Quarterly Holdings Report
for
Strategic Advisers® Short Duration Fund
Offered exclusively to certain clients of Strategic Advisers LLC - not available for sale to the general publicFebruary 28, 2021
ASD-QTLY-0421
1.934462.109
Schedule of Investments February 28, 2021 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 21.6% | |||
Principal Amount | Value | ||
COMMUNICATION SERVICES - 0.8% | |||
Diversified Telecommunication Services - 0.4% | |||
NTT Finance Corp.: | |||
0.373% 3/3/23 (a) | $5,265,000 | $5,265,786 | |
0.583% 3/1/24 (a) | 2,184,000 | 2,182,106 | |
SBA Tower Trust 3.448% 3/15/48 (a) | 880,000 | 932,188 | |
Verizon Communications, Inc.: | |||
3 month U.S. LIBOR + 1.000% 1.2193% 3/16/22 (b)(c) | 15,233,000 | 15,384,531 | |
0.85% 11/20/25 | 710,000 | 699,665 | |
5.15% 9/15/23 | 625,000 | 697,456 | |
25,161,732 | |||
Entertainment - 0.1% | |||
The Walt Disney Co. 3% 9/15/22 | 4,273,000 | 4,447,214 | |
Interactive Media & Services - 0.0% | |||
Baidu.com, Inc. 3.5% 11/28/22 | 780,000 | 813,638 | |
Media - 0.2% | |||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
4.464% 7/23/22 | 3,590,000 | 3,756,497 | |
4.908% 7/23/25 | 2,145,000 | 2,448,673 | |
Comcast Corp. 3.1% 4/1/25 | 355,000 | 384,163 | |
COX Communications, Inc.: | |||
2.95% 6/30/23 (a) | 590,000 | 619,462 | |
3.15% 8/15/24 (a) | 1,600,000 | 1,721,224 | |
Fox Corp.: | |||
3.05% 4/7/25 | 185,000 | 198,767 | |
3.666% 1/25/22 | 260,000 | 267,761 | |
4.03% 1/25/24 | 305,000 | 333,459 | |
RELX Capital, Inc. 3.5% 3/16/23 | 575,000 | 608,728 | |
TWDC Enterprises 18 Corp. 3 month U.S. LIBOR + 0.390% 0.6205% 3/4/22 (b)(c) | 5,000,000 | 5,015,825 | |
WPP Finance 2010 3.625% 9/7/22 | 310,000 | 324,039 | |
15,678,598 | |||
Wireless Telecommunication Services - 0.1% | |||
CC Holdings GS V LLC/Crown Castle GS III Corp. 3.849% 4/15/23 | 1,900,000 | 2,030,137 | |
Rogers Communications, Inc. 3 month U.S. LIBOR + 0.600% 0.8358% 3/22/22 (b)(c) | 5,520,000 | 5,552,273 | |
T-Mobile U.S.A., Inc. 3.5% 4/15/25 (a) | 1,005,000 | 1,086,636 | |
Vodafone Group PLC 3.75% 1/16/24 | 770,000 | 839,898 | |
9,508,944 | |||
TOTAL COMMUNICATION SERVICES | 55,610,126 | ||
CONSUMER DISCRETIONARY - 1.7% | |||
Automobiles - 1.1% | |||
American Honda Finance Corp.: | |||
3 month U.S. LIBOR + 0.150% 0.3324% 2/22/23 (b)(c) | 3,342,000 | 3,343,664 | |
3 month U.S. LIBOR + 0.290% 0.52% 12/10/21 (b)(c) | 5,000,000 | 5,009,642 | |
0.4% 10/21/22 | 2,775,000 | 2,778,291 | |
BMW U.S. Capital LLC: | |||
3 month U.S. LIBOR + 0.410% 0.6344% 4/12/21 (a)(b)(c) | 11,110,000 | 11,116,706 | |
3 month U.S. LIBOR + 0.500% 0.6976% 8/13/21 (a)(b)(c) | 830,000 | 831,730 | |
2% 4/11/21 (a) | 1,500,000 | 1,500,675 | |
Daimler Finance North America LLC: | |||
3 month U.S. LIBOR + 0.840% 1.0323% 5/4/23 (a)(b)(c) | 3,240,000 | 3,278,618 | |
3 month U.S. LIBOR + 0.900% 1.0938% 2/15/22 (a)(b)(c) | 5,000,000 | 5,038,063 | |
1.75% 3/10/23 (a) | 1,800,000 | 1,842,837 | |
General Motors Co.: | |||
4.875% 10/2/23 | 730,000 | 803,863 | |
5.4% 10/2/23 | 1,130,000 | 1,259,661 | |
General Motors Financial Co., Inc.: | |||
3 month U.S. LIBOR + 0.850% 1.0748% 4/9/21 (b)(c) | 5,628,000 | 5,632,111 | |
U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 1.200% 1.2357% 11/17/23 (b)(c) | 5,000,000 | 5,061,164 | |
2.9% 2/26/25 | 1,880,000 | 1,996,976 | |
3.2% 7/6/21 | 510,000 | 513,668 | |
4.2% 11/6/21 | 370,000 | 379,518 | |
Harley-Davidson Financial Services, Inc.: | |||
3 month U.S. LIBOR + 0.940% 1.1676% 3/2/21 (a)(b)(c) | 995,000 | 995,000 | |
2.55% 6/9/22 (a) | 375,000 | 382,810 | |
4.05% 2/4/22 (a) | 1,210,000 | 1,248,987 | |
Nissan Motor Acceptance Corp.: | |||
2.6% 9/28/22 (a) | 585,000 | 601,285 | |
3.65% 9/21/21 (a) | 580,000 | 589,562 | |
Nissan Motor Co. Ltd. 3.043% 9/15/23 (a) | 985,000 | 1,035,596 | |
Volkswagen Group of America Finance LLC: | |||
0.75% 11/23/22 (a) | 10,620,000 | 10,667,268 | |
0.875% 11/22/23 (a) | 590,000 | 593,238 | |
2.5% 9/24/21 (a) | 1,805,000 | 1,826,789 | |
2.7% 9/26/22 (a) | 650,000 | 672,279 | |
2.9% 5/13/22 (a) | 2,663,000 | 2,741,036 | |
3.125% 5/12/23 (a) | 355,000 | 374,130 | |
72,115,167 | |||
Hotels, Restaurants & Leisure - 0.1% | |||
Marriott International, Inc.: | |||
2.3% 1/15/22 | 90,000 | 91,011 | |
3.125% 2/15/23 | 290,000 | 299,640 | |
3.6% 4/15/24 | 150,000 | 160,411 | |
Starbucks Corp.: | |||
1.3% 5/7/22 | 1,195,000 | 1,208,271 | |
2.7% 6/15/22 | 435,000 | 446,979 | |
2,206,312 | |||
Household Durables - 0.0% | |||
Panasonic Corp. 2.536% 7/19/22 (a) | 785,000 | 803,351 | |
Internet & Direct Marketing Retail - 0.1% | |||
Expedia, Inc. 3.6% 12/15/23 (a) | 1,270,000 | 1,355,749 | |
JD.com, Inc. 3.125% 4/29/21 | 2,645,000 | 2,657,398 | |
QVC, Inc. 4.375% 3/15/23 | 1,170,000 | 1,225,341 | |
The Booking Holdings, Inc. 4.1% 4/13/25 | 830,000 | 924,624 | |
6,163,112 | |||
Leisure Products - 0.0% | |||
Hasbro, Inc.: | |||
2.6% 11/19/22 | 885,000 | 914,913 | |
3% 11/19/24 | 1,190,000 | 1,275,076 | |
2,189,989 | |||
Specialty Retail - 0.3% | |||
AutoZone, Inc. 3.625% 4/15/25 | 485,000 | 533,296 | |
O'Reilly Automotive, Inc. 3.8% 9/1/22 | 385,000 | 399,352 | |
Ross Stores, Inc.: | |||
0.875% 4/15/26 | 450,000 | 442,454 | |
4.6% 4/15/25 | 2,310,000 | 2,622,580 | |
The Home Depot, Inc. 3 month U.S. LIBOR + 0.310% 0.5354% 3/1/22 (b)(c) | 14,500,000 | 14,535,667 | |
TJX Companies, Inc. 3.5% 4/15/25 | 770,000 | 844,560 | |
19,377,909 | |||
Textiles, Apparel & Luxury Goods - 0.1% | |||
Ralph Lauren Corp. 1.7% 6/15/22 | 225,000 | 228,904 | |
VF Corp. 2.05% 4/23/22 | 6,772,000 | 6,903,450 | |
7,132,354 | |||
TOTAL CONSUMER DISCRETIONARY | 109,988,194 | ||
CONSUMER STAPLES - 0.7% | |||
Beverages - 0.1% | |||
Diageo Capital PLC 1.375% 9/29/25 | 680,000 | 692,107 | |
Molson Coors Beverage Co. 3.5% 5/1/22 | 3,209,000 | 3,319,467 | |
4,011,574 | |||
Food & Staples Retailing - 0.1% | |||
7-Eleven, Inc.: | |||
3 month U.S. LIBOR + 0.450% 0.6454% 8/10/22 (a)(b)(c) | 300,000 | 300,353 | |
0.625% 2/10/23 (a) | 1,072,000 | 1,073,900 | |
0.8% 2/10/24 (a) | 1,448,000 | 1,449,221 | |
Prosperous Ray Ltd. 4.625% 11/12/23 (Reg. S) | 1,200,000 | 1,303,680 | |
Walgreen Co. 3.1% 9/15/22 | 435,000 | 452,565 | |
4,579,719 | |||
Food Products - 0.3% | |||
Archer Daniels Midland Co. 2.75% 3/27/25 | 285,000 | 305,641 | |
Bunge Ltd. Finance Corp.: | |||
3% 9/25/22 | 2,775,000 | 2,871,723 | |
4.35% 3/15/24 | 130,000 | 143,307 | |
Cargill, Inc. 1.375% 7/23/23 (a) | 630,000 | 645,227 | |
China Mengniu Dairy Co. Ltd. 1.875% 6/17/25 (Reg. S) | 2,004,000 | 1,996,485 | |
General Mills, Inc. 3 month U.S. LIBOR + 0.540% 0.7634% 4/16/21 (b)(c) | 6,229,000 | 6,233,126 | |
Mondelez International, Inc.: | |||
0.625% 7/1/22 | 6,350,000 | 6,374,551 | |
2.125% 4/13/23 | 2,351,000 | 2,432,705 | |
21,002,765 | |||
Tobacco - 0.2% | |||
BAT International Finance PLC 1.668% 3/25/26 | 885,000 | 887,169 | |
Imperial Tobacco Finance PLC: | |||
3.125% 7/26/24 (a) | 235,000 | 250,194 | |
3.5% 2/11/23 (a) | 1,400,000 | 1,461,540 | |
3.75% 7/21/22 (a) | 3,120,000 | 3,235,967 | |
Philip Morris International, Inc. 1.125% 5/1/23 | 9,481,000 | 9,637,336 | |
15,472,206 | |||
TOTAL CONSUMER STAPLES | 45,066,264 | ||
ENERGY - 1.1% | |||
Energy Equipment & Services - 0.0% | |||
Schlumberger Finance Canada Ltd. 1.4% 9/17/25 | 290,000 | 292,215 | |
Schlumberger Holdings Corp.: | |||
3.75% 5/1/24 (a) | 1,515,000 | 1,641,975 | |
4% 12/21/25 (a) | 375,000 | 419,801 | |
2,353,991 | |||
Oil, Gas & Consumable Fuels - 1.1% | |||
Aker BP ASA: | |||
3% 1/15/25 (a) | 995,000 | 1,030,672 | |
4.75% 6/15/24 (a) | 980,000 | 1,012,360 | |
Canadian Natural Resources Ltd. 2.05% 7/15/25 | 1,430,000 | 1,463,861 | |
Cenovus Energy, Inc.: | |||
3% 8/15/22 | 1,725,000 | 1,769,264 | |
3.8% 9/15/23 | 505,000 | 533,574 | |
Cheniere Corpus Christi Holdings LLC: | |||
5.875% 3/31/25 | 1,470,000 | 1,693,740 | |
7% 6/30/24 | 1,625,000 | 1,885,476 | |
Chevron Corp.: | |||
3 month U.S. LIBOR + 0.480% 0.712% 3/3/22 (b)(c) | 4,700,000 | 4,722,582 | |
1.141% 5/11/23 | 4,174,000 | 4,247,808 | |
Diamondback Energy, Inc.: | |||
2.875% 12/1/24 | 2,720,000 | 2,880,077 | |
4.75% 5/31/25 | 1,080,000 | 1,216,892 | |
Enbridge, Inc. U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.400% 0.4267% 2/17/23 (b)(c) | 1,892,000 | 1,896,043 | |
Energy Transfer Partners LP: | |||
2.9% 5/15/25 | 255,000 | 267,441 | |
4.2% 9/15/23 | 280,000 | 301,556 | |
4.25% 3/15/23 | 855,000 | 905,978 | |
4.9% 2/1/24 | 245,000 | 268,211 | |
5.875% 1/15/24 | 2,375,000 | 2,666,811 | |
Eni SpA 4% 9/12/23 (a) | 930,000 | 1,006,263 | |
Enterprise Products Operating LP: | |||
2.85% 4/15/21 | 3,000,000 | 3,002,796 | |
3.5% 2/1/22 | 1,050,000 | 1,080,189 | |
EOG Resources, Inc. 2.625% 3/15/23 | 291,000 | 303,119 | |
EQT Corp. 3% 10/1/22 | 2,275,000 | 2,288,548 | |
Gray Oak Pipeline LLC: | |||
2% 9/15/23 (a) | 120,000 | 121,844 | |
2.6% 10/15/25 (a) | 385,000 | 393,726 | |
Kinder Morgan Energy Partners LP 3.95% 9/1/22 | 135,000 | 140,809 | |
Marathon Oil Corp. 2.8% 11/1/22 | 653,000 | 671,637 | |
MPLX LP 3 month U.S. LIBOR + 1.100% 1.3304% 9/9/22 (b)(c) | 1,683,000 | 1,684,145 | |
Occidental Petroleum Corp. 2.6% 8/13/21 | 990,000 | 987,525 | |
Phillips 66 Co. 3 month U.S. LIBOR + 0.620% 0.8138% 2/15/24 (b)(c) | 10,000,000 | 10,023,811 | |
Pioneer Natural Resources Co. 0.75% 1/15/24 | 610,000 | 608,413 | |
Reliance Industries Ltd. 5.4% 2/14/22 (Reg. S) | 1,700,000 | 1,773,117 | |
Sabine Pass Liquefaction LLC: | |||
5.625% 4/15/23 (b) | 1,345,000 | 1,465,558 | |
6.25% 3/15/22 | 2,495,000 | 2,605,027 | |
Saudi Arabian Oil Co. 2.75% 4/16/22 (a) | 1,815,000 | 1,851,300 | |
Suncor Energy, Inc. 2.8% 5/15/23 | 975,000 | 1,022,930 | |
Sunoco Logistics Partner Operations LP: | |||
3.45% 1/15/23 | 110,000 | 114,502 | |
4.25% 4/1/24 | 70,000 | 75,818 | |
4.4% 4/1/21 | 765,000 | 765,253 | |
The Williams Companies, Inc.: | |||
3.35% 8/15/22 | 200,000 | 206,790 | |
3.7% 1/15/23 | 2,205,000 | 2,316,609 | |
4.3% 3/4/24 | 305,000 | 333,524 | |
Valero Energy Corp.: | |||
1.2% 3/15/24 | 715,000 | 721,130 | |
2.7% 4/15/23 | 1,430,000 | 1,490,746 | |
3.65% 3/15/25 | 245,000 | 265,478 | |
Western Gas Partners LP 4% 7/1/22 | 1,800,000 | 1,836,000 | |
67,918,953 | |||
TOTAL ENERGY | 70,272,944 | ||
FINANCIALS - 12.6% | |||
Banks - 7.2% | |||
Abbey National PLC 2.1% 1/13/23 | 1,255,000 | 1,295,178 | |
ABN AMRO Bank NV 3 month U.S. LIBOR + 0.570% 0.7598% 8/27/21 (a)(b)(c) | 10,813,000 | 10,840,357 | |
Banco Bilbao Vizcaya Argentaria SA 0.875% 9/18/23 | 1,800,000 | 1,814,710 | |
Banco del Estado de Chile 2.704% 1/9/25 (a) | 665,000 | 699,705 | |
Banco Santander Mexico SA 4.125% 11/9/22 (Reg. S) | 1,750,000 | 1,836,406 | |
Bank Ireland Group PLC 4.5% 11/25/23 (a) | 2,455,000 | 2,683,511 | |
Bank of America Corp.: | |||
3 month U.S. LIBOR + 0.650% 0.901% 6/25/22 (b)(c) | 10,000,000 | 10,020,331 | |
0.81% 10/24/24 (b) | 755,000 | 760,721 | |
3.124% 1/20/23 (b) | 20,000,000 | 20,477,162 | |
3.3% 1/11/23 | 1,445,000 | 1,525,880 | |
Bank of Montreal: | |||
3 month U.S. LIBOR + 0.400% 0.63% 9/10/21 (b)(c) | 5,000,000 | 5,009,986 | |
3 month U.S. LIBOR + 0.460% 0.6845% 4/13/21 (b)(c) | 960,000 | 960,558 | |
3 month U.S. LIBOR + 0.570% 0.821% 3/26/22 (b)(c) | 5,000,000 | 5,030,651 | |
Bank of Nova Scotia 0.8% 6/15/23 | 7,000,000 | 7,067,925 | |
Banque Federative du Credit Mutuel SA: | |||
0.65% 2/27/24 (a) | 860,000 | 859,840 | |
1.96% 7/21/21 (a) | 5,000,000 | 5,030,708 | |
2.125% 11/21/22 (a) | 1,415,000 | 1,458,700 | |
2.5% 4/13/21 (a) | 5,000,000 | 5,012,952 | |
Barclays Bank PLC 1.7% 5/12/22 | 1,790,000 | 1,817,241 | |
Barclays PLC 4.61% 2/15/23 (b) | 10,000,000 | 10,381,796 | |
BBVA U.S.A. 3 month U.S. LIBOR + 0.730% 0.9506% 6/11/21 (b)(c) | 11,700,000 | 11,714,414 | |
BNP Paribas SA: | |||
3 month U.S. LIBOR + 0.390% 0.5826% 8/7/21 (a)(b)(c) | 5,000,000 | 5,007,514 | |
3.5% 3/1/23 (a) | 10,000,000 | 10,595,777 | |
BPCE SA: | |||
3 month U.S. LIBOR + 0.300% 0.5338% 1/14/22 (a)(b)(c) | 5,000,000 | 5,011,637 | |
3 month U.S. LIBOR + 1.220% 1.4024% 5/22/22 (a)(b)(c) | 1,605,000 | 1,623,730 | |
5.7% 10/22/23 (a) | 1,960,000 | 2,201,117 | |
Canadian Imperial Bank of Commerce 0.95% 6/23/23 | 7,200,000 | 7,282,548 | |
Capital One Bank NA 2.014% 1/27/23 (b) | 7,000,000 | 7,101,701 | |
Capital One NA 2.15% 9/6/22 | 1,370,000 | 1,405,550 | |
Citibank NA 3 month U.S. LIBOR + 0.600% 0.7824% 5/20/22 (b)(c) | 8,000,000 | 8,009,856 | |
Citigroup, Inc.: | |||
3 month U.S. LIBOR + 1.190% 1.3919% 8/2/21 (b)(c) | 9,500,000 | 9,545,714 | |
3 month U.S. LIBOR + 1.380% 1.6201% 3/30/21 (b)(c) | 10,000,000 | 10,011,528 | |
2.312% 11/4/22 (b) | 16,290,000 | 16,488,869 | |
2.9% 12/8/21 | 1,495,000 | 1,522,365 | |
Credit Agricole SA 3 month U.S. LIBOR + 1.020% 1.2378% 4/24/23 (a)(b)(c) | 675,000 | 685,815 | |
Credit Suisse Group Funding Guernsey Ltd.: | |||
3 month U.S. LIBOR + 2.290% 2.5134% 4/16/21 (b)(c) | 6,250,000 | 6,267,564 | |
3.45% 4/16/21 | 15,000,000 | 15,056,700 | |
Danske Bank A/S: | |||
1.226% 6/22/24 (a) | 1,610,000 | 1,631,142 | |
3.001% 9/20/22 (a)(b) | 1,475,000 | 1,493,451 | |
5% 1/12/22 (a) | 1,050,000 | 1,089,719 | |
Fifth Third Bancorp 1.625% 5/5/23 | 10,625,000 | 10,892,086 | |
First Niagara Financial Group, Inc. 7.25% 12/15/21 | 515,000 | 542,408 | |
HSBC Holdings PLC: | |||
1.645% 4/18/26 (b) | 850,000 | 859,567 | |
2.099% 6/4/26 (b) | 1,840,000 | 1,897,144 | |
3.262% 3/13/23 (b) | 3,300,000 | 3,397,776 | |
3.803% 3/11/25 (b) | 425,000 | 461,409 | |
ING Groep NV 3 month U.S. LIBOR + 1.150% 1.401% 3/29/22 (b)(c) | 735,000 | 743,063 | |
JPMorgan Chase & Co.: | |||
3 month U.S. LIBOR + 1.100% 1.3254% 6/7/21 (b)(c) | 11,083,000 | 11,105,049 | |
2.083% 4/22/26 (b) | 1,870,000 | 1,941,817 | |
2.776% 4/25/23 (b) | 5,200,000 | 5,340,582 | |
3.514% 6/18/22 (b) | 5,000,000 | 5,047,389 | |
KeyBank NA: | |||
3 month U.S. LIBOR + 0.660% 0.865% 2/1/22 (b)(c) | 8,128,000 | 8,172,655 | |
U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.340% 0.37% 1/3/24 (b)(c) | 6,000,000 | 6,011,187 | |
Lloyds Bank PLC: | |||
3 month U.S. LIBOR + 0.490% 0.6826% 5/7/21 (b)(c) | 9,000,000 | 9,007,470 | |
3.3% 5/7/21 | 2,649,000 | 2,663,728 | |
Lloyds Banking Group PLC: | |||
1.326% 6/15/23 (b) | 1,803,000 | 1,821,497 | |
3% 1/11/22 | 5,000,000 | 5,114,207 | |
4.5% 11/4/24 | 480,000 | 536,401 | |
Mitsubishi UFJ Financial Group, Inc.: | |||
3 month U.S. LIBOR + 0.650% 0.8653% 7/26/21 (b)(c) | 6,519,000 | 6,534,988 | |
3 month U.S. LIBOR + 0.700% 0.9254% 3/7/22 (b)(c) | 10,000,000 | 10,062,273 | |
3 month U.S. LIBOR + 0.740% 0.9676% 3/2/23 (b)(c) | 1,623,000 | 1,638,484 | |
3 month U.S. LIBOR + 0.920% 1.1024% 2/22/22 (b)(c) | 840,000 | 846,816 | |
2.998% 2/22/22 | 5,000,000 | 5,130,324 | |
3.218% 3/7/22 | 1,090,000 | 1,121,780 | |
Mizuho Financial Group, Inc.: | |||
3 month U.S. LIBOR + 0.940% 1.1298% 2/28/22 (b)(c) | 5,000,000 | 5,042,772 | |
3 month U.S. LIBOR + 1.140% 1.3595% 9/13/21 (b)(c) | 17,000,000 | 17,098,668 | |
National Bank of Canada 0.9% 8/15/23 (b) | 7,000,000 | 7,051,075 | |
NatWest Markets PLC 2.375% 5/21/23 (a) | 1,525,000 | 1,587,742 | |
Nordea Bank ABP 4.875% 5/13/21 (a) | 710,000 | 716,241 | |
PNC Bank NA: | |||
1.743% 2/24/23 (b) | 4,078,000 | 4,131,870 | |
2.028% 12/9/22 (b) | 7,000,000 | 7,092,295 | |
QNB Finance Ltd.: | |||
2.625% 5/12/25 (Reg. S) | 500,000 | 521,406 | |
3.5% 3/28/24 (Reg. S) | 1,000,000 | 1,068,125 | |
Rabobank Nederland 3.95% 11/9/22 | 1,370,000 | 1,446,949 | |
Rabobank Nederland New York Branch 3 month U.S. LIBOR + 0.830% 1.0548% 1/10/22 (b)(c) | 5,000,000 | 5,036,832 | |
Royal Bank of Canada U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.450% 0.4929% 10/26/23 (b)(c) | 15,000,000 | 15,075,199 | |
Royal Bank of Scotland Group PLC: | |||
3.875% 9/12/23 | 1,085,000 | 1,171,009 | |
6% 12/19/23 | 635,000 | 720,379 | |
Santander Holdings U.S.A., Inc. 4.45% 12/3/21 | 7,000,000 | 7,191,918 | |
Societe Generale 2.625% 10/16/24 (a) | 365,000 | 384,346 | |
Standard Chartered PLC: | |||
3 month U.S. LIBOR + 1.150% 1.374% 1/20/23 (a)(b)(c) | 910,000 | 919,918 | |
0.991% 1/12/25 (a)(b) | 375,000 | 374,587 | |
1.319% 10/14/23 (a)(b) | 200,000 | 201,832 | |
2.744% 9/10/22 (a)(b) | 1,495,000 | 1,511,597 | |
3.885% 3/15/24 (a)(b) | 365,000 | 387,533 | |
3.95% 1/11/23 (a) | 405,000 | 425,931 | |
Sumitomo Mitsui Financial Group, Inc.: | |||
3 month U.S. LIBOR + 1.140% 1.3634% 10/19/21 (b)(c) | 6,500,000 | 6,545,362 | |
3 month U.S. LIBOR + 1.680% 1.9104% 3/9/21 (b)(c) | 3,000,000 | 3,001,038 | |
2.934% 3/9/21 | 10,000,000 | 10,005,385 | |
Swedbank AB: | |||
0.6% 9/25/23 (a) | 500,000 | 500,960 | |
1.3% 6/2/23 (a) | 1,150,000 | 1,171,382 | |
Synchrony Bank 3% 6/15/22 | 10,395,000 | 10,703,665 | |
Synovus Bank 2.289% 2/10/23 (b) | 1,237,000 | 1,251,499 | |
The Toronto-Dominion Bank: | |||
3 month U.S. LIBOR + 0.530% 0.7554% 12/1/22 (b)(c) | 5,000,000 | 5,037,800 | |
U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.480% 0.5222% 1/27/23 (b)(c) | 5,000,000 | 5,026,650 | |
0.25% 1/6/23 | 4,000,000 | 3,996,756 | |
0.75% 6/12/23 | 5,000,000 | 5,047,784 | |
U.S. Bancorp 3% 3/15/22 | 1,530,000 | 1,570,226 | |
Wells Fargo & Co.: | |||
1.654% 6/2/24 (b) | 5,935,000 | 6,083,489 | |
2.188% 4/30/26 (b) | 840,000 | 874,792 | |
3.5% 3/8/22 | 123,000 | 127,061 | |
Wells Fargo Bank NA 2.082% 9/9/22 (b) | 1,105,000 | 1,115,191 | |
Zions Bancorp NA 3.5% 8/27/21 | 5,000,000 | 5,075,975 | |
465,514,368 | |||
Capital Markets - 2.7% | |||
Credit Suisse AG: | |||
U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.450% 0.4892% 2/4/22 (b)(c) | 5,310,000 | 5,322,797 | |
0.495% 2/2/24 | 810,000 | 809,535 | |
1% 5/5/23 | 6,590,000 | 6,677,290 | |
2.1% 11/12/21 | 8,156,000 | 8,260,657 | |
2.8% 4/8/22 | 2,340,000 | 2,404,476 | |
Credit Suisse Group AG 3.574% 1/9/23 (a) | 650,000 | 666,893 | |
Deutsche Bank AG New York Branch: | |||
3.3% 11/16/22 | 7,072,000 | 7,373,741 | |
3.375% 5/12/21 | 125,000 | 125,656 | |
4.25% 10/14/21 | 1,260,000 | 1,287,825 | |
5% 2/14/22 | 10,000,000 | 10,404,800 | |
E*TRADE Financial Corp. 2.95% 8/24/22 | 2,362,000 | 2,445,404 | |
Goldman Sachs Group, Inc.: | |||
3 month U.S. LIBOR + 1.360% 1.5778% 4/23/21 (b)(c) | 10,000,000 | 10,008,006 | |
U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.540% 0.5757% 11/17/23 (b)(c) | 10,000,000 | 10,036,155 | |
2.876% 10/31/22 (b) | 520,000 | 528,413 | |
2.905% 7/24/23 (b) | 10,000,000 | 10,336,906 | |
3% 4/26/22 | 1,505,000 | 1,510,884 | |
3.5% 4/1/25 | 1,005,000 | 1,099,168 | |
5.75% 1/24/22 | 1,800,000 | 1,887,573 | |
Morgan Stanley: | |||
3 month U.S. LIBOR + 0.930% 1.1524% 7/22/22 (b)(c) | 4,040,000 | 4,053,368 | |
U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.700% 0.742% 1/20/23 (b)(c) | 5,000,000 | 5,020,187 | |
U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.830% 0.8929% 6/10/22 (b)(c) | 5,000,000 | 5,008,800 | |
0.529% 1/25/24 (b) | 3,994,000 | 3,996,035 | |
0.56% 11/10/23 (b) | 6,170,000 | 6,178,575 | |
2.625% 11/17/21 | 15,989,000 | 16,255,050 | |
2.75% 5/19/22 | 1,095,000 | 1,127,338 | |
5.5% 7/28/21 | 10,000,000 | 10,209,493 | |
NASDAQ, Inc. 0.445% 12/21/22 | 2,417,000 | 2,418,028 | |
State Street Corp. 2.825% 3/30/23 (b) | 603,000 | 619,787 | |
TD Ameritrade Holding Corp. 3 month U.S. LIBOR + 0.430% 0.635% 11/1/21 (b)(c) | 7,500,000 | 7,516,891 | |
UBS AG London Branch: | |||
U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.360% 0.3957% 2/9/24 (a)(b)(c) | 10,000,000 | 10,025,800 | |
1.75% 4/21/22 (a) | 7,525,000 | 7,644,991 | |
UBS Group AG: | |||
3 month U.S. LIBOR + 1.220% 1.3953% 5/23/23 (a)(b)(c) | 880,000 | 891,035 | |
3 month U.S. LIBOR + 1.780% 2.0138% 4/14/21 (a)(b)(c) | 5,000,000 | 5,010,870 | |
1.008% 7/30/24 (a)(b) | 7,118,000 | 7,178,658 | |
174,341,085 | |||
Consumer Finance - 1.2% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
3.95% 2/1/22 | 1,070,000 | 1,098,700 | |
4.125% 7/3/23 | 210,000 | 223,374 | |
4.45% 12/16/21 | 1,395,000 | 1,431,640 | |
4.5% 9/15/23 | 1,095,000 | 1,182,386 | |
4.875% 1/16/24 | 490,000 | 534,798 | |
American Express Co.: | |||
3 month U.S. LIBOR + 0.600% 0.7951% 11/5/21 (b)(c) | 6,750,000 | 6,772,134 | |
2.65% 12/2/22 | 9,500,000 | 9,884,700 | |
2.75% 5/20/22 | 5,000,000 | 5,139,715 | |
3.375% 5/17/21 | 1,500,000 | 1,505,768 | |
Capital One Financial Corp.: | |||
3.2% 1/30/23 | 8,016,000 | 8,420,306 | |
3.5% 6/15/23 | 555,000 | 593,223 | |
3.9% 1/29/24 | 505,000 | 549,332 | |
Ford Motor Credit Co. LLC: | |||
3.47% 4/5/21 | 415,000 | 415,656 | |
3.813% 10/12/21 | 495,000 | 500,858 | |
5.875% 8/2/21 | 290,000 | 294,988 | |
Hyundai Capital America: | |||
0.8% 1/8/24 (a) | 660,000 | 655,771 | |
2.375% 2/10/23 (a) | 1,925,000 | 1,985,274 | |
2.45% 6/15/21 (a) | 755,000 | 759,437 | |
2.85% 11/1/22 (a) | 511,000 | 528,469 | |
3% 6/20/22 (a) | 1,060,000 | 1,092,088 | |
3.95% 2/1/22 (a) | 1,315,000 | 1,354,492 | |
John Deere Capital Corp.: | |||
3 month U.S. LIBOR + 0.240% 0.4595% 3/12/21 (b)(c) | 5,000,000 | 5,000,468 | |
3 month U.S. LIBOR + 0.260% 0.49% 9/10/21 (b)(c) | 5,000,000 | 5,006,292 | |
PACCAR Financial Corp. 0.8% 6/8/23 | 445,000 | 449,325 | |
Synchrony Financial: | |||
2.85% 7/25/22 | 3,473,000 | 3,577,615 | |
4.25% 8/15/24 | 895,000 | 982,643 | |
Toyota Motor Credit Corp.: | |||
U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.300% 0.33% 6/13/22 (b)(c) | 5,450,000 | 5,462,044 | |
0.45% 7/22/22 | 7,207,000 | 7,230,445 | |
1.15% 5/26/22 | 5,000,000 | 5,054,992 | |
77,686,933 | |||
Diversified Financial Services - 0.3% | |||
AIG Global Funding: | |||
3 month U.S. LIBOR + 0.460% 0.711% 6/25/21 (a)(b)(c) | 4,293,000 | 4,299,187 | |
2.3% 7/1/22 (a) | 1,528,000 | 1,567,770 | |
3.35% 6/25/21 (a) | 770,000 | 777,654 | |
Athene Global Funding 0.95% 1/8/24 (a) | 3,469,000 | 3,475,753 | |
BP Capital Markets America, Inc.: | |||
2.937% 4/6/23 | 700,000 | 737,540 | |
4.742% 3/11/21 | 5,000,000 | 5,005,312 | |
Brixmor Operating Partnership LP 3.25% 9/15/23 | 1,355,000 | 1,434,836 | |
CNH Industrial Capital LLC 3.875% 10/15/21 | 1,325,000 | 1,352,146 | |
Park Aerospace Holdings Ltd.: | |||
4.5% 3/15/23 (a) | 435,000 | 454,765 | |
5.25% 8/15/22 (a) | 880,000 | 919,725 | |
20,024,688 | |||
Insurance - 1.2% | |||
AIA Group Ltd. 3 month U.S. LIBOR + 0.520% 0.7586% 9/20/21 (a)(b)(c) | 6,046,000 | 6,042,010 | |
American International Group, Inc.: | |||
2.5% 6/30/25 | 1,000,000 | 1,057,219 | |
4.875% 6/1/22 | 675,000 | 712,472 | |
Aon Corp. 2.2% 11/15/22 | 1,592,000 | 1,641,844 | |
Equitable Financial Life Global Funding 0.5% 11/17/23 (a) | 5,000,000 | 5,004,950 | |
Lincoln National Corp. 4% 9/1/23 | 270,000 | 293,093 | |
MassMutual Global Funding II 0.85% 6/9/23 (a) | 10,000,000 | 10,111,143 | |
Metropolitan Life Global Funding I: | |||
U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.570% 0.6204% 1/13/23 (a)(b)(c) | 6,940,000 | 6,985,387 | |
0.9% 6/8/23 (a) | 4,918,000 | 4,973,549 | |
Metropolitan Tower Global Funding: | |||
U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.550% 0.5981% 1/17/23 (a)(b)(c) | 5,000,000 | 5,033,082 | |
0.55% 7/13/22 (a) | 6,000,000 | 6,022,668�� | |
New York Life Global Funding: | |||
3 month U.S. LIBOR + 0.280% 0.5048% 1/10/23 (a)(b)(c) | 6,945,000 | 6,961,859 | |
3 month U.S. LIBOR + 0.320% 0.5126% 8/6/21 (a)(b)(c) | 4,942,000 | 4,948,339 | |
U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.220% 0.28% 2/2/23 (a)(b)(c) | 10,000,000 | 10,004,200 | |
1.1% 5/5/23 (a) | 725,000 | 736,320 | |
Protective Life Global Funding 3 month U.S. LIBOR + 0.520% 0.771% 6/28/21 (a)(b)(c) | 2,000,000 | 2,003,375 | |
Trinity Acquisition PLC 3.5% 9/15/21 | 650,000 | 658,201 | |
73,189,711 | |||
Thrifts & Mortgage Finance - 0.0% | |||
Crown Castle Towers LLC/Crown Atlantic Holdings Sub LLC/Crown Communication, Inc. 3.72% 7/15/43 (a) | 370,000 | 385,600 | |
Nationwide Building Society: | |||
3.622% 4/26/23 (a)(b) | 1,035,000 | 1,070,585 | |
3.766% 3/8/24 (a)(b) | 500,000 | 530,617 | |
1,986,802 | |||
TOTAL FINANCIALS | 812,743,587 | ||
HEALTH CARE - 1.4% | |||
Biotechnology - 0.4% | |||
AbbVie, Inc.: | |||
3 month U.S. LIBOR + 0.650% 0.8324% 11/21/22 (b)(c) | 7,100,000 | 7,155,590 | |
2.15% 11/19/21 | 11,244,000 | 11,384,275 | |
2.3% 5/14/21 | 850,000 | 851,904 | |
2.6% 11/21/24 | 3,500,000 | 3,721,336 | |
3.2% 11/6/22 | 170,000 | 177,170 | |
3.25% 10/1/22 | 850,000 | 881,442 | |
3.45% 3/15/22 | 615,000 | 631,299 | |
Baxalta, Inc. 3.6% 6/23/22 | 265,000 | 274,817 | |
Gilead Sciences, Inc. 0.75% 9/29/23 | 2,070,000 | 2,074,812 | |
Nutrition & Biosciences, Inc. 0.697% 9/15/22 (a) | 582,000 | 584,498 | |
27,737,143 | |||
Health Care Equipment & Supplies - 0.1% | |||
Becton, Dickinson & Co.: | |||
2.894% 6/6/22 | 5,464,000 | 5,621,465 | |
3.363% 6/6/24 | 1,215,000 | 1,312,245 | |
3.734% 12/15/24 | 285,000 | 313,427 | |
Stryker Corp. 0.6% 12/1/23 | 325,000 | 325,414 | |
7,572,551 | |||
Health Care Providers & Services - 0.3% | |||
Anthem, Inc. 2.375% 1/15/25 | 410,000 | 431,660 | |
Cardinal Health, Inc.: | |||
2.616% 6/15/22 | 115,000 | 117,918 | |
3.079% 6/15/24 | 695,000 | 742,513 | |
3.2% 3/15/23 | 875,000 | 921,085 | |
3.5% 11/15/24 | 1,180,000 | 1,282,094 | |
Cigna Corp.: | |||
3% 7/15/23 | 715,000 | 754,900 | |
3.75% 7/15/23 | 738,000 | 794,090 | |
3.9% 2/15/22 | 585,000 | 604,356 | |
CommonSpirit Health 1.547% 10/1/25 | 670,000 | 678,055 | |
CVS Health Corp.: | |||
2.625% 8/15/24 | 335,000 | 356,228 | |
3.35% 3/9/21 | 10,000,000 | 10,005,600 | |
3.7% 3/9/23 | 369,000 | 392,605 | |
Humana, Inc.: | |||
2.9% 12/15/22 | 160,000 | 166,248 | |
3.15% 12/1/22 | 315,000 | 327,562 | |
3.85% 10/1/24 | 610,000 | 669,757 | |
4.5% 4/1/25 | 1,205,000 | 1,363,289 | |
PeaceHealth Obligated Group 1.375% 11/15/25 | 190,000 | 191,843 | |
19,799,803 | |||
Life Sciences Tools & Services - 0.0% | |||
Thermo Fisher Scientific, Inc. 4.133% 3/25/25 | 385,000 | 430,814 | |
Pharmaceuticals - 0.6% | |||
Bayer U.S. Finance II LLC 3 month U.S. LIBOR + 0.630% 0.881% 6/25/21 (a)(b)(c) | 17,180,000 | 17,204,122 | |
Bristol-Myers Squibb Co.: | |||
2.75% 2/15/23 | 605,000 | 632,542 | |
3.25% 2/20/23 | 185,000 | 195,308 | |
3.55% 8/15/22 | 600,000 | 628,019 | |
EMD Finance LLC 2.95% 3/19/22 (a) | 430,000 | 439,882 | |
Perrigo Finance PLC 3.9% 12/15/24 | 3,245,000 | 3,553,743 | |
Royalty Pharma PLC 0.75% 9/2/23 (a) | 870,000 | 872,551 | |
Shire Acquisitions Investments Ireland DAC 2.875% 9/23/23 | 115,000 | 121,427 | |
Viatris, Inc. 1.125% 6/22/22 (a) | 1,153,000 | 1,163,051 | |
Zoetis, Inc. 3 month U.S. LIBOR + 0.440% 0.6224% 8/20/21 (b)(c) | 10,000,000 | 10,018,731 | |
34,829,376 | |||
TOTAL HEALTH CARE | 90,369,687 | ||
INDUSTRIALS - 1.2% | |||
Aerospace & Defense - 0.1% | |||
The Boeing Co. 1.167% 2/4/23 | 2,790,000 | 2,801,812 | |
Air Freight & Logistics - 0.0% | |||
FedEx Corp. 3.8% 5/15/25 | 570,000 | 630,079 | |
Airlines - 0.0% | |||
American Airlines 2017-2 Class B Pass Through Trust equipment trust certificate 3.7% 4/15/27 | 582,843 | 531,077 | |
United Airlines 2019-2 Class B Pass Through Trust equipment trust certificate 3.5% 11/1/29 | 391,954 | 375,459 | |
906,536 | |||
Building Products - 0.0% | |||
Carrier Global Corp. 2.242% 2/15/25 | 1,860,000 | 1,940,491 | |
Commercial Services & Supplies - 0.0% | |||
Republic Services, Inc. 2.5% 8/15/24 | 880,000 | 932,709 | |
Construction & Engineering - 0.0% | |||
Yongda Investment Ltd. 2.25% 6/16/25 (Reg. S) | 1,384,000 | 1,387,276 | |
Electrical Equipment - 0.0% | |||
Shanghai Electric Group Global Investment Ltd. 2.65% 11/21/24 | 900,000 | 936,696 | |
Industrial Conglomerates - 0.2% | |||
General Electric Co. 3.45% 5/15/24 | 530,000 | 572,001 | |
Honeywell International, Inc. 3 month U.S. LIBOR + 0.370% 0.5626% 8/8/22 (b)(c) | 9,078,000 | 9,117,980 | |
Roper Technologies, Inc.: | |||
0.45% 8/15/22 | 706,000 | 707,113 | |
1% 9/15/25 | 235,000 | 233,483 | |
2.35% 9/15/24 | 365,000 | 385,250 | |
3.125% 11/15/22 | 1,505,000 | 1,564,400 | |
3.65% 9/15/23 | 270,000 | 291,195 | |
12,871,422 | |||
Machinery - 0.4% | |||
Caterpillar Financial Services Corp.: | |||
3 month U.S. LIBOR + 0.200% 0.4009% 11/12/21 (b)(c) | 5,000,000 | 5,005,940 | |
3 month U.S. LIBOR + 0.220% 0.4573% 1/6/22 (b)(c) | 3,019,000 | 3,024,027 | |
3 month U.S. LIBOR + 0.280% 0.5054% 9/7/21 (b)(c) | 6,190,000 | 6,198,620 | |
0.25% 3/1/23 | 10,000,000 | 9,988,845 | |
Otis Worldwide Corp. 3 month U.S. LIBOR + 0.450% 0.6884% 4/5/23 (b)(c) | 3,299,000 | 3,299,935 | |
27,517,367 | |||
Professional Services - 0.1% | |||
Equifax, Inc.: | |||
3 month U.S. LIBOR + 0.870% 1.0638% 8/15/21 (b)(c) | 610,000 | 611,922 | |
2.3% 6/1/21 | 975,000 | 978,183 | |
3.95% 6/15/23 | 1,090,000 | 1,172,110 | |
2,762,215 | |||
Road & Rail - 0.2% | |||
Aviation Capital Group LLC: | |||
3 month U.S. LIBOR + 0.670% 0.8815% 7/30/21 (a)(b)(c) | 1,427,000 | 1,425,425 | |
3 month U.S. LIBOR + 0.950% 1.1754% 6/1/21 (a)(b)(c) | 4,307,000 | 4,303,865 | |
Eastern Creation II Investment Holdings Ltd. 1% 9/10/23 (Reg. S) | 1,670,000 | 1,664,164 | |
Guangzhou Metro Investment Finance (BVI) Ltd. 1.507% 9/17/25 (Reg. S) | 1,300,000 | 1,273,398 | |
SMBC Aviation Capital Finance: | |||
3.55% 4/15/24 (a) | 325,000 | 346,164 | |
4.125% 7/15/23 (a) | 200,000 | 213,769 | |
9,226,785 | |||
Trading Companies & Distributors - 0.1% | |||
Air Lease Corp.: | |||
2.25% 1/15/23 | 810,000 | 831,537 | |
2.5% 3/1/21 | 275,000 | 275,000 | |
3.5% 1/15/22 | 5,560,000 | 5,706,459 | |
GATX Corp. 3.9% 3/30/23 | 545,000 | 578,010 | |
7,391,006 | |||
Transportation Infrastructure - 0.1% | |||
Avolon Holdings Funding Ltd.: | |||
2.125% 2/21/26 (a) | 1,035,000 | 997,853 | |
2.875% 2/15/25 (a) | 980,000 | 985,852 | |
3.625% 5/1/22 (a) | 1,560,000 | 1,589,131 | |
3.95% 7/1/24 (a) | 265,000 | 277,505 | |
Heathrow Funding Ltd. 4.875% 7/15/23 (a) | 1,340,000 | 1,360,567 | |
HPHT Finance 17 Ltd. 2.75% 9/11/22 (Reg. S) | 1,235,000 | 1,263,874 | |
6,474,782 | |||
TOTAL INDUSTRIALS | 75,779,176 | ||
INFORMATION TECHNOLOGY - 0.5% | |||
Electronic Equipment & Components - 0.0% | |||
Amphenol Corp. 2.05% 3/1/25 | 910,000 | 946,207 | |
Avnet, Inc. 3.75% 12/1/21 | 905,000 | 925,131 | |
1,871,338 | |||
IT Services - 0.3% | |||
Fidelity National Information Services, Inc.: | |||
0.375% 3/1/23 | 1,160,000 | 1,159,530 | |
0.6% 3/1/24 | 555,000 | 554,419 | |
Global Payments, Inc. 2.65% 2/15/25 | 800,000 | 845,750 | |
IBM Corp. 2.85% 5/13/22 | 10,000,000 | 10,311,840 | |
PayPal Holdings, Inc. 1.35% 6/1/23 | 2,224,000 | 2,269,385 | |
The Western Union Co.: | |||
2.85% 1/10/25 | 1,280,000 | 1,356,119 | |
3.6% 3/15/22 | 840,000 | 864,728 | |
17,361,771 | |||
Semiconductors & Semiconductor Equipment - 0.2% | |||
Analog Devices, Inc. 2.95% 4/1/25 | 295,000 | 317,432 | |
Microchip Technology, Inc.: | |||
0.972% 2/15/24 (a) | 1,165,000 | 1,169,200 | |
2.67% 9/1/23 (a) | 1,110,000 | 1,161,799 | |
3.922% 6/1/21 | 2,185,000 | 2,204,225 | |
Micron Technology, Inc.: | |||
2.497% 4/24/23 | 2,585,000 | 2,692,692 | |
4.64% 2/6/24 | 690,000 | 761,797 | |
NXP BV/NXP Funding LLC: | |||
3.875% 9/1/22 (a) | 1,355,000 | 1,418,786 | |
4.625% 6/1/23 (a) | 1,175,000 | 1,278,625 | |
4.875% 3/1/24 (a) | 195,000 | 217,568 | |
NXP BV/NXP Funding LLC/NXP U.S.A., Inc. 2.7% 5/1/25 (a) | 205,000 | 216,781 | |
11,438,905 | |||
Software - 0.0% | |||
Fortinet, Inc. 1% 3/15/26 | 675,000 | 669,147 | |
TOTAL INFORMATION TECHNOLOGY | 31,341,161 | ||
MATERIALS - 0.1% | |||
Chemicals - 0.0% | |||
LYB International Finance III LLC 1.25% 10/1/25 | 705,000 | 704,536 | |
Syngenta Finance NV 3.933% 4/23/21 (a) | 735,000 | 736,838 | |
1,441,374 | |||
Construction Materials - 0.0% | |||
Boral Finance Pty Ltd. 3% 11/1/22 (a) | 135,000 | 138,729 | |
Vulcan Materials Co. 3 month U.S. LIBOR + 0.650% 0.8754% 3/1/21 (b)(c) | 1,620,000 | 1,620,000 | |
1,758,729 | |||
Metals & Mining - 0.1% | |||
Nucor Corp. 2% 6/1/25 | 350,000 | 362,572 | |
POSCO 2.375% 1/17/23 (a) | 1,870,000 | 1,923,789 | |
2,286,361 | |||
TOTAL MATERIALS | 5,486,464 | ||
REAL ESTATE - 0.1% | |||
Equity Real Estate Investment Trusts (REITs) - 0.1% | |||
American Campus Communities Operating Partnership LP 3.75% 4/15/23 | 910,000 | 966,733 | |
Crown Castle International Corp.: | |||
1.05% 7/15/26 | 1,005,000 | 983,611 | |
5.25% 1/15/23 | 500,000 | 542,384 | |
Highwoods/Forsyth LP 3.625% 1/15/23 | 1,620,000 | 1,686,785 | |
Simon Property Group LP: | |||
2% 9/13/24 | 380,000 | 395,417 | |
3.375% 10/1/24 | 985,000 | 1,067,042 | |
Ventas Realty LP 3.1% 1/15/23 | 180,000 | 188,853 | |
5,830,825 | |||
UTILITIES - 1.4% | |||
Electric Utilities - 0.9% | |||
American Electric Power Co., Inc. 3.65% 12/1/21 | 180,000 | 184,500 | |
Duke Energy Corp.: | |||
3 month U.S. LIBOR + 0.500% 0.6976% 5/14/21 (a)(b)(c) | 7,000,000 | 7,006,582 | |
3.55% 9/15/21 | 330,000 | 333,071 | |
Edison International: | |||
2.95% 3/15/23 | 455,000 | 472,342 | |
3.125% 11/15/22 | 650,000 | 674,517 | |
ENEL Finance International NV: | |||
2.65% 9/10/24 (a) | 200,000 | 211,664 | |
2.75% 4/6/23 (a) | 605,000 | 632,026 | |
2.875% 5/25/22 (a) | 1,660,000 | 1,707,713 | |
4.25% 9/14/23 (a) | 1,305,000 | 1,421,844 | |
FirstEnergy Corp. 3.35% 7/15/22 (b) | 885,000 | 902,700 | |
Florida Power & Light Co. 3 month U.S. LIBOR + 0.380% 0.5985% 7/28/23 (b)(c) | 5,358,000 | 5,358,225 | |
Israel Electric Corp. Ltd. 5% 11/12/24 (Reg. S) (a) | 1,365,000 | 1,534,055 | |
NextEra Energy Capital Holdings, Inc.: | |||
3 month U.S. LIBOR + 0.270% 0.4524% 2/22/23 (b)(c) | 10,000,000 | 10,003,500 | |
2.403% 9/1/21 | 11,475,000 | 11,598,477 | |
NRG Energy, Inc. 3.75% 6/15/24 (a) | 535,000 | 579,119 | |
Pacific Gas & Electric Co.: | |||
3 month U.S. LIBOR + 1.370% 1.5726% 11/15/21 (b)(c) | 1,755,000 | 1,759,287 | |
1.75% 6/16/22 | 3,430,000 | 3,439,191 | |
PNM Resources, Inc. 3.25% 3/9/21 | 995,000 | 995,521 | |
PPL Electric Utilities Corp. 0.250% x 3 month U.S. LIBOR 0.501% 9/28/23 (b)(c) | 1,780,000 | 1,781,644 | |
Sinosing Services Pte Ltd. 2.25% 2/20/25 (Reg. S) | 2,200,000 | 2,222,521 | |
Southern California Edison Co. 3 month U.S. LIBOR + 0.270% 0.5005% 12/3/21 (b)(c) | 2,687,000 | 2,689,061 | |
Southern Co. 0.6% 2/26/24 | 2,230,000 | 2,227,317 | |
Vistra Operations Co. LLC 3.55% 7/15/24 (a) | 3,025,000 | 3,252,880 | |
60,987,757 | |||
Gas Utilities - 0.1% | |||
CenterPoint Energy Resources Corp. 0% 3/2/23 | 3,494,000 | 3,494,000 | |
Southern California Gas Co. 3 month U.S. LIBOR + 0.350% 0.5695% 9/14/23 (b)(c) | 902,000 | 902,192 | |
4,396,192 | |||
Independent Power and Renewable Electricity Producers - 0.0% | |||
Hero Asia Investment Ltd. 1.5% 11/18/23 (Reg. S) | 1,650,000 | 1,653,036 | |
The AES Corp. 3.3% 7/15/25 (a) | 820,000 | 879,174 | |
2,532,210 | |||
Multi-Utilities - 0.4% | |||
Consolidated Edison Co. of New York, Inc. 3 month U.S. LIBOR + 0.400% 0.651% 6/25/21 (b)(c) | 11,500,000 | 11,514,184 | |
Dominion Energy, Inc.: | |||
3 month U.S. LIBOR + 0.530% 0.7465% 9/15/23 (b)(c) | 2,327,000 | 2,331,982 | |
2.715% 8/15/21 | 3,153,000 | 3,185,988 | |
DTE Energy Co. 0.55% 11/1/22 | 5,000,000 | 5,010,367 | |
San Diego Gas & Electric Co. 1.914% 2/1/22 | 68,575 | 68,800 | |
Sempra Energy 2.875% 10/1/22 | 535,000 | 551,980 | |
22,663,301 | |||
TOTAL UTILITIES | 90,579,460 | ||
TOTAL NONCONVERTIBLE BONDS | |||
(Cost $1,378,772,314) | 1,393,067,888 | ||
U.S. Government and Government Agency Obligations - 2.7% | |||
U.S. Government Agency Obligations - 0.3% | |||
Fannie Mae U.S. SECURED OVERNIGHT FINL RATE (SOFR) INDX + 0.180% 0.21% 7/8/22 (b)(c) | 20,000,000 | 20,036,362 | |
U.S. Treasury Obligations - 2.4% | |||
U.S. Treasury Notes: | |||
0.125% 4/30/22 | $7,520,000 | $7,521,175 | |
0.125% 9/30/22 | 12,080,000 | 12,080,944 | |
0.125% 10/31/22 | 13,245,000 | 13,245,000 | |
0.125% 11/30/22 | 16,210,000 | 16,210,000 | |
0.125% 1/31/23 | 36,250,000 | 36,245,752 | |
0.125% 5/15/23 | 3,315,000 | 3,312,022 | |
0.125% 7/15/23 | 1,805,000 | 1,802,532 | |
0.375% 3/31/22 | 30,000,000 | 30,082,031 | |
1.75% 6/15/22 | 810,000 | 827,149 | |
2.125% 5/15/22 | 14,690,000 | 15,048,069 | |
2.25% 4/15/22 (d) | 17,695,000 | 18,120,786 | |
TOTAL U.S. TREASURY OBLIGATIONS | 154,495,460 | ||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $173,714,740) | 174,531,822 | ||
U.S. Government Agency - Mortgage Securities - 0.3% | |||
Fannie Mae - 0.2% | |||
12 month U.S. LIBOR + 1.590% 2.043% 12/1/35 (b)(c) | 5,476 | 5,747 | |
12 month U.S. LIBOR + 1.610% 2.375% 7/1/35 (b)(c) | 4,412 | 4,630 | |
12 month U.S. LIBOR + 1.650% 2.62% 8/1/37 (b)(c) | 1,611 | 1,698 | |
12 month U.S. LIBOR + 1.690% 2.775% 5/1/38 (b)(c) | 22,278 | 23,457 | |
12 month U.S. LIBOR + 1.780% 3.788% 5/1/38 (b)(c) | 7,808 | 8,153 | |
12 month U.S. LIBOR + 1.830% 3.615% 4/1/38 (b)(c) | 14,602 | 15,331 | |
12 month U.S. LIBOR + 1.850% 2.694% 8/1/38 (b)(c) | 7,993 | 8,453 | |
12 month U.S. LIBOR + 1.860% 3.64% 5/1/38 (b)(c) | 12,035 | 12,625 | |
12 month U.S. LIBOR + 2.040% 2.458% 12/1/36 (b)(c) | 1,984 | 2,099 | |
6 month U.S. LIBOR + 1.360% 2.041% 10/1/33 (b)(c) | 30,616 | 31,631 | |
2% 3/1/36 to 1/1/51 (e) | 1,439,223 | 1,486,843 | |
2.5% 11/1/50 | 260,991 | 271,133 | |
3% 9/1/28 to 7/1/50 | 2,605,520 | 2,769,985 | |
3.5% 11/1/26 to 7/1/50 | 410,188 | 437,756 | |
4% 1/1/47 to 12/1/49 | 658,181 | 713,023 | |
4.5% 8/1/24 to 1/1/50 | 3,171,680 | 3,460,856 | |
5% 10/1/21 to 7/1/45 | 1,320,832 | 1,496,910 | |
5.5% 5/1/22 to 5/1/40 | 1,737,867 | 2,011,149 | |
6% to 6% 1/1/22 to 2/1/49 | 1,642,756 | 1,940,847 | |
6.5% 7/1/32 to 12/1/32 | 77,983 | 90,794 | |
TOTAL FANNIE MAE | 14,793,120 | ||
Freddie Mac - 0.0% | |||
12 month U.S. LIBOR + 1.590% 2.216% 9/1/35 (b)(c) | 2,859 | 3,001 | |
12 month U.S. LIBOR + 1.620% 2.504% 7/1/38 (b)(c) | 22,912 | 24,058 | |
12 month U.S. LIBOR + 1.620% 2.752% 6/1/38 (b)(c) | 15,999 | 16,829 | |
12 month U.S. LIBOR + 1.700% 3.234% 5/1/38 (b)(c) | 7,774 | 8,195 | |
12 month U.S. LIBOR + 1.720% 2.72% 7/1/35 (b)(c) | 7,914 | 8,337 | |
12 month U.S. LIBOR + 1.730% 2.108% 2/1/37 (b)(c) | 3,154 | 3,322 | |
12 month U.S. LIBOR + 1.730% 2.109% 2/1/37 (b)(c) | 4,333 | 4,564 | |
12 month U.S. LIBOR + 1.730% 2.792% 10/1/36 (b)(c) | 20,486 | 21,610 | |
12 month U.S. LIBOR + 1.770% 3.343% 5/1/37 (b)(c) | 4,557 | 4,815 | |
12 month U.S. LIBOR + 1.920% 2.314% 12/1/36 (b)(c) | 5,139 | 5,416 | |
12 month U.S. LIBOR + 2.020% 2.448% 11/1/36 (b)(c) | 2,888 | 3,043 | |
12 month U.S. LIBOR + 2.080% 3.662% 2/1/38 (b)(c) | 17,539 | 18,460 | |
12 month U.S. LIBOR + 2.190% 2.897% 2/1/37 (b)(c) | 6,470 | 6,810 | |
U.S. TREASURY 1 YEAR INDEX + 2.340% 2.472% 11/1/34 (b)(c) | 10,331 | 10,876 | |
3% 11/1/34 | 376,826 | 406,776 | |
4% 12/1/49 | 248,836 | 271,714 | |
4.5% 5/1/50 | 312,396 | 341,151 | |
5% 10/1/22 to 12/1/41 | 542,787 | 615,822 | |
5.5% 11/1/21 to 10/1/38 | 12,542 | 13,356 | |
6% 7/1/21 to 1/1/38 | 106,073 | 124,398 | |
7% 3/1/39 | 152,600 | 180,485 | |
7.5% 6/1/38 | 152,828 | 178,708 | |
TOTAL FREDDIE MAC | 2,271,746 | ||
Freddie Mac STACR REMIC Trust - 0.0% | |||
UNITED STATES 30 DAY AVERAGE S + 0.650% 0.6947% 1/25/51 (a)(b)(c) | 380,000 | 380,000 | |
Ginnie Mae - 0.1% | |||
6% 7/15/36 | 188,710 | 219,124 | |
4% 3/20/48 to 6/20/50 | 1,328,759 | 1,439,306 | |
4.5% 9/20/40 to 8/20/47 | 450,777 | 495,432 | |
5% 12/20/34 to 5/20/48 | 1,113,912 | 1,244,571 | |
5.5% 9/15/45 to 2/20/49 | 822,090 | 929,273 | |
TOTAL GINNIE MAE | 4,327,706 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $21,118,932) | 21,772,572 | ||
Asset-Backed Securities - 6.3% | |||
Ally Auto Receivables Trust: | |||
Series 2019-3 Class A4, 1.96% 12/16/24 | $600,000 | $617,974 | |
Series 2019-4 Class A2, 1.93% 10/17/22 | 670,672 | 671,904 | |
American Express Credit Account Master Trust Series 2019-3 Class B, 2.2% 4/15/25 | 740,000 | 760,030 | |
AmeriCredit Automobile Receivables Trust: | |||
Series 2016-3 Class D, 2.71% 9/8/22 | 704,754 | 705,023 | |
Series 2017-1: | |||
Class C, 2.71% 8/18/22 | 104,969 | 105,602 | |
Class D, 3.13% 1/18/23 | 1,330,000 | 1,351,866 | |
Series 2017-3: | |||
Class B, 2.24% 6/19/23 | 22,253 | 22,279 | |
Class C, 2.69% 6/19/23 | 420,000 | 424,487 | |
Class D, 3.18% 7/18/23 | 1,355,000 | 1,393,283 | |
Series 2018-1 Class D, 3.82% 3/18/24 | 1,645,000 | 1,725,787 | |
Series 2019-3 Class B, 2.13% 7/18/25 | 985,000 | 1,010,759 | |
Series 2020-1: | |||
Class C, 1.59% 10/20/25 | 705,000 | 717,540 | |
Class D, 1.8% 12/18/25 | 690,000 | 704,971 | |
Series 2020-3 Class C, 1.06% 8/18/26 | 420,000 | 424,634 | |
Applebee's/IHOP Funding LLC Series 2019-1A Class A2I, 4.194% 6/7/49 (a) | 1,436,400 | 1,477,625 | |
Ares LVII CLO Ltd. / Ares LVII CLO LLC Series 2020-57A Class A, 3 month U.S. LIBOR + 1.320% 1.564% 10/25/31 (a)(b)(c) | 895,000 | 898,303 | |
ARI Fleet Lease Trust Series 2020-A Class B, 2.06% 11/15/28 (a) | 770,000 | 788,984 | |
Avis Budget Rental Car Funding (AESOP) LLC: | |||
Series 2016-1A Class A, 2.99% 6/20/22 (a) | 406,667 | 408,750 | |
Series 2017-1A Class B, 3.41% 9/20/23 (a) | 540,000 | 556,774 | |
Series 2017-2A Class A, 2.97% 3/20/24 (a) | 905,000 | 945,454 | |
Series 2018-2A Class C, 4.95% 3/20/25 (a) | 430,000 | 464,723 | |
Series 2019-1A Class B, 3.7% 3/20/23 (a) | 245,000 | 250,471 | |
Series 2019-2A Class A, 3.35% 9/22/25 (a) | 650,000 | 702,692 | |
Series 2020-1A Class A, 2.33% 8/20/26 (a) | 540,000 | 563,600 | |
Babson CLO Ltd. Series 2013-IA Class AR, 3 month U.S. LIBOR + 0.800% 1.024% 1/20/28 (a)(b)(c) | 956,110 | 956,002 | |
Bank of America Credit Card Master Trust Series 2020-A1 Class A1, 0.34% 5/15/26 | 4,768,000 | 4,752,966 | |
Bank of The West Auto Trust Series 2019-1 Class A2, 2.4% 10/17/22 (a) | 93,983 | 94,133 | |
Bayview Opportunity Master Fund Trust: | |||
Series 2017-RT3 Class A, 3.5% 1/28/58 (a)(b) | 875,931 | 885,928 | |
Series 2017-SPL4 Class A, 3.5% 1/28/55 (a) | 256,393 | 263,220 | |
Bayview Opportunity Master Funding Trust Series 2017-SPL5 Class A, 3.5% 6/28/57 (a) | 755,094 | 773,313 | |
BlueMountain CLO Ltd. Series 2015-2A Class A1R, 3 month U.S. LIBOR + 0.930% 1.1534% 7/18/27 (a)(b)(c) | 949,430 | 950,337 | |
BMW Floorplan Master Owner Trust Series 2018-1 Class A2, 1 month U.S. LIBOR + 0.320% 0.4274% 5/15/23 (a)(b)(c) | 6,174,000 | 6,177,153 | |
BMW Vehicle Owner Trust Series 2020-A Class A2, 0.39% 2/27/23 | 4,313,481 | 4,317,363 | |
BRE Grand Islander Timeshare Issuer Series 2019-A Class A, 3.28% 9/26/33 (a) | 242,124 | 254,024 | |
Capital Auto Receivables Asset Trust: | |||
Series 2017-1: | |||
Class B, 2.43% 5/20/22 (a) | 123,558 | 123,875 | |
Class C, 2.7% 9/20/22 (a) | 235,000 | 237,111 | |
Series 2018-1 Class B, 3.09% 8/22/22 (a) | 760,000 | 768,022 | |
Series 2018-2: | |||
Class B, 3.48% 10/20/23 (a) | 327,629 | 328,811 | |
Class C, 3.69% 12/20/23 (a) | 460,000 | 465,384 | |
Carlyle Global Market Strategies Series 2015-3A Class A1R, 3 month U.S. LIBOR + 1.000% 1.2185% 7/28/28 (a)(b)(c) | 492,844 | 492,677 | |
CarMax Auto Owner Trust: | |||
Series 2017-4 Class C, 2.7% 10/16/23 | 205,000 | 208,425 | |
Series 2019-2 Class B, 3.01% 12/16/24 | 1,935,000 | 2,030,533 | |
Series 2019-4 Class A2A, 2.01% 3/15/23 | 519,324 | 522,127 | |
Series 2020-1 Class A2, 1.87% 4/17/23 | 1,970,482 | 1,982,249 | |
Series 2020-3 Class A2A, 0.49% 6/15/23 | 7,701,423 | 7,711,681 | |
Series 2020-4: | |||
Class A2, 0.31% 1/16/24 | 7,423,000 | 7,428,043 | |
Class D, 1.75% 4/15/27 | 540,000 | 542,908 | |
Series 2021-1 Class A3, 0.34% 12/15/25 | 2,373,000 | 2,369,122 | |
Cayuga Park CLO, Ltd. Series 2020-1A, Class A, 3 month U.S. LIBOR + 1.600% 1.8234% 7/17/31 (a)(b)(c) | 1,020,000 | 1,022,351 | |
Chesapeake Funding II LLC: | |||
Series 2017-4A Class A2, 1 month U.S. LIBOR + 0.310% 0.4174% 11/15/29 (a)(b)(c) | 494,228 | 494,312 | |
Series 2018-3A Class A2, 1 month U.S. LIBOR + 0.480% 0.5874% 1/15/31 (a)(b)(c) | 1,354,277 | 1,355,377 | |
Series 2019-1A Class A1, 2.94% 4/15/31 (a) | 1,986,677 | 2,014,286 | |
Series 2020-1A Class A1, 0.87% 8/16/32 (a) | 3,353,708 | 3,380,426 | |
CIFC Funding Ltd./CIFC Funding LLC Series 2020-1A Class A1, 3 month U.S. LIBOR + 1.700% 1.9413% 7/15/32 (a)(b)(c) | 1,480,000 | 1,483,629 | |
CIM Trust Series 2020-INV1 Class A2, 2.5% 4/25/50 (a) | 425,724 | 436,559 | |
CNH Equipment Trust: | |||
Series 2018-A Class B, 3.47% 10/15/25 | 380,000 | 391,028 | |
Series 2019-C Class A2, 1.99% 3/15/23 | 463,434 | 465,588 | |
Series 2020-A Class A4, 1.51% 4/15/27 | 590,000 | 600,334 | |
Cole Park CLO Ltd. Series 2015-1A Class AR, 3 month U.S. LIBOR + 1.050% 1.274% 10/20/28 (a)(b)(c) | 960,322 | 960,341 | |
Daimler Trucks Retail Trust Series 2020-1 Class A4, 1.37% 6/15/27 | 1,820,000 | 1,836,576 | |
Dell Equipment Finance Trust: | |||
Series 2019-2: | |||
Class A2, 1.95% 12/22/21 (a) | 1,663,741 | 1,671,909 | |
Class A3, 1.91% 10/22/24 (a) | 1,714,000 | 1,736,263 | |
Series 2020-2: | |||
Class A2, 0.47% 10/24/22 (a) | 1,568,000 | 1,570,015 | |
Class A3, 0.57% 10/23/23 (a) | 1,915,000 | 1,920,912 | |
DLL Securitization Trust: | |||
Series 2019-MA2 Class A2, 2.27% 5/20/22 (a) | 144,659 | 144,851 | |
Series 2019-MT3: | |||
Class A2, 2.13% 1/20/22 (a) | 1,055,558 | 1,058,337 | |
Class A3, 2.08% 2/21/23 (a) | 1,639,000 | 1,658,919 | |
Dryden CLO, Ltd. / Dryden CLO, LLC Series 2020-86A Class A, 3 month U.S. LIBOR + 1.650% 1.8734% 7/17/30 (a)(b)(c) | 1,220,000 | 1,222,741 | |
DT Auto Owner Trust: | |||
Series 2019-3A Class A, 2.55% 8/15/22 (a) | 11,791 | 11,806 | |
Series 2019-4A Class A, 2.17% 5/15/23 (a) | 739,926 | 742,377 | |
Elara HGV Timeshare Issuer LLC: | |||
Series 2014-A Class A, 2.53% 2/25/27 (a) | 26,895 | 26,917 | |
Series 2017-A Class A, 2.69% 3/25/30 (a) | 628,763 | 647,995 | |
Ellington Financial Mortgage Trust Series 2019-2 Class A1, 2.739% 11/25/59 (a) | 443,519 | 451,792 | |
Enterprise Fleet Financing LLC: | |||
Series 2018-1 Class A2, 2.87% 10/20/23 (a) | 21,110 | 21,191 | |
Series 2018-2 Class A2, 3.14% 2/20/24 (a) | 165,769 | 166,437 | |
Series 2019-1 Class A2, 2.98% 10/20/24 (a) | 1,535,573 | 1,554,893 | |
Series 2019-3 Class A2, 2.06% 5/20/25 (a) | 641,693 | 651,764 | |
Series 2020-1 Class A2, 1.78% 12/22/25 (a) | 6,481,374 | 6,583,112 | |
Series 2020-2 Class A2, 0.61% 7/20/26 (a) | 3,960,000 | 3,972,265 | |
Enterprise Fleet Financing, LLC Series 2021-1 Class A2, 0.44% 12/21/26 (a) | 1,410,000 | 1,409,509 | |
Ford Credit Auto Lease Trust: | |||
Series 2019-B Class A2A, 2.28% 2/15/22 | 8,556 | 8,565 | |
Series 2020-A Class A2, 1.8% 7/15/22 | 3,988,832 | 4,003,116 | |
Series 2020-B Class A3, 0.62% 8/15/23 | 4,531,000 | 4,549,089 | |
Ford Credit Auto Owner Trust Series 2020-2 Class C, 1.74% 4/15/33 (a) | 570,000 | 580,906 | |
Ford Credit Floorplan Master Owner Trust Series 2020-1 Class A1, 0.7% 9/15/25 | 5,274,000 | 5,303,803 | |
Freddie Mac STACR REMIC Trust Series 2020-DNA5 Class M1, UNITED STATES 30 DAY AVERAGE S + 1.300% 1.3447% 10/25/50 (a)(b)(c) | 169,143 | 169,382 | |
GM Financial Automobile Leasing Trust: | |||
Series 2019-1 Class C, 3.56% 12/20/22 | 835,000 | 846,083 | |
Series 2020-1 Class A2A, 1.67% 4/20/22 | 6,004,775 | 6,028,563 | |
Series 2020-2 Class C, 2.56% 7/22/24 | 445,000 | 461,061 | |
Series 2020-3 Class A2A, 0.35% 11/21/22 | 10,000,000 | 10,007,639 | |
GM Financial Consumer Automobile Receivables Trust: | |||
Series 2020-1 Class A2, 1.83% 1/17/23 | 1,305,335 | 1,308,729 | |
Series 2020-2 Class A3, 1.49% 12/16/24 | 335,000 | 340,275 | |
Series 2020-3 Class A2, 0.35% 7/17/23 | 4,140,427 | 4,143,734 | |
Series 2020-4: | |||
Class A2, 0.26% 11/16/23 | 9,590,000 | 9,592,416 | |
Class C, 1.05% 5/18/26 | 420,000 | 419,917 | |
GM Financial Securitized Auto Receivables Trust Series 2017-3A Class C, 2.52% 3/16/23 (a) | 245,000 | 247,250 | |
GMF Floorplan Owner Revolving Trust: | |||
Series 2018-2 Class A2, 3.13% 3/15/23 (a) | 2,500,000 | 2,503,396 | |
Series 2019-1 Class A, 2.7% 4/15/24 (a) | 710,000 | 729,650 | |
Series 2020-1 Class A, 0.68% 8/15/25 (a) | 1,480,000 | 1,487,903 | |
Series 2020-2 Class A, 0.69% 10/15/25 (a) | 3,238,000 | 3,253,024 | |
Golub Capital Partners CLO 39B LLC Series 2018-39A Class A1, 3 month U.S. LIBOR + 1.150% 1.374% 10/20/28 (a)(b)(c) | 669,045 | 669,384 | |
Hilton Grand Vacations Trust: | |||
Series 2017-AA: | |||
Class A, 2.66% 12/26/28 (a) | 196,414 | 201,709 | |
Class B, 2.96% 12/26/28 (a) | 250,110 | 254,974 | |
Series 2020-AA Class A, 2.74% 2/25/39 (a) | 514,453 | 535,930 | |
HPEFS Equipment Trust: | |||
Series 2020-1A Class A2, 1.73% 2/20/30 (a) | 2,656,395 | 2,672,792 | |
Series 2020-2A Class A2, 0.65% 7/22/30 (a) | 5,822,502 | 5,832,104 | |
Hyundai Auto Lease Securitization Trust: | |||
Series 2020-A: | |||
Class A2, 1.9% 5/16/22 (a) | 2,937,215 | 2,948,392 | |
Class A3, 1.95% 7/17/23 (a) | 2,740,000 | 2,778,189 | |
Series 2021-A Class A2, 0.25% 4/17/23 (a) | 8,587,000 | 8,587,757 | |
Hyundai Auto Receivables Trust: | |||
Series 2017-A Class B, 2.38% 4/17/23 | 340,000 | 340,749 | |
Series 2019-A Class B, 2.94% 5/15/25 | 635,000 | 662,634 | |
Series 2020-A Class A3, 1.41% 11/15/24 | 735,000 | 749,133 | |
Series 2020-C Class A2, 0.26% 9/15/23 | 8,398,000 | 8,400,478 | |
John Deere Owner Trust: | |||
Series 2019-B Class A2, 2.28% 5/16/22 | 55,642 | 55,702 | |
Series 2020-A Class A2, 1.01% 1/17/23 | 1,677,869 | 1,682,734 | |
Series 2020-B Class A2, 0.41% 3/15/23 | 8,467,019 | 8,471,239 | |
KKR CLO Ltd. / KKR CLO LLC Series 2021-29A Class A, 3 month U.S. LIBOR + 1.200% 0% 1/15/32 (a)(b)(c) | 1,250,000 | 1,250,375 | |
KKR Finanical CLO Ltd. Series 13 Class A1R, 3 month U.S. LIBOR + 0.800% 1.0234% 1/16/28 (a)(b)(c) | 1,338,195 | 1,334,000 | |
KKR Industrial Portfolio Trust Series 2021-KDIP Class C, 1 month U.S. LIBOR + 1.000% 1.1123% 12/15/37 (a)(b)(c) | 365,000 | 365,000 | |
Kubota Credit Owner Trust Series 2020-1A Class A3, 1.96% 3/15/24 (a) | 380,000 | 389,051 | |
Lanark Master Issuer PLC Series 2020-1A Class 1A, 2.277% 12/22/69 (a)(b) | 1,768,000 | 1,813,289 | |
Madison Park Funding Ltd. Series 2015-18A Class A1R, 3 month U.S. LIBOR + 1.190% 1.4136% 10/21/30 (a)(b)(c) | 1,165,000 | 1,166,104 | |
Magnetite XVI, Ltd. / Magnetite XVI, LLC Series 2015-16A Class AR, 3 month U.S. LIBOR + 0.800% 1.0234% 1/18/28 (a)(b)(c) | 1,997,797 | 1,990,971 | |
Mercedes-Benz Auto Lease Trust: | |||
Series 2019-A Class A3, 3.1% 11/15/21 | 605,921 | 607,842 | |
Series 2019-B Class A3, 2% 10/17/22 | 8,016,000 | 8,098,489 | |
Series 2020-A Class A2, 1.82% 3/15/22 | 2,771,442 | 2,779,162 | |
Series 2020-B Class A2, 0.31% 2/15/23 | 5,200,000 | 5,202,359 | |
Mercedes-Benz Auto Receivables Trust Series 2020-1 Class A2, 0.46% 3/15/23 | 5,028,776 | 5,034,566 | |
MFRA Trust Series 2021-INV1 Class A1, 0.852% 1/25/56 (a)(b) | 623,357 | 620,452 | |
MMAF Equipment Finance LLC Series 2019-B Class A2, 2.07% 10/12/22 (a) | 1,588,688 | 1,601,122 | |
MVW Owner Trust: | |||
Series 2014-1A Class A, 2.25% 9/22/31 (a) | 62,996 | 63,179 | |
Series 2015-1A Class A, 2.52% 12/20/32 (a) | 155,571 | 156,489 | |
Series 2017-1A: | |||
Class A, 2.42% 12/20/34 (a) | 476,738 | 487,856 | |
Class B, 2.75% 12/20/34 (a) | 28,043 | 28,652 | |
Class C, 2.99% 12/20/34 (a) | 67,304 | 68,412 | |
Navient Private Education Loan Trust: | |||
Series 2019-D Class A2A, 3.01% 12/15/59 (a) | 518,784 | 543,701 | |
Series 2020-A Class A2A, 2.46% 11/15/68 (a) | 840,000 | 873,412 | |
Series 2020-CA Class A2A, 2.15% 11/15/68 (a) | 2,610,000 | 2,692,108 | |
Series 2020-IA Class A1A, 1.33% 4/15/69 (a) | 745,209 | 741,124 | |
Navient Private Education Refi Loan Trust: | |||
Series 2019-A Class A2A, 3.42% 1/15/43 (a) | 2,299,939 | 2,403,849 | |
Series 2019-GA Class A, 2.4% 10/15/68 (a) | 638,396 | 656,649 | |
Series 2020-DA Class A, 1.69% 5/15/69 (a) | 928,464 | 941,062 | |
Navient Student Loan Trust: | |||
Series 2017-3A Class A2, 1 month U.S. LIBOR + 0.600% 0.7176% 7/26/66 (a)(b)(c) | 4,582,586 | 4,584,565 | |
Series 2017-A Class A2A, 2.88% 12/16/58 (a) | 1,278,013 | 1,299,576 | |
Series 2019-2A Class A1, 1 month U.S. LIBOR + 0.270% 0.3876% 2/27/68 (a)(b)(c) | 156,397 | 156,388 | |
Series 2019-CA Class A1, 2.82% 2/15/68 (a) | 18,725 | 18,739 | |
Series 2019-EA: | |||
Class A1, 2.39% 5/15/68 (a) | 127,217 | 127,501 | |
Class A2A, 2.64% 5/15/68 (a) | 1,560,000 | 1,598,855 | |
Nelnet Student Loan Trust: | |||
Series 2005-4 Class A4, 3 month U.S. LIBOR + 0.180% 0.4158% 3/22/32 (b)(c) | 673,125 | 649,610 | |
Series 2020-1A Class A, 1 month U.S. LIBOR + 0.740% 0.8576% 3/26/68 (a)(b)(c) | 370,572 | 369,680 | |
Neuberger Berman CLO Ltd. Series 2017-16SA Class A, 3 month U.S. LIBOR + 0.850% 1.0913% 1/15/28 (a)(b)(c) | 741,708 | 741,050 | |
Neuberger Berman CLO XIX Ltd. Series 2015-19A Class A1R2, 3 month U.S. LIBOR + 0.800% 1.0413% 7/15/27 (a)(b)(c) | 266,928 | 266,200 | |
Neuberger Berman Loan Advisers CLO 32 Ltd. Series 2021-32A Class AR, 3 month U.S. LIBOR + 0.990% 0% 1/19/32 (a)(b)(c) | 1,570,000 | 1,570,000 | |
Neuberger Berman Loan Advisers CLO 40, Ltd. / Neuberger Berman Loan Advisers CLO 40 LLC Series 2021-40A Class A, 3 month U.S. LIBOR + 1.060% 0% 4/16/33 (a)(b)(c)(e) | 455,000 | 455,139 | |
New Residential Mortgage Loan Trust Series 2019-NQM3: | |||
Class A1, 2.8018% 7/25/49 (a) | 706,497 | 710,759 | |
Class A3, 3.0864% 7/25/49 (a) | 390,725 | 391,535 | |
Nissan Auto Receivables Trust Series 2020-A Class A3, 1.38% 12/16/24 | 425,000 | 432,197 | |
Nissan Master Owner Trust Receivables Series 2019-A Class A, 1 month U.S. LIBOR + 0.560% 0.6674% 2/15/24 (b)(c) | 1,350,000 | 1,356,310 | |
OCP CLO Ltd. Series 2014-7A Class A1RR, 3 month U.S. LIBOR + 1.120% 1.344% 7/20/29 (a)(b)(c) | 2,530,000 | 2,533,696 | |
OZLM Ltd. Series 2014-8A Class RR, 3 month U.S. LIBOR + 1.170% 1.3934% 10/17/29 (a)(b)(c) | 610,198 | 611,042 | |
Palmer Square CLO Ltd. / Palmer Square CLO LLC Series 2020-2A Class A1A, 3 month U.S. LIBOR + 1.700% 1.9413% 7/15/31 (a)(b)(c) | 860,000 | 862,031 | |
Reese Park CLO Ltd. / Reese Park CLO LLC Series 2020-1A Class A1, 3 month U.S. LIBOR + 1.320% 1.5605% 10/15/32 (a)(b)(c) | 830,000 | 831,361 | |
Santander Consumer Auto Receivables Trust Series 2021-AA Class A2, 0.23% 11/15/23 (a) | 7,768,000 | 7,764,938 | |
Santander Drive Auto Receivables Trust: | |||
Series 2018-1 Class C, 2.96% 3/15/24 | 50,554 | 50,718 | |
Series 2018-2 Class C, 3.35% 7/17/23 | 157,773 | 158,813 | |
Series 2019-1 Class B, 3.21% 9/15/23 | 55,532 | 55,620 | |
Series 2019-2 Class B, 2.79% 1/16/24 | 508,139 | 511,523 | |
Series 2020-4 Class C, 1.01% 1/15/26 | 675,000 | 681,585 | |
Santander Retail Auto Lease Trust: | |||
Series 2019-A Class B, 3.01% 5/22/23 (a) | 700,000 | 715,456 | |
Series 2019-B: | |||
Class A2A, 2.29% 4/20/22 (a) | 1,812,487 | 1,819,015 | |
Class C, 2.77% 8/21/23 (a) | 690,000 | 709,045 | |
Series 2019-C: | |||
Class A2A, 1.89% 9/20/22 (a) | 2,597,107 | 2,612,657 | |
Class B, 2.17% 11/20/23 (a) | 495,000 | 507,676 | |
Class C, 2.39% 11/20/23 (a) | 830,000 | 850,361 | |
Class D, 2.88% 6/20/24 (a) | 870,000 | 898,682 | |
Series 2020-A: | |||
Class A2, 1.69% 1/20/23 (a) | 7,451,137 | 7,523,275 | |
Class D, 2.52% 11/20/24 (a) | 720,000 | 743,707 | |
Series 2020-B Class A2, 0.42% 11/20/23 (a) | 8,856,000 | 8,869,950 | |
SBA Tower Trust: | |||
Series 2019, 2.836% 1/15/50 (a) | 990,000 | 1,048,151 | |
1.884% 7/15/50 (a) | 365,000 | 376,462 | |
3.168% 4/9/47 (a) | 1,255,000 | 1,258,700 | |
SG Residential Mortgage Trust Series 2019-3 Class A2, 2.877% 9/25/59 (a) | 824,192 | 823,333 | |
Sierra Receivables Funding Co. LLC: | |||
Series 2016-2A Class A, 2.33% 7/20/33 (a) | 52,232 | 52,277 | |
Series 2019-1A Class A, 3.2% 1/20/36 (a) | 223,107 | 231,438 | |
Series 2019-2A Class A, 2.59% 5/20/36 (a) | 1,400,424 | 1,443,575 | |
Sierra Timeshare Receivables Funding Co. LLC Series 2017-1A Class A, 2.91% 3/20/34 (a) | 317,168 | 322,412 | |
Sierra Timeshare Receivables Funding LLC: | |||
Series 2019-3A Class A, 2.34% 8/20/36 (a) | 347,263 | 354,265 | |
Series 2020-2A Class C, 3.51% 7/20/37 (a) | 475,516 | 491,922 | |
SLM Student Loan Trust: | |||
Series 2003-10A Class A3, 3 month U.S. LIBOR + 0.470% 0.6865% 12/15/27 (a)(b)(c) | 1,849,969 | 1,850,165 | |
Series 2003-11 Class A6, 3 month U.S. LIBOR + 0.550% 0.7665% 12/15/25 (a)(b)(c) | 1,139,690 | 1,139,551 | |
Series 2007-7 Class A4, 3 month U.S. LIBOR + 0.330% 0.5478% 1/25/22 (b)(c) | 550,737 | 536,042 | |
Series 2008-1 Class A4, 3 month U.S. LIBOR + 0.650% 0.8678% 1/25/22 (b)(c) | 1,294,708 | 1,254,807 | |
Series 2010-1 Class A, 1 month U.S. LIBOR + 0.400% 0.5176% 3/25/25 (b)(c) | 780,958 | 762,651 | |
SMB Private Education Loan Trust: | |||
Series 2014-A Class A3, 1 month U.S. LIBOR + 1.500% 1.6074% 4/15/32 (a)(b)(c) | 1,400,000 | 1,417,314 | |
Series 2015-A Class A2B, 1 month U.S. LIBOR + 1.000% 1.1074% 6/15/27 (a)(b)(c) | 126,566 | 126,969 | |
Series 2016-C Class A2B, 1 month U.S. LIBOR + 1.100% 1.2123% 9/15/34 (a)(b)(c) | 829,306 | 836,406 | |
Series 2018-B Class A2B, 1 month U.S. LIBOR + 0.720% 0.8323% 1/15/37 (a)(b)(c) | 1,514,085 | 1,520,287 | |
Series 2020-BA Class A1A, 1.29% 7/15/53 (a) | 504,284 | 505,760 | |
Series 2020-PTB Class A2A, 1.6% 9/15/54 (a) | 2,750,000 | 2,771,619 | |
SoFi Consumer Loan Program Trust Series 2019-4 Class A, 2.45% 8/25/28 (a) | 1,282,509 | 1,295,047 | |
Symphony CLO XXVI Ltd. / Symphony CLO XXVI LLC Series 2021-26A Class AR, 3 month U.S. LIBOR + 1.080% 1.08% 4/20/33 (a)(b)(c)(e) | 465,000 | 465,000 | |
Synchrony Credit Card Master Note Trust Series 2018-1 Class C, 3.36% 3/15/24 | 955,000 | 956,207 | |
Tesla Series 2020-A: | |||
Class A2, 0.55% 5/22/23 (a) | 1,893,159 | 1,897,305 | |
Class A3, 0.68% 12/20/23 (a) | 2,527,000 | 2,544,688 | |
Tesla Auto Lease Trust Series 2019-A Class A2, 2.13% 4/20/22 (a) | 3,992,579 | 4,024,475 | |
Towd Point Mortgage Trust: | |||
Series 2017-1 Class A1, 2.75% 10/25/56 (a)(b) | 396,514 | 403,673 | |
Series 2017-4 Class A1, 2.75% 6/25/57 (a) | 225,232 | 232,551 | |
Series 2019-1 Class A1, 3.7412% 3/25/58 (a)(b) | 858,197 | 913,414 | |
Toyota Auto Receivables Owner Trust Series 2020-C Class A3, 0.44% 10/15/24 | 9,912,000 | 9,944,685 | |
Verizon Owner Trust: | |||
Series 2018-1A: | |||
Class A1B, 1 month U.S. LIBOR + 0.260% 0.3711% 9/20/22 (a)(b)(c) | 704,992 | 705,180 | |
Class C, 3.2% 9/20/22 (a) | 970,000 | 978,859 | |
Series 2018-A: | |||
Class A1A, 3.23% 4/20/23 | 3,005,716 | 3,042,873 | |
Class A1B, 1 month U.S. LIBOR + 0.240% 0.3511% 4/20/23 (b)(c) | 2,342,725 | 2,344,146 | |
Series 2020-A Class A1A, 1.85% 7/22/24 | 4,951,000 | 5,059,343 | |
Volkswagen Auto Lease Trust: | |||
Series 2019-A: | |||
Class A2A, 2% 3/21/22 | 3,242,486 | 3,254,497 | |
Class A3, 1.99% 11/21/22 | 2,795,000 | 2,828,642 | |
Series 2020-A Class A2, 0.27% 4/20/23 | 10,000,000 | 10,001,753 | |
Volkswagen Auto Loan Enhanced Trust Series 2020-1 Class A4, 1.26% 8/20/26 | 545,000 | 555,350 | |
Volvo Financial Equipment LLC Series 2019-2A Class A3, 2.04% 11/15/23 (a) | 2,435,000 | 2,480,842 | |
Volvo Financial Equipment Master Owner Trust Series 2018-A Class A, 1 month U.S. LIBOR + 0.520% 0.6274% 7/17/23 (a)(b)(c) | 5,080,000 | 5,087,364 | |
World Omni Auto Receivables Trust: | |||
Series 2019-C Class C, 2.4% 6/15/26 | 895,000 | 926,876 | |
Series 2020-A: | |||
Class A2A, 1.02% 6/15/23 | 2,433,635 | 2,440,992 | |
Class C, 1.64% 8/17/26 | 480,000 | 489,158 | |
Series 2020-C Class A2, 0.35% 12/15/23 | 5,000,000 | 5,001,958 | |
World Omni Automobile Lease Securitization Trust: | |||
Series 2019-A Class A3, 2.94% 5/16/22 | 1,802,935 | 1,816,823 | |
Series 2019-B Class A3, 2.03% 11/15/22 | 2,615,000 | 2,653,049 | |
Series 2020-A Class A2, 1.71% 11/15/22 | 7,685,991 | 7,747,472 | |
Series 2020-B Class A2, 0.32% 9/15/23 | 4,525,096 | 4,526,790 | |
World Omni Select Auto Trust: | |||
Series 2019-A Class A2A, 2.06% 8/15/23 | 1,362,256 | 1,367,385 | |
Series 2020-A: | |||
Class B, 0.84% 6/15/26 | 510,000 | 510,357 | |
Class C, 1.25% 10/15/26 | 585,000 | 589,122 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $404,620,825) | 406,980,647 | ||
Collateralized Mortgage Obligations - 1.0% | |||
Private Sponsor - 0.8% | |||
Angel Oak Mortgage Trust: | |||
sequential payer: | |||
Series 2019-4 Class A3, 3.301% 7/26/49 (a) | 688,358 | 696,593 | |
Series 2020-6 Class A1, 1.261% 5/25/65 (a) | 672,548 | 672,982 | |
Series 2019-2 Class M1, 4.065% 3/25/49 (a) | 545,000 | 556,202 | |
Angel Oak Mortgage Trust LLC: | |||
sequential payer Series 2020-3 Class A1, 1.691% 4/25/65 (a) | 1,022,088 | 1,030,528 | |
Series 2020-3 Class A3, 2.872% 4/25/65 (a)(b) | 1,674,181 | 1,711,534 | |
Citigroup Mortgage Loan Trust Series 2020-EXP2 Class A3, 2.5% 8/25/50 (a) | 496,786 | 508,294 | |
COLT Funding LLC sequential payer Series 2019-2 Class A1, 3.337% 5/25/49 (a) | 216,864 | 218,081 | |
COLT Mortgage Loan Trust sequential payer Series 2020-3 Class A1, 1.506% 4/27/65 (a) | 419,644 | 419,191 | |
Deephaven Residential Mortgage Trust: | |||
sequential payer Series 2020-2 Class A1, 1.692% 5/25/65 (a) | 782,156 | 786,404 | |
Series 2017-1A Class A3, 3.485% 12/26/46 (a)(b) | 16,937 | 17,022 | |
Series 2017-3A: | |||
Class A1, 2.577% 10/25/47 (a)(b) | 91,978 | 92,725 | |
Class A2, 2.711% 10/25/47 (a)(b) | 7,665 | 7,682 | |
Class A3, 2.813% 10/25/47 (a)(b) | 7,300 | 7,289 | |
Series 2018-1A Class A1, 2.976% 12/25/57 (a)(b) | 131,349 | 132,168 | |
Series 2018-2A Class A1, 3.479% 4/25/58 (a) | 314,771 | 317,030 | |
Series 2018-3A Class A3, 3.963% 8/25/58 (a) | 34,681 | 34,860 | |
Series 2019-1A Class A1, 3.743% 1/25/59 (a) | 351,013 | 356,593 | |
Series 2019-2A: | |||
Class A3, 3.763% 4/25/59 (a) | 378,561 | 378,073 | |
Class M1, 3.921% 4/25/59 (a) | 380,000 | 379,914 | |
Series 2021-1 Class A2, 0.973% 5/25/65 (a) | 340,000 | 338,754 | |
Ellington Financial Mortgage Trust: | |||
Series 2019-2 Class A3, 3.046% 11/25/59 (a) | 284,888 | 289,807 | |
Series 2020-1 Class A1, 2.006% 5/25/65 (a) | 649,608 | 658,705 | |
Series 2021-1: | |||
Class A1, 0.797% 2/25/66 (a) | 330,000 | 329,878 | |
Class A3, 1.106% 2/25/66 (a) | 275,000 | 274,896 | |
Flagstar Mortgage Trust floater sequential payer Series 2020-1INV Class A11, 1 month U.S. LIBOR + 0.850% 0.9676% 3/25/50 (a)(b)(c) | 537,909 | 540,081 | |
Freddie Mac STACR REMIC Trust floater: | |||
Series 2020-DNA2 Class M1, 1 month U.S. LIBOR + 0.750% 0.8676% 2/25/50 (a)(b)(c) | 312,777 | 312,906 | |
Series 2020-DNA6 Class M1, UNITED STATES 30 DAY AVERAGE S + 0.900% 0.9447% 12/25/50 (a)(b)(c) | 360,000 | 360,549 | |
Series 2020-HQA1 Class M1, 1 month U.S. LIBOR + 0.750% 0.8676% 1/25/50 (a)(b)(c) | 56,132 | 56,146 | |
Series 2020-HQA2 Class M1, 1 month U.S. LIBOR + 1.100% 1.2176% 3/25/50 (a)(b)(c) | 516,157 | 516,819 | |
Series 2020-HQA3 Class M1, 1 month U.S. LIBOR + 1.550% 1.6676% 7/25/50 (a)(b)(c) | 81,879 | 81,935 | |
Series 2020-HQA4 Class M1, 1 month U.S. LIBOR + 1.300% 1.4176% 9/25/50 (a)(b)(c) | 517,173 | 517,474 | |
Series 2020-HQA5 Class M1, UNITED STATES 30 DAY AVERAGE S + 1.100% 1.1447% 11/25/50 (a)(b)(c) | 470,621 | 471,390 | |
Series 2021-HQA1 Class M1, UNITED STATES 30 DAY AVERAGE S + 0.700% 0.7503% 8/25/33 (a)(b)(c) | 1,250,000 | 1,250,000 | |
Freddie Mac STACR Trust floater: | |||
Series 2018-DNA2: | |||
Class M1, 1 month U.S. LIBOR + 0.800% 0.9176% 12/25/30 (a)(b)(c) | 232,179 | 232,224 | |
Class M2A/S, 1 month U.S. LIBOR + 0.950% 1.0676% 12/25/30 (a)(b)(c) | 450,000 | 449,623 | |
Series 2018-HRP2 Class M2, 1 month U.S. LIBOR + 1.250% 1.3676% 2/25/47 (a)(b)(c) | 466,141 | 467,078 | |
Series 2019-HRP1 Class M2, 1 month U.S. LIBOR + 1.400% 1.5176% 2/25/49 (a)(b)(c) | 628,406 | 627,786 | |
Series 2020-DNA3 Class M1, 1 month U.S. LIBOR + 1.500% 1.63% 6/25/50 (a)(b)(c) | 74,365 | 74,365 | |
FWD Securitization Trust sequential payer Series 2020-INV1 Class A1, 2.24% 1/25/50 (a) | 1,361,444 | 1,383,539 | |
Galton Funding Mortgage Trust: | |||
sequential payer: | |||
Series 2019-H1 Class M1, 3.339% 10/25/59 (a) | 600,000 | 610,218 | |
Series 2020-H1 Class M1, 2.832% 1/25/60 (a) | 625,000 | 631,599 | |
Series 2020-H1 Class A1, 2.31% 1/25/60 (a) | 1,394,421 | 1,419,035 | |
GMRF Mortgage Acquisition Co., LLC: | |||
Series 2018-1 Class A33, 3.5% 11/25/57 (a) | 291,991 | 296,611 | |
Series 2019-1 Class A32, 4% 2/25/59 (a) | 210,396 | 210,774 | |
Series 2019-2 Class A42, 3.5% 6/25/59 (a) | 333,911 | 332,852 | |
Gosforth Funding PLC floater Series 2018-1A Class A1, 3 month U.S. LIBOR + 0.450% 0.6375% 8/25/60 (a)(b)(c) | 840,980 | 841,824 | |
GS Mortgage-Backed Securites Trust Series 2014-EB1A Class 2A1, 2.0685% 7/25/44 (a)(b) | 19,978 | 19,903 | |
Homeward Opportunities Fund I Trust sequential payer: | |||
Series 2019-1: | |||
Class A1, 3.454% 1/25/59 (a) | 607,392 | 624,916 | |
Class A3, 3.606% 1/25/59 (a) | 554,975 | 560,660 | |
Series 2019-3 Class A1, 2.675% 11/25/59 (a) | 596,631 | 606,484 | |
Homeward Opportunities Fund Trust sequential payer Series 2020-2 Class A1, 1.657% 5/25/65 (a)(b) | 633,094 | 637,293 | |
J.P. Morgan Mortgage Trust: | |||
sequential payer Series 2020-LTV1 Class A4, 3.5% 6/25/50 (a) | 869,959 | 890,587 | |
Series 2020-INV1 Class A15, 3.5% 8/25/50 (a) | 495,251 | 513,166 | |
Lanark Master Issuer PLC floater Series 2019-1A Class 1A1, 3 month U.S. LIBOR + 0.770% 0.9524% 12/22/69 (a)(b)(c) | 846,033 | 848,026 | |
Metlife Securitization Trust Series 2017-1A Class A, 3% 4/25/55 (a) | 309,644 | 317,842 | |
Mill City Mortgage Loan Trust: | |||
Series 2016-1 Class A1, 2.5% 4/25/57 (a) | 51,518 | 52,097 | |
Series 2017-2 Class A1, 2.75% 7/25/59 (a) | 323,429 | 329,716 | |
New Residential Mortgage Loan Trust sequential payer: | |||
Series 2019-NQM5 Class A1, 2.7099% 11/25/59 (a) | 933,798 | 947,699 | |
Series 2020-NQM1 Class A1, 2.4641% 1/26/60 (a) | 542,345 | 551,283 | |
Series 2021-NQ1R Class A1, 0.9426% 7/25/55 (a) | 1,505,000 | 1,505,000 | |
OBX Trust: | |||
floater Series 2020-EXP1 Class 2A2, 1 month U.S. LIBOR + 0.950% 1.0676% 2/25/60 (a)(b)(c) | 717,177 | 718,281 | |
Series 2020-EXP1 Class 1A8, 3.5% 2/25/60 (a)(b) | 733,451 | 742,550 | |
Series 2020-EXP2: | |||
Class A8, 3% 5/25/60 (a) | 1,168,154 | 1,191,200 | |
Class A9, 3% 5/25/60 (a) | 287,373 | 290,928 | |
Series 2020-INV1 Class A5, 3.5% 12/25/49 (a) | 309,957 | 315,930 | |
Onslow Bay Financial LLC: | |||
floater Series 2019-EXP2 Class 2A2, 1 month U.S. LIBOR + 1.200% 1.3176% 6/25/59 (a)(b)(c) | 755,163 | 759,450 | |
floater sequential payer Series 2019-EXP2 Class 2A1A, 1 month U.S. LIBOR + 0.900% 1.0176% 6/25/59 (a)(b)(c) | 351,246 | 351,678 | |
Permanent Master Issuer PLC floater Series-1A Class 1A1, 3 month U.S. LIBOR + 0.550% 0.7913% 7/15/58 (a)(b)(c) | 896,000 | 897,059 | |
Sequoia Mortgage Trust: | |||
sequential payer: | |||
Series 2018-CH1 Class A11, 3.5% 2/25/48 (a) | 153,924 | 154,600 | |
Series 2018-CH2 Class A3, 4% 6/25/48 (a) | 530,603 | 541,551 | |
Series 2018-CH2 Class A21, 4% 6/25/48 (a) | 236,775 | 242,276 | |
Series 2018-CH3 Class A19, 4.5% 8/25/48 (a) | 123,520 | 127,038 | |
Series 2018-CH4 Class A2, 4% 10/25/48 (a) | 178,338 | 181,425 | |
Silverstone Master Issuer PLC floater Series 2019-1A Class 1A, 3 month U.S. LIBOR + 0.570% 0.7936% 1/21/70 (a)(b)(c) | 3,184,525 | 3,191,343 | |
Starvest Emerging Markets Cbo sequential payer Series 2019-IMC1 Class A1, 3.468% 2/25/49 (a) | 298,464 | 301,907 | |
Starwood Mortgage Residential Trust: | |||
sequential payer Series 2019-INV1: | |||
Class A1, 2.61% 9/27/49 (a) | 115,125 | 116,550 | |
Class A3, 2.916% 9/27/49 (a) | 388,376 | 396,298 | |
Series 2019-1: | |||
Class A1, 2.941% 6/25/49 (a) | 546,976 | 557,101 | |
Class A3, 3.299% 6/25/49 (a) | 555,402 | 557,015 | |
Series 2020-1 Class A2, 2.408% 2/25/50 (a) | 467,069 | 470,534 | |
Towd Point Mortgage Trust: | |||
Series 2015-4 Class A1B, 2.75% 4/25/55 (a) | 42,356 | 42,395 | |
Series 2015-5 Class A1B, 2.75% 5/25/55 (a) | 78,602 | 79,171 | |
Series 2016-1: | |||
Class A1B, 2.75% 2/25/55 (a) | 59,648 | 60,055 | |
Class A3B, 3% 2/25/55 (a) | 125,776 | 128,193 | |
Series 2016-2 Class A1A, 2.75% 8/25/55 (a) | 121,178 | 122,841 | |
Series 2016-3 Class A1, 2.25% 4/25/56 (a) | 23,714 | 23,867 | |
Series 2017-2 Class A1, 2.75% 4/25/57 (a)(b) | 255,383 | 259,817 | |
Series 2017-3 Class A1, 2.75% 7/25/57 (a)(b) | 591,024 | 602,510 | |
Verus Securitization Trust: | |||
sequential payer: | |||
Series 2019-1 Class A1, 3.836% 2/25/59 (a) | 496,049 | 500,819 | |
Series 2019-2 Class A1, 3.211% 5/25/59 (a) | 445,974 | 449,086 | |
Series 2019-INV3 Class A3, 3.1% 11/25/59 (a) | 706,301 | 724,529 | |
Series 2020-1 Class A3, 2.724% 1/25/60 (a) | 669,609 | 680,566 | |
Series 2020-2 Class A1, 2.226% 5/25/60 (a) | 1,778,853 | 1,798,703 | |
Series 2020-INV1 Class A1, 1.977% 3/25/60 (a) | 203,601 | 205,502 | |
Series 2019-3 Class A3, 3.04% 7/25/59 (a) | 1,132,737 | 1,143,974 | |
Series 2019-4 Class A3, 3% 11/25/59 (a) | 352,039 | 359,541 | |
Series 2019-INV1: | |||
Class A1, 3.402% 12/25/59 (a)(b) | 347,706 | 349,393 | |
Class M1, 4.034% 12/25/59 (a) | 195,000 | 198,778 | |
Series 2019-INV2 Class A2, 3.117% 7/25/59 (a) | 854,285 | 867,586 | |
Series 2020-5 Class A3, 1.733% 5/25/65 (a) | 401,769 | 400,774 | |
Series 2021-1: | |||
Class A2, 1.052% 1/25/66 (a) | 550,000 | 544,606 | |
Class A3, 1.155% 1/25/66 (a) | 325,000 | 321,827 | |
Series 2021-R1 Class A2, 1.057% 10/25/63 (a) | 375,150 | 373,907 | |
Vista Point Securitization Trust sequential payer Series 2020-2 Class A3, 2.496% 4/25/65 (a) | 382,029 | 383,573 | |
TOTAL PRIVATE SPONSOR | 53,031,432 | ||
U.S. Government Agency - 0.2% | |||
Fannie Mae: | |||
Series 2017-90 Class KA, 3% 11/25/47 | 746,425 | 789,506 | |
Series 2018-44 Class PC, 4% 6/25/44 | 459,867 | 465,963 | |
Fannie Mae Connecticut Avenue Securities floater: | |||
Series 2017-C02 Class 2ED3, 1 month U.S. LIBOR + 1.350% 1.4676% 9/25/29 (b)(c) | 926,387 | 928,480 | |
Series 2017-C04 Class 2ED2, 1 month U.S. LIBOR + 1.100% 1.2176% 11/25/29 (b)(c) | 1,353,952 | 1,322,828 | |
Series 2017-C05 Class 1ED3, 1 month U.S. LIBOR + 1.200% 1.3176% 1/25/30 (b)(c) | 572,108 | 562,919 | |
Series 2018-C01 Class 1ED2, 1 month U.S. LIBOR + 0.850% 0.9676% 7/25/30 (b)(c) | 906,297 | 890,167 | |
FHLMC Structured Agency Credit Risk Debt Notes floater: | |||
Series 2014-DN3 Class M3, 1 month U.S. LIBOR + 4.000% 4.1176% 8/25/24 (b)(c) | 321,712 | 328,597 | |
Series 2015-DNA3 Class M3, 1 month U.S. LIBOR + 4.700% 4.8176% 4/25/28 (b)(c) | 1,301,422 | 1,353,426 | |
Series 2016-DNA2 Class M3, 1 month U.S. LIBOR + 4.650% 4.7676% 10/25/28 (b)(c) | 744,398 | 776,559 | |
Series 2017-DNA2 Class M1, 1 month U.S. LIBOR + 1.200% 1.3176% 10/25/29 (b)(c) | 224,271 | 224,587 | |
Series 2017-DNA3 Class M1, 1 month U.S. LIBOR + 0.750% 0.8676% 3/25/30 (b)(c) | 104,851 | 104,872 | |
Freddie Mac: | |||
planned amortization class Series 3713 Class PA, 2% 2/15/40 | 416,839 | 425,391 | |
Series 4448 Class JA, 4% 11/15/36 | 6,773 | 6,778 | |
Freddie Mac STACR Trust floater: | |||
Series 18-HQA2 Class M1, 1 month U.S. LIBOR + 0.750% 0.8676% 10/25/48 (a)(b)(c) | 64,207 | 64,195 | |
Series 2018-DNA3: | |||
Class M1, 1 month U.S. LIBOR + 0.750% 0.8676% 9/25/48 (a)(b)(c) | 1,831 | 1,831 | |
Class M2A/S, 1 month U.S. LIBOR + 0.900% 1.0176% 9/25/48 (a)(b)(c) | 600,000 | 596,134 | |
Freddie Mac Whole Loan Securities Trust: | |||
Series 2016-SC02 Class M1, 3.6073% 10/25/46 (b) | 703,270 | 696,537 | |
Series 2017-SC02 Class M1, 3.8327% 5/25/47 (a)(b) | 71,956 | 71,530 | |
TOTAL U.S. GOVERNMENT AGENCY | 9,610,300 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
(Cost $62,350,048) | 62,641,732 | ||
Commercial Mortgage Securities - 1.3% | |||
Americold Realty Trust floater Series 2020-ICE5 Class B, 1 month U.S. LIBOR + 1.300% 1.4123% 11/15/37 (a)(b)(c) | 1,705,489 | 1,708,152 | |
Atrium Hotel Portfolio Trust floater Series 2017-ATRM Class A 1 month U.S. LIBOR + 0.930% 1.042% 12/15/36 (a)(b)(c) | 1,395,000 | 1,394,969 | |
Austin Fairmont Hotel Trust floater Series 2019-FAIR Class A, 1 month U.S. LIBOR + 1.050% 1.162% 9/15/32 (a)(b)(c) | 615,000 | 614,808 | |
Banc of America Merrill Lynch Large Loan, Inc. floater Series 2018-DSNY Class A, 1 month U.S. LIBOR + 0.850% 0.962% 9/15/34 (a)(b)(c) | 970,000 | 969,681 | |
BANK Series 2019-BN19 Class A1, 2.263% 8/15/61 | 415,622 | 425,903 | |
BX Commercial Mortgage Trust: | |||
floater Series 2020-BXLP: | |||
Class C, 1 month U.S. LIBOR + 1.120% 1.232% 12/15/36 (a)(b)(c) | 793,392 | 793,392 | |
Class D, 1 month U.S. LIBOR + 1.250% 1.362% 12/15/36 (a)(b)(c) | 758,463 | 758,462 | |
floater sequential payer Series 2020-BXLP Class A, 1 month U.S. LIBOR + 0.800% 0.912% 12/15/36 (a)(b)(c) | 2,328,281 | 2,330,033 | |
BX Trust: | |||
floater Series 2019-XL Class B, 1 month U.S. LIBOR + 1.080% 1.192% 10/15/36 (a)(b)(c) | 427,184 | 427,490 | |
floater, sequential payer: | |||
Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 1.112% 4/15/34 (a)(b)(c) | 2,135,000 | 2,132,333 | |
Series 2019-XL Class A, 1 month U.S. LIBOR + 0.920% 1.032% 10/15/36 (a)(b)(c) | 5,211,645 | 5,220,495 | |
CGDB Commercial Mortgage Trust floater Series 2019-MOB: | |||
Class A, 1 month U.S. LIBOR + 0.950% 1.0623% 11/15/36 (a)(b)(c) | 1,033,000 | 1,033,000 | |
Class D, 1 month U.S. LIBOR + 1.650% 1.7623% 11/15/36 (a)(b)(c) | 1,545,000 | 1,539,191 | |
CGDBB Commercial Mortgage Trust floater Series 2017-BIOC Class A, 1 month U.S. LIBOR + 0.790% 0.9023% 7/15/32 (a)(b)(c) | 3,713,554 | 3,717,070 | |
CHC Commercial Mortgage Trust floater Series 2019-CHC Class A, 1 month U.S. LIBOR + 1.120% 1.232% 6/15/34 (a)(b)(c) | 3,726,918 | 3,703,886 | |
Citigroup Commercial Mortgage Trust: | |||
sequential payer Series 2012-GC8 Class A/S, 3.683% 9/10/45 (a) | 2,157,000 | 2,230,404 | |
Series 2013-375P Class C, 3.5176% 5/10/35 (a)(b) | 560,000 | 575,182 | |
COMM Mortgage Trust: | |||
sequential payer Series 2013-300P Class A1, 4.353% 8/10/30 (a) | 620,000 | 663,705 | |
Series 2014-CR15 Class B, 4.6908% 2/10/47 (b) | 920,000 | 1,008,029 | |
Series 2014-UBS2 Class B, 4.701% 3/10/47 | 520,000 | 565,968 | |
Series 2020-CMB Class D, 3.6327% 2/10/37 (a)(b) | 560,000 | 540,522 | |
Credit Suisse Mortgage Trust: | |||
floater Series 2019-ICE4: | |||
Class A, 1 month U.S. LIBOR + 0.980% 1.092% 5/15/36 (a)(b)(c) | 5,485,000 | 5,493,752 | |
Class C, 1 month U.S. LIBOR + 1.430% 1.542% 5/15/36 (a)(b)(c) | 1,015,000 | 1,016,273 | |
Class D, 1 month U.S. LIBOR + 1.600% 1.712% 5/15/36 (a)(b)(c) | 780,000 | 784,445 | |
sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (a) | 455,000 | 465,557 | |
Series 2020-NET Class D, 3.7042% 8/15/37 (a)(b) | 985,000 | 1,009,304 | |
CSAIL Commercial Mortgage Trust: | |||
sequential payer Series 2015-C3 Class A4, 3.7182% 8/15/48 | 670,000 | 736,234 | |
Series 2019-C16 Class A1, 2.3595% 6/15/52 | 496,897 | 509,430 | |
CSMC Trust Series 2017-CHOP Class A, 1 month U.S. LIBOR + 0.750% 0.862% 7/15/32 (a)(b)(c) | 4,189,000 | 4,168,742 | |
GCT Commercial Mortgage Trust floater Series 2021-GCT Class A, 1 month U.S. LIBOR + 0.800% 0.912% 2/15/38 (a)(b)(c) | 555,000 | 555,110 | |
Great Wolf Trust floater Series 2019-WOLF: | |||
Class A, 1 month U.S. LIBOR + 1.030% 1.146% 12/15/36 (a)(b)(c) | 1,906,000 | 1,905,446 | |
Class C, 1 month U.S. LIBOR + 1.630% 1.745% 12/15/36 (a)(b)(c) | 600,000 | 594,063 | |
Intown Hotel Portfolio Trust Series 2018-STAY: | |||
Class A, 1 month U.S. LIBOR + 0.950% 1.062% 1/15/33 (a)(b)(c) | 245,000 | 245,294 | |
Class C, 1 month U.S. LIBOR + 1.500% 1.612% 1/15/33 (a)(b)(c) | 205,000 | 203,059 | |
J.P. Morgan Chase Commercial Mortgage Securities Trust floater Series 2020-609M: | |||
Class B, 1 month U.S. LIBOR + 1.770% 1.882% 10/15/33 (a)(b)(c) | 995,000 | 997,775 | |
Class C, 1 month U.S. LIBOR + 2.170% 2.282% 10/15/33 (a)(b)(c) | 805,000 | 807,499 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
floater: | |||
Series 2018-GW Class A, 1 month U.S. LIBOR + 0.800% 0.912% 5/15/35 (a)(b)(c) | 2,440,000 | 2,440,811 | |
Series 2019-BKWD: | |||
Class A, 1 month U.S. LIBOR + 1.000% 1.112% 9/15/29 (a)(b)(c) | 1,911,000 | 1,914,870 | |
Class B, 1 month U.S. LIBOR + 1.350% 1.462% 9/15/29 (a)(b)(c) | 1,830,000 | 1,828,784 | |
Class C, 1 month U.S. LIBOR + 1.600% 1.712% 9/15/29 (a)(b)(c) | 575,000 | 574,259 | |
sequential payer Series 2014-C20 Class A3A1, 3.4718% 7/15/47 | 1,713,932 | 1,719,230 | |
Series 2013-C13 Class A4, 3.9936% 1/15/46 (b) | 2,583,966 | 2,760,733 | |
KKR Industrial Portfolio Trust floater Series 2021-KDIP Class D, 1 month U.S. LIBOR + 1.250% 1.3623% 12/15/37 (a)(b)(c) | 265,000 | 265,000 | |
Merit floater Series 2020-HILL: | |||
Class A, 1 month U.S. LIBOR + 1.150% 1.262% 8/15/37 (a)(b)(c) | 576,000 | 578,343 | |
Class B, 1 month U.S. LIBOR + 1.400% 1.512% 8/15/37 (a)(b)(c) | 455,000 | 456,993 | |
Class C, 1 month U.S. LIBOR + 1.700% 1.812% 8/15/37 (a)(b)(c) | 410,000 | 412,051 | |
Class D, 1 month U.S. LIBOR + 2.350% 2.462% 8/15/37 (a)(b)(c) | 550,000 | 553,442 | |
Morgan Stanley BAML Trust: | |||
Series 2014-C18 Class A/S, 4.11% 10/15/47 | 370,000 | 402,365 | |
Series 2016-C30 Class A1, 1.389% 9/15/49 | 36,192 | 36,216 | |
Morgan Stanley Capital I Trust: | |||
floater: | |||
Series 2018-BOP Class A, 1 month U.S. LIBOR + 0.850% 0.962% 8/15/33 (a)(b)(c) | 5,578,279 | 5,571,589 | |
Series 2019-NUGS Class D, 1 month U.S. LIBOR + 1.800% 3.3% 12/15/36 (a)(b)(c) | 510,000 | 515,604 | |
sequential payer Series 2014-150E Class A, 3.912% 9/9/32 (a) | 1,325,000 | 1,433,110 | |
Series 2011-C3 Class AJ, 5.2442% 7/15/49 (a)(b) | 2,264,000 | 2,286,058 | |
Series 2019-MEAD Class D, 3.1771% 11/10/36 (a)(b) | 1,150,000 | 1,127,958 | |
New Orleans Hotel Trust floater Series 2019-HNLA Class B, 1 month U.S. LIBOR + 1.289% 1.4007% 4/15/32 (a)(b)(c) | 1,585,000 | 1,553,334 | |
Slide floater Series 2018-FUN Class D, 1 month U.S. LIBOR + 1.850% 1.962% 6/15/31 (a)(b)(c) | 775,015 | 754,535 | |
UBS-Barclays Commercial Mortgage Trust floater Series 2013-C6 Class A3, 1 month U.S. LIBOR + 0.790% 0.8995% 4/10/46 (a)(b)(c) | 3,020,457 | 3,010,139 | |
Vista Point Securitization Trust sequential payer Series 2020-1 Class A1, 1.763% 3/25/65 (a) | 491,511 | 495,927 | |
Wells Fargo Commercial Mortgage Trust Series 2015-NXS2 Class A2, 3.02% 7/15/58 | 332,927 | 340,142 | |
WF-RBS Commercial Mortgage Trust: | |||
floater Series 2013-C14 Class A3, 1 month U.S. LIBOR + 0.720% 0.8283% 6/15/46 (a)(b)(c) | 2,846,183 | 2,846,625 | |
Series 2012-C6 Class B, 4.697% 4/15/45 | 760,000 | 780,955 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $86,420,380) | 86,503,731 | ||
Municipal Securities - 0.1% | |||
Chicago Transit Auth. Series 2020 B: | |||
1.708% 12/1/22 | $40,000 | $40,713 | |
1.838% 12/1/23 | 35,000 | 35,930 | |
2.064% 12/1/24 | 105,000 | 108,753 | |
Connecticut Gen. Oblig. Series A: | |||
1.998% 7/1/24 | 285,000 | 298,629 | |
2% 7/1/23 | 115,000 | 119,497 | |
2.098% 7/1/25 | 190,000 | 201,788 | |
Dallas Fort Worth Int'l. Arpt. Rev. Series 2020 C, 1.329% 11/1/25 | 245,000 | 246,840 | |
Houston Arpt. Sys. Rev. Series 2020 C: | |||
0.883% 7/1/22 | 70,000 | 70,245 | |
1.054% 7/1/23 | 120,000 | 120,634 | |
1.272% 7/1/24 | 400,000 | 403,724 | |
Illinois Gen. Oblig. Series 2020 A, 2.25% 10/1/22 | 1,640,000 | 1,645,822 | |
Long Island Pwr. Auth. Elec. Sys. Rev. Series 2020 C, 0.764% 3/1/23 | 360,000 | 361,818 | |
Port Auth. of New York & New Jersey Series AAA, 1.086% 7/1/23 | 1,405,000 | 1,427,185 | |
TOTAL MUNICIPAL SECURITIES | |||
(Cost $5,010,529) | 5,081,578 | ||
Bank Notes - 0.3% | |||
Citibank NA 2.844% 5/20/22 (b) | 1,485,000 | 1,492,973 | |
Discover Bank 3.2% 8/9/21 | 1,050,000 | 1,060,582 | |
First Republic Bank 1.912% 2/12/24 (b) | 2,031,000 | 2,086,044 | |
KeyBank NA 2.3% 9/14/22 | 355,000 | 366,215 | |
PNC Bank NA 2.95% 1/30/23 | 695,000 | 727,476 | |
RBS Citizens NA: | |||
2.55% 5/13/21 | 1,320,000 | 1,323,494 | |
3.25% 2/14/22 | 1,015,000 | 1,040,907 | |
Synchrony Bank 3.65% 5/24/21 | 3,082,000 | 3,096,432 | |
Truist Bank 1.25% 3/9/23 | 9,650,000 | 9,822,985 | |
TOTAL BANK NOTES | |||
(Cost $20,704,856) | 21,017,108 | ||
Certificates of Deposit - 0.1% | |||
Sumitomo Mitsui Banking Corp. yankee 0.27% 5/10/21 | |||
(Cost $6,000,000) | 6,000,000 | 6,001,665 | |
Commercial Paper - 0.6% | |||
AT&T, Inc. 0% 12/14/21 | 2,185,000 | 2,179,348 | |
Conagra Brands, Inc. 0% 4/3/21 | 3,355,000 | 3,352,872 | |
HSBC U.S.A., Inc. yankee: | |||
0.4% 10/5/21 | 10,000,000 | 9,978,207 | |
0.4% 2/9/22 | 10,000,000 | 9,964,620 | |
Ovintiv Canada, Inc.: | |||
0% 3/16/21 | 3,375,000 | 3,374,386 | |
0% 3/26/21 | 1,320,000 | 1,319,619 | |
Plains All American Pipeline LP 0% 2/25/31 | 1,625,000 | 1,624,959 | |
Svenska Handelsbanken AB 3 month U.S. LIBOR + 0.090% 0.314% 7/20/21 (b)(c) | 8,000,000 | 8,003,705 | |
TOTAL COMMERCIAL PAPER | |||
(Cost $39,785,156) | 39,797,716 | ||
Shares | Value | ||
Short-Term Funds - 52.2% | |||
Short-Term Funds - 52.2% | |||
Baird Short-Term Bond Fund - Institutional Class | 17,626,716 | $174,504,488 | |
Baird Ultra Short Bond Fund Institutional Class | 38,638,397 | 389,475,045 | |
BlackRock Low Duration Bond Portfolio Investor A Shares | 28,124,879 | 274,780,066 | |
Fidelity SAI Short-Term Bond Fund (f) | 28,443,709 | 284,721,522 | |
iShares Short Maturity Bond ETF (g) | 4,226,791 | 212,227,176 | |
iShares Short Treasury Bond ETF (g) | 1,120,350 | 123,821,082 | |
iShares Ultra Short-Term Bond ETF | 2,140,810 | 108,153,721 | |
JPMorgan Ultra-Short Income ETF (g) | 4,010,821 | 203,709,599 | |
Metropolitan West Low Duration Bond Fund - Class M | 23,613,895 | 210,163,669 | |
PIMCO Enhanced Low Duration Active ETF (g) | 747,550 | 76,347,282 | |
PIMCO Enhanced Short Maturity Active ETF | 3,163,695 | 322,791,801 | |
PIMCO Short-Term Fund Institutional Class | 85,340,782 | 839,753,287 | |
Prudential Short-Term Corporate Bond Fund, Inc. Class A | 1,801,714 | 20,449,452 | |
T. Rowe Price Ultra Short-Term Bond Fund | 24,647,874 | 125,457,677 | |
TOTAL SHORT-TERM FUNDS | |||
(Cost $3,330,459,984) | 3,366,355,867 | ||
Money Market Funds - 15.7% | |||
Fidelity Cash Central Fund 0.07% (h) | 154,174,309 | 154,205,144 | |
Fidelity Investments Money Market Government Portfolio Institutional Class 0.01% (f)(i) | 748,577,225 | 748,577,225 | |
Fidelity Securities Lending Cash Central Fund 0.08% (h)(j) | 99,787,010 | 99,796,989 | |
State Street Institutional U.S. Government Money Market Fund Premier Class .03% (i) | 8,517,379 | 8,517,379 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $1,011,091,763) | 1,011,096,737 | ||
TOTAL INVESTMENT IN SECURITIES - 102.2% | |||
(Cost $6,540,049,527) | 6,594,849,063 | ||
NET OTHER ASSETS (LIABILITIES) - (2.2)% | (141,208,749) | ||
NET ASSETS - 100% | $6,453,640,314 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||||
Treasury Contracts | |||||
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 426 | June 2021 | $94,046,156 | $(80,480) | $(80,480) |
Sold | |||||
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 113 | June 2021 | 14,997,219 | 184,476 | 184,476 |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 138 | June 2021 | 17,107,688 | 138,882 | 138,882 |
TOTAL FUTURES CONTRACTS | $242,878 |
The notional amount of futures purchased as a percentage of Net Assets is 1.5%
The notional amount of futures sold as a percentage of Net Assets is 0.5%
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 $647,602,703 or 10.0% of net assets.
(b) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(c) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(d) 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 $240,655.
(e) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(f) Affiliated Fund
(g) Security or a portion of the security is on loan at period end.
(h) 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.
(i) The rate quoted is the annualized seven-day yield of the fund at period end.
(j) 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 | $109,372 |
Fidelity Securities Lending Cash Central Fund | 159,268 |
Total | $268,640 |
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 Conservative Income Bond Fund Institutional Class | $38,648,696 | $49,957 | $38,814,164 | $53,671 | $127,290 | $(11,779) | $-- |
Fidelity Floating Rate High Income Fund | 58,035,797 | 283,180 | 58,957,982 | 283,495 | (3,777,578) | 4,416,583 | -- |
Fidelity Investments Money Market Government Portfolio Institutional Class 0.01% | 82,618,947 | 3,300,865,053 | 2,634,906,775 | 87,464 | -- | -- | 748,577,225 |
Fidelity SAI Short-Term Bond Fund | -- | 309,278,594 | 25,000,000 | 601,869 | 25,000 | 417,928 | 284,721,522 |
Fidelity Short-Term Bond Fund | 419,380,785 | 2,691,803 | 424,000,435 | 2,967,952 | 15,690,781 | (13,762,934) | -- |
Total | $598,684,225 | $3,613,168,587 | $3,181,679,356 | $3,994,451 | $12,065,493 | $(8,940,202) | $1,033,298,747 |
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, municipal securities, U.S. government and government agency obligations, commercial paper and certificates of deposit 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.
When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
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.
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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