Quarterly Holdings Report
for
Strategic Advisers® Fidelity® Core Income Fund
Offered exclusively to certain managed account clients of Strategic Advisers LLC or its affiliates - not available for sale to the general public
February 28, 2022
COI-NPRT3-0422
1.9887941.103
Nonconvertible Bonds - 10.3% | |||
Principal Amount (a) | Value ($) | ||
COMMUNICATION SERVICES - 1.0% | |||
Diversified Telecommunication Services - 0.3% | |||
Altice France SA: | |||
5.125% 1/15/29 (b) | 720,000 | 653,400 | |
8.125% 2/1/27 (b) | 325,000 | 342,128 | |
AT&T, Inc.: | |||
2.55% 12/1/33 | 2,825,000 | 2,620,259 | |
3.8% 12/1/57 | 39,772,000 | 37,314,202 | |
4.3% 2/15/30 | 3,992,000 | 4,345,932 | |
4.75% 5/15/46 | 41,310,000 | 45,802,857 | |
4.9% 6/15/42 | 6,909,000 | 7,635,482 | |
5.55% 8/15/41 | 12,537,000 | 14,916,318 | |
6.2% 3/15/40 | 2,303,000 | 2,808,388 | |
C&W Senior Financing Designated Activity Co. 6.875% 9/15/27 (b) | 1,246,000 | 1,286,470 | |
Frontier Communications Holdings LLC 5.875% 10/15/27 (b) | 235,000 | 238,323 | |
Iliad SA 1.5% 10/14/24 (Reg. S) | EUR | 5,600,000 | 6,047,380 |
Level 3 Financing, Inc.: | |||
3.625% 1/15/29 (b) | 85,000 | 74,449 | |
4.25% 7/1/28 (b) | 2,240,000 | 2,068,394 | |
Lumen Technologies, Inc.: | |||
4.5% 1/15/29 (b) | 280,000 | 234,342 | |
5.125% 12/15/26 (b) | 2,190,000 | 2,037,499 | |
5.625% 4/1/25 | 1,450,000 | 1,441,724 | |
6.875% 1/15/28 | 40,000 | 38,562 | |
Sable International Finance Ltd. 5.75% 9/7/27 (b) | 2,332,000 | 2,380,098 | |
Sprint Capital Corp.: | |||
6.875% 11/15/28 | 5,880,000 | 6,982,324 | |
8.75% 3/15/32 | 1,315,000 | 1,824,563 | |
Telecom Italia Capital SA: | |||
6% 9/30/34 | 286,000 | 271,700 | |
7.2% 7/18/36 | 1,635,000 | 1,659,525 | |
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (b) | 800,000 | 792,000 | |
Verizon Communications, Inc.: | |||
2.987% 10/30/56 | 1,378,000 | 1,174,923 | |
4.329% 9/21/28 | 10,293,000 | 11,207,907 | |
5.012% 4/15/49 | 129,000 | 155,990 | |
Virgin Media Finance PLC 5% 7/15/30 (b) | 636,000 | 597,840 | |
156,952,979 | |||
Entertainment - 0.1% | |||
Roblox Corp. 3.875% 5/1/30 (b) | 670,000 | 637,086 | |
The Walt Disney Co.: | |||
2.2% 1/13/28 | 10,316,000 | 10,105,450 | |
2.65% 1/13/31 | 13,000,000 | 12,874,597 | |
23,617,133 | |||
Interactive Media & Services - 0.0% | |||
Twitter, Inc. 3.875% 12/15/27 (b) | 510,000 | 501,394 | |
Media - 0.5% | |||
Advantage Sales & Marketing, Inc. 6.5% 11/15/28 (b) | 1,330,000 | 1,339,283 | |
Altice Financing SA: | |||
5% 1/15/28 (b) | 225,000 | 202,741 | |
5.75% 8/15/29 (b) | 1,500,000 | 1,366,875 | |
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||
4.25% 2/1/31 (b) | 940,000 | 880,724 | |
4.5% 8/15/30 (b) | 435,000 | 418,940 | |
4.5% 5/1/32 | 2,380,000 | 2,261,000 | |
4.5% 6/1/33 (b) | 500,000 | 468,750 | |
5% 2/1/28 (b) | 2,401,000 | 2,415,634 | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
2.8% 4/1/31 | 25,100,000 | 23,246,959 | |
3.7% 4/1/51 | 20,100,000 | 16,862,990 | |
4.464% 7/23/22 | 5,986,000 | 6,029,798 | |
4.8% 3/1/50 | 10,000,000 | 9,778,891 | |
4.908% 7/23/25 | 4,642,000 | 4,920,670 | |
5.375% 5/1/47 | 41,310,000 | 43,592,821 | |
5.75% 4/1/48 | 18,275,000 | 20,200,688 | |
Comcast Corp.: | |||
3.75% 4/1/40 | 1,000,000 | 1,009,756 | |
4.65% 7/15/42 | 2,578,000 | 2,921,074 | |
CSC Holdings LLC: | |||
4.125% 12/1/30 (b) | 510,000 | 457,939 | |
4.625% 12/1/30 (b) | 410,000 | 341,685 | |
5.5% 4/15/27 (b) | 564,000 | 562,590 | |
5.75% 1/15/30 (b) | 875,000 | 773,710 | |
6.5% 2/1/29 (b) | 1,500,000 | 1,518,750 | |
Diamond Sports Group LLC/Diamond Sports Finance Co. 5.375% 8/15/26 (b) | 925,000 | 379,250 | |
Discovery Communications LLC: | |||
3.625% 5/15/30 | 6,407,000 | 6,442,298 | |
4.65% 5/15/50 | 17,335,000 | 17,721,009 | |
Fox Corp.: | |||
5.476% 1/25/39 | 2,264,000 | 2,639,563 | |
5.576% 1/25/49 | 1,502,000 | 1,807,118 | |
Gray Television, Inc. 4.75% 10/15/30 (b) | 245,000 | 229,738 | |
Lagardere S.C.A. 2.125% 10/16/26 (Reg. S) | EUR | 1,400,000 | 1,572,117 |
Lamar Media Corp. 3.625% 1/15/31 | 515,000 | 483,454 | |
Scripps Escrow II, Inc. 3.875% 1/15/29 (b) | 225,000 | 210,857 | |
Sirius XM Radio, Inc.: | |||
3.875% 9/1/31 (b) | 275,000 | 253,349 | |
4.125% 7/1/30 (b) | 10,000,000 | 9,452,200 | |
5% 8/1/27 (b) | 375,000 | 380,076 | |
5.5% 7/1/29 (b) | 2,890,000 | 2,955,025 | |
Tegna, Inc.: | |||
4.625% 3/15/28 | 915,000 | 914,387 | |
5% 9/15/29 | 115,000 | 114,684 | |
Time Warner Cable LLC: | |||
4.5% 9/15/42 | 886,000 | 834,754 | |
5.5% 9/1/41 | 1,530,000 | 1,630,923 | |
5.875% 11/15/40 | 8,089,000 | 9,051,127 | |
6.55% 5/1/37 | 5,846,000 | 7,026,191 | |
6.75% 6/15/39 | 4,614,000 | 5,600,362 | |
7.3% 7/1/38 | 3,785,000 | 4,737,659 | |
Virgin Media Secured Finance PLC 5.5% 5/15/29 (b) | 415,000 | 414,624 | |
VZ Secured Financing BV 5% 1/15/32 (b) | 1,090,000 | 1,040,950 | |
Ziggo Bond Co. BV 5.125% 2/28/30 (b) | 540,000 | 503,550 | |
Ziggo BV 4.875% 1/15/30 (b) | 550,000 | 524,662 | |
218,492,195 | |||
Wireless Telecommunication Services - 0.1% | |||
Millicom International Cellular SA: | |||
4.5% 4/27/31 (b) | 7,026,000 | 6,541,206 | |
5.125% 1/15/28 (b) | 540,000 | 527,108 | |
T-Mobile U.S.A., Inc.: | |||
2.875% 2/15/31 | 695,000 | 652,132 | |
3.75% 4/15/27 | 10,840,000 | 11,255,163 | |
3.875% 4/15/30 | 22,877,000 | 23,656,904 | |
4.5% 4/15/50 | 4,597,000 | 4,792,648 | |
Vodafone Group PLC: | |||
4.875% 10/3/78 (Reg. S) (c) | GBP | 1,100,000 | 1,477,536 |
6.25% 10/3/78 (Reg. S) (c) | 1,445,000 | 1,495,575 | |
50,398,272 | |||
TOTAL COMMUNICATION SERVICES | 449,961,973 | ||
CONSUMER DISCRETIONARY - 0.7% | |||
Auto Components - 0.0% | |||
Allison Transmission, Inc. 3.75% 1/30/31 (b) | 615,000 | 571,181 | |
Dana, Inc. 4.5% 2/15/32 | 275,000 | 258,156 | |
Valeo SA 1% 8/3/28 (Reg. S) | EUR | 1,100,000 | 1,116,661 |
ZF Finance GmbH 2% 5/6/27 (Reg. S) | EUR | 1,400,000 | 1,441,542 |
3,387,540 | |||
Automobiles - 0.2% | |||
General Motors Co. 5.4% 10/2/23 | 18,263,000 | 19,187,267 | |
General Motors Financial Co., Inc.: | |||
3.7% 5/9/23 | 8,751,000 | 8,908,508 | |
4.25% 5/15/23 | 1,359,000 | 1,398,215 | |
Thor Industries, Inc. 4% 10/15/29 (b) | 355,000 | 323,938 | |
Volkswagen Group of America Finance LLC: | |||
2.9% 5/13/22 (b) | 10,524,000 | 10,562,277 | |
3.125% 5/12/23 (b) | 9,168,000 | 9,300,406 | |
3.35% 5/13/25 (b) | 14,765,000 | 15,079,473 | |
64,760,084 | |||
Diversified Consumer Services - 0.0% | |||
Adtalem Global Education, Inc. 5.5% 3/1/28 (b) | 825,000 | 737,905 | |
GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (b) | 765,000 | 774,467 | |
Service Corp. International 5.125% 6/1/29 | 970,000 | 994,250 | |
2,506,622 | |||
Hotels, Restaurants & Leisure - 0.1% | |||
Accor SA 2.375% 11/29/28 (Reg. S) | EUR | 800,000 | 862,340 |
Aramark Services, Inc.: | |||
5% 2/1/28 (b) | 3,530,000 | 3,536,301 | |
6.375% 5/1/25 (b) | 1,890,000 | 1,957,095 | |
Carnival Corp.: | |||
7.625% 3/1/26 (b) | 770,000 | 791,552 | |
10.5% 2/1/26 (b) | 1,105,000 | 1,240,363 | |
Hilton Domestic Operating Co., Inc.: | |||
3.625% 2/15/32 (b) | 660,000 | 627,396 | |
3.75% 5/1/29 (b) | 700,000 | 675,500 | |
4% 5/1/31 (b) | 1,535,000 | 1,500,332 | |
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. 4.875% 4/1/27 | 164,000 | 167,485 | |
InterContinental Hotel Group PLC 3.375% 10/8/28 (Reg. S) | GBP | 2,335,000 | 3,154,643 |
Melco Resorts Finance Ltd.: | |||
4.875% 6/6/25 (b) | 750,000 | 714,938 | |
5.375% 12/4/29 (b) | 260,000 | 225,631 | |
5.75% 7/21/28 (b) | 390,000 | 352,463 | |
MGM Resorts International 5.75% 6/15/25 | 820,000 | 849,725 | |
NCL Corp. Ltd. 5.875% 2/15/27 (b) | 365,000 | 364,790 | |
Royal Caribbean Cruises Ltd.: | |||
5.375% 7/15/27 (b) | 245,000 | 240,678 | |
5.5% 4/1/28 (b) | 755,000 | 739,968 | |
9.125% 6/15/23 (b) | 130,000 | 135,688 | |
11.5% 6/1/25 (b) | 325,000 | 357,906 | |
Starbucks Corp. 1.3% 5/7/22 | 5,502,000 | 5,504,885 | |
Whitbread PLC: | |||
2.375% 5/31/27 (Reg. S) | GBP | 2,360,000 | 3,048,642 |
3.375% 10/16/25 (Reg. S) | GBP | 3,355,000 | 4,569,855 |
Wyndham Hotels & Resorts, Inc. 4.375% 8/15/28 (b) | 290,000 | 285,650 | |
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 5.5% 3/1/25 (b) | 645,000 | 654,149 | |
Yum! Brands, Inc. 3.625% 3/15/31 | 358,000 | 334,526 | |
32,892,501 | |||
Household Durables - 0.2% | |||
Century Communities, Inc. 3.875% 8/15/29 (b) | 325,000 | 301,327 | |
D.R. Horton, Inc. 1.3% 10/15/26 | 15,859,000 | 14,925,325 | |
Lennar Corp.: | |||
4.75% 11/29/27 | 9,429,000 | 10,250,468 | |
5% 6/15/27 | 12,243,000 | 13,282,196 | |
5.25% 6/1/26 | 2,965,000 | 3,225,752 | |
Newell Brands, Inc.: | |||
5.875% 4/1/36 | 270,000 | 295,988 | |
6% 4/1/46 | 1,185,000 | 1,324,747 | |
Tempur Sealy International, Inc. 3.875% 10/15/31 (b) | 280,000 | 251,539 | |
The Berkeley Group PLC 2.5% 8/11/31 (Reg. S) | GBP | 1,820,000 | 2,197,953 |
Toll Brothers Finance Corp.: | |||
4.35% 2/15/28 | 14,431,000 | 15,059,383 | |
4.875% 11/15/25 | 45,000 | 47,748 | |
4.875% 3/15/27 | 15,464,000 | 16,486,406 | |
TopBuild Corp. 4.125% 2/15/32 (b) | 580,000 | 551,522 | |
78,200,354 | |||
Internet & Direct Marketing Retail - 0.0% | |||
Alibaba Group Holding Ltd.: | |||
2.125% 2/9/31 | 2,350,000 | 2,111,428 | |
2.7% 2/9/41 | 12,255,000 | 9,850,446 | |
Match Group Holdings II LLC: | |||
3.625% 10/1/31 (b) | 410,000 | 382,325 | |
4.125% 8/1/30 (b) | 170,000 | 164,557 | |
12,508,756 | |||
Leisure Products - 0.0% | |||
Hasbro, Inc. 3% 11/19/24 | 6,474,000 | 6,584,488 | |
Mattel, Inc.: | |||
3.75% 4/1/29 (b) | 430,000 | 430,430 | |
5.45% 11/1/41 | 70,000 | 77,301 | |
6.2% 10/1/40 | 531,000 | 631,890 | |
7,724,109 | |||
Multiline Retail - 0.0% | |||
John Lewis PLC 6.125% 1/21/25 | GBP | 1,157,000 | 1,661,183 |
Marks & Spencer PLC 4.5% 7/10/27 (Reg. S) | GBP | 2,700,000 | 3,619,696 |
Nordstrom, Inc.: | |||
4.25% 8/1/31 | 10,000,000 | 8,953,600 | |
4.375% 4/1/30 | 510,000 | 468,282 | |
14,702,761 | |||
Specialty Retail - 0.1% | |||
Asbury Automotive Group, Inc.: | |||
4.625% 11/15/29 (b) | 175,000 | 170,625 | |
5% 2/15/32 (b) | 190,000 | 184,431 | |
AutoNation, Inc.: | |||
2.4% 8/1/31 | 23,196,000 | 20,914,169 | |
4.75% 6/1/30 | 1,430,000 | 1,540,916 | |
AutoZone, Inc. 4% 4/15/30 | 19,121,000 | 20,318,539 | |
Bath & Body Works, Inc. 6.625% 10/1/30 (b) | 825,000 | 893,096 | |
Foot Locker, Inc. 4% 10/1/29 (b) | 145,000 | 131,950 | |
Gap, Inc. 3.875% 10/1/31 (b) | 275,000 | 246,451 | |
LCM Investments Holdings 4.875% 5/1/29 (b) | 120,000 | 114,338 | |
VIA Outlets 1.75% 11/15/28 (Reg. S) | EUR | 1,300,000 | 1,380,619 |
45,895,134 | |||
Textiles, Apparel & Luxury Goods - 0.1% | |||
Crocs, Inc. 4.125% 8/15/31 (b) | 285,000 | 242,963 | |
Hanesbrands, Inc. 4.875% 5/15/26 (b) | 615,000 | 626,273 | |
Kontoor Brands, Inc. 4.125% 11/15/29 (b) | 95,000 | 89,538 | |
Levi Strauss & Co. 3.5% 3/1/31 (b) | 355,000 | 330,849 | |
Tapestry, Inc. 3.05% 3/15/32 | 38,118,000 | 36,264,927 | |
The William Carter Co. 5.625% 3/15/27 (b) | 446,000 | 454,363 | |
Wolverine World Wide, Inc. 4% 8/15/29 (b) | 380,000 | 350,550 | |
38,359,463 | |||
TOTAL CONSUMER DISCRETIONARY | 300,937,324 | ||
CONSUMER STAPLES - 0.8% | |||
Beverages - 0.3% | |||
Anheuser-Busch InBev Finance, Inc.: | |||
4.7% 2/1/36 | 6,600,000 | 7,305,239 | |
4.9% 2/1/46 | 14,391,000 | 16,096,609 | |
Anheuser-Busch InBev Worldwide, Inc.: | |||
3.5% 6/1/30 | 10,375,000 | 10,839,133 | |
4.35% 6/1/40 | 6,274,000 | 6,690,837 | |
4.5% 6/1/50 | 11,500,000 | 12,654,382 | |
4.6% 6/1/60 | 18,803,000 | 20,551,698 | |
4.75% 1/23/29 | 11,220,000 | 12,454,934 | |
4.75% 4/15/58 | 5,641,000 | 6,234,994 | |
5.45% 1/23/39 | 5,480,000 | 6,528,419 | |
5.55% 1/23/49 | 13,389,000 | 16,578,382 | |
5.8% 1/23/59 (Reg. S) | 14,304,000 | 18,334,063 | |
Constellation Brands, Inc. 4.75% 11/15/24 | 3,799,000 | 4,038,319 | |
PepsiCo, Inc.: | |||
2.625% 3/19/27 | 1,114,000 | 1,138,822 | |
2.75% 3/19/30 | 5,700,000 | 5,711,569 | |
145,157,400 | |||
Food & Staples Retailing - 0.2% | |||
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC: | |||
3.5% 3/15/29 (b) | 2,290,000 | 2,129,700 | |
4.625% 1/15/27 (b) | 125,000 | 125,548 | |
4.875% 2/15/30 (b) | 1,090,000 | 1,092,725 | |
Sysco Corp. 6.6% 4/1/50 | 53,060,000 | 73,821,437 | |
U.S. Foods, Inc.: | |||
4.625% 6/1/30 (b) | 130,000 | 126,409 | |
6.25% 4/15/25 (b) | 1,210,000 | 1,251,503 | |
78,547,322 | |||
Food Products - 0.3% | |||
Darling Ingredients, Inc. 5.25% 4/15/27 (b) | 615,000 | 625,799 | |
General Mills, Inc. 2.875% 4/15/30 | 1,277,000 | 1,276,493 | |
JBS Finance Luxembourg SARL: | |||
2.5% 1/15/27 (b) | 13,235,000 | 12,441,032 | |
3.625% 1/15/32 (b) | 4,530,000 | 4,110,296 | |
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc. 6.75% 2/15/28 (b) | 2,139,000 | 2,251,319 | |
JBS U.S.A. Lux SA / JBS Food Co.: | |||
3% 5/15/32 (b) | 13,470,000 | 11,887,410 | |
5.5% 1/15/30 (b) | 25,145,000 | 25,980,443 | |
6.5% 4/15/29 (b) | 43,696,000 | 46,372,380 | |
JDE Peet's BV 2.25% 9/24/31 (b) | 2,500,000 | 2,266,291 | |
Kraft Heinz Foods Co.: | |||
3% 6/1/26 | 1,305,000 | 1,303,304 | |
3.875% 5/15/27 | 560,000 | 579,852 | |
4.375% 6/1/46 | 11,995,000 | 12,294,875 | |
4.875% 10/1/49 | 10,000,000 | 11,075,000 | |
5% 7/15/35 | 1,595,000 | 1,792,381 | |
5.2% 7/15/45 | 6,203,000 | 6,999,031 | |
7.125% 8/1/39 (b) | 9,489,000 | 12,896,120 | |
Lamb Weston Holdings, Inc. 4.875% 5/15/28 (b) | 825,000 | 847,688 | |
Post Holdings, Inc. 4.625% 4/15/30 (b) | 905,000 | 852,021 | |
TreeHouse Foods, Inc. 4% 9/1/28 | 390,000 | 355,875 | |
156,207,610 | |||
Personal Products - 0.0% | |||
Prestige Brands, Inc. 3.75% 4/1/31 (b) | 340,000 | 313,293 | |
Tobacco - 0.0% | |||
BAT International Finance PLC 2.25% 6/26/28 (Reg. S) | GBP | 7,165,000 | 8,802,222 |
TOTAL CONSUMER STAPLES | 389,027,847 | ||
ENERGY - 1.0% | |||
Energy Equipment & Services - 0.0% | |||
Technip Energies NV 1.125% 5/28/28 | EUR | 1,465,000 | 1,536,930 |
Oil, Gas & Consumable Fuels - 1.0% | |||
Apache Corp.: | |||
5.1% 9/1/40 | 330,000 | 330,033 | |
5.25% 2/1/42 | 495,000 | 487,575 | |
5.35% 7/1/49 | 80,000 | 79,638 | |
Cenovus Energy, Inc. 6.75% 11/15/39 | 9,060,000 | 11,352,804 | |
Cheniere Energy Partners LP: | |||
3.25% 1/31/32 (b) | 275,000 | 258,500 | |
4% 3/1/31 | 925,000 | 911,125 | |
Cheniere Energy, Inc. 4.625% 10/15/28 | 595,000 | 607,888 | |
Citgo Petroleum Corp. 6.375% 6/15/26 (b) | 660,000 | 654,918 | |
CNX Midstream Partners LP 4.75% 4/15/30 (b) | 115,000 | 111,119 | |
Colgate Energy Partners III LLC 5.875% 7/1/29 (b) | 145,000 | 149,246 | |
Columbia Pipeline Group, Inc. 4.5% 6/1/25 | 852,000 | 903,474 | |
Continental Resources, Inc. 5.75% 1/15/31 (b) | 895,000 | 998,256 | |
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.: | |||
5.625% 5/1/27 (b) | 1,653,000 | 1,640,603 | |
5.75% 4/1/25 | 2,038,000 | 2,050,738 | |
6% 2/1/29 (b) | 1,420,000 | 1,431,175 | |
CVR Energy, Inc.: | |||
5.25% 2/15/25 (b) | 790,000 | 764,744 | |
5.75% 2/15/28 (b) | 105,000 | 98,963 | |
DCP Midstream Operating LP: | |||
3.875% 3/15/23 | 3,116,000 | 3,151,055 | |
5.125% 5/15/29 | 1,740,000 | 1,831,350 | |
5.375% 7/15/25 | 540,000 | 571,917 | |
5.6% 4/1/44 | 2,748,000 | 3,009,060 | |
5.625% 7/15/27 | 620,000 | 665,880 | |
5.85% 5/21/43 (b)(c) | 29,466,000 | 27,403,380 | |
6.45% 11/3/36 (b) | 210,000 | 253,963 | |
8.125% 8/16/30 | 15,000 | 19,050 | |
EG Global Finance PLC 6.75% 2/7/25 (b) | 530,000 | 530,000 | |
Enbridge, Inc.: | |||
4% 10/1/23 | 3,854,000 | 3,953,508 | |
4.25% 12/1/26 | 1,461,000 | 1,556,777 | |
Endeavor Energy Resources LP/EER Finance, Inc.: | |||
5.75% 1/30/28 (b) | 435,000 | 450,525 | |
6.625% 7/15/25 (b) | 110,000 | 114,960 | |
Energy Transfer LP: | |||
3.75% 5/15/30 | 3,643,000 | 3,701,892 | |
3.9% 5/15/24 (c) | 869,000 | 891,331 | |
4.2% 9/15/23 | 1,203,000 | 1,237,070 | |
4.25% 3/15/23 | 1,393,000 | 1,419,660 | |
4.5% 4/15/24 | 1,576,000 | 1,638,560 | |
4.95% 6/15/28 | 4,103,000 | 4,412,718 | |
5% 5/15/50 | 7,800,000 | 8,112,662 | |
5.25% 4/15/29 | 2,564,000 | 2,814,101 | |
5.4% 10/1/47 | 1,732,000 | 1,853,407 | |
5.8% 6/15/38 | 2,288,000 | 2,539,185 | |
6% 6/15/48 | 1,490,000 | 1,671,762 | |
6.25% 4/15/49 | 1,761,000 | 2,033,586 | |
EnLink Midstream LLC 5.625% 1/15/28 (b) | 105,000 | 106,050 | |
EnLink Midstream Partners LP: | |||
5.05% 4/1/45 | 140,000 | 115,760 | |
5.45% 6/1/47 | 290,000 | 245,775 | |
5.6% 4/1/44 | 490,000 | 417,725 | |
EQM Midstream Partners LP: | |||
4.75% 1/15/31 (b) | 550,000 | 515,625 | |
5.5% 7/15/28 | 440,000 | 431,974 | |
6.5% 7/1/27 (b) | 465,000 | 486,339 | |
6.5% 7/15/48 | 265,000 | 258,375 | |
EQT Corp. 3.9% 10/1/27 | 405,000 | 409,331 | |
Global Partners LP/GLP Finance Corp. 7% 8/1/27 | 1,200,000 | 1,209,000 | |
Hess Corp.: | |||
4.3% 4/1/27 | 7,041,000 | 7,443,750 | |
5.6% 2/15/41 | 57,796,000 | 66,298,626 | |
5.8% 4/1/47 | 5,019,000 | 6,005,999 | |
7.125% 3/15/33 | 1,403,000 | 1,779,037 | |
7.3% 8/15/31 | 1,709,000 | 2,167,221 | |
7.875% 10/1/29 | 4,789,000 | 6,145,184 | |
Hess Midstream Partners LP: | |||
5.125% 6/15/28 (b) | 780,000 | 796,641 | |
5.625% 2/15/26 (b) | 1,503,000 | 1,540,575 | |
Hilcorp Energy I LP/Hilcorp Finance Co. 6.25% 11/1/28 (b) | 185,000 | 188,578 | |
Holly Energy Partners LP/Holly Energy Finance Corp. 5% 2/1/28 (b) | 910,000 | 869,050 | |
MPLX LP: | |||
4.8% 2/15/29 | 1,376,000 | 1,507,592 | |
4.875% 12/1/24 | 1,974,000 | 2,091,725 | |
5.5% 2/15/49 | 4,129,000 | 4,710,319 | |
Murphy Oil U.S.A., Inc. 3.75% 2/15/31 (b) | 110,000 | 102,025 | |
New Fortress Energy, Inc. 6.5% 9/30/26 (b) | 650,000 | 623,425 | |
Occidental Petroleum Corp.: | |||
3.5% 8/15/29 | 3,191,000 | 3,175,045 | |
4.2% 3/15/48 | 310,000 | 289,850 | |
4.3% 8/15/39 | 562,000 | 531,090 | |
4.4% 4/15/46 | 480,000 | 455,990 | |
4.4% 8/15/49 | 3,942,000 | 3,744,072 | |
5.55% 3/15/26 | 5,734,000 | 6,162,330 | |
6.125% 1/1/31 | 365,000 | 415,042 | |
6.2% 3/15/40 | 160,000 | 178,046 | |
6.45% 9/15/36 | 5,135,000 | 6,046,463 | |
6.6% 3/15/46 | 4,886,000 | 5,838,770 | |
7.5% 5/1/31 | 7,400,000 | 8,972,500 | |
7.875% 9/15/31 | 100,000 | 123,682 | |
8.875% 7/15/30 | 345,000 | 446,085 | |
Ovintiv, Inc.: | |||
5.15% 11/15/41 | 3,000,000 | 3,011,817 | |
8.125% 9/15/30 | 5,649,000 | 7,248,547 | |
PBF Holding Co. LLC/PBF Finance Corp. 9.25% 5/15/25 (b) | 1,500,000 | 1,515,000 | |
Petroleos Mexicanos: | |||
5.95% 1/28/31 | 3,260,000 | 3,031,637 | |
6.35% 2/12/48 | 1,560,000 | 1,247,516 | |
6.49% 1/23/27 | 3,630,000 | 3,726,195 | |
6.5% 3/13/27 | 9,576,000 | 9,829,764 | |
6.75% 9/21/47 | 22,490,000 | 18,518,266 | |
6.84% 1/23/30 | 12,004,000 | 11,984,193 | |
6.95% 1/28/60 | 32,166,000 | 26,556,250 | |
