Principal Amount† | | | | Value | | Percentage of Net Assets |
CORPORATE BONDS/NOTES: 40.7% | | | | | |
| | | Basic Materials: 0.7% | | | | | |
350,000 | | | Albemarle Corp., 4.650%, 06/01/2027 | $ | 344,770 | | | 0.1 |
495,000 | | | Ecolab, Inc., 2.700%, 11/01/2026 | | 477,381 | | | 0.1 |
300,000 | | | Freeport-McMoRan, Inc., 3.875%, 03/15/2023 | | 299,268 | | | 0.1 |
600,000 | | | Freeport-McMoRan, Inc., 4.550%, 11/14/2024 | | 598,116 | | | 0.1 |
227,000 | | | Nucor Corp., 2.000%, 06/01/2025 | | 213,840 | | | 0.1 |
1,007,000 | | | Nutrien Ltd., 3.150%, 10/01/2022 | | 1,007,669 | | | 0.2 |
| | | | | 2,941,044 | | | 0.7 |
| | | | | | | | |
| | | Communications: 1.6% | | | | | |
230,000 | | | Alibaba Group Holding Ltd., 2.800%, 06/06/2023 | | 228,461 | | | 0.1 |
160,000 | | | AMC Networks, Inc., 5.000%, 04/01/2024 | | 155,277 | | | 0.0 |
351,000 | | | AT&T, Inc., 1.700%, 03/25/2026 | | 321,288 | | | 0.1 |
501,000 | | | Bell Telephone Co. of Canada or Bell Canada/The, 0.750%, 03/17/2024 | | 477,434 | | | 0.1 |
759,000 | | | British Telecommunications PLC, 4.500%, 12/04/2023 | | 762,907 | | | 0.2 |
600,000 | | | DISH DBS Corp., 5.875%, 11/15/2024 | | 507,552 | | | 0.1 |
400,000 | | | Fox Corp., 3.050%, 04/07/2025 | | 387,696 | | | 0.1 |
626,000 | | | Fox Corp., 4.030%, 01/25/2024 | | 626,573 | | | 0.1 |
75,000 | | | Motorola Solutions, Inc., 4.000%, 09/01/2024 | | 74,727 | | | 0.0 |
671,000 | | (1) | NTT Finance Corp., 0.583%, 03/01/2024 | | 638,394 | | | 0.2 |
600,000 | | | T-Mobile USA, Inc., 2.625%, 04/15/2026 | | 545,622 | | | 0.1 |
413,000 | | | T-Mobile USA, Inc., 3.500%, 04/15/2025 | | 404,457 | | | 0.1 |
300,000 | | (1) | Univision Communications, Inc., 5.125%, 02/15/2025 | | 282,900 | | | 0.1 |
416,000 | | | Verizon Communications, Inc., 0.850%, 11/20/2025 | | 377,377 | | | 0.1 |
424,000 | | | Verizon Communications, Inc., 3.500%, 11/01/2024 | | 422,927 | | | 0.1 |
453,000 | | | Walt Disney Co/The, 4.000%, 10/01/2023 | | 458,229 | | | 0.1 |
| | | | | 6,671,821 | | | 1.6 |
| | | | | | | | |
| | | Consumer, Cyclical: 5.4% | | | | | |
325,000 | | (1) | 7-Eleven, Inc., 0.950%, 02/10/2026 | | 287,281 | | | 0.1 |
604,127 | | | American Airlines 2015-2 Class A Pass Through Trust, 4.000%, 03/22/2029 | | 536,384 | | | 0.1 |
47,239 | | | American Airlines 2016-1 Class A Pass Through Trust, 4.100%, 07/15/2029 | | 41,113 | | | 0.0 |
1,067,971 | | | American Airlines 2016-3 Class A Pass Through Trust, 3.250%, 04/15/2030 | | 895,128 | | | 0.2 |
544,000 | | | American Axle & Manufacturing, Inc., 6.250%, 03/15/2026 | | 499,872 | | | 0.1 |
160,000 | | | American Honda Finance Corp., 1.300%, 09/09/2026 | | 144,569 | | | 0.0 |
450,000 | | (1) | Avient Corp., 5.750%, 05/15/2025 | | 432,063 | | | 0.1 |
252,000 | | (1) | BMW US Capital LLC, 0.800%, 04/01/2024 | | 240,289 | | | 0.1 |
615,000 | | (1) | BMW US Capital LLC, 3.250%, 04/01/2025 | | 608,082 | | | 0.2 |
595,000 | | (1) | BMW US Capital LLC, 3.900%, 04/09/2025 | | 593,870 | | | 0.1 |
450,000 | | (1) | Cedar Fair L.P. / Canada's Wonderland Co. / Magnum Management Corp. / Millennium Op, 5.500%, 05/01/2025 | | 437,607 | | | 0.1 |
414,341 | | | Continental Airlines 2012-2 Class A Pass Through Trust, 4.000%, 04/29/2026 | | 398,575 | | | 0.1 |
870,000 | | (1) | Daimler Trucks Finance North America LLC, 3.500%, 04/07/2025 | | 853,033 | | | 0.2 |
400,000 | | (1) | Dana Financing Luxembourg Sarl, 5.750%, 04/15/2025 | | 382,626 | | | 0.1 |
338,084 | | | Delta Air Lines 2015-1 Class B Pass Through Trust, 4.250%, 01/30/2025 | | 330,562 | | | 0.1 |
160,000 | | | Delta Air Lines 2019-1 Class A Pass Through Trust, 3.404%, 10/25/2025 | | 154,061 | | | 0.0 |
121,254 | | | Delta Air Lines 2020-1 Class A Pass Through Trust, 2.500%, 12/10/2029 | | 106,325 | | | 0.0 |
624,000 | | (1) | Delta Air Lines, Inc. / SkyMiles IP Ltd., 4.500%, 10/20/2025 | | 606,909 | | | 0.2 |
500,000 | | | Ford Motor Credit Co. LLC, 4.389%, 01/08/2026 | | 461,828 | | | 0.1 |
Principal Amount† | | | | Value | | | Percentage of Net Assets |
CORPORATE BONDS/NOTES: (continued) | | | | | |
| | | Consumer, Cyclical: (continued) | | | | | |
400,000 | | | Ford Motor Credit Co. LLC, 5.584%, 03/18/2024 | $ | 398,752 | | | 0.1 |
861,000 | | | General Motors Financial Co., Inc., 1.700%, 08/18/2023 | | 839,965 | | | 0.2 |
478,000 | | (2) | General Motors Financial Co., Inc., 2.350%, 02/26/2027 | | 421,418 | | | 0.1 |
370,000 | | | General Motors Financial Co., Inc., 3.800%, 04/07/2025 | | 361,196 | | | 0.1 |
439,000 | | | General Motors Financial Co., Inc., 5.250%, 03/01/2026 | | 440,224 | | | 0.1 |
543,000 | | (1) | Harley-Davidson Financial Services, Inc., 3.050%, 02/14/2027 | | 492,251 | | | 0.1 |
900,000 | | (1) | Hilton Domestic Operating Co., Inc., 5.375%, 05/01/2025 | | 884,250 | | | 0.2 |
644,000 | | (2) | Honda Motor Co. Ltd., 2.534%, 03/10/2027 | | 603,013 | | | 0.1 |
505,000 | | (1) | Hyundai Capital America, 1.300%, 01/08/2026 | | 448,797 | | | 0.1 |
900,000 | | (1) | International Game Technology PLC, 4.125%, 04/15/2026 | | 816,341 | | | 0.2 |
300,000 | | | KB Home, 7.625%, 05/15/2023 | | 304,034 | | | 0.1 |
800,000 | | | Lennar Corp., 4.500%, 04/30/2024 | | 798,718 | | | 0.2 |
227,000 | | | Lowe's Cos, Inc., 3.350%, 04/01/2027 | | 218,633 | | | 0.1 |
677,000 | | (1) | Magallanes, Inc., 3.755%, 03/15/2027 | | 635,599 | | | 0.2 |
900,000 | | (1) | Mattel, Inc., 3.375%, 04/01/2026 | | 827,217 | | | 0.2 |
516,000 | | (1) | Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd., 6.500%, 06/20/2027 | | 508,686 | | | 0.1 |
574,000 | | (1) | Panasonic Holdings Corp., 2.536%, 07/19/2022 | | 573,954 | | | 0.1 |
900,000 | | (2) | Penske Automotive Group, Inc., 3.500%, 09/01/2025 | | 845,199 | | | 0.2 |
1,002,000 | | | Ross Stores, Inc., 4.600%, 04/15/2025 | | 1,013,787 | | | 0.2 |
250,000 | | (1) | Six Flags Entertainment Corp., 4.875%, 07/31/2024 | | 238,059 | | | 0.1 |
900,000 | | (1) | Taylor Morrison Communities, Inc. / Taylor Morrison Holdings II, Inc., 5.625%, 03/01/2024 | | 876,626 | | | 0.2 |
519,000 | | | Toyota Motor Corp., 0.681%, 03/25/2024 | | 495,558 | | | 0.1 |
400,000 | | | TRI Pointe Group, Inc. / TRI Pointe Homes, Inc., 5.875%, 06/15/2024 | | 389,948 | | | 0.1 |
11,698 | | | United Airlines 2012-1 Class A Pass Through Trust, 4.150%, 10/11/2025 | | 11,491 | | | 0.0 |
449,044 | | | United Airlines 2013-1 Class A Pass Through Trust, 4.300%, 02/15/2027 | | 429,941 | | | 0.1 |
159,473 | | | US Airways 2012-1 Class A Pass Through Trust, 5.900%, 04/01/2026 | | 159,143 | | | 0.0 |
900,000 | | (1) | Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 4.250%, 05/30/2023 | | 865,215 | | | 0.2 |
| | | | | 22,908,192 | | | 5.4 |
| | | | | | | | |
| | | Consumer, Non-cyclical: 3.7% | | | | | |
939,000 | | | AbbVie, Inc., 2.600%, 11/21/2024 | | 909,993 | | | 0.2 |
683,000 | | | Altria Group, Inc., 2.350%, 05/06/2025 | | 645,551 | | | 0.2 |
592,000 | | | AmerisourceBergen Corp., 0.737%, 03/15/2023 | | 580,785 | | | 0.1 |
598,000 | | | BAT International Finance PLC, 1.668%, 03/25/2026 | | 530,167 | | | 0.1 |
466,000 | | | Baxter International, Inc., 1.322%, 11/29/2024 | | 438,011 | | | 0.1 |
363,000 | | | Boston Scientific Corp., 1.900%, 06/01/2025 | | 343,226 | | | 0.1 |
494,000 | | | Bunge Ltd. Finance Corp., 1.630%, 08/17/2025 | | 455,615 | | | 0.1 |
194,000 | | (1) | Cargill, Inc., 3.500%, 04/22/2025 | | 192,637 | | | 0.1 |
237,000 | | (1) | Cargill, Inc., 3.625%, 04/22/2027 | | 232,949 | | | 0.1 |
800,000 | | | Cigna Corp., 1.250%, 03/15/2026 | | 722,649 | | | 0.2 |
283,000 | | (1) | CSL Finance PLC, 3.850%, 04/27/2027 | | 280,563 | | | 0.1 |
566,000 | | (1) | Element Fleet Management Corp., 3.850%, 06/15/2025 | | 556,550 | | | 0.1 |
1,000,000 | | | Elevance Health, Inc., 2.375%, 01/15/2025 | | 963,918 | | | 0.2 |
829,000 | | | Global Payments, Inc., 1.200%, 03/01/2026 | | 731,682 | | | 0.2 |
900,000 | | | HCA, Inc., 5.875%, 02/15/2026 | | 906,340 | | | 0.2 |
541,000 | | (1) | Health Care Service Corp. A Mutual Legal Reserve Co., 1.500%, 06/01/2025 | | 500,911 | | | 0.1 |
366,000 | | | Humana, Inc., 0.650%, 08/03/2023 | | 354,291 | | | 0.1 |
483,000 | | | Illumina, Inc., 0.550%, 03/23/2023 | | 472,982 | | | 0.1 |
539,000 | | | Laboratory Corp. of America Holdings, 3.600%, 02/01/2025 | | 531,514 | | | 0.1 |
Principal Amount† | | | | Value | | | Percentage of Net Assets |
CORPORATE BONDS/NOTES: (continued) | | | | | |
| | | Consumer, Non-cyclical: (continued) | | | | | |
998,000 | | (1) | Mylan, Inc., 3.125%, 01/15/2023 | $ | 992,165 | | | 0.2 |
203,000 | | | Mylan, Inc., 4.200%, 11/29/2023 | | 202,433 | | | 0.1 |
535,000 | | | PerkinElmer, Inc., 0.850%, 09/15/2024 | | 495,587 | | | 0.1 |
200,000 | | (1) | PRA Health Sciences, Inc., 2.875%, 07/15/2026 | | 178,250 | | | 0.0 |
144,000 | | | RELX Capital, Inc., 3.500%, 03/16/2023 | | 143,844 | | | 0.0 |
906,000 | | | Royalty Pharma PLC, 0.750%, 09/02/2023 | | 872,819 | | | 0.2 |
504,000 | | (1) | S&P Global, Inc., 2.450%, 03/01/2027 | | 472,132 | | | 0.1 |
1,049,000 | | (1) | Triton Container International Ltd., 1.150%, 06/07/2024 | | 982,803 | | | 0.2 |
316,000 | | | UnitedHealth Group, Inc., 3.375%, 04/15/2027 | | 311,101 | | | 0.1 |
381,000 | | (2) | UnitedHealth Group, Inc., 3.700%, 05/15/2027 | | 379,951 | | | 0.1 |
594,000 | | | Viatris, Inc., 1.650%, 06/22/2025 | | 538,328 | | | 0.1 |
| | | | | 15,919,747 | | | 3.7 |
| | | | | | | | |
| | | Energy: 1.9% | | | | | |
375,000 | | | Baker Hughes Holdings LLC / Baker Hughes Co-Obligor, Inc., 2.061%, 12/15/2026 | | 344,246 | | | 0.1 |
571,000 | | | Canadian Natural Resources Ltd., 2.050%, 07/15/2025 | | 534,811 | | | 0.1 |
668,000 | | | Enbridge, Inc., 0.550%, 10/04/2023 | | 643,612 | | | 0.1 |
1,266,000 | | | Energy Transfer L.P., 4.250%, 03/15/2023 | | 1,265,699 | | | 0.3 |
900,000 | | | EnLink Midstream Partners L.P., 4.150%, 06/01/2025 | | 839,520 | | | 0.2 |
243,000 | | | Equinor ASA, 2.875%, 04/06/2025 | | 238,810 | | | 0.1 |
430,000 | | | Kinder Morgan, Inc., 1.750%, 11/15/2026 | | 381,821 | | | 0.1 |
252,000 | | | MPLX L.P., 3.500%, 12/01/2022 | | 251,918 | | | 0.1 |
900,000 | | | Occidental Petroleum Corp., 3.500%, 06/15/2025 | | 866,178 | | | 0.2 |
347,000 | | | Ovintiv Exploration, Inc., 5.375%, 01/01/2026 | | 351,253 | | | 0.1 |
497,000 | | | Phillips 66, 3.850%, 04/09/2025 | | 494,389 | | | 0.1 |
209,000 | | | Pioneer Natural Resources Co., 0.550%, 05/15/2023 | | 203,770 | | | 0.0 |
449,000 | | | Pioneer Natural Resources Co., 1.125%, 01/15/2026 | | 401,728 | | | 0.1 |
202,000 | | (1) | Southern Natural Gas Co. LLC, 0.625%, 04/28/2023 | | 195,985 | | | 0.0 |
300,000 | | | TransCanada PipeLines Ltd., 1.000%, 10/12/2024 | | 280,155 | | | 0.1 |
34,000 | | | Valero Energy Corp., 2.850%, 04/15/2025 | | 32,891 | | | 0.0 |
801,000 | | | Williams Cos, Inc./The, 4.550%, 06/24/2024 | | 808,067 | | | 0.2 |
| | | | | 8,134,853 | | | 1.9 |
| | | | | | | | |
| | | Financial: 19.4% | | | | | |
427,000 | | | AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 1.650%, 10/29/2024 | | 394,732 | | | 0.1 |
604,000 | | | Ally Financial, Inc., 3.875%, 05/21/2024 | | 599,103 | | | 0.1 |
329,000 | | | American Express Co., 2.500%, 07/30/2024 | | 320,435 | | | 0.1 |
265,000 | | | American Express Co., 3.375%, 05/03/2024 | | 263,337 | | | 0.1 |
354,000 | | | American Tower Corp., 3.500%, 01/31/2023 | | 353,975 | | | 0.1 |
394,000 | | (2) | American Tower Corp., 3.650%, 03/15/2027 | | 374,514 | | | 0.1 |
766,000 | | | Ameriprise Financial, Inc., 3.000%, 04/02/2025 | | 748,703 | | | 0.2 |
385,000 | | | Assurant, Inc., 4.200%, 09/27/2023 | | 387,861 | | | 0.1 |
760,000 | | (1) | Aviation Capital Group LLC, 5.500%, 12/15/2024 | | 753,993 | | | 0.2 |
517,000 | | (1) | Avolon Holdings Funding Ltd., 4.375%, 05/01/2026 | | 479,605 | | | 0.1 |
1,556,000 | | (3) | Bank of America Corp., 0.810%, 10/24/2024 | | 1,483,978 | | | 0.4 |
1,266,000 | | (3) | Bank of America Corp., 0.976%, 04/22/2025 | | 1,191,866 | | | 0.3 |
1,000,000 | | (3) | Bank of America Corp., 0.981%, 09/25/2025 | | 926,229 | | | 0.2 |
749,000 | | (3) | Bank of America Corp., 1.530%, 12/06/2025 | | 697,732 | | | 0.2 |
215,000 | | (3) | Bank of America Corp., 1.658%, 03/11/2027 | | 193,048 | | | 0.1 |
329,000 | | (3) | Bank of America Corp., 2.015%, 02/13/2026 | | 308,758 | | | 0.1 |
4,386,000 | | (3) | Bank of America Corp., 3.004%, 12/20/2023 | | 4,372,716 | | | 1.0 |
502,000 | | (3) | Bank of America Corp., 3.384%, 04/02/2026 | | 487,253 | | | 0.1 |
437,000 | | (3) | Bank of America Corp., 3.550%, 03/05/2024 | | 435,754 | | | 0.1 |
531,000 | | (3) | Bank of New York Mellon Corp./The, 3.430%, 06/13/2025 | | 527,104 | | | 0.1 |
419,000 | | | Bank of Nova Scotia/The, 0.550%, 09/15/2023 | | 405,324 | | | 0.1 |
539,000 | | | Bank of Nova Scotia/The, 0.700%, 04/15/2024 | | 511,504 | | | 0.1 |
534,000 | | | Bank of Nova Scotia/The, 1.450%, 01/10/2025 | | 505,905 | | | 0.1 |
Principal Amount† | | | | Value | | | Percentage of Net Assets |
CORPORATE BONDS/NOTES: (continued) | | | | | |
| | | Financial: (continued) | | | | | |
735,000 | | | Bank of Nova Scotia/The, 3.450%, 04/11/2025 | $ | 726,284 | | | 0.2 |
595,000 | | (1) | BPCE SA, 5.700%, 10/22/2023 | | 604,110 | | | 0.1 |
1,010,000 | | | Brookfield Finance, Inc., 4.000%, 04/01/2024 | | 1,010,590 | | | 0.2 |
604,000 | | | Canadian Imperial Bank of Commerce, 0.950%, 06/23/2023 | | 586,849 | | | 0.1 |
342,000 | | (3) | Canadian Imperial Bank of Commerce, 2.606%, 07/22/2023 | | 341,841 | | | 0.1 |
437,000 | | | Canadian Imperial Bank of Commerce, 3.300%, 04/07/2025 | | 429,147 | | | 0.1 |
430,000 | | (3) | Capital One Financial Corp., 1.878%, 11/02/2027 | | 377,493 | | | 0.1 |
539,000 | | (3) | Capital One Financial Corp., 4.166%, 05/09/2025 | | 531,460 | | | 0.1 |
366,000 | | (3) | Citigroup, Inc., 1.678%, 05/15/2024 | | 358,799 | | | 0.1 |
71,000 | | (3) | Citigroup, Inc., 3.106%, 04/08/2026 | | 68,245 | | | 0.0 |
615,000 | | (1) | CNO Global Funding, 1.650%, 01/06/2025 | | 580,659 | | | 0.1 |
550,000 | | (1),(3) | Cooperatieve Rabobank UA, 1.339%, 06/24/2026 | | 502,229 | | | 0.1 |
457,000 | | (1) | Corebridge Financial, Inc., 3.650%, 04/05/2027 | | 430,002 | | | 0.1 |
500,000 | | (1),(3) | Credit Agricole SA/London, 1.907%, 06/16/2026 | | 460,515 | | | 0.1 |
121,000 | | | Credit Suisse AG/New York NY, 2.950%, 04/09/2025 | | 115,969 | | | 0.0 |
1,500,000 | | | Credit Suisse AG/New York NY, 3.625%, 09/09/2024 | | 1,474,463 | | | 0.4 |
250,000 | | | Credit Suisse AG/New York NY, 3.700%, 02/21/2025 | | 244,409 | | | 0.1 |
338,000 | | (1),(3) | Danske Bank A/S, 3.773%, 03/28/2025 | | 332,646 | | | 0.1 |
311,000 | | (1),(3) | Danske Bank A/S, 4.298%, 04/01/2028 | | 295,223 | | | 0.1 |
801,000 | | (3) | Deutsche Bank AG/New York NY, 2.222%, 09/18/2024 | | 772,748 | | | 0.2 |
853,000 | | | Discover Financial Services, 3.950%, 11/06/2024 | | 841,278 | | | 0.2 |
561,000 | | (1),(3) | DNB Bank ASA, 2.968%, 03/28/2025 | | 549,335 | | | 0.1 |
469,000 | | | Equinix, Inc., 1.250%, 07/15/2025 | | 426,558 | | | 0.1 |
859,000 | | | Federal Realty OP L.P., 3.950%, 01/15/2024 | | 857,711 | | | 0.2 |
1,430,000 | | (1) | Federation des Caisses Desjardins du Quebec, 2.050%, 02/10/2025 | | 1,351,442 | | | 0.3 |
432,000 | | (1) | Five Corners Funding Trust, 4.419%, 11/15/2023 | | 434,700 | | | 0.1 |
600,000 | | (1) | GA Global Funding Trust, 3.850%, 04/11/2025 | | 588,109 | | | 0.1 |
257,000 | | (3) | Goldman Sachs Group, Inc./The, 0.925%, 10/21/2024 | | 245,929 | | | 0.1 |
319,000 | | (3) | Goldman Sachs Group, Inc./The, 2.640%, 02/24/2028 | | 289,751 | | | 0.1 |
292,000 | | | Hanover Insurance Group, Inc./The, 4.500%, 04/15/2026 | | 291,408 | | | 0.1 |
300,000 | | (1) | HAT Holdings I LLC / HAT Holdings II LLC, 3.375%, 06/15/2026 | | 258,778 | | | 0.1 |
620,000 | | (3) | HSBC Holdings PLC, 0.732%, 08/17/2024 | | 594,749 | | | 0.1 |
824,000 | | (3) | HSBC Holdings PLC, 1.162%, 11/22/2024 | | 787,237 | | | 0.2 |
1,000,000 | | (3) | HSBC Holdings PLC, 1.645%, 04/18/2026 | | 917,396 | | | 0.2 |
407,000 | | (3) | HSBC Holdings PLC, 4.180%, 12/09/2025 | | 400,997 | | | 0.1 |
450,000 | | | Icahn Enterprises L.P. / Icahn Enterprises Finance Corp., 4.750%, 09/15/2024 | | 421,277 | | | 0.1 |
535,000 | | (3) | ING Groep NV, 3.869%, 03/28/2026 | | 524,960 | | | 0.1 |
544,000 | | | Intercontinental Exchange, Inc., 4.000%, 09/15/2027 | | 535,742 | | | 0.1 |
642,000 | | (1) | Jackson Financial, Inc., 1.125%, 11/22/2023 | | 617,335 | | | 0.1 |
1,340,000 | | (3) | JPMorgan Chase & Co., 0.824%, 06/01/2025 | | 1,253,473 | | | 0.3 |
1,120,000 | | (3) | JPMorgan Chase & Co., 0.969%, 06/23/2025 | | 1,047,983 | | | 0.3 |
578,000 | | (3) | JPMorgan Chase & Co., 1.470%, 09/22/2027 | | 507,348 | | | 0.1 |
1,411,000 | | (3) | JPMorgan Chase & Co., 1.514%, 06/01/2024 | | 1,376,130 | | | 0.3 |
273,000 | | (3) | JPMorgan Chase & Co., 1.578%, 04/22/2027 | | 243,396 | | | 0.1 |
119,000 | | (3) | JPMorgan Chase & Co., 2.083%, 04/22/2026 | | 111,423 | | | 0.0 |
117,000 | | (3) | JPMorgan Chase & Co., 2.301%, 10/15/2025 | | 111,536 | | | 0.0 |
519,000 | | (3) | JPMorgan Chase & Co., 2.595%, 02/24/2026 | | 493,896 | | | 0.1 |
1,000,000 | | (3) | JPMorgan Chase & Co., 3.797%, 07/23/2024 | | 996,839 | | | 0.2 |
531,000 | | (3) | JPMorgan Chase & Co., 3.845%, 06/14/2025 | | 526,277 | | | 0.1 |
395,000 | | (3) | JPMorgan Chase & Co., 4.080%, 04/26/2026 | | 390,619 | | | 0.1 |
297,000 | | | KeyBank NA/Cleveland OH, 4.390%, 12/14/2027 | | 296,013 | | | 0.1 |
664,000 | | (3) | Lloyds Banking Group PLC, 0.695%, 05/11/2024 | | 644,779 | | | 0.2 |
Principal Amount† | | | | Value | | | Percentage of Net Assets |
CORPORATE BONDS/NOTES: (continued) | | | | | |
| | | Financial: (continued) | | | | | |
491,000 | | (3) | Lloyds Banking Group PLC, 3.870%, 07/09/2025 | $ | 485,376 | | | 0.1 |
1,047,000 | | (1) | LSEGA Financing PLC, 0.650%, 04/06/2024 | | 988,275 | | | 0.2 |
1,024,000 | | | Marsh & McLennan Cos, Inc., 4.050%, 10/15/2023 | | 1,027,334 | | | 0.2 |
406,000 | | (3) | Mitsubishi UFJ Financial Group, Inc., 0.848%, 09/15/2024 | | 391,113 | | | 0.1 |
404,000 | | (3) | Mitsubishi UFJ Financial Group, Inc., 0.962%, 10/11/2025 | | 374,541 | | | 0.1 |
400,000 | | | Mitsubishi UFJ Financial Group, Inc., 1.412%, 07/17/2025 | | 367,819 | | | 0.1 |
455,000 | | (3) | Mitsubishi UFJ Financial Group, Inc., 2.341%, 01/19/2028 | | 410,472 | | | 0.1 |
400,000 | | (3) | Mizuho Financial Group, Inc., 0.849%, 09/08/2024 | | 384,756 | | | 0.1 |
1,037,000 | | | Mizuho Financial Group, Inc., 2.154%, (US0003M + 0.630%), 05/25/2024 | | 1,025,966 | | | 0.2 |
200,000 | | (3) | Mizuho Financial Group, Inc., 2.555%, 09/13/2025 | | 191,762 | | | 0.0 |
1,463,000 | | (3) | Morgan Stanley, 0.790%, 05/30/2025 | | 1,363,186 | | | 0.3 |
883,000 | | (3) | Morgan Stanley, 0.791%, 01/22/2025 | | 835,337 | | | 0.2 |
829,000 | | (3) | Morgan Stanley, 1.164%, 10/21/2025 | | 768,943 | | | 0.2 |
426,000 | | (3) | Morgan Stanley, 2.475%, 01/21/2028 | | 387,595 | | | 0.1 |
519,000 | | (3) | Morgan Stanley, 2.630%, 02/18/2026 | | 495,805 | | | 0.1 |
2,000,000 | | | Morgan Stanley, 3.750%, 02/25/2023 | | 2,006,614 | | | 0.5 |
329,000 | | | Morgan Stanley, 4.000%, 07/23/2025 | | 329,198 | | | 0.1 |
374,000 | | | National Australia Bank Ltd./New York, 3.500%, 06/09/2025 | | 371,062 | | | 0.1 |
487,000 | | | National Bank of Canada, 0.750%, 08/06/2024 | | 454,462 | | | 0.1 |
258,000 | | (1) | Nationwide Building Society, 1.500%, 10/13/2026 | | 230,029 | | | 0.1 |
1,200,000 | | (3) | NatWest Group PLC, 2.359%, 05/22/2024 | | 1,178,897 | | | 0.3 |
403,000 | | | NatWest Group PLC, 3.875%, 09/12/2023 | | 401,930 | | | 0.1 |
398,000 | | (3) | NatWest Group PLC, 4.269%, 03/22/2025 | | 394,251 | | | 0.1 |
900,000 | | | Navient Corp., 6.750%, 06/25/2025 | | 813,564 | | | 0.2 |
403,000 | | (1) | Nordea Bank Abp, 0.625%, 05/24/2024 | | 379,464 | | | 0.1 |
374,000 | | (1) | Nordea Bank Abp, 3.600%, 06/06/2025 | | 370,627 | | | 0.1 |
869,000 | | (1) | Nordea Bank Abp, 4.250%, 09/21/2022 | | 870,939 | | | 0.2 |
804,000 | | | Old Republic International Corp., 4.875%, 10/01/2024 | | 817,129 | | | 0.2 |
600,000 | | | OneMain Finance Corp., 6.875%, 03/15/2025 | | 569,862 | | | 0.1 |
198,000 | | (1) | Pacific Life Global Funding II, 1.200%, 06/24/2025 | | 182,048 | | | 0.0 |
255,000 | | (1) | Pacific Life Global Funding II, 1.375%, 04/14/2026 | | 229,951 | | | 0.1 |
600,000 | | | Royal Bank of Canada, 1.150%, 06/10/2025 | | 555,888 | | | 0.1 |
275,000 | | (2) | Royal Bank of Canada, 1.150%, 07/14/2026 | | 245,773 | | | 0.1 |
533,000 | | | Royal Bank of Canada, 1.600%, 01/21/2025 | | 504,962 | | | 0.1 |
210,000 | | | Royal Bank of Canada, 2.937%, (US0003M + 0.660%), 10/05/2023 | | 209,912 | | | 0.1 |
411,000 | | | Royal Bank of Canada, 4.650%, 01/27/2026 | | 415,116 | | | 0.1 |
506,000 | | | Sixth Street Specialty Lending, Inc., 3.875%, 11/01/2024 | | 488,687 | | | 0.1 |
810,000 | | (1) | Skandinaviska Enskilda Banken AB, 0.650%, 09/09/2024 | | 756,085 | | | 0.2 |
534,000 | | (1) | Skandinaviska Enskilda Banken AB, 3.700%, 06/09/2025 | | 528,663 | | | 0.1 |
544,000 | | (1),(3) | Societe Generale SA, 2.226%, 01/21/2026 | | 507,522 | | | 0.1 |
1,000,000 | | (1),(3) | Standard Chartered PLC, 0.991%, 01/12/2025 | | 945,311 | | | 0.2 |
327,000 | | (1),(3) | Standard Chartered PLC, 2.608%, 01/12/2028 | | 292,310 | | | 0.1 |
572,000 | | (1) | Standard Chartered PLC, 3.950%, 01/11/2023 | | 570,719 | | | 0.1 |
950,000 | | (1) | Starwood Property Trust, Inc., 3.625%, 07/15/2026 | | 806,830 | | | 0.2 |
450,000 | | (1) | Starwood Property Trust, Inc., 3.750%, 12/31/2024 | | 410,321 | | | 0.1 |
440,000 | | | Sumitomo Mitsui Financial Group, Inc., 2.348%, 01/15/2025 | | 421,308 | | | 0.1 |
750,000 | | | Sumitomo Mitsui Financial Group, Inc., 2.696%, 07/16/2024 | | 730,102 | | | 0.2 |
535,000 | | (1) | Sumitomo Mitsui Trust Bank Ltd., 0.800%, 09/16/2024 | | 498,510 | | | 0.1 |
499,000 | | (3) | SVB Financial Group, 4.345%, 04/29/2028 | | 487,034 | | | 0.1 |
533,000 | | (1) | Svenska Handelsbanken AB, 3.650%, 06/10/2025 | | 528,528 | | | 0.1 |
1,000,000 | | (1) | Swedbank AB, 0.600%, 09/25/2023 | | 964,659 | | | 0.2 |
Principal Amount† | | | | Value | | | Percentage of Net Assets |
CORPORATE BONDS/NOTES: (continued) | | | | | |
| | | Financial: (continued) | | | | | |
447,000 | | (1) | Swedbank AB, 3.356%, 04/04/2025 | $ | 439,497 | | | 0.1 |
535,000 | | | Toronto-Dominion Bank/The, 0.700%, 09/10/2024 | | 502,583 | | | 0.1 |
533,000 | | (2) | Toronto-Dominion Bank/The, 1.450%, 01/10/2025 | | 504,437 | | | 0.1 |
519,000 | | | Toronto-Dominion Bank/The, 3.766%, 06/06/2025 | | 516,770 | | | 0.1 |
515,000 | | (1) | UBS AG/London, 0.700%, 08/09/2024 | | 482,381 | | | 0.1 |
1,000,000 | | (1),(3) | UBS Group AG, 1.008%, 07/30/2024 | | 968,855 | | | 0.2 |
451,000 | | (1),(3) | UBS Group AG, 4.488%, 05/12/2026 | | 449,898 | | | 0.1 |
900,000 | | (1) | VICI Properties L.P. / VICI Note Co., Inc., 3.500%, 02/15/2025 | | 843,248 | | | 0.2 |
700,000 | | (1) | VICI Properties L.P. / VICI Note Co., Inc., 4.625%, 06/15/2025 | | 667,068 | | | 0.2 |
200,000 | | (1) | VICI Properties L.P. / VICI Note Co., Inc., 5.625%, 05/01/2024 | | 197,917 | | | 0.1 |
500,000 | | (3) | Wells Fargo & Co., 2.406%, 10/30/2025 | | 476,557 | | | 0.1 |
494,000 | | (3) | Wells Fargo & Co., 3.908%, 04/25/2026 | | 486,464 | | | 0.1 |
| | | | | 82,403,736 | | | 19.4 |
| | | | | | | | |
| | | Industrial: 2.1% | | | | | |
430,000 | | | Amcor Flexibles North America, Inc., 4.000%, 05/17/2025 | | 425,720 | | | 0.1 |
600,000 | | | Ball Corp., 4.875%, 03/15/2026 | | 591,315 | | | 0.1 |
830,000 | | | Boeing Co/The, 4.875%, 05/01/2025 | | 828,090 | | | 0.2 |
900,000 | | (1) | Brundage-Bone Concrete Pumping Holdings, Inc., 6.000%, 02/01/2026 | | 763,397 | | | 0.2 |
256,000 | | | General Dynamics Corp., 3.250%, 04/01/2025 | | 254,115 | | | 0.1 |
433,000 | | (1) | Graphic Packaging International LLC, 0.821%, 04/15/2024 | | 407,627 | | | 0.1 |
665,000 | | | Huntington Ingalls Industries, Inc., 0.670%, 08/16/2023 | | 641,527 | | | 0.1 |
202,000 | | | John Deere Capital Corp., 2.125%, 03/07/2025 | | 195,234 | | | 0.0 |
151,000 | | | John Deere Capital Corp., 2.350%, 03/08/2027 | | 141,576 | | | 0.0 |
302,000 | | (1) | Owens-Brockway Glass Container, Inc., 5.875%, 08/15/2023 | | 299,371 | | | 0.1 |
424,000 | | | Raytheon Technologies Corp., 3.700%, 12/15/2023 | | 423,206 | | | 0.1 |
700,000 | | | Republic Services, Inc., 2.500%, 08/15/2024 | | 678,332 | | | 0.2 |
300,000 | | (1) | Sealed Air Corp., 5.500%, 09/15/2025 | | 299,970 | | | 0.1 |
350,000 | | (1) | SMBC Aviation Capital Finance DAC, 1.900%, 10/15/2026 | | 297,685 | | | 0.1 |
426,000 | | | Sonoco Products Co., 2.250%, 02/01/2027 | | 383,521 | | | 0.1 |
829,000 | | | Teledyne Technologies, Inc., 0.950%, 04/01/2024 | | 784,442 | | | 0.2 |
900,000 | | (1) | TransDigm, Inc., 8.000%, 12/15/2025 | | 911,876 | | | 0.2 |
450,000 | | (1) | WESCO Distribution, Inc., 7.125%, 06/15/2025 | | 449,944 | | | 0.1 |
| | | | | 8,776,948 | | | 2.1 |
| | | | | | | | |
| | | Technology: 2.4% | | | | | |
900,000 | | | CDW LLC / CDW Finance Corp., 5.500%, 12/01/2024 | | 904,860 | | | 0.2 |
332,000 | | | CGI, Inc., 1.450%, 09/14/2026 | | 293,451 | | | 0.1 |
992,000 | | | Fidelity National Information Services, Inc., 0.600%, 03/01/2024 | | 939,543 | | | 0.2 |
941,000 | | | Fiserv, Inc., 2.750%, 07/01/2024 | | 918,833 | | | 0.2 |
954,000 | | | HP, Inc., 2.200%, 06/17/2025 | | 902,903 | | | 0.2 |
308,000 | | | International Business Machines Corp., 6.500%, 01/15/2028 | | 341,712 | | | 0.1 |
505,000 | | (1) | Kyndryl Holdings, Inc., 2.050%, 10/15/2026 | | 425,474 | | | 0.1 |
900,000 | | | Microchip Technology, Inc., 4.250%, 09/01/2025 | | 877,538 | | | 0.2 |
909,000 | | | NetApp, Inc., 1.875%, 06/22/2025 | | 848,780 | | | 0.2 |
832,000 | | | NXP BV / NXP Funding LLC / NXP USA, Inc., 2.700%, 05/01/2025 | | 791,767 | | | 0.2 |
447,000 | | | Oracle Corp., 1.650%, 03/25/2026 | | 401,162 | | | 0.1 |
282,000 | | | Oracle Corp., 2.500%, 04/01/2025 | | 268,292 | | | 0.1 |
570,000 | | | Oracle Corp., 2.650%, 07/15/2026 | | 526,417 | | | 0.1 |
615,000 | | | Take-Two Interactive Software, Inc., 3.550%, 04/14/2025 | | 605,500 | | | 0.1 |
703,000 | | | VMware, Inc., 1.000%, 08/15/2024 | | 658,336 | | | 0.1 |
395,000 | | | VMware, Inc., 4.500%, 05/15/2025 | | 396,475 | | | 0.1 |
262,000 | | | Workday, Inc., 3.500%, 04/01/2027 | | 250,763 | | | 0.1 |
| | | | | 10,351,806 | | | 2.4 |
Principal Amount† | | | | Value | | | Percentage of Net Assets |
CORPORATE BONDS/NOTES: (continued) | | | | | |
| | | Utilities: 3.5% | | | | | |
467,000 | | (1) | AEP Texas, Inc., 3.850%, 10/01/2025 | $ | 464,122 | | | 0.1 |
360,000 | | | AES Corp./The, 1.375%, 01/15/2026 | | 317,920 | | | 0.1 |
269,000 | | (1) | AES Corp./The, 3.300%, 07/15/2025 | | 252,793 | | | 0.1 |
497,000 | | | American Electric Power Co., Inc., 0.750%, 11/01/2023 | | 478,253 | | | 0.1 |
507,000 | | | American Electric Power Co., Inc., 2.031%, 03/15/2024 | | 490,796 | | | 0.1 |
258,000 | | (1) | Aquarion Co., 4.000%, 08/15/2024 | | 255,836 | | | 0.1 |
152,000 | | | Arizona Public Service Co., 3.350%, 06/15/2024 | | 150,249 | | | 0.0 |
282,000 | | | Avangrid, Inc., 3.200%, 04/15/2025 | | 274,490 | | | 0.1 |
363,000 | | | Black Hills Corp., 1.037%, 08/23/2024 | | 339,667 | | | 0.1 |
282,000 | | | Connecticut Light and Power Co/The, 0.750%, 12/01/2025 | | 254,040 | | | 0.1 |
955,000 | | (1) | Dominion Energy, Inc., 2.450%, 01/15/2023 | | 949,386 | | | 0.2 |
930,000 | | (1) | East Ohio Gas Co/The, 1.300%, 06/15/2025 | | 855,963 | | | 0.2 |
463,000 | | | Entergy Arkansas LLC, 3.050%, 06/01/2023 | | 461,802 | | | 0.1 |
835,000 | | | Entergy Corp., 0.900%, 09/15/2025 | | 752,514 | | | 0.2 |
640,000 | | | Entergy Louisiana LLC, 0.950%, 10/01/2024 | | 601,504 | | | 0.1 |
145,000 | | | Entergy Louisiana LLC, 3.300%, 12/01/2022 | | 145,166 | | | 0.0 |
160,000 | | | Entergy Louisiana LLC, 4.050%, 09/01/2023 | | 160,836 | | | 0.0 |
303,000 | | | Eversource Energy, 2.900%, 03/01/2027 | | 284,716 | | | 0.1 |
478,000 | | | Interstate Power and Light Co., 3.250%, 12/01/2024 | | 472,510 | | | 0.1 |
317,000 | | | IPALCO Enterprises, Inc., 3.700%, 09/01/2024 | | 313,696 | | | 0.1 |
465,000 | | | National Rural Utilities Cooperative Finance Corp., 1.000%, 10/18/2024 | | 436,880 | | | 0.1 |
376,000 | | | National Rural Utilities Cooperative Finance Corp., 1.875%, 02/07/2025 | | 359,594 | | | 0.1 |
536,000 | | | NextEra Energy Capital Holdings, Inc., 1.875%, 01/15/2027 | | 483,842 | | | 0.1 |
327,000 | | | NextEra Energy Capital Holdings, Inc., 4.625%, 07/15/2027 | | 331,744 | | | 0.1 |
443,000 | | (1) | Niagara Mohawk Power Corp., 2.721%, 11/28/2022 | | 441,544 | | | 0.1 |
559,000 | | | NiSource, Inc., 0.950%, 08/15/2025 | | 502,911 | | | 0.1 |
883,000 | | | OGE Energy Corp., 0.703%, 05/26/2023 | | 860,755 | | | 0.2 |
750,000 | | | PG&E Wildfire Recovery Funding LLC, 3.594%, 06/01/2032 | | 745,170 | | | 0.2 |
180,000 | | | Public Service Electric and Gas Co., 3.750%, 03/15/2024 | | 180,455 | | | 0.0 |
255,000 | | | Southern Co. Gas Capital Corp., 3.250%, 06/15/2026 | | 245,057 | | | 0.0 |
1,378,000 | | | Southern Co/The, 0.600%, 02/26/2024 | | 1,305,012 | | | 0.3 |
317,000 | | (1) | Trans-Allegheny Interstate Line Co., 3.850%, 06/01/2025 | | 312,088 | | | 0.1 |
332,000 | | (1) | Vistra Operations Co. LLC, 5.125%, 05/13/2025 | | 328,926 | | | 0.1 |
150,000 | | | Wisconsin Power and Light Co., 2.250%, 11/15/2022 | | 149,839 | | | 0.0 |
| | | | | 14,960,076 | | | 3.5 |
| | | | | | | | |
| | Total Corporate Bonds/Notes | | | | | |
| | (Cost $183,279,889) | | 173,068,223 | | | 40.7 |
| | | | | | | | |
COLLATERALIZED MORTGAGE OBLIGATIONS: 6.3% | | | | | |
187,880 | | | Fannie Mae Connecticut Avenue Securities 2016-C05 2M2, 6.074%, (US0001M + 4.450%), 01/25/2029 | | 195,881 | | | 0.1 |
275,869 | | | Fannie Mae Connecticut Avenue Securities 2016-C07 2M2, 5.974%, (US0001M + 4.350%), 05/25/2029 | | 285,484 | | | 0.1 |
387,027 | | | Fannie Mae Connecticut Avenue Securities 2017-C03 1M2, 4.624%, (US0001M + 3.000%), 10/25/2029 | | 390,790 | | | 0.1 |
341,006 | | | Fannie Mae Connecticut Avenue Securities 2017-C07 1M2, 4.024%, (US0001M + 2.400%), 05/25/2030 | | 341,737 | | | 0.1 |
1,133,750 | | | Fannie Mae Connecticut Avenue Securities 2018-C03 1M2, 3.774%, (US0001M + 2.150%), 10/25/2030 | | 1,139,645 | | | 0.3 |
197,898 | | | Fannie Mae Connecticut Avenue Securities 2018-C06 2M2, 3.724%, (US0001M + 2.100%), 03/25/2031 | | 194,112 | | | 0.1 |
181,324 | | (1) | Fannie Mae Connecticut Avenue Securities Trust 2019-R06 2M2, 3.724%, (US0001M + 2.100%), 09/25/2039 | | 180,686 | | | 0.0 |
Principal Amount† | | | | Value | | | Percentage of Net Assets |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | | | | |
83,210 | | | Fannie Mae Interest Strip Series 404 8, 3.000%, 05/25/2040 | $ | 79,976 | | | 0.0 |
6,314 | | | Fannie Mae REMIC Trust 2010-137 XP, 4.500%, 10/25/2040 | | 6,374 | | | 0.0 |
65,321 | | | Fannie Mae REMIC Trust 2010-54 LC, 3.000%, 04/25/2040 | | 63,685 | | | 0.0 |
451,240 | | | Fannie Mae REMICS 2013-114 NA, 3.000%, 08/25/2032 | | 447,692 | | | 0.1 |
1,092,564 | | | Freddie Mac 3049 XF, 1.674%, (US0001M + 0.350%), 05/15/2033 | | 1,088,264 | | | 0.3 |
154,137 | | | Freddie Mac REMIC Trust 2103 TE, 6.000%, 12/15/2028 | | 163,597 | | | 0.0 |
507,703 | | | Freddie Mac REMICS 3255 FA, 1.604%, (US0001M + 0.280%), 12/15/2036 | | 503,034 | | | 0.1 |
29,116 | | | Freddie Mac REMICS 3747 FA, 1.824%, (US0001M + 0.500%), 10/15/2040 | | 29,128 | | | 0.0 |
1,418,453 | | (1) | Freddie Mac STACR 2019-HQA3 M2, 3.474%, (US0001M + 1.850%), 09/25/2049 | | 1,396,678 | | | 0.3 |
12,681 | | (1) | Freddie Mac STACR REMIC Trust 2020-HQA3 M2, 5.224%, (US0001M + 3.600%), 07/25/2050 | | 12,675 | | | 0.0 |
1,400,000 | | (1) | Freddie Mac STACR REMIC Trust 2021-HQA1 M2, 3.176%, (SOFR30A + 2.250%), 08/25/2033 | | 1,300,271 | | | 0.3 |
280,287 | | (1) | Freddie Mac Structured Agency Credit Risk Debt Notes 2020-HQA5 M2, 3.526%, (SOFR30A + 2.600%), 11/25/2050 | | 278,746 | | | 0.1 |
4,356,377 | | | Ginnie Mae 2015-H32 FH, 1.463%, (US0001M + 0.660%), 12/20/2065 | | 4,331,425 | | | 1.0 |
468,331 | | | Ginnie Mae Series 2010-H03 FA, 1.573%, (US0001M + 0.550%), 03/20/2060 | | 465,695 | | | 0.1 |
37,426 | | | Ginnie Mae Series 2010-H10 FC, 2.023%, (US0001M + 1.000%), 05/20/2060 | | 37,469 | | | 0.0 |
2,173,000 | | | Ginnie Mae Series 2010-H11 FA, 2.023%, (US0001M + 1.000%), 06/20/2060 | | 2,176,732 | | | 0.5 |
87,743 | | | Ginnie Mae Series 2011-H03 FA, 1.303%, (US0001M + 0.500%), 01/20/2061 | | 87,115 | | | 0.0 |
82,673 | | | Ginnie Mae Series 2011-H05 FA, 1.303%, (US0001M + 0.500%), 12/20/2060 | | 82,096 | | | 0.0 |
118,507 | | | Ginnie Mae Series 2011-H05 FB, 1.303%, (US0001M + 0.500%), 12/20/2060 | | 117,598 | | | 0.0 |
593,110 | | | Ginnie Mae Series 2011-H06 FA, 1.253%, (US0001M + 0.450%), 02/20/2061 | | 588,104 | | | 0.1 |
70,124 | | | Ginnie Mae Series 2011-H07 FA, 1.303%, (US0001M + 0.500%), 02/20/2061 | | 69,653 | | | 0.0 |
136,017 | | | Ginnie Mae Series 2011-H08 FD, 1.303%, (US0001M + 0.500%), 02/20/2061 | | 134,998 | | | 0.0 |
485,959 | | | Ginnie Mae Series 2011-H08 FG, 1.283%, (US0001M + 0.480%), 03/20/2061 | | 482,097 | | | 0.1 |
728,932 | | | Ginnie Mae Series 2011-H09 AF, 1.303%, (US0001M + 0.500%), 03/20/2061 | | 724,069 | | | 0.2 |
54,620 | | | Ginnie Mae Series 2011-H11 FB, 1.303%, (US0001M + 0.500%), 04/20/2061 | | 54,242 | | | 0.0 |
187,499 | | | Ginnie Mae Series 2012-H18 NA, 1.323%, (US0001M + 0.520%), 08/20/2062 | | 186,608 | | | 0.1 |
1,367,013 | | | Ginnie Mae Series 2012-H23 SA, 1.333%, (US0001M + 0.530%), 10/20/2062 | | 1,366,402 | | | 0.3 |
1,050,100 | | | Ginnie Mae Series 2012-H23 WA, 1.323%, (US0001M + 0.520%), 10/20/2062 | | 1,043,249 | | | 0.3 |
379,299 | | | Ginnie Mae Series 2014-3 EP, 2.750%, 02/16/2043 | | 368,611 | | | 0.1 |
250,330 | | (3) | Ginnie Mae Series 2014-53 JM, 7.018%, 04/20/2039 | | 271,491 | | | 0.1 |
3,999,192 | | | Ginnie Mae Series 2016-H16 FE, 0.627%, (US0012M + 0.380%), 06/20/2066 | | 3,943,350 | | | 0.9 |
1,429,673 | | | Ginnie Mae Series 2017-H06 FE, 1.353%, (US0001M + 0.550%), 02/20/2067 | | 1,418,285 | | | 0.3 |
812,872 | | | Ginnie Mae Series 2017-H07 FG, 1.263%, (US0001M + 0.460%), 02/20/2067 | | 806,450 | | | 0.2 |
Principal Amount† | | | | Value | | | Percentage of Net Assets |
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | | | | | |
150,000 | | (1) | Mello Warehouse Securitization Trust 2020-2 A, 2.424%, (US0001M + 0.800%), 11/25/2053 | $ | 149,143 | | | 0.0 |
| | | | | | | | |
| | Total Collateralized Mortgage Obligations | | | | | |
| | (Cost $27,449,468) | | 27,003,337 | | | 6.3 |
| | | | | | | | |
U.S. TREASURY OBLIGATIONS: 20.7% | | | | | |
| | | U.S. Treasury Notes: 20.7% | | | | | |
49,796,000 | | (2) | 0.125%,05/31/2023 | | 48,564,961 | | | 11.4 |
5,290,000 | | (2) | 2.500%,05/31/2024 | | 5,242,679 | | | 1.2 |
525,000 | | (2) | 2.625%,05/31/2027 | | 515,136 | | | 0.1 |
17,871,000 | | | 2.875%,06/15/2025 | | 17,801,191 | | | 4.2 |
13,803,000 | | | 3.000%,06/30/2024 | | 13,811,088 | | | 3.3 |
2,102,000 | | | 3.250%,06/30/2027 | | 2,122,692 | | | 0.5 |
| | | | | | | | |
| | Total U.S. Treasury Obligations | | | | | |
| | (Cost $88,213,701) | | 88,057,747 | | | 20.7 |
| | | | | | | | |
COMMERCIAL MORTGAGE-BACKED SECURITIES: 10.2% | | | | | |
604,500 | | (1) | AREIT 2019-CRE3 C Trust, 3.348%, (TSFR1M + 2.014%), 09/14/2036 | | 584,776 | | | 0.1 |
5,000,000 | | (1) | Atrium Hotel Portfolio Trust 2018-ATRM D, 3.624%, (US0001M + 2.300%), 06/15/2035 | | 4,687,980 | | | 1.1 |
4,000,000 | | (1) | BBCMS Trust 2021-AGW E, 4.474%, (US0001M + 3.150%), 06/15/2036 | | 3,773,443 | | | 0.9 |
1,000,000 | | (1) | BDS 2018-FL8 E, 3.862%, (US0001M + 2.250%), 01/18/2036 | | 906,803 | | | 0.2 |
2,917,000 | | (1) | BHMS 2018-ATLS C, 3.224%, (US0001M + 1.900%), 07/15/2035 | | 2,765,322 | | | 0.7 |
360,000 | | (1) | CGDB Commercial Mortgage Trust 2019-MOB F, 3.874%, (US0001M + 2.550%), 11/15/2036 | | 343,501 | | | 0.1 |
2,000,000 | | (1),(3) | COMM 2013-CCRE11 C Mortgage Trust, 5.284%, 08/10/2050 | | 1,979,313 | | | 0.5 |
120,000 | | (1),(3) | COMM 2013-CR10 E Mortgage Trust, 5.063%, 08/10/2046 | | 112,593 | | | 0.0 |
380,000 | | (1),(3) | COMM 2013-SFS A2 Mortgage Trust, 3.086%, 04/12/2035 | | 374,423 | | | 0.1 |
800,000 | | (1) | CSWF 2021-SOP2 D, 3.641%, (US0001M + 2.317%), 06/15/2034 | | 751,866 | | | 0.2 |
2,200,000 | | (1),(4) | FREMF 2019-KG01 C Mortgage Trust, 0.000%, 05/25/2029 | | 1,285,586 | | | 0.3 |
548,000 | | (1) | GAM Re-REMIC Trust 2021-FRR1 1B, 0.890%, 11/29/2050 | | 425,912 | | | 0.1 |
710,000 | | (1) | GAM Re-REMIC Trust 2021-FRR1 2B, 1.190%, 11/29/2050 | | 506,436 | | | 0.1 |
8,884 | | | Ginnie Mae 2015-183 AC, 2.350%, 07/16/2056 | | 8,853 | | | 0.0 |
2,179 | | (3) | Ginnie Mae 2015-21 AF, 2.450%, 07/16/2048 | | 2,157 | | | 0.0 |
20,363 | | | Ginnie Mae 2016-110 AB, 2.000%, 05/16/2049 | | 20,101 | | | 0.0 |
79,727 | | | Ginnie Mae 2017-100 AB, 2.300%, 04/16/2052 | | 78,054 | | | 0.0 |
44,181 | | | Ginnie Mae 2017-51 AB, 2.350%, 04/16/2057 | | 43,311 | | | 0.0 |
13,043 | | | Ginnie Mae 2017-69 AB, 2.350%, 05/16/2053 | | 12,843 | | | 0.0 |
32,325 | | | Ginnie Mae 2017-70 A, 2.500%, 10/16/2057 | | 31,686 | | | 0.0 |
93,165 | | | Ginnie Mae 2017-86 AB, 2.300%, 11/16/2051 | | 91,412 | | | 0.0 |
96,424 | | | Ginnie Mae 2017-89 A, 2.500%, 08/16/2057 | | 94,852 | | | 0.0 |
11,830 | | | Ginnie Mae 2018-41 A, 2.400%, 09/16/2058 | | 11,751 | | | 0.0 |
330,000 | | (1) | GS Mortgage Securities Corp. Trust 2017-GPTX B, 3.104%, 05/10/2034 | | 329,299 | | | 0.1 |
1,039,000 | | (1),(3) | GS Mortgage Securities Corp. Trust 2017-SLP E, 4.744%, 10/10/2032 | | 1,011,186 | | | 0.2 |
1,070,000 | | (1) | GS Mortgage Securities Corp. Trust 2019-70P C, 2.824%, (US0001M + 1.500%), 10/15/2036 | | 1,010,323 | | | 0.2 |
190,000 | | (1) | GSCG Trust 2019-600C A, 2.936%, 09/06/2034 | | 180,710 | | | 0.0 |
330,000 | | (1) | Houston Galleria Mall Trust 2015-HGLR A1A2, 3.087%, 03/05/2037 | | 313,707 | | | 0.1 |
262,877 | | (1) | JP Morgan Chase Commercial Mortgage Securities Corp. 2012-HSBC A, 3.093%, 07/05/2032 | | 262,763 | | | 0.1 |
19,335 | | | JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8 A3, 2.829%, 10/15/2045 | | 19,314 | | | 0.0 |
210,000 | | (3) | JP Morgan Chase Commercial Mortgage Securities Trust 2013-C10 C, 4.235%, 12/15/2047 | | 206,075 | | | 0.0 |
900,000 | | (1),(3) | JP Morgan Chase Commercial Mortgage Securities Trust 2013-C13 E, 3.986%, 01/15/2046 | | 842,913 | | | 0.2 |
360,000 | | (1) | JP Morgan Chase Commercial Mortgage Securities Trust 2018-WPT CFX, 4.950%, 07/05/2033 | | 355,027 | | | 0.1 |
Principal Amount† | | | | Value | | | Percentage of Net Assets |
COMMERCIAL MORTGAGE-BACKED SECURITIES: (continued) | | | | | |
100,000 | | (1),(3) | JP Morgan Chase Commercial Mortgage Securities Trust 2020-LOOP E, 3.990%, 12/05/2038 | $ | 77,020 | | | 0.0 |
1,100,000 | | (1),(3) | JPMBB Commercial Mortgage Securities Trust 2013-C15 D, 5.358%, 11/15/2045 | | 1,069,749 | | | 0.3 |
1,000,000 | | (1),(3) | JPMBB Commercial Mortgage Securities Trust 2013-C17 E, 3.867%, 01/15/2047 | | 829,642 | | | 0.2 |
820,000 | | (3) | JPMBB Commercial Mortgage Securities Trust 2014-C19 C, 4.806%, 04/15/2047 | | 791,075 | | | 0.2 |
900,000 | | (1),(3) | JPMBB Commercial Mortgage Securities Trust 2014-C19 D, 4.806%, 04/15/2047 | | 841,248 | | | 0.2 |
430,000 | | (1) | JPMBB Commercial Mortgage Securities Trust 2014-C24 A4A2, 3.373%, 11/15/2047 | | 420,582 | | | 0.1 |
1,000,000 | | (1),(3) | LSTAR Commercial Mortgage Trust 2016-4 F, 4.739%, 03/10/2049 | | 739,886 | | | 0.2 |
2,300,000 | | (1),(3) | Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6 E, 4.737%, 11/15/2045 | | 2,232,723 | | | 0.5 |
400,000 | | (1),(3) | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C8 E, 4.144%, 12/15/2048 | | 379,327 | | | 0.1 |
290,000 | | (1) | Morgan Stanley Capital I Trust 2011-C1 J, 4.193%, 09/15/2047 | | 312,886 | | | 0.1 |
174,774 | | | Morgan Stanley Capital I Trust 2017-H1 A2, 3.089%, 06/15/2050 | | 171,203 | | | 0.0 |
910,000 | | | Morgan Stanley Capital I Trust 2019-H6 A2, 3.228%, 06/15/2052 | | 887,073 | | | 0.2 |
700,337 | | (1) | Ready Capital Mortgage Financing 2020-FL4 A LLC, 3.774%, (US0001M + 2.150%), 02/25/2035 | | 695,955 | | | 0.2 |
2,000,000 | | (1) | SMRT 2022-MINI F, 4.629%, (TSFR1M + 3.350%), 01/15/2039 | | 1,855,582 | | | 0.4 |
1,200,000 | | (1) | STWD 2021-LIH D Mortgage Trust, 3.629%, (US0001M + 2.305%), 11/15/2036 | | 1,131,336 | | | 0.3 |
11,317 | | | UBS Commercial Mortgage Trust 2018-C8 A2, 3.713%, 02/15/2051 | | 11,300 | | | 0.0 |
5,000,000 | | (1),(3) | UBS-Barclays Commercial Mortgage Trust 2013-C6 C, 4.163%, 04/10/2046 | | 4,829,798 | | | 1.1 |
400,519 | | (1) | VMC Finance 2019-FL3 A LLC, 2.623%, (US0001M + 1.100%), 09/15/2036 | | 392,594 | | | 0.1 |
1,642,500 | | (1),(3) | Wells Fargo Commercial Mortgage Trust 2015-C30 D, 4.648%, 09/15/2058 | | 1,493,069 | | | 0.4 |
531,693 | | (1) | West Town Mall Trust 2017-KNOX A, 3.823%, 07/05/2030 | | 531,389 | | | 0.1 |
500,000 | | (3) | WFRBS Commercial Mortgage Trust 2014-C21 C, 4.234%, 08/15/2047 | | 472,757 | | | 0.1 |
| | | | | | | | |
| | Total Commercial Mortgage-Backed Securities | | | | | |
| | (Cost $45,837,926) | | 43,590,485 | | | 10.2 |
| | | | | | | | |
ASSET-BACKED SECURITIES: 19.3% | | | | | |
| | | Automobile Asset-Backed Securities: 4.2% | | | | | |
100,000 | | | Ally Auto Receivables Trust 2019-1 A4, 3.020%, 04/15/2024 | | 100,144 | | | 0.0 |
41,024 | | | Americredit Automobile Receivables Trust 2019-1 B, 3.130%, 02/18/2025 | | 41,039 | | | 0.0 |
367,227 | | | AmeriCredit Automobile Receivables Trust 2019-3 B, 2.130%, 07/18/2025 | | 366,786 | | | 0.1 |
135,724 | | | AmeriCredit Automobile Receivables Trust 2020-1 A3, 1.110%, 08/19/2024 | | 135,575 | | | 0.0 |
400,000 | | | AmeriCredit Automobile Receivables Trust 2020-1 C, 1.590%, 10/20/2025 | | 386,928 | | | 0.1 |
400,000 | | | AmeriCredit Automobile Receivables Trust 2020-2 B, 0.970%, 02/18/2026 | | 391,531 | | | 0.1 |
700,000 | | | AmeriCredit Automobile Receivables Trust 2021-3 B, 1.170%, 08/18/2027 | | 652,564 | | | 0.2 |
192,369 | | | BMW Vehicle Owner Trust 2020-A A3, 0.480%, 10/25/2024 | | 189,770 | | | 0.0 |
100,000 | | | Carmax Auto Owner Trust 2019-2 A4, 2.770%, 12/16/2024 | | 99,707 | | | 0.0 |
150,000 | | | CarMax Auto Owner Trust 2021-2 B, 1.030%, 12/15/2026 | | 138,215 | | | 0.0 |
300,000 | | | CarMax Auto Owner Trust 2022-1 B, 1.950%, 09/15/2027 | | 279,156 | | | 0.1 |
700,000 | | | Carvana Auto Receivables Trust 2022-P1 A3, 3.350%, 02/10/2027 | | 687,928 | | | 0.2 |
650,000 | | | Drive Auto Receivables Trust 2021-1 B, 0.650%, 07/15/2025 | | 647,153 | | | 0.2 |
Principal Amount† | | | | Value | | | Percentage of Net Assets |
ASSET-BACKED SECURITIES: (continued) | | | | | |
| | | Automobile Asset-Backed Securities: (continued) | | | | | |
2,750,000 | | | Drive Auto Receivables Trust 2021-2 B, 0.580%, 12/15/2025 | $ | 2,688,466 | | | 0.6 |
1,500,000 | | | Exeter Automobile Receivables Trust 2021-3A B, 0.690%, 01/15/2026 | | 1,467,611 | | | 0.3 |
1,600,000 | | | Exeter Automobile Receivables Trust 2021-4 A3, 0.680%, 07/15/2025 | | 1,580,495 | | | 0.4 |
900,000 | | | Ford Credit Auto Owner Trust 2022-A B, 1.910%, 07/15/2027 | | 838,408 | | | 0.2 |
300,000 | | | GM Financial Automobile Leasing Trust 2019-4 A4, 1.760%, 01/16/2025 | | 295,798 | | | 0.1 |
164,265 | | | GM Financial Automobile Leasing Trust 2020-2 A3, 0.800%, 07/20/2023 | | 164,006 | | | 0.0 |
295,672 | | | Honda Auto Receivables 2020-2 A3 Owner Trust, 0.820%, 07/15/2024 | | 292,258 | | | 0.1 |
1,050,000 | | | Hyundai Auto Receivables Trust 2021-C B, 1.490%, 12/15/2027 | | 960,305 | | | 0.2 |
494,928 | | (1) | JPMorgan Chase Bank NA - CACLN 2021-3 B, 0.760%, 02/26/2029 | | 478,455 | | | 0.1 |
76,109 | | | Mercedes-Benz Auto Receivables Trust 2018-1 A4, 3.150%, 10/15/2024 | | 76,166 | | | 0.0 |
297,665 | | | Nissan Auto Receivables 2018-C A4 Owner Trust, 3.270%, 06/16/2025 | | 298,176 | | | 0.1 |
1,350,000 | | (1) | Oscar US Funding XIII LLC 2021-2A A3, 0.860%, 09/10/2025 | | 1,285,833 | | | 0.3 |
49,518 | | | Santander Drive Auto Receivables Trust 2020-3 B, 0.690%, 03/17/2025 | | 49,477 | | | 0.0 |
350,000 | | | Santander Drive Auto Receivables Trust 2021-2 B, 0.590%, 09/15/2025 | | 345,019 | | | 0.1 |
2,700,000 | | | Santander Drive Auto Receivables Trust 2021-3 B, 0.600%, 12/15/2025 | | 2,655,698 | | | 0.6 |
350,000 | | | Toyota Auto Receivables 2019-C A4 Owner Trust, 1.880%, 11/15/2024 | | 345,984 | | | 0.1 |
| | | | | 17,938,651 | | | 4.2 |
| | | | | | | | |
| | | Credit Card Asset-Backed Securities: 0.2% | | | | | |
800,000 | | (1) | CARDS II Trust 2021-1A A, 0.602%, 04/15/2027 | | 761,108 | | | 0.2 |
| | | | | | | | |
| | | Other Asset-Backed Securities: 14.0% | | | | | |
2,750,000 | | (1) | AIG CLO 2021-2A A Ltd., 2.233%, (US0003M + 1.170%), 07/20/2034 | | 2,663,713 | | | 0.6 |
600,000 | | (1) | Allegany Park CLO Ltd. 2019-1A AR, 2.151%, (TSFR3M + 1.300%), 01/20/2035 | | 578,996 | | | 0.1 |
2,700,000 | | (1) | Apidos CLO XXXII 2019-32A A1, 2.383%, (US0003M + 1.320%), 01/20/2033 | | 2,646,937 | | | 0.6 |
400,000 | | (1) | ARES XLVI CLO Ltd. 2017-46A A2, 2.274%, (US0003M + 1.230%), 01/15/2030 | | 386,593 | | | 0.1 |
250,000 | | (1) | Babson CLO Ltd. 2017-1A A2, 2.394%, (US0003M + 1.350%), 07/18/2029 | | 243,590 | | | 0.1 |
1,900,000 | | (1) | Ballyrock CLO 17 Ltd. 2021-17A A1B, 2.463%, (US0003M + 1.400%), 10/20/2034 | | 1,803,653 | | | 0.4 |
500,000 | | (1) | Barings Clo Ltd. 2019-4A A1, 2.374%, (US0003M + 1.330%), 01/15/2033 | | 489,750 | | | 0.1 |
2,900,000 | | (1) | BDS 2021-FL10 E Ltd., 4.962%, (US0001M + 3.350%), 12/16/2036 | | 2,635,454 | | | 0.6 |
2,000,000 | | (1) | Benefit Street Partners CLO XX Ltd. 2020-20A AR, 2.214%, (US0003M + 1.170%), 07/15/2034 | | 1,937,038 | | | 0.4 |
2,500,000 | | (1) | BlueMountain CLO XXXII Ltd. 2021-32A A, 2.214%, (US0003M + 1.170%), 10/15/2034 | | 2,418,537 | | | 0.6 |
4,000,000 | | (1) | BRSP 2021-FL1 B Ltd., 3.512%, (US0001M + 1.900%), 08/19/2038 | | 3,810,372 | | | 0.9 |
450,000 | | (1) | Carlyle US Clo 2017-2A CR Ltd., 2.463%, (US0003M + 1.400%), 07/20/2031 | | 431,255 | | | 0.1 |
500,000 | | (1) | Carlyle US CLO 2020-2A A1R Ltd., 2.324%, (US0003M + 1.140%), 01/25/2035 | | 481,762 | | | 0.1 |
800,000 | | (1) | Carlyle US Clo 2021-4A A2 Ltd., 2.463%, (US0003M + 1.400%), 04/20/2034 | | 766,722 | | | 0.2 |
500,000 | | (1) | Cedar Funding IV CLO Ltd.2014-4A ARR, 2.344%, (US0003M + 1.160%), 07/23/2034 | | 482,791 | | | 0.1 |
600,000 | | (1) | Cifc Funding 2014-4R A1AR Ltd., 2.214%, (US0003M + 1.170%), 01/17/2035 | | 581,393 | | | 0.1 |
250,000 | | (1) | CIFC Funding 2015-IA ARR Ltd., 2.246%, (US0003M + 1.110%), 01/22/2031 | | 245,514 | | | 0.1 |
Principal Amount† | | | | Value | | | Percentage of Net Assets |
ASSET-BACKED SECURITIES: (continued) | | | | | |
| | | Other Asset-Backed Securities: (continued) | | | | | |
600,000 | | (1) | CIFC Funding 2019-6A A1 Ltd., 2.374%, (US0003M + 1.330%), 01/16/2033 | $ | 588,746 | | | 0.1 |
250,000 | | (1) | CIFC Funding 2019-6A A2 Ltd., 2.794%, (US0003M + 1.750%), 01/16/2033 | | 244,511 | | | 0.1 |
500,000 | | (1) | CIFC Funding 2020-2A AR Ltd., 2.233%, (US0003M + 1.170%), 10/20/2034 | | 485,683 | | | 0.1 |
2,750,000 | | (1) | CIFC Funding 2020-IA A1R Ltd., 2.194%, (US0003M + 1.150%), 07/15/2036 | | 2,671,344 | | | 0.6 |
2,650,000 | | | CNH Equipment Trust 2021-B A3, 0.440%, 08/17/2026 | | 2,524,355 | | | 0.6 |
650,000 | | | CNH Equipment Trust 2021-C A3, 0.810%, 12/15/2026 | | 615,131 | | | 0.1 |
250,000 | | (1) | Deer Creek Clo Ltd. 2017-1A A, 2.243%, (US0003M + 1.180%), 10/20/2030 | | 246,209 | | | 0.1 |
360,000 | | (1) | Dryden XXVIII Senior Loan Fund 2013-28A A1LR, 2.611%, (US0003M + 1.200%), 08/15/2030 | | 356,473 | | | 0.1 |
250,000 | | (1) | Eaton Vance Clo 2015-1A A2R Ltd., 2.313%, (US0003M + 1.250%), 01/20/2030 | | 241,131 | | | 0.1 |
335,773 | | (1) | Elevation CLO 2014-2A A1R Ltd., 2.274%, (US0003M + 1.230%), 10/15/2029 | | 331,829 | | | 0.1 |
250,000 | | (1) | Elmwood CLO IX Ltd. 2021-2A A, 2.193%, (US0003M + 1.130%), 07/20/2034 | | 242,413 | | | 0.1 |
2,500,000 | | | John Deere Owner Trust 2021-B A3, 0.520%, 03/16/2026 | | 2,373,264 | | | 0.6 |
450,000 | | | John Deere Owner Trust 2022-A A4, 2.490%, 01/16/2029 | | 434,107 | | | 0.1 |
750,000 | | (1) | Kayne CLO 6 Ltd. 2019-6A A1, 2.443%, (US0003M + 1.380%), 01/20/2033 | | 737,117 | | | 0.2 |
500,000 | | (1) | Kayne CLO 7 Ltd. 2020-7A A1, 2.244%, (US0003M + 1.200%), 04/17/2033 | | 487,221 | | | 0.1 |
2,600,000 | | (1) | Kubota Credit Owner Trust 2021-2A A3, 0.560%, 11/17/2025 | | 2,444,919 | | | 0.6 |
23,946 | | (1) | LoanCore 2019-CRE2 A Issuer Ltd., 2.454%, (US0001M + 1.130%), 05/15/2036 | | 23,648 | | | 0.0 |
2,750,000 | | (1) | Magnetite XXVI Ltd. 2020-26A A2R, 2.584%, (US0003M + 1.400%), 07/25/2034 | | 2,630,917 | | | 0.6 |
500,000 | | (1) | Marble Point CLO XIV Ltd. 2018-2A A1R, 2.343%, (US0003M + 1.280%), 01/20/2032 | | 488,477 | | | 0.1 |
600,000 | | (1) | Marlette Funding Trust 2021-1A B, 1.000%, 06/16/2031 | | 588,117 | | | 0.1 |
1,575,000 | | (1) | MF1 Multifamily Housing Mortgage Loan Trust 2021-FL6 C, 3.373%, (US0001M + 1.850%), 07/16/2036 | | 1,505,808 | | | 0.3 |
340,000 | | (1) | Neuberger Berman Loan Advisers CLO 35 Ltd. 2019-35A A1, 2.384%, (US0003M + 1.340%), 01/19/2033 | | 333,133 | | | 0.1 |
400,000 | | (1) | Oaktree CLO Ltd. 2021-1A A1, 2.204%, (US0003M + 1.160%), 07/15/2034 | | 387,091 | | | 0.1 |
1,550,000 | | (1) | OCP CLO 2020-19A AR Ltd., 2.213%, (US0003M + 1.150%), 10/20/2034 | | 1,498,489 | | | 0.3 |
400,000 | | (1) | OCP CLO 2021-22A A Ltd., 2.243%, (US0003M + 1.180%), 12/02/2034 | | 388,339 | | | 0.1 |
250,000 | | (1) | Octagon Investment Partners XV Ltd. 2013-1A A2R, 2.394%, (US0003M + 1.350%), 07/19/2030 | | 241,880 | | | 0.1 |
600,000 | | (1) | Octagon Loan Funding Ltd. 2014-1A ARR, 2.635%, (US0003M + 1.180%), 11/18/2031 | | 588,017 | | | 0.1 |
3,700,000 | | (1) | OHA Credit Partners XIII Ltd. 2016-13A AR, 2.268%, (US0003M + 1.170%), 10/25/2034 | | 3,577,404 | | | 0.8 |
3,000,000 | | (1) | OHA Credit Partners XVI 2021-16A A, 2.194%, (US0003M + 1.150%), 10/18/2034 | | 2,910,372 | | | 0.7 |
500,000 | | (1) | OHA Loan Funding 2015-1A AR3 Ltd., 2.194%, (US0003M + 1.150%), 01/19/2037 | | 484,483 | | | 0.1 |
500,000 | | (1) | Palmer Square CLO 2015-2A A1R2 Ltd., 2.163%, (US0003M + 1.100%), 07/20/2030 | | 493,285 | | | 0.1 |
1,650,000 | | (1) | Palmer Square CLO 2019-1A A1R Ltd., 2.561%, (US0003M + 1.150%), 11/14/2034 | | 1,600,134 | | | 0.4 |
350,000 | | (1) | PFS Financing Corp. 2021-B A, 0.770%, 08/15/2026 | | 324,866 | | | 0.1 |
Principal Amount† | | | | Value | | | Percentage of Net Assets |
ASSET-BACKED SECURITIES: (continued) | | | | | |
| | | Other Asset-Backed Securities: (continued) | | | | | |
410,000 | | (1) | Sound Point CLO XXV Ltd. 2019-4A A1R, 2.229%, (TSFR3M + 1.280%), 04/25/2033 | $ | 394,047 | | | 0.1 |
500,000 | | (1) | THL Credit Wind River 2019-1A AR CLO Ltd., 2.223%, (US0003M + 1.160%), 07/20/2034 | | 484,461 | | | 0.1 |
1,650,000 | | (1) | Trafigura Securitisation Finance PLC 2021-1A A2, 1.080%, 01/15/2025 | | 1,561,192 | | | 0.4 |
300,000 | | (1) | Wellman Park CLO Ltd. 2021-1A A, 2.144%, (US0003M + 1.100%), 07/15/2034 | | 290,820 | | | 0.1 |
1,250,000 | | (1) | Wind River 2022-1A A CLO Ltd., 2.775%, (TSFR3M + 1.530%), 07/20/2035 | | 1,218,298 | | | 0.3 |
| | | | | 59,641,801 | | | 14.0 |
| | | | | | | | |
| | | Student Loan Asset-Backed Securities: 0.9% | | | | | |
11,173 | | (1) | DRB Prime Student Loan Trust 2017-A A2B, 2.850%, 05/27/2042 | | 11,174 | | | 0.0 |
50,390 | | (1) | Laurel Road Prime Student Loan Trust 2018-B A2FX, 3.540%, 05/26/2043 | | 50,434 | | | 0.0 |
300,000 | | (1) | Navient Private Education Loan Trust 2014-AA A3, 2.924%, (US0001M + 1.600%), 10/15/2031 | | 296,165 | | | 0.1 |
236,267 | | (1) | Navient Private Education Refi Loan Trust 2019-FA A2, 2.600%, 08/15/2068 | | 225,257 | | | 0.1 |
73,484 | | (1) | Navient Private Education Refi Loan Trust 2020-GA A, 1.170%, 09/16/2069 | | 68,952 | | | 0.0 |
128,273 | | (1) | Navient Private Education Refi Loan Trust 2021-A A, 0.840%, 05/15/2069 | | 117,506 | | | 0.0 |
1,809,312 | | (1) | Navient Private Education Refi Loan Trust 2021-EA A, 0.970%, 12/16/2069 | | 1,624,389 | | | 0.4 |
425,174 | | (1) | Navient Private Education Refi Loan Trust 2021-F A, 1.110%, 02/18/2070 | | 372,834 | | | 0.1 |
543,815 | | (1) | Sofi Professional Loan Program 2018-A A2B LLC, 2.950%, 02/25/2042 | | 535,972 | | | 0.1 |
496,720 | | (1) | SoFi Professional Loan Program 2021-B AFX Trust, 1.140%, 02/15/2047 | | 448,194 | | | 0.1 |
| | | | | 3,750,877 | | | 0.9 |
| | | | | | | | |
| | Total Asset-Backed Securities | | | | | |
| | (Cost $85,316,209) | | 82,092,437 | | | 19.3 |
| | | | | | | | |
U.S. GOVERNMENT AGENCY OBLIGATIONS: 0.1% | | | | | |
| | | Federal Home Loan Mortgage Corporation: 0.1%(5) | | | | | |
12,158 | | | 5.500%,01/01/2037 | | 12,660 | | | 0.0 |
18,505 | | | 5.500%,08/01/2038 | | 19,271 | | | 0.0 |
6,308 | | | 5.500%,10/01/2038 | | 6,569 | | | 0.0 |
3,218 | | | 5.500%,10/01/2038 | | 3,351 | | | 0.0 |
139,736 | | | 5.500%,11/01/2038 | | 150,332 | | | 0.1 |
99,949 | | | 5.500%,02/01/2039 | | 104,093 | | | 0.0 |
| | | | | 296,276 | | | 0.1 |
| | | | | | | | |
| | | Uniform Mortgage-Backed Securities: 0.0% | | | | | |
17,993 | | | 5.000%,03/01/2027 | | 18,491 | | | 0.0 |
69,891 | | | 5.000%,07/01/2034 | | 73,497 | | | 0.0 |
| | | | | 91,988 | | | 0.0 |
| | | | | | | | |
| | Total U.S. Government Agency Obligations | | | | | |
| | (Cost $392,666) | | 388,264 | | | 0.1 |
| | | | | | | | |
| | Total Long-Term Investments | | | | | |
| | (Cost $430,489,859) | | 414,200,493 | | | 97.3 |
| | | | | | | | |
SHORT-TERM INVESTMENTS: 2.6% |
| | | Commercial Paper: 0.0% | | | | | |
152,000 | | (6) | Liberty Street Funding LLC, 1.550%, 07/01/2022 | | | | | |
| | | (Cost $151,993) | | 151,993 | | | 0.0 |
| | | | | | | | |
| | | Repurchase Agreements: 1.2% | | | | | |
1,366,475 | | (6) | Bank of America Inc., Repurchase Agreement dated 06/30/22, 1.55%, due 07/01/22 (Repurchase Amount $1,366,533, collateralized by various U.S. Government Agency Obligations, 1.000%-8.500%, Market Value plus accrued interest $1,393,805, due 01/20/24-06/20/52) | | 1,366,475 | | | 0.3 |
Principal Amount† | | | | Value | | | Percentage of Net Assets |
SHORT-TERM INVESTMENTS: (continued) |
| | | Repurchase Agreements (continued) | | | | | |
1,135,414 | | (6) | Bank of Montreal, Repurchase Agreement dated 06/30/22, 1.55%, due 07/01/22 (Repurchase Amount $1,135,462, collateralized by various U.S. Government Agency Obligations, 1.998%-5.500%, Market Value plus accrued interest $1,158,122, due 05/01/35-05/20/72) | $ | 1,135,414 | | | 0.3 |
1,366,475 | | (6) | Daiwa Capital Markets, Repurchase Agreement dated 06/30/22, 1.55%, due 07/01/22 (Repurchase Amount $1,366,533, collateralized by various U.S. Government/U.S. Government Agency Obligations, 0.000%-6.500%, Market Value plus accrued interest $1,393,804, due 07/31/22-07/01/52) | | 1,366,475 | | | 0.3 |
1,366,475 | | (6) | RBC Dominion Securities Inc., Repurchase Agreement dated 06/30/22, 1.55%, due 07/01/22 (Repurchase Amount $1,366,533, collateralized by various U.S. Government/U.S. Government Agency Obligations, 0.000%-6.875%, Market Value plus accrued interest $1,393,805, due 08/16/22-05/20/52) | | 1,366,475 | | | 0.3 |
| | | | | | | | |
| | Total Repurchase Agreements | | | | | |
| | (Cost $5,234,839) | | 5,234,839 | | | 1.2 |
| | | | | | | | |
Shares | | | | Value | | | Percentage of Net Assets |
| | | Mutual Funds: 1.4% | | | | | |
161,000 | | (6),(7) | BlackRock Liquidity Funds, FedFund, Institutional Class, 1.320% | | 161,000 | | | 0.1 |
161,000 | | (6),(7) | Goldman Sachs Financial Square Government Fund - Institutional Shares, 1.380% | | 161,000 | | | 0.0 |
5,451,000 | | (6),(7) | Morgan Stanley Institutional Liquidity Funds - Government Portfolio (Institutional Share Class), 1.380% | | 5,451,000 | | | 1.3 |
| | Total Mutual Funds | | | | | |
| | (Cost $5,773,000) | | 5,773,000 | | | 1.4 |
| | | | | | | | |
| | Total Short-Term Investments | | | | | |
| | (Cost $11,159,832) | | 11,159,832 | | | 2.6 |
| | | | | | | | |
| | Total Investments in Securities (Cost $441,649,691) | $ | 425,360,325 | | | 99.9 |
| | Assets in Excess of Other Liabilities | | 347,938 | | | 0.1 |
| | Net Assets | $ | 425,708,263 | | | 100.0 |
The following is a summary of the fair valuations according to the inputs used as of June 30, 2022 in valuing the assets and liabilities:
At June 30, 2022, the following futures contracts were outstanding for Voya Short Term Bond Fund:
At June 30, 2022, 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:
Cost for federal income tax purposes was $440,574,406.