Quarterly Holdings Report
for
Strategic Advisers® Core Income Fund
Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general public
November 30, 2021
SSC-NPRT3-0122
1.912893.111
Unclassified - 0.9% | |||
Shares | Value ($) | ||
U.S. Treasury Bills, yield at date of purchase 0.04% to 0.05% 12/14/21 to 2/17/22 (Cost $429,468,719) | 429,495,000 | 429,465,578 | |
Nonconvertible Bonds - 10.4% | |||
Principal Amount (a) | Value ($) | ||
COMMUNICATION SERVICES - 1.0% | |||
Diversified Telecommunication Services - 0.4% | |||
Altice France SA: | |||
5.125% 1/15/29 (b) | 300,000 | 284,079 | |
5.125% 7/15/29 (b) | 275,000 | 261,355 | |
8.125% 2/1/27 (b) | 135,000 | 143,998 | |
AT&T, Inc.: | |||
1.7% 3/25/26 | 700,000 | 698,995 | |
2.55% 12/1/33 | 8,298,000 | 8,021,048 | |
3.5% 6/1/41 | 4,880,000 | 5,013,729 | |
3.5% 9/15/53 | 648,000 | 654,555 | |
3.55% 9/15/55 | 1,590,000 | 1,598,326 | |
3.65% 9/15/59 | 8,915,000 | 9,024,041 | |
3.8% 12/1/57 | 31,378,000 | 32,768,682 | |
4.3% 2/15/30 | 3,709,000 | 4,186,104 | |
4.5% 5/15/35 | 1,980,000 | 2,282,783 | |
4.5% 3/9/48 | 6,650,000 | 7,851,742 | |
4.75% 5/15/46 | 14,210,000 | 17,298,002 | |
4.9% 6/15/42 | 7,000,000 | 8,486,837 | |
6.2% 3/15/40 | 2,433,000 | 3,257,304 | |
6.3% 1/15/38 | 2,523,000 | 3,430,811 | |
C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (b) | 305,000 | 318,725 | |
Cablevision Lightpath LLC 3.875% 9/15/27 (b) | 10,000 | 9,713 | |
Cellnex Telecom SA 1.75% 10/23/30 (Reg. S) | EUR | 5,500,000 | 6,009,256 |
Cogent Communications Group, Inc. 3.5% 5/1/26 (b) | 165,000 | 165,413 | |
Frontier Communications Holdings LLC: | |||
5% 5/1/28 (b) | 215,000 | 215,604 | |
5.875% 10/15/27 (b) | 95,000 | 98,104 | |
Holdco SASU: | |||
6.5% 10/15/26 (b) | 475,000 | 485,773 | |
7% 10/15/28 (b) | 450,000 | 461,250 | |
Iliad SA 1.5% 10/14/24 (Reg. S) | EUR | 3,100,000 | 3,494,117 |
Level 3 Financing, Inc.: | |||
3.4% 3/1/27 (b) | 2,605,000 | 2,670,125 | |
3.625% 1/15/29 (b) | 3,349,000 | 3,097,825 | |
3.875% 11/15/29 (b) | 2,945,000 | 3,040,595 | |
4.25% 7/1/28 (b) | 1,520,000 | 1,482,000 | |
5.375% 5/1/25 | 400,000 | 408,412 | |
Lumen Technologies, Inc.: | |||
4.5% 1/15/29 (b) | 235,000 | 220,968 | |
5.125% 12/15/26 (b) | 185,000 | 185,324 | |
5.625% 4/1/25 | 175,000 | 182,294 | |
6.875% 1/15/28 | 15,000 | 16,459 | |
7.6% 9/15/39 | 1,464,000 | 1,566,480 | |
7.65% 3/15/42 | 1,000,000 | 1,075,840 | |
Qwest Corp. 7.25% 9/15/25 | 203,000 | 237,585 | |
Sable International Finance Ltd. 5.75% 9/7/27 (b) | 526,000 | 541,780 | |
Sprint Capital Corp.: | |||
6.875% 11/15/28 | 1,695,000 | 2,092,596 | |
8.75% 3/15/32 | 555,000 | 820,512 | |
Sprint Spectrum Co. LLC: | |||
4.738% 9/20/29 (b) | 1,198,750 | 1,250,260 | |
5.152% 9/20/29 (b) | 14,655,000 | 16,424,489 | |
Telecom Italia SpA 5.303% 5/30/24 (b) | 370,000 | 383,779 | |
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (b) | 400,000 | 412,200 | |
Verizon Communications, Inc.: | |||
2.1% 3/22/28 | 790,000 | 787,943 | |
2.355% 3/15/32 (b) | 10,150,000 | 10,046,433 | |
2.65% 11/20/40 | 1,265,000 | 1,207,733 | |
3.4% 3/22/41 | 5,550,000 | 5,899,315 | |
4.016% 12/3/29 | 4,471,000 | 5,013,261 | |
4.272% 1/15/36 | 4,090,000 | 4,805,423 | |
4.5% 8/10/33 | 945,000 | 1,114,873 | |
Virgin Media Finance PLC 5% 7/15/30 (b) | 270,000 | 261,900 | |
Zayo Group Holdings, Inc. 4% 3/1/27 (b) | 3,150,000 | 3,000,375 | |
184,767,125 | |||
Entertainment - 0.0% | |||
Netflix, Inc.: | |||
4.375% 11/15/26 | 165,000 | 181,913 | |
4.875% 4/15/28 | 145,000 | 164,133 | |
4.875% 6/15/30 (b) | 70,000 | 81,060 | |
5.375% 11/15/29 (b) | 120,000 | 141,950 | |
5.875% 11/15/28 | 635,000 | 760,413 | |
6.375% 5/15/29 | 55,000 | 68,460 | |
Roblox Corp. 3.875% 5/1/30 (b) | 280,000 | 280,700 | |
The Walt Disney Co. 3.6% 1/13/51 | 3,415,000 | 3,904,536 | |
5,583,165 | |||
Interactive Media & Services - 0.0% | |||
Tencent Holdings Ltd. 3.84% 4/22/51 (b) | 2,435,000 | 2,618,015 | |
Media - 0.4% | |||
Altice Financing SA: | |||
5% 1/15/28 (b) | 200,000 | 186,969 | |
5.75% 8/15/29 (b) | 585,000 | 557,163 | |
Altice France Holding SA: | |||
4% 2/15/28 (Reg. S) | EUR | 4,800,000 | 5,104,702 |
8% 5/15/27 (Reg. S) | EUR | 4,800,000 | 5,729,016 |
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||
4% 3/1/23 (b) | 2,450,000 | 2,451,642 | |
4.5% 8/15/30 (b) | 180,000 | 181,430 | |
4.5% 5/1/32 | 3,822,000 | 3,806,253 | |
4.5% 6/1/33 (b) | 2,110,000 | 2,078,350 | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
3.7% 4/1/51 | 2,530,000 | 2,452,636 | |
3.9% 6/1/52 | 12,063,000 | 12,188,343 | |
4.464% 7/23/22 | 11,002,000 | 11,196,360 | |
4.908% 7/23/25 | 7,565,000 | 8,346,099 | |
5.375% 4/1/38 | 450,000 | 540,853 | |
5.375% 5/1/47 | 32,024,000 | 38,431,467 | |
6.384% 10/23/35 | 3,285,000 | 4,257,633 | |
6.484% 10/23/45 | 1,645,000 | 2,248,074 | |
Comcast Corp.: | |||
2.937% 11/1/56 (b) | 1,940,000 | 1,885,396 | |
2.987% 11/1/63 (b) | 1,667,000 | 1,610,773 | |
3.75% 4/1/40 | 670,000 | 754,859 | |
3.999% 11/1/49 | 10,000 | 11,609 | |
COX Communications, Inc.: | |||
1.8% 10/1/30 (b) | 975,000 | 926,386 | |
2.6% 6/15/31 (b) | 275,000 | 275,211 | |
3.15% 8/15/24 (b) | 1,550,000 | 1,624,559 | |
CSC Holdings LLC: | |||
3.375% 2/15/31 (b) | 3,000,000 | 2,740,140 | |
4.125% 12/1/30 (b) | 215,000 | 205,749 | |
4.5% 11/15/31 (b) | 220,000 | 212,850 | |
4.625% 12/1/30 (b) | 170,000 | 158,100 | |
5.75% 1/15/30 (b) | 1,000,000 | 979,380 | |
6.5% 2/1/29 (b) | 1,500,000 | 1,585,860 | |
Diamond Sports Group LLC/Diamond Sports Finance Co. 5.375% 8/15/26 (b) | 2,275,000 | 1,006,688 | |
Discovery Communications LLC: | |||
3.625% 5/15/30 | 4,338,000 | 4,640,829 | |
4% 9/15/55 | 1,620,000 | 1,734,310 | |
4.65% 5/15/50 | 11,727,000 | 13,903,657 | |
5.3% 5/15/49 | 7,795,000 | 9,920,717 | |
DISH DBS Corp.: | |||
5.875% 11/15/24 | 200,000 | 202,292 | |
7.75% 7/1/26 | 550,000 | 565,125 | |
Fox Corp.: | |||
5.476% 1/25/39 | 2,474,000 | 3,197,244 | |
5.576% 1/25/49 | 1,641,000 | 2,243,954 | |
Gray Television, Inc. 4.75% 10/15/30 (b) | 100,000 | 96,375 | |
Lagardere S.C.A. 2.125% 10/16/26 (Reg. S) | EUR | 800,000 | 930,361 |
LCPR Senior Secured Financing DAC 5.125% 7/15/29 (b) | 200,000 | 199,206 | |
Radiate Holdco LLC/Radiate Financial Service Ltd. 4.5% 9/15/26 (b) | 345,000 | 342,854 | |
SES Global Americas Holdings GP 5.3% 3/25/44 (b) | 2,000,000 | 2,312,654 | |
Sinclair Television Group, Inc. 4.125% 12/1/30 (b) | 1,950,000 | 1,769,625 | |
Sirius XM Radio, Inc.: | |||
3.875% 9/1/31 (b) | 370,000 | 350,575 | |
4.125% 7/1/30 (b) | 65,000 | 63,500 | |
5.5% 7/1/29 (b) | 1,000,000 | 1,060,740 | |
Tegna, Inc. 4.75% 3/15/26 (b) | 225,000 | 231,750 | |
Time Warner Cable LLC: | |||
5.5% 9/1/41 | 2,591,000 | 3,174,286 | |
5.875% 11/15/40 | 5,543,000 | 7,023,550 | |
6.55% 5/1/37 | 8,522,000 | 11,413,062 | |
7.3% 7/1/38 | 6,393,000 | 9,171,841 | |
ViacomCBS, Inc.: | |||
3.875% 4/1/24 | 1,730,000 | 1,823,909 | |
4.2% 5/19/32 | 650,000 | 735,863 | |
4.6% 1/15/45 | 5,565,000 | 6,729,914 | |
5.85% 9/1/43 | 420,000 | 569,189 | |
Virgin Media Secured Finance PLC: | |||
4.25% 1/15/30 (Reg. S) | GBP | 1,500,000 | 1,971,983 |
4.5% 8/15/30 (b) | 1,932,000 | 1,888,202 | |
5.5% 5/15/29 (b) | 175,000 | 181,827 | |
Ziggo BV: | |||
2.875% 1/15/30 (Reg. S) | EUR | 1,100,000 | 1,234,586 |
4.875% 1/15/30 (b) | 115,000 | 116,366 | |
5.5% 1/15/27 (b) | 477,000 | 490,967 | |
204,025,863 | |||
Wireless Telecommunication Services - 0.2% | |||
Digicel International Finance Ltd. / Digicel International Holdings Ltd.: | |||
8% 12/31/26 (b) | 2,650,000 | 2,577,125 | |
8.75% 5/25/24 (b) | 300,000 | 308,213 | |
8.75% 5/25/24 (b) | 400,000 | 410,325 | |
13% 12/31/25 pay-in-kind (b)(c) | 2,070,000 | 2,115,669 | |
Intelsat Jackson Holdings SA: | |||
5.5% 8/1/23 (d) | 2,500,000 | 1,212,500 | |
9.75% 7/15/25 (b)(d) | 5,500,000 | 2,695,000 | |
Millicom International Cellular SA: | |||
4.5% 4/27/31 (b) | 200,000 | 199,100 | |
5.125% 1/15/28 (b) | 346,500 | 357,068 | |
Rogers Communications, Inc. 3% 3/15/23 | 150,000 | 153,066 | |
SoftBank Group Corp. 5.375% 7/30/22 (Reg. S) | 200,000 | 202,000 | |
Sprint Corp.: | |||
7.125% 6/15/24 | 2,950,000 | 3,305,564 | |
7.875% 9/15/23 | 5,977,000 | 6,567,229 | |
T-Mobile U.S.A., Inc.: | |||
2.05% 2/15/28 | 1,450,000 | 1,428,443 | |
2.25% 2/15/26 | 3,450,000 | 3,407,651 | |
2.625% 4/15/26 | 220,000 | 220,039 | |
2.625% 2/15/29 | 275,000 | 265,375 | |
3% 2/15/41 | 3,095,000 | 2,953,837 | |
3.3% 2/15/51 | 6,575,000 | 6,392,470 | |
3.75% 4/15/27 | 14,515,000 | 15,605,189 | |
3.875% 4/15/30 | 18,689,000 | 20,312,028 | |
4.375% 4/15/40 | 200,000 | 227,110 | |
4.5% 4/15/50 | 3,381,000 | 3,954,251 | |
Vodafone Group PLC: | |||
4.25% 9/17/50 | 3,525,000 | 4,060,163 | |
4.875% 10/3/78 (Reg. S) (c) | GBP | 600,000 | 843,853 |
6.25% 10/3/78 (Reg. S) (c) | 805,000 | 863,073 | |
80,636,341 | |||
TOTAL COMMUNICATION SERVICES | 477,630,509 | ||
CONSUMER DISCRETIONARY - 0.5% | |||
Auto Components - 0.0% | |||
Adient Global Holdings Ltd. 4.875% 8/15/26 (b) | 2,000,000 | 2,002,500 | |
Dana, Inc.: | |||
4.5% 2/15/32 | 115,000 | 112,138 | |
5.625% 6/15/28 | 500,000 | 526,250 | |
IHO Verwaltungs GmbH 3.75% 9/15/26 pay-in-kind(Reg. S) (c) | EUR | 2,500,000 | 2,871,212 |
Patrick Industries, Inc. 4.75% 5/1/29 (b) | 110,000 | 107,492 | |
Valeo SA 1% 8/3/28 (Reg. S) | EUR | 600,000 | 655,991 |
ZF Finance GmbH 2% 5/6/27 (Reg. S) | EUR | 800,000 | 901,383 |
7,176,966 | |||
Automobiles - 0.1% | |||
Ford Motor Co.: | |||
3.25% 2/12/32 | 1,675,000 | 1,677,848 | |
4.75% 1/15/43 | 2,000,000 | 2,140,000 | |
5.291% 12/8/46 | 1,925,000 | 2,173,575 | |
General Motors Co.: | |||
6.25% 10/2/43 | 8,395,000 | 11,433,542 | |
6.6% 4/1/36 | 575,000 | 772,468 | |
6.75% 4/1/46 | 1,850,000 | 2,675,747 | |
General Motors Financial Co., Inc.: | |||
2.4% 4/10/28 | 1,895,000 | 1,889,709 | |
3.45% 4/10/22 | 4,650,000 | 4,675,155 | |
3.7% 5/9/23 | 11,800,000 | 12,207,272 | |
4% 1/15/25 | 3,280,000 | 3,492,329 | |
4.25% 5/15/23 | 1,875,000 | 1,962,121 | |
Thor Industries, Inc. 4% 10/15/29 (b) | 150,000 | 146,925 | |
45,246,691 | |||
Diversified Consumer Services - 0.0% | |||
Adtalem Global Education, Inc. 5.5% 3/1/28 (b) | 1,225,000 | 1,179,932 | |
California Institute of Technology 3.65% 9/1/19 | 535,000 | 644,584 | |
ERAC U.S.A. Finance LLC 3.3% 12/1/26 (b) | 8,865,000 | 9,462,982 | |
Ingersoll-Rand Global Holding Co. Ltd. 4.25% 6/15/23 | 425,000 | 446,035 | |
Massachusetts Institute of Technology 2.989% 7/1/50 | 1,215,000 | 1,380,726 | |
President and Fellows of Harvard College: | |||
3.15% 7/15/46 | 190,000 | 217,467 | |
3.3% 7/15/56 | 190,000 | 224,361 | |
Service Corp. International 5.125% 6/1/29 | 270,000 | 287,550 | |
Trustees of Boston University 4.061% 10/1/48 | 450,000 | 560,807 | |
University of Pennsylvania Trustees: | |||
2.396% 10/1/50 | 495,000 | 491,177 | |
3.61% 2/15/2119 | 285,000 | 343,281 | |
University of Southern California 3.841% 10/1/47 | 705,000 | 864,426 | |
Yale University 2.402% 4/15/50 | 1,815,000 | 1,828,909 | |
17,932,237 | |||
Hotels, Restaurants & Leisure - 0.1% | |||
1011778 BC Unlimited Liability Co./New Red Finance, Inc.: | |||
4% 10/15/30 (b) | 5,000,000 | 4,777,700 | |
4.375% 1/15/28 (b) | 280,000 | 278,600 | |
5.75% 4/15/25 (b) | 90,000 | 93,425 | |
Accor SA 2.375% 11/29/28 (Reg. S) | EUR | 700,000 | 788,027 |
Aramark Services, Inc. 5% 2/1/28 (b) | 1,990,000 | 1,999,950 | |
Brinker International, Inc. 3.875% 5/15/23 | 1,066,000 | 1,095,315 | |
Caesars Entertainment, Inc. 6.25% 7/1/25 (b) | 380,000 | 395,116 | |
Carnival Corp.: | |||
4% 8/1/28 (b) | 225,000 | 218,144 | |
7.625% 3/1/26 (b) | 75,000 | 76,896 | |
Hilton Domestic Operating Co., Inc.: | |||
3.625% 2/15/32 (b) | 325,000 | 315,468 | |
3.75% 5/1/29 (b) | 255,000 | 252,636 | |
4% 5/1/31 (b) | 970,000 | 971,947 | |
5.375% 5/1/25 (b) | 350,000 | 361,991 | |
Hyatt Hotels Corp. 1.8% 10/1/24 | 3,020,000 | 3,022,866 | |
InterContinental Hotel Group PLC 3.375% 10/8/28 (Reg. S) | GBP | 2,735,000 | 3,849,468 |
International Game Technology PLC 6.5% 2/15/25 (b) | 800,000 | 868,000 | |
Marriott International, Inc.: | |||
3.125% 6/15/26 | 1,090,000 | 1,145,170 | |
3.6% 4/15/24 | 1,110,000 | 1,166,094 | |
McDonald's Corp. 4.7% 12/9/35 | 1,910,000 | 2,360,275 | |
MGM Resorts International: | |||
4.625% 9/1/26 | 500,000 | 505,000 | |
6.75% 5/1/25 | 100,000 | 104,125 | |
NCL Finance Ltd. 6.125% 3/15/28 (b) | 40,000 | 38,980 | |
Royal Caribbean Cruises Ltd.: | |||
5.5% 8/31/26 (b) | 280,000 | 273,000 | |
9.125% 6/15/23 (b) | 55,000 | 58,336 | |
11.5% 6/1/25 (b) | 95,000 | 105,806 | |
Starbucks Corp. 1.3% 5/7/22 | 3,742,000 | 3,755,324 | |
Whitbread PLC: | |||
2.375% 5/31/27 (Reg. S) | GBP | 1,320,000 | 1,758,230 |
3.375% 10/16/25 (Reg. S) | GBP | 1,870,000 | 2,592,534 |
Yum! Brands, Inc.: | |||
3.625% 3/15/31 | 145,000 | 140,602 | |
7.75% 4/1/25 (b) | 330,000 | 347,840 | |
33,716,865 | |||
Household Durables - 0.2% | |||
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp. 4.875% 2/15/30 (b) | 500,000 | 498,054 | |
Century Communities, Inc.: | |||
3.875% 8/15/29 (b) | 135,000 | 132,993 | |
6.75% 6/1/27 | 275,000 | 288,485 | |
Lennar Corp.: | |||
4.75% 11/29/27 | 9,350,000 | 10,626,182 | |
5% 6/15/27 | 12,100,000 | 13,799,082 | |
5.25% 6/1/26 | 2,920,000 | 3,312,302 | |
Newell Brands, Inc. 5.875% 4/1/36 | 30,000 | 36,621 | |
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.875% 4/15/23 (b) | 298,000 | 308,803 | |
Tempur Sealy International, Inc.: | |||
3.875% 10/15/31 (b) | 120,000 | 115,933 | |
4% 4/15/29 (b) | 1,525,000 | 1,513,852 | |
The Berkeley Group PLC 2.5% 8/11/31 (Reg. S) | GBP | 1,015,000 | 1,314,597 |
Toll Brothers Finance Corp.: | |||
4.35% 2/15/28 | 29,675,000 | 32,067,695 | |
4.375% 4/15/23 | 5,000,000 | 5,150,250 | |
4.875% 11/15/25 | 35,000 | 38,325 | |
4.875% 3/15/27 | 7,917,000 | 8,728,493 | |
TopBuild Corp. 4.125% 2/15/32 (b) | 815,000 | 816,536 | |
78,748,203 | |||
Internet & Direct Marketing Retail - 0.0% | |||
Match Group Holdings II LLC: | |||
3.625% 10/1/31 (b) | 170,000 | 160,259 | |
4.125% 8/1/30 (b) | 70,000 | 69,388 | |
229,647 | |||
Leisure Products - 0.0% | |||
Hasbro, Inc. 3% 11/19/24 | 5,655,000 | 5,909,036 | |
Mattel, Inc. 5.45% 11/1/41 | 20,000 | 23,572 | |
5,932,608 | |||
Multiline Retail - 0.0% | |||
John Lewis PLC 6.125% 1/21/25 | GBP | 586,000 | 863,108 |
Marks & Spencer PLC 4.5% 7/10/27 (Reg. S) | GBP | 1,500,000 | 2,084,956 |
2,948,064 | |||
Specialty Retail - 0.1% | |||
Adient U.S. LLC 9% 4/15/25 (b) | 1,000,000 | 1,060,000 | |
Asbury Automotive Group, Inc.: | |||
4.625% 11/15/29 (b) | 75,000 | 75,474 | |
5% 2/15/32 (b) | 80,000 | 80,509 | |
AutoNation, Inc. 4.75% 6/1/30 | 953,000 | 1,102,396 | |
AutoZone, Inc.: | |||
1.65% 1/15/31 | 255,000 | 239,317 | |
3.75% 4/18/29 | 1,400,000 | 1,538,657 | |
4% 4/15/30 | 6,924,000 | 7,741,663 | |
Bath & Body Works, Inc. 6.625% 10/1/30 (b) | 345,000 | 382,729 | |
Foot Locker, Inc. 4% 10/1/29 (b) | 60,000 | 59,400 | |
Gap, Inc. 3.875% 10/1/31 (b) | 115,000 | 110,057 | |
LCM Investments Holdings 4.875% 5/1/29 (b) | 50,000 | 49,807 | |
Michaels Companies, Inc.: | |||
5.25% 5/1/28 (b) | 110,000 | 108,832 | |
7.875% 5/1/29 (b) | 1,000,000 | 992,500 | |
O'Reilly Automotive, Inc.: | |||
1.75% 3/15/31 | 420,000 | 399,987 | |
3.9% 6/1/29 | 500,000 | 554,656 | |
Sally Holdings LLC 8.75% 4/30/25 (b) | 3,067,000 | 3,274,023 | |
The Home Depot, Inc.: | |||
4.875% 2/15/44 | 1,175,000 | 1,563,221 | |
5.875% 12/16/36 | 300,000 | 425,665 | |
VIA Outlets 1.75% 11/15/28 (Reg. S) | EUR | 700,000 | 792,663 |
20,551,556 | |||
Textiles, Apparel & Luxury Goods - 0.0% | |||
Crocs, Inc. 4.125% 8/15/31 (b) | 120,000 | 119,400 | |
Kontoor Brands, Inc. 4.125% 11/15/29 (b) | 40,000 | 39,901 | |
Levi Strauss & Co. 3.5% 3/1/31 (b) | 170,000 | 172,763 | |
Tapestry, Inc. 3.05% 3/15/32 (e) | 14,311,000 | 14,465,265 | |
The William Carter Co. 5.625% 3/15/27 (b) | 875,000 | 900,848 | |
Wolverine World Wide, Inc. 4% 8/15/29 (b) | 170,000 | 164,900 | |
15,863,077 | |||
TOTAL CONSUMER DISCRETIONARY | 228,345,914 | ||
CONSUMER STAPLES - 0.6% | |||
Beverages - 0.3% | |||
Anheuser-Busch Companies LLC / Anheuser-Busch InBev Worldwide, Inc.: | |||
4.7% 2/1/36 | 2,765,000 | 3,324,913 | |
4.9% 2/1/46 | 13,910,000 | 17,658,259 | |
Anheuser-Busch InBev Finance, Inc.: | |||
4.7% 2/1/36 | 9,871,000 | 11,836,121 | |
4.9% 2/1/46 | 12,306,000 | 15,485,231 | |
Anheuser-Busch InBev Worldwide, Inc.: | |||
3.5% 6/1/30 | 8,175,000 | 8,940,210 | |
4.35% 6/1/40 | 4,618,000 | 5,424,571 | |
4.375% 4/15/38 | 2,500,000 | 2,911,793 | |
4.5% 6/1/50 | 8,175,000 | 10,116,845 | |
4.6% 6/1/60 | 5,007,000 | 6,222,718 | |
4.75% 1/23/29 | 1,190,000 | 1,387,337 | |
5.45% 1/23/39 | 5,390,000 | 7,064,241 | |
5.55% 1/23/49 | 15,352,000 | 21,175,241 | |
5.8% 1/23/59 (Reg. S) | 6,509,000 | 9,544,732 | |
Bacardi Ltd.: | |||
4.45% 5/15/25 (b) | 2,060,000 | 2,237,998 | |
4.7% 5/15/28 (b) | 563,000 | 641,067 | |
5.3% 5/15/48 (b) | 1,050,000 | 1,394,768 | |
Constellation Brands, Inc.: | |||
2.25% 8/1/31 | 1,285,000 | 1,252,221 | |
3.7% 12/6/26 | 1,200,000 | 1,299,002 | |
4.4% 11/15/25 | 805,000 | 886,770 | |
4.75% 11/15/24 | 5,595,000 | 6,142,634 | |
Diageo Capital PLC 2.125% 4/29/32 | 390,000 | 389,536 | |
PepsiCo, Inc.: | |||
2.625% 3/19/27 | 839,000 | 883,604 | |
2.75% 3/5/22 | 900,000 | 905,679 | |
3.1% 7/17/22 | 260,000 | 263,439 | |
Primo Water Holdings, Inc. 4.375% 4/30/29 (b) | 220,000 | 217,738 | |
137,606,668 | |||
Food & Staples Retailing - 0.0% | |||
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC: | |||
3.5% 3/15/29 (b) | 645,000 | 639,227 | |
4.875% 2/15/30 (b) | 615,000 | 653,640 | |
Alimentation Couche-Tard, Inc. 2.95% 1/25/30 (b) | 1,800,000 | 1,875,461 | |
Bellis Acquisition Co. PLC 4.5% 2/16/26 (b) | GBP | 975,000 | 1,272,717 |
Bellis Finco PLC 4% 2/16/27 (b) | GBP | 9,000,000 | 11,099,747 |
C&S Group Enterprises LLC 5% 12/15/28 (b) | 2,000,000 | 1,863,400 | |
Co-Operative Group Ltd. 5.125% 5/17/24 (Reg. S) | GBP | 725,000 | 1,000,484 |
Kroger Co. 2.65% 10/15/26 | 430,000 | 446,001 | |
U.S. Foods, Inc.: | |||
4.625% 6/1/30 (b) | 55,000 | 55,275 | |
6.25% 4/15/25 (b) | 185,000 | 192,530 | |
19,098,482 | |||
Food Products - 0.2% | |||
Darling Ingredients, Inc. 5.25% 4/15/27 (b) | 300,000 | 310,106 | |
Hormel Foods Corp. 0.65% 6/3/24 | 895,000 | 887,677 | |
JBS Finance Luxembourg SARL 2.5% 1/15/27 (b) | 6,105,000 | 6,053,718 | |
JBS U.S.A. Lux SA / JBS Food Co.: | |||
3% 5/15/32 (b)(e) | 5,020,000 | 4,965,332 | |
5.5% 1/15/30 (b) | 15,375,000 | 16,492,609 | |
6.5% 4/15/29 (b) | 19,275,000 | 21,106,125 | |
JDE Peet's BV 2.25% 9/24/31 (b) | 1,400,000 | 1,366,255 | |
Kraft Heinz Foods Co.: | |||
3.75% 4/1/30 | 653,000 | 711,514 | |
3.875% 5/15/27 | 235,000 | 254,069 | |
4.25% 3/1/31 | 7,220,000 | 8,259,553 | |
4.375% 6/1/46 | 8,790,000 | 10,172,999 | |
4.875% 10/1/49 | 250,000 | 311,689 | |
5% 7/15/35 | 920,000 | 1,140,051 | |
5.2% 7/15/45 | 4,602,000 | 5,857,177 | |
7.125% 8/1/39 (b) | 9,093,000 | 13,646,793 | |
Lamb Weston Holdings, Inc.: | |||
4.125% 1/31/30 (b) | 900,000 | 897,476 | |
4.375% 1/31/32 (b) | 900,000 | 895,032 | |
4.875% 5/15/28 (b) | 345,000 | 366,131 | |
Pilgrim's Pride Corp.: | |||
3.5% 3/1/32 (b) | 3,000,000 | 3,015,000 | |
4.25% 4/15/31 (b) | 2,825,000 | 2,959,188 | |
5.875% 9/30/27 (b) | 500,000 | 525,000 | |
Post Holdings, Inc.: | |||
4.625% 4/15/30 (b) | 2,880,000 | 2,844,000 | |
5.5% 12/15/29 (b) | 270,000 | 279,304 | |
TreeHouse Foods, Inc. 4% 9/1/28 | 505,000 | 478,796 | |
Tyson Foods, Inc. 4% 3/1/26 | 2,520,000 | 2,736,060 | |
106,531,654 | |||
Household Products - 0.0% | |||
Central Garden & Pet Co. 4.125% 4/30/31 (b) | 1,325,000 | 1,328,313 | |
Spectrum Brands Holdings, Inc. 3.875% 3/15/31 (b) | 2,500,000 | 2,400,000 | |
3,728,313 | |||
Tobacco - 0.1% | |||
Altria Group, Inc.: | |||
2.45% 2/4/32 | 6,000,000 | 5,648,269 | |
3.4% 2/4/41 | 6,025,000 | 5,575,595 | |
4.25% 8/9/42 | 490,000 | 497,311 | |
BAT Capital Corp.: | |||
3.215% 9/6/26 | 740,000 | 768,606 | |
3.557% 8/15/27 | 2,540,000 | 2,658,037 | |
4.39% 8/15/37 | 1,000,000 | 1,061,850 | |
4.54% 8/15/47 | 11,635,000 | 12,202,927 | |
4.7% 4/2/27 | 325,000 | 358,537 | |
BAT International Finance PLC: | |||
2.25% 6/26/28 (Reg. S) | GBP | 3,970,000 | 5,196,062 |
3.95% 6/15/25 (b) | 6,600,000 | 7,079,763 | |
Imperial Tobacco Finance PLC: | |||
3.125% 7/26/24 (b) | 4,250,000 | 4,406,169 | |
4.25% 7/21/25 (b) | 1,500,000 | 1,615,717 | |
Philip Morris International, Inc.: | |||
1.125% 5/1/23 | 955,000 | 960,728 | |
3.875% 8/21/42 | 730,000 | 799,187 | |
Reynolds American, Inc. 5.7% 8/15/35 | 635,000 | 756,336 | |
49,585,094 | |||
TOTAL CONSUMER STAPLES | 316,550,211 | ||
ENERGY - 1.2% | |||
Energy Equipment & Services - 0.0% | |||
Halliburton Co.: | |||
4.75% 8/1/43 | 445,000 | 521,272 | |
6.7% 9/15/38 | 170,000 | 234,679 | |
Precision Drilling Corp. 7.125% 1/15/26 (b) | 115,000 | 115,769 | |
Technip Energies NV 1.125% 5/28/28 | EUR | 855,000 | 978,345 |
Transocean Phoenix 2 Ltd. 7.75% 10/15/24 (b) | 122,500 | 122,500 | |
Transocean Poseidon Ltd. 6.875% 2/1/27 (b) | 120,000 | 114,000 | |
Transocean Proteus Ltd. 6.25% 12/1/24 (b) | 2,200,000 | 2,178,000 | |
Transocean, Inc. 11.5% 1/30/27 (b) | 140,000 | 131,600 | |
U.S.A. Compression Partners LP 6.875% 9/1/27 | 2,575,000 | 2,640,894 | |
7,037,059 | |||
Oil, Gas & Consumable Fuels - 1.2% | |||
Aethon United BR LP / Aethon United Finance Corp. 8.25% 2/15/26 (b) | 125,000 | 132,188 | |
Aker BP ASA 2.875% 1/15/26 (b) | 7,120,000 | 7,404,911 | |
Antero Midstream Partners LP/Antero Midstream Finance Corp. 5.75% 3/1/27 (b) | 1,250,000 | 1,256,863 | |
Antero Resources Corp. 8.375% 7/15/26 (b) | 1,104,000 | 1,224,060 | |
Apache Corp.: | |||
4.25% 1/15/30 | 575,000 | 600,875 | |
5.25% 2/1/42 | 210,000 | 232,050 | |
Cenovus Energy, Inc.: | |||
3.75% 2/15/52 | 1,600,000 | 1,570,141 | |
5.25% 6/15/37 | 3,195,000 | 3,780,250 | |
5.4% 6/15/47 | 385,000 | 474,682 | |
Cheniere Energy Partners LP: | |||
3.25% 1/31/32 (b) | 115,000 | 111,694 | |
4% 3/1/31 (b) | 220,000 | 224,400 | |
Chesapeake Energy Corp.: | |||
5.5% 2/1/26 (b) | 330,000 | 342,375 | |
5.875% 2/1/29 (b) | 105,000 | 111,300 | |
Chevron Corp. 2.355% 12/5/22 | 840,000 | 851,048 | |
CNOOC Finance (2013) Ltd. 2.875% 9/30/29 | 1,615,000 | 1,671,323 | |
CNX Midstream Partners LP 4.75% 4/15/30 (b) | 45,000 | 44,325 | |
Colgate Energy Partners III LLC 5.875% 7/1/29 (b) | 60,000 | 59,550 | |
Columbia Pipeline Group, Inc. 4.5% 6/1/25 | 1,418,000 | 1,552,847 | |
Comstock Resources, Inc. 6.75% 3/1/29 (b) | 130,000 | 135,200 | |
ConocoPhillips Co.: | |||
2.4% 2/15/31 (b) | 410,000 | 413,200 | |
3.75% 10/1/27 (b) | 915,000 | 999,472 | |
4.3% 8/15/28 (b) | 2,915,000 | 3,303,230 | |
6.95% 4/15/29 | 425,000 | 559,221 | |
Continental Resources, Inc.: | |||
2.875% 4/1/32 (b) | 6,280,000 | 6,081,866 | |
5.75% 1/15/31 (b) | 770,000 | 896,881 | |
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp. 5.75% 4/1/25 | 1,657,000 | 1,661,896 | |
CrownRock LP/CrownRock Finance, Inc. 5% 5/1/29 (b) | 40,000 | 40,237 | |
CVR Energy, Inc.: | |||
5.25% 2/15/25 (b) | 330,000 | 314,358 | |
5.75% 2/15/28 (b) | 40,000 | 37,780 | |
DCP Midstream Operating LP: | |||
3.875% 3/15/23 | 17,626,000 | 17,934,455 | |
5.125% 5/15/29 | 355,000 | 393,660 | |
5.375% 7/15/25 | 345,000 | 368,081 | |
5.6% 4/1/44 | 3,773,000 | 4,488,738 | |
5.625% 7/15/27 | 260,000 | 290,391 | |
5.85% 5/21/43 (b)(c) | 16,392,000 | 15,668,457 | |
Devon Energy Corp. 5.6% 7/15/41 | 800,000 | 1,006,558 | |
Diamondback Energy, Inc.: | |||
3.125% 3/24/31 | 4,710,000 | 4,801,168 | |
3.25% 12/1/26 | 4,500,000 | 4,722,698 | |
3.5% 12/1/29 | 1,250,000 | 1,311,135 | |
Ecopetrol SA: | |||
5.375% 6/26/26 | 1,340,000 | 1,401,975 | |
5.875% 9/18/23 | 2,218,000 | 2,338,881 | |
EG Global Finance PLC: | |||
4.375% 2/7/25 (Reg. S) | EUR | 4,000,000 | 4,450,707 |
6.25% 10/30/25 (Reg. S) | EUR | 5,600,000 | 6,405,959 |
6.75% 2/7/25 (b) | 220,000 | 221,650 | |
8.5% 10/30/25 (b) | 380,000 | 390,689 | |
Enable Midstream Partners LP 3.9% 5/15/24 (c) | 1,210,000 | 1,269,854 | |
Enbridge, Inc.: | |||
4% 10/1/23 | 3,799,000 | 3,978,040 | |
4.25% 12/1/26 | 1,943,000 | 2,131,599 | |
Endeavor Energy Resources LP/EER Finance, Inc.: | |||
5.75% 1/30/28 (b) | 180,000 | 187,200 | |
6.625% 7/15/25 (b) | 45,000 | 47,306 | |
Energean Israel Finance Ltd.: | |||
4.5% 3/30/24 (Reg. S) (b) | 900,000 | 900,000 | |
4.875% 3/30/26 (Reg. S) (b) | 296,000 | 291,116 | |
5.375% 3/30/28 (Reg. S) (b) | 1,315,000 | 1,285,413 | |
Energy Transfer LP: | |||
3.75% 5/15/30 | 2,964,000 | 3,120,257 | |
3.9% 7/15/26 | 1,005,000 | 1,080,663 | |
4.2% 9/15/23 | 1,452,000 | 1,521,549 | |
4.25% 3/15/23 | 1,373,000 | 1,417,662 | |
4.5% 4/15/24 | 1,723,000 | 1,834,878 | |
4.75% 1/15/26 | 850,000 | 931,053 | |
4.95% 6/15/28 | 4,954,000 | 5,600,641 | |
5% 5/15/50 | 11,610,000 | 13,340,840 | |
5.15% 3/15/45 | 2,260,000 | 2,578,224 | |
5.25% 4/15/29 | 2,803,000 | 3,205,828 | |
5.3% 4/15/47 | 225,000 | 260,082 | |
5.35% 5/15/45 | 1,950,000 | 2,263,852 | |
5.4% 10/1/47 | 8,931,000 | 10,631,336 | |
5.8% 6/15/38 | 2,762,000 | 3,352,012 | |
6% 6/15/48 | 2,449,000 | 3,074,047 | |
6.25% 4/15/49 | 1,925,000 | 2,499,178 | |
6.625% 10/15/36 | 900,000 | 1,160,870 | |
EnLink Midstream LLC 5.625% 1/15/28 (b) | 220,000 | 225,500 | |
Enterprise Products Operating LP: | |||
3.125% 7/31/29 | 1,225,000 | 1,298,330 | |
3.2% 2/15/52 | 275,000 | 269,111 | |
3.7% 1/31/51 | 65,000 | 68,587 | |
4.85% 3/15/44 | 2,725,000 | 3,299,022 | |
EOG Resources, Inc. 3.9% 4/1/35 | 205,000 | 231,534 | |
EQM Midstream Partners LP: | |||
6.5% 7/1/27 (b) | 125,000 | 135,000 | |
6.5% 7/15/48 | 220,000 | 255,354 | |
EQT Corp.: | |||
3.9% 10/1/27 | 180,000 | 187,657 | |
5% 1/15/29 | 70,000 | 76,650 | |
Equinor ASA: | |||
3.7% 4/6/50 | 920,000 | 1,065,436 | |
3.95% 5/15/43 | 300,000 | 350,283 | |
Exxon Mobil Corp.: | |||
2.397% 3/6/22 | 1,575,000 | 1,577,882 | |
3.452% 4/15/51 | 4,000,000 | 4,369,274 | |
4.114% 3/1/46 | 705,000 | 838,667 | |
Galaxy Pipeline Assets BidCo Ltd. 2.16% 3/31/34 (b) | 565,000 | 547,485 | |
Gulfstream Natural Gas System LLC 6.19% 11/1/25 (b) | 3,640,000 | 4,226,143 | |
Hess Corp.: | |||
4.3% 4/1/27 | 1,117,000 | 1,213,075 | |
5.6% 2/15/41 | 2,846,000 | 3,507,770 | |
5.8% 4/1/47 | 4,517,000 | 5,932,877 | |
7.125% 3/15/33 | 1,335,000 | 1,784,267 | |
7.3% 8/15/31 | 1,849,000 | 2,466,844 | |
7.875% 10/1/29 | 5,583,000 | 7,519,610 | |
Hess Midstream Partners LP: | |||
5.125% 6/15/28 (b) | 110,000 | 112,475 | |
5.625% 2/15/26 (b) | 669,000 | 684,053 | |
Holly Energy Partners LP/Holly Energy Finance Corp. 5% 2/1/28 (b) | 375,000 | 373,125 | |
KazMunaiGaz National Co.: | |||
3.5% 4/14/33 (b) | 1,420,000 | 1,446,980 | |
3.5% 4/14/33 (Reg. S) | 400,000 | 407,600 | |
5.375% 4/24/30 (Reg. S) | 200,000 | 229,050 | |
Kinder Morgan Energy Partners LP: | |||
4.15% 3/1/22 | 885,000 | 893,122 | |
4.15% 2/1/24 | 425,000 | 449,028 | |
Lundin Energy Finance BV 3.1% 7/15/31 (b) | 1,295,000 | 1,308,545 | |
Magellan Midstream Partners LP: | |||
3.25% 6/1/30 | 475,000 | 499,786 | |
3.95% 3/1/50 | 1,210,000 | 1,302,987 | |
4.2% 10/3/47 | 695,000 | 770,654 | |
4.25% 9/15/46 | 190,000 | 213,436 | |
Marathon Petroleum Corp. 3.8% 4/1/28 | 5,590,000 | 6,007,076 | |
MEG Energy Corp.: | |||
5.875% 2/1/29 (b) | 300,000 | 297,660 | |
7.125% 2/1/27 (b) | 220,000 | 224,950 | |
MPLX LP: | |||
2.65% 8/15/30 | 725,000 | 718,802 | |
4.125% 3/1/27 | 505,000 | 549,308 | |
4.5% 7/15/23 | 160,000 | 167,306 | |
4.5% 4/15/38 | 1,125,000 | 1,248,499 | |
4.7% 4/15/48 | 1,550,000 | 1,787,316 | |
4.8% 2/15/29 | 2,785,000 | 3,158,995 | |
4.875% 12/1/24 | 2,489,000 | 2,705,876 | |
5.2% 3/1/47 | 3,275,000 | 3,994,003 | |
5.5% 2/15/49 | 4,516,000 | 5,703,701 | |
Occidental Petroleum Corp.: | |||
3.5% 8/15/29 | 2,729,000 | 2,672,537 | |
4.1% 2/15/47 | 265,000 | 252,413 | |
4.2% 3/15/48 | 125,000 | 120,081 | |
4.3% 8/15/39 | 439,000 | 428,025 | |
4.4% 4/15/46 | 200,000 | 196,532 | |
4.4% 8/15/49 | 1,809,000 | 1,777,343 | |
5.55% 3/15/26 | 6,488,000 | 6,935,899 | |
6.2% 3/15/40 | 65,000 | 77,025 | |
6.45% 9/15/36 | 4,545,000 | 5,643,708 | |
6.6% 3/15/46 | 6,475,000 | 8,241,704 | |
7.5% 5/1/31 | 8,596,000 | 10,834,699 | |
7.875% 9/15/31 | 40,000 | 52,100 | |
8.875% 7/15/30 | 145,000 | 190,410 | |
ONEOK Partners LP 6.65% 10/1/36 | 400,000 | 533,242 | |
ONEOK, Inc.: | |||
3.1% 3/15/30 | 2,900,000 | 2,982,233 | |
4.45% 9/1/49 | 8,455,000 | 9,406,770 | |
4.95% 7/13/47 | 590,000 | 689,993 | |
Ovintiv Exploration, Inc. 5.375% 1/1/26 | 310,000 | 341,660 | |
Ovintiv, Inc.: | |||
5.15% 11/15/41 | 3,000,000 | 3,310,668 | |
8.125% 9/15/30 | 6,179,000 | 8,127,220 | |
Parsley Energy LLC/Parsley Finance Corp. 5.625% 10/15/27 (b) | 1,920,000 | 2,006,400 | |
PBF Holding Co. LLC/PBF Finance Corp.: | |||
6% 2/15/28 | 190,000 | 113,335 | |
9.25% 5/15/25 (b) | 475,000 | 439,375 | |
Petrobras Global Finance BV: | |||
5.093% 1/15/30 | 445,000 | 449,365 | |
5.6% 1/3/31 | 3,234,000 | 3,348,872 | |
5.75% 2/1/29 | 635,000 | 669,647 | |
6.25% 12/14/26 | GBP | 800,000 | 1,158,586 |
7.375% 1/17/27 | 1,160,000 | 1,336,900 | |
Petroleos Mexicanos: | |||
3.75% 2/21/24 (Reg. S) | EUR | 2,300,000 | 2,631,254 |
4.75% 2/26/29 (Reg. S) | EUR | 3,400,000 | 3,653,503 |
5.35% 2/12/28 | 253,000 | 242,032 | |
6.5% 3/13/27 | 37,757,000 | 38,578,215 | |
6.5% 1/23/29 | 1,190,000 | 1,182,533 | |
6.75% 9/21/47 | 11,150,000 | 9,116,798 | |
6.84% 1/23/30 | 10,852,000 | 10,835,722 | |
7.69% 1/23/50 | 85,755,000 | 76,948,819 | |
Petronas Capital Ltd.: | |||
2.48% 1/28/32 (b) | 200,000 | 199,862 | |
3.5% 4/21/30 (b) | 1,000,000 | 1,084,600 | |
Phillips 66 Co. 2.15% 12/15/30 | 300,000 | 287,584 | |
Phillips 66 Partners LP: | |||
3.75% 3/1/28 | 595,000 | 640,355 | |
4.9% 10/1/46 | 750,000 | 921,964 | |
Pioneer Natural Resources Co.: | |||
0.75% 1/15/24 | 495,000 | 491,313 | |
1.9% 8/15/30 | 1,570,000 | 1,486,814 | |
2.15% 1/15/31 | 325,000 | 312,141 | |
Plains All American Pipeline LP/PAA Finance Corp.: | |||
3.55% 12/15/29 | 2,689,000 | 2,786,446 | |
3.6% 11/1/24 | 1,877,000 | 1,964,926 | |
3.65% 6/1/22 | 10,550,000 | 10,623,540 | |
3.8% 9/15/30 | 260,000 | 272,740 | |
4.5% 12/15/26 | 1,095,000 | 1,197,045 | |
5.15% 6/1/42 | 4,285,000 | 4,750,338 | |
PT Pertamina Persero 3.1% 8/27/30 (b) | 600,000 | 605,316 | |
Qatar Petroleum: | |||
1.375% 9/12/26 (b) | 1,000,000 | 980,000 | |
3.125% 7/12/41 (b) | 1,145,000 | 1,147,290 | |
Regency Energy Partners LP/Regency Energy Finance Corp. 5.875% 3/1/22 | 2,310,000 | 2,310,000 | |
Rockies Express Pipeline LLC: | |||
4.8% 5/15/30 (b) | 1,331,000 | 1,377,585 | |
4.95% 7/15/29 (b) | 2,375,000 | 2,490,781 | |
Sabine Pass Liquefaction LLC 4.5% 5/15/30 | 9,948,000 | 11,253,558 | |
Santos Finance Ltd. 3.649% 4/29/31 (b) | 4,800,000 | 4,911,212 | |
Saudi Arabian Oil Co. 1.625% 11/24/25 (Reg. S) | 800,000 | 795,000 | |
Schlumberger Investment SA 3.65% 12/1/23 | 210,000 | 219,756 | |
Shell International Finance BV 3.25% 5/11/25 | 1,465,000 | 1,560,470 | |
SM Energy Co. 6.625% 1/15/27 | 300,000 | 301,500 | |
Spectra Energy Partners LP 4.75% 3/15/24 | 6,000,000 | 6,427,519 | |
Suncor Energy, Inc.: | |||
3.75% 3/4/51 | 3,940,000 | 4,276,385 | |
6.8% 5/15/38 | 350,000 | 494,301 | |
Sunoco LP/Sunoco Finance Corp.: | |||
4.5% 5/15/29 | 255,000 | 251,558 | |
5.875% 3/15/28 | 55,000 | 57,475 | |
6% 4/15/27 | 5,000 | 5,181 | |
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.: | |||
6% 12/31/30 (b) | 2,450,000 | 2,420,937 | |
6% 9/1/31 (b) | 225,000 | 217,688 | |
Targa Resources Partners LP/Targa Resources Partners Finance Corp.: | |||
4.875% 2/1/31 | 290,000 | 311,025 | |
5.5% 3/1/30 | 55,000 | 59,813 | |
5.875% 4/15/26 | 400,000 | 414,500 | |
The Williams Companies, Inc.: | |||
3.5% 11/15/30 | 10,592,000 | 11,236,502 | |
3.6% 3/15/22 | 660,000 | 662,392 | |
3.7% 1/15/23 | 2,512,000 | 2,574,930 | |
3.75% 6/15/27 | 1,635,000 | 1,769,485 | |
4.85% 3/1/48 | 100,000 | 121,687 | |
4.9% 1/15/45 | 670,000 | 802,241 | |
Total Capital International SA: | |||
2.7% 1/25/23 | 1,375,000 | 1,406,145 | |
2.829% 1/10/30 | 800,000 | 840,262 | |
Transcontinental Gas Pipe Line Co. LLC: | |||
3.25% 5/15/30 | 2,185,000 | 2,303,316 | |
4.6% 3/15/48 | 350,000 | 427,361 | |
TransMontaigne Partners LP 6.125% 2/15/26 | 233,000 | 226,010 | |
Valero Energy Corp. 4% 4/1/29 | 1,120,000 | 1,216,867 | |
Venture Global Calcasieu Pass LLC: | |||
3.875% 8/15/29 (b) | 340,000 | 341,411 | |
3.875% 11/1/33 (b) | 115,000 | 115,288 | |
4.125% 8/15/31 (b) | 335,000 | 342,591 | |
Western Gas Partners LP: | |||
3.95% 6/1/25 | 1,126,000 | 1,164,245 | |
4.65% 7/1/26 | 2,085,000 | 2,225,738 | |
4.75% 8/15/28 | 1,465,000 | 1,595,019 | |
5.3% 2/1/30 | 785,000 | 844,896 | |
562,598,138 | |||
TOTAL ENERGY | 569,635,197 | ||
FINANCIALS - 3.9% | |||
Banks - 2.0% | |||
AIB Group PLC 1.875% 11/19/29 (Reg. S) (c) | EUR | 1,510,000 | 1,734,884 |
Alpha Bank SA 4.25% 2/13/30 (Reg. S) (c) | EUR | 390,000 | 423,501 |
Banco Santander SA 3.49% 5/28/30 | 1,000,000 | 1,056,834 | |
Bank Ireland Group PLC: | |||
1.375% 8/11/31 (Reg. S) (c) | EUR | 2,365,000 | 2,634,361 |
2.029% 9/30/27 (b)(c) | 1,400,000 | 1,382,272 | |
Bank of America Corp.: | |||
3 month U.S. LIBOR + 0.640% 2.015% 2/13/26 (c)(f) | 1,554,000 | 1,574,437 | |
1.658% 3/11/27 (c) | 8,135,000 | 8,072,800 | |
1.734% 7/22/27 (c) | 13,095,000 | 12,976,703 | |
2.087% 6/14/29 (c) | 7,865,000 | 7,758,508 | |
2.496% 2/13/31 (c) | 5,430,000 | 5,439,455 | |
2.651% 3/11/32 (c) | 16,000,000 | 16,171,211 | |
2.676% 6/19/41 (c) | 3,550,000 | 3,447,125 | |
2.687% 4/22/32 (c) | 2,615,000 | 2,648,033 | |
3.093% 10/1/25 (c) | 746,000 | 778,763 | |
3.3% 1/11/23 | 3,572,000 | 3,677,355 | |
3.419% 12/20/28 (c) | 8,640,000 | 9,204,940 | |
3.5% 4/19/26 | 5,358,000 | 5,769,895 | |
3.95% 4/21/25 | 12,493,000 | 13,404,803 | |
3.97% 3/5/29 (c) | 10,565,000 | 11,611,678 | |
4% 1/22/25 | 43,905,000 | 46,963,738 | |
4.078% 4/23/40 (c) | 7,865,000 | 9,087,523 | |
4.1% 7/24/23 | 13,989,000 | 14,772,689 | |
4.2% 8/26/24 | 2,028,000 | 2,179,274 | |
4.25% 10/22/26 | 10,727,000 | 11,824,289 | |
4.271% 7/23/29 (c) | 3,660,000 | 4,104,564 | |
4.45% 3/3/26 | 2,065,000 | 2,272,336 | |
Banque Federative du Credit Mutuel SA 3 month U.S. LIBOR + 0.730% 0.8615% 7/20/22 (b)(c)(f) | 8,041,000 | 8,074,285 | |
Barclays PLC: | |||
2.645% 6/24/31 (c) | 2,215,000 | 2,205,996 | |
2.667% 3/10/32 (c) | 10,165,000 | 10,062,498 | |
2.852% 5/7/26 (c) | 10,143,000 | 10,468,263 | |
4.337% 1/10/28 | 250,000 | 273,686 | |
4.836% 5/9/28 | 6,667,000 | 7,349,944 | |
4.95% 1/10/47 | 1,435,000 | 1,865,165 | |
4.972% 5/16/29 (c) | 15,000,000 | 17,196,858 | |
5.088% 6/20/30 (c) | 13,438,000 | 15,272,511 | |
5.2% 5/12/26 | 1,701,000 | 1,910,002 | |
BNP Paribas SA: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 1.000% 1.323% 1/13/27 (b)(c)(f) | 9,875,000 | 9,620,552 | |
2.159% 9/15/29 (b)(c) | 1,870,000 | 1,836,940 | |
2.219% 6/9/26 (b)(c) | 9,163,000 | 9,302,407 | |
BPCE SA 1.5% 1/13/42 (Reg. S) (c) | EUR | 1,200,000 | 1,348,536 |
CIT Group, Inc.: | |||
3.929% 6/19/24 (c) | 1,375,000 | 1,416,132 | |
4.75% 2/16/24 | 2,480,000 | 2,616,400 | |
5% 8/1/23 | 7,000,000 | 7,385,000 | |
6.125% 3/9/28 | 4,840,000 | 5,711,200 | |
Citigroup, Inc.: | |||
1.281% 11/3/25 (c) | 3,045,000 | 3,037,087 | |
1.462% 6/9/27 (c) | 4,910,000 | 4,816,112 | |
2.561% 5/1/32 (c) | 1,695,000 | 1,702,339 | |
2.572% 6/3/31 (c) | 3,100,000 | 3,117,315 | |
2.666% 1/29/31 (c) | 16,830,000 | 17,084,620 | |
2.904% 11/3/42 (c) | 470,000 | 467,598 | |
4.075% 4/23/29 (c) | 26,430,000 | 29,167,575 | |
4.3% 11/20/26 | 2,129,000 | 2,347,987 | |
4.4% 6/10/25 | 17,376,000 | 18,871,181 | |
4.412% 3/31/31 (c) | 13,726,000 | 15,657,160 | |
4.45% 9/29/27 | 4,630,000 | 5,148,998 | |
4.6% 3/9/26 | 3,500,000 | 3,867,312 | |
4.65% 7/30/45 | 350,000 | 448,323 | |
4.75% 5/18/46 | 10,000,000 | 12,571,275 | |
5.5% 9/13/25 | 8,267,000 | 9,355,875 | |
Citizens Financial Group, Inc. 2.638% 9/30/32 | 9,574,000 | 9,579,581 | |
Commonwealth Bank of Australia 3.61% 9/12/34 (b)(c) | 3,419,000 | 3,586,230 | |
Danske Bank A/S 2.25% 1/14/28 (Reg. S) (c) | GBP | 980,000 | 1,312,904 |
DNB Bank ASA 1.605% 3/30/28 (b)(c) | 4,560,000 | 4,479,005 | |
HAT Holdings I LLC/HAT Holdings II LLC 3.375% 6/15/26 (b) | 145,000 | 142,644 | |
HSBC Holdings PLC: | |||
0.976% 5/24/25 (c) | 235,000 | 232,355 | |
1.589% 5/24/27 (c) | 860,000 | 840,222 | |
2.013% 9/22/28 (c) | 5,085,000 | 4,968,113 | |
2.099% 6/4/26 (c) | 2,295,000 | 2,309,371 | |
2.206% 8/17/29 (c) | 6,795,000 | 6,651,861 | |
2.251% 11/22/27 (c) | 900,000 | 902,077 | |
4.041% 3/13/28 (c) | 3,380,000 | 3,649,881 | |
4.25% 3/14/24 | 1,872,000 | 1,985,349 | |
4.292% 9/12/26 (c) | 3,000,000 | 3,248,817 | |
4.95% 3/31/30 | 1,855,000 | 2,181,132 | |
ING Groep NV 1.726% 4/1/27 (c) | 5,935,000 | 5,910,277 | |
Intesa Sanpaolo SpA: | |||
5.017% 6/26/24 (b) | 31,005,000 | 33,145,504 | |
5.71% 1/15/26 (b) | 8,398,000 | 9,308,818 | |
Japan Bank International Cooperation 3.25% 7/20/23 | 400,000 | 417,066 | |
JPMorgan Chase & Co.: | |||
1.47% 9/22/27 (c) | 4,565,000 | 4,477,620 | |
1.578% 4/22/27 (c) | 3,395,000 | 3,353,997 | |
1.764% 11/19/31 (c) | 4,860,000 | 4,594,733 | |
2.005% 3/13/26 (c) | 7,285,000 | 7,384,188 | |
2.522% 4/22/31 (c) | 1,525,000 | 1,539,274 | |
2.525% 11/19/41 (c) | 22,775,000 | 21,625,519 | |
2.545% 11/8/32 (c) | 735,000 | 738,711 | |
2.58% 4/22/32 (c) | 6,200,000 | 6,252,258 | |
2.776% 4/25/23 (c) | 2,000,000 | 2,016,207 | |
2.956% 5/13/31 (c) | 5,386,000 | 5,563,023 | |
3.509% 1/23/29 (c) | 4,150,000 | 4,461,459 | |
3.875% 9/10/24 | 250,000 | 266,757 | |
3.882% 7/24/38 (c) | 4,990,000 | 5,717,747 | |
3.964% 11/15/48 (c) | 1,270,000 | 1,510,583 | |
4.005% 4/23/29 (c) | 2,290,000 | 2,528,803 | |
4.125% 12/15/26 | 4,475,000 | 4,946,176 | |
Lloyds Banking Group PLC: | |||
1.627% 5/11/27 (c) | 2,000,000 | 1,967,926 | |
1.985% 12/15/31 (c) | GBP | 665,000 | 868,299 |
2.907% 11/7/23 (c) | 4,735,000 | 4,821,253 | |
3.87% 7/9/25 (c) | 5,375,000 | 5,707,738 | |
4.375% 3/22/28 | 1,365,000 | 1,533,237 | |
NatWest Group PLC: | |||
3.073% 5/22/28 (c) | 5,799,000 | 6,040,561 | |
3.622% 8/14/30 (Reg. S) (c) | GBP | 1,900,000 | 2,635,334 |
4.269% 3/22/25 (c) | 7,301,000 | 7,761,824 | |
4.8% 4/5/26 | 15,438,000 | 17,206,318 | |
5.125% 5/28/24 | 25,198,000 | 27,273,372 | |
6% 12/19/23 | 40,605,000 | 44,277,110 | |
6.1% 6/10/23 | 35,526,000 | 38,061,058 | |
6.125% 12/15/22 | 5,889,000 | 6,195,921 | |
NatWest Markets PLC 2.375% 5/21/23 (b) | 10,828,000 | 11,068,591 | |
Peoples United Bank 4% 7/15/24 | 40,000 | 42,109 | |
PNC Financial Services Group, Inc. 3.9% 4/29/24 | 375,000 | 399,270 | |
Rabobank Nederland 4.375% 8/4/25 | 7,713,000 | 8,385,047 | |
Santander UK Group Holdings PLC: | |||
1.089% 3/15/25 (c) | 6,685,000 | 6,625,944 | |
1.673% 6/14/27 (c) | 4,715,000 | 4,624,555 | |
4.796% 11/15/24 (c) | 4,025,000 | 4,303,251 | |
Societe Generale: | |||
1.488% 12/14/26 (b)(c) | 9,875,000 | 9,650,668 | |
4.25% 4/14/25 (b) | 21,901,000 | 23,328,140 | |
4.75% 11/24/25 (b) | 830,000 | 903,460 | |
Sumitomo Mitsui Banking Corp. 3.95% 7/19/23 | 250,000 | 262,917 | |
Synchrony Bank 3% 6/15/22 | 5,477,000 | 5,538,449 | |
Truist Financial Corp. 2.7% 1/27/22 | 540,000 | 540,921 | |
UniCredit SpA: | |||
2.731% 1/15/32 (Reg. S) (c) | EUR | 1,880,000 | 2,150,312 |
3.127% 6/3/32 (b)(c) | 2,515,000 | 2,489,824 | |
6.572% 1/14/22 (b) | 7,600,000 | 7,649,096 | |
Virgin Money UK PLC 5.125% 12/11/30 (Reg. S) (c) | GBP | 600,000 | 864,098 |
Wells Fargo & Co.: | |||
2.164% 2/11/26 (c) | 5,410,000 | 5,520,284 | |
2.188% 4/30/26 (c) | 4,250,000 | 4,339,676 | |
2.406% 10/30/25 (c) | 5,834,000 | 5,990,024 | |
2.572% 2/11/31 (c) | 585,000 | 593,518 | |
2.879% 10/30/30 (c) | 12,690,000 | 13,162,368 | |
3% 2/19/25 | 4,715,000 | 4,919,523 | |
4.125% 8/15/23 | 280,000 | 294,705 | |
4.3% 7/22/27 | 21,880,000 | 24,327,748 | |
4.478% 4/4/31 (c) | 24,095,000 | 27,843,541 | |
4.65% 11/4/44 | 1,385,000 | 1,692,491 | |
5.013% 4/4/51 (c) | 2,285,000 | 3,160,724 | |
Westpac Banking Corp. 4.11% 7/24/34 (c) | 4,937,000 | 5,353,819 | |
964,752,389 | |||
Capital Markets - 1.0% | |||
Affiliated Managers Group, Inc. 4.25% 2/15/24 | 1,847,000 | 1,971,557 | |
Ares Capital Corp.: | |||
3.875% 1/15/26 | 13,816,000 | 14,543,133 | |
4.2% 6/10/24 | 12,032,000 | 12,676,531 | |
Bank of New York Mellon Corp. 3.4% 5/15/24 | 750,000 | 793,562 | |
Coinbase Global, Inc.: | |||
3.375% 10/1/28 (b) | 285,000 | 267,900 | |
3.625% 10/1/31 (b) | 285,000 | 264,338 | |
Credit Suisse Group AG: | |||
1.305% 2/2/27 (b)(c) | 6,900,000 | 6,678,767 | |
2.125% 11/15/29 (Reg. S) (c) | GBP | 700,000 | 922,084 |
2.193% 6/5/26 (b)(c) | 4,965,000 | 5,011,527 | |
2.593% 9/11/25 (b)(c) | 13,060,000 | 13,354,070 | |
3.091% 5/14/32 (b)(c) | 12,305,000 | 12,470,738 | |
3.75% 3/26/25 | 15,667,000 | 16,699,240 | |
4.194% 4/1/31 (b)(c) | 13,355,000 | 14,689,536 | |
4.282% 1/9/28 (b) | 1,250,000 | 1,363,077 | |
4.55% 4/17/26 | 7,159,000 | 7,906,389 | |
CyrusOne LP/CyrusOne Finance Corp.: | |||
2.15% 11/1/30 | 1,000,000 | 980,900 | |
2.9% 11/15/24 | 4,000,000 | 4,148,720 | |
Deutsche Bank AG 4.5% 4/1/25 | 13,996,000 | 14,933,917 | |
Deutsche Bank AG New York Branch: | |||
3.3% 11/16/22 | 10,180,000 | 10,423,515 | |
5% 2/14/22 | 14,609,000 | 14,737,423 | |
Goldman Sachs Group, Inc.: | |||
1.431% 3/9/27 (c) | 15,505,000 | 15,201,191 | |
1.948% 10/21/27 (c) | 3,030,000 | 3,022,973 | |
1.992% 1/27/32 (c) | 4,895,000 | 4,686,471 | |
2.383% 7/21/32 (c) | 10,590,000 | 10,390,815 | |
3.814% 4/23/29 (c) | 7,695,000 | 8,380,477 | |
4.017% 10/31/38 (c) | 6,495,000 | 7,415,462 | |
4.223% 5/1/29 (c) | 3,475,000 | 3,853,115 | |
6.75% 10/1/37 | 50,999,000 | 72,024,852 | |
Intercontinental Exchange, Inc. 3.75% 12/1/25 | 3,162,000 | 3,424,803 | |
Jane Street Group LLC/JSG Finance, Inc. 4.5% 11/15/29 (b) | 65,000 | 64,903 | |
Jefferies Group LLC / Jefferies Group Capital Finance, Inc. 2.625% 10/15/31 | 5,530,000 | 5,424,166 | |
Jefferies Group, Inc. 2.75% 10/15/32 | 1,255,000 | 1,250,193 | |
LPL Holdings, Inc. 4% 3/15/29 (b) | 445,000 | 446,865 | |
Macquarie Group Ltd.: | |||
1.34% 1/12/27 (b)(c) | 5,861,000 | 5,732,961 | |
2.871% 1/14/33 (b)(c) | 1,690,000 | 1,693,513 | |
3.189% 11/28/23 (b)(c) | 1,885,000 | 1,929,380 | |
Morgan Stanley: | |||
1.512% 7/20/27 (c) | 10,390,000 | 10,191,213 | |
1.593% 5/4/27 (c) | 5,800,000 | 5,734,547 | |
1.794% 2/13/32 (c) | 6,365,000 | 6,029,152 | |
2.239% 7/21/32 (c) | 875,000 | 857,464 | |
2.511% 10/20/32 (c) | 3,820,000 | 3,832,411 | |
2.699% 1/22/31 (c) | 21,825,000 | 22,409,322 | |
3.125% 7/27/26 | 37,616,000 | 39,855,507 | |
3.622% 4/1/31 (c) | 13,084,000 | 14,284,915 | |
3.7% 10/23/24 | 21,259,000 | 22,660,818 | |
3.772% 1/24/29 (c) | 4,085,000 | 4,458,224 | |
3.875% 1/27/26 | 625,000 | 678,167 | |
4% 7/23/25 | 1,000,000 | 1,084,814 | |
4.35% 9/8/26 | 2,070,000 | 2,291,163 | |
4.431% 1/23/30 (c) | 2,525,000 | 2,879,019 | |
5% 11/24/25 | 40,891,000 | 45,713,372 | |
MSCI, Inc. 3.25% 8/15/33 (b) | 90,000 | 89,744 | |
Nomura Holdings, Inc.: | |||
2.608% 7/14/31 | 955,000 | 941,287 | |
2.648% 1/16/25 | 875,000 | 904,815 | |
State Street Corp.: | |||
2.2% 3/3/31 | 12,290,000 | 12,207,540 | |
2.825% 3/30/23 (c) | 887,000 | 893,466 | |
2.901% 3/30/26 (c) | 833,000 | 876,119 | |
UBS AG London Branch 0.7% 8/9/24 (b) | 4,415,000 | 4,368,072 | |
503,020,215 | |||
Consumer Finance - 0.5% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
1.65% 10/29/24 | 10,272,000 | 10,253,474 | |
2.45% 10/29/26 | 3,749,000 | 3,758,432 | |
2.875% 8/14/24 | 7,954,000 | 8,209,939 | |
3% 10/29/28 | 11,826,000 | 11,908,816 | |
3.15% 2/15/24 | 2,065,000 | 2,132,014 | |
3.3% 1/30/32 | 4,200,000 | 4,232,046 | |
3.5% 5/26/22 | 393,000 | 397,561 | |
4.125% 7/3/23 | 5,132,000 | 5,351,604 | |
4.45% 4/3/26 | 4,282,000 | 4,645,333 | |
4.875% 1/16/24 | 11,491,000 | 12,278,456 | |
6.5% 7/15/25 | 4,320,000 | 4,941,765 | |
Ally Financial, Inc.: | |||
1.45% 10/2/23 | 2,261,000 | 2,270,999 | |
3.05% 6/5/23 | 11,748,000 | 12,061,839 | |
3.875% 5/21/24 | 6,322,000 | 6,666,857 | |
5.125% 9/30/24 | 2,688,000 | 2,945,214 | |
5.75% 11/20/25 | 1,765,000 | 1,998,829 | |
5.8% 5/1/25 | 6,894,000 | 7,791,222 | |
8% 11/1/31 | 305,000 | 431,463 | |
Capital One Financial Corp.: | |||
3.65% 5/11/27 | 15,820,000 | 17,107,167 | |
3.8% 1/31/28 | 7,795,000 | 8,533,098 | |
Discover Financial Services: | |||
3.95% 11/6/24 | 8,102,000 | 8,654,824 | |
4.1% 2/9/27 | 645,000 | 702,678 | |
4.5% 1/30/26 | 6,463,000 | 7,089,765 | |
Ford Motor Credit Co. LLC: | |||
2.9% 2/16/28 | 275,000 | 270,361 | |
3.339% 3/28/22 | 6,970,000 | 6,994,047 | |
4% 11/13/30 | 345,000 | 361,819 | |
4.063% 11/1/24 | 22,139,000 | 23,090,977 | |
4.125% 8/17/27 | 185,000 | 195,160 | |
4.271% 1/9/27 | 85,000 | 89,853 | |
4.687% 6/9/25 | 180,000 | 190,844 | |
5.113% 5/3/29 | 400,000 | 442,840 | |
5.125% 6/16/25 | 135,000 | 145,919 | |
5.584% 3/18/24 | 8,575,000 | 9,147,810 | |
5.596% 1/7/22 | 14,820,000 | 14,873,352 | |
GE Capital International Funding Co. 4.418% 11/15/35 | 5,751,000 | 6,950,841 | |
John Deere Capital Corp. 2.65% 6/24/24 | 615,000 | 642,031 | |
OneMain Finance Corp.: | |||
4% 9/15/30 | 500,000 | 482,500 | |
5.375% 11/15/29 | 1,679,000 | 1,766,887 | |
6.875% 3/15/25 | 1,165,000 | 1,281,500 | |
Synchrony Financial: | |||
2.85% 7/25/22 | 2,029,000 | 2,056,117 | |
3.95% 12/1/27 | 8,719,000 | 9,413,204 | |
4.25% 8/15/24 | 6,050,000 | 6,440,801 | |
4.375% 3/19/24 | 7,165,000 | 7,596,442 | |
5.15% 3/19/29 | 13,451,000 | 15,636,380 | |
252,433,080 | |||
Diversified Financial Services - 0.2% | |||
1MDB Global Investments Ltd. 4.4% 3/9/23 | 2,500,000 | 2,502,250 | |
Aon Corp. / Aon Global Holdings PLC 2.6% 12/2/31 | 940,000 | 946,167 | |
Athene Global Funding 1.608% 6/29/26 (b) | 3,350,000 | 3,299,146 | |
Brixmor Operating Partnership LP: | |||
2.5% 8/16/31 | 1,070,000 | 1,041,819 | |
4.05% 7/1/30 | 12,288,000 | 13,500,667 | |
4.125% 6/15/26 | 5,706,000 | 6,219,866 | |
4.125% 5/15/29 | 6,724,000 | 7,485,045 | |
Equitable Holdings, Inc. 3.9% 4/20/23 | 827,000 | 860,028 | |
Greystone Commercial Capital Trust 1 month U.S. LIBOR + 2.270% 2.3611% 5/31/25 (b)(c)(f)(g) | 7,700,000 | 7,700,000 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | |||
5.25% 5/15/27 | 140,000 | 142,450 | |
6.25% 5/15/26 | 914,000 | 939,135 | |
6.375% 12/15/25 | 205,000 | 207,462 | |
Leighton Finance U.S.A. Pty Ltd. 1.5% 5/28/29 (Reg. S) | EUR | 1,145,000 | 1,313,595 |
M&G PLC 5.625% 10/20/51 (Reg. S) (c) | GBP | 830,000 | 1,279,041 |
Park Aerospace Holdings Ltd. 5.5% 2/15/24 (b) | 8,593,000 | 9,257,483 | |
Pine Street Trust I 4.572% 2/15/29 (b) | 7,798,000 | 8,895,238 | |
Pine Street Trust II 5.568% 2/15/49 (b) | 7,800,000 | 10,511,951 | |
Power Finance Corp. Ltd. 6.15% 12/6/28 (b) | 3,050,000 | 3,602,431 | |
Sasol Financing International PLC 4.5% 11/14/22 | 1,790,000 | 1,808,204 | |
VMED O2 UK Financing I PLC 4.25% 1/31/31 (b) | 495,000 | 473,581 | |
81,985,559 | |||
Insurance - 0.2% | |||
ACE INA Holdings, Inc.: | |||
2.7% 3/13/23 | 145,000 | 148,775 | |
3.15% 3/15/25 | 1,765,000 | 1,875,871 | |
AIA Group Ltd. 0.88% 9/9/33 (Reg. S) (c) | EUR | 395,000 | 442,509 |
American International Group, Inc. 4.5% 7/16/44 | 3,135,000 | 3,837,445 | |
Aon Corp. 2.8% 5/15/30 | 3,670,000 | 3,762,752 | |
Arch Capital Finance LLC 4.011% 12/15/26 | 2,320,000 | 2,561,892 | |
Arthur J. Gallagher & Co. 3.05% 3/9/52 | 3,030,000 | 2,978,752 | |
Baylor Scott & White Holdings: | |||
Series 2021, 2.839% 11/15/50 | 120,000 | 124,040 | |
1.777% 11/15/30 | 870,000 | 847,143 | |
CNA Financial Corp.: | |||
3.9% 5/1/29 | 1,400,000 | 1,557,487 | |
3.95% 5/15/24 | 1,400,000 | 1,486,605 | |
Credit Agricole Assurances SA 4.75% 9/27/48 (c) | EUR | 1,200,000 | 1,613,768 |
Demeter Investments BV 5.625% 8/15/52 (Reg. S) (c) | 3,225,000 | 3,620,450 | |
Everest Reinsurance Holdings, Inc. 3.5% 10/15/50 | 1,255,000 | 1,334,548 | |
Fairfax Financial Holdings Ltd. 3.375% 3/3/31 | 4,595,000 | 4,732,647 | |
Farmers Exchange Capital II 6.151% 11/1/53 (b)(c) | 1,500,000 | 1,906,873 | |
Farmers Exchange Capital III 5.454% 10/15/54 (b)(c) | 3,335,000 | 4,046,071 | |
Fidelidade-Companhia de Seguros SA 4.25% 9/4/31 (Reg. S) (c) | EUR | 500,000 | 576,333 |
Five Corners Funding Trust II 2.85% 5/15/30 (b) | 11,420,000 | 11,827,269 | |
Liberty Mutual Group, Inc. 4.569% 2/1/29 (b) | 9,380,000 | 10,892,842 | |
Lincoln National Corp.: | |||
3.05% 1/15/30 | 130,000 | 137,743 | |
4.35% 3/1/48 | 165,000 | 201,628 | |
6.3% 10/9/37 | 110,000 | 155,531 | |
Markel Corp.: | |||
3.45% 5/7/52 | 690,000 | 733,319 | |
4.15% 9/17/50 | 445,000 | 525,647 | |
4.3% 11/1/47 | 650,000 | 777,868 | |
Marsh & McLennan Companies, Inc. 3.5% 6/3/24 | 1,140,000 | 1,203,493 | |
Nationwide Mutual Insurance Co. 3 month U.S. LIBOR + 2.290% 2.406% 12/15/24 (b)(c)(f) | 5,490,000 | 5,496,689 | |
New York Life Insurance Co. 3.75% 5/15/50 (b) | 2,630,000 | 3,028,323 | |
Pricoa Global Funding I 5.375% 5/15/45 (c) | 5,278,000 | 5,649,466 | |
Protective Life Global Funding 1.9% 7/6/28 (b) | 2,595,000 | 2,570,847 | |
Prudential PLC 2.95% 11/3/33 (Reg. S) (c) | 2,100,000 | 2,064,405 | |
QBE Insurance Group Ltd.: | |||
2.5% 9/13/38 (Reg. S) (c) | GBP | 950,000 | 1,217,895 |
6.75% 12/2/44 (Reg. S) (c) | 2,025,000 | 2,241,136 | |
Swiss Re Finance Luxembourg SA 5% 4/2/49 (b)(c) | 3,200,000 | 3,568,000 | |
Teachers Insurance & Annuity Association of America: | |||
3.3% 5/15/50 (b) | 3,310,000 | 3,485,639 | |
4.375% 9/15/54 (b)(c) | 2,100,000 | 2,193,852 | |
The Chubb Corp. 6% 5/11/37 | 130,000 | 187,244 | |
Unum Group: | |||
4% 6/15/29 | 5,961,000 | 6,600,573 | |
5.75% 8/15/42 | 2,238,000 | 2,824,180 | |
Willis Group North America, Inc. 2.95% 9/15/29 | 4,385,000 | 4,546,595 | |
Zurich Finance (Ireland) DAC 3.5% 5/2/52 (Reg. S) (c) | 900,000 | 880,875 | |
110,465,020 | |||
Thrifts & Mortgage Finance - 0.0% | |||
Home Point Capital, Inc. 5% 2/1/26 (b) | 275,000 | 254,532 | |
Nationstar Mortgage Holdings, Inc. 6% 1/15/27 (b) | 500,000 | 516,265 | |
Nationwide Building Society: | |||
3.622% 4/26/23 (b)(c) | 3,265,000 | 3,301,378 | |
3.766% 3/8/24 (b)(c) | 1,970,000 | 2,037,726 | |
4.363% 8/1/24 (b)(c) | 1,250,000 | 1,315,393 | |
PennyMac Financial Services, Inc. 4.25% 2/15/29 (b) | 1,200,000 | 1,104,000 | |
8,529,294 | |||
TOTAL FINANCIALS | 1,921,185,557 | ||
HEALTH CARE - 0.9% | |||
Biotechnology - 0.1% | |||
AbbVie, Inc.: | |||
4.05% 11/21/39 | 18,245,000 | 20,878,868 | |
4.4% 11/6/42 | 3,405,000 | 4,080,119 | |
4.55% 3/15/35 | 400,000 | 477,539 | |
4.7% 5/14/45 | 4,650,000 | 5,778,447 | |
4.875% 11/14/48 | 335,000 | 433,882 | |
Amgen, Inc.: | |||
2.6% 8/19/26 | 3,925,000 | 4,074,041 | |
2.8% 8/15/41 | 1,870,000 | 1,810,290 | |
3% 1/15/52 | 3,650,000 | 3,564,089 | |
4.4% 5/1/45 | 1,450,000 | 1,743,287 | |
4.663% 6/15/51 | 175,000 | 224,299 | |
Emergent BioSolutions, Inc. 3.875% 8/15/28 (b) | 84,000 | 79,775 | |
Gilead Sciences, Inc. 4.5% 2/1/45 | 565,000 | 693,666 | |
Grifols Escrow Issuer SA 4.75% 10/15/28 (b) | 1,200,000 | 1,188,000 | |
Regeneron Pharmaceuticals, Inc. 2.8% 9/15/50 | 505,000 | 475,581 | |
45,501,883 | |||
Health Care Equipment & Supplies - 0.0% | |||
Avantor Funding, Inc. 3.875% 7/15/28 (Reg. S) | EUR | 2,500,000 | 2,938,141 |
Becton, Dickinson & Co.: | |||
1.957% 2/11/31 | 3,000,000 | 2,886,300 | |
3.7% 6/6/27 | 118,000 | 127,678 | |
3.734% 12/15/24 | 1,734,000 | 1,849,951 | |
Fresenius U.S. Finance II, Inc. 4.5% 1/15/23 (b) | 4,787,000 | 4,933,760 | |
Hologic, Inc. 3.25% 2/15/29 (b) | 225,000 | 220,781 | |
Mozart Debt Merger Sub, Inc.: | |||
3.875% 4/1/29 (b) | 965,000 | 952,938 | |
5.25% 10/1/29 (b) | 425,000 | 424,469 | |
Stryker Corp.: | |||
3.375% 5/15/24 | 535,000 | 560,762 | |
3.375% 11/1/25 | 430,000 | 459,466 | |
3.5% 3/15/26 | 675,000 | 724,676 | |
Teleflex, Inc. 4.25% 6/1/28 (b) | 60,000 | 60,600 | |
16,139,522 | |||
Health Care Providers & Services - 0.5% | |||
180 Medical, Inc. 3.875% 10/15/29 (b) | 200,000 | 196,392 | |
AHS Hospital Corp. 2.78% 7/1/51 | 315,000 | 323,132 | |
AmerisourceBergen Corp. 2.7% 3/15/31 | 5,980,000 | 6,044,288 | |
Anthem, Inc.: | |||
3.125% 5/15/50 | 3,750,000 | 3,886,589 | |
3.3% 1/15/23 | 3,395,000 | 3,491,124 | |
3.65% 12/1/27 | 2,965,000 | 3,228,952 | |
4.625% 5/15/42 | 1,250,000 | 1,557,782 | |
Ascension Health: | |||
2.532% 11/15/29 | 295,000 | 307,916 | |
3.106% 11/15/39 | 610,000 | 663,918 | |
BayCare Health System, Inc. 3.831% 11/15/50 | 2,320,000 | 2,863,498 | |
Centene Corp.: | |||
2.45% 7/15/28 | 7,280,000 | 7,143,500 | |
2.625% 8/1/31 | 2,980,000 | 2,883,150 | |
3% 10/15/30 | 1,638,000 | 1,635,375 | |
3.375% 2/15/30 | 5,670,000 | 5,710,495 | |
4.25% 12/15/27 | 5,825,000 | 6,043,438 | |
4.625% 12/15/29 | 7,750,000 | 8,292,500 | |
Children's Health System of Texas 2.511% 8/15/50 | 360,000 | 347,255 | |
Childrens Hospital Corp. 4.115% 1/1/47 | 265,000 | 337,933 | |
Cigna Corp.: | |||
2.375% 3/15/31 | 655,000 | 656,552 | |
2.4% 3/15/30 | 3,220,000 | 3,225,910 | |
3.25% 4/15/25 | 355,000 | 373,481 | |
3.4% 3/15/50 | 1,755,000 | 1,844,470 | |
3.4% 3/15/51 | 4,490,000 | 4,758,397 | |
4.375% 10/15/28 | 14,599,000 | 16,540,891 | |
4.5% 2/25/26 | 4,775,000 | 5,282,508 | |
4.8% 7/15/46 | 2,375,000 | 3,003,628 | |
CommonSpirit Health: | |||
2.76% 10/1/24 | 575,000 | 595,253 | |
2.782% 10/1/30 | 695,000 | 714,103 | |
3.347% 10/1/29 | 1,500,000 | 1,600,097 | |
4.35% 11/1/42 | 2,500,000 | 2,913,787 | |
Community Health Systems, Inc. 4.75% 2/15/31 (b) | 560,000 | 551,601 | |
CVS Health Corp.: | |||
2.7% 8/21/40 | 9,385,000 | 8,983,470 | |
3.625% 4/1/27 | 2,341,000 | 2,530,911 | |
4.3% 3/25/28 | 653,000 | 735,259 | |
4.78% 3/25/38 | 1,320,000 | 1,608,364 | |
5.05% 3/25/48 | 7,330,000 | 9,685,385 | |
5.125% 7/20/45 | 1,670,000 | 2,185,735 | |
5.3% 12/5/43 | 905,000 | 1,197,364 | |
DaVita HealthCare Partners, Inc.: | |||
3.75% 2/15/31 (b) | 1,900,000 | 1,761,728 | |
4.625% 6/1/30 (b) | 125,000 | 123,438 | |
Fresenius Medical Care U.S. Finance II, Inc. 5.875% 1/31/22 (b) | 1,800,000 | 1,814,406 | |
Fresenius Medical Care U.S. Finance III, Inc. 1.875% 12/1/26 (b) | 660,000 | 652,969 | |
HCA Holdings, Inc.: | |||
2.375% 7/15/31 | 1,040,000 | 1,014,989 | |
3.5% 9/1/30 | 525,000 | 546,512 | |
3.5% 7/15/51 | 5,360,000 | 5,476,673 | |
4.125% 6/15/29 | 5,911,000 | 6,496,818 | |
4.5% 2/15/27 | 1,050,000 | 1,155,092 | |
4.75% 5/1/23 | 205,000 | 215,325 | |
5% 3/15/24 | 875,000 | 944,157 | |
5.25% 6/15/49 | 5,250,000 | 6,804,129 | |
5.375% 2/1/25 | 305,000 | 332,641 | |
5.875% 2/15/26 | 1,135,000 | 1,271,824 | |
7.75% 7/15/36 | 2,700,000 | 3,729,375 | |
HealthEquity, Inc. 4.5% 10/1/29 (b) | 45,000 | 44,438 | |
Humana, Inc.: | |||
2.15% 2/3/32 | 670,000 | 646,153 | |
3.125% 8/15/29 | 2,600,000 | 2,738,672 | |
Kaiser Foundation Hospitals: | |||
2.81% 6/1/41 | 6,570,000 | 6,706,256 | |
4.15% 5/1/47 | 200,000 | 250,982 | |
Laboratory Corp. of America Holdings 3.25% 9/1/24 | 1,020,000 | 1,071,308 | |
Memorial Sloan-Kettring Cancer Center: | |||
2.955% 1/1/50 | 290,000 | 299,238 | |
4.2% 7/1/55 | 140,000 | 182,671 | |
5% 7/1/42 | 225,000 | 304,933 | |
Methodist Hospital 2.705% 12/1/50 | 820,000 | 818,653 | |
Molina Healthcare, Inc.: | |||
3.875% 11/15/30 (b) | 4,745,000 | 4,768,725 | |
3.875% 5/15/32 (b) | 155,000 | 151,532 | |
Mount Sinai Hospital 3.737% 7/1/49 | 460,000 | 517,025 | |
New York & Presbyterian Hospital: | |||
4.024% 8/1/45 | 600,000 | 766,887 | |
4.063% 8/1/56 | 390,000 | 507,509 | |
Nidda Healthcare Holding AG 3.5% 9/30/24 (Reg. S) | EUR | 3,000,000 | 3,371,666 |
NYU Hospitals Center 4.368% 7/1/47 | 810,000 | 970,929 | |
OhioHealth Corp. 2.297% 11/15/31 | 8,505,000 | 8,643,958 | |
Owens & Minor, Inc. 4.5% 3/31/29 (b) | 65,000 | 65,883 | |
PeaceHealth Obligated Group 1.375% 11/15/25 | 165,000 | 164,361 | |
Piedmont Healthcare, Inc.: | |||
2.719% 1/1/42 | 1,780,000 | 1,755,382 | |
2.864% 1/1/52 | 1,055,000 | 1,054,637 | |
Prime Healthcare Services 7.25% 11/1/25 (b) | 1,325,000 | 1,394,828 | |
Providence St. Joseph Health Obligated Group: | |||
2.532% 10/1/29 | 2,405,000 | 2,495,989 | |
2.746% 10/1/26 | 180,000 | 188,479 | |
Quest Diagnostics, Inc.: | |||
4.7% 3/30/45 | 100,000 | 126,904 | |
5.75% 1/30/40 | 68,000 | 86,856 | |
Sabra Health Care LP 3.2% 12/1/31 | 8,499,000 | 8,339,131 | |
Sentara Healthcare 2.927% 11/1/51 | 565,000 | 595,122 | |
Stanford Health Care 3.027% 8/15/51 | 680,000 | 732,696 | |
Sutter Health 4.091% 8/15/48 | 1,140,000 | 1,402,855 | |
Tenet Healthcare Corp.: | |||
4.625% 7/15/24 | 99,000 | 99,862 | |
4.875% 1/1/26 (b) | 1,160,000 | 1,186,100 | |
5.125% 11/1/27 (b) | 5,000,000 | 5,134,150 | |
Toledo Hospital 5.325% 11/15/28 | 2,792,000 | 3,115,469 | |
UnitedHealth Group, Inc.: | |||
3.05% 5/15/41 | 1,105,000 | 1,151,755 | |
3.25% 5/15/51 | 2,592,000 | 2,818,560 | |
3.875% 8/15/59 | 30,000 | 36,246 | |
4.25% 4/15/47 | 770,000 | 959,051 | |
4.25% 6/15/48 | 575,000 | 717,422 | |
6.875% 2/15/38 | 700,000 | 1,079,714 | |
223,747,466 | |||
Health Care Technology - 0.0% | |||
IQVIA, Inc.: | |||
1.75% 3/15/26 (b) | EUR | 625,000 | 711,458 |
5% 10/15/26 (b) | 230,000 | 235,175 | |
946,633 | |||
Life Sciences Tools & Services - 0.0% | |||
Agilent Technologies, Inc. 2.3% 3/12/31 | 1,245,000 | 1,233,079 | |
Charles River Laboratories International, Inc.: | |||
3.75% 3/15/29 (b) | 75,000 | 74,156 | |
4.25% 5/1/28 (b) | 330,000 | 334,526 | |
Thermo Fisher Scientific, Inc.: | |||
2.8% 10/15/41 | 520,000 | 524,815 | |
4.133% 3/25/25 | 540,000 | 584,565 | |
2,751,141 | |||
Pharmaceuticals - 0.3% | |||
AstraZeneca Finance LLC 2.25% 5/28/31 | 635,000 | 641,557 | |
Bausch Health Companies, Inc.: | |||
5% 2/15/29 (b) | 400,000 | 343,000 | |
5.25% 2/15/31 (b) | 5,621,000 | 4,823,998 | |
6.25% 2/15/29 (b) | 500,000 | 453,213 | |
Bayer AG 2.375% 4/2/75 (Reg. S) (c) | EUR | 2,285,000 | 2,608,677 |
Bayer U.S. Finance II LLC: | |||
2.2% 7/15/22 (b) | 2,100,000 | 2,109,320 | |
4.25% 12/15/25 (b) | 54,704,000 | 59,548,628 | |
4.4% 7/15/44 (b) | 2,131,000 | 2,431,812 | |
4.625% 6/25/38 (b) | 570,000 | 679,355 | |
4.875% 6/25/48 (b) | 4,430,000 | 5,594,315 | |
Bristol-Myers Squibb Co.: | |||
4.25% 10/26/49 | 3,280,000 | 4,090,039 | |
5% 8/15/45 | 672,000 | 903,339 | |
Catalent Pharma Solutions: | |||
3.125% 2/15/29 (b) | 275,000 | 262,199 | |
3.5% 4/1/30 (b) | 220,000 | 213,708 | |
Elanco Animal Health, Inc.: | |||
5.272% 8/28/23 (c) | 4,020,000 | 4,246,849 | |
5.9% 8/28/28 (c) | 1,693,000 | 1,936,572 | |
GlaxoSmithKline Capital PLC 2.85% 5/8/22 | 710,000 | 717,605 | |
GlaxoSmithKline Capital, Inc. 2.8% 3/18/23 | 875,000 | 898,189 | |
Jazz Securities DAC 4.375% 1/15/29 (b) | 95,000 | 96,788 | |
Johnson & Johnson 3.625% 3/3/37 | 1,260,000 | 1,453,592 | |
Merck & Co., Inc. 3.4% 3/7/29 | 1,400,000 | 1,531,600 | |
Mylan NV: | |||
4.2% 11/29/23 | 1,100,000 | 1,158,990 | |
5.2% 4/15/48 | 1,780,000 | 2,202,609 | |
5.4% 11/29/43 | 1,380,000 | 1,719,733 | |
Organon & Co. / Organon Foreign Debt Co-Issuer BV: | |||
4.125% 4/30/28 (b) | 65,000 | 64,851 | |
5.125% 4/30/31 (b) | 1,190,000 | 1,215,288 | |
Pfizer, Inc. 2.55% 5/28/40 | 1,410,000 | 1,404,333 | |
Takeda Pharmaceutical Co. Ltd.: | |||
2.05% 3/31/30 | 3,775,000 | 3,669,499 | |
3.025% 7/9/40 | 910,000 | 924,955 | |
Utah Acquisition Sub, Inc.: | |||
3.95% 6/15/26 | 2,804,000 | 3,014,957 | |
5.25% 6/15/46 | 190,000 | 232,672 | |
Viatris, Inc.: | |||
1.65% 6/22/25 | 1,160,000 | 1,157,684 | |
2.7% 6/22/30 | 5,898,000 | 5,889,161 | |
3.85% 6/22/40 | 12,189,000 | 12,982,372 | |
4% 6/22/50 | 6,572,000 | 7,081,516 | |
Wyeth LLC 6.45% 2/1/24 | 1,875,000 | 2,098,610 | |
Zoetis, Inc. 3.25% 2/1/23 | 5,975,000 | 6,103,174 | |
146,504,759 | |||
TOTAL HEALTH CARE | 435,591,404 | ||
INDUSTRIALS - 0.5% | |||
Aerospace & Defense - 0.2% | |||
BAE Systems Holdings, Inc. 3.85% 12/15/25 (b) | 5,718,000 | 6,167,737 | |
BAE Systems PLC 3.4% 4/15/30 (b) | 2,985,000 | 3,194,557 | |
Bombardier, Inc.: | |||
6% 2/15/28 (b) | 3,750,000 | 3,721,875 | |
7.125% 6/15/26 (b) | 2,780,000 | 2,867,987 | |
7.875% 4/15/27 (b) | 485,000 | 499,075 | |
BWX Technologies, Inc.: | |||
4.125% 6/30/28 (b) | 200,000 | 200,000 | |
4.125% 4/15/29 (b) | 325,000 | 324,891 | |
General Dynamics Corp.: | |||
2.25% 11/15/22 | 650,000 | 657,502 | |
3.25% 4/1/25 | 1,905,000 | 2,019,789 | |
Howmet Aerospace, Inc.: | |||
5.95% 2/1/37 | 575,000 | 674,188 | |
6.75% 1/15/28 | 345,000 | 402,788 | |
Lockheed Martin Corp. 2.9% 3/1/25 | 1,345,000 | 1,412,403 | |
Moog, Inc. 4.25% 12/15/27 (b) | 360,000 | 365,643 | |
Northrop Grumman Corp. 4.75% 6/1/43 | 545,000 | 693,343 | |
Raytheon Technologies Corp. 4.125% 11/16/28 | 490,000 | 550,664 | |
Rolls-Royce PLC 3.375% 6/18/26 | GBP | 1,085,000 | 1,443,717 |
Textron, Inc. 2.45% 3/15/31 | 2,145,000 | 2,123,438 | |
The Boeing Co.: | |||
1.167% 2/4/23 | 4,000,000 | 4,001,496 | |
1.433% 2/4/24 | 1,000,000 | 1,000,078 | |
2.196% 2/4/26 | 2,575,000 | 2,569,697 | |
2.25% 6/15/26 | 810,000 | 811,958 | |
3.6% 5/1/34 | 2,200,000 | 2,275,158 | |
3.625% 2/1/31 | 12,650,000 | 13,438,374 | |
4.508% 5/1/23 | 1,500,000 | 1,566,021 | |
4.875% 5/1/25 | 2,035,000 | 2,230,351 | |
5.04% 5/1/27 | 4,430,000 | 4,987,924 | |
5.15% 5/1/30 | 4,430,000 | 5,138,767 | |
5.805% 5/1/50 | 5,935,000 | 8,005,187 | |
5.93% 5/1/60 | 4,430,000 | 6,123,345 | |
TransDigm, Inc.: | |||
4.875% 5/1/29 | 220,000 | 214,001 | |
6.25% 3/15/26 (b) | 915,000 | 949,313 | |
7.5% 3/15/27 | 40,000 | 41,700 | |
8% 12/15/25 (b) | 465,000 | 489,994 | |
81,162,961 | |||
Air Freight & Logistics - 0.0% | |||
Cargo Aircraft Management, Inc. 4.75% 2/1/28 (b) | 160,000 | 162,600 | |
Airlines - 0.0% | |||
American Airlines, Inc. equipment trust certificate 3.2% 12/15/29 | 424,980 | 431,298 | |
Mexico City Airport Trust: | |||
4.25% 10/31/26 (b) | 4,270,000 | 4,473,626 | |
5.5% 7/31/47 (b) | 2,250,000 | 2,160,000 | |
Southwest Airlines Co.: | |||
2.625% 2/10/30 | 735,000 | 737,015 | |
4.75% 5/4/23 | 2,025,000 | 2,125,626 | |
5.125% 6/15/27 | 5,340,000 | 6,081,967 | |
United Airlines pass-thru Trust Series 2013-1A Class O, 4.3% 2/15/27 | 133,857 | 140,492 | |
United Airlines, Inc.: | |||
4.15% 10/11/25 | 497,303 | 519,500 | |
4.375% 4/15/26 (b) | 1,740,000 | 1,746,925 | |
4.625% 4/15/29 (b) | 370,000 | 368,032 | |
18,784,481 | |||
Building Products - 0.0% | |||
Advanced Drain Systems, Inc. 5% 9/30/27 (b) | 400,000 | 413,568 | |
Carlisle Companies, Inc. 2.2% 3/1/32 | 1,890,000 | 1,829,222 | |
Owens Corning: | |||
3.95% 8/15/29 | 150,000 | 164,236 | |
4.3% 7/15/47 | 5,310,000 | 6,248,418 | |
Standard Industries, Inc./New Jersey 4.75% 1/15/28 (b) | 3,618,000 | 3,645,135 | |
12,300,579 | |||
Commercial Services & Supplies - 0.0% | |||
ADT Corp.: | |||
4.125% 8/1/29 (b) | 115,000 | 111,909 | |
4.875% 7/15/32 (b) | 615,000 | 608,733 | |
Advocate Health & Hospitals Corp. 3.387% 10/15/49 | 510,000 | 585,134 | |
Allied Universal Holdco LLC / Allied Universal Finance Corp. 6% 6/1/29 (b) | 1,175,000 | 1,116,250 | |
Atlas Luxco 4 SARL / Allied Universal Holdco LLC / Allied Universal Finance Corp.: | |||
4.625% 6/1/28 (b) | 830,000 | 803,025 | |
4.625% 6/1/28 (b) | 520,000 | 503,100 | |
Cintas Corp. No. 2 3.7% 4/1/27 | 1,035,000 | 1,130,076 | |
Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc. 5% 2/1/26 (b) | 60,000 | 60,582 | |
Madison IAQ LLC 4.125% 6/30/28 (b) | 85,000 | 82,238 | |
Nielsen Co. SARL (Luxembourg) 5% 2/1/25 (b) | 115,000 | 116,438 | |
Nielsen Finance LLC/Nielsen Finance Co.: | |||
5.625% 10/1/28 (b) | 205,000 | 209,260 | |
5.875% 10/1/30 (b) | 205,000 | 213,278 | |
Pitney Bowes, Inc.: | |||
6.875% 3/15/27 (b) | 55,000 | 56,527 | |
7.25% 3/15/29 (b) | 110,000 | 112,866 | |
PowerTeam Services LLC 9.033% 12/4/25 (b) | 108,000 | 108,540 | |
Stericycle, Inc. 3.875% 1/15/29 (b) | 530,000 | 516,750 | |
Waste Management, Inc. 2.9% 9/15/22 | 375,000 | 379,603 | |
6,714,309 | |||
Construction & Engineering - 0.0% | |||
AECOM 5.125% 3/15/27 | 1,730,000 | 1,854,231 | |
Arcosa, Inc. 4.375% 4/15/29 (b) | 65,000 | 65,591 | |
Dycom Industries, Inc. 4.5% 4/15/29 (b) | 165,000 | 166,124 | |
2,085,946 | |||
Electrical Equipment - 0.0% | |||
ABB Finance (U.S.A.), Inc. 2.875% 5/8/22 | 115,000 | 116,171 | |
Sensata Technologies BV: | |||
4% 4/15/29 (b) | 170,000 | 172,380 | |
4.875% 10/15/23 (b) | 300,000 | 316,055 | |
Vertiv Group Corp. 4.125% 11/15/28 (b) | 280,000 | 279,300 | |
Wesco Distribution, Inc.: | |||
7.125% 6/15/25 (b) | 1,500,000 | 1,584,480 | |
7.25% 6/15/28 (b) | 1,250,000 | 1,359,375 | |
3,827,761 | |||
Machinery - 0.1% | |||
Flowserve Corp. 2.8% 1/15/32 | 405,000 | 398,641 | |
Fortive Corp. 3.15% 6/15/26 | 275,000 | 293,204 | |
Pentair Finance SA 4.5% 7/1/29 | 7,920,000 | 9,050,984 | |
Westinghouse Air Brake Tech Co.: | |||
3.45% 11/15/26 | 1,140,000 | 1,208,341 | |
4.95% 9/15/28 | 8,835,000 | 10,050,890 | |
21,002,060 | |||
Marine - 0.0% | |||
Seaspan Corp. 5.5% 8/1/29 (b) | 115,000 | 114,103 | |
Professional Services - 0.0% | |||
ASGN, Inc. 4.625% 5/15/28 (b) | 110,000 | 112,827 | |
Booz Allen Hamilton, Inc.: | |||
3.875% 9/1/28 (b) | 320,000 | 321,603 | |
4% 7/1/29 (b) | 45,000 | 45,225 | |
Equifax, Inc.: | |||
2.35% 9/15/31 | 475,000 | 467,467 | |
2.6% 12/1/24 | 1,845,000 | 1,912,567 | |
IHS Markit Ltd.: | |||
4% 3/1/26 (b) | 1,195,000 | 1,298,069 | |
4.125% 8/1/23 | 365,000 | 381,425 | |
5% 11/1/22 (b) | 11,013,000 | 11,326,871 | |
TriNet Group, Inc. 3.5% 3/1/29 (b) | 165,000 | 163,020 | |
Verisk Analytics, Inc. 4.125% 9/12/22 | 690,000 | 707,263 | |
16,736,337 | |||
Road & Rail - 0.0% | |||
Alpha Trains Finance SA 2.064% 6/30/30 | EUR | 950,000 | 1,123,096 |
CSX Corp. 6.15% 5/1/37 | 1,375,000 | 1,946,821 | |
Union Pacific Corp.: | |||
2.973% 9/16/62 | 200,000 | 200,662 | |
3.25% 2/5/50 | 1,885,000 | 2,034,732 | |
3.6% 9/15/37 | 1,040,000 | 1,169,536 | |
3.799% 4/6/71 | 315,000 | 371,283 | |
XPO Logistics, Inc. 6.25% 5/1/25 (b) | 1,810,000 | 1,881,929 | |
8,728,059 | |||
Trading Companies & Distributors - 0.1% | |||
Air Lease Corp.: | |||
2.25% 1/15/23 | 1,711,000 | 1,737,550 | |
3% 9/15/23 | 800,000 | 822,621 | |
3.375% 7/1/25 | 7,608,000 | 7,975,135 | |
3.75% 2/1/22 | 4,752,000 | 4,752,000 | |
4.25% 2/1/24 | 7,846,000 | 8,305,529 | |
4.25% 9/15/24 | 9,907,000 | 10,598,031 | |
Travis Perkins PLC 3.75% 2/17/26 (Reg. S) | GBP | 600,000 | 823,904 |
United Rentals North America, Inc.: | |||
3.75% 1/15/32 | 825,000 | 812,625 | |
3.875% 2/15/31 | 400,000 | 401,303 | |
4.875% 1/15/28 | 2,000,000 | 2,095,000 | |
38,323,698 | |||
Transportation Infrastructure - 0.1% | |||
Aeroporti di Roma SPA 1.75% 7/30/31 (Reg. S) | EUR | 745,000 | 864,221 |
Avolon Holdings Funding Ltd.: | |||
2.528% 11/18/27 (b) | 4,546,000 | 4,433,258 | |
3.625% 5/1/22 (b) | 2,155,000 | 2,176,042 | |
3.95% 7/1/24 (b) | 2,862,000 | 2,999,656 | |
4.375% 5/1/26 (b) | 3,477,000 | 3,725,807 | |
5.25% 5/15/24 (b) | 4,140,000 | 4,455,131 | |
Heathrow Funding Ltd. 2.625% 3/16/28 (Reg. S) | GBP | 1,985,000 | 2,638,736 |
Holding d'Infrastructures et des Metiers de l'Environnement 0.625% 9/16/28 (Reg. S) | EUR | 300,000 | 335,848 |
21,628,699 | |||
TOTAL INDUSTRIALS | 231,571,593 | ||
INFORMATION TECHNOLOGY - 0.4% | |||
Communications Equipment - 0.0% | |||
Cellnex Finance Co. SA 1% 9/15/27 (Reg. S) | EUR | 1,600,000 | 1,761,067 |
Cisco Systems, Inc. 3% 6/15/22 | 310,000 | 314,754 | |
Viavi Solutions, Inc. 3.75% 10/1/29 (b) | 230,000 | 224,825 | |
2,300,646 | |||
Electronic Equipment & Components - 0.1% | |||
Dell International LLC/EMC Corp.: | |||
5.45% 6/15/23 | 3,660,000 | 3,882,025 | |
6.02% 6/15/26 | 2,112,000 | 2,458,349 | |
Sensata Technologies, Inc. 3.75% 2/15/31 (b) | 590,000 | 579,675 | |
TD SYNNEX Corp. 1.75% 8/9/26 (b) | 6,930,000 | 6,770,261 | |
Teledyne Technologies, Inc.: | |||
2.25% 4/1/28 | 1,675,000 | 1,687,018 | |
2.75% 4/1/31 | 4,505,000 | 4,598,801 | |
TTM Technologies, Inc. 4% 3/1/29 (b) | 130,000 | 126,123 | |
20,102,252 | |||
IT Services - 0.1% | |||
Austin BidCo, Inc. 7.125% 12/15/28 (b) | 60,000 | 61,592 | |
Automatic Data Processing, Inc. 1.7% 5/15/28 | 695,000 | 693,894 | |
Fidelity National Information Services, Inc. 3.1% 3/1/41 | 3,540,000 | 3,534,403 | |
Fiserv, Inc.: | |||
2.75% 7/1/24 | 105,000 | 108,663 | |
3.5% 7/1/29 | 7,395,000 | 7,880,160 | |
3.85% 6/1/25 | 1,490,000 | 1,595,858 | |
Gartner, Inc.: | |||
3.625% 6/15/29 (b) | 65,000 | 64,594 | |
3.75% 10/1/30 (b) | 105,000 | 104,738 | |
4.5% 7/1/28 (b) | 165,000 | 171,485 | |
Genpact Luxembourg SARL / Genpact U.S.A., Inc. 1.75% 4/10/26 | 960,000 | 961,280 | |
Global Payments, Inc. 1.5% 11/15/24 | 3,500,000 | 3,494,171 | |
Go Daddy Operating Co. LLC / GD Finance Co., Inc. 3.5% 3/1/29 (b) | 330,000 | 313,856 | |
IBM Corp. 2.85% 5/15/40 | 480,000 | 474,542 | |
MasterCard, Inc. 3.375% 4/1/24 | 870,000 | 919,120 | |
Nexi SpA 2.125% 4/30/29 (Reg. S) | EUR | 3,350,000 | 3,678,229 |
Square, Inc. 2.75% 6/1/26 (b) | 110,000 | 109,465 | |
Tempo Acquisition LLC 5.75% 6/1/25 (b) | 5,000,000 | 5,193,750 | |
Twilio, Inc.: | |||
3.625% 3/15/29 | 80,000 | 80,475 | |
3.875% 3/15/31 | 85,000 | 84,363 | |
Visa, Inc. 2.7% 4/15/40 | 145,000 | 148,141 | |
29,672,779 | |||
Semiconductors & Semiconductor Equipment - 0.1% | |||
Broadcom, Inc.: | |||
1.95% 2/15/28 (b) | 1,620,000 | 1,580,592 | |
2.45% 2/15/31 (b) | 12,129,000 | 11,673,122 | |
2.6% 2/15/33 (b) | 12,129,000 | 11,603,495 | |
3.137% 11/15/35 (b) | 1,213,000 | 1,192,345 | |
3.419% 4/15/33 (b) | 3,022,000 | 3,114,107 | |
3.5% 2/15/41 (b) | 19,161,000 | 19,111,541 | |
3.75% 2/15/51 (b) | 5,224,000 | 5,433,979 | |
4.11% 9/15/28 | 2,135,000 | 2,335,066 | |
Entegris, Inc.: | |||
3.625% 5/1/29 (b) | 275,000 | 272,938 | |
4.375% 4/15/28 (b) | 325,000 | 331,094 | |
Intel Corp. 3.05% 8/12/51 | 2,688,000 | 2,784,025 | |
NXP BV/NXP Funding LLC 3.875% 9/1/22 (b) | 1,969,000 | 2,011,311 | |
ON Semiconductor Corp. 3.875% 9/1/28 (b) | 125,000 | 127,174 | |
Qorvo, Inc. 4.375% 10/15/29 | 200,000 | 211,240 | |
Teledyne FLIR LLC 2.5% 8/1/30 | 245,000 | 246,008 | |
62,028,037 | |||
Software - 0.1% | |||
CDK Global, Inc. 4.875% 6/1/27 | 500,000 | 515,000 | |
Crowdstrike Holdings, Inc. 3% 2/15/29 | 125,000 | 120,543 | |
Fair Isaac Corp. 4% 6/15/28 (b) | 500,000 | 498,750 | |
Intuit, Inc. 1.35% 7/15/27 | 200,000 | 195,083 | |
Microsoft Corp. 2.921% 3/17/52 | 2,892,000 | 3,079,274 | |
NortonLifeLock, Inc. 5% 4/15/25 (b) | 370,000 | 373,700 | |
Nuance Communications, Inc. 5.625% 12/15/26 | 600,000 | 618,117 | |
Open Text Corp.: | |||
3.875% 2/15/28 (b) | 490,000 | 485,100 | |
3.875% 12/1/29 (b) | 55,000 | 54,674 | |
Oracle Corp.: | |||
2.5% 4/1/25 | 6,499,000 | 6,689,473 | |
2.8% 4/1/27 | 9,449,000 | 9,789,822 | |
2.95% 5/15/25 | 1,185,000 | 1,239,089 | |
3.6% 4/1/50 | 1,300,000 | 1,315,564 | |
3.85% 4/1/60 | 6,500,000 | 6,747,689 | |
3.95% 3/25/51 | 5,494,000 | 5,920,016 | |
4.125% 5/15/45 | 850,000 | 929,791 | |
ServiceNow, Inc. 1.4% 9/1/30 | 1,005,000 | 937,743 | |
SS&C Technologies, Inc. 5.5% 9/30/27 (b) | 775,000 | 805,516 | |
40,314,944 | |||
Technology Hardware, Storage & Peripherals - 0.0% | |||
Apple, Inc.: | |||
2.7% 8/5/51 | 2,700,000 | 2,700,090 | |
3.25% 2/23/26 | 7,150,000 | 7,647,425 | |
3.85% 8/4/46 | 1,455,000 | 1,735,991 | |
Hewlett Packard Enterprise Co. 4.4% 10/15/22 (c) | 5,700,000 | 5,850,057 | |
17,933,563 | |||
TOTAL INFORMATION TECHNOLOGY | 172,352,221 | ||
MATERIALS - 0.2% | |||
Chemicals - 0.1% | |||
Axalta Coating Systems/Dutch Holding BV 4.75% 6/15/27 (b) | 240,000 | 248,028 | |
CF Industries Holdings, Inc.: | |||
4.95% 6/1/43 | 285,000 | 342,869 | |
5.15% 3/15/34 | 300,000 | 359,562 | |
5.375% 3/15/44 | 525,000 | 664,141 | |
CNAC HK Finbridge Co. Ltd. 1.75% 6/14/22 (Reg. S) | EUR | 900,000 | 1,026,942 |
Consolidated Energy Finance SA 6.5% 5/15/26 (b) | 375,000 | 385,313 | |
DuPont de Nemours, Inc. 4.493% 11/15/25 | 2,625,000 | 2,903,521 | |
FMC Corp. 4.5% 10/1/49 | 1,325,000 | 1,632,815 | |
INEOS Quattro Finance 2 PLC 3.375% 1/15/26 (b) | 275,000 | 273,625 | |
International Flavors & Fragrances, Inc. 1.23% 10/1/25 (b) | 3,285,000 | 3,227,699 | |
LSB Industries, Inc. 6.25% 10/15/28 (b) | 70,000 | 72,279 | |
LYB International Finance BV: | |||
4.875% 3/15/44 | 845,000 | 1,051,350 | |
5.25% 7/15/43 | 5,455,000 | 7,050,731 | |
LYB International Finance III LLC: | |||
3.375% 5/1/30 | 2,495,000 | 2,702,272 | |
3.375% 10/1/40 | 490,000 | 509,761 | |
4.2% 5/1/50 | 150,000 | 173,519 | |
Methanex Corp.: | |||
5.125% 10/15/27 | 320,000 | 334,400 | |
5.25% 12/15/29 | 155,000 | 161,975 | |
5.65% 12/1/44 | 105,000 | 105,938 | |
Nutrien Ltd. 4.9% 6/1/43 | 1,225,000 | 1,575,549 | |
OCI NV: | |||
3.125% 11/1/24 (Reg. S) | EUR | 1,071,429 | 1,227,501 |
3.625% 10/15/25 (Reg. S) | EUR | 3,082,000 | 3,595,590 |
Olin Corp.: | |||
5% 2/1/30 | 195,000 | 203,775 | |
5.125% 9/15/27 | 700,000 | 721,000 | |
5.625% 8/1/29 | 195,000 | 210,313 | |
Sasol Financing U.S.A. LLC: | |||
4.375% 9/18/26 | 810,000 | 799,875 | |
5.875% 3/27/24 | 1,500,000 | 1,545,750 | |
Sherwin-Williams Co. 4.5% 6/1/47 | 210,000 | 262,700 | |
SPCM SA 3.125% 3/15/27 (b) | 115,000 | 112,413 | |
The Chemours Co. LLC 4.625% 11/15/29 (b) | 530,000 | 512,113 | |
The Dow Chemical Co.: | |||
3.625% 5/15/26 | 3,020,000 | 3,258,771 | |
4.625% 10/1/44 | 295,000 | 365,312 | |
The Scotts Miracle-Gro Co.: | |||
4% 4/1/31 (b) | 1,575,000 | 1,531,081 | |
4.5% 10/15/29 | 1,971,000 | 2,035,058 | |
Valvoline, Inc. 4.25% 2/15/30 (b) | 2,270,000 | 2,250,478 | |
W.R. Grace Holding LLC: | |||
4.875% 6/15/27 (b) | 125,000 | 124,023 | |
5.625% 10/1/24 (b) | 400,000 | 425,642 | |
Westlake Chemical Corp. 3.125% 8/15/51 | 1,920,000 | 1,872,183 | |
45,855,867 | |||
Construction Materials - 0.0% | |||
Martin Marietta Materials, Inc.: | |||
2.4% 7/15/31 | 1,055,000 | 1,050,746 | |
2.5% 3/15/30 | 755,000 | 761,151 | |
Summit Materials LLC/Summit Materials Finance Corp. 5.25% 1/15/29 (b) | 1,000,000 | 1,040,820 | |
Vulcan Materials Co. 4.5% 6/15/47 | 440,000 | 554,051 | |
3,406,768 | |||
Containers & Packaging - 0.0% | |||
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.: | |||
4.125% 8/15/26 (b) | 10,000 | 10,113 | |
4.75% 7/15/27 (Reg. S) | GBP | 3,650,000 | 4,848,250 |
5.25% 8/15/27 (b) | 310,000 | 303,800 | |
Ball Corp. 3.125% 9/15/31 | 395,000 | 380,110 | |
Berry Global, Inc.: | |||
0.95% 2/15/24 | 965,000 | 953,439 | |
1.57% 1/15/26 | 1,675,000 | 1,639,524 | |
4.875% 7/15/26 (b) | 7,055,000 | 7,319,986 | |
Graphic Packaging International, Inc. 3.75% 2/1/30 (b) | 55,000 | 54,663 | |
Intelligent Packaging Ltd. Finco, Inc. 6% 9/15/28 (b) | 40,000 | 40,500 | |
Sealed Air Corp. 1.573% 10/15/26 (b) | 2,750,000 | 2,681,049 | |
Trivium Packaging Finance BV 5.5% 8/15/26 (b) | 205,000 | 211,626 | |
Verallia SA 1.625% 5/14/28 (Reg. S) | EUR | 1,500,000 | 1,726,667 |
20,169,727 | |||
Metals & Mining - 0.1% | |||
Alcoa Nederland Holding BV 4.125% 3/31/29 (b) | 110,000 | 112,200 | |
Barrick North America Finance LLC: | |||
5.7% 5/30/41 | 1,580,000 | 2,155,466 | |
5.75% 5/1/43 | 560,000 | 773,046 | |
Barrick PD Australia Finance Pty Ltd. 5.95% 10/15/39 | 1,240,000 | 1,707,755 | |
Cleveland-Cliffs, Inc.: | |||
4.625% 3/1/29 (b) | 110,000 | 110,741 | |
4.875% 3/1/31 (b) | 110,000 | 110,812 | |
FMG Resources (August 2006) Pty Ltd. 4.5% 9/15/27 (b) | 5,000 | 5,181 | |
Freeport-McMoRan, Inc. 5.4% 11/14/34 | 570,000 | 678,300 | |
HudBay Minerals, Inc. 4.5% 4/1/26 (b) | 55,000 | 54,038 | |
Indonesia Asahan Aluminium Tbk PT: | |||
4.75% 5/15/25 (Reg. S) | 500,000 | 531,930 | |
6.53% 11/15/28 (b) | 1,950,000 | 2,330,104 | |
6.53% 11/15/28 (Reg. S) | 488,000 | 583,123 | |
Kaiser Aluminum Corp. 4.625% 3/1/28 (b) | 415,000 | 406,463 | |
Kinross Gold Corp. 4.5% 7/15/27 | 9,090,000 | 10,186,114 | |
Newmont Corp.: | |||
2.25% 10/1/30 | 1,025,000 | 1,002,241 | |
2.8% 10/1/29 | 1,895,000 | 1,949,328 | |
5.45% 6/9/44 | 185,000 | 249,096 | |
Novelis Corp. 3.875% 8/15/31 (b) | 115,000 | 110,975 | |
Roller Bearing Co. of America, Inc. 4.375% 10/15/29 (b) | 30,000 | 29,933 | |
Southern Copper Corp. 5.875% 4/23/45 | 455,000 | 609,691 | |
Steel Dynamics, Inc.: | |||
2.4% 6/15/25 | 790,000 | 810,907 | |
3.45% 4/15/30 | 9,495,000 | 10,118,659 | |
Teck Resources Ltd.: | |||
6% 8/15/40 | 1,255,000 | 1,615,660 | |
6.25% 7/15/41 | 2,050,000 | 2,704,925 | |
Thyssenkrupp AG 1.875% 3/6/23 (Reg. S) | EUR | 2,650,000 | 3,020,001 |
Vale Overseas Ltd. 6.25% 8/10/26 | 700,000 | 796,740 | |
42,763,429 | |||
Paper & Forest Products - 0.0% | |||
Celulosa Arauco y Constitucion SA 4.5% 8/1/24 | 1,850,000 | 1,964,746 | |
Clearwater Paper Corp. 4.75% 8/15/28 (b) | 1,500,000 | 1,515,000 | |
Glatfelter Corp. 4.75% 11/15/29 (b) | 90,000 | 91,125 | |
Suzano Austria GmbH 6% 1/15/29 | 1,263,000 | 1,428,200 | |
4,999,071 | |||
TOTAL MATERIALS | 117,194,862 | ||
REAL ESTATE - 0.7% | |||
Equity Real Estate Investment Trusts (REITs) - 0.5% | |||
Alexandria Real Estate Equities, Inc. 4.9% 12/15/30 | 5,395,000 | 6,505,014 | |
American Campus Communities Operating Partnership LP 3.625% 11/15/27 | 5,645,000 | 6,092,002 | |
American Homes 4 Rent LP: | |||
2.375% 7/15/31 | 704,000 | 696,372 | |
3.375% 7/15/51 | 1,089,000 | 1,124,569 | |
ARGAN SA 1.011% 11/17/26 (Reg. S) | EUR | 500,000 | 568,201 |
Boston Properties, Inc. 4.5% 12/1/28 | 5,210,000 | 5,925,880 | |
Corporate Office Properties LP: | |||
2.25% 3/15/26 | 1,775,000 | 1,796,230 | |
2.75% 4/15/31 | 5,797,000 | 5,812,634 | |
2.9% 12/1/33 | 490,000 | 482,606 | |
CubeSmart LP 2.25% 12/15/28 | 4,085,000 | 4,100,074 | |
Duke Realty LP 3.25% 6/30/26 | 805,000 | 860,611 | |
Global Net Lease, Inc. / Global Net Lease Operating Partnership LP 3.75% 12/15/27 (b) | 275,000 | 267,666 | |
GLP Capital LP/GLP Financing II, Inc.: | |||
5.25% 6/1/25 | 1,200,000 | 1,320,336 | |
5.375% 11/1/23 | 2,000,000 | 2,127,540 | |
5.375% 4/15/26 | 11,435,000 | 12,685,303 | |
Healthcare Realty Trust, Inc. 3.875% 5/1/25 | 2,750,000 | 2,937,690 | |
Healthcare Trust of America Holdings LP: | |||
3.1% 2/15/30 | 1,715,000 | 1,780,123 | |
3.5% 8/1/26 | 1,786,000 | 1,917,677 | |
Healthpeak Properties, Inc. 3% 1/15/30 | 1,175,000 | 1,235,492 | |
Hudson Pacific Properties LP: | |||
3.25% 1/15/30 | 1,750,000 | 1,831,450 | |
4.65% 4/1/29 | 12,773,000 | 14,555,887 | |
Kimco Realty Corp.: | |||
1.9% 3/1/28 | 1,190,000 | 1,175,246 | |
3.375% 10/15/22 | 472,000 | 479,829 | |
Kite Realty Group Trust: | |||
4% 3/15/25 | 6,865,000 | 7,214,003 | |
4.75% 9/15/30 | 10,799,000 | 11,964,536 | |
Lexington Corporate Properties Trust: | |||
2.7% 9/15/30 | 894,000 | 899,342 | |
4.4% 6/15/24 | 1,319,000 | 1,399,009 | |
MGM Growth Properties Operating Partnership LP: | |||
4.5% 9/1/26 | 400,000 | 429,000 | |
4.625% 6/15/25 (b) | 65,000 | 69,225 | |
5.625% 5/1/24 | 1,185,000 | 1,267,263 | |
MPT Operating Partnership LP/MPT Finance Corp.: | |||
2.5% 3/24/26 | GBP | 4,400,000 | 5,885,170 |
5% 10/15/27 | 2,650,000 | 2,770,522 | |
Omega Healthcare Investors, Inc.: | |||
3.25% 4/15/33 | 5,000,000 | 4,864,698 | |
3.375% 2/1/31 | 3,399,000 | 3,422,675 | |
3.625% 10/1/29 | 7,647,000 | 8,000,131 | |
4.375% 8/1/23 | 1,368,000 | 1,432,981 | |
4.5% 1/15/25 | 2,793,000 | 2,999,631 | |
4.5% 4/1/27 | 1,500,000 | 1,649,216 | |
4.75% 1/15/28 | 7,569,000 | 8,390,763 | |
4.95% 4/1/24 | 1,152,000 | 1,236,617 | |
5.25% 1/15/26 | 5,841,000 | 6,524,164 | |
Park Intermediate Holdings LLC 5.875% 10/1/28 (b) | 1,100,000 | 1,134,095 | |
Piedmont Operating Partnership LP 2.75% 4/1/32 | 1,374,000 | 1,355,527 | |
Realty Income Corp.: | |||
2.2% 6/15/28 | 791,000 | 798,262 | |
2.85% 12/15/32 | 1,553,000 | 1,620,015 | |
3% 1/15/27 | 985,000 | 1,043,501 | |
3.1% 12/15/29 | 6,235,000 | 6,698,926 | |
3.25% 1/15/31 | 1,177,000 | 1,264,781 | |
3.4% 1/15/28 | 1,880,000 | 2,021,034 | |
Retail Opportunity Investments Partnership LP: | |||
4% 12/15/24 | 877,000 | 925,836 | |
5% 12/15/23 | 626,000 | 665,496 | |
SBA Communications Corp.: | |||
3.125% 2/1/29 (b) | 220,000 | 209,000 | |
3.875% 2/15/27 | 400,000 | 409,431 | |
Senior Housing Properties Trust 4.75% 2/15/28 | 2,917,000 | 2,761,378 | |
Service Properties Trust: | |||
4.375% 2/15/30 | 200,000 | 180,000 | |
4.95% 2/15/27 | 485,000 | 462,685 | |
4.95% 10/1/29 | 100,000 | 93,410 | |
5.5% 12/15/27 | 100,000 | 100,952 | |
Simon Property Group LP: | |||
1.75% 2/1/28 | 1,265,000 | 1,239,484 | |
2.45% 9/13/29 | 360,000 | 365,224 | |
3.375% 10/1/24 | 2,945,000 | 3,114,620 | |
3.5% 9/1/25 | 55,000 | 58,850 | |
3.75% 2/1/24 | 375,000 | 394,586 | |
SITE Centers Corp.: | |||
3.625% 2/1/25 | 2,396,000 | 2,519,570 | |
4.25% 2/1/26 | 5,582,000 | 5,972,441 | |
Spirit Realty LP 2.7% 2/15/32 | 6,505,000 | 6,487,062 | |
Store Capital Corp.: | |||
2.75% 11/18/30 | 1,957,000 | 1,967,466 | |
4.625% 3/15/29 | 2,475,000 | 2,796,904 | |
Uniti Group LP / Uniti Group Finance, Inc. 4.75% 4/15/28 (b) | 95,000 | 92,625 | |
Uniti Group, Inc. 7.875% 2/15/25 (b) | 2,800,000 | 2,927,736 | |
Ventas Realty LP: | |||
3% 1/15/30 | 10,008,000 | 10,346,518 | |
3.25% 10/15/26 | 1,900,000 | 2,027,365 | |
3.85% 4/1/27 | 1,300,000 | 1,417,641 | |
4% 3/1/28 | 2,712,000 | 2,993,235 | |
4.125% 1/15/26 | 1,628,000 | 1,782,057 | |
4.75% 11/15/30 | 13,000,000 | 15,229,842 | |
VICI Properties, Inc.: | |||
3.5% 2/15/25 (b) | 125,000 | 126,364 | |
4.25% 12/1/26 (b) | 670,000 | 691,775 | |
4.625% 12/1/29 (b) | 250,000 | 265,565 | |
Vornado Realty LP: | |||
2.15% 6/1/26 | 1,762,000 | 1,768,795 | |
3.4% 6/1/31 | 6,373,000 | 6,569,768 | |
Welltower, Inc.: | |||
2.7% 2/15/27 | 590,000 | 613,452 | |
2.75% 1/15/31 | 6,560,000 | 6,747,277 | |
2.8% 6/1/31 | 2,305,000 | 2,357,807 | |
Weyerhaeuser Co. 4% 4/15/30 | 1,900,000 | 2,131,028 | |
WP Carey, Inc.: | |||
2.25% 4/1/33 | 4,960,000 | 4,742,955 | |
3.85% 7/15/29 | 1,725,000 | 1,913,475 | |
4% 2/1/25 | 5,544,000 | 5,938,300 | |
4.6% 4/1/24 | 7,436,000 | 7,936,220 | |
271,977,714 | |||
Real Estate Management & Development - 0.2% | |||
ACCENTRO Real Estate AG 3.625% 2/13/23 (Reg. S) | EUR | 815,000 | 761,616 |
ADLER Group SA: | |||
1.875% 1/14/26 (Reg. S) | EUR | 300,000 | 277,287 |
2.25% 4/27/27 (Reg. S) | EUR | 3,100,000 | 2,830,147 |
Akelius Residential Property AB 3.875% 10/5/78 (Reg. S) (c) | EUR | 720,000 | 849,402 |
Blackstone Property Partners Europe LP: | |||
1% 5/4/28 (Reg. S) | EUR | 2,355,000 | 2,606,773 |
2.625% 10/20/28 (Reg. S) | GBP | 350,000 | 472,034 |
Brandywine Operating Partnership LP: | |||
3.95% 2/15/23 | 4,006,000 | 4,117,850 | |
3.95% 11/15/27 | 5,608,000 | 6,049,797 | |
4.1% 10/1/24 | 4,892,000 | 5,209,171 | |
4.55% 10/1/29 | 1,707,000 | 1,898,388 | |
CBRE Group, Inc. 4.875% 3/1/26 | 12,670,000 | 14,242,285 | |
Essex Portfolio LP: | |||
1.7% 3/1/28 | 5,465,000 | 5,335,038 | |
3.875% 5/1/24 | 2,685,000 | 2,839,573 | |
GTC Aurora Luxembourg SA 2.25% 6/23/26 (Reg. S) | EUR | 775,000 | 866,561 |
Heimstaden AB 4.375% 3/6/27 (Reg. S) | EUR | 800,000 | 901,555 |
Host Hotels & Resorts LP 2.9% 12/15/31 | 590,000 | 572,196 | |
Howard Hughes Corp.: | |||
4.125% 2/1/29 (b) | 300,000 | 295,677 | |
5.375% 8/1/28 (b) | 850,000 | 888,250 | |
Kennedy-Wilson, Inc. 4.75% 2/1/30 | 225,000 | 226,125 | |
Mattamy Group Corp. 4.625% 3/1/30 (b) | 1,500,000 | 1,486,965 | |
Mid-America Apartments LP 4% 11/15/25 | 1,296,000 | 1,413,019 | |
Post Apartment Homes LP 3.375% 12/1/22 | 900,000 | 917,930 | |
Sirius Real Estate Ltd. 1.125% 6/22/26 (Reg. S) | EUR | 400,000 | 450,501 |
SL Green Realty Corp. 3.25% 10/15/22 | 7,000,000 | 7,099,409 | |
Sun Communities Operating LP: | |||
2.3% 11/1/28 | 1,550,000 | 1,546,887 | |
2.7% 7/15/31 | 4,027,000 | 4,033,272 | |
Tanger Properties LP: | |||
2.75% 9/1/31 | 4,140,000 | 3,970,504 | |
3.125% 9/1/26 | 3,497,000 | 3,633,559 | |
3.875% 7/15/27 | 13,369,000 | 14,366,417 | |
Taylor Morrison Communities, Inc./Monarch Communities, Inc.: | |||
5.125% 8/1/30 (b) | 2,500,000 | 2,681,250 | |
5.75% 1/15/28 (b) | 280,000 | 307,030 | |
5.875% 6/15/27 (b) | 1,500,000 | 1,655,625 | |
Tritax EuroBox PLC 0.95% 6/2/26 (Reg. S) | EUR | 780,000 | 888,951 |
95,691,044 | |||
TOTAL REAL ESTATE | 367,668,758 | ||
UTILITIES - 0.5% | |||
Electric Utilities - 0.3% | |||
AEP Texas, Inc.: | |||
2.1% 7/1/30 | 1,400,000 | 1,349,829 | |
3.45% 5/15/51 | 560,000 | 586,042 | |
3.8% 10/1/47 | 925,000 | 1,029,957 | |
AEP Transmission Co. LLC: | |||
3.75% 12/1/47 | 850,000 | 977,634 | |
4% 12/1/46 | 375,000 | 445,146 | |
Alabama Power Co.: | |||
3.75% 3/1/45 | 650,000 | 730,354 | |
3.85% 12/1/42 | 700,000 | 798,136 | |
4.1% 1/15/42 | 225,000 | 255,420 | |
Alliant Energy Finance LLC 1.4% 3/15/26 (b) | 2,300,000 | 2,228,690 | |
Arizona Public Service Co. 2.6% 8/15/29 | 340,000 | 347,866 | |
Atlantic City Electric Co. 2.3% 3/15/31 | 425,000 | 426,192 | |
AusNet Services Holdings Pty Ltd. 1.625% 3/11/81 (Reg. S) (c) | EUR | 760,000 | 860,839 |
CenterPoint Energy Houston Electric LLC 3.95% 3/1/48 | 1,235,000 | 1,488,194 | |
Clearway Energy Operating LLC 4.75% 3/15/28 (b) | 60,000 | 63,000 | |
Cleco Corporate Holdings LLC 3.375% 9/15/29 | 4,448,000 | 4,518,193 | |
Commonwealth Edison Co.: | |||
3.7% 8/15/28 | 250,000 | 277,434 | |
3.7% 3/1/45 | 315,000 | 364,587 | |
4.35% 11/15/45 | 205,000 | 255,663 | |
Dominion Energy South Carolina: | |||
5.1% 6/1/65 | 275,000 | 405,787 | |
5.45% 2/1/41 | 285,000 | 389,683 | |
DPL, Inc. 4.35% 4/15/29 | 2,480,000 | 2,628,800 | |
DTE Electric Co.: | |||
2.25% 3/1/30 | 275,000 | 278,003 | |
3.75% 8/15/47 | 1,050,000 | 1,214,990 | |
Duke Energy Carolinas LLC: | |||
2.95% 12/1/26 | 370,000 | 391,221 | |
4% 9/30/42 | 1,750,000 | 2,041,210 | |
4.25% 12/15/41 | 2,100,000 | 2,501,664 | |
6.1% 6/1/37 | 775,000 | 1,066,864 | |
Duke Energy Florida LLC: | |||
2.4% 12/15/31 | 1,645,000 | 1,655,419 | |
6.35% 9/15/37 | 675,000 | 969,540 | |
Duquesne Light Holdings, Inc. 2.775% 1/7/32 (b) | 4,273,000 | 4,270,729 | |
ENEL Finance International NV 2.25% 7/12/31 (b) | 5,660,000 | 5,533,260 | |
Enel SpA 3.375% (Reg. S) (c)(h) | EUR | 1,035,000 | 1,275,033 |
Entergy Louisiana LLC 2.4% 10/1/26 | 1,070,000 | 1,100,285 | |
Entergy, Inc. 1.75% 3/15/31 | 1,475,000 | 1,391,384 | |
Eskom Holdings SOC Ltd. 6.75% 8/6/23 (b) | 1,000,000 | 1,021,250 | |
Evergy Kansas Central 4.125% 3/1/42 | 655,000 | 767,397 | |
Eversource Energy 1.65% 8/15/30 | 645,000 | 605,129 | |
Exelon Corp. 5.625% 6/15/35 | 150,000 | 192,465 | |
FirstEnergy Corp.: | |||
3.4% 3/1/50 | 3,431,000 | 3,396,690 | |
4.75% 3/15/23 | 12,580,000 | 12,932,617 | |
7.375% 11/15/31 | 9,948,000 | 13,304,555 | |
Florida Power & Light Co.: | |||
3.8% 12/15/42 | 900,000 | 1,050,372 | |
5.25% 2/1/41 | 250,000 | 339,984 | |
Fortis, Inc. 3.055% 10/4/26 | 301,000 | 315,012 | |
Hydro-Quebec 8.05% 7/7/24 | 1,455,000 | 1,709,232 | |
InterGen NV 7% 6/30/23 (b) | 230,000 | 225,400 | |
IPALCO Enterprises, Inc. 3.7% 9/1/24 | 2,644,000 | 2,779,978 | |
Jersey Central Power & Light Co.: | |||
2.75% 3/1/32 (b) | 3,560,000 | 3,628,527 | |
4.3% 1/15/26 (b) | 2,000,000 | 2,179,106 | |
Louisville Gas & Electric Co. 5.125% 11/15/40 | 345,000 | 442,432 | |
Mong Duong Finance Holdings BV 5.125% 5/7/29 (Reg. S) | 250,000 | 242,938 | |
NextEra Energy Capital Holdings, Inc.: | |||
3 month U.S. LIBOR + 0.270% 0.4296% 2/22/23 (c)(f) | 5,000,000 | 4,991,900 | |
2.25% 6/1/30 | 840,000 | 835,074 | |
2.75% 11/1/29 | 1,700,000 | 1,754,180 | |
NextEra Energy Partners LP 4.25% 9/15/24 (b) | 27,000 | 28,195 | |
NGG Finance PLC 2.125% 9/5/82 (Reg. S) (c) | EUR | 1,150,000 | 1,300,694 |
Northern States Power Co.: | |||
3.6% 9/15/47 | 20,000 | 22,767 | |
6.25% 6/1/36 | 370,000 | 534,435 | |
NRG Energy, Inc.: | |||
2% 12/2/25 (b) | 3,120,000 | 3,148,297 | |
3.375% 2/15/29 (b) | 45,000 | 43,429 | |
3.625% 2/15/31 (b) | 645,000 | 612,750 | |
3.875% 2/15/32 (b) | 1,000,000 | 959,850 | |
5.75% 1/15/28 | 245,000 | 256,025 | |
6.625% 1/15/27 | 122,000 | 126,118 | |
Pacific Gas & Electric Co.: | |||
1.75% 6/16/22 | 1,025,000 | 1,024,362 | |
3.95% 12/1/47 | 1,700,000 | 1,681,482 | |
4% 12/1/46 | 685,000 | 677,856 | |
4.5% 7/1/40 | 445,000 | 465,802 | |
4.55% 7/1/30 | 3,080,000 | 3,361,401 | |
4.95% 7/1/50 | 785,000 | 881,156 | |
PacifiCorp: | |||
2.9% 6/15/52 | 1,025,000 | 1,019,980 | |
5.25% 6/15/35 | 1,375,000 | 1,744,264 | |
5.75% 4/1/37 | 900,000 | 1,204,105 | |
Pattern Energy Operations LP 4.5% 8/15/28 (b) | 90,000 | 91,569 | |
PECO Energy Co.: | |||
2.8% 6/15/50 | 380,000 | 379,449 | |
3.9% 3/1/48 | 885,000 | 1,059,609 | |
PG&E Corp.: | |||
5% 7/1/28 | 1,155,000 | 1,189,650 | |
5.25% 7/1/30 | 735,000 | 753,375 | |
PPL Electric Utilities Corp.: | |||
4.125% 6/15/44 | 800,000 | 953,587 | |
4.15% 10/1/45 | 555,000 | 676,747 | |
6.25% 5/15/39 | 350,000 | 505,159 | |
PT Perusahaan Listrik Negara 1.875% 11/5/31 (b) | EUR | 1,500,000 | 1,637,357 |
Public Service Electric & Gas Co.: | |||
3.6% 12/1/47 | 410,000 | 473,490 | |
3.65% 9/1/28 | 685,000 | 758,733 | |
3.65% 9/1/42 | 225,000 | 251,753 | |
3.95% 5/1/42 | 505,000 | 587,546 | |
Puget Sound Energy, Inc. 5.764% 7/15/40 | 285,000 | 391,369 | |
Southern California Edison Co.: | |||
3.5% 10/1/23 | 675,000 | 701,625 | |
3.6% 2/1/45 | 2,335,000 | 2,431,702 | |
3.9% 12/1/41 | 295,000 | 310,006 | |
5.55% 1/15/37 | 430,000 | 535,050 | |
Southern Co. 1.875% 9/15/81 (c) | EUR | 1,600,000 | 1,756,494 |
SSE PLC 4.75% 9/16/77 (Reg. S) (c) | 3,570,000 | 3,632,475 | |
Tampa Electric Co. 4.45% 6/15/49 | 700,000 | 893,769 | |
Virginia Electric & Power Co.: | |||
6% 1/15/36 | 470,000 | 643,957 | |
6% 5/15/37 | 950,000 | 1,322,011 | |
Vistra Operations Co. LLC: | |||
3.7% 1/30/27 (b) | 2,900,000 | 3,026,989 | |
4.375% 5/1/29 (b) | 1,000,000 | 981,150 | |
5% 7/31/27 (b) | 195,000 | 197,059 | |
5.5% 9/1/26 (b) | 770,000 | 788,880 | |
5.625% 2/15/27 (b) | 5,625,000 | 5,776,284 | |
Wisconsin Power & Light Co. 4.1% 10/15/44 | 240,000 | 279,633 | |
Xcel Energy, Inc.: | |||
0.5% 10/15/23 | 155,000 | 153,740 | |
1.75% 3/15/27 | 880,000 | 874,090 | |
4% 6/15/28 | 2,700,000 | 3,007,263 | |
152,945,824 | |||
Gas Utilities - 0.0% | |||
AmeriGas Partners LP/AmeriGas Finance Corp.: | |||
5.75% 5/20/27 | 679,000 | 733,320 | |
5.875% 8/20/26 | 5,200,000 | 5,674,552 | |
Nakilat, Inc. 6.067% 12/31/33 (b) | 648,784 | 792,449 | |
Southern Co. Gas Capital Corp. 4.4% 6/1/43 | 890,000 | 1,035,282 | |
8,235,603 | |||
Independent Power and Renewable Electricity Producers - 0.1% | |||
Calpine Corp.: | |||
5% 2/1/31 (b) | 3,365,000 | 3,237,635 | |
5.125% 3/15/28 (b) | 1,375,000 | 1,361,195 | |
TerraForm Power Operating LLC 5% 1/31/28 (b) | 645,000 | 670,800 | |
The AES Corp.: | |||
3.3% 7/15/25 (b) | 10,697,000 | 11,189,918 | |
3.95% 7/15/30 (b) | 9,327,000 | 10,055,345 | |
26,514,893 | |||
Multi-Utilities - 0.1% | |||
Ameren Illinois Co.: | |||
4.15% 3/15/46 | 1,160,000 | 1,414,286 | |
4.5% 3/15/49 | 295,000 | 386,119 | |
Berkshire Hathaway Energy Co.: | |||
3.7% 7/15/30 | 1,280,000 | 1,424,867 | |
4.05% 4/15/25 | 16,081,000 | 17,497,863 | |
6.125% 4/1/36 | 3,050,000 | 4,167,276 | |
CenterPoint Energy, Inc. 2.95% 3/1/30 | 525,000 | 541,145 | |
Consolidated Edison Co. of New York, Inc.: | |||
3.7% 11/15/59 | 1,650,000 | 1,792,900 | |
3.95% 4/1/50 | 1,808,000 | 2,108,413 | |
4.3% 12/1/56 | 300,000 | 360,067 | |
Dominion Energy, Inc. 7% 6/15/38 | 150,000 | 218,713 | |
Empresas Publicas de Medellin 4.375% 2/15/31 (Reg. S) | 400,000 | 376,700 | |
NiSource, Inc.: | |||
2.95% 9/1/29 | 11,346,000 | 11,757,701 | |
4.8% 2/15/44 | 190,000 | 238,209 | |
5.95% 6/15/41 | 640,000 | 882,171 | |
Puget Energy, Inc.: | |||
2.379% 6/15/28 | 835,000 | 827,050 | |
3.65% 5/15/25 | 324,000 | 343,106 | |
4.1% 6/15/30 | 5,059,000 | 5,494,179 | |
5.625% 7/15/22 | 4,555,000 | 4,639,447 | |
San Diego Gas & Electric Co.: | |||
3.32% 4/15/50 | 910,000 | 978,918 | |
3.6% 9/1/23 | 100,000 | 104,299 | |
3.75% 6/1/47 | 860,000 | 982,739 | |
Sempra Energy: | |||
4% 2/1/48 | 940,000 | 1,079,162 | |
4.125% 4/1/52 (c) | 3,845,000 | 3,802,236 | |
WEC Energy Group, Inc. 3 month U.S. LIBOR + 2.110% 2.2685% 5/15/67 (c)(f) | 1,012,000 | 941,160 | |
62,358,726 | |||
TOTAL UTILITIES | 250,055,046 | ||
TOTAL NONCONVERTIBLE BONDS (Cost $4,894,217,741) | 5,087,781,272 | ||
U.S. Government and Government Agency Obligations - 8.8% | |||
Principal Amount (a) | Value ($) | ||
U.S. Government Agency Obligations - 0.2% | |||
Fannie Mae: | |||
0.5% 6/17/25 | 1,685,000 | 1,652,386 | |
0.625% 4/22/25 | 1,625,000 | 1,605,114 | |
0.75% 10/8/27 | 980,000 | 946,463 | |
0.875% 8/5/30 | 705,000 | 665,800 | |
1.625% 10/15/24 | 1,295,000 | 1,323,127 | |
1.625% 1/7/25 | 475,000 | 485,137 | |
1.875% 9/24/26 | 220,000 | 226,869 | |
2.5% 2/5/24 | 665,000 | 692,266 | |
2.875% 9/12/23 | 505,000 | 526,056 | |
6.25% 5/15/29 | 255,000 | 340,205 | |
6.625% 11/15/30 | 670,000 | 950,207 | |
Federal Home Loan Bank: | |||
1.04% 6/14/24 (e) | 30,220,000 | 30,227,189 | |
1.2% 12/23/24 (e) | 31,205,000 | 31,238,207 | |
3.25% 11/16/28 | 1,815,000 | 2,027,580 | |
Freddie Mac: | |||
0.375% 4/20/23 | 885,000 | 884,443 | |
0.375% 5/5/23 | 3,065,000 | 3,062,577 | |
6.25% 7/15/32 | 40,000 | 58,005 | |
Tennessee Valley Authority: | |||
0.75% 5/15/25 | 845,000 | 838,128 | |
1.5% 9/15/31 | 780,000 | 770,781 | |
2.875% 2/1/27 | 1,060,000 | 1,140,793 | |
5.25% 9/15/39 | 150,000 | 215,824 | |
7.125% 5/1/30 | 460,000 | 663,521 | |
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 80,540,678 | ||
U.S. Treasury Inflation-Protected Obligations - 0.0% | |||
U.S. Treasury Inflation-Indexed Bonds 0.125% 2/15/51 | 6,230,000 | 7,895,711 | |
U.S. Treasury Obligations - 8.6% | |||
U.S. Treasury Bonds: | |||
1.375% 11/15/40 | 42,214,600 | 38,926,479 | |
1.375% 8/15/50 | 82,430,000 | 74,389,855 | |
1.625% 11/15/50 | 91,414,400 | 87,654,269 | |
1.75% 8/15/41 | 56,300,200 | 55,270,962 | |
1.875% 2/15/41 | 88,090,000 | 88,375,605 | |
1.875% 11/15/51 | 116,835,000 | 119,135,189 | |
2% 8/15/51 | 65,468,700 | 68,558,004 | |
2.25% 5/15/41 | 76,230,000 | 81,137,306 | |
2.375% 5/15/51 | 472,725,500 | 536,174,126 | |
2.5% 2/15/46 | 99,960,000 | 112,693,186 | |
3.375% 11/15/48 | 11,280,000 | 15,122,250 | |
3.625% 8/15/43 | 31,048,100 | 40,875,551 | |
6.25% 8/15/23 | 11,080,000 | 12,175,448 | |
stripped coupon: | |||
0% 2/15/29 | 1,020,000 | 918,706 | |
0% 2/15/36 | 1,100,000 | 860,729 | |
0% 11/15/36 | 1,975,000 | 1,521,366 | |
0% 5/15/39 | 5,425,000 | 3,908,557 | |
0% 8/15/39 | 8,745,000 | 6,266,866 | |
0% 8/15/40 | 31,315,000 | 21,749,825 | |
0% 2/15/41 | 1,890,000 | 1,299,186 | |
0% 5/15/41 | 41,450,000 | 28,168,986 | |
0% 11/15/41 | 850,000 | 569,163 | |
0% 5/15/42 | 2,635,000 | 1,751,912 | |
0% 8/15/42 | 490,000 | 322,567 | |
0% 11/15/42 | 1,280,000 | 838,117 | |
0% 5/15/44 | 7,670,000 | 4,904,054 | |
U.S. Treasury Notes: | |||
0.125% 8/31/23 | 43,985,000 | 43,713,530 | |
0.125% 9/15/23 | 51,800,000 | 51,464,109 | |
0.25% 9/30/23 | 340,190,000 | 338,635,226 | |
0.25% 9/30/25 | 52,345,000 | 50,833,947 | |
0.375% 10/31/23 | 244,870,000 | 244,200,432 | |
0.375% 4/30/25 | 13,755,000 | 13,489,034 | |
0.375% 12/31/25 | 37,840,000 | 36,783,141 | |
0.375% 1/31/26 | 8,470,000 | 8,223,179 | |
0.5% 3/15/23 | 34,900,000 | 34,972,254 | |
0.5% 11/30/23 | 8,725,000 | 8,715,798 | |
0.5% 2/28/26 | 39,520,000 | 38,542,806 | |
0.75% 3/31/26 | 46,200,000 | 45,508,805 | |
0.75% 4/30/26 | 71,811,200 | 70,683,540 | |
0.875% 6/30/26 | 13,340,000 | 13,188,883 | |
0.875% 9/30/26 | 178,725,000 | 176,421,124 | |
0.875% 11/15/30 | 252,700,000 | 241,595,020 | |
1.125% 10/31/26 | 238,135,000 | 237,800,123 | |
1.125% 2/15/31 | 84,723,000 | 82,707,519 | |
1.25% 11/30/26 | 34,505,000 | 34,658,655 | |
1.25% 4/30/28 | 326,095,000 | 324,693,809 | |
1.25% 6/30/28 | 19,335,000 | 19,223,220 | |
1.25% 9/30/28 | 54,580,000 | 54,179,178 | |
1.25% 8/15/31 | 79,600,000 | 78,318,938 | |
1.375% 2/15/23 | 6,950,000 | 7,039,047 | |
1.375% 10/31/28 | 12,805,000 | 12,815,004 | |
1.375% 11/30/28 | 11,360,000 | 11,459,400 | |
1.375% 11/15/31 | 202,766,000 | 201,530,395 | |
1.625% 11/15/22 | 42,535,000 | 43,088,287 | |
1.625% 4/30/23 | 21,075,000 | 21,445,459 | |
1.75% 9/30/22 | 8,805,000 | 8,917,126 | |
1.875% 9/30/22 | 1,213,000 | 1,229,726 | |
2% 10/31/22 | 39,230,000 | 39,856,760 | |
2% 8/15/25 | 6,760,000 | 7,004,258 | |
2.125% 7/31/24 | 45,715,000 | 47,368,597 | |
2.125% 5/15/25 | 33,680,000 | 35,021,938 | |
2.625% 2/15/29 | 88,910,000 | 96,581,960 | |
2.875% 5/15/28 | 18,690,000 | 20,491,833 | |
3.125% 11/15/28 | 14,283,500 | 15,966,833 | |
TOTAL U.S. TREASURY OBLIGATIONS | 4,221,937,157 | ||
Other Government Related - 0.0% | |||
Private Export Funding Corp. Secured: | |||
1.4% 7/15/28 | 2,605,000 | 2,584,349 | |
3.55% 1/15/24 | 755,000 | 801,664 | |
TOTAL OTHER GOVERNMENT RELATED | 3,386,013 | ||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $4,212,961,119) | 4,313,759,559 | ||
U.S. Government Agency - Mortgage Securities - 7.9% | |||
Principal Amount (a) | Value ($) | ||
Fannie Mae - 2.1% | |||
12 month U.S. LIBOR + 1.550% 1.803% 6/1/36 (c)(f) | 2,765 | 2,902 | |
12 month U.S. LIBOR + 1.820% 2.2% 2/1/35 (c)(f) | 25,665 | 27,120 | |
12 month U.S. LIBOR + 1.950% 2.202% 7/1/37 (c)(f) | 7,718 | 8,195 | |
1.5% 9/1/50 to 6/1/51 | 25,437,490 | 24,627,005 | |
2% 8/1/31 to 11/1/51 | 226,963,147 | 228,560,888 | |
2.5% 6/1/28 to 12/1/51 | 238,092,016 | 245,401,682 | |
3% 2/1/27 to 11/1/51 (e)(i)(j)(k) | 221,049,557 | 232,234,012 | |
3.5% 5/1/29 to 1/1/51 (i)(j) | 113,543,619 | 121,106,849 | |
4% 9/1/38 to 11/1/49 | 86,424,696 | 93,590,373 | |
4.5% 6/1/24 to 9/1/49 | 43,915,328 | 47,997,787 | |
5% 6/1/24 to 2/1/49 | 29,380,300 | 32,674,407 | |
5.237% 8/1/41 (c) | 254,567 | 283,507 | |
5.5% 11/1/36 to 1/1/40 | 1,503,756 | 1,728,734 | |
6% to 6% 2/1/34 to 1/1/42 (j) | 10,111,017 | 11,704,949 | |
6.5% 2/1/36 | 1,307 | 1,552 | |
6.623% 2/1/39 (c) | 177,667 | 195,596 | |
TOTAL FANNIE MAE | 1,040,145,558 | ||
Freddie Mac - 1.4% | |||
6 month U.S. LIBOR + 2.680% 2.812% 10/1/35 (c)(f) | 3,704 | 3,916 | |
1.5% 11/1/50 to 6/1/51 | 4,951,319 | 4,795,004 | |
2% 1/1/32 to 11/1/51 | 135,815,790 | 136,540,339 | |
2.5% 3/1/28 to 12/1/51 | 141,132,107 | 145,549,397 | |
3% 10/1/28 to 8/1/50 | 165,534,235 | 174,099,448 | |
3.5% 2/1/29 to 11/1/48 | 111,307,405 | 119,122,425 | |
3.5% 8/1/47 | 5,882,515 | 6,279,206 | |
4% 1/1/36 to 6/1/48 | 56,846,429 | 61,681,038 | |
4.5% 7/1/25 to 12/1/48 | 23,349,964 | 25,537,527 | |
5% 10/1/33 to 12/1/47 | 4,610,824 | 5,176,300 | |
6% 7/1/37 to 9/1/38 | 130,423 | 152,343 | |
6.5% 9/1/39 | 366,904 | 440,046 | |
TOTAL FREDDIE MAC | 679,376,989 | ||
Ginnie Mae - 1.6% | |||
3.5% 9/20/40 to 11/20/50 | 67,868,641 | 71,991,375 | |
4.5% 5/15/39 to 3/20/49 | 17,623,804 | 19,368,357 | |
5.5% 6/15/36 to 3/20/41 | 153,010 | 173,421 | |
2% 3/20/51 to 7/20/51 | 4,297,123 | 4,355,689 | |
2% 12/1/51 (e) | 10,400,000 | 10,532,911 | |
2% 12/1/51 (e) | 9,300,000 | 9,418,853 | |
2% 12/1/51 (e) | 20,900,000 | 21,167,100 | |
2% 12/1/51 (e) | 11,150,000 | 11,292,496 | |
2% 12/1/51 (e) | 10,050,000 | 10,178,438 | |
2% 12/1/51 (e) | 7,800,000 | 7,899,683 | |
2% 12/1/51 (e) | 7,000,000 | 7,089,459 | |
2% 12/1/51 (e) | 5,000,000 | 5,063,900 | |
2% 12/1/51 (e) | 5,550,000 | 5,620,928 | |
2% 12/1/51 (e) | 3,400,000 | 3,443,452 | |
2% 12/1/51 (e) | 3,000,000 | 3,038,340 | |
2% 12/1/51 (e) | 3,750,000 | 3,797,925 | |
2% 12/1/51 (e) | 3,325,000 | 3,367,493 | |
2% 1/1/52 (e) | 15,175,000 | 15,342,260 | |
2% 1/1/52 (e) | 14,600,000 | 14,760,923 | |
2.5% 8/20/46 to 8/20/51 | 32,655,858 | 33,575,136 | |
2.5% 12/1/51 (e) | 2,500,000 | 2,568,403 | |
2.5% 12/1/51 (e) | 14,750,000 | 15,153,575 | |
2.5% 12/1/51 (e) | 6,175,000 | 6,343,954 | |
2.5% 12/1/51 (e) | 3,875,000 | 3,981,024 | |
2.5% 12/1/51 (e) | 14,750,000 | 15,153,575 | |
2.5% 12/1/51 (e) | 2,250,000 | 2,311,562 | |
2.5% 12/1/51 (e) | 6,700,000 | 6,883,319 | |
2.5% 12/1/51 (e) | 6,500,000 | 6,677,847 | |
2.5% 12/1/51 (e) | 5,075,000 | 5,213,857 | |
2.5% 12/1/51 (e) | 4,950,000 | 5,085,437 | |
2.5% 12/1/51 (e) | 4,100,000 | 4,212,180 | |
2.5% 12/1/51 (e) | 3,975,000 | 4,083,760 | |
2.5% 12/1/51 (e) | 2,000,000 | 2,054,722 | |
2.5% 1/1/52 (e) | 14,750,000 | 15,123,615 | |
2.5% 1/1/52 (e) | 12,050,000 | 12,355,224 | |
2.5% 1/1/52 (e) | 18,800,000 | 19,276,200 | |
2.5% 1/1/52 (e) | 6,175,000 | 6,331,412 | |
2.5% 1/1/52 (e) | 14,750,000 | 15,123,615 | |
3% 8/20/42 to 6/20/51 | 96,213,282 | 100,144,805 | |
3% 12/1/51 (e) | 3,300,000 | 3,419,852 | |
3% 12/1/51 (e) | 5,000,000 | 5,181,594 | |
3% 12/1/51 (e) | 4,300,000 | 4,456,170 | |
3% 12/1/51 (e) | 2,000,000 | 2,072,637 | |
3% 12/1/51 (e) | 1,100,000 | 1,139,951 | |
3% 12/1/51 (e) | 1,050,000 | 1,088,135 | |
3% 12/1/51 (e) | 2,350,000 | 2,435,349 | |
3% 12/1/51 (e) | 2,150,000 | 2,228,085 | |
3.5% 12/1/51 (e) | 1,600,000 | 1,670,932 | |
3.5% 12/1/51 (e) | 1,350,000 | 1,409,849 | |
3.5% 12/1/51 (e) | 1,350,000 | 1,409,849 | |
3.5% 12/1/51 (e) | 9,000,000 | 9,398,991 | |
3.5% 12/1/51 (e) | 5,450,000 | 5,691,611 | |
3.5% 12/1/51 (e) | 9,000,000 | 9,398,991 | |
3.5% 12/1/51 (e) | 5,800,000 | 6,057,127 | |
3.5% 12/1/51 (e) | 3,500,000 | 3,655,163 | |
3.5% 12/1/51 (e) | 5,750,000 | 6,004,911 | |
3.5% 12/1/51 (e) | 1,150,000 | 1,200,982 | |
3.5% 12/1/51 (e) | 1,850,000 | 1,932,015 | |
3.5% 12/1/51 (e) | 1,800,000 | 1,879,798 | |
3.5% 12/1/51 (e) | 1,150,000 | 1,200,982 | |
3.5% 12/1/51 (e) | 5,400,000 | 5,639,394 | |
3.5% 12/1/51 (e) | 3,500,000 | 3,655,163 | |
3.5% 12/1/51 (e) | 2,300,000 | 2,401,964 | |
3.5% 12/1/51 (e) | 3,600,000 | 3,759,596 | |
3.5% 12/1/51 (e) | 2,300,000 | 2,401,964 | |
3.5% 12/1/51 (e) | 3,600,000 | 3,759,596 | |
3.5% 12/1/51 (e) | 1,150,000 | 1,200,982 | |
3.5% 12/1/51 (e) | 1,800,000 | 1,879,798 | |
3.5% 12/1/51 (e) | 2,300,000 | 2,401,964 | |
3.5% 12/1/51 (e) | 3,600,000 | 3,759,596 | |
3.5% 12/1/51 (e) | 1,750,000 | 1,827,582 | |
3.5% 12/1/51 (e) | 2,700,000 | 2,819,697 | |
3.5% 12/1/51 (e) | 2,050,000 | 2,140,881 | |
3.5% 12/1/51 (e) | 3,200,000 | 3,341,863 | |
3.5% 1/1/52 (e) | 3,450,000 | 3,599,173 | |
3.5% 1/1/52 (e) | 5,400,000 | 5,633,488 | |
3.5% 1/1/52 (e) | 4,400,000 | 4,590,249 | |
3.5% 1/1/52 (e) | 6,850,000 | 7,146,184 | |
3.5% 1/1/52 (e) | 5,550,000 | 5,789,974 | |
3.5% 1/1/52 (e) | 5,400,000 | 5,633,488 | |
3.5% 1/1/52 (e) | 3,550,000 | 3,703,497 | |
3.5% 1/1/52 (e) | 3,450,000 | 3,599,173 | |
4% 5/20/40 to 5/20/49 | 80,871,699 | 87,128,763 | |
5% 6/20/34 to 6/20/48 | 13,880,152 | 15,211,222 | |
TOTAL GINNIE MAE | 765,514,450 | ||
Uniform Mortgage Backed Securities - 2.8% | |||
1.5% 1/1/37 (e) | 13,950,000 | 13,996,797 | |
1.5% 1/1/37 (e) | 9,675,000 | 9,707,456 | |
1.5% 1/1/37 (e) | 16,950,000 | 17,006,860 | |
1.5% 12/1/51 (e) | 3,300,000 | 3,191,079 | |
1.5% 12/1/51 (e) | 1,800,000 | 1,740,588 | |
1.5% 12/1/51 (e) | 15,150,000 | 14,649,952 | |
1.5% 12/1/51 (e) | 18,250,000 | 17,647,631 | |
1.5% 12/1/51 (e) | 12,650,000 | 12,232,468 | |
1.5% 12/1/51 (e) | 9,050,000 | 8,751,291 | |
1.5% 12/1/51 (e) | 10,550,000 | 10,201,781 | |
1.5% 12/1/51 (e) | 7,500,000 | 7,252,451 | |
2% 12/1/36 (e) | 3,000,000 | 3,076,207 | |
2% 12/1/36 (e) | 2,000,000 | 2,050,805 | |
2% 1/1/37 (e) | 7,525,000 | 7,702,044 | |
2% 1/1/37 (e) | 4,800,000 | 4,912,932 | |
2% 1/1/37 (e) | 1,775,000 | 1,816,761 | |
2% 1/1/37 (e) | 12,225,000 | 12,512,622 | |
2% 1/1/37 (e) | 10,525,000 | 10,772,626 | |
2% 12/1/51 (e) | 1,800,000 | 1,801,628 | |
2% 12/1/51 (e) | 6,500,000 | 6,505,878 | |
2% 12/1/51 (e) | 5,000,000 | 5,004,522 | |
2% 12/1/51 (e) | 24,650,000 | 24,672,291 | |
2% 12/1/51 (e) | 14,350,000 | 14,362,977 | |
2% 12/1/51 (e) | 20,875,000 | 20,893,877 | |
2% 12/1/51 (e) | 13,550,000 | 13,562,253 | |
2% 12/1/51 (e) | 3,775,000 | 3,778,414 | |
2% 12/1/51 (e) | 900,000 | 900,814 | |
2% 12/1/51 (e) | 200,000 | 200,181 | |
2% 12/1/51 (e) | 900,000 | 900,814 | |
2% 12/1/51 (e) | 14,800,000 | 14,813,384 | |
2% 12/1/51 (e) | 2,650,000 | 2,652,396 | |
2% 12/1/51 (e) | 11,550,000 | 11,560,445 | |
2% 12/1/51 (e) | 1,000,000 | 1,000,904 | |
2% 12/1/51 (e) | 2,650,000 | 2,652,396 | |
2% 12/1/51 (e) | 4,800,000 | 4,804,341 | |
2% 12/1/51 (e) | 31,600,000 | 31,628,576 | |
2% 12/1/51 (e) | 7,200,000 | 7,206,511 | |
2% 12/1/51 (e) | 19,775,000 | 19,792,883 | |
2% 12/1/51 (e) | 7,400,000 | 7,406,692 | |
2% 12/1/51 (e) | 3,700,000 | 3,703,346 | |
2% 12/1/51 (e) | 6,275,000 | 6,280,674 | |
2% 12/1/51 (e) | 7,500,000 | 7,506,782 | |
2% 12/1/51 (e) | 2,000,000 | 2,001,809 | |
2% 12/1/51 (e) | 3,500,000 | 3,503,165 | |
2% 12/1/51 (e) | 14,500,000 | 14,513,112 | |
2% 12/1/51 (e) | 13,700,000 | 13,712,389 | |
2% 12/1/51 (e) | 14,600,000 | 14,613,203 | |
2% 12/1/51 (e) | 13,800,000 | 13,812,479 | |
2% 12/1/51 (e) | 12,100,000 | 12,110,942 | |
2% 12/1/51 (e) | 11,400,000 | 11,410,309 | |
2% 12/1/51 (e) | 3,500,000 | 3,503,165 | |
2% 12/1/51 (e) | 3,375,000 | 3,378,052 | |
2% 12/1/51 (e) | 5,100,000 | 5,104,612 | |
2% 1/1/52 (e) | 14,650,000 | 14,634,635 | |
2% 1/1/52 (e) | 14,650,000 | 14,634,635 | |
2% 1/1/52 (e) | 3,000,000 | 2,996,854 | |
2% 1/1/52 (e) | 20,350,000 | 20,328,657 | |
2% 1/1/52 (e) | 32,525,000 | 32,490,888 | |
2% 1/1/52 (e) | 1,325,000 | 1,323,610 | |
2% 1/1/52 (e) | 17,075,000 | 17,057,092 | |
2% 1/1/52 (e) | 18,950,000 | 18,930,125 | |
2% 1/1/52 (e) | 29,525,000 | 29,494,034 | |
2% 1/1/52 (e) | 21,050,000 | 21,027,923 | |
2% 1/1/52 (e) | 2,975,000 | 2,971,880 | |
2% 1/1/52 (e) | 20,000,000 | 19,979,024 | |
2% 1/1/52 (e) | 39,000,000 | 38,959,097 | |
2% 1/1/52 (e) | 40,575,000 | 40,532,445 | |
2% 1/1/52 (e) | 21,000,000 | 20,977,975 | |
2% 1/1/52 (e) | 14,350,000 | 14,334,950 | |
2% 1/1/52 (e) | 13,550,000 | 13,535,789 | |
2.5% 12/1/51 (e) | 11,500,000 | 11,787,500 | |
2.5% 12/1/51 (e) | 3,750,000 | 3,843,750 | |
2.5% 12/1/51 (e) | 3,850,000 | 3,946,250 | |
2.5% 12/1/51 (e) | 3,700,000 | 3,792,500 | |
2.5% 12/1/51 (e) | 8,000,000 | 8,200,000 | |
2.5% 12/1/51 (e) | 4,100,000 | 4,202,500 | |
2.5% 12/1/51 (e) | 2,050,000 | 2,101,250 | |
2.5% 12/1/51 (e) | 2,900,000 | 2,972,500 | |
2.5% 12/1/51 (e) | 13,200,000 | 13,530,000 | |
2.5% 12/1/51 (e) | 3,100,000 | 3,177,500 | |
2.5% 12/1/51 (e) | 33,025,000 | 33,850,625 | |
2.5% 12/1/51 (e) | 5,400,000 | 5,535,000 | |
2.5% 12/1/51 (e) | 31,225,000 | 32,005,625 | |
2.5% 12/1/51 (e) | 16,150,000 | 16,553,750 | |
2.5% 12/1/51 (e) | 3,000,000 | 3,075,000 | |
2.5% 12/1/51 (e) | 12,000,000 | 12,300,000 | |
2.5% 12/1/51 (e) | 11,800,000 | 12,095,000 | |
2.5% 12/1/51 (e) | 1,650,000 | 1,691,250 | |
2.5% 12/1/51 (e) | 650,000 | 666,250 | |
2.5% 12/1/51 (e) | 6,900,000 | 7,072,500 | |
2.5% 12/1/51 (e) | 4,650,000 | 4,766,250 | |
2.5% 12/1/51 (e) | 8,100,000 | 8,302,500 | |
2.5% 12/1/51 (e) | 5,450,000 | 5,586,250 | |
2.5% 1/1/52 (e) | 7,600,000 | 7,771,000 | |
2.5% 1/1/52 (e) | 8,000,000 | 8,180,000 | |
2.5% 1/1/52 (e) | 3,000,000 | 3,067,500 | |
2.5% 1/1/52 (e) | 6,000,000 | 6,135,000 | |
2.5% 1/1/52 (e) | 6,000,000 | 6,135,000 | |
2.5% 1/1/52 (e) | 5,500,000 | 5,623,750 | |
2.5% 1/1/52 (e) | 27,425,000 | 28,042,063 | |
2.5% 1/1/52 (e) | 18,775,000 | 19,197,438 | |
2.5% 1/1/52 (e) | 13,500,000 | 13,803,750 | |
2.5% 1/1/52 (e) | 10,950,000 | 11,196,375 | |
2.5% 1/1/52 (e) | 8,375,000 | 8,563,438 | |
2.5% 1/1/52 (e) | 23,000,000 | 23,517,500 | |
2.5% 1/1/52 (e) | 7,800,000 | 7,975,500 | |
2.5% 1/1/52 (e) | 23,450,000 | 23,977,625 | |
2.5% 1/1/52 (e) | 22,850,000 | 23,364,125 | |
2.5% 1/1/52 (e) | 13,200,000 | 13,497,000 | |
2.5% 1/1/52 (e) | 11,350,000 | 11,605,375 | |
2.5% 1/1/52 (e) | 12,450,000 | 12,730,125 | |
2.5% 1/1/52 (e) | 7,775,000 | 7,949,938 | |
2.5% 1/1/52 (e) | 24,750,000 | 25,306,875 | |
2.5% 1/1/52 (e) | 5,100,000 | 5,214,750 | |
2.5% 1/1/52 (e) | 5,500,000 | 5,623,750 | |
3% 12/1/51 (e) | 9,900,000 | 10,278,211 | |
3% 12/1/51 (e) | 2,600,000 | 2,699,328 | |
3% 12/1/51 (e) | 7,300,000 | 7,578,883 | |
3% 12/1/51 (e) | 2,600,000 | 2,699,328 | |
3% 12/1/51 (e) | 5,100,000 | 5,294,836 | |
3% 12/1/51 (e) | 1,400,000 | 1,453,484 | |
3% 12/1/51 (e) | 9,000,000 | 9,343,828 | |
3% 12/1/51 (e) | 3,050,000 | 3,166,519 | |
3% 12/1/51 (e) | 2,600,000 | 2,699,328 | |
3% 12/1/51 (e) | 3,900,000 | 4,048,992 | |
3% 12/1/51 (e) | 4,200,000 | 4,360,453 | |
3% 1/1/52 (e) | 12,500,000 | 12,962,403 | |
3% 1/1/52 (e) | 7,000,000 | 7,258,945 | |
3% 1/1/52 (e) | 3,000,000 | 3,110,977 | |
3% 1/1/52 (e) | 12,475,000 | 12,936,478 | |
3% 1/1/52 (e) | 12,250,000 | 12,703,154 | |
3% 1/1/52 (e) | 4,500,000 | 4,666,465 | |
3% 1/1/52 (e) | 5,500,000 | 5,703,457 | |
3.5% 12/1/51 (e) | 3,000,000 | 3,153,867 | |
3.5% 12/1/51 (e) | 5,300,000 | 5,571,832 | |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | 1,395,910,575 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $3,858,306,296) | 3,880,947,572 | ||
Asset-Backed Securities - 2.2% | |||
Principal Amount (a) | Value ($) | ||
AASET Trust: | |||
Series 2018-1A Class A, 3.844% 1/16/38 (b) | 2,857,618 | 2,517,709 | |
Series 2019-1 Class A, 3.844% 5/15/39 (b) | 4,363,770 | 4,144,268 | |
Series 2019-2: | |||
Class A, 3.376% 10/16/39 (b) | 7,219,443 | 6,952,011 | |
Class B, 4.458% 10/16/39 (b) | 1,333,003 | 1,110,479 | |
Series 2021-1A Class A, 2.95% 11/16/41 (b) | 6,124,296 | 6,040,320 | |
Accredited Mortgage Loan Trust Series 2006-1 Class M1, 1 month U.S. LIBOR + 0.330% 0.5843% 4/25/36 (c)(f) | 2,414,000 | 2,296,609 | |
Aegis Asset Backed Securities Trust Series 2005-5 Class M1, 1 month U.S. LIBOR + 0.640% 0.7366% 12/25/35 (f) | 11,165,000 | 10,960,292 | |
Affirm, Inc. Series 2021-A Class A, 0.88% 8/15/25 (b) | 2,207,000 | 2,208,309 | |
AIG CLO LLC Series 2021-1A Class A1R, 3 month U.S. LIBOR + 1.120% 1.2515% 4/20/32 (b)(c)(f) | 7,500,000 | 7,510,530 | |
Aimco Series 2021-BA Class AR, 3 month U.S. LIBOR + 1.100% 1.2238% 1/15/32 (b)(c)(f) | 1,584,000 | 1,584,103 | |
AIMCO CLO Ltd. Series 2021-11A Class AR, 3 month U.S. LIBOR + 1.130% 1.14% 10/17/34 (b)(c)(f) | 3,880,000 | 3,880,000 | |
Allegany Park CLO, Ltd. / Allegany Series 2020-1A Class A, 3 month U.S. LIBOR + 1.330% 1.4615% 1/20/33 (b)(c)(f) | 3,880,000 | 3,881,579 | |
Allegro CLO X, Ltd. / Allegro CLO X LLC Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.150% 1.2815% 7/20/32 (b)(c)(f) | 16,000,000 | 16,009,472 | |
Allegro CLO, Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.140% 1.2715% 7/20/34 (b)(c)(f) | 4,673,000 | 4,674,514 | |
Ameriquest Mortgage Securities, Inc. Series 2004-R10 Class M3, 1 month U.S. LIBOR + 1.200% 1.2916% 11/25/34 (c)(f) | 3,108,480 | 3,102,617 | |
Anchorage Capital CLO 17, Ltd. Series 2021-17A Class A1, 3 month U.S. LIBOR + 1.170% 1.3197% 7/15/34 (b)(c)(f) | 10,500,000 | 10,482,140 | |
Apollo Aviation Securitization Equity Trust Series 2020-1A: | |||
Class A, 3.351% 1/16/40 (b) | 3,498,061 | 3,315,728 | |
Class B, 4.335% 1/16/40 (b) | 609,253 | 437,515 | |
Ares CLO Series 2019-54A Class A, 3 month U.S. LIBOR + 1.320% 1.4438% 10/15/32 (b)(c)(f) | 7,102,000 | 7,104,969 | |
Ares LV CLO Ltd. Series 2021-55A Class A1R, 3 month U.S. LIBOR + 1.130% 1.2538% 7/15/34 (b)(c)(f) | 5,889,000 | 5,892,810 | |
Ares XXXIV CLO Ltd. Series 2020-2A Class AR2, 3 month U.S. LIBOR + 1.250% 1.3723% 4/17/33 (b)(c)(f) | 15,169,000 | 15,173,611 | |
Argent Securities, Inc. pass-thru certificates Series 2005-W5 Class A2D, 1 month U.S. LIBOR + 0.640% 0.7316% 1/25/36 (c)(f) | 2,882,890 | 2,815,212 | |
Atlas Senior Loan Fund XVI, Ltd. / Atlas Senior Loan Fund XVI LLC Series 2021-16A Class A, 3 month U.S. LIBOR + 1.270% 1.4015% 1/20/34 (b)(c)(f) | 2,000,000 | 2,001,594 | |
Babson CLO Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.150% 1.2738% 10/15/36 (b)(c)(f) | 3,908,000 | 3,905,671 | |
Bain Capital Credit CLO, Ltd. Series 2021-2A Class AR, 1.2223% 10/17/32 (b) | 7,500,000 | 7,497,038 | |
Battalion CLO X Ltd. / Battalion CLO X LLC Series 2021-10A Class A1R2, 3 month U.S. LIBOR + 1.170% 1.2939% 1/25/35 (b)(c)(f) | 12,000,000 | 11,980,752 | |
Battalion CLO XI Ltd. / Battalion CLO XI LLC Series 2021-11A Class AR, 3 month U.S. LIBOR + 1.150% 1.2739% 4/24/34 (b)(c)(f) | 22,750,000 | 22,765,857 | |
Beechwood Park CLO Ltd. Series 2019-1A Class A1, 3 month U.S. LIBOR + 1.330% 1.4523% 1/17/33 (b)(c)(f) | 5,190,000 | 5,192,595 | |
Bellemeade Re Ltd.: | |||
Series 2019-4A Class M1A, 1 month U.S. LIBOR + 1.400% 1.4916% 10/25/29 (b)(c)(f) | 3,882,508 | 3,882,495 | |
Series 2021-1A: | |||
Class M1A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.750% 1.7997% 3/25/31 (b)(c)(f) | 4,850,000 | 4,859,380 | |
Class M1C, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 2.950% 2.9997% 3/25/31 (b)(c)(f) | 2,140,000 | 2,210,814 | |
BETHP Series 2021-1A Class A, 3 month U.S. LIBOR + 1.130% 1.2698% 1/15/35 (b)(c)(f) | 5,907,000 | 5,906,970 | |
Blackbird Capital Aircraft: | |||
Series 2016-1A: | |||
Class A, 4.213% 12/16/41 (b) | 7,693,722 | 7,706,235 | |
Class AA, 2.487% 12/16/41 (b)(c) | 1,093,688 | 1,097,440 | |
Series 2021-1A Class A, 2.443% 7/15/46 (b) | 8,411,042 | 8,350,971 | |
BlackRock Rainier CLO VI, Ltd. / BlackRock Rainier CLO VI LLC Series 2021-6A Class A, 3 month U.S. LIBOR + 1.700% 1.8315% 4/20/33 (b)(c)(f) | 8,500,000 | 8,505,823 | |
BlueMountain CLO XXVIII, Ltd. / BlueMountain CLO XXVIII LLC Series 2021-28A Class A, 3 month U.S. LIBOR + 1.260% 1.3838% 4/15/34 (b)(c)(f) | 3,000,000 | 3,008,691 | |
Bristol Park CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 0.990% 1.1138% 4/15/29 (b)(c)(f) | 8,338,000 | 8,320,474 | |
CarMax Auto Owner Trust Series 2021-1 Class D, 1.28% 7/15/27 | 200,000 | 198,282 | |
Carrington Mortgage Loan Trust Series 2005-FRE1: | |||
Class M1, 1 month U.S. LIBOR + 0.700% 0.7966% 12/25/35 (c)(f) | 2,855,034 | 2,873,471 | |
Class M2, 1 month U.S. LIBOR + 0.730% 0.8266% 12/25/35 (f) | 10,000,000 | 9,838,752 | |
Cascade Funding Mortgage Trust Series 2021-HB6 Class A, 0.8983% 6/25/36 (b) | 4,729,416 | 4,726,334 | |
Castlelake Aircraft Securitization Trust Series 2019-1A: | |||
Class A, 3.967% 4/15/39 (b) | 6,668,934 | 6,648,389 | |
Class B, 5.095% 4/15/39 (b) | 2,927,377 | 2,781,544 | |
Castlelake Aircraft Structured Trust Series 2018-1 Class A, 4.125% 6/15/43 (b) | 5,396,686 | 5,334,990 | |
Cedar Funding Ltd. Series 2021-10A Class AR, 3 month U.S. LIBOR + 1.100% 1.1% 10/20/32 (b)(c)(f) | 4,327,000 | 4,325,196 | |
Cedar Funding XII CLO Ltd. / Cedar Funding XII CLO LLC Series 2021-12A Class A1R, 3 month U.S. LIBOR + 1.130% 1.13% 10/25/34 (b)(c)(f) | 3,624,000 | 3,621,855 | |
Cent CLO Ltd. / Cent CLO Series 2021-29A Class AR, 3 month U.S. LIBOR + 1.170% 1.3244% 10/20/34 (b)(c)(f) | 5,895,000 | 5,880,946 | |
Chase Auto Credit Linked Notes Series 2021-3 Class E, 2.102% 2/26/29 (b) | 714,361 | 711,231 | |
CIFC Funding Ltd. Series 2021-7A Class B, 3 month U.S. LIBOR + 1.600% 0% 1/23/35 (b)(c)(f) | 7,600,000 | 7,600,000 | |
Citi Mortgage Loan Trust Series 2007-1 Class 1A, 1 month U.S. LIBOR + 1.350% 1.442% 10/25/37 (b)(c)(f) | 1,357,948 | 1,367,499 | |
Citibank Credit Card Issuance Trust: | |||
Series 2018-A3 Class A3, 3.29% 5/23/25 | 700,000 | 727,468 | |
Series 2018-A7 Class A7, 3.96% 10/13/30 | 2,100,000 | 2,403,936 | |
Consumer Loan Underlying Bond Credit Trust Series 2019-HP1 Class A, 2.59% 12/15/26 (b) | 1,261,536 | 1,267,129 | |
CoreVest American Finance Trust Series 2020-2 Class B, 4.244% 5/15/52 (b) | 3,200,000 | 3,454,117 | |
Crestline Denali CLO XVII, LLC Series 2018-1A Class AR, 3 month U.S. LIBOR + 1.060% 1.1838% 10/15/31 (b)(c)(f) | 25,000,000 | 24,983,275 | |
DB Master Finance LLC Series 2017-1A Class A2II, 4.03% 11/20/47 (b) | 7,037,800 | 7,339,799 | |
Dryden CLO, Ltd. Series 2021-76A Class A1R, 3 month U.S. LIBOR + 1.150% 1.15% 10/20/34 (b)(c)(f) | 3,910,000 | 3,910,000 | |
Dryden Senior Loan Fund: | |||
Series 2020-78A Class A, 3 month U.S. LIBOR + 1.180% 1.3023% 4/17/33 (b)(c)(f) | 5,400,000 | 5,402,684 | |
Series 2021-72A Class BR, 3 month U.S. LIBOR + 1.650% 1.806% 5/15/32 (b)(c)(f) | 6,000,000 | 6,000,810 | |
Series 2021-85A Class AR, 3 month U.S. LIBOR + 1.150% 1.2738% 10/15/35 (b)(c)(f) | 5,160,000 | 5,156,894 | |
Series 2021-90A Class A1A, 3 month U.S. LIBOR + 1.130% 1.13% 2/20/35 (b)(c)(e)(f) | 3,054,000 | 3,054,000 | |
Eaton Vance CLO, Ltd.: | |||
Series 2020-2A Class A1, 3 month U.S. LIBOR + 1.370% 1.4938% 10/15/32 (b)(c)(f) | 5,900,000 | 5,901,982 | |
Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.100% 1.2238% 4/15/31 (b)(c)(f) | 2,460,000 | 2,461,690 | |
Eaton Vance CLO, Ltd. / Eaton Vance CLO LLC Series 2021-1A Class A13R, 3 month U.S. LIBOR + 1.250% 1.3738% 1/15/34 (b)(c)(f) | 7,240,000 | 7,244,083 | |
ECMC Group Student Loan Trust Series 2021-1A Class A1B, 1 month U.S. LIBOR + 0.570% 0.6772% 11/25/70 (b)(c)(f) | 1,208,051 | 1,207,511 | |
EFS Volunteer No. 2 LLC Series 2012-1 Class A2, 1 month U.S. LIBOR + 1.350% 1.442% 3/25/36 (b)(c)(f) | 1,109,141 | 1,132,526 | |
Elevation CLO, Ltd. Series 2021-13A Class A1, 3 month U.S. LIBOR + 1.190% 1.3396% 7/15/34 (b)(c)(f) | 8,500,000 | 8,495,053 | |
Elmwood CLO II Ltd. Series 2021-2A Class AR, 3 month U.S. LIBOR + 1.150% 1.2815% 4/20/34 (b)(c)(f) | 35,000,000 | 35,024,185 | |
Encore Credit Receivables Trust Series 2005-4 Class M4, 1 month U.S. LIBOR + 0.900% 0.9916% 1/25/36 (c)(f) | 4,800,000 | 4,770,915 | |
Enterprise Fleet Financing LLC Series 2021-1 Class A2, 0.44% 12/21/26 (b) | 6,011,142 | 5,986,123 | |
Finance of America HECM Buyout Series 2021-HB1 Class A, 0.8754% 2/25/31 (b)(c) | 3,636,372 | 3,634,466 | |
Flatiron CLO Ltd. Series 2021-1A: | |||
Class A1, 3 month U.S. LIBOR + 1.110% 1.2613% 7/19/34 (b)(c)(f) | 4,210,000 | 4,215,355 | |
Class AR, 3 month U.S. LIBOR + 1.080% 0% 11/16/34 (b)(c)(f) | 5,750,000 | 5,750,000 | |
Flatiron CLO Ltd. / Flatiron CLO LLC Series 2020-1A Class A, 3 month U.S. LIBOR + 1.300% 1.4596% 11/20/33 (b)(c)(f) | 5,700,000 | 5,706,133 | |
Ford Credit Auto Owner Trust Series 2021-1 Class C, 1.91% 10/17/33 (b) | 1,190,000 | 1,181,140 | |
Greywolf CLO II, Ltd. Series 2021-1A Class A1SR, 3 month U.S. LIBOR + 1.140% 1.2638% 4/15/34 (b)(c)(f) | 35,000,000 | 35,019,215 | |
Henley CLO IV DAC Series 2021-4A Class A, 3 month EURIBOR + 0.900% 0.9% 4/25/34 (b)(c)(f) | EUR | 2,000,000 | 2,264,589 |
Home Re, Ltd.: | |||
Series 2021-1: | |||
Class M1A, 1 month U.S. LIBOR + 1.050% 1.1416% 7/25/33 (b)(c)(f) | 305,000 | 304,152 | |
Class M1B, 1 month U.S. LIBOR + 1.550% 1.6416% 7/25/33 (b)(c)(f) | 165,000 | 164,222 | |
Class M1C, 1 month U.S. LIBOR + 2.300% 2.3916% 7/25/33 (b)(c)(f) | 745,000 | 740,439 | |
Series 2021-2: | |||
Class M1B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.600% 1.6497% 1/25/34 (b)(c)(f) | 665,000 | 662,962 | |
Class M1C, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 2.800% 2.8497% 1/25/34 (b)(c)(f) | 990,000 | 990,212 | |
Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (b) | 3,278,313 | 3,243,414 | |
Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (b) | 4,108,668 | 4,073,192 | |
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 1A1, 1 month U.S. LIBOR + 0.140% 0.2316% 1/25/37 (c)(f) | 2,864,007 | 2,501,384 | |
Invesco CLO Ltd. Series 2021-3A Class A, 3 month U.S. LIBOR + 1.130% 1.13% 10/22/34 (b)(c)(e)(f) | 4,148,000 | 4,148,000 | |
Invesco Euro CLO I DAC Series 2021-1A Class A1R, 3 month EURIBOR + 0.650% 0.65% 7/15/31 (b)(c)(f) | EUR | 10,000,000 | 11,289,172 |
Jamestown CLO XIV Ltd. Series 2021-14A: | |||
Class A1AR, 3 month U.S. LIBOR + 1.200% 1.3315% 10/20/34 (b)(c)(f) | 13,000,000 | 12,999,961 | |
Class A2R, 3 month U.S. LIBOR + 1.750% 1.8815% 10/20/34 (b)(c)(f) | 10,600,000 | 10,583,962 | |
JMP Credit Advisors CLO IV, Ltd. / JMP Credit Advisors CLO IV LLC Series 2019-1A Class AR, 3 month U.S. LIBOR + 1.280% 1.4023% 7/17/29 (b)(c)(f) | 1,872,079 | 1,872,199 | |
JPMorgan Chase Bank NA - CACLN Series 2021-2 Class E, 2.28% 12/26/28 (b) | 995,704 | 993,157 | |
KKR Financial CLO Ltd. Series 2021-33A Class A, 3 month U.S. LIBOR + 1.170% 1.3015% 7/20/34 (b)(c)(f) | 13,000,000 | 13,010,582 | |
Lanark Master Issuer PLC Series 2020-1A Class 1A, 2.277% 12/22/69 (b)(c) | 6,383,000 | 6,473,096 | |
LCM XXIV Ltd. / LCM XXIV LLC Series 2021-24A Class AR, 3 month U.S. LIBOR + 0.980% 1.1115% 3/20/30 (b)(c)(f) | 7,500,000 | 7,504,125 | |
Lendmark Funding Trust Series 2021-1A: | |||
Class A, 1.9% 11/20/31 (b) | 4,200,000 | 4,180,533 | |
Class B, 2.47% 11/20/31 (b) | 150,000 | 151,471 | |
Loan Revolving Advance Investment Trust Series 2021-1 Class A1X, 1 month U.S. LIBOR + 2.750% 2.8396% 12/31/22 (b)(c)(f) | 7,400,000 | 7,288,549 | |
Logan CLO I, Ltd. / Logan CLO I LLC Series 2021-1A Class A, 3 month U.S. LIBOR + 1.160% 1.3125% 7/20/34 (b)(c)(f) | 12,500,000 | 12,505,975 | |
Madison Park Funding LII Ltd. / Madison Park Funding LII LLC Series 2021-52A Class A, 3 month U.S. LIBOR + 1.120% 1.13% 1/22/35 (b)(c)(e)(f) | 6,180,000 | 6,179,672 | |
Madison Park Funding Ltd. Series 2021-10A Class AR3, 3 month U.S. LIBOR + 1.010% 1.1415% 1/20/29 (b)(c)(f) | 2,937,966 | 2,938,625 | |
Madison Park Funding XLV Ltd./Madison Park Funding XLV LLC Series 2021-45A Class AR, 3 month U.S. LIBOR + 1.120% 1.2438% 7/15/34 (b)(c)(f) | 4,233,000 | 4,230,604 | |
Madison Park Funding XVII, Ltd. Series 2021-17A Class AR2, 3 month U.S. LIBOR + 1.000% 1.1295% 7/21/30 (b)(c)(f) | 7,000,000 | 6,995,191 | |
Madison Park Funding XXXIII Ltd. Series 2019-33A Class A, 3 month U.S. LIBOR + 1.330% 1.4538% 10/15/32 (b)(c)(f) | 3,846,000 | 3,848,604 | |
Madison Park Funding XXXIV, Ltd. Series 2021-34A Class AR, 3 month U.S. LIBOR + 1.120% 1.2439% 4/25/32 (b)(c)(f) | 20,000,000 | 20,008,840 | |
Madison Park Funding XXXVIII, Ltd. Series 2021-38A Class A, 3 month U.S. LIBOR + 1.120% 1.2543% 7/17/34 (b)(c)(f) | 12,500,000 | 12,492,713 | |
Magnetite CLO Ltd. Series 2021-27A Class AR, 3 month U.S. LIBOR + 1.140% 1.2715% 10/20/34 (b)(c)(f) | 1,417,000 | 1,416,155 | |
Magnetite VII Ltd. Series 2018-7A Class A1R2, 3 month U.S. LIBOR + 0.800% 0.9238% 1/15/28 (b)(c)(f) | 6,832,553 | 6,839,611 | |
Magnetite XXI Ltd. Series 2019-24A Class A, 3 month U.S. LIBOR + 1.330% 1.4538% 1/15/33 (b)(c)(f) | 17,576,000 | 17,579,515 | |
Magnetite XXIII, Ltd. Series 2021-23A Class AR, 3 month U.S. LIBOR + 1.130% 0% 1/25/35 (b)(c)(f) | 4,904,000 | 4,904,000 | |
Marlette Funding Trust: | |||
Series 2019-4A Class A, 2.39% 12/17/29 (b) | 253,525 | 253,888 | |
Series 2021-3A Class A, 0.65% 12/15/31 (b) | 6,200,000 | 6,184,341 | |
MASTR Asset Backed Securities Trust: | |||
Series 2005-NC2 Class A4, 1 month U.S. LIBOR + 0.700% 0.7916% 11/25/35 (c)(f) | 10,768,576 | 7,920,587 | |
Series 2005-WF1 Class M7, 1 month U.S. LIBOR + 1.720% 1.8166% 6/25/35 (c)(f) | 1,816,559 | 1,831,515 | |
MDPK Series 2021-48A Class A, 3 month U.S. LIBOR + 1.150% 1.2736% 4/19/33 (b)(c)(f) | 5,000,000 | 5,008,135 | |
Metlife Securitization Trust Series 2019-1A Class A1A, 3.75% 4/25/58 (b) | 1,856,799 | 1,907,151 | |
MidOcean Credit CLO V Series 2018-5A Class AR, 3 month U.S. LIBOR + 1.120% 1.2436% 7/19/28 (b)(c)(f) | 779,344 | 779,417 | |
Milos CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 1.070% 1.2015% 10/20/30 (b)(c)(f) | 8,353,000 | 8,353,217 | |
Morgan Stanley ABS Capital I Trust: | |||
Series 2006-HE4 Class A4, 1 month U.S. LIBOR + 0.480% 0.5716% 6/25/36 (f) | 4,014,847 | 2,596,953 | |
Series 2007-NC3 Class A2D, 1 month U.S. LIBOR + 0.260% 0.3516% 5/25/37 (c)(f) | 2,443,720 | 2,141,577 | |
Mortgage Repurchase Agreement Financing Trust Series 2020-5 Class A1, 1 month U.S. LIBOR + 1.000% 1.0911% 8/10/23 (b)(c)(f) | 12,613,000 | 12,641,909 | |
Nationstar HECM Loan Trust Series 2020-1A Class A1, 1.2686% 9/25/30 (b) | 6,632,978 | 6,618,591 | |
Nationstar Home Equity Loan Trust Series 2006-B Class M2, 1 month U.S. LIBOR + 0.360% 0.4516% 9/25/36 (c)(f) | 8,141,000 | 7,833,267 | |
Navient Private Education Refi Loan Trust Series 2021-A Class B, 2.24% 5/15/69 (b) | 100,000 | 99,404 | |
Navient Student Loan Trust: | |||
Series 2015-1 Class A2, 1 month U.S. LIBOR + 0.600% 0.6916% 4/25/40 (c)(f) | 445,138 | 443,128 | |
Series 2016-2A Class A3, 1 month U.S. LIBOR + 1.500% 1.592% 6/25/65 (b)(c)(f) | 1,475,000 | 1,526,701 | |
Series 2017-3A Class A3, 1 month U.S. LIBOR + 1.050% 1.142% 7/26/66 (b)(c)(f) | 9,093,000 | 9,114,369 | |
Newcastle Mortgage Securities Trust Series 2007-1 Class 2A3, 1 month U.S. LIBOR + 0.230% 0.3216% 4/25/37 (f) | 3,621,597 | 3,570,419 | |
Northwoods Capital XV, Ltd. Series 2021-15A Class A1R, 3 month U.S. LIBOR + 1.210% 1.332% 6/20/34 (b)(c)(f) | 23,750,000 | 23,753,634 | |
OCP CLO Ltd. / OCP CLO LLC Series 2021-18A Class AR, 3 month U.S. LIBOR + 1.090% 1.2215% 7/20/32 (b)(c)(f) | 18,000,000 | 18,015,426 | |
Octagon Investment Partners 31, Ltd. / Octagon Investment Partners 31 LLC Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.050% 1.1815% 7/20/30 (b)(c)(f) | 3,000,000 | 2,996,817 | |
Oportun Funding XIV, LLC Series 2021-A: | |||
Class A, 1.21% 3/8/28 (b) | 600,000 | 599,476 | |
Class B, 1.76% 3/8/28 (b) | 400,000 | 399,620 | |
Oportun Funding, LLC Series 2020-1 Class B, 3.45% 5/15/24 (b) | 2,000,000 | 2,023,194 | |
Palmer Square CLO, Ltd. Series 2021-1A Class A1, 3 month U.S. LIBOR + 1.190% 1.3215% 4/20/34 (b)(c)(f) | 6,000,000 | 6,002,478 | |
Park Avenue Institutional Advisers CLO Ltd. / Park Avenue Institutional Advisers CLO LLC Series 2021-1A Class A1AR, 3 month U.S. LIBOR + 1.000% 1.1315% 10/20/31 (b)(c)(f) | 12,750,000 | 12,756,477 | |
Park Avenue Institutional Advisers CLO, Ltd. Series 2021-1A Class A1R, 3 month U.S. LIBOR + 1.240% 1.396% 2/14/34 (b)(c)(f) | 2,000,000 | 1,994,624 | |
Peace Park CLO, Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.130% 1.2682% 10/20/34 (b)(c)(f) | 2,337,000 | 2,335,624 | |
Planet Fitness Master Issuer LLC Series 2019-1A Class A2, 3.858% 12/5/49 (b) | 6,106,238 | 6,332,901 | |
PMT Credit Risk Transfer Trust Series 2021-1R Class A, 1 month U.S. LIBOR + 2.900% 2.9868% 2/27/24 (b)(c)(f) | 4,600,269 | 4,664,318 | |
Preston Ridge Partners Mortgage Trust Series 2021-RPL2 Class A1, 1.455% 10/25/51 (b)(c) | 3,160,926 | 3,153,871 | |
Recette CLO, Ltd. Series 2021-1A Class ARR, 3 month U.S. LIBOR + 1.080% 1.2115% 4/20/34 (b)(c)(f) | 4,700,000 | 4,703,252 | |
Rockland Park CLO Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.120% 1.2515% 4/20/34 (b)(c)(f) | 7,250,000 | 7,255,017 | |
Romark CLO-IV Ltd. / Romark CLO-IV LLC Series 2021-4A Class A1, 3 month U.S. LIBOR + 1.170% 1.3203% 7/10/34 (b)(c)(f) | 13,250,000 | 13,252,001 | |
Santander Drive Auto Receivables Trust Series 2021-1 Class D, 1.13% 11/16/26 | 2,800,000 | 2,788,946 | |
Sapphire Aviation Finance Series 2020-1A: | |||
Class A, 3.228% 3/15/40 (b) | 6,490,636 | 6,367,697 | |
Class B, 4.335% 3/15/40 (b) | 665,815 | 582,347 | |
Saratoga Investment Corp. CLO, Ltd. / Saratoga Investment Corp. CLO, Inc. Series 2021-1A Class AR3, 3 month U.S. LIBOR + 1.320% 1.4515% 4/20/33 (b)(c)(f) | 12,000,000 | 11,991,696 | |
SBA Tower Trust: | |||
Series 2019, 2.836% 1/15/50 (b) | 8,004,000 | 8,256,653 | |
1.884% 7/15/50 (b) | 2,753,000 | 2,764,448 | |
2.328% 7/15/52 (b) | 2,105,000 | 2,152,743 | |
Securitized Asset Backed Receivables LLC Trust Series 2006-CB5 Class A3, 1 month U.S. LIBOR + 0.280% 0.3716% 6/25/36 (c)(f) | 2,582,076 | 2,026,890 | |
Sixth Street CLO XVII, Ltd. / Sixth Street CLO XVII LLC Series 2021-17A Class A, 3 month U.S. LIBOR + 1.240% 1.3715% 1/20/34 (b)(c)(f) | 5,000,000 | 5,009,010 | |
SoFi Consumer Loan Program Trust Series 2019-4 Class A, 2.45% 8/25/28 (b) | 355,171 | 355,801 | |
Sound Point CLO VII-R, Ltd. Series 2021-3RA Class A1R, 3 month U.S. LIBOR + 1.070% 1.1939% 10/23/31 (b)(c)(f) | 10,250,000 | 10,250,133 | |
Soundview Home Loan Trust Series 2007-NS1 Class A4, 1 month U.S. LIBOR + 0.300% 0.3916% 1/25/37 (c)(f) | 7,309,000 | 7,067,160 | |
Store Master Funding Series 2021-1A Class A1, 2.12% 6/20/51 (b) | 1,496,875 | 1,480,663 | |
Symphony CLO XXI, Ltd. Series 2021-21A Class AR, 3 month U.S. LIBOR + 1.060% 1.1836% 7/15/32 (b)(c)(f) | 768,000 | 768,094 | |
Symphony CLO XXIII Ltd. Series 2020-23A Class A, 3 month U.S. LIBOR + 1.320% 1.4438% 1/15/34 (b)(c)(f) | 3,410,000 | 3,410,000 | |
Taconic Park CLO, Ltd. Series 2020-1A Class A1R, 3 month U.S. LIBOR + 1.000% 1.1315% 1/20/29 (b)(c)(f) | 5,538,000 | 5,557,499 | |
TCW CLO, Ltd. / TCW CLO, LLC Series 2021-1A Class A1RR, 3 month U.S. LIBOR + 1.160% 1.3337% 4/20/34 (b)(c)(f) | 5,500,000 | 5,501,513 | |
Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 0.9516% 9/25/34 (c)(f) | 3,983 | 3,731 | |
TH MSR Issuer Trust Series 2019-FT1 Class A, 1 month U.S. LIBOR + 2.800% 2.8916% 6/25/24 (b)(c)(f) | 1,250,000 | 1,246,104 | |
Thunderbolt Aircraft Lease Ltd. Series 2018-A Class A, 4.147% 9/15/38 (b)(c) | 9,546,318 | 9,529,068 | |
Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (b) | 9,746,721 | 9,722,372 | |
Towd Point Mortgage Trust: | |||
Series 2019-1 Class A1, 3.6777% 3/25/58 (b)(c) | 1,725,536 | 1,790,501 | |
Series 2020-4 Class A1, 1.75% 10/25/60 (b) | 2,560,463 | 2,562,409 | |
Tralee CLO VII Ltd. / Tralee CLO VII LLC Series 2021-7A Class A1, 3 month U.S. LIBOR + 1.320% 1.4439% 4/25/34 (b)(c)(f) | 12,000,000 | 11,967,204 | |
Upstart Securitization Trust: | |||
Series 2021-1 Class A, 0.87% 3/20/31 (b) | 514,180 | 512,672 | |
Series 2021-2 Class A, 0.91% 6/20/31 (b) | 7,468,852 | 7,462,100 | |
Series 2021-3 Class A, 0.83% 7/20/31 (b) | 11,739,639 | 11,712,873 | |
Series 2021-4 Class A, 0.84% 9/20/31 (b) | 10,782,813 | 10,693,255 | |
Venture 43 CLO, Ltd. Series 2021-43A Class A1, 3 month U.S. LIBOR + 1.240% 1.3638% 4/15/34 (b)(c)(f) | 15,200,000 | 15,184,724 | |
VOLT XCIV LLC Series 2021-NPL3 Class A1, 2.2395% 2/27/51 (b) | 13,616,098 | 13,586,663 | |
Voya CLO Ltd. Series 2019-2A Class A, 3 month U.S. LIBOR + 1.270% 1.4015% 7/20/32 (b)(c)(f) | 8,868,000 | 8,870,394 | |
Voya CLO Ltd./Voya CLO LLC: | |||
Series 2021-2A Class A1R, 3 month U.S. LIBOR + 1.160% 1.2836% 7/19/34 (b)(c)(f) | 15,930,000 | 15,920,904 | |
Series 2021-3A Class AR, 3 month U.S. LIBOR + 1.150% 1.2815% 10/20/34 (b)(c)(f) | 7,430,000 | 7,425,579 | |
Voya CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.150% 1.2723% 7/16/34 (b)(c)(f) | 3,924,000 | 3,923,988 | |
TOTAL ASSET-BACKED SECURITIES (Cost $1,070,913,157) | 1,069,514,586 | ||
Collateralized Mortgage Obligations - 0.6% | |||
Principal Amount (a) | Value ($) | ||
Private Sponsor - 0.4% | |||
Ajax Mortgage Loan Trust sequential payer Series 2021-E Class A1, 1.74% 12/25/60 (b) | 1,944,032 | 1,949,865 | |
Alternative Loan Trust floater Series 2007-OH3 Class A1B, 1 month U.S. LIBOR + 0.220% 0.3116% 9/25/47 (f) | 2,185,107 | 2,110,193 | |
BCAP LLC Trust sequential payer Series 2010-RR4 Class 31A6, 6.461% 1/26/37 (b)(c) | 3,861,618 | 3,630,560 | |
Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (b)(c) | 3,678,074 | 3,678,320 | |
Cascade Funding Mortgage Trust: | |||
Series 2021-EBO1 Class A, 0.9849% 11/25/50 (b)(c) | 6,310,057 | 6,302,183 | |
Series 2021-HB5 Class A, 0.8006% 2/25/31 (b) | 4,407,308 | 4,404,242 | |
Series 2021-HB7 Class A, 1.1512% 10/27/31 (b) | 5,464,000 | 5,455,900 | |
Central Park Funding Trust floater: | |||
Series 2021-1 Class PT, 1 month U.S. LIBOR + 2.750% 2.8404% 8/29/22 (b)(c)(f) | 12,163,228 | 12,426,404 | |
Series 2021-2 Class PT, 3.093% 10/27/22 (b)(c) | 15,312,570 | 15,360,023 | |
CFMT LLC Series 2020-HB4 Class A, 0.9461% 12/26/30 (b) | 3,157,291 | 3,160,686 | |
CIM Trust: | |||
sequential payer: | |||
Series 2021-R1 Class A2, 2.4% 8/25/56 (b) | 7,891,990 | 7,822,430 | |
Series 2021-R3 Class A1A, 1.951% 6/25/57 (b) | 10,153,994 | 10,146,022 | |
Series 2021-R4 Class A1A, 2% 5/1/61 (b) | 10,071,658 | 10,020,319 | |
Series 2021-R5 Class A1A, 2% 8/25/61 (b)(c) | 8,305,100 | 8,209,124 | |
Citigroup Mortgage Loan Trust Series 2005-9 Class 22A1, 6% 11/25/35 | 1,560,592 | 1,576,366 | |
COLT Trust sequential payer Series 2021-RPL1 Class A1, 1.6654% 9/25/61 (b) | 4,723,853 | 4,727,693 | |
Connecticut Avenue Securities Trust floater Series 2020-R01 Class 1M2, 1 month U.S. LIBOR + 2.050% 2.142% 1/25/40 (b)(c)(f) | 608,175 | 610,142 | |
Credit Suisse Mortgage Trust 0% 10/1/61 (b)(e) | 10,500,000 | 11,005,050 | |
CSMC floater Series 2015-1R Class 6A1, 1 month U.S. LIBOR + 0.280% 0.3921% 5/27/37 (b)(c)(f) | 308,809 | 303,686 | |
CSMC Trust sequential payer: | |||
Series 2020-RPL2 Class A12, 3.4253% 2/25/60 (b)(c) | 726,747 | 745,388 | |
Series 2020-RPL3 Class A1, 2.691% 3/25/60 (b)(c) | 4,812,546 | 4,828,608 | |
Series 2020-RPL4 Class A1, 2% 1/25/60 (b) | 2,452,044 | 2,466,517 | |
CSMCM Trust Certificates 0% 10/1/61 (b)(e) | 450,000 | 471,645 | |
CWALT, Inc. Series 2005-13CB Class A8, 5.5% 5/25/35 | 2,318,417 | 2,290,999 | |
Eagle Re Ltd. floater Series 2021-1: | |||
Class M1B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 2.150% 2.1997% 10/25/33 (b)(c)(f) | 1,125,000 | 1,132,660 | |
Class M1C, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 2.700% 2.7497% 10/25/33 (b)(c)(f) | 1,735,000 | 1,771,721 | |
GMAC Mortgage Loan Trust Series 2005-AR6 Class 2A1, 3.0914% 11/19/35 (c) | 1,792,701 | 1,735,891 | |
GSR Mortgage Loan Trust floater Series 2006-OA1 Class 1A1, 1 month U.S. LIBOR + 0.440% 0.5316% 8/25/46 (c)(f) | 18,829,758 | 5,854,360 | |
J.P. Morgan Mortgage Trust Series 2021-13 Class A3, 2.5% 4/25/52 (b) | 14,620,333 | 14,673,445 | |
Lanark Master Issuer PLC Series 2019-2A Class 1A, 2.71% 12/22/69 (b)(c) | 5,800,000 | 5,855,158 | |
Legacy Mortgage Asset Trust sequential payer Series 2021-SL1 Class A, 1.991% 9/25/60 (b) | 2,521,716 | 2,524,211 | |
Merrill Lynch Mortgage Investors Trust floater Series 2006-A2 Class 1A, 1 month U.S. LIBOR + 0.180% 0.2716% 2/25/36 (f) | 6,687,506 | 4,438,688 | |
MRA Issuance Trust floater: | |||
Series 2021-10 Class A1X, 1 month U.S. LIBOR + 1.500% 1.5864% 2/22/23 (b)(c)(f) | 14,920,000 | 14,933,891 | |
Series 2021-EBO3: | |||
Class A1X, 1 month U.S. LIBOR + 1.750% 1.8364% 3/31/23 (b)(c)(f) | 5,570,000 | 5,565,087 | |
Class A2, 1 month U.S. LIBOR + 2.750% 2.8364% 3/31/23 (b)(c)(f) | 6,430,000 | 6,424,309 | |
New Residential Mortgage Loan Trust: | |||
Series 2019-5A Class A1B, 3.5% 8/25/59 (b) | 1,497,141 | 1,549,698 | |
Series 2020-1A Class A1B, 3.5% 10/25/59 (b) | 2,682,135 | 2,821,914 | |
New York Mortgage Trust sequential payer Series 2021-SP1 Class A1, 1.6696% 8/25/61 (b) | 5,246,846 | 5,205,859 | |
NMLT Trust Series 2021-INV3 2.2769% 11/25/56 (b) | 6,815,957 | 7,295,204 | |
Preston Ridge Partners Mortgage Trust: | |||
Series 2021-1 Class A1, 2.115% 1/25/26 (b) | 4,538,082 | 4,537,646 | |
Series 2021-RPL1 Class A1, 1.319% 7/25/51 (b) | 2,507,049 | 2,484,872 | |
RALI Trust: | |||
Series 2006-QS4 Class A4, 6% 4/25/36 | 1,787,854 | 1,771,138 | |
Series 2007-QS3 Class A5, 6.25% 2/25/37 | 2,876,068 | 2,766,809 | |
Series 2007-QS8 Class A5, 6% 6/25/37 | 1,043,210 | 1,001,337 | |
Retiro Mortgage Securities floater Series 2021-1A Class A1, 2.000% x 3 month EURIBOR 1.444% 7/30/75 (b)(c)(f) | EUR | 1,796,276 | 2,026,708 |
RMF Buyout Issuance Trust Series 2020-HB1 Class A1, 1.7188% 10/25/50 (b) | 1,599,649 | 1,598,893 | |
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 1.0386% 7/20/34 (c)(f) | 917 | 898 | |
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1 month U.S. LIBOR + 0.640% 0.732% 9/25/43 (c)(f) | 1,611,823 | 1,591,639 | |
WaMu Mortgage pass-thru certificates floater Series 2005-AR2 Class 2A1B, 1 month U.S. LIBOR + 0.740% 0.832% 1/25/45 (f) | 1,781,984 | 1,774,384 | |
TOTAL PRIVATE SPONSOR | 225,038,785 | ||
U.S. Government Agency - 0.2% | |||
Fannie Mae: | |||
planned amortization class Series 2012-149: | |||
Class DA, 1.75% 1/25/43 | 790,176 | 797,588 | |
Class GA, 1.75% 6/25/42 | 856,698 | 866,234 | |
Series 2005-79 Class ZC, 5.9% 9/25/35 | 216,386 | 244,895 | |
Series 2007-75 Class JI, 6.540% - 1 month U.S. LIBOR 6.453% 8/25/37 (c)(l)(m) | 729,278 | 149,962 | |
Series 2010-135 Class ZA, 4.5% 12/25/40 | 408,842 | 458,066 | |
Series 2010-150 Class ZC, 4.75% 1/25/41 | 673,739 | 758,980 | |
Series 2010-95 Class ZC, 5% 9/25/40 | 1,465,242 | 1,644,595 | |
Series 2011-4 Class PZ, 5% 2/25/41 | 238,634 | 259,375 | |
Series 2012-100 Class WI, 3% 9/25/27 (l) | 363,072 | 24,740 | |
Series 2012-14 Class JS, 6.650% - 1 month U.S. LIBOR 6.558% 12/25/30 (c)(l)(m) | 71,113 | 3,458 | |
Series 2012-9 Class SH, 6.550% - 1 month U.S. LIBOR 6.458% 6/25/41 (c)(l)(m) | 57,213 | 2,143 | |
Series 2013-133 Class IB, 3% 4/25/32 (l) | 158,522 | 5,479 | |
Series 2013-134 Class SA, 6.050% - 1 month U.S. LIBOR 5.958% 1/25/44 (c)(l)(m) | 116,902 | 21,953 | |
Series 2013-44 Class DJ, 1.85% 5/25/33 | 7,520,755 | 7,614,322 | |
Series 2013-51 Class GI, 3% 10/25/32 (l) | 556,971 | 39,183 | |
Series 2015-42 Class IL, 6% 6/25/45 (l) | 723,371 | 137,075 | |
Series 2015-70 Class JC, 3% 10/25/45 | 604,850 | 634,146 | |
Series 2017-30 Class AI, 5.5% 5/25/47 (l) | 410,833 | 79,137 | |
Freddie Mac: | |||
planned amortization class: | |||
Series 2020-4960 Class PB, 1.5% 10/25/49 | 3,496,322 | 3,544,041 | |
Series 4135 Class AB, 1.75% 6/15/42 | 644,056 | 651,810 | |
sequential payer Series 3871 Class KB, 5.5% 6/15/41 | 515,427 | 590,227 | |
Series 2017-4683 Class LM, 3% 5/15/47 | 874,285 | 913,514 | |
Series 2933 Class ZM, 5.75% 2/15/35 | 450,836 | 508,138 | |
Series 2996 Class ZD, 5.5% 6/15/35 | 286,170 | 324,693 | |
Series 3237 Class C, 5.5% 11/15/36 | 403,498 | 451,146 | |
Series 3980 Class EP, 5% 1/15/42 | 2,199,276 | 2,452,330 | |
Series 4055 Class BI, 3.5% 5/15/31 (l) | 173,752 | 7,310 | |
Series 4149 Class IO, 3% 1/15/33 (l) | 285,474 | 25,597 | |
Series 4314 Class AI, 5% 3/15/34 (l) | 60,931 | 3,255 | |
Series 4427 Class LI, 3.5% 2/15/34 (l) | 385,231 | 29,398 | |
Series 4471 Class PA 4% 12/15/40 | 334,476 | 354,551 | |
Freddie Mac Multi-family Structured pass-thru certificates Series 4386 Class AZ, 4.5% 11/15/40 | 610,038 | 671,454 | |
Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-3 Class M55D, 4% 8/25/57 | 2,244,086 | 2,401,077 | |
Freddie Mac STACR REMIC Trust floater: | |||
Series 2019-DNA4 Class B1, 1 month U.S. LIBOR + 2.700% 2.792% 10/25/49 (b)(c)(f) | 9,700,000 | 9,750,198 | |
Series 2020-DNA6 Class B1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 3.000% 3.0497% 12/25/50 (b)(c)(f) | 3,910,000 | 3,956,514 | |
Series 2021-DNA2 Class B1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 3.400% 3.4497% 8/25/33 (b)(c)(f) | 4,380,000 | 4,497,753 | |
Series 2021-HQA1: | |||
Class B1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 3.000% 3.0497% 8/25/33 (b)(c)(f) | 2,700,000 | 2,705,950 | |
Class M2, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 2.250% 2.2997% 8/25/33 (b)(c)(f) | 3,900,000 | 3,928,966 | |
Freddie Mac. STACR REMIC Trust floater Series 2020-DNA1 Class B1, 1 month U.S. LIBOR + 2.300% 2.392% 1/25/50 (b)(c)(f) | 6,600,000 | 6,584,182 | |
Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
floater: | |||
Series 2010-H27 Class FA, 1 month U.S. LIBOR + 0.380% 0.4553% 12/20/60 (c)(f)(n) | 827,731 | 828,024 | |
Series 2011-H20 Class FA, 1 month U.S. LIBOR + 0.550% 0.6253% 9/20/61 (c)(f)(n) | 3,447,149 | 3,460,160 | |
Series 2012-H18 Class NA, 1 month U.S. LIBOR + 0.520% 0.5953% 8/20/62 (c)(f)(n) | 576,686 | 578,777 | |
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 0.7253% 5/20/61 (c)(f)(n) | 5,758 | 5,798 | |
Series 2013-H19 Class FC, 1 month U.S. LIBOR + 0.600% 0.6753% 8/20/63 (c)(f)(n) | 1,609,690 | 1,614,234 | |
Series 2019-128 Class FH, 1 month U.S. LIBOR + 0.500% 0.5911% 10/20/49 (c)(f) | 332,928 | 335,115 | |
Series 2019-153 Class FB, 1 month U.S. LIBOR + 0.450% 0.5411% 12/20/49 (c)(f) | 4,005,537 | 4,045,833 | |
Series 2019-23 Class NF, 1 month U.S. LIBOR + 0.450% 0.5411% 2/20/49 (c)(f) | 1,647,076 | 1,660,218 | |
Series 2019-98 Class FN, 1 month U.S. LIBOR + 0.500% 0.5911% 8/20/49 (c)(f) | 476,040 | 481,698 | |
Series 2020-32 Class GF, 1 month U.S. LIBOR + 0.400% 0.4911% 3/20/50 (c)(f) | 3,705,882 | 3,728,718 | |
planned amortization class: | |||
Series 2010-158 Class MS, 10.000% - 1 month U.S. LIBOR 9.8177% 12/20/40 (c)(m) | 615,248 | 701,411 | |
Series 2016-69 Class WA, 3% 2/20/46 | 387,498 | 404,926 | |
Series 2017-134 Class BA, 2.5% 11/20/46 | 943,844 | 976,445 | |
sequential payer: | |||
Series 2010-160 Class DY, 4% 12/20/40 | 1,264,747 | 1,349,814 | |
Series 2010-170 Class B, 4% 12/20/40 | 284,700 | 303,911 | |
Series 2017-139 Class BA, 3% 9/20/47 | 3,994,869 | 4,195,731 | |
Series 2010-116 Class QB, 4% 9/16/40 | 2,203,655 | 2,358,060 | |
Series 2010-14 Class SN, 5.950% - 1 month U.S. LIBOR 5.8609% 2/16/40 (c)(l)(m) | 384,386 | 59,002 | |
Series 2011-94 Class SA, 6.100% - 1 month U.S. LIBOR 6.0089% 7/20/41 (c)(l)(m) | 94,234 | 17,255 | |
Series 2013-149 Class MA, 2.5% 5/20/40 | 1,242,158 | 1,266,559 | |
Series 2015-H13 Class HA, 2.5% 8/20/64 (n) | 9,057 | 9,292 | |
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 0.44% 8/20/66 (c)(f)(n) | 2,434,962 | 2,413,244 | |
TOTAL U.S. GOVERNMENT AGENCY | 88,887,660 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $314,643,174) | 313,926,445 | ||
Commercial Mortgage Securities - 2.2% | |||
Principal Amount (a) | Value ($) | ||
3650R Commercial Mortgage Trust sequential payer Series 2021-PF1 Class A4, 2.253% 11/15/54 | 4,200,000 | 4,197,883 | |
Arbor Multifamily Mortgage Securities Trust sequential payer Series 2021-MF2 Class A4, 2.2515% 6/15/54 (b) | 9,500,000 | 9,569,057 | |
Ashford Hospitality Trust floater Series 2018-ASHF Class A, 1 month U.S. LIBOR + 0.900% 0.99% 4/15/35 (b)(c)(f) | 3,546,916 | 3,536,360 | |
BAMLL Commercial Mortgage Securities Trust: | |||
floater sequential payer Series 2020-JGDN Class A, 1 month U.S. LIBOR + 2.750% 2.84% 11/15/30 (b)(c)(f) | 5,954,000 | 6,032,646 | |
sequential payer Series 2019-BPR: | |||
Class AMP, 3.287% 11/5/32 (b) | 6,500,000 | 6,676,285 | |
Class ANM, 3.112% 11/5/32 (b) | 4,963,000 | 5,085,801 | |
Series 2019-BPR: | |||
Class BNM, 3.465% 11/5/32 (b) | 1,113,000 | 1,126,193 | |
Class CNM, 3.8425% 11/5/32 (b)(c) | 461,000 | 462,159 | |
BANK: | |||
sequential payer: | |||
Series 2019-BN21: | |||
Class A4, 2.6% 10/17/52 | 4,400,000 | 4,535,900 | |
Class A5, 2.851% 10/17/52 | 838,000 | 881,816 | |
Series 2020-BN28 Class A3, 1.584% 3/15/63 | 9,000,000 | 8,640,185 | |
Series 2021-BN31 Class A3, 1.771% 2/15/54 | 2,000,000 | 1,942,234 | |
Series 2021-BN32 Class A4, 2.349% 4/15/54 | 20,000,000 | 20,331,112 | |
Series 2021-BN33 Class A4, 2.27% 5/15/64 | 9,000,000 | 9,097,876 | |
Series 2020-BN25 Class XB, 0.5326% 1/15/63 (c)(l) | 5,200,000 | 177,118 | |
Series 2021-BN31 Class XB, 0.9764% 2/15/54 (c)(l) | 7,000,000 | 512,312 | |
Series 2021-BN33 Class XA, 1.1754% 5/15/64 (c)(l) | 8,991,852 | 698,398 | |
Series 2021-BN34 Class XB, 0.6267% 6/15/63 (c)(l) | 171,794,000 | 7,948,204 | |
Bayview Commercial Asset Trust floater: | |||
Series 2005-3A Class A2, 1 month U.S. LIBOR + 0.600% 0.6916% 11/25/35 (b)(c)(f) | 18,519 | 17,745 | |
Series 2005-4A: | |||
Class A2, 1 month U.S. LIBOR + 0.580% 0.6766% 1/25/36 (b)(c)(f) | 45,858 | 44,323 | |
Class M1, 1 month U.S. LIBOR + 0.670% 0.7666% 1/25/36 (b)(c)(f) | 14,802 | 14,302 | |
Series 2006-4A Class A2, 1 month U.S. LIBOR + 0.400% 0.4966% 12/25/36 (b)(c)(f) | 103,083 | 98,657 | |
Series 2007-1 Class A2, 1 month U.S. LIBOR + 0.270% 0.3616% 3/25/37 (b)(c)(f) | 25,969 | 24,911 | |
Series 2007-2A: | |||
Class A1, 1 month U.S. LIBOR + 0.270% 0.3616% 7/25/37 (b)(c)(f) | 75,850 | 72,920 | |
Class A2, 1 month U.S. LIBOR + 0.320% 0.4116% 7/25/37 (b)(c)(f) | 71,015 | 66,141 | |
Class M1, 1 month U.S. LIBOR + 0.370% 0.4616% 7/25/37 (b)(c)(f) | 24,172 | 23,425 | |
Series 2007-3: | |||
Class A2, 1 month U.S. LIBOR + 0.290% 0.3816% 7/25/37 (b)(c)(f) | 27,052 | 25,681 | |
Class M1, 1 month U.S. LIBOR + 0.310% 0.4016% 7/25/37 (b)(c)(f) | 14,336 | 13,534 | |
Class M2, 1 month U.S. LIBOR + 0.340% 0.4316% 7/25/37 (b)(c)(f) | 15,334 | 14,322 | |
Class M3, 1 month U.S. LIBOR + 0.370% 0.4616% 7/25/37 (b)(c)(f) | 24,559 | 22,445 | |
Class M4, 1 month U.S. LIBOR + 0.500% 0.5916% 7/25/37 (b)(c)(f) | 38,770 | 35,206 | |
Class M5, 1 month U.S. LIBOR + 0.600% 0.6916% 7/25/37 (b)(c)(f) | 16,313 | 18,773 | |
BBCMS Mortgage Trust sequential payer: | |||
Series 2019-C4 Class A4, 2.661% 8/15/52 | 4,000,000 | 4,112,259 | |
Series 2021-C9 Class A4, 2.021% 2/15/54 | 10,000,000 | 9,901,835 | |
Benchmark Commercial Mortgage Trust Series 2018-B3 Class A3, 3.746% 4/10/51 | 1,700,000 | 1,795,086 | |
Benchmark Mortgage Trust: | |||
sequential payer: | |||
Series 2018-B4 Class A5, 4.121% 7/15/51 | 949,000 | 1,067,758 | |
Series 2019-B10 Class A4, 3.717% 3/15/62 | 1,673,000 | 1,858,626 | |
Series 2019-B13 Class A4, 2.952% 8/15/57 | 7,629,000 | 8,066,336 | |
Series 2020-B18 Class A4, 1.672% 7/15/53 | 10,000,000 | 9,682,028 | |
Series 2020-B19: | |||
Class A3, 1.787% 9/15/53 | 5,800,000 | 5,800,338 | |
Class A4, 1.546% 9/15/53 | 12,500,000 | 12,083,249 | |
Series 2020-B22 Class A4, 1.685% 1/15/54 | 3,175,000 | 3,065,423 | |
Series 2021-B23 Class A4A1, 1.823% 2/15/54 | 2,000,000 | 1,950,629 | |
Series 2021-B24 Class A4, 2.2638% 3/15/54 | 17,600,000 | 17,669,460 | |
Series 2021-B26 Class A4, 2.295% 6/15/54 | 8,800,000 | 8,915,008 | |
Series 2019-B12 Class XA, 1.2% 8/15/52 (c)(l) | 39,929,079 | 2,335,875 | |
Series 2019-B14 Class XA, 0.9093% 12/15/62 (c)(l) | 22,826,238 | 1,017,459 | |
BFLD Trust floater sequential payer Series 2020-OBRK Class A, 1 month U.S. LIBOR + 2.050% 2.14% 11/15/28 (b)(c)(f) | 7,501,000 | 7,510,031 | |
BHMS floater Series 2018-ATLS Class A, 1 month U.S. LIBOR + 1.250% 1.3395% 7/15/35 (b)(c)(f) | 10,931,821 | 10,935,523 | |
BLOX Trust floater sequential payer Series 2021-BLOX Class A, 1 month U.S. LIBOR + 0.750% 0.84% 9/15/26 (b)(c)(f) | 8,921,000 | 8,906,280 | |
BX Commercial Mortgage Trust: | |||
floater: | |||
Series 2020-BXLP: | |||
Class B, 1 month U.S. LIBOR + 1.000% 1.09% 12/15/36 (b)(c)(f) | 3,716,768 | 3,707,451 | |
Class C, 1 month U.S. LIBOR + 1.120% 1.21% 12/15/36 (b)(c)(f) | 3,080,465 | 3,070,888 | |
Class D, 1 month U.S. LIBOR + 1.250% 1.34% 12/15/36 (b)(c)(f) | 4,257,874 | 4,239,202 | |
Class G, 1 month U.S. LIBOR + 2.500% 2.59% 12/15/36 (b)(c)(f) | 5,427,767 | 5,366,817 | |
Series 2021-PAC: | |||
Class A, 1 month U.S. LIBOR + 0.680% 0.7791% 10/15/36 (b)(c)(f) | 8,026,000 | 8,003,427 | |
Class B, 1 month U.S. LIBOR + 0.890% 0.9888% 10/15/36 (b)(c)(f) | 1,201,000 | 1,198,098 | |
Class C, 1 month U.S. LIBOR + 1.090% 1.1886% 10/15/36 (b)(c)(f) | 1,607,000 | 1,603,121 | |
Class D, 1 month U.S. LIBOR + 1.290% 1.3883% 10/15/36 (b)(c)(f) | 1,560,000 | 1,556,231 | |
Class E, 1 month U.S. LIBOR + 1.940% 2.0375% 10/15/36 (b)(c)(f) | 5,425,000 | 5,411,897 | |
Series 2021-VINO Class A, 1 month U.S. LIBOR + 0.650% 0.7423% 5/15/38 (b)(c)(f) | 5,200,000 | 5,184,169 | |
floater sequential payer: | |||
Series 2019-CALM Class A, 1 month U.S. LIBOR + 0.870% 0.966% 11/15/32 (b)(c)(f) | 1,900,000 | 1,900,000 | |
Series 2020-BXLP Class A, 1 month U.S. LIBOR + 0.800% 0.89% 12/15/36 (b)(c)(f) | 7,358,381 | 7,351,462 | |
Series 2020-FOX Class A, 1 month U.S. LIBOR + 1.000% 1.09% 11/15/32 (b)(c)(f) | 4,342,967 | 4,337,741 | |
BX Trust: | |||
floater: | |||
Series 2018-EXCL: | |||
Class A, 1 month U.S. LIBOR + 1.088% 1.1776% 9/15/37 (b)(c)(f) | 3,531,998 | 3,516,850 | |
Class B, 1 month U.S. LIBOR + 1.320% 1.415% 9/15/37 (b)(c)(f) | 4,037,040 | 3,938,422 | |
Class D, 1 month U.S. LIBOR + 2.620% 2.715% 9/15/37 (b)(c)(f) | 2,297,817 | 1,955,859 | |
Series 2018-IND Class F, 1 month U.S. LIBOR + 1.800% 1.89% 11/15/35 (b)(c)(f) | 2,713,900 | 2,703,698 | |
Series 2019-IMC: | |||
Class B, 1 month U.S. LIBOR + 1.300% 1.389% 4/15/34 (b)(c)(f) | 4,464,000 | 4,433,232 | |
Class C, 1 month U.S. LIBOR + 1.600% 1.689% 4/15/34 (b)(c)(f) | 2,952,000 | 2,918,863 | |
Class D, 1 month U.S. LIBOR + 1.900% 1.989% 4/15/34 (b)(c)(f) | 3,099,000 | 3,056,292 | |
Series 2019-XL: | |||
Class B, 1 month U.S. LIBOR + 1.080% 1.17% 10/15/36 (b)(c)(f) | 3,409,350 | 3,401,876 | |
Class C, 1 month U.S. LIBOR + 1.250% 1.34% 10/15/36 (b)(c)(f) | 4,286,550 | 4,274,510 | |
Class D, 1 month U.S. LIBOR + 1.450% 1.54% 10/15/36 (b)(c)(f) | 6,070,700 | 6,050,003 | |
Class E, 1 month U.S. LIBOR + 1.800% 1.89% 10/15/36 (b)(c)(f) | 8,530,600 | 8,495,857 | |
Class G, 1 month U.S. LIBOR + 2.300% 2.39% 10/15/36 (b)(c)(f) | 15,725,000 | 15,587,034 | |
Series 2020-BXLP Class E, 1 month U.S. LIBOR + 1.600% 1.69% 12/15/36 (b)(c)(f) | 3,905,487 | 3,885,907 | |
Series 2021-ACNT Class A, 1 month U.S. LIBOR + 0.850% 0.95% 11/15/26 (b)(c)(f) | 7,885,000 | 7,865,347 | |
Series 2021-BXMF Class A, 1 month U.S. LIBOR + 0.630% 0.7259% 10/15/26 (b)(c)(f) | 7,377,000 | 7,319,670 | |
floater sequential payer: | |||
Series 2021-MFM1 Class A, 1 month U.S. LIBOR + 0.700% 0.7895% 1/15/34 (b)(c)(f) | 3,562,000 | 3,547,497 | |
Series 2021-SOAR Class A, 0.76% 6/15/38 (b)(c) | 7,620,000 | 7,577,243 | |
floater, sequential payer Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 1.089% 4/15/34 (b)(c)(f) | 6,200,000 | 6,186,407 | |
BXMT, Ltd. floater Series 2020-FL3 Class A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.400% 1.5622% 3/15/37 (b)(f) | 20,100,000 | 20,134,170 | |
CD Commercial Mortgage Trust Series 2017-CD6 Class A3, 3.104% 11/13/50 | 2,500,000 | 2,574,223 | |
CF Hippolyta Issuer LLC sequential payer: | |||
Series 2020-1: | |||
Class A1, 1.69% 7/15/60 (b) | 17,177,027 | 17,105,610 | |
Class A2, 1.99% 7/15/60 (b) | 6,837,482 | 6,755,071 | |
Series 2021-1A Class A1, 1.53% 3/15/61 (b) | 8,739,322 | 8,594,757 | |
CFCRE Mortgage Trust sequential payer Series 2016-C6 Class A2, 2.95% 11/10/49 | 939,742 | 972,570 | |
CGDB Commercial Mortgage Trust floater Series 2019-MOB: | |||
Class A, 1 month U.S. LIBOR + 0.950% 1.0395% 11/15/36 (b)(c)(f) | 3,687,000 | 3,677,762 | |
Class B, 1 month U.S. LIBOR + 1.250% 1.3395% 11/15/36 (b)(c)(f) | 1,400,000 | 1,391,297 | |
CGMS Commercial Mortgage Trust Series 2017-MDRA Class A, 3.656% 7/10/30 (b) | 4,982,000 | 5,003,647 | |
CHC Commercial Mortgage Trust floater Series 2019-CHC: | |||
Class A, 1 month U.S. LIBOR + 1.120% 1.21% 6/15/34 (b)(c)(f) | 13,955,140 | 13,928,888 | |
Class B, 1 month U.S. LIBOR + 1.500% 1.59% 6/15/34 (b)(c)(f) | 2,103,645 | 2,087,817 | |
Class C, 1 month U.S. LIBOR + 1.750% 1.84% 6/15/34 (b)(c)(f) | 2,376,653 | 2,346,854 | |
CIM Retail Portfolio Trust floater Series 2021-RETL: | |||
Class A, 1 month U.S. LIBOR + 1.400% 1.49% 8/15/36 (b)(c)(f) | 5,048,000 | 5,038,485 | |
Class B, 1 month U.S. LIBOR + 1.900% 1.99% 8/15/36 (b)(c)(f) | 1,554,000 | 1,548,152 | |
Class C, 1 month U.S. LIBOR + 2.300% 2.39% 8/15/36 (b)(c)(f) | 1,156,000 | 1,150,923 | |
Class D, 1 month U.S. LIBOR + 3.050% 3.14% 8/15/36 (b)(c)(f) | 1,427,000 | 1,419,844 | |
Citigroup Commercial Mortgage Trust: | |||
floater Series 2020-WSS Class A, 1 month U.S. LIBOR + 1.950% 2.0395% 2/15/39 (b)(c)(f) | 6,045,385 | 6,090,304 | |
sequential payer Series 2016-GC37 Class A3, 3.05% 4/10/49 | 3,106,002 | 3,199,181 | |
Series 2015-GC29 Class XA, 1.1711% 4/10/48 (c)(l) | 29,487,284 | 873,997 | |
Series 2015-GC33 Class XA, 1.0347% 9/10/58 (c)(l) | 18,112,247 | 526,519 | |
Series 2016-C2 Class A3, 2.575% 8/10/49 | 2,800,000 | 2,866,215 | |
Series 2016-GC36 Class A4, 3.349% 2/10/49 | 2,500,000 | 2,613,122 | |
Series 2016-P6 Class XA, 0.7802% 12/10/49 (c)(l) | 13,948,163 | 323,763 | |
COMM Mortgage Trust: | |||
floater Series 2021-LBA Class E, 1 month U.S. LIBOR + 1.800% 1.89% 3/15/38 (b)(c)(f) | 3,975,000 | 3,965,320 | |
sequential payer: | |||
Series 2013-CR7 Class AM, 3.314% 3/10/46 (b) | 1,700,000 | 1,743,652 | |
Series 2014-CR18 Class A5, 3.828% 7/15/47 | 1,610,000 | 1,702,269 | |
Series 2016-COR1 Class A3, 2.826% 10/10/49 | 7,520,414 | 7,749,077 | |
Series 2014-CR17 Class XA, 1.1207% 5/10/47 (c)(l) | 17,866,928 | 346,479 | |
Series 2014-CR20 Class XA, 1.1497% 11/10/47 (c)(l) | 16,705,853 | 406,906 | |
Series 2014-LC17 Class XA, 0.8567% 10/10/47 (c)(l) | 34,902,392 | 584,496 | |
Series 2014-UBS6: | |||
Class A5, 3.644% 12/10/47 | 3,900,000 | 4,127,176 | |
Class XA, 1.0107% 12/10/47 (c)(l) | 10,319,199 | 222,168 | |
Series 2015-CR23 Class A3, 3.23% 5/10/48 | 2,500,000 | 2,594,801 | |
Series 2015-CR24 Class A4, 3.432% 8/10/48 | 1,401,442 | 1,455,708 | |
Series 2015-PC1 Class A4, 3.62% 7/10/50 | 1,462,650 | 1,506,395 | |
Core Industrial Trust floater Series 2019-CORE Class A, 1 month U.S. LIBOR + 0.880% 0.97% 12/15/31 (b)(c)(f) | 424,204 | 422,607 | |
Credit Suisse Mortgage Trust: | |||
floater Series 2019-ICE4 Class A, 1 month U.S. LIBOR + 0.980% 1.07% 5/15/36 (b)(c)(f) | 5,263,000 | 5,262,999 | |
sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (b) | 2,253,000 | 2,278,418 | |
Series 2018-SITE: | |||
Class A, 4.284% 4/15/36 (b) | 5,237,000 | 5,399,161 | |
Class B, 4.5349% 4/15/36 (b) | 1,543,000 | 1,576,173 | |
Class C, 4.9414% 4/15/36 (b)(c) | 1,033,000 | 1,045,939 | |
Class D, 4.9414% 4/15/36 (b)(c) | 2,066,000 | 2,037,391 | |
CSAIL Commercial Mortgage Trust: | |||
sequential payer Series 2021-C20 Class A2, 2.4862% 3/15/54 | 16,000,000 | 16,377,482 | |
Series 2016-C7 Class A4, 3.21% 11/15/49 | 3,186,022 | 3,333,537 | |
CSMC Commercial Mortgage Trust sequential payer Series 2016-NXSR Class A4, 3.7948% 12/15/49 | 2,000,000 | 2,166,867 | |
DBUBS Mortgage Trust Series 2011-LC3A Class C, 5.5442% 8/10/44 (b)(c) | 778,557 | 779,772 | |
DBWF Mortgage Trust Series 2018-AMXP Class B, 4.122% 5/5/35 (b)(c) | 762,000 | 761,789 | |
DOLP Trust sequential payer Series 2021-NYC Class A, 2.956% 5/10/41 (b) | 13,500,000 | 14,146,465 | |
ELP Commercial Mortgage Trust floater Series 2021-ELP: | |||
Class A, 1 month U.S. LIBOR + 0.700% 0.801% 11/15/38 (b)(c)(f) | 10,980,000 | 10,928,454 | |
Class B, 1 month U.S. LIBOR + 1.120% 1.2202% 11/15/38 (b)(c)(f) | 975,000 | 970,424 | |
Extended Stay America Trust floater Series 2021-ESH: | |||
Class A, 1 month U.S. LIBOR + 1.080% 1.17% 7/15/38 (b)(c)(f) | 3,677,866 | 3,675,661 | |
Class B, 1 month U.S. LIBOR + 1.380% 1.47% 7/15/38 (b)(c)(f) | 2,094,106 | 2,092,793 | |
Class C, 1 month U.S. LIBOR + 1.700% 1.79% 7/15/38 (b)(c)(f) | 1,543,968 | 1,543,504 | |
Class D, 1 month U.S. LIBOR + 2.250% 2.34% 7/15/38 (b)(c)(f) | 3,119,770 | 3,119,767 | |
Freddie Mac: | |||
floater: | |||
Series 2021-F104 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.250% 0.2977% 1/25/31 (c)(f) | 3,800,000 | 3,796,553 | |
Series 2021-F108 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.250% 0.2977% 2/25/31 (c)(f) | 11,600,000 | 11,605,749 | |
Series 2021-F109 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.240% 0.2877% 3/25/31 (c)(f) | 12,800,000 | 12,806,317 | |
Series 2021-F110 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.240% 0.2877% 3/25/31 (c)(f) | 9,300,000 | 9,291,643 | |
Series 2021-F111 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.240% 0.2877% 3/25/31 (c)(f) | 7,799,323 | 7,792,229 | |
Series 2021-F112 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.230% 0.2777% 4/25/31 (c)(f) | 17,400,000 | 17,400,000 | |
Series 2021-F113 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.230% 0.2777% 5/25/28 (c)(f) | 15,011,373 | 15,011,373 | |
Series 2021-F114 Class A/S, 0.2677% 5/25/31 (c) | 23,610,000 | 23,588,860 | |
Series 2021-F115 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.210% 0.2577% 6/25/31 (c)(f) | 20,923,000 | 20,883,022 | |
Series 2021-F121 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.180% 0.2277% 8/25/28 (c)(f) | 5,804,000 | 5,792,510 | |
floater sequential payer Series 2021-KF124 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.220% 0.2677% 10/25/31 (c)(f) | 32,351,000 | 32,291,778 | |
Series 2019-K095 Class X1, 1.0824% 6/25/29 (c)(l) | 13,952,300 | 884,231 | |
Series 2020-K106 Class X1, 1.4773% 1/25/30 (c)(l) | 60,789,599 | 5,830,841 | |
Series 2020-K111 Class X1, 1.6809% 5/25/30 (c)(l) | 24,937,013 | 2,876,021 | |
Series 2021-K124 Class X1, 0.8119% 12/25/30 (c)(l) | 6,494,445 | 375,893 | |
Series 2021-K741 Class X1, 0.6573% 12/25/27 (c)(l) | 140,860,729 | 4,440,973 | |
Greystone Commercial Capital Trust floater Series 2021-3 Class A, 1 month U.S. LIBOR + 2.230% 2.3159% 8/17/23 (b)(c)(f)(g) | 7,000,000 | 6,999,300 | |
GS Mortgage Securities Corp. Trust floater Series 2019-BOCA Class A, 1 month U.S. LIBOR + 1.200% 1.29% 6/15/38 (b)(c)(f) | 6,630,000 | 6,625,931 | |
GS Mortgage Securities Trust: | |||
floater: | |||
Series 2018-3PCK Class A, 1 month U.S. LIBOR + 1.700% 1.789% 9/15/31 (b)(c)(f) | 12,410,727 | 12,368,120 | |
Series 2018-HART Class A, 1 month U.S. LIBOR + 1.090% 1.18% 10/15/31 (b)(c)(f) | 4,013,000 | 4,004,026 | |
Series 2021-IP: | |||
Class A, 1 month U.S. LIBOR + 0.950% 1.04% 10/15/36 (b)(c)(f) | 4,720,000 | 4,721,401 | |
Class B, 1 month U.S. LIBOR + 1.150% 1.24% 10/15/36 (b)(c)(f) | 730,000 | 730,219 | |
Class C, 1 month U.S. LIBOR + 1.550% 1.64% 10/15/36 (b)(c)(f) | 601,000 | 601,178 | |
Series 2021-RENT Class C, 1 month U.S. LIBOR + 1.550% 1.6411% 11/21/35 (b)(c)(f) | 3,525,000 | 3,509,517 | |
sequential payer: | |||
Series 2014-GC18 Class A3, 3.801% 1/10/47 | 868,155 | 892,297 | |
Series 2015-GS1 Class A3, 3.734% 11/10/48 | 13,884,000 | 14,920,077 | |
Series 2020-GSA2 Class A4, 1.721% 12/12/53 | 4,940,000 | 4,777,587 | |
Series 2011-GC5 Class A/S, 5.209% 8/10/44 (b)(c) | 13,074,039 | 13,127,917 | |
Series 2015-GC30 Class A3, 3.119% 5/10/50 | 1,940,264 | 2,018,707 | |
Series 2015-GC34 Class XA, 1.3754% 10/10/48 (c)(l) | 5,585,660 | 218,824 | |
Series 2019-GC40 Class A3, 2.904% 7/10/52 | 2,000,000 | 2,102,608 | |
Series 2021-RENT: | |||
Class D, 1 month U.S. LIBOR + 1.850% 1.9411% 11/21/35 (b)(c)(f) | 2,175,000 | 2,165,446 | |
Class XCP, 2.8236% 11/21/35 (b)(c)(g)(l) | 72,804,200 | 11,394 | |
JP Morgan Chase Commercial Mortgage Securities Trust floater Series 2018-PHH Class A, 1 month U.S. LIBOR + 1.060% 2.56% 6/15/35 (b)(c)(f) | 2,936,330 | 2,921,742 | |
JPMBB Commercial Mortgage Securities Trust: | |||
sequential payer Series 2015-C29 Class A3A2, 3.3423% 5/15/48 (b) | 2,889,645 | 3,002,274 | |
Series 2013-C14 Class A/S, 4.4093% 8/15/46 | 3,088,000 | 3,189,924 | |
Series 2014-C19 Class XA, 0.8119% 4/15/47 (c)(l) | 2,829,152 | 38,493 | |
Series 2015-C30 Class A4, 3.5508% 7/15/48 | 1,900,000 | 1,998,055 | |
JPMorgan Chase Commercial Mortgage Securities Corp. Series 2012-LC9 Class A/S, 3.3533% 12/15/47 (b) | 750,000 | 761,196 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
floater Series 2019-BKWD Class A, 1 month U.S. LIBOR + 1.000% 1.09% 9/15/29 (b)(c)(f) | 6,300,000 | 6,288,007 | |
sequential payer Series 2013-LC11 Class A5, 2.9599% 4/15/46 | 1,800,000 | 1,835,865 | |
Series 2012-C8 Class A/S, 3.4239% 10/15/45 (b) | 2,000,000 | 2,024,677 | |
Series 2012-CBX Class A/S, 4.2707% 6/15/45 | 2,477,000 | 2,508,167 | |
Series 2018-WPT: | |||
Class AFX, 4.2475% 7/5/33 (b) | 2,700,000 | 2,815,031 | |
Class CFX, 4.9498% 7/5/33 (b) | 919,000 | 953,596 | |
Class DFX, 5.3503% 7/5/33 (b) | 1,414,000 | 1,462,664 | |
Class EFX, 5.5422% 7/5/33 (b) | 1,934,000 | 1,975,905 | |
Class XAFX, 1.2948% 7/5/33 (b)(c)(l) | 10,000,000 | 154,855 | |
Series 2019-COR4 Class A3, 3.7629% 3/10/52 | 5,400,000 | 5,828,913 | |
Series 2021-MHC Class XCP, 1 month U.S. LIBOR + 0.000% 1.4212% 4/15/38 (b)(c)(f)(l) | 164,060,500 | 3,189,795 | |
LIFE Mortgage Trust floater Series 2021-BMR: | |||
Class A, 1 month U.S. LIBOR + 0.700% 0.79% 3/15/38 (b)(c)(f) | 6,931,000 | 6,916,943 | |
Class B, 1 month U.S. LIBOR + 0.880% 0.97% 3/15/38 (b)(c)(f) | 1,672,000 | 1,659,956 | |
Class C, 1 month U.S. LIBOR + 1.100% 1.19% 3/15/38 (b)(c)(f) | 1,052,000 | 1,043,145 | |
MBRT floater Series 2019-MBR Class A, 1 month U.S. LIBOR + 0.850% 1.19% 11/15/36 (b)(c)(f) | 6,000,000 | 5,992,447 | |
Merit floater Series 2020-HILL Class A, 1 month U.S. LIBOR + 1.150% 1.24% 8/15/37 (b)(c)(f) | 1,982,257 | 1,979,155 | |
MHC Commercial Mortgage Trust: | |||
floater Series 2021-MHC Class E, 1 month U.S. LIBOR + 2.100% 2.1905% 4/15/38 (b)(c)(f) | 5,425,000 | 5,413,114 | |
floater sequential payer Series 2021-MHC Class A, 1 month U.S. LIBOR + 0.800% 0.8905% 4/15/38 (b)(c)(f) | 4,900,000 | 4,887,744 | |
Morgan Stanley BAML Trust: | |||
sequential payer: | |||
Series 2015-C21 Class A3, 3.077% 3/15/48 | 3,704,791 | 3,772,547 | |
Series 2016-C28 Class A3, 3.272% 1/15/49 | 3,841,468 | 3,994,748 | |
Series 2016-C29 Class ASB, 3.14% 5/15/49 | 449,808 | 467,768 | |
Series 2015-C25: | |||
Class A4, 3.372% 10/15/48 | 2,800,000 | 2,956,434 | |
Class XA, 1.1981% 10/15/48 (c)(l) | 9,933,675 | 310,727 | |
Series 2015-C26 Class A4, 3.252% 10/15/48 | 3,200,000 | 3,338,741 | |
Series 2016-C32 Class A3, 3.459% 12/15/49 | 4,836,809 | 5,122,036 | |
Morgan Stanley Capital I Trust: | |||
floater Series 2018-BOP Class A, 1 month U.S. LIBOR + 0.850% 0.94% 8/15/33 (b)(c)(f) | 6,888,548 | 6,884,346 | |
floater sequential payer Series 2019-NUGS Class A, 1 month U.S. LIBOR + 0.950% 2.45% 12/15/36 (b)(c)(f) | 5,200,000 | 5,202,739 | |
sequential payer: | |||
Series 2019-MEAD Class A, 3.17% 11/10/36 (b) | 13,482,000 | 13,855,109 | |
Series 2021-L6 Class A3, 2.196% 6/15/54 | 7,000,000 | 6,961,075 | |
Series 2015-UBS8 Class A3, 3.54% 12/15/48 | 3,000,000 | 3,182,973 | |
Series 2016-UB12 Class A3, 3.337% 12/15/49 | 2,000,000 | 2,091,139 | |
Series 2018-H4 Class A4, 4.31% 12/15/51 | 3,237,000 | 3,691,874 | |
Series 2019-MEAD: | |||
Class B, 3.283% 11/10/36 (b)(c) | 1,558,000 | 1,576,562 | |
Class C, 3.283% 11/10/36 (b)(c) | 1,495,000 | 1,493,630 | |
Class D, 3.283% 11/10/36 (b)(c) | 2,340,000 | 2,299,382 | |
Series 2021-L6 Class XA, 1.3542% 6/15/54 (c)(l) | 12,623,418 | 1,070,636 | |
MRA Issuance Trust Series 2021-9 1 month U.S. LIBOR + 1.300% 0% 7/15/22 (b)(c)(f) | 7,400,000 | 7,400,000 | |
ONE Mortgage Trust floater Series 2021-PARK Class E, 1 month U.S. LIBOR + 1.750% 1.84% 3/15/36 (b)(c)(f) | 5,759,000 | 5,701,290 | |
Prima Capital Ltd. floater Series 2021-9A Class B, 1 month U.S. LIBOR + 1.800% 1.8911% 12/15/37 (b)(c)(f) | 2,053,000 | 2,052,998 | |
RLGH Trust floater Series 2021-TROT Class A, 1 month U.S. LIBOR + 0.800% 0.89% 4/15/36 (b)(c)(f) | 1,900,000 | 1,900,503 | |
SFAVE Commercial Mortgage Securities Trust Series 2015-5AVE: | |||
Class A1, 3.872% 1/5/43 (b)(c) | 740,000 | 783,811 | |
Class A2A, 3.659% 1/5/43 (b)(c) | 9,930,000 | 10,841,324 | |
SREIT Trust floater: | |||
Series 2021-IND Class A, 1 month U.S. LIBOR + 0.700% 0.79% 10/15/38 (b)(c)(f) | 5,800,000 | 5,745,240 | |
Series 2021-MFP: | |||
Class A, 1 month U.S. LIBOR + 0.730% 0.8308% 11/15/38 (b)(c)(f) | 7,394,000 | 7,351,619 | |
Class B, 1 month U.S. LIBOR + 1.070% 1.1798% 11/15/38 (b)(c)(f) | 4,235,000 | 4,210,736 | |
Class C, 1 month U.S. LIBOR + 1.320% 1.429% 11/15/38 (b)(c)(f) | 2,630,000 | 2,614,926 | |
Class D, 1 month U.S. LIBOR + 1.570% 1.6782% 11/15/38 (b)(c)(f) | 1,728,000 | 1,718,092 | |
U.S. sequential payer Series 2018-USDC Class A, 4.106% 5/13/38 (b) | 4,000,000 | 4,313,297 | |
UBS Commercial Mortgage Trust: | |||
sequential payer Series 2018-C12 Class A5, 4.2962% 8/15/51 | 3,000,000 | 3,395,382 | |
Series 2012-C1 Class A/S, 4.171% 5/10/45 | 6,570,000 | 6,585,364 | |
Series 2017-C1 Class A3, 3.283% 11/15/50 | 5,500,000 | 5,820,304 | |
Series 2017-C7 Class XA, 1.1691% 12/15/50 (c)(l) | 17,038,551 | 793,197 | |
Series 2018-C11 Class A3, 4.3124% 6/15/51 | 4,100,000 | 4,301,969 | |
Series 2018-C13 Class A3, 4.0694% 10/15/51 | 6,000,000 | 6,536,690 | |
Series 2018-C9 Class ASB, 4.09% 3/15/51 | 3,300,000 | 3,594,193 | |
UBS-Barclays Commercial Mortgage Trust: | |||
floater Series 2013-C6 Class A3, 1 month U.S. LIBOR + 0.790% 0.8795% 4/10/46 (b)(c)(f) | 5,086,617 | 5,076,160 | |
Series 2012-C3 Class A/S, 3.814% 8/10/49 (b) | 1,400,000 | 1,428,846 | |
VLS Commercial Mortgage Trust: | |||
sequential payer Series 2020-LAB Class A, 2.13% 10/10/42 (b) | 3,760,000 | 3,732,869 | |
Series 2020-LAB: | |||
Class B, 2.453% 10/10/42 (b) | 300,000 | 299,396 | |
Class X, 0.5162% 10/10/42 (b)(c)(l) | 8,700,000 | 290,937 | |
Wells Fargo Commercial Mortgage Trust: | |||
floater Series 2021-FCMT Class A, 1 month U.S. LIBOR + 1.200% 1.29% 5/15/31 (b)(c)(f) | 4,470,000 | 4,468,664 | |
sequential payer: | |||
Series 2015-C29 Class ASB, 3.4% 6/15/48 | 1,049,157 | 1,087,404 | |
Series 2016-C34 Class A4, 3.096% 6/15/49 | 6,124,000 | 6,388,044 | |
Series 2016-LC24 Class A3, 2.684% 10/15/49 | 3,300,000 | 3,404,537 | |
Series 2021-C59 Class A4, 2.343% 4/15/54 | 5,000,000 | 5,067,989 | |
Series 2021-C61 Class A3, 2.406% 11/15/54 | 7,300,000 | 7,417,610 | |
Series 2015-C31 Class XA, 1.1229% 11/15/48 (c)(l) | 6,613,349 | 210,769 | |
Series 2017-C42 Class XA, 1.0213% 12/15/50 (c)(l) | 35,282,300 | 1,637,011 | |
Series 2018-C46 Class XA, 1.1013% 8/15/51 (c)(l) | 15,099,328 | 630,448 | |
Series 2018-C48 Class A5, 4.302% 1/15/52 | 3,181,000 | 3,616,896 | |
WF-RBS Commercial Mortgage Trust: | |||
Series 2012-C9 Class A/S, 3.388% 11/15/45 | 400,000 | 406,601 | |
Series 2014-C24 Class XA, 0.9962% 11/15/47 (c)(l) | 6,072,019 | 127,962 | |
Series 2014-LC14 Class XA, 1.4247% 3/15/47 (c)(l) | 8,346,360 | 183,016 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $1,093,840,428) | 1,095,521,784 | ||
Municipal Securities - 0.2% | |||
Principal Amount (a) | Value ($) | ||
Bay Area Toll Auth. San Francisco Bay Toll Bridge Rev. Series 2009 F2, 6.263% 4/1/49 | 3,140,000 | 5,271,886 | |
California Gen. Oblig. Series 2009, 7.5% 4/1/34 | 205,000 | 315,697 | |
Colorado Reg'l. Trans. District Sales Tax Rev. (Fastracks Proj.) Series 2010 B, 5.844% 11/1/50 | 45,000 | 72,347 | |
District of Columbia Income Tax Rev. Series 2010 F, 5.582% 12/1/35 | 75,000 | 98,565 | |
Illinois Gen. Oblig.: | |||
Series 2003: | |||
4.95% 6/1/23 | 3,899,636 | 4,078,841 | |
5.1% 6/1/33 | 22,850,000 | 26,715,683 | |
Series 2010-1, 6.63% 2/1/35 | 3,845,000 | 4,776,274 | |
Series 2010-3: | |||
6.725% 4/1/35 | 2,510,000 | 3,143,291 | |
7.35% 7/1/35 | 4,655,000 | 5,960,989 | |
Jobsohio Beverage Sys. Statewide Series 2020 A, 2.833% 1/1/38 | 325,000 | 344,443 | |
Los Angeles Dept. Arpt. Rev. Series C: | |||
2.063% 5/15/34 | 500,000 | 484,809 | |
2.163% 5/15/35 | 500,000 | 485,422 | |
Los Angeles Dept. of Wtr. & Pwr. Rev. Series 2010 A, 5.716% 7/1/39 | 190,000 | 272,266 | |
Los Angeles Dept. of Wtr. & Pwr. Wtrwks. Rev. Series C, 6.008% 7/1/39 | 1,465,000 | 1,963,435 | |
Los Angeles Unified School District Series KRY, 5.75% 7/1/34 | 1,535,000 | 2,042,479 | |
Massachusetts Commonwealth Trans. Fund Rev. (Accelerated Bridge Prog.) Series 2010 A, 5.731% 6/1/40 | 150,000 | 207,876 | |
Michigan Fin. Auth. Rev. Series 2019 T, 3.384% 12/1/40 | 545,000 | 604,077 | |
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 | 11,838,896 | |
New Jersey Tpk. Auth. Tpk. Rev.: | |||
Series 2009 E, 7.414% 1/1/40 | 1,620,000 | 2,666,900 | |
Series 2010 A, 7.102% 1/1/41 | 855,000 | 1,371,890 | |
Series 2021 B: | |||
1.963% 1/1/32 | 1,000,000 | 981,130 | |
2.113% 1/1/33 | 1,050,000 | 1,036,833 | |
New York City Gen. Oblig. Series A3, 2.8% 8/1/30 | 3,250,000 | 3,400,590 | |
New York City Transitional Fin. Auth. Rev.: | |||
Series 2010 C2, 5.767% 8/1/36 | 900,000 | 1,143,913 | |
Series 2021 E3, 1.97% 2/1/33 | 2,015,000 | 1,964,716 | |
Series A3, 3.88% 8/1/31 | 1,170,000 | 1,295,906 | |
Series A5, 2.69% 5/1/33 | 2,015,000 | 2,093,359 | |
Series B2, 3.14% 8/1/28 | 2,735,000 | 2,949,203 | |
New York State Dorm. Auth.: | |||
Series 2019 F, 3.11% 2/15/39 | 3,250,000 | 3,496,971 | |
Series 2021 C, 2.202% 3/15/34 | 945,000 | 944,269 | |
Ohio State Univ. Gen. Receipts: | |||
Series 2010 C, 4.91% 6/1/40 | 140,000 | 195,654 | |
Series 2011 A, 4.8% 6/1/11 | 1,403,000 | 2,235,927 | |
Port Auth. of New York & New Jersey 174th Series, 4.458% 10/1/62 | 515,000 | 705,346 | |
Salt River Proj. Agricultural Impt. & Pwr. District Elec. Sys. Rev. Series 2010 A, 4.839% 1/1/41 | 750,000 | 1,012,063 | |
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 | 641,212 | |
Univ. of California Revs. Series 2015 J, 4.131% 5/15/45 | 1,750,000 | 2,110,838 | |
Univ. of Michigan Rev. Series 2020 B, 2.437% 4/1/40 | 1,050,000 | 1,070,960 | |
Univ. of Virginia Gen. Rev. Series 2021 B, 2.584% 11/1/51 | 1,320,000 | 1,372,629 | |
TOTAL MUNICIPAL SECURITIES (Cost $92,031,022) | 101,367,585 | ||
Foreign Government and Government Agency Obligations - 0.2% | |||
Principal Amount (a) | Value ($) | ||
Arab Republic of Egypt 7.6003% 3/1/29 (b) | 632,000 | 602,770 | |
Brazil Minas SPE 5.333% 2/15/28 (Reg. S) | 2,786,000 | 2,898,833 | |
Brazilian Federative Republic: | |||
2.875% 6/6/25 | 1,000,000 | 1,001,500 | |
3.875% 6/12/30 | 990,000 | 927,692 | |
4.5% 5/30/29 | 200,000 | 198,475 | |
4.625% 1/13/28 | 200,000 | 203,163 | |
CBB International Sukuk Co. 7 SPC 6.875% 10/5/25 (Reg. S) | 700,000 | 784,000 | |
Chilean Republic 3.24% 2/6/28 | 1,050,000 | 1,103,025 | |
Colombian Republic: | |||
3% 1/30/30 | 1,800,000 | 1,632,150 | |
4.5% 1/28/26 | 550,000 | 576,228 | |
10.375% 1/28/33 | 1,350,000 | 1,913,034 | |
Dominican Republic: | |||
4.5% 1/30/30 (b) | 1,500,000 | 1,491,375 | |
5.95% 1/25/27 (b) | 1,100,000 | 1,212,637 | |
6% 7/19/28 (b) | 1,250,000 | 1,375,000 | |
Emirate of Abu Dhabi 2.5% 9/30/29 (Reg. S) | 1,200,000 | 1,240,500 | |
Hungarian Republic: | |||
1.75% 6/5/35 (Reg. S) | EUR | 1,370,000 | 1,609,775 |
2.125% 9/22/31 (b) | 1,000,000 | 964,524 | |
3.125% 9/21/51 (b) | 920,000 | 871,630 | |
7.625% 3/29/41 | 580,000 | 943,012 | |
Indonesian Republic: | |||
1.1% 3/12/33 | EUR | 3,500,000 | 3,815,538 |
2.8% 6/23/30 (b) | 1,300,000 | 1,330,713 | |
2.85% 2/14/30 | 400,000 | 412,200 | |
3.4% 9/18/29 | 420,000 | 450,004 | |
3.5% 1/11/28 | 4,450,000 | 4,801,272 | |
Israeli State: | |||
3.875% 7/3/50 | 1,750,000 | 2,010,292 | |
4% 6/30/22 | 1,700,000 | 1,733,864 | |
4.5% 1/30/43 | 200,000 | 251,856 | |
Italian Republic 2.375% 10/17/24 | 3,800,000 | 3,906,839 | |
Kingdom of Saudi Arabia: | |||
3.25% 10/26/26 (Reg. S) | 550,000 | 585,475 | |
3.25% 11/17/51 (b) | 7,910,000 | 7,682,588 | |
3.625% 3/4/28 (Reg. S) | 1,000,000 | 1,085,000 | |
Panamanian Republic: | |||
3.16% 1/23/30 | 3,020,000 | 3,087,573 | |
3.875% 3/17/28 | 200,000 | 214,038 | |
4.3% 4/29/53 | 615,000 | 640,100 | |
4.5% 4/16/50 | 400,000 | 427,825 | |
Peruvian Republic: | |||
2.783% 1/23/31 | 772,000 | 765,631 | |
2.844% 6/20/30 | 1,630,000 | 1,644,059 | |
4.125% 8/25/27 | 200,000 | 219,038 | |
Philippine Republic: | |||
1.648% 6/10/31 | 400,000 | 379,044 | |
2.457% 5/5/30 | 600,000 | 612,066 | |
3.7% 3/1/41 | 1,010,000 | 1,077,418 | |
Quebec Province yankee 7.125% 2/9/24 | 645,000 | 730,450 | |
Republic of Paraguay: | |||
2.739% 1/29/33 (b) | 400,000 | 374,700 | |
4.95% 4/28/31 (b) | 400,000 | 440,200 | |
Republic of Serbia: | |||
1.5% 6/26/29 (Reg. S) | EUR | 794,000 | 848,698 |
1.65% 3/3/33 (b) | EUR | 1,200,000 | 1,207,817 |
2.125% 12/1/30 (b) | 1,430,000 | 1,303,088 | |
3.125% 5/15/27 (Reg. S) | EUR | 712,000 | 849,872 |
Romanian Republic: | |||
3% 2/14/31 (Reg. S) | 864,000 | 851,040 | |
3.875% 10/29/35 (b) | EUR | 1,210,000 | 1,458,027 |
4.125% 3/11/39 | EUR | 2,740,000 | 3,289,996 |
South African Republic 4.85% 9/30/29 | 1,940,000 | 1,955,520 | |
State of Qatar: | |||
3.4% 4/16/25 (b) | 3,165,000 | 3,364,395 | |
3.75% 4/16/30 (Reg. S) | 400,000 | 444,800 | |
4.5% 4/23/28 (Reg. S) | 1,400,000 | 1,601,600 | |
5.103% 4/23/48 (b) | 2,200,000 | 2,926,000 | |
Sultanate of Oman 5.625% 1/17/28 (Reg. S) | 825,000 | 848,719 | |
Turkish Republic 7.25% 12/23/23 | 2,200,000 | 2,277,413 | |
Ukraine Government: | |||
4.375% 1/27/30 (b) | EUR | 1,800,000 | 1,742,318 |
6.75% 6/20/26 (Reg. S) | EUR | 1,450,000 | 1,633,756 |
7.75% 9/1/22 (b) | 2,800,000 | 2,823,800 | |
8.994% 2/1/24 (Reg. S) | 2,250,000 | 2,311,875 | |
United Kingdom, Great Britain and Northern Ireland 1.25% 10/22/41 (Reg. S) (i) | GBP | 2,098,000 | 2,910,913 |
United Mexican States: | |||
2.659% 5/24/31 | 4,288,000 | 4,137,384 | |
3.75% 1/11/28 | 1,670,000 | 1,791,910 | |
4.15% 3/28/27 | 275,000 | 303,463 | |
4.28% 8/14/41 | 400,000 | 409,075 | |
4.5% 4/22/29 | 200,000 | 222,163 | |
4.75% 4/27/32 | 400,000 | 446,325 | |
4.75% 3/8/44 | 2,366,000 | 2,539,457 | |
6.05% 1/11/40 | 400,000 | 490,700 | |
Uruguay Republic: | |||
4.375% 1/23/31 | 610,000 | 699,708 | |
4.975% 4/20/55 | 525,000 | 668,489 | |
5.1% 6/18/50 | 2,185,000 | 2,826,571 | |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $113,288,860) | 109,411,998 | ||
Bank Loan Obligations - 0.1% | |||
Principal Amount (a) | Value ($) | ||
COMMUNICATION SERVICES - 0.0% | |||
Diversified Telecommunication Services - 0.0% | |||
Level 3 Financing, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 1.8404% 3/1/27 (c)(f)(o) | 2,000,000 | 1,951,260 | |
Lumen Technologies, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 2.337% 3/15/27 (c)(f)(o) | 3,225,379 | 3,158,871 | |
5,110,131 | |||
Media - 0.0% | |||
CSC Holdings LLC Tranche B 5LN, term loan 3 month U.S. LIBOR + 2.500% 2.5893% 4/15/27 (c)(f)(o) | 795,949 | 780,317 | |
Diamond Sports Group LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.35% 8/24/26 (c)(f)(o) | 497,462 | 207,939 | |
DIRECTV Financing LLC 1LN, term loan 1 month U.S. LIBOR + 5.000% 5.75% 8/2/27 (c)(f)(o) | 500,000 | 498,750 | |
iHeartCommunications, Inc. 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.0904% 5/1/26 (c)(f)(o) | 538,996 | 531,924 | |
Neptune Finco Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 2.3393% 7/17/25 (c)(f)(o) | 593,782 | 581,628 | |
Sinclair Television Group, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 2.6% 9/30/26 (c)(f)(o) | 595,443 | 580,557 | |
Virgin Media Bristol LLC Tranche N, term loan 3 month U.S. LIBOR + 2.500% 2.5893% 1/31/28 (c)(f)(o) | 2,000,000 | 1,972,500 | |
5,153,615 | |||
Wireless Telecommunication Services - 0.0% | |||
Digicel International Finance Ltd. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.96% 5/25/24 (c)(f)(o) | 646,633 | 629,258 | |
TOTAL COMMUNICATION SERVICES | 10,893,004 | ||
CONSUMER DISCRETIONARY - 0.0% | |||
Diversified Consumer Services - 0.0% | |||
Adtalem Global Education, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 5.25% 8/12/28 (c)(f)(o) | 375,000 | 374,063 | |
Spin Holdco, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 4.75% 3/4/28 (c)(f)(o) | 845,750 | 844,693 | |
1,218,756 | |||
Hotels, Restaurants & Leisure - 0.0% | |||
Caesars Resort Collection LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 2.8404% 12/22/24 (c)(f)(o) | 3,330 | 3,293 | |
Churchill Downs, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.35% 12/27/24 (c)(f)(o) | 1,091,495 | 1,082,632 | |
Penn National Gaming, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3% 10/15/25 (c)(f)(o) | 1,982,918 | 1,973,757 | |
3,059,682 | |||
Specialty Retail - 0.0% | |||
Michaels Companies, Inc. 1LN, term loan 3 month U.S. LIBOR + 4.250% 5% 4/15/28 (c)(f)(o) | 1,745,625 | 1,732,096 | |
TOTAL CONSUMER DISCRETIONARY | 6,010,534 | ||
CONSUMER STAPLES - 0.0% | |||
Food & Staples Retailing - 0.0% | |||
BJ's Wholesale Club, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.0893% 2/3/24 (c)(f)(o) | 503,297 | 502,094 | |
Food Products - 0.0% | |||
JBS U.S.A. Lux SA Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.0916% 5/1/26 (c)(f)(o) | 2,977,099 | 2,958,879 | |
TOTAL CONSUMER STAPLES | 3,460,973 | ||
ENERGY - 0.0% | |||
Oil, Gas & Consumable Fuels - 0.0% | |||
Buckeye Partners LP 1LN, term loan 3 month U.S. LIBOR + 2.250% 11/1/26 (f)(o)(p) | 248,125 | 246,535 | |
FINANCIALS - 0.0% | |||
Diversified Financial Services - 0.0% | |||
Avolon TLB Borrower 1 (U.S.) LLC Tranche B3 1LN, term loan 3 month U.S. LIBOR + 1.750% 2.5% 1/15/25 (c)(f)(o) | 725,000 | 721,208 | |
Insurance - 0.0% | |||
AmWINS Group, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 3% 2/19/28 (c)(f)(o) | 2,978,748 | 2,934,067 | |
Mortgage Real Estate Investment Trusts - 0.0% | |||
Blackstone Mortgage Trust, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 2.6536% 4/23/26 (c)(f)(o) | 497,462 | 491,244 | |
TOTAL FINANCIALS | 4,146,519 | ||
HEALTH CARE - 0.1% | |||
Health Care Providers & Services - 0.0% | |||
Horizon Pharma U.S.A., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.5% 3/15/28 (c)(f)(o) | 2,238,750 | 2,224,355 | |
Icon Luxembourg Sarl Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.500% 3% 7/1/28 (c)(f)(o) | 1,026,127 | 1,022,136 | |
3,246,491 | |||
Health Care Technology - 0.0% | |||
IQVIA, Inc. Tranche B2 1LN, term loan 3 month U.S. LIBOR + 2.000% 1/18/25 (f)(o)(p) | 738,938 | 734,135 | |
Life Sciences Tools & Services - 0.0% | |||
PRA Health Sciences, Inc. Tranche B 1LN, term loan 1 month U.S. LIBOR + 2.500% 3% 7/1/28 (c)(f)(o) | 255,660 | 254,666 | |
Pharmaceuticals - 0.1% | |||
Elanco Animal Health, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 1.8364% 8/1/27 (c)(f)(o) | 2,974,718 | 2,925,843 | |
Grifols, S.A. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.0756% 11/15/27 (c)(f)(o) | 1,736,742 | 1,702,008 | |
Jazz Financing Lux SARL Tranche B 1LN, term loan 1 month U.S. LIBOR + 3.500% 4% 5/5/28 (c)(f)(o) | 1,241,888 | 1,238,634 | |
Organon & Co. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 3.5% 6/2/28 (c)(f)(o) | 1,995,000 | 1,987,519 | |
Valeant Pharmaceuticals International, Inc. Tranche B 2LN, term loan 3 month U.S. LIBOR + 2.750% 2.837% 11/27/25 (c)(f)(o) | 2,645,560 | 2,613,602 | |
10,467,606 | |||
TOTAL HEALTH CARE | 14,702,898 | ||
INDUSTRIALS - 0.0% | |||
Airlines - 0.0% | |||
United Airlines, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.5% 4/21/28 (c)(f)(o) | 646,750 | 644,053 | |
Commercial Services & Supplies - 0.0% | |||
Intrado Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 5.5678% 10/10/24 (c)(f)(o) | 1,178,016 | 1,120,458 | |
Road & Rail - 0.0% | |||
Genesee & Wyoming, Inc. 1LN, term loan 3 month U.S. LIBOR + 2.000% 2.1315% 12/30/26 (c)(f)(o) | 719,521 | 712,506 | |
TOTAL INDUSTRIALS | 2,477,017 | ||
INFORMATION TECHNOLOGY - 0.0% | |||
Communications Equipment - 0.0% | |||
CommScope, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 3.3404% 4/4/26 (c)(f)(o) | 1,590,367 | 1,547,634 | |
IT Services - 0.0% | |||
Peraton Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 4.5% 2/1/28 (c)(f)(o) | 1,243,750 | 1,239,310 | |
Software - 0.0% | |||
Change Healthcare Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 2.500% 4.2859% 3/1/24 (c)(f)(o) | 954,197 | 951,220 | |
McAfee LLC Tranche B, term loan 3 month U.S. LIBOR + 3.750% 3.8416% 9/29/24 (c)(f)(o) | 1,869,448 | 1,866,981 | |
SS&C Technologies, Inc.: | |||
Tranche B 3LN, term loan 3 month U.S. LIBOR + 1.750% 1.8404% 4/16/25 (c)(f)(o) | 229,786 | 226,376 | |
Tranche B 4LN, term loan 3 month U.S. LIBOR + 1.750% 1.8404% 4/16/25 (c)(f)(o) | 186,534 | 183,766 | |
Tranche B 5LN, term loan 3 month U.S. LIBOR + 1.750% 1.8404% 4/16/25 (c)(f)(o) | 586,550 | 578,620 | |
3,806,963 | |||
TOTAL INFORMATION TECHNOLOGY | 6,593,907 | ||
MATERIALS - 0.0% | |||
Chemicals - 0.0% | |||
Starfruit U.S. Holdco LLC Tranche B, term loan 3 month U.S. LIBOR + 2.750% 3.092% 10/1/25 (c)(f)(o) | 2,036,636 | 2,009,060 | |
Zep, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 8/11/24 (f)(o)(p) | 544,045 | 535,340 | |
2,544,400 | |||
Containers & Packaging - 0.0% | |||
Berry Global, Inc. Tranche Z 1LN, term loan 3 month U.S. LIBOR + 1.750% 1.8636% 7/1/26 (c)(f)(o) | 536,162 | 530,281 | |
TOTAL MATERIALS | 3,074,681 | ||
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
Vistra Operations Co. LLC Tranche B 3LN, term loan 3 month U.S. LIBOR + 1.750% 1.8378% 12/31/25 (c)(f)(o) | 495,846 | 490,228 | |
Independent Power and Renewable Electricity Producers - 0.0% | |||
Calpine Corp. Tranche B9 1LN, term loan 3 month U.S. LIBOR + 2.000% 4/5/26 (f)(o)(p) | 3,225,254 | 3,172,392 | |
TOTAL UTILITIES | 3,662,620 | ||
TOTAL BANK LOAN OBLIGATIONS (Cost $56,007,699) | 55,268,688 | ||
Bank Notes - 0.0% | |||
Principal Amount (a) | Value ($) | ||
Discover Bank: | |||
3.45% 7/27/26 | 435,000 | 461,614 | |
4.682% 8/9/28 (c) | 3,503,000 | 3,675,962 | |
Regions Bank 6.45% 6/26/37 | 2,533,000 | 3,595,130 | |
Truist Bank 2.75% 5/1/23 | 645,000 | 663,145 | |
TOTAL BANK NOTES (Cost $6,946,696) | 8,395,851 | ||
Fixed-Income Funds - 67.4% | |||
Shares | Value ($) | ||
Bank Loan Funds - 0.3% | |||
T. Rowe Price Institutional Floating Rate Fund - F Class | 12,904,516 | 125,302,847 | |
High Yield Fixed-Income Funds - 1.4% | |||
iShares iBoxx $ High Yield Corporate Bond ETF | 810,000 | 69,368,400 | |
Stone Harbor Emerging Markets Debt Fund | 33,244,457 | 310,503,227 | |
TCW Emerging Markets Income Fund Class N | 31,141,089 | 305,494,080 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 685,365,707 | ||
Intermediate Government Funds - 3.3% | |||
Fidelity SAI U.S. Treasury Bond Index Fund (q) | 157,884,558 | 1,599,370,575 | |
Intermediate-Term Bond Funds - 58.9% | |||
American Funds The Bond Fund of America Class F2 | 56,693,333 | 764,226,126 | |
Baird Aggregate Bond Fund Class Institutional | 57,113,797 | 652,810,696 | |
Baird Core Plus Bond Fund - Institutional Class | 72,048,713 | 848,733,844 | |
Columbia Mortgage Opportunities Fund Class A | 10,310,826 | 108,882,326 | |
DoubleLine Total Return Bond Fund Class N | 150,084,835 | 1,569,887,375 | |
Fidelity SAI Total Bond Fund (q) | 600,215,180 | 6,308,261,539 | |
Fidelity U.S. Bond Index Fund (q) | 16,449,675 | 198,054,089 | |
John Hancock Bond Fund Class R6 | 30,666,915 | 499,870,717 | |
JPMorgan Core Plus Bond Fund Class A | 55,933,678 | 475,436,262 | |
PIMCO Income Fund Institutional Class | 102,039,729 | 1,209,170,783 | |
PIMCO Investment Grade Credit Bond Fund Institutional Class | 67,730,591 | 731,490,380 | |
PIMCO Mortgage Opportunities Fund Institutional Class | 122,619,758 | 1,332,876,764 | |
PIMCO Total Return Fund Institutional Class | 627,137,171 | 6,472,055,540 | |
Voya Intermediate Bond Fund Class I | 144,179,535 | 1,480,723,823 | |
Western Asset Core Bond Fund Class I | 191,130,019 | 2,509,537,155 | |
Western Asset Core Plus Bond Fund Class I | 292,778,702 | 3,486,994,340 | |
Western Asset Corporate Bond Fund - Class I | 13,332,861 | 175,193,788 | |
TOTAL INTERMEDIATE-TERM BOND FUNDS | 28,824,205,547 | ||
Long Government Bond Funds - 3.5% | |||
Fidelity SAI Long-Term Treasury Bond Index Fund (q) | 49,860,420 | 579,378,077 | |
iShares 20+ Year Treasury Bond ETF (r) | 6,072,060 | 920,463,575 | |
SPDR Portfolio Long Term Treasury ETF (r) | 5,432,741 | 234,042,482 | |
TOTAL LONG GOVERNMENT BOND FUNDS | 1,733,884,134 | ||
TOTAL FIXED-INCOME FUNDS (Cost $32,503,670,029) | 32,968,128,810 | ||
Preferred Securities - 0.3% | |||
Principal Amount (a) | Value ($) | ||
COMMUNICATION SERVICES - 0.0% | |||
Diversified Telecommunication Services - 0.0% | |||
Telefonica Europe BV 3.875% (Reg. S) (c)(h) | 600,000 | 717,035 | |
CONSUMER DISCRETIONARY - 0.0% | |||
Automobiles - 0.0% | |||
Volkswagen International Finance NV 3.5% (Reg. S) (c)(h) | 5,100,000 | 6,152,634 | |
CONSUMER STAPLES - 0.0% | |||
Tobacco - 0.0% | |||
British American Tobacco PLC 3% (Reg. S) (c)(h) | 2,900,000 | 3,223,112 | |
ENERGY - 0.0% | |||
Oil, Gas & Consumable Fuels - 0.0% | |||
BP Capital Markets PLC 4.375% (c)(h) | 6,695,000 | 6,996,275 | |
Energy Transfer LP: | |||
6.5% (c)(h) | 3,770,000 | 3,854,825 | |
6.625% (c)(h) | 730,000 | 682,090 | |
11,533,190 | |||
FINANCIALS - 0.2% | |||
Banks - 0.2% | |||
AIB Group PLC 6.25% (Reg. S) (c)(h) | 690,000 | 852,018 | |
Banco Bilbao Vizcaya Argentaria SA 5.875% (Reg. S) (c)(h) | 800,000 | 957,180 | |
Bank of America Corp. 4.3% (c)(h) | 7,090,000 | 7,135,943 | |
Bank of Nova Scotia 4.65% (c)(h) | 12,927,000 | 12,597,362 | |
Barclays Bank PLC 7.625% 11/21/22 | 27,412,000 | 28,982,307 | |
Barclays PLC 5.875% (Reg. S) (c)(h) | 400,000 | 551,264 | |
BNP Paribas SA 6.625% (Reg. S) (c)(h) | 830,000 | 896,400 | |
Citigroup, Inc. 3.875% (c)(h) | 4,320,000 | 4,276,800 | |
HSBC Holdings PLC 6.375% (c)(h) | 820,000 | 881,418 | |
JPMorgan Chase & Co. 4.6% (c)(h) | 7,120,000 | 7,175,963 | |
Societe Generale 7.875% (Reg. S) (c)(h) | 415,000 | 452,433 | |
U.S. Bancorp 3.7% (c)(h) | 4,850,000 | 4,734,813 | |
69,493,901 | |||
Capital Markets - 0.0% | |||
Credit Suisse Group AG 7.5% (Reg. S) (c)(h) | 2,750,000 | 2,961,464 | |
Goldman Sachs Group, Inc.: | |||
3.65% (c)(h) | 1,750,000 | 1,681,050 | |
4.125% (c)(h) | 2,505,000 | 2,476,193 | |
7,118,707 | |||
Consumer Finance - 0.0% | |||
Ally Financial, Inc. 4.7% (c)(h) | 350,000 | 360,938 | |
American Express Co. 3.55% (c)(h) | 770,000 | 760,375 | |
1,121,313 | |||
Insurance - 0.0% | |||
QBE Insurance Group Ltd. 5.25% (Reg. S) (c)(h) | 2,650,000 | 2,781,866 | |
TOTAL FINANCIALS | 80,515,787 | ||
HEALTH CARE - 0.0% | |||
Pharmaceuticals - 0.0% | |||
Bayer AG 2.375% 11/12/79 (Reg. S) (c) | 4,700,000 | 5,288,321 | |
INDUSTRIALS - 0.0% | |||
Road & Rail - 0.0% | |||
National Express Group PLC 4.25% (Reg. S) (c)(h) | 320,000 | 431,866 | |
REAL ESTATE - 0.1% | |||
Real Estate Management & Development - 0.1% | |||
Aroundtown SA 3.375% (Reg. S) (c)(h) | 2,200,000 | 2,568,382 | |
AT Securities BV 5.25% (Reg. S) (c)(h) | 2,750,000 | 2,841,410 | |
CPI Property Group SA 3.75% (Reg. S) (c)(h) | 1,325,000 | 1,413,664 | |
Grand City Properties SA 1.5% (Reg. S) (c)(h) | 2,400,000 | 2,627,131 | |
Heimstaden Bostad AB: | |||
3.248% (Reg. S) (c)(h) | 2,085,000 | 2,355,755 | |
3.625% (Reg. S) (c)(h) | 185,000 | 207,186 | |
Samhallsbyggnadsbolaget I Norden AB 2.624% (Reg. S) (c)(h) | 770,000 | 854,505 | |
12,868,033 | |||
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
EDF SA 5.625% (Reg. S) (c)(h) | 3,500,000 | 3,679,375 | |
SSE PLC 3.74% (Reg. S) (c)(h) | 635,000 | 863,520 | |
4,542,895 | |||
Multi-Utilities - 0.0% | |||
ELM BV for Firmenich International SA 3.75% (Reg. S) (c)(h) | 290,000 | 346,156 | |
Veolia Environnement SA 2% (Reg. S) (c)(h) | 1,300,000 | 1,459,439 | |
1,805,595 | |||
TOTAL UTILITIES | 6,348,490 | ||
TOTAL PREFERRED SECURITIES (Cost $132,023,718) | 127,078,468 | ||
Money Market Funds - 3.6% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 0.06% (s) | 603,832,554 | 603,953,320 | |
Fidelity Investments Money Market Government Portfolio Institutional Class 0.01% (q)(t) | 561,374,967 | 561,374,967 | |
Fidelity Securities Lending Cash Central Fund 0.07% (s)(u) | 378,462,106 | 378,499,953 | |
State Street Institutional U.S. Government Money Market Fund Premier Class 0.03% (t) | 193,130,227 | 193,130,227 | |
TOTAL MONEY MARKET FUNDS (Cost $1,736,954,822) | 1,736,958,467 | ||
Purchased Swaptions - 0.0% | ||||
Expiration Date | Notional Amount (a) | Value ($) | ||
Put Options - 0.0% | ||||
Option with an exercise rate of 3.125% on a credit default swap with BNP Paribas SA to buy protection on the 5-Year iTraxx Europe Crossover Series 36 Index expiring December 2026, paying 5% quarterly. (Cost $237,000) | 2/16/22 | EUR | 16,350,000 | 258,867 |
TOTAL INVESTMENT IN SECURITIES - 104.8% (Cost $50,515,510,480) | 51,297,785,530 |
NET OTHER ASSETS (LIABILITIES) - (4.8)% (v) | (2,363,689,368) |
NET ASSETS - 100.0% | 48,934,096,162 |
TBA Sale Commitments | ||
Principal Amount (a) | Value ($) | |
Ginnie Mae | ||
3.5% 12/1/51 | (5,400,000) | (5,639,394) |
3.5% 12/1/51 | (6,850,000) | (7,153,676) |
3.5% 12/1/51 | (4,400,000) | (4,595,062) |
3.5% 12/1/51 | (5,550,000) | (5,796,044) |
3.5% 12/1/51 | (5,400,000) | (5,639,394) |
3.5% 12/1/51 | (3,550,000) | (3,707,380) |
3.5% 12/1/51 | (3,450,000) | (3,602,946) |
3.5% 12/1/51 | (3,450,000) | (3,602,946) |
TOTAL GINNIE MAE | (39,736,842) | |
Uniform Mortgage Backed Securities | ||
2% 12/1/51 | (14,650,000) | (14,663,248) |
2% 12/1/51 | (14,650,000) | (14,663,248) |
2% 12/1/51 | (10,000,000) | (10,009,043) |
2% 12/1/51 | (10,000,000) | (10,009,043) |
2% 12/1/51 | (24,650,000) | (24,672,291) |
2% 12/1/51 | (14,350,000) | (14,362,977) |
2% 12/1/51 | (20,875,000) | (20,893,877) |
2% 12/1/51 | (13,550,000) | (13,562,253) |
2% 12/1/51 | (3,775,000) | (3,778,414) |
2% 12/1/51 | (900,000) | (900,814) |
2% 12/1/51 | (900,000) | (900,814) |
2% 12/1/51 | (1,100,000) | (1,100,995) |
2% 12/1/51 | (1,200,000) | (1,201,085) |
2% 12/1/51 | (14,350,000) | (14,362,977) |
2% 12/1/51 | (13,550,000) | (13,562,253) |
2% 1/1/52 | (1,500,000) | (1,498,427) |
2.5% 12/1/51 | (7,600,000) | (7,790,000) |
2.5% 12/1/51 | (8,000,000) | (8,200,000) |
2.5% 12/1/51 | (3,750,000) | (3,843,750) |
2.5% 12/1/51 | (3,850,000) | (3,946,250) |
2.5% 12/1/51 | (3,700,000) | (3,792,500) |
2.5% 12/1/51 | (8,000,000) | (8,200,000) |
2.5% 12/1/51 | (5,700,000) | (5,842,500) |
2.5% 12/1/51 | (2,600,000) | (2,665,000) |
2.5% 12/1/51 | (6,100,000) | (6,252,500) |
2.5% 12/1/51 | (650,000) | (666,250) |
2.5% 12/1/51 | (3,900,000) | (3,997,500) |
2.5% 12/1/51 | (4,200,000) | (4,305,000) |
2.5% 12/1/51 | (8,100,000) | (8,302,500) |
2.5% 12/1/51 | (6,900,000) | (7,072,500) |
2.5% 12/1/51 | (4,200,000) | (4,305,000) |
2.5% 12/1/51 | (3,600,000) | (3,690,000) |
2.5% 12/1/51 | (4,650,000) | (4,766,250) |
2.5% 12/1/51 | (5,450,000) | (5,586,250) |
2.5% 12/1/51 | (650,000) | (666,250) |
2.5% 12/1/51 | (6,900,000) | (7,072,500) |
2.5% 12/1/51 | (4,650,000) | (4,766,250) |
2.5% 12/1/51 | (8,100,000) | (8,302,500) |
2.5% 12/1/51 | (3,700,000) | (3,792,500) |
2.5% 12/1/51 | (5,450,000) | (5,586,250) |
2.5% 1/1/52 | (6,000,000) | (6,135,000) |
3% 12/1/51 | (2,600,000) | (2,699,328) |
3% 12/1/51 | (2,600,000) | (2,699,328) |
3% 12/1/51 | (7,300,000) | (7,578,883) |
3% 12/1/51 | (2,600,000) | (2,699,328) |
3% 12/1/51 | (1,400,000) | (1,453,484) |
3% 12/1/51 | (5,700,000) | (5,917,758) |
3% 12/1/51 | (2,600,000) | (2,699,328) |
3% 12/1/51 | (3,900,000) | (4,048,992) |
3% 12/1/51 | (4,200,000) | (4,360,453) |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | (323,843,641) | |
TOTAL TBA SALE COMMITMENTS (Proceeds $362,070,484) | (363,580,483) |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
Purchased | |||||
Bond Index Contracts | |||||
ASX 10 Year Treasury Bond Index Contracts (Australia) | 11 | Dec 2021 | 1,093,008 | (36,058) | (36,058) |
Eurex Euro-Bund Contracts (Germany) | 78 | Dec 2021 | 15,247,816 | 88,727 | 88,727 |
Eurex Euro-Buxl 30 Year Bond Contracts (Germany) | 23 | Dec 2021 | 5,689,508 | 261,035 | 261,035 |
TME 10 Year Canadian Note Contracts (Canada) | 56 | Mar 2022 | 6,188,078 | 92,358 | 92,358 |
TOTAL BOND INDEX CONTRACTS | 406,062 | ||||
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 490 | Mar 2022 | 64,098,125 | 569,956 | 569,956 |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 197 | Mar 2022 | 23,915,492 | 78,551 | 78,551 |
CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States) | 65 | Mar 2022 | 9,547,891 | 122,701 | 122,701 |
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | 230 | Mar 2022 | 46,129,375 | 1,543,178 | 1,543,178 |
TOTAL TREASURY CONTRACTS | 2,314,386 | ||||
TOTAL PURCHASED | 2,720,448 | ||||
Sold | |||||
Bond Index Contracts | |||||
Eurex Euro-Bobl Contracts (Germany) | 93 | Dec 2021 | 14,291,361 | (13,199) | (13,199) |
ICE Long Gilt Contracts (United Kingdom) | 74 | Mar 2022 | 12,428,010 | (114,328) | (114,328) |
TOTAL BOND INDEX CONTRACTS | (127,527) | ||||
Treasury Contracts | |||||
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 720 | Mar 2022 | 157,488,750 | (98,967) | (98,967) |
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 470 | Mar 2022 | 76,198,750 | (1,225,986) | (1,225,986) |
TOTAL TREASURY CONTRACTS | (1,324,953) | ||||
TOTAL SOLD | (1,452,480) | ||||
TOTAL FUTURES CONTRACTS | 1,267,968 | ||||
The notional amount of futures purchased as a percentage of Net Assets is 0.2% | |||||
The notional amount of futures sold as a percentage of Net Assets is 0.5% |
Forward Foreign Currency Contracts | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) ($) | ||
USD | 62,568 | CAD | 80,000 | JPMorgan Chase Bank, N.A. | 12/01/21 | (57) |
USD | 153,203 | EUR | 136,000 | State Street Bank And Trust Co | 12/01/21 | (1,035) |
EUR | 83,151,675 | USD | 93,568,446 | BNP Paribas | 12/02/21 | 733,868 |
EUR | 2,452,028 | USD | 2,755,577 | Citibank N.A. | 12/02/21 | 25,268 |
GBP | 20,694,624 | USD | 27,677,280 | Barclays Bank Plc Wholesale | 12/02/21 | (154,465) |
GBP | 40,000 | USD | 52,974 | Brown Brothers Harriman & Co. | 12/02/21 | 224 |
USD | 99,399,767 | EUR | 85,603,703 | Barclays Bank Plc Wholesale | 12/02/21 | 2,316,608 |
USD | 126,263 | EUR | 112,000 | JPMorgan Chase Bank, N.A. | 12/02/21 | (756) |
USD | 993,119 | GBP | 727,125 | Bank Of America NA | 12/02/21 | 26,079 |
USD | 27,456,589 | GBP | 19,967,499 | Btig Llc (GB) | 12/02/21 | 900,814 |
USD | 93,725,187 | EUR | 83,151,675 | BNP Paribas | 1/12/22 | (736,672) |
USD | 27,697,737 | GBP | 20,694,624 | Barclays Bank Plc Wholesale | 1/12/22 | 151,342 |
EUR | 130,000 | USD | 150,382 | Goldman Sachs Bank USA | 1/13/22 | (2,696) |
EUR | 63,000 | USD | 73,778 | JPMorgan Chase Bank, N.A. | 1/13/22 | (2,207) |
EUR | 95,000 | USD | 110,184 | JPMorgan Chase Bank, N.A. | 1/13/22 | (2,260) |
EUR | 401,000 | USD | 454,797 | JPMorgan Chase Bank, N.A. | 1/13/22 | 756 |
EUR | 120,000 | USD | 139,067 | State Street Bank And Trust Co | 1/13/22 | (2,742) |
EUR | 158,000 | USD | 183,494 | State Street Bank And Trust Co | 1/13/22 | (3,999) |
EUR | 399,000 | USD | 463,210 | State Street Bank And Trust Co | 1/13/22 | (9,928) |
EUR | 519,000 | USD | 585,528 | State Street Bank And Trust Co | 1/13/22 | 4,079 |
EUR | 165,000 | USD | 186,179 | State Street Bank And Trust Co | 1/13/22 | 1,268 |
GBP | 114,000 | USD | 155,826 | State Street Bank And Trust Co | 1/13/22 | (4,082) |
GBP | 167,000 | USD | 223,680 | State Street Bank And Trust Co | 1/13/22 | (1,388) |
GBP | 81,000 | USD | 108,098 | State Street Bank And Trust Co | 1/13/22 | (280) |
USD | 112,476 | AUD | 150,000 | BNP Paribas | 1/13/22 | 5,488 |
USD | 121,046 | CAD | 150,000 | Royal Bank Of Canada | 1/13/22 | 3,568 |
USD | 115,832 | EUR | 101,000 | BNP Paribas | 1/13/22 | 1,091 |
USD | 39,677 | EUR | 35,000 | BNP Paribas | 1/13/22 | (85) |
USD | 74,518,458 | EUR | 64,173,000 | Citibank NA | 1/13/22 | 1,615,131 |
USD | 300,834 | EUR | 259,000 | Citibank NA | 1/13/22 | 6,598 |
USD | 205,400 | EUR | 181,000 | JPMorgan Chase Bank, N.A. | 1/13/22 | (224) |
USD | 749,244 | EUR | 668,000 | Royal Bank Of Canada | 1/13/22 | (9,634) |
USD | 165,993 | EUR | 143,000 | State Street Bank And Trust Co | 1/13/22 | 3,538 |
USD | 1,573,907 | EUR | 1,364,000 | State Street Bank And Trust Co | 1/13/22 | 24,344 |
USD | 36,696,561 | GBP | 26,651,000 | BNP Paribas | 1/13/22 | 1,221,687 |
USD | 516,470 | GBP | 381,000 | BNP Paribas | 1/13/22 | 9,325 |
USD | 263,358 | GBP | 196,000 | BNP Paribas | 1/13/22 | 2,465 |
USD | 306,284 | GBP | 227,000 | BNP Paribas | 1/13/22 | 4,126 |
USD | 396,232 | GBP | 297,000 | BNP Paribas | 1/13/22 | 898 |
USD | 132,546 | GBP | 100,000 | Brown Brothers Harriman & Co. | 1/13/22 | (563) |
USD | 129,808 | GBP | 94,000 | Goldman Sachs Bank USA | 1/13/22 | 4,685 |
USD | 209,736 | GBP | 153,000 | JPMorgan Chase Bank, N.A. | 1/13/22 | 6,080 |
USD | 197,593 | GBP | 147,000 | JPMorgan Chase Bank, N.A. | 1/13/22 | 1,923 |
USD | 67,860 | GBP | 51,000 | Royal Bank Of Canada | 1/13/22 | (26) |
USD | 163,447 | GBP | 121,000 | State Street Bank And Trust Co | 1/13/22 | 2,385 |
USD | 108,511 | GBP | 80,000 | State Street Bank And Trust Co | 1/13/22 | 2,024 |
USD | 935,650 | GBP | 694,000 | State Street Bank And Trust Co | 1/13/22 | 11,874 |
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS | 6,154,437 | |||||
Unrealized Appreciation | 7,087,536 | |||||
Unrealized Depreciation | (933,099) |
Credit Default Swaps | ||||||||||
Underlying Reference | Maturity Date | Clearinghouse / Counterparty | Fixed Payment Received/ (Paid) | Payment Frequency | Notional Amount(1) | Value ($) | Upfront Premium Received/ (Paid) ($) | Unrealized Appreciation/ (Depreciation) ($) | ||
Buy Protection | ||||||||||
BMW Finance NV | Dec 2026 | Citibank, N.A. | (1%) | Quarterly | EUR | 1,500,000 | (49,646) | 48,945 | (701) | |
CMBX N.A. AAA Index Series 12 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 4,250,000 | 3,025 | 13,308 | 16,333 | ||
CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 4,360,000 | 3,103 | 14,564 | 17,667 | ||
CMBX N.A. AAA Index Series 13 | Dec 2072 | Goldman Sachs & Co. LLC | (0.5%) | Monthly | 400,000 | 285 | 1,083 | 1,368 | ||
Daimler AG | Dec 2026 | Citibank, N.A. | (1%) | Quarterly | EUR | 1,500,000 | (44,664) | 39,871 | (4,793) | |
Deutsche Bank AG | Dec 2026 | Citibank, N.A. | (1%) | Quarterly | EUR | 1,550,000 | (16,737) | 23,607 | 6,870 | |
Intesa Sanpaolo SpA | Dec 2026 | JPMorgan Chase Bank, N.A. | (1%) | Quarterly | EUR | 1,500,000 | (31,831) | 38,968 | 7,137 | |
Shell International Finance BV | Dec 2026 | Citibank, N.A. | (1%) | Quarterly | EUR | 1,500,000 | (55,398) | 55,345 | (53) | |
TOTAL CREDIT DEFAULT SWAPS | (191,863) | 235,691 | 43,828 |
(1)Notional amount is stated in U.S. Dollars unless otherwise noted
Interest Rate Swaps | ||||||||||
Payment Received | Payment Frequency | Payment Paid | Payment Frequency | Clearinghouse / Counterparty(1) | Maturity Date | Notional Amount(2) | Value ($) | Upfront Premium Received/ (Paid) ($)(3) | Unrealized Appreciation/ (Depreciation) ($) | |
0.5% | Semi - annual | 3-month LIBOR(4) | Quarterly | LCH | Dec 2023 | 15,309,000 | (122,502) | 0 | (122,502) | |
1.03% | Semi - annual | 3-month LIBOR(4) | Quarterly | CME | Jul 2025 | 59,390,000 | (621,824) | 0 | (621,824) | |
1.03% | Semi - annual | 3-month LIBOR(4) | Quarterly | CME | Jul 2025 | 43,930,000 | (454,830) | 0 | (454,830) | |
1.07% | Semi - annual | 3-month LIBOR(4) | Quarterly | CME | Jul 2025 | 29,695,000 | (313,435) | 0 | (313,435) | |
1.39% | Semi - annual | 3-month LIBOR(4) | Quarterly | CME | Sep 2025 | 99,195,000 | (366,551) | 0 | (366,551) | |
1.25% | Semi - annual | 3-month LIBOR(4) | Quarterly | LCH | Dec 2026 | 16,012,000 | (278,378) | 0 | (278,378) | |
1.75% | Semi - annual | 3-month LIBOR(4) | Quarterly | LCH | Dec 2031 | 2,843,000 | (43,528) | 0 | (43,528) | |
2% | Semi - annual | 3-month LIBOR(4) | Quarterly | LCH | Dec 2051 | 668,000 | 3,811 | 0 | 3,811 | |
3-month LIBOR(4) | Quarterly | 1.77% | Semi - annual | CME | Jul 2053 | 4,960,000 | (75,150) | 0 | (75,150) | |
3-month LIBOR(4) | Quarterly | 1.79% | Semi - annual | CME | Jul 2053 | 3,675,000 | (55,547) | 0 | (55,547) | |
3-month LIBOR(4) | Quarterly | 1.81% | Semi - annual | CME | Jul 2053 | 2,480,000 | (25,504) | 0 | (25,504) | |
3-month LIBOR(4) | Quarterly | 1.87% | Semi - annual | CME | Sep 2053 | 8,465,000 | (353,307) | 0 | (353,307) | |
TOTAL INTEREST RATE SWAPS | (2,706,745) | 0 | (2,706,745) |
(1)Swaps with CME Group (CME) and LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps.
(2)Notional amount is stated in U.S. Dollars unless otherwise noted
(3)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).
(4)Represents floating rate.
Currency Abbreviations
AUD | - | Australian dollar |
CAD | - | Canadian dollar |
EUR | - | European Monetary Unit |
GBP | - | British pound |
USD | - | U.S. dollar |
Security Type Abbreviations
ETF | - | EXCHANGE-TRADED FUND |
Legend
(a) | Amount is stated in United States dollars unless otherwise noted. |
(b) | 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 $2,794,261,727 or 5.7% of net assets. |
(c) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(d) | Non-income producing - Security is in default. |
(e) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(f) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. |
(g) | Level 3 security |
(h) | Security is perpetual in nature with no stated maturity date. |
(i) | 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 $3,060,499. |
(j) | 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 $817,289. |
(k) | 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 $872,976. |
(l) | 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. |
(m) | 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. |
(n) | 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. |
(o) | Remaining maturities of bank loan obligations may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty. |
(p) | The coupon rate will be determined upon settlement of the loan after period end. |
(q) | Affiliated Fund |
(r) | Security or a portion of the security is on loan at period end. |
(s) | 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. |
(t) | The rate quoted is the annualized seven-day yield of the fund at period end. |
(u) | Investment made with cash collateral received from securities on loan. |
(v) | Includes $2,143,000 of cash collateral to cover margin requirements for futures contracts. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | %ownership, end of period |
Fidelity Cash Central Fund 0.06% | 499,673,965 | 1,560,459,422 | 1,456,180,067 | 282,556 | - | - | 603,953,320 | 1.0% |
Fidelity Securities Lending Cash Central Fund 0.07% | 815,150,050 | 4,793,496,866 | 5,230,146,963 | 1,556,895 | - | - | 378,499,953 | 1.2% |
Total | 1,314,824,015 | 6,353,956,288 | 6,686,327,030 | 1,839,451 | - | - | 982,453,273 |
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 is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur. If an Underlying Fund changes its name, the name presented below is the name in effect at period end.
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
Fidelity Investments Money Market Government Portfolio Institutional Class 0.01% | 289,245,261 | 2,705,031,698 | 2,432,902,006 | 37,200 | 14 | - | 561,374,967 |
Fidelity SAI Long-Term Treasury Bond Index Fund | - | 1,328,178,204 | 750,000,000 | 3,178,204 | (27,519,863) | 28,719,736 | 579,378,077 |
Fidelity SAI Total Bond Fund | 6,210,522,165 | 131,708,015 | 10,000,000 | 131,706,584 | (229,446) | (23,739,195) | 6,308,261,539 |
Fidelity SAI U.S. Treasury Bond Index Fund | 443,836,473 | 1,548,797,095 | 400,010,040 | 6,575,244 | (12,574,667) | 19,321,714 | 1,599,370,575 |
Fidelity U.S. Bond Index Fund | 90,464,916 | 370,256,051 | 260,622,879 | 2,671,867 | (4,407,412) | 2,363,413 | 198,054,089 |
7,034,068,815 | 6,083,971,063 | 3,853,534,925 | 144,169,099 | (44,731,374) | 26,665,668 | 9,246,439,247 |
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 inputs to valuation techniques used to value investments are categorized into a disclosure hierarchy consisting of three levels as shown below:
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)
Valuation techniques used to value investments by major category are as follows:
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 any foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be 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.
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. Nonconvertible Bonds, U.S. Government and Government Agency Obligations, Municipal Securities, Foreign Government and Government Agency Obligations, Bank Loan Obligations, Bank Notes and Preferred Securities 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. U.S. Government Agency - Mortgage Securities, Asset-Backed Securities, Collateralized Mortgage Obligations and Commercial 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.
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, swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Exchange-Traded Funds (ETFs) and Exchange-Traded Notes (ETNs) 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 and ETNs 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 and ETNs 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.
The U.S. dollar value of foreign currency contracts is determined using currency exchange rates supplied by a pricing vendor and are 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 any open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. If an unaffiliated open-end mutual fund's NAV 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.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy.
Derivative Instruments
Risk Exposures and the Use of Derivative Instruments: The Fund's investment objectives allow the Fund to enter into various types of derivative contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns, to gain exposure to certain types of assets and/or to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risk(s):
Credit Risk - Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund.
Foreign Exchange Risk - Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates.
Interest Rate Risk - Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates.
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund.
Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net the amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. For OTC written options with upfront premiums received, the Fund is obligated to perform and therefore does not have counterparty risk. For OTC written options with premiums to be received at a future date, the maximum risk of loss from counterparty credit risk is the amount of the premium in excess of any collateral pledged by the counterparty. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared OTC swaps may be mitigated by the protection provided by the clearinghouse.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Forward Foreign Currency Contracts: Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into.
The Fund used forward foreign currency contracts to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.
Open forward foreign currency contracts at period end are presented in the Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end.
Futures Contracts: A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a specified price at a specified future date.
The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.
Open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end. Any securities and/or cash deposited to meet initial margin requirements are identified in the Schedule of Investments.
Options: Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date.
The Fund used OTC options, such as swaptions, which are options where the underlying instrument is a swap, to manage its exposure to fluctuations in interest rates and/or potential credit events.
Open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions." Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.
Swaps: A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount.
A centrally cleared OTC swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.
A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap.
Credit Default Swaps: Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs. For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index. Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/ performance risk.
Interest Rate Swaps: Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.
Open swaps at period end are included in the Schedule of Investments under the caption Credit Default Swaps, Interest Rate Swaps and/or Total Return Swaps, as applicable.
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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