Principal Amount† | | | Value | Percentage of Net Assets |
CORPORATE BONDS/NOTES: 35.6% | |
| | Basic Materials: 1.1% |
1,176,000 | | Albemarle Corp., 5.050%, 06/01/2032 | $ 1,149,965 | 0.0 |
1,421,000 | | Albemarle Corp., 5.650%, 06/01/2052 | 1,424,359 | 0.0 |
1,700,000 | (1) | Alpek SAB de CV, 3.250%, 02/25/2031 | 1,366,316 | 0.0 |
1,725,000 | (1) | Anglo American Capital PLC, 2.250%, 03/17/2028 | 1,488,219 | 0.0 |
1,377,000 | (1) | Anglo American Capital PLC, 3.625%, 09/11/2024 | 1,351,543 | 0.0 |
671,000 | (1) | Anglo American Capital PLC, 4.875%, 05/14/2025 | 676,338 | 0.0 |
1,624,000 | (1) | Anglo American Capital PLC, 5.625%, 04/01/2030 | 1,637,125 | 0.0 |
3,545,000 | | Celanese US Holdings LLC, 1.400%, 08/05/2026 | 3,053,846 | 0.0 |
4,505,000 | | Celulosa Arauco y Constitucion SA, 3.875%, 11/02/2027 | 4,146,289 | 0.1 |
1,840,000 | | Dow Chemical Co., 4.250%, 10/01/2034 | 1,748,126 | 0.0 |
3,883,000 | | Dow Chemical Co., 4.375%, 11/15/2042 | 3,427,603 | 0.1 |
1,144,000 | | Ecolab, Inc., 2.750%, 08/18/2055 | 799,331 | 0.0 |
7,215,000 | (1),(2) | Element Solutions, Inc., 3.875%, 09/01/2028 | 5,964,388 | 0.1 |
5,000,000 | (1) | Equate Petrochemical BV, 2.625%, 04/28/2028 | 4,450,000 | 0.1 |
5,096,000 | (2) | Freeport-McMoRan, Inc., 4.250%, 03/01/2030 | 4,645,253 | 0.1 |
3,000,000 | (1),(2) | GC Treasury Center Co. Ltd., 2.980%, 03/18/2031 | 2,499,652 | 0.0 |
3,750,000 | (1),(2) | Georgia-Pacific LLC, 0.950%, 05/15/2026 | 3,339,499 | 0.1 |
9,460,000 | (1) | Ingevity Corp., 3.875%, 11/01/2028 | 7,939,825 | 0.1 |
4,087,000 | | Inversiones CMPC SA, 4.375%, 04/04/2027 | 3,899,427 | 0.1 |
4,706,000 | | Mosaic Co/The, 5.450%, 11/15/2033 | 4,854,703 | 0.1 |
4,325,000 | (1),(2) | Novelis Corp., 4.750%, 01/30/2030 | 3,603,114 | 0.1 |
2,818,000 | (2) | Nucor Corp., 3.850%, 04/01/2052 | 2,296,173 | 0.0 |
2,436,000 | | Nucor Corp., 4.300%, 05/23/2027 | 2,429,138 | 0.0 |
1,325,000 | (1) | OCP SA, 3.750%, 06/23/2031 | 1,004,423 | 0.0 |
3,000,000 | | PPG Industries, Inc., 1.200%, 03/15/2026 | 2,698,685 | 0.0 |
755,000 | (2) | Rio Tinto Finance USA Ltd., 2.750%, 11/02/2051 | 553,673 | 0.0 |
1,193,000 | | RPM International, Inc., 2.950%, 01/15/2032 | 991,401 | 0.0 |
1,000,000 | | Sasol Financing USA LLC, 5.500%, 03/18/2031 | 771,580 | 0.0 |
3,189,000 | (2) | Steel Dynamics, Inc., 1.650%, 10/15/2027 | 2,740,355 | 0.0 |
2,139,000 | | Steel Dynamics, Inc., 2.400%, 06/15/2025 | 2,025,512 | 0.0 |
2,425,000 | | Suzano Austria GmbH, 3.750%, 01/15/2031 | 1,964,759 | 0.0 |
4,825,000 | | Suzano Austria GmbH, 6.000%, 01/15/2029 | 4,792,600 | 0.1 |
2,133,000 | | Teck Resources Ltd., 5.400%, 02/01/2043 | 1,987,532 | 0.0 |
1,424,000 | | Teck Resources Ltd., 6.000%, 08/15/2040 | 1,430,842 | 0.0 |
1,860,000 | (1) | Valvoline, Inc., 3.625%, 06/15/2031 | 1,491,534 | 0.0 |
| | | 90,643,128 | 1.1 |
| | | | |
| | Communications: 2.6% |
3,777,000 | | Amazon.com, Inc., 2.100%, 05/12/2031 | 3,238,325 | 0.0 |
4,500,000 | (2) | Amazon.com, Inc., 2.875%, 05/12/2041 | 3,607,538 | 0.0 |
4,410,000 | (2) | Amazon.com, Inc., 3.600%, 04/13/2032 | 4,250,984 | 0.1 |
2,250,000 | (2) | Amazon.com, Inc., 3.950%, 04/13/2052 | 2,082,592 | 0.0 |
2,326,000 | | Amazon.com, Inc., 4.100%, 04/13/2062 | 2,109,161 | 0.0 |
7,010,000 | (1),(2) | ANGI Group LLC, 3.875%, 08/15/2028 | 5,349,459 | 0.1 |
2,735,000 | (2) | AT&T, Inc., 2.550%, 12/01/2033 | 2,221,883 | 0.0 |
1,750,000 | | AT&T, Inc., 3.500%, 06/01/2041 | 1,400,245 | 0.0 |
6,156,000 | | AT&T, Inc., 3.550%, 09/15/2055 | 4,622,570 | 0.1 |
8,916,000 | | AT&T, Inc., 3.650%, 09/15/2059 | 6,697,407 | 0.1 |
2,803,000 | | AT&T, Inc., 3.800%, 12/01/2057 | 2,171,285 | 0.0 |
1,952,000 | | AT&T, Inc., 4.500%, 05/15/2035 | 1,857,770 | 0.0 |
2,314,000 | | Charter Communications Operating LLC / Charter Communications Operating Capital, 2.250%, 01/15/2029 | 1,903,379 | 0.0 |
3,235,000 | | Charter Communications Operating LLC / Charter Communications Operating Capital, 3.500%, 03/01/2042 | 2,250,053 | 0.0 |
4,139,000 | (2) | Charter Communications Operating LLC / Charter Communications Operating Capital, 3.850%, 04/01/2061 | 2,729,992 | 0.0 |
2,310,000 | (2) | Charter Communications Operating LLC / Charter Communications Operating Capital, 3.900%, 06/01/2052 | 1,608,076 | 0.0 |
3,538,000 | | Charter Communications Operating LLC / Charter Communications Operating Capital, 4.800%, 03/01/2050 | 2,810,461 | 0.0 |
5,882,000 | | Charter Communications Operating LLC / Charter Communications Operating Capital, 4.908%, 07/23/2025 | 5,903,630 | 0.1 |
4,396,000 | | Comcast Corp., 2.650%, 02/01/2030 | 3,937,429 | 0.1 |
3,830,000 | | Comcast Corp., 2.887%, 11/01/2051 | 2,741,078 | 0.0 |
5,558,000 | | Comcast Corp., 3.900%, 03/01/2038 | 5,035,467 | 0.1 |
1,605,000 | | Comcast Corp., 3.999%, 11/01/2049 | 1,403,183 | 0.0 |
4,070,000 | | Comcast Corp., 4.000%, 03/01/2048 | 3,546,827 | 0.0 |
5,625,000 | (1),(2) | CommScope Technologies LLC, 5.000%, 03/15/2027 | 4,166,253 | 0.1 |
1,549,000 | | Corning, Inc., 5.450%, 11/15/2079 | 1,399,358 | 0.0 |
9,000,000 | (1) | CSC Holdings LLC, 5.750%, 01/15/2030 | 6,572,070 | 0.1 |
5,785,000 | | Discovery Communications LLC, 4.000%, 09/15/2055 | 4,063,612 | 0.1 |
4,354,000 | | Discovery Communications LLC, 5.300%, 05/15/2049 | 3,736,871 | 0.1 |
4,655,000 | | DISH DBS Corp., 5.125%, 06/01/2029 | 2,843,274 | 0.0 |
4,420,000 | (1) | GCI LLC, 4.750%, 10/15/2028 | 3,836,045 | 0.1 |
8,700,000 | (1),(2) | Gray Television, Inc., 7.000%, 05/15/2027 | 8,385,582 | 0.1 |
2,000,000 | (1),(2) | Millicom International Cellular SA, 4.500%, 04/27/2031 | 1,483,940 | 0.0 |
2,160,000 | (1) | NBN Co. Ltd., 1.450%, 05/05/2026 | 1,951,075 | 0.0 |
4,080,000 | (1),(2) | NBN Co. Ltd., 1.625%, 01/08/2027 | 3,625,077 | 0.1 |
2,375,000 | (1),(2) | Ooredoo International Finance Ltd., 2.625%, 04/08/2031 | 2,066,518 | 0.0 |
1,681,000 | (1),(2) | Rogers Communications, Inc., 3.800%, 03/15/2032 | 1,539,153 | 0.0 |
1,637,000 | (1) | Rogers Communications, Inc., 4.550%, 03/15/2052 | 1,441,404 | 0.0 |
5,140,000 | (1),(2) | Sinclair Television Group, Inc., 5.125%, 02/15/2027 | 4,340,009 | 0.1 |
8,700,000 | (1),(2) | Sirius XM Radio, Inc., 5.500%, 07/01/2029 | 7,949,147 | 0.1 |
5,690,000 | | Telecom Italia Capital SA, 7.721%, 06/04/2038 | 4,406,080 | 0.1 |
2,350,000 | | Time Warner Cable LLC, 5.500%, 09/01/2041 | 2,055,360 | 0.0 |
2,829,000 | | Time Warner Cable LLC, 5.875%, 11/15/2040 | 2,597,355 | 0.0 |
2,569,000 | | T-Mobile USA, Inc., 2.050%, 02/15/2028 | 2,232,815 | 0.0 |
4,084,000 | (2) | T-Mobile USA, Inc., 3.750%, 04/15/2027 | 3,935,882 | 0.1 |
7,345,000 | | T-Mobile USA, Inc., 3.875%, 04/15/2030 | 6,861,657 | 0.1 |
1,048,000 | | T-Mobile USA, Inc., 4.375%, 04/15/2040 | 937,397 | 0.0 |
5,080,000 | | Verizon Communications, Inc., 2.100%, 03/22/2028 | 4,516,323 | 0.1 |
8,424,000 | | Verizon Communications, Inc., 2.355%, 03/15/2032 | 6,991,896 | 0.1 |
1,392,000 | | Verizon Communications, Inc., 2.987%, 10/30/2056 | 969,564 | 0.0 |
2,312,000 | | Verizon Communications, Inc., 3.400%, 03/22/2041 | 1,886,217 | 0.0 |
932,000 | | Verizon Communications, Inc., 3.550%, 03/22/2051 | 748,826 | 0.0 |
8,801,000 | (2) | Verizon Communications, Inc., 3.700%, 03/22/2061 | 6,934,395 | 0.1 |
3,610,000 | | Verizon Communications, Inc., 3.850%, 11/01/2042 | 3,084,906 | 0.0 |
1,062,000 | | Verizon Communications, Inc., 4.000%, 03/22/2050 | 920,183 | 0.0 |
1,144,000 | | Verizon Communications, Inc., 4.400%, 11/01/2034 | 1,097,841 | 0.0 |
2,477,000 | (2) | Verizon Communications, Inc., 4.500%, 08/10/2033 | 2,418,362 | 0.0 |
6,432,000 | | Verizon Communications, Inc., 4.812%, 03/15/2039 | 6,324,262 | 0.1 |
6,175,000 | (1) | ViaSat, Inc., 5.625%, 04/15/2027 | 5,350,802 | 0.1 |
3,725,000 | (1) | Vmed O2 UK Financing I PLC, 4.750%, 07/15/2031 | 3,017,250 | 0.0 |
4,218,000 | | Vodafone Group PLC, 4.375%, 02/19/2043 | 3,673,556 | 0.1 |
2,336,000 | (2) | Vodafone Group PLC, 5.125%, 06/19/2059 | 2,154,477 | 0.0 |
9,400,000 | (1),(2) | Zayo Group Holdings, Inc., 4.000%, 03/01/2027 | 7,815,630 | 0.1 |
| | | 213,809,218 | 2.6 |
| | | | |
| | Consumer, Cyclical: 2.7% |
8,030,000 | (1) | 1011778 BC ULC / New Red Finance, Inc., 4.000%, 10/15/2030 | 6,470,052 | 0.1 |
703,287 | (1) | Alaska Airlines 2020-1 Class A Pass Through Trust, 4.800%, 02/15/2029 | 695,334 | 0.0 |
10,785,000 | (1) | Allison Transmission, Inc., 3.750%, 01/30/2031 | 8,662,728 | 0.1 |
6,500,093 | | American Airlines 2015-2 Class A Pass Through Trust, 4.000%, 03/22/2029 | 5,771,215 | 0.1 |
480,293 | | American Airlines 2015-2 Class AA Pass Through Trust, 3.600%, 03/22/2029 | 445,780 | 0.0 |
5,396,342 | | American Airlines 2016-1 Class A Pass Through Trust, 4.100%, 07/15/2029 | 4,696,556 | 0.1 |
851,074 | | American Airlines 2016-2 Class A Pass Through Trust, 3.650%, 12/15/2029 | 706,284 | 0.0 |
3,815,364 | | American Airlines 2016-2 Class AA Pass Through Trust, 3.200%, 12/15/2029 | 3,496,432 | 0.0 |
2,434,675 | (2) | American Airlines 2016-3 Class A Pass Through Trust, 3.250%, 04/15/2030 | 2,040,641 | 0.0 |
551,592 | | American Airlines 2017-2 Class AA Pass Through Trust, 3.350%, 04/15/2031 | 508,050 | 0.0 |
4,900,000 | | Asbury Automotive Group, Inc., 4.750%, 03/01/2030 | 4,034,880 | 0.1 |
10,000,000 | | Bath & Body Works, Inc., 6.750%, 07/01/2036 | 8,017,950 | 0.1 |
8,250,000 | (1),(2) | CK Hutchison International 21 Ltd., 2.500%, 04/15/2031 | 7,161,091 | 0.1 |
265,086 | | Continental Airlines 2012-2 Class A Pass Through Trust, 4.000%, 04/29/2026 | 254,999 | 0.0 |
2,895,000 | (2) | Dana, Inc., 5.375%, 11/15/2027 | 2,513,607 | 0.0 |
6,165,000 | (2) | Dana, Inc., 5.625%, 06/15/2028 | 5,317,657 | 0.1 |
1,274,476 | | Delta Air Lines 2015-1 Class AA Pass Through Trust, 3.625%, 01/30/2029 | 1,208,441 | 0.0 |
4,202,098 | | Delta Air Lines 2020-1 Class A Pass Through Trust, 2.500%, 12/10/2029 | 3,684,748 | 0.0 |
2,975,000 | (1) | Delta Air Lines, Inc. / SkyMiles IP Ltd., 4.500%, 10/20/2025 | 2,893,518 | 0.0 |
2,847,884 | (1) | Delta Air Lines, Inc. / SkyMiles IP Ltd., 4.750%, 10/20/2028 | 2,692,368 | 0.0 |
1,920,000 | (1) | Falabella SA, 3.375%, 01/15/2032 | 1,568,477 | 0.0 |
1,650,000 | | Falabella SA, 3.750%, 10/30/2027 | 1,523,280 | 0.0 |
3,720,000 | (2) | Ford Motor Credit Co. LLC, 5.113%, 05/03/2029 | 3,342,807 | 0.0 |
9,750,000 | (1),(2) | Gap, Inc./The, 3.875%, 10/01/2031 | 6,820,417 | 0.1 |
4,534,000 | | General Motors Co., 5.400%, 04/01/2048 | 3,953,163 | 0.1 |
2,333,000 | | General Motors Co., 6.125%, 10/01/2025 | 2,415,257 | 0.0 |
5,150,000 | (2) | General Motors Financial Co., Inc., 2.350%, 02/26/2027 | 4,540,386 | 0.1 |
1,732,000 | (2) | General Motors Financial Co., Inc., 4.350%, 01/17/2027 | 1,662,943 | 0.0 |
5,401,000 | (2) | General Motors Financial Co., Inc., 5.000%, 04/09/2027 | 5,302,678 | 0.1 |
1,000,000 | (1) | Genm Capital Labuan Ltd., 3.882%, 04/19/2031 | 792,501 | 0.0 |
5,905,000 | (1) | H&E Equipment Services, Inc., 3.875%, 12/15/2028 | 4,790,490 | 0.1 |
10,905,000 | (1) | Harley-Davidson Financial Services, Inc., 3.050%, 02/14/2027 | 9,885,811 | 0.1 |
3,750,000 | (2) | Hasbro, Inc., 3.000%, 11/19/2024 | 3,654,128 | 0.0 |
1,353,000 | | Home Depot, Inc./The, 3.625%, 04/15/2052 | 1,163,935 | 0.0 |
2,194,000 | (2) | Honda Motor Co. Ltd., 2.967%, 03/10/2032 | 1,965,824 | 0.0 |
5,725,000 | (1) | InRetail Consumer, 3.250%, 03/22/2028 | 4,761,311 | 0.1 |
3,290,000 | | Lowe's Cos, Inc., 4.250%, 04/01/2052 | 2,856,534 | 0.0 |
1,919,000 | | Lowe's Cos, Inc., 4.450%, 04/01/2062 | 1,642,485 | 0.0 |
9,092,000 | (1) | Magallanes, Inc., 3.755%, 03/15/2027 | 8,535,988 | 0.1 |
2,428,000 | (1),(2) | Magallanes, Inc., 4.279%, 03/15/2032 | 2,172,331 | 0.0 |
2,070,000 | (1) | Magallanes, Inc., 5.050%, 03/15/2042 | 1,764,329 | 0.0 |
9,499,000 | (1) | Magallanes, Inc., 5.141%, 03/15/2052 | 7,985,415 | 0.1 |
2,795,000 | (2) | McDonald's Corp., 3.500%, 07/01/2027 | 2,740,986 | 0.0 |
5,000,000 | (1) | Mercedes-Benz Finance North America LLC, 2.550%, 08/15/2022 | 5,001,488 | 0.1 |
2,355,000 | (2) | MGM Resorts International, 5.500%, 04/15/2027 | 2,116,670 | 0.0 |
4,338,000 | (1) | Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd., 6.500%, 06/20/2027 | 4,276,509 | 0.1 |
5,323,000 | (1),(2) | Nissan Motor Co. Ltd., 4.810%, 09/17/2030 | 4,733,958 | 0.1 |
2,105,000 | | O'Reilly Automotive, Inc., 4.700%, 06/15/2032 | 2,098,758 | 0.0 |
8,500,000 | (1),(2) | Sonic Automotive, Inc., 4.875%, 11/15/2031 | 6,406,559 | 0.1 |
1,765,000 | | Target Corp., 2.950%, 01/15/2052 | 1,338,894 | 0.0 |
4,610,000 | (1),(2) | Tempur Sealy International, Inc., 4.000%, 04/15/2029 | 3,722,575 | 0.1 |
4,414,000 | (2) | Toyota Motor Credit Corp., 1.150%, 08/13/2027 | 3,846,010 | 0.1 |
4,014,000 | (2) | Toyota Motor Credit Corp., 3.050%, 03/22/2027 | 3,862,342 | 0.1 |
3,656,000 | | Toyota Motor Credit Corp., 4.450%, 06/29/2029 | 3,704,175 | 0.0 |
1,266,133 | | United Airlines 2012-1 Class A Pass Through Trust, 4.150%, 10/11/2025 | 1,243,750 | 0.0 |
822,096 | | United Airlines 2013-1 Class A Pass Through Trust, 4.300%, 02/15/2027 | 787,123 | 0.0 |
1,577,632 | | United Airlines 2014-1 Class A Pass Through Trust, 4.000%, 10/11/2027 | 1,487,580 | 0.0 |
385,852 | | United Airlines 2016-1 Class AA Pass Through Trust, 3.100%, 01/07/2030 | 353,203 | 0.0 |
2,880,818 | | United Airlines 2016-2 Class A Pass Through Trust, 3.100%, 04/07/2030 | 2,467,959 | 0.0 |
7,083,154 | | United Airlines 2016-2 Class AA Pass Through Trust, 2.875%, 04/07/2030 | 6,475,894 | 0.1 |
2,029,661 | | United Airlines 2019-2 Class A Pass Through Trust, 2.900%, 11/01/2029 | 1,787,258 | 0.0 |
3,109,856 | | United Airlines 2020-1 Class A Pass Through Trust, 5.875%, 04/15/2029 | 3,061,033 | 0.0 |
5,696,970 | | US Airways 2012-1 Class A Pass Through Trust, 5.900%, 04/01/2026 | 5,685,162 | 0.1 |
556,391 | | US Airways 2012-2 Class A Pass Through Trust, 4.625%, 12/03/2026 | 512,501 | 0.0 |
9,625,000 | (1),(2) | Wolverine World Wide, Inc., 4.000%, 08/15/2029 | 7,735,324 | 0.1 |
| | | 229,818,532 | 2.7 |
| | | | |
| | Consumer, Non-cyclical: 5.4% |
2,740,000 | | AbbVie, Inc., 2.300%, 11/21/2022 | 2,735,126 | 0.0 |
3,670,000 | | AbbVie, Inc., 2.600%, 11/21/2024 | 3,556,628 | 0.1 |
3,442,000 | | AbbVie, Inc., 2.900%, 11/06/2022 | 3,442,252 | 0.1 |
1,609,000 | | AbbVie, Inc., 4.050%, 11/21/2039 | 1,437,506 | 0.0 |
8,965,000 | | AbbVie, Inc., 4.300%, 05/14/2036 | 8,435,237 | 0.1 |
4,325,000 | | AbbVie, Inc., 4.400%, 11/06/2042 | 3,939,256 | 0.1 |
578,000 | | AbbVie, Inc., 4.450%, 05/14/2046 | 525,601 | 0.0 |
7,004,000 | | AbbVie, Inc., 4.500%, 05/14/2035 | 6,808,640 | 0.1 |
1,353,000 | | AbbVie, Inc., 4.550%, 03/15/2035 | 1,318,182 | 0.0 |
2,298,000 | | AbbVie, Inc., 4.625%, 10/01/2042 | 2,129,050 | 0.0 |
4,825,000 | (1),(2) | ADT Security Corp./The, 4.125%, 08/01/2029 | 3,929,383 | 0.1 |
6,638,000 | | Aetna, Inc., 4.500%, 05/15/2042 | 5,951,951 | 0.1 |
2,989,000 | | Aetna, Inc., 6.625%, 06/15/2036 | 3,379,231 | 0.0 |
6,274,000 | (1) | Albertsons Cos, Inc. / Safeway, Inc. / New Albertsons L.P. / Albertsons LLC, 3.500%, 03/15/2029 | 5,096,364 | 0.1 |
1,760,000 | (1) | Albertsons Cos, Inc. / Safeway, Inc. / New Albertsons L.P. / Albertsons LLC, 5.875%, 02/15/2028 | 1,648,046 | 0.0 |
5,027,000 | | Altria Group, Inc., 2.450%, 02/04/2032 | 3,791,067 | 0.1 |
4,557,000 | | Altria Group, Inc., 3.700%, 02/04/2051 | 2,919,667 | 0.0 |
533,000 | | Altria Group, Inc., 4.800%, 02/14/2029 | 507,099 | 0.0 |
1,325,000 | | Altria Group, Inc., 5.800%, 02/14/2039 | 1,206,119 | 0.0 |
1,216,000 | | Altria Group, Inc., 5.950%, 02/14/2049 | 1,068,150 | 0.0 |
9,250,000 | | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide, Inc., 4.700%, 02/01/2036 | 8,876,689 | 0.1 |
10,000,000 | | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide, Inc., 4.900%, 02/01/2046 | 9,417,654 | 0.1 |
2,495,000 | | Anheuser-Busch InBev Finance, Inc., 4.000%, 01/17/2043 | 2,067,618 | 0.0 |
4,324,000 | | Anheuser-Busch InBev Worldwide, Inc., 5.450%, 01/23/2039 | 4,404,061 | 0.1 |
2,636,000 | (2) | Astrazeneca Finance LLC, 1.750%, 05/28/2028 | 2,327,910 | 0.0 |
11,102,000 | | BAT Capital Corp., 2.259%, 03/25/2028 | 9,311,230 | 0.1 |
2,105,000 | | BAT Capital Corp., 2.726%, 03/25/2031 | 1,669,360 | 0.0 |
1,005,000 | | BAT Capital Corp., 3.557%, 08/15/2027 | 920,222 | 0.0 |
2,393,000 | | BAT Capital Corp., 3.734%, 09/25/2040 | 1,681,502 | 0.0 |
4,292,000 | | BAT Capital Corp., 4.390%, 08/15/2037 | 3,411,529 | 0.1 |
5,731,000 | | BAT International Finance PLC, 4.448%, 03/16/2028 | 5,431,073 | 0.1 |
2,491,000 | | Baxter International, Inc., 1.915%, 02/01/2027 | 2,232,802 | 0.0 |
4,955,000 | | Baxter International, Inc., 2.272%, 12/01/2028 | 4,343,535 | 0.1 |
1,606,000 | (2) | Bio-Rad Laboratories, Inc., 3.300%, 03/15/2027 | 1,516,859 | 0.0 |
7,578,000 | | Bristol-Myers Squibb Co., 3.700%, 03/15/2052 | 6,556,525 | 0.1 |
3,421,000 | | Bristol-Myers Squibb Co., 4.125%, 06/15/2039 | 3,273,683 | 0.0 |
2,183,000 | (1) | Cargill, Inc., 2.125%, 04/23/2030 | 1,872,059 | 0.0 |
4,432,000 | (1) | Cargill, Inc., 2.125%, 11/10/2031 | 3,699,723 | 0.1 |
1,788,000 | (1) | Cargill, Inc., 3.125%, 05/25/2051 | 1,379,361 | 0.0 |
1,818,000 | (1) | Cargill, Inc., 4.375%, 04/22/2052 | 1,752,287 | 0.0 |
3,190,000 | (2) | Centene Corp., 4.625%, 12/15/2029 | 2,984,038 | 0.0 |
4,245,000 | (2) | Central Garden & Pet Co., 4.125%, 10/15/2030 | 3,488,477 | 0.1 |
3,471,000 | | Cigna Corp., 3.250%, 04/15/2025 | 3,406,595 | 0.1 |
3,154,000 | | Cigna Corp., 3.400%, 03/15/2050 | 2,414,019 | 0.0 |
7,297,000 | | Cigna Corp., 4.800%, 08/15/2038 | 7,110,497 | 0.1 |
3,819,000 | | Cigna Corp., 4.900%, 12/15/2048 | 3,674,701 | 0.1 |
3,443,000 | (1) | CSL Finance PLC, 4.050%, 04/27/2029 | 3,383,187 | 0.0 |
4,486,000 | (1) | CSL Finance PLC, 4.250%, 04/27/2032 | 4,402,431 | 0.1 |
2,005,000 | (1) | CSL Finance PLC, 4.625%, 04/27/2042 | 1,930,811 | 0.0 |
3,345,000 | (1) | CSL Finance PLC, 4.750%, 04/27/2052 | 3,237,452 | 0.0 |
1,398,000 | (1) | CSL Finance PLC, 4.950%, 04/27/2062 | 1,342,454 | 0.0 |
4,475,000 | | CVS Health Corp., 2.700%, 08/21/2040 | 3,238,160 | 0.0 |
2,465,000 | | CVS Health Corp., 3.875%, 07/20/2025 | 2,453,107 | 0.0 |
3,492,000 | | CVS Health Corp., 4.125%, 04/01/2040 | 3,054,190 | 0.0 |
2,326,000 | | CVS Health Corp., 4.780%, 03/25/2038 | 2,205,450 | 0.0 |
5,316,000 | | CVS Health Corp., 5.050%, 03/25/2048 | 5,096,389 | 0.1 |
7,379,000 | (1),(2) | Danone SA, 2.947%, 11/02/2026 | 7,085,948 | 0.1 |
6,150,000 | (1) | DaVita, Inc., 3.750%, 02/15/2031 | 4,425,355 | 0.1 |
4,395,000 | (1) | DaVita, Inc., 4.625%, 06/01/2030 | 3,441,382 | 0.1 |
4,189,000 | (1) | Element Fleet Management Corp., 3.850%, 06/15/2025 | 4,119,062 | 0.1 |
2,177,000 | (2) | Elevance Health, Inc., 4.100%, 05/15/2032 | 2,120,782 | 0.0 |
1,348,000 | (2) | Elevance Health, Inc., 4.550%, 05/15/2052 | 1,271,044 | 0.0 |
3,720,000 | (1) | Fresenius Medical Care US Finance III, Inc., 1.875%, 12/01/2026 | 3,206,764 | 0.0 |
4,928,000 | (2) | Global Payments, Inc., 1.200%, 03/01/2026 | 4,349,492 | 0.1 |
11,343,000 | | Global Payments, Inc., 2.650%, 02/15/2025 | 10,835,544 | 0.1 |
1,917,000 | (1),(2) | GSK Consumer Healthcare Capital US LLC, 3.375%, 03/24/2029 | 1,795,169 | 0.0 |
1,843,000 | | GXO Logistics, Inc., 1.650%, 07/15/2026 | 1,610,993 | 0.0 |
2,570,000 | (1),(2) | HCA, Inc., 3.125%, 03/15/2027 | 2,337,188 | 0.0 |
4,425,000 | (2) | HCA, Inc., 3.500%, 09/01/2030 | 3,777,202 | 0.1 |
1,755,000 | (1) | HCA, Inc., 3.625%, 03/15/2032 | 1,482,536 | 0.0 |
8,542,000 | | HCA, Inc., 4.125%, 06/15/2029 | 7,796,649 | 0.1 |
3,544,000 | (1) | HCA, Inc., 4.375%, 03/15/2042 | 2,858,448 | 0.0 |
3,076,000 | | HCA, Inc., 4.500%, 02/15/2027 | 2,959,910 | 0.0 |
1,449,000 | (2) | HCA, Inc., 5.250%, 04/15/2025 | 1,453,204 | 0.0 |
1,750,000 | | HCA, Inc., 5.500%, 06/15/2047 | 1,564,678 | 0.0 |
2,509,000 | (1) | Health Care Service Corp. A Mutual Legal Reserve Co., 1.500%, 06/01/2025 | 2,323,078 | 0.0 |
3,305,000 | | Humana, Inc., 1.350%, 02/03/2027 | 2,892,506 | 0.0 |
1,764,000 | (2) | Humana, Inc., 2.150%, 02/03/2032 | 1,429,950 | 0.0 |
799,000 | | Humana, Inc., 3.125%, 08/15/2029 | 722,768 | 0.0 |
4,873,000 | (2) | Humana, Inc., 4.500%, 04/01/2025 | 4,913,107 | 0.1 |
3,350,000 | (1) | Hutama Karya Persero PT, 3.750%, 05/11/2030 | 3,056,763 | 0.0 |
3,259,000 | | Johnson & Johnson, 3.625%, 03/03/2037 | 3,093,722 | 0.0 |
1,506,000 | | Johnson & Johnson, 3.700%, 03/01/2046 | 1,389,888 | 0.0 |
3,266,000 | (2) | Keurig Dr Pepper, Inc., 4.050%, 04/15/2032 | 3,059,843 | 0.0 |
4,580,000 | | Keurig Dr Pepper, Inc., 4.500%, 04/15/2052 | 4,048,144 | 0.1 |
4,490,000 | | Kraft Heinz Foods Co., 4.625%, 10/01/2039 | 3,948,450 | 0.1 |
3,255,000 | | Kraft Heinz Foods Co., 6.875%, 01/26/2039 | 3,582,669 | 0.1 |
10,340,000 | (1) | Lamb Weston Holdings, Inc., 4.375%, 01/31/2032 | 9,015,394 | 0.1 |
3,585,000 | (1) | Mars, Inc., 0.875%, 07/16/2026 | 3,203,787 | 0.0 |
2,495,000 | (1) | Mars, Inc., 3.875%, 04/01/2039 | 2,260,143 | 0.0 |
4,730,000 | | McKesson Corp., 1.300%, 08/15/2026 | 4,212,083 | 0.1 |
4,875,000 | (1) | Medline Borrower L.P., 3.875%, 04/01/2029 | 4,168,710 | 0.1 |
1,858,000 | | Merck & Co., Inc., 2.750%, 12/10/2051 | 1,375,646 | 0.0 |
1,920,000 | (2) | Merck & Co., Inc., 2.900%, 12/10/2061 | 1,367,907 | 0.0 |
4,534,000 | | Mylan, Inc., 5.200%, 04/15/2048 | 3,629,015 | 0.1 |
4,616,000 | (1),(2) | Nestle Holdings, Inc., 1.500%, 09/14/2028 | 4,047,918 | 0.1 |
4,875,000 | (1) | Organon & Co. / Organon Foreign Debt Co-Issuer BV, 4.125%, 04/30/2028 | 4,332,534 | 0.1 |
2,018,000 | (2) | PayPal Holdings, Inc., 2.850%, 10/01/2029 | 1,827,860 | 0.0 |
2,135,000 | (2) | PayPal Holdings, Inc., 4.400%, 06/01/2032 | 2,116,060 | 0.0 |
5,630,000 | (2) | PayPal Holdings, Inc., 5.050%, 06/01/2052 | 5,598,277 | 0.1 |
4,271,000 | (2) | PayPal Holdings, Inc., 5.250%, 06/01/2062 | 4,236,730 | 0.1 |
712,000 | | PerkinElmer, Inc., 1.900%, 09/15/2028 | 593,849 | 0.0 |
938,000 | | PerkinElmer, Inc., 3.300%, 09/15/2029 | 832,344 | 0.0 |
3,087,000 | (1),(2) | Pilgrim's Pride Corp., 3.500%, 03/01/2032 | 2,418,093 | 0.0 |
5,628,000 | (1) | Pilgrim's Pride Corp., 4.250%, 04/15/2031 | 4,712,859 | 0.1 |
1,330,000 | (1) | Post Holdings, Inc., 4.625%, 04/15/2030 | 1,124,462 | 0.0 |
8,000,000 | (1) | Post Holdings, Inc., 5.500%, 12/15/2029 | 7,167,760 | 0.1 |
8,600,000 | (1) | Prestige Brands, Inc., 3.750%, 04/01/2031 | 7,145,138 | 0.1 |
10,350,000 | (1) | Primo Water Holdings, Inc., 4.375%, 04/30/2029 | 8,470,078 | 0.1 |
3,302,000 | | Reynolds American, Inc., 5.700%, 08/15/2035 | 3,136,615 | 0.0 |
3,028,000 | | Reynolds American, Inc., 5.850%, 08/15/2045 | 2,545,965 | 0.0 |
818,000 | | Reynolds American, Inc., 6.150%, 09/15/2043 | 759,392 | 0.0 |
3,480,000 | (1) | Roche Holdings, Inc., 1.930%, 12/13/2028 | 3,078,790 | 0.0 |
2,515,000 | (1) | Roche Holdings, Inc., 2.607%, 12/13/2051 | 1,829,731 | 0.0 |
1,626,000 | | Royalty Pharma PLC, 1.200%, 09/02/2025 | 1,451,306 | 0.0 |
2,055,000 | (2) | Royalty Pharma PLC, 1.750%, 09/02/2027 | 1,753,494 | 0.0 |
2,569,000 | (2) | Royalty Pharma PLC, 2.200%, 09/02/2030 | 2,074,940 | 0.0 |
7,357,000 | | Royalty Pharma PLC, 3.550%, 09/02/2050 | 5,151,615 | 0.1 |
679,000 | | S&P Global, Inc., 1.250%, 08/15/2030 | 538,074 | 0.0 |
5,049,000 | (1),(2) | S&P Global, Inc., 2.700%, 03/01/2029 | 4,598,059 | 0.1 |
7,633,000 | (1),(2) | S&P Global, Inc., 2.900%, 03/01/2032 | 6,808,420 | 0.1 |
3,598,000 | (1),(2) | S&P Global, Inc., 3.700%, 03/01/2052 | 3,076,547 | 0.0 |
1,336,000 | (1) | S&P Global, Inc., 3.900%, 03/01/2062 | 1,136,517 | 0.0 |
4,625,000 | (1) | Tenet Healthcare Corp., 4.250%, 06/01/2029 | 3,908,957 | 0.1 |
2,461,000 | (1) | Triton Container International Ltd., 2.050%, 04/15/2026 | 2,179,222 | 0.0 |
2,318,000 | (1) | Triton Container International Ltd., 3.150%, 06/15/2031 | 1,876,152 | 0.0 |
2,380,000 | (2) | United Rentals North America, Inc., 4.000%, 07/15/2030 | 2,038,767 | 0.0 |
1,470,000 | | UnitedHealth Group, Inc., 2.750%, 05/15/2040 | 1,147,325 | 0.0 |
748,000 | | UnitedHealth Group, Inc., 3.050%, 05/15/2041 | 604,182 | 0.0 |
2,117,000 | | UnitedHealth Group, Inc., 3.500%, 08/15/2039 | 1,849,258 | 0.0 |
1,590,000 | | UnitedHealth Group, Inc., 3.750%, 10/15/2047 | 1,377,349 | 0.0 |
2,627,000 | (2) | UnitedHealth Group, Inc., 4.200%, 05/15/2032 | 2,627,097 | 0.0 |
1,320,000 | | UnitedHealth Group, Inc., 4.750%, 05/15/2052 | 1,321,541 | 0.0 |
4,388,000 | (2) | Viatris, Inc., 2.700%, 06/22/2030 | 3,525,582 | 0.1 |
9,504,000 | | Viatris, Inc., 3.850%, 06/22/2040 | 6,745,783 | 0.1 |
4,584,000 | | Viatris, Inc., 4.000%, 06/22/2050 | 3,077,212 | 0.0 |
3,086,000 | (1) | Viterra Finance BV, 2.000%, 04/21/2026 | 2,733,730 | 0.0 |
| | | 453,152,702 | 5.4 |
| | | | |
| | Energy: 3.3% |
3,275,000 | (1),(2) | Antero Resources Corp., 5.375%, 03/01/2030 | 2,991,385 | 0.1 |
9,210,000 | | Apache Corp., 5.100%, 09/01/2040 | 7,803,449 | 0.1 |
1,924,000 | | Baker Hughes Holdings LLC / Baker Hughes Co-Obligor, Inc., 2.061%, 12/15/2026 | 1,766,213 | 0.0 |
2,305,000 | (2) | BP Capital Markets America, Inc., 1.749%, 08/10/2030 | 1,888,829 | 0.0 |
3,175,000 | (3) | BP Capital Markets PLC, 4.875%, 12/31/2199 | 2,774,222 | 0.0 |
1,220,000 | | Canadian Natural Resources Ltd., 6.750%, 02/01/2039 | 1,341,543 | 0.0 |
2,988,000 | | Cenovus Energy, Inc., 5.400%, 06/15/2047 | 2,877,101 | 0.0 |
1,760,000 | | Cheniere Corpus Christi Holdings LLC, 3.700%, 11/15/2029 | 1,611,622 | 0.0 |
533,000 | | Cheniere Corpus Christi Holdings LLC, 5.125%, 06/30/2027 | 535,414 | 0.0 |
2,765,000 | (2) | Continental Resources, Inc./OK, 4.900%, 06/01/2044 | 2,182,207 | 0.0 |
6,000,000 | (1) | Coterra Energy, Inc., 3.900%, 05/15/2027 | 5,758,413 | 0.1 |
9,480,000 | (1) | Crestwood Midstream Partners L.P. / Crestwood Midstream Finance Corp., 5.625%, 05/01/2027 | 8,452,984 | 0.1 |
1,744,000 | (2) | Diamondback Energy, Inc., 3.125%, 03/24/2031 | 1,520,855 | 0.0 |
5,941,000 | | Diamondback Energy, Inc., 3.500%, 12/01/2029 | 5,447,326 | 0.1 |
8,250,000 | | Ecopetrol SA, 6.875%, 04/29/2030 | 7,317,626 | 0.1 |
3,450,000 | (1) | EIG Pearl Holdings Sarl, 3.545%, 08/31/2036 | 2,954,187 | 0.1 |
7,100,000 | | Empresa Nacional del Petroleo, 3.750%, 08/05/2026 | 6,570,234 | 0.1 |
400,000 | (1) | Empresa Nacional del Petroleo, 3.750%, 08/05/2026 | 370,154 | 0.0 |
5,373,000 | (3) | Enbridge, Inc., 5.750%, 07/15/2080 | 4,926,074 | 0.1 |
325,000 | | Energy Transfer L.P., 4.250%, 04/01/2024 | 325,233 | 0.0 |
567,000 | | Energy Transfer L.P., 4.900%, 03/15/2035 | 509,362 | 0.0 |
4,946,000 | | Energy Transfer L.P., 5.300%, 04/01/2044 | 4,299,487 | 0.1 |
6,875,000 | | Energy Transfer L.P., 5.300%, 04/15/2047 | 5,966,796 | 0.1 |
1,003,000 | | Energy Transfer L.P., 5.350%, 05/15/2045 | 875,321 | 0.0 |
2,704,000 | | Energy Transfer L.P., 5.800%, 06/15/2038 | 2,541,090 | 0.0 |
1,263,000 | | Energy Transfer L.P. / Regency Energy Finance Corp., 4.500%, 11/01/2023 | 1,269,862 | 0.0 |
1,273,000 | | Enterprise Products Operating LLC, 3.950%, 01/31/2060 | 1,009,690 | 0.0 |
3,800,000 | (2),(3) | Enterprise Products Operating LLC, 4.875%, 08/16/2077 | 3,030,296 | 0.1 |
2,642,000 | | Equinor ASA, 3.125%, 04/06/2030 | 2,452,118 | 0.0 |
792,710 | (1) | Galaxy Pipeline Assets Bidco Ltd., 2.160%, 03/31/2034 | 675,530 | 0.0 |
982,610 | (1) | Galaxy Pipeline Assets Bidco Ltd., 2.940%, 09/30/2040 | 804,000 | 0.0 |
3,450,000 | | Gazprom PJSC Via Gaz Capital SA, 4.950%, 02/06/2028 | 1,285,125 | 0.0 |
3,250,000 | (1) | Gazprom PJSC via Gaz Finance PLC, 2.950%, 01/27/2029 | 975,000 | 0.0 |
9,050,000 | (1) | Gazprom PJSC via Gaz Finance PLC, 3.250%, 02/25/2030 | 2,715,000 | 0.0 |
9,800,000 | (1),(3) | Gazprom PJSC via Gaz Finance PLC, 4.599%, 12/31/2199 | 1,715,000 | 0.0 |
9,127,000 | | Hess Corp., 5.600%, 02/15/2041 | 8,909,521 | 0.1 |
9,750,000 | (1) | Hess Midstream Operations L.P., 4.250%, 02/15/2030 | 8,183,662 | 0.1 |
2,875,000 | | KazMunayGas National Co. JSC, 4.750%, 04/19/2027 | 2,589,685 | 0.0 |
1,575,000 | (1) | KazMunayGas National Co. JSC, 5.375%, 04/24/2030 | 1,392,734 | 0.0 |
1,295,000 | | Kinder Morgan Energy Partners L.P., 4.250%, 09/01/2024 | 1,296,641 | 0.0 |
2,332,000 | | Kinder Morgan, Inc., 5.550%, 06/01/2045 | 2,201,248 | 0.0 |
2,000,000 | (1) | Lukoil Capital DAC, 3.600%, 10/26/2031 | 1,097,500 | 0.0 |
1,971,000 | (1) | Lundin Energy Finance BV, 2.000%, 07/15/2026 | 1,763,097 | 0.0 |
3,850,000 | | Marathon Petroleum Corp., 4.700%, 05/01/2025 | 3,900,231 | 0.1 |
4,062,000 | | Marathon Petroleum Corp., 4.750%, 09/15/2044 | 3,586,856 | 0.1 |
1,322,000 | | Marathon Petroleum Corp., 5.000%, 09/15/2054 | 1,190,709 | 0.0 |
2,897,000 | | MPLX L.P., 1.750%, 03/01/2026 | 2,613,171 | 0.0 |
1,782,000 | | MPLX L.P., 2.650%, 08/15/2030 | 1,489,240 | 0.0 |
1,004,000 | | MPLX L.P., 4.700%, 04/15/2048 | 846,158 | 0.0 |
5,080,000 | | MPLX L.P., 4.875%, 06/01/2025 | 5,110,954 | 0.1 |
1,273,000 | | MPLX L.P., 5.200%, 03/01/2047 | 1,156,732 | 0.0 |
2,449,000 | | MPLX L.P., 5.200%, 12/01/2047 | 2,208,331 | 0.0 |
2,961,000 | | MPLX L.P., 5.500%, 02/15/2049 | 2,753,111 | 0.0 |
1,847,000 | (1) | Northern Natural Gas Co., 3.400%, 10/16/2051 | 1,379,356 | 0.0 |
1,067,000 | | ONEOK Partners L.P., 6.125%, 02/01/2041 | 1,018,492 | 0.0 |
2,785,000 | | ONEOK Partners L.P., 6.200%, 09/15/2043 | 2,627,166 | 0.0 |
1,910,000 | | ONEOK, Inc., 2.200%, 09/15/2025 | 1,780,036 | 0.0 |
1,158,000 | | ONEOK, Inc., 3.100%, 03/15/2030 | 996,699 | 0.0 |
5,000,000 | (1) | Pertamina Persero PT, 2.300%, 02/09/2031 | 4,072,960 | 0.1 |
6,075,000 | (1) | Pertamina Persero PT, 3.100%, 01/21/2030 | 5,357,239 | 0.1 |
750,000 | | Pertamina Persero PT, 5.625%, 05/20/2043 | 699,967 | 0.0 |
2,917,000 | (2) | Petrobras Global Finance BV, 5.600%, 01/03/2031 | 2,715,085 | 0.0 |
4,000,000 | (1) | Petroleos del Peru SA, 4.750%, 06/19/2032 | 3,098,500 | 0.1 |
2,280,000 | | Petroleos del Peru SA, 4.750%, 06/19/2032 | 1,766,145 | 0.0 |
10,525,000 | (2) | Petroleos Mexicanos, 5.950%, 01/28/2031 | 7,730,086 | 0.1 |
6,103,000 | | Petroleos Mexicanos, 6.700%, 02/16/2032 | 4,666,354 | 0.1 |
1,425,000 | | Phillips 66, 0.900%, 02/15/2024 | 1,357,800 | 0.0 |
7,375,000 | | Plains All American Pipeline L.P. / PAA Finance Corp., 3.550%, 12/15/2029 | 6,505,136 | 0.1 |
3,962,000 | | Plains All American Pipeline L.P. / PAA Finance Corp., 4.500%, 12/15/2026 | 3,897,118 | 0.1 |
3,468,000 | (2) | Plains All American Pipeline L.P. / PAA Finance Corp., 4.650%, 10/15/2025 | 3,437,776 | 0.1 |
4,825,000 | | Plains All American Pipeline L.P. / PAA Finance Corp., 4.900%, 02/15/2045 | 3,888,819 | 0.1 |
510,000 | | Plains All American Pipeline L.P. / PAA Finance Corp., 5.150%, 06/01/2042 | 429,264 | 0.0 |
1,450,000 | (1) | PTTEP Treasury Center Co. Ltd., 2.587%, 06/10/2027 | 1,342,834 | 0.0 |
950,000 | (1) | Qatar Energy, 3.125%, 07/12/2041 | 747,375 | 0.0 |
2,025,000 | (1) | Qatar Energy, 3.300%, 07/12/2051 | 1,568,601 | 0.0 |
5,250,000 | (1),(2) | Reliance Industries Ltd., 2.875%, 01/12/2032 | 4,360,644 | 0.1 |
5,250,000 | (1) | Reliance Industries Ltd., 3.625%, 01/12/2052 | 3,817,976 | 0.1 |
1,890,000 | | Sabine Pass Liquefaction LLC, 4.200%, 03/15/2028 | 1,819,625 | 0.0 |
2,203,000 | (2) | Sabine Pass Liquefaction LLC, 5.000%, 03/15/2027 | 2,212,819 | 0.0 |
2,150,000 | (2) | Sabine Pass Liquefaction LLC, 5.625%, 03/01/2025 | 2,195,402 | 0.0 |
2,730,000 | (1) | Santos Finance Ltd., 3.649%, 04/29/2031 | 2,318,552 | 0.0 |
1,750,000 | (1) | Saudi Arabian Oil Co., 3.250%, 11/24/2050 | 1,275,082 | 0.0 |
2,675,000 | (1) | Schlumberger Holdings Corp., 3.750%, 05/01/2024 | 2,665,522 | 0.0 |
3,835,000 | | Shell International Finance BV, 4.125%, 05/11/2035 | 3,658,031 | 0.1 |
4,675,000 | (2) | Southwestern Energy Co., 5.375%, 02/01/2029 | 4,345,272 | 0.1 |
1,573,000 | | Targa Resources Corp., 5.200%, 07/01/2027 | 1,581,182 | 0.0 |
1,909,000 | | Targa Resources Corp., 6.250%, 07/01/2052 | 1,918,368 | 0.0 |
3,056,000 | | Targa Resources Partners L.P. / Targa Resources Partners Finance Corp., 5.000%, 01/15/2028 | 2,913,927 | 0.0 |
3,000,000 | (1) | Tengizchevroil Finance Co. International Ltd., 3.250%, 08/15/2030 | 2,292,930 | 0.0 |
4,282,000 | | TotalEnergies Capital International SA, 2.986%, 06/29/2041 | 3,380,910 | 0.1 |
1,135,000 | | Transcontinental Gas Pipe Line Co. LLC, 3.250%, 05/15/2030 | 1,020,469 | 0.0 |
9,065,000 | | Western Midstream Operating L.P., 5.300%, 03/01/2048 | 7,325,200 | 0.1 |
10,875,000 | | Williams Cos, Inc./The, 4.000%, 09/15/2025 | 10,717,873 | 0.1 |
2,726,000 | | Williams Cos, Inc./The, 5.400%, 03/04/2044 | 2,603,272 | 0.0 |
| | | 275,334,193 | 3.3 |
| | | | |
| | Financial: 12.1% |
3,581,000 | (1),(3) | ABN AMRO Bank NV, 2.470%, 12/13/2029 | 3,055,233 | 0.0 |
4,863,000 | (1),(3) | ABN AMRO Bank NV, 3.324%, 03/13/2037 | 3,901,168 | 0.1 |
1,000,000 | (3) | ABN AMRO Bank NV, 4.400%, 03/27/2028 | 992,582 | 0.0 |
3,046,000 | | AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 3.300%, 01/30/2032 | 2,441,431 | 0.0 |
9,580,000 | | AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 3.400%, 10/29/2033 | 7,576,401 | 0.1 |
530,000 | | Alleghany Corp., 3.250%, 08/15/2051 | 386,195 | 0.0 |
4,279,000 | | Alleghany Corp., 3.625%, 05/15/2030 | 4,008,236 | 0.1 |
6,085,000 | (2) | American Campus Communities Operating Partnership L.P., 2.250%, 01/15/2029 | 5,639,909 | 0.1 |
2,231,000 | | American Homes 4 Rent L.P., 2.375%, 07/15/2031 | 1,781,408 | 0.0 |
2,501,000 | (2) | American Homes 4 Rent L.P., 3.625%, 04/15/2032 | 2,195,379 | 0.0 |
2,281,000 | | American Homes 4 Rent L.P., 4.300%, 04/15/2052 | 1,842,224 | 0.0 |
1,702,000 | | American International Group, Inc., 3.900%, 04/01/2026 | 1,670,513 | 0.0 |
2,537,000 | (2) | American Tower Corp., 3.650%, 03/15/2027 | 2,411,527 | 0.0 |
2,634,000 | (1) | Antares Holdings L.P., 2.750%, 01/15/2027 | 2,105,788 | 0.0 |
299,000 | (1) | Antares Holdings L.P., 3.750%, 07/15/2027 | 251,650 | 0.0 |
2,767,000 | (1) | ASB Bank Ltd., 1.625%, 10/22/2026 | 2,482,090 | 0.0 |
3,580,000 | (1),(3) | ASB Bank Ltd., 5.284%, 06/17/2032 | 3,545,893 | 0.0 |
5,665,000 | | Assurant, Inc., 3.700%, 02/22/2030 | 5,043,540 | 0.1 |
1,818,000 | (1),(2) | Athene Global Funding, 2.950%, 11/12/2026 | 1,672,266 | 0.0 |
2,378,000 | (1) | Aviation Capital Group LLC, 1.950%, 09/20/2026 | 2,022,576 | 0.0 |
1,137,000 | (1) | Aviation Capital Group LLC, 3.875%, 05/01/2023 | 1,127,587 | 0.0 |
2,027,000 | (1) | Aviation Capital Group LLC, 4.375%, 01/30/2024 | 1,992,032 | 0.0 |
4,559,000 | (1) | Aviation Capital Group LLC, 5.500%, 12/15/2024 | 4,522,964 | 0.1 |
3,134,000 | (1) | Avolon Holdings Funding Ltd., 2.125%, 02/21/2026 | 2,713,219 | 0.0 |
3,170,000 | (1) | Avolon Holdings Funding Ltd., 2.528%, 11/18/2027 | 2,586,783 | 0.0 |
2,062,000 | (1),(2) | Avolon Holdings Funding Ltd., 2.750%, 02/21/2028 | 1,683,559 | 0.0 |
1,151,000 | (1) | Avolon Holdings Funding Ltd., 2.875%, 02/15/2025 | 1,060,125 | 0.0 |
4,775,000 | (1) | Avolon Holdings Funding Ltd., 4.250%, 04/15/2026 | 4,427,949 | 0.1 |
3,750,000 | (1) | Banco Nacional de Panama, 2.500%, 08/11/2030 | 2,985,375 | 0.0 |
2,000,000 | | Banco Nacional de Panama, 2.500%, 08/11/2030 | 1,592,200 | 0.0 |
4,200,000 | | Banco Santander SA, 2.746%, 05/28/2025 | 3,982,844 | 0.1 |
3,600,000 | | Banco Santander SA, 3.125%, 02/23/2023 | 3,585,839 | 0.1 |
3,600,000 | (3) | Banco Santander SA, 3.225%, 11/22/2032 | 2,851,188 | 0.0 |
7,100,000 | (1),(3) | Bangkok Bank PCL/Hong Kong, 5.000%, 12/31/2199 | 6,536,686 | 0.1 |
3,975,000 | | Bank Hapoalim, 3.255%, 01/21/2032 | 3,398,625 | 0.0 |
8,000,000 | (3) | Bank of America Corp., 0.981%, 09/25/2025 | 7,409,832 | 0.1 |
5,462,000 | (3) | Bank of America Corp., 1.197%, 10/24/2026 | 4,895,365 | 0.1 |
4,500,000 | (3) | Bank of America Corp., 1.734%, 07/22/2027 | 4,007,766 | 0.1 |
1,601,000 | (3) | Bank of America Corp., 1.898%, 07/23/2031 | 1,280,979 | 0.0 |
1,672,000 | (3) | Bank of America Corp., 1.922%, 10/24/2031 | 1,337,096 | 0.0 |
1,495,000 | (3) | Bank of America Corp., 2.015%, 02/13/2026 | 1,403,017 | 0.0 |
8,131,000 | (3) | Bank of America Corp., 2.087%, 06/14/2029 | 6,970,648 | 0.1 |
4,388,000 | (3) | Bank of America Corp., 2.572%, 10/20/2032 | 3,623,827 | 0.1 |
6,144,000 | (3) | Bank of America Corp., 2.676%, 06/19/2041 | 4,429,608 | 0.1 |
5,100,000 | (3) | Bank of America Corp., 2.687%, 04/22/2032 | 4,286,085 | 0.1 |
4,396,000 | (3) | Bank of America Corp., 2.884%, 10/22/2030 | 3,842,396 | 0.1 |
3,188,000 | (3) | Bank of America Corp., 3.194%, 07/23/2030 | 2,860,728 | 0.0 |
2,300,000 | (3) | Bank of America Corp., 3.550%, 03/05/2024 | 2,293,443 | 0.0 |
11,542,000 | (3) | Bank of America Corp., 3.846%, 03/08/2037 | 9,989,339 | 0.1 |
1,941,000 | | Bank of America Corp., 3.950%, 04/21/2025 | 1,916,964 �� | 0.0 |
1,718,000 | (3) | Bank of America Corp., 3.970%, 03/05/2029 | 1,640,003 | 0.0 |
2,645,000 | (3) | Bank of America Corp., 4.078%, 04/23/2040 | 2,330,512 | 0.0 |
1,834,000 | (3) | Bank of America Corp., 4.083%, 03/20/2051 | 1,585,134 | 0.0 |
7,307,000 | | Bank of America Corp., 4.183%, 11/25/2027 | 7,108,078 | 0.1 |
4,495,000 | | Bank of America Corp., 4.250%, 10/22/2026 | 4,435,062 | 0.1 |
8,454,000 | (3) | Bank of America Corp., 4.271%, 07/23/2029 | 8,132,314 | 0.1 |
1,884,000 | (2),(3) | Bank of America Corp., 4.571%, 04/27/2033 | 1,835,747 | 0.0 |
8,708,000 | (2),(3) | Bank of America Corp., 6.125%, 12/31/2199 | 8,419,547 | 0.1 |
4,919,000 | (3) | Bank of Montreal, 3.803%, 12/15/2032 | 4,563,427 | 0.1 |
8,517,000 | (2),(3) | Bank of New York Mellon Corp./The, 4.289%, 06/13/2033 | 8,341,635 | 0.1 |
2,618,000 | (2) | Bank of Nova Scotia/The, 1.950%, 02/02/2027 | 2,363,752 | 0.0 |
1,750,000 | (2) | Bank of Nova Scotia/The, 2.200%, 02/03/2025 | 1,676,683 | 0.0 |
12,312,000 | (3) | Bank of Nova Scotia/The, 4.588%, 05/04/2037 | 11,333,960 | 0.1 |
4,740,000 | (3) | Bank of Nova Scotia/The, 4.900%, 12/31/2199 | 4,406,825 | 0.1 |
11,500,000 | (1) | Banque Federative du Credit Mutuel SA, 2.375%, 11/21/2024 | 11,030,803 | 0.1 |
1,547,000 | | Berkshire Hathaway Finance Corp., 2.850%, 10/15/2050 | 1,115,952 | 0.0 |
2,362,000 | (1) | Blackstone Holdings Finance Co. LLC, 1.625%, 08/05/2028 | 1,997,924 | 0.0 |
5,814,000 | (1) | Blackstone Holdings Finance Co. LLC, 2.000%, 01/30/2032 | 4,626,101 | 0.1 |
4,506,000 | (1) | Blackstone Holdings Finance Co. LLC, 2.850%, 08/05/2051 | 3,078,653 | 0.0 |
6,115,000 | (1) | Blackstone Holdings Finance Co. LLC, 3.200%, 01/30/2052 | 4,463,623 | 0.1 |
2,233,000 | (1) | Blackstone Private Credit Fund, 4.000%, 01/15/2029 | 1,832,034 | 0.0 |
5,150,000 | (1),(3) | BNP Paribas SA, 2.219%, 06/09/2026 | 4,761,429 | 0.1 |
4,499,000 | (1) | BNP Paribas SA, 3.375%, 01/09/2025 | 4,399,206 | 0.1 |
934,000 | | Boston Properties L.P., 3.250%, 01/30/2031 | 802,048 | 0.0 |
4,288,000 | (1),(3) | BPCE SA, 2.277%, 01/20/2032 | 3,396,401 | 0.0 |
6,155,000 | (1),(2) | BPCE SA, 2.700%, 10/01/2029 | 5,364,718 | 0.1 |
2,094,000 | (1) | BPCE SA, 5.150%, 07/21/2024 | 2,095,653 | 0.0 |
7,020,000 | (1) | BPCE SA, 5.700%, 10/22/2023 | 7,127,487 | 0.1 |
11,000,000 | (2) | Canadian Imperial Bank of Commerce, 2.250%, 01/28/2025 | 10,553,896 | 0.1 |
2,095,000 | | Canadian Imperial Bank of Commerce, 3.600%, 04/07/2032 | 1,903,993 | 0.0 |
4,975,000 | (3) | Capital One Financial Corp., 1.878%, 11/02/2027 | 4,367,507 | 0.1 |
3,260,000 | (3) | Capital One Financial Corp., 3.273%, 03/01/2030 | 2,887,859 | 0.0 |
1,127,000 | (2) | Capital One Financial Corp., 3.650%, 05/11/2027 | 1,074,441 | 0.0 |
2,456,000 | (3) | Capital One Financial Corp., 4.927%, 05/10/2028 | 2,434,380 | 0.0 |
2,591,000 | (2),(3) | Capital One Financial Corp., 5.268%, 05/10/2033 | 2,547,356 | 0.0 |
2,638,000 | | CBRE Services, Inc., 2.500%, 04/01/2031 | 2,148,984 | 0.0 |
974,000 | (2) | Charles Schwab Corp./The, 2.900%, 03/03/2032 | 858,595 | 0.0 |
2,898,000 | | CI Financial Corp., 4.100%, 06/15/2051 | 1,882,229 | 0.0 |
2,459,000 | (3) | Citigroup, Inc., 1.462%, 06/09/2027 | 2,178,289 | 0.0 |
1,897,000 | (3) | Citigroup, Inc., 2.904%, 11/03/2042 | 1,376,734 | 0.0 |
4,915,000 | | Citigroup, Inc., 5.500%, 09/13/2025 | 5,057,420 | 0.1 |
1,147,000 | (1) | Citizens Financial Group, Inc., 4.150%, 09/28/2022 | 1,149,758 | 0.0 |
4,388,000 | (2) | CME Group, Inc., 2.650%, 03/15/2032 | 3,891,313 | 0.1 |
1,279,000 | (1) | CNO Global Funding, 2.650%, 01/06/2029 | 1,115,555 | 0.0 |
1,520,000 | (1) | Commonwealth Bank of Australia, 3.743%, 09/12/2039 | 1,240,527 | 0.0 |
2,555,000 | (1),(3) | Cooperatieve Rabobank UA, 3.758%, 04/06/2033 | 2,308,497 | 0.0 |
9,163,000 | | Cooperatieve Rabobank UA, 4.375%, 08/04/2025 | 9,099,897 | 0.1 |
10,040,000 | (1) | Corebridge Financial, Inc., 3.850%, 04/05/2029 | 9,287,484 | 0.1 |
13,233,000 | (1) | Corebridge Financial, Inc., 3.900%, 04/05/2032 | 11,884,723 | 0.1 |
1,656,000 | (1) | Corebridge Financial, Inc., 4.350%, 04/05/2042 | 1,415,428 | 0.0 |
1,428,000 | (1),(2) | Corebridge Financial, Inc., 4.400%, 04/05/2052 | 1,193,787 | 0.0 |
2,700,000 | (1) | Corp Financiera de Desarrollo SA, 2.400%, 09/28/2027 | 2,287,021 | 0.0 |
8,474,000 | (1),(3) | Credit Agricole SA, 4.750%, 12/31/2199 | 6,606,895 | 0.1 |
13,000,000 | (1),(2),(3) | Credit Agricole SA/London, 1.907%, 06/16/2026 | 11,973,382 | 0.2 |
4,068,000 | (1) | Credit Suisse AG, 6.500%, 08/08/2023 | 4,078,170 | 0.1 |
3,611,000 | | Credit Suisse AG/New York NY, 1.000%, 05/05/2023 | 3,535,265 | 0.0 |
2,820,000 | | Credit Suisse AG/New York NY, 3.700%, 02/21/2025 | 2,756,933 | 0.0 |
3,222,000 | (1),(3) | Credit Suisse Group AG, 2.193%, 06/05/2026 | 2,924,615 | 0.0 |
6,870,000 | (1),(3) | Credit Suisse Group AG, 2.997%, 12/14/2023 | 6,825,423 | 0.1 |
8,409,000 | | Credit Suisse Group Funding Guernsey Ltd., 3.800%, 09/15/2022 | 8,416,664 | 0.1 |
1,732,000 | | Crown Castle International Corp., 1.050%, 07/15/2026 | 1,500,903 | 0.0 |
2,566,000 | (2) | Crown Castle International Corp., 2.900%, 03/15/2027 | 2,368,511 | 0.0 |
3,580,000 | | CubeSmart L.P., 2.250%, 12/15/2028 | 3,062,133 | 0.0 |
4,910,000 | (1),(3) | Danske Bank A/S, 1.621%, 09/11/2026 | 4,399,518 | 0.1 |
3,297,000 | (1) | Danske Bank A/S, 4.375%, 06/12/2028 | 3,122,356 | 0.0 |
2,407,000 | (1),(3) | Depository Trust & Clearing Corp./The, 3.375%, 12/31/2199 | 1,903,861 | 0.0 |
3,557,000 | (3) | Deutsche Bank AG/New York NY, 2.552%, 01/07/2028 | 3,081,780 | 0.0 |
2,000,000 | (1) | Development Bank of Kazakhstan JSC, 2.950%, 05/06/2031 | 1,513,770 | 0.0 |
2,897,000 | | Discover Bank, 4.250%, 03/13/2026 | 2,831,676 | 0.0 |
2,404,000 | (3) | Discover Bank, 4.682%, 08/09/2028 | 2,338,044 | 0.0 |
4,868,000 | (1) | Empower Finance 2020 L.P., 1.357%, 09/17/2027 | 4,193,560 | 0.1 |
7,000,000 | (1),(2) | Federation des Caisses Desjardins du Quebec, 2.050%, 02/10/2025 | 6,615,449 | 0.1 |
4,913,000 | (3) | Goldman Sachs Group, Inc., 1.542%, 09/10/2027 | 4,316,138 | 0.1 |
5,493,000 | | Goldman Sachs Group, Inc., 4.250%, 10/21/2025 | 5,459,478 | 0.1 |
1,680,000 | | Goldman Sachs Group, Inc., 5.150%, 05/22/2045 | 1,599,137 | 0.0 |
697,000 | | Goldman Sachs Group, Inc., 6.750%, 10/01/2037 | 773,047 | 0.0 |
95,000 | (3) | Goldman Sachs Group, Inc./The, 3.210%, 04/22/2042 | 72,706 | 0.0 |
8,526,000 | (1) | Hartford Financial Services Group, Inc./The, 3.536%, (US0003M + 2.125%), 02/12/2067 | 6,750,592 | 0.1 |
1,030,000 | | Hartford Financial Services Group, Inc./The, 5.950%, 10/15/2036 | 1,124,629 | 0.0 |
3,779,000 | (3) | HSBC Holdings PLC, 1.589%, 05/24/2027 | 3,325,221 | 0.0 |
2,569,000 | (3) | HSBC Holdings PLC, 1.645%, 04/18/2026 | 2,356,790 | 0.0 |
6,500,000 | (3) | HSBC Holdings PLC, 2.099%, 06/04/2026 | 6,012,315 | 0.1 |
6,688,000 | (3) | HSBC Holdings PLC, 2.206%, 08/17/2029 | 5,623,979 | 0.1 |
4,759,000 | (3) | HSBC Holdings PLC, 2.633%, 11/07/2025 | 4,543,188 | 0.1 |
3,307,000 | (2),(3) | HSBC Holdings PLC, 2.999%, 03/10/2026 | 3,151,738 | 0.0 |
4,593,000 | (3) | HSBC Holdings PLC, 4.041%, 03/13/2028 | 4,365,370 | 0.1 |
4,085,000 | | HSBC Holdings PLC, 4.300%, 03/08/2026 | 4,049,702 | 0.1 |
4,751,000 | (2),(3) | HSBC Holdings PLC, 4.700%, 12/31/2199 | 3,584,670 | 0.1 |
5,746,000 | (3) | HSBC Holdings PLC, 4.755%, 06/09/2028 | 5,591,137 | 0.1 |
4,831,000 | (2),(3) | HSBC Holdings PLC, 6.000%, 12/31/2199 | 4,341,861 | 0.1 |
1,615,000 | (3) | Huntington Bancshares, Inc./OH, 5.023%, 05/17/2033 | 1,611,757 | 0.0 |
6,599,000 | | ING Groep NV, 3.550%, 04/09/2024 | 6,543,912 | 0.1 |
2,147,000 | (3) | ING Groep NV, 4.017%, 03/28/2028 | 2,046,599 | 0.0 |
2,666,000 | | Intercontinental Exchange, Inc., 2.100%, 06/15/2030 | 2,238,666 | 0.0 |
3,483,000 | | Intercontinental Exchange, Inc., 2.650%, 09/15/2040 | 2,543,442 | 0.0 |
7,323,000 | | Intercontinental Exchange, Inc., 4.600%, 03/15/2033 | 7,315,548 | 0.1 |
5,215,000 | | Intercontinental Exchange, Inc., 4.950%, 06/15/2052 | 5,166,518 | 0.1 |
4,325,000 | (2) | Invitation Homes Operating Partnership L.P., 2.300%, 11/15/2028 | 3,641,765 | 0.1 |
6,236,000 | (2),(3) | JPMorgan Chase & Co., 0.969%, 06/23/2025 | 5,835,017 | 0.1 |
3,479,000 | (3) | JPMorgan Chase & Co., 1.040%, 02/04/2027 | 3,082,542 | 0.0 |
7,030,000 | (3) | JPMorgan Chase & Co., 1.470%, 09/22/2027 | 6,170,687 | 0.1 |
3,205,000 | (3) | JPMorgan Chase & Co., 1.953%, 02/04/2032 | 2,564,569 | 0.0 |
4,472,000 | (3) | JPMorgan Chase & Co., 2.069%, 06/01/2029 | 3,850,070 | 0.1 |
3,784,000 | (3) | JPMorgan Chase & Co., 2.182%, 06/01/2028 | 3,367,288 | 0.0 |
5,000,000 | (2),(3) | JPMorgan Chase & Co., 2.301%, 10/15/2025 | 4,766,479 | 0.1 |
2,631,000 | (3) | JPMorgan Chase & Co., 2.525%, 11/19/2041 | 1,886,313 | 0.0 |
8,021,000 | (3) | JPMorgan Chase & Co., 2.545%, 11/08/2032 | 6,672,308 | 0.1 |
1,361,000 | (3) | JPMorgan Chase & Co., 2.580%, 04/22/2032 | 1,146,329 | 0.0 |
4,938,000 | (3) | JPMorgan Chase & Co., 2.595%, 02/24/2026 | 4,699,145 | 0.1 |
4,938,000 | (3) | JPMorgan Chase & Co., 2.947%, 02/24/2028 | 4,578,906 | 0.1 |
6,884,000 | (3) | JPMorgan Chase & Co., 3.157%, 04/22/2042 | 5,358,403 | 0.1 |
3,453,000 | (3) | JPMorgan Chase & Co., 3.328%, 04/22/2052 | 2,633,125 | 0.0 |
10,000 | (3) | JPMorgan Chase & Co., 3.559%, 04/23/2024 | 9,974 | 0.0 |
4,270,000 | (3) | JPMorgan Chase & Co., 3.797%, 07/23/2024 | 4,256,502 | 0.1 |
3,700,000 | (2) | JPMorgan Chase & Co., 3.875%, 09/10/2024 | 3,696,727 | 0.1 |
2,222,000 | (3) | JPMorgan Chase & Co., 3.964%, 11/15/2048 | 1,887,767 | 0.0 |
2,485,000 | (2),(3) | JPMorgan Chase & Co., 4.452%, 12/05/2029 | 2,423,125 | 0.0 |
12,356,000 | (3) | JPMorgan Chase & Co., 4.565%, 06/14/2030 | 12,141,377 | 0.2 |
2,911,000 | | Kilroy Realty L.P., 2.650%, 11/15/2033 | 2,256,684 | 0.0 |
1,287,000 | | Kite Realty Group L.P., 4.000%, 10/01/2026 | 1,232,711 | 0.0 |
2,500,000 | (1) | Kookmin Bank, 2.500%, 11/04/2030 | 2,112,455 | 0.0 |
9,750,000 | (1) | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp., 4.750%, 06/15/2029 | 7,518,988 | 0.1 |
4,393,000 | (1) | Liberty Mutual Group, Inc., 5.500%, 06/15/2052 | 4,167,800 | 0.1 |
2,545,000 | (3) | Lloyds Banking Group PLC, 2.438%, 02/05/2026 | 2,410,373 | 0.0 |
2,849,000 | (3) | Lloyds Banking Group PLC, 2.907%, 11/07/2023 | 2,839,655 | 0.0 |
8,308,000 | | Main Street Capital Corp., 3.000%, 07/14/2026 | 7,260,188 | 0.1 |
4,310,000 | | Main Street Capital Corp., 5.200%, 05/01/2024 | 4,300,044 | 0.1 |
7,183,000 | | Mitsubishi UFJ Financial Group, Inc., 1.412%, 07/17/2025 | 6,605,105 | 0.1 |
1,323,000 | (3) | Mitsubishi UFJ Financial Group, Inc., 1.538%, 07/20/2027 | 1,170,961 | 0.0 |
725,000 | (2) | Mitsubishi UFJ Financial Group, Inc., 2.757%, 09/13/2026 | 678,828 | 0.0 |
5,500,000 | | Mizuho Financial Group Cayman 2 Ltd., 4.200%, 07/18/2022 | 5,503,729 | 0.1 |
3,417,000 | (2),(3) | Mizuho Financial Group, Inc., 2.226%, 05/25/2026 | 3,197,097 | 0.0 |
660,000 | (1),(2) | Mizuho Financial Group, Inc., 3.477%, 04/12/2026 | 635,163 | 0.0 |
3,912,000 | (3) | Morgan Stanley, 0.790%, 05/30/2025 | 3,645,101 | 0.1 |
15,500,000 | (3) | Morgan Stanley, 1.512%, 07/20/2027 | 13,621,790 | 0.2 |
3,968,000 | (3) | Morgan Stanley, 1.593%, 05/04/2027 | 3,529,116 | 0.0 |
2,646,000 | (3) | Morgan Stanley, 1.794%, 02/13/2032 | 2,083,934 | 0.0 |
5,414,000 | (2),(3) | Morgan Stanley, 2.188%, 04/28/2026 | 5,075,272 | 0.1 |
16,012,000 | (3) | Morgan Stanley, 2.239%, 07/21/2032 | 12,988,466 | 0.2 |
2,030,000 | (3) | Morgan Stanley, 2.475%, 01/21/2028 | 1,846,990 | 0.0 |
4,907,000 | (3) | Morgan Stanley, 2.511%, 10/20/2032 | 4,060,273 | 0.1 |
7,461,000 | (3) | Morgan Stanley, 2.630%, 02/18/2026 | 7,127,553 | 0.1 |
1,736,000 | (3) | Morgan Stanley, 3.737%, 04/24/2024 | 1,730,695 | 0.0 |
2,750,000 | | Morgan Stanley, 3.875%, 01/27/2026 | 2,712,729 | 0.0 |
3,524,000 | (2) | Morgan Stanley, 4.000%, 07/23/2025 | 3,526,125 | 0.0 |
1,708,000 | (3) | Morgan Stanley, 4.210%, 04/20/2028 | 1,671,465 | 0.0 |
2,439,000 | (3) | Morgan Stanley, 4.457%, 04/22/2039 | 2,275,765 | 0.0 |
12,430,000 | (3) | Morgan Stanley, 5.297%, 04/20/2037 | 12,050,419 | 0.2 |
5,135,000 | (2) | MPT Operating Partnership L.P. / MPT Finance Corp., 3.500%, 03/15/2031 | 4,062,427 | 0.1 |
4,875,000 | (1),(3) | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen, 5.875%, 05/23/2042 | 4,916,876 | 0.1 |
2,350,000 | (1) | National Australia Bank Ltd., 2.332%, 08/21/2030 | 1,891,324 | 0.0 |
3,865,000 | (1),(2) | Nationwide Building Society, 1.500%, 10/13/2026 | 3,445,979 | 0.0 |
9,520,000 | (1),(3) | Nationwide Building Society, 4.363%, 08/01/2024 | 9,534,573 | 0.1 |
2,910,000 | (3) | NatWest Group PLC, 3.073%, 05/22/2028 | 2,647,686 | 0.0 |
6,418,000 | (2) | NatWest Group PLC, 3.875%, 09/12/2023 | 6,400,965 | 0.1 |
459,000 | (3) | NatWest Group PLC, 4.269%, 03/22/2025 | 454,676 | 0.0 |
5,954,000 | (3) | NatWest Group PLC, 4.519%, 06/25/2024 | 5,941,713 | 0.1 |
4,725,000 | (2) | Navient Corp., 5.000%, 03/15/2027 | 3,893,282 | 0.1 |
1,000,000 | (1),(3) | NBK Tier 1 Financing 2 Ltd., 4.500%, 12/31/2199 | 944,050 | 0.0 |
4,015,000 | (1),(3) | Nordea Bank Abp, 3.750%, 12/31/2199 | 2,967,114 | 0.0 |
1,345,000 | (1),(2),(3) | Nordea Bank ABP, 6.125%, 12/31/2199 | 1,296,552 | 0.0 |
4,918,000 | (1) | Northwestern Mutual Global Funding, 1.700%, 06/01/2028 | 4,344,820 | 0.1 |
3,730,000 | (1) | Northwestern Mutual Life Insurance Co/The, 3.625%, 09/30/2059 | 2,784,699 | 0.0 |
3,434,000 | | Old Republic International Corp., 3.850%, 06/11/2051 | 2,599,317 | 0.0 |
7,000,000 | (2) | ORIX Corp., 3.250%, 12/04/2024 | 6,893,608 | 0.1 |
2,000,000 | (1),(3) | Oversea-Chinese Banking Corp. Ltd., 1.832%, 09/10/2030 | 1,847,730 | 0.0 |
11,270,000 | (3) | PartnerRe Finance B LLC, 4.500%, 10/01/2050 | 9,425,339 | 0.1 |
2,707,000 | | Piedmont Operating Partnership L.P., 2.750%, 04/01/2032 | 2,094,402 | 0.0 |
1,580,000 | (2) | Piedmont Operating Partnership L.P., 4.450%, 03/15/2024 | 1,586,084 | 0.0 |
1,747,000 | (2) | Public Storage, 1.950%, 11/09/2028 | 1,512,147 | 0.0 |
726,000 | (2) | Realty Income Corp., 3.950%, 08/15/2027 | 708,923 | 0.0 |
2,498,000 | | Realty Income Corp., 4.875%, 06/01/2026 | 2,550,771 | 0.0 |
1,250,000 | | Retail Opportunity Investments Partnership L.P., 5.000%, 12/15/2023 | 1,258,549 | 0.0 |
5,055,000 | (1),(2) | Rocket Mortgage LLC / Rocket Mortgage Co-Issuer, Inc., 3.875%, 03/01/2031 | 3,802,093 | 0.1 |
2,715,000 | (1),(2) | Rocket Mortgage LLC / Rocket Mortgage Co-Issuer, Inc., 4.000%, 10/15/2033 | 1,933,759 | 0.0 |
2,290,000 | | Sabra Health Care L.P., 3.200%, 12/01/2031 | 1,819,918 | 0.0 |
2,622,000 | (3) | Santander Holdings USA, Inc., 2.490%, 01/06/2028 | 2,316,252 | 0.0 |
5,965,000 | (3) | Santander UK Group Holdings PLC, 2.469%, 01/11/2028 | 5,275,126 | 0.1 |
1,350,000 | (1),(3) | Shinhan Financial Group Co. Ltd., 2.875%, 12/31/2199 | 1,201,500 | 0.0 |
2,250,000 | | Simon Property Group L.P., 1.750%, 02/01/2028 | 1,919,678 | 0.0 |
6,383,000 | (1),(3) | Societe Generale SA, 1.792%, 06/09/2027 | 5,578,820 | 0.1 |
3,381,000 | (1),(3) | Societe Generale SA, 2.797%, 01/19/2028 | 3,021,894 | 0.0 |
2,815,000 | (1),(2),(3) | Standard Chartered PLC, 1.456%, 01/14/2027 | 2,485,820 | 0.0 |
5,170,000 | (1),(3) | Standard Chartered PLC, 1.822%, 11/23/2025 | 4,791,777 | 0.1 |
3,977,000 | (1),(3) | Standard Chartered PLC, 2.608%, 01/12/2028 | 3,555,097 | 0.0 |
4,349,000 | (1),(2),(3) | Standard Chartered PLC, 3.971%, 03/30/2026 | 4,256,913 | 0.1 |
3,503,000 | (3) | State Street Corp., 2.623%, 02/07/2033 | 2,991,325 | 0.0 |
3,225,000 | | Sumitomo Mitsui Financial Group, Inc., 2.448%, 09/27/2024 | 3,108,504 | 0.0 |
300,000 | (2) | Sumitomo Mitsui Financial Group, Inc., 3.010%, 10/19/2026 | 283,221 | 0.0 |
3,351,000 | (1) | Sumitomo Mitsui Trust Bank Ltd., 1.050%, 09/12/2025 | 3,042,898 | 0.0 |
2,817,000 | (1) | Sumitomo Mitsui Trust Bank Ltd., 2.800%, 03/10/2027 | 2,643,897 | 0.0 |
4,393,000 | | Sun Communities Operating L.P., 4.200%, 04/15/2032 | 3,999,601 | 0.1 |
3,451,000 | (1),(3) | Svenska Handelsbanken AB, 1.418%, 06/11/2027 | 3,077,651 | 0.0 |
2,135,000 | (1) | Swiss Re Treasury US Corp., 4.250%, 12/06/2042 | 1,979,519 | 0.0 |
3,004,000 | | Toronto-Dominion Bank/The, 2.800%, 03/10/2027 | 2,813,142 | 0.0 |
3,735,000 | | Toronto-Dominion Bank/The, 4.456%, 06/08/2032 | 3,696,757 | 0.1 |
3,244,000 | (2) | Truist Financial Corp., 1.125%, 08/03/2027 | 2,778,124 | 0.0 |
4,450,000 | (2),(3) | Truist Financial Corp., 1.267%, 03/02/2027 | 3,993,555 | 0.1 |
4,579,000 | (3) | Truist Financial Corp., 5.100%, 12/31/2199 | 4,166,890 | 0.1 |
3,180,000 | | UBS AG, 5.125%, 05/15/2024 | 3,179,364 | 0.0 |
4,162,000 | (1),(3) | UBS Group AG, 1.008%, 07/30/2024 | 4,032,375 | 0.1 |
3,853,000 | (1),(3) | UBS Group AG, 1.364%, 01/30/2027 | 3,421,366 | 0.0 |
1,375,000 | (1),(3) | UBS Group AG, 1.494%, 08/10/2027 | 1,204,203 | 0.0 |
1,905,000 | (1),(3) | UBS Group AG, 2.095%, 02/11/2032 | 1,514,465 | 0.0 |
7,779,000 | (1),(3) | UBS Group AG, 2.859%, 08/15/2023 | 7,776,771 | 0.1 |
4,328,000 | (1),(3) | UBS Group AG, 3.179%, 02/11/2043 | 3,268,151 | 0.0 |
4,645,000 | (1),(3) | UBS Group AG, 4.751%, 05/12/2028 | 4,601,482 | 0.1 |
1,005,000 | | Ventas Realty L.P., 5.700%, 09/30/2043 | 1,024,893 | 0.0 |
6,142,000 | | Visa, Inc., 4.300%, 12/14/2045 | 6,076,948 | 0.1 |
5,017,000 | (3) | Wells Fargo & Co., 2.393%, 06/02/2028 | 4,496,876 | 0.1 |
17,000,000 | (3) | Wells Fargo & Co., 2.406%, 10/30/2025 | 16,202,923 | 0.2 |
2,500,000 | (3) | Wells Fargo & Co., 3.068%, 04/30/2041 | 1,939,783 | 0.0 |
6,670,000 | (2) | Wells Fargo & Co., 3.750%, 01/24/2024 | 6,690,817 | 0.1 |
3,858,000 | (3) | Wells Fargo & Co., 3.908%, 04/25/2026 | 3,799,145 | 0.1 |
4,735,000 | (3) | Wells Fargo & Co., 4.611%, 04/25/2053 | 4,389,720 | 0.1 |
1,426,000 | | Wells Fargo & Co., 4.750%, 12/07/2046 | 1,308,704 | 0.0 |
2,514,000 | (2) | Westpac Banking Corp., 1.953%, 11/20/2028 | 2,195,904 | 0.0 |
2,000,000 | | XLIT Ltd., 5.250%, 12/15/2043 | 2,124,554 | 0.0 |
2,409,000 | | XLIT Ltd., 5.500%, 03/31/2045 | 2,502,016 | 0.0 |
| | | 1,010,379,198 | 12.1 |
| | | | |
| | Industrial: 2.2% |
3,418,000 | | Amcor Flexibles North America, Inc., 4.000%, 05/17/2025 | 3,383,980 | 0.0 |
975,000 | (1),(2) | ATP Tower Holdings LLC / Andean Tower Partners Colombia SAS / Andean Telecom Par, 4.050%, 04/27/2026 | 807,279 | 0.0 |
3,285,000 | (2) | Avnet, Inc., 5.500%, 06/01/2032 | 3,227,626 | 0.0 |
3,482,000 | | Berry Global, Inc., 0.950%, 02/15/2024 | 3,300,240 | 0.0 |
4,500,000 | (2) | Berry Global, Inc., 1.650%, 01/15/2027 | 3,942,672 | 0.1 |
4,700,000 | (1),(2) | Berry Global, Inc., 5.625%, 07/15/2027 | 4,504,809 | 0.1 |
3,395,000 | | Boeing Co/The, 3.250%, 02/01/2028 | 3,037,097 | 0.0 |
4,964,000 | | Boeing Co/The, 3.250%, 02/01/2035 | 3,762,593 | 0.1 |
1,503,000 | (2) | Boeing Co/The, 3.625%, 02/01/2031 | 1,298,853 | 0.0 |
1,163,000 | | Boeing Co/The, 3.850%, 11/01/2048 | 825,848 | 0.0 |
3,324,000 | (2) | Boeing Co/The, 4.875%, 05/01/2025 | 3,316,352 | 0.0 |
4,748,000 | | Boeing Co/The, 5.150%, 05/01/2030 | 4,561,509 | 0.1 |
2,383,000 | | Boeing Co/The, 5.805%, 05/01/2050 | 2,193,036 | 0.0 |
4,735,000 | (1) | Builders FirstSource, Inc., 5.000%, 03/01/2030 | 4,018,713 | 0.1 |
1,834,000 | (2) | Burlington Northern Santa Fe LLC, 3.900%, 08/01/2046 | 1,632,905 | 0.0 |
1,165,000 | | Burlington Northern Santa Fe LLC, 4.450%, 03/15/2043 | 1,109,619 | 0.0 |
7,070,000 | | Burlington Northern Santa Fe LLC, 4.450%, 01/15/2053 | 6,851,502 | 0.1 |
2,728,000 | | Burlington Northern Santa Fe LLC, 5.150%, 09/01/2043 | 2,834,978 | 0.0 |
4,300,000 | (1) | Cascades, Inc./Cascades USA, Inc., 5.375%, 01/15/2028 | 3,662,870 | 0.0 |
2,375,000 | (1),(2),(3) | Cemex SAB de CV, 5.125%, 12/31/2199 | 2,022,681 | 0.0 |
4,350,000 | (1) | Cemex SAB de CV, 5.200%, 09/17/2030 | 3,732,670 | 0.0 |
816,000 | | CSX Corp., 4.500%, 08/01/2054 | 757,672 | 0.0 |
2,489,000 | | CSX Corp., 4.650%, 03/01/2068 | 2,263,937 | 0.0 |
1,550,000 | (1) | ENA Master Trust, 4.000%, 05/19/2048 | 1,206,117 | 0.0 |
1,256,000 | | FedEx Corp., 3.900%, 02/01/2035 | 1,120,660 | 0.0 |
2,812,000 | | FedEx Corp., 4.050%, 02/15/2048 | 2,359,420 | 0.0 |
2,427,000 | | FedEx Corp., 4.400%, 01/15/2047 | 2,130,304 | 0.0 |
2,765,812 | | FedEx Corp. 2020-1 Class AA Pass Through Trust, 1.875%, 08/20/2035 | 2,408,241 | 0.0 |
2,272,000 | (2) | Fortune Brands Home & Security, Inc., 4.000%, 03/25/2032 | 2,012,024 | 0.0 |
2,142,000 | | GE Capital International Funding Co. Unlimited Co., 4.418%, 11/15/2035 | 2,003,350 | 0.0 |
4,000,000 | | General Dynamics Corp., 3.500%, 04/01/2027 | 3,929,086 | 0.1 |
3,870,000 | (1),(2) | GFL Environmental, Inc., 3.500%, 09/01/2028 | 3,324,349 | 0.0 |
5,025,000 | | John Deere Capital Corp., 3.350%, 04/18/2029 | 4,823,906 | 0.1 |
2,000,000 | (1),(2) | Klabin Austria GmbH, 3.200%, 01/12/2031 | 1,529,150 | 0.0 |
12,925,000 | (1) | Misc Capital Two Labuan Ltd., 3.750%, 04/06/2027 | 12,153,694 | 0.2 |
1,388,000 | | Norfolk Southern Corp., 4.100%, 05/15/2121 | 1,047,287 | 0.0 |
5,976,000 | | Parker-Hannifin Corp., 4.500%, 09/15/2029 | 5,951,315 | 0.1 |
3,618,000 | (1) | Penske Truck Leasing Co. Lp / PTL Finance Corp., 1.200%, 11/15/2025 | 3,234,315 | 0.0 |
4,922,000 | (1) | Penske Truck Leasing Co. Lp / PTL Finance Corp., 1.700%, 06/15/2026 | 4,393,641 | 0.1 |
3,686,000 | | Raytheon Technologies Corp., 3.500%, 03/15/2027 | 3,604,686 | 0.0 |
211,000 | | Raytheon Technologies Corp., 3.650%, 08/16/2023 | 210,888 | 0.0 |
3,933,000 | | Raytheon Technologies Corp., 4.450%, 11/16/2038 | 3,758,379 | 0.1 |
7,750,000 | | Raytheon Technologies Corp., 4.500%, 06/01/2042 | 7,404,098 | 0.1 |
3,235,000 | (1) | Sealed Air Corp., 1.573%, 10/15/2026 | 2,817,206 | 0.0 |
5,180,000 | (1),(2) | Sensata Technologies, Inc., 3.750%, 02/15/2031 | 4,160,731 | 0.1 |
4,773,000 | (2) | Silgan Holdings, Inc., 4.125%, 02/01/2028 | 4,287,896 | 0.1 |
4,197,000 | (1) | SMBC Aviation Capital Finance DAC, 1.900%, 10/15/2026 | 3,569,672 | 0.0 |
5,083,000 | | Sonoco Products Co., 2.250%, 02/01/2027 | 4,576,144 | 0.1 |
805,000 | (1) | Standard Industries, Inc./NJ, 3.375%, 01/15/2031 | 595,340 | 0.0 |
6,625,000 | (1) | Standard Industries, Inc./NJ, 4.375%, 07/15/2030 | 5,237,626 | 0.1 |
3,275,000 | (1) | Summit Digitel Infrastructure Pvt Ltd., 2.875%, 08/12/2031 | 2,533,394 | 0.0 |
5,340,000 | (1) | Summit Materials LLC / Summit Materials Finance Corp., 5.250%, 01/15/2029 | 4,668,602 | 0.1 |
1,160,000 | (1) | TD SYNNEX Corp., 1.750%, 08/09/2026 | 1,023,480 | 0.0 |
6,225,000 | (2) | Teledyne Technologies, Inc., 1.600%, 04/01/2026 | 5,611,970 | 0.1 |
5,745,000 | (1) | TTX Co., 3.600%, 01/15/2025 | 5,678,525 | 0.1 |
6,080,000 | | Union Pacific Corp., 3.500%, 02/14/2053 | 4,967,142 | 0.1 |
| | | 185,382,079 | 2.2 |
| | | | |
| | Technology: 2.0% |
3,979,000 | | Advanced Micro Devices, Inc., 3.924%, 06/01/2032 | 3,920,178 | 0.1 |
3,678,000 | (2) | Advanced Micro Devices, Inc., 4.393%, 06/01/2052 | 3,586,140 | 0.1 |
5,817,000 | | Apple, Inc., 2.650%, 02/08/2051 | 4,300,620 | 0.1 |
7,816,000 | | Apple, Inc., 2.800%, 02/08/2061 | 5,622,541 | 0.1 |
2,590,000 | | Apple, Inc., 2.850%, 08/05/2061 | 1,883,343 | 0.0 |
1,040,000 | | Apple, Inc., 3.450%, 02/09/2045 | 906,816 | 0.0 |
3,576,000 | | Apple, Inc., 3.750%, 09/12/2047 | 3,233,240 | 0.0 |
1,218,000 | | Apple, Inc., 4.500%, 02/23/2036 | 1,271,667 | 0.0 |
3,177,000 | (2) | CDW LLC / CDW Finance Corp., 3.250%, 02/15/2029 | 2,683,167 | 0.0 |
3,352,000 | (2) | Citrix Systems, Inc., 1.250%, 03/01/2026 | 3,247,244 | 0.1 |
844,000 | (2) | Citrix Systems, Inc., 3.300%, 03/01/2030 | 824,045 | 0.0 |
2,143,000 | | Dell International LLC / EMC Corp., 6.020%, 06/15/2026 | 2,228,286 | 0.0 |
2,310,000 | (2) | DXC Technology Co., 1.800%, 09/15/2026 | 2,077,584 | 0.0 |
2,315,000 | (2) | DXC Technology Co., 2.375%, 09/15/2028 | 1,994,343 | 0.0 |
2,519,000 | | Fiserv, Inc., 3.500%, 07/01/2029 | 2,299,941 | 0.0 |
3,245,000 | (2) | HP, Inc., 2.650%, 06/17/2031 | 2,610,412 | 0.0 |
7,470,000 | | HP, Inc., 4.000%, 04/15/2029 | 7,005,209 | 0.1 |
2,895,000 | (2) | HP, Inc., 4.050%, 09/15/2022 | 2,906,802 | 0.0 |
2,466,000 | | HP, Inc., 4.750%, 01/15/2028 | 2,439,104 | 0.0 |
2,139,000 | (1) | Infor, Inc., 1.450%, 07/15/2023 | 2,081,976 | 0.0 |
1,915,000 | | Intel Corp., 3.100%, 02/15/2060 | 1,371,511 | 0.0 |
2,441,000 | | Intel Corp., 3.200%, 08/12/2061 | 1,789,250 | 0.0 |
11,826,000 | | Intel Corp., 3.250%, 11/15/2049 | 9,216,731 | 0.1 |
4,738,000 | | International Business Machines Corp., 3.300%, 05/15/2026 | 4,629,190 | 0.1 |
4,125,000 | | KLA Corp., 4.950%, 07/15/2052 | 4,154,912 | 0.1 |
2,819,000 | | KLA Corp., 5.250%, 07/15/2062 | 2,910,366 | 0.0 |
2,708,000 | (1) | Kyndryl Holdings, Inc., 2.050%, 10/15/2026 | 2,281,552 | 0.0 |
6,028,000 | (1),(2) | Kyndryl Holdings, Inc., 2.700%, 10/15/2028 | 4,806,712 | 0.1 |
2,346,000 | (1) | Kyndryl Holdings, Inc., 3.150%, 10/15/2031 | 1,739,303 | 0.0 |
5,223,000 | | Microchip Technology, Inc., 2.670%, 09/01/2023 | 5,138,330 | 0.1 |
8,870,000 | | Microsoft Corp., 2.921%, 03/17/2052 | 7,011,018 | 0.1 |
4,533,000 | | NXP BV / NXP Funding LLC, 5.350%, 03/01/2026 | 4,624,248 | 0.1 |
2,393,000 | | NXP BV / NXP Funding LLC / NXP USA, Inc., 3.250%, 11/30/2051 | 1,662,030 | 0.0 |
2,428,000 | | NXP BV / NXP Funding LLC / NXP USA, Inc., 3.400%, 05/01/2030 | 2,144,191 | 0.0 |
10,030,000 | (1) | Open Text Holdings, Inc., 4.125%, 12/01/2031 | 8,319,642 | 0.1 |
6,520,000 | (2) | Oracle Corp., 2.300%, 03/25/2028 | 5,615,937 | 0.1 |
941,000 | | Oracle Corp., 3.600%, 04/01/2050 | 655,410 | 0.0 |
2,948,000 | | Oracle Corp., 3.650%, 03/25/2041 | 2,201,384 | 0.0 |
2,609,000 | | Oracle Corp., 3.800%, 11/15/2037 | 2,033,696 | 0.0 |
325,000 | | Oracle Corp., 3.850%, 07/15/2036 | 261,597 | 0.0 |
4,910,000 | | Oracle Corp., 3.950%, 03/25/2051 | 3,613,879 | 0.1 |
6,041,000 | | Oracle Corp., 4.000%, 11/15/2047 | 4,491,011 | 0.1 |
1,885,000 | (1) | Renesas Electronics Corp., 2.170%, 11/25/2026 | 1,683,267 | 0.0 |
2,498,000 | | Roper Technologies, Inc., 1.400%, 09/15/2027 | 2,141,965 | 0.0 |
3,601,000 | | Salesforce, Inc., 2.700%, 07/15/2041 | 2,789,880 | 0.0 |
5,225,000 | (2) | Seagate HDD Cayman, 3.375%, 07/15/2031 | 4,070,667 | 0.1 |
2,427,000 | | Take-Two Interactive Software, Inc., 4.000%, 04/14/2032 | 2,281,076 | 0.0 |
5,540,000 | | VMware, Inc., 1.400%, 08/15/2026 | 4,905,187 | 0.1 |
2,395,000 | | VMware, Inc., 1.800%, 08/15/2028 | 1,991,367 | 0.0 |
1,980,000 | (2) | Workday, Inc., 3.500%, 04/01/2027 | 1,895,079 | 0.0 |
4,996,000 | (1) | Ziff Davis, Inc., 4.625%, 10/15/2030 | 4,268,483 | 0.1 |
| | | 163,821,529 | 2.0 |
| | | | |
| | Utilities: 4.2% |
971,000 | | AEP Texas, Inc., 3.450%, 01/15/2050 | 759,565 | 0.0 |
3,671,000 | (1) | AEP Texas, Inc., 3.850%, 10/01/2025 | 3,648,373 | 0.1 |
2,870,000 | | AES Corp./The, 1.375%, 01/15/2026 | 2,534,529 | 0.0 |
3,468,000 | (1) | AES Corp./The, 3.950%, 07/15/2030 | 3,138,037 | 0.1 |
2,273,000 | | Alabama Power Co., 3.450%, 10/01/2049 | 1,803,050 | 0.0 |
3,142,000 | (1) | Alliant Energy Finance LLC, 3.600%, 03/01/2032 | 2,848,049 | 0.0 |
10,755,000 | (1) | Alliant Energy Finance LLC, 3.750%, 06/15/2023 | 10,766,886 | 0.1 |
2,875,000 | (2) | American Electric Power Co., Inc., 3.250%, 03/01/2050 | 2,070,136 | 0.0 |
3,830,000 | (2),(3) | American Electric Power Co., Inc., 3.875%, 02/15/2062 | 3,031,289 | 0.1 |
3,558,000 | (1) | American Transmission Systems, Inc., 2.650%, 01/15/2032 | 3,017,566 | 0.1 |
4,130,000 | (1) | American Transmission Systems, Inc., 5.000%, 09/01/2044 | 3,988,071 | 0.1 |
2,473,000 | (2) | Appalachian Power Co., 2.700%, 04/01/2031 | 2,136,279 | 0.0 |
1,844,000 | | Appalachian Power Co., 3.700%, 05/01/2050 | 1,469,262 | 0.0 |
2,379,000 | | Arizona Public Service Co., 4.200%, 08/15/2048 | 2,040,210 | 0.0 |
9,776,000 | | Avangrid, Inc., 3.200%, 04/15/2025 | 9,515,665 | 0.1 |
3,010,000 | | Baltimore Gas and Electric Co., 2.250%, 06/15/2031 | 2,565,454 | 0.0 |
2,817,000 | (2) | Berkshire Hathaway Energy Co., 1.650%, 05/15/2031 | 2,273,236 | 0.0 |
3,464,000 | (1) | Berkshire Hathaway Energy Co., 4.600%, 05/01/2053 | 3,327,407 | 0.1 |
3,179,000 | | Black Hills Corp., 2.500%, 06/15/2030 | 2,658,352 | 0.0 |
2,858,000 | | Black Hills Corp., 3.050%, 10/15/2029 | 2,563,650 | 0.0 |
1,720,000 | | Black Hills Corp., 4.250%, 11/30/2023 | 1,725,898 | 0.0 |
2,419,000 | | Black Hills Corp., 4.350%, 05/01/2033 | 2,260,670 | 0.0 |
566,000 | | CenterPoint Energy Houston Electric LLC, 3.550%, 08/01/2042 | 487,167 | 0.0 |
2,166,000 | (1) | Cleveland Electric Illuminating Co/The, 3.500%, 04/01/2028 | 2,040,056 | 0.0 |
3,430,000 | (3) | CMS Energy Corp., 3.750%, 12/01/2050 | 2,630,570 | 0.0 |
7,338,000 | (3) | CMS Energy Corp., 4.750%, 06/01/2050 | 6,448,047 | 0.1 |
2,309,000 | | Commonwealth Edison Co., 3.750%, 08/15/2047 | 1,993,168 | 0.0 |
1,709,000 | | Consolidated Edison Co. of New York, Inc., 4.000%, 11/15/2057 | 1,427,196 | 0.0 |
2,375,000 | | Consolidated Edison Co. of New York, Inc., 4.625%, 12/01/2054 | 2,210,144 | 0.0 |
731,000 | | Consolidated Edison Co. of New York, Inc., 5.300%, 03/01/2035 | 760,930 | 0.0 |
8,182,000 | (3) | Dominion Energy, Inc., 4.350%, 12/31/2199 | 6,770,605 | 0.1 |
4,865,000 | (3) | Dominion Energy, Inc., 4.650%, 12/31/2199 | 4,347,551 | 0.1 |
1,295,000 | | Duke Energy Carolinas LLC, 2.550%, 04/15/2031 | 1,133,880 | 0.0 |
1,542,000 | | Duke Energy Carolinas LLC, 3.700%, 12/01/2047 | 1,309,081 | 0.0 |
587,000 | | Duke Energy Carolinas LLC, 3.750%, 06/01/2045 | 492,736 | 0.0 |
3,620,000 | | Duke Energy Carolinas LLC, 4.000%, 09/30/2042 | 3,222,191 | 0.1 |
182,000 | | Duke Energy Carolinas LLC, 4.250%, 12/15/2041 | 168,098 | 0.0 |
1,500,000 | (2),(3) | Duke Energy Corp., 4.875%, 12/31/2199 | 1,368,750 | 0.0 |
4,024,000 | | Duke Energy Florida LLC, 2.400%, 12/15/2031 | 3,445,370 | 0.1 |
660,000 | | Duke Energy Florida LLC, 4.200%, 07/15/2048 | 603,105 | 0.0 |
1,834,000 | | Duke Energy Indiana LLC, 2.750%, 04/01/2050 | 1,302,835 | 0.0 |
4,719,000 | | Duke Energy Indiana LLC, 3.250%, 10/01/2049 | 3,659,486 | 0.1 |
1,662,000 | | Duke Energy Ohio, Inc., 2.125%, 06/01/2030 | 1,403,935 | 0.0 |
2,488,000 | (2) | Duke Energy Ohio, Inc., 3.700%, 06/15/2046 | 2,085,551 | 0.0 |
3,413,000 | | Duke Energy Progress LLC, 3.700%, 10/15/2046 | 2,910,793 | 0.0 |
5,143,000 | | Duke Energy Progress LLC, 4.100%, 05/15/2042 | 4,661,243 | 0.1 |
219,000 | | Duke Energy Progress LLC, 4.100%, 03/15/2043 | 196,888 | 0.0 |
2,505,000 | | Duke Energy Progress LLC, 4.200%, 08/15/2045 | 2,281,950 | 0.0 |
2,102,000 | (1) | Duquesne Light Holdings, Inc., 2.532%, 10/01/2030 | 1,729,182 | 0.0 |
2,695,000 | | Entergy Arkansas LLC, 2.650%, 06/15/2051 | 1,873,535 | 0.0 |
2,796,000 | (2) | Entergy Arkansas LLC, 4.200%, 04/01/2049 | 2,583,198 | 0.0 |
4,202,000 | | Entergy Corp., 0.900%, 09/15/2025 | 3,786,904 | 0.1 |
3,478,000 | | Entergy Corp., 2.400%, 06/15/2031 | 2,832,352 | 0.0 |
1,644,000 | | Entergy Corp., 2.800%, 06/15/2030 | 1,411,741 | 0.0 |
3,667,000 | | Entergy Louisiana LLC, 4.200%, 04/01/2050 | 3,316,326 | 0.1 |
2,172,000 | | Entergy Texas, Inc., 4.000%, 03/30/2029 | 2,122,672 | 0.0 |
2,642,000 | | Evergy Kansas Central, Inc., 3.250%, 09/01/2049 | 2,051,489 | 0.0 |
2,216,000 | (2) | Evergy Metro, Inc., 2.250%, 06/01/2030 | 1,912,122 | 0.0 |
2,943,000 | | Eversource Energy, 0.800%, 08/15/2025 | 2,660,056 | 0.0 |
2,750,000 | | Eversource Energy, 1.400%, 08/15/2026 | 2,459,189 | 0.0 |
4,991,000 | | Eversource Energy, 2.900%, 03/01/2027 | 4,689,824 | 0.1 |
2,631,000 | | Eversource Energy, 3.375%, 03/01/2032 | 2,368,777 | 0.0 |
932,000 | (2) | Exelon Corp., 4.050%, 04/15/2030 | 895,304 | 0.0 |
1,706,000 | | Florida Power & Light Co., 2.875%, 12/04/2051 | 1,272,321 | 0.0 |
1,725,000 | | Fortis, Inc./Canada, 3.055%, 10/04/2026 | 1,624,430 | 0.0 |
3,055,000 | | Georgia Power Co., 2.200%, 09/15/2024 | 2,951,742 | 0.0 |
1,171,000 | (2) | Georgia Power Co., 5.125%, 05/15/2052 | 1,163,746 | 0.0 |
2,124,000 | | Georgia Power Co., 5.750%, 04/15/2023 | 2,157,142 | 0.0 |
3,667,000 | | Indiana Michigan Power Co., 3.250%, 05/01/2051 | 2,785,694 | 0.0 |
4,560,000 | | Inkia Energy Ltd., 5.875%, 11/09/2027 | 4,181,520 | 0.1 |
2,304,000 | | Interstate Power and Light Co., 3.100%, 11/30/2051 | 1,693,874 | 0.0 |
4,400,000 | (2) | Interstate Power and Light Co., 3.250%, 12/01/2024 | 4,349,465 | 0.1 |
3,045,000 | | IPALCO Enterprises, Inc., 4.250%, 05/01/2030 | 2,831,483 | 0.0 |
1,389,000 | (1) | Jersey Central Power & Light Co., 2.750%, 03/01/2032 | 1,183,045 | 0.0 |
3,199,000 | (1) | Jersey Central Power & Light Co., 4.300%, 01/15/2026 | 3,163,562 | 0.1 |
1,950,000 | (1) | Metropolitan Edison Co., 3.500%, 03/15/2023 | 1,937,529 | 0.0 |
500,000 | | MidAmerican Energy Co., 4.400%, 10/15/2044 | 475,999 | 0.0 |
4,552,000 | | Mississippi Power Co., 4.250%, 03/15/2042 | 3,977,947 | 0.1 |
271,000 | | Mississippi Power Co., 4.750%, 10/15/2041 | 251,987 | 0.0 |
2,460,000 | (1) | Monongahela Power Co., 3.550%, 05/15/2027 | 2,342,446 | 0.0 |
2,983,000 | (1) | Narragansett Electric Co/The, 3.395%, 04/09/2030 | 2,804,098 | 0.0 |
4,763,000 | | National Rural Utilities Cooperative Finance Corp., 2.400%, 03/15/2030 | 4,158,959 | 0.1 |
3,798,000 | (2) | National Rural Utilities Cooperative Finance Corp., 2.750%, 04/15/2032 | 3,311,635 | 0.1 |
2,880,000 | (3) | National Rural Utilities Cooperative Finance Corp., 4.750%, 04/30/2043 | 2,676,447 | 0.0 |
8,110,000 | | NextEra Energy Capital Holdings, Inc., 1.875%, 01/15/2027 | 7,320,825 | 0.1 |
2,635,000 | | NextEra Energy Capital Holdings, Inc., 1.900%, 06/15/2028 | 2,293,765 | 0.0 |
2,373,000 | | NextEra Energy Capital Holdings, Inc., 2.440%, 01/15/2032 | 1,978,506 | 0.0 |
5,461,000 | (3) | NextEra Energy Capital Holdings, Inc., 3.800%, 03/15/2082 | 4,387,926 | 0.1 |
2,980,000 | | NextEra Energy Capital Holdings, Inc., 5.000%, 07/15/2032 | 3,055,767 | 0.1 |
4,000,000 | | NiSource, Inc., 0.950%, 08/15/2025 | 3,598,649 | 0.1 |
1,453,000 | | NiSource, Inc., 5.950%, 06/15/2041 | 1,506,257 | 0.0 |
1,684,000 | (2) | NSTAR Electric Co., 1.950%, 08/15/2031 | 1,400,086 | 0.0 |
2,743,000 | (2) | Oglethorpe Power Corp., 3.750%, 08/01/2050 | 2,188,119 | 0.0 |
4,183,000 | | ONE Gas, Inc., 1.100%, 03/11/2024 | 3,987,362 | 0.1 |
1,861,000 | | Pacific Gas and Electric Co., 4.250%, 03/15/2046 | 1,362,711 | 0.0 |
4,188,000 | | Pacific Gas and Electric Co., 4.300%, 03/15/2045 | 3,051,730 | 0.1 |
2,484,000 | | Pacific Gas and Electric Co., 4.450%, 04/15/2042 | 1,869,456 | 0.0 |
402,000 | | PacifiCorp, 4.150%, 02/15/2050 | 363,470 | 0.0 |
459,000 | | PECO Energy Co., 3.700%, 09/15/2047 | 400,069 | 0.0 |
1,138,000 | | PECO Energy Co., 4.150%, 10/01/2044 | 1,037,954 | 0.0 |
750,000 | (1) | Perusahaan Listrik Negara PT, 5.375%, 01/25/2029 | 747,124 | 0.0 |
2,675,000 | | Perusahaan Listrik Negara PT, 5.450%, 05/21/2028 | 2,705,696 | 0.0 |
4,500,000 | (1) | Perusahaan Listrik Negara PT, 5.450%, 05/21/2028 | 4,551,638 | 0.1 |
1,866,000 | | Piedmont Natural Gas Co., Inc., 3.350%, 06/01/2050 | 1,394,548 | 0.0 |
1,200,000 | (1) | Promigas SA ESP / Gases del Pacifico SAC, 3.750%, 10/16/2029 | 969,822 | 0.0 |
459,000 | | Public Service Electric and Gas Co., 3.600%, 12/01/2047 | 389,283 | 0.0 |
2,889,000 | (2) | Public Service Enterprise Group, Inc., 0.800%, 08/15/2025 | 2,612,066 | 0.0 |
2,235,000 | | Public Service Enterprise Group, Inc., 1.600%, 08/15/2030 | 1,777,387 | 0.0 |
8,174,000 | | Public Service Enterprise Group, Inc., 2.450%, 11/15/2031 | 6,829,131 | 0.1 |
3,463,000 | | Sempra Energy, 3.800%, 02/01/2038 | 2,928,449 | 0.0 |
7,457,000 | (2),(3) | Sempra Energy, 4.125%, 04/01/2052 | 5,995,171 | 0.1 |
3,344,000 | (3) | Sempra Energy, 4.875%, 12/31/2199 | 3,084,776 | 0.1 |
7,831,000 | | South Jersey Industries, Inc., 5.020%, 04/15/2031 | 6,982,428 | 0.1 |
1,440,000 | (2) | Southern California Edison Co., 3.650%, 02/01/2050 | 1,103,523 | 0.0 |
813,000 | | Southern California Edison Co., 4.050%, 03/15/2042 | 671,541 | 0.0 |
1,323,000 | | Southern Co. Gas Capital Corp., 4.400%, 05/30/2047 | 1,157,051 | 0.0 |
6,902,000 | (3) | Southern Co/The, 3.750%, 09/15/2051 | 5,881,677 | 0.1 |
4,975,000 | (3) | Southern Co/The, 4.000%, 01/15/2051 | 4,472,426 | 0.1 |
3,430,000 | | Southern Co/The, 5.113%, 08/01/2027 | 3,461,703 | 0.1 |
1,208,000 | | Southwest Gas Corp., 4.050%, 03/15/2032 | 1,097,539 | 0.0 |
4,444,000 | | Southwestern Electric Power Co., 1.650%, 03/15/2026 | 4,051,528 | 0.1 |
1,709,000 | | Tampa Electric Co., 4.350%, 05/15/2044 | 1,568,203 | 0.0 |
3,186,000 | | Tucson Electric Power Co., 1.500%, 08/01/2030 | 2,545,021 | 0.0 |
1,568,000 | | Tucson Electric Power Co., 4.850%, 12/01/2048 | 1,510,208 | 0.0 |
2,260,000 | (2) | Union Electric Co., 3.900%, 09/15/2042 | 2,004,525 | 0.0 |
1,915,000 | (2) | Virginia Electric and Power Co., 3.450%, 09/01/2022 | 1,915,509 | 0.0 |
3,426,000 | | Virginia Electric and Power Co., 3.800%, 09/15/2047 | 2,948,833 | 0.0 |
1,930,000 | (1),(2) | Vistra Operations Co. LLC, 4.375%, 05/01/2029 | 1,620,360 | 0.0 |
3,934,000 | (1) | Vistra Operations Co. LLC, 5.125%, 05/13/2025 | 3,897,571 | 0.1 |
2,086,000 | | Washington Gas Light Co., 3.650%, 09/15/2049 | 1,731,504 | 0.0 |
4,673,000 | | WEC Energy Group, Inc., 1.375%, 10/15/2027 | 4,053,652 | 0.1 |
2,748,000 | (2) | WEC Energy Group, Inc., 2.200%, 12/15/2028 | 2,406,449 | 0.0 |
1,500,000 | (2) | Wisconsin Electric Power Co., 1.700%, 06/15/2028 | 1,308,130 | 0.0 |
3,590,000 | | Wisconsin Public Service Corp., 3.671%, 12/01/2042 | 3,051,812 | 0.1 |
| | | 350,719,638 | 4.2 |
| | | | |
| Total Corporate Bonds/Notes | | |
| (Cost $3,415,989,358) | 2,973,060,217 | 35.6 |
| | | |
COLLATERALIZED MORTGAGE OBLIGATIONS: 16.4% | |
1,779,743 | | Alternative Loan Trust 2004-J7 MI, 2.644%, (US0001M + 1.020%), 10/25/2034 | 1,786,359 | 0.0 |
457,357 | | Alternative Loan Trust 2005-65CB 2A4, 5.500%, 12/25/2035 | 362,794 | 0.0 |
558,896 | | Alternative Loan Trust 2005-6CB 1A3, 5.250%, 04/25/2035 | 501,504 | 0.0 |
1,129,369 | | Alternative Loan Trust 2005-J2 1A12, 2.024%, (US0001M + 0.400%), 04/25/2035 | 924,565 | 0.0 |
633,874 | | Alternative Loan Trust 2006-13T1 A9, 6.000%, 05/25/2036 | 349,894 | 0.0 |
124,871 | | Alternative Loan Trust 2006-18CB A10, 2.024%, (US0001M + 0.400%), 07/25/2036 | 59,352 | 0.0 |
745,267 | | Alternative Loan Trust 2006-19CB A28, 2.224%, (US0001M + 0.600%), 08/25/2036 | 394,721 | 0.0 |
890,597 | | Alternative Loan Trust 2007-23CB A3, 2.124%, (US0001M + 0.500%), 09/25/2037 | 418,912 | 0.0 |
1,984,373 | | Alternative Loan Trust 2007-2CB 2A1, 2.224%, (US0001M + 0.600%), 03/25/2037 | 948,158 | 0.0 |
858,055 | | Alternative Loan Trust 2007-3T1 1A11, 6.000%, 04/25/2037 | 466,397 | 0.0 |
774,019 | | Alternative Loan Trust 2007-8CB A3, 2.124%, (US0001M + 0.500%), 05/25/2037 | 400,950 | 0.0 |
1,600,610 | | American Home Mortgage Assets Trust 2007-4 A4, 2.204%, (US0001M + 0.290%), 08/25/2037 | 1,485,599 | 0.0 |
916,117 | (1),(3) | Arroyo Mortgage Trust 2019-3 A3, 3.416%, 10/25/2048 | 884,304 | 0.0 |
589,580 | | Banc of America Funding 2007-2 1A16 Trust, 2.224%, (US0001M + 0.600%), 03/25/2037 | 474,517 | 0.0 |
729,576 | (4) | Banc of America Mortgage 2007-2 A8 Trust, 6.000%, 05/25/2037 | 57,549 | 0.0 |
837,927 | (3) | Bear Stearns ALT-A Trust 2005-4 23A1, 2.752%, 05/25/2035 | 806,336 | 0.0 |
1,081,854 | (3) | Bear Stearns ALT-A Trust 2005-7 21A1, 2.944%, 09/25/2035 | 935,861 | 0.0 |
2,275,202 | | Bear Stearns Mortgage Funding Trust 2006-AR5 2A1, 1.814%, (US0001M + 0.190%), 01/25/2037 | 2,027,828 | 0.0 |
2,000,000 | (1) | Bellemeade Re 2019-1A M2 Ltd., 4.324%, (US0001M + 2.700%), 03/25/2029 | 1,969,441 | 0.0 |
13,147,000 | (1) | Bellemeade Re 2021-3 A M1C Ltd., 2.476%, (SOFR30A + 1.550%), 09/25/2031 | 11,873,910 | 0.2 |
1,000,000 | (1) | Bellemeade Re 2022-1 M1C Ltd., 4.626%, (SOFR30A + 3.700%), 01/26/2032 | 958,364 | 0.0 |
1,815,676 | (1),(3) | Chase Mortgage Finance Corp. 2019-1 B2, 3.913%, 03/25/2050 | 1,657,258 | 0.0 |
2,122,305 | (1),(3) | Chase Mortgage Finance Corp. 2019-1 B3, 3.913%, 03/25/2050 | 1,781,925 | 0.0 |
1,105,560 | (3) | CHL Mortgage Pass-Through Trust 2004-22 A3, 2.711%, 11/25/2034 | 1,065,968 | 0.0 |
469,214 | | CHL Mortgage Pass-Through Trust 2007-7 A7, 5.750%, 06/25/2037 | 276,442 | 0.0 |
880,119 | (1),(3) | CHNGE Mortgage Trust 2022-1 A1, 3.007%, 01/25/2067 | 832,566 | 0.0 |
137,725 | (1),(3) | CIM Trust 2019-INV1 A1, 4.000%, 02/25/2049 | 136,175 | 0.0 |
289,233 | (1),(3) | CIM Trust 2019-INV3 A3, 3.500%, 08/25/2049 | 276,950 | 0.0 |
2,819,713 | (1),(3) | CIM Trust 2019-J2 B2, 3.770%, 10/25/2049 | 2,594,416 | 0.0 |
939,904 | (1),(3) | CIM Trust 2019-J2 B3, 3.770%, 10/25/2049 | 861,419 | 0.0 |
2,600,000 | (1),(3) | CIM Trust 2019-R5 M2, 3.250%, 09/25/2059 | 2,371,554 | 0.0 |
3,152,310 | (1),(3) | CIM Trust 2020-J1 B3, 3.450%, 07/25/2050 | 2,745,903 | 0.1 |
744,275 | | Citicorp Mortgage Securities Trust Series 2006-3 1A4, 6.000%, 06/25/2036 | 690,212 | 0.0 |
671,990 | (3) | Citigroup Mortgage Loan Trust 2006-AR9 2A, 2.912%, 11/25/2036 | 589,927 | 0.0 |
325,900 | (3) | Citigroup Mortgage Loan Trust 2007-10 22AA, 3.396%, 09/25/2037 | 296,830 | 0.0 |
941,382 | (1),(3) | Citigroup Mortgage Loan Trust 2015-A B2, 4.500%, 06/25/2058 | 917,431 | 0.0 |
1,365,686 | (1),(3) | Citigroup Mortgage Loan Trust 2021-J2 B2W, 2.772%, 07/25/2051 | 1,128,825 | 0.0 |
1,534,937 | (1),(3) | Citigroup Mortgage Loan Trust 2021-J2 B3W, 2.772%, 07/25/2051 | 1,253,883 | 0.0 |
4,578,457 | (1) | Connecticut Avenue Securities Trust 2020-R02 2B1, 4.624%, (US0001M + 3.000%), 01/25/2040 | 3,973,495 | 0.1 |
2,685,347 | (1) | Connecticut Avenue Securities Trust 2020-R02 2M2, 3.624%, (US0001M + 2.000%), 01/25/2040 | 2,646,822 | 0.0 |
4,800,000 | (1) | Connecticut Avenue Securities Trust 2021-R01 1B1, 4.026%, (SOFR30A + 3.100%), 10/25/2041 | 4,132,552 | 0.1 |
2,000,000 | (1) | Connecticut Avenue Securities Trust 2021-R03 1B1, 3.676%, (SOFR30A + 2.750%), 12/25/2041 | 1,687,845 | 0.0 |
13,600,000 | (1) | Connecticut Avenue Securities Trust 2022-R01 1B1, 4.076%, (SOFR30A + 3.150%), 12/25/2041 | 11,666,982 | 0.2 |
1,500,000 | (1) | Connecticut Avenue Securities Trust 2022-R02 2B1, 5.426%, (SOFR30A + 4.500%), 01/25/2042 | 1,322,065 | 0.0 |
412,713 | | Countrywide Alternative Loan Trust 2005-53T2 2A6, 2.124%, (US0001M + 0.500%), 11/25/2035 | 214,706 | 0.0 |
881,857 | (1) | CSMC Series 2008-2R 1A1, 6.000%, 07/25/2037 | 788,452 | 0.0 |
810,905 | (1),(3) | CSMC Trust 2015-2 B3, 3.904%, 02/25/2045 | 784,745 | 0.0 |
58,446,912 | (3),(4) | Deutsche ALT-A Securities, Inc. ALT 07-AB1 X, 0.776%, 04/25/2037 | 2,164,140 | 0.0 |
5,000,000 | (1) | Eagle RE 2021-2 M1C Ltd., 4.376%, (SOFR30A + 3.450%), 04/25/2034 | 4,716,374 | 0.1 |
800,000 | (1) | Fannie Mae Connecticut Avenue Securities Trust 2020-SBT1 1M2, 5.274%, (US0001M + 3.650%), 02/25/2040 | 767,867 | 0.0 |
2,504,072 | (4) | Fannie Mae 2008-12 SC, 4.726%, (-1.000*US0001M + 6.350%), 03/25/2038 | 340,774 | 0.0 |
9,224,263 | | Fannie Mae 2011-99 CZ, 4.500%, 10/25/2041 | 9,528,485 | 0.1 |
461,273 | | Fannie Mae 2012-110 CA, 3.000%, 10/25/2042 | 441,278 | 0.0 |
5,919,751 | | Fannie Mae 2012-66 EP, 4.000%, 06/25/2042 | 5,991,707 | 0.1 |
1,427,013 | | Fannie Mae 2013-116 UB, 4.000%, 11/25/2043 | 1,392,982 | 0.0 |
1,990,877 | | Fannie Mae 2013-20 DL, 4.000%, 03/25/2033 | 2,009,497 | 0.0 |
16,388,562 | (4) | Fannie Mae 2016-82 SD, 4.426%, (-1.000*US0001M + 6.050%), 11/25/2046 | 1,990,215 | 0.0 |
700,761 | | Fannie Mae 2016-88 EA, 3.500%, 01/25/2045 | 703,260 | 0.0 |
10,104,602 | (4) | Fannie Mae 2018-86 US, 4.966%, (-1.000*US0001M + 6.590%), 09/25/2040 | 1,462,433 | 0.0 |
4,349,823 | | Fannie Mae Connecticut Avenue Securities, 7.324%, (US0001M + 5.700%), 04/25/2028 | 4,546,930 | 0.1 |
2,123,236 | | Fannie Mae Connecticut Avenue Securities 2015-C02 1M2, 5.624%, (US0001M + 4.000%), 05/25/2025 | 2,136,114 | 0.0 |
5,896,382 | | Fannie Mae Connecticut Avenue Securities 2015-C04 2M2, 7.174%, (US0001M + 5.550%), 04/25/2028 | 6,094,463 | 0.1 |
852,982 | | Fannie Mae Connecticut Avenue Securities 2015-CO1 1M2, 5.924%, (US0001M + 4.300%), 02/25/2025 | 862,596 | 0.0 |
286,315 | | Fannie Mae Connecticut Avenue Securities 2016-C01 2M2, 8.574%, (US0001M + 6.950%), 08/25/2028 | 300,283 | 0.0 |
1,912,370 | | Fannie Mae Connecticut Avenue Securities 2017-C01 1M2, 5.174%, (US0001M + 3.550%), 07/25/2029 | 1,954,717 | 0.0 |
3,333,595 | | Fannie Mae Connecticut Avenue Securities 2017-C03 1M2, 4.624%, (US0001M + 3.000%), 10/25/2029 | 3,366,007 | 0.1 |
9,221,084 | | Fannie Mae Connecticut Avenue Securities 2017-C04 2M2, 4.474%, (US0001M + 2.850%), 11/25/2029 | 9,253,560 | 0.1 |
5,367,005 | | Fannie Mae Connecticut Avenue Securities 2017-C07 2M2, 4.124%, (US0001M + 2.500%), 05/25/2030 | 5,359,045 | 0.1 |
6,935,372 | | Fannie Mae Connecticut Avenue Securities 2017-CO6 2M2, 4.424%, (US0001M + 2.800%), 02/25/2030 | 6,959,677 | 0.1 |
465,106 | | Fannie Mae Connecticut Avenue Securities 2018-C03 1M2, 3.774%, (US0001M + 2.150%), 10/25/2030 | 467,524 | 0.0 |
8,852,517 | | Fannie Mae Connecticut Avenue Securities 2018-C06 1M2, 3.624%, (US0001M + 2.000%), 03/25/2031 | 8,762,469 | 0.1 |
8,506,058 | | Fannie Mae Connecticut Avenue Securities 2018-C06 2M2, 3.724%, (US0001M + 2.100%), 03/25/2031 | 8,343,352 | 0.1 |
449,832 | (1) | Fannie Mae Connecticut Avenue Securities 2019-R02 1M2, 3.924%, (US0001M + 2.300%), 08/25/2031 | 449,941 | 0.0 |
2,500,000 | (1) | Fannie Mae Connecticut Avenue Securities 2021-R02 2B1, 4.226%, (SOFR30A + 3.300%), 11/25/2041 | 2,149,853 | 0.0 |
2,037,517 | (1) | Fannie Mae Connecticut Avenue Securities Trust 2019-R01 2M2, 4.074%, (US0001M + 2.450%), 07/25/2031 | 2,025,749 | 0.0 |
927,511 | (1) | Fannie Mae Connecticut Avenue Securities Trust 2019-R05 1B1, 5.724%, (US0001M + 4.100%), 07/25/2039 | 908,360 | 0.0 |
1,155,587 | (1) | Fannie Mae Connecticut Avenue Securities Trust 2020-R01 1M2, 3.674%, (US0001M + 2.050%), 01/25/2040 | 1,131,918 | 0.0 |
500,000 | (1) | Fannie Mae Connecticut Avenue Securities Trust 2020-SBT1 2M2, 5.274%, (US0001M + 3.650%), 02/25/2040 | 478,545 | 0.0 |
5,596 | | Fannie Mae Grantor Trust 1998-T2 A6, 0.030%, (US0001M + 0.550%), 01/25/2032 | 5,557 | 0.0 |
135,448 | (4) | Fannie Mae Interest Strip Series 418 20, 3.000%, 05/25/2043 | 17,177 | 0.0 |
588,460 | (4) | Fannie Mae Interest Strip Series 418 59, 3.000%, 08/25/2028 | 30,371 | 0.0 |
72,720 | | Fannie Mae REMIC Trust 1999-33 Z, 6.000%, 07/25/2029 | 75,424 | 0.0 |
18,922 | (4) | Fannie Mae REMIC Trust 1999-6 SE, 6.162%, (-1.000*US0001M + 7.685%), 02/17/2029 | 335 | 0.0 |
735,960 | | Fannie Mae REMIC Trust 2003-105 AZ, 5.500%, 10/25/2033 | 782,833 | 0.0 |
279,442 | | Fannie Mae REMIC Trust 2003-45 FJ, 2.562%, (US0001M + 1.500%), 06/25/2033 | 290,773 | 0.0 |
911,427 | (4) | Fannie Mae REMIC Trust 2003-66 SA, 6.026%, (-1.000*US0001M + 7.650%), 07/25/2033 | 147,811 | 0.0 |
185,236 | (4) | Fannie Mae REMIC Trust 2003-74 IO, 6.000%, 08/25/2033 | 39,891 | 0.0 |
416,578 | | Fannie Mae REMIC Trust 2003-84 PZ, 5.000%, 09/25/2033 | 433,647 | 0.0 |
670,708 | | Fannie Mae REMIC Trust 2004-50 VZ, 5.500%, 07/25/2034 | 710,994 | 0.0 |
14,481 | | Fannie Mae REMIC Trust 2004-56 FE, 2.074%, (US0001M + 0.450%), 10/25/2033 | 14,485 | 0.0 |
342,022 | | Fannie Mae REMIC Trust 2004-7 Z, 5.500%, 02/25/2034 | 358,857 | 0.0 |
657,912 | | Fannie Mae REMIC Trust 2004-75 ZG, 4.500%, 10/25/2034 | 678,447 | 0.0 |
1,915,797 | | Fannie Mae REMIC Trust 2005-25 Z, 5.000%, 04/25/2035 | 1,993,163 | 0.0 |
87,049 | | Fannie Mae REMIC Trust 2006-104 ES, 25.332%, (-5.000*US0001M + 33.450%), 11/25/2036 | 134,640 | 0.0 |
1,506,867 | (4) | Fannie Mae REMIC Trust 2006-12 SD, 5.126%, (-1.000*US0001M + 6.750%), 10/25/2035 | 155,613 | 0.0 |
511,651 | (4) | Fannie Mae REMIC Trust 2006-123 UI, 5.116%, (-1.000*US0001M + 6.740%), 01/25/2037 | 84,594 | 0.0 |
91,318 | (4) | Fannie Mae REMIC Trust 2006-72 HS, 5.076%, (-1.000*US0001M + 6.700%), 08/25/2026 | 5,218 | 0.0 |
16,011 | | Fannie Mae REMIC Trust 2007-10 Z, 6.000%, 02/25/2037 | 17,276 | 0.0 |
2,474,256 | (4) | Fannie Mae REMIC Trust 2007-91 AS, 4.776%, (-1.000*US0001M + 6.400%), 10/25/2037 | 390,908 | 0.0 |
1,134,122 | | Fannie Mae REMIC Trust 2009-19 PW, 4.500%, 10/25/2036 | 1,161,559 | 0.0 |
5,225,702 | (3) | Fannie Mae REMIC Trust 2009-50 HZ, 5.536%, 02/25/2049 | 5,532,629 | 0.1 |
1,176,876 | (4) | Fannie Mae REMIC Trust 2009-90 TS, 4.526%, (-1.000*US0001M + 6.150%), 11/25/2039 | 150,303 | 0.0 |
569,821 | (4) | Fannie Mae REMIC Trust 2010-118 GS, 4.326%, (-1.000*US0001M + 5.950%), 10/25/2039 | 9,655 | 0.0 |
3,085,020 | (4) | Fannie Mae REMIC Trust 2010-123 SL, 4.446%, (-1.000*US0001M + 6.070%), 11/25/2040 | 318,512 | 0.0 |
3,775,362 | (4) | Fannie Mae REMIC Trust 2010-41 SB, 4.776%, (-1.000*US0001M + 6.400%), 05/25/2040 | 470,338 | 0.0 |
951,661 | (4) | Fannie Mae REMIC Trust 2010-43 VS, 4.826%, (-1.000*US0001M + 6.450%), 05/25/2040 | 111,832 | 0.0 |
5,366,512 | | Fannie Mae REMIC Trust 2010-59 PC, 5.000%, 06/25/2040 | 5,572,266 | 0.1 |
726,560 | (4) | Fannie Mae REMIC Trust 2011-102 SA, 4.976%, (-1.000*US0001M + 6.600%), 10/25/2041 | 98,713 | 0.0 |
2,207,179 | | Fannie Mae REMIC Trust 2011-30 ZA, 5.000%, 04/25/2041 | 2,276,062 | 0.0 |
1,887,532 | (4) | Fannie Mae REMIC Trust 2011-93 GS, 4.926%, (-1.000*US0001M + 6.550%), 04/25/2039 | 260,980 | 0.0 |
3,385,384 | (4) | Fannie Mae REMIC Trust 2012-122 SB, 4.526%, (-1.000*US0001M + 6.150%), 11/25/2042 | 566,332 | 0.0 |
1,880,829 | (4) | Fannie Mae REMIC Trust 2012-128 LI, 3.500%, 06/25/2042 | 129,127 | 0.0 |
4,386,060 | (4) | Fannie Mae REMIC Trust 2012-133 AS, 4.576%, (-1.000*US0001M + 6.200%), 10/25/2042 | 532,163 | 0.0 |
639,319 | (4) | Fannie Mae REMIC Trust 2012-149 GI, 3.500%, 06/25/2042 | 58,089 | 0.0 |
542,032 | (4) | Fannie Mae REMIC Trust 2012-15 SP, 4.996%, (-1.000*US0001M + 6.620%), 06/25/2040 | 9,167 | 0.0 |
1,008,993 | (4) | Fannie Mae REMIC Trust 2012-24 HS, 4.926%, (-1.000*US0001M + 6.550%), 09/25/2040 | 54,984 | 0.0 |
1,129,921 | (4) | Fannie Mae REMIC Trust 2012-30 QS, 4.976%, (-1.000*US0001M + 6.600%), 04/25/2031 | 26,429 | 0.0 |
620,508 | (4) | Fannie Mae REMIC Trust 2012-68 YS, 5.076%, (-1.000*US0001M + 6.700%), 07/25/2042 | 77,672 | 0.0 |
1,251,724 | (4) | Fannie Mae REMIC Trust 2013-26 JS, 4.576%, (-1.000*US0001M + 6.200%), 10/25/2032 | 103,921 | 0.0 |
4,828,576 | (4) | Fannie Mae REMIC Trust 2013-60 DS, 4.576%, (-1.000*US0001M + 6.200%), 06/25/2033 | 527,895 | 0.0 |
4,839,863 | (4) | Fannie Mae REMIC Trust 2013-9 SM, 4.626%, (-1.000*US0001M + 6.250%), 02/25/2033 | 483,932 | 0.0 |
1,253,555 | (4) | Fannie Mae REMIC Trust 2014-17 DS, 4.576%, (-1.000*US0001M + 6.200%), 02/25/2043 | 60,169 | 0.0 |
1,117,848 | (4) | Fannie Mae REMIC Trust 2014-28 BS, 4.576%, (-1.000*US0001M + 6.200%), 08/25/2043 | 82,985 | 0.0 |
30,319,689 | (4) | Fannie Mae REMIC Trust 2015-79 SA, 4.626%, (-1.000*US0001M + 6.250%), 11/25/2045 | 3,893,991 | 0.1 |
12,382,971 | (4) | Fannie Mae REMIC Trust 2015-9 IO, 5.500%, 03/25/2045 | 2,610,993 | 0.0 |
20,296,871 | (4) | Fannie Mae REMICS 16-60 SB, 4.476%, (-1.000*US0001M + 6.100%), 09/25/2046 | 2,400,811 | 0.0 |
71,508 | (4) | Fannie Mae REMICS 1997-18 SG, 6.577%, (-1.000*US0001M + 8.100%), 03/17/2027 | 3,320 | 0.0 |
20,628 | (4) | Fannie Mae REMICS 1997-91 FC, 0.000%, (US0001M + (8.500)%), 11/25/2023 | 6 | 0.0 |
36 | (4) | Fannie Mae REMICS 1999-57 SC, 8.227%, (-1.000*US0001M + 9.750%), 11/17/2029 | 2 | 0.0 |
194,644 | (4) | Fannie Mae REMICS 2001-72 SC, 1.000%, (-1.000*US0001M + 8.500%), 12/25/2031 | 6,471 | 0.0 |
43,817 | (4) | Fannie Mae REMICS 2001-8 SK, 7.155%, (-1.000*US0001M + 8.750%), 03/18/2031 | 2,609 | 0.0 |
383,359 | (4) | Fannie Mae REMICS 2003-49 SW, 5.376%, (-1.000*US0001M + 7.000%), 01/25/2033 | 52,547 | 0.0 |
3,423,618 | (4) | Fannie Mae REMICS 2004-54 SN, 5.426%, (-1.000*US0001M + 7.050%), 07/25/2034 | 458,573 | 0.0 |
6,665,095 | (4) | Fannie Mae REMICS 2005-75 ES, 4.426%, (-1.000*US0001M + 6.050%), 09/25/2035 | 814,614 | 0.0 |
632,508 | (4) | Fannie Mae REMICS 2005-75 SP, 5.126%, (-1.000*US0001M + 6.750%), 08/25/2035 | 61,157 | 0.0 |
1,741,126 | (4) | Fannie Mae REMICS 2006-56 SM, 5.126%, (-1.000*US0001M + 6.750%), 07/25/2036 | 209,967 | 0.0 |
415,106 | (4) | Fannie Mae REMICS 2007-21 SB, 4.776%, (-1.000*US0001M + 6.400%), 03/25/2037 | 22,828 | 0.0 |
1,082,424 | (4) | Fannie Mae REMICS 2007-52 NS, 4.826%, (-1.000*US0001M + 6.450%), 06/25/2037 | 151,700 | 0.0 |
858,565 | (4) | Fannie Mae REMICS 2007-85 SM, 4.836%, (-1.000*US0001M + 6.460%), 09/25/2037 | 120,548 | 0.0 |
284,580 | | Fannie Mae REMICS 2008-16 Z, 5.500%, 03/25/2038 | 298,502 | 0.0 |
5,328,712 | (4) | Fannie Mae REMICS 2009-66 SP, 4.476%, (-1.000*US0001M + 6.100%), 09/25/2039 | 601,296 | 0.0 |
3,443,721 | (4) | Fannie Mae REMICS 2010-1 S, 4.626%, (-1.000*US0001M + 6.250%), 02/25/2040 | 490,056 | 0.0 |
5,370,325 | (4) | Fannie Mae REMICS 2010-150 SJ, 4.856%, (-1.000*US0001M + 6.480%), 01/25/2041 | 782,750 | 0.0 |
1,011,805 | (4) | Fannie Mae REMICS 2010-35 CS, 4.826%, (-1.000*US0001M + 6.450%), 04/25/2050 | 107,274 | 0.0 |
968,484 | | Fannie Mae REMICS 2011-10 ZC, 5.000%, 02/25/2041 | 1,016,732 | 0.0 |
5,729,116 | | Fannie Mae REMICS 2011-101 DB, 4.000%, 10/25/2041 | 5,773,184 | 0.1 |
3,151,411 | | Fannie Mae REMICS 2011-116 ZA, 3.500%, 11/25/2041 | 3,087,271 | 0.1 |
71,670 | | Fannie Mae REMICS 2011-127 UY, 3.500%, 12/25/2041 | 68,547 | 0.0 |
6,004,509 | | Fannie Mae REMICS 2011-136 PZ, 4.000%, 01/25/2042 | 6,065,724 | 0.1 |
6,876,419 | (4) | Fannie Mae REMICS 2011-47 GS, 4.306%, (-1.000*US0001M + 5.930%), 06/25/2041 | 736,684 | 0.0 |
2,095,248 | | Fannie Mae REMICS 2011-8 ZA, 4.000%, 02/25/2041 | 2,126,318 | 0.0 |
4,266,990 | | Fannie Mae REMICS 2011-84 Z, 5.250%, 09/25/2041 | 4,502,607 | 0.1 |
6,530,310 | | Fannie Mae REMICS 2011-87 GB, 4.500%, 09/25/2041 | 6,873,337 | 0.1 |
2,084,299 | (4) | Fannie Mae REMICS 2012-111 SL, 4.476%, (-1.000*US0001M + 6.100%), 05/25/2041 | 249,545 | 0.0 |
3,838,402 | | Fannie Mae REMICS 2012-111 ZK, 3.500%, 10/25/2042 | 3,736,155 | 0.1 |
4,261,326 | (4) | Fannie Mae REMICS 2012-120 WI, 3.000%, 11/25/2027 | 224,607 | 0.0 |
10,039,867 | | Fannie Mae REMICS 2012-15 PZ, 4.000%, 03/25/2042 | 10,039,402 | 0.1 |
5,022,043 | | Fannie Mae REMICS 2012-17 QZ, 4.000%, 03/25/2042 | 5,057,532 | 0.1 |
3,688,761 | | Fannie Mae REMICS 2012-2 HE, 4.000%, 02/25/2042 | 3,754,425 | 0.1 |
997,759 | | Fannie Mae REMICS 2012-30 AB, 4.000%, 04/25/2042 | 1,014,383 | 0.0 |
1,443,558 | | Fannie Mae REMICS 2012-33 BW, 4.000%, 04/25/2042 | 1,409,791 | 0.0 |
3,492 | | Fannie Mae REMICS 2012-44 KW, 3.500%, 05/25/2032 | 3,817 | 0.0 |
2,054,262 | | Fannie Mae REMICS 2012-55 PC, 3.500%, 05/25/2042 | 2,031,663 | 0.0 |
8,396,000 | | Fannie Mae REMICS 2012-63 MW, 4.000%, 05/25/2034 | 8,375,738 | 0.1 |
500,000 | | Fannie Mae REMICS 2012-80 MY, 3.250%, 08/25/2042 | 470,530 | 0.0 |
15,686,449 | | Fannie Mae REMICS 2012-94 LZ, 3.500%, 09/25/2042 | 15,326,084 | 0.2 |
2,700,000 | | Fannie Mae REMICS 2013-111 BA, 3.000%, 11/25/2033 | 2,645,420 | 0.0 |
1,403,000 | | Fannie Mae REMICS 2013-13 BE, 4.000%, 03/25/2043 | 1,460,956 | 0.0 |
191,910 | | Fannie Mae REMICS 2013-16 GD, 3.000%, 03/25/2033 | 189,692 | 0.0 |
4,621,445 | (4) | Fannie Mae REMICS 2013-40 LS, 4.526%, (-1.000*US0001M + 6.150%), 05/25/2043 | 657,949 | 0.0 |
5,632,997 | (4) | Fannie Mae REMICS 2013-70 BI, 3.000%, 07/25/2033 | 558,395 | 0.0 |
3,894,522 | | Fannie Mae REMICS 2013-70 JZ, 3.000%, 07/25/2043 | 3,626,829 | 0.1 |
7,147,146 | (4) | Fannie Mae REMICS 2014-15 SB, 5.026%, (-1.000*US0001M + 6.650%), 04/25/2044 | 1,207,437 | 0.0 |
970,000 | | Fannie Mae REMICS 2014-61 PY, 3.500%, 10/25/2044 | 917,601 | 0.0 |
7,570,203 | (4) | Fannie Mae REMICS 2014-70 IO, 5.500%, 10/25/2044 | 1,425,366 | 0.0 |
28,796,236 | (4) | Fannie Mae REMICS 2014-79 KS, 4.526%, (-1.000*US0001M + 6.150%), 12/25/2044 | 4,172,963 | 0.1 |
17,880,732 | | Fannie Mae REMICS 2015-20 EZ, 3.500%, 04/25/2045 | 17,449,309 | 0.2 |
4,890,430 | (4) | Fannie Mae REMICS 2015-56 IC, 6.000%, 08/25/2045 | 898,041 | 0.0 |
2,000,000 | | Fannie Mae REMICS 2015-67 AV, 3.500%, 01/25/2036 | 1,988,361 | 0.0 |
4,477,500 | | Fannie Mae REMICS 2015-67 QV, 3.000%, 12/25/2040 | 4,447,064 | 0.1 |
2,031,042 | (4) | Fannie Mae REMICS 2015-76 PI, 6.000%, 09/25/2045 | 349,509 | 0.0 |
17,206,508 | (4) | Fannie Mae REMICS 2015-86 BS, 4.076%, (-1.000*US0001M + 5.700%), 11/25/2045 | 1,622,169 | 0.0 |
28,097,540 | (4) | Fannie Mae REMICS 2015-88 IO, 6.500%, 12/25/2045 | 6,857,859 | 0.1 |
6,072,043 | (4) | Fannie Mae REMICS 2015-97 BI, 5.500%, 01/25/2046 | 1,112,707 | 0.0 |
3,898,247 | (4) | Fannie Mae REMICS 2016-104 BI, 6.000%, 01/25/2047 | 867,908 | 0.0 |
6,095,684 | (4) | Fannie Mae REMICS 2016-52 MI, 4.000%, 12/25/2045 | 983,743 | 0.0 |
26,640,233 | (4) | Fannie Mae REMICS 2016-81 CS, 4.476%, (-1.000*US0001M + 6.100%), 11/25/2046 | 2,718,409 | 0.1 |
407,396 | | Fannie Mae REMICS 2016-9 D, 3.000%, 03/25/2046 | 389,181 | 0.0 |
22,096,110 | (4) | Fannie Mae REMICS 2017-10 SA, 4.476%, (-1.000*US0001M + 6.100%), 03/25/2047 | 2,432,302 | 0.0 |
4,826,777 | | Fannie Mae REMICS 2017-108 ZD, 3.000%, 01/25/2048 | 4,217,029 | 0.1 |
5,427,188 | | Fannie Mae REMICS 2017-54 D, 3.000%, 07/25/2047 | 5,175,864 | 0.1 |
30,124,895 | (4) | Fannie Mae REMICS 2018-15 SC, 4.676%, (-1.000*US0001M + 6.300%), 03/25/2048 | 3,882,334 | 0.1 |
4,391,627 | | Fannie Mae REMICS 2018-26 A, 3.500%, 04/25/2048 | 4,257,477 | 0.1 |
1,260,734 | | Fannie Mae REMICS 2018-38 LA, 3.000%, 06/25/2048 | 1,206,579 | 0.0 |
13,061,102 | | Fannie Mae REMICS 2018-73 AB, 3.000%, 10/25/2048 | 12,491,474 | 0.2 |
1,374,302 | | Fannie Mae REMICS 2018-8 AB, 3.500%, 10/25/2047 | 1,325,459 | 0.0 |
38,070,131 | (4) | Fannie Mae REMICS 2018-82 SA, 4.576%, (-1.000*US0001M + 6.200%), 11/25/2048 | 4,795,582 | 0.1 |
8,844,010 | (4) | Fannie Mae REMICS 2018-86 AS, 4.576%, (-1.000*US0001M + 6.200%), 12/25/2048 | 1,053,529 | 0.0 |
38,373,709 | (4) | Fannie Mae REMICS 2018-86 SM, 4.576%, (-1.000*US0001M + 6.200%), 12/25/2048 | 4,442,321 | 0.1 |
32,037,133 | (4) | Fannie Mae REMICS 2018-91 SB, 4.476%, (-1.000*US0001M + 6.100%), 12/25/2058 | 4,991,289 | 0.1 |
10,984,886 | (4) | Fannie Mae REMICS 2019-21 AI, 5.000%, 05/25/2059 | 2,910,826 | 0.1 |
10,792,649 | (4) | Fannie Mae REMICS 2019-30 SB, 4.476%, (-1.000*US0001M + 6.100%), 07/25/2049 | 1,698,522 | 0.0 |
16,577,135 | (4) | Fannie Mae REMICS 2019-34 BS, 4.426%, (-1.000*US0001M + 6.050%), 07/25/2049 | 2,317,104 | 0.0 |
9,190,422 | (4) | Fannie Mae REMICS 2019-39 SA, 4.476%, (-1.000*US0001M + 6.100%), 08/25/2049 | 1,307,813 | 0.0 |
58,576,881 | (4) | Fannie Mae REMICS 2019-41 S, 4.376%, (-1.000*US0001M + 6.000%), 08/25/2059 | 7,015,981 | 0.1 |
5,880,247 | (4) | Fannie Mae REMICS 2019-47 SB, 4.476%, (-1.000*US0001M + 6.100%), 05/25/2040 | 877,230 | 0.0 |
25,506,500 | (4) | Fannie Mae REMICS 2020-35 IO, 5.000%, 06/25/2050 | 4,320,439 | 0.1 |
24,656,494 | (4) | Fannie Mae REMICS 2020-44 DI, 2.500%, 07/25/2050 | 3,422,854 | 0.1 |
11,966,307 | (4) | Fannie Mae REMICS 2020-44 EI, 3.500%, 09/25/2042 | 1,808,971 | 0.0 |
54,345,367 | (4) | Fannie Mae REMICS 2021-1 BI, 3.000%, 02/25/2049 | 8,870,479 | 0.1 |
153,226,401 | (4) | Fannie Mae REMICS 2021-10 AI, 3.000%, 03/25/2041 | 18,064,504 | 0.2 |
33,315,966 | (4) | Fannie Mae REMICS 2021-22 BI, 4.000%, 04/25/2051 | 6,435,842 | 0.1 |
46,226,446 | (4) | Fannie Mae REMICS 2021-41 MI, 5.000%, 06/25/2048 | 8,886,859 | 0.1 |
42,850,422 | (4) | Fannie Mae REMICS 2021-55 SA, 2.224%, (-1.000*SOFR30A + 3.150%), 08/25/2061 | 1,361,658 | 0.0 |
92,452,979 | (4) | Fannie Mae REMICS 2021-77 AI, 3.500%, 11/25/2051 | 19,272,961 | 0.2 |
30,223,641 | (4) | Fannie Mae REMICS 2021-8 TI, 4.000%, 03/25/2051 | 5,861,256 | 0.1 |
18,443,416 | (4) | Fannie Mae REMICS 2021-81 LI, 2.500%, 11/25/2051 | 2,997,149 | 0.1 |
75,387,271 | (4) | Fannie Mae REMICS 2021-93 AI, 3.000%, 01/25/2052 | 12,373,660 | 0.2 |
17,860,565 | | Fannie Mae REMICS 2022-5 CZ, 2.500%, 02/25/2052 | 13,139,073 | 0.2 |
1,179 | | Fannie Mae REMICS G93-35 ZQ, 6.500%, 11/25/2023 | 1,193 | 0.0 |
1,984,122 | | Fannie Mae REMICS Trust 2010-53 JZ, 5.000%, 07/25/2040 | 1,933,675 | 0.0 |
19,033,993 | (4) | Fannie Mae Series 2013-44 DI, 3.000%, 05/25/2033 | 1,882,363 | 0.0 |
1,084,272 | (4) | Fannie Mae Series 2013-72 YS, 4.526%, (-1.000*US0001M + 6.150%), 07/25/2033 | 120,186 | 0.0 |
35,820 | (4) | FHLMC-GNMA 20 S, 7.276%, (-1.000*US0001M + 8.900%), 10/25/2023 | 1,060 | 0.0 |
541,491 | | First Horizon Alternative Mortgage Securities Trust 2006-FA8 1A11, 6.000%, 02/25/2037 | 266,136 | 0.0 |
1,086,903 | (1),(3) | First Republic Mortgage Trust 2020-1 B2, 2.880%, 04/25/2050 | 931,705 | 0.0 |
1,800,103 | (1),(3) | Flagstar Mortgage Trust 2018-1 B1, 3.961%, 03/25/2048 | 1,670,404 | 0.0 |
2,347,334 | (1),(3) | Flagstar Mortgage Trust 2018-1 B3, 3.961%, 03/25/2048 | 2,153,530 | 0.0 |
1,204,631 | (1),(3) | Flagstar Mortgage Trust 2018-2 B2, 4.006%, 04/25/2048 | 1,114,546 | 0.0 |
887,003 | (1),(3) | Flagstar Mortgage Trust 2018-3INV A3, 4.000%, 05/25/2048 | 867,192 | 0.0 |
914,864 | (1),(3) | Flagstar Mortgage Trust 2018-4 B3, 4.249%, 07/25/2048 | 838,846 | 0.0 |
1,732,987 | (1),(3) | Flagstar Mortgage Trust 2018-5 B3, 4.479%, 09/25/2048 | 1,633,895 | 0.0 |
2,886,300 | (1),(3) | Flagstar Mortgage Trust 2018-6RR B3, 4.920%, 10/25/2048 | 2,747,223 | 0.1 |
1,443,079 | (1),(3) | Flagstar Mortgage Trust 2019-2 B1, 4.038%, 12/25/2049 | 1,320,499 | 0.0 |
1,399,493 | (1),(3) | Flagstar Mortgage Trust 2019-2 B2, 4.038%, 12/25/2049 | 1,260,553 | 0.0 |
1,967,540 | (1),(3) | Flagstar Mortgage Trust 2020-1NV B1A, 4.229%, 03/25/2050 | 1,758,224 | 0.0 |
2,381,557 | (1),(3) | Flagstar Mortgage Trust 2020-1NV B2A, 4.229%, 03/25/2050 | 2,123,629 | 0.0 |
10,928,081 | | Freddie Mac 326 350, 3.500%, 03/15/2044 | 10,567,872 | 0.1 |
6,414,389 | (4) | Freddie Mac 3510 AS, 5.086%, (-1.000*US0001M + 6.410%), 04/15/2037 | 861,256 | 0.0 |
4,239,261 | (4) | Freddie Mac 4191 SA, 4.876%, (-1.000*US0001M + 6.200%), 03/15/2043 | 468,011 | 0.0 |
4,700,510 | | Freddie Mac 4316 XZ, 4.500%, 03/15/2044 | 4,786,158 | 0.1 |
488,891 | | Freddie Mac Reference Series R007 ZA, 6.000%, 05/15/2036 | 526,594 | 0.0 |
209,029 | | Freddie Mac Reference Series R008 ZA, 6.000%, 07/15/2036 | 224,199 | 0.0 |
59,231 | | Freddie Mac REMIC Trust 2110 PG, 6.000%, 01/15/2029 | 62,386 | 0.0 |
55,976 | | Freddie Mac REMIC Trust 2114 ZM, 6.000%, 01/15/2029 | 58,709 | 0.0 |
395,522 | | Freddie Mac REMIC Trust 2143 ZB, 6.000%, 04/15/2029 | 421,444 | 0.0 |
7,857 | | Freddie Mac REMIC Trust 2528 KM, 5.500%, 11/15/2022 | 7,876 | 0.0 |
173,501 | | Freddie Mac REMIC Trust 2541 NE, 5.500%, 12/15/2032 | 184,340 | 0.0 |
52,857 | (4) | Freddie Mac REMIC Trust 2594 IY, 6.000%, 04/15/2033 | 10,524 | 0.0 |
369,045 | | Freddie Mac REMIC Trust 2845 QH, 5.000%, 08/15/2034 | 384,879 | 0.0 |
73,177 | | Freddie Mac REMIC Trust 2861 Z, 5.500%, 09/15/2034 | 77,289 | 0.0 |
124,661 | | Freddie Mac REMIC Trust 2930 ZL, 5.000%, 02/15/2035 | 130,059 | 0.0 |
187,944 | | Freddie Mac REMIC Trust 2931 ZY, 5.000%, 02/15/2035 | 196,819 | 0.0 |
4,076,761 | (4) | Freddie Mac REMIC Trust 3045 DI, 5.406%, (-1.000*US0001M + 6.730%), 10/15/2035 | 515,087 | 0.0 |
698,364 | | Freddie Mac REMIC Trust 3117 ZA, 5.500%, 02/15/2036 | 734,246 | 0.0 |
734,650 | (4) | Freddie Mac REMIC Trust 3171 PS, 5.161%, (-1.000*US0001M + 6.485%), 06/15/2036 | 74,834 | 0.0 |
4,306,120 | (4) | Freddie Mac REMIC Trust 3199 S, 5.126%, (-1.000*US0001M + 6.450%), 08/15/2036 | 586,277 | 0.0 |
327,531 | | Freddie Mac REMIC Trust 3351 ZC, 5.500%, 07/15/2037 | 342,985 | 0.0 |
95,899 | | Freddie Mac REMIC Trust 3394 ZY, 6.000%, 11/15/2037 | 103,060 | 0.0 |
182,955 | (3),(4) | Freddie Mac REMIC Trust 3524 LA, 4.958%, 03/15/2033 | 180,853 | 0.0 |
14,817 | | Freddie Mac REMIC Trust 3556 NT, 4.424%, (US0001M + 3.100%), 03/15/2038 | 15,012 | 0.0 |
3,789,348 | | Freddie Mac REMIC Trust 3639 ZN, 5.500%, 12/15/2034 | 4,039,530 | 0.1 |
328,942 | | Freddie Mac REMIC Trust 3662 ZB, 5.500%, 08/15/2036 | 351,494 | 0.0 |
244,434 | | Freddie Mac REMIC Trust 3724 CM, 5.500%, 06/15/2037 | 256,278 | 0.0 |
819,718 | (4) | Freddie Mac REMIC Trust 3856 KS, 5.226%, (-1.000*US0001M + 6.550%), 05/15/2041 | 105,145 | 0.0 |
337,871 | (4) | Freddie Mac REMIC Trust 3925 SD, 4.726%, (-1.000*US0001M + 6.050%), 07/15/2040 | 15,702 | 0.0 |
1,552,517 | (4) | Freddie Mac REMIC Trust 3925 SL, 4.726%, (-1.000*US0001M + 6.050%), 01/15/2041 | 62,821 | 0.0 |
165,578 | | Freddie Mac REMIC Trust 4000 PA, 4.500%, 01/15/2042 | 170,154 | 0.0 |
96,361 | (4) | Freddie Mac REMIC Trust 4027 QI, 4.500%, 12/15/2040 | 794 | 0.0 |
779,418 | (4) | Freddie Mac REMIC Trust 4088 CS, 4.676%, (-1.000*US0001M + 6.000%), 08/15/2042 | 101,385 | 0.0 |
4,576,129 | (4) | Freddie Mac REMIC Trust 4161 WI, 3.000%, 02/15/2033 | 445,430 | 0.0 |
2,173,261 | (4) | Freddie Mac REMIC Trust 4194 GI, 4.000%, 04/15/2043 | 324,490 | 0.0 |
2,708,941 | | Freddie Mac REMIC Trust 4203 BN, 3.000%, 04/15/2033 | 2,642,024 | 0.0 |
1,129,653 | | Freddie Mac REMIC Trust 4246 ZX, 4.500%, 04/15/2041 | 1,167,230 | 0.0 |
941,742 | (4) | Freddie Mac REMIC Trust 4293 KI, 4.500%, 08/15/2043 | 117,599 | 0.0 |
5,458,669 | | Freddie Mac REMIC Trust 4335 ZX, 4.250%, 05/15/2044 | 5,520,371 | 0.1 |
7,327,199 | | Freddie Mac REMIC Trust 435 XZ, 4.250%, 05/15/2044 | 7,337,807 | 0.1 |
849,345 | | Freddie Mac REMIC Trust 4370 AD, 3.000%, 08/15/2040 | 848,121 | 0.0 |
2,872,346 | (4) | Freddie Mac REMIC Trust 4386 LS, 4.776%, (-1.000*US0001M + 6.100%), 09/15/2044 | 360,647 | 0.0 |
24,884,291 | (4) | Freddie Mac REMIC Trust 5103 HI, 4.000%, 05/25/2051 | 5,159,118 | 0.1 |
9,346 | (4) | Freddie Mac REMICS 2074 S, 7.177%, (-1.000*US0001M + 8.700%), 07/17/2028 | 197 | 0.0 |
7,436 | (4) | Freddie Mac REMICS 2232 SA, 7.077%, (-1.000*US0001M + 8.600%), 05/17/2030 | 304 | 0.0 |
9,381 | (4) | Freddie Mac REMICS 2301 SP, 7.926%, (-1.000*US0001M + 9.250%), 04/15/2031 | 595 | 0.0 |
57,527 | (4) | Freddie Mac REMICS 2953 LS, 5.376%, (-1.000*US0001M + 6.700%), 12/15/2034 | 181 | 0.0 |
581,454 | (4) | Freddie Mac REMICS 2993 GS, 4.826%, (-1.000*US0001M + 6.150%), 06/15/2025 | 16,492 | 0.0 |
610,263 | (4) | Freddie Mac REMICS 3006 SI, 5.416%, (-1.000*US0001M + 6.740%), 07/15/2035 | 85,447 | 0.0 |
638,817 | (4) | Freddie Mac REMICS 3006 YI, 5.416%, (-1.000*US0001M + 6.740%), 07/15/2035 | 86,490 | 0.0 |
3,812,331 | (4) | Freddie Mac REMICS 3213 JS, 5.876%, (-1.000*US0001M + 7.200%), 09/15/2036 | 673,158 | 0.0 |
7,916,421 | (4) | Freddie Mac REMICS 3346 SC, 5.226%, (-1.000*US0001M + 6.550%), 10/15/2033 | 937,881 | 0.0 |
945,877 | (4) | Freddie Mac REMICS 3375 QI, 0.600%, (-10.000*US0001M + 64.600%), 10/15/2037 | 22,899 | 0.0 |
6,306,668 | (4) | Freddie Mac REMICS 3629 CS, 5.026%, (-1.000*US0001M + 6.350%), 01/15/2040 | 839,840 | 0.0 |
2,333,505 | | Freddie Mac REMICS 3736 ZP, 4.000%, 10/15/2040 | 2,317,359 | 0.0 |
1,717,368 | | Freddie Mac REMICS 3740 KE, 4.000%, 10/15/2040 | 1,705,188 | 0.0 |
21,723,137 | | Freddie Mac REMICS 3753 KZ, 4.500%, 11/15/2040 | 22,474,427 | 0.3 |
4,201,395 | | Freddie Mac REMICS 3775 GZ, 4.500%, 12/15/2040 | 4,058,599 | 0.1 |
1,900,000 | | Freddie Mac REMICS 3820 NC, 4.500%, 03/15/2041 | 1,965,303 | 0.0 |
794,363 | | Freddie Mac REMICS 3843 JZ, 5.100%, 04/15/2041 | 866,614 | 0.0 |
421,047 | | Freddie Mac REMICS 3848 WX, 5.000%, 04/15/2041 | 444,333 | 0.0 |
2,650,000 | | Freddie Mac REMICS 3890 ME, 5.000%, 07/15/2041 | 2,803,048 | 0.1 |
2,255,381 | | Freddie Mac REMICS 3893 PU, 4.000%, 07/15/2041 | 2,278,856 | 0.0 |
4,327,467 | | Freddie Mac REMICS 3919 BY, 4.000%, 09/15/2041 | 4,366,953 | 0.1 |
8,429,888 | | Freddie Mac REMICS 3919 ZB, 4.000%, 09/15/2041 | 8,414,758 | 0.1 |
3,575,592 | | Freddie Mac REMICS 3923 GY, 4.000%, 09/15/2041 | 3,608,340 | 0.1 |
1,493,851 | | Freddie Mac REMICS 3934 CB, 4.000%, 10/15/2041 | 1,522,798 | 0.0 |
420,000 | | Freddie Mac REMICS 3934 KB, 5.000%, 10/15/2041 | 435,649 | 0.0 |
958,876 | | Freddie Mac REMICS 3997 PB, 4.000%, 02/15/2042 | 977,161 | 0.0 |
3,121,322 | (4) | Freddie Mac REMICS 4057 SN, 5.326%, (-1.000*US0001M + 6.650%), 12/15/2041 | 328,846 | 0.0 |
2,917,343 | | Freddie Mac REMICS 4057 ZB, 3.500%, 06/15/2042 | 2,892,657 | 0.1 |
13,160,152 | | Freddie Mac REMICS 4084 TZ, 4.000%, 07/15/2042 | 13,063,292 | 0.2 |
1,713,305 | (4) | Freddie Mac REMICS 4090 SN, 5.376%, (-1.000*US0001M + 6.700%), 08/15/2032 | 197,271 | 0.0 |
660,633 | | Freddie Mac REMICS 4100 JA, 3.500%, 10/15/2041 | 661,060 | 0.0 |
2,128,000 | | Freddie Mac REMICS 4193 BP, 4.000%, 04/15/2043 | 2,131,252 | 0.0 |
980,000 | | Freddie Mac REMICS 4235 QD, 3.000%, 08/15/2033 | 954,467 | 0.0 |
27,009,563 | (4) | Freddie Mac REMICS 4301 SD, 4.776%, (-1.000*US0001M + 6.100%), 07/15/2037 | 2,942,908 | 0.1 |
5,920,222 | | Freddie Mac REMICS 4310 BZ, 4.000%, 02/15/2044 | 5,976,517 | 0.1 |
3,030,497 | | Freddie Mac REMICS 4401 BL, 3.500%, 10/15/2034 | 2,998,444 | 0.1 |
10,369,183 | (4) | Freddie Mac REMICS 4407 CS, 4.876%, (-1.000*US0001M + 6.200%), 06/15/2044 | 1,116,694 | 0.0 |
15,234,854 | (4) | Freddie Mac REMICS 4407 PS, 4.276%, (-1.000*US0001M + 5.600%), 06/15/2044 | 1,320,009 | 0.0 |
3,737,204 | | Freddie Mac REMICS 4444 CZ, 3.000%, 02/15/2045 | 3,436,877 | 0.1 |
14,555,838 | (4) | Freddie Mac REMICS 4461 AS, 4.276%, (-1.000*US0001M + 5.600%), 04/15/2045 | 1,506,315 | 0.0 |
3,124,000 | | Freddie Mac REMICS 4492 VB, 3.500%, 05/15/2035 | 3,107,149 | 0.1 |
131,390 | | Freddie Mac REMICS 4500 HC, 3.000%, 11/15/2042 | 131,242 | 0.0 |
2,913,000 | | Freddie Mac REMICS 4505 PB, 3.000%, 08/15/2045 | 2,673,514 | 0.0 |
8,068,266 | | Freddie Mac REMICS 4545 PL, 3.500%, 01/15/2046 | 7,556,401 | 0.1 |
13,136,096 | (4) | Freddie Mac REMICS 4574 ST, 4.676%, (-1.000*US0001M + 6.000%), 04/15/2046 | 2,046,688 | 0.0 |
70,010,265 | (4) | Freddie Mac REMICS 4585 AS, 4.776%, (-1.000*US0001M + 6.100%), 05/15/2046 | 8,518,261 | 0.1 |
4,524,114 | | Freddie Mac REMICS 4608 JV, 3.500%, 01/15/2055 | 4,444,377 | 0.1 |
19,790,948 | (4) | Freddie Mac REMICS 4611 BS, 4.776%, (-1.000*US0001M + 6.100%), 06/15/2041 | 2,418,841 | 0.0 |
10,752,476 | | Freddie Mac REMICS 4664 KZ, 3.500%, 02/15/2047 | 10,442,454 | 0.1 |
5,571,290 | | Freddie Mac REMICS 4680 GZ, 3.500%, 03/15/2047 | 5,305,645 | 0.1 |
6,870,880 | | Freddie Mac REMICS 4682 HZ, 3.500%, 04/15/2047 | 6,702,654 | 0.1 |
2,176,240 | | Freddie Mac REMICS 4700 KZ, 3.500%, 07/15/2047 | 2,078,435 | 0.0 |
3,995,216 | | Freddie Mac REMICS 4753 VZ, 3.000%, 12/15/2047 | 3,504,788 | 0.1 |
3,271,168 | | Freddie Mac REMICS 4755 Z, 3.000%, 02/15/2048 | 3,033,530 | 0.1 |
34,905,461 | | Freddie Mac REMICS 4771 HZ, 3.500%, 03/15/2048 | 33,318,072 | 0.4 |
1,851,634 | | Freddie Mac REMICS 4772 VG, 4.500%, 08/15/2036 | 1,865,059 | 0.0 |
17,586,605 | | Freddie Mac REMICS 4776 AZ, 4.000%, 07/15/2047 | 17,485,030 | 0.2 |
473,638 | | Freddie Mac REMICS 4787 PY, 4.000%, 05/15/2048 | 467,968 | 0.0 |
9,670,335 | | Freddie Mac REMICS 4795 D, 5.000%, 05/15/2048 | 10,139,822 | 0.1 |
2,521,096 | | Freddie Mac REMICS 4834 AZ, 3.500%, 10/15/2048 | 2,485,969 | 0.0 |
41,405,316 | (4) | Freddie Mac REMICS 4879 DS, 4.776%, (-1.000*US0001M + 6.100%), 08/15/2034 | 4,161,470 | 0.1 |
33,765,087 | (4) | Freddie Mac REMICS 4892 SA, 4.726%, (-1.000*US0001M + 6.050%), 07/15/2049 | 4,849,879 | 0.1 |
1,632,872 | | Freddie Mac REMICS 4904 HB, 3.000%, 08/25/2049 | 1,425,251 | 0.0 |
9,043,132 | (4) | Freddie Mac REMICS 4906 SQ, 4.426%, (-1.000*US0001M + 6.050%), 09/25/2049 | 1,178,373 | 0.0 |
606,535 | | Freddie Mac REMICS 4914 DB, 3.000%, 09/25/2049 | 503,279 | 0.0 |
2,155,567 | | Freddie Mac REMICS 4941 CZ, 3.000%, 11/25/2049 | 1,969,706 | 0.0 |
3,233,350 | | Freddie Mac REMICS 4941 WZ, 3.000%, 11/25/2049 | 3,024,472 | 0.1 |
5,519,982 | | Freddie Mac REMICS 4950 KE, 2.500%, 12/25/2049 | 5,236,126 | 0.1 |
58,754,256 | (4) | Freddie Mac REMICS 5014 HI, 4.000%, 09/25/2050 | 12,082,272 | 0.2 |
36,469,422 | (4) | Freddie Mac REMICS 5019 HI, 3.500%, 10/25/2050 | 6,761,037 | 0.1 |
25,945,908 | (4) | Freddie Mac REMICS 5045 BS, 5.274%, (-1.000*SOFR30A + 6.200%), 11/25/2050 | 4,846,070 | 0.1 |
11,084,825 | (4) | Freddie Mac REMICS 5048 IN, 2.500%, 12/25/2050 | 1,905,995 | 0.0 |
32,000,595 | (4) | Freddie Mac REMICS 5072 NI, 3.000%, 01/25/2050 | 5,373,018 | 0.1 |
51,197,669 | (4) | Freddie Mac REMICS 5082 IQ, 3.000%, 03/25/2051 | 8,511,582 | 0.1 |
27,147,356 | (4) | Freddie Mac REMICS 5113 AI, 4.000%, 06/25/2041 | 4,768,485 | 0.1 |
79,039,790 | | Freddie Mac REMICS 5117 IO, 3.000%, 06/25/2051 | 11,913,154 | 0.2 |
32,910,169 | (4) | Freddie Mac REMICS 5128 IC, 5.500%, 09/25/2041 | 6,871,308 | 0.1 |
12,768,655 | | Freddie Mac Series 4348 ZX, 4.250%, 06/15/2044 | 12,773,722 | 0.2 |
4,739,750 | (1) | Freddie Mac STACR Remic Trust 2020-DNA2 M2, 3.474%, (US0001M + 1.850%), 02/25/2050 | 4,696,386 | 0.1 |
2,249,468 | (1) | Freddie Mac STACR REMIC Trust 2020-HQA1 M2, 3.524%, (US0001M + 1.900%), 01/25/2050 | 2,211,026 | 0.0 |
8,740,000 | (1) | Freddie Mac Stacr Remic Trust 2020-HQA2 B1, 5.724%, (US0001M + 4.100%), 03/25/2050 | 8,186,842 | 0.1 |
3,690,995 | (1) | Freddie Mac Stacr Remic Trust 2020-HQA2 M2, 4.724%, (US0001M + 3.100%), 03/25/2050 | 3,665,213 | 0.1 |
843,289 | (1) | Freddie Mac STACR REMIC Trust 2020-HQA3 M2, 5.224%, (US0001M + 3.600%), 07/25/2050 | 842,882 | 0.0 |
3,825,000 | (1) | Freddie Mac STACR REMIC Trust 2021-DNA6 B1, 4.326%, (SOFR30A + 3.400%), 10/25/2041 | 3,289,424 | 0.1 |
3,390,000 | (1) | Freddie Mac STACR REMIC Trust 2021-HQA1 M2, 3.176%, (SOFR30A + 2.250%), 08/25/2033 | 3,148,514 | 0.1 |
6,500,000 | (1) | Freddie Mac STACR REMIC Trust 2021-HQA3 M2, 3.026%, (SOFR30A + 2.100%), 09/25/2041 | 5,701,831 | 0.1 |
15,000,000 | (1) | Freddie Mac STACR REMIC Trust 2021-HQA4 B1, 4.676%, (SOFR30A + 3.750%), 12/25/2041 | 12,467,817 | 0.2 |
10,000,000 | (1) | Freddie Mac STACR REMIC Trust 2021-HQA4 M2, 3.276%, (SOFR30A + 2.350%), 12/25/2041 | 8,663,541 | 0.1 |
13,500,000 | (1) | Freddie Mac STACR REMIC Trust 2022-DNA1 B1, 4.326%, (SOFR30A + 3.400%), 01/25/2042 | 11,439,228 | 0.2 |
9,200,000 | (1) | Freddie Mac STACR REMIC Trust 2022-DNA1 M1B, 2.776%, (SOFR30A + 1.850%), 01/25/2042 | 8,278,165 | 0.1 |
7,000,000 | (1) | Freddie Mac STACR REMIC Trust 2022-DNA1 M2, 3.426%, (SOFR30A + 2.500%), 01/25/2042 | 6,012,075 | 0.1 |
1,400,000 | (1) | Freddie Mac STACR REMIC Trust 2022-DNA4 M2, 6.176%, (SOFR30A + 5.250%), 05/25/2042 | 1,331,522 | 0.0 |
8,137,142 | (1) | Freddie Mac STACR Trust 2019-DNA3 M2, 3.674%, (US0001M + 2.050%), 07/25/2049 | 8,098,380 | 0.1 |
2,829,127 | | Freddie Mac Strips 277 30, 3.000%, 09/15/2042 | 2,709,180 | 0.0 |
3,614,760 | (4) | Freddie Mac Strips 303 C17, 3.500%, 01/15/2043 | 615,389 | 0.0 |
880,926 | (3),(4) | Freddie Mac Strips 344 68, 3.000%, 02/15/2045 | 114,256 | 0.0 |
288,458 | (3),(4) | Freddie Mac Strips 344 89, 4.500%, 02/15/2045 | 58,359 | 0.0 |
3,946,512 | (4) | Freddie Mac Strips 344 C13, 4.500%, 02/15/2045 | 788,105 | 0.0 |
5,736,106 | (4) | Freddie Mac Strips 344 C18, 4.000%, 02/15/2045 | 1,097,626 | 0.0 |
2,790,665 | (3),(4) | Freddie Mac Strips 344 C18, 4.000%, 02/15/2045 | 508,938 | 0.0 |
3,410,327 | (3),(4) | Freddie Mac Strips 344 C19, 3.500%, 02/15/2045 | 486,732 | 0.0 |
5,569,311 | (4) | Freddie Mac Strips 344 C2, 4.000%, 02/15/2045 | 1,060,017 | 0.0 |
4,703,086 | (4) | Freddie Mac Strips 344 C4, 4.000%, 02/15/2045 | 854,117 | 0.0 |
7,811,365 | (4) | Freddie Mac Strips 344 C5, 3.500%, 02/15/2045 | 1,496,299 | 0.0 |
8,322,917 | (4) | Freddie Mac Strips 344 C6, 4.000%, 02/15/2045 | 1,557,517 | 0.0 |
4,342,149 | (4) | Freddie Mac Strips 344 C7, 4.000%, 02/15/2045 | 796,348 | 0.0 |
4,157,625 | (4) | Freddie Mac Strips 344 C9, 3.500%, 02/15/2045 | 656,045 | 0.0 |
3,598,428 | (4) | Freddie Mac Strips 344 C9, 3.500%, 02/15/2045 | 594,430 | 0.0 |
9,441,542 | (4) | Freddie Mac Strips 347 C14, 3.500%, 02/15/2044 | 1,798,956 | 0.0 |
5,735,858 | (4) | Freddie Mac Strips 347 C22, 4.000%, 02/15/2044 | 1,089,581 | 0.0 |
6,311,066 | (4) | Freddie Mac Strips 347 C23, 4.000%, 02/15/2044 | 1,247,405 | 0.0 |
5,906,769 | (4) | Freddie Mac Strips 347 C24, 4.000%, 02/15/2044 | 1,167,126 | 0.0 |
5,339,232 | (4) | Freddie Mac Strips 347 C25, 4.000%, 02/15/2044 | 974,848 | 0.0 |
7,235,917 | (4) | Freddie Mac Strips 347 C26, 4.000%, 02/15/2044 | 1,324,054 | 0.0 |
6,833,816 | (4) | Freddie Mac Strips 347 C28, 4.500%, 02/15/2044 | 1,393,246 | 0.0 |
10,539,237 | (4) | Freddie Mac Strips 347 C5, 3.000%, 05/15/2043 | 1,738,267 | 0.0 |
23,129,157 | (4) | Freddie Mac Strips 365 C23, 3.500%, 10/15/2047 | 4,023,007 | 0.1 |
29,612,890 | (4) | Freddie Mac Strips Series 311 S1, 4.626%, (-1.000*US0001M + 5.950%), 08/15/2043 | 4,339,464 | 0.1 |
109,967 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2015-DNA2 M3, 5.524%, (US0001M + 3.900%), 12/25/2027 | 109,822 | 0.0 |
1,349,833 | | Freddie Mac Structured Agency Credit Risk Debt Notes 2018-HQA1 M2, 3.924%, (US0001M + 2.300%), 09/25/2030 | 1,340,333 | 0.0 |
6,000,000 | (1) | Freddie Mac Structured Agency Credit Risk Debt Notes 2021-DNA2 M2, 3.226%, (SOFR30A + 2.300%), 08/25/2033 | 5,683,342 | 0.1 |
5,000,000 | (1) | Freddie Mac Structured Agency Credit Risk Debt Notes 2021-DNA7 B1, 4.576%, (SOFR30A + 3.650%), 11/25/2041 | 4,300,121 | 0.1 |
2,300,000 | (1) | Freddie Mac Structured Agency Credit Risk Debt Notes 2022-DNA5 M2, 7.529%, (SOFR30A + 6.750%), 06/25/2042 | 2,317,514 | 0.0 |
949,887 | (3) | Freddie Mac Structured Pass Through Certificates T-48 1A, 4.446%, 07/25/2033 | 947,480 | 0.0 |
829,782 | (1),(3) | Galton Funding Mortgage Trust 2018-2 A51, 4.500%, 10/25/2058 | 818,266 | 0.0 |
3,805,528 | (1),(3) | Galton Funding Mortgage Trust 2018-2 B2, 4.474%, 10/25/2058 | 3,578,780 | 0.1 |
1,264,406 | (4) | Ginnie Mae 2005-37 SI, 4.555%, (-1.000*US0001M + 6.150%), 05/20/2035 | 152,279 | 0.0 |
1,141,737 | (4) | Ginnie Mae 2007-23 ST, 4.605%, (-1.000*US0001M + 6.200%), 04/20/2037 | 115,972 | 0.0 |
1,372,331 | (4) | Ginnie Mae 2007-40 SE, 5.155%, (-1.000*US0001M + 6.750%), 07/20/2037 | 201,045 | 0.0 |
900,548 | (4) | Ginnie Mae 2007-7 EI, 4.605%, (-1.000*US0001M + 6.200%), 02/20/2037 | 113,017 | 0.0 |
3,193,881 | (4) | Ginnie Mae 2010-11 SA, 4.911%, (-1.000*US0001M + 6.420%), 01/16/2040 | 440,548 | 0.0 |
1,410,125 | (4) | Ginnie Mae 2010-14 SB, 5.205%, (-1.000*US0001M + 6.800%), 11/20/2035 | 196,857 | 0.0 |
1,123,138 | (4) | Ginnie Mae 2010-99 IT, 5.000%, 08/16/2040 | 160,052 | 0.0 |
449,474 | | Ginnie Mae 2013-69 KA, 1.250%, 08/20/2042 | 413,292 | 0.0 |
4,337,663 | | Ginnie Mae 2018-1 LZ, 3.000%, 01/20/2048 | 4,035,155 | 0.1 |
18,576,000 | (4) | Ginnie Mae 2018-167 CS, 4.505%, (-1.000*US0001M + 6.100%), 12/20/2048 | 1,896,192 | 0.0 |
360,166 | (4) | Ginnie Mae Series 2005-7 AH, 5.261%, (-1.000*US0001M + 6.770%), 02/16/2035 | 40,327 | 0.0 |
6,834,279 | (4) | Ginnie Mae Series 2007-17 IC, 4.741%, (-1.000*US0001M + 6.250%), 04/16/2037 | 616,405 | 0.0 |
7,333,141 | (4) | Ginnie Mae Series 2007-41 SL, 5.105%, (-1.000*US0001M + 6.700%), 07/20/2037 | 1,046,134 | 0.0 |
786,354 | (4) | Ginnie Mae Series 2008-2 SW, 4.955%, (-1.000*US0001M + 6.550%), 01/20/2038 | 111,653 | 0.0 |
423,835 | (4) | Ginnie Mae Series 2008-35 SN, 4.805%, (-1.000*US0001M + 6.400%), 04/20/2038 | 47,209 | 0.0 |
237,013 | (4) | Ginnie Mae Series 2008-40 PS, 4.991%, (-1.000*US0001M + 6.500%), 05/16/2038 | 27,539 | 0.0 |
638,295 | (4) | Ginnie Mae Series 2009-25 KS, 4.605%, (-1.000*US0001M + 6.200%), 04/20/2039 | 84,778 | 0.0 |
467,462 | | Ginnie Mae Series 2009-29 PB, 4.750%, 05/20/2039 | 482,141 | 0.0 |
432,335 | | Ginnie Mae Series 2009-31 ZL, 4.500%, 05/20/2039 | 448,011 | 0.0 |
9,536,588 | | Ginnie Mae Series 2009-33 ZB, 6.000%, 05/20/2039 | 9,709,523 | 0.1 |
920,782 | | Ginnie Mae Series 2009-34 Z, 4.500%, 05/16/2039 | 948,259 | 0.0 |
1,116,180 | | Ginnie Mae Series 2009-98 DA, 3.250%, 07/16/2039 | 1,113,313 | 0.0 |
2,508,580 | | Ginnie Mae Series 2010-108 WL, 4.000%, 04/16/2040 | 2,556,002 | 0.0 |
1,215,862 | (4) | Ginnie Mae Series 2010-116 NS, 5.141%, (-1.000*US0001M + 6.650%), 09/16/2040 | 133,128 | 0.0 |
3,681,915 | (4) | Ginnie Mae Series 2010-116 SK, 5.025%, (-1.000*US0001M + 6.620%), 08/20/2040 | 449,287 | 0.0 |
4,054,525 | (4) | Ginnie Mae Series 2010-149 HS, 4.591%, (-1.000*US0001M + 6.100%), 05/16/2040 | 190,006 | 0.0 |
373,535 | | Ginnie Mae Series 2010-164 MD, 4.000%, 12/20/2040 | 378,859 | 0.0 |
1,409,267 | (4) | Ginnie Mae Series 2010-168 BI, 5.000%, 04/20/2040 | 215,034 | 0.0 |
828,275 | (4) | Ginnie Mae Series 2010-68 MS, 4.255%, (-1.000*US0001M + 5.850%), 06/20/2040 | 95,363 | 0.0 |
1,239,068 | | Ginnie Mae Series 2011-52 PA, 4.250%, 02/16/2041 | 1,260,556 | 0.0 |
1,959,443 | (4) | Ginnie Mae Series 2011-72 SA, 3.841%, (-1.000*US0001M + 5.350%), 05/16/2041 | 199,373 | 0.0 |
999,403 | (4) | Ginnie Mae Series 2011-73 LS, 5.095%, (-1.000*US0001M + 6.690%), 08/20/2039 | 17,655 | 0.0 |
297,862 | (4) | Ginnie Mae Series 2012-91 QI, 4.500%, 09/20/2041 | 32,600 | 0.0 |
2,880,783 | (4) | Ginnie Mae Series 2013-111 SA, 5.105%, (-1.000*US0001M + 6.700%), 07/20/2043 | 422,632 | 0.0 |
934,370 | | Ginnie Mae Series 2013-116 KB, 3.500%, 12/20/2042 | 937,688 | 0.0 |
4,090,779 | (4) | Ginnie Mae Series 2013-167 PI, 5.500%, 11/20/2043 | 710,144 | 0.0 |
126,766 | | Ginnie Mae Series 2013-27 KA, 2.250%, 02/20/2043 | 121,372 | 0.0 |
569,127 | (4) | Ginnie Mae Series 2014-10 GI, 4.500%, 01/16/2029 | 21,174 | 0.0 |
2,879,202 | (4) | Ginnie Mae Series 2014-185 SB, 4.005%, (-1.000*US0001M + 5.600%), 12/20/2044 | 338,416 | 0.0 |
2,004,473 | (4) | Ginnie Mae Series 2014-3 QS, 4.555%, (-1.000*US0001M + 6.150%), 03/20/2043 | 159,290 | 0.0 |
4,856,124 | (4) | Ginnie Mae Series 2014-3 SU, 4.455%, (-1.000*US0001M + 6.050%), 07/20/2039 | 587,995 | 0.0 |
2,835,197 | (4) | Ginnie Mae Series 2014-56 SP, 4.691%, (-1.000*US0001M + 6.200%), 12/16/2039 | 284,833 | 0.0 |
6,997,755 | (4) | Ginnie Mae Series 2014-58 SG, 4.091%, (-1.000*US0001M + 5.600%), 04/16/2044 | 673,113 | 0.0 |
17,612,699 | (4) | Ginnie Mae Series 2015-110 MS, 4.115%, (-1.000*US0001M + 5.710%), 08/20/2045 | 2,057,743 | 0.0 |
1,668,108 | | Ginnie Mae Series 2015-27 PB, 3.000%, 08/20/2044 | 1,659,220 | 0.0 |
16,574,831 | (4) | Ginnie Mae Series 2016-160 GS, 4.505%, (-1.000*US0001M + 6.100%), 11/20/2046 | 2,344,808 | 0.0 |
435,691 | | Ginnie Mae Series 2016-44 JA, 3.500%, 03/20/2046 | 434,228 | 0.0 |
35,523,174 | (4) | Ginnie Mae Series 2016-6 SB, 4.055%, (-1.000*US0001M + 5.650%), 01/20/2046 | 3,965,354 | 0.1 |
8,337,243 | (4) | Ginnie Mae Series 2017-101 SA, 4.605%, (-1.000*US0001M + 6.200%), 07/20/2047 | 971,517 | 0.0 |
17,774,560 | (4) | Ginnie Mae Series 2017-163 SH, 4.605%, (-1.000*US0001M + 6.200%), 11/20/2047 | 2,335,337 | 0.0 |
324,283 | | Ginnie Mae Series 2018-104 HZ, 3.500%, 08/20/2048 | 289,753 | 0.0 |
1,382,732 | | Ginnie Mae Series 2018-120 DE, 3.500%, 09/20/2048 | 1,359,797 | 0.0 |
194,040 | | Ginnie Mae Series 2018-122 GZ, 3.500%, 09/20/2048 | 181,397 | 0.0 |
1,845,218 | | Ginnie Mae Series 2018-126 A, 3.500%, 09/20/2048 | 1,835,010 | 0.0 |
193,706 | | Ginnie Mae Series 2018-147 KZ, 3.750%, 10/20/2048 | 183,026 | 0.0 |
176,532 | | Ginnie Mae Series 2019-100 JB, 3.000%, 08/20/2049 | 152,031 | 0.0 |
532,322 | | Ginnie Mae Series 2019-100 KB, 3.000%, 08/20/2049 | 457,480 | 0.0 |
1,349,931 | | Ginnie Mae Series 2019-100 MC, 3.000%, 08/20/2049 | 1,160,921 | 0.0 |
23,822,234 | (4) | Ginnie Mae Series 2019-159 SM, 4.455%, (-1.000*US0001M + 6.050%), 12/20/2049 | 3,404,164 | 0.1 |
1,081,376 | | Ginnie Mae Series 2019-23 NG, 3.500%, 02/20/2049 | 994,688 | 0.0 |
71,326 | | Ginnie Mae Series 2019-54 AB, 3.000%, 04/20/2049 | 62,564 | 0.0 |
798,785 | | Ginnie Mae Series 2019-78 MB, 3.000%, 06/20/2049 | 682,201 | 0.0 |
416,445 | | Ginnie Mae Series 2019-89 KB, 3.000%, 07/20/2049 | 363,054 | 0.0 |
299,424 | | Ginnie Mae Series 2019-89 WB, 3.000%, 07/20/2049 | 253,538 | 0.0 |
24,284,372 | (4) | Ginnie Mae Series 2020-188 PI, 3.500%, 06/20/2050 | 4,004,483 | 0.1 |
23,040,670 | (4) | Ginnie Mae Series 2020-32 SG, 4.505%, (-1.000*US0001M + 6.100%), 03/20/2050 | 3,342,224 | 0.1 |
36,789,228 | (4) | Ginnie Mae Series 2020-46 BS, 1.755%, (-1.000*US0001M + 3.350%), 04/20/2050 | 743,161 | 0.0 |
19,149,110 | (4) | Ginnie Mae Series 2020-77 JS, 4.505%, (-1.000*US0001M + 6.100%), 10/20/2048 | 1,733,132 | 0.0 |
97,658,953 | (4) | Ginnie Mae Series 2021-139 PI, 2.500%, 08/20/2051 | 14,655,533 | 0.2 |
355,577 | (1),(3) | GS Mortage-Backed Securities Trust 2020-PJ1 A1, 3.500%, 05/25/2050 | 337,572 | 0.0 |
570,278 | (1),(3) | GS Mortage-Backed Securities Trust 2020-PJ1 A4, 3.500%, 05/25/2050 | 540,511 | 0.0 |
1,422,378 | (1),(3) | GS Mortage-Backed Securities Trust 2020-PJ1 A8, 3.500%, 05/25/2050 | 1,350,356 | 0.0 |
503,997 | (1),(3) | GS Mortgage-Backed Securities Corp. Trust 2019-PJ2 A1, 4.000%, 11/25/2049 | 496,648 | 0.0 |
2,898,043 | (1),(3) | GS Mortgage-Backed Securities Corp. Trust 2019-PJ2 B3, 4.341%, 11/25/2049 | 2,673,738 | 0.0 |
1,105,989 | (1),(3) | GS Mortgage-Backed Securities Corp. Trust 2019-PJ3 B1, 3.986%, 03/25/2050 | 1,049,823 | 0.0 |
1,583,070 | (1),(3) | GS Mortgage-Backed Securities Corp. Trust 2020-PJ3 B2A, 3.426%, 10/25/2050 | 1,355,779 | 0.0 |
964,406 | (1),(3) | GS Mortgage-Backed Securities Corp. Trust 2020-PJ3 B4, 3.426%, 10/25/2050 | 788,983 | 0.0 |
1,455,397 | (1),(3) | GS Mortgage-Backed Securities Trust 2021-GR3 B4, 3.393%, 04/25/2052 | 1,125,180 | 0.0 |
1,793 | | GSR Mortgage Loan Trust 2005-5F 8A1, 2.124%, (US0001M + 0.500%), 06/25/2035 | 1,787 | 0.0 |
122,387 | | GSR Mortgage Loan Trust 2007-1F 3A13, 6.000%, 01/25/2037 | 91,473 | 0.0 |
1,650,394 | | HarborView Mortgage Loan Trust 2007-5 A1A, 1.802%, (US0001M + 0.190%), 09/19/2037 | 1,515,289 | 0.0 |
73,441 | | HomeBanc Mortgage Trust 2004-1 2A, 2.484%, (US0001M + 0.860%), 08/25/2029 | 70,857 | 0.0 |
602,843 | | Impac CMB Trust Series 2005-1 M1, 2.314%, (US0001M + 0.690%), 04/25/2035 | 567,308 | 0.0 |
2,000,000 | (1),(3) | Imperial Fund Mortgage Trust 2021-NQM4 M1, 3.446%, 01/25/2057 | 1,635,240 | 0.0 |
1,771,515 | | IndyMac INDX Mortgage Loan Trust 2006-AR2 2A1, 2.044%, (US0001M + 0.420%), 02/25/2046 | 1,359,182 | 0.0 |
313,838 | | JP Morgan Alternative Loan Trust 2005-S1 1A1, 5.500%, 12/25/2035 | 149,319 | 0.0 |
2,026,370 | (3) | JP Morgan Mortgage Trust 2005-A4 B1, 3.253%, 07/25/2035 | 1,897,779 | 0.0 |
1,018,087 | (1),(3) | JP Morgan Mortgage Trust 2017-1 B4, 3.458%, 01/25/2047 | 928,626 | 0.0 |
1,837,178 | (1),(3) | JP Morgan Mortgage Trust 2017-3 B2, 3.765%, 08/25/2047 | 1,722,200 | 0.0 |
1,355,641 | (1),(3) | JP Morgan Mortgage Trust 2017-6 B3, 3.777%, 12/25/2048 | 1,253,342 | 0.0 |
1,948,573 | (1),(3) | JP Morgan Mortgage Trust 2018-1 B1, 3.633%, 06/25/2048 | 1,811,821 | 0.0 |
1,875,671 | (1),(3) | JP Morgan Mortgage Trust 2018-1 B2, 3.633%, 06/25/2048 | 1,737,332 | 0.0 |
2,478,688 | (1),(3) | JP Morgan Mortgage Trust 2018-1 B3, 3.633%, 06/25/2048 | 2,132,206 | 0.0 |
2,399,300 | (1),(3) | JP Morgan Mortgage Trust 2018-3 B1, 3.712%, 09/25/2048 | 2,223,588 | 0.0 |
2,068,631 | (1),(3) | JP Morgan Mortgage Trust 2018-4 B2, 3.716%, 10/25/2048 | 1,910,113 | 0.0 |
2,792,433 | (1),(3) | JP Morgan Mortgage Trust 2018-9 B3, 4.248%, 02/25/2049 | 2,533,158 | 0.0 |
244,597 | (1),(3) | JP Morgan Mortgage Trust 2019-1 A3, 4.000%, 05/25/2049 | 240,471 | 0.0 |
82,170 | (1),(3) | JP Morgan Mortgage Trust 2019-2 A3, 4.000%, 08/25/2049 | 81,463 | 0.0 |
2,679,155 | (1),(3) | JP Morgan Mortgage Trust 2019-6 B1, 4.238%, 12/25/2049 | 2,486,172 | 0.0 |
314,534 | (1),(3) | JP Morgan Mortgage Trust 2019-8 A15, 3.500%, 03/25/2050 | 299,711 | 0.0 |
698,967 | (1),(3) | JP Morgan Mortgage Trust 2019-8 A5, 3.500%, 03/25/2050 | 661,996 | 0.0 |
1,906,025 | (1),(3) | JP Morgan Mortgage Trust 2019-9 B2A, 3.417%, 05/25/2050 | 1,697,850 | 0.0 |
1,734,901 | (1),(3) | JP Morgan Mortgage Trust 2019-INV1 B3, 4.998%, 10/25/2049 | 1,628,493 | 0.0 |
116,187 | (1),(3) | JP Morgan Mortgage Trust 2019-LTV2 A18, 4.000%, 12/25/2049 | 115,426 | 0.0 |
921,722 | (1),(3) | JP Morgan Mortgage Trust 2020-1 A7, 3.500%, 06/25/2050 | 863,012 | 0.0 |
329,672 | (1),(3) | JP Morgan Mortgage Trust 2020-2 A15, 3.500%, 07/25/2050 | 311,684 | 0.0 |
334,472 | (1),(3) | JP Morgan Mortgage Trust 2020-3 A15, 3.500%, 08/25/2050 | 316,180 | 0.0 |
761,419 | (1),(3) | JP Morgan Mortgage Trust 2020-3 B2, 3.845%, 08/25/2050 | 674,605 | 0.0 |
2,060,675 | (1),(3) | JP Morgan Mortgage Trust 2020-5 B3, 3.598%, 12/25/2050 | 1,762,615 | 0.0 |
957,554 | (1),(3) | JP Morgan Mortgage Trust 2020-8 B2, 3.513%, 03/25/2051 | 829,381 | 0.0 |
264,809 | (1),(3) | JP Morgan Mortgage Trust 2020-INV1 A3, 3.500%, 08/25/2050 | 252,553 | 0.0 |
2,257,731 | (1),(3) | JP Morgan Mortgage Trust 2021-14 B4, 3.170%, 05/25/2052 | 1,756,175 | 0.0 |
1,976,661,771 | (1),(4) | L Street Securities 2017-PM1 XIO, 0.010%, 10/25/2048 | 2,681,441 | 0.0 |
13,085,944 | (4) | Lehman Mortgage Trust 2006-7 2A4, 4.926%, (-1.000*US0001M + 6.550%), 11/25/2036 | 2,068,125 | 0.0 |
8,509,164 | (4) | Lehman Mortgage Trust 2006-9 2A5, 4.996%, (-1.000*US0001M + 6.620%), 01/25/2037 | 1,122,700 | 0.0 |
10,250,000 | (1) | Mello Warehouse Securitization Trust 2021-1 A, 1.368%, (US0001M + 0.700%), 02/25/2055 | 10,088,730 | 0.1 |
6,150,000 | (1) | Mello Warehouse Securitization Trust 2021-1 C, 1.768%, (US0001M + 1.100%), 02/25/2055 | 6,039,595 | 0.1 |
381,140 | (1),(3) | MFA 2020-NQM3 A3 Trust, 1.632%, 01/26/2065 | 368,814 | 0.0 |
4,032,303 | | Morgan Stanley Mortgage Loan Trust 2007-13 6A1, 6.000%, 10/25/2037 | 2,650,568 | 0.0 |
1,000,000 | (1),(3) | Morgan Stanley Residential Mortgage Loan Trust 2020-1 A5A, 2.500%, 12/25/2050 | 751,182 | 0.0 |
10,200,000 | (1) | Mortgage Insurance-Linked Notes 2021-3 M1B, 3.826%, (SOFR30A + 2.900%), 02/25/2034 | 9,738,510 | 0.1 |
2,337,495 | (1),(3) | New Residential Mortgage Loan Trust 2017-3A B2, 4.750%, 04/25/2057 | 2,267,878 | 0.0 |
764,983 | (1),(3) | New Residential Mortgage Loan Trust 2017-6A B2, 4.000%, 08/27/2057 | 739,922 | 0.0 |
1,000,000 | (1) | Oaktown Re VI Ltd. 2021-1A M1C, 3.926%, (SOFR30A + 3.000%), 10/25/2033 | 958,037 | 0.0 |
6,000,000 | (1) | Oaktown Re VII Ltd. 2021-2 M1C, 4.276%, (SOFR30A + 3.350%), 04/25/2034 | 5,562,925 | 0.1 |
192,739 | (1),(3) | OBX 2019-EXP1 1A3 Trust, 4.000%, 01/25/2059 | 184,992 | 0.0 |
381,140 | (1),(3) | OBX 2019-INV2 A25 Trust, 4.000%, 05/27/2049 | 372,613 | 0.0 |
81,830 | | Prime Mortgage Trust 2007-1 A4, 5.500%, 03/25/2037 | 71,546 | 0.0 |
1,221,919 | (1),(3) | Provident Funding Mortgage Trust 2020-1 B3, 3.262%, 02/25/2050 | 1,078,545 | 0.0 |
10,000,000 | (1) | Radnor RE 2021-1 M1C Ltd., 3.626%, (SOFR30A + 2.700%), 12/27/2033 | 9,377,563 | 0.1 |
834,369 | (1),(3) | RCKT Mortgage Trust 2019-1 A13, 3.500%, 09/25/2049 | 793,930 | 0.0 |
36,718,013 | | Seasoned Credit Risk Transfer Trust 2017-4 HT, 3.250%, 06/25/2057 | 35,514,003 | 0.4 |
250,312 | (1),(3) | Seasoned Credit Risk Transfer Trust Series 2016-1 M2, 3.750%, 09/25/2055 | 226,125 | 0.0 |
8,466,063 | | Seasoned Credit Risk Transfer Trust Series 2018-2, 3.500%, 11/25/2057 | 8,327,960 | 0.1 |
2,938,790 | | Seasoned Credit Risk Transfer Trust Series 2018-2 HT, 3.000%, 11/25/2057 | 2,792,016 | 0.1 |
3,627,493 | | Seasoned Credit Risk Transfer Trust Series 2018-3 HT, 3.000%, 08/25/2057 | 3,438,997 | 0.1 |
2,773,681 | | Seasoned Credit Risk Transfer Trust Series 2018-4 HT, 3.000%, 03/25/2058 | 2,628,950 | 0.0 |
3,168,313 | | Seasoned Credit Risk Transfer Trust Series 2019-1 HT, 3.000%, 07/25/2058 | 3,008,797 | 0.1 |
1,884,366 | | Seasoned Credit Risk Transfer Trust Series 2019-2 HT, 3.000%, 08/25/2058 | 1,790,936 | 0.0 |
833,107 | | Seasoned Credit Risk Transfer Trust Series 2019-3 HT, 3.000%, 10/25/2058 | 791,718 | 0.0 |
1,081,096 | | Seasoned Credit Risk Transfer Trust Series 2019-3 MA, 3.500%, 10/25/2058 | 1,070,550 | 0.0 |
609,585 | | Seasoned Credit Risk Transfer Trust Series 2019-4 M55D, 4.000%, 02/25/2059 | 610,573 | 0.0 |
32,340,000 | | Seasoned Loans Structured Transaction Trust Series 2019-3 A2C, 2.750%, 11/25/2029 | 29,397,526 | 0.4 |
1,072,797 | (1),(3) | Sequoia Mortgage Trust 2015-2 B3, 3.772%, 05/25/2045 | 969,669 | 0.0 |
982,625 | (1),(3) | Sequoia Mortgage Trust 2015-3 B3, 3.723%, 07/25/2045 | 833,298 | 0.0 |
707,618 | (1),(3) | Sequoia Mortgage Trust 2017-5 B3, 3.799%, 08/25/2047 | 650,927 | 0.0 |
228,498 | (1),(3) | Sequoia Mortgage Trust 2018-CH1 A19, 4.000%, 03/25/2048 | 222,809 | 0.0 |
2,467,537 | (1),(3) | Sequoia Mortgage Trust 2018-CH1 B2B, 4.461%, 03/25/2048 | 2,258,303 | 0.0 |
638,879 | (1),(3) | Sequoia Mortgage Trust 2019-4 A19, 3.500%, 11/25/2049 | 591,723 | 0.0 |
229,629 | (1),(3) | Sequoia Mortgage Trust 2019-CH2 A1, 4.500%, 08/25/2049 | 227,887 | 0.0 |
1,920,358 | (1),(3) | Sequoia Mortgage Trust 2020-2 B2, 3.649%, 03/25/2050 | 1,711,944 | 0.0 |
2,924,888 | (1),(3) | Sequoia Mortgage Trust 2020-3 B2, 3.330%, 04/25/2050 | 2,572,606 | 0.0 |
977,064 | (1),(3) | Sequoia Mortgage Trust 2021-5 B3, 3.052%, 07/25/2051 | 799,852 | 0.0 |
1,785,330 | (1),(3) | Shellpoint Co-Originator Trust 2017-2 B2, 3.654%, 10/25/2047 | 1,666,204 | 0.0 |
1,000,000 | (1),(3) | Starwood Mortgage Residential Trust 2022-2 M1, 4.200%, 02/25/2067 | 885,853 | 0.0 |
2,287,559 | (1),(3) | TIAA Bank Mortgage Loan Trust 2018-2 B2, 3.736%, 07/25/2048 | 2,110,470 | 0.0 |
412,933 | (3) | Wachovia Mortgage Loan LLC Series 2005-B 2A1, 2.289%, 10/20/2035 | 399,177 | 0.0 |
185,152 | (3) | WaMu Mortgage Pass Through Certificates Series 2006-AR12 2A3, 2.521%, 10/25/2036 | 174,240 | 0.0 |
2,450,188 | (3) | WaMu Mortgage Pass-Through Certificates Series 2004-AR4 A6 Trust, 3.467%, 06/25/2034 | 2,368,558 | 0.0 |
1,356,660 | | WaMu Mortgage Pass-Through Certificates Series 2005-AR11 A1C3, 2.644%, (US0001M + 0.510%), 08/25/2045 | 1,304,774 | 0.0 |
47,466,229 | (3),(4) | WaMu Mortgage Pass-Through Certificates Series 2005-AR11 X, 1.017%, 08/25/2045 | 213,676 | 0.0 |
1,066,379 | | WaMu Mortgage Pass-Through Certificates Series 2005-AR13 A1C3, 2.604%, (US0001M + 0.490%), 10/25/2045 | 1,015,971 | 0.0 |
254,480 | (3) | WaMu Mortgage Pass-Through Certificates Series 2006-AR12 1A1, 3.011%, 10/25/2036 | 244,306 | 0.0 |
541,721 | (3) | WaMu Mortgage Pass-Through Certificates Series 2006-AR14 1A4, 2.577%, 11/25/2036 | 506,018 | 0.0 |
656,902 | (3) | WaMu Mortgage Pass-Through Certificates Series 2006-AR16 2A1, 2.387%, 12/25/2036 | 590,981 | 0.0 |
1,518,687 | (3) | WaMu Mortgage Pass-Through Certificates Series 2006-AR16 2A3, 2.387%, 12/25/2036 | 1,421,249 | 0.0 |
846,501 | (3) | WaMu Mortgage Pass-Through Certificates Series 2006-AR8 1A4, 2.853%, 08/25/2046 | 792,388 | 0.0 |
1,231,390 | (3) | WaMu Mortgage Pass-Through Certificates Series 2007-HY2 1A1, 3.196%, 12/25/2036 | 1,156,927 | 0.0 |
338,238 | (3) | WaMu Mortgage Pass-Through Certificates Series 2007-HY3 1A1, 2.913%, 03/25/2037 | 279,083 | 0.0 |
1,082,953 | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-10 2A3, 2.524%, (US0001M + 0.900%), 11/25/2035 | 1,011,653 | 0.0 |
922,725 | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-11 A1, 5.750%, 01/25/2036 | 792,659 | 0.0 |
641,660 | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-5 CB3, 5.500%, 07/25/2035 | 598,359 | 0.0 |
273,371 | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-8 1A2, 5.500%, 10/25/2035 | 261,482 | 0.0 |
3,205,688 | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR6 2A, 1.436%, (12MTA + 0.960%), 08/25/2046 | 2,079,932 | 0.0 |
510,015 | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OC1 A3, 1.854%, (US0001M + 0.230%), 01/25/2047 | 480,244 | 0.0 |
1,056,597 | | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OC1 A4, 1.944%, (US0001M + 0.320%), 01/25/2047 | 1,005,641 | 0.0 |
485,194 | | Wells Fargo Alternative Loan 2007-PA2 2A1, 2.054%, (US0001M + 0.430%), 06/25/2037 | 391,750 | 0.0 |
559,431 | | Wells Fargo Alternative Loan 2007-PA3 3A1, 6.250%, 07/25/2037 | 504,073 | 0.0 |
151,698 | (3) | Wells Fargo Mortgage Backed Securities 2006-AR4 2A4, 2.870%, 04/25/2036 | 144,892 | 0.0 |
1,946,958 | (1),(3) | Wells Fargo Mortgage Backed Securities 2019-4 B3 Trust, 3.509%, 09/25/2049 | 1,567,649 | 0.0 |
620,918 | (1),(3) | WinWater Mortgage Loan Trust 2015-5 B3, 3.754%, 08/20/2045 | 577,959 | 0.0 |
3,497,392 | | 4.000%,05/01/2045 | 3,524,157 | 0.1 |
967,881 | | 4.000%,06/01/2045 | 975,311 | 0.0 |
1,029,480 | | 4.000%,11/01/2045 | 1,037,364 | 0.0 |
2,988,493 | | 4.000%,02/01/2046 | 3,011,435 | 0.0 |
5,169,492 | | 4.000%,07/01/2047 | 5,193,214 | 0.1 |
1,397,113 | | 4.000%,08/01/2047 | 1,398,875 | 0.0 |
472,134 | | 4.000%,08/01/2047 | 472,861 | 0.0 |
138,945 | | 4.000%,03/01/2048 | 138,967 | 0.0 |
559,907 | | 4.000%,03/01/2048 | 561,439 | 0.0 |
3,749,384 | | 4.000%,09/01/2048 | 3,759,465 | 0.1 |
9,850,028 | | 4.000%,04/01/2049 | 9,855,884 | 0.1 |
202,156,000 | (6) | 4.000%,07/15/2052 | 199,403,994 | 2.4 |
1,179,749 | | 4.250%,11/01/2043 | 1,202,155 | 0.0 |
100,811 | | 4.500%,11/01/2040 | 104,100 | 0.0 |
241,556 | | 4.500%,11/01/2040 | 249,458 | 0.0 |
1,486,799 | | 4.500%,11/01/2040 | 1,535,305 | 0.0 |
4,352 | | 4.500%,12/01/2040 | 4,494 | 0.0 |
2,460 | | 4.500%,12/01/2040 | 2,540 | 0.0 |
3,168 | | 4.500%,01/01/2041 | 3,271 | 0.0 |
4,468 | | 4.500%,01/01/2041 | 4,614 | 0.0 |
183,476 | | 4.500%,10/01/2041 | 189,151 | 0.0 |
260,083 | | 4.500%,10/01/2044 | 262,957 | 0.0 |
477,553 | | 4.500%,12/01/2045 | 487,814 | 0.0 |
2,378,060 | | 4.500%,04/01/2047 | 2,427,625 | 0.0 |
1,968,060 | | 4.500%,04/01/2047 | 2,008,881 | 0.0 |
1,270,366 | | 4.500%,04/01/2047 | 1,291,735 | 0.0 |
277,708 | | 4.500%,04/01/2047 | 280,091 | 0.0 |
1,215,826 | | 4.500%,05/01/2047 | 1,248,078 | 0.0 |
1,181,984 | | 4.500%,05/01/2047 | 1,201,752 | 0.0 |
1,169,907 | | 4.500%,05/01/2047 | 1,200,942 | 0.0 |
1,050,654 | | 4.500%,05/01/2047 | 1,077,440 | 0.0 |
863,069 | | 4.500%,05/01/2047 | 881,317 | 0.0 |
402,305 | | 4.500%,06/01/2047 | 407,954 | 0.0 |
918,927 | | 4.500%,06/01/2047 | 939,399 | 0.0 |
614,740 | | 4.500%,06/01/2047 | 623,662 | 0.0 |
1,838,809 | | 4.500%,07/01/2047 | 1,872,994 | 0.0 |
104,970 | | 4.500%,08/01/2047 | 106,007 | 0.0 |
207,586,000 | (6) | 4.500%,07/15/2052 | 208,437,426 | 2.5 |
61,496 | | 5.000%,06/01/2033 | 64,711 | 0.0 |
13,219 | | 5.000%,09/01/2033 | 13,748 | 0.0 |
39,896 | | 5.000%,11/01/2033 | 41,975 | 0.0 |
13,668 | | 5.000%,03/01/2034 | 14,377 | 0.0 |
12,040 | | 5.000%,03/01/2034 | 12,429 | 0.0 |
88,005 | | 5.000%,02/01/2035 | 92,599 | 0.0 |
56,635 | | 5.000%,06/01/2035 | 59,598 | 0.0 |
3,339 | | 5.000%,06/01/2035 | 3,514 | 0.0 |
33,981 | | 5.000%,07/01/2035 | 35,761 | 0.0 |
239,208 | | 5.000%,08/01/2035 | 251,778 | 0.0 |
274,956 | | 5.000%,10/01/2035 | 289,387 | 0.0 |
10,861 | | 5.000%,10/01/2035 | 11,373 | 0.0 |
156,029 | | 5.000%,02/01/2036 | 164,367 | 0.0 |
2,270 | | 5.000%,03/01/2036 | 2,391 | 0.0 |
29,677 | | 5.000%,03/01/2036 | 31,249 | 0.0 |
4,561 | | 5.000%,05/01/2036 | 4,805 | 0.0 |
3,194 | | 5.000%,06/01/2036 | 3,363 | 0.0 |
128,223 | | 5.000%,07/01/2036 | 134,906 | 0.0 |
62,792 | | 5.000%,11/01/2040 | 66,146 | 0.0 |
40,007 | | 5.000%,05/01/2041 | 42,153 | 0.0 |
226,382 | | 5.000%,06/01/2041 | 237,147 | 0.0 |
119,960 | | 5.000%,06/01/2041 | 126,392 | 0.0 |
80,611 | | 5.500%,03/01/2037 | 85,943 | 0.0 |
86,820 | | 5.500%,06/01/2039 | 93,331 | 0.0 |
739,466 | | 5.500%,10/01/2039 | 794,957 | 0.0 |
39,132 | | 6.000%,09/01/2036 | 41,165 | 0.0 |
202 | | 6.500%,02/01/2028 | 212 | 0.0 |
479 | | 6.500%,09/01/2031 | 516 | 0.0 |
127 | | 6.500%,09/01/2031 | 133 | 0.0 |
13,412 | | 6.500%,11/01/2031 | 14,229 | 0.0 |
5,198 | | 6.500%,04/01/2032 | 5,460 | 0.0 |
3,736 | | 6.500%,08/01/2032 | 3,924 | 0.0 |
1,156 | | 6.500%,08/01/2032 | 1,228 | 0.0 |
4,833 | | 7.000%,12/01/2027 | 4,860 | 0.0 |
779 | | 7.000%,10/01/2031 | 786 | 0.0 |
565 | | 7.000%,03/01/2032 | 573 | 0.0 |
671 | | 7.500%,09/01/2030 | 722 | 0.0 |
2,130 | | 7.500%,09/01/2031 | 2,292 | 0.0 |
12,284 | | 7.500%,02/01/2032 | 13,080 | 0.0 |
| | | 1,027,194,154 | 12.3 |
| | | | |
| Total U.S. Government Agency Obligations | | |
| (Cost $1,886,178,205) | 1,835,404,918 | 22.0 |
| | | |
COMMERCIAL MORTGAGE-BACKED SECURITIES: 7.3% | |
5,310,000 | (1),(7) | BAMLL Re-REMIC Trust 2015-FRR11 CK25, 0.000%, 09/27/2045 | 5,214,235 | 0.1 |
4,656,000 | (1) | BANK 2017-BNK4 D, 3.357%, 05/15/2050 | 3,821,612 | 0.1 |
31,749,960 | (3),(4) | BANK 2017-BNK4 XA, 1.489%, 05/15/2050 | 1,527,724 | 0.0 |
167,655,000 | (3),(4) | BANK 2017-BNK8 XB, 0.221%, 11/15/2050 | 1,461,541 | 0.0 |
3,600,000 | (1) | BANK 2017-BNK9 D, 2.800%, 11/15/2054 | 2,627,859 | 0.0 |
184,279,265 | (3),(4) | BANK 2018-BNK14 XA, 0.642%, 09/15/2060 | 4,207,473 | 0.1 |
19,110,000 | (1),(3),(4) | BANK 2018-BNK14 XD, 1.761%, 09/15/2060 | 1,547,575 | 0.0 |
23,959,917 | (3),(4) | BANK 2019-BNK16 XA, 1.103%, 02/15/2052 | 1,151,532 | 0.0 |
99,685,514 | (3),(4) | BANK 2019-BNK19 XA, 1.087%, 08/15/2061 | 5,253,990 | 0.1 |
6,195,144 | (3),(4) | BANK 2020-BNK30 XA, 1.428%, 12/15/2053 | 490,168 | 0.0 |
92,840,000 | (1),(3),(4) | BBCCRE Trust 2015-GTP XA, 0.749%, 08/10/2033 | 1,634,318 | 0.0 |
8,200,000 | (1) | BBCMS Trust 2021-AGW E, 4.474%, (US0001M + 3.150%), 06/15/2036 | 7,735,559 | 0.1 |
20,364,780 | (3),(4) | BBCMS Trust 2021-C10 XA, 1.426%, 07/15/2054 | 1,674,723 | 0.0 |
3,228,254 | (1) | BCRR 2016-FRR3 E Trust, 2.736%, (US0001M + 18.348%), 05/26/2026 | 2,829,100 | 0.0 |
53,402,336 | (3),(4) | Benchmark 2019-B12 XA Mortgage Trust, 1.179%, 08/15/2052 | 2,618,827 | 0.0 |
36,265,355 | (3),(4) | Benchmark 2019-B9 XA Mortgage Trust, 1.202%, 03/15/2052 | 1,921,291 | 0.0 |
92,509,533 | (3),(4) | Benchmark 2020-B17 XA Mortgage Trust, 1.539%, 03/15/2053 | 6,222,362 | 0.1 |
110,210,496 | (3),(4) | Benchmark 2020-B19 XA Mortgage Trust, 1.887%, 09/15/2053 | 9,976,441 | 0.1 |
60,108,129 | (3),(4) | Benchmark 2020-B20 XA Mortgage Trust, 1.735%, 10/15/2053 | 5,279,096 | 0.1 |
47,548,458 | (3),(4) | Benchmark 2020-B21 xa Mortgage Trust, 1.567%, 12/17/2053 | 4,083,511 | 0.1 |
4,959,444 | (3),(4) | Benchmark 2021-B28 XA Mortgage Trust, 1.400%, 08/15/2054 | 404,908 | 0.0 |
11,041,000 | (1),(7) | BMD2 Re-Remic Trust 2019-FRR1 3AB, 0.000%, 05/25/2052 | 7,621,942 | 0.1 |
8,000,000 | (1),(3) | BMD2 Re-Remic Trust 2019-FRR1 5B13, 2.208%, 05/25/2052 | 6,097,560 | 0.1 |
5,414,000 | (1),(3) | BMD2 Re-Remic Trust 2019-FRR1 6B10, 2.520%, 05/25/2052 | 4,376,688 | 0.1 |
4,000,000 | (1) | BX Commercial Mortgage Trust 2021-IRON E, 3.674%, (US0001M + 2.350%), 02/15/2038 | 3,704,603 | 0.0 |
10,000,000 | (1) | Cascade Funding Mortgage Trust 2021-FRR1 AK99, 4.700%, 09/29/2029 | 7,115,845 | 0.1 |
87,442,836 | (3),(4) | CCUBS Commercial Mortgage Trust 2017-C1 XA, 1.141%, 11/15/2050 | 3,712,950 | 0.0 |
21,130,204 | (3),(4) | CD 2016-CD1 Mortgage Trust XA, 1.504%, 08/10/2049 | 886,156 | 0.0 |
45,113,000 | (1),(3),(4) | CD 2016-CD1 Mortgage Trust XB, 0.831%, 08/10/2049 | 1,096,221 | 0.0 |
31,988,340 | (3),(4) | CD 2017-CD4 Mortgage Trust XA, 1.389%, 05/10/2050 | 1,462,982 | 0.0 |
36,702,827 | (3),(4) | Citigroup Commercial Mortgage Trust 2016-P4 XA, 2.054%, 07/10/2049 | 2,121,515 | 0.0 |
77,615,825 | (3),(4) | Citigroup Commercial Mortgage Trust 2017-C4 XA, 1.225%, 10/12/2050 | 3,260,738 | 0.0 |
39,324,669 | (3),(4) | Citigroup Commercial Mortgage Trust 2017-P8 XA, 1.023%, 09/15/2050 | 1,425,918 | 0.0 |
77,740,478 | (3),(4) | Citigroup Commercial Mortgage Trust 2018-C5 XA, 0.690%, 06/10/2051 | 2,427,334 | 0.0 |
1,717,416 | (3),(4) | COMM 2012-CR2 XA, 1.536%, 08/15/2045 | 687 | 0.0 |
25,834,422 | (3),(4) | COMM 2012-CR4 XA, 1.817%, 10/15/2045 | 21,529 | 0.0 |
27,260,000 | (1),(3),(4) | COMM 2012-CR4 XB, 0.768%, 10/15/2045 | 62,064 | 0.0 |
4,640,000 | (1),(3) | COMM 2013-CR10 E Mortgage Trust, 5.063%, 08/10/2046 | 4,353,583 | 0.1 |
9,645,000 | (1),(3) | COMM 2013-CR10 F Mortgage Trust, 5.063%, 08/10/2046 | 8,662,900 | 0.1 |
95,749,984 | (1),(3),(4) | COMM 2015-PC1 XA, 0.558%, 07/10/2050 | 889,537 | 0.0 |
60,968,681 | (3),(4) | COMM 2016-CR28 XA, 0.776%, 02/10/2049 | 1,109,587 | 0.0 |
33,424,578 | (3),(4) | COMM 2017-COR2 XA, 1.310%, 09/10/2050 | 1,583,942 | 0.0 |
8,261,000 | (1),(3) | COMM 2020-CBM F Mortgage Trust, 3.754%, 02/10/2037 | 7,236,472 | 0.1 |
4,340,000 | (1),(3) | CSAIL 2017-CX10 D Commercial Mortgage Trust, 4.242%, 11/15/2050 | 3,419,226 | 0.0 |
3,120,000 | (1) | CSWF 2021-SOP2 D, 3.641%, (US0001M + 2.317%), 06/15/2034 | 2,932,276 | 0.0 |
8,000,000 | (1) | CSWF 2021-SOP2 E, 4.691%, (US0001M + 3.367%), 06/15/2034 | 7,495,238 | 0.1 |
4,460,000 | (1),(3) | DBJPM 16-C3 Mortgage Trust, 3.624%, 08/10/2049 | 3,471,436 | 0.0 |
7,145,351 | (1),(8) | DBUBS 2011-LC2A F Mortgage Trust, 4.000%, (US0001M + 3.650%), 07/10/2044 | 7,137,449 | 0.1 |
15,749,370 | | Freddie Mac Multifamily 2021-ML08-X-US Certificates Sustainability Bonds, 1.846%, 07/25/2037 | 2,537,505 | 0.0 |
10,411,947 | (1),(3),(4) | Freddie Mac Multifamily ML Certificates 2021-ML11 XUS, 0.769%, 03/25/2038 | 675,297 | 0.0 |
9,307,657 | (3),(4) | Freddie Mac Multifamily Structured Pass Through Certificates K020 X3, 3.727%, 05/25/2040 | 14 | 0.0 |
31,879,545 | (3),(4) | Freddie Mac Multifamily Structured Pass Through Certificates K029 X3, 1.645%, 05/25/2041 | 400,957 | 0.0 |
9,768,327 | (3),(4) | Freddie Mac Multifamily Structured Pass Through Certificates K106 X1, 1.477%, 01/25/2030 | 805,232 | 0.0 |
23,389,332 | (3),(4) | Freddie Mac Multifamily Structured Pass Through Certificates K107 X1, 1.810%, 03/25/2030 | 2,472,006 | 0.0 |
68,691,921 | (3),(4) | Freddie Mac Multifamily Structured Pass Through Certificates K109 X1, 1.697%, 04/25/2030 | 6,745,389 | 0.1 |
101,219,742 | (3),(4) | Freddie Mac Multifamily Structured Pass Through Certificates K119 X1, 1.026%, 09/25/2030 | 6,171,909 | 0.1 |
41,023,920 | (3),(4) | Freddie Mac Multifamily Structured Pass Through Certificates K123 X1, 0.865%, 12/25/2030 | 2,118,328 | 0.0 |
13,334,229 | (3),(4) | Freddie Mac Multifamily Structured Pass Through Certificates K-1516 X1, 1.630%, 05/25/2035 | 1,874,345 | 0.0 |
76,786,805 | (3),(4) | Freddie Mac Multifamily Structured Pass Through CertificatesK151 X1, 0.528%, 04/25/2030 | 1,753,062 | 0.0 |
1,895,403 | (1),(4) | FREMF 2017-K64 X2A Mortgage Trust, 0.100%, 05/25/2050 | 6,827 | 0.0 |
7,057,744 | (1) | FREMF 2018-KBF2 C Mortgage Trust, 5.620%, (US0001M + 4.500%), 10/25/2025 | 6,915,745 | 0.1 |
4,981,479 | (1) | FREMF 2019-KBF3 C Mortgage Trust, 5.870%, (US0001M + 4.750%), 01/25/2029 | 4,973,813 | 0.1 |
5,000,000 | (1),(3) | FRR Re-REMIC Trust 2018-C1 B725, 2.954%, 02/27/2050 | 4,776,704 | 0.1 |
5,000,000 | (1),(3),(9) | FRR Re-REMIC Trust 2018-C1 C725, 0.370%, 02/27/2050 | 4,509,712 | 0.1 |
8,971,340 | (1),(3),(9) | FRR Re-REMIC Trust 2018-C1 CK43, 0.660%, 02/27/2048 | 7,574,759 | 0.1 |
10,325,000 | (1) | GAM RE-REMIC TR 2021-FFR2 BK44, 1.750%, 09/27/2051 | 9,183,114 | 0.1 |
11,599,000 | (1) | GAM RE-REMIC TR 2021-FFR2 BK78, 2.430%, 09/27/2051 | 9,288,863 | 0.1 |
8,825,000 | (1),(7) | GAM RE-REMIC TR 2021-FFR2 C730, 0.000%, 09/27/2051 | 7,463,581 | 0.1 |
10,728,000 | (1),(7) | GAM RE-REMIC TR 2021-FFR2 CK44, 0.000%, 09/27/2051 | 8,858,476 | 0.1 |
8,727,000 | (1) | GAM RE-REMIC TR 2021-FFR2 CK49, 1.050%, 09/27/2051 | 7,426,870 | 0.1 |
7,409,000 | (1),(7) | GAM RE-REMIC TR 2021-FFR2 CK78, 0.000%, 09/27/2051 | 4,691,095 | 0.1 |
8,821,000 | (1),(7) | GAM RE-REMIC TR 2021-FFR2 D730, 0.000%, 09/27/2051 | 7,278,370 | 0.1 |
8,724,000 | (1),(7) | GAM RE-REMIC TR 2021-FFR2 DK49, 0.000%, 09/27/2051 | 6,896,571 | 0.1 |
12,584,000 | (1) | GAM Re-REMIC Trust 2021-FRR1 1B, 0.890%, 11/29/2050 | 9,780,433 | 0.1 |
15,763,000 | (1) | GAM Re-REMIC Trust 2021-FRR1 2B, 1.190%, 11/29/2050 | 11,243,591 | 0.1 |
18,282,000 | (1),(4) | GAM Resecuritization Trust 2022-FRR3 BK47, 2.038%, 01/29/2052 | 15,076,976 | 0.2 |
12,445,000 | (1),(9) | GAM Resecuritization Trust 2022-FRR3 BK61, 0.820%, 01/29/2052 | 9,770,463 | 0.1 |
13,548,000 | (1),(9) | GAM Resecuritization Trust 2022-FRR3 BK89, 1.280%, 01/27/2052 | 9,287,046 | 0.1 |
7,076,000 | (1),(9) | GAM Resecuritization Trust 2022-FRR3 C728, 0.460%, 08/27/2050 | 6,214,555 | 0.1 |
7,212,000 | (1),(9) | GAM Resecuritization Trust 2022-FRR3 CK47, 0.640%, 05/27/2048 | 6,105,263 | 0.1 |
8,725,000 | (1),(9) | GAM Resecuritization Trust 2022-FRR3 CK61, 1.080%, 11/27/2049 | 6,483,506 | 0.1 |
6,092,000 | (1),(4) | GAM Resecuritization Trust 2022-FRR3 CK71, 1.411%, 01/29/2052 | 4,584,185 | 0.1 |
7,095,000 | (1),(9) | GAM Resecuritization Trust 2022-FRR3 CK89, 1.500%, 01/27/2052 | 4,554,679 | 0.1 |
7,080,000 | (1),(9) | GAM Resecuritization Trust 2022-FRR3 D728, 0.520%, 01/29/2052 | 6,063,334 | 0.1 |
9,559,000 | (1),(9) | GAM Resecuritization Trust 2022-FRR3 DK27, 0.140%, 12/27/2045 | 9,239,761 | 0.1 |
5,698,000 | (1),(9) | GAM Resecuritization Trust 2022-FRR3 DK41, 0.560%, 10/27/2047 | 4,946,280 | 0.1 |
7,208,000 | (1),(9) | GAM Resecuritization Trust 2022-FRR3 DK47, 0.720%, 05/27/2048 | 5,974,073 | 0.1 |
2,380,000 | (1),(9) | GAM Resecuritization Trust 2022-FRR3 EK27, 0.180%, 12/27/2045 | 2,278,883 | 0.0 |
3,796,000 | (1),(9) | GAM Resecuritization Trust 2022-FRR3 EK41, 0.610%, 01/29/2052 | 3,171,419 | 0.0 |
4,400,000 | (1) | GS Mortgage Securities Corp. II 2018-RIVR F, 3.424%, (US0001M + 2.100%), 07/15/2035 | 3,804,791 | 0.1 |
43,667,573 | (3),(4) | GS Mortgage Securities Trust 2013-GC16 XA, 1.179%, 11/10/2046 | 424,492 | 0.0 |
54,372,330 | (3),(4) | GS Mortgage Securities Trust 2014-GC22 XA, 1.096%, 06/10/2047 | 656,502 | 0.0 |
58,189,780 | (3),(4) | GS Mortgage Securities Trust 2016-GS4 XA, 0.694%, 11/10/2049 | 1,139,580 | 0.0 |
68,477,571 | (3),(4) | GS Mortgage Securities Trust 2017-GS6 XA, 1.164%, 05/10/2050 | 2,801,921 | 0.0 |
77,798,303 | (3),(4) | GS Mortgage Securities Trust 2019-GC38 XA, 1.115%, 02/10/2052 | 3,734,455 | 0.1 |
2,400,000 | (1),(3) | JP Morgan Chase Commercial Mortgage Securities Trust 2011-C4 E, 5.742%, 07/15/2046 | 2,312,565 | 0.0 |
10,161,224 | (3),(4) | JP Morgan Chase Commercial Mortgage Securities Trust 2012-CIBX XA, 0.552%, 06/15/2045 | 15 | 0.0 |
7,345,454 | (1),(3) | JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16 E, 3.744%, 12/15/2046 | 6,704,844 | 0.1 |
78,589,727 | (3),(4) | JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP4 XA, 0.724%, 12/15/2049 | 1,593,819 | 0.0 |
6,363,797 | (1),(3) | JPMBB Commercial Mortgage Securities Trust 2013-C15 D, 5.358%, 11/15/2045 | 6,188,789 | 0.1 |
7,840,000 | (1),(3) | JPMBB Commercial Mortgage Securities Trust 2013-C17 D, 5.049%, 01/15/2047 | 7,320,687 | 0.1 |
6,470,000 | (1),(3) | JPMBB Commercial Mortgage Securities Trust 2013-C17 F, 3.867%, 01/15/2047 | 5,093,729 | 0.1 |
8,562,253 | (3),(4) | JPMBB Commercial Mortgage Securities Trust 2014-C19 XA, 0.796%, 04/15/2047 | 64,868 | 0.0 |
1,205,058 | (3),(4) | JPMBB Commercial Mortgage Securities Trust 2015-C28 XA, 1.095%, 10/15/2048 | 21,888 | 0.0 |
649,297 | (1),(3),(4) | LB-UBS Commercial Mortgage Trust 2006-C7 XW, 0.637%, 11/15/2038 | 1 | 0.0 |
589,782 | (1) | Life 2021-BMR F Mortgage Trust, 3.674%, (US0001M + 2.350%), 03/15/2038 | 551,022 | 0.0 |
37,197,686 | (1),(3),(4) | LSTAR Commercial Mortgage Trust 2017-5 X, 0.943%, 03/10/2050 | 831,404 | 0.0 |
6,472,490 | (1) | MBRT 2019-MBR H1, 5.574%, (US0001M + 4.000%), 11/15/2036 | 6,003,422 | 0.1 |
3,000,000 | (1),(3) | Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6 E, 4.737%, 11/15/2045 | 2,912,248 | 0.0 |
4,340,000 | (1),(3) | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C13 D, 5.059%, 11/15/2046 | 3,995,499 | 0.1 |
66,576,962 | (3),(4) | Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19 XA, 1.103%, 12/15/2047 | 1,149,335 | 0.0 |
14,914,000 | (1) | Morgan Stanley Capital I Trust 2011-C1 J, 4.193%, 09/15/2047 | 16,090,979 | 0.2 |
31,749,281 | (3),(4) | Morgan Stanley Capital I Trust 2021-L6 XA, 1.349%, 06/15/2054 | 2,278,547 | 0.0 |
38,410,721 | (3),(4) | Morgan Stanley Capital I, Inc. 2017-HR2 XA, 0.915%, 12/15/2050 | 1,278,770 | 0.0 |
102,000,000 | | RFM 2022-WF1, 3.750%, 05/27/2027 | 102,000,000 | 1.2 |
5,280,000 | (1),(3) | UBS-Barclays Commercial Mortgage Trust 2012-C4 D, 4.606%, 12/10/2045 | 4,979,081 | 0.1 |
2,000,000 | (1) | Wells Fargo Commercial Mortgage Trust 2021-C59 C, 2.500%, 04/15/2054 | 1,303,946 | 0.0 |
6,000,000 | (1),(7) | Wells Fargo Re-REMIC Trust 2013-FRR1 BK26, 0.000%, 01/27/2045 | 5,771,346 | 0.1 |
1,396,523 | (1),(3) | WFRBS Commercial Mortgage Trust 2011-C5 E, 5.703%, 11/15/2044 | 1,392,306 | 0.0 |
1,571,402 | (1),(3),(4) | WFRBS Commercial Mortgage Trust 2012-C8 XA, 1.491%, 08/15/2045 | 52 | 0.0 |
5,608,078 | (1),(3),(4) | WFRBS Commercial Mortgage Trust 2012-C9 XA, 1.978%, 11/15/2045 | 13,144 | 0.0 |
12,946,000 | (1),(3) | WFRBS Commercial Mortgage Trust 2013-C11 F, 4.371%, 03/15/2045 | 11,444,920 | 0.1 |
3,920,000 | (1) | WFRBS Commercial Mortgage Trust 2013-C17 E, 3.500%, 12/15/2046 | 3,542,436 | 0.0 |
2,000,000 | (1) | WFRBS Commercial Mortgage Trust 2014-C21 D, 3.497%, 08/15/2047 | 1,765,506 | 0.0 |
73,293,245 | (3),(4) | WFRBS Commercial Mortgage Trust 2014-C25 XA, 0.940%, 11/15/2047 | 1,129,357 | 0.0 |
| | | | |
| Total Commercial Mortgage-Backed Securities | | |
| (Cost $632,506,303) | 605,839,480 | 7.3 |
| | | |
ASSET-BACKED SECURITIES: 10.4% | |
| | Automobile Asset-Backed Securities: 0.3% |
5,050,000 | | AmeriCredit Automobile Receivables Trust 2019-3 D, 2.580%, 09/18/2025 | 4,928,816 | 0.1 |
1,500,000 | | Carmax Auto Owner Trust 2018-4 D, 4.150%, 04/15/2025 | 1,500,801 | 0.0 |
550,000 | | Drive Auto Receivables Trust 2021-2 D, 1.390%, 03/15/2029 | 506,331 | 0.0 |
3,250,000 | (1) | GLS Auto Receivables Issuer Trust 2021-4 C, 1.940%, 10/15/2027 | 3,044,250 | 0.0 |
54,080 | | Santander Drive Auto Receivables Trust 2019-3 C, 2.490%, 10/15/2025 | 54,103 | 0.0 |
4,550,000 | | Santander Drive Auto Receivables Trust 2020-2 D, 2.220%, 09/15/2026 | 4,454,165 | 0.1 |
6,050,000 | (1) | Westlake Automobile Receivables Trust 2021-2A C, 0.890%, 07/15/2026 | 5,730,328 | 0.1 |
| | | 20,218,794 | 0.3 |
| | | | |
| | Credit Card Asset-Backed Securities: 0.0% |
600,000 | | Synchrony Credit Card Master Note Trust 2017-2 C, 3.010%, 10/15/2025 | 598,293 | 0.0 |
| | | | |
| | Home Equity Asset-Backed Securities: 0.1% |
3,062,024 | (1),(3) | ACE Securities Corp. Mortgage Loan Trust Series 2007-D1 A2, 6.336%, 02/25/2038 | 2,494,447 | 0.0 |
5,162,865 | | Freddie Mac Structured Pass Through Certificates T-31 A7, 1.874%, (US0001M + 0.250%), 05/25/2031 | 5,146,100 | 0.1 |
2,824,967 | (3) | GSAA Trust 2006-7 AF2, 5.995%, 03/25/2046 | 1,301,696 | 0.0 |
146,423 | (3) | HSI Asset Loan Obligation Trust 2007-WF1 A6, 4.661%, 12/25/2036 | 118,257 | 0.0 |
537,453 | | Nomura Home Equity Loan, Inc. Home Equity Loan Trust Series 2007-1 2A3, 1.944%, (US0001M + 0.160%), 02/25/2037 | 510,861 | 0.0 |
650,542 | | Nomura Home Equity Loan, Inc. Home Equity Loan Trust Series 2007-1 2A4A, 2.084%, (US0001M + 0.230%), 02/25/2037 | 610,505 | 0.0 |
1,362,302 | (3) | Renaissance Home Equity Loan Trust 2005-3 AF4, 5.140%, 11/25/2035 | 1,356,883 | 0.0 |
| | | 11,538,749 | 0.1 |
| | | | |
| | Other Asset-Backed Securities: 8.8% |
9,500,000 | (1) | AGL CLO 5 Ltd. 2020-5A A1R, 2.223%, (US0003M + 1.160%), 07/20/2034 | 9,230,799 | 0.1 |
6,750,000 | (1) | AIG CLO 2021-1A C, 2.886%, (US0003M + 1.750%), 04/22/2034 | 6,134,947 | 0.1 |
3,000,000 | (1) | Aimco CLO 11 Ltd. 2020-11A AR, 2.174%, (US0003M + 1.130%), 10/17/2034 | 2,889,693 | 0.0 |
1,047,195 | (1),(3),(4),(8) | American Homes 4 Rent 2015-SFR1 XS, 3.232%, 04/17/2052 | – | – |
1,850,000 | (1) | AMMC CLO 16 Ltd. 2015-16A CR2, 2.988%, (US0003M + 1.950%), 04/14/2029 | 1,784,319 | 0.0 |
10,000,000 | (1) | Apidos CLO XXXV 2021-35A C, 2.713%, (US0003M + 1.650%), 04/20/2034 | 9,205,660 | 0.1 |
4,405,500 | (1) | Applebee's Funding LLC / IHOP Funding LLC 2019-1A A2I, 4.194%, 06/05/2049 | 4,289,227 | 0.1 |
2,029,500 | (1) | Applebee's Funding LLC / IHOP Funding LLC 2019-1A A2II, 4.723%, 06/05/2049 | 1,901,219 | 0.0 |
1,243,227 | (1) | Aqua Finance Trust 2019-A A, 3.140%, 07/16/2040 | 1,205,523 | 0.0 |
2,903,875 | (1) | Aqua Finance Trust 2020-AA A, 1.900%, 07/17/2046 | 2,784,581 | 0.0 |
7,172,250 | (1) | Arbys Funding LLC 2020-1A A2, 3.237%, 07/30/2050 | 6,476,061 | 0.1 |
3,890,000 | (1) | Babson CLO Ltd. 2017-1A A2, 2.394%, (US0003M + 1.350%), 07/18/2029 | 3,790,264 | 0.0 |
6,361,000 | (1) | Babson CLO Ltd. 2018-3A A2, 2.363%, (US0003M + 1.300%), 07/20/2029 | 6,228,055 | 0.1 |
3,750,000 | (1) | Barings Clo Ltd. 2019-4A C, 3.844%, (US0003M + 2.800%), 01/15/2033 | 3,667,545 | 0.0 |
8,120,000 | (1) | Beacon Container Finance II LLC 2021-1A A, 2.250%, 10/22/2046 | 7,270,811 | 0.1 |
6,500,000 | (1) | Benefit Street Partners CLO IV Ltd. 2014-IVA BRRR, 3.213%, (US0003M + 2.150%), 01/20/2032 | 6,142,253 | 0.1 |
13,900,000 | (1) | Benefit Street Partners CLO Ltd. 2021-23A A1, 2.264%, (US0003M + 1.080%), 04/25/2034 | 13,383,212 | 0.2 |
4,600,000 | (1) | Benefit Street Partners CLO Ltd. 2021-23A C, 3.384%, (US0003M + 2.200%), 04/25/2034 | 4,285,369 | 0.1 |
450,000 | (1) | Benefit Street Partners CLO VIII Ltd. 2015-8A A1BR, 2.263%, (US0003M + 1.200%), 01/20/2031 | 431,946 | 0.0 |
5,000,000 | (1) | Benefit Street Partners CLO XIV Ltd. 2018-14A A2, 2.213%, (US0003M + 1.150%), 04/20/2031 | 4,784,600 | 0.1 |
7,550,000 | (1) | Benefit Street Partners CLO XVIII Ltd. 2019-18A A1R, 2.214%, (US0003M + 1.170%), 10/15/2034 | 7,293,995 | 0.1 |
2,000,000 | (1) | BlueMountain CLO 2014-2A A2R2 Ltd., 2.463%, (US0003M + 1.400%), 10/20/2030 | 1,921,220 | 0.0 |
5,350,000 | (1) | BlueMountain CLO Ltd. 2021-28A C, 3.044%, (US0003M + 2.000%), 04/15/2034 | 4,928,249 | 0.1 |
6,483,750 | (1) | Bojangles Issuer LLC 2020-3A A2, 3.832%, 10/20/2050 | 6,157,842 | 0.1 |
7,570,000 | (1) | Broad River Bsl Funding Clo Ltd. 2020-1A AR, 2.233%, (US0003M + 1.170%), 07/20/2034 | 7,305,875 | 0.1 |
4,400,000 | (1) | Broad River Bsl Funding Clo Ltd. 2020-1A CR, 3.063%, (US0003M + 2.000%), 07/20/2034 | 3,963,291 | 0.0 |
6,600,000 | (1) | California Street CLO IX L.P. 2012-9A CR3, 3.544%, (US0003M + 2.500%), 07/16/2032 | 6,358,572 | 0.1 |
3,250,000 | (1) | Carlyle Global Market Strategies CLO Ltd. 2014-1A A2R2, 2.174%, (US0003M + 1.130%), 04/17/2031 | 3,105,430 | 0.0 |
8,900,000 | (1) | CARLYLE US CLO 2021-1A A1 Ltd., 2.184%, (US0003M + 1.140%), 04/15/2034 | 8,625,809 | 0.1 |
10,000,000 | (1) | Cedar Funding IV CLO Ltd. 2014-4A CRR, 3.184%, (US0003M + 2.000%), 07/23/2034 | 9,185,140 | 0.1 |
21,700,000 | (1) | Cedar Funding IV CLO Ltd.2014-4A ARR, 2.344%, (US0003M + 1.160%), 07/23/2034 | 20,953,129 | 0.3 |
12,400,000 | (1) | Cedar Funding VIII Clo Ltd. 2017-8A A1R, 2.194%, (US0003M + 1.150%), 10/17/2034 | 11,995,624 | 0.1 |
11,200,000 | (1) | Cedar Funding VIII Clo Ltd. 2017-8A A2R, 2.494%, (US0003M + 1.450%), 10/17/2034 | 10,632,563 | 0.1 |
37,149 | | Chase Funding Trust Series 2003-5 2A2, 2.224%, (US0001M + 0.600%), 07/25/2033 | 34,751 | 0.0 |
3,000,000 | (1) | CIFC Funding 2019-6A A2 Ltd., 2.794%, (US0003M + 1.750%), 01/16/2033 | 2,934,129 | 0.0 |
1,600,000 | (1) | CIFC Funding Ltd. 2022-1A A, 1.749%, (TSFR3M + 1.320%), 04/17/2035 | 1,536,050 | 0.0 |
2,732,763 | (1) | CLI Funding VI LLC 2020-1A A, 2.080%, 09/18/2045 | 2,445,996 | 0.0 |
8,663,095 | (1) | CLI Funding VIII LLC 2021-1A A, 1.640%, 02/18/2046 | 7,656,214 | 0.1 |
10,156,213 | (1) | CLI Funding VIII LLC 2022-1A A1, 2.720%, 01/18/2047 | 9,110,185 | 0.1 |
4,619,375 | (1) | DB Master Finance LLC 2019-1A A23, 4.352%, 05/20/2049 | 4,323,599 | 0.1 |
2,382,625 | (1) | DB Master Finance LLC 2019-1A A2II, 4.021%, 05/20/2049 | 2,307,346 | 0.0 |
15,721,000 | (1) | DB Master Finance LLC 2021-1A A23, 2.791%, 11/20/2051 | 13,003,633 | 0.2 |
2,557,250 | (1) | Domino's Pizza Master Issuer LLC 2018-1A A211, 4.328%, 07/25/2048 | 2,485,501 | 0.0 |
10,948,000 | (1) | Domino's Pizza Master Issuer LLC 2019-1A A2, 3.668%, 10/25/2049 | 9,944,075 | 0.1 |
11,682,000 | (1) | Domino's Pizza Master Issuer LLC 2021-1A A2II, 3.151%, 04/25/2051 | 10,016,769 | 0.1 |
5,659,875 | (1) | Driven Brands Funding LLC 2019-1A A2, 4.641%, 04/20/2049 | 5,434,561 | 0.1 |
5,422,750 | (1) | Driven Brands Funding LLC 2021-1A A2, 2.791%, 10/20/2051 | 4,542,358 | 0.1 |
2,256,000 | (1) | Driven Brands Funding, LLC 2018-1A A2, 4.739%, 04/20/2048 | 2,231,816 | 0.0 |
6,400,000 | (1) | Dryden 49 Senior Loan Fund 2017-49A CR, 3.094%, (US0003M + 2.050%), 07/18/2030 | 6,114,214 | 0.1 |
11,400,000 | (1) | Dryden 75 CLO Ltd. 2019-75A CR2, 2.844%, (US0003M + 1.800%), 04/15/2034 | 10,504,553 | 0.1 |
8,850,000 | (1) | Dryden 78 CLO Ltd. 2020-78A A, 2.224%, (US0003M + 1.180%), 04/17/2033 | 8,615,227 | 0.1 |
8,000,000 | (1) | Eaton Vance Clo 2015-1A A2R Ltd., 2.313%, (US0003M + 1.250%), 01/20/2030 | 7,716,200 | 0.1 |
4,228,050 | (1) | Five Guys Holdings, Inc. 2017-1A A2, 4.600%, 07/25/2047 | 4,107,695 | 0.1 |
3,469,879 | (1) | Helios Issuer LLC 2021-A A4, 1.800%, 02/20/2048 | 3,032,642 | 0.0 |
4,337,515 | (1) | Helios Issuer, LLC 2018-1A A, 4.870%, 07/20/2048 | 4,110,190 | 0.1 |
682,871 | (1) | HERO Funding Trust 2015-2A A, 3.990%, 09/20/2040 | 681,732 | 0.0 |
645,878 | (1) | HERO Funding Trust 2016-2A A, 3.750%, 09/20/2041 | 638,743 | 0.0 |
1,631,485 | (1) | HERO Funding Trust 2016-4A A2, 4.290%, 09/20/2047 | 1,621,114 | 0.0 |
3,570,822 | (1) | JG Wentworth XLII LLC 2018-2A A, 3.960%, 10/15/2075 | 3,409,637 | 0.0 |
2,591,685 | (1) | JGWPT XXXIII LLC 2014-3A A, 3.500%, 06/15/2077 | 2,392,556 | 0.0 |
6,000,000 | (1) | Kayne CLO 6 Ltd. 2019-6A A2, 2.913%, (US0003M + 1.850%), 01/20/2033 | 5,861,274 | 0.1 |
7,130,000 | (1) | Kayne CLO I Ltd. 2018-1A CR, 2.794%, (US0003M + 1.750%), 07/15/2031 | 6,698,920 | 0.1 |
6,000,000 | (1) | LCM 26A A2 Ltd., 2.313%, (US0003M + 1.250%), 01/20/2031 | 5,781,720 | 0.1 |
5,000,000 | (1) | LCM XVIII L.P. 18A A2R, 2.283%, (US0003M + 1.220%), 04/20/2031 | 4,805,875 | 0.1 |
11,900,000 | (1) | LCM XXIV Ltd. 24A CR, 2.963%, (US0003M + 1.900%), 03/20/2030 | 11,236,016 | 0.1 |
6,570,506 | (1) | Loanpal Solar Loan 2020-2GF A Ltd., 2.750%, 07/20/2047 | 5,858,183 | 0.1 |
5,719,118 | (1) | Loanpal Solar Loan 2021-1 1GS A Ltd., 2.290%, 01/20/2048 | 4,960,694 | 0.1 |
9,136,165 | (1) | Loanpal Solar Loan 2021-2GS A Ltd., 2.220%, 03/20/2048 | 7,825,330 | 0.1 |
6,150,000 | (1) | Madison Park Funding XLVIII Ltd. 2021-48A C, 3.044%, (US0003M + 2.000%), 04/19/2033 | 5,797,574 | 0.1 |
6,250,000 | (1) | Madison Park Funding XXI Ltd. 2016-21A ABRR, 2.444%, (US0003M + 1.400%), 10/15/2032 | 5,830,388 | 0.1 |
1,400,000 | (1) | Madison Park Funding XXVII Ltd. 2018-27A B, 2.863%, (US0003M + 1.800%), 04/20/2030 | 1,313,719 | 0.0 |
1,202,530 | (1) | Marlette Funding Trust 2018-4A C, 4.910%, 12/15/2028 | 1,201,338 | 0.0 |
2,993,898 | (1) | Marlette Funding Trust 2019-2A C, 4.110%, 07/16/2029 | 2,979,163 | 0.0 |
1,100,000 | (1),(3) | Mill City Mortgage Loan Trust 2017-1 M2, 3.250%, 11/25/2058 | 1,070,645 | 0.0 |
3,200,000 | (1),(3) | Mill City Mortgage Loan Trust 2017-2 M2, 3.250%, 07/25/2059 | 3,090,704 | 0.0 |
2,482,000 | (1),(3) | Mill City Mortgage Trust 2015-2 B2, 3.576%, 09/25/2057 | 2,350,271 | 0.0 |
767,018 | (1) | Mill City Solar Loan 2019-1A A Ltd., 4.340%, 03/20/2043 | 749,726 | 0.0 |
3,918,784 | (1) | Mill City Solar Loan 2019-2GS A Ltd., 3.690%, 07/20/2043 | 3,691,107 | 0.0 |
2,864,860 | (1) | Mosaic Solar Loan Trust 2018-1A A, 4.010%, 06/22/2043 | 2,766,996 | 0.0 |
4,667,905 | (1) | Mosaic Solar Loan Trust 2018-2-GS A, 4.200%, 02/22/2044 | 4,501,105 | 0.1 |
1,192,708 | (1) | Mosaic Solar Loan Trust 2018-2-GS B, 4.740%, 02/22/2044 | 1,157,998 | 0.0 |
3,321,595 | (1) | Mosaic Solar Loan Trust 2019-2A A, 2.880%, 09/20/2040 | 3,030,291 | 0.0 |
4,497,536 | (1) | Mosaic Solar Loan Trust 2020-1A B, 3.100%, 04/20/2046 | 4,147,347 | 0.1 |
8,843,528 | (1) | Mosaic Solar Loan Trust 2020-2A A, 1.440%, 08/20/2046 | 7,675,267 | 0.1 |
3,861,641 | (1) | Mosaic Solar Loan Trust 2021-1A B, 2.050%, 12/20/2046 | 3,338,610 | 0.0 |
1,728,714 | (1) | Mosaic Solar Loans 2017-2A A LLC, 3.820%, 06/22/2043 | 1,643,031 | 0.0 |
2,000,000 | (1) | Neuberger Berman Loan Advisers CLO 47 Ltd. 2022-47A A, 1.548%, (TSFR3M + 1.300%), 04/14/2035 | 1,926,774 | 0.0 |
5,750,000 | (1) | Oak Hill Credit Partners 2021-8A C, 2.944%, (US0003M + 1.900%), 01/18/2034 | 5,388,020 | 0.1 |
3,500,000 | (1) | Octagon Investment Partners 32 Ltd. 2017-1A CR, 3.094%, (US0003M + 2.050%), 07/15/2029 | 3,308,648 | 0.0 |
4,060,000 | (1) | Octagon Investment Partners XV Ltd. 2013-1A A2R, 2.394%, (US0003M + 1.350%), 07/19/2030 | 3,928,131 | 0.0 |
6,000,000 | (1) | Octagon Investment Partners XXI Ltd. 2014-1A BR3, 3.161%, (US0003M + 1.750%), 02/14/2031 | 5,544,552 | 0.1 |
7,830,000 | (1) | OHA Credit Funding 2019-3A AR Ltd., 2.203%, (US0003M + 1.140%), 07/02/2035 | 7,611,418 | 0.1 |
10,250,000 | (1) | OHA Credit Funding 2020-6A AR Ltd., 2.203%, (US0003M + 1.140%), 07/20/2034 | 9,949,173 | 0.1 |
6,650,000 | (1) | OHA Credit Funding 4 Ltd. 2019-4A AR, 2.286%, (US0003M + 1.150%), 10/22/2036 | 6,451,118 | 0.1 |
7,000,000 | (1) | OHA Credit Funding 7 Ltd. 2020-7A AR, 2.146%, (TSFR3M + 1.300%), 02/24/2037 | 6,808,724 | 0.1 |
6,700,000 | (1) | OHA Credit Funding 9 Ltd. 2021-9A C, 2.944%, (US0003M + 1.900%), 07/19/2035 | 6,262,952 | 0.1 |
10,700,000 | (1) | OHA Credit Partners VII Ltd. 2012-7A CR3, 3.278%, (US0003M + 1.800%), 02/20/2034 | 9,969,543 | 0.1 |
2,597,950 | (1) | Pagaya AI Debt Selection Trust 2021-3 A, 1.150%, 05/15/2029 | 2,527,314 | 0.0 |
3,518,570 | (1) | Pagaya AI Debt Selection Trust 2021-HG1 A, 1.220%, 01/16/2029 | 3,347,063 | 0.0 |
8,753,211 | (1) | Pagaya AI Debt Trust 2022-1 A, 2.030%, 10/15/2029 | 8,456,798 | 0.1 |
5,800,000 | (1) | Palmer Square CLO 2021-1A B Ltd., 2.763%, (US0003M + 1.700%), 04/20/2034 | 5,353,116 | 0.1 |
7,550,000 | (1) | Palmer Square CLO 2021-3A A2 Ltd., 1.633%, (US0003M + 1.400%), 01/15/2035 | 7,211,171 | 0.1 |
193,837 | (3) | Popular ABS Mortgage Pass-Through Trust 2005-D A5, 3.549%, 01/25/2036 | 189,795 | 0.0 |
4,923,750 | (1) | Primose Funding LLC 2019-1A A2, 4.475%, 07/30/2049 | 4,670,327 | 0.1 |
9,150,000 | (1) | Rockland Park CLO Ltd. 2021-1A C, 2.963%, (US0003M + 1.900%), 04/20/2034 | 8,517,012 | 0.1 |
660,080 | (1) | SoFi Consumer Loan Program 2019-2 C Trust, 3.460%, 04/25/2028 | 660,278 | 0.0 |
2,000,000 | (1) | SoFi Consumer Loan Program 2019-2 D Trust, 4.200%, 04/25/2028 | 1,973,416 | 0.0 |
3,358,981 | (1) | SoFi Consumer Loan Program 2019-4 C Trust, 2.840%, 08/25/2028 | 3,346,282 | 0.0 |
1,300,000 | (1) | SoFi Consumer Loan Program 2019-4 D Trust, 3.480%, 08/25/2028 | 1,288,157 | 0.0 |
2,350,000 | (1) | SoFi Consumer Loan Program 2021-1 C Trust, 1.610%, 09/25/2030 | 2,171,996 | 0.0 |
7,172,250 | (1) | Sonic Capital LLC 2020-1A A2I, 3.845%, 01/20/2050 | 6,806,646 | 0.1 |
3,970,000 | (1) | Sonic Capital LLC 2021-1A A2II, 2.636%, 08/20/2051 | 3,192,712 | 0.0 |
18,000,000 | (1) | Sound Point Clo XVI Ltd. 2017-2A CR, 3.384%, (US0003M + 2.200%), 07/25/2030 | 17,208,324 | 0.2 |
9,950,000 | (1) | Sound Point CLO XXIX Ltd. 2021-1A C1, 3.484%, (US0003M + 2.300%), 04/25/2034 | 9,339,150 | 0.1 |
7,673,723 | (1) | Sunnova Sol II Issuer LLC 2020-2A A, 2.730%, 11/01/2055 | 6,601,675 | 0.1 |
9,601,996 | (1) | Sunnova Sol III Issuer LLC 2021-1 A, 2.580%, 04/28/2056 | 8,225,116 | 0.1 |
4,600,774 | (1) | Sunrun Athena Issuer 2018-1 A LLC, 5.310%, 04/30/2049 | 4,506,922 | 0.1 |
4,550,000 | (1) | Sunrun Jupiter Issuer 2022-1A A LLC, 4.750%, 07/30/2057 | 4,341,184 | 0.1 |
4,011,622 | (1) | Sunrun Xanadu Issuer 2019-1A A LLC, 3.980%, 06/30/2054 | 3,782,236 | 0.0 |
8,450,000 | (1) | Symphony CLO XXVI Ltd. 2021-26A CR, 3.063%, (US0003M + 2.000%), 04/20/2033 | 7,718,441 | 0.1 |
5,934,750 | (1) | Taco Bell Funding LLC 2018-1A A2II, 4.940%, 11/25/2048 | 5,698,321 | 0.1 |
13,134,000 | (1) | Taco Bell Funding LLC 2021-1A A23, 2.542%, 08/25/2051 | 10,777,843 | 0.1 |
5,000,000 | (1) | TCW CLO 2017-1A A2RR Ltd., 2.689%, (US0003M + 1.450%), 10/29/2034 | 4,769,620 | 0.1 |
13,150,000 | (1) | TCW CLO 2021-1A C Ltd., 2.963%, (US0003M + 1.900%), 03/18/2034 | 12,247,608 | 0.1 |
7,200,000 | (1) | TES LLC 2017-1A B, 7.740%, 10/20/2047 | 6,973,268 | 0.1 |
6,440,000 | (1) | Textainer Marine Containers Ltd. 2021-3A A, 1.940%, 08/20/2046 | 5,572,530 | 0.1 |
5,494,000 | (1) | Textainer Marine Containers VII Ltd. 2021-1A A, 1.680%, 02/20/2046 | 4,802,632 | 0.1 |
1,400,000 | (1),(3) | Towd Point Mortgage Trust 2015-2 1B1, 3.322%, 11/25/2060 | 1,361,534 | 0.0 |
2,640,000 | (1),(3) | Towd Point Mortgage Trust 2015-2 2B2, 3.909%, 11/25/2057 | 2,628,361 | 0.0 |
4,346,000 | (1),(3) | Towd Point Mortgage Trust 2016-2 M1, 3.000%, 08/25/2055 | 4,232,723 | 0.1 |
3,200,000 | (1),(3) | Towd Point Mortgage Trust 2017-1 M1, 3.750%, 10/25/2056 | 3,112,336 | 0.0 |
2,200,000 | (1),(3) | Towd Point Mortgage Trust 2017-3 M1, 3.500%, 07/25/2057 | 2,129,274 | 0.0 |
4,500,000 | (1) | Trafigura Securitisation Finance PLC 2021-1A A2, 1.080%, 01/15/2025 | 4,257,797 | 0.1 |
11,216,563 | (1) | Triton Container Finance VIII LLC 2021-1A A, 1.860%, 03/20/2046 | 9,813,476 | 0.1 |
3,523,950 | (1) | Wendy's Funding LLC 2018-1A A2II, 3.884%, 03/15/2048 | 3,333,667 | 0.0 |
8,514,000 | (1) | Wendy's Funding LLC 2021-1A A2II, 2.775%, 06/15/2051 | 7,127,408 | 0.1 |
10,000,000 | (1) | Wind River 2021-1A C CLO Ltd., 3.013%, (US0003M + 1.950%), 04/20/2034 | 9,167,560 | 0.1 |
15,731,125 | (1) | Zaxby's Funding LLC 2021-1A A2, 3.238%, 07/30/2051 | 13,749,804 | 0.2 |
| | | 738,967,547 | 8.8 |
| | Student Loan Asset-Backed Securities: 1.2% |
289,117 | (1) | Commonbond Student Loan Trust 2016-B, 4.000%, 10/25/2040 | 287,732 | 0.0 |
922,322 | (1) | Commonbond Student Loan Trust 2017-BGS B, 3.260%, 09/25/2042 | 897,680 | 0.0 |
1,299,894 | (1) | Commonbond Student Loan Trust 2018-AGS A1, 3.210%, 02/25/2044 | 1,270,476 | 0.0 |
81,974 | (1) | Commonbond Student Loan Trust 2018-A-GS C, 3.820%, 02/25/2044 | 74,997 | 0.0 |
2,259,186 | (1) | Commonbond Student Loan Trust 2018-CGS A2, 2.424%, (US0001M + 0.800%), 02/25/2046 | 2,242,310 | 0.0 |
4,068,858 | (1) | Commonbond Student Loan Trust 2020-AGS A, 1.980%, 08/25/2050 | 3,907,026 | 0.1 |
2,250,000 | (1),(3) | ELFI Graduate Loan Program 2021-A B LLC, 2.090%, 12/26/2046 | 2,014,478 | 0.0 |
452,715 | (1) | Laurel Road Prime Student Loan Trust 2017-B A4, 3.020%, 08/25/2042 | 440,714 | 0.0 |
6,479,496 | (1) | Laurel Road Prime Student Loan Trust 2020-A AFX, 1.400%, 11/25/2050 | 6,050,685 | 0.1 |
3,348,325 | (1) | Navient Private Education Refi Loan Trust 2020-DA A, 1.690%, 05/15/2069 | 3,165,190 | 0.0 |
3,975,485 | (1) | Navient Private Education Refi Loan Trust 2020-GA A, 1.170%, 09/16/2069 | 3,730,297 | 0.1 |
1,850,000 | (1) | Navient Private Education Refi Loan Trust 2021-F B, 2.120%, 02/18/2070 | 1,417,458 | 0.0 |
2,700,000 | (1) | SMB Private Education Loan Trust 2014-A C, 4.500%, 09/15/2045 | 2,406,103 | 0.0 |
1,450,000 | (1) | SMB Private Education Loan Trust 2017-A B, 3.500%, 06/17/2041 | 1,386,785 | 0.0 |
16,286,237 | (1) | SMB Private Education Loan Trust 2020-PTA A2A, 1.600%, 09/15/2054 | 14,850,916 | 0.2 |
4,100,000 | (1),(3) | SoFi Professional Loan Program 2016-E C, 4.430%, 10/25/2041 | 4,104,649 | 0.1 |
3,000,000 | (1),(3) | SoFi Professional Loan Program 2017-C B, 3.560%, 07/25/2040 | 2,929,091 | 0.0 |
3,900,000 | (1) | SoFi Professional Loan Program 2017-F BFX LLC, 3.620%, 01/25/2041 | 3,756,470 | 0.1 |
3,250,000 | (1) | Sofi Professional Loan Program 2018-A B LLC, 3.610%, 02/25/2042 | 3,139,634 | 0.0 |
8,000,000 | (1) | Sofi Professional Loan Program 2018-B BFX Trust, 3.830%, 08/25/2047 | 7,740,961 | 0.1 |
5,400,315 | (1) | Sofi Professional Loan Program 2018-C A2FX Trust, 3.590%, 01/25/2048 | 5,322,962 | 0.1 |
5,800,000 | (1) | Sofi Professional Loan Program 2018-C BFX Trust, 4.130%, 01/25/2048 | 5,625,200 | 0.1 |
2,507,728 | (1) | Sofi Professional Loan Program 2018-D A2FX Trust, 3.600%, 02/25/2048 | 2,471,508 | 0.0 |
6,000,000 | (1) | SoFi Professional Loan Program 2018-D BFX Trust, 4.140%, 02/25/2048 | 5,684,558 | 0.1 |
3,000,000 | (1) | SoFi Professional Loan Program 2019-B BFX LLC, 3.730%, 08/17/2048 | 2,824,672 | 0.0 |
9,725,664 | (1) | SoFi Professional Loan Program 2020-C AFX Trust, 1.950%, 02/15/2046 | 9,263,533 | 0.1 |
| | | 97,006,085 | 1.2 |
| | | | |
| Total Asset-Backed Securities | | |
| (Cost $930,304,095) | 868,329,468 | 10.4 |
| | | |
SOVEREIGN BONDS: 0.9% | |
6,809,042 | (10) | Argentine Republic Government International Bond, 0.500% (Step Rate @ 0.750% on 07/09/2023), 07/09/2030 | 1,614,993 | 0.0 |
504,551 | | Argentine Republic Government International Bond, 1.000%, 07/09/2029 | 115,994 | 0.0 |
1,819,735 | (10) | Argentine Republic Government International Bond, 1.125% (Step Rate @ 1.500% on 07/09/2022), 07/09/2035 | 394,198 | 0.0 |
700,000 | | Brazilian Government International Bond, 6.000%, 04/07/2026 | 724,220 | 0.0 |
1,000,000 | | Colombia Government International Bond, 3.125%, 04/15/2031 | 739,043 | 0.0 |
350,000 | | Colombia Government International Bond, 3.875%, 04/25/2027 | 310,097 | 0.0 |
5,900,000 | (1),(2) | Dominican Republic International Bond, 4.500%, 01/30/2030 | 4,752,851 | 0.1 |
2,700,000 | (1) | Dominican Republic International Bond, 4.875%, 09/23/2032 | 2,084,230 | 0.0 |
1,100,000 | (1) | Dominican Republic International Bond, 5.300%, 01/21/2041 | 766,196 | 0.0 |
1,500,000 | (1) | Egypt Government International Bond, 5.875%, 02/16/2031 | 936,127 | 0.0 |
3,150,000 | (1) | Egypt Government International Bond, 7.625%, 05/29/2032 | 2,071,802 | 0.0 |
1,500,000 | (1) | Egypt Government International Bond, 8.750%, 09/30/2051 | 907,789 | 0.0 |
4,340,000 | (1) | Hungary Government International Bond, 5.250%, 06/16/2029 | 4,335,443 | 0.1 |
EUR 2,800,000 | (1) | Ivory Coast Government International Bond, 4.875%, 01/30/2032 | 2,119,425 | 0.0 |
3,725,535 | (3) | Ivory Coast Government International Bond, 5.750%, 12/31/2032 | 3,238,980 | 0.1 |
3,000,000 | (2) | Mexico Government International Bond, 3.750%, 04/19/2071 | 1,916,159 | 0.0 |
1,750,000 | | Mexico Government International Bond, 3.771%, 05/24/2061 | 1,139,884 | 0.0 |
1,375,000 | | Mexico Government International Bond, 4.280%, 08/14/2041 | 1,090,148 | 0.0 |
2,500,000 | (1) | Morocco Government International Bond, 2.375%, 12/15/2027 | 2,019,735 | 0.0 |
1,450,000 | (1) | Morocco Government International Bond, 4.000%, 12/15/2050 | 851,875 | 0.0 |
600,000 | (1) | Morocco Government International Bond, 4.250%, 12/11/2022 | 600,389 | 0.0 |
3,400,000 | | Oman Government International Bond, 6.000%, 08/01/2029 | 3,283,394 | 0.1 |
1,625,000 | (1) | Oman Government International Bond, 7.375%, 10/28/2032 | 1,683,701 | 0.0 |
3,000,000 | (2) | Panama Government International Bond, 3.298%, 01/19/2033 | 2,570,426 | 0.1 |
600,000 | (1) | Paraguay Government International Bond, 4.625%, 01/25/2023 | 602,118 | 0.0 |
3,375,000 | (2) | Peruvian Government International Bond, 1.862%, 12/01/2032 | 2,567,051 | 0.1 |
2,525,000 | | Peruvian Government International Bond, 2.780%, 12/01/2060 | 1,569,200 | 0.0 |
12,300,000 | (2) | Republic of South Africa Government International Bond, 4.850%, 09/30/2029 | 10,537,656 | 0.1 |
EUR 2,050,000 | (1) | Romanian Government International Bond, 2.625%, 12/02/2040 | 1,256,169 | 0.0 |
4,900,000 | (1) | Romanian Government International Bond, 3.625%, 03/27/2032 | 3,859,314 | 0.1 |
3,600,000 | | Russian Foreign Bond - Eurobond, 4.250%, 06/23/2027 | 990,000 | 0.0 |
2,600,000 | | Russian Foreign Bond - Eurobond, 4.750%, 05/27/2026 | 715,000 | 0.0 |
2,450,000 | (1),(2) | Saudi Government International Bond, 3.450%, 02/02/2061 | 1,839,884 | 0.0 |
800,000 | | Turkey Government International Bond, 4.875%, 10/09/2026 | 643,050 | 0.0 |
1,000,000 | | Turkey Government International Bond, 5.125%, 02/17/2028 | 764,445 | 0.0 |
1,000,000 | | Turkey Government International Bond, 6.125%, 10/24/2028 | 788,200 | 0.0 |
1,700,000 | | Turkey Government International Bond, 6.375%, 10/14/2025 | 1,510,314 | 0.0 |
500,000 | | Ukraine Government International Bond, 7.375%, 09/25/2032 | 126,250 | 0.0 |
1,500,000 | | Ukraine Government International Bond, 7.750%, 09/01/2023 | 487,500 | 0.0 |
10,400,000 | | Ukraine Government International Bond, 7.750%, 09/01/2025 | 2,652,000 | 0.1 |
1,890,000 | | Ukraine Government International Bond, 7.750%, 09/01/2026 | 491,400 | 0.0 |
850,000 | | Ukraine Government International Bond, 7.750%, 09/01/2027 | 221,000 | 0.0 |
389,000 | | Ukraine Government International Bond, 9.750%, 11/01/2028 | 98,223 | 0.0 |
| | | | |
| Total Sovereign Bonds | | |
| (Cost $108,739,374) | 71,985,873 | 0.9 |
| | | |
| | | Value | Percentage of Net Assets |
PURCHASED OPTIONS (11): 0.0% |
| Total Purchased Options | | |
| (Cost $3,580,975) | 1,796,847 | 0.0 |
| | | |
| Total Long-Term Investments | | |
| (Cost $9,533,831,752) | 8,785,605,847 | 105.2 |
| | | |
Principal Amount† | | | Value | Percentage of Net Assets |
SHORT-TERM INVESTMENTS: 7.4% |
| | Commercial Paper: 1.1% |
3,000,000 | | American Electric Power Co., 1.990%, 07/20/2022 | 2,996,728 | 0.0 |
19,650,000 | | Entergy Corp., 1.990%, 08/08/2022 | 19,608,255 | 0.2 |
20,000,000 | | Entergy Corp., 2.000%, 08/09/2022 | 19,956,222 | 0.3 |
25,000,000 | | Entergy Corp., 2.150%, 08/25/2022 | 24,917,789 | 0.3 |
21,900,000 | | Sherwin-Williams Co., 1.690%, 07/05/2022 | 21,894,918 | 0.3 |
| | | |
| Total Commercial Paper | | |
| (Cost $89,402,445) | 89,373,912 | 1.1 |
| | | |
| | Floating Rate Notes: 2.3% |
1,650,000 | (12) | ANZ Bank, 1.620%, 07/13/2022 | 1,650,009 | 0.0 |
1,200,000 | (12) | ANZ Bank, 1.640%, 07/14/2022 | 1,200,012 | 0.0 |
4,800,000 | (12) | ANZ Bank, 1.660%, 08/18/2022 | 4,799,261 | 0.0 |
2,000,000 | (12) | Bank of America N.A., 1.620%, 07/06/2022 | 1,999,992 | 0.0 |
1,700,000 | (12) | Bank of America N.A., 1.660%, 08/16/2022 | 1,699,670 | 0.0 |
5,675,000 | (12) | Bank of Montreal, 1.650%, 07/25/2022 | 5,674,841 | 0.1 |
1,825,000 | (12) | Bank of Nova Scotia, 1.650%, 07/12/2022 | 1,825,032 | 0.0 |
3,625,000 | (12) | Bank of Nova Scotia, 1.680%, 07/18/2022 | 3,625,022 | 0.0 |
5,975,000 | (12) | Barclays Bank PLC, 1.690%, 07/22/2022 | 5,974,856 | 0.1 |
5,850,000 | (12) | Bayeriche Landesbank of New York, 1.710%, 07/27/2022 | 5,850,030 | 0.1 |
5,150,000 | (12) | Commonwealth Bank of Australia, 1.690%, 09/01/2022 | 5,148,732 | 0.1 |
1,975,000 | (12) | Cooperatieve Rabobank U.A./New York, 1.640%, 07/11/2022 | 1,975,033 | 0.0 |
5,500,000 | (12) | Cooperatieve Rabobank U.A./New York, 1.650%, 08/03/2022 | 5,499,695 | 0.1 |
2,275,000 | (12) | Cooperatieve Rabobank U.A./New York, 1.660%, 08/16/2022 | 2,274,711 | 0.0 |
4,000,000 | (12) | Credit Agricole, 1.630%, 07/21/2022 | 3,999,975 | 0.0 |
1,000,000 | (12) | Credit Agricole, 1.650%, 08/04/2022 | 1,000,007 | 0.0 |
1,975,000 | (12) | Credit Industriel et Commercial, 1.640%, 07/05/2022 | 1,975,027 | 0.0 |
1,875,000 | (12) | Credit Industriel et Commercial, 1.650%, 07/07/2022 | 1,875,032 | 0.0 |
5,925,000 | (12) | Credit Industriel et Commercial, 1.680%, 08/08/2022 | 5,924,703 | 0.1 |
6,075,000 | (12) | Credit Suisse AG, 1.670%, 07/19/2022 | 6,075,255 | 0.1 |
6,000,000 | (12) | Mitsubishi UFJ Trust and Banking Corp., 1.670%, 07/22/2022 | 5,999,815 | 0.1 |
5,550,000 | (12) | Mitsubishi UFJ Trust and Banking Corp., 1.700%, 07/26/2022 | 5,549,907 | 0.1 |
6,000,000 | (12) | Mizuho Bank Ltd., 1.680%, 07/25/2022 | 5,999,915 | 0.1 |
2,325,000 | (12) | Mizuho Bank Ltd., 1.690%, 07/28/2022 | 2,325,000 | 0.0 |
1,675,000 | (12) | Mizuho Bank Ltd., 1.700%, 08/10/2022 | 1,674,887 | 0.0 |
5,925,000 | (12) | National Australia Bank Ltd., 1.640%, 08/08/2022 | 5,924,486 | 0.1 |
5,225,000 | (12) | National Australia Bank Ltd., 1.660%, 08/15/2022 | 5,224,431 | 0.1 |
5,875,000 | (12) | National Bank of Canada, 1.670%, 08/09/2022 | 5,874,607 | 0.1 |
1,950,000 | (12) | Natixis SA, 1.630%, 07/11/2022 | 1,950,026 | 0.0 |
5,425,000 | (12) | Royal Bank of Canada, 1.660%, 08/16/2022 | 5,424,269 | 0.1 |
4,775,000 | (12) | Royal Bank of Canada, 1.690%, 08/23/2022 | 4,774,212 | 0.0 |
3,300,000 | (12) | Sheffield Receivables Company LLC, 1.720%, 07/27/2022 | 3,300,128 | 0.0 |
12,025,000 | (12) | Skandinaviska Enskilda Banken AB, 1.650%, 07/20/2022 | 12,024,808 | 0.1 |
6,025,000 | (12) | Societe Generale, 1.670%, 08/08/2022 | 6,025,611 | 0.1 |
2,025,000 | (12) | Societe Generale, 1.710%, 08/31/2022 | 2,025,188 | 0.0 |
5,275,000 | (12) | Starbird Funding Corp., 1.690%, 08/23/2022 | 5,274,066 | 0.1 |
5,000,000 | (12) | Sumitomo Mitsui Trust Bank Ltd., 1.670%, 07/25/2022 | 4,999,929 | 0.1 |
4,950,000 | (12) | Sumitomo Mitsui Trust Bank Ltd., 1.670%, 07/28/2022 | 4,949,923 | 0.0 |
2,375,000 | (12) | Sumitomo Mitsui Trust Bank Ltd., 1.680%, 07/29/2022 | 2,375,000 | 0.0 |
6,000,000 | (12) | Sumitomo Mitsui Trust Bank Ltd., 1.690%, 08/01/2022 | 5,999,957 | 0.1 |
1,900,000 | (12) | Sumitomo Mitsui Trust Bank Ltd., 1.690%, 08/04/2022 | 1,899,963 | 0.0 |
1,925,000 | (12) | Svenska Handelsbanken AB, 1.640%, 07/11/2022 | 1,925,026 | 0.0 |
5,425,000 | (12) | Svenska Handelsbanken AB, 1.670%, 07/29/2022 | 5,424,825 | 0.1 |
5,800,000 | (12) | Toronto-Dominion Bank, 1.650%, 07/25/2022 | 5,799,867 | 0.1 |
6,025,000 | (12) | Toronto-Dominion Bank, 1.660%, 08/19/2022 | 6,024,373 | 0.1 |
5,150,000 | (12) | Westpac Banking Corp., 1.650%, 08/02/2022 | 5,149,754 | 0.1 |
| | | |
| Total Floating Rate Notes | | |
| (Cost $193,966,868) | 193,966,868 | 2.3 |
| | | |
| | Repurchase Agreements: 3.0% |
5,542,892 | (12) | Amherst Pierpoint Securities LLC, Repurchase Agreement dated 06/30/22, 1.54%, due 07/01/22 (Repurchase Amount $5,543,126, collateralized by various U.S. Government/U.S. Government Agency Obligations, 0.000%-5.000%, Market Value plus accrued interest $5,653,750, due 09/15/26-07/01/52) | 5,542,892 | 0.1 |
6,320,772 | (12) | Bethesda Securities LLC, Repurchase Agreement dated 06/30/22, 1.58%, due 07/01/22 (Repurchase Amount $6,321,046, collateralized by various U.S. Government Agency Obligations, 2.000%-5.500%, Market Value plus accrued interest $6,510,395, due 04/01/23-05/01/52) | 6,320,772 | 0.1 |
51,712,183 | (12) | Cantor Fitzgerald Securities, Repurchase Agreement dated 06/30/22, 1.55%, due 07/01/22 (Repurchase Amount $51,714,379, collateralized by various U.S. Government/U.S. Government Agency Obligations, 0.000%-9.000%, Market Value plus accrued interest $52,746,427, due 08/01/22-01/20/68) | 51,712,183 | 0.6 |
15,981,096 | (12) | CF Secured LLC, Repurchase Agreement dated 06/30/22, 1.48%-1.55%, due 07/01/22 (Repurchase Amount $15,981,757, collateralized by various U.S. Gov't/U.S. Gov't Agency Obligations, 0.000%-4.610%, Market Value plus accrued interest $16,300,718, due 09/15/22-07/20/67) | 15,981,096 | 0.2 |
28,904,378 | (12) | Citadel Securities LLC, Repurchase Agreement dated 06/30/22, 1.55%, due 07/01/22 (Repurchase Amount $28,905,605, collateralized by various U.S. Government Securities, 0.000%-7.250%, Market Value plus accrued interest $29,483,961, due 07/21/22-05/15/52) | 28,904,378 | 0.3 |
15,721,031 | (12) | Industrial & Comm. Bank of China, Repurchase Agreement dated 06/30/22, 1.50%, due 07/01/22 (Repurchase Amount $15,721,677, collateralized by various U.S. Government Securities, 0.000%-3.250%, Market Value plus accrued interest $16,035,452, due 12/29/22-06/30/27) | 15,721,031 | 0.2 |
17,711,777 | (12) | Mirae Asset Securities USA Inc., Repurchase Agreement dated 06/30/22, 1.59%, due 07/01/22 (Repurchase Amount $17,712,549, collateralized by various U.S. Government/U.S. Government Agency Obligations, 0.550%-8.250%, Market Value plus accrued interest $18,066,810, due 08/01/22-02/20/72) | 17,711,777 | 0.2 |
77,023,346 | (12) | RBC Dominion Securities Inc., Repurchase Agreement dated 06/30/22, 1.55%, due 07/01/22 (Repurchase Amount $77,026,617, collateralized by various U.S. Government/U.S. Government Agency Obligations, 0.000%-6.875%, Market Value plus accrued interest $78,563,814, due 08/16/22-05/20/52) | 77,023,346 | 0.9 |
33,879,170 | (12) | State of Wisconsin Investment Board, Repurchase Agreement dated 06/30/22, 1.55%, due 07/01/22 (Repurchase Amount $33,880,609, collateralized by various U.S. Government Securities, 0.125%-3.875%, Market Value plus accrued interest $34,556,806, due 01/15/25-02/15/51) | 33,879,170 | 0.4 |
| | | |
| Total Repurchase Agreements | | |
| (Cost $252,796,645) | 252,796,645 | 3.0 |
At June 30, 2022, the following futures contracts were outstanding for Voya Intermediate Bond Fund:
At June 30, 2022, the following centrally cleared interest rate swaps were outstanding for Voya Intermediate Bond Fund:
At June 30, 2022, the following OTC purchased foreign currency dual digital options were outstanding for Voya Intermediate Bond Fund:
At June 30, 2022, the following OTC purchased foreign currency options were outstanding for Voya Intermediate Bond Fund:
At June 30, 2022, the following OTC written interest rate swaptions were outstanding for Voya Intermediate Bond Fund:
At June 30, 2022, the following OTC forward premium swaptions were outstanding for Voya Intermediate 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: