Quarterly Holdings Report
for
Strategic Advisers® Short Duration Fund
Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general public
February 28, 2022
ASD-NPRT3-0422
1.934462.110
Nonconvertible Bonds - 22.9% | |||
Principal Amount (a) | Value ($) | ||
COMMUNICATION SERVICES - 1.1% | |||
Diversified Telecommunication Services - 0.5% | |||
AT&T, Inc. 0.9% 3/25/24 | 2,145,000 | 2,108,060 | |
NBN Co. Ltd. 1.45% 5/5/26 (b) | 1,765,000 | 1,682,624 | |
NTT Finance Corp.: | |||
0.373% 3/3/23 (b) | 5,265,000 | 5,208,850 | |
0.583% 3/1/24 (b) | 2,184,000 | 2,121,280 | |
SBA Tower Trust 3.448% 3/15/48 (b) | 880,000 | 882,646 | |
Verizon Communications, Inc.: | |||
3 month U.S. LIBOR + 1.000% 1.2109% 3/16/22 (c)(d) | 15,233,000 | 15,238,501 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.500% 0.5491% 3/22/24 (c)(d) | 2,563,000 | 2,569,501 | |
0.85% 11/20/25 | 710,000 | 675,339 | |
1.45% 3/20/26 | 1,155,000 | 1,115,633 | |
2.625% 8/15/26 | 640,000 | 639,070 | |
32,241,504 | |||
Entertainment - 0.1% | |||
The Walt Disney Co.: | |||
1.75% 1/13/26 | 505,000 | 495,663 | |
3% 9/15/22 | 4,273,000 | 4,318,426 | |
4,814,089 | |||
Interactive Media & Services - 0.0% | |||
Baidu, Inc. 3.5% 11/28/22 | 780,000 | 789,025 | |
Media - 0.3% | |||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
4.464% 7/23/22 | 3,670,000 | 3,696,853 | |
4.908% 7/23/25 | 3,030,000 | 3,211,898 | |
COX Communications, Inc.: | |||
2.95% 6/30/23 (b) | 1,950,000 | 1,974,708 | |
3.15% 8/15/24 (b) | 796,000 | 811,827 | |
RELX Capital, Inc. 3.5% 3/16/23 | 575,000 | 584,673 | |
SES SA 3.6% 4/4/23 (b) | 1,850,000 | 1,874,837 | |
SKY PLC 3.75% 9/16/24 (b) | 3,870,000 | 4,019,791 | |
TWDC Enterprises 18 Corp. 3 month U.S. LIBOR + 0.390% 0.5701% 3/4/22 (c)(d) | 5,000,000 | 5,000,122 | |
21,174,709 | |||
Wireless Telecommunication Services - 0.2% | |||
CC Holdings GS V LLC/Crown Castle GS III Corp. 3.849% 4/15/23 | 2,615,000 | 2,670,605 | |
Rogers Communications, Inc. 3 month U.S. LIBOR + 0.600% 0.8143% 3/22/22 (c)(d) | 5,520,000 | 5,520,877 | |
T-Mobile U.S.A., Inc. 3.5% 4/15/25 | 1,005,000 | 1,033,160 | |
9,224,642 | |||
TOTAL COMMUNICATION SERVICES | 68,243,969 | ||
CONSUMER DISCRETIONARY - 1.4% | |||
Auto Components - 0.0% | |||
Aptiv PLC / Aptiv Corp. 2.396% 2/18/25 | 815,000 | 815,252 | |
Automobiles - 1.0% | |||
American Honda Finance Corp.: | |||
3 month U.S. LIBOR + 0.150% 0.6296% 2/22/23 (c)(d) | 3,342,000 | 3,343,850 | |
0.4% 10/21/22 | 2,775,000 | 2,764,699 | |
BMW U.S. Capital LLC U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.530% 0.5792% 4/1/24 (b)(c)(d) | 5,925,000 | 5,958,507 | |
Daimler Finance North America LLC: | |||
3 month U.S. LIBOR + 0.840% 1.1506% 5/4/23 (b)(c)(d) | 3,240,000 | 3,259,390 | |
1.75% 3/10/23 (b) | 1,800,000 | 1,801,921 | |
General Motors Co.: | |||
4.875% 10/2/23 | 730,000 | 762,076 | |
5.4% 10/2/23 | 1,130,000 | 1,187,188 | |
General Motors Financial Co., Inc.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.000% 0.6689% 10/15/24 (c)(d) | 4,200,000 | 4,185,945 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.760% 0.8093% 3/8/24 (c)(d) | 4,061,000 | 4,070,001 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 1.200% 1.25% 11/17/23 (c)(d) | 5,000,000 | 5,046,826 | |
2.9% 2/26/25 | 2,035,000 | 2,046,652 | |
3.25% 1/5/23 | 5,000,000 | 5,066,765 | |
Harley-Davidson Financial Services, Inc. 2.55% 6/9/22 (b) | 375,000 | 376,229 | |
Hyundai Capital Services, Inc. 2.125% 4/24/25 (b) | 380,000 | 371,383 | |
Nissan Motor Acceptance Corp.: | |||
2.6% 9/28/22 (b) | 1,610,000 | 1,620,226 | |
2.65% 7/13/22 (b) | 560,000 | 562,432 | |
Nissan Motor Co. Ltd. 3.043% 9/15/23 (b) | 1,800,000 | 1,816,897 | |
Stellantis Finance U.S., Inc. 1.711% 1/29/27 (b) | 675,000 | 641,996 | |
Volkswagen Group of America Finance LLC: | |||
0.75% 11/23/22 (b) | 10,620,000 | 10,550,413 | |
0.875% 11/22/23 (b) | 590,000 | 577,778 | |
2.7% 9/26/22 (b) | 650,000 | 653,822 | |
2.9% 5/13/22 (b) | 5,663,000 | 5,683,597 | |
3.125% 5/12/23 (b) | 355,000 | 360,127 | |
62,708,720 | |||
Distributors - 0.0% | |||
Genuine Parts Co. 1.75% 2/1/25 | 410,000 | 403,032 | |
Hotels, Restaurants & Leisure - 0.1% | |||
Expedia, Inc. 3.6% 12/15/23 | 1,270,000 | 1,298,100 | |
Hyatt Hotels Corp. 1.3% 10/1/23 | 565,000 | 556,029 | |
Marriott International, Inc.: | |||
3.125% 2/15/23 | 290,000 | 292,530 | |
3.6% 4/15/24 | 1,750,000 | 1,796,468 | |
4.15% 12/1/23 | 175,000 | 180,524 | |
Starbucks Corp.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Averages Indx + 0.420% 0.47% 2/14/24 (c)(d) | 4,193,000 | 4,196,224 | |
2.7% 6/15/22 | 435,000 | 435,852 | |
8,755,727 | |||
Household Durables - 0.0% | |||
Panasonic Corp. 2.536% 7/19/22 (b) | 785,000 | 787,491 | |
Internet & Direct Marketing Retail - 0.1% | |||
QVC, Inc. 4.375% 3/15/23 | 3,565,000 | 3,627,352 | |
Leisure Products - 0.0% | |||
Brunswick Corp. 0.85% 8/18/24 | 1,190,000 | 1,144,557 | |
Hasbro, Inc. 3% 11/19/24 | 1,915,000 | 1,947,682 | |
3,092,239 | |||
Multiline Retail - 0.0% | |||
Nordstrom, Inc. 2.3% 4/8/24 | 150,000 | 144,375 | |
Specialty Retail - 0.1% | |||
AutoZone, Inc. 3.625% 4/15/25 | 485,000 | 501,803 | |
O'Reilly Automotive, Inc. 3.8% 9/1/22 | 385,000 | 387,484 | |
Ross Stores, Inc.: | |||
0.875% 4/15/26 | 450,000 | 425,577 | |
4.6% 4/15/25 | 2,310,000 | 2,464,340 | |
Triton Container International Ltd. 0.8% 8/1/23 (b) | 1,350,000 | 1,325,357 | |
5,104,561 | |||
Textiles, Apparel & Luxury Goods - 0.1% | |||
VF Corp. 2.05% 4/23/22 | 3,386,000 | 3,391,925 | |
TOTAL CONSUMER DISCRETIONARY | 88,830,674 | ||
CONSUMER STAPLES - 0.7% | |||
Beverages - 0.0% | |||
Anheuser-Busch Companies LLC / Anheuser-Busch InBev Worldwide, Inc. 3.65% 2/1/26 | 495,000 | 517,080 | |
Coca-Cola European Partners PLC 0.8% 5/3/24 (b) | 2,005,000 | 1,950,656 | |
Diageo Capital PLC 1.375% 9/29/25 | 680,000 | 657,633 | |
3,125,369 | |||
Food & Staples Retailing - 0.0% | |||
7-Eleven, Inc.: | |||
0.625% 2/10/23 (b) | 1,072,000 | 1,063,419 | |
0.8% 2/10/24 (b) | 1,448,000 | 1,413,273 | |
Prosperous Ray Ltd. 4.625% 11/12/23 (Reg. S) | 600,000 | 622,238 | |
3,098,930 | |||
Food Products - 0.2% | |||
Bunge Ltd. Finance Corp.: | |||
3% 9/25/22 | 3,375,000 | 3,401,260 | |
4.35% 3/15/24 | 130,000 | 135,064 | |
China Mengniu Dairy Co. Ltd. 1.875% 6/17/25 (Reg. S) | 2,004,000 | 1,950,393 | |
JDE Peet's BV 0.8% 9/24/24 (b) | 515,000 | 493,261 | |
Mondelez International, Inc. 0.625% 7/1/22 | 6,350,000 | 6,338,859 | |
12,318,837 | |||
Tobacco - 0.5% | |||
BAT International Finance PLC 1.668% 3/25/26 | 885,000 | 840,462 | |
Imperial Tobacco Finance PLC: | |||
3.125% 7/26/24 (b) | 1,865,000 | 1,885,688 | |
3.5% 2/11/23 (b) | 14,424,000 | 14,551,409 | |
3.75% 7/21/22 (b) | 3,390,000 | 3,404,004 | |
Philip Morris International, Inc. 1.125% 5/1/23 | 8,991,000 | 8,959,705 | |
29,641,268 | |||
TOTAL CONSUMER STAPLES | 48,184,404 | ||
ENERGY - 1.1% | |||
Energy Equipment & Services - 0.0% | |||
Baker Hughes Co. 1.231% 12/15/23 | 1,215,000 | 1,202,720 | |
Schlumberger Finance Canada Ltd. 1.4% 9/17/25 | 290,000 | 281,526 | |
Schlumberger Holdings Corp.: | |||
3.75% 5/1/24 (b) | 1,515,000 | 1,557,584 | |
4% 12/21/25 (b) | 375,000 | 391,573 | |
3,433,403 | |||
Oil, Gas & Consumable Fuels - 1.1% | |||
Aker BP ASA 3% 1/15/25 (b) | 995,000 | 1,005,435 | |
Canadian Natural Resources Ltd. 2.05% 7/15/25 | 1,430,000 | 1,404,388 | |
Cheniere Corpus Christi Holdings LLC: | |||
5.875% 3/31/25 | 1,470,000 | 1,587,425 | |
7% 6/30/24 | 2,000,000 | 2,162,807 | |
Chevron Corp.: | |||
3 month U.S. LIBOR + 0.480% 0.6546% 3/3/22 (c)(d) | 4,700,000 | 4,700,047 | |
1.141% 5/11/23 | 4,174,000 | 4,158,750 | |
ConocoPhillips Co. 2.125% 3/8/24 (e) | 10,000,000 | 10,005,510 | |
Devon Energy Corp. 8.25% 8/1/23 | 525,000 | 564,741 | |
Diamondback Energy, Inc.: | |||
2.875% 12/1/24 | 2,720,000 | 2,752,267 | |
4.75% 5/31/25 | 1,080,000 | 1,149,467 | |
Enbridge, Inc.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Averages Indx + 0.630% 0.68% 2/16/24 (c)(d) | 4,149,000 | 4,159,622 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.400% 0.45% 2/17/23 (c)(d) | 1,892,000 | 1,890,106 | |
0.55% 10/4/23 | 5,000,000 | 4,894,207 | |
2.5% 1/15/25 | 1,115,000 | 1,116,297 | |
2.5% 2/14/25 | 615,000 | 617,027 | |
4% 10/1/23 | 1,605,000 | 1,646,440 | |
Energy Transfer LP: | |||
2.9% 5/15/25 | 255,000 | 256,140 | |
3.45% 1/15/23 | 110,000 | 111,255 | |
4.2% 9/15/23 | 280,000 | 287,930 | |
4.25% 3/15/23 | 1,795,000 | 1,829,353 | |
4.25% 4/1/24 | 70,000 | 72,057 | |
4.9% 2/1/24 | 620,000 | 645,284 | |
5.875% 1/15/24 | 2,375,000 | 2,509,944 | |
Eni SpA 4% 9/12/23 (b) | 1,610,000 | 1,656,701 | |
EOG Resources, Inc. 2.625% 3/15/23 | 291,000 | 293,321 | |
EQT Corp. 3% 10/1/22 | 2,275,000 | 2,294,110 | |
Gray Oak Pipeline LLC: | |||
2% 9/15/23 (b) | 605,000 | 603,668 | |
2.6% 10/15/25 (b) | 385,000 | 380,689 | |
Kinder Morgan Energy Partners LP 3.95% 9/1/22 | 135,000 | 135,831 | |
Pioneer Natural Resources Co. 0.55% 5/15/23 | 3,792,000 | 3,743,070 | |
Plains All American Pipeline LP/PAA Finance Corp. 2.85% 1/31/23 | 1,275,000 | 1,284,445 | |
Sabine Pass Liquefaction LLC: | |||
5.625% 4/15/23 (c) | 2,530,000 | 2,612,598 | |
5.625% 3/1/25 | 510,000 | 550,319 | |
5.75% 5/15/24 | 100,000 | 106,387 | |
Saudi Arabian Oil Co. 2.75% 4/16/22 (b) | 1,815,000 | 1,820,445 | |
Suncor Energy, Inc. 2.8% 5/15/23 | 975,000 | 985,572 | |
The Williams Companies, Inc.: | |||
3.35% 8/15/22 | 200,000 | 200,940 | |
3.7% 1/15/23 | 2,205,000 | 2,235,794 | |
4.3% 3/4/24 | 305,000 | 316,254 | |
Western Gas Partners LP 4% 7/1/22 | 1,800,000 | 1,800,000 | |
70,546,643 | |||
TOTAL ENERGY | 73,980,046 | ||
FINANCIALS - 12.9% | |||
Banks - 7.1% | |||
AIB Group PLC 4.75% 10/12/23 (b) | 1,115,000 | 1,154,743 | |
Banco Bilbao Vizcaya Argentaria SA 0.875% 9/18/23 | 2,000,000 | 1,971,530 | |
Banco del Estado de Chile 2.704% 1/9/25 (b) | 665,000 | 663,462 | |
Banco Santander Mexico SA 4.125% 11/9/22 (Reg. S) | 1,750,000 | 1,774,500 | |
Banco Santander SA 0.701% 6/30/24 (c) | 200,000 | 196,542 | |
Bank of America Corp.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.660% 0.7093% 2/4/25 (c)(d) | 10,000,000 | 10,006,900 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.690% 0.7389% 4/22/25 (c)(d) | 10,000,000 | 10,022,700 | |
0.523% 6/14/24 (c) | 1,210,000 | 1,188,000 | |
0.81% 10/24/24 (c) | 755,000 | 736,898 | |
0.976% 4/22/25 (c) | 1,050,000 | 1,017,567 | |
1.734% 7/22/27 (c) | 765,000 | 730,240 | |
1.843% 2/4/25 (c) | 850,000 | 841,718 | |
Bank of Ireland Group PLC 4.5% 11/25/23 (b) | 2,655,000 | 2,743,927 | |
Bank of Montreal: | |||
3 month U.S. LIBOR + 0.570% 0.7898% 3/26/22 (c)(d) | 5,000,000 | 5,002,298 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.260% 0.3142% 9/15/23 (c)(d) | 10,000,000 | 9,986,804 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.270% 0.3189% 4/14/23 (c)(d) | 8,000,000 | 7,986,283 | |
Bank of Nova Scotia: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.260% 0.3092% 9/15/23 (c)(d) | 5,000,000 | 4,995,341 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.380% 0.4294% 7/31/24 (c)(d) | 5,000,000 | 4,993,899 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.440% 0.4939% 4/15/24 (c)(d) | 10,000,000 | 10,011,769 | |
1.45% 1/10/25 | 1,720,000 | 1,681,591 | |
Banque Federative du Credit Mutuel SA: | |||
0.65% 2/27/24 (b) | 860,000 | 833,110 | |
0.998% 2/4/25 (b) | 1,145,000 | 1,099,443 | |
2.125% 11/21/22 (b) | 4,457,000 | 4,479,721 | |
Barclays Bank PLC 1.7% 5/12/22 | 650,000 | 650,562 | |
Barclays PLC 4.338% 5/16/24 (c) | 660,000 | 678,226 | |
BNP Paribas SA: | |||
2.591% 1/20/28 (b)(c) | 1,150,000 | 1,118,084 | |
3.5% 3/1/23 (b) | 10,000,000 | 10,159,782 | |
BPCE SA: | |||
3 month U.S. LIBOR + 1.220% 1.6996% 5/22/22 (b)(c)(d) | 1,605,000 | 1,608,630 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.570% 0.6189% 1/14/25 (b)(c)(d) | 3,533,000 | 3,527,910 | |
3% 5/22/22 (b) | 5,508,000 | 5,528,048 | |
5.7% 10/22/23 (b) | 2,910,000 | 3,055,750 | |
Canadian Imperial Bank of Commerce: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.340% 0.3891% 6/22/23 (c)(d) | 5,885,000 | 5,880,233 | |
0.95% 6/23/23 | 7,200,000 | 7,125,015 | |
Citigroup, Inc.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.690% 0.7436% 1/25/26 (c)(d) | 10,000,000 | 10,010,100 | |
0.981% 5/1/25 (c) | 1,880,000 | 1,826,110 | |
2.7% 10/27/22 | 15,130,000 | 15,257,446 | |
Credit Agricole SA 3 month U.S. LIBOR + 1.020% 1.2789% 4/24/23 (b)(c)(d) | 675,000 | 680,228 | |
Credit Suisse Group Funding Guernsey Ltd. 3.8% 9/15/22 | 10,000,000 | 10,129,594 | |
Danske Bank A/S: | |||
1.226% 6/22/24 (b) | 1,610,000 | 1,575,531 | |
5.375% 1/12/24 (b) | 775,000 | 816,851 | |
Discover Bank 4.2% 8/8/23 | 1,075,000 | 1,106,427 | |
Federation des caisses Desjardin U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.430% 0.48% 5/21/24 (b)(c)(d) | 5,316,000 | 5,313,364 | |
Fifth Third Bancorp 1.625% 5/5/23 | 10,625,000 | 10,610,567 | |
First Republic Bank 2.5% 6/6/22 | 6,050,000 | 6,063,777 | |
HSBC Holdings PLC: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.580% 0.63% 11/22/24 (c)(d) | 10,000,000 | 10,010,088 | |
0.976% 5/24/25 (c) | 245,000 | 236,812 | |
1.162% 11/22/24 (c) | 750,000 | 733,623 | |
1.645% 4/18/26 (c) | 850,000 | 819,403 | |
2.099% 6/4/26 (c) | 645,000 | 628,811 | |
3.262% 3/13/23 (c) | 15,300,000 | 15,307,967 | |
3.803% 3/11/25 (c) | 425,000 | 435,310 | |
ING Groep NV 3 month U.S. LIBOR + 1.150% 1.3698% 3/29/22 (c)(d) | 735,000 | 735,528 | |
Intesa Sanpaolo SpA 3.125% 7/14/22 (b) | 7,500,000 | 7,538,578 | |
JPMorgan Chase & Co.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.530% 0.585% 6/1/25 (c)(d) | 10,000,000 | 9,962,462 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.580% 0.6292% 3/16/24 (c)(d) | 5,000,000 | 5,007,809 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.880% 0.9337% 4/22/27 (c)(d) | 747,000 | 749,962 | |
0.824% 6/1/25 (c) | 965,000 | 933,644 | |
2.083% 4/22/26 (c) | 1,870,000 | 1,842,024 | |
2.776% 4/25/23 (c) | 5,200,000 | 5,209,169 | |
KeyBank NA: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.320% 0.37% 6/14/24 (c)(d) | 10,000,000 | 9,964,175 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.340% 0.39% 1/3/24 (c)(d) | 6,000,000 | 5,992,977 | |
Lloyds Banking Group PLC: | |||
0.695% 5/11/24 (c) | 2,698,000 | 2,655,436 | |
1.326% 6/15/23 (c) | 1,803,000 | 1,800,745 | |
4.5% 11/4/24 | 480,000 | 500,837 | |
Mitsubishi UFJ Financial Group, Inc.: | |||
3 month U.S. LIBOR + 0.700% 0.8876% 3/7/22 (c)(d) | 10,000,000 | 10,000,778 | |
3 month U.S. LIBOR + 0.740% 0.9133% 3/2/23 (c)(d) | 4,624,000 | 4,646,462 | |
0.953% 7/19/25 (c) | 1,660,000 | 1,603,055 | |
2.623% 7/18/22 | 10,441,000 | 10,506,129 | |
3.218% 3/7/22 | 1,090,000 | 1,090,383 | |
Mizuho Financial Group Cayman 2 Ltd. 4.2% 7/18/22 (Reg. S) | 1,625,000 | 1,640,506 | |
Mizuho Financial Group, Inc.: | |||
3 month U.S. LIBOR + 0.850% 1.0509% 9/13/23 (c)(d) | 10,000,000 | 10,028,733 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.960% 1.01% 5/22/26 (c)(d) | 5,000,000 | 5,003,200 | |
Morgan Stanley Domestic Hold 2.95% 8/24/22 | 8,277,000 | 8,338,024 | |
National Bank of Canada 0.9% 8/15/23 (c) | 7,000,000 | 6,977,796 | |
NatWest Group PLC 3.875% 9/12/23 | 1,085,000 | 1,111,233 | |
NatWest Markets PLC: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.530% 0.58% 8/12/24 (b)(c)(d) | 5,905,000 | 5,907,945 | |
0.8% 8/12/24 (b) | 370,000 | 354,721 | |
2.375% 5/21/23 (b) | 1,525,000 | 1,535,312 | |
3.625% 9/29/22 (b) | 5,000,000 | 5,069,571 | |
QNB Finance Ltd.: | |||
2.625% 5/12/25 (Reg. S) | 500,000 | 498,750 | |
3.5% 3/28/24 (Reg. S) | 1,000,000 | 1,020,188 | |
Rabobank Nederland 3.95% 11/9/22 | 10,000,000 | 10,183,892 | |
Royal Bank of Canada U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.450% 0.4989% 10/26/23 (c)(d) | 15,000,000 | 15,004,080 | |
Santander Holdings U.S.A., Inc. 2.49% 1/6/28 (c) | 760,000 | 738,242 | |
Societe Generale: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 1.050% 1.0995% 1/21/26 (b)(c)(d) | 10,000,000 | 10,030,171 | |
2.625% 10/16/24 (b) | 365,000 | 363,440 | |
Standard Chartered PLC: | |||
0.991% 1/12/25 (b)(c) | 375,000 | 363,607 | |
1.214% 3/23/25 (b)(c) | 200,000 | 194,711 | |
1.319% 10/14/23 (b)(c) | 200,000 | 199,071 | |
1.822% 11/23/25 (b)(c) | 475,000 | 461,965 | |
3.885% 3/15/24 (b)(c) | 365,000 | 371,045 | |
3.95% 1/11/23 (b) | 1,840,000 | 1,865,884 | |
Svenska Handelsbanken AB: | |||
0.55% 6/11/24 (b) | 720,000 | 696,883 | |
1.418% 6/11/27 (b)(c) | 695,000 | 662,891 | |
Swedbank AB: | |||
0.6% 9/25/23 (b) | 500,000 | 490,659 | |
1.3% 6/2/23 (b) | 1,150,000 | 1,144,305 | |
Synchrony Bank 3% 6/15/22 | 10,395,000 | 10,438,707 | |
Synovus Financial Corp. 3.125% 11/1/22 | 5,000,000 | 5,030,476 | |
The Toronto-Dominion Bank: | |||
3 month U.S. LIBOR + 0.530% 0.7009% 12/1/22 (c)(d) | 5,000,000 | 5,012,144 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.220% 0.2693% 6/2/23 (c)(d) | 10,000,000 | 9,982,274 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.480% 0.5291% 1/27/23 (c)(d) | 5,000,000 | 5,009,571 | |
0.25% 1/6/23 | 4,000,000 | 3,967,023 | |
0.55% 3/4/24 | 1,790,000 | 1,738,360 | |
0.7% 9/10/24 | 1,430,000 | 1,382,162 | |
Truist Bank U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.200% 0.2489% 1/17/24 (c)(d) | 10,000,000 | 9,987,618 | |
Truist Financial Corp. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.400% 0.4493% 6/9/25 (c)(d) | 10,710,000 | 10,677,249 | |
UniCredit SpA 3.75% 4/12/22 (b) | 1,740,000 | 1,744,531 | |
Wells Fargo & Co.: | |||
1.654% 6/2/24 (c) | 5,935,000 | 5,914,403 | |
2.188% 4/30/26 (c) | 840,000 | 828,907 | |
3.5% 3/8/22 | 123,000 | 123,052 | |
457,846,690 | |||
Capital Markets - 2.7% | |||
Credit Suisse AG: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.380% 0.4295% 8/9/23 (c)(d) | 5,000,000 | 4,991,295 | |
0.495% 2/2/24 | 810,000 | 784,250 | |
1% 5/5/23 | 6,590,000 | 6,539,780 | |
2.8% 4/8/22 | 2,340,000 | 2,345,287 | |
Credit Suisse Group AG 2.997% 12/14/23 (b)(c) | 250,000 | 252,092 | |
Deutsche Bank AG New York Branch: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.500% 0.5496% 11/8/23 (c)(d) | 10,000,000 | 9,979,233 | |
2.222% 9/18/24 (c) | 10,000,000 | 9,976,283 | |
3.3% 11/16/22 | 7,072,000 | 7,147,482 | |
Goldman Sachs Group, Inc.: | |||
3 month U.S. LIBOR + 0.750% 1.2139% 2/23/23 (c)(d) | 5,000,000 | 5,017,485 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.540% 0.59% 11/17/23 (c)(d) | 10,000,000 | 10,005,057 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.700% 0.7495% 1/24/25 (c)(d) | 10,000,000 | 10,007,600 | |
0.523% 3/8/23 | 3,300,000 | 3,276,842 | |
0.657% 9/10/24 (c) | 725,000 | 707,790 | |
0.673% 3/8/24 (c) | 1,180,000 | 1,164,603 | |
0.925% 10/21/24 (c) | 555,000 | 543,029 | |
1.757% 1/24/25 (c) | 1,115,000 | 1,102,468 | |
2.905% 7/24/23 (c) | 10,000,000 | 10,051,824 | |
2.908% 6/5/23 (c) | 11,000,000 | 11,043,269 | |
3.5% 4/1/25 | 1,005,000 | 1,033,031 | |
Intercontinental Exchange, Inc. 0.7% 6/15/23 | 1,130,000 | 1,116,390 | |
Morgan Stanley: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.620% 0.6743% 1/24/25 (c)(d) | 8,000,000 | 8,008,160 | |
0.529% 1/25/24 (c) | 3,994,000 | 3,947,400 | |
0.56% 11/10/23 (c) | 6,170,000 | 6,121,772 | |
0.731% 4/5/24 (c) | 985,000 | 971,380 | |
1.164% 10/21/25 (c) | 1,035,000 | 998,639 | |
2.63% 2/18/26 (c) | 1,070,000 | 1,070,251 | |
2.75% 5/19/22 | 1,095,000 | 1,099,329 | |
3.737% 4/24/24 (c) | 5,000,000 | 5,093,253 | |
4.1% 5/22/23 | 275,000 | 282,212 | |
4.875% 11/1/22 | 8,160,000 | 8,345,506 | |
NASDAQ, Inc. 0.445% 12/21/22 | 2,417,000 | 2,401,656 | |
State Street Corp. 2.825% 3/30/23 (c) | 330,000 | 330,290 | |
UBS AG London Branch: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.360% 0.4095% 2/9/24 (b)(c)(d) | 10,000,000 | 9,982,126 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.470% 0.5194% 1/13/25 (b)(c)(d) | 5,000,000 | 4,998,100 | |
1.75% 4/21/22 (b) | 7,000,000 | 7,004,926 | |
UBS Group AG: | |||
1.008% 7/30/24 (b)(c) | 7,118,000 | 7,016,477 | |
1.494% 8/10/27 (b)(c) | 375,000 | 353,706 | |
3.491% 5/23/23 (b) | 5,000,000 | 5,021,970 | |
170,132,243 | |||
Consumer Finance - 1.2% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.680% 0.7292% 9/29/23 (c)(d) | 9,823,000 | 9,796,576 | |
1.65% 10/29/24 | 1,690,000 | 1,640,143 | |
4.125% 7/3/23 | 1,025,000 | 1,047,889 | |
4.5% 9/15/23 | 1,450,000 | 1,493,586 | |
4.875% 1/16/24 | 850,000 | 882,198 | |
American Express Co.: | |||
2.65% 12/2/22 | 9,500,000 | 9,604,528 | |
2.75% 5/20/22 | 5,000,000 | 5,012,197 | |
Capital One Financial Corp.: | |||
1.343% 12/6/24 (c) | 5,000,000 | 4,924,731 | |
3.2% 1/30/23 | 8,016,000 | 8,128,381 | |
3.5% 6/15/23 | 555,000 | 567,374 | |
3.9% 1/29/24 | 505,000 | 521,070 | |
Discover Financial Services 3.85% 11/21/22 | 3,500,000 | 3,560,765 | |
Hyundai Capital America: | |||
0.8% 1/8/24 (b) | 910,000 | 883,743 | |
0.875% 6/14/24 (b) | 1,035,000 | 994,293 | |
1% 9/17/24 (b) | 445,000 | 427,930 | |
2.375% 2/10/23 (b) | 1,925,000 | 1,930,438 | |
2.85% 11/1/22 (b) | 511,000 | 514,616 | |
3% 6/20/22 (b) | 1,060,000 | 1,063,208 | |
LeasePlan Corp. NV 2.875% 10/24/24 (b) | 750,000 | 753,688 | |
Synchrony Financial: | |||
2.85% 7/25/22 | 3,758,000 | 3,777,644 | |
4.25% 8/15/24 | 1,960,000 | 2,031,303 | |
Toyota Motor Credit Corp.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.300% 0.35% 6/13/22 (c)(d) | 5,450,000 | 5,450,293 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.350% 0.4% 6/13/23 (c)(d) | 5,000,000 | 5,000,000 | |
0.45% 7/22/22 | 7,207,000 | 7,191,890 | |
77,198,484 | |||
Diversified Financial Services - 0.4% | |||
Athene Global Funding: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.700% 0.75% 5/24/24 (b)(c)(d) | 8,000,000 | 8,008,080 | |
0.95% 1/8/24 (b) | 3,469,000 | 3,390,339 | |
1.716% 1/7/25 (b) | 1,905,000 | 1,858,277 | |
GA Global Funding Trust 1.25% 12/8/23 (b) | 5,000,000 | 4,908,288 | |
Jackson Financial, Inc. 1.125% 11/22/23 (b) | 5,631,000 | 5,539,597 | |
LSEGA Financing PLC 0.65% 4/6/24 (b) | 1,355,000 | 1,315,144 | |
Park Aerospace Holdings Ltd.: | |||
4.5% 3/15/23 (b) | 660,000 | 673,714 | |
5.25% 8/15/22 (b) | 880,000 | 890,872 | |
26,584,311 | |||
Insurance - 1.5% | |||
ACE INA Holdings, Inc. 2.875% 11/3/22 | 2,500,000 | 2,523,260 | |
American International Group, Inc. 2.5% 6/30/25 | 1,000,000 | 1,004,414 | |
Aon Corp. 2.2% 11/15/22 | 1,592,000 | 1,600,584 | |
Brighthouse Financial Global Funding: | |||
0.6% 6/28/23 (b) | 845,000 | 832,040 | |
1% 4/12/24 (b) | 1,105,000 | 1,075,702 | |
CNO Global Funding: | |||
1.65% 1/6/25 (b) | 1,300,000 | 1,270,553 | |
1.75% 10/7/26 (b) | 850,000 | 810,945 | |
Equitable Financial Life Global Funding: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.390% 0.4383% 4/6/23 (b)(c)(d) | 10,000,000 | 9,998,886 | |
0.5% 4/6/23 (b) | 2,010,000 | 1,986,008 | |
0.5% 11/17/23 (b) | 5,000,000 | 4,894,735 | |
1.1% 11/12/24 (b) | 1,378,000 | 1,331,651 | |
Health Care Service Corp. 1.5% 6/1/25 (b) | 1,800,000 | 1,748,041 | |
Jackson National Life Global Funding 1.75% 1/12/25 (b) | 1,145,000 | 1,125,891 | |
Lincoln National Corp. 4% 9/1/23 | 270,000 | 278,762 | |
MassMutual Global Funding II 0.85% 6/9/23 (b) | 10,000,000 | 9,906,446 | |
Metropolitan Life Global Funding I: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.570% 0.619% 1/13/23 (b)(c)(d) | 6,940,000 | 6,961,306 | |
0.9% 6/8/23 (b) | 4,918,000 | 4,879,520 | |
Metropolitan Tower Global Funding: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.550% 0.5989% 1/17/23 (b)(c)(d) | 5,000,000 | 5,016,634 | |
0.55% 7/13/22 (b) | 6,000,000 | 5,994,282 | |
New York Life Global Funding: | |||
3 month U.S. LIBOR + 0.280% 0.5113% 1/10/23 (b)(c)(d) | 6,945,000 | 6,950,785 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.220% 0.2696% 2/2/23 (b)(c)(d) | 10,000,000 | 9,998,704 | |
1.1% 5/5/23 (b) | 725,000 | 721,891 | |
Northwestern Mutual Global Funding U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.330% 0.3792% 3/25/24 (b)(c)(d) | 4,063,000 | 4,065,533 | |
Pacific Life Global Funding II U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.380% 0.4281% 4/12/24 (b)(c)(d) | 10,000,000 | 10,004,272 | |
Principal Life Global Funding II: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.450% 0.499% 4/12/24 (b)(c)(d) | 1,763,000 | 1,766,390 | |
0.75% 4/12/24 (b) | 930,000 | 905,341 | |
Trinity Acquisition PLC 4.625% 8/15/23 | 1,054,000 | 1,092,756 | |
98,745,332 | |||
Thrifts & Mortgage Finance - 0.0% | |||
Crown Castle Towers LLC/Crown Atlantic Holdings Sub LLC/Crown Communication, Inc. 3.72% 7/15/43 (b) | 370,000 | 372,778 | |
Nationwide Building Society: | |||
3.622% 4/26/23 (b)(c) | 1,035,000 | 1,038,001 | |
3.766% 3/8/24 (b)(c) | 500,000 | 508,023 | |
1,918,802 | |||
TOTAL FINANCIALS | 832,425,862 | ||
HEALTH CARE - 1.5% | |||
Biotechnology - 0.4% | |||
AbbVie, Inc.: | |||
3 month U.S. LIBOR + 0.650% 1.1296% 11/21/22 (c)(d) | 7,100,000 | 7,125,633 | |
2.6% 11/21/24 | 3,500,000 | 3,533,211 | |
2.9% 11/6/22 | 5,000,000 | 5,049,502 | |
2.95% 11/21/26 | 1,565,000 | 1,593,321 | |
3.2% 11/6/22 | 170,000 | 171,376 | |
3.2% 5/14/26 | 175,000 | 179,450 | |
3.25% 10/1/22 | 5,850,000 | 5,888,963 | |
Baxalta, Inc. 3.6% 6/23/22 | 265,000 | 265,906 | |
Gilead Sciences, Inc. 0.75% 9/29/23 | 1,553,000 | 1,530,444 | |
25,337,806 | |||
Health Care Equipment & Supplies - 0.0% | |||
Baxter International, Inc. 0.868% 12/1/23 (b) | 1,460,000 | 1,433,026 | |
Becton, Dickinson & Co.: | |||
3.363% 6/6/24 | 551,000 | 564,523 | |
3.734% 12/15/24 | 200,000 | 206,785 | |
Stryker Corp. 0.6% 12/1/23 | 325,000 | 317,344 | |
2,521,678 | |||
Health Care Providers & Services - 0.4% | |||
Aetna, Inc. 2.8% 6/15/23 | 885,000 | 896,733 | |
AmerisourceBergen Corp. 0.737% 3/15/23 | 1,855,000 | 1,839,934 | |
Anthem, Inc.: | |||
0.45% 3/15/23 | 4,094,000 | 4,050,430 | |
2.375% 1/15/25 | 410,000 | 411,503 | |
Cardinal Health, Inc.: | |||
3.079% 6/15/24 | 695,000 | 706,022 | |
3.2% 3/15/23 | 875,000 | 888,807 | |
3.5% 11/15/24 | 1,180,000 | 1,212,571 | |
Cigna Corp.: | |||
0.613% 3/15/24 | 6,302,000 | 6,141,402 | |
3% 7/15/23 | 715,000 | 725,618 | |
3.05% 11/30/22 | 1,729,000 | 1,750,667 | |
3.75% 7/15/23 | 401,000 | 411,379 | |
CommonSpirit Health 1.547% 10/1/25 | 670,000 | 646,599 | |
CVS Health Corp.: | |||
2.625% 8/15/24 | 335,000 | 339,023 | |
2.875% 6/1/26 | 475,000 | 480,680 | |
3% 8/15/26 | 415,000 | 422,346 | |
Humana, Inc.: | |||
0.65% 8/3/23 | 4,706,000 | 4,632,481 | |
1.35% 2/3/27 | 120,000 | 113,148 | |
2.9% 12/15/22 | 160,000 | 161,564 | |
3.15% 12/1/22 | 315,000 | 317,945 | |
3.85% 10/1/24 | 1,045,000 | 1,083,284 | |
4.5% 4/1/25 | 1,205,000 | 1,279,072 | |
PeaceHealth Obligated Group 1.375% 11/15/25 | 190,000 | 183,214 | |
28,694,422 | |||
Life Sciences Tools & Services - 0.3% | |||
PerkinElmer, Inc.: | |||
0.55% 9/15/23 | 10,675,000 | 10,491,242 | |
0.85% 9/15/24 | 1,290,000 | 1,244,545 | |
Thermo Fisher Scientific, Inc.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.000% 0.5789% 10/18/24 (c)(d) | 2,411,000 | 2,412,779 | |
0.797% 10/18/23 | 1,865,000 | 1,839,839 | |
15,988,405 | |||
Pharmaceuticals - 0.4% | |||
AstraZeneca Finance LLC: | |||
0.7% 5/28/24 | 995,000 | 968,448 | |
1.2% 5/28/26 | 1,390,000 | 1,332,090 | |
AstraZeneca PLC: | |||
0.3% 5/26/23 | 1,425,000 | 1,404,762 | |
3.5% 8/17/23 | 365,000 | 374,558 | |
Bayer U.S. Finance II LLC 3.875% 12/15/23 (b) | 750,000 | 770,333 | |
Bristol-Myers Squibb Co. 3.25% 2/20/23 | 178,000 | 181,082 | |
Perrigo Finance PLC 3.9% 12/15/24 | 2,790,000 | 2,783,042 | |
Royalty Pharma PLC 0.75% 9/2/23 | 870,000 | 853,635 | |
Shire Acquisitions Investments Ireland DAC 2.875% 9/23/23 | 1,845,000 | 1,868,780 | |
Viatris, Inc. 1.125% 6/22/22 | 13,114,000 | 13,119,558 | |
23,656,288 | |||
TOTAL HEALTH CARE | 96,198,599 | ||
INDUSTRIALS - 1.3% | |||
Aerospace & Defense - 0.1% | |||
DAE Funding LLC 1.55% 8/1/24 (b) | 465,000 | 446,981 | |
The Boeing Co. 1.167% 2/4/23 | 2,790,000 | 2,778,687 | |
3,225,668 | |||
Airlines - 0.0% | |||
American Airlines 2017-2 Class B Pass Through Trust equipment trust certificate 3.7% 4/15/27 | 503,980 | 480,253 | |
United Airlines 2019-2 Class B Pass Through Trust equipment trust certificate 3.5% 11/1/29 | 342,590 | 327,193 | |
807,446 | |||
Building Products - 0.0% | |||
Carrier Global Corp. 2.242% 2/15/25 | 1,860,000 | 1,854,759 | |
Commercial Services & Supplies - 0.0% | |||
HPHT Finance 19 Ltd. 2.875% 11/5/24 (Reg. S) | 400,000 | 404,200 | |
Republic Services, Inc. 2.5% 8/15/24 | 880,000 | 887,931 | |
1,292,131 | |||
Construction & Engineering - 0.0% | |||
Yongda Investment Ltd. 2.25% 6/16/25 (Reg. S) | 944,000 | 921,099 | |
Industrial Conglomerates - 0.4% | |||
Honeywell International, Inc. 3 month U.S. LIBOR + 0.370% 0.709% 8/8/22 (c)(d) | 9,078,000 | 9,089,995 | |
Roper Technologies, Inc.: | |||
0.45% 8/15/22 | 205,000 | 204,309 | |
1% 9/15/25 | 235,000 | 223,529 | |
2.35% 9/15/24 | 365,000 | 366,890 | |
3.125% 11/15/22 | 1,505,000 | 1,518,977 | |
3.65% 9/15/23 | 270,000 | 277,087 | |
Siemens Financieringsmaatschappij NV: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.430% 0.4793% 3/11/24 (b)(c)(d) | 10,290,000 | 10,308,405 | |
0.65% 3/11/24 (b) | 690,000 | 674,538 | |
22,663,730 | |||
Machinery - 0.4% | |||
Caterpillar Financial Services Corp.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.150% 0.2% 11/17/22 (c)(d) | 5,000,000 | 4,998,207 | |
0.25% 3/1/23 | 10,000,000 | 9,896,334 | |
Daimler Trucks Finance North America LLC: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.500% 0.5493% 6/14/23 (b)(c)(d) | 8,000,000 | 7,998,105 | |
1.625% 12/13/24 (b) | 1,065,000 | 1,044,529 | |
Otis Worldwide Corp. 2.056% 4/5/25 | 1,000,000 | 992,450 | |
24,929,625 | |||
Professional Services - 0.0% | |||
Equifax, Inc. 3.95% 6/15/23 | 1,090,000 | 1,116,198 | |
IHS Markit Ltd. 3.625% 5/1/24 | 985,000 | 1,017,515 | |
2,133,713 | |||
Road & Rail - 0.2% | |||
Canadian Pacific Railway Co.: | |||
1.35% 12/2/24 | 7,739,000 | 7,550,080 | |
1.75% 12/2/26 | 580,000 | 562,522 | |
Eastern Creation II Investment Holdings Ltd. 1% 9/10/23 (Reg. S) | 1,670,000 | 1,646,307 | |
Guangzhou Metro Investment Finance (BVI) Ltd. 1.507% 9/17/25 (Reg. S) | 1,300,000 | 1,247,220 | |
Kansas City Southern/Old 3% 5/15/23 | 1,030,000 | 1,040,081 | |
Penske Truck Leasing Co. LP: | |||
2.7% 3/14/23 (b) | 1,751,000 | 1,768,744 | |
4.25% 1/17/23 (b) | 285,000 | 290,989 | |
SMBC Aviation Capital Finance: | |||
3.55% 4/15/24 (b) | 815,000 | 834,690 | |
4.125% 7/15/23 (b) | 900,000 | 923,945 | |
15,864,578 | |||
Trading Companies & Distributors - 0.1% | |||
Air Lease Corp. 2.25% 1/15/23 | 3,810,000 | 3,829,192 | |
GATX Corp.: | |||
3.9% 3/30/23 | 820,000 | 837,113 | |
4.35% 2/15/24 | 965,000 | 1,005,363 | |
5,671,668 | |||
Transportation Infrastructure - 0.1% | |||
Avolon Holdings Funding Ltd.: | |||
2.125% 2/21/26 (b) | 1,035,000 | 1,000,469 | |
2.875% 2/15/25 (b) | 980,000 | 971,142 | |
3.625% 5/1/22 (b) | 1,560,000 | 1,562,781 | |
3.95% 7/1/24 (b) | 265,000 | 271,125 | |
HPHT Finance 17 Ltd. 2.75% 9/11/22 (Reg. S) | 1,650,000 | 1,655,635 | |
Sydney Airport Finance Co. Property Ltd. 3.9% 3/22/23 (b) | 1,133,000 | 1,156,838 | |
6,617,990 | |||
TOTAL INDUSTRIALS | 85,982,407 | ||
INFORMATION TECHNOLOGY - 0.7% | |||
Electronic Equipment & Components - 0.0% | |||
Amphenol Corp. 2.05% 3/1/25 | 910,000 | 901,927 | |
Avnet, Inc. 4.875% 12/1/22 | 325,000 | 332,712 | |
1,234,639 | |||
IT Services - 0.3% | |||
CDW LLC/CDW Finance Corp. 5.5% 12/1/24 | 320,000 | 334,883 | |
Fidelity National Information Services, Inc.: | |||
0.375% 3/1/23 | 1,160,000 | 1,145,109 | |
0.6% 3/1/24 | 555,000 | 538,558 | |
Fiserv, Inc. 3.8% 10/1/23 | 2,340,000 | 2,407,036 | |
HCL America, Inc. 1.375% 3/10/26 (b) | 1,800,000 | 1,706,963 | |
IBM Corp. 2.85% 5/13/22 | 10,000,000 | 10,044,989 | |
PayPal Holdings, Inc. 1.35% 6/1/23 | 2,224,000 | 2,216,960 | |
The Western Union Co. 2.85% 1/10/25 | 1,280,000 | 1,295,926 | |
19,690,424 | |||
Semiconductors & Semiconductor Equipment - 0.2% | |||
Analog Devices, Inc.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.000% 0.2992% 10/1/24 (c)(d) | 2,353,000 | 2,352,554 | |
2.95% 4/1/25 | 295,000 | 302,085 | |
Marvell Technology, Inc. 4.2% 6/22/23 | 1,050,000 | 1,078,695 | |
Microchip Technology, Inc.: | |||
0.972% 2/15/24 | 1,165,000 | 1,135,293 | |
0.983% 9/1/24 (b) | 1,220,000 | 1,173,925 | |
2.67% 9/1/23 | 1,110,000 | 1,119,930 | |
NXP BV/NXP Funding LLC: | |||
4.625% 6/1/23 (b) | 3,640,000 | 3,754,399 | |
4.875% 3/1/24 (b) | 750,000 | 786,290 | |
NXP BV/NXP Funding LLC/NXP U.S.A., Inc. 2.7% 5/1/25 (b) | 205,000 | 206,177 | |
Qorvo, Inc. 1.75% 12/15/24 (b) | 510,000 | 494,154 | |
Skyworks Solutions, Inc. 0.9% 6/1/23 | 305,000 | 300,865 | |
12,704,367 | |||
Software - 0.1% | |||
Fortinet, Inc. 1% 3/15/26 | 675,000 | 632,893 | |
Oracle Corp. 2.4% 9/15/23 | 1,280,000 | 1,289,304 | |
VMware, Inc. 0.6% 8/15/23 | 4,644,000 | 4,559,641 | |
6,481,838 | |||
Technology Hardware, Storage & Peripherals - 0.1% | |||
Hewlett Packard Enterprise Co. 4.4% 10/15/22 (c) | 3,269,000 | 3,316,643 | |
TOTAL INFORMATION TECHNOLOGY | 43,427,911 | ||
MATERIALS - 0.1% | |||
Chemicals - 0.1% | |||
Cytec Industries, Inc. 3.5% 4/1/23 | 919,000 | 928,330 | |
Ecolab, Inc. 1.65% 2/1/27 | 400,000 | 388,865 | |
International Flavors & Fragrances, Inc. 0.697% 9/15/22 (b) | 582,000 | 580,112 | |
LYB International Finance III LLC 1.25% 10/1/25 | 692,000 | 660,954 | |
Westlake Corp. 0.875% 8/15/24 | 180,000 | 174,485 | |
2,732,746 | |||
Construction Materials - 0.0% | |||
Boral Finance Pty Ltd. 3% 11/1/22 (b) | 135,000 | 135,874 | |
Martin Marietta Materials, Inc. 0.65% 7/15/23 | 405,000 | 398,628 | |
534,502 | |||
Metals & Mining - 0.0% | |||
ArcelorMittal SA 3.6% 7/16/24 | 390,000 | 396,987 | |
Nucor Corp. 2% 6/1/25 | 350,000 | 346,173 | |
POSCO 2.375% 1/17/23 (b) | 1,870,000 | 1,879,070 | |
2,622,230 | |||
Paper & Forest Products - 0.0% | |||
Celulosa Arauco y Constitucion SA 4.5% 8/1/24 | 635,000 | 655,955 | |
TOTAL MATERIALS | 6,545,433 | ||
REAL ESTATE - 0.2% | |||
Equity Real Estate Investment Trusts (REITs) - 0.2% | |||
American Campus Communities Operating Partnership LP: | |||
3.75% 4/15/23 | 1,449,000 | 1,470,729 | |
4.125% 7/1/24 | 2,000,000 | 2,074,982 | |
American Tower Corp.: | |||
2.4% 3/15/25 | 665,000 | 662,815 | |
5% 2/15/24 | 375,000 | 394,535 | |
Crown Castle International Corp.: | |||
1.05% 7/15/26 | 1,005,000 | 936,254 | |
3.15% 7/15/23 | 985,000 | 1,000,070 | |
Highwoods/Forsyth LP 3.625% 1/15/23 | 1,770,000 | 1,793,741 | |
Public Storage U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.470% 0.5187% 4/23/24 (c)(d) | 495,000 | 495,003 | |
Simon Property Group LP: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.000% 0.4794% 1/11/24 (c)(d) | 3,589,000 | 3,592,139 | |
2% 9/13/24 | 380,000 | 378,779 | |
3.375% 10/1/24 | 985,000 | 1,013,316 | |
13,812,363 | |||
UTILITIES - 1.9% | |||
Electric Utilities - 1.4% | |||
Cleco Power LLC 3 month U.S. LIBOR + 0.500% 0.7028% 6/15/23 (b)(c)(d) | 3,377,000 | 3,374,851 | |
Duke Energy Corp. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.250% 0.2993% 6/10/23 (c)(d) | 3,003,000 | 2,996,063 | |
Edison International: | |||
2.95% 3/15/23 | 455,000 | 457,560 | |
3.125% 11/15/22 | 650,000 | 655,719 | |
ENEL Finance International NV: | |||
1.375% 7/12/26 (b) | 1,105,000 | 1,043,866 | |
2.65% 9/10/24 (b) | 1,775,000 | 1,783,290 | |
Eversource Energy U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.250% 0.3% 8/15/23 (c)(d) | 5,000,000 | 4,992,664 | |
FirstEnergy Corp. 3.35% 7/15/22 | 885,000 | 882,611 | |
Florida Power & Light Co. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.250% 0.2995% 5/10/23 (c)(d) | 3,574,000 | 3,574,000 | |
Israel Electric Corp. Ltd. 5% 11/12/24 (Reg. S) (b) | 1,365,000 | 1,445,931 | |
Korea Hydro & Nuclear Power Co. Ltd. 1.25% 4/27/26 (b) | 1,421,000 | 1,361,465 | |
Mississippi Power Co. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.300% 0.3493% 6/28/24 (c)(d) | 5,297,000 | 5,248,559 | |
NextEra Energy Capital Holdings, Inc.: | |||
3 month U.S. LIBOR + 0.270% 0.7496% 2/22/23 (c)(d) | 10,000,000 | 9,989,270 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.400% 0.4496% 11/3/23 (c)(d) | 6,000,000 | 6,000,036 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.540% 0.59% 3/1/23 (c)(d) | 3,472,000 | 3,479,687 | |
1.875% 1/15/27 | 1,255,000 | 1,214,020 | |
NRG Energy, Inc. 3.75% 6/15/24 (b) | 535,000 | 545,478 | |
Pacific Gas & Electric Co.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Averages Indx + 1.150% 2.1927% 11/14/22 (c)(d) | 180,000 | 179,936 | |
1.75% 6/16/22 | 6,280,000 | 6,274,182 | |
3.5% 6/15/25 | 955,000 | 965,741 | |
PPL Electric Utilities Corp.: | |||
3 month U.S. LIBOR + 0.250% 0.4698% 9/28/23 (c)(d) | 1,780,000 | 1,775,242 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.330% 0.3793% 6/24/24 (c)(d) | 4,059,000 | 4,044,805 | |
Sinosing Services Pte Ltd. 2.25% 2/20/25 (Reg. S) | 2,200,000 | 2,167,000 | |
Southern California Edison Co.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.470% 0.52% 12/2/22 (c)(d) | 10,000,000 | 10,007,624 | |
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.640% 0.6892% 4/3/23 (c)(d) | 5,000,000 | 5,001,283 | |
Southern Co.: | |||
U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.370% 0.4195% 5/10/23 (c)(d) | 3,257,000 | 3,254,231 | |
0.6% 2/26/24 | 2,230,000 | 2,162,779 | |
Vistra Operations Co. LLC 3.55% 7/15/24 (b) | 4,595,000 | 4,654,255 | |
89,532,148 | |||
Gas Utilities - 0.2% | |||
APT Pipelines Ltd. 4.2% 3/23/25 (b) | 1,895,000 | 1,971,511 | |
Atmos Energy Corp. 3 month U.S. LIBOR + 0.380% 0.5783% 3/9/23 (c)(d) | 6,117,000 | 6,111,446 | |
CenterPoint Energy Resources Corp. 3 month U.S. LIBOR + 0.500% 0.6733% 3/2/23 (c)(d) | 2,009,000 | 2,009,024 | |
ONE Gas, Inc. 3 month U.S. LIBOR + 0.610% 0.8109% 3/11/23 (c)(d) | 2,500,000 | 2,500,108 | |
12,592,089 | |||
Independent Power and Renewable Electricity Producers - 0.1% | |||
Alexander Funding Trust 1.841% 11/15/23 (b) | 920,000 | 913,157 | |
Hero Asia Investment Ltd. 1.5% 11/18/23 (Reg. S) | 1,650,000 | 1,619,829 | |
The AES Corp. 3.3% 7/15/25 (b) | 820,000 | 823,936 | |
3,356,922 | |||
Multi-Utilities - 0.2% | |||
CenterPoint Energy, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.650% 0.6995% 5/13/24 (c)(d) | 2,893,000 | 2,893,535 | |
Dominion Energy, Inc. 3 month U.S. LIBOR + 0.530% 0.7328% 9/15/23 (c)(d) | 2,327,000 | 2,327,213 | |
DTE Energy Co. 0.55% 11/1/22 | 5,000,000 | 4,975,270 | |
Puget Energy, Inc. 5.625% 7/15/22 | 5,000,000 | 5,026,997 | |
15,223,015 | |||
TOTAL UTILITIES | 120,704,174 | ||
TOTAL NONCONVERTIBLE BONDS (Cost $1,485,496,079) | 1,478,335,842 | ||
U.S. Government and Government Agency Obligations - 3.4% | |||
Principal Amount (a) | Value ($) | ||
U.S. Government Agency Obligations - 0.3% | |||
Fannie Mae U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.180% 0.23% 7/8/22 (c)(d) | 20,000,000 | 20,011,577 | |
U.S. Treasury Obligations - 3.1% | |||
U.S. Treasury Notes: | |||
0.125% 4/30/23 (f) | 11,810,000 | 11,663,298 | |
0.125% 5/31/23 | 3,860,000 | 3,807,076 | |
0.125% 6/30/23 | 31,945,000 | 31,467,073 | |
0.125% 7/31/23 | 7,205,000 | 7,086,512 | |
0.125% 8/31/23 | 1,820,000 | 1,787,795 | |
0.25% 9/30/23 | 20,000,000 | 19,653,906 | |
0.375% 3/31/22 | 30,000,000 | 30,004,715 | |
0.375% 10/31/23 | 32,000,000 | 31,455,000 | |
0.5% 11/30/23 | 3,425,000 | 3,370,280 | |
0.75% 12/31/23 | 7,650,000 | 7,554,375 | |
0.875% 1/31/24 | 43,730,000 | 43,256,828 | |
1.5% 2/29/24 | 7,955,000 | 7,961,526 | |
TOTAL U.S. TREASURY OBLIGATIONS | 199,068,384 | ||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $220,714,679) | 219,079,961 | ||
U.S. Government Agency - Mortgage Securities - 0.4% | |||
Principal Amount (a) | Value ($) | ||
Fannie Mae - 0.2% | |||
12 month U.S. LIBOR + 1.560% 1.818% 7/1/35 (c)(d) | 3,458 | 3,616 | |
12 month U.S. LIBOR + 1.590% 1.839% 12/1/35 (c)(d) | 4,802 | 5,015 | |
12 month U.S. LIBOR + 1.650% 1.905% 8/1/37 (c)(d) | 1,493 | 1,566 | |
12 month U.S. LIBOR + 1.690% 1.94% 5/1/38 (c)(d) | 16,014 | 16,816 | |
12 month U.S. LIBOR + 1.780% 2.163% 5/1/38 (c)(d) | 2,487 | 2,596 | |
12 month U.S. LIBOR + 1.830% 2.098% 4/1/38 (c)(d) | 13,839 | 14,549 | |
12 month U.S. LIBOR + 1.850% 2.103% 8/1/38 (c)(d) | 7,433 | 7,834 | |
12 month U.S. LIBOR + 1.880% 2.191% 5/1/38 (c)(d) | 8,205 | 8,627 | |
12 month U.S. LIBOR + 2.040% 2.29% 12/1/36 (c)(d) | 1,214 | 1,275 | |
6 month U.S. LIBOR + 1.360% 1.495% 10/1/33 (c)(d) | 24,058 | 24,859 | |
2% 2/1/52 | 309,176 | 296,777 | |
2.5% 1/1/52 | 937,211 | 927,847 | |
3% 9/1/28 to 11/1/51 | 3,936,554 | 4,004,927 | |
3.5% 11/1/26 to 3/1/52 | 1,184,025 | 1,225,849 | |
4% 1/1/47 to 12/1/49 | 356,292 | 374,399 | |
4.5% 8/1/24 to 1/1/50 | 1,847,436 | 1,965,940 | |
5% 3/1/23 to 7/1/45 | 945,629 | 1,031,023 | |
5.5% 5/1/22 to 5/1/40 | 1,255,626 | 1,406,742 | |
6% to 6% 2/1/23 to 2/1/49 | 1,235,251 | 1,403,171 | |
6.5% 7/1/32 to 12/1/32 | 60,536 | 68,385 | |
TOTAL FANNIE MAE | 12,791,813 | ||
Freddie Mac - 0.1% | |||
12 month U.S. LIBOR + 1.620% 1.875% 6/1/38 (c)(d) | 14,020 | 14,684 | |
12 month U.S. LIBOR + 1.620% 1.875% 7/1/38 (c)(d) | 21,918 | 22,882 | |
12 month U.S. LIBOR + 1.720% 1.976% 7/1/35 (c)(d) | 6,236 | 6,533 | |
12 month U.S. LIBOR + 1.730% 2.006% 10/1/36 (c)(d) | 12,151 | 12,731 | |
12 month U.S. LIBOR + 1.730% 2.046% 5/1/38 (c)(d) | 5,412 | 5,688 | |
12 month U.S. LIBOR + 1.730% 2.108% 2/1/37 (c)(d) | 2,980 | 3,116 | |
12 month U.S. LIBOR + 1.770% 2.025% 5/1/37 (c)(d) | 2,534 | 2,666 | |
12 month U.S. LIBOR + 1.830% 2.204% 2/1/37 (c)(d) | 2,685 | 2,815 | |
12 month U.S. LIBOR + 1.920% 2.185% 12/1/36 (c)(d) | 4,858 | 5,083 | |
12 month U.S. LIBOR + 2.020% 2.275% 11/1/36 (c)(d) | 2,728 | 2,852 | |
12 month U.S. LIBOR + 2.080% 2.457% 2/1/38 (c)(d) | 10,922 | 11,524 | |
12 month U.S. LIBOR + 2.160% 2.489% 2/1/37 (c)(d) | 5,249 | 5,510 | |
U.S. TREASURY 1 YEAR INDEX + 2.340% 2.472% 11/1/34 (c)(d) | 6,856 | 7,186 | |
2.5% 1/1/52 | 1,013,587 | 1,003,460 | |
3% 11/1/34 | 274,003 | 283,263 | |
3.5% 12/1/47 | 756,906 | 787,573 | |
4% 12/1/49 | 161,922 | 170,284 | |
4.5% 5/1/50 | 159,235 | 168,974 | |
5% 10/1/22 to 12/1/41 | 343,807 | 377,342 | |
5.5% 4/1/23 to 10/1/38 | 4,930 | 5,262 | |
6% 8/1/22 to 9/1/35 | 79,756 | 89,928 | |
7% 3/1/39 | 122,524 | 141,014 | |
7.5% 6/1/38 | 120,029 | 136,355 | |
TOTAL FREDDIE MAC | 3,266,725 | ||
Ginnie Mae - 0.1% | |||
6% 7/15/36 | 147,569 | 164,586 | |
3% 9/20/47 | 2,509,662 | 2,577,125 | |
3.5% 8/20/44 to 11/20/50 | 3,259,548 | 3,371,893 | |
4% 3/20/48 to 8/20/50 | 726,707 | 765,106 | |
4.5% 9/20/40 to 8/20/47 | 575,056 | 620,220 | |
5% 12/20/34 to 5/20/48 | 654,909 | 709,630 | |
5.5% 9/15/45 to 2/20/49 | 527,733 | 575,762 | |
TOTAL GINNIE MAE | 8,784,322 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $25,046,920) | 24,842,860 | ||
Asset-Backed Securities - 5.8% | |||
Principal Amount (a) | Value ($) | ||
Aimco: | |||
Series 2021-10A Class AR, 3 month U.S. LIBOR + 1.060% 1.3189% 7/22/32 (b)(c)(d) | 4,100,000 | 4,075,449 | |
Series 2021-BA Class AR, 3 month U.S. LIBOR + 1.100% 1.3413% 1/15/32 (b)(c)(d) | 4,342,000 | 4,319,964 | |
AIMCO CLO Ltd. Series 2022-12A Class AR, CME TERM SOFR 3 MONTH INDEX + 1.170% 1.403% 1/17/32 (b)(c)(d) | 4,835,000 | 4,833,825 | |
Ally Auto Receivables Trust Series 2019-3 Class A4, 1.96% 12/16/24 | 600,000 | 604,073 | |
American Express Credit Account Master Trust Series 2019-3 Class B, 2.2% 4/15/25 | 740,000 | 744,267 | |
AmeriCredit Automobile Receivables Trust: | |||
Series 2017-3 Class D, 3.18% 7/18/23 | 1,187,362 | 1,188,928 | |
Series 2018-1 Class D, 3.82% 3/18/24 | 1,645,000 | 1,662,253 | |
Series 2019-3 Class B, 2.13% 7/18/25 | 985,000 | 990,056 | |
Series 2020-1: | |||
Class C, 1.59% 10/20/25 | 705,000 | 701,572 | |
Class D, 1.8% 12/18/25 | 690,000 | 681,157 | |
Series 2020-3 Class C, 1.06% 8/18/26 | 420,000 | 414,136 | |
Series 2021-1: | |||
Class C, 0.89% 10/19/26 | 755,000 | 735,177 | |
Class D, 1.21% 12/18/26 | 470,000 | 457,240 | |
Series 2021-2: | |||
Class A2, 0.26% 11/18/24 | 2,920,375 | 2,914,120 | |
Class D, 1.29% 6/18/27 | 995,000 | 962,203 | |
Series 2021-3 Class A2, 0.41% 2/18/25 | 7,839,000 | 7,791,918 | |
Applebee's/IHOP Funding LLC Series 2019-1A Class A2I, 4.194% 6/5/49 (b) | 1,613,700 | 1,609,488 | |
Arbor Realty Collateralized Loan Obligation Series 2021-FL3 Class A, 1 month U.S. LIBOR + 1.070% 1.2611% 8/15/34 (b)(c)(d) | 1,100,000 | 1,086,287 | |
Arbor Realty Commercial Real Estate Notes, Ltd. Series 2021-FL4 Class A, 1 month U.S. LIBOR + 1.350% 1.5411% 11/15/36 (b)(c)(d) | 845,000 | 840,117 | |
Ares LII CLO Ltd. Series 2021-52A Class A1R, 3 month U.S. LIBOR + 1.050% 1.3089% 4/22/31 (b)(c)(d) | 3,577,000 | 3,574,535 | |
ARI Fleet Lease Trust Series 2020-A Class B, 2.06% 11/15/28 (b) | 770,000 | 767,997 | |
Avis Budget Rental Car Funding (AESOP) LLC: | |||
Series 2017-1A Class B, 3.41% 9/20/23 (b) | 540,000 | 543,737 | |
Series 2017-2A Class A, 2.97% 3/20/24 (b) | 905,000 | 917,527 | |
Series 2018-2A Class C, 4.95% 3/20/25 (b) | 430,000 | 446,487 | |
Series 2019-1A Class B, 3.7% 3/20/23 (b) | 40,833 | 40,893 | |
Series 2019-2A Class A, 3.35% 9/22/25 (b) | 650,000 | 668,228 | |
Series 2020-1A Class A, 2.33% 8/20/26 (b) | 540,000 | 540,553 | |
Babson CLO Ltd. Series 2013-IA Class AR, 3 month U.S. LIBOR + 0.800% 1.054% 1/20/28 (b)(c)(d) | 801,992 | 800,561 | |
Bank of America Credit Card Master Trust Series 2020-A1 Class A1, 0.34% 5/15/26 | 4,768,000 | 4,656,525 | |
Bayview Opportunity Master Fund Trust: | |||
Series 2017-RT3 Class A, 3.5% 1/28/58 (b)(c) | 549,774 | 547,054 | |
Series 2017-SPL4 Class A, 3.5% 1/28/55 (b) | 172,094 | 172,577 | |
Series 2017-SPL5 Class A, 3.5% 6/28/57 (b) | 483,338 | 485,779 | |
BDS, Ltd. / BDS LLC Series 2021-FL10 Class A, 1 month U.S. LIBOR + 1.350% 1.4867% 12/16/36 (b)(c)(d) | 770,000 | 766,419 | |
Blackbird Capital Aircraft Series 2016-1A Class AA, 2.487% 12/16/41 (b)(c) | 554,167 | 543,451 | |
BRE Grand Islander Timeshare Issuer Series 2019-A Class A, 3.28% 9/26/33 (b) | 184,027 | 186,247 | |
BSPRT Issuer, Ltd. / BSPRT CO-Issuer LLC Series 2022-FL8 Class A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.500% 1.55% 2/15/37 (b)(c)(d) | 1,510,000 | 1,504,859 | |
Carlyle Global Market Strategies Series 2015-3A Class A1R, 3 month U.S. LIBOR + 1.000% 1.2776% 7/28/28 (b)(c)(d) | 396,301 | 396,301 | |
CarMax Auto Owner Trust: | |||
Series 2019-2 Class B, 3.01% 12/16/24 | 1,935,000 | 1,966,567 | |
Series 2020-4: | |||
Class A2, 0.31% 1/16/24 | 1,815,691 | 1,814,459 | |
Class D, 1.75% 4/15/27 | 540,000 | 530,577 | |
Series 2021-1 Class A3, 0.34% 12/15/25 | 2,373,000 | 2,324,918 | |
Series 2021-2 Class C, 1.34% 2/16/27 | 545,000 | 528,042 | |
Carvana Auto Receivables Trust: | |||
Series 2021-P2 Class A2, 0.3% 7/10/24 | 4,327,983 | 4,320,211 | |
Series 2021-P3 Class A2, 0.38% 1/10/25 | 3,039,656 | 3,014,151 | |
Series 2021-P4 Class B, 1.98% 2/10/28 | 445,000 | 436,390 | |
Cedar Funding Ltd.: | |||
Series 2021-10A Class AR, 3 month U.S. LIBOR + 1.100% 1.354% 10/20/32 (b)(c)(d) | 1,089,000 | 1,081,865 | |
Series 2021-14A Class A, 3 month U.S. LIBOR + 1.100% 1.3413% 7/15/33 (b)(c)(d) | 5,722,000 | 5,686,701 | |
Cent CLO LP Series 2021-21A Class A1R3, 3 month U.S. LIBOR + 0.970% 1.2376% 7/27/30 (b)(c)(d) | 4,090,000 | 4,050,110 | |
Chesapeake Funding II LLC: | |||
Series 2018-3A Class A2, 1 month U.S. LIBOR + 0.480% 0.6711% 1/15/31 (b)(c)(d) | 548,248 | 548,500 | |
Series 2019-1A Class A1, 2.94% 4/15/31 (b) | 804,279 | 806,470 | |
Series 2020-1A Class A1, 0.87% 8/15/32 (b) | 2,214,251 | 2,199,773 | |
Series 2021-1A Class A2, 1 month U.S. LIBOR + 0.230% 0.4211% 4/15/33 (b)(c)(d) | 2,832,731 | 2,810,290 | |
CIFC Funding Ltd. / CIFC Funding LLC Series 2021-4A Class A, 3 month U.S. LIBOR + 1.050% 1.2913% 7/15/33 (b)(c)(d) | 1,360,000 | 1,357,491 | |
CIM Trust Series 2020-INV1 Class A2, 2.5% 4/25/50 (b) | 223,951 | 221,903 | |
CNH Equipment Trust: | |||
Series 2018-A Class B, 3.47% 10/15/25 | 380,000 | 380,394 | |
Series 2020-A Class A4, 1.51% 4/15/27 | 590,000 | 586,729 | |
Series 2021-C Class A2, 0.33% 1/15/25 | 4,124,000 | 4,084,657 | |
Daimler Trucks Retail Trust Series 2020-1 Class A4, 1.37% 6/15/27 | 1,820,000 | 1,820,444 | |
Dell Equipment Finance Trust: | |||
Series 2019-2 Class A3, 1.91% 10/22/24 (b) | 627,402 | 625,841 | |
Series 2020-2: | |||
Class A2, 0.47% 10/24/22 (b) | 453,508 | 453,315 | |
Class A3, 0.57% 10/23/23 (b) | 1,915,000 | 1,906,187 | |
Series 2021-1 Class A3, 0.43% 5/22/26 (b) | 1,601,000 | 1,579,955 | |
Series 2021-2 Class A2, 0.33% 12/22/26 (b) | 4,976,000 | 4,919,027 | |
DLL Securitization Trust Series 2019-MT3 Class A3, 2.08% 2/21/23 (b) | 275,120 | 275,502 | |
DLLAD LLC Series 2021-1A Class A2, 0.35% 9/20/24 (b) | 2,836,824 | 2,807,486 | |
DLLMT LLC Series 2021-1A Class A2, 0.6% 3/20/24 (b) | 7,674,000 | 7,622,380 | |
Donlen Fleet Lease Funding Series 2021-2 Class A1, 1 month U.S. LIBOR + 0.330% 0.4557% 12/11/34 (b)(c)(d) | 3,703,127 | 3,695,913 | |
Drive Auto Receivables Trust: | |||
Series 2021-1 Class D, 1.45% 1/16/29 | 630,000 | 617,446 | |
Series 2021-2: | |||
Class A2, 0.36% 5/15/24 | 2,251,953 | 2,247,929 | |
Class D, 1.39% 3/15/29 | 785,000 | 757,075 | |
Series 2021-3 Class A2, 0.52% 1/15/25 | 5,000,000 | 4,986,124 | |
Dryden CLO, Ltd. / Dryden CLO, LLC Series 2021-86A Class A1R, 3 month U.S. LIBOR + 1.100% 1.3413% 7/17/34 (b)(c)(d) | 1,055,000 | 1,046,509 | |
Eagle Re Ltd. Series 2021-2 Class M1A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.550% 1.5987% 4/25/34 (b)(c)(d) | 460,000 | 456,338 | |
Eaton Vance CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.100% 1.3413% 4/15/31 (b)(c)(d) | 3,935,000 | 3,933,642 | |
Elara HGV Timeshare Issuer LLC Series 2017-A Class A, 2.69% 3/25/30 (b) | 438,884 | 441,560 | |
Ellington Financial Mortgage Trust Series 2019-2 Class A1, 2.739% 11/25/59 (b) | 206,563 | 206,854 | |
Enterprise Fleet Financing LLC: | |||
Series 2019-1 Class A2, 2.98% 10/20/24 (b) | 30,214 | 30,270 | |
Series 2019-3 Class A2, 2.06% 5/20/25 (b) | 293,391 | 294,514 | |
Series 2020-1 Class A2, 1.78% 12/22/25 (b) | 3,459,468 | 3,469,741 | |
Series 2020-2 Class A2, 0.61% 7/20/26 (b) | 2,834,902 | 2,806,964 | |
Series 2021-1 Class A2, 0.44% 12/21/26 (b) | 1,221,504 | 1,204,640 | |
Series 2021-2 Class A2, 0.48% 5/20/27 (b) | 3,480,000 | 3,405,594 | |
Exeter Automobile Receivables Trust: | |||
Series 2021-2A Class A2, 0.27% 1/16/24 | 760,049 | 759,935 | |
Series 2021-3A Class A2, 0.34% 1/16/24 | 1,035,819 | 1,035,140 | |
Series 2022-1A Class D, 3.02% 6/15/28 | 1,350,000 | 1,355,191 | |
Ford Credit Auto Lease Trust Series 2020-B Class A3, 0.62% 8/15/23 | 3,043,305 | 3,043,385 | |
Ford Credit Auto Owner Trust: | |||
Series 2020-2 Class C, 1.74% 4/15/33 (b) | 570,000 | 552,052 | |
Series 2020-B Class C, 2.04% 12/15/26 | 1,270,000 | 1,274,602 | |
Ford Credit Floorplan Master Owner Trust Series 2020-1 Class A1, 0.7% 9/15/25 | 5,274,000 | 5,187,029 | |
GM Financial Automobile Leasing Trust: | |||
Series 2020-2 Class C, 2.56% 7/22/24 | 445,000 | 450,040 | |
Series 2021-2 Class A2, 0.22% 7/20/23 | 2,899,110 | 2,893,386 | |
Series 2021-3 Class A2, 0.24% 12/20/23 | 4,850,503 | 4,826,351 | |
GM Financial Consumer Automobile Receivables Trust: | |||
Series 2020-2 Class A3, 1.49% 12/16/24 | 244,582 | 244,983 | |
Series 2020-4: | |||
Class A2, 0.26% 11/16/23 | 1,540,652 | 1,540,101 | |
Class C, 1.05% 5/18/26 | 420,000 | 412,624 | |
GMF Floorplan Owner Revolving Trust: | |||
Series 2020-1 Class A, 0.68% 8/15/25 (b) | 1,480,000 | 1,456,318 | |
Series 2020-2 Class A, 0.69% 10/15/25 (b) | 3,238,000 | 3,188,206 | |
Hardee's Funding LLC / Carl's Jr. Funding LLC Series 2018-1A Class A2II, 4.959% 6/20/48 (b) | 212,850 | 219,780 | |
Hilton Grand Vacations Trust: | |||
Series 2017-AA: | |||
Class A, 2.66% 12/26/28 (b) | 128,744 | 129,607 | |
Class B, 2.96% 12/26/28 (b) | 196,358 | 197,205 | |
Series 2020-AA: | |||
Class A, 2.74% 2/25/39 (b) | 532,394 | 533,113 | |
Class B, 4.22% 2/25/39 (b) | 820,258 | 842,768 | |
HPEFS Equipment Trust Series 2021-2A Class A2, 0.3% 9/20/28 (b) | 2,763,673 | 2,751,773 | |
Hyundai Auto Lease Securitization Trust: | |||
Series 2020-A Class A3, 1.95% 7/17/23 (b) | 593,756 | 594,533 | |
Series 2021-A Class A2, 0.25% 4/17/23 (b) | 3,505,856 | 3,503,895 | |
Series 2021-B Class A2, 0.19% 10/16/23 (b) | 4,262,546 | 4,240,975 | |
Hyundai Auto Receivables Trust: | |||
Series 2019-A Class B, 2.94% 5/15/25 | 635,000 | 643,006 | |
Series 2020-A Class A3, 1.41% 11/15/24 | 677,697 | 678,443 | |
Series 2020-C Class A2, 0.26% 9/15/23 | 2,204,779 | 2,203,553 | |
KKR CLO Ltd. / KKR CLO LLC Series 2021-29A Class A, 3 month U.S. LIBOR + 1.200% 1.4413% 1/15/32 (b)(c)(d) | 1,250,000 | 1,239,641 | |
KKR Finanical CLO Ltd. Series 13 Class A1R, 3 month U.S. LIBOR + 0.800% 1.0413% 1/16/28 (b)(c)(d) | 581,785 | 580,424 | |
KKR Industrial Portfolio Trust Series 2021-KDIP Class C, 1 month U.S. LIBOR + 1.000% 1.1911% 12/15/37 (b)(c)(d) | 1,061,250 | 1,036,691 | |
Kubota Credit Owner Trust Series 2020-1A Class A3, 1.96% 3/15/24 (b) | 328,577 | 329,010 | |
Lanark Master Issuer PLC Series 2020-1A Class 1A, 2.277% 12/22/69 (b)(c) | 1,768,000 | 1,777,376 | |
Madison Park Funding XXIII, Ltd. Series 2021-23A: | |||
Class AR, 3 month U.S. LIBOR + 0.970% 1.2376% 7/27/31 (b)(c)(d) | 1,240,000 | 1,233,046 | |
Class BR, 3 month U.S. LIBOR + 1.550% 1.8176% 7/27/31 (b)(c)(d) | 800,000 | 795,782 | |
Madison Park Funding XXXII, Ltd. / Madison Park Funding XXXII LLC Series 2021-32A Class A1R, 3 month U.S. LIBOR + 1.000% 1.2589% 1/22/31 (b)(c)(d) | 3,229,000 | 3,214,767 | |
Madison Park Funding XXXIII Ltd. Series 2022-33A Class AR, CME TERM SOFR 3 MONTH INDEX + 1.290% 1.4488% 10/15/32 (b)(c)(d) | 1,910,000 | 1,909,631 | |
Madison Park Funding XXXV Ltd. / Madison Park Funding XXXV LLC Series 2021-35A Class A1R, 3 month U.S. LIBOR + 0.990% 1.244% 4/20/32 (b)(c)(d) | 1,650,000 | 1,635,706 | |
Magnetite XVI, Ltd. / Magnetite XVI, LLC Series 2015-16A Class AR, 3 month U.S. LIBOR + 0.800% 1.0413% 1/18/28 (b)(c)(d) | 1,877,328 | 1,874,427 | |
Magnetite XXV Ltd. Series 2020-25A Class A, 3 month U.S. LIBOR + 1.200% 1.4577% 1/25/32 (b)(c)(d) | 765,000 | 761,780 | |
Mercedes-Benz Auto Lease Trust: | |||
Series 2019-B Class A3, 2% 10/17/22 | 419,569 | 419,847 | |
Series 2020-B Class A2, 0.31% 2/15/23 | 414,744 | 414,643 | |
Series 2021-B Class A2, 0.22% 1/16/24 | 8,558,920 | 8,534,548 | |
MF1 Multifamily Housing Mortgage Loan Trust Series 2021-FL7 Class A, 1 month U.S. LIBOR + 1.080% 1.2057% 10/16/36 (b)(c)(d) | 800,000 | 793,458 | |
MFRA Trust Series 2021-INV1 Class A1, 0.852% 1/25/56 (b)(c) | 375,872 | 365,937 | |
MVW LLC Series 2020-1A Class B, 2.73% 10/20/37 (b) | 408,211 | 408,626 | |
MVW Owner Trust: | |||
Series 2017-1A: | |||
Class A, 2.42% 12/20/34 (b) | 307,746 | 308,642 | |
Class B, 2.75% 12/20/34 (b) | 18,103 | 18,090 | |
Class C, 2.99% 12/20/34 (b) | 43,447 | 43,274 | |
Series 2021-1WA Class C, 1.94% 1/22/41 (b) | 268,904 | 262,285 | |
Navient Private Education Loan Trust: | |||
Series 2019-D Class A2A, 3.01% 12/15/59 (b) | 413,664 | 421,403 | |
Series 2020-A Class A2A, 2.46% 11/15/68 (b) | 788,899 | 774,057 | |
Series 2020-CA Class A2A, 2.15% 11/15/68 (b) | 2,610,000 | 2,571,709 | |
Series 2020-IA Class A1A, 1.33% 4/15/69 (b) | 552,487 | 534,168 | |
Navient Private Education Refi Loan Trust: | |||
Series 2019-A Class A2A, 3.42% 1/15/43 (b) | 1,259,404 | 1,274,049 | |
Series 2019-GA Class A, 2.4% 10/15/68 (b) | 342,327 | 342,731 | |
Series 2020-DA Class A, 1.69% 5/15/69 (b) | 531,243 | 526,430 | |
Series 2022-A Class A, 2.23% 7/15/70 (b) | 1,795,000 | 1,780,177 | |
Navient Student Loan Trust: | |||
Series 2017-A Class A2A, 2.88% 12/16/58 (b) | 648,209 | 652,066 | |
Series 2019-EA Class A2A, 2.64% 5/15/68 (b) | 954,123 | 951,618 | |
Nelnet Student Loan Trust: | |||
Series 2005-4 Class A4, 3 month U.S. LIBOR + 0.180% 0.3943% 3/22/32 (c)(d) | 580,146 | 560,039 | |
Series 2020-1A Class A, 1 month U.S. LIBOR + 0.740% 0.9269% 3/26/68 (b)(c)(d) | 321,610 | 319,260 | |
Series 2021-CA Class AFX, 1.32% 4/20/62 (b) | 1,607,244 | 1,536,677 | |
Series 2021-DA Class AFX, 1.63% 4/20/62 (b) | 558,307 | 545,160 | |
Neuberger Berman Loan Advisers CLO 32 Ltd. Series 2021-32A Class AR, 3 month U.S. LIBOR + 0.990% 1.238% 1/20/32 (b)(c)(d) | 1,570,000 | 1,554,870 | |
Neuberger Berman Loan Advisers CLO 40, Ltd. / Neuberger Berman Loan Advisers CLO 40 LLC Series 2021-40A Class A, 3 month U.S. LIBOR + 1.060% 1.3013% 4/16/33 (b)(c)(d) | 455,000 | 452,457 | |
Neuberger Berman Loan Advisers CLO, Ltd. Series 2021-26A Class BR, 3 month U.S. LIBOR + 1.400% 1.6413% 10/18/30 (b)(c)(d) | 890,000 | 886,086 | |
Niagara Park CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.000% 1.2413% 7/17/32 (b)(c)(d) | 4,100,000 | 4,065,572 | |
Nissan Auto Receivables Trust Series 2020-A Class A3, 1.38% 12/16/24 | 337,267 | 337,146 | |
OCP CLO Ltd. Series 2014-7A Class A1RR, 3 month U.S. LIBOR + 1.120% 1.374% 7/20/29 (b)(c)(d) | 2,530,000 | 2,521,441 | |
OCP CLO Ltd. / OCP CLO LLC Series 2021-13A Class A2R, 1.7913% 7/15/30 (b)(c) | 1,320,000 | 1,308,352 | |
Octane Receivables Trust Series 2021-2A Class A, 1.21% 9/20/28 (b) | 655,245 | 645,163 | |
Palmer Square CLO, Ltd. Series 2021-3A Class A1AR, 3 month U.S. LIBOR + 1.080% 0.1855% 11/15/31 (b)(c)(d) | 1,925,000 | 1,913,656 | |
Palmer Square Loan Funding, Ltd. Series 2021-2A Class A1, 3 month U.S. LIBOR + 0.800% 1.2796% 5/20/29 (b)(c)(d) | 3,339,475 | 3,333,310 | |
Palmer Square Loan Funding, Ltd. / Palmer Square Loan Funding LLC Series 2022-1A Class A1, CME TERM SOFR 3 MONTH INDEX + 1.050% 1.05% 4/15/30 (b)(c)(d) | 4,210,000 | 4,208,998 | |
Planet Fitness Master Issuer LLC Series 2018-1A Class A2II, 4.666% 9/5/48 (b) | 1,504,463 | 1,526,322 | |
Santander Bank, N.A. Series 2021-1A Class B, 1.833% 12/15/31 (b) | 266,682 | 264,360 | |
Santander Consumer Auto Receivables Trust: | |||
Series 2021-AA Class A2, 0.23% 11/15/23 (b) | 2,056,028 | 2,054,805 | |
1.57% 1/15/27 (b) | 801,000 | 777,413 | |
Santander Drive Auto Receivables Trust: | |||
Series 2020-4 Class C, 1.01% 1/15/26 | 675,000 | 669,577 | |
Series 2021-2 Class A2, 0.28% 4/15/24 | 1,768,882 | 1,768,522 | |
Series 2021-3 Class A2, 0.29% 5/15/24 | 2,621,065 | 2,617,332 | |
Series 2021-4: | |||
Class A2, 0.37% 8/15/24 | 4,272,647 | 4,263,240 | |
Class D, 1.67% 10/15/27 | 1,310,000 | 1,274,979 | |
Series 2022-1 Class C, 2.56% 4/17/28 | 1,630,000 | 1,634,492 | |
Santander Retail Auto Lease Trust: | |||
Series 2019-B Class C, 2.77% 8/21/23 (b) | 690,000 | 693,015 | |
Series 2019-C: | |||
Class B, 2.17% 11/20/23 (b) | 495,000 | 497,186 | |
Class C, 2.39% 11/20/23 (b) | 830,000 | 834,226 | |
Class D, 2.88% 6/20/24 (b) | 870,000 | 876,781 | |
Series 2020-A Class D, 2.52% 11/20/24 (b) | 720,000 | 722,549 | |
Series 2020-B Class A2, 0.42% 11/20/23 (b) | 4,035,902 | 4,027,739 | |
Series 2021-A: | |||
Class A2, 0.32% 2/20/24 (b) | 3,409,351 | 3,391,687 | |
Class C, 1.14% 3/20/26 (b) | 1,815,000 | 1,775,818 | |
Series 2021-B Class A2, 0.31% 1/22/24 (b) | 2,797,321 | 2,782,154 | |
Series 2021-C: | |||
Class A2, 0.29% 4/22/24 (b) | 3,611,356 | 3,595,611 | |
Class C, 1.11% 3/20/26 (b) | 630,000 | 611,370 | |
SBA Tower Trust: | |||
Series 2019, 2.836% 1/15/50 (b) | 990,000 | 1,002,336 | |
1.631% 5/15/51 (b) | 495,000 | 476,182 | |
1.884% 7/15/50 (b) | 365,000 | 356,774 | |
SG Residential Mortgage Trust Series 2019-3 Class A2, 2.877% 9/25/59 (b) | 565,670 | 565,300 | |
Sierra Receivables Funding Co. LLC: | |||
Series 2019-1A Class A, 3.2% 1/20/36 (b) | 141,074 | 142,938 | |
Series 2019-2A Class A, 2.59% 5/20/36 (b) | 865,410 | 862,110 | |
Sierra Timeshare Receivables Funding LLC: | |||
Series 2019-3A Class A, 2.34% 8/20/36 (b) | 211,539 | 210,977 | |
Series 2020-2A Class C, 3.51% 7/20/37 (b) | 284,074 | 285,146 | |
Series 2021-1A Class B, 1.34% 11/20/37 (b) | 295,507 | 288,008 | |
SLM Student Loan Trust: | |||
Series 2003-10A Class A3, 3 month U.S. LIBOR + 0.470% 0.6728% 12/15/27 (b)(c)(d) | 528,303 | 528,187 | |
Series 2003-11 Class A6, 3 month U.S. LIBOR + 0.550% 0.7528% 12/15/25 (b)(c)(d) | 575,625 | 575,020 | |
SMB Private Education Loan Trust: | |||
Series 2014-A Class A3, 1 month U.S. LIBOR + 1.500% 1.6911% 4/15/32 (b)(c)(d) | 1,076,802 | 1,083,387 | |
Series 2016-C Class A2B, 1 month U.S. LIBOR + 1.100% 1.2911% 9/15/34 (b)(c)(d) | 603,602 | 606,371 | |
Series 2018-B Class A2B, 1 month U.S. LIBOR + 0.720% 0.9111% 1/15/37 (b)(c)(d) | 1,147,434 | 1,132,245 | |
Series 2020-BA Class A1A, 1.29% 7/15/53 (b) | 354,739 | 346,808 | |
Series 2020-PTB Class A2A, 1.6% 9/15/54 (b) | 2,269,395 | 2,227,685 | |
Series 2021-B Class A, 1.31% 7/17/51 (b) | 1,430,844 | 1,396,360 | |
Symphony CLO XXI, Ltd. Series 2021-21A Class AR, 3 month U.S. LIBOR + 1.060% 1.3013% 7/15/32 (b)(c)(d) | 3,117,000 | 3,105,738 | |
Symphony CLO XXIII Ltd. Series 2021-23A Class AR, 3 month U.S. LIBOR + 1.020% 1.2613% 1/15/34 (b)(c)(d) | 6,116,000 | 6,080,313 | |
Symphony CLO XXVI Ltd. / Symphony CLO XXVI LLC Series 2021-26A Class AR, 3 month U.S. LIBOR + 1.080% 1.334% 4/20/33 (b)(c)(d) | 465,000 | 460,681 | |
Symphony Static CLO Ltd. Series 2021-1A Class B, 3 month U.S. LIBOR + 1.450% 1.5791% 10/25/29 (b)(c)(d) | 1,385,000 | 1,375,299 | |
TCI-Flatiron CLO Ltd. / LLC Series 2021-1A Class AR, 3 month U.S. LIBOR + 0.960% 1.4287% 11/18/30 (b)(c)(d) | 4,292,000 | 4,267,501 | |
TCI-Symphony CLO Series 2021-1A Class AR, 3 month U.S. LIBOR + 0.920% 1.1713% 7/15/30 (b)(c)(d) | 4,588,000 | 4,558,596 | |
Tesla Series 2020-A: | |||
Class A2, 0.55% 5/22/23 (b) | 363,866 | 363,786 | |
Class A3, 0.68% 12/20/23 (b) | 2,527,000 | 2,516,337 | |
Tesla Auto Lease Trust: | |||
Series 2021-A Class A2, 0.36% 3/20/25 (b) | 3,836,418 | 3,806,892 | |
Series 2021-B Class A2, 0.36% 9/22/25 (b) | 4,737,000 | 4,725,801 | |
Towd Point Mortgage Trust: | |||
Series 2017-1 Class A1, 2.75% 10/25/56 (b)(c) | 173,715 | 174,761 | |
Series 2017-4 Class A1, 2.75% 6/25/57 (b) | 140,545 | 141,052 | |
Series 2019-1 Class A1, 3.6411% 3/25/58 (b)(c) | 621,667 | 635,233 | |
Toyota Auto Receivables Owner Trust Series 2020-C Class A3, 0.44% 10/15/24 | 9,135,991 | 9,087,117 | |
Verizon Owner Trust Series 2020-A Class A1A, 1.85% 7/22/24 | 4,435,550 | 4,453,250 | |
Volkswagen Auto Lease Trust: | |||
Series 2019-A Class A3, 1.99% 11/21/22 | 223,848 | 224,022 | |
Series 2020-A Class A2, 0.27% 4/20/23 | 4,123,608 | 4,120,348 | |
Volkswagen Auto Loan Enhanced Trust: | |||
Series 2020-1 Class A4, 1.26% 8/20/26 | 545,000 | 542,455 | |
Series 2021-1 Class A2, 0.49% 10/21/24 | 8,000,000 | 7,943,822 | |
Volvo Financial Equipment LLC Series 2019-2A Class A3, 2.04% 11/15/23 (b) | 1,317,173 | 1,322,052 | |
Voya CLO Ltd. Series 2021-1A Class A1R, 3 month U.S. LIBOR + 0.950% 1.1913% 4/17/30 (b)(c)(d) | 4,486,000 | 4,470,178 | |
Wheels SPV LLC Series 2021-1A Class A, 1 month U.S. LIBOR + 0.280% 0.4507% 8/20/29 (b)(c)(d) | 2,892,085 | 2,887,416 | |
World Omni Auto Receivables Trust: | |||
Series 2019-C Class C, 2.4% 6/15/26 | 895,000 | 902,055 | |
Series 2020-A Class C, 1.64% 8/17/26 | 480,000 | 476,882 | |
Series 2020-C Class A2, 0.35% 12/15/23 | 783,508 | 783,118 | |
Series 2021-D Class A2, 0.35% 12/16/24 | 4,626,000 | 4,602,337 | |
Series 2022-A Class C, 2.55% 9/15/28 | 600,000 | 600,656 | |
World Omni Automobile Lease Securitization Trust Series 2020-B Class A2, 0.32% 9/15/23 | 1,238,096 | 1,237,269 | |
World Omni Select Auto Trust Series 2020-A: | |||
Class B, 0.84% 6/15/26 | 510,000 | 506,569 | |
Class C, 1.25% 10/15/26 | 585,000 | 578,770 | |
TOTAL ASSET-BACKED SECURITIES (Cost $379,357,324) | 376,960,946 | ||
Collateralized Mortgage Obligations - 1.4% | |||
Principal Amount (a) | Value ($) | ||
Private Sponsor - 1.2% | |||
Angel Oak Mortgage Trust: | |||
sequential payer: | |||
Series 2019-4 Class A3, 3.301% 7/26/49 (b) | 168,485 | 168,352 | |
Series 2020-6 Class A1, 1.261% 5/25/65 (b) | 313,336 | 308,058 | |
Series 2021-1: | |||
Class A1, 0.909% 1/25/66 (b) | 785,740 | 770,010 | |
Class A2, 1.115% 1/25/66 (b) | 229,788 | 225,176 | |
Series 2021-2 Class A1, 0.985% 4/25/66 (b) | 634,977 | 624,248 | |
Series 2019-2 Class M1, 4.065% 3/25/49 (b) | 545,000 | 543,894 | |
Series 2021-3 Class A1, 1.068% 5/25/66 (b) | 499,731 | 490,745 | |
Series 2021-6 Class A3, 1.714% 9/25/66 (b) | 487,587 | 469,686 | |
Angel Oak Mortgage Trust LLC: | |||
sequential payer Series 2020-3 Class A1, 1.691% 4/25/65 (b) | 465,842 | 462,149 | |
Series 2020-3 Class A3, 2.872% 4/25/65 (b)(c) | 755,466 | 752,464 | |
Barclays Mortgage Loan Trust sequential payer Series 2021-NQM1 Class A1, 1.747% 9/25/51 (b) | 1,283,729 | 1,256,185 | |
Bayview MSR Opportunity Master Fund Trust sequential payer: | |||
Series 2021-1 Class A5, 2.5% 12/25/51 (b) | 907,835 | 888,306 | |
Series 2021-5 Class A5, 2.5% 11/25/51 (b) | 1,827,970 | 1,795,624 | |
BINOM Securitization Trust sequential payer Series 2021-INV1: | |||
Class A2, 2.37% 6/25/56 (b) | 1,396,313 | 1,362,529 | |
Class A3, 2.625% 6/25/56 (b) | 438,059 | 427,540 | |
Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (b)(c) | 826,224 | 814,386 | |
BRAVO Residential Funding Trust sequential payer Series 2021-NQM3 Class A1, 1.699% 4/25/60 (b) | 820,068 | 802,638 | |
CIM Trust Series 2021-INV1 Class A8, 2.5% 7/1/51 (b) | 453,161 | 445,142 | |
Citigroup Mortgage Loan Trust Series 2020-EXP2 Class A3, 2.5% 8/25/50 (b) | 251,932 | 251,814 | |
Colt Funding LLC Series 2021-1 Class A2, 1.167% 6/25/66 (b) | 592,611 | 574,980 | |
COLT Funding LLC Series 2021-3 Class A3, 1.419% 9/27/66 (b)(c) | 407,293 | 398,246 | |
COLT Mortgage Loan Trust sequential payer Series 2020-3 Class A1, 1.506% 4/27/65 (b) | 121,168 | 120,642 | |
Connecticut Avenue Securities Trust floater: | |||
Series 2022-R01 Class 1M1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.000% 1.0487% 12/25/41 (b)(c)(d) | 1,100,371 | 1,101,017 | |
Series 2022-R02 Class 2M1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.200% 1.2487% 1/25/42 (b)(c)(d) | 1,787,256 | 1,785,686 | |
Deephaven Residential Mortgage Trust: | |||
sequential payer Series 2020-2 Class A1, 1.692% 5/25/65 (b) | 165,282 | 164,790 | |
Series 2021-1 Class A2, 0.973% 5/25/65 (b) | 165,246 | 160,984 | |
Series 2021-2: | |||
Class A1, 0.899% 4/25/66 (b) | 266,644 | 258,593 | |
Class A3, 1.26% 4/25/66 (b) | 297,117 | 288,291 | |
Ellington Financial Mortgage Trust: | |||
Series 2019-2 Class A3, 3.046% 11/25/59 (b) | 132,683 | 132,719 | |
Series 2020-1 Class A1, 2.006% 5/25/65 (b) | 339,614 | 338,957 | |
Series 2020-2 Class A1, 1.178% 10/25/65 (b) | 425,706 | 417,798 | |
Series 2021-1: | |||
Class A1, 0.797% 2/25/66 (b) | 165,197 | 162,503 | |
Class A3, 1.106% 2/25/66 (b) | 137,664 | 135,224 | |
Series 2021-2: | |||
Class A1, 0.931% 6/25/66 (b)(c) | 341,009 | 330,701 | |
Class A3, 1.291% 6/25/66 (b) | 329,767 | 318,566 | |
Series 2021-3: | |||
Class A1, 1.241% 9/25/66 (b) | 455,323 | 441,641 | |
Class A3, 1.55% 9/25/66 (b) | 323,890 | 313,116 | |
Finance of America HECM Buyout sequential payer Series 2022-HB1 Class A, 2.5998% 11/25/24 (b)(c) | 4,457,000 | 4,456,997 | |
Flagstar Mortgage Trust floater sequential payer Series 2020-1INV Class A11, 1 month U.S. LIBOR + 0.850% 1.0369% 3/25/50 (b)(c)(d) | 285,426 | 285,271 | |
FWD Securitization Trust sequential payer Series 2020-INV1 Class A1, 2.24% 1/25/50 (b) | 676,188 | 673,663 | |
Galton Funding Mortgage Trust: | |||
sequential payer: | |||
Series 2019-H1 Class M1, 3.339% 10/25/59 (b) | 600,000 | 597,886 | |
Series 2020-H1 Class M1, 2.832% 1/25/60 (b) | 625,000 | 609,447 | |
Series 2019-1: | |||
Class A21, 4.5% 2/25/59 (b) | 123,898 | 124,949 | |
Class A32, 4% 2/25/59 (b) | 62,630 | 62,977 | |
Series 2020-H1 Class A1, 2.31% 1/25/60 (b) | 171,196 | 170,407 | |
GMRF Mortgage Acquisition Co., LLC Series 2018-1 Class A33, 3.5% 11/25/57 (b) | 103,047 | 103,282 | |
Gosforth Funding PLC floater Series 2018-1A Class A1, 3 month U.S. LIBOR + 0.450% 0.9476% 8/25/60 (b)(c)(d) | 261,310 | 261,440 | |
GS Mortgage Securities Trust sequential payer Series 2021-NQM1 Class A1, 1.017% 7/25/61 (b) | 366,342 | 360,673 | |
GS Mortgage-Backed Securites Trust: | |||
sequential payer Series 2021-HP1 Class A6, 2.5% 1/25/52 (b)(c) | 563,026 | 553,063 | |
Series 2014-EB1A Class 2A1, 1.6251% 7/25/44 (b)(c) | 9,505 | 9,430 | |
Series 2021-GR2 Class A6, 2.5% 2/25/52 (b)(c) | 1,005,785 | 988,616 | |
GS Mortgage-Backed Securities Trust: | |||
Series 2021-PJ5 Class A8, 2.5% 10/25/51 (b)(c) | 1,333,448 | 1,306,518 | |
Series 2022-GR1 Class A5, 2.5% 6/25/52 (b) | 1,901,572 | 1,876,243 | |
Homeward Opportunities Fund Trust sequential payer Series 2020-2 Class A1, 1.657% 5/25/65 (b)(c) | 175,873 | 175,085 | |
Hundred Acre Wood Trust Series 2021-INV1 Class A9, 2.5% 7/25/51 (b)(c) | 904,500 | 888,495 | |
Imperial Fund Mortgage Trust Series 2021-NQM2 Class A3, 1.516% 9/25/56 (b) | 578,339 | 559,917 | |
J.P. Morgan Mortgage Trust Series 2020-INV1 Class A15, 3.5% 8/25/50 (b) | 233,611 | 233,065 | |
Mello Mortgage Capital Acceptance sequential payer Series 2021-INV3 Class A4, 2.5% 10/25/51 (b) | 766,928 | 751,919 | |
Metlife Securitization Trust Series 2017-1A Class A, 3% 4/25/55 (b) | 212,971 | 214,651 | |
MFRA Trust Series 2021-NQM2 Class A2, 1.317% 11/25/64 (b) | 305,237 | 296,106 | |
Mill City Mortgage Loan Trust Series 2017-2 Class A1, 2.75% 7/25/59 (b) | 143,431 | 143,978 | |
New Residential Mortgage Loan Trust: | |||
sequential payer: | |||
Series 2019-NQM5 Class A1, 2.7099% 11/25/59 (b) | 445,272 | 445,826 | |
Series 2020-NQM1 Class A1, 2.4641% 1/26/60 (b) | 225,514 | 225,545 | |
Series 2021-NQ1R Class A1, 0.9426% 7/25/55 (b) | 609,488 | 604,106 | |
Series 2021-INV1 Class A6, 2.5% 6/25/51 (b) | 605,183 | 594,096 | |
NMLT Trust sequential payer Series 2021-INV2: | |||
Class A1, 1.162% 8/25/56 (b) | 1,774,499 | 1,753,849 | |
Class A3, 1.52% 8/25/56 (b) | 457,346 | 442,064 | |
OBX Trust: | |||
floater Series 2020-EXP1 Class 2A2, 1 month U.S. LIBOR + 0.950% 1.1369% 2/25/60 (b)(c)(d) | 294,002 | 293,935 | |
sequential payer Series 2021-NQM3 Class A1, 1.054% 7/25/61 (b) | 439,306 | 421,650 | |
Series 2020-EXP1 Class 1A8, 3.5% 2/25/60 (b)(c) | 421,921 | 423,621 | |
Series 2020-EXP2: | |||
Class A8, 3% 5/25/60 (b) | 567,474 | 566,174 | |
Class A9, 3% 5/25/60 (b) | 139,602 | 139,283 | |
Series 2020-INV1 Class A5, 3.5% 12/25/49 (b) | 127,863 | 129,178 | |
Oceanview Mortgage Trust sequential payer Series 2021-2 Class A5, 2.5% 6/25/51 (b) | 908,977 | 892,892 | |
Onslow Bay Financial LLC: | |||
floater Series 2019-EXP2 Class 2A2, 1 month U.S. LIBOR + 1.200% 1.3869% 6/25/59 (b)(c)(d) | 321,070 | 321,070 | |
floater sequential payer Series 2019-EXP2 Class 2A1A, 1 month U.S. LIBOR + 0.900% 1.0869% 6/25/59 (b)(c)(d) | 5,632 | 5,632 | |
sequential payer: | |||
Series 2021-J1 Class A4, 2.5% 5/25/51 (b) | 1,020,031 | 1,000,706 | |
Series 2021-NQM1: | |||
Class A1, 1.072% 2/25/66 (b) | 805,125 | 783,428 | |
Class A2, 1.175% 2/25/66 (b) | 428,584 | 416,123 | |
PSMC Trust sequential payer: | |||
Series 2021-1 Class A11, 2.5% 3/25/51 (b)(c) | 1,426,290 | 1,408,525 | |
Series 2021-2 Class A3, 2.5% 5/25/51 (b) | 1,086,527 | 1,065,263 | |
Residential Mortgage Loan Trust Series 2021-INV2 Class A7, 2.5% 9/25/51 (b) | 1,739,913 | 1,708,038 | |
Sequoia Mortgage Trust: | |||
sequential payer Series 2018-CH2 Class A3, 4% 6/25/48 (b) | 158,632 | 160,034 | |
Series 2018-CH2 Class A21, 4% 6/25/48 (b) | 70,787 | 71,353 | |
Series 2018-CH3 Class A19, 4.5% 8/25/48 (b) | 25,986 | 26,153 | |
Series 2018-CH4 Class A2, 4% 10/25/48 (b) | 39,516 | 39,633 | |
SG Residential Mortgage Trust Series 2020-2 Class A1, 1.381% 5/25/65 (b) | 249,008 | 248,266 | |
Silverstone Master Issuer PLC floater Series 2022-1A Class 1A, U.S. Secured Overnight Fin. Rate (SOFR) Indx + 0.380% 0.42% 1/21/70 (b)(c)(d) | 10,000,000 | 9,983,430 | |
Starwood Mortgage Residential Trust: | |||
sequential payer Series 2019-INV1: | |||
Class A1, 2.61% 9/27/49 (b) | 19,956 | 19,971 | |
Class A3, 2.916% 9/27/49 (b) | 388,376 | 388,155 | |
Series 2020-1 Class A2, 2.408% 2/25/50 (b) | 467,069 | 466,720 | |
Series 2021-2 Class A1, 0.943% 5/25/65 (b) | 695,014 | 684,756 | |
Series 2021-4 Class A1, 1.162% 8/25/56 (b) | 1,448,595 | 1,405,124 | |
Toorak Mortgage Corp. Series 2021-INV1 Class A2, 1.409% 7/25/56 (b) | 276,453 | 265,979 | |
Towd Point Mortgage Trust: | |||
Series 2016-1 Class A3B, 3% 2/25/55 (b) | 34,513 | 34,623 | |
Series 2016-2 Class A1A, 2.75% 8/25/55 (b) | 15,944 | 15,953 | |
Series 2017-2 Class A1, 2.75% 4/25/57 (b)(c) | 111,759 | 112,141 | |
Series 2017-3 Class A1, 2.75% 7/25/57 (b)(c) | 301,928 | 303,583 | |
United Wholesale Mortgage LLC sequential payer Series 2021-INV2 Class A4, 2.5% 9/25/51 (b) | 299,658 | 294,168 | |
Verus Securitization Trust: | |||
sequential payer: | |||
Series 2019-INV3 Class A3, 3.1% 11/25/59 (b) | 512,882 | 512,848 | |
Series 2020-1 Class A3, 2.724% 1/25/60 (b) | 630,698 | 629,809 | |
Series 2020-2 Class A1, 2.226% 5/25/60 (b) | 535,679 | 535,062 | |
Series 2020-INV1 Class A1, 1.977% 3/25/60 (b) | 244,378 | 242,994 | |
Series 2019-3 Class A3, 3.04% 7/25/59 (b) | 732,642 | 732,315 | |
Series 2019-4 Class A3, 3% 11/25/59 (b) | 250,927 | 250,890 | |
Series 2019-INV2 Class A2, 3.117% 7/25/59 (b) | 558,660 | 559,345 | |
Series 2020-5 Class A3, 1.733% 5/25/65 (b) | 218,633 | 215,083 | |
Series 2021-1: | |||
Class A2, 1.052% 1/25/66 (b) | 312,752 | 308,705 | |
Class A3, 1.155% 1/25/66 (b) | 184,808 | 182,178 | |
Series 2021-2 Class A1, 1.031% 2/25/66 (b) | 438,521 | 431,948 | |
Series 2021-5 Class A3, 1.373% 9/25/66 (b) | 478,676 | 459,915 | |
Series 2021-7 Class A1, 1.829% 10/25/66 (b) | 1,746,459 | 1,710,704 | |
Series 2021-R1 Class A2, 1.057% 10/25/63 (b) | 173,789 | 172,459 | |
Series 2021-R2 Class A1, 0.918% 2/25/64 (b) | 472,812 | 468,809 | |
Series 2022-1 Class A3, 3.288% 1/25/67 (b) | 1,900,000 | 1,889,179 | |
Vista Point Securitization Trust sequential payer Series 2020-2 Class A3, 2.496% 4/25/65 (b) | 192,933 | 191,334 | |
Wells Fargo Mortgage Backed Securities Trust: | |||
Series 2021-INV2 Class A4, 2.5% 9/25/51 (b) | 1,039,266 | 1,020,876 | |
Series 2021-RR1 Class A3, 2.5% 12/25/50 (b)(c) | 1,195,909 | 1,172,505 | |
ZH Trust sequential payer Series 2021-1 Class A, 2.2525% 2/18/27 (b) | 595,000 | 591,408 | |
TOTAL PRIVATE SPONSOR | 76,446,890 | ||
U.S. Government Agency - 0.2% | |||
Fannie Mae Series 2017-90 Class KA, 3% 11/25/47 | 569,640 | 582,484 | |
Fannie Mae Connecticut Avenue Securities floater: | |||
Series 2017-C02 Class 2ED3, 1 month U.S. LIBOR + 1.350% 1.5369% 9/25/29 (c)(d) | 71,950 | 72,462 | |
Series 2017-C04 Class 2ED2, 1 month U.S. LIBOR + 1.100% 1.2869% 11/25/29 (c)(d) | 1,278,361 | 1,276,133 | |
Series 2017-C05 Class 1ED3, 1 month U.S. LIBOR + 1.200% 1.3869% 1/25/30 (c)(d) | 425,319 | 424,856 | |
Series 2018-C01 Class 1ED2, 1 month U.S. LIBOR + 0.850% 1.0369% 7/25/30 (c)(d) | 754,228 | 749,541 | |
FHLMC Structured Agency Credit Risk Debt Notes floater Series 2014-DN3 Class M3, 1 month U.S. LIBOR + 4.000% 4.1869% 8/25/24 (c)(d) | 160,084 | 162,581 | |
Freddie Mac planned amortization class Series 3713 Class PA, 2% 2/15/40 | 248,549 | 253,254 | |
Freddie Mac STACR REMIC Trust: | |||
floater: | |||
Series 2020-DNA6 Class M1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.900% 0.9487% 12/25/50 (b)(c)(d) | 40,152 | 40,147 | |
Series 2021-DNA2 Class M1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.800% 0.8487% 8/25/33 (b)(c)(d) | 379,559 | 379,113 | |
Series 2021-DNA3 Class M2, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 2.100% 2.1487% 10/25/33 (b)(c)(d) | 690,000 | 686,062 | |
Series 2021-DNA5 Class M2, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.650% 1.6987% 1/25/34 (b)(c)(d) | 440,000 | 432,273 | |
Series 2021-DNA6 Class M2, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.500% 1.5487% 10/25/41 (b)(c)(d) | 575,000 | 555,040 | |
Series 2021-DNA7 Class M2, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.800% 1.8487% 11/25/41 (b)(c)(d) | 555,000 | 534,188 | |
Series 2021-HQA1 Class M1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.700% 0.7487% 8/25/33 (b)(c)(d) | 488,505 | 488,326 | |
Series 2021-HQA3 Class M1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.850% 0.8987% 9/25/41 (b)(c)(d) | 510,000 | 507,461 | |
Series 2021-HQA4 Class M1, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.950% 0.9987% 12/25/41 (b)(c)(d) | 1,915,000 | 1,888,512 | |
Series 2022-DNA2 Class M1A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.300% 1.3487% 2/25/42 (b)(c)(d) | 650,000 | 650,000 | |
U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.650% 0.6987% 1/25/51 (b)(c)(d) | 44,187 | 44,184 | |
Freddie Mac STACR Trust floater: | |||
Series 18-HQA2 Class M1, 1 month U.S. LIBOR + 0.750% 0.9369% 10/25/48 (b)(c)(d) | 64,207 | 64,207 | |
Series 2018-DNA2: | |||
Class M1, 1 month U.S. LIBOR + 0.800% 0.9869% 12/25/30 (b)(c)(d) | 98,745 | 98,758 | |
Class M2A/S, 1 month U.S. LIBOR + 0.950% 1.1369% 12/25/30 (b)(c)(d) | 450,000 | 447,884 | |
Series 2018-DNA3 Class M2A/S, 1 month U.S. LIBOR + 0.900% 1.0869% 9/25/48 (b)(c)(d) | 550,205 | 549,371 | |
Series 2018-HRP2 Class M2, 1 month U.S. LIBOR + 1.250% 1.4369% 2/25/47 (b)(c)(d) | 304,493 | 304,682 | |
Series 2019-HRP1 Class M2, 1 month U.S. LIBOR + 1.400% 1.5869% 2/25/49 (b)(c)(d) | 591,242 | 592,763 | |
Freddie Mac Whole Loan Securities Trust: | |||
Series 2016-SC02 Class M1, 3.6621% 10/25/46 (c) | 13,718 | 13,677 | |
Series 2017-SC02 Class M1, 3.8426% 5/25/47 (b)(c) | 66,404 | 67,181 | |
TOTAL U.S. GOVERNMENT AGENCY | 11,865,140 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $89,769,267) | 88,312,030 | ||
Commercial Mortgage Securities - 1.7% | |||
Principal Amount (a) | Value ($) | ||
ALEN Mortgage Trust floater Series 2021-ACEN Class A, 1 month U.S. LIBOR + 1.150% 1.341% 4/15/34 (b)(c)(d) | 595,000 | 581,768 | |
Americold Realty Trust floater Series 2020-ICE5 Class B, 1 month U.S. LIBOR + 1.300% 1.4911% 11/15/37 (b)(c)(d) | 1,705,489 | 1,684,129 | |
Atrium Hotel Portfolio Trust floater Series 2017-ATRM Class A 1 month U.S. LIBOR + 0.930% 1.121% 12/15/36 (b)(c)(d) | 1,395,000 | 1,377,495 | |
Austin Fairmont Hotel Trust floater Series 2019-FAIR Class A, 1 month U.S. LIBOR + 1.050% 1.241% 9/15/32 (b)(c)(d) | 615,000 | 608,092 | |
BAMLL Commercial Mortgage Securities Trust floater: | |||
Series 2021-JACX Class C, 1 month U.S. LIBOR + 2.000% 2.191% 9/15/38 (b)(c)(d) | 805,000 | 793,507 | |
Series 2022-DKLX Class A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.150% 1.25% 1/15/39 (b)(c)(d) | 1,014,000 | 1,005,272 | |
Banc of America Merrill Lynch Large Loan, Inc. floater Series 2018-DSNY Class A, 1 month U.S. LIBOR + 0.850% 1.041% 9/15/34 (b)(c)(d) | 970,000 | 959,104 | |
BANK Series 2019-BN19 Class A1, 2.263% 8/15/61 | 340,003 | 337,886 | |
BCP Trust floater Series 2021-330N Class A, 1 month U.S. LIBOR + 0.790% 0.99% 6/15/38 (b)(c)(d) | 500,000 | 492,618 | |
Big Commercial Mortgage Trust floater Series 2022-BIG Class C, CME TERM SOFR 1 MONTH INDEX + 2.340% 2.3904% 2/15/39 (b)(c)(d) | 410,000 | 406,947 | |
BLOX Trust floater sequential payer Series 2021-BLOX Class A, 1 month U.S. LIBOR + 0.750% 0.941% 9/15/26 (b)(c)(d) | 2,040,000 | 2,000,455 | |
BPR Trust floater Series 2021-TY Class B, 1 month U.S. LIBOR + 1.150% 1.341% 9/15/38 (b)(c)(d) | 780,000 | 768,282 | |
BSREP Commercial Mortgage Trust floater Series 2021-DC Class D, 1 month U.S. LIBOR + 1.900% 2.092% 8/15/38 (b)(c)(d) | 340,000 | 332,781 | |
BX Commercial Mortgage Trust floater: | |||
Series 2021-PAC Class A, 1 month U.S. LIBOR + 0.680% 0.8811% 10/15/36 (b)(c)(d) | 1,872,000 | 1,829,818 | |
Series 2021-VINO Class A, 1 month U.S. LIBOR + 0.650% 0.8433% 5/15/38 (b)(c)(d) | 1,600,000 | 1,566,027 | |
Series 2022-AHP Class A, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.990% 1.04% 2/15/39 (b)(c)(d) | 760,000 | 752,847 | |
Series 2022-LP2 Class A, CME TERM SOFR 1 MONTH INDEX + 1.010% 1.0629% 2/15/39 (b)(c)(d) | 2,598,000 | 2,571,992 | |
BX Trust: | |||
floater: | |||
Series 2019-XL Class B, 1 month U.S. LIBOR + 1.080% 1.271% 10/15/36 (b)(c)(d) | 382,500 | 379,124 | |
Series 2021-ACNT Class A, 1 month U.S. LIBOR + 0.850% 1.042% 11/15/38 (b)(c)(d) | 1,838,000 | 1,818,479 | |
Series 2021-ARIA Class C, 1 month U.S. LIBOR + 1.640% 1.837% 10/15/36 (b)(c)(d) | 590,000 | 576,707 | |
Series 2021-BXMF Class A, 1 month U.S. LIBOR + 0.630% 0.8269% 10/15/26 (b)(c)(d) | 1,715,000 | 1,676,355 | |
Series 2021-SOAR Class D, 1 month U.S. LIBOR + 1.400% 1.591% 6/15/38 (b)(c)(d) | 665,000 | 649,615 | |
floater sequential payer Series 2021-SOAR Class A, 0.861% 6/15/38 (b)(c) | 1,777,000 | 1,736,956 | |
floater, sequential payer: | |||
Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 1.191% 4/15/34 (b)(c)(d) | 2,135,000 | 2,111,002 | |
Series 2019-XL Class A, 1 month U.S. LIBOR + 0.920% 1.111% 10/15/36 (b)(c)(d) | 5,059,650 | 5,037,457 | |
CGDB Commercial Mortgage Trust floater Series 2019-MOB: | |||
Class A, 1 month U.S. LIBOR + 0.950% 1.1411% 11/15/36 (b)(c)(d) | 1,033,000 | 1,020,053 | |
Class D, 1 month U.S. LIBOR + 1.650% 1.8411% 11/15/36 (b)(c)(d) | 1,545,000 | 1,515,874 | |
CHC Commercial Mortgage Trust floater Series 2019-CHC Class A, 1 month U.S. LIBOR + 1.120% 1.311% 6/15/34 (b)(c)(d) | 3,715,877 | 3,674,125 | |
CIM Retail Portfolio Trust floater Series 2021-RETL Class A, 1 month U.S. LIBOR + 1.400% 1.592% 8/15/36 (b)(c)(d) | 1,136,342 | 1,117,019 | |
Citigroup Commercial Mortgage Trust: | |||
sequential payer: | |||
Series 2012-GC8 Class A/S, 3.683% 9/10/45 (b) | 2,157,000 | 2,166,833 | |
Series 2015-GC27 Class AAB, 2.944% 2/10/48 | 2,998,677 | 3,027,380 | |
Series 2013-375P Class C, 3.5176% 5/10/35 (b)(c) | 560,000 | 557,777 | |
COMM Mortgage Trust: | |||
sequential payer Series 2013-300P Class A1, 4.353% 8/10/30 (b) | 620,000 | 632,766 | |
Series 2014-CR15 Class B, 4.6397% 2/10/47 (c) | 920,000 | 949,776 | |
Series 2014-CR19 Class AM, 4.08% 8/10/47 | 860,000 | 884,704 | |
Series 2014-UBS2 Class B, 4.701% 3/10/47 | 915,000 | 938,360 | |
Series 2015-CR22: | |||
Class B, 3.926% 3/10/48 (c) | 405,000 | 411,982 | |
Class C, 4.1039% 3/10/48 (c) | 740,000 | 747,578 | |
Series 2020-CMB Class D, 3.6327% 2/10/37 (b)(c) | 560,000 | 540,917 | |
Credit Suisse Mortgage Trust: | |||
floater Series 2019-ICE4: | |||
Class A, 1 month U.S. LIBOR + 0.980% 1.171% 5/15/36 (b)(c)(d) | 5,485,000 | 5,440,955 | |
Class C, 1 month U.S. LIBOR + 1.430% 1.621% 5/15/36 (b)(c)(d) | 1,015,000 | 1,004,816 | |
Class D, 1 month U.S. LIBOR + 1.600% 1.791% 5/15/36 (b)(c)(d) | 780,000 | 772,174 | |
sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (b) | 446,398 | 435,701 | |
Series 2020-NET Class D, 3.7042% 8/15/37 (b)(c) | 985,000 | 959,290 | |
CSAIL Commercial Mortgage Trust: | |||
sequential payer Series 2015-C3 Class A4, 3.7182% 8/15/48 | 670,000 | 690,097 | |
Series 2019-C16 Class A1, 2.3595% 6/15/52 | 369,179 | 369,311 | |
CSMC Trust Series 2017-CHOP Class A, 1 month U.S. LIBOR + 0.750% 0.941% 7/15/32 (b)(c)(d) | 4,189,000 | 4,084,274 | |
ELP Commercial Mortgage Trust floater Series 2021-ELP Class A, 1 month U.S. LIBOR + 0.700% 0.893% 11/15/38 (b)(c)(d) | 2,555,000 | 2,502,296 | |
Extended Stay America Trust floater Series 2021-ESH: | |||
Class A, 1 month U.S. LIBOR + 1.080% 1.272% 7/15/38 (b)(c)(d) | 857,721 | 849,472 | |
Class C, 1 month U.S. LIBOR + 1.700% 1.892% 7/15/38 (b)(c)(d) | 810,015 | 800,359 | |
Fontainebleau Miami Beach Trust Series 2019-FBLU Class B, 3.447% 12/10/36 (b) | 1,075,000 | 1,072,613 | |
GCT Commercial Mortgage Trust floater Series 2021-GCT Class A, 1 month U.S. LIBOR + 0.800% 0.991% 2/15/38 (b)(c)(d) | 555,000 | 553,197 | |
Great Wolf Trust floater Series 2019-WOLF: | |||
Class A, 1 month U.S. LIBOR + 1.030% 1.225% 12/15/36 (b)(c)(d) | 1,906,000 | 1,880,956 | |
Class C, 1 month U.S. LIBOR + 1.630% 1.824% 12/15/36 (b)(c)(d) | 600,000 | 589,469 | |
GS Mortgage Securities Corp. Trust floater Series 2021-ROSS Class B, 1 month U.S. LIBOR + 1.600% 1.792% 5/15/26 (b)(c)(d) | 685,000 | 676,100 | |
GS Mortgage Securities Trust floater Series 2021-IP Class A, 1 month U.S. LIBOR + 0.950% 1.141% 10/15/36 (b)(c)(d) | 1,087,000 | 1,075,391 | |
Intown Hotel Portfolio Trust Series 2018-STAY: | |||
Class A, 1 month U.S. LIBOR + 1.100% 1.292% 1/15/33 (b)(c)(d) | 245,000 | 244,073 | |
Class C, 1 month U.S. LIBOR + 1.650% 1.842% 1/15/33 (b)(c)(d) | 205,000 | 204,224 | |
J.P. Morgan Chase Commercial Mortgage Securities Trust floater Series 2020-609M: | |||
Class B, 1 month U.S. LIBOR + 1.770% 1.962% 10/15/33 (b)(c)(d) | 995,000 | 975,049 | |
Class C, 1 month U.S. LIBOR + 2.170% 2.362% 10/15/33 (b)(c)(d) | 805,000 | 784,827 | |
JPMorgan Chase Commercial Mortgage Securities Trust floater: | |||
Series 2018-GW Class A, 1 month U.S. LIBOR + 0.800% 0.991% 5/15/35 (b)(c)(d) | 2,440,000 | 2,412,592 | |
Series 2019-BKWD: | |||
Class A, 1 month U.S. LIBOR + 1.000% 1.191% 9/15/29 (b)(c)(d) | 1,644,659 | 1,628,122 | |
Class B, 1 month U.S. LIBOR + 1.350% 1.541% 9/15/29 (b)(c)(d) | 1,830,000 | 1,797,836 | |
Class C, 1 month U.S. LIBOR + 1.600% 1.791% 9/15/29 (b)(c)(d) | 575,000 | 562,011 | |
KKR Industrial Portfolio Trust floater Series 2021-KDIP Class D, 1 month U.S. LIBOR + 1.250% 1.4411% 12/15/37 (b)(c)(d) | 198,750 | 194,021 | |
KNDR Trust floater Series 2021-KIND Class C, 1 month U.S. LIBOR + 1.750% 1.941% 8/15/38 (b)(c)(d) | 980,000 | 959,119 | |
LIFE Mortgage Trust floater Series 2021-BMR Class A, 1 month U.S. LIBOR + 0.700% 0.891% 3/15/38 (b)(c)(d) | 1,631,730 | 1,599,039 | |
Merit floater Series 2021-STOR Class A, 1 month U.S. LIBOR + 0.700% 0.891% 7/15/38 (b)(c)(d) | 907,000 | 887,742 | |
MHC Commercial Mortgage Trust floater Series 2021-MHC Class B, 1 month U.S. LIBOR + 1.100% 1.292% 4/15/38 (b)(c)(d) | 710,000 | 699,337 | |
MHC Trust floater Series 2021-MHC2 Class B, 1 month U.S. LIBOR + 1.100% 1.291% 5/15/23 (b)(c)(d) | 660,000 | 638,516 | |
Morgan Stanley BAML Trust Series 2014-C18 Class A/S, 4.11% 10/15/47 | 370,000 | 379,512 | |
Morgan Stanley Capital I Trust: | |||
floater: | |||
Series 2018-BOP Class A, 1 month U.S. LIBOR + 0.850% 1.041% 8/15/33 (b)(c)(d) | 4,683,624 | 4,651,666 | |
Series 2019-NUGS Class D, 1 month U.S. LIBOR + 1.800% 3.3% 12/15/36 (b)(c)(d) | 510,000 | 503,206 | |
sequential payer Series 2014-150E Class A, 3.912% 9/9/32 (b) | 1,325,000 | 1,356,778 | |
Series 2019-MEAD Class D, 3.1771% 11/10/36 (b)(c) | 1,150,000 | 1,097,575 | |
New Orleans Hotel Trust floater Series 2019-HNLA Class B, 1 month U.S. LIBOR + 1.289% 1.4797% 4/15/32 (b)(c)(d) | 1,585,000 | 1,555,180 | |
OPG Trust floater Series 2021-PORT Class A, 1 month U.S. LIBOR + 0.480% 0.675% 10/15/36 (b)(c)(d) | 4,110,000 | 3,949,071 | |
RLGH Trust floater Series 2021-TROT Class A, 1 month U.S. LIBOR + 0.800% 0.992% 4/15/36 (b)(c)(d) | 650,000 | 641,032 | |
Shelter Growth CRE Issuer Ltd. floater Series 2021-FL3 Class A, 1 month U.S. LIBOR + 1.080% 1.2711% 9/15/36 (b)(d) | 524,897 | 521,481 | |
Slide floater Series 2018-FUN Class D, 1 month U.S. LIBOR + 2.100% 2.291% 6/15/31 (b)(c)(d) | 761,362 | 740,295 | |
SREIT Trust floater Series 2021-MFP Class A, 1 month U.S. LIBOR + 0.730% 0.9219% 11/15/38 (b)(c)(d) | 1,753,000 | 1,717,893 | |
UBS-Barclays Commercial Mortgage Trust floater Series 2013-C6 Class A3, 1 month U.S. LIBOR + 0.790% 0.9127% 4/10/46 (b)(c)(d) | 2,917,076 | 2,905,915 | |
Vista Point Securitization Trust sequential payer Series 2020-1 Class A1, 1.763% 3/25/65 (b) | 534,191 | 533,579 | |
Wells Fargo Commercial Mortgage Trust Series 2015-NXS2 Class A2, 3.02% 7/15/58 | 275,793 | 276,724 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $110,040,615) | 108,412,745 | ||
Municipal Securities - 0.1% | |||
Principal Amount (a) | Value ($) | ||
Chicago Transit Auth. Series 2020 B: | |||
1.708% 12/1/22 | 40,000 | 40,089 | |
1.838% 12/1/23 | 35,000 | 34,941 | |
2.064% 12/1/24 | 105,000 | 104,409 | |
Connecticut Gen. Oblig. Series A: | |||
1.998% 7/1/24 | 285,000 | 286,487 | |
2% 7/1/23 | 115,000 | 115,911 | |
2.098% 7/1/25 | 190,000 | 190,419 | |
Dallas Fort Worth Int'l. Arpt. Rev. Series 2020 C, 1.329% 11/1/25 | 245,000 | 238,213 | |
Golden State Tobacco Securitization Corp. Tobacco Settlement Rev. Series 2021 A1, 1.711% 6/1/24 | 800,000 | 789,389 | |
Houston Arpt. Sys. Rev. Series 2020 C: | |||
0.883% 7/1/22 | 70,000 | 70,051 | |
1.054% 7/1/23 | 120,000 | 119,365 | |
1.272% 7/1/24 | 400,000 | 393,595 | |
Illinois Gen. Oblig. Series 2020 A, 2.25% 10/1/22 | 1,640,000 | 1,647,819 | |
Long Island Pwr. Auth. Elec. Sys. Rev. Series 2020 C, 0.764% 3/1/23 | 360,000 | 358,970 | |
TOTAL MUNICIPAL SECURITIES (Cost $4,405,305) | 4,389,658 | ||
Bank Notes - 0.4% | |||
Principal Amount (a) | Value ($) | ||
Capital One NA 2.15% 9/6/22 | 1,370,000 | 1,377,694 | |
First Republic Bank 1.912% 2/12/24 (c) | 4,071,000 | 4,064,043 | |
PNC Bank NA: | |||
2.875% 6/29/22 | 12,000,000 | 12,054,418 | |
2.95% 1/30/23 | 695,000 | 704,507 | |
Truist Bank 1.25% 3/9/23 | 7,000,000 | 6,988,860 | |
TOTAL BANK NOTES (Cost $25,216,192) | 25,189,522 | ||
Commercial Paper - 1.1% | |||
Principal Amount (a) | Value ($) | ||
Enel Finance America LLC: | |||
yankee 0.37% 7/11/22 | 7,000,000 | 6,976,389 | |
0.4% 8/11/22 | 5,000,000 | 4,976,995 | |
General Motors Financial Co., Inc.: | |||
0.38% 3/21/22 | 5,000,000 | 4,998,571 | |
0.4% 3/28/22 | 5,000,000 | 4,997,912 | |
0.45% 3/22/22 | 5,000,000 | 4,998,481 | |
HSBC U.S.A., Inc. 0.33% 10/4/22 | 5,000,000 | 4,967,149 | |
National Bank of Canada yankee 0.22% 8/30/22 (c)(d) | 8,000,000 | 7,999,146 | |
NatWest Markets PLC yankee 0.35% 4/19/22 | 10,000,000 | 9,992,597 | |
Sempra Energy 1% 5/23/22 | 10,000,000 | 9,981,520 | |
Thermo Fisher Scientific, Inc. 0.51% 6/1/22 | 8,000,000 | 7,983,550 | |
Viatris, Inc. 0.68% 4/26/22 | 5,000,000 | 4,993,398 | |
TOTAL COMMERCIAL PAPER (Cost $72,924,097) | 72,865,708 | ||
Short-Term Funds - 60.5% | |||
Shares | Value ($) | ||
Short-Term Funds - 60.5% | |||
Baird Short-Term Bond Fund - Institutional Class | 17,868,967 | 171,542,088 | |
Baird Ultra Short Bond Fund Institutional Class | 40,808,874 | 408,904,920 | |
BlackRock Low Duration Bond Portfolio Investor A Shares | 26,290,345 | 247,917,949 | |
Fidelity SAI Short-Term Bond Fund (g) | 24,086,798 | 236,050,621 | |
iShares Floating Rate Bond ETF (h) | 1,477,153 | 74,847,343 | |
iShares Short Maturity Bond ETF (h) | 4,526,102 | 225,083,052 | |
iShares Short Treasury Bond ETF (h)(i) | 3,199,074 | 352,825,871 | |
iShares Ultra Short-Term Bond ETF (h) | 2,934,817 | 147,591,947 | |
JPMorgan Ultra-Short Income ETF | 5,544,764 | 279,262,039 | |
Metropolitan West Low Duration Bond Fund - Class M | 28,905,864 | 251,770,075 | |
PIMCO Enhanced Low Duration Active ETF | 747,550 | 74,276,568 | |
PIMCO Enhanced Short Maturity Active ETF (h) | 3,163,695 | 319,659,743 | |
PIMCO Short-Term Fund Institutional Class | 86,165,158 | 837,525,325 | |
T. Rowe Price Ultra Short-Term Bond Fund | 56,663,317 | 283,883,217 | |
TOTAL SHORT-TERM FUNDS (Cost $3,929,332,940) | 3,911,140,758 | ||
Money Market Funds - 4.1% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 0.07% (j) | 92,713,212 | 92,731,755 | |
Fidelity Investments Money Market Government Portfolio Institutional Class 0.01% (g)(k) | 71,497,562 | 71,497,562 | |
Fidelity Securities Lending Cash Central Fund 0.07% (j)(l) | 90,689,820 | 90,698,889 | |
State Street Institutional U.S. Government Money Market Fund Premier Class 0.03% (k) | 8,406,539 | 8,406,539 | |
TOTAL MONEY MARKET FUNDS (Cost $263,329,771) | 263,334,745 | ||
TOTAL INVESTMENT IN SECURITIES - 101.8% (Cost $6,605,633,189) | 6,572,864,775 |
NET OTHER ASSETS (LIABILITIES) - (1.8)% | (114,008,117) |
NET ASSETS - 100.0% | 6,458,856,658 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
Purchased | |||||
Treasury Contracts | |||||
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 489 | Jun 2022 | 105,245,789 | 166,406 | 166,406 |
CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States) | 17 | Jun 2022 | 2,402,578 | 21,110 | 21,110 |
TOTAL PURCHASED | 187,516 | ||||
Sold | |||||
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 6 | Jun 2022 | 764,625 | (4,976) | (4,976) |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 86 | Jun 2022 | 10,172,188 | (44,466) | (44,466) |
TOTAL SOLD | (49,442) | ||||
TOTAL FUTURES CONTRACTS | 138,074 | ||||
The notional amount of futures purchased as a percentage of Net Assets is 1.6% | |||||
The notional amount of futures sold as a percentage of Net Assets is 0.2% |
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 $813,610,015 or 12.6% of net assets. |
(c) | Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(d) | Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors. |
(e) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(f) | 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 $474,037. |
(g) | Affiliated Fund |
(h) | Security or a portion of the security is on loan at period end. |
(i) | Non-income producing |
(j) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(k) | The rate quoted is the annualized seven-day yield of the fund at period end. |
(l) | Investment made with cash collateral received from securities on loan. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Affiliate | Value, beginning of period ($) | 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 0.07% | 140,618,356 | 545,519,476 | 593,406,077 | 40,763 | - | - | 92,731,755 | 0.2% |
Fidelity Securities Lending Cash Central Fund 0.07% | 83,337,814 | 1,458,688,526 | 1,451,327,451 | 92,874 | - | - | 90,698,889 | 0.2% |
Total | 223,956,170 | 2,004,208,002 | 2,044,733,528 | 133,637 | - | - | 183,430,644 |
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 Funds 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% | 367,658,318 | 242,540,171 | 538,700,927 | 18,471 | - | - | 71,497,562 |
Fidelity SAI Short-Term Bond Fund | 285,020,885 | 919,594 | 44,121,036 | 919,302 | (761,480) | (5,007,342) | 236,050,621 |
652,679,203 | 243,459,765 | 582,821,963 | 937,773 | (761,480) | (5,007,342) | 307,548,183 |
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 - Unadjusted 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:
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, Bank Notes and Commercial Paper 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.
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.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
Investments in 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):
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.
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.
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.
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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