7.69% 1/23/50 | 100,606,000 | 90,042,370 | |
Plains All American Pipeline LP/PAA Finance Corp.: | |||
3.55% 12/15/29 | 1,968,000 | 1,942,298 | |
3.6% 11/1/24 | 1,903,000 | 1,947,517 | |
3.65% 6/1/22 | 3,779,000 | 3,779,000 | |
Rattler Midstream LP 5.625% 7/15/25 (b) | 1,110,000 | 1,129,425 | |
Rockies Express Pipeline LLC: | |||
4.8% 5/15/30 (b) | 735,000 | 711,113 | |
4.95% 7/15/29 (b) | 276,000 | 267,030 | |
6.875% 4/15/40 (b) | 105,000 | 107,100 | |
Sabine Pass Liquefaction LLC 4.5% 5/15/30 | 14,626,000 | 15,778,359 | |
Sunoco LP/Sunoco Finance Corp.: | |||
4.5% 5/15/29 | 635,000 | 608,521 | |
5.875% 3/15/28 | 135,000 | 137,363 | |
6% 4/15/27 | 15,000 | 15,484 | |
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.: | |||
5.5% 1/15/28 (b) | 125,000 | 120,469 | |
6% 3/1/27 (b) | 545,000 | 545,000 | |
6% 12/31/30 (b) | 655,000 | 630,870 | |
6% 9/1/31 (b) | 270,000 | 254,475 | |
Targa Resources Partners LP/Targa Resources Partners Finance Corp.: | |||
5.375% 2/1/27 | 128,000 | 131,680 | |
5.5% 3/1/30 | 135,000 | 142,938 | |
5.875% 4/15/26 | 881,000 | 909,633 | |
The Williams Companies, Inc.: | |||
3.5% 11/15/30 | 15,742,000 | 16,002,696 | |
3.7% 1/15/23 | 808,000 | 819,284 | |
5.1% 9/15/45 | 9,765,000 | 10,765,465 | |
Venture Global Calcasieu Pass LLC: | |||
3.875% 8/15/29 (b) | 340,000 | 332,843 | |
3.875% 11/1/33 (b) | 275,000 | 264,817 | |
4.125% 8/15/31 (b) | 325,000 | 321,750 | |
Western Gas Partners LP: | |||
3.95% 6/1/25 | 1,280,000 | 1,296,000 | |
4.55% 2/1/30 | 1,420,000 | 1,460,555 | |
4.65% 7/1/26 | 2,046,000 | 2,119,963 | |
4.75% 8/15/28 | 1,236,000 | 1,279,260 | |
482,045,287 | |||
TOTAL ENERGY | 483,582,217 | ||
FINANCIALS - 4.6% | |||
Banks - 2.4% | |||
AIB Group PLC: | |||
1.875% 11/19/29 (Reg. S) (c) | EUR | 2,710,000 | 2,993,543 |
2.875% 5/30/31 (Reg. S) (c) | EUR | 450,000 | 503,251 |
Alpha Bank SA 4.25% 2/13/30 (Reg. S) (c) | EUR | 895,000 | 913,202 |
Bank of America Corp.: | |||
1.734% 7/22/27 (c) | 25,000,000 | 23,864,062 | |
2.299% 7/21/32 (c) | 50,000,000 | 46,382,646 | |
3.3% 1/11/23 | 2,658,000 | 2,702,670 | |
3.419% 12/20/28 (c) | 5,193,000 | 5,309,009 | |
3.5% 4/19/26 | 6,078,000 | 6,295,569 | |
3.95% 4/21/25 | 37,660,000 | 39,053,231 | |
4% 1/22/25 | 26,856,000 | 27,882,710 | |
4.1% 7/24/23 | 1,426,000 | 1,473,213 | |
4.183% 11/25/27 | 6,909,000 | 7,258,827 | |
4.2% 8/26/24 | 8,311,000 | 8,653,399 | |
4.25% 10/22/26 | 38,178,000 | 40,310,157 | |
4.45% 3/3/26 | 6,522,000 | 6,949,362 | |
Bank of Ireland Group PLC: | |||
1.375% 8/11/31 (Reg. S) (c) | EUR | 4,235,000 | 4,483,404 |
2.029% 9/30/27 (b)(c) | 2,500,000 | 2,351,385 | |
Banque Federative du Credit Mutuel SA 3 month U.S. LIBOR + 0.730% 0.984% 7/20/22 (b)(c)(d) | 8,158,000 | 8,174,032 | |
Barclays Bank PLC 1.7% 5/12/22 | 5,246,000 | 5,250,536 | |
Barclays PLC: | |||
2.279% 11/24/27 (c) | 25,000,000 | 24,116,228 | |
2.852% 5/7/26 (c) | 14,944,000 | 14,938,525 | |
4.375% 1/12/26 | 4,468,000 | 4,707,474 | |
4.836% 5/9/28 | 6,102,000 | 6,444,724 | |
5.088% 6/20/30 (c) | 29,218,000 | 31,166,628 | |
5.2% 5/12/26 | 1,556,000 | 1,667,923 | |
BNP Paribas SA: | |||
2.159% 9/15/29 (b)(c) | 3,350,000 | 3,101,498 | |
2.219% 6/9/26 (b)(c) | 13,752,000 | 13,473,007 | |
BPCE SA: | |||
1.5% 1/13/42 (Reg. S) (c) | EUR | 2,200,000 | 2,334,256 |
4.875% 4/1/26 (b) | 7,383,000 | 7,813,825 | |
Citigroup, Inc.: | |||
4.075% 4/23/29 (c) | 4,606,000 | 4,846,313 | |
4.125% 7/25/28 | 6,909,000 | 7,263,180 | |
4.3% 11/20/26 | 1,766,000 | 1,878,098 | |
4.4% 6/10/25 | 19,341,000 | 20,291,862 | |
4.412% 3/31/31 (c) | 34,201,000 | 37,055,682 | |
4.45% 9/29/27 | 21,445,000 | 22,903,965 | |
4.6% 3/9/26 | 17,445,000 | 18,604,783 | |
5.3% 5/6/44 | 9,501,000 | 11,204,537 | |
5.5% 9/13/25 | 7,738,000 | 8,435,120 | |
Citizens Financial Group, Inc. 2.638% 9/30/32 | 7,305,000 | 6,774,482 | |
Commonwealth Bank of Australia 3.61% 9/12/34 (b)(c) | 3,723,000 | 3,717,460 | |
Danske Bank A/S 2.25% 1/14/28 (Reg. S) (c) | GBP | 1,760,000 | 2,305,211 |
DNB Bank ASA 1.535% 5/25/27 (b)(c) | 48,309,000 | 46,125,208 | |
First Citizens Bank & Trust Co.: | |||
3.929% 6/19/24 (c) | 1,900,000 | 1,937,875 | |
6.125% 3/9/28 | 40,920,000 | 46,785,033 | |
HAT Holdings I LLC/HAT Holdings II LLC 3.375% 6/15/26 (b) | 350,000 | 331,625 | |
HSBC Holdings PLC: | |||
2.251% 11/22/27 (c) | 25,000,000 | 24,099,691 | |
4.25% 3/14/24 | 1,433,000 | 1,484,482 | |
4.95% 3/31/30 | 2,548,000 | 2,818,483 | |
5.25% 3/14/44 | 1,039,000 | 1,190,993 | |
Intesa Sanpaolo SpA: | |||
4.198% 6/1/32 (b)(c) | 17,320,000 | 15,667,215 | |
5.017% 6/26/24 (b) | 10,324,000 | 10,632,528 | |
5.71% 1/15/26 (b) | 80,549,000 | 84,904,083 | |
JPMorgan Chase & Co.: | |||
2.956% 5/13/31 (c) | 7,934,000 | 7,715,086 | |
4.125% 12/15/26 | 15,380,000 | 16,360,010 | |
Lloyds Banking Group PLC 1.985% 12/15/31 (c) | GBP | 1,195,000 | 1,510,546 |
NatWest Group PLC: | |||
3.073% 5/22/28 (c) | 8,707,000 | 8,704,018 | |
3.622% 8/14/30 (Reg. S) (c) | GBP | 3,400,000 | 4,586,460 |
4.8% 4/5/26 | 19,815,000 | 21,244,811 | |
5.125% 5/28/24 | 35,958,000 | 37,837,811 | |
6% 12/19/23 | 43,478,000 | 46,119,018 | |
6.1% 6/10/23 | 19,857,000 | 20,811,362 | |
6.125% 12/15/22 | 21,905,000 | 22,631,236 | |
NatWest Markets PLC 2.375% 5/21/23 (b) | 15,700,000 | 15,806,162 | |
Rabobank Nederland 4.375% 8/4/25 | 4,789,000 | 5,014,110 | |
Societe Generale: | |||
1.038% 6/18/25 (b)(c) | 75,000,000 | 72,165,881 | |
1.488% 12/14/26 (b)(c) | 16,638,000 | 15,552,059 | |
4.25% 4/14/25 (b) | 7,110,000 | 7,280,588 | |
4.75% 11/24/25 (b) | 1,485,000 | 1,548,172 | |
Synchrony Bank 3% 6/15/22 | 3,984,000 | 4,000,751 | |
UniCredit SpA 2.731% 1/15/32 (Reg. S) (c) | EUR | 3,365,000 | 3,596,098 |
Virgin Money UK PLC 5.125% 12/11/30 (Reg. S) (c) | GBP | 1,075,000 | 1,508,352 |
Wells Fargo & Co.: | |||
2.406% 10/30/25 (c) | 7,739,000 | 7,713,952 | |
4.3% 7/22/27 | 25,328,000 | 27,028,162 | |
4.478% 4/4/31 (c) | 19,300,000 | 21,066,615 | |
Westpac Banking Corp. 4.11% 7/24/34 (c) | 5,171,000 | 5,339,234 | |
1,106,966,699 | |||
Capital Markets - 1.1% | |||
Affiliated Managers Group, Inc. 4.25% 2/15/24 | 1,396,000 | 1,455,459 | |
Ares Capital Corp.: | |||
3.25% 7/15/25 | 42,000,000 | 41,594,529 | |
3.875% 1/15/26 | 22,188,000 | 22,495,155 | |
4.2% 6/10/24 | 15,463,000 | 15,972,526 | |
Coinbase Global, Inc.: | |||
3.375% 10/1/28 (b) | 685,000 | 624,131 | |
3.625% 10/1/31 (b) | 685,000 | 603,331 | |
Credit Suisse Group AG: | |||
2.125% 11/15/29 (Reg. S) (c) | GBP | 1,300,000 | 1,638,776 |
2.593% 9/11/25 (b)(c) | 14,306,000 | 14,234,862 | |
3.75% 3/26/25 | 9,717,000 | 9,966,078 | |
4.194% 4/1/31 (b)(c) | 38,618,000 | 40,106,641 | |
4.282% 1/9/28 (b) | 2,250,000 | 2,339,994 | |
4.55% 4/17/26 | 3,126,000 | 3,301,030 | |
Deutsche Bank AG 4.5% 4/1/25 | 33,327,000 | 34,260,637 | |
Deutsche Bank AG New York Branch: | |||
2.311% 11/16/27 (c) | 25,000,000 | 23,888,491 | |
3.3% 11/16/22 | 7,369,000 | 7,447,652 | |
3.729% 1/14/32 (c) | 10,000,000 | 9,438,462 | |
4.1% 1/13/26 | 8,332,000 | 8,631,174 | |
Goldman Sachs Group, Inc.: | |||
2.383% 7/21/32 (c) | 18,425,000 | 17,079,350 | |
3.272% 9/29/25 (c) | 35,921,000 | 36,539,096 | |
4.25% 10/21/25 | 12,215,000 | 12,831,661 | |
6.75% 10/1/37 | 59,592,000 | 78,298,027 | |
Hightower Holding LLC 6.75% 4/15/29 (b) | 835,000 | 835,000 | |
Intercontinental Exchange, Inc. 3.75% 12/1/25 | 2,038,000 | 2,139,966 | |
Jane Street Group LLC/JSG Finance, Inc. 4.5% 11/15/29 (b) | 155,000 | 151,125 | |
LPL Holdings, Inc. 4% 3/15/29 (b) | 1,070,000 | 1,039,238 | |
Morgan Stanley: | |||
3.125% 7/27/26 | 14,775,000 | 15,060,966 | |
3.622% 4/1/31 (c) | 17,370,000 | 17,957,107 | |
3.625% 1/20/27 | 16,594,000 | 17,286,950 | |
3.7% 10/23/24 | 4,754,000 | 4,913,667 | |
3.875% 4/29/24 | 4,377,000 | 4,525,542 | |
4.875% 11/1/22 | 9,955,000 | 10,181,313 | |
5% 11/24/25 | 21,351,000 | 23,075,875 | |
MSCI, Inc. 3.25% 8/15/33 (b) | 215,000 | 203,401 | |
State Street Corp.: | |||
2.825% 3/30/23 (c) | 1,216,000 | 1,217,068 | |
2.901% 3/30/26 (c) | 1,141,000 | 1,158,607 | |
UBS Group AG 1.494% 8/10/27 (b)(c) | 11,792,000 | 11,122,405 | |
493,615,292 | |||
Consumer Finance - 0.8% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
1.65% 10/29/24 | 47,700,000 | 46,292,789 | |
1.75% 1/30/26 | 14,780,000 | 14,003,639 | |
2.45% 10/29/26 | 8,602,000 | 8,299,014 | |
2.875% 8/14/24 | 8,576,000 | 8,582,856 | |
3% 10/29/28 | 9,010,000 | 8,678,152 | |
3.3% 1/30/32 | 9,639,000 | 9,151,035 | |
3.5% 5/26/22 | 293,000 | 294,225 | |
4.125% 7/3/23 | 4,250,000 | 4,344,904 | |
4.45% 4/3/26 | 4,254,000 | 4,442,034 | |
4.875% 1/16/24 | 6,629,000 | 6,880,104 | |
6.5% 7/15/25 | 6,613,000 | 7,285,537 | |
Ally Financial, Inc.: | |||
1.45% 10/2/23 | 3,893,000 | 3,843,953 | |
3.05% 6/5/23 | 17,631,000 | 17,840,288 | |
3.875% 5/21/24 | 8,893,000 | 9,152,377 | |
4.625% 3/30/25 | 3,595,000 | 3,778,013 | |
5.125% 9/30/24 | 3,534,000 | 3,744,816 | |
5.8% 5/1/25 | 9,417,000 | 10,190,723 | |
8% 11/1/31 | 5,022,000 | 6,615,143 | |
Capital One Financial Corp.: | |||
3.65% 5/11/27 | 21,700,000 | 22,471,731 | |
3.8% 1/31/28 | 10,723,000 | 11,165,014 | |
Discover Financial Services: | |||
3.95% 11/6/24 | 1,874,000 | 1,944,836 | |
4.1% 2/9/27 | 13,375,000 | 14,027,509 | |
4.5% 1/30/26 | 5,913,000 | 6,292,797 | |
Ford Motor Credit Co. LLC: | |||
2.3% 2/10/25 | 275,000 | 266,780 | |
2.7% 8/10/26 | 5,665,000 | 5,424,238 | |
2.9% 2/10/29 | 275,000 | 256,781 | |
3.625% 6/17/31 | 5,000,000 | 4,808,063 | |
4% 11/13/30 | 17,230,000 | 17,092,160 | |
4.063% 11/1/24 | 46,639,000 | 47,326,832 | |
4.125% 8/17/27 | 19,335,000 | 19,475,179 | |
4.687% 6/9/25 | 430,000 | 443,201 | |
5.113% 5/3/29 | 1,320,000 | 1,391,531 | |
5.125% 6/16/25 | 320,000 | 334,720 | |
5.584% 3/18/24 | 8,520,000 | 8,860,800 | |
OneMain Finance Corp.: | |||
3.5% 1/15/27 | 2,190,000 | 2,071,740 | |
3.875% 9/15/28 | 1,350,000 | 1,250,438 | |
Synchrony Financial: | |||
2.85% 7/25/22 | 2,154,000 | 2,165,259 | |
3.95% 12/1/27 | 8,239,000 | 8,487,503 | |
4.25% 8/15/24 | 8,335,000 | 8,638,222 | |
4.375% 3/19/24 | 8,694,000 | 8,989,918 | |
5.15% 3/19/29 | 18,424,000 | 20,031,501 | |
386,636,355 | |||
Diversified Financial Services - 0.1% | |||
Brixmor Operating Partnership LP: | |||
4.05% 7/1/30 | 9,134,000 | 9,476,013 | |
4.125% 6/15/26 | 5,362,000 | 5,666,557 | |
4.125% 5/15/29 | 19,691,000 | 20,822,950 | |
Equitable Holdings, Inc. 3.9% 4/20/23 | 674,000 | 689,666 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | |||
4.75% 9/15/24 | 740,000 | 738,150 | |
5.25% 5/15/27 | 3,430,000 | 3,404,275 | |
6.25% 5/15/26 | 2,206,000 | 2,225,225 | |
Leighton Finance U.S.A. Pty Ltd. 1.5% 5/28/29 (Reg. S) | EUR | 2,050,000 | 2,185,933 |
M&G PLC 5.625% 10/20/51 (Reg. S) (c) | GBP | 1,485,000 | 2,154,426 |
Park Aerospace Holdings Ltd. 5.5% 2/15/24 (b) | 7,300,000 | 7,643,866 | |
Pine Street Trust I 4.572% 2/15/29 (b) | 7,749,000 | 8,337,041 | |
Pine Street Trust II 5.568% 2/15/49 (b) | 7,700,000 | 9,151,341 | |
VMED O2 UK Financing I PLC 4.25% 1/31/31 (b) | 1,805,000 | 1,660,600 | |
74,156,043 | |||
Insurance - 0.2% | |||
AIA Group Ltd. 0.88% 9/9/33 (Reg. S) (c) | EUR | 705,000 | 732,740 |
Credit Agricole Assurances SA 4.75% 9/27/48 (c) | EUR | 2,200,000 | 2,719,177 |
Demeter Investments BV 5.625% 8/15/52 (Reg. S) (c) | 5,775,000 | 6,060,285 | |
Fidelidade-Companhia de Seguros SA 4.25% 9/4/31 (Reg. S) (c) | EUR | 800,000 | 903,521 |
Five Corners Funding Trust II 2.85% 5/15/30 (b) | 15,870,000 | 15,620,835 | |
Liberty Mutual Group, Inc. 3.95% 5/15/60 (b) | 12,820,000 | 12,378,954 | |
Lincoln National Corp. 3.4% 1/15/31 | 14,811,000 | 15,052,865 | |
Pacific LifeCorp 5.125% 1/30/43 (b) | 2,623,000 | 3,061,559 | |
Pricoa Global Funding I 5.375% 5/15/45 (c) | 3,148,000 | 3,222,482 | |
Prudential PLC 2.95% 11/3/33 (Reg. S) (c) | 3,700,000 | 3,454,875 | |
QBE Insurance Group Ltd.: | |||
2.5% 9/13/38 (Reg. S) (c) | GBP | 1,705,000 | 2,068,797 |
6.75% 12/2/44 (Reg. S) (c) | 3,605,000 | 3,839,325 | |
Ryan Specialty Group LLC 4.375% 2/1/30 (b) | 400,000 | 384,820 | |
Swiss Re Finance Luxembourg SA 5% 4/2/49 (b)(c) | 3,000,000 | 3,176,370 | |
Unum Group: | |||
4% 6/15/29 | 6,130,000 | 6,475,985 | |
5.75% 8/15/42 | 1,622,000 | 1,809,054 | |
Zurich Finance (Ireland) DAC 3.5% 5/2/52 (Reg. S) (c) | 1,650,000 | 1,528,131 | |
82,489,775 | |||
Thrifts & Mortgage Finance - 0.0% | |||
Quicken Loans LLC/Quicken Loans Co-Issuer, Inc. 3.625% 3/1/29 (b) | 655,000 | 613,329 | |
TOTAL FINANCIALS | 2,144,477,493 | ||
HEALTH CARE - 0.4% | |||
Biotechnology - 0.0% | |||
AbbVie, Inc. 3.2% 11/21/29 | 4,900,000 | 4,962,554 | |
Emergent BioSolutions, Inc. 3.875% 8/15/28 (b) | 1,197,000 | 1,070,728 | |
Grifols Escrow Issuer SA 4.75% 10/15/28 (b) | 200,000 | 188,500 | |
6,221,782 | |||
Health Care Equipment & Supplies - 0.0% | |||
Avantor Funding, Inc. 4.625% 7/15/28 (b) | 915,000 | 928,725 | |
Hologic, Inc.: | |||
3.25% 2/15/29 (b) | 545,000 | 516,388 | |
4.625% 2/1/28 (b) | 65,000 | 67,113 | |
Teleflex, Inc. 4.25% 6/1/28 (b) | 145,000 | 143,188 | |
1,655,414 | |||
Health Care Providers & Services - 0.2% | |||
180 Medical, Inc. 3.875% 10/15/29 (b) | 200,000 | 192,000 | |
Anthem, Inc. 3.3% 1/15/23 | 4,322,000 | 4,387,838 | |
Centene Corp.: | |||
2.45% 7/15/28 | 11,370,000 | 10,708,721 | |
2.5% 3/1/31 | 945,000 | 872,887 | |
2.625% 8/1/31 | 5,485,000 | 5,057,499 | |
3.375% 2/15/30 | 7,725,000 | 7,411,906 | |
4.25% 12/15/27 | 6,215,000 | 6,361,985 | |
4.625% 12/15/29 | 8,795,000 | 9,058,850 | |
Cigna Corp. 4.375% 10/15/28 | 6,630,000 | 7,186,024 | |
Community Health Systems, Inc. 5.25% 5/15/30 (b) | 1,310,000 | 1,268,879 | |
CVS Health Corp. 3.625% 4/1/27 | 3,208,000 | 3,361,541 | |
DaVita HealthCare Partners, Inc. 4.625% 6/1/30 (b) | 1,405,000 | 1,347,044 | |
HCA Holdings, Inc.: | |||
4.75% 5/1/23 | 138,000 | 142,007 | |
5.375% 9/1/26 | 4,125,000 | 4,438,479 | |
HealthEquity, Inc. 4.5% 10/1/29 (b) | 110,000 | 104,704 | |
MEDNAX, Inc. 5.375% 2/15/30 (b) | 410,000 | 407,950 | |
Molina Healthcare, Inc. 3.875% 11/15/30 (b) | 850,000 | 835,125 | |
Owens & Minor, Inc. 4.5% 3/31/29 (b) | 160,000 | 150,870 | |
RP Escrow Issuer LLC 5.25% 12/15/25 (b) | 785,000 | 767,338 | |
Sabra Health Care LP 3.2% 12/1/31 | 18,596,000 | 17,294,923 | |
Tenet Healthcare Corp.: | |||
4.625% 6/15/28 (b) | 2,765,000 | 2,709,700 | |
4.875% 1/1/26 (b) | 385,000 | 387,618 | |
5.125% 11/1/27 (b) | 1,000,000 | 1,019,300 | |
Toledo Hospital 5.325% 11/15/28 | 2,395,000 | 2,619,520 | |
88,092,708 | |||
Health Care Technology - 0.0% | |||
IQVIA, Inc. 5% 5/15/27 (b) | 630,000 | 644,446 | |
Life Sciences Tools & Services - 0.0% | |||
Charles River Laboratories International, Inc.: | |||
3.75% 3/15/29 (b) | 180,000 | 173,016 | |
4.25% 5/1/28 (b) | 70,000 | 69,388 | |
242,404 | |||
Pharmaceuticals - 0.2% | |||
Bayer AG 2.375% 4/2/75 (Reg. S) (c) | EUR | 4,095,000 | 4,591,519 |
Bayer U.S. Finance II LLC 4.25% 12/15/25 (b) | 50,548,000 | 53,085,046 | |
Catalent Pharma Solutions 3.5% 4/1/30 (b) | 1,205,000 | 1,121,735 | |
Elanco Animal Health, Inc.: | |||
5.272% 8/28/23 (c) | 3,402,000 | 3,504,060 | |
5.9% 8/28/28 (c) | 1,432,000 | 1,546,990 | |
Jazz Securities DAC 4.375% 1/15/29 (b) | 225,000 | 222,854 | |
Organon & Co. / Organon Foreign Debt Co-Issuer BV: | |||
4.125% 4/30/28 (b) | 530,000 | 521,313 | |
5.125% 4/30/31 (b) | 530,000 | 529,083 | |
Utah Acquisition Sub, Inc. 3.95% 6/15/26 | 2,065,000 | 2,132,261 | |
Viatris, Inc.: | |||
1.65% 6/22/25 | 1,773,000 | 1,712,968 | |
2.7% 6/22/30 | 9,017,000 | 8,417,322 | |
3.85% 6/22/40 | 3,928,000 | 3,682,034 | |
4% 6/22/50 | 6,783,000 | 6,014,988 | |
Zoetis, Inc. 3.25% 2/1/23 | 1,210,000 | 1,221,696 | |
88,303,869 | |||
TOTAL HEALTH CARE | 185,160,623 | ||
INDUSTRIALS - 0.3% | |||
Aerospace & Defense - 0.1% | |||
BAE Systems PLC 3.4% 4/15/30 (b) | 4,094,000 | 4,179,514 | |
BWX Technologies, Inc. 4.125% 6/30/28 (b) | 480,000 | 465,600 | |
Howmet Aerospace, Inc.: | |||
5.95% 2/1/37 | 25,000 | 27,659 | |
6.75% 1/15/28 | 365,000 | 405,933 | |
Moog, Inc. 4.25% 12/15/27 (b) | 980,000 | 960,763 | |
Rolls-Royce PLC: | |||
3.375% 6/18/26 | GBP | 1,940,000 | 2,471,343 |
5.75% 10/15/27 (b) | 615,000 | 633,591 | |
The Boeing Co.: | |||
5.04% 5/1/27 | 6,070,000 | 6,594,132 | |
5.15% 5/1/30 | 6,070,000 | 6,704,580 | |
5.805% 5/1/50 | 6,070,000 | 7,211,214 | |
5.93% 5/1/60 | 6,070,000 | 7,207,628 | |
TransDigm, Inc.: | |||
6.25% 3/15/26 (b) | 2,552,000 | 2,625,370 | |
7.5% 3/15/27 | 95,000 | 98,206 | |
8% 12/15/25 (b) | 1,120,000 | 1,169,526 | |
40,755,059 | |||
Airlines - 0.0% | |||
United Airlines, Inc. 4.375% 4/15/26 (b) | 530,000 | 528,643 | |
Building Products - 0.0% | |||
Advanced Drain Systems, Inc. 5% 9/30/27 (b) | 1,565,000 | 1,576,675 | |
Builders FirstSource, Inc. 4.25% 2/1/32 (b) | 260,000 | 249,578 | |
Standard Industries, Inc./New Jersey 4.375% 7/15/30 (b) | 715,000 | 676,948 | |
2,503,201 | |||
Commercial Services & Supplies - 0.0% | |||
ADT Corp.: | |||
4.125% 8/1/29 (b) | 270,000 | 254,572 | |
4.875% 7/15/32 (b) | 670,000 | 624,775 | |
Madison IAQ LLC 4.125% 6/30/28 (b) | 1,245,000 | 1,177,751 | |
Nielsen Finance LLC/Nielsen Finance Co. 5.625% 10/1/28 (b) | 495,000 | 478,346 | |
Prime Securities Services Borrower LLC/Prime Finance, Inc. 3.375% 8/31/27 (b) | 1,230,000 | 1,137,679 | |
Stericycle, Inc. 3.875% 1/15/29 (b) | 450,000 | 419,063 | |
The GEO Group, Inc. 6% 4/15/26 | 305,000 | 251,625 | |
4,343,811 | |||
Construction & Engineering - 0.0% | |||
AECOM 5.125% 3/15/27 | 1,077,000 | 1,103,925 | |
Pike Corp. 5.5% 9/1/28 (b) | 1,360,000 | 1,309,000 | |
2,412,925 | |||
Electrical Equipment - 0.0% | |||
Sensata Technologies BV 4% 4/15/29 (b) | 275,000 | 264,000 | |
Vertiv Group Corp. 4.125% 11/15/28 (b) | 675,000 | 619,313 | |
883,313 | |||
Industrial Conglomerates - 0.0% | |||
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp. 4.25% 2/1/27 (b) | 500,000 | 486,875 | |
Machinery - 0.0% | |||
Vertical U.S. Newco, Inc. 5.25% 7/15/27 (b) | 1,065,000 | 1,054,350 | |
Marine - 0.0% | |||
Seaspan Corp. 5.5% 8/1/29 (b) | 270,000 | 257,175 | |
Professional Services - 0.0% | |||
ASGN, Inc. 4.625% 5/15/28 (b) | 1,470,000 | 1,451,625 | |
Booz Allen Hamilton, Inc.: | |||
3.875% 9/1/28 (b) | 765,000 | 748,805 | |
4% 7/1/29 (b) | 105,000 | 103,606 | |
TriNet Group, Inc. 3.5% 3/1/29 (b) | 405,000 | 380,996 | |
2,685,032 | |||
Road & Rail - 0.0% | |||
Alpha Trains Finance SA 2.064% 6/30/30 | EUR | 1,740,000 | 2,000,897 |
XPO Logistics, Inc. 6.25% 5/1/25 (b) | 1,705,000 | 1,768,290 | |
3,769,187 | |||
Trading Companies & Distributors - 0.1% | |||
Air Lease Corp.: | |||
0.7% 2/15/24 | 10,742,000 | 10,408,456 | |
2.25% 1/15/23 | 1,863,000 | 1,872,385 | |
3% 9/15/23 | 583,000 | 589,057 | |
3.375% 7/1/25 | 11,630,000 | 11,765,413 | |
3.75% 6/1/26 | 5,000,000 | 5,141,044 | |
4.25% 2/1/24 | 7,180,000 | 7,413,882 | |
4.25% 9/15/24 | 2,331,000 | 2,415,728 | |
Travis Perkins PLC 3.75% 2/17/26 (Reg. S) | GBP | 1,100,000 | 1,457,086 |
41,063,051 | |||
Transportation Infrastructure - 0.1% | |||
Aeroporti di Roma SPA 1.75% 7/30/31 (Reg. S) | EUR | 1,340,000 | 1,406,809 |
Autostrade per L'italia SpA 2.25% 1/25/32 (Reg. S) | EUR | 1,850,000 | 1,909,446 |
Avolon Holdings Funding Ltd.: | |||
3.25% 2/15/27 (b) | 10,726,000 | 10,525,076 | |
3.625% 5/1/22 (b) | 2,141,000 | 2,144,817 | |
3.95% 7/1/24 (b) | 2,844,000 | 2,909,730 | |
4.375% 5/1/26 (b) | 7,394,000 | 7,614,120 | |
5.25% 5/15/24 (b) | 4,186,000 | 4,374,165 | |
Heathrow Funding Ltd. 2.625% 3/16/28 (Reg. S) | GBP | 3,560,000 | 4,570,842 |
Holding d'Infrastructures et des Metiers de l'Environnement 0.625% 9/16/28 (Reg. S) | EUR | 700,000 | 730,923 |
36,185,928 | |||
TOTAL INDUSTRIALS | 136,928,550 | ||
INFORMATION TECHNOLOGY - 0.3% | |||
Communications Equipment - 0.0% | |||
Cellnex Finance Co. SA 1% 9/15/27 (Reg. S) | EUR | 2,900,000 | 2,969,885 |
Viavi Solutions, Inc. 3.75% 10/1/29 (b) | 545,000 | 516,556 | |
3,486,441 | |||
Electronic Equipment & Components - 0.0% | |||
Dell International LLC/EMC Corp.: | |||
5.45% 6/15/23 | 1,493,000 | 1,554,077 | |
6.02% 6/15/26 | 1,948,000 | 2,173,674 | |
II-VI, Inc. 5% 12/15/29 (b) | 170,000 | 169,816 | |
Sensata Technologies, Inc. 3.75% 2/15/31 (b) | 1,410,000 | 1,311,300 | |
TTM Technologies, Inc. 4% 3/1/29 (b) | 315,000 | 290,588 | |
5,499,455 | |||
IT Services - 0.0% | |||
Block, Inc. 2.75% 6/1/26 (b) | 265,000 | 257,050 | |
Gartner, Inc.: | |||
3.625% 6/15/29 (b) | 155,000 | 150,386 | |
3.75% 10/1/30 (b) | 255,000 | 248,064 | |
4.5% 7/1/28 (b) | 395,000 | 400,147 | |
Twilio, Inc. 3.875% 3/15/31 | 200,000 | 187,775 | |
1,243,422 | |||
Semiconductors & Semiconductor Equipment - 0.2% | |||
Broadcom, Inc.: | |||
1.95% 2/15/28 (b) | 2,879,000 | 2,714,216 | |
2.45% 2/15/31 (b) | 19,432,000 | 17,950,718 | |
2.6% 2/15/33 (b) | 19,432,000 | 17,733,939 | |
3.5% 2/15/41 (b) | 19,430,000 | 17,915,426 | |
3.75% 2/15/51 (b) | 9,284,000 | 8,662,933 | |
Entegris, Inc. 4.375% 4/15/28 (b) | 755,000 | 739,900 | |
onsemi 3.875% 9/1/28 (b) | 300,000 | 297,375 | |
Qorvo, Inc. 3.375% 4/1/31 (b) | 615,000 | 577,350 | |
66,591,857 | |||
Software - 0.1% | |||
CDK Global, Inc. 5.25% 5/15/29 (b) | 1,132,000 | 1,160,300 | |
Crowdstrike Holdings, Inc. 3% 2/15/29 | 295,000 | 276,563 | |
Fair Isaac Corp.: | |||
4% 6/15/28 (b) | 330,000 | 323,813 | |
5.25% 5/15/26 (b) | 793,000 | 841,571 | |
MicroStrategy, Inc. 6.125% 6/15/28 (b) | 270,000 | 259,200 | |
Nuance Communications, Inc. 5.625% 12/15/26 | 1,382,000 | 1,420,268 | |
Open Text Corp.: | |||
3.875% 2/15/28 (b) | 420,000 | 406,665 | |
3.875% 12/1/29 (b) | 960,000 | 906,024 | |
Oracle Corp.: | |||
2.5% 4/1/25 | 8,253,000 | 8,241,909 | |
2.8% 4/1/27 | 8,253,000 | 8,204,734 | |
2.95% 4/1/30 | 8,300,000 | 8,022,479 | |
3.85% 4/1/60 | 8,300,000 | 7,153,246 | |
37,216,772 | |||
Technology Hardware, Storage & Peripherals - 0.0% | |||
Hewlett Packard Enterprise Co. 4.4% 10/15/22 (c) | 3,173,000 | 3,219,243 | |
TOTAL INFORMATION TECHNOLOGY | 117,257,190 | ||
MATERIALS - 0.0% | |||
Chemicals - 0.0% | |||
Axalta Coating Systems/Dutch Holding BV 4.75% 6/15/27 (b) | 585,000 | 586,463 | |
CF Industries Holdings, Inc.: | |||
4.95% 6/1/43 | 5,000 | 5,418 | |
5.15% 3/15/34 | 1,157,000 | 1,294,677 | |
5.375% 3/15/44 | 255,000 | 287,298 | |
LSB Industries, Inc. 6.25% 10/15/28 (b) | 560,000 | 562,800 | |
Methanex Corp.: | |||
5.125% 10/15/27 | 765,000 | 776,552 | |
5.25% 12/15/29 | 90,000 | 90,900 | |
5.65% 12/1/44 | 581,000 | 542,654 | |
NOVA Chemicals Corp. 5.25% 6/1/27 (b) | 949,000 | 951,373 | |
Nufarm Australia Ltd. 5% 1/27/30 (b) | 675,000 | 666,563 | |
Olin Corp.: | |||
5% 2/1/30 | 1,715,000 | 1,727,863 | |
5.125% 9/15/27 | 975,000 | 987,188 | |
5.625% 8/1/29 | 465,000 | 485,009 | |
SPCM SA 3.125% 3/15/27 (b) | 285,000 | 269,869 | |
The Chemours Co. LLC: | |||
5.375% 5/15/27 | 1,115,000 | 1,119,020 | |
5.75% 11/15/28 (b) | 275,000 | 270,317 | |
Valvoline, Inc. 4.25% 2/15/30 (b) | 165,000 | 156,248 | |
W.R. Grace Holding LLC: | |||
4.875% 6/15/27 (b) | 305,000 | 304,701 | |
5.625% 10/1/24 (b) | 1,254,000 | 1,278,879 | |
12,363,792 | |||
Containers & Packaging - 0.0% | |||
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc. 4.125% 8/15/26 (b) | 25,000 | 24,188 | |
Ball Corp. 3.125% 9/15/31 | 955,000 | 877,062 | |
Graphic Packaging International, Inc. 3.75% 2/1/30 (b) | 135,000 | 128,638 | |
OI European Group BV 4.75% 2/15/30 (b) | 280,000 | 268,097 | |
Trivium Packaging Finance BV 5.5% 8/15/26 (b) | 485,000 | 489,506 | |
1,787,491 | |||
Metals & Mining - 0.0% | |||
Commercial Metals Co. 3.875% 2/15/31 | 565,000 | 528,597 | |
FMG Resources (August 2006) Pty Ltd. 4.5% 9/15/27 (b) | 10,000 | 10,000 | |
HudBay Minerals, Inc. 4.5% 4/1/26 (b) | 135,000 | 130,444 | |
Kaiser Aluminum Corp. 4.625% 3/1/28 (b) | 1,005,000 | 948,991 | |
Novelis Corp. 3.875% 8/15/31 (b) | 270,000 | 248,738 | |
PMHC II, Inc. 9% 2/15/30 (b) | 425,000 | 413,398 | |
Roller Bearing Co. of America, Inc. 4.375% 10/15/29 (b) | 75,000 | 72,375 | |
2,352,543 | |||
Paper & Forest Products - 0.0% | |||
Glatfelter Corp. 4.75% 11/15/29 (b) | 220,000 | 208,806 | |
TOTAL MATERIALS | 16,712,632 | ||
REAL ESTATE - 0.8% | |||
Equity Real Estate Investment Trusts (REITs) - 0.6% | |||
Alexandria Real Estate Equities, Inc.: | |||
2% 5/18/32 | 8,258,000 | 7,470,773 | |
4.9% 12/15/30 | 7,224,000 | 8,308,033 | |
American Homes 4 Rent LP: | |||
2.375% 7/15/31 | 1,482,000 | 1,362,549 | |
3.375% 7/15/51 | 2,291,000 | 1,964,457 | |
Boston Properties, Inc. 4.5% 12/1/28 | 4,766,000 | 5,203,787 | |
Corporate Office Properties LP: | |||
2.25% 3/15/26 | 2,969,000 | 2,919,517 | |
2.75% 4/15/31 | 2,188,000 | 2,056,079 | |
Duke Realty LP 3.25% 6/30/26 | 589,000 | 605,748 | |
Healthcare Trust of America Holdings LP: | |||
3.1% 2/15/30 | 1,868,000 | 1,850,601 | |
3.5% 8/1/26 | 1,945,000 | 2,014,913 | |
Hudson Pacific Properties LP 4.65% 4/1/29 | 10,668,000 | 11,593,249 | |
Iron Mountain, Inc. 4.875% 9/15/29 (b) | 615,000 | 595,013 | |
Kimco Realty Corp.: | |||
2.25% 12/1/31 | 15,265,000 | 14,088,083 | |
3.375% 10/15/22 | 456,000 | 459,446 | |
Kite Realty Group Trust: | |||
4% 3/15/25 | 10,791,000 | 11,096,998 | |
4.75% 9/15/30 | 17,486,000 | 18,833,526 | |
LXP Industrial Trust (REIT): | |||
2.7% 9/15/30 | 1,445,000 | 1,377,457 | |
4.4% 6/15/24 | 948,000 | 979,460 | |
MGM Growth Properties Operating Partnership LP: | |||
4.5% 9/1/26 | 1,508,000 | 1,538,507 | |
4.5% 1/15/28 | 637,000 | 659,295 | |
4.625% 6/15/25 (b) | 150,000 | 154,500 | |
5.75% 2/1/27 | 256,000 | 277,120 | |
Omega Healthcare Investors, Inc.: | |||
3.25% 4/15/33 | 9,457,000 | 8,685,568 | |
3.375% 2/1/31 | 5,854,000 | 5,537,489 | |
3.625% 10/1/29 | 8,376,000 | 8,225,591 | |
4.375% 8/1/23 | 1,006,000 | 1,032,115 | |
4.5% 1/15/25 | 2,013,000 | 2,096,427 | |
4.5% 4/1/27 | 716,000 | 755,762 | |
4.75% 1/15/28 | 11,294,000 | 11,828,591 | |
4.95% 4/1/24 | 882,000 | 921,381 | |
5.25% 1/15/26 | 3,755,000 | 4,018,043 | |
Piedmont Operating Partnership LP 2.75% 4/1/32 | 3,072,000 | 2,853,965 | |
Realty Income Corp.: | |||
2.2% 6/15/28 | 1,380,000 | 1,337,424 | |
2.85% 12/15/32 | 1,698,000 | 1,651,248 | |
3.25% 1/15/31 | 1,828,000 | 1,853,379 | |
3.4% 1/15/28 | 2,874,000 | 2,958,844 | |
Retail Opportunity Investments Partnership LP: | |||
4% 12/15/24 | 641,000 | 657,199 | |
5% 12/15/23 | 494,000 | 512,257 | |
SBA Communications Corp. 3.875% 2/15/27 | 515,000 | 514,109 | |
Service Properties Trust: | |||
3.95% 1/15/28 | 40,000 | 34,700 | |
4.375% 2/15/30 | 415,000 | 361,353 | |
4.95% 2/15/27 | 600,000 | 558,000 | |
4.95% 10/1/29 | 245,000 | 221,480 | |
5.5% 12/15/27 | 230,000 | 225,113 | |
Simon Property Group LP: | |||
2.45% 9/13/29 | 3,008,000 | 2,905,290 | |
3.375% 12/1/27 | 6,125,000 | 6,314,233 | |
SITE Centers Corp.: | |||
3.625% 2/1/25 | 1,532,000 | 1,570,199 | |
4.25% 2/1/26 | 2,753,000 | 2,860,962 | |
Store Capital Corp.: | |||
2.75% 11/18/30 | 3,456,000 | 3,262,194 | |
4.625% 3/15/29 | 2,374,000 | 2,551,726 | |
Uniti Group, Inc. 7.875% 2/15/25 (b) | 1,050,000 | 1,093,864 | |
Ventas Realty LP: | |||
2.5% 9/1/31 | 22,080,000 | 20,844,578 | |
3% 1/15/30 | 11,060,000 | 10,942,170 | |
4% 3/1/28 | 2,150,000 | 2,284,896 | |
4.125% 1/15/26 | 999,000 | 1,058,062 | |
4.75% 11/15/30 | 16,500,000 | 18,431,798 | |
VICI Properties, Inc.: | |||
4.25% 12/1/26 (b) | 1,640,000 | 1,656,400 | |
4.625% 12/1/29 (b) | 595,000 | 606,900 | |
Vornado Realty LP: | |||
2.15% 6/1/26 | 3,558,000 | 3,454,266 | |
3.4% 6/1/31 | 12,870,000 | 12,625,241 | |
WP Carey, Inc.: | |||
3.85% 7/15/29 | 1,773,000 | 1,869,512 | |
4% 2/1/25 | 3,423,000 | 3,573,386 | |
4.6% 4/1/24 | 5,327,000 | 5,557,752 | |
255,712,578 | |||
Real Estate Management & Development - 0.2% | |||
ACCENTRO Real Estate AG 3.625% 2/13/23 (Reg. S) | EUR | 1,460,000 | 1,406,974 |
ADLER Group SA: | |||
1.875% 1/14/26 (Reg. S) | EUR | 500,000 | 464,440 |
2.25% 4/27/27 (Reg. S) | EUR | 5,500,000 | 5,111,599 |
Akelius Residential Property AB 3.875% 10/5/78 (Reg. S) (c) | EUR | 1,295,000 | 1,472,202 |
Blackstone Property Partners Europe LP: | |||
1% 5/4/28 (Reg. S) | EUR | 4,220,000 | 4,385,875 |
2.625% 10/20/28 (Reg. S) | GBP | 650,000 | 837,649 |
Brandywine Operating Partnership LP: | |||
3.95% 2/15/23 | 7,832,000 | 7,921,701 | |
3.95% 11/15/27 | 4,382,000 | 4,569,570 | |
4.1% 10/1/24 | 3,961,000 | 4,103,252 | |
4.55% 10/1/29 | 1,896,000 | 2,038,631 | |
CBRE Group, Inc.: | �� | ||
2.5% 4/1/31 | 10,225,000 | 9,682,314 | |
4.875% 3/1/26 | 7,844,000 | 8,503,467 | |
Essex Portfolio LP 3.875% 5/1/24 | 1,923,000 | 1,986,471 | |
GTC Aurora Luxembourg SA 2.25% 6/23/26 (Reg. S) | EUR | 1,390,000 | 1,431,704 |
Heimstaden AB 4.375% 3/6/27 (Reg. S) | EUR | 1,400,000 | 1,482,629 |
Howard Hughes Corp. 4.375% 2/1/31 (b) | 395,000 | 372,288 | |
Kennedy-Wilson, Inc. 4.75% 2/1/30 | 540,000 | 516,375 | |
Mid-America Apartments LP 4% 11/15/25 | 828,000 | 869,447 | |
Post Apartment Homes LP 3.375% 12/1/22 | 251,000 | 253,159 | |
Samhallsbyggnadsbolaget I Norden AB: | |||
1% 8/12/27 (Reg. S) | EUR | 250,000 | 252,930 |
1.75% 1/14/25 (Reg. S) | EUR | 652,000 | 718,678 |
Sirius Real Estate Ltd. 1.125% 6/22/26 (Reg. S) | EUR | 700,000 | 739,668 |
Sun Communities Operating LP: | |||
2.3% 11/1/28 | 3,510,000 | 3,315,507 | |
2.7% 7/15/31 | 8,479,000 | 7,976,369 | |
Tanger Properties LP: | |||
2.75% 9/1/31 | 8,876,000 | 8,073,380 | |
3.125% 9/1/26 | 2,628,000 | 2,616,631 | |
3.875% 7/15/27 | 11,191,000 | 11,568,835 | |
Tritax EuroBox PLC 0.95% 6/2/26 (Reg. S) | EUR | 1,300,000 | 1,408,458 |
94,080,203 | |||
TOTAL REAL ESTATE | 349,792,781 | ||
UTILITIES - 0.4% | |||
Electric Utilities - 0.1% | |||
AusNet Services Holdings Pty Ltd. 1.625% 3/11/81 (Reg. S) (c) | EUR | 1,360,000 | 1,433,406 |
Clearway Energy Operating LLC: | |||
3.75% 2/15/31 (b) | 925,000 | 860,569 | |
4.75% 3/15/28 (b) | 140,000 | 140,720 | |
Cleco Corporate Holdings LLC 3.375% 9/15/29 | 4,843,000 | 4,776,292 | |
DPL, Inc. 4.35% 4/15/29 | 7,785,000 | 7,590,375 | |
Duquesne Light Holdings, Inc.: | |||
2.532% 10/1/30 (b) | 2,328,000 | 2,169,707 | |
2.775% 1/7/32 (b) | 8,828,000 | 8,310,088 | |
Enel SpA 3.375% (Reg. S) (c)(e) | EUR | 1,855,000 | 2,108,529 |
FirstEnergy Corp. 7.375% 11/15/31 | 5,738,000 | 7,184,435 | |
InterGen NV 7% 6/30/23 (b) | 964,000 | 943,997 | |
IPALCO Enterprises, Inc. 3.7% 9/1/24 | 1,963,000 | 2,008,875 | |
NextEra Energy Partners LP 4.25% 9/15/24 (b) | 56,000 | 56,420 | |
NGG Finance PLC 2.125% 9/5/82 (Reg. S) (c) | EUR | 2,060,000 | 2,191,399 |
NRG Energy, Inc.: | |||
3.625% 2/15/31 (b) | 1,785,000 | 1,641,147 | |
5.25% 6/15/29 (b) | 484,000 | 493,680 | |
5.75% 1/15/28 | 581,000 | 594,061 | |
6.625% 1/15/27 | 57,000 | 58,909 | |
NSG Holdings II LLC/NSG Holdings, Inc. 7.75% 12/15/25 (b) | 1,017,734 | 1,071,165 | |
PG&E Corp.: | |||
5% 7/1/28 | 4,480,000 | 4,435,200 | |
5.25% 7/1/30 | 1,155,000 | 1,147,296 | |
Southern Co. 1.875% 9/15/81 (c) | EUR | 2,800,000 | 2,819,309 |
SSE PLC 4.75% 9/16/77 (Reg. S) (c) | 6,395,000 | 6,436,695 | |
Vistra Operations Co. LLC: | |||
5.5% 9/1/26 (b) | 3,498,000 | 3,558,918 | |
5.625% 2/15/27 (b) | 665,000 | 680,900 | |
62,712,092 | |||
Gas Utilities - 0.0% | |||
Nakilat, Inc. 6.067% 12/31/33 (b) | 1,149,343 | 1,364,341 | |
Superior Plus LP / Superior General Partner, Inc. 4.5% 3/15/29 (b) | 185,000 | 176,444 | |
1,540,785 | |||
Independent Power and Renewable Electricity Producers - 0.1% | |||
TerraForm Power Operating LLC: | |||
4.75% 1/15/30 (b) | 75,000 | 73,597 | |
5% 1/31/28 (b) | 656,000 | 657,640 | |
The AES Corp.: | |||
2.45% 1/15/31 | 4,011,000 | 3,712,742 | |
3.3% 7/15/25 (b) | 15,965,000 | 16,041,632 | |
3.95% 7/15/30 (b) | 13,922,000 | 14,203,224 | |
34,688,835 | |||
Multi-Utilities - 0.2% | |||
Berkshire Hathaway Energy Co.: | |||
3.7% 7/15/30 | 1,758,000 | 1,859,779 | |
4.05% 4/15/25 | 21,459,000 | 22,622,330 | |
Consolidated Edison Co. of New York, Inc. 3.95% 4/1/50 | 2,477,000 | 2,548,234 | |
NiSource, Inc.: | |||
2.95% 9/1/29 | 12,206,000 | 12,034,563 | |
3.49% 5/15/27 | 13,900,000 | 14,332,680 | |
5.95% 6/15/41 | 1,737,000 | 2,136,645 | |
Puget Energy, Inc.: | |||
4.1% 6/15/30 | 6,250,000 | 6,482,417 | |
5.625% 7/15/22 | 3,305,000 | 3,322,845 | |
Sempra Energy 6% 10/15/39 | 2,744,000 | 3,487,513 | |
WEC Energy Group, Inc. 3 month U.S. LIBOR + 2.610% 2.6189% 5/15/67 (c)(d) | 1,843,000 | 1,474,400 | |
70,301,406 | |||
TOTAL UTILITIES | 169,243,118 | ||
TOTAL NONCONVERTIBLE BONDS (Cost $4,701,692,838) | 4,743,081,748 | ||
U.S. Treasury Obligations - 9.0% | |||
Principal Amount (a) | Value ($) | ||
U.S. Treasury Bonds: | |||
2% 11/15/41 (f) | 3,600,000 | 3,446,438 | |
2.375% 5/15/51 | 674,726,000 | 703,533,636 | |
U.S. Treasury Notes: | |||
0.125% 6/30/22 | 65,500,000 | 65,413,647 | |
0.5% 5/31/27 | 520,000,000 | 487,134,378 | |
0.875% 11/15/30 | 428,909,000 | 396,221,442 | |
1.125% 10/31/26 | 250,000,000 | 242,929,688 | |
1.125% 2/15/31 | 160,064,000 | 150,804,048 | |
1.25% 12/31/26 | 545,000,000 | 532,396,875 | |
1.25% 4/30/28 | 250,000,000 | 241,894,530 | |
1.25% 5/31/28 | 74,500,000 | 72,029,278 | |
1.25% 6/30/28 | 75,000,000 | 72,439,454 | |
1.25% 8/15/31 | 314,600,000 | 298,722,531 | |
1.375% 11/15/31 (f)(g) | 125,769,000 | 120,561,377 | |
1.5% 1/31/27 | 417,000,000 | 412,080,701 | |
1.875% 2/28/27 | 310,000,000 | 312,058,592 | |
3.125% 11/15/28 | 51,642,000 | 55,856,068 | |
TOTAL U.S. TREASURY OBLIGATIONS (Cost $4,219,573,255) | 4,167,522,683 | ||
U.S. Government Agency - Mortgage Securities - 19.7% | |||
Principal Amount (a) | Value ($) | ||
Fannie Mae - 6.2% | |||
12 month U.S. LIBOR + 1.440% 1.82% 4/1/37 (c)(d) | 7,170 | 7,451 | |
12 month U.S. LIBOR + 1.460% 1.856% 1/1/35 (c)(d) | 7,729 | 8,026 | |
12 month U.S. LIBOR + 1.480% 1.855% 7/1/34 (c)(d) | 1,953 | 2,032 | |
12 month U.S. LIBOR + 1.530% 1.91% 3/1/36 (c)(d) | 1,690 | 1,760 | |
12 month U.S. LIBOR + 1.550% 1.803% 6/1/36 (c)(d) | 7,195 | 7,523 | |
12 month U.S. LIBOR + 1.560% 1.94% 3/1/37 (c)(d) | 6,246 | 6,516 | |
12 month U.S. LIBOR + 1.620% 1.907% 5/1/35 (c)(d) | 13,130 | 13,701 | |
12 month U.S. LIBOR + 1.620% 1.922% 3/1/33 (c)(d) | 8,458 | 8,776 | |
12 month U.S. LIBOR + 1.630% 1.815% 9/1/36 (c)(d) | 5,482 | 5,724 | |
12 month U.S. LIBOR + 1.630% 1.945% 11/1/36 (c)(d) | 4,025 | 4,208 | |
12 month U.S. LIBOR + 1.640% 1.881% 5/1/36 (c)(d) | 15,788 | 16,541 | |
12 month U.S. LIBOR + 1.640% 1.944% 6/1/47 (c)(d) | 13,620 | 14,343 | |
12 month U.S. LIBOR + 1.680% 1.956% 7/1/43 (c)(d) | 135,971 | 141,935 | |
12 month U.S. LIBOR + 1.700% 1.968% 6/1/42 (c)(d) | 12,311 | 12,891 | |
12 month U.S. LIBOR + 1.710% 1.927% 8/1/35 (c)(d) | 4,313 | 4,514 | |
12 month U.S. LIBOR + 1.730% 1.988% 5/1/36 (c)(d) | 10,026 | 10,549 | |
12 month U.S. LIBOR + 1.730% 2.002% 3/1/40 (c)(d) | 14,343 | 14,991 | |
12 month U.S. LIBOR + 1.750% 2% 8/1/41 (c)(d) | 18,411 | 19,344 | |
12 month U.S. LIBOR + 1.750% 2.064% 7/1/35 (c)(d) | 4,357 | 4,551 | |
12 month U.S. LIBOR + 1.800% 2.05% 7/1/41 (c)(d) | 8,075 | 8,478 | |
12 month U.S. LIBOR + 1.800% 2.054% 12/1/40 (c)(d) | 413,682 | 434,445 | |
12 month U.S. LIBOR + 1.800% 2.054% 1/1/42 (c)(d) | 30,522 | 31,907 | |
12 month U.S. LIBOR + 1.810% 2.06% 12/1/39 (c)(d) | 9,528 | 9,970 | |
12 month U.S. LIBOR + 1.810% 2.068% 7/1/41 (c)(d) | 10,711 | 11,294 | |
12 month U.S. LIBOR + 1.810% 2.068% 9/1/41 (c)(d) | 4,278 | 4,503 | |
12 month U.S. LIBOR + 1.810% 2.193% 2/1/42 (c)(d) | 16,579 | 17,377 | |
12 month U.S. LIBOR + 1.820% 2.2% 2/1/35 (c)(d) | 16,160 | 16,944 | |
12 month U.S. LIBOR + 1.830% 2.08% 10/1/41 (c)(d) | 3,827 | 3,913 | |
12 month U.S. LIBOR + 1.950% 2.202% 7/1/37 (c)(d) | 17,823 | 18,861 | |
6 month U.S. LIBOR + 1.500% 1.736% 1/1/35 (c)(d) | 19,183 | 19,922 | |
6 month U.S. LIBOR + 1.530% 1.719% 12/1/34 (c)(d) | 2,408 | 2,500 | |
6 month U.S. LIBOR + 1.530% 1.736% 3/1/35 (c)(d) | 3,535 | 3,674 | |
6 month U.S. LIBOR + 1.550% 1.701% 10/1/33 (c)(d) | 1,218 | 1,265 | |
6 month U.S. LIBOR + 1.560% 1.815% 7/1/35 (c)(d) | 1,855 | 1,933 | |
6 month U.S. LIBOR + 1.740% 1.865% 12/1/34 (c)(d) | 347 | 363 | |
6 month U.S. LIBOR + 1.960% 2.085% 9/1/35 (c)(d) | 4,158 | 4,383 | |
U.S. TREASURY 1 YEAR INDEX + 2.200% 2.333% 3/1/35 (c)(d) | 3,901 | 4,096 | |
U.S. TREASURY 1 YEAR INDEX + 2.270% 2.395% 6/1/36 (c)(d) | 18,114 | 18,960 | |
U.S. TREASURY 1 YEAR INDEX + 2.280% 2.41% 10/1/33 (c)(d) | 8,629 | 9,024 | |
U.S. TREASURY 1 YEAR INDEX + 2.460% 2.528% 7/1/34 (c)(d) | 20,611 | 21,581 | |
1.5% 8/1/50 to 11/1/51 | 51,702,302 | 48,000,099 | |
2% 12/1/36 to 3/1/52 | 703,484,649 | 678,468,120 | |
2.5% 5/1/31 to 3/1/52 | 718,414,387 | 715,058,934 | |
3% 12/1/28 to 3/1/52 (g)(h) | 560,923,200 | 572,074,670 | |
3.25% 12/1/41 | 6,405 | 6,712 | |
3.4% 7/1/42 to 9/1/42 | 113,936 | 118,985 | |
3.5% 10/1/33 to 1/1/51 | 596,005,048 | 618,275,553 | |
3.65% 5/1/42 to 8/1/42 | 35,920 | 37,734 | |
3.9% 4/1/42 | 9,986 | 10,605 | |
4% 3/1/36 to 3/1/50 | 115,849,441 | 121,908,902 | |
4.25% 11/1/41 | 21,853 | 23,477 | |
4.5% to 4.5% 6/1/24 to 9/1/49 (g) | 103,414,766 | 110,706,608 | |
5% 11/1/22 to 2/1/49 | 9,138,566 | 10,034,519 | |
5.237% 8/1/41 (c) | 303,501 | 331,269 | |
5.5% 3/1/22 to 9/1/24 | 721 | 733 | |
6% to 6% 9/1/29 to 1/1/42 | 1,435,176 | 1,627,261 | |
6.5% 8/1/22 to 5/1/38 | 200,255 | 222,026 | |
6.633% 2/1/39 (c) | 207,577 | 225,136 | |
7% to 7% 4/1/23 to 7/1/37 | 140,280 | 157,363 | |
7.5% to 7.5% 9/1/22 to 9/1/32 | 75,029 | 83,704 | |
8% 3/1/37 | 3,038 | 3,582 | |
8.5% 9/1/22 | 55 | 56 | |
9% 10/1/30 | 3,627 | 4,169 | |
TOTAL FANNIE MAE | 2,878,330,986 | ||
Freddie Mac - 3.9% | |||
12 month U.S. LIBOR + 1.320% 1.575% 1/1/36 (c)(d) | 6,622 | 6,832 | |
12 month U.S. LIBOR + 1.370% 1.646% 3/1/36 (c)(d) | 25,157 | 26,068 | |
12 month U.S. LIBOR + 1.500% 1.824% 3/1/36 (c)(d) | 17,486 | 18,174 | |
12 month U.S. LIBOR + 1.750% 2% 12/1/40 (c)(d) | 191,275 | 199,904 | |
12 month U.S. LIBOR + 1.750% 2% 7/1/41 (c)(d) | 40,798 | 42,828 | |
12 month U.S. LIBOR + 1.750% 2% 9/1/41 (c)(d) | 81,412 | 85,357 | |
12 month U.S. LIBOR + 1.860% 2.114% 4/1/36 (c)(d) | 8,748 | 9,239 | |
12 month U.S. LIBOR + 1.880% 2.13% 4/1/41 (c)(d) | 1,538 | 1,624 | |
12 month U.S. LIBOR + 1.880% 2.13% 9/1/41 (c)(d) | 6,115 | 6,413 | |
12 month U.S. LIBOR + 1.900% 2.167% 10/1/42 (c)(d) | 27,441 | 28,841 | |
12 month U.S. LIBOR + 1.910% 2.16% 5/1/41 (c)(d) | 12,507 | 13,207 | |
12 month U.S. LIBOR + 1.910% 2.16% 6/1/41 (c)(d) | 16,342 | 17,249 | |
12 month U.S. LIBOR + 1.910% 2.16% 6/1/41 (c)(d) | 4,302 | 4,539 | |
12 month U.S. LIBOR + 1.910% 2.197% 5/1/41 (c)(d) | 11,899 | 12,577 | |
12 month U.S. LIBOR + 1.960% 2.211% 6/1/33 (c)(d) | 10,289 | 10,810 | |
12 month U.S. LIBOR + 2.020% 2.327% 4/1/38 (c)(d) | 9,992 | 10,504 | |
12 month U.S. LIBOR + 2.030% 2.285% 3/1/33 (c)(d) | 240 | 249 | |
12 month U.S. LIBOR + 2.040% 2.295% 7/1/36 (c)(d) | 14,322 | 15,066 | |
12 month U.S. LIBOR + 2.200% 2.45% 12/1/36 (c)(d) | 22,582 | 23,716 | |
6 month U.S. LIBOR + 1.120% 1.325% 8/1/37 (c)(d) | 8,284 | 8,498 | |
6 month U.S. LIBOR + 1.580% 1.705% 12/1/35 (c)(d)(i) | 708 | 738 | |
6 month U.S. LIBOR + 1.720% 1.97% 8/1/37 (c)(d) | 3,483 | 3,645 | |
6 month U.S. LIBOR + 1.840% 1.97% 2/1/37 (c)(d) | 4,257 | 4,473 | |
6 month U.S. LIBOR + 1.880% 2.021% 10/1/36 (c)(d) | 28,830 | 30,200 | |
6 month U.S. LIBOR + 1.990% 2.164% 10/1/35 (c)(d) | 10,612 | 11,128 | |
6 month U.S. LIBOR + 2.020% 2.159% 6/1/37 (c)(d) | 21,012 | 22,053 | |
6 month U.S. LIBOR + 2.680% 2.841% 10/1/35 (c)(d) | 10,104 | 10,659 | |
U.S. TREASURY 1 YEAR INDEX + 2.030% 2.158% 6/1/33 (c)(d) | 19,611 | 20,526 | |
U.S. TREASURY 1 YEAR INDEX + 2.260% 2.387% 6/1/33 (c)(d) | 36,630 | 38,289 | |
U.S. TREASURY 1 YEAR INDEX + 2.430% 2.516% 3/1/35 (c)(d) | 67,405 | 70,633 | |
1.5% 11/1/50 to 12/1/51 | 18,358,748 | 17,044,682 | |
2% 12/1/36 to 2/1/52 | 595,727,098 | 573,461,772 | |
2.5% 6/1/31 to 3/1/52 | 531,933,061 | 528,224,220 | |
3% 6/1/31 to 3/1/52 | 345,331,853 | 351,738,480 | |
3.5% 3/1/32 to 3/1/52 (h) | 175,744,425 | 183,137,017 | |
3.5% 8/1/47 | 2,790,842 | 2,906,533 | |
4% 5/1/33 to 3/1/49 (g) | 106,319,805 | 112,373,941 | |
4% 4/1/48 | 8,881 | 9,344 | |
4.5% 6/1/25 to 7/1/49 | 27,273,458 | 29,284,421 | |
5% 7/1/33 to 7/1/41 | 2,840,103 | 3,140,206 | |
5.5% 6/1/22 | 387 | 388 | |
6% 1/1/23 to 12/1/37 | 305,824 | 343,175 | |
6.5% 1/1/24 to 9/1/39 | 468,477 | 536,098 | |
7% 3/1/26 to 9/1/36 | 150,618 | 171,137 | |
7.5% 1/1/27 to 7/1/34 | 41,443 | 47,174 | |
8% 7/1/24 to 4/1/32 | 2,611 | 2,947 | |
8.5% 12/1/22 to 1/1/28 | 1,862 | 2,037 | |
TOTAL FREDDIE MAC | 1,803,177,611 | ||
Ginnie Mae - 4.1% | |||
3.5% 9/20/40 to 11/20/50 | 265,617,360 | 274,768,493 | |
4% 7/20/33 to 6/20/49 | 119,337,754 | 125,790,957 | |
4.5% 6/20/33 to 9/20/46 | 8,726,831 | 9,493,809 | |
5.5% 8/15/33 to 9/15/39 | 249,819 | 277,722 | |
6% to 6% 10/15/30 to 5/15/40 | 354,315 | 399,015 | |
7% to 7% 11/15/22 to 11/15/32 | 150,119 | 167,324 | |
7.5% to 7.5% 9/15/22 to 9/15/31 | 32,845 | 35,642 | |
8% 5/15/22 to 11/15/29 | 7,744 | 8,314 | |
8.5% to 8.5% 11/15/27 to 1/15/31 | 4,670 | 5,223 | |
9% 1/15/23 | 9 | 10 | |
2% 1/20/52 | 78,209,152 | 76,538,996 | |
2% 3/1/52 (j) | 13,300,000 | 12,999,921 | |
2% 3/1/52 (j) | 28,250,000 | 27,612,615 | |
2% 3/1/52 (j) | 7,300,000 | 7,135,295 | |
2% 3/1/52 (j) | 28,200,000 | 27,563,743 | |
2% 3/1/52 (j) | 7,300,000 | 7,135,295 | |
2% 3/1/52 (j) | 17,200,000 | 16,811,928 | |
2% 3/1/52 (j) | 4,450,000 | 4,349,598 | |
2% 3/1/52 (j) | 57,450,000 | 56,153,796 | |
2% 3/1/52 (j) | 14,900,000 | 14,563,822 | |
2% 3/1/52 (j) | 14,850,000 | 14,514,950 | |
2% 3/1/52 (j) | 57,450,000 | 56,153,796 | |
2% 3/1/52 (j) | 39,750,000 | 38,853,149 | |
2% 3/1/52 (j) | 10,300,000 | 10,067,608 | |
2% 3/1/52 (j) | 5,750,000 | 5,620,267 | |
2% 3/1/52 (j) | 22,150,000 | 21,650,245 | |
2% 3/1/52 (j) | 23,200,000 | 22,676,555 | |
2% 3/1/52 (j) | 6,000,000 | 5,864,626 | |
2.5% 11/20/47 to 12/20/51 | 78,551,185 | 78,610,213 | |
2.5% 3/1/52 (j) | 35,250,000 | 35,224,599 | |
2.5% 3/1/52 (j) | 3,200,000 | 3,197,694 | |
2.5% 3/1/52 (j) | 62,300,000 | 62,255,107 | |
2.5% 3/1/52 (j) | 14,750,000 | 14,739,371 | |
2.5% 3/1/52 (j) | 62,000,000 | 61,955,323 | |
2.5% 3/1/52 (j) | 14,700,000 | 14,689,407 | |
2.5% 3/1/52 (j) | 19,300,000 | 19,286,092 | |
2.5% 3/1/52 (j) | 7,350,000 | 7,344,704 | |
2.5% 3/1/52 (j) | 31,000,000 | 30,977,661 | |
2.5% 3/1/52 (j) | 7,350,000 | 7,344,704 | |
2.5% 3/1/52 (j) | 31,000,000 | 30,977,661 | |
2.5% 3/1/52 (j) | 41,500,000 | 41,470,095 | |
2.5% 3/1/52 (j) | 9,850,000 | 9,842,902 | |
2.5% 3/1/52 (j) | 8,325,000 | 8,319,001 | |
3% 5/15/42 to 10/20/51 | 131,352,526 | 133,794,780 | |
3% 3/1/52 (j) | 3,400,000 | 3,455,714 | |
3% 3/1/52 (j) | 28,400,000 | 28,865,379 | |
3% 3/1/52 (j) | 11,450,000 | 11,637,627 | |
3% 3/1/52 (j) | 45,250,000 | 45,991,494 | |
3% 3/1/52 (j) | 12,150,000 | 12,349,097 | |
3% 3/1/52 (j) | 44,900,000 | 45,635,758 | |
3% 3/1/52 (j) | 47,375,000 | 48,151,315 | |
3% 3/1/52 (j) | 12,800,000 | 13,009,748 | |
3.5% 3/1/52 (j) | 42,150,000 | 43,492,469 | |
3.5% 3/1/52 (j) | 10,050,000 | 10,370,090 | |
3.5% 3/1/52 (j) | 17,600,000 | 18,160,556 | |
3.5% 3/1/52 (j) | 4,200,000 | 4,333,769 | |
3.5% 3/1/52 (j) | 4,400,000 | 4,540,139 | |
3.5% 3/1/52 (j) | 1,050,000 | 1,083,442 | |
3.5% 3/1/52 (j) | 25,200,000 | 26,002,615 | |
3.5% 3/1/52 (j) | 6,000,000 | 6,191,099 | |
3.5% 3/1/52 (j) | 24,750,000 | 25,538,283 | |
3.5% 3/1/52 (j) | 6,450,000 | 6,655,431 | |
3.5% 3/1/52 (j) | 4,350,000 | 4,488,547 | |
3.5% 3/1/52 (j) | 1,150,000 | 1,186,627 | |
3.5% 3/1/52 (j) | 950,000 | 980,257 | |
3.5% 3/1/52 (j) | 3,750,000 | 3,869,437 | |
3.5% 3/1/52 (j) | 925,000 | 954,461 | |
3.5% 4/1/52 (j) | 26,150,000 | 26,894,002 | |
3.5% 4/1/52 (j) | 6,800,000 | 6,993,469 | |
4% 3/1/52 (j) | 9,250,000 | 9,610,818 | |
4% 3/1/52 (j) | 1,050,000 | 1,090,958 | |
4% 3/1/52 (j) | 8,400,000 | 8,727,661 | |
4% 3/1/52 (j) | 9,450,000 | 9,818,619 | |
4% 4/1/52 (j) | 11,550,000 | 11,971,659 | |
4% 4/1/52 (j) | 1,450,000 | 1,502,936 | |
4% 4/1/52 (j) | 2,000,000 | 2,073,015 | |
4.5% 3/1/52 (j) | 6,000,000 | 6,282,936 | |
5% 4/15/33 to 6/20/48 | 12,336,469 | 13,348,043 | |
6.5% 3/20/31 to 6/15/37 | 57,349 | 64,829 | |
TOTAL GINNIE MAE | 1,862,564,327 | ||
Uniform Mortgage Backed Securities - 5.5% | |||
1.5% 3/1/37 (j) | 35,900,000 | 34,935,188 | |
1.5% 3/1/37 (j) | 8,750,000 | 8,514,844 | |
1.5% 3/1/37 (j) | 1,100,000 | 1,070,438 | |
1.5% 3/1/37 (j) | 2,750,000 | 2,676,094 | |
1.5% 3/1/37 (j) | 16,600,000 | 16,153,875 | |
1.5% 3/1/37 (j) | 3,850,000 | 3,746,531 | |
1.5% 3/1/37 (j) | 19,300,000 | 18,781,313 | |
1.5% 3/1/37 (j) | 4,900,000 | 4,768,313 | |
1.5% 3/1/52 (j) | 18,200,000 | 16,870,670 | |
1.5% 3/1/52 (j) | 2,200,000 | 2,039,312 | |
1.5% 3/1/52 (j) | 9,900,000 | 9,176,903 | |
1.5% 3/1/52 (j) | 20,000,000 | 18,539,198 | |
1.5% 3/1/52 (j) | 16,000,000 | 14,831,358 | |
1.5% 3/1/52 (j) | 7,950,000 | 7,369,331 | |
1.5% 3/1/52 (j) | 16,000,000 | 14,831,358 | |
1.5% 3/1/52 (j) | 7,950,000 | 7,369,331 | |
1.5% 3/1/52 (j) | 16,600,000 | 15,387,534 | |
1.5% 3/1/52 (j) | 8,250,000 | 7,647,419 | |
1.5% 3/1/52 (j) | 7,950,000 | 7,369,331 | |
1.5% 4/1/52 (j) | 5,400,000 | 4,997,990 | |
1.5% 4/1/52 (j) | 2,700,000 | 2,498,995 | |
2% 3/1/37 (j) | 40,300,000 | 39,991,455 | |
2% 3/1/37 (j) | 9,900,000 | 9,824,204 | |
2% 3/1/37 (j) | 27,300,000 | 27,090,986 | |
2% 3/1/37 (j) | 6,600,000 | 6,549,469 | |
2% 3/1/37 (j) | 27,300,000 | 27,090,986 | |
2% 3/1/37 (j) | 6,600,000 | 6,549,469 | |
2% 3/1/37 (j) | 16,200,000 | 16,075,970 | |
2% 3/1/37 (j) | 3,900,000 | 3,870,141 | |
2% 3/1/37 (j) | 10,200,000 | 10,121,907 | |
2% 3/1/37 (j) | 41,300,000 | 40,983,799 | |
2% 3/1/37 (j) | 14,650,000 | 14,537,837 | |
2% 3/1/37 (j) | 60,850,000 | 60,384,120 | |
2% 4/1/37 (j) | 10,200,000 | 10,103,976 | |
2% 4/1/37 (j) | 41,300,000 | 40,911,198 | |
2% 4/1/37 (j) | 32,850,000 | 32,540,747 | |
2% 4/1/37 (j) | 8,100,000 | 8,023,746 | |
2% 3/1/52 (j) | 11,500,000 | 11,024,863 | |
2% 3/1/52 (j) | 46,700,000 | 44,770,529 | |
2% 3/1/52 (j) | 3,400,000 | 3,259,525 | |
2% 3/1/52 (j) | 28,100,000 | 26,939,012 | |
2% 3/1/52 (j) | 19,200,000 | 18,406,727 | |
2% 3/1/52 (j) | 13,300,000 | 12,750,493 | |
2% 3/1/52 (j) | 6,400,000 | 6,135,576 | |
2% 3/1/52 (j) | 70,350,000 | 67,443,398 | |
2% 3/1/52 (j) | 21,550,000 | 20,659,634 | |
2% 3/1/52 (j) | 21,250,000 | 20,372,029 | |
2% 3/1/52 (j) | 79,150,000 | 75,879,815 | |
2% 3/1/52 (j) | 69,600,000 | 66,724,386 | |
2% 3/1/52 (j) | 14,550,000 | 13,948,848 | |
2% 3/1/52 (j) | 13,100,000 | 12,558,756 | |
2% 3/1/52 (j) | 3,400,000 | 3,259,525 | |
2% 4/1/52 (j) | 7,300,000 | 6,986,985 | |
2% 4/1/52 (j) | 29,800,000 | 28,522,212 | |
2.5% 3/1/37 (j) | 8,900,000 | 9,005,686 | |
2.5% 3/1/37 (j) | 33,800,000 | 34,201,368 | |
2.5% 3/1/52 (j) | 19,800,000 | 19,530,839 | |
2.5% 3/1/52 (j) | 19,900,000 | 19,629,479 | |
2.5% 3/1/52 (j) | 2,500,000 | 2,466,015 | |
2.5% 3/1/52 (j) | 2,400,000 | 2,367,374 | |
2.5% 3/1/52 (j) | 24,900,000 | 24,561,509 | |
2.5% 3/1/52 (j) | 6,100,000 | 6,017,077 | |
2.5% 3/1/52 (j) | 103,100,000 | 101,698,459 | |
2.5% 3/1/52 (j) | 20,650,000 | 20,369,284 | |
2.5% 3/1/52 (j) | 7,350,000 | 7,250,084 | |
2.5% 3/1/52 (j) | 1,850,000 | 1,824,851 | |
2.5% 3/1/52 (j) | 7,350,000 | 7,250,084 | |
2.5% 3/1/52 (j) | 1,850,000 | 1,824,851 | |
2.5% 3/1/52 (j) | 102,300,000 | 100,909,334 | |
2.5% 3/1/52 (j) | 22,050,000 | 21,750,252 | |
2.5% 3/1/52 (j) | 51,800,000 | 51,095,831 | |
2.5% 3/1/52 (j) | 11,175,000 | 11,023,087 | |
2.5% 3/1/52 (j) | 15,400,000 | 15,190,652 | |
2.5% 3/1/52 (j) | 3,300,000 | 3,255,140 | |
2.5% 3/1/52 (j) | 27,750,000 | 27,372,767 | |
2.5% 3/1/52 (j) | 5,900,000 | 5,819,795 | |
2.5% 4/1/52 (j) | 68,650,000 | 67,574,646 | |
2.5% 4/1/52 (j) | 13,600,000 | 13,386,966 | |
3% 3/1/52 (j) | 21,400,000 | 21,609,001 | |
3% 3/1/52 (j) | 2,600,000 | 2,625,393 | |
3% 3/1/52 (j) | 2,350,000 | 2,372,951 | |
3% 3/1/52 (j) | 29,400,000 | 29,687,132 | |
3% 3/1/52 (j) | 7,400,000 | 7,472,271 | |
3% 3/1/52 (j) | 7,400,000 | 7,472,271 | |
3% 3/1/52 (j) | 29,400,000 | 29,687,132 | |
3% 3/1/52 (j) | 21,900,000 | 22,113,884 | |
3% 3/1/52 (j) | 5,500,000 | 5,553,715 | |
3% 3/1/52 (j) | 7,100,000 | 7,169,341 | |
3% 3/1/52 (j) | 5,300,000 | 5,351,762 | |
3% 3/1/52 (j) | 40,200,000 | 40,592,609 | |
3% 3/1/52 (j) | 32,700,000 | 33,019,361 | |
3% 3/1/52 (j) | 2,700,000 | 2,726,369 | |
3.5% 3/1/52 (j) | 65,600,000 | 67,567,987 | |
3.5% 3/1/52 (j) | 7,100,000 | 7,312,999 | |
3.5% 3/1/52 (j) | 21,300,000 | 21,938,996 | |
3.5% 3/1/52 (j) | 2,300,000 | 2,369,000 | |
3.5% 3/1/52 (j) | 17,200,000 | 17,715,997 | |
3.5% 3/1/52 (j) | 1,900,000 | 1,957,000 | |
3.5% 3/1/52 (j) | 25,800,000 | 26,573,995 | |
3.5% 3/1/52 (j) | 3,200,000 | 3,295,999 | |
3.5% 3/1/52 (j) | 2,900,000 | 2,986,999 | |
3.5% 3/1/52 (j) | 7,700,000 | 7,930,998 | |
3.5% 3/1/52 (j) | 39,300,000 | 40,478,992 | |
3.5% 3/1/52 (j) | 13,300,000 | 13,698,997 | |
3.5% 3/1/52 (j) | 50,700,000 | 52,220,990 | |
3.5% 3/1/52 (j) | 4,150,000 | 4,274,499 | |
3.5% 3/1/52 (j) | 71,550,000 | 73,696,486 | |
3.5% 3/1/52 (j) | 2,150,000 | 2,214,500 | |
3.5% 3/1/52 (j) | 14,700,000 | 15,140,997 | |
3.5% 3/1/52 (j) | 3,700,000 | 3,810,999 | |
3.5% 3/1/52 (j) | 10,200,000 | 10,505,998 | |
3.5% 3/1/52 (j) | 45,550,000 | 46,916,491 | |
3.5% 3/1/52 (j) | 7,000,000 | 7,209,999 | |
3.5% 3/1/52 (j) | 25,100,000 | 25,852,995 | |
3.5% 3/1/52 (j) | 7,000,000 | 7,209,999 | |
3.5% 3/1/52 (j) | 4,800,000 | 4,943,999 | |
3.5% 3/1/52 (j) | 19,300,000 | 19,878,996 | |
3.5% 3/1/52 (j) | 2,025,000 | 2,085,750 | |
3.5% 3/1/52 (j) | 6,550,000 | 6,746,499 | |
3.5% 3/1/52 (j) | 18,300,000 | 18,848,996 | |
3.5% 3/1/52 (j) | 7,100,000 | 7,312,999 | |
3.5% 3/1/52 (j) | 16,500,000 | 16,994,997 | |
4% 3/1/52 (j) | 30,000,000 | 31,317,165 | |
4% 3/1/52 (j) | 22,350,000 | 23,331,288 | |
4% 3/1/52 (j) | 5,450,000 | 5,689,285 | |
4% 3/1/52 (j) | 22,350,000 | 23,331,288 | |
4% 3/1/52 (j) | 5,450,000 | 5,689,285 | |
4% 3/1/52 (j) | 34,300,000 | 35,805,959 | |
4% 3/1/52 (j) | 26,400,000 | 27,559,105 | |
4% 3/1/52 (j) | 7,200,000 | 7,516,120 | |
4% 3/1/52 (j) | 37,300,000 | 38,937,675 | |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | 2,545,567,589 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $9,219,728,471) | 9,089,640,513 | ||
Asset-Backed Securities - 2.1% | |||
Principal Amount (a) | Value ($) | ||
AASET Trust: | |||
Series 2018-1A Class A, 3.844% 1/16/38 (b) | 7,807,955 | 6,212,581 | |
Series 2019-1 Class A, 3.844% 5/15/39 (b) | 4,331,937 | 3,836,038 | |
Series 2019-2: | |||
Class A, 3.376% 10/16/39 (b) | 8,019,950 | 7,537,855 | |
Class B, 4.458% 10/16/39 (b) | 1,488,945 | 1,220,133 | |
Series 2021-1A Class A, 2.95% 11/16/41 (b) | 11,049,879 | 10,435,644 | |
Series 2021-2A Class A, 2.798% 1/15/47 (b) | 20,850,030 | 20,197,849 | |
Affirm, Inc. Series 2021-A Class A, 0.88% 8/15/25 (b) | 4,062,000 | 4,051,380 | |
Aimco Series 2021-BA Class AR, 3 month U.S. LIBOR + 1.100% 1.3413% 1/15/32 (b)(c)(d) | 3,420,000 | 3,402,644 | |
AIMCO CLO Ltd. Series 2021-11A Class AR, 3 month U.S. LIBOR + 1.130% 1.3713% 10/17/34 (b)(c)(d) | 7,980,000 | 7,913,215 | |
Ajax Mortgage Loan Trust Series 2021-C Class A, 2.115% 1/25/61 (b) | 3,757,179 | 3,717,468 | |
Allegro CLO, Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.140% 1.394% 7/20/34 (b)(c)(d) | 8,250,000 | 8,187,894 | |
Apollo Aviation Securitization Equity Trust Series 2020-1A: | |||
Class A, 3.351% 1/16/40 (b) | 3,864,539 | 3,589,571 | |
Class B, 4.335% 1/16/40 (b) | 766,953 | 549,900 | |
Ares CLO Series 2019-54A Class A, 3 month U.S. LIBOR + 1.320% 1.5613% 10/15/32 (b)(c)(d) | 8,066,000 | 8,040,842 | |
Ares LV CLO Ltd. Series 2021-55A Class A1R, 3 month U.S. LIBOR + 1.130% 1.3713% 7/15/34 (b)(c)(d) | 10,540,000 | 10,472,755 | |
Ares LVIII CLO LLC Series 2022-58A Class AR, U.S. 90-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.330% 1.5112% 1/15/35 (b)(c)(d) | 18,170,000 | 18,165,585 | |
Ares XLI CLO Ltd. / Ares XLI CLO LLC Series 2021-41A Class AR2, 3 month U.S. LIBOR + 1.070% 1.3113% 4/15/34 (b)(c)(d) | 11,760,000 | 11,668,590 | |
Ares XXXIV CLO Ltd. Series 2020-2A Class AR2, 3 month U.S. LIBOR + 1.250% 1.4913% 4/17/33 (b)(c)(d) | 20,753,000 | 20,671,337 | |
Babson CLO Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.150% 1.3913% 10/15/36 (b)(c)(d) | 7,970,000 | 7,934,422 | |
Barings CLO Ltd. Series 2021-4A Class A, 3 month U.S. LIBOR + 1.220% 1.474% 1/20/32 (b)(c)(d) | 9,220,000 | 9,180,953 | |
Beechwood Park CLO Ltd.: | |||
Series 2019-1A Class A1, 3 month U.S. LIBOR + 1.330% 1.5713% 1/17/33 (b)(c)(d) | 7,381,000 | 7,381,000 | |
Series 2022-1A Class A1R, CME TERM SOFR 3 MONTH INDEX + 1.300% 1.3% 1/17/35 (b)(c)(d) | 15,590,000 | 15,586,180 | |
BETHP Series 2021-1A Class A, 3 month U.S. LIBOR + 1.130% 1.2698% 1/15/35 (b)(c)(d) | 11,380,000 | 11,316,067 | |
Blackbird Capital Aircraft: | |||
Series 2016-1A: | |||
Class A, 4.213% 12/16/41 (b) | 5,586,651 | 5,422,257 | |
Class AA, 2.487% 12/16/41 (b)(c) | 755,781 | 741,167 | |
Series 2021-1A Class A, 2.443% 7/15/46 (b) | 26,610,763 | 25,570,279 | |
Brazos Higher Education Authority, Inc. Series 2011-2 Class A2, 3 month U.S. LIBOR + 0.850% 1.1077% 7/25/29 (c)(d) | 182,433 | 182,592 | |
Bristol Park CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 0.990% 1.2313% 4/15/29 (b)(c)(d) | 10,597,000 | 10,572,680 | |
Castlelake Aircraft Securitization Trust: | |||
Series 2019-1A: | |||
Class A, 3.967% 4/15/39 (b) | 7,433,661 | 7,357,671 | |
Class B, 5.095% 4/15/39 (b) | 3,098,041 | 2,867,728 | |
Series 2021-1R Class A, 2.741% 8/15/41 (b) | 31,192,040 | 30,105,868 | |
Castlelake Aircraft Structured Trust: | |||
Series 2018-1 Class A, 4.125% 6/15/43 (b) | 4,053,179 | 3,951,108 | |
Series 2021-1A: | |||
Class A, 3.474% 1/15/46 (b) | 3,447,500 | 3,440,321 | |
Class B, 6.656% 1/15/46 (b) | 2,817,190 | 2,924,144 | |
Cedar Funding Ltd.: | |||
Series 2021-10A Class AR, 3 month U.S. LIBOR + 1.100% 1.354% 10/20/32 (b)(c)(d) | 7,910,000 | 7,858,174 | |
Series 2022-15A Class A, CME TERM SOFR 3 MONTH INDEX + 1.320% 1.32% 4/20/35 (b)(c)(d)(j) | 14,330,000 | 14,322,935 | |
Cedar Funding XII CLO Ltd. / Cedar Funding XII CLO LLC Series 2021-12A Class A1R, 3 month U.S. LIBOR + 1.130% 1.3877% 10/25/34 (b)(c)(d) | 6,880,000 | 6,807,017 | |
Cent CLO Ltd. / Cent CLO Series 2021-29A Class AR, 3 month U.S. LIBOR + 1.170% 1.424% 10/20/34 (b)(c)(d) | 11,410,000 | 11,333,108 | |
Citi Mortgage Loan Trust Series 2007-1 Class 1A, 1 month U.S. LIBOR + 1.350% 1.5369% 10/25/37 (b)(c)(d) | 92,904 | 93,123 | |
Collegiate Funding Services Education Loan Trust Series 2004-A Class A4, 3 month U.S. LIBOR + 0.340% 0.5598% 9/28/30 (c)(d) | 96,965 | 96,912 | |
Columbia Cent CLO 31 Ltd. Series 2021-31A Class A1, 3 month U.S. LIBOR + 1.200% 1.454% 4/20/34 (b)(c)(d) | 9,300,000 | 9,253,082 | |
Columbia Cent CLO Ltd. / Columbia Cent CLO Corp. Series 2021-30A Class A1, 3 month U.S. LIBOR + 1.310% 1.564% 1/20/34 (b)(c)(d) | 12,220,000 | 12,165,865 | |
Consumer Loan Underlying Bond Credit Trust Series 2019-HP1 Class A, 2.59% 12/15/26 (b) | 776,403 | 777,615 | |
DB Master Finance LLC: | |||
Series 2017-1A Class A2II, 4.03% 11/20/47 (b) | 5,280,960 | 5,410,344 | |
Series 2019-1A: | |||
Class A23, 4.352% 5/20/49 (b) | 979,875 | 1,016,650 | |
Class A2II, 4.021% 5/20/49 (b) | 737,100 | 751,547 | |
Dominos Pizza Master Issuer LLC Series 2019-1A Class A2, 3.668% 10/25/49 (b) | 2,092,300 | 2,135,129 | |
Dryden 98 CLO Ltd. Series 2022-98A Class A, CME TERM SOFR 3 MONTH INDEX + 1.300% 1.3% 4/20/35 (b)(c)(d)(j) | 9,710,000 | 9,707,640 | |
Dryden CLO, Ltd.: | |||
Series 2021-76A Class A1R, 3 month U.S. LIBOR + 1.150% 1.404% 10/20/34 (b)(c)(d) | 7,990,000 | 7,949,587 | |
Series 2021-83A Class A, 3 month U.S. LIBOR + 1.220% 1.4613% 1/18/32 (b)(c)(d) | 7,360,000 | 7,355,282 | |
Dryden Senior Loan Fund: | |||
Series 2018-70A Class A1, 3 month U.S. LIBOR + 1.170% 1.4113% 1/16/32 (b)(c)(d) | 2,909,000 | 2,894,685 | |
Series 2020-78A Class A, 3 month U.S. LIBOR + 1.180% 1.4213% 4/17/33 (b)(c)(d) | 7,000,000 | 6,999,972 | |
Series 2021-85A Class AR, 3 month U.S. LIBOR + 1.150% 1.3913% 10/15/35 (b)(c)(d) | 9,590,000 | 9,535,960 | |
Series 2021-90A Class A1A, 3 month U.S. LIBOR + 1.130% 1.2897% 2/20/35 (b)(c)(d) | 6,930,000 | 6,889,605 | |
Eaton Vance CLO, Ltd.: | |||
Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.100% 1.3413% 4/15/31 (b)(c)(d) | 4,560,000 | 4,558,427 | |
Series 2021-2A Class AR, 3 month U.S. LIBOR + 1.150% 1.3913% 1/15/35 (b)(c)(d) | 11,970,000 | 11,908,055 | |
Eaton Vance CLO, Ltd. / Eaton Vance CLO LLC Series 2021-1A Class A13R, 3 month U.S. LIBOR + 1.250% 1.4913% 1/15/34 (b)(c)(d) | 2,000,000 | 1,991,970 | |
Enterprise Fleet Financing LLC Series 2021-1 Class A2, 0.44% 12/21/26 (b) | 9,843,940 | 9,708,029 | |
Flatiron CLO Ltd. Series 2021-1A: | |||
Class A1, 3 month U.S. LIBOR + 1.110% 1.358% 7/19/34 (b)(c)(d) | 7,180,000 | 7,114,605 | |
Class AR, 3 month U.S. LIBOR + 1.080% 1.5386% 11/16/34 (b)(c)(d) | 11,500,000 | 11,400,997 | |
Flatiron CLO Ltd. / Flatiron CLO LLC Series 2020-1A Class A, 3 month U.S. LIBOR + 1.300% 1.7796% 11/20/33 (b)(c)(d) | 8,920,000 | 8,898,547 | |
Ford Credit Floorplan Master Owner Trust: | |||
Series 2019-1 Class B, 3.04% 3/15/24 | 1,170,000 | 1,171,233 | |
Series 2019-2 Class A, 3.06% 4/15/26 | 8,253,000 | 8,456,397 | |
Series 2019-3 Class A1, 2.23% 9/15/24 | 4,320,000 | 4,348,152 | |
Series 2019-4 Class A, 2.44% 9/15/26 | 1,300,000 | 1,310,158 | |
Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (b) | 3,007,862 | 2,868,210 | |
Horizon Aircraft Finance Ltd. Series 2019-1 Class A, 3.721% 7/15/39 (b) | 4,379,319 | 4,255,381 | |
Invesco CLO Ltd. Series 2021-3A Class A, 3 month U.S. LIBOR + 1.130% 1.2485% 10/22/34 (b)(c)(d) | 9,130,000 | 9,078,589 | |
KKR CLO Ltd. Series 2022-41A Class A1, CME TERM SOFR 3 MONTH INDEX + 1.330% 1.33% 4/15/35 (b)(c)(d)(j) | 19,170,000 | 19,165,303 | |
Lanark Master Issuer PLC Series 2020-1A Class 1A, 2.277% 12/22/69 (b)(c) | 7,887,000 | 7,928,825 | |
Lucali CLO Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.210% 1.4513% 1/15/33 (b)(c)(d) | 4,500,000 | 4,497,075 | |
Madison Park Funding Series 2020-19A Class A1R2, 3 month U.S. LIBOR + 0.920% 1.1789% 1/22/28 (b)(c)(d) | 2,569,958 | 2,561,194 | |
Madison Park Funding L Ltd. / Madison Park Funding L LLC Series 2021-50A Class A, 3 month U.S. LIBOR + 1.140% 1.388% 4/19/34 (b)(c)(d) | 9,810,000 | 9,754,328 | |
Madison Park Funding LII Ltd. / Madison Park Funding LII LLC Series 2021-52A Class A, 3 month U.S. LIBOR + 1.100% 1.1926% 1/22/35 (b)(c)(d) | 11,690,000 | 11,603,599 | |
Madison Park Funding XLV Ltd./Madison Park Funding XLV LLC Series 2021-45A Class AR, 3 month U.S. LIBOR + 1.120% 1.3613% 7/15/34 (b)(c)(d) | 7,360,000 | 7,305,374 | |
Magnetite CLO Ltd. Series 2021-27A Class AR, 3 month U.S. LIBOR + 1.140% 1.394% 10/20/34 (b)(c)(d) | 3,092,000 | 3,072,984 | |
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) | 7,986,675 | 7,974,335 | |
Magnetite XXIII, Ltd. Series 2021-23A Class AR, 3 month U.S. LIBOR + 1.130% 1.251% 1/25/35 (b)(c)(d) | 9,420,000 | 9,337,792 | |
Magnetite XXIX, Ltd. / Magnetite XXIX LLC Series 2021-29A Class A, 3 month U.S. LIBOR + 0.990% 1.2313% 1/15/34 (b)(c)(d) | 8,400,000 | 8,399,437 | |
MAPS Trust Series 2021-1A Class A, 2.521% 6/15/46 (b) | 35,490,867 | 34,364,224 | |
Marlette Funding Trust: | |||
Series 2021-3A Class A, 0.65% 12/15/31 (b) | 14,524,585 | 14,415,877 | |
Series 2022-1A Class A, 1.36% 4/15/32 (b) | 18,400,000 | 18,385,939 | |
Metlife Securitization Trust Series 2019-1A Class A1A, 3.75% 4/25/58 (b) | 1,577,044 | 1,600,222 | |
Milos CLO, Ltd. Series 2020-1A Class AR, 3 month U.S. LIBOR + 1.070% 1.324% 10/20/30 (b)(c)(d) | 10,553,000 | 10,494,452 | |
Peace Park CLO, Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.130% 1.384% 10/20/34 (b)(c)(d) | 5,068,000 | 5,031,673 | |
Planet Fitness Master Issuer LLC: | |||
Series 2019-1A Class A2, 3.858% 12/5/49 (b) | 18,846,380 | 18,769,298 | |
Series 2022-1A: | |||
Class A2I, 3.251% 12/5/51 (b) | 9,720,000 | 9,751,606 | |
Class A2II, 4.008% 12/5/51 (b) | 9,720,000 | 9,553,910 | |
Preston Ridge Partners Mortgage Trust Series 2021-RPL2 Class A1, 1.455% 10/25/51 (b)(c) | 6,712,812 | 6,591,745 | |
Project Silver Series 2019-1 Class A, 3.967% 7/15/44 (b) | 6,602,162 | 6,436,680 | |
Rockland Park CLO Ltd. Series 2021-1A Class A, 3 month U.S. LIBOR + 1.120% 1.374% 4/20/34 (b)(c)(d) | 12,190,000 | 12,127,697 | |
RR 7 Ltd. Series 2022-7A Class A1AB, 3 month U.S. LIBOR + 1.340% 1.5203% 1/15/37 (b)(c)(d) | 15,740,000 | 15,736,175 | |
Sapphire Aviation Finance Series 2020-1A: | |||
Class A, 3.228% 3/15/40 (b) | 19,218,636 | 18,421,138 | |
Class B, 4.335% 3/15/40 (b) | 853,777 | 709,985 | |
SBA Tower Trust: | |||
Series 2019, 2.836% 1/15/50 (b) | 8,715,000 | 8,823,592 | |
1.884% 7/15/50 (b) | 4,275,000 | 4,178,653 | |
2.328% 7/15/52 (b) | 3,269,000 | 3,193,938 | |
SLM Student Loan Trust Series 2003-10A Class A3, 3 month U.S. LIBOR + 0.470% 0.6728% 12/15/27 (b)(c)(d) | 291,386 | 291,322 | |
Store Master Funding Series 2021-1A Class A1, 2.12% 6/20/51 (b) | 10,963,333 | 10,447,874 | |
SYMP Series 2022-32A Class A1, CME TERM SOFR 3 MONTH INDEX + 1.320% 1.85% 4/23/35 (b)(c)(d)(j) | 15,650,000 | 15,642,175 | |
Symphony CLO XXI, Ltd. Series 2021-21A Class AR, 3 month U.S. LIBOR + 1.060% 1.3013% 7/15/32 (b)(c)(d) | 1,769,000 | 1,762,609 | |
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) | 7,300,000 | 7,232,190 | |
Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 1.0469% 9/25/34 (c)(d) | 7,249 | 7,179 | |
Thunderbolt Aircraft Lease Ltd. Series 2018-A Class A, 4.147% 9/15/38 (b)(c) | 9,014,024 | 8,812,659 | |
Thunderbolt III Aircraft Lease Ltd. Series 2019-1 Class A, 3.671% 11/15/39 (b) | 19,225,041 | 18,644,798 | |
Towd Point Mortgage Trust Series 2019-1 Class A1, 3.6411% 3/25/58 (b)(c) | 792,563 | 809,859 | |
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 3 month U.S. LIBOR + 0.560% 0.776% 4/6/42 (b)(c)(d) | 778,000 | 575,810 | |
Upstart Securitization Trust: | |||
Series 2021-1 Class A, 0.87% 3/20/31 (b) | 679,007 | 675,039 | |
Series 2021-2 Class A, 0.91% 6/20/31 (b) | 11,936,320 | 11,853,586 | |
Series 2021-3 Class A, 0.83% 7/20/31 (b) | 20,982,452 | 20,784,619 | |
Series 2021-4 Class A, 0.84% 9/20/31 (b) | 28,039,635 | 27,615,440 | |
Series 2021-5 Class A, 1.31% 11/20/31 (b) | 20,164,043 | 19,926,543 | |
Voya CLO Ltd./Voya CLO LLC: | |||
Series 2021-2A Class A1R, 3 month U.S. LIBOR + 1.160% 1.408% 7/19/34 (b)(c)(d) | 7,780,000 | 7,734,308 | |
Series 2021-3A Class AR, 3 month U.S. LIBOR + 1.150% 1.404% 10/20/34 (b)(c)(d) | 13,570,000 | 13,479,122 | |
Voya CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.150% 1.3913% 7/16/34 (b)(c)(d) | 7,590,000 | 7,541,432 | |
TOTAL ASSET-BACKED SECURITIES (Cost $980,714,122) | 968,852,314 | ||
Collateralized Mortgage Obligations - 1.0% | |||
Principal Amount (a) | Value ($) | ||
Private Sponsor - 0.7% | |||
Ajax Mortgage Loan Trust sequential payer Series 2021-E Class A1, 1.74% 12/25/60 (b) | 16,615,990 | 15,863,937 | |
Binom Securitization Trust 202 Series 2022-RPL1 Class A1, 3% 2/25/61 (b) | 17,722,000 | 17,722,124 | |
Brass PLC Series 2021-10A Class A1, 0.669% 4/16/69 (b)(c) | 6,660,611 | 6,565,178 | |
BRAVO Residential Funding Trust sequential payer Series 2022-RPL1 Class A1, 2.75% 9/25/61 (b) | 15,416,549 | 15,631,300 | |
Cascade Funding Mortgage Trust: | |||
Series 2021-EBO1 Class A, 0.9849% 11/25/50 (b)(c) | 12,946,778 | 12,849,485 | |
Series 2021-HB5 Class A, 0.8006% 2/25/31 (b) | 7,281,271 | 7,236,821 | |
Series 2021-HB6 Class A, 0.8983% 6/25/36 (b) | 9,002,193 | 8,957,017 | |
Series 2021-HB7 Class A, 1.1512% 10/27/31 (b) | 11,929,994 | 11,805,512 | |
CFMT LLC Series 2020-HB4 Class A, 0.9461% 12/26/30 (b) | 4,942,294 | 4,918,548 | |
Citigroup Mortgage Loan Trust sequential payer Series 2014-8 Class 2A1, 3.45% 6/27/37 (b)(c) | 39,799 | 39,569 | |
COLT Trust sequential payer Series 2021-RPL1 Class A1, 1.6654% 9/25/61 (b) | 10,145,101 | 10,007,653 | |
CSMC: | |||
floater Series 2015-1R Class 6A1, 1 month U.S. LIBOR + 0.280% 0.4082% 5/27/37 (b)(c)(d) | 55,857 | 55,023 | |
Series 2014-3R: | |||
Class 2A1, 1 month U.S. LIBOR + 0.700% 0% 5/27/37 (b)(c)(d)(k) | 552,731 | 55 | |
Class AA1, 1 month U.S. LIBOR + 0.280% 0.4082% 5/27/37 (b)(c)(d) | 728,073 | 694,620 | |
CSMC Trust sequential payer Series 2020-RPL4 Class A1, 2% 1/25/60 (b) | 3,913,432 | 3,882,282 | |
Finance of America HECM Buyout sequential payer Series 2022-HB1 Class A, 2.5998% 11/25/24 (b)(c) | 38,000,000 | 37,999,977 | |
Lanark Master Issuer PLC Series 2019-2A Class 1A, 2.71% 12/22/69 (b)(c) | 9,300,000 | 9,335,563 | |
New Residential Mortgage Loan Trust: | |||
Series 2019-5A Class A1B, 3.5% 8/25/59 (b) | 3,186,896 | 3,253,148 | |
Series 2020-1A Class A1B, 3.5% 10/25/59 (b) | 4,779,989 | 4,886,982 | |
New York Mortgage Trust sequential payer Series 2021-SP1 Class A1, 1.6696% 8/25/61 (b) | 10,937,258 | 10,702,460 | |
NYMT Loan Trust sequential payer Series 2021-CP1 Class A1, 2.0424% 7/25/61 (b) | 23,437,319 | 23,230,236 | |
Oceanview Trust sequential payer Series 2021-1 Class A, 1.2187% 12/29/51 (b)(c) | 30,082,509 | 29,908,996 | |
Preston Ridge Partners Mortgage Trust: | |||
Series 2021-2 Class A1, 2.115% 3/25/26 (b) | 12,531,113 | 12,314,692 | |
Series 2021-RPL1 Class A1, 1.319% 7/25/51 (b) | 4,982,008 | 4,863,126 | |
RMF Buyout Issuance Trust: | |||
sequential payer Series 2021-HB1 Class A, 1.2586% 11/25/31 (b) | 23,468,509 | 23,206,124 | |
Series 2020-HB1 Class A1, 1.7188% 10/25/50 (b) | 5,498,794 | 5,421,154 | |
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 1.1915% 7/20/34 (c)(d) | 1,487 | 1,450 | |
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1 month U.S. LIBOR + 0.640% 0.8269% 9/25/43 (c)(d) | 73,462 | 71,604 | |
Towd Point Mortgage Trust sequential payer Series 2021-1 Class A1, 2.25% 11/25/61 (b)(c) | 43,481,572 | 43,228,557 | |
Wells Fargo Mortgage Backed Securities Trust Series 2003-I Class A1, 2.3798% 9/25/33 (c) | 8,429 | 8,301 | |
TOTAL PRIVATE SPONSOR | 324,661,494 | ||
U.S. Government Agency - 0.3% | |||
Fannie Mae: | |||
floater: | |||
Series 2002-18 Class FD, 1 month U.S. LIBOR + 0.800% 0.9869% 2/25/32 (c)(d) | 2,598 | 2,642 | |
Series 2002-39 Class FD, 1 month U.S. LIBOR + 1.000% 1.1367% 3/18/32 (c)(d) | 4,818 | 4,917 | |
Series 2002-60 Class FV, 1 month U.S. LIBOR + 1.000% 1.1869% 4/25/32 (c)(d) | 5,479 | 5,607 | |
Series 2002-63 Class FN, 1 month U.S. LIBOR + 1.000% 1.1869% 10/25/32 (c)(d) | 7,187 | 7,342 | |
Series 2002-7 Class FC, 1 month U.S. LIBOR + 0.750% 0.9369% 1/25/32 (c)(d) | 2,592 | 2,632 | |
Series 2003-118 Class S, 8.100% - 1 month U.S. LIBOR 7.9131% 12/25/33 (c)(l)(m) | 101,625 | 23,007 | |
Series 2006-104 Class GI, 6.680% - 1 month U.S. LIBOR 6.4931% 11/25/36 (c)(l)(m) | 66,437 | 11,362 | |
Series 2012-154 Class F, 1 month U.S. LIBOR + 0.300% 0.4869% 1/25/43 (c)(d) | 610,438 | 611,171 | |
Series 2017-36 Class FB, 1 month U.S. LIBOR + 0.350% 0.5369% 5/25/47 (c)(d) | 1,246,426 | 1,248,947 | |
Series 2018-32 Class FB, 1 month U.S. LIBOR + 0.300% 0.4869% 5/25/48 (c)(d) | 708,423 | 708,153 | |
Series 2018-38 Class FG, 1 month U.S. LIBOR + 0.300% 0.4869% 6/25/48 (c)(d) | 1,709,050 | 1,708,729 | |
Series 2019-23 Class FC, 1 month U.S. LIBOR + 0.450% 0.6369% 5/25/49 (c)(d) | 10,563,785 | 10,639,087 | |
planned amortization class: | |||
Series 1992-168 Class KB, 7% 10/25/22 | 260 | 264 | |
Series 1993-207 Class H, 6.5% 11/25/23 | 11,239 | 11,494 | |
Series 1996-28 Class PK, 6.5% 7/25/25 | 4,469 | 4,583 | |
Series 1999-17 Class PG, 6% 4/25/29 | 39,499 | 42,451 | |
Series 1999-32 Class PL, 6% 7/25/29 | 43,789 | 47,233 | |
Series 1999-33 Class PK, 6% 7/25/29 | 32,914 | 35,502 | |
Series 2001-52 Class YZ, 6.5% 10/25/31 | 4,918 | 5,309 | |
Series 2003-28 Class KG, 5.5% 4/25/23 | 4,320 | 4,414 | |
Series 2005-102 Class CO 11/25/35 (n) | 17,577 | 15,921 | |
Series 2005-39 Class TE, 5% 5/25/35 | 17,280 | 18,854 | |
Series 2005-73 Class SA, 17.500% - 1 month U.S. LIBOR 17.0642% 8/25/35 (c)(m) | 4,987 | 6,199 | |
Series 2005-81 Class PC, 5.5% 9/25/35 | 48,665 | 53,371 | |
Series 2006-12 Class BO 10/25/35 (n) | 79,859 | 72,540 | |
Series 2006-15 Class OP 3/25/36 (n) | 91,735 | 81,816 | |
Series 2006-37 Class OW 5/25/36 (n) | 9,011 | 7,863 | |
Series 2006-45 Class OP 6/25/36 (n) | 28,724 | 25,115 | |
Series 2006-62 Class KP 4/25/36 (n) | 47,022 | 42,162 | |
Series 2012-149: | |||
Class DA, 1.75% 1/25/43 | 132,681 | 130,557 | |
Class GA, 1.75% 6/25/42 | 144,400 | 142,513 | |
sequential payer: | |||
Series 1997-41 Class J, 7.5% 6/18/27 | 6,209 | 6,668 | |
Series 1999-25 Class Z, 6% 6/25/29 | 28,045 | 29,664 | |
Series 2001-20 Class Z, 6% 5/25/31 | 44,074 | 47,769 | |
Series 2001-31 Class ZC, 6.5% 7/25/31 | 22,415 | 23,954 | |
Series 2002-16 Class ZD, 6.5% 4/25/32 | 13,635 | 14,751 | |
Series 2002-74 Class SV, 7.550% - 1 month U.S. LIBOR 7.3631% 11/25/32 (c)(l)(m) | 41,467 | 4,034 | |
Series 2012-67 Class AI, 4.5% 7/25/27 (l) | 63,014 | 3,058 | |
Series 06-116 Class SG, 6.640% - 1 month U.S. LIBOR 6.4531% 12/25/36 (c)(l)(m) | 52,111 | 10,707 | |
Series 07-40 Class SE, 6.440% - 1 month U.S. LIBOR 6.2531% 5/25/37 (c)(l)(m) | 25,526 | 5,343 | |
Series 1993-165 Class SH, 19.800% - 1 month U.S. LIBOR 19.2713% 9/25/23 (c)(m) | 754 | 814 | |
Series 2003-21 Class SK, 8.100% - 1 month U.S. LIBOR 7.9131% 3/25/33 (c)(l)(m) | 7,470 | 1,515 | |
Series 2005-72 Class ZC, 5.5% 8/25/35 | 369,648 | 391,137 | |
Series 2005-79 Class ZC, 5.9% 9/25/35 | 222,073 | 246,560 | |
Series 2007-57 Class SA, 40.600% - 1 month U.S. LIBOR 39.4988% 6/25/37 (c)(m) | 31,042 | 57,754 | |
Series 2007-66: | |||
Class SA, 39.600% - 1 month U.S. LIBOR 38.4788% 7/25/37 (c)(m) | 31,904 | 59,514 | |
Class SB, 39.600% - 1 month U.S. LIBOR 38.4788% 7/25/37 (c)(m) | 10,225 | 16,516 | |
Series 2008-12 Class SG, 6.350% - 1 month U.S. LIBOR 6.1631% 3/25/38 (c)(l)(m) | 171,172 | 30,595 | |
Series 2010-135: | |||
Class LS, 6.050% - 1 month U.S. LIBOR 5.8631% 12/25/40 (c)(l)(m) | 172,575 | 27,211 | |
Class ZA, 4.5% 12/25/40 | 67,016 | 75,493 | |
Series 2010-139 Class NI, 4.5% 2/25/40 (l) | 70,608 | 2,788 | |
Series 2010-150 Class ZC, 4.75% 1/25/41 | 728,275 | 809,630 | |
Series 2010-95 Class ZC, 5% 9/25/40 | 1,606,326 | 1,779,975 | |
Series 2011-39 Class ZA, 6% 11/25/32 | 110,859 | 122,282 | |
Series 2011-4 Class PZ, 5% 2/25/41 | 234,538 | 254,021 | |
Series 2011-67 Class AI, 4% 7/25/26 (l) | 19,029 | 746 | |
Series 2011-83 Class DI, 6% 9/25/26 (l) | 2,670 | 34 | |
Series 2012-100 Class WI, 3% 9/25/27 (l) | 411,253 | 26,905 | |
Series 2012-14 Class JS, 6.650% - 1 month U.S. LIBOR 6.4631% 12/25/30 (c)(l)(m) | 73,924 | 2,895 | |
Series 2012-9 Class SH, 6.550% - 1 month U.S. LIBOR 6.3631% 6/25/41 (c)(l)(m) | 59,224 | 1,798 | |
Series 2013-133 Class IB, 3% 4/25/32 (l) | 167,288 | 6,288 | |
Series 2013-134 Class SA, 6.050% - 1 month U.S. LIBOR 5.8631% 1/25/44 (c)(l)(m) | 108,428 | 20,232 | |
Series 2013-44 Class DJ, 1.85% 5/25/33 | 8,801,480 | 8,686,641 | |
Series 2013-51 Class GI, 3% 10/25/32 (l) | 112,193 | 7,632 | |
Series 2013-N1 Class A, 6.720% - 1 month U.S. LIBOR 6.5331% 6/25/35 (c)(l)(m) | 146,521 | 22,442 | |
Series 2015-42 Class IL, 6% 6/25/45 (l) | 730,349 | 139,959 | |
Series 2015-70 Class JC, 3% 10/25/45 | 809,419 | 829,301 | |
Series 2017-30 Class AI, 5.5% 5/25/47 (l) | 364,445 | 70,704 | |
Fannie Mae Stripped Mortgage-Backed Securities: | |||
Series 339 Class 5, 5.5% 7/25/33 (l) | 24,515 | 4,317 | |
Series 343 Class 16, 5.5% 5/25/34 (l) | 21,556 | 3,485 | |
Series 348 Class 14, 6.5% 8/25/34 (c)(l) | 19,200 | 4,086 | |
Series 351: | |||
Class 12, 5.5% 4/25/34 (c)(l) | 12,050 | 2,162 | |
Class 13, 6% 3/25/34 (l) | 17,482 | 3,107 | |
Series 359 Class 19, 6% 7/25/35 (c)(l) | 10,363 | 2,032 | |
Series 384 Class 6, 5% 7/25/37 (l) | 101,310 | 17,739 | |
Freddie Mac: | |||
floater: | |||
Series 2412 Class FK, 1 month U.S. LIBOR + 0.800% 0.9911% 1/15/32 (c)(d) | 2,000 | 2,036 | |
Series 2423 Class FA, 1 month U.S. LIBOR + 0.900% 1.0911% 3/15/32 (c)(d) | 2,944 | 3,004 | |
Series 2424 Class FM, 1 month U.S. LIBOR + 1.000% 1.1911% 3/15/32 (c)(d) | 2,952 | 3,015 | |
Series 2432: | |||
Class FE, 1 month U.S. LIBOR + 0.900% 1.0911% 6/15/31 (c)(d) | 5,270 | 5,363 | |
Class FG, 1 month U.S. LIBOR + 0.900% 1.0911% 3/15/32 (c)(d) | 1,651 | 1,682 | |
Series 4709 Class FE, 1 month U.S. LIBOR + 0.350% 0.5411% 8/15/47 (c)(d) | 669,312 | 670,863 | |
floater target amortization class Series 3366 Class FD, 1 month U.S. LIBOR + 0.250% 0.4411% 5/15/37 (c)(d) | 117,983 | 118,364 | |
planned amortization class: | |||
Series 2095 Class PE, 6% 11/15/28 | 49,756 | 53,754 | |
Series 2101 Class PD, 6% 11/15/28 | 3,113 | 3,362 | |
Series 2104 Class PG, 6% 12/15/28 | 3,603 | 3,894 | |
Series 2121 Class MG, 6% 2/15/29 | 19,434 | 20,976 | |
Series 2131 Class BG, 6% 3/15/29 | 109,950 | 118,903 | |
Series 2137 Class PG, 6% 3/15/29 | 18,106 | 19,589 | |
Series 2154 Class PT, 6% 5/15/29 | 38,828 | 42,020 | |
Series 2162 Class PH, 6% 6/15/29 | 7,140 | 7,685 | |
Series 2520 Class BE, 6% 11/15/32 | 53,136 | 58,789 | |
Series 2693 Class MD, 5.5% 10/15/33 | 220,437 | 233,572 | |
Series 2802 Class OB, 6% 5/15/34 | 60,476 | 65,731 | |
Series 3002 Class NE, 5% 7/15/35 | 124,261 | 133,990 | |
Series 3110 Class OP 9/15/35 (n) | 40,199 | 38,209 | |
Series 3119 Class PO 2/15/36 (n) | 111,863 | 99,411 | |
Series 3121 Class KO 3/15/36 (n) | 17,261 | 15,512 | |
Series 3123 Class LO 3/15/36 (n) | 62,805 | 55,936 | |
Series 3145 Class GO 4/15/36 (n) | 64,781 | 57,925 | |
Series 3189 Class PD, 6% 7/15/36 | 107,063 | 120,037 | |
Series 3225 Class EO 10/15/36 (n) | 33,885 | 29,870 | |
Series 3258 Class PM, 5.5% 12/15/36 | 43,000 | 47,358 | |
Series 3415 Class PC, 5% 12/15/37 | 46,838 | 50,430 | |
Series 3806 Class UP, 4.5% 2/15/41 | 214,527 | 227,456 | |
Series 3832 Class PE, 5% 3/15/41 | 520,353 | 561,407 | |
Series 4135 Class AB, 1.75% 6/15/42 | 108,312 | 107,020 | |
Series 4765 Class PE, 3% 12/15/41 | 74,523 | 74,931 | |
sequential payer: | |||
Series 2114 Class ZM, 6% 1/15/29 | 1,663 | 1,797 | |
Series 2135 Class JE, 6% 3/15/29 | 13,578 | 14,563 | |
Series 2274 Class ZM, 6.5% 1/15/31 | 13,932 | 14,853 | |
Series 2281 Class ZB, 6% 3/15/30 | 23,623 | 25,429 | |
Series 2303 Class ZV, 6% 4/15/31 | 10,435 | 11,332 | |
Series 2357 Class ZB, 6.5% 9/15/31 | 88,544 | 97,981 | |
Series 2502 Class ZC, 6% 9/15/32 | 27,464 | 30,352 | |
Series 2519 Class ZD, 5.5% 11/15/32 | 29,714 | 32,458 | |
Series 2546 Class MJ, 5.5% 3/15/23 | 2,915 | 2,978 | |
Series 2601 Class TB, 5.5% 4/15/23 | 1,348 | 1,378 | |
Series 2998 Class LY, 5.5% 7/15/25 | 13,239 | 14,134 | |
Series 3871 Class KB, 5.5% 6/15/41 | 603,240 | 672,019 | |
Series 06-3115 Class SM, 6.600% - 1 month U.S. LIBOR 6.4089% 2/15/36 (c)(l)(m) | 34,004 | 5,458 | |
Series 1658 Class GZ, 7% 1/15/24 | 2,862 | 3,000 | |
Series 2013-4281 Class AI, 4% 12/15/28 (l) | 173,469 | 5,836 | |
Series 2017-4683 Class LM, 3% 5/15/47 | 1,031,081 | 1,051,279 | |
Series 2380 Class SY, 8.200% - 1 month U.S. LIBOR 8.0089% 11/15/31 (c)(l)(m) | 18,341 | 1,753 | |
Series 2587 Class IM, 6.5% 3/15/33 (l) | 3,576 | 708 | |
Series 2844: | |||
Class SC, 46.800% - 1 month U.S. LIBOR 45.5576% 8/15/24 (c)(m) | 2 | 2 | |
Class SD, 86.400% - 1 month U.S. LIBOR 83.9652% 8/15/24 (c)(m) | 3 | 4 | |
Series 2933 Class ZM, 5.75% 2/15/35 | 502,637 | 561,466 | |
Series 2935 Class ZK, 5.5% 2/15/35 | 438,687 | 483,573 | |
Series 2947 Class XZ, 6% 3/15/35 | 204,632 | 228,206 | |
Series 2996 Class ZD, 5.5% 6/15/35 | 327,618 | 361,491 | |
Series 3237 Class C, 5.5% 11/15/36 | 490,200 | 534,001 | |
Series 3244 Class SG, 6.660% - 1 month U.S. LIBOR 6.4689% 11/15/36 (c)(l)(m) | 152,843 | 29,477 | |
Series 3287 Class SD, 6.750% - 1 month U.S. LIBOR 6.5589% 3/15/37 (c)(l)(m) | 222,306 | 48,732 | |
Series 3297 Class BI, 6.760% - 1 month U.S. LIBOR 6.5689% 4/15/37 (c)(l)(m) | 320,755 | 63,414 | |
Series 3336 Class LI, 6.580% - 1 month U.S. LIBOR 6.3889% 6/15/37 (c)(l)(m) | 116,147 | 19,858 | |
Series 3949 Class MK, 4.5% 10/15/34 | 90,000 | 95,606 | |
Series 4055 Class BI, 3.5% 5/15/31 (l) | 184,449 | 7,319 | |
Series 4149 Class IO, 3% 1/15/33 (l) | 57,828 | 5,194 | |
Series 4314 Class AI, 5% 3/15/34 (l) | 60,910 | 2,998 | |
Series 4427 Class LI, 3.5% 2/15/34 (l) | 436,816 | 36,884 | |
Series 4471 Class PA 4% 12/15/40 | 471,874 | 489,704 | |
target amortization class Series 2156 Class TC, 6.25% 5/15/29 | 16,899 | 17,988 | |
Freddie Mac Manufactured Housing participation certificates guaranteed: | |||
floater Series 1686 Class FA, 1 month U.S. LIBOR + 0.900% 1.0063% 2/15/24 (c)(d) | 3,176 | 3,187 | |
planned amortization class Series 2043 Class CJ, 6.5% 4/15/28 | 4,602 | 4,897 | |
sequential payer: | |||
Series 2043 Class ZH, 6% 4/15/28 | 12,271 | 13,203 | |
Series 2056 Class Z, 6% 5/15/28 | 32,754 | 35,335 | |
Freddie Mac Multi-family Structured pass-thru certificates: | |||
floater Series 4795 Class FA, 1 month U.S. LIBOR + 0.300% 0.4911% 5/15/48 (c)(d) | 1,103,269 | 1,102,218 | |
Series 4386 Class AZ, 4.5% 11/15/40 | 1,016,339 | 1,088,858 | |
Freddie Mac Seasoned Credit Risk Transfer Trust: | |||
sequential payer: | |||
Series 2018-3 Class MA, 3.5% 8/25/57 | 7,724,166 | 7,926,820 | |
Series 2018-4 Class MA, 3.5% 3/25/58 | 2,995,377 | 3,080,411 | |
Series 2019-1 Class MA, 3.5% 7/25/58 | 5,158,880 | 5,275,542 | |
Series 2018-3 Class M55D, 4% 8/25/57 | 425,570 | 455,579 | |
Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
floater: | |||
Series 2007-37 Class TS, 6.690% - 1 month U.S. LIBOR 6.5643% 6/16/37 (c)(l)(m) | 62,993 | 11,734 | |
Series 2010-H03 Class FA, 1 month U.S. LIBOR + 0.550% 0.6579% 3/20/60 (c)(d)(o) | 755,155 | 756,810 | |
Series 2010-H17 Class FA, 1 month U.S. LIBOR + 0.330% 0.4379% 7/20/60 (c)(d)(o) | 111,368 | 111,172 | |
Series 2010-H18 Class AF, 1 month U.S. LIBOR + 0.300% 0.4013% 9/20/60 (c)(d)(o) | 132,962 | 132,645 | |
Series 2010-H19 Class FG, 1 month U.S. LIBOR + 0.300% 0.4013% 8/20/60 (c)(d)(o) | 118,013 | 117,737 | |
Series 2010-H27 Class FA, 1 month U.S. LIBOR + 0.380% 0.4813% 12/20/60 (c)(d)(o) | 279,669 | 279,469 | |
Series 2011-H05 Class FA, 1 month U.S. LIBOR + 0.500% 0.6013% 12/20/60 (c)(d)(o) | 286,757 | 287,169 | |
Series 2011-H07 Class FA, 1 month U.S. LIBOR + 0.500% 0.6013% 2/20/61 (c)(d)(o) | 310,195 | 310,617 | |
Series 2011-H12 Class FA, 1 month U.S. LIBOR + 0.490% 0.5913% 2/20/61 (c)(d)(o) | 473,815 | 474,356 | |
Series 2011-H13 Class FA, 1 month U.S. LIBOR + 0.500% 0.6013% 4/20/61 (c)(d)(o) | 265,519 | 265,947 | |
Series 2011-H14: | |||
Class FB, 1 month U.S. LIBOR + 0.500% 0.6013% 5/20/61 (c)(d)(o) | 421,538 | 422,170 | |
Class FC, 1 month U.S. LIBOR + 0.500% 0.6013% 5/20/61 (c)(d)(o) | 314,142 | 314,637 | |
Series 2011-H17 Class FA, 1 month U.S. LIBOR + 0.530% 0.6313% 6/20/61 (c)(d)(o) | 371,717 | 372,429 | |
Series 2011-H20 Class FA, 1 month U.S. LIBOR + 0.550% 0.6513% 9/20/61 (c)(d)(o) | 1,008,202 | 1,010,681 | |
Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 0.7013% 10/20/61 (c)(d)(o) | 421,101 | 422,459 | |
Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 0.8013% 11/20/61 (c)(d)(o) | 421,822 | 423,958 | |
Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 0.8013% 1/20/62 (c)(d)(o) | 254,564 | 255,755 | |
Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 0.7313% 1/20/62 (c)(d)(o) | 363,785 | 365,204 | |
Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 0.7313% 3/20/62 (c)(d)(o) | 231,597 | 232,581 | |
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 0.7513% 5/20/61 (c)(d)(o) | 7,083 | 7,121 | |
Series 2014-H03 Class FA, 1 month U.S. LIBOR + 0.600% 0.7013% 1/20/64 (c)(d)(o) | 300,872 | 301,670 | |
Series 2014-H05 Class FB, 1 month U.S. LIBOR + 0.600% 0.7013% 12/20/63 (c)(d)(o) | 1,267,815 | 1,270,739 | |
Series 2014-H11 Class BA, 1 month U.S. LIBOR + 0.500% 0.6013% 6/20/64 (c)(d)(o) | 320,976 | 321,415 | |
Series 2015-H07 Class FA, 1 month U.S. LIBOR + 0.300% 0.4013% 3/20/65 (c)(d)(o) | 3,266 | 3,259 | |
Series 2015-H13 Class FL, 1 month U.S. LIBOR + 0.280% 0.3813% 5/20/63 (c)(d)(o) | 6,952 | 6,929 | |
Series 2015-H19 Class FA, 1 month U.S. LIBOR + 0.200% 0.3013% 4/20/63 (c)(d)(o) | 6,496 | 6,466 | |
Series 2016-H20 Class FM, 1 month U.S. LIBOR + 0.400% 0.5013% 12/20/62 (c)(d)(o) | 18,951 | 18,924 | |
Series 2017-161 Class DF, 1 month U.S. LIBOR + 0.250% 0.4117% 10/20/47 (c)(d) | 809,030 | 808,019 | |
Series 2018-159 Class F, 1 month U.S. LIBOR + 0.350% 0.5117% 11/20/48 (c)(d) | 1,469,292 | 1,477,357 | |
Series 2018-65 Class DF, 1 month U.S. LIBOR + 0.300% 0.4617% 5/20/48 (c)(d) | 752,221 | 752,677 | |
Series 2018-77 Class FA, 1 month U.S. LIBOR + 0.300% 0.4617% 6/20/48 (c)(d) | 973,675 | 974,641 | |
Series 2018-78 Class AF, 1 month U.S. LIBOR + 0.300% 0.4617% 6/20/48 (c)(d) | 817,422 | 820,036 | |
Series 2019-153 Class FB, 1 month U.S. LIBOR + 0.450% 0.6117% 12/20/49 (c)(d) | 10,485,485 | 10,571,085 | |
Series 2019-23 Class NF, 1 month U.S. LIBOR + 0.450% 0.6117% 2/20/49 (c)(d) | 2,861,090 | 2,884,606 | |
Series 2020-32 Class GF, 1 month U.S. LIBOR + 0.400% 0.5617% 3/20/50 (c)(d) | 9,641,997 | 9,685,470 | |
planned amortization class: | |||
Series 2010-158 Class MS, 10.000% - 1 month U.S. LIBOR 9.6766% 12/20/40 (c)(m) | 565,781 | 615,358 | |
Series 2011-136 Class WI, 4.5% 5/20/40 (l) | 25,527 | 1,655 | |
Series 2016-69 Class WA, 3% 2/20/46 | 377,797 | 385,646 | |
Series 2017-134 Class BA, 2.5% 11/20/46 | 149,352 | 151,048 | |
Series 2017-153 Class GA, 3% 9/20/47 | 1,283,822 | 1,307,523 | |
Series 2017-182 Class KA, 3% 10/20/47 | 1,021,637 | 1,041,280 | |
Series 2018-13 Class Q, 3% 4/20/47 | 1,345,417 | 1,369,821 | |
sequential payer: | |||
Series 2004-24 Class ZM, 5% 4/20/34 | 182,120 | 189,200 | |
Series 2010-160 Class DY, 4% 12/20/40 | 1,246,789 | 1,295,800 | |
Series 2010-170 Class B, 4% 12/20/40 | 280,319 | 291,396 | |
Series 2017-139 Class BA, 3% 9/20/47 | 3,903,322 | 3,990,807 | |
Series 2004-32 Class GS, 6.500% - 1 month U.S. LIBOR 6.3743% 5/16/34 (c)(l)(m) | 45,099 | 6,966 | |
Series 2004-73 Class AL, 7.200% - 1 month U.S. LIBOR 7.0743% 8/17/34 (c)(l)(m) | 33,507 | 6,540 | |
Series 2010-116 Class QB, 4% 9/16/40 | 92,752 | 96,932 | |
Series 2010-14 Class SN, 5.950% - 1 month U.S. LIBOR 5.8243% 2/16/40 (c)(l)(m) | 229,004 | 30,639 | |
Series 2010-H10 Class FA, 1 month U.S. LIBOR + 0.330% 0.4379% 5/20/60 (c)(d)(o) | 335,152 | 334,568 | |
Series 2011-52 Class HI, 7% 4/16/41 (l) | 41,173 | 7,410 | |
Series 2011-94 Class SA, 6.100% - 1 month U.S. LIBOR 5.9383% 7/20/41 (c)(l)(m) | 108,862 | 19,122 | |
Series 2012-76 Class GS, 6.700% - 1 month U.S. LIBOR 6.5743% 6/16/42 (c)(l)(m) | 144,496 | 25,527 | |
Series 2013-124 Class ES, 8.667% - 1 month U.S. LIBOR 8.4511% 4/20/39 (c)(m) | 11,419 | 11,525 | |
Series 2013-149 Class MA, 2.5% 5/20/40 | 1,189,695 | 1,220,896 | |
Series 2014-2 Class BA, 3% 1/20/44 | 2,349,219 | 2,396,322 | |
Series 2014-21 Class HA, 3% 2/20/44 | 865,357 | 882,519 | |
Series 2014-25 Class HC, 3% 2/20/44 | 1,482,665 | 1,498,182 | |
Series 2014-5 Class A, 3% 1/20/44 | 1,309,693 | 1,322,869 | |
Series 2015-H13 Class HA, 2.5% 8/20/64 (o) | 11,166 | 11,225 | |
Series 2016-H13 Class FB, U.S. TREASURY 1 YEAR INDEX + 0.500% 0.87% 5/20/66 (c)(d)(o) | 2,303,498 | 2,290,479 | |
Series 2017-186 Class HK, 3% 11/16/45 | 1,262,929 | 1,285,239 | |
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 0.72% 8/20/66 (c)(d)(o) | 2,742,076 | 2,718,873 | |
Ginnie Mae REMIC Trust Series 2015-H17 Class GZ, 4.2429% 5/20/65 (c)(o) | 56,330 | 58,077 | |
TOTAL U.S. GOVERNMENT AGENCY | 117,948,772 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $446,543,834) | 442,610,266 | ||
Commercial Mortgage Securities - 3.7% | |||
Principal Amount (a) | Value ($) | ||
BAMLL Commercial Mortgage Securities Trust: | |||
floater 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) | 10,929,000 | 10,834,924 | |
Class B, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 1.550% 1.65% 1/15/39 (b)(c)(d) | 2,064,000 | 2,042,521 | |
Class C, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 2.150% 2.25% 1/15/39 (b)(c)(d) | 1,474,000 | 1,458,886 | |
sequential payer Series 2019-BPR: | |||
Class AMP, 3.287% 11/5/32 (b) | 10,500,000 | 10,466,722 | |
Class ANM, 3.112% 11/5/32 (b) | 5,768,000 | 5,738,466 | |
Series 2019-BPR: | |||
Class BNM, 3.465% 11/5/32 (b) | 1,295,000 | 1,269,989 | |
Class CNM, 3.7186% 11/5/32 (b)(c) | 536,000 | 516,482 | |
BANK: | |||
sequential payer: | |||
Series 2018-BN10 Class A5, 3.688% 2/15/61 | 2,901,000 | 3,031,884 | |
Series 2019-BN21 Class A5, 2.851% 10/17/52 | 1,112,000 | 1,108,676 | |
Series 2020-BN25 Class XB, 0.4398% 1/15/63 (c)(l) | 30,600,000 | 991,064 | |
Series 2021-BN33 Class XA, 1.0613% 5/15/64 (c)(l) | 72,501,975 | 5,353,720 | |
Bayview Commercial Asset Trust floater: | |||
Series 2005-3A: | |||
Class A2, 1 month U.S. LIBOR + 0.600% 0.7869% 11/25/35 (b)(c)(d) | 32,125 | 30,670 | |
Class M1, 1 month U.S. LIBOR + 0.660% 0.8469% 11/25/35 (b)(c)(d) | 8,594 | 7,943 | |
Series 2005-4A: | |||
Class A2, 1 month U.S. LIBOR + 0.580% 0.7719% 1/25/36 (b)(c)(d) | 79,752 | 76,619 | |
Class M1, 1 month U.S. LIBOR + 0.670% 0.8619% 1/25/36 (b)(c)(d) | 25,746 | 24,728 | |
Class M2, 1 month U.S. LIBOR + 0.700% 0.8919% 1/25/36 (b)(c)(d) | 9,709 | 9,300 | |
Class M3, 1 month U.S. LIBOR + 0.750% 0.9369% 1/25/36 (b)(c)(d) | 14,130 | 13,544 | |
Series 2006-1: | |||
Class A2, 1 month U.S. LIBOR + 0.540% 0.7269% 4/25/36 (b)(c)(d) | 13,659 | 12,968 | |
Class M1, 1 month U.S. LIBOR + 0.570% 0.7569% 4/25/36 (b)(c)(d) | 8,259 | 7,744 | |
Class M2, 1 month U.S. LIBOR + 0.600% 0.7869% 4/25/36 (b)(c)(d) | 8,735 | 7,948 | |
Class M6, 1 month U.S. LIBOR + 0.960% 1.1469% 4/25/36 (b)(c)(d) | 8,259 | 7,327 | |
Series 2006-2A: | |||
Class M1, 1 month U.S. LIBOR + 0.460% 0.6519% 7/25/36 (b)(c)(d) | 12,318 | 11,328 | |
Class M2, 1 month U.S. LIBOR + 0.490% 0.6819% 7/25/36 (b)(c)(d) | 8,753 | 7,920 | |
Class M4, 1 month U.S. LIBOR + 0.630% 0.8169% 7/25/36 (b)(c)(d) | 8,266 | 7,529 | |
Series 2006-4A: | |||
Class A2, 1 month U.S. LIBOR + 0.400% 0.5919% 12/25/36 (b)(c)(d) | 176,502 | 168,474 | |
Class M1, 1 month U.S. LIBOR + 0.430% 0.6219% 12/25/36 (b)(c)(d) | 14,185 | 13,111 | |
Class M3, 1 month U.S. LIBOR + 0.510% 0.6969% 12/25/36 (b)(c)(d) | 9,615 | 8,678 | |
Series 2007-1 Class A2, 1 month U.S. LIBOR + 0.270% 0.4569% 3/25/37 (b)(c)(d) | 45,107 | 42,972 | |
Series 2007-2A: | |||
Class A1, 1 month U.S. LIBOR + 0.270% 0.4569% 7/25/37 (b)(c)(d) | 132,583 | 127,111 | |
Class A2, 1 month U.S. LIBOR + 0.320% 0.5069% 7/25/37 (b)(c)(d) | 124,096 | 115,485 | |
Class M1, 1 month U.S. LIBOR + 0.370% 0.5569% 7/25/37 (b)(c)(d) | 42,273 | 40,759 | |
Class M2, 1 month U.S. LIBOR + 0.410% 0.5969% 7/25/37 (b)(c)(d) | 27,541 | 24,184 | |
Class M3, 1 month U.S. LIBOR + 0.490% 0.6769% 7/25/37 (b)(c)(d) | 31,240 | 35,710 | |
Series 2007-3: | |||
Class A2, 1 month U.S. LIBOR + 0.290% 0.4769% 7/25/37 (b)(c)(d) | 47,427 | 44,843 | |
Class M1, 1 month U.S. LIBOR + 0.310% 0.4969% 7/25/37 (b)(c)(d) | 25,158 | 24,031 | |
Class M2, 1 month U.S. LIBOR + 0.340% 0.5269% 7/25/37 (b)(c)(d) | 26,843 | 25,460 | |
Class M3, 1 month U.S. LIBOR + 0.370% 0.5569% 7/25/37 (b)(c)(d) | 43,334 | 39,521 | |
Class M4, 1 month U.S. LIBOR + 0.500% 0.6869% 7/25/37 (b)(c)(d) | 68,131 | 61,745 | |
Class M5, 1 month U.S. LIBOR + 0.600% 0.7869% 7/25/37 (b)(c)(d) | 28,725 | 34,153 | |
Benchmark Mortgage Trust: | |||
sequential payer: | |||
Series 2018-B1 Class ASB, 3.602% 1/15/51 | 3,507,000 | 3,645,005 | |
Series 2018-B2 Class ASB, 3.7802% 2/15/51 | 1,800,000 | 1,872,521 | |
Series 2018-B4 Class A5, 4.121% 7/15/51 | 1,260,000 | 1,352,581 | |
Series 2019-B10 Class A4, 3.717% 3/15/62 | 2,283,000 | 2,400,897 | |
Series 2019-B13 Class A4, 2.952% 8/15/57 | 12,263,000 | 12,293,025 | |
Series 2018-B8 Class A5, 4.2317% 1/15/52 | 15,369,000 | 16,610,462 | |
Series 2019-B12 Class XA, 1.0615% 8/15/52 (c)(l) | 75,369,884 | 4,150,642 | |
Series 2019-B14 Class XA, 0.7822% 12/15/62 (c)(l) | 121,536,690 | 5,104,322 | |
Series 2020-B17 Class XA, 1.418% 3/15/53 (c)(l) | 11,978,567 | 940,828 | |
Series 2020-B18 Class XA, 1.7918% 7/15/53 (c)(l) | 20,025,231 | 2,021,527 | |
BFLD Trust floater sequential payer Series 2020-OBRK Class A, 1 month U.S. LIBOR + 2.050% 2.241% 11/15/28 (b)(c)(d) | 6,075,000 | 6,029,228 | |
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) | 19,346,000 | 18,970,978 | |
BX Commercial Mortgage Trust: | |||
floater: | |||
Series 2018-BIOA: | |||
Class A, 1 month U.S. LIBOR + 0.670% 0.8621% 3/15/37 (b)(c)(d) | 36,615,221 | 36,291,751 | |
Class E, 1 month U.S. LIBOR + 1.950% 2.1421% 3/15/37 (b)(c)(d) | 8,906,225 | 8,782,920 | |
Class F, 1 month U.S. LIBOR + 2.470% 2.6621% 3/15/37 (b)(c)(d) | 2,226,556 | 2,193,050 | |
Series 2021-PAC: | |||
Class A, 1 month U.S. LIBOR + 0.680% 0.8811% 10/15/36 (b)(c)(d) | 19,711,000 | 19,266,848 | |
Class B, 1 month U.S. LIBOR + 0.890% 1.0908% 10/15/36 (b)(c)(d) | 2,754,000 | 2,685,054 | |
Class C, 1 month U.S. LIBOR + 1.090% 1.2906% 10/15/36 (b)(c)(d) | 3,686,000 | 3,575,255 | |
Class D, 1 month U.S. LIBOR + 1.290% 1.4903% 10/15/36 (b)(c)(d) | 3,579,000 | 3,462,525 | |
Class E, 1 month U.S. LIBOR + 1.940% 2.1395% 10/15/36 (b)(c)(d) | 11,390,000 | 11,019,325 | |
Series 2021-VINO Class A, 1 month U.S. LIBOR + 0.650% 0.8433% 5/15/38 (b)(c)(d) | 14,550,000 | 14,241,058 | |
Series 2022-LP2: | |||
Class A, CME TERM SOFR 1 MONTH INDEX INDEX + 1.010% 1.0629% 2/15/39 (b)(c)(d) | 27,737,000 | 27,459,330 | |
Class B, CME TERM SOFR 1 MONTH INDEX INDEX + 1.310% 1.3623% 2/15/39 (b)(c)(d) | 7,270,000 | 7,191,682 | |
Class C, CME TERM SOFR 1 MONTH INDEX + 1.560% 1.6117% 2/15/39 (b)(c)(d) | 7,270,000 | 7,193,702 | |
Class D, CME TERM SOFR 1 MONTH INDEX INDEX + 1.960% 2.0108% 2/15/39 (b)(c)(d) | 7,270,000 | 7,192,364 | |
floater sequential payer: | |||
Series 2019-CALM Class A, 1 month U.S. LIBOR + 0.870% 1.067% 11/15/32 (b)(c)(d) | 14,035,000 | 13,854,855 | |
Series 2020-FOX Class A, 1 month U.S. LIBOR + 1.000% 1.191% 11/15/32 (b)(c)(d) | 7,527,922 | 7,481,160 | |
BX Trust: | |||
floater: | |||
Series 2018-EXCL: | |||
Class A, 1 month U.S. LIBOR + 1.088% 1.2786% 9/15/37 (b)(c)(d) | 10,436,160 | 10,305,344 | |
Class B, 1 month U.S. LIBOR + 1.320% 1.516% 9/15/37 (b)(c)(d) | 4,119,428 | 3,985,253 | |
Class D, 1 month U.S. LIBOR + 2.620% 2.816% 9/15/37 (b)(c)(d) | 1,985,564 | 1,678,804 | |
Series 2018-IND Class F, 1 month U.S. LIBOR + 1.800% 1.991% 11/15/35 (b)(c)(d) | 2,356,900 | 2,347,921 | |
Series 2019-IMC: | |||
Class B, 1 month U.S. LIBOR + 1.300% 1.491% 4/15/34 (b)(c)(d) | 4,437,000 | 4,370,206 | |
Class C, 1 month U.S. LIBOR + 1.600% 1.791% 4/15/34 (b)(c)(d) | 2,933,000 | 2,881,492 | |
Class D, 1 month U.S. LIBOR + 1.900% 2.091% 4/15/34 (b)(c)(d) | 3,079,000 | 3,013,496 | |
Series 2019-XL: | |||
Class B, 1 month U.S. LIBOR + 1.080% 1.271% 10/15/36 (b)(c)(d) | 3,808,850 | 3,775,236 | |
Class C, 1 month U.S. LIBOR + 1.250% 1.441% 10/15/36 (b)(c)(d) | 4,788,050 | 4,742,921 | |
Class D, 1 month U.S. LIBOR + 1.450% 1.641% 10/15/36 (b)(c)(d) | 6,782,150 | 6,714,136 | |
Class E, 1 month U.S. LIBOR + 1.800% 1.991% 10/15/36 (b)(c)(d) | 9,529,350 | 9,422,325 | |
Series 2021-ACNT Class A, 1 month U.S. LIBOR + 0.850% 1.042% 11/15/38 (b)(c)(d) | 18,162,000 | 17,969,107 | |
Series 2021-BXMF Class A, 1 month U.S. LIBOR + 0.630% 0.8269% 10/15/26 (b)(c)(d) | 16,987,000 | 16,604,220 | |
floater sequential payer: | |||
Series 2021-MFM1 Class A, 1 month U.S. LIBOR + 0.700% 0.8911% 1/15/34 (b)(c)(d) | 6,330,000 | 6,173,376 | |
Series 2021-SOAR Class A, 0.861% 6/15/38 (b)(c) | 30,062,000 | 29,384,571 | |
floater, sequential payer: | |||
Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 1.191% 4/15/34 (b)(c)(d) | 6,400,000 | 6,328,061 | |
Series 2019-XL Class A, 1 month U.S. LIBOR + 0.920% 1.111% 10/15/36 (b)(c)(d) | 37,994,512 | 37,827,853 | |
CAMB Commercial Mortgage Trust floater Series 2019-LIFE Class A, 1 month U.S. LIBOR + 1.070% 1.261% 12/15/37 (b)(c)(d) | 5,200,000 | 5,160,867 | |
CD Commercial Mortgage Trust sequential payer Series 2017-CD6 Class ASB, 3.332% 11/13/50 | 17,655,000 | 18,149,852 | |
CF Hippolyta Issuer LLC sequential payer: | |||
Series 2020-1: | |||
Class A1, 1.69% 7/15/60 (b) | 26,732,342 | 25,862,073 | |
Class A2, 1.99% 7/15/60 (b) | 10,457,665 | 9,904,783 | |
Series 2021-1A Class A1, 1.53% 3/15/61 (b) | 14,120,358 | 13,437,213 | |
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) | 4,222,000 | 4,169,082 | |
Class B, 1 month U.S. LIBOR + 1.250% 1.4411% 11/15/36 (b)(c)(d) | 1,600,000 | 1,575,936 | |
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) | 28,328,229 | 28,009,928 | |
Class B, 1 month U.S. LIBOR + 1.500% 1.691% 6/15/34 (b)(c)(d) | 2,163,210 | 2,125,231 | |
Class C, 1 month U.S. LIBOR + 1.750% 1.941% 6/15/34 (b)(c)(d) | 2,444,160 | 2,376,730 | |
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) | 10,608,136 | 10,427,743 | |
Class B, 1 month U.S. LIBOR + 1.900% 2.092% 8/15/36 (b)(c)(d) | 3,196,572 | 3,117,285 | |
Class C, 1 month U.S. LIBOR + 2.300% 2.492% 8/15/36 (b)(c)(d) | 2,429,590 | 2,357,377 | |
Class D, 1 month U.S. LIBOR + 3.050% 3.242% 8/15/36 (b)(c)(d) | 2,999,710 | 2,895,919 | |
Citigroup Commercial Mortgage Trust: | |||
sequential payer Series 2017-P7 Class AAB, 3.509% 4/14/50 | 739,996 | 758,817 | |
Series 2015-GC33 Class XA, 0.8805% 9/10/58 (c)(l) | 1,547,155 | 41,470 | |
Series 2016-P6 Class XA, 0.5702% 12/10/49 (c)(l) | 1,218,578 | 28,619 | |
Series 2019-GC41 Class XA, 1.0556% 8/10/56 (c)(l) | 20,596,606 | 1,235,658 | |
COMM Mortgage Trust: | |||
sequential payer: | |||
Series 2014-CR18 Class A5, 3.828% 7/15/47 | 2,137,000 | 2,200,914 | |
Series 2017-CD4 Class ASB, 3.317% 5/10/50 | 10,467,000 | 10,712,882 | |
Series 2013-CR13 Class AM, 4.449% 11/10/46 | 2,366,000 | 2,433,826 | |
Series 2013-LC13 Class AM, 4.557% 8/10/46 (b) | 5,200,000 | 5,349,297 | |
Series 2014-CR20 Class XA, 0.9843% 11/10/47 (c)(l) | 358,677 | 7,562 | |
Series 2014-LC17 Class XA, 0.7008% 10/10/47 (c)(l) | 1,122,999 | 17,052 | |
Series 2014-UBS6 Class XA, 0.8554% 12/10/47 (c)(l) | 877,120 | 17,330 | |
Credit Suisse Mortgage Trust: | |||
floater Series 2019-ICE4: | |||
Class B, 1 month U.S. LIBOR + 1.230% 1.421% 5/15/36 (b)(c)(d) | 6,081,000 | 6,019,978 | |
Class C, 1 month U.S. LIBOR + 1.430% 1.621% 5/15/36 (b)(c)(d) | 1,603,000 | 1,586,916 | |
sequential payer Series 2020-NET Class A, 2.2569% 8/15/37 (b) | 3,486,808 | 3,403,254 | |
Series 2018-SITE: | |||
Class A, 4.284% 4/15/36 (b) | 4,971,000 | 4,998,796 | |
Class B, 4.5349% 4/15/36 (b) | 1,471,000 | 1,463,138 | |
Class C, 4.782% 4/15/36 (b)(c) | 955,000 | 943,825 | |
Class D, 4.782% 4/15/36 (b)(c) | 1,909,000 | 1,843,395 | |
DBJPM Mortgage Trust sequential payer Series 2017-C6 Class ASB, 3.121% 6/10/50 | 4,803,000 | 4,908,227 | |
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) | 25,278,000 | 24,756,570 | |
Class B, 1 month U.S. LIBOR + 1.120% 1.3122% 11/15/38 (b)(c)(d) | 6,150,000 | 6,019,448 | |
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) | 15,300,831 | 15,153,671 | |
Class B, 1 month U.S. LIBOR + 1.380% 1.572% 7/15/38 (b)(c)(d) | 4,194,187 | 4,144,201 | |
Class C, 1 month U.S. LIBOR + 1.700% 1.892% 7/15/38 (b)(c)(d) | 3,140,671 | 3,103,234 | |
Class D, 1 month U.S. LIBOR + 2.250% 2.442% 7/15/38 (b)(c)(d) | 7,935,163 | 7,831,043 | |
Freddie Mac: | |||
floater: | |||
Series 2021-F104 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.250% 0.2987% 1/25/31 (c)(d) | 21,652,565 | 21,652,565 | |
Series 2021-F108 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.250% 0.2987% 2/25/31 (c)(d) | 28,126,790 | 28,081,230 | |
Series 2021-F112 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.230% 0.2787% 4/25/31 (c)(d) | 14,889,000 | 14,839,737 | |
Series 2021-F113 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.230% 0.2787% 5/25/28 (c)(d) | 13,658,060 | 13,658,060 | |
Series 2021-F114 Class A/S, 0.2687% 5/25/31 (c) | 65,899,000 | 65,842,986 | |
Series 2021-F115 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.210% 0.2587% 6/25/31 (c)(d) | 76,336,343 | 76,217,510 | |
Series 2021-F120 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.210% 0.2487% 8/25/31 (c)(d) | 21,177,000 | 21,050,533 | |
Series 2021-F121 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.180% 0.2287% 8/25/28 (c)(d) | 24,572,000 | 24,423,838 | |
floater sequential payer Series 2021-KF124 Class A/S, U.S. 30-Day Avg. Secured Overnight Fin. Rate (SOFR) Indx + 0.220% 0.2687% 10/25/31 (c)(d) | 121,900,000 | 121,688,138 | |
sequential payer Series 2021-K136 Class A2, 2.127% 11/25/31 | 10,700,000 | 10,462,311 | |
GS Mortgage Securities Trust: | |||
floater: | |||
Series 2018-3PCK Class A, 1 month U.S. LIBOR + 1.700% 1.891% 9/15/31 (b)(c)(d) | 13,251,872 | 13,124,037 | |
Series 2018-HART Class A, 1 month U.S. LIBOR + 1.090% 1.29% 10/15/31 (b)(c)(d) | 3,300,000 | 3,258,552 | |
Series 2021-IP: | |||
Class A, 1 month U.S. LIBOR + 0.950% 1.141% 10/15/36 (b)(c)(d) | 10,697,000 | 10,582,758 | |
Class B, 1 month U.S. LIBOR + 1.150% 1.341% 10/15/36 (b)(c)(d) | 1,654,000 | 1,631,411 | |
Class C, 1 month U.S. LIBOR + 1.550% 1.741% 10/15/36 (b)(c)(d) | 1,363,000 | 1,343,389 | |
sequential payer: | |||
Series 2014-GC18 Class AAB, 3.648% 1/10/47 | 762,969 | 775,097 | |
Series 2016-GC34 Class AAB, 3.278% 10/10/48 | 2,017,125 | 2,047,625 | |
Series 2011-GC5 Class A/S, 5.1577% 8/10/44 (b)(c) | 10,111,719 | 10,137,728 | |
Series 2013-GC16 Class A/S, 4.649% 11/10/46 | 2,932,000 | 3,020,375 | |
Series 2015-GC30 Class A/S, 3.777% 5/10/50 | 2,577,000 | 2,631,977 | |
JP Morgan Chase Commercial Mortgage Securities Trust sequential payer Series 2021-2NU Class A, 1.9739% 1/5/40 (b) | 24,200,000 | 22,862,756 | |
JPMBB Commercial Mortgage Securities Trust: | |||
Series 2013-C14 Class A/S, 4.4093% 8/15/46 | 4,614,000 | 4,679,139 | |
Series 2013-C17 Class A/S, 4.4584% 1/15/47 | 9,500,000 | 9,786,563 | |
JPMDB Commercial Mortgage Securities Trust sequential payer: | |||
Series 2017-C5 Class ASB, 3.4919% 3/15/50 | 3,236,000 | 3,310,045 | |
Series 2018-C8 Class ASB, 4.145% 6/15/51 | 8,779,000 | 9,335,221 | |
Series 2019-COR6 Class A4, 3.0565% 11/13/52 | 2,872,000 | 2,893,884 | |
JPMorgan Chase Commercial Mortgage Securities Corp. Series 2012-C6 Class A/S, 4.1166% 5/15/45 | 600,000 | 600,956 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
floater Series 2019-BKWD Class A, 1 month U.S. LIBOR + 1.000% 1.191% 9/15/29 (b)(c)(d) | 5,508,014 | 5,452,633 | |
sequential payer Series 2013-LC11 Class A5, 2.9599% 4/15/46 | 7,200,000 | 7,242,139 | |
Series 2012-C8 Class A/S, 3.4239% 10/15/45 (b) | 6,783,000 | 6,810,289 | |
Series 2012-CBX Class A/S, 4.2707% 6/15/45 | 31,528,000 | 31,623,221 | |
Series 2013-C16 Class A/S, 4.5169% 12/15/46 | 7,001,000 | 7,203,257 | |
Series 2013-LC11 Class A/S, 3.216% 4/15/46 | 5,691,000 | 5,714,789 | |
Series 2018-WPT: | |||
Class AFX, 4.2475% 7/5/33 (b) | 84,000 | 85,767 | |
Class CFX, 4.9498% 7/5/33 (b) | 767,000 | 782,125 | |
Class DFX, 5.3503% 7/5/33 (b) | 1,370,000 | 1,393,458 | |
Class EFX, 5.5422% 7/5/33 (b) | 1,614,000 | 1,624,817 | |
LIFE Mortgage Trust floater Series 2021-BMR: | |||
Class A, 1 month U.S. LIBOR + 0.700% 0.891% 3/15/38 (b)(c)(d) | 21,056,204 | 20,634,340 | |
Class B, 1 month U.S. LIBOR + 0.880% 1.071% 3/15/38 (b)(c)(d) | 2,889,932 | 2,821,182 | |
Class C, 1 month U.S. LIBOR + 1.100% 1.291% 3/15/38 (b)(c)(d) | 2,003,293 | 1,948,110 | |
Class D, 1 month U.S. LIBOR + 1.400% 1.591% 3/15/38 (b)(c)(d) | 2,785,737 | 2,698,680 | |
Class E, 1 month U.S. LIBOR + 1.750% 1.941% 3/15/38 (b)(c)(d) | 2,433,834 | 2,360,702 | |
Merit floater Series 2021-STOR Class A, 1 month U.S. LIBOR + 0.700% 0.891% 7/15/38 (b)(c)(d) | 8,363,000 | 8,185,432 | |
MHC Commercial Mortgage Trust floater sequential payer Series 2021-MHC Class A, 1 month U.S. LIBOR + 0.800% 0.992% 4/15/38 (b)(c)(d) | 34,600,000 | 34,102,196 | |
Morgan Stanley BAML Trust: | |||
sequential payer: | |||
Series 2016-C28 Class A3, 3.272% 1/15/49 | 5,368,278 | 5,432,609 | |
Series 2017-C33 Class A4, 3.337% 5/15/50 | 13,400,000 | 13,637,607 | |
Series 2012-C5 Class A/S, 3.792% 8/15/45 | 6,800,000 | 6,820,533 | |
Series 2012-C6 Class A/S, 3.476% 11/15/45 | 8,330,000 | 8,369,146 | |
Series 2015-C25 Class XA, 1.0466% 10/15/48 (c)(l) | 904,192 | 25,836 | |
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) | 172,299 | 171,123 | |
floater sequential payer Series 2019-NUGS Class A, 1 month U.S. LIBOR + 0.950% 2.45% 12/15/36 (b)(c)(d) | 9,700,000 | 9,594,878 | |
sequential payer Series 2019-MEAD Class A, 3.17% 11/10/36 (b) | 16,247,000 | 16,287,174 | |
Series 2018-H4 Class A4, 4.31% 12/15/51 | 2,991,000 | 3,236,796 | |
Series 2019-MEAD: | |||
Class B, 3.1771% 11/10/36 (b)(c) | 1,783,000 | 1,754,116 | |
Class C, 3.1771% 11/10/36 (b)(c) | 1,712,000 | 1,662,656 | |
Series 2021-L6 Class XA, 1.2365% 6/15/54 (c)(l) | 26,655,430 | 2,143,694 | |
Natixis Commercial Mortgage Securities Trust sequential payer Series 2020-2PAC Class A, 2.966% 12/15/38 (b) | 29,460,000 | 29,470,682 | |
NYT Mortgage Trust floater Series 2019-NYT Class A, 1 month U.S. LIBOR + 1.200% 1.391% 12/15/35 (b)(c)(d) | 20,822,000 | 20,584,473 | |
OPG Trust floater Series 2021-PORT Class A, 1 month U.S. LIBOR + 0.480% 0.675% 10/15/36 (b)(c)(d) | 37,834,000 | 36,352,591 | |
Prima Capital Ltd.: | |||
floater Series 2021-9A Class B, 1 month U.S. LIBOR + 1.800% 1.9617% 12/15/37 (b)(c)(d) | 4,403,000 | 4,378,905 | |
floater sequential payer Series 2021-9A Class A, 1 month U.S. LIBOR + 1.450% 1.5537% 12/15/37 (b)(c)(d) | 3,702,402 | 3,695,441 | |
RLGH Trust floater Series 2021-TROT Class A, 1 month U.S. LIBOR + 0.800% 0.992% 4/15/36 (b)(c)(d) | 23,000,000 | 22,682,683 | |
SLG Office Trust Series 2021-OVA Class X, 0.258% 7/15/41 (b)(c)(l) | 213,942,750 | 4,230,803 | |
SPGN Mortgage Trust floater Series 2022-TFLM: | |||
Class B, CME TERM SOFR 1 MONTH INDEX INDEX + 2.000% 2.05% 2/15/39 (b)(c)(d) | 4,954,000 | 4,930,680 | |
Class C, CME TERM SOFR 1 MONTH INDEX INDEX + 2.650% 2.7% 2/15/39 (b)(c)(d) | 2,576,000 | 2,563,877 | |
SREIT Trust floater: | |||
Series 2021-IND Class A, 1 month U.S. LIBOR + 0.700% 0.891% 10/15/38 (b)(c)(d) | 3,400,000 | 3,299,893 | |
Series 2021-MFP: | |||
Class A, 1 month U.S. LIBOR + 0.730% 0.9219% 11/15/38 (b)(c)(d) | 17,028,000 | 16,686,984 | |
Class B, 1 month U.S. LIBOR + 1.070% 1.2709% 11/15/38 (b)(c)(d) | 9,752,000 | 9,556,681 | |
Class C, 1 month U.S. LIBOR + 1.320% 1.5201% 11/15/38 (b)(c)(d) | 5,710,000 | 5,588,788 | |
Class D, 1 month U.S. LIBOR + 1.570% 1.7693% 11/15/38 (b)(c)(d) | 3,430,000 | 3,357,183 | |
UBS Commercial Mortgage Trust: | |||
sequential payer: | |||
Series 2017-C1 Class ASB, 3.462% 11/15/50 | 1,400,000 | 1,437,071 | |
Series 2017-C7 Class ASB, 3.586% 12/15/50 | 1,000,000 | 1,035,189 | |
Series 2012-C1 Class A/S, 4.171% 5/10/45 | 353,472 | 353,332 | |
Series 2017-C7 Class XA, 1.0116% 12/15/50 (c)(l) | 1,203,583 | 53,287 | |
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) | 106,791 | 106,382 | |
sequential payer Series 2012-C4 Class A/S, 3.3165% 12/10/45 (b) | 4,200,000 | 4,224,212 | |
Series 2012-C3 Class A/S, 3.814% 8/10/49 (b) | 12,000,000 | 12,069,655 | |
VLS Commercial Mortgage Trust: | |||
sequential payer Series 2020-LAB Class A, 2.13% 10/10/42 (b) | 8,020,000 | 7,475,850 | |
Series 2020-LAB: | |||
Class B, 2.453% 10/10/42 (b) | 470,000 | 434,430 | |
Class X, 0.4294% 10/10/42 (b)(c)(l) | 27,100,000 | 866,607 | |
Wells Fargo Commercial Mortgage Trust: | |||
floater Series 2021-FCMT Class A, 1 month U.S. LIBOR + 1.200% 1.391% 5/15/31 (b)(c)(d) | 16,435,000 | 16,280,680 | |
sequential payer: | |||
Series 2015-C26 Class A4, 3.166% 2/15/48 | 11,250,000 | 11,417,163 | |
Series 2015-C29 Class ASB, 3.4% 6/15/48 | 3,988,126 | 4,063,348 | |
Series 2016-LC24 Class A3, 2.684% 10/15/49 | 4,700,000 | 4,650,591 | |
Series 2017-C40 Class ASB, 3.395% 10/15/50 | 1,000,000 | 1,026,273 | |
Series 2018-C44 Class ASB, 4.167% 5/15/51 | 1,000,000 | 1,059,514 | |
Series 2019-C52 Class A5, 2.892% 8/15/52 | 3,829,000 | 3,821,237 | |
Series 2019-C54 Class ASB, 3.063% 12/15/52 | 1,000,000 | 1,027,535 | |
Series 2015-SG1 Class ASB, 3.556% 9/15/48 | 3,484,339 | 3,557,781 | |
Series 2017-C42 Class XA, 0.8736% 12/15/50 (c)(l) | 1,441,349 | 62,911 | |
Series 2018-C46 Class XA, 0.9348% 8/15/51 (c)(l) | 37,713,372 | 1,466,236 | |
Series 2018-C48 Class A5, 4.302% 1/15/52 | 3,836,000 | 4,161,551 | |
Series 2019-C54 Class XA, 0.8352% 12/15/52 (c)(l) | 63,531,112 | 3,398,165 | |
WF-RBS Commercial Mortgage Trust: | |||
Series 2012-C8 Class A/S, 3.66% 8/15/45 | 5,036,000 | 5,054,464 | |
Series 2012-C9 Class A/S, 3.388% 11/15/45 | 1,300,000 | 1,307,468 | |
Series 2013-C12 Class A/S, 3.56% 3/15/48 | 17,361,000 | 17,562,776 | |
Series 2013-C16 Class A/S, 4.668% 9/15/46 (c) | 8,828,629 | 9,107,894 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $1,719,641,273) | 1,691,420,490 | ||
Municipal Securities - 0.1% | |||
Principal Amount (a) | Value ($) | ||
Chicago Board of Ed. Series 2009 G, 1.75% 12/15/25 | 4,720,000 | 4,419,543 | |
Illinois Gen. Oblig.: | |||
Series 2003: | |||
4.95% 6/1/23 | 2,400,364 | 2,464,820 | |
5.1% 6/1/33 | 22,095,000 | 24,375,500 | |
Series 2010-1, 6.63% 2/1/35 | 2,035,000 | 2,371,953 | |
Series 2010-3: | |||
6.725% 4/1/35 | 2,710,000 | 3,204,787 | |
7.35% 7/1/35 | 1,385,000 | 1,674,196 | |
New Jersey Econ. Dev. Auth. State Pension Fdg. Rev. Series 1997, 7.425% 2/15/29 (Nat'l. Pub. Fin. Guarantee Corp. Insured) | 11,609,000 | 14,181,284 | |
TOTAL MUNICIPAL SECURITIES (Cost $48,850,718) | 52,692,083 | ||
Foreign Government and Government Agency Obligations - 0.1% | |||
Principal Amount (a) | Value ($) | ||
German Federal Republic: | |||
0% 8/15/31 (Reg. S) | EUR | 15,925,000 | 17,730,183 |
0% 2/15/32 (Reg. S) | EUR | 890,000 | 987,144 |
1.25% 8/15/48 (Reg. S) (g) | EUR | 5,415,000 | 7,464,265 |
Kingdom of Saudi Arabia 3.25% 11/17/51 (b) | 15,410,000 | 13,811,213 | |
Panamanian Republic: | |||
3.298% 1/19/33 | 18,075,000 | 17,243,550 | |
4.5% 1/19/63 | 11,905,000 | 11,178,795 | |
State of Qatar 3.4% 4/16/25 (b) | 4,110,000 | 4,260,015 | |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $77,010,011) | 72,675,165 | ||
Common Stocks - 0.0% | |||
Shares | Value ($) | ||
ENERGY - 0.0% | |||
Energy Equipment & Services - 0.0% | |||
Jonah Energy Parent LLC (k)(p) (Cost $65,550) | 4,766 | 263,846 | |
Bank Notes - 0.0% | |||
Principal Amount (a) | Value ($) | ||
Discover Bank 4.682% 8/9/28 (c) | 2,954,000 | 3,028,295 | |
KeyBank NA 6.95% 2/1/28 | 619,000 | 747,957 | |
Regions Bank 6.45% 6/26/37 | 4,251,000 | 5,559,238 | |
TOTAL BANK NOTES (Cost $8,477,316) | 9,335,490 | ||
Fixed-Income Funds - 58.0% | |||
Shares | Value ($) | ||
Bank Loan Funds - 2.4% | |||
Fidelity Advisor Floating Rate High Income Fund Class Z (q) | 118,318,668 | 1,112,195,476 | |
High Yield Fixed-Income Funds - 2.8% | |||
Fidelity Advisor High Income Fund Class Z (q) | 37,854,585 | 313,814,509 | |
Fidelity Advisor New Markets Income Fund Class Z (q) | 75,752,462 | 984,024,482 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 1,297,838,991 | ||
Inflation-Protected Bond Funds - 1.6% | |||
Fidelity Inflation-Protected Bond Index Fund (q) | 68,306,280 | 753,418,267 | |
Intermediate Government Funds - 9.1% | |||
Fidelity Advisor Government Income Fund Class Z (q) | 42,175,509 | 437,360,033 | |
Fidelity SAI U.S. Treasury Bond Index Fund (q) | 383,367,134 | 3,753,164,242 | |
TOTAL INTERMEDIATE GOVERNMENT FUNDS | 4,190,524,275 | ||
Intermediate-Term Bond Funds - 36.2% | |||
Fidelity Advisor Corporate Bond Fund Class Z (q) | 123,093,069 | 1,445,112,631 | |
Fidelity Advisor Global Credit Fund Class Z (q) | 3,212,012 | 29,678,995 | |
Fidelity Intermediate Bond Fund (q) | 85,998,143 | 925,340,023 | |
Fidelity SAI Total Bond Fund (q) | 1,237,159,452 | 12,495,310,415 | |
Fidelity Sustainability Bond Index Fund (q) | 2,390,589 | 24,670,879 | |
Fidelity U.S. Bond Index Fund (q) | 155,164,871 | 1,793,705,914 | |
TOTAL INTERMEDIATE-TERM BOND FUNDS | 16,713,818,857 | ||
Long Government Bond Funds - 4.3% | |||
Fidelity SAI Long-Term Treasury Bond Index Fund (q) | 187,199,857 | 2,004,910,465 | |
Sector Funds - 1.6% | |||
Fidelity Advisor Real Estate Income Fund Class Z (q) | 54,321,123 | 711,606,706 | |
TOTAL FIXED-INCOME FUNDS (Cost $27,420,565,892) | 26,784,313,037 | ||
Preferred Securities - 0.2% | |||
Principal Amount (a) | Value ($) | ||
COMMUNICATION SERVICES - 0.0% | |||
Diversified Telecommunication Services - 0.0% | |||
Telefonica Europe BV 3.875% (Reg. S) (c)(e) | 1,100,000 | 1,227,208 | |
CONSUMER DISCRETIONARY - 0.0% | |||
Automobiles - 0.0% | |||
Volkswagen International Finance NV 3.5% (Reg. S) (c)(e) | 9,200,000 | 10,485,438 | |
CONSUMER STAPLES - 0.0% | |||
Tobacco - 0.0% | |||
British American Tobacco PLC 3% (Reg. S) (c)(e) | 5,200,000 | 5,276,603 | |
FINANCIALS - 0.1% | |||
Banks - 0.1% | |||
AIB Group PLC 6.25% (Reg. S) (c)(e) | 1,235,000 | 1,439,895 | |
Banco Bilbao Vizcaya Argentaria SA 5.875% (Reg. S) (c)(e) | 1,200,000 | 1,375,989 | |
Bank of Nova Scotia: | |||
4.65% (c)(e) | 13,095,000 | 12,525,368 | |
4.9% (c)(e) | 9,500,000 | 9,657,225 | |
Barclays Bank PLC 7.625% 11/21/22 | 12,633,000 | 13,095,530 | |
Barclays PLC 5.875% (Reg. S) (c)(e) | 1,150,000 | 1,533,083 | |
BNP Paribas SA 6.625% (Reg. S) (c)(e) | 1,485,000 | 1,536,975 | |
HSBC Holdings PLC 6.375% (c)(e) | 1,470,000 | 1,514,100 | |
Lloyds Banking Group PLC 5.125% (c)(e) | 200,000 | 262,430 | |
Societe Generale 7.875% (Reg. S) (c)(e) | 740,000 | 776,075 | |
43,716,670 | |||
Capital Markets - 0.0% | |||
Credit Suisse Group AG 7.5% (Reg. S) (c)(e) | 4,925,000 | 5,158,938 | |
Consumer Finance - 0.0% | |||
Ally Financial, Inc. 4.7% (c)(e) | 2,600,000 | 2,480,075 | |
Insurance - 0.0% | |||
QBE Insurance Group Ltd. 5.25% (Reg. S) (c)(e) | 4,750,000 | 4,765,489 | |
TOTAL FINANCIALS | 56,121,172 | ||
HEALTH CARE - 0.0% | |||
Pharmaceuticals - 0.0% | |||
Bayer AG 2.375% 11/12/79 (Reg. S) (c) | 8,300,000 | 8,946,404 | |
INDUSTRIALS - 0.0% | |||
Road & Rail - 0.0% | |||
National Express Group PLC 4.25% (Reg. S) (c)(e) | 570,000 | 745,921 | |
REAL ESTATE - 0.1% | |||
Real Estate Management & Development - 0.1% | |||
Aroundtown SA 3.375% (Reg. S) (c)(e) | 3,900,000 | 4,269,019 | |
AT Securities BV 5.25% (Reg. S) (c)(e) | 4,750,000 | 4,744,205 | |
Citycon Oyj 4.496% (Reg. S) (c)(e) | 850,000 | 871,623 | |
CPI Property Group SA 3.75% (Reg. S) (c)(e) | 2,370,000 | 2,198,967 | |
Grand City Properties SA 1.5% (Reg. S) (c)(e) | 4,300,000 | 4,245,790 | |
Heimstaden Bostad AB: | |||
3.248% (Reg. S) (c)(e) | 3,735,000 | 3,919,234 | |
3.625% (Reg. S) (c)(e) | 195,000 | 198,876 | |
Samhallsbyggnadsbolaget I Norden AB 2.624% (Reg. S) (c)(e) | 1,385,000 | 1,334,633 | |
21,782,347 | |||
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
EDF SA 5.625% (Reg. S) (c)(e) | 6,300,000 | 6,252,750 | |
SSE PLC 3.74% (Reg. S) (c)(e) | 1,135,000 | 1,461,698 | |
7,714,448 | |||
Multi-Utilities - 0.0% | |||
ELM BV for Firmenich International SA 3.75% (Reg. S) (c)(e) | 520,000 | 589,190 | |
Veolia Environnement SA 2% (Reg. S) (c)(e) | 2,300,000 | 2,372,034 | |
2,961,224 | |||
TOTAL UTILITIES | 10,675,672 | ||
TOTAL PREFERRED SECURITIES (Cost $125,301,608) | 115,260,765 | ||
Money Market Funds - 4.1% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 0.31% (r) | 1,156,699,692 | 1,156,931,032 | |
Fidelity Investments Money Market Government Portfolio Institutional Class 0.16% (q)(s) | 742,464,653 | 742,464,653 | |
TOTAL MONEY MARKET FUNDS (Cost $1,899,395,646) | 1,899,395,685 | ||
Purchased Swaptions - 0.0% | ||||
Expiration Date | Notional Amount (a) | Value ($) | ||
Put Options - 0.0% | ||||
Option with an exercise rate of 3.75% on a credit default swap with BNP Paribas S.A. to buy protection on the 5-Year iTraxx Europe Crossover Series 36 Index expiring December 2026, paying 5% quarterly. (Cost $413,338) | 5/18/22 | EUR | 19,600,000 | 372,963 |
TOTAL INVESTMENT IN SECURITIES - 108.3% (Cost $50,867,973,872) | 50,037,437,048 |
NET OTHER ASSETS (LIABILITIES) - (8.3)% (t) | (3,828,412,100) |
NET ASSETS - 100.0% | 46,209,024,948 |
TBA Sale Commitments | ||
Principal Amount (a) | Value ($) | |
Ginnie Mae | ||
2% 3/1/52 | (6,400,000) | (6,255,601) |
2% 3/1/52 | (13,300,000) | (12,999,921) |
2.5% 3/1/52 | (6,100,000) | (6,095,604) |
2.5% 3/1/52 | (24,900,000) | (24,882,057) |
3% 3/1/52 | (21,900,000) | (22,258,867) |
3% 3/1/52 | (5,500,000) | (5,590,126) |
3% 3/1/52 | (5,300,000) | (5,386,849) |
3% 3/1/52 | (7,100,000) | (7,216,345) |
3.5% 3/1/52 | (7,700,000) | (7,945,243) |
3.5% 3/1/52 | (39,300,000) | (40,551,697) |
3.5% 3/1/52 | (1,975,000) | (2,037,903) |
TOTAL GINNIE MAE | (141,220,213) | |
Uniform Mortgage Backed Securities | ||
1.5% 3/1/37 | (19,300,000) | (18,781,313) |
1.5% 3/1/37 | (4,900,000) | (4,768,313) |
1.5% 3/1/37 | (19,350,000) | (18,829,969) |
1.5% 3/1/37 | (4,950,000) | (4,816,969) |
1.5% 3/1/37 | (19,300,000) | (18,781,313) |
1.5% 3/1/37 | (4,900,000) | (4,768,313) |
1.5% 3/1/37 | (16,600,000) | (16,153,875) |
1.5% 3/1/37 | (3,850,000) | (3,746,531) |
2% 3/1/37 | (41,300,000) | (40,983,799) |
2% 3/1/37 | (10,200,000) | (10,121,907) |
2% 3/1/52 | (35,725,000) | (34,248,975) |
2% 3/1/52 | (8,825,000) | (8,460,384) |
2% 3/1/52 | (4,750,000) | (4,553,748) |
2% 3/1/52 | (1,150,000) | (1,102,486) |
2% 3/1/52 | (10,950,000) | (10,497,587) |
2% 3/1/52 | (2,700,000) | (2,588,446) |
2% 3/1/52 | (43,350,000) | (41,558,938) |
2% 3/1/52 | (15,350,000) | (14,715,795) |
2% 3/1/52 | (54,300,000) | (52,056,525) |
2% 3/1/52 | (12,200,000) | (11,695,941) |
2% 3/1/52 | (7,300,000) | (6,998,391) |
2% 3/1/52 | (29,800,000) | (28,568,774) |
2.5% 3/1/52 | (68,650,000) | (67,716,772) |
2.5% 3/1/52 | (13,600,000) | (13,415,122) |
2.5% 3/1/52 | (102,800,000) | (101,402,537) |
2.5% 3/1/52 | (21,750,000) | (21,454,331) |
3% 3/1/52 | (30,800,000) | (31,100,805) |
3% 3/1/52 | (4,850,000) | (4,897,367) |
3% 3/1/52 | (5,450,000) | (5,503,227) |
3% 3/1/52 | (50,400,000) | (50,892,227) |
3% 3/1/52 | (1,750,000) | (1,767,091) |
3% 3/1/52 | (16,400,000) | (16,560,169) |
3% 3/1/52 | (13,200,000) | (13,328,916) |
3% 3/1/52 | (1,450,000) | (1,464,161) |
3% 3/1/52 | (14,750,000) | (14,894,054) |
3% 3/1/52 | (4,000,000) | (4,039,066) |
3% 3/1/52 | (14,700,000) | (14,843,566) |
3% 3/1/52 | (3,700,000) | (3,736,136) |
3% 3/1/52 | (14,700,000) | (14,843,566) |
3% 3/1/52 | (3,700,000) | (3,736,136) |
3% 3/1/52 | (7,400,000) | (7,472,271) |
3% 3/1/52 | (29,400,000) | (29,687,132) |
3.5% 3/1/52 | (21,700,000) | (22,350,996) |
3.5% 3/1/52 | (5,300,000) | (5,458,999) |
3.5% 3/1/52 | (25,000,000) | (25,749,995) |
3.5% 3/1/52 | (99,250,000) | (102,227,480) |
3.5% 3/1/52 | (19,500,000) | (20,084,996) |
3.5% 3/1/52 | (7,200,000) | (7,415,999) |
3.5% 3/1/52 | (26,400,000) | (27,191,995) |
3.5% 3/1/52 | (37,300,000) | (38,418,993) |
TOTAL UNIFORM MORTGAGE BACKED SECURITIES | (1,030,452,397) | |
TOTAL TBA SALE COMMITMENTS (Proceeds $1,167,773,573) | (1,171,672,610) |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
Purchased | |||||
Bond Index Contracts | |||||
ASX 10 Year Treasury Bond Index Contracts (Australia) | 19 | Mar 2022 | 1,856,476 | (68,267) | (68,267) |
Eurex Euro-Buxl 30 Year Bond Contracts (Germany) | 1 | Mar 2022 | 221,761 | (1) | (1) |
TME 10 Year Canadian Note Contracts (Canada) | 100 | Jun 2022 | 10,782,643 | 32,987 | 32,987 |
TOTAL BOND INDEX CONTRACTS | (35,281) | ||||
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 2,159 | Jun 2022 | 275,137,563 | 1,869,569 | 1,869,569 |
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 247 | Jun 2022 | 53,160,961 | 80,603 | 80,603 |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 280 | Jun 2022 | 33,118,750 | 199,012 | 199,012 |
CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States) | 119 | Jun 2022 | 16,818,047 | 164,840 | 164,840 |
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | 100 | Jun 2022 | 18,593,750 | 191,185 | 191,185 |
TOTAL TREASURY CONTRACTS | 2,505,209 | ||||
TOTAL PURCHASED | 2,469,928 | ||||
Sold | |||||
Bond Index Contracts | |||||
Eurex Euro-Bobl Contracts (Germany) | 64 | Mar 2022 | 9,462,274 | 160,916 | 160,916 |
ICE Long Gilt Contracts (United Kingdom) | 58 | Jun 2022 | 9,576,486 | 3,033 | 3,033 |
TOTAL BOND INDEX CONTRACTS | 163,949 | ||||
Treasury Contracts | |||||
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 109 | Jun 2022 | 23,459,695 | (63,104) | (63,104) |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 583 | Jun 2022 | 68,957,969 | (339,589) | (339,589) |
CBOT Long Term U.S. Treasury Bond Contracts (United States) | 2,129 | Jun 2022 | 333,587,688 | (4,387,166) | (4,387,166) |
TOTAL TREASURY CONTRACTS | (4,789,859) | ||||
TOTAL SOLD | (4,625,910) | ||||
TOTAL FUTURES CONTRACTS | (2,155,982) | ||||
The notional amount of futures purchased as a percentage of Net Assets is 0.8% | |||||
The notional amount of futures sold as a percentage of Net Assets is 0.9% |
Forward Foreign Currency Contracts | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) ($) | ||
EUR | 125,000 | USD | 140,788 | BNP Paribas | 3/01/22 | (631) |
EUR | 2,927,000 | USD | 3,296,826 | BNP Paribas | 5/12/22 | (5,833) |
EUR | 259,000 | USD | 292,416 | BNP Paribas | 5/12/22 | (1,208) |
EUR | 132,000 | USD | 150,419 | Citibank NA | 5/12/22 | (2,004) |
GBP | 338,000 | USD | 453,562 | Goldman Sachs Bank USA | 5/12/22 | (106) |
GBP | 148,000 | USD | 198,434 | State Street Bank And Trust Co | 5/12/22 | 121 |
USD | 196,770 | AUD | 275,000 | HSBC Bank USA | 5/12/22 | (3,173) |
USD | 357,606 | CAD | 456,000 | Royal Bank Of Canada | 5/12/22 | (2,215) |
USD | 157,589,710 | EUR | 138,378,000 | JPMorgan Chase Bank, N.A. | 5/12/22 | 2,003,404 |
USD | 128,162 | EUR | 113,000 | JPMorgan Chase Bank, N.A. | 5/12/22 | 1,110 |
USD | 1,202,914 | EUR | 1,077,000 | JPMorgan Chase Bank, N.A. | 5/12/22 | (8,019) |
USD | 172,502 | GBP | 127,000 | Bank Of America NA | 5/12/22 | 2,120 |
USD | 59,743,979 | GBP | 44,157,000 | Goldman Sachs Bank USA | 5/12/22 | 503,495 |
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS | 2,487,061 | |||||
Unrealized Appreciation | 2,510,250 | |||||
Unrealized Depreciation | (23,189) |
Credit Default Swaps | ||||||||||
Underlying Reference | Maturity Date | Clearinghouse / Counterparty | Fixed Payment Received/ (Paid) | Payment Frequency | Notional Amount(1) | Value ($) | Upfront Premium Received/ (Paid) ($) | Unrealized Appreciation/ (Depreciation) ($) | ||
Buy Protection | ||||||||||
Barclays PLC | Jun 2027 | BNP Paribas SA | (1%) | Quarterly | EUR | 2,200,000 | (27,299) | 46,265 | 18,966 | |
CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 2,710,000 | 14,284 | 9,008 | 23,292 | ||
CMBX N.A. AAA Index Series 13 | Dec 2072 | Citigroup Global Markets Ltd. | (0.5%) | Monthly | 10,240,000 | 53,973 | 9,692 | 63,665 | ||
CMBX N.A. AAA Index Series 13 | Dec 2072 | Goldman Sachs & Co. LLC | (0.5%) | Monthly | 10,290,000 | 54,237 | (48,272) | 5,965 | ||
CMBX N.A. AAA Index Series 13 | Dec 2072 | JPMorgan Securities LLC | (0.5%) | Monthly | 5,120,000 | 26,988 | (29,959) | (2,971) | ||
CMBX N.A. AAA Index Series 13 | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 2,100,000 | 11,404 | (11,492) | (88) | ||
Daimler AG | Dec 2026 | Citibank, N.A. | (1%) | Quarterly | EUR | 2,700,000 | (53,230) | 68,377 | 15,147 | |
Intesa Sanpaolo SpA | Dec 2026 | JPMorgan Chase Bank, N.A. | (1%) | Quarterly | EUR | 2,700,000 | (21,218) | 66,828 | 45,610 | |
Shell International Finance BV | Dec 2026 | Citibank, N.A. | (1%) | Quarterly | EUR | 2,700,000 | (86,700) | 94,915 | 8,215 | |
TOTAL CREDIT DEFAULT SWAPS | (27,561) | 205,362 | 177,801 |
(1)Notional amount is stated in U.S. Dollars unless otherwise noted
Interest Rate Swaps | ||||||||||
Payment Received | Payment Frequency | Payment Paid | Payment Frequency | Clearinghouse / Counterparty(1) | Maturity Date | Notional Amount(2) | Value ($) | Upfront Premium Received/ (Paid) ($)(3) | Unrealized Appreciation/ (Depreciation) ($) | |
0.25% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Indx(4) | Annual | LCH | Mar 2024 | 54,265,000 | (617,605) | 0 | (617,605) | |
1% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Indx(4) | Annual | LCH | Mar 2027 | 33,639,000 | (647,803) | 0 | (647,803) | |
1.25% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Indx(4) | Annual | LCH | Mar 2029 | 14,294,000 | (338,545) | 0 | (338,545) | |
1.75% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Indx(4) | Annual | LCH | Mar 2052 | 3,070,000 | (199,133) | 0 | (199,133) | |
TOTAL INTEREST RATE SWAPS | (1,803,086) | 0 | (1,803,086) |
(1)Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps.
(2)Notional amount is stated in U.S. Dollars unless otherwise noted
(3)Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).
(4)Represents floating rate.
Currency Abbreviations
AUD | - | Australian dollar |
CAD | - | Canadian dollar |
EUR | - | European Monetary Unit |
GBP | - | British pound sterling |
USD | - | U.S. dollar |
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 $3,259,743,168 or 7.1% 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 is perpetual in nature with no stated maturity date. |
(f) | Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $24,923,152. |
(g) | 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 $10,591,416. |
(h) | Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $2,024,227. |
(i) | A portion of the security sold on a delayed delivery basis. |
(j) | Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(k) | Level 3 security |
(l) | Interest Only (IO) security represents the right to receive only monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period. |
(m) | Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security. |
(n) | Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. |
(o) | Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event. |
(p) | Non-income producing |
(q) | Affiliated Fund |
(r) | 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. |
(s) | The rate quoted is the annualized seven-day yield of the fund at period end. |
(t) | Includes $250,000 of cash collateral segregated for open bi-lateral over-the-counter (OTC) swaps and forward foreign currency contracts. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | %ownership, end of period |
Fidelity Cash Central Fund 0.07% | 2,065,023,730 | 5,949,577,898 | 6,857,670,596 | 965,104 | - | - | 1,156,931,032 | 2.2% |
Total | 2,065,023,730 | 5,949,577,898 | 6,857,670,596 | 965,104 | - | - | 1,156,931,032 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds.
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 Advisor Corporate Bond Fund Class Z | - | 550,910,612 | - | 25,910,611 | - | (65,404,000) | 1,445,112,631 |
Fidelity Advisor Floating Rate High Income Fund | 792,379,385 | 104,706,150 | - | 4,706,150 | - | (9,935,130) | - |
Fidelity Advisor Floating Rate High Income Fund Class Z | - | 270,638,520 | 50,004,196 | 20,634,324 | (375,138) | 4,785,885 | 1,112,195,476 |
Fidelity Advisor Global Credit Fund Class Z | - | 567,752 | - | 567,753 | - | (771,385) | 29,678,995 |
Fidelity Advisor Government Income Fund Class Z | - | 551,962,776 | 100,002,643 | 1,960,133 | (3,431,705) | (11,168,395) | 437,360,033 |
Fidelity Advisor High Income Fund Class Z | - | 35,870,903 | 75,000,000 | 10,870,903 | (3,546,158) | 4,382,725 | 313,814,509 |
Fidelity Advisor New Markets Income Fund Class Z | - | 299,183,367 | 75,008,406 | 24,174,960 | (5,315,945) | (125,453,876) | 984,024,482 |
Fidelity Advisor Real Estate Income Fund Class I | 646,246,691 | 49,903 | - | 49,903 | - | (71,882,750) | - |
Fidelity Advisor Real Estate Income Fund Class Z | - | 136,968,883 | 75,000,000 | 11,968,884 | (2,364,488) | 77,588,467 | 711,606,706 |
Fidelity Corporate Bond Fund | 828,101,099 | 154,935,371 | - | 3,935,371 | - | (23,430,451) | - |
Fidelity Global Credit Fund | 30,723,536 | 113,325 | - | 113,325 | - | (954,233) | - |
Fidelity High Income Fund | 292,575,915 | 77,332,952 | - | 2,332,952 | - | (17,801,828) | - |
Fidelity Inflation-Protected Bond Index Fund | 749,815,600 | 166,578,132 | 150,000,000 | 41,578,131 | (4,966,000) | (8,009,465) | 753,418,267 |
Fidelity Intermediate Bond Fund | 548,937,405 | 410,013,312 | - | 10,013,312 | - | (33,610,694) | 925,340,023 |
Fidelity Investments Money Market Government Portfolio Institutional Class 0.01% | 1,590,674,573 | 8,605,879,384 | 9,454,089,304 | 83,422 | - | - | 742,464,653 |
Fidelity New Markets Income Fund | 711,717,114 | 180,052,864 | - | 5,052,864 | - | (1,150,636) | - |
Fidelity SAI Long-Term Treasury Bond Index Fund | 1,166,946,960 | 2,151,219,359 | 1,300,000,000 | 26,219,662 | (44,639,845) | 31,383,991 | 2,004,910,465 |
Fidelity SAI Total Bond Fund | 10,738,130,397 | 2,270,594,113 | - | 295,594,130 | - | (513,414,095) | 12,495,310,415 |
Fidelity SAI U.S. Treasury Bond Index Fund | 2,358,068,459 | 2,515,115,143 | 1,012,404,939 | 26,310,354 | (55,762,720) | (51,851,701) | 3,753,164,242 |
Fidelity Sustainability Bond Index Fund | 25,317,551 | 284,671 | - | 284,675 | - | (931,343) | 24,670,879 |
Fidelity U.S. Bond Index Fund | 1,030,314,170 | 1,553,192,743 | 700,634,182 | 27,558,561 | (26,827,031) | (62,339,786) | 1,793,705,914 |
21,509,948,855 | 20,036,170,235 | 12,992,143,670 | 539,920,380 | (147,229,030) | (879,968,700) | 27,526,777,690 |
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:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For any foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Nonconvertible Bonds, U.S. Treasury Obligations, Municipal Securities, Foreign Government and Government Agency Obligations, Bank Notes and Preferred Securities are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. U.S. Government Agency - Mortgage Securities, Asset-Backed Securities, Collateralized Mortgage Obligations and Commercial Mortgage Securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
The U.S. dollar value of foreign currency contracts is determined using currency exchange rates supplied by a pricing vendor and are categorized as Level 2 in the hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
Options traded over-the-counter are valued using vendor or broker-supplied valuations and are categorized as Level 2 in the hierarchy.
Investments in any open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy.
Derivative Instruments
Risk Exposures and the Use of Derivative Instruments: The Fund's investment objectives allow the Fund to enter into various types of derivative contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns, to gain exposure to certain types of assets and/or to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risk(s):
Credit Risk - Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund.
Foreign Exchange Risk - Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates.
Interest Rate Risk - Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates.
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund.
Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net the amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. For OTC written options with upfront premiums received, the Fund is obligated to perform and therefore does not have counterparty risk. For OTC written options with premiums to be received at a future date, the maximum risk of loss from counterparty credit risk is the amount of the premium in excess of any collateral pledged by the counterparty. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared OTC swaps may be mitigated by the protection provided by the clearinghouse.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Forward Foreign Currency Contracts: Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into.
The Fund used forward foreign currency contracts to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.
Open forward foreign currency contracts at period end are presented in the Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end.
Futures Contracts: A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a specified price at a specified future date.
The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.
Open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end. Any securities and/or cash deposited to meet initial margin requirements are identified in the Schedule of Investments.
Options: Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date.
The Fund used OTC options, such as swaptions, which are options where the underlying instrument is a swap, to manage its exposure to fluctuations in interest rates and/or potential credit events.
Open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions." Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.
Swaps: A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount.
A centrally cleared OTC swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.
A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap.
Credit Default Swaps: Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs. For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index. Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/ performance risk.
Interest Rate Swaps: Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.
Open swaps at period end are included in the Schedule of Investments under the caption Credit Default Swaps, Interest Rate Swaps and/or Total Return Swaps, as applicable.
For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.
The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.
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