Principal Amount† | | | Value | Percentage of Net Assets |
CORPORATE BONDS/NOTES: 38.6% | |
| | Basic Materials: 1.5% |
1,700,000 | (1) | Alpek SAB de CV, 3.250%, 02/25/2031 | $ 1,726,163 | 0.0 |
1,725,000 | (1) | Anglo American Capital PLC, 2.250%, 03/17/2028 | 1,746,283 | 0.0 |
1,377,000 | (1) | Anglo American Capital PLC, 3.625%, 09/11/2024 | 1,485,401 | 0.0 |
671,000 | (1) | Anglo American Capital PLC, 4.875%, 05/14/2025 | 759,920 | 0.0 |
1,846,000 | (1) | Anglo American Capital PLC, 5.625%, 04/01/2030 | 2,262,065 | 0.0 |
750,000 | (1) | Braskem Netherlands Finance BV, 4.500%, 01/31/2030 | 783,345 | 0.0 |
4,505,000 | | Celulosa Arauco y Constitucion SA, 3.875%, 11/02/2027 | 4,855,129 | 0.1 |
3,883,000 | | Dow Chemical Co., 4.375%, 11/15/2042 | 4,640,173 | 0.1 |
5,044,000 | | Dow Chemical Co/The, 2.100%, 11/15/2030 | 4,986,698 | 0.1 |
2,984,000 | | Dow Chemical Co/The, 4.250%, 10/01/2034 | 3,458,890 | 0.0 |
10,175,000 | (1) | Element Solutions, Inc., 3.875%, 09/01/2028 | 10,396,459 | 0.1 |
5,000,000 | (1) | Equate Petrochemical BV, 2.625%, 04/28/2028 | 5,062,000 | 0.1 |
6,815,000 | (1) | FMG Resources August 2006 Pty Ltd., 4.375%, 04/01/2031 | 7,299,989 | 0.1 |
9,260,000 | | Freeport-McMoRan, Inc., 4.250%, 03/01/2030 | 9,931,350 | 0.1 |
3,000,000 | (1) | GC Treasury Center Co. Ltd., 2.980%, 03/18/2031 | 3,070,935 | 0.0 |
4,899,000 | (1) | Georgia-Pacific LLC, 0.950%, 05/15/2026 | 4,823,215 | 0.1 |
5,625,000 | (1) | Georgia-Pacific LLC, 2.300%, 04/30/2030 | 5,754,275 | 0.1 |
1,960,000 | (1) | Georgia-Pacific LLC, 3.163%, 11/15/2021 | 1,971,666 | 0.0 |
10,165,000 | (1) | Ingevity Corp., 3.875%, 11/01/2028 | 10,101,875 | 0.1 |
4,087,000 | | Inversiones CMPC SA, 4.375%, 04/04/2027 | 4,542,271 | 0.0 |
5,352,000 | | Mosaic Co/The, 5.450%, 11/15/2033 | 6,719,907 | 0.1 |
1,748,000 | (1) | Newcrest Finance Pty Ltd., 3.250%, 05/13/2030 | 1,880,683 | 0.0 |
1,400,000 | (1) | Newcrest Finance Pty Ltd., 4.200%, 05/13/2050 | 1,607,734 | 0.0 |
2,217,000 | | Newmont Corp., 2.250%, 10/01/2030 | 2,212,937 | 0.0 |
87,000 | | Newmont Corp., 3.700%, 03/15/2023 | 90,866 | 0.0 |
9,450,000 | (1) | Novelis Corp., 4.750%, 01/30/2030 | 9,934,312 | 0.1 |
2,099,000 | | Nutrien Ltd., 2.950%, 05/13/2030 | 2,216,813 | 0.0 |
8,851,000 | (1) | OCI NV, 4.625%, 10/15/2025 | 9,258,987 | 0.1 |
1,325,000 | (1) | OCP SA, 3.750%, 06/23/2031 | 1,341,231 | 0.0 |
3,954,000 | | PPG Industries, Inc., 1.200%, 03/15/2026 | 3,947,232 | 0.0 |
1,000,000 | | Sasol Financing USA LLC, 5.500%, 03/18/2031 | 1,055,500 | 0.0 |
3,189,000 | | Steel Dynamics, Inc., 1.650%, 10/15/2027 | 3,185,627 | 0.0 |
2,139,000 | | Steel Dynamics, Inc., 2.400%, 06/15/2025 | 2,239,150 | 0.0 |
2,425,000 | | Suzano Austria GmbH, 3.750%, 01/15/2031 | 2,546,250 | 0.0 |
4,825,000 | | Suzano Austria GmbH, 6.000%, 01/15/2029 | 5,754,054 | 0.1 |
1,750,000 | | Teck Resources Ltd., 6.125%, 10/01/2035 | 2,256,931 | 0.0 |
1,499,000 | | Teck Resources Ltd., 6.000%, 08/15/2040 | 1,920,522 | 0.0 |
10,190,000 | (1) | Valvoline, Inc., 3.625%, 06/15/2031 | 10,215,424 | 0.1 |
800,000 | (1) | Vedanta Resources Finance II PLC, 8.950%, 03/11/2025 | 786,956 | 0.0 |
| | | 158,829,218 | 1.5 |
| | | | |
| | Communications: 4.2% |
1,350,000 | | Alibaba Group Holding Ltd., 2.125%, 02/09/2031 | 1,328,417 | 0.0 |
2,550,000 | | Alibaba Group Holding Ltd., 2.700%, 02/09/2041 | 2,439,941 | 0.0 |
2,455,000 | | Alibaba Group Holding Ltd., 3.600%, 11/28/2024 | 2,672,377 | 0.0 |
4,618,000 | | Amazon.com, Inc., 2.100%, 05/12/2031 | 4,698,684 | 0.1 |
7,104,000 | | Amazon.com, Inc., 2.875%, 05/12/2041 | 7,338,536 | 0.1 |
2,464,000 | | Amazon.com, Inc., 3.100%, 05/12/2051 | 2,591,647 | 0.0 |
530,000 | | Amazon.com, Inc., 3.150%, 08/22/2027 | 585,923 | 0.0 |
5,040,000 | | Amazon.com, Inc., 3.250%, 05/12/2061 | 5,320,414 | 0.1 |
10,190,000 | (1) | ANGI Group LLC, 3.875%, 08/15/2028 | 10,141,394 | 0.1 |
5,246,000 | | AT&T, Inc., 1.650%, 02/01/2028 | 5,210,328 | 0.1 |
6,145,000 | | AT&T, Inc., 1.700%, 03/25/2026 | 6,211,033 | 0.1 |
3,523,000 | | AT&T, Inc., 2.250%, 02/01/2032 | 3,461,531 | 0.0 |
2,356,000 | (1) | AT&T, Inc., 2.550%, 12/01/2033 | 2,336,482 | 0.0 |
5,830,000 | | AT&T, Inc., 2.750%, 06/01/2031 | 6,066,261 | 0.1 |
7,317,000 | | AT&T, Inc., 3.100%, 02/01/2043 | 7,184,100 | 0.1 |
2,868,000 | | AT&T, Inc., 3.500%, 06/01/2041 | 2,984,494 | 0.0 |
6,715,000 | (1) | AT&T, Inc., 3.550%, 09/15/2055 | 6,747,292 | 0.1 |
11,847,000 | (1) | AT&T, Inc., 3.650%, 09/15/2059 | 12,032,041 | 0.1 |
3,058,000 | (1) | AT&T, Inc., 3.800%, 12/01/2057 | 3,191,872 | 0.0 |
930,000 | | AT&T, Inc., 4.300%, 02/15/2030 | 1,075,766 | 0.0 |
2,219,000 | | AT&T, Inc., 4.500%, 05/15/2035 | 2,608,043 | 0.0 |
4,515,000 | | Charter Communications Operating LLC / Charter Communications Operating Capital, 3.850%, 04/01/2061 | 4,442,428 | 0.1 |
2,520,000 | | Charter Communications Operating LLC / Charter Communications Operating Capital, 3.900%, 06/01/2052 | 2,573,267 | 0.0 |
3,860,000 | | Charter Communications Operating LLC / Charter Communications Operating Capital, 4.800%, 03/01/2050 | 4,441,665 | 0.0 |
4,725,000 | | Charter Communications Operating LLC / Charter Communications Operating Capital, 4.464%, 07/23/2022 | 4,892,369 | 0.1 |
5,882,000 | | Charter Communications Operating LLC / Charter Communications Operating Capital, 4.908%, 07/23/2025 | 6,667,580 | 0.1 |
5,000,000 | | Comcast Corp., 2.650%, 02/01/2030 | 5,267,975 | 0.1 |
3,288,000 | | Comcast Corp., 3.900%, 03/01/2038 | 3,789,040 | 0.0 |
6,289,000 | | Comcast Corp., 3.950%, 10/15/2025 | 7,050,587 | 0.1 |
2,932,000 | | Comcast Corp., 3.999%, 11/01/2049 | 3,459,050 | 0.0 |
4,440,000 | | Comcast Corp., 4.000%, 03/01/2048 | 5,215,542 | 0.1 |
3,250,000 | | Comcast Corp., 4.600%, 10/15/2038 | 4,035,033 | 0.0 |
10,085,000 | (1),(2) | CommScope Technologies LLC, 5.000%, 03/15/2027 | 10,337,125 | 0.1 |
1,690,000 | | Corning, Inc., 5.450%, 11/15/2079 | 2,371,361 | 0.0 |
9,250,000 | (1) | CSC Holdings LLC, 5.750%, 01/15/2030 | 9,620,000 | 0.1 |
1,875,000 | (1) | Deutsche Telekom AG, 3.625%, 01/21/2050 | 1,984,959 | 0.0 |
2,876,000 | | Discovery Communications LLC, 2.950%, 03/20/2023 | 2,993,774 | 0.0 |
8,650,000 | | Discovery Communications LLC, 4.000%, 09/15/2055 | 9,172,514 | 0.1 |
3,750,000 | | Discovery Communications LLC, 5.200%, 09/20/2047 | 4,668,456 | 0.1 |
5,750,000 | | Discovery Communications LLC, 5.300%, 05/15/2049 | 7,288,503 | 0.1 |
5,000,000 | (1) | DISH DBS Corp., 5.125%, 06/01/2029 | 4,943,400 | 0.1 |
4,750,000 | (1) | GCI LLC, 4.750%, 10/15/2028 | 4,871,125 | 0.1 |
9,240,000 | (1) | Gray Television, Inc., 7.000%, 05/15/2027 | 10,020,872 | 0.1 |
2,770,000 | | Interpublic Group of Cos, Inc./The, 3.750%, 10/01/2021 | 2,794,417 | 0.0 |
1,472,000 | | Interpublic Group of Cos., Inc., 4.200%, 04/15/2024 | 1,602,352 | 0.0 |
9,745,000 | (1),(2) | Match Group Holdings II LLC, 4.125%, 08/01/2030 | 9,935,027 | 0.1 |
600,000 | | MercadoLibre, Inc., 2.375%, 01/14/2026 | 604,656 | 0.0 |
2,000,000 | (1) | Millicom International Cellular SA, 4.500%, 04/27/2031 | 2,072,750 | 0.0 |
2,160,000 | (1) | NBN Co. Ltd., 1.450%, 05/05/2026 | 2,166,349 | 0.0 |
1,923,000 | (1) | NBN Co. Ltd., 2.625%, 05/05/2031 | 1,972,288 | 0.0 |
3,125,000 | (1),(3) | Network i2i Ltd., 3.975%, 12/31/2199 | 3,137,047 | 0.0 |
2,375,000 | (1) | Ooredoo International Finance Ltd., 2.625%, 04/08/2031 | 2,409,133 | 0.0 |
9,935,000 | (1) | Sinclair Television Group, Inc., 5.125%, 02/15/2027 | 9,992,126 | 0.1 |
9,130,000 | (1) | Sirius XM Radio, Inc., 5.500%, 07/01/2029 | 9,960,374 | 0.1 |
7,255,000 | | Sprint Nextel Corp., 6.875%, 11/15/2028 | 9,313,606 | 0.1 |
3,370,000 | (2) | TEGNA, Inc., 4.625%, 03/15/2028 | 3,500,588 | 0.0 |
6,775,000 | (2) | TEGNA, Inc., 5.000%, 09/15/2029 | 7,108,262 | 0.1 |
7,190,000 | | Telecom Italia Capital SA, 7.721%, 06/04/2038 | 9,828,730 | 0.1 |
4,400,000 | (1) | Tencent Holdings Ltd., 2.390%, 06/03/2030 | 4,388,867 | 0.0 |
900,000 | (1) | Tencent Holdings Ltd., 2.880%, 04/22/2031 | 931,724 | 0.0 |
3,420,000 | (1) | Tencent Holdings Ltd., 2.985%, 01/19/2023 | 3,539,672 | 0.0 |
1,350,000 | (1) | Tencent Holdings Ltd., 3.680%, 04/22/2041 | 1,449,979 | 0.0 |
2,350,000 | | Time Warner Cable LLC, 5.500%, 09/01/2041 | 2,916,928 | 0.0 |
2,829,000 | | Time Warner Cable LLC, 5.875%, 11/15/2040 | 3,670,047 | 0.0 |
2,569,000 | | T-Mobile USA, Inc., 2.050%, 02/15/2028 | 2,615,075 | 0.0 |
2,033,000 | | T-Mobile USA, Inc., 3.300%, 02/15/2051 | 2,032,187 | 0.0 |
5,552,000 | | T-Mobile USA, Inc., 3.600%, 11/15/2060 | 5,659,431 | 0.1 |
4,084,000 | | T-Mobile USA, Inc., 3.750%, 04/15/2027 | 4,522,560 | 0.1 |
10,865,000 | | T-Mobile USA, Inc., 3.875%, 04/15/2030 | 12,182,381 | 0.1 |
4,085,000 | | T-Mobile USA, Inc., 4.375%, 04/15/2040 | 4,801,611 | 0.1 |
2,459,000 | | VeriSign, Inc., 2.700%, 06/15/2031 | 2,501,246 | 0.0 |
6,674,000 | | Verizon Communications, Inc., 2.650%, 11/20/2040 | 6,434,536 | 0.1 |
3,959,000 | | Verizon Communications, Inc., 2.875%, 11/20/2050 | 3,770,248 | 0.0 |
1,518,000 | | Verizon Communications, Inc., 2.987%, 10/30/2056 | 1,429,422 | 0.0 |
2,312,000 | | Verizon Communications, Inc., 3.400%, 03/22/2041 | 2,448,724 | 0.0 |
10,020,000 | | Verizon Communications, Inc., 3.700%, 03/22/2061 | 10,748,791 | 0.1 |
4,610,000 | | Verizon Communications, Inc., 3.850%, 11/01/2042 | 5,243,900 | 0.1 |
1,159,000 | | Verizon Communications, Inc., 4.000%, 03/22/2050 | 1,334,454 | 0.0 |
2,816,000 | | Verizon Communications, Inc., 4.500%, 08/10/2033 | 3,369,137 | 0.0 |
6,432,000 | | Verizon Communications, Inc., 4.812%, 03/15/2039 | 8,159,267 | 0.1 |
2,090,000 | | ViacomCBS, Inc., 5.500%, 05/15/2033 | 2,656,498 | 0.0 |
9,660,000 | (1),(2) | ViaSat, Inc., 5.625%, 04/15/2027 | 10,110,736 | 0.1 |
9,900,000 | (1) | Vmed O2 UK Financing I PLC, 4.750%, 07/15/2031 | 10,073,250 | 0.1 |
7,365,000 | | Vodafone Group PLC, 4.375%, 02/19/2043 | 8,615,915 | 0.1 |
2,548,000 | | Vodafone Group PLC, 5.125%, 06/19/2059 | 3,337,895 | 0.0 |
1,093,000 | | Walt Disney Co/The, 2.000%, 09/01/2029 | 1,105,863 | 0.0 |
10,050,000 | (1) | Zayo Group Holdings, Inc., 4.000%, 03/01/2027 | 9,993,419 | 0.1 |
| | | 432,774,669 | 4.2 |
| | | | |
| | Consumer, Cyclical: 2.1% |
10,165,000 | (1) | 1011778 BC ULC / New Red Finance, Inc., 4.000%, 10/15/2030 | 9,847,344 | 0.1 |
4,800,000 | (1) | Academy Ltd., 6.000%, 11/15/2027 | 5,147,208 | 0.1 |
4,255,409 | (1) | Alaska Airlines 2020-1 Class A Pass Through Trust, 4.800%, 02/15/2029 | 4,719,422 | 0.1 |
4,770,000 | (1) | Allison Transmission, Inc., 3.750%, 01/30/2031 | 4,694,252 | 0.0 |
5,273,522 | | American Airlines 2015-2 Class A Pass Through Trust, 4.000%, 03/22/2029 | 5,201,364 | 0.1 |
512,086 | | American Airlines 2015-2 Class AA Pass Through Trust, 3.600%, 03/22/2029 | 531,090 | 0.0 |
1,216,131 | | American Airlines 2016-1 Class A Pass Through Trust, 4.100%, 01/15/2028 | 1,211,092 | 0.0 |
4,046,754 | | American Airlines 2016-2 Class AA Pass Through Trust, 3.200%, 12/15/2029 | 4,138,025 | 0.0 |
1,817,090 | | American Airlines 2016-3 Class A Pass Through Trust, 3.250%, 04/15/2030 | 1,753,492 | 0.0 |
1,027,180 | | American Airlines 2017-1 Class A Pass Through Trust, 4.000%, 08/15/2030 | 1,039,794 | 0.0 |
2,236,478 | | American Airlines 2017-2 Class A Pass Through Trust, 3.600%, 04/15/2031 | 2,218,593 | 0.0 |
589,694 | | American Airlines 2017-2 Class AA Pass Through Trust, 3.350%, 04/15/2031 | 601,225 | 0.0 |
9,508,000 | | Asbury Automotive Group, Inc., 4.750%, 03/01/2030 | 9,952,499 | 0.1 |
1,485,854 | (1) | British Airways 2020-1 Class A Pass Through Trust, 4.250%, 05/15/2034 | 1,604,777 | 0.0 |
8,250,000 | (1) | CK Hutchison International 21 Ltd., 2.500%, 04/15/2031 | 8,426,549 | 0.1 |
287,691 | | Continental Airlines 2012-2 Class A Pass Through Trust, 4.000%, 04/29/2026 | 304,698 | 0.0 |
4,640,000 | (1) | Daimler Finance North America LLC, 2.125%, 03/10/2025 | 4,806,849 | 0.1 |
6,383,000 | (1) | Daimler Finance North America LLC, 2.550%, 08/15/2022 | 6,534,772 | 0.1 |
2,890,000 | (2) | Dana, Inc., 5.375%, 11/15/2027 | 3,082,127 | 0.0 |
6,625,000 | | Dana, Inc., 5.625%, 06/15/2028 | 7,182,825 | 0.1 |
1,352,364 | | Delta Air Lines 2015-1 Class AA Pass Through Trust, 3.625%, 01/30/2029 | 1,455,952 | 0.0 |
4,665,549 | | Delta Air Lines 2020-1 Class A Pass Through Trust, 2.500%, 12/10/2029 | 4,740,861 | 0.1 |
1,470,000 | (1) | Delta Air Lines, Inc. / SkyMiles IP Ltd., 4.500%, 10/20/2025 | 1,580,387 | 0.0 |
4,762,884 | (1) | Delta Air Lines, Inc. / SkyMiles IP Ltd., 4.750%, 10/20/2028 | 5,299,023 | 0.1 |
1,650,000 | | Falabella SA, 3.750%, 10/30/2027 | 1,767,208 | 0.0 |
5,600,000 | | Ford Motor Credit Co. LLC, 4.000%, 11/13/2030 | 5,873,000 | 0.1 |
3,510,000 | | Ford Motor Credit Co. LLC, 5.113%, 05/03/2029 | 3,934,148 | 0.0 |
2,200,000 | | General Motors Co., 5.400%, 04/01/2048 | 2,807,341 | 0.0 |
2,333,000 | | General Motors Co., 6.125%, 10/01/2025 | 2,763,437 | 0.0 |
3,665,000 | | General Motors Financial Co., Inc., 4.150%, 06/19/2023 | 3,893,912 | 0.0 |
1,732,000 | | General Motors Financial Co., Inc., 4.350%, 01/17/2027 | 1,948,905 | 0.0 |
2,509,000 | | General Motors Financial Co., Inc., 5.200%, 03/20/2023 | 2,702,347 | 0.0 |
1,000,000 | (1) | Genm Capital Labuan Ltd., 3.882%, 04/19/2031 | 998,280 | 0.0 |
10,150,000 | (1) | H&E Equipment Services, Inc., 3.875%, 12/15/2028 | 10,000,288 | 0.1 |
4,653,000 | (1),(2) | Harley-Davidson Financial Services, Inc., 3.350%, 06/08/2025 | 4,981,518 | 0.1 |
4,917,000 | | Hasbro, Inc., 3.000%, 11/19/2024 | 5,234,716 | 0.1 |
4,915,000 | (1) | Hyundai Capital America, 2.000%, 06/15/2028 | 4,881,232 | 0.1 |
5,725,000 | (1) | InRetail Consumer, 3.250%, 03/22/2028 | 5,670,126 | 0.1 |
3,405,000 | | Lowe's Cos, Inc., 1.700%, 10/15/2030 | 3,267,016 | 0.0 |
2,795,000 | | McDonald's Corp., 3.500%, 07/01/2027 | 3,100,235 | 0.0 |
4,625,000 | | MGM Resorts International, 5.500%, 04/15/2027 | 5,089,581 | 0.1 |
2,679,000 | (1) | Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd., 6.500%, 06/20/2027 | 2,952,928 | 0.0 |
6,054,000 | (1) | Nissan Motor Co. Ltd., 4.810%, 09/17/2030 | 6,841,213 | 0.1 |
4,610,000 | (1) | Tempur Sealy International, Inc., 4.000%, 04/15/2029 | 4,681,870 | 0.0 |
4,414,000 | | Toyota Motor Credit Corp., 1.150%, 08/13/2027 | 4,361,430 | 0.0 |
4,238,000 | | Toyota Motor Credit Corp., 2.150%, 02/13/2030 | 4,352,155 | 0.0 |
3,244,045 | | United Airlines 2012-1 Class A Pass Through Trust, 4.150%, 10/11/2025 | 3,450,665 | 0.0 |
930,733 | | United Airlines 2013-1 Class A Pass Through Trust, 4.300%, 02/15/2027 | 986,186 | 0.0 |
1,716,042 | | United Airlines 2014-1 Class A Pass Through Trust, 4.000%, 10/11/2027 | 1,812,877 | 0.0 |
3,107,179 | | United Airlines 2016-1 Class AA Pass Through Trust, 3.100%, 01/07/2030 | 3,282,708 | 0.0 |
7,574,453 | | United Airlines 2016-2 Class AA Pass Through Trust, 2.875%, 04/07/2030 | 7,754,615 | 0.1 |
191,282 | | United Airlines 2020-1 Class A Pass Through Trust, 5.875%, 04/15/2029 | 212,642 | 0.0 |
2,425,459 | | US Airways 2012-1 Class A Pass Through Trust, 5.900%, 04/01/2026 | 2,538,660 | 0.0 |
447,529 | | US Airways 2012-2 Class A Pass Through Trust, 4.625%, 12/03/2026 | 451,870 | 0.0 |
9,800,000 | (1) | Wyndham Hotels & Resorts, Inc., 4.375%, 08/15/2028 | 10,204,250 | 0.1 |
| | | 218,871,579 | 2.1 |
| | | | |
| | Consumer, Non-cyclical: 6.5% |
2,740,000 | | AbbVie, Inc., 2.300%, 11/21/2022 | 2,812,971 | 0.0 |
5,636,000 | | AbbVie, Inc., 2.600%, 11/21/2024 | 5,945,185 | 0.1 |
8,167,000 | | AbbVie, Inc., 2.900%, 11/06/2022 | 8,440,436 | 0.1 |
3,188,000 | | AbbVie, Inc., 2.950%, 11/21/2026 | 3,429,184 | 0.0 |
1,609,000 | | AbbVie, Inc., 4.050%, 11/21/2039 | 1,871,347 | 0.0 |
10,195,000 | | AbbVie, Inc., 4.300%, 05/14/2036 | 12,127,357 | 0.1 |
4,325,000 | | AbbVie, Inc., 4.400%, 11/06/2042 | 5,258,649 | 0.1 |
2,526,000 | | AbbVie, Inc., 4.450%, 05/14/2046 | 3,055,888 | 0.0 |
7,965,000 | | AbbVie, Inc., 4.500%, 05/14/2035 | 9,606,222 | 0.1 |
1,538,000 | | AbbVie, Inc., 4.550%, 03/15/2035 | 1,869,660 | 0.0 |
2,298,000 | | AbbVie, Inc., 4.625%, 10/01/2042 | 2,845,954 | 0.0 |
6,638,000 | | Aetna, Inc., 4.500%, 05/15/2042 | 7,968,480 | 0.1 |
3,398,000 | | Aetna, Inc., 6.625%, 06/15/2036 | 4,966,015 | 0.1 |
8,045,000 | (1) | Albertsons Cos, Inc. / Safeway, Inc. / New Albertsons L.P. / Albertsons LLC, 3.500%, 03/15/2029 | 7,964,550 | 0.1 |
1,890,000 | (1) | Albertsons Cos, Inc. / Safeway, Inc. / New Albertsons L.P. / Albertsons LLC, 5.875%, 02/15/2028 | 2,038,819 | 0.0 |
2,486,000 | | Altria Group, Inc., 2.450%, 02/04/2032 | 2,406,932 | 0.0 |
4,971,000 | | Altria Group, Inc., 3.700%, 02/04/2051 | 4,723,531 | 0.1 |
3,473,000 | | Altria Group, Inc., 4.400%, 02/14/2026 | 3,931,395 | 0.0 |
533,000 | | Altria Group, Inc., 4.800%, 02/14/2029 | 618,330 | 0.0 |
1,325,000 | | Altria Group, Inc., 5.800%, 02/14/2039 | 1,639,125 | 0.0 |
1,326,000 | | Altria Group, Inc., 5.950%, 02/14/2049 | 1,699,737 | 0.0 |
9,003,000 | | AmerisourceBergen Corp., 3.400%, 05/15/2024 | 9,631,057 | 0.1 |
968,000 | | Amgen, Inc., 1.900%, 02/21/2025 | 1,003,152 | 0.0 |
2,960,000 | (1) | AMN Healthcare, Inc., 4.000%, 04/15/2029 | 2,991,672 | 0.0 |
2,410,000 | (1) | AMN Healthcare, Inc., 4.625%, 10/01/2027 | 2,509,292 | 0.0 |
10,519,000 | | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide, Inc., 4.700%, 02/01/2036 | 12,921,567 | 0.1 |
10,000,000 | | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide, Inc., 4.900%, 02/01/2046 | 12,679,674 | 0.1 |
2,495,000 | | Anheuser-Busch InBev Finance, Inc., 4.000%, 01/17/2043 | 2,792,299 | 0.0 |
4,324,000 | | Anheuser-Busch InBev Worldwide, Inc., 5.450%, 01/23/2039 | 5,714,568 | 0.1 |
4,196,000 | | Anthem, Inc., 2.875%, 09/15/2029 | 4,458,080 | 0.1 |
1,598,000 | | Anthem, Inc., 3.500%, 08/15/2024 | 1,721,973 | 0.0 |
4,225,000 | | Anthem, Inc., 4.650%, 08/15/2044 | 5,284,428 | 0.1 |
2,250,000 | | Anthem, Inc., 5.100%, 01/15/2044 | 2,972,698 | 0.0 |
2,656,000 | | Astrazeneca Finance LLC, 1.200%, 05/28/2026 | 2,650,087 | 0.0 |
2,636,000 | | Astrazeneca Finance LLC, 1.750%, 05/28/2028 | 2,637,722 | 0.0 |
2,950,000 | | Astrazeneca Finance LLC, 2.250%, 05/28/2031 | 2,998,822 | 0.0 |
2,822,000 | | AstraZeneca PLC, 1.375%, 08/06/2030 | 2,672,720 | 0.0 |
7,854,000 | | AstraZeneca PLC, 3.375%, 11/16/2025 | 8,601,226 | 0.1 |
14,471,000 | | BAT Capital Corp., 2.259%, 03/25/2028 | 14,377,968 | 0.1 |
2,393,000 | | BAT Capital Corp., 2.726%, 03/25/2031 | 2,364,991 | 0.0 |
1,005,000 | | BAT Capital Corp., 3.215%, 09/06/2026 | 1,067,218 | 0.0 |
2,393,000 | | BAT Capital Corp., 3.734%, 09/25/2040 | 2,342,878 | 0.0 |
4,880,000 | | BAT Capital Corp., 4.390%, 08/15/2037 | 5,269,693 | 0.1 |
9,725,000 | (1),(2) | Bausch Health Cos, Inc., 5.250%, 01/30/2030 | 9,056,406 | 0.1 |
8,862,000 | (1) | Bayer US Finance LLC, 3.000%, 10/08/2021 | 8,925,539 | 0.1 |
2,720,000 | | Becton Dickinson and Co., 3.363%, 06/06/2024 | 2,915,170 | 0.0 |
2,418,000 | | Bristol-Myers Squibb Co., 1.450%, 11/13/2030 | 2,336,799 | 0.0 |
2,418,000 | | Bristol-Myers Squibb Co., 2.550%, 11/13/2050 | 2,318,003 | 0.0 |
3,421,000 | | Bristol-Myers Squibb Co., 4.125%, 06/15/2039 | 4,137,329 | 0.0 |
4,922,000 | | Bunge Ltd. Finance Corp., 2.750%, 05/14/2031 | 4,979,706 | 0.1 |
5,377,000 | (1) | Cargill, Inc., 3.875%, 05/23/2049 | 6,350,525 | 0.1 |
4,450,000 | | Centene Corp., 3.375%, 02/15/2030 | 4,657,704 | 0.1 |
4,750,000 | | Centene Corp., 4.625%, 12/15/2029 | 5,229,845 | 0.1 |
9,915,000 | | Central Garden & Pet Co., 4.125%, 10/15/2030 | 10,161,388 | 0.1 |
6,698,000 | | Cigna Corp., 3.050%, 11/30/2022 | 6,934,851 | 0.1 |
3,471,000 | | Cigna Corp., 3.250%, 04/15/2025 | 3,743,721 | 0.0 |
2,145,000 | | Cigna Corp., 3.400%, 03/15/2050 | 2,238,720 | 0.0 |
1,882,000 | | Cigna Corp., 4.800%, 08/15/2038 | 2,346,594 | 0.0 |
1,375,000 | | Cigna Corp., 4.800%, 07/15/2046 | 1,750,737 | 0.0 |
4,165,000 | | Cigna Corp., 4.900%, 12/15/2048 | 5,373,959 | 0.1 |
4,945,000 | | Coca-Cola Co/The, 2.000%, 03/05/2031 | 4,998,259 | 0.1 |
4,309,000 | | Coca-Cola Co/The, 2.875%, 05/05/2041 | 4,484,934 | 0.1 |
4,475,000 | | CVS Health Corp., 2.700%, 08/21/2040 | 4,345,843 | 0.0 |
2,465,000 | | CVS Health Corp., 3.875%, 07/20/2025 | 2,722,571 | 0.0 |
3,492,000 | | CVS Health Corp., 4.125%, 04/01/2040 | 4,060,756 | 0.0 |
2,326,000 | | CVS Health Corp., 4.780%, 03/25/2038 | 2,865,820 | 0.0 |
9,602,000 | | CVS Health Corp., 5.050%, 03/25/2048 | 12,494,979 | 0.1 |
7,379,000 | (1) | Danone SA, 2.947%, 11/02/2026 | 7,913,599 | 0.1 |
6,060,000 | (1) | DaVita, Inc., 3.750%, 02/15/2031 | 5,825,175 | 0.1 |
4,330,000 | (1) | DaVita, Inc., 4.625%, 06/01/2030 | 4,457,605 | 0.1 |
6,370,000 | | Dentsply Sirona, Inc., 3.250%, 06/01/2030 | 6,820,488 | 0.1 |
1,942,000 | (2) | Diageo Capital PLC, 2.125%, 04/29/2032 | 1,952,083 | 0.0 |
4,189,000 | (1) | Element Fleet Management Corp., 3.850%, 06/15/2025 | 4,512,146 | 0.1 |
3,720,000 | (1) | Fresenius Medical Care US Finance III, Inc., 1.875%, 12/01/2026 | 3,723,493 | 0.0 |
4,340,000 | | General Mills, Inc., 4.000%, 04/17/2025 | 4,812,575 | 0.1 |
2,056,000 | | Gilead Sciences, Inc., 0.750%, 09/29/2023 | 2,057,094 | 0.0 |
1,540,000 | | Gilead Sciences, Inc., 3.500%, 02/01/2025 | 1,670,209 | 0.0 |
1,644,000 | | Gilead Sciences, Inc., 4.500%, 02/01/2045 | 2,014,790 | 0.0 |
4,928,000 | | Global Payments, Inc., 1.200%, 03/01/2026 | 4,884,895 | 0.1 |
11,343,000 | | Global Payments, Inc., 2.650%, 02/15/2025 | 11,960,934 | 0.1 |
3,439,000 | | HCA, Inc., 4.125%, 06/15/2029 | 3,875,380 | 0.0 |
3,076,000 | | HCA, Inc., 4.500%, 02/15/2027 | 3,479,673 | 0.0 |
1,425,000 | | HCA, Inc., 5.125%, 06/15/2039 | 1,784,816 | 0.0 |
1,449,000 | | HCA, Inc., 5.250%, 04/15/2025 | 1,659,087 | 0.0 |
622,000 | | HCA, Inc., 5.250%, 06/15/2049 | 794,377 | 0.0 |
1,820,000 | | HCA, Inc., 5.500%, 06/15/2047 | 2,374,419 | 0.0 |
2,509,000 | (1) | Health Care Service Corp. A Mutual Legal Reserve Co., 1.500%, 06/01/2025 | 2,550,219 | 0.0 |
5,902,000 | | Hormel Foods Corp., 3.050%, 06/03/2051 | 6,131,347 | 0.1 |
5,172,000 | | Humana, Inc., 3.125%, 08/15/2029 | 5,574,474 | 0.1 |
4,873,000 | | Humana, Inc., 4.500%, 04/01/2025 | 5,459,776 | 0.1 |
3,350,000 | (1) | Hutama Karya Persero PT, 3.750%, 05/11/2030 | 3,602,278 | 0.0 |
3,695,000 | | Illumina, Inc., 2.550%, 03/23/2031 | 3,754,486 | 0.0 |
2,290,000 | (1) | Imperial Brands Finance PLC, 3.750%, 07/21/2022 | 2,350,114 | 0.0 |
2,152,000 | | Johnson & Johnson, 0.950%, 09/01/2027 | 2,113,814 | 0.0 |
4,825,000 | | Kraft Heinz Foods Co., 4.625%, 10/01/2039 | 5,635,533 | 0.1 |
3,495,000 | | Kraft Heinz Foods Co., 6.875%, 01/26/2039 | 5,033,111 | 0.1 |
2,414,000 | | Laboratory Corp. of America Holdings, 3.250%, 09/01/2024 | 2,584,664 | 0.0 |
1,434,000 | | Laboratory Corp. of America Holdings, 4.000%, 11/01/2023 | 1,533,667 | 0.0 |
3,585,000 | (1) | Mars, Inc., 0.875%, 07/16/2026 | 3,514,251 | 0.0 |
3,336,000 | (1) | Mars, Inc., 4.125%, 04/01/2054 | 4,172,859 | 0.0 |
4,269,000 | | McKesson Corp., 0.900%, 12/03/2025 | 4,209,031 | 0.0 |
1,484,000 | | Medtronic, Inc., 4.375%, 03/15/2035 | 1,848,590 | 0.0 |
4,946,000 | | Mylan, Inc., 5.200%, 04/15/2048 | 6,117,567 | 0.1 |
9,800,000 | (1) | Organon & Co. / Organon Foreign Debt Co-Issuer BV, 4.125%, 04/30/2028 | 10,006,290 | 0.1 |
8,641,000 | | PayPal Holdings, Inc., 2.850%, 10/01/2029 | 9,330,554 | 0.1 |
7,252,000 | | PerkinElmer, Inc., 3.300%, 09/15/2029 | 7,860,409 | 0.1 |
1,689,000 | | Philip Morris International, Inc., 3.875%, 08/21/2042 | 1,872,294 | 0.0 |
9,620,000 | (1),(2) | Pilgrim's Pride Corp., 4.250%, 04/15/2031 | 9,980,750 | 0.1 |
1,430,000 | (1) | Post Holdings, Inc., 4.625%, 04/15/2030 | 1,455,854 | 0.0 |
8,405,000 | (1) | Post Holdings, Inc., 5.500%, 12/15/2029 | 9,032,727 | 0.1 |
10,560,000 | (1) | Prestige Brands, Inc., 3.750%, 04/01/2031 | 10,202,280 | 0.1 |
10,250,000 | (1) | Primo Water Holdings, Inc., 4.375%, 04/30/2029 | 10,262,813 | 0.1 |
9,811,000 | | Regeneron Pharmaceuticals, Inc., 1.750%, 09/15/2030 | 9,308,775 | 0.1 |
6,783,000 | | Reynolds American, Inc., 5.850%, 08/15/2045 | 8,318,472 | 0.1 |
818,000 | | Reynolds American, Inc., 6.150%, 09/15/2043 | 1,026,052 | 0.0 |
1,626,000 | (1) | Royalty Pharma PLC, 1.200%, 09/02/2025 | 1,612,620 | 0.0 |
2,055,000 | (1) | Royalty Pharma PLC, 1.750%, 09/02/2027 | 2,024,038 | 0.0 |
2,921,000 | (1) | Royalty Pharma PLC, 2.200%, 09/02/2030 | 2,867,493 | 0.0 |
9,019,000 | (1) | Royalty Pharma PLC, 3.300%, 09/02/2040 | 9,098,852 | 0.1 |
4,382,000 | (1) | Royalty Pharma PLC, 3.550%, 09/02/2050 | 4,369,408 | 0.1 |
6,336,000 | | Shire Acquisitions Investments Ireland DAC, 2.875%, 09/23/2023 | 6,633,501 | 0.1 |
6,130,000 | | Smith & Nephew PLC, 2.032%, 10/14/2030 | 6,003,519 | 0.1 |
1,717,000 | | STERIS Irish FinCo UnLtd. Co., 2.700%, 03/15/2031 | 1,750,591 | 0.0 |
8,820,000 | | STERIS Irish FinCo UnLtd. Co., 3.750%, 03/15/2051 | 9,383,537 | 0.1 |
3,420,000 | | Takeda Pharmaceutical Co. Ltd., 2.050%, 03/31/2030 | 3,395,637 | 0.0 |
1,823,000 | | Takeda Pharmaceutical Co. Ltd., 3.025%, 07/09/2040 | 1,843,828 | 0.0 |
1,125,000 | | Takeda Pharmaceutical Co. Ltd., 3.175%, 07/09/2050 | 1,139,468 | 0.0 |
1,375,000 | | Takeda Pharmaceutical Co. Ltd., 3.375%, 07/09/2060 | 1,414,806 | 0.0 |
9,750,000 | (1) | Tenet Healthcare Corp., 4.250%, 06/01/2029 | 9,884,063 | 0.1 |
2,461,000 | (1) | Triton Container International Ltd., 2.050%, 04/15/2026 | 2,476,303 | 0.0 |
2,636,000 | (1) | Triton Container International Ltd., 3.150%, 06/15/2031 | 2,653,683 | 0.0 |
4,500,000 | | United Rentals North America, Inc., 4.000%, 07/15/2030 | 4,644,000 | 0.1 |
4,325,000 | | United Rentals North America, Inc., 4.875%, 01/15/2028 | 4,592,069 | 0.1 |
1,974,000 | | UnitedHealth Group, Inc., 1.150%, 05/15/2026 | 1,975,332 | 0.0 |
5,425,000 | | UnitedHealth Group, Inc., 2.300%, 05/15/2031 | 5,559,731 | 0.1 |
2,218,000 | | UnitedHealth Group, Inc., 3.050%, 05/15/2041 | 2,325,460 | 0.0 |
5,425,000 | | UnitedHealth Group, Inc., 3.250%, 05/15/2051 | 5,798,349 | 0.1 |
2,117,000 | | UnitedHealth Group, Inc., 3.500%, 08/15/2039 | 2,369,269 | 0.0 |
9,504,000 | (1) | Viatris, Inc., 3.850%, 06/22/2040 | 10,121,226 | 0.1 |
5,715,000 | (1) | Viatris, Inc., 4.000%, 06/22/2050 | 6,054,273 | 0.1 |
3,086,000 | (1) | Viterra Finance BV, 2.000%, 04/21/2026 | 3,092,862 | 0.0 |
| | | 668,813,517 | 6.5 |
| | | | |
| | Energy: 4.4% |
9,895,000 | | Apache Corp., 5.100%, 09/01/2040 | 10,377,381 | 0.1 |
2,621,000 | (2) | BP Capital Markets America, Inc., 1.749%, 08/10/2030 | 2,560,584 | 0.0 |
4,856,000 | | BP Capital Markets America, Inc., 3.224%, 04/14/2024 | 5,179,766 | 0.1 |
4,845,000 | | BP Capital Markets America, Inc., 3.379%, 02/08/2061 | 4,882,225 | 0.1 |
3,610,000 | (3) | BP Capital Markets PLC, 4.875%, 12/31/2199 | 3,972,805 | 0.0 |
1,140,000 | | Burlington Resources LLC, 5.950%, 10/15/2036 | 1,577,589 | 0.0 |
1,220,000 | | Canadian Natural Resources Ltd., 6.750%, 02/01/2039 | 1,709,876 | 0.0 |
4,095,000 | | Cheniere Corpus Christi Holdings LLC, 3.700%, 11/15/2029 | 4,476,971 | 0.1 |
265,000 | | Chevron USA, Inc., 3.250%, 10/15/2029 | 293,776 | 0.0 |
4,468,000 | | Chevron USA, Inc., 4.200%, 10/15/2049 | 5,513,802 | 0.1 |
2,013,000 | | Chevron USA, Inc., 4.950%, 08/15/2047 | 2,718,570 | 0.0 |
7,427,000 | | Cimarex Energy Co., 3.900%, 05/15/2027 | 8,195,334 | 0.1 |
5,603,000 | (1) | ConocoPhillips, 2.400%, 02/15/2031 | 5,740,222 | 0.1 |
2,719,000 | (1) | ConocoPhillips, 3.750%, 10/01/2027 | 3,058,504 | 0.0 |
10,185,000 | (1) | Crestwood Midstream Partners L.P. / Crestwood Midstream Finance Corp., 5.625%, 05/01/2027 | 10,482,402 | 0.1 |
3,662,000 | | Diamondback Energy, Inc., 2.875%, 12/01/2024 | 3,870,362 | 0.0 |
2,473,000 | | Diamondback Energy, Inc., 3.125%, 03/24/2031 | 2,565,576 | 0.0 |
4,245,000 | | Diamondback Energy, Inc., 3.250%, 12/01/2026 | 4,553,592 | 0.1 |
7,532,000 | | Diamondback Energy, Inc., 3.500%, 12/01/2029 | 8,069,966 | 0.1 |
1,979,000 | | Diamondback Energy, Inc., 4.400%, 03/24/2051 | 2,234,159 | 0.0 |
1,436,000 | | Diamondback Energy, Inc., 4.750%, 05/31/2025 | 1,618,400 | 0.0 |
8,250,000 | | Ecopetrol SA, 6.875%, 04/29/2030 | 9,968,145 | 0.1 |
7,100,000 | | Empresa Nacional del Petroleo, 3.750%, 08/05/2026 | 7,441,730 | 0.1 |
400,000 | (1) | Empresa Nacional del Petroleo, 3.750%, 08/05/2026 | 419,252 | 0.0 |
5,373,000 | (2),(3) | Enbridge, Inc., 5.750%, 07/15/2080 | 6,004,327 | 0.1 |
1,263,000 | | Energy Transfer L.P. / Regency Energy Finance Corp., 4.500%, 11/01/2023 | 1,356,258 | 0.0 |
325,000 | | Energy Transfer L.P., 4.250%, 04/01/2024 | 350,643 | 0.0 |
645,000 | | Energy Transfer L.P., 4.900%, 03/15/2035 | 747,936 | 0.0 |
4,946,000 | | Energy Transfer L.P., 5.300%, 04/01/2044 | 5,720,915 | 0.1 |
8,457,000 | | Energy Transfer L.P., 5.300%, 04/15/2047 | 9,910,309 | 0.1 |
1,003,000 | | Energy Transfer L.P., 5.350%, 05/15/2045 | 1,166,569 | 0.0 |
3,075,000 | | Energy Transfer L.P., 5.800%, 06/15/2038 | 3,834,006 | 0.0 |
1,389,000 | | Enterprise Products Operating LLC, 3.950%, 01/31/2060 | 1,552,099 | 0.0 |
3,800,000 | (3) | Enterprise Products Operating LLC, 4.875%, 08/16/2077 | 3,731,465 | 0.0 |
1,989,000 | | EOG Resources, Inc., 4.950%, 04/15/2050 | 2,653,283 | 0.0 |
2,642,000 | | Equinor ASA, 3.125%, 04/06/2030 | 2,879,279 | 0.0 |
1,850,000 | | Exxon Mobil Corp., 4.227%, 03/19/2040 | 2,211,270 | 0.0 |
5,286,000 | (1) | Flex Intermediate Holdco LLC, 3.363%, 06/30/2031 | 5,361,714 | 0.1 |
825,000 | (1) | Galaxy Pipeline Assets Bidco Ltd., 2.160%, 03/31/2034 | 812,055 | 0.0 |
1,000,000 | (1) | Galaxy Pipeline Assets Bidco Ltd., 2.940%, 09/30/2040 | 995,736 | 0.0 |
1,800,000 | | Gazprom PJSC Via Gaz Capital SA, 4.950%, 03/23/2027 | 2,014,736 | 0.0 |
| | | | |
3,450,000 | | Gazprom PJSC Via Gaz Capital SA, 4.950%, 02/06/2028 | 3,863,310 | 0.0 |
3,250,000 | (1) | Gazprom PJSC via Gaz Finance PLC, 2.950%, 01/27/2029 | 3,192,641 | 0.0 |
9,050,000 | (1) | Gazprom PJSC via Gaz Finance PLC, 3.250%, 02/25/2030 | 9,031,085 | 0.1 |
9,800,000 | (1),(3) | Gazprom PJSC via Gaz Finance PLC, 4.599%, 12/31/2199 | 10,235,679 | 0.1 |
163,000 | | Halliburton Co., 3.500%, 08/01/2023 | 171,921 | 0.0 |
136,000 | | Halliburton Co., 3.800%, 11/15/2025 | 150,432 | 0.0 |
10,597,000 | | Hess Corp., 5.600%, 02/15/2041 | 13,246,283 | 0.1 |
9,740,000 | (1) | Indigo Natural Resources LLC, 5.375%, 02/01/2029 | 10,190,865 | 0.1 |
5,775,000 | | KazMunayGas National Co. JSC, 4.750%, 04/19/2027 | 6,600,652 | 0.1 |
2,650,000 | | KazMunayGas National Co. JSC, 5.375%, 04/24/2030 | 3,173,902 | 0.0 |
1,575,000 | (1) | KazMunayGas National Co. JSC, 5.375%, 04/24/2030 | 1,886,376 | 0.0 |
1,295,000 | | Kinder Morgan Energy Partners L.P., 4.250%, 09/01/2024 | 1,424,596 | 0.0 |
2,332,000 | | Kinder Morgan, Inc., 5.550%, 06/01/2045 | 3,023,943 | 0.0 |
1,971,000 | (1) | Lundin Energy Finance BV, 2.000%, 07/15/2026 | 1,976,473 | 0.0 |
3,850,000 | | Marathon Petroleum Corp., 4.700%, 05/01/2025 | 4,345,103 | 0.1 |
4,062,000 | | Marathon Petroleum Corp., 4.750%, 09/15/2044 | 4,821,378 | 0.1 |
1,443,000 | | Marathon Petroleum Corp., 5.000%, 09/15/2054 | 1,737,281 | 0.0 |
2,897,000 | | MPLX L.P., 1.750%, 03/01/2026 | 2,929,872 | 0.0 |
2,026,000 | | MPLX L.P., 2.650%, 08/15/2030 | 2,046,671 | 0.0 |
1,095,000 | | MPLX L.P., 4.700%, 04/15/2048 | 1,275,433 | 0.0 |
1,388,000 | | MPLX L.P., 5.200%, 03/01/2047 | 1,712,837 | 0.0 |
2,671,000 | | MPLX L.P., 5.200%, 12/01/2047 | 3,270,040 | 0.0 |
3,230,000 | | MPLX L.P., 5.500%, 02/15/2049 | 4,190,149 | 0.1 |
2,015,000 | (1) | Northern Natural Gas Co., 3.400%, 10/16/2051 | 2,073,497 | 0.0 |
2,187,000 | | ONEOK Partners L.P., 6.125%, 02/01/2041 | 2,823,175 | 0.0 |
2,785,000 | | ONEOK Partners L.P., 6.200%, 09/15/2043 | 3,676,929 | 0.0 |
1,910,000 | | ONEOK, Inc., 2.200%, 09/15/2025 | 1,965,623 | 0.0 |
5,000,000 | (1) | Pertamina Persero PT, 2.300%, 02/09/2031 | 4,805,708 | 0.1 |
6,075,000 | (1) | Pertamina Persero PT, 3.100%, 01/21/2030 | 6,247,685 | 0.1 |
750,000 | | Pertamina Persero PT, 5.625%, 05/20/2043 | 885,221 | 0.0 |
16,250,000 | | Petrobras Global Finance BV, 5.600%, 01/03/2031 | 18,220,312 | 0.2 |
4,750,000 | | Petroleos del Peru SA, 4.750%, 06/19/2032 | 4,993,437 | 0.1 |
4,000,000 | (1) | Petroleos del Peru SA, 4.750%, 06/19/2032 | 4,205,000 | 0.1 |
7,000,000 | | Petroleos Mexicanos, 5.950%, 01/28/2031 | 6,809,250 | 0.1 |
8,500,000 | | Petroleos Mexicanos, 6.500%, 03/13/2027 | 8,982,375 | 0.1 |
2,225,000 | | Petroleos Mexicanos, 6.500%, 01/23/2029 | 2,292,862 | 0.0 |
3,900,000 | (1) | Petroleos Mexicanos, 6.875%, 10/16/2025 | 4,322,175 | 0.1 |
2,225,000 | | Petroleos Mexicanos, 6.875%, 08/04/2026 | 2,434,484 | 0.0 |
1,250,000 | (1) | Petronas Capital Ltd., 2.480%, 01/28/2032 | 1,259,621 | 0.0 |
4,200,000 | (1) | Petronas Energy Canada Ltd., 2.112%, 03/23/2028 | 4,248,730 | 0.1 |
1,425,000 | | Phillips 66, 0.900%, 02/15/2024 | 1,426,962 | 0.0 |
8,387,000 | | Plains All American Pipeline L.P. / PAA Finance Corp., 3.550%, 12/15/2029 | 8,840,354 | 0.1 |
3,962,000 | | Plains All American Pipeline L.P. / PAA Finance Corp., 4.500%, 12/15/2026 | 4,450,261 | 0.1 |
3,468,000 | | Plains All American Pipeline L.P. / PAA Finance Corp., 4.650%, 10/15/2025 | 3,882,510 | 0.0 |
4,825,000 | | Plains All American Pipeline L.P. / PAA Finance Corp., 4.900%, 02/15/2045 | 5,255,401 | 0.1 |
510,000 | | Plains All American Pipeline L.P. / PAA Finance Corp., 5.150%, 06/01/2042 | 572,847 | 0.0 |
1,450,000 | (1) | PTTEP Treasury Center Co. Ltd., 2.587%, 06/10/2027 | 1,505,723 | 0.0 |
950,000 | | Qatar Petroleum, 3.125%, 07/12/2041 | 946,495 | 0.0 |
2,025,000 | | Qatar Petroleum, 3.300%, 07/12/2051 | 2,025,000 | 0.0 |
2,550,000 | (1),(2) | SA Global Sukuk Ltd., 2.694%, 06/17/2031 | 2,584,833 | 0.0 |
1,890,000 | | Sabine Pass Liquefaction LLC, 4.200%, 03/15/2028 | 2,135,672 | 0.0 |
2,203,000 | | Sabine Pass Liquefaction LLC, 5.000%, 03/15/2027 | 2,546,601 | 0.0 |
2,150,000 | | Sabine Pass Liquefaction LLC, 5.625%, 03/01/2025 | 2,459,082 | 0.0 |
5,554,000 | (1) | Santos Finance Ltd., 3.649%, 04/29/2031 | 5,691,633 | 0.1 |
3,750,000 | (1) | Saudi Arabian Oil Co., 2.250%, 11/24/2030 | 3,687,619 | 0.0 |
1,750,000 | (1),(2) | Saudi Arabian Oil Co., 3.250%, 11/24/2050 | 1,705,156 | 0.0 |
2,675,000 | (1) | Schlumberger Holdings Corp., 3.750%, 05/01/2024 | 2,880,770 | 0.0 |
5,190,000 | (1) | Schlumberger Investment SA, 2.400%, 08/01/2022 | 5,273,721 | 0.1 |
4,235,000 | | Shell International Finance BV, 3.250%, 05/11/2025 | 4,598,516 | 0.1 |
3,245,000 | | Shell International Finance BV, 4.125%, 05/11/2035 | 3,865,801 | 0.0 |
3,000,000 | (1) | Tengizchevroil Finance Co. International Ltd., 3.250%, 08/15/2030 | 3,063,450 | 0.0 |
4,282,000 | | TotalEnergies Capital International SA, 2.986%, 06/29/2041 | 4,368,496 | 0.1 |
1,957,000 | | TotalEnergies Capital International SA, 3.127%, 05/29/2050 | 1,988,119 | 0.0 |
1,290,000 | | Transcontinental Gas Pipe Line Co. LLC, 3.250%, 05/15/2030 | 1,397,887 | 0.0 |
4,932,000 | | Valero Energy Corp., 2.850%, 04/15/2025 | 5,233,060 | 0.1 |
9,740,000 | | Western Midstream Operating L.P., 5.300%, 03/01/2048 | 10,413,180 | 0.1 |
10,875,000 | | Williams Cos, Inc./The, 4.000%, 09/15/2025 | 12,048,754 | 0.1 |
2,726,000 | | Williams Cos, Inc./The, 5.400%, 03/04/2044 | 3,462,278 | 0.0 |
1,846,000 | | Williams Partners L.P., 3.600%, 03/15/2022 | 1,877,164 | 0.0 |
2,768,000 | | Williams Partners L.P., 3.750%, 06/15/2027 | 3,077,243 | 0.0 |
| | | 450,791,183 | 4.4 |
| | | | |
| | Financial: 11.3% |
1,000,000 | (3) | ABN AMRO Bank NV, 4.400%, 03/27/2028 | 1,053,108 | 0.0 |
6,000,000 | (1) | ABN AMRO Bank NV, 4.750%, 07/28/2025 | 6,735,408 | 0.1 |
5,468,000 | | Alexandria Real Estate Equities, Inc., 2.000%, 05/18/2032 | 5,332,863 | 0.1 |
2,537,000 | | American Homes 4 Rent L.P., 2.375%, 07/08/2031 | 2,507,552 | 0.0 |
791,000 | | American Homes 4 Rent L.P., 2.375%, 07/08/2051 | 774,879 | 0.0 |
3,163,000 | | American International Group, Inc., 3.875%, 01/15/2035 | 3,589,402 | 0.0 |
3,670,000 | | American International Group, Inc., 3.900%, 04/01/2026 | 4,097,293 | 0.0 |
1,147,000 | | American International Group, Inc., 4.375%, 01/15/2055 | 1,395,471 | 0.0 |
4,248,000 | | American International Group, Inc., 4.500%, 07/16/2044 | 5,163,467 | 0.1 |
2,202,000 | | American International Group, Inc., 4.800%, 07/10/2045 | 2,761,676 | 0.0 |
2,649,000 | (1) | ANZ New Zealand Int'l Ltd./London, 1.250%, 06/22/2026 | 2,638,814 | 0.0 |
4,440,000 | | Arthur J Gallagher & Co., 3.500%, 05/20/2051 | 4,658,076 | 0.1 |
5,641,000 | | Assurant, Inc., 2.650%, 01/15/2032 | 5,637,843 | 0.1 |
5,119,000 | | Assurant, Inc., 3.700%, 02/22/2030 | 5,552,952 | 0.1 |
5,689,000 | (1) | Athene Global Funding, 2.800%, 05/26/2023 | 5,929,963 | 0.1 |
3,452,000 | (1) | Athene Global Funding, 2.950%, 11/12/2026 | 3,680,314 | 0.0 |
1,137,000 | (1) | Aviation Capital Group LLC, 3.875%, 05/01/2023 | 1,191,669 | 0.0 |
2,027,000 | (1) | Aviation Capital Group LLC, 4.375%, 01/30/2024 | 2,175,163 | 0.0 |
4,559,000 | (1) | Aviation Capital Group LLC, 5.500%, 12/15/2024 | 5,157,284 | 0.1 |
1,759,000 | (1) | Avolon Holdings Funding Ltd., 2.125%, 02/21/2026 | 1,753,209 | 0.0 |
5,232,000 | (1),(2) | Avolon Holdings Funding Ltd., 2.750%, 02/21/2028 | 5,179,931 | 0.1 |
1,151,000 | (1) | Avolon Holdings Funding Ltd., 2.875%, 02/15/2025 | 1,185,841 | 0.0 |
4,600,000 | (1) | Banco Bradesco SA/Cayman Islands, 3.200%, 01/27/2025 | 4,738,667 | 0.1 |
4,250,000 | | Banco de Bogota SA, 6.250%, 05/12/2026 | 4,659,211 | 0.1 |
3,325,000 | (1),(3) | Banco de Credito del Peru, 3.250%, 09/30/2031 | 3,300,811 | 0.0 |
764,000 | (2) | Banco Nacional de Comercio Exterior SNC/Cayman Islands, 4.375%, 10/14/2025 | 846,050 | 0.0 |
3,750,000 | (1) | Banco Nacional de Panama, 2.500%, 08/11/2030 | 3,636,619 | 0.0 |
1,600,000 | | Banco Santander SA, 1.849%, 03/25/2026 | 1,617,890 | 0.0 |
5,200,000 | | Banco Santander SA, 2.746%, 05/28/2025 | 5,482,162 | 0.1 |
1,600,000 | | Banco Santander SA, 2.958%, 03/25/2031 | 1,649,754 | 0.0 |
4,600,000 | | Banco Santander SA, 3.125%, 02/23/2023 | 4,792,809 | 0.1 |
4,175,000 | | Bancolombia SA, 3.000%, 01/29/2025 | 4,292,944 | 0.0 |
7,100,000 | (1),(3) | Bangkok Bank PCL/Hong Kong, 5.000%, 12/31/2199 | 7,500,653 | 0.1 |
9,365,000 | (3) | Bank of America Corp., 0.981%, 09/25/2025 | 9,363,282 | 0.1 |
5,462,000 | (3) | Bank of America Corp., 1.197%, 10/24/2026 | 5,415,886 | 0.1 |
7,639,000 | (3) | Bank of America Corp., 1.734%, 07/22/2027 | 7,701,896 | 0.1 |
3,180,000 | (3) | Bank of America Corp., 1.898%, 07/23/2031 | 3,094,393 | 0.0 |
3,901,000 | (3) | Bank of America Corp., 1.922%, 10/24/2031 | 3,805,652 | 0.0 |
1,495,000 | (3) | Bank of America Corp., 2.015%, 02/13/2026 | 1,542,068 | 0.0 |
5,660,000 | (3) | Bank of America Corp., 2.087%, 06/14/2029 | 5,711,318 | 0.1 |
7,858,000 | (3) | Bank of America Corp., 2.676%, 06/19/2041 | 7,637,861 | 0.1 |
6,113,000 | (3) | Bank of America Corp., 2.687%, 04/22/2032 | 6,293,135 | 0.1 |
5,000,000 | (3) | Bank of America Corp., 2.884%, 10/22/2030 | 5,271,121 | 0.1 |
3,625,000 | (3) | Bank of America Corp., 3.194%, 07/23/2030 | 3,907,579 | 0.0 |
494,000 | (3) | Bank of America Corp., 3.419%, 12/20/2028 | 538,379 | 0.0 |
2,300,000 | (3) | Bank of America Corp., 3.550%, 03/05/2024 | 2,417,044 | 0.0 |
1,941,000 | | Bank of America Corp., 3.950%, 04/21/2025 | 2,131,677 | 0.0 |
1,718,000 | (3) | Bank of America Corp., 3.970%, 03/05/2029 | 1,938,695 | 0.0 |
2,645,000 | (3) | Bank of America Corp., 4.078%, 04/23/2040 | 3,092,503 | 0.0 |
2,000,000 | (3) | Bank of America Corp., 4.083%, 03/20/2051 | 2,394,703 | 0.0 |
7,307,000 | | Bank of America Corp., 4.183%, 11/25/2027 | 8,190,897 | 0.1 |
4,495,000 | | Bank of America Corp., 4.250%, 10/22/2026 | 5,078,832 | 0.1 |
9,614,000 | (3) | Bank of America Corp., 4.271%, 07/23/2029 | 11,053,233 | 0.1 |
5,594,000 | (3) | Bank of Montreal, 3.803%, 12/15/2032 | 6,174,010 | 0.1 |
2,940,000 | (2) | Bank of Nova Scotia/The, 2.200%, 02/03/2025 | 3,066,643 | 0.0 |
2,417,000 | | Bank of Nova Scotia/The, 2.700%, 08/03/2026 | 2,590,413 | 0.0 |
4,740,000 | (3) | Bank of Nova Scotia/The, 4.900%, 12/31/2199 | 5,214,000 | 0.1 |
3,962,000 | | Bank of Nova Scotia, 4.500%, 12/16/2025 | 4,492,527 | 0.0 |
4,952,000 | (1) | Banque Federative du Credit Mutuel SA, 0.650%, 02/27/2024 | 4,941,058 | 0.1 |
13,595,000 | (1) | Banque Federative du Credit Mutuel SA, 2.375%, 11/21/2024 | 14,211,278 | 0.1 |
6,041,000 | (3) | Barclays PLC, 1.007%, 12/10/2024 | 6,065,258 | 0.1 |
3,687,000 | (3) | Barclays PLC, 3.564%, 09/23/2035 | 3,845,873 | 0.0 |
4,548,000 | (3) | Barclays PLC, 3.932%, 05/07/2025 | 4,912,240 | 0.1 |
2,475,000 | (3) | Barclays PLC, 4.610%, 02/15/2023 | 2,538,635 | 0.0 |
2,575,000 | (2) | Berkshire Hathaway Finance Corp., 1.450%, 10/15/2030 | 2,518,022 | 0.0 |
1,687,000 | | Berkshire Hathaway Finance Corp., 2.850%, 10/15/2050 | 1,687,462 | 0.0 |
3,020,000 | | Berkshire Hathaway Finance Corp., 4.250%, 01/15/2049 | 3,758,967 | 0.0 |
5,406,000 | (1),(3) | BNP Paribas SA, 1.323%, 01/13/2027 | 5,344,447 | 0.1 |
5,150,000 | (1),(3) | BNP Paribas SA, 2.219%, 06/09/2026 | 5,311,266 | 0.1 |
2,641,000 | (1),(3) | BNP Paribas SA, 2.588%, 08/12/2035 | 2,582,707 | 0.0 |
9,060,000 | (1),(3) | BNP Paribas SA, 2.819%, 11/19/2025 | 9,535,637 | 0.1 |
3,742,000 | (1),(3) | BNP Paribas SA, 2.871%, 04/19/2032 | 3,845,577 | 0.0 |
4,499,000 | (1) | BNP Paribas SA, 3.375%, 01/09/2025 | 4,829,168 | 0.1 |
3,062,000 | | Boston Properties L.P., 3.250%, 01/30/2031 | 3,283,135 | 0.0 |
4,875,000 | (1),(3) | BPCE SA, 2.277%, 01/20/2032 | 4,788,525 | 0.1 |
8,130,000 | (1) | BPCE SA, 2.700%, 10/01/2029 | 8,501,212 | 0.1 |
2,094,000 | (1) | BPCE SA, 5.150%, 07/21/2024 | 2,334,080 | 0.0 |
7,020,000 | (1) | BPCE SA, 5.700%, 10/22/2023 | 7,775,714 | 0.1 |
1,394,000 | | Camden Property Trust, 2.800%, 05/15/2030 | 1,479,622 | 0.0 |
11,000,000 | (2) | Canadian Imperial Bank of Commerce, 2.250%, 01/28/2025 | 11,495,273 | 0.1 |
2,002,000 | (2) | Canadian Imperial Bank of Commerce, 3.100%, 04/02/2024 | 2,128,548 | 0.0 |
2,119,000 | | Capital One Financial Corp., 3.650%, 05/11/2027 | 2,354,731 | 0.0 |
3,146,000 | | Capital One Financial Corp., 3.750%, 03/09/2027 | 3,499,269 | 0.0 |
4,091,000 | | CBRE Services, Inc., 2.500%, 04/01/2031 | 4,147,296 | 0.0 |
4,675,000 | | Charles Schwab Corp./The, 1.650%, 03/11/2031 | 4,542,300 | 0.1 |
1,971,000 | | Charles Schwab Corp./The, 2.000%, 03/20/2028 | 2,023,565 | 0.0 |
3,329,000 | (3) | Charles Schwab Corp./The, 5.375%, 12/31/2199 | 3,687,866 | 0.0 |
3,161,000 | | CI Financial Corp., 4.100%, 06/15/2051 | 3,309,891 | 0.0 |
2,459,000 | (3) | Citigroup, Inc., 1.462%, 06/09/2027 | 2,451,319 | 0.0 |
2,787,000 | (3) | Citigroup, Inc., 1.678%, 05/15/2024 | 2,846,575 | 0.0 |
4,426,000 | (2),(3) | Citigroup, Inc., 2.561%, 05/01/2032 | 4,508,579 | 0.1 |
3,170,000 | (3) | Citigroup, Inc., 2.876%, 07/24/2023 | 3,252,006 | 0.0 |
4,915,000 | | Citigroup, Inc., 5.500%, 09/13/2025 | 5,728,152 | 0.1 |
1,147,000 | (1) | Citizens Financial Group, Inc., 4.150%, 09/28/2022 | 1,193,121 | 0.0 |
1,201,000 | | Columbia Property Trust Operating Partnership L.P., 3.650%, 08/15/2026 | 1,267,256 | 0.0 |
638,000 | | Columbia Property Trust Operating Partnership L.P., 4.150%, 04/01/2025 | 687,891 | 0.0 |
2,977,000 | (1) | Commonwealth Bank of Australia, 2.688%, 03/11/2031 | 2,979,234 | 0.0 |
1,520,000 | (1) | Commonwealth Bank of Australia, 3.743%, 09/12/2039 | 1,678,827 | 0.0 |
3,693,000 | (1),(3) | Cooperatieve Rabobank UA, 1.004%, 09/24/2026 | 3,649,062 | 0.0 |
4,027,000 | (1),(3) | Cooperatieve Rabobank UA, 1.339%, 06/24/2026 | 4,046,423 | 0.0 |
6,000,000 | | Cooperatieve Rabobank UA, 3.950%, 11/09/2022 | 6,282,812 | 0.1 |
9,163,000 | | Cooperatieve Rabobank UA, 4.375%, 08/04/2025 | 10,238,735 | 0.1 |
1,500,000 | | Cooperatieve Rabobank UA, 4.625%, 12/01/2023 | 1,640,668 | 0.0 |
2,700,000 | (1) | Corp Financiera de Desarrollo SA, 2.400%, 09/28/2027 | 2,659,027 | 0.0 |
15,084,000 | (1),(3) | Credit Agricole SA/London, 1.907%, 06/16/2026 | 15,386,801 | 0.2 |
3,611,000 | | Credit Suisse AG/New York NY, 1.000%, 05/05/2023 | 3,650,825 | 0.0 |
4,068,000 | (1) | Credit Suisse AG, 6.500%, 08/08/2023 | 4,503,479 | 0.0 |
3,222,000 | (1),(3) | Credit Suisse Group AG, 2.193%, 06/05/2026 | 3,300,762 | 0.0 |
6,870,000 | (1),(3) | Credit Suisse Group AG, 2.997%, 12/14/2023 | 7,096,527 | 0.1 |
8,409,000 | | Credit Suisse Group Funding Guernsey Ltd., 3.800%, 09/15/2022 | 8,752,482 | 0.1 |
1,732,000 | | Crown Castle International Corp., 1.050%, 07/15/2026 | 1,693,196 | 0.0 |
4,910,000 | (1),(3) | Danske Bank A/S, 1.621%, 09/11/2026 | 4,919,520 | 0.1 |
2,005,000 | (1) | Danske Bank A/S, 5.000%, 01/12/2022 | 2,051,683 | 0.0 |
2,407,000 | (1),(3) | Depository Trust & Clearing Corp./The, 3.375%, 12/31/2199 | 2,450,627 | 0.0 |
2,000,000 | (1) | Development Bank of Kazakhstan JSC, 2.950%, 05/06/2031 | 1,994,800 | 0.0 |
2,897,000 | | Discover Bank, 4.250%, 03/13/2026 | 3,254,057 | 0.0 |
2,404,000 | (3) | Discover Bank, 4.682%, 08/09/2028 | 2,555,368 | 0.0 |
1,671,000 | (1) | Empower Finance 2020 L.P., 1.357%, 09/17/2027 | 1,647,351 | 0.0 |
6,000,000 | | ERP Operating L.P., 2.500%, 02/15/2030 | 6,218,137 | 0.1 |
8,087,000 | (1) | Federation des Caisses Desjardins du Quebec, 2.050%, 02/10/2025 | 8,359,675 | 0.1 |
750,000 | | Fondo Mivivienda SA, 3.500%, 01/31/2023 | 775,241 | 0.0 |
2,511,000 | | GE Capital Funding LLC, 4.400%, 05/15/2030 | 2,928,234 | 0.0 |
4,509,000 | | GE Capital International Funding Co. Unlimited Co., 4.418%, 11/15/2035 | 5,411,894 | 0.1 |
4,945,000 | (3) | Goldman Sachs Group, Inc./The, 1.431%, 03/09/2027 | 4,933,186 | 0.1 |
4,913,000 | (3) | Goldman Sachs Group, Inc./The, 1.542%, 09/10/2027 | 4,905,258 | 0.1 |
95,000 | (3) | Goldman Sachs Group, Inc./The, 3.210%, 04/22/2042 | 99,516 | 0.0 |
5,493,000 | | Goldman Sachs Group, Inc., 4.250%, 10/21/2025 | 6,144,820 | 0.1 |
1,680,000 | | Goldman Sachs Group, Inc., 5.150%, 05/22/2045 | 2,252,421 | 0.0 |
792,000 | | Goldman Sachs Group, Inc., 6.750%, 10/01/2037 | 1,155,070 | 0.0 |
3,726,000 | (1) | Guardian Life Global Funding, 1.250%, 11/19/2027 | 3,637,961 | 0.0 |
2,059,000 | | Hartford Financial Services Group, Inc./The, 5.950%, 10/15/2036 | 2,817,110 | 0.0 |
8,475,000 | (1) | HAT Holdings I LLC / HAT Holdings II LLC, 3.375%, 06/15/2026 | 8,549,156 | 0.1 |
3,779,000 | (3) | HSBC Holdings PLC, 1.589%, 05/24/2027 | 3,789,128 | 0.0 |
2,569,000 | (3) | HSBC Holdings PLC, 1.645%, 04/18/2026 | 2,604,702 | 0.0 |
5,105,000 | (3) | HSBC Holdings PLC, 2.013%, 09/22/2028 | 5,125,525 | 0.1 |
6,500,000 | (3) | HSBC Holdings PLC, 2.099%, 06/04/2026 | 6,684,574 | 0.1 |
4,759,000 | (3) | HSBC Holdings PLC, 2.633%, 11/07/2025 | 4,997,353 | 0.1 |
8,523,000 | (3) | HSBC Holdings PLC, 3.262%, 03/13/2023 | 8,696,192 | 0.1 |
2,924,000 | (3) | HSBC Holdings PLC, 3.973%, 05/22/2030 | 3,275,418 | 0.0 |
4,593,000 | (3) | HSBC Holdings PLC, 4.041%, 03/13/2028 | 5,096,849 | 0.1 |
4,085,000 | | HSBC Holdings PLC, 4.300%, 03/08/2026 | 4,610,963 | 0.1 |
4,751,000 | (2),(3) | HSBC Holdings PLC, 4.700%, 12/31/2199 | 4,941,040 | 0.1 |
1,883,000 | | HSBC Holdings PLC, 4.950%, 03/31/2030 | 2,274,744 | 0.0 |
4,831,000 | (3) | HSBC Holdings PLC, 6.000%, 12/31/2199 | 5,374,487 | 0.1 |
6,599,000 | | ING Groep NV, 3.550%, 04/09/2024 | 7,112,199 | 0.1 |
3,483,000 | | Intercontinental Exchange, Inc., 2.650%, 09/15/2040 | 3,326,121 | 0.0 |
3,301,000 | | Intercontinental Exchange, Inc., 3.000%, 06/15/2050 | 3,264,363 | 0.0 |
2,500,000 | (1) | Itau Unibanco Holding SA/Cayman Island, 3.250%, 01/24/2025 | 2,574,375 | 0.0 |
1,200,000 | (1),(3) | Itau Unibanco Holding SA/Cayman Island, 3.875%, 04/15/2031 | 1,195,134 | 0.0 |
6,236,000 | (3) | JPMorgan Chase & Co., 0.969%, 06/23/2025 | 6,246,110 | 0.1 |
3,479,000 | (3) | JPMorgan Chase & Co., 1.040%, 02/04/2027 | 3,423,692 | 0.0 |
8,447,000 | (3) | JPMorgan Chase & Co., 1.953%, 02/04/2032 | 8,210,160 | 0.1 |
6,322,000 | (3) | JPMorgan Chase & Co., 2.069%, 06/01/2029 | 6,377,835 | 0.1 |
3,784,000 | (3) | JPMorgan Chase & Co., 2.182%, 06/01/2028 | 3,877,439 | 0.0 |
5,000,000 | (3) | JPMorgan Chase & Co., 2.301%, 10/15/2025 | 5,210,970 | 0.1 |
6,559,000 | (3) | JPMorgan Chase & Co., 2.522%, 04/22/2031 | 6,754,967 �� | 0.1 |
4,205,000 | (3) | JPMorgan Chase & Co., 2.525%, 11/19/2041 | 4,016,712 | 0.0 |
12,992,000 | (3) | JPMorgan Chase & Co., 2.580%, 04/22/2032 | 13,343,086 | 0.1 |
6,884,000 | (3) | JPMorgan Chase & Co., 3.157%, 04/22/2042 | 7,173,659 | 0.1 |
8,459,000 | (3) | JPMorgan Chase & Co., 3.207%, 04/01/2023 | 8,643,699 | 0.1 |
3,766,000 | (3) | JPMorgan Chase & Co., 3.328%, 04/22/2052 | 4,026,990 | 0.0 |
10,000 | (3) | JPMorgan Chase & Co., 3.559%, 04/23/2024 | 10,547 | 0.0 |
4,270,000 | (3) | JPMorgan Chase & Co., 3.797%, 07/23/2024 | 4,550,761 | 0.1 |
3,700,000 | | JPMorgan Chase & Co., 3.875%, 09/10/2024 | 4,035,071 | 0.0 |
2,423,000 | (3) | JPMorgan Chase & Co., 3.964%, 11/15/2048 | 2,848,894 | 0.0 |
2,825,000 | (3) | JPMorgan Chase & Co., 4.452%, 12/05/2029 | 3,306,087 | 0.0 |
2,200,000 | (3) | JPMorgan Chase & Co., 4.493%, 03/24/2031 | 2,607,744 | 0.0 |
2,990,000 | | Kilroy Realty L.P., 3.450%, 12/15/2024 | 3,193,117 | 0.0 |
2,641,000 | | Kite Realty Group L.P., 4.000%, 10/01/2026 | 2,851,957 | 0.0 |
2,500,000 | (1) | Kookmin Bank, 2.500%, 11/04/2030 | 2,491,425 | 0.0 |
4,485,000 | (1) | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp., 4.750%, 06/15/2029 | 4,490,606 | 0.0 |
2,631,000 | (1) | Liberty Mutual Group, Inc., 3.951%, 10/15/2050 | 2,939,375 | 0.0 |
2,545,000 | (3) | Lloyds Banking Group PLC, 2.438%, 02/05/2026 | 2,655,274 | 0.0 |
2,849,000 | (3) | Lloyds Banking Group PLC, 2.907%, 11/07/2023 | 2,938,356 | 0.0 |
4,164,000 | (1) | LSEGA Financing PLC, 2.500%, 04/06/2031 | 4,271,468 | 0.0 |
5,345,000 | (1) | LSEGA Financing PLC, 3.200%, 04/06/2041 | 5,611,872 | 0.1 |
5,560,000 | | Main Street Capital Corp., 3.000%, 07/14/2026 | 5,718,410 | 0.1 |
4,310,000 | | Main Street Capital Corp., 5.200%, 05/01/2024 | 4,692,978 | 0.1 |
7,183,000 | | Mitsubishi UFJ Financial Group, Inc., 1.412%, 07/17/2025 | 7,254,573 | 0.1 |
4,479,000 | | Mitsubishi UFJ Financial Group, Inc., 2.193%, 02/25/2025 | 4,663,196 | 0.1 |
725,000 | | Mitsubishi UFJ Financial Group, Inc., 2.757%, 09/13/2026 | 772,551 | 0.0 |
2,750,000 | (1),(3) | Mizrahi Tefahot Bank Ltd., 3.077%, 04/07/2031 | 2,789,531 | 0.0 |
5,500,000 | | Mizuho Financial Group Cayman 2 Ltd., 4.200%, 07/18/2022 | 5,703,219 | 0.1 |
5,774,000 | (3) | Mizuho Financial Group, Inc., 1.241%, 07/10/2024 | 5,855,562 | 0.1 |
3,417,000 | (3) | Mizuho Financial Group, Inc., 2.226%, 05/25/2026 | 3,538,602 | 0.0 |
2,726,000 | (3) | Mizuho Financial Group, Inc., 2.555%, 09/13/2025 | 2,856,305 | 0.0 |
660,000 | (1) | Mizuho Financial Group, Inc., 3.477%, 04/12/2026 | 722,010 | 0.0 |
3,912,000 | (3) | Morgan Stanley, 0.790%, 05/30/2025 | 3,900,992 | 0.0 |
5,685,000 | (3) | Morgan Stanley, 1.593%, 05/04/2027 | 5,727,710 | 0.1 |
6,344,000 | (3) | Morgan Stanley, 1.794%, 02/13/2032 | 6,101,159 | 0.1 |
5,414,000 | (3) | Morgan Stanley, 2.188%, 04/28/2026 | 5,623,914 | 0.1 |
1,890,000 | (3) | Morgan Stanley, 3.622%, 04/01/2031 | 2,111,678 | 0.0 |
3,210,000 | | Morgan Stanley, 3.875%, 04/29/2024 | 3,492,733 | 0.0 |
2,750,000 | | Morgan Stanley, 3.875%, 01/27/2026 | 3,075,658 | 0.0 |
3,524,000 | | Morgan Stanley, 4.000%, 07/23/2025 | 3,922,599 | 0.0 |
2,439,000 | (3) | Morgan Stanley, 4.457%, 04/22/2039 | 3,020,686 | 0.0 |
10,040,000 | | MPT Operating Partnership L.P. / MPT Finance Corp., 3.500%, 03/15/2031 | 10,152,900 | 0.1 |
5,050,000 | (1) | National Australia Bank Ltd., 2.332%, 08/21/2030 | 4,908,053 | 0.1 |
3,590,000 | (1),(3) | National Australia Bank Ltd., 3.933%, 08/02/2034 | 3,893,786 | 0.0 |
9,520,000 | (1),(3) | Nationwide Building Society, 4.363%, 08/01/2024 | 10,218,192 | 0.1 |
3,595,000 | (3) | Natwest Group PLC, 3.032%, 11/28/2035 | 3,605,246 | 0.0 |
2,910,000 | (3) | Natwest Group PLC, 3.073%, 05/22/2028 | 3,072,892 | 0.0 |
6,418,000 | | Natwest Group PLC, 3.875%, 09/12/2023 | 6,857,926 | 0.1 |
459,000 | (3) | Natwest Group PLC, 4.269%, 03/22/2025 | 498,139 | 0.0 |
5,954,000 | (3) | Natwest Group PLC, 4.519%, 06/25/2024 | 6,395,103 | 0.1 |
5,075,000 | | Navient Corp., 5.000%, 03/15/2027 | 5,261,506 | 0.1 |
1,000,000 | (1),(3) | NBK Tier 1 Financing 2 Ltd., 4.500%, 12/31/2199 | 1,046,915 | 0.0 |
3,915,000 | (1) | New York Life Global Funding, 2.875%, 04/10/2024 | 4,158,328 | 0.0 |
1,345,000 | (1),(3) | Nordea Bank ABP, 6.125%, 12/31/2199 | 1,482,963 | 0 .0 |
DKK 3 | (4) | Nordea Kredit Realkreditaktieselskab, 6.000%, 07/01/2029 | – | – |
3,885,000 | | Northern Trust Corp., 1.950%, 05/01/2030 | 3,922,535 | 0.0 |
4,918,000 | (1) | Northwestern Mutual Global Funding, 1.700%, 06/01/2028 | 4,927,500 | 0.1 |
4,068,000 | (1) | Northwestern Mutual Life Insurance Co/The, 3.625%, 09/30/2059 | 4,485,680 | 0.0 |
3,295,000 | | Old Republic International Corp., 3.850%, 06/11/2051 | 3,514,842 | 0.0 |
7,860,000 | | ORIX Corp., 3.250%, 12/04/2024 | 8,477,673 | 0.1 |
2,000,000 | (1),(3) | Oversea-Chinese Banking Corp. Ltd., 1.832%, 09/10/2030 | 2,005,520 | 0.0 |
8,396,000 | | Owl Rock Capital Corp., 4.250%, 01/15/2026 | 9,080,555 | 0.1 |
5,456,000 | (1) | Owl Rock Technology Finance Corp., 4.750%, 12/15/2025 | 6,004,974 | 0.1 |
4,906,000 | (1) | Pacific Life Global Funding II, 1.375%, 04/14/2026 | 4,918,428 | 0.1 |
3,412,000 | | Piedmont Operating Partnership L.P., 3.150%, 08/15/2030 | 3,471,020 | 0.0 |
1,580,000 | | Piedmont Operating Partnership L.P., 4.450%, 03/15/2024 | 1,704,331 | 0.0 |
4,970,000 | | Public Storage, 0.875%, 02/15/2026 | 4,931,692 | 0.1 |
4,895,000 | (1) | Quicken Loans LLC / Quicken Loans Co-Issuer, Inc., 3.875%, 03/01/2031 | 4,937,782 | 0.1 |
4,520,000 | (1) | Quicken Loans LLC, 5.250%, 01/15/2028 | 4,751,650 | 0.1 |
3,152,000 | | Regency Centers L.P., 2.950%, 09/15/2029 | 3,322,821 | 0.0 |
3,622,000 | | Regency Centers L.P., 3.700%, 06/15/2030 | 4,013,266 | 0.0 |
1,250,000 | | Retail Opportunity Investments Partnership L.P., 5.000%, 12/15/2023 | 1,352,134 | 0.0 |
3,008,000 | | Retail Properties of America, Inc., 4.750%, 09/15/2030 | 3,339,553 | 0.0 |
3,572,000 | (1) | Scentre Group Trust 1 / Scentre Group Trust 2, 3.625%, 01/28/2026 | 3,907,906 | 0.0 |
1,350,000 | (1),(2),(3) | Shinhan Financial Group Co. Ltd., 2.875%, 12/31/2199 | 1,343,898 | 0.0 |
3,482,000 | | Simon Property Group L.P., 1.750%, 02/01/2028 | 3,466,049 | 0.0 |
5,780,000 | (1) | Skandinaviska Enskilda Banken AB, 0.850%, 09/02/2025 | 5,724,570 | 0.1 |
6,383,000 | (1),(3) | Societe Generale SA, 1.792%, 06/09/2027 | 6,374,974 | 0.1 |
2,815,000 | (1),(2),(3) | Standard Chartered PLC, 1.456%, 01/14/2027 | 2,792,597 | 0 .0 |
6,104,000 | (1),(3) | Standard Chartered PLC, 3.265%, 02/18/2036 | 6,129,273 | 0.1 |
4,770,000 | | Sumitomo Mitsui Financial Group, Inc., 2.142%, 09/23/2030 | 4,659,958 | 0.1 |
3,225,000 | | Sumitomo Mitsui Financial Group, Inc., 2.448%, 09/27/2024 | 3,385,204 | 0.0 |
300,000 | | Sumitomo Mitsui Financial Group, Inc., 3.010%, 10/19/2026 | 324,117 | 0.0 |
3,351,000 | (1) | Sumitomo Mitsui Trust Bank Ltd., 1.050%, 09/12/2025 | 3,333,363 | 0.0 |
3,451,000 | (1),(3) | Svenska Handelsbanken AB, 1.418%, 06/11/2027 | 3,441,724 | 0.0 |
2,115,000 | | Travelers Cos, Inc./The, 3.050%, 06/08/2051 | 2,240,506 | 0.0 |
3,244,000 | | Truist Financial Corp., 1.125%, 08/03/2027 | 3,169,059 | 0.0 |
4,450,000 | (3) | Truist Financial Corp., 1.267%, 03/02/2027 | 4,447,277 | 0.0 |
5,269,000 | (3) | Truist Financial Corp., 1.887%, 06/07/2029 | 5,290,095 | 0.1 |
3,609,000 | (3) | Truist Financial Corp., 5.100%, 12/31/2199 | 4,064,636 | 0.0 |
500,000 | (1) | Turkiye Vakiflar Bankasi TAO, 5.250%, 02/05/2025 | 497,910 | 0.0 |
3,500,000 | (1) | Turkiye Vakiflar Bankasi TAO, 6.500%, 01/08/2026 | 3,594,657 | 0.0 |
3,180,000 | | UBS AG, 5.125%, 05/15/2024 | 3,512,628 | 0.0 |
4,162,000 | (1),(3) | UBS Group AG, 1.008%, 07/30/2024 | 4,193,705 | 0.0 |
3,853,000 | (1),(3) | UBS Group AG, 1.364%, 01/30/2027 | 3,828,912 | 0.0 |
5,650,000 | (1),(3) | UBS Group AG, 2.095%, 02/11/2032 | 5,540,136 | 0.1 |
7,779,000 | (1),(3) | UBS Group AG, 2.859%, 08/15/2023 | 7,984,555 | 0.1 |
3,396,000 | | Unum Group, 4.125%, 06/15/2051 | 3,440,900 | 0.0 |
8,766,000 | (1) | USAA Capital Corp., 2.125%, 05/01/2030 | 8,875,662 | 0.1 |
1,005,000 | | Ventas Realty L.P., 5.700%, 09/30/2043 | 1,334,566 | 0.0 |
5,928,000 | | VEREIT Operating Partnership L.P., 2.200%, 06/15/2028 | 6,024,746 | 0.1 |
5,017,000 | (3) | Wells Fargo & Co., 2.393%, 06/02/2028 | 5,206,565 | 0.1 |
18,935,000 | (3) | Wells Fargo & Co., 2.406%, 10/30/2025 | 19,820,131 | 0.2 |
2,500,000 | (3) | Wells Fargo & Co., 3.068%, 04/30/2041 | 2,569,109 | 0.0 |
6,670,000 | | Wells Fargo & Co., 3.750%, 01/24/2024 | 7,175,646 | 0.1 |
4,723,000 | | Wells Fargo & Co., 4.125%, 08/15/2023 | 5,081,025 | 0.1 |
1,556,000 | | Wells Fargo & Co., 4.750%, 12/07/2046 | 1,973,094 | 0.0 |
4,455,000 | (3) | Wells Fargo Bank NA, 2.082%, 09/09/2022 | 4,470,036 | 0.0 |
4,919,000 | | Westpac Banking Corp., 2.150%, 06/03/2031 | 4,976,428 | 0.1 |
2,270,000 | | Westpac Banking Corp., 2.350%, 02/19/2025 | 2,388,782 | 0.0 |
4,347,000 | | Westpac Banking Corp., 2.963%, 11/16/2040 | 4,281,564 | 0.0 |
3,004,000 | | WP Carey, Inc., 2.400%, 02/01/2031 | 2,994,201 | 0.0 |
6,067,000 | | XLIT Ltd., 4.450%, 03/31/2025 | 6,813,464 | 0.1 |
2,000,000 | | XLIT Ltd., 5.250%, 12/15/2043 | 2,781,191 | 0.0 |
2,296,000 | | XLIT Ltd., 5.500%, 03/31/2045 | 3,124,200 | 0.0 |
750,000 | (1),(3) | Yapi ve Kredi Bankasi AS, 7.875%, 01/22/2031 | 776,550 | 0.0 |
| | | 1,167,285,541 | 11.3 |
| | | | |
| | Industrial: 2.2% |
975,000 | (1) | ATP Tower Holdings LLC / Andean Tower Partners Colombia SAS / Andean Telecom Par, 4.050%, 04/27/2026 | 1,005,128 | 0.0 |
1,590,000 | | Avnet, Inc., 3.000%, 05/15/2031 | 1,586,430 | 0.0 |
3,482,000 | (1) | Berry Global, Inc., 0.950%, 02/15/2024 | 3,489,382 | 0.0 |
4,500,000 | (1) | Berry Global, Inc., 1.650%, 01/15/2027 | 4,466,655 | 0.1 |
5,800,000 | (1) | Berry Global, Inc., 5.625%, 07/15/2027 | 6,141,272 | 0.1 |
3,395,000 | | Boeing Co/The, 3.250%, 02/01/2028 | 3,602,981 | 0.0 |
1,709,000 | | Boeing Co/The, 3.625%, 02/01/2031 | 1,839,905 | 0.0 |
1,269,000 | | Boeing Co/The, 3.850%, 11/01/2048 | 1,306,618 | 0.0 |
3,324,000 | | Boeing Co/The, 4.875%, 05/01/2025 | 3,726,158 | 0.1 |
2,599,000 | | Boeing Co/The, 5.805%, 05/01/2050 | 3,505,638 | 0.0 |
9,445,000 | (1) | Builders FirstSource, Inc., 5.000%, 03/01/2030 | 9,944,263 | 0.1 |
2,560,000 | | Burlington Northern Santa Fe LLC, 3.900%, 08/01/2046 | 3,011,844 | 0.0 |
1,165,000 | | Burlington Northern Santa Fe LLC, 4.450%, 03/15/2043 | 1,467,834 | 0.0 |
2,728,000 | | Burlington Northern Santa Fe LLC, 5.150%, 09/01/2043 | 3,751,928 | 0.1 |
2,682,000 | | Carrier Global Corp., 2.722%, 02/15/2030 | 2,782,927 | 0.0 |
4,460,000 | (1) | Cascades, Inc./Cascades USA, Inc., 5.375%, 01/15/2028 | 4,694,150 | 0.1 |
3,490,000 | (1) | CCL Industries, Inc., 3.050%, 06/01/2030 | 3,668,865 | 0.0 |
2,375,000 | (1),(3) | Cemex SAB de CV, 5.125%, 12/31/2199 | 2,454,444 | 0.0 |
4,350,000 | (1) | Cemex SAB de CV, 5.200%, 09/17/2030 | 4,796,136 | 0.1 |
2,715,000 | | CSX Corp., 4.650%, 03/01/2068 | 3,561,586 | 0.0 |
890,000 | | CSX Corp., 4.500%, 08/01/2054 | 1,123,368 | 0.0 |
1,550,000 | (1) | ENA Master Trust, 4.000%, 05/19/2048 | 1,561,555 | 0.0 |
2,926,604 | | FedEx Corp. 2020-1 Class AA Pass Through Trust, 1.875%, 08/20/2035 | 2,915,221 | 0.0 |
1,428,000 | | FedEx Corp., 3.900%, 02/01/2035 | 1,641,798 | 0.0 |
4,000,000 | | FedEx Corp., 4.050%, 02/15/2048 | 4,602,432 | 0.1 |
2,096,000 | | FedEx Corp., 4.250%, 05/15/2030 | 2,442,531 | 0.0 |
2,647,000 | | FedEx Corp., 4.400%, 01/15/2047 | 3,171,356 | 0.0 |
2,800,000 | | GATX Corp., 4.000%, 06/30/2030 | 3,161,440 | 0.0 |
5,327,000 | | General Dynamics Corp., 3.500%, 04/01/2027 | 5,916,033 | 0.1 |
2,518,000 | (2) | General Electric Co., 3.625%, 05/01/2030 | 2,810,342 | 0.0 |
8,345,000 | (1) | GFL Environmental, Inc., 3.500%, 09/01/2028 | 8,335,862 | 0.1 |
1,755,000 | (1) | GFL Environmental, Inc., 3.750%, 08/01/2025 | 1,805,456 | 0.0 |
1,843,000 | (1) | GXO Logistics, Inc., 1.650%, 07/15/2026 | 1,836,015 | 0.0 |
1,843,000 | (1) | GXO Logistics, Inc., 2.650%, 07/15/2031 | 1,830,504 | 0.0 |
2,000,000 | (1) | Klabin Austria GmbH, 3.200%, 01/12/2031 | 1,968,440 | 0.0 |
3,379,000 | | Norfolk Southern Corp., 3.650%, 08/01/2025 | 3,710,506 | 0.0 |
1,514,000 | | Norfolk Southern Corp., 4.100%, 05/15/2121 | 1,665,176 | 0.0 |
434,000 | | Northrop Grumman Corp., 2.930%, 01/15/2025 | 462,918 | 0.0 |
3,618,000 | (1) | Penske Truck Leasing Co. Lp / PTL Finance Corp., 1.200%, 11/15/2025 | 3,586,185 | 0.0 |
4,922,000 | (1) | Penske Truck Leasing Co. Lp / PTL Finance Corp., 1.700%, 06/15/2026 | 4,959,151 | 0.1 |
2,335,000 | | Raytheon Technologies Corp., 3.200%, 03/15/2024 | 2,484,774 | 0.0 |
3,686,000 | | Raytheon Technologies Corp., 3.500%, 03/15/2027 | 4,068,291 | 0.1 |
211,000 | | Raytheon Technologies Corp., 3.650%, 08/16/2023 | 224,069 | 0.0 |
538,000 | | Raytheon Technologies Corp., 4.450%, 11/16/2038 | 652,877 | 0.0 |
8,741,000 | | Raytheon Technologies Corp., 4.500%, 06/01/2042 | 10,898,225 | 0.1 |
534,000 | | Raytheon Technologies Corp., 5.400%, 05/01/2035 | 706,924 | 0.0 |
506,000 | | Raytheon Technologies Corp., 6.125%, 07/15/2038 | 722,870 | 0.0 |
3,147,000 | | Republic Services, Inc., 1.450%, 02/15/2031 | 2,952,800 | 0.0 |
2,591,000 | | Republic Services, Inc., 1.750%, 02/15/2032 | 2,467,638 | 0.0 |
3,300,000 | (1) | Sealed Air Corp., 4.000%, 12/01/2027 | 3,521,282 | 0.0 |
10,190,000 | (1) | Sensata Technologies, Inc., 3.750%, 02/15/2031 | 10,088,915 | 0.1 |
9,748,000 | | Silgan Holdings, Inc., 4.125%, 02/01/2028 | 10,129,049 | 0.1 |
3,230,000 | (1) | Standard Industries, Inc./NJ, 3.375%, 01/15/2031 | 3,096,149 | 0.0 |
7,120,000 | (1),(2) | Standard Industries, Inc./NJ, 4.375%, 07/15/2030 | 7,363,540 | 0.1 |
4,150,000 | (1) | Summit Materials LLC / Summit Materials Finance Corp., 5.125%, 06/01/2025 | 4,193,368 | 0.1 |
5,735,000 | (1) | Summit Materials LLC / Summit Materials Finance Corp., 5.250%, 01/15/2029 | 6,101,122 | 0.1 |
12,331,000 | | Teledyne Technologies, Inc., 1.600%, 04/01/2026 | 12,369,525 | 0.1 |
5,745,000 | (1) | TTX Co., 3.600%, 01/15/2025 | 6,278,859 | 0.1 |
4,035,000 | | Union Pacific Corp., 3.550%, 05/20/2061 | 4,352,526 | 0.1 |
2,283,000 | | Waste Management, Inc., 1.500%, 03/15/2031 | 2,162,569 | 0.0 |
3,540,000 | | WRKCo, Inc., 3.000%, 06/15/2033 | 3,712,587 | 0.1 |
| | | 228,858,392 | 2.2 |
| | | | |
| | Technology: 2.2% |
562,000 | | Analog Devices, Inc., 3.500%, 12/05/2026 | 624,256 | 0.0 |
4,971,000 | (2) | Apple, Inc., 1.650%, 02/08/2031 | 4,898,472 | 0.1 |
2,605,000 | | Apple, Inc., 2.650%, 05/11/2050 | 2,563,673 | 0.0 |
8,535,000 | | Apple, Inc., 2.650%, 02/08/2051 | 8,361,326 | 0.1 |
10,661,000 | | Apple, Inc., 2.800%, 02/08/2061 | 10,414,039 | 0.1 |
5,087,000 | | Apple, Inc., 3.750%, 09/12/2047 | 6,022,101 | 0.1 |
5,143,000 | | Apple, Inc., 3.750%, 11/13/2047 | 6,034,460 | 0.1 |
963,000 | | Apple, Inc., 4.450%, 05/06/2044 | 1,245,715 | 0.0 |
5,105,000 | | CDW LLC / CDW Finance Corp., 3.250%, 02/15/2029 | 5,178,767 | 0.1 |
2,487,000 | | Citrix Systems, Inc., 1.250%, 03/01/2026 | 2,457,712 | 0.0 |
2,143,000 | | Dell International LLC / EMC Corp., 6.020%, 06/15/2026 | 2,573,892 | 0.0 |
2,695,000 | | Fiserv, Inc., 2.750%, 07/01/2024 | 2,844,126 | 0.0 |
9,701,000 | | Fiserv, Inc., 3.500%, 07/01/2029 | 10,684,011 | 0.1 |
3,653,000 | (1) | HP, Inc., 1.450%, 06/17/2026 | 3,630,220 | 0.0 |
2,895,000 | | HP, Inc., 4.050%, 09/15/2022 | 3,022,373 | 0.0 |
2,139,000 | (1) | Infor, Inc., 1.450%, 07/15/2023 | 2,164,660 | 0.0 |
1,975,000 | | Intel Corp., 3.100%, 02/15/2060 | 2,024,106 | 0.0 |
12,903,000 | | Intel Corp., 3.250%, 11/15/2049 | 13,762,019 | 0.1 |
2,590,000 | | Intel Corp., 4.950%, 03/25/2060 | 3,665,969 | 0.0 |
7,595,000 | | International Business Machines Corp., 3.300%, 05/15/2026 | 8,360,076 | 0.1 |
5,058,000 | | International Business Machines Corp., 3.500%, 05/15/2029 | 5,665,102 | 0.1 |
9,650,000 | (1) | J2 Global, Inc., 4.625%, 10/15/2030 | 10,002,707 | 0.1 |
5,223,000 | | Microchip Technology, Inc., 2.670%, 09/01/2023 | 5,442,729 | 0.1 |
6,701,000 | | Microsoft Corp., 2.400%, 08/08/2026 | 7,147,860 | 0.1 |
9,677,000 | | Microsoft Corp., 2.921%, 03/17/2052 | 10,288,119 | 0.1 |
2,332,000 | | NetApp, Inc., 1.875%, 06/22/2025 | 2,399,363 | 0.0 |
7,006,000 | | NVIDIA Corp., 1.550%, 06/15/2028 | 6,984,313 | 0.1 |
6,881,000 | | NVIDIA Corp., 2.000%, 06/15/2031 | 6,897,417 | 0.1 |
4,533,000 | (1) | NXP BV / NXP Funding LLC, 5.350%, 03/01/2026 | 5,292,514 | 0.1 |
2,761,000 | (1) | NXP BV / NXP Funding LLC / NXP USA, Inc., 3.400%, 05/01/2030 | 3,017,841 | 0.0 |
9,810,000 | (1) | ON Semiconductor Corp., 3.875%, 09/01/2028 | 10,119,849 | 0.1 |
2,948,000 | | Oracle Corp., 3.650%, 03/25/2041 | 3,130,837 | 0.0 |
370,000 | | Oracle Corp., 3.850%, 07/15/2036 | 407,599 | 0.0 |
2,443,000 | | Oracle Corp., 3.950%, 03/25/2051 | 2,669,716 | 0.0 |
8,841,000 | | Oracle Corp., 4.000%, 11/15/2047 | 9,660,703 | 0.1 |
2,498,000 | | Roper Technologies, Inc., 1.400%, 09/15/2027 | 2,459,193 | 0.0 |
4,724,000 | | salesforce.com, Inc., 1.950%, 07/15/2031 | 4,735,351 | 0.1 |
3,601,000 | | salesforce.com, Inc., 2.700%, 07/15/2041 | 3,629,566 | 0.0 |
2,462,000 | | salesforce.com, Inc., 2.900%, 07/15/2051 | 2,498,338 | 0.0 |
4,032,000 | | salesforce.com, Inc., 3.050%, 07/15/2061 | 4,108,876 | 0.1 |
10,360,000 | (1) | Seagate HDD Cayman, 3.375%, 07/15/2031 | 10,025,009 | 0.1 |
2,755,000 | (1) | TSMC Global Ltd., 0.750%, 09/28/2025 | 2,697,299 | 0.0 |
2,915,000 | (1),(2) | TSMC Global Ltd., 1.000%, 09/28/2027 | 2,808,330 | 0.0 |
| | | 222,620,604 | 2.2 |
| | | | |
| | Utilities: 4.2% |
1,059,000 | | AEP Texas, Inc., 3.450%, 01/15/2050 | 1,099,285 | 0.0 |
3,671,000 | (1) | AEP Texas, Inc., 3.850%, 10/01/2025 | 4,021,733 | 0.1 |
2,870,000 | (1) | AES Corp./The, 1.375%, 01/15/2026 | 2,843,210 | 0.0 |
3,943,000 | (1) | AES Corp./The, 3.950%, 07/15/2030 | 4,324,052 | 0.1 |
2,480,000 | | Alabama Power Co., 3.450%, 10/01/2049 | 2,700,371 | 0.0 |
10,755,000 | (1) | Alliant Energy Finance LLC, 3.750%, 06/15/2023 | 11,399,324 | 0.1 |
3,136,000 | | American Electric Power Co., Inc., 3.250%, 03/01/2050 | 3,164,162 | 0.0 |
7,500,000 | (1) | American Transmission Systems, Inc., 5.000%, 09/01/2044 | 9,641,558 | 0.1 |
5,385,000 | (1) | American Transmission Systems, Inc., 5.250%, 01/15/2022 | 5,514,591 | 0.1 |
2,812,000 | | Appalachian Power Co., 2.700%, 04/01/2031 | 2,910,131 | 0.0 |
2,011,000 | | Appalachian Power Co., 3.700%, 05/01/2050 | 2,224,559 | 0.0 |
2,595,000 | | Arizona Public Service Co., 4.200%, 08/15/2048 | 3,144,676 | 0.0 |
9,776,000 | | Avangrid, Inc., 3.200%, 04/15/2025 | 10,507,093 | 0.1 |
3,422,000 | | Baltimore Gas and Electric Co., 2.250%, 06/15/2031 | 3,459,041 | 0.0 |
2,510,000 | (2) | Baltimore Gas and Electric Co., 3.200%, 09/15/2049 | 2,637,018 | 0.0 |
3,953,000 | (2) | Berkshire Hathaway Energy Co., 1.650%, 05/15/2031 | 3,802,327 | 0.1 |
3,615,000 | | Black Hills Corp., 2.500%, 06/15/2030 | 3,685,939 | 0.0 |
3,250,000 | | Black Hills Corp., 3.050%, 10/15/2029 | 3,466,745 | 0.0 |
1,720,000 | | Black Hills Corp., 4.250%, 11/30/2023 | 1,849,211 | 0.0 |
2,750,000 | | Black Hills Corp., 4.350%, 05/01/2033 | 3,206,748 | 0.0 |
566,000 | | CenterPoint Energy Houston Electric LLC, 3.550%, 08/01/2042 | 636,662 | 0.0 |
4,000,000 | (1) | Centrais Eletricas Brasileiras SA, 3.625%, 02/04/2025 | 4,128,240 | 0.1 |
2,166,000 | (1) | Cleveland Electric Illuminating Co/The, 3.500%, 04/01/2028 | 2,319,097 | 0.0 |
3,430,000 | (3) | CMS Energy Corp., 3.750%, 12/01/2050 | 3,493,626 | 0.0 |
5,860,000 | (3) | CMS Energy Corp., 4.750%, 06/01/2050 | 6,544,887 | 0.1 |
2,519,000 | | Commonwealth Edison Co., 3.750%, 08/15/2047 | 2,923,706 | 0.0 |
1,864,000 | | Consolidated Edison Co. of New York, Inc., 4.000%, 11/15/2057 | 2,114,662 | 0.0 |
2,591,000 | | Consolidated Edison Co. of New York, Inc., 4.625%, 12/01/2054 | 3,270,253 | 0.0 |
831,000 | | Consolidated Edison Co. of New York, Inc., 5.300%, 03/01/2035 | 1,055,167 | 0.0 |
4,865,000 | (3) | Dominion Energy, Inc., 4.650%, 12/31/2199 | 5,181,225 | 0.1 |
1,476,000 | | DTE Electric Co., 1.900%, 04/01/2028 | 1,499,853 | 0.0 |
1,476,000 | | DTE Electric Co., 3.250%, 04/01/2051 | 1,603,656 | 0.0 |
1,790,000 | | DTE Electric Co., 3.950%, 03/01/2049 | 2,170,782 | 0.0 |
1,210,000 | | DTE Electric Co., 4.050%, 05/15/2048 | 1,475,479 | 0.0 |
6,817,000 | | DTE Energy Co., 1.050%, 06/01/2025 | 6,818,368 | 0.1 |
1,472,000 | | Duke Energy Carolinas LLC, 2.550%, 04/15/2031 | 1,529,666 | 0.0 |
1,539,000 | | Duke Energy Carolinas LLC, 2.950%, 12/01/2026 | 1,667,223 | 0.0 |
2,322,000 | | Duke Energy Carolinas LLC, 3.200%, 08/15/2049 | 2,439,526 | 0.0 |
2,340,000 | | Duke Energy Carolinas LLC, 3.700%, 12/01/2047 | 2,642,442 | 0.0 |
2,185,000 | | Duke Energy Carolinas LLC, 4.000%, 09/30/2042 | 2,582,609 | 0.0 |
2,155,000 | (3) | Duke Energy Corp., 4.875%, 12/31/2199 | 2,295,075 | 0.0 |
3,383,000 | | Duke Energy Indiana LLC, 2.750%, 04/01/2050 | 3,284,176 | 0.0 |
3,500,000 | | Duke Energy Indiana LLC, 3.250%, 10/01/2049 | 3,713,003 | 0.1 |
1,200,000 | | Duke Energy Indiana LLC, 3.750%, 05/15/2046 | 1,349,984 | 0.0 |
1,890,000 | | Duke Energy Ohio, Inc., 2.125%, 06/01/2030 | 1,900,284 | 0.0 |
2,588,000 | | Duke Energy Ohio, Inc., 3.700%, 06/15/2046 | 2,903,116 | 0.0 |
3,723,000 | | Duke Energy Progress LLC, 3.700%, 10/15/2046 | 4,223,036 | 0.1 |
4,000,000 | | Duke Energy Progress LLC, 4.100%, 05/15/2042 | 4,712,467 | 0.1 |
3,677,000 | | Duke Energy Progress LLC, 4.200%, 08/15/2045 | 4,442,522 | 0.1 |
2,390,000 | (1) | Duquesne Light Holdings, Inc., 2.532%, 10/01/2030 | 2,352,837 | 0.0 |
3,391,000 | | Entergy Arkansas LLC, 2.650%, 06/15/2051 | 3,223,493 | 0.0 |
4,202,000 | | Entergy Corp., 0.900%, 09/15/2025 | 4,149,721 | 0.1 |
3,955,000 | | Entergy Corp., 2.400%, 06/15/2031 | 3,951,949 | 0.1 |
1,869,000 | | Entergy Corp., 2.800%, 06/15/2030 | 1,948,770 | 0.0 |
1,758,000 | | Entergy Louisiana LLC, 2.900%, 03/15/2051 | 1,737,014 | 0.0 |
6,480,000 | | Entergy Louisiana LLC, 4.050%, 09/01/2023 | 6,892,550 | 0.1 |
5,263,000 | | Entergy Louisiana LLC, 4.200%, 04/01/2050 | 6,463,605 | 0.1 |
464,000 | | Entergy Mississippi LLC, 3.100%, 07/01/2023 | 482,843 | 0.0 |
2,421,000 | | Entergy Mississippi LLC, 3.500%, 06/01/2051 | 2,658,568 | 0.0 |
2,172,000 | | Entergy Texas, Inc., 4.000%, 03/30/2029 | 2,453,652 | 0.0 |
2,882,000 | | Evergy Kansas Central, Inc., 3.250%, 09/01/2049 | 3,059,176 | 0.0 |
2,520,000 | | Evergy Metro, Inc., 2.250%, 06/01/2030 | 2,568,710 | 0.0 |
2,943,000 | | Eversource Energy, 0.800%, 08/15/2025 | 2,912,961 | 0.0 |
2,871,000 | (2) | Eversource Energy, 3.450%, 01/15/2050 | 3,031,868 | 0.0 |
1,060,000 | | Exelon Corp., 4.050%, 04/15/2030 | 1,208,536 | 0.0 |
1,585,000 | | Exelon Corp., 4.700%, 04/15/2050 | 2,006,639 | 0.0 |
1,725,000 | | Fortis, Inc./Canada, 3.055%, 10/04/2026 | 1,852,201 | 0.0 |
3,055,000 | | Georgia Power Co., 2.200%, 09/15/2024 | 3,181,349 | 0.0 |
2,124,000 | | Georgia Power Co., 5.750%, 04/15/2023 | 2,301,413 | 0.0 |
1,444,000 | | Idaho Power Co., 4.200%, 03/01/2048 | 1,761,462 | 0.0 |
5,355,000 | | Indiana Michigan Power Co., 3.250%, 05/01/2051 | 5,623,484 | 0.1 |
6,060,000 | | Inkia Energy Ltd., 5.875%, 11/09/2027 | 6,270,161 | 0.1 |
2,870,000 | | Interstate Power and Light Co., 2.300%, 06/01/2030 | 2,916,236 | 0.0 |
4,400,000 | | Interstate Power and Light Co., 3.250%, 12/01/2024 | 4,736,927 | 0.1 |
3,462,000 | | IPALCO Enterprises, Inc., 4.250%, 05/01/2030 | 3,898,140 | 0.1 |
1,579,000 | (1) | Jersey Central Power & Light Co., 2.750%, 03/01/2032 | 1,606,448 | 0.0 |
3,199,000 | (1) | Jersey Central Power & Light Co., 4.300%, 01/15/2026 | 3,543,511 | 0.0 |
3,950,000 | (1) | Kallpa Generacion SA, 4.125%, 08/16/2027 | 4,064,471 | 0.1 |
1,423,000 | | Kentucky Utilities Co., 3.300%, 06/01/2050 | 1,507,807 | 0.0 |
1,950,000 | (1) | Metropolitan Edison Co., 3.500%, 03/15/2023 | 2,019,457 | 0.0 |
4,552,000 | | Mississippi Power Co., 4.250%, 03/15/2042 | 5,389,094 | 0.1 |
271,000 | | Mississippi Power Co., 4.750%, 10/15/2041 | 315,094 | 0.0 |
2,460,000 | (1) | Monongahela Power Co., 3.550%, 05/15/2027 | 2,715,284 | 0.0 |
3,392,000 | (1) | Narragansett Electric Co/The, 3.395%, 04/09/2030 | 3,720,542 | 0.1 |
5,417,000 | | National Rural Utilities Cooperative Finance Corp., 2.400%, 03/15/2030 | 5,595,974 | 0.1 |
2,880,000 | (3) | National Rural Utilities Cooperative Finance Corp., 4.750%, 04/30/2043 | 3,016,090 | 0.0 |
2,635,000 | | NextEra Energy Capital Holdings, Inc., 1.900%, 06/15/2028 | 2,667,532 | 0.0 |
5,049,000 | | NextEra Energy Capital Holdings, Inc., 3.150%, 04/01/2024 | 5,369,019 | 0.1 |
6,227,000 | | NiSource, Inc., 0.950%, 08/15/2025 | 6,180,970 | 0.1 |
6,788,000 | (2) | NiSource, Inc., 3.600%, 05/01/2030 | 7,525,236 | 0.1 |
1,453,000 | | NiSource, Inc., 5.950%, 06/15/2041 | 2,043,348 | 0.0 |
1,310,000 | (1) | NRG Energy, Inc., 3.375%, 02/15/2029 | 1,286,433 | 0.0 |
3,375,000 | (1) | NRG Energy, Inc., 3.625%, 02/15/2031 | 3,320,831 | 0.0 |
2,992,000 | | Oglethorpe Power Corp., 3.750%, 08/01/2050 | 3,171,994 | 0.0 |
7,408,000 | | ONE Gas, Inc., 1.100%, 03/11/2024 | 7,413,380 | 0.1 |
1,861,000 | | Pacific Gas and Electric Co., 4.250%, 03/15/2046 | 1,778,141 | 0.0 |
4,188,000 | | Pacific Gas and Electric Co., 4.300%, 03/15/2045 | 4,035,665 | 0.1 |
2,484,000 | | Pacific Gas and Electric Co., 4.450%, 04/15/2042 | 2,465,994 | 0.0 |
1,138,000 | | PECO Energy Co., 4.150%, 10/01/2044 | 1,385,377 | 0.0 |
750,000 | (1) | Perusahaan Listrik Negara PT, 5.375%, 01/25/2029 | 874,571 | 0.0 |
2,675,000 | | Perusahaan Listrik Negara PT, 5.450%, 05/21/2028 | 3,124,734 | 0.0 |
4,500,000 | (1) | Perusahaan Listrik Negara PT, 5.450%, 05/21/2028 | 5,256,562 | 0.1 |
2,035,000 | | Piedmont Natural Gas Co., Inc., 3.350%, 06/01/2050 | 2,103,132 | 0.0 |
1,200,000 | (1) | Promigas SA ESP / Gases del Pacifico SAC, 3.750%, 10/16/2029 | 1,193,970 | 0.0 |
2,889,000 | | Public Service Enterprise Group, Inc., 0.800%, 08/15/2025 | 2,859,531 | 0.0 |
2,541,000 | | Public Service Enterprise Group, Inc., 1.600%, 08/15/2030 | 2,411,401 | 0.0 |
3,937,000 | | Sempra Energy, 3.800%, 02/01/2038 | 4,382,383 | 0.1 |
3,344,000 | (3) | Sempra Energy, 4.875%, 12/31/2199 | 3,636,600 | 0.0 |
5,750,000 | | Sierra Pacific Power Co., 2.600%, 05/01/2026 | 6,117,261 | 0.1 |
5,098,000 | | South Jersey Industries, Inc., 5.020%, 04/15/2031 | 5,404,367 | 0.1 |
435,000 | | Southern California Edison Co., 2.400%, 02/01/2022 | 438,736 | 0.0 |
1,570,000 | (2) | Southern California Edison Co., 3.650%, 02/01/2050 | 1,573,032 | 0.0 |
813,000 | | Southern California Edison Co., 4.050%, 03/15/2042 | 876,812 | 0.0 |
1,444,000 | | Southern Co. Gas Capital Corp., 4.400%, 05/30/2047 | 1,704,179 | 0.0 |
1,680,000 | | Southern Co. Gas Capital Corp., 5.875%, 03/15/2041 | 2,321,550 | 0.0 |
6,902,000 | (3) | Southern Co/The, 3.750%, 09/15/2051 | 6,954,800 | 0.1 |
4,975,000 | (3) | Southern Co/The, 4.000%, 01/15/2051 | 5,273,500 | 0.1 |
4,444,000 | | Southwestern Electric Power Co., 1.650%, 03/15/2026 | 4,501,723 | 0.1 |
1,709,000 | | Tampa Electric Co., 4.350%, 05/15/2044 | 2,079,128 | 0.0 |
1,710,000 | | Tucson Electric Power Co., 4.850%, 12/01/2048 | 2,208,249 | 0.0 |
3,623,000 | | Tucson Electric Power Co., 1.500%, 08/01/2030 | 3,446,620 | 0.0 |
2,260,000 | | Union Electric Co., 3.900%, 09/15/2042 | 2,616,861 | 0.0 |
1,915,000 | | Virginia Electric and Power Co., 3.450%, 09/01/2022 | 1,968,870 | 0.0 |
5,165,000 | | Virginia Electric and Power Co., 3.800%, 09/15/2047 | 5,964,337 | 0.1 |
2,276,000 | | Washington Gas Light Co., 3.650%, 09/15/2049 | 2,561,475 | 0.0 |
4,673,000 | | WEC Energy Group, Inc., 1.375%, 10/15/2027 | 4,569,240 | 0.1 |
2,633,000 | | Wisconsin Electric Power Co., 1.700%, 06/15/2028 | 2,643,621 | 0.0 |
3,590,000 | | Wisconsin Public Service Corp., 3.671%, 12/01/2042 | 4,070,343 | 0.1 |
| | | 429,442,111 | 4.2 |
| | | | |
| Total Corporate Bonds/Notes | | |
| (Cost $3,814,457,885) | 3,978,286,814 | 38.6 |
| | | |
COLLATERALIZED MORTGAGE OBLIGATIONS: 15.8% | |
609,633 | (1),(3) | Agate Bay Mortgage Trust 2014-2 B4, 3.886%, 09/25/2044 | 614,842 | 0.0 |
2,399,899 | | Alternative Loan Trust 2004-J7 MI, 1.112%, (US0001M + 1.020%), 10/25/2034 | 2,361,069 | 0.0 |
2,225,467 | | Alternative Loan Trust 2005-10CB 1A1, 0.592%, (US0001M + 0.500%), 05/25/2035 | 1,819,140 | 0.0 |
1,933,150 | | Alternative Loan Trust 2005-51 3A2A, 1.406%, (12MTA + 1.290%), 11/20/2035 | 1,821,846 | 0.0 |
550,562 | | Alternative Loan Trust 2005-65CB 2A4, 5.500%, 12/25/2035 | 505,486 | 0.0 |
688,771 | | Alternative Loan Trust 2005-6CB 1A3, 5.250%, 04/25/2035 | 668,118 | 0.0 |
1,355,549 | | Alternative Loan Trust 2005-J2 1A12, 0.492%, (US0001M + 0.400%), 04/25/2035 | 1,134,785 | 0.0 |
680,696 | | Alternative Loan Trust 2006-13T1 A9, 6.000%, 05/25/2036 | 460,491 | 0.0 |
141,127 | | Alternative Loan Trust 2006-18CB A10, 0.492%, (US0001M + 0.400%), 07/25/2036 | 69,614 | 0.0 |
862,221 | | Alternative Loan Trust 2006-19CB A28, 0.692%, (US0001M + 0.600%), 08/25/2036 | 465,997 | 0.0 |
731,799 | | Alternative Loan Trust 2006-HY11 A1, 0.332%, (US0001M + 0.120%), 06/25/2036 | 710,325 | 0.0 |
979,168 | | Alternative Loan Trust 2007-23CB A3, 0.592%, (US0001M + 0.500%), 09/25/2037 | 424,559 | 0.0 |
2,319,919 | | Alternative Loan Trust 2007-2CB 2A1, 0.692%, (US0001M + 0.600%), 03/25/2037 | 1,138,250 | 0.0 |
946,336 | | Alternative Loan Trust 2007-3T1 1A11, 6.000%, 04/25/2037 | 629,379 | 0.0 |
919,395 | | Alternative Loan Trust 2007-8CB A3, 0.592%, (US0001M + 0.500%), 05/25/2037 | 461,138 | 0.0 |
1,921,445 | | American Home Mortgage Assets Trust 2007-4 A4, 0.382%, (US0001M + 0.290%), 08/25/2037 | 1,831,015 | 0.0 |
1,666,460 | (1),(3) | Arroyo Mortgage Trust 2019-3 A3, 3.416%, 10/25/2048 | 1,691,657 | 0.0 |
730,499 | | Banc of America Funding 2007-2 1A16 Trust, 0.692%, (US0001M + 0.600%), 03/25/2037 | 569,570 | 0.0 |
870,287 | (5) | Banc of America Mortgage 2007-2 A8 Trust, 6.000%, 05/25/2037 | 96,338 | 0.0 |
1,021,577 | (3) | Bear Stearns ALT-A Trust 2005-4 23A1, 2.624%, 05/25/2035 | 1,047,094 | 0.0 |
1,334,838 | (3) | Bear Stearns ALT-A Trust 2005-7 21A1, 2.816%, 09/25/2035 | 1,245,539 | 0.0 |
2,866,216 | | Bear Stearns Mortgage Funding Trust 2006-AR5 2A1, 0.282%, (US0001M + 0.190%), 01/25/2037 | 2,674,628 | 0.0 |
2,000,000 | (1) | Bellemeade Re 2019-1A M2 Ltd., 2.792%, (US0001M + 2.700%), 03/25/2029 | 2,007,506 | 0.0 |
5,543,732 | (1) | Bellemeade Re 2020-4 M2A Ltd., 2.692%, (US0001M + 2.600%), 06/25/2030 | 5,549,435 | 0.1 |
1,858,192 | (1),(3) | Chase Mortgage Finance Corp. 2019-1 B2, 3.945%, 03/25/2050 | 1,909,578 | 0.0 |
2,172,001 | (1),(3) | Chase Mortgage Finance Corp. 2019-1 B3, 3.945%, 03/25/2050 | 2,241,728 | 0.0 |
1,314,751 | (3) | CHL Mortgage Pass-Through Trust 2004-22 A3, 2.800%, 11/25/2034 | 1,330,743 | 0.0 |
532,187 | | CHL Mortgage Pass-Through Trust 2007-7 A7, 5.750%, 06/25/2037 | 389,007 | 0.0 |
404,113 | (1),(3) | CIM Trust 2019-INV1 A1, 4.000%, 02/25/2049 | 410,348 | 0.0 |
559,043 | (1),(3) | CIM Trust 2019-INV3 A3, 3.500%, 08/25/2049 | 569,864 | 0.0 |
1,636,079 | (1),(3) | CIM Trust 2019-J1 1A2, 3.500%, 08/25/2049 | 1,650,945 | 0.0 |
2,890,225 | (1),(3) | CIM Trust 2019-J2 B2, 3.825%, 10/25/2049 | 2,999,284 | 0.0 |
963,408 | (1),(3) | CIM Trust 2019-J2 B3, 3.825%, 10/25/2049 | 989,487 | 0.0 |
2,600,000 | (1),(3) | CIM Trust 2019-R5 M2, 3.250%, 09/25/2059 | 2,721,136 | 0.0 |
3,224,667 | (1),(3) | CIM Trust 2020-J1 B3, 3.470%, 07/25/2050 | 3,291,984 | 0.1 |
3,129,791 | (1),(3) | CIM Trust 2020-J2 A19, 2.500%, 01/25/2051 | 3,159,439 | 0.0 |
1,033,863 | | Citicorp Mortgage Securities Trust Series 2006-3 1A4, 6.000%, 06/25/2036 | 1,040,233 | 0.0 |
992,509 | (3) | Citigroup Mortgage Loan Trust 2006-AR9 2A, 3.133%, 11/25/2036 | 918,053 | 0.0 |
428,248 | (3) | Citigroup Mortgage Loan Trust 2007-10 22AA, 3.234%, 09/25/2037 | 423,925 | 0.0 |
1,313,534 | (1),(3) | Citigroup Mortgage Loan Trust 2015-A B2, 4.500%, 06/25/2058 | 1,381,904 | 0.0 |
1,992,774 | (1),(3) | Citigroup Mortgage Loan Trust 2021-J1 A4A, 2.500%, 04/25/2051 | 2,005,275 | 0.0 |
1,000,000 | (1),(3) | Citigroup Mortgage Loan Trust 2021-J2 A4A, 2.500%, 07/25/2051 | 1,006,875 | 0.0 |
1,404,000 | (1),(3) | Citigroup Mortgage Loan Trust 2021-J2 B2W, 2.781%, 07/25/2051 | 1,409,317 | 0.0 |
1,578,000 | (1),(3) | Citigroup Mortgage Loan Trust 2021-J2 B3W, 2.781%, 07/25/2051 | 1,561,583 | 0.0 |
795,917 | (1),(3) | COLT 2019-4 A3 Mortgage Loan Trust, 2.988%, 11/25/2049 | 799,885 | 0.0 |
6,588,232 | (1) | Connecticut Avenue Securities Trust 2020-R02 2M2, 2.092%, (US0001M + 2.000%), 01/25/2040 | 6,624,043 | 0.1 |
480,186 | | Countrywide Alternative Loan Trust 2005-53T2 2A6, 0.592%, (US0001M + 0.500%), 11/25/2035 | 265,251 | 0.0 |
4,110,234 | | Countrywide Asset-Backed Certificates 2005-IM1 M1, 0.812%, (US0001M + 0.720%), 11/25/2035 | 4,063,643 | 0.1 |
1,255,986 | (1) | CSMC Series 2008-2R 1A1, 6.000%, 07/25/2037 | 1,207,162 | 0.0 |
1,125,840 | (1),(3) | CSMC Trust 2015-2 B3, 3.919%, 02/25/2045 | 1,147,785 | 0.0 |
1,000,000 | (1),(3) | Deephaven Residential Mortgage Trust 2019-4 M1, 3.484%, 10/25/2059 | 1,004,424 | 0.0 |
3,500,000 | (1),(3) | Deephaven Residential Mortgage Trust 2020-1 M1, 3.010%, 01/25/2060 | 3,511,689 | 0.1 |
68,775,604 | (3),(5) | Deutsche ALT-A Securities, Inc. ALT 07-AB1 X, 0.775%, 04/25/2037 | 2,773,390 | 0.0 |
800,000 | (1) | Fannie Mae Connecticut Avenue Securities Trust 2020-SBT1 1M2, 3.742%, (US0001M + 3.650%), 02/25/2040 | 827,496 | 0.0 |
3,237,467 | (5) | Fannie Mae 2008-12 SC, 6.259%, (-1.000*US0001M + 6.350%), 03/25/2038 | 679,573 | 0.0 |
8,841,421 | | Fannie Mae 2011-99 CZ, 4.500%, 10/25/2041 | 10,285,016 | 0.1 |
710,261 | | Fannie Mae 2012-110 CA, 3.000%, 10/25/2042 | 753,801 | 0.0 |
5,919,751 | | Fannie Mae 2012-66 EP, 4.000%, 06/25/2042 | 6,881,547 | 0.1 |
2,084,176 | | Fannie Mae 2013-116 UB, 4.000%, 11/25/2043 | 2,224,312 | 0.0 |
2,848,107 | | Fannie Mae 2013-20 DL, 4.000%, 03/25/2033 | 3,139,919 | 0.0 |
21,166,651 | (5) | Fannie Mae 2016-82 SD, 5.959%, (-1.000*US0001M + 6.050%), 11/25/2046 | 4,404,077 | 0.1 |
2,373,589 | | Fannie Mae 2016-88 EA, 3.500%, 01/25/2045 | 2,471,513 | 0.0 |
12,758,896 | (5) | Fannie Mae 2018-86 US, 6.499%, (-1.000*US0001M + 6.590%), 09/25/2040 | 2,949,914 | 0.0 |
3,662,684 | | Fannie Mae Connecticut Avenue Securities 2015-C02 1M2, 4.092%, (US0001M + 4.000%), 05/25/2025 | 3,742,910 | 0.1 |
50,550 | | Fannie Mae Connecticut Avenue Securities 2015-C02 2M2, 4.092%, (US0001M + 4.000%), 05/25/2025 | 51,200 | 0.0 |
7,084,738 | | Fannie Mae Connecticut Avenue Securities 2015-C04 2M2, 5.642%, (US0001M + 5.550%), 04/25/2028 | 7,509,413 | 0.1 |
1,643,061 | | Fannie Mae Connecticut Avenue Securities 2015-CO1 1M2, 4.392%, (US0001M + 4.300%), 02/25/2025 | 1,683,559 | 0.0 |
380,318 | | Fannie Mae Connecticut Avenue Securities 2016-C01 2M2, 7.042%, (US0001M + 6.950%), 08/25/2028 | 403,688 | 0.0 |
2,465,734 | | Fannie Mae Connecticut Avenue Securities 2017-C01 1M2, 3.642%, (US0001M + 3.550%), 07/25/2029 | 2,562,298 | 0.0 |
12,146,211 | | Fannie Mae Connecticut Avenue Securities 2017-C02 2M2, 3.742%, (US0001M + 3.650%), 09/25/2029 | 12,597,518 | 0.1 |
4,606,535 | | Fannie Mae Connecticut Avenue Securities 2017-C03 1M2, 3.092%, (US0001M + 3.000%), 10/25/2029 | 4,754,525 | 0.1 |
10,690,313 | | Fannie Mae Connecticut Avenue Securities 2017-C04 2M2, 2.942%, (US0001M + 2.850%), 11/25/2029 | 10,966,448 | 0.1 |
8,251,092 | | Fannie Mae Connecticut Avenue Securities 2017-C06 1M2, 2.742%, (US0001M + 2.650%), 02/25/2030 | 8,391,425 | 0.1 |
5,746,689 | | Fannie Mae Connecticut Avenue Securities 2017-C07 2M2, 2.592%, (US0001M + 2.500%), 05/25/2030 | 5,822,585 | 0.1 |
7,755,176 | | Fannie Mae Connecticut Avenue Securities 2017-CO6 2M2, 2.892%, (US0001M + 2.800%), 02/25/2030 | 7,937,789 | 0.1 |
722,321 | | Fannie Mae Connecticut Avenue Securities 2018-C04 2M2, 2.642%, (US0001M + 2.550%), 12/25/2030 | 736,031 | 0.0 |
9,126,658 | | Fannie Mae Connecticut Avenue Securities 2018-C06 1M2, 2.092%, (US0001M + 2.000%), 03/25/2031 | 9,205,713 | 0.1 |
8,766,257 | | Fannie Mae Connecticut Avenue Securities 2018-C06 2M2, 2.192%, (US0001M + 2.100%), 03/25/2031 | 8,877,215 | 0.1 |
1,905,910 | (1) | Fannie Mae Connecticut Avenue Securities 2019-R02 1M2, 2.392%, (US0001M + 2.300%), 08/25/2031 | 1,920,428 | 0.0 |
6,804,696 | (1) | Fannie Mae Connecticut Avenue Securities Trust 2019-R01 2M2, 2.542%, (US0001M + 2.450%), 07/25/2031 | 6,847,450 | 0.1 |
1,000,000 | (1) | Fannie Mae Connecticut Avenue Securities Trust 2019-R05 1B1, 4.192%, (US0001M + 4.100%), 07/25/2039 | 1,020,197 | 0.0 |
2,587,398 | (1) | Fannie Mae Connecticut Avenue Securities Trust 2020-R01 1M2, 2.142%, (US0001M + 2.050%), 01/25/2040 | 2,600,772 | 0.0 |
500,000 | (1) | Fannie Mae Connecticut Avenue Securities Trust 2020-SBT1 2M2, 3.742%, (US0001M + 3.650%), 02/25/2040 | 518,954 | 0.0 |
5,534,107 | | Fannie Mae Connecticut Avenue Securities, 5.792%, (US0001M + 5.700%), 04/25/2028 | 5,871,249 | 0.1 |
10,515 | | Fannie Mae Grantor Trust 1998-T2 A6, 0.651%, (US0001M + 0.550%), 01/25/2032 | 10,665 | 0.0 |
1,883 | (5) | Fannie Mae Interest Strip Series 104 2, 9.500%, 10/25/2021 | 11 | 0.0 |
186,840 | (5) | Fannie Mae Interest Strip Series 418 20, 3.000%, 05/25/2043 | 19,483 | 0.0 |
863,072 | (5) | Fannie Mae Interest Strip Series 418 59, 3.000%, 08/25/2028 | 49,252 | 0.0 |
104,365 | | Fannie Mae REMIC Trust 1999-33 Z, 6.000%, 07/25/2029 | 116,892 | 0.0 |
66,024 | (5) | Fannie Mae REMIC Trust 1999-6 SE, 7.604%, (-1.000*US0001M + 7.685%), 02/17/2029 | 3,423 | 0.0 |
902,624 | | Fannie Mae REMIC Trust 2003-105 AZ, 5.500%, 10/25/2033 | 1,041,131 | 0.0 |
318,245 | | Fannie Mae REMIC Trust 2003-45 FJ, 1.592%, (US0001M + 1.500%), 06/25/2033 | 334,138 | 0.0 |
1,089,766 | (5) | Fannie Mae REMIC Trust 2003-66 SA, 7.559%, (-1.000*US0001M + 7.650%), 07/25/2033 | 280,577 | 0.0 |
206,306 | (5) | Fannie Mae REMIC Trust 2003-74 IO, 6.000%, 08/25/2033 | 43,171 | 0.0 |
560,616 | | Fannie Mae REMIC Trust 2003-84 PZ, 5.000%, 09/25/2033 | 633,552 | 0.0 |
853,583 | | Fannie Mae REMIC Trust 2004-50 VZ, 5.500%, 07/25/2034 | 971,810 | 0.0 |
18,317 | | Fannie Mae REMIC Trust 2004-56 FE, 0.542%, (US0001M + 0.450%), 10/25/2033 | 18,449 | 0.0 |
434,654 | | Fannie Mae REMIC Trust 2004-7 Z, 5.500%, 02/25/2034 | 491,342 | 0.0 |
853,016 | | Fannie Mae REMIC Trust 2004-75 ZG, 4.500%, 10/25/2034 | 952,559 | 0.0 |
2,346,451 | | Fannie Mae REMIC Trust 2005-25 Z, 5.000%, 04/25/2035 | 2,656,694 | 0.0 |
113,397 | | Fannie Mae REMIC Trust 2006-104 ES, 32.993%, (-5.000*US0001M + 33.450%), 11/25/2036 | 220,521 | 0.0 |
1,963,448 | (5) | Fannie Mae REMIC Trust 2006-12 SD, 6.659%, (-1.000*US0001M + 6.750%), 10/25/2035 | 341,880 | 0.0 |
696,210 | (5) | Fannie Mae REMIC Trust 2006-123 UI, 6.649%, (-1.000*US0001M + 6.740%), 01/25/2037 | 155,577 | 0.0 |
139,973 | (5) | Fannie Mae REMIC Trust 2006-72 HS, 6.609%, (-1.000*US0001M + 6.700%), 08/25/2026 | 16,447 | 0.0 |
17,892 | | Fannie Mae REMIC Trust 2007-10 Z, 6.000%, 02/25/2037 | 21,022 | 0.0 |
3,703,930 | (5) | Fannie Mae REMIC Trust 2007-91 AS, 6.309%, (-1.000*US0001M + 6.400%), 10/25/2037 | 831,401 | 0.0 |
1,426,134 | | Fannie Mae REMIC Trust 2009-19 PW, 4.500%, 10/25/2036 | 1,597,858 | 0.0 |
7,086,042 | (3) | Fannie Mae REMIC Trust 2009-50 HZ, 5.538%, 02/25/2049 | 8,141,836 | 0.1 |
1,640,407 | (5) | Fannie Mae REMIC Trust 2009-90 TS, 6.059%, (-1.000*US0001M + 6.150%), 11/25/2039 | 295,119 | 0.0 |
1,336,161 | (5) | Fannie Mae REMIC Trust 2010-118 GS, 5.859%, (-1.000*US0001M + 5.950%), 10/25/2039 | 67,923 | 0.0 |
3,921,061 | (5) | Fannie Mae REMIC Trust 2010-123 SL, 5.979%, (-1.000*US0001M + 6.070%), 11/25/2040 | 687,939 | 0.0 |
4,877,478 | (5) | Fannie Mae REMIC Trust 2010-41 SB, 6.309%, (-1.000*US0001M + 6.400%), 05/25/2040 | 939,509 | 0.0 |
1,293,852 | (5) | Fannie Mae REMIC Trust 2010-43 VS, 6.359%, (-1.000*US0001M + 6.450%), 05/25/2040 | 280,771 | 0.0 |
8,655,608 | | Fannie Mae REMIC Trust 2010-59 PC, 5.000%, 06/25/2040 | 9,863,926 | 0.1 |
1,111,453 | (5) | Fannie Mae REMIC Trust 2011-102 SA, 6.509%, (-1.000*US0001M + 6.600%), 10/25/2041 | 206,856 | 0.0 |
2,515,980 | | Fannie Mae REMIC Trust 2011-30 ZA, 5.000%, 04/25/2041 | 2,677,693 | 0.0 |
2,276,095 | (5) | Fannie Mae REMIC Trust 2011-93 GS, 6.459%, (-1.000*US0001M + 6.550%), 04/25/2039 | 543,459 | 0.0 |
4,788,855 | (5) | Fannie Mae REMIC Trust 2012-122 SB, 6.059%, (-1.000*US0001M + 6.150%), 11/25/2042 | 1,025,754 | 0.0 |
2,558,072 | (5) | Fannie Mae REMIC Trust 2012-128 LI, 3.500%, 06/25/2042 | 194,241 | 0.0 |
5,623,804 | (5) | Fannie Mae REMIC Trust 2012-133 AS, 6.109%, (-1.000*US0001M + 6.200%), 10/25/2042 | 999,385 | 0.0 |
826,995 | (5) | Fannie Mae REMIC Trust 2012-149 GI, 3.500%, 06/25/2042 | 75,389 | 0.0 |
2,178,610 | (5) | Fannie Mae REMIC Trust 2012-15 SP, 6.529%, (-1.000*US0001M + 6.620%), 06/25/2040 | 114,741 | 0.0 |
1,639,418 | (5) | Fannie Mae REMIC Trust 2012-24 HS, 6.459%, (-1.000*US0001M + 6.550%), 09/25/2040 | 185,561 | 0.0 |
2,602,442 | (5) | Fannie Mae REMIC Trust 2012-30 QS, 6.509%, (-1.000*US0001M + 6.600%), 04/25/2031 | 189,763 | 0.0 |
944,078 | (5) | Fannie Mae REMIC Trust 2012-68 YS, 6.609%, (-1.000*US0001M + 6.700%), 07/25/2042 | 154,398 | 0.0 |
1,752,711 | (5) | Fannie Mae REMIC Trust 2013-26 JS, 6.109%, (-1.000*US0001M + 6.200%), 10/25/2032 | 232,368 | 0.0 |
6,384,654 | (5) | Fannie Mae REMIC Trust 2013-60 DS, 6.109%, (-1.000*US0001M + 6.200%), 06/25/2033 | 1,063,644 | 0.0 |
6,094,742 | (5) | Fannie Mae REMIC Trust 2013-9 SM, 6.159%, (-1.000*US0001M + 6.250%), 02/25/2033 | 1,014,940 | 0.0 |
2,534,205 | (5) | Fannie Mae REMIC Trust 2014-17 DS, 6.109%, (-1.000*US0001M + 6.200%), 02/25/2043 | 252,684 | 0.0 |
1,738,062 | (5) | Fannie Mae REMIC Trust 2014-28 BS, 6.109%, (-1.000*US0001M + 6.200%), 08/25/2043 | 238,050 | 0.0 |
40,130,179 | (5) | Fannie Mae REMIC Trust 2015-79 SA, 6.159%, (-1.000*US0001M + 6.250%), 11/25/2045 | 8,124,816 | 0.1 |
16,095,949 | (5) | Fannie Mae REMIC Trust 2015-9 IO, 5.500%, 03/25/2045 | 3,640,691 | 0.1 |
27,664,879 | (5) | Fannie Mae REMICS 16-60 SB, 6.009%, (-1.000*US0001M + 6.100%), 09/25/2046 | 5,713,940 | 0.1 |
102,766 | (5) | Fannie Mae REMICS 1997-18 SG, 8.018%, (-1.000*US0001M + 8.100%), 03/17/2027 | 10,650 | 0.0 |
50,677 | (5) | Fannie Mae REMICS 1997-91 FC, 0.101%, (US0001M + (8.500)%), 11/25/2023 | 16 | 0.0 |
69 | (5) | Fannie Mae REMICS 1999-57 SC, 9.668%, (-1.000*US0001M + 9.750%), 11/17/2029 | 3 | 0.0 |
250,251 | (5) | Fannie Mae REMICS 2001-72 SC, 1.000%, (-1.000*US0001M + 8.500%), 12/25/2031 | 8,849 | 0.0 |
64,957 | (5) | Fannie Mae REMICS 2001-8 SK, 8.668%, (-1.000*US0001M + 8.750%), 03/18/2031 | 7,764 | 0.0 |
504,036 | (5) | Fannie Mae REMICS 2003-49 SW, 6.909%, (-1.000*US0001M + 7.000%), 01/25/2033 | 102,241 | 0.0 |
4,427,654 | (5) | Fannie Mae REMICS 2004-54 SN, 6.959%, (-1.000*US0001M + 7.050%), 07/25/2034 | 917,978 | 0.0 |
8,431,837 | (5) | Fannie Mae REMICS 2005-75 ES, 5.959%, (-1.000*US0001M + 6.050%), 09/25/2035 | 1,635,391 | 0.0 |
1,000,106 | (5) | Fannie Mae REMICS 2005-75 SP, 6.659%, (-1.000*US0001M + 6.750%), 08/25/2035 | 171,738 | 0.0 |
2,277,681 | (5) | Fannie Mae REMICS 2006-56 SM, 6.659%, (-1.000*US0001M + 6.750%), 07/25/2036 | 431,975 | 0.0 |
435,554 | (5) | Fannie Mae REMICS 2007-21 SB, 6.309%, (-1.000*US0001M + 6.400%), 03/25/2037 | 45,415 | 0.0 |
1,307,089 | (5) | Fannie Mae REMICS 2007-52 NS, 6.359%, (-1.000*US0001M + 6.450%), 06/25/2037 | 237,550 | 0.0 |
1,287,639 | (5) | Fannie Mae REMICS 2007-85 SM, 6.369%, (-1.000*US0001M + 6.460%), 09/25/2037 | 254,396 | 0.0 |
487,566 | | Fannie Mae REMICS 2008-16 Z, 5.500%, 03/25/2038 | 558,122 | 0.0 |
7,522,823 | (5) | Fannie Mae REMICS 2009-66 SP, 6.009%, (-1.000*US0001M + 6.100%), 09/25/2039 | 1,194,737 | 0.0 |
4,550,957 | (5) | Fannie Mae REMICS 2010-1 S, 6.159%, (-1.000*US0001M + 6.250%), 02/25/2040 | 941,223 | 0.0 |
6,967,339 | (5) | Fannie Mae REMICS 2010-150 SJ, 6.389%, (-1.000*US0001M + 6.480%), 01/25/2041 | 1,580,719 | 0.0 |
1,136,743 | (5) | Fannie Mae REMICS 2010-35 CS, 6.359%, (-1.000*US0001M + 6.450%), 04/25/2050 | 202,849 | 0.0 |
1,315,523 | | Fannie Mae REMICS 2011-10 ZC, 5.000%, 02/25/2041 | 1,496,539 | 0.0 |
6,166,562 | | Fannie Mae REMICS 2011-101 DB, 4.000%, 10/25/2041 | 6,912,495 | 0.1 |
3,785,177 | | Fannie Mae REMICS 2011-116 ZA, 3.500%, 11/25/2041 | 4,099,162 | 0.1 |
102,033 | | Fannie Mae REMICS 2011-127 UY, 3.500%, 12/25/2041 | 107,650 | 0.0 |
5,769,453 | | Fannie Mae REMICS 2011-136 PZ, 4.000%, 01/25/2042 | 6,472,695 | 0.1 |
8,889,404 | (5) | Fannie Mae REMICS 2011-47 GS, 5.839%, (-1.000*US0001M + 5.930%), 06/25/2041 | 1,557,043 | 0.0 |
2,075,032 | | Fannie Mae REMICS 2011-8 ZA, 4.000%, 02/25/2041 | 2,223,982 | 0.0 |
6,530,310 | | Fannie Mae REMICS 2011-87 GB, 4.500%, 09/25/2041 | 7,790,130 | 0.1 |
2,708,185 | (5) | Fannie Mae REMICS 2012-111 SL, 6.009%, (-1.000*US0001M + 6.100%), 05/25/2041 | 502,630 | 0.0 |
6,164,033 | | Fannie Mae REMICS 2012-111 ZK, 3.500%, 10/25/2042 | 6,650,072 | 0.1 |
6,492,964 | (5) | Fannie Mae REMICS 2012-120 WI, 3.000%, 11/25/2027 | 451,683 | 0.0 |
1,812,295 | | Fannie Mae REMICS 2012-134 KV, 3.000%, 07/25/2031 | 1,841,490 | 0.0 |
7,905,377 | | Fannie Mae REMICS 2012-17 QZ, 4.000%, 03/25/2042 | 8,673,370 | 0.1 |
5,366,752 | | Fannie Mae REMICS 2012-2 HE, 4.000%, 02/25/2042 | 5,939,774 | 0.1 |
1,301,991 | | Fannie Mae REMICS 2012-30 AB, 4.000%, 04/25/2042 | 1,447,504 | 0.0 |
1,855,044 | | Fannie Mae REMICS 2012-33 BW, 4.000%, 04/25/2042 | 1,985,073 | 0.0 |
315,833 | | Fannie Mae REMICS 2012-44 KW, 3.500%, 05/25/2032 | 334,437 | 0.0 |
2,883,622 | | Fannie Mae REMICS 2012-55 PC, 3.500%, 05/25/2042 | 3,044,028 | 0.0 |
500,000 | | Fannie Mae REMICS 2012-80 MY, 3.250%, 08/25/2042 | 549,783 | 0.0 |
10,043,994 | | Fannie Mae REMICS 2012-94 LZ, 3.500%, 09/25/2042 | 10,897,280 | 0.1 |
2,700,000 | | Fannie Mae REMICS 2013-111 BA, 3.000%, 11/25/2033 | 2,925,614 | 0.0 |
1,403,000 | | Fannie Mae REMICS 2013-13 BE, 4.000%, 03/25/2043 | 1,702,022 | 0.0 |
535,000 | | Fannie Mae REMICS 2013-16 GD, 3.000%, 03/25/2033 | 551,440 | 0.0 |
6,737,472 | (5) | Fannie Mae REMICS 2013-40 LS, 6.059%, (-1.000*US0001M + 6.150%), 05/25/2043 | 1,332,314 | 0.0 |
7,441,734 | (5) | Fannie Mae REMICS 2013-70 BI, 3.000%, 07/25/2033 | 699,668 | 0.0 |
9,370,884 | (5) | Fannie Mae REMICS 2014-15 SB, 6.559%, (-1.000*US0001M + 6.650%), 04/25/2044 | 2,249,381 | 0.0 |
1,556,036 | (5) | Fannie Mae REMICS 2014-20 HI, 4.000%, 01/25/2040 | 6,697 | 0.0 |
970,000 | | Fannie Mae REMICS 2014-61 PY, 3.500%, 10/25/2044 | 1,075,397 | 0.0 |
17,266,611 | | Fannie Mae REMICS 2015-20 EZ, 3.500%, 04/25/2045 | 19,249,999 | 0.2 |
6,755,889 | (5) | Fannie Mae REMICS 2015-56 IC, 6.000%, 08/25/2045 | 1,316,738 | 0.0 |
2,000,000 | | Fannie Mae REMICS 2015-67 AV, 3.500%, 01/25/2036 | 2,205,147 | 0.0 |
5,000,000 | | Fannie Mae REMICS 2015-67 QV, 3.000%, 12/25/2040 | 5,202,513 | 0.1 |
2,825,304 | (5) | Fannie Mae REMICS 2015-76 PI, 6.000%, 09/25/2045 | 502,637 | 0.0 |
22,288,250 | (5) | Fannie Mae REMICS 2015-86 BS, 5.609%, (-1.000*US0001M + 5.700%), 11/25/2045 | 3,815,659 | 0.1 |
36,459,852 | (5) | Fannie Mae REMICS 2015-88 IO, 6.500%, 12/25/2045 | 9,653,869 | 0.1 |
5,279,863 | (5) | Fannie Mae REMICS 2016-104 BI, 6.000%, 01/25/2047 | 1,138,431 | 0.0 |
7,567,387 | (5) | Fannie Mae REMICS 2016-52 MI, 4.000%, 12/25/2045 | 1,142,453 | 0.0 |
23,842,362 | (5) | Fannie Mae REMICS 2016-81 CS, 6.009%, (-1.000*US0001M + 6.100%), 11/25/2046 | 4,337,343 | 0.1 |
558,103 | | Fannie Mae REMICS 2016-9 D, 3.000%, 03/25/2046 | 589,796 | 0.0 |
31,566,264 | (5) | Fannie Mae REMICS 2017-10 SA, 6.009%, (-1.000*US0001M + 6.100%), 03/25/2047 | 5,629,546 | 0.1 |
7,320,262 | | Fannie Mae REMICS 2017-54 D, 3.000%, 07/25/2047 | 7,723,710 | 0.1 |
39,055,865 | (5) | Fannie Mae REMICS 2018-15 SC, 6.209%, (-1.000*US0001M + 6.300%), 03/25/2048 | 7,911,117 | 0.1 |
2,108,410 | | Fannie Mae REMICS 2018-38 LA, 3.000%, 06/25/2048 | 2,198,851 | 0.0 |
18,654,360 | | Fannie Mae REMICS 2018-73 AB, 3.000%, 10/25/2048 | 19,744,139 | 0.2 |
2,416,266 | | Fannie Mae REMICS 2018-8 AB, 3.500%, 10/25/2047 | 2,514,881 | 0.0 |
49,204,952 | (5) | Fannie Mae REMICS 2018-82 SA, 6.109%, (-1.000*US0001M + 6.200%), 11/25/2048 | 9,757,135 | 0.1 |
11,498,348 | (5) | Fannie Mae REMICS 2018-86 AS, 6.109%, (-1.000*US0001M + 6.200%), 12/25/2048 | 2,138,013 | 0.0 |
49,137,704 | (5) | Fannie Mae REMICS 2018-86 SM, 6.109%, (-1.000*US0001M + 6.200%), 12/25/2048 | 9,401,871 | 0.1 |
44,285,442 | (5) | Fannie Mae REMICS 2018-91 SB, 6.009%, (-1.000*US0001M + 6.100%), 12/25/2058 | 9,731,819 | 0.1 |
14,300,341 | (5) | Fannie Mae REMICS 2019-21 AI, 5.000%, 05/25/2059 | 3,555,927 | 0.1 |
14,721,502 | (5) | Fannie Mae REMICS 2019-30 SB, 6.009%, (-1.000*US0001M + 6.100%), 07/25/2049 | 2,942,026 | 0.0 |
12,838,689 | (5) | Fannie Mae REMICS 2019-39 SA, 6.009%, (-1.000*US0001M + 6.100%), 08/25/2049 | 2,420,674 | 0.0 |
79,797,819 | (5) | Fannie Mae REMICS 2019-41 S, 5.909%, (-1.000*US0001M + 6.000%), 08/25/2059 | 15,614,957 | 0.2 |
8,729,676 | (5) | Fannie Mae REMICS 2019-47 SB, 6.009%, (-1.000*US0001M + 6.100%), 05/25/2040 | 1,803,527 | 0.0 |
33,132,793 | (5) | Fannie Mae REMICS 2020-35 IO, 5.000%, 06/25/2050 | 5,855,777 | 0.1 |
26,940,665 | (5) | Fannie Mae REMICS 2020-44 DI, 2.500%, 07/25/2050 | 3,710,080 | 0.1 |
17,096,317 | (5) | Fannie Mae REMICS 2020-44 EI, 3.500%, 09/25/2042 | 2,419,396 | 0.0 |
133,638,390 | (5) | Fannie Mae REMICS 2021-10 AI, 3.000%, 03/25/2041 | 12,182,730 | 0.1 |
47,601,898 | (5) | Fannie Mae REMICS 2021-22 BI, 4.000%, 04/25/2051 | 6,793,671 | 0.1 |
64,515,668 | (5) | Fannie Mae REMICS 2021-41 MI, 5.000%, 06/25/2048 | 10,887,019 | 0.1 |
47,215,623 | (5) | Fannie Mae REMICS 2021-8 TI, 4.000%, 03/25/2051 | 6,349,548 | 0.1 |
2,961 | | Fannie Mae REMICS G93-35 ZQ, 6.500%, 11/25/2023 | 3,100 | 0.0 |
2,770,220 | | Fannie Mae REMICS Trust 2010-53 JZ, 5.000%, 07/25/2040 | 2,966,791 | 0.0 |
25,203,117 | (5) | Fannie Mae Series 2013-44 DI, 3.000%, 05/25/2033 | 2,380,258 | 0.0 |
1,395,851 | (5) | Fannie Mae Series 2013-72 YS, 6.059%, (-1.000*US0001M + 6.150%), 07/25/2033 | 255,652 | 0.0 |
100,724 | (5) | FHLMC-GNMA 20 S, 8.809%, (-1.000*US0001M + 8.900%), 10/25/2023 | 7,210 | 0.0 |
582,837 | | First Horizon Alternative Mortgage Securities Trust 2006-FA8 1A11, 6.000%, 02/25/2037 | 362,956 | 0.0 |
1,779,744 | (1),(3) | First Republic Mortgage Trust 2020-1 B1, 2.880%, 04/25/2050 | 1,746,525 | 0.0 |
1,089,782 | (1),(3) | First Republic Mortgage Trust 2020-1 B2, 2.880%, 04/25/2050 | 1,020,985 | 0.0 |
1,849,974 | (1),(3) | Flagstar Mortgage Trust 2018-1 B1, 4.004%, 03/25/2048 | 1,879,168 | 0.0 |
2,169,094 | (1),(3) | Flagstar Mortgage Trust 2018-1 B2, 4.004%, 03/25/2048 | 2,259,484 | 0.0 |
2,412,366 | (1),(3) | Flagstar Mortgage Trust 2018-1 B3, 4.004%, 03/25/2048 | 2,493,826 | 0.0 |
1,235,014 | (1),(3) | Flagstar Mortgage Trust 2018-2 B2, 4.114%, 04/25/2048 | 1,251,240 | 0.0 |
1,470,472 | (1),(3) | Flagstar Mortgage Trust 2018-3INV A3, 4.000%, 05/25/2048 | 1,499,874 | 0.0 |
3,790,535 | (1),(3) | Flagstar Mortgage Trust 2018-3INV B2, 4.480%, 05/25/2048 | 3,977,727 | 0.1 |
937,905 | (1),(3) | Flagstar Mortgage Trust 2018-4 B3, 4.294%, 07/25/2048 | 948,502 | 0.0 |
1,773,924 | (1),(3) | Flagstar Mortgage Trust 2018-5 B3, 4.520%, 09/25/2048 | 1,791,413 | 0.0 |
2,961,253 | (1),(3) | Flagstar Mortgage Trust 2018-6RR B3, 4.984%, 10/25/2048 | 3,085,040 | 0.0 |
1,475,636 | (1),(3) | Flagstar Mortgage Trust 2019-2 B1, 4.104%, 12/25/2049 | 1,507,538 | 0.0 |
1,431,066 | (1),(3) | Flagstar Mortgage Trust 2019-2 B2, 4.104%, 12/25/2049 | 1,457,694 | 0.0 |
2,005,907 | (1),(3) | Flagstar Mortgage Trust 2020-1NV B1A, 4.286%, 03/25/2050 | 2,121,809 | 0.0 |
2,427,998 | (1),(3) | Flagstar Mortgage Trust 2020-1NV B2A, 4.286%, 03/25/2050 | 2,560,039 | 0.0 |
1,628,034 | (1),(3) | Flagstar Mortgage Trust 2020-2 A4, 3.000%, 08/25/2050 | 1,644,294 | 0.0 |
16,331,125 | | Freddie Mac 326 350, 3.500%, 03/15/2044 | 17,396,284 | 0.2 |
7,996,066 | (5) | Freddie Mac 3510 AS, 6.337%, (-1.000*US0001M + 6.410%), 04/15/2037 | 1,736,311 | 0.0 |
5,435,910 | (5) | Freddie Mac 4191 SA, 6.127%, (-1.000*US0001M + 6.200%), 03/15/2043 | 925,238 | 0.0 |
4,494,054 | | Freddie Mac 4316 XZ, 4.500%, 03/15/2044 | 5,332,509 | 0.1 |
812,884 | | Freddie Mac 4800 KG, 3.500%, 11/15/2045 | 819,851 | 0.0 |
615,254 | | Freddie Mac Reference Series R007 ZA, 6.000%, 05/15/2036 | 725,893 | 0.0 |
284,466 | | Freddie Mac Reference Series R008 ZA, 6.000%, 07/15/2036 | 331,397 | 0.0 |
82,951 | | Freddie Mac REMIC Trust 2110 PG, 6.000%, 01/15/2029 | 93,667 | 0.0 |
74,299 | | Freddie Mac REMIC Trust 2114 ZM, 6.000%, 01/15/2029 | 83,344 | 0.0 |
512,261 | | Freddie Mac REMIC Trust 2143 ZB, 6.000%, 04/15/2029 | 586,709 | 0.0 |
45,171 | | Freddie Mac REMIC Trust 2528 KM, 5.500%, 11/15/2022 | 46,173 | 0.0 |
227,580 | | Freddie Mac REMIC Trust 2541 NE, 5.500%, 12/15/2032 | 261,710 | 0.0 |
80,817 | (5) | Freddie Mac REMIC Trust 2594 IY, 6.000%, 04/15/2033 | 16,367 | 0.0 |
573,540 | | Freddie Mac REMIC Trust 2845 QH, 5.000%, 08/15/2034 | 651,137 | 0.0 |
99,261 | | Freddie Mac REMIC Trust 2861 Z, 5.500%, 09/15/2034 | 116,430 | 0.0 |
29,692 | (5) | Freddie Mac REMIC Trust 2883 SD, 6.627%, (-1.000*US0001M + 6.700%), 10/15/2034 | 208 | 0.0 |
168,777 | | Freddie Mac REMIC Trust 2930 ZL, 5.000%, 02/15/2035 | 191,543 | 0.0 |
236,949 | | Freddie Mac REMIC Trust 2931 ZY, 5.000%, 02/15/2035 | 269,927 | 0.0 |
5,153,223 | (5) | Freddie Mac REMIC Trust 3045 DI, 6.657%, (-1.000*US0001M + 6.730%), 10/15/2035 | 1,062,317 | 0.0 |
902,230 | | Freddie Mac REMIC Trust 3117 ZA, 5.500%, 02/15/2036 | 1,035,840 | 0.0 |
971,094 | (5) | Freddie Mac REMIC Trust 3171 PS, 6.412%, (-1.000*US0001M + 6.485%), 06/15/2036 | 163,517 | 0.0 |
5,265,605 | (5) | Freddie Mac REMIC Trust 3199 S, 6.377%, (-1.000*US0001M + 6.450%), 08/15/2036 | 1,146,101 | 0.0 |
428,386 | | Freddie Mac REMIC Trust 3351 ZC, 5.500%, 07/15/2037 | 497,669 | 0.0 |
140,821 | | Freddie Mac REMIC Trust 3394 ZY, 6.000%, 11/15/2037 | 164,519 | 0.0 |
232,627 | (3) | Freddie Mac REMIC Trust 3524 LA, 5.332%, 03/15/2033 | 258,853 | 0.0 |
22,062 | | Freddie Mac REMIC Trust 3556 NT, 3.173%, (US0001M + 3.100%), 03/15/2038 | 22,439 | 0.0 |
4,757,022 | | Freddie Mac REMIC Trust 3639 ZN, 5.500%, 12/15/2034 | 5,504,763 | 0.1 |
428,773 | | Freddie Mac REMIC Trust 3662 ZB, 5.500%, 08/15/2036 | 499,681 | 0.0 |
315,586 | | Freddie Mac REMIC Trust 3724 CM, 5.500%, 06/15/2037 | 361,425 | 0.0 |
270,010 | | Freddie Mac REMIC Trust 3753 DC, 3.500%, 09/15/2039 | 274,981 | 0.0 |
1,126,629 | (5) | Freddie Mac REMIC Trust 3856 KS, 6.477%, (-1.000*US0001M + 6.550%), 05/15/2041 | 209,189 | 0.0 |
635,069 | (5) | Freddie Mac REMIC Trust 3925 SD, 5.977%, (-1.000*US0001M + 6.050%), 07/15/2040 | 66,930 | 0.0 |
3,537,959 | (5) | Freddie Mac REMIC Trust 3925 SL, 5.977%, (-1.000*US0001M + 6.050%), 01/15/2041 | 316,997 | 0.0 |
224,920 | | Freddie Mac REMIC Trust 4000 PA, 4.500%, 01/15/2042 | 250,948 | 0.0 |
547,952 | (5) | Freddie Mac REMIC Trust 4027 QI, 4.500%, 12/15/2040 | 19,061 | 0.0 |
1,161,987 | (5) | Freddie Mac REMIC Trust 4088 CS, 5.927%, (-1.000*US0001M + 6.000%), 08/15/2042 | 214,028 | 0.0 |
5,853,891 | (5) | Freddie Mac REMIC Trust 4161 WI, 3.000%, 02/15/2033 | 589,072 | 0.0 |
2,737,447 | (5) | Freddie Mac REMIC Trust 4194 GI, 4.000%, 04/15/2043 | 394,336 | 0.0 |
3,068,591 | | Freddie Mac REMIC Trust 4203 BN, 3.000%, 04/15/2033 | 3,294,723 | 0.1 |
1,416,370 | | Freddie Mac REMIC Trust 4246 ZX, 4.500%, 04/15/2041 | 1,573,157 | 0.0 |
1,262,086 | (5) | Freddie Mac REMIC Trust 4293 KI, 4.500%, 08/15/2043 | 140,486 | 0.0 |
5,231,929 | | Freddie Mac REMIC Trust 4335 ZX, 4.250%, 05/15/2044 | 5,886,980 | 0.1 |
7,022,845 | | Freddie Mac REMIC Trust 435 XZ, 4.250%, 05/15/2044 | 7,978,126 | 0.1 |
1,916,000 | | Freddie Mac REMIC Trust 4370 AD, 3.000%, 08/15/2040 | 1,958,543 | 0.0 |
3,974,131 | (5) | Freddie Mac REMIC Trust 4386 LS, 6.027%, (-1.000*US0001M + 6.100%), 09/15/2044 | 724,581 | 0.0 |
34,592,598 | (5) | Freddie Mac REMIC Trust 5103 HI, 4.000%, 05/25/2051 | 5,571,619 | 0.1 |
29,014 | (5) | Freddie Mac REMICS 2074 S, 8.618%, (-1.000*US0001M + 8.700%), 07/17/2028 | 1,810 | 0.0 |
15,645 | (5) | Freddie Mac REMICS 2232 SA, 8.518%, (-1.000*US0001M + 8.600%), 05/17/2030 | 1,034 | 0.0 |
14,327 | (5) | Freddie Mac REMICS 2301 SP, 9.177%, (-1.000*US0001M + 9.250%), 04/15/2031 | 1,757 | 0.0 |
790,567 | (5) | Freddie Mac REMICS 2953 LS, 6.627%, (-1.000*US0001M + 6.700%), 12/15/2034 | 33,408 | 0.0 |
1,063,287 | (5) | Freddie Mac REMICS 2993 GS, 6.077%, (-1.000*US0001M + 6.150%), 06/15/2025 | 74,507 | 0.0 |
810,834 | (5) | Freddie Mac REMICS 3006 SI, 6.667%, (-1.000*US0001M + 6.740%), 07/15/2035 | 146,060 | 0.0 |
781,205 | (5) | Freddie Mac REMICS 3006 YI, 6.667%, (-1.000*US0001M + 6.740%), 07/15/2035 | 167,182 | 0.0 |
5,036,357 | (5) | Freddie Mac REMICS 3213 JS, 7.127%, (-1.000*US0001M + 7.200%), 09/15/2036 | 1,224,309 | 0.0 |
10,052,937 | (5) | Freddie Mac REMICS 3346 SC, 6.477%, (-1.000*US0001M + 6.550%), 10/15/2033 | 2,003,460 | 0.0 |
1,135,228 | (5) | Freddie Mac REMICS 3375 QI, 0.600%, (-10.000*US0001M + 64.600%), 10/15/2037 | 28,423 | 0.0 |
7,728,249 | (5) | Freddie Mac REMICS 3629 CS, 6.277%, (-1.000*US0001M + 6.350%), 01/15/2040 | 1,623,853 | 0.0 |
3,217,059 | | Freddie Mac REMICS 3736 ZP, 4.000%, 10/15/2040 | 3,483,696 | 0.1 |
2,619,956 | | Freddie Mac REMICS 3740 KE, 4.000%, 10/15/2040 | 2,836,720 | 0.0 |
22,520,288 | | Freddie Mac REMICS 3753 KZ, 4.500%, 11/15/2040 | 25,273,548 | 0.3 |
5,340,280 | | Freddie Mac REMICS 3775 GZ, 4.500%, 12/15/2040 | 5,659,462 | 0.1 |
1,900,000 | | Freddie Mac REMICS 3820 NC, 4.500%, 03/15/2041 | 2,167,541 | 0.0 |
754,948 | | Freddie Mac REMICS 3843 JZ, 5.100%, 04/15/2041 | 924,346 | 0.0 |
500,000 | | Freddie Mac REMICS 3848 WX, 5.000%, 04/15/2041 | 579,450 | 0.0 |
2,650,000 | | Freddie Mac REMICS 3890 ME, 5.000%, 07/15/2041 | 3,169,832 | 0.0 |
3,084,668 | | Freddie Mac REMICS 3893 PU, 4.000%, 07/15/2041 | 3,339,963 | 0.1 |
6,280,395 | | Freddie Mac REMICS 3919 BY, 4.000%, 09/15/2041 | 6,915,541 | 0.1 |
9,822,378 | | Freddie Mac REMICS 3919 ZB, 4.000%, 09/15/2041 | 10,878,710 | 0.1 |
3,790,000 | | Freddie Mac REMICS 3923 GY, 4.000%, 09/15/2041 | 4,208,791 | 0.1 |
2,180,572 | | Freddie Mac REMICS 3934 CB, 4.000%, 10/15/2041 | 2,415,896 | 0.0 |
420,000 | | Freddie Mac REMICS 3934 KB, 5.000%, 10/15/2041 | 489,082 | 0.0 |
1,276,973 | | Freddie Mac REMICS 3997 PB, 4.000%, 02/15/2042 | 1,414,721 | 0.0 |
4,620,012 | (5) | Freddie Mac REMICS 4057 SN, 6.577%, (-1.000*US0001M + 6.650%), 12/15/2041 | 714,543 | 0.0 |
3,287,115 | | Freddie Mac REMICS 4057 ZB, 3.500%, 06/15/2042 | 3,574,706 | 0.1 |
15,562,067 | | Freddie Mac REMICS 4084 TZ, 4.000%, 07/15/2042 | 17,088,458 | 0.2 |
2,184,553 | (5) | Freddie Mac REMICS 4090 SN, 6.627%, (-1.000*US0001M + 6.700%), 08/15/2032 | 417,681 | 0.0 |
1,000,311 | | Freddie Mac REMICS 4100 JA, 3.500%, 10/15/2041 | 1,063,034 | 0.0 |
2,128,000 | | Freddie Mac REMICS 4193 BP, 4.000%, 04/15/2043 | 2,541,129 | 0.0 |
310,000 | | Freddie Mac REMICS 4235 QD, 3.000%, 08/15/2033 | 335,659 | 0.0 |
35,210,710 | (5) | Freddie Mac REMICS 4301 SD, 6.027%, (-1.000*US0001M + 6.100%), 07/15/2037 | 6,575,966 | 0.1 |
6,567,625 | | Freddie Mac REMICS 4310 BZ, 4.000%, 02/15/2044 | 7,325,127 | 0.1 |
3,102,000 | | Freddie Mac REMICS 4401 BL, 3.500%, 10/15/2034 | 3,422,559 | 0.1 |
15,365,010 | (5) | Freddie Mac REMICS 4407 CS, 6.127%, (-1.000*US0001M + 6.200%), 06/15/2044 | 2,507,603 | 0.0 |
24,033,287 | (5) | Freddie Mac REMICS 4407 PS, 5.527%, (-1.000*US0001M + 5.600%), 06/15/2044 | 3,574,391 | 0.1 |
18,785,375 | (5) | Freddie Mac REMICS 4461 AS, 5.527%, (-1.000*US0001M + 5.600%), 04/15/2045 | 3,437,340 | 0.1 |
3,124,000 | | Freddie Mac REMICS 4492 VB, 3.500%, 05/15/2035 | 3,455,884 | 0.1 |
342,667 | | Freddie Mac REMICS 4500 HC, 3.000%, 11/15/2042 | 348,911 | 0.0 |
2,913,000 | | Freddie Mac REMICS 4505 PB, 3.000%, 08/15/2045 | 3,108,981 | 0.0 |
18,206,501 | (5) | Freddie Mac REMICS 4574 ST, 5.927%, (-1.000*US0001M + 6.000%), 04/15/2046 | 3,284,005 | 0.0 |
93,155,173 | (5) | Freddie Mac REMICS 4585 AS, 6.027%, (-1.000*US0001M + 6.100%), 05/15/2046 | 17,984,780 | 0.2 |
7,413,449 | | Freddie Mac REMICS 4608 JV, 3.500%, 01/15/2055 | 7,872,953 | 0.1 |
26,332,733 | (5) | Freddie Mac REMICS 4611 BS, 6.027%, (-1.000*US0001M + 6.100%), 06/15/2041 | 5,088,443 | 0.1 |
10,383,178 | | Freddie Mac REMICS 4664 KZ, 3.500%, 02/15/2047 | 11,227,559 | 0.1 |
14,906 | | Freddie Mac REMICS 4673 WA, 3.500%, 09/15/2043 | 14,903 | 0.0 |
6,634,897 | | Freddie Mac REMICS 4682 HZ, 3.500%, 04/15/2047 | 7,157,904 | 0.1 |
33,706,619 | | Freddie Mac REMICS 4771 HZ, 3.500%, 03/15/2048 | 36,670,324 | 0.4 |
2,457,000 | | Freddie Mac REMICS 4772 VG, 4.500%, 08/15/2036 | 2,644,478 | 0.0 |
22,771,644 | | Freddie Mac REMICS 4776 AZ, 4.000%, 07/15/2047 | 24,698,485 | 0.3 |
818,596 | | Freddie Mac REMICS 4787 PY, 4.000%, 05/15/2048 | 875,889 | 0.0 |
13,474,764 | | Freddie Mac REMICS 4795 D, 5.000%, 05/15/2048 | 15,264,866 | 0.2 |
52,321,347 | (5) | Freddie Mac REMICS 4879 DS, 6.027%, (-1.000*US0001M + 6.100%), 08/15/2034 | 9,324,836 | 0.1 |
1,632,872 | | Freddie Mac REMICS 4904 HB, 3.000%, 08/25/2049 | 1,751,485 | 0.0 |
13,905,868 | (5) | Freddie Mac REMICS 4906 SQ, 5.959%, (-1.000*US0001M + 6.050%), 09/25/2049 | 2,394,677 | 0.0 |
606,535 | | Freddie Mac REMICS 4914 DB, 3.000%, 09/25/2049 | 643,462 | 0.0 |
2,091,938 | | Freddie Mac REMICS 4941 CZ, 3.000%, 11/25/2049 | 2,207,555 | 0.0 |
78,309,465 | (5) | Freddie Mac REMICS 5014 HI, 4.000%, 09/25/2050 | 12,691,067 | 0.1 |
45,940,578 | (5) | Freddie Mac REMICS 5019 HI, 3.500%, 10/25/2050 | 7,086,922 | 0.1 |
34,456,651 | (5) | Freddie Mac REMICS 5045 BS, 6.182%, (-1.000*SOFR30A + 6.200%), 11/25/2050 | 7,407,480 | 0.1 |
64,254,294 | (5) | Freddie Mac REMICS 5082 IQ, 3.000%, 03/25/2051 | 8,051,609 | 0.1 |
36,108,250 | (5) | Freddie Mac REMICS 5113 AI, 4.000%, 06/25/2041 | 4,616,357 | 0.1 |
42,696,098 | (5) | Freddie Mac REMICS 5128 IC, 5.500%, 09/25/2041 | 8,768,271 | 0.1 |
12,238,277 | | Freddie Mac Series 4348 ZX, 4.250%, 06/15/2044 | 13,638,612 | 0.2 |
3,091,163 | (1) | Freddie Mac STACR 2019-HQA3 M2, 1.942%, (US0001M + 1.850%), 09/25/2049 | 3,106,105 | 0.0 |
9,350,000 | (1) | Freddie Mac STACR REMIC Trust 2020-DNA2 M2, 1.942%, (US0001M + 1.850%), 02/25/2050 | 9,436,695 | 0.1 |
2,281,195 | (1) | Freddie Mac STACR REMIC Trust 2020-DNA3 M2, 3.092%, (US0001M + 3.000%), 06/25/2050 | 2,295,887 | 0.0 |
7,357,197 | (1) | Freddie Mac STACR REMIC Trust 2020-HQA1 M2, 1.992%, (US0001M + 1.900%), 01/25/2050 | 7,384,251 | 0.1 |
7,700,000 | (1) | Freddie Mac Stacr Remic Trust 2020-HQA2 M2, 3.192%, (US0001M + 3.100%), 03/25/2050 | 7,829,774 | 0.1 |
8,810,024 | (1) | Freddie Mac STACR REMIC Trust 2020-HQA3 M2, 3.692%, (US0001M + 3.600%), 07/25/2050 | 8,925,717 | 0.1 |
2,640,000 | (1) | Freddie Mac STACR REMIC Trust 2021-HQA1 M2, 2.268%, (SOFR30A + 2.250%), 08/25/2033 | 2,678,424 | 0.0 |
8,900,000 | (1) | Freddie Mac STACR Trust 2018-DNA3 M2, 2.192%, (US0001M + 2.100%), 09/25/2048 | 9,024,703 | 0.1 |
1,860,000 | (1) | Freddie Mac Stacr Trust 2018-HQA2 M2, 2.392%, (US0001M + 2.300%), 10/25/2048 | 1,878,969 | 0.0 |
11,487,597 | (1) | Freddie Mac STACR Trust 2019-DNA3 M2, 2.142%, (US0001M + 2.050%), 07/25/2049 | 11,600,396 | 0.1 |
6,153,320 | (1) | Freddie Mac Stacr Trust 2019-HQA1 M2, 2.442%, (US0001M + 2.350%), 02/25/2049 | 6,222,650 | 0.1 |
4,126,717 | | Freddie Mac Strips 277 30, 3.000%, 09/15/2042 | 4,348,992 | 0.1 |
4,796,293 | (5) | Freddie Mac Strips 303 C17, 3.500%, 01/15/2043 | 736,184 | 0.0 |
1,207,668 | (3),(5) | Freddie Mac Strips 344 68, 3.000%, 02/15/2045 | 125,494 | 0.0 |
429,090 | (3),(5) | Freddie Mac Strips 344 89, 4.500%, 02/15/2045 | 77,084 | 0.0 |
5,677,950 | (5) | Freddie Mac Strips 344 C13, 4.500%, 02/15/2045 | 906,325 | 0.0 |
3,901,298 | (3),(5) | Freddie Mac Strips 344 C18, 4.000%, 02/15/2045 | 591,114 | 0.0 |
7,914,216 | (5) | Freddie Mac Strips 344 C18, 4.000%, 02/15/2045 | 1,174,738 | 0.0 |
4,816,358 | (3),(5) | Freddie Mac Strips 344 C19, 3.500%, 02/15/2045 | 658,450 | 0.0 |
8,023,882 | (5) | Freddie Mac Strips 344 C2, 4.000%, 02/15/2045 | 1,162,714 | 0.0 |
6,599,632 | (5) | Freddie Mac Strips 344 C4, 4.000%, 02/15/2045 | 939,231 | 0.0 |
11,744,610 | (5) | Freddie Mac Strips 344 C5, 3.500%, 02/15/2045 | 1,478,166 | 0.0 |
12,483,598 | (5) | Freddie Mac Strips 344 C6, 4.000%, 02/15/2045 | 1,721,183 | 0.0 |
6,277,509 | (5) | Freddie Mac Strips 344 C7, 4.000%, 02/15/2045 | 875,448 | 0.0 |
6,320,110 | (5) | Freddie Mac Strips 344 C9, 3.500%, 02/15/2045 | 881,940 | 0.0 |
5,463,065 | (5) | Freddie Mac Strips 344 C9, 3.500%, 02/15/2045 | 805,828 | 0.0 |
12,131,875 | (5) | Freddie Mac Strips 347 C14, 3.500%, 02/15/2044 | 1,894,590 | 0.0 |
8,090,289 | (5) | Freddie Mac Strips 347 C22, 4.000%, 02/15/2044 | 1,215,993 | 0.0 |
9,330,471 | (5) | Freddie Mac Strips 347 C23, 4.000%, 02/15/2044 | 1,401,951 | 0.0 |
9,169,641 | (5) | Freddie Mac Strips 347 C24, 4.000%, 02/15/2044 | 1,361,713 | 0.0 |
8,101,902 | (5) | Freddie Mac Strips 347 C25, 4.000%, 02/15/2044 | 1,171,204 | 0.0 |
10,186,488 | (5) | Freddie Mac Strips 347 C26, 4.000%, 02/15/2044 | 1,538,592 | 0.0 |
9,721,512 | (5) | Freddie Mac Strips 347 C28, 4.500%, 02/15/2044 | 1,627,451 | 0.0 |
12,934,367 | (5) | Freddie Mac Strips 347 C5, 3.000%, 05/15/2043 | 1,792,154 | 0.0 |
30,918,563 | (5) | Freddie Mac Strips 365 C23, 3.500%, 10/15/2047 | 4,262,548 | 0.1 |
40,043,022 | (5) | Freddie Mac Strips Series 311 S1, 5.877%, (-1.000*US0001M + 5.950%), 08/15/2043 | 6,817,725 | 0.1 |
2,749,485 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2015-DNA2 M3, 3.992%, (US0001M + 3.900%), 12/25/2027 | 2,797,040 | 0.0 |
6,154,019 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2016-HQA2 M3, 5.242%, (US0001M + 5.150%), 11/25/2028 | 6,453,086 | 0.1 |
750,000 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2016-HQA3 M3, 3.942%, (US0001M + 3.850%), 03/25/2029 | 777,862 | 0.0 |
11,205,859 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2017-HQA2 M2, 2.742%, (US0001M + 2.650%), 12/25/2029 | 11,415,163 | 0.1 |
1,402,931 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2017-HQA3 M2, 2.442%, (US0001M + 2.350%), 04/25/2030 | 1,435,995 | 0.0 |
7,828,828 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2018-DNA1 M2, 1.892%, (US0001M + 1.800%), 07/25/2030 | 7,884,160 | 0.1 |
1,397,632 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2018-HQA1 M2, 2.392%, (US0001M + 2.300%), 09/25/2030 | 1,419,328 | 0.0 |
9,354,622 | (1) | Freddie Mac Structured Agency Credit Risk Debt Notes 2019-DNA1 M2, 2.742%, (US0001M + 2.650%), 01/25/2049 | 9,500,687 | 0.1 |
8,508,068 | (1) | Freddie Mac Structured Agency Credit Risk Debt Notes 2019-HQA2 M2, 2.142%, (US0001M + 2.050%), 04/25/2049 | 8,583,293 | 0.1 |
935,685 | (3) | Freddie Mac Structured Pass Through Certificates T-48 1A, 4.699%, 07/25/2033 | 1,034,259 | 0.0 |
3,509,013 | (1),(3) | Galton Funding Mortgage Trust 2018-1 B1, 3.800%, 11/25/2057 | 3,579,275 | 0.1 |
2,500,000 | (1),(3) | Galton Funding Mortgage Trust 2018-2 A51, 4.500%, 10/25/2058 | 2,579,579 | 0.0 |
3,857,824 | (1),(3) | Galton Funding Mortgage Trust 2018-2 B2, 4.750%, 10/25/2058 | 4,006,528 | 0.1 |
1,441,470 | (5) | Ginnie Mae 2005-37 SI, 6.057%, (-1.000*US0001M + 6.150%), 05/20/2035 | 285,993 | 0.0 |
1,425,109 | (5) | Ginnie Mae 2007-23 ST, 6.107%, (-1.000*US0001M + 6.200%), 04/20/2037 | 227,861 | 0.0 |
1,670,160 | (5) | Ginnie Mae 2007-40 SE, 6.657%, (-1.000*US0001M + 6.750%), 07/20/2037 | 365,519 | 0.0 |
1,151,078 | (5) | Ginnie Mae 2007-7 EI, 6.107%, (-1.000*US0001M + 6.200%), 02/20/2037 | 224,749 | 0.0 |
4,058,010 | (5) | Ginnie Mae 2010-11 SA, 6.345%, (-1.000*US0001M + 6.420%), 01/16/2040 | 841,595 | 0.0 |
1,755,427 | (5) | Ginnie Mae 2010-14 SB, 6.707%, (-1.000*US0001M + 6.800%), 11/20/2035 | 362,737 | 0.0 |
1,424,754 | (5) | Ginnie Mae 2010-99 IT, 5.000%, 08/16/2040 | 220,444 | 0.0 |
601,725 | | Ginnie Mae 2013-69 KA, 1.250%, 08/20/2042 | 598,327 | 0.0 |
31,899,040 | (5) | Ginnie Mae 2018-167 CS, 6.007%, (-1.000*US0001M + 6.100%), 12/20/2048 | 4,384,364 | 0.1 |
463,801 | (5) | Ginnie Mae Series 2005-7 AH, 6.695%, (-1.000*US0001M + 6.770%), 02/16/2035 | 86,573 | 0.0 |
8,340,577 | (5) | Ginnie Mae Series 2007-17 IC, 6.175%, (-1.000*US0001M + 6.250%), 04/16/2037 | 1,336,334 | 0.0 |
9,107,074 | (5) | Ginnie Mae Series 2007-41 SL, 6.607%, (-1.000*US0001M + 6.700%), 07/20/2037 | 1,994,869 | 0.0 |
975,146 | (5) | Ginnie Mae Series 2008-2 SW, 6.457%, (-1.000*US0001M + 6.550%), 01/20/2038 | 206,416 | 0.0 |
553,588 | (5) | Ginnie Mae Series 2008-35 SN, 6.307%, (-1.000*US0001M + 6.400%), 04/20/2038 | 92,328 | 0.0 |
307,217 | (5) | Ginnie Mae Series 2008-40 PS, 6.425%, (-1.000*US0001M + 6.500%), 05/16/2038 | 56,994 | 0.0 |
798,728 | (5) | Ginnie Mae Series 2009-25 KS, 6.107%, (-1.000*US0001M + 6.200%), 04/20/2039 | 161,948 | 0.0 |
609,611 | | Ginnie Mae Series 2009-29 PB, 4.750%, 05/20/2039 | 687,798 | 0.0 |
592,484 | | Ginnie Mae Series 2009-31 ZL, 4.500%, 05/20/2039 | 663,640 | 0.0 |
12,265,394 | | Ginnie Mae Series 2009-33 ZB, 6.000%, 05/20/2039 | 13,255,424 | 0.1 |
1,259,283 | | Ginnie Mae Series 2009-34 Z, 4.500%, 05/16/2039 | 1,400,562 | 0.0 |
1,607,311 | | Ginnie Mae Series 2009-98 DA, 3.250%, 07/16/2039 | 1,699,792 | 0.0 |
3,312,072 | | Ginnie Mae Series 2010-108 WL, 4.000%, 04/16/2040 | 3,644,341 | 0.1 |
1,551,011 | (5) | Ginnie Mae Series 2010-116 NS, 6.575%, (-1.000*US0001M + 6.650%), 09/16/2040 | 273,853 | 0.0 |
4,525,050 | (5) | Ginnie Mae Series 2010-116 SK, 6.527%, (-1.000*US0001M + 6.620%), 08/20/2040 | 876,235 | 0.0 |
5,887,594 | (5) | Ginnie Mae Series 2010-149 HS, 6.025%, (-1.000*US0001M + 6.100%), 05/16/2040 | 609,423 | 0.0 |
480,000 | | Ginnie Mae Series 2010-164 MD, 4.000%, 12/20/2040 | 538,312 | 0.0 |
1,747,425 | (5) | Ginnie Mae Series 2010-168 BI, 5.000%, 04/20/2040 | 315,605 | 0.0 |
1,109,284 | (5) | Ginnie Mae Series 2010-68 MS, 5.757%, (-1.000*US0001M + 5.850%), 06/20/2040 | 206,626 | 0.0 |
2,115,187 | | Ginnie Mae Series 2011-52 PA, 4.250%, 02/16/2041 | 2,265,915 | 0.0 |
2,921,952 | (5) | Ginnie Mae Series 2011-72 SA, 5.275%, (-1.000*US0001M + 5.350%), 05/16/2041 | 503,486 | 0.0 |
2,507,551 | (5) | Ginnie Mae Series 2011-73 LS, 6.597%, (-1.000*US0001M + 6.690%), 08/20/2039 | 136,501 | 0.0 |
559,244 | (5) | Ginnie Mae Series 2012-91 QI, 4.500%, 09/20/2041 | 44,280 | 0.0 |
3,881,967 | (5) | Ginnie Mae Series 2013-111 SA, 6.607%, (-1.000*US0001M + 6.700%), 07/20/2043 | 806,175 | 0.0 |
1,388,000 | | Ginnie Mae Series 2013-116 KB, 3.500%, 12/20/2042 | 1,468,921 | 0.0 |
5,710,085 | (5) | Ginnie Mae Series 2013-167 PI, 5.500%, 11/20/2043 | 979,890 | 0.0 |
342,515 | | Ginnie Mae Series 2013-27 KA, 2.250%, 02/20/2043 | 355,150 | 0.0 |
1,040,313 | (5) | Ginnie Mae Series 2014-10 GI, 4.500%, 01/16/2029 | 55,861 | 0.0 |
3,767,785 | (5) | Ginnie Mae Series 2014-185 SB, 5.507%, (-1.000*US0001M + 5.600%), 12/20/2044 | 680,784 | 0.0 |
2,975,696 | (5) | Ginnie Mae Series 2014-3 QS, 6.057%, (-1.000*US0001M + 6.150%), 03/20/2043 | 438,354 | 0.0 |
6,349,080 | (5) | Ginnie Mae Series 2014-3 SU, 5.957%, (-1.000*US0001M + 6.050%), 07/20/2039 | 1,142,855 | 0.0 |
4,321,341 | (5) | Ginnie Mae Series 2014-56 SP, 6.125%, (-1.000*US0001M + 6.200%), 12/16/2039 | 619,734 | 0.0 |
8,910,963 | (5) | Ginnie Mae Series 2014-58 SG, 5.525%, (-1.000*US0001M + 5.600%), 04/16/2044 | 1,458,992 | 0.0 |
25,155,349 | (5) | Ginnie Mae Series 2015-110 MS, 5.617%, (-1.000*US0001M + 5.710%), 08/20/2045 | 3,874,797 | 0.1 |
1,830,417 | | Ginnie Mae Series 2015-27 PB, 3.000%, 08/20/2044 | 1,916,595 | 0.0 |
21,640,110 | (5) | Ginnie Mae Series 2016-160 GS, 6.007%, (-1.000*US0001M + 6.100%), 11/20/2046 | 4,433,996 | 0.1 |
781,461 | | Ginnie Mae Series 2016-44 JA, 3.500%, 03/20/2046 | 839,980 | 0.0 |
46,428,674 | (5) | Ginnie Mae Series 2016-6 SB, 5.557%, (-1.000*US0001M + 5.650%), 01/20/2046 | 8,169,896 | 0.1 |
13,136,429 | (5) | Ginnie Mae Series 2017-101 SA, 6.107%, (-1.000*US0001M + 6.200%), 07/20/2047 | 2,060,261 | 0.0 |
23,420,479 | (5) | Ginnie Mae Series 2017-163 SH, 6.107%, (-1.000*US0001M + 6.200%), 11/20/2047 | 4,394,424 | 0.1 |
313,146 | | Ginnie Mae Series 2018-104 HZ, 3.500%, 08/20/2048 | 338,632 | 0.0 |
2,147,328 | | Ginnie Mae Series 2018-120 DE, 3.500%, 09/20/2048 | 2,282,318 | 0.0 |
187,375 | | Ginnie Mae Series 2018-122 GZ, 3.500%, 09/20/2048 | 213,628 | 0.0 |
2,879,108 | | Ginnie Mae Series 2018-126 A, 3.500%, 09/20/2048 | 3,071,733 | 0.0 |
186,588 | | Ginnie Mae Series 2018-147 KZ, 3.750%, 10/20/2048 | 213,981 | 0.0 |
176,532 | | Ginnie Mae Series 2019-100 JB, 3.000%, 08/20/2049 | 183,111 | 0.0 |
532,322 | | Ginnie Mae Series 2019-100 KB, 3.000%, 08/20/2049 | 551,246 | 0.0 |
1,349,931 | | Ginnie Mae Series 2019-100 MC, 3.000%, 08/20/2049 | 1,397,261 | 0.0 |
31,866,689 | (5) | Ginnie Mae Series 2019-159 SM, 5.957%, (-1.000*US0001M + 6.050%), 12/20/2049 | 6,170,232 | 0.1 |
1,081,376 | | Ginnie Mae Series 2019-23 NG, 3.500%, 02/20/2049 | 1,181,734 | 0.0 |
71,326 | | Ginnie Mae Series 2019-54 AB, 3.000%, 04/20/2049 | 74,640 | 0.0 |
798,785 | | Ginnie Mae Series 2019-78 MB, 3.000%, 06/20/2049 | 872,253 | 0.0 |
416,445 | | Ginnie Mae Series 2019-89 KB, 3.000%, 07/20/2049 | 453,869 | 0.0 |
299,424 | | Ginnie Mae Series 2019-89 WB, 3.000%, 07/20/2049 | 306,283 | 0.0 |
29,423,951 | (5) | Ginnie Mae Series 2020-188 PI, 3.500%, 06/20/2050 | 4,578,920 | 0.1 |
32,254,795 | (5) | Ginnie Mae Series 2020-32 SG, 6.007%, (-1.000*US0001M + 6.100%), 03/20/2050 | 6,418,246 | 0.1 |
60,365,348 | (5) | Ginnie Mae Series 2020-46 BS, 3.257%, (-1.000*US0001M + 3.350%), 04/20/2050 | 4,926,772 | 0.1 |
34,392,245 | (5) | Ginnie Mae Series 2020-77 JS, 6.007%, (-1.000*US0001M + 6.100%), 10/20/2048 | 4,142,866 | 0.1 |
688,861 | (1),(3) | GS Mortage-Backed Securities Trust 2020-PJ1 A1, 3.500%, 05/25/2050 | 697,879 | 0.0 |
1,104,803 | (1),(3) | GS Mortage-Backed Securities Trust 2020-PJ1 A4, 3.500%, 05/25/2050 | 1,118,340 | 0.0 |
2,100,000 | (1),(3) | GS Mortage-Backed Securities Trust 2020-PJ1 A8, 3.500%, 05/25/2050 | 2,129,550 | 0.0 |
3,414,924 | (1),(3) | GS Mortage-Backed Securities Trust 2020-PJ1 B2, 3.696%, 05/25/2050 | 3,551,945 | 0.1 |
1,401,104 | (1),(3) | GS Mortgage-Backed Securities Corp. Trust 2019-PJ2 A1, 4.000%, 11/25/2049 | 1,409,288 | 0.0 |
2,907,792 | (1),(3) | GS Mortgage-Backed Securities Corp. Trust 2019-PJ2 B3, 4.454%, 11/25/2049 | 3,020,364 | 0.0 |
1,153,499 | (1),(3) | GS Mortgage-Backed Securities Corp. Trust 2019-PJ3 B1, 4.072%, 03/25/2050 | 1,191,333 | 0.0 |
2,759,781 | (1),(3) | GS Mortgage-Backed Securities Corp. Trust 2020-PJ2 A4, 3.500%, 07/25/2050 | 2,796,414 | 0.0 |
1,622,465 | (1),(3) | GS Mortgage-Backed Securities Corp. Trust 2020-PJ3 B2A, 3.459%, 10/25/2050 | 1,687,737 | 0.0 |
984,006 | (1),(3) | GS Mortgage-Backed Securities Corp. Trust 2020-PJ3 B4, 3.459%, 10/25/2050 | 989,479 | 0.0 |
2,301,816 | (1),(3) | GS Mortgage-Backed Securities Corp. Trust 2020-PJ4 A4, 3.000%, 01/25/2051 | 2,328,371 | 0.0 |
2,568,186 | (3) | GS Mortgage-Backed Securities Corp. Trust 2020-PJ5 A4, 3.000%, 03/27/2051 | 2,614,802 | 0.0 |
2,500,000 | (1),(3) | GS Mortgage-Backed Securities Trust 2021-PJ6 A12, 2.500%, 11/25/2051 | 2,542,254 | 0.0 |
4,000,000 | (1),(3) | GS Mortgage-Backed Securities Trust 2021-PJ6 A4, 2.500%, 11/25/2051 | 4,035,000 | 0.1 |
2,214 | | GSR Mortgage Loan Trust 2005-5F 8A1, 0.592%, (US0001M + 0.500%), 06/25/2035 | 2,149 | 0.0 |
151,555 | | GSR Mortgage Loan Trust 2007-1F 3A13, 6.000%, 01/25/2037 | 130,834 | 0.0 |
2,106,765 | | HarborView Mortgage Loan Trust 2007-5 A1A, 0.283%, (US0001M + 0.190%), 09/19/2037 | 2,057,197 | 0.0 |
101,366 | | HomeBanc Mortgage Trust 2004-1 2A, 0.952%, (US0001M + 0.860%), 08/25/2029 | 100,049 | 0.0 |
1,831,312 | (1),(3) | Homeward Opportunities Fund I Trust 2019-2 A3, 3.007%, 09/25/2059 | 1,837,853 | 0.0 |
803,057 | | Impac CMB Trust Series 2005-1 M1, 0.782%, (US0001M + 0.690%), 04/25/2035 | 785,700 | 0.0 |
1,405,095 | | IndyMac INDX Mortgage Loan Trust 2006-AR2 1A1B, 0.512%, (US0001M + 0.420%), 04/25/2046 | 1,336,167 | 0.0 |
2,060,201 | | IndyMac INDX Mortgage Loan Trust 2006-AR2 2A1, 0.512%, (US0001M + 0.420%), 02/25/2046 | 1,660,839 | 0.0 |
341,638 | | JP Morgan Alternative Loan Trust 2005-S1 1A1, 5.500%, 12/25/2035 | 206,136 | 0.0 |
2,283,071 | (3) | JP Morgan Mortgage Trust 2005-A4 B1, 2.646%, 07/25/2035 | 2,290,468 | 0.0 |
4,142,132 | (1),(3) | JP Morgan Mortgage Trust 2016-1 B3, 3.858%, 05/25/2046 | 4,238,282 | 0.1 |
1,068,362 | (1),(3) | JP Morgan Mortgage Trust 2017-1 B4, 3.498%, 01/25/2047 | 1,074,392 | 0.0 |
1,808,268 | (1),(3) | JP Morgan Mortgage Trust 2017-3 1A13, 3.500%, 08/25/2047 | 1,837,722 | 0.0 |
3,431,389 | (1),(3) | JP Morgan Mortgage Trust 2017-3 B1, 3.791%, 08/25/2047 | 3,549,689 | 0.1 |
1,909,322 | (1),(3) | JP Morgan Mortgage Trust 2017-3 B2, 3.791%, 08/25/2047 | 1,970,437 | 0.0 |
1,390,312 | (1),(3) | JP Morgan Mortgage Trust 2017-6 B3, 3.803%, 12/25/2048 | 1,434,117 | 0.0 |
926,874 | (1),(3) | JP Morgan Mortgage Trust 2017-6 B4, 3.803%, 12/25/2048 | 961,109 | 0.0 |
2,002,115 | (1),(3) | JP Morgan Mortgage Trust 2018-1 B1, 3.717%, 06/25/2048 | 2,055,974 | 0.0 |
1,927,209 | (1),(3) | JP Morgan Mortgage Trust 2018-1 B2, 3.717%, 06/25/2048 | 1,974,089 | 0.0 |
2,544,027 | (1),(3) | JP Morgan Mortgage Trust 2018-1 B3, 3.717%, 06/25/2048 | 2,625,353 | 0.0 |
2,463,309 | (1),(3) | JP Morgan Mortgage Trust 2018-3 B1, 3.761%, 09/25/2048 | 2,554,514 | 0.0 |
2,123,774 | (1),(3) | JP Morgan Mortgage Trust 2018-4 B2, 3.755%, 10/25/2048 | 2,189,166 | 0.0 |
1,962,284 | (1),(3) | JP Morgan Mortgage Trust 2018-6C B2, 3.930%, 12/25/2048 | 2,019,529 | 0.0 |
2,858,067 | (1),(3) | JP Morgan Mortgage Trust 2018-9 B3, 4.408%, 02/25/2049 | 2,930,399 | 0.0 |
597,931 | (1),(3) | JP Morgan Mortgage Trust 2019-1 A3, 4.000%, 05/25/2049 | 607,905 | 0.0 |
3,118,900 | (1),(3) | JP Morgan Mortgage Trust 2019-1 B1, 4.531%, 05/25/2049 | 3,330,893 | 0.1 |
204,781 | (1),(3) | JP Morgan Mortgage Trust 2019-2 A3, 4.000%, 08/25/2049 | 206,665 | 0.0 |
2,734,272 | (1),(3) | JP Morgan Mortgage Trust 2019-6 B1, 4.286%, 12/25/2049 | 2,962,881 | 0.0 |
4,127,950 | (1),(3) | JP Morgan Mortgage Trust 2019-6 B2, 4.286%, 12/25/2049 | 4,239,802 | 0.1 |
802,799 | (1),(3) | JP Morgan Mortgage Trust 2019-8 A15, 3.500%, 03/25/2050 | 821,133 | 0.0 |
1,750,000 | (1),(3) | JP Morgan Mortgage Trust 2019-8 A5, 3.500%, 03/25/2050 | 1,778,513 | 0.0 |
1,941,446 | (1),(3) | JP Morgan Mortgage Trust 2019-9 B2A, 3.503%, 05/25/2050 | 2,014,911 | 0.0 |
1,460,646 | (1),(3) | JP Morgan Mortgage Trust 2019-HYB1 B1, 3.822%, 10/25/2049 | 1,539,303 | 0.0 |
1,772,227 | (1),(3) | JP Morgan Mortgage Trust 2019-INV1 B3, 5.027%, 10/25/2049 | 1,876,115 | 0.0 |
1,043,641 | (1),(3) | JP Morgan Mortgage Trust 2019-LTV1 A3, 4.000%, 06/25/2049 | 1,050,411 | 0.0 |
1,023,474 | (1),(3) | JP Morgan Mortgage Trust 2019-LTV2 A18, 4.000%, 12/25/2049 | 1,033,421 | 0.0 |
3,521,721 | (1),(3) | JP Morgan Mortgage Trust 2019-LTV2 B3, 4.802%, 12/25/2049 | 3,668,415 | 0.1 |
2,463,142 | (1),(3) | JP Morgan Mortgage Trust 2020-1 A15, 3.500%, 06/25/2050 | 2,502,930 | 0.0 |
1,937,539 | (1),(3) | JP Morgan Mortgage Trust 2020-1 A7, 3.500%, 06/25/2050 | 1,972,686 | 0.0 |
1,269,627 | (1),(3) | JP Morgan Mortgage Trust 2020-1 B1, 3.883%, 06/25/2050 | 1,335,475 | 0.0 |
687,171 | (1),(3) | JP Morgan Mortgage Trust 2020-2 A15, 3.500%, 07/25/2050 | 701,633 | 0.0 |
706,543 | (1),(3) | JP Morgan Mortgage Trust 2020-3 A15, 3.500%, 08/25/2050 | 720,745 | 0.0 |
779,174 | (1),(3) | JP Morgan Mortgage Trust 2020-3 B2, 3.894%, 08/25/2050 | 820,350 | 0.0 |
2,400,294 | (1),(3) | JP Morgan Mortgage Trust 2020-4 A15, 3.000%, 11/25/2050 | 2,425,944 | 0.0 |
2,107,917 | (1),(3) | JP Morgan Mortgage Trust 2020-5 B3, 3.675%, 12/25/2050 | 2,178,283 | 0.0 |
2,419,122 | (1),(3) | JP Morgan Mortgage Trust 2020-7 A15, 3.000%, 01/25/2051 | 2,444,985 | 0.0 |
983,764 | (1),(3) | JP Morgan Mortgage Trust 2020-8 B2, 3.569%, 03/25/2051 | 1,021,176 | 0.0 |
515,206 | (1),(3) | JP Morgan Mortgage Trust 2020-INV1 A3, 3.500%, 08/25/2050 | 527,504 | 0.0 |
6,000,000 | (1),(3) | JP Morgan Mortgage Trust 2020-LTV1 A5, 3.500%, 06/25/2050 | 6,073,478 | 0.1 |
1,969,243 | (1),(3) | JP Morgan Mortgage Trust 2020-LTV2 A15, 3.000%, 11/25/2050 | 1,988,170 | 0.0 |
4,902,978 | (1),(3) | JP Morgan Mortgage Trust 2021-4 A15, 2.500%, 08/25/2051 | 4,976,026 | 0.1 |
3,790,373,100 | (1),(5),(6) | L Street Securities 2017-PM1 XIO, 0.300%, 10/25/2048 | 1,472,560 | 0.0 |
9,208,870 | (5) | Lehman Mortgage Trust 2006-9 2A5, 6.529%, (-1.000*US0001M + 6.620%), 01/25/2037 | 2,080,147 | 0.0 |
1,506,045 | | Lehman XS Trust Series 2005-5N 1A2, 0.452%, (US0001M + 0.360%), 11/25/2035 | 1,418,940 | 0.0 |
14,221,441 | (5) | Lehman Mortgage Trust 2006-7 2A4, 6.459%, (-1.000*US0001M + 6.550%), 11/25/2036 | 3,925,350 | 0.1 |
6,475,110 | (1),(3) | Mello Mortgage Capital Acceptance 2021-MTG2 A19, 2.500%, 06/01/2051 | 6,544,219 | 0.1 |
3,100,000 | (1) | Mello Warehouse Securitization Trust 2020-1 B, 1.242%, (US0001M + 1.150%), 10/25/2053 | 3,102,688 | 0.0 |
10,250,000 | (1) | Mello Warehouse Securitization Trust 2021-1 A, 0.806%, (US0001M + 0.700%), 02/25/2055 | 10,260,250 | 0.1 |
6,150,000 | (1) | Mello Warehouse Securitization Trust 2021-1 C, 1.206%, (US0001M + 1.100%), 02/25/2055 | 6,171,297 | 0.1 |
854,266 | (1),(3) | MFA 2020-NQM3 A3 Trust, 1.632%, 01/26/2065 | 855,902 | 0.0 |
4,248,565 | | Morgan Stanley Mortgage Loan Trust 2007-13 6A1, 6.000%, 10/25/2037 | 3,289,112 | 0.1 |
1,000,000 | (1),(3) | Morgan Stanley Residential Mortgage Loan Trust 2020-1 A5A, 2.500%, 12/25/2050 | 1,023,060 | 0.0 |
2,507,645 | (1),(3) | New Residential Mortgage Loan Trust 2017-3A B2, 4.750%, 04/25/2057 | 2,686,661 | 0.0 |
814,987 | (1),(3) | New Residential Mortgage Loan Trust 2017-6A B2, 4.000%, 08/27/2057 | 879,902 | 0.0 |
1,000,000 | (1) | Oaktown Re VI Ltd. 2021-1A M1C, 3.018%, (SOFR30A + 3.000%), 10/25/2033 | 1,025,375 | 0.0 |
775,405 | (1),(3) | OBX 2019-EXP1 1A3 Trust, 4.000%, 01/25/2059 | 790,995 | 0.0 |
850,831 | (1),(3) | OBX 2019-INV2 A25 Trust, 4.000%, 05/27/2049 | 861,146 | 0.0 |
9,826,000 | | Opteum Mortgage Acceptance Corp. Asset Backed Pass-Through Certificates 2005-4 M2, 0.842%, (US0001M + 0.500%), 11/25/2035 | 9,623,895 | 0.1 |
92,373 | | Prime Mortgage Trust 2007-1 A4, 5.500%, 03/25/2037 | 88,201 | 0.0 |
1,251,701 | (1),(3) | Provident Funding Mortgage Trust 2020-1 B3, 3.287%, 02/25/2050 | 1,291,137 | 0.0 |
6,000,000 | (1) | Radnor RE 2021-1 M1C Ltd., 2.710%, (SOFR30A + 2.700%), 12/27/2033 | 5,999,971 | 0.1 |
1,794,127 | (1),(3) | RCKT Mortgage Trust 2019-1 A13, 3.500%, 09/25/2049 | 1,819,676 | 0.0 |
939,808 | (1),(3) | RCKT Mortgage Trust 2020-1 A13, 3.000%, 02/25/2050 | 953,909 | 0.0 |
8,862,201 | | Seasoned Credit Risk Transfer Trust Series 2018-2, 3.500%, 11/25/2057 | 9,713,968 | 0.1 |
1,291,231 | | Seasoned Credit Risk Transfer Trust Series 2019-3 MA, 3.500%, 10/25/2058 | 1,359,513 | 0.0 |
309,054 | | Seasoned Credit Risk Transfer Trust Series 2019-4 M55D, 4.000%, 02/25/2059 | 339,817 | 0.0 |
27,840,000 | | Seasoned Loans Structured Transaction Trust Series 2019-3 A2C, 2.750%, 11/25/2029 | 29,570,314 | 0.3 |
1,014,633 | (1),(3) | Sequoia Mortgage Trust 2014-3 B3, 3.985%, 10/25/2044 | 1,037,229 | 0.0 |
1,118,994 | (1),(3) | Sequoia Mortgage Trust 2014-4 B3, 3.878%, 11/25/2044 | 1,148,991 | 0.0 |
1,287,586 | (1),(3) | Sequoia Mortgage Trust 2015-2 B3, 3.768%, 05/25/2045 | 1,317,316 | 0.0 |
1,149,855 | (1),(3) | Sequoia Mortgage Trust 2015-3 B3, 3.718%, 07/25/2045 | 1,185,945 | 0.0 |
730,336 | (1),(3) | Sequoia Mortgage Trust 2017-5 B3, 3.838%, 08/25/2047 | 748,768 | 0.0 |
3,154,816 | (1),(3) | Sequoia Mortgage Trust 2017-CH2 A13, 4.000%, 12/25/2047 | 3,209,980 | 0.0 |
560,457 | (1),(3) | Sequoia Mortgage Trust 2018-CH1 A19, 4.000%, 02/25/2048 | 568,419 | 0.0 |
2,531,689 | (1),(3) | Sequoia Mortgage Trust 2018-CH1 B2B, 4.487%, 02/25/2048 | 2,613,259 | 0.0 |
320,244 | (1),(3) | Sequoia Mortgage Trust 2019-1 A1, 4.000%, 02/25/2049 | 324,102 | 0.0 |
1,219,971 | (1),(3) | Sequoia Mortgage Trust 2019-4 A19, 3.500%, 11/25/2049 | 1,235,743 | 0.0 |
635,765 | (1),(3) | Sequoia Mortgage Trust 2019-5 A19, 3.500%, 12/25/2049 | 644,948 | 0.0 |
267,853 | (1),(3) | Sequoia Mortgage Trust 2019-CH1 A1, 4.500%, 03/25/2049 | 270,194 | 0.0 |
1,193,208 | (1),(3) | Sequoia Mortgage Trust 2019-CH2 A1, 4.500%, 08/25/2049 | 1,204,109 | 0.0 |
1,989,653 | (1),(3) | Sequoia Mortgage Trust 2020-1 A19, 3.500%, 02/25/2050 | 2,033,347 | 0.0 |
1,954,849 | (1),(3) | Sequoia Mortgage Trust 2020-2 A19, 3.500%, 03/25/2050 | 1,999,535 | 0.0 |
1,965,177 | (1),(3) | Sequoia Mortgage Trust 2020-2 B2, 3.665%, 03/25/2050 | 2,046,527 | 0.0 |
2,995,528 | (1),(3) | Sequoia Mortgage Trust 2020-3 B2, 3.359%, 04/25/2050 | 3,095,489 | 0.0 |
1,562,236 | (1),(3) | Sequoia Mortgage Trust 2020-4 A20, 2.500%, 11/25/2050 | 1,588,071 | 0.0 |
1,000,000 | (1),(3) | Sequoia Mortgage Trust 2021-5 B3, 3.059%, 07/25/2051 | 1,007,361 | 0.0 |
1,833,981 | (1),(3) | Shellpoint Co-Originator Trust 2017-2 B2, 3.712%, 10/25/2047 | 1,913,561 | 0.0 |
2,193,308 | (1),(3) | Starwood Mortgage Residential Trust 2019-1 A3, 3.299%, 06/25/2049 | 2,204,868 | 0.0 |
5,551 | (3) | Structured Adjustable Rate Mortgage Loan Trust 2004-12 7A3, 3.123%, 09/25/2034 | 5,677 | 0.0 |
2,359,252 | (1),(3) | TIAA Bank Mortgage Loan Trust 2018-2 B2, 3.783%, 07/25/2048 | 2,419,412 | 0.0 |
880,097 | (1),(7) | Verus Securitization Trust 2019-4 A3, 3.000% (Step Rate @ 4.000% on 10/25/2023), 11/25/2059 | 895,524 | 0.0 |
2,440,815 | (1),(3) | Verus Securitization Trust 2019-INV2 A2, 3.117%, 07/25/2059 | 2,487,419 | 0.0 |
1,162,772 | (1),(3) | Verus Securitization Trust 2020-INV1 A1, 1.977%, 03/25/2060 | 1,179,031 | 0.0 |
1,000,000 | (1),(3) | Verus Securitization Trust 2020-INV1 A2, 3.035%, 03/25/2060 | 1,033,637 | 0.0 |
575,432 | (3) | Wachovia Mortgage Loan LLC Series 2005-B 2A1, 2.510%, 10/20/2035 | 530,783 | 0.0 |
230,212 | (3) | WaMu Mortgage Pass Through Certificates Series 2006-AR12 2A3, 2.514%, 10/25/2036 | 224,428 | 0.0 |
3,250,867 | (3) | WaMu Mortgage Pass-Through Certificates Series 2004-AR4 A6 Trust, 2.605%, 06/25/2034 | 3,298,622 | 0.1 |
1,912,352 | | WaMu Mortgage Pass-Through Certificates Series 2005-AR11 A1C3, 1.112%, (US0001M + 0.510%), 08/25/2045 | 1,912,192 | 0.0 |
63,929,794 | (3),(5) | WaMu Mortgage Pass-Through Certificates Series 2005-AR11 X, 1.765%, 08/25/2045 | 2,702,325 | 0.0 |
1,414,746 | | WaMu Mortgage Pass-Through Certificates Series 2005-AR13 A1C3, 1.072%, (US0001M + 0.490%), 10/25/2045 | 1,405,375 | 0.0 |
307,115 | (3) | WaMu Mortgage Pass-Through Certificates Series 2006-AR12 1A1, 3.066%, 10/25/2036 | 308,784 | 0.0 |
654,529 | (3) | WaMu Mortgage Pass-Through Certificates Series 2006-AR14 1A4, 2.611%, 11/25/2036 | 651,424 | 0.0 |
893,615 | (3) | WaMu Mortgage Pass-Through Certificates Series 2006-AR16 2A1, 2.492%, 12/25/2036 | 853,787 | 0.0 |
2,065,942 | (3) | WaMu Mortgage Pass-Through Certificates Series 2006-AR16 2A3, 2.492%, 12/25/2036 | 1,973,864 | 0.0 |
1,153,030 | (3) | WaMu Mortgage Pass-Through Certificates Series 2006-AR16 3A1, 3.103%, 12/25/2036 | 1,115,201 | 0.0 |
1,018,725 | (3) | WaMu Mortgage Pass-Through Certificates Series 2006-AR8 1A4, 3.076%, 08/25/2046 | 1,014,163 | 0.0 |
1,500,752 | (3) | WaMu Mortgage Pass-Through Certificates Series 2007-HY2 1A1, 3.050%, 12/25/2036 | 1,505,377 | 0.0 |
397,522 | (3) | WaMu Mortgage Pass-Through Certificates Series 2007-HY3 1A1, 2.830%, 03/25/2037 | 368,115 | 0.0 |
1,039,029 | (3) | WaMu Mortgage Pass-Through Certificates Series 2007-HY4 1A1, 2.716%, 04/25/2037 | 988,829 | 0.0 |
1,320,451 | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-10 2A3, 0.992%, (US0001M + 0.900%), 11/25/2035 | 1,173,549 | 0.0 |
1,158,257 | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-11 A1, 5.750%, 01/25/2036 | 1,111,437 | 0.0 |
798,730 | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-5 CB3, 5.500%, 07/25/2035 | 794,558 | 0.0 |
338,800 | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-8 1A2, 5.500%, 10/25/2035 | 339,609 | 0.0 |
3,860,868 | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR6 2A, 1.076%, (12MTA + 0.960%), 08/25/2046 | 2,613,041 | 0.0 |
609,622 | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OC1 A3, 0.322%, (US0001M + 0.230%), 01/25/2047 | 619,569 | 0.0 |
1,262,952 | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OC1 A4, 0.412%, (US0001M + 0.320%), 01/25/2047 | 1,296,699 | 0.0 |
612,921 | | Wells Fargo Alternative Loan 2007-PA2 2A1, 0.522%, (US0001M + 0.430%), 06/25/2037 | 490,151 | 0.0 |
796,770 | | Wells Fargo Alternative Loan 2007-PA3 3A1, 6.250%, 07/25/2037 | 798,246 | 0.0 |
221,801 | (3) | Wells Fargo Mortgage Backed Securities 2006-AR4 2A4, 2.827%, 04/25/2036 | 217,677 | 0.0 |
1,987,942 | (1),(3) | Wells Fargo Mortgage Backed Securities 2019-4 B3 Trust, 3.555%, 09/25/2049 | 2,029,855 | 0.0 |
1,327,541 | (1),(3) | Wells Fargo Mortgage Backed Securities 2020-1 A17 Trust, 3.000%, 12/25/2049 | 1,349,527 | 0.0 |
1,574,613 | (1),(3) | Wells Fargo Mortgage Backed Securities 2020-2 A17 Trust, 3.000%, 12/25/2049 | 1,586,609 | 0.0 |
3,000,000 | (1),(3) | Wells Fargo Mortgage Backed Securities 2020-2 A5 Trust, 3.000%, 12/25/2049 | 3,072,351 | 0.0 |
2,927,679 | (1),(3) | Wells Fargo Mortgage Backed Securities 2020-2 B1 Trust, 3.249%, 12/25/2049 | 3,022,820 | 0.0 |
3,917,505 | (1),(3) | Wells Fargo Mortgage Backed Securities 2020-4 B1 Trust, 3.216%, 07/25/2050 | 4,129,272 | 0.1 |
832,448 | (1),(3) | WinWater Mortgage Loan Trust 2015-5 B3, 3.760%, 08/20/2045 | 836,901 | 0.0 |
1,357,991 | (1),(3) | WinWater Mortgage Loan Trust 2015-5 B4, 3.760%, 08/20/2045 | 1,358,372 | 0.0 |
| | | | |
| Total Collateralized Mortgage Obligations | | |
| (Cost $1,578,645,251) | 1,628,422,779 | 15.8 |
| | | |
U.S. TREASURY OBLIGATIONS: 10.8% | |
| | U.S. Treasury Bonds: 3.5% |
58,000 | | 1.250%, 05/15/2050 | 47,376 | 0.0 |
2,699,000 | | 1.375%, 11/15/2040 | 2,425,515 | 0.1 |
268,000 | (2) | 1.625%, 11/15/2050 | 240,781 | 0.0 |
131,520,000 | (2) | 1.875%, 02/15/2051 | 125,560,500 | 1.2 |
219,193,000 | | 2.250%, 05/15/2041 | 228,131,965 | 2.2 |
| | | 356,406,137 | 3.5 |
| | | | |
| | U.S. Treasury Notes: 7.3% |
45,504,000 | | 0.125%, 05/31/2023 | 45,409,793 | 0.4 |
180,431,000 | | 0.125%, 06/30/2023 | 180,004,591 | 1.7 |
100,000 | | 0.125%, 10/15/2023 | 99,590 | 0.0 |
195,897,000 | | 0.250%, 06/15/2024 | 194,710,904 | 1.9 |
132,000 | | 0.625%, 05/15/2030 | 123,405 | 0.0 |
176,843,000 | | 0.875%, 06/30/2026 | 176,767,012 | 1.7 |
2,336,000 | (2) | 1.125%, 02/15/2031 | 2,268,110 | 0.0 |
139,622,000 | | 1.250%, 06/30/2028 | 139,851,067 | 1.4 |
17,505,000 | (2) | 1.625%, 05/15/2031 | 17,775,780 | 0.2 |
| | | 757,010,252 | 7.3 |
| | | | |
| Total U.S. Treasury Obligations | | |
| (Cost $1,098,463,747) | 1,113,416,389 | 10.8 |
| | | |
U.S. GOVERNMENT AGENCY OBLIGATIONS: 10.0% | |
| | Federal Home Loan Mortgage Corporation: 2.5%(8) |
3,224 | | 2.047%, (US0012M + 1.773%),05/01/2037 | 3,421 | 0.0 |
374,274 | | 2.500%, 05/01/2030 | 393,036 | 0.0 |
719,786 | | 2.500%, 05/01/2030 | 758,192 | 0.0 |
849,661 | | 2.500%, 06/01/2030 | 894,991 | 0.0 |
1,074,256 | | 3.000%, 11/01/2042 | 1,143,532 | 0.0 |
1,099,704 | | 3.000%, 02/01/2043 | 1,170,028 | 0.0 |
1,407,983 | | 3.000%, 03/01/2045 | 1,501,307 | 0.0 |
1,097,057 | | 3.000%, 03/01/2045 | 1,163,164 | 0.0 |
3,293,695 | | 3.000%, 04/01/2045 | 3,506,209 | 0.0 |
3,437,218 | | 3.000%, 04/01/2045 | 3,665,025 | 0.0 |
1,554,366 | | 3.000%, 10/01/2046 | 1,664,141 | 0.0 |
13,677,237 | | 3.000%, 10/01/2046 | 14,493,524 | 0.1 |
5,002,599 | | 3.000%, 03/01/2048 | 5,298,000 | 0.1 |
6,242,269 | | 3.000%, 03/01/2048 | 6,625,531 | 0.1 |
15,360,021 | | 3.000%, 08/01/2048 | 16,198,799 | 0.2 |
5,398,208 | | 3.500%, 01/01/2045 | 5,813,504 | 0.1 |
1,564,383 | | 3.500%, 03/01/2045 | 1,680,004 | 0.0 |
14,601,277 | | 3.500%, 12/01/2046 | 15,751,267 | 0.2 |
7,932,073 | | 3.500%, 12/01/2046 | 8,615,871 | 0.1 |
5,931,713 | | 3.500%, 04/01/2047 | 6,490,662 | 0.1 |
5,311,478 | | 3.500%, 07/01/2047 | 5,624,671 | 0.1 |
4,709,849 | | 3.500%, 10/01/2047 | 4,988,296 | 0.1 |
17,322,285 | | 3.500%, 01/01/2048 | 18,508,804 | 0.2 |
2,260,136 | | 3.500%, 03/01/2048 | 2,439,234 | 0.0 |
39,329,044 | | 3.500%, 03/01/2048 | 42,623,917 | 0.4 |
25,846,352 | | 3.500%, 11/01/2048 | 28,011,757 | 0.3 |
577,931 | | 4.000%, 10/01/2041 | 633,118 | 0.0 |
4,536 | | 4.500%, 01/01/2041 | 5,061 | 0.0 |
5,966 | | 4.500%, 01/01/2041 | 6,576 | 0.0 |
274,198 | | 4.500%, 10/01/2041 | 303,483 | 0.0 |
357,250 | | 4.500%, 10/01/2044 | 391,951 | 0.0 |
673,367 | | 4.500%, 12/01/2045 | 735,552 | 0.0 |
390,011 | | 4.500%, 04/01/2047 | 420,512 | 0.0 |
2,142,980 | | 4.500%, 04/01/2047 | 2,335,085 | 0.0 |
1,428,214 | | 4.500%, 04/01/2047 | 1,551,868 | 0.0 |
3,768,344 | | 4.500%, 04/01/2047 | 4,172,315 | 0.1 |
2,740,494 | | 4.500%, 04/01/2047 | 2,991,682 | 0.0 |
1,322,496 | | 4.500%, 05/01/2047 | 1,447,976 | 0.0 |
2,160,706 | | 4.500%, 05/01/2047 | 2,346,296 | 0.0 |
1,248,528 | | 4.500%, 05/01/2047 | 1,387,695 | 0.0 |
1,643,118 | | 4.500%, 05/01/2047 | 1,829,290 | 0.0 |
2,191,308 | | 4.500%, 05/01/2047 | 2,439,607 | 0.0 |
1,691,454 | | 4.500%, 06/01/2047 | 1,836,206 | 0.0 |
1,030,477 | | 4.500%, 06/01/2047 | 1,140,946 | 0.0 |
1,104,294 | | 4.500%, 06/01/2047 | 1,199,140 | 0.0 |
2,801,065 | | 4.500%, 07/01/2047 | 3,039,943 | 0.0 |
777,612 | | 4.500%, 08/01/2047 | 845,233 | 0.0 |
77,678 | | 5.000%, 06/01/2033 | 88,756 | 0.0 |
17,180 | | 5.000%, 09/01/2033 | 19,255 | 0.0 |
51,664 | | 5.000%, 11/01/2033 | 58,944 | 0.0 |
15,761 | | 5.000%, 03/01/2034 | 17,648 | 0.0 |
17,666 | | 5.000%, 03/01/2034 | 20,132 | 0.0 |
121,388 | | 5.000%, 02/01/2035 | 138,678 | 0.0 |
75,246 | | 5.000%, 06/01/2035 | 86,020 | 0.0 |
4,433 | | 5.000%, 06/01/2035 | 5,072 | 0.0 |
44,196 | | 5.000%, 07/01/2035 | 50,566 | 0.0 |
257,892 | | 5.000%, 08/01/2035 | 295,299 | 0.0 |
367,825 | | 5.000%, 10/01/2035 | 420,894 | 0.0 |
14,450 | | 5.000%, 10/01/2035 | 16,475 | 0.0 |
208,804 | | 5.000%, 02/01/2036 | 239,318 | 0.0 |
3,064 | | 5.000%, 03/01/2036 | 3,510 | 0.0 |
38,797 | | 5.000%, 03/01/2036 | 44,433 | 0.0 |
6,270 | | 5.000%, 05/01/2036 | 7,179 | 0.0 |
4,172 | | 5.000%, 06/01/2036 | 4,776 | 0.0 |
170,830 | | 5.000%, 07/01/2036 | 195,046 | 0.0 |
109,608 | | 5.000%, 11/01/2040 | 125,614 | 0.0 |
53,000 | | 5.000%, 05/01/2041 | 60,689 | 0.0 |
336,409 | | 5.000%, 06/01/2041 | 381,465 | 0.0 |
182,339 | | 5.000%, 06/01/2041 | 208,788 | 0.0 |
105,518 | | 5.500%, 03/01/2037 | 120,273 | 0.0 |
113,080 | | 5.500%, 06/01/2039 | 131,405 | 0.0 |
991,246 | | 5.500%, 10/01/2039 | 1,145,716 | 0.0 |
40,848 | | 6.000%, 09/01/2036 | 45,819 | 0.0 |
258 | | 6.500%, 02/01/2028 | 289 | 0.0 |
519 | | 6.500%, 09/01/2031 | 582 | 0.0 |
136 | | 6.500%, 09/01/2031 | 153 | 0.0 |
14,614 | | 6.500%, 11/01/2031 | 16,772 | 0.0 |
5,759 | | 6.500%, 04/01/2032 | 6,485 | 0.0 |
4,000 | | 6.500%, 08/01/2032 | 4,493 | 0.0 |
1,237 | | 6.500%, 08/01/2032 | 1,415 | 0.0 |
5,621 | | 7.000%, 12/01/2027 | 5,701 | 0.0 |
835 | | 7.000%, 10/01/2031 | 854 | 0.0 |
614 | | 7.000%, 03/01/2032 | 632 | 0.0 |
948 | | 7.500%, 09/01/2030 | 1,104 | 0.0 |
3,048 | | 7.500%, 09/01/2031 | 3,603 | 0.0 |
13,348 | | 7.500%, 02/01/2032 | 15,256 | 0.0 |
| | | 521,564,498 | 5.0 |
| | | | |
| Total U.S. Government Agency Obligations | | |
| (Cost $997,841,329) | 1,036,050,117 | 10.0 |
| | | |
ASSET-BACKED SECURITIES: 16.8% | |
| | Automobile Asset-Backed Securities: 1.0% |
5,950,000 | | Americredit Automobile Receivables Trust 2018-2 D, 4.010%, 07/18/2024 | 6,236,065 | 0.1 |
8,440,000 | | Americredit Automobile Receivables Trust 2019-1 D, 3.620%, 03/18/2025 | 8,896,434 | 0.1 |
5,750,000 | | AmeriCredit Automobile Receivables Trust 2019-3 C, 2.320%, 07/18/2025 | 5,929,509 | 0.1 |
5,050,000 | | AmeriCredit Automobile Receivables Trust 2019-3 D, 2.580%, 09/18/2025 | 5,250,901 | 0.0 |
8,300,000 | | AmeriCredit Automobile Receivables Trust 2020-1 D, 1.800%, 12/18/2025 | 8,479,602 | 0.1 |
3,650,000 | | AmeriCredit Automobile Receivables Trust 2020-3 A3, 0.530%, 06/18/2025 | 3,663,158 | 0.0 |
750,000 | | CarMax Auto Owner Trust 2017-4 D, 3.300%, 05/15/2024 | 757,878 | 0.0 |
1,500,000 | | Carmax Auto Owner Trust 2018-4 D, 4.150%, 04/15/2025 | 1,573,132 | 0.0 |
3,030,000 | | Exeter Automobile Receivables Trust 2020-3A C, 1.320%, 07/15/2025 | 3,062,251 | 0.0 |
6,150,000 | (1) | Oscar US Funding XI LLC 2019-2A A4, 2.680%, 09/10/2026 | 6,388,536 | 0.1 |
441,455 | | Santander Drive Auto Receivables Trust 2018-1 D, 3.320%, 03/15/2024 | 447,336 | 0.0 |
9,100,000 | | Santander Drive Auto Receivables Trust 2018-4 D, 3.980%, 12/15/2025 | 9,355,295 | 0.1 |
2,850,000 | | Santander Drive Auto Receivables Trust 2019-3 C, 2.490%, 10/15/2025 | 2,882,936 | 0.0 |
7,550,000 | | Santander Drive Auto Receivables Trust 2019-3 D, 2.680%, 10/15/2025 | 7,740,429 | 0.1 |
9,600,000 | | Santander Drive Auto Receivables Trust 2020-1 B, 3.030%, 11/15/2024 | 9,788,078 | 0.1 |
12,400,000 | | Santander Drive Auto Receivables Trust 2020-2 C, 1.460%, 09/15/2025 | 12,546,202 | 0.1 |
4,550,000 | | Santander Drive Auto Receivables Trust 2020-2 D, 2.220%, 09/15/2026 | 4,661,015 | 0.0 |
4,150,000 | | Santander Drive Auto Receivables Trust 2020-3 C, 1.120%, 01/15/2026 | 4,188,967 | 0.0 |
6,050,000 | (1) | Westlake Automobile Receivables Trust 2021-2A C, 0.890%, 07/15/2026 | 6,055,118 | 0.1 |
| | | 107,902,842 | 1.0 |
| | | | |
| | Credit Card Asset-Backed Securities: 0.0% |
600,000 | | Synchrony Credit Card Master Note Trust 2017-2 C, 3.010%, 10/15/2025 | 617,168 | 0.0 |
| | | | |
| | Home Equity Asset-Backed Securities: 0.2% |
3,242,213 | (1),(3) | ACE Securities Corp. Mortgage Loan Trust Series 2007-D1 A2, 6.336%, 02/25/2038 | 3,103,508 | 0.0 |
5,950,311 | | Freddie Mac Structured Pass Through Certificates T-31 A7, 0.342%, (US0001M + 0.250%), 05/25/2031 | 5,931,090 | 0.1 |
5,038,327 | (3) | GSAA Home Equity Trust 2006-4 4A3, 3.059%, 03/25/2036 | 3,992,956 | 0.1 |
3,170,712 | (3) | GSAA Trust 2006-7 AF2, 5.995%, 03/25/2046 | 1,835,346 | 0.0 |
190,312 | (3) | HSI Asset Loan Obligation Trust 2007-WF1 A6, 4.814%, 12/25/2036 | 158,185 | 0.0 |
671,007 | | Nomura Home Equity Loan, Inc. Home Equity Loan Trust Series 2007-1 2A3, 0.412%, (US0001M + 0.160%), 02/25/2037 | 662,756 | 0.0 |
814,173 | | Nomura Home Equity Loan, Inc. Home Equity Loan Trust Series 2007-1 2A4A, 0.552%, (US0001M + 0.230%), 02/25/2037 | 796,641 | 0.0 |
2,102,421 | (3) | Renaissance Home Equity Loan Trust 2005-3 AF4, 5.140%, 11/25/2035 | 2,266,074 | 0.0 |
| | | 18,746,556 | 0.2 |
| | | | |
| | Other Asset-Backed Securities: 14.0% |
19,500,000 | (1) | ACRES Commercial Realty 2021-FL1 A Ltd., 1.273%, (US0001M + 1.200%), 06/15/2036 | 19,512,057 | 0.2 |
14,931,000 | (1) | ACRES Commercial Realty 2021-FL1 AS Ltd., 1.673%, (US0001M + 1.600%), 06/15/2036 | 14,940,206 | 0.2 |
9,500,000 | (1) | AGL CLO 5 Ltd. 2020-5A A1R, 1.311%, (US0003M + 1.160%), 07/20/2034 | 9,500,997 | 0.1 |
6,750,000 | (1) | AIG CLO 2021-1A C, 1.934%, (US0003M + 1.750%), 04/22/2034 | 6,752,281 | 0.1 |
8,850,000 | (1) | Aimco CLO 11 Ltd. 2020-11A A2, 1.484%, (US0003M + 1.300%), 10/15/2031 | 8,853,912 | 0.1 |
10,000,000 | (1) | Allegany Park CLO Ltd. 2019-1A A, 1.518%, (US0003M + 1.330%), 01/20/2033 | 10,016,360 | 0.1 |
1,059,238 | (1),(3),(4),(5),(6) | American Homes 4 Rent 2015-SFR1 XS, 0.000%, 04/17/2052 | – | – |
1,850,000 | (1) | AMMC CLO 16 Ltd. 2015-16A CR2, 2.136%, (US0003M + 1.950%), 04/14/2029 | 1,832,560 | 0.0 |
9,975,646 | (1) | AMMC CLO 15 Ltd. 2014-15A ARR, 1.444%, (US0003M + 1.260%), 01/15/2032 | 9,976,414 | 0.1 |
3,900,000 | (1) | Apidos CLO XII 2013-12A AR, 1.264%, (US0003M + 1.080%), 04/15/2031 | 3,894,992 | 0.0 |
500,000 | (1) | Apidos CLO XII 2013-12A CR, 1.984%, (US0003M + 1.800%), 04/15/2031 | 500,023 | 0.0 |
20,000,000 | (1) | Apidos CLO XXXII 2019-32A A1, 1.508%, (US0003M + 1.320%), 01/20/2033 | 20,017,980 | 0.2 |
11,400,000 | (1) | Apidos CLO XXXIII 2020-33A A, 1.876%, (US0003M + 1.700%), 07/24/2031 | 11,404,560 | 0.1 |
10,000,000 | (1) | Apidos CLO XXXV 2021-35A C, 1.849%, (US0003M + 1.650%), 04/20/2034 | 9,983,410 | 0.1 |
4,416,625 | (1) | Applebee's Funding LLC / IHOP Funding LLC 2019-1A A2I, 4.194%, 06/07/2049 | 4,546,538 | 0.0 |
2,034,625 | (1) | Applebee's Funding LLC / IHOP Funding LLC 2019-1A A2II, 4.723%, 06/07/2049 | 2,157,693 | 0.0 |
2,676,814 | (1) | Aqua Finance Trust 2019-A A, 3.140%, 07/16/2040 | 2,751,328 | 0.0 |
4,945,173 | (1) | Aqua Finance Trust 2020-AA A, 1.900%, 07/17/2046 | 5,004,771 | 0.1 |
7,245,250 | (1) | Arbys Funding LLC 2020-1A A2, 3.237%, 07/30/2050 | 7,610,611 | 0.1 |
10,000,000 | (1) | ARES XLVI CLO Ltd. 2017-46A A2, 1.414%, (US0003M + 1.230%), 01/15/2030 | 9,969,360 | 0.1 |
3,890,000 | (1) | Babson CLO Ltd. 2017-1A A2, 1.540%, (US0003M + 1.350%), 07/18/2029 | 3,889,265 | 0.0 |
6,361,000 | (1) | Babson CLO Ltd. 2018-3A A2, 1.488%, (US0003M + 1.300%), 07/20/2029 | 6,360,981 | 0.1 |
9,600,000 | (1) | Bardot CLO Ltd. 2019-2A A2, 1.834%, (US0003M + 1.650%), 10/22/2032 | 9,613,594 | 0.1 |
3,750,000 | (1) | Barings Clo Ltd. 2019-4A C, 2.984%, (US0003M + 2.800%), 01/15/2033 | 3,759,765 | 0.0 |
4,250,000 | (1) | Beechwood Park CLO Ltd. 2019-1A A1, 1.520%, (US0003M + 1.330%), 01/17/2033 | 4,258,776 | 0.0 |
6,500,000 | (1) | Benefit Street Partners CLO IV Ltd. 2014-IVA BRRR, 2.338%, (US0003M + 2.150%), 01/20/2032 | 6,467,565 | 0.1 |
13,900,000 | (1) | Benefit Street Partners CLO Ltd. 2021-23A A1, 1.293%, (US0003M + 1.080%), 04/25/2034 | 13,904,921 | 0.1 |
4,600,000 | (1) | Benefit Street Partners CLO Ltd. 2021-23A C, 2.413%, (US0003M + 2.200%), 04/25/2034 | 4,601,504 | 0.0 |
15,250,000 | (1) | Benefit Street Partners CLO VIII Ltd. 2015-8A A1BR, 1.388%, (US0003M + 1.200%), 01/20/2031 | 15,215,215 | 0.2 |
11,560,000 | (1) | Benefit Street Partners CLO X Ltd. 2016-10A BRR, 2.338%, (US0003M + 2.150%), 04/20/2034 | 11,494,883 | 0.1 |
2,500,000 | (1) | Benefit Street Partners Clo XII Ltd. 2017-12A A1, 1.434%, (US0003M + 1.250%), 10/15/2030 | 2,500,808 | 0.0 |
5,000,000 | (1) | Benefit Street Partners CLO XIV Ltd. 2018-14A A2, 1.338%, (US0003M + 1.150%), 04/20/2031 | 4,966,650 | 0.1 |
17,350,000 | (1) | Benefit Street Partners CLO XIX Ltd. 2019-19A A, 1.534%, (US0003M + 1.350%), 01/15/2033 | 17,369,328 | 0.2 |
5,350,000 | (1) | BlueMountain CLO Ltd. 2021-28A C, 2.163%, (US0003M + 2.000%), 04/15/2034 | 5,324,357 | 0.1 |
6,500,000 | (1) | Bojangles Issuer LLC 2020-3A A2, 3.832%, 10/20/2050 | 6,807,070 | 0.1 |
7,570,000 | (1) | Broad River Bsl Funding Clo Ltd. 2020-1A AR, 1.248%, (US0003M + 1.170%), 07/20/2034 | 7,585,571 | 0.1 |
4,400,000 | (1) | Broad River Bsl Funding Clo Ltd. 2020-1A CR, 2.078%, (US0003M + 2.000%), 07/20/2034 | 4,400,431 | 0.0 |
10,000,000 | (1) | Carbone CLO Ltd. 2017-1A A1, 1.328%, (US0003M + 1.140%), 01/20/2031 | 10,003,570 | 0.1 |
689,945 | (1) | Carlyle Global Market Strategies CLO 2014-2RA A1 Ltd., 1.206%, (US0003M + 1.050%), 05/15/2031 | 688,564 | 0.0 |
27,000,000 | (1) | Carlyle Global Market Strategies CLO 2016-1 Ltd. 2016-1A A1R2, 1.300%, (US0003M + 1.140%), 04/20/2034 | 27,019,467 | 0.3 |
3,250,000 | (1) | Carlyle Global Market Strategies CLO Ltd. 2014-1A A2R2, 1.320%, (US0003M + 1.130%), 04/17/2031 | 3,250,215 | 0.0 |
11,000,000 | (1) | Carlyle US CLO 2017-3A BR Ltd., 2.188%, (US0003M + 2.000%), 07/20/2029 | 10,964,459 | 0.1 |
10,000,000 | (1) | Cedar Funding IV CLO Ltd. 2014-4A CRR, 2.146%, (US0003M + 2.000%), 07/23/2034 | 10,000,000 | 0.1 |
21,700,000 | (1) | Cedar Funding IV CLO Ltd.2014-4A ARR, 1.306%, (US0003M + 1.160%), 07/23/2034 | 21,743,704 | 0.2 |
3,530,000 | (1) | Cedar Funding VIII Clo Ltd. 2017-8A A1, 1.440%, (US0003M + 1.250%), 10/17/2030 | 3,530,858 | 0.0 |
37,149 | | Chase Funding Trust Series 2003-5 2A2, 0.692%, (US0001M + 0.600%), 07/25/2033 | 35,987 | 0.0 |
2,150,000 | (1) | CIFC Funding 2017-2A CR Ltd., 1.978%, (US0003M + 1.850%), 04/20/2030 | 2,150,056 | 0.0 |
3,000,000 | (1) | CIFC Funding 2017-5A A1, 1.370%, (US0003M + 1.180%), 11/16/2030 | 3,000,822 | 0.0 |
8,750,000 | (1) | CIFC Funding 2018-1A A Ltd., 1.190%, (US0003M + 1.000%), 04/18/2031 | 8,751,374 | 0.1 |
11,380,000 | (1) | CIFC Funding 2019-6A A1 Ltd., 1.514%, (US0003M + 1.330%), 01/16/2033 | 11,391,403 | 0.1 |
3,000,000 | (1) | CIFC Funding 2019-6A A2 Ltd., 1.934%, (US0003M + 1.750%), 01/16/2033 | 3,009,033 | 0.0 |
6,000,000 | (1) | CIFC Funding 2020-3A A2 Ltd., 1.788%, (US0003M + 1.600%), 10/20/2031 | 6,008,166 | 0.1 |
7,300,000 | (1) | CIFC Funding 2021-IA A1 Ltd., 1.246%, (US0003M + 1.110%), 04/25/2033 | 7,290,985 | 0.1 |
3,065,250 | (1) | CLI Funding VI LLC 2020-1A A, 2.080%, 09/18/2045 | 3,096,022 | 0.0 |
9,668,809 | (1) | CLI Funding VIII LLC 2021-1A A, 1.640%, 02/18/2046 | 9,607,944 | 0.1 |
7,425,000 | | Countrywide Asset-Backed Certificates 2005-AB2 M1, 0.797%, (US0001M + 0.705%), 09/25/2035 | 7,361,756 | 0.1 |
8,376,278 | | Credit-Based Asset Servicing & Securitization LLC 2006-CB8 A2C, 0.392%, (US0001M + 0.150%), 10/25/2036 | 7,733,478 | 0.1 |
4,666,875 | (1) | DB Master Finance LLC 2019-1A A23, 4.352%, 05/20/2049 | 5,172,030 | 0.1 |
2,407,125 | (1) | DB Master Finance LLC 2019-1A A2II, 4.021%, 05/20/2049 | 2,550,420 | 0.0 |
4,200,000 | (1) | Deer Creek Clo Ltd. 2017-1A A, 1.368%, (US0003M + 1.180%), 10/20/2030 | 4,200,550 | 0.0 |
7,000,000 | (1) | Dewolf Park Clo Ltd. 2017-1A A, 1.394%, (US0003M + 1.210%), 10/15/2030 | 6,999,986 | 0.1 |
2,583,750 | (1) | Domino's Pizza Master Issuer LLC 2018-1A A211, 4.328%, 07/25/2048 | 2,822,074 | 0.0 |
8,196,250 | (1) | Domino's Pizza Master Issuer LLC 2019-1A A2, 3.668%, 10/25/2049 | 8,899,719 | 0.1 |
12,200,000 | (1) | Domino's Pizza Master Issuer LLC 2021-1A A2II, 3.151%, 04/25/2051 | 12,827,057 | 0.1 |
5,718,375 | (1) | Driven Brands Funding LLC 2019-1A A2, 4.641%, 04/20/2049 | 6,182,113 | 0.1 |
2,279,500 | (1) | Driven Brands Funding, LLC 2018-1A A2, 4.739%, 04/20/2048 | 2,434,739 | 0.0 |
6,400,000 | (1) | Dryden 49 Senior Loan Fund 2017-49A CR, 2.240%, (US0003M + 2.050%), 07/18/2030 | 6,401,626 | 0.1 |
11,400,000 | (1) | Dryden 75 CLO Ltd. 2019-75A CR2, 2.002%, (US0003M + 1.800%), 04/15/2034 | 11,354,742 | 0.1 |
8,850,000 | (1) | Dryden 78 CLO Ltd. 2020-78A A, 1.370%, (US0003M + 1.180%), 04/17/2033 | 8,859,248 | 0.1 |
5,565,000 | (1) | Dryden XXVIII Senior Loan Fund 2013-28A A1LR, 1.356%, (US0003M + 1.200%), 08/15/2030 | 5,566,141 | 0.1 |
8,000,000 | (1) | Eaton Vance Clo 2015-1A A2R Ltd., 1.438%, (US0003M + 1.250%), 01/20/2030 | 7,992,664 | 0.1 |
16,000,000 | (1) | Elevation CLO 2014-2A A1R Ltd., 1.414%, (US0003M + 1.230%), 10/15/2029 | 16,000,496 | 0.2 |
13,000,000 | (1) | Elmwood CLO IX Ltd. 2021-2A A, 1.276%, (US0003M + 1.130%), 07/20/2034 | 13,005,187 | 0.1 |
4,228,050 | (1) | Five Guys Holdings, Inc. 2017-1A A2, 4.600%, 07/25/2047 | 4,423,842 | 0.0 |
11,150,000 | (1) | Galaxy XXI CLO Ltd. 2015-21A AR, 1.208%, (US0003M + 1.020%), 04/20/2031 | 11,152,966 | 0.1 |
2,300,000 | (1) | Gilbert Park CLO Ltd. 2017-1A A, 1.374%, (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, 1.338%, (US0003M + 1.150%), 11/28/2030 | 7,000,959 | 0.1 |
3,785,474 | (1) | Helios Issuer LLC 2021-A A4, 1.800%, 02/20/2048 | 3,769,050 | 0.0 |
4,534,184 | (1) | Helios Issuer, LLC 2018-1A A, 4.870%, 07/20/2048 | 4,940,341 | 0.1 |
930,929 | (1) | HERO Funding Trust 2015-2A A, 3.990%, 09/20/2040 | 980,913 | 0.0 |
896,445 | (1) | HERO Funding Trust 2016-2A A, 3.750%, 09/20/2041 | 940,142 | 0.0 |
2,285,026 | (1) | HERO Funding Trust 2016-4A A2, 4.290%, 09/20/2047 | 2,377,662 | 0.0 |
7,750,000 | (1) | Jay Park CLO Ltd. 2016-1A BR, 2.188%, (US0003M + 2.000%), 10/20/2027 | 7,740,328 | 0.1 |
3,925,081 | (1) | JG Wentworth XLII LLC 2018-2A A, 3.960%, 10/15/2075 | 4,413,154 | 0.0 |
2,818,547 | (1) | JGWPT XXXIII LLC 2014-3A A, 3.500%, 06/15/2077 | 3,078,688 | 0.0 |
20,900,000 | (1) | Kayne CLO 6 Ltd. 2019-6A A1, 1.568%, (US0003M + 1.380%), 01/20/2033 | 20,925,853 | 0.2 |
6,000,000 | (1) | Kayne CLO 6 Ltd. 2019-6A A2, 2.038%, (US0003M + 1.850%), 01/20/2033 | 6,021,618 | 0.1 |
4,250,000 | (1) | Kayne CLO 7 Ltd. 2020-7A A1, 1.390%, (US0003M + 1.200%), 04/17/2033 | 4,264,535 | 0.0 |
7,130,000 | (1) | Kayne CLO I Ltd. 2018-1A CR, 1.934%, (US0003M + 1.750%), 07/15/2031 | 7,125,865 | 0.1 |
6,000,000 | (1),(9) | KKR CLO 21 A Ltd., 1.184%, (US0003M + 1.000%), 04/15/2031 | 5,982,468 | 0.1 |
6,000,000 | (1) | LCM 26A A2 Ltd., 1.438%, (US0003M + 1.250%), 01/20/2031 | 5,999,982 | 0.1 |
11,237,000 | (1) | LCM XIV L.P. 14A AR, 1.228%, (US0003M + 1.040%), 07/20/2031 | 11,241,742 | 0.1 |
5,000,000 | (1) | LCM XVIII L.P. 18A A2R, 1.408%, (US0003M + 1.220%), 04/20/2031 | 4,988,715 | 0.1 |
11,900,000 | (1) | LCM XXIV Ltd. 24A CR, 2.088%, (US0003M + 1.900%), 03/20/2030 | 11,863,062 | 0.1 |
7,888,370 | (1) | Loanpal Solar Loan 2020-2GF A Ltd., 2.750%, 07/20/2047 | 8,219,787 | 0.1 |
6,911,998 | (1) | Loanpal Solar Loan 2021-1 1GS A Ltd., 2.290%, 01/20/2048 | 7,032,465 | 0.1 |
10,657,154 | (1) | Loanpal Solar Loan 2021-2GS A Ltd., 2.220%, 03/20/2048 | 10,776,022 | 0.1 |
6,150,000 | (1) | Madison Park Funding XLVIII Ltd. 2021-48A C, 2.142%, (US0003M + 2.000%), 04/19/2033 | 6,134,570 | 0.1 |
3,600,000 | (1) | Madison Park Funding XXI Ltd. 2016-21A BR, 3.034%, (US0003M + 2.850%), 10/15/2032 | 3,603,798 | 0.0 |
1,400,000 | (1) | Madison Park Funding XXVII Ltd. 2018-27A B, 1.988%, (US0003M + 1.800%), 04/20/2030 | 1,391,950 | 0.0 |
13,050,000 | (1) | Magnetite CLO Ltd. 2020-26A A, 1.934%, (US0003M + 1.750%), 07/15/2030 | 13,058,939 | 0.1 |
8,800,000 | (1) | Magnetite XXVII Ltd. 2020-27A A1, 1.738%, (US0003M + 1.550%), 07/20/2033 | 8,802,367 | 0.1 |
3,488,000 | (1) | Marlette Funding Trust 2018-4A C, 4.910%, 12/15/2028 | 3,539,469 | 0.0 |
500,000 | (1) | Marlette Funding Trust 2019-2 A2A, 3.530%, 07/16/2029 | 506,996 | 0.0 |
4,200,000 | (1) | Marlette Funding Trust 2019-2A C, 4.110%, 07/16/2029 | 4,296,317 | 0.0 |
951,031 | (1) | Mill City Solar Loan 2019-1A A Ltd., 4.340%, 03/20/2043 | 1,035,257 | 0.0 |
4,793,821 | (1) | Mill City Solar Loan 2019-2GS A Ltd., 3.690%, 07/20/2043 | 5,094,721 | 0.1 |
1,100,000 | (1),(3) | Mill City Mortgage Loan Trust 2017-1 M2, 3.250%, 11/25/2058 | 1,161,365 | 0.0 |
3,200,000 | (1),(3) | Mill City Mortgage Loan Trust 2017-2 M2, 3.250%, 07/25/2059 | 3,374,864 | 0.0 |
2,482,000 | (1),(3) | Mill City Mortgage Trust 2015-2 B2, 3.646%, 09/25/2057 | 2,677,874 | 0.0 |
3,714,125 | (1) | Mosaic Solar Loan Trust 2018-1A A, 4.010%, 06/22/2043 | 4,010,469 | 0.0 |
6,070,122 | (1) | Mosaic Solar Loan Trust 2018-2-GS A, 4.200%, 02/22/2044 | 6,615,610 | 0.1 |
1,550,992 | (1) | Mosaic Solar Loan Trust 2018-2-GS B, 4.740%, 02/22/2044 | 1,652,738 | 0.0 |
4,151,571 | (1) | Mosaic Solar Loan Trust 2019-2A A, 2.880%, 09/20/2040 | 4,367,961 | 0.0 |
5,884,472 | (1) | Mosaic Solar Loan Trust 2020-1A B, 3.100%, 04/20/2046 | 6,177,225 | 0.1 |
11,837,981 | (1) | Mosaic Solar Loan Trust 2020-2A A, 1.440%, 08/20/2046 | 11,669,008 | 0.1 |
5,041,734 | (1) | Mosaic Solar Loan Trust 2021-1A B, 2.050%, 12/20/2046 | 5,056,497 | 0.1 |
2,266,846 | (1) | Mosaic Solar Loans 2017-2A A LLC, 3.820%, 06/22/2043 | 2,411,816 | 0.0 |
3,250,000 | (1) | Neuberger Berman Loan Advisers CLO 33 Ltd. 2019-33A C, 2.634%, (US0003M + 2.450%), 10/16/2032 | 3,253,929 | 0.0 |
12,250,000 | (1) | Neuberger Berman Loan Advisers CLO 35 Ltd. 2019-35A A1, 1.530%, (US0003M + 1.340%), 01/19/2033 | 12,268,571 | 0.1 |
2,200,000 | (1) | Newark BSL CLO 1 Ltd. 2016-1A A1R, 1.281%, (US0003M + 1.100%), 12/21/2029 | 2,200,334 | 0.0 |
14,050,000 | (1) | Newark BSL CLO 2 Ltd. 2017-1A BR, 1.926%, (US0003M + 1.750%), 07/25/2030 | 13,999,223 | 0.1 |
5,750,000 | (1) | Oak Hill Credit Partners 2021-8A C, 2.088%, (US0003M + 1.900%), 01/18/2034 | 5,740,789 | 0.1 |
22,190,000 | (1) | Oaktree CLO 2020-1A AR Ltd., 1.495%, (US0003M + 1.150%), 07/15/2034 | 22,235,645 | 0.2 |
19,800,000 | (1) | Oaktree CLO Ltd. 2021-1A A1, 1.306%, (US0003M + 1.160%), 07/15/2034 | 19,839,877 | 0.2 |
5,000,000 | (1) | OCP CLO 2017-13A A1A Ltd., 1.444%, (US0003M + 1.260%), 07/15/2030 | 5,000,995 | 0.1 |
12,050,000 | (1) | OCP CLO 2020-19 A A1 Ltd., 1.938%, (US0003M + 1.750%), 07/20/2031 | 12,054,374 | 0.1 |
14,950,000 | (1) | Octagon Investment Partners 30 Ltd. 2017-1A BR, 2.138%, (US0003M + 1.950%), 03/17/2030 | 14,889,333 | 0.1 |
3,500,000 | (1) | Octagon Investment Partners 32 Ltd. 2017-1A CR, 2.234%, (US0003M + 2.050%), 07/15/2029 | 3,500,056 | 0.0 |
2,300,000 | (1) | Octagon Investment Partners 48 Ltd. 2020-3A A, 1.688%, (US0003M + 1.500%), 10/20/2031 | 2,302,275 | 0.0 |
25,350,000 | (1) | Octagon Investment Partners XIV Ltd. 2012-1A BRR, 2.284%, (US0003M + 2.100%), 07/15/2029 | 25,270,350 | 0.3 |
4,060,000 | (1) | Octagon Investment Partners XV Ltd. 2013-1A A2R, 1.540%, (US0003M + 1.350%), 07/19/2030 | 4,057,418 | 0.0 |
6,000,000 | (1) | Octagon Investment Partners XXI Ltd. 2014-1A BR3, 1.904%, (US0003M + 1.750%), 02/14/2031 | 5,967,852 | 0.1 |
21,243,110 | (1) | Octagon Loan Funding Ltd. 2014-1A ARR, 1.335%, (US0003M + 1.180%), 11/18/2031 | 21,246,806 | 0.2 |
6,700,000 | (1) | OHA Credit Funding 9 Ltd. 2021-9A C, 2.046%, (US0003M + 1.900%), 07/19/2035 | 6,706,693 | 0.1 |
10,700,000 | (1) | OHA Credit Partners VII Ltd. 2012-7A CR3, 1.955%, (US0003M + 1.800%), 02/20/2034 | 10,665,439 | 0.1 |
17,700,000 | (1) | OHA Loan Funding 2015-1A A1R2 Ltd., 1.496%, (US0003M + 1.340%), 11/15/2032 | 17,735,807 | 0.2 |
4,900,000 | (1) | Pagaya AI Debt Selection Trust 2021-HG1 A, 1.220%, 01/16/2029 | 4,903,514 | 0.1 |
3,550,000 | (1) | Palmer Square CLO 2014-1A A1R2 Ltd., 1.320%, (US0003M + 1.130%), 01/17/2031 | 3,551,019 | 0.0 |
6,600,000 | (1) | Palmer Square CLO 2015-2A A1R2 Ltd., 1.288%, (US0003M + 1.100%), 07/20/2030 | 6,592,885 | 0.1 |
10,000,000 | (1) | Palmer Square CLO 2018-1A A1 Ltd., 1.220%, (US0003M + 1.030%), 04/18/2031 | 9,971,040 | 0.1 |
5,800,000 | (1) | Palmer Square CLO 2021-1A B Ltd., 1.894%, (US0003M + 1.700%), 04/20/2034 | 5,795,215 | 0.1 |
25,000,000 | (1) | Palmer Square CLO Ltd. 2021-2A A, 1.256%, (US0003M + 1.150%), 07/15/2034 | 25,025,400 | 0.2 |
429,376 | (3) | Popular ABS Mortgage Pass-Through Trust 2005-D A5, 3.635%, 01/25/2036 | 434,144 | 0.0 |
4,974,250 | (1) | Primose Funding LLC 2019-1A A2, 4.475%, 07/30/2049 | 5,176,983 | 0.1 |
14,500,000 | (1) | Riserva Clo Ltd. 2016-3A ARR, 1.250%, (US0003M + 1.060%), 01/18/2034 | 14,498,507 | 0.1 |
9,150,000 | (1) | Rockland Park CLO Ltd. 2021-1A C, 2.046%, (US0003M + 1.900%), 04/20/2034 | 9,153,203 | 0.1 |
1,032,922 | (1),(3) | Sofi Consumer Loan Program 2016-4 C LLC, 5.920%, 11/25/2025 | 1,036,063 | 0.0 |
3,064,186 | (1) | SoFi Consumer Loan Program 2017-3 B, 3.850%, 05/25/2026 | 3,094,681 | 0.0 |
1,167,447 | (1) | Sofi Consumer Loan Program 2017-6 B LLC, 3.520%, 11/25/2026 | 1,180,010 | 0.0 |
7,000,000 | (1) | Sofi Consumer Loan Program 2018-1 C Trust, 3.970%, 02/25/2027 | 7,159,244 | 0.1 |
3,875,163 | (1) | Sofi Consumer Loan Program 2018-2 B Trust, 3.790%, 04/26/2027 | 3,918,257 | 0.0 |
3,700,000 | (1) | Sofi Consumer Loan Program 2018-2 C Trust, 4.250%, 04/26/2027 | 3,813,916 | 0.0 |
9,950,000 | (1) | Sofi Consumer Loan Program 2018-3 C Trust, 4.670%, 08/25/2027 | 10,315,555 | 0.1 |
798,917 | (1) | SoFi Consumer Loan Program 2018-4 B Trust, 3.960%, 11/26/2027 | 801,779 | 0.0 |
2,000,000 | (1) | SoFi Consumer Loan Program 2019-2 C Trust, 3.460%, 04/25/2028 | 2,050,368 | 0.0 |
2,000,000 | (1) | SoFi Consumer Loan Program 2019-2 D Trust, 4.200%, 04/25/2028 | 2,071,820 | 0.0 |
4,100,000 | (1) | SoFi Consumer Loan Program 2019-4 C Trust, 2.840%, 08/25/2028 | 4,208,854 | 0.0 |
1,300,000 | (1) | SoFi Consumer Loan Program 2019-4 D Trust, 3.480%, 08/25/2028 | 1,330,074 | 0.0 |
340,959 | (1) | Sonic Capital LLC 2018-1A A2, 4.026%, 02/20/2048 | 350,646 | 0.0 |
7,220,917 | (1) | Sonic Capital LLC 2020-1A A2I, 3.845%, 01/20/2050 | 7,654,430 | 0.1 |
20,950,000 | (1) | Sound Point Clo XVI Ltd. 2017-2A CR, 2.376%, (US0003M + 2.200%), 07/25/2030 | 20,949,078 | 0.2 |
17,500,000 | (1) | Sound Point CLO XXIII 2019-2A AR, 1.318%, (US0003M + 1.170%), 07/15/2034 | 17,535,700 | 0.2 |
9,950,000 | (1) | Sound Point CLO XXIX Ltd. 2021-1A C1, 2.440%, (US0003M + 2.300%), 04/25/2034 | 9,955,104 | 0.1 |
22,060,000 | (1) | Sound Point CLO XXV Ltd. 2019-4A A1A, 1.584%, (US0003M + 1.400%), 01/15/2033 | 22,082,104 | 0.2 |
7,880,744 | (1) | Sunnova Sol II Issuer LLC 2020-2A A, 2.730%, 11/01/2055 | 8,087,883 | 0.1 |
10,150,000 | (1) | Sunnova Sol III Issuer LLC 2021-1 A, 2.580%, 04/28/2056 | 10,155,947 | 0.1 |
4,718,964 | (1) | Sunrun Athena Issuer 2018-1 A LLC, 5.310%, 04/30/2049 | 5,281,748 | 0.1 |
4,285,116 | (1) | Sunrun Xanadu Issuer 2019-1A A LLC, 3.980%, 06/30/2054 | 4,616,612 | 0.0 |
8,450,000 | (1) | Symphony CLO XXVI Ltd. 2021-26A CR, 2.109%, (US0003M + 2.000%), 04/20/2033 | 8,412,347 | 0.1 |
5,996,250 | (1) | Taco Bell Funding LLC 2018-1A A2II, 4.940%, 11/25/2048 | 6,786,173 | 0.1 |
13,150,000 | (1) | TCW CLO 2021-1A C Ltd., 2.009%, (US0003M + 1.900%), 03/18/2034 | 13,128,618 | 0.1 |
7,200,000 | (1) | TES LLC 2017-1A B, 7.740%, 10/20/2047 | 7,133,678 | 0.1 |
5,986,000 | (1) | Textainer Marine Containers VII Ltd. 2021-1A A, 1.680%, 02/20/2046 | 5,936,775 | 0.1 |
6,788,938 | (1) | THL Credit Wind River 2013-2A AR CLO Ltd., 1.420%, (US0003M + 1.230%), 10/18/2030 | 6,790,180 | 0.1 |
12,250,000 | (1) | THL Credit Wind River 2016-2A A1R CLO Ltd., 1.366%, (US0003M + 1.190%), 11/01/2031 | 12,249,963 | 0.1 |
12,900,000 | (1) | THL Credit Wind River 2019-1A AR CLO Ltd., 1.306%, (US0003M + 1.160%), 07/20/2034 | 12,901,355 | 0.1 |
7,500,000 | (1) | Tiaa Clo III Ltd. 2017-2A A, 1.334%, (US0003M + 1.150%), 01/16/2031 | 7,460,655 | 0.1 |
1,400,000 | (1),(3) | Towd Point Mortgage Trust 2015-2 1B1, 3.434%, 11/25/2060 | 1,480,419 | 0.0 |
2,640,000 | (1),(3) | Towd Point Mortgage Trust 2015-2 2B2, 4.060%, 11/25/2057 | 2,906,258 | 0.0 |
4,346,000 | (1),(3) | Towd Point Mortgage Trust 2016-2 M1, 3.000%, 08/25/2055 | 4,583,701 | 0.0 |
3,200,000 | (1),(3) | Towd Point Mortgage Trust 2017-1 M1, 3.750%, 10/25/2056 | 3,391,340 | 0.0 |
2,200,000 | (1),(3) | Towd Point Mortgage Trust 2017-3 M1, 3.500%, 07/25/2057 | 2,326,668 | 0.0 |
3,000,000 | (1) | Trafigura Securitisation Finance PLC 2018-1A B, 4.290%, 03/15/2022 | 3,015,308 | 0.0 |
12,283,313 | (1) | Triton Container Finance VIII LLC 2021-1A A, 1.860%, 03/20/2046 | 12,239,815 | 0.1 |
7,250,000 | (1) | Venture XX CLO Ltd. 2015-20A CR, 2.084%, (US0003M + 1.900%), 04/15/2027 | 7,251,225 | 0.1 |
12,000,000 | (1) | Venture XXVIII CLO Ltd. 2017-28A A2, 1.298%, (US0003M + 1.110%), 07/20/2030 | 11,984,064 | 0.1 |
14,900,000 | (1) | Wellman Park CLO Ltd. 2021-1A A, 1.246%, (US0003M + 1.100%), 07/15/2034 | 14,899,970 | 0.1 |
3,560,850 | (1) | Wendy's Funding LLC 2018-1A A2II, 3.884%, 03/15/2048 | 3,803,618 | 0.0 |
8,600,000 | (1) | Wendy's Funding LLC 2021-1A A2II, 2.775%, 06/15/2051 | 8,715,613 | 0.1 |
10,000,000 | (1) | Wind River 2021-1A C CLO Ltd., 2.144%, (US0003M + 1.950%), 04/20/2034 | 9,926,550 | 0.1 |
15,850,000 | (1) | ZAXBY'S FUNDING LLC 2021-1A A2, 3.238%, 07/30/2051 | 16,047,805 | 0.2 |
| | | 1,444,913,032 | 14.0 |
| | | | |
| | Student Loan Asset-Backed Securities: 1.6% |
454,154 | (1) | Commonbond Student Loan Trust 2016-B, 4.000%, 10/25/2040 | 463,616 | 0.0 |
1,291,835 | (1) | Commonbond Student Loan Trust 2017-BGS B, 3.260%, 09/25/2042 | 1,322,573 | 0.0 |
1,889,716 | (1) | Commonbond Student Loan Trust 2018-AGS A1, 3.210%, 02/25/2044 | 1,963,251 | 0.0 |
119,498 | (1) | Commonbond Student Loan Trust 2018-A-GS C, 3.820%, 02/25/2044 | 121,031 | 0.0 |
3,863,051 | (1) | Commonbond Student Loan Trust 2018-CGS A2, 0.892%, (US0001M + 0.800%), 02/25/2046 | 3,840,416 | 0.0 |
6,122,496 | (1) | Commonbond Student Loan Trust 2020-AGS A, 1.980%, 08/25/2050 | 6,214,701 | 0.1 |
269,372 | (1),(3) | Earnest Student Loan Program, LLC 2016-B B, 4.810%, 09/25/2036 | 269,410 | 0.0 |
143,771 | (1) | Earnest Student Loan Program, LLC 2016-C B, 4.460%, 01/26/2037 | 143,771 | 0.0 |
452,715 | (1) | Laurel Road Prime Student Loan Trust 2017-B A4, 3.020%, 08/25/2042 | 460,639 | 0.0 |
10,400,000 | (1) | Laurel Road Prime Student Loan Trust 2020-A AFX, 1.400%, 11/25/2050 | 10,390,090 | 0.1 |
6,450,111 | (1) | Navient Private Education Refi Loan Trust 2019-A A2A, 3.420%, 01/15/2043 | 6,615,917 | 0.1 |
5,392,631 | (1) | Navient Private Education Refi Loan Trust 2020-DA A, 1.690%, 05/15/2069 | 5,449,495 | 0.1 |
6,285,626 | (1) | Navient Private Education Refi Loan Trust 2020-FA A, 1.220%, 07/15/2069 | 6,327,402 | 0.1 |
6,454,745 | (1) | Navient Private Education Refi Loan Trust 2020-GA A, 1.170%, 09/16/2069 | 6,484,799 | 0.1 |
2,700,000 | (1) | SMB Private Education Loan Trust 2014-A C, 4.500%, 09/15/2045 | 2,612,428 | 0.0 |
1,450,000 | (1) | SMB Private Education Loan Trust 2017-A B, 3.500%, 06/17/2041 | 1,507,291 | 0.0 |
22,200,000 | (1) | SMB Private Education Loan Trust 2020-PTA A2A, 1.600%, 09/15/2054 | 22,446,322 | 0.2 |
4,100,000 | (1),(3) | SoFi Professional Loan Program 2016-E C, 4.430%, 10/25/2041 | 4,258,173 | 0.0 |
3,000,000 | (1),(3) | SoFi Professional Loan Program 2017-C B, 3.560%, 07/25/2040 | 3,105,494 | 0.0 |
3,900,000 | (1) | SoFi Professional Loan Program 2017-F BFX LLC, 3.620%, 01/25/2041 | 4,072,334 | 0.0 |
3,250,000 | (1) | Sofi Professional Loan Program 2018-A B LLC, 3.610%, 02/25/2042 | 3,394,075 | 0.0 |
8,000,000 | (1) | Sofi Professional Loan Program 2018-B BFX Trust, 3.830%, 08/25/2047 | 8,343,727 | 0.1 |
9,725,527 | (1) | Sofi Professional Loan Program 2018-C A2FX Trust, 3.590%, 01/25/2048 | 10,037,701 | 0.1 |
5,800,000 | (1) | Sofi Professional Loan Program 2018-C BFX Trust, 4.130%, 01/25/2048 | 6,147,281 | 0.1 |
4,554,945 | (1) | Sofi Professional Loan Program 2018-D A2FX Trust, 3.600%, 02/25/2048 | 4,679,032 | 0.0 |
6,000,000 | (1) | Sofi Professional Loan Program 2018-D BFX Trust, 4.140%, 02/25/2048 | 6,273,265 | 0.1 |
3,000,000 | (1) | Sofi Professional Loan Program 2019-B BFX LLC, 3.730%, 08/17/2048 | 3,118,264 | 0.0 |
19,943,683 | (1) | Sofi Professional Loan Program 2019-C A2FX LLC, 2.370%, 11/16/2048 | 20,369,640 | 0.2 |
15,274,195 | (1) | SoFi Professional Loan Program 2020-C AFX Trust, 1.950%, 02/15/2046 | 15,507,191 | 0.2 |
| | | 165,939,329 | 1.6 |
| | | | |
| Total Asset-Backed Securities | | |
| (Cost $1,716,946,962) | 1,738,118,927 | 16.8 |
| | | |
COMMERCIAL MORTGAGE-BACKED SECURITIES: 7.1% | |
6,240,000 | (1) | ACRE Commercial Mortgage 2021-FL4 C Ltd., 1.833%, (US0001M + 1.750%), 12/18/2037 | 6,208,015 | 0.1 |
5,000,000 | (1) | Alen 2021-ACEN C Mortgage Trust, 2.323%, (US0001M + 2.250%), 04/15/2034 | 5,014,098 | 0.1 |
5,310,000 | (1),(10) | BAMLL Re-REMIC Trust 2015-FRR11 CK25, 0.000%, 09/27/2045 | 5,086,101 | 0.1 |
34,820,411 | (3),(5) | BANK 2017-BNK4 XA, 1.551%, 05/15/2050 | 2,030,361 | 0.0 |
167,655,000 | (3),(5) | BANK 2017-BNK8 XB, 0.221%, 11/15/2050 | 1,830,709 | 0.0 |
201,754,058 | (3),(5) | BANK 2018-BNK14 XA, 0.662%, 09/15/2060 | 5,788,364 | 0.1 |
19,110,000 | (1),(3),(5) | BANK 2018-BNK14 XD, 1.755%, 09/15/2060 | 1,982,598 | 0.0 |
24,508,522 | (3),(5) | BANK 2019-BNK16 XA, 1.119%, 02/15/2052 | 1,461,713 | 0.0 |
5,210,000 | (1) | BANK 2019-BNK18 D, 3.000%, 05/15/2062 | 4,897,868 | 0.1 |
100,108,061 | (3),(5) | BANK 2019-BNK19 XA, 1.092%, 08/15/2061 | 6,687,569 | 0.1 |
6,265,523 | (3),(5) | BANK 2020-BNK30 XA, 1.443%, 12/15/2053 | 606,510 | 0.0 |
92,840,000 | (1),(3),(5) | BBCCRE Trust 2015-GTP XA, 0.749%, 08/10/2033 | 2,266,159 | 0.0 |
3,670,000 | (1) | BBCMS 2020-BID D Mortgage Trust, 4.703%, (US0001M + 4.630%), 10/15/2037 | 3,726,482 | 0.0 |
8,200,000 | (1) | BBCMS Trust 2021-AGW E, 3.223%, (US0001M + 3.150%), 06/15/2036 | 8,234,327 | 0.1 |
20,470,000 | (3),(5) | BBCMS Trust 2021-C10 XA, 1.434%, 07/15/2054 | 2,061,698 | 0.0 |
3,228,254 | (1) | BCRR 2016-FRR3 E Trust, 18.439%, (US0001M + 18.348%), 05/26/2026 | 3,030,259 | 0.0 |
2,620,000 | (1),(3) | Benchmark 2018-B3 D Mortgage Trust, 3.207%, 04/10/2051 | 2,460,783 | 0.0 |
54,253,898 | (3),(5) | Benchmark 2019-B12 XA Mortgage Trust, 1.202%, 08/15/2052 | 3,385,351 | 0.0 |
7,470,000 | (1) | Benchmark 2019-B9 D Mortgage Trust, 3.000%, 03/15/2052 | 7,011,457 | 0.1 |
36,459,681 | (3),(5) | Benchmark 2019-B9 XA Mortgage Trust, 1.208%, 03/15/2052 | 2,471,365 | 0.0 |
92,651,556 | (3),(5) | Benchmark 2020-B17 XA Mortgage Trust, 1.541%, 03/15/2053 | 8,121,956 | 0.1 |
8,640,000 | (1) | Benchmark 2020-B18 AGNE Mortgage Trust, 3.759%, 07/15/2053 | 8,866,688 | 0.1 |
1,000,000 | (1) | Benchmark 2020-B18 AGNF Mortgage Trust, 4.139%, 07/15/2053 | 1,017,115 | 0.0 |
110,494,206 | (3),(5) | Benchmark 2020-B19 XA Mortgage Trust, 1.891%, 09/15/2053 | 12,068,332 | 0.1 |
60,313,803 | (3),(5) | Benchmark 2020-B20 XA Mortgage Trust, 1.740%, 10/15/2053 | 6,589,440 | 0.1 |
47,641,231 | (3),(5) | Benchmark 2020-B21 xa Mortgage Trust, 1.570%, 12/17/2053 | 5,168,311 | 0.1 |
10,000,000 | (1),(3) | Benchmark 2021-B25 E Mortgage Trust, 2.000%, 04/15/2054 | 8,122,222 | 0.1 |
11,041,000 | (1),(10) | BMD2 Re-Remic Trust 2019-FRR1 3AB, 0.000%, 05/25/2052 | 8,376,290 | 0.1 |
8,000,000 | (1),(3) | BMD2 Re-Remic Trust 2019-FRR1 5B13, 2.210%, 05/25/2052 | 7,081,474 | 0.1 |
5,414,000 | (1),(3) | BMD2 Re-Remic Trust 2019-FRR1 6B10, 2.525%, 05/25/2052 | 4,947,299 | 0.1 |
12,092,282 | (1) | BX Commercial Mortgage Trust 2020-BXLP F, 2.073%, (US0001M + 2.000%), 12/15/2036 | 12,112,398 | 0.1 |
6,280,000 | (1) | BX Commercial Mortgage Trust 2020-VKNG E, 2.173%, (US0001M + 2.100%), 10/15/2037 | 6,306,018 | 0.1 |
4,000,000 | (1) | BX Commercial Mortgage Trust 2021-IRON E, 2.423%, (US0001M + 2.350%), 02/15/2038 | 4,027,910 | 0.0 |
6,000,000 | (1) | BX Trust 2019-OC11 A, 3.202%, 12/09/2041 | 6,480,320 | 0.1 |
6,300,000 | (1),(3) | BX Trust 2019-OC11 E, 4.076%, 12/09/2041 | 6,598,257 | 0.1 |
15,000,000 | (1) | BX Trust 2021-SOAR E, 2.450%, (US0001M + 2.350%), 06/15/2038 | 15,058,371 | 0.2 |
3,340,000 | (3) | CCUBS Commercial Mortgage Trust 2017-C1 C, 4.538%, 11/15/2050 | 3,652,247 | 0.0 |
92,924,185 | (3),(5) | CCUBS Commercial Mortgage Trust 2017-C1 XA, 1.150%, 11/15/2050 | 4,103,662 | 0.0 |
22,537,963 | (3),(5) | CD 2016-CD1 Mortgage Trust XA, 1.527%, 08/10/2049 | 1,295,584 | 0.0 |
45,113,000 | (1),(3),(5) | CD 2016-CD1 Mortgage Trust XB, 0.843%, 08/10/2049 | 1,519,789 | 0.0 |
33,222,046 | (3),(5) | CD 2017-CD4 Mortgage Trust XA, 1.439%, 05/10/2050 | 1,776,625 | 0.0 |
7,745,000 | (1),(3) | Citigroup Commercial Mortgage Trust 2016-C2 E, 4.582%, 08/10/2049 | 6,029,832 | 0.1 |
37,493,265 | (3),(5) | Citigroup Commercial Mortgage Trust 2016-P4 XA, 2.108%, 07/10/2049 | 2,680,457 | 0.0 |
79,100,200 | (3),(5) | Citigroup Commercial Mortgage Trust 2017-C4 XA, 1.231%, 10/12/2050 | 3,847,980 | 0.0 |
39,780,012 | (3),(5) | Citigroup Commercial Mortgage Trust 2017-P8 XA, 1.040%, 09/15/2050 | 1,855,296 | 0.0 |
78,262,094 | (3),(5) | Citigroup Commercial Mortgage Trust 2018-C5 XA, 0.693%, 06/10/2051 | 3,033,595 | 0.0 |
7,480,000 | | Citigroup Commercial Mortgage Trust 2019-GC43 A4, 3.038%, 11/10/2052 | 8,105,817 | 0.1 |
5,000,000 | (1),(3) | Citigroup Commercial Mortgage Trust 2020-420K E, 3.422%, 11/10/2042 | 4,802,029 | 0.1 |
27,362,844 | (3),(5) | COMM 2012-CR2 XA, 1.776%, 08/15/2045 | 265,094 | 0.0 |
30,443,840 | (3),(5) | COMM 2012-CR4 XA, 1.841%, 10/15/2045 | 501,532 | 0.0 |
27,260,000 | (1),(3),(5) | COMM 2012-CR4 XB, 0.769%, 10/15/2045 | 219,732 | 0.0 |
43,942,880 | (1),(3),(5) | COMM 2012-LC4 XA, 2.278%, 12/10/2044 | 394,198 | 0.0 |
4,640,000 | (1),(3) | COMM 2013-CR10 E Mortgage Trust, 5.064%, 08/10/2046 | 4,579,694 | 0.0 |
9,645,000 | (1),(3) | COMM 2013-CR10 F Mortgage Trust, 5.064%, 08/10/2046 | 8,752,861 | 0.1 |
108,019,016 | (1),(3),(5) | COMM 2015-PC1 XA, 0.613%, 07/10/2050 | 1,449,561 | 0.0 |
920,000 | (3) | COMM 2016-COR1 C, 4.510%, 10/10/2049 | 996,509 | 0.0 |
63,492,325 | (3),(5) | COMM 2016-CR28 XA, 0.781%, 02/10/2049 | 1,602,521 | 0.0 |
35,760,888 | (3),(5) | COMM 2017-COR2 XA, 1.309%, 09/10/2050 | 2,142,660 | 0.0 |
2,000,000 | (1),(3) | COMM 2019-GC44 180B Mortgage Trust, 3.513%, 08/15/2057 | 1,954,985 | 0.0 |
8,261,000 | (1),(3) | COMM 2020-CBM F Mortgage Trust, 3.754%, 02/10/2037 | 7,786,030 | 0.1 |
4,100,000 | (1),(3) | Credit Suisse Mortgage Capital Certificates 2020-NET C, 3.526%, 08/15/2037 | 4,339,638 | 0.0 |
5,421,000 | (3) | CSAIL 2015-C2 C Commercial Mortgage Trust, 4.327%, 06/15/2057 | 5,079,599 | 0.1 |
4,340,000 | (1),(3) | CSAIL 2017-CX10 D Commercial Mortgage Trust, 4.246%, 11/15/2050 | 4,028,119 | 0.0 |
19,066,000 | (3) | CSAIL 2018-CX11 A5 Commercial Mortgage Trust, 4.033%, 04/15/2051 | 21,557,823 | 0.2 |
5,848,000 | (1) | CSWF 2018-TOP E, 2.323%, (US0001M + 2.250%), 08/15/2035 | 5,850,529 | 0.1 |
5,528,000 | (1) | CSWF 2018-TOP F, 2.823%, (US0001M + 2.750%), 08/15/2035 | 5,536,768 | 0.1 |
3,900,000 | (1) | CSWF 2021-SOP2 D, 2.390%, (US0001M + 2.317%), 06/15/2034 | 3,898,828 | 0.0 |
10,000,000 | (1) | CSWF 2021-SOP2 E, 3.440%, (US0001M + 3.367%), 06/15/2034 | 10,013,998 | 0.1 |
11,745,247 | (1) | DBUBS 2011-LC2A F Mortgage Trust, 3.742%, (US0001M + 3.650%), 07/10/2044 | 9,513,650 | 0.1 |
4,460,000 | (1),(3) | DBJPM 16-C3 Mortgage Trust, 3.631%, 08/10/2049 | 3,802,855 | 0.0 |
7,000,000 | (1) | DOLP Trust 2021-NYC A, 2.956%, 05/10/2041 | 7,484,453 | 0.1 |
4,500,000 | (1),(3) | Fontainebleau Miami Beach Trust 2019-FBLU F, 4.095%, 12/10/2036 | 4,583,413 | 0.0 |
15,871,328 | | Freddie Mac Multifamily 2021-ML08-X-US Certificates Sustainability Bonds, 1.846%, 07/25/2037 | 3,025,732 | 0.0 |
42,047,111 | (3),(5) | Freddie Mac Multifamily Structured Pass Through Certificates K020 X3, 1.937%, 05/25/2040 | 671,883 | 0.0 |
31,879,545 | (3),(5) | Freddie Mac Multifamily Structured Pass Through Certificates K029 X3, 1.647%, 05/25/2041 | 903,237 | 0.0 |
9,782,699 | (3),(5) | Freddie Mac Multifamily Structured Pass Through Certificates K106 X1, 1.477%, 01/25/2030 | 992,440 | 0.0 |
23,397,326 | (3),(5) | Freddie Mac Multifamily Structured Pass Through Certificates K107 X1, 1.810%, 03/25/2030 | 3,009,963 | 0.0 |
68,831,383 | (3),(5) | Freddie Mac Multifamily Structured Pass Through Certificates K109 X1, 1.699%, 04/25/2030 | 8,244,534 | 0.1 |
110,864,919 | (3),(5) | Freddie Mac Multifamily Structured Pass Through Certificates K118 X1, 1.054%, 09/25/2030 | 8,505,268 | 0.1 |
101,463,448 | (3),(5) | Freddie Mac Multifamily Structured Pass Through Certificates K119 X1, 1.027%, 09/25/2030 | 7,540,571 | 0.1 |
41,078,753 | (3),(5) | Freddie Mac Multifamily Structured Pass Through Certificates K123 X1, 0.866%, 12/25/2030 | 2,580,764 | 0.0 |
13,369,154 | (3),(5) | Freddie Mac Multifamily Structured Pass Through Certificates K-1516 X1, 1.631%, 05/25/2035 | 2,232,256 | 0.0 |
223,355,545 | (3),(5) | Freddie Mac Multifamily Structured Pass Through Certificates KHG2 X, 0.406%, 02/25/2030 | 4,968,298 | 0.1 |
29,596,275 | (3),(5) | Freddie Mac Multifamily Structured Pass Through Certificates KLU3 X1, 2.080%, 01/25/2031 | 4,098,838 | 0.0 |
78,196,016 | (3),(5) | Freddie Mac Multifamily Structured Pass Through CertificatesK151 X1, 0.540%, 04/25/2030 | 2,154,597 | 0.0 |
13,885,061 | (1) | FREMF 2018-KBF2 C Mortgage Trust, 4.586%, (US0001M + 4.500%), 10/25/2025 | 13,915,320 | 0.1 |
6,000,000 | (1) | FREMF 2019-KBF3 C Mortgage Trust, 4.836%, (US0001M + 4.750%), 01/25/2029 | 6,061,901 | 0.1 |
179,437,470 | (1),(5) | FREMF Mortgage Trust 2012-K17 X2A, 0.100%, 12/25/2044 | 20,348 | 0.0 |
5,000,000 | (1),(3) | FRR Re-REMIC Trust 2018-C1 B725, 3.012%, 02/27/2050 | 5,030,262 | 0.1 |
5,000,000 | (1),(3),(6) | FRR Re-REMIC Trust 2018-C1 C725, 0.000%, 02/27/2050 | 4,557,017 | 0.0 |
12,584,000 | (1),(6) | GAM Re-REMIC Trust 2021-FRR1 1B, 4.270%, 07/28/2027 | 9,710,670 | 0.1 |
15,763,000 | (1),(6) | GAM Re-REMIC Trust 2021-FRR1 2B, 4.320%, 12/29/2027 | 11,910,195 | 0.1 |
5,500,000 | (1) | GCT Commercial Mortgage Trust 2021-GCT D, 2.423%, (US0001M + 2.350%), 02/15/2038 | 5,508,551 | 0.1 |
4,400,000 | (1) | GS Mortgage Securities Corp. II 2018-RIVR F, 2.173%, (US0001M + 2.100%), 07/15/2035 | 4,078,023 | 0.0 |
6,140,000 | (1) | GS Mortgage Securities Trust 2013-GC16 G, 3.500%, 11/10/2046 | 3,380,448 | 0.0 |
44,974,998 | (3),(5) | GS Mortgage Securities Trust 2013-GC16 XA, 1.193%, 11/10/2046 | 894,085 | 0.0 |
55,768,523 | (3),(5) | GS Mortgage Securities Trust 2014-GC22 XA, 1.105%, 06/10/2047 | 1,159,483 | 0.0 |
6,612,581 | | GS Mortgage Securities Trust 2014-GC24 A4, 3.666%, 09/10/2047 | 7,022,973 | 0.1 |
60,039,805 | (3),(5) | GS Mortgage Securities Trust 2016-GS4 XA, 0.621%, 11/10/2049 | 1,431,919 | 0.0 |
69,435,306 | (3),(5) | GS Mortgage Securities Trust 2017-GS6 XA, 1.176%, 05/10/2050 | 3,685,196 | 0.0 |
6,310,000 | | GS Mortgage Securities Trust 2019-GC38 A4, 3.968%, 02/10/2052 | 7,217,004 | 0.1 |
78,088,384 | (3),(5) | GS Mortgage Securities Trust 2019-GC38 XA, 1.120%, 02/10/2052 | 4,884,296 | 0.1 |
13,220,000 | (1),(3) | GS Mortgage Securities Trust 2019-GC40 DBD, 3.668%, 07/10/2052 | 13,485,496 | 0.1 |
10,120,000 | (1),(3) | GS Mortgage Securities Trust 2019-GC40 DBE, 3.668%, 07/10/2052 | 10,118,937 | 0.1 |
11,820,000 | | GS Mortgage Securities Trust 2019-GSA1 A4, 3.048%, 11/10/2052 | 12,802,292 | 0.1 |
8,938,202 | (3),(5) | JPMBB Commercial Mortgage Securities Trust 2014-C19 XA, 0.834%, 04/15/2047 | 125,859 | 0.0 |
1,246,053 | (3),(5) | JPMBB Commercial Mortgage Securities Trust 2015-C28 XA, 1.106%, 10/15/2048 | 35,206 | 0.0 |
930,000 | (1) | JP Morgan Chase Commercial Mortgage Securities Corp. 2021-MHC E, 2.523%, (US0001M + 2.450%), 04/15/2038 | 934,631 | 0.0 |
2,400,000 | (1),(3) | JP Morgan Chase Commercial Mortgage Securities Trust 2011-C4 E, 5.713%, 07/15/2046 | 2,406,879 | 0.0 |
4,500,000 | (1),(3) | JP Morgan Chase Commercial Mortgage Securities Trust 2011-C4 G, 3.873%, 07/15/2046 | 4,466,002 | 0.0 |
47,790,812 | (3),(5) | JP Morgan Chase Commercial Mortgage Securities Trust 2012-CIBX XA, 1.543%, 06/15/2045 | 186,465 | 0.0 |
5,550,000 | (1),(3) | JP Morgan Chase Commercial Mortgage Securities Trust 2013-C13 E, 3.986%, 01/15/2046 | 5,482,084 | 0.1 |
7,345,454 | (1),(3) | JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16 E, 3.744%, 12/15/2046 | 6,961,728 | 0.1 |
16,556,586 | (1) | JP Morgan Chase Commercial Mortgage Securities Trust 2014-C20 A4A2, 3.538%, 07/15/2047 | 17,080,718 | 0.2 |
5,000,000 | (1),(3) | JP Morgan Chase Commercial Mortgage Securities Trust 2014-C20 D, 4.723%, 07/15/2047 | 4,524,019 | 0.0 |
87,363,913 | (3),(5) | JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP4 XA, 0.810%, 12/15/2049 | 2,146,269 | 0.0 |
10,720,000 | (1),(3) | JP Morgan Chase Commercial Mortgage Securities Trust 2020-LOOP E, 3.990%, 12/05/2038 | 10,545,519 | 0.1 |
6,363,797 | (1),(3) | JPMBB Commercial Mortgage Securities Trust 2013-C15 D, 5.369%, 11/15/2045 | 6,572,135 | 0.1 |
7,840,000 | (1),(3) | JPMBB Commercial Mortgage Securities Trust 2013-C17 D, 5.048%, 01/15/2047 | 7,891,794 | 0.1 |
6,470,000 | (1),(3) | JPMBB Commercial Mortgage Securities Trust 2013-C17 F, 3.867%, 01/15/2047 | 5,130,300 | 0.1 |
2,000,000 | (1) | KNDL 2019-KNSQ F Mortgage Trust, 2.073%, (US0001M + 2.000%), 05/15/2036 | 1,935,942 | 0.0 |
2,183,956 | (1),(3),(5) | LB-UBS Commercial Mortgage Trust 2006-C7 XW, 0.629%, 11/15/2038 | 7,067 | 0.0 |
1,500,000 | (1) | Life 2021-BMR F Mortgage Trust, 2.423%, (US0001M + 2.350%), 03/15/2038 | 1,508,444 | 0.0 |
7,160,000 | (1),(3) | LSTAR Commercial Mortgage Trust 2015-3 D, 3.367%, 04/20/2048 | 7,071,122 | 0.1 |
45,956,901 | (1),(3),(5) | LSTAR Commercial Mortgage Trust 2017-5 X, 1.139%, 03/10/2050 | 1,263,139 | 0.0 |
6,472,490 | (1) | MBRT 2019-MBR H1, 4.073%, (US0001M + 4.000%), 11/15/2036 | 6,462,247 | 0.1 |
3,400,000 | (1) | Merit 2020-Hill E, 3.173%, (US0001M + 3.100%), 08/15/2037 | 3,428,859 | 0.0 |
8,541,000 | (1) | MF1 Multifamily Housing Mortgage Loan Trust 2021-FL5 D, 2.625%, (US0001M + 2.500%), 07/15/2036 | 8,543,692 | 0.1 |
4,340,000 | (1),(3) | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C13 D, 5.061%, 11/15/2046 | 4,105,817 | 0.0 |
70,453,095 | (3),(5) | Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19 XA, 1.129%, 12/15/2047 | 1,941,074 | 0.0 |
3,470,000 | (1),(3) | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15 D, 5.063%, 04/15/2047 | 3,610,358 | 0.0 |
2,330,000 | (1) | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18 D, 3.389%, 10/15/2047 | 2,116,569 | 0.0 |
14,914,000 | (1) | Morgan Stanley Capital I Trust 2011-C1 J, 4.193%, 09/15/2047 | 8,202,700 | 0.1 |
7,455,000 | | Morgan Stanley Capital I Trust 2019-H6 A4, 3.417%, 06/15/2052 | 8,243,569 | 0.1 |
4,670,000 | | Morgan Stanley Capital I, Inc. 2017-HR2 D, 2.730%, 12/15/2050 | 4,179,801 | 0.0 |
46,241,369 | (3),(5) | Morgan Stanley Capital I, Inc. 2017-HR2 XA, 0.924%, 12/15/2050 | 1,947,229 | 0.0 |
6,130,000 | (1) | MRCD 2019-PARK E Mortgage Trust, 2.718%, 12/15/2036 | 6,116,759 | 0.1 |
11,680,000 | (1) | One Bryant Park Trust 2019-OBP A, 2.516%, 09/15/2054 | 12,124,793 | 0.1 |
2,210,000 | (1) | Prima Capital CRE Securitization 2019-RK1 CD Ltd., 3.500%, 04/15/2038 | 2,208,198 | 0.0 |
110,000 | (1) | Prima Capital CRE Securitization 2019-RK1 DD Ltd., 3.500%, 04/15/2038 | 109,184 | 0.0 |
7,680,000 | | UBS Commercial Mortgage Trust 2019-C17 A4, 2.921%, 10/15/2052 | 8,182,171 | 0.1 |
5,280,000 | (1),(3) | UBS-Barclays Commercial Mortgage Trust 2012-C4 D, 4.616%, 12/10/2045 | 3,903,400 | 0.0 |
9,020,000 | (1),(3) | UBS-Barclays Commercial Mortgage Trust 2012-C4 E, 4.616%, 12/10/2045 | 5,204,584 | 0.1 |
2,000,000 | (1) | Wells Fargo Commercial Mortgage Trust 2021-C59 C, 2.500%, 04/15/2054 | 1,696,741 | 0.0 |
6,000,000 | (1),(10) | Wells Fargo Re-REMIC Trust 2013-FRR1 BK26, 0.000%, 01/27/2045 | 5,473,759 | 0.1 |
3,270,000 | (1),(3) | WFRBS Commercial Mortgage Trust 2011-C5 E, 5.901%, 11/15/2044 | 3,231,746 | 0.0 |
3,920,000 | (1) | WFRBS Commercial Mortgage Trust 2013-C17 E, 3.500%, 12/15/2046 | 3,379,227 | 0.0 |
79,713,952 | (3),(5) | WFRBS Commercial Mortgage Trust 2014-C25 XA, 0.955%, 11/15/2047 | 1,842,652 | 0.0 |
12,638,406 | (1),(3),(5) | WFRBS Commercial Mortgage Trust 2012-C8 XA, 1.941%, 08/15/2045 | 129,429 | 0.0 |
9,116,722 | (1),(3),(5) | WFRBS Commercial Mortgage Trust 2012-C9 XA, 2.025%, 11/15/2045 | 156,221 | 0.0 |
12,946,000 | (1),(3) | WFRBS Commercial Mortgage Trust 2013-C11 F, 4.383%, 03/15/2045 | 10,093,556 | 0.1 |
| | | |
| Total Commercial Mortgage-Backed Securities | | |
| (Cost $740,567,025) | 734,934,605 | 7.1 |
| | | |
SOVEREIGN BONDS: 2.2% | |
8,471,964 | (7) | Argentine Republic Government International Bond, 0.125% (Step Rate @ 0.500% on 07/09/2021), 07/09/2030 | 3,055,922 | 0.0 |
1,819,735 | (7) | Argentine Republic Government International Bond, 0.125% (Step Rate @ 1.125% on 07/09/2021), 07/09/2035 | 580,514 | 0.0 |
504,551 | | Argentine Republic Government International Bond, 1.000%, 07/09/2029 | 192,325 | 0.0 |
7,775,000 | | Brazilian Government International Bond, 3.875%, 06/12/2030 | 7,853,916 | 0.1 |
5,900,000 | (2) | Brazilian Government International Bond, 4.625%, 01/13/2028 | 6,386,248 | 0.1 |
700,000 | | Brazilian Government International Bond, 6.000%, 04/07/2026 | 818,905 | 0.0 |
1,000,000 | | Colombia Government International Bond, 3.125%, 04/15/2031 | 980,290 | 0.0 |
5,225,000 | | Colombia Government International Bond, 3.875%, 04/25/2027 | 5,558,512 | 0.1 |
2,500,000 | | Croatia Government International Bond, 5.500%, 04/04/2023 | 2,717,280 | 0.0 |
8,775,000 | (1) | Dominican Republic International Bond, 4.500%, 01/30/2030 | 8,994,463 | 0.1 |
2,700,000 | (1) | Dominican Republic International Bond, 4.875%, 09/23/2032 | 2,787,750 | 0.0 |
1,100,000 | (1) | Dominican Republic International Bond, 5.300%, 01/21/2041 | 1,100,011 | 0.0 |
300,000 | (1) | Dominican Republic International Bond, 5.500%, 01/27/2025 | 330,120 | 0.0 |
270,000 | | Dominican Republic International Bond, 5.875%, 04/18/2024 | 287,550 | 0.0 |
900,000 | | Dominican Republic International Bond, 5.950%, 01/25/2027 | 1,014,300 | 0.0 |
300,000 | (1) | Dominican Republic International Bond, 6.600%, 01/28/2024 | 332,790 | 0.0 |
4,825,000 | | Dominican Republic International Bond, 6.875%, 01/29/2026 | 5,602,308 | 0.1 |
250,000 | (1) | Egypt Government International Bond, 5.875%, 06/11/2025 | 267,521 | 0.0 |
1,500,000 | (1),(2) | Egypt Government International Bond, 5.875%, 02/16/2031 | 1,461,375 | 0.0 |
1,300,000 | | Egypt Government International Bond, 6.588%, 02/21/2028 | 1,378,000 | 0.0 |
9,150,000 | | Egypt Government International Bond, 7.500%, 01/31/2027 | 10,305,188 | 0.1 |
7,675,000 | (1) | Egypt Government International Bond, 7.625%, 05/29/2032 | 8,163,667 | 0.1 |
1,240,000 | (1) | Gabon Government International Bond, 6.625%, 02/06/2031 | 1,252,445 | 0.0 |
12,725,000 | (1) | Ghana Government International Bond, 6.375%, 02/11/2027 | 12,816,747 | 0.1 |
EUR 2,800,000 | (1) | Ivory Coast Government International Bond, 4.875%, 01/30/2032 | 3,326,069 | 0.0 |
4,009,085 | (2),(3) | Ivory Coast Government International Bond, 5.750%, 12/31/2032 | 4,029,892 | 0.1 |
2,350,000 | (1) | Jordan Government International Bond, 5.850%, 07/07/2030 | 2,454,281 | 0.0 |
1,000,000 | (2) | Jordan Government International Bond, 6.125%, 01/29/2026 | 1,086,895 | 0.0 |
1,200,000 | (1),(2) | Kenya Government International Bond, 7.000%, 05/22/2027 | 1,319,832 | 0.0 |
3,000,000 | | Mexico Government International Bond, 3.750%, 04/19/2071 | 2,747,910 | 0.0 |
1,750,000 | | Mexico Government International Bond, 3.771%, 05/24/2061 | 1,632,094 | 0.0 |
1,375,000 | | Mexico Government International Bond, 4.280%, 08/14/2041 | 1,446,693 | 0.0 |
5,675,000 | (1) | Morocco Government International Bond, 2.375%, 12/15/2027 | 5,583,689 | 0.1 |
5,850,000 | (1) | Morocco Government International Bond, 3.000%, 12/15/2032 | 5,664,847 | 0.1 |
1,450,000 | (1) | Morocco Government International Bond, 4.000%, 12/15/2050 | 1,348,500 | 0.0 |
2,250,000 | | Morocco Government International Bond, 4.250%, 12/11/2022 | 2,366,174 | 0.0 |
600,000 | (1) | Morocco Government International Bond, 4.250%, 12/11/2022 | 630,980 | 0.0 |
850,000 | | Namibia International Bonds, 5.500%, 11/03/2021 | 861,632 | 0.0 |
3,400,000 | | Oman Government International Bond, 6.000%, 08/01/2029 | 3,624,152 | 0.1 |
2,350,000 | (1) | Oman Government International Bond, 6.750%, 10/28/2027 | 2,638,227 | 0.0 |
5,250,000 | (1) | Oman Government International Bond, 7.375%, 10/28/2032 | 6,008,756 | 0.1 |
693,000 | | Panama Government International Bond, 6.700%, 01/26/2036 | 943,031 | 0.0 |
1,000,000 | | Panama Government International Bond, 9.375%, 04/01/2029 | 1,482,060 | 0.0 |
600,000 | (1) | Paraguay Government International Bond, 4.625%, 01/25/2023 | 633,006 | 0.0 |
3,600,000 | (1),(2) | Perusahaan Penerbit SBSN Indonesia III, 2.800%, 06/23/2030 | 3,687,228 | 0.1 |
2,675,000 | | Perusahaan Penerbit SBSN Indonesia III, 4.150%, 03/29/2027 | 3,004,694 | 0.0 |
4,000,000 | (1) | Perusahaan Penerbit SBSN Indonesia III, 4.400%, 03/01/2028 | 4,571,160 | 0.1 |
3,375,000 | | Peruvian Government International Bond, 1.862%, 12/01/2032 | 3,139,914 | 0.0 |
2,525,000 | | Peruvian Government International Bond, 2.780%, 12/01/2060 | 2,258,713 | 0.0 |
4,450,000 | | Republic of South Africa Government International Bond, 4.300%, 10/12/2028 | 4,605,973 | 0.1 |
12,300,000 | | Republic of South Africa Government International Bond, 4.850%, 09/30/2029 | 13,078,898 | 0.1 |
EUR 2,050,000 | (1) | Romanian Government International Bond, 2.625%, 12/02/2040 | 2,414,880 | 0.0 |
3,600,000 | | Russian Foreign Bond - Eurobond, 4.250%, 06/23/2027 | 4,025,268 | 0.1 |
2,600,000 | | Russian Foreign Bond - Eurobond, 4.750%, 05/27/2026 | 2,957,861 | 0.0 |
5,200,000 | (1),(2) | Saudi Government International Bond, 2.250%, 02/02/2033 | 5,061,810 | 0.1 |
1,750,000 | (1) | Saudi Government International Bond, 3.250%, 10/22/2030 | 1,887,746 | 0.0 |
2,450,000 | (1),(2) | Saudi Government International Bond, 3.450%, 02/02/2061 | 2,451,752 | 0.0 |
554,000 | | Saudi Government International Bond, 4.500%, 04/17/2030 | 653,213 | 0.0 |
2,925,000 | (1) | Saudi Government International Bond, 4.500%, 04/17/2030 | 3,448,824 | 0.1 |
1,200,000 | | Sri Lanka Government International Bond, 6.350%, 06/28/2024 | 828,000 | 0.0 |
9,475,000 | | Turkey Government International Bond, 4.875%, 10/09/2026 | 9,297,704 | 0.1 |
1,000,000 | | Turkey Government International Bond, 5.125%, 02/17/2028 | 973,768 | 0.0 |
1,000,000 | | Turkey Government International Bond, 6.125%, 10/24/2028 | 1,018,912 | 0.0 |
1,700,000 | | Turkey Government International Bond, 6.375%, 10/14/2025 | 1,783,688 | 0.0 |
2,083,000 | | Turkey Government International Bond, 7.375%, 02/05/2025 | 2,257,099 | 0.0 |
2,250,000 | (1) | Turkiye Ihracat Kredi Bankasi AS, 5.750%, 07/06/2026 | 2,229,609 | 0.0 |
500,000 | | Ukraine Government International Bond, 7.375%, 09/25/2032 | 527,066 | 0.0 |
1,500,000 | | Ukraine Government International Bond, 7.750%, 09/01/2023 | 1,619,568 | 0.0 |
10,400,000 | | Ukraine Government International Bond, 7.750%, 09/01/2025 | 11,417,120 | 0.1 |
1,890,000 | | Ukraine Government International Bond, 7.750%, 09/01/2026 | 2,091,404 | 0.0 |
850,000 | | Ukraine Government International Bond, 7.750%, 09/01/2027 | 937,504 | 0.0 |
389,000 | | Ukraine Government International Bond, 9.750%, 11/01/2028 | 464,508 | 0.0 |
| | | | |
| Total Sovereign Bonds | | |
| (Cost $221,026,914) | 226,760,751 | 2.2 |
| | | |
| | | Value | Percentage of Net Assets |
PURCHASED OPTIONS (11): 0.0% |
| Total Purchased Options | | |
| (Cost $3,833,214) | 4,153,474 | 0.0 |
| | | |
| Total Long-Term Investments | | |
| (Cost $10,171,782,327) | 10,460,143,856 | 101.3 |
| | | |
Principal Amount† | | | Value | Percentage of Net Assets |
SHORT-TERM INVESTMENTS: 3.1% |
| | Commercial Paper: 0.6% |
20,000,000 | | Crown Point Capital Company, LLC, 0.080%, 07/01/2021 | 19,999,955 | 0.2 |
40,000,000 | | Crown Point Capital Company, LLC, 0.080%, 07/07/2021 | 39,999,378 | 0.4 |
| | | |
| Total Commercial Paper | | |
| (Cost $59,999,000) | 59,999,333 | 0.6 |
| | | |
| | U.S. Treasury Bills: 1.0% |
50,000,000 | (6) | United States Treasury Bill, 0.040%, 07/27/2021 | 49,998,511 | 0.5 |
50,000,000 | (2),(6) | United States Treasury Bill, 0.040%, 11/26/2021 | 49,991,161 | 0.5 |
| | | |
| Total U.S. Treasury Bills | | |
| (Cost $99,992,560) | 99,989,672 | 1.0 |
| | | |
| | Repurchase Agreements: 1.4% |
3,159,182 | (12) | Amherst Pierpoint Securities LLC, Repurchase Agreement dated 06/30/21, 0.06%, due 07/01/21 (Repurchase Amount $3,159,187, collateralized by various U.S. Government/U.S. Government Agency Obligations, 0.000%-7.000%, Market Value plus accrued interest $3,222,366, due 12/30/21-07/01/51) | 3,159,182 | 0.0 |
4,629,225 | (12) | Bethesda Securities LLC, Repurchase Agreement dated 06/30/21, 0.08%, due 07/01/21 (Repurchase Amount $4,629,235, collateralized by various U.S. Government Agency Obligations, 1.500%-6.500%, Market Value plus accrued interest $4,721,809, due 01/01/25-04/01/51) | 4,629,225 | 0.1 |
11,180,584 | (12) | BNP Paribas S.A., Repurchase Agreement dated 06/30/21, 0.20%, due 07/01/21 (Repurchase Amount $11,180,645, collateralized by various U.S. Government Securities, 1.350%-9.150%, Market Value plus accrued interest $11,729,624, due 09/19/22-01/27/40) | 11,180,584 | 0.1 |
31,400,000 | (12) | Cantor Fitzgerald Securities, Repurchase Agreement dated 06/30/21, 0.05%, due 07/01/21 (Repurchase Amount $31,400,043, collateralized by various U.S. Government/U.S. Government Agency Obligations, 0.125%-9.000%, Market Value plus accrued interest $32,028,001, due 07/25/21-05/20/71) | 31,400,000 | 0.3 |
10,165,732 | (12) | Citadel Securities LLC, Repurchase Agreement dated 06/30/21, 0.09%, due 07/01/21 (Repurchase Amount $10,165,757, collateralized by various U.S. Government Securities, 0.000%-8.125%, Market Value plus accrued interest $10,369,073, due 07/01/21-11/15/50) | 10,165,732 | 0.1 |
20,173,000 | | Deutsche Bank Repurchase Agreement dated 6/30/2021, 0.03%, due 7/1/2021, $20,173,017 to be received upon repurchase (Collateralized by $19,742,800, U.S. Treasury Note, 1.625%, Market Value plus accrued interest $20,576,540 due 2/15/2026) | 20,173,000 | 0.2 |
1,441,755 | (12) | ED&F Man Capital Markets Inc., Repurchase Agreement dated 06/30/21, 0.08%, due 07/01/21 (Repurchase Amount $1,441,758, collateralized by various U.S. Government Agency Obligations, 1.907%-5.500%, Market Value plus accrued interest $1,470,590, due 10/01/21-07/01/51) | 1,441,755 | 0.0 |
3,676,236 | (12) | Industrial & Comm. Bank of China, Repurchase Agreement dated 06/30/21, 0.04%, due 07/01/21 (Repurchase Amount $3,676,240, collateralized by various U.S. Government/U.S. Government Agency Obligations, 0.000%-9.500%, Market Value plus accrued interest $3,749,761, due 07/07/21-11/01/49) | 3,676,236 | 0.0 |
8,677,044 | (12) | JVB Financial Group LLC, Repurchase Agreement dated 06/30/21, 0.09%, due 07/01/21 (Repurchase Amount $8,677,065, collateralized by various U.S. Government/U.S. Government Agency Obligations, 0.125%-7.000%, Market Value plus accrued interest $8,850,585, due 08/01/21-06/01/51) | 8,677,044 | 0.1 |
11,024,171 | (12) | Mirae Asset Securities USA Inc., Repurchase Agreement dated 06/30/21, 0.06%, due 07/01/21 (Repurchase Amount $11,024,189, collateralized by various U.S. Government Agency Obligations, 0.500%-7.500%, Market Value plus accrued interest $11,244,673, due 05/01/24-04/20/71) | 11,024,171 | 0.1 |
5,947,988 | (12) | Palafox Trading LLC, Repurchase Agreement dated 06/30/21, 0.09%, due 07/01/21 (Repurchase Amount $5,948,003, collateralized by various U.S. Government Securities, 1.125%, Market Value plus accrued interest $6,066,965, due 02/28/27) | 5,947,988 | 0.1 |
3,056,631 | (12) | Royal Bank of Canada, Repurchase Agreement dated 06/30/21, 0.21%, due 07/01/21 (Repurchase Amount $3,056,649, collateralized by various U.S. Government Securities, 0.250%-7.500%, Market Value plus accrued interest $3,202,482, due 10/01/21-11/15/39) | 3,056,631 | 0.0 |
19,050,658 | (12) | State of Wisconsin Investment Board, Repurchase Agreement dated 06/30/21, 0.11%, due 07/01/21 (Repurchase Amount $19,050,715, collateralized by various U.S. Government Securities, 0.125%-3.875%, Market Value plus accrued interest $19,433,746, due 07/15/23-02/15/48) | 19,050,658 | 0.2 |
7,143,794 | (12) | Stonex Financial Inc., Repurchase Agreement dated 06/30/21, 0.10%, due 07/01/21 (Repurchase Amount $7,143,814, collateralized by various U.S. Government/U.S. Government Agency Obligations, 0.320%-9.000%, Market Value plus accrued interest $7,286,670, due 12/01/21-05/20/71) | 7,143,794 | 0.1 |
2,700,511 | (12) | TD Securities (USA) LLC, Repurchase Agreement dated 06/30/21, 0.06%, due 07/01/21 (Repurchase Amount $2,700,515, collateralized by various U.S. Government Agency Obligations, 2.000%-4.500%, Market Value plus accrued interest $2,754,521, due 03/01/32-07/01/51) | 2,700,511 | 0.0 |
† | Unless otherwise indicated, principal amount is shown in USD. |
(1) | Securities with purchases pursuant to Rule 144A or section 4(a)(2), under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. |
(2) | Security, or a portion of the security, is on loan. |
(3) | Variable rate security. Rate shown is the rate in effect as of June 30, 2021. |
(4) | For fair value measurement disclosure purposes, security is categorized as Level 3, whose value was determined using significant unobservable inputs. |
(5) | Interest only securities represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. Principal amount shown represents the notional amount on which current interest is calculated. Payments of principal on the pool reduce the value of the interest only security. |
(6) | Represents a zero coupon bond. Rate shown reflects the effective yield as of June 30, 2021. |
(7) | Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rates shown reflect the current and next coupon rate as of June 30, 2021. |
(8) | The Federal Housing Finance Agency (“FHFA”) placed the Federal Home Loan Mortgage Corporation and Federal National Mortgage Association into conservatorship with FHFA as the conservator. As such, the FHFA oversees the continuing affairs of these companies. |
(9) | Represents or includes a TBA transaction. |
(10) | Principal only securities represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. No payments of interest on the pool are passed through the principal only security. |
(11) | The tables within the Portfolio of Investments detail open purchased options which are non-income producing securities. |
(12) | All or a portion of the security represents securities purchased with cash collateral received for securities on loan. |
(13) | Rate shown is the 7-day yield as of June 30, 2021. |
At June 30, 2021, the following forward foreign currency contracts were outstanding for Voya Intermediate Bond Fund:
At June 30, 2021, the following futures contracts were outstanding for Voya Intermediate Bond Fund:
At June 30, 2021, the following OTC purchased foreign currency options were outstanding for Voya Intermediate Bond Fund:
At June 30, 2021, the following OTC written foreign currency options were outstanding for Voya Intermediate Bond Fund:
At June 30, 2021, the aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments on a tax basis were: