | | | | 0.1 | |
3,062,000 | | Boston Properties L.P., 3.250%, 01/30/2031 | | | 3,379,730 | | | | 0.0 | |
8,130,000(1),(2) | | BPCE SA, 2.700%, 10/01/2029 | | | 8,743,171 | | | | 0.1 | |
2,094,000(1) | | BPCE SA, 5.150%, 07/21/2024 | | | 2,386,533 | | | | 0.0 | |
7,020,000(1) | | BPCE SA, 5.700%, 10/22/2023 | | | 7,950,169 | | | | 0.1 | |
4,814,000 | | Brookfield Finance LLC, 3.450%, 04/15/2050 | | | 5,115,285 | | | | 0.1 | |
3,394,000 | | Brookfield Finance, Inc., 4.350%, 04/15/2030 | | | 4,068,587 | | | | 0.0 | |
1,394,000 | | Camden Property Trust, 2.800%, 05/15/2030 | | | 1,549,795 | | | | 0.0 | |
11,000,000(2) | | Canadian Imperial Bank of Commerce, 2.250%, 01/28/2025 | | | 11,693,591 | | | | 0.1 | |
12,153,000(3) | | Canadian Imperial Bank of Commerce, 2.606%, 07/22/2023 | | | 12,575,170 | | | | 0.1 | |
2,002,000(2) | | Canadian Imperial Bank of Commerce, 3.100%, 04/02/2024 | | | 2,167,046 | | | | 0.0 | |
2,119,000 | | Capital One Financial Corp., 3.650%, 05/11/2027 | | | 2,429,412 | | | | 0.0 | |
3,146,000 | | Capital One Financial Corp., 3.750%, 03/09/2027 | | | 3,591,931 | | | | 0.0 | |
4,675,000 | | Charles Schwab Corp./The, 1.650%, 03/11/2031 | | | 4,722,638 | | | | 0.1 | |
3,329,000(3) | | Charles Schwab Corp./The, 5.375%, 12/31/2199 | | | 3,715,996 | | | | 0.0 | |
2,787,000(3) | | Citigroup, Inc., 1.678%, 05/15/2024 | | | 2,872,408 | | | | 0.0 | |
2,141,000(3) | | Citigroup, Inc., 2.572%, 06/03/2031 | | | 2,282,647 | | | | 0.0 | |
3,170,000(3) | | Citigroup, Inc., 2.876%, 07/24/2023 | | | 3,293,592 | | | | 0.0 | |
4,915,000 | | Citigroup, Inc., 5.500%, 09/13/2025 | | | 5,912,977 | | | | 0.1 | |
1,147,000(1) | | Citizens Financial Group, Inc., 4.150%, 09/28/2022 | | | 1,211,567 | | | | 0.0 | |
1,201,000 | | Columbia Property Trust Operating Partnership L.P., 3.650%, 08/15/2026 | | | 1,256,934 | | | | 0.0 | |
638,000 | | Columbia Property Trust Operating Partnership L.P., 4.150%, 04/01/2025 | | | 673,481 | | | | 0.0 | |
1,520,000(1) | | Commonwealth Bank of Australia, 3.743%, 09/12/2039 | | | 1,789,105 | | | | 0.0 | |
3,693,000(1),(3) | | Cooperatieve Rabobank UA, 1.004%, 09/24/2026 | | | 3,721,980 | | | | 0.0 | |
4,027,000(1),(3) | | Cooperatieve Rabobank UA, 1.339%, 06/24/2026 | | | 4,115,732 | | | | 0.0 | |
6,000,000 | | Cooperatieve Rabobank UA, 3.950%, 11/09/2022 | | | 6,379,221 | | | | 0.1 | |
9,163,000 | | Cooperatieve Rabobank UA, 4.375%, 08/04/2025 | | | 10,461,988 | | | | 0.1 | |
1,500,000 | | Cooperatieve Rabobank UA, 4.625%, 12/01/2023 | | | 1,672,626 | | | | 0.0 | |
2,700,000(1) | | Corp Financiera de Desarrollo SA, 2.400%, 09/28/2027 | | | 2,740,500 | | | | 0.0 | |
1,679,000 | | Corp Financiera de Desarrollo SA, 4.750%, 07/15/2025 | | | 1,898,353 | | | | 0.0 | |
15,084,000(1),(3) | | Credit Agricole SA/London, 1.907%, 06/16/2026 | | | 15,658,704 | | | | 0.2 | |
3,611,000 | | Credit Suisse AG/New York NY, 1.000%, 05/05/2023 | | | 3,666,667 | | | | 0.0 | |
4,068,000(1) | | Credit Suisse AG, 6.500%, 08/08/2023 | | | 4,591,316 | | | | 0.1 | |
3,222,000(1),(3) | | Credit Suisse Group AG, 2.193%, 06/05/2026 | | | 3,370,024 | | | | 0.0 | |
6,870,000(1),(3) | | Credit Suisse Group AG, 2.997%, 12/14/2023 | | | 7,187,675 | | | | 0.1 | |
1,170,000(1),(3) | | Credit Suisse Group AG, 3.869%, 01/12/2029 | | | 1,326,243 | | | | 0.0 | |
3,166,000(1),(3) | | Credit Suisse Group AG, 4.194%, 04/01/2031 | | | 3,726,361 | | | | 0.0 | |
1,441,000(1) | | Credit Suisse Group AG, 4.282%, 01/09/2028 | | | 1,666,436 | | | | 0.0 | |
8,409,000 | | Credit Suisse Group Funding Guernsey Ltd., 3.800%, 09/15/2022 | | | 8,884,141 | | | | 0.1 | |
1,033,000 | | Crown Castle International Corp., 4.150%, 07/01/2050 | | | 1,257,924 | | | | 0.0 | |
4,910,000(1),(3) | | Danske Bank A/S, 1.621%, 09/11/2026 | | | 4,936,644 | | | | 0.1 | |
8,650,000(1),(2) | | Danske Bank A/S, 2.800%, 03/10/2021 | | | 8,687,606 | | | | 0.1 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
CORPORATE BONDS/NOTES: (continued) | | | | | | | |
| | Financial: (continued) | |
2,005,000(1) | | Danske Bank A/S, 5.000%, 01/12/2022 | | $ | 2,093,724 | | | | 0.0 | |
4,404,000(3) | | Deutsche Bank AG/New York NY, 3.547%, 09/18/2031 | | | 4,785,756 | | | | 0.1 | |
2,897,000 | | Discover Bank, 4.250%, 03/13/2026 | | | 3,336,879 | | | | 0.0 | |
2,404,000(3) | | Discover Bank, 4.682%, 08/09/2028 | | | 2,557,411 | | | | 0.0 | |
805,000 | | Discover Financial Services, 3.850%, 11/21/2022 | | | 856,652 | | | | 0.0 | |
1,671,000(1) | | Empower Finance 2020 L.P., 1.357%, 09/17/2027 | | | 1,684,389 | | | | 0.0 | |
6,000,000 | | ERP Operating L.P., 2.500%, 02/15/2030 | | | 6,482,584 | | | | 0.1 | |
9,425,000(1) | | ESH Hospitality, Inc., 4.625%, 10/01/2027 | | | 9,672,406 | | | | 0.1 | |
4,085,000 | | Essex Portfolio L.P., 3.000%, 01/15/2030 | | | 4,510,588 | | | | 0.1 | |
1,862,000 | | Essex Portfolio L.P., 3.250%, 05/01/2023 | | | 1,963,563 | | | | 0.0 | |
5,348,000 | | Fairfax Financial Holdings Ltd., 4.850%, 04/17/2028 | | | 5,990,381 | | | | 0.1 | |
2,931,000(1) | | Fairfax US, Inc., 4.875%, 08/13/2024 | | | 3,216,675 | | | | 0.0 | |
8,087,000(1) | | Federation des Caisses Desjardins du Quebec, 2.050%, 02/10/2025 | | | 8,505,068 | | | | 0.1 | |
750,000 | | Fondo MIVIVIENDA SA, 3.500%, 01/31/2023 | | | 787,429 | | | | 0.0 | |
2,848,000 | | Franklin Resources, Inc., 1.600%, 10/30/2030 | | | 2,835,802 | | | | 0.0 | |
2,511,000(1) | | GE Capital Funding LLC, 4.400%, 05/15/2030 | | | 2,960,797 | | | | 0.0 | |
4,509,000 | | GE Capital International Funding Co. Unlimited Co., 4.418%, 11/15/2035 | | | 5,382,781 | | | | 0.1 | |
5,493,000 | | Goldman Sachs Group, Inc., 4.250%, 10/21/2025 | | | 6,302,917 | | | | 0.1 | |
1,680,000 | | Goldman Sachs Group, Inc., 5.150%, 05/22/2045 | | | 2,352,823 | | | | 0.0 | |
792,000 | | Goldman Sachs Group, Inc., 6.750%, 10/01/2037 | | | 1,211,939 | | | | 0.0 | |
1,935,000 | | Hartford Financial Services Group, Inc./The, 5.950%, 10/15/2036 | | | 2,714,274 | | | | 0.0 | |
3,779,000(3) | | HSBC Holdings PLC, 1.589%, 05/24/2027 | | | 3,843,956 | | | | 0.0 | |
2,569,000(3) | | HSBC Holdings PLC, 1.645%, 04/18/2026 | | | 2,628,581 | | | | 0.0 | |
5,105,000(3) | | HSBC Holdings PLC, 2.013%, 09/22/2028 | | | 5,230,403 | | | | 0.1 | |
6,500,000(3) | | HSBC Holdings PLC, 2.099%, 06/04/2026 | | | 6,760,179 | | | | 0.1 | |
3,038,000(2),(3) | | HSBC Holdings PLC, 2.357%, 08/18/2031 | | | 3,142,658 | | | | 0.0 | |
4,759,000(3) | | HSBC Holdings PLC, 2.633%, 11/07/2025 | | | 5,067,156 | | | | 0.1 | |
8,523,000(3) | | HSBC Holdings PLC, 3.262%, 03/13/2023 | | | 8,810,250 | | | | 0.1 | |
2,924,000(3) | | HSBC Holdings PLC, 3.973%, 05/22/2030 | | | 3,382,099 | | | | 0.0 | |
4,593,000(3) | | HSBC Holdings PLC, 4.041%, 03/13/2028 | | | 5,246,028 | | | | 0.1 | |
4,085,000 | | HSBC Holdings PLC, 4.300%, 03/08/2026 | | | 4,708,058 | | | | 0.1 | |
1,883,000 | | HSBC Holdings PLC, 4.950%, 03/31/2030 | | | 2,357,686 | | | | 0.0 | |
4,831,000(3) | | HSBC Holdings PLC, 6.000%, 12/31/2199 | | | 5,271,829 | | | | 0.1 | |
6,599,000 | | ING Groep NV, 3.550%, 04/09/2024 | | | 7,212,146 | | | | 0.1 | |
3,483,000 | | Intercontinental Exchange, Inc., 2.650%, 09/15/2040 | | | 3,575,259 | | | | 0.0 | |
3,301,000 | | Intercontinental Exchange, Inc., 3.000%, 06/15/2050 | | | 3,495,149 | | | | 0.0 | |
2,889,000 | | Intercontinental Exchange, Inc., 4.250%, 09/21/2048 | | | 3,653,788 | | | | 0.0 | |
2,500,000(1) | | Itau Unibanco Holding SA/Cayman Island, 3.250%, 01/24/2025 | | | 2,624,750 | | | | 0.0 | |
9,423,000(3) | | JPMorgan Chase & Co., 2.182%, 06/01/2028 | | | 10,010,125 | | | | 0.1 | |
5,000,000(3) | | JPMorgan Chase & Co., 2.301%, 10/15/2025 | | | 5,309,594 | | | | 0.1 | |
9,967,000(3) | | JPMorgan Chase & Co., 2.522%, 04/22/2031 | | | 10,720,591 | | | | 0.1 | |
7,515,000(3) | | JPMorgan Chase & Co., 2.525%, 11/19/2041 | | | 7,736,310 | | | | 0.1 | |
8,459,000(3) | | JPMorgan Chase & Co., 3.207%, 04/01/2023 | | | 8,773,340 | | | | 0.1 | |
10,000(3) | | JPMorgan Chase & Co., 3.559%, 04/23/2024 | | | 10,721 | | | | 0.0 | |
4,270,000(3) | | JPMorgan Chase & Co., 3.797%, 07/23/2024 | | | 4,636,025 | | | | 0.1 | |
3,700,000 | | JPMorgan Chase & Co., 3.875%, 09/10/2024 | | | 4,144,467 | | | | 0.0 | |
2,423,000(3) | | JPMorgan Chase & Co., 3.964%, 11/15/2048 | | | 3,049,560 | | | | 0.0 | |
4,145,000(3) | | JPMorgan Chase & Co., 4.452%, 12/05/2029 | | | 5,058,490 | | | | 0.1 | |
2,200,000(3) | | JPMorgan Chase & Co., 4.493%, 03/24/2031 | | | 2,709,088 | | | | 0.0 | |
11,251,000(3) | | JPMorgan Chase & Co., 4.600%, 12/31/2199 | | | 11,630,721 | | | | 0.1 | |
2,123,000(3) | | JPMorgan Chase & Co., 5.000%, 12/31/2199 | | | 2,235,286 | | | | 0.0 | |
2,990,000 | | Kilroy Realty L.P., 3.450%, 12/15/2024 | | | 3,244,729 | | | | 0.0 | |
4,649,000 | | Kimco Realty Corp., 3.700%, 10/01/2049 | | | 5,009,943 | | | | 0.1 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
CORPORATE BONDS/NOTES: (continued) | | | | | | | |
| | Financial: (continued) | |
2,838,000(1) | | KKR Group Finance Co. VII LLC, 3.625%, 02/25/2050 | | $ | 3,167,684 | | | | 0.0 | |
2,500,000(1) | | Kookmin Bank, 2.500%, 11/04/2030 | | | 2,548,385 | | | | 0.0 | |
5,811,000(1) | | Liberty Mutual Group, Inc., 3.951%, 10/15/2050 | | | 6,971,849 | | | | 0.1 | |
2,545,000(3) | | Lloyds Banking Group PLC, 2.438%, 02/05/2026 | | | 2,689,758 | | | | 0.0 | |
2,849,000(3) | | Lloyds Banking Group PLC, 2.907%, 11/07/2023 | | | 2,977,710 | | | | 0.0 | |
4,310,000 | | Main Street Capital Corp., 5.200%, 05/01/2024 | | | 4,678,802 | | | | 0.1 | |
5,271,000(3) | | MetLife, Inc., 3.850%, 12/31/2199 | | | 5,574,082 | | | | 0.1 | |
7,183,000 | | Mitsubishi UFJ Financial Group, Inc., 1.412%, 07/17/2025 | | | 7,385,888 | | | | 0.1 | |
4,479,000 | | Mitsubishi UFJ Financial Group, Inc., 2.193%, 02/25/2025 | | | 4,735,782 | | | | 0.1 | |
725,000 | | Mitsubishi UFJ Financial Group, Inc., 2.757%, 09/13/2026 | | | 798,743 | | | | 0.0 | |
5,500,000 | | Mizuho Financial Group Cayman 2 Ltd., 4.200%, 07/18/2022 | | | 5,785,468 | | | | 0.1 | |
5,774,000(3) | | Mizuho Financial Group, Inc., 1.241%, 07/10/2024 | | | 5,870,839 | | | | 0.1 | |
3,417,000(3) | | Mizuho Financial Group, Inc., 2.226%, 05/25/2026 | | | 3,598,630 | | | | 0.0 | |
2,726,000(3) | | Mizuho Financial Group, Inc., 2.555%, 09/13/2025 | | | 2,881,579 | | | | 0.0 | |
660,000(1) | | Mizuho Financial Group, Inc., 3.477%, 04/12/2026 | | | 740,050 | | | | 0.0 | |
8,188,000(3) | | Morgan Stanley, 1.794%, 02/13/2032 | | | 8,241,243 | | | | 0.1 | |
5,414,000(3) | | Morgan Stanley, 2.188%, 04/28/2026 | | | 5,722,079 | | | | 0.1 | |
5,350,000(3) | | Morgan Stanley, 3.622%, 04/01/2031 | | | 6,217,680 | | | | 0.1 | |
3,840,000 | | Morgan Stanley, 3.700%, 10/23/2024 | | | 4,277,284 | | | | 0.0 | |
3,210,000 | | Morgan Stanley, 3.875%, 04/29/2024 | | | 3,555,154 | | | | 0.0 | |
2,750,000 | | Morgan Stanley, 3.875%, 01/27/2026 | | | 3,155,214 | | | | 0.0 | |
3,524,000 | | Morgan Stanley, 4.000%, 07/23/2025 | | | 4,035,438 | | | | 0.0 | |
2,439,000(3) | | Morgan Stanley, 4.457%, 04/22/2039 | | | 3,171,460 | | | | 0.0 | |
10,040,000 | | MPT Operating Partnership L.P. / MPT Finance Corp., 3.500%, 03/15/2031 | | | 10,385,125 | | | | 0.1 | |
2,150,000 | | Nasdaq, Inc., 1.650%, 01/15/2031 | | | 2,131,858 | | | | 0.0 | |
3,787,000 | | Nasdaq, Inc., 2.500%, 12/21/2040 | | | 3,753,998 | | | | 0.0 | |
5,050,000(1) | | National Australia Bank Ltd., 2.332%, 08/21/2030 | | | 5,142,073 | | | | 0.1 | |
2,990,000(1),(2),(3) | | National Australia Bank Ltd., 3.933%, 08/02/2034 | | | 3,362,368 | | | | 0.0 | |
4,235,000(2),(3) | | National Bank of Canada, 0.550%, 11/15/2024 | | | 4,249,578 | | | | 0.0 | |
5,105,000(1) | | Nationwide Building Society, 2.000%, 01/27/2023 | | | 5,270,609 | | | | 0.1 | |
9,520,000(1),(3) | | Nationwide Building Society, 4.363%, 08/01/2024 | | | 10,351,882 | | | | 0.1 | |
3,595,000(3) | | Natwest Group PLC, 3.032%, 11/28/2035 | | | 3,722,479 | | | | 0.0 | |
2,910,000(3) | | Natwest Group PLC, 3.073%, 05/22/2028 | | | 3,161,751 | | | | 0.0 | |
6,418,000 | | Natwest Group PLC, 3.875%, 09/12/2023 | | | 6,966,877 | | | | 0.1 | |
459,000(3) | | Natwest Group PLC, 4.269%, 03/22/2025 | | | 507,943 | | | | 0.0 | |
5,954,000(3) | | Natwest Group PLC, 4.519%, 06/25/2024 | | | 6,504,841 | | | | 0.1 | |
5,075,000 | | Navient Corp., 5.000%, 03/15/2027 | | | 5,126,410 | | | | 0.1 | |
1,000,000(1),(3) | | NBK Tier 1 Financing 2 Ltd., 4.500%, 12/31/2199 | | | 1,025,000 | | | | 0.0 | |
3,915,000(1) | | New York Life Global Funding, 2.875%, 04/10/2024 | | | 4,211,672 | | | | 0.0 | |
1,345,000(1),(2),(3) | | Nordea Bank ABP, 6.125%, 12/31/2199 | | | 1,469,513 | | | | 0.0 | |
DKK 4(4) | | Nordea Kredit Realkreditaktieselskab, 6.000%, 07/01/2029 | | | – | | | | – | |
3,885,000 | | Northern Trust Corp., 1.950%, 05/01/2030 | | | 4,052,287 | | | | 0.0 | |
4,068,000(1) | | Northwestern Mutual Life Insurance Co/The, 3.625%, 09/30/2059 | | | 4,732,053 | | | | 0.1 | |
7,860,000 | | ORIX Corp., 3.250%, 12/04/2024 | | | 8,600,470 | | | | 0.1 | |
2,000,000(1),(3) | | Oversea-Chinese Banking Corp. Ltd., 1.832%, 09/10/2030 | | | 2,033,271 | | | | 0.0 | |
8,396,000 | | Owl Rock Capital Corp., 4.250%, 01/15/2026 | | | 8,847,759 | | | | 0.1 | |
5,456,000(1) | | Owl Rock Technology Finance Corp., 4.750%, 12/15/2025 | | | 5,708,554 | | | | 0.1 | |
3,412,000 | | Piedmont Operating Partnership L.P., 3.150%, 08/15/2030 | | | 3,498,856 | | | | 0.0 | |
1,580,000 | | Piedmont Operating Partnership L.P., 4.450%, 03/15/2024 | | | 1,693,723 | | | | 0.0 | |
2,000,000 | | Power Sector Assets & Liabilities Management Corp., 7.390%, 12/02/2024 | | | 2,507,616 | | | | 0.0 | |
2,335,000 | | Prologis L.P., 3.000%, 04/15/2050 | | | 2,583,591 | | | | 0.0 | |
4,895,000(1) | | Quicken Loans LLC / Quicken Loans Co-Issuer, Inc., 3.875%, 03/01/2031 | | | 5,090,800 | | | | 0.1 | |
4,520,000(1) | | Quicken Loans LLC, 5.250%, 01/15/2028 | | | 4,833,575 | | | | 0.1 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
CORPORATE BONDS/NOTES: (continued) | | | | | | | |
| | Financial: (continued) | |
3,152,000 | | Regency Centers L.P., 2.950%, 09/15/2029 | | $ | 3,369,849 | | | | 0.0 | |
3,622,000 | | Regency Centers L.P., 3.700%, 06/15/2030 | | | 4,109,254 | | | | 0.0 | |
1,250,000 | | Retail Opportunity Investments Partnership L.P., 5.000%, 12/15/2023 | | | 1,341,695 | | | | 0.0 | |
3,008,000 | | Retail Properties of America, Inc., 4.750%, 09/15/2030 | | | 3,198,134 | | | | 0.0 | |
4,410,000 | | Royal Bank of Canada, 0.898%, (US0003M + 0.660%), 10/05/2023 | | | 4,456,373 | | | | 0.1 | |
3,572,000(1) | | Scentre Group Trust 1 / Scentre Group Trust 2, 3.625%, 01/28/2026 | | | 3,932,184 | | | | 0.0 | |
2,604,000(1),(3) | | Scentre Group Trust 2, 5.125%, 09/24/2080 | | | 2,750,153 | | | | 0.0 | |
5,780,000(1) | | Skandinaviska Enskilda Banken AB, 0.850%, 09/02/2025 | | | 5,801,531 | | | | 0.1 | |
6,104,000(1),(3) | | Standard Chartered PLC, 3.265%, 02/18/2036 | | | 6,392,579 | | | | 0.1 | |
5,250,000(3) | | State Street Corp., 3.031%, 11/01/2034 | | | 5,763,274 | | | | 0.1 | |
4,770,000 | | Sumitomo Mitsui Financial Group, Inc., 2.142%, 09/23/2030 | | | 4,797,166 | | | | 0.1 | |
3,225,000 | | Sumitomo Mitsui Financial Group, Inc., 2.448%, 09/27/2024 | | | 3,437,810 | | | | 0.0 | |
300,000 | | Sumitomo Mitsui Financial Group, Inc., 3.010%, 10/19/2026 | | | 332,563 | | | | 0.0 | |
3,351,000(1) | | Sumitomo Mitsui Trust Bank Ltd., 1.050%, 09/12/2025 | | | 3,376,443 | | | | 0.0 | |
9,340,000 | | Toronto-Dominion Bank/The, 3.250%, 03/11/2024 | | | 10,152,804 | | | | 0.1 | |
1,354,000 | | Travelers Cos, Inc./The, 4.000%, 05/30/2047 | | | 1,757,068 | | | | 0.0 | |
4,600,000 | | Truist Bank, 2.250%, 03/11/2030 | | | 4,829,349 | | | | 0.1 | |
3,293,000 | | Truist Bank, 3.200%, 04/01/2024 | | | 3,575,533 | | | | 0.0 | |
3,244,000 | | Truist Financial Corp., 1.125%, 08/03/2027 | | | 3,267,883 | | | | 0.0 | |
2,202,000(3) | | Truist Financial Corp., 4.800%, 12/31/2199 | | | 2,321,752 | | | | 0.0 | |
2,705,000(3) | | Truist Financial Corp., 4.950%, 12/31/2199 | | | 2,982,290 | | | | 0.0 | |
3,609,000(3) | | Truist Financial Corp., 5.100%, 12/31/2199 | | | 4,132,341 | | | | 0.0 | |
1,575,000(1) | | Turkiye Vakiflar Bankasi TAO, 5.250%, 02/05/2025 | | | 1,555,612 | | | | 0.0 | |
3,500,000(1) | | Turkiye Vakiflar Bankasi TAO, 6.500%, 01/08/2026 | | | 3,596,772 | | | | 0.0 | |
3,180,000 | | UBS AG, 5.125%, 05/15/2024 | | | 3,513,105 | | | | 0.0 | |
4,162,000(1),(3) | | UBS Group AG, 1.008%, 07/30/2024 | | | 4,204,623 | | | | 0.0 | |
3,853,000(1),(3) | | UBS Group AG, 1.364%, 01/30/2027 | | | 3,898,078 | | | | 0.0 | |
7,779,000(1),(3) | | UBS Group AG, 2.859%, 08/15/2023 | | | 8,067,204 | | | | 0.1 | |
3,125,000 | | UDR, Inc., 2.100%, 08/01/2032 | | | 3,187,931 | | | | 0.0 | |
7,286,000 | | UDR, Inc., 3.000%, 08/15/2031 | | | 8,063,157 | | | | 0.1 | |
5,000,000 | | US Bank NA/Cincinnati OH, 2.050%, 01/21/2025 | | | 5,293,167 | | | | 0.1 | |
8,766,000(1) | | USAA Capital Corp., 2.125%, 05/01/2030 | | | 9,223,725 | | | | 0.1 | |
1,005,000 | | Ventas Realty L.P., 5.700%, 09/30/2043 | | | 1,303,036 | | | | 0.0 | |
5,928,000 | | VEREIT Operating Partnership L.P., 2.200%, 06/15/2028 | | | 6,066,882 | | | | 0.1 | |
9,500,000(3) | | Wells Fargo & Co., 1.654%, 06/02/2024 | | | 9,761,540 | | | | 0.1 | |
5,017,000(3) | | Wells Fargo & Co., 2.393%, 06/02/2028 | | | 5,343,770 | | | | 0.1 | |
9,435,000(3) | | Wells Fargo & Co., 2.406%, 10/30/2025 | | | 9,978,179 | | | | 0.1 | |
3,788,000(3) | | Wells Fargo & Co., 3.068%, 04/30/2041 | | | 4,126,793 | | | | 0.0 | |
6,670,000 | | Wells Fargo & Co., 3.750%, 01/24/2024 | | | 7,284,698 | | | | 0.1 | |
4,723,000 | | Wells Fargo & Co., 4.125%, 08/15/2023 | | | 5,162,136 | | | | 0.1 | |
1,556,000 | | Wells Fargo & Co., 4.750%, 12/07/2046 | | | 2,038,519 | | | | 0.0 | |
3,115,000(3) | | Wells Fargo & Co., 5.013%, 04/04/2051 | | | 4,432,500 | | | | 0.1 | |
4,455,000(3) | | Wells Fargo Bank NA, 2.082%, 09/09/2022 | | | 4,506,455 | | | | 0.1 | |
2,270,000 | | Westpac Banking Corp., 2.350%, 02/19/2025 | | | 2,440,147 | | | | 0.0 | |
4,347,000 | | Westpac Banking Corp., 2.963%, 11/16/2040 | | | 4,629,190 | | | | 0.1 | |
372,000 | | Willis Towers Watson PLC, 5.750%, 03/15/2021 | | | 375,757 | | | | 0.0 | |
3,004,000 | | WP Carey, Inc., 2.400%, 02/01/2031 | | | 3,124,810 | | | | 0.0 | |
6,680,000 | | XLIT Ltd., 4.450%, 03/31/2025 | | | 7,629,179 | | | | 0.1 | |
2,000,000 | | XLIT Ltd., 5.250%, 12/15/2043 | | | 2,835,402 | | | | 0.0 | |
2,296,000 | | XLIT Ltd., 5.500%, 03/31/2045 | | | 3,217,090 | | | | 0.0 | |
| | | | | 1,209,084,677 | | | | 11.7 | |
| | | | | | | | | | |
| | Industrial: 2.7% | |
1,335,000 | | 3M Co., 3.700%, 04/15/2050 | | | 1,658,768 | | | | 0.0 | |
8,300,000 | | AECOM, 5.125%, 03/15/2027 | | | 9,266,037 | | | | 0.1 | |
8,620,000(1) | | Airbus Finance BV, 2.700%, 04/17/2023 | | | 9,054,359 | | | | 0.1 | |
5,435,000 | | Amphenol Corp., 2.800%, 02/15/2030 | | | 5,999,065 | | | | 0.1 | |
3,878,000(1) | | BAE Systems PLC, 3.400%, 04/15/2030 | | | 4,397,903 | | | | 0.1 | |
5,800,000(1) | | Berry Global, Inc., 5.625%, 07/15/2027 | | | 6,247,687 | | | | 0.1 | |
2,530,000(3) | | BNSF Funding Trust I, 6.613%, 12/15/2055 | | | 2,893,687 | | | | 0.0 | |
2,599,000(2) | | Boeing Co/The, 5.805%, 05/01/2050 | | | 3,590,467 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
CORPORATE BONDS/NOTES: (continued) | | | | | | | |
| | Industrial: (continued) | |
4,144,000(2) | | Boeing Co/The, 3.250%, 02/01/2028 | | $ | 4,444,882 | | | | 0.1 | |
1,709,000 | | Boeing Co/The, 3.625%, 02/01/2031 | | | 1,875,358 | | | | 0.0 | |
1,269,000 | | Boeing Co/The, 3.850%, 11/01/2048 | | | 1,311,208 | | | | 0.0 | |
2,575,000 | | Boeing Co/The, 4.875%, 05/01/2025 | | | 2,936,991 | | | | 0.0 | |
9,445,000(1) | | Builders FirstSource, Inc., 5.000%, 03/01/2030 | | | 10,165,181 | | | | 0.1 | |
4,885,000 | | Burlington Northern Santa Fe LLC, 3.900%, 08/01/2046 | | | 6,242,734 | | | | 0.1 | |
1,165,000 | | Burlington Northern Santa Fe LLC, 4.450%, 03/15/2043 | | | 1,569,644 | | | | 0.0 | |
2,728,000 | | Burlington Northern Santa Fe LLC, 5.150%, 09/01/2043 | | | 3,946,897 | | | | 0.0 | |
5,082,000 | | Carrier Global Corp., 2.493%, 02/15/2027 | | | 5,487,647 | | | | 0.1 | |
2,965,000 | | Carrier Global Corp., 2.722%, 02/15/2030 | | | 3,170,425 | | | | 0.0 | |
4,460,000(1) | | Cascades, Inc./Cascades USA, Inc., 5.375%, 01/15/2028 | | | 4,748,506 | | | | 0.1 | |
5,287,000(1) | | CCL Industries, Inc., 3.050%, 06/01/2030 | | | 5,774,203 | | | | 0.1 | |
4,350,000(1) | | Cemex SAB de CV, 5.200%, 09/17/2030 | | | 4,775,213 | | | | 0.1 | |
2,715,000 | | CSX Corp., 4.650%, 03/01/2068 | | | 3,807,089 | | | | 0.0 | |
890,000 | | CSX Corp., 4.500%, 08/01/2054 | | | 1,182,175 | | | | 0.0 | |
1,550,000(1),(2) | | ENA Master Trust, 4.000%, 05/19/2048 | | | 1,672,063 | | | | 0.0 | |
1,428,000 | | FedEx Corp., 3.900%, 02/01/2035 | | | 1,708,642 | | | | 0.0 | |
4,000,000 | | FedEx Corp., 4.050%, 02/15/2048 | | | 4,835,201 | | | | 0.1 | |
2,096,000 | | FedEx Corp., 4.250%, 05/15/2030 | | | 2,549,302 | | | | 0.0 | |
2,647,000 | | FedEx Corp., 4.400%, 01/15/2047 | | | 3,350,328 | | | | 0.0 | |
3,007,000 | | FedEx Corp. 2020-1 Class AA Pass Through Trust, 1.875%, 08/20/2035 | | | 3,110,927 | | | | 0.0 | |
2,800,000 | | GATX Corp., 4.000%, 06/30/2030 | | | 3,313,823 | | | | 0.0 | |
5,327,000 | | General Dynamics Corp., 3.500%, 04/01/2027 | | | 6,130,893 | | | | 0.1 | |
3,906,000 | | General Dynamics Corp., 4.250%, 04/01/2040 | | | 5,088,141 | | | | 0.1 | |
2,518,000(2) | | General Electric Co., 3.625%, 05/01/2030 | | | 2,879,672 | | | | 0.0 | |
7,705,000(1) | | GFL Environmental, Inc., 3.500%, 09/01/2028 | | | 7,870,349 | | | | 0.1 | |
1,755,000(1) | | GFL Environmental, Inc., 3.750%, 08/01/2025 | | | 1,793,391 | | | | 0.0 | |
5,925,000 | | Honeywell International, Inc., 1.950%, 06/01/2030 | | | 6,277,284 | | | | 0.1 | |
2,786,000(2) | | Lockheed Martin Corp., 2.800%, 06/15/2050 | | | 3,015,738 | | | | 0.0 | |
2,966,000 | | Lockheed Martin Corp., 4.070%, 12/15/2042 | | | 3,854,386 | | | | 0.0 | |
3,379,000 | | Norfolk Southern Corp., 3.650%, 08/01/2025 | | | 3,780,137 | | | | 0.0 | |
434,000 | | Northrop Grumman Corp., 2.930%, 01/15/2025 | | | 472,219 | | | | 0.0 | |
1,605,000 | | Packaging Corp. of America, 3.000%, 12/15/2029 | | | 1,789,273 | | | | 0.0 | |
3,618,000(1) | | Penske Truck Leasing Co. Lp / PTL Finance Corp., 1.200%, 11/15/2025 | | | 3,651,518 | | | | 0.0 | |
2,335,000 | | Raytheon Technologies Corp., 3.200%, 03/15/2024 | | | 2,522,785 | | | | 0.0 | |
3,686,000 | | Raytheon Technologies Corp., 3.500%, 03/15/2027 | | | 4,211,172 | | | | 0.1 | |
211,000 | | Raytheon Technologies Corp., 3.650%, 08/16/2023 | | | 227,701 | | | | 0.0 | |
538,000 | | Raytheon Technologies Corp., 4.450%, 11/16/2038 | | | 678,412 | | | | 0.0 | |
8,741,000 | | Raytheon Technologies Corp., 4.500%, 06/01/2042 | | | 11,398,801 | | | | 0.1 | |
534,000 | | Raytheon Technologies Corp., 5.400%, 05/01/2035 | | | 735,133 | | | | 0.0 | |
506,000 | | Raytheon Technologies Corp., 6.125%, 07/15/2038 | | | 750,294 | | | | 0.0 | |
3,147,000 | | Republic Services, Inc., 1.450%, 02/15/2031 | | | 3,080,945 | | | | 0.0 | |
2,591,000 | | Republic Services, Inc., 1.750%, 02/15/2032 | | | 2,598,067 | | | | 0.0 | |
2,498,000 | | Roper Technologies, Inc., 1.400%, 09/15/2027 | | | 2,530,178 | | | | 0.0 | |
1,678,000 | | Roper Technologies, Inc., 2.000%, 06/30/2030 | | | 1,715,595 | | | | 0.0 | |
6,902,000 | | Ryder System, Inc., 3.750%, 06/09/2023 | | | 7,430,712 | | | | 0.1 | |
3,300,000(1) | | Sealed Air Corp., 4.000%, 12/01/2027 | | | 3,531,000 | | | | 0.0 | |
9,525,000(1) | | Sensata Technologies, Inc., 3.750%, 02/15/2031 | | | 9,885,331 | | | | 0.1 | |
9,748,000 | | Silgan Holdings, Inc., 4.125%, 02/01/2028 | | | 10,150,105 | | | | 0.1 | |
4,875,000(1) | | Standard Industries, Inc./NJ, 3.375%, 01/15/2031 | | | 4,905,469 | | | | 0.1 | |
7,120,000(1) | | Standard Industries, Inc./NJ, 4.375%, 07/15/2030 | | | 7,627,407 | | | | 0.1 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
CORPORATE BONDS/NOTES: (continued) | | | | | | | |
| | Industrial: (continued) | |
4,150,000(1) | | Summit Materials LLC / Summit Materials Finance Corp., 5.125%, 06/01/2025 | | $ | 4,237,752 | | | | 0.1 | |
4,235,000(1) | | Summit Materials LLC / Summit Materials Finance Corp., 5.250%, 01/15/2029 | | | 4,452,044 | | | | 0.1 | |
2,720,000 | | Textron, Inc., 3.000%, 06/01/2030 | | | 2,936,350 | | | | 0.0 | |
5,745,000(1) | | TTX Co., 3.600%, 01/15/2025 | | | 6,401,845 | | | | 0.1 | |
2,431,000 | | United Parcel Service, Inc., 2.800%, 11/15/2024 | | | 2,628,211 | | | | 0.0 | |
3,699,000 | | Waste Management, Inc., 0.750%, 11/15/2025 | | | 3,716,830 | | | | 0.0 | |
2,283,000 | | Waste Management, Inc., 1.500%, 03/15/2031 | | | 2,264,085 | | | | 0.0 | |
3,540,000 | | WRKCo, Inc., 3.000%, 06/15/2033 | | | 3,894,631 | | | | 0.0 | |
| | | | | 276,200,268 | | | | 2.7 | |
| | | | | | | | | | |
| | Technology: 1.8% | |
1,839,000 | | Activision Blizzard, Inc., 1.350%, 09/15/2030 | | | 1,808,716 | | | | 0.0 | |
1,667,000 | | Activision Blizzard, Inc., 2.500%, 09/15/2050 | | | 1,629,408 | | | | 0.0 | |
562,000 | | Analog Devices, Inc., 3.500%, 12/05/2026 | | | 639,532 | | | | 0.0 | |
5,572,000 | | Apple, Inc., 2.550%, 08/20/2060 | | | 5,731,072 | | | | 0.1 | |
2,605,000 | | Apple, Inc., 2.650%, 05/11/2050 | | | 2,764,954 | | | | 0.0 | |
4,128,000 | | Apple, Inc., 3.450%, 02/09/2045 | | | 5,018,591 | | | | 0.1 | |
7,492,000 | | Apple, Inc., 3.750%, 09/12/2047 | | | 9,408,587 | | | | 0.1 | |
5,095,000 | | Apple, Inc., 3.750%, 11/13/2047 | | | 6,426,921 | | | | 0.1 | |
963,000 | | Apple, Inc., 4.450%, 05/06/2044 | | | 1,322,959 | | | | 0.0 | |
3,840,000 | | Broadridge Financial Solutions, Inc., 2.900%, 12/01/2029 | | | 4,210,584 | | | | 0.0 | |
6,265,000 | | CDW LLC / CDW Finance Corp., 3.250%, 02/15/2029 | | | 6,396,252 | | | | 0.1 | |
2,143,000(1) | | Dell International LLC / EMC Corp., 6.020%, 06/15/2026 | | | 2,617,807 | | | | 0.0 | |
2,695,000 | | Fiserv, Inc., 2.750%, 07/01/2024 | | | 2,894,835 | | | | 0.0 | |
2,895,000 | | HP, Inc., 4.050%, 09/15/2022 | | | 3,071,544 | | | | 0.0 | |
2,139,000(1) | | Infor, Inc., 1.450%, 07/15/2023 | | | 2,174,766 | | | | 0.0 | |
2,496,000(1) | | Infor, Inc., 1.750%, 07/15/2025 | | | 2,594,935 | | | | 0.0 | |
1,975,000 | | Intel Corp., 3.100%, 02/15/2060 | | | 2,179,593 | | | | 0.0 | |
12,903,000 | | Intel Corp., 3.250%, 11/15/2049 | | | 14,456,103 | | | | 0.1 | |
3,083,000 | | International Business Machines Corp., 2.950%, 05/15/2050 | | | 3,292,546 | | | | 0.0 | |
7,595,000 | | International Business Machines Corp., 3.300%, 05/15/2026 | | | 8,586,371 | | | | 0.1 | |
9,650,000(1) | | J2 Global, Inc., 4.625%, 10/15/2030 | | | 10,198,844 | | | | 0.1 | |
3,359,000(1) | | Leidos, Inc., 2.300%, 02/15/2031 | | | 3,426,429 | | | | 0.0 | |
5,223,000(1) | | Microchip Technology, Inc., 2.670%, 09/01/2023 | | | 5,465,688 | | | | 0.1 | |
6,701,000 | | Microsoft Corp., 2.400%, 08/08/2026 | | | 7,312,613 | | | | 0.1 | |
6,002,000 | | Microsoft Corp., 2.525%, 06/01/2050 | | | 6,329,717 | | | | 0.1 | |
9,677,000 | | Microsoft Corp., 3.700%, 08/08/2046 | | | 12,274,176 | | | | 0.1 | |
4,239,000 | | NetApp, Inc., 1.875%, 06/22/2025 | | | 4,430,567 | | | | 0.1 | |
1,820,000 | | NVIDIA Corp., 3.500%, 04/01/2040 | | | 2,187,308 | | | | 0.0 | |
2,425,000 | | NVIDIA Corp., 3.500%, 04/01/2050 | | | 2,947,530 | | | | 0.0 | |
1,855,000 | | NVIDIA Corp., 3.700%, 04/01/2060 | | | 2,389,035 | | | | 0.0 | |
4,533,000(1) | | NXP BV / NXP Funding LLC, 5.350%, 03/01/2026 | | | 5,467,111 | | | | 0.1 | |
2,761,000(1) | | NXP BV / NXP Funding LLC / NXP USA, Inc., 3.400%, 05/01/2030 | | | 3,135,557 | | | | 0.0 | |
9,110,000(1) | | ON Semiconductor Corp., 3.875%, 09/01/2028 | | | 9,417,462 | | | | 0.1 | |
3,692,000 | | Oracle Corp., 3.600%, 04/01/2040 | | | 4,329,291 | | | | 0.1 | |
370,000 | | Oracle Corp., 3.850%, 07/15/2036 | | | 446,812 | | | | 0.0 | |
8,841,000 | | Oracle Corp., 4.000%, 11/15/2047 | | | 10,922,484 | | | | 0.1 | |
300,000(1) | | Seagate HDD Cayman, 3.125%, 07/15/2029 | | | 300,595 | | | | 0.0 | |
4,290,000(1) | | Seagate HDD Cayman, 3.375%, 07/15/2031 | | | 4,321,253 | | | | 0.1 | |
2,755,000(1) | | TSMC Global Ltd., 0.750%, 09/28/2025 | | | 2,745,608 | | | | 0.0 | |
2,915,000(1) | | TSMC Global Ltd., 1.000%, 09/28/2027 | | | 2,889,290 | | | | 0.0 | |
| | 188,163,446 | | | | 1.8 | |
| | | | | | | |
| | Utilities: 4.1% | |
1,059,000 | | AEP Texas, Inc., 3.450%, 01/15/2050 | | | 1,191,456 | | | | 0.0 | |
1,754,000(1) | | AES Corp./The, 1.375%, 01/15/2026 | | | 1,770,932 | | | | 0.0 | |
3,943,000(1) | | AES Corp./The, 3.950%, 07/15/2030 | | | 4,464,600 | | | | 0.1 | |
2,480,000 | | Alabama Power Co., 3.450%, 10/01/2049 | | | 2,926,546 | | | | 0.0 | |
10,755,000(1) | | Alliant Energy Finance LLC, 3.750%, 06/15/2023 | | | 11,530,339 | | | | 0.1 | |
3,136,000 | | American Electric Power Co., Inc., 3.250%, 03/01/2050 | | | 3,339,201 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
CORPORATE BONDS/NOTES: (continued) | | | | | | | |
| | Utilities: (continued) | |
7,500,000(1) | | American Transmission Systems, Inc., 5.000%, 09/01/2044 | | $ | 9,198,371 | | | | 0.1 | |
5,385,000(1) | | American Transmission Systems, Inc., 5.250%, 01/15/2022 | | | 5,613,842 | | | | 0.1 | |
2,011,000 | | Appalachian Power Co., 3.700%, 05/01/2050 | | | 2,423,268 | | | | 0.0 | |
2,595,000 | | Arizona Public Service Co., 4.200%, 08/15/2048 | | | 3,364,909 | | | | 0.0 | |
9,776,000 | | Avangrid, Inc., 3.200%, 04/15/2025 | | | 10,710,716 | | | | 0.1 | |
2,510,000(2) | | Baltimore Gas and Electric Co., 3.200%, 09/15/2049 | | | 2,808,612 | | | | 0.0 | |
3,953,000(1) | | Berkshire Hathaway Energy Co., 1.650%, 05/15/2031 | | | 3,957,450 | | | | 0.1 | |
3,615,000 | | Black Hills Corp., 2.500%, 06/15/2030 | | | 3,802,469 | | | | 0.1 | |
3,250,000 | | Black Hills Corp., 3.050%, 10/15/2029 | | | 3,548,567 | | | | 0.0 | |
1,720,000 | | Black Hills Corp., 4.250%, 11/30/2023 | | | 1,886,772 | | | | 0.0 | |
2,750,000 | | Black Hills Corp., 4.350%, 05/01/2033 | | | 3,334,352 | | | | 0.0 | |
1,432,000(2) | | CenterPoint Energy Houston Electric LLC, 2.900%, 07/01/2050 | | | 1,555,379 | | | | 0.0 | |
566,000 | | CenterPoint Energy Houston Electric LLC, 3.550%, 08/01/2042 | | | 666,000 | | | | 0.0 | |
4,750,000(1) | | Centrais Eletricas Brasileiras SA, 3.625%, 02/04/2025 | | | 4,934,110 | | | | 0.1 | |
2,166,000(1) | | Cleveland Electric Illuminating Co/The, 3.500%, 04/01/2028 | | | 2,305,672 | | | | 0.0 | |
3,430,000(3) | | CMS Energy Corp., 3.750%, 12/01/2050 | | | 3,508,718 | | | | 0.0 | |
5,860,000(3) | | CMS Energy Corp., 4.750%, 06/01/2050 | | | 6,608,316 | | | | 0.1 | |
2,519,000 | | Commonwealth Edison Co., 3.750%, 08/15/2047 | | | 3,032,863 | | | | 0.0 | |
1,864,000 | | Consolidated Edison Co. of New York, Inc., 4.000%, 11/15/2057 | | | 2,297,299 | | | | 0.0 | |
2,591,000 | | Consolidated Edison Co. of New York, Inc., 4.625%, 12/01/2054 | | | 3,454,561 | | | | 0.0 | |
831,000 | | Consolidated Edison Co. of New York, Inc., 5.300%, 03/01/2035 | | | 1,095,470 | | | | 0.0 | |
4,148,000 | | Consumers Energy Co., 2.500%, 05/01/2060 | | | 4,173,693 | | | | 0.1 | |
633,000(2) | | Delmarva Power & Light Co., 3.500%, 11/15/2023 | | | 684,730 | | | | 0.0 | |
4,865,000(3) | | Dominion Energy, Inc., 4.650%, 12/31/2199 | | | 5,140,687 | | | | 0.1 | |
1,790,000 | | DTE Electric Co., 3.950%, 03/01/2049 | | | 2,324,091 | | | | 0.0 | |
1,210,000 | | DTE Electric Co., 4.050%, 05/15/2048 | | | 1,591,773 | | | | 0.0 | |
7,263,000 | | DTE Electric Co., 2.950%, 03/01/2050 | | | 8,101,188 | | | | 0.1 | |
6,817,000 | | DTE Energy Co., 1.050%, 06/01/2025 | | | 6,897,954 | | | | 0.1 | |
1,539,000 | | Duke Energy Carolinas LLC, 2.950%, 12/01/2026 | | | 1,726,622 | | | | 0.0 | |
2,322,000(2) | | Duke Energy Carolinas LLC, 3.200%, 08/15/2049 | | | 2,643,392 | | | | 0.0 | |
2,340,000 | | Duke Energy Carolinas LLC, 3.700%, 12/01/2047 | | | 2,825,751 | | | | 0.0 | |
2,185,000 | | Duke Energy Carolinas LLC, 4.000%, 09/30/2042 | | | 2,703,496 | | | | 0.0 | |
2,155,000(3) | | Duke Energy Corp., 4.875%, 12/31/2199 | | | 2,338,886 | | | | 0.0 | |
3,030,000 | | Duke Energy Florida LLC, 4.200%, 07/15/2048 | | | 3,902,251 | | | | 0.1 | |
3,500,000 | | Duke Energy Indiana LLC, 3.250%, 10/01/2049 | | | 3,964,164 | | | | 0.1 | |
1,200,000 | | Duke Energy Indiana LLC, 3.750%, 05/15/2046 | | | 1,441,297 | | | | 0.0 | |
1,890,000 | | Duke Energy Ohio, Inc., 2.125%, 06/01/2030 | | | 1,980,720 | | | | 0.0 | |
3,723,000 | | Duke Energy Progress LLC, 3.700%, 10/15/2046 | | | 4,503,907 | | | | 0.1 | |
4,000,000 | | Duke Energy Progress LLC, 4.100%, 05/15/2042 | | | 4,956,044 | | | | 0.1 | |
3,677,000 | | Duke Energy Progress LLC, 4.200%, 08/15/2045 | | | 4,676,530 | | | | 0.1 | |
2,588,000 | | Duke Energy Ohio, Inc., 3.700%, 06/15/2046 | | | 3,072,557 | | | | 0.0 | |
2,390,000(1) | | Duquesne Light Holdings, Inc., 2.532%, 10/01/2030 | | | 2,475,993 | | | | 0.0 | |
3,391,000 | | Entergy Arkansas LLC, 2.650%, 06/15/2051 | | | 3,478,246 | | | | 0.0 | |
1,869,000(2) | | Entergy Corp., 2.800%, 06/15/2030 | | | 2,020,676 | | | | 0.0 | |
3,323,000 | | Entergy Corp., 2.950%, 09/01/2026 | | | 3,664,521 | | | | 0.0 | |
1,758,000 | | Entergy Louisiana LLC, 2.900%, 03/15/2051 | | | 1,876,983 | | | | 0.0 | |
5,263,000 | | Entergy Louisiana LLC, 4.200%, 04/01/2050 | | | 6,795,151 | | | | 0.1 | |
464,000 | | Entergy Mississippi LLC, 3.100%, 07/01/2023 | | | 493,600 | | | | 0.0 | |
2,172,000 | | Entergy Texas, Inc., 4.000%, 03/30/2029 | | | 2,537,134 | | | | 0.0 | |
6,480,000 | | Entergy Louisiana LLC, 4.050%, 09/01/2023 | | | 7,044,441 | | | | 0.1 | |
2,033,000 | | Essential Utilities, Inc., 2.704%, 04/15/2030 | | | 2,205,606 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
CORPORATE BONDS/NOTES: (continued) | | | | | | | |
| | Utilities: (continued) | |
2,882,000 | | Evergy Kansas Central, Inc., 3.250%, 09/01/2049 | | $ | 3,237,649 | | | | 0.0 | |
2,520,000 | | Evergy Metro, Inc., 2.250%, 06/01/2030 | | | 2,671,703 | | | | 0.0 | |
2,943,000 | | Eversource Energy, 0.800%, 08/15/2025 | | | 2,939,967 | | | | 0.0 | |
2,871,000(2) | | Eversource Energy, 3.450%, 01/15/2050 | | | 3,293,656 | | | | 0.0 | |
1,060,000 | | Exelon Corp., 4.050%, 04/15/2030 | | | 1,255,573 | | | | 0.0 | |
1,585,000 | | Exelon Corp., 4.700%, 04/15/2050 | | | 2,111,423 | | | | 0.0 | |
1,116,000 | | Exelon Generation Co. LLC, 3.250%, 06/01/2025 | | | 1,219,635 | | | | 0.0 | |
2,493,000 | | FirstEnergy Corp., 2.850%, 07/15/2022 | | | 2,534,954 | | | | 0.0 | |
1,519,000 | | FirstEnergy Corp., 4.250%, 03/15/2023 | | | 1,604,703 | | | | 0.0 | |
1,725,000 | | Fortis, Inc./Canada, 3.055%, 10/04/2026 | | | 1,900,627 | | | | 0.0 | |
3,055,000 | | Georgia Power Co., 2.200%, 09/15/2024 | | | 3,219,614 | | | | 0.0 | |
2,124,000 | | Georgia Power Co., 5.750%, 04/15/2023 | | | 2,353,294 | | | | 0.0 | |
1,444,000 | | Idaho Power Co., 4.200%, 03/01/2048 | | | 1,872,720 | | | | 0.0 | |
6,060,000 | | Inkia Energy Ltd., 5.875%, 11/09/2027 | | | 6,576,979 | | | | 0.1 | |
2,870,000 | | Interstate Power and Light Co., 2.300%, 06/01/2030 | | | 3,039,521 | | | | 0.0 | |
4,400,000 | | Interstate Power and Light Co., 3.250%, 12/01/2024 | | | 4,824,467 | | | | 0.1 | |
3,462,000(1) | | IPALCO Enterprises, Inc., 4.250%, 05/01/2030 | | | 4,009,936 | | | | 0.1 | |
3,199,000(1) | | Jersey Central Power & Light Co., 4.300%, 01/15/2026 | | | 3,581,167 | | | | 0.0 | |
3,950,000(1) | | Kallpa Generacion SA, 4.125%, 08/16/2027 | | | 4,262,050 | | | | 0.1 | |
1,423,000 | | Kentucky Utilities Co., 3.300%, 06/01/2050 | | | 1,612,675 | | | | 0.0 | |
1,950,000(1) | | Metropolitan Edison Co., 3.500%, 03/15/2023 | | | 2,035,270 | | | | 0.0 | |
2,430,000(2) | | MidAmerican Energy Co., 3.150%, 04/15/2050 | | | 2,798,337 | | | | 0.0 | |
4,552,000 | | Mississippi Power Co., 4.250%, 03/15/2042 | | | 5,510,024 | | | | 0.1 | |
271,000 | | Mississippi Power Co., 4.750%, 10/15/2041 | | | 330,636 | | | | 0.0 | |
3,392,000(1) | | Narragansett Electric Co/The, 3.395%, 04/09/2030 | | | 3,849,485 | | | | 0.1 | |
2,880,000(3) | | National Rural Utilities Cooperative Finance Corp., 4.750%, 04/30/2043 | | | 3,036,096 | | | | 0.0 | |
5,049,000 | | NextEra Energy Capital Holdings, Inc., 3.150%, 04/01/2024 | | | 5,459,621 | | | | 0.1 | |
6,788,000(2) | | NiSource, Inc., 3.600%, 05/01/2030 | | | 7,863,138 | | | | 0.1 | |
1,453,000 | | NiSource, Inc., 5.950%, 06/15/2041 | | | 2,084,238 | | | | 0.0 | |
6,227,000 | | NiSource, Inc., 0.950%, 08/15/2025 | | | 6,267,433 | | | | 0.1 | |
2,379,000(1) | | NRG Energy, Inc., 2.000%, 12/02/2025 | | | 2,466,875 | | | | 0.0 | |
1,983,000(1) | | NRG Energy, Inc., 2.450%, 12/02/2027 | | | 2,088,273 | | | | 0.0 | |
2,710,000(1) | | NRG Energy, Inc., 3.375%, 02/15/2029 | | | 2,779,579 | | | | 0.0 | |
7,040,000(1) | | NRG Energy, Inc., 3.625%, 02/15/2031 | | | 7,255,952 | | | | 0.1 | |
2,992,000(1) | | Oglethorpe Power Corp., 3.750%, 08/01/2050 | | | 3,224,130 | | | | 0.0 | |
1,861,000 | | Pacific Gas and Electric Co., 4.250%, 03/15/2046 | | | 2,001,941 | | | | 0.0 | |
4,188,000 | | Pacific Gas and Electric Co., 4.300%, 03/15/2045 | | | 4,469,892 | | | | 0.1 | |
2,484,000 | | Pacific Gas and Electric Co., 4.450%, 04/15/2042 | | | 2,693,364 | | | | 0.0 | |
1,138,000 | | PECO Energy Co., 4.150%, 10/01/2044 | | | 1,469,790 | | | | 0.0 | |
750,000(1) | | Perusahaan Listrik Negara PT, 5.375%, 01/25/2029 | | | 904,545 | | | | 0.0 | |
2,675,000 | | Perusahaan Listrik Negara PT, 5.450%, 05/21/2028 | | | 3,206,242 | | | | 0.0 | |
4,500,000(1) | | Perusahaan Listrik Negara PT, 5.450%, 05/21/2028 | | | 5,393,677 | | | | 0.1 | |
2,035,000 | | Piedmont Natural Gas Co., Inc., 3.350%, 06/01/2050 | | | 2,274,022 | | | | 0.0 | |
7,000,000 | | PNM Resources, Inc., 3.250%, 03/09/2021 | | | 7,027,777 | | | | 0.1 | |
4,226,000 | | PPL Capital Funding, Inc., 4.125%, 04/15/2030 | | | 5,060,702 | | | | 0.1 | |
1,200,000(1) | | Promigas SA ESP / Gases del Pacifico SAC, 3.750%, 10/16/2029 | | | 1,281,012 | | | | 0.0 | |
2,889,000 | | Public Service Enterprise Group, Inc., 0.800%, 08/15/2025 | | | 2,892,547 | | | | 0.0 | |
2,541,000 | | Public Service Enterprise Group, Inc., 1.600%, 08/15/2030 | | | 2,509,348 | | | | 0.0 | |
3,937,000 | | Sempra Energy, 3.800%, 02/01/2038 | | | 4,566,142 | | | | 0.1 | |
3,344,000(3) | | Sempra Energy, 4.875%, 12/31/2199 | | | 3,582,260 | | | | 0.0 | |
5,750,000 | | Sierra Pacific Power Co., 2.600%, 05/01/2026 | | | 6,251,239 | | | | 0.1 | |
435,000 | | Southern California Edison Co., 2.400%, 02/01/2022 | | | 442,441 | | | | 0.0 | |
1,570,000(2) | | Southern California Edison Co., 3.650%, 02/01/2050 | | | 1,784,954 | | | | 0.0 | |
813,000 | | Southern California Edison Co., 4.050%, 03/15/2042 | | | 933,498 | | | | 0.0 | |
1,444,000 | | Southern Co. Gas Capital Corp., 4.400%, 05/30/2047 | | | 1,816,394 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
CORPORATE BONDS/NOTES: (continued) | | | | | | | |
| | Utilities: (continued) | |
1,680,000 | | Southern Co. Gas Capital Corp., 5.875%, 03/15/2041 | | $ | 2,450,781 | | | | 0.0 | |
4,975,000(3) | | Southern Co/The, 4.000%, 01/15/2051 | | | 5,274,631 | | | | 0.1 | |
3,623,000 | | Tucson Electric Power Co., 1.500%, 08/01/2030 | | | 3,590,475 | | | | 0.0 | |
1,710,000 | | Tucson Electric Power Co., 4.850%, 12/01/2048 | | | 2,334,576 | | | | 0.0 | |
2,500,000 | | Union Electric Co., 3.250%, 10/01/2049 | | | 2,871,790 | | | | 0.0 | |
2,260,000 | | Union Electric Co., 3.900%, 09/15/2042 | | | 2,762,839 | | | | 0.0 | |
1,915,000 | | Virginia Electric and Power Co., 3.450%, 09/01/2022 | | | 1,995,444 | | | | 0.0 | |
5,165,000 | | Virginia Electric and Power Co., 3.800%, 09/15/2047 | | | 6,386,906 | | | | 0.1 | |
4,921,000 | | Washington Gas Light Co., 3.650%, 09/15/2049 | | | 5,918,265 | | | | 0.1 | |
4,673,000 | | WEC Energy Group, Inc., 1.375%, 10/15/2027 | | | 4,755,517 | | | | 0.1 | |
3,590,000 | | Wisconsin Public Service Corp., 3.671%, 12/01/2042 | | | 4,210,690 | | | | 0.1 | |
| | | | | 425,857,975 | | | | 4.1 | |
| | | | | | | | | | |
| | Total Corporate Bonds/Notes (Cost $3,680,263,715) | | | 3,969,402,100 | | | | 38.5 | |
| | | | | | | | | | |
COLLATERALIZED MORTGAGE OBLIGATIONS: 17.5% | | | | | | | | |
783,694(1),(3) | | Agate Bay Mortgage Trust 2014-2 B4, 3.868%, 09/25/2044 | | | 790,988 | | | | 0.0 | |
2,790,353 | | Alternative Loan Trust 2004-J7 MI, 1.168%, (US0001M + 1.020%), 10/25/2034 | | | 2,704,055 | | | | 0.0 | |
2,469,967 | | Alternative Loan Trust 2005-10CB 1A1, 0.648%, (US0001M + 0.500%), 05/25/2035 | | | 1,944,259 | | | | 0.0 | |
2,064,685 | | Alternative Loan Trust 2005-51 3A2A, 1.899%, (12MTA + 1.290%), 11/20/2035 | | | 1,922,342 | | | | 0.0 | |
615,955 | | Alternative Loan Trust 2005-65CB 2A4, 5.500%, 12/25/2035 | | | 571,134 | | | | 0.0 | |
779,833 | | Alternative Loan Trust 2005-6CB 1A3, 5.250%, 04/25/2035 | | | 764,564 | | | | 0.0 | |
1,476,968 | | Alternative Loan Trust 2005-J2 1A12, 0.548%, (US0001M + 0.400%), 04/25/2035 | | | 1,204,461 | | | | 0.0 | |
718,301 | | Alternative Loan Trust 2006-13T1 A9, 6.000%, 05/25/2036 | | | 501,287 | | | | 0.0 | |
158,674 | | Alternative Loan Trust 2006-18CB A10, 0.548%, (US0001M + 0.400%), 07/25/2036 | | | 73,052 | | | | 0.0 | |
944,944 | | Alternative Loan Trust 2006-19CB A28, 0.748%, (US0001M + 0.600%), 08/25/2036 | | | 504,689 | | | | 0.0 | |
821,609 | | Alternative Loan Trust 2006-HY11 A1, 0.388%, (US0001M + 0.120%), 06/25/2036 | | | 795,875 | | | | 0.0 | |
1,042,320 | | Alternative Loan Trust 2007-23CB A3, 0.648%, (US0001M + 0.500%), 09/25/2037 | | | 458,747 | | | | 0.0 | |
2,593,680 | | Alternative Loan Trust 2007-2CB 2A1, 0.748%, (US0001M + 0.600%), 03/25/2037 | | | 1,211,148 | | | | 0.0 | |
1,029,818 | | Alternative Loan Trust 2007-3T1 1A11, 6.000%, 04/25/2037 | | | 666,209 | | | | 0.0 | |
990,051 | | Alternative Loan Trust 2007-8CB A3, 0.648%, (US0001M + 0.500%), 05/25/2037 | | | 511,531 | | | | 0.0 | |
1,937,231 | | American Home Mortgage Assets Trust 2007-4 A4, 0.438%, (US0001M + 0.290%), 08/25/2037 | | | 1,783,737 | | | | 0.0 | |
2,159,949(1),(3) | | Arroyo Mortgage Trust 2019-3 A3, 3.416%, 10/25/2048 | | | 2,214,977 | | | | 0.0 | |
826,503 | | Banc of America Funding 2007-2 1A16 Trust, 0.748%, (US0001M + 0.600%), 03/25/2037 | | | 633,059 | | | | 0.0 | |
966,591(5) | | Banc of America Mortgage 2007-2 A8 Trust, 6.000%, 05/25/2037 | | | 202,919 | | | | 0.0 | |
1,158,055(3) | | Bear Stearns ALT-A Trust 2005-4 23A1, 3.369%, 05/25/2035 | | | 1,164,323 | | | | 0.0 | |
1,536,151(3) | | Bear Stearns ALT-A Trust 2005-7 21A1, 3.070%, 09/25/2035 | | | 1,430,955 | | | | 0.0 | |
3,167,251 | | Bear Stearns Mortgage Funding Trust 2006-AR5 2A1, 0.338%, (US0001M + 0.190%), 01/25/2037 | | | 2,867,446 | | | | 0.0 | |
7,300,000(1) | | Bellemeade Re 2020-4 M2A Ltd., 2.750%, (US0001M + 2.600%), 06/25/2030 | | | 7,304,882 | | | | 0.1 | |
1,878,675(1),(3) | | Chase Mortgage Finance Corp. 2019-1 B2, 3.944%, 03/25/2050 | | | 1,964,713 | | | | 0.0 | |
2,194,559(1),(3) | | Chase Mortgage Finance Corp. 2019-1 B3, 3.944%, 03/25/2050 | | | 2,270,626 | | | | 0.0 | |
1,485,584(3) | | CHL Mortgage Pass-Through Trust 2004-22 A3, 2.749%, 11/25/2034 | | | 1,482,351 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | | | | | | |
576,024 | | CHL Mortgage Pass-Through Trust 2007-7 A7, 5.750%, 06/25/2037 | | $ | 446,811 | | | | 0.0 | |
777,387(1),(3) | | CIM Trust 2019-INV1 A1, 4.000%, 02/25/2049 | | | 801,473 | | | | 0.0 | |
868,177(1),(3) | | CIM Trust 2019-INV3 A3, 3.500%, 08/25/2049 | | | 896,466 | | | | 0.0 | |
3,318,010(1),(3) | | CIM Trust 2019-J1 1A2, 3.500%, 08/25/2049 | | | 3,381,189 | | | | 0.1 | |
2,923,998(1),(3) | | CIM Trust 2019-J2 B2, 3.837%, 10/25/2049 | | | 2,984,425 | | | | 0.0 | |
974,666(1),(3) | | CIM Trust 2019-J2 B3, 3.837%, 10/25/2049 | | | 977,632 | | | | 0.0 | |
2,600,000(1),(3) | | CIM Trust 2019-R5 M2, 3.250%, 09/25/2059 | | | 2,700,271 | | | | 0.0 | |
3,259,536(1),(3) | | CIM Trust 2020-J1 B3, 3.485%, 07/25/2050 | | | 3,173,095 | | | | 0.0 | |
3,500,000(1),(3) | | CIM Trust 2020-J2 A19, 2.500%, 01/25/2051 | | | 3,607,281 | | | | 0.1 | |
1,145,134 | | Citicorp Mortgage Securities Trust Series 2006-3 1A4, 6.000%, 06/25/2036 | | | 1,167,569 | | | | 0.0 | |
1,150,570(3) | | Citigroup Mortgage Loan Trust 2006-AR9 2A, 3.168%, 11/25/2036 | | | 1,044,852 | | | | 0.0 | |
480,364(3) | | Citigroup Mortgage Loan Trust 2007-10 22AA, 3.361%, 09/25/2037 | | | 467,523 | | | | 0.0 | |
1,426,135(1),(3) | | Citigroup Mortgage Loan Trust 2015-A B2, 4.500%, 06/25/2058 | | | 1,510,136 | | | | 0.0 | |
2,000,000(1),(3) | | COLT 2019-1 M1 Mortgage Loan Trust, 4.518%, 03/25/2049 | | | 2,032,572 | | | | 0.0 | |
1,303,744(1),(3) | | COLT 2019-4 A3 Mortgage Loan Trust, 2.988%, 11/25/2049 | | | 1,314,647 | | | | 0.0 | |
7,550,000(1) | | Connecticut Avenue Securities Trust 2020-R02 2M2, 2.148%, (US0001M + 2.000%), 01/25/2040 | | | 7,537,663 | | | | 0.1 | |
500,375 | | Countrywide Alternative Loan Trust 2005-53T2 2A6, 0.648%, (US0001M + 0.500%), 11/25/2035 | | | 231,339 | | | | 0.0 | |
4,641,091 | | Countrywide Asset-Backed Certificates 2005-IM1 M1, 0.868%, (US0001M + 0.720%), 11/25/2035 | | | 4,568,621 | | | | 0.1 | |
1,422,884(1) | | CSMC Series 2008-2R 1A1, 6.000%, 07/25/2037 | | | 1,370,216 | | | | 0.0 | |
1,356,875(1),(3) | | CSMC Trust 2015-2 B3, 3.923%, 02/25/2045 | | | 1,412,580 | | | | 0.0 | |
1,800,000(1),(3) | | Deephave Residential Mortgage Trust 2019-2A M1, 3.921%, 04/25/2059 | | | 1,817,034 | | | | 0.0 | |
1,360,000(1),(3) | | Deephaven Residential Mortgage Trust 2018-1A M1, 3.939%, 12/25/2057 | | | 1,385,138 | | | | 0.0 | |
1,000,000(1),(3) | | Deephaven Residential Mortgage Trust 2018-2A M1, 4.375%, 04/25/2058 | | | 1,023,444 | | | | 0.0 | |
2,300,000(1),(3) | | Deephaven Residential Mortgage Trust 2019-1A M1, 4.402%, 08/25/2058 | | | 2,315,115 | | | | 0.0 | |
1,000,000(1),(3) | | Deephaven Residential Mortgage Trust 2019-4 M1, 3.484%, 10/25/2059 | | | 1,032,707 | | | | 0.0 | |
3,000,000(1),(3) | | Deephaven Residential Mortgage Trust 2020-1 M1, 3.010%, 01/25/2060 | | | 3,022,736 | | | | 0.0 | |
1,600,000(1) | | Deephaven Residential Mortgage Trust 2020-2 A2, 2.594%, 05/25/2065 | | | 1,642,690 | | | | 0.0 | |
80,139,963(3),(5) | | Deutsche ALT-A Securities, Inc. ALT 07-AB1 X, 0.830%, 04/25/2037 | | | 3,711,466 | | | | 0.1 | |
2,568,809(1),(3) | | Ellington Financial Mortgage Trust 2019-2 A3, 3.046%, 11/25/2059 | | | 2,630,610 | | | | 0.0 | |
3,211,550(1),(3) | | Ellington Financial Mortgage Trust 2020-1 A1, 2.006%, 06/25/2065 | | | 3,265,473 | | | | 0.0 | |
800,000(1) | | Fannie Mae Connecticut Avenue Securities Trust 2020-SBT1 1M2, 3.798%, (US0001M + 3.650%), 02/25/2040 | | | 808,953 | | | | 0.0 | |
3,766,141(5) | | Fannie Mae 2008-12 SC, 6.202%, (-1.000*US0001M + 6.350%), 03/25/2038 | | | 835,869 | | | | 0.0 | |
8,645,074 | | Fannie Mae 2011-99 CZ, 4.500%, 10/25/2041 | | | 10,342,521 | | | | 0.1 | |
886,903 | | Fannie Mae 2012-110 CA, 3.000%, 10/25/2042 | | | 947,388 | | | | 0.0 | |
5,919,751 | | Fannie Mae 2012-66 EP, 4.000%, 06/25/2042 | | | 7,064,592 | | | | 0.1 | |
3,189,601 | | Fannie Mae 2013-116 UB, 4.000%, 11/25/2043 | | | 3,424,968 | | | | 0.1 | |
3,257,531 | | Fannie Mae 2013-20 DL, 4.000%, 03/25/2033 | | | 3,672,618 | | | | 0.1 | |
23,595,445(5) | | Fannie Mae 2016-82 SD, 5.902%, (-1.000*US0001M + 6.050%), 11/25/2046 | | | 5,337,863 | | | | 0.1 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | | | | | | |
3,859,319 | | Fannie Mae 2016-88 EA, 3.500%, 01/25/2045 | | $ | 4,033,802 | | | | 0.1 | |
14,166,843(5) | | Fannie Mae 2018-86 US, 6.442%, (-1.000*US0001M + 6.590%), 09/25/2040 | | | 3,550,127 | | | | 0.1 | |
4,895,311 | | Fannie Mae Connecticut Avenue Securities 2015-C02 1M2, 4.148%, (US0001M + 4.000%), 05/25/2025 | | | 5,002,165 | | | | 0.1 | |
99,473 | | Fannie Mae Connecticut Avenue Securities 2015-C02 2M2, 4.148%, (US0001M + 4.000%), 05/25/2025 | | | 101,411 | | | | 0.0 | |
691,949 | | Fannie Mae Connecticut Avenue Securities 2015-C03 2M2, 5.148%, (US0001M + 5.000%), 07/25/2025 | | | 704,767 | | | | 0.0 | |
7,249,027 | | Fannie Mae Connecticut Avenue Securities 2015-C04 2M2, 5.698%, (US0001M + 5.550%), 04/25/2028 | | | 7,654,245 | | | | 0.1 | |
2,266,984 | | Fannie Mae Connecticut Avenue Securities 2015-CO1 1M2, 4.448%, (US0001M + 4.300%), 02/25/2025 | | | 2,320,150 | | | | 0.0 | |
391,026 | | Fannie Mae Connecticut Avenue Securities 2016-C01 2M2, 7.098%, (US0001M + 6.950%), 08/25/2028 | | | 416,636 | | | | 0.0 | |
12,623,728 | | Fannie Mae Connecticut Avenue Securities 2016-C04 1M2, 4.398%, (US0001M + 4.250%), 01/25/2029 | | | 13,190,468 | | | | 0.1 | |
2,520,073 | | Fannie Mae Connecticut Avenue Securities 2017-C01 1M2, 3.698%, (US0001M + 3.550%), 07/25/2029 | | | 2,603,456 | | | | 0.0 | |
12,376,502 | | Fannie Mae Connecticut Avenue Securities 2017-C02 2M2, 3.798%, (US0001M + 3.650%), 09/25/2029 | | | 12,711,409 | | | | 0.1 | |
4,700,818 | | Fannie Mae Connecticut Avenue Securities 2017-C03 1M2, 3.148%, (US0001M + 3.000%), 10/25/2029 | | | 4,773,303 | | | | 0.1 | |
9,408,519 | | Fannie Mae Connecticut Avenue Securities 2017-C04 2M2, 2.998%, (US0001M + 2.850%), 11/25/2029 | | | 9,511,339 | | | | 0.1 | |
8,408,630 | | Fannie Mae Connecticut Avenue Securities 2017-C06 1M2, 2.798%, (US0001M + 2.650%), 02/25/2030 | | | 8,465,728 | | | | 0.1 | |
5,836,158 | | Fannie Mae Connecticut Avenue Securities 2017-C07 2M2, 2.648%, (US0001M + 2.500%), 05/25/2030 | | | 5,858,177 | | | | 0.1 | |
7,882,041 | | Fannie Mae Connecticut Avenue Securities 2017-CO6 2M2, 2.948%, (US0001M + 2.800%), 02/25/2030 | | | 7,976,922 | | | | 0.1 | |
9,277,042 | | Fannie Mae Connecticut Avenue Securities 2018-C06 1M2, 2.148%, (US0001M + 2.000%), 03/25/2031 | | | 9,253,577 | | | | 0.1 | |
8,898,764 | | Fannie Mae Connecticut Avenue Securities 2018-C06 2M2, 2.248%, (US0001M + 2.100%), 03/25/2031 | | | 8,825,310 | | | | 0.1 | |
14,590,983 | | Fannie Mae Connecticut Avenue Securities 2018-CO1 1M2, 2.398%, (US0001M + 2.250%), 07/25/2030 | | | 14,579,071 | | | | 0.2 | |
3,263,083(1) | | Fannie Mae Connecticut Avenue Securities 2019-R02 1M2, 2.448%, (US0001M + 2.300%), 08/25/2031 | | | 3,271,682 | | | | 0.0 | |
2,728,368(1) | | Fannie Mae Connecticut Avenue Securities 2019-R04 2M2, 2.248%, (US0001M + 2.100%), 06/25/2039 | | | 2,732,110 | | | | 0.0 | |
8,376,682(1) | | Fannie Mae Connecticut Avenue Securities 2019-RO3 1M2, 2.298%, (US0001M + 2.150%), 09/25/2031 | | | 8,398,862 | | | | 0.1 | |
10,264,425(1) | | Fannie Mae Connecticut Avenue Securities Trust 2018-R07 1M2, 2.548%, (US0001M + 2.400%), 04/25/2031 | | | 10,297,123 | | | | 0.1 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | | | | | | |
9,555,516(1) | | Fannie Mae Connecticut Avenue Securities Trust 2019-R01 2M2, 2.598%, (US0001M + 2.450%), 07/25/2031 | | $ | 9,588,968 | | | | 0.1 | |
1,000,000(1) | | Fannie Mae Connecticut Avenue Securities Trust 2019-R05 1B1, 4.248%, (US0001M + 4.100%), 07/25/2039 | | | 1,010,870 | | | | 0.0 | |
7,853,072(1) | | Fannie Mae Connecticut Avenue Securities Trust 2019-R06 2M2, 2.248%, (US0001M + 2.100%), 09/25/2039 | | | 7,870,371 | | | | 0.1 | |
3,300,000(1) | | Fannie Mae Connecticut Avenue Securities Trust 2020-R01 1M2, 2.198%, (US0001M + 2.050%), 01/25/2040 | | | 3,299,854 | | | | 0.0 | |
500,000(1) | | Fannie Mae Connecticut Avenue Securities Trust 2020-SBT1 2M2, 3.798%, (US0001M + 3.650%), 02/25/2040 | | | 506,298 | | | | 0.0 | |
5,632,576 | | Fannie Mae Connecticut Avenue Securities, 5.848%, (US0001M + 5.700%), 04/25/2028 | | | 6,036,139 | | | | 0.1 | |
10,587 | | Fannie Mae Grantor Trust 1998-T2 A6, 0.028%, (US0001M + 0.550%), 01/25/2032 | | | 10,720 | | | | 0.0 | |
6,438(5) | | Fannie Mae Interest Strip Series 104 2, 9.500%, 10/25/2021 | | | 131 | | | | 0.0 | |
272,636(5) | | Fannie Mae Interest Strip Series 418 20, 3.000%, 05/25/2043 | | | 25,611 | | | | 0.0 | |
1,040,500(5) | | Fannie Mae Interest Strip Series 418 59, 3.000%, 08/25/2028 | | | 64,486 | | | | 0.0 | |
121,212 | | Fannie Mae REMIC Trust 1999-33 Z, 6.000%, 07/25/2029 | | | 136,271 | | | | 0.0 | |
95,549(5) | | Fannie Mae REMIC Trust 1999-6 SE, 7.533%, (-1.000*US0001M + 7.685%), 02/17/2029 | | | 6,534 | | | | 0.0 | |
1,027,243 | | Fannie Mae REMIC Trust 2003-105 AZ, 5.500%, 10/25/2033 | | | 1,192,208 | | | | 0.0 | |
364,094 | | Fannie Mae REMIC Trust 2003-45 FJ, 1.655%, (US0001M + 1.500%), 06/25/2033 | | | 381,480 | | | | 0.0 | |
1,300,852(5) | | Fannie Mae REMIC Trust 2003-66 SA, 7.502%, (-1.000*US0001M + 7.650%), 07/25/2033 | | | 341,623 | | | | 0.0 | |
244,687(5) | | Fannie Mae REMIC Trust 2003-74 IO, 6.000%, 08/25/2033 | | | 50,146 | | | | 0.0 | |
624,223 | | Fannie Mae REMIC Trust 2003-84 PZ, 5.000%, 09/25/2033 | | | 717,385 | | | | 0.0 | |
951,237 | | Fannie Mae REMIC Trust 2004-50 VZ, 5.500%, 07/25/2034 | | | 1,088,652 | | | | 0.0 | |
20,152 | | Fannie Mae REMIC Trust 2004-56 FE, 0.598%, (US0001M + 0.450%), 10/25/2033 | | | 20,245 | | | | 0.0 | |
500,147 | | Fannie Mae REMIC Trust 2004-7 Z, 5.500%, 02/25/2034 | | | 567,911 | | | | 0.0 | |
990,835 | | Fannie Mae REMIC Trust 2004-75 ZG, 4.500%, 10/25/2034 | | | 1,097,472 | | | | 0.0 | |
2,598,182 | | Fannie Mae REMIC Trust 2005-25 Z, 5.000%, 04/25/2035 | | | 2,958,912 | | | | 0.0 | |
128,000 | | Fannie Mae REMIC Trust 2006-104 ES, 32.710%, (-5.000*US0001M + 33.450%), 11/25/2036 | | | 256,983 | | | | 0.0 | |
2,234,391(5) | | Fannie Mae REMIC Trust 2006-12 SD, 6.602%, (-1.000*US0001M + 6.750%), 10/25/2035 | | | 463,052 | | | | 0.0 | |
744,650(5) | | Fannie Mae REMIC Trust 2006-123 UI, 6.592%, (-1.000*US0001M + 6.740%), 01/25/2037 | | | 188,023 | | | | 0.0 | |
165,058(5) | | Fannie Mae REMIC Trust 2006-72 HS, 6.552%, (-1.000*US0001M + 6.700%), 08/25/2026 | | | 21,419 | | | | 0.0 | |
21,684 | | Fannie Mae REMIC Trust 2007-10 Z, 6.000%, 02/25/2037 | | | 25,119 | | | | 0.0 | |
3,931,648(5) | | Fannie Mae REMIC Trust 2007-91 AS, 6.252%, (-1.000*US0001M + 6.400%), 10/25/2037 | | | 1,011,981 | | | | 0.0 | |
1,606,727 | | Fannie Mae REMIC Trust 2009-19 PW, 4.500%, 10/25/2036 | | | 1,811,282 | | | | 0.0 | |
7,665,401(3) | | Fannie Mae REMIC Trust 2009-50 HZ, 5.541%, 02/25/2049 | | | 8,777,023 | | | | 0.1 | |
1,878,590(5) | | Fannie Mae REMIC Trust 2009-90 TS, 6.002%, (-1.000*US0001M + 6.150%), 11/25/2039 | | | 366,828 | | | | 0.0 | |
1,786,788(5) | | Fannie Mae REMIC Trust 2010-118 GS, 5.802%, (-1.000*US0001M + 5.950%), 10/25/2039 | | | 114,802 | | | | 0.0 | |
4,617,859(5) | | Fannie Mae REMIC Trust 2010-123 SL, 5.922%, (-1.000*US0001M + 6.070%), 11/25/2040 | | | 930,409 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | | | | | | |
5,502,744(5) | | Fannie Mae REMIC Trust 2010-41 SB, 6.252%, (-1.000*US0001M + 6.400%), 05/25/2040 | | $ | 1,183,902 | | | | 0.0 | |
1,558,953(5) | | Fannie Mae REMIC Trust 2010-43 VS, 6.302%, (-1.000*US0001M + 6.450%), 05/25/2040 | | | 336,377 | | | | 0.0 | |
10,897,954 | | Fannie Mae REMIC Trust 2010-59 PC, 5.000%, 06/25/2040 | | | 12,393,995 | | | | 0.1 | |
1,442,892(5) | | Fannie Mae REMIC Trust 2011-102 SA, 6.452%, (-1.000*US0001M + 6.600%), 10/25/2041 | | | 270,134 | | | | 0.0 | |
2,891,297 | | Fannie Mae REMIC Trust 2011-30 ZA, 5.000%, 04/25/2041 | | | 3,149,436 | | | | 0.0 | |
2,523,840(5) | | Fannie Mae REMIC Trust 2011-93 GS, 6.402%, (-1.000*US0001M + 6.550%), 04/25/2039 | | | 655,405 | | | | 0.0 | |
218,604(5) | | Fannie Mae REMIC Trust 2012-103 IT, 4.000%, 04/25/2041 | | | 1,314 | | | | 0.0 | |
5,916,611(5) | | Fannie Mae REMIC Trust 2012-122 SB, 6.002%, (-1.000*US0001M + 6.150%), 11/25/2042 | | | 1,138,392 | | | | 0.0 | |
2,978,308(5) | | Fannie Mae REMIC Trust 2012-128 LI, 3.500%, 06/25/2042 | | | 251,581 | | | | 0.0 | |
6,229,943(5) | | Fannie Mae REMIC Trust 2012-133 AS, 6.052%, (-1.000*US0001M + 6.200%), 10/25/2042 | | | 1,206,330 | | | | 0.0 | |
940,453(5) | | Fannie Mae REMIC Trust 2012-149 GI, 3.500%, 06/25/2042 | | | 102,805 | | | | 0.0 | |
3,235,770(5) | | Fannie Mae REMIC Trust 2012-15 SP, 6.472%, (-1.000*US0001M + 6.620%), 06/25/2040 | | | 226,872 | | | | 0.0 | |
2,072,282(5) | | Fannie Mae REMIC Trust 2012-24 HS, 6.402%, (-1.000*US0001M + 6.550%), 09/25/2040 | | | 228,319 | | | | 0.0 | |
3,939,361(5) | | Fannie Mae REMIC Trust 2012-30 QS, 6.452%, (-1.000*US0001M + 6.600%), 04/25/2031 | | | 342,354 | | | | 0.0 | |
1,173,296(5) | | Fannie Mae REMIC Trust 2012-68 YS, 6.552%, (-1.000*US0001M + 6.700%), 07/25/2042 | | | 236,769 | | | | 0.0 | |
2,152,840(5) | | Fannie Mae REMIC Trust 2013-26 JS, 6.052%, (-1.000*US0001M + 6.200%), 10/25/2032 | | | 328,371 | | | | 0.0 | |
7,609,344(5) | | Fannie Mae REMIC Trust 2013-60 DS, 6.052%, (-1.000*US0001M + 6.200%), 06/25/2033 | | | 1,420,944 | | | | 0.0 | |
6,842,748(5) | | Fannie Mae REMIC Trust 2013-9 SM, 6.102%, (-1.000*US0001M + 6.250%), 02/25/2033 | | | 1,339,763 | | | | 0.0 | |
3,673,188(5) | | Fannie Mae REMIC Trust 2014-17 DS, 6.052%, (-1.000*US0001M + 6.200%), 02/25/2043 | | | 393,613 | | | | 0.0 | |
2,187,057(5) | | Fannie Mae REMIC Trust 2014-28 BS, 6.052%, (-1.000*US0001M + 6.200%), 08/25/2043 | | | 345,219 | | | | 0.0 | |
3,019,000 | | Fannie Mae REMIC Trust 2015-17 MK, 2.500%, 12/25/2041 | | | 3,283,333 | | | | 0.0 | |
45,720,581(5) | | Fannie Mae REMIC Trust 2015-79 SA, 6.102%, (-1.000*US0001M + 6.250%), 11/25/2045 | | | 9,981,425 | | | | 0.1 | |
18,418,097(5) | | Fannie Mae REMIC Trust 2015-9 IO, 5.500%, 03/25/2045 | | | 3,997,690 | | | | 0.1 | |
31,890,120(5) | | Fannie Mae REMICS 16-60 SB, 5.952%, (-1.000*US0001M + 6.100%), 09/25/2046 | | | 6,853,471 | | | | 0.1 | |
121,822(5) | | Fannie Mae REMICS 1997-18 SG, 7.948%, (-1.000*US0001M + 8.100%), 03/17/2027 | | | 14,353 | | | | 0.0 | |
65,152(5) | | Fannie Mae REMICS 1997-91 FC, 0.000%, (US0001M + (8.500)%), 11/25/2023 | | | 20 | | | | 0.0 | |
298(5) | | Fannie Mae REMICS 1999-57 SC, 9.598%, (-1.000*US0001M + 9.750%), 11/17/2029 | | | 7 | | | | 0.0 | |
69(5) | | Fannie Mae REMICS 2000-38 SK, 9.048%, (-1.000*US0001M + 9.200%), 10/17/2030 | | | 1 | | | | 0.0 | |
279,771(5) | | Fannie Mae REMICS 2001-72 SC, 1.000%, (-1.000*US0001M + 8.500%), 12/25/2031 | | | 10,199 | | | | 0.0 | |
91,834(5) | | Fannie Mae REMICS 2001-8 SK, 8.592%, (-1.000*US0001M + 8.750%), 03/18/2031 | | | 13,383 | | | | 0.0 | |
2(5) | | Fannie Mae REMICS 2001-8 SO, 9.648%, (-1.000*US0001M + 9.800%), 02/20/2031 | | | 0 | | | | – | |
580,620(5) | | Fannie Mae REMICS 2003-49 SW, 6.852%, (-1.000*US0001M + 7.000%), 01/25/2033 | | | 123,936 | | | | 0.0 | |
4,813,751(5) | | Fannie Mae REMICS 2004-54 SN, 6.902%, (-1.000*US0001M + 7.050%), 07/25/2034 | | | 1,116,405 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | | | | | | |
1,221,322(5) | | Fannie Mae REMICS 2005-75 SP, 6.602%, (-1.000*US0001M + 6.750%), 08/25/2035 | | $ | 223,718 | | | | 0.0 | |
2,535,023(5) | | Fannie Mae REMICS 2006-56 SM, 6.602%, (-1.000*US0001M + 6.750%), 07/25/2036 | | | 525,449 | | | | 0.0 | |
461,314(5) | | Fannie Mae REMICS 2007-21 SB, 6.252%, (-1.000*US0001M + 6.400%), 03/25/2037 | | | 54,746 | | | | 0.0 | |
1,331,529(5) | | Fannie Mae REMICS 2007-52 NS, 6.302%, (-1.000*US0001M + 6.450%), 06/25/2037 | | | 288,803 | | | | 0.0 | |
1,455,626(5) | | Fannie Mae REMICS 2007-85 SM, 6.312%, (-1.000*US0001M + 6.460%), 09/25/2037 | | | 317,805 | | | | 0.0 | |
534,503 | | Fannie Mae REMICS 2008-16 Z, 5.500%, 03/25/2038 | | | 611,518 | | | | 0.0 | |
60(5) | | Fannie Mae REMICS 2010-112 SG, 6.212%, (-1.000*US0001M + 6.360%), 06/25/2021 | | | 1 | | | | 0.0 | |
7,817,667(5) | | Fannie Mae REMICS 2010-150 SJ, 6.332%, (-1.000*US0001M + 6.480%), 01/25/2041 | | | 1,985,519 | | | | 0.0 | |
1,308,075(5) | | Fannie Mae REMICS 2010-35 CS, 6.302%, (-1.000*US0001M + 6.450%), 04/25/2050 | | | 236,999 | | | | 0.0 | |
1,607,057 | | Fannie Mae REMICS 2011-10 ZC, 5.000%, 02/25/2041 | | | 1,824,255 | | | | 0.0 | |
6,166,562 | | Fannie Mae REMICS 2011-101 DB, 4.000%, 10/25/2041 | | | 7,142,983 | | | | 0.1 | |
688,816 | | Fannie Mae REMICS 2011-116 ZA, 3.500%, 11/25/2041 | | | 759,573 | | | | 0.0 | |
127,236 | | Fannie Mae REMICS 2011-127 UY, 3.500%, 12/25/2041 | | | 135,671 | | | | 0.0 | |
10,204,212(5) | | Fannie Mae REMICS 2011-47 GS, 5.782%, (-1.000*US0001M + 5.930%), 06/25/2041 | | | 1,987,171 | | | | 0.0 | |
2,267,385 | | Fannie Mae REMICS 2011-8 ZA, 4.000%, 02/25/2041 | | | 2,456,628 | | | | 0.0 | |
3,729,333(5) | | Fannie Mae REMICS 2012-111 SL, 5.952%, (-1.000*US0001M + 6.100%), 05/25/2041 | | | 652,033 | | | | 0.0 | |
6,057,255 | | Fannie Mae REMICS 2012-111 ZK, 3.500%, 10/25/2042 | | | 6,686,950 | | | | 0.1 | |
8,176,494(5) | | Fannie Mae REMICS 2012-120 WI, 3.000%, 11/25/2027 | | | 537,436 | | | | 0.0 | |
2,773,567 | | Fannie Mae REMICS 2012-134 KV, 3.000%, 07/25/2031 | | | 2,852,625 | | | | 0.0 | |
10,376,870 | | Fannie Mae REMICS 2012-17 QZ, 4.000%, 03/25/2042 | | | 11,432,177 | | | | 0.1 | |
5,815,272 | | Fannie Mae REMICS 2012-2 HE, 4.000%, 02/25/2042 | | | 6,556,980 | | | | 0.1 | |
1,606,242 | | Fannie Mae REMICS 2012-30 AB, 4.000%, 04/25/2042 | | | 1,796,411 | | | | 0.0 | |
2,492,017 | | Fannie Mae REMICS 2012-33 BW, 4.000%, 04/25/2042 | | | 2,795,190 | | | | 0.0 | |
822,010 | | Fannie Mae REMICS 2012-44 KW, 3.500%, 05/25/2032 | | | 865,242 | | | | 0.0 | |
3,935,193 | | Fannie Mae REMICS 2012-55 PC, 3.500%, 05/25/2042 | | | 4,299,731 | | | | 0.1 | |
500,000 | | Fannie Mae REMICS 2012-80 MY, 3.250%, 08/25/2042 | | | 565,511 | | | | 0.0 | |
2,700,000 | | Fannie Mae REMICS 2013-111 BA, 3.000%, 11/25/2033 | | | 2,975,547 | | | | 0.0 | |
1,403,000 | | Fannie Mae REMICS 2013-13 BE, 4.000%, 03/25/2043 | | | 1,757,012 | | | | 0.0 | |
942,122 | | Fannie Mae REMICS 2013-16 GD, 3.000%, 03/25/2033 | | | 974,005 | | | | 0.0 | |
7,918,345(5) | | Fannie Mae REMICS 2013-40 LS, 6.002%, (-1.000*US0001M + 6.150%), 05/25/2043 | | | 1,545,063 | | | | 0.0 | |
8,914,106(5) | | Fannie Mae REMICS 2013-70 BI, 3.000%, 07/25/2033 | | | 913,934 | | | | 0.0 | |
10,619,357(5) | | Fannie Mae REMICS 2014-15 SB, 6.502%, (-1.000*US0001M + 6.650%), 04/25/2044 | | | 2,750,408 | | | | 0.0 | |
4,814,673(5) | | Fannie Mae REMICS 2014-20 HI, 4.000%, 01/25/2040 | | | 62,374 | | | | 0.0 | |
970,000 | | Fannie Mae REMICS 2014-61 PY, 3.500%, 10/25/2044 | | | 1,108,939 | | | | 0.0 | |
16,967,506 | | Fannie Mae REMICS 2015-20 EZ, 3.500%, 04/25/2045 | | | 18,968,528 | | | | 0.2 | |
7,774,613(5) | | Fannie Mae REMICS 2015-56 IC, 6.000%, 08/25/2045 | | | 1,449,332 | | | | 0.0 | |
2,000,000 | | Fannie Mae REMICS 2015-67 AV, 3.500%, 01/25/2036 | | | 2,267,273 | | | | 0.0 | |
5,000,000 | | Fannie Mae REMICS 2015-67 QV, 3.000%, 12/25/2040 | | | 5,282,004 | | | | 0.1 | |
3,278,856(5) | | Fannie Mae REMICS 2015-76 PI, 6.000%, 09/25/2045 | | | 534,977 | | | | 0.0 | |
8,233,030(5) | | Fannie Mae REMICS 2016-52 MI, 4.000%, 12/25/2045 | | | 1,269,649 | | | | 0.0 | |
683,106 | | Fannie Mae REMICS 2016-9 D, 3.000%, 03/25/2046 | | | 733,774 | | | | 0.0 | |
8,189,895 | | Fannie Mae REMICS 2017-54 D, 3.000%, 07/25/2047 | | | 8,700,739 | | | | 0.1 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | | | | | | |
44,021,735(5) | | Fannie Mae REMICS 2018-15 SC, 6.152%, (-1.000*US0001M + 6.300%), 03/25/2048 | | $ | 9,692,085 | | | | 0.1 | |
3,018,552 | | Fannie Mae REMICS 2018-38 LA, 3.000%, 06/25/2048 | | | 3,173,371 | | | | 0.0 | |
22,416,612 | | Fannie Mae REMICS 2018-73 AB, 3.000%, 10/25/2048 | | | 24,106,426 | | | | 0.3 | |
3,296,480 | | Fannie Mae REMICS 2018-8 AB, 3.500%, 10/25/2047 | | | 3,477,061 | | | | 0.1 | |
56,727,318(5) | | Fannie Mae REMICS 2018-82 SA, 6.052%, (-1.000*US0001M + 6.200%), 11/25/2048 | | | 12,309,749 | | | | 0.1 | |
55,776,957(5) | | Fannie Mae REMICS 2018-86 SM, 6.052%, (-1.000*US0001M + 6.200%), 12/25/2048 | | | 11,747,659 | | | | 0.1 | |
50,389,403(5) | | Fannie Mae REMICS 2018-91 SB, 5.952%, (-1.000*US0001M + 6.100%), 12/25/2058 | | | 12,020,574 | | | | 0.1 | |
16,072,257(5) | | Fannie Mae REMICS 2019-21 AI, 5.000%, 05/25/2059 | | | 3,380,251 | | | | 0.0 | |
16,931,364(5) | | Fannie Mae REMICS 2019-30 SB, 5.952%, (-1.000*US0001M + 6.100%), 07/25/2049 | | | 3,580,017 | | | | 0.1 | |
15,850,153(5) | | Fannie Mae REMICS 2019-39 SA, 5.952%, (-1.000*US0001M + 6.100%), 08/25/2049 | | | 3,209,146 | | | | 0.0 | |
90,624,401(5) | | Fannie Mae REMICS 2019-41 S, 5.852%, (-1.000*US0001M + 6.000%), 08/25/2059 | | | 17,544,168 | | | | 0.2 | |
10,501,691(5) | | Fannie Mae REMICS 2019-47 SB, 5.952%, (-1.000*US0001M + 6.100%), 05/25/2040 | | | 2,052,768 | | | | 0.0 | |
– | | Fannie Mae REMICS G-9 G, 509.000%, 04/25/2021 | | | – | | | | – | |
4,116 | | Fannie Mae REMICS G93-35 ZQ, 6.500%, 11/25/2023 | | | 4,333 | | | | 0.0 | |
3,192,784 | | Fannie Mae REMICS Trust 2010-53 JZ, 5.000%, 07/25/2040 | | | 3,496,663 | | | | 0.1 | |
30,120,610(5) | | Fannie Mae Series 2013-44 DI, 3.000%, 05/25/2033 | | | 2,853,961 | | | | 0.0 | |
1,605,230(5) | | Fannie Mae Series 2013-72 YS, 6.002%, (-1.000*US0001M + 6.150%), 07/25/2033 | | | 262,741 | | | | 0.0 | |
9,666,703(5) | | Fannie Mae REMICS 2005-75 ES, 5.902%, (-1.000*US0001M + 6.050%), 09/25/2035 | | | 2,031,236 | | | | 0.0 | |
8,894,835(5) | | Fannie Mae REMICS 2009-66 SP, 5.952%, (-1.000*US0001M + 6.100%), 09/25/2039 | | | 1,518,030 | | | | 0.0 | |
5,050,683(5) | | Fannie Mae REMICS 2010-1 S, 6.102%, (-1.000*US0001M + 6.250%), 02/25/2040 | | | 1,159,474 | | | | 0.0 | |
5,655,398 | | Fannie Mae REMICS 2011-136 PZ, 4.000%, 01/25/2042 | | | 6,552,281 | | | | 0.1 | |
9,870,005 | | Fannie Mae REMICS 2012-94 LZ, 3.500%, 09/25/2042 | | | 10,922,741 | | | | 0.1 | |
25,599,612(5) | | Fannie Mae REMICS 2015-86 BS, 5.552%, (-1.000*US0001M + 5.700%), 11/25/2045 | | | 4,667,337 | | | | 0.1 | |
5,963,263(5) | | Fannie Mae REMICS 2016-104 BI, 6.000%, 01/25/2047 | | | 1,253,219 | | | | 0.0 | |
27,020,691(5) | | Fannie Mae REMICS 2016-81 CS, 5.952%, (-1.000*US0001M + 6.100%), 11/25/2046 | | | 5,334,136 | | | | 0.1 | |
20,452,351(5) | | Fannie Mae REMICS 2017-10 SA, 5.952%, (-1.000*US0001M + 6.100%), 03/25/2047 | | | 4,015,410 | | | | 0.1 | |
5,434,192 | | Fannie Mae REMICS 2017-41 MZ, 4.000%, 06/25/2057 | | | 6,612,797 | | | | 0.1 | |
12,837,379(5) | | Fannie Mae REMICS 2018-86 AS, 6.052%, (-1.000*US0001M + 6.200%), 12/25/2048 | | | 2,629,817 | | | | 0.0 | |
38,039,944(5) | | Fannie Mae REMICS 2020-35 IO, 5.000%, 06/25/2050 | | | 6,609,916 | | | | 0.1 | |
27,804,584(5) | | Fannie Mae REMICS 2020-44 DI, 2.500%, 07/25/2050 | | | 3,618,772 | | | | 0.1 | |
21,385,474(5) | | Fannie Mae REMICS 2020-44 EI, 3.500%, 09/25/2042 | | | 2,503,711 | | | | 0.0 | |
137,930 (5) | | FHLMC-GNMA 20 S, 8.752%, (-1.000*US0001M + 8.900%), 10/25/2023 | | | 12,284 | | | | 0.0 | |
651,249 | | First Horizon Alternative Mortgage Securities Trust 2006-FA8 1A11, 6.000%, 02/25/2037 | | | 434,344 | | | | 0.0 | |
1,782,202(1),(3) | | First Republic Mortgage Trust 2020-1 B1, 2.889%, 04/25/2050 | | | 1,728,123 | | | | 0.0 | |
1,091,287(1),(3) | | First Republic Mortgage Trust 2020-1 B2, 2.889%, 04/25/2050 | | | 1,006,984 | | | | 0.0 | |
1,874,191(1),(3) | | Flagstar Mortgage Trust 2018-1 B1, 4.013%, 03/25/2048 | | | 1,967,368 | | | | 0.0 | |
2,197,489(1),(3) | | Flagstar Mortgage Trust 2018-1 B2, 4.013%, 03/25/2048 | | | 2,316,039 | | | | 0.0 | |
2,443,945(1),(3) | | Flagstar Mortgage Trust 2018-1 B3, 4.013%, 03/25/2048 | | | 2,526,147 | | | | 0.0 | |
1,249,668(1),(3) | | Flagstar Mortgage Trust 2018-2 B2, 4.049%, 04/25/2048 | | | 1,332,207 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | | | | | | |
2,386,847(1),(3) | | Flagstar Mortgage Trust 2018-3INV A3, 4.000%, 05/25/2048 | | $ | 2,468,492 | | | | 0.0 | |
970,397(1),(3) | | Flagstar Mortgage Trust 2018-4 B3, 4.287%, 07/25/2048 | | | 992,037 | | | | 0.0 | |
1,794,412(1),(3) | | Flagstar Mortgage Trust 2018-5 B3, 4.541%, 09/25/2048 | | | 1,833,879 | | | | 0.0 | |
1,491,056(1),(3) | | Flagstar Mortgage Trust 2019-2 B1, 4.120%, 12/25/2049 | | | 1,590,492 | | | | 0.0 | |
1,446,021(1),(3) | | Flagstar Mortgage Trust 2019-2 B2, 4.120%, 12/25/2049 | | | 1,531,145 | | | | 0.0 | |
2,450,135(1),(3) | | Flagstar Mortgage Trust 2020-1NV B2A, 4.324%, 03/25/2050 | | | 2,606,470 | | | | 0.0 | |
2,704,579(1),(3) | | Flagstar Mortgage Trust 2020-2 A4, 3.000%, 12/25/2049 | | | 2,756,207 | | | | 0.0 | |
3,834,996(1),(3) | | Flagstar Mortgage Trust 2018-3INV B2, 4.497%, 05/25/2048 | | | 4,158,971 | | | | 0.1 | |
2,995,593(1),(3) | | Flagstar Mortgage Trust 2018-6RR B3, 4.996%, 10/25/2048 | | | 3,251,627 | | | | 0.0 | |
2,024,196(1),(3) | | Flagstar Mortgage Trust 2020-1NV B1A, 4.324%, 03/25/2050 | | | 2,177,656 | | | | 0.0 | |
20,710,991 | | Freddie Mac 326 350, 3.500%, 03/15/2044 | | | 22,567,510 | | | | 0.2 | |
9,178,299(5) | | Freddie Mac 3510 AS, 6.251%, (-1.000*US0001M + 6.410%), 04/15/2037 | | | 2,157,486 | | | | 0.0 | |
6,156,644(5) | | Freddie Mac 4191 SA, 6.041%, (-1.000*US0001M + 6.200%), 03/15/2043 | | | 1,183,397 | | | | 0.0 | |
4,394,251 | | Freddie Mac 4316 XZ, 4.500%, 03/15/2044 | | | 5,522,441 | | | | 0.1 | |
2,710,914 | | Freddie Mac 4800 KG, 3.500%, 11/15/2045 | | | 2,766,402 | | | | 0.0 | |
699,438 | | Freddie Mac Reference Series R007 ZA, 6.000%, 05/15/2036 | | | 831,056 | | | | 0.0 | |
328,878 | | Freddie Mac Reference Series R008 ZA, 6.000%, 07/15/2036 | | | 381,689 | | | | 0.0 | |
97,854 | | Freddie Mac REMIC Trust 2110 PG, 6.000%, 01/15/2029 | | | 110,983 | | | | 0.0 | |
85,773 | | Freddie Mac REMIC Trust 2114 ZM, 6.000%, 01/15/2029 | | | 96,244 | | | | 0.0 | |
587,186 | | Freddie Mac REMIC Trust 2143 ZB, 6.000%, 04/15/2029 | | | 672,988 | | | | 0.0 | |
72,492 | | Freddie Mac REMIC Trust 2528 KM, 5.500%, 11/15/2022 | | | 74,634 | | | | 0.0 | |
251,551 | | Freddie Mac REMIC Trust 2541 NE, 5.500%, 12/15/2032 | | | 290,889 | | | | 0.0 | |
95,530(5) | | Freddie Mac REMIC Trust 2594 IY, 6.000%, 04/15/2033 | | | 19,584 | | | | 0.0 | |
623,946 | | Freddie Mac REMIC Trust 2845 QH, 5.000%, 08/15/2034 | | | 712,983 | | | | 0.0 | |
124,106 | | Freddie Mac REMIC Trust 2861 Z, 5.500%, 09/15/2034 | | | 146,545 | | | | 0.0 | |
146,248(5) | | Freddie Mac REMIC Trust 2866 GS, 6.441%, (-1.000*US0001M + 6.600%), 09/15/2034 | | | 1,398 | | | | 0.0 | |
114,804(5) | | Freddie Mac REMIC Trust 2883 SD, 6.541%, (-1.000*US0001M + 6.700%), 10/15/2034 | | | 2,250 | | | | 0.0 | |
189,796 | | Freddie Mac REMIC Trust 2930 ZL, 5.000%, 02/15/2035 | | | 216,736 | | | | 0.0 | |
273,530 | | Freddie Mac REMIC Trust 2931 ZY, 5.000%, 02/15/2035 | | | 312,739 | | | | 0.0 | |
5,692,607(5) | | Freddie Mac REMIC Trust 3045 DI, 6.571%, (-1.000*US0001M + 6.730%), 10/15/2035 | | | 1,302,800 | | | | 0.0 | |
989,663 | | Freddie Mac REMIC Trust 3117 ZA, 5.500%, 02/15/2036 | | | 1,143,759 | | | | 0.0 | |
1,114,628(5) | | Freddie Mac REMIC Trust 3171 PS, 6.326%, (-1.000*US0001M + 6.485%), 06/15/2036 | | | 236,979 | | | | 0.0 | |
5,817,360(5) | | Freddie Mac REMIC Trust 3199 S, 6.291%, (-1.000*US0001M + 6.450%), 08/15/2036 | | | 1,381,106 | | | | 0.0 | |
477,540 | | Freddie Mac REMIC Trust 3351 ZC, 5.500%, 07/15/2037 | | | 558,628 | | | | 0.0 | |
170,238 | | Freddie Mac REMIC Trust 3394 ZY, 6.000%, 11/15/2037 | | | 198,274 | | | | 0.0 | |
261,913(3) | | Freddie Mac REMIC Trust 3524 LA, 5.148%, 03/15/2033 | | | 297,569 | | | | 0.0 | |
27,997 | | Freddie Mac REMIC Trust 3556 NT, 3.259%, (US0001M + 3.100%), 03/15/2038 | | | 28,477 | | | | 0.0 | |
5,446,168 | | Freddie Mac REMIC Trust 3639 ZN, 5.500%, 12/15/2034 | | | 6,345,686 | | | | 0.1 | |
490,957 | | Freddie Mac REMIC Trust 3662 ZB, 5.500%, 08/15/2036 | | | 576,592 | | | | 0.0 | |
362,226 | | Freddie Mac REMIC Trust 3724 CM, 5.500%, 06/15/2037 | | | 413,298 | | | | 0.0 | |
519,754 | | Freddie Mac REMIC Trust 3753 DC, 3.500%, 09/15/2039 | | | 531,835 | | | | 0.0 | |
1,341,143(5) | | Freddie Mac REMIC Trust 3856 KS, 6.391%, (-1.000*US0001M + 6.550%), 05/15/2041 | | | 258,025 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | | | | | | |
864,472(5) | | Freddie Mac REMIC Trust 3925 SD, 5.891%, (-1.000*US0001M + 6.050%), 07/15/2040 | | $ | 88,042 | | | | 0.0 | |
5,198,036(5) | | Freddie Mac REMIC Trust 3925 SL, 5.891%, (-1.000*US0001M + 6.050%), 01/15/2041 | | | 513,612 | | | | 0.0 | |
276,465 | | Freddie Mac REMIC Trust 4000 PA, 4.500%, 01/15/2042 | | | 309,920 | | | | 0.0 | |
971,536(5) | | Freddie Mac REMIC Trust 4027 QI, 4.500%, 12/15/2040 | | | 44,956 | | | | 0.0 | |
1,453,947(5) | | Freddie Mac REMIC Trust 4088 CS, 5.841%, (-1.000*US0001M + 6.000%), 08/15/2042 | | | 272,932 | | | | 0.0 | |
6,459,338(5) | | Freddie Mac REMIC Trust 4161 WI, 3.000%, 02/15/2033 | | | 679,002 | | | | 0.0 | |
3,152,718(5) | | Freddie Mac REMIC Trust 4194 GI, 4.000%, 04/15/2043 | | | 468,807 | | | | 0.0 | |
3,254,896 | | Freddie Mac REMIC Trust 4203 BN, 3.000%, 04/15/2033 | | | 3,544,572 | | | | 0.1 | |
1,384,916 | | Freddie Mac REMIC Trust 4246 ZX, 4.500%, 04/15/2041 | | | 1,580,559 | | | | 0.0 | |
1,444,494(5) | | Freddie Mac REMIC Trust 4293 KI, 4.500%, 08/15/2043 | | | 176,693 | | | | 0.0 | |
5,122,116 | | Freddie Mac REMIC Trust 4335 ZX, 4.250%, 05/15/2044 | | | 5,954,677 | | | | 0.1 | |
6,875,442 | | Freddie Mac REMIC Trust 435 XZ, 4.250%, 05/15/2044 | | | 8,056,044 | | | | 0.1 | |
1,916,000 | | Freddie Mac REMIC Trust 4370 AD, 3.000%, 08/15/2040 | | | 1,976,176 | | | | 0.0 | |
5,167,765(5) | | Freddie Mac REMIC Trust 4386 LS, 5.941%, (-1.000*US0001M + 6.100%), 09/15/2044 | | | 990,425 | | | | 0.0 | |
12 | | Freddie Mac REMICS 1094 L, 1141.844%, 06/15/2021 | | | 27 | | | | 0.0 | |
2 | | Freddie Mac REMICS 1159 D, 1145.070%, 11/15/2021 | | | 7 | | | | 0.0 | |
3 | | Freddie Mac REMICS 1278 L, 1127.368%, 05/15/2022 | | | 7 | | | | 0.0 | |
108(5) | | Freddie Mac REMICS 1368 S, 9.341%, (-1.000*US0001M + 9.500%), 08/15/2022 | | | 1 | | | | 0.0 | |
41,380(5) | | Freddie Mac REMICS 2074 S, 8.548%, (-1.000*US0001M + 8.700%), 07/17/2028 | | | 3,336 | | | | 0.0 | |
31,868(5) | | Freddie Mac REMICS 2232 SA, 8.448%, (-1.000*US0001M + 8.600%), 05/17/2030 | | | 2,001 | | | | 0.0 | |
17,785(5) | | Freddie Mac REMICS 2301 SP, 9.091%, (-1.000*US0001M + 9.250%), 04/15/2031 | | | 2,364 | | | | 0.0 | |
1,174,459(5) | | Freddie Mac REMICS 2953 LS, 6.541%, (-1.000*US0001M + 6.700%), 12/15/2034 | | | 60,736 | | | | 0.0 | |
1,317,636(5) | | Freddie Mac REMICS 2993 GS, 5.991%, (-1.000*US0001M + 6.150%), 06/15/2025 | | | 106,271 | | | | 0.0 | |
859,403(5) | | Freddie Mac REMICS 3006 SI, 6.581%, (-1.000*US0001M + 6.740%), 07/15/2035 | | | 174,637 | | | | 0.0 | |
876,151(5) | | Freddie Mac REMICS 3006 YI, 6.581%, (-1.000*US0001M + 6.740%), 07/15/2035 | | | 208,554 | | | | 0.0 | |
5,625,487(5) | | Freddie Mac REMICS 3213 JS, 7.041%, (-1.000*US0001M + 7.200%), 09/15/2036 | | | 1,522,931 | | | | 0.0 | |
1,264,248(5) | | Freddie Mac REMICS 3375 QI, 0.600%, (-10.000*US0001M + 64.600%), 10/15/2037 | | | 32,500 | | | | 0.0 | |
4,251,331 | | Freddie Mac REMICS 3736 ZP, 4.000%, 10/15/2040 | | | 4,666,756 | | | | 0.1 | |
3,309,364 | | Freddie Mac REMICS 3740 KE, 4.000%, 10/15/2040 | | | 3,627,957 | | | | 0.1 | |
22,020,166 | | Freddie Mac REMICS 3753 KZ, 4.500%, 11/15/2040 | | | 25,156,476 | | | | 0.3 | |
6,413,392 | | Freddie Mac REMICS 3775 GZ, 4.500%, 12/15/2040 | | | 6,964,727 | | | | 0.1 | |
1,900,000 | | Freddie Mac REMICS 3820 NC, 4.500%, 03/15/2041 | | | 2,232,151 | | | | 0.0 | |
735,980 | | Freddie Mac REMICS 3843 JZ, 5.100%, 04/15/2041 | | | 929,089 | | | | 0.0 | |
500,000 | | Freddie Mac REMICS 3848 WX, 5.000%, 04/15/2041 | | | 586,592 | | | | 0.0 | |
2,650,000 | | Freddie Mac REMICS 3890 ME, 5.000%, 07/15/2041 | | | 3,259,202 | | | | 0.0 | |
3,981,400 | | Freddie Mac REMICS 3893 PU, 4.000%, 07/15/2041 | | | 4,460,157 | | | | 0.1 | |
7,000,000 | | Freddie Mac REMICS 3919 BY, 4.000%, 09/15/2041 | | | 7,800,715 | | | | 0.1 | |
9,628,202 | | Freddie Mac REMICS 3919 ZB, 4.000%, 09/15/2041 | | | 10,945,840 | | | | 0.1 | |
3,790,000 | | Freddie Mac REMICS 3923 GY, 4.000%, 09/15/2041 | | | 4,424,744 | | | | 0.1 | |
2,860,676 | | Freddie Mac REMICS 3934 CB, 4.000%, 10/15/2041 | | | 3,188,289 | | | | 0.0 | |
420,000 | | Freddie Mac REMICS 3934 KB, 5.000%, 10/15/2041 | | | 499,355 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | | | | | | |
1,500,000 | | Freddie Mac REMICS 3997 PB, 4.000%, 02/15/2042 | | $ | 1,677,349 | | | | 0.0 | |
2,829,564 | | Freddie Mac REMICS 4000 ZT, 3.500%, 01/15/2042 | | | 3,206,127 | | | | 0.0 | |
6,243,368(5) | | Freddie Mac REMICS 4057 SN, 6.491%, (-1.000*US0001M + 6.650%), 12/15/2041 | | | 1,001,652 | | | | 0.0 | |
3,230,173 | | Freddie Mac REMICS 4057 ZB, 3.500%, 06/15/2042 | | | 3,594,568 | | | | 0.1 | |
15,254,424 | | Freddie Mac REMICS 4084 TZ, 4.000%, 07/15/2042 | | | 17,212,972 | | | | 0.2 | |
2,427,508(5) | | Freddie Mac REMICS 4090 SN, 6.541%, (-1.000*US0001M + 6.700%), 08/15/2032 | | | 526,078 | | | | 0.0 | |
1,227,887 | | Freddie Mac REMICS 4100 JA, 3.500%, 10/15/2041 | | | 1,308,955 | | | | 0.0 | |
2,128,000 | | Freddie Mac REMICS 4193 BP, 4.000%, 04/15/2043 | | | 2,654,106 | | | | 0.0 | |
10,599,934 | | Freddie Mac REMICS 4199 BZ, 3.500%, 05/15/2043 | | | 12,160,323 | | | | 0.1 | |
310,000 | | Freddie Mac REMICS 4235 QD, 3.000%, 08/15/2033 | | | 342,237 | | | | 0.0 | |
40,116,510(5) | | Freddie Mac REMICS 4301 SD, 5.941%, (-1.000*US0001M + 6.100%), 07/15/2037 | | | 8,046,505 | | | | 0.1 | |
6,437,792 | | Freddie Mac REMICS 4310 BZ, 4.000%, 02/15/2044 | | | 7,253,832 | | | | 0.1 | |
3,102,000 | | Freddie Mac REMICS 4401 BL, 3.500%, 10/15/2034 | | | 3,488,513 | | | | 0.1 | |
21,438,198(5) | | Freddie Mac REMICS 4461 AS, 5.441%, (-1.000*US0001M + 5.600%), 04/15/2045 | | | 4,245,205 | | | | 0.1 | |
3,124,000 | | Freddie Mac REMICS 4492 VB, 3.500%, 05/15/2035 | | | 3,533,117 | | | | 0.1 | |
559,823 | | Freddie Mac REMICS 4500 HC, 3.000%, 11/15/2042 | | | 573,964 | | | | 0.0 | |
2,913,000 | | Freddie Mac REMICS 4505 PB, 3.000%, 08/15/2045 | | | 3,211,509 | | | | 0.0 | |
21,992,429(5) | | Freddie Mac REMICS 4574 ST, 5.841%, (-1.000*US0001M + 6.000%), 04/15/2046 | | | 4,157,299 | | | | 0.1 | |
7,676,622 | | Freddie Mac REMICS 4608 JV, 3.500%, 01/15/2055 | | | 8,294,633 | | | | 0.1 | |
216,082 | | Freddie Mac REMICS 4673 WA, 3.500%, 09/15/2043 | | | 217,679 | | | | 0.0 | |
33,122,728 | | Freddie Mac REMICS 4771 HZ, 3.500%, 03/15/2048 | | | 36,777,424 | | | | 0 .4 | |
2,457,000 | | Freddie Mac REMICS 4772 VG, 4.500%, 08/15/2036 | | | 2,722,766 | | | | 0.0 | |
1,266,077 | | Freddie Mac REMICS 4787 PY, 4.000%, 05/15/2048 | | | 1,346,523 | | | | 0.0 | |
13,474,764 | | Freddie Mac REMICS 4795 D, 5.000%, 05/15/2048 | | | 15,735,382 | | | | 0.2 | |
1,632,872 | | Freddie Mac REMICS 4904 HB, 3.000%, 08/25/2049 | | | 1,800,438 | | | | 0.0 | |
606,535 | | Freddie Mac REMICS 4914 DB, 3.000%, 09/25/2049 | | | 665,121 | | | | 0.0 | |
11,981,407 | | Freddie Mac Series 4348 ZX, 4.250%, 06/15/2044 | | | 13,679,584 | | | | 0.1 | |
3,091,163(1) | | Freddie Mac STACR 2019-HQA3 M2, 1.998%, (US0001M + 1.850%), 09/27/2049 | | | 3,063,511 | | | | 0.0 | |
9,350,000(1) | | Freddie Mac STACR Remic Trust 2020-DNA2 M2, 1.998%, (US0001M + 1.850%), 02/25/2050 | | | 9,343,539 | | | | 0.1 | |
4,500,000(1) | | Freddie Mac STACR REMIC Trust 2020-DNA3 M2, 3.148%, (US0001M + 3.000%), 06/25/2050 | | | 4,541,030 | | | | 0.1 | |
10,600,000(1) | | Freddie Mac STACR REMIC Trust 2020-HQA1 M2, 2.048%, (US0001M + 1.900%), 01/25/2050 | | | 10,606,236 | | | | 0.1 | |
7,700,000(1) | | Freddie Mac Stacr Remic Trust 2020-HQA2 M2, 3.248%, (US0001M + 3.100%), 03/25/2050 | | | 7,802,867 | | | | 0.1 | |
13,300,000(1) | | Freddie Mac STACR REMIC Trust 2020-HQA3 M2, 3.748%, (US0001M + 3.600%), 07/25/2050 | | | 13,458,529 | | | | 0.1 | |
8,900,000(1) | | Freddie Mac STACR Trust 2018-DNA3 M2, 2.248%, (US0001M + 2.100%), 09/25/2048 | | | 8,831,466 | | | | 0.1 | |
11,487,597(1) | | Freddie Mac STACR Trust 2019-DNA3 M2, 2.198%, (US0001M + 2.050%), 07/25/2049 | | | 11,470,340 | | | | 0.1 | |
5,377,394 | | Freddie Mac Strips 277 30, 3.000%, 09/15/2042 | | | 5,689,924 | | | | 0.1 | |
5,708,922(5) | | Freddie Mac Strips 303 C17, 3.500%, 01/15/2043 | | | 855,609 | | | | 0.0 | |
50,339,596(5) | | Freddie Mac Strips Series 311 S1, 5.791%, (-1.000*US0001M + 5.950%), 08/15/2043 | | | 8,307,523 | | | | 0.1 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | | | | | | |
2,884,538 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2015-DNA2 M3, 4.048%, (US0001M + 3.900%), 12/25/2027 | | $ | 2,935,256 | | | | 0.0 | |
5,364,196 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2015-DNA3 M3, 4.848%, (US0001M + 4.700%), 04/25/2028 | | | 5,606,967 | | | | 0.1 | |
233,464 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2015-HQ1 M3, 3.948%, (US0001M + 3.800%), 03/25/2025 | | | 233,851 | | | | 0.0 | |
9,543,484 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2016-DNA1 M3, 5.700%, (US0001M + 5.550%), 07/25/2028 | | | 9,999,113 | | | | 0.1 | |
6,274,850 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2016-HQA2 M3, 5.298%, (US0001M + 5.150%), 11/25/2028 | | | 6,532,012 | | | | 0.1 | |
750,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2016-HQA3 M3, 3.998%, (US0001M + 3.850%), 03/25/2029 | | | 780,677 | | | | 0.0 | |
8,930,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2017-DNA3 M2, 2.648%, (US0001M + 2.500%), 03/25/2030 | | | 9,092,495 | | | | 0.1 | |
11,412,425 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2017-HQA2 M2, 2.798%, (US0001M + 2.650%), 12/25/2029 | | | 11,543,768 | | | | 0.1 | |
10,181,527 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2017-HQA3 M2, 2.498%, (US0001M + 2.350%), 04/25/2030 | | | 10,373,275 | | | | 0.1 | |
7,959,278 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2018-DNA1 M2, 1.948%, (US0001M + 1.800%), 07/25/2030 | | | 7,918,250 | | | | 0.1 | |
1,420,629 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2018-HQA1 M2, 2.448%, (US0001M + 2.300%), 09/25/2030 | | | 1,421,712 | | | | 0.0 | |
9,354,622(1) | | Freddie Mac Structured Agency Credit Risk Debt Notes 2019-DNA1 M2, 2.798%, (US0001M + 2.650%), 01/25/2049 | | | 9,373,753 | | | | 0.1 | |
8,508,068(1) | | Freddie Mac Structured Agency Credit Risk Debt Notes 2019-HQA2 M2, 2.198%, (US0001M + 2.050%), 04/25/2049 | | | 8,423,716 | | | | 0.1 | |
994,083(3) | | Freddie Mac Structured Pass Through Certificates T-48 1A, 4.778%, 07/25/2033 | | | 1,112,652 | | | | 0.0 | |
11,393,238(5) | | Freddie Mac REMICS 3346 SC, 6.391%, (-1.000*US0001M + 6.550%), 10/15/2033 | | | 2,470,078 | | | | 0.0 | |
8,892,611(5) | | Freddie Mac REMICS 3629 CS, 6.191%, (-1.000*US0001M + 6.350%), 01/15/2040 | | | 2,199,335 | | | | 0.0 | |
20,556,989(5) | | Freddie Mac REMICS 4407 CS, 6.041%, (-1.000*US0001M + 6.200%), 06/15/2044 | | | 2,991,519 | | | | 0.0 | |
31,966,093(5) | | Freddie Mac REMICS 4407 PS, 5.441%, (-1.000*US0001M + 5.600%), 06/15/2044 | | | 4,115,625 | | | | 0.1 | |
108,438,299(5) | | Freddie Mac REMICS 4585 AS, 5.941%, (-1.000*US0001M + 6.100%), 05/15/2046 | | | 22,798,838 | | | | 0.2 | |
30,613,352(5) | | Freddie Mac REMICS 4611 BS, 5.941%, (-1.000*US0001M + 6.100%), 06/15/2041 | | | 6,400,477 | | | | 0.1 | |
10,203,313 | | Freddie Mac REMICS 4664 KZ, 3.500%, 02/15/2047 | | | 11,176,420 | | | | 0.1 | |
6,519,963 | | Freddie Mac REMICS 4682 HZ, 3.500%, 04/15/2047 | | | 7,132,692 | | | | 0.1 | |
22,321,478 | | Freddie Mac REMICS 4776 AZ, 4.000%, 07/15/2047 | | | 24,750,468 | | | | 0.3 | |
59,036,911(5) | | Freddie Mac REMICS 4879 DS, 5.941%, (-1.000*US0001M + 6.100%), 08/15/2034 | | | 11,647,652 | | | | 0.1 | |
17,262,690(5) | | Freddie Mac REMICS 4906 SQ, 5.902%, (-1.000*US0001M + 6.050%), 09/25/2049 | | | 2,983,640 | | | | 0.0 | |
2,060,832 | | Freddie Mac REMICS 4941 CZ, 3.000%, 11/25/2049 | | | 2,209,588 | | | | 0.0 | |
92,640,879(5) | | Freddie Mac REMICS 5014 HI, 4.000%, 09/25/2050 | | | 14,317,972 | | | | 0.2 | |
52,091,821(5) | | Freddie Mac REMICS 5019 HI, 3.500%, 10/25/2050 | | | 7,483,521 | | | | 0.1 | |
41,770,670(5) | | Freddie Mac REMICS 5045 BS, 6.118%, (-1.000*SOFR30A + 6.200%), 11/25/2050 | | | 7,722,194 | | | | 0.1 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | | | | | | |
6,153,320(1) | | Freddie Mac Stacr Trust 2019-HQA1 M2, 2.498%, (US0001M + 2.350%), 02/25/2049 | | $ | 6,161,455 | | | | 0.1 | |
38,557,380(5) | | Freddie Mac Strips 365 C23, 3.500%, 10/15/2047 | | | 4,582,510 | | | | 0.1 | |
2,809,493(1),(3) | | Galton Funding Mortgage Trust 2017-2 A21, 4.000%, 06/25/2059 | | | 2,893,416 | | | | 0.0 | |
3,543,799(1),(3) | | Galton Funding Mortgage Trust 2018-1 B1, 3.800%, 11/25/2057 | | | 3,698,433 | | | | 0.1 | |
3,885,081(1),(3) | | Galton Funding Mortgage Trust 2018-2 B2, 4.750%, 10/25/2058 | | | 4,092,465 | | | | 0.1 | |
2,500,000(1),(3) | | Galton Funding Mortgage Trust 2018-2 A51, 4.500%, 10/25/2058 | | | 2,646,027 | | | | 0.0 | |
1,559,383(5) | | Ginnie Mae 2005-37 SI, 5.998%, (-1.000*US0001M + 6.150%), 05/20/2035 | | | 335,232 | | | | 0.0 | |
1,626,329(5) | | Ginnie Mae 2007-23 ST, 6.048%, (-1.000*US0001M + 6.200%), 04/20/2037 | | | 281,179 | | | | 0.0 | |
1,857,756(5) | | Ginnie Mae 2007-40 SE, 6.598%, (-1.000*US0001M + 6.750%), 07/20/2037 | | | 448,455 | | | | 0.0 | |
1,311,694(5) | | Ginnie Mae 2007-7 EI, 6.048%, (-1.000*US0001M + 6.200%), 02/20/2037 | | | 282,857 | | | | 0.0 | |
4,517,092(5) | | Ginnie Mae 2010-11 SA, 6.267%, (-1.000*US0001M + 6.420%), 01/16/2040 | | | 1,036,347 | | | | 0.0 | |
1,976,721(5) | | Ginnie Mae 2010-14 SB, 6.648%, (-1.000*US0001M + 6.800%), 11/20/2035 | | | 445,776 | | | | 0.0 | |
1,602,241(5) | | Ginnie Mae 2010-99 IT, 5.000%, 08/16/2040 | | | 262,912 | | | | 0.0 | |
694,996 | | Ginnie Mae 2013-69 KA, 1.250%, 08/20/2042 | | | 688,849 | | | | 0.0 | |
2,286,069 | | Ginnie Mae 2015-3 ZD, 4.000%, 01/20/2045 | | | 2,782,854 | | | | 0.0 | |
45,160,681(5) | | Ginnie Mae 2018-167 CS, 5.948%, (-1.000*US0001M + 6.100%), 12/20/2048 | | | 6,732,446 | | | | 0.1 | |
525,078(5) | | Ginnie Mae Series 2005-7 AH, 6.617%, (-1.000*US0001M + 6.770%), 02/16/2035 | | | 109,670 | | | | 0.0 | |
10,157,213(5) | | Ginnie Mae Series 2007-41 SL, 6.548%, (-1.000*US0001M + 6.700%), 07/20/2037 | | | 2,479,675 | | | | 0.0 | |
1,054,138(5) | | Ginnie Mae Series 2008-2 SW, 6.398%, (-1.000*US0001M + 6.550%), 01/20/2038 | | | 280,686 | | | | 0.0 | |
626,576(5) | | Ginnie Mae Series 2008-35 SN, 6.248%, (-1.000*US0001M + 6.400%), 04/20/2038 | | | 114,347 | | | | 0.0 | |
346,332(5) | | Ginnie Mae Series 2008-40 PS, 6.347%, (-1.000*US0001M + 6.500%), 05/16/2038 | | | 71,745 | | | | 0.0 | |
889,692(5) | | Ginnie Mae Series 2009-25 KS, 6.048%, (-1.000*US0001M + 6.200%), 04/20/2039 | | | 200,805 | | | | 0.0 | |
705,679 | | Ginnie Mae Series 2009-29 PB, 4.750%, 05/20/2039 | | | 799,682 | | | | 0.0 | |
723,677 | | Ginnie Mae Series 2009-31 ZL, 4.500%, 05/20/2039 | | | 813,881 | | | | 0.0 | |
402,246(5) | | Ginnie Mae Series 2009-33 SN, 6.148%, (-1.000*US0001M + 6.300%), 05/20/2039 | | | 4,274 | | | | 0.0 | |
12,637,891 | | Ginnie Mae Series 2009-33 ZB, 6.000%, 05/20/2039 | | | 13,953,610 | | | | 0.2 | |
1,433,187 | | Ginnie Mae Series 2009-34 Z, 4.500%, 05/16/2039 | | | 1,602,648 | | | | 0.0 | |
28,535(5) | | Ginnie Mae Series 2009-43 HS, 6.048%, (-1.000*US0001M + 6.200%), 06/20/2038 | | | 149 | | | | 0.0 | |
1,922,155 | | Ginnie Mae Series 2009-98 DA, 3.250%, 07/16/2039 | | | 2,038,902 | | | | 0.0 | |
3,964,170 | | Ginnie Mae Series 2010-108 WL, 4.000%, 04/16/2040 | | | 4,373,805 | | | | 0.1 | |
1,748,139(5) | | Ginnie Mae Series 2010-116 NS, 6.497%, (-1.000*US0001M + 6.650%), 09/16/2040 | | | 344,338 | | | | 0.0 | |
5,007,048(5) | | Ginnie Mae Series 2010-116 SK, 6.468%, (-1.000*US0001M + 6.620%), 08/20/2040 | | | 1,088,930 | | | | 0.0 | |
6,966,971(5) | | Ginnie Mae Series 2010-149 HS, 5.947%, (-1.000*US0001M + 6.100%), 05/16/2040 | | | 822,061 | | | | 0.0 | |
480,000 | | Ginnie Mae Series 2010-164 MD, 4.000%, 12/20/2040 | | | 545,628 | | | | 0.0 | |
1,759,142(5) | | Ginnie Mae Series 2010-168 BI, 5.000%, 04/20/2040 | | | 349,348 | | | | 0.0 | |
1,309,208(5) | | Ginnie Mae Series 2010-68 MS, 5.698%, (-1.000*US0001M + 5.850%), 06/20/2040 | | | 250,563 | | | | 0.0 | |
2,745,798 | | Ginnie Mae Series 2011-52 PA, 4.250%, 02/16/2041 | | | 2,957,766 | | | | 0.0 | |
3,617,781(5) | | Ginnie Mae Series 2011-72 SA, 5.197%, (-1.000*US0001M + 5.350%), 05/16/2041 | | | 626,420 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | | | | | | |
3,370,817(5) | | Ginnie Mae Series 2011-73 LS, 6.538%, (-1.000*US0001M + 6.690%), 08/20/2039 | | $ | 229,839 | | | | 0.0 | |
782,852(5) | | Ginnie Mae Series 2012-91 QI, 4.500%, 09/20/2041 | | | 59,705 | | | | 0.0 | |
1,388,000 | | Ginnie Mae Series 2013-116 KB, 3.500%, 12/20/2042 | | | 1,495,432 | | | | 0.0 | |
6,707,696(5) | | Ginnie Mae Series 2013-167 PI, 5.500%, 11/20/2043 | | | 1,205,922 | | | | 0.0 | |
489,942 | | Ginnie Mae Series 2013-27 KA, 2.250%, 02/20/2043 | | | 510,485 | | | | 0.0 | |
1,344,262(5) | | Ginnie Mae Series 2014-10 GI, 4.500%, 01/16/2029 | | | 84,521 | | | | 0.0 | |
4,331,170(5) | | Ginnie Mae Series 2014-185 SB, 5.448%, (-1.000*US0001M + 5.600%), 12/20/2044 | | | 859,947 | | | | 0.0 | |
3,683,646(5) | | Ginnie Mae Series 2014-3 QS, 5.998%, (-1.000*US0001M + 6.150%), 03/20/2043 | | | 563,748 | | | | 0.0 | |
7,325,353(5) | | Ginnie Mae Series 2014-3 SU, 5.898%, (-1.000*US0001M + 6.050%), 07/20/2039 | | | 1,621,565 | | | | 0.0 | |
5,414,438(5) | | Ginnie Mae Series 2014-56 SP, 6.047%, (-1.000*US0001M + 6.200%), 12/16/2039 | | | 827,044 | | | | 0.0 | |
10,079,427(5) | | Ginnie Mae Series 2014-58 SG, 5.447%, (-1.000*US0001M + 5.600%), 04/16/2044 | | | 1,735,329 | | | | 0.0 | |
31,544,236(5) | | Ginnie Mae Series 2015-110 MS, 5.558%, (-1.000*US0001M + 5.710%), 08/20/2045 | | | 5,502,034 | | | | 0.1 | |
1,962,842 | | Ginnie Mae Series 2015-27 PB, 3.000%, 08/20/2044 | | | 2,080,372 | | | | 0.0 | |
24,966,775(5) | | Ginnie Mae Series 2016-160 GS, 5.948%, (-1.000*US0001M + 6.100%), 11/20/2046 | | | 5,420,030 | | | | 0.1 | |
1,306,716 | | Ginnie Mae Series 2016-44 JA, 3.500%, 03/20/2046 | | | 1,408,904 | | | | 0.0 | |
307,721 | | Ginnie Mae Series 2018-104 HZ, 3.500%, 08/20/2048 | | | 338,774 | | | | 0.0 | |
2,807,975 | | Ginnie Mae Series 2018-120 DE, 3.500%, 09/20/2048 | | | 2,978,669 | | | | 0.0 | |
184,129 | | Ginnie Mae Series 2018-122 GZ, 3.500%, 09/20/2048 | | | 216,390 | | | | 0.0 | |
3,784,898 | | Ginnie Mae Series 2018-126 A, 3.500%, 09/20/2048 | | | 4,026,254 | | | | 0.1 | |
183,127 | | Ginnie Mae Series 2018-147 KZ, 3.750%, 10/20/2048 | | | 215,744 | | | | 0.0 | |
176,532 | | Ginnie Mae Series 2019-100 JB, 3.000%, 08/20/2049 | | | 186,722 | | | | 0.0 | |
532,322 | | Ginnie Mae Series 2019-100 KB, 3.000%, 08/20/2049 | | | 561,665 | | | | 0.0 | |
1,349,931 | | Ginnie Mae Series 2019-100 MC, 3.000%, 08/20/2049 | | | 1,421,706 | | | | 0.0 | |
1,081,376 | | Ginnie Mae Series 2019-23 NG, 3.500%, 02/20/2049 | | | 1,199,653 | | | | 0.0 | |
71,326 | | Ginnie Mae Series 2019-54 AB, 3.000%, 04/20/2049 | | | 75,879 | | | | 0.0 | |
798,785 | | Ginnie Mae Series 2019-78 MB, 3.000%, 06/20/2049 | | | 894,288 | | | | 0.0 | |
416,445 | | Ginnie Mae Series 2019-89 KB, 3.000%, 07/20/2049 | | | 464,939 | | | | 0.0 | |
299,424 | | Ginnie Mae Series 2019-89 WB, 3.000%, 07/20/2049 | | | 313,224 | | | | 0.0 | |
9,237,134(5) | | Ginnie Mae Series 2007-17 IC, 6.097%, (-1.000*US0001M + 6.250%), 04/16/2037 | | | 1,646,662 | | | | 0.0 | |
4,606,412(5) | | Ginnie Mae Series 2013-111 SA, 6.548%, (-1.000*US0001M + 6.700%), 07/20/2043 | | | 968,743 | | | | 0.0 | |
27,350,818(5) | | Ginnie Mae Series 2016-6 SB, 5.498%, (-1.000*US0001M + 5.650%), 01/20/2046 | | | 5,192,028 | | | | 0.1 | |
16,908,041(5) | | Ginnie Mae Series 2017-101 SA, 6.048%, (-1.000*US0001M + 6.200%), 07/20/2047 | | | 2,927,350 | | | | 0.0 | |
26,732,156(5) | | Ginnie Mae Series 2017-163 SH, 6.048%, (-1.000*US0001M + 6.200%), 11/20/2047 | | | 5,565,835 | | | | 0.1 | |
37,577,216(5) | | Ginnie Mae Series 2019-159 SM, 5.898%, (-1.000*US0001M + 6.050%), 12/20/2049 | | | 7,935,819 | | | | 0.1 | |
35,367,112(5) | | Ginnie Mae Series 2020-32 SG, 5.948%, (-1.000*US0001M + 6.100%), 03/20/2050 | | | 7,439,034 | | | | 0.1 | |
86,226,548(5) | | Ginnie Mae Series 2020-46 BS, 3.198%, (-1.000*US0001M + 3.350%), 04/20/2050 | | | 6,364,140 | | | | 0.1 | |
1,261,765(1),(3) | | GS Mortage-Backed Securities Trust 2020-PJ1 A1, 3.500%, 05/01/2050 | | | 1,288,480 | | | | 0.0 | |
2,023,631(1),(3) | | GS Mortage-Backed Securities Trust 2020-PJ1 A4, 3.500%, 05/01/2050 | | | 2,094,896 | | | | 0.0 | |
2,100,000(1),(3) | | GS Mortage-Backed Securities Trust 2020-PJ1 A8, 3.500%, 05/01/2050 | | | 2,196,907 | | | | 0.0 | |
2,834,453(1),(3) | | GS Mortgage-Backed Securities Corp. Trust 2019-PJ2 A1, 4.000%, 11/25/2049 | | | 2,875,137 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | | | | | | |
2,919,191(1),(3) | | GS Mortgage-Backed Securities Corp. Trust 2019-PJ2 B3, 4.484%, 11/25/2049 | | $ | 3,120,107 | | | | 0.0 | |
1,171,299(1),(3) | | GS Mortgage-Backed Securities Corp. Trust 2019-PJ3 B1, 4.108%, 03/25/2050 | | | 1,280,215 | | | | 0.0 | |
5,151,340(1),(3) | | GS Mortgage-Backed Securities Corp. Trust 2020-PJ2 A4, 3.500%, 07/25/2050 | | | 5,261,404 | | | | 0.1 | |
3,479,523(1),(3) | | GS Mortgage-Backed Securities Corp. Trust 2020-PJ4 A4, 3.000%, 01/25/2051 | | | 3,564,885 | | | | 0.1 | |
1,643,404(1),(3) | | GS Mortgage-Backed Securities Corp. Trust 2020-PJ3 B2A, 3.465%, 10/25/2050 | | | 1,734,580 | | | | 0.0 | |
3,840,101(3) | | GS Mortgage-Backed Securities Corp. Trust 2020-PJ5 A4, 3.000%, 03/27/2051 | | | 3,933,310 | | | | 0.1 | |
3,600,000(1),(3) | | GS Mortgage-Backed Securities Corp. Trust 2020-PJ6 A4, 2.500%, 12/25/2049 | | | 3,751,413 | | | | 0.1 | |
2,615 | | GSR Mortgage Loan Trust 2005-5F 8A1, 0.648%, (US0001M + 0.500%), 06/25/2035 | | | 2,460 | | | | 0.0 | |
174,820 | | GSR Mortgage Loan Trust 2007-1F 3A13, 6.000%, 01/25/2037 | | | 155,442 | | | | 0.0 | |
2,378,554 | | HarborView Mortgage Loan Trust 2007-5 A1A, 0.342%, (US0001M + 0.190%), 09/19/2037 | | | 2,255,479 | | | | 0.0 | |
117,673 | | HomeBanc Mortgage Trust 2004-1 2A, 1.008%, (US0001M + 0.860%), 08/25/2029 | | | 114,376 | | | | 0.0 | |
2,000,000 | | HomeBanc Mortgage Trust 2005-4 M1, 0.853%, (US0001M + 0.470%), 10/25/2035 | | | 2,026,145 | | | | 0.0 | |
1,831,312(1),(3) | | Homeward Opportunities Fund I Trust 2019-2 A3, 3.007%, 09/25/2059 | | | 1,851,893 | | | | 0.0 | |
993,162 | | Impac CMB Trust Series 2005-1 M1, 0.838%, (US0001M + 0.690%), 04/25/2035 | | | 950,987 | | | | 0.0 | |
1,526,791 | | IndyMac INDX Mortgage Loan Trust 2006-AR2 1A1B, 0.568%, (US0001M + 0.420%), 04/25/2046 | | | 1,416,630 | | | | 0.0 | |
2,238,604 | | IndyMac INDX Mortgage Loan Trust 2006-AR2 2A1, 0.568%, (US0001M + 0.420%), 02/25/2046 | | | 1,807,632 | | | | 0.0 | |
1,750,000(1),(3) | | JP Morgan Mortgage Trust 2019-8 A5, 3.500%, 03/25/2050 | | | 1,813,999 | | | | 0.0 | |
1,960,729(1),(3) | | JP Morgan Mortgage Trust 2019-9 B2A, 3.513%, 05/25/2050 | | | 2,046,897 | | | | 0.0 | |
1,789,409(1),(3) | | JP Morgan Mortgage Trust 2019-INV1 B3, 5.083%, 10/25/2049 | | | 1,902,656 | | | | 0.0 | |
4,716,317(1),(3) | | JP Morgan Mortgage Trust 2020-1 A15, 3.500%, 06/25/2050 | | | 4,839,406 | | | | 0.1 | |
2,300,000(1),(3) | | JP Morgan Mortgage Trust 2020-1 A7, 3.500%, 06/25/2050 | | | 2,383,087 | | | | 0.0 | |
1,283,077(1),(3) | | JP Morgan Mortgage Trust 2020-1 B1, 3.888%, 06/25/2050 | | | 1,374,300 | | | | 0.0 | |
1,311,585(1),(3) | | JP Morgan Mortgage Trust 2020-3 A15, 3.500%, 08/25/2050 | | | 1,347,695 | | | | 0.0 | |
2,130,625(1),(3) | | JP Morgan Mortgage Trust 2020-5 B3, 3.725%, 12/25/2050 | | | 2,213,489 | | | | 0.0 | |
797,472(1),(3) | | JP Morgan Mortgage Trust 2020-INV1 A3, 3.500%, 08/25/2050 | | | 831,060 | | | | 0.0 | |
462,901(1),(3) | | J.P. Morgan Mortgage Trust 2019-2 A3, 4.000%, 08/25/2049 | | | 478,284 | | | | 0.0 | |
3,006,040(1),(3) | | J.P. Morgan Mortgage Trust 2019-LTV1 A3, 4.000%, 06/25/2049 | | | 3,095,450 | | | | 0.0 | |
357,581 | | JP Morgan Alternative Loan Trust 2005-S1 1A1, 5.500%, 12/25/2035 | | | 230,915 | | | | 0.0 | |
2,378,530(3) | | JP Morgan Mortgage Trust 2005-A4 B1, 2.933%, 07/25/2035 | | | 2,388,406 | | | | 0.0 | |
4,214,752(1),(3) | | JP Morgan Mortgage Trust 2016-1 B3, 3.861%, 05/25/2046 | | | 4,340,802 | | | | 0.1 | |
1,083,423(1),(3) | | JP Morgan Mortgage Trust 2017-1 B4, 3.511%, 01/25/2047 | | | 1,085,737 | | | | 0.0 | |
3,055,322(1),(3) | | JP Morgan Mortgage Trust 2017-3 1A13, 3.500%, 08/25/2047 | | | 3,121,474 | | | | 0.0 | |
3,490,164(1),(3) | | JP Morgan Mortgage Trust 2017-3 B1, 3.792%, 08/25/2047 | | | 3,662,478 | | | | 0.1 | |
1,942,026(1),(3) | | JP Morgan Mortgage Trust 2017-3 B2, 3.792%, 08/25/2047 | | | 2,026,152 | | | | 0.0 | |
1,407,285(1),(3) | | JP Morgan Mortgage Trust 2017-6 B3, 3.817%, 12/25/2048 | | | 1,453,261 | | | | 0.0 | |
938,190(1),(3) | | JP Morgan Mortgage Trust 2017-6 B4, 3.817%, 12/25/2048 | | | 966,776 | | | | 0.0 | |
2,027,766(1),(3) | | JP Morgan Mortgage Trust 2018-1 B1, 3.721%, 06/25/2048 | | | 2,141,599 | | | | 0.0 | |
1,951,901(1),(3) | | JP Morgan Mortgage Trust 2018-1 B2, 3.721%, 06/25/2048 | | | 2,029,693 | | | | 0.0 | |
2,576,621(1),(3) | | JP Morgan Mortgage Trust 2018-1 B3, 3.721%, 06/25/2048 | | | 2,639,072 | | | | 0.0 | |
2,494,251(1),(3) | | JP Morgan Mortgage Trust 2018-3 B1, 3.753%, 09/25/2048 | | | 2,618,773 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | | | | | | |
2,150,243(1),(3) | | JP Morgan Mortgage Trust 2018-4 B2, 3.750%, 10/25/2048 | | $ | 2,248,065 | | | | 0.0 | |
1,991,841(1),(3) | | JP Morgan Mortgage Trust 2018-6C B2, 3.925%, 12/25/2048 | | | 2,091,395 | | | | 0.0 | |
2,889,968(1),(3) | | JP Morgan Mortgage Trust 2018-9 B3, 4.430%, 02/25/2049 | | | 3,055,030 | | | | 0.0 | |
1,101,946(1),(3) | | JP Morgan Mortgage Trust 2019-1 A3, 4.000%, 05/25/2049 | | | 1,139,944 | | | | 0.0 | |
3,151,736(1),(3) | | JP Morgan Mortgage Trust 2019-1 B1, 4.527%, 05/25/2049 | | | 3,367,222 | | | | 0.0 | |
1,638,495(1),(3) | | JP Morgan Mortgage Trust 2019-6 A3, 3.500%, 12/25/2049 | | | 1,681,416 | | | | 0.0 | |
2,762,083(1),(3) | | JP Morgan Mortgage Trust 2019-6 B1, 4.265%, 12/25/2049 | | | 2,985,800 | | | | 0.0 | |
4,169,935(1),(3) | | JP Morgan Mortgage Trust 2019-6 B2, 4.265%, 12/25/2049 | | | 4,524,955 | | | | 0.1 | |
1,530,557(1),(3) | | JP Morgan Mortgage Trust 2019-8 A15, 3.500%, 03/25/2050 | | | 1,584,478 | | | | 0.0 | |
1,471,343(1),(3) | | JP Morgan Mortgage Trust 2019-HYB1 B1, 3.889%, 10/25/2049 | | | 1,549,497 | | | | 0.0 | |
2,428,213(1),(3) | | JP Morgan Mortgage Trust 2019-LTV2 A18, 4.000%, 12/25/2049 | | | 2,504,020 | | | | 0.0 | |
3,555,387(1),(3) | | JP Morgan Mortgage Trust 2019-LTV2 B3, 4.809%, 12/25/2049 | | | 3,774,437 | | | | 0.1 | |
1,251,883(1),(3) | | JP Morgan Mortgage Trust 2020-2 A15, 3.500%, 07/25/2050 | | | 1,274,530 | | | | 0.0 | |
787,690(1),(3) | | JP Morgan Mortgage Trust 2020-3 B2, 3.890%, 08/25/2050 | | | 844,955 | | | | 0.0 | |
4,547,242(1),(3) | | JP Morgan Mortgage Trust 2020-4 A15, 3.000%, 11/25/2050 | | | 4,631,615 | | | | 0.1 | |
3,797,846(1),(3) | | JP Morgan Mortgage Trust 2020-7 A15, 3.000%, 01/25/2051 | | | 3,901,135 | | | | 0.1 | |
995,972(1),(3) | | JP Morgan Mortgage Trust 2020-8 B2, 3.620%, 03/25/2051 | | | 1,054,768 | | | | 0.0 | |
6,000,000(1),(3) | | JP Morgan Mortgage Trust 2020-LTV1 A5, 3.500%, 06/25/2050 | | | 6,145,696 | | | | 0.1 | |
3,516,423(1),(3) | | JP Morgan Mortgage Trust 2020-LTV2 A15, 3.000%, 11/25/2050 | | | 3,602,339 | | | | 0.1 | |
995,743(1),(3) | | JP Morgan Mortgage Trust 2020-LTV2 B1, 4.230%, 11/25/2050 | | | 1,087,762 | | | | 0.0 | |
7,617,817,917(1),(5) | | L Street Securities 2017-PM1 XIO, 0.000%, 10/25/2048 | | | 2,268,586 | | | | 0.0 | |
14,861,579(5) | | Lehman Mortgage Trust 2006-7 2A4, 6.402%, (-1.000*US0001M + 6.550%), 11/25/2036 | | | 4,416,870 | | | | 0.1 | |
9,467,561(5) | | Lehman Mortgage Trust 2006-9 2A5, 6.472%, (-1.000*US0001M + 6.620%), 01/25/2037 | | | 2,308,128 | | | | 0.0 | |
1,506,045 | | Lehman XS Trust Series 2005-5N 1A2, 0.508%, (US0001M + 0.360%), 11/25/2035 | | | 1,377,334 | | | | 0.0 | |
3,100,000(1) | | Mello Warehouse Securitization Trust 2020-1 B, 1.298%, (US0001M + 1.150%), 10/25/2053 | | | 3,106,222 | | | | 0.0 | |
1,226,000(1),(3) | | MFA 2020-NQM3 A3 Trust, 1.632%, 01/26/2065 | | | 1,228,600 | | | | 0.0 | |
4,503,733 | | Morgan Stanley Mortgage Loan Trust 2007-13 6A1, 6.000%, 10/25/2037 | | | 3,504,401 | | | | 0.1 | |
1,000,000(1),(3) | | Morgan Stanley Residential Mortgage Loan Trust 2020-1 A5A, 2.500%, 12/25/2050 | | | 996,529 | | | | 0.0 | |
2,589,266(1),(3) | | New Residential Mortgage Loan Trust 2017-3A B2, 4.750%, 04/25/2057 | | | 2,804,183 | | | | 0.0 | |
839,738(1),(3) | | New Residential Mortgage Loan Trust 2017-6A B2, 4.000%, 08/27/2057 | | | 915,265 | | | | 0.0 | |
1,379,223(1),(3) | | OBX 2019-EXP1 1A3 Trust, 4.000%, 01/25/2059 | | | 1,430,428 | | | | 0.0 | |
1,443,839(1),(3) | | OBX 2019-EXP2 1A3 Trust, 4.000%, 07/25/2059 | | | 1,512,464 | | | | 0.0 | |
1,476,746(1),(3) | | OBX 2019-INV2 A25 Trust, 4.000%, 05/27/2049 | | | 1,513,942 | | | | 0.0 | |
3,462,054(1),(3) | | OBX 2020-EXP3 1A9 Trust, 3.000%, 01/25/2060 | | | 3,562,686 | | | | 0.1 | |
9,826,000 | | Opteum Mortgage Acceptance Corp. Asset Backed Pass-Through Certificates 2005-4 M2, 0.898%, (US0001M + 0.500%), 11/25/2035 | | | 8,964,299 | | | | 0.1 | |
107,184 | | Prime Mortgage Trust 2007-1 A4, 5.500%, 03/25/2037 | | | 99,658 | | | | 0.0 | |
1,265,983(1),(3) | | Provident Funding Mortgage Trust 2020-1 B3, 3.322%, 02/25/2050 | | | 1,302,268 | | | | 0.0 | |
608,746(1),(3) | | PSMC 2020-1 A1 Trust, 3.500%, 01/25/2050 | | | 626,141 | | | | 0.0 | |
3,360,835(1),(3) | | RCKT Mortgage Trust 2019-1 A13, 3.500%, 09/25/2049 | | | 3,448,790 | | | | 0.1 | |
1,575,187(1),(3) | | RCKT Mortgage Trust 2020-1 A13, 3.000%, 02/25/2050 | | | 1,609,097 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | | | | | | |
9,055,138 | | Seasoned Credit Risk Transfer Trust Series 2018-2, 3.500%, 11/25/2057 | | $ | 10,066,365 | | | | 0.1 | |
25,225,000 | | Seasoned Loans Structured Transaction Trust Series 2019-3 A2C, 2.750%, 11/25/2029 | | | 27,056,310 | | | | 0.3 | |
1,414,823(1),(3) | | Sequoia Mortgage Trust 2014-3 B3, 3.930%, 10/25/2044 | | | 1,462,546 | | | | 0.0 | |
1,401,386(1),(3) | | Sequoia Mortgage Trust 2014-4 B3, 3.873%, 11/25/2044 | | | 1,419,146 | | | | 0.0 | |
1,547,401(1),(3) | | Sequoia Mortgage Trust 2015-2 B3, 3.728%, 05/25/2045 | | | 1,637,263 | | | | 0.0 | |
1,356,274(1),(3) | | Sequoia Mortgage Trust 2015-3 B3, 3.711%, 07/25/2045 | | | 1,399,109 | | | | 0.0 | |
3,300,000(1),(3) | | Sequoia Mortgage Trust 2017-CH2 A13, 4.000%, 12/25/2047 | | | 3,439,932 | | | | 0.1 | |
990,315(1),(3) | | Sequoia Mortgage Trust 2018-CH1 A19, 4.000%, 02/25/2048 | | | 1,018,276 | | | | 0.0 | |
2,560,221(1),(3) | | Sequoia Mortgage Trust 2018-CH1 B2B, 4.461%, 02/25/2048 | | | 2,713,441 | | | | 0.0 | |
681,537(1),(3) | | Sequoia Mortgage Trust 2019-1 A1, 4.000%, 02/25/2049 | | | 690,890 | | | | 0.0 | |
2,104,782(1),(3) | | Sequoia Mortgage Trust 2019-3 A2, 3.500%, 09/25/2049 | | | 2,156,419 | | | | 0.0 | |
2,406,197(1),(3) | | Sequoia Mortgage Trust 2019-4 A19, 3.500%, 11/25/2049 | | | 2,455,157 | | | | 0.0 | |
1,030,889(1),(3) | | Sequoia Mortgage Trust 2019-5 A19, 3.500%, 12/25/2049 | | | 1,053,163 | | | | 0.0 | |
639,183(1),(3) | | Sequoia Mortgage Trust 2019-CH1 A1, 4.500%, 03/25/2049 | | | 655,683 | | | | 0.0 | |
2,532,996(1),(3) | | Sequoia Mortgage Trust 2019-CH2 A1, 4.500%, 08/25/2049 | | | 2,605,203 | | | | 0.0 | |
3,108,520(1),(3) | | Sequoia Mortgage Trust 2020-1 A19, 3.500%, 02/25/2050 | | | 3,176,063 | | | | 0.0 | |
5,200,000(1),(3) | | Sequoia Mortgage Trust 2020-1 A7, 3.500%, 02/25/2050 | | | 5,423,174 | | | | 0.1 | |
3,201,511(1),(3) | | Sequoia Mortgage Trust 2020-2 A19, 3.500%, 03/25/2050 | | | 3,288,024 | | | | 0.0 | |
740,333(1),(3) | | Sequoia Mortgage Trust 2017-5 B3, 3.821%, 08/25/2047 | | | 757,454 | | | | 0.0 | |
1,983,333(1),(3) | | Sequoia Mortgage Trust 2020-2 B2, 3.661%, 03/25/2050 | | | 2,092,023 | | | | 0.0 | |
3,018,767(1),(3) | | Sequoia Mortgage Trust 2020-3 B2, 3.402%, 04/25/2050 | | | 3,097,143 | | | | 0.0 | |
1,827,317(1),(3) | | Sequoia Mortgage Trust 2020-4 A20, 2.500%, 11/25/2050 | | | 1,898,680 | | | | 0.0 | |
1,857,553(1),(3) | | Shellpoint Co-Originator Trust 2017-2 B2, 3.709%, 10/25/2047 | | | 1,929,924 | | | | 0.0 | |
2,193,308(1),(3) | | Starwood Mortgage Residential Trust 2019-1 A3, 3.299%, 06/25/2049 | | | 2,224,223 | | | | 0.0 | |
9,130(3) | | Structured Adjustable Rate Mortgage Loan Trust 2004-12 7A3, 3.123%, 09/25/2034 | | | 9,124 | | | | 0.0 | |
2,393,320(1),(3) | | TIAA Bank Mortgage Loan Trust 2018-2 B2, 3.801%, 07/25/2048 | | | 2,523,784 | | | | 0.0 | |
1,231,000(1),(3) | | Verus Securitization Trust 2018-2 B1, 4.426%, 06/01/2058 | | | 1,289,311 | | | | 0.0 | |
2,321,556(1),(6) | | Verus Securitization Trust 2019-3 A2, 2.938% (Step Rate @ 3.938% on 07/25/2023), 07/25/2059 | | | 2,370,971 | | | | 0.0 | |
880,097(1),(6) | | Verus Securitization Trust 2019-4 A3, 3.000% (Step Rate @ 4.000% on 10/25/2023), 11/25/2059 | | | 900,467 | | | | 0.0 | |
2,440,815(1),(3) | | Verus Securitization Trust 2019-INV2 A2, 3.117%, 07/25/2059 | | | 2,510,450 | | | | 0.0 | |
1,933,939(1),(3) | | Verus Securitization Trust 2019-INV2 A3, 3.219%, 07/25/2059 | | | 1,987,035 | | | | 0.0 | |
1,538,404(1),(3) | | Verus Securitization Trust 2020-INV1 A1, 1.977%, 04/25/2060 | | | 1,562,605 | | | | 0.0 | |
1,000,000(1),(3) | | Verus Securitization Trust 2020-INV1 A2, 3.035%, 04/25/2060 | | | 1,031,831 | | | | 0.0 | |
679,729(3) | | Wachovia Mortgage Loan LLC Series 2005-B 2A1, 2.647%, 10/20/2035 | | | 634,687 | | | | 0.0 | |
297,764(3) | | WaMu Mortgage Pass Through Certificates Series 2006-AR12 2A3, 2.532%, 10/25/2036 | | | 286,664 | | | | 0.0 | |
3,765,516(3) | | WaMu Mortgage Pass-Through Certificates Series 2004-AR4 A6 Trust, 2.951%, 06/25/2034 | | | 3,806,039 | | | | 0.1 | |
2,143,000 | | WaMu Mortgage Pass-Through Certificates Series 2005-AR11 A1C3, 1.168%, (US0001M + 0.510%), 08/25/2045 | | | 2,160,929 | | | | 0.0 | |
67,169,935(3),(5) | | WaMu Mortgage Pass-Through Certificates Series 2005-AR11 X, 2.008%, 08/25/2045 | | | 3,014,674 | | | | 0.0 | |
1,689,159 | | WaMu Mortgage Pass-Through Certificates Series 2005-AR13 A1C3, 1.128%, (US0001M + 0.490%), 10/25/2045 | | | 1,648,981 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | | | | | | |
351,678(3) | | WaMu Mortgage Pass-Through Certificates Series 2006-AR12 1A1, 3.037%, 10/25/2036 | | $ | 345,877 | | | | 0.0 | |
722,903(3) | | WaMu Mortgage Pass-Through Certificates Series 2006-AR14 1A4, 2.644%, 11/25/2036 | | | 718,127 | | | | 0.0 | |
978,015(3) | | WaMu Mortgage Pass-Through Certificates Series 2006-AR16 2A1, 2.490%, 12/25/2036 | | | 937,173 | | | | 0.0 | |
2,261,065(3) | | WaMu Mortgage Pass-Through Certificates Series 2006-AR16 2A3, 2.490%, 12/25/2036 | | | 2,166,644 | | | | 0.0 | |
1,358,650(3) | | WaMu Mortgage Pass-Through Certificates Series 2006-AR16 3A1, 3.154%, 12/25/2036 | | | 1,290,137 | | | | 0.0 | |
1,167,214(3) | | WaMu Mortgage Pass-Through Certificates Series 2006-AR8 1A4, 3.095%, 08/25/2046 | | | 1,122,624 | | | | 0.0 | |
1,732,587(3) | | WaMu Mortgage Pass-Through Certificates Series 2007-HY2 1A1, 3.324%, 12/25/2036 | | | 1,740,211 | | | | 0.0 | |
437,517(3) | | WaMu Mortgage Pass-Through Certificates Series 2007-HY3 1A1, 3.216%, 03/25/2037 | | | 391,327 | | | | 0.0 | |
1,132,890(3) | | WaMu Mortgage Pass-Through Certificates Series 2007-HY4 1A1, 3.208%, 04/25/2037 | | | 1,042,743 | | | | 0.0 | |
652,376 | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OC1 A3, 0.378%, (US0001M + 0.230%), 01/25/2047 | | | 646,030 | | | | 0.0 | |
1,351,527 | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OC1 A4, 0.468%, (US0001M + 0.320%), 01/25/2047 | | | 1,351,072 | | | | 0.0 | |
1,465,476 | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-10 2A3, 1.048%, (US0001M + 0.900%), 11/25/2035 | | | 1,245,895 | | | | 0.0 | |
1,337,990 | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-11 A1, 5.750%, 01/25/2036 | | | 1,283,326 | | | | 0.0 | |
884,743 | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-5 CB3, 5.500%, 07/25/2035 | | | 878,682 | | | | 0.0 | |
391,489 | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-8 1A2, 5.500%, 10/25/2035 | | | 396,447 | | | | 0.0 | |
4,110,897 | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR6 2A, 1.569%, (12MTA + 0.960%), 08/25/2046 | | | 2,752,803 | | | | 0.0 | |
731,800 | | Wells Fargo Alternative Loan 2007-PA2 2A1, 0.578%, (US0001M + 0.430%), 06/25/2037 | | | 590,422 | | | | 0.0 | |
902,647 | | Wells Fargo Alternative Loan 2007-PA3 3A1, 6.250%, 07/25/2037 | | | 900,102 | | | | 0.0 | |
263,882(3) | | Wells Fargo Mortgage Backed Securities 2006-AR4 2A4, 4.019%, 04/25/2036 | | | 250,688 | | | | 0.0 | |
2,010,236(1),(3) | | Wells Fargo Mortgage Backed Securities 2019-4 B3 Trust, 3.559%, 09/25/2049 | | | 2,041,960 | | | | 0.0 | |
2,491,309(1),(3) | | Wells Fargo Mortgage Backed Securities 2020-2 A17 Trust, 3.000%, 12/25/2049 | | | 2,565,710 | | | | 0.0 | |
3,000,000(1),(3) | | Wells Fargo Mortgage Backed Securities 2020-2 A5 Trust, 3.000%, 12/25/2049 | | | 3,122,488 | | | | 0.0 | |
2,964,630(1),(3) | | Wells Fargo Mortgage Backed Securities 2020-2 B1 Trust, 3.291%, 12/25/2049 | | | 3,090,247 | | | | 0.0 | |
2,288,806(1),(3) | | Wells Fargo Mortgage Backed Securities 2020-1 A17 Trust, 3.000%, 12/25/2049 | | | 2,337,377 | | | | 0.0 | |
3,967,475(1),(3) | | Wells Fargo Mortgage Backed Securities 2020-4 B1 Trust, 3.275%, 07/25/2050 | | | 4,208,559 | | | | 0.1 | |
1,638,515(1),(3) | | WinWater Mortgage Loan Trust 2015-5 B4, 3.765%, 08/20/2045 | | | 1,707,318 | | | | 0.0 | |
1,004,409(1),(3) | | WinWater Mortgage Loan Trust 2015-5 B3, 3.765%, 08/20/2045 | | | 1,062,979 | | | | 0.0 | |
| | | | | | | | | | |
| | Total Collateralized Mortgage Obligations (Cost $1,706,965,619) | | | 1,802,026,279 | | | | 17.5 | |
| | | | | | | | | | |
U.S. TREASURY OBLIGATIONS: 7.4% | | | | | | | |
| | U.S. Treasury Bonds: 2.0% | |
58,000 | | 1.250%,05/15/2050 | | | 52,513 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
SOVEREIGN BONDS: (continued) | | | | | | | |
7,775,000 | | Brazilian Government International Bond, 3.875%, 06/12/2030 | | $ | 8,216,231 | | | | 0.1 | |
5,900,000(2) | | Brazilian Government International Bond, 4.625%, 01/13/2028 | | | 6,620,950 | | | | 0.1 | |
700,000 | | Brazilian Government International Bond, 6.000%, 04/07/2026 | | | 842,362 | | | | 0.0 | |
CNY 160,790,000 | | China Government Bond, 3.250%, 06/06/2026 | | | 24,870,611 | | | | 0.3 | |
1,000,000 | | Colombia Government International Bond, 3.125%, 04/15/2031 | | | 1,063,000 | | | | 0.0 | |
5,225,000 | | Colombia Government International Bond, 3.875%, 04/25/2027 | | | 5,834,026 | | | | 0.1 | |
COP 8,697,700,000 | | Colombian TES, 7.750%, 09/18/2030 | | | 2,993,682 | | | | 0.0 | |
2,500,000 | | Croatia Government International Bond, 5.500%, 04/04/2023 | | | 2,757,563 | | | | 0.0 | |
272,000 | | Croatia Government International Bond, 6.375%, 03/24/2021 | | | 275,638 | | | | 0.0 | |
7,900,000(1) | | Dominican Republic International Bond, 4.500%, 01/30/2030 | | | 8,601,125 | | | | 0.1 | |
2,700,000(1) | | Dominican Republic International Bond, 4.875%, 09/23/2032 | | | 2,993,625 | | | | 0.0 | |
300,000(1) | | Dominican Republic International Bond, 5.500%, 01/27/2025 | | | 338,625 | | | | 0.0 | |
270,000 | | Dominican Republic International Bond, 5.875%, 04/18/2024 | | | 295,988 | | | | 0.0 | |
900,000 | | Dominican Republic International Bond, 5.950%, 01/25/2027 | | | 1,060,875 | | | | 0.0 | |
300,000(1) | | Dominican Republic International Bond, 6.600%, 01/28/2024 | | | 340,843 | | | | 0.0 | |
4,825,000 | | Dominican Republic International Bond, 6.875%, 01/29/2026 | | | 5,832,219 | | | | 0.1 | |
2,675,000(2) | | Egypt Government International Bond, 5.875%, 06/11/2025 | | | 2,910,304 | | | | 0.0 | |
250,000(1),(2) | | Egypt Government International Bond, 5.875%, 06/11/2025 | | | 271,991 | | | | 0.0 | |
1,300,000 | | Egypt Government International Bond, 6.588%, 02/21/2028 | | | 1,433,250 | | | | 0.0 | |
9,150,000(2) | | Egypt Government International Bond, 7.500%, 01/31/2027 | | | 10,606,598 | | | | 0.1 | |
7,675,000(1) | | Egypt Government International Bond, 7.625%, 05/29/2032 | | | 8,714,962 | | | | 0.1 | |
1,240,000(1) | | Gabon Government International Bond, 6.625%, 02/06/2031 | | | 1,283,471 | | | | 0.0 | |
12,725,000(1) | | Ghana Government International Bond, 6.375%, 02/11/2027 | | | 13,255,429 | | | | 0.1 | |
IDR 132,518,000,000 | | Indonesia Treasury Bond, 8.375%, 04/15/2039 | | | 11,162,466 | | | | 0.1 | |
IDR 147,544,000,000 | | Indonesia Treasury Bond, 8.750%, 05/15/2031 | | | 12,500,780 | | | | 0.1 | |
EUR 2,800,000(1),(2) | | Ivory Coast Government International Bond, 4.875%, 01/30/2032 | | | 3,526,227 | | | | 0.0 | |
4,706,930(3) | | Ivory Coast Government International Bond, 5.750%, 12/31/2032 | | | 4,763,008 | | | | 0.1 | |
2,350,000(1) | | Jordan Government International Bond, 5.850%, 07/07/2030 | | | 2,598,654 | | | | 0.0 | |
1,000,000 | | Jordan Government International Bond, 6.125%, 01/29/2026 | | | 1,115,055 | | | | 0.0 | |
1,200,000(1) | | Kenya Government International Bond, 7.000%, 05/22/2027 | | | 1,325,700 | | | | 0.0 | |
1,750,000 | | Mexico Government International Bond, 3.771%, 05/24/2061 | | | 1,827,000 | | | | 0.0 | |
2,250,000 | | Morocco Government International Bond, 4.250%, 12/11/2022 | | | 2,368,478 | | | | 0.0 | |
600,000(1) | | Morocco Government International Bond, 4.250%, 12/11/2022 | | | 631,594 | | | | 0.0 | |
5,675,000(1) | | Morocco Government International Bond, 2.375%, 12/15/2027 | | | 5,706,213 | | | | 0.1 | |
5,850,000(1) | | Morocco Government International Bond, 3.000%, 12/15/2032 | | | 5,955,359 | | | | 0.1 | |
1,450,000(1) | | Morocco Government International Bond, 4.000%, 12/15/2050 | | | 1,499,603 | | | | 0.0 | |
850,000 | | Namibia International Bonds, 5.500%, 11/03/2021 | | | 872,633 | | | | 0.0 | |
3,400,000 | | Oman Government International Bond, 6.000%, 08/01/2029 | | | 3,517,810 | | | | 0.0 | |
5,250,000(1) | | Oman Government International Bond, 6.750%, 10/28/2027 | | | 5,701,106 | | | | 0.1 | |
5,250,000(1),(2) | | Oman Government International Bond, 7.375%, 10/28/2032 | | | 5,807,708 | | | | 0.1 | |
693,000 | | Panama Government International Bond, 6.700%, 01/26/2036 | | | 1,032,081 | | | | 0.0 | |
1,000,000 | | Panama Government International Bond, 9.375%, 04/01/2029 | | | 1,561,060 | | | | 0.0 | |
600,000 | | Paraguay Government International Bond, 4.625%, 01/25/2023 | | | 646,500 | | | | 0.0 | |
600,000(1) | | Paraguay Government International Bond, 4.625%, 01/25/2023 | | | 646,500 | | | | 0.0 | |
PEN 14,130,000 | | Peru Government Bond, 6.850%, 02/12/2042 | | | 4,797,025 | | | | 0.1 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
SOVEREIGN BONDS: (continued) | | | | | | | |
PEN 14,102,000 | | Peru Government Bond, 6.900%, 08/12/2037 | | $ | 4,814,031 | | | | 0.1 | |
3,600,000(1) | | Perusahaan Penerbit SBSN Indonesia III, 2.800%, 06/23/2030 | | | 3,825,036 | | | | 0.1 | |
2,675,000 | | Perusahaan Penerbit SBSN Indonesia III, 4.150%, 03/29/2027 | | | 3,071,355 | | | | 0.0 | |
4,000,000(1) | | Perusahaan Penerbit SBSN Indonesia III, 4.400%, 03/01/2028 | | | 4,694,540 | | | | 0.1 | |
3,375,000(2) | | Peruvian Government International Bond, 1.862%, 12/01/2032 | | | 3,408,328 | | | | 0.0 | |
2,525,000 | | Peruvian Government International Bond, 2.780%, 12/01/2060 | | | 2,552,775 | | | | 0.0 | |
PEN 31,906,000 | | Peruvian Government International Bond, 6.950%, 08/12/2031 | | | 11,473,877 | | | | 0.1 | |
4,200,000 | | Philippine Government International Bond, 3.750%, 01/14/2029 | | | 4,907,616 | | | | 0.1 | |
4,450,000 | | Republic of South Africa Government International Bond, 4.300%, 10/12/2028 | | | 4,648,826 | | | | 0.1 | |
12,300,000 | | Republic of South Africa Government International Bond, 4.850%, 09/30/2029 | | | 13,092,637 | | | | 0.1 | |
RON 19,250,000 | | Romania Government Bond, 3.250%, 04/29/2024 | | | 4,940,888 | | | | 0.1 | |
RON 40,950,000 | | Romania Government Bond, 5.800%, 07/26/2027 | | | 12,134,709 | | | | 0.1 | |
EUR 2,050,000(1),(2) | | Romanian Government International Bond, 2.625%, 12/02/2040 | | | 2,675,666 | | | | 0.0 | |
3,600,000 | | Russian Foreign Bond - Eurobond, 4.250%, 06/23/2027 | | | 4,115,250 | | | | 0.1 | |
2,600,000 | | Russian Foreign Bond - Eurobond, 4.750%, 05/27/2026 | | | 3,007,924 | | | | 0.0 | |
1,750,000(1) | | Saudi Government International Bond, 3.250%, 10/22/2030 | | | 1,933,488 | | | | 0.0 | |
554,000 | | Saudi Government International Bond, 4.500%, 04/17/2030 | | | 670,113 | | | | 0.0 | |
2,925,000(1),(2) | | Saudi Government International Bond, 4.500%, 04/17/2030 | | | 3,538,051 | | | | 0.0 | |
1,200,000(2) | | Sri Lanka Government International Bond, 6.350%, 06/28/2024 | | | 736,800 | | | | 0.0 | |
9,475,000 | | Turkey Government International Bond, 4.875%, 10/09/2026 | | | 9,604,154 | | | | 0.1 | |
1,000,000 | | Turkey Government International Bond, 5.125%, 02/17/2028 | | | 1,014,950 | | | | 0.0 | |
2,675,000 | | Turkey Government International Bond, 5.750%, 03/22/2024 | | | 2,822,871 | | | | 0.0 | |
1,000,000 | | Turkey Government International Bond, 6.125%, 10/24/2028 | | | 1,068,725 | | | | 0.0 | |
200,000 | | Turkey Government International Bond, 6.250%, 09/26/2022 | | | 209,733 | | | | 0.0 | |
1,700,000 | | Turkey Government International Bond, 6.375%, 10/14/2025 | | | 1,840,786 | | | | 0.0 | |
2,083,000 | | Turkey Government International Bond, 7.375%, 02/05/2025 | | | 2,328,956 | | | | 0.0 | |
500,000 | | Ukraine Government International Bond, 7.375%, 09/25/2032 | | | 550,938 | | | | 0.0 | |
1,500,000 | | Ukraine Government International Bond, 7.750%, 09/01/2023 | | | 1,652,439 | | | | 0.0 | |
10,400,000 | | Ukraine Government International Bond, 7.750%, 09/01/2025 | | | 11,686,740 | | | | 0.1 | |
1,890,000 | | Ukraine Government International Bond, 7.750%, 09/01/2026 | | | 2,139,244 | | | | 0.0 | |
850,000 | | Ukraine Government International Bond, 7.750%, 09/01/2027 | | | 966,739 | | | | 0.0 | |
389,000 | | Ukraine Government International Bond, 9.750%, 11/01/2028 | | | 479,695 | | | | 0.0 | |
| | | | | | | | | | |
| | Total Sovereign Bonds (Cost $301,323,606) | | | 321,918,968 | | | | 3.1 | |
| | | | | | | | | | |
COMMERCIAL MORTGAGE-BACKED SECURITIES: 7.6% | | | | | | | |
10,647,000(1),(3) | | BAMLL Re-REMIC Trust 2016-FRR16 B, 0.860%, 05/27/2021 | | | 10,488,308 | | | | 0.1 | |
35,059,441(3),(5) | | BANK 2017-BNK4 XA, 1.402%, 05/15/2050 | | | 2,223,961 | | | | 0.0 | |
167,655,000(3),(5) | | BANK 2017-BNK8 XB, 0.175%, 11/15/2050 | | | 1,929,877 | | | | 0.0 | |
203,016,280(3),(5) | | BANK 2018-BNK14 XA, 0.516%, 09/15/2060 | | | 6,159,331 | | | | 0.1 | |
19,110,000(1),(3),(5) | | BANK 2018-BNK14 XD, 1.603%, 09/15/2060 | | | 2,067,855 | | | | 0.0 | |
24,591,669(3),(5) | | BANK 2019-BNK16 XA, 0.962%, 02/15/2052 | | | 1,560,786 | | | | 0.0 | |
5,210,000(1) | | BANK 2019-BNK18 D, 3.000%, 05/15/2062 | | | 4,872,327 | | | | 0.1 | |
6,580,000(3) | | Bank 2019-BNK19 C, 4.034%, 08/15/2061 | | | 7,027,371 | | | | 0.1 | |
100,355,265(3),(5) | | Bank 2019-BNK19 XA, 0.960%, 08/15/2061 | | | 6,853,030 | | | | 0.1 | |
6,300,000(3),(5) | | BANK 2020-BNK30 XA, 1.346%, 12/10/2053 | | | 649,029 | | | | 0.0 | |
92,840,000(1),(3),(5) | | BBCCRE Trust 2015-GTP XA, 0.597%, 08/10/2033 | | | 2,496,430 | | | | 0.0 | |
3,670,000(1) | | BBCMS 2020-BID D Mortgage Trust, 4.789%, (US0001M + 4.630%), 10/15/2037 | | | 3,696,332 | | | | 0.0 | |
2,620,000(1),(3) | | BENCHMARK 2018-B3 D Mortgage Trust, 3.056%, 04/10/2051 | | | 2,420,900 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
COMMERCIAL MORTGAGE-BACKED SECURITIES: (continued) | | | | | | | |
54,335,819(3),(5) | | Benchmark 2019-B12 XA Mortgage Trust, 1.066%, 08/15/2052 | | $ | 3,508,725 | | | | 0.0 | |
7,470,000(1) | | Benchmark 2019-B9 D Mortgage Trust, 3.000%, 03/15/2052 | | | 6,931,660 | | | | 0.1 | |
36,548,204(3),(5) | | Benchmark 2019-B9 XA Mortgage Trust, 1.044%, 03/15/2052 | | | 2,652,044 | | | | 0.0 | |
8,640,000(1) | | Benchmark 2020-B18 AGNE Mortgage Trust, 3.759%, 08/15/2053 | | | 8,848,934 | | | | 0.1 | |
6,420,000(1) | | Benchmark 2020-B17 D Mortgage Trust, 2.250%, 03/15/2053 | | | 5,626,181 | | | | 0.1 | |
92,688,599(3),(5) | | Benchmark 2020-B17 XA Mortgage Trust, 1.420%, 03/15/2053 | | | 8,595,088 | | | | 0.1 | |
110,611,966(3),(5) | | Benchmark 2020-B19 XA Mortgage Trust, 1.779%, 09/15/2053 | | | 12,976,918 | | | | 0.1 | |
60,408,981(3),(5) | | Benchmark 2020-B20 XA Mortgage Trust, 1.628%, 10/15/2053 | | | 6,960,105 | | | | 0.1 | |
47,673,177(3),(5) | | Benchmark 2020-B21 xa Mortgage Trust, 1.459%, 12/15/2053 | | | 5,476,518 | | | | 0.1 | |
2,702,000(1) | | BHP Trust 2019-BXHP D, 1.930%, (US0001M + 1.771%), 08/15/2036 | | | 2,604,245 | | | | 0.0 | |
24,415,940(1) | | BX Commercial Mortgage Trust 2019-XL G, 2.459%, (US0001M + 2.300%), 10/15/2036 | | | 24,303,080 | | | | 0.2 | |
13,961,323(1) | | BX Commercial Mortgage Trust 2019-XL J, 2.809%, (US0001M + 2.650%), 10/15/2036 | | | 13,775,270 | | | | 0.1 | |
12,448,606(1) | | BX Commercial Mortgage Trust 2020-BXLP F, 2.159%, (US0001M + 2.000%), 12/15/2036 | | | 12,197,782 | | | | 0.1 | |
9,440,360(1) | | BX Commercial Mortgage Trust 2020-BXLP G, 2.659%, (US0001M + 2.500%), 12/15/2029 | | | 9,268,823 | | | | 0.1 | |
8,000,000(1) | | BX Commercial Mortgage Trust 2020-FOX F, 4.409%, (US0001M + 4.250%), 11/15/2032 | | | 8,084,792 | | | | 0.1 | |
2,125,000(1),(3) | | BX Commercial Mortgage Trust 2020-VIV2 C, 3.542%, 03/09/2044 | | | 2,218,552 | | | | 0.0 | |
6,280,000(1) | | BX Commercial Mortgage Trust 2020-VKNG E, 2.259%, (US0001M + 2.100%), 10/15/2037 | | | 6,285,346 | | | | 0.1 | |
5,124,357(1) | | BX Trust 2019-MMP E, 2.059%, (US0001M + 1.900%), 08/15/2036 | | | 4,985,693 | | | | 0.1 | |
6,000,000(1) | | BX Trust 2019-OC11 A, 3.202%, 12/09/2041 | | | 6,606,685 | | | | 0.1 | |
6,300,000(1),(3) | | BX Trust 2019-OC11 E, 4.076%, 12/09/2041 | | | 6,422,488 | | | | 0.1 | |
7,290,000 | | Cantor Commercial Real Estate Lending 2019-CF2 A5, 2.874%, 11/15/2052 | | | 8,063,865 | | | | 0.1 | |
3,340,000(3) | | CCUBS Commercial Mortgage Trust 2017-C1 C, 4.392%, 11/15/2050 | | | 3,580,973 | | | | 0.0 | |
93,204,643(3),(5) | | CCUBS Commercial Mortgage Trust 2017-C1 XA, 1.007%, 11/15/2050 | | | 4,431,573 | | | | 0.0 | |
24,551,934(3),(5) | | CD 2016-CD1 Mortgage Trust XA, 1.388%, 08/10/2049 | | | 1,364,948 | | | | 0.0 | |
45,113,000(1),(3),(5) | | CD 2016-CD1 Mortgage Trust XB, 0.675%, 08/10/2049 | | | 1,639,623 | | | | 0.0 | |
33,434,248(3),(5) | | CD 2017-CD4 Mortgage Trust XA, 1.293%, 05/10/2050 | | | 1,857,065 | | | | 0.0 | |
7,453,264(1),(3) | | CFCRE Commercial Mortgage Trust 2011-C1 E, 6.043%, 04/15/2044 | | | 7,220,676 | | | | 0.1 | |
4,139,000(3) | | Citigroup Commercial Mortgage Trust 2013-GC17 C, 5.109%, 11/10/2046 | | | 4,206,849 | | | | 0.0 | |
3,910,000(1),(3) | | Citigroup Commercial Mortgage Trust 2014-GC19, 5.092%, 03/10/2047 | | | 4,111,169 | | | | 0.0 | |
7,745,000(1) | | Citigroup Commercial Mortgage Trust 2016-C2 E, 4.594%, 08/10/2049 | | | 5,052,555 | | | | 0.1 | |
40,313,881(3),(5) | | Citigroup Commercial Mortgage Trust 2016-P4 XA, 1.958%, 07/10/2049 | | | 3,070,624 | | | | 0.0 | |
79,502,743(3),(5) | | Citigroup Commercial Mortgage Trust 2017-C4 XA, 1.097%, 10/12/2050 | | | 3,942,493 | | | | 0.0 | |
3,940,000(3) | | Citigroup Commercial Mortgage Trust 2017-P8 C, 4.267%, 09/15/2050 | | | 4,174,301 | | | | 0.0 | |
39,968,621(3),(5) | | Citigroup Commercial Mortgage Trust 2017-P8 XA, 0.905%, 09/15/2050 | | | 1,983,539 | | | | 0.0 | |
88,524,196(3),(5) | | Citigroup Commercial Mortgage Trust 2018-C5 XA, 0.595%, 06/10/2051 | | | 3,813,782 | | | | 0.0 | |
7,480,000 | | Citigroup Commercial Mortgage Trust 2019-GC43 A4, 3.038%, 11/10/2052 | | | 8,439,216 | | | | 0.1 | |
5,000,000(1),(3) | | Citigroup Commercial Mortgage Trust 2020-420K E, 3.312%, 11/10/2042 | | | 4,722,407 | | | | 0.1 | |
27,780,267(3),(5) | | COMM 2012-CR2 XA, 1.622%, 08/15/2045 | | | 506,065 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
COMMERCIAL MORTGAGE-BACKED SECURITIES: (continued) | | | | | | | |
30,541,467(3),(5) | | COMM 2012-CR4 XA, 1.686%, 10/15/2045 | | $ | 655,231 | | | | 0.0 | |
27,260,000(1),(3),(5) | | COMM 2012-CR4 XB, 0.612%, 10/15/2045 | | | 286,623 | | | | 0.0 | |
47,247,441(1),(3),(5) | | COMM 2012-LC4 XA, 2.097%, 12/10/2044 | | | 641,937 | | | | 0.0 | |
4,640,000(1),(3) | | COMM 2013-CR10 E Mortgage Trust, 4.789%, 08/10/2046 | | | 4,152,898 | | | | 0.0 | |
9,645,000(1),(3) | | COMM 2013-CR10 F Mortgage Trust, 4.789%, 08/10/2046 | | | 8,311,643 | | | | 0.1 | |
3,310,000(3) | | COMM 2015-CCRE26 D Mortgage Trust, 3.480%, 10/10/2048 | | | 3,040,454 | | | | 0.0 | |
109,211,560(1),(3),(5) | | COMM 2015-PC1 XA, 0.645%, 07/10/2050 | | | 1,540,189 | | | | 0.0 | |
920,000(3) | | COMM 2016-COR1 C, 4.381%, 10/10/2049 | | | 981,452 | | | | 0.0 | |
64,951,331(3),(5) | | COMM 2016-CR28 XA, 0.694%, 02/10/2049 | | | 1,704,368 | | | | 0.0 | |
35,931,398(3),(5) | | COMM 2017-COR2 XA, 1.164%, 09/10/2050 | | | 2,235,813 | | | | 0.0 | |
12,420,000 | | COMM 2018-COR3 A3 Mortgage Trust, 4.228%, 05/10/2051 | | | 14,803,541 | | | | 0.2 | |
8,261,000(1),(3) | | COMM 2020-CBM F Mortgage Trust, 3.633%, 11/13/2039 | | | 7,061,570 | | | | 0.1 | |
15,420,000(1) | | Credit Suisse Mortgage Capital Certificates 2019-ICE4 F, 2.809%, (US0001M + 2.650%), 05/15/2036 | | | 15,283,539 | | | | 0.2 | |
4,100,000(1),(3) | | Credit Suisse Mortgage Capital Certificates 2020-NET C, 3.526%, 08/15/2037 | | | 4,297,121 | | | | 0.0 | |
5,421,000(3) | | Csail 2015-C2 C Commercial Mortgage Trust, 4.190%, 06/15/2057 | | | 4,537,159 | | | | 0.1 | |
4,340,000(1),(3) | | CSAIL 2017-CX10 D Commercial Mortgage Trust, 4.110%, 11/15/2050 | | | 3,914,754 | | | | 0.0 | |
19,066,000(3) | | CSAIL 2018-CX11 A5 Commercial Mortgage Trust, 4.033%, 04/15/2051 | | | 22,199,284 | | | | 0.2 | |
5,848,000(1) | | CSWF 2018-TOP E, 2.409%, (US0001M + 2.250%), 08/15/2035 | | | 5,597,912 | | | | 0.1 | |
5,528,000(1) | | CSWF 2018-TOP F, 2.909%, (US0001M + 2.750%), 08/15/2035 | | | 5,268,402 | | | | 0.1 | |
4,460,000(1),(3) | | DBJPM 16-C3 Mortgage Trust, 3.490%, 08/10/2049 | | | 3,482,781 | | | | 0.0 | |
5,000,000(1),(3) | | DBUBS 2011-LC2 E Mortgage Trust, 5.487%, 07/10/2044 | | | 4,187,774 | | | | 0.0 | |
12,519,000(1) | | DBUBS 2011-LC2A F Mortgage Trust, 3.805%, (US0001M + 3.650%), 07/10/2044 | | | 9,401,679 | | | | 0.1 | |
7,403,001(1) | | DBWF 2018-GLKS A Mortgage Trust, 1.182%, (US0001M + 1.030%), 12/19/2030 | | | 7,335,197 | | | | 0.1 | |
4,480,000(1) | | Exantas Capital Corp. 2019-RSO7 C Ltd., 2.203%, (US0001M + 2.050%), 04/15/2036 | | | 4,284,181 | | | | 0.0 | |
4,500,000(1),(3) | | Fontainebleau Miami Beach Trust 2019-FBLU F, 3.963%, 12/10/2036 | | | 4,497,195 | | | | 0.1 | |
77,599,012(3),(5) | | Freddie Mac Multifamily Structured Pass Through Certificates K013 X3, 2.827%, 01/25/2043 | | | 45,450 | | | | 0.0 | |
42,047,111(3),(5) | | Freddie Mac Multifamily Structured Pass Through Certificates K020 X3, 1.871%, 05/25/2040 | | | 1,031,819 | | | | 0.0 | |
31,879,545(3),(5) | | Freddie Mac Multifamily Structured Pass Through Certificates K029 X3, 1.592%, 05/25/2041 | | | 1,141,358 | | | | 0.0 | |
68,880,548(3),(5) | | Freddie Mac Multifamily Structured Pass Through Certificates K109 X1, 1.584%, 04/25/2030 | | | 8,719,967 | | | | 0.1 | |
223,355,545(3),(5) | | Freddie Mac Multifamily Structured Pass Through Certificates KHG2 X, 0.304%, 02/25/2030 | | | 5,425,820 | | | | 0.1 | |
183,610,318(1),(5) | | FREMF Mortgage Trust 2012-K17 X2A, 0.100%, 12/25/2044 | | | 107,577 | | | | 0.0 | |
4,580,000(1) | | GS Mortgage Securities Corp. II 2018-RIVR E, 1.709%, (US0001M + 1.550%), 07/15/2035 | | | 4,006,632 | | | | 0.0 | |
4,400,000(1) | | GS Mortgage Securities Corp. II 2018-RIVR F, 2.259%, (US0001M + 2.100%), 07/15/2035 | | | 3,717,782 | | | | 0.0 | |
12,770,000(1) | | GS Mortgage Securities Corp. Trust 2019-70P E, 2.359%, (US0001M + 2.200%), 10/15/2036 | | | 11,936,694 | | | | 0.1 | |
438,584(1),(3) | | GS Mortgage Securities Trust 2010-C2 G, 4.548%, 12/10/2043 | | | 425,441 | | | | 0.0 | |
6,140,000(1) | | GS Mortgage Securities Trust 2013-GC16 G, 3.500%, 11/10/2046 | | | 3,073,051 | | | | 0.0 | |
45,568,131(3),(5) | | GS Mortgage Securities Trust 2013-GC16 XA, 1.023%, 11/10/2046 | | | 1,100,912 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
COMMERCIAL MORTGAGE-BACKED SECURITIES: (continued) | | | | | | | |
63,782,873(3),(5) | | GS Mortgage Securities Trust 2014-GC22 XA, 0.980%, 06/10/2047 | | $ | 1,333,604 | | | | 0.0 | |
70,829,910(3),(5) | | GS Mortgage Securities Trust 2016-GS4 XA, 0.505%, 11/10/2049 | | | 1,719,247 | | | | 0.0 | |
69,639,511(3),(5) | | GS Mortgage Securities Trust 2017-GS6 XA, 1.035%, 05/10/2050 | | | 3,936,833 | | | | 0.0 | |
6,310,000 | | GS Mortgage Securities Trust 2019-GC38 A4, 3.968%, 02/10/2052 | | | 7,504,462 | | | | 0.1 | |
78,228,555(3),(5) | | GS Mortgage Securities Trust 2019-GC38 XA, 0.961%, 02/10/2052 | | | 5,072,034 | | | | 0.1 | |
13,220,000(1),(3) | | GS Mortgage Securities Trust 2019-GC40 DBD, 3.550%, 07/10/2052 | | | 12,531,758 | | | | 0.1 | |
10,120,000(1),(3) | | GS Mortgage Securities Trust 2019-GC40 DBE, 3.550%, 07/10/2052 | | | 9,223,179 | | | | 0.1 | |
11,820,000 | | GS Mortgage Securities Trust 2019-GSA1 A4, 3.048%, 11/10/2052 | | | 13,300,119 | | | | 0.1 | |
6,650,000 | | GS Mortgage Securities Trust 2014-GC24 A4, 3.666%, 09/10/2047 | | | 7,099,082 | | | | 0.1 | |
7,690,000(1),(3) | | Hudson Yards 2019-55HY F Mortgage Trust, 2.943%, 12/10/2041 | | | 7,126,871 | | | | 0.1 | |
6,363,797(1),(3) | | JPMBB Commercial Mortgage Securities Trust 2013-C15 D, 5.197%, 11/15/2045 | | | 6,132,147 | | | | 0.1 | |
7,840,000(1),(3) | | JPMBB Commercial Mortgage Securities Trust 2013-C17 D, 4.888%, 01/15/2047 | | | 7,571,924 | | | | 0.1 | |
6,470,000(1),(3) | | JPMBB Commercial Mortgage Securities Trust 2013-C17 F, 3.867%, 01/15/2047 | | | 4,815,429 | | | | 0.1 | |
10,678,919(3),(5) | | JPMBB Commercial Mortgage Securities Trust 2014-C19 XA, 0.741%, 04/15/2047 | | | 177,810 | | | | 0.0 | |
1,258,572(3),(5) | | JPMBB Commercial Mortgage Securities Trust 2015-C28 XA, 0.970%, 10/15/2048 | | | 39,800 | | | | 0.0 | |
12,440,000 | | JPMCC Commercial Mortgage Securities Trust 2019-COR4 A5, 4.029%, 03/10/2052 | | | 14,785,781 | | | | 0.1 | |
2,400,000(1),(3) | | JP Morgan Chase Commercial Mortgage Securities Trust 2011-C4 E, 5.564%, 07/15/2046 | | | 2,358,780 | | | | 0.0 | |
4,500,000(1),(3) | | JP Morgan Chase Commercial Mortgage Securities Trust 2011-C4 G, 3.873%, 07/15/2046 | | | 4,281,154 | | | | 0.0 | |
71,610,531(3),(5) | | JP Morgan Chase Commercial Mortgage Securities Trust 2012-CIBX XA, 1.483%, 06/15/2045 | | | 583,919 | | | | 0.0 | |
5,550,000(1),(3) | | JP Morgan Chase Commercial Mortgage Securities Trust 2013-C13 E, 3.986%, 01/15/2046 | | | 5,383,641 | | | | 0.1 | |
16,560,000(1) | | JP Morgan Chase Commercial Mortgage Securities Trust 2014-C20 A4A2, 3.538%, 07/15/2047 | | | 17,454,101 | | | | 0.2 | |
87,971,057(3),(5) | | JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP4 XA, 0.680%, 12/15/2049 | | | 2,360,316 | | | | 0.0 | |
10,720,000(1),(3) | | JP Morgan Chase Commercial Mortgage Securities Trust 2020-LOOP E, 3.862%, 12/05/2038 | | | 9,807,075 | | | | 0.1 | |
5,000,000 | | JPMDB Commercial Mortgage Securities Trust 2019-COR6 A4, 3.057%, 11/13/2052 | | | 5,644,712 | | | | 0.1 | |
2,000,000(1) | | KNDL 2019-KNSQ F Mortgage Trust, 2.159%, (US0001M + 2.000%), 05/15/2036 | | | 1,908,837 | | | | 0.0 | |
3,755,312(1),(3),(5) | | LB-UBS Commercial Mortgage Trust 2006-C7 XW, 0.705%, 11/15/2038 | | | 8,133 | | | | 0.0 | |
7,160,000(1),(3) | | LSTAR Commercial Mortgage Trust 2015-3 D, 3.185%, 04/20/2048 | | | 6,801,530 | | | | 0.1 | |
46,166,935(1),(3),(5) | | LSTAR Commercial Mortgage Trust 2017-5 X, 0.987%, 03/10/2050 | | | 1,427,297 | | | | 0.0 | |
4,250,000(1),(3) | | Manhattan West 2020-1MW D, 2.335%, 09/10/2039 | | | 4,284,088 | | | | 0.0 | |
7,720,000(1),(3) | | Manhattan West 2020-1MW E, 2.335%, 09/10/2039 | | | 7,486,760 | | | | 0.1 | |
3,400,000(1) | | Merit 2020-Hill E, 3.259%, (US0001M + 3.100%), 08/15/2037 | | | 3,427,097 | | | | 0.0 | |
4,340,000(1),(3) | | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C13 D, 4.898%, 11/15/2046 | | | 3,816,398 | | | | 0.0 | |
73,041,283(3),(5) | | Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19 XA, 1.001%, 12/15/2047 | | | 2,185,505 | | | | 0.0 | |
3,470,000(1),(3) | | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15 D, 4.906%, 04/15/2047 | | | 3,444,813 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
COMMERCIAL MORTGAGE-BACKED SECURITIES: (continued) | | | | | | | |
2,330,000(1) | | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18 D, 3.389%, 10/15/2047 | | $ | 1,736,712 | | | | 0.0 | |
7,040,000(1) | | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C26 D, 3.060%, 10/15/2048 | | | 6,658,690 | | | | 0.1 | |
14,914,000(1) | | Morgan Stanley Capital I Trust 2011-C1 J, 4.193%, 09/15/2047 | | | 12,252,436 | | | | 0.1 | |
7,864,000(1),(3) | | Morgan Stanley Capital I Trust 2016-BNK2 E, 3.902%, 11/15/2049 | | | 4,869,417 | | | | 0.1 | |
7,455,000 | | Morgan Stanley Capital I Trust 2019-H6 A4, 3.417%, 06/15/2052 | | | 8,475,036 | | | | 0.1 | |
4,670,000 | | Morgan Stanley Capital I, Inc. 2017-HR2 D, 2.730%, 12/15/2050 | | | 4,070,409 | | | | 0.0 | |
46,378,066(3),(5) | | Morgan Stanley Capital I, Inc. 2017-HR2 XA, 0.788%, 12/15/2050 | | | 2,043,668 | | | | 0.0 | |
6,820,000(1) | | MRCD 2019-PARK E Mortgage Trust, 2.718%, 12/15/2036 | | | 6,729,365 | | | | 0.1 | |
8,247,000(1) | | MRCD 2019-PARK F Mortgage Trust, 2.718%, 12/15/2036 | | | 7,947,142 | | | | 0.1 | |
14,680,000(1) | | One Bryant Park Trust 2019-OBP A, 2.516%, 09/13/2049 | | | 15,778,331 | | | | 0.2 | |
2,210,000(1) | | Prima Capital CRE Securitization 2019-RK1 CD Ltd., 3.500%, 04/15/2038 | | | 2,099,519 | | | | 0.0 | |
110,000(1) | | Prima Capital CRE Securitization 2019-RK1 DD Ltd., 3.500%, 04/15/2038 | | | 103,562 | | | | 0.0 | |
12,429,000(1) | | Shelter Growth CRE 2018-FL1 F Issuer Ltd., 6.659%, (US0001M + 6.500%), 01/15/2035 | | | 12,290,877 | | | | 0.1 | |
7,680,000 | | UBS Commercial Mortgage Trust 2019-C17 A4, 2.921%, 09/15/2052 | | | 8,458,466 | | | | 0.1 | |
5,280,000(1),(3) | | UBS-Barclays Commercial Mortgage Trust 2012-C4 D, 4.470%, 12/10/2045 | | | 3,080,779 | | | | 0.0 | |
9,020,000(1),(3) | | UBS-Barclays Commercial Mortgage Trust 2012-C4 E, 4.470%, 12/10/2045 | | | 4,485,858 | | | | 0.1 | |
8,660,000 | | Wells Fargo Commercial Mortgage Trust 2018-C44 A5, 4.212%, 05/15/2051 | | | 10,245,837 | | | | 0.1 | |
1,264,000(1) | | Wells Fargo Commercial Mortgage Trust 2019-C49 D, 3.000%, 03/15/2052 | | | 992,448 | | | | 0.0 | |
6,000,000(1),(9) | | Wells Fargo Re-REMIC Trust 2013-FRR1 BK26, 0.000%, 01/27/2045 | | | 5,208,901 | | | | 0.1 | |
80,541,170(3),(5) | | WFRBS Commercial Mortgage Trust 2014-C25 XA, 0.812%, 11/15/2047 | | | 2,084,325 | | | | 0.0 | |
3,270,000(1),(3) | | WFRBS Commercial Mortgage Trust 2011-C5 E, 5.656%, 11/15/2044 | | | 3,115,367 | | | | 0.0 | |
12,859,708(1),(3),(5) | | WFRBS Commercial Mortgage Trust 2012-C8 XA, 1.788%, 08/15/2045 | | | 243,155 | | | | 0.0 | |
9,340,423(1),(3),(5) | | WFRBS Commercial Mortgage Trust 2012-C9 XA, 1.878%, 11/15/2045 | | | 240,522 | | | | 0.0 | |
12,946,000(1),(3) | | WFRBS Commercial Mortgage Trust 2013-C11 F, 4.256%, 03/15/2045 | | | 9,163,840 | | | | 0.1 | |
3,920,000(1) | | WFRBS Commercial Mortgage Trust 2013-C17 E, 3.500%, 12/15/2046 | | | 3,119,871 | | | | 0.0 | |
| | | | | | | | | | |
| | Total Commercial Mortgage-Backed Securities (Cost $799,106,789) | | | 783,920,158 | | | | 7.6 | |
| | | | | | | | | | |
ASSET-BACKED SECURITIES: 13.0% | | | | | | | |
| | Automobile Asset-Backed Securities: 1.4% | |
8,246,000 | | Americredit Automobile Receivables Trust 2018-1 C, 3.500%, 01/18/2024 | | | 8,546,004 | | | | 0.1 | |
5,950,000 | | Americredit Automobile Receivables Trust 2018-2 D, 4.010%, 07/18/2024 | | | 6,308,248 | | | | 0.1 | |
8,440,000 | | Americredit Automobile Receivables Trust 2019-1 D, 3.620%, 03/18/2025 | | | 8,981,856 | | | | 0.1 | |
5,750,000 | | AmeriCredit Automobile Receivables Trust 2019-3 C, 2.320%, 07/18/2025 | | | 5,961,984 | | | | 0.1 | |
5,050,000 | | AmeriCredit Automobile Receivables Trust 2019-3 D, 2.580%, 09/18/2025 | | | 5,246,757 | | | | 0.0 | |
8,300,000 | | AmeriCredit Automobile Receivables Trust 2020-1 D, 1.800%, 12/18/2025 | | | 8,461,645 | | | | 0.1 | |
3,650,000 | | AmeriCredit Automobile Receivables Trust 2020-3 A3, 0.530%, 06/18/2025 | | | 3,660,749 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
ASSET-BACKED SECURITIES: (continued) | | | | | | | |
| | Automobile Asset-Backed Securities: (continued) | |
750,000 | | CarMax Auto Owner Trust 2017-4 D, 3.300%, 05/15/2024 | | $ | 767,556 | | | | 0.0 | |
1,500,000 | | Carmax Auto Owner Trust 2018-4 D, 4.150%, 04/15/2025 | | | 1,583,216 | | | | 0.0 | |
3,030,000 | | Exeter Automobile Receivables Trust 2020-3A C, 1.320%, 07/15/2025 | | | 3,056,271 | | | | 0.0 | |
6,150,000(1) | | Oscar US Funding XI LLC 2019-2A A4, 2.680%, 09/10/2026 | | | 6,455,834 | | | | 0.1 | |
500,000 | | Santander Drive Auto Receivables Trust 2018-1 D, 3.320%, 03/15/2024 | | | 511,539 | | | | 0.0 | |
9,100,000 | | Santander Drive Auto Receivables Trust 2018-4 D, 3.980%, 12/15/2025 | | | 9,501,447 | | | | 0.1 | |
2,850,000 | | Santander Drive Auto Receivables Trust 2019-3 C, 2.490%, 10/15/2025 | | | 2,910,195 | | | | 0.0 | |
7,550,000 | | Santander Drive Auto Receivables Trust 2019-3 D, 2.680%, 10/15/2025 | | | 7,767,066 | | | | 0.1 | |
9,600,000 | | Santander Drive Auto Receivables Trust 2020-1 B, 3.030%, 11/15/2024 | | | 9,944,415 | | | | 0.1 | |
9,850,000(1) | | Santander Retail Auto Lease Trust 2019-C A4, 1.930%, 11/20/2023 | | | 10,076,209 | | | | 0.1 | |
5,293,668(1) | | Santander Consumer Auto Receivables Trust 2020-AA A, 1.370%, 10/15/2024 | | | 5,346,247 | | | | 0.1 | |
12,400,000 | | Santander Drive Auto Receivables Trust 2020-2 C, 1.460%, 09/15/2025 | | | 12,573,508 | | | | 0.1 | |
4,550,000 | | Santander Drive Auto Receivables Trust 2020-2 D, 2.220%, 09/15/2026 | | | 4,683,110 | | | | 0.0 | |
4,150,000 | | Santander Drive Auto Receivables Trust 2020-3 C, 1.120%, 01/15/2026 | | | 4,186,561 | | | | 0.0 | |
4,150,000(1) | | Tesla Auto Lease Trust 2018-B C, 4.360%, 10/20/2021 | | | 4,229,887 | | | | 0.0 | |
18,750,000(1) | | Toyota Auto Loan Extended Note Trust 2020-1A A, 1.350%, 05/25/2033 | | | 19,333,731 | | | | 0.2 | |
| | | | | 150,094,035 | | | | 1.4 | |
| | | | | | | | | | |
| | Credit Card Asset-Backed Securities: 0.0% | |
600,000 | | Synchrony Credit Card Master Note Trust 2017-2 C, 3.010%, 10/15/2025 | | | 620,761 | | | | 0.0 | |
| | | | | | | | | | |
| | Home Equity Asset-Backed Securities: 0.2% | |
3,299,688(1),(3),(6) | | ACE Securities Corp. Mortgage Loan Trust Series 2007-D1 A2, 6.336%, 02/25/2038 | | | 3,279,191 | | | | 0.0 | |
6,251,724 | | Freddie Mac Structured Pass Through Certificates T-31 A7, 0.273%, (US0001M + 0.250%), 05/25/2031 | | | 6,231,184 | | | | 0.1 | |
5,538,650(3) | | GSAA Home Equity Trust 2006-4 4A3, 3.414%, 03/25/2036 | | | 4,393,359 | | | | 0.1 | |
3,367,985(3) | | GSAA Trust 2006-7 AF2, 5.995%, 03/25/2046 | | | 2,016,546 | | | | 0.0 | |
219,382(3) | | HSI Asset Loan Obligation Trust 2007-WF1 A6, 4.836%, 12/25/2036 | | | 186,550 | | | | 0.0 | |
783,035 | | Nomura Home Equity Loan, Inc. Home Equity Loan Trust Series 2007-1 2A3, 0.468%, (US0001M + 0.160%), 02/25/2037 | | | 732,524 | | | | 0.0 | |
950,148 | | Nomura Home Equity Loan, Inc. Home Equity Loan Trust Series 2007-1 2A4A, 0.608%, (US0001M + 0.230%), 02/25/2037 | | | 880,546 | | | | 0.0 | |
2,522,986(3),(6) | | Renaissance Home Equity Loan Trust 2005-3 AF4, 5.140%, 11/25/2035 | | | 2,659,504 | | | | 0.0 | |
| | | | | 20,379,404 | | | | 0.2 | |
| | | | | | | | | | |
| | Other Asset-Backed Securities: 9.5% | |
8,850,000(1) | | Aimco CLO 11 Ltd. 2020-11A A2, 1.525%, (US0003M + 1.300%), 10/15/2031 | | | 8,858,310 | | | | 0.1 | |
2,574,204(1) | | Ajax Mortgage Loan Trust 2018-A A, 3.850%, 04/25/2058 | | | 2,569,306 | | | | 0.0 | |
10,000,000(1) | | Allegany Park CLO Ltd. 2019-1A A, 1.548%, (US0003M + 1.330%), 01/20/2033 | | | 10,014,810 | | | | 0.1 | |
1,065,814(1),(3),(4),(5) | | American Homes 4 Rent 2015-SFR1 XS, 3.232%, 04/17/2052 | | | – | | | | – | |
9,975,646(1) | | AMMC CLO 15 Ltd. 2014-15A ARR, 1.497%, (US0003M + 1.260%), 01/15/2032 | | | 9,975,746 | | | | 0.1 | |
3,900,000(1) | | Apidos CLO XII 2013-12A AR, 1.317%, (US0003M + 1.080%), 04/15/2031 | | | 3,888,639 | | | | 0.0 | |
500,000(1) | | Apidos CLO XII 2013-12A CR, 2.037%, (US0003M + 1.800%), 04/15/2031 | | | 491,537 | | | | 0.0 | |
20,000,000(1) | | Apidos CLO XXXII 2019-32A A1, 1.538%, (US0003M + 1.320%), 01/20/2033 | | | 20,031,740 | | | | 0.2 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
ASSET-BACKED SECURITIES: (continued) | | | | | | | |
| | Other Asset-Backed Securities: (continued) | |
11,400,000(1) | | Apidos CLO XXXIII 2020-33A A, 1.973%, (US0003M + 1.700%), 07/24/2031 | | $ | 11,435,101 | | | | 0.1 | |
4,438,875(1) | | Applebee's Funding LLC / IHOP Funding LLC 2019-1A A2I, 4.194%, 06/07/2049 | | | 4,402,545 | | | | 0.0 | |
2,044,875(1) | | Applebee's Funding LLC / IHOP Funding LLC 2019-1A A2II, 4.723%, 06/07/2049 | | | 2,000,396 | | | | 0.0 | |
3,434,012(1) | | Aqua Finance Trust 2019-A A, 3.140%, 07/16/2040 | | | 3,522,688 | | | | 0.0 | |
6,150,620(1) | | Aqua Finance Trust 2020-AA A, 1.900%, 07/17/2046 | | | 6,185,302 | | | | 0.1 | |
7,281,750(1) | | Arbys Funding LLC 2020-1A A2, 3.237%, 07/30/2050 | | | 7,491,116 | | | | 0.1 | |
10,000,000(1) | | ARES XLVI CLO Ltd. 2017-46A A2, 1.467%, (US0003M + 1.230%), 01/15/2030 | | | 9,899,320 | | | | 0.1 | |
3,890,000(1) | | Babson CLO Ltd. 2017-1A A2, 1.568%, (US0003M + 1.350%), 07/18/2029 | | | 3,884,846 | | | | 0.0 | |
6,361,000(1) | | Babson CLO Ltd. 2018-3A A2, 1.518%, (US0003M + 1.300%), 07/20/2029 | | | 6,336,319 | | | | 0.1 | |
1,650,000(1) | | Bain Capital Credit CLO 2017-1A A2, 1.568%, (US0003M + 1.350%), 07/20/2030 | | | 1,646,332 | | | | 0.0 | |
9,600,000(1) | | Bardot CLO Ltd. 2019-2A A2, 1.866%, (US0003M + 1.650%), 10/22/2032 | | | 9,621,811 | | | | 0.1 | |
3,750,000(1) | | Barings Clo Ltd. 2019-4A C, 3.037%, (US0003M + 2.800%), 01/15/2033 | | | 3,765,664 | | | | 0.0 | |
4,250,000(1) | | Beechwood Park CLO Ltd. 2019-1A A1, 1.548%, (US0003M + 1.330%), 01/17/2033 | | | 4,256,260 | | | | 0.0 | |
8,765,333(1) | | Benefit Street Partners CLO II Ltd. 2013-IIA A1R, 1.487%, (US0003M + 1.250%), 07/15/2029 | | | 8,765,456 | | | | 0.1 | |
15,250,000(1) | | Benefit Street Partners CLO VIII Ltd. 2015-8A A1BR, 1.418%, (US0003M + 1.200%), 01/20/2031 | | | 15,100,123 | | | | 0.2 | |
2,500,000(1) | | Benefit Street Partners Clo XII Ltd. 2017-12A A1, 1.487%, (US0003M + 1.250%), 10/15/2030 | | | 2,500,015 | | | | 0.0 | |
5,000,000(1) | | Benefit Street Partners CLO XIV Ltd. 2018-14A A2, 1.368%, (US0003M + 1.150%), 04/20/2031 | | | 4,924,080 | | | | 0.1 | |
17,350,000(1) | | Benefit Street Partners CLO XIX Ltd. 2019-19A A, 1.587%, (US0003M + 1.350%), 01/15/2033 | | | 17,382,896 | | | | 0.2 | |
4,070,000(1) | | BlueMountain CLO 2015-1A BR, 2.724%, (US0003M + 2.500%), 04/13/2027 | | | 4,070,122 | | | | 0.0 | |
6,500,000(1) | | Bojangles Issuer LLC 2020-3A A2, 3.832%, 10/20/2050 | | | 6,677,298 | | | | 0.1 | |
7,570,000(1) | | Broad River BSL Funding CLO 2020-1A A, 2.068%, (US0003M + 1.850%), 04/20/2029 | | | 7,583,800 | | | | 0.1 | |
10,000,000(1) | | Carbone CLO Ltd. 2017-1A A1, 1.358%, (US0003M + 1.140%), 01/20/2031 | | | 9,999,970 | | | | 0.1 | |
689,945(1) | | Carlyle Global Market Strategies CLO 2014-2RA A1 Ltd., 1.271%, (US0003M + 1.050%), 05/15/2031 | | | 685,288 | | | | 0.0 | |
3,250,000(1) | | Carlyle Global Market Strategies CLO Ltd. 2014-1A A2R2, 1.348%, (US0003M + 1.130%), 04/17/2031 | | | 3,199,839 | | | | 0.0 | |
3,530,000(1) | | Cedar Funding VIII Clo Ltd. 2017-8A A1, 1.468%, (US0003M + 1.250%), 10/17/2030 | | | 3,530,046 | | | | 0.0 | |
37,149 | | Chase Funding Trust Series 2003-5 2A2, 0.748%, (US0001M + 0.600%), 07/25/2033 | | | 35,756 | | | | 0.0 | |
4,050,000(1) | | CIFC Funding 2013-2A A1LR, 1.428%, (US0003M + 1.210%), 10/18/2030 | | | 4,044,950 | | | | 0.0 | |
2,150,000(1) | | CIFC Funding 2017-2A C, 2.568%, (US0003M + 2.350%), 04/20/2030 | | | 2,144,238 | | | | 0.0 | |
7,400,000(1) | | CIFC Funding 2017-4 A1, 1.465%, (US0003M + 1.250%), 10/24/2030 | | | 7,400,289 | | | | 0.1 | |
3,000,000(1) | | CIFC Funding 2017-5A A1, 1.398%, (US0003M + 1.180%), 11/16/2030 | | | 2,998,998 | | | | 0.0 | |
11,380,000(1) | | CIFC Funding 2019-6A A1 Ltd., 1.560%, (US0003M + 1.330%), 01/16/2033 | | | 11,400,370 | | | | 0.1 | |
3,000,000(1) | | CIFC Funding 2019-6A A2 Ltd., 1.980%, (US0003M + 1.750%), 01/16/2033 | | | 3,011,361 | | | | 0.0 | |
6,000,000(1) | | CIFC Funding 2020-3A A2 Ltd., 1.805%, (US0003M + 1.600%), 10/20/2031 | | | 6,012,492 | | | | 0.1 | |
8,750,000(1) | | CIFC Funding 2018-1A A Ltd., 1.218%, (US0003M + 1.000%), 04/18/2031 | | | 8,697,815 | | | | 0.1 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
ASSET-BACKED SECURITIES: (continued) | | | | | | | |
| | Other Asset-Backed Securities: (continued) | |
3,700,000 | | CNH Equipment Trust 2020-A A4, 1.510%, 04/15/2027 | | $ | 3,817,078 | | | | 0.0 | |
4,675,000(1) | | Cole Park CLO Ltd. 2015-1A CR, 2.218%, (US0003M + 2.000%), 10/20/2028 | | | 4,675,365 | | | | 0.1 | |
7,425,000 | | Countrywide Asset-Backed Certificates 2005-AB2 M1, 0.853%, (US0001M + 0.705%), 09/25/2035 | | | 7,332,196 | | | | 0.1 | |
9,035,880 | | Credit-Based Asset Servicing & Securitization LLC 2006-CB8 A2C, 0.298%, (US0001M + 0.150%), 10/25/2036 | | | 8,205,794 | | | | 0.1 | |
4,690,625(1) | | DB Master Finance LLC 2019-1A A23, 4.352%, 05/20/2049 | | | 5,091,577 | | | | 0.1 | |
2,419,375(1) | | DB Master Finance LLC 2019-1A A2II, 4.021%, 05/20/2049 | | | 2,561,192 | | | | 0.0 | |
4,200,000(1) | | Deer Creek Clo Ltd. 2017-1A A, 1.398%, (US0003M + 1.180%), 10/20/2030 | | | 4,193,104 | | | | 0.0 | |
7,000,000(1) | | Dewolf Park Clo Ltd. 2017-1A A, 1.447%, (US0003M + 1.210%), 10/15/2030 | | | 7,000,014 | | | | 0.1 | |
630,500(1) | | Domino's Pizza Master Issuer LLC 2017-1A A2II, 3.082%, 07/25/2047 | | | 636,963 | | | | 0.0 | |
6,781,500(1) | | Domino's Pizza Master Issuer LLC 2019-1A A2, 3.668%, 10/25/2049 | | | 7,226,963 | | | | 0.1 | |
2,590,375(1) | | Domino's Pizza Master Issuer LLC 2018-1A A211, 4.328%, 07/25/2048 | | | 2,825,154 | | | | 0.0 | |
5,747,625(1) | | Driven Brands Funding LLC 2019-1A A2, 4.641%, 04/20/2049 | | | 6,143,219 | | | | 0.1 | |
2,291,250(1) | | Driven Brands Funding, LLC 2018-1A A2, 4.739%, 04/20/2048 | | | 2,441,801 | | | | 0.0 | |
6,660,000(1) | | Dryden Senior Loan Fund 2017-47A A2, 1.587%, (US0003M + 1.350%), 04/15/2028 | | | 6,645,927 | | | | 0.1 | |
5,565,000(1) | | Dryden XXVIII Senior Loan Fund 2013-28A A1LR, 1.421%, (US0003M + 1.200%), 08/15/2030 | | | 5,565,562 | | | | 0.1 | |
8,850,000(1) | | Dryden 78 CLO Ltd. 2020-78A A, 1.398%, (US0003M + 1.180%), 04/17/2033 | | | 8,845,097 | | | | 0.1 | |
8,000,000(1) | | Eaton Vance Clo 2015-1A A2R Ltd., 1.468%, (US0003M + 1.250%), 01/20/2030 | | | 7,925,896 | | | | 0.1 | |
16,000,000(1) | | Elevation CLO 2014-2A A1R Ltd., 1.467%, (US0003M + 1.230%), 10/15/2029 | | | 15,996,832 | | | | 0.2 | |
4,228,050(1) | | Five Guys Holdings, Inc. 2017-1A A2, 4.600%, 07/25/2047 | | | 4,412,330 | | | | 0.0 | |
4,250,000(1) | | Galaxy XIX CLO Ltd. 2015-19A A1R, 1.435%, (US0003M + 1.220%), 07/24/2030 | | | 4,249,987 | | | | 0.0 | |
2,500,000(1) | | Galaxy XV CLO Ltd. 2013-15A AR, 1.437%, (US0003M + 1.200%), 10/15/2030 | | | 2,497,527 | | | | 0.0 | |
11,150,000(1) | | Galaxy XXI CLO Ltd. 2015-21A AR, 1.238%, (US0003M + 1.020%), 04/20/2031 | | | 11,083,869 | | | | 0.1 | |
2,300,000(1) | | Gilbert Park CLO Ltd. 2017-1A A, 1.427%, (US0003M + 1.190%), 10/15/2030 | | | 2,300,023 | | | | 0.0 | |
7,000,000(1) | | Goldentree Loan Management US Clo 2 Ltd. 2017-2A A, 1.368%, (US0003M + 1.150%), 11/28/2030 | | | 6,997,515 | | | | 0.1 | |
4,651,970(1) | | Helios Issuer, LLC 2018-1A A, 4.870%, 07/20/2048 | | | 5,001,946 | | | | 0.1 | |
1,057,859(1) | | HERO Funding Trust 2015-2A A, 3.990%, 09/20/2040 | | | 1,121,756 | | | | 0.0 | |
1,017,601(1) | | HERO Funding Trust 2016-2A A, 3.750%, 09/20/2041 | | | 1,062,976 | | | | 0.0 | |
2,621,533(1) | | HERO Funding Trust 2016-4A A2, 4.290%, 09/20/2047 | | | 2,786,540 | | | | 0.0 | |
13,982,781(1) | | Invitation Homes 2017-SFR2 A Trust, 1.003%, (US0001M + 0.850%), 12/17/2036 | | | 13,991,640 | | | | 0.1 | |
7,750,000(1) | | Jay Park CLO Ltd. 2016-1A BR, 2.218%, (US0003M + 2.000%), 10/20/2027 | | | 7,750,209 | | | | 0.1 | |
4,091,482(1) | | JG Wentworth XLII LLC 2018-2A A, 3.960%, 10/15/2075 | | | 4,735,486 | | | | 0.1 | |
2,934,116(1) | | JGWPT XXXIII LLC 2014-3A A, 3.500%, 06/15/2077 | | | 3,273,622 | | | | 0.0 | |
20,900,000(1) | | Kayne CLO 6 Ltd. 2019-6A A1, 1.598%, (US0003M + 1.380%), 01/20/2033 | | | 20,946,461 | | | | 0.2 | |
6,000,000(1) | | Kayne CLO 6 Ltd. 2019-6A A2, 2.068%, (US0003M + 1.850%), 01/20/2033 | | | 6,029,190 | | | | 0.1 | |
4,250,000(1) | | Kayne CLO 7 Ltd. 2020-7A A1, 1.418%, (US0003M + 1.200%), 04/17/2033 | | | 4,251,092 | | | | 0.0 | |
6,000,000(1),(8) | | KKR CLO 21 A Ltd., 1.237%, (US0003M + 1.000%), 04/15/2031 | | | 5,955,792 | | | | 0.1 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
ASSET-BACKED SECURITIES: (continued) | | | | | | | |
| | Other Asset-Backed Securities: (continued) | |
6,000,000(1) | | LCM 26A A2 Ltd., 1.468%, (US0003M + 1.250%), 01/20/2031 | $ | | 5,949,174 | | | | 0.1 | |
11,237,000(1) | | LCM XIV L.P. 14A AR, 1.258%, (US0003M + 1.040%), 07/20/2031 | | | 11,157,139 | | | | 0.1 | |
5,000,000(1) | | LCM XVIII L.P. 18A A2R, 1.438%, (US0003M + 1.220%), 04/20/2031 | | | 4,949,200 | | | | 0.1 | |
8,567,482(1) | | Loanpal Solar Loan 2020-2GF A Ltd., 2.750%, 07/20/2047 | | | 8,906,802 | | | | 0.1 | |
7,850,000(1) | | Loanpal Solar Loan 2021-1 1GS A Ltd., 2.290%, 01/20/2048 | | | 7,930,916 | | | | 0.1 | |
3,600,000(1) | | Madison Park Funding XXI Ltd. 2016-21A BR, 3.087%, (US0003M + 2.850%), 10/15/2032 | | | 3,603,942 | | | | 0.0 | |
5,400,000(1) | | Madison Park Funding XV Ltd. 2014-15A B1R, 2.417%, (US0003M + 2.200%), 01/27/2026 | | | 5,400,605 | | | | 0.1 | |
1,400,000(1) | | Madison Park Funding XXVII Ltd. 2018-27A B, 2.018%, (US0003M + 1.800%), 04/20/2030 | | | 1,369,927 | | | | 0.0 | |
13,050,000(1) | | Magnetite CLO Ltd. 2020-26A A, 1.987%, (US0003M + 1.750%), 07/15/2030 | | | 13,092,373 | | | | 0.1 | |
13,150,000(1) | | Magnetite XXII Ltd. 2019-22A A2, 1.887%, (US0003M + 1.650%), 04/15/2031 | | | 13,159,507 | | | | 0.1 | |
8,800,000(1) | | Magnetite XXVII Ltd. 2020-27A A1, 1.762%, (US0003M + 1.550%), 07/20/2033 | | | 8,822,933 | | | | 0.1 | |
760,649(1) | | Marlette Funding Trust 2018-1A C, 3.690%, 03/15/2028 | | | 762,146 | | | | 0.0 | |
3,488,000(1) | | Marlette Funding Trust 2018-4A C, 4.910%, 12/15/2028 | | | 3,559,475 | | | | 0.0 | |
500,000(1) | | Marlette Funding Trust 2019-2 A2A, 3.530%, 07/16/2029 | | | 511,638 | | | | 0.0 | |
4,200,000(1) | | Marlette Funding Trust 2019-2A C, 4.110%, 07/16/2029 | | | 4,304,690 | | | | 0.0 | |
1,100,000(1),(3) | | Mill City Mortgage Loan Trust 2017-1 M2, 3.250%, 11/25/2058 | | | 1,201,077 | | | | 0.0 | |
3,200,000(1),(3) | | Mill City Mortgage Loan Trust 2017-2 M2, 3.250%, 07/25/2059 | | | 3,424,707 | | | | 0.0 | |
2,482,000(1),(3) | | Mill City Mortgage Trust 2015-2 B2, 3.677%, 09/25/2057 | | | 2,728,368 | | | | 0.0 | |
1,043,913(1) | | Mill City Solar Loan 2019-1A A Ltd., 4.340%, 03/20/2043 | | | 1,109,174 | | | | 0.0 | |
5,222,812(1) | | Mill City Solar Loan 2019-2GS A Ltd., 3.690%, 07/20/2043 | | | 5,518,671 | | | | 0.1 | |
4,172,481(1) | | Mosaic Solar Loan Trust 2018-1A A, 4.010%, 06/22/2043 | | | 4,516,578 | | | | 0.0 | |
6,834,698(1) | | Mosaic Solar Loan Trust 2018-2-GS A, 4.200%, 02/22/2044 | | | 7,381,418 | | | | 0.1 | |
1,746,350(1) | | Mosaic Solar Loan Trust 2018-2-GS B, 4.740%, 02/22/2044 | | | 1,812,398 | | | | 0.0 | |
4,734,686(1) | | Mosaic Solar Loan Trust 2019-2A A, 2.880%, 09/20/2040 | | | 5,061,833 | | | | 0.1 | |
13,784,242(1) | | Mosaic Solar Loan Trust 2020-2A A, 1.440%, 08/20/2046 | | | 13,709,536 | | | | 0.1 | |
2,568,947(1) | | Mosaic Solar Loans 2017-2A A LLC, 3.820%, 06/22/2043 | | | 2,772,186 | | | | 0.0 | |
7,141,944(1) | | Mosaic Solar Loan Trust 2020-1A B, 3.100%, 04/20/2046 | | | 7,486,952 | | | | 0.1 | |
3,250,000(1) | | Neuberger Berman Loan Advisers CLO 33 Ltd. 2019-33A C, 2.680%, (US0003M + 2.450%), 10/16/2032 | | | 3,257,761 | | | | 0.0 | |
12,250,000(1) | | Neuberger Berman Loan Advisers CLO 35 Ltd. 2019-35A A1, 1.558%, (US0003M + 1.340%), 01/19/2033 | | | 12,270,690 | | | | 0.1 | |
2,200,000(1) | | Newark BSL CLO 1 Ltd. 2016-1A A1R, 1.317%, (US0003M + 1.100%), 12/21/2029 | | | 2,195,241 | | | | 0.0 | |
16,650,000(1) | | Oaktree CLO 2020-1A A Ltd., 2.345%, (US0003M + 2.000%), 07/15/2029 | | | 16,722,894 | | | | 0.2 | |
2,500,000(1) | | OCP CLO 2015-8 Ltd. 2015-8A BR, 2.068%, (US0003M + 1.850%), 04/17/2027 | | | 2,500,052 | | | | 0.0 | |
5,000,000(1) | | OCP CLO 2017-13A A1A Ltd., 1.497%, (US0003M + 1.260%), 07/15/2030 | | | 5,000,215 | | | | 0.1 | |
11,000,000(1) | | OCP CLO 2020-18A A Ltd., 2.018%, (US0003M + 1.800%), 04/20/2030 | | | 11,022,737 | | | | 0.1 | |
12,050,000(1) | | OCP CLO 2020-19 A A1 Ltd., 2.070%, (US0003M + 1.750%), 07/20/2031 | | | 12,091,380 | | | | 0.1 | |
9,470,000(1) | | Octagon Investment Partners 30 Ltd. 2017-1A A1, 1.538%, (US0003M + 1.320%), 03/17/2030 | | | 9,470,445 | | | | 0.1 | |
2,300,000(1) | | Octagon Investment Partners 48 Ltd. 2020-3A A, 1.732%, (US0003M + 1.500%), 10/20/2031 | | | 2,305,341 | | | | 0.0 | |
3,000,000(1) | | Octagon Investment Partners Ltd. 2017-1A A2, 1.587%, (US0003M + 1.350%), 07/15/2029 | | | 2,991,849 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
ASSET-BACKED SECURITIES: (continued) | | | | | | | |
| | Other Asset-Backed Securities: (continued) | |
5,520,000(1) | | Octagon Investment Partners XIV Ltd. 2012-1A A1BR, 1.612%, (US0003M + 1.375%), 07/15/2029 | | $ | 5,500,923 | | | | 0.1 | |
4,060,000(1) | | Octagon Investment Partners XV Ltd. 2013-1A A2R, 1.568%, (US0003M + 1.350%), 07/19/2030 | | | 4,041,604 | | | | 0.0 | |
21,243,110(1) | | Octagon Loan Funding Ltd. 2014-1A ARR, 1.400%, (US0003M + 1.180%), 11/18/2031 | | | 21,243,322 | | | | 0.2 | |
17,700,000(1) | | OHA Loan Funding 2015-1A A1R2 Ltd., 1.561%, (US0003M + 1.340%), 11/15/2032 | | | 17,720,160 | | | | 0.2 | |
3,550,000(1) | | Palmer Square CLO 2014-1A A1R2 Ltd., 1.348%, (US0003M + 1.130%), 01/17/2031 | | | 3,549,993 | | | | 0.0 | |
6,600,000(1) | | Palmer Square CLO 2015-2A A1R2 Ltd., 1.318%, (US0003M + 1.100%), 07/20/2030 | | | 6,581,500 | | | | 0.1 | |
10,000,000(1) | | Palmer Square CLO 2018-1A A1 Ltd., 1.248%, (US0003M + 1.030%), 04/18/2031 | | | 9,952,590 | | | | 0.1 | |
6,700,000(1) | | Palmer Square Loan Funding 2018-1A B Ltd., 1.637%, (US0003M + 1.400%), 04/15/2026 | | | 6,610,696 | | | | 0.1 | |
4,000,000(1) | | Palmer Square Loan Funding 2018-1A C Ltd., 2.087%, (US0003M + 1.850%), 04/15/2026 | | | 3,881,272 | | | | 0.0 | |
1,000,000(1),(8) | | Palmer Square Loan Funding 2018-2A C Ltd., 2.187%, (US0003M + 1.950%), 07/15/2026 | | | 986,556 | | | | 0.0 | |
495,753(3),(6) | | Popular ABS Mortgage Pass-Through Trust 2005-D A5, 3.626%, 01/25/2036 | | | 503,532 | | | | 0.0 | |
4,999,500(1) | | Primose Funding LLC 2019-1A A2, 4.475%, 07/30/2049 | | | 5,194,281 | | | | 0.1 | |
1,435,000(1) | | Progress Residential 2018-SFR1 F Trust, 4.778%, 03/17/2035 | | | 1,445,131 | | | | 0.0 | |
2,000,000(1),(3) | | Sofi Consumer Loan Program 2016-4 C LLC, 5.920%, 11/25/2025 | | | 2,023,940 | | | | 0.0 | |
5,101,000(1) | | SoFi Consumer Loan Program 2017-3 B, 3.850%, 05/25/2026 | | | 5,188,751 | | | | 0.1 | |
1,585,000(1) | | Sofi Consumer Loan Program 2017-6 B LLC, 3.520%, 11/25/2026 | | | 1,627,961 | | | | 0.0 | |
7,000,000(1) | | Sofi Consumer Loan Program 2018-1 C Trust, 3.970%, 02/25/2027 | | | 7,199,907 | | | | 0.1 | |
7,190,000(1) | | Sofi Consumer Loan Program 2018-2 B Trust, 3.790%, 04/26/2027 | | | 7,347,726 | | | | 0.1 | |
3,700,000(1) | | Sofi Consumer Loan Program 2018-2 C Trust, 4.250%, 04/26/2027 | | | 3,800,853 | | | | 0.0 | |
9,950,000(1) | | Sofi Consumer Loan Program 2018-3 C Trust, 4.670%, 08/25/2027 | | | 10,287,440 | | | | 0.1 | |
3,450,000(1) | | SoFi Consumer Loan Program 2018-4 B Trust, 3.960%, 11/26/2027 | | | 3,495,795 | | | | 0.0 | |
2,000,000(1) | | SoFi Consumer Loan Program 2019-2 C Trust, 3.460%, 04/25/2028 | | | 2,049,648 | | | | 0.0 | |
2,000,000(1) | | SoFi Consumer Loan Program 2019-2 D Trust, 4.200%, 04/25/2028 | | | 2,077,969 | | | | 0.0 | |
4,100,000(1) | | SoFi Consumer Loan Program 2019-4 C Trust, 2.840%, 08/25/2028 | | | 4,215,059 | | | | 0.0 | |
1,300,000(1) | | SoFi Consumer Loan Program 2019-4 D Trust, 3.480%, 08/25/2028 | | | 1,326,916 | | | | 0.0 | |
342,709(1) | | Sonic Capital LLC 2018-1A A2, 4.026%, 02/20/2048 | | | 354,479 | | | | 0.0 | |
7,239,167(1) | | Sonic Capital LLC 2020-1A A2I, 3.845%, 01/20/2050 | | | 7,764,119 | | | | 0.1 | |
22,060,000(1) | | Sound Point CLO XXV Ltd. 2019-4A A1A, 1.637%, (US0003M + 1.400%), 01/15/2033 | | | 22,097,149 | | | | 0.2 | |
7,950,000(1) | | Sunnova Sol II Issuer LLC 2020-2A A, 2.730%, 11/01/2055 | | | 8,014,928 | | | | 0.1 | |
4,758,715(1) | | Sunrun Athena Issuer 2018-1 A LLC, 5.310%, 04/30/2049 | | | 5,373,430 | | | | 0.1 | |
4,456,460(1) | | Sunrun Xanadu Issuer 2019-1A A LLC, 3.980%, 06/30/2054 | | | 4,712,357 | | | | 0.1 | |
6,027,000(1) | | Taco Bell Funding LLC 2018-1A A2II, 4.940%, 11/25/2048 | | | 6,671,424 | | | | 0.1 | |
7,200,000(1) | | TES LLC 2017-1A B, 7.740%, 10/20/2047 | | | 6,879,748 | | | | 0.1 | |
6,788,938(1) | | THL Credit Wind River 2013-2A AR CLO Ltd., 1.448%, (US0003M + 1.230%), 10/18/2030 | | | 6,786,690 | | | | 0.1 | |
12,250,000(1) | | THL Credit Wind River 2016-2A A1R CLO Ltd., 1.404%, (US0003M + 1.190%), 11/01/2031 | | | 12,230,020 | | | | 0.1 | |
7,080,000(1) | | THL Credit Wind River 2017-2A A CLO Ltd., 1.448%, (US0003M + 1.230%), 07/20/2030 | | | 7,079,979 | | | | 0.1 | |
| | Student Loan Asset-Backed Securities: 1.9% | |
566,563(1) | | Commonbond Student Loan Trust 2016-B, 4.000%, 10/25/2040 | | | 578,407 | | | | 0.0 | |
152,142(1) | | Commonbond Student Loan Trust 2018-A-GS C, 3.820%, 02/25/2044 | | | 155,444 | | | | 0.0 | |
1,654,329(1) | | Commonbond Student Loan Trust 2017-BGS B, 3.260%, 09/25/2042 | | | 1,701,638 | | | | 0.0 | |
2,420,931(1) | | Commonbond Student Loan Trust 2018-AGS A1, 3.210%, 02/25/2044 | | | 2,514,473 | | | | 0.0 | |
4,807,559(1) | | Commonbond Student Loan Trust 2018-CGS A2, 0.948%, (US0001M + 0.800%), 02/25/2046 | | | 4,749,032 | | | | 0.1 | |
8,192,977(1) | | Commonbond Student Loan Trust 2020-AGS A, 1.980%, 08/25/2050 | | | 8,398,698 | | | | 0.1 | |
269,372(1),(3) | | Earnest Student Loan Program, LLC 2016-B B, 4.810%, 09/25/2036 | | | 271,102 | | | | 0.0 | |
167,558(1) | | Earnest Student Loan Program, LLC 2016-C B, 4.460%, 01/26/2037 | | | 168,846 | | | | 0.0 | |
452,715(1) | | Laurel Road Prime Student Loan Trust 2017-B A4, 3.020%, 08/25/2042 | | | 463,150 | | | | 0.0 | |
10,400,000(1) | | Laurel Road Prime Student Loan Trust 2020-A AFX, 1.400%, 11/25/2050 | | | 10,465,432 | | | | 0.1 | |
8,755,553(1) | | Navient Private Education Refi Loan Trust 2019-A A2A, 3.420%, 01/15/2043 | | | 9,162,786 | | | | 0.1 | |
7,283,774(1) | | Navient Private Education Refi Loan Trust 2020-DA A, 1.690%, 05/15/2069 | | | 7,428,496 | | | | 0.1 | |
8,642,164(1) | | Navient Private Education Refi Loan Trust 2020-FA A, 1.220%, 07/15/2069 | | | 8,734,947 | | | | 0.1 | |
9,000,190(1) | | Navient Private Education Refi Loan Trust 2020-GA A, 1.170%, 09/16/2069 | | | 9,072,408 | | | | 0.1 | |
2,700,000(1) | | SMB Private Education Loan Trust 2014-A C, 4.500%, 09/15/2045 | | | 2,517,169 | | | | 0.0 | |
1,450,000(1) | | SMB Private Education Loan Trust 2017-A B, 3.500%, 06/17/2041 | | | 1,513,403 | | | | 0.0 | |
22,200,000(1) | | SMB Private Education Loan Trust 2020-PTA A2A, 1.600%, 09/15/2054 | | | 22,479,378 | | | | 0.2 | |
4,100,000(1),(3) | | SoFi Professional Loan Program 2016-E C, 4.430%, 10/25/2041 | | | 4,297,120 | | | | 0.1 | |
3,000,000(1),(3) | | SoFi Professional Loan Program 2017-C B, 3.560%, 07/25/2040 | | | 3,106,200 | | | | 0.0 | |
3,900,000(1) | | SoFi Professional Loan Program 2017-F BFX LLC, 3.620%, 01/25/2041 | | | 4,088,933 | | | | 0.0 | |
3,250,000(1) | | Sofi Professional Loan Program 2018-A B LLC, 3.610%, 02/25/2042 | | | 3,386,673 | | | | 0.0 | |
8,000,000(1) | | Sofi Professional Loan Program 2018-B BFX Trust, 3.830%, 08/25/2047 | | | 8,471,386 | | | | 0.1 | |
13,529,000(1) | | Sofi Professional Loan Program 2018-C A2FX Trust, 3.590%, 01/25/2048 | | | 14,051,271 | | | | 0.1 | |
5,800,000(1) | | Sofi Professional Loan Program 2018-C BFX Trust, 4.130%, 01/25/2048 | | | 6,237,289 | | | | 0.1 | |
6,000,000(1) | | Sofi Professional Loan Program 2018-D BFX Trust, 4.140%, 02/25/2048 | | | 6,461,221 | | | | 0.1 | |
3,000,000(1) | | Sofi Professional Loan Program 2019-B BFX LLC, 3.730%, 08/17/2048 | | | 3,158,980 | | | | 0.0 | |
6,404,445(1) | | Sofi Professional Loan Program 2018-D A2FX Trust, 3.600%, 02/25/2048 | | | 6,696,154 | | | | 0.1 | |
19,943,683(1) | | Sofi Professional Loan Program 2019-C A2FX LLC, 2.370%, 11/16/2048 | | | 20,745,957 | | | | 0.2 | |
20,326,929(1) | | SoFi Professional Loan Program 2020-C AFX Trust, 1.950%, 02/15/2046 | | | 20,779,520 | | | | 0.2 | |
| | | | | 191,855,513 | | | | 1.9 | |
| | | | | | | | | | |
| | Total Asset-Backed Securities | | | | | | | | |
| | (Cost $1,321,698,100) | | | 1,345,089,588 | | | | 13.0 | |
| | Repurchase Agreements: 0.8% | |
4,645,734(11) | | Amherst Pierpoint Securities LLC, Repurchase Agreement dated 12/31/20, 0.10%, due 01/04/21 (Repurchase Amount $4,645,785, collateralized by various U.S. Government/U.S. Government Agency Obligations, 0.000%-4.628%, Market Value plus accrued interest $4,738,649, due 02/03/21-11/20/70) | | | 4,645,734 | | | | 0.0 | |
1,242,860(11) | | Bank of America Inc., Repurchase Agreement dated 12/31/20, 0.08%, due 01/04/21 (Repurchase Amount $1,242,871, collateralized by various U.S. Government Agency Obligations, 1.500%-3.500%, Market Value plus accrued interest $1,267,717, due 02/01/48-01/01/51) | | | 1,242,860 | | | | 0.0 | |
2,920,176(11) | | Bethesda Securities LLC, Repurchase Agreement dated 12/31/20, 0.10%, due 01/04/21 (Repurchase Amount $2,920,208, collateralized by various U.S. Government Agency Obligations, 2.500%-5.500%, Market Value plus accrued interest $2,978,580, due 07/01/24-10/01/50) | | | 2,920,176 | | | | 0.0 | |
3,943,383(11) | | BNP Paribas S.A., Repurchase Agreement dated 12/31/20, 0.24%, due 01/04/21 (Repurchase Amount $3,943,487, collateralized by various U.S. Government Securities, 0.750%-8.750%, Market Value plus accrued interest $4,140,552, due 03/01/21-11/20/40) | | | 3,943,383 | | | | 0.0 | |
Principal Amount† | | | | | Value | | | | Percentage of Net Assets | |
SHORT-TERM INVESTMENT: 3.6% | | |
| | Repurchase Agreements: 2.0% | |
13,786,557(11) | | Cantor Fitzgerald Securities, Repurchase Agreement dated 12/31/20, 0.07%, due 01/04/21 (Repurchase Amount $13,786,663, collateralized by various U.S. Government/U.S. Government Agency Obligations, 0.000%-9.500%, Market Value plus accrued interest $14,062,288, due 01/25/21-10/15/62) | | $ | 13,786,557 | | | | 0.1 | |
4,718,509(11) | | CF Secured LLC, Repurchase Agreement dated 12/31/20, 0.07%, due 01/04/21 (Repurchase Amount $4,718,545, collateralized by various U.S. Government/U.S. Government Agency Obligations, 0.000%-4.750%, Market Value plus accrued interest $4,812,879, due 01/14/21-01/20/69) | | | 4,718,509 | | | | 0.1 | |
8,626,090(11) | | Citadel Securities LLC, Repurchase Agreement dated 12/31/20, 0.13%, due 01/04/21 (Repurchase Amount $8,626,213, collateralized by various U.S. Government Securities, 0.000%-7.875%, Market Value plus accrued interest $8,798,746, due 01/31/21-05/15/49) | | | 8,626,090 | | | | 0.1 | |
11,602,625(11) | | Citigroup, Inc., Repurchase Agreement dated 12/31/20, 0.07%, due 01/04/21 (Repurchase Amount $11,602,714, collateralized by various U.S. Government/U.S. Government Agency Obligations, 0.000%-4.000%, Market Value plus accrued interest $11,834,678, due 09/15/21-01/01/51) | | | 11,602,625 | | | | 0.1 | |
1,903,525(11) | | Industrial & Comm. Bank of China, Repurchase Agreement dated 12/31/20, 0.07%, due 01/04/21 (Repurchase Amount $1,903,540, collateralized by various U.S. Government/U.S. Government Agency Obligations, 0.000%-9.000%, Market Value plus accrued interest $1,941,596, due 01/04/21-12/01/50) | | | 1,903,525 | | | | 0.0 | |
5,390,528(11) | | JVB Financial Group LLC, Repurchase Agreement dated 12/31/20, 0.13%, due 01/04/21 (Repurchase Amount $5,390,605, collateralized by various U.S. Government/U.S. Government Agency Obligations, 0.125%-7.000%, Market Value plus accrued interest $5,498,339, due 07/01/22-12/01/50) | | | 5,390,528 | | | | 0.1 | |
6,159,298(11) | | Mirae Asset Securities USA Inc., Repurchase Agreement dated 12/31/20, 0.13%, due 01/04/21 (Repurchase Amount $6,159,386, collateralized by various U.S. Government/U.S. Government Agency Obligations, 0.000%-8.125%, Market Value plus accrued interest $6,282,575, due 02/18/21-01/15/62) | | | 6,159,298 | | | | 0.1 | |
4,836,804(11) | | Palafox Trading LLC, Repurchase Agreement dated 12/31/20, 0.13%, due 01/04/21 (Repurchase Amount $4,836,873, collateralized by various U.S. Government Securities, 0.250%-1.125%, Market Value plus accrued interest $4,935,327, due 02/28/25-05/31/25) | | | 4,836,804 | | | | 0.1 | |
The following is a summary of the fair valuations according to the inputs used as of December 31, 2020 in valuing the assets and liabilities:
At December 31, 2020, the following forward foreign currency contracts were outstanding for Voya Intermediate Bond Fund:
At December 31, 2020, the following futures contracts were outstanding for Voya Intermediate Bond Fund:
At December 31, 2020, the following OTC purchased foreign currency options were outstanding for Voya Intermediate Bond Fund:
At December 31, 2020, the following OTC written foreign currency options were outstanding for Voya Intermediate Bond Fund: