Quarterly Holdings Report
for
Strategic Advisers® Core Income Fund
Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general publicNovember 30, 2020
SSC-QTLY-0121
1.912893.110
Schedule of Investments November 30, 2020 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 9.1% | |||
Principal Amount | Value | ||
COMMUNICATION SERVICES - 0.9% | |||
Diversified Telecommunication Services - 0.3% | |||
AT&T, Inc.: | |||
3.5% 6/1/41 | $4,880,000 | $5,255,459 | |
3.5% 9/15/53 (a) | 423,000 | 433,211 | |
3.55% 9/15/55 (a) | 1,524,000 | 1,559,707 | |
3.65% 9/15/59 (a) | 223,000 | 227,198 | |
4.1% 2/15/28 | 2,042,000 | 2,401,858 | |
4.3% 2/15/30 | 3,709,000 | 4,428,382 | |
4.5% 5/15/35 | 1,980,000 | 2,396,520 | |
4.5% 3/9/48 | 23,025,000 | 28,059,543 | |
4.75% 5/15/46 | 40,000,000 | 49,171,112 | |
4.8% 6/15/44 | 219,000 | 274,621 | |
4.9% 6/15/42 | 7,000,000 | 8,756,120 | |
5.15% 11/15/46 | 10,160,000 | 13,321,850 | |
6.2% 3/15/40 | 2,433,000 | 3,391,378 | |
6.3% 1/15/38 | 2,523,000 | 3,607,897 | |
British Telecommunications PLC 9.625% 12/15/30 (b) | 575,000 | 938,344 | |
C&W Senior Financing Designated Activity Co.: | |||
6.875% 9/15/27 (a) | 450,000 | 485,271 | |
7.5% 10/15/26 (a) | 855,000 | 909,506 | |
Cablevision Lightpath LLC 3.875% 9/15/27 (a) | 10,000 | 10,111 | |
Century Telephone Enterprises, Inc. 6.875% 1/15/28 | 15,000 | 17,213 | |
CenturyLink, Inc.: | |||
5.125% 12/15/26 (a) | 185,000 | 192,370 | |
5.625% 4/1/25 | 175,000 | 187,688 | |
Frontier Communications Corp.: | |||
5% 5/1/28 (a) | 110,000 | 111,650 | |
5.875% 10/15/27 (a) | 95,000 | 99,869 | |
6.75% 5/1/29 (a) | 115,000 | 119,025 | |
Level 3 Financing, Inc.: | |||
3.625% 1/15/29 (a) | 35,000 | 35,043 | |
4.25% 7/1/28 (a) | 1,520,000 | 1,569,400 | |
Sable International Finance Ltd. 5.75% 9/7/27 (a) | 585,000 | 628,144 | |
SFR Group SA: | |||
5.125% 1/15/29 (a) | 300,000 | 310,122 | |
7.375% 5/1/26 (a) | 510,000 | 535,500 | |
8.125% 2/1/27 (a) | 135,000 | 148,838 | |
Sprint Capital Corp.: | |||
6.875% 11/15/28 | 1,000,000 | 1,298,700 | |
8.75% 3/15/32 | 395,000 | 606,574 | |
Telecom Italia SpA 5.303% 5/30/24 (a) | 370,000 | 402,375 | |
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (a) | 400,000 | 428,200 | |
Verizon Communications, Inc.: | |||
2.65% 11/20/40 | 1,265,000 | 1,300,806 | |
2.987% 10/30/56 (a) | 1,660,000 | 1,755,776 | |
3.15% 3/22/30 | 2,673,000 | 3,004,580 | |
4.016% 12/3/29 | 996,000 | 1,184,559 | |
4.5% 8/10/33 | 1,310,000 | 1,668,715 | |
4.522% 9/15/48 | 2,266,000 | 3,010,603 | |
4.862% 8/21/46 | 700,000 | 961,900 | |
5.012% 4/15/49 | 156,000 | 220,877 | |
Virgin Media Finance PLC 5% 7/15/30 (a) | 270,000 | 283,500 | |
145,710,115 | |||
Entertainment - 0.0% | |||
NBCUniversal, Inc. 5.95% 4/1/41 | 1,495,000 | 2,293,910 | |
Netflix, Inc.: | |||
4.375% 11/15/26 | 165,000 | 182,944 | |
4.875% 4/15/28 | 145,000 | 166,025 | |
4.875% 6/15/30 (a) | 70,000 | 80,938 | |
5.375% 11/15/29 (a) | 120,000 | 143,286 | |
5.875% 11/15/28 | 635,000 | 766,877 | |
6.375% 5/15/29 | 55,000 | 69,013 | |
The Walt Disney Co. 4.75% 9/15/44 | 1,430,000 | 1,937,574 | |
Viacom, Inc.: | |||
3.875% 4/1/24 | 1,380,000 | 1,506,144 | |
5.85% 9/1/43 | 220,000 | 302,576 | |
7,449,287 | |||
Media - 0.5% | |||
Altice Financing SA: | |||
5% 1/15/28 (a) | 200,000 | 204,274 | |
7.5% 5/15/26 (a) | 300,000 | 316,500 | |
Altice France Holding SA 6% 2/15/28 (a) | 105,000 | 106,570 | |
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||
4% 3/1/23 (a) | 950,000 | 957,125 | |
4.5% 8/15/30 (a) | 180,000 | 189,675 | |
4.5% 5/1/32 (a) | 370,000 | 391,053 | |
5.75% 2/15/26 (a) | 1,650,000 | 1,710,407 | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
3.7% 4/1/51 | 535,000 | 560,084 | |
4.464% 7/23/22 | 11,002,000 | 11,628,672 | |
4.908% 7/23/25 | 7,565,000 | 8,756,715 | |
5.375% 4/1/38 | 450,000 | 563,380 | |
5.375% 5/1/47 | 31,249,000 | 39,617,859 | |
5.75% 4/1/48 | 14,203,000 | 18,809,069 | |
6.384% 10/23/35 | 2,985,000 | 4,131,316 | |
6.484% 10/23/45 | 1,295,000 | 1,846,457 | |
Comcast Corp.: | |||
3.4% 4/1/30 | 2,121,000 | 2,450,324 | |
3.75% 4/1/40 | 370,000 | 448,960 | |
3.9% 3/1/38 | 1,317,000 | 1,620,052 | |
3.999% 11/1/49 | 320,000 | 408,020 | |
4.15% 10/15/28 | 700,000 | 842,326 | |
4.6% 8/15/45 | 2,420,000 | 3,263,819 | |
4.65% 7/15/42 | 4,121,000 | 5,574,495 | |
CSC Holdings LLC: | |||
4.125% 12/1/30 (a) | 215,000 | 222,482 | |
4.625% 12/1/30 (a) | 170,000 | 174,029 | |
Discovery Communications LLC: | |||
3.625% 5/15/30 | 4,338,000 | 4,944,600 | |
4% 9/15/55 (a) | 1,225,000 | 1,361,862 | |
4.65% 5/15/50 | 11,727,000 | 14,391,229 | |
5.3% 5/15/49 | 1,310,000 | 1,711,534 | |
DISH DBS Corp. 5.875% 11/15/24 | 200,000 | 212,707 | |
Fox Corp.: | |||
4.709% 1/25/29 | 2,509,000 | 3,033,551 | |
5.476% 1/25/39 | 2,474,000 | 3,440,320 | |
5.576% 1/25/49 | 1,641,000 | 2,397,759 | |
Gray Television, Inc. 4.75% 10/15/30 (a) | 100,000 | 101,375 | |
Radiate Holdco LLC/Radiate Financial Service Ltd. 4.5% 9/15/26 (a) | 270,000 | 280,800 | |
Sirius XM Radio, Inc.: | |||
4.125% 7/1/30 (a) | 65,000 | 68,104 | |
5.5% 7/1/29 (a) | 1,000,000 | 1,095,000 | |
Time Warner Cable, Inc.: | |||
4% 9/1/21 | 16,424,000 | 16,690,536 | |
5.5% 9/1/41 | 2,591,000 | 3,296,076 | |
5.875% 11/15/40 | 5,543,000 | 7,174,986 | |
6.55% 5/1/37 | 8,522,000 | 11,747,039 | |
7.3% 7/1/38 | 6,393,000 | 9,378,470 | |
TWDC Enterprises 18 Corp. 1.85% 7/30/26 | 305,000 | 320,525 | |
Virgin Media Secured Finance PLC: | |||
4.5% 8/15/30 (a) | 245,000 | 257,250 | |
5.5% 8/15/26 (a) | 300,000 | 313,839 | |
5.5% 5/15/29 (a) | 175,000 | 189,875 | |
Ziggo Bond Co. BV 5.125% 2/28/30 (a) | 215,000 | 227,900 | |
Ziggo BV 5.5% 1/15/27 (a) | 1,379,000 | 1,442,710 | |
188,871,710 | |||
Wireless Telecommunication Services - 0.1% | |||
Intelsat Jackson Holdings SA 8% 2/15/24 (a) | 595,000 | 608,388 | |
Millicom International Cellular SA: | |||
4.5% 4/27/31 (a) | 200,000 | 215,368 | |
5.125% 1/15/28 (a) | 385,000 | 411,488 | |
6.625% 10/15/26 (a) | 225,000 | 243,844 | |
Rogers Communications, Inc. 3% 3/15/23 | 150,000 | 157,622 | |
SoftBank Group Corp. 5.375% 7/30/22 (Reg. S) | 200,000 | 207,500 | |
Sprint Corp. 7.875% 9/15/23 | 300,000 | 345,750 | |
T-Mobile U.S.A., Inc.: | |||
3% 2/15/41 (a) | 2,795,000 | 2,876,223 | |
3.75% 4/15/27 (a) | 7,970,000 | 9,022,837 | |
3.875% 4/15/30 (a) | 10,604,000 | 12,161,622 | |
4.375% 4/15/40 (a) | 1,721,000 | 2,101,840 | |
4.5% 4/15/50 (a) | 3,381,000 | 4,224,729 | |
32,577,211 | |||
TOTAL COMMUNICATION SERVICES | 374,608,323 | ||
CONSUMER DISCRETIONARY - 0.4% | |||
Automobiles - 0.1% | |||
General Motors Co.: | |||
6.25% 10/2/43 | 465,000 | 628,008 | |
6.75% 4/1/46 | 1,600,000 | 2,280,146 | |
General Motors Financial Co., Inc.: | |||
3.7% 5/9/23 | 11,800,000 | 12,501,123 | |
4% 1/15/25 | 830,000 | 908,485 | |
4.25% 5/15/23 | 1,875,000 | 2,019,713 | |
4.375% 9/25/21 | 7,321,000 | 7,530,373 | |
25,867,848 | |||
Diversified Consumer Services - 0.0% | |||
Brown University 2.924% 9/1/50 | 700,000 | 780,516 | |
California Institute of Technology 3.65% 9/1/19 | 535,000 | 580,706 | |
GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (a) | 320,000 | 326,800 | |
Ingersoll-Rand Global Holding Co. Ltd. 4.25% 6/15/23 | 425,000 | 464,425 | |
President and Fellows of Harvard College: | |||
3.15% 7/15/46 | 190,000 | 222,032 | |
3.3% 7/15/56 | 190,000 | 228,591 | |
Service Corp. International 5.125% 6/1/29 | 270,000 | 300,038 | |
Sotheby's 7.375% 10/15/27 (a)(c) | 200,000 | 210,000 | |
Trustees of Boston University 4.061% 10/1/48 | 450,000 | 568,147 | |
University of Pennsylvania Trustees: | |||
2.396% 10/1/50 | 495,000 | 508,148 | |
3.61% 2/15/2119 | 285,000 | 313,462 | |
University of Southern California 3.841% 10/1/47 | 705,000 | 870,112 | |
Yale University 2.402% 4/15/50 | 1,615,000 | 1,647,518 | |
7,020,495 | |||
Hotels, Restaurants & Leisure - 0.0% | |||
1011778 BC Unlimited Liability Co./New Red Finance, Inc.: | |||
4.25% 5/15/24 (a) | 155,000 | 158,150 | |
4.375% 1/15/28 (a) | 280,000 | 289,100 | |
5.75% 4/15/25 (a) | 90,000 | 96,089 | |
Aramark Services, Inc.: | |||
4.75% 6/1/26 | 100,000 | 102,200 | |
5% 2/1/28 (a) | 1,990,000 | 2,089,998 | |
Caesars Entertainment, Inc. 6.25% 7/1/25 (a) | 380,000 | 405,266 | |
Caesars Resort Collection LLC 5.25% 10/15/25 (a) | 300,000 | 300,000 | |
Carnival Corp. 7.625% 3/1/26 (a) | 75,000 | 79,125 | |
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. 4.625% 4/1/25 | 400,000 | 409,248 | |
Marriott International, Inc.: | |||
3.125% 6/15/26 | 1,090,000 | 1,145,130 | |
3.6% 4/15/24 | 660,000 | 697,909 | |
McDonald's Corp. 4.7% 12/9/35 | 1,535,000 | 2,004,468 | |
MCE Finance Ltd.: | |||
4.875% 6/6/25 (a) | 300,000 | 306,435 | |
5.375% 12/4/29 (a) | 110,000 | 112,573 | |
5.75% 7/21/28 (a) | 115,000 | 120,808 | |
Royal Caribbean Cruises Ltd.: | |||
9.125% 6/15/23 (a) | 55,000 | 59,538 | |
11.5% 6/1/25 (a) | 550,000 | 644,188 | |
Starbucks Corp. 1.3% 5/7/22 | 3,742,000 | 3,790,408 | |
Wyndham Hotels & Resorts, Inc. 5.375% 4/15/26 (a) | 200,000 | 206,500 | |
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.: | |||
5.25% 5/15/27 (a) | 215,000 | 217,150 | |
5.5% 3/1/25 (a) | 270,000 | 275,400 | |
Wynn Macau Ltd.: | |||
4.875% 10/1/24 (a) | 205,000 | 205,705 | |
5.5% 10/1/27 (a) | 190,000 | 191,484 | |
Yum! Brands, Inc. 7.75% 4/1/25 (a) | 330,000 | 365,475 | |
14,272,347 | |||
Household Durables - 0.2% | |||
Lennar Corp.: | |||
4.75% 11/29/27 | 9,350,000 | 11,091,438 | |
5% 6/15/27 | 12,100,000 | 14,325,190 | |
5.25% 6/1/26 | 2,920,000 | 3,452,900 | |
Newell Brands, Inc. 5.875% 4/1/36 | 30,000 | 36,000 | |
Toll Brothers Finance Corp.: | |||
4.35% 2/15/28 | 29,675,000 | 32,939,250 | |
4.375% 4/15/23 | 5,000,000 | 5,306,250 | |
4.875% 11/15/25 | 35,000 | 39,506 | |
4.875% 3/15/27 | 7,917,000 | 9,075,366 | |
5.625% 1/15/24 | 885,000 | 981,244 | |
5.875% 2/15/22 | 12,000,000 | 12,476,160 | |
89,723,304 | |||
Internet & Direct Marketing Retail - 0.0% | |||
Amazon.com, Inc. 2.8% 8/22/24 | 1,045,000 | 1,131,113 | |
Match Group Holdings II LLC 4.125% 8/1/30 (a) | 70,000 | 72,450 | |
1,203,563 | |||
Leisure Products - 0.0% | |||
Hasbro, Inc.: | |||
2.6% 11/19/22 | 2,485,000 | 2,572,505 | |
3% 11/19/24 | 5,655,000 | 6,090,135 | |
Mattel, Inc.: | |||
5.45% 11/1/41 | 20,000 | 21,200 | |
6.75% 12/31/25 (a) | 145,000 | 152,497 | |
8,836,337 | |||
Multiline Retail - 0.0% | |||
Dollar Tree, Inc. 4.2% 5/15/28 | 1,395,000 | 1,654,426 | |
Specialty Retail - 0.1% | |||
AutoNation, Inc. 4.75% 6/1/30 | 953,000 | 1,145,681 | |
AutoZone, Inc.: | |||
1.65% 1/15/31 | 155,000 | 152,186 | |
3.75% 4/18/29 | 1,200,000 | 1,380,933 | |
4% 4/15/30 | 6,924,000 | 8,148,628 | |
Lowe's Companies, Inc. 4.25% 9/15/44 | 85,000 | 102,248 | |
O'Reilly Automotive, Inc.: | |||
1.75% 3/15/31 | 420,000 | 417,674 | |
4.2% 4/1/30 | 1,533,000 | 1,839,228 | |
The Home Depot, Inc.: | |||
3.75% 2/15/24 | 1,026,000 | 1,126,580 | |
4.875% 2/15/44 | 975,000 | 1,383,708 | |
5.875% 12/16/36 | 300,000 | 455,658 | |
16,152,524 | |||
Textiles, Apparel & Luxury Goods - 0.0% | |||
Wolverine World Wide, Inc. 6.375% 5/15/25 (a) | 270,000 | 286,200 | |
TOTAL CONSUMER DISCRETIONARY | 165,017,044 | ||
CONSUMER STAPLES - 0.6% | |||
Beverages - 0.4% | |||
Anheuser-Busch Companies LLC / Anheuser-Busch InBev Worldwide, Inc.: | |||
3.65% 2/1/26 | 575,000 | 649,629 | |
4.7% 2/1/36 | 2,765,000 | 3,532,162 | |
4.9% 2/1/46 | 1,175,000 | 1,532,364 | |
Anheuser-Busch InBev Finance, Inc.: | |||
4.7% 2/1/36 | 9,871,000 | 12,267,115 | |
4.9% 2/1/46 | 12,306,000 | 15,996,252 | |
Anheuser-Busch InBev Worldwide, Inc.: | |||
3.5% 6/1/30 | 8,175,000 | 9,443,483 | |
4.35% 6/1/40 | 4,618,000 | 5,722,472 | |
4.5% 6/1/50 | 8,175,000 | 10,237,749 | |
4.6% 6/1/60 | 5,007,000 | 6,396,303 | |
4.75% 4/15/58 | 6,987,000 | 9,215,644 | |
5.45% 1/23/39 | 5,390,000 | 7,342,162 | |
5.55% 1/23/49 | 14,627,000 | 20,996,313 | |
5.8% 1/23/59 (Reg. S) | 15,062,000 | 22,985,596 | |
Constellation Brands, Inc.: | |||
3.7% 12/6/26 | 925,000 | 1,060,935 | |
4.4% 11/15/25 | 480,000 | 558,076 | |
4.75% 11/15/24 | 5,595,000 | 6,441,476 | |
Diageo Capital PLC 2.125% 4/29/32 | 390,000 | 412,823 | |
PepsiCo, Inc.: | |||
2.625% 3/19/27 | 839,000 | 924,035 | |
2.75% 3/5/22 | 900,000 | 928,326 | |
3.1% 7/17/22 | 260,000 | 270,855 | |
3.6% 3/1/24 | 1,952,000 | 2,137,066 | |
139,050,836 | |||
Food & Staples Retailing - 0.0% | |||
Costco Wholesale Corp. 1.6% 4/20/30 | 540,000 | 554,087 | |
Kroger Co. 2.65% 10/15/26 | 530,000 | 578,081 | |
U.S. Foods, Inc. 6.25% 4/15/25 (a) | 185,000 | 196,756 | |
Walgreens Boots Alliance, Inc. 3.3% 11/18/21 | 2,632,000 | 2,691,853 | |
4,020,777 | |||
Food Products - 0.2% | |||
General Mills, Inc. 2.875% 4/15/30 | 410,000 | 455,847 | |
H.J. Heinz Finance Co. 7.125% 8/1/39 (a) | 9,093,000 | 12,753,201 | |
Hormel Foods Corp. 1.8% 6/11/30 | 2,425,000 | 2,524,342 | |
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc. 5.75% 6/15/25 (a) | 1,300,000 | 1,340,625 | |
JBS U.S.A. Lux SA / JBS Food Co.: | |||
5.5% 1/15/30 (a) | 15,375,000 | 17,283,038 | |
6.5% 4/15/29 (a) | 14,275,000 | 16,344,875 | |
Kraft Heinz Foods Co.: | |||
3.875% 5/15/27 (a) | 235,000 | 254,253 | |
4.25% 3/1/31 (a) | 220,000 | 244,186 | |
4.375% 6/1/46 | 7,290,000 | 7,775,385 | |
5% 7/15/35 | 920,000 | 1,083,779 | |
5.2% 7/15/45 | 4,602,000 | 5,424,997 | |
Lamb Weston Holdings, Inc. 4.875% 5/15/28 (a) | 345,000 | 382,950 | |
Post Holdings, Inc.: | |||
4.625% 4/15/30 (a) | 40,000 | 41,760 | |
5.5% 12/15/29 (a) | 270,000 | 292,950 | |
The J.M. Smucker Co. 3.5% 3/15/25 | 310,000 | 344,747 | |
TreeHouse Foods, Inc. 4% 9/1/28 | 165,000 | 167,508 | |
Tyson Foods, Inc. 4% 3/1/26 | 2,520,000 | 2,912,174 | |
69,626,617 | |||
Tobacco - 0.0% | |||
Altria Group, Inc.: | |||
2.85% 8/9/22 | 1,570,000 | 1,633,805 | |
4% 1/31/24 | 1,380,000 | 1,515,568 | |
4.25% 8/9/42 | 365,000 | 411,114 | |
BAT Capital Corp.: | |||
3.215% 9/6/26 | 490,000 | 537,002 | |
3.222% 8/15/24 | 1,095,000 | 1,184,733 | |
3.557% 8/15/27 | 1,370,000 | 1,522,194 | |
4.7% 4/2/27 | 325,000 | 380,456 | |
Philip Morris International, Inc.: | |||
1.125% 5/1/23 | 1,430,000 | 1,457,687 | |
3.875% 8/21/42 | 530,000 | 634,285 | |
9,276,844 | |||
TOTAL CONSUMER STAPLES | 221,975,074 | ||
ENERGY - 1.1% | |||
Energy Equipment & Services - 0.0% | |||
Baker Hughes Co. 4.08% 12/15/47 | 145,000 | 166,691 | |
El Paso Pipeline Partners Operating Co. LLC 5% 10/1/21 | 1,212,000 | 1,243,447 | |
Halliburton Co.: | |||
4.75% 8/1/43 | 445,000 | 480,594 | |
6.7% 9/15/38 | 170,000 | 221,777 | |
2,112,509 | |||
Oil, Gas & Consumable Fuels - 1.1% | |||
Alberta Energy Co. Ltd. 8.125% 9/15/30 | 6,179,000 | 7,119,442 | |
Amerada Hess Corp.: | |||
7.125% 3/15/33 | 1,335,000 | 1,684,534 | |
7.3% 8/15/31 | 1,849,000 | 2,301,572 | |
7.875% 10/1/29 | 5,583,000 | 7,072,183 | |
Apache Corp.: | |||
4.75% 4/15/43 | 335,000 | 333,325 | |
4.875% 11/15/27 | 185,000 | 193,233 | |
5.25% 2/1/42 | 210,000 | 215,607 | |
Cheniere Energy Partners LP: | |||
5.25% 10/1/25 | 1,405,000 | 1,441,881 | |
5.625% 10/1/26 | 810,000 | 845,438 | |
Cheniere Energy, Inc. 4.625% 10/15/28 (a) | 230,000 | 238,338 | |
Chevron Corp.: | |||
2.355% 12/5/22 | 840,000 | 871,200 | |
2.566% 5/16/23 | 4,322,000 | 4,548,841 | |
CNOOC Finance (2013) Ltd. 2.875% 9/30/29 | 1,825,000 | 1,900,852 | |
Columbia Pipeline Group, Inc. 4.5% 6/1/25 | 1,418,000 | 1,631,486 | |
Concho Resources, Inc.: | |||
2.4% 2/15/31 | 410,000 | 428,098 | |
3.75% 10/1/27 | 915,000 | 1,040,181 | |
4.3% 8/15/28 | 2,540,000 | 3,011,576 | |
4.875% 10/1/47 | 185,000 | 245,881 | |
Conoco, Inc. 6.95% 4/15/29 | 425,000 | 592,979 | |
Continental Resources, Inc. 5.75% 1/15/31 (a) | 235,000 | 252,038 | |
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.: | |||
5.625% 5/1/27 (a) | 480,000 | 461,657 | |
5.75% 4/1/25 | 1,657,000 | 1,644,573 | |
6.25% 4/1/23 | 80,000 | 80,362 | |
CVR Energy, Inc.: | |||
5.25% 2/15/25 (a) | 330,000 | 290,400 | |
5.75% 2/15/28 (a) | 40,000 | 33,500 | |
DCP Midstream LLC: | |||
4.75% 9/30/21 (a) | 2,017,000 | 2,044,734 | |
5.85% 5/21/43 (a)(b) | 7,892,000 | 6,313,600 | |
DCP Midstream Operating LP: | |||
3.875% 3/15/23 | 17,626,000 | 18,066,650 | |
5.125% 5/15/29 | 355,000 | 376,076 | |
5.375% 7/15/25 | 345,000 | 372,169 | |
5.6% 4/1/44 | 3,773,000 | 3,527,755 | |
5.625% 7/15/27 | 260,000 | 281,450 | |
Devon Energy Corp.: | |||
5% 6/15/45 | 915,000 | 1,027,368 | |
5.6% 7/15/41 | 175,000 | 204,784 | |
Ecopetrol SA: | |||
4.125% 1/16/25 | 300,000 | 323,728 | |
5.375% 6/26/26 | 1,240,000 | 1,420,149 | |
5.875% 9/18/23 | 360,000 | 400,860 | |
6.875% 4/29/30 | 200,000 | 252,800 | |
EG Global Finance PLC: | |||
6.75% 2/7/25 (a) | 220,000 | 227,700 | |
8.5% 10/30/25 (a) | 380,000 | 409,431 | |
Enable Midstream Partners LP 3.9% 5/15/24 (b) | 1,210,000 | 1,216,434 | |
Enbridge Energy Partners LP 4.2% 9/15/21 | 2,044,000 | 2,084,828 | |
Enbridge, Inc.: | |||
4% 10/1/23 | 3,799,000 | 4,115,430 | |
4.25% 12/1/26 | 1,943,000 | 2,248,817 | |
Encana Corp. 5.15% 11/15/41 | 3,000,000 | 2,781,591 | |
Endeavor Energy Resources LP/EER Finance, Inc.: | |||
5.5% 1/30/26 (a) | 20,000 | 20,575 | |
5.75% 1/30/28 (a) | 180,000 | 191,430 | |
6.625% 7/15/25 (a) | 45,000 | 47,965 | |
Energy Transfer Partners LP: | |||
3.75% 5/15/30 | 2,964,000 | 3,073,784 | |
4.2% 9/15/23 | 1,452,000 | 1,545,932 | |
4.25% 3/15/23 | 1,373,000 | 1,445,103 | |
4.5% 4/15/24 | 1,723,000 | 1,857,136 | |
4.75% 1/15/26 | 250,000 | 277,461 | |
4.95% 6/15/28 | 4,954,000 | 5,539,386 | |
5% 5/15/50 | 6,600,000 | 7,000,591 | |
5.25% 4/15/29 | 2,803,000 | 3,172,311 | |
5.8% 6/15/38 | 2,762,000 | 3,051,580 | |
6% 6/15/48 | 1,799,000 | 2,022,445 | |
6.25% 4/15/49 | 1,925,000 | 2,249,548 | |
6.625% 10/15/36 | 900,000 | 1,064,133 | |
Enterprise Products Operating LP: | |||
3.125% 7/31/29 | 100,000 | 110,792 | |
3.2% 2/15/52 | 665,000 | 670,202 | |
3.7% 1/31/51 | 65,000 | 70,525 | |
4.85% 3/15/44 | 2,725,000 | 3,335,993 | |
EOG Resources, Inc. 3.9% 4/1/35 | 205,000 | 238,891 | |
EQM Midstream Partners LP 6.5% 7/1/27(a) | 125,000 | 137,813 | |
Equinor ASA 3.7% 4/6/50 | 920,000 | 1,103,153 | |
Exxon Mobil Corp.: | |||
2.397% 3/6/22 | 1,575,000 | 1,613,190 | |
4.114% 3/1/46 | 705,000 | 863,778 | |
Hess Corp.: | |||
4.3% 4/1/27 | 1,117,000 | 1,206,141 | |
5.6% 2/15/41 | 1,896,000 | 2,231,737 | |
5.8% 4/1/47 | 4,517,000 | 5,589,966 | |
Hess Midstream Partners LP: | |||
5.125% 6/15/28 (a) | 110,000 | 112,818 | |
5.625% 2/15/26 (a) | 669,000 | 690,743 | |
Hilcorp Energy I LP/Hilcorp Finance Co. 5% 12/1/24 (a) | 225,000 | 219,375 | |
Holly Energy Partners LP/Holly Energy Finance Corp. 5% 2/1/28 (a) | 375,000 | 369,225 | |
Kinder Morgan Energy Partners LP: | |||
4.15% 3/1/22 | 885,000 | 924,990 | |
4.15% 2/1/24 | 300,000 | 326,862 | |
Kinder Morgan, Inc. 3.25% 8/1/50 | 190,000 | 184,487 | |
Magellan Midstream Partners LP: | |||
3.95% 3/1/50 | 1,085,000 | 1,174,636 | |
4.2% 10/3/47 | 695,000 | 749,962 | |
4.25% 9/15/46 | 65,000 | 70,337 | |
Marathon Petroleum Corp. 5.125% 3/1/21 | 2,870,000 | 2,902,601 | |
MEG Energy Corp. 7.125% 2/1/27 (a) | 220,000 | 215,600 | |
MPLX LP: | |||
3 month U.S. LIBOR + 1.100% 1.3418% 9/9/22 (b)(d) | 3,115,000 | 3,115,453 | |
4.125% 3/1/27 | 505,000 | 569,483 | |
4.5% 7/15/23 | 160,000 | 173,444 | |
4.5% 4/15/38 | 900,000 | 997,222 | |
4.7% 4/15/48 | 1,330,000 | 1,497,900 | |
4.8% 2/15/29 | 2,010,000 | 2,364,454 | |
4.875% 12/1/24 | 2,489,000 | 2,823,851 | |
5.5% 2/15/49 | 4,516,000 | 5,613,732 | |
Noble Energy, Inc.: | |||
5.25% 11/15/43 | 295,000 | 408,373 | |
6% 3/1/41 | 360,000 | 526,919 | |
Occidental Petroleum Corp.: | |||
2.7% 8/15/22 | 1,655,000 | 1,630,672 | |
2.9% 8/15/24 | 6,201,000 | 5,782,433 | |
3.125% 2/15/22 | 3,955,000 | 3,944,915 | |
3.2% 8/15/26 | 805,000 | 708,964 | |
3.4% 4/15/26 | 130,000 | 116,350 | |
3.5% 8/15/29 | 2,729,000 | 2,387,875 | |
4.2% 3/15/48 | 125,000 | 100,625 | |
4.3% 8/15/39 | 439,000 | 362,175 | |
4.4% 4/15/46 | 200,000 | 168,378 | |
4.4% 8/15/49 | 1,809,000 | 1,469,813 | |
5.55% 3/15/26 | 6,488,000 | 6,477,684 | |
6.2% 3/15/40 | 65,000 | 62,075 | |
6.45% 9/15/36 | 4,545,000 | 4,441,829 | |
6.6% 3/15/46 | 6,475,000 | 6,329,313 | |
7.5% 5/1/31 | 8,596,000 | 9,036,545 | |
7.875% 9/15/31 | 40,000 | 42,788 | |
8.875% 7/15/30 | 145,000 | 163,669 | |
ONEOK Partners LP 6.65% 10/1/36 | 400,000 | 485,944 | |
ONEOK, Inc.: | |||
3.1% 3/15/30 | 1,300,000 | 1,311,325 | |
4.45% 9/1/49 | 1,085,000 | 1,083,082 | |
4.95% 7/13/47 | 365,000 | 385,423 | |
PBF Holding Co. LLC/PBF Finance Corp. 9.25% 5/15/25 (a) | 475,000 | 472,625 | |
Petro-Canada 6.8% 5/15/38 | 350,000 | 473,150 | |
Petrobras Global Finance BV 7.25% 3/17/44 | 34,097,000 | 42,269,625 | |
Petroleos Mexicanos: | |||
6.5% 3/13/27 | 25,780,000 | 25,739,719 | |
6.75% 9/21/47 | 11,150,000 | 9,600,150 | |
6.84% 1/23/30 | 10,852,000 | 10,592,095 | |
7.69% 1/23/50 | 78,965,000 | 72,667,541 | |
Phillips 66 Co. 4.875% 11/15/44 | 305,000 | 385,121 | |
Phillips 66 Partners LP: | |||
3.75% 3/1/28 | 295,000 | 313,880 | |
4.9% 10/1/46 | 525,000 | 564,312 | |
Plains All American Pipeline LP/PAA Finance Corp.: | |||
3.55% 12/15/29 | 2,689,000 | 2,756,252 | |
3.6% 11/1/24 | 1,877,000 | 1,959,609 | |
3.65% 6/1/22 | 10,550,000 | 10,836,131 | |
3.8% 9/15/30 | 260,000 | 271,601 | |
QEP Resources, Inc. 5.25% 5/1/23 | 300,000 | 256,500 | |
Rattler Midstream LP 5.625% 7/15/25 (a) | 465,000 | 490,866 | |
Regency Energy Partners LP/Regency Energy Finance Corp. 5.875% 3/1/22 | 2,310,000 | 2,419,749 | |
Sabine Pass Liquefaction LLC 4.5% 5/15/30 (a) | 9,948,000 | 11,606,591 | |
Schlumberger Investment SA 3.65% 12/1/23 | 210,000 | 226,209 | |
Shell International Finance BV 3.25% 5/11/25 | 1,465,000 | 1,622,496 | |
Spectra Energy Partners LP 4.75% 3/15/24 | 6,000,000 | 6,694,329 | |
Sunoco Logistics Partner Operations LP: | |||
5.35% 5/15/45 | 850,000 | 890,885 | |
5.4% 10/1/47 | 1,861,000 | 1,981,846 | |
Sunoco LP/Sunoco Finance Corp.: | |||
4.5% 5/15/29 (a) | 255,000 | 263,606 | |
5.5% 2/15/26 | 560,000 | 575,540 | |
5.875% 3/15/28 | 55,000 | 58,850 | |
6% 4/15/27 | 5,000 | 5,355 | |
Targa Resources Partners LP/Targa Resources Partners Finance Corp.: | |||
4.875% 2/1/31 (a) | 290,000 | 308,488 | |
5.125% 2/1/25 | 900,000 | 922,500 | |
5.5% 3/1/30 (a) | 55,000 | 59,654 | |
5.875% 4/15/26 | 400,000 | 421,000 | |
The Williams Companies, Inc.: | |||
3.5% 11/15/30 | 10,592,000 | 11,726,942 | |
3.7% 1/15/23 | 2,512,000 | 2,653,221 | |
3.75% 6/15/27 | 1,635,000 | 1,835,864 | |
4.85% 3/1/48 | 100,000 | 119,659 | |
Total Capital International SA: | |||
2.7% 1/25/23 | 1,375,000 | 1,444,762 | |
2.829% 1/10/30 | 800,000 | 893,058 | |
Transcontinental Gas Pipe Line Co. LLC: | |||
3.25% 5/15/30 (a) | 535,000 | 588,704 | |
4.6% 3/15/48 | 350,000 | 410,567 | |
Valero Energy Corp. 4% 4/1/29 | 820,000 | 916,006 | |
Viper Energy Partners LP 5.375% 11/1/27 (a) | 300,000 | 316,785 | |
Western Gas Partners LP: | |||
3.95% 6/1/25 | 1,176,000 | 1,170,120 | |
4.1% 2/1/25 | 195,000 | 194,569 | |
4.65% 7/1/26 | 2,406,000 | 2,461,049 | |
4.75% 8/15/28 | 1,465,000 | 1,516,275 | |
5.05% 2/1/30 | 335,000 | 357,795 | |
5.3% 3/1/48 | 105,000 | 93,975 | |
5.375% 6/1/21 | 4,846,000 | 4,882,345 | |
6.25% 2/1/50 | 35,000 | 34,825 | |
Williams Partners LP: | |||
3.6% 3/15/22 | 660,000 | 683,030 | |
4.9% 1/15/45 | 470,000 | 549,637 | |
448,986,899 | |||
TOTAL ENERGY | 451,099,408 | ||
FINANCIALS - 3.8% | |||
Banks - 1.7% | |||
Banco Santander SA: | |||
3.49% 5/28/30 | 800,000 | 891,409 | |
3.848% 4/12/23 | 800,000 | 857,934 | |
Bank of America Corp.: | |||
2.496% 2/13/31 (b) | 650,000 | 687,349 | |
3.004% 12/20/23 (b) | 10,921,000 | 11,472,973 | |
3.3% 1/11/23 | 3,572,000 | 3,788,702 | |
3.419% 12/20/28 (b) | 12,688,000 | 14,277,442 | |
3.5% 4/19/26 | 5,358,000 | 6,076,259 | |
3.95% 4/21/25 | 12,493,000 | 14,010,222 | |
3.97% 3/5/29 (b) | 9,640,000 | 11,207,416 | |
4% 1/22/25 | 43,905,000 | 49,122,414 | |
4.1% 7/24/23 | 13,989,000 | 15,314,077 | |
4.2% 8/26/24 | 2,028,000 | 2,268,944 | |
4.25% 10/22/26 | 10,727,000 | 12,519,087 | |
4.45% 3/3/26 | 2,065,000 | 2,409,966 | |
Banque Federative du Credit Mutuel SA 3 month U.S. LIBOR + 0.730% 0.9484% 7/20/22 (a)(b)(d) | 8,041,000 | 8,104,472 | |
Barclays PLC: | |||
2.645% 6/24/31 (b) | 690,000 | 717,112 | |
2.852% 5/7/26 (b) | 10,143,000 | 10,766,797 | |
4.375% 1/12/26 | 240,000 | 273,955 | |
4.836% 5/9/28 | 6,667,000 | 7,586,293 | |
4.95% 1/10/47 | 1,655,000 | 2,244,259 | |
4.972% 5/16/29 (b) | 15,000,000 | 17,976,991 | |
5.088% 6/20/30 (b) | 13,438,000 | 15,836,381 | |
5.2% 5/12/26 | 1,701,000 | 1,965,965 | |
BNP Paribas SA 2.219% 6/9/26 (a)(b) | 9,163,000 | 9,548,261 | |
CIT Group, Inc.: | |||
3.929% 6/19/24 (b) | 1,375,000 | 1,450,763 | |
4.75% 2/16/24 | 2,480,000 | 2,697,000 | |
5% 8/1/23 | 7,000,000 | 7,603,750 | |
6.125% 3/9/28 | 4,840,000 | 5,941,100 | |
Citigroup, Inc.: | |||
2.572% 6/3/31 (b) | 2,100,000 | 2,235,010 | |
2.666% 1/29/31 (b) | 7,490,000 | 8,045,877 | |
4.075% 4/23/29 (b) | 2,300,000 | 2,679,201 | |
4.3% 11/20/26 | 2,129,000 | 2,463,373 | |
4.4% 6/10/25 | 17,376,000 | 19,899,466 | |
4.412% 3/31/31 (b) | 13,726,000 | 16,559,099 | |
4.45% 9/29/27 | 5,330,000 | 6,250,614 | |
4.6% 3/9/26 | 3,500,000 | 4,095,576 | |
4.65% 7/30/45 | 700,000 | 951,720 | |
4.75% 5/18/46 | 10,000,000 | 13,232,021 | |
5.5% 9/13/25 | 8,267,000 | 9,950,641 | |
Citizens Financial Group, Inc. 2.638% 9/30/32 (a) | 9,574,000 | 9,981,448 | |
Commonwealth Bank of Australia 3.61% 9/12/34 (a)(b) | 3,419,000 | 3,736,970 | |
Fifth Third Bancorp 8.25% 3/1/38 | 603,000 | 1,018,464 | |
HSBC Holdings PLC: | |||
4.041% 3/13/28 (b) | 3,130,000 | 3,551,574 | |
4.25% 3/14/24 | 1,872,000 | 2,052,689 | |
4.95% 3/31/30 | 1,855,000 | 2,306,619 | |
Huntington Bancshares, Inc. 7% 12/15/20 | 404,000 | 404,940 | |
Intesa Sanpaolo SpA: | |||
5.017% 6/26/24 (a) | 31,005,000 | 33,859,558 | |
5.71% 1/15/26 (a) | 7,646,000 | 8,667,487 | |
Japan Bank International Cooperation 3.25% 7/20/23 | 400,000 | 429,976 | |
JPMorgan Chase & Co.: | |||
2.522% 4/22/31 (b) | 1,055,000 | 1,127,805 | |
2.525% 11/19/41 (b) | 540,000 | 550,804 | |
2.956% 5/13/31 (b) | 5,386,000 | 5,859,689 | |
3.509% 1/23/29 (b) | 1,900,000 | 2,155,502 | |
3.875% 9/10/24 | 500,000 | 557,084 | |
3.882% 7/24/38 (b) | 4,990,000 | 6,059,472 | |
3.964% 11/15/48 (b) | 1,270,000 | 1,621,319 | |
4.125% 12/15/26 | 4,475,000 | 5,230,591 | |
KeyCorp 2.55% 10/1/29 | 95,000 | 103,008 | |
Lloyds Banking Group PLC: | |||
2.438% 2/5/26 (b) | 1,010,000 | 1,062,392 | |
4.375% 3/22/28 | 1,365,000 | 1,617,095 | |
NatWest Markets PLC 2.375% 5/21/23 (a) | 10,828,000 | 11,264,693 | |
Peoples United Bank 4% 7/15/24 | 40,000 | 43,110 | |
PNC Bank NA 3.25% 6/1/25 | 1,710,000 | 1,903,934 | |
PNC Financial Services Group, Inc. 3.9% 4/29/24 | 375,000 | 413,549 | |
Rabobank Nederland 4.375% 8/4/25 | 7,713,000 | 8,814,424 | |
Royal Bank of Scotland Group PLC: | |||
3.073% 5/22/28 (b) | 5,799,000 | 6,261,043 | |
4.269% 3/22/25 (b) | 1,735,000 | 1,910,872 | |
4.8% 4/5/26 | 15,438,000 | 18,110,361 | |
5.125% 5/28/24 | 25,198,000 | 28,118,929 | |
6% 12/19/23 | 40,605,000 | 46,121,054 | |
6.1% 6/10/23 | 35,526,000 | 39,713,533 | |
6.125% 12/15/22 | 5,889,000 | 6,471,600 | |
Societe Generale 4.25% 4/14/25 (a) | 21,901,000 | 24,105,354 | |
Sumitomo Mitsui Banking Corp. 3.95% 7/19/23 | 250,000 | 272,243 | |
Synchrony Bank 3% 6/15/22 | 5,477,000 | 5,660,077 | |
Truist Financial Corp. 2.7% 1/27/22 | 540,000 | 553,939 | |
UniCredit SpA 6.572% 1/14/22 (a) | 7,600,000 | 8,035,860 | |
Wells Fargo & Co.: | |||
2.406% 10/30/25 (b) | 5,834,000 | 6,143,261 | |
2.572% 2/11/31 (b) | 585,000 | 620,156 | |
2.879% 10/30/30 (b) | 2,515,000 | 2,728,224 | |
3% 2/19/25 | 7,625,000 | 8,264,156 | |
4.125% 8/15/23 | 280,000 | 305,881 | |
4.3% 7/22/27 | 21,880,000 | 25,504,203 | |
4.478% 4/4/31 (b) | 15,500,000 | 18,874,308 | |
4.65% 11/4/44 | 1,385,000 | 1,787,086 | |
Westpac Banking Corp. 4.11% 7/24/34 (b) | 4,937,000 | 5,605,251 | |
693,541,478 | |||
Capital Markets - 1.0% | |||
Affiliated Managers Group, Inc. 4.25% 2/15/24 | 1,847,000 | 2,032,018 | |
Ares Capital Corp.: | |||
3.875% 1/15/26 | 13,816,000 | 14,515,874 | |
4.2% 6/10/24 | 12,032,000 | 12,798,644 | |
Bank of New York Mellon Corp. 3.4% 5/15/24 | 750,000 | 819,665 | |
Credit Suisse Group AG: | |||
2.593% 9/11/25 (a)(b) | 13,060,000 | 13,778,662 | |
3.75% 3/26/25 | 15,667,000 | 17,388,341 | |
4.194% 4/1/31 (a)(b) | 12,540,000 | 14,777,732 | |
4.55% 4/17/26 | 7,559,000 | 8,857,819 | |
Deutsche Bank AG 4.5% 4/1/25 | 13,996,000 | 14,963,604 | |
Deutsche Bank AG New York Branch: | |||
3.3% 11/16/22 | 10,180,000 | 10,604,933 | |
5% 2/14/22 | 14,609,000 | 15,273,578 | |
Goldman Sachs Group, Inc.: | |||
2.876% 10/31/22 (b) | 12,744,000 | 13,023,555 | |
3.691% 6/5/28 (b) | 2,890,000 | 3,305,408 | |
3.8% 3/15/30 | 16,690,000 | 19,512,565 | |
6.75% 10/1/37 | 50,999,000 | 78,049,539 | |
Intercontinental Exchange, Inc. 3.75% 12/1/25 | 3,162,000 | 3,577,868 | |
Jefferies Group, Inc. 2.75% 10/15/32 | 1,655,000 | 1,733,244 | |
Morgan Stanley: | |||
3 month U.S. LIBOR + 0.930% 1.1458% 7/22/22 (b)(d) | 3,691,000 | 3,708,635 | |
1.794% 2/13/32 (b) | 1,025,000 | 1,032,029 | |
3.125% 7/27/26 | 37,616,000 | 42,008,126 | |
3.622% 4/1/31 (b) | 13,084,000 | 15,221,137 | |
3.7% 10/23/24 | 21,259,000 | 23,630,679 | |
3.772% 1/24/29 (b) | 3,660,000 | 4,228,653 | |
3.875% 1/27/26 | 625,000 | 714,556 | |
4% 7/23/25 | 2,450,000 | 2,804,459 | |
4.35% 9/8/26 | 2,070,000 | 2,429,650 | |
4.431% 1/23/30 (b) | 8,189,000 | 9,974,124 | |
5% 11/24/25 | 40,891,000 | 48,733,898 | |
5.75% 1/25/21 | 4,996,000 | 5,035,518 | |
Nomura Holdings, Inc. 2.648% 1/16/25 | 1,525,000 | 1,619,251 | |
State Street Corp.: | |||
2.825% 3/30/23 (b) | 887,000 | 916,221 | |
2.901% 3/30/26 (b) | 833,000 | 905,716 | |
407,975,701 | |||
Consumer Finance - 0.5% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
2.875% 8/14/24 | 7,954,000 | 8,139,054 | |
3.5% 5/26/22 | 1,949,000 | 2,004,526 | |
4.125% 7/3/23 | 5,132,000 | 5,440,521 | |
4.45% 4/3/26 | 4,282,000 | 4,608,396 | |
4.875% 1/16/24 | 6,861,000 | 7,389,542 | |
6.5% 7/15/25 | 4,320,000 | 4,993,217 | |
Ally Financial, Inc.: | |||
1.45% 10/2/23 | 2,261,000 | 2,304,692 | |
3.05% 6/5/23 | 11,748,000 | 12,386,735 | |
3.875% 5/21/24 | 6,322,000 | 6,904,128 | |
5.125% 9/30/24 | 2,688,000 | 3,082,836 | |
5.75% 11/20/25 | 1,000,000 | 1,167,770 | |
5.8% 5/1/25 | 6,894,000 | 8,177,731 | |
Capital One Financial Corp.: | |||
3.65% 5/11/27 | 15,820,000 | 17,966,873 | |
3.8% 1/31/28 | 7,795,000 | 8,952,896 | |
Discover Financial Services: | |||
3.95% 11/6/24 | 2,567,000 | 2,844,814 | |
4.1% 2/9/27 | 645,000 | 734,885 | |
4.5% 1/30/26 | 6,463,000 | 7,424,884 | |
Ford Motor Credit Co. LLC: | |||
4.063% 11/1/24 | 22,139,000 | 23,024,560 | |
4.125% 8/17/27 | 185,000 | 191,244 | |
4.687% 6/9/25 | 180,000 | 191,250 | |
5.085% 1/7/21 | 4,004,000 | 4,014,010 | |
5.113% 5/3/29 | 215,000 | 231,985 | |
5.125% 6/16/25 | 135,000 | 145,760 | |
5.584% 3/18/24 | 8,575,000 | 9,207,406 | |
5.596% 1/7/22 | 8,285,000 | 8,523,194 | |
GE Capital International Funding Co. 4.418% 11/15/35 | 1,145,000 | 1,320,608 | |
John Deere Capital Corp.: | |||
2.65% 6/24/24 | 615,000 | 659,815 | |
2.8% 1/27/23 | 990,000 | 1,041,905 | |
2.8% 3/6/23 | 1,045,000 | 1,104,333 | |
Navient Corp. 7.25% 1/25/22 | 680,000 | 715,700 | |
Springleaf Finance Corp. 6.875% 3/15/25 | 730,000 | 835,850 | |
Synchrony Financial: | |||
2.85% 7/25/22 | 2,029,000 | 2,095,832 | |
3.75% 8/15/21 | 2,016,000 | 2,049,122 | |
3.95% 12/1/27 | 8,719,000 | 9,669,691 | |
4.25% 8/15/24 | 2,029,000 | 2,227,652 | |
4.375% 3/19/24 | 7,165,000 | 7,873,541 | |
5.15% 3/19/29 | 13,451,000 | 16,100,891 | |
195,747,849 | |||
Diversified Financial Services - 0.2% | |||
BP Capital Markets America, Inc. 3.245% 5/6/22 | 2,610,000 | 2,716,951 | |
Brixmor Operating Partnership LP: | |||
4.05% 7/1/30 | 5,688,000 | 6,417,500 | |
4.125% 6/15/26 | 5,706,000 | 6,332,895 | |
4.125% 5/15/29 | 6,724,000 | 7,661,944 | |
Equitable Holdings, Inc. 3.9% 4/20/23 | 1,273,000 | 1,373,843 | |
General Electric Capital Corp.: | |||
3.15% 9/7/22 | 1,386,000 | 1,448,794 | |
3.45% 5/15/24 | 85,000 | 92,138 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | |||
4.75% 9/15/24 | 305,000 | 314,150 | |
5.25% 5/15/27 | 645,000 | 677,250 | |
6.25% 5/15/26 | 914,000 | 955,075 | |
6.375% 12/15/25 | 205,000 | 210,638 | |
Park Aerospace Holdings Ltd. 5.5% 2/15/24 (a) | 7,000,000 | 7,473,107 | |
Pine Street Trust I 4.572% 2/15/29 (a) | 7,798,000 | 9,220,699 | |
Pine Street Trust II 5.568% 2/15/49 (a) | 7,800,000 | 9,956,896 | |
VMED O2 UK Financing I PLC 4.25% 1/31/31 (a) | 495,000 | 508,118 | |
Voya Financial, Inc. 3.125% 7/15/24 | 3,436,000 | 3,706,178 | |
59,066,176 | |||
Insurance - 0.4% | |||
ACE INA Holdings, Inc.: | |||
2.7% 3/13/23 | 145,000 | 152,486 | |
3.15% 3/15/25 | 1,765,000 | 1,949,552 | |
AIA Group Ltd.: | |||
3.2% 9/16/40 (a) | 3,848,000 | 4,107,047 | |
3.375% 4/7/30 (a) | 9,627,000 | 10,777,955 | |
American International Group, Inc.: | |||
3.4% 6/30/30 | 15,800,000 | 18,010,492 | |
4.5% 7/16/44 | 2,460,000 | 3,156,552 | |
Arch Capital Finance LLC 4.011% 12/15/26 | 1,770,000 | 2,057,179 | |
CNA Financial Corp.: | |||
3.9% 5/1/29 | 1,400,000 | 1,624,928 | |
3.95% 5/15/24 | 1,400,000 | 1,544,351 | |
Everest Reinsurance Holdings, Inc. 3.5% 10/15/50 | 855,000 | 983,475 | |
Five Corners Funding Trust II 2.85% 5/15/30 (a) | 11,420,000 | 12,572,360 | |
Liberty Mutual Group, Inc. 4.569% 2/1/29 (a) | 1,847,000 | 2,263,867 | |
Lincoln National Corp.: | |||
3.05% 1/15/30 | 130,000 | 142,829 | |
4.35% 3/1/48 | 165,000 | 201,671 | |
6.3% 10/9/37 | 110,000 | 149,532 | |
Markel Corp.: | |||
4.15% 9/17/50 | 965,000 | 1,222,236 | |
4.3% 11/1/47 | 525,000 | 653,795 | |
Marsh & McLennan Companies, Inc.: | |||
3.5% 6/3/24 | 1,140,000 | 1,247,627 | |
4.75% 3/15/39 | 2,493,000 | 3,370,235 | |
4.8% 7/15/21 | 1,026,000 | 1,043,696 | |
MetLife, Inc. 4.368% 9/15/23 (b) | 910,000 | 1,007,695 | |
Metropolitan Life Global Funding I U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.500% 0.58% 5/28/21 (a)(b)(d) | 31,400,000 | 31,452,438 | |
New York Life Insurance Co. 3.75% 5/15/50 (a) | 2,317,000 | 2,738,817 | |
Pricoa Global Funding I 5.375% 5/15/45 (b) | 5,278,000 | 5,764,263 | |
Prudential Financial, Inc. 4.5% 11/16/21 | 1,118,000 | 1,162,665 | |
Swiss Re Finance Luxembourg SA 5% 4/2/49 (a)(b) | 3,200,000 | 3,720,000 | |
Teachers Insurance & Annuity Association of America 3.3% 5/15/50 (a) | 4,976,000 | 5,368,061 | |
The Chubb Corp. 6% 5/11/37 | 300,000 | 453,041 | |
Unum Group: | |||
4% 6/15/29 | 5,961,000 | 6,792,190 | |
4.5% 3/15/25 | 8,661,000 | 9,650,934 | |
5.75% 8/15/42 | 2,238,000 | 2,727,940 | |
138,069,909 | |||
Thrifts & Mortgage Finance - 0.0% | |||
Quicken Loans, Inc. 5.25% 1/15/28 (a) | 300,000 | 318,000 | |
TOTAL FINANCIALS | 1,494,719,113 | ||
HEALTH CARE - 0.6% | |||
Biotechnology - 0.0% | |||
AbbVie, Inc.: | |||
3.85% 6/15/24 | 310,000 | 341,263 | |
4.55% 3/15/35 | 400,000 | 509,259 | |
4.7% 5/14/45 | 3,675,000 | 4,779,904 | |
4.85% 6/15/44 | 1,570,000 | 2,083,443 | |
4.875% 11/14/48 | 585,000 | 797,449 | |
Amgen, Inc.: | |||
2.6% 8/19/26 | 3,600,000 | 3,905,077 | |
4.663% 6/15/51 | 175,000 | 236,279 | |
Gilead Sciences, Inc. 4.5% 2/1/45 | 565,000 | 723,010 | |
Regeneron Pharmaceuticals, Inc. 2.8% 9/15/50 | 505,000 | 495,274 | |
13,870,958 | |||
Health Care Equipment & Supplies - 0.0% | |||
Abbott Laboratories 4.9% 11/30/46 | 1,000,000 | 1,490,039 | |
Becton, Dickinson & Co.: | |||
3.125% 11/8/21 | 1,050,000 | 1,076,319 | |
3.7% 6/6/27 | 118,000 | 135,434 | |
3.734% 12/15/24 | 855,000 | 944,196 | |
Hologic, Inc. 3.25% 2/15/29 (a) | 225,000 | 228,656 | |
Stryker Corp.: | |||
3.375% 5/15/24 | 335,000 | 364,600 | |
3.375% 11/1/25 | 305,000 | 340,360 | |
3.5% 3/15/26 | 675,000 | 761,793 | |
Teleflex, Inc.: | |||
4.25% 6/1/28 (a) | 60,000 | 63,456 | |
4.875% 6/1/26 | 1,000,000 | 1,040,000 | |
6,444,853 | |||
Health Care Providers & Services - 0.3% | |||
Anthem, Inc.: | |||
3.3% 1/15/23 | 3,395,000 | 3,595,559 | |
3.65% 12/1/27 | 2,965,000 | 3,405,350 | |
Ascension Health: | |||
2.532% 11/15/29 | 295,000 | 322,585 | |
3.106% 11/15/39 | 610,000 | 672,759 | |
3.945% 11/15/46 | 315,000 | 405,539 | |
4.847% 11/15/53 | 150,000 | 225,566 | |
BayCare Health System, Inc. 3.831% 11/15/50 | 230,000 | 284,431 | |
Centene Corp.: | |||
3.375% 2/15/30 | 5,445,000 | 5,707,013 | |
4.25% 12/15/27 | 5,825,000 | 6,199,926 | |
4.625% 12/15/29 | 7,750,000 | 8,497,100 | |
4.75% 1/15/25 | 3,965,000 | 4,086,844 | |
5.375% 8/15/26 (a) | 200,000 | 211,250 | |
Children's Health System of Texas 2.511% 8/15/50 | 360,000 | 351,488 | |
Childrens Hospital Corp. 4.115% 1/1/47 | 580,000 | 713,715 | |
Cigna Corp.: | |||
3.25% 4/15/25 | 5,000 | 5,489 | |
3.4% 3/15/50 | 600,000 | 677,204 | |
4.375% 10/15/28 | 7,774,000 | 9,341,858 | |
4.5% 2/25/26 | 4,775,000 | 5,596,820 | |
4.8% 8/15/38 | 4,840,000 | 6,307,935 | |
4.9% 12/15/48 | 4,836,000 | 6,662,810 | |
CommonSpirit Health 2.76% 10/1/24 | 575,000 | 609,232 | |
CVS Health Corp.: | |||
3.625% 4/1/27 | 2,341,000 | 2,658,505 | |
4.1% 3/25/25 | 7,225,000 | 8,182,270 | |
4.3% 3/25/28 | 1,340,000 | 1,575,935 | |
4.78% 3/25/38 | 1,320,000 | 1,673,019 | |
5.125% 7/20/45 | 1,545,000 | 2,073,158 | |
5.3% 12/5/43 | 555,000 | 756,612 | |
DaVita HealthCare Partners, Inc. 4.625% 6/1/30 (a) | 125,000 | 131,406 | |
Hackensack Meridian Health 4.5% 7/1/57 | 385,000 | 504,110 | |
HCA Holdings, Inc.: | |||
3.5% 9/1/30 | 525,000 | 543,014 | |
4.75% 5/1/23 | 205,000 | 223,979 | |
5.375% 2/1/25 | 305,000 | 341,457 | |
5.875% 2/15/26 | 1,135,000 | 1,306,669 | |
Kaiser Foundation Hospitals 4.15% 5/1/47 | 1,000,000 | 1,310,105 | |
Laboratory Corp. of America Holdings: | |||
3.25% 9/1/24 | 720,000 | 782,704 | |
4.7% 2/1/45 | 730,000 | 966,977 | |
Memorial Sloan-Kettring Cancer Center: | |||
2.955% 1/1/50 | 290,000 | 311,628 | |
4.2% 7/1/55 | 140,000 | 185,259 | |
5% 7/1/42 | 225,000 | 307,157 | |
Methodist Hospital 2.705% 12/1/50 | 1,345,000 | 1,352,282 | |
Molina Healthcare, Inc. 3.875% 11/15/30 (a) | 100,000 | 105,973 | |
Mount Sinai Hospital 3.737% 7/1/49 | 460,000 | 503,947 | |
New York & Presbyterian Hospital: | |||
4.024% 8/1/45 | 600,000 | 766,309 | |
4.063% 8/1/56 | 390,000 | 491,793 | |
NYU Hospitals Center 4.368% 7/1/47 | 810,000 | 958,646 | |
PeaceHealth Obligated Group 1.375% 11/15/25 | 165,000 | 168,363 | |
Providence St. Joseph Health Obligated Group: | |||
2.532% 10/1/29 | 790,000 | 841,094 | |
2.746% 10/1/26 | 180,000 | 197,792 | |
Quest Diagnostics, Inc.: | |||
4.7% 3/30/45 | 100,000 | 127,676 | |
5.75% 1/30/40 | 68,000 | 89,120 | |
Stanford Health Care 3.795% 11/15/48 | 300,000 | 374,869 | |
Sutter Health 4.091% 8/15/48 | 1,590,000 | 1,887,716 | |
Tenet Healthcare Corp.: | |||
4.625% 7/15/24 | 240,000 | 244,200 | |
4.875% 1/1/26 (a) | 1,160,000 | 1,194,800 | |
6.25% 2/1/27 (a) | 120,000 | 125,700 | |
Toledo Hospital: | |||
5.325% 11/15/28 | 2,792,000 | 3,240,990 | |
6.015% 11/15/48 | 5,710,000 | 6,816,664 | |
UnitedHealth Group, Inc.: | |||
3.875% 8/15/59 | 30,000 | 39,731 | |
4.25% 4/15/47 | 645,000 | 861,113 | |
4.25% 6/15/48 | 575,000 | 779,192 | |
6.875% 2/15/38 | 700,000 | 1,162,401 | |
110,044,808 | |||
Health Care Technology - 0.0% | |||
IMS Health, Inc. 5% 10/15/26 (a) | 230,000 | 240,638 | |
Life Sciences Tools & Services - 0.0% | |||
Charles River Laboratories International, Inc.: | |||
4.25% 5/1/28 (a) | 30,000 | 31,613 | |
5.5% 4/1/26 (a) | 100,000 | 105,000 | |
Thermo Fisher Scientific, Inc.: | |||
4.133% 3/25/25 | 290,000 | 329,679 | |
4.15% 2/1/24 | 280,000 | 309,211 | |
775,503 | |||
Pharmaceuticals - 0.3% | |||
Bayer U.S. Finance II LLC 4.25% 12/15/25 (a) | 51,454,000 | 58,875,504 | |
Bristol-Myers Squibb Co.: | |||
4.25% 10/26/49 | 1,425,000 | 1,928,664 | |
5% 8/15/45 | 735,000 | 1,066,954 | |
Elanco Animal Health, Inc.: | |||
4.912% 8/27/21 (b) | 1,274,000 | 1,305,977 | |
5.272% 8/28/23 (b) | 4,020,000 | 4,367,589 | |
5.9% 8/28/28 (b) | 1,693,000 | 1,987,243 | |
GlaxoSmithKline Capital PLC 2.85% 5/8/22 | 710,000 | 735,670 | |
GlaxoSmithKline Capital, Inc. 2.8% 3/18/23 | 1,425,000 | 1,503,847 | |
Johnson & Johnson: | |||
2.1% 9/1/40 | 475,000 | 485,117 | |
3.625% 3/3/37 | 1,260,000 | 1,550,446 | |
Merck & Co., Inc.: | |||
2.4% 9/15/22 | 2,050,000 | 2,116,639 | |
3.4% 3/7/29 | 1,400,000 | 1,636,581 | |
Mylan NV: | |||
4.2% 11/29/23 | 1,100,000 | 1,202,941 | |
5.2% 4/15/48 | 1,530,000 | 2,026,892 | |
5.4% 11/29/43 | 580,000 | 778,379 | |
Novartis Capital Corp. 2.4% 9/21/22 | 1,345,000 | 1,393,545 | |
Pfizer, Inc. 2.55% 5/28/40 | 1,310,000 | 1,388,384 | |
Takeda Pharmaceutical Co. Ltd.: | |||
2.05% 3/31/30 | 2,500,000 | 2,553,316 | |
3.025% 7/9/40 | 510,000 | 539,722 | |
Teva Pharmaceutical Finance Netherlands III BV 2.2% 7/21/21 | 1,013,000 | 1,013,355 | |
Utah Acquisition Sub, Inc. 3.95% 6/15/26 | 2,804,000 | 3,199,238 | |
Valeant Pharmaceuticals International, Inc. 7% 3/15/24 (a) | 700,000 | 721,875 | |
Viatris, Inc.: | |||
1.65% 6/22/25 (a) | 1,160,000 | 1,194,695 | |
2.7% 6/22/30 (a) | 5,898,000 | 6,254,696 | |
3.85% 6/22/40 (a) | 3,244,000 | 3,654,132 | |
4% 6/22/50 (a) | 4,937,000 | 5,624,288 | |
Wyeth LLC 6.45% 2/1/24 | 1,875,000 | 2,216,472 | |
Zoetis, Inc. 3.25% 2/1/23 | 5,975,000 | 6,294,972 | |
117,617,133 | |||
TOTAL HEALTH CARE | 248,993,893 | ||
INDUSTRIALS - 0.3% | |||
Aerospace & Defense - 0.1% | |||
BAE Systems PLC 3.4% 4/15/30 (a) | 2,985,000 | 3,370,063 | |
BBA U.S. Holdings, Inc. 5.375% 5/1/26 (a) | 700,000 | 719,250 | |
BWX Technologies, Inc.: | |||
4.125% 6/30/28 (a) | 200,000 | 208,250 | |
5.375% 7/15/26 (a) | 700,000 | 727,125 | |
General Dynamics Corp.: | |||
2.25% 11/15/22 | 650,000 | 671,443 | |
3.5% 5/15/25 | 1,905,000 | 2,131,390 | |
Howmet Aerospace, Inc. 5.95% 2/1/37 | 10,000 | 11,774 | |
Lockheed Martin Corp. 2.9% 3/1/25 | 1,345,000 | 1,465,609 | |
Moog, Inc. 4.25% 12/15/27 (a) | 360,000 | 370,926 | |
Northrop Grumman Corp. 4.75% 6/1/43 | 695,000 | 946,369 | |
Raytheon Technologies Corp.: | |||
3.5% 3/15/27 (a) | 1,300,000 | 1,477,289 | |
4.125% 11/16/28 | 490,000 | 584,118 | |
Textron, Inc. 2.45% 3/15/31 | 1,870,000 | 1,896,177 | |
The Boeing Co.: | |||
2.25% 6/15/26 | 810,000 | 812,538 | |
3.6% 5/1/34 | 1,750,000 | 1,767,307 | |
4.508% 5/1/23 | 1,500,000 | 1,608,603 | |
5.04% 5/1/27 | 4,430,000 | 5,074,138 | |
5.15% 5/1/30 | 4,430,000 | 5,200,433 | |
5.705% 5/1/40 | 4,430,000 | 5,592,073 | |
5.805% 5/1/50 | 5,060,000 | 6,684,686 | |
5.93% 5/1/60 | 4,430,000 | 6,017,979 | |
TransDigm, Inc.: | |||
6.25% 3/15/26 (a) | 915,000 | 969,900 | |
7.5% 3/15/27 | 40,000 | 42,800 | |
8% 12/15/25 (a) | 465,000 | 508,013 | |
48,858,253 | |||
Air Freight & Logistics - 0.0% | |||
FedEx Corp. 3.3% 3/15/27 | 280,000 | 314,324 | |
United Parcel Service, Inc. 2.05% 4/1/21 | 150,000 | 150,907 | |
XPO Logistics, Inc. 6.25% 5/1/25 (a) | 340,000 | 364,225 | |
829,456 | |||
Airlines - 0.0% | |||
American Airlines, Inc. equipment trust certificate 3.2% 12/15/29 | 449,280 | 432,925 | |
Continental Airlines, Inc. 4.15% 10/11/25 | 539,385 | 531,276 | |
Delta Air Lines, Inc. pass-thru trust certificates 6.821% 2/10/24 | 102,624 | 104,787 | |
Southwest Airlines Co.: | |||
2.625% 2/10/30 | 735,000 | 727,121 | |
4.75% 5/4/23 | 775,000 | 842,580 | |
5.125% 6/15/27 | 885,000 | 1,029,384 | |
United Airlines pass-thru Trust Series 2013-1A Class O, 4.3% 2/15/27 | 144,075 | 141,954 | |
3,810,027 | |||
Building Products - 0.0% | |||
Advanced Drain Systems, Inc. 5% 9/30/27 (a) | 400,000 | 420,000 | |
Johnson Controls International PLC 4.95% 7/2/64 | 197,000 | 261,060 | |
Masco Corp. 4.45% 4/1/25 | 1,610,000 | 1,844,150 | |
2,525,210 | |||
Commercial Services & Supplies - 0.0% | |||
Advocate Health & Hospitals Corp. 3.387% 10/15/49 | 510,000 | 575,984 | |
Cintas Corp. No. 2 3.7% 4/1/27 | 1,035,000 | 1,190,852 | |
Double Eagle III Midco 1 LLC 7.75% 12/15/25 (a)(c) | 165,000 | 169,538 | |
LBC Tank Terminals Holding Netherlands BV 6.875% 5/15/23 (a) | 300,000 | 300,000 | |
Nielsen Co. SARL (Luxembourg) 5% 2/1/25 (a) | 115,000 | 118,306 | |
Nielsen Finance LLC/Nielsen Finance Co.: | |||
5% 4/15/22 (a) | 215,000 | 215,000 | |
5.625% 10/1/28 (a) | 205,000 | 218,520 | |
5.875% 10/1/30 (a) | 205,000 | 225,244 | |
Stericycle, Inc. 3.875% 1/15/29 (a) | 190,000 | 197,600 | |
Waste Connection, Inc. 3.05% 4/1/50 | 275,000 | 299,588 | |
Waste Management, Inc. 2.9% 9/15/22 | 375,000 | 389,356 | |
WMX Technologies, Inc. 4.6% 3/1/21 | 345,000 | 345,040 | |
4,245,028 | |||
Construction & Engineering - 0.0% | |||
AECOM: | |||
5.125% 3/15/27 | 305,000 | 340,838 | |
5.875% 10/15/24 | 1,055,000 | 1,171,050 | |
1,511,888 | |||
Electrical Equipment - 0.0% | |||
ABB Finance (U.S.A.), Inc. 2.875% 5/8/22 | 115,000 | 119,098 | |
Sensata Technologies BV 4.875% 10/15/23 (a) | 300,000 | 322,500 | |
441,598 | |||
Industrial Conglomerates - 0.0% | |||
Honeywell International, Inc. 1.35% 6/1/25 | 920,000 | 949,532 | |
Machinery - 0.0% | |||
Fortive Corp. 3.15% 6/15/26 | 275,000 | 304,156 | |
Pentair Finance SA 4.5% 7/1/29 | 670,000 | 795,672 | |
Stanley Black & Decker, Inc. 2.75% 11/15/50 | 865,000 | 906,881 | |
Vertical U.S. Newco, Inc. 5.25% 7/15/27 (a) | 540,000 | 567,000 | |
Westinghouse Air Brake Co.: | |||
3.45% 11/15/26 | 740,000 | 804,841 | |
4.95% 9/15/28 | 430,000 | 501,745 | |
Xylem, Inc.: | |||
3.25% 11/1/26 | 225,000 | 251,880 | |
4.875% 10/1/21 | 525,000 | 543,086 | |
4,675,261 | |||
Professional Services - 0.0% | |||
ASGN, Inc. 4.625% 5/15/28 (a) | 110,000 | 114,400 | |
Booz Allen Hamilton, Inc. 3.875% 9/1/28 (a) | 320,000 | 330,400 | |
Equifax, Inc. 2.6% 12/1/24 | 1,245,000 | 1,332,068 | |
IHS Markit Ltd. 4.125% 8/1/23 | 365,000 | 397,532 | |
Verisk Analytics, Inc. 4.125% 9/12/22 | 690,000 | 731,715 | |
2,906,115 | |||
Road & Rail - 0.1% | |||
Avolon Holdings Funding Ltd.: | |||
3.625% 5/1/22 (a) | 2,155,000 | 2,186,968 | |
3.95% 7/1/24 (a) | 2,862,000 | 2,941,033 | |
4.375% 5/1/26 (a) | 3,477,000 | 3,589,893 | |
5.25% 5/15/24 (a) | 4,140,000 | 4,422,117 | |
Canadian National Railway Co. 2.85% 12/15/21 | 600,000 | 612,125 | |
CSX Corp. 6.15% 5/1/37 | 1,375,000 | 1,979,218 | |
Union Pacific Corp.: | |||
2.973% 9/16/62 (a) | 200,000 | 211,328 | |
3.25% 2/5/50 | 1,285,000 | 1,471,296 | |
3.6% 9/15/37 | 640,000 | 750,982 | |
3.75% 2/5/70 | 315,000 | 379,414 | |
18,544,374 | |||
Trading Companies & Distributors - 0.1% | |||
Air Lease Corp.: | |||
2.25% 1/15/23 | 1,711,000 | 1,753,037 | |
3% 9/15/23 | 800,000 | 829,366 | |
3.375% 6/1/21 | 2,750,000 | 2,782,084 | |
3.375% 7/1/25 | 7,608,000 | 8,023,850 | |
3.75% 2/1/22 | 4,752,000 | 4,883,352 | |
3.875% 4/1/21 | 2,900,000 | 2,922,388 | |
4.25% 2/1/24 | 7,846,000 | 8,440,505 | |
4.25% 9/15/24 | 3,212,000 | 3,466,635 | |
33,101,217 | |||
Transportation Infrastructure - 0.0% | |||
BNSF Funding Trust I 6.613% 12/15/55 (b) | 755,000 | 864,475 | |
TOTAL INDUSTRIALS | 123,262,434 | ||
INFORMATION TECHNOLOGY - 0.2% | |||
Communications Equipment - 0.0% | |||
Cisco Systems, Inc.: | |||
2.9% 3/4/21 | 150,000 | 151,011 | |
3% 6/15/22 | 310,000 | 323,010 | |
474,021 | |||
Electronic Equipment & Components - 0.0% | |||
Diamond 1 Finance Corp./Diamond 2 Finance Corp.: | |||
5.45% 6/15/23 (a) | 6,100,000 | 6,749,089 | |
6.02% 6/15/26 (a) | 2,112,000 | 2,563,819 | |
FLIR Systems, Inc. 2.5% 8/1/30 | 245,000 | 256,530 | |
Sensata Technologies, Inc. 3.75% 2/15/31 (a) | 590,000 | 598,850 | |
TTM Technologies, Inc. 5.625% 10/1/25 (a) | 700,000 | 722,281 | |
10,890,569 | |||
IT Services - 0.0% | |||
Fiserv, Inc.: | |||
2.75% 7/1/24 | 105,000 | 112,393 | |
3.85% 6/1/25 | 1,490,000 | 1,680,393 | |
Gartner, Inc.: | |||
3.75% 10/1/30 (a) | 105,000 | 109,234 | |
4.5% 7/1/28 (a) | 165,000 | 173,250 | |
Global Payments, Inc. 2.65% 2/15/25 | 495,000 | 530,009 | |
IBM Corp.: | |||
2.85% 5/15/40 | 480,000 | 515,358 | |
3.625% 2/12/24 | 3,365,000 | 3,691,196 | |
MasterCard, Inc. 3.375% 4/1/24 | 870,000 | 956,001 | |
Visa, Inc. 2.7% 4/15/40 | 145,000 | 160,682 | |
7,928,516 | |||
Semiconductors & Semiconductor Equipment - 0.0% | |||
Broadcom Corp./Broadcom Cayman LP 3.125% 1/15/25 | 1,260,000 | 1,357,664 | |
Broadcom, Inc. 4.7% 4/15/25 | 900,000 | 1,030,043 | |
Entegris, Inc. 4.375% 4/15/28 (a) | 205,000 | 216,683 | |
NVIDIA Corp. 2.85% 4/1/30 | 2,598,000 | 2,911,794 | |
ON Semiconductor Corp. 3.875% 9/1/28 (a) | 125,000 | 128,750 | |
5,644,934 | |||
Software - 0.1% | |||
CDK Global, Inc.: | |||
4.875% 6/1/27 | 500,000 | 526,413 | |
5.875% 6/15/26 | 180,000 | 188,100 | |
Intuit, Inc.: | |||
0.95% 7/15/25 | 940,000 | 952,175 | |
1.35% 7/15/27 | 200,000 | 203,621 | |
Microsoft Corp.: | |||
3.7% 8/8/46 | 1,790,000 | 2,312,655 | |
4.1% 2/6/37 | 1,212,000 | 1,597,103 | |
Nortonlifelock, Inc. 5% 4/15/25 (a) | 370,000 | 377,411 | |
Nuance Communications, Inc. 5.625% 12/15/26 | 600,000 | 633,966 | |
Open Text Corp. 3.875% 2/15/28 (a) | 175,000 | 180,688 | |
Oracle Corp.: | |||
2.5% 4/1/25 | 6,499,000 | 6,969,029 | |
2.8% 4/1/27 | 7,964,000 | 8,763,400 | |
2.95% 5/15/25 | 935,000 | 1,018,844 | |
3.6% 4/1/40 | 6,500,000 | 7,584,866 | |
3.85% 4/1/60 | 6,500,000 | 7,991,441 | |
4.125% 5/15/45 | 850,000 | 1,054,790 | |
ServiceNow, Inc. 1.4% 9/1/30 | 1,005,000 | 978,084 | |
SS&C Technologies, Inc. 5.5% 9/30/27 (a) | 775,000 | 829,165 | |
42,161,751 | |||
Technology Hardware, Storage & Peripherals - 0.1% | |||
Apple, Inc.: | |||
3.25% 2/23/26 | 7,150,000 | 8,013,047 | |
3.85% 8/4/46 | 830,000 | 1,069,225 | |
Hewlett Packard Enterprise Co. 4.4% 10/15/22 (b) | 5,700,000 | 6,076,861 | |
15,159,133 | |||
TOTAL INFORMATION TECHNOLOGY | 82,258,924 | ||
MATERIALS - 0.1% | |||
Chemicals - 0.1% | |||
Axalta Coating Systems/Dutch Holding BV 4.75% 6/15/27 (a) | 240,000 | 253,200 | |
CF Industries Holdings, Inc.: | |||
4.95% 6/1/43 | 115,000 | 143,319 | |
5.15% 3/15/34 | 300,000 | 362,486 | |
5.375% 3/15/44 | 525,000 | 667,406 | |
Consolidated Energy Finance SA: | |||
3 month U.S. LIBOR + 3.750% 4.0004% 6/15/22 (a)(b)(d) | 530,000 | 514,100 | |
6.5% 5/15/26 (a) | 375,000 | 362,888 | |
6.875% 6/15/25 (a) | 35,000 | 34,351 | |
DuPont de Nemours, Inc. 4.493% 11/15/25 | 2,625,000 | 3,058,410 | |
Eastman Chemical Co. 4.65% 10/15/44 | 530,000 | 674,812 | |
FMC Corp. 4.5% 10/1/49 | 800,000 | 1,019,534 | |
LYB International Finance III LLC: | |||
3.375% 5/1/30 | 950,000 | 1,060,570 | |
3.375% 10/1/40 | 165,000 | 173,717 | |
4.2% 5/1/50 | 150,000 | 173,864 | |
LyondellBasell Industries NV 5.75% 4/15/24 | 1,730,000 | 1,985,550 | |
Methanex Corp.: | |||
5.125% 10/15/27 | 320,000 | 336,800 | |
5.65% 12/1/44 | 95,000 | 98,472 | |
Nufarm Australia Ltd. 5.75% 4/30/26 (a) | 400,000 | 410,980 | |
Nutrien Ltd. 4.9% 6/1/43 | 825,000 | 1,057,044 | |
Olin Corp.: | |||
5% 2/1/30 | 195,000 | 202,800 | |
5.125% 9/15/27 | 700,000 | 726,250 | |
5.625% 8/1/29 | 195,000 | 209,613 | |
Sherwin-Williams Co. 4.5% 6/1/47 | 210,000 | 279,069 | |
The Chemours Co. LLC 7% 5/15/25 | 600,000 | 621,000 | |
The Dow Chemical Co.: | |||
3.625% 5/15/26 | 2,820,000 | 3,167,123 | |
4.625% 10/1/44 | 295,000 | 364,792 | |
Valvoline, Inc.: | |||
4.25% 2/15/30 (a) | 70,000 | 73,675 | |
4.375% 8/15/25 | 400,000 | 413,524 | |
W. R. Grace & Co.-Conn.: | |||
4.875% 6/15/27 (a) | 125,000 | 130,938 | |
5.625% 10/1/24 (a) | 400,000 | 431,000 | |
19,007,287 | |||
Construction Materials - 0.0% | |||
Martin Marietta Materials, Inc. 2.5% 3/15/30 | 530,000 | 558,420 | |
Vulcan Materials Co. 4.5% 6/15/47 | 795,000 | 982,109 | |
1,540,529 | |||
Containers & Packaging - 0.0% | |||
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.: | |||
4.125% 8/15/26 (a) | 10,000 | 10,375 | |
5.25% 8/15/27 (a) | 310,000 | 323,284 | |
6% 2/15/25 (a) | 40,000 | 41,350 | |
Berry Global, Inc. 4.875% 7/15/26 (a) | 200,000 | 212,332 | |
Intelligent Packaging Ltd. Finco, Inc. 6% 9/15/28 (a) | 40,000 | 42,519 | |
International Paper Co.: | |||
5% 9/15/35 | 715,000 | 942,323 | |
5.15% 5/15/46 | 116,000 | 163,454 | |
OI European Group BV 4% 3/15/23 (a) | 290,000 | 297,250 | |
Rock-Tenn Co. 4.9% 3/1/22 | 185,000 | 195,076 | |
Trivium Packaging Finance BV: | |||
5.5% 8/15/26 (a) | 205,000 | 214,738 | |
8.5% 8/15/27 (a) | 60,000 | 64,950 | |
2,507,651 | |||
Metals & Mining - 0.0% | |||
Anglo American Capital PLC 4.125% 4/15/21 (a) | 2,545,000 | 2,575,295 | |
Barrick North America Finance LLC: | |||
5.7% 5/30/41 | 415,000 | 597,006 | |
5.75% 5/1/43 | 330,000 | 487,387 | |
Barrick PD Australia Finance Pty Ltd. 5.95% 10/15/39 | 1,040,000 | 1,513,132 | |
Corporacion Nacional del Cobre de Chile (Codelco): | |||
3.625% 8/1/27 (a) | 2,033,000 | 2,256,630 | |
4.5% 8/1/47 (a) | 1,715,000 | 2,103,019 | |
FMG Resources (August 2006) Pty Ltd. 4.5% 9/15/27 (a) | 5,000 | 5,482 | |
Freeport-McMoRan, Inc.: | |||
5.4% 11/14/34 | 570,000 | 706,088 | |
5.45% 3/15/43 | 450,000 | 562,500 | |
Kaiser Aluminum Corp.: | |||
4.625% 3/1/28 (a) | 415,000 | 427,977 | |
6.5% 5/1/25 (a) | 105,000 | 112,350 | |
Newmont Corp.: | |||
2.25% 10/1/30 | 600,000 | 628,493 | |
2.8% 10/1/29 | 425,000 | 465,597 | |
Southern Copper Corp. 5.875% 4/23/45 | 455,000 | 643,071 | |
Steel Dynamics, Inc. 2.4% 6/15/25 | 365,000 | 385,907 | |
13,469,934 | |||
TOTAL MATERIALS | 36,525,401 | ||
REAL ESTATE - 0.6% | |||
Equity Real Estate Investment Trusts (REITs) - 0.4% | |||
Alexandria Real Estate Equities, Inc. 4.9% 12/15/30 | 5,395,000 | 6,810,112 | |
Boston Properties, Inc.: | |||
3.85% 2/1/23 | 1,175,000 | 1,249,873 | |
4.5% 12/1/28 | 5,210,000 | 6,210,194 | |
CoreCivic, Inc. 4.625% 5/1/23 | 555,000 | 521,700 | |
Corporate Office Properties LP: | |||
2.25% 3/15/26 | 1,775,000 | 1,814,361 | |
5% 7/1/25 | 3,453,000 | 3,936,431 | |
CTR Partnership LP/CareTrust Capital Corp. 5.25% 6/1/25 | 300,000 | 311,256 | |
Duke Realty LP: | |||
3.25% 6/30/26 | 805,000 | 895,548 | |
3.625% 4/15/23 | 1,382,000 | 1,466,024 | |
GLP Capital LP/GLP Financing II, Inc. 5.25% 6/1/25 | 200,000 | 222,010 | |
Healthcare Trust of America Holdings LP: | |||
3.1% 2/15/30 | 1,715,000 | 1,863,274 | |
3.5% 8/1/26 | 1,786,000 | 2,014,139 | |
Healthpeak Properties, Inc.: | |||
3% 1/15/30 | 925,000 | 1,010,078 | |
3.5% 7/15/29 | 887,000 | 1,002,839 | |
Highwoods/Forsyth LP 3.2% 6/15/21 | 737,000 | 743,580 | |
Hospitality Properties Trust: | |||
4.375% 2/15/30 | 50,000 | 46,900 | |
4.95% 2/15/27 | 25,000 | 23,844 | |
4.95% 10/1/29 | 10,000 | 9,375 | |
5.5% 12/15/27 | 55,000 | 57,441 | |
Hudson Pacific Properties LP 4.65% 4/1/29 | 10,503,000 | 12,120,657 | |
Kimco Realty Corp. 1.9% 3/1/28 | 815,000 | 818,795 | |
Lexington Corporate Properties Trust: | |||
2.7% 9/15/30 | 894,000 | 924,832 | |
4.4% 6/15/24 | 1,319,000 | 1,434,414 | |
MGM Growth Properties Operating Partnership LP: | |||
4.625% 6/15/25 (a) | 65,000 | 68,575 | |
5.625% 5/1/24 | 1,185,000 | 1,270,913 | |
MPT Operating Partnership LP/MPT Finance Corp. 6.375% 3/1/24 | 555,000 | 573,648 | |
Omega Healthcare Investors, Inc.: | |||
3.375% 2/1/31 | 3,399,000 | 3,420,926 | |
3.625% 10/1/29 | 7,647,000 | 7,907,783 | |
4.375% 8/1/23 | 6,644,000 | 7,156,282 | |
4.5% 1/15/25 | 2,793,000 | 3,025,805 | |
4.5% 4/1/27 | 1,500,000 | 1,653,090 | |
4.75% 1/15/28 | 7,569,000 | 8,469,755 | |
4.95% 4/1/24 | 1,152,000 | 1,249,072 | |
5.25% 1/15/26 | 5,841,000 | 6,527,292 | |
Realty Income Corp.: | |||
3% 1/15/27 | 585,000 | 638,655 | |
3.25% 1/15/31 | 1,177,000 | 1,331,995 | |
Retail Opportunity Investments Partnership LP: | |||
4% 12/15/24 | 877,000 | 899,910 | |
5% 12/15/23 | 626,000 | 658,553 | |
Retail Properties America, Inc.: | |||
4% 3/15/25 | 6,865,000 | 6,894,774 | |
4.75% 9/15/30 | 10,799,000 | 10,897,058 | |
SBA Communications Corp. 4.875% 9/1/24 | 200,000 | 204,936 | |
Simon Property Group LP: | |||
2.45% 9/13/29 | 360,000 | 368,074 | |
3.25% 11/30/26 | 1,070,000 | 1,175,831 | |
3.375% 10/1/24 | 2,120,000 | 2,294,039 | |
3.5% 9/1/25 | 55,000 | 60,588 | |
3.75% 2/1/24 | 275,000 | 297,724 | |
SITE Centers Corp.: | |||
3.625% 2/1/25 | 2,396,000 | 2,475,493 | |
4.25% 2/1/26 | 5,582,000 | 5,956,237 | |
Store Capital Corp.: | |||
2.75% 11/18/30 | 1,957,000 | 1,975,472 | |
4.625% 3/15/29 | 2,475,000 | 2,828,505 | |
Uniti Group, Inc. 7.875% 2/15/25 (a) | 440,000 | 467,645 | |
Ventas Realty LP: | |||
3% 1/15/30 | 10,008,000 | 10,636,775 | |
3.125% 6/15/23 | 1,414,000 | 1,486,268 | |
3.85% 4/1/27 | 1,050,000 | 1,172,971 | |
4% 3/1/28 | 2,712,000 | 3,066,151 | |
4.125% 1/15/26 | 1,628,000 | 1,863,929 | |
4.75% 11/15/30 | 13,000,000 | 15,748,056 | |
VEREIT Operating Partnership LP: | |||
2.2% 6/15/28 | 791,000 | 795,677 | |
2.85% 12/15/32 | 973,000 | 996,459 | |
3.4% 1/15/28 | 1,880,000 | 2,034,432 | |
VICI Properties, Inc.: | |||
3.5% 2/15/25 (a) | 125,000 | 127,500 | |
4.25% 12/1/26 (a) | 670,000 | 695,125 | |
4.625% 12/1/29 (a) | 250,000 | 266,418 | |
Weingarten Realty Investors 3.375% 10/15/22 | 472,000 | 484,846 | |
Welltower, Inc. 2.7% 2/15/27 | 340,000 | 369,149 | |
WP Carey, Inc.: | |||
3.85% 7/15/29 | 1,725,000 | 1,938,632 | |
4% 2/1/25 | 5,544,000 | 6,108,716 | |
4.6% 4/1/24 | 7,436,000 | 8,241,203 | |
182,288,614 | |||
Real Estate Management & Development - 0.2% | |||
Brandywine Operating Partnership LP: | |||
3.95% 2/15/23 | 4,006,000 | 4,144,810 | |
3.95% 11/15/27 | 5,608,000 | 5,859,901 | |
4.1% 10/1/24 | 4,892,000 | 5,146,911 | |
4.55% 10/1/29 | 1,707,000 | 1,855,746 | |
CBRE Group, Inc. 4.875% 3/1/26 | 12,670,000 | 14,844,186 | |
Essex Portfolio LP 3.875% 5/1/24 | 2,685,000 | 2,937,114 | |
Howard Hughes Corp. 5.375% 3/15/25 (a) | 400,000 | 411,500 | |
Mack-Cali Realty LP: | |||
3.15% 5/15/23 | 3,436,000 | 3,411,075 | |
4.5% 4/18/22 | 644,000 | 635,178 | |
Mid-America Apartments LP 4% 11/15/25 | 1,296,000 | 1,465,820 | |
Post Apartment Homes LP 3.375% 12/1/22 | 1,800,000 | 1,876,169 | |
Tanger Properties LP: | |||
3.125% 9/1/26 | 3,497,000 | 3,490,669 | |
3.75% 12/1/24 | 3,352,000 | 3,420,180 | |
3.875% 12/1/23 | 1,492,000 | 1,518,769 | |
3.875% 7/15/27 | 13,369,000 | 13,387,463 | |
64,405,491 | |||
TOTAL REAL ESTATE | 246,694,105 | ||
UTILITIES - 0.5% | |||
Electric Utilities - 0.2% | |||
AEP Texas, Inc. 2.1% 7/1/30 | 100,000 | 104,688 | |
AEP Transmission Co. LLC 4% 12/1/46 | 375,000 | 468,099 | |
Alabama Power Co.: | |||
3.75% 3/1/45 | 650,000 | 778,091 | |
3.85% 12/1/42 | 700,000 | 858,345 | |
4.1% 1/15/42 | 225,000 | 267,975 | |
Arizona Public Service Co. 2.6% 8/15/29 | 340,000 | 368,163 | |
CenterPoint Energy Houston Electric LLC 3.95% 3/1/48 | 1,135,000 | 1,450,991 | |
Clearway Energy Operating LLC: | |||
4.75% 3/15/28 (a) | 60,000 | 64,345 | |
5% 9/15/26 | 520,000 | 535,600 | |
Cleco Corporate Holdings LLC 3.375% 9/15/29 | 4,448,000 | 4,552,398 | |
Commonwealth Edison Co.: | |||
3.7% 8/15/28 | 250,000 | 292,093 | |
3.7% 3/1/45 | 315,000 | 378,594 | |
4.35% 11/15/45 | 330,000 | 435,120 | |
Dominion Energy South Carolina: | |||
5.1% 6/1/65 | 520,000 | 818,517 | |
5.45% 2/1/41 | 35,000 | 50,036 | |
DPL, Inc. 4.35% 4/15/29 | 1,990,000 | 2,233,775 | |
DTE Electric Co.: | |||
2.25% 3/1/30 | 150,000 | 161,175 | |
3.75% 8/15/47 | 900,000 | 1,116,497 | |
Duke Energy Carolinas LLC: | |||
2.95% 12/1/26 | 370,000 | 414,489 | |
4% 9/30/42 | 1,400,000 | 1,729,096 | |
4.25% 12/15/41 | 1,450,000 | 1,853,691 | |
6.1% 6/1/37 | 775,000 | 1,164,925 | |
Duquesne Light Holdings, Inc. 5.9% 12/1/21 (a) | 8,875,000 | 9,276,793 | |
Entergy Louisiana LLC 2.4% 10/1/26 | 1,070,000 | 1,155,549 | |
Entergy, Inc. 1.75% 3/15/31 | 1,475,000 | 1,479,856 | |
Evergy Kansas Central 4.125% 3/1/42 | 655,000 | 790,084 | |
Eversource Energy 1.65% 8/15/30 | 520,000 | 519,316 | |
Exelon Corp.: | |||
4.05% 4/15/30 | 2,274,000 | 2,696,307 | |
4.7% 4/15/50 | 1,013,000 | 1,367,348 | |
5.625% 6/15/35 | 150,000 | 203,820 | |
FirstEnergy Corp.: | |||
4.25% 3/15/23 | 12,580,000 | 13,274,224 | |
7.375% 11/15/31 | 9,948,000 | 13,571,103 | |
Florida Power & Light Co.: | |||
3.95% 3/1/48 | 1,605,000 | 2,096,970 | |
5.25% 2/1/41 | 150,000 | 212,750 | |
Fortis, Inc. 3.055% 10/4/26 | 301,000 | 330,042 | |
Hydro-Quebec 8.05% 7/7/24 | 1,455,000 | 1,845,144 | |
Indiana Michigan Power Co. 4.55% 3/15/46 | 620,000 | 817,689 | |
IPALCO Enterprises, Inc. 3.7% 9/1/24 | 2,644,000 | 2,874,558 | |
Louisville Gas & Electric Co. 5.125% 11/15/40 | 345,000 | 464,456 | |
NextEra Energy Capital Holdings, Inc. 2.25% 6/1/30 | 840,000 | 879,438 | |
NextEra Energy Partners LP 4.25% 9/15/24 (a) | 300,000 | 317,250 | |
Northern States Power Co.: | |||
3.6% 9/15/47 | 20,000 | 24,763 | |
6.25% 6/1/36 | 370,000 | 555,533 | |
NRG Energy, Inc.: | |||
3.375% 2/15/29 (a)(c) | 45,000 | 45,956 | |
3.625% 2/15/31 (a)(c) | 95,000 | 98,563 | |
5.75% 1/15/28 | 245,000 | 267,381 | |
6.625% 1/15/27 | 400,000 | 421,000 | |
NSG Holdings II LLC/NSG Holdings, Inc. 7.75% 12/15/25 (a) | 21,906 | 23,221 | |
Ohio Power Co. 4% 6/1/49 | 680,000 | 857,692 | |
Pacific Gas & Electric Co.: | |||
1.75% 6/16/22 | 1,025,000 | 1,026,981 | |
4.5% 7/1/40 | 445,000 | 499,147 | |
PacifiCorp: | |||
5.25% 6/15/35 | 1,375,000 | 1,922,158 | |
5.75% 4/1/37 | 900,000 | 1,292,148 | |
Pattern Energy Operations LP 4.5% 8/15/28 (a) | 90,000 | 96,300 | |
PECO Energy Co.: | |||
2.8% 6/15/50 | 360,000 | 385,306 | |
3.9% 3/1/48 | 1,275,000 | 1,621,357 | |
PG&E Corp.: | |||
5% 7/1/28 | 170,000 | 181,475 | |
5.25% 7/1/30 | 600,000 | 654,000 | |
PPL Capital Funding, Inc. 4.7% 6/1/43 | 1,315,000 | 1,637,652 | |
PPL Electric Utilities Corp.: | |||
4.125% 6/15/44 | 450,000 | 564,181 | |
4.15% 10/1/45 | 555,000 | 702,733 | |
6.25% 5/15/39 | 250,000 | 374,277 | |
Public Service Electric & Gas Co.: | |||
3.6% 12/1/47 | 260,000 | 315,660 | |
3.65% 9/1/28 | 685,000 | 793,423 | |
3.65% 9/1/42 | 125,000 | 150,252 | |
3.95% 5/1/42 | 405,000 | 503,566 | |
Puget Sound Energy, Inc. 5.764% 7/15/40 | 285,000 | 400,602 | |
Southern California Edison Co.: | |||
3.6% 2/1/45 | 1,935,000 | 2,146,423 | |
3.9% 12/1/41 | 120,000 | 130,582 | |
5.55% 1/15/37 | 430,000 | 541,142 | |
Virginia Electric & Power Co.: | |||
6% 1/15/36 | 470,000 | 684,456 | |
6% 5/15/37 | 950,000 | 1,393,535 | |
Vistra Operations Co. LLC: | |||
5% 7/31/27 (a) | 195,000 | 206,232 | |
5.5% 9/1/26 (a) | 770,000 | 805,690 | |
5.625% 2/15/27 (a) | 225,000 | 237,668 | |
Wisconsin Power & Light Co. 4.1% 10/15/44 | 240,000 | 288,032 | |
Xcel Energy, Inc. 3.5% 12/1/49 | 1,175,000 | 1,382,730 | |
97,501,217 | |||
Gas Utilities - 0.0% | |||
AGL Capital Corp. 4.4% 6/1/43 | 440,000 | 536,341 | |
Atmos Energy Corp. 3.375% 9/15/49 | 1,020,000 | 1,187,459 | |
Nakilat, Inc. 6.067% 12/31/33 (a) | 666,000 | 855,602 | |
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21 | 527,000 | 532,818 | |
3,112,220 | |||
Independent Power and Renewable Electricity Producers - 0.1% | |||
TerraForm Power Operating LLC 5% 1/31/28 (a) | 400,000 | 447,000 | |
The AES Corp.: | |||
3.3% 7/15/25 (a) | 10,697,000 | 11,667,860 | |
3.95% 7/15/30 (a) | 9,327,000 | 10,575,699 | |
5.5% 4/15/25 | 40,000 | 41,228 | |
22,731,787 | |||
Multi-Utilities - 0.2% | |||
Ameren Illinois Co.: | |||
1.55% 11/15/30 | 750,000 | 758,654 | |
4.15% 3/15/46 | 835,000 | 1,058,307 | |
4.5% 3/15/49 | 295,000 | 400,986 | |
Berkshire Hathaway Energy Co.: | |||
3.7% 7/15/30 (a) | 1,280,000 | 1,518,430 | |
4.05% 4/15/25 (a) | 16,081,000 | 18,257,074 | |
6.125% 4/1/36 | 3,050,000 | 4,565,353 | |
CenterPoint Energy, Inc. 2.95% 3/1/30 | 25,000 | 27,331 | |
Consolidated Edison Co. of New York, Inc.: | |||
3.95% 4/1/50 | 1,808,000 | 2,225,968 | |
4.3% 12/1/56 | 300,000 | 393,007 | |
Dominion Energy, Inc. 7% 6/15/38 | 150,000 | 230,391 | |
DTE Energy Co. 3.8% 3/15/27 | 1,010,000 | 1,149,569 | |
NiSource Finance Corp.: | |||
4.8% 2/15/44 | 190,000 | 251,632 | |
5.95% 6/15/41 | 640,000 | 913,907 | |
NiSource, Inc. 2.95% 9/1/29 | 11,346,000 | 12,466,846 | |
NorthWestern Energy Corp. 4.176% 11/15/44 | 260,000 | 318,684 | |
Puget Energy, Inc.: | |||
3.65% 5/15/25 | 324,000 | 358,852 | |
4.1% 6/15/30 (a) | 5,059,000 | 5,725,983 | |
5.625% 7/15/22 | 4,555,000 | 4,850,713 | |
6% 9/1/21 | 4,353,000 | 4,525,016 | |
San Diego Gas & Electric Co.: | |||
3.32% 4/15/50 | 785,000 | 881,063 | |
3.6% 9/1/23 | 100,000 | 107,939 | |
3.75% 6/1/47 | 710,000 | 845,873 | |
Sempra Energy 4% 2/1/48 | 390,000 | 468,768 | |
WEC Energy Group, Inc. 3 month U.S. LIBOR + 2.110% 2.3335% 5/15/67 (b)(d) | 1,012,000 | 854,155 | |
63,154,501 | |||
TOTAL UTILITIES | 186,499,725 | ||
TOTAL NONCONVERTIBLE BONDS | |||
(Cost $3,262,410,119) | 3,631,653,444 | ||
U.S. Government and Government Agency Obligations - 3.9% | |||
U.S. Government Agency Obligations - 0.1% | |||
Fannie Mae: | |||
0.5% 6/17/25 | $1,530,000 | $1,535,015 | |
0.625% 4/22/25 | 1,625,000 | 1,642,753 | |
0.75% 10/8/27 | 980,000 | 977,785 | |
0.875% 8/5/30 | 705,000 | 690,230 | |
1.625% 10/15/24 | 3,505,000 | 3,686,781 | |
1.625% 1/7/25 | 705,000 | 741,248 | |
1.875% 9/24/26 | 355,000 | 381,371 | |
2% 10/5/22 | 635,000 | 656,346 | |
2.5% 2/5/24 | 665,000 | 712,394 | |
2.875% 9/12/23 | 670,000 | 719,252 | |
6.25% 5/15/29 | 255,000 | 364,674 | |
6.625% 11/15/30 | 670,000 | 1,017,223 | |
Federal Home Loan Bank: | |||
3% 10/12/21 | 1,165,000 | 1,193,962 | |
3.25% 11/16/28 | 1,815,000 | 2,161,815 | |
Freddie Mac: | |||
0.375% 4/20/23 | 885,000 | 888,832 | |
0.375% 5/5/23 | 3,065,000 | 3,076,880 | |
6.25% 7/15/32 | 40,000 | 61,971 | |
6.75% 9/15/29 | 255,000 | 379,748 | |
Tennessee Valley Authority: | |||
0.75% 5/15/25 | 845,000 | 854,962 | |
2.875% 2/1/27 | 1,320,000 | 1,486,396 | |
5.25% 9/15/39 | 150,000 | 226,578 | |
7.125% 5/1/30 | 460,000 | 702,621 | |
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 24,158,837 | ||
U.S. Treasury Obligations - 3.8% | |||
U.S. Treasury Bonds: | |||
1.25% 5/15/50 | 291,200,000 | 268,131,500 | |
1.375% 8/15/50 | 181,105,000 | 172,078,048 | |
2% 2/15/50 | 26,101,000 | 28,761,059 | |
3% 2/15/47 | 1,620,000 | 2,144,855 | |
3.125% 2/15/43 | 25,775,000 | 34,252,559 | |
3.625% 8/15/43 | 43,790,000 | 62,616,279 | |
3.75% 11/15/43 | 4,225,000 | 6,156,947 | |
5% 5/15/37 | 7,355,000 | 11,662,272 | |
6.25% 8/15/23 | 11,080,000 | 12,901,275 | |
stripped coupon: | |||
0% 2/15/29 | 1,020,000 | 950,521 | |
0% 2/15/36 | 1,100,000 | 900,006 | |
0% 11/15/36 | 1,975,000 | 1,589,759 | |
0% 5/15/39 | 5,425,000 | 4,141,575 | |
0% 8/15/39 | 8,745,000 | 6,663,447 | |
0% 2/15/41 | 590,000 | 436,544 | |
0% 11/15/41 | 850,000 | 615,543 | |
0% 5/15/42 | 2,635,000 | 1,896,619 | |
0% 8/15/42 | 490,000 | 350,643 | |
0% 11/15/42 | 1,280,000 | 906,133 | |
U.S. Treasury Notes: | |||
0.125% 6/30/22 | 309,500,000 | 309,451,641 | |
0.125% 9/30/22 | 340,000 | 339,907 | |
0.125% 9/15/23 | 23,075,000 | 23,037,143 | |
0.375% 4/30/25 | 4,180,000 | 4,190,777 | |
0.375% 11/30/25 | 47,330,000 | 47,355,884 | |
0.5% 3/15/23 | 36,595,000 | 36,873,751 | |
0.625% 11/30/27 | 1,325,000 | 1,325,414 | |
0.875% 11/15/30 | 75,987,000 | 76,165,095 | |
1.125% 2/28/22 | 2,945,000 | 2,982,273 | |
1.375% 2/15/23 | 7,940,000 | 8,152,147 | |
1.5% 1/31/22 | 1,450,000 | 1,473,336 | |
1.625% 11/15/22 | 65,350,000 | 67,226,260 | |
1.625% 4/30/23 | 21,075,000 | 21,815,095 | |
1.75% 9/30/22 | 15,955,000 | 16,421,808 | |
1.875% 4/30/22 | 38,045,000 | 38,981,264 | |
1.875% 9/30/22 | 1,213,000 | 1,251,143 | |
2% 10/31/22 | 32,840,000 | 33,997,097 | |
2% 2/15/25 | 10,415,000 | 11,155,035 | |
2% 8/15/25 | 11,115,000 | 11,975,978 | |
2.125% 6/30/22 | 20,330,000 | 20,966,901 | |
2.125% 7/31/24 | 41,955,000 | 44,827,934 | |
2.125% 5/15/25 | 33,680,000 | 36,363,875 | |
2.875% 11/15/21 | 17,335,000 | 17,790,721 | |
2.875% 5/15/28 | 43,880,000 | 50,986,503 | |
3.125% 11/15/28 | 10,480,000 | 12,447,456 | |
TOTAL U.S. TREASURY OBLIGATIONS | 1,514,710,022 | ||
Other Government Related - 0.0% | |||
Private Export Funding Corp. Secured 3.55% 1/15/24 | 755,000 | 822,984 | |
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $1,524,668,908) | 1,539,691,843 | ||
U.S. Government Agency - Mortgage Securities - 9.0% | |||
Fannie Mae - 2.4% | |||
12 month U.S. LIBOR + 1.550% 2.553% 6/1/36 (b)(d) | 4,021 | 4,213 | |
12 month U.S. LIBOR + 1.820% 3.825% 2/1/35 (b)(d) | 78,658 | 82,695 | |
12 month U.S. LIBOR + 1.950% 2.806% 7/1/37 (b)(d) | 8,364 | 8,836 | |
2% 8/1/31 | 1,085,139 | 1,133,667 | |
2.5% 6/1/28 to 10/1/50 | 108,437,805 | 114,209,431 | |
3% 2/1/27 to 9/1/50 (e)(f)(g) | 335,897,527 | 356,386,934 | |
3.5% 9/1/26 to 6/1/50 (e)(f)(g)(h) | 191,830,799 | 207,057,014 | |
4% 5/1/29 to 11/1/49 | 149,475,486 | 163,428,807 | |
4.5% 6/1/24 to 9/1/49 | 61,782,346 | 68,565,470 | |
5% 6/1/24 to 2/1/49 | 40,486,117 | 46,064,187 | |
5.243% 8/1/41 (b) | 335,982 | 380,204 | |
5.5% 11/1/36 to 1/1/40 | 2,136,245 | 2,507,269 | |
6% to 6% 2/1/34 to 1/1/42 (e)(g) | 13,044,730 | 15,454,233 | |
6.5% 2/1/36 | 1,372 | 1,633 | |
6.572% 2/1/39 (b) | 262,414 | 289,536 | |
TOTAL FANNIE MAE | 975,574,129 | ||
Freddie Mac - 1.4% | |||
6 month U.S. LIBOR + 2.690% 2.993% 10/1/35 (b)(d) | 4,186 | 4,371 | |
2% 1/1/32 | 1,747,142 | 1,826,858 | |
2.5% 3/1/28 to 7/1/50 | 42,685,606 | 44,956,763 | |
3% 10/1/28 to 6/1/50 | 115,724,449 | 122,803,441 | |
3.5% 8/1/26 to 4/1/50 | 195,822,297 | 211,892,297 | |
3.5% 8/1/47 | 9,145,381 | 9,829,729 | |
4% 6/1/33 to 6/1/48 | 94,197,909 | 102,971,161 | |
4.5% 7/1/25 to 12/1/48 | 35,610,859 | 39,395,696 | |
5% 10/1/33 to 12/1/47 | 6,211,949 | 7,135,489 | |
6% 7/1/37 to 9/1/38 | 158,212 | 189,147 | |
6.5% 9/1/39 | 468,721 | 563,205 | |
TOTAL FREDDIE MAC | 541,568,157 | ||
Ginnie Mae - 2.1% | |||
3.5% 9/20/40 to 4/20/50 | 99,816,645 | 108,473,470 | |
4.5% 5/15/39 to 3/20/49 | 56,359,774 | 62,157,343 | |
5.5% 6/15/36 to 3/20/41 | 196,370 | 228,632 | |
2.5% 8/20/46 to 12/20/46 | 1,273,092 | 1,350,887 | |
2.5% 12/1/50 (c) | 300,000 | 315,990 | |
2.5% 12/1/50 (c) | 2,450,000 | 2,580,587 | |
2.5% 12/1/50 (c) | 800,000 | 842,641 | |
2.5% 12/1/50 (c) | 2,450,000 | 2,580,587 | |
2.5% 12/1/50 (c) | 4,500,000 | 4,739,855 | |
2.5% 12/1/50 (c) | 13,300,000 | 14,008,903 | |
2.5% 12/1/50 (c) | 8,100,000 | 8,531,738 | |
2.5% 12/1/50 (c) | 6,500,000 | 6,846,457 | |
2.5% 12/1/50 (c) | 10,650,000 | 11,217,656 | |
2.5% 12/1/50 (c) | 4,000,000 | 4,213,204 | |
2.5% 12/1/50 (c) | 8,200,000 | 8,637,068 | |
2.5% 12/1/50 (c) | 5,000,000 | 5,266,505 | |
2.5% 12/1/50 (c) | 8,950,000 | 9,427,044 | |
2.5% 12/1/50 (c) | 14,200,000 | 14,956,874 | |
2.5% 12/1/50 (c) | 7,750,000 | 8,163,083 | |
2.5% 12/1/50 (c) | 12,250,000 | 12,902,937 | |
2.5% 12/1/50 (c) | 6,700,000 | 7,057,117 | |
2.5% 1/1/51 (c) | 13,100,000 | 13,768,052 | |
2.5% 1/1/51 (c) | 12,550,000 | 13,190,004 | |
2.5% 1/1/51 (c) | 8,950,000 | 9,406,417 | |
2.5% 1/1/51 (c) | 8,550,000 | 8,986,018 | |
2.5% 1/1/51 (c) | 12,850,000 | 13,505,302 | |
2.5% 1/1/51 (c) | 8,750,000 | 9,196,218 | |
3% 8/20/42 to 9/20/50 | 89,674,505 | 94,507,115 | |
3% 12/1/50 (c) | 10,800,000 | 11,271,596 | |
3% 12/1/50 (c) | 1,100,000 | 1,148,033 | |
3% 12/1/50 (c) | 1,300,000 | 1,356,766 | |
3% 12/1/50 (c) | 1,300,000 | 1,356,766 | |
3% 12/1/50 (c) | 8,850,000 | 9,236,447 | |
3% 12/1/50 (c) | 5,850,000 | 6,105,448 | |
3% 12/1/50 (c) | 4,350,000 | 4,539,948 | |
3% 12/1/50 (c) | 5,100,000 | 5,322,698 | |
3% 12/1/50 (c) | 5,150,000 | 5,374,881 | |
3% 1/1/51 (c) | 4,150,000 | 4,332,836 | |
3% 1/1/51 (c) | 2,750,000 | 2,871,156 | |
3% 1/1/51 (c) | 6,700,000 | 6,995,181 | |
3% 1/1/51 (c) | 2,250,000 | 2,349,128 | |
3.5% 12/1/50 (c) | 6,750,000 | 7,129,263 | |
3.5% 12/1/50 (c) | 9,500,000 | 10,033,777 | |
3.5% 12/1/50 (c) | 12,000,000 | 12,674,245 | |
3.5% 12/1/50 (c) | 9,950,000 | 10,509,062 | |
3.5% 12/1/50 (c) | 6,550,000 | 6,918,026 | |
3.5% 12/1/50 (c) | 1,750,000 | 1,848,327 | |
3.5% 12/1/50 (c) | 1,000,000 | 1,056,187 | |
3.5% 12/1/50 (c) | 2,500,000 | 2,640,468 | |
3.5% 12/1/50 (c) | 3,850,000 | 4,066,320 | |
3.5% 12/1/50 (c) | 5,150,000 | 5,439,364 | |
3.5% 12/1/50 (c) | 3,350,000 | 3,538,227 | |
3.5% 12/1/50 (c) | 3,500,000 | 3,696,655 | |
3.5% 12/1/50 (c) | 4,000,000 | 4,224,748 | |
3.5% 12/1/50 (c) | 1,800,000 | 1,901,137 | |
3.5% 1/1/51 (c) | 1,400,000 | 1,478,115 | |
3.5% 1/1/51 (c) | 4,500,000 | 4,751,084 | |
3.5% 1/1/51 (c) | 5,750,000 | 6,070,830 | |
3.5% 1/1/51 (c) | 2,600,000 | 2,745,071 | |
3.5% 1/1/51 (c) | 9,950,000 | 10,505,175 | |
3.5% 1/1/51 (c) | 6,550,000 | 6,915,467 | |
4% 5/20/40 to 5/20/49 | 179,198,042 | 194,609,907 | |
5% 6/20/34 to 6/20/48 | 23,432,829 | 26,136,640 | |
TOTAL GINNIE MAE | 848,206,683 | ||
Uniform Mortgage Backed Securities - 3.1% | |||
1.5% 12/1/35 (c) | 13,800,000 | 14,150,142 | |
1.5% 12/1/35 (c) | 500,000 | 512,686 | |
1.5% 12/1/35 (c) | 2,000,000 | 2,050,745 | |
1.5% 12/1/35 (c) | 12,000,000 | 12,304,471 | |
1.5% 12/1/35 (c) | 8,350,000 | 8,561,861 | |
1.5% 12/1/35 (c) | 5,500,000 | 5,639,549 | |
1.5% 12/1/35 (c) | 5,950,000 | 6,100,967 | |
1.5% 12/1/35 (c) | 3,250,000 | 3,332,461 | |
1.5% 12/1/35 (c) | 2,700,000 | 2,768,506 | |
1.5% 12/1/35 (c) | 12,000,000 | 12,304,471 | |
1.5% 12/1/35 (c) | 14,300,000 | 14,662,828 | |
1.5% 12/1/35 (c) | 8,350,000 | 8,561,861 | |
1.5% 12/1/35 (c) | 2,000,000 | 2,050,745 | |
1.5% 1/1/36 (c) | 3,100,000 | 3,175,264 | |
1.5% 1/1/36 (c) | 1,100,000 | 1,126,707 | |
1.5% 1/1/36 (c) | 13,600,000 | 13,930,192 | |
1.5% 1/1/36 (c) | 4,750,000 | 4,865,324 | |
1.5% 1/1/36 (c) | 5,950,000 | 6,094,459 | |
2% 12/1/35 (c) | 7,150,000 | 7,443,347 | |
2% 12/1/35 (c) | 4,450,000 | 4,632,572 | |
2% 12/1/35 (c) | 7,700,000 | 8,015,912 | |
2% 12/1/35 (c) | 4,800,000 | 4,996,932 | |
2% 12/1/35 (c) | 4,700,000 | 4,892,829 | |
2% 12/1/35 (c) | 7,600,000 | 7,911,809 | |
2% 12/1/35 (c) | 5,000,000 | 5,205,138 | |
2% 12/1/35 (c) | 8,000,000 | 8,328,220 | |
2% 1/1/36 (c) | 8,150,000 | 8,473,868 | |
2% 1/1/36 (c) | 5,050,000 | 5,250,679 | |
2% 1/1/36 (c) | 15,150,000 | 15,752,037 | |
2% 1/1/36 (c) | 9,450,000 | 9,825,528 | |
2% 12/1/50 (c) | 21,500,000 | 22,333,632 | |
2% 12/1/50 (c) | 7,200,000 | 7,479,170 | |
2% 12/1/50 (c) | 7,200,000 | 7,479,170 | |
2% 12/1/50 (c) | 14,450,000 | 15,010,279 | |
2% 12/1/50 (c) | 9,500,000 | 9,868,349 | |
2% 12/1/50 (c) | 9,500,000 | 9,868,349 | |
2% 12/1/50 (c) | 19,150,000 | 19,892,514 | |
2% 12/1/50 (c) | 15,200,000 | 15,789,359 | |
2% 12/1/50 (c) | 11,450,000 | 11,893,958 | |
2% 12/1/50 (c) | 25,500,000 | 26,488,727 | |
2% 12/1/50 (c) | 2,000,000 | 2,077,547 | |
2% 12/1/50 (c) | 7,500,000 | 7,790,802 | |
2% 12/1/50 (c) | 450,000 | 467,448 | |
2% 12/1/50 (c) | 8,700,000 | 9,037,330 | |
2% 12/1/50 (c) | 5,200,000 | 5,401,623 | |
2% 12/1/50 (c) | 9,250,000 | 9,608,656 | |
2% 12/1/50 (c) | 900,000 | 934,896 | |
2% 12/1/50 (c) | 3,900,000 | 4,051,217 | |
2% 12/1/50 (c) | 5,800,000 | 6,024,887 | |
2% 12/1/50 (c) | 15,100,000 | 15,685,481 | |
2% 12/1/50 (c) | 19,150,000 | 19,892,514 | |
2% 12/1/50 (c) | 4,000,000 | 4,155,094 | |
2% 12/1/50 (c) | 3,000,000 | 3,116,321 | |
2% 12/1/50 (c) | 2,500,000 | 2,596,934 | |
2% 12/1/50 (c) | 3,000,000 | 3,116,321 | |
2.5% 12/1/50 (c) | 6,500,000 | 6,810,271 | |
2.5% 12/1/50 (c) | 5,500,000 | 5,762,537 | |
2.5% 12/1/50 (c) | 4,500,000 | 4,714,803 | |
2.5% 12/1/50 (c) | 7,000,000 | 7,334,138 | |
2.5% 12/1/50 (c) | 9,500,000 | 9,953,473 | |
2.5% 12/1/50 (c) | 3,500,000 | 3,667,069 | |
2.5% 12/1/50 (c) | 9,650,000 | 10,110,633 | |
2.5% 12/1/50 (c) | 9,150,000 | 9,586,766 | |
2.5% 12/1/50 (c) | 9,000,000 | 9,429,606 | |
2.5% 1/1/51 (c) | 3,500,000 | 3,659,686 | |
2.5% 1/1/51 (c) | 2,500,000 | 2,614,062 | |
2.5% 1/1/51 (c) | 2,500,000 | 2,614,062 | |
3% 12/1/35 (c) | 20,100,000 | 21,040,620 | |
3% 12/1/50 (c) | 11,100,000 | 11,596,041 | |
3% 12/1/50 (c) | 13,000,000 | 13,580,949 | |
3% 12/1/50 (c) | 16,300,000 | 17,028,421 | |
3% 12/1/50 (c) | 3,050,000 | 3,186,300 | |
3% 12/1/50 (c) | 3,950,000 | 4,126,519 | |
3% 12/1/50 (c) | 3,600,000 | 3,760,878 | |
3% 12/1/50 (c) | 2,600,000 | 2,716,190 | |
3% 12/1/50 (c) | 3,400,000 | 3,551,941 | |
3% 12/1/50 (c) | 3,200,000 | 3,343,003 | |
3% 12/1/50 (c) | 3,900,000 | 4,074,285 | |
3% 12/1/50 (c) | 11,950,000 | 12,484,026 | |
3% 12/1/50 (c) | 16,050,000 | 16,767,249 | |
3% 12/1/50 (c) | 31,200,000 | 32,594,278 | |
3% 12/1/50 (c) | 41,950,000 | 43,824,678 | |
3% 1/1/51 (c) | 8,400,000 | 8,780,633 | |
3% 1/1/51 (c) | 8,200,000 | 8,571,570 | |
3% 1/1/51 (c) | 8,850,000 | 9,251,024 | |
3% 1/1/51 (c) | 8,650,000 | 9,041,961 | |
3% 1/1/51 (c) | 5,500,000 | 5,749,224 | |
3% 1/1/51 (c) | 12,850,000 | 13,432,277 | |
3% 1/1/51 (c) | 10,200,000 | 10,662,197 | |
3.5% 12/1/50 (c) | 16,250,000 | 17,139,946 | |
3.5% 12/1/50 (c) | 12,000,000 | 12,657,191 | |
3.5% 12/1/50 (c) | 21,950,000 | 23,152,112 | |
3.5% 12/1/50 (c) | 3,150,000 | 3,322,513 | |
3.5% 12/1/50 (c) | 15,350,000 | 16,190,657 | |
3.5% 12/1/50 (c) | 8,800,000 | 9,281,940 | |
3.5% 12/1/50 (c) | 1,150,000 | 1,212,981 | |
3.5% 12/1/50 (c) | 1,500,000 | 1,582,149 | |
3.5% 12/1/50 (c) | 40,825,000 | 43,060,818 | |
3.5% 12/1/50 (c) | 4,400,000 | 4,640,970 | |
3.5% 12/1/50 (c) | 22,350,000 | 23,574,018 | |
3.5% 12/1/50 (c) | 21,875,000 | 23,073,004 | |
3.5% 12/1/50 (c) | 3,650,000 | 3,849,896 | |
3.5% 12/1/50 (c) | 4,200,000 | 4,430,017 | |
3.5% 12/1/50 (c) | 3,750,000 | 3,955,372 | |
3.5% 12/1/50 (c) | 17,000,000 | 17,931,020 | |
3.5% 12/1/50 (c) | 4,300,000 | 4,535,493 | |
3.5% 12/1/50 (c) | 3,500,000 | 3,691,681 | |
3.5% 12/1/50 (c) | 4,050,000 | 4,271,802 | |
3.5% 12/1/50 (c) | 3,650,000 | 3,849,896 | |
3.5% 12/1/50 (c) | 3,400,000 | 3,586,204 | |
3.5% 12/1/50 (c) | 2,100,000 | 2,215,008 | |
4% 12/1/50 (c) | 550,000 | 586,846 | |
4% 12/1/50 (c) | 17,550,000 | 18,725,710 | |
4% 12/1/50 (c) | 20,200,000 | 21,553,238 | |
4% 12/1/50 (c) | 15,050,000 | 16,058,230 | |
4% 12/1/50 (c) | 8,700,000 | 9,282,830 | |
4% 12/1/50 (c) | 10,000,000 | 10,669,920 | |
4% 12/1/50 (c) | 7,450,000 | 7,949,090 | |
4% 12/1/50 (c) | 24,950,000 | 26,621,450 | |
4% 12/1/50 (c) | 17,550,000 | 18,725,710 | |
4% 12/1/50 (c) | 10,300,000 | 10,990,018 | |
4% 12/1/50 (c) | 24,950,000 | 26,621,450 | |
4% 12/1/50 (c) | 8,700,000 | 9,282,830 | |
4% 12/1/50 (c) | 550,000 | 586,846 | |
4% 12/1/50 (c) | 17,450,000 | 18,619,010 | |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | 1,215,881,924 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $3,507,298,169) | 3,581,230,893 | ||
Asset-Backed Securities - 1.2% | |||
AASET Trust: | |||
Series 2018-1A Class A, 3.844% 1/16/38 (a) | $3,062,458 | $2,899,179 | |
Series 2019-1 Class A, 3.844% 5/15/39 (a) | 5,115,449 | 4,806,204 | |
Series 2019-2: | |||
Class A, 3.376% 10/16/39 (a) | 7,889,020 | 7,452,138 | |
Class B, 4.458% 10/16/39 (a) | 1,459,063 | 1,062,265 | |
Aimco Series 2019-10A Class A, 3 month U.S. LIBOR + 1.320% 1.5358% 7/22/32 (a)(b)(d) | 10,856,000 | 10,845,861 | |
AIMCO CLO Ltd. Series 2020-11A Class A1, 3 month U.S. LIBOR + 1.380% 1.6046% 10/15/31 (a)(b)(d) | 5,211,000 | 5,211,245 | |
Allegany Park CLO, Ltd. / Allegany Series 2020-1A Class A, 3 month U.S. LIBOR + 1.330% 1.5484% 1/20/33 (a)(b)(d) | 3,880,000 | 3,877,785 | |
Apollo Aviation Securitization Equity Trust Series 2020-1A: | |||
Class A, 3.351% 1/16/40 (a) | 3,758,055 | 3,508,366 | |
Class B, 4.335% 1/16/40 (a) | 609,253 | 442,922 | |
Ares CLO Series 2019-54A Class A, 3 month U.S. LIBOR + 1.320% 1.5569% 10/15/32 (a)(b)(d) | 7,102,000 | 7,096,198 | |
Ares LV CLO Ltd. Series 2020-55A Class A1, 3 month U.S. LIBOR + 1.700% 1.9369% 4/15/31 (a)(b)(d) | 6,330,000 | 6,341,723 | |
Ares XLI CLO Ltd. / Ares XLI CLO LLC Series 2016-41A Class AR, 3 month U.S. LIBOR + 1.200% 1.4369% 1/15/29 (a)(b)(d) | 9,133,000 | 9,096,578 | |
Ares XXXIV CLO Ltd. Series 2020-2A Class AR2, 3 month U.S. LIBOR + 1.250% 1.4678% 4/17/33 (a)(b)(d) | 15,169,000 | 15,133,216 | |
Argent Securities, Inc. pass-thru certificates Series 2005-W2 Class A2C, 1 month U.S. LIBOR + 0.360% 0.5101% 10/25/35 (b)(d) | 425,752 | 424,554 | |
Babson CLO Ltd./Cayman Islands Series 2020-1A Class A1, 3 month U.S. LIBOR + 1.400% 1.6301% 10/15/32 (a)(b)(d) | 8,259,000 | 8,248,643 | |
Beechwood Park CLO Ltd. Series 2019-1A Class A1, 3 month U.S. LIBOR + 1.330% 1.5478% 1/17/33 (a)(b)(d) | 3,340,000 | 3,338,083 | |
Blackbird Capital Aircraft Series 2016-1A: | |||
Class A, 4.213% 12/16/41 (a) | 8,332,646 | 7,920,461 | |
Class AA, 2.487% 12/16/41 (a)(b) | 1,439,063 | 1,383,262 | |
Bristol Park CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 0.990% 1.2269% 4/15/29 (a)(b)(d) | 8,338,000 | 8,268,544 | |
Carvana Auto Receivables Trust Series 2019-4A Class A2, 2.2% 7/15/22 (a) | 454,947 | 456,009 | |
Cascade Funding Mortgage Trust: | |||
Series 2020-HB2 Class A, 3.4047% 4/25/30 (a) | 6,349,445 | 6,417,485 | |
Series 2020-HB3 Class A, 2.8115% 5/25/30 (a)(b) | 457,130 | 461,061 | |
Castlelake Aircraft Securitization Trust Series 2019-1A: | |||
Class A, 3.967% 4/15/39 (a) | 7,452,806 | 6,973,518 | |
Class B, 5.095% 4/15/39 (a) | 3,409,346 | 2,537,180 | |
Castlelake Aircraft Structured Trust Series 2018-1 Class A, 4.125% 6/15/43 (a) | 6,773,888 | 6,401,327 | |
Cedar Funding Ltd.: | |||
Series 2019-10A Class A, 3 month U.S. LIBOR + 1.340% 1.5584% 10/20/32 (a)(b)(d) | 5,957,000 | 5,954,290 | |
Series 2019-11A Class A1A, 3 month U.S. LIBOR + 1.350% 1.596% 5/29/32 (a)(b)(d) | 4,370,000 | 4,367,815 | |
Cedar Funding XII CLO Ltd. / Cedar Funding XII CLO LLC Series 2020-12A Class A, 3 month U.S. LIBOR + 1.270% 1.5101% 10/25/32 (a)(b)(d) | 3,330,000 | 3,325,814 | |
CEDF Series 2018-6A Class AR, 3 month U.S. LIBOR + 1.090% 1.3084% 10/20/28 (a)(b)(d) | 1,430,000 | 1,423,749 | |
Cent CLO Ltd. / Cent CLO Series 2020-29A Class A1N, 3 month U.S. LIBOR + 1.700% 1.9194% 7/20/31 (a)(b)(d) | 6,998,000 | 7,024,243 | |
Citi Mortgage Loan Trust Series 2007-1 Class 1A, 1 month U.S. LIBOR + 1.350% 1.5001% 10/25/37 (a)(b)(d) | 2,174,216 | 2,182,827 | |
Citibank Credit Card Issuance Trust: | |||
Series 2018-A3 Class A3, 3.29% 5/23/25 | 700,000 | 751,791 | |
Series 2018-A7 Class A7, 3.96% 10/13/30 | 2,100,000 | 2,530,688 | |
CNH Equipment Trust Series 2019-C Class A2, 1.99% 3/15/23 | 2,175,177 | 2,188,719 | |
Consumer Lending Receivables Trust Series 2019-A Class A, 3.52% 4/15/26 (a) | 545,821 | 548,138 | |
Consumer Loan Underlying Bond Credit Trust: | |||
Series 2018-P3 Class A, 3.82% 1/15/26 (a) | 1,810,211 | 1,819,417 | |
Series 2019-HP1 Class A, 2.59% 12/15/26 (a) | 5,388,605 | 5,451,168 | |
Series 2019-P1 Class A, 2.94% 7/15/26 (a) | 1,329,972 | 1,339,227 | |
CPS Auto Receivables Trust Series 2019-D Class A, 2.17% 12/15/22 (a) | 512,389 | 514,241 | |
DB Master Finance LLC Series 2017-1A: | |||
Class A2I, 3.629% 11/20/47 (a) | 4,207,035 | 4,319,026 | |
Class A2II, 4.03% 11/20/47 (a) | 7,110,920 | 7,558,339 | |
Dryden 68 CLO Ltd. 3 month U.S. LIBOR + 1.310% 1.5469% 7/15/32 (a)(b)(d) | 5,220,000 | 5,215,401 | |
Dryden CLO, Ltd.: | |||
Series 2019-75A Class AR, 3 month U.S. LIBOR + 1.200% 1.4369% 7/15/30 (a)(b)(d) | 3,230,000 | 3,217,813 | |
Series 2019-76A Class A1, 3 month U.S. LIBOR + 1.330% 1.5484% 10/20/32 (a)(b)(d) | 7,395,000 | 7,396,228 | |
Dryden CLO, Ltd. / Dryden CLO, LLC Series 2020-85A Class A1, 3 month U.S. LIBOR + 1.350% 1.5633% 10/15/32 (a)(b)(d) | 5,609,000 | 5,601,938 | |
Dryden Senior Loan Fund: | |||
Series 2014-36A Class AR2, 3 month U.S. LIBOR + 1.280% 1.5169% 4/15/29 (a)(b)(d) | 10,300,000 | 10,290,617 | |
Series 2019-72A Class A, 3 month U.S. LIBOR + 1.330% 1.6101% 5/15/32 (a)(b)(d) | 7,149,000 | 7,142,015 | |
Series 2020-78A Class A, 3 month U.S. LIBOR + 1.180% 1.3978% 4/17/33 (a)(b)(d) | 5,400,000 | 5,366,617 | |
Eaton Vance CLO, Ltd.: | |||
Series 2020-1A Class A, 1.65% 10/15/30 (a) | 6,500,000 | 6,520,222 | |
Series 2020-2A Class A1, 3 month U.S. LIBOR + 1.370% 1.5603% 10/15/32 (a)(b)(d) | 5,900,000 | 5,892,578 | |
Exeter Automobile Receivables Trust Series 2019-4A Class A, 2.18% 1/17/23 (a) | 1,054,055 | 1,056,578 | |
Flatiron CLO Ltd. Series 2019-1A Class A, 3 month U.S. LIBOR + 1.320% 1.541% 11/16/32 (a)(b)(d) | 7,901,000 | 7,894,900 | |
Flatiron CLO Ltd. / Flatiron CLO LLC Series 2020-1A Class A, 3 month U.S. LIBOR + 1.300% 1.5483% 11/20/33 (a)(b)(d) | 5,700,000 | 5,699,966 | |
Hertz Fleet Lease Funding LP Series 2017-1 Class A1, 1 month U.S. LIBOR + 0.650% 0.7778% 4/10/31 (a)(b)(d) | 386,702 | 386,670 | |
Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (a) | 3,625,986 | 3,457,602 | |
Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (a) | 4,390,855 | 4,182,841 | |
Lanark Master Issuer PLC Series 2020-1A Class 1A, 2.277% 12/22/69 (a)(b) | 6,383,000 | 6,535,426 | |
Madison Park Funding Ltd.: | |||
Series 2012-10A Class AR2, 3 month U.S. LIBOR + 1.220% 1.4384% 1/20/29 (a)(b)(d) | 3,469,000 | 3,465,691 | |
Series 2019-37A Class A1, 3 month U.S. LIBOR + 1.300% 1.5369% 7/15/32 (a)(b)(d) | 9,143,000 | 9,137,222 | |
Madison Park Funding XLV Ltd./Madison Park Funding XLV LLC Series 2020-45A Class A, 3 month U.S. LIBOR + 1.650% 1.9184% 7/15/31 (a)(b)(d) | 7,030,000 | 7,042,085 | |
Madison Park Funding XXXIII Ltd. Series 2019-33A Class A, 3 month U.S. LIBOR + 1.330% 1.5669% 10/15/32 (a)(b)(d) | 3,846,000 | 3,843,792 | |
Magnetite CLO Ltd.: | |||
Series 2019-21A Class A, 3 month U.S. LIBOR + 1.280% 1.4984% 4/20/30 (a)(b)(d) | 7,784,000 | 7,776,675 | |
Series 2019-24A Class A, 3 month U.S. LIBOR + 1.330% 1.5669% 1/15/33 (a)(b)(d) | 17,576,000 | 17,565,911 | |
Marlette Funding Trust: | |||
Series 2019-4A Class A, 2.39% 12/17/29 (a) | 2,332,038 | 2,351,276 | |
Series 2020-1A Class A, 2.24% 3/15/30 (a) | 1,395,931 | 1,405,181 | |
Metlife Securitization Trust Series 2019-1A Class A1A, 3.75% 4/25/58 (a) | 3,001,650 | 3,214,899 | |
Milos CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 1.070% 1.2884% 10/20/30 (a)(b)(d) | 8,353,000 | 8,286,042 | |
Mortgage Repurchase Agreement Financing Trust Series 2020-5 Class A1, 1 month U.S. LIBOR + 1.000% 1% 8/10/23 (a)(b)(d) | 12,613,000 | 12,613,164 | |
Nationstar HECM Loan Trust: | |||
Series 2019-1A Class A, 2.6513% 6/25/29 (a) | 1,702,949 | 1,705,542 | |
Series 2020-1A Class A1, 1.2686% 9/25/30 (a) | 8,312,855 | 8,302,048 | |
New Century Home Equity Loan Trust Series 2005-4 Class M2, 1 month U.S. LIBOR + 0.510% 0.6601% 9/25/35 (b)(d) | 27,910 | 27,874 | |
Niagara Park CLO, Ltd. Series 2019-1A Class A, 3 month U.S. LIBOR + 1.300% 1.5178% 7/17/32 (a)(b)(d) | 8,530,000 | 8,520,924 | |
Planet Fitness Master Issuer LLC Series 2019-1A Class A2, 3.858% 12/5/49 (a) | 6,107,845 | 5,770,020 | |
Prosper Marketplace Issuance Trust: | |||
Series 2019-3A Class A, 3.19% 7/15/25 (a) | 1,408,025 | 1,414,105 | |
Series 2019-4A Class A, 2.48% 2/17/26 (a) | 1,086,973 | 1,091,160 | |
RMF Buyout Issuance Trust Series 2020-1 Class A, 2.1582% 2/25/30 (a) | 177,940 | 178,540 | |
Sapphire Aviation Finance Series 2020-1A: | |||
Class A, 3.228% 3/15/40 (a) | 7,065,069 | 6,555,377 | |
Class B, 4.335% 3/15/40 (a) | 665,815 | 454,605 | |
SBA Tower Trust: | |||
Series 2019, 2.836% 1/15/50 (a) | 8,004,000 | 8,500,168 | |
1.884% 7/15/50 (a) | 2,753,000 | 2,834,414 | |
2.328% 7/15/52 (a) | 2,105,000 | 2,126,320 | |
SoFi Consumer Loan Program Trust Series 2019-4 Class A, 2.45% 8/25/28 (a) | 4,360,984 | 4,408,510 | |
Stratus CLO Ltd. Series 2020-1A Class A, 3 month U.S. LIBOR + 1.980% 2.1984% 5/1/28 (a)(b)(d) | 10,311,822 | 10,347,635 | |
Symphony CLO XXIII Ltd. Series 2020-23A Class A, 3 month U.S. LIBOR + 0.000% 1.32% 1/15/34 (a)(b)(d) | 3,410,000 | 3,410,000 | |
Taconic Park CLO, Ltd. Series 2020-1A Class A1R, 3 month U.S. LIBOR + 1.000% 1.2184% 1/20/29 (a)(b)(d) | 5,538,000 | 5,500,541 | |
Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 1.0101% 9/25/34 (b)(d) | 3,983 | 3,661 | |
Thunderbolt Aircraft Lease Ltd. Series 2018-A Class A, 4.147% 9/15/38 (a)(b) | 9,813,778 | 9,374,243 | |
Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (a) | 10,023,198 | 9,516,040 | |
Towd Point Mortgage Trust: | |||
Series 2018-3 Class A1, 3.75% 5/25/58 (a) | 5,712,353 | 6,098,582 | |
Series 2018-6 Class A1A, 3.75% 3/25/58 (a) | 4,596,677 | 4,838,154 | |
Series 2019-1 Class A1, 3.7236% 3/25/58 (a)(b) | 2,325,804 | 2,495,408 | |
Series 2019-MH1 Class A1, 3% 11/25/58 (a) | 1,639,170 | 1,679,708 | |
Series 2020-4 Class A1, 1.75% 10/25/60 (a) | 3,906,125 | 3,989,520 | |
Upgrade Receivables Trust Series 2019-2A Class A, 2.77% 10/15/25 (a) | 1,210,921 | 1,213,385 | |
Verde CLO Ltd. Series 2019-1A Class A, 3 month U.S. LIBOR + 1.350% 1.5869% 4/15/32 (a)(b)(d) | 8,662,000 | 8,653,710 | |
Voya Series 2020-1A Class A, 3 month U.S. LIBOR + 1.700% 2.0027% 7/16/31 (a)(b)(d) | 8,112,000 | 8,139,702 | |
Voya CLO Ltd.: | |||
Series 2017-1A Class A1, 3 month U.S. LIBOR + 1.250% 1.4678% 4/17/30 (a)(b)(d) | 2,826,000 | 2,818,260 | |
Series 2019-2A Class A, 3 month U.S. LIBOR + 1.270% 1.4884% 7/20/32 (a)(b)(d) | 8,868,000 | 8,863,646 | |
Voya CLO Ltd. / Voya CLO LLC Series 2020-3A Class A1, 3 month U.S. LIBOR + 1.300% 1.4965% 10/20/31 (a)(b)(d) | 7,500,000 | 7,490,580 | |
Voya CLO Ltd./Voya CLO LLC Series 2020-2A Class A1, 3 month U.S. LIBOR + 1.600% 1.7848% 7/19/31 (a)(b)(d) | 6,400,000 | 6,408,122 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $499,912,618) | 497,193,153 | ||
Collateralized Mortgage Obligations - 0.4% | |||
Private Sponsor - 0.2% | |||
Banc of America Funding Corp. Series 2015-R3 Class 10A1, 1 month U.S. LIBOR + 0.140% 0.2881% 6/27/36 (a)(b)(d) | 46,757 | 46,689 | |
BCAP LLC Trust sequential payer: | |||
Series 2010-RR2 Class 5A2, 5% 12/26/36 (a) | 308,706 | 307,964 | |
Series 2012-RR5 Class 8A5, 0.5514% 7/26/36 (a)(b) | 50,084 | 49,367 | |
CSMC floater Series 2015-1R Class 6A1, 1 month U.S. LIBOR + 0.280% 0.4143% 5/27/37 (a)(b)(d) | 497,478 | 470,268 | |
CSMC Trust sequential payer Series 2020-RPL4 Class A1, 2% 1/25/60 (a) | 3,350,682 | 3,451,622 | |
Ginnie Mae guaranteed REMIC pass-thru certificates floater Series 2019-23 Class NF, 1 month U.S. LIBOR + 0.450% 0.5965% 2/20/49 (b)(d) | 2,525,793 | 2,551,832 | |
Gosforth Funding PLC floater Series 2018-1A Class A1, 3 month U.S. LIBOR + 0.450% 0.6565% 8/25/60 (a)(b)(d) | 3,397,816 | 3,397,905 | |
Lanark Master Issuer PLC: | |||
floater Series 2019-1A Class 1A1, 3 month U.S. LIBOR + 0.770% 1.0261% 12/22/69 (a)(b)(d) | 3,223,033 | 3,232,918 | |
Series 2019-2A Class 1A, 2.71% 12/22/69 (a)(b) | 5,800,000 | 5,929,299 | |
Mortgage Repurchase Agreement Financing Trust: | |||
floater Series 2020-3 Class A1, 1 month U.S. LIBOR + 1.250% 1.3778% 1/23/23 (a)(b)(d) | 3,508,000 | 3,509,340 | |
Series 2020-4 Class A1, 1 month U.S. LIBOR + 1.350% 1.4778% 4/23/23 (a)(b)(d) | 16,662,000 | 16,664,389 | |
Nationstar HECM Loan Trust sequential payer Series 2019-2A Class A, 2.2722% 11/26/29 (a) | 2,430,040 | 2,436,316 | |
New Residential Mortgage Loan Trust Series 2019-5A Class A1B, 3.5% 8/25/59 (a) | 2,145,773 | 2,236,186 | |
New Residential Mtg Ln Trust 2020 3.5% 10/25/59 (a) | 3,551,120 | 3,760,059 | |
Provident Funding Mortgage Trust sequential payer Series 2019-1 Class A3, 3% 12/25/49 (a) | 1,491,930 | 1,511,306 | |
RMF Buyout Issuance Trust: | |||
sequential payer Series 2020-2 Class A, 1.7063% 6/25/30 (a) | 10,111,598 | 10,129,048 | |
Series 2020-HB1 Class A1, 1.7188% 10/25/50 (a) | 1,600,000 | 1,599,846 | |
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 1.3048% 7/20/34 (b)(d) | 1,344 | 1,293 | |
Silverstone Master Issuer PLC floater Series 2019-1A Class 1A, 3 month U.S. LIBOR + 0.570% 0.7786% 1/21/70 (a)(b)(d) | 3,484,080 | 3,491,445 | |
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1 month U.S. LIBOR + 0.640% 0.7901% 9/25/43 (b)(d) | 2,051,708 | 1,994,292 | |
TOTAL PRIVATE SPONSOR | 66,771,384 | ||
U.S. Government Agency - 0.2% | |||
Fannie Mae: | |||
planned amortization class Series 2012-149: | |||
Class DA, 1.75% 1/25/43 | 1,032,222 | 1,064,934 | |
Class GA, 1.75% 6/25/42 | 1,109,805 | 1,143,064 | |
Series 2005-79 Class ZC, 5.9% 9/25/35 | 265,429 | 304,447 | |
Series 2007-75 Class JI, 6.540% - 1 month U.S. LIBOR 6.3949% 8/25/37 (b)(i)(j) | 948,184 | 218,208 | |
Series 2010-135 Class ZA, 4.5% 12/25/40 | 797,877 | 881,725 | |
Series 2010-150 Class ZC, 4.75% 1/25/41 | 886,224 | 997,688 | |
Series 2010-95 Class ZC, 5% 9/25/40 | 1,881,024 | 2,129,330 | |
Series 2011-4 Class PZ, 5% 2/25/41 | 344,466 | 401,527 | |
Series 2012-100 Class WI, 3% 9/25/27 (i) | 524,247 | 34,775 | |
Series 2012-14 Class JS, 6.650% - 1 month U.S. LIBOR 6.5008% 12/25/30 (b)(i)(j) | 158,820 | 10,262 | |
Series 2012-9 Class SH, 6.550% - 1 month U.S. LIBOR 6.3999% 6/25/41 (b)(i)(j) | 187,824 | 15,564 | |
Series 2013-133 Class IB, 3% 4/25/32 (i) | 331,548 | 11,311 | |
Series 2013-134 Class SA, 6.050% - 1 month U.S. LIBOR 5.8999% 1/25/44 (b)(i)(j) | 198,978 | 32,697 | |
Series 2013-44 Class DJ, 1.85% 5/25/33 | 10,652,920 | 10,897,610 | |
Series 2013-51 Class GI, 3% 10/25/32 (i) | 721,621 | 52,413 | |
Series 2015-42 Class IL, 6% 6/25/45 (i) | 953,234 | 185,389 | |
Series 2015-70 Class JC, 3% 10/25/45 | 781,976 | 830,404 | |
Series 2017-30 Class AI, 5.5% 5/25/47 (i) | 525,585 | 105,757 | |
Freddie Mac: | |||
planned amortization class Series 4135 Class AB, 1.75% 6/15/42 | 835,138 | 860,253 | |
sequential payer Series 3871 Class KB, 5.5% 6/15/41 | 652,853 | 776,802 | |
Series 2017-4683 Class LM, 3% 5/15/47 | 1,091,492 | 1,159,614 | |
Series 2933 Class ZM, 5.75% 2/15/35 | 516,360 | 611,340 | |
Series 2996 Class ZD, 5.5% 6/15/35 | 365,263 | 431,619 | |
Series 3237 Class C, 5.5% 11/15/36 | 493,985 | 571,976 | |
Series 3955 Class YI, 3% 11/15/21 (i) | 27,548 | 266 | |
Series 3980 Class EP, 5% 1/15/42 | 2,913,810 | 3,357,524 | |
Series 4055 Class BI, 3.5% 5/15/31 (i) | 301,614 | 11,354 | |
Series 4149 Class IO, 3% 1/15/33 (i) | 362,669 | 36,143 | |
Series 4314 Class AI, 5% 3/15/34 (i) | 101,004 | 6,996 | |
Series 4427 Class LI, 3.5% 2/15/34 (i) | 610,263 | 34,214 | |
Series 4471 Class PA 4% 12/15/40 | 493,079 | 528,944 | |
Freddie Mac Multi-family Structured pass-thru certificates Series 4386 Class AZ, 4.5% 11/15/40 | 813,012 | 896,110 | |
Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-3 Class M55D, 4% 8/25/57 | 2,827,318 | 3,083,835 | |
Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
floater: | |||
Series 2010-H27 Series FA, 1 month U.S. LIBOR + 0.380% 0.52% 12/20/60 (b)(d)(k) | 951,896 | 951,120 | |
Series 2011-H20 Class FA, 1 month U.S. LIBOR + 0.550% 0.69% 9/20/61 (b)(d)(k) | 4,248,499 | 4,262,679 | |
Series 2012-H18 Class NA, 1 month U.S. LIBOR + 0.520% 0.66% 8/20/62 (b)(d)(k) | 798,673 | 800,654 | |
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 0.79% 5/20/61 (b)(d)(k) | 10,469 | 10,527 | |
Series 2013-H19 Class FC, 1 month U.S. LIBOR + 0.600% 0.74% 8/20/63 (b)(d)(k) | 2,672,643 | 2,680,000 | |
Series 2019-128 Class FH, 1 month U.S. LIBOR + 0.500% 0.6465% 10/20/49 (b)(d) | 531,770 | 537,020 | |
Series 2019-153 Class FB, 1 month U.S. LIBOR + 0.450% 0.5965% 12/20/49 (b)(d) | 6,126,087 | 6,168,459 | |
Series 2019-98 Class FN, 1 month U.S. LIBOR + 0.500% 0.6465% 8/20/49 (b)(d) | 698,756 | 705,926 | |
Series 2020-32 Class GF, 1 month U.S. LIBOR + 0.400% 0.5465% 3/20/50 (b)(d) | 5,881,473 | 5,921,593 | |
planned amortization class: | |||
Series 2010-158 Class MS, 10.000% - 1 month U.S. LIBOR 9.707% 12/20/40 (b)(j) | 920,091 | 1,104,113 | |
Series 2016-69 Class WA, 3% 2/20/46 | 568,433 | 588,656 | |
Series 2017-134 Class BA, 2.5% 11/20/46 | 1,244,730 | 1,306,157 | |
sequential payer: | |||
Series 2010-160 Class DY, 4% 12/20/40 | 1,891,406 | 2,081,303 | |
Series 2010-170 Class B, 4% 12/20/40 | 421,956 | 464,401 | |
Series 2017-139 Class BA, 3% 9/20/47 | 6,024,913 | 6,432,098 | |
Series 2010-116 Class QB, 4% 9/16/40 | 3,098,909 | 3,366,326 | |
Series 2010-14 Class SN, 5.950% - 1 month U.S. LIBOR 5.8091% 2/16/40 (b)(i)(j) | 488,670 | 90,851 | |
Series 2011-94 Class SA, 6.100% - 1 month U.S. LIBOR 5.9535% 7/20/41 (b)(i)(j) | 139,491 | 26,362 | |
Series 2013-149 Class MA, 2.5% 5/20/40 | 2,158,016 | 2,246,468 | |
Series 2015-H13 Class HA, 2.5% 8/20/64 (k) | 119,076 | 119,981 | |
Series 2015-H17 Class HA, 2.5% 5/20/65 (k) | 64,832 | 64,848 | |
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 0.47% 8/20/66 (b)(d)(k) | 2,972,774 | 2,943,812 | |
TOTAL U.S. GOVERNMENT AGENCY | 74,557,449 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
(Cost $139,124,959) | 141,328,833 | ||
Commercial Mortgage Securities - 1.4% | |||
BAMLL Commercial Mortgage Securities Trust: | |||
floater sequential payer Series 2020-JGDN Class A, 1 month U.S. LIBOR + 2.750% 3% 11/15/30 (a)(b)(d) | 5,954,000 | 5,954,109 | |
sequential payer Series 2019-BPR: | |||
Class AMP, 3.287% 11/5/32 (a) | 6,500,000 | 6,546,201 | |
Class ANM, 3.112% 11/5/32 (a) | 4,963,000 | 4,951,857 | |
Series 2019-BPR: | |||
Class BNM, 3.465% 11/5/32 (a) | 1,113,000 | 987,945 | |
Class CNM, 3.8425% 11/5/32 (a)(b) | 461,000 | 389,682 | |
BANK sequential payer Series 2019-BN21: | |||
Class A4, 2.6% 10/17/52 | 4,400,000 | 4,712,266 | |
Class A5, 2.851% 10/17/52 | 838,000 | 923,857 | |
Bayview Commercial Asset Trust floater: | |||
Series 2005-3A Class A2, 1 month U.S. LIBOR + 0.400% 0.5493% 11/25/35 (a)(b)(d) | 21,366 | 20,211 | |
Series 2005-4A: | |||
Class A2, 1 month U.S. LIBOR + 0.390% 0.5393% 1/25/36 (a)(b)(d) | 54,134 | 50,995 | |
Class M1, 1 month U.S. LIBOR + 0.450% 0.5993% 1/25/36 (a)(b)(d) | 17,473 | 16,534 | |
Series 2006-4A Class A2, 1 month U.S. LIBOR + 0.270% 0.4193% 12/25/36 (a)(b)(d) | 131,425 | 120,703 | |
Series 2007-1 Class A2, 1 month U.S. LIBOR + 0.270% 0.4193% 3/25/37 (a)(b)(d) | 33,228 | 30,753 | |
Series 2007-2A: | |||
Class A1, 1 month U.S. LIBOR + 0.270% 0.4193% 7/25/37 (a)(b)(d) | 96,657 | 89,555 | |
Class A2, 1 month U.S. LIBOR + 0.320% 0.4693% 7/25/37 (a)(b)(d) | 90,497 | 81,525 | |
Class M1, 1 month U.S. LIBOR + 0.370% 0.5193% 7/25/37 (a)(b)(d) | 30,803 | 23,130 | |
Series 2007-3: | |||
Class A2, 1 month U.S. LIBOR + 0.290% 0.4401% 7/25/37 (a)(b)(d) | 33,937 | 30,083 | |
Class M1, 1 month U.S. LIBOR + 0.310% 0.4601% 7/25/37 (a)(b)(d) | 17,985 | 14,599 | |
Class M2, 1 month U.S. LIBOR + 0.340% 0.4901% 7/25/37 (a)(b)(d) | 19,236 | 15,317 | |
Class M3, 1 month U.S. LIBOR + 0.370% 0.5201% 7/25/37 (a)(b)(d) | 30,809 | 26,404 | |
Class M4, 1 month U.S. LIBOR + 0.500% 0.6501% 7/25/37 (a)(b)(d) | 48,638 | 41,231 | |
Class M5, 1 month U.S. LIBOR + 0.600% 0.7501% 7/25/37 (a)(b)(d) | 20,383 | 16,040 | |
BBCMS Mortgage Trust sequential payer Series 2019-C4 Class A4, 2.661% 8/15/52 | 4,000,000 | 4,336,118 | |
Benchmark Commercial Mortgage Trust Series 2018-B3 Class A3, 3.746% 4/10/51 | 1,700,000 | 1,862,667 | |
Benchmark Mortgage Trust: | |||
sequential payer: | |||
Series 2018-B4 Class A5, 4.121% 7/15/51 | 949,000 | 1,125,098 | |
Series 2019-B10 Class A4, 3.717% 3/15/62 | 1,673,000 | 1,953,098 | |
Series 2019-B11 Class A5, 3.5421% 5/15/52 | 5,500,000 | 6,355,397 | |
Series 2019-B13 Class A4, 2.952% 8/15/57 | 9,824,000 | 10,920,276 | |
Series 2019-B14 Class A5, 3.0486% 12/15/62 | 1,305,000 | 1,461,800 | |
Series 2020-B17 Class A5, 2.289% 3/15/53 | 1,800,000 | 1,906,548 | |
Series 2020-B19 Class A3, 1.787% 9/15/53 | 5,800,000 | 5,958,970 | |
Series 2019-B12 Class XA, 1.2035% 8/15/52 (b)(i) | 40,059,553 | 2,598,539 | |
Series 2019-B14 Class XA, 0.914% 12/15/62 (b)(i) | 22,918,014 | 1,162,005 | |
BFLD Trust floater sequential payer Series 2020-OBRK Class A, 1 month U.S. LIBOR + 2.050% 2.2% 11/15/22 (a)(b)(d) | 7,409,000 | 7,423,122 | |
BX Commercial Mortgage Trust: | |||
floater Series 2020-BXLP: | |||
Class B, 1 month U.S. LIBOR + 1.000% 1.1409% 12/15/36 (a)(b)(d) | 4,446,930 | 4,434,457 | |
Class C, 1 month U.S. LIBOR + 1.120% 1.2609% 12/15/36 (a)(b)(d) | 3,685,627 | 3,662,729 | |
Class D, 1 month U.S. LIBOR + 1.250% 1.3909% 12/15/36 (a)(b)(d) | 5,094,337 | 5,027,462 | |
floater sequential payer: | |||
Series 2019-CALM Class A, 1 month U.S. LIBOR + 0.870% 1.0169% 11/15/32 (a)(b)(d) | 1,900,000 | 1,886,587 | |
Series 2020-BXLP Class A, 1 month U.S. LIBOR + 0.800% 0.9409% 12/15/36 (a)(b)(d) | 8,803,942 | 8,793,366 | |
Series 2020-FOX Class A, 1 month U.S. LIBOR + 1.000% 1.1409% 11/15/32 (a)(b)(d) | 5,153,000 | 5,161,247 | |
BX Trust: | |||
floater: | |||
Series 2018-EXCL: | |||
Class A, 1 month U.S. LIBOR + 1.088% 1.2285% 9/15/37 (a)(b)(d) | 3,889,969 | 3,597,980 | |
Class B, 1 month U.S. LIBOR + 1.320% 1.4659% 9/15/37 (a)(b)(d) | 4,446,198 | 3,961,786 | |
Class D, 1 month U.S. LIBOR + 2.620% 2.7659% 9/15/37 (a)(b)(d) | 2,530,703 | 1,916,430 | |
Series 2018-IND: | |||
Class B, 1 month U.S. LIBOR + 0.900% 1.0409% 11/15/35 (a)(b)(d) | 910,000 | 907,719 | |
Class F, 1 month U.S. LIBOR + 1.800% 1.9409% 11/15/35 (a)(b)(d) | 2,713,900 | 2,688,409 | |
Series 2019-IMC: | |||
Class B, 1 month U.S. LIBOR + 1.300% 1.4409% 4/15/34 (a)(b)(d) | 4,464,000 | 4,240,290 | |
Class C, 1 month U.S. LIBOR + 1.600% 1.7409% 4/15/34 (a)(b)(d) | 2,952,000 | 2,767,083 | |
Class D, 1 month U.S. LIBOR + 1.900% 2.0409% 4/15/34 (a)(b)(d) | 3,099,000 | 2,885,471 | |
Series 2019-XL: | |||
Class B, 1 month U.S. LIBOR + 1.080% 1.2209% 10/15/36 (a)(b)(d) | 3,807,634 | 3,800,477 | |
Class C, 1 month U.S. LIBOR + 1.250% 1.3909% 10/15/36 (a)(b)(d) | 4,787,309 | 4,775,319 | |
Class D, 1 month U.S. LIBOR + 1.450% 1.5909% 10/15/36 (a)(b)(d) | 6,779,885 | 6,750,150 | |
Class E, 1 month U.S. LIBOR + 1.800% 1.9409% 10/15/36 (a)(b)(d) | 9,527,153 | 9,473,688 | |
Series 2020-BXLP Class E, 1 month U.S. LIBOR + 1.600% 1.7409% 12/15/36 (a)(b)(d) | 4,672,723 | 4,593,715 | |
floater, sequential payer: | |||
Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 1.1409% 4/15/34 (a)(b)(d) | 8,070,000 | 7,817,622 | |
Series 2019-XL Class A, 1 month U.S. LIBOR + 0.920% 1.0609% 10/15/36 (a)(b)(d) | 13,480,029 | 13,480,026 | |
CD Commercial Mortgage Trust Series 2017-CD6 Class A3, 3.104% 11/13/50 | 2,500,000 | 2,650,204 | |
CF Hippolyta Issuer LLC sequential payer Series 2020-1: | |||
Class A1, 1.69% 7/15/60 (a) | 16,206,665 | 16,406,726 | |
Class A2, 1.99% 7/15/60 (a) | 7,194,714 | 7,291,178 | |
CGDB Commercial Mortgage Trust floater Series 2019-MOB: | |||
Class A, 1 month U.S. LIBOR + 0.950% 1.0909% 11/15/36 (a)(b)(d) | 3,687,000 | 3,661,598 | |
Class B, 1 month U.S. LIBOR + 1.250% 1.3909% 11/15/36 (a)(b)(d) | 1,400,000 | 1,379,832 | |
CGMS Commercial Mortgage Trust Series 2017-MDRA Class A, 3.656% 7/10/30 (a) | 4,982,000 | 5,095,208 | |
CHC Commercial Mortgage Trust floater Series 2019-CHC: | |||
Class A, 1 month U.S. LIBOR + 1.120% 1.2609% 6/15/34 (a)(b)(d) | 13,996,602 | 13,390,736 | |
Class B, 1 month U.S. LIBOR + 1.500% 1.6409% 6/15/34 (a)(b)(d) | 2,109,895 | 2,000,927 | |
Class C, 1 month U.S. LIBOR + 1.750% 1.8909% 6/15/34 (a)(b)(d) | 2,383,714 | 2,240,624 | |
Citigroup Commercial Mortgage Trust: | |||
sequential payer Series 2016-GC37 Class A3, 3.05% 4/10/49 | 3,898,301 | 4,106,472 | |
Series 2015-GC29 Class XA, 1.1802% 4/10/48 (b)(i) | 30,614,132 | 1,190,822 | |
Series 2015-GC33 Class XA, 1.0396% 9/10/58 (b)(i) | 18,725,314 | 658,551 | |
Series 2016-C2 Class A3, 2.575% 8/10/49 | 2,800,000 | 2,981,415 | |
Series 2016-GC36 Class A4, 3.349% 2/10/49 | 2,500,000 | 2,715,135 | |
Series 2016-P6 Class XA, 0.9188% 12/10/49 (b)(i) | 17,251,954 | 464,179 | |
COMM Mortgage Trust: | |||
sequential payer: | |||
Series 2013-CR7 Class AM, 3.314% 3/10/46 (a) | 1,700,000 | 1,782,339 | |
Series 2014-CR18 Class A5, 3.828% 7/15/47 | 1,610,000 | 1,766,335 | |
Series 2014-CR17 Class XA, 1.13% 5/10/47 (b)(i) | 18,627,867 | 486,957 | |
Series 2014-CR20 Class XA, 1.1727% 11/10/47 (b)(i) | 17,892,455 | 589,193 | |
Series 2014-LC17 Class XA, 0.8755% 10/10/47 (b)(i) | 40,139,808 | 891,276 | |
Series 2014-UBS6: | |||
Class A5, 3.644% 12/10/47 | 3,900,000 | 4,269,635 | |
Class XA, 1.0361% 12/10/47 (b)(i) | 10,885,526 | 303,353 | |
Series 2015-CR23 Class A3, 3.23% 5/10/48 | 2,500,000 | 2,724,030 | |
Series 2015-CR24 Class A4, 3.432% 8/10/48 | 1,449,364 | 1,589,988 | |
Series 2015-PC1 Class A4, 3.62% 7/10/50 | 1,900,000 | 2,036,753 | |
Core Industrial Trust floater Series 2019-CORE Class A, 1 month U.S. LIBOR + 0.880% 1.0209% 12/15/31 (a)(b)(d) | 2,583,000 | 2,570,976 | |
Credit Suisse Mortgage Trust: | |||
floater Series 2019-ICE4 Class A, 1 month U.S. LIBOR + 0.980% 1.1209% 5/15/36 (a)(b)(d) | 5,263,000 | 5,264,640 | |
sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (a) | 2,253,000 | 2,324,008 | |
Series 2018-SITE: | |||
Class A, 4.284% 4/15/36 (a) | 5,237,000 | 5,196,543 | |
Class B, 4.5349% 4/15/36 (a) | 1,543,000 | 1,497,410 | |
Class C, 4.9414% 4/15/36 (a)(b) | 1,033,000 | 965,399 | |
Class D, 4.9414% 4/15/36 (a)(b) | 2,066,000 | 1,733,181 | |
CSAIL Commercial Mortgage Trust Series 2016-C7 Class A4, 3.21% 11/15/49 | 3,208,409 | 3,477,499 | |
DBUBS Mortgage Trust Series 2011-LC3A Class C, 5.5131% 8/10/44 (a)(b) | 3,400,000 | 3,402,302 | |
Fannie Mae Series 2017-M1 Class A2, 2.4974% 10/25/26 (b) | 2,300,000 | 2,507,982 | |
Freddie Mac: | |||
sequential payer: | |||
Series 2017-K069 Class AM, 3.248% 9/25/27 | 1,750,000 | 1,995,243 | |
Series 2018-K083 Class AM, 4.03% 10/25/28 | 1,150,000 | 1,381,966 | |
Series 2020-K118 Class A2, 1.493% 9/25/30 | 20,339,000 | 20,969,263 | |
Series 2020-K120 Class A2, 1.5% 10/25/30 | 5,700,000 | 5,877,880 | |
Series 2020-K739 Class A2, 1.336% 9/25/27 | 9,936,000 | 10,234,927 | |
Series 2020-K119 Class A2, 1.566% 9/25/30 | 23,700,000 | 24,635,190 | |
Series K076 Class AM, 3.9% 4/25/28 | 2,125,000 | 2,515,008 | |
Series K077 Class AM, 3.85% 5/25/28 | 660,000 | 787,146 | |
GB Trust floater Series 2020-FLIX: | |||
Class A, 1 month U.S. LIBOR + 1.120% 1.2609% 8/15/37 (a)(b)(d) | 4,400,000 | 4,406,088 | |
Class B, 1 month U.S. LIBOR + 1.350% 1.4909% 8/15/37 (a)(b)(d) | 930,000 | 932,989 | |
Class C, 1 month U.S. LIBOR + 1.600% 1.7409% 8/15/37 (a)(b)(d) | 500,000 | 502,284 | |
GS Mortgage Securities Trust: | |||
floater: | |||
Series 2018-3PCK Class A, 1 month U.S. LIBOR + 1.450% 1.5909% 9/15/31 (a)(b)(d) | 17,575,000 | 16,061,966 | |
Series 2018-HART Class A, 1 month U.S. LIBOR + 1.090% 1.2309% 10/15/31 (a)(b)(d) | 4,013,000 | 3,964,034 | |
Series 2011-GC5 Class A/S, 5.209% 8/10/44 (a) | 6,867,000 | 6,980,163 | |
Series 2015-GC30 Class A3, 3.119% 5/10/50 | 1,972,846 | 2,112,611 | |
Series 2015-GC34 Class XA, 1.397% 10/10/48 (b)(i) | 5,670,466 | 273,677 | |
Series 2019-GC40 Class A3, 2.904% 7/10/52 | 2,000,000 | 2,184,066 | |
JPMBB Commercial Mortgage Securities Trust: | |||
Series 2013-C14 Class A/S, 4.4093% 8/15/46 | 3,088,000 | 3,311,779 | |
Series 2014-C19 Class XA, 0.8981% 4/15/47 (b)(i) | 3,426,391 | 59,185 | |
Series 2015-C30 Class A4, 3.5508% 7/15/48 | 1,900,000 | 2,075,832 | |
JPMorgan Chase Commercial Mortgage Securities Corp.: | |||
sequential payer Series 2012-CBX Class A4, 3.4834% 6/15/45 | 1,645,152 | 1,674,490 | |
Series 2012-CBX Class A/S, 4.2707% 6/15/45 | 1,177,000 | 1,224,056 | |
Series 2012-LC9 Class A/S, 3.3533% 12/15/47 (a) | 750,000 | 767,084 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
floater Series 2019-BKWD Class A, 1 month U.S. LIBOR + 1.000% 1.1409% 9/15/29 (a)(b)(d) | 6,300,000 | 6,189,421 | |
Series 2018-WPT: | |||
Class AFX, 4.2475% 7/5/33 (a) | 2,700,000 | 2,845,910 | |
Class CFX, 4.9498% 7/5/33 (a) | 919,000 | 948,949 | |
Class DFX, 5.3503% 7/5/33 (a) | 1,414,000 | 1,411,548 | |
Class EFX, 5.5422% 7/5/33 (a) | 1,934,000 | 1,882,741 | |
Class XAFX, 1.2948% 7/5/33 (a)(b)(i) | 10,000,000 | 260,531 | |
Series 2019-COR4 Class A3, 3.7629% 3/10/52 | 5,400,000 | 6,193,676 | |
Ladder Capital Commercial Mortgage Securities Trust sequential payer Series 2014-909 Class A, 3.388% 5/15/31 (a) | 2,400,000 | 2,404,275 | |
Merit floater Series 2020-HILL Class A, 1 month U.S. LIBOR + 1.150% 1.2909% 8/15/37 (a)(b)(d) | 2,102,000 | 2,104,635 | |
Morgan Stanley BAML Trust: | |||
sequential payer: | |||
Series 2013-C10 Class A4, 4.2178% 7/15/46 (b) | 1,200,000 | 1,282,676 | |
Series 2014-C16 Class A3, 3.592% 6/15/47 | 1,637,170 | 1,648,385 | |
Series 2015-C21 Class A3, 3.077% 3/15/48 | 3,732,073 | 3,951,961 | |
Series 2016-C28 Class A3, 3.272% 1/15/49 | 4,159,116 | 4,509,686 | |
Series 2016-C29 Class ASB, 3.14% 5/15/49 | 500,000 | 530,978 | |
Series 2015-C25: | |||
Class A4, 3.372% 10/15/48 | 2,800,000 | 3,067,518 | |
Class XA, 1.2041% 10/15/48 (b)(i) | 10,396,920 | 408,833 | |
Series 2015-C26 Class A4, 3.252% 10/15/48 | 3,200,000 | 3,491,443 | |
Series 2016-C32 Class A3, 3.459% 12/15/49 | 5,100,000 | 5,715,697 | |
Morgan Stanley Capital Barclays Bank Trust sequential payer Series 2016-MART Class A, 2.2004% 9/13/31 (a) | 1,893,000 | 1,888,602 | |
Morgan Stanley Capital I Trust: | |||
floater Series 2018-BOP Class A, 1 month U.S. LIBOR + 0.850% 0.9909% 8/15/33 (a)(b)(d) | 6,888,548 | 6,685,126 | |
floater sequential payer Series 2019-NUGS Class A, 1 month U.S. LIBOR + 0.950% 2.45% 12/15/36 (a)(b)(d) | 5,200,000 | 5,302,706 | |
sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (a) | 13,482,000 | 13,928,969 | |
Series 2011-C3 Class AJ, 5.4191% 7/15/49 (a)(b) | 4,200,000 | 4,277,170 | |
Series 2015-UBS8 Class A3, 3.54% 12/15/48 | 3,000,000 | 3,264,374 | |
Series 2016-UB12 Class A3, 3.337% 12/15/49 | 2,000,000 | 2,132,928 | |
Series 2018-H4 Class A4, 4.31% 12/15/51 | 3,237,000 | 3,878,818 | |
Series 2019-MEAD: | |||
Class B, 3.283% 11/10/36 (a)(b) | 1,558,000 | 1,507,934 | |
Class C, 3.283% 11/10/36 (a)(b) | 1,495,000 | 1,352,956 | |
RETL floater Series 2019-RVP: | |||
Class B, 1 month U.S. LIBOR + 1.550% 1.6909% 3/15/36 (a)(b)(d) | 3,754,095 | 3,752,992 | |
Class C, 1 month U.S. LIBOR + 2.100% 2.2409% 3/15/36 (a)(b)(d) | 9,396,000 | 8,492,120 | |
UBS Commercial Mortgage Trust: | |||
Series 2012-C1 Class A/S, 4.171% 5/10/45 | 6,570,000 | 6,785,794 | |
Series 2017-C1 Class A3, 3.283% 11/15/50 | 5,500,000 | 6,133,637 | |
Series 2017-C7 Class XA, 1.1877% 12/15/50 (b)(i) | 17,277,532 | 919,080 | |
Series 2018-C11 Class A3, 4.3124% 6/15/51 | 4,100,000 | 4,594,530 | |
Series 2018-C13 Class A3, 4.0694% 10/15/51 | 6,000,000 | 6,973,697 | |
Series 2018-C9 Class ASB, 4.09% 3/15/51 | 3,300,000 | 3,733,821 | |
UBS-Barclays Commercial Mortgage Trust: | |||
floater Series 2013-C6 Class A3, 1 month U.S. LIBOR + 0.790% 0.9314% 4/10/46 (a)(b)(d) | 5,266,886 | 5,263,505 | |
Series 2012-C3 Class A/S, 3.814% 8/10/49 (a) | 1,400,000 | 1,459,984 | |
VLS Commercial Mortgage Trust: | |||
sequential payer Series 2020-LAB Class A, 2.13% 10/10/42 (a) | 3,760,000 | 3,894,077 | |
Series 2020-LAB: | |||
Class B, 2.453% 10/10/42 (a) | 300,000 | 309,846 | |
Class X, 0.4294% 10/10/42 (a)(i) | 8,700,000 | 329,853 | |
Wells Fargo Commercial Mortgage Trust: | |||
sequential payer: | |||
Series 2015-C29 Class ASB, 3.4% 6/15/48 | 1,355,214 | 1,426,190 | |
Series 2016-LC24 Class A3, 2.684% 10/15/49 | 3,300,000 | 3,555,087 | |
Series 2015-C31 Class XA, 1.1332% 11/15/48 (b)(i) | 6,957,229 | 283,553 | |
Series 2017-C42 Class XA, 1.0298% 12/15/50 (b)(i) | 35,502,935 | 1,821,123 | |
Series 2018-C46 Class XA, 1.106% 8/15/51 (b)(i) | 15,642,655 | 771,749 | |
Series 2018-C48 Class A5, 4.302% 1/15/52 | 3,181,000 | 3,775,494 | |
WF-RBS Commercial Mortgage Trust: | |||
floater Series 2013-C14 Class A3, 1 month U.S. LIBOR + 0.720% 0.8635% 6/15/46 (a)(b)(d) | 4,691,983 | 4,690,236 | |
Series 2012-C9 Class A/S, 3.388% 11/15/45 | 400,000 | 414,249 | |
Series 2014-C24 Class XA, 0.9787% 11/15/47 (b)(i) | 6,351,636 | 155,663 | |
Series 2014-LC14 Class XA, 1.3609% 3/15/47 (b)(i) | 8,623,712 | 284,776 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $559,102,106) | 564,158,483 | ||
Municipal Securities - 0.2% | |||
Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev.: | |||
Series 2009 F2, 6.263% 4/1/49 | $3,145,000 | $5,436,227 | |
Series 2019 F1, 2.574% 4/1/31 | 525,000 | 564,921 | |
California Gen. Oblig. Series 2009, 7.5% 4/1/34 | 630,000 | 1,036,577 | |
Chicago O'Hare Int'l. Arpt. Rev. Series 2018 C, 4.472% 1/1/49 | 910,000 | 1,142,469 | |
Colorado Reg'l. Trans. District Sales Tax Rev. (Fastracks Proj.) Series 2010 B, 5.844% 11/1/50 | 45,000 | 72,740 | |
District of Columbia Income Tax Rev. Series 2010 F, 5.582% 12/1/35 | 75,000 | 102,962 | |
Illinois Gen. Oblig.: | |||
Series 2003: | |||
4.95% 6/1/23 | 5,431,636 | 5,536,413 | |
5.1% 6/1/33 | 24,335,000 | 24,413,845 | |
Series 2010-1, 6.63% 2/1/35 | 3,845,000 | 4,215,158 | |
Series 2010-3: | |||
6.725% 4/1/35 | 2,510,000 | 2,753,997 | |
7.35% 7/1/35 | 4,655,000 | 5,219,977 | |
Series 2010-5, 6.2% 7/1/21 | 479,000 | 488,249 | |
Jobsohio Beverage Sys. Statewide Series 2020 A, 2.833% 1/1/38 | 325,000 | 349,976 | |
Los Angeles Dept. of Wtr. & Pwr. Rev. Series 2010 A, 5.716% 7/1/39 | 190,000 | 280,695 | |
Maryland Trans. Auth. Trans. Facility Projs. Rev. Series 2009 B, 5.888% 7/1/43 | 50,000 | 73,313 | |
Massachusetts Commonwealth Trans. Fund Rev. (Accelerated Bridge Prog.) Series 2010 A, 5.731% 6/1/40 | 150,000 | 216,699 | |
Michigan Fin. Auth. Rev. Series 2019 T, 3.384% 12/1/40 | 545,000 | 602,083 | |
New Jersey Econ. Dev. Auth. State Pension Fdg. Rev. Series 1997, 7.425% 2/15/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 9,315,000 | 11,654,928 | |
New Jersey Tpk. Auth. Tpk. Rev.: | |||
Series 2009 E, 7.414% 1/1/40 | 1,620,000 | 2,713,079 | |
Series 2010 A, 7.102% 1/1/41 | 825,000 | 1,344,527 | |
New York City Muni. Wtr. Fin. Auth. Wtr. & Swr. Sys. Rev. Series 2010 DD, 5.952% 6/15/42 | 25,000 | 39,433 | |
New York City Transitional Fin. Auth. Rev. Series 2010 C2, 5.767% 8/1/36 | 900,000 | 1,176,183 | |
Ohio State Univ. Gen. Receipts: | |||
Series 2010 C, 4.91% 6/1/40 | 140,000 | 195,373 | |
Series 2011 A, 4.8% 6/1/11 | 1,403,000 | 2,021,176 | |
Port Auth. of New York & New Jersey 174th Series, 4.458% 10/1/62 | 390,000 | 508,100 | |
Salt River Proj. Agricultural Impt. & Pwr. District Elec. Sys. Rev. Series 2010 A, 4.839% 1/1/41 | 750,000 | 1,055,003 | |
Texas Private Activity Bond Surface Trans. Corp. (NTE Mobility Partners LLC North Tarrant Express Managed Lanes Proj.) Series 2019 B, 3.922% 12/31/49 | 555,000 | 609,290 | |
Univ. of Michigan Rev. Series 2020 B, 2.437% 4/1/40 | 1,050,000 | 1,101,545 | |
TOTAL MUNICIPAL SECURITIES | |||
(Cost $71,069,191) | 74,924,938 | ||
Foreign Government and Government Agency Obligations - 0.1% | |||
Hungarian Republic 7.625% 3/29/41 | $550,000 | $979,859 | |
Indonesian Republic: | |||
3.4% 9/18/29 | 420,000 | 470,006 | |
3.5% 1/11/28 | 2,655,000 | 2,973,600 | |
Israeli State: | |||
3.875% 7/3/50 | 1,550,000 | 1,851,863 | |
4% 6/30/22 | 1,700,000 | 1,796,254 | |
Italian Republic 2.375% 10/17/24 | 3,800,000 | 3,993,942 | |
Panamanian Republic: | |||
3.16% 1/23/30 | 950,000 | 1,041,141 | |
4.3% 4/29/53 | 615,000 | 767,597 | |
4.5% 4/16/50 | 400,000 | 505,875 | |
4.5% 4/1/56 | 445,000 | 563,593 | |
Philippine Republic 3.7% 3/1/41 | 1,010,000 | 1,177,281 | |
Province of Quebec yankee 7.125% 2/9/24 | 810,000 | 969,764 | |
State of Qatar 3.4% 4/16/25 (a) | 3,165,000 | 3,482,489 | |
United Mexican States: | |||
2.659% 5/24/31 | 945,000 | 946,418 | |
4.15% 3/28/27 | 275,000 | 312,675 | |
4.75% 3/8/44 | 2,246,000 | 2,588,515 | |
Uruguay Republic: | |||
4.975% 4/20/55 | 375,000 | 510,703 | |
5.1% 6/18/50 | 1,625,000 | 2,228,281 | |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $24,861,329) | 27,159,856 | ||
Shares | Value | ||
Common Stocks - 0.0% | |||
ENERGY - 0.0% | |||
Oil, Gas & Consumable Fuels - 0.0% | |||
Denbury, Inc. (l) | |||
(Cost $256,176) | 10,496 | 235,740 | |
Principal Amount | Value | ||
Bank Notes - 0.0% | |||
Discover Bank: | |||
3.45% 7/27/26 | $435,000 | $486,080 | |
4.682% 8/9/28 (b) | 3,503,000 | 3,715,457 | |
KeyBank NA 3.9% 4/13/29 | 1,830,000 | 2,113,437 | |
RBS Citizens NA 2.55% 5/13/21 | 1,705,000 | 1,718,930 | |
Regions Bank 6.45% 6/26/37 | 2,533,000 | 3,570,563 | |
SunTrust Banks, Inc. 2.75% 5/1/23 | 645,000 | 680,338 | |
Synchrony Bank 3.65% 5/24/21 | 5,843,000 | 5,915,586 | |
Truist Bank 3.3% 5/15/26 | 965,000 | 1,079,152 | |
TOTAL BANK NOTES | |||
(Cost $17,277,726) | 19,279,543 | ||
Shares | Value | ||
Fixed-Income Funds - 76.9% | |||
High Yield Fixed-Income Funds - 0.7% | |||
Prudential High Yield Fund | 2,683,287 | $14,623,916 | |
Stone Harbor Emerging Markets Debt Fund | 16,901,936 | 168,174,268 | |
Vanguard High-Yield Corporate Fund Admiral Shares | 14,321,851 | 84,928,577 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 267,726,761 | ||
Intermediate Government Funds - 0.0% | |||
Fidelity SAI U.S. Treasury Bond Index Fund (m) | 231,115 | 2,484,482 | |
Intermediate-Term Bond Funds - 73.9% | |||
Baird Core Plus Bond Fund - Institutional Class | 53,265,694 | 651,972,094 | |
BlackRock Total Return Fund Institutional Shares | 23,787,651 | 300,913,780 | |
DoubleLine Total Return Bond Fund Class N | 84,508,683 | 904,242,912 | |
Fidelity SAI Total Bond Fund (m) | 585,170,898 | 6,273,032,004 | |
Fidelity U.S. Bond Index Fund (m) | 1,883,348 | 23,504,177 | |
John Hancock Bond Fund Class A | 15,908,091 | 269,323,983 | |
JPMorgan Core Plus Bond Fund Class A | 33,949,870 | 300,456,349 | |
Metropolitan West Total Return Bond Fund Class M | 196,806,283 | 2,302,633,507 | |
PIMCO Income Fund Institutional Class | 85,934,549 | 1,028,636,549 | |
PIMCO Investment Grade Credit Bond Fund Institutional Class | 58,572,897 | 660,702,280 | |
PIMCO Mortgage Opportunities Fund Institutional Class | 98,699,365 | 1,085,693,012 | |
PIMCO Total Return Fund Institutional Class | 571,493,287 | 6,269,281,355 | |
Prudential Total Return Bond Fund Class A | 145,078,414 | 2,190,684,051 | |
TCW Total Return Bond Fund N Class | 22,502,233 | 243,474,157 | |
The Bond Fund of America Class F2 | 14,149,789 | 200,785,505 | |
Voya Intermediate Bond Fund Class I | 114,693,913 | 1,238,694,255 | |
Western Asset Core Bond Fund Class I | 154,699,579 | 2,137,948,188 | |
Western Asset Core Plus Bond Fund Class I | 261,370,805 | 3,308,954,392 | |
TOTAL INTERMEDIATE-TERM BOND FUNDS | 29,390,932,550 | ||
Long Government Bond Funds - 2.3% | |||
iShares 20+ Year Treasury Bond ETF (n) | 5,755,910 | 921,060,718 | |
TOTAL FIXED-INCOME FUNDS | |||
(Cost $28,634,982,165) | 30,582,204,511 | ||
Principal Amount | Value | ||
Preferred Securities - 0.1% | |||
FINANCIALS - 0.1% | |||
Banks - 0.1% | |||
Bank of Nova Scotia 4.65% (b)(o) | 12,927,000 | 13,019,334 | |
Barclays Bank PLC 7.625% 11/21/22 | 27,412,000 | 30,320,422 | |
TOTAL PREFERRED SECURITIES | |||
(Cost $43,608,133) | 43,339,756 | ||
Shares | Value | ||
Money Market Funds - 2.7% | |||
Fidelity Cash Central Fund 0.09% (p) | 187,055,761 | 187,093,172 | |
Fidelity Investments Money Market Government Portfolio Institutional Class 0.01% (m)(q) | 359,998,983 | 359,998,983 | |
Fidelity Securities Lending Cash Central Fund 0.09% (p)(r) | 415,913,044 | 415,954,635 | |
State Street Institutional U.S. Government Money Market Fund Premier Class .02% (q) | 105,940,586 | 105,940,586 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $1,068,983,731) | 1,068,987,376 |
Purchased Swaptions - 0.0% | ||||
Expiration Date | Notional Amount | Value | ||
Put Options - 0.0% | ||||
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 0.865% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2031 | 10/14/21 | 28,200,000 | $733,205 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 1.4% and receive quarterly a floating rate based on 3-month LIBOR, expiring February 2030 | 2/26/25 | 1,900,000 | 34,261 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 1.905% and receive quarterly a floating rate based on 3-month LIBOR, expiring October 2029 | 10/28/24 | 10,000,000 | 87,600 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 2.2% and receive quarterly a floating rate based on 3-month LIBOR, expiring July 2029 | 7/18/24 | 13,700,000 | 71,629 | |
TOTAL PUT OPTIONS | 926,695 | |||
Call Options - 0.0% | ||||
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 0.865% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2031 | 10/14/21 | 28,200,000 | 452,114 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 1.4% and pay quarterly a floating rate based on 3-month LIBOR, expiring February 2030 | 2/26/25 | 1,900,000 | 53,637 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 1.905% and pay quarterly a floating rate based on 3-month LIBOR, expiring October 2029 | 10/28/24 | 10,000,000 | 460,109 | |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 2.2% and pay quarterly a floating rate based on 3-month LIBOR, expiring July 2029 | 7/18/24 | 13,700,000 | 810,845 | |
TOTAL CALL OPTIONS | 1,776,705 | |||
TOTAL PURCHASED SWAPTIONS | ||||
(Cost $2,706,696) | 2,703,400 | |||
TOTAL INVESTMENT IN SECURITIES - 105.0% | ||||
(Cost $39,356,262,026) | 41,774,091,769 | |||
NET OTHER ASSETS (LIABILITIES) - (5.0)% | (1,995,566,653) | |||
NET ASSETS - 100% | $39,778,525,116 |
TBA Sale Commitments | ||
Principal Amount | Value | |
Ginnie Mae | ||
2.5% 12/1/50 | $(13,100,000) | $(13,798,243) |
2.5% 12/1/50 | (12,550,000) | (13,218,928) |
2.5% 12/1/50 | (8,950,000) | (9,427,044) |
2.5% 12/1/50 | (8,550,000) | (9,005,724) |
2.5% 12/1/50 | (300,000) | (315,990) |
2.5% 12/1/50 | (2,450,000) | (2,580,587) |
2.5% 12/1/50 | (800,000) | (842,641) |
2.5% 12/1/50 | (2,450,000) | (2,580,587) |
2.5% 12/1/50 | (700,000) | (737,311) |
2.5% 12/1/50 | (850,000) | (895,306) |
2.5% 12/1/50 | (850,000) | (895,306) |
2.5% 12/1/50 | (12,850,000) | (13,534,918) |
2.5% 12/1/50 | (2,900,000) | (3,054,573) |
2.5% 12/1/50 | (3,350,000) | (3,528,558) |
2.5% 12/1/50 | (3,350,000) | (3,528,558) |
2.5% 12/1/50 | (8,750,000) | (9,216,384) |
2.5% 12/1/50 | (12,000,000) | (12,639,612) |
3% 12/1/50 | (4,150,000) | (4,331,215) |
3% 12/1/50 | (2,750,000) | (2,870,082) |
3% 12/1/50 | (6,700,000) | (6,992,564) |
3% 12/1/50 | (2,250,000) | (2,348,249) |
3.5% 12/1/50 | (16,250,000) | (17,163,040) |
3.5% 12/1/50 | (12,000,000) | (12,674,245) |
3.5% 12/1/50 | (4,500,000) | (4,752,842) |
3.5% 12/1/50 | (1,400,000) | (1,478,662) |
3.5% 12/1/50 | (5,750,000) | (6,073,076) |
3.5% 12/1/50 | (2,600,000) | (2,746,086) |
3.5% 12/1/50 | (9,950,000) | (10,509,062) |
3.5% 12/1/50 | (6,550,000) | (6,918,026) |
3.5% 12/1/50 | (2,100,000) | (2,217,993) |
TOTAL GINNIE MAE | (180,875,412) | |
Uniform Mortgage Backed Securities | ||
1.5% 12/1/35 | (9,600,000) | (9,843,577) |
1.5% 12/1/35 | (3,100,000) | (3,178,655) |
1.5% 12/1/35 | (1,100,000) | (1,127,910) |
1.5% 12/1/35 | (13,800,000) | (14,150,142) |
1.5% 12/1/35 | (500,000) | (512,686) |
1.5% 12/1/35 | (2,000,000) | (2,050,745) |
1.5% 12/1/35 | (13,600,000) | (13,945,067) |
1.5% 12/1/35 | (4,750,000) | (4,870,520) |
1.5% 12/1/35 | (12,000,000) | (12,304,471) |
1.5% 12/1/35 | (8,350,000) | (8,561,861) |
1.5% 12/1/35 | (5,950,000) | (6,100,967) |
1.5% 12/1/35 | (2,500,000) | (2,563,432) |
1.5% 12/1/35 | (2,000,000) | (2,050,745) |
2% 12/1/35 | (5,050,000) | (5,257,189) |
2% 12/1/35 | (8,150,000) | (8,484,374) |
2% 12/1/35 | (15,150,000) | (15,771,567) |
2% 12/1/35 | (7,150,000) | (7,443,347) |
2% 12/1/35 | (9,450,000) | (9,837,710) |
2% 12/1/35 | (4,450,000) | (4,632,572) |
2% 12/1/50 | (1,150,000) | (1,194,590) |
2% 12/1/50 | (3,900,000) | (4,051,217) |
2% 12/1/50 | (5,200,000) | (5,401,623) |
2% 12/1/50 | (15,100,000) | (15,685,481) |
2% 12/1/50 | (5,850,000) | (6,076,826) |
2% 12/1/50 | (10,850,000) | (11,270,694) |
2% 12/1/50 | (9,600,000) | (9,972,227) |
2% 12/1/50 | (6,400,000) | (6,648,151) |
2% 12/1/50 | (10,100,000) | (10,491,613) |
2% 12/1/50 | (5,800,000) | (6,024,887) |
2% 12/1/50 | (11,000,000) | (11,426,510) |
2% 12/1/50 | (3,000,000) | (3,116,321) |
2% 12/1/50 | (5,700,000) | (5,921,010) |
2% 12/1/50 | (450,000) | (467,448) |
2% 12/1/50 | (8,700,000) | (9,037,330) |
2% 12/1/50 | (5,200,000) | (5,401,623) |
2% 12/1/50 | (9,250,000) | (9,608,656) |
2% 12/1/50 | (900,000) | (934,896) |
2% 12/1/50 | (3,900,000) | (4,051,217) |
2% 12/1/50 | (5,800,000) | (6,024,887) |
2% 12/1/50 | (15,100,000) | (15,685,481) |
2% 12/1/50 | (19,150,000) | (19,892,514) |
2.5% 12/1/50 | (4,500,000) | (4,714,803) |
2.5% 12/1/50 | (9,500,000) | (9,953,473) |
2.5% 12/1/50 | (9,000,000) | (9,429,606) |
2.5% 12/1/50 | (4,500,000) | (4,714,803) |
2.5% 12/1/50 | (11,200,000) | (11,734,621) |
2.5% 12/1/50 | (18,500,000) | (19,383,079) |
3% 12/1/50 | (8,400,000) | (8,775,383) |
3% 12/1/50 | (8,200,000) | (8,566,445) |
3% 12/1/50 | (8,850,000) | (9,245,492) |
3% 12/1/50 | (8,650,000) | (9,036,555) |
3% 12/1/50 | (12,850,000) | (13,424,246) |
3% 12/1/50 | (10,200,000) | (10,655,822) |
3% 12/1/50 | (19,700,000) | (20,580,361) |
3% 12/1/50 | (15,600,000) | (16,297,139) |
3% 12/1/50 | (1,450,000) | (1,514,798) |
3% 12/1/50 | (5,650,000) | (5,902,489) |
3.5% 12/1/50 | (6,750,000) | (7,119,670) |
3.5% 12/1/50 | (9,500,000) | (10,020,276) |
3.5% 12/1/50 | (22,000,000) | (23,204,850) |
3.5% 12/1/50 | (15,300,000) | (16,137,918) |
3.5% 12/1/50 | (3,150,000) | (3,322,513) |
3.5% 12/1/50 | (15,350,000) | (16,190,657) |
3.5% 12/1/50 | (8,800,000) | (9,281,940) |
3.5% 12/1/50 | (1,150,000) | (1,212,981) |
3.5% 12/1/50 | (4,400,000) | (4,640,970) |
3.5% 12/1/50 | (22,350,000) | (23,574,018) |
3.5% 12/1/50 | (21,875,000) | (23,073,004) |
3.5% 12/1/50 | (1,900,000) | (2,004,055) |
3.5% 12/1/50 | (16,000,000) | (16,876,254) |
3.5% 12/1/50 | (2,850,000) | (3,006,083) |
3.5% 12/1/50 | (2,950,000) | (3,111,559) |
3.5% 12/1/50 | (350,000) | (369,168) |
3.5% 12/1/50 | (16,000,000) | (16,876,254) |
3.5% 12/1/50 | (24,850,000) | (26,210,933) |
3.5% 12/1/50 | (25,850,000) | (27,265,699) |
3.5% 12/1/50 | (3,075,000) | (3,243,405) |
3.5% 12/1/50 | (1,950,000) | (2,056,794) |
3.5% 12/1/50 | (1,000,000) | (1,054,766) |
3.5% 12/1/50 | (3,850,000) | (4,060,849) |
3.5% 12/1/50 | (4,000,000) | (4,219,064) |
3.5% 12/1/50 | (1,800,000) | (1,898,579) |
3.5% 12/1/50 | (16,250,000) | (17,139,946) |
3.5% 1/1/51 | (21,950,000) | (23,174,404) |
3.5% 1/1/51 | (40,825,000) | (43,102,277) |
4% 12/1/50 | (24,950,000) | (26,621,450) |
4% 12/1/50 | (17,550,000) | (18,725,710) |
4% 12/1/50 | (10,300,000) | (10,990,018) |
4% 12/1/50 | (24,950,000) | (26,621,450) |
4% 12/1/50 | (8,700,000) | (9,282,830) |
4% 12/1/50 | (550,000) | (586,846) |
4% 12/1/50 | (17,450,000) | (18,619,010) |
4% 12/1/50 | (26,700,000) | (28,488,686) |
4% 12/1/50 | (10,300,000) | (10,990,018) |
4% 12/1/50 | (42,500,000) | (45,347,160) |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | (994,723,918) | |
TOTAL TBA SALE COMMITMENTS | ||
(Proceeds $1,173,962,091) | $(1,175,599,330) |
Written Swaptions | |||
Expiration Date | Notional Amount | Value | |
Put Swaptions | |||
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 0.71% and receive quarterly a floating rate based on 3-month LIBOR, expiring April 2032 | 3/30/22 | 4,000,000 | $(175,562) |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 1.27% and receive quarterly a floating rate based on 3-month LIBOR, expiring November 2030 | 11/25/25 | 28,100,000 | (721,461) |
TOTAL PUT SWAPTIONS | (897,023) | ||
Call Swaptions | |||
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 0.71% and pay quarterly a floating rate based on 3-month LIBOR, expiring April 2032 | 3/30/22 | 4,000,000 | (52,144) |
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 1.27% and pay quarterly a floating rate based on 3-month LIBOR, expiring November 2030 | 11/25/25 | 28,100,000 | (694,579) |
TOTAL CALL SWAPTIONS | (746,723) | ||
TOTAL WRITTEN SWAPTIONS | $(1,643,746) |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Treasury Contracts | |||||
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 109 | March 2021 | $13,737,406 | $16,826 | $16,826 |
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 124 | March 2021 | 21,688,375 | 77,600 | 77,600 |
TOTAL PURCHASED | 94,426 | ||||
Sold | |||||
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 1,701 | March 2021 | 235,030,359 | (458,292) | (458,292) |
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 604 | March 2021 | 133,394,344 | (81,318) | (81,318) |
TOTAL SOLD | (539,610) | ||||
TOTAL FUTURES CONTRACTS | $(445,184) |
The notional amount of futures purchased as a percentage of Net Assets is 0.1%
The notional amount of futures sold as a percentage of Net Assets is 0.9%
Swaps
Underlying Reference | Maturity Date | Clearinghouse / Counterparty | Fixed Payment Received/(Paid) | Payment Frequency | Notional Amount | Value | Upfront Premium Received/(Paid) | Unrealized Appreciation/(Depreciation) |
Credit Default Swaps | ||||||||
Buy Protection | ||||||||
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | $5,000,000 | $(31,962) | $(69,143) | $(101,105) |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | JPMorgan Securities LLC | (0.5%) | Monthly | 3,070,000 | (19,625) | (37,556) | (57,181) |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 5,000,000 | (31,962) | (35,030) | (66,992) |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 15,700,000 | (100,361) | 61,860 | (38,501) |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 4,800,000 | (30,684) | (132,451) | (163,135) |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 2,940,000 | (18,794) | (13,984) | (32,778) |
CMBX N.A. AAA Index Series 12 | Aug. 2061 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 4,000,000 | (25,570) | (44,282) | (69,852) |
CMBX N.A. AAA Index Series 13 | Dec. 2072 | JPMorgan Securities LLC | (0.5%) | Monthly | 1,000,000 | (806) | (1,277) | (2,083) |
TOTAL CREDIT DEFAULT SWAPS | $(259,764) | $(271,863) | $(531,627) | |||||
Swaps
Payment Received | Payment Frequency | Payment Paid | Payment Frequency | Clearinghouse / Counterparty(1) | Maturity Date | Notional Amount | Value | Upfront Premium Received/(Paid)(2) | Unrealized Appreciation/(Depreciation) |
Interest Rate Swaps | |||||||||
0.25% | Semi - annual | 3-month LIBOR(3) | Quarterly | LCH | Mar. 2023 | $78,504,000 | $(13,858) | $0 | $(13,858) |
0.5% | Semi - annual | 3-month LIBOR(3) | Quarterly | LCH | Mar. 2026 | 3,877,000 | 990 | 0 | 990 |
0.75% | Semi - annual | 3-month LIBOR(3) | Quarterly | LCH | Mar. 2031 | 10,830,000 | (163,137) | 0 | (163,137) |
3-month LIBOR(3) | Quarterly | 0.75% | Semi - annual | LCH | Mar. 2031 | 3,394,000 | 6,370 | 0 | 6,370 |
TOTAL INTEREST RATE SWAPS | $(169,635) | $0 | $(169,635) | ||||||
(1) Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps.
(2) Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).
(3) Represents floating rate.
Security Type Abbreviations
ETF – Exchange-Traded Fund
Legend
(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $1,448,233,411 or 3.6% of net assets.
(b) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(c) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(d) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(e) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $2,741,247.
(f) Security or a portion of the security has been segregated as collateral for open options. At period end, the value of securities pledged amounted to $85,384.
(g) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $1,523,569.
(h) Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $112,730.
(i) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.
(j) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security.
(k) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.
(l) Non-income producing
(m) Affiliated Fund
(n) Security or a portion of the security is on loan at period end.
(o) Security is perpetual in nature with no stated maturity date.
(p) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
(q) The rate quoted is the annualized seven-day yield of the fund at period end.
(r) Investment made with cash collateral received from securities on loan.
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
Fund | Income earned |
Fidelity Cash Central Fund | $486,556 |
Fidelity Securities Lending Cash Central Fund | 222,207 |
Total | $708,763 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds. Amount for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds, excluding any Money Market Central Funds, is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur.
Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain (loss) | Change in Unrealized appreciation (depreciation) | Value, end of period |
Fidelity Inflation-Protected Bond Index Fund | $105,541,389 | $-- | $103,929,078 | $26,043 | $1,285,927 | $(2,898,238) | $-- |
Fidelity Inve- stme- nts Mon- ey Mar- ket Gov- ern- ment Port- fo- lio Inst- itut- ion- al Cla- ss 0.01 % | -- | 3,261,804,754 | 2,901,805,771 | 336,199 | -- | -- | 359,998,983 |
Fidelity SAI Total Bond Fund | 6,719,728,989 | 345,109,035 | 768,879,254 | 344,607,067 | 31,235,816 | (54,162,582) | 6,273,032,004 |
Fidelity SAI U.S. Treasury Bond Index Fund | 3,902,878,329 | 163,243,984 | 4,120,922,290 | 3,248,014 | 348,586,926 | (291,302,467) | 2,484,482 |
Fidelity Sustainability Bond Index Fund | 25,615,432 | -- | 25,497,606 | 45,199 | 1,872,467 | (1,990,293) | -- |
Fidelity U.S. Bond Index Fund | 156,168,500 | 282,416,621 | 416,594,865 | 927,925 | 5,780,136 | (4,266,215) | 23,504,177 |
Total | $10,909,932,639 | $4,052,574,394 | $8,337,628,864 | $349,190,447 | $388,761,272 | $(354,619,795) | $6,659,019,646 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds.
Investment Valuation
Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund’s valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels: Level 1 - quoted prices in active markets for identical investments: Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds etc.): Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank notes, foreign government and government agency obligations, municipal securities, preferred securities and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker supplied prices.
Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates.
When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Exchange-Traded Funds (ETFs) are valued at their last sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day but the exchange reports a closing bid level, ETFs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 in the hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
Options traded over-the-counter are valued using vendor or broker-supplied valuations and are categorized as Level 2 in the hierarchy.
Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.
If an unaffiliated Underlying Fund's net asset value is unavailable, shares of that fund may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and is categorized as Level 2 in the hierarchy.
For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.
The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.
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