UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22811
Bridge Builder Trust
(Exact name of registrant as specified in charter)
615 East Michigan Street
Milwaukee, WI 53202
(Address of principal executive offices) (Zip code)
Helge Lee, Secretary
Bridge Builder Trust
c/o 12555 Manchester Road
Des Peres, MO 63131
(Name and address of agent for service)
414-287-3700
Registrant’s telephone number, including area code
Date of fiscal year end: June 30, 2018
Date of reporting period: June 30, 2018
Item 1. Reports to Stockholders.
Table of Contents
| | |
| | | Annual Report • June 30, 2018 |
Bridge Builder Mutual Funds
Letter to Shareholders (Unaudited)
Dear Shareholder,
It is our pleasure to provide you with the Bridge Builder Mutual Funds annual report for the fiscal year ended June 30, 2018. In this report you will find fund performance information, summaries of portfolio holdings, financial statements and other important information about each of the Bridge Builder Mutual Funds.
For details about individual fund performance and market commentary, please refer to the Management’s Discussion of Fund Performance section of this report for each fund.
The Bridge Builder Mutual Funds are available exclusively through Edward Jones Advisory Solutions®, an asset allocation program providing investment advisory services. Each Bridge Builder Fund uses a multi-manager sub-advised structure, where several leading asset management firms are selected to invest a portion of the mutual fund’s assets. Each manager within the mutual fund brings a unique perspective and investment approach. The Bridge Builder Mutual Funds are managed according to the key tenets of our investment philosophy: diversification, high quality and a long-term approach.
Over the course of the past 12 months, one change has been made to the Bridge Builder lineup of sub-advisers. William Blair Investment Management, LLC (“William Blair”) was removed as a sub-adviser to the Bridge Builder Large Cap Growth Fund, effective in November of 2017. The assets that had been managed by William Blair were reallocated to three of the Bridge Builder Large Cap Growth Fund’s remaining sub-advisers: Jennison Associates LLC, Lazard Asset Management, LLC and Sustainable Growth Advisers, LP.
All of the Bridge Builder Mutual Funds’ sub-advisers are selected by Olive Street Investment Advisers, LLC (“Olive Street” or “Adviser”), an affiliate of Edward Jones, and approved by the Board of Trustees of the Bridge Builder Trust. Olive Street strives to combine complementary investment styles, performance patterns and portfolio characteristics that have generally demonstrated a track record of success.
For additional information about the funds, visit www.bridgebuildermutualfunds.com.
We look forward to playing an important role in helping you pursue your financial goals.
Sincerely,
| | |
|
|
William H. Broderick, III Chairman, Bridge Builder Trust |
|
 |
|
Ryan T. Robson President, Olive Street Investment Advisers, LLC Principal, Edward Jones Investment Advisory |
| | |
| Annual Report • June 30, 2018 | | 1 |
Bridge Builder Core Bond Fund
Management’s Discussion of Fund Performance (Unaudited)
Investment Objective
The investment objective of the Bridge Builder Core Bond Fund (the “Fund”) is to provide total return (capital appreciation plus income).
Investment Strategy
The Fund’s assets are allocated across different fixed-income market sectors and maturities. Most of the Fund’s investments are fixed-income securities issued or guaranteed by the U.S. government or its agencies, municipalities or U.S. corporate issuers. The Fund also invests in asset-backed securities, privately-issued securities, floating rate securities and mortgage-related and mortgage-backed securities. The Fund employs a multi-manager sub-advised structure.
Investment Commentary
The Fund returned -0.15% during the fiscal year ended June 30, 2018. The Fund outperformed its benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index, which returned -0.40% over the same period.
Over the period, the U.S. economy continued to grow at a steady pace and unemployment remained low. Monetary policy in the U.S. continued its shift to tightening mode as the U.S. Federal Reserve (the “Fed”) increased the policy rate three times and began to reduce the size of its balance sheet. Interest rates rose across the maturity spectrum, but the increase was more pronounced in shorter-term yields, resulting in a flatter yield curve. The economic backdrop provided a favorable environment for high yield bonds, as they tend to perform well during periods of growth and are less sensitive to rising rates. U.S. high-yield corporate bonds were one of the top performers within taxable fixed income, generating positive returns. This segment of the fixed-income market outpaced U.S. government bonds as well as investment grade corporates, both of which had negative returns. Securitized bonds, which include both mortgage and asset-backed securities, were slightly positive during the period. Foreign bonds also exhibited strong performance, largely due to the impact of U.S. dollar weakness relative to other major developed-markets’ currencies. Going forward, we continue to expect increased market volatility due to uncertainty surrounding geopolitical headlines, trade tensions, and changes in central bank monetary policy.
Interest-rate positioning was the largest positive contributor to the Fund’s performance over the period. The Fund maintained a shorter duration than its benchmark’s which helped during a rising rate environment since shorter duration bonds generally outperform those with longer duration. Another positive contributor to performance was sector allocation. This was primarily due to the Fund’s overweight position to securitized bonds. Within the securitized sector though, security selection was a detractor.
Investment Sub-advisers
| | | | | | |
| Robert W. Baird & Co. Inc. utilizes a structured, risk-controlled philosophy with a disciplined duration approach to invest its allocated portion of the Fund’s assets. | | J.P. Morgan Investment Management, Inc. incorporates a bottom-up, value-oriented approach in managing its allocated portion of the Fund’s assets. | | Loomis, Sayles & Company, L.P. employs an investment philosophy that focuses on relative value investing on a risk-adjusted basis, seeking to add value for clients primarily through security selection while managing top-down risks in the portfolio. | | PGIM, Inc. uses a team approach to attempt to add value by tilting toward fixed-income sectors that it believes are attractive and by utilizing its extensive research capabilities to choose attractive fixed-income securities within sectors. |
| | |
| 2 | | Annual Report • June 30, 2018 |
Bridge Builder Core Bond Fund
Management’s Discussion of Fund Performance (Unaudited) (Continued)
The following chart compares the value of a hypothetical $10,000 investment in the Bridge Builder Core Bond Fund from its inception (October 28, 2013) to June 30, 2018 as compared with the Bloomberg Barclays U.S. Aggregate Bond Index.
Growth of a Hypothetical $10,000 Investment as of June 30, 2018
vs.
Bloomberg Barclays U.S. Aggregate Bond Index
Average Annual Total Returns as of June 30, 2018
| | | | | | | | | | | | |
| | | 1 Year | | | 3 Years | | | Since Inception (10/28/2013) | |
Bridge Builder Core Bond Fund | | | -0.15 | % | | | 2.18 | % | | | 2.46 | % |
Bloomberg Barclays U.S. Aggregate Bond Index | | | -0.40 | % | | | 1.72 | % | | | 2.12 | % |
Performance data quoted represents past performance; past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the gross and net expense ratios of the Fund were 0.37%(1) and 0.17%(2), respectively. Performance data current to the most recent month end may be obtained by calling 1.855.823.3611.
The performance table does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or the redemption of Fund shares. Returns shown for the Fund include the reinvestment of all dividends, if any. Total return calculations reflect the effect of the Adviser’s fee waiver agreement for the Fund. If such fee waivers had not occurred, the quoted performance would be lower.
Portfolio Characteristics (3)
| | | | |
| Security Type Breakdown | | (% of Investments) | |
Mortgage-Backed Obligations | | | 32.7 | % |
Corporate Bonds | | | 28.9 | |
Government Related | | | 20.8 | |
Asset-Backed Obligations | | | 11.4 | |
Short-Term Investments | | | 6.2 | |
Preferred Stocks | | | 0.0 | * |
| | |
| Annual Report • June 30, 2018 | | 3 |
Bridge Builder Core Plus Bond Fund
Management’s Discussion of Fund Performance (Unaudited)
Investment Objective
The investment objective of the Bridge Builder Core Plus Bond Fund (the “Fund”) is to provide total return (capital appreciation plus income).
Investment Strategy
The Fund’s assets are allocated across different fixed-income market sectors and maturities. Most of the Fund’s investments are fixed-income securities issued or guaranteed by the U.S. government or its agencies, municipalities or U.S. corporate issuers. The Fund also invests in asset-backed securities, privately-issued securities, floating rate securities, and mortgage-related and mortgage-backed securities. The Fund may invest in high-yield securities deemed below investment grade, and securities issued by foreign entities, including emerging market securities. The Fund employs a multi-manager sub-advised structure.
Investment Commentary
The Fund returned 0.18% during the fiscal year ended June 30, 2018. The Fund outperformed its benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index, which returned -0.40% over the same period.
The U.S. economy continued to grow at a steady pace and unemployment remained low. Monetary policy in the U.S. shifted to tightening mode as the Fed increased the policy rate three times and began to reduce its balance sheet’s size. Interest rates rose across the maturity spectrum, but the increase was more pronounced in shorter-term yields, resulting in a flatter yield curve. The economic backdrop provided a favorable environment for high yield corporate bonds, as they tend to perform well during periods of growth and are often less sensitive to rising rates. U.S. high-yield corporate bonds were one of the top performers within taxable fixed income, outpacing U.S. government bonds as well as investment grade corporates, which both returned negative performance. Securitized bonds were slightly positive during the period. Foreign bonds also returned a strong performance, largely due to the impact of U.S. dollar weakness relative to other major developed-markets currencies. Going forward, we continue to expect increased market volatility due to uncertainty surrounding geopolitical headlines, trade tensions, and changes in central bank monetary policy.
Interest-rate positioning was the largest positive contributor to the Fund’s performance over the period. The Fund maintained a shorter duration than its benchmark’s which helped during a rising rate environment since shorter duration bonds generally outperform those with longer duration. Another contributor to outperformance was the Fund’s exposure to U.S. high-yield corporate bonds, which are not included in the Fund’s benchmark. These securities performed well over the last year due to higher coupon payments, limited new issuance supply, and less sensitivity to rising rates. Other out-of-benchmark positions, including non-agency mortgage-backed securities, also contributed to the Fund’s outperformance.
Investment Sub-advisers
| | | | | | |
| Pacific Investment Management Company LLC seeks to achieve the Fund’s investment objective by investing in a multi-sector portfolio of fixed-income instruments of varying maturities, which may be represented by derivatives such as futures, forward foreign currency exchange contracts or swap contracts. | | Loomis, Sayles & Company, L.P. generally seeks fixed-income securities of issuers whose credit profiles it believes are improving. Loomis Sayles relies primarily on issue selection as the key driver to investment performance. Loomis Sayles also analyzes different sectors of the economy and differences in the yields of various fixed-income securities in an effort to find securities that it believes may produce attractive returns in comparison to these securities’ risks. | | Metropolitan West Asset Management, LLC employs a value-oriented fixed-income management philosophy and an investment process predicated on a long-term economic outlook. | | T. Rowe Price Associates, Inc. emphasizes the value of in-depth fundamental research, diversification and risk management practices. T. Rowe Price’s strategy integrates top-down sector allocation with bottom-up security selection in pursuit of the Fund’s investment objective. |
| | |
| 4 | | Annual Report • June 30, 2018 |
Bridge Builder Core Plus Bond Fund
Management’s Discussion of Fund Performance (Unaudited) (Continued)
The following chart compares the value of a hypothetical $10,000 investment in the Bridge Builder Core Plus Bond Fund from its inception (July 13, 2015) to June 30, 2018 as compared with the Bloomberg Barclays U.S. Aggregate Bond Index.
Growth of a Hypothetical $10,000 Investment as of June 30, 2018
vs.
Bloomberg Barclays U.S. Aggregate Bond Index
Average Annual Total Returns of June 30, 2018
| | | | | | | | |
| | | 1 Year | | | Since Inception (7/13/2015) | |
Bridge Builder Core Plus Bond Fund | | | 0.18 | % | | | 2.16 | % |
Bloomberg Barclays U.S. Aggregate Bond Index | | | -0.40 | % | | | 1.85 | % |
Performance data quoted represents past performance; past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the gross and net expense ratios of the Fund were 0.41%(1) and 0.19%(2), respectively. Performance data current to the most recent month end may be obtained by calling 1.855.823.3611.
The performance table does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or the redemption of Fund shares. Returns shown for the Fund include the reinvestment of all dividends, if any. Total return calculations reflect the effect of the Adviser’s fee waiver agreement for the Fund. If such fee waivers had not occurred, the quoted performance would be lower.
Portfolio Characteristics (3)
| | | | |
| Security Type Breakdown | | (% of Investments) | |
Corporate Bonds | | | 32.3 | % |
Government Related | | | 21.7 | |
Mortgage-Backed Obligations | | | 19.7 | |
Short-Term Investments | | | 12.2 | |
Asset-Backed Obligations | | | 12.0 | |
Bank Loans | | | 2.0 | |
Preferred Stocks | | | 0.1 | |
Common Stocks | | | 0.0 | * |
| | |
| Annual Report • June 30, 2018 | | 5 |
Bridge Builder Municipal Bond Fund
Management’s Discussion of Fund Performance (Unaudited)
Investment Objective
The investment objective of the Bridge Builder Municipal Bond Fund (the “Fund”) is to provide current income exempt from federal tax, with a secondary goal of preservation of investment principal.
Investment Strategy
The Fund invests, under normal conditions, at least 80% of its net assets in municipal securities of any maturity or duration whose interest is exempt from federal income tax. Municipal securities include debt obligations issued by or on behalf of a governmental entity or other qualifying issuer that pay interest that is generally excludable from gross income for federal income tax purposes. Interest may be includable in taxable income for investors subject to the federal alternative minimum tax. The Fund employs a multi-manager sub-advised structure.
Investment Commentary
For the fiscal year ended June 30, 2018, the Fund returned 1.62%, outperforming its benchmark, the Bloomberg Barclays Municipal 1-15 Year Index, which returned 1.01% during the same period. The U.S. economy continued to grow at a steady pace and unemployment remained low. Monetary policy in the U.S. shifted to tightening mode as the Fed increased the policy rate three times and also began the reduction of its balance sheet. Interest rates rose across the spectrum, but the shape of the yield curve flattened, meaning that short-term rates increased more so than intermediate and longer-term rates. The municipal bond market exhibited positive returns over the past year. The robust economic backdrop provided a favorable environment for bonds with relatively lower credit ratings, as lower quality bonds largely outperformed those of higher credit quality. Revenue bonds generally outperformed general obligation issues, as well. The rate environment favored longer-term bonds over short-term ones, as short-term rates increased faster than those on the long-end of the curve. Generally, when interest rates rise, bond prices fall. Additionally, municipal bonds benefited from favorable supply/demand conditions that resulted from the passage of tax reform. Going forward, we continue to expect increased market volatility due to uncertainty surrounding geopolitical headlines, trade tensions and changes in central bank monetary policy.
Over the year, the Fund’s allocation to high-yield bonds was a strong contributor to outperformance over the index. Conversely, the Fund’s allocation to short-term detracted from performance. The Fund benefited from holding longer-maturity bonds that performed well due to the flattening yield curve over the time period. The Fund’s largest allocation was to revenue bonds, which outperformed general obligation bonds. Security selection and interest rate positioning also contributed meaningfully to performance. The Fund invested in better performing bonds across multiple sectors, especially within the revenue, transportation and hospital sectors.
Investment Sub-advisers
| | | | |
| FIAM LLC allocates assets across different market sectors and maturities, normally investing in investment-grade municipal securities. When selecting investments, FIAM analyzes issuer credit quality, security-specific features, current and potential future valuation and trading opportunities. | | T. Rowe Price Associates Inc.’s investment approach emphasizes in-depth fundamental research, diversification, and strict risk management practices in the pursuit of the Fund’s investment objective. Investment decisions reflect the portfolio managers’ outlook for interest rates and the economy, as well as the prices, yields and credit quality of various municipal securities. | | Wells Capital Management, Inc. starts its investment process with a top-down, macroeconomic outlook. Wells Capital Management’s security selection is based on several factors including improving financial trends, positive industry and sector dynamics, improving economic conditions, specific demographic trends and value relative to other securities. |
| | |
| 6 | | Annual Report • June 30, 2018 |
Bridge Builder Municipal Bond Fund
Management’s Discussion of Fund Performance (Unaudited) (Continued)
The following chart compares the value of a hypothetical $10,000 investment in the Bridge Builder Municipal Bond Fund from its inception (September 14, 2015) to June 30, 2018 as compared with the Bloomberg Barclays Municipal 1-15 Year Index.
Growth of a Hypothetical $10,000 Investment as of June 30, 2018
vs.
Bloomberg Barclays Municipal 1-15 Year Index
Average Annual Total Returns as of June 30, 2018
| | | | | | | | |
| | | 1 Year | | | Since Inception (9/14/2015) | |
Bridge Builder Municipal Bond Fund | | | 1.62 | % | | | 2.38 | % |
Bloomberg Barclays Municipal 1-15 Year Index | | | 1.01 | % | | | 2.21 | % |
Performance data quoted represents past performance; past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the gross and net expense ratios of the Fund were 0.41%(1) and 0.22%(2), respectively. Performance data current to the most recent month end may be obtained by calling 1.855.823.3611.
The performance table does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or the redemption of Fund shares. Returns shown for the Fund include the reinvestment of all dividends, if any. Total return calculations reflect the effect of the Adviser’s fee waiver agreement for the Fund. If such fee waivers had not occurred, the quoted performance would be lower.
Portfolio Characteristics (3)
| | | | |
| Security Type Breakdown | | (% of Investments) | |
General Obligation | | | 24.9 | % |
General Revenue | | | 22.9 | |
Healthcare | | | 15.6 | |
Transportation | | | 14.2 | |
Education | | | 11.2 | |
Utilities | | | 7.4 | |
Housing | | | 2.4 | |
Short-Term Investments | | | 1.4 | |
| | | | |
| Breakdown by State | | (% of Long-Term Investments) | |
Texas | | | 11.4 | % |
Illinois | | | 10.6 | |
New York | | | 9.9 | |
Florida | | | 6.6 | |
Pennsylvania | | | 5.8 | |
California | | | 4.0 | |
Virginia | | | 3.8 | |
Michigan | | | 3.6 | |
Connecticut | | | 3.5 | |
Maryland | | | 3.4 | |
Other | | | 37.4 | |
| | |
| Annual Report • June 30, 2018 | | 7 |
Bridge Builder Large Cap Growth Fund
Management’s Discussion of Fund Performance (Unaudited)
Investment Objective
The investment objective of the Bridge Builder Large Cap Growth Fund (the “Fund”) is to provide capital appreciation.
Investment Strategy
The Fund primarily invests in equity securities of large-capitalization companies, which are defined as those companies whose market capitalizations typically fall within the range of the Russell 1000® Index. The Fund follows an investing style that favors growth investments and employs a multi-manager sub-advised structure.
Investment Commentary
For the fiscal year ended June 30, 2018, the Fund returned 17.66%, underperforming its benchmark, the Russell 1000® Growth Index, which returned 22.51%. The underperformance was primarily caused by having less exposure to the overall technology sector, as well as underweights to the top performing names within the technology and consumer discretionary sectors. Underweight positions within both materials and consumer staples benefited relative performance for the year.
For the year, within large capitalization stocks, the technology, consumer discretionary and energy sectors led the broad market. Conversely, consumer staples, telecom, and utilities were the worst performing sectors of the market over this period. Within the large-capitalization portion of the market, growth stocks outperformed value stocks for the one-year period.
Looking forward, we believe the economy in the U.S. to be fundamentally strong and growing. However, this bull market has run for more than nine years and seems positioned to continue down a rougher road ahead. The positive fundamentals of economic and earnings growth appear intact, supporting modest but below-average equity returns, as we think we’ve moved into a later stage in the market cycle, with rising interest rates and more volatility.
Investment Sub-advisers*
| | | | | | |
| Lazard Asset Management LLC invests primarily in equity securities of U.S. companies that have strong and/or improving financial productivity and are undervalued based on their earnings, cash flow or asset values. | | Sustainable Growth Advisers, LP seeks to identify large-capitalization companies that exhibit characteristics such as pricing power, repeat revenue streams and global reach that seem to have the potential for long-term earnings growth within the context of low business risk. | | Jennison Associates LLC invests in companies that have strong capital appreciation potential. It follows a highly disciplined investment selection and management process of identifying companies that show superior absolute and relative earnings growth and are believed to be attractively valued. | | BlackRock Investment Management, LLC invests in equity securities with the objective of approximating the capitalization weighted total rate of return of the segment of the United States market for publicly traded equity securities represented by the Russell 1000® Growth Index. |
| * | Effective November 29, 2017, William Blair Investment Management, LLC no longer manages assets within the Fund. |
| | |
| 8 | | Annual Report • June 30, 2018 |
Bridge Builder Large Cap Growth Fund
Management’s Discussion of Fund Performance (Unaudited) (Continued)
The following chart compares the value of a hypothetical $10,000 investment in the Bridge Builder Large Cap Growth Fund from its inception (April 27, 2015) to June 30, 2018 as compared with the Russell 1000® Growth Index.
Growth of a Hypothetical $10,000 Investment as of June 30, 2018
vs.
Russell 1000® Growth Index
Average Annual Total Returns as of June 30, 2018
| | | | | | | | | | | | |
| | | 1 Year | | | 3 Years | | | Since Inception (4/27/2015) | |
Bridge Builder Large Cap Growth Fund | | | 17.66 | % | | | 12.07 | % | | | 10.76 | % |
Russell 1000® Growth Index | | | 22.51 | % | | | 14.98 | % | | | 13.32 | % |
Performance data quoted represents past performance; past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the gross and net expense ratios of the Fund were 0.48%(1) and 0.29%(2), respectively. Performance data current to the most recent month end may be obtained by calling 1.855.823.3611.
The performance table does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or the redemption of Fund shares. Returns shown for the Fund include the reinvestment of all dividends, if any. Total return calculations reflect the effect of the Adviser’s fee waiver agreement for the Fund. If such fee waivers had not occurred, the quoted performance would be lower.
Portfolio Characteristics (3)
| | | | |
| Sector Breakdown | | (% of Investments) | |
Information Technology | | | 35.9 | % |
Consumer Discretionary | | | 19.6 | |
Healthcare | | | 12.9 | |
Industrials | | | 7.1 | |
Financials | | | 6.8 | |
Energy | | | 5.1 | |
Consumer Staples | | | 5.1 | |
Short-Term Investments | | | 3.1 | |
Materials | | | 2.2 | |
Real Estate | | | 2.2 | |
Telecommunication Services | | | 0.0 | * |
| | | | |
| Top Ten Equity Holdings | | (% of Net Assets) | |
Microsoft Corp. | | | 4.0 | % |
Apple, Inc. | | | 3.2 | |
Amazon.com, Inc. | | | 3.0 | |
Visa, Inc. | | | 2.8 | |
Alphabet, Inc. - Class A | | | 2.6 | |
Alphabet, Inc. - Class C | | | 2.1 | |
Lowes Companies, Inc. | | | 2.1 | |
Schlumberger Ltd. | | | 2.0 | |
Salesforce.com, Inc. | | | 1.8 | |
UnitedHealth Group, Inc. | | | 1.6 | |
| | |
| Annual Report • June 30, 2018 | | 9 |
Bridge Builder Large Cap Value Fund
Management’s Discussion of Fund Performance (Unaudited)
Investment Objective
The investment objective of the Bridge Builder Large Cap Value Fund (the “Fund”) is to provide capital appreciation.
Investment Strategy
The Fund primarily invests in equity securities of large-capitalization companies, which are defined as those companies whose market capitalizations typically fall within the range of the Russell 1000® Index. The Fund follows an investing style that favors value investments and employs a multi-manager sub-advised structure.
Investment Commentary
For the fiscal year ended June 30, 2018, the Fund returned 9.01%, outperforming its benchmark, the Russell 1000® Value Index, which returned 6.77%. Compared to the benchmark, the majority of the Fund’s outperformance was driven by strong stock selection in the industrials, energy and consumer staples sectors as well as an overweight allocation to the technology sector. Performance detractors for the year were isolated within the healthcare and financial sectors. Modest cash allocations within the Fund also detracted from the Fund’s performance given the strong equity market return.
For the year, within large capitalization stocks, technology, consumer discretionary and energy led the broad market. Conversely, consumer staples, telecom, and utilities were the worst performing sectors of the market over this period. Within the large-capitalization portion of the market, growth stocks outperformed value stocks for the one-year period.
Looking forward, we believe the economy in the U.S. to be fundamentally strong and growing. However, this bull market has run for more than nine years and seems positioned to continue down a rougher road ahead. The positive fundamentals of economic and earnings growth appear intact, supporting modest but below-average equity returns, as we think we’ve moved into a later stage in the market cycle, with rising interest rates and more volatility.
Investment Sub-advisers
| | | | | | |
| Artisan Partners Limited Partnership employs a fundamental investment process to construct a diversified portfolio of equity securities that are undervalued, in solid financial condition and have attractive business economics. | | Barrow, Hanley, Mewhinney & Strauss, LLC believes that equity market inefficiencies can best be exploited through adherence to a value-oriented investment process dedicated to the selection of securities on a bottom-up basis. Barrow Hanley implements this strategy by seeking to construct portfolios of individual stocks that reflect three value characteristics: price/earnings and price/book ratios below the market and dividend yields above the market (as measured by the S&P 500 Index). | | Wellington Management Company, LLP uses substantial proprietary, fundamental research resources to identify companies with superior prospects for dividend growth and capital appreciation that sell at reasonable valuation levels. Wellington Management believes that above-average growth in dividends is an effective and often overlooked indicator of higher quality, shareholder-oriented companies that have the ability to produce consistent, above-average returns over the long-term. | | BlackRock Investment Management, LLC invests in equity securities with the objective of approximating the capitalization weighted total rate of return of the segment of the United States market for publicly traded equity securities represented by the Russell 1000® Value Index. |
| | |
| 10 | | Annual Report • June 30, 2018 |
Bridge Builder Large Cap Value Fund
Management’s Discussion of Fund Performance (Unaudited) (Continued)
The following chart compares the value of a hypothetical $10,000 investment in the Bridge Builder Large Cap Value Fund from its inception (April 27, 2015) to June 30, 2018 as compared with the Russell 1000® Value Index.
Growth of a Hypothetical $10,000 Investment as of June 30, 2018
vs.
Russell 1000® Value Index
Average Annual Total Returns as of June 30, 2018
| | | | | | | | | | | | |
| | | 1 Year | | | 3 Years | | | Since Inception (4/27/2015) | |
Bridge Builder Large Cap Value Fund | | | 9.01 | % | | | 9.41 | % | | | 8.31 | % |
Russell 1000® Value Index | | | 6.77 | % | | | 8.26 | % | | | 7.34 | % |
Performance data quoted represents past performance; past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the gross and net expense ratios of the Fund were 0.48%(1) and 0.31%(2), respectively. Performance data current to the most recent month end may be obtained by calling 1.855.823.3611.
The performance table does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or the redemption of Fund shares. Returns shown for the Fund include the reinvestment of all dividends, if any. Total return calculations reflect the effect of the Adviser’s fee waiver agreement for the Fund. If such fee waivers had not occurred, the quoted performance would be lower.
Portfolio Characteristics (3)
| | | | |
| Sector Breakdown | | (% of Investments) | |
Financials | | | 19.5 | % |
Consumer Discretionary | | | 13.6 | |
Information Technology | | | 12.4 | |
Healthcare | | | 11.8 | |
Industrials | | | 11.3 | |
Energy | | | 9.7 | |
Consumer Staples | | | 7.0 | |
Materials | | | 6.3 | |
Short-Term Investments | | | 4.1 | |
Real Estate | | | 2.6 | |
Utilities | | | 1.3 | |
Telecommunication Services | | | 0.4 | |
| | | | |
| Top Ten Equity Holdings | | (% of Net Assets) | |
Medtronic Plc | | | 1.9 | % |
Citigroup, Inc. | | | 1.7 | |
Berkshire Hathaway, Inc. | | | 1.7 | |
Microsoft Corp. | | | 1.6 | |
Wells Fargo & Co. | | | 1.4 | |
UnitedHealth Group, Inc. | | | 1.3 | |
Hess Corp. | | | 1.3 | |
Chubb Ltd. | | | 1.3 | |
Nike, Inc. | | | 1.3 | |
American Express Co. | | | 1.3 | |
| | |
| Annual Report • June 30, 2018 | | 11 |
Bridge Builder Small/Mid Cap Growth Fund
Management’s Discussion of Fund Performance (Unaudited)
Investment Objective
The investment objective of the Bridge Builder Small/Mid Cap Growth Fund (the “Fund”) is to provide capital appreciation.
Investment Strategy
The Fund primarily invests in equity securities of small- and mid-capitalization companies, which are defined as those companies whose market capitalizations typically fall within the range of the Russell MidCap® Index and the Russell 2000® Index. The Fund follows an investing style that favors growth investments and employs a multi-manager sub-advised structure.
Investment Commentary
For the fiscal year ended June 30, 2018, the Fund returned 18.96%, while its benchmark, the Russell 2500® Growth Index, returned 21.53% for the period, which resulted in overall underperformance. Compared to its benchmark, healthcare stock selection, particularly an overweight to medical equipment companies, accounted for the majority of the Fund’s underperformance compared to the benchmark. Modest cash allocations within the Fund also detracted given the strong equity market return. Stock selection within the technology sector was very strong over the time period and contributed positively to Fund performance.
For the year, small-capitalization stocks outperformed mid-capitalization stocks. The technology and energy sectors led the broader market. Conversely, the income-related sectors (consumer staples, utilities, real estate and telecommunications) underperformed the broader market. Within both the mid-capitalization and small-capitalization segments of the market, growth stocks outperformed value stocks.
Looking forward, we believe the economy in the U.S. to be fundamentally strong and growing. However, this bull market has run for more than nine years and seems positioned to continue down a rougher road ahead. The positive fundamentals of economic and earnings growth appear intact, supporting modest but below-average equity returns, as we think we’ve moved into a later stage in the market cycle, with rising interest rates and more volatility.
Investment Sub-advisers
| | | | | | | | |
| Eagle Asset Management, Inc. invests primarily in small-capitalization companies. The team generally focuses on investing in small-capitalization companies that demonstrate growth potential at a price that does not appear to reflect the company’s true underlying value. The portfolio managers use a three-pronged investment philosophy: quality, valuation and balance. | | Champlain Investment Partners, LLC seeks capital appreciation by investing mainly in common stocks of medium-sized companies that it believes have strong long-term fundamentals, superior capital appreciation potential and attractive valuations. Champlain expects to identify a diversified universe of medium-sized companies that trade at a discount to their estimated or intrinsic fair values. | | ClearBridge Investments, LLC invests primarily in mid-capitalization companies. The team normally invests in stocks selected for their long-term growth potential. The portfolio managers conduct bottom-up, fundamental research and look for attractive valuations, favorable growth and attractive risk/reward profiles, and strong free cash flow and balance sheets. | | BlackRock Investment Management, LLC invests in equity securities with the objective of approximating the capitalization-weighted total rate of return of the segment of the United States market for publicly traded equity securities represented by the Russell Midcap® Growth Index, which tracks the performance of mid-capitalization companies, and the Russell 2000® Growth Index, which tracks the performance of small-capitalization companies. | | Stephens Investment Management Group, LLC employs a disciplined, bottom-up investment selection process that combines rigorous fundamental analysis with quantitative screening in an effort to identify companies that exhibit potential for superior earnings growth that is unrecognized by the markets. |
| | |
| 12 | | Annual Report • June 30, 2018 |
Bridge Builder Small/Mid Cap Growth Fund
Management’s Discussion of Fund Performance (Unaudited) (Continued)
The following chart compares the value of a hypothetical $10,000 investment in the Bridge Builder Small/Mid Cap Growth Fund from its inception (April 27, 2015) to June 30, 2018 as compared with the Russell 2500® Growth Index.
Growth of a Hypothetical $10,000 Investment as of June 30, 2018
vs.
Russell 2500® Growth Index
Average Annual Total Returns as of June 30, 2018
| | | | | | | | | | | | |
| | | 1 Year | | | 3 Years | | | Since Inception (4/27/2015) | |
Bridge Builder Small/Mid Cap Growth Fund | | | 18.96 | % | | | 11.36 | % | | | 10.56 | % |
Russell 2500® Growth Index | | | 21.53 | % | | | 10.86 | % | | | 10.32 | % |
Performance data quoted represents past performance; past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the gross and net expense ratios of the Fund were 0.69%(1) and 0.44%(2), respectively. Performance data current to the most recent month end may be obtained by calling 1.855.823.3611.
The performance table does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or the redemption of Fund shares. Returns shown for the Fund include the reinvestment of all dividends, if any. Total return calculations reflect the effect of the Adviser’s fee waiver agreement for the Fund. If such fee waivers had not occurred, the quoted performance would be lower.
Portfolio Characteristics (3)
| | | | |
| Sector Breakdown | | (% of Investments) | |
Information Technology | | | 24.3 | % |
Healthcare | | | 19.9 | |
Industrials | | | 15.2 | |
Consumer Discretionary | | | 12.9 | |
Financials | | | 9.9 | |
Consumer Staples | | | 5.6 | |
Materials | | | 4.9 | |
Short-Term Investments | | | 2.8 | |
Real Estate | | | 2.6 | |
Energy | | | 1.7 | |
Telecommunication Services | | | 0.2 | |
Utilities | | | 0.0 | * |
| | | | |
| Top Ten Equity Holdings | | (% of Net Assets) | |
Splunk, Inc. | | | 1.5 | % |
Workday, Inc. | | | 1.5 | |
Palo Alto Networks, Inc. | | | 1.4 | |
Rockwell Automation, Inc. | | | 1.2 | |
Integra LifeSciences Holdings Corp. | | | 1.1 | |
IDEX Corp. | | | 1.1 | |
Fortinet, Inc. | | | 1.1 | |
Ross Stores, Inc. | | | 1.0 | |
GrubHub, Inc. | | | 1.0 | |
AptarGroup, Inc. | | | 1.0 | |
| | |
| Annual Report • June 30, 2018 | | 13 |
Bridge Builder Small/Mid Cap Value Fund
Management’s Discussion of Fund Performance (Unaudited)
Investment Objective
The investment objective of the Bridge Builder Small/Mid Cap Value Fund (the “Fund”) is to provide capital appreciation.
Investment Strategy
The Fund primarily invests in equity securities of small- and mid-capitalization companies, which are defined as those companies whose market capitalizations typically fall within the range of the Russell MidCap® Index and the Russell 2000® Index. The Fund follows an investing style that favors value investments and employs a multi-manager sub-advised structure.
Investment Commentary
For the fiscal year ended June 30, 2018, the Fund returned 8.62%, while its benchmark, the Russell 2500® Value Index, returned 11.49% for the period, which resulted in underperformance. Compared to its benchmark, essentially all of the relative underperformance was driven by negative stock selection within the consumer discretionary, industrials and utility sectors. Modest cash allocations within the Fund also detracted given the strong equity market return. The Fund benefited from an underweight allocation to the real estate sector and strong stock selection within the technology and financial sectors, all of which helped offset negative contributions from stock selection in other sectors.
For the year, small-capitalization stocks outperformed mid-capitalization stocks. The technology and energy sectors led the broader market. Conversely, the income-related sectors (consumer staples, utilities, real estate and telecommunications) underperformed the broader market. Within both the mid-capitalization and small capitalization segments of the market, growth stocks outperformed value stocks.
Looking forward, we believe the economy in the U.S. to be fundamentally strong and growing. However, this bull market has run for more than nine years and seems positioned to continue down a rougher road ahead. The positive fundamentals of economic and earnings growth appear intact, supporting modest but below-average equity returns, as we think we’ve moved into a later stage in the market cycle, with rising interest rates and more volatility.
Investment Sub-advisers
| | | | | | | | | | |
| Vaughan Nelson Investment Management, LP uses a bottom-up value-oriented investment process. Vaughan Nelson seeks companies that typically possess one or more of the following attributes: companies earning a positive return on capital with stable-to-improving returns, valued at a discount to their asset value and/or having an attractive and sustainable dividend level. | | Boston Partners Global Investors, Inc. primarily invests in medium-capitalization companies and uses bottom-up fundamental analysis to make investment decisions. Boston Partners’ strategy seeks to add value through bottom-up stock selection. The strategy is designed to identify companies with attractive valuation, sound business fundamentals and improving business momentum. | | Silvercrest Asset Management Group LLC invests in small-capitalization companies that typically possess one or more of the following attributes: business that results in relatively consistent longer-term earnings and cash flow growth, franchise/asset value that may make the company attractive to potential acquirers, cyclically depressed earnings and/or cash flow that has potential for improvement, or a catalyst that will promote recognition of the company’s undervalued status. | | Advisory Research, Inc. uses a bottom-up approach that seeks to identify companies with attractive valuations relative to net asset value. The strategy invests in stocks that Advisory Research believes are profitable, undervalued on a price-to-book basis and exhibit low levels of leverage. | | BlackRock Investment Management, LLC invests in equity securities with the objective of approximating the capitalization-weighted total rate of return of the segment of the United States market for publicly traded equity securities represented by the Russell Midcap® Value Index, which tracks the performance of mid-capitalization companies, and the Russell 2000® Value Index, which tracks the performance of small-capitalization companies. | | LSV Asset Management primarily invests in medium-capitalization companies. LSV uses a bottom-up investment style, seeking to identify companies that are trading at prices substantially below their intrinsic value. |
| | |
| 14 | | Annual Report • June 30, 2018 |
Bridge Builder Small/Mid Cap Value Fund
Management’s Discussion of Fund Performance (Unaudited) (Continued)
The following chart compares the value of a hypothetical $10,000 investment in the Bridge Builder Small/Mid Cap Value Fund from its inception (April 27, 2015) to June 30, 2018 as compared with the Russell 2500® Value Index.
Growth of a Hypothetical $10,000 Investment as of June 30, 2018
vs.
Russell 2500® Value Index
Average Annual Total Returns as of June 30, 2018
| | | | | | | | | | | | |
| | | 1 Year | | | 3 Years | | | Since Inception (4/27/2015) | |
Bridge Builder Small/Mid Cap Value Fund | | | 8.62 | % | | | 7.60 | % | | | 6.72 | % |
Russell 2500® Value Index | | | 11.49 | % | | | 9.76 | % | | | 8.78 | % |
Performance data quoted represents past performance; past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the gross and net expense ratios of the Fund were 0.76%(1) and 0.54%(2), respectively. Performance data current to the most recent month end may be obtained by calling 1.855.823.3611.
The performance table does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or the redemption of Fund shares. Returns shown for the Fund include the reinvestment of all dividends, if any. Total return calculations reflect the effect of the Adviser’s fee waiver agreement for the Fund. If such fee waivers had not occurred, the quoted performance would be lower.
Portfolio Characteristics (3)
| | | | |
| Sector Breakdown | | (% of Investments) | |
Financials | | | 23.5 | % |
Industrials | | | 14.9 | |
Information Technology | | | 13.7 | |
Consumer Discretionary | | | 11.1 | |
Real Estate | | | 7.7 | |
Energy | | | 7.5 | |
Utilities | | | 6.4 | |
Materials | | | 6.0 | |
Healthcare | | | 4.3 | |
Short-Term Investments | | | 2.5 | |
Consumer Staples | | | 2.2 | |
Telecommunication Services | | | 0.2 | |
| | | | |
| Top Ten Equity Holdings | | (% of Net Assets) | |
Fidelity National Information Services, Inc. | | | 1.0 | % |
WPX Energy, Inc. | | | 0.9 | |
Reinsurance Group of America, Inc. | | | 0.8 | |
Discover Financial Services | | | 0.6 | |
Bank of NT Butterfield & Son Ltd. | | | 0.6 | |
Crown Holdings, Inc. | | | 0.6 | |
Masonite International Corp. | | | 0.6 | |
Synchrony Financial | | | 0.6 | |
Energen Corp. | | | 0.6 | |
Avnet, Inc. | | | 0.5 | |
| | |
| Annual Report • June 30, 2018 | | 15 |
Bridge Builder International Equity Fund
Management’s Discussion of Fund Performance (Unaudited)
Investment Objective
The investment objective of the Bridge Builder International Equity Fund (the “Fund”) is to provide capital appreciation.
Investment Strategy
The Fund primarily invests in non-U.S. dollar denominated securities of large-capitalization companies that derive a majority of their revenues or profits from a country or countries other than the United States. The Fund employs a multi-manager sub-advised structure.
Investment Commentary
For the fiscal year ended June 30, 2018, the Fund returned 6.85%, while its benchmark, the MSCI EAFE Index, returned 6.84%, which resulted in relative outperformance of 0.01%. Select Eurozone countries such as Germany underperformed the broader market, while the U.K. and Japan outperformed. The U.S. dollar generally depreciated versus the currencies of other developed regions, boosting returns of international securities for U.S. investors. Energy, information technology, and materials outperformed all other sectors, as telecommunication services and financials lagged. In developed markets, growth stocks outperformed value stocks, and small-capitalization stocks outperformed large-capitalization stocks. We continue to expect increased market volatility from geopolitical headlines, trade tensions, and changes in monetary policy.
Compared to its benchmark, the Fund was most underweight in financials and materials. The financials underweight supported relative returns while the underweight in materials detracted from the Fund’s performance. An overweight in technology also boosted relative returns. The Fund also differed from its benchmark in that it had an allocation to emerging markets which outperformed developed market for the fiscal year. Positive stock selection, especially in emerging markets and in the consumer staples, financials and healthcare sectors supported relative returns and offset the negative stock selection in the energy and industrials sectors.
Investment Sub-advisers
| | | | | | |
| Baillie Gifford Overseas Limited primarily uses proprietary, fundamental research to identify companies for investment that can exhibit sustained, above-average growth with attractive financial characteristics and sustainable competitive advantages. When evaluating individual companies for investment, Baillie Gifford normally focuses on growth/quality, management, valuation and sell discipline. | | BlackRock Investment Management, LLC’s equity index strategies invest in portfolios of international equity securities with the objective of approximating as closely as practicable the capitalization weighted total rates of return of the markets in certain countries for value and growth equity securities traded outside the United States, as represented by the MSCI EAFE Growth and MSCI EAFE Value Indices. | | Edinburgh Partners Limited employs a disciplined, value-oriented, global investment strategy to select stocks. Edinburgh Partners aims to identify and buy undervalued non-U.S. companies, including those in the emerging markets, and hold them until share prices reflect their long-term earnings potential. | | Manning & Napier Advisors, LLC uses a bottom up strategy focusing on individual security selection to choose stocks from companies outside the U.S. Manning & Napier uses fundamental analysis to look for companies trading at attractive valuations and for strong strategic profiles, companies with competitive strength in rebounding industries, and businesses going through restructuring. |
Pzena Investment Management, LLC focuses on deep value investing, seeking to identify international securities that are trading at prices substantially below their intrinsic value but have solid long term prospects. | | Mondrian Investment Partners Limited employs an active, value-oriented approach to managing international equities, and invests in securities where rigorous dividend discount analysis identifies value in terms of the long-term flow of income. The philosophy is built upon the assumption that dividend yield and future real growth are critical in determining a company’s total expected return and that the dividend component will be a meaningful portion of the expected return over time. | | WCM Investment Management uses a bottom-up approach that seeks to identify companies with attractive fundamentals, such as long-term growth in revenue and earnings, and that show a high probability for superior future growth. WCM’s investment process focuses on seeking industry-leading companies that WCM believes possess growing competitive advantages; corporate cultures emphasizing strong, quality and experienced management; low or no debt; and attractive relative valuations. | | |
| | |
| 16 | | Annual Report • June 30, 2018 |
Bridge Builder International Equity Fund
Management’s Discussion of Fund Performance (Unaudited) (Continued)
The following chart compares the value of a hypothetical $10,000 investment in the Bridge Builder International Equity Fund from its inception (July 6, 2015) to June 30, 2018 as compared with the MSCI EAFE Index.
Growth of a Hypothetical $10,000 Investment as of June 30, 2018
vs.
MSCI EAFE Index
Average Annual Total Returns as of June 30, 2018
| | | | | | | | |
| | | 1 Year | | | Since Inception (7/06/2015) | |
Bridge Builder International Equity Fund | | | 6.85 | % | | | 6.44 | % |
MSCI EAFE Index | | | 6.84 | % | | | 5.35 | % |
Performance data quoted represents past performance; past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the gross and net expense ratios of the Fund were 0.68%(1) and 0.43%(2), respectively. Performance data current to the most recent month end may be obtained by calling 1.855.823.3611.
The performance table does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or the redemption of Fund shares. Returns shown for the Fund include the reinvestment of all dividends, if any. Total return calculations reflect the effect of the Adviser’s fee waiver agreement for the Fund. If such fee waivers had not occurred, the quoted performance would be lower.
Portfolio Characteristics (3)
| | | | |
| Sector Breakdown | |
(% of Investments) | |
Financials | | | 17.5 | % |
Consumer Discretionary | | | 14.1 | |
Information Technology | | | 12.9 | |
Industrials | | | 12.6 | |
Healthcare | | | 10.9 | |
Consumer Staples | | | 10.8 | |
Energy | | | 6.8 | |
Telecommunication Services | | | 4.6 | |
Materials | | | 3.5 | |
Short-Term Investments | | | 3.0 | |
Utilities | | | 2.5 | |
Real Estate | | | 0.8 | |
| | | | |
| Country Breakdown | | (% of Long-Term
Investments) | |
Japan | | | 16.7 | % |
United Kingdom | | | 15.1 | |
Switzerland | | | 7.3 | |
France | | | 6.7 | |
Germany | | | 5.9 | |
Netherlands | | | 5.5 | |
Hong Kong | | | 4.9 | |
China | | | 4.2 | |
Spain | | | 4.0 | |
Italy | | | 3.4 | |
Other | | | 26.3 | |
| | | | |
| Top Ten Equity Holdings | | (% of Net Assets) | |
Tesco Plc | | | 1.6 | % |
Eni SpA | | | 1.5 | |
BP Plc | | | 1.3 | |
Sanofi SA | | | 1.3 | |
China Mobile Ltd. | | | 1.2 | |
Roche Holding AG | | | 1.1 | |
Novartis AG | | | 1.1 | |
Koninklijke Ahold Delhaize NV | | | 1.1 | |
Taiwan Semiconductor Manufacturing Co. Ltd. – ADR | | | 1.0 | |
CK Hutchison Holdings Ltd. | | | 1.0 | |
ADR American Depositary Receipt
| | |
| Annual Report • June 30, 2018 | | 17 |
Bridge Builder Mutual Funds
Management’s Discussion of Fund Performance (Unaudited)
Disclosures
| (1) | The Gross Expense Ratio, per the Fund’s prospectus, includes all categories of expenses before any expense reductions or fee waivers. |
| (2) | Olive Street has contractually agreed, until at least October 28, 2018, to waive its management fees to the extent management fees to be paid to the Adviser exceed the management fees the Fund is required to pay the Fund’s sub-advisers. This contractual agreement may only be changed or eliminated with the approval of the Board of Trustees. Such waivers are not subject to recoupment by Olive Street. |
| (3) | Fund holdings, sector and portfolio characteristics are subject to change at any time and are not recommendations to buy or sell any security. |
Mutual fund investing involves risk. The value of your investment in a Fund could go down as well as up. Investing in the bond market is subject to certain risks including market, credit, interest-rate and liquidity. Investments in asset-backed, mortgage-related and mortgage- backed securities may be more sensitive to changes in interest rates, prepayments and impairment of the value of the collateral underlying the security. Investments in lower-rated and non-rated securities presents a greater risk of loss to principal and interest than higher-rated securities. The risks to the municipal bond market can include unusual volatility, liquidity issues, the inability of the issuer to repay the obligation and a tax risk to the investor if the municipal obligation fails to meet requirements. There is no guarantee that all of the municipal bond income will remain exempt from federal or state income taxes. Investments in municipal securities may be adversely affected by unfavorable legislative or political developments and economic developments that impact the financial condition of municipal issuers. Investments in large cap companies may be unable to respond quickly to new competitive challenges, such as changes in technology. They may also not be able to attain the high growth rate of successful smaller companies. Investments in small- and mid-cap companies may involve additional risks such as limited liquidity and greater volatility than larger companies. Investments in non-U.S. dollar-denominated foreign securities (including emerging market securities) may be more sensitive to currency fluctuations, political and economic instability, differing government regulations and liquidity risk. Multi-manager and multi-style management may lead to overlapping securities transactions and higher transaction expenses compared to single investment management styles. Outcomes depend on the skill of the sub-advisers and adviser and the allocation of assets amongst them.
You cannot invest directly in an index.
DEFINITIONS
Bloomberg Barclays U.S. Aggregate Bond Index measures the performance of the U.S. dollar-denominated investment grade, fixed-rate taxable bond market.
Bloomberg Barclays Municipal 1-15 Year Index (1-17) is a subset of the Bloomberg Barclays Municipal Bond Index covering only maturities between 1 and 17 years. The Bloomberg Barclays Municipal Bond Index is an unmanaged index composed of tax-exempt bonds with maturities greater than one year and a minimum credit rating of Baa.
Duration is a measure of the sensitivity of the price of a fixed-income security (or a portfolio of fixed-income securities) to changes in interest rates.
Free Cash Flow is a measure of financial performance calculated as operating cash flow minus capital expenditures. Free cash flow represents the cash that a company is able to generate after laying out the money required to maintain or expand its asset base. Free cash flow is important because it allows a company to pursue opportunities that enhance shareholder value. Without cash, it’s tough to develop new products, make acquisitions, pay dividends and reduce debt.
The Morgan Stanley Capital International (MSCI) Europe, Australasia, Far East (EAFE) Index is an unmanaged index of over 900 companies, and is a generally accepted benchmark for major overseas markets.
Price to Earnings Ratio is a valuation ratio of a company’s current share price compared to its per-share earnings. It is calculated by dividing the current closing price of the stock by the earnings per share of the last four quarters.
Price to Book Ratio is a ratio used to compare a stock’s market value to its book value. It is calculated by dividing the current closing price of the stock by the latest quarter’s book value per share.
The Russell 1000® Index consists of the largest 1,000 companies in a group of 3,000 U.S. companies in the Russell 3000® Index, as ranked by market capitalization.
The Russell 1000® Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. It includes those Russell 1000® companies with higher price-to-book ratios and higher forecasted growth values.
The Russell 1000® Value Index measures the performance of the large-cap value segment of the U.S. equity universe. It includes those Russell 1000® companies with lower price-to-book ratios and lower expected growth values.
The Russell 2000® Index consists of the smallest 2,000 companies in a group of 3,000 U.S. companies in the Russell 3000® Index, as ranked by market capitalization.
| | |
| 18 | | Annual Report • June 30, 2018 |
Bridge Builder Mutual Funds
Management’s Discussion of Fund Performance (Unaudited) (Continued)
The Russell 2000® Growth Index measures the performance of the small-cap growth segment of the U.S. equity universe. It includes those Russell 2000® companies with higher price-to-book ratios and higher forecasted growth values.
The Russell 2000® Value Index measures the performance of the small-cap value segment of the U.S. equity universe. It includes those Russell 2000® companies with lower price-to-book ratios and lower forecasted growth values.
The Russell 2500® Growth Index measures the performance of the small- to mid-cap growth segment of the U.S. equity universe. It includes those Russell 2500® Index companies with higher price-to-book ratios and higher forecasted growth values.
The Russell 2500® Value Index measures the performance of the small- to mid-cap value segment of the U.S. equity universe. It includes those Russell 2500® Index companies with lower price-to-book and lower forecasted growth values.
The Russell 3000® Index measures the performance of the 3,000 largest publicly held companies incorporated in the U.S. based on market capitalization.
The Russell Midcap® Index measures the performance of the mid-cap segment of the U.S. equity universe.
The Russell Midcap® Growth Index measures the performance of the mid-cap growth segment of the U.S. equity universe. It includes those Russell 1000® companies with higher price-to-book ratios and higher forecasted growth values.
The Russell Midcap® Value Index measures the performance of the mid-cap value segment of the U.S. equity universe. It includes those Russell 1000® companies with lower price-to-book ratios and lower forecasted growth values.
The S&P 500 Index, an unmanaged index, consists of 500 stocks chosen for market size, liquidity, and industry group representation. It is a market-value weighted index (stock price times number of shares outstanding), with each stock’s weight in the Index proportionate to its market value.
| | |
| Annual Report • June 30, 2018 | | 19 |
Bridge Builder Mutual Funds
Fund Expense Examples (Unaudited)
As a shareholder of the Funds, you incur two types of costs: (1) ongoing costs, including management fees and other Fund expenses; and (2) Edward Jones Advisory Solutions® program and administrative fees, which are charged outside of the Funds. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
Actual Expenses
The Examples are based on $1,000 invested at the beginning of the period and held for the entire period from January 1, 2018 to June 30, 2018.
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 equals 8.6), then multiply the result by the number in the applicable line under the heading titled “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs of owning shares of a Fund only and do not reflect annual Edward Jones Advisory Solutions® program and administrative fees. If fees of Edward Jones Advisory Solutions® had been included, your costs would have been higher. The second line of the table for each Fund is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
| | | | | | | | | | | | | | | | | | | | |
| | | | | | Beginning
account value | | | Ending
account value | | | Annualized
expense ratio | | | Expenses paid
during the period* | |
Bridge Builder Core Bond Fund | | | | | | | | | | | | | | | 0.14 | % | | | | |
| | | Actual | | | $ | 1,000.00 | | | $ | 984.10 | | | | | | | $ | 0.69 | |
| | | Hypothetical | | | | 1,000.00 | | | | 1,024.10 | | | | | | | | 0.70 | |
Bridge Builder Core Plus Bond Fund | | | | | | | | | | | | | | | 0.19 | | | | | |
| | | Actual | | | | 1,000.00 | | | | 987.00 | | | | | | | | 0.94 | |
| | | Hypothetical | | | | 1,000.00 | | | | 1,023.85 | | | | | | | | 0.95 | |
Bridge Builder Municipal Bond Fund | | | | | | | | | | | | | | | 0.18 | | | | | |
| | | Actual | | | | 1,000.00 | | | | 1,000.00 | | | | | | | | 0.89 | |
| | | Hypothetical | | | | 1,000.00 | | | | 1,023.90 | | | | | | | | 0.90 | |
Bridge Builder Large Cap Growth Fund | | | | | | | | | | | | | | | 0.23 | | | | | |
| | | Actual | | | | 1,000.00 | | | | 1,063.70 | | | | | | | | 1.18 | |
| | | Hypothetical | | | | 1,000.00 | | | | 1,023.65 | | | | | | | | 1.15 | |
Bridge Builder Large Cap Value Fund | | | | | | | | | | | | | | | 0.26 | | | | | |
| | | Actual | | | | 1,000.00 | | | | 999.70 | | | | | | | | 1.29 | |
| | | Hypothetical | | | | 1,000.00 | | | | 1,023.51 | | | | | | | | 1.30 | |
Bridge Builder Small/Mid Cap Growth Fund | | | | | | | | | | | | | | | 0.40 | | | | | |
| | | Actual | | | | 1,000.00 | | | | 1,079.00 | | | | | | | | 2.06 | |
| | | Hypothetical | | | | 1,000.00 | | | | 1,022.81 | | | | | | | | 2.01 | |
Bridge Builder Small/Mid Cap Value Fund | | | | | | | | | | | | | | | 0.44 | | | | | |
| | | Actual | | | | 1,000.00 | | | | 998.30 | | | | | | | | 2.18 | |
| | | Hypothetical | | | | 1,000.00 | | | | 1,022.61 | | | | | | | | 2.21 | |
Bridge Builder International Equity Fund | | | | | | | | | | | | | | | 0.38 | | | | | |
| | | Actual | | | | 1,000.00 | | | | 975.60 | | | | | | | | 1.86 | |
| | | Hypothetical | | | | 1,000.00 | | | | 1,022.91 | | | | | | | | 1.91 | |
| * | | Expenses are equal to the Funds’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the six-month period). Expenses do not include Edward Jones Advisory Solutions® program and administrative fees, which are charged outside of the Fund. |
| | |
| 20 | | Annual Report • June 30, 2018 |
Bridge Builder Core Bond Fund
Summary Schedule of Investments
June 30, 2018
| | | | | | | | |
| | | Principal
Amount | | | Value | |
| | | | | | | | |
BONDS & NOTES – 97.86% | | | | | | | | |
Asset-Backed Obligations – 11.90% | | | | | | | | |
New Residential Mortgage Loan Trust 2018-RPL1, 3.50%, Dec. 2057 (2)(3) | | $ | 31,162,181 | | | $ | 30,969,443 | |
ZAIS CLO 8 Ltd., 3.08% (3 Month LIBOR USD + 0.95%), Apr. 2029 (1)(2) | | | 40,000,000 | | | | 39,701,800 | |
Other Securities (1)(2)(3)(8)(9)(12) | | | 1,827,973,547 | | | | 1,810,675,904 | |
| | | | | | | | |
Total Asset-Backed Obligations | | | | | | | 1,881,347,147 | |
| | | | | | | | |
Corporate Bonds – 30.14% | | | | | | | | |
| Basic Materials – 1.14% | | | | | | | | |
Various Securities (1)(2)(9) | | | 176,349,000 | | | | 179,887,247 | |
| | | | | | | | |
Total Basic Materials | | | | | | | 179,887,247 | |
| | | | | | | | |
| Communications – 2.08% | | | | | | | | |
Various Securities (2) | | | 334,567,500 | | | | 329,172,844 | |
| | | | | | | | |
Total Communications | | | | | | | 329,172,844 | |
| | | | | | | | |
| Consumer, Cyclical – 2.32% | | | | | | | | |
Various Securities (1)(2) | | | 369,901,833 | | | | 367,035,855 | |
| | | | | | | | |
Total Consumer, Cyclical | | | | | | | 367,035,855 | |
| | | | | | | | |
| Consumer, Non-cyclical – 3.34% | | | | | | | | |
Various Securities (1)(2) | | | 535,298,282 | | | | 528,293,797 | |
| | | | | | | | |
Total Consumer, Non-cyclical | | | | | | | 528,293,797 | |
| | | | | | | | |
| Diversified – 0.08% | | | | | | | | |
Various Securities (2) | | | 12,201,000 | | | | 12,285,059 | |
| | | | | | | | |
Total Diversified | | | | | | | 12,285,059 | |
| | | | | | | | |
| Energy – 3.32% | | | | | | | | |
Various Securities (1)(2) | | | 520,863,000 | | | | 524,077,695 | |
| | | | | | | | |
Total Energy | | | | | | | 524,077,695 | |
| | | | | | | | |
| Financials – 12.27% | | | | | | | | |
Various Securities (1)(2)(8)(9)(12) | | | 1,953,627,355 | | | | 1,938,324,174 | |
| | | | | | | | |
Total Financials | | | | | | | 1,938,324,174 | |
| | | | | | | | |
| Industrials – 1.63% | | | | | | | | |
Various Securities (2)(8) | | | 261,443,833 | | | | 258,076,409 | |
| | | | | | | | |
Total Industrials | | | | | | | 258,076,409 | |
| | | | | | | | |
| Real Estate – 0.03% | | | | | | | | |
Various Securities | | | 4,818,000 | | | | 4,842,156 | |
| | | | | | | | |
Total Real Estate | | | | | | | 4,842,156 | |
| | | | | | | | |
| Technology – 1.19% | | | | | | | | |
Various Securities (2) | | | 188,088,000 | | | | 188,625,174 | |
| | | | | | | | |
Total Technology | | | | | | | 188,625,174 | |
| | | | | | | | |
| Utilities – 2.74% | | | | | | | | |
Various Securities (2)(8) | | | 434,389,007 | | | | 432,470,222 | |
| | | | | | | | |
Total Utilities | | | | | | | 432,470,222 | |
| | | | | | | | |
Total Corporate Bonds | | | | | | | 4,763,090,632 | |
| | | | | | | | |
Government Related – 21.74% | | | | | | | | |
| Other Government Related – 2.71% | | | | | | | | |
Various Securities (1)(2)(8) | | | 417,750,000 | | | | 428,984,321 | |
| | | | | | | | |
Total Other Government Related | | | | | | | 428,984,321 | |
| | | | | | | | |
| U.S. Treasury – 19.03% | | | | | | | | |
U.S. Treasury Note/Bond, 1.63%, Apr. 2023 | | | 31,050,000 | | | | 29,492,648 | |
U.S. Treasury Note/Bond, 1.75%, Feb. 2022 | | | 30,000,000 | | | | 29,021,484 | |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2018 | | 21 |
Bridge Builder Core Bond Fund
Summary Schedule of Investments
June 30, 2018 (Continued)
| | | | | | | | |
| | | Principal
Amount | | | Value | |
| | | | | | | | |
| U.S. Treasury – 19.03% – (continued) | | | | | | | | |
U.S. Treasury Note/Bond, 1.75%, Mar. 2022 | | $ | 65,200,000 | | | $ | 63,032,609 | |
U.S. Treasury Note/Bond, 1.88%, Mar. 2022 | | | 62,284,000 | | | | 60,486,036 | |
U.S. Treasury Note/Bond, 1.88%, Apr. 2022 | | | 70,217,000 | | | | 68,129,690 | |
U.S. Treasury Note/Bond, 1.88%, Sep. 2022 | | | 50,727,000 | | | | 49,028,835 | |
U.S. Treasury Note/Bond, 2.00%, Dec. 2021 | | | 39,575,000 | | | | 38,689,200 | |
U.S. Treasury Note/Bond, 2.00%, Nov. 2022 | | | 28,103,000 | | | | 27,270,888 | |
U.S. Treasury Note/Bond, 2.00%, Nov. 2026 | | | 87,086,000 | | | | 81,585,295 | |
U.S. Treasury Note/Bond, 2.13%, Jun. 2022 | | | 32,000,000 | | | | 31,301,250 | |
U.S. Treasury Note/Bond, 2.13%, Dec. 2022 | | | 55,602,000 | | | | 54,192,403 | |
U.S. Treasury Note/Bond, 2.13%, May 2025 | | | 37,000,000 | | | | 35,400,039 | |
U.S. Treasury Note/Bond, 2.25%, Feb. 2020 | | | 34,278,000 | | | | 34,136,068 | |
U.S. Treasury Note/Bond, 2.25%, Nov. 2025 | | | 108,961,000 | | | | 104,777,068 | |
U.S. Treasury Note/Bond, 2.25%, Nov. 2027 | | | 30,000,000 | | | | 28,507,031 | |
U.S. Treasury Note/Bond, 2.50%, May 2024 | | | 89,113,000 | | | | 87,699,723 | |
U.S. Treasury Note/Bond, 2.63%, Feb. 2023 | | | 33,356,000 | | | | 33,212,673 | |
U.S. Treasury Note/Bond, 2.63%, Jun. 2023 | | | 29,143,000 | | | | 29,003,551 | |
U.S. Treasury Note/Bond, 2.75%, May 2023 | | | 28,675,600 | | | | 28,701,363 | |
U.S. Treasury Note/Bond, 2.75%, Nov. 2047 | | | 33,416,000 | | | | 31,850,930 | |
U.S. Treasury Note/Bond, 2.88%, May 2043 | | | 165,850,000 | | | | 162,733,834 | |
U.S. Treasury Note/Bond, 3.00%, May 2045 | | | 52,405,000 | | | | 52,558,530 | |
U.S. Treasury Note/Bond, 3.00%, Feb. 2048 | | | 72,784,000 | | | | 72,954,587 | |
U.S. Treasury Note/Bond, 3.50%, Feb. 2039 | | | 105,299,100 | | | | 114,566,243 | |
U.S. Treasury Note/Bond, 3.63%, Feb. 2044 | | | 34,400,000 | | | | 38,334,500 | |
U.S. Treasury Note/Bond, 3.75%, Nov. 2043 | | | 46,636,000 | | | | 52,950,077 | |
U.S. Treasury Note/Bond, 4.75%, Feb. 2037 | | | 37,619,000 | | | | 47,639,467 | |
U.S. Treasury Strip Coupon, 0.00%, Aug. 2020 | | | 34,113,000 | | | | 32,313,465 | |
U.S. Treasury Strip Coupon, 0.00%, Feb. 2022 | | | 33,917,000 | | | | 30,757,739 | |
U.S. Treasury Strip Coupon, 0.00%, Feb. 2023 | | | 61,562,000 | | | | 54,139,987 | |
U.S. Treasury Strip Coupon, 0.00%, May 2023 | | | 30,855,000 | | | | 26,944,351 | |
U.S. Treasury Note/Bond, 0.75%-8.75%, Aug. 2018-May 2048 | | | 855,463,400 | | | | 853,353,401 | |
U.S. Treasury Strip Coupon, 0.00%, Aug. 2018-Aug. 2041 (11) | | | 621,619,000 | | | | 477,933,953 | |
Other Securities (10) | | | 57,341,320 | | | | 44,818,657 | |
| | | | | | | | |
Total U.S. Treasury | | | | | | | 3,007,517,575 | |
| | | | | | | | |
Total Government Related | | | | | | | 3,436,501,896 | |
| | | | | | | | |
Mortgage-Backed Obligations – 34.08% | | | | | | | | |
Fannie Mae, 2.68%, Dec. 2026 (3) | | | 43,307,000 | | | | 40,739,393 | |
Fannie Mae, 3.00%, Jul. 2042 (5) | | | 29,170,000 | | | | 28,249,322 | |
Fannie Mae, 3.06%, May 2027 (3) | | | 29,130,000 | | | | 28,259,776 | |
Fannie Mae, 3.50%, Jul. 2026 (5) | | | 32,240,000 | | | | 32,620,664 | |
Fannie Mae, 4.00%, Jul. 2040 (5) | | | 43,810,821 | | | | 44,705,751 | |
Fannie Mae, 4.00%, Aug. 2040 (5) | | | 45,000,000 | | | | 45,808,596 | |
Fannie Mae, 4.00%, Jan. 2048 | | | 27,628,799 | | | | 28,282,751 | |
Fannie Mae, 4.50%, Jul. 2041 (5) | | | 107,795,000 | | | | 112,235,227 | |
Freddie Mac, 3.19%, Jul. 2027 | | | 38,013,000 | | | | 37,377,841 | |
Freddie Mac, 3.19%, Sep. 2027 (3) | | | 35,150,000 | | | | 34,417,738 | |
Freddie Mac, 3.50%, Oct. 2047 | | | 27,867,318 | | | | 27,730,989 | |
Freddie Mac, 3.50%, Mar. 2048 | | | 35,239,328 | | | | 35,081,932 | |
Freddie Mac, 3.85%, May 2028 (3) | | | 27,670,000 | | | | 28,504,247 | |
Freddie Mac, 3.90%, Apr. 2028 | | | 42,050,000 | | | | 43,466,522 | |
Ginnie Mae, 3.50%, Jul. 2045 (5) | | | 104,230,000 | | | | 104,596,431 | |
Ginnie Mae, 3.50%, Jul. 2046 | | | 27,235,914 | | | | 27,366,726 | |
Ginnie Mae, 4.00%, Jul. 2042 (5) | | | 35,920,000 | | | | 36,806,075 | |
Fannie Mae, 1.47%-10.50%, Jul. 2018-Nov. 2048 (1)(5) | | | 1,583,215,089 | | | | 1,581,001,480 | |
Fannie Mae, 2.28%-4.33%, Aug. 2019-Feb. 2030 (1)(3) | | | 148,740,587 | | | | 144,798,875 | |
Freddie Mac, 0.00%-10.00%, Aug. 2018-Jan. 2048 (5) | | | 715,834,802 | | | | 717,863,325 | |
Freddie Mac, 0.99%-3.51%, Jun. 2020-Jan. 2031 (1)(3) | | | 435,942,051 | | | | 288,284,295 | |
Ginnie Mae, 2.50%-8.50%, Mar. 2025-May 2063 (3)(5) | | | 411,638,813 | | | | 417,888,319 | |
Ginnie Mae, 0.00%-19.23%, Nov. 2020-Aug. 2067 (1)(3)(4) | | | 205,469,185 | | | | 167,547,369 | |
Other Securities (1)(2)(3)(4)(8)(12) | | | 1,466,905,404 | | | | 1,333,099,204 | |
| | | | | | | | |
Total Mortgage-Backed Obligations | | | | | | | 5,386,732,848 | |
| | | | | | | | |
Total Bonds & Notes
(Cost: $15,654,514,292) | | | | | | | 15,467,672,523 | |
| | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| 22 | | Annual Report • June 30, 2018 |
Bridge Builder Core Bond Fund
Summary Schedule of Investments
June 30, 2018 (Continued)
| | | | | | | | |
| | |
| | | Shares | | | Value | |
| | | | | | | | |
PREFERRED STOCKS – 0.02% | | | | | | | | |
| Financials – 0.02% | | | | | | | | |
State Street Co., 5.35% | | | 95,000 | | | $ | 2,481,400 | |
| | | | | | | | |
Total Preferred Stocks
(Cost: $2,375,000) | | | | | | | 2,481,400 | |
| | | | | | | | |
SHORT-TERM INVESTMENTS – 6.49% | | | | | | | | |
| Money Market Funds – 6.48% | | | | | | | | |
Fidelity Institutional Money Market Government Fund – Class I, 1.77% (6)(7) | | | 512,371,713 | | | | 512,371,713 | |
Goldman Sachs Financial Square Treasury Solutions Fund – Class I, 1.81% (6)(7) | | | 512,371,712 | | | | 512,371,712 | |
| | | | | | | | |
Total Money Market Funds | | | | | | | 1,024,743,425 | |
| | | | | | | | |
| | |
| | | Principal
Amount | | | Value | |
| U.S. Treasury Bills – 0.01% | | | | | | | | |
U.S. Treasury Bill, 0.00%, Mar. 2019 (11) | | $ | 1,000,000 | | | | 983,645 | |
| | | | | | | | |
Total U.S. Treasury Bills | | | | | | | 983,645 | |
| | | | | | | | |
Total Short-Term Investments
(Cost: $1,025,728,125) | | | | | | | 1,025,727,070 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES – 104.37%
(Cost: $16,682,617,417) | | | | | | | 16,495,880,993 | |
LIABILITIES IN EXCESS OF OTHER ASSETS – (4.37)% | | | | | | | (690,569,548 | ) |
| | | | | | | | |
TOTAL NET ASSETS – 100.00% | | | | | | $ | 15,805,311,445 | |
| | | | | | | | |
Percentages are stated as a percent of net assets.
| (1) | | Variable rate security or includes variable rate securities based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2018. |
| (2) | | Security or includes securities purchased exempt from registration in the U.S. pursuant to Rule 144(A) under the Securities Act of 1933. The value of these securities total $2,621,529,243, which represents 16.59% of total net assets. |
| (3) | | Variable rate security or includes variable rate securities. The coupon is based on an underlying pool of assets. The rate reported is the rate in effect as of June 30, 2018. |
| (4) | | Inverse floating rate security or includes inverse floating rate securities whose interest rate moves in the opposite direction of reference interest rates. Reference interest rates are typically based on a negative multiplier or slope. |
| (5) | | Delayed delivery purchase commitment security or includes delayed delivery purchase commitment securities. The value of these securities total $590,628,724, which represents 3.74% of total net assets. |
| (6) | | Partially assigned as collateral for certain delayed delivery securities. |
| (7) | | Represents annualized seven-day yield as of the close of the reporting period. |
| (8) | | Includes step-up bonds. The rate reported is the rate in effect as of June 30, 2018. |
| (9) | | Includes securities in default as of June 30, 2018. The value of these securities total $581,759, which represents 0.00% of total net assets. |
| (10) | | Includes inflation protected securities. The value of these securities total $7,123,238, which represents 0.05% of total net assets. |
| (11) | | Partially assigned as collateral for certain futures contracts. The value of these pledged issues total $7,211,411, which represents 0.05% of total net assets. |
| (12) | | Includes securities that are categorized as Level 3 per the Trust’s fair value hierarchy. These securities represent $137,635,565 or 0.87% of the Fund’s net assets. |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2018 | | 23 |
Bridge Builder Core Bond Fund
Summary Schedule of Investments
June 30, 2018 (Continued)
Open Futures Contracts
| | | | | | | | | | | | | | | | | | | | |
Number of Contracts
Purchased | | Reference Entity | | Counterparty | | Settlement
Month | | | Notional
Amount | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
| 4,374 | | U.S. 5 Year Note Future | | J.P. Morgan | | | Sep. 2018 | | | $ | 495,101,570 | | | $ | 496,961,580 | | | $ | 1,860,010 | |
| 530 | | U.S. 2 Year Note Future | | J.P. Morgan | | | Sep. 2018 | | | | 112,268,546 | | | | 112,268,907 | | | | 361 | |
| 41 | | U.S. Long Bond Future | | J.P. Morgan | | | Sep. 2018 | | | | 5,760,428 | | | | 5,945,000 | | | | 184,572 | |
| 859 | | U.S. Ultra Bond Future | | J.P. Morgan | | | Sep. 2018 | | | | 133,088,093 | | | | 137,064,188 | | | | 3,976,095 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 6,021,038 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Number of Contracts
Sold | | Reference Entity | | Counterparty | | Settlement
Month | | | Notional
Amount | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
| (617) | | U.S. 10 Year Bond Future | | J.P. Morgan | | | Sep. 2018 | | | $ | (74,251,258 | ) | | $ | (74,155,688 | ) | | $ | 95,570 | |
| (748) | | U.S. 2 Year Note Future | | J.P. Morgan | | | Sep. 2018 | | | | (158,226,027 | ) | | | (158,447,438 | ) | | | (221,411 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (125,841 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 5,895,197 | |
| | | | | | | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| 24 | | Annual Report • June 30, 2018 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
June 30, 2018
| | | | | | | | |
| | | Principal
Amount | | | Value | |
BONDS & NOTES – 93.65% | | | | | | | | |
Asset-Backed Obligations – 13.14% | | | | | | | | |
Munda CLO 1 BV, 0.57% (6 Month EURIBOR + 0.85%), Dec. 2024 (1)(2) | | EUR | 20,000,000 | | | $ | 23,262,907 | |
National Collegiate Student Loan Trust 2005-3, 2.38% (1 Month LIBOR USD + 0.29%), Oct. 2033 (1)(2) | | $ | 19,263,917 | | | | 18,356,956 | |
Option One Mortgage Loan Trust 2006-3, 2.23% (1 Month LIBOR USD + 0.14%, 0.14% Floor), Feb. 2037 (2) | | | 23,837,040 | | | | 17,819,420 | |
Other Securities (1)(2)(3)(4)(10)(13)* | | | 1,451,988,662 | | | | 1,394,168,513 | |
| | | | | | | | |
Total Asset-Backed Obligations | | | | | | | 1,453,607,796 | |
| | | | | | | | |
Corporate Bonds – 35.26% | | | | | | | | |
| Basic Materials – 0.91% | | | | | | | | |
Various Securities (1)(13) | | $ | 102,824,000 | | | | 100,634,587 | |
| | | | | | | | |
Total Basic Materials | | | | | | | 100,634,587 | |
| | | | | | | | |
| Communications – 4.30% | | | | | | | | |
Various Securities (1)(2)(10)* | | | 662,538,188 | | | | 475,422,817 | |
| | | | | | | | |
Total Communications | | | | | | | 475,422,817 | |
| | | | | | | | |
| Consumer, Cyclical – 2.87% | | | | | | | | |
Various Securities (1)(2)(13)* | | | 313,555,889 | | | | 317,930,037 | |
| | | | | | | | |
Total Consumer, Cyclical | | | | | | | 317,930,037 | |
| | | | | | | | |
| Consumer, Non-cyclical – 5.30% | | | | | | | | |
Various Securities (1)(2)(13)* | | | 596,541,000 | | | | 585,858,848 | |
| | | | | | | | |
Total Consumer, Non-cyclical | | | | | | | 585,858,848 | |
| | | | | | | | |
| Diversified – 0.06% | | | | | | | | |
Various Securities | | $ | 6,160,000 | | | | 6,099,202 | |
| | | | | | | | |
Total Diversified | | | | | | | 6,099,202 | |
| | | | | | | | |
| Energy – 2.98% | | | | | | | | |
Gazprom OAO Via Gaz Capital SA, 3.38%, Nov. 2018 | | CHF | 18,450,000 | | | | 18,843,108 | |
Other Securities (1)(2)(10)* | | | 320,887,736 | | | | 310,976,489 | |
| | | | | | | | |
Total Energy | | | | | | | 329,819,597 | |
| | | | | | | | |
| Financials – 12.89% | | | | | | | | |
Barclays Plc, 8.25% (5 Year Swap Rate USD + 6.71%), Dec. 2048 (2) | | $ | 19,765,000 | | | | 20,082,940 | |
Barclays Plc, 7.25% (5 Year Swap Rate GBP + 6.46%), Mar. 2163 (2) | | GBP | 14,083,000 | | | | 19,073,904 | |
Lloyds Banking Group Plc, 7.00% (5 Year Swap Rate GBP + 5.06%), Jun. 2164 (2) | | | 22,450,000 | | | | 30,183,891 | |
Other Securities (1)(2)* | | | 1,373,506,848 | | | | 1,356,318,413 | |
| | | | | | | | |
Total Financials | | | | | | | 1,425,659,148 | |
| | | | | | | | |
| Industrials – 1.92% | | | | | | | | |
Various Securities (1)(2) | | $ | 215,225,905 | | | | 212,804,960 | |
| | | | | | | | |
Total Industrials | | | | | | | 212,804,960 | |
| | | | | | | | |
| Real Estate – 0.36% | | | | | | | | |
Various Securities | | | 40,514,000 | | | | 40,143,334 | |
| | | | | | | | |
Total Real Estate | | | | | | | 40,143,334 | |
| | | | | | | | |
| Technology – 1.80% | | | | | | | | |
Various Securities (1)* | | | 199,578,000 | | | | 198,533,416 | |
| | | | | | | | |
Total Technology | | | | | | | 198,533,416 | |
| | | | | | | | |
| Utilities – 1.87% | | | | | | | | |
Various Securities (1)(2)(13)* | | | 5,052,549,697 | | | | 206,753,706 | |
| | | | | | | | |
Total Utilities | | | | | | | 206,753,706 | |
| | | | | | | | |
Total Corporate Bonds | | | | | | | 3,899,659,652 | |
| | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2018 | | 25 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
June 30, 2018 (Continued)
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Government Related – 23.76% | | | | | | | | |
| Other Government Related – 2.46% | | | | | | | | |
Argentine Republic Government International Bond, 3.88%, Jan. 2022 | | EUR | 16,200,000 | | | $ | 18,067,055 | |
Other Securities (1)(2)(3)(4)(10)* | | | 68,750,753,564 | | | | 253,862,188 | |
| | | | | | | | |
Total Other Government Related | | | | | | | 271,929,243 | |
| | | | | | | | |
| U.S. Treasury – 21.30% | | | | | | | | |
U.S. Treasury Inflation Indexed Bonds, 0.13%, Apr. 2022 (8) | | $ | 20,460,890 | | | | 20,042,241 | |
U.S. Treasury Inflation Indexed Bonds, 0.50%, Jan. 2028 (8) | | | 30,136,912 | | | | 29,478,942 | |
U.S. Treasury Inflation Indexed Bonds, 0.63%, Apr. 2023 (8) | | | 22,495,358 | | | | 22,456,101 | |
U.S. Treasury Note/Bond, 1.25%, May 2019 | | | 25,000,000 | | | | 24,756,836 | |
U.S. Treasury Note/Bond, 1.38%, May 2021 | | | 19,300,000 | | | | 18,624,500 | |
U.S. Treasury Note/Bond, 1.50%, Aug. 2020 | | | 40,840,000 | | | | 39,953,006 | |
U.S. Treasury Note/Bond, 1.75%, Nov. 2020 | | | 38,865,000 | | | | 38,121,100 | |
U.S. Treasury Note/Bond, 2.00%, Jan. 2020 | | | 35,855,000 | | | | 35,584,687 | |
U.S. Treasury Note/Bond, 2.00%, May 2024 (14) | | | 58,440,000 | | | | 55,924,340 | |
U.S. Treasury Note/Bond, 2.00%, Nov. 2026 (9)(14) | | | 44,737,000 | | | | 41,911,230 | |
U.S. Treasury Note/Bond, 2.25%, Feb. 2027 (9)(14) | | | 141,695,000 | | | | 135,180,351 | |
U.S. Treasury Note/Bond, 2.38%, Aug. 2024 (9)(14) | | | 39,200,000 | | | | 38,261,344 | |
U.S. Treasury Note/Bond, 2.50%, May 2020 | | | 122,760,000 | | | | 122,697,661 | |
U.S. Treasury Note/Bond, 2.50%, Feb. 2045 (14) | | | 62,700,000 | | | | 57,108,433 | |
U.S. Treasury Note/Bond, 2.75%, Apr. 2023 | | | 59,730,000 | | | | 59,769,664 | |
U.S. Treasury Note/Bond, 2.75%, May 2023 | | | 371,495,000 | | | | 371,828,766 | |
U.S. Treasury Note/Bond, 2.75%, Feb. 2028 (14) | | | 94,900,000 | | | | 94,051,090 | |
U.S. Treasury Note/Bond, 2.75%, Aug. 2047 | | | 27,120,000 | | | | 25,851,928 | |
U.S. Treasury Note/Bond, 2.75%, Nov. 2047 | | | 47,780,000 | | | | 45,542,179 | |
U.S. Treasury Note/Bond, 2.88%, May 2025 (14) | | | 467,200,000 | | | | 468,897,249 | |
U.S. Treasury Note/Bond, 2.88%, May 2028 | | | 99,230,000 | | | | 99,385,047 | |
U.S. Treasury Note/Bond, 3.00%, May 2045 (9)(14) | | | 36,855,000 | | | | 36,962,974 | |
U.S. Treasury Note/Bond, 3.00%, Feb. 2048 (14) | | | 75,830,000 | | | | 76,007,727 | |
U.S. Treasury Note/Bond, 3.13%, May 2048 | | | 281,035,000 | | | | 288,576,838 | |
U.S. Treasury Note/Bond, 4.63%, Feb. 2040 | | | 18,930,000 | | | | 23,996,733 | |
U.S. Treasury Note/Bond, 0.75%-3.00%, Oct. 2018 – May 2047 | | | 70,560,000 | | | | 67,665,413 | |
Other Securities (8) | | | 18,144,003 | | | | 17,992,085 | |
| | | | | | | | |
Total U.S. Treasury | | | | | | | 2,356,628,465 | |
| | | | | | | | |
Total Government Related | | | | | | | 2,628,557,708 | |
| | | | | | | | |
Mortgage-Backed Obligations – 21.49% | | | | | | | | |
Alternative Loan Trust 2006-OA17, 2.28% (1 Month LIBOR USD + 0.20%, 0.20% Floor), Dec. 2046 (2) | | | 21,756,626 | | | | 18,262,696 | |
Fannie Mae, 3.00%, Jul. 2027 (5) | | | 19,400,000 | | | | 19,281,239 | |
Fannie Mae, 3.50%, Jan. 2047 | | | 32,745,201 | | | | 32,674,318 | |
Fannie Mae, 3.50%, Nov. 2047 | | | 22,081,353 | | | | 21,989,050 | |
Fannie Mae, 3.50%, Dec. 2047 | | | 20,718,781 | | | | 20,640,679 | |
Fannie Mae, 3.50%, Apr. 2048 | | | 35,148,271 | | | | 35,018,346 | |
Fannie Mae, 4.00%, Jun. 2048 | | | 29,171,024 | | | | 29,757,864 | |
Fannie Mae, 4.50%, Jul. 2041 (5) | | | 74,095,000 | | | | 77,147,077 | |
Freddie Mac, 4.50%, Jul. 2040 (5) | | | 52,120,000 | | | | 54,234,920 | |
Freddie Mac, 3.50%, Aug. 2046 | | | 39,526,224 | | | | 39,512,214 | |
Freddie Mac, 3.50%, Apr. 2047 | | | 26,955,560 | | | | 26,891,129 | |
Freddie Mac, 3.50%, Dec. 2047 | | | 22,444,730 | | | | 22,407,977 | |
Freddie Mac, 3.50%, Jan. 2048 | | | 26,584,477 | | | | 26,594,513 | |
Freddie Mac, 3.50%, Mar. 2048 | | | 92,714,754 | | | | 92,481,449 | |
Freddie Mac, 4.00%, Jun. 2048 | | | 21,400,734 | | | | 21,919,019 | |
Ginnie Mae, 3.00%, Sep. 2047 | | | 25,722,627 | | | | 25,180,762 | |
Ginnie Mae, 5.00%, Jul. 2039 (5) | | | 16,645,000 | | | | 17,469,205 | |
Fannie Mae, 2.28%-6.50%, Nov. 2022 – Aug. 2056 (5) | | | 495,260,250 | | | | 496,078,518 | |
Freddie Mac, 2.50%-8.00%, Jul. 2030 – Mar. 2048 (5) | | | 183,021,494 | | | | 181,569,536 | |
Ginnie Mae, 2.50%-5.50%, Jul. 2036 – Jun. 2048 (5) | | | 291,534,284 | | | | 296,384,305 | |
Other Securities (1)(2)(4)(13)* | | | 834,084,208 | | | | 821,934,584 | |
| | | | | | | | |
Total Mortgage-Backed Obligations | | | | | | | 2,377,429,400 | |
| | | | | | | | |
Total Bonds & Notes
(Cost: $10,469,421,392) | | | | | | | 10,359,254,556 | |
| | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| 26 | | Annual Report • June 30, 2018 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
June 30, 2018 (Continued)
| | | | | | | | |
| | | Principal
Amount | | | Value | |
BANK LOANS – 2.17% | | | | | | | | |
Various Securities (2)(10)(13)* | | $ | 243,297,855 | | | $ | 240,361,120 | |
| | | | | | | | |
Total Bank Loans
(Cost: $242,113,955) | | | | | | | 240,361,120 | |
| | | | | | | | |
| | |
| | | Shares | | | Value | |
COMMON STOCKS – 0.03% | | | | | | | | |
| Communications – 0.00% (11) | | | | | | | | |
Various Securities (6)(13) | | | 2,911,000 | | | | 9,588 | |
| | | | | | | | |
Total Communications | | | | | | | 9,588 | |
| | | | | | | | |
| Consumer, Cyclical – 0.03% | | | | | | | | |
Casears Entertainment Corp. (6) | | | 338,983 | | | | 3,627,118 | |
| | | | | | | | |
Total Common Stocks
(Cost: $4,048,657) | | | | | | | 3,636,706 | |
| | | | | | | | |
PREFERRED STOCKS – 0.12% | | | | | | | | |
| Consumer, Non-cyclical – 0.07% | | | | | | | | |
Bunge Ltd., 4.88% | | | 68,719 | | | | 7,421,652 | |
| | | | | | | | |
| Financials – 0.05% | | | | | | | | |
Wells Fargo & Co., 7.50% | | | 4,860 | | | | 6,120,976 | |
| | | | | | | | |
Total Preferred Stocks
(Cost: $13,479,469) | | | | | | | 13,542,628 | |
| | | | | | | | |
SHORT-TERM INVESTMENTS – 13.31% | | | | | | | | |
| Money Market Funds – 5.20% | | | | | | | | |
Fidelity Institutional Money Market Government Fund – Class I , 1.77% (7)(12) | | | 287,509,767 | | | | 287,509,767 | |
Goldman Sachs Financial Square Government Fund – Class I , 1.81% (7)(12) | | | 287,509,766 | | | | 287,509,766 | |
| | | | | | | | |
Total Money Market Funds | | | | | | | 575,019,533 | |
| | | | | | | | |
| | |
| | | Principal
Amount | | | Value | |
| Banker’s Acceptance – 1.28% | | | | | | | | |
BMO Bank of Montreal, 1.37%, 07/03/2018 | | CAD | 33,920,000 | | | | 25,797,158 | |
HSBC Bank, 1.51%, 07/04/2018 | | | 23,800,000 | | | | 18,099,876 | |
Other Securities | | | 128,160,000 | | | | 97,430,977 | |
| | | | | | | | |
Total Banker’s Acceptance | | | | | | | 141,328,011 | |
| | | | | | | | |
| Commercial Paper – 2.33% | | | | | | | | |
AT&T, Inc., 2.61%, 09/06/2018 | | $ | 23,790,000 | | | | 23,672,632 | |
Mckesson Corp., 2.25%, 07/09/2018 | | | 23,050,000 | | | | 23,035,498 | |
Mondelez Itnl, Inc., 2.37%, 08/17/2018 | | | 23,790,000 | | | | 23,711,735 | |
Other Securities | | | 187,750,000 | | | | 187,386,734 | |
| | | | | | | | |
Total Commercial Paper | | | | | | | 257,806,599 | |
| | | | | | | | |
| Foreign Treasury Bills – 1.00% | | | | | | | | |
Japan Treasury Discount Bill, 0.00%, Aug. 2018 | | JPY | 4,700,000,000 | | | | 42,456,348 | |
Japan Treasury Discount Bill, 0.00%, Aug. 2018 | | | 7,530,000,000 | | | | 68,025,591 | |
| | | | | | | | |
Total Foreign Treasury Bills | | | | | | | 110,481,939 | |
| | | | | | | | |
| Repurchase Agreements – 3.46% | | | | | | | | |
J.P. Morgan Securities, 2.19%, dated 06/28/2018, due 07/02/2018, repurchase price $157,328,707 (collateralized by U.S. Treasury Note value $158,888,028, 1.88%, 01/31/2022) | | $ | 157,300,000 | | | | 157,300,000 | |
Merrill Lynch Pierce Fenner & Smith, Inc., 2.10%, dated 06/29/2018, due 07/03/2018, repurchase price $188,010,967 (collateralized by U.S. Treasury Bond, value $190,258,755, 3.38%, 05/15/2044) | | | 188,000,000 | | | | 188,000,000 | |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2018 | | 27 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
June 30, 2018 (Continued)
| | | | | | | | |
| | |
| | | Principal
Amount | | | Value | |
| Repurchase Agreements – 3.46% – (continued) | | | | | | | | |
Merrill Lynch Pierce Fenner & Smith, Inc., 2.18%, dated 06/28/2018, due 07/02/2018, repurchase price $6,001,090 (collateralized by U.S. Treasury Bond, value $6,086,257, 3.00%, 05/15/2045) | | $ | 6,000,000 | | | $ | 6,000,000 | |
Merrill Lynch Pierce Fenner & Smith, Inc., 2.22%, dated 06/29/2018, due 07/02/2018, repurchase price $32,005,920 (collateralized by U.S. Treasury Note, value $32,428,843, 2.50%, 05/15/2024) | | | 32,000,000 | | | | 32,000,000 | |
| | | | | | | | |
Total Repurchase Agreements | | | | | | | 383,300,000 | |
| | | | | | | | |
| U.S. Treasury Bills – 0.04% | | | | | | | | |
U.S. Treasury Bill, 0.00%, Sep. 2018 (9) | | | 4,302,000 | | | | 4,285,665 | |
| | | | | | | | |
Total U.S. Treasury Bills | | | | | | | 4,285,665 | |
| | | | | | | | |
Total Short-Term Investments
(Cost: $1,474,578,173) | | | | | | | 1,472,221,747 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES – 109.28%
(Cost: $12,203,641,646) | | | | | | | 12,089,016,757 | |
LIABILITIES IN EXCESS OF OTHER ASSETS – (9.28)% | | | | | | | (1,026,479,026 | ) |
| | | | | | | | |
TOTAL NET ASSETS – 100.00% | | | | | | $ | 11,062,537,731 | |
| | | | | | | | |
Percentages are stated as a percent of net assets.
Principal amounts are dominated in the currency in which the security was purchased.
| * | | Includes securities whose principal amounts are denominated in a currency other than the U.S. dollar. |
| (1) | | Security or includes securities purchased exempt from registration in the U.S. pursuant to Rule 144(A) under the Securities Act of 1933. The value of these securities total $2,074,559,617, which represents 18.75% of total net assets. |
| (2) | | Variable rate security or includes variable rate securities based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2018. |
| (3) | | Step-up bond or includes step-up bonds. The rate reported is the rate in effect as of June 30, 2018. |
| (4) | | Variable rate security or includes variable rate securities. The coupon is based on an underlying pool of assets. The rate reported is the rate in effect as of June 30, 2018. |
| (5) | | Delayed delivery purchase commitment security or includes delayed delivery purchase commitment securities. The value of these securities total $209,925,204, which represents 1.90% of total net assets. |
| (6) | | Non-income producing security or includes securities that are non-income producing. |
| (7) | | Represents annualized seven-day yield as of the close of the reporting period. |
| (8) | | Inflation protected security or includes inflation protected securities. The value of these securities total $89,969,369, which represents 0.81% of total net assets. |
| (9) | | Partially assigned as collateral for certain future and swap contracts. The value of these pledged issues totals $32,639,265, which represents 0.30% of total net assets. |
| (10) | | Includes securities in default as of June 30, 2018. The value of these securities total $38,810,008, which represents 0.35% of total net assets. |
| (11) | | Amount calculated is less than 0.005%. |
| (12) | | Partially assigned as collateral for certain delayed delivery securities. |
| (13) | | Includes securities that are categorized as Level 3 per the Trust’s fair value hierarchy. These securities represent $52,011,620 or 0.47% of the Fund’s net assets. |
| (14) | | All or a portion of U.S. Treasuries purchased in a sale-buyback transaction. The value of these securities total $489,101,086, which represents 4.42% of total net assets. Cash collateral pledged for these securities totaled $3,830,000. |
The accompanying notes are an integral part of these financial statements.
| | |
| 28 | | Annual Report • June 30, 2018 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
June 30, 2018 (Continued)
Open Futures Contracts
| | | | | | | | | | | | | | | | | | | | | | |
Number of Contracts Purchased | | Reference Entity | | Counterparty | | | Settlement
Month | | | Notional
Amount | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
| 408 | | Australian 10 Year Note Future | | | Goldman Sachs | | | | Sept. 2018 | | | AUD | 52,067,590 | | | $ | 39,059,517 | | | $ | 526,895 | |
| 1,640 | | U.S. 2 Year Note Future | | | Citigroup Global Markets | | | | Sept. 2018 | | | $ | 347,176,756 | | | | 347,398,126 | | | | 221,370 | |
| 1,316 | | U.S. 2 Year Note Future | | | Goldman Sachs | | | | Sept. 2018 | | | | 278,732,960 | | | | 278,765,814 | | | | 32,854 | |
| 2,539 | | U.S. 5 Year Note Future | | | Citigroup Global Markets | | | | Sept. 2018 | | | | 287,215,807 | | | | 288,474,040 | | | | 1,258,233 | |
| 3,344 | | U.S. 10 Year Note Future | | | Goldman Sachs | | | | Sept. 2018 | | | | 400,803,011 | | | | 401,907,000 | | | | 1,103,989 | |
| 776 | | U.S. Long Bond Future | | | Goldman Sachs | | | | Sept. 2018 | | | | 121,484,782 | | | | 123,820,500 | | | | 2,335,718 | |
| 3 | | U.S. Ultra Bond Future | | | Citigroup Global Markets | | | | Sept. 2018 | | | | 470,725 | | | | 478,687 | | | | 7,962 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | 5,487,021 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Number of Contracts Sold | | Reference Entity | | Counterparty | | | Settlement
Month | | | Notional
Amount | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
| (295) | | Euro-Bobl Future | | | Citigroup Global Markets | | | | Sept. 2018 | | | EUR | (38,795,016) | | | $ | (45,532,751 | ) | | $ | (227,877 | ) |
| (83) | | U.S. 5 Year Note Future | | | Goldman Sachs | | | | Sept. 2018 | | | $ | (9,411,953) | | | | (9,430,227 | ) | | | (18,274 | ) |
| (621) | | U.S. 10 Year Note Future | | | Goldman Sachs | | | | Sept. 2018 | | | | (74,299,892) | | | | (74,636,438 | ) | | | (336,546 | ) |
| (681) | | U.S. Ultra 10 Year Note Future | | | Goldman Sachs | | | | Sept. 2018 | | | | (87,127,656) | | | | (87,327,609 | ) | | | (199,953 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | (782,650 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | 4,704,371 | |
| | | | | | | | | | | | | | | | | | | | | | |
Over-the-Counter Forward Foreign Currency Exchange Contracts
| | | | | | | | | | | | | | | | | | |
| Currency Purchased | | | Currency Sold | | | Settlement
Date | | Counterparty | | Unrealized
Appreciation/
(Depreciation) | |
| AUD | | | 1,820,000 | | | USD | | | 1,345,587 | | | 07/03/18 | | J.P. Morgan | | $ | 1,299 | |
| CAD | | | 46,200,000 | | | USD | | | 34,790,107 | | | 08/15/18 | | Morgan Stanley | | | 381,724 | |
| EUR | | | 116,024,359 | | | USD | | | 134,992,726 | | | 07/03/18 | | J.P. Morgan | | | 538,214 | |
| EUR | | | 1,116,244 | | | USD | | | 1,302,240 | | | 08/24/18 | | Citigroup Global Markets | | | 6,936 | |
| EUR | | | 375,100 | | | USD | | | 436,806 | | | 08/24/18 | | J.P. Morgan | | | 3,127 | |
| EUR | | | 6,956,896 | | | USD | | | 8,136,326 | | | 08/24/18 | | Morgan Stanley | | | 23,006 | |
| USD | | | 27,423,108 | | | AUD | | | 36,125,000 | | | 07/03/18 | | J.P. Morgan | | | 688,914 | |
| USD | | | 3,039,685 | | | BRL* | | | 10,582,000 | | | 08/02/18 | | J.P. Morgan | | | 320,472 | |
| USD | | | 1,526,412 | | | BRL* | | | 5,291,000 | | | 08/02/18 | | Morgan Stanley | | | 166,805 | |
| USD | | | 153,799,286 | | | CAD | | | 197,940,000 | | | 08/15/18 | | J.P. Morgan | | | 3,108,544 | |
| USD | | | 36,753,034 | | | CAD | | | 47,545,000 | | | 08/15/18 | | Morgan Stanley | | | 557,261 | |
| USD | | | 2,021,138 | | | CHF | | | 1,979,000 | | | 08/15/18 | | J.P. Morgan | | | 14,455 | |
| USD | | | 1,277,924 | | | CLP | | | 791,418,000 | | | 07/06/18 | | J.P. Morgan | | | 66,647 | |
| USD | | | 2,906,669 | | | CLP | | | 1,849,077,289 | | | 07/06/18 | | Morgan Stanley | | | 76,629 | |
| USD | | | 4,075,106 | | | CLP | | | 2,623,942,000 | | | 10/05/18 | | J.P. Morgan | | | 59,650 | |
| USD | | | 6,193,478 | | | COP* | | | 17,440,214,000 | | | 08/03/18 | | Goldman Sachs | | | 252,720 | |
| USD | | | 1,881,994 | | | COP* | | | 5,499,336,000 | | | 08/03/18 | | J.P. Morgan | | | 8,724 | |
| USD | | | 127,467 | | | EUR | | | 103,641 | | | 07/24/18 | | J.P. Morgan | | | 6,209 | |
| USD | | | 6,488,951 | | | EUR | | | 5,385,000 | | | 08/24/18 | | Citigroup Global Markets | | | 173,203 | |
| USD | | | 6,077,302 | | | EUR | | | 5,108,171 | | | 08/24/18 | | J.P. Morgan | | | 86,231 | |
| USD | | | 695,854 | | | EUR | | | 579,000 | | | 08/24/18 | | Merrill Lynch | | | 16,779 | |
| USD | | | 1,375,139 | | | EUR | | | 1,161,790 | | | 08/24/18 | | Morgan Stanley | | | 12,545 | |
| USD | | | 695,475 | | | EUR | | | 579,000 | | | 08/24/18 | | State Street | | | 16,400 | |
| USD | | | 137,104,935 | | | GBP | | | 102,831,000 | | | 07/03/18 | | J.P. Morgan | | | 1,370,823 | |
| USD | | | 4,642,660 | | | GBP | | | 3,499,000 | | | 07/03/18 | | Morgan Stanley | | | 24,076 | |
| USD | | | 20,871,759 | | | GBP | | | 14,811,957 | | | 07/20/18 | | J.P. Morgan | | | 1,304,683 | |
| USD | | | 2,665,308 | | | HUF | | | 670,085,000 | | | 07/13/18 | | HSBC | | | 286,997 | |
| USD | | | 2,668,014 | | | HUF | | | 670,085,000 | | | 07/13/18 | | Merrill Lynch | | | 289,703 | |
| USD | | | 19,715,637 | | | JPY | | | 2,144,100,000 | | | 07/03/18 | | J.P. Morgan | | | 344,644 | |
| USD | | | 19,469,782 | | | JPY | | | 2,144,100,000 | | | 08/02/18 | | Morgan Stanley | | | 58,352 | |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2018 | | 29 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
June 30, 2018 (Continued)
| | | | | | | | | | | | | | | | | | | | | | |
| Currency Purchased | | | Currency Sold | | | Settlement
Date | | | Counterparty | | Unrealized
Appreciation/
(Depreciation) | |
| USD | | | 43,065,036 | | | | JPY | | | | 4,700,000,000 | | | | 08/06/18 | | | J.P. Morgan | | $ | 501,586 | |
| USD | | | 69,381,738 | | | | JPY | | | | 7,530,000,000 | | | | 08/27/18 | | | J.P. Morgan | | | 1,085,230 | |
| USD | | | 905,676 | | | | MXN | | | | 17,722,000 | | | | 08/24/18 | | | Canadian Imperial Bank of Commerce | | | 21,483 | |
| USD | | | 1,816,332 | | | | MXN | | | | 35,443,000 | | | | 08/24/18 | | | Citigroup Global Markets | | | 47,996 | |
| USD | | | 907,336 | | | | MXN | | | | 17,722,000 | | | | 08/24/18 | | | Morgan Stanley | | | 23,143 | |
| USD | | | 14,313,047 | | | | NZD | | | | 20,586,000 | | | | 08/15/18 | | | J.P. Morgan | | | 369,652 | |
| USD | | | 9,065,323 | | | | PEN* | | | | 29,614,597 | | | | 07/19/18 | | | Morgan Stanley | | | 54,816 | |
| USD | | | 1,925,077 | | | | RUB* | | | | 120,777,576 | | | | 07/10/18 | | | Morgan Stanley | | | 4,153 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | Total Unrealized Appreciation | | | 12,373,831 | |
| | | | | | | | | | | | | | | | | | | | | | |
| ARS* | | | 17,398,570 | | | | USD | | | | 656,922 | | | | 07/12/18 | | | Deutsche Bank | | | (64,119 | ) |
| AUD | | | 1,388,000 | | | | USD | | | | 1,045,502 | | | | 07/03/18 | | | Deutsche Bank | | | (18,317 | ) |
| BRL* | | | 11,589,011 | | | | USD | | | | 2,992,334 | | | | 08/02/18 | | | Goldman Sachs | | | (14,354 | ) |
| BRL* | | | 4,283,989 | | | | USD | | | | 1,107,088 | | | | 08/02/18 | | | J.P. Morgan | | | (6,249 | ) |
| CAD | | | 55,000,000 | | | | USD | | | | 42,431,504 | | | | 08/15/18 | | | J.P. Morgan | | | (560,276 | ) |
| CLP | | | 2,640,495,289 | | | | USD | | | | 4,100,474 | | | | 07/06/18 | | | J.P. Morgan | | | (59,157 | ) |
| EUR | | | 1,030,949 | | | | USD | | | | 1,212,939 | | | | 08/24/18 | | | Royal Bank of Canada | | | (3,800 | ) |
| GBP | | | 1,238,000 | | | | USD | | | | 1,663,176 | | | | 07/03/18 | | | J.P. Morgan | | | (29,050 | ) |
| GBP | | | 764,000 | | | | USD | | | | 1,009,679 | | | | 07/03/18 | | | Morgan Stanley | | | (1,220 | ) |
| GBP | | | 7,072,523 | | | | USD | | | | 9,612,082 | | | | 07/20/18 | | | Citigroup Global Markets | | | (269,050 | ) |
| GBP | | | 7,739,434 | | | | USD | | | | 10,318,493 | | | | 07/20/18 | | | J.P. Morgan | | | (94,449 | ) |
| HUF | | | 167,887,595 | | | | USD | | | | 595,982 | | | | 07/13/18 | | | Citigroup Global Markets | | | (104 | ) |
| HUF | | | 409,262,008 | | | | USD | | | | 1,460,699 | | | | 07/13/18 | | | Merrill Lynch | | | (8,119 | ) |
| IDR* | | | 1,475,948,000 | | | | USD | | | | 105,050 | | | | 09/19/18 | | | J.P. Morgan | | | (3,202 | ) |
| INR* | | | 6,873,171 | | | | USD | | | | 100,286 | | | | 09/19/18 | | | J.P. Morgan | | | (956 | ) |
| JPY | | | 2,144,100,000 | | | | USD | | | | 19,429,995 | | | | 07/03/18 | | | Morgan Stanley | | | (59,002 | ) |
| MXN | | | 70,887,000 | | | | USD | | | | 3,573,168 | | | | 08/24/18 | | | HSBC | | | (36,446 | ) |
| MXN | | | 393,752,000 | | | | USD | | | | 20,189,304 | | | | 08/27/18 | | | J.P. Morgan | | | (553,858 | ) |
| RUB* | | | 120,777,576 | | | | USD | | | | 1,931,529 | | | | 07/10/18 | | | Morgan Stanley | | | (10,605 | ) |
| RUB* | | | 423,890,857 | | | | USD | | | | 6,770,608 | | | | 09/13/18 | | | J.P. Morgan | | | (74,661 | ) |
| RUB* | | | 997,881,405 | | | | USD | | | | 15,844,795 | | | | 09/13/18 | | | Morgan Stanley | | | (81,866 | ) |
| RUB* | | | 120,777,576 | | | | USD | | | | 1,906,389 | | | | 10/15/18 | | | Morgan Stanley | | | (4,262 | ) |
| TRY | | | 150,642,928 | | | | USD | | | | 32,886,077 | | | | 08/20/18 | | | Deutsche Bank | | | (842,894 | ) |
| USD | | | 29,931,327 | | | | CAD | | | | 39,350,000 | | | | 07/31/18 | | | J.P. Morgan | | | (17,710 | ) |
| USD | | | 1,482,970 | | | | CAD | | | | 1,950,000 | | | | 08/02/18 | | | J.P. Morgan | | | (1,215 | ) |
| USD | | | 32,139,931 | | | | CHF | | | | 31,823,000 | | | | 08/15/18 | | | Deutsche Bank | | | (128,213 | ) |
| USD | | | 4,256,056 | | | | EUR | | | | 3,666,000 | | | | 07/03/18 | | | J.P. Morgan | | | (26,290 | ) |
| USD | | | 131,090,183 | | | | EUR | | | | 112,358,359 | | | | 07/03/18 | | | Morgan Stanley | | | (158,411 | ) |
| USD | | | 135,918,107 | | | | EUR | | | | 116,571,359 | | | | 08/02/18 | | | J.P. Morgan | | | (563,242 | ) |
| USD | | | 137,096,173 | | | | GBP | | | | 104,328,000 | | | | 08/02/18 | | | Morgan Stanley | | | (809,276 | ) |
| USD | | | 210,503 | | | | MXN | | | | 4,408,000 | | | | 08/27/18 | | | Deutsche Bank | | | (9,313 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | Total Unrealized Depreciation | | | (4,509,686 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | Net Unrealized Appreciation | | $ | 7,864,145 | |
| | | | | | | | | | | | | | | | | | | | | | |
| * | | Non-deliverable forward (See Note 3). |
The accompanying notes are an integral part of these financial statements.
| | |
| 30 | | Annual Report • June 30, 2018 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
June 30, 2018 (Continued)
Centrally Cleared Credit Default Swaps – Buy Protection
| | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Entity | | Fixed Annual Rate Paid by Fund | | Maturity
Date | | Implied Credit
Spread at
June 30,
2018 | | | Notional
Amount | | | Upfront
Premium
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Value | |
| CDX HY CDSI S30 | | 5.00% | | 06/20/2023 | | | 3.28 | % | | $ | 49,500,000 | | | $ | (3,257,473 | ) | | $ | 369,998 | | | $ | (2,887,475 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | $ | 49,500,000 | | | $ | (3,257,473 | ) | | $ | 369,998 | | | $ | (2,887,475 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Centrally Cleared Credit Default Swaps – Sell Protection
| | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Entity | | Fixed Annual Rate Received by Fund | | Maturity
Date | | Implied Credit
Spread at
June 30,
2018 | | | Notional
Amount | | | Upfront
Premium
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Value | |
| Ally Financial, Inc. | | 5.00% | | 06/20/2022 | | | 1.02 | % | | $ | 2,750,000 | | | $ | 305,522 | | | $ | 96,574 | | | $ | 402,096 | |
| CDX.EM.28 | | 1.00% | | 12/20/2022 | | | 1.70 | % | | | 9,894,000 | | | | (352,256 | ) | | | 84,998 | | | | (267,258 | ) |
| CDX.EM.29 | | 1.00% | | 06/20/2023 | | | 1.91 | % | | | 13,400,000 | | | | (256,571 | ) | | | (275,342 | ) | | | (531,913 | ) |
| Deutsche Bank | | 1.00% | | 12/20/2018 | | | 1.02 | % | | | 10,700,000 | | | | 23,169 | | | | (24,430 | ) | | | (1,261 | ) |
| Deutsche Bank | | 1.00% | | 06/20/2019 | | | 1.17 | % | | | 3,400,000 | | | | (9,777 | ) | | | 3,093 | | | | (6,684 | ) |
| Navient Corporation | | 5.00% | | 12/20/2022 | | | 2.92 | % | | | 8,800,000 | | | | 544,024 | | | | 274,131 | | | | 818,155 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | $ | 48,944,000 | | | $ | 254,111 | | | $ | 159,024 | | | $ | 413,135 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Over-the-Counter Credit Default Swaps – Sell Protection
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Reference Entity | | Fixed Annual
Rate Received by Fund | | Maturity
Date | | | Implied Credit
Spread at
June 30,
2018 | | | Notional
Amount | | | Upfront
Premium
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Value | |
Deutsche
Bank | | CMBX.NA.AAA.10 | | 0.50% | | | 11/17/2059 | | | | 0.49 | % | | $ | 16,450,000 | | | $ | (279,074 | ) | | $ | 204,795 | | | $ | (74,279 | ) |
Deutsche
Bank | | United Mexican
States | | 1.00% | | | 12/20/2022 | | | | 1.18 | % | | | 22,700,000 | | | | (60,498 | ) | | | (141,985 | ) | | | (202,483 | ) |
| J.P. Morgan | | United Mexican
States | | 1.00% | | | 12/20/2022 | | | | 1.18 | % | | | 4,400,000 | | | | 4,571 | | | | (43,819 | ) | | | (39,248 | ) |
Morgan
Stanley | | United Mexican
States | | 1.00% | | | 12/20/2022 | | | | 1.18 | % | | | 8,500,000 | | | | 8,830 | | | | (84,650 | ) | | | (75,820 | ) |
Goldman
Sachs | | United Mexican
States | | 1.00% | | | 06/20/2023 | | | | 1.32 | % | | | 1,900,000 | | | | (17,075 | ) | | | (12,015 | ) | | | (29,090 | ) |
Goldman
Sachs | | Russia Emerging
Markets SPMYC | | 1.00% | | | 12/20/2022 | | | | 1.30 | % | | | 1,500,000 | | | | (27,936 | ) | | | 7,745 | | | | (20,191 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | 55,450,000 | | | $ | (371,182 | ) | | $ | (69,929 | ) | | $ | (441,111 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2018 | | 31 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
June 30, 2018 (Continued)
Centrally Cleared Interest Rate Swaps
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Fixed Annual Rate | | Floating Rate
Index | | | Floating Rate
Paid or
Received | | | Payment
Frequency | | | Maturity
Date | | | Notional
Amount | | | Upfront
Premium
Paid /
(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Value | |
| 3.00% | |
| 6 Month AUD
BBSW |
| | | Paid | | | | Semi-Annual | | | | 03/21/2027 | | | AUD | 109,400,000 | | | $ | 767,350 | | | $ | 856,259 | | | $ | 1,623,609 | |
| 1.25% | |
| 6 Month
EURIBOR |
| | | Received | | | | Semi-Annual | | | | 09/19/2028 | | | EUR | 16,100,000 | | | | (219,672 | ) | | | (392,998 | ) | | | (612,670 | ) |
| 1.50% | |
| 6 Month GBP
LIBOR |
| | | Received | | | | Semi-Annual | | | | 09/19/2028 | | | GBP | 18,700,000 | | | | 418,335 | | | | (308,275 | ) | | | 110,060 | |
| 2.50% | | | 3 Month LIBOR | | | | Paid | | | | Quarterly | | | | 12/20/2024 | | | $ | 84,500,000 | | | | 1,379,419 | | | | (3,334,888 | ) | | | (1,955,469 | ) |
| 2.50% | | | 3 Month LIBOR | | | | Paid | | | | Quarterly | | | | 12/20/2027 | | | | 94,300,000 | | | | 2,131,299 | | | | (5,678,844 | ) | | | (3,547,545 | ) |
| 2.50% | | | 3 Month LIBOR | | | | Paid | | | | Quarterly | | | | 12/20/2027 | | | | 46,000,000 | | | | 698,999 | | | | (2,308,499 | ) | | | (1,609,500 | ) |
| 7.88% | |
| Mexico Interbank
TIIE 28 Day |
| | | Paid | | | | Lunar | | | | 12/16/2022 | | | MXN | 2,000,000 | | | | — | | | | (29 | ) | | | (29 | ) |
| 7.87% | |
| Mexico Interbank
TIIE 28 Day |
| | | Paid | | | | Lunar | | | | 12/27/2022 | | | | 3,400,000 | | | | — | | | | (101 | ) | | | (101 | ) |
| 7.88% | |
| Mexico Interbank
TIIE 28 Day |
| | | Paid | | | | Lunar | | | | 12/27/2022 | | | | 36,000,000 | | | | 14,608 | | | | (14,631 | ) | | | (23 | ) |
| 7.75% | |
| Mexico Interbank
TIIE 28 Day |
| | | Paid | | | | Lunar | | | | 01/05/2023 | | | | 1,400,000 | | | | — | | | | (376 | ) | | | (376 | ) |
| 7.61% | |
| Mexico Interbank
TIIE 28 Day |
| | | Paid | | | | Lunar | | | | 01/23/2023 | | | | 5,100,000 | | | | (1,960 | ) | | | (741 | ) | | | (2,701 | ) |
| 7.81% | |
| Mexico Interbank
TIIE 28 Day |
| | | Paid | | | | Lunar | | | | 02/06/2023 | | | | 2,800,000 | | | | — | | | | (415 | ) | | | (415 | ) |
| 7.82% | |
| Mexico Interbank
TIIE 28 Day |
| | | Paid | | | | Lunar | | | | 02/06/2023 | | | | 2,800,000 | | | | (537 | ) | | | 205 | | | | (332 | ) |
| 7.15% | |
| Mexico Interbank
TIIE 28 Day |
| | | Paid | | | | Lunar | | | | 06/11/2027 | | | | 25,800,000 | | | | (21,648 | ) | | | (52,306 | ) | | | (73,954 | ) |
| 7.37% | |
| Mexico Interbank
TIIE 28 Day |
| | | Paid | | | | Lunar | | | | 10/11/2027 | | | | 40,300,000 | | | | (2,350 | ) | | | (87,971 | ) | | | (90,321 | ) |
| 7.98% | |
| Mexico Interbank
TIIE 28 Day |
| | | Received | | | | Lunar | | | | 12/10/2027 | | | | 3,300,000 | | | | (26 | ) | | | 541 | | | | 515 | |
| 7.99% | |
| Mexico Interbank
TIIE 28 Day |
| | | Received | | | | Lunar | | | | 12/21/2027 | | | | 100,000 | | | | — | | | | 14 | | | | 14 | |
| 8.01% | |
| Mexico Interbank
TIIE 28 Day |
| | | Received | | | | Lunar | | | | 12/21/2027 | | | | 20,200,000 | | | | (10,517 | ) | | | 12,221 | | | | 1,704 | |
| 7.91% | |
| Mexico Interbank
TIIE 28 Day |
| | | Received | | | | Lunar | | | | 12/30/2027 | | | | 800,000 | | | | — | | | | 340 | | | | 340 | |
| 8.03% | |
| Mexico Interbank
TIIE 28 Day |
| | | Received | | | | Lunar | | | | 01/31/2028 | | | | 1,600,000 | | | | 15 | | | | 13 | | | | 28 | |
| 8.05% | |
| Mexico Interbank
TIIE 28 Day |
| | | Received | | | | Lunar | | | | 01/31/2028 | | | | 2,400,000 | | | | 718 | | | | (845 | ) | | | (127 | ) |
| 7.38% | |
| Mexico Interbank
TIIE 28 Day |
| | | Received | | | | Lunar | | | | 08/14/2037 | | | | 1,300,000 | | | | 5,028 | | | | 1,070 | | | | 6,098 | |
| 7.36% | |
| Mexico Interbank
TIIE 28 Day |
| | | Received | | | | Lunar | | | | 08/21/2037 | | | | 900,000 | | | | 3,559 | | | | 760 | | | | 4,319 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | $ | 5,162,620 | | | $ | (11,309,496 | ) | | $ | (6,146,876 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Over-the-Counter Total Return Swap Contracts – Purchased
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Reference Entity | | Floating Rate
Paid by
Fund | | | Payment
Fequency | | | Maturity
Date | | | Notional
Amount | | | Upfront
Premium
Received /
(Paid) | | | Unrealized
Appreciation /
(Depreciation) | | | Value | |
| J.P.Morgan | | IBOXX USD Liquid High Yield Index Series 1 | |
| 3-Month LIBOR
Paid |
| | | Quarterly | | | | 09/20/2018 | | | $ | 20,000,000 | | | $ | — | | | $ | (139,210 | ) | | $ | (139,210 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | — | | | $ | (139,210 | ) | | $ | (139,210 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| 32 | | Annual Report • June 30, 2018 |
Bridge Builder Municipal Bond Fund
Summary Schedule of Investments
June 30, 2018
| | | | | | | | |
| | | Principal
Amount | | | Value | |
| | | | | | | | |
MUNICIPAL BONDS – 97.68% | | | | | | | | |
| Education – 11.08% | | | | | | | | |
Connecticut State Health & Educational Facility Authority, 1.00%, Jul. 2042 (1) | | $ | 28,000,000 | | | $ | 27,843,200 | |
Palm Beach County School District, 5.00%, Aug. 2029 | | | 8,000,000 | | | | 9,512,720 | |
School Board of Miami-Dade County, 5.00%, Feb. 2029 | | | 8,000,000 | | | | 9,065,520 | |
School Board of Miami-Dade County, 5.00%, May 2031 (1) | | | 10,000,000 | | | | 11,283,250 | |
State Public School Building Authority, 5.00%, Dec. 2022 | | | 7,370,000 | | | | 8,160,875 | |
University of Akron/The, 5.00%, Jan. 2037 | | | 6,675,000 | | | | 7,471,661 | |
Virginia Public School Authority, 5.00%, Aug. 2022 | | | 6,780,000 | | | | 7,587,036 | |
Connecticut State Health & Educational Facilities Authority, 1.80%-5.00%, Jul. 2018-Jul. 2049 (1)(5) | | | 14,775,000 | | | | 14,866,204 | |
Illinois Finance Authority, 5.00%, Aug. 2021-Aug. 2049 (5) | | | 3,180,000 | | | | 3,549,830 | |
New York State Dormitory Authority, 5.00%, Oct. 2028-Oct. 2030 (5) | | | 5,075,000 | | | | 5,996,144 | |
Other Securities (1)(2) | | | 257,420,000 | | | | 279,530,679 | |
| | | | | | | | |
Total Education | | | | | | | 384,867,119 | |
| | | | | | | | |
| General Obligation – 24.64% | | | | | | | | |
Alamo Community College District, 3.00%, Aug. 2021 | | | 7,695,000 | | | | 7,947,550 | |
City of New York NY, 5.00%, Aug. 2028 | | | 10,350,000 | | | | 12,044,963 | |
Clark County School District, 5.00%, Jun. 2025 | | | 6,060,000 | | | | 6,941,912 | |
Commonwealth of Massachusetts, 1.05%, Aug. 2043 (1) | | | 10,515,000 | | | | 10,357,065 | |
Commonwealth of Pennsylvania, 5.00%, Mar. 2023 | | | 9,970,000 | | | | 11,105,882 | |
County of Broome NY, 3.00%, May 2019 | | | 8,000,000 | | | | 8,086,560 | |
County of Pima AZ, 4.00%, Jul. 2022 | | | 13,160,000 | | | | 14,160,292 | |
County of Suffolk NY, 2.25%, Sep. 2018 | | | 8,700,000 | | | | 8,713,746 | |
Dallas County Community College District, 5.00%, Feb. 2021 | | | 7,610,000 | | | | 8,223,442 | |
Dallas County Community College District, 5.00%, Feb. 2022 | | | 7,665,000 | | | | 8,480,249 | |
Houston Independent School District, 2.40%, Jun. 2030 (1) | | | 7,000,000 | | | | 7,049,070 | |
State of Connecticut, 5.00%, Aug. 2019 | | | 20,380,000 | | | | 21,057,228 | |
State of Illinois, 5.00%, Nov. 2026 | | | 8,000,000 | | | | 8,514,800 | |
State of Maryland, 5.00%, Aug. 2025 | | | 9,000,000 | | | | 10,578,690 | |
State of Washington, 5.00%, Aug. 2033 | | | 7,550,000 | | | | 8,833,576 | |
City of New York NY, 1.46%-5.00%, Aug. 2018-Apr. 2042 (1) | | | 28,965,000 | | | | 31,365,647 | |
State of Illinois, 4.00%-5.50%, Aug. 2018-Jul. 2038 (5) | | | 37,955,000 | | | | 39,765,128 | |
State of Texas, 2.00%-5.50%, Aug. 2018-Aug. 2032 (1) | | | 20,045,000 | | | | 21,859,374 | |
Other Securities (1)(2)(3)(6) | | | 558,855,800 | | | | 611,082,561 | |
| | | | | | | | |
Total General Obligation | | | | | | | 856,167,735 | |
| | | | | | | | |
| General Revenue – 22.64% | | | | | | | | |
Industrial Development Board of the City of Mobile Alabama, 1.63%, Jul. 2034 (1) | | | 11,900,000 | | | | 11,898,453 | |
Louisiana Public Facilities Authority, 5.00%, Jun. 2021 | | | 7,695,000 | | | | 8,335,455 | |
Main Street Natural Gas, Inc., 4.00%, Apr. 2048 (1) | | | 10,000,000 | | | | 10,696,800 | |
Main Street Natural Gas, Inc., 4.00%, Aug. 2048 (1) | | | 9,360,000 | | | | 10,016,885 | |
New York State Urban Development Corp., 5.00%, Mar. 2032 | | | 9,500,000 | | | | 11,133,905 | |
Southeast Alabama Gas Supply District/The, 4.00%, Jun. 2049 (1) | | | 9,825,000 | | | | 10,467,260 | |
State of Texas, 4.00%, Aug. 2018 | | | 15,600,000 | | | | 15,664,740 | |
Tennessee Energy Acquisition Corp., 4.00%, May 2048 (1) | | | 8,860,000 | | | | 9,435,723 | |
Texas Municipal Gas Acquisition & Supply Corp. I, 6.25%, Dec. 2026 | | | 8,685,000 | | | | 10,109,427 | |
Illinois Finance Authority, 4.00%-8.00%, May 2023-May 2047 (5) | | | 4,985,000 | | | | 5,448,572 | |
Indiana Finance Authority, 1.75%-6.00%, Dec. 2026-Jan. 2051 (1)(5) | | | 20,450,000 | | | | 22,503,091 | |
Metropolitan Transportation Authority, 1.96% (SIFMA Municipal Swap Index + 0.45%), Nov. 2026 (3)(5) | | | 2,955,000 | | | | 2,975,360 | |
New York State Dormitory Authority, 5.00%-5.25%, Mar. 2019-Mar. 2033 (5) | | | 19,000,000 | | | | 21,433,155 | |
State of Illinois, 4.00%-5.00%, Jun. 2019-Jun. 2025 (5) | | | 9,550,000 | | | | 10,235,458 | |
Other Securities (1)(2)(3)(6) | | | 599,476,000 | | | | 626,261,359 | |
| | | | | | | | |
Total General Revenue | | | | | | | 786,615,643 | |
| | | | | | | | |
| Healthcare – 15.50% | | | | | | | | |
Arizona Health Facilities Authority, 1.55%, Jul. 2035 (1) | | | 10,000,000 | | | | 10,000,000 | |
Illinois Finance Authority, 1.52%, Jul. 2032 (1) | | | 9,015,000 | | | | 9,015,000 | |
Illinois Finance Authority, 1.55%, Nov. 2038 (1) | | | 8,000,000 | | | | 8,000,000 | |
Illinois Finance Authority, 5.00%, Jul. 2057 (1) | | | 10,905,000 | | | | 12,197,461 | |
Michigan State Hospital Finance Authority, 4.00%, Nov. 2047 (1) | | | 14,255,000 | | | | 15,369,362 | |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2018 | | 33 |
Bridge Builder Municipal Bond Fund
Summary Schedule of Investments
June 30, 2018 (Continued)
| | | | | | | | |
| | | Principal
Amount | | | Value | |
| | | | | | | | |
| Healthcare – 15.50% – (continued) | | | | | | | | |
Wisconsin Health & Educational Facilities Authority, 1.55%, Aug. 2034 (1) | | $ | 9,000,000 | | | $ | 9,000,000 | |
Wisconsin Health & Educational Facilities Authority, 4.00%, Nov. 2043 (1) | | | 7,275,000 | | | | 7,415,844 | |
Connecticut State Health & Educational Facility Authority, 4.00%-5.00%, Jul. 2043-Jul. 2046 (5) | | | 2,630,000 | | | | 2,727,678 | |
Illinois Finance Authority, 1.75%-5.25%, Feb. 2022-May 2054 (1)(5) | | | 52,995,000 | | | | 57,880,820 | |
Indiana Finance Authority, 5.00%, Sep. 2019-Sep. 2036 (5) | | | 9,690,000 | | | | 10,922,043 | |
New York State Dormitory Authority, 4.00%-5.00%, Dec. 2018-Jul. 2025 (2)(5) | | | 7,820,000 | | | | 8,773,063 | |
Other Securities (1)(2)(3)(6) | | | 359,641,250 | | | | 386,997,413 | |
| | | | | | | | |
Total Healthcare | | | | | | | 538,298,684 | |
| | | | | | | | |
| Housing – 2.40% | | | | | | | | |
Augusta Housing Authority, 1.87%, Jun. 2019 (1) | | | 11,000,000 | | | | 11,000,000 | |
Macon-Bibb County Housing Authority, 2.04%, Apr. 2021 (1) | | | 15,000,000 | | | | 14,992,200 | |
Other Securities (1)(2) | | | 56,875,000 | | | | 57,441,768 | |
| | | | | | | | |
Total Housing | | | | | | | 83,433,968 | |
| | | | | | | | |
| Transportation – 14.05% | | | | | | | | |
Chicago Transit Authority, 5.00%, Jun. 2026 | | | 8,435,000 | | | | 9,583,172 | |
Grand Parkway Transportation Corp., 5.00%, Oct. 2052 (1) | | | 7,610,000 | | | | 8,591,309 | |
Illinois State Toll Highway Authority, 5.00%, Jan. 2041 | | | 7,000,000 | | | | 7,856,310 | |
Metropolitan Transportation Authority, 4.00%, Feb. 2019 | | | 15,700,000 | | | | 15,938,012 | |
New York State Thruway Authority, 5.00%, May 2019 | | | 18,800,000 | | | | 19,337,304 | |
Virginia Small Business Financing Authority, 5.00%, Jan. 2040 | | | 6,605,000 | | | | 6,981,683 | |
Indiana Finance Authority, 5.00%, Dec. 2024 (5) | | | 3,000,000 | | | | 3,487,980 | |
Metropolitan Transportation Authority, 0.00%-5.00%, Aug. 2019-Nov. 2045 (1)(5) | | | 18,710,000 | | | | 19,276,286 | |
Other Securities (1)(3) | | | 360,655,000 | | | | 397,020,709 | |
| | | | | | | | |
Total Transportation | | | | | | | 488,072,765 | |
| | | | | | | | |
| Utilities – 7.37% | | | | | | | | |
City of Houston TX Combined Utility System Revenue, 1.51%, May 2034 (1) | | | 10,000,000 | | | | 10,000,000 | |
County of King WA Sewer Revenue, 1.40%, Jan. 2032 (1) | | | 8,250,000 | | | | 8,250,000 | |
County of Pima AZ Sewer System Revenue, 5.00%, Jul. 2022 | | | 10,000,000 | | | | 11,142,100 | |
New York City Water & Sewer System, 5.00%, Jun. 2031 | | | 6,075,000 | | | | 6,963,226 | |
Illinois Finance Authority, 5.00%, Jul. 2022-Jul. 2031 (5) | | | 4,070,000 | | | | 4,685,205 | |
Other Securities (1)(6) | | | 196,895,000 | | | | 215,071,035 | |
| | | | | | | | |
Total Utilities | | | | | | | 256,111,566 | |
| | | | | | | | |
Total Municipal Bonds
(Cost: $3,394,332,677) | | | | | | | 3,393,567,480 | |
| | | | | | | | |
| | |
| | | Shares | | | Value | |
SHORT-TERM INVESTMENTS – 1.35% | | | | | | | | |
| Money Market Funds – 1.35% | | | | | | | | |
Fidelity Institutional Money Market Government Fund – Class I, 1.77% (4) | | | 23,519,319 | | | | 23,519,319 | |
Goldman Sachs Financial Square Government Fund – Class I, 1.81% (4) | | | 23,519,319 | | | | 23,519,319 | |
| | | | | | | | |
Total Money Market Funds | | | | | | | 47,038,638 | |
| | | | | | | | |
Total Short-Term Investments
(Cost: $47,038,638) | | | | | | | 47,038,638 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES – 99.03%
(Cost: $3,441,371,315) | | | | | | | 3,440,606,118 | |
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.97% | | | | | | | 33,710,271 | |
| | | | | | | | |
TOTAL NET ASSETS – 100.00% | | | | | | $ | 3,474,316,389 | |
| | | | | | | | |
Percentages are stated as a percent of net assets.
| (1) | Variable rate security or includes variable rate securities. The coupon is based on an underlying pool of assets. The rate reported is the rate in effect as of June 30, 2018. |
| (2) | Includes securities purchased exempt from registration in the U.S. pursuant to Rule 144(A) under the Securities Act of 1933. The value of these securities total $65,358,221, which represents 1.88% of total net assets. |
The accompanying notes are an integral part of these financial statements.
| | |
| 34 | | Annual Report • June 30, 2018 |
Bridge Builder Municipal Bond Fund
Summary Schedule of Investments
June 30, 2018 (Continued)
| (3) | Variable rate security or includes variable rate securities based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2018. |
| (4) | Represents annualized seven-day yield as of the close of the reporting period. |
| (5) | Issuer includes securities in multiple categories. The market value of the issuer as a whole is greater than 1% of the Fund’s total net assets. |
| (6) | Includes securities that are categorized as Level 3 per the Trust’s fair value hierarchy. These securities represent $14,237,694 or 0.41% of the Fund’s net assets. |
| | | | |
State/U.S. Territory | | Percentage of
Net Assets | |
Alabama | | | 1.09 | % |
Alaska | | | 0.22 | |
Arizona | | | 2.26 | |
Arkansas | | | 0.03 | |
California | | | 3.90 | |
Colorado | | | 1.76 | |
Connecticut | | | 3.45 | |
Delaware | | | 0.24 | |
District of Columbia | | | 1.06 | |
Florida | | | 6.45 | |
Georgia | | | 2.97 | |
Guam | | | 0.05 | |
Hawaii | | | 0.37 | |
Idaho | | | 0.19 | |
Illinois | | | 10.32 | |
Indiana | | | 1.83 | |
Iowa | | | 0.19 | |
Kansas | | | 0.11 | |
Kentucky | | | 1.07 | |
Louisiana | | | 1.08 | |
Maine | | | 0.17 | |
Maryland | | | 3.34 | |
Massachusetts | | | 2.03 | |
Michigan | | | 3.49 | |
Minnesota | | | 1.17 | |
Mississippi | | | 0.39 | |
Missouri | | | 0.70 | |
Montana | | | 0.04 | |
Nebraska | | | 0.17 | |
Nevada | | | 0.97 | |
| | | | |
State/U.S. Territory (Continued) | | Percentage of
Net Assets | |
New Hampshire | | | 0.40 | % |
New Jersey | | | 3.03 | |
New Mexico | | | 0.24 | |
New York | | | 9.67 | |
North Carolina | | | 2.20 | |
Ohio | | | 1.73 | |
Oklahoma | | | 0.95 | |
Oregon | | | 0.39 | |
Pennsylvania | | | 5.63 | |
Puerto Rico | | | 0.11 | |
Rhode Island | | | 0.31 | |
South Carolina | | | 0.92 | |
South Dakota | | | 0.14 | |
Tennessee | | | 1.42 | |
Texas | | | 11.13 | |
U.S. Virgin Islands | | | 0.09 | |
Utah | | | 0.24 | |
Vermont | | | 0.12 | |
Virginia | | | 3.73 | |
Washington | | | 2.32 | |
West Virginia | | | 0.14 | |
Wisconsin | | | 1.66 | |
| | | | |
Total Municipal Bonds | | | 97.68 | |
| | | | |
SHORT-TERM INVESTMENTS | | | 1.35 | |
| | | | |
TOTAL INVESTMENTS IN SECURITIES | | | 99.03 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | | | 0.97 | |
| | | | |
TOTAL NET ASSETS | | | 100.00 | % |
| | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2018 | | 35 |
Bridge Builder Large Cap Growth Fund
Summary Schedule of Investments
June 30, 2018
| | | | | | | | |
| | | Shares | | | Value | |
COMMON STOCKS – 96.19% | | | | | |
| Consumer Discretionary – 19.51% | | | | | |
Amazon.com, Inc. (1) | | | 107,688 | | | $ | 183,048,062 | |
Booking Holdings, Inc. (1) | | | 40,657 | | | | 82,415,398 | |
Lowes Companies, Inc. | | | 1,330,266 | | | | 127,133,522 | |
McDonald’s Corp. | | | 452,296 | | | | 70,870,260 | |
Netflix, Inc. (1) | | | 174,959 | | | | 68,484,201 | |
Nike, Inc. | | | 1,069,410 | | | | 85,210,589 | |
Starbucks Corp. | | | 1,942,960 | | | | 94,913,596 | |
TJX Companies, Inc. | | | 776,482 | | | | 73,905,557 | |
Ulta Beauty, Inc. (1) | | | 242,111 | | | | 56,523,234 | |
Walt Disney Co. | | | 776,626 | | | | 81,398,171 | |
Yum! Brands, Inc. | | | 1,003,480 | | | | 78,492,206 | |
Other Securities (1) | | | 1,346,674 | | | | 194,574,145 | |
| | | | | | | | |
Total Consumer Discretionary | | | | 1,196,968,941 | |
| | | | | | | | |
| Consumer Staples – 5.06% | | | | | | | | |
Coca Cola Co. | | | 1,604,441 | | | | 70,370,782 | |
Lauder Estee Companies, Inc. | | | 459,558 | | | | 65,574,331 | |
Mondelez International, Inc. | | | 1,586,959 | | | | 65,065,319 | |
Other Securities (1) | | | 1,133,089 | | | | 109,335,296 | |
| | | | | | | | |
Total Consumer Staples | | | | 310,345,728 | |
| | | | | | | | |
| Energy – 5.07% | | | | | | | | |
EOG Resources, Inc. | | | 347,873 | | | | 43,285,837 | |
Schlumberger Ltd. | | | 1,798,809 | | | | 120,574,167 | |
Other Securities (1) | | | 1,808,704 | | | | 147,080,649 | |
| | | | | | | | |
Total Energy | | | | 310,940,653 | |
| | | | | | | | |
| Financials – 6.72% | | | | | | | | |
Citizens Financial Group, Inc. | | | 1,110,715 | | | | 43,206,813 | |
Intercontinental Exchange, Inc. | | | 794,995 | | | | 58,471,882 | |
SunTrust Banks, Inc. | | | 851,025 | | | | 56,184,671 | |
Other Securities (1) | | | 4,788,738 | | | | 254,704,992 | |
| | | | | | | | |
Total Financials | | | | 412,568,358 | |
| | | | | | | | |
| Healthcare – 12.78% | | | | | | | | |
Becton Dickinson and Co. | | | 283,312 | | | | 67,870,223 | |
Johnson & Johnson | | | 603,150 | | | | 73,186,221 | |
Medtronic Plc | | | 777,925 | | | | 66,598,159 | |
Novo Nordisk A/S – ADR | | | 1,401,552 | | | | 64,639,578 | |
Pfizer, Inc. | | | 1,565,150 | | | | 56,783,642 | |
Regeneron Pharmaceuticals, Inc. (1) | | | 211,917 | | | | 73,109,246 | |
UnitedHealth Group, Inc. | | | 393,034 | | | | 96,426,962 | |
Other Securities (1) | | | 2,384,096 | | | | 285,415,402 | |
| | | | | | | | |
Total Healthcare | | | | 784,029,433 | |
| | | | | | | | |
| Industrials – 7.05% | | | | | | | | |
Boeing Co. | | | 137,887 | | | | 46,262,467 | |
Honeywell International, Inc. | | | 299,664 | | | | 43,166,599 | |
United Technologies Corp. | | | 412,465 | | | | 51,570,499 | |
Other Securities (1) | | | 2,937,749 | | | | 291,775,135 | |
| | | | | | | | |
Total Industrials | | | | 432,774,700 | |
| | | | | | | | |
| Information Technology – 35.63% | | | | | | | | |
Adobe Systems, Inc. (1) | | | 193,861 | | | | 47,265,250 | |
Alibaba Group Holding Ltd. – ADR (1) | | | 290,384 | | | | 53,874,944 | |
Alliance Data Systems Corp. | | | 277,533 | | | | 64,720,696 | |
Alphabet, Inc. – Class A (1) | | | 141,210 | | | | 159,452,920 | |
Alphabet, Inc. – Class C (1) | | | 116,658 | | | | 130,149,498 | |
Apple, Inc. | | | 1,048,067 | | | | 194,007,682 | |
Autodesk, Inc. (1) | | | 646,891 | | | | 84,800,941 | |
| | | | | | | | |
| | | Shares | | | Value | |
Automatic Data Processing, Inc. | | | 522,514 | | | $ | 70,090,028 | |
Cisco Systems, Inc. | | | 1,278,068 | | | | 54,995,266 | |
DXC Technology Co. | | | 545,435 | | | | 43,967,515 | |
Facebook, Inc. (1) | | | 347,034 | | | | 67,435,647 | |
FleetCor Technologies, Inc. (1) | | | 431,843 | | | | 90,967,728 | |
Microsoft Corp. | | | 2,509,287 | | | | 247,440,791 | |
Red Hat, Inc. (1) | | | 685,494 | | | | 92,109,829 | |
Salesforce.com, Inc. (1) | | | 815,133 | | | | 111,184,141 | |
SAP SE – ADR | | | 555,889 | | | | 64,294,122 | |
Tencent Holdings Ltd. – ADR | | | 944,126 | | | | 47,442,332 | |
Visa, Inc. | | | 1,294,730 | | | | 171,486,989 | |
Other Securities (1) | | | 4,201,955 | | | | 390,846,241 | |
| | | | | | | | |
Total Information Technology | | | | 2,186,532,560 | |
| | | | | | | | |
| Materials – 2.20% | | | | | | | | |
Ecolab, Inc. | | | 585,137 | | | | 82,112,275 | |
Praxair, Inc. | | | 282,781 | | | | 44,721,815 | |
Other Securities (1) | | | 90,179 | | | | 8,238,330 | |
| | | | | | | | |
Total Materials | | | | 135,072,420 | |
| | | | | | | | |
| Real Estate – 2.15% | | | | | | | | |
Equinix, Inc. | | | 210,301 | | | | 90,406,297 | |
Other Securities (1) | | | 551,676 | | | | 41,719,483 | |
| | | | | | | | |
Total Real Estate | | | | 132,125,780 | |
| | | | | | | | |
| Telecommunication Services – 0.02% | | | | | |
Various Securities (1) | | | 22,220 | | | | 1,143,754 | |
| | | | | | | | |
Total Telecommunication Services | | | | 1,143,754 | |
| | | | | | | | |
Total Common Stocks
(Cost: $4,823,228,454) | | | | 5,902,502,327 | |
| | | | | | | | |
RIGHTS – 0.00% (2) | | | | | | | | |
| Consumer Staples – 0.00% (2) | | | | | | | | |
Herbalife Ltd., expires 8/21/2019 –
CVR (1)(4) | | | 93,853 | | | | — | |
| | | | | | | | |
Total Rights
(Cost: $0) | | | | — | |
| | | | | | | | |
SHORT-TERM INVESTMENTS – 3.09% | |
| Money Market Funds – 3.09% | | | | | | | | |
Goldman Sachs Financial Square Government Fund – Class I, 1.81% (3) | | | 94,819,233 | | | | 94,819,233 | |
JPMorgan U.S. Government Money Market Fund – Class I, 1.79% (3) | | | 94,819,234 | | | | 94,819,234 | |
| | | | | | | | |
Total Short-Term Investments
(Cost: $189,638,467) | | | | 189,638,467 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES – 99.28%
(Cost: $5,012,866,921) | | | | 6,092,140,794 | |
| OTHER ASSETS IN EXCESS OF LIABILITIES – 0.72% | | | | 43,945,750 | |
| | | | | | | | |
| TOTAL NET ASSETS – 100.00% | | | $ | 6,136,086,544 | |
| | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| 36 | | Annual Report • June 30, 2018 |
Bridge Builder Large Cap Growth Fund
Summary Schedule of Investments
June 30, 2018 (Continued)
Percentages are stated as a percent of net assets.
ADR American Depositary Receipt
CVR Contingent Value Right
| (1) | Non-income producing security or includes securities that are non-income producing. |
| (2) | Amount calculated is less than 0.005%. |
| (3) | Represents annualized seven-day yield as of the close of the reporting period. |
| (4) | Security is categorized as Level 3 per the Trust’s fair value hierarchy. This security represents $0 or 0.00% of the Fund’s net assets. |
The sector classifications listed above are in accordance with Global Industry Classification Standards (GICS), which was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor’s Financial Services LLC (“S&P”).
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2018 | | 37 |
Bridge Builder Large Cap Value Fund
Summary Schedule of Investments
June 30, 2018
| | | | | | | | |
| | | Shares | | | Value | |
COMMON STOCKS – 95.50% | | | | | |
| Consumer Discretionary – 13.60% | | | | | |
CBS Corp. | | | 889,553 | | | $ | 50,010,670 | |
Comcast Corp. – Class A | | | 2,583,992 | | | | 84,780,778 | |
McDonald’s Corp. | | | 325,340 | | | | 50,977,525 | |
Michelin | | | 427,572 | | | | 51,726,904 | |
Nike, Inc. | | | 1,181,185 | | | | 94,116,821 | |
TJX Companies, Inc. | | | 875,226 | | | | 83,304,011 | |
Other Securities (1) | | | 11,622,022 | | | | 550,998,621 | |
| | | | | | | | |
Total Consumer Discretionary | | | | 965,915,330 | |
| | | | | | | | |
| Consumer Staples – 6.97% | | | | | | | | |
Coca Cola Co. | | | 1,312,583 | | | | 57,569,890 | |
Colgate Palmolive Co. | | | 800,133 | | | | 51,856,620 | |
Costco Wholesale Corp. | | | 291,928 | | | | 61,007,113 | |
PepsiCo, Inc. | | | 547,467 | | | | 59,602,732 | |
Other Securities (1) | | | 4,040,034 | | | | 265,288,200 | |
| | | | | | | | |
Total Consumer Staples | | | | 495,324,555 | |
| | | | | | | | |
| Energy – 9.66% | | | | | | | | |
Chevron Corp. | | | 421,898 | | | | 53,340,564 | |
Devon Energy Corp. | | | 1,208,604 | | | | 53,130,232 | |
Exxon Mobil Corp. | | | 614,216 | | | | 50,814,090 | |
Hess Corp. | | | 1,422,569 | | | | 95,155,640 | |
Occidental Petroleum Corp. | | | 1,032,958 | | | | 86,437,925 | |
Other Securities (1) | | | 9,160,422 | | | | 346,999,536 | |
| | | | | | | | |
Total Energy | | | | 685,877,987 | |
| | | | | | | | |
| Financials – 19.42% | | | | | | | | |
American Express Co. | | | 918,326 | | | | 89,995,948 | |
Bank of America Corp. | | | 2,328,089 | | | | 65,628,829 | |
Berkshire Hathaway, Inc. (1) | | | 634,148 | | | | 118,363,724 | |
Chubb Ltd. | | | 742,544 | | | | 94,317,939 | |
Citigroup, Inc. | | | 1,776,684 | | | | 118,895,693 | |
JPMorgan Chase & Co. | | | 614,957 | | | | 64,078,519 | |
PNC Financial Services Group, Inc. | | | 615,876 | | | | 83,204,848 | |
Wells Fargo & Co. | | | 1,759,326 | | | | 97,537,033 | |
Other Securities (1) | | | 19,126,690 | | | | 647,194,482 | |
| | | | | | | | |
Total Financials | | | | 1,379,217,015 | |
| | | | | | | | |
| Healthcare – 11.72% | | | | | | | | |
Anthem, Inc. | | | 209,271 | | | | 49,812,776 | |
Cardinal Health, Inc. | | | 1,559,743 | | | | 76,162,251 | |
Johnson & Johnson | | | 638,776 | | | | 77,509,080 | |
Medtronic Plc | | | 1,575,028 | | | | 134,838,147 | |
Merck & Co., Inc. | | | 1,071,735 | | | | 65,054,315 | |
UnitedHealth Group, Inc. | | | 390,444 | | | | 95,791,531 | |
Other Securities (1) | | | 4,327,036 | | | | 333,379,367 | |
| | | | | | | | |
Total Healthcare | | | | 832,547,467 | |
| | | | | | | | |
| Industrials – 11.24% | | | | | | | | |
Air Lease Corp. | | | 1,388,519 | | | | 58,276,142 | |
Canadian National Railway Co. | | | 822,943 | | | | 67,275,590 | |
General Dynamics Corp. | | | 270,130 | | | | 50,354,933 | |
Northrop Grumman Corp. | | | 163,976 | | | | 50,455,415 | |
Union Pacific Corp. | | | 450,516 | | | | 63,829,107 | |
United Technologies Corp. | | | 550,347 | | | | 68,809,885 | |
Other Securities (1) | | | 8,195,761 | | | | 438,927,604 | |
| | | | | | | | |
Total Industrials | | | | 797,928,676 | |
| | | | | | | | |
| | | | | | | | |
| | | Shares | | | Value | |
| Information Technology – 12.34% | | | | | |
Accenture Plc | | | 342,429 | | | $ | 56,017,960 | |
Alphabet, Inc. – Class C (1) | | | 71,008 | | | | 79,220,075 | |
Apple, Inc. | | | 383,008 | | | | 70,898,611 | |
Cisco Systems, Inc. | | | 1,313,302 | | | | 56,511,385 | |
Facebook, Inc. (1) | | | 275,320 | | | | 53,500,182 | |
Microsoft Corp. | | | 1,144,234 | | | | 112,832,915 | |
Oracle Corp. | | | 1,960,653 | | | | 86,386,371 | |
Visa, Inc. | | | 443,042 | | | | 58,680,913 | |
Other Securities (1) | | | 6,329,536 | | | | 302,533,341 | |
| | | | | | | | |
Total Information Technology | | | | 876,581,753 | |
| | | | | | | | |
| Materials – 6.33% | | | | | | | | |
Celanese Corp. | | | 539,275 | | | | 59,891,882 | |
DowDuPont, Inc. | | | 1,278,700 | | | | 84,291,904 | |
Lyondellbasell Industries NV | | | 697,465 | | | | 76,616,530 | |
Nutrien Ltd. | | | 1,145,230 | | | | 62,277,607 | |
Praxair, Inc. | | | 460,297 | | | | 72,795,971 | |
Other Securities (1) | | | 912,471 | | | | 93,597,786 | |
| | | | | | | | |
Total Materials | | | | 449,471,680 | |
| | | | | | | | |
| Real Estate – 2.58% | | | | | | | | |
American Tower Corp. | | | 424,946 | | | | 61,264,465 | |
Public Storage | | | 230,624 | | | | 52,319,361 | |
Other Securities (1) | | | 1,094,738 | | | | 69,702,949 | |
| | | | | | | | |
Total Real Estate | | | | 183,286,775 | |
| | | | | | | | |
| Telecommunication Services – 0.36% | | | | | |
Various Securities (1) | | | 714,362 | | | | 25,533,587 | |
| | | | | | | | |
Total Telecommunication Services | | | | 25,533,587 | |
| | | | | | | | |
| Utilities – 1.28% | | | | | | | | |
Various Securities (1) | | | 1,707,156 | | | | 90,986,071 | |
| | | | | | | | |
Total Utilities | | | | 90,986,071 | |
| | | | | | | | |
Total Common Stocks
(Cost: $5,982,457,176) | | | | 6,782,670,896 | |
| | | | | | | | |
SHORT-TERM INVESTMENTS – 4.14% | |
| Money Market Funds – 4.14% | | | | | | | | |
Goldman Sachs Financial Square Government Fund – Class I,
1.81% (2) | | | 146,896,299 | | | | 146,896,299 | |
JPMorgan U.S. Government Money Market Fund – Class I,
1.79% (2) | | | 146,896,300 | | | | 146,896,300 | |
| | | | | | | | |
Total Short-Term Investments
(Cost: $293,792,599) | | | | 293,792,599 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES – 99.64%
(Cost: $6,276,249,775) | | | | 7,076,463,495 | |
| OTHER ASSETS IN EXCESS OF LIABILITIES – 0.36% | | | | 25,682,591 | |
| | | | | | | | |
| TOTAL NET ASSETS – 100.00% | | | $ | 7,102,146,086 | |
| | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| 38 | | Annual Report • June 30, 2018 |
Bridge Builder Large Cap Value Fund
Summary Schedule of Investments
June 30, 2018 (Continued)
Percentages are stated as a percent of net assets.
| (1) | Non-income producing security or includes securities that are non-income producing. |
| (2) | Represents annualized seven-day yield as of the close of the reporting period. |
The sector classifications listed above are in accordance with Global Industry Classification Standards (GICS), which was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor’s Financial Services LLC (“S&P”).
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2018 | | 39 |
Bridge Builder Small/Mid Cap Growth Fund
Summary Schedule of Investments
June 30, 2018
| | | | | | | | |
| | | Shares | | | Value | |
COMMON STOCKS – 96.84% | | | | | |
| Consumer Discretionary – 12.85% | | | | | |
Advance Auto Parts, Inc. | | | 252,480 | | | $ | 34,261,536 | |
Aptiv Plc | | | 261,000 | | | | 23,915,430 | |
Expedia Group, Inc. | | | 251,157 | | | | 30,186,560 | |
John Wiley & Sons, Inc. | | | 404,379 | | | | 25,233,250 | |
Live Nation Entertainment, Inc. (1) | | | 654,853 | | | | 31,806,210 | |
Marriott International, Inc. | | | 210,902 | | | | 26,700,193 | |
Mohawk Industries, Inc. (1) | | | 94,600 | | | | 20,269,942 | |
Ross Stores, Inc. | | | 438,994 | | | | 37,204,742 | |
Tractor Supply Co. | | | 270,461 | | | | 20,687,562 | |
Ulta Beauty, Inc. (1) | | | 100,754 | | | | 23,522,029 | |
Other Securities (1) | | | 4,215,744 | | | | 191,468,971 | |
| | | | | | | | |
Total Consumer Discretionary | | | | 465,256,425 | |
| | | | | | | | |
| Consumer Staples – 5.56% | | | | | | | | |
Flowers Foods, Inc. | | | 1,166,000 | | | | 24,287,780 | |
Hormel Foods Corp. | | | 784,000 | | | | 29,172,640 | |
Other Securities (1) | | | 2,325,007 | | | | 147,888,431 | |
| | | | | | | | |
Total Consumer Staples | | | | 201,348,851 | |
| | | | | | | | |
| Energy – 1.66% | | | | | | | | |
Core Laboratories NV | | | 211,589 | | | | 26,704,648 | |
Other Securities (1) | | | 2,363,284 | | | | 33,459,163 | |
| | | | | | | | |
Total Energy | | | | 60,163,811 | |
| | | | | | | | |
| Financials – 9.84% | | | | | | | | |
Affiliated Managers Group, Inc. | | | 140,410 | | | | 20,874,755 | |
Arthur J. Gallagher & Co. | | | 363,000 | | | | 23,696,640 | |
Everest Re Group Ltd. | | | 119,477 | | | | 27,537,059 | |
Northern Trust Corp. | | | 253,566 | | | | 26,089,406 | |
Other Securities (1) | | | 4,438,824 | | | | 258,093,516 | |
| | | | | | | | |
Total Financials | | | | 356,291,376 | |
| | | | | | | | |
| Healthcare – 19.85% | | | | | | | | |
BioMarin Pharmaceutical, Inc. (1) | | | 235,385 | | | | 22,173,267 | |
Bio-Techne Corp. | | | 143,325 | | | | 21,204,934 | |
Catalent, Inc. (1) | | | 654,010 | | | | 27,396,479 | |
Dentsply Sirona, Inc. | | | 699,570 | | | | 30,620,179 | |
IDEXX Laboratories, Inc. (1) | | | 102,645 | | | | 22,370,451 | |
Integra LifeSciences Holdings Corp. (1) | | | 636,955 | | | | 41,026,272 | |
Laboratory Corp. of America
Holdings (1) | | | 139,686 | | | | 25,077,828 | |
Medidata Solutions, Inc. (1) | | | 338,114 | | | | 27,238,464 | |
Mettler-Toledo International, Inc. (1) | | | 46,184 | | | | 26,723,448 | |
NuVasive, Inc. (1) | | | 435,581 | | | | 22,702,482 | |
Waters Corp. (1) | | | 143,426 | | | | 27,765,839 | |
Other Securities (1) | | | 8,486,741 | | | | 424,535,202 | |
| | | | | | | | |
Total Healthcare | | | | 718,834,845 | |
| | | | | | | | |
| Industrials – 15.10% | | | | | | | | |
A.O. Smith Corp. | | | 393,126 | | | | 23,253,403 | |
IDEX Corp. | | | 300,581 | | | | 41,023,295 | |
Nordson Corp. | | | 213,303 | | | | 27,390,238 | |
Rockwell Automation, Inc. | | | 259,339 | | | | 43,109,922 | |
United Rentals, Inc. (1) | | | 139,740 | | | | 20,628,419 | |
Verisk Analytics, Inc. (1) | | | 240,365 | | | | 25,872,889 | |
Other Securities (1) | | | 7,182,165 | | | | 365,651,268 | |
| | | | | | | | |
Total Industrials | | | | 546,929,434 | |
| | | | | | | | |
| | | | | | | | |
| | | Shares | | | Value | |
| Information Technology – 24.27% | | | | | |
Aspen Technology, Inc. (1) | | | 358,950 | | | $ | 33,289,023 | |
Atlassian Corp. Plc (1) | | | 475,700 | | | | 29,740,764 | |
Fortinet, Inc. (1) | | | 628,825 | | | | 39,257,545 | |
GrubHub, Inc. (1) | | | 348,794 | | | | 36,591,979 | |
IPG Photonics Corp. (1) | | | 91,664 | | | | 20,223,828 | |
LogMeIn, Inc. | | | 258,663 | | | | 26,706,955 | |
MercadoLibre, Inc. | | | 98,390 | | | | 29,411,723 | |
Palo Alto Networks, Inc. (1) | | | 243,353 | | | | 50,001,741 | |
Red Hat, Inc. (1) | | | 247,004 | | | | 33,189,927 | |
Splunk, Inc. (1) | | | 552,846 | | | | 54,792,567 | |
Workday, Inc. (1) | | | 440,191 | | | | 53,315,934 | |
Other Securities (1) | | | 7,469,136 | | | | 472,389,679 | |
| | | | | | | | |
Total Information Technology | | | | 878,911,665 | |
| | | | | | | | |
| Materials – 4.83% | | | | | | | | |
AptarGroup, Inc. | | | 385,608 | | | | 36,008,075 | |
Berry Global Group, Inc. (1) | | | 558,631 | | | | 25,663,508 | |
Martin Marietta Materials, Inc. | | | 127,293 | | | | 28,428,346 | |
Other Securities (1) | | | 2,005,864 | | | | 85,018,603 | |
| | | | | | | | |
Total Materials | | | | 175,118,532 | |
| | | | | | | | |
| Real Estate – 2.62% | | | | | | | | |
Jones Lang LaSalle, Inc. | | | 153,994 | | | | 25,561,464 | |
SBA Communications Corp. (1) | | | 211,218 | | | | 34,876,316 | |
Other Securities (1) | | | 839,396 | | | | 34,552,971 | |
| | | | | | | | |
Total Real Estate | | | | 94,990,751 | |
| | | | | | | | |
| Telecommunication Services – 0.22% | | | | | |
Various Securities (1) | | | 441,055 | | | | 8,037,410 | |
| | | | | | | | |
Total Telecommunication Services | | | | 8,037,410 | |
| | | | | | | | |
| Utilities – 0.04% | | | | | | | | |
Various Securities (1) | | | 42,769 | | | | 1,520,410 | |
| | | | | | | | |
Total Utilities | | | | 1,520,410 | |
| | | | | | | | |
Total Common Stocks
(Cost: $2,837,468,067) | | | | 3,507,403,510 | |
| | | | | | | | |
RIGHTS – 0.00% (2) | | | | | | | | |
| Healthcare – 0.00% (2) | | | | | | | | |
Dyax Corp., expires 12/31/2019 –
CVR (1)(4) | | | 15,849 | | | | 57,056 | |
| | | | | | | | |
Total Rights
(Cost: $35,670) | | | | 57,056 | |
| | | | | | | | |
SHORT-TERM INVESTMENTS – 2.80% | |
| Money Market Funds – 2.80% | | | | | | | | |
Goldman Sachs Financial Square Government Fund – Class I, 1.81% (3) | | | 50,720,295 | | | | 50,720,295 | |
JPMorgan U.S. Government Money Market Fund – Class I, 1.79% (3) | | | 50,720,296 | | | | 50,720,296 | |
| | | | | | | | |
Total Short-Term Investments
(Cost: $101,440,591) | | | | 101,440,591 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES – 99.64%
(Cost: $2,938,944,328) | | | | 3,608,901,157 | |
| OTHER ASSETS IN EXCESS OF LIABILITIES – 0.36% | | | | 13,179,455 | |
| | | | | | | | |
| TOTAL NET ASSETS – 100.00% | | | $ | 3,622,080,612 | |
| | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| 40 | | Annual Report • June 30, 2018 |
Bridge Builder Small/Mid Cap Growth Fund
Summary Schedule of Investments
June 30, 2018 (Continued)
Percentages are stated as a percent of net assets.
CVR Contingent Value Right
| (1) | Non-income producing security or includes securities that are non-income producing. |
| (2) | Amount calculated is less than 0.005%. |
| (3) | Represents annualized seven-day yield as of the close of the reporting period. |
| (4) | Security is categorized as Level 3 per the Trust’s fair value hierarchy. This security represents $57,056 or less than 0.005% of the Fund’s net assets. |
The sector classifications listed above are in accordance with Global Industry Classification Standards (GICS), which was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor’s Financial Services LLC (“S&P”).
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2018 | | 41 |
Bridge Builder Small/Mid Cap Value Fund
Summary Schedule of Investments
June 30, 2018
| | | | | | | | |
| | | Shares | | | Value | |
COMMON STOCKS – 97.20% | |
| Consumer Discretionary – 11.02% | |
Adient Plc | | | 328,698 | | | $ | 16,168,655 | |
Core Mark Holding Company, Inc. | | | 969,099 | | | | 21,998,547 | |
Nexstar Media Group, Inc. | | | 224,275 | | | | 16,461,785 | |
Six Flags Entertainment Corp. | | | 234,200 | | | | 16,405,710 | |
Other Securities (1) | | | 11,175,325 | | | | 390,413,890 | |
| | | | | | | | |
Total Consumer Discretionary | | | | 461,448,587 | |
| | | | | | | | |
| Consumer Staples – 2.15% | |
Various Securities (1) | | | 2,491,835 | | | | 90,074,008 | |
| | | | | | | | |
Total Consumer Staples | | | | 90,074,008 | |
| | | | | | | | |
| Energy – 7.53% | |
Andeavor | | | 128,286 | | | | 16,828,557 | |
Continental Resources, Inc. (1) | | | 267,039 | | | | 17,293,446 | |
Energen Corp. (1) | | | 325,604 | | | | 23,710,483 | |
EQT Corp. | | | 292,979 | | | | 16,166,581 | |
WPX Energy, Inc. (1) | | | 2,054,800 | | | | 37,048,044 | |
Other Securities (1) | | | 9,112,101 | | | | 204,168,049 | |
| | | | | | | | |
Total Energy | | | | 315,215,160 | |
| | | | | | | | |
| Financials – 23.45% | |
Alleghany Corp. | | | 32,554 | | | | 18,717,573 | |
Allstate Corp. | | | 180,149 | | | | 16,442,199 | |
Ares Capital Corp. | | | 1,209,900 | | | | 19,902,855 | |
BancorpSouth Bank | | | 557,942 | | | | 18,384,189 | |
Bank of NT Butterfield & Son Ltd. | | | 541,625 | | | | 24,763,095 | |
Discover Financial Services | | | 372,193 | | | | 26,206,109 | |
East West Bancorp, Inc. | | | 295,045 | | | | 19,236,934 | |
FCB Financial Holdings, Inc. (1) | | | 341,378 | | | | 20,073,026 | |
Fifth Third Bancorp | | | 721,792 | | | | 20,715,430 | |
Horizon Bancorp | | | 792,147 | | | | 16,389,521 | |
Huntington Bancshares, Inc. | | | 1,241,184 | | | | 18,319,876 | |
IBERIABANK Corp. | | | 220,162 | | | | 16,688,280 | |
New Residential Investment Corp. | | | 1,211,935 | | | | 21,196,743 | |
Regions Financial Corp. | | | 1,008,810 | | | | 17,936,642 | |
Reinsurance Group of America, Inc. | | | 256,554 | | | | 34,244,828 | |
SunTrust Banks, Inc. | | | 338,224 | | | | 22,329,548 | |
Synchrony Financial | | | 730,898 | | | | 24,397,375 | |
Other Securities (1)(3) | | | 17,677,155 | | | | 625,442,580 | |
| | | | | | | | |
Total Financials | | | | 981,386,803 | |
| | | | | | | | |
| Healthcare – 4.31% | |
Centene Corp. (1) | | | 162,462 | | | | 20,016,943 | |
Laboratory Corp. of America Holdings (1) | | | 114,813 | | | | 20,612,378 | |
McKesson Corp. | | | 121,631 | | | | 16,225,575 | |
Other Securities (1) | | | 3,059,564 | | | | 123,637,515 | |
| | | | | | | | |
Total Healthcare | | | | 180,492,411 | |
| | | | | | | | |
| Industrials – 14.88% | |
Allison Transmission Holdings, Inc. | | | 534,700 | | | | 21,650,003 | |
AMETEK, Inc. | | | 227,043 | | | | 16,383,423 | |
Masonite International Corp. (1) | | | 341,086 | | | | 24,507,029 | |
The Brink’s Co. | | | 275,183 | | | | 21,945,844 | |
TriMas Corp. (1) | | | 694,938 | | | | 20,431,177 | |
Other Securities (1) | | | 10,701,434 | | | | 517,776,851 | |
| | | | | | | | |
Total Industrials | | | | 622,694,327 | |
| | | | | | | | |
| | | | | | | | |
| | | Shares | | | Value | |
| Information Technology – 13.70% | |
Avnet, Inc. | | | 533,311 | | | $ | 22,873,709 | |
CACI International, Inc. (1) | | | 109,457 | | | | 18,448,977 | |
DXC Technology Co. | | | 217,930 | | | | 17,567,337 | |
Fidelity National Information Services, Inc. | | | 377,773 | | | | 40,055,271 | |
Global Payments, Inc. | | | 144,950 | | | | 16,160,475 | |
Tech Data Corp. (1) | | | 242,069 | | | | 19,878,706 | |
Other Securities (1) | | | 11,237,263 | | | | 438,437,128 | |
| | | | | | | | |
Total Information Technology | | | | 573,421,603 | |
| | | | | | | | |
| Materials – 5.97% | |
Crown Holdings, Inc. (1) | | | 549,184 | | | | 24,581,476 | |
FMC Corp. | | | 248,591 | | | | 22,176,803 | |
Steel Dynamics, Inc. | | | 351,618 | | | | 16,156,847 | |
Valvoline, Inc. | | | 775,419 | | | | 16,725,788 | |
Other Securities (1) | | | 5,475,124 | | | | 170,031,312 | |
| | | | | | | | |
Total Materials | | | | 249,672,226 | |
| | | | | | | | |
| Real Estate – 7.66% | |
Boston Properties, Inc. | | | 128,508 | | | | 16,117,473 | |
The Howard Hughes Corp. (1) | | | 147,832 | | | | 19,587,740 | |
Other Securities (1) | | | 11,091,399 | | | | 284,871,447 | |
| | | | | | | | |
Total Real Estate | | | | 320,576,660 | |
| | | | | | | | |
| Telecommunication Services – 0.18% | |
Various Securities (1) | | | 259,869 | | | | 7,721,896 | |
| | | | | | | | |
Total Telecommunication Services | | | | 7,721,896 | |
| | | | | | | | |
| Utilities – 6.35% | |
Atlantica Yield Plc | | | 858,225 | | | | 17,318,981 | |
Entergy Corp. | | | 273,293 | | | | 22,079,341 | |
Pinnacle West Capital Corp. | | | 216,644 | | | | 17,452,841 | |
Xcel Energy, Inc. | | | 356,591 | | | | 16,289,077 | |
Other Securities (1) | | | 4,128,135 | | | | 192,623,462 | |
| | | | | | | | |
Total Utilities | | | | 265,763,702 | |
| | | | | | | | |
Total Common Stocks
(Cost: $3,599,728,929) | | | | 4,068,467,383 | |
| | | | | | | | |
SHORT-TERM INVESTMENTS – 2.54% | |
| Money Market Funds – 2.54% | |
Goldman Sachs Financial Square Government Fund – Class I, 1.81% (2) | | | 53,172,467 | | | | 53,172,467 | |
JPMorgan U.S. Government Money Market Fund – Class I,
1.79% (2) | | | 53,172,467 | | | | 53,172,467 | |
| | | | | | | | |
Total Short-Term Investments
(Cost: $106,344,934) | | | | 106,344,934 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES – 99.74%
(Cost: $3,706,073,863) | | | | 4,174,812,317 | |
| | | | | | | | |
| OTHER ASSETS IN EXCESS OF LIABILITIES – 0.26% | | | | 11,006,726 | |
| | | | | | | | |
| TOTAL NET ASSETS – 100.00% | | | $ | 4,185,819,043 | |
| | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| 42 | | Annual Report • June 30, 2018 |
Bridge Builder Small/Mid Cap Value Fund
Summary Schedule of Investments
June 30, 2018 (Continued)
Percentages are stated as a percent of net assets.
| (1) | Non-income producing security or includes securities that are non-income producing. |
| (2) | Represents annualized seven-day yield as of the close of the reporting period. |
| (3) | Includes a security that is categorized as Level 3 per the Trust’s fair value hierarchy. This security represents $0 or 0.00% of the Fund’s net assets. |
The sector classifications listed above are in accordance with Global Industry Classification Standards (GICS), which was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor’s Financial Services LLC (“S&P”).
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2018 | | 43 |
Bridge Builder International Equity Fund
Summary Schedule of Investments
June 30, 2018
| | | | | | | | |
| | | Shares | | | Value | |
COMMON STOCKS – 95.94% | |
| Consumer Discretionary – 13.74% | |
Adidas AG | | | 280,762 | | | $ | 61,126,957 | |
Honda Motor Co. Ltd. | | | 1,881,700 | | | | 55,173,297 | |
Industria de Diseno Textil SA | | | 1,539,725 | | | | 52,434,040 | |
LVMH Moet Hennessy Louis Vuitton SE | | | 133,551 | | | | 44,341,516 | |
Naspers Ltd. | | | 174,683 | | | | 44,045,241 | |
Panasonic Corp. | | | 3,895,965 | | | | 52,534,844 | |
Other Securities (1)(2) | | | 37,689,161 | | | | 725,861,553 | |
| | | | | | | | |
Total Consumer Discretionary | | | | 1,035,517,448 | |
| | | | | | | | |
| Consumer Staples – 10.68% | |
Anheuser-Busch InBev SA/NV | | | 409,138 | | | | 41,267,747 | |
Koninklijke Ahold Delhaize NV | | | 3,485,148 | | | | 83,217,057 | |
Nestle SA | | | 829,500 | | | | 64,286,954 | |
Tesco Plc | | | 35,630,801 | | | | 120,560,125 | |
Other Securities (1)(2) | | | 64,000,567 | | | | 495,445,161 | |
| | | | | | | | |
Total Consumer Staples | | | | 804,777,044 | |
| | | | | | | | |
| Energy – 6.79% | |
BP Plc | | | 13,072,539 | | | | 99,462,540 | |
Eni SpA | | | 5,959,920 | | | | 110,505,238 | |
Royal Dutch Shell Plc | | | 245,710 | | | | 8,503,752 | |
Royal Dutch Shell Plc – Class A | | | 1,535,756 | | | | 53,297,611 | |
Royal Dutch Shell Plc – Class B | | | 1,276,230 | | | | 45,705,576 | |
TOTAL SA | | | 1,121,390 | | | | 68,097,347 | |
Other Securities (1) | | | 8,299,541 | | | | 125,784,767 | |
| | | | | | | | |
Total Energy | | | | 511,356,831 | |
| | | | | | | | |
| Financials – 17.37% | |
AIA Group Ltd. | | | 8,004,985 | | | | 69,734,717 | |
DBS Group Holdings Ltd. | | | 2,569,900 | | | | 49,976,901 | |
DNB ASA | | | 2,328,821 | | | | 45,349,271 | |
HSBC Holdings Plc | | | 5,517,073 | | | | 51,553,418 | |
ING Groep NV | | | 3,848,648 | | | | 55,245,576 | |
Royal Bank of Scotland Group Plc (1) | | | 14,910,301 | | | | 50,195,973 | |
Sumitomo Mitsui Financial Group, Inc. | | | 1,537,200 | | | | 59,960,019 | |
Sumitomo Mitsui Trust Holdings, Inc. | | | 1,126,200 | | | | 44,432,671 | |
United Overseas Bank Ltd. | | | 3,203,325 | | | | 62,781,112 | |
Other Securities (1)(2) | | | 163,434,754 | | | | 819,542,000 | |
| | | | | | | | |
Total Financials | | | | 1,308,771,658 | |
| | | | | | | | |
| Healthcare – 10.81% | |
AstraZeneca Plc | | | 825,666 | | | | 57,108,936 | |
CSL Ltd. | | | 364,096 | | | | 51,826,572 | |
Mettler-Toledo International, Inc. (1) | | | 77,642 | | | | 44,925,990 | |
Novartis AG | | | 1,101,690 | | | | 83,454,057 | |
Novartis AG – Sponsored ADR | | | 385,155 | | | | 29,094,609 | |
Roche Holding AG | | | 377,027 | | | | 83,646,523 | |
Sanofi SA | | | 1,184,873 | | | | 95,097,456 | |
Shanghai Fosun Pharmaceutical Group Ltd. | | | 7,697,000 | | | | 42,080,943 | |
Other Securities (1)(2) | | | 6,415,336 | | | | 327,013,576 | |
| | | | | | | | |
Total Healthcare | | | | 814,248,662 | |
| | | | | | | | |
| Industrials – 12.48% | |
Atlas Copco AB | | | 1,598,830 | | | | 46,303,001 | |
Canadian Pacific Railway Ltd. | | | 226,781 | | | | 41,505,459 | |
CK Hutchison Holdings Ltd. | | | 7,237,500 | | | | 76,616,340 | |
| | | | | | | | |
| | | Shares | | | Value | |
East Japan Railway Co. | | | 466,100 | | | $ | 44,636,254 | |
Experian Plc | | | 1,745,877 | | | | 43,068,347 | |
Mitsubishi Corp. | | | 1,672,900 | | | | 46,387,966 | |
Other Securities (1)(2) | | | 28,392,876 | | | | 642,110,074 | |
| | | | | | | | |
Total Industrials | | | | 940,627,441 | |
| | | | | | | | |
| Information Technology – 12.79% | |
Accenture Plc | | | 284,004 | | | | 46,460,214 | |
Alibaba Group Holding Ltd. – ADR (1) | | | 326,564 | | | | 60,587,419 | |
Keyence Corp. | | | 82,954 | | | | 46,787,263 | |
Lenovo Group Ltd. | | | 102,128,000 | | | | 54,971,487 | |
Nokia OYJ | | | 7,966,929 | | | | 45,697,410 | |
Shopify, Inc. (1) | | | 380,496 | | | | 55,510,561 | |
Taiwan Semiconductor Manufacturing Co. Ltd. | | | 3,705,000 | | | | 26,309,499 | |
Taiwan Semiconductor Manufacturing Co. Ltd. – ADR | | | 2,148,792 | | | | 78,559,836 | |
Tencent Holdings Ltd. | | | 919,306 | | | | 46,163,321 | |
Other Securities (1)(2) | | | 27,548,731 | | | | 502,770,812 | |
| | | | | | | | |
Total Information Technology | | | | 963,817,822 | |
| | | | | | | | |
| Materials – 3.42% | |
Bayer AG | | | 409,478 | | | | 44,970,404 | |
Other Securities (1)(2) | | | 10,090,877 | | | | 212,550,287 | |
| | | | | | | | |
Total Materials | | | | 257,520,691 | |
| | | | | | | | |
| Real Estate – 0.81% | |
Various Securities (1) | | | 5,396,766 | | | | 60,931,222 | |
| | | | | | | | |
Total Real Estate | | | | 60,931,222 | |
| | | | | | | | |
| Telecommunication Services – 4.53% | |
China Mobile Ltd. | | | 10,092,500 | | | | 89,550,218 | |
Singapore Telecommunications Ltd. | | | 27,670,100 | | | | 62,473,481 | |
Telefonica SA | | | 8,439,941 | | | | 71,633,554 | |
Other Securities (1) | | | 28,496,714 | | | | 117,948,219 | |
| | | | | | | | |
Total Telecommunication Services | | | | 341,605,472 | |
| | | | | | | | |
| Utilities – 2.52% | |
Enel SpA | | | 10,268,894 | | | | 56,901,876 | |
Other Securities (1)(2) | | | 18,229,032 | | | | 132,930,338 | |
| | | | | | | | |
Total Utilities | | | | 189,832,214 | |
| | | | | | | | |
Total Common Stocks
(Cost: $6,717,395,703) | | | | 7,229,006,505 | |
| | | | | | | | |
PREFERRED STOCKS – 0.25% | | | | | |
| Consumer Discretionary – 0.24% | | | | | |
Various Securities | | | 120,104 | | | | 18,366,081 | |
| | | | | | | | |
Total Consumer Discretionary | | | | 18,366,081 | |
| | | | | | | | |
| Consumer Staples – 0.01% | | | | | | | | |
Henkel AG & Co. KGaA | | | 4,471 | | | | 570,495 | |
| | | | | | | | |
| Healthcare – 0.00% (3) | |
Sartorius AG | | | 874 | | | | 130,113 | |
| | | | | | | | |
| Materials – 0.00% (3) | |
Fuchs Petrolub SE | | | 1,593 | | | | 78,386 | |
| | | | | | | | |
Total Preferred Stocks
(Cost: $17,537,427) | | | | 19,145,075 | |
| | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| 44 | | Annual Report • June 30, 2018 |
Bridge Builder International Equity Fund
Summary Schedule of Investments
June 30, 2018 (Continued)
| | | | | | | | |
| | | Shares | | | Value | |
RIGHTS – 0.00% (3) | | | | | | | | |
| Financials – 0.00% (3) | | | | | | | | |
Various Securities (1)(5) | | | 366,427 | | | $ | — | |
Total Rights
(Cost: $–) | | | | — | |
| | | | | | | | |
SHORT-TERM INVESTMENTS – 2.98% | | | | | |
| Money Market Funds – 2.98% | | | | | |
Goldman Sachs Financial Square Government Fund – Class I, 1.81% (4) | | | 112,441,683 | | | | 112,441,683 | |
JPMorgan U.S. Government Money Market Fund – Class I, 1.79% (4) | | | 112,441,684 | | | | 112,441,684 | |
| | | | | | | | |
Total Short-Term Investments
(Cost: $224,883,367) | | | | 224,883,367 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES – 99.17%
(Cost: $6,959,816,497) | | | | 7,473,034,947 | |
| OTHER ASSETS IN EXCESS OF LIABILITIES – 0.83% | | | | 62,273,344 | |
| | | | | | | | |
| TOTAL NET ASSETS – 100.00% | | | $ | 7,535,308,291 | |
| | | | | | | | |
Percentages are stated as a percent of net assets.
ADR American Depositary Receipt
| (1) | Non-income producing security or includes securities that are non-income producing. |
| (2) | Includes securities that were purchased exempt from registration in the U.S. pursuant to Rule 144(A) under the Securities Act of 1933. The value of these securities total $55,444,019, which represents 0.74% of total net assets. |
| (3) | Amount calculated is less than 0.005%. |
| (4) | Represents annualized seven-day yield as of the close of the reporting period. |
| (5) | Includes securities that are categorized as Level 3 per the Trust’s fair value hierarchy. These securities represent $0 or 0.00% of the Fund’s net assets. |
The sector classifications listed above are in accordance with Global Industry Classification Standards (GICS), which was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor’s Financial Services LLC (“S&P”).
| | | | |
COUNTRY | | % of
Net Assets | |
Australia | | | 2.27 | % |
Austria | | | 0.01 | |
Belgium | | | 0.91 | |
Brazil | | | 0.68 | |
Canada | | | 2.51 | |
Chile | | | 0.05 | |
China | | | 4.09 | |
Denmark | | | 1.44 | |
Finland | | | 0.97 | |
France | | | 6.41 | |
Germany | | | 5.67 | |
Hong Kong | | | 4.71 | |
India | | | 1.40 | |
Indonesia | | | 0.36 | |
Ireland | | | 2.17 | |
Israel | | | 0.03 | |
Italy | | | 3.24 | |
Japan | | | 16.08 | |
Luxembourg | | | 0.02 | |
Macau | | | 0.01 | |
Malaysia | | | 0.20 | |
Mexico | | | 0.80 | |
Netherlands | | | 5.28 | |
New Zealand | | | 0.01 | |
| | | | |
COUNTRY (Continued) | | % of
Net Assets | |
Norway | | | 0.63 | |
Philippines | | | 0.08 | |
Portugal | | | 0.24 | |
Republic of Korea | | | 0.95 | |
Singapore | | | 2.51 | |
South Africa | | | 0.87 | |
Spain | | | 3.88 | |
Sweden | | | 2.74 | |
Switzerland | | | 7.05 | |
Taiwan | | | 1.64 | |
Thailand | | | 0.10 | |
United Kingdom | | | 14.52 | |
United States | | | 1.66 | |
Other (individually each country is less than 0.005%) | | | 0.00 | |
| | | | |
Total Country | | | 96.19 | |
| | | | |
SHORT-TERM INVESTMENTS | | | 2.98 | |
| | | | |
TOTAL INVESTMENTS IN SECURITIES | | | 99.17 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | | | 0.83 | |
| | | | |
TOTAL NET ASSETS | | | 100.00 | % |
| | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2018 | | 45 |
Bridge Builder Mutual Funds
Statements of Assets and Liabilities
June 30, 2018
| | | | | | | | | | | | | | | | |
| | | Bridge Builder
Core Bond Fund | | | Bridge Builder
Core Plus
Bond Fund | | | Bridge Builder
Municipal
Bond Fund | | | Bridge Builder
Large Cap
Growth Fund | |
Assets | | | | | | | | | | | | | | | | |
Investments, at value (1) | | $ | 16,495,880,993 | | | $ | 12,089,016,757 | | | $ | 3,440,606,118 | | | $ | 6,092,140,794 | |
Foreign currency, at value (2) | | | — | | | | 6,621,281 | | | | — | | | | — | |
Cash | | | 3,235,329 | | | | 56,154,378 | | | | — | | | | — | |
Receivable for investments sold | | | 219,729,279 | | | | 104,155,809 | | | | — | | | | 24,900,723 | |
Receivable for fund shares sold | | | 27,886,043 | | | | 38,321,563 | | | | 17,863,735 | | | | 20,658,327 | |
Unrealized appreciation on forward foreign currency exchange contracts | | | — | | | | 12,373,831 | | | | — | | | | — | |
Dividend and interest receivable | | | 87,786,583 | | | | 67,541,676 | | | | 40,937,803 | | | | 3,561,759 | |
Tax reclaim receivable | | | — | | | | 45,260 | | | | — | | | | 503,174 | |
Deposits at broker for futures contracts | | | — | | | | 880,878 | | | | — | | | | — | |
Deposits at broker for centrally-cleared swap contracts | | | — | | | | 140,224 | | | | — | | | | — | |
Variation margin on centrally-cleared swap contracts | | | — | | | | 26,827 | | | | — | | | | — | |
Prepaid expenses and other assets | | | 142,792 | | | | 156,215 | | | | 62,267 | | | | 122,746 | |
Total Assets | | | 16,834,661,019 | | | | 12,375,434,699 | | | | 3,499,469,923 | | | | 6,141,887,523 | |
| | | | |
Liabilities | | | | | | | | | | | | | | | | |
Over-the-counter credit default swap contracts, at value | | | — | | | | 441,111 | | | | — | | | | — | |
Over-the-counter total return swap contracts, at value | | | — | | | | 139,210 | | | | — | | | | — | |
Variation margin on futures contracts | | | 146,184 | | | | 199,661 | | | | — | | | | — | |
Due to broker for swap contracts | | | — | | | | 10,355,000 | | | | — | | | | — | |
Due to broker for forward foreign currency exchange contracts | | | — | | | | 3,703,859 | | | | — | | | | — | |
Due to broker for sale-buyback transactions | | | — | | | | 3,830,000 | | | | — | | | | — | |
Due to broker for TBA commitments | | | 788,000 | | | | 131,000 | | | | — | | | | — | |
Payable for investments purchased | | | 1,014,019,531 | | | | 1,279,120,071 | | | | 20,380,756 | | | | — | |
Payable for fund shares redeemed | | | 11,948,165 | | | | 8,213,487 | | | | 4,072,877 | | | | 4,415,695 | |
Unrealized depreciation on forward foreign currency exchange contracts | | | — | | | | 4,509,686 | | | | — | | | | — | |
Foreign withholding tax payable | | | — | | | | 125,741 | | | | — | | | | 7 | |
Payable to Sub-adviser | | | 1,456,387 | | | | 1,119,752 | | | | 411,983 | | | | 1,042,258 | |
Payable to Trustees | | | 82,869 | | | | 46,767 | | | | 18,183 | | | | 32,170 | |
Accrued expenses and other liabilities | | | 908,438 | | | | 961,623 | | | | 269,735 | | | | 310,849 | |
Total Liabilities | | | 1,029,349,574 | | | | 1,312,896,968 | | | | 25,153,534 | | | | 5,800,979 | |
Net Assets | | $ | 15,805,311,445 | | | $ | 11,062,537,731 | | | $ | 3,474,316,389 | | | $ | 6,136,086,544 | |
| | | | |
Net Assets Consist of | | | | | | | | | | | | | | | | |
Paid in capital ($0.00 par value common stock unlimited authorized shares) | | $ | 16,089,576,186 | | | $ | 11,293,751,273 | | | $ | 3,482,175,210 | | | $ | 4,859,340,876 | |
Undistributed (distributions in excess of) net investment income | | | (3,003,586 | ) | | | 1,211,827 | | | | 316,151 | | | | 31,167,482 | |
Accumulated net realized gain/(loss) | | | (100,419,928 | ) | | | (119,681,687 | ) | | | (7,409,775 | ) | | | 166,304,117 | |
Unrealized net appreciation/(depreciation) on: | | | | | | | | | | | | | | | | |
Investments | | | (186,736,424 | ) | | | (114,624,889 | ) | | | (765,197 | ) | | | 1,079,273,873 | |
Foreign currency translation | | | — | | | | 302,304 | | | | — | | | | 196 | |
Futures contracts | | | 5,895,197 | | | | 4,704,371 | | | | — | | | | — | |
Forward foreign currency exchange contracts | | | — | | | | 7,864,145 | | | | — | | | | — | |
Swap contracts | | | — | | | | (10,989,613 | ) | | | — | | | | — | |
Net Assets | | $ | 15,805,311,445 | | | $ | 11,062,537,731 | | | $ | 3,474,316,389 | | | $ | 6,136,086,544 | |
Net Assets | | $ | 15,805,311,445 | | | $ | 11,062,537,731 | | | $ | 3,474,316,389 | | | $ | 6,136,086,544 | |
Shares Outstanding | | | 1,601,019,411 | | | | 1,127,345,265 | | | | 344,193,751 | | | | 453,379,922 | |
Net Asset Value | | $ | 9.87 | | | $ | 9.81 | | | $ | 10.09 | | | $ | 13.53 | |
| | | | | | | | | | | | | | | | |
(1) Cost of investments | | $ | 16,682,617,417 | | | $ | 12,203,641,646 | | | $ | 3,441,371,315 | | | $ | 5,012,866,921 | |
(2) Cost of foreign currency | | | — | | | | 6,872,987 | | | | — | | | | — | |
The accompanying notes are an integral part of these financial statements.
| | |
| 46 | | Annual Report • June 30, 2018 |
Bridge Builder Mutual Funds
Statements of Assets and Liabilities
June 30, 2018 (Continued)
| | | | | | | | | | | | | | | | |
| | | Bridge Builder
Large Cap
Value Fund | | | Bridge Builder
Small/Mid Cap
Growth Fund | | | Bridge Builder
Small/Mid Cap
Value Fund | | | Bridge Builder
International
Equity Fund | |
Assets | | | | | | | | | | | | | | | | |
Investments, at value (1) | | $ | 7,076,463,495 | | | $ | 3,608,901,157 | | | $ | 4,174,812,317 | | | $ | 7,473,034,947 | |
Foreign currency, at value (2) | | | — | | | | — | | | | — | | | | 5,318,685 | |
Cash | | | 6,388,390 | | | | 13,482 | | | | 475,901 | | | | 284,373 | |
Receivable for investments sold | | | — | | | | 33,824,156 | | | | 6,875,671 | | | | 4,420,657 | |
Receivable for fund shares sold | | | 22,384,606 | | | | 9,196,949 | | | | 10,034,359 | | | | 55,483,562 | |
Dividend and interest receivable | | | 8,911,092 | | | | 956,947 | | | | 5,738,096 | | | | 14,937,558 | |
Tax reclaim receivable | | | 885,910 | | | | 6 | | | | 13,652 | | | | 11,913,448 | |
Prepaid expenses and other assets | | | 135,623 | | | | 71,026 | | | | 73,090 | | | | 138,890 | |
Total Assets | | | 7,115,169,116 | | | | 3,652,963,723 | | | | 4,198,023,086 | | | | 7,565,532,120 | |
| | | | |
Liabilities | | | | | | | | | | | | | | | | |
Payable for investments purchased | | | 6,388,390 | | | | 26,493,754 | | | | 7,314,882 | | | | 22,492,773 | |
Payable for fund shares redeemed | | | 4,686,543 | | | | 3,080,735 | | | | 3,164,120 | | | | 3,728,348 | |
Foreign withholding tax payable | | | 156,804 | | | | 8 | | | | 10,338 | | | | 1,221,540 | |
Payable to Sub-adviser | | | 1,361,727 | | | | 1,074,518 | | | | 1,422,962 | | | | 2,032,810 | |
Payable to Trustees | | | 36,323 | | | | 18,294 | | | | 21,563 | | | | 40,832 | |
Accrued expenses and other liabilities | | | 393,243 | | | | 215,802 | | | | 270,178 | | | | 707,526 | |
Total Liabilities | | | 13,023,030 | | | | 30,883,111 | | | | 12,204,043 | | | | 30,223,829 | |
Net Assets | | $ | 7,102,146,086 | | | $ | 3,622,080,612 | | | $ | 4,185,819,043 | | | $ | 7,535,308,291 | |
| | | | |
Net Assets Consist of | | | | | | | | | | | | | | | | |
Paid in capital ($0.00 par value common stock unlimited authorized shares) | | $ | 6,306,109,827 | | | $ | 2,822,145,643 | | | $ | 3,623,981,289 | | | $ | 6,855,002,669 | |
Undistributed (distributions in excess of) net investment income | | | 1,982,407 | | | | 5,199,297 | | | | 21,236,156 | | | | 96,879,695 | |
Accumulated net realized gain/(loss) | | | (6,173,383 | ) | | | 124,778,843 | | | | 71,863,117 | | | | 70,446,368 | |
Unrealized net appreciation/(depreciation) on: | | | | | | | | | | | | | | | | |
Investments | | | 800,213,720 | | | | 669,956,829 | | | | 468,738,454 | | | | 513,218,450 | |
Foreign currency translation | | | 13,515 | | | | — | | | | 27 | | | | (238,891 | ) |
Net Assets | | $ | 7,102,146,086 | | | $ | 3,622,080,612 | | | $ | 4,185,819,043 | | | $ | 7,535,308,291 | |
Net Assets | | $ | 7,102,146,086 | | | $ | 3,622,080,612 | | | $ | 4,185,819,043 | | | $ | 7,535,308,291 | |
Shares Outstanding | | | 585,931,695 | | | | 267,895,333 | | | | 349,571,673 | | | | 649,332,631 | |
Net Asset Value | | $ | 12.12 | | | $ | 13.52 | | | $ | 11.97 | | | $ | 11.60 | |
| | | | | | | | | | | | | | | | |
(1) Cost of investments | | $ | 6,276,249,775 | | | $ | 2,938,944,328 | | | $ | 3,706,073,863 | | | $ | 6,959,816,497 | |
(2) Cost of foreign currency | | | — | | | | — | | | | — | | | | 5,312,423 | |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2018 | | 47 |
Bridge Builder Mutual Funds
Statements of Operations
Year Ended June 30, 2018
| | | | | | | | | | | | | | | | |
| | | Bridge Builder
Core Bond Fund | | | Bridge Builder
Core Plus
Bond Fund | | | Bridge Builder
Municipal
Bond Fund | | | Bridge Builder
Large Cap
Growth Fund | |
Investment Income | | | | | | | | | | | | | | | | |
Dividend income | | $ | 127,034 | | | $ | 208,014 | | | $ | — | | | $ | 63,641,687 | |
Less: Foreign taxes withheld and issuance fees | | | — | | | | — | | | | — | | | | (537,499 | ) |
Interest | | | 416,501,181 | | | | 242,428,718 | | | | 69,634,508 | | | | 2,243,458 | |
Less: Foreign taxes withheld | | | — | | | | (170,046 | ) | | | — | | | | — | |
Total investment income | | | 416,628,215 | | | | 242,466,686 | | | | 69,634,508 | | | | 65,347,646 | |
Expenses | | | | | | | | | | | | | | | | |
Investment advisory fee | | | 46,734,950 | | | | 28,060,507 | | | | 10,907,495 | | | | 22,964,464 | |
Professional fees | | | 256,121 | | | | 226,973 | | | | 109,430 | | | | 103,875 | |
Administration fee | | | 1,215,574 | | | | 642,191 | | | | 295,562 | | | | 454,678 | |
Fund accounting fees | | | 1,174,546 | | | | 499,890 | | | | 199,509 | | | | 20,759 | |
Transfer agent fees and expenses | | | 34,556 | | | | 25,310 | | | | 18,891 | | | | 21,801 | |
Trustee fees and expenses | | | 313,297 | | | | 164,752 | | | | 66,836 | | | | 114,002 | |
Printing and mailing expense | | | 104,651 | | | | 100,250 | | | | 12,137 | | | | 81,496 | |
Custody fees | | | 355,290 | | | | 335,203 | | | | 40,720 | | | | 95,901 | |
Insurance expense | | | 65,601 | | | | 33,737 | | | | 13,023 | | | | 21,432 | |
Registration fees | | | 628,691 | | | | 955,666 | | | | 253,654 | | | | 400,254 | |
Other expenses | | | 86,801 | | | | 39,424 | | | | 17,344 | | | | 25,053 | |
Total expenses before fee waivers | | | 50,970,078 | | | | 31,083,903 | | | | 11,934,601 | | | | 24,303,715 | |
Fee waivers by Adviser | | | (29,997,388 | ) | | | (17,179,797 | ) | | | (6,153,744 | ) | | | (11,696,923 | ) |
Net expenses | | | 20,972,690 | | | | 13,904,106 | | | | 5,780,857 | | | | 12,606,792 | |
Net Investment Income | | | 395,655,525 | | | | 228,562,580 | | | | 63,853,651 | | | | 52,740,854 | |
| | | |
Realized Gain/(Loss) and Change in Unrealized Appreciation/(Depreciation) | | | | | | | | | | | | | |
Net realized gain/(loss) on: | | | | | | | | | | | | | | | | |
Investments | | | (46,796,799 | ) | | | (53,379,895 | ) | | | (2,318,753 | ) | | | 261,519,556 | |
TBA sales commitments | | | (61,454 | ) | | | — | | | | — | | | | — | |
Forward foreign currency exchange contracts | | | — | | | | (4,854,569 | ) | | | — | | | | — | |
Foreign currency transactions | | | — | | | | (492,647 | ) | | | — | | | | 6,922 | |
Futures contracts | | | (7,785,902 | ) | | | (24,060,117 | ) | | | 112 | | | | — | |
Swap contracts | | | — | | | | 2,209,912 | | | | — | | | | — | |
Net realized gain/(loss) | | | (54,644,155 | ) | | | (80,577,316 | ) | | | (2,318,641 | ) | | | 261,526,478 | |
Net change in unrealized appreciation/(depreciation) on: | | | | | | | | | | | | | | | | |
Investments | | | (375,662,720 | ) | | | (147,671,119 | ) | | | (15,252,326 | ) | | | 509,504,792 | |
Forward foreign currency exchange contracts | | | — | | | | 11,484,359 | | | | — | | | | — | |
Foreign currency transactions | | | — | | | | 284,772 | | | | — | | | | (772 | ) |
Futures contracts | | | 4,651,453 | | | | 5,725,012 | | | | — | | | | — | |
Swap contracts | | | — | | | | (10,998,318 | ) | | | — | | | | — | |
Net change in unrealized appreciation/(depreciation) | | | (371,011,267 | ) | | | (141,175,294 | ) | | | (15,252,326 | ) | | | 509,504,020 | |
Net realized gain/(loss) and net change in unrealized appreciation/(depreciation) | | | (425,655,422 | ) | | | (221,752,610 | ) | | | (17,570,967 | ) | | | 771,030,498 | |
Net Increase/(Decrease) in Net Assets Resulting from Operations | | $ | (29,999,897 | ) | | $ | 6,809,970 | | | $ | 46,282,684 | | | $ | 823,771,352 | |
The accompanying notes are an integral part of these financial statements.
| | |
| 48 | | Annual Report • June 30, 2018 |
Bridge Builder Mutual Funds
Statements of Operations
Year Ended June 30, 2018 (Continued)
| | | | | | | | | | | | | | | | |
| | | Bridge Builder
Large Cap
Value Fund | | | Bridge Builder
Small/Mid Cap
Growth Fund | | | Bridge Builder
Small/Mid Cap
Value Fund | | | Bridge Builder
International
Equity Fund | |
Investment Income | | | | | | | | | | | | | | | | |
Dividend income | | $ | 118,277,310 | | | $ | 22,368,198 | | | $ | 64,319,942 | | | $ | 180,665,089 | |
Less: Foreign taxes withheld and issuance fees | | | (1,079,255 | ) | | | (121,028 | ) | | | (20,950 | ) | | | (17,406,860 | ) |
Interest | | | 2,910,389 | | | | 1,409,090 | | | | 1,266,130 | | | | 2,924,267 | |
Total investment income | | | 120,108,444 | | | | 23,656,260 | | | | 65,565,122 | | | | 166,182,496 | |
Expenses | | | | | | | | | | | | | | | | |
Investment advisory fee | | | 26,626,247 | | | | 19,276,285 | | | | 23,728,544 | | | | 39,386,415 | |
Professional fees | | | 109,621 | | | | 81,555 | | | | 96,818 | | | | 153,458 | |
Administration fee | | | 523,853 | | | | 334,865 | | | | 424,922 | | | | 646,859 | |
Fund accounting fees | | | 26,660 | | | | 55,275 | | | | 69,708 | | | | 184,569 | |
Transfer agent fees and expenses | | | 23,437 | | | | 18,888 | | | | 20,616 | | | | 23,529 | |
Trustee fees and expenses | | | 131,085 | | | | 69,419 | | | | 80,578 | | | | 141,832 | |
Printing and mailing expense | | | 56,104 | | | | 45,012 | | | | 50,480 | | | | 62,703 | |
Custody fees | | | 140,531 | | | | 119,728 | | | | 167,199 | | | | 1,179,943 | |
Insurance expense | | | 24,609 | | | | 12,908 | | | | 15,631 | | | | 25,688 | |
Registration fees | | | 465,913 | | | | 228,219 | | | | 269,333 | | | | 611,181 | |
Other expenses | | | 29,025 | | | | 16,078 | | | | 19,938 | | | | 25,600 | |
Total expenses before fee waivers | | | 28,157,085 | | | | 20,258,232 | | | | 24,943,767 | | | | 42,441,777 | |
Fee waivers by Adviser | | | (11,911,316 | ) | | | (8,042,164 | ) | | | (8,398,599 | ) | | | (17,598,726 | ) |
Net expenses | | | 16,245,769 | | | | 12,216,068 | | | | 16,545,168 | | | | 24,843,051 | |
Net Investment Income | | | 103,862,675 | | | | 11,440,192 | | | | 49,019,954 | | | | 141,339,445 | |
| | | |
Realized Gain/(Loss) and Change in Unrealized Appreciation/(Depreciation) | | | | | | | | | | | | | |
Net realized gain/(loss) on: | | | | | | | | | | | | | | | | |
Investments | | | 47,010,766 | | | | 153,454,262 | | | | 114,795,171 | | | | 132,492,064 | |
Foreign currency transactions | | | (64,716 | ) | | | — | | | | (1,258 | ) | | | (1,583,390 | ) |
Net realized gain/(loss) | | | 46,946,050 | | | | 153,454,262 | | | | 114,793,913 | | | | 130,908,674 | |
Net change in unrealized appreciation/(depreciation) on: | | | | | | | | | | | | | | | | |
Investments | | | 335,753,244 | | | | 354,212,538 | | | | 130,875,380 | | | | 75,992,974 | |
Foreign currency transactions | | | 5,884 | | | | — | | | | 27 | | | | (528,281 | ) |
Net change in unrealized appreciation/(depreciation) | | | 335,759,128 | | | | 354,212,538 | | | | 130,875,407 | | | | 75,464,693 | |
Net realized gain/(loss) and net change in unrealized appreciation/(depreciation) | | | 382,705,178 | | | | 507,666,800 | | | | 245,669,320 | | | | 206,373,367 | |
Net Increase/(Decrease) in Net Assets Resulting from Operations | | $ | 486,567,853 | | | $ | 519,106,992 | | | $ | 294,689,274 | | | $ | 347,712,812 | |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2018 | | 49 |
Bridge Builder Mutual Funds
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | |
| | | Bridge Builder
Core Bond Fund | | | Bridge Builder Core
Plus Bond Fund | |
| | | Year Ended June 30, 2018 | | | Year Ended June 30, 2017 | | | Year Ended June 30, 2018 | | | Year Ended June 30, 2017 | |
Operations | | | | | | | | | | | | | | | | |
Net investment income | | $ | 395,655,525 | | | $ | 278,168,170 | | | $ | 228,562,580 | | | $ | 124,035,051 | |
Net realized gain/(loss) | | | (54,644,155 | ) | | | 29,908,070 | | | | (80,577,316 | ) | | | (15,475,802 | ) |
Net change in unrealized appreciation/(depreciation) | | | (371,011,267 | ) | | | (215,570,026 | ) | | | (141,175,294 | ) | | | (45,803,500 | ) |
Net increase/(decrease) in net assets resulting from operations | | | (29,999,897 | ) | | | 92,506,214 | | | | 6,809,970 | | | | 62,755,749 | |
Distributions to Shareholders | | | | | | | | | | | | | | | | |
Net investment income | | | (415,158,732 | ) | | | (287,012,333 | ) | | | (234,531,198 | ) | | | (130,561,739 | ) |
Net realized gains | | | — | | | | (73,473,364 | ) | | | — | | | | (14,343,061 | ) |
Total distributions | | | (415,158,732 | ) | | | (360,485,697 | ) | | | (234,531,198 | ) | | | (144,904,800 | ) |
Capital Transactions | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 3,545,308,796 | | | | 4,592,515,464 | | | | 5,311,139,071 | | | | 2,675,769,459 | |
Reinvestment of dividends | | | 415,158,732 | | | | 360,485,697 | | | | 234,531,198 | | | | 144,904,800 | |
Cost of shares redeemed | | | (1,305,825,159 | ) | | | (1,851,399,810 | ) | | | (678,884,257 | ) | | | (725,478,354 | ) |
Net increase/(decrease) from capital transactions | | | 2,654,642,369 | | | | 3,101,601,351 | | | | 4,866,786,012 | | | | 2,095,195,905 | |
Net increase/(decrease) in net assets | | | 2,209,483,740 | | | | 2,833,621,868 | | | | 4,639,064,784 | | | | 2,013,046,854 | |
Net Assets | | | | | | | | | | | | | | | | |
Beginning of period | | | 13,595,827,705 | | | | 10,762,205,837 | | | | 6,423,472,947 | | | | 4,410,426,093 | |
End of period* | | $ | 15,805,311,445 | | | $ | 13,595,827,705 | | | $ | 11,062,537,731 | | | $ | 6,423,472,947 | |
| | | | | | | | | | | | | | | | | |
* Including undistributed (distribution in excess of) net investment income of: | | $ | (3,003,586 | ) | | $ | 5,252,483 | | | $ | 1,211,827 | | | $ | 2,397,290 | |
| | | | | | | | | | | | | | | | | |
Change in Shares Outstanding | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 1,336,731,909 | | | | 1,028,013,351 | | | | 636,526,505 | | | | 429,207,231 | |
Shares sold | | | 352,961,173 | | | | 453,547,669 | | | | 535,354,890 | | | | 264,417,554 | |
Shares issued to holders in reinvestments of dividends | | | 41,215,788 | | | | 35,651,613 | | | | 23,508,603 | | | | 14,481,172 | |
Shares redeemed | | | (129,889,459 | ) | | | (180,480,724 | ) | | | (68,044,733 | ) | | | (71,579,452 | ) |
Shares outstanding, end of period | | | 1,601,019,411 | | | | 1,336,731,909 | | | | 1,127,345,265 | | | | 636,526,505 | |
| | | | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| 50 | | Annual Report • June 30, 2018 |
Bridge Builder Mutual Funds
Statements of Changes in Net Assets (Continued)
| | | | | | | | | | | | | | | | |
| | | Bridge Builder
Municipal Bond Fund | | | Bridge Builder
Large Cap Growth Fund | |
| | | Year Ended June 30, 2018 | | | Year Ended June 30, 2017 | | | Year Ended June 30, 2018 | | | Year Ended June 30, 2017 | |
Operations | | | | | | | | | | | | | | | | |
Net investment income | | $ | 63,853,651 | | | $ | 41,367,959 | | | $ | 52,740,854 | | | $ | 34,764,114 | |
Net realized gain/(loss) | | | (2,318,641 | ) | | | (4,914,970 | ) | | | 261,526,478 | | | | 5,241,834 | |
Net change in unrealized appreciation/(depreciation) | | | (15,252,326 | ) | | | (37,883,399 | ) | | | 509,504,020 | | | | 495,973,253 | |
Net increase/(decrease) in net assets resulting from operations | | | 46,282,684 | | | | (1,430,410 | ) | | | 823,771,352 | | | | 535,979,201 | |
Distributions to Shareholders | | | | | | | | | | | | | | | | |
Net investment income | | | (64,129,188 | ) | | | (41,223,252 | ) | | | (41,291,958 | ) | | | (27,066,103 | ) |
Net realized gains | | | — | | | | (2,316,920 | ) | | | — | | | | — | |
Total distributions | | | (64,129,188 | ) | | | (43,540,172 | ) | | | (41,291,958 | ) | | | (27,066,103 | ) |
Capital Transactions | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 1,234,303,647 | | | | 958,966,674 | | | | 2,004,039,632 | | | | 1,877,270,140 | |
Reinvestment of dividends | | | 64,129,188 | | | | 43,540,172 | | | | 41,291,958 | | | | 27,066,103 | |
Cost of shares redeemed | | | (370,843,444 | ) | | | (364,922,593 | ) | | | (894,199,577 | ) | | | (533,778,981 | ) |
Net increase/(decrease) from capital transactions | | | 927,589,391 | | | | 637,584,253 | | | | 1,151,132,013 | | | | 1,370,557,262 | |
Net increase/(decrease) in net assets | | | 909,742,887 | | | | 592,613,671 | | | | 1,933,611,407 | | | | 1,879,470,360 | |
Net Assets | | | | | | | | | | | | | | | | |
Beginning of period | | | 2,564,573,502 | | | | 1,971,959,831 | | | | 4,202,475,137 | | | | 2,323,004,777 | |
End of period* | | $ | 3,474,316,389 | | | $ | 2,564,573,502 | | | $ | 6,136,086,544 | | | $ | 4,202,475,137 | |
| | | | | | | | | | | | | | | | | |
* Including undistributed (distribution in excess of) net investment income of: | | $ | 316,151 | | | $ | 591,688 | | | $ | 31,167,482 | | | $ | 19,720,284 | |
| | | | | | | | | | | | | | | | | |
Change in Shares Outstanding | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 252,850,046 | | | | 189,905,395 | | | | 362,586,427 | | | | 234,806,335 | |
Shares sold | | | 121,606,723 | | | | 94,587,944 | | | | 156,582,440 | | | | 174,989,157 | |
Shares issued to holders in reinvestments of dividends | | | 6,323,121 | | | | 4,338,588 | | | | 3,228,456 | | | | 2,630,331 | |
Shares redeemed | | | (36,586,139 | ) | | | (35,981,881 | ) | | | (69,017,401 | ) | | | (49,839,396 | ) |
Shares outstanding, end of period | | | 344,193,751 | | | | 252,850,046 | | | | 453,379,922 | | | | 362,586,427 | |
| | | | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2018 | | 51 |
Bridge Builder Mutual Funds
Statements of Changes in Net Assets (Continued)
| | | | | | | | | | | | | | | | |
| | | Bridge Builder
Large Cap Value Fund | | | Bridge Builder
Small/Mid Cap Growth Fund | |
| | | Year Ended June 30, 2018 | | | Year Ended June 30, 2017 | | | Year Ended June 30, 2018 | | | Year Ended June 30, 2017 | |
Operations | | | | | | | | | | | | | | | | |
Net investment income | | $ | 103,862,675 | | | $ | 65,287,916 | | | $ | 11,440,192 | | | $ | 6,787,253 | |
Net realized gain/(loss) | | | 46,946,050 | | | | 46,305,382 | | | | 153,454,262 | | | | 25,205,712 | |
Net change in unrealized appreciation/(depreciation) | | | 335,759,128 | | | | 450,092,821 | | | | 354,212,538 | | | | 328,830,043 | |
Net increase/(decrease) in net assets resulting from operations | | | 486,567,853 | | | | 561,686,119 | | | | 519,106,992 | | | | 360,823,008 | |
Distributions to Shareholders | | | | | | | | | | | | | | | | |
Net investment income | | | (101,268,620 | ) | | | (65,546,222 | ) | | | (9,884,986 | ) | | | (6,879,324 | ) |
Net realized gains | | | (43,366,217 | ) | | | — | | | | (22,871,720 | ) | | | — | |
Total distributions | | | (144,634,837 | ) | | | (65,546,222 | ) | | | (32,756,706 | ) | | | (6,879,324 | ) |
Capital Transactions | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 2,275,283,424 | | | | 2,489,233,237 | | | | 1,050,467,075 | | | | 921,180,878 | |
Reinvestment of dividends | | | 144,634,837 | | | | 65,546,222 | | | | 32,756,706 | | | | 6,879,324 | |
Cost of shares redeemed | | | (698,707,515 | ) | | | (606,993,967 | ) | | | (477,310,876 | ) | | | (398,945,835 | ) |
Net increase/(decrease) from capital transactions | | | 1,721,210,746 | | | | 1,947,785,492 | | | | 605,912,905 | | | | 529,114,367 | |
Net increase/(decrease) in net assets | | | 2,063,143,762 | | | | 2,443,925,389 | | | | 1,092,263,191 | | | | 883,058,051 | |
Net Assets | | | | | | | | | | | | | | | | |
Beginning of period | | | 5,039,002,324 | | | | 2,595,076,935 | | | | 2,529,817,421 | | | | 1,646,759,370 | |
End of period* | | $ | 7,102,146,086 | | | $ | 5,039,002,324 | | | $ | 3,622,080,612 | | | $ | 2,529,817,421 | |
| | | | | | | | | | | | | | | | | |
* Including undistributed (distribution in excess of) net investment income of: | | $ | 1,982,407 | | | $ | 459,668 | | | $ | 5,199,297 | | | $ | 3,254,145 | |
| | | | | | | | | | | | | | | | | |
Change in Shares Outstanding | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 442,683,533 | | | | 263,234,341 | | | | 220,163,036 | | | | 171,165,757 | |
Shares sold | | | 189,183,062 | | | | 230,265,286 | | | | 82,516,711 | | | | 86,039,542 | |
Shares issued to holders in reinvestments of dividends | | | 12,011,218 | | | | 6,024,258 | | | | 2,616,348 | | | | 657,051 | |
Shares redeemed | | | (57,946,118 | ) | | | (56,840,352 | ) | | | (37,400,762 | ) | | | (37,699,314 | ) |
Shares outstanding, end of period | | | 585,931,695 | | | | 442,683,533 | | | | 267,895,333 | | | | 220,163,036 | |
| | | | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| 52 | | Annual Report • June 30, 2018 |
Bridge Builder Mutual Funds
Statements of Changes in Net Assets (Continued)
| | | | | | | | | | | | | | | | |
| | | Bridge Builder
Small/Mid Cap Value Fund | | | Bridge Builder
International Equity Fund | |
| | | Year Ended June 30, 2018 | | | Year Ended June 30, 2017 | | | Year Ended June 30, 2018 | | | Year Ended June 30, 2017 | |
Operations | | | | | | | | | | | | | | | | |
Net investment income | | $ | 49,019,954 | | | $ | 27,005,229 | | | $ | 141,339,445 | | | $ | 80,582,434 | |
Net realized gain/(loss) | | | 114,793,913 | | | | 8,827,500 | | | | 130,908,674 | | | | 1,068,637 | |
Net change in unrealized appreciation/(depreciation) | | | 130,875,407 | | | | 341,143,159 | | | | 75,464,693 | | | | 600,361,425 | |
Net increase/(decrease) in net assets resulting from operations | | | 294,689,274 | | | | 376,975,888 | | | | 347,712,812 | | | | 682,012,496 | |
Distributions to Shareholders | | | | | | | | | | | | | | | | |
Net investment income | | | (42,170,781 | ) | | | (19,093,726 | ) | | | (102,713,544 | ) | | | (49,670,345 | ) |
Net realized gains | | | (2,212,232 | ) | | | — | | | | (26,173,483 | ) | | | — | |
Total distributions | | | (44,383,013 | ) | | | (19,093,726 | ) | | | (128,887,027 | ) | | | (49,670,345 | ) |
Capital Transactions | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 1,069,899,734 | | | | 1,457,340,385 | | | | 2,880,468,866 | | | | 2,680,262,362 | |
Reinvestment of dividends | | | 44,383,013 | | | | 19,093,726 | | | | 128,887,027 | | | | 49,670,345 | |
Cost of shares redeemed | | | (423,934,563 | ) | | | (465,896,028 | ) | | | (856,446,347 | ) | | | (664,890,995 | ) |
Net increase/(decrease) from capital transactions | | | 690,348,184 | | | | 1,010,538,083 | | | | 2,152,909,546 | | | | 2,065,041,712 | |
Net increase/(decrease) in net assets | | | 940,654,445 | | | | 1,368,420,245 | | | | 2,371,735,331 | | | | 2,697,383,863 | |
Net Assets | | | | | | | | | | | | | | | | |
Beginning of period | | | 3,245,164,598 | | | | 1,876,744,353 | | | | 5,163,572,960 | | | | 2,466,189,097 | |
End of period* | | $ | 4,185,819,043 | | | $ | 3,245,164,598 | | | $ | 7,535,308,291 | | | $ | 5,163,572,960 | |
| | | | | | | | | | | | | | | | | |
* Including undistributed (distribution in excess of) net investment income of: | | $ | 21,236,156 | | | $ | 14,328,259 | | | $ | 96,879,695 | | | $ | 59,566,927 | |
| | | | | | | | | | | | | | | | | |
Change in Shares Outstanding | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 291,066,611 | | | | 197,601,525 | | | | 466,636,919 | | | | 261,005,845 | |
Shares sold | | | 90,735,297 | | | | 135,671,957 | | | | 244,205,595 | | | | 265,787,026 | |
Shares issued to holders in reinvestments of dividends | | | 3,681,101 | | | | 1,766,302 | | | | 10,841,805 | | | | 5,201,083 | |
Shares redeemed | | | (35,911,336 | ) | | | (43,973,173 | ) | | | (72,351,688 | ) | | | (65,357,035 | ) |
Shares outstanding, end of period | | | 349,571,673 | | | | 291,066,611 | | | | 649,332,631 | | | | 466,636,919 | |
| | | | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2018 | | 53 |
Bridge Builder Mutual Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Per Share Operating Performance | |
| | | | | | Change in Net Assets Resulting from
Operations | | | Less Distributions | |
| | | Net asset
value,
beginning of
period | | | Net
investment
income | | | Net realized
and
unrealized
gain/(loss) | | | Net
increase/
(decrease)
in net asset
value from
operations | | | Distributions
from net
investment
income | | | Distributions
from net
realized
gains | | | Total
Distributions | |
Bridge Builder Core Bond Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
For the year ended June 30, 2018 | | $ | 10.17 | | | | 0.27 | | | | (0.28 | ) | | | (0.01 | ) | | | (0.29 | ) | | | — | | | | (0.29 | ) |
For the year ended June 30, 2017 | | $ | 10.47 | | | | 0.25 | | | | (0.22 | ) | | | 0.03 | | | | (0.26 | ) | | | (0.07 | ) | | | (0.33 | ) |
For the year ended June 30, 2016 | | $ | 10.10 | | | | 0.24 | | | | 0.41 | | | | 0.65 | | | | (0.26 | ) | | | (0.02 | ) | | | (0.28 | ) |
For the year ended June 30, 2015 | | $ | 10.14 | | | | 0.24 | | | | (0.04 | ) | | | 0.20 | | | | (0.24 | ) | | | — | | | | (0.24 | ) |
For the period 10/28/13(7) - 6/30/14 | | $ | 10.00 | | | | 0.14 | | | | 0.15 | | | | 0.29 | | | | (0.15 | ) | | | — | | | | (0.15 | ) |
Bridge Builder Core Plus Bond Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
For the year ended June 30, 2018 | | $ | 10.09 | | | | 0.29 | | | | (0.27 | ) | | | 0.02 | | | | (0.30 | ) | | | — | | | | (0.30 | ) |
For the year ended June 30, 2017 | | $ | 10.28 | | | | 0.24 | | | | (0.15 | ) | | | 0.09 | | | | (0.25 | ) | | | (0.03 | ) | | | (0.28 | ) |
For the period 7/13/15(7) - 6/30/16 | | $ | 10.00 | | | | 0.22 | | | | 0.31 | | | | 0.53 | | | | (0.23 | ) | | | (0.02 | ) | | | (0.25 | ) |
Bridge Builder Municipal Bond Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
For the year ended June 30, 2018 | | $ | 10.14 | | | | 0.21 | | | | (0.05 | ) | | | 0.16 | | | | (0.21 | ) | | | — | | | | (0.21 | ) |
For the year ended June 30, 2017 | | $ | 10.38 | | | | 0.19 | | | | (0.23 | ) | | | (0.04 | ) | | | (0.19 | ) | | | (0.01 | ) | | | (0.20 | ) |
For the period 9/14/15(7) - 6/30/16 | | $ | 10.00 | | | | 0.16 | | | | 0.38 | | | | 0.54 | | | | (0.15 | ) | | | (0.01 | ) | | | (0.16 | ) |
Bridge Builder Large Cap Growth Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
For the year ended June 30, 2018 | | $ | 11.59 | | | | 0.12 | | | | 1.92 | | | | 2.04 | | | | (0.10 | ) | | | — | | | | (0.10 | ) |
For the year ended June 30, 2017 | | $ | 9.89 | | | | 0.10 | | | | 1.69 | | | | 1.79 | | | | (0.09 | ) | | | — | | | | (0.09 | ) |
For the year ended June 30, 2016 | | $ | 9.83 | | | | 0.09 | | | | 0.02 | | | | 0.11 | | | | (0.05 | ) | | | — | | | | (0.05 | ) |
For the period 4/27/15(7) - 6/30/15 | | $ | 10.00 | | | | 0.01 | | | | (0.18 | ) | | | (0.17 | ) | | | — | | | | — | | | | — | |
Bridge Builder Large Cap Value Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
For the year ended June 30, 2018 | | $ | 11.38 | | | | 0.20 | | | | 0.82 | | | | 1.02 | | | | (0.19 | ) | | | (0.09 | ) | | | (0.28 | ) |
For the year ended June 30, 2017 | | $ | 9.86 | | | | 0.18 | | | | 1.52 | | | | 1.70 | | | | (0.18 | ) | | | — | | | | (0.18 | ) |
For the year ended June 30, 2016 | | $ | 9.81 | | | | 0.17 | | | | 0.05 | | | | 0.22 | | | | (0.17 | ) | | | 0.00 | (8) | | | (0.17 | ) |
For the period 4/27/15(7) - 6/30/15 | | $ | 10.00 | | | | 0.03 | | | | (0.19 | ) | | | (0.16 | ) | | | (0.03 | ) | | | — | | | | (0.03 | ) |
Bridge Builder Small/Mid Cap Growth Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
For the year ended June 30, 2018 | | $ | 11.49 | | | | 0.05 | | | | 2.12 | | | | 2.17 | | | | (0.04 | ) | | | (0.10 | ) | | | (0.14 | ) |
For the year ended June 30, 2017 | | $ | 9.62 | | | | 0.03 | | | | 1.88 | | | | 1.91 | | | | (0.04 | ) | | | — | | | | (0.04 | ) |
For the year ended June 30, 2016 | | $ | 9.96 | | | | 0.03 | | | | (0.35 | ) | | | (0.32 | ) | | | (0.02 | ) | | | — | | | | (0.02 | ) |
For the period 4/27/15(7) - 6/30/15 | | $ | 10.00 | | | | 0.01 | | | | (0.05 | ) | | | (0.04 | ) | | | — | | | | — | | | | — | |
Bridge Builder Small/Mid Cap Value Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
For the year ended June 30, 2018 | | $ | 11.15 | | | | 0.15 | | | | 0.81 | | | | 0.96 | | | | (0.13 | ) | | | (0.01 | ) | | | (0.14 | ) |
For the year ended June 30, 2017 | | $ | 9.50 | | | | 0.11 | | | | 1.63 | | | | 1.74 | | | | (0.09 | ) | | | — | | | | (0.09 | ) |
For the year ended June 30, 2016 | | $ | 9.87 | | | | 0.08 | | | | (0.38 | ) | | | (0.30 | ) | | | (0.06 | ) | | | (0.01 | ) | | | (0.07 | ) |
For the period 4/27/15(7) - 6/30/15 | | $ | 10.00 | | | | 0.02 | | | | (0.15 | ) | | | (0.13 | ) | | | — | | | | — | | | | — | |
Bridge Builder International Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
For the year ended June 30, 2018 | | $ | 11.07 | | | | 0.21 | | | | 0.56 | | | | 0.77 | | | | (0.19 | ) | | | (0.05 | ) | | | (0.24 | ) |
For the year ended June 30, 2017 | | $ | 9.45 | | | | 0.15 | | | | 1.60 | | | | 1.75 | | | | (0.13 | ) | | | — | | | | (0.13 | ) |
For the period 7/6/15(7) - 6/30/16 | | $ | 10.00 | | | | 0.16 | | | | (0.67 | ) | | | (0.51 | ) | | | (0.04 | ) | | | — | | | | (0.04 | ) |
| (1) | Annualized for periods less than one year. |
| (2) | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period and is not annualized. |
| (3) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| (4) | Ratios do not include the impact of the expenses of the underlying funds in which the fund invests. |
| (5) | Portfolio turnover is not annualized. |
| (6) | Excludes securities received in capital contribution in-kind. |
The accompanying notes are an integral part of these financial statements.
| | |
| 54 | | Annual Report • June 30, 2018 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | Ratios/Supplemental Data | |
| | | | | | | | | | Ratios to Average Net Assets of:(1) | | | | |
Net asset
value, end of
period | | | Total
return(2)(3) | | | Net assets,
end of period
(millions) | | | Expenses,
before
waivers(4) | | | Expenses,
net of
waivers(4) | | | Net investment
income/
(loss) | | | Portfolio
turnover
rate(5) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 9.87 | | | | (0.15 | )% | | $ | 15,805 | | | | 0.35 | % | | | 0.14 | % | | | 2.71 | % | | | 236 | % |
| $ | 10.17 | | | | 0.33 | % | | $ | 13,596 | | | | 0.35 | % | | | 0.15 | % | | | 2.44 | % | | | 232 | % |
| $ | 10.47 | | | | 6.51 | % | | $ | 10,762 | | | | 0.36 | % | | | 0.16 | % | | | 2.32 | % | | | 238 | % |
| $ | 10.10 | | | | 2.01 | % | | $ | 8,612 | | | | 0.38 | % | | | 0.18 | % | | | 2.17 | % | | | 115 | % |
| $ | 10.14 | | | | 2.91 | % | | $ | 7,005 | | | | 0.40 | % | | | 0.20 | % | | | 1.99 | % | | | 262 | %(6) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 9.81 | | | | 0.18 | % | | $ | 11,063 | | | | 0.41 | % | | | 0.18 | % | | | 2.93 | % | | | 193 | % |
| $ | 10.09 | | | | 0.87 | % | | $ | 6,423 | | | | 0.40 | % | | | 0.18 | % | | | 2.34 | % | | | 198 | % |
| $ | 10.28 | | | | 5.43 | % | | $ | 4,410 | | | | 0.43 | % | | | 0.23 | % | | | 2.23 | % | | | 197 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 10.09 | | | | 1.62 | % | | $ | 3,474 | | | | 0.39 | % | | | 0.19 | % | | | 2.11 | % | | | 27 | % |
| $ | 10.14 | | | | (0.36 | )% | | $ | 2,565 | | | | 0.40 | % | | | 0.21 | % | | | 1.88 | % | | | 23 | % |
| $ | 10.38 | | | | 5.46 | % | | $ | 1,972 | | | | 0.43 | % | | | 0.25 | % | | | 1.76 | % | | | 21 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 13.53 | | | | 17.66 | % | | $ | 6,136 | | | | 0.47 | % | | | 0.24 | % | | | 1.01 | % | | | 54 | % |
| $ | 11.59 | | | | 18.26 | % | | $ | 4,202 | | | | 0.47 | % | | | 0.28 | % | | | 1.11 | % | | | 44 | % |
| $ | 9.89 | | | | 1.14 | % | | $ | 2,323 | | | | 0.49 | % | | | 0.31 | % | | | 0.89 | % | | | 45 | % |
| $ | 9.83 | | | | (1.70 | )% | | $ | 2,587 | | | | 0.54 | % | | | 0.37 | % | | | 0.86 | % | | | 7 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 12.12 | | | | 9.01 | % | | $ | 7,102 | | | | 0.47 | % | | | 0.27 | % | | | 1.72 | % | | | 23 | % |
| $ | 11.38 | | | | 17.38 | % | | $ | 5,039 | | | | 0.47 | % | | | 0.30 | % | | | 1.82 | % | | | 23 | % |
| $ | 9.86 | | | | 2.35 | % | | $ | 2,595 | | | | 0.49 | % | | | 0.34 | % | | | 1.83 | % | | | 33 | % |
| $ | 9.81 | | | | (1.62 | )% | | $ | 2,150 | | | | 0.54 | % | | | 0.40 | % | | | 2.14 | % | | | 7 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 13.52 | | | | 18.96 | % | | $ | 3,622 | | | | 0.67 | % | | | 0.41 | % | | | 0.38 | % | | | 26 | % |
| $ | 11.49 | | | | 19.87 | % | | $ | 2,530 | | | | 0.68 | % | | | 0.43 | % | | | 0.34 | % | | | 27 | % |
| $ | 9.62 | | | | (3.16 | )% | | $ | 1,647 | | | | 0.71 | % | | | 0.47 | % | | | 0.41 | % | | | 49 | % |
| $ | 9.96 | | | | (0.40 | )% | | $ | 1,424 | | | | 0.77 | % | | | 0.49 | % | | | 0.51 | % | | | 12 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 11.97 | | | | 8.62 | % | | $ | 4,186 | | | | 0.67 | % | | | 0.45 | % | | | 1.32 | % | | | 38 | % |
| $ | 11.15 | | | | 18.33 | % | | $ | 3,245 | | | | 0.69 | % | | | 0.47 | % | | | 1.10 | % | | | 48 | % |
| $ | 9.50 | | | | (3.08 | )% | | $ | 1,877 | | | | 0.73 | % | | | 0.54 | % | | | 1.19 | % | | | 49 | % |
| $ | 9.87 | | | | (1.30 | )% | | $ | 887 | | | | 0.81 | % | | | 0.62 | % | | | 1.21 | % | | | 8 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 11.60 | | | | 6.85 | % | | $ | 7,535 | | | | 0.65 | % | | | 0.38 | % | | | 2.15 | % | | | 20 | % |
| $ | 11.07 | | | | 18.78 | % | | $ | 5,164 | | | | 0.67 | % | | | 0.42 | % | | | 2.17 | % | | | 22 | % |
| $ | 9.45 | | | | (5.06 | )% | | $ | 2,466 | | | | 0.69 | % | | | 0.46 | % | | | 1.99 | % | | | 18 | % |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2018 | | 55 |
Bridge Builder Mutual Funds
Notes to Financial Statements
1. ORGANIZATION
The Bridge Builder Trust (the “Trust”) is a Delaware statutory trust organized under the laws of the State of Delaware on December 19, 2012, and is registered with the Securities and Exchange Commission (the “SEC”) as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). As of June 30, 2018, the Trust consisted of nine series, of which the eight active series identified below are presented in this report (each a “Fund,” and collectively, the “Funds”). The one remaining series is inactive and currently not available for purchase.
Olive Street Investment Advisers, LLC (the “Adviser”) acts as investment adviser to the Funds.
| | |
| Fund | | Investment Objective |
Bridge Builder Core Bond Fund
(“Core Bond Fund”) | | To provide total return (capital appreciation plus income) |
Bridge Builder Core Plus Bond Fund
(“Core Plus Bond Fund”) | | To provide total return (capital appreciation plus income) |
Bridge Builder Municipal Bond Fund
(“Municipal Bond Fund”) | | To provide current income exempt from federal tax, with a secondary goal of preservation of investment principal |
Bridge Builder Large Cap Growth Fund
(“Large Cap Growth Fund”) | | To provide capital appreciation |
Bridge Builder Large Cap Value Fund
(“Large Cap Value Fund”) | | To provide capital appreciation |
Bridge Builder Small/Mid Cap Growth Fund
(“Small/Mid Cap Growth Fund”) | | To provide capital appreciation |
Bridge Builder Small/Mid Cap Value Fund
(“Small/Mid Cap Value Fund”) | | To provide capital appreciation |
Bridge Builder International Equity Fund
(“International Equity Fund”) | | To provide capital appreciation |
The Funds are diversified and each currently offer a single class of shares. The Funds are available for investment exclusively through Edward Jones Advisory Solutions®.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently followed by the Trust in the preparation of its financial statements. These policies are in conformity with generally accepted accounting principles (“GAAP”) in the United States of America.
The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”).
a) Use of Estimates – The presentation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and assumptions.
b) Investment Valuation – All securities and other investments are recorded at their estimated fair value, as described in Note 4.
c) Federal Income Taxes – Each Fund is treated as a separate taxable entity for federal income tax purposes. The Funds intend to comply with the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”), applicable to regulated investment companies and to distribute substantially all of their net investment income and capital gains to shareholders. As a result, no provision for federal income tax is recorded in the financial statements.
| | |
| 56 | | Annual Report • June 30, 2018 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
The Adviser has reviewed the Funds’ tax positions for all open tax years (the prior three years of tax filings or since inception, if shorter, are considered open for examination) and has concluded that there is no tax liability/benefit resulting from uncertain income tax positions taken or expected to be taken in future tax returns. The Funds are also not aware of any tax position for which it is reasonably possible that the total amounts of unrecognized tax expense will significantly change in the next twelve months.
As of June 30, 2018, the Funds had no tax examinations or audits in progress.
d) Distributions to Shareholders – Distributions to shareholders are recorded on the ex-dividend date. Distributions of net investment income for the Core Bond, Core Plus Bond and Municipal Bond Funds are generally declared daily and paid monthly. The Large Cap Value Fund will generally declare and pay distributions of net investment income quarterly. The Large Cap Growth, Small/Mid Cap Growth, Small/Mid Cap Value and International Equity Funds will generally declare and pay distributions of net investment income annually, as necessary. Realized capital gains, if any, are distributed by each Fund at least annually, as necessary. The amount and timing of distributions are determined in accordance with federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature, these amounts are reclassified within the capital accounts in the financial statements to reflect their tax character.
e) Indemnifications – In the normal course of business, the Trust may enter into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown, as this would involve future claims against the Trust that have not yet occurred.
f) Investment Transactions, Income and Expense Allocation – Investment transactions are recorded on trade date. Securities gains and losses, net of foreign taxes withheld, if any, are calculated on the basis of identified cost. Dividend income (expense), net of foreign taxes withheld, if any, is recognized on ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as the information becomes available, which may be after the published ex-dividend date. Non-cash dividend income received in the form of securities in-lieu of cash are recorded at the fair value of the securities received. Issuance fees, if any, are custodial fees on American Depositary Receipts (“ADRs”) charged by ADR agents on ADR dividends and are recorded when paid. Interest income is recognized on an accrual basis, while discounts and premiums on securities purchased are amortized or accreted, respectively, using the constant yield method over the life of the security. Expenses common to multiple Funds are allocated among the respective Funds based upon their relative net asset values or other reasonable allocation methods.
g) Foreign Currency Translation and Transactions – The books and records of the Funds are maintained in U.S. dollars. The Funds’ assets and liabilities in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the valuation date. Transactions denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the date of the transaction. The Funds’ income earned and expense incurred in foreign denominated currencies are translated into U.S. dollars at the prevailing exchange rate on the date of such activity.
The Funds do not isolate that portion of the results of operations arising from changes in the foreign exchange rates on investments and derivatives from the fluctuations that result from changes in the market prices of investments and derivatives held or sold during the period. Accordingly, such foreign currency gains/(losses) are included in the reported net realized gains/(losses) on investments in securities and derivatives and net change in unrealized appreciation/(depreciation) on investment securities and derivatives on the Statements of Operations.
3. SECURITIES AND OTHER INVESTMENTS
a) Delayed Delivery Securities – Certain Funds may enter into contracts to purchase mortgage securities for a fixed price at a future date beyond customary settlement time if the Fund sets aside on its books liquid assets in an amount sufficient to meet the purchase price, or if the Fund enters into offsetting contracts for the forward sale of other securities it owns. In the case of delayed delivery mortgage purchase commitments, the unit price and the
| | |
| Annual Report • June 30, 2018 | | 57 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
estimated principal amount are established when the Fund enters into a contract, with the actual principal amount being within a specified range of the estimate. For these obligations, the Fund will earmark liquid assets in an amount sufficient to cover its obligations. Forward commitments may be considered securities in themselves, and involve a risk of loss if the value of the security to be purchased declines prior to the settlement date. This risk is in addition to the risk of decline in the value of the Fund’s other assets. Where such purchases are made through dealers, the Fund relies on the dealer to consummate the sale. The dealer’s failure to do so may result in a loss to the Fund of an advantageous yield or price. Although the Fund will generally enter into forward commitments with the intention of acquiring securities for its portfolio, the Fund may dispose of a commitment prior to settlement if it deems it appropriate to do so.
A Fund may enter into delayed delivery sale commitments to hedge its portfolio positions or to sell securities it owns under delayed delivery arrangements. Proceeds of the sale commitments are not received until the contractual settlement date. Unsettled sale commitments are valued at current market value of the underlying securities. If the sale commitment is closed through the acquisition of an offsetting purchase commitment, the Fund realizes a gain or loss on the commitment without regard to any unrealized appreciation/(depreciation) on the underlying security. If the Fund delivers securities under the commitment, the Fund realizes a gain or (loss) from the sale of the securities based upon the unit price established at the date the commitment was entered into.
b) Derivatives – The Funds invest in derivatives as permitted by their investment objectives and policies. Derivatives are financial instruments whose value is based on the value of another underlying asset, interest rate, index or financial instrument.
Futures Contracts – Certain Funds may enter into futures contracts, which are agreements between two parties to buy or sell a specified underlying instrument for a fixed price on a specified future date. The Funds buy and sell futures contracts to gain or hedge exposure to certain risk factors. Upon entering into a futures contract, the Funds are required to deposit with the broker cash or securities, which are referred to as initial margin. Securities deposited as initial margin are designated on the Summary Schedule of Investments, and cash deposited is recorded as Deposits at broker for futures contracts on the Statements of Assets and Liabilities. Exchange traded futures are marked to market daily based on the price movement of the contract. This change in value creates either a payable or receivable for the Fund as either more or less margin is required by the clearing agent. This change in value, known as variation margin, is moved daily between the Fund and its counterparty. A change in the market value of an open futures contract is recorded as unrealized appreciation/(depreciation) until the contract is closed. When a contract is closed, the Fund will record a realized gain or (loss) equal to the difference between the proceeds of the closing transaction and the Fund’s basis in the contract. Futures contracts outstanding at period end, if any, are listed within each Fund’s Summary Schedule of Investments.
Forward Foreign Currency Exchange Contracts – Certain Funds buy and sell forward foreign currency exchange contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to protect against a decline in value relative to the U.S. dollar of the currencies in which portfolio securities are denominated or quoted (or an increase in the value of a currency in which securities that a Fund intends to buy are denominated, when a Fund holds cash reserves and short term investments), or for other investment purposes. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as unrealized appreciation/(depreciation). When the contract is closed in its foreign currency, the Funds record a realized gain or (loss) equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. dollars without the delivery of foreign currency. The Funds could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the Funds are unable to enter into a closing position. Forward foreign currency exchange contracts outstanding at period end, if any, are listed within each Fund’s Summary Schedule of Investments.
| | |
| 58 | | Annual Report • June 30, 2018 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
Repurchase Agreements – In a repurchase agreement, a Fund buys a security from another party (the counterparty), usually a financial institution, with the agreement that it be sold back in the future. Repurchase agreements subject a Fund to counterparty risk, meaning that the Fund could lose money if the other party fails to perform under the terms of the agreement. A Fund mitigates this risk by ensuring that the Fund’s repurchase agreements are collateralized by cash and/or U.S. government securities. All collateral is held by a Fund’s custodian (or, with multi-party agreements, the agent’s bank) and is monitored daily to ensure that its market value is at least equal to the repurchase price under the agreement. In the event of a default by the counterparty, realization of the collateral proceeds could be delayed or limited and the value of the collateral may decline. Investments in repurchase agreements are also based on a review of the credit quality of the repurchase agreement counterparty. Certain Funds may enter into repurchase agreements in which eligible securities are transferred into joint trading accounts maintained by the custodian or sub-custodian under a tri-party agreement for investment companies and other clients advised by the Sub-adviser (as defined below) and its affiliates. A Fund may participate with the other investment companies and clients in its share of the securities transferred under such repurchase agreements and in its share of proceeds from any repurchase or other disposition of such securities. Repurchase agreements are subject to master netting agreements, which are agreements between a Fund and its counterparties that provide for the net settlement of all transactions and collateral with the Fund through a single payment, in the event of default or termination. Amounts presented on the Summary Schedule of Investments are gross settlement amounts.
Swap Contracts – Certain Funds may invest in swap contracts. Swap contracts are bilaterally negotiated agreements between a Fund and a counterparty to exchange or swap investment cash flows, assets, or market-linked returns at specified, future intervals. Swap contracts may be privately negotiated in the over-the-counter market (“OTC Swaps”) or may be cleared through a third-party, known as a central counterparty or derivatives clearing organization (“Centrally Cleared Swaps”). A Fund may enter into credit default, interest rate and/or total return swap contracts to manage the Fund’s exposure to credit, interest rate and equity risk. Securities or cash may be used as collateral or margin in accordance with the terms of the swap contract in order to provide assets in the event of a default or bankruptcy.
Centrally Cleared Swaps are marked to market daily and the change, if any, is recorded as swap variation margin on the Statements of Assets and Liabilities. OTC Swaps are marked to market daily and the change, if any, is included in the OTC Swap Contracts, at value line item on the Statements of Assets and Liabilities. Both OTC and Centrally Cleared Swaps show this component as change in unrealized appreciation/(depreciation) on the Statements of Operations. Swap variation margin is accounted for as unrealized appreciation/(depreciation) until the contract is closed, at which time the gains or (losses) are realized. Upfront premiums received/(paid) represent cash payments made upon the opening of the swap contract to compensate for differences between the stated terms of the contract and the current market value contract. These upfront payments are recorded as assets/(liabilities) and are included within the market value of the swap contract. Upon liquidation or termination of the swap contract, these payments are recorded as realized gain/(loss) on the Statements of Operations. Net periodic payments received/(paid) by the Fund are also included in the realized gain/(loss) on swap contracts on the Statements of Operations. Swap contracts outstanding, including their respective notional amounts at period end, if any, are listed within each Fund’s Summary Schedule of Investments.
Interest Rate Swaps – Certain Funds may enter into interest rate swap contracts to manage fund exposure to interest rates or to either preserve or generate a return on a particular investment or portion of its portfolio. These are agreements between counterparties to exchange periodic interest payments based on interest rates. One cash flow stream will typically be a floating rate payment based upon a specified interest rate while the other is typically a fixed interest rate.
Credit Default Swap Contracts – Certain Funds may enter into credit default swap contracts to provide a measure of protection against risk of loss following a default, or other credit event in respect of issuers within an underlying index or a single issuer, or to gain credit exposure to an underlying index or issuer. In a credit default swap contract,
| | |
| Annual Report • June 30, 2018 | | 59 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
the protection buyer typically makes an upfront payment and a periodic stream of payments to the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or other equally ranked obligations of the reference entity. As a seller of protection on a credit default swap contract, the Fund will generally receive from the protection buyer a fixed rate of income throughout the term of the swap provided there is no credit event. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. Upon the occurrence of a credit event, the difference between the par value and market value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
Implied credit spreads are used to determine the value of credit default swap contracts and reflect the cost of buying/selling protection, which may include upfront payments made to enter into the contract. Therefore, higher spreads indicate a greater likelihood that a seller will be obligated to perform (i.e. make payment) under the swap contract. Implied credit spreads for credit default swaps on credit indexes are linked to the weighted average spread across the underlying reference obligations included in a particular index.
Risks of loss may exceed amounts recognized on the Summary Schedule of Investments. A Fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the specific Fund and the counterparty. Where a Fund is a seller of protection, the maximum potential amount of future payments the Fund may be required to make is equal to the notional amount of the relevant credit default contract. The Fund’s risk of loss associated with these instruments may exceed their value, as recorded in the Summary Schedule of Investments.
Total Return Swap Contracts – Certain Funds invest in total return swaps to obtain exposure to the underlying referenced instruments, obtain leverage or attain the returns from ownership without actually owning the underlying position. Total return swaps are two-party contracts that generally obligate one party to pay the positive return and the other party to pay the negative return on a specified reference security, security index or index component during the period of the swap. Total return swap contracts are marked to market daily and the change, if any, is recorded as net change in unrealized appreciation/(depreciation) on swap contracts in the Statements of Operations. Total return swaps normally do not involve the delivery of securities or other underlying assets. If the counterparty to a total return swap contract defaults, a Fund’s risk of loss consists of the net amount of payments the Fund is contractually entitled to receive, if any. The use of long total return swap contracts subject the Funds to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities. The use of short total return swaps subject the Funds to unlimited loss. Periodic payments received (paid) by the Funds are recorded as net realized gain/(loss) on swap contracts in the Statements of Operations. Total return swap contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.
c) Loan Participation, Assignments and Unfunded Commitments – Certain Funds invest in loan participations and assignments. When one of the Funds purchases a loan participation, the Fund typically enters into a contractual relationship with the lender or a third party selling such participations (“Selling Participant”), but not the borrower. In this case, the Fund assumes the credit risk of the borrower and the Selling Participant and any other persons inter-positioned between the Fund and the borrower (“Intermediate Participants”). In contrast, when one of the Funds purchases an assignment, the contractual relationship is with the borrower and the credit risk assumed by the Fund is only with the borrower. Although certain loan participations or assignments are secured by collateral, the Fund could experience delays or limitations in realizing such collateral or have its interest subordinated to other indebtedness of the obligor.
The Funds may also enter into unfunded loan commitments, which are contractual obligations for future funding. These unfunded commitments represent a future obligation in full, even though a percentage of the loan may not be utilized by the borrower. These types of investments may include standby financing commitments, such as revolving credit facilities, which obligate the Fund to supply additional cash to the borrower on demand. The value of the unfunded
| | |
| 60 | | Annual Report • June 30, 2018 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
portion of the investment is determined using pro-rata allocation, based on its par value relative to the par value of the entire investment. The unfunded loan commitments are marked daily and any unrealized appreciation/(depreciation) from unfunded commitments is reported in the Statements of Assets and Liabilities as well as the Statements of Operations. When investing in loan participations, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan participation and only upon receipt of payments by the lender from the borrower. The Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of the loan. In certain circumstances, the Fund may receive a penalty fee upon the prepayment of a loan by a borrower. Fees earned or paid are recorded as a component of interest income or interest expense, respectively, on the Statements of Operations. In addition, loan participations and assignments are vulnerable to market conditions such that economic conditions or other events may reduce the demand for loan participations and assignments, and certain loan participations and assignments which were liquid, when purchased, may become illiquid. As of June 30, 2018 the Funds did not hold any unfunded commitments.
d) Restricted Securities – The Funds may own investment securities that are unregistered or have other legal or contractual limitations, and thus are restricted as to resale. These securities are valued after giving due consideration to pertinent factors, including recent private sales, market conditions and the issuer’s financial performance. Where future disposition of these securities requires registration under the Securities Act of 1933, a Fund may have the right to include these securities in such registration, generally without cost to the Fund. A Fund generally has no right to require registration of the unregistered securities it holds. All unregistered securities held at June 30, 2018 met the definition of Rule 144A of the Securities Act of 1933 and can be traded with an institutional investor without registration. The Adviser has determined that as of June 30, 2018, the Funds did not hold any restricted securities pursuant to the Funds’ restricted securities guidelines.
e) Defaulted Securities – Certain Funds may hold defaulted securities or other securities which were placed in non-accrual status as the collection of a portion or all of the interest has been deemed to be uncollectible. Debt obligations may be placed on non-accrual status and the related interest income, amortization or accretion may be reduced or stopped entirely. Additionally, current income accruals and interest receivables may be written off when the collection of the interest income has become doubtful. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is probable.
f) Sale-buyback Transactions – A sale-buyback financing transaction consists of a sale of a security by a Fund to a counterparty, with a simultaneous agreement to repurchase the same or substantially the same security at an agreed-upon price and date. The Fund is not entitled to receive principal and interest payments, if any, made on the security sold to the counterparty during the term of the agreement. The agreed-upon proceeds for securities to be repurchased by the Fund are reflected in the payable for investments purchased on the Statements of Assets and Liabilities. The Fund will recognize net income represented by the price differential between the price received for the transferred security and the agreed-upon repurchase price. This is commonly referred to as the ‘price drop’. A price drop consists of (i) the foregone interest and inflationary income adjustments, if any, the Fund would have otherwise received had the security not been sold and (ii) the negotiated financing terms between the Fund and counterparty. In periods of increased demand for the security, the Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund. The Fund will segregate assets determined to be liquid by the Sub-adviser or will otherwise cover its obligations under sale-buyback transactions. Sale-buyback transactions are governed by Master Securities Forward Transaction Agreements (“Master Forward Agreements”), which are agreements between the Fund and select counterparties. The Master Forward Agreements maintain provisions for, among other things, transaction initiation and confirmation, payment and transfer, events of default, termination and maintenance of collateral. The market value of sale-buyback transactions as of period end is disclosed in each Fund’s Summary Schedule of Investments.
The Core Plus Bond Fund began entering into sale-buyback transactions in May 2018. As of June 30, 2018, the Core Plus Bond Fund participated in sale-buyback transactions: the payable for investments purchased related to sale-buyback transactions were $485,242,595, interest expense was $521,622, the impact to the Gross and Net Expense Ratio’s was less than one basis point. Additionally, during the period May 1 through June 30, 2018, the average amount of borrowings outstanding was $155,319,967 at a weighted average interest rate of 1.86%.
| | |
| Annual Report • June 30, 2018 | | 61 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
4. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS
a) Investment Valuation Policies – The Net Asset Value (“NAV”) of the Funds’ shares are generally valued as of the close of the regular trading on the New York Stock Exchange (“NYSE”), normally 4:00 p.m. Eastern time, on each day the NYSE is open. The NAV per share of each Fund is computed by dividing the total net assets of the Fund by the total number of shares outstanding. For purposes of calculating the NAV, portfolio securities and derivative instruments are valued using valuation methods adopted by the Trust’s Board of Trustees (the “Board”).
The Board has delegated responsibility for applying approved valuation policies to the Adviser. The Adviser monitors the continual appropriateness of valuation methods applied and determines if adjustments should be made in light of market factor changes and events affecting issuers. The Adviser performs a series of activities to provide reasonable assurance of the accuracy of the prices utilized including: periodic vendor due diligence meetings and reviewing the results of back testing on a monthly basis. The Adviser provides the Board with reporting on the results of the back testing as well as positions which were fair valued during the period.
The Board has established a Valuation Committee whose function is to monitor the valuation of portfolio securities and derivative instruments and determine in good faith the fair value of the Funds’ holdings after considering all relevant factors. The Valuation Committee is generally responsible for overseeing the day-to-day valuation processes and is authorized to make all necessary determinations to fair value the portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers, dealers or independent pricing services are unreliable.
Additionally, the Board has adopted valuation procedures that allow for the use of fair value pricing in appropriate circumstances. For example, such circumstances may arise when trading in a security has been halted or suspended, when a security has been delisted from a national exchange, when a security has not been traded for an extended period of time, or when a significant event with respect to a security occurs after the close of the market or exchange on which the security principally trades and before the time a Fund calculates its own share price. If there is no price, or in the Adviser’s determination the price provided for a security by an independent pricing agent or broker does not represent fair value, then the security will be fair valued in accordance with procedures adopted by the Board. Thinly traded securities and certain foreign securities may be impacted more by the use of fair valuations than other securities. In using fair value pricing, a Fund attempts to establish the price that it might reasonably have expected to receive upon a sale of the security at 4:00 p.m. Eastern time. Valuing securities at fair value involves greater reliance on judgment than valuation of securities based on readily available market quotations. When using fair value to price securities, a Fund may value those securities higher or lower than another fund using market quotations or fair value to price the same securities. Further, there can be no assurance that the Fund could obtain the fair value assigned to a security if it were to sell the security at approximately the same time at which the Fund determines its net asset value.
b) Fair Value Hierarchy – The Funds have performed an analysis of all existing investments to determine the significance and character of all inputs to their fair value determination. Various inputs are used in determining the value of each Fund’s investments. These inputs are summarized in the following three broad categories:
| | • | | Level 1 – Inputs using unadjusted quoted prices in active markets or exchanges for identical assets and liabilities. |
| | • | | Level 2 – Fair value measurement within Level 2 should be based on all inputs other than quoted prices included within Level 1 that are observable for the asset or liability. Other significant observable market inputs include quoted prices for similar instruments in active markets, quoted adjusted prices in active markets, quoted prices for identical or similar instruments in markets that are not active, and model-derived valuations in which the majority of significant inputs and significant value drivers are observable in active markets. |
| | • | | Level 3 – Fair value measurement within Level 3 should be based on unobservable inputs in such cases where markets don’t exist or are illiquid. Significant unobservable inputs include model derived valuations in which the majority of significant inputs or significant value drivers are unobservable. Unobservable inputs are those inputs that reflect the Fund’s own assumptions that market participants would use to price the asset or liability based on the best available information. |
| | |
| 62 | | Annual Report • June 30, 2018 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
c) Valuation Techniques – Fixed-income securities, including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. Treasury obligations, sovereign issues, bank loans, convertible preferred securities and non-U.S. bonds (other than short-term securities) are valued using that day’s bid price provided by an independent pricing service. Fixed-income securities are normally valued on the basis of quotes obtained from independent pricing services in accordance with procedures adopted by the Board. Independent pricing services typically use information provided by market makers or estimates of market values obtained from yields and other relevant data relating to investments or securities with similar characteristics. The independent pricing service’s internal models use inputs that are observable such as, among other things, issuer details, interest rates, yield curves, prepayment speeds, trade information, market color, credit risks/spreads, default rates and quoted prices for similar assets and the securities’ terms and conditions. Securities that use similar valuation techniques and inputs as described above are generally categorized as Level 2 of the fair value hierarchy.
Mortgage- and asset-backed securities are usually issued as separate tranches, or classes, of securities within each package of underlying securities. These securities are also normally valued by pricing service providers that use broker-dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche level attributes, estimated cash flows and market-based yield spreads for each tranche and current market data and packaged collateral performance, as available. Mortgage- and asset-backed securities that use such valuation techniques and inputs are typically categorized as Level 2.
Short-term securities without a vendor price and with 60 days or less remaining to maturity when acquired by a Fund are generally valued on an amortized cost basis, which approximates fair value. These securities are typically categorized as Level 2 in the fair value hierarchy.
Equity securities traded on a national securities exchange are valued at the last reported sale price at the close of regular trading on each day the exchange is open for trading. Securities listed on the NASDAQ National Market System for which market quotations are readily available are valued using the NASDAQ Official Closing Price. These valuations are typically categorized as Level 1 in the fair value hierarchy. Securities traded on an exchange for which there have been no sales are valued at the mean between the last bid and ask price on such day. Securities and financial instruments for which prices are not available from an independent pricing service may be valued using market quotations obtained from one or more dealers that make markets in the respective securities in accordance with procedures adopted by the Board and are classified as Level 2 or Level 3 depending on the observability of inputs.
Certain vendor-priced securities may also be considered Level 3 if significant unobservable inputs are used by the vendors.
Foreign securities, currencies and other assets denominated in currencies other than U.S. dollars are translated to U.S. dollars using exchange rates obtained from independent pricing services. All assets denominated in foreign currencies are converted to U.S. dollars using the applicable currency exchange rates as of the close of the NYSE, generally 4:00 p.m. Eastern time.
Valuation adjustments may be applied to certain common and preferred stocks that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the close of the NYSE. These securities are generally valued using pricing service providers that consider the correlation of the trading patterns of the foreign securities to the intraday trading in the U.S. markets for investments. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy.
Open-ended mutual funds (including money market funds) are valued at the end of the day’s net asset value and are categorized as Level 1 of the fair value hierarchy.
Exchange traded financial derivative instruments, such as futures contracts or options contracts that are traded on a national securities or commodities exchange, are valued at the last reported sales or settlement price. To the
| | |
| Annual Report • June 30, 2018 | | 63 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy. If there was no sale activity, the financial derivative is valued at the mean between the highest bid and lowest ask price on the relevant exchange closest to the close of the NYSE and are categorized as Level 2.
OTC derivatives, including forward foreign currency exchange contracts and swap contracts, are valued by the Funds on a daily basis using observable inputs, such as quotations provided by an independent pricing service, the counterparty, dealers or brokers, whenever available and considered reliable. These securities are typically categorized as Level 2 of the fair value hierarchy.
The U.S. dollar value of forward foreign currency exchange contracts is determined using current forward currency exchange rates supplied by an independent pricing service.
Centrally cleared credit default and interest rate swap contracts are valued daily based on quotations as provided by an independent pricing service. The independent pricing services aggregate valuation information from various market participants to create a single reference value for each credit default swap contract and interest rate swap contract. These securities are typically categorized as Level 2 of the fair value hierarchy.
The Funds value the repurchase agreements they have entered based on the respective contract amounts, which approximate fair value. As such, repurchase agreements are carried at the amount of cash paid plus accrued interest receivable (or interest payable in periods of increased demand for collateral). These securities are typically categorized as Level 2 of the fair value hierarchy.
Quantitative Information
The following tables represent each Fund’s valuation inputs as presented in the Summary Schedule of Investments.
Core Bond Fund
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Assets | | | | | | | | | | | | | | | | |
Asset-Backed Obligations | | $ | — | | | $ | 1,812,269,960 | | | $ | 69,077,187 | | | $ | 1,881,347,147 | |
Corporate Bonds | | | | | | | | | | | | | | | | |
Basic Materials | | | — | | | | 179,887,247 | | | | — | | | | 179,887,247 | |
Communications | | | — | | | | 329,172,844 | | | | — | | | | 329,172,844 | |
Consumer, Cyclical | | | — | | | | 367,035,855 | | | | — | | | | 367,035,855 | |
Consumer, Non-cyclical | | | — | | | | 528,293,797 | | | | — | | | | 528,293,797 | |
Diversified | | | — | | | | 12,285,059 | | | | — | | | | 12,285,059 | |
Energy | | | — | | | | 524,077,695 | | | | — | | | | 524,077,695 | |
Financials | | | — | | | | 1,938,223,954 | | | | 100,220 | | | | 1,938,324,174 | |
Industrials | | | — | | | | 258,076,409 | | | | — | | | | 258,076,409 | |
Real Estate | | | — | | | | 4,842,156 | | | | — | | | | 4,842,156 | |
Technology | | | — | | | | 188,625,174 | | | | — | | | | 188,625,174 | |
Utilities | | | — | | | | 432,470,222 | | | | — | | | | 432,470,222 | |
Government Related | | | — | | | | 3,436,501,896 | | | | — | | | | 3,436,501,896 | |
Mortgage-Backed Obligations | | | — | | | | 5,318,274,690 | | | | 68,458,158 | | | | 5,386,732,848 | |
Preferred Stocks | | | | | | | | | | | | | | | | |
Financials | | | 2,481,400 | | | | — | | | | — | | | | 2,481,400 | |
Short-Term Investments | | | | | | | | | | | | | | | | |
Money Market Funds | | | 1,024,743,425 | | | | — | | | | — | | | | 1,024,743,425 | |
U.S. Treasury Bills | | | — | | | | 983,645 | | | | — | | | | 983,645 | |
Futures Contracts (1) | | | 6,116,608 | | | | — | | | | — | | | | 6,116,608 | |
Total Assets | | $ | 1,033,341,433 | | | $ | 15,331,020,603 | | | $ | 137,635,565 | | | $ | 16,501,997,601 | |
Liabilities | | | | | | | | | | | | | | | | |
Futures Contracts (1) | | $ | 221,411 | | | $ | — | | | $ | — | | | $ | 221,411 | |
Total Liabilities | | $ | 221,411 | | | $ | — | | | $ | — | | | $ | 221,411 | |
| | |
| 64 | | Annual Report • June 30, 2018 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | |
| Core Plus Bond Fund | | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Assets | | | | | | | | | | | | | | | | |
Asset-Backed Obligations | | $ | — | | | $ | 1,434,157,653 | | | $ | 19,450,143 | | | $ | 1,453,607,796 | |
Bank Loans | | | — | | | | 233,731,265 | | | | 6,629,855 | | | | 240,361,120 | |
Corporate Bonds | | | | | | | | | | | | | | | | |
Basic Materials | | | — | | | | 100,122,092 | | | | 512,495 | | | | 100,634,587 | |
Communications | | | — | | | | 475,422,817 | | | | — | | | | 475,422,817 | |
Consumer, Cyclical | | | — | | | | 313,368,418 | | | | 4,561,619 | | | | 317,930,037 | |
Consumer, Non-cyclical | | | — | | | | 582,876,191 | | | | 2,982,657 | | | | 585,858,848 | |
Diversified | | | — | | | | 6,099,202 | | | | — | | | | 6,099,202 | |
Energy | | | — | | | | 329,819,597 | | | | — | | | | 329,819,597 | |
Financials | | | — | | | | 1,425,659,148 | | | | — | | | | 1,425,659,148 | |
Industrials | | | — | | | | 212,804,960 | | | | — | | | | 212,804,960 | |
Real Estate | | | — | | | | 40,143,334 | | | | — | | | | 40,143,334 | |
Technology | | | — | | | | 198,533,416 | | | | — | | | | 198,533,416 | |
Utilities | | | — | | | | 206,207,863 | | | | 545,843 | | | | 206,753,706 | |
Government Related | | | — | | | | 2,628,557,708 | | | | — | | | | 2,628,557,708 | |
Mortgage-Backed Obligations | | | — | | | | 2,360,109,980 | | | | 17,319,420 | | | | 2,377,429,400 | |
Preferred Stocks | | | | | | | | | | | | | | | | |
Consumer, Non-cyclical | | | 7,421,652 | | | | — | | | | — | | | | 7,421,652 | |
Financials | | | 6,120,976 | | | | — | | | | — | | | | 6,120,976 | |
Common Stocks | | | | | | | | | | | | | | | | |
Communications | | | — | | | | — | | | | 9,588 | | | | 9,588 | |
Consumer, Cyclical | | | 3,627,118 | | | | — | | | | — | | | | 3,627,118 | |
Short-Term Investments | | | | | | | | | | | | | | | | |
Banker’s Acceptance | | | — | | | | 141,328,011 | | | | — | | | | 141,328,011 | |
Commercial Paper | | | — | | | | 257,806,599 | | | | — | | | | 257,806,599 | |
Foreign Treasury Bills | | | — | | | | 110,481,939 | | | | — | | | | 110,481,939 | |
Repurchase Agreements | | | — | | | | 383,300,000 | | | | — | | | | 383,300,000 | |
Money Market Funds | | | 575,019,533 | | | | — | | | | — | | | | 575,019,533 | |
U.S. Treasury Bills | | | — | | | | 4,285,665 | | | | — | | | | 4,285,665 | |
Futures Contracts (1) | | | 5,487,021 | | | | — | | | | — | | | | 5,487,021 | |
Forward Foreign Currency Exchange Contracts (1) | | | — | | | | 12,373,831 | | | | — | | | | 12,373,831 | |
Swap Contracts (1) | | | — | | | | 2,966,938 | | | | — | | | | 2,966,938 | |
Total Assets | | $ | 597,676,300 | | | $ | 11,460,156,627 | | | $ | 52,011,620 | | | $ | 12,109,844,547 | |
Liabilities | | | | | | | | | | | | | | | | |
Futures Contracts (1) | | $ | 782,650 | | | $ | — | | | $ | — | | | $ | 782,650 | |
Forward Foreign Currency Exchange Contracts (1) | | | — | | | | 4,509,686 | | | | — | | | | 4,509,686 | |
Swap Contracts (1) | | | — | | | | 12,168,475 | | | | — | | | | 12,168,475 | |
Total Liabilities | | $ | 782,650 | | | $ | 16,678,161 | | | $ | — | | | $ | 17,460,811 | |
| | | | |
| Municipal Bond Fund | | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Assets | | | | | | | | | | | | | | | | |
Municipal Bonds | | | | | | | | | | | | | | | | |
Education | | $ | — | | | $ | 384,867,119 | | | $ | — | | | $ | 384,867,119 | |
General Obligation | | | — | | | | 855,689,003 | | | | 478,732 | | | | 856,167,735 | |
General Revenue | | | — | | | | 785,621,259 | | | | 994,384 | | | | 786,615,643 | |
Healthcare | | | — | | | | 526,014,108 | | | | 12,284,576 | | | | 538,298,684 | |
Housing | | | — | | | | 83,433,968 | | | | — | | | | 83,433,968 | |
Transportation | | | — | | | | 488,072,765 | | | | — | | | | 488,072,765 | |
Utilities | | | — | | | | 255,631,564 | | | | 480,002 | | | | 256,111,566 | |
Short-Term Investments | | | 47,038,638 | | | | — | | | | — | | | | 47,038,638 | |
Total Assets | | $ | 47,038,638 | | | $ | 3,379,329,786 | | | $ | 14,237,694 | | | $ | 3,440,606,118 | |
| | |
| Annual Report • June 30, 2018 | | 65 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | |
| Large Cap Growth Fund | | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Assets | | | | | | | | | | | | | | | | |
Common Stocks | | | | | | | | | | | | | | | | |
Consumer Discretionary | | $ | 1,172,857,424 | | | $ | 24,111,517 | | | $ | — | | | $ | 1,196,968,941 | |
Consumer Staples | | | 310,345,728 | | | | — | | | | — | | | | 310,345,728 | |
Energy | | | 310,940,653 | | | | — | | | | — | | | | 310,940,653 | |
Financials | | | 412,568,358 | | | | — | | | | — | | | | 412,568,358 | |
Healthcare | | | 784,029,433 | | | | — | | | | — | | | | 784,029,433 | |
Industrials | | | 432,774,700 | | | | — | | | | — | | | | 432,774,700 | |
Information Technology | | | 2,186,532,560 | | | | — | | | | — | | | | 2,186,532,560 | |
Materials | | | 135,072,420 | | | | — | | | | — | | | | 135,072,420 | |
Real Estate | | | 132,125,780 | | | | — | | | | — | | | | 132,125,780 | |
Telecommunication Services | | | 1,143,754 | | | | — | | | | — | | | | 1,143,754 | |
Rights | | | | | | | | | | | | | | | | |
Consumer Staples | | | — | | | | — | | | | — | (2) | | | — | |
Short-Term Investments | | | 189,638,467 | | | | — | | | | — | | | | 189,638,467 | |
Total Assets | | $ | 6,068,029,277 | | | $ | 24,111,517 | | | $ | — | | | $ | 6,092,140,794 | |
| | | | |
| Large Cap Value Fund | | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Assets | | | | | | | | | | | | | | | | |
Common Stocks | | | | | | | | | | | | | | | | |
Consumer Discretionary | | $ | 914,188,426 | | | $ | 51,726,904 | | | $ | — | | | $ | 965,915,330 | |
Consumer Staples | | | 495,324,555 | | | | — | | | | — | | | | 495,324,555 | |
Energy | | | 685,877,987 | | | | — | | | | — | | | | 685,877,987 | |
Financials | | | 1,379,217,015 | | | | — | | | | — | | | | 1,379,217,015 | |
Healthcare | | | 832,547,467 | | | | — | | | | — | | | | 832,547,467 | |
Industrials | | | 797,928,676 | | | | — | | | | — | | | | 797,928,676 | |
Information Technology | | | 829,667,767 | | | | 46,913,986 | | | | — | | | | 876,581,753 | |
Materials | | | 449,471,680 | | | | — | | | | — | | | | 449,471,680 | |
Real Estate | | | 183,286,775 | | | | — | | | | — | | | | 183,286,775 | |
Telecommunication Services | | | 25,533,587 | | | | — | | | | — | | | | 25,533,587 | |
Utilities | | | 90,986,071 | | | | — | | | | — | | | | 90,986,071 | |
Short-Term Investments | | | 293,792,599 | | | | — | | | | — | | | | 293,792,599 | |
Total Assets | | $ | 6,977,822,605 | | | $ | 98,640,890 | | | $ | — | | | $ | 7,076,463,495 | |
| | | | |
| Small/Mid Cap Growth Fund | | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Assets | | | | | | | | | | | | | | | | |
Common Stocks | | | | | | | | | | | | | | | | |
Consumer Discretionary | | $ | 465,256,425 | | | $ | — | | | $ | — | | | $ | 465,256,425 | |
Consumer Staples | | | 201,348,851 | | | | — | | | | — | | | | 201,348,851 | |
Energy | | | 60,163,811 | | | | — | | | | — | | | | 60,163,811 | |
Financials | | | 356,291,376 | | | | — | | | | — | | | | 356,291,376 | |
Healthcare | | | 718,834,845 | | | | — | | | | — | | | | 718,834,845 | |
Industrials | | | 546,929,434 | | | | — | | | | — | | | | 546,929,434 | |
Information Technology | | | 878,911,665 | | | | — | | | | — | | | | 878,911,665 | |
Materials | | | 175,118,532 | | | | — | | | | — | | | | 175,118,532 | |
Real Estate | | | 94,990,751 | | | | — | | | | — | | | | 94,990,751 | |
Telecommunication Services | | | 8,037,410 | | | | — | | | | — | | | | 8,037,410 | |
Utilities | | | 1,520,410 | | | | — | | | | — | | | | 1,520,410 | |
Rights | | | | | | | | | | | | | | | | |
Healthcare | | | — | | | | — | | | | 57,056 | | | | 57,056 | |
Short-Term Investments | | | 101,440,591 | | | | — | | | | — | | | | 101,440,591 | |
Total Assets | | $ | 3,608,844,101 | | | $ | — | | | $ | 57,056 | | | $ | 3,608,901,157 | |
| | |
| 66 | | Annual Report • June 30, 2018 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | |
| Small/Mid Cap Value Fund | | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Assets | | | | | | | | | | | | | | | | |
Common Stocks | | | | | | | | | | | | | | | | |
Consumer Discretionary | | $ | 461,448,587 | | | $ | — | | | $ | — | | | $ | 461,448,587 | |
Consumer Staples | | | 90,074,008 | | | | — | | | | — | | | | 90,074,008 | |
Energy | | | 315,215,160 | | | | — | | | | — | | | | 315,215,160 | |
Financials | | | 981,386,803 | | | | — | | | | — | (2) | | | 981,386,803 | |
Healthcare | | | 180,492,411 | | | | — | | | | — | | | | 180,492,411 | |
Industrials | | | 622,694,327 | | | | — | | | | — | | | | 622,694,327 | |
Information Technology | | | 573,421,603 | | | | — | | | | — | | | | 573,421,603 | |
Materials | | | 249,672,226 | | | | — | | | | — | | | | 249,672,226 | |
Real Estate | | | 320,576,660 | | | | — | | | | — | | | | 320,576,660 | |
Telecommunication Services | | | 7,721,896 | | | | — | | | | — | | | | 7,721,896 | |
Utilities | | | 265,763,702 | | | | — | | | | — | | | | 265,763,702 | |
Short-Term Investments | | | 106,344,934 | | | | — | | | | — | | | | 106,344,934 | |
Total Assets | | $ | 4,174,812,317 | | | $ | — | | | $ | — | | | $ | 4,174,812,317 | |
| | | | |
| International Equity Fund | | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Assets | | | | | | | | | | | | | | | | |
Common Stocks | | | | | | | | | | | | | | | | |
Consumer Discretionary | | $ | 135,498,994 | | | $ | 900,018,454 | | | $ | — | | | $ | 1,035,517,448 | |
Consumer Staples | | | 129,722,092 | | | | 675,054,952 | | | | — | | | | 804,777,044 | |
Energy | | | 68,078,914 | | | | 443,277,917 | | | | — | | | | 511,356,831 | |
Financials | | | 100,923,544 | | | | 1,207,848,114 | | | | — | | | | 1,308,771,658 | |
Healthcare | | | 173,950,354 | | | | 640,298,308 | | | | — | | | | 814,248,662 | |
Industrials | | | 109,200,718 | | | | 831,426,723 | | | | — | | | | 940,627,441 | |
Information Technology | | | 334,497,070 | | | | 629,320,752 | | | | — | | | | 963,817,822 | |
Materials | | | 19,450,118 | | | | 238,070,573 | | | | — | | | | 257,520,691 | |
Real Estate | | | 12,129,478 | | | | 48,801,744 | | | | — | | | | 60,931,222 | |
Telecommunication Services | | | — | | | | 341,605,472 | | | | — | | | | 341,605,472 | |
Utilities | | | 328,272 | | | | 189,503,942 | | | | — | | | | 189,832,214 | |
Preferred Stocks | | | | | | | | | | | | | | | | |
Consumer Discretionary | | | — | | | | 18,366,081 | | | | — | | | | 18,366,081 | |
Consumer Staples | | | — | | | | 570,495 | | | | — | | | | 570,495 | |
Healthcare | | | — | | | | 130,113 | | | | — | | | | 130,113 | |
Materials | | | — | | | | 78,386 | | | | — | | | | 78,386 | |
Rights | | | | | | | | | | | | | | | | |
Financials | | | — | | | | — | | | | — | (2) | | | — | |
Short-Term Investments | | | 224,883,367 | | | | — | | | | — | | | | 224,883,367 | |
Total Assets | | $ | 1,308,662,921 | | | $ | 6,164,372,026 | | | $ | — | | | $ | 7,473,034,947 | |
| (1) | Derivative instruments, including futures, swap contracts and forward foreign currency exchange contracts are reported at the cumulative unrealized appreciation/(depreciation) of the instrument within the Funds’ Summary Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities for exchange-traded and centrally-cleared derivatives. |
| (2) | Includes a security valued at $0. |
| | |
| Annual Report • June 30, 2018 | | 67 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
The Funds recognize all transfers at the end of the reporting period. Transfers from Level 1 and Level 2 to Level 3 are generally due to a decline in market activity which resulted in a lack of or fewer observable market inputs used to determine price or the removal of a fair value valuation adjustment. Transfers from Level 3 to Level 2 are generally the result of increased observable market activity, resulting in an increase in the number of observable inputs used to determine price.
Below are the transfers between levels for the Core Bond, Core Plus Bond, Municipal Bond, and International Equity Funds during the reporting period from July 1, 2017 to June 30, 2018. There were no transfers between levels for the Large Cap Growth, Large Cap Value, Small/Mid Cap Growth and Small/Mid Cap Value Funds during the reporting period ended June 30, 2018.
| | | | | | | | | | | | | | | | |
| | | Core
Bond Fund | | | Core Plus
Bond Fund | | | Municipal
Bond Fund | | | International
Equity Fund | |
Transfers into Level 1 (1) | | $ | — | | | $ | — | | | $ | — | | | $ | 19,661,066 | |
Transfers out of Level 1 (2) | | | — | | | | — | | | | — | | | | (7,031,003 | ) |
| | | | | | | | | | | | | | | | |
Net transfers into/(out of) Level 1 | | | — | | | $ | — | | | $ | — | | | $ | 12,630,063 | |
| | | | | | | | | | | | | | | | |
Transfers into Level 2 (1)(2) | | $ | 44,896,465 | | | $ | 38,806,789 | | | $ | 9,130,681 | | | $ | 7,031,003 | |
Transfers out of Level 2 (1)(2) | | | — | | | | (11,145,045 | ) | | | — | | | | (19,661,066 | ) |
| | | | | | | | | | | | | | | | |
Net transfers into/(out of) Level 2 | | $ | 44,896,465 | | | $ | 27,661,744 | | | $ | 9,130,681 | | | $ | (12,630,063 | ) |
| | | | | | | | | | | | | | | | |
Transfers into Level 3 (2) | | | — | | | $ | 11,145,045 | | | $ | — | | | $ | — | |
Transfers out of Level 3 (1) | | $ | (44,896,465 | ) | | | (38,806,789 | ) | | | (9,130,681 | ) | | | — | |
| | | | | | | | | | | | | | | | |
Net transfers into/(out of) Level 3 | | $ | (44,896,465 | ) | | $ | (27,661,744 | ) | | $ | (9,130,681 | ) | | $ | — | |
| | | | | | | | | | | | | | | | |
| (1) | Securities transferred from Level 3 to Level 2 and Level 2 to Level 1 were the result of additional market data being obtained and observed or the removal of a fair value valuation adjustment. |
| (2) | Securities transferred from Level 1 to Level 2 and Level 2 to Level 3 because of the application of a fair value valuation adjustment or the lack of observable market data. |
The Core Bond, Core Plus Bond, Municipal Bond, Large Cap Growth, Small/Mid Cap Growth, Small/Mid Cap Value, and International Equity Funds all held Level 3 securities at the end of the period. In the aggregate, securities classified as Level 3 in the Core Plus Bond, Municipal Bond, Large Cap Growth, Small/Mid Cap Growth, Small/Mid Cap Value, and International Equity Funds have been deemed immaterial.
Below is a roll forward which details the activity of securities in Level 3 during the period ended June 30, 2018:
| | | | |
| | | Core Bond
Fund | |
Beginning Balance – June 30, 2017 | | $ | 127,785,038 | |
Purchases | | | 97,531,950 | |
Sales proceeds and paydowns | | | (41,974,343 | ) |
Transfers into Level 3 | | | — | |
Transfer out of Level 3 | | | (44,896,465 | ) |
Realized gains/(losses), net | | | 120,004 | |
Change in unrealized gains/(losses), net | | | (930,619 | ) |
| | | | |
Ending Balance – June 30, 2018 | | $ | 137,635,565 | |
| | | | |
The realized and unrealized gains/(losses) from Level 3 transactions are included with the net realized gain/(loss) on investments and net change in unrealized appreciation/(depreciation) on investments on the Statements of Operations, respectively. The net change in unrealized appreciation/(depreciation) on investments related to Level 3 securities held by the Core Bond Fund at June 30, 2018 totals $(398,545).
The following provides a general description of the impact of a change in an unobservable input on the fair value measurement and the interrelationship of unobservable inputs, where relevant and significant. Interrelationships may also exist between observable and unobservable inputs (for example, as interest rates rise, prepayment rates decline).
| | |
| 68 | | Annual Report • June 30, 2018 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
Significant unobservable inputs used by the third-party pricing vendors and broker-dealers generally include prepayment rates, interest rates, probability of default and loss severity in the event of default. Significant increases/(decreases) in any of those inputs in isolation could result in a significantly higher/lower fair value measurement. Generally, a change in the assumption used for the probability of default is accompanied by a directionally similar change in the assumption used for the loss severity and a directionally opposite change in the assumption used for prepayment rates.
Additionally, third-party pricing vendors and broker-dealers could use market activity related to comparable securities to supplement the inputs noted above. Usually, an increase/(decrease) in the price of a comparable bond would result in a higher/lower fair value measurement.
The following table presents information about unobservable inputs related to the Funds’ categories of Level 3 investments as of June 30, 2018:
Quantitative Information about Level 3 Fair Value Measurements*
Core Bond Fund
| | | | | | | | | | | | | | |
| Investment Type | | Fair Value at
6/30/18 | | | Valuation
Methodology | | Unobservable Inputs | | Input Value/Range | | Weighted Average | |
Corporate Bonds | | $ | 100,220 | | | Cost Basis less illiquidity discount | | Discount for lack of marketability | | 10% | | | 10 | % |
Asset-Backed Obligations | | $ | 9,349,810 | | | Market activity | | Recent transaction | | $100.00 | | $ | 100.00 | |
Mortgage-Backed Obligations | | $ | 23,923,543 | | | Market activity | | Recent transaction | | $100.09-$106.66 | | $ | 102.42 | |
*The table above does not include Level 3 securities that are valued by pricing vendors or brokers. At June 30, 2018, the value of these securities was $104,261,992 for the Core Bond Fund. The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 4. The appropriateness of fair values for these securities is monitored on an ongoing basis which may include results of back testing, results of pricing vendor and/or broker due diligence, unchanged price review and consideration of macro or security specific events.
5. DERIVATIVE INSTRUMENTS
Certain Funds use derivative instruments as part of their principal investment strategy to achieve their stated investment objective. The Funds’ derivative contracts held at period end are not accounted for as hedging instruments under GAAP. For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities across derivative types that are subject to master netting arrangements in the Statements of Assets and Liabilities. There were no financial instruments subject to a netting agreement for which the Funds are not currently netting.
The following table lists the fair value of derivative instruments held by the Funds, by primary underlying risk and contract type, as included in the Statements of Assets and Liabilities at period end.
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Assets | | | Liabilities | |
| | | Unrealized
Appreciation on
Futures Contracts* | | | Swaps at
Value* | | | Unrealized
Appreciation
on Forward
Foreign
Currency
Exchange
Contracts | | | Unrealized
Depreciation on
Futures Contracts* | | | Swaps at
Value* | | | Unrealized
Depreciation
on Forward
Foreign
Currency
Exchange
Contracts | |
Interest Rate Risk: | | | | | | | | | | | | | | | | | | | | | | | | |
Core Bond Fund | | $ | 6,116,608 | | | $ | — | | | $ | — | | | $ | (221,411 | ) | | $ | — | | | $ | — | |
Core Plus Bond Fund | | | 5,487,021 | | | | 1,746,687 | | | | — | | | | (782,650 | ) | | | (8,032,773 | ) | | | — | |
| | |
| Annual Report • June 30, 2018 | | 69 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Assets | | | Liabilities | |
| | | Unrealized
Appreciation on
Futures Contracts* | | | Swaps at
Value* | | | Unrealized
Appreciation
on Forward
Foreign
Currency
Exchange
Contracts | | | Unrealized
Depreciation on
Futures Contracts* | | | Swaps at
Value* | | | Unrealized
Depreciation
on Forward
Foreign
Currency
Exchange
Contracts | |
Foreign Exchange Risk: | | | | | | | | | | | | | | | | | | | | | | | | |
Core Plus Bond Fund | | $ | — | | | $ | — | | | $ | 12,373,831 | | | $ | — | | | $ | — | | | $ | (4,509,686 | ) |
Credit Risk: | | | | | | | | | | | | | | | | | | | | | | | | |
Core Plus Bond Fund | | | — | | | | 1,220,251 | | | | — | | | | — | | | | (4,135,702 | ) | | | — | |
| * | May include cumulative unrealized appreciation/(depreciation) as reported on the Summary Schedule of Investments. Only current day’s variation margin is reported on the Statements of Assets and Liabilities for exchange traded derivatives and centrally-cleared derivatives. |
The following table lists the effect of derivative instruments held by the Funds, by primary underlying risk and contract type, on the Statements of Operations for the period ended June 30, 2018.
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Realized Gain/(Loss) on Derivatives
recognized as a result of Operations | | | Net Change in Unrealized
Appreciation / (Depreciation) on
Derivatives recognized as a result of
Operations | |
| | | Futures Contracts | | | Forward Foreign
Currency Exchange
Contracts | | | Swaps | | | Futures Contracts | | | Forward Foreign
Currency Exchange
Contracts | | | Swaps | |
Interest Rate Risk: | | | | | | | | | | | | | | | | | | | | | | | | |
Core Bond Fund | | $ | (7,785,902 | ) | | $ | — | | | $ | — | | | $ | 4,651,453 | | | $ | — | | | $ | — | |
Core Plus Bond Fund | | | (24,060,117 | ) | | | — | | | | 1,645,259 | | | | 5,725,012 | | | | — | | | | (11,457,411 | ) |
Municipal Bond Fund | | | 112 | | | | — | | | �� | — | | | | — | | | | — | | | | — | |
Foreign Exchange Risk: | | | | | | | | | | | | | | | | | | | | | | | | |
Core Plus Bond Fund | | | — | | | | (4,854,569 | ) | | | — | | | | — | | | | 11,484,359 | | | | — | |
Credit Risk: | | | | | | | | | | | | | | | | | | | | | | | | |
Core Plus Bond Fund | | | — | | | | — | | | | 564,653 | | | | — | | | | — | | | | 459,093 | |
The following tables present the Funds’ gross OTC derivative assets and liabilities by counterparty and contract type, net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of June 30, 2018:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Core Plus Bond Fund | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | Gross Amounts
not offset in the
Statements of
Assets & Liabilities | | | | |
| Counterparty | | Investment
Type | | Gross Amounts of
Recognized Assets
Presented in the
Statements of
Assets & Liabilities | | | Gross Amounts
Available for Offset | | | Net Amounts | | | Financial
Instruments | | | Collateral
Received | | | Net
Amount | |
Canadian Imperial Bank of Commerce | | Forward
Foreign
Currency
Exchange
Contracts | | $ | 21,483 | | | $ | — | | | $ | 21,483 | | | $ | — | | | $ | — | | | $ | 21,483 | |
Citigroup Global Markets | | Forward
Foreign
Currency
Exchange
Contracts | | | 228,135 | | | | (228,135 | ) | | | — | | | | — | | | | — | | | | — | |
| | |
| 70 | | Annual Report • June 30, 2018 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | Gross Amounts
not offset in the
Statements of
Assets & Liabilities | | | | |
| Counterparty | | Investment
Type | | Gross Amounts of
Recognized Assets
Presented in the
Statements of
Assets & Liabilities | | | Gross Amounts
Available for Offset | | | Net Amounts | | | Financial
Instruments | | | Collateral
Received | | | Net
Amount | |
Goldman Sachs | | Forward
Foreign
Currency
Exchange
Contracts | | $ | 252,720 | | | $ | (14,354 | ) | | $ | 238,366 | | | $ | — | | | $ | (238,366 | ) | | $ | — | |
HSBC | | Forward
Foreign
Currency
Exchange
Contracts | | | 286,997 | | | | (36,446 | ) | | | 250,551 | | | | — | | | | — | | | | 250,551 | |
J.P. Morgan | | Forward
Foreign
Currency
Exchange
Contracts | | | 9,879,104 | | | | (1,990,315 | ) | | | 7,888,789 | | | | — | | | | (1,763,859 | ) | | | 6,124,930 | |
Merrill Lynch | | Forward
Foreign
Currency
Exchange
Contracts | | | 306,482 | | | | (8,119 | ) | | | 298,363 | | | | — | | | | — | | | | 298,363 | |
Morgan Stanley | | Forward
Foreign
Currency
Exchange
Contracts | | | 1,382,510 | | | | (1,124,642 | ) | | | 257,868 | | | | — | | | | (257,868 | ) | | | — | |
State Street | | Forward
Foreign
Currency
Exchange
Contracts | | | 16,400 | | | | — | | | | 16,400 | | | | — | | | | — | | | | 16,400 | |
Total Financial Instruments Subject to a Master Netting Arrangement or Similar Arrangement | | | | | 12,373,831 | | | | (3,402,011 | ) | | | 8,971,820 | | | | — | | | | (2,260,093 | ) | | | 6,711,727 | |
| | | | | | | | | | | | | | Gross Amounts
not offset in the
Statements of
Assets & Liabilities | | | | |
| Counterparty | | Investment
Type | | Gross Amounts of
Recognized Liabilities
Presented in the
Statements of
Assets & Liabilities | | | Gross Amounts
Available for Offset | | | Net Amounts | | | Financial
Instruments | | | Collateral
Pledged | | | Net
Amount | |
Citigroup Global Markets | | Forward
Foreign
Currency
Exchange
Contracts | | $ | 269,154 | | | $ | (228,135 | ) | | $ | 41,019 | | | $ | — | | | $ | — | | | $ | 41,019 | |
Deutsche Bank | | Forward
Foreign
Currency
Exchange
Contracts | | | 1,062,856 | | | | — | | | | 1,062,856 | | | | — | | | | — | | | | 1,062,856 | |
| | |
| Annual Report • June 30, 2018 | | 71 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | Gross Amounts
not offset in the
Statements of
Assets & Liabilities | | | | |
| Counterparty | | Investment
Type | | Gross Amounts of
Recognized Liabilities
Presented in the
Statements of
Assets & Liabilities | | | Gross Amounts
Available for Offset | | | Net Amounts | | | Financial
Instruments | | | Collateral
Pledged | | | Net
Amount | |
Deutsche Bank | | Credit
Default
Swap
Contracts | | $ | 276,762 | | | $ | — | | | $ | 276,762 | | | $ | — | | | $ | — | | | $ | 276,762 | |
Goldman Sachs | | Credit
Default
Swap
Contracts | | | 49,281 | | | | — | | | | 49,281 | | | | — | | | | — | | | | 49,281 | |
Goldman Sachs | | Forward
Foreign
Currency
Exchange
Contracts | | | 14,354 | | | | (14,354 | ) | | | — | | | | — | | | | — | | | | — | |
HSBC | | Forward
Foreign
Currency
Exchange
Contracts | | | 36,446 | | | | (36,446 | ) | | | — | | | | — | | | | — | | | | — | |
J.P. Morgan | | Forward
Foreign
Currency
Exchange
Contracts | | | 1,990,315 | | | | (1,990,315 | ) | | | — | | | | — | | | | — | | | | — | |
J.P. Morgan | | Credit
Default
Swap
Contracts | | | 39,248 | | | | — | | | | 39,248 | | | | — | | | | — | | | | 39,248 | |
J.P. Morgan | | Total
Return
Swap
Contracts | | | 139,210 | | | | — | | | | 139,210 | | | | — | | | | — | | | | 139,210 | |
Merrill Lynch | | Forward
Foreign
Currency
Exchange
Contracts | | | 8,119 | | | | (8,119 | ) | | | — | | | | — | | | | — | | | | — | |
Morgan Stanley | | Forward
Foreign
Currency
Exchange
Contracts | | | 1,124,642 | | | | (1,124,642 | ) | | | — | | | | — | | | | — | | | | — | |
Morgan Stanley | | Credit
Default
Swap
Contracts | | | 75,820 | | | | — | | | | 75,820 | | | | — | | | | — | | | | 75,820 | |
Royal Bank of Canada | | Forward
Foreign
Currency
Exchange
Contracts | | | 3,800 | | | | — | | | | 3,800 | | | | — | | | | — | | | | 3,800 | |
Total Financial Instruments Subject to a Master Netting Arrangement or Similar Arrangement | | | | | 5,090,007 | | | | (3,402,011 | ) | | | 1,687,996 | | | | — | | | | — | | | | 1,687,996 | |
| | |
| 72 | | Annual Report • June 30, 2018 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
The Funds’ average monthly notional amount of derivatives during the period ended June 30, 2018 were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Average Monthly Notional Amount of:* | |
| | | Purchased
Futures | | | Sold Futures | | | Credit Default
Swaps | | | Interest Rate
Swaps | | | Total Return
Swaps | | | Forward Foreign
Currency
Exchange
Contracts | |
Core Bond Fund | | $ | 687,180,380 | | | $ | (195,830,253 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Core Plus Bond Fund | | | 1,061,173,600 | | | | (147,317,545 | ) | | | 82,968,084 | | | | 410,195,000 | | | | 3,366,667 | | | | 759,250,621 | |
| * | Notional amounts shown have been converted to USD. |
6. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
The Adviser acts as investment adviser to the Funds pursuant to an investment advisory agreement (the “Advisory Agreement”) with the Trust. The Adviser is a wholly owned subsidiary of The Jones Financial Companies, L.L.L.P. Under the Advisory Agreement, the Adviser furnishes, at its own expense, all services, facilities and personnel necessary in connection with managing the Funds’ investments.
The Adviser provides the Trust with such investment research, advice and investment supervision as the Trust may from time to time consider necessary for the proper management of the assets of the Funds, and furnishes continuously an investment program for the Funds. In fulfilling this obligation, the Adviser, among other things, recommends the hiring and termination of, and monitors the ongoing performance of, one or more investment advisers (the “Sub-advisers”) and allocates Fund assets among the Sub-advisers.
In consideration of the services provided by the Adviser pursuant to the Advisory Agreement, the Funds pay the Adviser an investment advisory fee at an annual rate based on a percentage of each Fund’s average daily net assets. In an effort to pass along lower fund expenses to shareholders, the Adviser does not retain any portion of the advisory fees. The Adviser has contractually agreed to waive its advisory fees for each Fund to the extent advisory fees paid to the Adviser exceed the aggregate advisory fees the Fund is required to pay its Sub-advisers. The annual advisory fee and amounts of advisory fees waived by the Adviser during the period ended June 30, 2018 are noted in the table below:
| | | | | | | | |
Fund | | Annual
Management Fee | | | Management Fees
Waived by Adviser | |
Core Bond Fund | | | 0.32 | % | | $ | (29,997,388 | ) |
Core Plus Bond Fund | | | 0.36 | | | | (17,179,797 | ) |
Municipal Bond Fund | | | 0.36 | | | | (6,153,744 | ) |
Large Cap Growth Fund | | | 0.44 | | | | (11,696,923 | ) |
Large Cap Value Fund | | | 0.44 | | | | (11,911,316 | ) |
Small/Mid Cap Growth Fund | | | 0.64 | | | | (8,042,164 | ) |
Small/Mid Cap Value Fund | | | 0.64 | | | | (8,398,599 | ) |
International Equity Fund | | | 0.60 | | | | (17,598,726 | ) |
None of the advisory fees waived by the Adviser pursuant to the agreement described above are subject to recoupment by the Adviser.
The Adviser has selected and the Board has approved the following Sub-advisers to sub-advise discrete portions of each of the Fund’s assets:
| | |
| Fund | | Sub-advisers |
| Core Bond Fund | | Robert W. Baird & Co., Inc. J.P. Morgan Investment Management, Inc. Loomis, Sayles & Company, L.P. PGIM, Inc. |
| Core Plus Bond Fund | | Pacific Investment Management Company LLC Loomis Sayles & Company, L.P. Metropolitan West Asset Management, LLC T. Rowe Price Associates, Inc. |
| Municipal Bond Fund | | FIAM, LLC T. Rowe Price Associates, Inc. Wells Capital Management, Inc. |
| | |
| Annual Report • June 30, 2018 | | 73 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
| | |
| Fund | | Sub-advisers |
| Large Cap Growth Fund | | Lazard Asset Management LLC Sustainable Growth Advisers, LP Jennison Associates LLC BlackRock Investment Management, LLC |
| Large Cap Value Fund | | Barrow, Hanley, Mewhinney & Strauss, LLC Wellington Management Company LLP Artisan Partners Limited Partnership BlackRock Investment Management, LLC |
| Small/Mid Cap Growth Fund | | Champlain Investment Partners, LLC ClearBridge Investments, LLC Eagle Asset Management, Inc. Stephens Investment Management Group, LLC BlackRock Investment Management, LLC |
| Small/Mid Cap Value Fund | | Boston Partners Global Investors, Inc. Vaughan Nelson Investment Management, L.P. Silvercrest Asset Management Group LLC Advisory Research, Inc. BlackRock Investment Management, LLC LSV Asset Management |
| International Equity Fund | | Baillie Gifford Overseas Limited Edinburgh Partners Limited Manning & Napier Advisors, LLC Mondrian Investment Partners Limited WCM Investment Management BlackRock Investment Management, LLC Pzena Investment Management, LLC |
Subject to the supervision of the Adviser, the Sub-advisers provide the Funds, among other services, a continuous investment program and determine from time to time which securities or other investments shall be purchased, sold or exchanged for the Funds, including providing or obtaining such services as may be necessary in managing, acquiring or disposing of securities, cash or other investments. For their services as Sub-advisers to the Funds, each Sub-adviser is entitled to receive fees directly from each Fund it serves.
Pursuant to an operating expense limitation agreement between the Adviser and the Funds, effective until October 28, 2018, the Adviser has contractually agreed to reduce its fees and/or pay Fund expenses (excluding acquired fund fees and expenses, portfolio transaction expenses, interest expense in connection with investment activities, taxes and non-routine expenses) to limit total annual fund operating expenses after fee waivers and/or expense reimbursements to each of the amounts listed below (each an “Expense Cap”).
| | |
| Fund | | Expense Cap |
| Core Bond Fund | | 0.48% |
| Core Plus Bond Fund | | 0.42 |
| Municipal Bond Fund | | 0.48 |
| Large Cap Growth Fund | | 0.51 |
| Large Cap Value Fund | | 0.51 |
| Small/Mid Cap Growth Fund | | 0.73 |
| Small/Mid Cap Value Fund | | 0.73 |
| International Equity Fund | | 0.67 |
The Trust has agreed to repay the expense reimbursement to the Adviser. However, the repayment of previously waived expenses is limited to amounts that do not cause the aggregate operating expenses of the Fund to exceed the current expense cap or the expense cap in place at the time the waiver was generated. The Adviser has up to three fiscal years from the time the expenses were reimbursed to request reimbursement from a Fund. During the period ended June 30, 2018, the Funds did not exceed the Expense Cap, and there are no expense reimbursements currently available for recoupment in future periods.
| | |
| 74 | | Annual Report • June 30, 2018 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
Administrator – U.S. Bancorp Fund Services, LLC (“USBFS”) acts as the Trust’s administrator (the “Administrator”) pursuant to an administration agreement. USBFS provides certain administrative services to the Trust, including, among other responsibilities, fund accounting and certain compliance services. For these services, the Funds pay the administrator monthly, a fee accrued daily and based on average daily net assets. The Funds may also reimburse the Administrator for such out-of-pocket expenses as incurred by the Administrator in the performance of its duties. The amounts paid directly to the Administrator by the Funds for administrative services are included in the Administration fee in the Statements of Operations.
Custodian – U.S. Bank National Association is the custodian (the “Custodian”) for the Trust in accordance with a custodian agreement. Custodian fees are paid monthly and based on assets held in custody, investment purchases and sales activity and account maintenance fees, plus reimbursement for certain out-of-pocket expenses. The amounts paid directly to the Custodian by the Funds for custody services are included in Custody fees in the Statements of Operations.
Trustees – Trustee fees and expenses displayed in the Statements of Operations include amounts accrued by the Funds to pay remuneration to each Trustee who is not an “interested person” as defined by the 1940 Act (an “Independent Trustee”) of the Trust. The Trustees who are not Independent Trustees of the Trust are not compensated by the Trust.
Affiliated Transactions – The Funds may participate in purchase and sale transactions with other Funds or accounts that have a common investment adviser (or Sub-adviser), commonly referred to as “cross trades.” These cross trades are executed in accordance with procedures adopted by the Trust’s Board and comply with Rule 17a-7 of the 1940 Act, which require, among other things, that such cross trades be effected at the independent current market price of the security. During the period ended June 30, 2018, the aggregate value of purchases and sales cross trades with other Funds or accounts were as follows:
| | | | | | | | |
| | | Purchases | | | Sales | |
Core Plus Bond Fund | | $ | 3,837,419 | | | $ | — | |
Municipal Bond Fund | | | — | | | | 5,000,000 | |
Large Cap Growth Fund | | | 51,728,991 | | | | 68,370,501 | |
Large Cap Value Fund | | | 92,218,161 | | | | 55,103,947 | |
Small/Mid Cap Growth Fund | | | 53,943,889 | | | | 92,508,742 | |
Small/Mid Cap Value Fund | | | 56,814,877 | | | | 62,964,823 | |
International Equity Fund | | | 24,608,982 | | | | 16,934,829 | |
7. LINE OF CREDIT ARRANGEMENT
The Trust is a party to an unsecured, uncommitted line of credit agreement with U.S. Bank, N.A., expiring June 28, 2019. The arrangement allows the Funds to borrow for temporary purposes to meet large or unexpected redemptions. The Funds collectively may borrow up to $200 million. Interest is charged on borrowings at the prevailing prime rate minus one and one-half percent and is reflected as interest expense on the Statements of Operations. The Funds are not subject to any commitment fees under this arrangement. The Funds did not have any outstanding borrowings under this agreement during the period ended June 30, 2018.
8. INTERFUND LENDING AGREEMENT
On June 1, 2016, the Funds received exemptive relief from the SEC to enter into a master interfund lending agreement with each other that permits each Fund to lend money directly to and borrow money directly from other Funds for temporary purposes. Each Fund may lend to another Fund, in aggregate, up to 15% of its current net assets at the time of the loan and a Fund’s loans, in aggregate, to any one Fund under the agreement may not exceed 5% of the lending Fund’s net assets. A loan under the agreement will not exceed duration of seven days and interest is charged on borrowings at a rate determined based on current short-term market interest rates and short-term lending rates available to the Funds. As of June 30, 2018, the Funds have yet to lend under this agreement.
| | |
| Annual Report • June 30, 2018 | | 75 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
9. INVESTMENT TRANSACTIONS
For the period ended June 30, 2018, purchases and sales of investment securities, other than short-term investments, were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Core Bond
Fund | | | Core Plus
Bond Fund | | | Municipal
Bond Fund | | | Large Cap
Growth Fund | | | Large Cap
Value Fund | | | Small/Mid Cap
Growth Fund | | | Small/Mid Cap
Value Fund | | | International
Equity Fund | |
Purchases: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
U.S. Government | | $ | 29,849,270,295 | | | $ | 14,380,445,465 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Other | | | 6,359,337,386 | | | | 4,725,986,154 | | | | 1,782,006,876 | | | | 3,852,366,110 | | | | 2,934,197,978 | | | | 1,447,646,717 | | | | 2,067,661,999 | | | | 3,367,317,113 | |
Sales: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
U.S. Government | | | 28,761,792,451 | | | | 12,736,302,214 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Other | | | 4,795,877,274 | | | | 1,837,621,810 | | | | 793,516,518 | | | | 2,724,450,363 | | | | 1,322,995,473 | | | | 740,340,224 | | | | 1,367,800,211 | | | | 1,227,090,060 | |
10. FEDERAL INCOME TAX INFORMATION
GAAP requires that certain components of net assets be reclassified between financial and tax reporting. Temporary differences do not require reclassification. Temporary and permanent differences have no effect on net assets or net asset value per share. For the period ended June 30, 2018, the Funds made the following permanent book-to-tax reclassifications primarily related to the treatment of foreign currency, partnership taxable income, passive foreign investment company sales adjustments, paydowns, dividend redesignations and difference between book and tax accretion methods for market premium:
| | | | | | | | | | | | |
| | | Undistributed Net
Investment
Income/(Loss) | | | Accumulated
Net Realized
Gain/(Loss) | | | Paid-In
Capital | |
Core Bond Fund | | $ | 11,247,138 | | | $ | (11,247,138 | ) | | $ | — | |
Core Plus Bond Fund | | | 4,783,155 | | | | (4,783,155 | ) | | | — | |
Municipal Bond Fund | | | — | | | | — | | | | — | |
Large Cap Growth Fund | | | (1,698 | ) | | | 1,698 | | | | — | |
Large Cap Value Fund | | | (1,071,316 | ) | | | 1,071,316 | | | | — | |
Small/Mid Cap Growth Fund | | | 389,946 | | | | (389,946 | ) | | | — | |
Small/Mid Cap Value Fund | | | 58,724 | | | | (58,724 | ) | | | — | |
International Equity Fund | | | (1,313,133 | ) | | | 1,313,133 | | | | — | |
At June 30, 2018, gross unrealized appreciation and (depreciation) of investments and derivative contracts based on cost for federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Core Bond
Fund | | | Core Plus
Bond Fund | | | Municipal
Bond Fund | | | Large Cap
Growth Fund | | | Large Cap
Value Fund | | | Small/Mid
Cap Growth
Fund | | | Small/Mid
Cap Value
Fund | | | International
Equity Fund | |
Tax cost of Portfolio | | $ | 16,713,812,781 | | | $ | 12,238,019,217 | | | $ | 3,441,486,218 | | | $ | 5,039,606,506 | | | $ | 6,321,548,012 | | | $ | 2,952,566,821 | | | $ | 3,736,300,820 | | | $ | 6,997,676,842 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross Unrealized Appreciation | | $ | 79,921,895 | | | $ | 48,854,796 | | | $ | 26,806,514 | | | $ | 1,184,755,724 | | | $ | 1,039,522,414 | | | $ | 779,114,481 | | | $ | 622,188,548 | | | $ | 888,190,074 | |
Gross Unrealized Depreciation | | | (291,958,486 | ) | | | (195,976,049 | ) | | | (27,686,614 | ) | | | (132,221,240 | ) | | | (284,593,416 | ) | | | (122,780,145 | ) | | | (183,677,024 | ) | | | (413,070,860 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Unrealized Appreciation / (Depreciation) | | $ | (212,036,591 | ) | | $ | (147,121,253 | ) | | $ | (880,100 | ) | | $ | 1,052,534,484 | | | $ | 754,928,998 | | | $ | 656,334,336 | | | $ | 438,511,524 | | | $ | 475,119,214 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The differences between book basis and tax basis appreciation/(depreciation) on investments is primarily attributable to wash sale loss deferrals, and differences in the tax treatment of mark to market on passive foreign investment companies, mark to market on derivatives, non-REIT return of capital, outstanding partnership basis and the amortization of premiums.
| | |
| 76 | | Annual Report • June 30, 2018 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
As of June 30, 2018, the components of accumulated earnings/(losses) on a tax basis were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Core Bond
Fund | | | Core Plus
Bond Fund | | | Municipal
Bond Fund | | | Large Cap
Growth Fund | | | Large Cap
Value Fund | | | Small/Mid
Cap Growth
Fund | | | Small/Mid
Cap Value
Fund | | | International
Equity Fund | |
Accumulated Capital and Other Losses | | $ | (71,132,978 | ) | | $ | (94,764,935 | ) | | $ | (7,294,872 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Other Gains / (Losses) | | | (1,467,307 | ) | | | (823,567 | ) | | | (24,307 | ) | | | (4,029 | ) | | | (2,545 | ) | | | (248 | ) | | | — | | | | (18,575 | ) |
Undistributed Net Ordinary Income | | | 372,135 | | | | 11,496,213 | | | | — | | | | 53,014,693 | | | | 2,198,393 | | | | 35,887,777 | | | | 25,763,831 | | | | 130,518,683 | |
Undistributed Tax-Exempt Income | | | — | | | | — | | | | 340,458 | | | | — | | | | — | | | | — | | | | — | | | | — | |
Undistributed Long-Term Capital Gain | | | — | | | | — | | | | — | | | | 171,200,520 | | | | 38,911,413 | | | | 107,713,104 | | | | 97,562,399 | | | | 74,686,300 | |
Unrealized Appreciation/(Depreciation) | | | (212,036,591 | ) | | | (147,121,253 | ) | | | (880,100 | ) | | | 1,052,534,484 | | | | 754,928,998 | | | | 656,334,336 | | | | 438,511,524 | | | | 475,119,214 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Accumulated Gain/(Loss) | | $ | (284,264,741 | ) | | $ | (231,213,542 | ) | | $ | (7,858,821 | ) | | $ | 1,276,745,668 | | | $ | 796,036,259 | | | $ | 799,934,969 | | | $ | 561,837,754 | | | $ | 680,305,622 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The differences between book basis and tax basis components of net assets are primarily attributable to wash sale loss deferrals and other book and tax differences including paydowns, organizational costs, straddle loss deferrals, and capital loss carryforwards.
At June 30, 2018, the Funds had the following capital loss carryforwards. The capital loss carryforwards do not have an expiration date and will retain their character as either short-term or long-term capital losses. The ability to utilize capital loss carryforwards in the future may be limited under the Internal Revenue Code and related regulations based on the results of future transactions.
| | | | |
| | | Capital Loss
Carryforwards | |
Core Bond Fund | | $ | 71,132,978 | |
Core Plus Bond Fund | | | 94,764,935 | |
Municipal Bond Fund | | | 7,294,871 | |
Large Cap Growth Fund | | | — | |
Large Cap Value Fund | | | — | |
Small/Mid Cap Growth Fund | | | — | |
Small/Mid Cap Value Fund | | | — | |
International Equity Fund | | | — | |
At June 30, 2018 the Funds did not defer, on a tax basis, any post-October capital losses or late-year ordinary losses.
The tax character of distributions paid by the Funds during the fiscal periods ended June 30, 2018 and June 30, 2017 were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Core Bond Fund | | | Core Plus
Bond Fund | | | Municipal
Bond Fund | | | Large Cap
Growth Fund | |
| | | 2018 | | | 2017 | | | 2018 | | | 2017 | | | 2018 | | | 2017 | | | 2018 | | | 2017 | |
Distributions paid from: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Ordinary Income (1) | | $ | 415,158,732 | | | $ | 349,650,342 | | | $ | 234,531,198 | | | $ | 143,426,455 | | | $ | 828,001 | | | $ | 2,649,832 | | | $ | 41,291,958 | | | $ | 27,066,103 | |
Tax-Exempt Income | | | — | | | | — | | | | — | | | | — | | | | 63,301,187 | | | | 40,713,891 | | | | — | | | | — | |
Net Long-Term Capital Gains | | | — | | | | 10,835,355 | | | | — | | | | 1,478,345 | | | | — | | | | 176,449 | | | | — | | | | — | |
Return of Capital | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions Paid | | $ | 415,158,732 | | | $ | 360,485,697 | | | $ | 234,531,198 | | | $ | 144,904,800 | | | $ | 64,129,188 | | | $ | 43,540,172 | | | $ | 41,291,958 | | | $ | 27,066,103 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
| Annual Report • June 30, 2018 | | 77 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Large Cap
Value Fund | | | Small/Mid Cap
Growth Fund | | | Small/Mid Cap
Value Fund | | | International
Equity Fund | |
| | | 2018 | | | 2017 | | | 2018 | | | 2017 | | | 2018 | | | 2017 | | | 2018 | | | 2017 | |
Distributions paid from: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Ordinary
Income (1) | | $ | 114,323,830 | | | $ | 65,546,222 | | | $ | 18,817,616 | | | $ | 6,879,324 | | | $ | 42,170,781 | | | $ | 19,093,726 | | | $ | 104,606,458 | | | $ | 49,670,345 | |
Tax-Exempt Income | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Net Long-Term
Capital Gains | | | 30,311,007 | | | | — | | | | 13,939,090 | | | | — | | | | 2,212,232 | | | | — | | | | 24,280,569 | | | | — | |
Return of Capital | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions Paid | | $ | 144,634,837 | | | $ | 65,546,222 | | | $ | 32,756,706 | | | $ | 6,879,324 | | | $ | 44,383,013 | | | $ | 19,093,726 | | | $ | 128,887,027 | | | $ | 49,670,345 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (1) | Net Ordinary Income includes net short-term capital gains, if any. |
11. RISKS
Investing in the Funds may involve certain risks including, but not limited to, those described below. Please refer to the Funds’ prospectus and statement of additional information for more information on risks associated with investing in the Funds.
a) Interest Rate Risk – Certain Funds invest in fixed-income securities that change in value based on changes in interest rates. If rates increase, the value of these investments generally declines. Alternatively, if rates fall, the value of these investments generally increases. Current market conditions may pose heightened risks for the Funds. Recent changes in government policy, including the Federal Reserve ending its quantitative easing program and raising the federal funds rate, have increased the risk that interest rates will continue to rise in the near future. A rise in interest rates may, in turn, increase volatility and reduce liquidity in the fixed-income markets and result in a decline in the value of the fixed-income investments held by the Funds. The value of a fixed-income security with greater duration will be more sensitive to changes in interest rates than a similar security with shorter duration. Duration is a measure of the sensitivity of the price of a fixed-income security (or a portfolio of fixed-income securities) to changes in interest rates. The prices of fixed-income securities with shorter duration generally will be less affected by changes in interest rates than the prices of fixed-income securities with greater duration. For example, a five-year duration means the fixed-income security is expected to decrease in value by 5% if interest rates rise 1% and increase in value by 5% if interest rates fall 1%, holding other factors constant. Usually, the changes in the value of fixed-income securities will not affect cash income generated, but may affect the value of an investment in the Fund. Floating rate instruments also react to interest rate changes in a similar manner although generally to a lesser degree (depending, however, on the characteristics of the reset terms, including the benchmark rate chosen, frequency of reset and reset caps or floors, among other things). Zero coupon bonds have longer durations than coupon-bearing bonds with comparable maturities and generally experience greater volatility in response to changing interest rates. In certain interest rate environments, such as when real interest rates are rising faster than nominal interest rates, inflation-indexed bonds may experience greater losses than other fixed-income securities with similar durations.
b) Liquidity Risk – Low trading volume, a lack of a market maker, or contractual or legal restrictions may limit or prevent a Fund from selling securities or closing derivative positions at desirable times or prices. During times of significant market or economic turmoil, usually liquid markets for certain of a Fund’s investments may experience extreme reductions in buy-side demand, which may result in values of a Fund’s portfolio securities declining significantly over short or extended periods of time. These reductions in value may occur regardless of whether there has been a change in interest rates or a change in the credit rating of the issuer of the security. Under certain adverse market or economic conditions, Fund investments previously determined to be liquid may be deemed to be illiquid, and, because of regulatory limitations on investments in illiquid securities, a Fund may not be able to make or gain the desired level of exposure to certain investments that it otherwise would.
| | |
| 78 | | Annual Report • June 30, 2018 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
c) Redemption Risk – A Fund may experience losses when selling securities to meet redemption requests. This risk is greater for larger redemption requests or redemption requests during adverse market conditions. Because the Funds currently are available only to participants in a single asset allocation program, a reduction in the allocation of program assets to the Funds could result in one or more large redemption requests. Moreover, as a result of the requirement that a Fund satisfy redemption requests even during times of significant market or economic turmoil, a Fund may be forced to sell portfolio securities during periods of reduced liquidity when prices are rapidly declining. This may require a Fund to realize investment losses at times that a Sub-adviser believes that it would have been advisable to hold a particular investment until a more orderly sale could occur or the market recovers.
d) Credit Risk – There is a risk that issuers and counterparties will not make payments on securities, repurchase agreements or other investments held by a Fund. Such defaults could result in losses to a Fund. In addition, the credit quality of securities held by a Fund may be lowered if an issuer’s financial condition changes. Lower credit quality may lead to greater volatility in the price of a security and in shares of a Fund. Lower credit quality also may affect liquidity and make it difficult for the Fund to sell the security. A Fund may invest in securities that are rated in the lowest investment grade category. Such securities may exhibit speculative characteristics similar to high yield securities, and issuers of such securities may be more vulnerable to changes in economic conditions than issuers of higher grade securities.
e) Counterparty Risk – When a Fund enters into an investment contract, such as a derivative or a repurchase agreement, the Fund is exposed to the risk that the other party will not fulfill its contractual obligations. For example, in a repurchase agreement, there exists the risk that a Fund buys a security from a seller (counterparty) that agrees to repurchase the security at an agreed upon price and time, but the counterparty later fails to repurchase the security.
f) Market Risk – Various market risks can affect the price or liquidity of an issuer’s securities in which a Fund may invest. Returns from the securities in which a Fund invests may underperform returns from the various general securities markets or different asset classes. Different types of securities tend to go through cycles of outperformance and underperformance in comparison to the general securities markets. Adverse events occurring with respect to an issuer’s performance or financial position can depress the value of the issuer’s securities. The liquidity in a market for a particular security will affect its value and may be affected by factors relating to the issuer, as well as the depth of the market for that security. Declines in dealer market-making capacity as a result of structural or regulatory changes could decrease liquidity and/or increase volatility in the fixed-income markets. As a result, a Fund’s value may fluctuate and/or a Fund may experience increased redemptions from shareholders, which may impact the Fund’s liquidity or force the Fund to sell securities into a declining or illiquid market. Other market risks that can affect value include a market’s current attitudes about types of securities, market reactions to political or economic events, including litigation, and tax and regulatory effects (including lack of adequate regulations for a market or particular type of instrument).
g) Equity Risk – Since certain Funds purchase equity securities, those Funds are subject to equity risk. This is the risk that stock prices will fall over short or extended periods of time. Although the stock market has historically outperformed other asset classes over the long term, the stock market tends to move in cycles. Individual stock prices may fluctuate drastically from day-to-day and may underperform other asset classes over an extended period of time. Individual companies may report poor results or be negatively affected by industry and/or economic trends and developments. The prices of securities issued by such companies may suffer a decline in response. These price movements may result from factors affecting individual companies, industries or the securities market as a whole.
h) Multi-Manager and Multi-Style Management Risk – Fund performance is dependent upon the success of the Adviser and the Sub-advisers in implementing a Fund’s investment strategies in pursuit of its objective. To a significant extent, a Fund’s performance will depend on the success of the Adviser’s methodology in allocating the Fund’s assets to Sub-advisers and its selection and oversight of the Sub-advisers and on a Sub-adviser’s skill in
| | |
| Annual Report • June 30, 2018 | | 79 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
executing the relevant strategy and selecting investments for the Fund. There can be no assurance that the Adviser or Sub-advisers will be successful in this regard. In addition, because portions of each Fund’s assets are managed by different Sub-advisers using different styles/strategies, a Fund could experience overlapping security transactions. Certain Sub-advisers may be purchasing securities at the same time that other Sub-advisers may be selling those same securities, which may lead to higher transaction expenses compared to a fund using a single investment management style. The Adviser’s and the Sub-advisers’ judgments about the attractiveness, value and potential appreciation of a particular asset class or individual security in which a Fund invests may prove to be incorrect, and there is no guarantee that the Adviser’s or a Sub-adviser’s judgment will produce the desired results. In addition, a Fund may allocate its assets so as to under- or over-emphasize certain strategies or investments under market conditions that are not optimal, in which case a Fund’s value may be adversely affected.
i) Foreign Securities Risk – The securities of foreign issuers, including ADRs and GDRs, may be less liquid and more volatile than securities of comparable U.S. issuers. The costs associated with securities transactions are often higher in foreign countries than the United States. Additionally, investments in securities of foreign issuers, even those publicly traded in the United States, may involve risks which are in addition to those inherent in domestic investments. Foreign companies may not be subject to the same regulatory requirements of U.S. companies, and as a consequence, there may be less publicly available information about such companies. Also, foreign companies may not be subject to uniform accounting, and financial reporting standards and requirements comparable to those applicable to U.S. companies. Foreign governments and foreign economies, particularly in emerging markets, may be less stable than the U.S. Government and the U.S. economy.
j) Currency Risk – While the Funds’ net assets are valued in U.S. dollars, the securities of foreign companies are frequently denominated in foreign currencies. Thus, a change in the value of a foreign currency against the U.S. dollar will result in a corresponding change in value of securities denominated in that currency. Some of the factors that may impair the investments denominated in a foreign currency are: (1) it may be expensive to convert foreign currencies into U.S. dollars and vice versa; (2) complex political and economic factors may significantly affect the values of various currencies, including U.S. dollars, and their exchange rates; (3) government intervention may increase risks involved in purchasing or selling foreign currency options, forward contracts and futures contracts, since exchange rates may not be free to fluctuate in response to other market forces; (4) there may be no systematic reporting of last sale information for foreign currencies or regulatory requirement that quotations available through dealers or other market sources be firm or revised on a timely basis; (5) available quotation information is generally representative of very large round-lot transactions in the inter-bank market and thus may not reflect exchange rates for smaller odd-lot transactions (less than $1 million) where rates may be less favorable; and (6) the inter-bank market in foreign currencies is a global, around-the-clock market. To the extent that a market is closed while the markets for the underlying currencies remain open, certain markets may not always reflect significant price and rate movements.
k) Geographic Focus Risk – To the extent that a significant portion of a Fund’s portfolio is invested in the securities of companies in a particular country or region, a Fund may be more susceptible to economic, political, regulatory or other events or conditions affecting issuers within that country or region. As a result, a Fund may be subject to greater price volatility and risk of loss than a fund holding more geographically diverse investments.
l) High Yield Securities Risk – High yield, or “junk,” securities involve greater risks of default or downgrade and are more volatile than investment grade securities. Junk bonds involve greater risk of price declines than investment grade securities due to actual or perceived changes in the issuer’s credit worthiness.
m) Cybersecurity Risk – The Funds and their service providers may be susceptible to operational, information, security and related risks. While the Funds’ service providers have established business continuity plans in the event of such cyber incidents, there are inherent limitations in such plans and systems. Additionally, the Funds cannot control the cybersecurity plans and systems put in place by their service providers or any other third parties whose operations may affect the Funds or their shareholders.
| | |
| 80 | | Annual Report • June 30, 2018 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
12. NEW ACCOUNTING PRONOUNCEMENTS
Accounting Standards Update 2017-08 (ASU 2017-08) Premium Amortization on Purchased Callable Debt Securities
During March 2017, the Financial Accounting Standards Board (FASB) issued ASU 2017-08, which shortens the premium amortization period for purchased non-contingently callable debt securities. ASU 2017-08 specifies that the premium amortization period ends at the earliest call date, for purchased non-contingently callable debt securities. ASU 2017-08 is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. Management is currently evaluating the implications of ASU 2017-08, if any.
13. SUBSEQUENT EVENTS
The Funds have evaluated subsequent events through the date of issuance of this report and have determined that there are no material events that would require accrual or disclosure.
| | |
| Annual Report • June 30, 2018 | | 81 |
Bridge Builder Mutual Funds
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Bridge Builder Trust and Shareholders of Bridge Builder Core Bond Fund, Bridge Builder Core Plus Bond Fund, Bridge Builder Municipal Bond Fund, Bridge Builder Large Cap Growth Fund, Bridge Builder Large Cap Value Fund, Bridge Builder Small/Mid Cap Growth Fund, Bridge Builder Small/Mid Cap Value Fund and Bridge Builder International Equity Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the summary schedules of investments, of Bridge Builder Core Bond Fund, Bridge Builder Core Plus Bond Fund, Bridge Builder Municipal Bond Fund, Bridge Builder Large Cap Growth Fund, Bridge Builder Large Cap Value Fund, Bridge Builder Small/Mid Cap Growth Fund, Bridge Builder Small/Mid Cap Value Fund and Bridge Builder International Equity Fund (eight of the funds constituting Bridge Builder Trust, hereafter collectively referred to as the “Funds”) as of June 30, 2018, the related statements of operations for the year ended June 30, 2018, the statements of changes in net assets for each of the two years in the period ended June 30, 2018, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of June 30, 2018, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended June 30, 2018 and each of the financial highlights for each of the periods indicated therein, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of June 30, 2018 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
Chicago, Illinois
August 28, 2018
We have served as the auditor of one or more investment companies in the Bridge Builder Trust since 2013.
| | |
| 82 | | Annual Report • June 30, 2018 |
Bridge Builder Mutual Funds
Trustees and Officers (Unaudited)
Independent Trustees of the Trust (1)
| | | | | | | | | | |
| Name | | Role | | Term | | Principal Occupation | | Number of
Portfolios
in Fund
Complex (3)
Overseen
by Trustees | | Other
Directorships
Held During
Past Five
Years |
Jean E. Carter (Born: 1957) | | Lead Independent Trustee | | Indefinite Term; Since Inception | | Retired; Director of Investment Management Group for Russell Investment Group (1982-2005) | | 9 | | Trustee, Brandes U.S. registered mutual funds (nine funds). |
Janice L. Innis-Thompson (Born: 1966) | | Trustee, Chair of the Nominating and Governance Committee | | Indefinite Term; Since Inception | | Chief Compliance & Ethics Officer, Samsung Electronics America (since 2017); Retired (2016-2017); Senior Vice President, Chief Compliance & Ethics Officer, TIAA-CREF (2006-2016) | | 9 | | None. |
Michelle M. Keeley (Born: 1964) | | Trustee | | Indefinite Term; Since August 2015 | | Retired; Executive Vice President, Ameriprise Financial Services, Inc. (2002-2010) | | 9 | | Independent Director, Federal Home Loan Bank; Inside Director, Ameriprise Bank, FSB. |
William N. Scheffel (Born: 1953) | | Trustee | | Indefinite Term; Since Inception | | Retired; Executive Vice President, Chief Financial Officer and Treasurer, Centene Corporation (2003-2016) | | 9 | | None. |
John M. Tesoro (Born: 1952) | | Trustee, Chair of the Audit Committee | | Indefinite Term; Since Inception | | Retired; Partner, KPMG LLP (2002-2012) | | 9 | | Audit Committee Chair; Teton Advisors, Inc. (registered investment adviser). Trustee, BBH Trust (six funds). |
| | |
| Annual Report • June 30, 2018 | | 83 |
Bridge Builder Mutual Funds
Trustees and Officers (Unaudited) (Continued)
Interested Trustees of the Trust (2)
| | | | | | | | | | |
| Name | | Role | | Term | | Principal Occupation | | Number of
Portfolios
in Fund
Complex (3)
Overseen
by Trustees | | Other
Directorships
Held During
Past Five
Years |
William H. Broderick III (Born: 1952) | | Trustee, Chairman | | Indefinite Term; Since Inception | | Retired (since 2017); Chief Executive Officer, Victory Wireline, LLC (2015-2017); Retired (2013-2015); Principal, Investment Advisory, Edward Jones Client Strategies Group (1986-2012) | | 9 | | None. |
William E. Fiala (Born: 1967) | | Trustee | | Indefinite Term; Since Inception | | Principal, Edward Jones Client Strategies Group (1994-Present) | | 9 | | None. |
Officers of the Trust
| | | | | | |
| Name | | Role | | Term | | Principal Occupation |
Ryan T. Robson (Born: 1978) | | President | | Indefinite Term; Since July 1, 2016 | | Principal, Edward Jones Client Strategies Group (since 2013); Director, PricewaterhouseCoopers LLP (2010-2013) |
Julius A. Drelick, III (Born: 1966) | | Vice President | | Indefinite Term; Since May 24, 2017 | | Director of Fund Administration and Strategic Products, Edward Jones (since 2016); Senior Vice President and Chief Compliance Officer at Voya Investment Management, LLC (2013-2016); Vice President, Head of Mutual Fund Product Development and Strategic Planning, Voya Investment Management, LLC (2007-2013) |
Aaron J. Masek (Born: 1974) | | Treasurer | | Indefinite Term; Since July 1, 2016 | | Director, Finance, Edward Jones (since 2015); Vice President and Treasurer, AQR Funds (2010-2015) |
Alan J. Herzog (Born: 1973) | | Chief Compliance Officer and Vice President | | Indefinite Term; Since January 1, 2015 | | Principal, Edward Jones Compliance (since 2013); Senior Counsel, Wells Fargo Advisors, LLC (2008-2013) |
Helge K. Lee (Born: 1946) | | Secretary | | Indefinite Term; Since July 1, 2016 | | Associate General Counsel, Edward Jones (since 2014); Special Counsel, Godfrey & Kahn (2005-2014) |
Rebecca A. Paulzine (Born: 1979) | | Assistant Secretary | | Indefinite Term; Since November 10, 2016 | | Associate General Counsel, Edward Jones (since 2015); Compliance Counsel, Edward Jones (2014-2015); Senior Counsel at Thrivent Financial for Lutherans (2010-2014) |
| (1) | The Trustees of the Trust who are not “interested persons” of the Trust as defined under the 1940 Act (“Independent Trustees”). |
| (2) | Mr. Broderick and Mr. Fiala are “interested persons” of the Trust as defined by the 1940 Act by virtue of the fact that they are affiliated persons of the Adviser’s parent company, The Jones Financial Companies, L.L.L.P. |
| (3) | The “Fund Complex” is comprised of each Fund offered by the Trust, one of which is offered in a separate Statement of Additional Information, and the Edward Jones Money Market Fund. No Trustee oversees, nor receives compensation from, the Edward Jones Money Market Fund, which is advised by Passport Research, Ltd., an affiliate of the Adviser. |
The business address of the Trustees and Officers is the address of the Trust: 12555 Manchester Road, St. Louis, MO 63131.
The Statement of Additional Information includes additional information about the Trustees and is available upon request, without charge, by calling 1-855-823-3611.
| | |
| 84 | | Annual Report • June 30, 2018 |
Bridge Builder Mutual Funds
Board Consideration of Investment Advisory Agreement and Sub-advisory Agreements (Unaudited)
Pursuant to Section 15 of the Investment Company Act of 1940 (the “1940 Act”), the Board of Trustees (the “Board” or the “Trustees”) of the Bridge Builder Trust (the “Trust”), including a majority of the Trustees who are not parties to the agreements or “interested persons” of any party, as defined in the 1940 Act (the “Independent Trustees”), must determine annually whether to approve the continuation of the Trust’s investment advisory and sub-advisory agreements.
At an in-person meeting held on May 15-16, 2018 (the “May Meeting”), the Trustees, including the Independent Trustees, considered and approved the continuance of an investment advisory agreement (the “Advisory Agreement”) with the Adviser for the Bridge Builder Core Bond Fund (the “Core Bond Fund”), the Bridge Builder Core Plus Bond Fund (the “Core Plus Bond Fund”), the Bridge Builder Municipal Bond Fund (the “Municipal Bond Fund”), the Bridge Builder Large Cap Growth Fund (the “Large Cap Growth Fund”), the Bridge Builder Large Cap Value Fund (the “Large Cap Value Fund”), the Bridge Builder Small/Mid Cap Growth Fund (the “Small/Mid Cap Growth Fund”), the Bridge Builder Small/Mid Cap Value Fund (the “Small/Mid Cap Value Fund”), and the Bridge Builder International Equity Fund (the “International Equity Fund”) (collectively, the “Funds”). The Trustees, including the Independent Trustees, also considered and approved the continuance of an investment sub-advisory agreement (each, a “Sub-advisory Agreement and collectively, the “Sub-advisory Agreements”) with each of the following Fund sub-advisers: Robert W. Baird & Co. Inc. (“Baird”), J.P. Morgan Investment Management, Inc. (“J.P. Morgan”), Loomis, Sayles & Company, L.P. (“Loomis Sayles”), PGIM, Inc. (“PGIM”), Pacific Investment Management Company LLC (“PIMCO”), Metropolitan West Asset Management, LLC (“MetWest”), T. Rowe Price Associates, Inc. (“T. Rowe Price”), FIAM, LLC (“FIAM”), Wells Capital Management, Inc. (“Wells Cap”), Lazard Asset Management, LLC (“Lazard”), Sustainable Growth Advisers, LP (“SGA”), Jennison Associates, LLC (“Jennison”), BlackRock Investment Management, LLC (“BlackRock”), Artisan Partners, LP (“Artisan”), Barrow, Hanley, Mewhinney & Strauss, LLC (“Barrow Hanley”), Wellington Management Company, LLP (“Wellington”), Eagle Asset Management, Inc. (“Eagle”), Champlain Investment Partners, LLC (“Champlain”), ClearBridge Investments, LLC (“ClearBridge”), LSV Asset Management (“LSV”), Stephens Investment Management Group, LLC (“Stephens”), Advisory Research, Inc. (“Advisory Research”), Vaughan Nelson Investment Management, LP (“Vaughan Nelson”), Boston Partners Global Investors, Inc. (“Boston Partners”), Silvercrest Asset Management Group, LLC (“Silvercrest”), Baillie Gifford Overseas Limited (“Baillie Gifford”), Edinburgh Partners Limited (“Edinburgh”), Manning & Napier Advisors, LLC (“Manning & Napier”), Mondrian Investment Partners Limited (“Mondrian”), Pzena Investment Management, LLC (“Pzena”) and WCM Investment Management (“WCM”) (collectively, the “Sub-advisers”).
In connection with the annual review process and in advance of the May Meeting, the Adviser and the Sub-advisers provided information to the Board in response to requests for information by the Independent Trustees to facilitate the Board’s evaluation of the terms of the Advisory Agreement and Sub-advisory Agreements (collectively, the “Agreements”). The information furnished by the Adviser included materials describing, among other matters: (i) the nature, extent, and quality of the services provided by the Adviser and the Sub-advisers; (ii) each Fund’s historical investment performance and the historical investment performance of each Sub-adviser; (iii) the Adviser’s and the Sub-advisers’ personnel, including portfolio managers; (iv) the investment practices and techniques used by the Adviser and the Sub-advisers in managing the Funds; (v) the advisory fees payable by the Funds to the Adviser and the Funds’ overall fees and operating expenses, compared with those of a category and a peer group of mutual funds; (vi) the sub-advisory fees payable to each Sub-adviser; (vii) the Adviser’s and the Sub-advisers’ compliance policies and procedures; and (viii) other “fall-out” benefits the Adviser and/or its affiliates and the Sub-advisers may receive based on their relationships with the Funds. At a telephonic Board meeting held on May 8, 2018 and at the May Meeting (collectively, the “May Meetings”), representatives of the Adviser made presentations and responded to questions regarding the services, fees, and other aspects of the Agreements.
In addition to the May Meetings, the Board met periodically over the course of the year since the most recent annual renewal. At these meetings, representatives of the Adviser and the Sub-advisers furnished reports and other information to the Board regarding the performance of the Funds, the services provided to the Funds by the Adviser and the Sub-advisers, and compliance and operations matters related to the Trust, the Funds, the Adviser, and the Sub-advisers.
| | |
| Annual Report • June 30, 2018 | | 85 |
Bridge Builder Mutual Funds
Board Consideration of Investment Advisory Agreement and Sub-advisory Agreements (Unaudited) (Continued)
At the May Meetings, the Trustees received advice from Fund counsel, and the Independent Trustees received additional advice from their independent legal counsel, including advice regarding the legal standards applicable to the consideration of the approval of advisory arrangements. The Independent Trustees met in executive session, outside the presence of the interested Trustees, Trust officers, and representatives of the Adviser and the Sub-advisers, to discuss the Agreements and the services to be provided by the Adviser and the Sub-advisers.
In considering and approving the Agreements, the Trustees considered information that they deemed relevant, including, but not limited to, the information discussed in further detail below. The Board considered not only the specific information presented in connection with the May Meetings, but also the knowledge gained over time through previous interactions with the Adviser and the Sub-advisers. The Board did not identify any particular information or consideration that was all-important or controlling, and each individual Trustee may have attributed different weights to various factors.
1. The nature, extent and quality of the services provided by the Adviser and the Sub-advisers. The Trustees considered the nature, extent and quality of the services provided to the Funds by the Adviser and each Sub-adviser, including their respective responsibilities for management of the Funds. In this regard, the Board considered the Adviser’s oversight role and responsibilities with regard to the Sub-advisers, and the Sub-advisers’ roles in the day-to-day management of each Fund’s portfolio. The Board considered the Adviser’s assumption of business, entrepreneurial and overall managerial risks by advising the Funds. The Board also evaluated the Adviser’s oversight of the Sub-advisers, which includes continuous analysis of, and regular discussions with each Sub-adviser about, the investment strategies and performance of the portion of a Fund’s assets allocated to a particular Sub-adviser, periodic due diligence on-site visits to the Sub-advisers, and other meetings with the Sub-advisers. The Board also considered the Adviser’s processes relating to Sub-adviser selection, monitoring, termination and allocation adjustments and the impact of the Adviser’s services on the Fund’s investment performance. The Board also took into account the Adviser’s oversight of the Funds’ other service providers.
The Board considered the Adviser’s and each Sub-adviser’s operations, including resources devoted to supporting such operations. The Board noted key additions to the Adviser’s and certain Sub-adviser’s personnel. The Board considered the Adviser’s and each Sub-adviser’s ability to attract and retain qualified investment professionals and the experience and skills of management and investment personnel of the Adviser and the Sub-advisers. The Board also noted the compliance programs and compliance experience of the Adviser and the Sub-advisers. In addition, the Board considered the administrative and other services that are provided to the Funds by the Adviser, including analytical tools the Adviser employs to help mitigate the Funds’ risks.
Based on the above factors, as well as those discussed below, the Board concluded, within the context of its full deliberations, that the Adviser and the Sub-advisers are capable of continuing to provide services of the nature, extent and quality contemplated by the terms of the Agreements.
2. Fees and Other Expenses. The Board reviewed comparisons of the advisory fee and total fees and expenses of each Fund to its category and peer group of mutual funds on a gross basis and also net of fee and expense waivers and reimbursements. In this regard, the Trustees received and reviewed reports prepared by Broadridge Financial Solutions (“Broadridge”), an independent provider of mutual fund industry data, comparing each Fund’s advisory fees and gross and net expense ratios to those paid by an independently-selected category and peer group of mutual funds. The Board noted that, for each of the Funds, advisory fees and net expenses were below their respective peer group medians. The Board observed that the Adviser had no similarly managed separate accounts for purposes of comparison. The Board reviewed the information provided by certain of the Sub-advisers regarding fees charged to other similarly managed accounts, if any. To the extent provided, the Board reviewed information about structural, operational and other differences, including the amount of assets being managed, between such similarly managed accounts and the portion of the Fund’s assets allocated to the particular Sub-adviser.
| | |
| 86 | | Annual Report • June 30, 2018 |
Bridge Builder Mutual Funds
Board Consideration of Investment Advisory Agreement and Sub-advisory Agreements (Unaudited) (Continued)
The Board noted that the Adviser has contractually agreed to waive its advisory fees to the extent advisory fees to be paid to the Adviser exceed the sub-advisory fees paid to a Sub-adviser for management of its allocated portion of a Fund or Funds. The Board noted that the Adviser may terminate this waiver arrangement following notice, without Board approval, once a year.
Based on the above factors, as well as those discussed below, the Board concluded, within the context of its full deliberations, that the advisory and sub-advisory fees are reasonable in light of the nature, extent and quality of the services rendered by the Adviser and the Sub-advisers.
3. The Funds’ Investment Performance Record. The Board reviewed the investment performance of each Fund on an absolute basis and in comparison to appropriate benchmarks and each Fund’s respective category and peer group as independently selected by Broadridge.
The Board observed that the Core Bond Fund outperformed its peer group median and benchmark index for the one-year and three-year periods ended March 31, 2018. The Board also reviewed the investment performance of each Sub-adviser of the Core Bond Fund, noting that Baird, J.P. Morgan and PGIM outperformed the Fund’s benchmark index for the one- and three-year periods. The Board also noted that Loomis Sayles outperformed the Fund’s benchmark index over its one-year track record.
The Board observed that the Core Plus Bond Fund underperformed its peer group median and outperformed its benchmark index for the one-year period ended March 31, 2018. The Board also reviewed the investment performance of each Sub-adviser of the Core Plus Bond Fund, noting that each outperformed the Fund’s benchmark index.
The Board reviewed the performance of the Municipal Bond Fund, which was equal to its peer group median and higher than its benchmark index for the one-year period ended March 31, 2018. In reviewing the investment performance of each Sub-adviser of the Municipal Bond Fund, the Board observed that FIAM, Wells Capital and one of T. Rowe Price’s sleeves outperformed the Fund’s benchmark index, while T. Rowe Price’s other sleeve underperformed the Fund’s benchmark index.
The Board observed that the Large Cap Growth Fund underperformed its peer group median and its benchmark index for the one-year period ended March 31, 2018. In reviewing the investment performance of each Sub-adviser of the Large Cap Growth Fund, the Board noted that Jennison outperformed the Fund’s benchmark index, while BlackRock, SGA and Lazard underperformed the Fund’s benchmark index.
The Board considered the performance of the Large Cap Value Fund. The Board noted that the Large Cap Value Fund underperformed its peer group median and outperformed its benchmark index for the one-year period ended March 31, 2018. In reviewing the investment performance of each Sub-adviser of the Large Cap Value Fund, the Board noted that Wellington, Artisan and Barrow Hanley outperformed the Fund’s benchmark index, while BlackRock underperformed the Fund’s benchmark index.
The Board observed that the Small/Mid Cap Growth Fund underperformed its peer group median and its benchmark index for the one-period ended March 31, 2018. In reviewing the investment performance of each Sub-adviser of the Small/Mid Cap Growth Fund, the Board observed that Stephens outperformed the Fund’s benchmark index, while Champlain, Clearbridge, Eagle and both BlackRock sleeves underperformed the Fund’s benchmark index.
The Board reviewed the performance of the Small/Mid Cap Value Fund, observing that it was equal to its peer group median and higher than its benchmark index for the one-year period ended March 31, 2018. The Board reviewed the performance of each Sub-adviser as well, noting that one BlackRock sleeve, Silvercrest, Boston Partners, LSV and Vaughn Nelson outperformed the Fund’s benchmark index, while Advisory Research and the other BlackRock sleeve underperformed the Fund’s benchmark index.
| | |
| Annual Report • June 30, 2018 | | 87 |
Bridge Builder Mutual Funds
Board Consideration of Investment Advisory Agreement and Sub-advisory Agreements (Unaudited) (Continued)
Finally, the Board observed that the International Equity Fund outperformed its peer group median and its benchmark index for the one-year period ended March 31, 2018. In reviewing the performance of each Sub-adviser of the International Equity Fund, the Board noted that each Sub-adviser outperformed the Fund’s benchmark index, except Mondrian, Pzena and one BlackRock sleeve.
Taking into account such factors, the Board concluded that the investment performance generated by each Sub-adviser was generally satisfactory, or, that any steps being taken by the Adviser and Sub-advisers to address any performance issues were satisfactory.
4. Profitability and Economies of Scale. The Board considered that the Adviser has contractually agreed to waive its advisory fees to the extent advisory fees to be paid to the Adviser exceed the sub-advisory fees paid to a Sub-adviser for management of its allocated portion of a Fund or Funds. Therefore, the Adviser does not profit or receive any differential compensation from allocating assets in any particular manner among the Sub-advisers. In addition, the Board did not consider the profitability of the Sub-advisers to be a material factor in their determination, given that the Sub-advisers are not affiliated with the Adviser and, therefore, that the fees were negotiated at arm’s length. The Board was satisfied that the Adviser employed a rigorous fee negotiation process. The Board also considered whether the Funds’ fee structure is designed to share economies of scale with shareholders as the Funds’ assets grow. In this regard, the Board noted that most of the Sub-advisers have agreed to contractual breakpoints in the sub-advisory fee schedules, which accrue to the benefit of the Fund shareholders in light of the Adviser’s contractual fee waiver.
5. Indirect Benefits. The Board noted that Fund shares are available exclusively to investors participating in Edward Jones Advisory Solutions®, an investment advisory program (asset-based fee program) sponsored by Edward D. Jones & Co., L.P. (“Edward Jones”), an affiliate of the Adviser. Accordingly, the Board received and considered information about asset-based fees received by Edward Jones from participants in Edward Jones Advisory Solutions® in connection with their investments in the Funds as an indirect or “fall-out” benefit. In addition, the Board considered that the Adviser, Edward Jones and each Sub-adviser may derive a benefit to their reputations and standing in the investment community from their relationship with the Funds. The Board also noted that certain Sub-advisers use soft dollars generated from executing Fund portfolio trades to purchase research, which could be viewed as a fall-out benefit to such Sub-advisers to the extent they use the research generated from such trading activities across their client base.
Based on the Board’s deliberations and its evaluation of the information described above and other information it believed relevant, the Board, including all of the Independent Trustees, unanimously approved the continuation of the Agreements for an additional year.
| | |
| 88 | | Annual Report • June 30, 2018 |
Bridge Builder Mutual Funds
General Information (Unaudited)
Proxy Voting Procedures and Proxy Voting Record
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available, free of charge, by calling 1-855-823-3611. This information is also available through the Securities and Exchange Commission’s website at http://www.sec.gov. Information regarding how the Trust voted proxies relating to portfolio securities during the 12-month period ending June 30 is available without charge, upon request, by calling 1-855-823-3611. This information is also available through the Securities and Exchange Commission’s website at http://www.sec.gov.
Form N-Q Disclosure
The Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. The Trust’s Form N-Q filings are available on the Securities and Exchange Commission’s website at http://www.sec.gov. The Trust’s Form N-Q filings may be reviewed and copied at the Commission’s Public Reference Room in Washington, D.C., and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. Information regarding the Trust’s Form N-Q filings is also available, without charge, by calling, 1-855-823-3611.
Household Delivery of Shareholder Documents
To reduce expenses the Funds may mail only one copy of the prospectus, Statement of Additional Information and each annual and semiannual report to those addresses shared by two or more accounts. If you wish to receive individual copies of these documents, please call the Trust at 1-855-823-3611. You will begin receiving individual copies thirty days after your request is received.
Schedule of Investments
Each Fund’s complete schedule of investments in securities of unaffiliated issuers is available without charge, upon request, by calling 1-855-823-3611, and on the Securities and Exchange Commission website at http://www.sec.gov as a part of Form N-CSR.
Tax Notice
The following table lists the percentages of dividend income distributed by the Funds for the period ended June 30, 2018, that were designated as qualified dividend income under the Jobs and Growth Tax Relief Reconciliation Act of 2003 and qualify for the corporate dividends received deduction, respectively.
| | | | | | | | |
| | | % of Dividend Income Distributed | |
| Fund | | Qualified Dividend Income | | | Corporate Dividends Received Deduction | |
| Core Bond Fund | | | — | % | | | — | % |
| Core Plus Bond Fund | | | — | | | | — | |
| Municipal Bond Fund | | | — | | | | — | |
| Large Cap Growth Fund | | | 88.64 | | | | 84.94 | |
| Large Cap Value Fund | | | 95.96 | | | | 79.67 | |
| Small/Mid Cap Growth Fund | | | 50.23 | | | | 45.91 | |
| Small/Mid Cap Value Fund | | | 97.10 | | | | 93.55 | |
| International Equity Fund | | | 93.38 | | | | 0.64 | |
| | |
| Annual Report • June 30, 2018 | | 89 |
Bridge Builder Mutual Funds
General Information (Unaudited) (Continued)
The following table lists the percentages of ordinary income distributions paid by the Funds, for the period ended June 30, 2018, that were designated as short-term capital gain distributions under Internal Revenue Code Section 871(k)(2)(c) and qualify as interest related dividends under Internal Revenue Code Section 871(k)(2)(c), respectively.
| | | | |
| | | % of Ordinary Income Distributions | |
| Fund | | Short-Term Capital Gain Distributions | |
| Core Bond Fund | | | — | % |
| Core Plus Bond Fund | | | — | |
| Municipal Bond Fund | | | — | |
| Large Cap Growth Fund | | | — | |
| Large Cap Value Fund | | | 10.53 | |
| Small/Mid Cap Growth Fund | | | 47.47 | |
| Small/Mid Cap Value Fund | | | — | |
| International Equity Fund | | | 1.81 | |
For the fiscal year ended June 30, 2018, the International Equity Fund earned foreign source income of $179,715,244, which amounts to $0.28 per share, and paid foreign taxes of $16,591,276, which amounts to $0.03 per share, which it intends to pass through to its shareholders pursuant to Section 853 of the Internal Revenue Code.
| | |
| 90 | | Annual Report • June 30, 2018 |
Bridge Builder Mutual Funds
Privacy Policy (Unaudited)
Revised 12/2017
| | | | |
FACTS | | What Does the Bridge Builder Trust (“Bridge Builder”) Do with Your Personal Information? |
Why? | | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share and protect your personal information. Please read this notice carefully to understand what we do. |
What? | | The types of personal information we collect and share depend on the product or service you have with us. This information can include: |
| | | * Social Security number | | * Investment experience |
| | | * Account balances | | * Risk tolerance |
| | | * Transaction history | | |
| | | When you are no longer our customer, we continue to share your information as described in this notice. |
How? | | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Bridge Builder chooses to share; and whether you can limit this sharing. |
| | | | |
| REASONS WE CAN SHARE YOUR PERSONAL INFORMATION | | DOES BRIDGE
BUILDER SHARE? | | CAN YOU LIMIT THIS
SHARING? |
| For our everyday business purposes – such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | | Yes | | No |
| For our marketing purposes – to offer our products and services to you | | No | | We don’t share |
| For joint marketing with other financial companies | | No | | We don’t share |
| For our affiliates’ everyday business purposes – information about your transactions and experiences | | Yes | | No |
| For our affiliates’ everyday business purposes – information about your creditworthiness | | No | | We don’t share |
| For nonaffiliates to market to you | | No | | We don’t share |
| | |
WHO WE ARE | | |
Who is providing this notice? | | Bridge Builder Trust |
| | |
WHAT WE DO | | |
How does Bridge Builder protect my personal information? | | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. |
How does Bridge Builder collect my personal information? | | We collect your personal information, for example, when you deposit money with us, if you ever were to give us your contact information, open an account with us, provide us account information or make a wire transfer. |
Why can’t I limit all sharing? | | Federal law gives you the right to limit only: * Sharing for affiliates’ everyday business purposes – information about your creditworthiness * Affiliates from using your information to market to you * Sharing for nonaffiliates to market to you State laws and individual companies may give you additional rights to limit sharing. |
| | |
DEFINITIONS | | |
Affiliates | | Companies related by common ownership or control. They can be financial and nonfinancial companies. Olive Street Investment Advisers, LLC (“Olive Street”), our investment adviser, may be deemed to be affiliated with us. Olive Street is a wholly owned subsidiary of The Jones Financial Companies, L.L.L.P. (“JFC”), and is affiliated with other subsidiaries of JFC, including Edward D. Jones & Co., L.P., and Edward Jones Trust Company. |
Nonaffiliates | | Companies not related by common ownership or control. They can be financial and nonfinancial companies. Bridge Builder does not share with non-affiliates so they can market to you. |
Joint Marketing | | A formal agreement between nonaffiliated financial companies that together market financial products or services to you. Bridge Builder does not currently engage in joint marketing efforts. |
|
| |
| Questions? Call 855-823-3611 or go to www.bridgebuildermutualfunds.com |
| | |
| Annual Report • June 30, 2018 | | 91 |
Investment Adviser
Olive Street Investment Advisers, LLC
12555 Manchester Road
St. Louis, MO 63131
Administrator, Fund Accountant & Transfer Agent
U.S. Bancorp Fund Services, LLC
615 East Michigan Street
Milwaukee, WI 53202
Distributor
Quasar Distributors, LLC
615 East Michigan Street
Milwaukee, WI 53202
Custodian
U.S. Bank, N.A.
1555 North RiverCenter Drive, Suite 302
Milwaukee, WI 53212
Legal Counsel
Morgan Lewis & Bockius, LLP
1701 Market Street
Philadelphia, PA 19103
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
One North Wacker
Chicago, IL 60606
Item 2. Code of Ethics.
The registrant has adopted a code of ethics that applies to the registrant’s principal executive officer and principal financial officer. The registrant has not made any amendments to its code of ethics during the period covered by this report. The registrant has not granted any waivers from any provisions of the code of ethics during the period covered by this report.
Incorporated by reference to the Registrant’s Form N-CSR filed December 16, 2015.
Item 3. Audit Committee Financial Expert.
The registrant’s board of trustees has determined that John Tesoro and William Scheffel are the “audit committee financial experts” and are considered to be “independent” as each term is defined in Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
The registrant has engaged its principal accountant to perform audit services, audit-related services, and tax services during the past two fiscal years. “Audit fees” refer to performing an audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years. “Audit-related fees” refer to the assurance and related services by the principal accountant that are reasonably related to the performance of the audit. “Tax fees” refer to professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. The following table details the aggregate fees billed or expected to be billed for the last two fiscal years for audit fees, audit-related fees, tax fees and other fees by the principal accountant.
| | | | | | | | |
| | | FYE 6/30/2018 | | | FYE 6/30/2017 | |
Audit Fees | | $ | 482,530 | | | $ | 434,975 | |
Audit-Related Fees | | | | | | | | |
Tax Fees | | $ | 59,504 | | | $ | 56,018 | |
All Other Fees | | | | | | | | |
The audit committee has adopted pre-approval policies and procedures that require the audit committee to pre-approve all audit and non-audit services of the registrant, including services provided to any entity affiliated with the registrant.
The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X were as follows:
| | | | | | | | |
| | | FYE 6/30/2018 | | | FYE 6/30/2017 | |
Audit-Related Fees | | | 0 | % | | | 0 | % |
Tax Fees | | | 0 | % | | | 0 | % |
All Other Fees | | | 0 | % | | | 0 | % |
All of the principal accountant’s hours spent on auditing the registrant’s financial statements were attributed to work performed by full-time permanent employees of the principal accountant. The following table indicates the non-audit fees billed or expected to be billed by the registrant’s accountant for services to the registrant and to the registrant’s investment adviser (and any entity controlling, controlled by, or under common control with the investment adviser) for the last two years.
| | | | | | | | |
Non-Audit Related Fees | | FYE 6/30/2018 | | | FYE 6/30/2017 | |
Registrant | | $ | 59,504 | | | $ | 56,018 | |
Registrant’s Investment Adviser | | $ | 0 | | | $ | 0 | |
Item 5. Audit Committee of Listed Registrants.
Not applicable to registrants who are not listed issuers (as defined in Rule 10A-3 under the Securities Exchange Act of 1934).
Item 6. Investments.
Bridge Builder Core Bond Fund
Schedule of Investments
June 30, 2018
| | | | | | | | |
| | | Principal
Amount | | | Value | |
BONDS & NOTES - 97.86% | | | | | | | | |
Asset-Backed Obligations - 11.90% | | | | | | | | |
ABFC 2005-AQ1 Trust | | | | | | | | |
4.81%, 01/25/2034 (8) | | $ | 363,273 | | | $ | 371,493 | |
ABFC 2006-OPT1 Trust | | | | | | | | |
2.24% (1 Month LIBOR USD + 0.15%, 0.15% Floor), 09/25/2036 (1) | | | 3,857,999 | | | | 3,759,517 | |
Academic Loan Funding Trust 2013-1 | | | | | | | | |
2.89% (1 Month LIBOR USD + 0.80%), 12/26/2044 (1)(2) | | | 946,772 | | | | 948,100 | |
Acre TL 2017-A FNR | | | | | | | | |
6.56%, (1 Month LIBOR USD + 4.60%, 4.60% Floor), 12/22/2020 (1)(12) | | | 6,515,000 | | | | 6,515,000 | |
AJAX Mortgage Loan Trust | | | | | | | | |
3.47%, 04/25/2057 (8)(2) | | | 1,070,855 | | | | 1,063,350 | |
AJAX Mortgage Loan Trust 2016-2 | | | | | | | | |
4.13%, 10/25/2056 (8)(2) | | | 1,039,528 | | | | 1,036,127 | |
AJAX Mortgage Loan Trust 2016-C | | | | | | | | |
4.00%, 10/25/2057 (8)(2) | | | 2,372,242 | | | | 2,377,790 | |
Allegro CLO VII Ltd. | | | | | | | | |
3.49% (3 Month LIBOR USD + 1.10%, 1.10% Floor), 06/13/2031 (1)(2) | | | 12,000,000 | | | | 11,959,884 | |
American Credit Acceptance Receivables Trust 2015-2 | | | | | | | | |
4.32%, 05/12/2021 (2) | | | 828,986 | | | | 832,644 | |
American Credit Acceptance Receivables Trust 2016-4 | | | | | | | | |
2.91%, 02/13/2023 (2) | | | 1,412,000 | | | | 1,408,926 | |
American Credit Acceptance Receivables Trust 2017-2 | | | | | | | | |
2.86%, 06/12/2023 (2) | | | 5,996,000 | | | | 5,962,682 | |
3.69%, 06/12/2023 (2) | | | 3,660,000 | | | | 3,646,802 | |
American Credit Acceptance Receivables Trust 2018-2 | | | | | | | | |
2.94%, 01/10/2022 (2) | | | 6,438,000 | | | | 6,439,818 | |
American Express Credit Account Master Trust | | | | | | | | |
1.93%, 09/15/2022 | | | 24,490,000 | | | | 24,129,933 | |
2.04%, 05/15/2023 | | | 13,398,000 | | | | 13,127,506 | |
2.52% (1 Month LIBOR USD + 0.45%), 09/16/2024 (1) | | | 15,600,000 | | | | 15,737,937 | |
2.45% (1 Month LIBOR USD + 0.38%), 02/18/2025 (1) | | | 5,700,000 | | | | 5,722,124 | |
3.01%, 10/15/2025 | | | 3,578,000 | | | | 3,561,658 | |
American Express Credit Account Master Trust 2013-1 | | | | | | | | |
2.77% (1 Month LIBOR USD + 0.70%, 0.70% Floor), 02/16/2021 (1) | | | 5,250,000 | | | | 5,251,210 | |
American Homes 4 Rent 2014-SFR2 Trust | | | | | | | | |
3.79%, 10/17/2036 (2) | | | 3,883,293 | | | | 3,925,131 | |
4.29%, 10/17/2036 (2) | | | 300,000 | | | | 306,461 | |
6.23%, 10/17/2036 (2) | | | 1,000,000 | | | | 1,101,759 | |
| | | | | | | | |
American Homes 4 Rent 2014-SFR3 Trust | | | | | | | | |
4.60%, 12/17/2036 (2) | | | 600,000 | | | | 617,101 | |
6.42%, 12/17/2036 (2) | | | 1,000,000 | | | | 1,113,354 | |
3.47%, 04/17/2052 (2) | | | 2,119,582 | | | | 2,098,657 | |
5.64%, 04/17/2052 (2) | | | 3,900,000 | | | | 4,165,698 | |
American Homes 4 Rent 2015-SFR2 Trust | | | | | | | | |
3.73%, 10/17/2045 (2) | | | 1,840,275 | | | | 1,849,851 | |
AmeriCredit Automobile Receivables Trust | | | | | | | | |
1.51%, 05/18/2020 | | | 1,268,344 | | | | 1,266,111 | |
2.30%, 02/18/2022 | | | 1,153,000 | | | | 1,140,132 | |
2.71%, 08/18/2022 | | | 618,000 | | | | 610,964 | |
3.13%, 01/18/2023 | | | 1,387,000 | | | | 1,374,516 | |
AmeriCredit Automobile Receivables Trust 2016-2 | | | | | | | | |
1.60%, 11/09/2020 | | | 213,450 | | | | 212,903 | |
AmeriCredit Automobile Receivables Trust 2016-4 | | | | | | | | |
1.83%, 12/08/2021 | | | 900,000 | | | | 885,405 | |
AmeriCredit Automobile Receivables Trust 2017-2 | | | | | | | | |
3.42%, 04/18/2023 | | | 6,000,000 | | | | 5,965,830 | |
AmeriCredit Automobile Receivables Trust 2017-3 | | | | | | | | |
2.69%, 06/19/2023 | | | 3,050,000 | | | | 2,999,802 | |
AmeriCredit Automobile Receivables Trust 2017-4 | | | | | | | | |
1.83%, 05/18/2021 | | | 12,303,159 | | | | 12,251,327 | |
2.36%, 12/19/2022 | | | 5,355,000 | | | | 5,257,943 | |
2.60%, 09/18/2023 | | | 6,700,000 | | | | 6,579,413 | |
AmeriCredit Automobile Receivables Trust 2018-1 | | | | | | | | |
2.71%, 07/19/2021 | | | 7,562,000 | | | | 7,559,831 | |
3.50%, 01/18/2024 | | | 6,000,000 | | | | 6,026,492 | |
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates Series 2003-13 | | | | | | | | |
5.10%, 01/25/2034 (8) | | | 1,496 | | | | 1,759 | |
Amortizing Residential Collateral Trust 2002-BC5 | | | | | | | | |
3.13% (1 Month LIBOR USD + 1.04%, 0.69% Floor), 07/25/2032 (1) | | | 2,715,356 | | | | 2,689,168 | |
Anchor Assets IX LLC | | | | | | | | |
5.13%, 02/15/2020 (2)(12) | | | 7,500,000 | | | | 7,500,000 | |
Anchorage Capital CLO 2013-1 Ltd. | | | | | | | | |
3.59% (3 Month LIBOR USD + 1.25%), 10/13/2030 (1)(2) | | | 2,500,000 | | | | 2,500,312 | |
Apidos CLO XXIII | | | | | | | | |
3.17% (3 Month LIBOR USD + 0.82%, 0.82% Floor), 01/15/2027 (1)(2) | | | 10,000,000 | | | | 9,994,990 | |
Arcadia Receivables Credit Trust 2017-1 | | | | | | | | |
3.25%, 06/15/2023 (2) | | | 1,285,128 | | | | 1,288,127 | |
| | | | | | | | |
Argent Securities, Inc. | | | | | | | | |
3.23% (1 Month LIBOR USD + 1.14%, 0.57% Floor), 03/25/2034 (1) | | | 3,383,390 | | | | 3,407,575 | |
Argent Securities, Inc. Asset Backed Pass Through Certificates Series 2004-W5 | | | | | | | | |
3.13% (1 Month LIBOR USD + 1.04%, 0.52% Floor), 04/25/2034 (1) | | | 3,667,317 | | | | 3,654,864 | |
Argent Securities, Inc. Asset Backed Pass Through Certificates Series 2005-W3 | | | | | | | | |
2.43% (1 Month LIBOR USD + 0.34%, 0.34% Floor), 11/25/2035 (1) | | | 2,797,846 | | | | 2,795,138 | |
Asset Backed Securities Co. Home Equity Loan Trust Series 2003-HE6 | | | | | | | | |
2.77% (1 Month LIBOR USD + 0.68%, 0.34% Floor), 11/25/2033 (1) | | | 1,862,969 | | | | 1,803,761 | |
Asset Backed Securities Co. Home Equity Loan Trust Series AEG 2006-HE1 | | | | | | | | |
2.31% (1 Month LIBOR USD + 0.22%, 0.22% Floor), 01/25/2036 (1) | | | 4,234,498 | | | | 4,216,083 | |
Asset Backed Securities Co. Home Equity Loan Trust Series OOMC 2006-HE3 | | | | | | | | |
2.26% (1 Month LIBOR USD + 0.17%, 0.17% Floor), 03/25/2036 (1) | | | 2,236,335 | | | | 2,222,257 | |
Asset-Backed Pass-Through Certificates Series 2004-R2 | | | | | | | | |
2.87% (1 Month LIBOR USD + 0.78%, 0.39% Floor), 04/25/2034 (1) | | | 386,937 | | | | 389,093 | |
Atlas Senior Loan Fund III Ltd. | | | | | | | | |
3.15% (3 Month LIBOR USD + 0.83%), 11/17/2027 (1)(2) | | | 6,500,000 | | | | 6,480,019 | |
Atlas Senior Loan Fund Ltd. | | | | | | | | |
3.65% (3 Month LIBOR USD + 1.30%), 01/16/2030 (1)(2) | | | 3,750,000 | | | | 3,751,875 | |
Atlas Senior Loan Fund V Ltd. | | | | | | | | |
3.61% (3 Month LIBOR USD + 1.26%), 07/16/2029 (1)(2) | | | 4,250,000 | | | | 4,250,884 | |
Avis Budget Rental Car Funding AESOP LLC | | | | | | | | |
1.92%, 09/20/2019 (2) | | | 5,300,000 | | | | 5,294,905 | |
2.46%, 07/20/2020 (2) | | | 10,300,000 | | | | 10,254,200 | |
2.50%, 07/20/2021 (2) | | | 7,900,000 | | | | 7,783,089 | |
2.63%, 12/20/2021 (2) | | | 6,600,000 | | | | 6,518,419 | |
3.70%, 09/20/2024 (2) | | | 6,200,000 | | | | 6,225,541 | |
AXIS Equipment Finance Receivables IV LLC | | | | | | | | |
2.21%, 11/20/2021 (2) | | | 786,645 | | | | 781,969 | |
B2R Mortgage Trust 2015-1 | | | | | | | | |
2.52%, 05/15/2048 (2) | | | 893,218 | | | | 881,236 | |
B2R Mortgage Trust 2015-2 | | | | | | | | |
3.34%, 11/15/2048 (2) | | | 2,140,388 | | | | 2,128,240 | |
BA Credit Card Trust | | | | | | | | |
1.95%, 08/15/2022 | | | 9,255,000 | | | | 9,113,841 | |
Bain Capital Credit CLO 2018-1 | | | | | | | | |
3.32% (3 Month LIBOR USD + 0.96%), 04/23/2031 (1)(2) | | | 10,000,000 | | | | 9,940,900 | |
Battalion CLO V Ltd. | | | | | | | | |
3.52% (3 Month LIBOR USD + 1.17%), 04/17/2026 (1)(2) | | | 2,750,000 | | | | 2,749,211 | |
Battalion CLO VI Ltd. | | | | | | | | |
3.53% (3 Month LIBOR USD + 1.18%), 10/17/2026 (1)(2) | | | 2,100,000 | | | | 2,098,944 | |
| | | | | | | | |
Battalion CLO VII Ltd. | | | | | | | | |
3.54% (3 Month LIBOR USD + 1.19%), 10/17/2026 (1)(2) | �� | | 4,000,000 | | | | 3,997,988 | |
Bayview Financial Mortgage Pass-Through Trust 2007-B | | | | | | | | |
6.83%, 08/28/2047 (8) | | | 207,594 | | | | 197,482 | |
Bayview Opportunity Master Fund IIIa Trust 2017-RN7 | | | | | | | | |
3.10%, 09/28/2032 (8)(2) | | | 1,653,493 | | | | 1,646,938 | |
Bayview Opportunity Master Fund IIIa Trust 2017-RN8 | | | | | | | | |
3.35%, 11/28/2032 (8)(2) | | | 3,724,375 | | | | 3,705,799 | |
Bayview Opportunity Master Fund IIIb Trust 2017-RN3 | | | | | | | | |
3.23%, 05/28/2032 (8)(2) | | | 155,130 | | | | 155,101 | |
Bayview Opportunity Master Fund IVa Trust 2018-RN1 | | | | | | | | |
3.28%, 01/28/2033 (8)(2) | | | 4,141,568 | | | | 4,111,508 | |
BCC Funding XIII LLC | | | | | | | | |
2.20%, 12/20/2021 (2) | | | 1,079,878 | | | | 1,074,385 | |
Bear Stearns Asset Backed Securities I Trust 2004-HE6 | | | | | | | | |
2.95% (1 Month LIBOR USD + 0.86%, 0.57% Floor), 08/25/2034 (1) | | | 7,536,175 | | | | 7,317,447 | |
Bear Stearns Asset Backed Securities I Trust 2004-HE7 | | | | | | | | |
2.99% (1 Month LIBOR USD + 0.90%, 0.60% Floor), 08/25/2034 (1) | | | 856,119 | | | | 856,098 | |
Bear Stearns Asset Backed Securities Trust 2003-2 | | | | | | | | |
3.59% (1 Month LIBOR USD + 1.50%, 0.75% Floor, 11.00% Cap), 03/25/2043 (1) | | | 4,028,794 | | | | 3,980,134 | |
Bear Stearns Asset Backed Securities Trust 2006-SD1 | | | | | | | | |
2.46% (1 Month LIBOR USD + 0.37%, 0.37% Floor), 04/25/2036 (1) | | | 16,907 | | | | 16,618 | |
BlueMountain CLO 2015-1 Ltd. | | | | | | | | |
3.67% (3 Month LIBOR USD + 1.33%), 04/13/2027 (1)(2) | | | 775,000 | | | | 774,764 | |
BMW Floorplan Master Owner Trust | | | | | | | | |
2.35% (1 Month LIBOR USD + 0.32%), 05/15/2023 (1)(2) | | | 6,407,000 | | | | 6,406,992 | |
Business Jet Securities LLC 2017-1 | | | | | | | | |
4.34%, 02/15/2033 (2) | | | 4,896,748 | | | | 4,905,107 | |
Business Jet Securities LLC 2018-2 | | | | | | | | |
4.45%, 06/15/2033 (2)(12) | | | 6,250,000 | | | | 6,249,893 | |
BXG Receivables Note Trust 2012-A | | | | | | | | |
2.66%, 12/02/2027 (2) | | | 213,666 | | | | 210,012 | |
Camillo Issuer LLC 2016-SFR1 A | | | | | | | | |
5.00%, 12/05/2023 (12) | | | 5,068,798 | | | | 5,057,713 | |
Capital Auto Receivables Asset Trust 2017-1 | | | | | | | | |
1.76%, 06/22/2020 (2) | | | 5,152,300 | | | | 5,136,103 | |
Capital Auto Receivables Asset Trust 2018-1 | | | | | | | | |
2.79%, 01/20/2022 (2) | | | 9,415,000 | | | | 9,389,024 | |
| | | | | | | | |
Capital One Multi-Asset Execution Trust | | | | | | | | |
2.00%, 01/17/2023 | | | 25,889,000 | | | | 25,516,199 | |
1.99%, 07/17/2023 | | | 3,912,000 | | | | 3,832,883 | |
2.65% (1 Month LIBOR USD + 0.58%), 07/15/2027 (1) | | | 6,734,000 | | | | 6,765,274 | |
CarFinance Capital Auto Trust 2015-1 | | | | | | | | |
1.75%, 06/15/2021 (2) | | | 417,891 | | | | 417,237 | |
Carlyle 2017-1 Ltd. | | | | | | | | |
3.59% (3 Month LIBOR USD + 1.23%), 04/20/2031 (1)(2) | | | 5,500,000 | | | | 5,506,413 | |
Carlyle Global Market Strategies CLO 2014-1 Ltd. | | | | | | | | |
3.31% (3 Month LIBOR USD + 0.97%, 0.97% Floor), 04/17/2031 (1)(2) | | | 12,000,000 | | | | 11,935,272 | |
Carlyle U.S. CLO 2017-2 Ltd. | | | | | | | | |
3.58% (3 Month LIBOR USD + 1.22%), 07/20/2031 (1)(2) | | | 3,000,000 | | | | 3,006,912 | |
CarMax Auto Owner Trust | | | | | | | | |
1.64%, 09/15/2020 | | | 5,795,631 | | | | 5,772,166 | |
CarMax Auto Owner Trust 2018-2 | | | | | | | | |
3.16%, 07/17/2023 | | | 3,999,000 | | | | 3,998,137 | |
Carnow Auto Receivables Trust 2016-1 | | | | | | | | |
3.49%, 02/15/2021 (2) | | | 1,168,572 | | | | 1,167,269 | |
Carrington Mortgage Loan Trust Series 2006-OPT1 | | | | | | | | |
2.27% (1 Month LIBOR USD + 0.18%, 0.18% Floor), 02/25/2036 (1) | | | 441,180 | | | | 440,438 | |
Catamaran CLO 2014-2 Ltd. | | | | | | | | |
3.76% (3 Month LIBOR USD + 1.40%), 10/18/2026 (1)(2) | | | 1,000,000 | | | | 1,000,372 | |
Chase Funding Trust Series 2003-4 | | | | | | | | |
5.25%, 05/25/2033 (8) | | | 152,750 | | | | 154,713 | |
Chase Funding Trust Series 2003-6 | | | | | | | | |
5.07%, 11/25/2034 (8) | | | 231,660 | | | | 239,129 | |
5.07%, 11/25/2034 (8) | | | 394,431 | | | | 404,254 | |
Chase Issuance Trust | | | | | | | | |
2.27% (1 Month LIBOR USD + 0.20%), 04/17/2023 (1) | | | 10,058,000 | | | | 10,054,984 | |
2.62% (1 Month LIBOR USD + 0.55%, 0.55% Floor), 06/15/2023 (1) | | | 11,000,000 | | | | 11,114,658 | |
2.47% (1 Month LIBOR USD + 0.40%), 03/15/2024 (1) | | | 7,100,000 | | | | 7,138,148 | |
CIFC Funding 2018-II Ltd. | | | | | | | | |
3.09% (3 Month LIBOR USD + 1.04%), 04/20/2031 (1)(2) | | | 10,000,000 | | | | 9,939,810 | |
Citi Held For Asset Issuance 2016-MF1 | | | | | | | | |
4.48%, 08/15/2022 (2) | | | 6,851 | | | | 6,856 | |
6.64%, 08/15/2022 (2) | | | 3,250,000 | | | | 3,276,002 | |
Citibank Credit Card Issuance Trust | | | | | | | | |
1.74%, 01/19/2021 | | | 18,360,000 | | | | 18,282,849 | |
2.40% (1 Month LIBOR USD + 0.37%), 08/08/2024 (1) | | | 21,047,000 | | | | 21,083,676 | |
2.41% (1 Month LIBOR USD + 0.33%), 01/21/2025 (1) | | | 8,162,000 | | | | 8,169,315 | |
2.70% (1 Month LIBOR USD + 0.62%, 0.62% Floor), 04/22/2026 (1) | | | 10,900,000 | | | | 11,043,657 | |
| | | | | | | | |
CLUB Credit Trust 2017-NP1 | | | | | | | | |
3.17%, 04/17/2023 (2) | | | 1,220,930 | | | | 1,220,749 | |
2.42%, 09/15/2023 (2) | | | 3,362,230 | | | | 3,354,145 | |
CLUB Credit Trust 2017-P2 | | | | | | | | |
2.61%, 01/15/2024 (2) | | | 3,767,188 | | | | 3,752,947 | |
Colony American Finance 2016-2 Ltd. | | | | | | | | |
2.55%, 11/15/2048 (2) | | | 1,188,851 | | | | 1,161,422 | |
Commonbond Student Loan Trust 2017-B-GS | | | | | | | | |
2.68%, 09/25/2042 (2) | | | 12,171,522 | | | | 11,907,460 | |
Commonbond Student Loan Trust 2018-A-GS | | | | | | | | |
3.21%, 02/25/2044 (2) | | | 9,054,785 | | | | 9,015,638 | |
Conseco Financial Co. | | | | | | | | |
6.24%, 12/01/2028 | | | 21,327 | | | | 21,792 | |
6.22%, 03/01/2030 | | | 68,295 | | | | 72,052 | |
6.18%, 04/01/2030 | | | 21,037 | | | | 22,003 | |
Consumer Loan Underlying Bond Credit Trust 2017-NP2 | | | | | | | | |
2.55%, 01/16/2024 (2) | | | 1,706,512 | | | | 1,704,576 | |
Continental Credit Card 2016-1 | | | | | | | | |
4.56%, 01/15/2023 (2) | | | 267,496 | | | | 266,446 | |
COOF Securitization Trust 2014-1 Ltd. | | | | | | | | |
3.00%, 06/25/2040 IO (2)(3) | | | 1,467,011 | | | | 131,422 | |
Countrywide Asset-Backed Certificates | | | | | | | | |
5.12%, 02/25/2035 (8) | | | 40,614 | | | | 40,879 | |
4.45%, 02/25/2036 (3) | | | 115,878 | | | | 118,212 | |
4.63%, 04/25/2036 (3) | | | 83,273 | | | | 80,768 | |
4.65%, 09/25/2046 (3) | | | 84,808 | | | | 76,633 | |
CPS Auto Receivables Trust 2014-C | | | | | | | | |
3.77%, 08/17/2020 (2) | | | 558,000 | | | | 560,535 | |
CPS Auto Receivables Trust 2014-D | | | | | | | | |
4.35%, 11/16/2020 (2) | | | 525,000 | | | | 530,821 | |
CPS Auto Receivables Trust 2015-A | | | | | | | | |
4.00%, 02/16/2021 (2) | | | 446,000 | | | | 450,348 | |
CPS Auto Receivables Trust 2015-B | | | | | | | | |
4.20%, 05/17/2021 (2) | | | 1,905,000 | | | | 1,923,258 | |
CPS Auto Receivables Trust 2015-C | | | | | | | | |
4.63%, 08/16/2021 (2) | | | 1,376,000 | | | | 1,396,180 | |
| | | | | | | | |
CPS Auto Receivables Trust 2016-C | | | | | | | | |
1.62%, 01/15/2020 (2) | | | 552,816 | | | | 552,475 | |
3.27%, 06/15/2022 (2) | | | 840,000 | | | | 841,093 | |
CPS Auto Receivables Trust 2017-B | | | | | | | | |
2.92%, 02/15/2022 (2) | | | 1,441,000 | | | | 1,431,502 | |
3.95%, 03/15/2023 (2) | | | 3,485,000 | | | | 3,497,261 | |
CPS Auto Receivables Trust 2017-C | | | | | | | | |
1.78%, 09/15/2020 (2) | | | 1,971,310 | | | | 1,964,548 | |
2.86%, 06/15/2023 (2) | | | 2,300,000 | | | | 2,277,412 | |
3.79%, 06/15/2023 (2) | | | 791,000 | | | | 789,660 | |
CPS Auto Receivables Trust 2018-A | | | | | | | | |
2.16%, 05/17/2021 (2) | | | 5,282,626 | | | | 5,263,328 | |
CPS Auto Trust | | | | | | | | |
1.50%, 06/15/2020 (2) | | | 1,496,395 | | | | 1,493,134 | |
Credit Acceptance Auto Loan Trust 2015-2 | | | | | | | | |
2.40%, 02/15/2023 (2) | | | 184,372 | | | | 184,360 | |
3.76%, 02/15/2024 (2) | | | 434,000 | | | | 435,257 | |
Credit Acceptance Auto Loan Trust 2017-1 | | | | | | | | |
2.56%, 10/15/2025 (2) | | | 1,987,000 | | | | 1,975,872 | |
3.04%, 12/15/2025 (2) | | | 871,000 | | | | 866,413 | |
3.48%, 02/17/2026 (2) | | | 730,000 | | | | 723,654 | |
Credit Acceptance Auto Loan Trust 2017-2 | | | | | | | | |
3.35%, 06/15/2026 (2) | | | 811,000 | | | | 798,374 | |
Credit Acceptance Auto Loan Trust 2018-1 | | | | | | | | |
3.01%, 02/16/2027 (2) | | | 6,494,000 | | | | 6,431,699 | |
Credit-Based Asset Servicing & Securitization LLC | | | | | | | | |
3.74%, 12/25/2035 (8) | | | 2,021 | | | | 2,015 | |
CSMC 2016-RPL1 Trust | | | | | | | | |
5.13% (1 Month LIBOR USD + 3.15%, 3.15% Floor), 12/26/2046 (1)(2) | | | 10,135,604 | | | | 10,109,850 | |
CWABS, Inc. Asset-Backed Certificates Series 2003-5 | | | | | | | | |
5.20%, 01/25/2034 (3) | | | 23,380 | | | | 23,663 | |
CWABS, Inc. Asset-Backed Certificates Series 2003-BC1 | | | | | | | | |
2.89% (1 Month LIBOR USD + 0.80%, 0.40% Floor), 03/25/2033 (1) | | | 589,800 | | | | 581,917 | |
CWABS, Inc. Asset-Backed Certificates Series 2004-1 | | | | | | | | |
2.84% (1 Month LIBOR USD + 0.75%, 0.50% Floor), 03/25/2034 (1) | | | 45,086 | | | | 45,305 | |
2.92% (1 Month LIBOR USD + 0.83%, 0.55% Floor), 03/25/2034 (1) | | | 8,338 | | | | 8,282 | |
2.65% (1 Month LIBOR USD + 0.56%, 0.28% Floor), 04/25/2034 (1) | | | 1,112 | | | | 1,098 | |
CWABS, Inc. Asset-Backed Certificates Trust 2004-15 | | | | | | | | |
4.61%, 04/25/2035 (3) | | | 11,709 | | | | 11,751 | |
| | | | | | | | |
CWABS, Inc. Asset-Backed Certificates Trust 2004-6 | | | | | | | | |
2.99% (1 Month LIBOR USD + 0.90%, 0.60% Floor), 10/25/2034 (1) | | | 18,270 | | | | 18,026 | |
2.87% (1 Month LIBOR USD + 0.78%, 0.39% Floor), 11/25/2034 (1) | | | 741,981 | | | | 741,973 | |
CWABS, Inc. Asset-Backed Certificates Trust 2005-1 | | | | | | | | |
5.03%, 07/25/2035 (3) | | | 24,979 | | | | 25,382 | |
CWABS, Inc. Asset-Backed Certificates Trust 2005-11 | | | | | | | | |
4.47%, 02/25/2036 (3) | | | 17,884 | | | | 17,850 | |
CWABS, Inc. Asset-Backed Certificates Trust 2005-17 | | | | | | | | |
4.42%, 05/25/2036 (3) | | | 29,908 | | | | 29,869 | |
CWHEQ Home Equity Loan Trust Series 2007-S1 | | | | | | | | |
5.69%, 11/25/2036 (3) | | | 6,187 | | | | 6,298 | |
Diamond Resorts Owner Trust | | | | | | | | |
3.27%, 10/22/2029 (2) | | | 2,846,034 | | | | 2,776,153 | |
Discover Card Execution Note Trust | | | | | | | | |
2.43% (1 Month LIBOR USD + 0.36%), 04/15/2025 (1) | | | 7,906,000 | | | | 7,927,171 | |
Drive Auto Receivables Trust 2015-A | | | | | | | | |
4.12%, 07/15/2022 (2) | | | 1,766,000 | | | | 1,783,283 | |
Drive Auto Receivables Trust 2015-B | | | | | | | | |
3.84%, 07/15/2021 (2) | | | 1,921,000 | | | | 1,932,272 | |
Drive Auto Receivables Trust 2015-C | | | | | | | | |
4.20%, 09/15/2021 (2) | | | 926,471 | | | | 935,004 | |
Drive Auto Receivables Trust 2016-C | | | | | | | | |
4.18%, 03/15/2024 (2) | | | 2,996,000 | | | | 3,033,401 | |
Drive Auto Receivables Trust 2017-1 | | | | | | | | |
2.84%, 04/15/2022 | | | 3,543,000 | | | | 3,537,658 | |
3.84%, 03/15/2023 | | | 5,373,000 | | | | 5,418,551 | |
Drive Auto Receivables Trust 2017-2 | | | | | | | | |
2.25%, 06/15/2021 | | | 6,033,000 | | | | 6,023,975 | |
2.75%, 09/15/2023 | | | 5,566,000 | | | | 5,553,667 | |
Drive Auto Receivables Trust 2017-3 | | | | | | | | |
2.30%, 05/17/2021 | | | 5,184,000 | | | | 5,170,475 | |
2.80%, 07/15/2022 | | | 2,493,000 | | | | 2,484,797 | |
3.53%, 12/15/2023 (2) | | | 12,000,000 | | | | 11,955,064 | |
Drive Auto Receivables Trust 2017-A | | | | | | | | |
2.51%, 01/15/2021 (2) | | | 512,772 | | | | 512,550 | |
2.98%, 01/18/2022 (2) | | | 1,294,000 | | | | 1,294,120 | |
4.16%, 05/15/2024 (2) | | | 1,724,000 | | | | 1,745,286 | |
Drive Auto Receivables Trust 2017-B | | | | | | | | |
2.20%, 05/15/2020 (2) | | | 1,778,366 | | | | 1,777,556 | |
2.61%, 08/16/2021 (2) | | | 3,416,000 | | | | 3,413,205 | |
3.72%, 10/17/2022 (2) | | | 2,982,000 | | | | 3,000,226 | |
| | | | | | | | |
Drive Auto Receivables Trust 2018-1 | | | | | | | | |
2.88%, 02/15/2022 | | | 9,392,000 | | | | 9,367,054 | |
Drive Auto Receivables Trust 2018-2 | | | | | | | | |
3.22%, 04/15/2022 | | | 21,350,000 | | | | 21,356,179 | |
DT Auto Owner Trust 2015-2 | | | | | | | | |
4.25%, 02/15/2022 (2) | | | 1,341,801 | | | | 1,349,972 | |
DT Auto Owner Trust 2016-4 | | | | | | | | |
2.74%, 10/17/2022 (2) | | | 3,000,000 | | | | 2,998,595 | |
DT Auto Owner Trust 2017-1 | | | | | | | | |
3.55%, 11/15/2022 (2) | | | 4,869,000 | | | | 4,867,669 | |
DT Auto Owner Trust 2017-2 | | | | | | | | |
1.72%, 05/15/2020 (2) | | | 1,711,002 | | | | 1,709,565 | |
3.03%, 01/17/2023 (2) | | | 3,026,000 | | | | 3,018,961 | |
DT Auto Owner Trust 2017-3 | | | | | | | | |
1.73%, 08/17/2020 (2) | | | 3,556,976 | | | | 3,548,925 | |
3.58%, 05/15/2023 (2) | | | 1,662,000 | | | | 1,657,110 | |
DT Auto Owner Trust 2017-4 | | | | | | | | |
1.85%, 08/17/2020 (2) | | | 8,465,587 | | | | 8,440,615 | |
DT Auto Owner Trust 2018-2 | | | | | | | | |
3.43%, 05/16/2022 (2) | | | 7,437,193 | | | | 7,437,685 | |
3.67%, 03/15/2024 (2) | | | 8,250,000 | | | | 8,244,843 | |
DTAT Asset Trust 2017-B | | | | | | | | |
5.84%, 12/16/2022 (2)(12) | | | 3,400,000 | | | | 3,396,260 | |
Engs Commercial Finance Trust 2016-1 | | | | | | | | |
2.63%, 02/22/2022 (2) | | | 730,928 | | | | 722,506 | |
Exeter Automobile Receivables Trust 2014-2 | | | | | | | | |
3.26%, 12/16/2019 (2) | | | 62,930 | | | | 62,967 | |
Exeter Automobile Receivables Trust 2016-1 | | | | | | | | |
5.52%, 10/15/2021 (2) | | | 2,230,000 | | | | 2,282,218 | |
Exeter Automobile Receivables Trust 2016-2 | | | | | | | | |
2.21%, 07/15/2020 (2) | | | 39,104 | | | | 39,097 | |
Exeter Automobile Receivables Trust 2016-3 | | | | | | | | |
1.84%, 11/16/2020 (2) | | | 1,266,695 | | | | 1,264,223 | |
Exeter Automobile Receivables Trust 2017-1 | | | | | | | | |
3.95%, 12/15/2022 (2) | | | 835,000 | | | | 837,602 | |
Exeter Automobile Receivables Trust 2017-2 | | | | | | | | |
2.82%, 05/16/2022 (2) | | | 6,119,000 | | | | 6,085,678 | |
| | | | | | | | |
Exeter Automobile Receivables Trust 2017-3 | | | | | | | | |
2.05%, 12/15/2021 (2) | | | 1,274,735 | | | | 1,267,839 | |
3.68%, 07/17/2023 (2) | | | 3,836,000 | | | | 3,836,100 | |
Exeter Automobile Receivables Trust 2018-1 | | | | | | | | |
2.21%, 05/17/2021 (2) | | | 5,547,324 | | | | 5,529,803 | |
First Investors Auto Owner Trust 2015-2 | | | | | | | | |
4.22%, 12/15/2021 (2) | | | 280,000 | | | | 282,799 | |
First Investors Auto Owner Trust 2016-2 | | | | | | | | |
1.53%, 11/16/2020 (2) | | | 963,324 | | | | 961,581 | |
First Investors Auto Owner Trust 2017-1 | | | | | | | | |
2.67%, 04/17/2023 (2) | | | 2,767,000 | | | | 2,738,331 | |
3.60%, 04/17/2023 (2) | | | 2,847,000 | | | | 2,822,744 | |
First Investors Auto Owner Trust 2018-1 | | | | | | | | |
2.84%, 05/16/2022 (2) | | | 5,059,924 | | | | 5,059,378 | |
FirstKey Lending 2015-SFR1 Trust | | | | | | | | |
2.55%, 03/09/2047 (2) | | | 1,564,713 | | | | 1,556,314 | |
3.42%, 03/09/2047 (2) | | | 1,442,000 | | | | 1,438,057 | |
Flagship Credit Auto Trust 2014-2 | | | | | | | | |
2.84%, 11/16/2020 (2) | | | 213,716 | | | | 213,793 | |
3.95%, 12/15/2020 (2) | | | 440,000 | | | | 442,562 | |
Flagship Credit Auto Trust 2015-3 | | | | | | | | |
2.38%, 10/15/2020 (2) | | | 303,048 | | | | 302,675 | |
3.68%, 03/15/2022 (2) | | | 568,000 | | | | 571,462 | |
4.65%, 03/15/2022 (2) | | | 567,000 | | | | 576,579 | |
Flagship Credit Auto Trust 2016-1 | | | | | | | | |
2.77%, 12/15/2020 (2) | | | 471,467 | | | | 471,596 | |
6.22%, 06/15/2022 (2) | | | 3,000,000 | | | | 3,121,324 | |
Flagship Credit Auto Trust 2016-4 | | | | | | | | |
1.47%, 03/16/2020 (2) | | | 88,636 | | | | 88,594 | |
2.71%, 11/15/2022 (2) | | | 1,743,000 | | | | 1,725,061 | |
Flagship Credit Auto Trust 2017-2 | | | | | | | | |
2.96%, 07/15/2023 (2) | | | 5,195,000 | | | | 5,128,934 | |
3.62%, 07/15/2023 (2) | | | 2,995,000 | | | | 2,956,131 | |
Ford Credit Auto Owner Trust 2015-A | | | | | | | | |
1.28%, 09/15/2019 | | | 2,324 | | | | 2,323 | |
Ford Credit Auto Owner Trust 2016-REV1 | | | | | | | | |
2.31%, 08/15/2027 (2) | | | 7,000,000 | | | | 6,856,949 | |
Ford Credit Auto Owner Trust 2016-REV2 | | | | | | | | |
2.03%, 12/15/2027 (2) | | | 10,000,000 | | | | 9,683,008 | |
| | | | | | | | |
Ford Credit Auto Owner Trust 2017-B | | | | | | | | |
1.49%, 05/15/2020 | | | 6,008,015 | | | | 5,982,511 | |
Ford Credit Auto Owner Trust 2017-C | | | | | | | | |
2.01%, 03/15/2022 | | | 4,177,000 | | | | 4,118,147 | |
Ford Credit Auto Owner Trust 2018-REV1 | | | | | | | | |
3.19%, 07/15/2031 (2) | | | 15,408,000 | | | | 15,157,498 | |
Foundation Finance Trust 2017-1 | | | | | | | | |
3.30%, 07/15/2033 (2) | | | 3,752,318 | | | | 3,692,588 | |
Foursight Capital Automobile Receivables Trust 2017-1 | | | | | | | | |
3.05%, 12/15/2022 (2) | | | 4,000,000 | | | | 3,948,316 | |
FREED ABS TRUST 2018-1 | | | | | | | | |
3.61%, 07/18/2024 (2) | | | 4,871,000 | | | | 4,868,871 | |
Fremont Home Loan Trust 2004-2 | | | | | | | | |
2.95% (1 Month LIBOR USD + 0.86%, 0.57% Floor), 07/25/2034 (1) | | | 1,229,294 | | | | 1,242,675 | |
Galaxy XVIII CLO Ltd. | | | | | | | | |
3.52% (3 Month LIBOR USD + 1.17%), 10/15/2026 (1)(2) | | | 7,000,000 | | | | 6,997,298 | |
Galaxy XXIX CLO Ltd. | | | | | | | | |
3.12% (3 Month LIBOR USD + 0.79%), 11/15/2026 (1)(2) | | | 6,000,000 | | | | 5,990,850 | |
GCAT 2017-2 LLC | | | | | | | | |
3.50%, 04/25/2047 (8)(2) | | | 2,557,473 | | | | 2,536,621 | |
GCAT 2017-3 LLC | | | | | | | | |
3.35%, 04/25/2047 (8)(2) | | | 766,198 | | | | 761,800 | |
GCAT 2017-5 LLC | | | | | | | | |
3.23%, 07/25/2047 (8)(2) | | | 669,507 | | | | 665,766 | |
GCAT 2018-1 LLC | | | | | | | | |
3.84%, 06/25/2048 (8)(2) | | | 2,743,813 | | | | 2,741,996 | |
GE Capital Mortgage Services, Inc. 1999-HE1 Trust | | | | | | | | |
6.27%, 04/25/2029 | | | 46 | | | | 47 | |
6.71%, 04/25/2029 (3) | | | 30,839 | | | | 25,879 | |
GE Mortgage Services LLC | | | | | | | | |
6.74%, 12/25/2028 | | | 4 | | | | 4 | |
GLS Auto Receivables Trust 2015-1 | | | | | | | | |
4.43%, 12/15/2020 (2) | | | 701,853 | | | | 703,332 | |
GLS Auto Receivables Trust 2016-1 | | | | | | | | |
2.73%, 10/15/2020 (2) | | | 233,857 | | | | 233,854 | |
4.39%, 01/15/2021 (2) | | | 960,000 | | | | 966,727 | |
GM Financial Consumer Automobile 2017-1 | | | | | | | | |
1.78%, 10/18/2021 (2) | | | 7,967,000 | | | | 7,865,768 | |
| | | | | | | | |
GM Financial Consumer Automobile Receivables Trust 2018-1 | | | | | | | | |
2.32%, 07/18/2022 | | | 8,275,000 | | | | 8,170,207 | |
2.46%, 07/17/2023 | | | 5,715,000 | | | | 5,603,508 | |
GMAT 2013-1 Trust | | | | | | | | |
6.97%, 11/25/2043 (8)(2) | | | 186,643 | | | | 186,818 | |
GMF Floorplan Owner Revolving Trust | | | | | | | | |
2.92% (1 Month LIBOR USD + 0.85%), 05/17/2021 (1)(2) | | | 4,900,000 | | | | 4,927,034 | |
GO Financial Auto Securitization Trust 2015-2 | | | | | | | | |
4.80%, 08/17/2020 (2) | | | 15,101 | | | | 15,115 | |
Gold Key Resorts 2014-A LLC | | | | | | | | |
3.22%, 03/17/2031 (2) | | | 588,447 | | | | 581,281 | |
Golden Bear 2016-R LLC | | | | | | | | |
5.65%, 09/20/2047 (2) | | | 2,534,692 | | | | 2,538,976 | |
Goodgreen 2017-1 Trust | | | | | | | | |
3.74%, 10/15/2052 (2) | | | 1,872,537 | | | | 1,875,938 | |
Goodgreen 2017-2 Trust | | | | | | | | |
3.26%, 10/15/2053 (2) | | | 4,953,901 | | | | 4,804,333 | |
Goodgreen 2017-R1 Trust | | | | | | | | |
5.00%, 10/20/2051 (2)(3)(12) | | | 6,497,689 | | | | 6,389,827 | |
Greenwood Park CLO Ltd. | | | | | | | | |
3.04% (3 Month LIBOR USD + 1.01%), 04/15/2031 (1)(2) | | | 23,000,000 | | | | 22,954,161 | |
GREYWOLF CLO VI Ltd. | | | | | | | | |
3.54% (3 Month LIBOR USD + 1.03%), 04/26/2031 (1)(2) | | | 14,000,000 | | | | 13,916,406 | |
GSAA Trust | | | | | | | | |
2.73% (1 Month LIBOR USD + 0.64%, 0.32% Floor), 03/25/2035 (1) | | | 579,878 | | | | 581,365 | |
2.36% (1 Month LIBOR USD + 0.27%, 0.27% Floor), 06/25/2035 (1) | | | 332,910 | | | | 333,812 | |
GSAMP Trust 2005-WMC2 | | | | | | | | |
2.71% (1 Month LIBOR USD + 0.62%, 0.31% Floor), 11/25/2035 (1) | | | 2,017,793 | | | | 2,020,502 | |
GSAMP Trust 2006-HE7 | | | | | | | | |
2.32% (1 Month LIBOR USD + 0.23%, 0.23% Floor), 10/25/2046 (1) | | | 1,417,707 | | | | 1,408,710 | |
Headlands Residential LLC | | | | | | | | |
4.25%, 06/26/2023 | | | 8,245,000 | | | | 8,202,486 | |
Hero Funding 2017-3 | | | | | | | | |
3.95%, 09/20/2048 (2) | | | 4,519,755 | | | | 4,514,770 | |
HERO Funding II 2016-3B | | | | | | | | |
5.24%, 09/20/2042 (2) | | | 1,486,950 | | | | 1,489,109 | |
HERO Funding Trust 2016-2 | | | | | | | | |
3.75%, 09/20/2041 (2) | | | 2,898,139 | | | | 2,917,557 | |
HERO Funding Trust 2016-3 | | | | | | | | |
3.08%, 09/20/2042 (2) | | | 1,286,835 | | | | 1,265,167 | |
| | | | | | | | |
HERO Funding Trust 2016-4A | | | | | | | | |
3.57%, 09/20/2047 (2) | | | 3,858,194 | | | | 3,847,152 | |
HERO Funding Trust 2017-1A | | | | | | | | |
4.46%, 09/20/2047 (2) | | | 6,499,377 | | | | 6,648,051 | |
HERO Funding Trust 2017-2A | | | | | | | | |
3.28%, 09/20/2048 (2) | | | 5,980,660 | | | | 5,903,067 | |
Hertz Vehicle Financing II LP | | | | | | | | |
2.32%, 03/25/2020 (2) | | | 7,500,000 | | | | 7,467,736 | |
Hilton Grand Vacations Trust 2017-A | | | | | | | | |
2.66%, 12/26/2028 (2) | | | 2,107,717 | | | | 2,070,060 | |
Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2006-A | | | | | | | | |
2.29% (1 Month LIBOR USD + 0.20%, 0.20% Floor), 03/25/2036 (1) | | | 45,146 | | | | 44,302 | |
Honda Auto Receivables 2017-4 Owner Trust | | | | | | | | |
2.05%, 11/22/2021 | | | 4,955,000 | | | | 4,887,935 | |
Hyundai Auto Receivables Trust 2015-B | | | | | | | | |
1.12%, 11/15/2019 | | | 120,075 | | | | 119,866 | |
IMC Home Equity Loan Trust 1997-5 | | | | | | | | |
6.88%, 11/20/2028 | | | 96 | | | | 96 | |
JP Morgan Mortgage Acquisition Trust 2006-CH1 | | | | | | | | |
2.22% (1 Month LIBOR USD + 0.13%, 0.13% Floor), 07/25/2036 (1) | | | 1,825,750 | | | | 1,818,520 | |
Kabbage Asset Securitization LLC | | | | | | | | |
4.57%, 03/15/2022 (2) | | | 12,810,000 | | | | 12,933,295 | |
5.79%, 03/15/2022 (2) | | | 3,710,000 | | | | 3,784,662 | |
KGS-Alpha SBA COOF Trust | | | | | | | | |
0.58%, 05/25/2039 IO (2)(3) | | | 3,348,107 | | | | 51,835 | |
KGS-Alpha SBA COOF Trust 2014-2 | | | | | | | | |
2.98%, 04/25/2040 IO (2)(3) | | | 1,408,424 | | | | 113,170 | |
KKR CLO 11 Ltd. | | | | | | | | |
3.53% (3 Month LIBOR USD + 1.18%), 01/15/2031 (1)(2) | | | 6,250,000 | | | | 6,243,987 | |
KSBA 2012-2 A | | | | | | | | |
0.86%, 08/25/2038 (2)(3) | | | 4,701,060 | | | | 112,501 | |
KVK CLO 2014-1 Ltd. | | | | | | | | |
3.64% (3 Month LIBOR USD + 1.30%), 05/15/2026 (1)(2) | | | 7,000,000 | | | | 7,000,532 | |
KVK CLO 2014-2 Ltd. | | | | | | | | |
3.53% (3 Month LIBOR USD + 1.18%), 07/15/2026 (1)(2) | | | 4,250,000 | | | | 4,248,653 | |
KVK CLO 2014-3 Ltd. | | | | | | | | |
3.55% (3 Month LIBOR USD + 1.20%), 10/15/2026 (1)(2) | | | 9,250,000 | | | | 9,247,132 | |
KVK CLO 2018-1 Ltd. | | | | | | | | |
3.26% (3 Month LIBOR USD + 0.93%), 05/20/2029 (1)(2) | | | 25,000,000 | | | | 24,936,850 | |
| | | | | | | | |
Laurel Road Prime Student Loan Trust 2017-C | | | | | | | | |
2.81%, 11/25/2042 (2) | | | 6,200,000 | | | | 6,053,546 | |
Laurel Road Prime Student Loan Trust 2018-B | | | | | | | | |
3.54%, 05/26/2043 (2) | | | 10,200,000 | | | | 10,245,227 | |
LendingClub Issuance Trust Series 2016-NP1 | | | | | | | | |
6.50%, 06/15/2022 (2) | | | 3,721,820 | | | | 3,756,430 | |
3.00%, 01/17/2023 (2) | | | 140,132 | | | | 140,038 | |
Lendmark Funding Trust 2016-2 | | | | | | | | |
3.26%, 04/21/2025 (2) | | | 3,000,000 | | | | 3,003,734 | |
Lendmark Funding Trust 2017-1 | | | | | | | | |
2.83%, 12/22/2025 (2) | | | 2,508,000 | | | | 2,482,994 | |
5.41%, 12/22/2025 (2) | | | 3,500,000 | | | | 3,586,194 | |
Lendmark Funding Trust 2018-1 | | | | | | | | |
5.03%, 12/21/2026 (2) | | | 1,900,000 | | | | 1,907,662 | |
Long Beach Mortgage Loan Trust 2004-1 | | | | | | | | |
2.84% (1 Month LIBOR USD + 0.75%, 0.50% Floor), 02/25/2034 (1) | | | 972,786 | | | | 973,897 | |
Long Beach Mortgage Loan Trust 2004-3 | | | | | | | | |
2.95% (1 Month LIBOR USD + 0.86%, 0.57% Floor), 07/25/2034 (1) | | | 43,039 | | | | 42,932 | |
LV Tower 52 Issuer 2013-1 | | | | | | | | |
5.75%, 02/15/2023 (2)(12) | | | 4,510,375 | | | | 4,510,375 | |
7.75%, 02/15/2023 (2)(12) | | | 1,689,219 | | | | 1,689,219 | |
Magnetite XVI Ltd. | | | | | | | | |
3.16% (3 Month LIBOR USD + 0.80%), 01/18/2028 (1)(2) | | | 12,000,000 | | | | 12,000,144 | |
Mariner Finance Issuance Trust 2017-A | | | | | | | | |
3.62%, 02/20/2029 (2) | | | 2,999,000 | | | | 3,008,520 | |
Marlette Funding Trust 2016-1 | | | | | | | | |
3.06%, 01/17/2023 (2) | | | 147,505 | | | | 147,498 | |
Marlette Funding Trust 2017-1 | | | | | | | | |
2.83%, 03/15/2024 (2) | | | 1,496,174 | | | | 1,495,729 | |
Marlette Funding Trust 2017-2 | | | | | | | | |
2.39%, 07/15/2024 (2) | | | 4,824,175 | | | | 4,813,693 | |
Marlette Funding Trust 2018-1 | | | | | | | | |
2.61%, 03/15/2028 (2) | | | 3,870,034 | | | | 3,858,985 | |
Marlette Funding Trust 2018-2 | | | | | | | | |
3.06%, 07/17/2028 (2) | | | 5,906,000 | | | | 5,905,992 | |
MASTR Asset Backed Securities Trust 2006-NC1 | | | | | | | | |
2.69% (1 Month LIBOR USD + 0.60%, 0.30% Floor), 01/25/2036 (1) | | | 2,069,661 | | | | 2,074,250 | |
MidOcean Credit CLO III | | | | | | | | |
2.68% (3 Month LIBOR USD + 1.12%), 04/21/2031 (1)(2) | | | 15,400,000 | | | | 15,400,000 | |
| | | | | | | | |
Midocean Credit Clo VIII | | | | | | | | |
3.04% (3 Month LIBOR USD + 1.15%), 02/20/2031 (1)(2) | | | 18,000,000 | | | | 18,001,800 | |
Mid-State Capital Co. 2006-1 Trust | | | | | | | | |
6.08%, 10/15/2040 (2) | | | 790,503 | | | | 873,427 | |
Mid-State Capital Trust 2010-1 | | | | | | | | |
3.50%, 12/15/2045 (2) | | | 309,090 | | | | 314,402 | |
5.25%, 12/15/2045 (2) | | | 556,196 | | | | 580,618 | |
Mill Creek II CLO Ltd. | | | | | | | | |
4.11% (3 Month LIBOR USD + 1.75%), 04/20/2028 (1)(2) | | | 3,750,000 | | | | 3,790,597 | |
Morgan Stanley ABS Capital I, Inc. Trust 2004-NC8 | | | | | | | | |
3.01% (1 Month LIBOR USD + 0.92%, 0.61% Floor), 09/25/2034 (1) | | | 5,355,849 | | | | 5,366,048 | |
Morgan Stanley ABS Capital I, Inc. Trust 2004-OP1 | | | | | | | | |
2.96% (1 Month LIBOR USD + 0.87%, 0.58% Floor), 11/25/2034 (1) | | | 5,620,012 | | | | 5,600,874 | |
Mountain View CLO 2015-9 Ltd. | | | | | | | | |
3.17% (3 Month LIBOR USD + 1.12%), 07/15/2031 (1)(2) | | | 20,000,000 | | | | 20,000,000 | |
Murray Hill Marketplace Trust 2016-LC1 | | | | | | | | |
6.15%, 11/25/2022 (2) | | | 161,119 | | | | 161,249 | |
Nationstar HECM Loan Trust 2017-1 | | | | | | | | |
2.94%, 05/25/2027 (2) | | | 510,000 | | | | 508,372 | |
Navient Private Education Refi Loan Trust 2018-A | | | | | | | | |
3.19%, 02/18/2042 (2) | | | 15,200,000 | | | | 15,046,076 | |
Navient Student Loan Trust 2016-2 | | | | | | | | |
2.84% (1 Month LIBOR USD + 0.75%), 06/25/2065 (1)(2) | | | 281,435 | | | | 281,657 | |
New Century Home Equity Loan Trust Series 2003-5 | | | | | | | | |
5.11%, 11/25/2033 (8) | | | 205,679 | | | | 207,831 | |
New Residential Mortgage Loan Trust 2018-RPL1 | | | | | | | | |
3.50%, 12/25/2057 (2)(3) | | | 31,162,181 | | | | 30,969,443 | |
New Residential Mortgage Trust 2018-1 | | | | | | | | |
4.00%, 12/25/2057 (2)(3) | | | 11,115,683 | | | | 11,186,293 | |
NYMT Residential 2016-RP1 | | | | | | | | |
4.00%, 03/25/2021 (8)(2) | | | 184,052 | | | | 184,609 | |
Oak Hill Advisors Residential Loan Trust 2017-NPL2 | | | | | | | | |
3.00%, 07/25/2057 (8)(2) | | | 3,507,437 | | | | 3,472,654 | |
Oak Hill Advisors Residential Loan Trust 2017-NPLA | | | | | | | | |
3.00%, 06/25/2057 (8)(2) | | | 2,543,778 | | | | 2,520,119 | |
Oakwood Mortgage Investors, Inc. | | | | | | | | |
6.45%, 12/15/2023 | | | 2,315 | | | | 2,341 | |
OCP CLO 2017-13 Ltd. | | | | | | | | |
3.61% (3 Month LIBOR USD + 1.26%), 07/15/2030 (1)(2) | | | 4,250,000 | | | | 4,258,462 | |
| | | | | | | | |
Ocwen Master Advance Receivables Trust | | | | | | | | |
2.52%, 08/17/2048 (2) | | | 2,709,000 | | | | 2,710,867 | |
4.25%, 08/17/2048 (2) | | | 2,037,963 | | | | 2,035,206 | |
2.50%, 09/15/2048 (2) | | | 1,345,000 | | | | 1,343,398 | |
3.81%, 08/16/2049 (2) | | | 1,500,000 | | | | 1,461,498 | |
OL SP 2018-B LLC | | | | | | | | |
4.16%, 02/09/2030 | | | 4,600,000 | | | | 4,596,435 | |
4.61%, 02/09/2030 | | | 1,000,000 | | | | 999,584 | |
OnDeck Asset Securitization Trust LLC | | | | | | | | |
3.50%, 04/18/2022 (2) | | | 5,796,000 | | | | 5,799,594 | |
OneMain Direct Auto Receivables Trust 2016-1 | | | | | | | | |
2.04%, 01/15/2021 (2) | | | 19,015 | | | | 19,011 | |
4.58%, 09/15/2021 (2) | | | 667,000 | | | | 667,565 | |
OneMain Direct Auto Receivables Trust 2017-1 | | | | | | | | |
2.16%, 10/15/2020 (2) | | | 12,864,236 | | | | 12,814,054 | |
OneMain Direct Auto Receivables Trust 2017-2 | | | | | | | | |
2.55%, 11/14/2023 (2) | | | 17,900,000 | | | | 17,664,704 | |
2.82%, 07/15/2024 (2) | | | 4,300,000 | | | | 4,233,692 | |
OneMain Financial Issuance Trust 2015-1 | | | | | | | | |
3.19%, 03/18/2026 (2) | | | 1,935,793 | | | | 1,939,960 | |
3.85%, 03/18/2026 (2) | | | 500,000 | | | | 503,297 | |
OneMain Financial Issuance Trust 2015-2 | | | | | | | | |
2.57%, 07/18/2025 (2) | | | 2,254,532 | | | | 2,253,983 | |
3.10%, 07/18/2025 (2) | | | 1,627,000 | | | | 1,627,171 | |
OneMain Financial Issuance Trust 2016-1 | | | | | | | | |
3.66%, 02/20/2029 (2) | | | 2,645,000 | | | | 2,661,626 | |
6.00%, 02/20/2029 (2) | | | 1,900,000 | | | | 1,949,112 | |
OneMain Financial Issuance Trust 2017-1 | | | | | | | | |
2.86% (1 Month LIBOR USD + 0.80%), 09/14/2032 (1)(2) | | | 9,800,000 | | | | 9,828,776 | |
Onemain Financial Issuance Trust 2018-1 | | | | | | | | |
3.30%, 03/14/2029 (2) | | | 4,040,000 | | | | 4,025,489 | |
Oportun Funding III LLC | | | | | | | | |
3.69%, 07/08/2021 (2) | | | 3,332,000 | | | | 3,331,333 | |
Oportun Funding IV LLC | | | | | | | | |
4.85%, 11/08/2021 (2) | | | 723,661 | | | | 729,162 | |
Oportun Funding VI LLC | | | | | | | | |
3.23%, 06/08/2023 (2) | | | 1,957,000 | | | | 1,925,162 | |
3.97%, 06/08/2023 (2)(3) | | | 5,150,000 | | | | 5,086,675 | |
Oportun Funding VII LLC | | | | | | | | |
3.22%, 10/10/2023 (2) | | | 1,691,000 | | | | 1,667,051 | |
| | | | | | | | |
Oportun Funding VIII LLC | | | | | | | | |
3.61%, 03/08/2024 (2) | | | 2,978,000 | | | | 2,965,584 | |
Option One Mortgage Loan Trust 2004-3 | | | | | | | | |
2.99% (1 Month LIBOR USD + 0.90%, 0.45% Floor), 11/25/2034 (1) | | | 1,691,802 | | | | 1,600,630 | |
OZLM Funding II Ltd. | | | | | | | | |
3.80% (3 Month LIBOR USD + 1.44%, 1.44% Floor), 10/30/2027 (1)(2) | | | 4,500,000 | | | | 4,499,662 | |
OZLM Funding IV Ltd. | | | | | | | | |
3.61% (3 Month LIBOR USD + 1.25%), 10/22/2030 (1)(2) | | | 10,000,000 | | | | 10,015,430 | |
OZLM XI Ltd. | | | | | | | | |
3.61% (3 Month LIBOR USD + 1.25%), 10/30/2030 (1)(2) | | | 5,000,000 | | | | 4,996,760 | |
OZLM XV Ltd. | | | | | | | | |
3.85% (3 Month LIBOR USD + 1.49%), 01/20/2029 (1)(2) | | | 7,750,000 | | | | 7,773,637 | |
Palmer Square CLO 2014-1 Ltd. | | | | | | | | |
3.48% (3 Month LIBOR USD + 1.13%, 1.13% Floor), 01/17/2031 (1)(2) | | | 4,000,000 | | | | 3,995,540 | |
Palmer Square CLO 2015-1 Ltd. | | | | | | | | |
3.63% (3 Month LIBOR USD + 1.30%, 1.30% Floor), 05/21/2029 (1)(2) | | | 8,000,000 | | | | 8,003,544 | |
Palmer Square CLO 2015-2 Ltd. | | | | | | | | |
3.63% (3 Month LIBOR USD + 1.27%), 07/20/2030 (1)(2) | | | 13,925,000 | | | | 13,986,200 | |
Palmer Square CLO 2018-2 Ltd. | | | | | | | | |
3.44% (3 Month LIBOR USD + 1.10%), 07/16/2031 (1)(2) | | | 20,000,000 | | | | 20,000,000 | |
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates Series 2005-WCH | | | | | | | | |
2.93% (1 Month LIBOR USD + 0.84%, 0.56% Floor), 01/25/2036 (1) | | | 3,146,617 | | | | 3,148,650 | |
Progress Residential 2015-SFR2 Trust | | | | | | | | |
2.74%, 06/12/2032 (2) | | | 3,347,922 | | | | 3,301,201 | |
3.14%, 06/12/2032 (2) | | | 2,012,000 | | | | 1,988,372 | |
3.44%, 06/12/2032 (2) | | | 2,138,000 | | | | 2,120,736 | |
4.43%, 06/12/2032 (2) | | | 892,000 | | | | 893,051 | |
Progress Residential 2015-SFR3 Trust | | | | | | | | |
3.07%, 11/12/2032 (2) | | | 5,206,536 | | | | 5,154,098 | |
4.67%, 11/12/2032 (2) | | | 295,000 | | | | 298,527 | |
5.66%, 11/12/2032 (2) | | | 1,000,000 | | | | 1,028,280 | |
Progress Residential 2017-SFR1 Trust | | | | | | | | |
3.02%, 08/17/2034 (2) | | | 2,000,000 | | | | 1,934,618 | |
Prosper Marketplace Issuance Trust Series 2017-1 | | | | | | | | |
2.56%, 06/15/2023 (2) | | | 616,679 | | | | 616,685 | |
2.41%, 09/15/2023 (2) | | | 1,187,851 | | | | 1,185,744 | |
2.36%, 11/15/2023 (2) | | | 2,819,101 | | | | 2,807,426 | |
PRPM 2017-2 LLC | | | | | | | | |
3.47%, 09/25/2022 (8)(2) | | | 3,592,136 | | | | 3,570,866 | |
| | | | | | | | |
Purchasing Power Funding 2018-A LLC | | | | | | | | |
3.34%, 08/15/2022 (2) | | | 10,875,000 | | | | 10,825,723 | |
RAMP Series 2005-RS1 Trust | | | | | | | | |
4.71%, 01/25/2035 | | | 4,534 | | | | 4,537 | |
RASC Series 2005-KS6 Trust | | | | | | | | |
3.02% (1 Month LIBOR USD + 0.93%, 0.62% Floor), 07/25/2035 (1) | | | 609,784 | | | | 611,858 | |
RBSHD 2013-1 Trust | | | | | | | | |
7.69%, 10/25/2047 (8)(2)(12) | | | 432,367 | | | | 416,105 | |
RCO Mortgage LLC 2017-1 | | | | | | | | |
3.38%, 08/25/2022 (8)(2) | | | 5,471,422 | | | | 5,441,314 | |
RCO V Mortgage LLC 2018-1 | | | | | | | | |
4.00%, 05/25/2023 (8)(2) | | | 6,771,663 | | | | 6,771,419 | |
Regional Management Issuance Trust 2018-1 | | | | | | | | |
4.28%, 07/15/2027 (2)(12) | | | 3,100,000 | | | | 3,099,917 | |
Renaissance Home Equity Loan Trust | | | | | | | | |
5.61%, 04/25/2037 (8)(9) | | | 300,449 | | | | 145,889 | |
Renaissance Home Equity Loan Trust 2005-3 | | | | | | | | |
4.81%, 11/25/2035 (8) | | | 32,422 | | | | 32,514 | |
Renew 2017-1 | | | | | | | | |
3.67%, 09/20/2052 (2) | | | 2,517,889 | | | | 2,498,960 | |
Rice Park Financing Trust 2016-A | | | | | | | | |
4.63%, 10/31/2041 (2)(12) | | | 5,034,415 | | | | 5,021,252 | |
Santander Drive Auto Receivables Trust 2015-5 | | | | | | | | |
4.67%, 02/15/2023 | | | 9,500,000 | | | | 9,607,235 | |
Santander Drive Auto Receivables Trust 2017-1 | | | | | | | | |
1.49%, 02/18/2020 | | | 72,905 | | | | 72,864 | |
2.10%, 06/15/2021 | | | 4,842,000 | | | | 4,814,533 | |
2.58%, 05/16/2022 | | | 3,957,000 | | | | 3,929,161 | |
3.17%, 04/17/2023 | | | 5,074,000 | | | | 5,041,268 | |
Santander Drive Auto Receivables Trust 2017-2 | | | | | | | | |
2.79%, 08/15/2022 | | | 13,150,000 | | | | 13,087,235 | |
3.49%, 07/17/2023 | | | 1,633,000 | | | | 1,631,433 | |
Santander Drive Auto Receivables Trust 2017-3 | | | | | | | | |
2.76%, 12/15/2022 | | | 4,350,000 | | | | 4,311,442 | |
Santander Drive Auto Receivables Trust 2018-1 | | | | | | | | |
2.96%, 03/15/2024 | | | 3,900,000 | | | | 3,861,787 | |
Santander Drive Auto Receivables Trust 2018-2 | | | | | | | | |
3.35%, 07/17/2023 | | | 4,800,000 | | | | 4,801,159 | |
Santander Retail Auto Lease Trust 2018-A | | | | | | | | |
2.93%, 05/20/2021 (2) | | | 4,433,000 | | | | 4,419,406 | |
| | | | | | | | |
Saxon Asset Securities Trust 2003-1 | | | | | | | | |
4.71%, 06/25/2033 (8) | | | 42,260 | | | | 42,666 | |
Securitized Asset Backed Receivables LLC Trust 2006-CB1 | | | | | | | | |
3.48%, 01/25/2036 (8) | | | 66,582 | | | | 59,124 | |
Sierra Auto Receivables Securitization Trust 2016-1 | | | | | | | | |
2.85%, 01/18/2022 (2) | | | 119,433 | | | | 119,413 | |
Silvermore CLO Ltd. | | | | | | | | |
3.51% (3 Month LIBOR USD + 1.17%), 05/15/2026 (1)(2) | | | 8,425,273 | | | | 8,426,132 | |
SoFi Consumer Loan Program 2016-2 LLC | | | | | | | | |
3.09%, 10/27/2025 (2) | | | 838,878 | | | | 837,381 | |
SoFi Consumer Loan Program 2018-1 Trust | | | | | | | | |
3.14%, 02/25/2027 (2) | | | 6,750,000 | | | | 6,703,889 | |
SoFi Professional Loan Program 2017-F LLC | | | | | | | | |
2.84%, 01/25/2041 (2) | | | 18,200,000 | | | | 17,764,911 | |
SoFi Professional Loan Program 2018-B Trust | | | | | | | | |
2.64%, 08/25/2047 (2) | | | 9,919,781 | | | | 9,882,114 | |
3.34%, 08/25/2047 (2) | | | 8,900,000 | | | | 8,890,941 | |
Sound Point CLO II Ltd. | | | | | | | | |
3.43% (3 Month LIBOR USD + 1.07%, 1.07% Floor), 01/26/2031 (1)(2) | | | 9,000,000 | | | | 8,973,225 | |
Sound Point CLO XVI Ltd. | | | | | | | | |
3.64% (3 Month LIBOR USD + 1.28%), 07/25/2030 (1)(2) | | | 7,750,000 | | | | 7,761,470 | |
Specialty Underwriting & Residential Finance Trust Series 2004-BC4 | | | | | | | | |
2.76% (1 Month LIBOR USD + 0.67%, 0.34% Floor), 10/25/2035 (1) | | | 219,882 | | | | 218,913 | |
Specialty Underwriting & Residential Finance Trust Series 2006-BC1 | | | | | | | | |
2.39% (1 Month LIBOR USD + 0.30%, 0.30% Floor), 12/25/2036 (1) | | | 839,802 | | | | 840,881 | |
SpringCastle America Funding LLC | | | | | | | | |
3.05%, 04/25/2029 (2) | | | 2,157,585 | | | | 2,149,695 | |
Springleaf Funding Trust 2015-A | | | | | | | | |
3.16%, 11/15/2024 (2) | | | 11,757,051 | | | | 11,752,620 | |
3.62%, 11/15/2024 (2) | | | 1,087,000 | | | | 1,085,135 | |
Springleaf Funding Trust 2017-A | | | | | | | | |
2.68%, 07/15/2030 (2) | | | 9,900,000 | | | | 9,737,298 | |
Structured Asset Securities Co. Mortgage Loan Trust 2005-7XS | | | | | | | | |
5.44%, 04/25/2035 (8) | | | 3,888 | | | | 3,985 | |
Structured Asset Securities Co. Mortgage Pass-Through Certificates Series 2002-al1 | | | | | | | | |
3.45%, 02/25/2032 | | | 40,765 | | | | 40,280 | |
3.45%, 02/25/2032 | | | 84,073 | | | | 82,350 | |
Structured Asset Securities Co. Mortgage Pass-Through Certificates Series 2004-6XS | | | | | | | | |
6.03%, 03/25/2034 (8) | | | 147,081 | | | | 149,459 | |
6.05%, 03/25/2034 (8) | | | 117,627 | | | | 119,527 | |
| | | | | | | | |
Synchrony Credit Card Master Note Trust | | | | | | | | |
2.37%, 03/15/2023 | | | 4,950,000 | | | | 4,898,632 | |
Towd Point Mortgage Trust 2017-2 | | | | | | | | |
2.75%, 04/25/2057 (2)(3) | | | 7,041,365 | | | | 6,925,934 | |
Towd Point Mortgage Trust 2017-6 | | | | | | | | |
2.75%, 10/25/2057 (2)(3) | | | 6,580,520 | | | | 6,412,920 | |
Towd Point Mortgage Trust 2018-1 | | | | | | | | |
3.00%, 01/25/2058 (2)(3) | | | 9,696,711 | | | | 9,547,720 | |
Toyota Auto Receivables 2017-A Owner Trust | | | | | | | | |
1.42%, 09/16/2019 | | | 3,277,376 | | | | 3,272,477 | |
Toyota Auto Receivables 2018-A Owner Trust | | | | | | | | |
2.52%, 05/15/2023 | | | 10,298,000 | | | | 10,151,312 | |
Tricolor Auto Securitization Trust 2018-1 | | | | | | | | |
5.05%, 12/15/2020 (2)(12) | | | 6,588,841 | | | | 6,581,929 | |
TRINITAS CLO IV Ltd. | | | | | | | | |
4.11% (3 Month LIBOR USD + 1.75%), 04/18/2028 (1)(2) | | | 7,500,000 | | | | 7,498,155 | |
Upstart Securitization Trust 2017-1 | | | | | | | | |
2.64%, 06/20/2024 (2) | | | 2,900,163 | | | | 2,894,286 | |
USASF Receivables 2017-A LLC | | | | | | | | |
5.75%, 09/15/2030 (2)(12) | | | 2,717,095 | | | | 2,703,787 | |
Verizon Owner Trust 2016-1 | | | | | | | | |
1.42%, 01/20/2021 (2) | | | 375,000 | | | | 372,667 | |
Verizon Owner Trust 2017-2 | | | | | | | | |
1.92%, 12/20/2021 (2) | | | 6,485,000 | | | | 6,393,424 | |
Verizon Owner Trust 2017-3 | | | | | | | | |
2.06%, 04/20/2022 (2) | | | 5,612,000 | | | | 5,516,140 | |
VM DEBT LLC | | | | | | | | |
6.50%, 10/02/2024 (2)(12) | | | 4,640,000 | | | | 4,640,000 | |
Volkswagen Auto Loan Enhanced Trust 2018-1 | | | | | | | | |
3.15%, 07/22/2024 | | | 6,062,000 | | | | 6,061,933 | |
Volt LIV LLC | | | | | | | | |
3.50%, 02/25/2047 (8)(2) | | | 392,255 | | | | 392,213 | |
Volt LIX LLC | | | | | | | | |
3.25%, 05/25/2047 (8)(2) | | | 1,077,466 | | | | 1,069,547 | |
Volt LV LLC | | | | | | | | |
3.50%, 03/25/2047 (8)(2) | | | 2,933,920 | | | | 2,923,899 | |
Volt LVI LLC | | | | | | | | |
3.50%, 03/25/2047 (8)(2) | | | 5,202,377 | | | | 5,190,235 | |
Volt LVII LLC | | | | | | | | |
3.38%, 04/25/2047 (8)(2) | | | 2,508,124 | | | | 2,500,827 | |
| | | | | | | | |
Volt LVIII LLC | | | | | | | | |
3.38%, 05/28/2047 (8)(2) | | | 955,852 | | | | 954,255 | |
Volt LX LLC | | | | | | | | |
3.25%, 06/25/2047 (8)(2) | | | 1,800,289 | | | | 1,790,245 | |
Volt LXI LLC | | | | | | | | |
3.13%, 06/25/2047 (8)(2) | | | 5,436,676 | | | | 5,398,756 | |
VOLT LXIV LLC | | | | | | | | |
3.38%, 10/25/2047 (8)(2) | | | 8,140,738 | | | | 8,103,351 | |
VOLT LXVI | | | | | | | | |
4.34%, 05/25/2048 (8)(2) | | | 5,109,126 | | | | 5,106,973 | |
VOLT TR 2018-FT1 | | | | | | | | |
3.26%, 03/29/2021 (12) | | | 5,370,860 | | | | 5,305,910 | |
VOLT XL LLC | | | | | | | | |
4.38%, 11/27/2045 (8)(2) | | | 427,190 | | | | 430,545 | |
Volt XXXVIII LLC | | | | | | | | |
3.88%, 09/25/2045 (8)(2) | | | 443,803 | | | | 443,695 | |
Voya CLO 2015-1 Ltd. | | | | | | | | |
3.26% (3 Month LIBOR USD + 0.90%, 0.90% Floor), 01/18/2029 (1)(2) | | | 6,000,000 | | | | 5,988,762 | |
Westgate Resorts 2015-1 LLC | | | | | | | | |
2.75%, 05/20/2027 (2) | | | 117,538 | | | | 117,041 | |
Westgate Resorts 2017-1 LLC | | | | | | | | |
3.05%, 12/20/2030 (2) | | | 1,521,000 | | | | 1,506,382 | |
4.05%, 12/20/2030 (2) | | | 2,707,049 | | | | 2,679,323 | |
Westlake Automobile Receivables Trust 2015-3 | | | | | | | | |
4.40%, 05/17/2021 (2) | | | 1,000,000 | | | | 1,003,683 | |
Westlake Automobile Receivables Trust 2016-2 | | | | | | | | |
4.10%, 06/15/2021 (2) | | | 300,000 | | | | 302,635 | |
Westlake Automobile Receivables Trust 2016-3 | | | | | | | | |
2.46%, 01/18/2022 (2) | | | 1,873,000 | | | | 1,865,175 | |
Westlake Automobile Receivables Trust 2017-1 | | | | | | | | |
2.70%, 10/17/2022 (2) | | | 1,195,000 | | | | 1,189,959 | |
3.46%, 10/17/2022 (2) | | | 1,202,000 | | | | 1,202,019 | |
Westlake Automobile Receivables Trust 2017-2 | | | | | | | | |
2.59%, 12/15/2022 (2) | | | 772,000 | | | | 763,826 | |
World Omni Auto Receivables Trust 2015-A | | | | | | | | |
1.34%, 05/15/2020 | | | 61,293 | | | | 61,214 | |
Zais CLO 8 Ltd. | | | | | | | | |
3.08% (3 Month LIBOR USD + 0.95%), 04/15/2029 (1)(2) | | | 40,000,000 | | | | 39,701,800 | |
| | | | | | | | |
Zais Ltd. | | | | | | | | |
3.64% (3 Month LIBOR USD + 1.29%), 04/15/2030 (1)(2) | | | 9,600,000 | | | | 9,647,539 | |
| | | | | | | | |
Total Asset-Backed Obligations | | | | | | $ | 1,881,347,147 | |
| | | | | | | | |
Corporate Bonds - 30.14% | | | | | | | | |
Basic Materials - 1.14% | | | | | | | | |
Air Liquide Finance SA | | | | | | | | |
2.25%, 09/27/2023 (2) | | $ | 550,000 | | | $ | 516,536 | |
Albemarle Corp. | | | | | | | | |
5.45%, 12/01/2044 | | | 600,000 | | | | 638,181 | |
Anglo American Capital Plc | | | | | | | | |
3.63%, 09/11/2024 (2) | | | 630,000 | | | | 596,240 | |
4.00%, 09/11/2027 (2) | | | 1,020,000 | | | | 949,283 | |
4.50%, 03/15/2028 (2) | | | 8,545,000 | | | | 8,244,179 | |
Barrick Gold Corp. | | | | | | | | |
6.45%, 10/15/2035 | | | 203,000 | | | | 241,547 | |
Barrick North America Finance LLC | | | | | | | | |
5.75%, 05/01/2043 | | | 4,480,000 | | | | 4,990,298 | |
Barrick PD Australia Finance Pty Ltd. | | | | | | | | |
5.95%, 10/15/2039 | | | 1,150,000 | | | | 1,282,805 | |
BHP Billiton Finance USA Ltd. | | | | | | | | |
6.25% (5 Year Swap Rate USD + 4.97%), 10/19/2075 (1)(2) | | | 985,000 | | | | 1,029,633 | |
CF Industries, Inc. | | | | | | | | |
5.38%, 03/15/2044 | | | 2,040,000 | | | | 1,800,300 | |
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP | | | | | | | | |
3.40%, 12/01/2026 (2) | | | 530,000 | | | | 517,217 | |
3.70%, 06/01/2028 (2) | | | 1,200,000 | | | | 1,184,884 | |
Dow Chemical Co. | | | | | | | | |
8.55%, 05/15/2019 | | | 12,263,000 | | | | 12,852,688 | |
4.13%, 11/15/2021 | | | 470,000 | | | | 479,077 | |
3.00%, 11/15/2022 | | | 918,000 | | | | 893,709 | |
4.25%, 10/01/2034 | | | 339,000 | | | | 325,660 | |
Eastman Chemical Co. | | | | | | | | |
2.70%, 01/15/2020 | | | 7,390,000 | | | | 7,345,581 | |
4.50%, 01/15/2021 | | | 352,000 | | | | 360,086 | |
4.65%, 10/15/2044 | | | 2,575,000 | | | | 2,522,041 | |
EI du Pont de Nemours & Co. | | | | | | | | |
5.60%, 12/15/2036 | | | 155,000 | | | | 178,589 | |
4.90%, 01/15/2041 | | | 161,000 | | | | 167,458 | |
| | | | | | | | |
FMC Corp. | | | | | | | | |
3.95%, 02/01/2022 | | | 1,725,000 | | | | 1,731,437 | |
Freeport-McMoRan, Inc. | | | | | | | | |
3.55%, 03/01/2022 | | | 5,025,000 | | | | 4,773,750 | |
Georgia-Pacific LLC | | | | | | | | |
5.40%, 11/01/2020 (2) | | | 3,160,000 | | | | 3,310,105 | |
3.73%, 07/15/2023 (2) | | | 5,380,000 | | | | 5,402,346 | |
Glencore Finance Canada Ltd. | | | | | | | | |
4.25%, 10/25/2022 (2) | | | 5,000,000 | | | | 5,056,450 | |
Glencore Funding LLC | | | | | | | | |
2.50%, 01/15/2019 (2) | | | 537,000 | | | | 534,035 | |
4.13%, 05/30/2023 (2) | | | 54,000 | | | | 53,882 | |
4.63%, 04/29/2024 (2) | | | 1,500,000 | | | | 1,508,122 | |
4.00%, 03/27/2027 (2) | | | 6,300,000 | | | | 5,944,568 | |
3.88%, 10/27/2027 (2) | | | 875,000 | | | | 808,561 | |
Goldcorp, Inc. | | | | | | | | |
3.63%, 06/09/2021 | | | 1,810,000 | | | | 1,807,189 | |
International Paper Co. | | | | | | | | |
3.00%, 02/15/2027 | | | 4,714,000 | | | | 4,265,564 | |
5.00%, 09/15/2035 | | | 2,265,000 | | | | 2,287,165 | |
8.70%, 06/15/2038 | | | 350,000 | | | | 488,067 | |
7.30%, 11/15/2039 | | | 500,000 | | | | 639,188 | |
6.00%, 11/15/2041 | | | 3,150,000 | | | | 3,475,644 | |
5.15%, 05/15/2046 | | | 1,085,000 | | | | 1,103,114 | |
LYB International Finance BV | | | | | | | | |
5.25%, 07/15/2043 | | | 760,000 | | | | 788,300 | |
4.88%, 03/15/2044 | | | 1,805,000 | | | | 1,796,388 | |
LyondellBasell Industries NV | | | | | | | | |
5.00%, 04/15/2019 | | | 1,854,000 | | | | 1,872,343 | |
5.75%, 04/15/2024 | | | 2,550,000 | | | | 2,762,756 | |
4.63%, 02/26/2055 | | | 905,000 | | | | 835,924 | |
Mexichem SAB de CV | | | | | | | | |
4.88%, 09/19/2022 (2) | | | 3,425,000 | | | | 3,471,238 | |
Monsanto Co. | | | | | | | | |
4.70%, 07/15/2064 | | | 91,000 | | | | 79,694 | |
Mosaic Co. | | | | | | | | |
4.25%, 11/15/2023 | | | 8,533,000 | | | | 8,580,288 | |
5.45%, 11/15/2033 | | | 814,000 | | | | 822,552 | |
4.88%, 11/15/2041 | | | 52,000 | | | | 47,186 | |
5.63%, 11/15/2043 | | | 4,820,000 | | | | 4,851,898 | |
| | | | | | | | |
Nucor Corp. | | | | | | | | |
4.00%, 08/01/2023 | | | 176,000 | | | | 178,980 | |
6.40%, 12/01/2037 | | | 800,000 | | | | 1,005,764 | |
Nutrien Ltd. | | | | | | | | |
6.50%, 05/15/2019 | | | 392,000 | | | | 403,621 | |
3.15%, 10/01/2022 | | | 875,000 | | | | 850,857 | |
3.38%, 03/15/2025 | | | 430,000 | | | | 404,614 | |
3.00%, 04/01/2025 | | | 800,000 | | | | 737,838 | |
4.13%, 03/15/2035 | | | 1,960,000 | | | | 1,815,779 | |
6.13%, 01/15/2041 | | | 2,850,000 | | | | 3,280,916 | |
5.25%, 01/15/2045 | | | 1,900,000 | | | | 1,965,054 | |
Rio Tinto Alcan, Inc. | | | | | | | | |
5.75%, 06/01/2035 | | | 54,000 | | | | 63,355 | |
Rio Tinto Finance USA Ltd. | | | | | | | | |
3.75%, 06/15/2025 | | | 1,310,000 | | | | 1,317,235 | |
Samarco Mineracao SA | | | | | | | | |
5.75%, 10/24/2023 (2)(9) | | | 537,000 | | | | 392,010 | |
Sherwin-Williams Co. | | | | | | | | |
3.13%, 06/01/2024 | | | 401,000 | | | | 382,850 | |
Solvay Finance America LLC | | | | | | | | |
3.40%, 12/03/2020 (2) | | | 4,000,000 | | | | 4,012,885 | |
4.45%, 12/03/2025 (2) | | | 7,000,000 | | | | 7,139,468 | |
Southern Copper Co. | | | | | | | | |
5.25%, 11/08/2042 | | | 1,000,000 | | | | 989,043 | |
5.88%, 04/23/2045 | | | 2,000,000 | | | | 2,126,737 | |
Syngenta Finance NV | | | | | | | | |
3.70%, 04/24/2020 (2) | | | 5,765,000 | | | | 5,743,858 | |
3.93%, 04/23/2021 (2) | | | 7,524,000 | | | | 7,504,381 | |
Union Carbide Co. | | | | | | | | |
7.50%, 06/01/2025 | | | 624,000 | | | | 731,784 | |
7.75%, 10/01/2096 | | | 681,000 | | | | 871,958 | |
Vale Canada Ltd. | | | | | | | | |
7.20%, 09/15/2032 | | | 850,000 | | | | 922,250 | |
Vale Overseas Ltd. | | | | | | | | |
4.38%, 01/11/2022 | | | 5,000,000 | | | | 5,059,950 | |
6.25%, 08/10/2026 | | | 5,237,000 | | | | 5,671,671 | |
8.25%, 01/17/2034 | | | 4,471,000 | | | | 5,577,572 | |
6.88%, 11/21/2036 | | | 1,417,000 | | | | 1,590,866 | |
6.88%, 11/10/2039 | | | 2,107,000 | | | | 2,386,178 | |
| | | | | | | | |
Westlake Chemical Corp. | | | | | | | | |
4.38%, 11/15/2047 | | | 593,000 | | | | 546,027 | |
| | | | | | | | |
| | | | | | | 179,887,247 | |
| | | | | | | | |
Communications - 2.08% | | | | | | | | |
21st Century Fox America, Inc. | | | | | | | | |
8.88%, 04/26/2023 | | | 108,000 | | | | 130,045 | |
9.50%, 07/15/2024 | | | 175,000 | | | | 225,167 | |
3.70%, 10/15/2025 | | | 380,000 | | | | 372,033 | |
7.30%, 04/30/2028 | | | 454,000 | | | | 548,763 | |
7.63%, 11/30/2028 | | | 310,000 | | | | 384,602 | |
6.20%, 12/15/2034 | | | 150,000 | | | | 177,082 | |
6.40%, 12/15/2035 | | | 3,657,000 | | | | 4,384,225 | |
6.65%, 11/15/2037 | | | 310,000 | | | | 384,558 | |
6.90%, 08/15/2039 | | | 155,000 | | | | 197,220 | |
6.15%, 02/15/2041 | | | 350,000 | | | | 417,957 | |
Alibaba Group Holding Ltd. | | | | | | | | |
4.00%, 12/06/2037 | | | 391,000 | | | | 363,096 | |
Amazon.com, Inc. | | | | | | | | |
2.80%, 08/22/2024 | | | 1,882,000 | | | | 1,794,299 | |
4.80%, 12/05/2034 | | | 854,000 | | | | 935,747 | |
3.88%, 08/22/2037 | | | 1,700,000 | | | | 1,658,246 | |
4.25%, 08/22/2057 | | | 2,080,000 | | | | 2,048,950 | |
America Movil SAB de CV | | | | | | | | |
5.00%, 10/16/2019 | | | 3,500,000 | | | | 3,579,662 | |
5.00%, 03/30/2020 | | | 7,300,000 | | | | 7,501,365 | |
3.13%, 07/16/2022 | | | 374,000 | | | | 367,468 | |
6.13%, 03/30/2040 | | | 283,000 | | | | 331,149 | |
AT&T, Inc. | | | | | | | | |
5.80%, 02/15/2019 | | | 273,000 | | | | 277,688 | |
3.90%, 03/11/2024 | | | 3,750,000 | | | | 3,694,885 | |
3.95%, 01/15/2025 | | | 811,000 | | | | 792,955 | |
3.40%, 05/15/2025 | | | 17,696,000 | | | | 16,642,417 | |
4.13%, 02/17/2026 | | | 1,365,000 | | | | 1,334,248 | |
4.30%, 02/15/2030 (2) | | | 3,227,000 | | | | 3,051,169 | |
4.50%, 05/15/2035 | | | 6,175,000 | | | | 5,708,136 | |
5.25%, 03/01/2037 | | | 6,400,000 | | | | 6,305,138 | |
4.90%, 08/15/2037 (2) | | | 4,694,000 | | | | 4,451,527 | |
6.00%, 08/15/2040 | | | 2,106,000 | | | | 2,194,507 | |
5.35%, 09/01/2040 | | | 1,543,000 | | | | 1,504,906 | |
| | | | | | | | |
6.38%, 03/01/2041 | | | 6,704,000 | | | | 7,304,175 | |
5.15%, 03/15/2042 | | | 866,000 | | | | 819,724 | |
4.30%, 12/15/2042 | | | 444,000 | | | | 377,059 | |
4.80%, 06/15/2044 | | | 915,000 | | | | 829,638 | |
4.35%, 06/15/2045 | | | 511,000 | | | | 433,054 | |
5.15%, 11/15/2046 (2) | | | 5,722,000 | | | | 5,386,600 | |
Bell Canada, Inc. | | | | | | | | |
4.46%, 04/01/2048 | | | 4,000,000 | | | | 3,908,880 | |
Booking Holdings, Inc. | | | | | | | | |
2.75%, 03/15/2023 | | | 857,000 | | | | 826,546 | |
3.55%, 03/15/2028 | | | 1,500,000 | | | | 1,427,168 | |
British Telecommunications Plc | | | | | | | | |
2.35%, 02/14/2019 | | | 220,000 | | | | 219,366 | |
9.63%, 12/15/2030 | | | 721,000 | | | | 1,030,085 | |
Broadcom Corp. / Broadcom Cayman Finance Ltd. | | | | | | | | |
3.00%, 01/15/2022 | | | 3,000,000 | | | | 2,917,239 | |
3.63%, 01/15/2024 | | | 1,988,000 | | | | 1,923,668 | |
3.13%, 01/15/2025 | | | 7,000,000 | | | | 6,492,456 | |
3.88%, 01/15/2027 | | | 1,200,000 | | | | 1,134,616 | |
CBS Co. | | | | | | | | |
3.70%, 08/15/2024 | | | 848,000 | | | | 824,491 | |
4.00%, 01/15/2026 | | | 1,000,000 | | | | 969,489 | |
3.38%, 02/15/2028 | | | 4,022,000 | | | | 3,579,057 | |
3.70%, 06/01/2028 (2) | | | 870,000 | | | | 809,466 | |
5.90%, 10/15/2040 | | | 67,000 | | | | 73,530 | |
4.85%, 07/01/2042 | | | 77,000 | | | | 73,329 | |
4.90%, 08/15/2044 | | | 315,000 | | | | 303,345 | |
Centel Capital Co. | | | | | | | | |
9.00%, 10/15/2019 | | | 464,000 | | | | 489,520 | |
Charter Communications Operating LLC / Charter Communications Operating Capital | | | | | | | | |
4.91%, 07/23/2025 | | | 13,261,000 | | | | 13,388,219 | |
6.38%, 10/23/2035 | | | 1,461,000 | | | | 1,525,934 | |
5.38%, 04/01/2038 | | | 620,000 | | | | 585,323 | |
5.38%, 05/01/2047 | | | 6,369,000 | | | | 5,779,519 | |
6.83%, 10/23/2055 | | | 1,745,000 | | | | 1,869,465 | |
Cisco Systems, Inc. | | | | | | | | |
3.00%, 06/15/2022 | | | 889,000 | | | | 885,196 | |
3.63%, 03/04/2024 | | | 550,000 | | | | 555,966 | |
2.95%, 02/28/2026 | | | 467,000 | | | | 448,578 | |
5.90%, 02/15/2039 | | | 4,466,000 | | | | 5,521,731 | |
5.50%, 01/15/2040 | | | 481,000 | | | | 571,590 | |
| | | | | | | | |
Comcast Cable Holdings LLC | | | | | | | | |
10.13%, 04/15/2022 | | | 186,000 | | | | 228,520 | |
Comcast Corp. | | | | | | | | |
3.60%, 03/01/2024 | | | 542,000 | | | | 533,429 | |
3.15%, 02/15/2028 | | | 1,500,000 | | | | 1,386,323 | |
3.55%, 05/01/2028 | | | 6,679,000 | | | | 6,375,954 | |
4.25%, 01/15/2033 | | | 3,095,000 | | | | 3,020,799 | |
4.20%, 08/15/2034 | | | 555,000 | | | | 529,672 | |
6.50%, 11/15/2035 | | | 2,370,000 | | | | 2,816,162 | |
3.90%, 03/01/2038 | | | 455,000 | | | | 414,213 | |
3.97%, 11/01/2047 | | | 154,000 | | | | 135,537 | |
4.00%, 11/01/2049 | | | 638,000 | | | | 563,467 | |
4.05%, 11/01/2052 | | | 1,211,000 | | | | 1,055,332 | |
Cox Communications, Inc. | | | | | | | | |
3.25%, 12/15/2022 (2) | | | 348,000 | | | | 337,925 | |
3.85%, 02/01/2025 (2) | | | 1,250,000 | | | | 1,224,148 | |
3.35%, 09/15/2026 (2) | | | 1,119,000 | | | | 1,034,195 | |
4.80%, 02/01/2035 (2) | | | 7,150,000 | | | | 6,580,306 | |
8.38%, 03/01/2039 (2) | | | 1,500,000 | | | | 1,982,584 | |
4.60%, 08/15/2047 (2) | | | 2,708,000 | | | | 2,472,704 | |
Crown Castle Towers LLC | | | | | | | | |
3.22%, 05/15/2022 (2) | | | 589,000 | | | | 577,897 | |
Deutsche Telekom International Finance BV | | | | | | | | |
6.00%, 07/08/2019 | | | 209,000 | | | | 215,309 | |
2.23%, 01/17/2020 (2) | | | 4,602,000 | | | | 4,536,601 | |
3.60%, 01/19/2027 (2) | | | 508,000 | | | | 478,862 | |
8.75%, 06/15/2030 | | | 49,000 | | | | 64,909 | |
4.88%, 03/06/2042 (2) | | | 240,000 | | | | 234,048 | |
Discovery Communications LLC | | | | | | | | |
4.38%, 06/15/2021 | | | 752,000 | | | | 768,616 | |
3.95%, 03/20/2028 | | | 631,000 | | | | 597,329 | |
5.00%, 09/20/2037 | | | 1,085,000 | | | | 1,044,039 | |
6.35%, 06/01/2040 | | | 1,161,000 | | | | 1,272,366 | |
5.20%, 09/20/2047 | | | 1,425,000 | | | | 1,381,118 | |
eBay, Inc. | | | | | | | | |
2.60%, 07/15/2022 | | | 2,356,000 | | | | 2,249,036 | |
4.00%, 07/15/2042 | | | 213,000 | | | | 185,075 | |
| | | | | | | | |
Grupo Televisa SAB de CV | | | | | | | | |
5.00%, 05/13/2045 | | | 860,000 | | | | 755,519 | |
6.13%, 01/31/2046 | | | 382,000 | | | | 394,154 | |
GTP Acquisition Partners I LLC | | | | | | | | |
2.35%, 06/15/2020 (2) | | | 271,000 | | | | 265,912 | |
3.48%, 06/16/2025 (2) | | | 314,000 | | | | 306,221 | |
NBCUniversal Media LLC | | | | | | | | |
4.38%, 04/01/2021 | | | 700,000 | | | | 718,298 | |
5.95%, 04/01/2041 | | | 527,000 | | | | 593,132 | |
4.45%, 01/15/2043 | | | 15,000 | | | | 14,169 | |
Orange SA | | | | | | | | |
2.75%, 02/06/2019 | | | 3,000,000 | | | | 2,997,988 | |
Qwest Co. | | | | | | | | |
6.75%, 12/01/2021 | | | 3,866,000 | | | | 4,113,474 | |
Rogers Communications, Inc. | | | | | | | | |
3.63%, 12/15/2025 | | | 4,350,000 | | | | 4,252,176 | |
8.75%, 05/01/2032 | | | 258,000 | | | | 350,054 | |
SK Telecom Co. Ltd. | | | | | | | | |
6.63%, 07/20/2027 (2) | | | 361,000 | | | | 429,503 | |
Sky Plc | | | | | | | | |
3.75%, 09/16/2024 (2) | | | 287,000 | | | | 285,222 | |
Sprint Capital Co. | | | | | | | | |
6.90%, 05/01/2019 | | | 301,000 | | | | 307,080 | |
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC | | | | | | | | |
3.36%, 09/20/2021 (2) | | | 2,385,500 | | | | 2,358,663 | |
TCI Communications, Inc. | | | | | | | | |
7.13%, 02/15/2028 | | | 138,000 | | | | 167,287 | |
Telecom Italia Capital SA | | | | | | | | |
7.18%, 06/18/2019 | | | 215,000 | | | | 221,117 | |
7.20%, 07/18/2036 | | | 1,644,000 | | | | 1,703,019 | |
Telefonica Emisiones SAU | | | | | | | | |
5.13%, 04/27/2020 | | | 500,000 | | | | 515,794 | |
5.46%, 02/16/2021 | | | 233,000 | | | | 243,833 | |
4.10%, 03/08/2027 | | | 5,417,000 | | | | 5,236,806 | |
4.67%, 03/06/2038 | | | 1,175,000 | | | | 1,098,342 | |
4.90%, 03/06/2048 | | | 1,075,000 | | | | 990,118 | |
Tencent Holdings Ltd. | | | | | | | | |
2.88%, 02/11/2020 (2) | | | 4,517,000 | | | | 4,495,929 | |
2.99%, 01/19/2023 (2) | | | 4,058,000 | | | | 3,944,278 | |
3.60%, 01/19/2028 (2) | | | 2,010,000 | | | | 1,900,742 | |
| | | | | | | | |
Thomson Reuters Co. | | | | | | | | |
4.70%, 10/15/2019 | | | 222,000 | | | | 225,903 | |
3.85%, 09/29/2024 | | | 342,000 | | | | 336,743 | |
4.50%, 05/23/2043 | | | 312,000 | | | | 290,420 | |
Time Warner Cable LLC | | | | | | | | |
6.75%, 07/01/2018 | | | 5,490,000 | | | | 5,490,000 | |
8.75%, 02/14/2019 | | | 184,000 | | | | 190,141 | |
4.13%, 02/15/2021 | | | 222,000 | | | | 223,117 | |
6.55%, 05/01/2037 | | | 375,000 | | | | 397,597 | |
7.30%, 07/01/2038 | | | 1,023,000 | | | | 1,158,917 | |
6.75%, 06/15/2039 | | | 539,000 | | | | 574,278 | |
5.88%, 11/15/2040 | | | 475,000 | | | | 464,402 | |
5.50%, 09/01/2041 | | | 6,815,000 | | | | 6,336,281 | |
Time Warner Entertainment Co. LP | | | | | | | | |
8.38%, 07/15/2033 | | | 879,000 | | | | 1,084,744 | |
Verizon Communications, Inc. | | | | | | | | |
3.45%, 03/15/2021 | | | 535,000 | | | | 538,370 | |
4.13%, 03/16/2027 | | | 4,800,000 | | | | 4,731,487 | |
4.33%, 09/21/2028 (2) | | | 8,774,000 | | | | 8,695,639 | |
4.50%, 08/10/2033 | | | 7,079,000 | | | | 6,858,412 | |
4.40%, 11/01/2034 | | | 4,843,000 | | | | 4,514,085 | |
4.27%, 01/15/2036 | | | 9,280,000 | | | | 8,555,478 | |
5.25%, 03/16/2037 | | | 4,510,000 | | | | 4,628,904 | |
4.81%, 03/15/2039 | | | 13,093,000 | | | | 12,651,909 | |
5.01%, 08/21/2054 | | | 448,000 | | | | 420,616 | |
Viacom, Inc. | | | | | | | | |
3.88%, 04/01/2024 | | | 630,000 | | | | 609,287 | |
6.88%, 04/30/2036 | | | 750,000 | | | | 809,944 | |
4.38%, 03/15/2043 | | | 1,370,000 | | | | 1,137,321 | |
Vodafone Group Plc | | | | | | | | |
2.95%, 02/19/2023 | | | 78,000 | | | | 75,238 | |
3.75%, 01/16/2024 | | | 5,721,000 | | | | 5,669,949 | |
4.13%, 05/30/2025 | | | 945,000 | | | | 940,085 | |
4.38%, 05/30/2028 | | | 5,769,000 | | | | 5,693,967 | |
5.00%, 05/30/2038 | | | 1,697,000 | | | | 1,675,546 | |
5.25%, 05/30/2048 | | | 2,305,000 | | | | 2,299,630 | |
Walt Disney Co. | | | | | | | | |
3.00%, 02/13/2026 | | | 1,000,000 | | | | 951,379 | |
1.85%, 07/30/2026 | | | 259,000 | | | | 225,904 | |
2.95%, 06/15/2027 | | | 700,000 | | | | 663,060 | |
3.00%, 07/30/2046 | | | 160,000 | | | | 125,659 | |
| | | | | | | | |
Warner Media LLC | | | | | | | | |
4.75%, 03/29/2021 | | | 585,000 | | | | 603,509 | |
3.55%, 06/01/2024 | | | 2,300,000 | | | | 2,216,865 | |
3.60%, 07/15/2025 | | | 2,670,000 | | | | 2,537,904 | |
2.95%, 07/15/2026 | | | 2,000,000 | | | | 1,797,295 | |
3.80%, 02/15/2027 | | | 2,850,000 | | | | 2,694,750 | |
5.38%, 10/15/2041 | | | 181,000 | | | | 177,152 | |
4.65%, 06/01/2044 | | | 2,145,000 | | | | 1,902,420 | |
| | | | | | | | |
| | | | | | | 329,172,844 | |
| | | | | | | | |
Consumer, Cyclical - 2.32% | | | | | | | | |
Air Canada 2013-1 Class A Pass Through Trust | | | | | | | | |
4.13%, 05/15/2025 (2) | | | 1,785,159 | | | | 1,789,264 | |
Air Canada 2015-1 Class A Pass Through Trust | | | | | | | | |
3.60%, 03/15/2027 (2) | | | 799,083 | | | | 773,273 | |
Air Canada 2017-1 Class A Pass Through Trust | | | | | | | | |
3.55%, 01/15/2030 (2) | | | 1,253,000 | | | | 1,200,816 | |
Air Canada 2017-1 Class AA Pass Through Trust | | | | | | | | |
3.30%, 01/15/2030 (2) | | | 1,686,000 | | | | 1,620,557 | |
Alimentation Couche-Tard, Inc. | | | | | | | | |
2.70%, 07/26/2022 (2) | | | 7,450,000 | | | | 7,158,291 | |
American Airlines 2011-1 Class A Pass Through Trust | | | | | | | | |
5.25%, 01/31/2021 | | | 81,363 | | | | 84,081 | |
American Airlines 2013-1 Class A Pass Through Trust | | | | | | | | |
4.00%, 07/15/2025 | | | 1,162,849 | | | | 1,159,721 | |
American Airlines 2013-2 Class A Pass Through Trust | | | | | | | | |
4.95%, 01/15/2023 | | | 3,589,931 | | | | 3,699,962 | |
American Airlines 2014-1 Class A Pass Through Trust | | | | | | | | |
3.70%, 10/01/2026 | | | 402,003 | | | | 392,456 | |
American Airlines 2015-1 Class A Pass Through Trust | | | | | | | | |
3.38%, 05/01/2027 | | | 2,555,793 | | | | 2,465,190 | |
American Airlines 2016-2 Class A Pass Through Trust | | | | | | | | |
3.65%, 06/15/2028 | | | 224,968 | | | | 218,345 | |
American Airlines 2016-2 Class AA Pass Through Trust | | | | | | | | |
3.20%, 06/15/2028 | | | 1,401,440 | | | | 1,328,033 | |
American Airlines 2016-3 Class AA Pass Through Trust | | | | | | | | |
3.00%, 10/15/2028 | | | 2,640,367 | | | | 2,479,325 | |
| | | | | | | | |
American Airlines 2017-1 Class AA Pass Through Trust | | | | | | | | |
3.65%, 02/15/2029 | | | 2,236,247 | | | | 2,175,063 | |
American Honda Finance Corp. | | | | | | | | |
2.13%, 10/10/2018 | | | 352,000 | | | | 351,692 | |
2.25%, 08/15/2019 | | | 739,000 | | | | 734,765 | |
2.90%, 02/16/2024 | | | 300,000 | | | | 290,921 | |
2.30%, 09/09/2026 | | | 185,000 | | | | 168,005 | |
Arrow Electronics, Inc. | | | | | | | | |
4.50%, 03/01/2023 | | | 183,000 | | | | 185,895 | |
BMW U.S. Capital LLC | | | | | | | | |
3.10%, 04/12/2021 (2) | | | 10,293,000 | | | | 10,228,772 | |
BMW US Capital LLC | | | | | | | | |
2.75% (3 Month LIBOR USD + 0.41%), 04/12/2021 (1)(2) | | | 1,675,000 | | | | 1,680,663 | |
3.45%, 04/12/2023 (2) | | | 2,323,000 | | | | 2,297,856 | |
2.25%, 09/15/2023 (2) | | | 894,000 | | | | 832,922 | |
British Airways 2018-1 Class A Pass Through Trust | | | | | | | | |
4.13%, 09/20/2031 (2) | | | 2,719,000 | | | | 2,681,831 | |
British Airways 2018-1 Class AA Pass Through Trust | | | | | | | | |
3.80%, 09/20/2031 (2) | | | 1,288,000 | | | | 1,288,000 | |
CK Hutchison International 16 Ltd. | | | | | | | | |
1.88%, 10/03/2021 (2) | | | 402,000 | | | | 381,945 | |
2.75%, 10/03/2026 (2) | | | 600,000 | | | | 548,310 | |
Continental Airlines 1999-2 Class A-1 Pass Through Trust | | | | | | | | |
7.26%, 03/15/2020 | | | 15,591 | | | | 16,059 | |
Continental Airlines 2007-1 Class A Pass Through Trust | | | | | | | | |
5.98%, 04/19/2022 | | | 5,294,527 | | | | 5,605,316 | |
Continental Airlines 2012-1 Class A Pass Through Trust | | | | | | | | |
4.15%, 04/11/2024 | | | 301,563 | | | | 304,473 | |
Continental Airlines 2012-2 Class A Pass Through Trust | | | | | | | | |
4.00%, 10/29/2024 | | | 4,843,144 | | | | 4,862,274 | |
CVS Health Corp. | | | | | | | | |
3.50%, 07/20/2022 | | | 3,000,000 | | | | 2,975,860 | |
3.70%, 03/09/2023 | | | 14,236,000 | | | | 14,091,076 | |
4.00%, 12/05/2023 | | | 6,401,000 | | | | 6,425,348 | |
4.10%, 03/25/2025 | | | 5,696,000 | | | | 5,664,788 | |
4.30%, 03/25/2028 | | | 1,693,000 | | | | 1,669,331 | |
4.88%, 07/20/2035 | | | 500,000 | | | | 502,083 | |
4.78%, 03/25/2038 | | | 6,250,000 | | | | 6,177,867 | |
5.30%, 12/05/2043 | | | 3,260,000 | | | | 3,404,085 | |
5.13%, 07/20/2045 | | | 4,430,000 | | | | 4,485,461 | |
5.05%, 03/25/2048 | | | 10,769,000 | | | | 10,876,654 | |
| | | | | | | | |
CVS Pass-Through Trust | | | | | | | | |
5.77%, 01/10/2033 (2) | | | 837,218 | | | | 892,584 | |
5.93%, 01/10/2034 (2) | | | 617,056 | | | | 663,493 | |
CVS Pass-Through Trust Series 2014 | | | | | | | | |
4.16%, 08/11/2036 (2) | | | 2,790,539 | | | | 2,646,826 | |
Daimler Finance North America LLC | | | | | | | | |
2.38%, 08/01/2018 (2) | | | 195,000 | | | | 194,948 | |
2.00%, 08/03/2018 (2) | | | 300,000 | | | | 299,848 | |
2.25%, 07/31/2019 (2) | | | 3,250,000 | | | | 3,224,167 | |
2.25%, 03/02/2020 (2) | | | 3,575,000 | | | | 3,516,155 | |
3.10%, 05/04/2020 (2) | | | 2,350,000 | | | | 2,345,154 | |
2.88%, 03/10/2021 (2) | | | 700,000 | | | | 688,616 | |
3.35%, 05/04/2021 (2) | | | 3,970,000 | | | | 3,953,200 | |
3.35%, 02/22/2023 (2) | | | 1,000,000 | | | | 982,424 | |
3.30%, 05/19/2025 (2) | | | 1,490,000 | | | | 1,438,745 | |
3.45%, 01/06/2027 (2) | | | 1,750,000 | | | | 1,658,508 | |
8.50%, 01/18/2031 | | | 155,000 | | | | 218,100 | |
Delta Air Lines 2007-1 Class A Pass Through Trust | | | | | | | | |
6.82%, 08/10/2022 | | | 3,151,701 | | | | 3,434,724 | |
Delta Air Lines 2010-2 Class A Pass Through Trust | | | | | | | | |
4.95%, 05/23/2019 | | | 147,293 | | | | 148,663 | |
Delta Air Lines 2011-1 Class A Pass Through Trust | | | | | | | | |
5.30%, 04/15/2019 | | | 63,980 | | | | 64,895 | |
Delta Air Lines 2012-1 Class A Pass Through Trust | | | | | | | | |
4.75%, 05/07/2020 | | | 196,401 | | | | 199,799 | |
Delta Air Lines, Inc. | | | | | | | | |
2.88%, 03/13/2020 | | | 8,200,000 | | | | 8,145,711 | |
Dollar General Corp. | | | | | | | | |
4.13%, 05/01/2028 | | | 835,000 | | | | 818,385 | |
Ford Motor Co. | | | | | | | | |
7.45%, 07/16/2031 | | | 3,400,000 | | | | 3,995,136 | |
4.75%, 01/15/2043 | | | 7,640,000 | | | | 6,598,714 | |
5.29%, 12/08/2046 | | | 1,510,000 | | | | 1,400,668 | |
Ford Motor Credit Co. LLC | | | | | | | | |
2.55%, 10/05/2018 | | | 1,500,000 | | | | 1,499,058 | |
2.38%, 03/12/2019 | | | 819,000 | | | | 815,824 | |
2.60%, 11/04/2019 | | | 1,000,000 | | | | 992,181 | |
| | | | | | | | |
3.16%, 08/04/2020 | | | 1,000,000 | | | | 993,810 | |
2.34%, 11/02/2020 | | | 10,563,000 | | | | 10,285,510 | |
3.34%, 03/18/2021 | | | 5,121,000 | | | | 5,074,450 | |
5.88%, 08/02/2021 | | | 4,300,000 | | | | 4,558,157 | |
3.34%, 03/28/2022 | | | 5,500,000 | | | | 5,381,695 | |
4.25%, 09/20/2022 | | | 3,800,000 | | | | 3,830,628 | |
3.81%, 01/09/2024 | | | 1,122,000 | | | | 1,088,694 | |
4.13%, 08/04/2025 | | | 265,000 | | | | 258,346 | |
3.82%, 11/02/2027 | | | 1,900,000 | | | | 1,757,785 | |
General Motors Co. | | | | | | | | |
4.00%, 04/01/2025 | | | 8,070,000 | | | | 7,829,416 | |
6.60%, 04/01/2036 | | | 2,921,000 | | | | 3,159,783 | |
5.15%, 04/01/2038 | | | 500,000 | | | | 475,860 | |
General Motors Financial Co., Inc. | | | | | | | | |
2.65%, 04/13/2020 | | | 1,300,000 | | | | 1,284,380 | |
2.45%, 11/06/2020 | | | 5,032,000 | | | | 4,913,094 | |
3.19% (3 Month LIBOR USD + 0.85%), 04/09/2021 (1) | | | 3,590,000 | | | | 3,608,674 | |
3.55%, 04/09/2021 | | | 2,725,000 | | | | 2,716,571 | |
4.38%, 09/25/2021 | | | 5,000,000 | | | | 5,095,905 | |
3.45%, 01/14/2022 | | | 6,500,000 | | | | 6,406,660 | |
3.45%, 04/10/2022 | | | 6,502,000 | | | | 6,388,103 | |
3.70%, 05/09/2023 | | | 5,249,000 | | | | 5,155,253 | |
3.95%, 04/13/2024 | | | 2,250,000 | | | | 2,201,001 | |
3.50%, 11/07/2024 | | | 1,230,000 | | | | 1,170,743 | |
4.00%, 01/15/2025 | | | 1,140,000 | | | | 1,107,954 | |
4.35%, 04/09/2025 | | | 1,355,000 | | | | 1,335,053 | |
4.30%, 07/13/2025 | | | 580,000 | | | | 568,801 | |
Hasbro, Inc. | | | | | | | | |
3.50%, 09/15/2027 | | | 933,000 | | | | 862,747 | |
Home Depot, Inc. | | | | | | | | |
2.63%, 06/01/2022 | | | 494,000 | | | | 484,372 | |
2.13%, 09/15/2026 | | | 446,000 | | | | 397,648 | |
2.80%, 09/14/2027 | | | 600,000 | | | | 557,030 | |
5.88%, 12/16/2036 | | | 4,856,000 | | | | 5,893,410 | |
4.20%, 04/01/2043 | | | 655,000 | | | | 656,635 | |
4.40%, 03/15/2045 | | | 268,000 | | | | 273,798 | |
Hyundai Capital America | | | | | | | | |
2.40%, 10/30/2018 (2) | | | 2,717,000 | | | | 2,713,002 | |
2.00%, 07/01/2019 (2) | | | 301,000 | | | | 297,081 | |
| | | | | | | | |
2.75%, 09/18/2020 (2) | | | 4,000,000 | | | | 3,933,352 | |
3.45%, 03/12/2021 (2) | | | 4,170,000 | | | | 4,136,987 | |
3.10%, 04/05/2022 (2) | | | 2,500,000 | | | | 2,438,850 | |
4.13%, 06/08/2023 (2) | | | 11,032,000 | | | | 10,971,361 | |
Hyundai Capital Services, Inc. | | | | | | | | |
3.00%, 03/06/2022 (2) | | | 3,725,000 | | | | 3,598,332 | |
Lowe’s Cos, Inc. | | | | | | | | |
3.38%, 09/15/2025 | | | 477,000 | | | | 466,930 | |
4.65%, 04/15/2042 | | | 449,000 | | | | 465,144 | |
Magna International, Inc. | | | | | | | | |
3.63%, 06/15/2024 | | | 1,658,000 | | | | 1,653,310 | |
Marriott International, Inc./MD | | | | | | | | |
3.00%, 03/01/2019 | | | 7,250,000 | | | | 7,250,903 | |
McDonald’s Corp. | | | | | | | | |
4.70%, 12/09/2035 | | | 591,000 | | | | 615,511 | |
6.30%, 10/15/2037 | | | 679,000 | | | | 830,799 | |
4.45%, 03/01/2047 | | | 360,000 | | | | 357,192 | |
Newell Brands, Inc. | | | | | | | | |
4.20%, 04/01/2026 | | | 1,000,000 | | | | 965,739 | |
5.38%, 04/01/2036 | | | 800,000 | | | | 795,772 | |
Newell Rubbermaid, Inc. | | | | | | | | |
5.50%, 04/01/2046 | | | 5,720,000 | | | | 5,571,216 | |
Nissan Motor Acceptance Co. | | | | | | | | |
2.65%, 09/26/2018 (2) | | | 500,000 | | | | 500,079 | |
1.90%, 09/14/2021 (2) | | | 314,000 | | | | 298,799 | |
2.60%, 09/28/2022 (2) | | | 900,000 | | | | 864,018 | |
Nordstrom, Inc. | | | | | | | | |
4.00%, 10/15/2021 | | | 398,000 | | | | 401,129 | |
O’Reilly Automotive, Inc. | | | | | | | | |
3.55%, 03/15/2026 | | | 500,000 | | | | 475,485 | |
3.60%, 09/01/2027 | | | 802,000 | | | | 757,461 | |
Spirit Airlines Pass Through Trust 2017-1AA | | | | | | | | |
3.38%, 02/15/2030 | | | 980,000 | | | | 959,275 | |
Starbucks Co. | | | | | | | | |
4.30%, 06/15/2045 | | | 604,000 | | | | 577,815 | |
Target Co. | | | | | | | | |
3.50%, 07/01/2024 | | | 355,000 | | | | 356,298 | |
Toyota Motor Credit Co. | | | | | | | | |
1.55%, 10/18/2019 | | | 2,859,000 | | | | 2,818,947 | |
2.80%, 07/13/2022 | | | 640,000 | | | | 628,141 | |
2.70%, 01/11/2023 | | | 600,000 | | | | 584,081 | |
| | | | | | | | |
United Airlines 2013-1 Class A Pass Through Trust | | | | | | | | |
4.30%, 08/15/2025 | | | 661,924 | | | | 674,567 | |
United Airlines 2014-1 Class A Pass Through Trust | | | | | | | | |
4.00%, 04/11/2026 | | | 1,249,360 | | | | 1,252,483 | |
United Airlines 2016-1 Class A Pass Through Trust | | | | | | | | |
3.45%, 07/07/2028 | | | 858,732 | | | | 828,442 | |
United Airlines 2016-1 Class AA Pass Through Trust | | | | | | | | |
3.10%, 07/07/2028 | | | 7,779,177 | | | | 7,363,835 | |
United Airlines 2016-1 Class B Pass Through Trust | | | | | | | | |
3.65%, 01/07/2026 | | | 492,000 | | | | 478,717 | |
United Airlines 2016-2 Class AA Pass Through Trust | | | | | | | | |
2.88%, 10/07/2028 | | | 1,752,424 | | | | 1,622,044 | |
United Airlines 2018-1 Class A Pass Through Trust | | | | | | | | |
3.70%, 03/01/2030 | | | 1,355,000 | | | | 1,322,176 | |
United Airlines 2018-1 Class AA Pass Through Trust | | | | | | | | |
3.50%, 03/01/2030 | | | 2,528,000 | | | | 2,454,054 | |
United Airlines 2018-1 Class B Pass Through Trust | | | | | | | | |
4.60%, 03/01/2026 | | | 587,000 | | | | 589,739 | |
Walgreen Co. | | | | | | | | |
4.40%, 09/15/2042 | | | 400,000 | | | | 353,982 | |
Walgreens Boots Alliance, Inc. | | | | | | | | |
3.30%, 11/18/2021 | | | 3,681,000 | | | | 3,658,015 | |
3.80%, 11/18/2024 | | | 670,000 | | | | 657,764 | |
4.50%, 11/18/2034 | | | 6,402,000 | | | | 6,045,919 | |
Walmart, Inc. | | | | | | | | |
3.40%, 06/26/2023 | | | 2,927,000 | | | | 2,947,769 | |
3.30%, 04/22/2024 | | | 3,820,000 | | | | 3,801,523 | |
3.70%, 06/26/2028 | | | 7,323,000 | | | | 7,371,176 | |
4.05%, 06/29/2048 | | | 6,440,000 | | | | 6,444,416 | |
WW Grainger, Inc. | | | | | | | | |
4.60%, 06/15/2045 | | | 973,000 | | | | 1,001,104 | |
| | | | | | | | |
| | | | | | | 367,035,855 | |
| | | | | | | | |
Consumer, Non-cyclical - 3.34% | | | | | | | | |
Abbott Laboratories | | | | | | | | |
2.90%, 11/30/2021 | | | 17,495,000 | | | | 17,223,128 | |
3.88%, 09/15/2025 | | | 748,000 | | | | 745,368 | |
4.75%, 11/30/2036 | | | 10,000,000 | | | | 10,542,255 | |
| | | | | | | | |
AbbVie, Inc. | | | | | | | | |
2.00%, 11/06/2018 | | | 866,000 | | | | 863,444 | |
2.50%, 05/14/2020 | | | 4,438,000 | | | | 4,382,999 | |
3.20%, 11/06/2022 | | | 400,000 | | | | 393,283 | |
2.85%, 05/14/2023 | | | 4,900,000 | | | | 4,717,539 | |
3.60%, 05/14/2025 | | | 13,071,000 | | | | 12,655,553 | |
4.50%, 05/14/2035 | | | 2,000,000 | | | | 1,959,958 | |
Aetna, Inc. | | | | | | | | |
2.80%, 06/15/2023 | | | 419,000 | | | | 399,442 | |
6.75%, 12/15/2037 | | | 341,000 | | | | 431,092 | |
4.50%, 05/15/2042 | | | 205,000 | | | | 200,897 | |
4.75%, 03/15/2044 | | | 1,800,000 | | | | 1,801,930 | |
Ahold Finance USA LLC | | | | | | | | |
6.88%, 05/01/2029 | | | 3,280,000 | | | | 3,847,249 | |
Allergan Funding SCS | | | | | | | | |
3.45%, 03/15/2022 | | | 1,238,000 | | | | 1,217,855 | |
3.85%, 06/15/2024 | | | 1,198,000 | | | | 1,175,959 | |
3.80%, 03/15/2025 | | | 4,115,000 | | | | 3,994,679 | |
4.55%, 03/15/2035 | | | 5,425,000 | | | | 5,144,035 | |
4.85%, 06/15/2044 | | | 545,000 | | | | 525,166 | |
Allergan Sales LLC | | | | | | | | |
5.00%, 12/15/2021 (2) | | | 3,500,000 | | | | 3,620,968 | |
Allergan, Inc./U.S. | | | | | | | | |
3.38%, 09/15/2020 | | | 539,000 | | | | 539,822 | |
2.80%, 03/15/2023 | | | 971,000 | | | | 916,506 | |
AmerisourceBergen Corp. | | | | | | | | |
4.30%, 12/15/2047 | | | 1,080,000 | | | | 955,186 | |
Amgen, Inc. | | | | | | | | |
5.70%, 02/01/2019 | | | 204,000 | | | | 207,350 | |
2.70%, 05/01/2022 | | | 5,600,000 | | | | 5,437,954 | |
3.63%, 05/15/2022 | | | 845,000 | | | | 849,789 | |
3.13%, 05/01/2025 | | | 525,000 | | | | 502,268 | |
4.95%, 10/01/2041 | | | 464,000 | | | | 475,261 | |
4.66%, 06/15/2051 | | | 3,379,000 | | | | 3,338,250 | |
Anheuser-Busch InBev Finance, Inc. | | | | | | | | |
2.63%, 01/17/2023 | | | 160,000 | | | | 154,139 | |
3.30%, 02/01/2023 | | | 5,742,000 | | | | 5,692,145 | |
3.65%, 02/01/2026 | | | 7,200,000 | | | | 7,050,872 | |
4.70%, 02/01/2036 | | | 8,482,000 | | | | 8,591,165 | |
4.00%, 01/17/2043 | | | 810,000 | | | | 735,213 | |
| | | | | | | | |
Anheuser-Busch InBev Worldwide, Inc. | | | | | | | | |
2.20%, 08/01/2018 | | | 5,080,000 | | | | 5,078,095 | |
4.00%, 04/13/2028 | | | 1,240,000 | | | | 1,236,621 | |
4.38%, 04/15/2038 | | | 2,240,000 | | | | 2,173,134 | |
4.95%, 01/15/2042 | | | 2,735,000 | | | | 2,836,471 | |
4.60%, 04/15/2048 | | | 590,000 | | | | 578,502 | |
4.75%, 04/15/2058 | | | 1,345,000 | | | | 1,312,561 | |
Anthem, Inc. | | | | | | | | |
2.30%, 07/15/2018 | | | 289,000 | | | | 288,963 | |
3.13%, 05/15/2022 | | | 484,000 | | | | 476,652 | |
3.30%, 01/15/2023 | | | 271,000 | | | | 266,324 | |
3.50%, 08/15/2024 | | | 694,000 | | | | 676,049 | |
4.10%, 03/01/2028 | | | 920,000 | | | | 901,582 | |
4.63%, 05/15/2042 | | | 400,000 | | | | 387,449 | |
4.65%, 01/15/2043 | | | 391,000 | | | | 377,873 | |
5.10%, 01/15/2044 | | | 1,881,000 | | | | 1,939,525 | |
4.65%, 08/15/2044 | | | 395,000 | | | | 384,995 | |
4.38%, 12/01/2047 | | | 4,500,000 | | | | 4,172,127 | |
BAT Capital Corp. | | | | | | | | |
2.30%, 08/14/2020 (2) | | | 5,434,000 | | | | 5,316,582 | |
3.22%, 08/15/2024 (2) | | | 7,145,000 | | | | 6,765,138 | |
4.39%, 08/15/2037 (2) | | | 822,000 | | | | 770,649 | |
Baxalta, Inc. | | | | | | | | |
3.60%, 06/23/2022 | | | 367,000 | | | | 363,126 | |
5.25%, 06/23/2045 | | | 167,000 | | | | 172,186 | |
Bayer US Finance LLC | | | | | | | | |
2.97% (3 Month LIBOR USD + 0.63%), 06/25/2021 (1)(2) | | | 4,135,000 | | | | 4,143,187 | |
3.50%, 06/25/2021 (2) | | | 8,694,000 | | | | 8,710,634 | |
3.38%, 10/08/2024 (2) | | | 471,000 | | | | 453,679 | |
Baylor Scott & White Holdings | | | | | | | | |
4.19%, 11/15/2045 | | | 1,800,000 | | | | 1,828,973 | |
3.97%, 11/15/2046 | | | 3,700,000 | | | | 3,624,642 | |
Becton Dickinson and Co. | | | | | | | | |
3.73%, 12/15/2024 | | | 1,972,000 | | | | 1,925,188 | |
Bunge Ltd. Finance Corp. | | | | | | | | |
8.50%, 06/15/2019 | | | 7,456,000 | | | | 7,831,771 | |
3.50%, 11/24/2020 | | | 283,000 | | | | 282,864 | |
| | | | | | | | |
Campbell Soup Co. | | | | | | | | |
3.95%, 03/15/2025 | | | 1,360,000 | | | | 1,311,067 | |
Cardinal Health, Inc. | | | | | | | | |
4.63%, 12/15/2020 | | | 1,805,000 | | | | 1,854,132 | |
4.90%, 09/15/2045 | | | 315,000 | | | | 301,301 | |
Cargill, Inc. | | | | | | | | |
3.25%, 03/01/2023 (2) | | | 345,000 | | | | 342,522 | |
3.30%, 03/01/2022 (2) | | | 800,000 | | | | 800,468 | |
Celgene Corp. | | | | | | | | |
3.25%, 08/15/2022 | | | 1,220,000 | | | | 1,195,605 | |
3.25%, 02/20/2023 | | | 4,000,000 | | | | 3,906,143 | |
4.00%, 08/15/2023 | | | 298,000 | | | | 300,425 | |
3.63%, 05/15/2024 | | | 686,000 | | | | 668,996 | |
5.70%, 10/15/2040 | | | 302,000 | | | | 326,445 | |
4.35%, 11/15/2047 | | | 7,167,000 | | | | 6,327,655 | |
Cigna Co. | | | | | | | | |
3.25%, 04/15/2025 | | | 970,000 | | | | 911,821 | |
Coca-Cola Femsa SAB de CV | | | | | | | | |
2.38%, 11/26/2018 | | | 3,906,000 | | | | 3,900,671 | |
3.88%, 11/26/2023 | | | 550,000 | | | | 550,546 | |
Conagra Brands, Inc. | | | | | | | | |
4.95%, 08/15/2020 | | | 40,000 | | | | 41,191 | |
9.75%, 03/01/2021 | | | 1,750,000 | | | | 2,017,095 | |
7.00%, 10/01/2028 | | | 3,250,000 | | | | 3,845,179 | |
CVS Health Corp. | | | | | | | | |
3.13%, 03/09/2020 | | | 5,636,000 | | | | 5,628,528 | |
CVS Pass-Through Trust | | | | | | | | |
8.35%, 07/10/2031 (2) | | | 938,360 | | | | 1,133,736 | |
7.51%, 01/10/2032 (2) | | | 944,983 | | | | 1,107,494 | |
4.70%, 01/10/2036 (2) | | | 959,896 | | | | 941,850 | |
Danaher Co. | | | | | | | | |
2.40%, 09/15/2020 | | | 280,000 | | | | 276,350 | |
Diageo Investment Co. | | | | | | | | |
8.00%, 09/15/2022 | | | 516,000 | | | | 606,679 | |
DP World Ltd. | | | | | | | | |
6.85%, 07/02/2037 (2) | | | 1,953,000 | | | | 2,226,420 | |
Dr Pepper Snapple Group, Inc. | | | | | | | | |
3.43%, 06/15/2027 | | | 350,000 | | | | 323,254 | |
4.42%, 12/15/2046 | | | 9,350,000 | | | | 8,547,282 | |
| | | | | | | | |
Ecolab, Inc. | | | | | | | | |
2.25%, 01/12/2020 | | | 233,000 | | | | 230,079 | |
3.25%, 01/14/2023 | | | 452,000 | | | | 446,181 | |
3.25%, 12/01/2027 | | | 646,000 | | | | 618,279 | |
5.50%, 12/08/2041 | | | 14,000 | | | | 16,452 | |
ERAC USA Finance LLC | | | | | | | | |
2.80%, 11/01/2018 (2) | | | 4,875,000 | | | | 4,874,143 | |
4.50%, 08/16/2021 (2) | | | 400,000 | | | | 409,914 | |
6.70%, 06/01/2034 (2) | | | 508,000 | | | | 610,006 | |
5.63%, 03/15/2042 (2) | | | 357,000 | | | | 386,760 | |
4.50%, 02/15/2045 (2) | | | 300,000 | | | | 282,580 | |
Express Scripts Holding Co. | | | | | | | | |
4.75%, 11/15/2021 | | | 4,000,000 | | | | 4,126,471 | |
3.05%, 11/30/2022 | | | 9,105,000 | | | | 8,774,253 | |
3.00%, 07/15/2023 | | | 178,000 | | | | 168,785 | |
3.50%, 06/15/2024 | | | 897,000 | | | | 861,251 | |
4.50%, 02/25/2026 | | | 755,000 | | | | 749,265 | |
4.80%, 07/15/2046 | | | 218,000 | | | | 207,142 | |
Fomento Economico Mexicano SAB de CV | | | | | | | | |
4.38%, 05/10/2043 | | | 526,000 | | | | 517,089 | |
General Mills, Inc. | | | | | | | | |
3.20%, 04/16/2021 | | | 2,674,000 | | | | 2,659,937 | |
4.00%, 04/17/2025 | | | 925,000 | | | | 912,189 | |
4.20%, 04/17/2028 | | | 585,000 | | | | 572,474 | |
4.55%, 04/17/2038 | | | 3,250,000 | | | | 3,099,280 | |
4.70%, 04/17/2048 | | | 2,499,000 | | | | 2,387,914 | |
Gilead Sciences, Inc. | | | | | | | | |
3.70%, 04/01/2024 | | | 4,887,000 | | | | 4,894,487 | |
3.50%, 02/01/2025 | | | 385,000 | | | | 379,071 | |
3.65%, 03/01/2026 | | | 374,000 | | | | 369,122 | |
4.60%, 09/01/2035 | | | 4,558,000 | | | | 4,688,239 | |
4.00%, 09/01/2036 | | | 313,000 | | | | 300,976 | |
5.65%, 12/01/2041 | | | 1,020,000 | | | | 1,195,336 | |
4.75%, 03/01/2046 | | | 4,626,000 | | | | 4,771,125 | |
GlaxoSmithKline Capital Plc | | | | | | | | |
2.85%, 05/08/2022 | | | 320,000 | | | | 314,497 | |
GlaxoSmithKline Capital, Inc. | | | | | | | | |
6.38%, 05/15/2038 | | | 217,000 | | | | 278,543 | |
Grupo Bimbo SAB de CV | | | | | | | | |
3.88%, 06/27/2024 (2) | | | 5,000,000 | | | | 4,887,772 | |
4.70%, 11/10/2047 (2) | | | 4,500,000 | | | | 4,088,070 | |
| | | | | | | | |
Hershey Co./The | | | | | | | | |
2.90%, 05/15/2020 | | | 2,246,000 | | | | 2,243,119 | |
3.38%, 05/15/2023 | | | 6,034,000 | | | | 6,053,769 | |
JM Smucker Co./The | | | | | | | | |
3.00%, 03/15/2022 | | | 4,750,000 | | | | 4,651,694 | |
Johnson & Johnson | | | | | | | | |
2.63%, 01/15/2025 | | | 1,772,000 | | | | 1,696,521 | |
4.38%, 12/05/2033 | | | 1,225,000 | | | | 1,314,796 | |
3.40%, 01/15/2038 | | | 10,227,000 | | | | 9,652,345 | |
3.70%, 03/01/2046 | | | 840,000 | | | | 812,934 | |
Kellogg Co. | | | | | | | | |
3.25%, 05/14/2021 | | | 5,430,000 | | | | 5,429,525 | |
3.40%, 11/15/2027 | | | 1,200,000 | | | | 1,121,243 | |
Kimberly-Clark Co. | | | | | | | | |
2.40%, 03/01/2022 | | | 140,000 | | | | 136,027 | |
Kraft Foods Group, Inc. | | | | | | | | |
6.13%, 08/23/2018 | | | 531,000 | | | | 533,708 | |
5.38%, 02/10/2020 | | | 138,000 | | | | 142,712 | |
6.88%, 01/26/2039 | | | 749,000 | | | | 878,672 | |
5.00%, 06/04/2042 | | | 505,000 | | | | 481,789 | |
Kraft Heinz Foods Co. | | | | | | | | |
2.00%, 07/02/2018 | | | 2,771,000 | | | | 2,771,000 | |
2.80%, 07/02/2020 | | | 3,775,000 | | | | 3,744,800 | |
3.00%, 06/01/2026 | | | 3,625,000 | | | | 3,263,269 | |
5.00%, 07/15/2035 | | | 2,785,000 | | | | 2,741,920 | |
4.38%, 06/01/2046 | | | 5,760,000 | | | | 4,979,108 | |
Kroger Co. | | | | | | | | |
6.15%, 01/15/2020 | | | 206,000 | | | | 215,183 | |
7.50%, 04/01/2031 | | | 1,000,000 | | | | 1,236,667 | |
5.40%, 07/15/2040 | | | 95,000 | | | | 97,068 | |
4.45%, 02/01/2047 | | | 1,010,000 | | | | 917,886 | |
4.65%, 01/15/2048 | | | 5,860,000 | | | | 5,528,946 | |
Laboratory Co. of America Holdings | | | | | | | | |
4.63%, 11/15/2020 | | | 6,630,000 | | | | 6,806,314 | |
3.20%, 02/01/2022 | | | 1,127,000 | | | | 1,114,580 | |
Magellan Health, Inc. | | | | | | | | |
4.40%, 09/22/2024 | | | 1,917,000 | | | | 1,875,245 | |
| | | | | | | | |
Maple Escrow Subsidiary, Inc. | | | | | | | | |
3.55%, 05/25/2021 (2) | | | 3,945,000 | | | | 3,948,187 | |
4.06%, 05/25/2023 (2) | | | 4,575,000 | | | | 4,592,090 | |
4.42%, 05/25/2025 (2) | | | 447,000 | | | | 449,149 | |
4.99%, 05/25/2038 (2) | | | 646,000 | | | | 649,684 | |
Massachusetts Institute of Technology | | | | | | | | |
4.68%, 07/01/2114 | | | 1,645,000 | | | | 1,800,537 | |
McCormick & Co., Inc. | | | | | | | | |
3.15%, 08/15/2024 | | | 299,000 | | | | 285,647 | |
3.40%, 08/15/2027 | | | 594,000 | | | | 561,382 | |
Mead Johnson Nutrition Co. | | | | | | | | |
4.13%, 11/15/2025 | | | 891,000 | | | | 907,433 | |
Medtronic, Inc. | | | | | | | | |
3.13%, 03/15/2022 | | | 419,000 | | | | 415,722 | |
3.15%, 03/15/2022 | | | 396,000 | | | | 392,724 | |
3.50%, 03/15/2025 | | | 12,461,000 | | | | 12,326,690 | |
4.38%, 03/15/2035 | | | 924,000 | | | | 955,013 | |
Merck & Co., Inc. | | | | | | | | |
2.80%, 05/18/2023 | | | 526,000 | | | | 514,528 | |
3.70%, 02/10/2045 | | | 70,000 | | | | 66,491 | |
Mondelez International, Inc. | | | | | | | | |
3.00%, 05/07/2020 | | | 8,660,000 | | | | 8,641,163 | |
Mount Sinai Hospitals Group, Inc. | | | | | | | | |
3.98%, 07/01/2048 | | | 999,000 | | | | 960,964 | |
Mylan NV | | | | | | | | |
2.50%, 06/07/2019 | | | 2,690,000 | | | | 2,677,773 | |
3.15%, 06/15/2021 | | | 4,415,000 | | | | 4,364,986 | |
Mylan, Inc. | | | | | | | | |
3.13%, 01/15/2023 (2) | | | 5,000,000 | | | | 4,799,907 | |
3.95%, 06/15/2026 | | | 1,992,000 | | | | 1,904,133 | |
4.55%, 04/15/2028 (2) | | | 700,000 | | | | 683,811 | |
5.40%, 11/29/2043 | | | 100,000 | | | | 98,819 | |
New York and Presbyterian Hospital | | | | | | | | |
4.02%, 08/01/2045 | | | 125,000 | | | | 124,926 | |
Novartis Capital Co. | | | | | | | | |
2.40%, 05/17/2022 | | | 6,440,000 | | | | 6,253,638 | |
3.40%, 05/06/2024 | | | 922,000 | | | | 919,577 | |
Orlando Health Obligated Group | | | | | | | | |
4.09%, 10/01/2048 | | | 2,605,000 | | | | 2,584,001 | |
| | | | | | | | |
PepsiCo, Inc. | | | | | | | | |
3.00%, 08/25/2021 | | | 258,000 | | | | 258,517 | |
4.88%, 11/01/2040 | | | 82,000 | | | | 91,021 | |
4.60%, 07/17/2045 | | | 196,000 | | | | 212,157 | |
Pfizer, Inc. | | | | | | | | |
5.80%, 08/12/2023 | | | 4,000,000 | | | | 4,460,322 | |
3.00%, 12/15/2026 | | | 1,125,000 | | | | 1,080,300 | |
Philip Morris International, Inc. | | | | | | | | |
2.50%, 11/02/2022 | | | 1,300,000 | | | | 1,246,798 | |
President & Fellows of Harvard College | | | | | | | | |
3.30%, 07/15/2056 | | | 5,599,000 | | | | 5,092,802 | |
Procter & Gamble—Esop | | | | | | | | |
9.36%, 01/01/2021 | | | 98,043 | | | | 105,243 | |
Procter & Gamble Co. | | | | | | | | |
2.70%, 02/02/2026 | | | 750,000 | | | | 711,940 | |
2.85%, 08/11/2027 | | | 450,000 | | | | 426,554 | |
Providence St Joseph Health Obligated Group | | | | | | | | |
2.75%, 10/01/2026 | | | 1,200,000 | | | | 1,119,582 | |
Quest Diagnostics, Inc. | | | | | | | | |
3.50%, 03/30/2025 | | | 4,820,000 | | | | 4,638,227 | |
3.45%, 06/01/2026 | | | 223,000 | | | | 212,007 | |
Reckitt Benckiser Treasury Services Plc | | | | | | | | |
2.38%, 06/24/2022 (2) | | | 1,200,000 | | | | 1,146,969 | |
Reynolds American, Inc. | | | | | | | | |
4.45%, 06/12/2025 | | | 5,000,000 | | | | 5,025,029 | |
5.70%, 08/15/2035 | | | 1,100,000 | | | | 1,180,335 | |
RR Donnelley & Sons Co. | | | | | | | | |
7.63%, 06/15/2020 | | | 107,000 | | | | 109,675 | |
Shire Acquisitions Investments Ireland DAC | | | | | | | | |
2.40%, 09/23/2021 | | | 13,135,000 | | | | 12,573,913 | |
2.88%, 09/23/2023 | | | 668,000 | | | | 628,132 | |
Smithfield Foods, Inc. | | | | | | | | |
3.35%, 02/01/2022 (2) | | | 10,000,000 | | | | 9,653,855 | |
Stryker Co. | | | | | | | | |
3.50%, 03/15/2026 | | | 213,000 | | | | 206,729 | |
Sysco Corp. | | | | | | | | |
3.55%, 03/15/2025 | | | 345,000 | | | | 338,026 | |
3.75%, 10/01/2025 | | | 277,000 | | | | 273,233 | |
3.25%, 07/15/2027 | | | 1,350,000 | | | | 1,263,927 | |
4.45%, 03/15/2048 | | | 200,000 | | | | 193,166 | |
| | | | | | | | |
Teva Pharmaceutical Finance Netherlands III BV | | | | | | | | |
2.80%, 07/21/2023 | | | 547,000 | | | | 472,305 | |
Texas Health Resources | | | | | | | | |
4.33%, 11/15/2055 | | | 1,000,000 | | | | 1,028,266 | |
Thermo Fisher Scientific, Inc. | | | | | | | | |
3.00%, 04/15/2023 | | | 227,000 | | | | 220,637 | |
2.95%, 09/19/2026 | | | 476,000 | | | | 439,580 | |
Tyson Foods, Inc. | | | | | | | | |
2.25%, 08/23/2021 | | | 3,600,000 | | | | 3,460,184 | |
4.50%, 06/15/2022 | | | 2,485,000 | | | | 2,554,026 | |
3.95%, 08/15/2024 | | | 1,451,000 | | | | 1,447,488 | |
4.88%, 08/15/2034 | | | 400,000 | | | | 406,323 | |
Unilever Capital Corp. | | | | | | | | |
3.38%, 03/22/2025 | | | 800,000 | | | | 794,663 | |
UnitedHealth Group, Inc. | | | | | | | | |
1.63%, 03/15/2019 | | | 291,000 | | | | 288,874 | |
3.38%, 11/15/2021 | | | 685,000 | | | | 688,666 | |
2.75%, 02/15/2023 | | | 520,000 | | | | 503,225 | |
2.88%, 03/15/2023 | | | 310,000 | | | | 301,993 | |
3.50%, 06/15/2023 | | | 10,878,000 | | | | 10,886,752 | |
3.10%, 03/15/2026 | | | 550,000 | | | | 523,865 | |
4.63%, 07/15/2035 | | | 427,000 | | | | 448,813 | |
4.38%, 03/15/2042 | | | 4,015,000 | | | | 4,042,272 | |
Verisk Analytics, Inc. | | | | | | | | |
4.00%, 06/15/2025 | | | 7,000,000 | | | | 6,882,555 | |
Wesleyan University | | | | | | | | |
4.78%, 07/01/2116 | | | 2,547,000 | | | | 2,596,889 | |
Western Union Co. | | | | | | | | |
3.60%, 03/15/2022 | | | 1,300,000 | | | | 1,290,729 | |
6.20%, 06/21/2040 | | | 300,000 | | | | 304,559 | |
Wm Wrigley Jr Co. | | | | | | | | |
2.90%, 10/21/2019 (2) | | | 4,960,000 | | | | 4,947,284 | |
Wyeth LLC | | | | | | | | |
6.45%, 02/01/2024 | | | 82,000 | | | | 94,682 | |
Zimmer Biomet Holdings, Inc. | | | | | | | | |
3.38%, 11/30/2021 | | | 3,650,000 | | | | 3,620,615 | |
3.70%, 03/19/2023 | | | 407,000 | | | | 403,961 | |
3.55%, 04/01/2025 | | | 6,000,000 | | | | 5,709,771 | |
| | | | | | | | |
Zoetis, Inc. | | | | | | | | |
3.00%, 09/12/2027 | | | 4,685,000 | | | | 4,331,748 | |
| | | | | | | | |
| | | | | | | 528,293,797 | |
| | | | | | | | |
Diversified - 0.08% | | | | | | | | |
CK Hutchison International 17 II Ltd. | | | | | | | | |
2.25%, 09/29/2020 (2) | | | 3,664,000 | | | | 3,582,721 | |
2.75%, 03/29/2023 (2) | | | 500,000 | | | | 478,049 | |
CK Hutchison International 17 Ltd. | | | | | | | | |
2.88%, 04/05/2022 (2) | | | 800,000 | | | | 779,509 | |
Hutchison Whampoa International 09 Ltd. | | | | | | | | |
7.63%, 04/09/2019 (2) | | | 612,000 | | | | 633,199 | |
Hutchison Whampoa International 09/19 Ltd. | | | | | | | | |
5.75%, 09/11/2019 (2) | | | 6,175,000 | | | | 6,368,765 | |
Hutchison Whampoa International 12 II Ltd. | | | | | | | | |
3.25%, 11/08/2022 (2) | | | 450,000 | | | | 442,816 | |
| | | | | | | | |
| | | | | | | 12,285,059 | |
| | | | | | | | |
Energy - 3.32% | | | | | | | | |
Abu Dhabi Crude Oil Pipeline LLC | | | | | | | | |
4.60%, 11/02/2047 (2) | | | 2,772,000 | | | | 2,539,152 | |
Alberta Energy Co. Ltd. | | | | | | | | |
7.38%, 11/01/2031 | | | 274,000 | | | | 335,031 | |
Anadarko Finance Co. | | | | | | | | |
7.50%, 05/01/2031 | | | 206,000 | | | | 255,057 | |
Anadarko Holding Co. | | | | | | | | |
7.15%, 05/15/2028 | | | 170,000 | | | | 193,841 | |
Anadarko Petroleum Co. | | | | | | | | |
8.70%, 03/15/2019 | | | 664,000 | | | | 689,822 | |
6.95%, 06/15/2019 | | | 11,711,000 | | | | 12,118,097 | |
4.85%, 03/15/2021 | | | 6,574,000 | | | | 6,764,888 | |
3.45%, 07/15/2024 | | | 3,414,000 | | | | 3,288,546 | |
6.45%, 09/15/2036 | | | 7,694,000 | | | | 8,886,453 | |
0.00%, 10/10/2036 | | | 4,000,000 | | | | 1,691,208 | |
Andeavor | | | | | | | | |
4.50%, 04/01/2048 | | | 3,000,000 | | | | 2,731,782 | |
Andeavor Logistics LP / Tesoro Logistics Finance Corp. | | | | | | | | |
4.25%, 12/01/2027 | | | 669,000 | | | | 643,626 | |
ANR Pipeline Co. | | | | | | | | |
9.63%, 11/01/2021 | | | 337,000 | | | | 407,836 | |
Apache Co. | | | | | | | | |
6.90%, 09/15/2018 | | | 258,000 | | | | 259,836 | |
| | | | | | | | |
3.25%, 04/15/2022 | | | 99,000 | | | | 96,508 | |
5.10%, 09/01/2040 | | | 600,000 | | | | 594,030 | |
4.75%, 04/15/2043 | | | 416,000 | | | | 394,705 | |
APT Pipelines Ltd. | | | | | | | | |
4.20%, 03/23/2025 (2) | | | 500,000 | | | | 496,097 | |
4.25%, 07/15/2027 (2) | | | 1,098,000 | | | | 1,075,861 | |
Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor, Inc. | | | | | | | | |
3.34%, 12/15/2027 | | | 1,753,000 | | | | 1,630,567 | |
Baker Hughes, Inc. | | | | | | | | |
5.13%, 09/15/2040 | | | 600,000 | | | | 642,692 | |
BP Capital Markets Plc | | | | | | | | |
2.24%, 05/10/2019 | | | 400,000 | | | | 398,432 | |
1.77%, 09/19/2019 | | | 4,846,000 | | | | 4,785,544 | |
3.25%, 05/06/2022 | | | 262,000 | | | | 261,103 | |
3.81%, 02/10/2024 | | | 1,615,000 | | | | 1,630,861 | |
3.22%, 04/14/2024 | | | 2,262,000 | | | | 2,218,567 | |
3.54%, 11/04/2024 | | | 700,000 | | | | 694,300 | |
3.51%, 03/17/2025 | | | 45,000 | | | | 44,606 | |
3.02%, 01/16/2027 | | | 1,052,000 | | | | 994,520 | |
3.28%, 09/19/2027 | | | 1,101,000 | | | | 1,058,103 | |
Buckeye Partners LP | | | | | | | | |
2.65%, 11/15/2018 | | | 2,900,000 | | | | 2,896,878 | |
4.88%, 02/01/2021 | | | 704,000 | | | | 719,112 | |
3.95%, 12/01/2026 | | | 112,000 | | | | 101,584 | |
5.85%, 11/15/2043 | | | 591,000 | | | | 569,208 | |
Cameron International Co. | | | | | | | | |
3.60%, 04/30/2022 | | | 5,900,000 | | | | 5,829,011 | |
Canadian Natural Resources Ltd. | | | | | | | | |
7.20%, 01/15/2032 | | | 41,000 | | | | 50,541 | |
6.45%, 06/30/2033 | | | 1,153,000 | | | | 1,349,749 | |
5.85%, 02/01/2035 | | | 200,000 | | | | 222,161 | |
6.50%, 02/15/2037 | | | 118,000 | | | | 140,002 | |
6.75%, 02/01/2039 | | | 206,000 | | | | 249,698 | |
Cenovus Energy, Inc. | | | | | | | | |
5.25%, 06/15/2037 | | | 5,270,000 | | | | 5,179,086 | |
6.75%, 11/15/2039 | | | 1,168,000 | | | | 1,281,872 | |
4.45%, 09/15/2042 | | | 310,000 | | | | 264,214 | |
5.40%, 06/15/2047 | | | 4,007,000 | | | | 3,919,925 | |
| | | | | | | | |
Chevron Co. | | | | | | | | |
2.36%, 12/05/2022 | | | 315,000 | | | | 301,055 | |
2.57%, 05/16/2023 | | | 2,000,000 | | | | 1,934,715 | |
2.90%, 03/03/2024 | | | 1,303,000 | | | | 1,266,953 | |
CNOOC Finance 2013 Ltd. | | | | | | | | |
3.00%, 05/09/2023 | | | 2,200,000 | | | | 2,121,088 | |
CNOOC Finance 2015 Australia Pty Ltd. | | | | | | | | |
2.63%, 05/05/2020 | | | 1,583,000 | | | | 1,562,442 | |
CNOOC Finance 2015 USA LLC | | | | | | | | |
3.50%, 05/05/2025 | | | 670,000 | | | | 645,641 | |
CNOOC Nexen Finance 2014 ULC | | | | | | | | |
4.25%, 04/30/2024 | | | 1,165,000 | | | | 1,178,050 | |
Concho Resources, Inc. | | | | | | | | |
4.30%, 08/15/2028 | | | 7,573,000 | | | | 7,562,863 | |
4.85%, 08/15/2048 | | | 1,963,000 | | | | 1,987,925 | |
ConocoPhillips Co. | | | | | | | | |
4.95%, 03/15/2026 | | | 598,000 | | | | 644,309 | |
Continental Resources, Inc./OK | | | | | | | | |
4.50%, 04/15/2023 | | | 6,535,000 | | | | 6,635,983 | |
4.38%, 01/15/2028 | | | 3,664,000 | | | | 3,632,860 | |
4.90%, 06/01/2044 | | | 2,568,000 | | | | 2,513,170 | |
DCP Midstream Operating LP | | | | | | | | |
9.75%, 03/15/2019 (2) | | | 4,960,000 | | | | 5,164,600 | |
Devon Energy Corp. | | | | | | | | |
4.00%, 07/15/2021 | | | 2,781,000 | | | | 2,815,931 | |
5.60%, 07/15/2041 | | | 1,000,000 | | | | 1,077,943 | |
Ecopetrol SA | | | | | | | | |
5.88%, 09/18/2023 | | | 395,000 | | | | 418,700 | |
4.13%, 01/16/2025 | | | 383,000 | | | | 371,510 | |
5.38%, 06/26/2026 | | | 537,000 | | | | 550,962 | |
Enable Midstream Partners LP | | | | | | | | |
4.95%, 05/15/2028 | | | 615,000 | | | | 598,304 | |
Enbridge Energy Partners LP | | | | | | | | |
4.38%, 10/15/2020 | | | 6,575,000 | | | | 6,690,786 | |
7.50%, 04/15/2038 | | | 1,000,000 | | | | 1,234,067 | |
Enbridge, Inc. | | | | | | | | |
3.70%, 07/15/2027 | | | 538,000 | | | | 509,621 | |
4.50%, 06/10/2044 | | | 500,000 | | | | 457,905 | |
6.25% (3 Month LIBOR USD + 3.64%), 03/01/2078 (1) | | | 950,000 | | | | 893,055 | |
| | | | | | | | |
Encana Co. | | | | | | | | |
6.50%, 05/15/2019 | | | 240,000 | | | | 246,686 | |
3.90%, 11/15/2021 | | | 1,600,000 | | | | 1,612,715 | |
8.13%, 09/15/2030 | | | 400,000 | | | | 510,695 | |
7.20%, 11/01/2031 | | | 500,000 | | | | 602,961 | |
6.50%, 08/15/2034 | | | 268,000 | | | | 305,449 | |
Energy Transfer Partners LP | | | | | | | | |
9.70%, 03/15/2019 | | | 107,000 | | | | 111,925 | |
3.60%, 02/01/2023 | | | 2,269,000 | | | | 2,216,745 | |
4.90%, 02/01/2024 | | | 687,000 | | | | 696,991 | |
4.05%, 03/15/2025 | | | 682,000 | | | | 658,213 | |
4.75%, 01/15/2026 | | | 497,000 | | | | 492,289 | |
6.63%, 10/15/2036 | | | 4,408,000 | | | | 4,688,610 | |
7.50%, 07/01/2038 | | | 1,500,000 | | | | 1,711,044 | |
6.05%, 06/01/2041 | | | 500,000 | | | | 498,709 | |
6.50%, 02/01/2042 | | | 1,240,000 | | | | 1,275,781 | |
Energy Transfer Partners LP / Regency Energy Finance Corp. | | | | | | | | |
5.88%, 03/01/2022 | | | 5,000,000 | | | | 5,288,000 | |
5.00%, 10/01/2022 | | | 6,300,000 | | | | 6,521,335 | |
Eni SpA | | | | | | | | |
5.70%, 10/01/2040 (2) | | | 557,000 | | | | 603,424 | |
Eni USA, Inc. | | | | | | | | |
7.30%, 11/15/2027 | | | 400,000 | | | | 481,865 | |
EnLink Midstream Partners LP | | | | | | | | |
2.70%, 04/01/2019 | | | 4,608,000 | | | | 4,563,114 | |
4.15%, 06/01/2025 | | | 1,000,000 | | | | 923,939 | |
Enterprise Products Operating LLC | | | | | | | | |
2.80%, 02/15/2021 | | | 1,888,000 | | | | 1,863,724 | |
3.35%, 03/15/2023 | | | 1,017,000 | | | | 1,001,729 | |
3.90%, 02/15/2024 | | | 3,400,000 | | | | 3,403,275 | |
3.75%, 02/15/2025 | | | 515,000 | | | | 509,827 | |
3.70%, 02/15/2026 | | | 304,000 | | | | 296,950 | |
6.88%, 03/01/2033 | | | 1,200,000 | | | | 1,474,227 | |
6.65%, 10/15/2034 | | | 672,000 | | | | 812,330 | |
5.75%, 03/01/2035 | | | 1,075,000 | | | | 1,156,752 | |
5.95%, 02/01/2041 | | | 201,000 | | | | 226,425 | |
4.85%, 08/15/2042 | | | 4,000,000 | | | | 3,990,345 | |
4.85%, 03/15/2044 | | | 199,000 | | | | 197,950 | |
4.25%, 02/15/2048 | | | 6,624,000 | | | | 6,157,995 | |
4.95%, 10/15/2054 | | | 177,000 | | | | 172,882 | |
| | | | | | | | |
EOG Resources, Inc. | | | | | | | | |
6.88%, 10/01/2018 | | | 186,000 | | | | 187,938 | |
4.10%, 02/01/2021 | | | 547,000 | | | | 558,162 | |
2.63%, 03/15/2023 | | | 249,000 | | | | 238,952 | |
EQT Corp. | | | | | | | | |
3.90%, 10/01/2027 | | | 805,000 | | | | 751,193 | |
EQT Midstream Partners LP | | | | | | | | |
4.75%, 07/15/2023 | | | 5,000,000 | | | | 4,990,244 | |
4.00%, 08/01/2024 | | | 2,000,000 | | | | 1,898,226 | |
Equinor ASA | | | | | | | | |
3.15%, 01/23/2022 | | | 237,000 | | | | 237,221 | |
2.45%, 01/17/2023 | | | 280,000 | | | | 270,041 | |
2.65%, 01/15/2024 | | | 663,000 | | | | 635,517 | |
3.25%, 11/10/2024 | | | 508,000 | | | | 500,009 | |
Exxon Mobil Co. | | | | | | | | |
4.11%, 03/01/2046 | | | 716,000 | | | | 728,158 | |
Gazprom OAO Via Gaz Capital SA | | | | | | | | |
6.51%, 03/07/2022 (2) | | | 1,140,000 | | | | 1,208,970 | |
4.95%, 07/19/2022 (2) | | | 610,000 | | | | 614,270 | |
Halliburton Co. | | | | | | | | |
3.50%, 08/01/2023 | | | 1,032,000 | | | | 1,027,194 | |
4.85%, 11/15/2035 | | | 200,000 | | | | 206,689 | |
7.45%, 09/15/2039 | | | 521,000 | | | | 688,386 | |
7.60%, 08/15/2096 (2) | | | 258,000 | | | | 323,556 | |
Helmerich & Payne International Drilling Co. | | | | | | | | |
4.65%, 03/15/2025 | | | 4,710,000 | | | | 4,861,776 | |
Hess Corp. | | | | | | | | |
6.00%, 01/15/2040 | | | 480,000 | | | | 494,224 | |
Husky Energy, Inc. | | | | | | | | |
6.15%, 06/15/2019 | | | 119,000 | | | | 122,344 | |
6.80%, 09/15/2037 | | | 2,100,000 | | | | 2,572,296 | |
KazMunayGas National Co. | | | | | | | | |
3.88%, 04/19/2022 (2) | | | 1,590,000 | | | | 1,562,970 | |
Kerr-McGee Co. | | | | | | | | |
6.95%, 07/01/2024 | | | 127,000 | | | | 144,386 | |
7.88%, 09/15/2031 | | | 900,000 | | | | 1,140,823 | |
Kinder Morgan Energy Partners LP | | | | | | | | |
9.00%, 02/01/2019 | | | 454,000 | | | | 469,304 | |
5.00%, 10/01/2021 | | | 4,875,000 | | | | 5,062,102 | |
| | | | | | | | |
4.30%, 05/01/2024 | | | 3,700,000 | | | | 3,690,065 | |
7.30%, 08/15/2033 | | | 1,650,000 | | | | 1,935,468 | |
6.95%, 01/15/2038 | | | 2,242,000 | | | | 2,553,783 | |
6.50%, 09/01/2039 | | | 107,000 | | | | 115,472 | |
7.50%, 11/15/2040 | | | 483,000 | | | | 571,982 | |
Kinder Morgan, Inc./DE | | | | | | | | |
4.30%, 03/01/2028 | | | 2,000,000 | | | | 1,937,630 | |
7.80%, 08/01/2031 | | | 4,600,000 | | | | 5,553,418 | |
5.20%, 03/01/2048 | | | 600,000 | | | | 579,648 | |
Magellan Midstream Partners LP | | | | | | | | |
6.55%, 07/15/2019 | | | 206,000 | | | | 213,388 | |
4.25%, 02/01/2021 | | | 502,000 | | | | 512,218 | |
3.20%, 03/15/2025 | | | 386,000 | | | | 371,843 | |
4.20%, 12/01/2042 | | | 417,000 | | | | 374,335 | |
5.15%, 10/15/2043 | | | 441,000 | | | | 460,668 | |
4.20%, 03/15/2045 | | | 5,725,000 | | | | 5,109,502 | |
4.20%, 10/03/2047 | | | 1,050,000 | | | | 955,888 | |
Marathon Oil Co. | | | | | | | | |
2.80%, 11/01/2022 | | | 700,000 | | | | 670,976 | |
Marathon Petroleum Corp. | | | | | | | | |
3.40%, 12/15/2020 | | | 2,544,000 | | | | 2,546,035 | |
3.63%, 09/15/2024 | | | 1,241,000 | | | | 1,211,497 | |
5.00%, 09/15/2054 | | | 2,088,000 | | | | 1,922,564 | |
MPLX LP | | | | | | | | |
4.88%, 12/01/2024 | | | 3,819,000 | | | | 3,935,659 | |
4.00%, 03/15/2028 | | | 622,000 | | | | 591,604 | |
4.50%, 04/15/2038 | | | 4,474,000 | | | | 4,129,684 | |
5.20%, 03/01/2047 | | | 4,060,000 | | | | 4,018,733 | |
Nexen Energy ULC | | | | | | | | |
6.40%, 05/15/2037 | | | 4,408,000 | | | | 5,395,537 | |
Noble Energy, Inc. | | | | | | | | |
6.00%, 03/01/2041 | | | 2,839,000 | | | | 3,120,482 | |
5.25%, 11/15/2043 | | | 2,675,000 | | | | 2,721,545 | |
5.05%, 11/15/2044 | | | 8,761,000 | | | | 8,748,863 | |
Occidental Petroleum Co. | | | | | | | | |
3.00%, 02/15/2027 | | | 333,000 | | | | 314,415 | |
4.63%, 06/15/2045 | | | 158,000 | | | | 165,092 | |
4.20%, 03/15/2048 | | | 500,000 | | | | 497,672 | |
| | | | | | | | |
Oleoducto Central SA | | | | | | | | |
4.00%, 05/07/2021 (2) | | | 225,000 | | | | 223,335 | |
ONEOK Partners LP | | | | | | | | |
3.20%, 09/15/2018 | | | 1,815,000 | | | | 1,816,078 | |
8.63%, 03/01/2019 | | | 353,000 | | | | 365,369 | |
3.38%, 10/01/2022 | | | 151,000 | | | | 148,765 | |
5.00%, 09/15/2023 | | | 334,000 | | | | 346,885 | |
4.90%, 03/15/2025 | | | 2,500,000 | | | | 2,580,585 | |
6.65%, 10/01/2036 | | | 1,050,000 | | | | 1,222,749 | |
6.85%, 10/15/2037 | | | 1,122,000 | | | | 1,332,303 | |
6.20%, 09/15/2043 | | | 2,500,000 | | | | 2,804,720 | |
ONEOK, Inc. | | | | | | | | |
4.55%, 07/15/2028 | | | 7,185,000 | | | | 7,245,305 | |
4.95%, 07/13/2047 | | | 1,850,000 | | | | 1,799,821 | |
Petro-Canada | | | | | | | | |
7.88%, 06/15/2026 | | | 543,000 | | | | 664,064 | |
5.95%, 05/15/2035 | | | 350,000 | | | | 404,193 | |
6.80%, 05/15/2038 | | | 423,000 | | | | 538,795 | |
Petrofac Ltd. | | | | | | | | |
3.40%, 10/10/2018 (2) | | | 5,029,000 | | | | 4,997,569 | |
Petroleos Mexicanos | | | | | | | | |
8.00%, 05/03/2019 | | | 1,689,000 | | | | 1,750,868 | |
5.50%, 01/21/2021 | | | 21,902,000 | | | | 22,547,890 | |
6.38%, 02/04/2021 | | | 448,000 | | | | 471,520 | |
4.88%, 01/24/2022 | | | 3,500,000 | | | | 3,530,800 | |
5.38%, 03/13/2022 | | | 1,130,000 | | | | 1,158,815 | |
4.63%, 09/21/2023 | | | 1,292,000 | | | | 1,273,912 | |
4.88%, 01/18/2024 | | | 363,000 | | | | 358,343 | |
6.88%, 08/04/2026 | | | 5,324,000 | | | | 5,595,524 | |
6.50%, 03/13/2027 | | | 2,684,000 | | | | 2,745,732 | |
5.35%, 02/12/2028 (2) | | | 847,000 | | | | 799,568 | |
6.63%, 06/15/2035 | | | 1,647,000 | | | | 1,609,942 | |
6.50%, 06/02/2041 | | | 2,870,000 | | | | 2,698,948 | |
6.38%, 01/23/2045 | | | 1,002,000 | | | | 922,842 | |
6.75%, 09/21/2047 | | | 8,329,000 | | | | 7,916,715 | |
6.35%, 02/12/2048 (2) | | | 4,012,000 | | | | 3,630,860 | |
Phillips 66 | | | | | | | | |
4.30%, 04/01/2022 | | | 5,736,000 | | | | 5,906,135 | |
3.90%, 03/15/2028 | | | 710,000 | | | | 692,668 | |
5.88%, 05/01/2042 | | | 3,000,000 | | | | 3,479,732 | |
4.88%, 11/15/2044 | | | 70,000 | | | | 72,254 | |
| | | | | | | | |
Phillips 66 Partners LP | | | | | | | | |
2.65%, 02/15/2020 | | | 3,650,000 | | | | 3,608,304 | |
3.61%, 02/15/2025 | | | 560,000 | | | | 533,842 | |
3.55%, 10/01/2026 | | | 190,000 | | | | 177,609 | |
4.68%, 02/15/2045 | | | 2,100,000 | | | | 1,967,010 | |
4.90%, 10/01/2046 | | | 412,000 | | | | 394,601 | |
Plains All American Pipeline LP / PAA Finance Corp. | | | | | | | | |
3.60%, 11/01/2024 | | | 1,050,000 | | | | 993,973 | |
4.65%, 10/15/2025 | | | 650,000 | | | | 647,545 | |
4.70%, 06/15/2044 | | | 4,000,000 | | | | 3,511,875 | |
4.90%, 02/15/2045 | | | 5,314,000 | | | | 4,790,006 | |
Raizen Fuels Finance SA | | | | | | | | |
5.30%, 01/20/2027 (2) | | | 900,000 | | | | 866,250 | |
Reliance Holding USA, Inc. | | | | | | | | |
5.40%, 02/14/2022 (2) | | | 1,115,000 | | | | 1,157,321 | |
Rockies Express Pipeline LLC | | | | | | | | |
5.63%, 04/15/2020 (2) | | | 215,000 | | | | 220,106 | |
Sabal Trail Transmission LLC | | | | | | | | |
4.68%, 05/01/2038 (2) | | | 10,000,000 | | | | 10,019,385 | |
Sabine Pass Liquefaction LLC | | | | | | | | |
5.88%, 06/30/2026 | | | 10,000,000 | | | | 10,721,673 | |
Schlumberger Holdings Corp. | | | | | | | | |
3.00%, 12/21/2020 (2) | | | 5,431,000 | | | | 5,398,164 | |
3.63%, 12/21/2022 (2) | | | 5,599,000 | | | | 5,597,790 | |
Schlumberger Investment SA | | | | | | | | |
3.30%, 09/14/2021 (2) | | | 2,362,000 | | | | 2,363,226 | |
Shell International Finance BV | | | | | | | | |
2.13%, 05/11/2020 | | | 699,000 | | | | 690,596 | |
4.13%, 05/11/2035 | | | 1,244,000 | | | | 1,261,069 | |
Sinopec Capital 2013 Ltd. | | | | | | | | |
3.13%, 04/24/2023 (2) | | | 2,226,000 | | | | 2,153,341 | |
Sinopec Group Overseas Development 2012 Ltd. | | | | | | | | |
3.90%, 05/17/2022 (2) | | | 600,000 | | | | 603,841 | |
Sinopec Group Overseas Development 2013 Ltd. | | | | | | | | |
4.38%, 10/17/2023 (2) | | | 475,000 | | | | 486,446 | |
Sinopec Group Overseas Development 2015 Ltd. | | | | | | | | |
2.50%, 04/28/2020 (2) | | | 9,000,000 | | | | 8,867,800 | |
| | | | | | | | |
Sinopec Group Overseas Development 2016 Ltd. | | | | | | | | |
3.50%, 05/03/2026 (2) | | | 2,000,000 | | | | 1,905,000 | |
Southern Natural Gas Co. LLC | | | | | | | | |
8.00%, 03/01/2032 | | | 446,000 | | | | 576,065 | |
4.80%, 03/15/2047 (2) | | | 428,000 | | | | 444,809 | |
Spectra Energy Partners LP | | | | | | | | |
2.95%, 09/25/2018 | | | 306,000 | | | | 306,072 | |
3.50%, 03/15/2025 | | | 787,000 | | | | 750,363 | |
5.95%, 09/25/2043 | | | 207,000 | | | | 227,326 | |
4.50%, 03/15/2045 | | | 3,000,000 | | | | 2,776,996 | |
Suncor Energy, Inc. | | | | | | | | |
5.95%, 12/01/2034 | | | 1,048,000 | | | | 1,217,907 | |
Sunoco Logistics Partners Operations LP | | | | | | | | |
5.50%, 02/15/2020 | | | 410,000 | | | | 422,300 | |
4.25%, 04/01/2024 | | | 833,000 | | | | 824,152 | |
5.95%, 12/01/2025 | | | 200,000 | | | | 212,845 | |
4.95%, 01/15/2043 | | | 1,482,000 | | | | 1,286,795 | |
5.30%, 04/01/2044 | | | 200,000 | | | | 180,920 | |
5.35%, 05/15/2045 | | | 633,000 | | | | 574,908 | |
5.40%, 10/01/2047 | | | 1,500,000 | | | | 1,375,263 | |
TC PipeLines LP | | | | | | | | |
4.38%, 03/13/2025 | | | 8,465,000 | | | | 8,368,829 | |
3.90%, 05/25/2027 | | | 5,457,000 | | | | 5,128,925 | |
Texas Eastern Transmission LP | | | | | | | | |
2.80%, 10/15/2022 (2) | | | 714,000 | | | | 682,452 | |
3.50%, 01/15/2028 (2) | | | 450,000 | | | | 423,549 | |
Total Capital International SA | | | | | | | | |
2.75%, 06/19/2021 | | | 900,000 | | | | 893,191 | |
2.70%, 01/25/2023 | | | 144,000 | | | | 140,075 | |
3.70%, 01/15/2024 | | | 350,000 | | | | 352,768 | |
3.75%, 04/10/2024 | | | 229,000 | | | | 230,762 | |
TransCanada PipeLines Ltd. | | | | | | | | |
6.50%, 08/15/2018 | | | 196,000 | | | | 196,926 | |
7.13%, 01/15/2019 | | | 273,000 | | | | 279,317 | |
4.88%, 01/15/2026 | | | 792,000 | | | | 827,987 | |
6.20%, 10/15/2037 | | | 573,000 | | | | 654,680 | |
4.75%, 05/15/2038 | | | 1,000,000 | | | | 998,963 | |
7.25%, 08/15/2038 | | | 217,000 | | | | 274,256 | |
Valero Energy Corp. | | | | | | | | |
7.50%, 04/15/2032 | | | 250,000 | | | | 319,620 | |
6.63%, 06/15/2037 | | | 5,000,000 | | | | 5,975,155 | |
| | | | | | | | |
Western Gas Partners LP | | | | | | | | |
4.50%, 03/01/2028 | | | 238,000 | | | | 228,952 | |
5.45%, 04/01/2044 | | | 977,000 | | | | 920,551 | |
5.30%, 03/01/2048 | | | 2,680,000 | | | | 2,460,852 | |
Williams Cos, Inc./The | | | | | | | | |
5.75%, 06/24/2044 | | | 2,500,000 | | | | 2,584,375 | |
Williams Partners LP | | | | | | | | |
4.30%, 03/04/2024 | | | 2,500,000 | | | | 2,508,019 | |
3.90%, 01/15/2025 | | | 700,000 | | | | 682,671 | |
3.75%, 06/15/2027 | | | 12,853,000 | | | | 12,131,590 | |
6.30%, 04/15/2040 | | | 1,392,000 | | | | 1,553,581 | |
5.40%, 03/04/2044 | | | 2,750,000 | | | | 2,831,621 | |
4.90%, 01/15/2045 | | | 7,000,000 | | | | 6,682,097 | |
4.85%, 03/01/2048 | | | 3,890,000 | | | | 3,703,137 | |
Woodside Finance Ltd. | | | | | | | | |
3.65%, 03/05/2025 (2) | | | 3,300,000 | | | | 3,215,028 | |
| | | | | | | | |
| | | | | | | 524,077,695 | |
| | | | | | | | |
Financials - 12.27% | | | | | | | | |
ABN AMRO Bank NV | | | | | | | | |
2.50%, 10/30/2018 (2) | | | 1,492,000 | | | | 1,491,676 | |
2.45%, 06/04/2020 (2) | | | 3,594,000 | | | | 3,535,766 | |
2.65%, 01/19/2021 (2) | | | 1,000,000 | | | | 982,039 | |
4.75%, 07/28/2025 (2) | | | 6,031,000 | | | | 5,996,141 | |
ACE INA Holdings, Inc. | | | | | | | | |
2.88%, 11/03/2022 | | | 312,000 | | | | 306,456 | |
2.70%, 03/13/2023 | | | 300,000 | | | | 290,297 | |
3.15%, 03/15/2025 | | | 3,409,000 | | | | 3,301,441 | |
3.35%, 05/03/2026 | | | 250,000 | | | | 242,455 | |
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | | | | | | | | |
4.50%, 05/15/2021 | | | 6,871,000 | | | | 7,006,275 | |
3.30%, 01/23/2023 | | | 701,000 | | | | 673,572 | |
3.50%, 01/15/2025 | | | 1,500,000 | | | | 1,406,879 | |
AIA Group Ltd. | | | | | | | | |
2.25%, 03/11/2019 (2) | | | 1,270,000 | | | | 1,261,569 | |
3.20%, 03/11/2025 (2) | | | 9,545,000 | | | | 9,163,934 | |
3.90%, 04/06/2028 (2) | | | 1,000,000 | | | | 997,030 | |
AIG Global Funding | | | | | | | | |
1.95%, 10/18/2019 (2) | | | 6,666,000 | | | | 6,576,536 | |
| | | | | | | | |
AIG SunAmerica Global Financing X | | | | | | | | |
6.90%, 03/15/2032 (2) | | | 955,000 | | | | 1,232,258 | |
Air Lease Corp. | | | | | | | | |
3.25%, 03/01/2025 | | | 710,000 | | | | 656,954 | |
Alexandria Real Estate Equities, Inc. | | | | | | | | |
4.70%, 07/01/2030 | | | 7,033,000 | | | | 7,074,361 | |
Allstate Co./The | | | | | | | | |
3.15%, 06/15/2023 | | | 420,000 | | | | 415,672 | |
Ally Financial, Inc. | | | | | | | | |
8.00%, 12/31/2018 | | | 43,000 | | | | 43,806 | |
3.50%, 01/27/2019 | | | 1,000,000 | | | | 998,750 | |
American Express Corp. | | | | | | | | |
3.40%, 02/27/2023 | | | 500,000 | | | | 494,568 | |
American Express Credit Corp. | | | | | | | | |
1.80%, 07/31/2018 | | | 456,000 | | | | 455,796 | |
1.88%, 11/05/2018 | | | 831,000 | | | | 829,200 | |
2.13%, 03/18/2019 | | | 318,000 | | | | 316,838 | |
2.25%, 08/15/2019 | | | 250,000 | | | | 248,643 | |
2.38%, 05/26/2020 | | | 894,000 | | | | 880,991 | |
2.60%, 09/14/2020 | | | 319,000 | | | | 315,349 | |
2.25%, 05/05/2021 | | | 380,000 | | | | 369,230 | |
2.70%, 03/03/2022 | | | 1,250,000 | | | | 1,222,732 | |
American International Group, Inc. | | | | | | | | |
6.40%, 12/15/2020 | | | 5,100,000 | | | | 5,469,291 | |
4.88%, 06/01/2022 | | | 3,500,000 | | | | 3,665,010 | |
4.13%, 02/15/2024 | | | 879,000 | | | | 882,710 | |
3.75%, 07/10/2025 | | | 444,000 | | | | 428,536 | |
3.90%, 04/01/2026 | | | 1,370,000 | | | | 1,324,497 | |
3.88%, 01/15/2035 | | | 376,000 | | | | 333,867 | |
4.50%, 07/16/2044 | | | 4,949,000 | | | | 4,603,338 | |
8.18% (3 Month LIBOR USD + 4.20%), 05/15/2058 (1) | | | 107,000 | | | | 134,820 | |
American Tower Corp. | | | | | | | | |
2.25%, 01/15/2022 | | | 600,000 | | | | 573,474 | |
American Tower Trust #1 | | | | | | | | |
3.07%, 03/15/2023 (2) | | | 2,900,000 | | | | 2,844,807 | |
Ameriprise Financial, Inc. | | | | | | | | |
7.30%, 06/28/2019 | | | 215,000 | | | | 223,996 | |
2.88%, 09/15/2026 | | | 1,015,000 | | | | 946,861 | |
| | | | | | | | |
AmSouth BanCorp. | | | | | | | | |
6.75%, 11/01/2025 | | | 527,000 | | | | 598,290 | |
ANZ New Zealand Int’l Ltd./London | | | | | | | | |
2.60%, 09/23/2019 (2) | | | 5,787,000 | | | | 5,756,498 | |
2.85%, 08/06/2020 (2) | | | 250,000 | | | | 247,656 | |
3.45%, 01/21/2028 (2) | | | 500,000 | | | | 478,147 | |
Aon Plc | | | | | | | | |
4.00%, 11/27/2023 | | | 5,000,000 | | | | 5,058,341 | |
3.50%, 06/14/2024 | | | 815,000 | | | | 792,453 | |
6.25%, 09/30/2040 | | | 172,000 | | | | 206,171 | |
Assurant, Inc. | | | | | | | | |
4.20%, 09/27/2023 | | | 1,210,000 | | | | 1,208,806 | |
Athene Global Funding | | | | | | | | |
2.75%, 04/20/2020 (2) | | | 1,407,000 | | | | 1,389,877 | |
4.00%, 01/25/2022 (2) | | | 1,104,000 | | | | 1,111,632 | |
Athene Holding Ltd. | | | | | | | | |
4.13%, 01/12/2028 | | | 1,380,000 | | | | 1,272,089 | |
Australia & New Zealand Banking Group Ltd. | | | | | | | | |
2.25%, 12/19/2019 (2) | | | 800,000 | | | | 791,622 | |
4.88%, 01/12/2021 (2) | | | 296,000 | | | | 306,530 | |
4.50%, 03/19/2024 (2) | | | 9,000,000 | | | | 8,987,548 | |
4.40%, 05/19/2026 (2) | | | 226,000 | | | | 221,474 | |
AvalonBay Communities, Inc. | | | | | | | | |
2.85%, 03/15/2023 | | | 600,000 | | | | 580,430 | |
2.90%, 10/15/2026 | | | 220,000 | | | | 203,859 | |
3.20%, 01/15/2028 | | | 500,000 | | | | 471,395 | |
3.90%, 10/15/2046 | | | 214,000 | | | | 198,564 | |
AXIS Specialty Finance Plc | | | | | | | | |
2.65%, 04/01/2019 | | | 2,890,000 | | | | 2,882,490 | |
Banco del Estado de Chile | | | | | | | | |
2.67%, 01/08/2021 (2) | | | 9,493,000 | | | | 9,231,942 | |
Banco Santander SA | | | | | | | | |
3.50%, 04/11/2022 | | | 6,400,000 | | | | 6,241,111 | |
3.13%, 02/23/2023 | | | 2,200,000 | | | | 2,086,919 | |
3.46% (3 Month LIBOR USD + 1.12%), 04/12/2023 (1) | | | 1,000,000 | | | | 998,773 | |
3.85%, 04/12/2023 | | | 1,000,000 | | | | 977,668 | |
5.18%, 11/19/2025 | | | 1,500,000 | | | | 1,511,016 | |
4.38%, 04/12/2028 | | | 800,000 | | | | 764,601 | |
Bank Nederlandse Gemeenten NV | | | | | �� | | | |
2.63%, 04/28/2021 (2) | | | 6,350,000 | | | | 6,303,365 | |
| | | | | | | | |
Bank of America Corp. | | | | | | | | |
2.60%, 01/15/2019 | | | 142,000 | | | | 141,911 | |
2.65%, 04/01/2019 | | | 710,000 | | | | 709,250 | |
2.25%, 04/21/2020 | | | 1,901,000 | | | | 1,874,849 | |
2.63%, 10/19/2020 | | | 385,000 | | | | 380,190 | |
2.63%, 04/19/2021 | | | 6,205,000 | | | | 6,095,202 | |
2.37% (3 Month LIBOR USD + 0.66%), 07/21/2021 (1) | | | 2,500,000 | | | | 2,450,627 | |
3.50% (3 Month LIBOR USD + 0.63%), 05/17/2022 (1) | | | 22,576,000 | | | | 22,562,569 | |
2.50%, 10/21/2022 | | | 931,000 | | | | 891,077 | |
3.30%, 01/11/2023 | | | 5,233,000 | | | | 5,154,583 | |
3.12% (3 Month LIBOR USD + 1.16%), 01/20/2023 (1) | | | 951,000 | | | | 934,708 | |
2.88% (3 Month LIBOR USD + 1.02%), 04/24/2023 (1) | | | 1,640,000 | | | | 1,594,556 | |
4.10%, 07/24/2023 | | | 217,000 | | | | 220,650 | |
3.00% (3 Month LIBOR USD + 0.79%), 12/20/2023 (1) | | | 16,487,000 | | | | 15,986,958 | |
3.55% (3 Month LIBOR USD + 0.78%), 03/05/2024 (1) | | | 1,600,000 | | | | 1,583,100 | |
4.00%, 04/01/2024 | | | 2,390,000 | | | | 2,409,994 | |
4.20%, 08/26/2024 | | | 1,750,000 | | | | 1,758,407 | |
4.00%, 01/22/2025 | | | 24,258,000 | | | | 23,936,443 | |
3.95%, 04/21/2025 | | | 5,201,000 | | | | 5,092,012 | |
3.09% (3 Month LIBOR USD + 1.09%), 10/01/2025 (1) | | | 5,055,000 | | | | 4,812,672 | |
3.37% (3 Month LIBOR USD + 0.81%), 01/23/2026 (1) | | | 1,500,000 | | | | 1,442,913 | |
4.45%, 03/03/2026 | | | 7,140,000 | | | | 7,155,287 | |
4.25%, 10/22/2026 | | | 544,000 | | | | 537,374 | |
3.25%, 10/21/2027 | | | 5,800,000 | | | | 5,403,288 | |
3.82% (3 Month LIBOR USD + 1.58%), 01/20/2028 (1) | | | 6,750,000 | | | | 6,581,881 | |
3.71% (3 Month LIBOR USD + 1.51%), 04/24/2028 (1) | | | 4,500,000 | | | | 4,338,327 | |
3.59% (3 Month LIBOR USD + 1.37%), 07/21/2028 (1) | | | 7,800,000 | | | | 7,444,102 | |
3.42% (3 Month LIBOR USD + 1.04%), 12/20/2028 (1) | | | 700,000 | | | | 658,909 | |
3.97% (3 Month LIBOR USD + 1.07%), 03/05/2029 (1) | | | 3,900,000 | | | | 3,836,976 | |
6.11%, 01/29/2037 | | | 3,580,000 | | | | 4,109,865 | |
7.75%, 05/14/2038 | | | 137,000 | | | | 185,530 | |
4.44% (3 Month LIBOR USD + 1.99%), 01/20/2048 (1) | | | 750,000 | | | | 731,617 | |
Bank of Montreal | | | | | | | | |
2.38%, 01/25/2019 | | | 215,000 | | | | 214,730 | |
1.50%, 07/18/2019 | | | 522,000 | | | | 514,816 | |
2.80% (3 Month LIBOR USD + 0.46%), 04/13/2021 (1) | | | 2,400,000 | | | | 2,404,464 | |
3.10%, 04/13/2021 | | | 2,545,000 | | | | 2,536,398 | |
2.35%, 09/11/2022 | | | 1,378,000 | | | | 1,317,235 | |
3.80% (5 Year Swap Rate USD + 1.43%), 12/15/2032 (1) | | | 6,500,000 | | | | 6,021,015 | |
| | | | | | | | |
Bank of New York Mellon Corp. | | | | | | | | |
4.60%, 01/15/2020 | | | 387,000 | | | | 396,461 | |
2.60%, 08/17/2020 | | | 663,000 | | | | 656,577 | |
2.45%, 11/27/2020 | | | 247,000 | | | | 242,962 | |
2.50%, 04/15/2021 | | | 215,000 | | | | 211,028 | |
2.60%, 02/07/2022 | | | 700,000 | | | | 685,421 | |
2.95%, 01/29/2023 | | | 1,000,000 | | | | 977,768 | |
3.50%, 04/28/2023 | | | 16,808,000 | | | | 16,809,663 | |
2.66% (3 Month LIBOR USD + 0.63%), 05/16/2023 (1) | | | 355,000 | | | | 344,399 | |
3.25%, 09/11/2024 | | | 650,000 | | | | 637,865 | |
3.00%, 02/24/2025 | | | 5,360,000 | | | | 5,147,888 | |
2.80%, 05/04/2026 | | | 305,000 | | | | 286,735 | |
Bank of Nova Scotia | | | | | | | | |
1.85%, 04/14/2020 | | | 1,900,000 | | | | 1,865,759 | |
2.50%, 01/08/2021 | | | 14,231,000 | | | | 13,979,396 | |
1.88%, 09/20/2021 (2) | | | 400,000 | | | | 384,463 | |
2.70%, 03/07/2022 | | | 800,000 | | | | 781,923 | |
2.45%, 09/19/2022 | | | 5,000,000 | | | | 4,811,512 | |
BanPonce Trust I | | | | | | | | |
8.33%, 02/01/2027 | | | 234,000 | | | | 233,884 | |
Banque Federative du Credit Mutuel SA | | | | | | | | |
2.00%, 04/12/2019 (2) | | | 5,350,000 | | | | 5,309,665 | |
Barclays Plc | | | | | | | | |
3.68%, 01/10/2023 | | | 15,364,000 | | | | 14,936,166 | |
4.34% (3 Month LIBOR USD + 1.36%), 05/16/2024 (1) | | | 9,557,000 | | | | 9,435,698 | |
3.65%, 03/16/2025 | | | 2,522,000 | | | | 2,362,186 | |
4.38%, 01/12/2026 | | | 6,174,000 | | | | 5,996,590 | |
5.20%, 05/12/2026 | | | 500,000 | | | | 491,180 | |
4.34%, 01/10/2028 | | | 2,360,000 | | | | 2,240,622 | |
4.97% (3 Month LIBOR USD + 1.90%), 05/16/2029 (1) | | | 4,528,000 | | | | 4,484,227 | |
BB&T Corp. | | | | | | | | |
6.85%, 04/30/2019 | | | 170,000 | | | | 175,791 | |
5.25%, 11/01/2019 | | | 284,000 | | | | 291,786 | |
2.63%, 06/29/2020 | | | 1,100,000 | | | | 1,090,397 | |
3.20%, 09/03/2021 | | | 14,988,000 | | | | 14,939,384 | |
2.85%, 10/26/2024 | | | 1,000,000 | | | | 948,429 | |
3.70%, 06/05/2025 | | | 11,420,000 | | | | 11,359,532 | |
Berkshire Hathaway Finance Corp. | | | | | | | | |
5.75%, 01/15/2040 | | | 134,000 | | | | 159,862 | |
4.40%, 05/15/2042 | | | 1,524,000 | | | | 1,556,132 | |
4.30%, 05/15/2043 | | | 322,000 | | | | 324,114 | |
| | | | | | | | |
Berkshire Hathaway, Inc. | | | | | | | | |
3.75%, 08/15/2021 | | | 605,000 | | | | 621,625 | |
3.00%, 02/11/2023 | | | 268,000 | | | | 265,753 | |
3.13%, 03/15/2026 | | | 8,130,000 | | | | 7,830,621 | |
BlackRock, Inc. | | | | | | | | |
5.00%, 12/10/2019 | | | 484,000 | | | | 499,244 | |
4.25%, 05/24/2021 | | | 475,000 | | | | 490,605 | |
3.50%, 03/18/2024 | | | 405,000 | | | | 407,514 | |
Blackstone Holdings Finance Co. LLC | | | | | | | | |
5.88%, 03/15/2021 (2) | | | 1,445,000 | | | | 1,536,036 | |
4.45%, 07/15/2045 (2) | | | 170,000 | | | | 163,344 | |
BNP Paribas SA | | | | | | | | |
3.25%, 03/03/2023 | | | 1,820,000 | | | | 1,799,905 | |
3.80%, 01/10/2024 (2) | | | 1,600,000 | | | | 1,563,428 | |
3.38%, 01/09/2025 (2) | | | 10,725,000 | | | | 10,129,901 | |
4.63%, 03/13/2027 (2) | | | 830,000 | | | | 814,379 | |
BNZ International Funding Ltd./London | | | | | | | | |
2.10%, 09/14/2021 (2) | | | 400,000 | | | | 382,337 | |
2.65%, 11/03/2022 (2) | | | 10,091,000 | | | | 9,662,293 | |
3.38%, 03/01/2023 (2) | | | 6,000,000 | | | | 5,883,999 | |
BOC Aviation Ltd. | | | | | | | | |
2.75%, 09/18/2022 (2) | | | 780,000 | | | | 741,399 | |
Boston Properties LP | | | | | | | | |
3.13%, 09/01/2023 | | | 300,000 | | | | 291,656 | |
3.20%, 01/15/2025 | | | 1,139,000 | | | | 1,083,895 | |
3.65%, 02/01/2026 | | | 557,000 | | | | 537,051 | |
2.75%, 10/01/2026 | | | 480,000 | | | | 432,609 | |
BPCE SA | | | | | | | | |
2.50%, 12/10/2018 | | | 2,500,000 | | | | 2,498,621 | |
2.50%, 07/15/2019 | | | 1,300,000 | | | | 1,291,566 | |
2.75%, 01/11/2023 (2) | | | 1,000,000 | | | | 955,224 | |
5.70%, 10/22/2023 (2) | | | 3,645,000 | | | | 3,806,561 | |
4.63%, 07/11/2024 (2) | | | 1,300,000 | | | | 1,283,114 | |
5.15%, 07/21/2024 (2) | | | 4,800,000 | | | | 4,864,851 | |
3.38%, 12/02/2026 | | | 500,000 | | | | 472,433 | |
3.25%, 01/11/2028 (2) | | | 7,815,000 | | | | 7,262,529 | |
| | | | | | | | |
Branch Banking & Trust Co. | | | | | | | | |
1.45%, 05/10/2019 | | | 7,584,000 | | | | 7,501,746 | |
Brighthouse Financial, Inc. | | | | | | | | |
3.70%, 06/22/2027 | | | 2,400,000 | | | | 2,135,877 | |
Brixmor Operating Partnership LP | | | | | | | | |
3.85%, 02/01/2025 | | | 1,100,000 | | | | 1,060,638 | |
Brookfield Finance, Inc. | | | | | | | | |
3.90%, 01/25/2028 | | | 770,000 | | | | 727,651 | |
4.70%, 09/20/2047 | | | 769,000 | | | | 727,151 | |
Canadian Imperial Bank of Commerce | | | | | | | | |
1.60%, 09/06/2019 | | | 1,500,000 | | | | 1,477,895 | |
2.55%, 06/16/2022 | | | 800,000 | | | | 773,526 | |
Capital One Bank USA NA | | | | | | | | |
2.15%, 11/21/2018 | | | 5,000,000 | | | | 4,991,205 | |
3.38%, 02/15/2023 | | | 6,000,000 | | | | 5,842,475 | |
Capital One Financial Corp. | | | | | | | | |
2.45%, 04/24/2019 | | | 353,000 | | | | 351,976 | |
2.50%, 05/12/2020 | | | 13,612,000 | | | | 13,418,456 | |
3.45%, 04/30/2021 | | | 9,525,000 | | | | 9,502,326 | |
3.20%, 01/30/2023 | | | 5,000,000 | | | | 4,854,052 | |
3.75%, 04/24/2024 | | | 824,000 | | | | 807,890 | |
3.20%, 02/05/2025 | | | 726,000 | | | | 681,355 | |
4.20%, 10/29/2025 | | | 400,000 | | | | 388,344 | |
3.75%, 07/28/2026 | | | 960,000 | | | | 891,718 | |
Capital One NA | | | | | | | | |
2.40%, 09/05/2019 | | | 500,000 | | | | 495,635 | |
2.95%, 07/23/2021 | | | 4,120,000 | | | | 4,046,195 | |
2.25%, 09/13/2021 | | | 7,005,000 | | | | 6,713,287 | |
Carlyle Investment Management LLC | | | | | | | | |
3.72%, 07/15/2019 (12) | | | 111,355 | | | | 100,220 | |
CDP Financial, Inc. | | | | | | | | |
4.40%, 11/25/2019 (2) | | | 310,000 | | | | 316,989 | |
Charles Schwab Co. | | | | | | | | |
3.23%, 09/01/2022 | | | 165,000 | | | | 163,716 | |
3.20%, 03/02/2027 | | | 1,700,000 | | | | 1,622,275 | |
Citibank NA | | | | | | | | |
3.05%, 05/01/2020 | | | 21,800,000 | | | | 21,791,238 | |
2.13%, 10/20/2020 | | | 9,253,000 | | | | 9,026,168 | |
| | | | | | | | |
Citigroup, Inc. | | | | | | | | |
2.15%, 07/30/2018 | | | 658,000 | | | | 657,857 | |
2.40%, 02/18/2020 | | | 2,500,000 | | | | 2,468,046 | |
2.35%, 08/02/2021 | | | 269,000 | | | | 259,822 | |
2.75%, 04/25/2022 | | | 17,920,000 | | | | 17,340,853 | |
3.14% (3 Month LIBOR USD + 0.72%), 01/24/2023 (1) | | | 1,111,000 | | | | 1,088,153 | |
2.88% (3 Month LIBOR USD + 0.95%), 07/24/2023 (1) | | | 17,829,000 | | | | 17,187,223 | |
3.75%, 06/16/2024 | | | 4,000,000 | | | | 3,951,592 | |
4.40%, 06/10/2025 | | | 11,687,000 | | | | 11,619,709 | |
5.50%, 09/13/2025 | | | 494,000 | | | | 524,323 | |
3.70%, 01/12/2026 | | | 10,750,000 | | | | 10,416,050 | |
3.40%, 05/01/2026 | | | 1,000,000 | | | | 948,761 | |
3.20%, 10/21/2026 | | | 905,000 | | | | 842,064 | |
4.30%, 11/20/2026 | | | 1,570,000 | | | | 1,531,459 | |
4.45%, 09/29/2027 | | | 13,120,000 | | | | 12,908,375 | |
3.89% (3 Month LIBOR USD + 1.56%), 01/10/2028 (1) | | | 4,100,000 | | | | 3,971,279 | |
6.63%, 01/15/2028 | | | 387,000 | | | | 450,942 | |
3.67% (3 Month LIBOR USD + 1.39%), 07/24/2028 (1) | | | 3,300,000 | | | | 3,137,286 | |
4.13%, 07/25/2028 | | | 213,000 | | | | 203,841 | |
3.52% (3 Month LIBOR USD + 1.15%), 10/27/2028 (1) | | | 7,000,000 | | | | 6,574,200 | |
3.88% (3 Month LIBOR USD + 1.17%), 01/24/2039 (1) | | | 500,000 | | | | 455,840 | |
8.13%, 07/15/2039 | | | 164,000 | | | | 230,547 | |
5.88%, 01/30/2042 | | | 212,000 | | | | 244,707 | |
4.75%, 05/18/2046 | | | 1,200,000 | | | | 1,140,221 | |
Citizens Bank NA/Providence RI | | | | | | | | |
2.45%, 12/04/2019 | | | 8,000,000 | | | | 7,925,271 | |
3.70%, 03/29/2023 | | | 1,370,000 | | | | 1,366,424 | |
Citizens Financial Group, Inc. | | | | | | | | |
2.38%, 07/28/2021 | | | 188,000 | | | | 181,768 | |
4.30%, 12/03/2025 | | | 343,000 | | | | 340,688 | |
CME Group, Inc. | | | | | | | | |
3.00%, 09/15/2022 | | | 1,135,000 | | | | 1,122,591 | |
3.00%, 03/15/2025 | | | 838,000 | | | | 808,475 | |
5.30%, 09/15/2043 | | | 115,000 | | | | 134,939 | |
CNA Financial Co. | | | | | | | | |
7.25%, 11/15/2023 | | | 7,470,000 | | | | 8,542,461 | |
3.95%, 05/15/2024 | | | 303,000 | | | | 302,829 | |
3.45%, 08/15/2027 | | | 820,000 | | | | 759,392 | |
Comerica Bank | | | | | | | | |
2.50%, 06/02/2020 | | | 8,000,000 | | | | 7,895,736 | |
| | | | | | | | |
Commonwealth Bank of Australia | | | | | | | | |
2.00%, 09/06/2021 (2) | | | 450,000 | | | | 429,488 | |
2.50%, 09/18/2022 (2) | | | 800,000 | | | | 766,428 | |
3.45%, 03/16/2023 (2) | | | 1,300,000 | | | | 1,286,065 | |
4.50%, 12/09/2025 (2) | | | 778,000 | | | | 771,885 | |
3.90%, 03/16/2028 (2) | | | 1,300,000 | | | | 1,285,616 | |
Commonwealth Bank of Australia/New York NY | | | | | | | | |
2.30%, 09/06/2019 | | | 1,000,000 | | | | 992,662 | |
Compass Bank | | | | | | | | |
2.75%, 09/29/2019 | | | 5,000,000 | | | | 4,972,450 | |
3.88%, 04/10/2025 | | | 7,840,000 | | | | 7,558,981 | |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands | | | | | | | | |
3.88%, 02/08/2022 | | | 5,323,000 | | | | 5,394,783 | |
4.38%, 08/04/2025 | | | 316,000 | | | | 309,723 | |
5.80%, 09/30/2110 (2) | | | 361,000 | | | | 425,226 | |
Cooperatieve Rabobank UA | | | | | | | | |
4.63%, 12/01/2023 | | | 3,900,000 | | | | 3,926,929 | |
CPPIB Capital, Inc. | | | | | | | | |
2.75%, 11/02/2027 (2) | | | 3,000,000 | | | | 2,883,323 | |
Credit Agricole SA | | | | | | | | |
3.25%, 10/04/2024 (2) | | | 7,127,000 | | | | 6,708,574 | |
4.38%, 03/17/2025 (2) | | | 305,000 | | | | 294,239 | |
4.00% (5 Year Swap Rate USD + 1.64%), 01/10/2033 (1)(2) | | | 5,000,000 | | | | 4,562,276 | |
Credit Agricole SA/London | | | | | | | | |
3.75%, 04/24/2023 (2) | | | 575,000 | | | | 563,167 | |
4.13%, 01/10/2027 (2) | | | 1,099,000 | | | | 1,062,867 | |
Credit Suisse Group AG | | | | | | | | |
3.57%, 01/09/2023 (2) | | | 3,216,000 | | | | 3,149,175 | |
4.28%, 01/09/2028 (2) | | | 3,973,000 | | | | 3,862,606 | |
3.87% (3 Month LIBOR USD + 1.41%), 01/12/2029 (1)(2) | | | 2,499,000 | | | | 2,348,958 | |
Credit Suisse Group Funding Guernsey Ltd. | | | | | | | | |
2.75%, 03/26/2020 | | | 541,000 | | | | 535,179 | |
3.80%, 06/09/2023 | | | 8,500,000 | | | | 8,389,838 | |
3.75%, 03/26/2025 | | | 1,900,000 | | | | 1,826,824 | |
4.55%, 04/17/2026 | | | 1,500,000 | | | | 1,499,393 | |
Credit Suisse/New York NY | | | | | | | | |
2.30%, 05/28/2019 | | | 413,000 | | | | 411,018 | |
5.30%, 08/13/2019 | | | 169,000 | | | | 173,179 | |
3.00%, 10/29/2021 | | | 1,265,000 | | | | 1,247,966 | |
3.63%, 09/09/2024 | | | 560,000 | | | | 551,788 | |
| | | | | | | | |
Crown Castle International Corp. | | | | | | | | |
4.88%, 04/15/2022 | | | 1,112,000 | | | | 1,146,073 | |
5.25%, 01/15/2023 | | | 400,000 | | | | 419,006 | |
4.00%, 03/01/2027 | | | 261,000 | | | | 251,164 | |
Dai-ichi Life Insurance Co. Ltd./The | | | | | | | | |
4.00% (3 Month LIBOR USD + 3.66%), 12/29/2049 (1)(2) | | | 1,179,000 | | | | 1,099,417 | |
Daiwa Securities Group, Inc. | | | | | | | | |
3.13%, 04/19/2022 (2) | | | 854,000 | | | | 836,258 | |
Danske Bank A/S | | | | | | | | |
2.00%, 09/08/2021 (2) | | | 558,000 | | | | 532,803 | |
2.70%, 03/02/2022 (2) | | | 542,000 | | | | 525,743 | |
DDR Corp. | | | | | | | | |
4.70%, 06/01/2027 | | | 368,000 | | | | 370,483 | |
Deutsche Bank AG | | | | | | | | |
4.50%, 04/01/2025 | | | 300,000 | | | | 273,537 | |
Deutsche Bank AG/London | | | | | | | | |
2.50%, 02/13/2019 | | | 6,000,000 | | | | 5,958,391 | |
3.70%, 05/30/2024 | | | 2,063,000 | | | | 1,914,299 | |
Deutsche Bank AG/New York NY | | | | | | | | |
3.15%, 01/22/2021 | | | 5,000,000 | | | | 4,836,938 | |
4.25%, 10/14/2021 | | | 4,165,000 | | | | 4,100,523 | |
3.30%, 11/16/2022 | | | 3,000,000 | | | | 2,809,751 | |
4.10%, 01/13/2026 | | | 850,000 | | | | 789,460 | |
Development Bank of Japan, Inc. | | | | | | | | |
2.13%, 09/01/2022 (2) | | | 1,200,000 | | | | 1,151,922 | |
Dexia Credit Local SA | | | | | | | | |
1.88%, 09/15/2021 (2) | | | 2,750,000 | | | | 2,649,884 | |
Digital Realty Trust LP | | | | | | | | |
3.70%, 08/15/2027 | | | 462,000 | | | | 438,883 | |
Discover Bank | | | | | | | | |
3.10%, 06/04/2020 | | | 8,000,000 | | | | 7,958,570 | |
3.35%, 02/06/2023 | | | 4,000,000 | | | | 3,896,728 | |
4.20%, 08/08/2023 | | | 7,156,000 | | | | 7,218,054 | |
3.45%, 07/27/2026 | | | 1,951,000 | | | | 1,809,670 | |
Discover Financial Services | | | | | | | | |
3.75%, 03/04/2025 | | | 2,920,000 | | | | 2,787,342 | |
Duke Realty LP | | | | | | | | |
3.63%, 04/15/2023 | | | 7,744,000 | | | | 7,674,872 | |
3.25%, 06/30/2026 | | | 203,000 | | | | 190,331 | |
| | | | | | | | |
EPR Properties | | | | | | | | |
4.50%, 06/01/2027 | | | 807,000 | | | | 770,470 | |
4.95%, 04/15/2028 | | | 665,000 | | | | 650,362 | |
Equity Commonwealth | | | | | | | | |
5.88%, 09/15/2020 | | | 1,948,000 | | | | 2,011,640 | |
ERP Operating LP | | | | | | | | |
2.38%, 07/01/2019 | | | 646,000 | | | | 642,204 | |
4.63%, 12/15/2021 | | | 260,000 | | | | 269,480 | |
3.00%, 04/15/2023 | | | 200,000 | | | | 195,107 | |
2.85%, 11/01/2026 | | | 542,000 | | | | 502,840 | |
3.50%, 03/01/2028 | | | 614,000 | | | | 592,491 | |
Essex Portfolio LP | | | | | | | | |
4.50%, 03/15/2048 | | | 265,000 | | | | 256,207 | |
Fifth Third Bancorp | | | | | | | | |
2.88%, 07/27/2020 | | | 2,000,000 | | | | 1,988,383 | |
3.95%, 03/14/2028 | | | 1,000,000 | | | | 986,012 | |
Fifth Third Bank/Cincinnati OH | | | | | | | | |
2.38%, 04/25/2019 | | | 1,100,000 | | | | 1,095,668 | |
First Tennessee Bank NA | | | | | | | | |
2.95%, 12/01/2019 | | | 5,000,000 | | | | 4,976,746 | |
FMR LLC | | | | | | | | |
4.95%, 02/01/2033 (2) | | | 250,000 | | | | 269,977 | |
6.45%, 11/15/2039 (2) | | | 258,000 | | | | 318,876 | |
GE Capital International Funding Co. | | | | | | | | |
4.42%, 11/15/2035 | | | 8,957,000 | | | | 8,671,999 | |
GE Capital International Funding Co. Unlimited Co. | | | | | | | | |
2.34%, 11/15/2020 | | | 11,961,000 | | | | 11,685,481 | |
GE Capital International Funding Unlimited Co. | | | | | | | | |
3.37%, 11/15/2025 | | | 554,000 | | | | 532,151 | |
General Electric Capital Co. | | | | | | | | |
2.20%, 01/09/2020 | | | 161,000 | | | | 159,068 | |
Goldman Sachs Capital I | | | | | | | | |
6.35%, 02/15/2034 | | | 127,000 | | | | 144,791 | |
Goldman Sachs Group, Inc. | | | | | | | | |
7.50%, 02/15/2019 | | | 236,000 | | | | 242,521 | |
2.55%, 10/23/2019 | | | 1,000,000 | | | | 993,847 | |
5.38%, 03/15/2020 | | | 2,985,000 | | | | 3,090,207 | |
2.75%, 09/15/2020 | | | 808,000 | | | | 797,879 | |
2.35%, 11/15/2021 | | | 4,192,000 | | | | 4,031,052 | |
| | | | | | | | |
5.75%, 01/24/2022 | | | 17,000,000 | | | | 18,185,778 | |
3.00%, 04/26/2022 | | | 1,653,000 | | | | 1,615,859 | |
2.88% (3 Month LIBOR USD + 0.82%), 10/31/2022 (1) | | | 4,563,000 | | | | 4,454,629 | |
2.91% (3 Month LIBOR USD + 1.05%), 06/05/2023 (1) | | | 3,076,000 | | | | 2,966,348 | |
2.91% (3 Month LIBOR USD + 0.99%), 07/24/2023 (1) | | | 8,773,000 | | | | 8,447,432 | |
3.50%, 01/23/2025 | | | 6,509,000 | | | | 6,283,788 | |
3.75%, 05/22/2025 | | | 1,305,000 | | | | 1,273,632 | |
3.27% (3 Month LIBOR USD + 1.20%), 09/29/2025 (1) | | | 5,590,000 | | | | 5,310,571 | |
3.75%, 02/25/2026 | | | 9,005,000 | | | | 8,722,060 | |
3.50%, 11/16/2026 | | | 1,700,000 | | | | 1,601,191 | |
3.85%, 01/26/2027 | | | 2,975,000 | | | | 2,858,248 | |
3.69% (3 Month LIBOR USD + 1.51%), 06/05/2028 (1) | | | 3,488,000 | | | | 3,305,324 | |
3.81% (3 Month LIBOR USD + 1.16%), 04/23/2029 (1) | | | 4,246,000 | | | | 4,033,684 | |
4.22% (3 Month LIBOR USD + 1.30%), 05/01/2029 (1) | | | 15,281,000 | | | | 15,048,353 | |
6.75%, 10/01/2037 | | | 4,773,000 | | | | 5,669,790 | |
4.41% (3 Month LIBOR USD + 1.43%), 04/23/2039 (1) | | | 4,669,000 | | | | 4,474,436 | |
5.15%, 05/22/2045 | | | 4,000,000 | | | | 3,977,911 | |
4.75%, 10/21/2045 | | | 2,556,000 | | | | 2,528,213 | |
Goodman Australia Industrial Fund Bond Issuer Pty Ltd. | | | | | | | | |
3.40%, 09/30/2026 (2) | | | 1,000,000 | | | | 935,677 | |
Goodman U.S. Finance Three LLC | | | | | | | | |
3.70%, 03/15/2028 (2) | | | 862,000 | | | | 812,796 | |
4.50%, 10/15/2037 (2) | | | 200,000 | | | | 198,073 | |
Government Properties Income Trust | | | | | | | | |
3.75%, 08/15/2019 | | | 4,410,000 | | | | 4,415,430 | |
4.00%, 07/15/2022 | | | 1,255,000 | | | | 1,239,805 | |
Great-West Lifeco Finance 2018 LP | | | | | | | | |
4.58%, 05/17/2048 (2) | | | 855,000 | | | | 864,690 | |
Great-West Lifeco Finance Delaware LP | | | | | | | | |
4.15%, 06/03/2047 (2) | | | 1,100,000 | | | | 1,032,333 | |
Guardian Life Insurance Co. of America/The | | | | | | | | |
4.85%, 01/24/2077 (2) | | | 5,854,000 | | | | 5,700,996 | |
Hartford Financial Services Group, Inc./The | | | | | | | | |
6.00%, 01/15/2019 | | | 4,591,000 | | | | 4,665,176 | |
5.50%, 03/30/2020 | | | 4,118,000 | | | | 4,277,438 | |
5.13%, 04/15/2022 | | | 5,500,000 | | | | 5,812,933 | |
4.30%, 04/15/2043 | | | 1,080,000 | | | | 1,019,497 | |
HCP, Inc. | | | | | | | | |
4.20%, 03/01/2024 | | | 241,000 | | | | 240,748 | |
3.40%, 02/01/2025 | | | 662,000 | | | | 625,743 | |
| | | | | | | | |
Highmark, Inc. | | | | | | | | |
4.75%, 05/15/2021 (2) | | | 3,322,000 | | | | 3,390,469 | |
HSBC Bank Plc | | | | | | | | |
4.75%, 01/19/2021 (2) | | | 1,382,000 | | | | 1,426,397 | |
HSBC Holdings Plc | | | | | | | | |
2.93% (3 Month LIBOR USD + 0.60%), 05/18/2021 (1) | | | 7,250,000 | | | | 7,260,563 | |
2.65%, 01/05/2022 | | | 2,618,000 | | | | 2,534,185 | |
4.00%, 03/30/2022 | | | 1,494,000 | | | | 1,515,409 | |
3.26% (3 Month LIBOR USD + 1.06%), 03/13/2023 (1) | | | 7,071,000 | | | | 6,925,159 | |
3.60%, 05/25/2023 | | | 2,301,000 | | | | 2,276,769 | |
3.03% (3 Month LIBOR USD + 0.92%), 11/22/2023 (1) | | | 1,051,000 | | | | 1,014,149 | |
4.25%, 03/14/2024 | | | 2,795,000 | | | | 2,779,669 | |
3.95% (3 Month LIBOR USD + 0.99%), 05/18/2024 (1) | | | 10,781,000 | | | | 10,751,031 | |
4.25%, 08/18/2025 | | | 1,009,000 | | | | 990,318 | |
4.30%, 03/08/2026 | | | 1,000,000 | | | | 1,002,224 | |
4.38%, 11/23/2026 | | | 559,000 | | | | 550,267 | |
4.04% (3 Month LIBOR USD + 1.55%), 03/13/2028 (1) | | | 1,533,000 | | | | 1,487,688 | |
4.58% (3 Month LIBOR USD + 1.53%), 06/19/2029 (1) | | | 1,452,000 | | | | 1,465,985 | |
HSBC USA, Inc. | | | | | | | | |
5.00%, 09/27/2020 | | | 3,000,000 | | | | 3,090,767 | |
9.13%, 05/15/2021 | | | 75,000 | | | | 85,474 | |
Huntington Bancshares, Inc./OH | | | | | | | | |
3.15%, 03/14/2021 | | | 225,000 | | | | 223,724 | |
2.30%, 01/14/2022 | | | 4,220,000 | | | | 4,051,479 | |
Huntington National Bank | | | | | | | | |
2.20%, 11/06/2018 | | | 3,328,000 | | | | 3,323,544 | |
2.88%, 08/20/2020 | | | 4,534,000 | | | | 4,505,812 | |
Industrial & Commercial Bank of China Ltd./New York | | | | | | | | |
2.45%, 10/20/2021 | | | 1,150,000 | | | | 1,106,220 | |
ING Bank NV | | | | | | | | |
2.00%, 11/26/2018 (2) | | | 355,000 | | | | 354,068 | |
1.65%, 08/15/2019 (2) | | | 800,000 | | | | 787,984 | |
2.50%, 10/01/2019 (2) | | | 2,350,000 | | | | 2,332,881 | |
2.45%, 03/16/2020 (2) | | | 2,000,000 | | | | 1,973,375 | |
5.80%, 09/25/2023 (2) | | | 4,800,000 | | | | 5,084,472 | |
ING Groep NV | | | | | | | | |
3.15%, 03/29/2022 | | | 4,000,000 | | | | 3,923,883 | |
| | | | | | | | |
Intercontinental Exchange, Inc. | | | | | | | | |
2.50%, 10/15/2018 | | | 243,000 | | | | 243,025 | |
4.00%, 10/15/2023 | | | 578,000 | | | | 590,282 | |
International Lease Finance Corp. | | | | | | | | |
8.63%, 01/15/2022 | | | 1,200,000 | | | | 1,376,390 | |
5.88%, 08/15/2022 | | | 438,000 | | | | 464,371 | |
Intesa Sanpaolo SpA | | | | | | | | |
3.88%, 07/14/2027 (2) | | | 937,000 | | | | 808,197 | |
3.88%, 01/12/2028 (2) | | | 1,118,000 | | | | 957,999 | |
Invesco Finance Plc | | | | | | | | |
4.00%, 01/30/2024 | | | 2,889,000 | | | | 2,904,896 | |
3.75%, 01/15/2026 | | | 4,249,000 | | | | 4,175,561 | |
Jackson National Life Global Funding | | | | | | | | |
1.88%, 10/15/2018 (2) | | | 225,000 | | | | 224,615 | |
2.50%, 06/27/2022 (2) | | | 800,000 | | | | 770,999 | |
3.25%, 01/30/2024 (2) | | | 460,000 | | | | 450,784 | |
3.05%, 04/29/2026 (2) | | | 473,000 | | | | 447,743 | |
Jefferies Group LLC | | | | | | | | |
6.88%, 04/15/2021 | | | 430,000 | | | | 463,377 | |
5.13%, 01/20/2023 | | | 2,600,000 | | | | 2,706,807 | |
6.45%, 06/08/2027 | | | 428,000 | | | | 461,652 | |
6.25%, 01/15/2036 | | | 155,000 | | | | 158,817 | |
John Hancock Life Insurance Co. | | | | | | | | |
7.38%, 02/15/2024 (2) | | | 731,000 | | | | 853,565 | |
JPMorgan Chase & Co. | | | | | | | | |
2.25%, 01/23/2020 | | | 2,000,000 | | | | 1,974,503 | |
4.25%, 10/15/2020 | | | 64,000 | | | | 65,371 | |
2.30%, 08/15/2021 | | | 3,600,000 | | | | 3,477,715 | |
4.35%, 08/15/2021 | | | 10,000,000 | | | | 10,283,023 | |
3.38%, 05/01/2023 | | | 3,800,000 | | | | 3,710,214 | |
3.56% (3 Month LIBOR USD + 0.73%), 04/23/2024 (1) | | | 8,000,000 | | | | 7,922,165 | |
3.13%, 01/23/2025 | | | 4,000,000 | | | | 3,824,112 | |
3.30%, 04/01/2026 | | | 1,870,000 | | | | 1,787,623 | |
3.20%, 06/15/2026 | | | 11,090,000 | | | | 10,482,931 | |
2.95%, 10/01/2026 | | | 5,000,000 | | | | 4,642,795 | |
4.01% (3 Month LIBOR USD + 1.12%), 04/23/2029 (1) | | | 2,320,000 | | | | 2,290,006 | |
5.60%, 07/15/2041 | | | 494,000 | | | | 558,714 | |
4.95%, 06/01/2045 | | | 6,575,000 | | | | 6,686,717 | |
3.96% (3 Month LIBOR USD + 1.38%), 11/15/2048 (1) | | | 9,360,000 | | | | 8,408,730 | |
JPMorgan Chase Bank NA | | | | | | | | |
3.09% (3 Month LIBOR USD + 0.35%), 04/26/2021 (1) | | | 26,177,000 | | | | 26,114,684 | |
| | | | | | | | |
KeyBank NA/Cleveland OH | | | | | | | | |
3.18%, 05/22/2022 | | | 567,000 | | | | 559,144 | |
KeyCorp. | | | | | | | | |
2.90%, 09/15/2020 | | | 280,000 | | | | 277,747 | |
5.10%, 03/24/2021 | | | 211,000 | | | | 220,287 | |
Kimco Realty Corp | | | | | | | | |
4.45%, 09/01/2047 | | | 3,540,000 | | | | 3,239,297 | |
LeasePlan Co. NV | | | | | | | | |
2.88%, 01/22/2019 (2) | | | 725,000 | | | | 723,795 | |
Legg Mason, Inc. | | | | | | | | |
3.95%, 07/15/2024 | | | 820,000 | | | | 812,176 | |
Liberty Mutual Group, Inc. | | | | | | | | |
5.00%, 06/01/2021 (2) | | | 1,700,000 | | | | 1,761,673 | |
4.95%, 05/01/2022 (2) | | | 351,000 | | | | 364,634 | |
4.25%, 06/15/2023 (2) | | | 322,000 | | | | 325,731 | |
6.50%, 03/15/2035 (2) | | | 4,500,000 | | | | 5,376,109 | |
6.50%, 05/01/2042 (2) | | | 2,000,000 | | | | 2,441,658 | |
10.75% (3 Month LIBOR USD + 7.12%), 06/15/2058 (1)(2) | | | 269,000 | | | | 400,810 | |
Liberty Mutual Insurance Co. | | | | | | | | |
8.50%, 05/15/2025 (2) | | | 700,000 | | | | 864,828 | |
7.70%, 10/15/2097 (2) | | | 100,000 | | | | 138,462 | |
Liberty Property LP | | | | | | | | |
3.25%, 10/01/2026 | | | 303,000 | | | | 282,063 | |
Lincoln National Co. | | | | | | | | |
4.20%, 03/15/2022 | | | 873,000 | | | | 894,414 | |
3.80%, 03/01/2028 | | | 3,900,000 | | | | 3,725,064 | |
7.00%, 06/15/2040 | | | 1,715,000 | | | | 2,152,723 | |
4.40% (3 Month LIBOR USD + 2.04%), 04/20/2067 (1) | | | 121,000 | | | | 112,530 | |
Lloyds Bank Plc | | | | | | | | |
5.80%, 01/13/2020 (2) | | | 172,000 | | | | 178,505 | |
2.40%, 03/17/2020 | | | 1,200,000 | | | | 1,184,821 | |
3.30%, 05/07/2021 | | | 11,200,000 | | | | 11,179,294 | |
Lloyds Banking Group Plc | | | | | | | | |
2.91% (3 Month LIBOR USD + 0.81%), 11/07/2023 (1) | | | 8,950,000 | | | | 8,521,866 | |
4.45%, 05/08/2025 | | | 855,000 | | | | 859,360 | |
4.58%, 12/10/2025 | | | 550,000 | | | | 538,975 | |
3.75%, 01/11/2027 | | | 2,949,000 | | | | 2,786,542 | |
4.38%, 03/22/2028 | | | 949,000 | | | | 937,118 | |
3.57% (3 Month LIBOR USD + 1.21%), 11/07/2028 (1) | | | 1,000,000 | | | | 922,270 | |
| | | | | | | | |
Macquarie Bank Ltd. | | | | | | | | |
2.60%, 06/24/2019 (2) | | | 1,093,000 | | | | 1,089,671 | |
2.40%, 01/21/2020 (2) | | | 1,600,000 | | | | 1,579,129 | |
2.85%, 07/29/2020 (2) | | | 400,000 | | | | 396,506 | |
4.00%, 07/29/2025 (2) | | | 500,000 | | | | 495,235 | |
Macquarie Group Ltd. | | | | | | | | |
3.00%, 12/03/2018 (2) | | | 6,000,000 | | | | 6,005,834 | |
6.00%, 01/14/2020 (2) | | | 1,975,000 | | | | 2,053,841 | |
6.25%, 01/14/2021 (2) | | | 1,111,000 | | | | 1,178,138 | |
3.19% (3 Month LIBOR USD + 1.02%), 11/28/2023 (1)(2) | | | 6,000,000 | | | | 5,724,840 | |
4.15% (3 Month LIBOR USD + 1.33%), 03/27/2024 (1)(2) | | | 2,000,000 | | | | 1,989,888 | |
3.76% (3 Month LIBOR USD + 1.37%), 11/28/2028 (1)(2) | | | 2,565,000 | | | | 2,366,936 | |
Manulife Financial Corp. | | | | | | | | |
4.90%, 09/17/2020 | | | 225,000 | | | | 232,118 | |
4.06% (5 Year Mid Swap Rate USD + 1.65%), 02/24/2032 (1) | | | 1,910,000 | | | | 1,810,460 | |
Markel Co. | | | | | | | | |
7.13%, 09/30/2019 | | | 3,780,000 | | | | 3,951,540 | |
3.63%, 03/30/2023 | | | 400,000 | | | | 393,052 | |
5.00%, 04/05/2046 | | | 1,265,000 | | | | 1,286,318 | |
Marsh & McLennan Cos, Inc. | | | | | | | | |
2.35%, 03/06/2020 | | | 3,769,000 | | | | 3,716,734 | |
4.80%, 07/15/2021 | | | 5,000,000 | | | | 5,198,469 | |
2.75%, 01/30/2022 | | | 24,000 | | | | 23,455 | |
3.50%, 03/10/2025 | | | 580,000 | | | | 567,039 | |
Massachusetts Mutual Life Insurance Co. | | | | | | | | |
7.63%, 11/15/2023 (2) | | | 550,000 | | | | 630,685 | |
8.88%, 06/01/2039 (2) | | | 1,760,000 | | | | 2,753,379 | |
5.38%, 12/01/2041 (2) | | | 203,000 | | | | 233,590 | |
4.90%, 04/01/2077 (2) | | | 5,000,000 | | | | 4,925,718 | |
MassMutual Global Funding II | | | | | | | | |
2.50%, 10/17/2022 (2) | | | 386,000 | | | | 372,983 | |
2.75%, 06/22/2024 (2) | | | 700,000 | | | | 666,704 | |
MBIA Insurance Co. | | | | | | | | |
13.61% (3 Month LIBOR USD + 11.26%), 01/15/2033 (1)(2)(9) | | | 86,000 | | | | 43,860 | |
MetLife, Inc. | | | | | | | | |
6.50%, 12/15/2032 | | | 56,000 | | | | 68,878 | |
6.40%, 12/15/2036 | | | 3,859,000 | | | | 4,090,540 | |
4.88%, 11/13/2043 | | | 3,000,000 | | | | 3,166,170 | |
Metropolitan Life Global Funding I | | | | | | | | |
2.30%, 04/10/2019 (2) | | | 1,598,000 | | | | 1,592,687 | |
3.88%, 04/11/2022 (2) | | | 1,480,000 | | | | 1,501,677 | |
3.00%, 01/10/2023 (2) | | | 407,000 | | | | 399,146 | |
3.00%, 09/19/2027 (2) | | | 1,180,000 | | | | 1,106,760 | |
| | | | | | | | |
Mitsubishi UFJ Financial Group, Inc. | | | | | | | | |
2.95%, 03/01/2021 | | | 330,000 | | | | 326,415 | |
3.00%, 02/22/2022 | | | 206,000 | | | | 202,189 | |
2.67%, 07/25/2022 | | | 800,000 | | | | 771,911 | |
3.46%, 03/02/2023 | | | 9,000,000 | | | | 8,919,949 | |
2.53%, 09/13/2023 | | | 481,000 | | | | 455,291 | |
Mitsubishi UFJ Lease & Finance Co. Ltd. | | | | | | | | |
2.65%, 09/19/2022 (2) | | | 764,000 | | | | 732,661 | |
Mitsubishi UFJ Trust & Banking Corp. | | | | | | | | |
2.45%, 10/16/2019 (2) | | | 1,500,000 | | | | 1,487,452 | |
Mizuho Bank Ltd. | | | | | | | | |
2.65%, 09/25/2019 (2) | | | 3,000,000 | | | | 2,984,235 | |
2.40%, 03/26/2020 (2) | | | 5,000,000 | | | | 4,926,828 | |
3.60%, 09/25/2024 (2) | | | 1,250,000 | | | | 1,240,989 | |
Mizuho Financial Group, Inc. | | | | | | | | |
2.95%, 02/28/2022 | | | 2,000,000 | | | | 1,951,487 | |
2.60%, 09/11/2022 | | | 3,500,000 | | | | 3,353,437 | |
Morgan Stanley | | | | | | | | |
7.30%, 05/13/2019 | | | 2,257,000 | | | | 2,339,435 | |
2.38%, 07/23/2019 | | | 450,000 | | | | 447,379 | |
5.63%, 09/23/2019 | | | 2,302,000 | | | | 2,372,047 | |
2.65%, 01/27/2020 | | | 750,000 | | | | 744,530 | |
5.50%, 07/24/2020 | | | 360,000 | | | | 375,650 | |
5.75%, 01/25/2021 | | | 12,049,000 | | | | 12,740,792 | |
2.50%, 04/21/2021 | | | 2,000,000 | | | | 1,953,231 | |
5.50%, 07/28/2021 | | | 2,692,000 | | | | 2,848,409 | |
2.63%, 11/17/2021 | | | 6,680,000 | | | | 6,484,400 | |
2.75%, 05/19/2022 | | | 5,910,000 | | | | 5,723,714 | |
3.13%, 01/23/2023 | | | 1,735,000 | | | | 1,692,197 | |
3.75%, 02/25/2023 | | | 1,882,000 | | | | 1,883,521 | |
4.10%, 05/22/2023 | | | 3,460,000 | | | | 3,472,039 | |
3.88%, 04/29/2024 | | | 2,050,000 | | | | 2,052,812 | |
3.70%, 10/23/2024 | | | 1,167,000 | | | | 1,151,623 | |
4.00%, 07/23/2025 | | | 5,039,000 | | | | 5,022,138 | |
5.00%, 11/24/2025 | | | 4,959,000 | | | | 5,139,044 | |
3.88%, 01/27/2026 | | | 1,400,000 | | | | 1,377,650 | |
4.35%, 09/08/2026 | | | 930,000 | | | | 918,450 | |
| | | | | | | | |
3.63%, 01/20/2027 | | | 7,500,000 | | | | 7,215,539 | |
3.95%, 04/23/2027 | | | 14,190,000 | | | | 13,522,236 | |
3.59% (3 Month LIBOR USD + 1.34%), 07/22/2028 (1) | | | 5,882,000 | | | | 5,588,395 | |
3.77% (3 Month LIBOR USD + 1.14%), 01/24/2029 (1) | | | 10,675,000 | | | | 10,286,889 | |
3.97% (3 Month LIBOR USD + 1.46%), 07/22/2038 (1) | | | 3,945,000 | | | | 3,652,885 | |
6.38%, 07/24/2042 | | | 640,000 | | | | 776,857 | |
4.30%, 01/27/2045 | | | 459,000 | | | | 436,413 | |
MUFG Americas Holdings Co. | | | | | | | | |
2.25%, 02/10/2020 | | | 1,070,000 | | | | 1,054,057 | |
MUFG Bank Ltd. | | | | | | | | |
2.15%, 09/14/2018 (2) | | | 350,000 | | | | 349,664 | |
2.30%, 03/10/2019 (2) | | | 5,525,000 | | | | 5,505,110 | |
2.35%, 09/08/2019 (2) | | | 340,000 | | | | 337,329 | |
4.10%, 09/09/2023 (2) | | | 239,000 | | | | 243,941 | |
3.75%, 03/10/2024 (2) | | | 3,215,000 | | | | 3,224,952 | |
MUFG Union Bank NA | | | | | | | | |
2.25%, 05/06/2019 | | | 900,000 | | | | 895,144 | |
National Australia Bank Ltd./New York | | | | | | | | |
2.50%, 01/12/2021 | | | 2,000,000 | | | | 1,958,868 | |
3.38%, 01/14/2026 | | | 1,168,000 | | | | 1,130,576 | |
National Retail Properties, Inc. | | | | | | | | |
3.60%, 12/15/2026 | | | 700,000 | | | | 662,412 | |
3.50%, 10/15/2027 | | | 400,000 | | | | 373,155 | |
National Rural Utilities Cooperative Finance Co. | | | | | | | | |
10.38%, 11/01/2018 | | | 222,000 | | | | 227,685 | |
2.95%, 02/07/2024 | | | 341,000 | | | | 329,233 | |
3.05%, 04/25/2027 | | | 462,000 | | | | 437,748 | |
3.40%, 02/07/2028 | | | 1,500,000 | | | | 1,455,714 | |
8.00%, 03/01/2032 | | | 791,000 | | | | 1,102,141 | |
Nationwide Building Society | | | | | | | | |
6.25%, 02/25/2020 (2) | | | 1,000,000 | | | | 1,047,260 | |
4.00%, 09/14/2026 (2) | | | 8,201,000 | | | | 7,657,136 | |
4.30% (3 Month LIBOR USD + 1.45%), 03/08/2029 (1)(2) | | | 970,000 | | | | 933,572 | |
Nationwide Financial Services, Inc. | | | | | | | | |
5.38%, 03/25/2021 (2) | | | 2,000,000 | | | | 2,085,082 | |
Nationwide Mutual Insurance Co. | | | | | | | | |
8.25%, 12/01/2031 (2) | | | 300,000 | | | | 411,666 | |
9.38%, 08/15/2039 (2) | | | 8,433,000 | | | | 13,196,684 | |
| | | | | | | | |
New York Life Global Funding | | | | | | | | |
2.10%, 01/02/2019 (2) | | | 8,150,000 | | | | 8,128,509 | |
2.15%, 06/18/2019 (2) | | | 1,912,000 | | | | 1,901,546 | |
1.95%, 09/28/2020 (2) | | | 9,182,000 | | | | 8,951,664 | |
3.00%, 01/10/2028 (2) | | | 2,022,000 | | | | 1,895,873 | |
Nomura Holdings, Inc. | | | | | | | | |
6.70%, 03/04/2020 | | | 5,300,000 | | | | 5,587,077 | |
Nordea Bank AB | | | | | | | | |
1.88%, 09/17/2018 (2) | | | 4,835,000 | | | | 4,828,719 | |
1.63%, 09/30/2019 (2) | | | 550,000 | | | | 540,625 | |
4.88%, 01/27/2020 (2) | | | 1,200,000 | | | | 1,232,253 | |
2.50%, 09/17/2020 (2) | | | 450,000 | | | | 442,536 | |
4.25%, 09/21/2022 (2) | | | 12,865,000 | | | | 13,044,431 | |
Northern Trust Corp. | | | | | | | | |
3.38% (3 Month LIBOR USD + 1.13%), 05/08/2032 (1) | | | 411,000 | | | | 385,955 | |
OneBeacon US Holdings, Inc. | | | | | | | | |
4.60%, 11/09/2022 | | | 1,500,000 | | | | 1,512,803 | |
Ontario Teachers’ Cadillac Fairview Properties Trust | | | | | | | | |
3.13%, 03/20/2022 (2) | | | 1,003,000 | | | | 989,490 | |
3.88%, 03/20/2027 (2) | | | 1,044,000 | | | | 1,030,934 | |
Ontario Teachers’ Finance Trust | | | | | | | | |
2.75%, 04/16/2021 (2) | | | 3,750,000 | | | | 3,728,362 | |
ORIX Corp. | | | | | | | | |
2.90%, 07/18/2022 | | | 604,000 | | | | 587,450 | |
3.25%, 12/04/2024 | | | 1,500,000 | | | | 1,432,540 | |
3.70%, 07/18/2027 | | | 700,000 | | | | 678,778 | |
Pacific Life Insurance Co. | | | | | | | | |
4.30% (3 Month LIBOR USD + 2.80%), 10/24/2067 (1)(2) | | | 743,000 | | | | 674,599 | |
People’s United Bank NA | | | | | | | | |
4.00%, 07/15/2024 | | | 4,350,000 | | | | 4,336,096 | |
PNC Bank NA | | | | | | | | |
2.95%, 01/30/2023 | | | 6,500,000 | | | | 6,301,422 | |
4.20%, 11/01/2025 | | | 322,000 | | | | 327,263 | |
PNC Financial Services Group, Inc. | | | | | | | | |
6.70%, 06/10/2019 | | | 212,000 | | | | 219,419 | |
5.13%, 02/08/2020 | | | 588,000 | | | | 606,765 | |
4.38%, 08/11/2020 | | | 679,000 | | | | 695,190 | |
2.85%, 11/09/2022 (8) | | | 575,000 | | | | 559,452 | |
3.90%, 04/29/2024 | | | 2,090,000 | | | | 2,092,829 | |
Pricoa Global Funding I | | | | | | | | |
1.90%, 09/21/2018 (2) | | | 1,515,000 | | | | 1,512,692 | |
| | | | | | | | |
Principal Financial Group, Inc. | | | | | | | | |
3.13%, 05/15/2023 | | | 380,000 | | | | 371,167 | |
3.40%, 05/15/2025 | | | 7,000,000 | | | | 6,825,123 | |
Principal Life Global Funding II | | | | | | | | |
3.00%, 04/18/2026 (2) | | | 2,000,000 | | | | 1,874,345 | |
Private Export Funding Co. | | | | | | | | |
1.88%, 07/15/2018 | | | 975,000 | | | | 974,988 | |
4.38%, 03/15/2019 | | | 970,000 | | | | 983,840 | |
2.65%, 02/16/2021 (2) | | | 8,180,000 | | | | 8,137,489 | |
2.80%, 05/15/2022 | | | 1,200,000 | | | | 1,196,646 | |
3.55%, 01/15/2024 | | | 2,489,000 | | | | 2,555,932 | |
3.25%, 06/15/2025 | | | 1,280,000 | | | | 1,290,813 | |
Progressive Corp. | | | | | | | | |
5.38% (3 Month LIBOR USD + 2.54%), 09/15/2023 (1) | | | 780,000 | | | | 776,100 | |
4.13%, 04/15/2047 | | | 8,050,000 | | | | 7,874,550 | |
Protective Life Co. | | | | | | | | |
7.38%, 10/15/2019 | | | 854,000 | | | | 899,032 | |
Protective Life Global Funding | | | | | | | | |
2.70%, 11/25/2020 (2) | | | 5,000,000 | | | | 4,932,830 | |
2.00%, 09/14/2021 (2) | | | 1,100,000 | | | | 1,052,965 | |
Prudential Financial, Inc. | | | | | | | | |
2.35%, 08/15/2019 | | | 650,000 | | | | 642,230 | |
6.63%, 06/21/2040 | | | 5,995,000 | | | | 7,513,467 | |
3.91%, 12/07/2047 | | | 1,231,000 | | | | 1,106,360 | |
Prudential Insurance Co. of America/The | | | | | | | | |
8.30%, 07/01/2025 (2) | | | 1,691,000 | | | | 2,107,075 | |
Realty Income Corp. | | | | | | | | |
3.88%, 04/15/2025 | | | 1,055,000 | | | | 1,039,973 | |
Regions Bank/Birmingham AL | | | | | | | | |
2.25%, 09/14/2018 | | | 1,400,000 | | | | 1,399,328 | |
Regions Financial Co. | | | | | | | | |
3.20%, 02/08/2021 | | | 5,643,000 | | | | 5,616,963 | |
2.75%, 08/14/2022 | | | 1,500,000 | | | | 1,446,835 | |
Reliance Standard Life Global Funding II | | | | | | | | |
2.15%, 10/15/2018 (2) | | | 4,000,000 | | | | 3,994,050 | |
2.50%, 04/24/2019 (2) | | | 2,700,000 | | | | 2,690,240 | |
2.50%, 01/15/2020 (2) | | | 400,000 | | | | 395,792 | |
2.38%, 05/04/2020 (2) | | | 6,000,000 | | | | 5,890,898 | |
3.05%, 01/20/2021 (2) | | | 528,000 | | | | 521,839 | |
| | | | | | | | |
Royal Bank of Canada | | | | | | | | |
2.20%, 07/27/2018 | | | 78,000 | | | | 77,988 | |
2.00%, 10/01/2018 | | | 779,000 | | | | 778,156 | |
1.88%, 02/05/2020 | | | 1,100,000 | | | | 1,082,640 | |
3.20%, 04/30/2021 | | | 1,600,000 | | | | 1,599,191 | |
4.65%, 01/27/2026 | | | 531,000 | | | | 538,545 | |
Royal Bank of Scotland Group Plc | | | | | | | | |
4.52% (3 Month LIBOR USD + 1.55%), 06/25/2024 (1) | | | 4,016,000 | | | | 4,017,515 | |
4.89% (3 Month LIBOR USD + 1.75%), 05/18/2029 (1) | | | 2,490,000 | | | | 2,477,614 | |
Santander Holdings USA, Inc. | | | | | | | | |
2.70%, 05/24/2019 | | | 1,081,000 | | | | 1,077,750 | |
Santander UK Group Holdings Plc | | | | | | | | |
3.13%, 01/08/2021 | | | 308,000 | | | | 303,731 | |
4.75%, 09/15/2025 (2) | | | 1,810,000 | | | | 1,767,490 | |
3.82% (3 Month LIBOR USD + 1.40%), 11/03/2028 (1) | | | 800,000 | | | | 734,209 | |
Santander UK Plc | | | | | | | | |
2.38%, 03/16/2020 | | | 7,325,000 | | | | 7,213,674 | |
5.00%, 11/07/2023 (2) | | | 4,150,000 | | | | 4,213,026 | |
Scentre Group Trust 1 / Scentre Group Trust 2 | | | | | | | | |
3.50%, 02/12/2025 (2) | | | 1,390,000 | | | | 1,340,033 | |
Select Income REIT | | | | | | | | |
3.60%, 02/01/2020 | | | 2,400,000 | | | | 2,387,144 | |
Senior Housing Properties Trust | | | | | | | | |
3.25%, 05/01/2019 | | | 950,000 | | | | 949,338 | |
6.75%, 04/15/2020 | | | 600,000 | | | | 621,639 | |
4.75%, 02/15/2028 | | | 1,300,000 | | | | 1,255,474 | |
Simon Property Group LP | | | | | | | | |
4.38%, 03/01/2021 | | | 6,932,000 | | | | 7,138,327 | |
4.13%, 12/01/2021 | | | 442,000 | | | | 451,817 | |
3.75%, 02/01/2024 | | | 910,000 | | | | 906,670 | |
Skandinaviska Enskilda Banken AB | | | | | | | | |
2.38%, 11/20/2018 (2) | | | 5,200,000 | | | | 5,192,756 | |
2.38%, 03/25/2019 (2) | | | 1,225,000 | | | | 1,220,846 | |
2.45%, 05/27/2020 (2) | | | 3,000,000 | | | | 2,955,600 | |
Societe Generale SA | | | | | | | | |
3.25%, 01/12/2022 (2) | | | 7,000,000 | | | | 6,829,010 | |
4.25%, 04/14/2025 (2) | | | 800,000 | | | | 767,736 | |
SouthTrust Bank | | | | | | | | |
7.69%, 05/15/2025 | | | 253,000 | | | | 299,846 | |
SpareBank 1 Boligkreditt AS | | | | | | | | |
1.75%, 11/15/2019 (2) | | | 537,000 | | | | 528,641 | |
| | | | | | | | |
Stadshypotek AB | | | | | | | | |
1.88%, 10/02/2019 (2) | | | 683,000 | | | | 674,919 | |
Standard Chartered Plc | | | | | | | | |
2.10%, 08/19/2019 (2) | | | 2,500,000 | | | | 2,466,042 | |
2.40%, 09/08/2019 (2) | | | 7,650,000 | | | | 7,571,901 | |
3.05%, 01/15/2021 (2) | | | 800,000 | | | | 788,294 | |
5.20%, 01/26/2024 (2) | | | 609,000 | | | | 621,106 | |
4.87% (3 Month LIBOR USD + 1.97%), 03/15/2033 (1)(2) | | | 800,000 | | | | 776,485 | |
State Street Co. | | | | | | | | |
3.10%, 05/15/2023 | | | 321,000 | | | | 316,433 | |
3.70%, 11/20/2023 | | | 1,385,000 | | | | 1,403,869 | |
3.55%, 08/18/2025 | | | 247,000 | | | | 246,801 | |
Stifel Financial Co. | | | | | | | | |
3.50%, 12/01/2020 | | | 5,000,000 | | | | 5,007,526 | |
Sumitomo Life Insurance Co. | | | | | | | | |
4.00% (3 Month LIBOR USD + 2.99%), 09/14/2077 (1)(2) | | | 1,000,000 | | | | 932,500 | |
Sumitomo Mitsui Banking Co. | | | | | | | | |
2.45%, 01/10/2019 | | | 5,000,000 | | | | 4,992,332 | |
2.45%, 01/16/2020 | | | 3,925,000 | | | | 3,880,156 | |
2.51%, 01/17/2020 | | | 8,086,000 | | | | 8,000,432 | |
3.95%, 07/19/2023 | | | 250,000 | | | | 253,422 | |
Sumitomo Mitsui Financial Group, Inc. | | | | | | | | |
2.06%, 07/14/2021 | | | 568,000 | | | | 544,664 | |
2.44%, 10/19/2021 | | | 531,000 | | | | 512,717 | |
2.85%, 01/11/2022 | | | 1,100,000 | | | | 1,074,105 | |
2.78%, 07/12/2022 | | | 1,500,000 | | | | 1,451,696 | |
2.78%, 10/18/2022 | | | 6,718,000 | | | | 6,483,669 | |
3.10%, 01/17/2023 | | | 1,033,000 | | | | 1,008,864 | |
2.63%, 07/14/2026 | | | 644,000 | | | | 587,341 | |
3.01%, 10/19/2026 | | | 297,000 | | | | 277,878 | |
Sumitomo Mitsui Trust Bank Ltd. | | | | | | | | |
2.05%, 10/18/2019 (2) | | | 1,550,000 | | | | 1,528,397 | |
SunTrust Banks, Inc. | | | | | | | | |
2.50%, 05/01/2019 | | | 8,810,000 | | | | 8,790,956 | |
2.90%, 03/03/2021 | | | 324,000 | | | | 320,012 | |
2.70%, 01/27/2022 | | | 9,210,000 | | | | 8,971,127 | |
4.00%, 05/01/2025 | | | 424,000 | | | | 425,943 | |
Svenska Handelsbanken AB | | | | | | | | |
2.40%, 10/01/2020 | | | 2,000,000 | | | | 1,963,578 | |
2.45%, 03/30/2021 | | | 550,000 | | | | 537,557 | |
| | | | | | | | |
Swedbank AB | | | | | | | | |
2.38%, 02/27/2019 (2) | | | 6,000,000 | | | | 5,985,588 | |
Synchrony Financial | | | | | | | | |
2.60%, 01/15/2019 | | | 1,350,000 | | | | 1,347,414 | |
3.00%, 08/15/2019 | | | 4,775,000 | | | | 4,765,579 | |
2.70%, 02/03/2020 | | | 1,017,000 | | | | 1,006,244 | |
3.75%, 08/15/2021 | | | 6,000,000 | | | | 5,993,293 | |
4.50%, 07/23/2025 | | | 4,000,000 | | | | 3,927,264 | |
3.70%, 08/04/2026 | | | 1,100,000 | | | | 1,010,180 | |
3.95%, 12/01/2027 | | | 1,500,000 | | | | 1,383,228 | |
TD Ameritrade Holding Co. | | | | | | | | |
5.60%, 12/01/2019 | | | 355,000 | | | | 367,483 | |
2.95%, 04/01/2022 | | | 725,000 | | | | 711,582 | |
Teachers Insurance & Annuity Association of America | | | | | | | | |
6.85%, 12/16/2039 (2) | | | 218,000 | | | | 288,452 | |
4.90%, 09/15/2044 (2) | | | 200,000 | | | | 210,373 | |
4.27%, 05/15/2047 (2) | | | 3,360,000 | | | | 3,210,580 | |
TIAA Asset Management Finance Co. LLC | | | | | | | | |
2.95%, 11/01/2019 (2) | | | 3,700,000 | | | | 3,685,467 | |
Toronto-Dominion Bank | | | | | | | | |
1.75%, 07/23/2018 | | | 556,000 | | | | 555,881 | |
2.25%, 11/05/2019 | | | 432,000 | | | | 428,642 | |
2.50%, 12/14/2020 | | | 500,000 | | | | 491,869 | |
2.55%, 01/25/2021 | | | 600,000 | | | | 590,754 | |
3.25%, 06/11/2021 | | | 4,010,000 | | | | 4,008,495 | |
3.63% (5 Year Swap Rate USD + 2.21%), 09/15/2031 (1) | | | 667,000 | | | | 627,392 | |
Trinity Acquisition Plc | | | | | | | | |
4.40%, 03/15/2026 | | | 2,300,000 | | | | 2,276,708 | |
6.13%, 08/15/2043 | | | 5,000,000 | | | | 5,808,800 | |
UBS AG/London | | | | | | | | |
2.45%, 12/01/2020 (2) | | | 9,598,000 | | | | 9,382,208 | |
UBS AG/Stamford CT | | | | | | | | |
2.38%, 08/14/2019 | | | 1,200,000 | | | | 1,192,521 | |
UBS Group Funding Jersey Ltd. | | | | | | | | |
2.95%, 09/24/2020 (2) | | | 1,250,000 | | | | 1,236,770 | |
4.13%, 09/24/2025 (2) | | | 200,000 | | | | 198,541 | |
4.13%, 04/15/2026 (2) | | | 602,000 | | | | 595,591 | |
UBS Group Funding Switzerland AG | | | | | | | | |
3.49%, 05/23/2023 (2) | | | 360,000 | | | | 351,821 | |
2.86% (3 Month LIBOR USD + 0.95%), 08/15/2023 (1)(2) | | | 7,367,000 | | | | 7,061,429 | |
4.25%, 03/23/2028 (2) | | | 7,715,000 | | | | 7,662,666 | |
| | | | | | | | |
UDR, Inc. | | | | | | | | |
2.95%, 09/01/2026 | | | 276,000 | | | | 252,963 | |
United Overseas Bank Ltd. | | | | | | | | |
3.20%, 04/23/2021 (2) | | | 765,000 | | | | 763,080 | |
Ventas Realty LP | | | | | | | | |
3.10%, 01/15/2023 | | | 13,500,000 | | | | 13,093,282 | |
3.75%, 05/01/2024 | | | 382,000 | | | | 375,697 | |
3.50%, 02/01/2025 | | | 251,000 | | | | 240,279 | |
4.13%, 01/15/2026 | | | 449,000 | | | | 441,628 | |
3.85%, 04/01/2027 | | | 677,000 | | | | 649,428 | |
Vereit Operating Partnership LP | | | | | | | | |
4.60%, 02/06/2024 | | | 1,550,000 | | | | 1,550,016 | |
4.88%, 06/01/2026 | | | 700,000 | | | | 697,633 | |
Vornado Realty LP | | | | | | | | |
3.50%, 01/15/2025 | | | 800,000 | | | | 765,654 | |
Voya Financial, Inc. | | | | | | | | |
5.50%, 07/15/2022 | | | 8,000,000 | | | | 8,525,567 | |
3.13%, 07/15/2024 | | | 1,600,000 | | | | 1,510,830 | |
3.65%, 06/15/2026 | | | 200,000 | | | | 189,120 | |
WEA Finance LLC / Westfield UK & Europe Finance Plc | | | | | | | | |
3.25%, 10/05/2020 (2) | | | 6,000,000 | | | | 5,987,791 | |
Wells Fargo & Co. | | | | | | | | |
2.15%, 01/30/2020 | | | 4,105,000 | | | | 4,043,720 | |
3.50%, 03/08/2022 | | | 1,929,000 | | | | 1,922,200 | |
3.07%, 01/24/2023 | | | 2,655,000 | | | | 2,580,982 | |
3.30%, 09/09/2024 | | | 1,900,000 | | | | 1,834,781 | |
3.00%, 02/19/2025 | | | 4,075,000 | | | | 3,842,592 | |
3.55%, 09/29/2025 | | | 700,000 | | | | 678,348 | |
3.00%, 04/22/2026 | | | 6,300,000 | | | | 5,855,970 | |
4.10%, 06/03/2026 | | | 3,749,000 | | | | 3,672,418 | |
4.30%, 07/22/2027 | | | 729,000 | | | | 718,152 | |
5.61%, 01/15/2044 | | | 317,000 | | | | 340,797 | |
4.65%, 11/04/2044 | | | 675,000 | | | | 642,532 | |
4.90%, 11/17/2045 | | | 3,231,000 | | | | 3,199,768 | |
4.75%, 12/07/2046 | | | 1,857,000 | | | | 1,795,557 | |
Wells Fargo Bank NA | | | | | | | | |
2.60%, 01/15/2021 | | | 2,000,000 | | | | 1,968,306 | |
Welltower, Inc. | | | | | | | | |
4.50%, 01/15/2024 | | | 461,000 | | | | 468,599 | |
4.00%, 06/01/2025 | | | 400,000 | | | | 392,176 | |
4.25%, 04/15/2028 | | | 500,000 | | | | 491,110 | |
| | | | | | | | |
Westpac Banking Corp. | | | | | | | | |
4.88%, 11/19/2019 | | | 1,105,000 | | | | 1,131,583 | |
2.00%, 03/03/2020 (2) | | | 1,349,000 | | | | 1,327,187 | |
2.75%, 01/11/2023 | | | 1,000,000 | | | | 953,374 | |
3.40%, 01/25/2028 | | | 1,200,000 | | | | 1,142,689 | |
4.32% (5 Year Mid Swap Rate USD + 2.24%), 11/23/2031 (1) | | | 1,500,000 | | | | 1,444,761 | |
Willis North America, Inc. | | | | | | | | |
7.00%, 09/29/2019 | | | 537,000 | | | | 560,388 | |
WR Berkley Co. | | | | | | | | |
4.75%, 08/01/2044 | | | 3,445,000 | | | | 3,527,943 | |
XLIT Ltd. | | | | | | | | |
2.30%, 12/15/2018 | | | 4,375,000 | | | | 4,357,370 | |
5.25%, 12/15/2043 | | | 2,700,000 | | | | 2,966,738 | |
| | | | | | | | |
| | | | | | | 1,938,324,174 | |
| | | | | | | | |
Industrials - 1.63% | | | | | | | | |
ABB Finance USA, Inc. | | | | | | | | |
2.88%, 05/08/2022 | | | 241,000 | | | | 236,637 | |
3.80%, 04/03/2028 | | | 855,000 | | | | 861,188 | |
4.38%, 05/08/2042 | | | 107,000 | | | | 109,662 | |
Acuity Brands Lighting, Inc. | | | | | | | | |
6.00%, 12/15/2019 | | | 451,000 | | | | 468,241 | |
Airbus Group Finance BV | | | | | | | | |
2.70%, 04/17/2023 (2) | | | 376,000 | | | | 363,175 | |
Airbus SE | | | | | | | | |
3.15%, 04/10/2027 (2) | | | 736,000 | | | | 703,463 | |
3.95%, 04/10/2047 (2) | | | 150,000 | | | | 147,027 | |
Allegion US Holding Co., Inc. | | | | | | | | |
3.20%, 10/01/2024 | | | 2,000,000 | | | | 1,891,200 | |
Amphenol Corp. | | | | | | | | |
3.20%, 04/01/2024 | | | 8,135,000 | | | | 7,845,042 | |
Arrow Electronics, Inc. | | | | | | | | |
3.50%, 04/01/2022 | | | 965,000 | | | | 951,427 | |
3.25%, 09/08/2024 | | | 219,000 | | | | 204,637 | |
3.88%, 01/12/2028 | | | 221,000 | | | | 207,017 | |
Aviation Capital Group LLC | | | | | | | | |
3.88%, 05/01/2023 (2) | | | 780,000 | | | | 777,474 | |
3.50%, 11/01/2027 (2) | | | 700,000 | | | | 640,704 | |
BAE Systems Holdings, Inc. | | | | | | | | |
6.38%, 06/01/2019 (2) | | | 243,000 | | | | 250,294 | |
3.80%, 10/07/2024 (2) | | | 770,000 | | | | 768,168 | |
3.85%, 12/15/2025 (2) | | | 500,000 | | | | 494,075 | |
| | | | | | | | |
BAE Systems Plc | | | | | | | | |
5.80%, 10/11/2041 (2) | | | 550,000 | | | | 642,654 | |
Boeing Co. | | | | | | | | |
4.88%, 02/15/2020 | | | 52,000 | | | | 53,702 | |
Burlington Northern Santa Fe LLC | | | | | | | | |
3.45%, 09/15/2021 | | | 215,000 | | | | 216,566 | |
3.05%, 03/15/2022 | | | 440,000 | | | | 435,582 | |
3.00%, 03/15/2023 | | | 206,000 | | | | 202,114 | |
6.70%, 08/01/2028 | | | 62,000 | | | | 75,273 | |
7.29%, 06/01/2036 | | | 134,000 | | | | 183,930 | |
6.15%, 05/01/2037 | | | 320,000 | | | | 394,065 | |
5.75%, 05/01/2040 | | | 373,000 | | | | 441,663 | |
5.40%, 06/01/2041 | | | 542,000 | | | | 620,887 | |
4.38%, 09/01/2042 | | | 462,000 | | | | 465,649 | |
5.15%, 09/01/2043 | | | 389,000 | | | | 430,818 | |
4.15%, 04/01/2045 | | | 1,825,000 | | | | 1,778,085 | |
4.05%, 06/15/2048 | | | 1,000,000 | | | | 966,073 | |
Canadian Pacific Railway Co. | | | | | | | | |
4.50%, 01/15/2022 | | | 1,200,000 | | | | 1,239,799 | |
2.90%, 02/01/2025 | | | 644,000 | | | | 612,929 | |
7.13%, 10/15/2031 | | | 155,000 | | | | 196,408 | |
6.13%, 09/15/2115 | | | 678,000 | | | | 813,731 | |
Carlisle Co., Inc. | | | | | | | | |
3.50%, 12/01/2024 | | | 3,025,000 | | | | 2,918,503 | |
Caterpillar Financial Services Co. | | | | | | | | |
7.15%, 02/15/2019 | | | 62,000 | | | | 63,723 | |
2.75%, 08/20/2021 | | | 420,000 | | | | 414,303 | |
1.93%, 10/01/2021 | | | 445,000 | | | | 427,307 | |
2.85%, 06/01/2022 | | | 446,000 | | | | 438,040 | |
3.45%, 05/15/2023 | | | 9,639,000 | | | | 9,671,387 | |
3.75%, 11/24/2023 | | | 2,825,000 | | | | 2,866,296 | |
3.25%, 12/01/2024 | | | 1,429,000 | | | | 1,404,389 | |
2.40%, 08/09/2026 | | | 700,000 | | | | 637,743 | |
Caterpillar, Inc. | | | | | | | | |
2.60%, 06/26/2022 | | | 220,000 | | | | 213,958 | |
CH Robinson Worldwide, Inc. | | | | | | | | |
4.20%, 04/15/2028 | | | 6,000,000 | | | | 5,891,679 | |
| | | | | | | | |
CRH America Finance, Inc. | | | | | | | | |
3.40%, 05/09/2027 (2) | | | 200,000 | | | | 188,176 | |
CRH America, Inc. | | | | | | | | |
3.88%, 05/18/2025 (2) | | | 354,000 | | | | 349,049 | |
5.13%, 05/18/2045 (2) | | | 230,000 | | | | 235,608 | |
CSX Co. | | | | | | | | |
4.25%, 06/01/2021 | | | 205,000 | | | | 210,329 | |
3.40%, 08/01/2024 | | | 300,000 | | | | 294,654 | |
5.50%, 04/15/2041 | | | 402,000 | | | | 445,477 | |
4.75%, 05/30/2042 | | | 175,000 | | | | 178,323 | |
4.65%, 03/01/2068 | | | 2,000,000 | | | | 1,882,850 | |
Eaton Co. | | | | | | | | |
7.63%, 04/01/2024 | | | 206,000 | | | | 242,610 | |
4.00%, 11/02/2032 | | | 143,000 | | | | 142,268 | |
5.80%, 03/15/2037 | | | 500,000 | | | | 579,224 | |
Embraer Netherlands Finance BV | | | | | | | | |
5.05%, 06/15/2025 | | | 1,300,000 | | | | 1,317,713 | |
Federal Express Co. 1998 Pass Through Trust | | | | | | | | |
6.85%, 01/15/2019 | | | 225,317 | | | | 229,364 | |
6.72%, 01/15/2022 | | | 135,124 | | | | 141,713 | |
FedEx Corp. | | | | | | | | |
3.90%, 02/01/2035 | | | 414,000 | | | | 386,919 | |
4.10%, 04/15/2043 | | | 86,000 | | | | 78,355 | |
FLIR Systems, Inc. | | | | | | | | |
3.13%, 06/15/2021 | | | 3,025,000 | | | | 2,991,622 | |
General Dynamics Corp. | | | | | | | | |
3.38%, 05/15/2023 | | | 9,339,000 | | | | 9,354,711 | |
General Electric Capital Co. | | | | | | | | |
6.00%, 08/07/2019 | | | 157,000 | | | | 162,138 | |
2.10%, 12/11/2019 | | | 152,000 | | | | 150,325 | |
5.50%, 01/08/2020 | | | 581,000 | | | | 602,132 | |
5.55%, 05/04/2020 | | | 191,000 | | | | 199,061 | |
4.38%, 09/16/2020 | | | 426,000 | | | | 436,793 | |
5.30%, 02/11/2021 | | | 184,000 | | | | 192,392 | |
3.45%, 05/15/2024 | | | 830,000 | | | | 813,206 | |
5.88%, 01/14/2038 | | | 289,000 | | | | 327,924 | |
General Electric Co. | | | | | | | | |
4.65%, 10/17/2021 | | | 514,000 | | | | 534,486 | |
2.70%, 10/09/2022 | | | 175,000 | | | | 169,291 | |
Harris Corp. | | | | | | | | |
3.83%, 04/27/2025 | | | 1,820,000 | | | | 1,784,033 | |
4.85%, 04/27/2035 | | | 1,000,000 | | | | 1,019,875 | |
| | | | | | | | |
Holcim US Finance Sarl & Cie SCS | | | | | | | | |
6.00%, 12/30/2019 (2) | | | 148,000 | | | | 153,382 | |
Illinois Tool Works, Inc. | | | | | | | | |
1.95%, 03/01/2019 | | | 167,000 | | | | 166,210 | |
4.88%, 09/15/2041 | | | 87,000 | | | | 97,546 | |
3.90%, 09/01/2042 | | | 1,267,000 | | | | 1,241,837 | |
Ingersoll-Rand Luxembourg Finance SA | | | | | | | | |
2.63%, 05/01/2020 | | | 360,000 | | | | 356,947 | |
JB Hunt Transport Services, Inc. | | | | | | | | |
3.85%, 03/15/2024 | | | 650,000 | | | | 647,773 | |
John Deere Capital Co. | | | | | | | | |
1.60%, 07/13/2018 | | | 315,000 | | | | 314,923 | |
1.70%, 01/15/2020 | | | 123,000 | | | | 120,923 | |
2.05%, 03/10/2020 | | | 300,000 | | | | 295,577 | |
2.45%, 09/11/2020 | | | 335,000 | | | | 330,247 | |
3.15%, 10/15/2021 | | | 257,000 | | | | 257,508 | |
2.70%, 01/06/2023 | | | 10,324,000 | | | | 10,071,718 | |
2.80%, 01/27/2023 | | | 373,000 | | | | 364,545 | |
2.65%, 06/24/2024 | | | 1,000,000 | | | | 952,210 | |
2.80%, 09/08/2027 | | | 700,000 | | | | 653,191 | |
Johnson Controls International Plc | | | | | | | | |
4.25%, 03/01/2021 | | | 344,000 | | | | 351,689 | |
3.75%, 12/01/2021 | | | 475,000 | | | | 478,954 | |
3.63%, 07/02/2024 (8) | | | 161,000 | | | | 158,690 | |
6.00%, 01/15/2036 | | | 107,000 | | | | 122,960 | |
5.25%, 12/01/2041 | | | 722,000 | | | | 747,633 | |
5.13%, 09/14/2045 | | | 205,000 | | | | 212,214 | |
4.95%, 07/02/2064 (8) | | | 1,380,000 | | | | 1,311,175 | |
Keysight Technologies, Inc. | | | | | | | | |
4.60%, 04/06/2027 | | | 8,000,000 | | | | 8,032,567 | |
Lockheed Martin Co. | | | | | | | | |
2.50%, 11/23/2020 | | | 7,436,000 | | | | 7,335,076 | |
3.10%, 01/15/2023 | | | 346,000 | | | | 341,410 | |
4.07%, 12/15/2042 | | | 462,000 | | | | 444,029 | |
Martin Marietta Materials, Inc. | | | | | | | | |
4.25%, 07/02/2024 | | | 1,705,000 | | | | 1,719,784 | |
3.45%, 06/01/2027 | | | 811,000 | | | | 754,192 | |
3.50%, 12/15/2027 | | | 9,765,000 | | | | 9,057,382 | |
6.25%, 05/01/2037 | | | 107,000 | | | | 119,855 | |
| | | | | | | | |
Masco Corp. | | | | | | | | |
6.50%, 08/15/2032 | | | 1,240,000 | | | | 1,384,191 | |
MeadWestvaco Co. | | | | | | | | |
7.38%, 09/01/2019 | | | 3,300,000 | | | | 3,458,918 | |
9.75%, 06/15/2020 | | | 17,000 | | | | 18,851 | |
8.20%, 01/15/2030 | | | 537,000 | | | | 709,765 | |
Mexico City Airport Trust | | | | | | | | |
5.50%, 07/31/2047 (2) | | | 410,000 | | | | 365,310 | |
Norfolk Southern Co. | | | | | | | | |
3.25%, 12/01/2021 | | | 570,000 | | | | 568,754 | |
2.90%, 02/15/2023 | | | 294,000 | | | | 287,298 | |
5.59%, 05/17/2025 | | | 6,000 | | | | 6,577 | |
7.80%, 05/15/2027 | | | 1,705,000 | | | | 2,147,212 | |
3.95%, 10/01/2042 | | | 332,000 | | | | 308,541 | |
4.80%, 08/15/2043 | | | 1,273,000 | | | | 1,311,646 | |
3.94%, 11/01/2047 | | | 2,186,000 | | | | 2,024,871 | |
4.05%, 08/15/2052 | | | 1,100,000 | | | | 1,002,259 | |
Northrop Grumman Corp. | | | | | | | | |
3.20%, 02/01/2027 | | | 849,000 | | | | 799,791 | |
3.25%, 01/15/2028 | | | 10,961,000 | | | | 10,312,629 | |
7.75%, 02/15/2031 | | | 206,000 | | | | 275,680 | |
3.85%, 04/15/2045 | | | 195,000 | | | | 176,766 | |
Nvent Finance Sarl | | | | | | | | |
4.55%, 04/15/2028 (2) | | | 3,625,000 | | | | 3,555,358 | |
Owens Corning | | | | | | | | |
4.40%, 01/30/2048 | | | 2,446,000 | | | | 2,040,645 | |
Pactiv LLC | | | | | | | | |
7.95%, 12/15/2025 | | | 34,000 | | | | 37,230 | |
Parker-Hannifin Co. | | | | | | | | |
3.30%, 11/21/2024 | | | 149,000 | | | | 146,614 | |
4.45%, 11/21/2044 | | | 333,000 | | | | 347,236 | |
4.10%, 03/01/2047 | | | 583,000 | | | | 573,413 | |
Penske Truck Leasing Co. LP / PTL Finance Corp. | | | | | | | | |
2.88%, 07/17/2018 (2) | | | 431,000 | | | | 431,055 | |
2.50%, 06/15/2019 (2) | | | 184,000 | | | | 182,984 | |
3.38%, 02/01/2022 (2) | | | 2,011,000 | | | | 1,981,633 | |
2.70%, 03/14/2023 (2) | | | 220,000 | | | | 208,854 | |
3.95%, 03/10/2025 (2) | | | 7,000,000 | | | | 6,917,109 | |
Precision Castparts Co. | | | | | | | | |
3.25%, 06/15/2025 | | | 880,000 | | | | 856,120 | |
4.20%, 06/15/2035 | | | 75,000 | | | | 76,088 | |
4.38%, 06/15/2045 | | | 415,000 | | | | 434,832 | |
| | | | | | | | |
Republic Services, Inc. | | | | | | | | |
5.25%, 11/15/2021 | | | 2,795,000 | | | | 2,948,011 | |
3.55%, 06/01/2022 | | | 496,000 | | | | 499,040 | |
2.90%, 07/01/2026 | | | 245,000 | | | | 227,437 | |
Rockwell Collins, Inc. | | | | | | | | |
2.80%, 03/15/2022 | | | 8,800,000 | | | | 8,572,766 | |
3.20%, 03/15/2024 | | | 409,000 | | | | 393,865 | |
4.35%, 04/15/2047 | | | 259,000 | | | | 247,818 | |
Roper Technologies, Inc. | | | | | | | | |
3.00%, 12/15/2020 | | | 208,000 | | | | 206,575 | |
Ryder System, Inc. | | | | | | | | |
2.50%, 05/11/2020 | | | 1,020,000 | | | | 1,007,916 | |
2.88%, 09/01/2020 | | | 345,000 | | | | 341,199 | |
Siemens Financieringsmaatschappij NV | | | | | | | | |
2.90%, 05/27/2022 (2) | | | 553,000 | | | | 544,383 | |
3.13%, 03/16/2024 (2) | | | 800,000 | | | | 780,950 | |
2.35%, 10/15/2026 (2) | | | 700,000 | | | | 629,729 | |
4.40%, 05/27/2045 (2) | | | 513,000 | | | | 527,079 | |
4.20%, 03/16/2047 (2) | | | 1,190,000 | | | | 1,203,421 | |
Spirit AeroSystems, Inc. | | | | | | | | |
3.95%, 06/15/2023 | | | 4,944,000 | | | | 4,967,810 | |
Textron, Inc. | | | | | | | | |
3.65%, 03/01/2021 | | | 11,600,000 | | | | 11,643,370 | |
3.65%, 03/15/2027 | | | 4,975,000 | | | | 4,743,341 | |
Timken Co./The | | | | | | | | |
3.88%, 09/01/2024 | | | 1,000,000 | | | | 989,111 | |
TTX Co. | | | | | | | | |
2.25%, 02/01/2019 (2) | | | 3,375,000 | | | | 3,360,145 | |
3.60%, 01/15/2025 (2) | | | 2,000,000 | | | | 1,959,282 | |
3.90%, 02/01/2045 (2) | | | 4,000,000 | | | | 3,755,200 | |
Tyco Electronics Group SA | | | | | | | | |
2.38%, 12/17/2018 | | | 7,025,000 | | | | 7,013,629 | |
Union Pacific Corp. | | | | | | | | |
3.50%, 06/08/2023 | | | 8,896,000 | | | | 8,899,035 | |
3.95%, 09/10/2028 | | | 7,656,000 | | | | 7,689,392 | |
4.50%, 09/10/2048 | | | 4,380,000 | | | | 4,419,546 | |
4.10%, 09/15/2067 | | | 200,000 | | | | 175,298 | |
| | | | | | | | |
Union Pacific Railroad Co. 2003 Pass Through Trust | | | | | | | | |
4.70%, 01/02/2024 | | | 13,392 | | | | 13,785 | |
United Parcel Service of America, Inc. | | | | | | | | |
8.38%, 04/01/2020 | | | 243,000 | | | | 265,077 | |
2.45%, 10/01/2022 | | | 186,000 | | | | 180,174 | |
8.38%, 04/01/2030 (8) | | | 83,000 | | | | 112,733 | |
United Technologies Co. | | | | | | | | |
3.10%, 06/01/2022 | | | 524,000 | | | | 517,481 | |
4.50%, 06/01/2042 | | | 693,000 | | | | 684,316 | |
4.15%, 05/15/2045 | | | 785,000 | | | | 728,540 | |
Vulcan Materials Co. | | | | | | | | |
4.70%, 03/01/2048 (2) | | | 2,054,000 | | | | 1,917,660 | |
Wabtec Corp. | | | | | | | | |
4.38%, 08/15/2023 | | | 322,000 | | | | 322,524 | |
3.45%, 11/15/2026 | | | 5,000,000 | | | | 4,618,495 | |
WestRock Co. | | | | | | | | |
3.00%, 09/15/2024 (2) | | | 1,200,000 | | | | 1,137,148 | |
3.75%, 03/15/2025 (2) | | | 1,300,000 | | | | 1,275,285 | |
Xylem, Inc./NY | | | | | | | | |
3.25%, 11/01/2026 | | | 1,192,000 | | | | 1,120,158 | |
| | | | | | | | |
| | | | | | | 258,076,409 | |
| | | | | | | | |
Real Estate - 0.03% | | | | | | | | |
American Tower Corp. | | | | | | | | |
3.50%, 01/31/2023 | | | 341,000 | | | | 335,329 | |
3.38%, 10/15/2026 | | | 506,000 | | | | 468,178 | |
HCP, Inc. | | | | | | | | |
3.88%, 08/15/2024 | | | 1,981,000 | | | | 1,936,565 | |
Realty Income Corp. | | | | | | | | |
3.25%, 10/15/2022 | | | 1,490,000 | | | | 1,466,830 | |
Weyerhaeuser Co. | | | | | | | | |
7.38%, 03/15/2032 | | | 500,000 | | | | 635,254 | |
| | | | | | | | |
| | | | | | | 4,842,156 | |
| | | | | | | | |
Technology - 1.19% | | | | | | | | |
Analog Devices, Inc. | | | | | | | | |
3.13%, 12/05/2023 | | | 476,000 | | | | 461,989 | |
4.50%, 12/05/2036 | | | 1,020,000 | | | | 1,015,860 | |
Apple, Inc. | | | | | | | | |
2.15%, 02/09/2022 | | | 1,200,000 | | | | 1,162,441 | |
2.40%, 05/03/2023 | | | 322,000 | | | | 310,115 | |
3.00%, 02/09/2024 | | | 7,719,000 | | | | 7,557,266 | |
3.45%, 05/06/2024 | | | 795,000 | | | | 794,600 | |
| | | | | | | | |
2.85%, 05/11/2024 | | | 1,333,000 | | | | 1,290,033 | |
2.75%, 01/13/2025 | | | 1,000,000 | | | | 956,914 | |
3.20%, 05/13/2025 | | | 1,010,000 | | | | 986,907 | |
2.45%, 08/04/2026 | | | 1,111,000 | | | | 1,019,353 | |
3.35%, 02/09/2027 | | | 2,020,000 | | | | 1,971,792 | |
3.20%, 05/11/2027 | | | 743,000 | | | | 716,696 | |
3.00%, 06/20/2027 | | | 1,462,000 | | | | 1,389,085 | |
2.90%, 09/12/2027 | | | 1,643,000 | | | | 1,544,626 | |
4.50%, 02/23/2036 | | | 723,000 | | | | 775,367 | |
3.45%, 02/09/2045 | | | 500,000 | | | | 446,476 | |
4.65%, 02/23/2046 | | | 5,498,000 | | | | 5,918,154 | |
3.85%, 08/04/2046 | | | 4,061,000 | | | | 3,827,020 | |
3.75%, 09/12/2047 | | | 2,300,000 | | | | 2,153,677 | |
Dell International LLC / EMC Corp. | | | | | | | | |
3.48%, 06/01/2019 (2) | | | 7,485,000 | | | | 7,503,896 | |
5.45%, 06/15/2023 (2) | | | 5,041,000 | | | | 5,272,055 | |
Dell, Inc. | | | | | | | | |
7.10%, 04/15/2028 | | | 196,000 | | | | 210,210 | |
Diamond 1 Finance Co. / Diamond 2 Finance Co. | | | | | | | | |
6.02%, 06/15/2026 (2) | | | 2,361,000 | | | | 2,482,055 | |
8.10%, 07/15/2036 (2) | | | 3,003,000 | | | | 3,506,616 | |
DXC Technology Co. | | | | | | | | |
2.88%, 03/27/2020 | | | 5,285,000 | | | | 5,246,959 | |
4.25%, 04/15/2024 | | | 9,435,000 | | | | 9,421,039 | |
4.75%, 04/15/2027 | | | 1,500,000 | | | | 1,514,958 | |
7.45%, 10/15/2029 | | | 250,000 | | | | 303,024 | |
Fidelity National Information Services, Inc. | | | | | | | | |
3.63%, 10/15/2020 | | | 2,231,000 | | | | 2,245,422 | |
3.50%, 04/15/2023 | | | 1,281,000 | | | | 1,265,659 | |
3.88%, 06/05/2024 | | | 582,000 | | | | 580,003 | |
3.00%, 08/15/2026 | | | 1,300,000 | | | | 1,190,486 | |
4.75%, 05/15/2048 | | | 1,675,000 | | | | 1,616,802 | |
Fiserv, Inc. | | | | | | | | |
4.63%, 10/01/2020 | | | 215,000 | | | | 220,837 | |
4.75%, 06/15/2021 | | | 5,231,000 | | | | 5,439,330 | |
3.85%, 06/01/2025 | | | 5,000,000 | | | | 4,978,283 | |
Hewlett Packard Enterprise Co. | | | | | | | | |
2.10%, 10/04/2019 (2) | | | 3,300,000 | | | | 3,258,375 | |
4.40%, 10/15/2022 | | | 7,500,000 | | | | 7,685,724 | |
| | | | | | | | |
IBM Credit LLC | | | | | | | | |
2.65%, 02/05/2021 | | | 1,200,000 | | | | 1,188,204 | |
3.00%, 02/06/2023 | | | 1,700,000 | | | | 1,661,872 | |
Intel Corp. | | | | | | | | |
3.70%, 07/29/2025 | | | 456,000 | | | | 458,842 | |
4.00%, 12/15/2032 | | | 1,195,000 | | | | 1,225,908 | |
3.73%, 12/08/2047 | | | 1,035,000 | | | | 974,240 | |
International Business Machines Co. | | | | | | | | |
7.63%, 10/15/2018 | | | 872,000 | | | | 884,414 | |
2.25%, 02/19/2021 | | | 1,670,000 | | | | 1,633,905 | |
6.22%, 08/01/2027 | | | 68,000 | | | | 80,725 | |
6.50%, 01/15/2028 | | | 120,000 | | | | 145,568 | |
Maxim Integrated Products, Inc. | | | | | | | | |
2.50%, 11/15/2018 | | | 4,200,000 | | | | 4,198,611 | |
Microchip Technology, Inc. | | | | | | | | |
3.92%, 06/01/2021 (2) | | | 4,284,000 | | | | 4,290,791 | |
4.33%, 06/01/2023 (2) | | | 6,833,000 | | | | 6,842,315 | |
Microsoft Corp. | | | | | | | | |
2.38%, 05/01/2023 | | | 744,000 | | | | 718,595 | |
2.88%, 02/06/2024 | | | 2,068,000 | | | | 2,023,778 | |
2.40%, 08/08/2026 | | | 600,000 | | | | 554,826 | |
3.30%, 02/06/2027 | | | 892,000 | | | | 880,344 | |
3.50%, 02/12/2035 | | | 318,000 | | | | 307,942 | |
4.20%, 11/03/2035 | | | 231,000 | | | | 242,748 | |
4.10%, 02/06/2037 | | | 1,468,000 | | | | 1,528,458 | |
4.50%, 10/01/2040 | | | 125,000 | | | | 134,568 | |
4.45%, 11/03/2045 | | | 8,711,000 | | | | 9,355,605 | |
3.70%, 08/08/2046 | | | 2,503,000 | | | | 2,429,600 | |
4.00%, 02/12/2055 | | | 1,513,000 | | | | 1,508,324 | |
4.75%, 11/03/2055 | | | 408,000 | | | | 463,396 | |
3.95%, 08/08/2056 | | | 264,000 | | | | 260,343 | |
4.50%, 02/06/2057 | | | 8,636,000 | | | | 9,365,466 | |
Oracle Co. | | | | | | | | |
5.00%, 07/08/2019 | | | 547,000 | | | | 559,512 | |
2.80%, 07/08/2021 | | | 766,000 | | | | 760,664 | |
2.40%, 09/15/2023 | | | 757,000 | | | | 713,817 | |
3.40%, 07/08/2024 | | | 2,000,000 | | | | 1,980,663 | |
2.95%, 11/15/2024 | | | 1,500,000 | | | | 1,445,541 | |
2.95%, 05/15/2025 | | | 2,000,000 | | | | 1,909,262 | |
4.30%, 07/08/2034 | | | 5,981,000 | | | | 6,093,264 | |
3.90%, 05/15/2035 | | | 2,000,000 | | | | 1,937,832 | |
| | | | | | | | |
3.80%, 11/15/2037 | | | 7,565,000 | | | | 7,150,833 | |
6.13%, 07/08/2039 | | | 265,000 | | | | 324,860 | |
5.38%, 07/15/2040 | | | 1,021,000 | | | | 1,150,954 | |
4.38%, 05/15/2055 | | | 400,000 | | | | 390,392 | |
Qualcomm, Inc. | | | | | | | | |
2.60%, 01/30/2023 | | | 139,000 | | | | 132,813 | |
2.90%, 05/20/2024 | | | 1,200,000 | | | | 1,133,673 | |
3.25%, 05/20/2027 | | | 1,003,000 | | | | 937,361 | |
4.30%, 05/20/2047 | | | 7,000,000 | | | | 6,506,881 | |
Texas Instruments, Inc. | | | | | | | | |
1.65%, 08/03/2019 | | | 434,000 | | | | 428,676 | |
VMware, Inc. | | | | | | | | |
2.95%, 08/21/2022 | | | 2,321,000 | | | | 2,226,624 | |
Xerox Co. | | | | | | | | |
2.75%, 09/01/2020 | | | 1,268,000 | | | | 1,242,060 | |
| | | | | | | | |
| | | | | | | 188,625,174 | |
| | | | | | | | |
Utilities - 2.74% | | | | | | | | |
AEP Texas, Inc. | | | | | | | | |
3.80%, 10/01/2047 | | | 3,715,000 | | | | 3,453,278 | |
AEP Transmission Co. LLC | | | | | | | | |
4.00%, 12/01/2046 | | | 2,020,000 | | | | 1,970,673 | |
3.75%, 12/01/2047 | | | 2,600,000 | | | | 2,413,432 | |
Alabama Power Co. | | | | | | | | |
2.80%, 04/01/2025 | | | 2,025,000 | | | | 1,914,145 | |
6.13%, 05/15/2038 | | | 219,000 | | | | 274,724 | |
6.00%, 03/01/2039 | | | 89,000 | | | | 110,281 | |
4.10%, 01/15/2042 | | | 233,000 | | | | 229,264 | |
4.15%, 08/15/2044 | | | 205,000 | | | | 202,161 | |
3.75%, 03/01/2045 | | | 182,000 | | | | 169,305 | |
Alliant Energy Finance LLC | | | | | | | | |
3.75%, 06/15/2023 (2) | | | 6,038,000 | | | | 6,034,813 | |
4.25%, 06/15/2028 (2) | | | 1,977,000 | | | | 1,975,682 | |
American Transmission Systems, Inc. | | | | | | | | |
5.25%, 01/15/2022 (2) | | | 4,439,000 | | | | 4,666,003 | |
American Water Capital Co. | | | | | | | | |
3.85%, 03/01/2024 | | | 500,000 | | | | 506,362 | |
3.40%, 03/01/2025 | | | 592,000 | | | | 583,770 | |
6.59%, 10/15/2037 | | | 386,000 | | | | 506,305 | |
4.00%, 12/01/2046 | | | 2,350,000 | | | | 2,285,498 | |
| | | | | | | | |
Appalachian Power Co. | | | | | | | | |
6.70%, 08/15/2037 | | | 430,000 | | | | 557,708 | |
4.45%, 06/01/2045 | | | 5,124,000 | | | | 5,264,358 | |
Arizona Public Service Co. | | | | | | | | |
8.75%, 03/01/2019 | | | 91,000 | | | | 94,464 | |
2.20%, 01/15/2020 | | | 167,000 | | | | 164,893 | |
3.35%, 06/15/2024 | | | 676,000 | | | | 667,838 | |
5.05%, 09/01/2041 | | | 349,000 | | | | 390,061 | |
3.75%, 05/15/2046 | | | 2,290,000 | | | | 2,136,472 | |
Atmos Energy Co. | | | | | | | | |
8.50%, 03/15/2019 | | | 71,000 | | | | 73,691 | |
4.15%, 01/15/2043 | | | 830,000 | | | | 834,494 | |
4.13%, 10/15/2044 | | | 1,860,000 | | | | 1,875,696 | |
Ausgrid Finance Pty Ltd. | | | | | | | | |
4.35%, 08/01/2028 (2) | | | 10,275,000 | | | | 10,319,271 | |
Avangrid, Inc. | | | | | | | | |
3.15%, 12/01/2024 | | | 610,000 | | | | 586,518 | |
Baltimore Gas & Electric Co. | | | | | | | | |
2.80%, 08/15/2022 | | | 509,000 | | | | 497,348 | |
3.50%, 08/15/2046 | | | 375,000 | | | | 335,237 | |
Berkshire Hathaway Energy Co. | | | | | | | | |
2.40%, 02/01/2020 | | | 409,000 | | | | 405,656 | |
2.38%, 01/15/2021 | | | 5,888,000 | | | | 5,764,982 | |
3.50%, 02/01/2025 | | | 625,000 | | | | 620,272 | |
6.13%, 04/01/2036 | | | 366,000 | | | | 450,821 | |
Boston Gas Co. | | | | | | | | |
4.49%, 02/15/2042 (2) | | | 253,000 | | | | 260,423 | |
Brooklyn Union Gas Co. | | | | | | | | |
4.50%, 03/10/2046 (2) | | | 2,000,000 | | | | 2,062,348 | |
4.27%, 03/15/2048 (2) | | | 1,100,000 | | | | 1,092,223 | |
CenterPoint Energy Houston Electric LLC | | | | | | | | |
3.95%, 03/01/2048 | | | 717,000 | | | | 703,155 | |
CenterPoint Energy Resources Co. | | | | | | | | |
4.50%, 01/15/2021 | | | 158,000 | | | | 161,457 | |
China Southern Power Grid International Finance BVI Co. Ltd. | | | | | | | | |
3.50%, 05/08/2027 (2) | | | 1,910,000 | | | | 1,819,442 | |
Cleveland Electric Illuminating Co. | | | | | | | | |
3.50%, 04/01/2028 (2) | | | 1,333,000 | | | | 1,263,629 | |
CMS Energy Co. | | | | | | | | |
3.88%, 03/01/2024 | | | 550,000 | | | | 551,407 | |
3.00%, 05/15/2026 | | | 110,000 | | | | 102,763 | |
2.95%, 02/15/2027 | | | 348,000 | | | | 318,279 | |
3.45%, 08/15/2027 | | | 350,000 | | | | 333,971 | |
| | | | | | | | |
Consumers Energy Co. | | | | | | | | |
4.35%, 08/31/2064 | | | 191,000 | | | | 190,313 | |
Comision Federal de Electricidad | | | | | | | | |
4.88%, 05/26/2021 (2) | | | 551,000 | | | | 557,887 | |
4.88%, 01/15/2024 (2) | | | 1,572,000 | | | | 1,579,860 | |
Commonwealth Edison Co. | | | | | | | | |
3.65%, 06/15/2046 | | | 364,000 | | | | 335,294 | |
3.75%, 08/15/2047 | | | 1,000,000 | | | | 935,781 | |
4.00%, 03/01/2048 | | | 7,177,000 | | | | 7,014,316 | |
Connecticut Light & Power Co. | | | | | | | | |
3.20%, 03/15/2027 | | | 600,000 | | | | 575,270 | |
4.00%, 04/01/2048 | | | 472,000 | | | | 469,243 | |
Consolidated Edison Co. of New York, Inc. | | | | | | | | |
5.70%, 06/15/2040 | | | 318,000 | | | | 378,622 | |
3.85%, 06/15/2046 | | | 2,940,000 | | | | 2,753,343 | |
4.30%, 12/01/2056 | | | 3,050,000 | | | | 2,973,839 | |
4.50%, 05/15/2058 | | | 2,134,000 | | | | 2,119,023 | |
Consumers Energy Co. | | | | | | | | |
5.65%, 04/15/2020 | | | 144,000 | | | | 150,733 | |
2.85%, 05/15/2022 | | | 155,000 | | | | 152,705 | |
3.25%, 08/15/2046 | | | 190,000 | | | | 166,042 | |
Delmarva Power & Light Co. | | | | | | | | |
4.00%, 06/01/2042 | | | 170,000 | | | | 163,705 | |
4.15%, 05/15/2045 | | | 1,600,000 | | | | 1,590,204 | |
Dominion Energy, Inc. | | | | | | | | |
2.96%, 07/01/2019 (8) | | | 6,539,000 | | | | 6,524,447 | |
2.75%, 01/15/2022 | | | 529,000 | | | | 513,023 | |
2.85%, 08/15/2026 | | | 304,000 | | | | 275,280 | |
5.25%, 08/01/2033 | | | 1,161,000 | | | | 1,237,673 | |
7.00%, 06/15/2038 | | | 124,000 | | | | 158,974 | |
4.90%, 08/01/2041 | | | 212,000 | | | | 219,208 | |
Dominion Gas Holdings LLC | | | | | | | | |
2.50%, 12/15/2019 | | | 1,528,000 | | | | 1,513,877 | |
2.80%, 11/15/2020 | | | 264,000 | | | | 260,621 | |
4.60%, 12/15/2044 | | | 1,300,000 | | | | 1,282,191 | |
DTE Energy Co. | | | | | | | | |
2.40%, 12/01/2019 | | | 278,000 | | | | 274,737 | |
2.65%, 06/15/2022 | | | 194,000 | | | | 188,942 | |
| | | | | | | | |
3.85%, 12/01/2023 | | | 292,000 | | | | 292,274 | |
3.50%, 06/01/2024 | | | 692,000 | | | | 676,421 | |
3.70%, 03/15/2045 | | | 463,000 | | | | 434,473 | |
4.05%, 05/15/2048 | | | 2,167,000 | | | | 2,158,240 | |
Duke Energy Carolinas LLC | | | | | | | | |
4.30%, 06/15/2020 | | | 205,000 | | | | 208,579 | |
3.05%, 03/15/2023 | | | 1,000,000 | | | | 987,913 | |
6.00%, 12/01/2028 | | | 235,000 | | | | 273,462 | |
6.00%, 01/15/2038 | | | 161,000 | | | | 198,431 | |
6.05%, 04/15/2038 | | | 72,000 | | | | 89,352 | |
4.25%, 12/15/2041 | | | 141,000 | | | | 143,568 | |
3.95%, 03/15/2048 | | | 1,345,000 | | | | 1,304,174 | |
Duke Energy Corp. | | | | | | | | |
3.55%, 09/15/2021 | | | 306,000 | | | | 307,231 | |
3.75%, 09/01/2046 | | | 9,300,000 | | | | 8,232,375 | |
3.95%, 08/15/2047 | | | 6,740,000 | | | | 6,146,643 | |
Duke Energy Florida LLC | | | | | | | | |
2.10%, 12/15/2019 | | | 2,823,000 | | | | 2,806,177 | |
Duke Energy Indiana LLC | | | | | | | | |
3.75%, 05/15/2046 | | | 600,000 | | | | 566,439 | |
Duke Energy Indiana, Inc. | | | | | | | | |
3.75%, 07/15/2020 | | | 398,000 | | | | 403,262 | |
6.35%, 08/15/2038 | | | 320,000 | | | | 415,881 | |
Duke Energy Progress LLC | | | | | | | | |
5.30%, 01/15/2019 | | | 206,000 | | | | 209,730 | |
3.00%, 09/15/2021 | | | 372,000 | | | | 371,864 | |
2.80%, 05/15/2022 | | | 335,000 | | | | 330,607 | |
3.25%, 08/15/2025 | | | 158,000 | | | | 154,289 | |
4.10%, 05/15/2042 | | | 217,000 | | | | 215,813 | |
4.10%, 03/15/2043 | | | 181,000 | | | | 181,205 | |
4.38%, 03/30/2044 | | | 132,000 | | | | 136,580 | |
4.15%, 12/01/2044 | | | 129,000 | | | | 127,204 | |
4.20%, 08/15/2045 | | | 325,000 | | | | 325,309 | |
3.70%, 10/15/2046 | | | 506,000 | | | | 465,280 | |
Edison International | | | | | | | | |
2.95%, 03/15/2023 | | | 400,000 | | | | 384,143 | |
4.13%, 03/15/2028 | | | 530,000 | | | | 521,633 | |
EDP Finance BV | | | | | | | | |
3.63%, 07/15/2024 (2) | | | 700,000 | | | | 670,237 | |
| | | | | | | | |
Electricite de France SA | | | | | | | | |
2.15%, 01/22/2019 (2) | | | 3,558,000 | | | | 3,547,282 | |
4.75%, 10/13/2035 (2) | | | 5,000,000 | | | | 5,173,149 | |
6.00%, 01/22/2114 (2) | | | 1,035,000 | | | | 1,078,822 | |
Emera U.S.Finance LP | | | | | | | | |
3.55%, 06/15/2026 | | | 3,895,000 | | | | 3,666,131 | |
Enel Finance International NV | | | | | | | | |
3.63%, 05/25/2027 (2) | | | 10,045,000 | | | | 9,184,885 | |
3.50%, 04/06/2028 (2) | | | 900,000 | | | | 808,388 | |
6.00%, 10/07/2039 (2) | | | 307,000 | | | | 340,964 | |
4.75%, 05/25/2047 (2) | | | 5,575,000 | | | | 5,267,269 | |
Entergy Arkansas, Inc. | | | | | | | | |
3.50%, 04/01/2026 | | | 307,000 | | | | 303,460 | |
Entergy Corp. | | | | | | | | |
2.95%, 09/01/2026 | | | 310,000 | | | | 283,047 | |
Entergy Louisiana LLC | | | | | | | | |
2.40%, 10/01/2026 | | | 650,000 | | | | 589,354 | |
3.12%, 09/01/2027 | | | 370,000 | | | | 351,048 | |
3.05%, 06/01/2031 | | | 440,000 | | | | 404,358 | |
4.00%, 03/15/2033 | | | 2,610,000 | | | | 2,610,949 | |
Entergy Mississippi, Inc. | | | | | | | | |
2.85%, 06/01/2028 | | | 497,000 | | | | 456,268 | |
Eversource Energy | | | | | | | | |
2.75%, 03/15/2022 | | | 8,563,000 | | | | 8,347,479 | |
Exelon Co. | | | | | | | | |
3.50%, 06/01/2022 | | | 10,180,000 | | | | 10,069,751 | |
4.95%, 06/15/2035 | | | 1,500,000 | | | | 1,578,127 | |
Exelon Generation Co. LLC | | | | | | | | |
5.20%, 10/01/2019 | | | 4,525,000 | | | | 4,631,192 | |
3.40%, 03/15/2022 | | | 1,180,000 | | | | 1,171,866 | |
4.25%, 06/15/2022 | | | 313,000 | | | | 320,285 | |
6.25%, 10/01/2039 | | | 300,000 | | | | 318,598 | |
5.75%, 10/01/2041 | | | 192,000 | | | | 192,031 | |
FirstEnergy Corp. | | | | | | | | |
3.90%, 07/15/2027 | | | 2,333,000 | | | | 2,262,412 | |
4.85%, 07/15/2047 | | | 263,000 | | | | 268,695 | |
FirstEnergy Transmission LLC | | | | | | | | |
5.45%, 07/15/2044 (2) | | | 3,778,000 | | | | 4,225,316 | |
Florida Power & Light Co. | | | | | | | | |
5.63%, 04/01/2034 | | | 57,000 | | | | 66,586 | |
5.40%, 09/01/2035 | | | 700,000 | | | | 798,443 | |
5.95%, 02/01/2038 | | | 103,000 | | | | 128,649 | |
4.13%, 06/01/2048 | | | 2,250,000 | | | | 2,272,283 | |
| | | | | | | | |
Fortis, Inc. | | | | | | | | |
3.06%, 10/04/2026 | | | 14,914,000 | | | | 13,583,331 | |
Georgia Power Co. | | | | | | | | |
3.25%, 04/01/2026 | | | 147,000 | | | | 140,318 | |
Great Plains Energy, Inc. | | | | | | | | |
4.85%, 06/01/2021 | | | 156,000 | | | | 160,130 | |
Hydro-Quebec | | | | | | | | |
9.40%, 02/01/2021 | | | 186,000 | | | | 214,572 | |
8.40%, 01/15/2022 | | | 826,000 | | | | 956,871 | |
8.05%, 07/07/2024 | | | 638,000 | | | | 788,410 | |
Indiana Michigan Power Co. | | | | | | | | |
7.00%, 03/15/2019 | | | 112,000 | | | | 115,304 | |
3.20%, 03/15/2023 | | | 991,000 | | | | 974,907 | |
Israel Electric Corp. Ltd. | | | | | | | | |
9.38%, 01/28/2020 (2) | | | 4,648,000 | | | | 5,042,569 | |
ITC Holdings Corp. | | | | | | | | |
2.70%, 11/15/2022 | | | 5,908,000 | | | | 5,687,813 | |
Jersey Central Power & Light Co. | | | | | | | | |
7.35%, 02/01/2019 | | | 3,758,000 | | | | 3,847,421 | |
4.70%, 04/01/2024 (2) | | | 11,619,000 | | | | 12,144,251 | |
4.30%, 01/15/2026 (2) | | | 740,000 | | | | 748,491 | |
6.15%, 06/01/2037 | | | 400,000 | | | | 476,156 | |
John Sevier Combined Cycle Generation LLC | | | | | | | | |
4.63%, 01/15/2042 | | | 445,270 | | | | 463,477 | |
Kansas City Power & Light Co. | | | | | | | | |
3.15%, 03/15/2023 | | | 375,000 | | | | 366,005 | |
5.30%, 10/01/2041 | | | 1,032,000 | | | | 1,162,453 | |
4.20%, 03/15/2048 | | | 500,000 | | | | 491,055 | |
KeySpan Gas East Corp. | | | | | | | | |
2.74%, 08/15/2026 (2) | | | 538,000 | | | | 497,708 | |
Korea Gas Co. | | | | | | | | |
4.25%, 11/02/2020 (2) | | | 279,000 | | | | 284,033 | |
1.88%, 07/18/2021 (2) | | | 588,000 | | | | 558,909 | |
Korea Hydro & Nuclear Power Co. Ltd. | | | | | | | | |
2.88%, 10/02/2018 (2) | | | 4,000,000 | | | | 3,996,000 | |
Korea Southern Power Co. Ltd. | | | | | | | | |
3.00%, 01/29/2021 (2) | | | 2,868,000 | | | | 2,826,204 | |
| | | | | | | | |
Massachusetts Electric Co. | | | | | | | | |
4.00%, 08/15/2046 (2) | | | 624,000 | | | | 595,193 | |
Mega Advance Investments Ltd. | | | | | | | | |
5.00%, 05/12/2021 (2) | | | 591,000 | | | | 606,165 | |
MidAmerican Energy Co. | | | | | | | | |
3.50%, 10/15/2024 | | | 317,000 | | | | 318,234 | |
3.10%, 05/01/2027 | | | 696,000 | | | | 669,539 | |
Mid-Atlantic Interstate Transmission LLC | | | | | | | | |
4.10%, 05/15/2028 (2) | | | 9,900,000 | | | | 9,894,589 | |
Nevada Power Co. | | | | | | | | |
6.50%, 08/01/2018 | | | 232,000 | | | | 232,665 | |
7.13%, 03/15/2019 | | | 188,000 | | | | 193,808 | |
5.38%, 09/15/2040 | | | 261,000 | | | | 304,198 | |
5.45%, 05/15/2041 | | | 386,000 | | | | 441,747 | |
New England Power Co. | | | | | | | | |
3.80%, 12/05/2047 (2) | | | 6,995,000 | | | | 6,686,811 | |
New York State Electric & Gas Corp. | | | | | | | | |
3.25%, 12/01/2026 (2) | | | 804,000 | | | | 771,429 | |
NextEra Energy Capital Holdings, Inc. | | | | | | | | |
2.40%, 09/15/2019 | | | 487,000 | | | | 483,173 | |
2.70%, 09/15/2019 | | | 4,684,000 | | | | 4,660,441 | |
3.55%, 05/01/2027 | | | 403,000 | | | | 387,229 | |
Niagara Mohawk Power Co. | | | | | | | | |
4.88%, 08/15/2019 (2) | | | 168,000 | | | | 171,148 | |
3.51%, 10/01/2024 (2) | | | 258,000 | | | | 257,818 | |
NiSource, Inc. | | | | | | | | |
3.85%, 02/15/2023 | | | 283,000 | | | | 284,781 | |
3.65%, 06/15/2023 (2) | | | 3,575,000 | | | | 3,570,108 | |
6.25%, 12/15/2040 | | | 550,000 | | | | 651,458 | |
5.80%, 02/01/2042 | | | 774,000 | | | | 889,777 | |
3.95%, 03/30/2048 | | | 4,480,000 | | | | 4,139,297 | |
Northern States Power Co./MN | | | | | | | | |
6.25%, 06/01/2036 | | | 458,000 | | | | 569,238 | |
4.13%, 05/15/2044 | | | 1,480,000 | | | | 1,488,556 | |
3.60%, 09/15/2047 | | | 2,395,000 | | | | 2,205,826 | |
Ohio Power Co. | | | | | | | | |
5.38%, 10/01/2021 | | | 65,000 | | | | 69,223 | |
4.15%, 04/01/2048 | | | 1,190,000 | | | | 1,195,730 | |
Oncor Electric Delivery Co. LLC | | | | | | | | |
6.80%, 09/01/2018 | | | 635,000 | | | | 638,990 | |
7.00%, 09/01/2022 | | | 124,000 | | | | 141,221 | |
| | | | | | | | |
Pacific Gas & Electric Co. | | | | | | | | |
3.25%, 09/15/2021 | | | 146,000 | | | | 142,168 | |
2.45%, 08/15/2022 | | | 581,000 | | | | 538,748 | |
3.25%, 06/15/2023 | | | 206,000 | | | | 196,626 | |
3.40%, 08/15/2024 | | | 14,420,000 | | | | 13,473,285 | |
3.50%, 06/15/2025 | | | 547,000 | | | | 510,296 | |
2.95%, 03/01/2026 | | | 194,000 | | | | 173,048 | |
6.05%, 03/01/2034 | | | 146,000 | | | | 157,661 | |
4.50%, 12/15/2041 | | | 749,000 | | | | 673,051 | |
4.45%, 04/15/2042 | | | 194,000 | | | | 175,803 | |
4.00%, 12/01/2046 | | | 358,000 | | | | 308,524 | |
PacifiCo. | | | | | | | | |
5.65%, 07/15/2018 | | | 294,000 | | | | 294,307 | |
5.50%, 01/15/2019 | | | 26,000 | | | | 26,386 | |
2.95%, 02/01/2022 | | | 103,000 | | | | 101,902 | |
PECO Energy Co. | | | | | | | | |
2.38%, 09/15/2022 | | | 578,000 | | | | 557,982 | |
4.15%, 10/01/2044 | | | 353,000 | | | | 354,489 | |
3.70%, 09/15/2047 | | | 2,120,000 | | | | 1,991,666 | |
Pennsylvania Electric Co. | | | | | | | | |
3.25%, 03/15/2028 (2) | | | 2,386,000 | | | | 2,223,747 | |
Pepco Holdings LLC | | | | | | | | |
7.45%, 08/15/2032 | | | 222,000 | | | | 273,661 | |
Pinnacle West Capital Corp. | | | | | | | | |
2.25%, 11/30/2020 | | | 3,954,000 | | | | 3,858,669 | |
PNM Resources, Inc. | | | | | | | | |
3.25%, 03/09/2021 | | | 165,000 | | | | 163,728 | |
Potomac Electric Power Co. | | | | | | | | |
6.50%, 11/15/2037 | | | 136,000 | | | | 176,326 | |
PPL Capital Funding, Inc. | | | | | | | | |
4.00%, 09/15/2047 | | | 200,000 | | | | 182,700 | |
PPL Electric Utilities Co. | | | | | | | | |
2.50%, 09/01/2022 | | | 178,000 | | | | 171,292 | |
4.13%, 06/15/2044 | | | 208,000 | | | | 207,388 | |
Progress Energy, Inc. | | | | | | | | |
7.05%, 03/15/2019 | | | 4,553,000 | | | | 4,683,595 | |
4.40%, 01/15/2021 | | | 390,000 | | | | 398,334 | |
3.15%, 04/01/2022 | | | 389,000 | | | | 383,741 | |
7.75%, 03/01/2031 | | | 7,346,000 | | | | 9,774,454 | |
| | | | | | | | |
PSEG Power LLC | | | | | | | | |
5.13%, 04/15/2020 | | | 430,000 | | | | 443,486 | |
3.00%, 06/15/2021 | | | 2,310,000 | | | | 2,284,030 | |
4.15%, 09/15/2021 | | | 332,000 | | | | 338,375 | |
8.63%, 04/15/2031 | | | 130,000 | | | | 170,373 | |
Public Service Co. of Colorado | | | | | | | | |
5.80%, 08/01/2018 | | | 28,000 | | | | 28,071 | |
3.20%, 11/15/2020 | | | 120,000 | | | | 120,143 | |
3.55%, 06/15/2046 | | | 353,000 | | | | 319,892 | |
4.10%, 06/15/2048 | | | 2,515,000 | | | | 2,526,233 | |
Public Service Co. of New Hampshire | | | | | | | | |
3.50%, 11/01/2023 | | | 101,000 | | | | 100,948 | |
Public Service Co. of Oklahoma | | | | | | | | |
5.15%, 12/01/2019 | | | 143,000 | | | | 146,781 | |
4.40%, 02/01/2021 | | | 203,000 | | | | 208,981 | |
6.63%, 11/15/2037 | | | 649,000 | | | | 830,120 | |
Public Service Electric & Gas Co. | | | | | | | | |
1.80%, 06/01/2019 | | | 85,000 | | | | 84,268 | |
3.15%, 08/15/2024 | | | 1,000,000 | | | | 970,898 | |
5.38%, 11/01/2039 | | | 117,000 | | | | 137,920 | |
3.60%, 12/01/2047 | | | 1,605,000 | | | | 1,476,186 | |
Puget Energy, Inc. | | | | | | | | |
3.65%, 05/15/2025 | | | 1,200,000 | | | | 1,167,487 | |
RGS I&M Funding Co. | | | | | | | | |
9.82%, 06/07/2022 | | | 85,737 | | | | 98,187 | |
San Diego Gas & Electric Co. | | | | | | | | |
6.00%, 06/01/2026 | | | 213,000 | | | | 241,160 | |
5.35%, 05/15/2040 | | | 3,430,000 | | | | 3,997,056 | |
3.95%, 11/15/2041 | | | 310,000 | | | | 303,859 | |
Sempra Energy | | | | | | | | |
9.80%, 02/15/2019 | | | 5,218,000 | | | | 5,429,552 | |
2.88%, 10/01/2022 | | | 361,000 | | | | 349,671 | |
4.05%, 12/01/2023 | | | 10,325,000 | | | | 10,451,885 | |
3.55%, 06/15/2024 | | | 709,000 | | | | 694,080 | |
3.25%, 06/15/2027 | | | 600,000 | | | | 558,832 | |
3.40%, 02/01/2028 | | | 4,233,000 | | | | 3,969,684 | |
6.00%, 10/15/2039 | | | 4,641,000 | | | | 5,497,461 | |
South Carolina Electric & Gas Co. | | | | | | | | |
6.63%, 02/01/2032 | | | 500,000 | | | | 588,595 | |
5.30%, 05/15/2033 | | | 225,000 | | | | 239,040 | |
6.05%, 01/15/2038 | | | 400,000 | | | | 453,708 | |
5.50%, 12/15/2039 | | | 250,000 | | | | 261,126 | |
| | | | | | | | |
Southern California Edison Co. | | | | | | | | |
5.50%, 08/15/2018 | | | 144,000 | | | | 144,474 | |
3.88%, 06/01/2021 | | | 102,000 | | | | 103,584 | |
1.85%, 02/01/2022 | | | 192,000 | | | | 187,253 | |
3.50%, 10/01/2023 | | | 328,000 | | | | 327,247 | |
3.65%, 03/01/2028 | | | 1,200,000 | | | | 1,171,606 | |
5.95%, 02/01/2038 | | | 67,000 | | | | 81,049 | |
6.05%, 03/15/2039 | | | 253,000 | | | | 302,914 | |
3.90%, 12/01/2041 | | | 392,000 | | | | 363,016 | |
4.13%, 03/01/2048 | | | 4,674,000 | | | | 4,418,405 | |
Southern Co. | | | | | | | | |
2.15%, 09/01/2019 | | | 555,000 | | | | 550,142 | |
3.25%, 07/01/2026 | | | 218,000 | | | | 204,560 | |
4.40%, 07/01/2046 | | | 4,709,000 | | | | 4,593,474 | |
Southern Co. Gas Capital Corp. | | | | | | | | |
3.50%, 09/15/2021 | | | 530,000 | | | | 530,048 | |
2.45%, 10/01/2023 | | | 230,000 | | | | 216,192 | |
3.25%, 06/15/2026 | | | 225,000 | | | | 213,466 | |
5.88%, 03/15/2041 | | | 1,210,000 | | | | 1,404,932 | |
4.40%, 06/01/2043 | | | 160,000 | | | | 156,646 | |
3.95%, 10/01/2046 | | | 282,000 | | | | 259,104 | |
Southern Power Co. | | | | | | | | |
5.15%, 09/15/2041 | | | 746,000 | | | | 757,705 | |
Southwest Gas Corp. | | | | | | | | |
3.80%, 09/29/2046 | | | 508,000 | | | | 479,608 | |
Southwestern Electric Power Co. | | | | | | | | |
6.45%, 01/15/2019 | | | 320,000 | | | | 326,233 | |
Southwestern Public Service Co. | | | | | | | | |
4.50%, 08/15/2041 | | | 350,000 | | | | 363,609 | |
State Grid Overseas Investment 2014 Ltd. | | | | | | | | |
2.75%, 05/07/2019 (2) | | | 4,240,000 | | | | 4,226,331 | |
Talent Yield Investments Ltd. | | | | | | | | |
4.50%, 04/25/2022 (2) | | | 715,000 | | | | 723,523 | |
Toledo Edison Co./The | | | | | | | | |
6.15%, 05/15/2037 | | | 680,000 | | | | 828,496 | |
Tri-State Generation & Transmission Association, Inc. | | | | | | | | |
4.25%, 06/01/2046 | | | 371,000 | | | | 349,839 | |
Union Electric Co. | | | | | | | | |
2.95%, 06/15/2027 | | | 715,000 | | | | 674,367 | |
3.65%, 04/15/2045 | | | 1,370,000 | | | | 1,276,685 | |
| | | | | | | | |
Virginia Electric & Power Co. | | | | | | | | |
2.95%, 01/15/2022 | | | 80,000 | | | | 79,109 | |
2.75%, 03/15/2023 | | | 159,000 | | | | 154,083 | |
3.45%, 02/15/2024 | | | 191,000 | | | | 189,455 | |
3.50%, 03/15/2027 | | | 4,955,000 | | | | 4,861,400 | |
3.80%, 04/01/2028 | | | 670,000 | | | | 665,837 | |
4.65%, 08/15/2043 | | | 3,500,000 | | | | 3,647,622 | |
4.45%, 02/15/2044 | | | 126,000 | | | | 128,004 | |
WEC Energy Group, Inc. | | | | | | | | |
3.55%, 06/15/2025 | | | 865,000 | | | | 849,157 | |
Westar Energy, Inc. | | | | | | | | |
4.13%, 03/01/2042 | | | 4,175,000 | | | | 4,160,451 | |
Wisconsin Electric Power Co. | | | | | | | | |
2.95%, 09/15/2021 | | | 27,000 | | | | 26,835 | |
3.10%, 06/01/2025 | | | 285,000 | | | | 275,555 | |
Xcel Energy, Inc. | | | | | | | | |
4.70%, 05/15/2020 | | | 62,000 | | | | 63,332 | |
2.40%, 03/15/2021 | | | 250,000 | | | | 244,261 | |
3.35%, 12/01/2026 | | | 5,105,000 | | | | 4,899,333 | |
6.50%, 07/01/2036 | | | 131,000 | | | | 167,923 | |
4.80%, 09/15/2041 | | | 95,000 | | | | 101,310 | |
| | | | | | | | |
| | | | | | | 432,470,222 | |
| | | | | | | | |
Total Corporate Bonds | | | | | | $ | 4,763,090,632 | |
| | | | | | | | |
Government Related - 21.74% | | | | | | | | |
Abu Dhabi Government International Bond | | | | | | | | |
3.13%, 10/11/2027 (2) | | $ | 10,270,000 | | | $ | 9,557,262 | |
African Development Bank | | | | | | | | |
8.80%, 09/01/2019 | | | 2,720,000 | | | | 2,895,066 | |
Alabama Economic Settlement Authority | | | | | | | | |
4.26%, 09/15/2032 | | | 610,000 | | | | 627,525 | |
American Municipal Power, Inc. | | | | | | | | |
7.50%, 02/15/2050 | | | 1,350,000 | | | | 1,988,240 | |
Atlanta Independent School System | | | | | | | | |
5.56%, 03/01/2026 | | | 535,000 | | | | 607,781 | |
Bay Area Toll Authority | | | | | | | | |
6.26%, 04/01/2049 | | | 1,650,000 | | | | 2,291,982 | |
Caisse d’Amortissement de la Dette Sociale | | | | | | | | |
2.00%, 03/22/2021 (2) | | | 2,940,000 | | | | 2,870,146 | |
| | | | | | | | |
California Educational Facilities Authority | | | | | | | | |
5.00%, 06/01/2046 | | | 1,750,000 | | | | 2,309,073 | |
California Qualified School Bond Joint Powers Authority | | | | | | | | |
7.16%, 03/01/2027 | | | 805,000 | | | | 951,550 | |
California School Finance Authority | | | | | | | | |
5.04%, 07/01/2020 | | | 270,000 | | | | 281,024 | |
City of Houston TX Combined Utility System Revenue | | | | | | | | |
3.83%, 05/15/2028 | | | 1,850,000 | | | | 1,881,894 | |
City of Los Angeles Department of Airports | | | | | | | | |
6.58%, 05/15/2039 | | | 1,650,000 | | | | 2,104,163 | |
Clark County School District | | | | | | | | |
5.51%, 06/15/2024 | | | 3,000,000 | | | | 3,229,500 | |
Colombia Government International Bond | | | | | | | | |
4.38%, 07/12/2021 | | | 1,000,000 | | | | 1,020,500 | |
4.00%, 02/26/2024 | | | 737,000 | | | | 736,263 | |
4.50%, 01/28/2026 | | | 1,192,000 | | | | 1,209,880 | |
7.38%, 09/18/2037 | | | 2,150,000 | | | | 2,676,750 | |
5.63%, 02/26/2044 | | | 200,000 | | | | 212,500 | |
5.00%, 06/15/2045 | | | 842,000 | | | | 828,318 | |
Corp. Andina de Fomento | | | | | | | | |
2.00%, 05/10/2019 | | | 1,470,000 | | | | 1,458,122 | |
2.13%, 09/27/2021 | | | 6,840,000 | | | | 6,582,406 | |
4.38%, 06/15/2022 | | | 2,735,000 | | | | 2,829,330 | |
2.75%, 01/06/2023 | | | 1,125,000 | | | | 1,088,404 | |
County of Cuyahoga OH | | | | | | | | |
9.13%, 10/01/2023 | | | 105,000 | | | | 119,942 | |
District of Columbia Water & Sewer Authority | | | | | | | | |
4.81%, 10/01/2114 | | | 875,000 | | | | 964,758 | |
Eaton Community City School District | | | | | | | | |
5.39%, 08/25/2027 | | | 275,000 | | | | 279,461 | |
Export-Import Bank of India | | | | | | | | |
3.88%, 02/01/2028 (2) | | | 3,480,000 | | | | 3,267,880 | |
Export-Import Bank of Korea | | | | | | | | |
2.25%, 01/21/2020 | | | 1,800,000 | | | | 1,772,708 | |
Federal Farm Credit Banks | | | | | | | | |
5.13%, 11/15/2018 | | | 344,000 | | | | 347,986 | |
3.22%, 03/26/2031 | | | 2,205,000 | | | | 2,161,026 | |
Federal Home Loan Banks | | | | | | | | |
4.00%, 10/24/2029 | | | 2,000,000 | | | | 2,129,150 | |
5.50%, 07/15/2036 | | | 1,135,000 | | | | 1,480,213 | |
| | | | | | | | |
Federal Home Loan Mortgage Co. | | | | | | | | |
2.38%, 01/13/2022 | | | 9,656,000 | | | | 9,527,363 | |
6.25%, 07/15/2032 | | | 3,649,000 | | | | 4,880,727 | |
Federal National Mortgage Association | | | | | | | | |
0.00%, 10/09/2019 | | | 730,000 | | | | 706,742 | |
2.38%, 01/19/2023 | | | 9,430,000 | | | | 9,258,157 | |
2.63%, 09/06/2024 | | | 5,221,000 | | | | 5,132,332 | |
1.88%, 09/24/2026 | | | 845,000 | | | | 772,223 | |
6.25%, 05/15/2029 | | | 1,285,000 | | | | 1,649,823 | |
7.13%, 01/15/2030 | | | 1,500,000 | | | | 2,064,507 | |
6.63%, 11/15/2030 | | | 2,300,000 | | | | 3,094,263 | |
Financing Co. | | | | | | | | |
0.00%, 03/07/2019 PO | | | 205,000 | | | | 201,687 | |
Finnvera OYJ | | | | | | | | |
2.38%, 06/04/2025 (2) | | | 600,000 | | | | 567,840 | |
Government Trust Certificate | | | | | | | | |
0.00%, 04/01/2019 | | | 1,375,000 | | | | 1,350,097 | |
Hashemite Kingdom of Jordan Government AID Bond | | | | | | | | |
3.00%, 06/30/2025 | | | 2,695,000 | | | | 2,670,633 | |
Hungary Government International Bond | | | | | | | | |
6.38%, 03/29/2021 | | | 1,600,000 | | | | 1,708,874 | |
Indonesia Government International Bond | | | | | | | | |
5.88%, 01/15/2024 (2) | | | 1,300,000 | | | | 1,392,032 | |
4.13%, 01/15/2025 (2) | | | 1,325,000 | | | | 1,300,620 | |
4.35%, 01/11/2048 | | | 2,000,000 | | | | 1,792,972 | |
Iowa Tobacco Settlement Authority | | | | | | | | |
6.50%, 06/01/2023 | | | 705,000 | | | | 717,253 | |
Israel Government AID Bond | | | | | | | | |
0.00%, 11/01/2019 IO | | | 345,000 | | | | 333,027 | |
0.00%, 09/15/2023 | | | 1,837,000 | | | | 1,578,350 | |
5.50%, 09/18/2023 | | | 4,835,000 | | | | 5,440,678 | |
0.00%, 11/01/2023 IO | | | 413,000 | | | | 352,815 | |
0.00%, 08/15/2024 | | | 1,500,000 | | | | 1,248,173 | |
0.00%, 11/01/2024 | | | 1,000,000 | | | | 822,408 | |
0.00%, 11/01/2024 PO | | | 17,739,000 | | | | 14,589,141 | |
0.00%, 11/15/2024 | | | 2,299,000 | | | | 1,887,196 | |
0.00%, 08/15/2025 | | | 2,500,000 | | | | 1,991,191 | |
0.00%, 11/15/2026 | | | 258,000 | | | | 196,089 | |
5.50%, 09/18/2033 | | | 619,000 | | | | 781,164 | |
| | | | | | | | |
Japan Bank for International Cooperation | | | | | | | | |
2.25%, 02/24/2020 | | | 2,200,000 | | | | 2,178,426 | |
2.13%, 06/01/2020 | | | 1,400,000 | | | | 1,378,170 | |
2.13%, 07/21/2020 | | | 3,800,000 | | | | 3,735,231 | |
2.13%, 11/16/2020 | | | 4,000,000 | | | | 3,921,364 | |
1.50%, 07/21/2021 | | | 4,000,000 | | | | 3,817,518 | |
Japan Finance Organization for Municipalities | | | | | | | | |
2.00%, 09/08/2020 (2) | | | 2,400,000 | | | | 2,345,994 | |
2.13%, 04/13/2021 (2) | | | 1,600,000 | | | | 1,554,048 | |
2.63%, 04/20/2022 (2) | | | 6,000,000 | | | | 5,852,280 | |
3.25%, 04/24/2023 (2) | | | 1,000,000 | | | | 999,781 | |
2.13%, 10/25/2023 (2) | | | 3,400,000 | | | | 3,190,216 | |
Los Angeles Department of Power | | | | | | | | |
6.60%, 07/01/2050 | | | 2,400,000 | | | | 3,474,072 | |
Mexico Government International Bond | | | | | | | | |
4.00%, 10/02/2023 | | | 1,576,000 | | | | 1,580,728 | |
3.60%, 01/30/2025 | | | 868,000 | | | | 838,488 | |
4.13%, 01/21/2026 | | | 1,014,000 | | | | 1,005,888 | |
3.75%, 01/11/2028 | | | 3,517,000 | | | | 3,325,323 | |
4.75%, 03/08/2044 | | | 3,680,000 | | | | 3,429,327 | |
5.55%, 01/21/2045 | | | 1,494,000 | | | | 1,561,230 | |
4.35%, 01/15/2047 | | | 42,000 | | | | 37,527 | |
4.60%, 02/10/2048 | | | 8,559,000 | | | | 7,874,280 | |
5.75%, 10/12/2110 | | | 588,000 | | | | 578,886 | |
New Hampshire Housing Finance Authority | | | | | | | | |
3.05%, 01/01/2021 | | | 95,000 | | | | 94,548 | |
3.75%, 07/01/2034 | | | 160,000 | | | | 160,555 | |
New Jersey Economic Development Authority | | | | | | | | |
7.43%, 02/15/2029 | | | 1,322,000 | | | | 1,609,442 | |
New Jersey Transportation Trust Fund Authority | | | | | | | | |
5.75%, 12/15/2028 | | | 5,010,000 | | | | 5,564,056 | |
6.56%, 12/15/2040 | | | 1,780,000 | | | | 2,212,077 | |
New Jersey Turnpike Authority | | | | | | | | |
7.10%, 01/01/2041 | | | 5,870,000 | | | | 8,261,673 | |
New York State Dormitory Authority | | | | | | | | |
5.60%, 03/15/2040 | | | 260,000 | | | | 318,139 | |
New York State Urban Development Corp. | | | | | | | | |
5.84%, 03/15/2040 | | | 2,000,000 | | | | 2,422,320 | |
North American Development Bank | | | | | | | | |
4.38%, 02/11/2020 | | | 2,500,000 | | | | 2,557,095 | |
2.40%, 10/26/2022 | | | 2,595,000 | | | | 2,503,147 | |
| | | | | | | | |
North Carolina Housing Finance Agency | | | | | | | | |
3.00%, 01/01/2033 | | | 3,530,000 | | | | 3,475,744 | |
North Carolina State Education Assistance Authority | | | | | | | | |
3.16% (3 Month LIBOR USD + 0.80%), 07/25/2036 (1) | | | 8,600,000 | | | | 8,640,764 | |
Ohio State University/The | | | | | | | | |
4.05%, 12/01/2056 | | | 406,000 | | | | 412,354 | |
4.80%, 06/01/2111 | | | 1,102,000 | | | | 1,200,882 | |
Panama Government International Bond | | | | | | | | |
4.00%, 09/22/2024 | | | 2,810,000 | | | | 2,831,075 | |
3.75%, 03/16/2025 | | | 650,000 | | | | 641,875 | |
4.50%, 04/16/2050 | | | 2,950,000 | | | | 2,839,375 | |
Peruvian Government International Bond | | | | | | | | |
8.75%, 11/21/2033 | | | 4,732,000 | | | | 6,944,210 | |
5.63%, 11/18/2050 | | | 190,000 | | | | 220,638 | |
Port Authority of New York & New Jersey | | | | | | | | |
5.65%, 11/01/2040 | | | 1,260,000 | | | | 1,560,787 | |
5.65%, 11/01/2040 | | | 435,000 | | | | 538,843 | |
4.46%, 10/01/2062 | | | 2,065,000 | | | | 2,193,175 | |
Province of Alberta Canada | | | | | | | | |
2.20%, 07/26/2022 | | | 1,975,000 | | | | 1,906,515 | |
3.30%, 03/15/2028 | | | 4,955,000 | | | | 4,943,862 | |
Province of Manitoba Canada | | | | | | | | |
2.13%, 05/04/2022 | | | 2,520,000 | | | | 2,427,491 | |
2.13%, 06/22/2026 | | | 400,000 | | | | 365,155 | |
Province of Ontario Canada | | | | | | | | |
2.50%, 09/10/2021 | | | 230,000 | | | | 226,200 | |
2.25%, 05/18/2022 | | | 2,320,000 | | | | 2,247,071 | |
Province of Quebec Canada | | | | | | | | |
7.37%, 03/06/2026 (8) | | | 58,000 | | | | 72,529 | |
2.75%, 04/12/2027 | | | 3,840,000 | | | | 3,693,813 | |
Qatar Government International Bond | | | | | | | | |
3.88%, 04/23/2023 (2) | | | 6,938,000 | | | | 6,932,949 | |
4.50%, 04/23/2028 (2) | | | 6,767,000 | | | | 6,829,189 | |
5.10%, 04/23/2048 (2) | | | 4,190,000 | | | | 4,177,262 | |
Republic of South Africa Government International Bond | | | | | | | | |
5.88%, 09/16/2025 | | | 403,000 | | | | 413,639 | |
Residual Funding Co. Principal Strip | | | | | | | | |
0.00%, 10/15/2019 PO | | | 1,377,000 | | | | 1,332,893 | |
0.00%, 07/15/2020 PO | | | 25,916,000 | | | | 24,580,970 | |
0.00%, 10/15/2020 PO | | | 6,760,000 | | | | 6,357,821 | |
0.00%, 01/15/2021 PO | | | 5,455,000 | | | | 5,084,415 | |
| | | | | | | | |
Resolution Funding Corp. Interest Strip | | | | | | | | |
0.00%, 01/15/2026 | | | 1,460,000 | | | | 1,159,923 | |
0.00%, 10/15/2027 | | | 1,295,000 | | | | 962,026 | |
Rhode Island Housing & Mortgage Finance Co./RI | | | | | | | | |
4.00%, 10/01/2023 | | | 4,000,000 | | | | 4,064,280 | |
Romanian Government International Bond | | | | | | | | |
6.75%, 02/07/2022 | | | 250,000 | | | | 272,385 | |
Saudi Government International Bond | | | | | | | | |
2.38%, 10/26/2021 (2) | | | 5,950,000 | | | | 5,713,190 | |
2.88%, 03/04/2023 (2) | | | 5,560,000 | | | | 5,348,186 | |
4.00%, 04/17/2025 (2) | | | 3,200,000 | | | | 3,184,192 | |
5.00%, 04/17/2049 (2) | | | 1,417,000 | | | | 1,378,203 | |
State of California | | | | | | | | |
7.50%, 04/01/2034 | | | 9,340,000 | | | | 13,117,937 | |
7.30%, 10/01/2039 | | | 4,564,000 | | | | 6,466,275 | |
State of Illinois | | | | | | | | |
5.00%, 11/01/2022 | | | 10,340,000 | | | | 10,931,862 | |
5.10%, 06/01/2033 | | | 3,160,000 | | | | 2,990,497 | |
State Public School Building Authority | | | | | | | | |
5.00%, 09/15/2027 | | | 1,536,000 | | | | 1,668,004 | |
Svensk Exportkredit AB | | | | | | | | |
1.75%, 03/10/2021 | | | 7,180,000 | | | | 6,976,448 | |
Tennessee Valley Authority | | | | | | | | |
2.88%, 02/01/2027 | | | 600,000 | | | | 584,859 | |
7.13%, 05/01/2030 | | | 1,615,000 | | | | 2,220,402 | |
5.88%, 04/01/2036 | | | 1,831,000 | | | | 2,396,074 | |
5.50%, 06/15/2038 | | | 57,000 | | | | 74,228 | |
4.63%, 09/15/2060 | | | 1,308,000 | | | | 1,567,040 | |
4.25%, 09/15/2065 | | | 1,720,000 | | | | 1,946,204 | |
Tennessee Valley Authority Generic Strip | | | | | | | | |
0.00%, 05/01/2019 IO | | | 1,238,000 | | | | 1,210,019 | |
0.00%, 07/15/2028 IO | | | 2,000,000 | | | | 1,421,164 | |
0.00%, 03/15/2032 | | | 1,514,000 | | | | 932,921 | |
Tennessee Valley Authority Principal Strip | | | | | | | | |
0.00%, 11/01/2025 PO | | | 1,847,000 | | | | 1,451,268 | |
0.00%, 06/15/2035 PO | | | 258,000 | | | | 139,045 | |
Three Rivers Local School District | | | | | | | | |
5.21%, 09/15/2027 | | | 285,000 | | | | 297,010 | |
| | | | | | | | |
Tokyo Metropolitan Government | | | | | | | | |
2.00%, 05/17/2021 (2) | | | 2,400,000 | | | | 2,317,524 | |
2.50%, 06/08/2022 (2) | | | 5,000,000 | | | | 4,850,525 | |
3.25%, 06/01/2023 (2) | | | 1,200,000 | | | | 1,199,812 | |
Turkey Government International Bond | | | | | | | | |
7.00%, 06/05/2020 | | | 3,910,000 | | | | 4,002,518 | |
U.S. Treasury Inflation Indexed Bonds | | | | | | | | |
0.13%, 04/15/2019 (10) | | | 962,325 | | | | 956,636 | |
1.38%, 01/15/2020 (10) | | | 344,110 | | | | 347,993 | |
0.13%, 01/15/2022 (10) | | | 2,459,687 | | | | 2,417,814 | |
1.75%, 01/15/2028 (10) | | | 717,564 | | | | 783,915 | |
3.63%, 04/15/2028 (10) | | | 1,615,680 | | | | 2,050,669 | |
2.50%, 01/15/2029 (10) | | | 481,954 | | | | 566,211 | |
U.S. Treasury Note/Bond | | | | | | | | |
1.50%, 08/31/2018 | | | 5,061,000 | | | | 5,057,559 | |
0.75%, 10/31/2018 | | | 85,000 | | | | 84,651 | |
1.25%, 12/31/2018 | | | 110,000 | | | | 109,497 | |
1.38%, 12/31/2018 | | | 722,000 | | | | 719,180 | |
1.13%, 01/31/2019 | | | 1,930,000 | | | | 1,918,202 | |
1.50%, 01/31/2019 | | | 1,050,000 | | | | 1,045,652 | |
0.75%, 02/15/2019 | | | 5,000,000 | | | | 4,954,687 | |
3.13%, 05/15/2019 | | | 10,774,000 | | | | 10,844,704 | |
1.50%, 05/31/2019 | | | 1,360,000 | | | | 1,349,588 | |
1.00%, 11/30/2019 | | | 2,392,000 | | | | 2,343,413 | |
8.50%, 02/15/2020 | | | 4,750,000 | | | | 5,201,250 | |
2.25%, 02/29/2020 | | | 34,278,000 | | | | 34,136,068 | |
2.25%, 03/31/2020 | | | 22,350,000 | | | | 22,247,854 | |
2.38%, 04/30/2020 | | | 12,193,000 | | | | 12,160,612 | |
3.50%, 05/15/2020 | | | 1,300,000 | | | | 1,322,852 | |
1.50%, 05/31/2020 | | | 2,375,000 | | | | 2,329,170 | |
2.50%, 05/31/2020 | | | 15,396,000 | | | | 15,388,182 | |
1.63%, 06/30/2020 | | | 1,500,000 | | | | 1,473,340 | |
2.50%, 06/30/2020 | | | 13,739,000 | | | | 13,730,413 | |
2.63%, 08/15/2020 | | | 3,709,000 | | | | 3,713,491 | |
8.75%, 08/15/2020 | | | 6,304,000 | | | | 7,103,574 | |
1.38%, 08/31/2020 | | | 10,000,000 | | | | 9,751,562 | |
2.13%, 08/31/2020 | | | 2,032,000 | | | | 2,013,426 | |
2.63%, 11/15/2020 | | | 4,596,000 | | | | 4,599,950 | |
1.63%, 11/30/2020 | | | 20,000,000 | | | | 19,548,438 | |
2.00%, 11/30/2020 | | | 1,000,000 | | | | 986,289 | |
1.38%, 01/31/2021 | | | 15,955,000 | | | | 15,467,625 | |
| | | | | | | | |
3.63%, 02/15/2021 | | | 1,961,000 | | | | 2,010,944 | |
7.88%, 02/15/2021 | | | 900,000 | | | | 1,019,637 | |
1.13%, 02/28/2021 | | | 15,772,000 | | | | 15,173,773 | |
1.25%, 03/31/2021 | | | 1,996,000 | | | | 1,924,191 | |
1.38%, 04/30/2021 | | | 5,995,000 | | | | 5,792,669 | |
2.25%, 04/30/2021 | | | 1,800,000 | | | | 1,782,000 | |
2.63%, 05/15/2021 | | | 1,301,800 | | | | 1,301,749 | |
3.13%, 05/15/2021 | | | 4,592,000 | | | | 4,654,961 | |
8.13%, 05/15/2021 | | | 1,718,000 | | | | 1,977,512 | |
2.63%, 06/15/2021 | | | 22,365,000 | | | | 22,365,874 | |
2.13%, 06/30/2021 | | | 12,995,000 | | | | 12,806,166 | |
2.13%, 08/15/2021 | | | 2,805,000 | | | | 2,761,501 | |
1.13%, 09/30/2021 | | | 11,010,000 | | | | 10,489,175 | |
2.13%, 09/30/2021 | | | 14,190,000 | | | | 13,957,750 | |
1.25%, 10/31/2021 | | | 1,192,000 | | | | 1,138,732 | |
2.00%, 10/31/2021 | | | 15,000,000 | | | | 14,684,766 | |
2.00%, 11/15/2021 | | | 14,000,000 | | | | 13,704,141 | |
8.00%, 11/15/2021 | | | 4,414,000 | | | | 5,169,553 | |
1.75%, 11/30/2021 | | | 10,000 | | | | 9,703 | |
2.00%, 12/31/2021 | | | 39,575,000 | | | | 38,689,200 | |
1.50%, 01/31/2022 | | | 1,250,000 | | | | 1,199,707 | |
1.88%, 01/31/2022 | | | 15,535,000 | | | | 15,109,001 | |
1.75%, 02/28/2022 | | | 30,000,000 | | | | 29,021,484 | |
1.75%, 03/31/2022 | | | 65,200,000 | | | | 63,032,609 | |
1.88%, 03/31/2022 | | | 62,284,000 | | | | 60,486,036 | |
1.88%, 04/30/2022 | | | 70,217,000 | | | | 68,129,690 | |
1.75%, 06/30/2022 | | | 4,994,000 | | | | 4,813,943 | |
2.13%, 06/30/2022 | | | 32,000,000 | | | | 31,301,250 | |
2.00%, 07/31/2022 | | | 8,500,000 | | | | 8,267,910 | |
1.63%, 08/31/2022 | | | 23,919,000 | | | | 22,901,508 | |
1.75%, 09/30/2022 | | | 12,000,000 | | | | 11,539,219 | |
1.88%, 09/30/2022 | | | 50,727,000 | | | | 49,028,835 | |
2.00%, 10/31/2022 | | | 664,000 | | | | 644,599 | |
2.00%, 11/30/2022 | | | 28,103,000 | | | | 27,270,888 | |
2.13%, 12/31/2022 | | | 55,602,000 | | | | 54,192,403 | |
1.75%, 01/31/2023 | | | 12,000,000 | | | | 11,496,094 | |
2.38%, 01/31/2023 | | | 20,446,000 | | | | 20,136,115 | |
2.00%, 02/15/2023 | | | 500,000 | | | | 484,297 | |
2.63%, 02/28/2023 | | | 33,356,000 | | | | 33,212,673 | |
2.50%, 03/31/2023 | | | 22,082,000 | | | | 21,854,279 | |
| | | | | | | | |
1.63%, 04/30/2023 | | | 31,050,000 | | | | 29,492,648 | |
2.75%, 04/30/2023 | | | 11,014,000 | | | | 11,021,314 | |
1.75%, 05/15/2023 | | | 9,000,000 | | | | 8,595,352 | |
2.75%, 05/31/2023 | | | 28,675,600 | | | | 28,701,363 | |
2.63%, 06/30/2023 | | | 29,143,000 | | | | 29,003,551 | |
2.50%, 08/15/2023 | | | 9,000,000 | | | | 8,893,125 | |
1.38%, 08/31/2023 | | | 12,000,000 | | | | 11,205,937 | |
1.63%, 10/31/2023 | | | 25,000,000 | | | | 23,594,727 | |
2.75%, 02/15/2024 | | | 1,000,000 | | | | 998,477 | |
2.13%, 02/29/2024 | | | 10,842,000 | | | | 10,471,424 | |
2.50%, 05/15/2024 | | | 89,113,000 | | | | 87,699,723 | |
2.00%, 06/30/2024 | | | 543,000 | | | | 519,201 | |
2.38%, 08/15/2024 | | | 20,000,000 | | | | 19,521,094 | |
2.25%, 11/15/2024 | | | 20,529,000 | | | | 19,859,402 | |
2.13%, 11/30/2024 | | | 25,415,000 | | | | 24,399,393 | |
2.25%, 12/31/2024 | | | 7,973,000 | | | | 7,708,583 | |
2.00%, 02/15/2025 | | | 15,000,000 | | | | 14,262,305 | |
2.88%, 04/30/2025 | | | 840,000 | | | | 843,117 | |
2.13%, 05/15/2025 | | | 37,000,000 | | | | 35,400,039 | |
2.88%, 05/31/2025 | | | 6,369,000 | | | | 6,392,137 | |
2.00%, 08/15/2025 | | | 150,100 | | | | 142,155 | |
2.25%, 11/15/2025 | | | 108,961,000 | | | | 104,777,068 | |
1.63%, 02/15/2026 | | | 45,900 | | | | 42,102 | |
1.63%, 05/15/2026 | | | 24,145,000 | | | | 22,083,243 | |
1.50%, 08/15/2026 | | | 12,739,000 | | | | 11,501,426 | |
2.00%, 11/15/2026 | | | 87,086,000 | | | | 81,585,295 | |
2.38%, 05/15/2027 | | | 5,211,000 | | | | 5,016,402 | |
2.25%, 11/15/2027 | | | 30,000,000 | | | | 28,507,031 | |
2.88%, 05/15/2028 | | | 17,584,000 | | | | 17,611,475 | |
5.50%, 08/15/2028 | | | 1,312,000 | | | | 1,614,221 | |
5.25%, 11/15/2028 | | | 67,000 | | | | 81,248 | |
5.38%, 02/15/2031 | | | 78,200 | | | | 98,749 | |
4.50%, 02/15/2036 | | | 2,163,000 | | | | 2,642,916 | |
4.75%, 02/15/2037 | | | 37,619,000 | | | | 47,639,467 | |
5.00%, 05/15/2037 | | | 8,604,000 | | | | 11,224,523 | |
4.38%, 02/15/2038 | | | 3,278,000 | | | | 3,991,733 | |
3.50%, 02/15/2039 | | | 105,299,100 | | | | 114,566,243 | |
4.25%, 05/15/2039 | | | 6,800,000 | | | | 8,194,531 | |
4.50%, 08/15/2039 | | | 4,706,000 | | | | 5,860,624 | |
4.38%, 11/15/2039 | | | 7,900,000 | | | | 9,690,152 | |
| | | | | | | | |
4.63%, 02/15/2040 | | | 3,000,000 | | | | 3,802,969 | |
4.38%, 05/15/2040 | | | 7,600,000 | | | | 9,341,172 | |
3.88%, 08/15/2040 | | | 4,380,000 | | | | 5,033,920 | |
4.25%, 11/15/2040 | | | 4,500,000 | | | | 5,449,746 | |
4.75%, 02/15/2041 | | | 3,500,000 | | | | 4,531,133 | |
4.38%, 05/15/2041 | | | 1,500,000 | | | | 1,850,449 | |
2.75%, 08/15/2042 | | | 293,000 | | | | 281,543 | |
2.75%, 11/15/2042 | | | 1,200,000 | | | | 1,152,516 | |
3.13%, 02/15/2043 | | | 12,400,000 | | | | 12,711,453 | |
2.88%, 05/15/2043 | | | 165,850,000 | | | | 162,733,834 | |
3.63%, 08/15/2043 | | | 22,260,000 | | | | 24,779,032 | |
3.75%, 11/15/2043 | | | 46,636,000 | | | | 52,950,077 | |
3.63%, 02/15/2044 | | | 34,400,000 | | | | 38,334,500 | |
2.50%, 02/15/2045 | | | 24,800,000 | | | | 22,588,344 | |
3.00%, 05/15/2045 | | | 52,405,000 | | | | 52,558,530 | |
2.88%, 08/15/2045 | | | 9,580,000 | | | | 9,379,419 | |
3.00%, 11/15/2045 | | | 11,563,000 | | | | 11,592,359 | |
2.50%, 05/15/2046 | | | 8,067,000 | | | | 7,323,008 | |
2.88%, 11/15/2046 | | | 17,550,000 | | | | 17,166,779 | |
3.00%, 05/15/2047 | | | 13,861,000 | | | | 13,886,448 | |
2.75%, 08/15/2047 | | | 16,887,000 | | | | 16,097,401 | |
2.75%, 11/15/2047 | | | 33,416,000 | | | | 31,850,930 | |
3.00%, 02/15/2048 | | | 72,784,000 | | | | 72,954,587 | |
3.13%, 05/15/2048 | | | 1,624,400 | | | | 1,667,992 | |
U.S. Treasury Strip Coupon | | | | | | | | |
0.00%, 08/15/2018 | | | 10,000,000 | | | | 9,976,475 | |
0.00%, 05/15/2019 | | | 16,918,000 | | | | 16,587,247 | |
0.00%, 08/15/2019 | | | 15,757,000 | | | | 15,338,006 | |
0.00%, 02/15/2020 | | | 8,378,000 | | | | 8,047,453 | |
0.00%, 05/15/2020 | | | 17,015,000 | | | | 16,240,012 | |
0.00%, 08/15/2020 | | | 34,113,000 | | | | 32,313,465 | |
0.00%, 02/15/2021 | | | 14,550,000 | | | | 13,585,593 | |
0.00%, 05/15/2021 | | | 14,843,000 | | | | 13,762,580 | |
0.00%, 08/15/2021 | | | 9,469,000 | | | | 8,719,493 | |
0.00%, 11/15/2021 | | | 11,144,000 | | | | 10,185,448 | |
0.00%, 02/15/2022 | | | 33,917,000 | | | | 30,757,739 | |
0.00%, 05/15/2022 | | | 18,154,000 | | | | 16,344,326 | |
0.00%, 08/15/2022 | | | 12,500,000 | | | | 11,163,481 | |
0.00%, 11/15/2022 | | | 17,400,000 | | | | 15,418,592 | |
0.00%, 02/15/2023 | | | 61,562,000 | | | | 54,139,987 | |
| | | | | | | | |
0.00%, 05/15/2023 | | | 30,855,000 | | | | 26,944,351 | |
0.00%, 08/15/2023 | | | 22,550,000 | | | | 19,541,217 | |
0.00%, 11/15/2023 | | | 9,300,000 | | | | 8,000,183 | |
0.00%, 02/15/2024 | | | 6,124,000 | | | | 5,226,210 | |
0.00%, 05/15/2024 | | | 1,322,000 | | | | 1,120,177 | |
0.00%, 08/15/2024 | | | 1,834,000 | | | | 1,541,881 | |
0.00%, 11/15/2024 | | | 6,105,000 | | | | 5,092,587 | |
0.00%, 02/15/2025 | | | 799,000 | | | | 661,174 | |
0.00%, 05/15/2025 | | | 3,279,000 | | | | 2,694,176 | |
0.00%, 08/15/2025 | | | 16,360,000 | | | | 13,333,257 | |
0.00%, 02/15/2026 | | | 1,000,000 | | | | 802,853 | |
0.00%, 05/15/2026 | | | 3,801,000 | | | | 3,030,126 | |
0.00%, 11/15/2026 | | | 10,222,000 | | | | 8,023,212 | |
0.00%, 02/15/2027 | | | 20,416,000 | | | | 15,883,267 | |
0.00%, 08/15/2027 | | | 4,314,000 | | | | 3,303,923 | |
0.00%, 11/15/2027 | | | 7,702,000 | | | | 5,852,873 | |
0.00%, 02/15/2028 | | | 7,769,000 | | | | 5,858,437 | |
0.00%, 08/15/2028 | | | 6,918,000 | | | | 5,129,282 | |
0.00%, 11/15/2028 | | | 7,540,000 | | | | 5,551,024 | |
0.00%, 02/15/2029 | | | 7,537,000 | | | | 5,505,935 | |
0.00%, 05/15/2029 | | | 1,330,000 | | | | 964,513 | |
0.00%, 08/15/2029 | | | 4,738,000 | | | | 3,406,839 | |
0.00%, 11/15/2029 | | | 21,999,000 | | | | 15,689,249 | |
0.00%, 02/15/2030 | | | 15,187,000 | | | | 10,746,463 | |
0.00%, 05/15/2030 | | | 8,464,000 | | | | 5,943,636 | |
0.00%, 08/15/2030 | | | 13,772,000 | | | | 9,606,389 | |
0.00%, 11/15/2030 | | | 11,064,000 | | | | 7,651,839 | |
0.00%, 02/15/2031 (11) | | | 25,688,000 | | | | 17,626,379 | |
0.00%, 05/15/2031 | | | 19,225,000 | | | | 13,092,559 | |
0.00%, 08/15/2031 | | | 16,262,000 | | | | 10,991,942 | |
0.00%, 11/15/2031 | | | 13,399,000 | | | | 8,989,872 | |
0.00%, 02/15/2032 | | | 20,909,000 | | | | 13,909,024 | |
0.00%, 05/15/2032 | | | 24,453,000 | | | | 16,131,176 | |
0.00%, 08/15/2032 | | | 10,925,000 | | | | 7,154,567 | |
0.00%, 02/15/2033 | | | 10,000,000 | | | | 6,451,125 | |
0.00%, 05/15/2033 | | | 10,845,000 | | | | 6,934,983 | |
0.00%, 08/15/2033 | | | 4,212,000 | | | | 2,675,850 | |
0.00%, 11/15/2033 | | | 13,216,000 | | | | 8,335,789 | |
0.00%, 02/15/2034 | | | 17,759,000 | | | | 11,114,985 | |
0.00%, 05/15/2034 | | | 31,500,000 | | | | 19,558,616 | |
| | | | | | | | |
0.00%, 08/15/2034 | | | 6,895,000 | | | | 4,249,335 | |
0.00%, 11/15/2034 | | | 3,492,000 | | | | 2,137,250 | |
0.00%, 02/15/2035 | | | 1,824,000 | | | | 1,107,608 | |
0.00%, 05/15/2035 | | | 1,920,000 | | | | 1,158,254 | |
0.00%, 08/15/2035 | | | 175,000 | | | | 104,655 | |
0.00%, 05/15/2036 | | | 121,000 | | | | 70,830 | |
0.00%, 08/15/2041 | | | 1,225,000 | | | | 609,726 | |
U.S. Treasury Strip Principal | | | | | | | | |
0.00%, 05/15/2019 | | | 3,360,000 | | | | 3,293,311 | |
0.00%, 08/15/2019 | | | 500,000 | | | | 486,774 | |
0.00%, 11/15/2019 | | | 7,500,000 | | | | 7,253,883 | |
0.00%, 02/15/2020 | | | 17,030,000 | | | | 16,360,746 | |
0.00%, 05/15/2044 | | | 16,765,000 | | | | 7,775,043 | |
0.00%, 05/15/2045 | | | 5,605,000 | | | | 2,525,662 | |
University of Missouri | | | | | | | | |
5.96%, 11/01/2039 | | | 3,445,000 | | | | 4,246,100 | |
University of Texas System | | | | | | | | |
5.00%, 08/15/2047 | | | 3,825,000 | | | | 4,908,584 | |
University of Virginia | | | | | | | | |
4.18%, 09/01/2117 | | | 1,540,000 | | | | 1,536,627 | |
Uruguay Government International Bond | | | | | | | | |
5.10%, 06/18/2050 | | | 2,400,000 | | | | 2,359,200 | |
4.98%, 04/20/2055 | | | 2,220,000 | | | | 2,153,400 | |
West Contra Costa Unified School District | | | | | | | | |
6.25%, 08/01/2030 | | | 215,000 | | | | 261,016 | |
Westlake City School District | | | | | | | | |
5.23%, 12/01/2026 | | | 430,000 | | | | 432,868 | |
| | | | | | | | |
Total Government Related | | | | | | $ | 3,436,501,896 | |
| | | | | | | | |
Mortgage-Backed Obligations - 34.08% | | | | | | | | |
20 Times Square Trust 2018-20TS | | | | | | | | |
3.20%, 05/15/2035 (2)(3) | | $ | 5,204,000 | | | $ | 4,955,948 | |
Alternative Loan Trust 2003-22CB | | | | | | | | |
6.00%, 12/25/2033 | | | 2,690,179 | | | | 2,697,108 | |
Alternative Loan Trust 2004-2CB | | | | | | | | |
5.75%, 03/25/2034 | | | 704,906 | | | | 722,656 | |
Alternative Loan Trust 2004-8CB | | | | | | | | |
2.36% (1 Month LIBOR USD + 0.27%, 0.27% Floor), 06/25/2034 (1) | | | 2,181,825 | | | | 2,181,189 | |
Alternative Loan Trust 2005-1CB | | | | | | | | |
5.01% (-1 x 1 Month LIBOR USD + 7.10%, 7.10% Cap), 03/25/2035 IO (1)(4) | | | 203,520 | | | | 26,515 | |
| | | | | | | | |
Alternative Loan Trust 2005-20CB | | | | | | | | |
2.66% (-1 x 1 Month LIBOR USD + 4.75%, 4.75% Cap), 07/25/2035 IO (1)(4) | | | 682,991 | | | | 58,217 | |
Alternative Loan Trust 2005-22T1 | | | | | | | | |
2.98% (-1 x 1 Month LIBOR USD + 5.07%, 5.07% Cap), 06/25/2035 IO (1)(4) | | | 739,627 | | | | 67,602 | |
Alternative Loan Trust 2005-28CB | | | | | | | | |
5.50%, 08/25/2035 | | | 288,786 | | | | 278,437 | |
6.00%, 08/25/2035 | | | 9,431 | | | | 7,240 | |
Alternative Loan Trust 2005-37T1 | | | | | | | | |
2.96% (-1 x 1 Month LIBOR USD + 5.05%, 5.05% Cap), 09/25/2035 IO (1)(4) | | | 2,383,988 | | | | 238,638 | |
Alternative Loan Trust 2005-50CB | | | | | | | | |
5.00%, 11/25/2020 | | | 23,127 | | | | 23,168 | |
Alternative Loan Trust 2005-54CB | | | | | | | | |
2.76% (-1 x 1 Month LIBOR USD + 4.85%, 4.85% Cap), 11/25/2035 IO (1)(4) | | | 1,125,427 | | | | 98,688 | |
5.50%, 11/25/2035 | | | 284,865 | | | | 269,776 | |
5.50%, 11/25/2035 | | | 3,799 | | | | 3,767 | |
Alternative Loan Trust 2005-64CB | | | | | | | | |
5.50%, 12/25/2035 | | | 121,431 | | | | 119,389 | |
Alternative Loan Trust 2005-J1 | | | | | | | | |
3.01% (-1 x 1 Month LIBOR USD + 5.10%, 5.10% Cap), 02/25/2035 IO (1)(4) | | | 158,301 | | | | 3,695 | |
Alternative Loan Trust 2006-28CB | | | | | | | | |
6.00%, 10/25/2036 | | | 78,962 | | | | 64,254 | |
Alternative Loan Trust 2006-43CB | | | | | | | | |
6.00%, 02/25/2022 | | | 12,008 | | | | 12,052 | |
Alternative Loan Trust 2006-7CB | | | | | | | | |
5.25%, 05/25/2021 | | | 74,084 | | | | 72,754 | |
Alternative Loan Trust 2006-J5 | | | | | | | | |
4.33%, 07/25/2021 (3) | | | 29,597 | | | | 28,523 | |
American General Mortgage Loan Trust 2006-1 | | | | | | | | |
5.75%, 12/25/2035 (2)(3) | | | 8,419 | | | | 8,671 | |
ASG Resecuritization Trust 2011-1 | | | | | | | | |
3.90%, 11/28/2035 (2)(3) | | | 108,954 | | | | 108,894 | |
6.00%, 09/28/2036 (2) | | | 268,570 | | | | 209,157 | |
Assurant Commercial Mortgage Trust 2016-1 | | | | | | | | |
3.17%, 05/15/2049 (2) | | | 9,100,000 | | | | 8,692,354 | |
BAMLL Commercial Mortgage Securities Trust 2012-PARK | | | | | | | | |
2.96%, 12/10/2030 (2) | | | 809,000 | | | | 795,064 | |
BAMLL Commercial Mortgage Securities Trust 2014-520M | | | | | | | | |
4.35%, 08/15/2046 (2)(3) | | | 1,200,000 | | | | 1,113,071 | |
BAMLL Re-REMIC Trust 2013-FRR2 | | | | | | | | |
0.00%, 09/26/2022 (2) | | | 4,000,000 | | | | 3,077,044 | |
| | | | | | | | |
BAMLL Re-REMIC Trust 2014-FRR5 | | | | | | | | |
0.00%, 06/27/2045 (2) | | | 6,300,000 | | | | 4,924,437 | |
BAMLL Re-REMIC Trust 2015-FRR11 | | | | | | | | |
1.63%, 09/27/2044 (2)(3) | | | 3,904,000 | | | | 3,865,112 | |
Banc of America Alternative Loan Trust 2004-11 | | | | | | | | |
5.50%, 12/25/2019 | | | 1,996 | | | | 2,005 | |
Banc of America Alternative Loan Trust 2004-6 | | | | | | | | |
0.00%, 07/25/2019 PO | | | 3,303 | | | | 3,158 | |
Banc of America Alternative Loan Trust 2005-10 | | | | | | | | |
5.25%, 11/25/2020 | | | 8,790 | | | | 8,819 | |
Banc of America Alternative Loan Trust 2005-11 | | | | | | | | |
5.50%, 12/25/2035 | | | 13,455 | | | | 12,989 | |
Banc of America Alternative Loan Trust 2005-2 | | | | | | | | |
5.50%, 03/25/2020 | | | 5,570 | | | | 5,531 | |
5.50%, 03/25/2035 | | | 8,790 | | | | 8,727 | |
Banc of America Alternative Loan Trust 2005-4 | | | | | | | | |
5.50%, 05/25/2020 | | | 30,718 | | | | 30,431 | |
Banc of America Alternative Loan Trust 2005-5 | | | | | | | | |
5.50%, 06/25/2035 | | | 45,294 | | | | 42,785 | |
Banc of America Alternative Loan Trust 2005-9 | | | | | | | | |
5.50%, 10/25/2035 | | | 20,092 | | | | 19,998 | |
Banc of America Alternative Loan Trust 2006-5 | | | | | | | | |
6.00%, 06/25/2046 | | | 44,100 | | | | 40,538 | |
Banc of America Alternative Loan Trust 2007-1 | | | | | | | | |
5.63%, 04/25/2022 (3) | | | 43,734 | | | | 43,559 | |
Banc of America Commercial Mortgage Trust 2006-5 | | | | | | | | |
0.79%, 09/10/2047 IO (2)(3) | | | 552,600 | | | | 1,371 | |
Banc of America Funding 2004-1 Trust | | | | | | | | |
0.00%, 03/25/2034 PO | | | 33,274 | | | | 27,972 | |
Banc of America Funding 2004-2 Trust | | | | | | | | |
5.75%, 09/20/2034 | | | 2,696,667 | | | | 2,870,177 | |
Banc of America Funding 2004-C Trust | | | | | | | | |
3.88%, 12/20/2034 (3) | | | 79,127 | | | | 79,558 | |
Banc of America Funding 2005-6 Trust | | | | | | | | |
5.50%, 10/25/2035 | | | 32,831 | | | | 31,716 | |
Banc of America Funding 2005-7 Trust | | | | | | | | |
0.00%, 11/25/2035 PO | | | 31,732 | | | | 26,354 | |
Banc of America Funding 2005-8 Trust | | | | | | | | |
0.00%, 01/25/2036 PO | | | 10,802 | | | | 8,150 | |
Banc of America Funding 2005-C Trust | | | | | | | | |
2.32% (1 Month LIBOR USD + 0.24%, 0.24% Floor, 11.00% Cap), 05/20/2035 (1) | | | 3,089,211 | | | | 3,052,816 | |
| | | | | | | | |
Banc of America Funding 2005-E Trust | | | | | | | | |
3.68%, 03/20/2035 (3) | | | 46,347 | | | | 46,940 | |
Banc of America Funding 2006-1 Trust | | | | | | | | |
0.00%, 01/25/2036 PO | | | 19,186 | | | | 14,908 | |
Banc of America Merrill Lynch Commercial Mortgage, Inc. | | | | | | | | |
0.10%, 10/10/2045 IO (2)(3) | | | 2,991,809 | | | | 13 | |
Banc of America Mortgage 2003-C Trust | | | | | | | | |
4.19%, 04/25/2033 (3) | | | 19,745 | | | | 20,059 | |
Banc of America Mortgage 2004-J Trust | | | | | | | | |
3.75%, 11/25/2034 (3) | | | 62,506 | | | | 62,700 | |
Banc of America Mortgage Trust 2004-9 | | | | | | | | |
0.00%, 09/25/2032 PO | | | 104 | | | | 96 | |
6.50%, 09/25/2032 | | | 23,474 | | | | 24,390 | |
BANK 2017-BNK4 | | | | | | | | |
3.63%, 05/15/2050 | | | 3,315,000 | | | | 3,288,907 | |
BANK 2017-BNK8 | | | | | | | | |
3.49%, 11/15/2050 | | | 7,150,000 | | | | 7,009,829 | |
BANK 2017-BNK9 | | | | | | | | |
3.54%, 11/15/2054 | | | 6,100,000 | | | | 6,012,439 | |
BB-UBS Trust | | | | | | | | |
2.89%, 06/05/2030 (2) | | | 568,000 | | | | 555,691 | |
BB-UBS Trust 2012-SHOW | | | | | | | | |
3.43%, 11/05/2036 (2) | | | 4,602,000 | | | | 4,526,743 | |
BCAP LLC 2009-RR5 Trust | | | | | | | | |
5.50%, 11/26/2034 (2)(3) | | | 110,580 | | | | 112,924 | |
BCAP LLC 2010-RR7 Trust | | | | | | | | |
3.59%, 07/26/2045 (2)(3) | | | 687,305 | | | | 680,013 | |
BCAP LLC 2012-RR10-I Trust | | | | | | | | |
2.19%, 02/26/2037 (2)(3) | | | 13,969 | | | | 13,970 | |
Bear Stearns ALT-A Trust 2005-2 | | | | | | | | |
2.59% (1 Month LIBOR USD + 0.50%, 0.25% Floor, 11.50% Cap), 03/25/2035 (1) | | | 61,527 | | | | 61,499 | |
Bear Stearns ALT-A Trust 2005-7 | | | | | | | | |
2.63% (1 Month LIBOR USD + 0.54%, 0.27% Floor, 11.50% Cap), 08/25/2035 (1) | | | 2,061,587 | | | | 2,062,272 | |
Bear Stearns ARM Trust 2003-2 | | | | | | | | |
3.64%, 01/25/2033 (2)(3) | | | 129,057 | | | | 131,046 | |
Bear Stearns ARM Trust 2003-7 | | | | | | | | |
4.05%, 10/25/2033 (3) | | | 10,317 | | | | 10,263 | |
Bear Stearns ARM Trust 2004-2 | | | | | | | | |
3.83%, 05/25/2034 (3) | | | 70,128 | | | | 70,647 | |
Bear Stearns ARM Trust 2006-1 | | | | | | | | |
3.67% (1 Year CMT Rate + 2.25%, 2.25% Floor, 9.90% Cap), 02/25/2036 (1) | | | 286,545 | | | | 288,293 | |
| | | | | | | | |
Bear Stearns Asset Backed Securities I Trust 2004-AC2 | | | | | | | | |
5.00%, 05/25/2034 | | | 29,471 | | | | 29,417 | |
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR14 | | | | | | | | |
0.51%, 12/11/2038 IO (2)(3) | | | 793,208 | | | | 2,601 | |
Bear Stearns Commercial Mortgage Securities Trust 2007-TOP26 | | | | | | | | |
0.07%, 01/12/2045 IO (2)(3) | | | 13,004,370 | | | | 7,396 | |
Bellemeade Re 2018-1 Ltd. | | | | | | | | |
3.69% (1 Month LIBOR USD + 1.60%), 04/25/2028 (1)(2) | | | 4,420,000 | | | | 4,432,488 | |
BENCHMARK 2018-B3 Mortgage Trust | | | | | | | | |
3.76%, 04/10/2051 | | | 16,800,000 | | | | 16,859,813 | |
CD 2006-CD3 Mortgage Trust | | | | | | | | |
0.77%, 10/15/2048 IO (2)(3) | | | 2,909,337 | | | | 29,185 | |
CD 2007-CD4 Commercial Mortgage Trust | | | | | | | | |
0.78%, 12/11/2049 IO (2)(3) | | | 323,269 | | | | 1,351 | |
Chase Mortgage Finance Trust Series 2006-A1 | | | | | | | | |
3.78%, 09/25/2036 (3) | | | 176,155 | | | | 166,449 | |
Chase Mortgage Finance Trust Series 2007-A1 | | | | | | | | |
3.78%, 02/25/2037 (3) | | | 77,395 | | | | 76,799 | |
3.88%, 02/25/2037 (3) | | | 58,357 | | | | 58,273 | |
4.04%, 02/25/2037 (3) | | | 13,731 | | | | 13,806 | |
4.26%, 02/25/2037 (3) | | | 122,844 | | | | 126,004 | |
Chase Mortgage Finance Trust Series 2007-A2 | | | | | | | | |
3.62%, 07/25/2037 (3) | | | 77,965 | | | | 79,368 | |
4.25%, 07/25/2037 (3) | | | 51,246 | | | | 51,414 | |
CHL Mortgage Pass-Through Trust 2002-18 | | | | | | | | |
0.00%, 11/25/2032 PO | | | 16,335 | | | | 14,861 | |
CHL Mortgage Pass-Through Trust 2004-3 | | | | | | | | |
5.50%, 04/25/2034 | | | 33,938 | | | | 34,567 | |
5.75%, 04/25/2034 | | | 23,123 | | | | 23,721 | |
CHL Mortgage Pass-Through Trust 2004-5 | | | | | | | | |
5.50%, 06/25/2034 | | | 175,584 | | | | 178,065 | |
CHL Mortgage Pass-Through Trust 2004-7 | | | | | | | | |
3.95%, 06/25/2034 (3) | | | 11,319 | | | | 11,619 | |
CHL Mortgage Pass-Through Trust 2004-8 | | | | | | | | |
4.50%, 06/25/2019 | | | 10,679 | | | | 10,743 | |
CHL Mortgage Pass-Through Trust 2004-HYB1 | | | | | | | | |
3.50%, 05/20/2034 (3) | | | 18,290 | | | | 18,426 | |
CHL Mortgage Pass-Through Trust 2004-HYB3 | | | | | | | | |
3.65%, 06/20/2034 (3) | | | 100,272 | | | | 101,054 | |
| | | | | | | | |
CHL Mortgage Pass-Through Trust 2004-HYB6 | | | | | | | | |
3.52%, 11/20/2034 (3) | | | 50,851 | | | | 51,900 | |
CHL Mortgage Pass-Through Trust 2004-J8 | | | | | | | | |
4.75%, 11/25/2019 | | | 1,097 | | | | 1,102 | |
CHL Mortgage Pass-Through Trust 2005-14 | | | | | | | | |
5.50%, 07/25/2035 | | | 27,368 | | | | 26,259 | |
CHL Mortgage Pass-Through Trust 2005-16 | | | | | | | | |
5.50%, 09/25/2035 | | | 13,661 | | | | 13,303 | |
CHL Mortgage Pass-Through Trust 2005-22 | | | | | | | | |
3.45%, 11/25/2035 (3) | | | 192,784 | | | | 171,980 | |
CIM Trust 2017-8 | | | | | | | | |
3.00%, 12/25/2065 (2)(3) | | | 11,608,676 | | | | 11,590,593 | |
Citicorp Mortgage Securities Trust Series 2006-1 | | | | | | | | |
5.00%, 02/25/2021 | | | 6,054 | | | | 6,199 | |
Citicorp Mortgage Securities Trust Series 2006-4 | | | | | | | | |
6.00%, 08/25/2036 | | | 69,370 | | | | 69,546 | |
Citigroup Commercial Mortgage Trust | | | | | | | | |
2.94%, 05/10/2049 | | | 10,100,000 | | | | 9,661,034 | |
Citigroup Commercial Mortgage Trust 2013-GC17 | | | | | | | | |
4.13%, 11/10/2046 | | | 1,376,000 | | | | 1,422,269 | |
Citigroup Commercial Mortgage Trust 2014-GC19 | | | | | | | | |
3.75%, 03/10/2047 | | | 7,125,000 | | | | 7,198,448 | |
Citigroup Commercial Mortgage Trust 2014-GC21 | | | | | | | | |
3.58%, 05/10/2047 | | | 6,562,971 | | | | 6,593,274 | |
Citigroup Commercial Mortgage Trust 2014-GC23 | | | | | | | | |
3.36%, 07/10/2047 | | | 12,300,000 | | | | 12,220,679 | |
Citigroup Commercial Mortgage Trust 2015-GC29 | | | | | | | | |
2.94%, 04/10/2048 | | | 10,000,000 | | | | 9,656,162 | |
Citigroup Commercial Mortgage Trust 2016-GC37 | | | | | | | | |
3.05%, 04/10/2049 | | | 13,750,000 | | | | 13,222,612 | |
Citigroup Commercial Mortgage Trust 2016-P6 | | | | | | | | |
3.72%, 12/10/2049 (3) | | | 2,472,000 | | | | 2,475,248 | |
Citigroup Commercial Mortgage Trust 2017-P7 | | | | | | | | |
3.44%, 04/14/2050 | | | 16,000,000 | | | | 15,714,669 | |
Citigroup Commercial Mortgage Trust 2017-P8 | | | | | | | | |
3.20%, 09/15/2050 | | | 21,000,000 | | | | 20,230,266 | |
Citigroup Commercial Mortgage Trust 2018-B2 | | | | | | | | |
3.74%, 03/10/2051 | | | 22,000,000 | | | | 21,961,848 | |
| | | | | | | | |
Citigroup Global Markets Mortgage Securities VII, Inc. | | | | | | | | |
0.00%, 12/25/2018 PO | | | 211 | | | | 182 | |
3.95%, 04/25/2032 (8)(2) | | | 18,894 | | | | 18,738 | |
7.00%, 06/25/2033 (8) | | | 21,619 | | | | 21,900 | |
3.74%, 09/25/2033 (3) | | | 92,337 | | | | 93,492 | |
Citigroup Mortgage Loan Trust 2009-10 | | | | | | | | |
3.37%, 09/25/2033 (2)(3) | | | 305,469 | | | | 310,387 | |
7.00%, 12/25/2035 (2)(3) | | | 104,053 | | | | 105,341 | |
Citigroup Mortgage Loan Trust 2009-5 | | | | | | | | |
6.00%, 06/25/2036 (2)(3) | | | 28,040 | | | | 28,027 | |
Citigroup Mortgage Loan Trust 2009-8 | | | | | | | | |
6.00%, 11/25/2036 (2) | | | 8,807 | | | | 8,806 | |
Citigroup Mortgage Loan Trust 2015-A | | | | | | | | |
4.50%, 06/25/2058 (2)(3) | | | 464,165 | | | | 476,756 | |
Citigroup Mortgage Loan Trust, Inc. | | | | | | | | |
0.00%, 12/25/2018 PO | | | 911 | | | | 908 | |
0.00%, 12/25/2018 PO | | | 150 | | | | 150 | |
5.50%, 12/25/2018 | | | 5,540 | | | | 5,540 | |
0.00%, 09/25/2033 PO | | | 5,074 | | | | 4,720 | |
7.00%, 09/25/2033 | | | 7,211 | | | | 7,303 | |
0.00%, 10/25/2033 PO | | | 6,890 | | | | 5,985 | |
5.25%, 10/25/2033 | | | 36,719 | | | | 37,232 | |
2.85% (1 Month LIBOR USD + 0.76%, 0.38% Floor), 12/25/2033 (1) | | | 21,121 | | | | 21,036 | |
4.00%, 08/25/2034 (3) | | | 38,364 | | | | 37,605 | |
6.14%, 02/25/2035 (3) | | | 29,836 | | | | 26,113 | |
5.50%, 05/25/2035 | | | 139,530 | | | | 143,282 | |
3.81%, 08/25/2035 (3) | | | 81,814 | | | | 67,440 | |
5.50%, 11/25/2035 | | | 7,813 | | | | 7,831 | |
6.00%, 11/25/2035 | | | 3,344,781 | | | | 3,404,054 | |
COBALT CMBS Commercial Mortgage Trust 2006-C1 | | | | | | | | |
1.07%, 08/15/2048 IO (3) | | | 1,049,267 | | | | 9,968 | |
COMM 2012-CCRE1 Mortgage Trust | | | | | | | | |
3.39%, 05/15/2045 | | | 3,783,014 | | | | 3,787,593 | |
COMM 2012-CCRE2 Mortgage Trust | | | | | | | | |
1.82%, 08/15/2045 IO (3) | | | 2,822,037 | | | | 155,861 | |
3.15%, 08/15/2045 | | | 9,614,464 | | | | 9,536,563 | |
COMM 2013-300P Mortgage Trust | | | | | | | | |
4.35%, 08/10/2030 (2) | | | 516,000 | | | | 534,277 | |
COMM 2013-CCRE10 Mortgage Trust | | | | | | | | |
3.92%, 08/10/2046 | | | 4,125,000 | | | | 4,228,170 | |
COMM 2013-CCRE11 Mortgage Trust | | | | | | | | |
3.98%, 08/10/2050 | | | 4,977,000 | | | | 5,108,952 | |
4.26%, 08/10/2050 | | | 8,100,000 | | | | 8,414,436 | |
| | | | | | | | |
COMM 2013-CCRE12 Mortgage Trust | | | | | | | | |
3.77%, 10/10/2046 | | | 9,277,000 | | | | 9,419,577 | |
COMM 2013-CCRE7 Mortgage Trust | | | | | | | | |
3.21%, 03/10/2046 | | | 1,802,000 | | | | 1,790,424 | |
COMM 2013-CCRE8 Mortgage Trust | | | | | | | | |
3.61%, 06/10/2046 (3) | | | 331,665 | | | | 335,075 | |
COMM 2013-CCRE9 Mortgage Trust | | | | | | | | |
4.02%, 07/10/2045 | | | 3,849,478 | | | | 3,955,526 | |
4.38%, 07/10/2045 (3) | | | 3,489,459 | | | | 3,632,630 | |
COMM 2013-SFS Mortgage Trust | | | | | | | | |
3.09%, 04/12/2035 (2)(3) | | | 708,000 | | | | 690,909 | |
COMM 2014-CCRE15 Mortgage Trust | | | | | | | | |
2.93%, 02/10/2047 | | | 5,448,472 | | | | 5,449,782 | |
COMM 2014-CCRE16 Mortgage Trust | | | | | | | | |
4.05%, 04/10/2047 | | | 2,415,000 | | | | 2,482,064 | |
COMM 2014-CCRE19 Mortgage Trust | | | | | | | | |
3.80%, 08/10/2047 | | | 17,369,300 | | | | 17,601,732 | |
COMM 2014-CCRE20 Mortgage Trust | | | | | | | | |
3.33%, 11/10/2047 | | | 12,000,000 | | | | 11,855,698 | |
COMM 2014-PAT Mortgage Trust | | | | | | | | |
2.85% (1 Month LIBOR USD + 0.80%, 0.80% Floor), 08/13/2027 (1)(2) | | | 1,649,000 | | | | 1,647,959 | |
COMM 2014-TWC Mortgage Trust | | | | | | | | |
2.90% (1 Month LIBOR USD + 0.85%, 0.85% Floor), 02/13/2032 (1)(2) | | | 3,250,000 | | | | 3,248,976 | |
3.65% (1 Month LIBOR USD + 1.60%, 1.60% Floor), 02/13/2032 (1)(2) | | | 1,000,000 | | | | 1,000,811 | |
COMM 2014-UBS4 Mortgage Trust | | | | | | | | |
2.96%, 08/10/2047 | | | 11,000,000 | | | | 10,999,556 | |
COMM 2015-3BP Mortgage Trust | | | | | | | | |
3.18%, 02/10/2035 (2) | | | 49,000 | | | | 47,671 | |
COMM 2015-CCRE24 Mortgage Trust | | | | | | | | |
3.43%, 08/10/2048 | | | 7,500,000 | | | | 7,406,991 | |
3.70%, 08/10/2048 | | | 770,833 | | | | 772,371 | |
COMM 2015-CCRE25 Mortgage Trust | | | | | | | | |
3.51%, 08/10/2048 | | | 13,200,000 | | | | 13,111,530 | |
3.76%, 08/10/2048 | | | 2,437,000 | | | | 2,455,842 | |
COMM 2015-LC23 Mortgage Trust | | | | | | | | |
3.77%, 10/10/2048 | | | 4,039,090 | | | | 4,064,537 | |
COMM 2018-COR3 Mortgage Trust | | | | | | | | |
4.23%, 05/10/2051 | | | 3,229,000 | | | | 3,339,102 | |
| | | | | | | | |
COMM 2018-HOME Mortgage Trust | | | | | | | | |
3.82%, 04/10/2033 (2)(3) | | | 8,245,000 | | | | 8,292,549 | |
Commercial Mortgage Trust | | | | | | | | |
2.94%, 01/10/2046 | | | 2,751,000 | | | | 2,703,941 | |
Commercial Mortgage Trust 2006-GG7 | | | | | | | | |
5.95%, 07/10/2038 (3) | | | 102,241 | | | | 102,257 | |
Credit Suisse Commercial Mortgage Trust Series 2007-C2 | | | | | | | | |
0.10%, 01/15/2049 IO (2)(3) | | | 2,545,477 | | | | 6 | |
Credit Suisse First Boston Mortgage Securities Co. | | | | | | | | |
4.50%, 10/25/2018 | | | 40 | | | | 40 | |
5.00%, 10/25/2018 | | | 192 | | | | 192 | |
0.00%, 08/25/2019 PO | | | 204 | | | | 203 | |
5.25%, 08/25/2019 | | | 17,114 | | | | 17,191 | |
6.74%, 02/25/2033 (3) | | | 91,319 | | | | 92,203 | |
3.99%, 06/25/2033 (3) | | | 34,351 | | | | 34,489 | |
5.25%, 07/25/2033 | | | 2,106,363 | | | | 2,138,998 | |
5.25%, 09/25/2033 | | | 75,842 | | | | 77,890 | |
0.00%, 10/25/2033 PO | | | 50,410 | | | | 44,161 | |
5.25%, 11/25/2033 | | | 45,546 | | | | 46,077 | |
5.25%, 11/25/2033 | | | 93,261 | | | | 94,260 | |
5.75%, 11/25/2033 | | | 296,504 | | | | 305,357 | |
3.70%, 03/25/2034 (3) | | | 2,138,690 | | | | 2,185,839 | |
5.50%, 09/25/2034 | | | 68,307 | | | | 71,212 | |
5.50%, 12/25/2034 | | | 111,442 | | | | 116,354 | |
0.00%, 10/25/2035 PO | | | 20,245 | | | | 15,768 | |
5.50%, 10/25/2035 IO | | | 252,089 | | | | 3,270 | |
0.00%, 11/25/2035 PO | | | 13,120 | | | | 9,161 | |
CSAIL 2015-C4 Commercial Mortgage Trust | | | | | | | | |
3.54%, 11/15/2048 | | | 7,500,000 | | | | 7,455,142 | |
CSAIL 2016-C7 Commercial Mortgage Trust | | | | | | | | |
3.50%, 11/15/2049 | | | 3,495,000 | | | | 3,425,226 | |
CSAIL 2017-C8 Commercial Mortgage Trust | | | | | | | | |
3.13%, 06/15/2050 | | | 15,525,000 | | | | 14,783,062 | |
CSMC 2014-USA OA LLC | | | | | | | | |
4.37%, 09/15/2037 (2) | | | 3,000,000 | | | | 2,869,926 | |
CSMC Series 2010-17R | | | | | | | | |
3.78%, 06/26/2036 (2)(3) | | | 91,600 | | | | 92,131 | |
DBJPM 16-C1 Mortgage Trust | | | | | | | | |
3.02%, 05/10/2049 | | | 15,000,000 | | | | 14,411,238 | |
DBUBS 2011-LC2 Mortgage Trust | | | | | | | | |
1.26%, 07/10/2044 IO (2)(3) | | | 2,364,986 | | | | 59,252 | |
| | | | | | | | |
Deephaven Residential Mortgage Trust 2017-1 | | | | | | | | |
3.49%, 12/26/2046 (2)(3) | | | 896,889 | | | | 896,349 | |
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2005-1 | | | | | | | | |
5.59%, 02/25/2020 (3) | | | 28,759 | | | | 28,788 | |
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2005-3 | | | | | | | | |
3.28%, 06/25/2020 (3) | | | 49,751 | | | | 48,389 | |
Deutsche Mortgage Securities, Inc. Mortgage Loan Trust 2004-1 | | | | | | | | |
0.00%, 10/25/2018 PO | | | 50 | | | | 50 | |
Deutsche Mortgage Securities, Inc. Mortgage Loan Trust 2004-4 | | | | | | | | |
6.15%, 04/25/2034 (8) | | | 437 | | | | 444 | |
Fannie Mae | | | | | | | | |
3.50%, 07/15/2026 (5) | | | 32,240,000 | | | | 32,620,664 | |
Fannie Mae Grantor Trust 1999-T2 | | | | | | | | |
7.50%, 01/19/2039 (3) | | | 87,460 | | | | 94,410 | |
Fannie Mae Grantor Trust 2001-T3 | | | | | | | | |
7.50%, 11/25/2040 | | | 136,677 | | | | 153,208 | |
Fannie Mae Grantor Trust 2002-T16 | | | | | | | | |
7.00%, 07/25/2042 | | | 142,980 | | | | 161,570 | |
Fannie Mae Grantor Trust 2004-T1 | | | | | | | | |
6.50%, 01/25/2044 | | | 38,940 | | | | 43,318 | |
Fannie Mae Grantor Trust 2004-T2 | | | | | | | | |
4.14%, 07/25/2043 (3) | | | 160,743 | | | | 169,074 | |
7.50%, 11/25/2043 | | | 257,481 | | | | 291,246 | |
Fannie Mae Grantor Trust 2004-T3 | | | | | | | | |
10.53%, 01/25/2044 (3) | | | 32,272 | | | | 37,498 | |
6.50%, 02/25/2044 | | | 381,933 | | | | 423,525 | |
7.00%, 02/25/2044 | | | 163,412 | | | | 184,245 | |
Fannie Mae Grantor Trust 2017-T1 | | | | | | | | |
2.90%, 06/25/2027 | | | 6,543,177 | | | | 6,290,528 | |
Fannie Mae Interest Strip | | | | | | | | |
10.50%, 03/25/2019 IO | | | 5 | | | | 0 | |
4.50%, 11/25/2020 IO | | | 1,080 | | | | 28 | |
7.50%, 04/25/2023 IO | | | 906 | | | | 115 | |
9.00%, 03/25/2024 | | | 770 | | | | 867 | |
0.00%, 09/25/2024 PO | | | 69,209 | | | | 64,857 | |
0.00%, 01/25/2033 PO | | | 11,377 | | | | 10,056 | |
5.00%, 12/25/2033 IO (3) | | | 15,164 | | | | 3,043 | |
5.50%, 05/25/2036 IO | | | 58,313 | | | | 13,260 | |
5.50%, 08/25/2036 IO | | | 39,289 | | | | 9,000 | |
5.50%, 04/25/2037 IO | | | 17,098 | | | | 2,957 | |
| | | | | | | | |
6.00%, 01/25/2038 IO | | | 38,610 | | | | 7,624 | |
2.59% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 08/25/2042 (1) | | | 839,501 | | | | 845,379 | |
2.64% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.50% Cap), 08/25/2042 (1) | | | 2,148,163 | | | | 2,169,588 | |
Fannie Mae Pool | | | | | | | | |
5.00%, 07/01/2018 | | | 345 | | | | 350 | |
4.50%, 08/01/2018 | | | 195 | | | | 196 | |
5.00%, 08/01/2018 | | | 330 | | | | 335 | |
5.00%, 09/01/2018 | | | 197 | | | | 200 | |
4.50%, 10/01/2018 | | | 80 | | | | 81 | |
5.00%, 10/01/2018 | | | 640 | | | | 650 | |
5.00%, 10/01/2018 | | | 495 | | | | 504 | |
4.50%, 11/01/2018 | | | 1,635 | | | | 1,647 | |
5.00%, 11/01/2018 | | | 192 | | | | 196 | |
5.00%, 11/01/2018 | | | 1,449 | | | | 1,473 | |
5.00%, 11/01/2018 | | | 2,916 | | | | 2,966 | |
5.00%, 12/01/2018 | | | 10 | | | | 11 | |
5.00%, 12/01/2018 | | | 1,728 | | | | 1,757 | |
9.50%, 12/01/2018 | | | 93 | | | | 94 | |
2.00% (11th District Cost of Funds Index + 1.25%, 1.75% Floor, 11.75% Cap), 01/01/2019 (1) | | | 34 | | | | 34 | |
3.44% (1 Year CMT Rate + 1.75%, 12.64% Cap), 03/01/2019 (1) | | | 44 | | | | 44 | |
4.50%, 03/01/2019 | | | 3,009 | | | | 3,030 | |
6.00%, 03/01/2019 | | | 649 | | | | 650 | |
3.50%, 04/01/2019 | | | 4,415 | | | | 4,470 | |
5.00%, 04/01/2019 | | | 8,491 | | | | 8,635 | |
5.00%, 04/01/2019 | | | 342 | | | | 348 | |
10.50%, 04/15/2019 | | | 223 | | | | 224 | |
2.19%, 05/01/2019 | | | 909,618 | | | | 904,165 | |
4.50%, 05/01/2019 | | | 920 | | | | 926 | |
4.50%, 06/01/2019 | | | 7,838 | | | | 7,893 | |
1.94%, 07/01/2019 | | | 1,243,585 | | | | 1,231,541 | |
2.37%, 07/01/2019 | | | 1,548,000 | | | | 1,541,971 | |
5.50%, 07/01/2019 | | | 9,112 | | | | 9,159 | |
6.00%, 07/01/2019 | | | 7 | | | | 7 | |
2.03%, 08/01/2019 | | | 239,717 | | | | 238,007 | |
5.50%, 08/01/2019 | | | 9,812 | | | | 9,867 | |
5.00%, 09/01/2019 | | | 372 | | | | 378 | |
5.50%, 09/01/2019 | | | 11,597 | | | | 11,679 | |
5.00%, 10/01/2019 | | | 1,787 | | | | 1,827 | |
6.00%, 10/01/2019 | | | 885 | | | | 891 | |
4.50%, 11/01/2019 | | | 4,003 | | | | 4,032 | |
| | | | | | | | |
4.50%, 11/01/2019 | | | 1,473 | | | | 1,483 | |
4.50%, 11/01/2019 | | | 7,803 | | | | 7,858 | |
1.47%, 12/01/2019 | | | 764,575 | | | | 748,998 | |
1.69%, 12/01/2019 | | | 1,032,000 | | | | 1,013,675 | |
4.26%, 12/01/2019 | | | 915,044 | | | | 932,094 | |
4.50%, 12/01/2019 | | | 1,279,568 | | | | 1,301,561 | |
4.50%, 12/01/2019 | | | 5,032 | | | | 5,067 | |
4.28%, 01/01/2020 | | | 1,387,428 | | | | 1,410,115 | |
4.54%, 01/01/2020 | | | 315,492 | | | | 322,500 | |
5.50%, 01/01/2020 | | | 13,157 | | | | 13,259 | |
4.37%, 02/01/2020 | | | 918,641 | | | | 938,395 | |
4.40%, 02/01/2020 | | | 6,347,000 | | | | 6,471,137 | |
4.40%, 02/01/2020 | | | 289,000 | | | | 294,525 | |
5.50%, 03/01/2020 | | | 915 | | | | 919 | |
6.00%, 03/01/2020 | | | 2,770 | | | | 2,797 | |
4.00%, 04/01/2020 | | | 1,448 | | | | 1,457 | |
4.38%, 04/01/2020 | | | 1,404,576 | | | | 1,437,500 | |
2.01%, 06/01/2020 | | | 9,288,000 | | | | 9,125,614 | |
5.50%, 06/01/2020 | | | 2,546 | | | | 2,550 | |
5.50%, 06/01/2020 | | | 5,635 | | | | 5,673 | |
3.74%, 07/01/2020 | | | 537,703 | | | | 545,644 | |
3.93%, 07/01/2020 | | | 1,407,686 | | | | 1,433,465 | |
3.95%, 07/01/2020 | | | 826,000 | | | | 840,111 | |
4.07%, 07/01/2020 | | | 2,991,755 | | | | 3,054,075 | |
5.50%, 07/01/2020 | | | 1,224 | | | | 1,228 | |
3.96%, 08/01/2020 | | | 940,363 | | | | 958,853 | |
6.50%, 08/01/2020 | | | 1,327 | | | | 1,343 | |
3.43%, 09/01/2020 | | | 895,229 | | | | 903,760 | |
3.60%, 09/01/2020 | | | 180,899 | | | | 183,264 | |
3.29%, 10/01/2020 | | | 759,211 | | | | 763,539 | |
3.36%, 10/01/2020 | | | 790,273 | | | | 796,870 | |
3.50%, 10/01/2020 | | | 1,080,975 | | | | 1,093,178 | |
3.59%, 10/01/2020 | | | 1,441,747 | | | | 1,460,910 | |
3.92%, 10/01/2020 | | | 665,863 | | | | 678,087 | |
3.23%, 11/01/2020 | | | 557,554 | | | | 560,731 | |
3.27%, 11/01/2020 | | | 756,498 | | | | 760,685 | |
2.00%, 12/01/2020 | | | 1,548,000 | | | | 1,512,167 | |
3.48%, 12/01/2020 | | | 843,817 | | | | 853,617 | |
3.54%, 12/01/2020 | | | 285,775 | | | | 289,054 | |
3.62%, 12/01/2020 | | | 1,291,100 | | | | 1,310,464 | |
| | | | | | | | |
3.70%, 12/01/2020 | | | 357,249 | | | | 363,157 | |
3.83%, 12/01/2020 | | | 854,777 | | | | 871,480 | |
3.56%, 01/01/2021 | | | 1,540,269 | | | | 1,562,919 | |
3.87%, 01/01/2021 | | | 1,133,707 | | | | 1,157,867 | |
3.93%, 01/01/2021 | | | 386,250 | | | | 393,902 | |
4.05%, 01/01/2021 | | | 482,000 | | | | 493,171 | |
4.28%, 01/01/2021 | | | 617,957 | | | | 635,568 | |
4.33%, 02/01/2021 | | | 476,592 | | | | 491,001 | |
4.16%, 03/01/2021 | | | 1,638,304 | | | | 1,681,442 | |
6.00%, 03/01/2021 | | | 14,300 | | | | 14,674 | |
8.00%, 03/01/2021 | | | 36 | | | | 36 | |
4.25%, 04/01/2021 | | | 784,000 | | | | 807,779 | |
4.25%, 04/01/2021 | | | 1,032,000 | | | | 1,063,301 | |
4.30%, 04/01/2021 | | | 286,825 | | | | 295,687 | |
4.33%, 04/01/2021 | | | 693,133 | | | | 714,992 | |
6.00%, 04/01/2021 | | | 8,999 | | | | 9,101 | |
6.00%, 04/01/2021 | | | 4,880 | | | | 4,990 | |
4.36%, 05/01/2021 | | | 1,457,137 | | | | 1,505,635 | |
4.39%, 05/01/2021 | | | 733,011 | | | | 754,409 | |
3.97%, 06/01/2021 | | | 607,388 | | | | 621,561 | |
4.02%, 06/01/2021 | | | 691,000 | | | | 708,547 | |
4.10%, 06/01/2021 | | | 651,305 | | | | 668,781 | |
4.19%, 06/01/2021 | | | 525,172 | | | | 540,623 | |
4.26%, 06/01/2021 | | | 655,548 | | | | 672,620 | |
4.30%, 06/01/2021 | | | 1,205,238 | | | | 1,243,983 | |
4.34%, 06/01/2021 | | | 1,858,000 | | | | 1,921,991 | |
3.86%, 07/01/2021 | | | 915,014 | | | | 935,453 | |
3.89%, 07/01/2021 | | | 887,051 | | | | 906,290 | |
3.94%, 07/01/2021 | | | 1,032,000 | | | | 1,056,463 | |
3.99%, 07/01/2021 | | | 428,181 | | | | 438,560 | |
4.06%, 07/01/2021 | | | 969,360 | | | | 995,039 | |
4.26%, 07/01/2021 | | | 2,191,288 | | | | 2,261,815 | |
4.31%, 07/01/2021 | | | 797,321 | | | | 822,782 | |
6.00%, 07/01/2021 | | | 1,531 | | | | 1,549 | |
4.05%, 08/01/2021 | | | 166,151 | | | | 170,583 | |
4.13%, 08/01/2021 | | | 746,849 | | | | 768,471 | |
4.50%, 08/01/2021 | | | 2,838,000 | | | | 2,952,858 | |
6.00%, 08/01/2021 | | | 23,992 | | | | 24,501 | |
3.77%, 09/01/2021 | | | 2,776,000 | | | | 2,841,190 | |
3.85%, 09/01/2021 | | | 825,454 | | | | 844,639 | |
| | | | | | | | |
3.89%, 09/01/2021 | | | 1,404,910 | | | | 1,437,034 | |
3.92%, 09/01/2021 | | | 629,539 | | | | 644,374 | |
3.95%, 09/01/2021 | | | 976,778 | | | | 998,630 | |
3.31%, 10/01/2021 | | | 1,611,381 | | | | 1,623,423 | |
3.40%, 10/01/2021 | | | 333,482 | | | | 336,872 | |
3.43%, 11/01/2021 | | | 952,325 | | | | 963,218 | |
5.00%, 11/01/2021 | | | 27,859 | | | | 28,332 | |
3.03%, 12/01/2021 | | | 906,219 | | | | 905,304 | |
3.31%, 12/01/2021 | | | 368,559 | | | | 371,440 | |
3.42%, 12/01/2021 | | | 4,931,730 | | | | 4,991,010 | |
3.83%, 12/01/2021 | | | 1,548,000 | | | | 1,587,065 | |
6.00%, 12/01/2021 | | | 13,414 | | | | 13,732 | |
2.97%, 01/01/2022 | | | 727,223 | | | | 725,092 | |
3.03%, 01/01/2022 | | | 819,546 | | | | 818,746 | |
3.09%, 01/01/2022 | | | 1,271,497 | | | | 1,272,669 | |
3.12%, 01/01/2022 | | | 1,208,076 | | | | 1,210,378 | |
3.20%, 01/01/2022 | | | 807,328 | | | | 810,975 | |
3.06%, 02/01/2022 | | | 863,000 | | | | 862,961 | |
3.14%, 02/01/2022 | | | 456,130 | | | | 457,320 | |
2.71% (1 Month LIBOR USD + 0.80%, 0.80% Floor, 100.00% Cap), 03/01/2022 (1) | | | 903,231 | | | | 903,119 | |
2.75%, 03/01/2022 | | | 913,720 | | | | 901,044 | |
3.08%, 03/01/2022 | | | 399,469 | | | | 399,656 | |
3.14%, 03/01/2022 | | | 284,157 | | | | 284,861 | |
3.21%, 03/01/2022 | | | 310,000 | | | | 311,555 | |
2.70%, 04/01/2022 | | | 1,517,951 | | | | 1,494,469 | |
3.08%, 04/01/2022 | | | 966,106 | | | | 966,583 | |
3.73%, 04/01/2022 | | | 2,354,292 | | | | 2,401,945 | |
6.50%, 04/01/2022 | | | 14,589 | | | | 14,964 | |
2.77%, 05/01/2022 | | | 1,618,631 | | | | 1,596,066 | |
2.86%, 05/01/2022 | | | 1,379,014 | | | | 1,364,333 | |
2.94%, 05/01/2022 | | | 1,010,246 | | | | 1,005,786 | |
3.02%, 05/01/2022 | | | 640,428 | | | | 639,381 | |
3.12%, 05/01/2022 | | | 921,786 | | | | 923,500 | |
6.50%, 05/01/2022 | | | 3,680 | | | | 4,056 | |
2.60%, 06/01/2022 | | | 810,432 | | | | 797,103 | |
2.76%, 06/01/2022 | | | 1,605,000 | | | | 1,575,758 | |
2.67%, 07/01/2022 | | | 624,000 | | | | 612,186 | |
2.69%, 07/01/2022 | | | 967,251 | | | | 947,360 | |
2.71%, 07/01/2022 | | | 984,122 | | | | 967,647 | |
2.82%, 07/01/2022 | | | 1,043,411 | | | | 1,030,412 | |
| | | | | | | | |
2.65%, 08/01/2022 | | | 1,032,000 | | | | 1,011,329 | |
2.47%, 09/01/2022 | | | 366,089 | | | | 357,375 | |
4.03%, 09/01/2022 | | | 1,181,274 | | | | 1,221,892 | |
2.39%, 10/01/2022 | | | 623,515 | | | | 608,130 | |
2.52%, 10/01/2022 | | | 938,662 | | | | 920,052 | |
2.57%, 10/01/2022 | | | 584,645 | | | | 574,099 | |
2.64%, 10/01/2022 | | | 650,770 | | | | 637,472 | |
2.37%, 11/01/2022 | | | 460,625 | | | | 448,705 | |
2.38%, 11/01/2022 | | | 836,781 | | | | 815,383 | |
2.41%, 11/01/2022 | | | 578,593 | | | | 564,495 | |
2.44%, 11/01/2022 | | | 794,604 | | | | 776,188 | |
2.45%, 11/01/2022 | | | 1,401,000 | | | | 1,367,650 | |
2.47%, 11/01/2022 | | | 516,000 | | | | 503,988 | |
2.55%, 11/01/2022 | | | 387,362 | | | | 380,019 | |
2.55%, 11/01/2022 | | | 1,212,650 | | | | 1,189,663 | |
7.50%, 11/01/2022 | | | 1,183 | | | | 1,224 | |
2.24%, 12/01/2022 | | | 626,717 | | | | 606,846 | |
2.28%, 12/01/2022 | | | 993,764 | | | | 963,879 | |
2.32%, 12/01/2022 | | | 366,430 | | | | 356,091 | |
2.34%, 12/01/2022 | | | 2,290,843 | | | | 2,222,174 | |
2.38%, 12/01/2022 | | | 481,594 | | | | 469,012 | |
2.39%, 12/01/2022 | | | 1,022,428 | | | | 996,242 | |
2.42%, 12/01/2022 | | | 1,134,770 | | | | 1,106,959 | |
2.66%, 12/01/2022 | | | 1,486,897 | | | | 1,459,411 | |
6.50%, 12/01/2022 | | | 12,888 | | | | 14,205 | |
2.15%, 01/01/2023 | | | 470,742 | | | | 453,946 | |
2.26% (1 Month LIBOR USD + 0.35%, 0.35% Floor, 100.00% Cap), 01/01/2023 (1) | | | 4,177,201 | | | | 4,176,071 | |
2.30% (1 Month LIBOR USD + 0.39%, 0.39% Floor, 100.00% Cap), 01/01/2023 (1) | | | 742,839 | | | | 742,792 | |
2.33%, 01/01/2023 | | | 1,659,471 | | | | 1,612,106 | |
2.34%, 01/01/2023 | | | 1,325,028 | | | | 1,287,797 | |
2.37%, 01/01/2023 | | | 1,061,601 | | | | 1,031,664 | |
2.45%, 01/01/2023 | | | 710,190 | | | | 693,393 | |
2.51%, 01/01/2023 | | | 949,000 | | | | 926,561 | |
2.60%, 01/01/2023 | | | 747,662 | | | | 734,524 | |
2.40%, 02/01/2023 | | | 1,456,130 | | | | 1,420,638 | |
2.45%, 02/01/2023 | | | 1,290,000 | | | | 1,255,663 | |
6.00%, 02/01/2023 | | | 165,705 | | | | 172,193 | |
2.49%, 03/01/2023 | | | 777,567 | | | | 759,724 | |
2.50%, 04/01/2023 | | | 1,445,000 | | | | 1,408,309 | |
2.64%, 04/01/2023 | | | 344,204 | | | | 336,531 | |
| | | | | | | | |
2.71%, 04/01/2023 | | | 587,444 | | | | 576,000 | |
2.52%, 05/01/2023 | | | 3,302,000 | | | | 3,219,707 | |
2.54%, 05/01/2023 | | | 309,585 | | | | 302,415 | |
5.00%, 05/01/2023 | | | 13,413 | | | | 13,947 | |
2.42%, 06/01/2023 | | | 870,345 | | | | 844,803 | |
2.77%, 06/01/2023 | | | 1,718,992 | | | | 1,689,245 | |
2.77%, 06/01/2023 | | | 929,000 | | | | 912,601 | |
2.64%, 07/01/2023 | | | 413,000 | | | | 402,826 | |
3.67%, 07/01/2023 | | | 4,850,000 | | | | 4,962,066 | |
3.74%, 07/01/2023 | | | 553,547 | | | | 565,821 | |
3.59%, 08/01/2023 | | | 1,135,000 | | | | 1,155,246 | |
3.76%, 10/01/2023 | | | 949,434 | | | | 972,244 | |
3.38%, 12/01/2023 | | | 2,480,428 | | | | 2,501,473 | |
3.50%, 12/01/2023 | | | 2,234,000 | | | | 2,254,573 | |
3.45%, 01/01/2024 | | | 1,761,707 | | | | 1,773,593 | |
6.00%, 01/01/2024 | | | 48,665 | | | | 50,973 | |
6.00%, 01/01/2024 | | | 137,673 | | | | 143,753 | |
7.00%, 01/01/2024 | | | 371 | | | | 400 | |
6.50%, 02/01/2024 | | | 62,078 | | | | 65,134 | |
10.00%, 02/01/2024 | | | 275 | | | | 276 | |
3.76%, 03/01/2024 | | | 1,265,000 | | | | 1,293,457 | |
8.00%, 05/01/2024 | | | 405 | | | | 429 | |
6.00%, 07/01/2024 | | | 33,166 | | | | 34,818 | |
6.50%, 07/01/2024 | | | 29,902 | | | | 32,958 | |
8.50%, 07/01/2024 | | | 1,147 | | | | 1,253 | |
5.00%, 08/01/2024 | | | 52,844 | | | | 54,706 | |
2.39% (1 Month LIBOR USD + 0.48%, 0.48% Floor, 100.00% Cap), 09/01/2024 (1) | | | 3,594,169 | | | | 3,577,496 | |
7.50%, 10/01/2024 | | | 505 | | | | 539 | |
2.28% (1 Month LIBOR USD + 0.37%, 0.37% Floor, 100.00% Cap), 12/01/2024 (1) | | | 5,000,000 | | | | 4,981,445 | |
2.90%, 12/01/2024 | | | 2,000,000 | | | | 1,960,228 | |
2.92%, 12/01/2024 | | | 1,000,000 | | | | 981,783 | |
3.08%, 12/01/2024 | | | 1,914,238 | | | | 1,898,591 | |
3.11%, 12/01/2024 | | | 2,500,000 | | | | 2,481,592 | |
2.93%, 01/01/2025 | | | 1,925,433 | | | | 1,893,397 | |
3.64%, 01/01/2025 | | | 552,695 | | | | 561,129 | |
3.07%, 02/01/2025 | | | 4,995,000 | | | | 4,943,332 | |
2.70%, 04/01/2025 | | | 4,985,012 | | | | 4,823,838 | |
2.81%, 04/01/2025 | | | 1,400,000 | | | | 1,361,338 | |
6.50%, 04/01/2025 | | | 3,860 | | | | 4,255 | |
2.68%, 05/01/2025 | | | 1,894,533 | | | | 1,831,428 | |
| | | | | | | | |
8.50%, 05/01/2025 | | | 67 | | | | 67 | |
5.50%, 07/01/2025 | | | 64,894 | | | | 69,523 | |
3.10%, 09/01/2025 | | | 5,000,000 | | | | 4,960,767 | |
3.77%, 12/01/2025 | | | 3,500,000 | | | | 3,587,888 | |
3.50%, 01/01/2026 | | | 355,477 | | | | 360,404 | |
7.00%, 04/01/2026 | | | 5,248 | | | | 5,402 | |
6.00%, 07/01/2026 | | | 37,547 | | | | 41,032 | |
3.29%, 08/01/2026 | | | 1,500,000 | | | | 1,491,727 | |
3.29%, 08/01/2026 | | | 3,000,000 | | | | 2,983,171 | |
4.55%, 08/01/2026 | | | 959,834 | | | | 1,013,344 | |
4.76%, 08/01/2026 | | | 1,018,709 | | | | 1,089,916 | |
4.77%, 08/01/2026 | | | 648,070 | | | | 693,537 | |
6.50%, 08/01/2026 | | | 66,077 | | | | 72,830 | |
3.25%, 09/01/2026 | | | 1,500,000 | | | | 1,487,766 | |
2.29%, 10/01/2026 | | | 10,426,963 | | | | 9,751,115 | |
3.24%, 10/01/2026 | | | 1,874,329 | | | | 1,862,428 | |
3.12%, 11/01/2026 | | | 990,597 | | | | 966,555 | |
3.14%, 12/01/2026 | | | 1,874,270 | | | | 1,845,362 | |
3.24%, 12/01/2026 | | | 1,500,000 | | | | 1,479,526 | |
3.26%, 12/01/2026 | | | 975,328 | | | | 967,971 | |
4.66%, 12/01/2026 | | | 1,108,625 | | | | 1,170,252 | |
3.12%, 02/01/2027 | | | 1,443,510 | | | | 1,418,567 | |
3.25%, 02/01/2027 | | | 5,862,982 | | | | 5,794,742 | |
3.34%, 02/01/2027 | | | 1,500,000 | | | | 1,494,991 | |
2.91%, 03/01/2027 | | | 10,000,000 | | | | 9,667,291 | |
3.13%, 03/01/2027 | | | 6,835,000 | | | | 6,680,511 | |
3.50%, 03/01/2027 | | | 2,235,372 | | | | 2,270,857 | |
8.00%, 03/01/2027 | | | 6,779 | | | | 7,339 | |
3.00%, 04/01/2027 | | | 665,066 | | | | 665,002 | |
3.03%, 04/01/2027 | | | 1,500,000 | | | | 1,456,498 | |
2.79%, 05/01/2027 | | | 2,000,000 | | | | 1,906,019 | |
2.81%, 05/01/2027 | | | 1,997,231 | | | | 1,918,101 | |
2.83%, 05/01/2027 | | | 8,000,000 | | | | 7,638,398 | |
3.00%, 05/01/2027 | | | 3,970,543 | | | | 3,970,161 | |
4.00%, 05/01/2027 | | | 3,034,098 | | | | 3,114,619 | |
3.00%, 06/01/2027 | | | 2,000,000 | | | | 1,935,367 | |
8.00%, 06/01/2027 | | | 5,516 | | | | 5,955 | |
3.50%, 07/01/2027 | | | 6,358,248 | | | | 6,451,407 | |
3.50%, 07/01/2027 | | | 3,008,104 | | | | 3,045,868 | |
6.00%, 07/01/2027 | | | 48,407 | | | | 52,912 | |
| | | | | | | | |
3.00%, 07/15/2027 (5) | | | 7,290,000 | | | | 7,245,373 | |
2.50%, 09/01/2027 | | | 544,019 | | | | 533,036 | |
2.52% (11th District Cost of Funds Index + 1.25%, 0.93% Floor, 12.72% Cap), 09/01/2027 (1) | | | 4,426 | | | | 4,450 | |
7.00%, 09/01/2027 | | | 810 | | | | 895 | |
6.00%, 11/01/2027 | | | 23,513 | | | | 25,696 | |
2.50%, 12/01/2027 | | | 1,210,834 | | | | 1,186,403 | |
2.91%, 12/01/2027 | | | 9,400,000 | | | | 9,001,891 | |
6.00%, 12/01/2027 | | | 67,033 | | | | 73,256 | |
3.08%, 01/01/2028 | | | 8,000,000 | | | | 7,767,098 | |
3.10%, 01/01/2028 | | | 6,750,000 | | | | 6,557,918 | |
6.00%, 01/01/2028 | | | 116,488 | | | | 127,322 | |
2.50%, 03/01/2028 | | | 4,264,706 | | | | 4,176,118 | |
2.50%, 04/01/2028 | | | 5,044,216 | | | | 4,939,191 | |
5.00%, 05/01/2028 | | | 23,601 | | | | 25,020 | |
2.97%, 06/01/2028 | | | 3,161,883 | | | | 3,029,816 | |
3.57%, 06/01/2028 | | | 8,361,000 | | | | 8,404,644 | |
3.59%, 06/01/2028 | | | 8,000,000 | | | | 8,068,076 | |
8.00%, 06/01/2028 | | | 3,997 | | | | 4,331 | |
9.50%, 07/01/2028 | | | 640 | | | | 656 | |
2.57%, 08/01/2028 | | | 5,400,000 | | | | 4,994,971 | |
2.64%, 08/01/2028 | | | 3,398,841 | | | | 3,159,726 | |
3.00%, 08/01/2028 | | | 1,609,129 | | | | 1,608,482 | |
2.58%, 09/01/2028 | | | 3,830,000 | | | | 3,539,238 | |
2.59%, 09/01/2028 | | | 7,552,000 | | | | 6,978,307 | |
3.00%, 09/01/2028 | | | 2,468,072 | | | | 2,467,076 | |
8.00%, 09/01/2028 | | | 10,752 | | | | 11,935 | |
2.50%, 10/01/2028 | | | 599,844 | | | | 587,371 | |
2.55%, 10/01/2028 | | | 9,300,000 | | | | 8,576,013 | |
2.62%, 10/01/2028 | | | 9,630,452 | | | | 8,987,655 | |
6.00%, 10/01/2028 | | | 89,284 | | | | 97,574 | |
8.00%, 11/01/2028 | | | 27,551 | | | | 31,099 | |
2.69%, 12/01/2028 | | | 4,567,000 | | | | 4,229,806 | |
3.00%, 12/01/2028 | | | 958,305 | | | | 957,920 | |
6.00%, 12/01/2028 | | | 3,350 | | | | 3,661 | |
6.00%, 01/01/2029 | | | 4,236 | | | | 4,666 | |
7.00%, 01/01/2029 | | | 7,880 | | | | 8,422 | |
3.22%, 02/01/2029 | | | 9,000,000 | | | | 8,794,648 | |
3.28%, 02/01/2029 | | | 8,200,000 | | | | 8,054,715 | |
3.21%, 03/01/2029 | | | 10,000,000 | | | | 9,714,918 | |
3.30%, 03/01/2029 | | | 4,000,000 | | | | 3,912,177 | |
| | | | | | | | |
3.32%, 03/01/2029 | | | 2,943,194 | | | | 2,903,600 | |
4.00% (11th District Cost of Funds Index + 1.25%, 3.65% Floor, 13.51% Cap), 03/01/2029 (1) | | | 3,025 | | | | 3,118 | |
6.50%, 03/01/2029 | | | 17,171 | | | | 18,733 | |
3.26%, 04/01/2029 | | | 13,520,000 | | | | 13,185,278 | |
3.34%, 04/01/2029 | | | 5,107,727 | | | | 5,046,774 | |
3.20%, 06/01/2029 | | | 3,500,000 | | | | 3,412,839 | |
2.99%, 07/01/2029 | | | 9,527,000 | | | | 9,055,319 | |
3.02%, 07/01/2029 | | | 8,200,000 | | | | 7,815,440 | |
2.99%, 08/01/2029 | | | 7,240,000 | | | | 6,883,953 | |
4.50%, 08/01/2029 | | | 190,320 | | | | 198,714 | |
3.09%, 09/01/2029 | | | 7,484,000 | | | | 7,151,657 | |
4.50%, 09/01/2029 | | | 224,046 | | | | 233,923 | |
6.00%, 09/01/2029 | | | 60,385 | | | | 65,990 | |
2.90%, 10/01/2029 | | | 3,520,000 | | | | 3,326,128 | |
3.63%, 10/01/2029 | | | 1,422,820 | | | | 1,444,183 | |
6.50%, 11/01/2029 | | | 587,708 | | | | 650,619 | |
3.50%, 12/01/2029 | | | 4,891,815 | | | | 4,956,041 | |
3.23%, 01/01/2030 | | | 7,590,000 | | | | 7,316,572 | |
3.23%, 01/01/2030 | | | 4,609,200 | | | | 4,482,401 | |
4.50%, 01/01/2030 | | | 342,863 | | | | 358,319 | |
3.55%, 02/01/2030 | | | 1,500,000 | | | | 1,505,189 | |
2.50%, 04/01/2030 | | | 2,572,046 | | | | 2,511,318 | |
3.03%, 04/01/2030 | | | 3,500,000 | | | | 3,332,826 | |
3.08%, 04/01/2030 | | | 1,994,427 | | | | 1,918,983 | |
2.50%, 05/01/2030 | | | 3,179,528 | | | | 3,104,395 | |
2.92%, 05/01/2030 | | | 4,000,000 | | | | 3,730,555 | |
2.94%, 05/01/2030 | | | 2,500,000 | | | | 2,361,929 | |
3.00%, 05/01/2030 | | | 2,547,742 | | | | 2,538,090 | |
3.50%, 05/01/2030 | | | 848,665 | | | | 859,917 | |
2.96%, 06/01/2030 | | | 1,953,144 | | | | 1,882,691 | |
3.13%, 06/01/2030 | | | 1,000,000 | | | | 952,761 | |
3.20%, 06/01/2030 | | | 1,000,000 | | | | 971,299 | |
3.30%, 07/01/2030 | | | 1,005,000 | | | | 982,600 | |
3.34%, 07/01/2030 | | | 1,500,000 | | | | 1,474,977 | |
3.39%, 09/01/2030 | | | 1,908,837 | | | | 1,888,368 | |
3.26%, 10/01/2030 | | | 5,010,504 | | | | 4,899,743 | |
3.00%, 02/01/2031 | | | 11,339,409 | | | | 11,275,532 | |
5.00%, 04/01/2031 | | | 157,438 | | | | 169,571 | |
2.00%, 08/01/2031 | | | 3,273,970 | | | | 3,100,974 | |
6.50%, 08/01/2031 | | | 14,288 | | | | 15,852 | |
| | | | | | | | |
2.50%, 11/01/2031 | | | 4,172,420 | | | | 4,057,064 | |
4.00%, 11/01/2031 | | | 5,715,771 | | | | 5,913,539 | |
4.00%, 02/01/2032 | | | 490,467 | | | | 500,238 | |
6.50%, 02/01/2032 | | | 69,420 | | | | 76,514 | |
3.00%, 04/01/2032 | | | 154,537 | | | | 153,666 | |
3.32%, 04/01/2032 | | | 6,197,701 | | | | 6,076,651 | |
3.00%, 05/01/2032 | | | 956,358 | | | | 950,968 | |
3.00%, 06/01/2032 | | | 973,074 | | | | 967,590 | |
7.00%, 06/01/2032 | | | 5,279 | | | | 5,520 | |
3.00%, 07/01/2032 | | | 353,785 | | | | 351,792 | |
3.50%, 07/01/2032 | | | 147,131 | | | | 149,291 | |
3.00%, 08/01/2032 | | | 9,229,847 | | | | 9,182,599 | |
7.00%, 08/01/2032 | | | 1,240 | | | | 1,256 | |
3.22%, 09/01/2032 | | | 6,000,000 | | | | 5,751,161 | |
5.50%, 11/01/2032 | | | 58,588 | | | | 63,512 | |
3.00%, 12/01/2032 | | | 969,922 | | | | 964,742 | |
3.50%, 12/01/2032 | | | 360,318 | | | | 364,250 | |
5.00%, 12/01/2032 | | | 743 | | | | 753 | |
6.00%, 12/01/2032 | | | 25,255 | | | | 27,783 | |
6.00%, 12/01/2032 | | | 179,532 | | | | 197,946 | |
3.00%, 01/01/2033 | | | 24,679,735 | | | | 24,547,898 | |
3.19%, 01/01/2033 | | | 4,998,417 | | | | 4,932,978 | |
3.50%, 02/01/2033 | | | 674,806 | | | | 682,220 | |
5.50%, 02/01/2033 | | | 2,367 | | | | 2,563 | |
7.00%, 02/01/2033 | | | 1,577 | | | | 1,644 | |
5.50%, 03/01/2033 | | | 92,448 | | | | 101,058 | |
6.00%, 03/01/2033 | | | 4,429 | | | | 4,850 | |
6.00%, 03/01/2033 | | | 4,183 | | | | 4,572 | |
6.00%, 03/01/2033 | | | 2,526 | | | | 2,760 | |
6.00%, 03/01/2033 | | | 5,910 | | | | 6,512 | |
6.00%, 03/01/2033 | | | 7,640 | | | | 8,350 | |
5.50%, 04/01/2033 | | | 63,221 | | | | 68,519 | |
6.00%, 05/01/2033 | | | 23,906 | | | | 26,744 | |
3.50%, 06/01/2033 | | | 258,222 | | | | 261,061 | |
5.00%, 06/01/2033 | | | 17,727 | | | | 19,035 | |
7.00%, 06/01/2033 | | | 107,967 | | | | 123,327 | |
5.00%, 07/01/2033 | | | 22,239 | | | | 23,878 | |
5.00%, 07/01/2033 | | | 18,367 | | | | 19,723 | |
5.50%, 07/01/2033 | | | 14,477 | | | | 15,697 | |
3.64% (12 Month LIBOR USD + 1.61%, 9.27% Cap), 08/01/2033 (1) | | | 31,290 | | | | 32,730 | |
| | | | | | | | |
6.00%, 08/01/2033 | | | 8,313 | | | | 9,111 | |
3.24% (6 Month LIBOR USD + 1.41%, 9.20% Cap), 09/01/2033 (1) | | | 48,532 | | | | 49,932 | |
3.56% (12 Month LIBOR USD + 1.81%, 9.17% Cap), 09/01/2033 (1) | | | 15,244 | | | | 16,082 | |
5.50%, 09/01/2033 | | | 235,941 | | | | 255,236 | |
6.00%, 09/01/2033 | | | 14,877 | | | | 15,914 | |
6.00%, 09/01/2033 | | | 13,710 | | | | 15,301 | |
3.50%, 10/01/2033 | | | 12,213,174 | | | | 12,392,312 | |
4.50%, 10/01/2033 | | | 5,564,364 | | | | 5,824,251 | |
3.27% (12 Month LIBOR USD + 1.52%, 10.25% Cap), 11/01/2033 (1) | | | 39,051 | | | | 40,717 | |
4.50%, 11/01/2033 | | | 19,368 | | | | 20,259 | |
5.00%, 11/01/2033 | | | 4,071,297 | | | | 4,359,956 | |
5.00%, 11/01/2033 | | | 5,980 | | | | 6,404 | |
5.00%, 11/01/2033 | | | 350,061 | | | | 376,027 | |
5.50%, 11/01/2033 | | | 4,671 | | | | 5,084 | |
4.00%, 12/01/2033 | | | 59,010 | | | | 60,253 | |
5.50%, 12/01/2033 | | | 95,424 | | | | 105,674 | |
3.43% (12 Month LIBOR USD + 1.67%, 8.87% Cap), 01/01/2034 (1) | | | 13,507 | | | | 14,148 | |
5.50%, 01/01/2034 | | | 8,743 | | | | 9,658 | |
5.50%, 03/01/2034 | | | 9,998 | | | | 10,915 | |
5.00%, 04/01/2034 | | | 123,720 | | | | 133,713 | |
5.00%, 05/01/2034 | | | 40,240 | | | | 43,343 | |
4.29% (1 Year CMT Rate + 2.30%, 9.22% Cap), 06/01/2034 (1) | | | 46,808 | | | | 49,612 | |
3.26% (1 Year CMT Rate + 2.05%, 9.32% Cap), 07/01/2034 (1) | | | 2,870 | | | | 3,019 | |
2.86% (6 Month LIBOR USD + 1.20%, 10.34% Cap), 08/01/2034 (1) | | | 35,481 | | | | 36,271 | |
3.39% (12 Month LIBOR USD + 1.64%, 9.99% Cap), 08/01/2034 (1) | | | 21,868 | | | | 22,963 | |
3.50% (12 Month LIBOR USD + 1.75%, 10.00% Cap), 08/01/2034 (1) | | | 8,681 | | | | 9,118 | |
3.35% (12 Month LIBOR USD + 1.60%, 10.95% Cap), 09/01/2034 (1) | | | 3,918 | | | | 4,117 | |
4.50%, 09/01/2034 | | | 32,202 | | | | 33,732 | |
5.50%, 09/01/2034 | | | 21,740 | | | | 23,618 | |
3.24% (12 Month LIBOR USD + 1.50%, 10.10% Cap), 10/01/2034 (1) | | | 17,632 | | | | 18,419 | |
3.54% (1 Year CMT Rate + 2.38%, 10.18% Cap), 10/01/2034 (1) | | | 42,771 | | | | 45,472 | |
5.50%, 10/01/2034 | | | 32,914 | | | | 34,156 | |
3.25% (1 Year CMT Rate + 2.00%, 9.13% Cap), 11/01/2034 (1) | | | 6,410 | | | | 6,718 | |
3.43% (12 Month LIBOR USD + 1.68%, 9.79% Cap), 11/01/2034 (1) | | | 16,036 | | | | 16,852 | |
3.57%, 11/01/2034 | | | 1,376,688 | | | | 1,371,612 | |
3.61%, 11/01/2034 | | | 1,411,731 | | | | 1,405,252 | |
6.00%, 11/01/2034 | | | 5,884 | | | | 6,484 | |
5.00%, 12/01/2034 | | | 32,468 | | | | 34,776 | |
5.00%, 12/01/2034 | | | 307,366 | | | | 329,148 | |
3.42% (12 Month LIBOR USD + 1.55%, 10.31% Cap), 01/01/2035 (1) | | | 13,175 | | | | 13,766 | |
| | | | | | | | |
3.61% (6 Month LIBOR USD + 1.51%, 10.85% Cap), 01/01/2035 (1) | | | 253,187 | | | | 261,655 | |
5.00%, 01/01/2035 | | | 22,823 | | | | 24,195 | |
7.50%, 01/01/2035 | | | 47,020 | | | | 54,020 | |
3.32% (6 Month LIBOR USD + 1.53%, 10.92% Cap), 02/01/2035 (1) | | | 13,121 | | | | 13,569 | |
5.00%, 02/01/2035 | | | 706,301 | | | | 756,377 | |
5.00%, 02/01/2035 | | | 3,548,964 | | | | 3,800,250 | |
5.50%, 02/01/2035 | | | 73,734 | | | | 80,069 | |
3.44% (12 Month LIBOR USD + 1.52%, 9.90% Cap), 03/01/2035 (1) | | | 46,228 | | | | 48,201 | |
7.50%, 03/01/2035 | | | 52,608 | | | | 60,900 | |
3.45%, 04/01/2035 | | | 1,902,520 | | | | 1,861,791 | |
3.86% (1 Year CMT Rate + 2.22%, 9.57% Cap), 04/01/2035 (1) | | | 50,036 | | | | 52,732 | |
6.00%, 04/01/2035 | | | 109,869 | | | | 121,073 | |
3.91% (12 Month LIBOR USD + 1.31%, 10.01% Cap), 05/01/2035 (1) | | | 38,198 | | | | 39,649 | |
4.14% (12 Month LIBOR USD + 1.60%, 10.86% Cap), 05/01/2035 (1) | | | 7,794 | | | | 8,125 | |
3.12%, 06/01/2035 | | | 3,400,000 | | | | 3,175,277 | |
5.00%, 06/01/2035 | | | 628,169 | | | | 672,611 | |
3.27% (1 Year CMT Rate + 1.89%, 10.14% Cap), 07/01/2035 (1) | | | 23,935 | | | | 24,960 | |
5.00%, 07/01/2035 | | | 3,403,703 | | | | 3,644,343 | |
5.00%, 07/01/2035 | | | 3,002,688 | | | | 3,215,521 | |
5.00%, 07/01/2035 | | | 23,370 | | | | 25,004 | |
3.14% (12 Month LIBOR USD + 1.39%, 11.01% Cap), 08/01/2035 (1) | | | 2,072 | | | | 2,127 | |
3.31% (12 Month LIBOR USD + 1.55%, 10.44% Cap), 09/01/2035 (1) | | | 28,479 | | | | 29,795 | |
5.00%, 09/01/2035 | | | 66,403 | | | | 71,736 | |
4.00% (1 Year CMT Rate + 2.47%, 10.48% Cap), 10/01/2035 (1) | | | 65,620 | | | | 69,123 | |
5.00%, 10/01/2035 | | | 712,689 | | | | 763,251 | |
5.00%, 10/01/2035 | | | 313,186 | | | | 335,422 | |
5.00%, 11/01/2035 | | | 695,702 | | | | 745,127 | |
5.50%, 12/01/2035 | | | 29,505 | | | | 30,695 | |
3.41% (12 Month US Treasury Average + 2.00%, 8.59% Cap), 01/01/2036 (1) | | | 119,255 | | | | 124,323 | |
3.75% (1 Year CMT Rate + 2.25%, 9.71% Cap), 01/01/2036 (1) | | | 45,975 | | | | 48,504 | |
4.25% (12 Month LIBOR USD + 2.25%, 10.13% Cap), 01/01/2036 (1) | | | 3,604 | | | | 3,636 | |
5.00%, 01/01/2036 | | | 58,439 | | | | 62,600 | |
6.50%, 01/01/2036 | | | 340,783 | | | | 378,495 | |
4.38% (6 Month LIBOR USD + 2.50%, 10.92% Cap), 02/01/2036 (1) | | | 8,749 | | | | 9,185 | |
5.00%, 02/01/2036 | | | 46,263 | | | | 49,548 | |
6.00%, 02/01/2036 | | | 6,178 | | | | 6,615 | |
7.00%, 02/01/2036 | | | 48,914 | | | | 55,248 | |
4.31% (6 Month LIBOR USD + 2.50%, 11.27% Cap), 03/01/2036 (1) | | | 383,646 | | | | 410,816 | |
7.00%, 03/01/2036 | | | 2,162 | | | | 2,366 | |
5.50%, 04/01/2036 | | | 84,559 | | | | 91,731 | |
| | | | | | | | |
6.50%, 04/01/2036 | | | 1,022 | | | | 1,028 | |
4.22% (12 Month LIBOR USD + 1.84%, 11.04% Cap), 05/01/2036 (1) | | | 23,521 | | | | 24,780 | |
5.50%, 05/01/2036 | | | 72,727 | | | | 79,230 | |
5.50%, 05/01/2036 | | | 112,010 | | | | 120,709 | |
3.70% (12 Month LIBOR USD + 1.82%, 11.17% Cap), 06/01/2036 (1) | | | 195,933 | | | | 206,759 | |
4.10% (12 Month LIBOR USD + 1.62%, 11.45% Cap), 06/01/2036 (1) | | | 18,378 | | | | 19,182 | |
4.14% (12 Month LIBOR USD + 1.92%, 10.57% Cap), 06/01/2036 (1) | | | 48,884 | | | | 51,645 | |
3.52% (12 Month LIBOR USD + 1.77%, 10.90% Cap), 07/01/2036 (1) | | | 67,424 | | | | 70,956 | |
6.50%, 07/01/2036 | | | 5,210 | | | | 5,798 | |
3.26% (1 Year CMT Rate + 2.12%, 10.49% Cap), 08/01/2036 (1) | | | 29,776 | | | | 31,248 | |
3.44% (12 Month LIBOR USD + 1.71%, 11.44% Cap), 08/01/2036 (1) | | | 48,533 | | | | 49,267 | |
3.57% (12 Month LIBOR USD + 1.83%, 10.97% Cap), 08/01/2036 (1) | | | 89,822 | | | | 94,377 | |
6.50%, 08/01/2036 | | | 211,240 | | | | 232,828 | |
3.26% (6 Month LIBOR USD + 1.34%, 12.76% Cap), 09/01/2036 (1) | | | 190,107 | | | | 195,574 | |
3.37% (12 Month LIBOR USD + 1.62%, 11.32% Cap), 09/01/2036 (1) | | | 59,344 | | | | 62,025 | |
3.52% (12 Month LIBOR USD + 1.77%, 11.13% Cap), 09/01/2036 (1) | | | 158,381 | | | | 166,639 | |
3.57% (12 Month LIBOR USD + 1.82%, 10.97% Cap), 09/01/2036 (1) | | | 38,731 | | | | 40,620 | |
3.60% (6 Month LIBOR USD + 1.60%, 10.33% Cap), 09/01/2036 (1) | | | 35,434 | | | | 36,792 | |
6.00%, 09/01/2036 | | | 420,710 | | | | 463,844 | |
2.50%, 10/01/2036 | | | 9,018,168 | | | | 8,585,303 | |
3.40% (12 Month LIBOR USD + 1.66%, 11.53% Cap), 10/01/2036 (1) | | | 71,906 | | | | 75,193 | |
3.83% (12 Month LIBOR USD + 2.08%, 11.43% Cap), 10/01/2036 (1) | | | 75,663 | | | | 80,484 | |
3.83% (12 Month LIBOR USD + 2.08%, 10.59% Cap), 10/01/2036 (1) | | | 112,166 | | | | 119,360 | |
6.50%, 10/01/2036 | | | 47,132 | | | | 52,113 | |
3.00%, 11/01/2036 | | | 8,507,040 | | | | 8,393,683 | |
3.63% (12 Month LIBOR USD + 1.88%, 12.09% Cap), 11/01/2036 (1) | | | 31,569 | | | | 33,141 | |
3.97% (12 Month LIBOR USD + 2.23%, 10.64% Cap), 11/01/2036 (1) | | | 31,629 | | | | 33,428 | |
5.50%, 11/01/2036 | | | 27,867 | | | | 30,191 | |
6.00%, 11/01/2036 | | | 59,868 | | | | 65,928 | |
2.50%, 12/01/2036 | | | 5,063,519 | | | | 4,820,479 | |
3.54% (12 Month LIBOR USD + 1.79%, 10.98% Cap), 12/01/2036 (1) | | | 135,782 | | | | 142,598 | |
3.69% (12 Month LIBOR USD + 1.94%, 10.70% Cap), 12/01/2036 (1) | | | 35,204 | | | | 36,881 | |
7.00%, 12/01/2036 | | | 7,834 | | | | 8,430 | |
3.30% (6 Month LIBOR USD + 1.44%, 12.56% Cap), 01/01/2037 (1) | | | 62,466 | | | | 64,445 | |
3.75% (12 Month LIBOR USD + 1.93%, 10.86% Cap), 01/01/2037 (1) | | | 34,411 | | | | 36,305 | |
6.50%, 01/01/2037 | | | 109,103 | | | | 117,828 | |
3.20% (6 Month LIBOR USD + 1.49%, 12.63% Cap), 02/01/2037 (1) | | | 83,836 | | | | 86,715 | |
3.66% (6 Month LIBOR USD + 2.03%, 10.68% Cap), 02/01/2037 (1) | | | 67,327 | | | | 70,933 | |
5.50%, 03/01/2037 | | | 535,639 | | | | 579,732 | |
6.00%, 03/01/2037 | | | 85,644 | | | | 90,363 | |
| | | | | | | | |
7.00%, 03/01/2037 | | | 12,711 | | | | 14,185 | |
3.80% (12 Month LIBOR USD + 1.71%, 10.78% Cap), 04/01/2037 (1) | | | 126,445 | | | | 132,244 | |
5.50%, 04/01/2037 | | | 178,031 | | | | 193,364 | |
7.00%, 04/01/2037 | | | 9,900 | | | | 10,783 | |
4.00%, 05/01/2037 | | | 13,954,166 | | | | 14,383,874 | |
5.50%, 05/01/2037 | | | 262,386 | | | | 282,045 | |
6.50%, 05/01/2037 | | | 8,409 | | | | 8,541 | |
7.50%, 05/01/2037 | | | 38,844 | | | | 44,812 | |
3.00% (6 Month LIBOR USD + 1.32%, 12.13% Cap), 07/01/2037 (1) | | | 100,937 | | | | 103,635 | |
3.22% (12 Month LIBOR USD + 1.47%, 10.72% Cap), 07/01/2037 (1) | | | 8,384 | | | | 8,706 | |
3.50% (12 Month LIBOR USD + 1.68%, 11.01% Cap), 07/01/2037 (1) | | | 186,010 | | | | 194,561 | |
3.61% (12 Month LIBOR USD + 1.86%, 10.51% Cap), 07/01/2037 (1) | | | 82,935 | | | | 87,449 | |
5.00%, 07/01/2037 | | | 699,716 | | | | 749,160 | |
5.00%, 07/01/2037 | | | 608,870 | | | | 651,982 | |
5.00%, 07/01/2037 | | | 881,497 | | | | 944,449 | |
4.20% (12 Month LIBOR USD + 2.37%, 11.14% Cap), 08/01/2037 (1) | | | 71,404 | | | | 75,958 | |
6.50%, 08/01/2037 | | | 33,665 | | | | 37,779 | |
6.50%, 08/01/2037 | | | 39,583 | | | | 44,935 | |
3.21% (12 Month LIBOR USD + 1.46%, 10.82% Cap), 09/01/2037 (1) | | | 38,784 | | | | 40,271 | |
3.53% (12 Month LIBOR USD + 1.78%, 11.21% Cap), 09/01/2037 (1) | | | 10,460 | | | | 10,700 | |
3.55% (12 Month LIBOR USD + 1.80%, 11.83% Cap), 09/01/2037 (1) | | | 92,658 | | | | 97,428 | |
3.62% (1 Year CMT Rate + 2.32%, 11.07% Cap), 09/01/2037 (1) | | | 17,613 | | | | 18,649 | |
6.00%, 09/01/2037 | | | 91,424 | | | | 100,772 | |
7.00%, 09/01/2037 | | | 46,213 | | | | 50,707 | |
6.50%, 10/01/2037 | | | 86,768 | | | | 96,751 | |
7.50%, 10/01/2037 | | | 199,885 | | | | 231,167 | |
3.22% (1 Year CMT Rate + 2.08%, 10.60% Cap), 11/01/2037 (1) | | | 79,477 | | | | 83,237 | |
3.24% (12 Month LIBOR USD + 1.44%, 11.21% Cap), 11/01/2037 (1) | | | 150,708 | | | | 156,124 | |
7.50%, 11/01/2037 | | | 66,520 | | | | 75,525 | |
8.00%, 11/01/2037 | | | 14,159 | | | | 15,401 | |
3.50% (1 Year CMT Rate + 2.24%, 10.67% Cap), 12/01/2037 (1) | | | 185,892 | | | | 194,892 | |
3.79% (12 Month LIBOR USD + 1.79%, 10.19% Cap), 01/01/2038 (1) | | | 18,735 | | | | 19,361 | |
5.50%, 01/01/2038 | | | 171,151 | | | | 186,146 | |
8.00%, 01/01/2038 | | | 7,432 | | | | 8,754 | |
5.00%, 02/01/2038 | | | 124,463 | | | | 133,245 | |
6.00%, 04/01/2038 | | | 37,351 | | | | 40,818 | |
5.50%, 05/01/2038 | | | 31,919 | | | | 33,554 | |
6.00%, 05/01/2038 | | | 281,796 | | | | 308,044 | |
5.50%, 06/01/2038 | | | 1,153,022 | | | | 1,243,220 | |
5.50%, 06/01/2038 | | | 2,061 | | | | 2,226 | |
| | | | | | | | |
5.50%, 06/01/2038 | | | 158,448 | | | | 171,638 | |
5.50%, 09/01/2038 | | | 970,260 | | | | 1,051,569 | |
7.00%, 09/01/2038 | | | 55,357 | | | | 63,238 | |
6.50%, 10/01/2038 | | | 101,575 | | | | 112,712 | |
6.50%, 10/01/2038 | | | 401,055 | | | | 445,211 | |
7.00%, 10/01/2038 | | | 116,115 | | | | 133,614 | |
6.00%, 11/01/2038 | | | 76,758 | | | | 86,053 | |
7.00%, 11/01/2038 | | | 76,720 | | | | 90,370 | |
7.50%, 11/01/2038 | | | 50,307 | | | | 58,336 | |
7.00%, 12/01/2038 | | | 201,049 | | | | 231,085 | |
5.00%, 01/01/2039 | | | 2,674,908 | | | | 2,856,179 | |
7.00%, 01/01/2039 | | | 339,331 | | | | 386,683 | |
7.50%, 04/01/2039 | | | 205,947 | | | | 241,258 | |
4.50%, 05/01/2039 | | | 405,505 | | | | 426,400 | |
5.50%, 06/01/2039 | | | 27,247 | | | | 28,520 | |
5.00%, 09/01/2039 | | | 139,097 | | | | 148,495 | |
5.50%, 09/01/2039 | | | 97,910 | | | | 105,426 | |
4.50%, 11/01/2039 | | | 30,323 | | | | 31,887 | |
5.50%, 12/01/2039 | | | 99,525 | | | | 106,952 | |
6.00%, 12/01/2039 | | | 1,392,747 | | | | 1,532,642 | |
5.50%, 01/01/2040 | | | 691,986 | | | | 761,930 | |
5.00%, 04/01/2040 | | | 350,209 | | | | 375,317 | |
4.00%, 07/01/2040 | | | 6,060,821 | | | | 6,222,869 | |
4.00%, 07/01/2040 (5) | | | 37,750,000 | | | | 38,482,882 | |
4.00%, 08/01/2040 | | | 213,519 | | | | 219,257 | |
4.50%, 08/01/2040 | | | 4,406,969 | | | | 4,635,852 | |
4.50%, 08/01/2040 | | | 4,463,757 | | | | 4,695,884 | |
5.00%, 08/01/2040 | | | 783,931 | | | | 840,875 | |
5.00%, 08/01/2040 | | | 378,918 | | | | 406,422 | |
4.00%, 08/15/2040 (5) | | | 45,000,000 | | | | 45,808,596 | |
4.50%, 08/15/2040 (5) | | | 2,250,000 | | | | 2,338,462 | |
5.00%, 08/15/2040 (5) | | | 4,000,000 | | | | 4,229,004 | |
5.50%, 08/15/2040 (5) | | | 7,750,000 | | | | 8,299,463 | |
4.00%, 09/01/2040 | | | 1,564,676 | | | | 1,606,787 | |
4.50%, 09/01/2040 | | | 1,467,918 | | | | 1,544,372 | |
4.00%, 10/01/2040 | | | 1,810,922 | | | | 1,859,760 | |
4.50%, 10/01/2040 | | | 605,779 | | | | 635,889 | |
6.00%, 10/01/2040 | | | 1,892,184 | | | | 2,084,459 | |
3.50%, 12/01/2040 | | | 134,267 | | | | 134,704 | |
4.00%, 12/01/2040 | | | 306,510 | | | | 314,784 | |
| | | | | | | | |
4.00%, 12/01/2040 | | | 1,605,130 | | | | 1,648,451 | |
4.50%, 12/01/2040 | | | 545,338 | | | | 573,712 | |
4.50%, 12/01/2040 | | | 1,917,531 | | | | 2,017,413 | |
4.50%, 12/01/2040 | | | 6,551,432 | | | | 6,891,493 | |
4.00%, 01/01/2041 | | | 282,192 | | | | 289,800 | |
4.00%, 01/01/2041 | | | 638,253 | | | | 655,479 | |
4.00%, 01/01/2041 | | | 907,684 | | | | 932,183 | |
4.00%, 01/01/2041 | | | 1,257,834 | | | | 1,291,739 | |
4.00%, 01/01/2041 | | | 2,134,892 | | | | 2,192,431 | |
4.00%, 01/01/2041 | | | 2,100,038 | | | | 2,156,656 | |
4.00%, 01/01/2041 | | | 1,879,331 | | | | 1,930,050 | |
3.50%, 02/01/2041 | | | 11,271,205 | | | | 11,307,886 | |
4.00%, 02/01/2041 | | | 70,988 | | | | 72,901 | |
4.00%, 02/01/2041 | | | 1,755,965 | | | | 1,804,327 | |
4.00%, 02/01/2041 | | | 2,872,270 | | | | 2,949,799 | |
4.50%, 03/01/2041 | | | 1,409,161 | | | | 1,482,552 | |
4.50%, 04/01/2041 | | | 1,256,966 | | | | 1,322,406 | |
4.50%, 05/01/2041 | | | 1,929,083 | | | | 2,029,538 | |
4.50%, 05/01/2041 | | | 7,460,857 | | | | 7,848,208 | |
5.00%, 05/01/2041 | | | 156,646 | | | | 168,063 | |
4.50%, 07/01/2041 | | | 446,247 | | | | 468,573 | |
6.00%, 07/01/2041 | | | 4,884,446 | | | | 5,376,931 | |
3.50%, 07/15/2041 (5) | | | 10,810,000 | | | | 10,755,873 | |
4.50%, 07/15/2041 (5) | | | 107,795,000 | | | | 112,235,227 | |
5.00%, 07/15/2041 (5) | | | 24,380,000 | | | | 25,823,398 | |
4.50%, 08/01/2041 | | | 2,974,764 | | | | 3,113,038 | |
4.00%, 09/01/2041 | | | 339,373 | | | | 348,518 | |
4.00%, 10/01/2041 | | | 879,327 | | | | 903,070 | |
4.00%, 10/01/2041 | | | 1,333,675 | | | | 1,369,612 | |
3.50%, 11/01/2041 | | | 4,818,791 | | | | 4,834,412 | |
3.50%, 11/01/2041 | | | 494,912 | | | | 496,524 | |
3.50%, 12/01/2041 | | | 890,199 | | | | 893,098 | |
3.50%, 12/01/2041 | | | 8,860,537 | | | | 8,889,338 | |
3.50%, 12/01/2041 | | | 342,380 | | | | 343,487 | |
4.00%, 12/01/2041 | | | 1,706,800 | | | | 1,755,153 | |
4.00%, 12/01/2041 | | | 2,703,076 | | | | 2,776,054 | |
4.00%, 12/01/2041 | | | 1,831,964 | | | | 1,881,276 | |
4.00%, 01/01/2042 | | | 3,843,411 | | | | 3,949,522 | |
4.50%, 01/01/2042 | | | 3,033,178 | | | | 3,189,799 | |
4.50%, 01/01/2042 | | | 874,447 | | | | 916,904 | |
| | | | | | | | |
3.50%, 02/01/2042 | | | 307,304 | | | | 308,304 | |
3.50%, 02/01/2042 | | | 565,560 | | | | 567,375 | |
4.50%, 02/01/2042 | | | 399,498 | | | | 418,872 | |
4.00%, 03/01/2042 | | | 177,717 | | | | 180,597 | |
3.50%, 04/01/2042 | | | 347,520 | | | | 348,651 | |
3.00%, 05/01/2042 | | | 670,401 | | | | 655,527 | |
3.50%, 05/01/2042 | | | 9,452,317 | | | | 9,483,094 | |
4.50%, 05/01/2042 | | | 767,590 | | | | 807,360 | |
5.00%, 05/01/2042 | | | 2,687,186 | | | | 2,883,556 | |
3.50%, 06/01/2042 | | | 2,106,304 | | | | 2,113,124 | |
3.50%, 07/01/2042 | | | 4,862,167 | | | | 4,875,366 | |
3.50%, 07/01/2042 | | | 1,411,134 | | | | 1,415,729 | |
4.00%, 07/01/2042 | | | 488,378 | | | | 500,955 | |
4.00%, 07/01/2042 | | | 526,416 | | | | 540,135 | |
4.00%, 07/01/2042 | | | 906,312 | | | | 929,783 | |
4.00%, 07/01/2042 | | | 581,584 | | | | 596,788 | |
3.00%, 07/15/2042 (5) | | | 29,170,000 | | | | 28,249,322 | |
3.50%, 08/01/2042 | | | 918,601 | | | | 920,929 | |
4.00%, 08/01/2042 | | | 6,765,175 | | | | 6,951,952 | |
3.50%, 09/01/2042 | | | 6,417,718 | | | | 6,435,073 | |
3.50%, 09/01/2042 | | | 1,147,294 | | | | 1,146,407 | |
3.50%, 09/01/2042 | | | 1,107,147 | | | | 1,111,104 | |
3.00%, 10/01/2042 | | | 6,112,723 | | | | 5,977,589 | |
3.50%, 10/01/2042 | | | 496,106 | | | | 497,900 | |
3.50%, 10/01/2042 | | | 827,539 | | | | 829,473 | |
3.50%, 10/01/2042 | | | 558,390 | | | | 559,603 | |
3.50%, 10/01/2042 | | | 1,550,641 | | | | 1,554,278 | |
3.00%, 11/01/2042 | | | 2,412,012 | | | | 2,356,960 | |
3.50%, 11/01/2042 | | | 3,394,922 | | | | 3,402,209 | |
3.50%, 11/01/2042 | | | 8,601,470 | | | | 8,621,708 | |
4.50%, 11/01/2042 | | | 10,504,700 | | | | 11,045,160 | |
3.00%, 12/01/2042 | | | 135,664 | | | | 132,566 | |
3.00%, 12/01/2042 | | | 1,419,139 | | | | 1,386,903 | |
4.00%, 12/01/2042 | | | 632,550 | | | | 649,624 | |
2.50%, 01/01/2043 | | | 3,001,969 | | | | 2,825,213 | |
3.00%, 01/01/2043 | | | 1,845,546 | | | | 1,801,674 | |
3.00%, 01/01/2043 | | | 1,963,855 | | | | 1,918,789 | |
3.00%, 01/01/2043 | | | 2,103,734 | | | | 2,055,474 | |
3.00%, 01/01/2043 | | | 1,213,673 | | | | 1,185,963 | |
3.50%, 01/01/2043 | | | 944,645 | | | | 943,914 | |
| | | | | | | | |
3.50%, 01/01/2043 | | | 1,282,061 | | | | 1,284,614 | |
2.50%, 02/01/2043 | | | 1,336,498 | | | | 1,257,852 | |
3.00%, 02/01/2043 | | | 1,008,133 | | | | 984,091 | |
3.50%, 02/01/2043 | | | 82,264 | | | | 82,531 | |
3.50%, 02/01/2043 | | | 83,873 | | | | 84,024 | |
3.00%, 03/01/2043 | | | 444,624 | | | | 434,240 | |
3.50%, 03/01/2043 | | | 5,194,783 | | | | 5,201,356 | |
3.50%, 03/01/2043 | | | 1,835,280 | | | | 1,838,271 | |
3.50%, 03/01/2043 | | | 670,795 | | | | 670,276 | |
3.00%, 04/01/2043 | | | 881,102 | | | | 860,494 | |
3.00%, 04/01/2043 | | | 3,348,471 | | | | 3,270,461 | |
3.00%, 04/01/2043 | | | 2,089,133 | | | | 2,040,584 | |
3.00%, 04/01/2043 | | | 1,477,287 | | | | 1,443,087 | |
3.00%, 04/01/2043 | | | 776,387 | | | | 758,313 | |
3.50%, 04/01/2043 | | | 5,688,248 | | | | 5,694,270 | |
3.50%, 04/01/2043 | | | 2,194,758 | | | | 2,197,486 | |
3.00%, 05/01/2043 | | | 841,149 | | | | 821,590 | |
3.00%, 05/01/2043 | | | 2,754,915 | | | | 2,690,765 | |
3.00%, 05/01/2043 | | | 12,748,511 | | | | 12,451,560 | |
3.00%, 05/01/2043 | | | 973,173 | | | | 950,436 | |
3.00%, 05/01/2043 | | | 439,029 | | | | 428,779 | |
3.00%, 05/01/2043 | | | 142,251 | | | | 138,945 | |
3.00%, 05/01/2043 | | | 1,792,785 | | | | 1,750,852 | |
3.50%, 05/01/2043 | | | 865,807 | | | | 865,132 | |
3.50%, 05/01/2043 | | | 103,959 | | | | 104,128 | |
3.50%, 05/01/2043 | | | 2,397,863 | | | | 2,396,008 | |
3.50%, 05/01/2043 | | | 1,765,262 | | | | 1,763,897 | |
3.00%, 06/01/2043 | | | 541,001 | | | | 528,370 | |
3.00%, 06/01/2043 | | | 108,633 | | | | 106,127 | |
3.00%, 06/01/2043 | | | 506,275 | | | | 494,440 | |
3.00%, 06/01/2043 | | | 3,092,311 | | | | 3,019,907 | |
3.00%, 06/01/2043 | | | 8,672,330 | | | | 8,469,943 | |
3.00%, 06/01/2043 | | | 831,301 | | | | 812,612 | |
3.00%, 06/01/2043 | | | 296,730 | | | | 289,808 | |
3.50%, 06/01/2043 | | | 2,152,207 | | | | 2,150,542 | |
3.00%, 07/01/2043 | | | 487,748 | | | | 476,353 | |
3.00%, 07/01/2043 | | | 2,876,895 | | | | 2,809,948 | |
3.00%, 07/01/2043 | | | 96,964 | | | | 94,701 | |
3.00%, 07/01/2043 | | | 514,583 | | | | 502,560 | |
3.00%, 07/01/2043 | | | 1,849,287 | | | | 1,806,317 | |
| | | | | | | | |
3.00%, 07/01/2043 | | | 2,155,046 | | | | 2,104,793 | |
3.00%, 07/01/2043 | | | 1,356,729 | | | | 1,325,097 | |
3.00%, 07/01/2043 | | | 409,678 | | | | 400,104 | |
3.00%, 07/01/2043 | | | 14,053,239 | | | | 13,731,885 | |
3.00%, 07/01/2043 | | | 508,673 | | | | 496,802 | |
3.50%, 07/01/2043 | | | 11,126,060 | | | | 11,138,158 | |
4.00%, 07/01/2043 | | | 1,257,504 | | | | 1,290,086 | |
3.00%, 08/01/2043 | | | 1,047,692 | | | | 1,023,649 | |
3.00%, 08/01/2043 | | | 1,560,344 | | | | 1,523,930 | |
3.00%, 08/01/2043 | | | 4,593,287 | | | | 4,490,069 | |
3.00%, 08/01/2043 | | | 3,327,125 | | | | 3,249,449 | |
3.00%, 08/01/2043 | | | 2,029,251 | | | | 1,981,854 | |
3.00%, 08/01/2043 | | | 1,238,576 | | | | 1,209,735 | |
4.00%, 08/01/2043 | | | 3,508,557 | | | | 3,601,772 | |
3.00%, 09/01/2043 | | | 1,075,267 | | | | 1,050,351 | |
3.50%, 09/01/2043 | | | 12,493,025 | | | | 12,533,532 | |
4.00%, 09/01/2043 | | | 311,202 | | | | 319,350 | |
5.00%, 09/01/2043 | | | 1,436,973 | | | | 1,528,219 | |
2.50%, 10/01/2043 | | | 2,661,506 | | | | 2,504,747 | |
3.00%, 10/01/2043 | | | 113,151 | | | | 110,519 | |
4.00%, 11/01/2043 | | | 4,665,364 | | | | 4,777,742 | |
4.00%, 12/01/2043 | | | 1,047,993 | | | | 1,075,565 | |
4.00%, 12/01/2043 | | | 200,662 | | | | 205,457 | |
4.00%, 12/01/2043 | | | 2,091,652 | | | | 2,150,896 | |
3.00%, 02/01/2044 | | | 8,443,709 | | | | 8,255,008 | |
4.00%, 06/01/2044 | | | 5,912,502 | | | | 6,072,070 | |
4.00%, 07/01/2044 | | | 5,509,731 | | | | 5,652,491 | |
4.00%, 07/01/2044 | | | 1,112,970 | | | | 1,144,488 | |
4.00%, 08/01/2044 | | | 8,442,940 | | | | 8,659,766 | |
4.00%, 09/01/2044 | | | 1,823,529 | | | | 1,863,293 | |
4.00%, 01/01/2045 | | | 12,933,586 | | | | 13,208,330 | |
3.50%, 02/01/2045 | | | 9,707,302 | | | | 9,735,099 | |
4.00%, 02/01/2045 | | | 704,405 | | | | 724,354 | |
3.00%, 04/01/2045 | | | 9,825,561 | | | | 9,563,503 | |
3.50%, 04/01/2045 | | | 15,654,177 | | | | 15,622,712 | |
3.50%, 06/01/2045 | | | 3,502,259 | | | | 3,495,220 | |
3.50%, 06/01/2045 | | | 13,224,984 | | | | 13,198,402 | |
4.00%, 07/01/2045 | | | 10,152,357 | | | | 10,391,228 | |
3.50%, 11/01/2045 | | | 3,853,053 | | | | 3,845,309 | |
4.00%, 11/01/2045 | | | 909,229 | | | | 934,981 | |
| | | | | | | | |
3.50%, 12/01/2045 | | | 935,419 | | | | 933,539 | |
4.00%, 12/01/2045 | | | 1,903,112 | | | | 1,941,527 | |
4.00%, 12/01/2045 | | | 8,416,694 | | | | 8,586,589 | |
3.50%, 01/01/2046 | | | 12,699,540 | | | | 12,674,013 | |
4.00%, 01/01/2046 | | | 5,329,946 | | | | 5,437,527 | |
4.50%, 02/01/2046 | | | 10,958,364 | | | | 11,526,699 | |
2.50%, 05/01/2046 | | | 1,707,495 | | | | 1,599,997 | |
3.00%, 05/01/2046 | | | 2,076,459 | | | | 2,028,011 | |
3.50%, 06/01/2046 | | | 7,982,318 | | | | 7,967,511 | |
3.50%, 06/01/2046 | | | 1,482,633 | | | | 1,480,013 | |
2.50%, 07/01/2046 | | | 3,416,729 | | | | 3,201,623 | |
3.00%, 07/01/2046 | | | 6,746,032 | | | | 6,543,077 | |
3.50%, 07/01/2046 | | | 284,065 | | | | 283,538 | |
4.00%, 08/01/2046 | | | 9,269,542 | | | | 9,462,334 | |
3.00%, 09/01/2046 | | | 11,758,650 | | | | 11,404,890 | |
3.00%, 09/01/2046 | | | 8,426,688 | | | | 8,173,166 | |
3.50%, 09/01/2046 | | | 3,492,026 | | | | 3,489,339 | |
2.50%, 10/01/2046 | | | 1,251,744 | | | | 1,172,932 | |
3.00%, 10/01/2046 | | | 2,653,751 | | | | 2,573,911 | |
3.50%, 10/01/2046 | | | 646,475 | | | | 645,276 | |
3.00%, 11/01/2046 | | | 2,725,782 | | | | 2,643,777 | |
3.00%, 11/01/2046 | | | 9,214,299 | | | | 8,937,084 | |
3.50%, 11/01/2046 | | | 17,242,563 | | | | 17,207,906 | |
4.00%, 11/01/2046 | | | 1,357,557 | | | | 1,388,607 | |
3.50%, 12/01/2046 | | | 8,827,401 | | | | 8,811,025 | |
3.50%, 12/01/2046 | | | 4,627,872 | | | | 4,618,212 | |
3.00%, 01/01/2047 | | | 23,890,973 | | | | 23,172,212 | |
3.50%, 03/01/2047 | | | 11,506,132 | | | | 11,484,784 | |
3.50%, 03/01/2047 | | | 9,366,730 | | | | 9,349,352 | |
4.00%, 03/01/2047 | | | 9,972,686 | | | | 10,171,344 | |
4.50%, 03/01/2047 | | | 1,805,911 | | | | 1,884,160 | |
3.50%, 04/01/2047 | | | 2,602,291 | | | | 2,597,463 | |
3.50%, 04/01/2047 | | | 9,363,775 | | | | 9,346,403 | |
4.00%, 05/01/2047 | | | 3,702,432 | | | | 3,780,447 | |
4.00%, 06/01/2047 | | | 3,634,720 | | | | 3,724,260 | |
3.50%, 07/01/2047 | | | 10,679,858 | | | | 10,660,043 | |
3.50%, 08/01/2047 | | | 2,772,334 | | | | 2,764,827 | |
3.50%, 08/01/2047 | | | 9,835,161 | | | | 9,807,768 | |
3.50%, 09/01/2047 | | | 9,217,406 | | | | 9,190,248 | |
3.50%, 10/01/2047 | | | 4,791,694 | | | | 4,777,744 | |
| | | | | | | | |
3.50%, 11/01/2047 | | | 20,552,843 | | | | 20,466,929 | |
3.50%, 11/01/2047 | | | 4,014,840 | | | | 4,005,743 | |
4.00%, 01/01/2048 | | | 9,756,811 | | | | 9,970,138 | |
4.00%, 01/01/2048 | | | 8,934,060 | | | | 9,139,373 | |
4.00%, 01/01/2048 | | | 8,937,929 | | | | 9,173,240 | |
5.00%, 01/01/2048 | | | 1,903,621 | | | | 2,018,059 | |
4.00%, 03/01/2048 | | | 10,891,982 | | | | 11,177,609 | |
4.00%, 03/01/2048 | | | 4,849,211 | | | | 4,960,658 | |
4.00%, 04/01/2048 | | | 8,330,784 | | | | 8,518,095 | |
4.00%, 04/01/2048 | | | 8,266,865 | | | | 8,454,792 | |
4.50%, 05/01/2048 | | | 7,325,158 | | | | 7,692,557 | |
6.00%, 11/01/2048 | | | 41,887 | | | | 44,375 | |
Fannie Mae Principal Strip | | | | | | | | |
0.00%, 05/15/2030 PO | | | 929,000 | | | | 619,253 | |
Fannie Mae REMIC Trust 2003-W1 | | | | | | | | |
5.43%, 12/25/2042 (3) | | | 120,817 | | | | 126,247 | |
5.96%, 12/25/2042 (3) | | | 32,384 | | | | 35,271 | |
Fannie Mae REMIC Trust 2003-W4 | | | | | | | | |
6.50%, 10/25/2042 (3) | | | 17,970 | | | | 20,304 | |
Fannie Mae REMIC Trust 2004-W10 | | | | | | | | |
5.75%, 08/25/2034 | | | 702,000 | | | | 763,656 | |
Fannie Mae REMIC Trust 2004-W11 | | | | | | | | |
6.00%, 05/25/2044 | | | 100,027 | | | | 112,159 | |
Fannie Mae REMIC Trust 2005-W1 | | | | | | | | |
6.50%, 10/25/2044 | | | 172,159 | | | | 193,407 | |
Fannie Mae REMIC Trust 2006-W3 | | | | | | | | |
6.00%, 09/25/2046 | | | 158,997 | | | | 176,842 | |
Fannie Mae REMIC Trust 2007-W1 | | | | | | | | |
6.32%, 08/25/2047 (3) | | | 19,028 | | | | 20,340 | |
Fannie Mae REMIC Trust 2007-W3 | | | | | | | | |
6.75%, 04/25/2037 | | | 34,378 | | | | 37,528 | |
Fannie Mae REMIC Trust 2007-W5 | | | | | | | | |
0.00%, 06/25/2037 PO | | | 34,880 | | | | 30,469 | |
Fannie Mae REMIC Trust 2007-W7 | | | | | | | | |
26.63% (-6 x 1 Month LIBOR USD + 39.18%, 39.18% Cap), 07/25/2037 (1)(4) | | | 25,466 | | | | 39,021 | |
Fannie Mae REMIC Trust 2009-W1 | | | | | | | | |
6.00%, 12/25/2049 | | | 726,078 | | | | 801,768 | |
| | | | | | | | |
Fannie Mae REMICS | | | | | | | | |
4.75%, 09/25/2018 | | | 314 | | | | 314 | |
4.00%, 04/25/2019 | | | 618 | | | | 618 | |
8.00%, 07/25/2019 | | | 1,171 | | | | 1,193 | |
8.00%, 10/25/2019 | | | 357 | | | | 363 | |
4.00%, 11/25/2019 | | | 1,076 | | | | 1,077 | |
8.50%, 11/25/2019 | | | 331 | | | | 339 | |
9.00%, 11/25/2019 | | | 118 | | | | 121 | |
9.40%, 11/25/2019 | | | 193 | | | | 199 | |
7.50%, 12/25/2019 | | | 682 | | | | 696 | |
8.50%, 01/25/2020 | | | 93 | | | | 96 | |
8.80%, 01/25/2020 | | | 168 | | | | 173 | |
7.00%, 05/25/2020 | | | 81 | | | | 83 | |
5.50%, 06/25/2020 | | | 59 | | | | 60 | |
9.50%, 06/25/2020 | | | 145 | | | | 152 | |
7.00%, 07/25/2020 | | | 701 | | | | 717 | |
5.50%, 08/25/2020 | | | 85 | | | | 86 | |
6.50%, 08/25/2020 | | | 1,435 | | | | 1,470 | |
505.00%, 08/25/2020 | | | 2 | | | | 9 | |
1118.04%, 08/25/2020 IO | | | 2 | | | | 11 | |
6.50%, 09/25/2020 | | | 587 | | | | 601 | |
7.00%, 09/25/2020 | | | 168 | | | | 172 | |
9.00%, 10/25/2020 | | | 713 | | | | 740 | |
18.46% (-2 x 1 Month LIBOR USD + 21.60%, 4.50% Floor, 21.60% Cap), 11/25/2020 (1)(4) | | | 116 | | | | 133 | |
652.15%, 12/25/2020 IO | | | 6 | | | | 37 | |
7.00%, 01/25/2021 | | | 226 | | | | 233 | |
5.00%, 03/25/2021 | | | 233 | | | | 237 | |
7.00%, 03/25/2021 | | | 8,150 | | | | 8,389 | |
14.02% (-2 x 1 Month LIBOR USD + 17.68%, 17.68% Cap), 05/25/2021 (1)(4) | | | 142 | | | | 155 | |
8.50%, 06/25/2021 | | | 184 | | | | 194 | |
8.75%, 06/25/2021 | | | 771 | | | | 805 | |
866.05%, 06/25/2021 (3) | | | 2 | | | | 14 | |
6.50%, 07/25/2021 | | | 712 | | | | 739 | |
6.50%, 09/25/2021 | | | 58,410 | | | | 60,864 | |
13.01% (-1 x 1 Month LIBOR USD + 15.10%, 5.00% Floor, 15.10% Cap), 09/25/2021 (1)(4) | | | 186 | | | | 192 | |
8.75%, 10/25/2021 | | | 1,367 | | | | 1,416 | |
21.67% (-3 x 7 Year CMT Rate + 30.01%, 29.59% Cap), 12/25/2021 (1)(4) | | | 145 | | | | 165 | |
6.00%, 02/25/2022 | | | 59,856 | | | | 62,213 | |
6.50%, 02/25/2022 | | | 9,990 | | | | 10,429 | |
0.00%, 03/25/2022 PO | | | 22,141 | | | | 21,274 | |
7.50%, 06/25/2022 | | | 79 | | | | 85 | |
7.00%, 07/25/2022 | | | 851 | | | | 883 | |
7.50%, 07/25/2022 | | | 9,862 | | | | 10,441 | |
| | | | | | | | |
8.00%, 07/25/2022 | | | 12,278 | | | | 13,135 | |
8.00%, 07/25/2022 | | | 469 | | | | 496 | |
1184.78%, 07/25/2022 IO | | | 4 | | | | 52 | |
6.00%, 08/25/2022 | | | 1,824 | | | | 1,897 | |
6.50%, 08/25/2022 | | | 2,348 | | | | 2,460 | |
2.11% (1 Month LIBOR USD + 0.02%, 0.02% Floor, 9.32% Cap), 09/25/2022 (1) | | | 916 | | | | 916 | |
5.50%, 09/25/2022 | | | 1,289 | | | | 1,325 | |
6.00%, 09/25/2022 | | | 75,416 | | | | 78,772 | |
7.50%, 09/25/2022 | | | 7,769 | | | | 8,144 | |
7.75%, 09/25/2022 | | | 4,351 | | | | 4,620 | |
8.00%, 09/25/2022 | | | 12,587 | | | | 13,460 | |
0.00%, 10/25/2022 PO | | | 1,228 | | | | 1,164 | |
1.60% (11th District Cost of Funds Index + 0.70%, 0.70% Floor, 10.00% Cap), 10/25/2022 (1) | | | 777 | | | | 784 | |
7.00%, 10/25/2022 | | | 2,037 | | | | 2,156 | |
7.50%, 10/25/2022 | | | 6,834 | | | | 7,261 | |
7.90%, 01/25/2023 | | | 6,944 | | | | 7,475 | |
6.50%, 02/25/2023 | | | 3,005 | | | | 3,147 | |
7.00%, 02/25/2023 | | | 30,708 | | | | 32,703 | |
15.50% (-7 x 1 Month LIBOR USD + 58.37%, 15.50% Cap), 02/25/2023 (1)(4) | | | 1,160 | | | | 1,454 | |
5.50%, 03/25/2023 | | | 136,463 | | | | 142,081 | |
6.50%, 03/25/2023 | | | 2,209 | | | | 2,334 | |
7.00%, 03/25/2023 | | | 19,498 | | | | 20,555 | |
7.50%, 03/25/2023 | | | 7,317 | | | | 7,816 | |
7.70%, 03/25/2023 | | | 3,033 | | | | 3,241 | |
0.00%, 04/25/2023 PO | | | 1,207 | | | | 1,145 | |
5.50%, 04/25/2023 | | | 7,992 | | | | 8,247 | |
5.50%, 04/25/2023 | | | 253,311 | | | | 265,971 | |
6.00% (-3 x 1 Month LIBOR USD + 28.70%, 6.00% Cap), 04/25/2023 (1)(4) | | | 4,877 | | | | 5,234 | |
7.00%, 04/25/2023 | | | 6,461 | | | | 6,796 | |
15.39% (-2 x 7 Year CMT Rate + 22.30%, 21.83% Cap), 04/25/2023 IO (1)(4) | | | 5,916 | | | | 1,501 | |
18.44% (-2 x 11th District Cost of Funds Index + 20.53%, 20.53% Cap), 04/25/2023 (1)(4) | | | 3,100 | | | | 3,665 | |
5.50%, 05/25/2023 | | | 60,750 | | | | 63,341 | |
7.00%, 05/25/2023 | | | 73,954 | | | | 78,863 | |
4.41% (-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap), 06/25/2023 IO (1)(4) | | | 35,936 | | | | 1,322 | |
5.00%, 06/25/2023 | | | 16,301 | | | | 16,378 | |
4.50%, 07/25/2023 | | | 96,006 | | | | 100,776 | |
5.39%, 07/25/2023 (3) | | | 32,824 | | | | 34,738 | |
6.50%, 07/25/2023 | | | 1,662 | | | | 1,750 | |
7.00%, 07/25/2023 | | | 37,597 | | | | 39,968 | |
7.00%, 07/25/2023 | | | 23,489 | | | | 24,842 | |
| | | | | | | | |
2.97% (1 Month LIBOR USD + 0.88%, 0.88% Floor, 9.50% Cap), 08/25/2023 (1) | | | 4,174 | | | | 4,231 | |
5.96% (-1 x 1 Month LIBOR USD + 8.05%, 8.05% Cap), 08/25/2023 IO (1)(4) | | | 1,200 | | | | 105 | |
6.88%, 08/25/2023 | | | 33,347 | | | | 35,117 | |
7.00%, 08/25/2023 | | | 59,601 | | | | 63,194 | |
7.74% (-1 x 10 Year CMT Rate + 10.75%, 10.00% Cap), 08/25/2023 IO (1)(4) | | | 30,283 | | | | 4,099 | |
0.00%, 09/25/2023 PO | | | 1,104 | | | | 1,050 | |
0.00%, 09/25/2023 PO | | | 2,798 | | | | 2,636 | |
2.74% (1 Month LIBOR USD + 0.65%, 0.65% Floor), 09/25/2023 (1) | | | 3,276 | | | | 3,278 | |
6.50%, 09/25/2023 | | | 3,164 | | | | 3,353 | |
12.50% (-9 x 1 Month LIBOR USD + 77.31%, 12.50% Cap), 09/25/2023 (1)(4) | | | 2,183 | | | | 2,366 | |
12.96% (-2 x 11th District Cost of Funds Index + 14.86%, 14.86% Cap), 09/25/2023 (1)(4) | | | 1,759 | | | | 1,939 | |
6.50%, 10/25/2023 | | | 47,618 | | | | 50,664 | |
6.50%, 10/25/2023 | | | 19,463 | | | | 20,600 | |
10.50% (-8 x 11th District Cost of Funds Index + 63.39%, 10.50% Cap), 10/25/2023 (1)(4) | | | 1,027 | | | | 1,190 | |
17.52% (-3 x 1 Month LIBOR USD + 23.38%, 23.38% Cap), 10/25/2023 (1)(4) | | | 2,862 | | | | 3,525 | |
25.83% (-4 x 11th District Cost of Funds Index + 29.75%, 29.75% Cap), 10/25/2023 (1)(4) | | | 1,540 | | | | 1,931 | |
0.00%, 11/25/2023 PO | | | 308 | | | | 291 | |
6.50%, 11/25/2023 | | | 18,042 | | | | 19,909 | |
2.69% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 9.00% Cap), 12/25/2023 (1) | | | 1,407 | | | | 1,418 | |
3.09% (1 Month LIBOR USD + 1.00%, 1.00% Floor, 9.50% Cap), 12/25/2023 (1) | | | 3,821 | | | | 3,859 | |
6.50%, 12/25/2023 | | | 4,708 | | | | 5,038 | |
12.06% (-1 x 11th District Cost of Funds Index + 12.95%, 4.00% Floor, 12.95% Cap),
12/25/2023 (1)(4) | | | 1,778 | | | | 2,026 | |
17.18% (-4 x 1 Month LIBOR USD + 24.50%, 24.50% Cap), 12/25/2023 (1)(4) | | | 3,821 | | | | 4,647 | |
27.05% (-4 x 11th District Cost of Funds Index + 31.01%, 31.01% Cap), 12/25/2023 (1)(4) | | | 4,696 | | | | 5,953 | |
5.00%, 02/25/2024 IO | | | 36,749 | | | | 1,290 | |
5.00%, 03/25/2024 IO | | | 9,486 | | | | 275 | |
5.00%, 03/25/2024 IO | | | 7,495 | | | | 159 | |
6.50%, 03/25/2024 | | | 88,491 | | | | 94,333 | |
6.50%, 03/25/2024 | | | 15,427 | | | | 16,330 | |
7.00%, 04/25/2024 | | | 130,126 | | | | 137,797 | |
7.00%, 04/25/2024 | | | 56,300 | | | | 60,694 | |
5.50%, 07/25/2024 | | | 15,600 | | | | 16,281 | |
5.50%, 08/25/2024 | | | 150,111 | | | | 157,410 | |
5.00%, 11/25/2024 | | | 236,599 | | | | 245,765 | |
8.50%, 01/25/2025 | | | 3,237 | | | | 3,552 | |
8.80%, 01/25/2025 | | | 6,422 | | | | 7,182 | |
2.39% (1 Month LIBOR USD + 0.30%, 0.30% Floor, 7.00% Cap), 07/25/2025 (1) | | | 6,215 | | | | 6,217 | |
5.50%, 08/25/2025 | | | 144,980 | | | | 153,619 | |
5.50%, 01/25/2026 | | | 98,791 | | | | 104,312 | |
22.79% (-5 x 1 Month LIBOR USD + 33.25%, 33.25% Cap), 10/25/2026 (1)(4) | | | 20,510 | | | | 26,316 | |
| | | | | | | | |
7.00%, 11/25/2026 | | | 31,327 | | | | 33,672 | |
1.84%, 03/25/2027 IO (3) | | | 15,225 | | | | 355 | |
1.84%, 03/25/2027 IO (3) | | | 4,864 | | | | 135 | |
7.50%, 04/18/2027 | | | 5,469 | | | | 6,101 | |
7.50%, 04/20/2027 | | | 8,668 | | | | 9,732 | |
6.50%, 04/25/2027 | | | 20,437 | | | | 22,551 | |
7.50%, 05/20/2027 | | | 34,553 | | | | 38,817 | |
2.49% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 6.50% Cap), 05/25/2027 (1) | | | 2,869,772 | | | | 2,886,925 | |
6.50%, 07/18/2027 | | | 1,882 | | | | 2,076 | |
7.00%, 12/18/2027 IO | | | 9,107 | | | | 993 | |
6.00%, 07/18/2028 | | | 12,002 | | | | 13,107 | |
5.51% (-1 x 1 Month LIBOR USD + 7.60%, 7.60% Cap), 07/25/2028 IO (1)(4) | | | 300,183 | | | | 32,620 | |
3.00%, 12/25/2028 | | | 1,237,521 | | | | 1,159,061 | |
6.00%, 12/25/2028 | | | 5,522 | | | | 5,814 | |
6.06% (-1 x 1 Month LIBOR USD + 8.15%, 8.15% Cap), 12/25/2028 IO (1)(4) | | | 9,995 | | | | 707 | |
5.00%, 03/25/2029 | | | 265,962 | | | | 277,998 | |
5.50%, 04/18/2029 | | | 25,863 | | | | 27,464 | |
6.35%, 04/25/2029 | | | 6,704 | | | | 7,136 | |
7.50%, 12/18/2029 | | | 10,027 | | | | 11,161 | |
7.50%, 02/25/2030 | | | 57,541 | | | | 64,478 | |
7.01% (-1 x 1 Month LIBOR USD + 9.10%, 9.10% Cap), 07/25/2030 IO (1)(4) | | | 19,456 | | | | 2,527 | |
3.00%, 09/25/2030 | | | 1,417,472 | | | | 1,417,698 | |
8.50%, 01/25/2031 IO | | | 2,663 | | | | 528 | |
7.00%, 03/25/2031 | | | 6,390 | | | | 7,173 | |
3.50%, 04/25/2031 | | | 1,084,000 | | | | 1,094,561 | |
6.00%, 07/25/2031 IO | | | 34,769 | | | | 7,504 | |
7.00%, 07/25/2031 | | | 20,432 | | | | 23,076 | |
7.00%, 08/25/2031 | | | 41,269 | | | | 45,628 | |
6.50%, 09/25/2031 | | | 8,939 | | | | 9,833 | |
7.00%, 09/25/2031 | | | 10,437 | | | | 11,643 | |
7.00%, 09/25/2031 | | | 56,951 | | | | 64,048 | |
7.00%, 09/25/2031 | | | 10,281 | | | | 11,536 | |
17.18% (-4 x 1 Month LIBOR USD + 24.50%, 24.50% Cap), 09/25/2031 (1)(4) | | | 26,083 | | | | 33,783 | |
6.50%, 10/25/2031 | | | 6,083 | | | | 6,486 | |
16.68% (-3 x 1 Month LIBOR USD + 22.95%, 22.95% Cap), 10/25/2031 (1)(4) | | | 17,261 | | | | 23,113 | |
6.00%, 11/25/2031 | | | 64,488 | | | | 70,340 | |
7.00%, 11/25/2031 | | | 69,504 | | | | 78,261 | |
11.33% (-2 x 1 Month LIBOR USD + 15.50%, 15.50% Cap), 11/25/2031 (1)(4) | | | 19,626 | | | | 24,244 | |
12.60% (-2 x 1 Month LIBOR USD + 17.47%, 17.47% Cap), 12/25/2031 (1)(4) | | | 1,816 | | | | 2,178 | |
0.00%, 01/25/2032 PO | | | 2,685 | | | | 2,400 | |
| | | | | | | | |
18.39% (-3 x 1 Month LIBOR USD + 25.19%, 25.19% Cap), 02/25/2032 (1)(4) | | | 4,496 | | | | 6,116 | |
1.60% (-1 x 1 Month LIBOR USD + 8.10%, 1.60% Cap), 03/25/2032 IO (1)(4) | | | 66,385 | | | | 3,231 | |
10.00% (-7 x 1 Month LIBOR USD + 54.00%, 10.00% Cap), 03/25/2032 (1)(4) | | | 944 | | | | 1,164 | |
0.00%, 04/25/2032 PO | | | 2,135 | | | | 1,812 | |
6.00%, 04/25/2032 | | | 172,281 | | | | 188,880 | |
6.50%, 04/25/2032 | | | 30,567 | | | | 33,674 | |
6.50%, 05/25/2032 | | | 62,437 | | | | 68,691 | |
6.50%, 06/25/2032 | | | 26,173 | | | | 28,994 | |
6.50%, 07/25/2032 IO | | | 117,111 | | | | 17,186 | |
6.50%, 08/25/2032 | | | 70,442 | | | | 78,289 | |
14.05% (-3 x 1 Month LIBOR USD + 19.80%, 19.80% Cap), 08/25/2032 (1)(4) | | | 25,224 | | | | 25,794 | |
2.89% (1 Month LIBOR USD + 0.80%, 0.80% Floor, 8.00% Cap), 11/25/2032 (1) | | | 331,381 | | | | 338,227 | |
5.00%, 11/25/2032 | | | 16,985 | | | | 17,582 | |
6.00%, 11/25/2032 | | | 482,029 | | | | 530,222 | |
8.50% (-7 x 1 Month LIBOR USD + 51.00%, 8.50% Cap), 11/25/2032 (1)(4) | | | 21,636 | | | | 23,938 | |
0.00%, 12/25/2032 PO | | | 14,025 | | | | 11,981 | |
5.50%, 12/25/2032 | | | 158,230 | | | | 162,554 | |
10.65% (-2 x 1 Month LIBOR USD + 14.48%, 14.48% Cap), 12/25/2032 (1)(4) | | | 11,514 | | | | 13,086 | |
6.50%, 02/25/2033 | | | 23,167 | | | | 25,037 | |
5.00%, 03/25/2033 IO | | | 28,472 | | | | 3,359 | |
4.00%, 04/25/2033 | | | 263,578 | | | | 270,410 | |
0.00%, 05/25/2033 PO | | | 7,362 | | | | 6,189 | |
4.00%, 05/25/2033 | | | 13,749 | | | | 14,098 | |
6.00%, 05/25/2033 | | | 45,605 | | | | 49,861 | |
6.00%, 05/25/2033 IO (3) | | | 11,364 | | | | 2,485 | |
6.00%, 05/25/2033 | | | 184,257 | | | | 193,450 | |
6.00%, 05/25/2033 | | | 113,394 | | | | 121,032 | |
6.50%, 05/25/2033 IO | | | 108,785 | | | | 22,497 | |
7.00%, 05/25/2033 IO | | | 188,701 | | | | 23,258 | |
5.01% (-1 x 1 Month LIBOR USD + 7.10%, 7.10% Cap), 06/25/2033 IO (1)(4) | | | 84,462 | | | | 4,264 | |
5.75%, 06/25/2033 | | | 73,607 | | | | 79,873 | |
10.02% (-2 x 1 Month LIBOR USD + 14.20%, 14.20% Cap), 06/25/2033 (1)(4) | | | 62,828 | | | | 66,991 | |
8.79% (-3 x 1 Month LIBOR USD + 13.75%, 13.75% Cap), 07/25/2033 (1)(4) | | | 29,660 | | | | 32,634 | |
10.02% (-2 x 1 Month LIBOR USD + 14.20%, 14.20% Cap), 07/25/2033 (1)(4) | | | 15,812 | | | | 15,956 | |
0.00%, 08/25/2033 PO | | | 6,651 | | | | 6,232 | |
4.82% (-1 x 1 Month LIBOR USD + 7.47%, 7.47% Cap), 08/25/2033 (1)(4) | | | 98,446 | | | | 96,186 | |
5.50%, 08/25/2033 | | | 129,000 | | | | 139,303 | |
5.50%, 08/25/2033 IO | | | 264,100 | | | | 44,813 | |
6.41% (-2 x 1 Month LIBOR USD + 10.17%, 10.17% Cap), 08/25/2033 (1)(4) | | | 9,385 | | | | 10,283 | |
11.88% (-3 x 1 Month LIBOR USD + 18.15%, 18.15% Cap), 08/25/2033 (1)(4) | | | 41,860 | | | | 46,303 | |
| | | | | | | | |
3.50%, 09/25/2033 | | | 1,500,000 | | | | 1,480,021 | |
9.01% (-2 x 1 Month LIBOR USD + 12.50%, 12.50% Cap), 09/25/2033 (1)(4) | | | 19,789 | | | | 21,769 | |
3.00%, 10/25/2033 | | | 908,000 | | | | 861,876 | |
5.50%, 10/25/2033 | | | 934,713 | | | | 1,007,494 | |
5.51% (-1 x 1 Month LIBOR USD + 7.60%, 7.60% Cap), 11/25/2033 IO (1)(4) | | | 142,248 | | | | 22,239 | |
0.00%, 12/25/2033 PO | | | 105,396 | | | | 87,223 | |
9.92% (-2 x 1 Month LIBOR USD + 14.10%, 14.10% Cap), 12/25/2033 (1)(4) | | | 16,461 | | | | 16,947 | |
2.84% (1 Month LIBOR USD + 0.75%, 0.75% Floor, 8.00% Cap), 01/25/2034 (1) | | | 162,603 | | | | 165,983 | |
8.38% (-2 x 1 Month LIBOR USD + 11.52%, 11.52% Cap), 01/25/2034 (1)(4) | | | 6,127 | | | | 6,730 | |
12.02% (-2 x 1 Month LIBOR USD + 16.20%, 16.20% Cap), 01/25/2034 (1)(4) | | | 15,621 | | | | 17,263 | |
5.50%, 02/25/2034 | | | 10,206 | | | | 10,274 | |
20.24% (-4 x 1 Month LIBOR USD + 28.60%, 28.60% Cap), 02/25/2034 (1)(4) | | | 18,051 | | | | 19,165 | |
0.00%, 03/25/2034 PO | | | 130,889 | | | | 117,284 | |
2.49% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.50% Cap), 03/25/2034 (1) | | | 120,049 | | | | 120,454 | |
5.50%, 04/25/2034 | | | 265,331 | | | | 287,756 | |
13.77% (-3 x 1 Month LIBOR USD + 19.53%, 19.53% Cap), 04/25/2034 (1)(4) | | | 71,053 | | | | 87,881 | |
2.49% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.50% Cap), 05/25/2034 (1) | | | 299,689 | | | | 301,225 | |
10.75% (-3 x 1 Month LIBOR USD + 16.50%, 16.50% Cap), 05/25/2034 (1)(4) | | | 18,319 | | | | 21,001 | |
13.77% (-3 x 1 Month LIBOR USD + 19.53%, 19.53% Cap), 05/25/2034 (1)(4) | | | 128,132 | | | | 167,465 | |
15.64% (-4 x 1 Month LIBOR USD + 24.00%, 24.00% Cap), 05/25/2034 (1)(4) | | | 28,156 | | | | 34,931 | |
5.50%, 07/25/2034 | | | 490,289 | | | | 519,513 | |
10.06% (-2 x 1 Month LIBOR USD + 14.24%, 14.24% Cap), 07/25/2034 (1)(4) | | | 18,128 | | | | 20,720 | |
2.34% (1 Month LIBOR USD + 0.25%, 0.25% Floor, 7.00% Cap), 08/25/2034 (1) | | | 83,229 | | | | 83,210 | |
14.05% (-3 x 1 Month LIBOR USD + 19.80%, 19.80% Cap), 11/25/2034 (1)(4) | | | 28,510 | | | | 30,466 | |
17.28% (-4 x 1 Month LIBOR USD + 25.13%, 25.13% Cap), 01/25/2035 (1)(4) | | | 5,998 | | | | 6,273 | |
0.00%, 04/25/2035 PO | | | 59,546 | | | | 57,906 | |
2.44% (1 Month LIBOR USD + 0.35%, 0.35% Floor, 6.75% Cap), 04/25/2035 (1) | | | 136,918 | | | | 137,190 | |
11.77% (-3 x 1 Month LIBOR USD + 17.00%, 17.00% Cap), 05/25/2035 (1)(4) | | | 9,760 | | | | 10,760 | |
14.27% (-3 x 1 Month LIBOR USD + 20.02%, 20.02% Cap), 05/25/2035 (1)(4) | | | 148,595 | | | | 173,854 | |
14.38% (-3 x 1 Month LIBOR USD + 20.13%, 20.13% Cap), 05/25/2035 (1)(4) | | | 102,153 | | | | 120,346 | |
17.08% (-4 x 1 Month LIBOR USD + 24.75%, 24.75% Cap), 05/25/2035 (1)(4) | | | 34,111 | | | | 39,771 | |
5.00%, 06/25/2035 | | | 25,468 | | | | 25,730 | |
6.50%, 06/25/2035 | | | 287 | | | | 288 | |
15.04% (-5 x 1 Month LIBOR USD + 25.50%, 25.50% Cap), 06/25/2035 (1)(4) | | | 41,085 | | | | 52,907 | |
4.62% (-1 x 1 Month LIBOR USD + 6.71%, 6.71% Cap), 07/25/2035 IO (1)(4) | | | 95,338 | | | | 12,696 | |
5.75%, 07/25/2035 | | | 1,861,322 | | | | 2,081,077 | |
12.15% (-3 x 1 Month LIBOR USD + 17.38%, 17.38% Cap), 07/25/2035 (1)(4) | | | 35,625 | | | | 44,676 | |
5.50%, 08/25/2035 | | | 135,365 | | | | 145,007 | |
5.50%, 08/25/2035 | | | 856,968 | | | | 853,527 | |
11.47% (-3 x 1 Month LIBOR USD + 16.70%, 16.70% Cap), 08/25/2035 (1)(4) | | | 49,867 | | | | 57,761 | |
| | | | | | | | |
11.65% (-3 x 1 Month LIBOR USD + 16.88%, 16.88% Cap), 08/25/2035 (1)(4) | | | 54,783 | | | | 64,243 | |
0.00%, 09/25/2035 PO | | | 18,676 | | | | 17,349 | |
15.84% (-4 x 1 Month LIBOR USD + 24.20%, 24.20% Cap), 09/25/2035 (1)(4) | | | 14,209 | | | | 17,329 | |
0.00%, 10/25/2035 PO | | | 29,940 | | | | 26,359 | |
5.75%, 10/25/2035 | | | 125,551 | | | | 135,286 | |
11.65% (-3 x 1 Month LIBOR USD + 16.88%, 16.88% Cap), 10/25/2035 (1)(4) | | | 52,774 | | | | 63,291 | |
16.90% (-4 x 1 Month LIBOR USD + 24.57%, 24.57% Cap), 11/25/2035 (1)(4) | | | 264,376 | | | | 341,947 | |
5.50%, 12/25/2035 | | | 70,369 | | | | 74,180 | |
5.50%, 12/25/2035 | | | 584,000 | | | | 637,148 | |
6.00%, 12/25/2035 | | | 23,743 | | | | 25,424 | |
6.00%, 12/25/2035 | | | 946,081 | | | | 974,492 | |
0.00%, 01/25/2036 PO | | | 8,311 | | | | 8,062 | |
5.50%, 01/25/2036 | | | 42,954 | | | | 45,348 | |
0.00%, 03/25/2036 PO | | | 221,160 | | | | 179,022 | |
0.00%, 03/25/2036 PO | | | 24,231 | | | | 21,245 | |
4.61% (-1 x 1 Month LIBOR USD + 6.70%, 6.70% Cap), 03/25/2036 IO (1)(4) | | | 810,920 | | | | 136,992 | |
5.50%, 03/25/2036 | | | 287,078 | | | | 311,029 | |
5.50%, 03/25/2036 | | | 89,645 | | | | 95,665 | |
5.50%, 03/25/2036 | | | 316,387 | | | | 344,158 | |
16.90% (-4 x 1 Month LIBOR USD + 24.57%, 24.57% Cap), 03/25/2036 (1)(4) | | | 20,203 | | | | 28,954 | |
0.00%, 04/25/2036 PO | | | 70,870 | | | | 62,765 | |
0.00%, 04/25/2036 PO | | | 77,859 | | | | 65,752 | |
0.00%, 04/25/2036 PO | | | 32,618 | | | | 29,301 | |
2.34% (1 Month LIBOR USD + 0.25%, 0.25% Floor, 7.00% Cap), 04/25/2036 (1) | | | 133,943 | | | | 132,820 | |
20.74% (-5 x 1 Month LIBOR USD + 30.15%, 30.15% Cap), 05/25/2036 (1)(4) | | | 24,313 | | | | 34,850 | |
0.00%, 06/25/2036 PO | | | 170,031 | | | | 148,932 | |
0.00%, 06/25/2036 PO | | | 20,350 | | | | 17,879 | |
0.00%, 06/25/2036 PO | | | 61,167 | | | | 54,782 | |
0.00%, 06/25/2036 PO | | | 40,623 | | | | 34,459 | |
0.00%, 06/25/2036 PO | | | 137,602 | | | | 114,354 | |
2.49% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.00% Cap), 06/25/2036 (1) | | | 47,263 | | | | 47,423 | |
4.49% (-1 x 1 Month LIBOR USD + 6.58%, 6.58% Cap), 06/25/2036 IO (1)(4) | | | 172,964 | | | | 22,186 | |
16.53% (-4 x 1 Month LIBOR USD + 24.20%, 24.20% Cap), 06/25/2036 (1)(4) | | | 7,547 | | | | 10,260 | |
2.28% (1 Month LIBOR USD + 0.25%, 0.25% Floor), 06/27/2036 (1) | | | 508,056 | | | | 498,606 | |
0.00%, 07/25/2036 PO | | | 12,448 | | | | 10,787 | |
0.00%, 07/25/2036 PO | | | 47,133 | | | | 40,306 | |
0.00%, 07/25/2036 PO | | | 25,345 | | | | 24,339 | |
0.00%, 07/25/2036 PO | | | 25,261 | | | | 21,564 | |
2.38% (1 Month LIBOR USD + 0.29%, 0.29% Floor, 7.50% Cap), 07/25/2036 (1) | | | 389,842 | | | | 389,125 | |
2.55% (1 Month LIBOR USD + 0.46%, 0.46% Floor, 7.00% Cap), 07/25/2036 (1) | | | 40,781 | | | | 41,082 | |
| | | | | | | | |
4.43% (-1 x 1 Month LIBOR USD + 6.52%, 6.52% Cap), 07/25/2036 IO (1)(4) | | | 66,331 | | | | 9,254 | |
6.00%, 07/25/2036 | | | 540,761 | | | | 587,976 | |
6.50%, 07/25/2036 | | | 310,355 | | | | 346,785 | |
6.50%, 07/25/2036 | | | 234,157 | | | | 264,656 | |
20.44% (-4 x 1 Month LIBOR USD + 28.80%, 28.80% Cap), 07/25/2036 (1)(4) | | | 23,117 | | | | 34,306 | |
27.35% (-6 x 1 Month LIBOR USD + 39.90%, 39.90% Cap), 07/25/2036 (1)(4) | | | 17,929 | | | | 27,464 | |
0.00%, 08/25/2036 PO | | | 34,485 | | | | 30,249 | |
0.00%, 08/25/2036 PO | | | 85,134 | | | | 74,985 | |
0.00%, 08/25/2036 PO | | | 47,476 | | | | 42,434 | |
0.00%, 08/25/2036 PO | | | 15,667 | | | | 13,988 | |
2.44% (1 Month LIBOR USD + 0.35%, 0.35% Floor, 7.50% Cap), 08/25/2036 (1) | | | 145,490 | | | | 145,665 | |
4.41% (-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap), 08/25/2036 IO (1)(4) | | | 93,197 | | | | 20,228 | |
6.50%, 08/25/2036 | | | 182,311 | | | | 200,143 | |
6.50%, 08/25/2036 | | | 39,393 | | | | 42,726 | |
0.00%, 09/25/2036 PO | | | 47,365 | | | | 42,085 | |
0.00%, 09/25/2036 PO | | | 19,830 | | | | 17,643 | |
0.00%, 09/25/2036 PO | | | 44,185 | | | | 39,550 | |
6.50%, 09/25/2036 | | | 18,598 | | | | 20,127 | |
4.50%, 10/25/2036 | | | 216,953 | | | | 224,666 | |
17.84% (-4 x 1 Month LIBOR USD + 26.20%, 26.20% Cap), 10/25/2036 (1)(4) | | | 27,295 | | | | 37,843 | |
0.00%, 11/25/2036 PO | | | 32,658 | | | | 28,120 | |
0.00%, 11/25/2036 PO | | | 12,086 | | | | 10,467 | |
0.00%, 11/25/2036 PO | | | 73,076 | | | | 61,926 | |
2.34% (1 Month LIBOR USD + 0.25%, 0.25% Floor, 7.00% Cap), 11/25/2036 (1) | | | 1,486,440 | | | | 1,486,439 | |
0.00%, 12/25/2036 PO | | | 16,910 | | | | 14,902 | |
0.00%, 12/25/2036 PO | | | 40,380 | | | | 33,356 | |
2.09% (1 Month LIBOR USD + 0.06%, 0.06% Floor), 12/25/2036 (1) | | | 403,553 | | | | 398,859 | |
2.15% (1 Month LIBOR USD + 0.06%, 0.06% Floor), 12/25/2036 (1) | | | 100,796 | | | | 98,998 | |
4.56% (-1 x 1 Month LIBOR USD + 6.65%, 6.65% Cap), 12/25/2036 IO (1)(4) | | | 152,938 | | | | 18,816 | |
18.20% (-4 x 1 Month LIBOR USD + 26.56%, 26.56% Cap), 12/25/2036 (1)(4) | | | 7,670 | | | | 10,136 | |
0.00%, 01/25/2037 PO | | | 39,069 | | | | 33,441 | |
0.00%, 01/25/2037 PO | | | 114,209 | | | | 95,231 | |
5.50%, 01/25/2037 | | | 43,571 | | | | 44,963 | |
2.34% (1 Month LIBOR USD + 0.25%, 0.25% Floor, 6.50% Cap), 02/25/2037 (1) | | | 123,399 | | | | 122,944 | |
26.45% (-6 x 1 Month LIBOR USD + 39.00%, 39.00% Cap), 02/25/2037 (1)(4) | | | 8,374 | | | | 20,555 | |
0.00%, 03/25/2037 PO | | | 31,487 | | | | 27,714 | |
2.59% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap), 03/25/2037 (1) | | | 77,695 | | | | 78,161 | |
2.84% (1 Month LIBOR USD + 0.75%, 6.50% Cap), 03/25/2037 (1) | | | 66,231 | | | | 68,346 | |
3.99% (-1 x 1 Month LIBOR USD + 6.08%, 6.08% Cap), 03/25/2037 IO (1)(4) | | | 9,084 | | | | 575 | |
4.35% (-1 x 1 Month LIBOR USD + 6.44%, 6.44% Cap), 03/25/2037 IO (1)(4) | | | 278,649 | | | | 35,056 | |
| | | | | | | | |
5.00%, 03/25/2037 | | | 7,551 | | | | 7,866 | |
6.00%, 03/25/2037 | | | 431,610 | | | | 462,728 | |
0.00%, 04/25/2037 PO | | | 109,386 | | | | 97,669 | |
4.01% (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap), 04/25/2037 IO (1)(4) | | | 62,245 | | | | 5,119 | |
15.70% (-3 x 1 Month LIBOR USD + 22.67%, 22.67% Cap), 04/25/2037 (1)(4) | | | 58,131 | | | | 75,821 | |
0.00%, 05/25/2037 PO | | | 17,165 | | | | 15,499 | |
2.39% (1 Month LIBOR USD + 0.30%, 0.30% Floor, 6.75% Cap), 05/25/2037 (1) | | | 57,049 | | | | 56,934 | |
6.00%, 05/25/2037 | | | 210,448 | | | | 226,828 | |
2.49% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.00% Cap), 06/25/2037 (1) | | | 318,909 | | | | 320,696 | |
2.54% (1 Month LIBOR USD + 0.00%, 6.50% Cap), 06/25/2037 (1) | | | 27,159 | | | | 28,205 | |
3.69% (-1 x 1 Month LIBOR USD + 5.78%, 5.78% Cap), 06/25/2037 IO (1)(4) | | | 56,760 | | | | 6,010 | |
4.01% (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap), 06/25/2037 IO (1)(4) | | | 66,321 | | | | 8,618 | |
4.01% (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap), 06/25/2037 IO (1)(4) | | | 202,644 | | | | 24,001 | |
6.50%, 06/25/2037 | | | 34,045 | | | | 36,809 | |
0.00%, 07/25/2037 PO | | | 75,751 | | | | 66,895 | |
2.46% (1 Month LIBOR USD + 0.37%, 0.37% Floor, 7.50% Cap), 07/25/2037 (1) | | | 71,534 | | | | 71,637 | |
2.59% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap), 07/25/2037 (1) | | | 43,120 | | | | 43,376 | |
4.31% (-1 x 1 Month LIBOR USD + 6.40%, 6.40% Cap), 07/25/2037 IO (1)(4) | | | 479,954 | | | | 59,560 | |
4.53% (-1 x 1 Month LIBOR USD + 6.62%, 6.62% Cap), 07/25/2037 IO (1)(4) | | | 179,448 | | | | 21,492 | |
5.06% (-1 x 1 Month LIBOR USD + 7.15%, 7.15% Cap), 07/25/2037 IO (1)(4) | | | 769,784 | | | | 148,383 | |
5.50%, 07/25/2037 | | | 196,804 | | | | 213,218 | |
11.27% (-3 x 1 Month LIBOR USD + 16.50%, 16.50% Cap), 07/25/2037 (1)(4) | | | 45,775 | | | | 51,409 | |
2.54% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap), 08/25/2037 (1) | | | 210,973 | | | | 211,916 | |
5.50%, 08/25/2037 | | | 47,572 | | | | 50,909 | |
6.00%, 08/25/2037 | | | 80,468 | | | | 85,972 | |
6.00%, 08/25/2037 | | | 21,210 | | | | 23,190 | |
6.00%, 08/25/2037 | | | 107,104 | | | | 114,346 | |
6.00%, 08/25/2037 | | | 99,415 | | | | 107,602 | |
16.35% (-4 x 1 Month LIBOR USD + 24.02%, 24.02% Cap), 08/25/2037 (1)(4) | | | 68,855 | | | | 92,292 | |
2.54% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 6.50% Cap), 09/25/2037 (1) | | | 1,022,611 | | | | 1,028,622 | |
4.45% (-1 x 1 Month LIBOR USD + 6.54%, 6.54% Cap), 09/25/2037 IO (1)(4) | | | 252,120 | | | | 42,322 | |
10.92% (-3 x 1 Month LIBOR USD + 16.15%, 16.15% Cap), 09/25/2037 (1)(4) | | | 17,528 | | | | 20,181 | |
0.00%, 10/25/2037 PO | | | 682,804 | | | | 601,642 | |
4.36% (-1 x 1 Month LIBOR USD + 6.45%, 6.45% Cap), 10/25/2037 IO (1)(4) | | | 224,971 | | | | 29,314 | |
4.37% (-1 x 1 Month LIBOR USD + 6.46%, 6.46% Cap), 10/25/2037 IO (1)(4) | | | 268,665 | | | | 34,817 | |
6.06%, 10/25/2037 (3) | | | 81,379 | | | | 87,727 | |
4.27% (-1 x 1 Month LIBOR USD + 6.36%, 6.36% Cap), 12/25/2037 IO (1)(4) | | | 8,393 | | | | 668 | |
4.31% (-1 x 1 Month LIBOR USD + 6.40%, 6.40% Cap), 12/25/2037 IO (1)(4) | | | 239,878 | | | | 27,844 | |
4.36% (-1 x 1 Month LIBOR USD + 6.45%, 6.45% Cap), 12/25/2037 IO (1)(4) | | | 256,753 | | | | 34,280 | |
6.50%, 12/25/2037 | | | 199,013 | | | | 224,367 | |
| | | | | | | | |
1.19%, 01/25/2038 IO (3) | | | 563,203 | | | | 20,447 | |
3.82% (-1 x 1 Month LIBOR USD + 5.91%, 5.91% Cap), 02/25/2038 IO (1)(4) | | | 235,981 | | | | 26,245 | |
3.91% (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap), 02/25/2038 IO (1)(4) | | | 466,814 | | | | 54,150 | |
2.99% (1 Month LIBOR USD + 0.90%, 0.90% Floor, 6.75% Cap), 03/25/2038 (1) | | | 55,901 | | | | 57,098 | |
4.11% (-1 x 1 Month LIBOR USD + 6.20%, 6.20% Cap), 03/25/2038 IO (1)(4) | | | 62,443 | | | | 7,592 | |
4.14% (-1 x 1 Month LIBOR USD + 6.23%, 6.23% Cap), 03/25/2038 IO (1)(4) | | | 66,528 | | | | 7,614 | |
4.90% (-1 x 1 Month LIBOR USD + 6.99%, 6.99% Cap), 03/25/2038 IO (1)(4) | | | 118,905 | | | | 18,788 | |
9.82% (-2 x 1 Month LIBOR USD + 14.00%, 14.00% Cap), 03/25/2038 (1)(4) | | | 28,562 | | | | 31,102 | |
4.76% (-1 x 1 Month LIBOR USD + 6.85%, 6.85% Cap), 04/25/2038 IO (1)(4) | | | 52,500 | | | | 5,455 | |
4.81% (-1 x 1 Month LIBOR USD + 6.90%, 6.90% Cap), 04/25/2038 IO (1)(4) | | | 93,147 | | | | 10,559 | |
6.50%, 04/25/2038 | | | 58,977 | | | | 61,585 | |
14.43% (-3 x 1 Month LIBOR USD + 20.70%, 20.70% Cap), 04/25/2038 (1)(4) | | | 37,577 | | | | 44,037 | |
0.00%, 05/25/2038 PO | | | 2,684 | | | | 2,224 | |
1.31%, 06/25/2038 IO (3) | | | 226,524 | | | | 11,136 | |
5.00%, 07/25/2038 | | | 59,861 | | | | 62,724 | |
5.00%, 07/25/2038 | | | 61,625 | | | | 65,716 | |
5.11% (-1 x 1 Month LIBOR USD + 7.20%, 7.20% Cap), 07/25/2038 IO (1)(4) | | | 69,792 | | | | 9,540 | |
5.50%, 07/25/2038 | | | 245,767 | | | | 265,116 | |
3.76% (-1 x 1 Month LIBOR USD + 5.85%, 5.85% Cap), 09/25/2038 IO (1)(4) | | | 139,174 | | | | 12,367 | |
3.76% (-1 x 1 Month LIBOR USD + 5.85%, 5.85% Cap), 09/25/2038 IO (1)(4) | | | 234,861 | | | | 24,145 | |
4.50%, 11/25/2038 | | | 8,285 | | | | 8,296 | |
2.49% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.00% Cap), 12/25/2038 (1) | | | 64,408 | | | | 64,569 | |
4.00%, 02/25/2039 | | | 130,453 | | | | 132,245 | |
4.46% (-1 x 1 Month LIBOR USD + 6.55%, 6.55% Cap), 02/25/2039 IO (1)(4) | | | 167,942 | | | | 25,069 | |
4.50%, 02/25/2039 | | | 10,192 | | | | 10,573 | |
4.56% (-1 x 1 Month LIBOR USD + 6.65%, 6.65% Cap), 03/25/2039 IO (1)(4) | | | 86,233 | | | | 13,178 | |
2.54% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 6.50% Cap), 04/25/2039 (1) | | | 317,219 | | | | 319,485 | |
5.00%, 07/25/2039 IO | | | 110,132 | | | | 23,850 | |
7.00%, 07/25/2039 | | | 4,061 | | | | 4,305 | |
5.00%, 08/25/2039 | | | 427,646 | | | | 458,000 | |
6.00%, 08/25/2039 | | | 487,179 | | | | 533,063 | |
5.00%, 09/25/2039 | | | 253,192 | | | | 260,784 | |
6.03%, 09/25/2039 (3) | | | 206,963 | | | | 227,491 | |
3.81% (-1 x 1 Month LIBOR USD + 5.90%, 5.90% Cap), 10/25/2039 IO (1)(4) | | | 67,342 | | | | 8,034 | |
5.50%, 10/25/2039 IO | | | 248,244 | | | | 46,235 | |
3.87%, 12/25/2039 (3) | | | 313,080 | | | | 334,924 | |
4.09% (-1 x 1 Month LIBOR USD + 6.18%, 6.18% Cap), 12/25/2039 IO (1)(4) | | | 90,620 | | | | 9,453 | |
6.30%, 12/25/2039 (3) | | | 364,074 | | | | 398,896 | |
0.00%, 01/25/2040 PO | | | 61,338 | | | | 51,761 | |
4.16% (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap), 01/25/2040 IO (1)(4) | | | 175,973 | | | | 22,285 | |
| | | | | | | | |
6.23%, 02/25/2040 (3) | | | 80,831 | | | | 89,462 | |
6.22%, 03/25/2040 (3) | | | 257,599 | | | | 287,060 | |
6.43%, 03/25/2040 (3) | | | 281,273 | | | | 315,929 | |
8.48% (-2 x 1 Month LIBOR USD + 12.66%, 12.66% Cap), 03/25/2040 (1)(4) | | | 393,824 | | | | 429,621 | |
2.69% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 7.00% Cap), 04/25/2040 (1) | | | 93,553 | | | | 94,222 | |
4.33% (-1 x 1 Month LIBOR USD + 6.42%, 6.42% Cap), 04/25/2040 IO (1)(4) | | | 136,201 | | | | 17,446 | |
10.70% (-3 x 1 Month LIBOR USD + 17.67%, 17.67% Cap), 04/25/2040 (1)(4) | | | 177,360 | | | | 217,201 | |
2.69% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 7.00% Cap), 05/25/2040 (1) | | | 110,697 | | | | 112,074 | |
4.31% (-1 x 1 Month LIBOR USD + 6.40%, 6.40% Cap), 05/25/2040 IO (1)(4) | | | 78,333 | | | | 11,104 | |
0.00%, 06/25/2040 PO | | | 99,914 | | | | 83,542 | |
5.00%, 06/25/2040 | | | 874,967 | | | | 922,018 | |
5.50%, 06/25/2040 | | | 1,007,000 | | | | 1,077,495 | |
5.50%, 07/25/2040 | | | 474,365 | | | | 517,835 | |
4.00%, 08/25/2040 | | | 741,519 | | | | 743,344 | |
5.00%, 09/25/2040 | | | 206,000 | | | | 221,375 | |
5.50%, 10/25/2040 | | | 1,867,427 | | | | 2,067,401 | |
2.35% (-1 x 1 Month LIBOR USD + 4.44%, 4.44% Cap), 11/25/2040 IO (1)(4) | | | 912,120 | | | | 48,586 | |
2.64% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 7.00% Cap), 01/25/2041 (1) | | | 216,280 | | | | 217,366 | |
4.44% (-1 x 1 Month LIBOR USD + 6.53%, 6.53% Cap), 01/25/2041 IO (1)(4) | | | 837,886 | | | | 142,766 | |
1.46%, 04/25/2041 IO (3) | | | 1,326,266 | | | | 69,211 | |
2.59% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 07/25/2041 (1) | | | 87,990 | | | | 88,487 | |
2.64% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.50% Cap), 08/25/2041 (1) | | | 254,216 | | | | 257,167 | |
2.59% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 11/25/2041 (1) | | | 324,375 | | | | 326,893 | |
7.00%, 11/25/2041 | | | 1,405,153 | | | | 1,594,990 | |
7.00%, 11/25/2041 | | | 1,535,832 | | | | 1,717,487 | |
7.00%, 11/25/2041 | | | 1,794,981 | | | | 2,037,892 | |
3.50%, 03/25/2042 | | | 1,000,000 | | | | 972,650 | |
6.50%, 06/25/2042 | | | 67,859 | | | | 76,080 | |
2.54% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 6.50% Cap), 09/25/2042 (1) | | | 502,610 | | | | 501,907 | |
2.59% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 09/25/2042 (1) | | | 248,870 | | | | 249,764 | |
2.59% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 09/25/2042 (1) | | | 1,937,854 | | | | 1,952,777 | |
2.59% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 10/25/2042 (1) | | | 757,330 | | | | 764,576 | |
3.00%, 02/25/2043 | | | 1,000,000 | | | | 924,623 | |
3.50%, 02/25/2043 | | | 516,031 | | | | 518,923 | |
0.00%, 09/25/2043 PO | | | 1,623,015 | | | | 1,256,609 | |
0.00%, 10/25/2043 PO | | | 1,162,594 | | | | 891,625 | |
0.00%, 12/25/2043 PO | | | 3,025,725 | | | | 2,389,525 | |
3.00%, 06/25/2045 | | | 2,406,157 | | | | 2,375,480 | |
2.50%, 11/25/2045 | | | 7,967,014 | | | | 7,690,551 | |
3.00%, 01/25/2046 | | | 2,447,524 | | | | 2,418,082 | |
| | | | | | | | |
3.00%, 04/25/2046 | | | 6,636,780 | | | | 6,503,923 | |
3.00%, 06/25/2046 | | | 5,907,026 | | | | 5,782,849 | |
4.01% (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap), 11/25/2049 IO (1)(4) | | | 96,942 | | | | 8,788 | |
5.81%, 02/25/2051 (3) | | | 148,833 | | | | 156,344 | |
5.43%, 07/25/2051 (3) | | | 31,446 | | | | 33,734 | |
4.00%, 05/25/2053 | | | 5,259,964 | | | | 5,428,740 | |
Fannie Mae Trust 2003-W2 | | | | | | | | |
5.90%, 07/25/2042 | | | 67,814 | | | | 73,470 | |
6.50%, 07/25/2042 | | | 111,227 | | | | 122,030 | |
Fannie Mae Trust 2003-W6 | | | | | | | | |
5.20%, 09/25/2042 | | | 450,061 | | | | 487,076 | |
6.50%, 09/25/2042 | | | 181,696 | | | | 200,711 | |
Fannie Mae Trust 2003-W8 | | | | | | | | |
2.49% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 8.00% Cap), 05/25/2042 (1) | | | 40,128 | | | | 39,680 | |
7.00%, 10/25/2042 | | | 205,840 | | | | 232,011 | |
Fannie Mae Trust 2004-W1 | | | | | | | | |
7.00%, 12/25/2033 | | | 288,226 | | | | 325,003 | |
Fannie Mae Trust 2004-W15 | | | | | | | | |
2.34% (1 Month LIBOR USD + 0.25%, 0.25% Floor), 08/25/2044 (1) | | | 172,870 | | | | 171,748 | |
Fannie Mae Trust 2004-W2 | | | | | | | | |
7.00%, 02/25/2044 | | | 61,146 | | | | 68,216 | |
Fannie Mae Trust 2004-W8 | | | | | | | | |
7.50%, 06/25/2044 | | | 61,565 | | | | 69,757 | |
Fannie Mae Trust 2005-W3 | | | | | | | | |
2.31% (1 Month LIBOR USD + 0.22%, 0.22% Floor, 9.50% Cap), 03/25/2045 (1) | | | 1,371,812 | | | | 1,365,544 | |
Fannie Mae Trust 2005-W4 | | | | | | | | |
6.00%, 08/25/2045 | | | 75,054 | | | | 81,580 | |
Fannie Mae Trust 2006-W2 | | | | | | | | |
3.58%, 11/25/2045 (3) | | | 196,738 | | | | 207,699 | |
2.31% (1 Month LIBOR USD + 0.22%, 0.22% Floor, 9.50% Cap), 02/25/2046 (1) | | | 652,511 | | | | 652,174 | |
Fannie Mae Whole Loan | | | | | | | | |
2.35% (1 Month LIBOR USD + 0.26%, 0.26% Floor, 9.50% Cap), 11/25/2046 (1) | | | 1,599,017 | | | | 1,601,592 | |
Fannie Mae-Aces | | | | | | | | |
2.45% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.00% Cap), 08/25/2019 (1) | | | 283,432 | | | | 283,246 | |
4.33%, 03/25/2020 (3) | | | 590,261 | | | | 599,803 | |
3.66%, 11/25/2020 | | | 529,402 | | | | 535,003 | |
3.76%, 06/25/2021 | | | 913,115 | | | | 930,439 | |
2.92%, 08/25/2021 | | | 693,273 | | | | 691,583 | |
2.61%, 10/25/2021 (3) | | | 2,764,967 | | | | 2,736,433 | |
2.88% (1 Month LIBOR USD + 0.93%), 11/25/2022 (1) | | | 1,766,015 | | | | 1,783,710 | |
| | | | | | | | |
2.28%, 12/27/2022 | | | 1,357,000 | | | | 1,315,237 | |
2.39%, 01/25/2023 (3) | | | 1,109,182 | | | | 1,080,010 | |
3.51%, 12/25/2023 (3) | | | 2,664,000 | | | | 2,717,625 | |
3.50%, 01/25/2024 (3) | | | 16,000,000 | | | | 16,247,733 | |
3.10%, 07/25/2024 (3) | | | 1,066,000 | | | | 1,060,574 | |
3.02%, 08/25/2024 (3) | | | 1,273,000 | | | | 1,255,878 | |
2.53%, 09/25/2024 | | | 1,390,000 | | | | 1,333,954 | |
2.72%, 10/25/2024 | | | 13,450,000 | | | | 13,066,199 | |
2.59%, 12/25/2024 | | | 1,640,000 | | | | 1,578,217 | |
3.15%, 12/25/2024 (3) | | | 2,761,618 | | | | 2,744,072 | |
2.83%, 01/25/2025 (3) | | | 3,438,321 | | | | 3,363,178 | |
2.90%, 01/25/2025 (3) | | | 2,000,000 | | | | 1,958,490 | |
3.04%, 11/25/2025 (3) | | | 8,800,000 | | | | 8,617,673 | |
2.38%, 09/25/2026 | | | 5,500,000 | | | | 5,100,587 | |
2.50%, 10/25/2026 (3) | | | 5,335,000 | | | | 4,968,109 | |
2.57%, 12/25/2026 (3) | | | 8,000,000 | | | | 7,470,301 | |
2.68%, 12/25/2026 (3) | | | 43,307,000 | | | | 40,739,393 | |
2.96%, 02/25/2027 (3) | | | 3,535,000 | | | | 3,408,498 | |
3.09%, 04/25/2027 (3) | | | 23,211,000 | | | | 22,464,376 | |
3.06%, 05/25/2027 (3) | | | 29,130,000 | | | | 28,259,776 | |
3.18%, 06/25/2027 (3) | | | 5,513,000 | | | | 5,377,163 | |
3.14%, 03/25/2028 (3) | | | 18,466,000 | | | | 17,856,123 | |
3.33%, 06/25/2028 (3) | | | 5,160,000 | | | | 5,116,609 | |
3.30%, 04/25/2029 (3) | | | 4,540,000 | | | | 4,392,692 | |
2.98%, 08/25/2029 | | | 2,200,000 | | | | 2,079,610 | |
3.19%, 02/25/2030 (3) | | | 2,791,000 | | | | 2,665,750 | |
FHLMC-GNMA | | | | | | | | |
7.00%, 03/25/2023 | | | 10,418 | | | | 10,932 | |
6.25%, 11/25/2023 | | | 7,288 | | | | 7,686 | |
7.50%, 04/25/2024 | | | 51,379 | | | | 55,386 | |
First Horizon Alternative Mortgage Securities Trust 2005-FA7 | | | | | | | | |
5.00%, 09/25/2020 | | | 5,268 | | | | 5,280 | |
First Horizon Alternative Mortgage Securities Trust 2005-FA8 | | | | | | | | |
5.50%, 11/25/2035 | | | 114,128 | | | | 96,077 | |
First Horizon Alternative Mortgage Securities Trust 2006-FA6 | | | | | | | | |
5.75%, 11/25/2021 | | | 22,945 | | | | 22,279 | |
First Horizon Alternative Mortgage Securities Trust 2006-FA8 | | | | | | | | |
5.75%, 02/25/2037 | | | 40,823 | | | | 35,671 | |
First Horizon Alternative Mortgage Securities Trust 2007-FA4 | | | | | | | | |
3.56% (-1 x 1 Month LIBOR USD + 5.65%, 5.65% Cap), 08/25/2037 IO (1)(4) | | | 966,118 | | | | 163,386 | |
| | | | | | | | |
First Horizon Mortgage Pass-Through Trust 2004-AR7 | | | | | | | | |
3.72%, 02/25/2035 (3) | | | 208,484 | | | | 210,484 | |
First Horizon Mortgage Pass-Through Trust 2005-AR1 | | | | | | | | |
3.98%, 04/25/2035 (3) | | | 108,073 | | | | 110,468 | |
FN AN7480 | | | | | | | | |
3.56%, 12/01/2029 (12) | | | 8,484,000 | | | | 8,436,320 | |
FN AN8017 | | | | | | | | |
3.57%, 01/01/2028 (12) | | | 10,000,000 | | | | 10,056,300 | |
FN CLINTON-RIVER | | | | | | | | |
0.00%, 08/25/2028 (12) | | | 4,700,000 | | | | 4,704,406 | |
FN FNDUS COOPER PARK | | | | | | | | |
3.02%, 12/01/2029 (12) | | | 8,311,000 | | | | 8,469,408 | |
FN FN-MAPLE WOODLAND | | | | | | | | |
3.68%, 04/01/2030 (12) | | | 3,355,000 | | | | 3,372,815 | |
FN VINTAGE-DESERT | | | | | | | | |
3.72%, 05/01/2033 (12) | | | 11,178,000 | | | | 11,219,918 | |
FN VISTA-ARBOR | | | | | | | | |
3.85%, 07/25/2030 (12) | | | 13,900,000 | | | | 14,199,684 | |
Freddie Mac | | | | | | | | |
4.50%, 07/15/2040 (5) | | | 10,500,000 | | | | 10,926,068 | |
0.00%, 07/01/2046 | | | 2,778,438 | | | | 2,772,510 | |
Freddie Mac Gold Pool | | | | | | | | |
4.50%, 08/01/2018 | | | 51 | | | | 51 | |
4.50%, 10/01/2018 | | | 1,458 | | | | 1,469 | |
4.50%, 10/01/2018 | | | 17 | | | | 17 | |
5.50%, 01/01/2019 | | | 1,039 | | | | 1,040 | |
6.50%, 09/01/2019 | | | 361 | | | | 362 | |
5.50%, 12/01/2019 | | | 2,656 | | | | 2,674 | |
6.00%, 02/01/2020 | | | 355 | | | | 356 | |
5.50%, 04/01/2020 | | | 3,478 | | | | 3,495 | |
5.50%, 06/01/2020 | | | 217 | | | | 217 | |
6.00%, 06/01/2020 | | | 4,246 | | | | 4,296 | |
8.00%, 07/01/2020 | | | 3 | | | | 3 | |
6.00%, 08/01/2020 | | | 2,051 | | | | 2,077 | |
6.00%, 07/01/2021 | | | 240 | | | | 241 | |
6.00%, 07/01/2021 | | | 7,607 | | | | 7,691 | |
6.00%, 01/01/2022 | | | 459 | | | | 459 | |
6.00%, 03/01/2022 | | | 911 | | | | 915 | |
6.50%, 03/01/2022 | | | 2,750 | | | | 2,813 | |
5.50%, 02/01/2024 | | | 11,158 | | | | 11,506 | |
| | | | | | | | |
4.00%, 07/01/2024 | | | 295,205 | | | | 303,520 | |
8.00%, 08/01/2024 | | | 663 | | | | 726 | |
8.00%, 11/01/2024 | | | 435 | | | | 462 | |
7.50%, 08/01/2025 | | | 1,117 | | | | 1,213 | |
4.00%, 10/01/2025 | | | 327,988 | | | | 337,219 | |
3.50%, 11/01/2025 | | | 353,799 | | | | 357,948 | |
3.50%, 12/01/2025 | | | 1,147,079 | | | | 1,161,193 | |
10.00%, 03/17/2026 | | | 5,787 | | | | 5,779 | |
7.00%, 04/01/2026 | | | 1,361 | | | | 1,483 | |
4.00%, 05/01/2026 | | | 1,236,483 | | | | 1,271,485 | |
3.50%, 08/01/2026 | | | 1,303,251 | | | | 1,319,214 | |
3.50%, 01/01/2027 | | | 231,059 | | | | 233,904 | |
6.50%, 01/01/2028 | | | 47,380 | | | | 51,732 | |
2.50%, 03/01/2028 | | | 10,303,779 | | | | 10,075,383 | |
2.50%, 04/01/2028 | | | 2,649,238 | | | | 2,590,544 | |
3.00%, 07/01/2028 | | | 2,105,788 | | | | 2,104,100 | |
8.50%, 07/01/2028 | | | 3,478 | | | | 3,918 | |
3.00%, 08/01/2028 | | | 1,151,261 | | | | 1,150,118 | |
3.00%, 09/01/2028 | | | 4,223,526 | | | | 4,217,705 | |
3.00%, 10/01/2028 | | | 1,835,691 | | | | 1,832,810 | |
7.00%, 12/01/2028 | | | 52,068 | | | | 57,925 | |
3.00%, 05/01/2029 | | | 1,622,742 | | | | 1,619,262 | |
6.50%, 06/01/2029 | | | 17,030 | | | | 18,965 | |
7.00%, 07/01/2029 | | | 991 | | | | 1,067 | |
6.50%, 08/01/2029 | | | 100,197 | | | | 111,587 | |
6.00%, 10/01/2029 | | | 15,380 | | | | 16,940 | |
2.50%, 03/01/2030 | | | 1,909,897 | | | | 1,857,929 | |
2.50%, 07/01/2030 | | | 4,551,810 | | | | 4,425,829 | |
10.00%, 10/01/2030 | | | 55,311 | | | | 58,352 | |
7.00%, 01/01/2031 | | | 46,733 | | | | 51,346 | |
3.00%, 04/01/2031 | | | 7,443,966 | | | | 7,393,674 | |
2.50%, 07/01/2031 | | | 3,857,982 | | | | 3,751,080 | |
2.50%, 08/01/2031 | | | 2,229,106 | | | | 2,167,245 | |
2.00%, 01/01/2032 | | | 7,232,028 | | | | 6,847,247 | |
3.50%, 01/01/2032 | | | 667,150 | | | | 676,569 | |
7.50%, 01/01/2032 | | | 108,270 | | | | 118,547 | |
3.00%, 02/01/2032 | | | 11,773,020 | | | | 11,696,100 | |
3.50%, 03/01/2032 | | | 272,313 | | | | 276,158 | |
7.00%, 07/01/2032 | | | 3,502 | | | | 3,747 | |
7.00%, 08/01/2032 | | | 6,168 | | | | 6,928 | |
| | | | | | | | |
5.50%, 01/01/2033 | | | 89,170 | | | | 95,664 | |
3.50%, 02/01/2033 | | | 208,752 | | | | 210,737 | |
6.00%, 02/01/2033 | | | 46,577 | | | | 48,978 | |
3.50%, 05/01/2033 | | | 249,506 | | | | 251,863 | |
3.50%, 05/01/2033 | | | 948,196 | | | | 957,177 | |
5.50%, 10/01/2033 | | | 45,150 | | | | 49,976 | |
6.00%, 12/01/2033 | | | 13,561 | | | | 14,823 | |
3.50%, 01/01/2034 | | | 10,018,644 | | | | 10,160,042 | |
5.00%, 01/01/2034 | | | 34,996 | | | | 37,368 | |
6.00%, 01/01/2034 | | | 31,251 | | | | 34,613 | |
6.00%, 01/01/2034 | | | 24,334 | | | | 25,795 | |
5.00%, 06/01/2034 | | | 97,676 | | | | 103,928 | |
5.00%, 09/01/2034 | | | 105,223 | | | | 112,480 | |
6.50%, 11/01/2034 | | | 12,182 | | | | 13,897 | |
6.50%, 01/01/2035 | | | 107,669 | | | | 119,909 | |
5.00%, 03/01/2035 | | | 43,210 | | | | 46,131 | |
5.50%, 07/01/2035 | | | 100,775 | | | | 109,231 | |
5.00%, 08/01/2035 | | | 1,601,457 | | | | 1,720,982 | |
4.50%, 11/01/2035 | | | 13,891 | | | | 14,516 | |
6.50%, 12/01/2035 | | | 28,470 | | | | 29,656 | |
6.50%, 12/01/2035 | | | 73,541 | | | | 81,901 | |
5.50%, 01/01/2036 | | | 23,419 | | | | 25,376 | |
5.00%, 03/01/2036 | | | 3,279,974 | | | | 3,502,646 | |
5.00%, 07/01/2036 | | | 2,994 | | | | 3,197 | |
5.00%, 11/01/2036 | | | 90,780 | | | | 96,952 | |
6.00%, 11/01/2036 | | | 9,398 | | | | 10,047 | |
6.50%, 11/01/2036 | | | 282,352 | | | | 305,944 | |
6.50%, 11/01/2036 | | | 153,477 | | | | 169,742 | |
6.50%, 11/01/2036 | | | 26,318 | | | | 29,310 | |
5.50%, 12/01/2036 | | | 44,136 | | | | 47,804 | |
6.00%, 12/01/2036 | | | 20,970 | | | | 23,116 | |
6.00%, 12/01/2036 | | | 9,648 | | | | 10,632 | |
6.50%, 12/01/2036 | | | 309,045 | | | | 347,444 | |
6.50%, 12/01/2036 | | | 130,948 | | | | 145,730 | |
7.50%, 12/01/2036 | | | 377,036 | | | | 412,929 | |
3.00%, 01/01/2037 | | | 3,462,543 | | | | 3,412,846 | |
6.50%, 01/01/2037 | | | 6,442 | | | | 6,592 | |
6.50%, 01/01/2037 | | | 19,228 | | | | 20,549 | |
6.50%, 02/01/2037 | | | 26,324 | | | | 28,200 | |
7.00%, 02/01/2037 | | | 9,242 | | | | 10,347 | |
| | | | | | | | |
5.00%, 03/01/2037 | | | 231,523 | | | | 247,327 | |
5.00%, 06/01/2037 | | | 277,251 | | | | 295,766 | |
6.50%, 06/01/2037 | | | 15,694 | | | | 16,538 | |
5.00%, 08/01/2037 | | | 273,531 | | | | 292,153 | |
6.50%, 11/01/2037 | | | 87,422 | | | | 97,360 | |
3.00%, 12/01/2037 | | | 974,328 | | | | 956,408 | |
3.00%, 01/01/2038 | | | 1,468,435 | | | | 1,445,066 | |
7.50%, 01/01/2038 | | | 42,990 | | | | 50,066 | |
7.50%, 01/01/2038 | | | 73,828 | | | | 83,874 | |
5.00%, 02/01/2038 | | | 300,916 | | | | 321,053 | |
5.00%, 03/01/2038 | | | 286,885 | | | | 306,311 | |
5.00%, 03/01/2038 | | | 79,657 | | | | 85,072 | |
5.00%, 03/01/2038 | | | 334,787 | | | | 357,234 | |
5.00%, 03/01/2038 | | | 297,730 | | | | 317,844 | |
6.50%, 03/01/2038 | | | 68,387 | | | | 76,161 | |
5.00%, 04/01/2038 | | | 204,521 | | | | 217,564 | |
5.50%, 05/01/2038 | | | 71,570 | | | | 77,237 | |
5.50%, 08/01/2038 | | | 92,523 | | | | 100,029 | |
5.00%, 09/01/2038 | | | 230,346 | | | | 245,887 | |
5.00%, 09/01/2038 | | | 39,975 | | | | 42,672 | |
7.50%, 09/01/2038 | | | 39,966 | | | | 46,509 | |
5.00%, 11/01/2038 | | | 91,341 | | | | 97,474 | |
5.00%, 11/01/2038 | | | 1,689 | | | | 1,803 | |
5.00%, 12/01/2038 | | | 272,261 | | | | 290,636 | |
5.00%, 12/01/2038 | | | 949 | | | | 1,012 | |
5.50%, 01/01/2039 | | | 3,457,357 | | | | 3,746,212 | |
5.00%, 02/01/2039 | | | 557,892 | | | | 595,442 | |
5.00%, 05/01/2039 | | | 9,600 | | | | 10,336 | |
4.50%, 07/01/2039 | | | 245,666 | | | | 258,352 | |
4.50%, 10/01/2039 | | | 2,068,948 | | | | 2,175,561 | |
5.00%, 10/01/2039 | | | 622,519 | | | | 664,509 | |
4.50%, 11/01/2039 | | | 3,186,715 | | | | 3,350,738 | |
4.50%, 11/01/2039 | | | 2,348,964 | | | | 2,470,379 | |
5.00%, 01/01/2040 | | | 142,562 | | | | 152,488 | |
5.00%, 03/01/2040 | | | 241,997 | | | | 257,834 | |
5.00%, 03/01/2040 | | | 3,174,439 | | | | 3,390,338 | |
5.50%, 03/01/2040 | | | 30,102 | | | | 32,279 | |
4.50%, 05/01/2040 | | | 1,112,034 | | | | 1,169,506 | |
5.50%, 05/01/2040 | | | 2,320,414 | | | | 2,507,754 | |
4.50%, 08/01/2040 | | | 526,115 | | | | 553,356 | |
| | | | | | | | |
5.00%, 08/01/2040 | | | 1,562,886 | | | | 1,669,873 | |
5.00%, 08/01/2040 | | | 422,737 | | | | 451,674 | |
5.50%, 08/01/2040 | | | 957,623 | | | | 1,034,792 | |
4.00%, 08/15/2040 (5) | | | 17,000,000 | | | | 17,296,854 | |
4.00%, 09/01/2040 | | | 893,598 | | | | 918,330 | |
4.50%, 09/01/2040 | | | 401,956 | | | | 422,758 | |
4.50%, 09/01/2040 | | | 1,683,848 | | | | 1,771,064 | |
4.00%, 11/01/2040 | | | 47,267 | | | | 48,573 | |
4.00%, 11/01/2040 | | | 2,797,212 | | | | 2,874,756 | |
4.00%, 12/01/2040 | | | 1,624,802 | | | | 1,669,776 | |
4.00%, 12/01/2040 | | | 501,330 | | | | 515,215 | |
4.00%, 12/01/2040 | | | 1,727,980 | | | | 1,775,835 | |
4.00%, 12/01/2040 | | | 1,381,134 | | | | 1,419,411 | |
4.00%, 12/01/2040 | | | 1,128,972 | | | | 1,160,262 | |
4.00%, 01/01/2041 | | | 1,012,824 | | | | 1,040,877 | |
4.50%, 03/01/2041 | | | 316,044 | | | | 332,412 | |
5.00%, 04/01/2041 | | | 1,310,673 | | | | 1,400,441 | |
4.50%, 05/01/2041 | | | 2,289,812 | | | | 2,407,984 | |
5.00%, 06/01/2041 | | | 406,487 | | | | 433,328 | |
4.00%, 07/15/2041 (5) | | | 23,630,000 | | | | 24,076,780 | |
4.50%, 08/01/2041 | | | 842,520 | | | | 886,160 | |
4.00%, 10/01/2041 | | | 5,472,933 | | | | 5,624,765 | |
4.00%, 11/01/2041 | | | 15,621 | | | | 16,055 | |
4.00%, 01/01/2042 | | | 270,598 | | | | 278,105 | |
3.50%, 05/01/2042 | | | 1,137,011 | | | | 1,140,025 | |
4.00%, 05/01/2042 | | | 18,058 | | | | 18,559 | |
3.50%, 06/01/2042 | | | 539,054 | | | | 540,503 | |
3.50%, 06/01/2042 | | | 3,295,837 | | | | 3,295,537 | |
4.00%, 06/01/2042 | | | 2,715,308 | | | | 2,791,451 | |
3.50%, 07/01/2042 | | | 12,666,132 | | | | 12,700,328 | |
3.50%, 07/15/2042 (5) | | | 8,165,000 | | | | 8,119,481 | |
3.00%, 08/01/2042 | | | 2,269,852 | | | | 2,217,570 | |
3.50%, 08/01/2042 | | | 1,093,656 | | | | 1,096,586 | |
3.50%, 09/01/2042 | | | 7,300,009 | | | | 7,319,676 | |
3.50%, 09/01/2042 | | | 4,241,212 | | | | 4,252,663 | |
3.00%, 10/01/2042 | | | 5,691,138 | | | | 5,556,659 | |
3.50%, 10/01/2042 | | | 13,262,341 | | | | 13,297,804 | |
3.50%, 10/01/2042 | | | 3,240,297 | | | | 3,249,041 | |
4.00%, 10/01/2042 | | | 110,331 | | | | 111,654 | |
3.00%, 11/01/2042 | | | 7,272,533 | | | | 7,105,134 | |
| | | | | | | | |
3.50%, 11/01/2042 | | | 3,653,290 | | | | 3,663,132 | |
3.50%, 11/01/2042 | | | 143,049 | | | | 143,037 | |
3.50%, 11/01/2042 | | | 1,339,114 | | | | 1,342,727 | |
3.50%, 12/01/2042 | | | 4,249,248 | | | | 4,260,697 | |
3.50%, 01/01/2043 | | | 9,533,590 | | | | 9,559,328 | |
4.00%, 01/01/2043 | | | 286,696 | | | | 294,729 | |
3.00%, 02/01/2043 | | | 481,329 | | | | 469,795 | |
3.00%, 03/01/2043 | | | 3,077,454 | | | | 3,003,346 | |
3.00%, 03/01/2043 | | | 6,232,906 | | | | 6,083,585 | |
3.50%, 03/01/2043 | | | 981,797 | | | | 984,448 | |
3.00%, 04/01/2043 | | | 14,120,485 | | | | 13,781,964 | |
3.00%, 04/01/2043 | | | 111,493 | | | | 108,770 | |
3.50%, 05/01/2043 | | | 353,326 | | | | 353,295 | |
3.00%, 06/01/2043 | | | 43,705 | | | | 42,643 | |
3.00%, 06/01/2043 | | | 17,354,549 | | | | 16,931,466 | |
3.50%, 06/01/2043 | | | 1,199,231 | | | | 1,199,123 | |
3.50%, 06/01/2043 | | | 2,005,834 | | | | 2,011,249 | |
4.00%, 06/01/2043 | | | 22,290 | | | | 22,848 | |
3.00%, 07/01/2043 | | | 32,939 | | | | 32,134 | |
3.00%, 07/01/2043 | | | 437,591 | | | | 426,906 | |
3.00%, 07/15/2043 (5) | | | 13,620,000 | | | | 13,175,897 | |
3.00%, 08/01/2043 | | | 8,300,507 | | | | 8,098,375 | |
3.00%, 08/01/2043 | | | 630,918 | | | | 615,590 | |
4.00%, 09/01/2043 | | | 231,462 | | | | 237,809 | |
4.00%, 09/01/2043 | | | 8,790,495 | | | | 9,034,109 | |
3.50%, 10/01/2043 | | | 260,999 | | | | 261,703 | |
4.00%, 11/01/2043 | | | 231,637 | | | | 237,166 | |
4.00%, 11/01/2043 | | | 107,032 | | | | 109,660 | |
4.00%, 12/01/2043 | | | 275,828 | | | | 282,228 | |
4.00%, 12/01/2043 | | | 2,155,816 | | | | 2,206,827 | |
4.00%, 12/01/2043 | | | 1,055,764 | | | | 1,084,722 | |
4.00%, 01/01/2044 | | | 661,222 | | | | 676,984 | |
4.00%, 01/01/2044 | | | 163,271 | | | | 167,648 | |
4.00%, 03/01/2044 | | | 3,675,017 | | | | 3,759,715 | |
4.50%, 03/01/2044 | | | 826,245 | | | | 860,999 | |
3.50%, 05/01/2044 | | | 18,093,073 | | | | 18,141,872 | |
4.50%, 05/01/2044 | | | 1,290,004 | | | | 1,344,445 | |
4.50%, 07/01/2044 | | | 387,231 | | | | 403,544 | |
4.50%, 07/01/2044 | | | 48,516 | | | | 50,560 | |
4.50%, 09/01/2044 | | | 2,441,101 | | | | 2,543,925 | |
| | | | | | | | |
4.00%, 10/01/2044 | | | 9,988,880 | | | | 10,246,724 | |
3.50%, 01/01/2045 | | | 15,704,541 | | | | 15,746,926 | |
4.00%, 01/01/2045 | | | 608,614 | | | | 622,651 | |
3.50%, 03/01/2045 | | | 4,038,167 | | | | 4,032,808 | |
3.00%, 05/01/2045 | | | 2,721,962 | | | | 2,645,822 | |
3.00%, 05/01/2045 | | | 1,422,535 | | | | 1,383,128 | |
3.00%, 06/01/2045 | | | 677,043 | | | | 659,496 | |
3.00%, 10/01/2045 | | | 5,960,906 | | | | 5,816,221 | |
4.00%, 10/01/2045 | | | 909,628 | | | | 930,618 | |
4.00%, 10/01/2045 | | | 11,640,671 | | | | 11,908,466 | |
4.00%, 11/01/2045 | | | 14,384,616 | | | | 14,716,391 | |
3.00%, 12/01/2045 | | | 10,533,098 | | | | 10,209,843 | |
3.50%, 12/01/2045 | | | 11,883,141 | | | | 11,867,371 | |
3.50%, 01/01/2046 | | | 11,797,764 | | | | 11,782,105 | |
4.00%, 01/01/2046 | | | 4,139,162 | | | | 4,256,189 | |
3.50%, 02/01/2046 | | | 9,596,467 | | | | 9,579,765 | |
3.00%, 03/01/2046 | | | 6,485,342 | | | | 6,284,555 | |
3.50%, 03/01/2046 | | | 11,343,952 | | | | 11,344,711 | |
4.00%, 05/01/2046 | | | 451,040 | | | | 460,050 | |
4.00%, 06/01/2046 | | | 13,405,990 | | | | 13,714,950 | |
3.50%, 07/01/2046 | | | 5,066,674 | | | | 5,050,567 | |
4.00%, 08/01/2046 | | | 3,091,310 | | | | 3,162,707 | |
3.00%, 09/01/2046 | | | 6,132,688 | | | | 5,942,812 | |
4.50%, 09/01/2046 | | | 5,944,517 | | | | 6,190,009 | |
3.00%, 10/01/2046 | | | 3,198,205 | | | | 3,098,690 | |
4.50%, 10/01/2046 | | | 4,859,419 | | | | 5,060,099 | |
3.00%, 11/01/2046 | | | 21,857,686 | | | | 21,174,170 | |
3.00%, 12/01/2046 | | | 5,792,380 | | | | 5,611,246 | |
4.00%, 01/01/2047 | | | 15,332,727 | | | | 15,721,333 | |
3.00%, 02/01/2047 | | | 7,107,880 | | | | 6,884,315 | |
3.00%, 03/01/2047 | | | 3,441,188 | | | | 3,330,888 | |
3.00%, 04/01/2047 | | | 8,138,962 | | | | 7,883,042 | |
3.00%, 05/01/2047 | | | 19,279,147 | | | | 18,705,844 | |
4.50%, 07/01/2047 | | | 7,472,649 | | | | 7,937,450 | |
4.00%, 09/01/2047 | | | 8,108,876 | | | | 8,304,262 | |
3.50%, 10/01/2047 | | | 27,867,318 | | | | 27,730,989 | |
3.50%, 11/01/2047 | | | 9,837,155 | | | | 9,788,935 | |
3.50%, 11/01/2047 | | | 5,810,543 | | | | 5,782,061 | |
3.50%, 11/01/2047 | | | 2,998,255 | | | | 2,983,558 | |
4.00%, 11/01/2047 | | | 7,567,158 | | | | 7,718,303 | |
| | | | | | | | |
3.50%, 01/01/2048 | | | 1,303,060 | | | | 1,296,494 | |
3.50%, 01/01/2048 | | | 5,521,409 | | | | 5,494,177 | |
3.50%, 01/01/2048 | | | 10,066,855 | | | | 10,017,399 | |
3.50%, 03/01/2048 | | | 10,123,081 | | | | 10,086,101 | |
3.50%, 03/01/2048 | | | 2,982,305 | | | | 2,967,537 | |
3.50%, 03/01/2048 | | | 4,215,266 | | | | 4,194,027 | |
3.50%, 03/01/2048 | | | 9,853,032 | | | | 9,804,340 | |
3.50%, 03/01/2048 | | | 8,065,644 | | | | 8,029,927 | |
Freddie Mac Multifamily Structured Pass Through Certificates | | | | | | | | |
1.68%, 06/25/2020 IO (3) | | | 49,708,871 | | | | 1,192,640 | |
2.60%, 09/25/2020 | | | 285,386 | | | | 283,321 | |
3.13%, 06/25/2021 | | | 12,700,000 | | | | 12,733,273 | |
1.55%, 05/25/2022 IO (3) | | | 52,793,749 | | | | 2,372,731 | |
2.36%, 08/25/2022 | | | 3,407,479 | | | | 3,338,031 | |
2.86%, 08/25/2022 | | | 6,965,000 | | | | 6,919,827 | |
3.07%, 08/25/2022 | | | 2,438,000 | | | | 2,438,191 | |
2.70% (1 Month LIBOR USD + 0.70%), 09/25/2022 (1) | | | 1,934,413 | | | | 1,939,269 | |
2.84%, 09/25/2022 | | | 2,665,000 | | | | 2,636,362 | |
0.99%, 10/25/2022 IO (3) | | | 22,271,447 | | | | 692,339 | |
2.31%, 12/25/2022 | | | 6,000,000 | | | | 5,815,279 | |
2.52%, 01/25/2023 | | | 2,000,000 | | | | 1,956,336 | |
2.62%, 01/25/2023 | | | 8,500,000 | | | | 8,336,826 | |
3.11%, 02/25/2023 | | | 13,450,000 | | | | 13,505,106 | |
3.32%, 02/25/2023 (3) | | | 5,550,000 | | | | 5,605,252 | |
3.49%, 01/25/2024 | | | 18,300,000 | | | | 18,621,634 | |
3.10%, 02/25/2024 | | | 11,250,000 | | | | 11,206,988 | |
3.39%, 03/25/2024 | | | 4,286,000 | | | | 4,340,265 | |
2.91%, 04/25/2024 | | | 9,500,000 | | | | 9,372,174 | |
3.04%, 07/25/2024 | | | 10,000,000 | | | | 9,907,069 | |
3.06%, 08/25/2024 (3) | | | 5,818,000 | | | | 5,782,385 | |
2.81%, 09/25/2024 | | | 6,287,000 | | | | 6,140,395 | |
2.77%, 05/25/2025 | | | 4,250,000 | | | | 4,127,931 | |
3.16%, 05/25/2025 (3) | | | 5,600,000 | | | | 5,552,298 | |
3.33%, 08/25/2025 (3) | | | 10,000,000 | | | | 10,064,869 | |
1.50%, 03/25/2026 (3) | | | 27,775,706 | | | | 2,399,346 | |
3.17%, 09/25/2026 (3) | | | 7,915,000 | | | | 7,795,756 | |
3.36%, 12/25/2026 | | | 27,000,000 | | | | 26,879,977 | |
3.41%, 12/25/2026 | | | 23,275,000 | | | | 23,355,438 | |
3.51%, 01/25/2027 (3) | | | 6,000,000 | | | | 6,033,756 | |
3.24%, 04/25/2027 | | | 7,030,000 | | | | 6,948,221 | |
| | | | | | | | |
3.33%, 05/25/2027 | | | 1,779,000 | | | | 1,762,495 | |
3.12%, 06/25/2027 | | | 4,263,000 | | | | 4,165,419 | |
3.19%, 07/25/2027 | | | 38,013,000 | | | | 37,377,841 | |
3.24%, 08/25/2027 | | | 2,174,000 | | | | 2,144,070 | |
3.19%, 09/25/2027 (3) | | | 35,150,000 | | | | 34,417,738 | |
3.25%, 09/25/2027 (3) | | | 4,900,000 | | | | 4,809,728 | |
3.30%, 11/25/2027 (3) | | | 4,278,000 | | | | 4,227,181 | |
3.36%, 11/25/2027 (3) | | | 18,922,000 | | | | 18,729,410 | |
3.36%, 12/25/2027 (3) | | | 3,332,000 | | | | 3,299,863 | |
3.35%, 01/25/2028 | | | 5,167,000 | | | | 5,123,160 | |
3.21%, 04/25/2028 (3) | | | 12,045,000 | | | | 11,819,145 | |
3.90%, 04/25/2028 | | | 8,575,000 | | | | 8,836,748 | |
3.90%, 04/25/2028 | | | 33,475,000 | | | | 34,629,774 | |
3.85%, 05/25/2028 (3) | | | 3,550,000 | | | | 3,647,116 | |
3.85%, 05/25/2028 (3) | | | 24,120,000 | | | | 24,857,131 | |
3.08%, 01/25/2031 | | | 4,126,000 | | | | 3,910,539 | |
Freddie Mac Non Gold Pool | | | | | | | | |
3.65% (1 Year CMT Rate + 2.23%, 13.63% Cap), 07/01/2019 (1) | | | 97 | | | | 97 | |
3.13% (1 Year CMT Rate + 2.13%, 12.13% Cap), 07/01/2026 (1) | | | 3,865 | | | | 3,882 | |
3.61% (1 Year CMT Rate + 2.11%, 12.11% Cap), 01/01/2027 (1) | | | 6,700 | | | | 6,935 | |
3.63% (1 Year CMT Rate + 2.24%, 12.09% Cap), 04/01/2030 (1) | | | 1,826 | | | | 1,908 | |
3.61% (1 Year CMT Rate + 2.37%, 10.23% Cap), 09/01/2032 (1) | | | 5,133 | | | | 5,384 | |
3.99% (1 Year CMT Rate + 2.24%, 10.11% Cap), 05/01/2033 (1) | | | 184,991 | | | | 194,999 | |
3.48% (1 Year CMT Rate + 2.23%, 9.36% Cap), 12/01/2033 (1) | | | 28,042 | | | | 29,574 | |
3.96% (12 Month LIBOR USD + 1.75%, 9.21% Cap), 04/01/2034 (1) | | | 30,531 | | | | 31,995 | |
3.72% (1 Year CMT Rate + 2.37%, 10.59% Cap), 09/01/2034 (1) | | | 120,818 | | | | 127,667 | |
3.68% (1 Year CMT Rate + 2.25%, 10.12% Cap), 01/01/2035 (1) | | | 60,801 | | | | 64,158 | |
3.70% (1 Year CMT Rate + 2.25%, 10.04% Cap), 01/01/2035 (1) | | | 139,505 | | | | 146,757 | |
3.42% (12 Month LIBOR USD + 1.67%, 11.29% Cap), 08/01/2035 (1) | | | 6,378 | | | | 6,648 | |
3.87% (6 Month LIBOR USD + 2.13%, 11.54% Cap), 12/01/2035 (1) | | | 40,482 | | | | 42,645 | |
3.53% (1 Year CMT Rate + 2.25%, 9.86% Cap), 02/01/2036 (1) | | | 98,764 | | | | 104,218 | |
3.54% (12 Month LIBOR USD + 1.71%, 10.11% Cap), 02/01/2036 (1) | | | 22,579 | | | | 23,654 | |
4.04% (12 Month LIBOR USD + 2.04%, 10.70% Cap), 03/01/2036 (1) | | | 85,813 | | | | 90,824 | |
4.29% (12 Month LIBOR USD + 2.47%, 11.71% Cap), 03/01/2036 (1) | | | 69,060 | | | | 74,429 | |
4.12% (1 Year CMT Rate + 2.25%, 10.59% Cap), 05/01/2036 (1) | | | 66,782 | | | | 70,500 | |
4.18% (1 Year CMT Rate + 2.25%, 10.59% Cap), 05/01/2036 (1) | | | 96,928 | | | | 102,118 | |
4.66% (12 Month LIBOR USD + 2.29%, 10.87% Cap), 05/01/2036 (1) | | | 18,760 | | | | 19,978 | |
4.26% (12 Month LIBOR USD + 1.94%, 10.93% Cap), 06/01/2036 (1) | | | 290,779 | | | | 306,942 | |
4.35% (12 Month LIBOR USD + 1.99%, 11.00% Cap), 06/01/2036 (1) | | | 91,673 | | | | 96,469 | |
3.43% (1 Year CMT Rate + 2.25%, 10.81% Cap), 07/01/2036 (1) | | | 38,482 | | | | 40,711 | |
| | | | | | | | |
3.52% (6 Month LIBOR USD + 1.74%, 12.62% Cap), 07/01/2036 (1) | | | 50,939 | | | | 53,117 | |
3.76% (1 Year CMT Rate + 2.25%, 10.10% Cap), 07/01/2036 (1) | | | 51,503 | | | | 54,404 | |
3.25% (6 Month LIBOR USD + 1.63%, 11.57% Cap), 08/01/2036 (1) | | | 4,387 | | | | 4,541 | |
3.46% (6 Month LIBOR USD + 1.69%, 12.85% Cap), 08/01/2036 (1) | | | 55,724 | | | | 57,867 | |
3.51% (6 Month LIBOR USD + 1.66%, 13.04% Cap), 08/01/2036 (1) | | | 202,629 | | | | 210,121 | |
3.60% (12 Month LIBOR USD + 1.77%, 11.29% Cap), 09/01/2036 (1) | | | 118,458 | | | | 124,388 | |
3.83% (12 Month LIBOR USD + 1.88%, 11.04% Cap), 09/01/2036 (1) | | | 121,022 | | | | 127,342 | |
3.35% (12 Month LIBOR USD + 1.60%, 11.38% Cap), 10/01/2036 (1) | | | 44,933 | | | | 47,449 | |
3.61% (1 Year CMT Rate + 2.36%, 11.20% Cap), 10/01/2036 (1) | | | 82,553 | | | | 87,106 | |
3.62% (6 Month LIBOR USD + 1.70%, 12.32% Cap), 10/01/2036 (1) | | | 58,898 | | | | 60,960 | |
3.87% (6 Month LIBOR USD + 1.80%, 12.97% Cap), 10/01/2036 (1) | | | 112,915 | | | | 117,794 | |
3.94% (6 Month LIBOR USD + 1.77%, 12.41% Cap), 10/01/2036 (1) | | | 56,740 | | | | 59,123 | |
3.95% (12 Month LIBOR USD + 2.20%, 10.76% Cap), 10/01/2036 (1) | | | 34,126 | | | | 36,084 | |
3.39% (12 Month LIBOR USD + 1.64%, 10.66% Cap), 11/01/2036 (1) | | | 108,603 | | | | 113,116 | |
3.42% (1 Year CMT Rate + 2.25%, 11.19% Cap), 11/01/2036 (1) | | | 194,594 | | | | 205,228 | |
3.45% (12 Month LIBOR USD + 1.67%, 10.99% Cap), 11/01/2036 (1) | | | 19,705 | | | | 20,568 | |
3.52% (1 Year CMT Rate + 2.24%, 9.98% Cap), 11/01/2036 (1) | | | 55,788 | | | | 58,966 | |
3.53% (12 Month LIBOR USD + 1.78%, 11.33% Cap), 11/01/2036 (1) | | | 60,518 | | | | 63,457 | |
3.34% (12 Month LIBOR USD + 1.59%, 11.19% Cap), 12/01/2036 (1) | | | 280,093 | | | | 291,394 | |
3.42% (12 Month LIBOR USD + 1.67%, 12.04% Cap), 12/01/2036 (1) | | | 188,516 | | | | 195,998 | |
3.44% (12 Month LIBOR USD + 1.69%, 11.37% Cap), 12/01/2036 (1) | | | 7,263 | | | | 7,590 | |
3.77% (12 Month LIBOR USD + 1.99%, 11.15% Cap), 12/01/2036 (1) | | | 126,531 | | | | 133,464 | |
3.88% (12 Month LIBOR USD + 2.13%, 10.92% Cap), 12/01/2036 (1) | | | 4,083 | | | | 4,358 | |
3.77% (12 Month LIBOR USD + 1.90%, 10.87% Cap), 01/01/2037 (1) | | | 46,781 | | | | 48,856 | |
3.92% (6 Month LIBOR USD + 1.67%, 10.68% Cap), 01/01/2037 (1) | | | 15,656 | | | | 16,296 | |
3.56% (12 Month LIBOR USD + 1.70%, 11.25% Cap), 02/01/2037 (1) | | | 12,826 | | | | 13,368 | |
3.69% (12 Month LIBOR USD + 1.88%, 10.77% Cap), 02/01/2037 (1) | | | 6,192 | | | | 6,495 | |
3.80% (6 Month LIBOR USD + 2.11%, 12.33% Cap), 02/01/2037 (1) | | | 115,915 | | | | 122,133 | |
3.89% (12 Month LIBOR USD + 1.94%, 10.82% Cap), 02/01/2037 (1) | | | 77,123 | | | | 81,107 | |
4.25% (12 Month LIBOR USD + 2.26%, 10.92% Cap), 02/01/2037 (1) | | | 20,995 | | | | 22,373 | |
3.68% (6 Month LIBOR USD + 1.92%, 12.41% Cap), 03/01/2037 (1) | | | 214,699 | | | | 225,260 | |
4.05% (12 Month LIBOR USD + 2.18%, 10.85% Cap), 03/01/2037 (1) | | | 40,869 | | | | 42,709 | |
4.11% (12 Month LIBOR USD + 2.25%, 11.20% Cap), 03/01/2037 (1) | | | 17,799 | | | | 18,656 | |
3.66% (12 Month LIBOR USD + 1.91%, 10.91% Cap), 04/01/2037 (1) | | | 2,368 | | | | 2,423 | |
4.08% (12 Month LIBOR USD + 1.98%, 10.78% Cap), 04/01/2037 (1) | | | 48,811 | | | | 51,094 | |
3.79% (6 Month LIBOR USD + 1.52%, 11.86% Cap), 05/01/2037 (1) | | | 88,915 | | | | 91,839 | |
4.03% (12 Month LIBOR USD + 2.05%, 10.87% Cap), 05/01/2037 (1) | | | 166,026 | | | | 175,616 | |
4.19% (6 Month LIBOR USD + 2.01%, 12.16% Cap), 05/01/2037 (1) | | | 34,377 | | | | 36,142 | |
4.20% (6 Month LIBOR USD + 2.12%, 11.14% Cap), 05/01/2037 (1) | | | 9,161 | | | | 9,602 | |
4.33% (6 Month LIBOR USD + 2.01%, 12.37% Cap), 05/01/2037 (1) | | | 76,999 | | | | 80,996 | |
| | | | | | | | |
4.56% (12 Month LIBOR USD + 2.18%, 11.09% Cap), 05/01/2037 (1) | | | 71,978 | | | | 76,041 | |
3.66% (12 Month LIBOR USD + 1.70%, 11.21% Cap), 06/01/2037 (1) | | | 54,010 | | | | 56,461 | |
4.28% (12 Month LIBOR USD + 1.87%, 11.71% Cap), 07/01/2037 (1) | | | 12,854 | | | | 13,434 | |
3.50% (12 Month LIBOR USD + 1.75%, 11.75% Cap), 11/01/2037 (1) | | | 5,662 | | | | 5,873 | |
4.09% (12 Month LIBOR USD + 2.07%, 10.78% Cap), 04/01/2038 (1) | | | 77,792 | | | | 82,100 | |
3.98% (12 Month LIBOR USD + 1.87%, 10.42% Cap), 05/01/2038 (1) | | | 52,170 | | | | 54,688 | |
3.73% (12 Month LIBOR USD + 1.85%, 9.02% Cap), 07/01/2040 (1) | | | 78,382 | | | | 82,344 | |
Freddie Mac Reference REMIC | | | | | | | | |
6.00%, 04/15/2036 | | | 391,099 | | | | 432,762 | |
6.00%, 05/15/2036 | | | 528,254 | | | | 581,844 | |
Freddie Mac REMICS | | | | | | | | |
4.50%, 07/15/2018 | | | 139 | | | | 138 | |
0.00%, 03/15/2019 PO | | | 5,282 | | | | 5,246 | |
6.50%, 03/15/2019 IO | | | 221 | | | | 3 | |
0.00%, 02/15/2020 PO | | | 64,916 | | | | 63,776 | |
5.00%, 02/15/2020 IO | | | 19,341 | | | | 551 | |
5.00%, 02/15/2020 IO | | | 10,552 | | | | 280 | |
6.50%, 03/15/2020 | | | 1,472 | | | | 1,496 | |
9.60%, 04/15/2020 | | | 36 | | | | 36 | |
10.00%, 06/15/2020 | | | 6 | | | | 7 | |
7.80%, 09/15/2020 | | | 8 | | | | 8 | |
9.00%, 10/15/2020 | | | 181 | | | | 189 | |
6.95%, 01/15/2021 | | | 726 | | | | 739 | |
8.60%, 01/15/2021 | | | 3 | | | | 3 | |
9.50%, 01/15/2021 | | | 92 | | | | 95 | |
9.00%, 04/15/2021 | | | 221 | | | | 235 | |
3.02% (1 Month LIBOR USD + 0.95%, 0.95% Floor, 11.00% Cap), 05/15/2021 (1) | | | 99 | | | | 100 | |
5.00%, 05/15/2021 | | | 306 | | | | 307 | |
7.00%, 05/15/2021 | | | 2,394 | | | | 2,471 | |
26.95% (-3 x 1 Month LIBOR USD + 34.00%, 34.00% Cap), 05/15/2021 (1)(4) | | | 56 | | | | 60 | |
35.90% (-5 x 1 Month LIBOR USD + 45.23%, 45.23% Cap), 05/15/2021 (1)(4) | | | 69 | | | | 72 | |
6.00%, 07/15/2021 (3) | | | 533 | | | | 545 | |
5.50%, 08/15/2021 | | | 239 | | | | 243 | |
7.00%, 09/15/2021 | | | 1,204 | | | | 1,232 | |
8.50%, 09/15/2021 | | | 1,431 | | | | 1,528 | |
6.91%, 11/15/2021 (3) | | | 47,707 | | | | 48,519 | |
0.00%, 12/15/2021 PO | | | 1,074 | | | | 1,073 | |
943.00% (-124 x 1 Month LIBOR USD + 1,199.99%, 10.00% Floor, 1,199.99% Cap), 01/15/2022 IO (1)(4) | | | 4 | | | | 15 | |
5.00%, 03/15/2022 | | | 166,619 | | | | 168,751 | |
7.00%, 03/15/2022 | | | 610 | | | | 633 | |
| | | | | | | | |
7.00%, 05/15/2022 | | | 835 | | | | 852 | |
7.50%, 08/15/2022 | | | 1,218 | | | | 1,305 | |
8.00%, 08/15/2022 | | | 3,054 | | | | 3,269 | |
3.22% (1 Month LIBOR USD + 1.15%, 1.15% Floor, 10.00% Cap), 09/15/2022 (1) | | | 2,079 | | | | 2,112 | |
5.50%, 10/15/2022 | | | 55,483 | | | | 57,668 | |
3.64% (-1 x 1 Month LIBOR USD + 4.68%, 4.68% Cap), 12/15/2022 (1)(4) | | | 1,998 | | | | 2,020 | |
5.50%, 12/15/2022 | | | 17,747 | | | | 18,441 | |
1.90% (11th District Cost of Funds Index + 1.00%, 1.00% Floor, 10.00% Cap), 02/15/2023 (1) | | | 301 | | | | 307 | |
7.50%, 02/15/2023 | | | 19,958 | | | | 21,322 | |
5.50%, 03/15/2023 | | | 146,000 | | | | 153,671 | |
3.22% (1 Month LIBOR USD + 1.15%, 1.15% Floor, 10.00% Cap), 04/15/2023 (1) | | | 11,476 | | | | 11,701 | |
5.50%, 04/15/2023 | | | 147,000 | | | | 155,508 | |
7.00%, 04/15/2023 | | | 17,290 | | | | 18,342 | |
7.50%, 04/15/2023 | | | 3,522 | | | | 3,766 | |
5.00%, 05/15/2023 | | | 17,724 | | | | 18,189 | |
6.95% (-1 x 3 Month CMT Rate + 8.90%, 8.90% Cap), 05/15/2023 (1)(4) | | | 7,849 | | | | 8,298 | |
7.00%, 05/15/2023 | | | 1,822 | | | | 1,948 | |
5.60%, 06/15/2023 | | | 35,069 | | | | 36,427 | |
2.24% (10 Year CMT Rate + -0.70%, 10.00% Cap), 07/15/2023 (1) | | | 7,223 | | | | 7,202 | |
6.53% (-1 x 1 Month LIBOR USD + 8.60%, 3.00% Floor, 8.60% Cap), 07/15/2023 (1)(4) | | | 10,395 | | | | 10,649 | |
23.96% (-4 x 11th District Cost of Funds Index + 27.47%, 27.47% Cap), 07/15/2023 (1)(4) | | | 1,517 | | | | 1,893 | |
2.40% (11th District Cost of Funds Index + 1.50%, 1.50% Floor, 9.00% Cap), 08/15/2023 (1) | | | 404 | | | | 415 | |
6.50%, 09/15/2023 | | | 49,102 | | | | 52,172 | |
7.00%, 09/15/2023 | | | 13,552 | | | | 14,452 | |
25.56% (-4 x 1 Month LIBOR USD + 34.50%, 34.50% Cap), 09/15/2023 (1)(4) | | | 5,932 | | | | 7,979 | |
0.00%, 10/15/2023 PO | | | 4,476 | | | | 4,458 | |
6.25%, 10/15/2023 | | | 8,111 | | | | 8,545 | |
16.01% (-3 x 1 Month LIBOR USD + 22.75%, 22.75% Cap), 10/15/2023 (1)(4) | | | 5,255 | | | | 6,252 | |
5.00%, 11/15/2023 | | | 224,129 | | | | 231,397 | |
5.50%, 11/15/2023 | | | 54,754 | | | | 57,091 | |
6.00%, 11/15/2023 | | | 19,614 | | | | 20,531 | |
5.00%, 12/15/2023 | | | 23,200 | | | | 24,014 | |
6.50%, 12/15/2023 | | | 18,852 | | | | 19,918 | |
6.50%, 12/15/2023 | | | 11,077 | | | | 11,703 | |
7.00%, 01/15/2024 | | | 6,635 | | | | 7,096 | |
0.00%, 02/15/2024 PO | | | 6,630 | | | | 6,369 | |
0.00%, 02/15/2024 PO | | | 5,959 | | | | 5,352 | |
7.00%, 02/15/2024 | | | 1,655 | | | | 1,862 | |
10.00% (-5 x 11th District Cost of Funds Index + 44.15%, 10.00% Cap), 02/15/2024 (1)(4) | | | 2,165 | | | | 2,675 | |
14.57% (-2 x 1 Month LIBOR USD + 19.24%, 19.24% Cap), 02/15/2024 (1)(4) | | | 820 | | | | 976 | |
| | | | | | | | |
2.16% (10 Year CMT Rate + -0.85%, 10.00% Cap), 03/15/2024 (1) | | | 597 | | | | 593 | |
2.67% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 9.00% Cap), 03/15/2024 (1) | | | 1,243 | | | | 1,258 | |
7.00%, 03/15/2024 | | | 6,335 | | | | 6,748 | |
7.00%, 03/15/2024 | | | 35,516 | | | | 37,853 | |
27.41% (-4 x 11th District Cost of Funds Index + 31.43%, 31.43% Cap), 03/15/2024 IO (1)(4) | | | 4,152 | | | | 1,099 | |
7.50%, 04/15/2024 | | | 22,336 | | | | 23,903 | |
0.00%, 05/15/2024 PO | | | 5,139 | | | | 4,798 | |
7.59% (-1 x 10 Year CMT Rate + 10.60%, 10.00% Cap), 05/15/2024 IO (1)(4) | | | 12,305 | | | | 1,907 | |
6.00%, 06/15/2024 | | | 21,721 | | | | 23,840 | |
7.50%, 08/15/2024 | | | 5,845 | | | | 6,375 | |
4.00%, 12/15/2024 | | | 206,000 | | | | 211,986 | |
5.00%, 12/15/2024 | | | 64,379 | | | | 67,087 | |
22.42% (-6 x 1 Month LIBOR USD + 33.83%, 33.83% Cap), 04/15/2025 (1)(4) | | | 19,324 | | | | 22,713 | |
4.50%, 06/15/2025 | | | 722,000 | | | | 755,835 | |
11.69% (-3 x 1 Month LIBOR USD + 16.88%, 16.88% Cap), 08/15/2025 (1)(4) | | | 9,529 | | | | 10,556 | |
18.91% (-4 x 1 Month LIBOR USD + 28.03%, 28.03% Cap), 10/15/2025 (1)(4) | | | 22,527 | | | | 28,765 | |
3.50%, 01/15/2026 | | | 2,000,000 | | | | 2,045,917 | |
5.00%, 03/15/2026 | | | 246,417 | | | | 251,897 | |
6.50%, 03/15/2026 | | | 2,938 | | | | 3,105 | |
6.50%, 07/15/2026 | | | 22,995 | | | | 25,604 | |
7.50%, 09/15/2026 | | | 3,432 | | | | 3,776 | |
8.00%, 09/15/2026 | | | 10,419 | | | | 11,717 | |
6.50%, 01/15/2027 | | | 16,832 | | | | 18,742 | |
7.50%, 01/15/2027 | | | 8,300 | | | | 9,241 | |
7.50%, 01/15/2027 | | | 22,602 | | | | 25,063 | |
2.77% (1 Month LIBOR USD + 0.70%, 0.70% Floor, 9.00% Cap), 02/15/2027 (1) | | | 657 | | | | 668 | |
6.00%, 05/15/2027 | | | 19,426 | | | | 20,546 | |
7.25%, 07/15/2027 | | | 964 | | | | 1,065 | |
7.50%, 09/15/2027 | | | 9,121 | | | | 10,243 | |
6.50%, 12/15/2027 | | | 11,436 | | | | 12,346 | |
7.00%, 03/15/2028 IO | | | 14,095 | | | | 2,548 | |
7.50%, 03/15/2028 | | | 42,386 | | | | 47,384 | |
7.50%, 05/15/2028 | | | 14,597 | | | | 16,259 | |
6.50%, 06/15/2028 | | | 22,167 | | | | 24,777 | |
7.00%, 06/15/2028 | | | 2,617 | | | | 2,880 | |
6.00%, 07/15/2028 | | | 9,549 | | | | 10,157 | |
6.25%, 08/15/2028 | | | 45,520 | | | | 48,343 | |
6.50%, 08/15/2028 | | | 42,522 | | | | 46,301 | |
6.00%, 09/15/2028 | | | 8,117 | | | | 8,708 | |
7.00%, 10/15/2028 IO | | | 16,748 | | | | 1,901 | |
| | | | | | | | |
6.00%, 11/15/2028 | | | 36,848 | | | | 39,605 | |
6.00%, 12/15/2028 | | | 74,194 | | | | 79,675 | |
2.67% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 8.50% Cap), 01/15/2029 (1) | | | 17,007 | | | | 17,270 | |
6.00%, 01/15/2029 | | | 99,210 | | | | 107,293 | |
6.00%, 02/15/2029 | | | 21,832 | | | | 23,344 | |
6.25%, 02/15/2029 | | | 113,843 | | | | 122,414 | |
21.96% (-4 x 1 Month LIBOR USD + 30.55%, 30.55% Cap), 03/15/2029 (1)(4) | | | 2,741 | | | | 3,901 | |
7.00%, 04/15/2029 IO | | | 1,507 | | | | 169 | |
7.00%, 06/15/2029 | | | 88,140 | | | | 97,153 | |
7.50%, 06/15/2029 IO | | | 7,368 | | | | 872 | |
7.00%, 07/15/2029 | | | 45,266 | | | | 50,408 | |
7.00%, 08/15/2029 | | | 24,899 | | | | 27,715 | |
4.00%, 11/15/2029 IO | | | 161,927 | | | | 11,273 | |
7.50%, 11/15/2029 | | | 110 | | | | 123 | |
8.00%, 11/15/2029 | | | 20,957 | | | | 23,375 | |
7.00%, 01/15/2030 | | | 40,668 | | | | 45,472 | |
8.00%, 01/15/2030 | | | 41,735 | | | | 48,031 | |
8.00%, 01/15/2030 | | | 12,719 | | | | 14,599 | |
8.00%, 03/15/2030 | | | 8,729 | | | | 10,045 | |
5.00%, 04/15/2030 | | | 702,000 | | | | 757,255 | |
8.00%, 04/15/2030 | | | 12,088 | | | | 13,718 | |
7.50%, 05/15/2030 | | | 9,383 | | | | 10,587 | |
7.50%, 08/15/2030 | | | 9,908 | | | | 11,005 | |
7.25%, 09/15/2030 | | | 26,554 | | | | 30,064 | |
7.00%, 10/15/2030 | | | 27,711 | | | | 30,974 | |
7.50%, 10/15/2030 | | | 102 | | | | 103 | |
7.50%, 10/15/2030 | | | 2,673 | | | | 3,031 | |
4.00%, 12/15/2030 | | | 3,818,440 | | | | 3,964,892 | |
7.25%, 12/15/2030 | | | 32,607 | | | | 36,501 | |
7.00%, 03/15/2031 | | | 17,129 | | | | 19,036 | |
6.50%, 05/15/2031 | | | 7,913 | | | | 9,018 | |
7.00%, 06/15/2031 | | | 14,861 | | | | 16,641 | |
8.50%, 06/15/2031 | | | 35,226 | | | | 40,874 | |
6.00%, 07/15/2031 | | | 10,306 | | | | 11,243 | |
7.00%, 07/15/2031 | | | 34,375 | | | | 38,366 | |
6.50%, 08/15/2031 | | | 214,887 | | | | 244,447 | |
6.50%, 08/15/2031 | | | 19,482 | | | | 21,914 | |
6.50%, 08/15/2031 | | | 21,346 | | | | 23,590 | |
6.50%, 08/15/2031 | | | 16,916 | | | | 18,547 | |
6.50%, 10/15/2031 | | | 16,898 | | | | 18,773 | |
| | | | | | | | |
6.50%, 01/15/2032 | | | 23,184 | | | | 25,535 | |
6.50%, 01/15/2032 | | | 30,601 | | | | 33,721 | |
2.97% (1 Month LIBOR USD + 0.90%, 0.90% Floor, 9.00% Cap), 02/15/2032 (1) | | | 93,563 | | | | 95,489 | |
5.93% (-1 x 1 Month LIBOR USD + 8.00%, 8.00% Cap), 02/15/2032 IO (1)(4) | | | 82,963 | | | | 14,878 | |
6.38%, 02/15/2032 | | | 23,451 | | | | 24,997 | |
6.50%, 02/15/2032 | | | 38,249 | | | | 42,205 | |
6.50%, 02/15/2032 | | | 38,749 | | | | 42,724 | |
6.58% (-1 x 1 Month LIBOR USD + 8.65%, 8.65% Cap), 02/15/2032 IO (1)(4) | | | 18,135 | | | | 3,730 | |
11.95% (-2 x 1 Month LIBOR USD + 16.10%, 16.10% Cap), 02/15/2032 (1)(4) | | | 48,351 | | | | 56,786 | |
14.11% (-3 x 1 Month LIBOR USD + 19.50%, 19.50% Cap), 02/15/2032 (1)(4) | | | 42,206 | | | | 54,361 | |
5.88% (-1 x 1 Month LIBOR USD + 7.95%, 7.95% Cap), 03/15/2032 IO (1)(4) | | | 35,197 | | | | 6,192 | |
5.93% (-1 x 1 Month LIBOR USD + 8.00%, 8.00% Cap), 03/15/2032 IO (1)(4) | | | 22,961 | | | | 3,758 | |
6.50%, 03/15/2032 | | | 53,358 | | | | 59,412 | |
6.50%, 03/15/2032 | | | 51,903 | | | | 57,762 | |
7.00%, 03/15/2032 | | | 33,196 | | | | 36,975 | |
7.00%, 03/15/2032 | | | 42,163 | | | | 47,204 | |
6.50%, 04/15/2032 | | | 12,902 | | | | 14,234 | |
6.50%, 04/15/2032 | | | 83,500 | | | | 91,985 | |
6.50%, 04/15/2032 | | | 120,139 | | | | 133,908 | |
7.00%, 04/15/2032 | | | 24,919 | | | | 27,369 | |
7.00%, 04/15/2032 | | | 76,961 | | | | 85,465 | |
6.50%, 05/15/2032 | | | 37,699 | | | | 41,461 | |
7.00%, 05/15/2032 | | | 34,255 | | | | 38,651 | |
6.50%, 06/15/2032 | | | 47,711 | | | | 52,601 | |
6.50%, 06/15/2032 | | | 24,877 | | | | 27,756 | |
6.50%, 06/15/2032 | | | 36,346 | | | | 39,196 | |
6.50%, 07/15/2032 | | | 39,114 | | | | 43,555 | |
6.50%, 07/15/2032 | | | 55,824 | | | | 62,781 | |
0.00%, 09/15/2032 PO | | | 1,300,982 | | | | 1,139,827 | |
6.00%, 09/15/2032 | | | 55,018 | | | | 60,202 | |
0.00%, 12/15/2032 PO | | | 25,897 | | | | 21,761 | |
2.82% (1 Month LIBOR USD + 0.75%, 0.75% Floor, 8.50% Cap), 12/15/2032 (1) | | | 53,697 | | | | 54,736 | |
6.00%, 12/15/2032 | | | 96,225 | | | | 105,397 | |
6.00%, 12/15/2032 | | | 51,380 | | | | 56,512 | |
13.62% (-2 x 1 Month LIBOR USD + 18.60%, 18.60% Cap), 12/15/2032 (1)(4) | �� | | 31,657 | | | | 39,032 | |
6.00%, 01/15/2033 | | | 70,448 | | | | 77,496 | |
6.00%, 02/15/2033 | | | 248,232 | | | | 269,455 | |
6.00%, 02/15/2033 | | | 52,067 | | | | 57,368 | |
6.00%, 03/15/2033 | | | 41,545 | | | | 43,347 | |
6.50%, 03/15/2033 IO | | | 27,785 | | | | 5,153 | |
| | | | | | | | |
11.05% (-2 x 1 Month LIBOR USD + 14.85%, 14.85% Cap), 06/15/2033 (1)(4) | | | 94,517 | | | | 111,543 | |
5.00%, 07/15/2033 | | | 704,709 | | | | 757,492 | |
5.81% (-1 x 1 Month LIBOR USD + 6.80%, 4.00% Floor, 6.80% Cap), 07/15/2033 (1)(4) | | | 462 | | | | 491 | |
9.14% (-2 x 1 Month LIBOR USD + 13.29%, 13.29% Cap), 07/15/2033 (1)(4) | | | 28,772 | | | | 32,102 | |
3.00%, 08/15/2033 | | | 495,000 | | | | 476,748 | |
10.96% (-2 x 1 Month LIBOR USD + 14.76%, 14.76% Cap), 09/15/2033 (1)(4) | | | 26,782 | | | | 31,624 | |
6.14% (-1 x 1 Month LIBOR USD + 8.01%, 8.01% Cap), 10/15/2033 (1)(4) | | | 778,180 | | | | 843,483 | |
11.94% (-2 x 1 Month LIBOR USD + 16.50%, 16.50% Cap), 11/15/2033 (1)(4) | | | 13,572 | | | | 16,755 | |
2.67% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 9.50% Cap), 12/15/2033 (1) | | | 218,646 | | | | 219,924 | |
5.00%, 01/15/2034 | | | 330,777 | | | | 347,767 | |
5.50%, 02/15/2034 | | | 8,299 | | | | 8,531 | |
6.00%, 05/15/2034 | | | 193,917 | | | | 207,771 | |
16.89% (-4 x 1 Month LIBOR USD + 24.49%, 24.49% Cap), 06/15/2034 (1)(4) | | | 67,643 | | | | 77,591 | |
0.00%, 07/15/2034 PO | | | 138,853 | | | | 117,832 | |
4.29% (1 Month LIBOR USD + 0.00%, 8.32% Cap), 07/15/2034 (1)(4) | | | 54,271 | | | | 56,992 | |
4.00%, 11/15/2034 IO | | | 28,744 | | | | 70 | |
0.00%, 02/15/2035 PO | | | 42,366 | | | | 37,457 | |
19.04% (-4 x 1 Month LIBOR USD + 28.16%, 28.16% Cap), 02/15/2035 (1)(4) | | | 54,895 | | | | 66,349 | |
0.00%, 04/15/2035 PO | | | 67,367 | | | | 60,734 | |
6.00%, 04/15/2035 | | | 1,057,000 | | | | 1,162,551 | |
2.47% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 6.50% Cap), 05/15/2035 (1) | | | 72,331 | | | | 72,523 | |
2.37% (1 Month LIBOR USD + 0.30%, 0.30% Floor, 6.50% Cap), 06/15/2035 (1) | | | 85,056 | | | | 84,908 | |
11.68% (-3 x 1 Month LIBOR USD + 17.03%, 17.03% Cap), 06/15/2035 (1)(4) | | | 2,897 | | | | 3,366 | |
0.00%, 08/15/2035 PO | | | 7,950 | | | | 7,057 | |
2.87% (1 Month LIBOR USD + 0.80%, 0.80% Floor, 7.50% Cap), 08/15/2035 (1) | | | 71,074 | | | | 72,634 | |
0.00%, 09/15/2035 PO | | | 29,552 | | | | 26,416 | |
13.09% (-3 x 1 Month LIBOR USD + 20.00%, 20.00% Cap), 11/15/2035 (1)(4) | | | 41,233 | | | | 51,598 | |
6.00%, 01/15/2036 | | | 159,855 | | | | 176,730 | |
16.96% (-4 x 1 Month LIBOR USD + 24.57%, 24.57% Cap), 01/15/2036 (1)(4) | | | 11,461 | | | | 15,039 | |
0.00%, 02/15/2036 PO | | | 30,780 | | | | 25,978 | |
0.00%, 02/15/2036 PO | | | 35,496 | | | | 30,101 | |
0.00%, 02/15/2036 PO | | | 123,956 | | | | 112,851 | |
0.00%, 02/15/2036 PO | | | 42,189 | | | | 37,609 | |
0.00%, 03/15/2036 PO | | | 70,999 | | | | 64,634 | |
0.00%, 03/15/2036 PO | | | 8,564 | | | | 7,458 | |
0.00%, 03/15/2036 PO | | | 75,987 | | | | 67,064 | |
6.00%, 03/15/2036 | | | 2,328 | | | | 3,045 | |
0.00%, 04/15/2036 PO | | | 155,991 | | | | 132,758 | |
0.00%, 04/15/2036 PO | | | 149,107 | | | | 136,049 | |
0.00%, 04/15/2036 PO | | | 46,480 | | | | 40,727 | |
| | | | | | | | |
0.00%, 04/15/2036 PO | | | 85,021 | | | | 71,241 | |
6.00%, 04/15/2036 | | | 104,390 | | | | 114,475 | |
6.00%, 04/15/2036 IO | | | 87,173 | | | | 17,856 | |
6.00%, 04/15/2036 | | | 848,706 | | | | 934,923 | |
0.00%, 05/15/2036 PO | | | 65,435 | | | | 54,631 | |
0.00%, 05/15/2036 PO | | | 12,784 | | | | 10,859 | |
0.00%, 05/15/2036 PO | | | 43,935 | | | | 37,171 | |
0.00%, 05/15/2036 PO | | | 14,297 | | | | 10,660 | |
2.52% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap), 05/15/2036 (1) | | | 606,323 | | | | 609,296 | |
2.57% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 05/15/2036 (1) | | | 248,087 | | | | 249,122 | |
0.00%, 06/15/2036 PO | | | 140,462 | | | | 126,316 | |
6.00%, 06/15/2036 | | | 27,990 | | | | 30,441 | |
13.96% (-3 x 1 Month LIBOR USD + 19.66%, 19.66% Cap), 06/15/2036 (1)(4) | | | 26,350 | | | | 33,042 | |
0.00%, 07/15/2036 PO | | | 30,594 | | | | 26,449 | |
5.03% (-1 x 1 Month LIBOR USD + 7.10%, 7.10% Cap), 07/15/2036 IO (1)(4) | | | 10,630 | | | | 723 | |
6.50%, 07/15/2036 | | | 94,723 | | | | 104,366 | |
6.50%, 07/15/2036 | | | 139,704 | | | | 155,992 | |
0.00%, 08/15/2036 PO | | | 45,121 | | | | 38,596 | |
4.58% (-1 x 1 Month LIBOR USD + 6.65%, 6.65% Cap), 08/15/2036 IO (1)(4) | | | 696,778 | | | | 96,177 | |
5.50%, 08/15/2036 | | | 72,625 | | | | 75,539 | |
5.50%, 08/15/2036 | | | 203,684 | | | | 219,482 | |
0.00%, 09/15/2036 PO | | | 19,815 | | | | 15,288 | |
0.00%, 09/15/2036 PO | | | 26,334 | | | | 23,714 | |
0.00%, 10/15/2036 PO | | | 51,174 | | | | 43,821 | |
4.63% (-1 x 1 Month LIBOR USD + 6.70%, 6.70% Cap), 10/15/2036 IO (1)(4) | | | 71,471 | | | | 9,989 | |
7.50%, 11/15/2036 | | | 693,325 | | | | 786,431 | |
0.00%, 12/15/2036 PO | | | 25,723 | | | | 21,837 | |
7.00%, 12/15/2036 | | | 1,741,539 | | | | 1,963,230 | |
7.50%, 12/15/2036 | | | 578,902 | | | | 672,759 | |
0.00%, 01/15/2037 PO | | | 26,569 | | | | 22,446 | |
4.07% (-1 x 1 Month LIBOR USD + 6.14%, 6.14% Cap), 01/15/2037 IO (1)(4) | | | 46,592 | | | | 6,275 | |
0.00%, 02/15/2037 PO | | | 8,115 | | | | 7,166 | |
0.00%, 02/15/2037 PO | | | 72,090 | | | | 63,922 | |
2.51% (1 Month LIBOR USD + 0.44%, 0.44% Floor, 6.50% Cap), 02/15/2037 (1) | | | 49,093 | | | | 49,176 | |
6.00%, 02/15/2037 | | | 78,246 | | | | 84,765 | |
0.00%, 03/15/2037 PO | | | 14,166 | | | | 13,115 | |
4.38% (-1 x 1 Month LIBOR USD + 6.45%, 6.45% Cap), 03/15/2037 IO (1)(4) | | | 72,388 | | | | 8,043 | |
9.00% (-12 x 1 Month LIBOR USD + 70.64%, 9.00% Cap), 03/15/2037 (1)(4) | | | 24,855 | | | | 28,708 | |
0.00%, 04/15/2037 PO | | | 33,163 | | | | 29,595 | |
6.00%, 04/15/2037 | | | 78,545 | | | | 85,628 | |
| | | | | | | | |
0.00%, 05/15/2037 PO | | | 51,751 | | | | 46,296 | |
0.00%, 05/15/2037 PO | | | 286,561 | | | | 241,392 | |
0.00%, 05/15/2037 PO | | | 2,690 | | | | 2,000 | |
6.00%, 05/15/2037 | | | 97,847 | | | | 98,687 | |
0.00%, 06/15/2037 PO | | | 6,186 | | | | 5,503 | |
0.00%, 06/15/2037 PO | | | 27,884 | | | | 24,528 | |
0.00%, 07/15/2037 PO | | | 395,125 | | | | 336,936 | |
2.31% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 9,999.00% Cap), 07/15/2037 (1) | | | 1,233,617 | | | | 1,235,666 | |
4.50%, 07/15/2037 IO | | | 98,332 | | | | 618 | |
4.53% (-1 x 1 Month LIBOR USD + 6.60%, 6.60% Cap), 07/15/2037 IO (1)(4) | | | 60,087 | | | | 6,727 | |
4.00%, 08/15/2037 IO | | | 238,848 | | | | 6,411 | |
0.00%, 09/15/2037 PO | | | 40,730 | | | | 36,846 | |
2.67% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 7.00% Cap), 09/15/2037 (1) | | | 19,571 | | | | 19,772 | |
4.00%, 10/15/2037 IO | | | 126,109 | | | | 2,276 | |
4.00%, 10/15/2037 IO | | | 50,071 | | | | 421 | |
2.75% (1 Month LIBOR USD + 0.68%, 0.68% Floor, 7.00% Cap), 11/15/2037 (1) | | | 783,720 | | | | 794,491 | |
4.35% (-1 x 1 Month LIBOR USD + 6.42%, 6.42% Cap), 11/15/2037 IO (1)(4) | | | 332,096 | | | | 31,126 | |
4.38% (-1 x 1 Month LIBOR USD + 6.45%, 6.45% Cap), 11/15/2037 IO (1)(4) | | | 214,077 | | | | 23,428 | |
3.93% (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap), 01/15/2038 IO (1)(4) | | | 395,886 | | | | 49,265 | |
12.27% (-3 x 1 Month LIBOR USD + 17.45%, 17.45% Cap), 02/15/2038 (1)(4) | | | 15,378 | | | | 17,263 | |
5.50%, 03/15/2038 | | | 530,594 | | | | 575,704 | |
4.73% (-1 x 1 Month LIBOR USD + 6.80%, 6.80% Cap), 04/15/2038 IO (1)(4) | | | 161,015 | | | | 19,292 | |
5.50%, 05/15/2038 | | | 70,749 | | | | 74,207 | |
4.13% (-1 x 1 Month LIBOR USD + 6.20%, 6.20% Cap), 06/15/2038 IO (1)(4) | | | 164,898 | | | | 21,947 | |
6.00%, 06/15/2038 | | | 452,897 | | | | 484,973 | |
6.00%, 06/15/2038 | | | 17,190 | | | | 18,702 | |
3.78% (-1 x 1 Month LIBOR USD + 5.85%, 5.85% Cap), 08/15/2038 IO (1)(4) | | | 295,686 | | | | 30,176 | |
5.70%, 10/15/2038 (3) | | | 127,591 | | | | 138,328 | |
5.50%, 01/15/2039 | | | 234,862 | | | | 253,166 | |
3.21%, 02/15/2039 (3) | | | 103,464 | | | | 105,685 | |
3.93% (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap), 02/15/2039 IO (1)(4) | | | 112,021 | | | | 13,249 | |
2.47% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 6.50% Cap), 04/15/2039 (1) | | | 485,746 | | | | 487,544 | |
2.52% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 6.50% Cap), 05/15/2039 (1) | | | 520,732 | | | | 518,798 | |
4.03% (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap), 05/15/2039 IO (1)(4) | | | 40,592 | | | | 2,298 | |
4.23% (-1 x 1 Month LIBOR USD + 6.30%, 6.30% Cap), 05/15/2039 IO (1)(4) | | | 146,887 | | | | 8,465 | |
3.27% (1 Month LIBOR USD + 1.20%, 1.20% Floor, 7.00% Cap), 07/15/2039 (1) | | | 45,940 | | | | 47,041 | |
4.50%, 07/15/2039 | | | 766,032 | | | | 795,691 | |
2.52% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 6.50% Cap), 08/15/2039 (1) | | | 145,311 | | | | 145,678 | |
3.50%, 08/15/2039 | | | 593,051 | | | | 600,262 | |
0.00%, 10/15/2039 PO | | | 133,925 | | | | 110,544 | |
| | | | | | | | |
5.00%, 10/15/2039 IO | | | 377,295 | | | | 48,794 | |
4.18% (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap), 12/15/2039 IO (1)(4) | | | 123,618 | | | | 16,973 | |
0.00%, 01/15/2040 PO | | | 133,241 | | | | 114,636 | |
1.42%, 01/15/2040 IO (3)(4) | | | 1,299,425 | | | | 53,769 | |
10.59% (-3 x 1 Month LIBOR USD + 17.50%, 17.50% Cap), 02/15/2040 (1)(4) | | | 417,875 | | | | 485,515 | |
4.00%, 03/15/2040 | | | 884,613 | | | | 907,113 | |
3.50%, 09/15/2040 | | | 1,076,828 | | | | 1,088,845 | |
2.57% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap), 10/15/2040 (1) | | | 187,161 | | | | 188,272 | |
3.93% (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap), 10/15/2040 IO (1)(4) | | | 442,858 | | | | 54,014 | |
3.93% (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap), 10/15/2040 IO (1)(4) | | | 605,845 | | | | 76,545 | |
2.62% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.50% Cap), 12/15/2040 (1) | | | 1,758,577 | | | | 1,773,181 | |
5.00%, 12/15/2040 | | | 1,310,809 | | | | 1,400,082 | |
2.62% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.50% Cap), 03/15/2041 (1) | | | 1,288,167 | | | | 1,304,629 | |
5.00%, 05/15/2041 | | | 1,208,929 | | | | 1,320,402 | |
5.50% (-4 x 1 Month LIBOR USD + 27.21%, 5.50% Cap), 05/15/2041 (1)(4) | | | 322,137 | | | | 324,703 | |
5.50% (-4 x 1 Month LIBOR USD + 27.50%, 5.50% Cap), 05/15/2041 (1)(4) | | | 971,613 | | | | 1,021,668 | |
2.47% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.00% Cap), 10/15/2041 (1) | | | 884,308 | | | | 889,129 | |
4.00%, 11/15/2041 | | | 763,777 | | | | 780,599 | |
4.00%, 12/15/2041 | | | 413,652 | | | | 427,901 | |
2.57% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap), 03/15/2042 (1) | | | 975,068 | | | | 983,466 | |
2.57% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 07/15/2042 (1) | | | 456,135 | | | | 457,999 | |
2.52% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap), 08/15/2042 (1) | | | 2,485,149 | | | | 2,519,246 | |
2.47% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.00% Cap), 09/15/2042 (1) | | | 900,667 | | | | 895,996 | |
3.00%, 06/15/2043 | | | 206,000 | | | | 192,328 | |
4.50%, 09/15/2043 | | | 1,000,000 | | | | 1,076,658 | |
4.00%, 05/15/2044 | | | 5,819,018 | | | | 5,973,136 | |
3.50%, 10/15/2045 | | | 19,373,871 | | | | 19,503,818 | |
3.75%, 02/15/2046 (8) | | | 1,184,980 | | | | 1,198,252 | |
7.32%, 11/15/2046 (3) | | | 861,927 | | | | 977,099 | |
3.50%, 06/15/2048 | | | 4,976,292 | | | | 5,016,261 | |
0.00%, 10/15/2049 PO | | | 408,103 | | | | 361,781 | |
Freddie Mac Strips | | | | | | | | |
4.50%, 11/15/2020 IO | | | 13,254 | | | | 225 | |
4.50%, 12/15/2020 IO | | | 10,788 | | | | 253 | |
9.00%, 04/01/2022 IO | | | 72 | | | | 7 | |
0.00%, 04/01/2028 PO | | | 76,687 | | | | 68,283 | |
5.00%, 09/15/2035 IO | | | 131,896 | | | | 29,757 | |
5.00%, 09/15/2035 IO | | | 245,473 | | | | 52,798 | |
5.00%, 09/15/2035 IO | | | 157,198 | | | | 30,664 | |
5.63% (-1 x 1 Month LIBOR USD + 7.70%, 7.70% Cap), 08/15/2036 IO (1)(4) | | | 462,152 | | | | 78,403 | |
| | | | | | | | |
2.62% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.50% Cap), 07/15/2042 (1) | | | 2,849,407 | | | | 2,890,786 | |
3.50%, 07/15/2042 | | | 6,801,970 | | | | 6,795,640 | |
2.57% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 08/15/2042 (1) | | | 1,814,708 | | | | 1,834,440 | |
2.62% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.50% Cap), 08/15/2042 (1) | | | 1,612,071 | | | | 1,634,324 | |
3.00%, 08/15/2042 | | | 2,242,484 | | | | 2,179,577 | |
3.00%, 01/15/2043 | | | 561,264 | | | | 551,998 | |
0.00%, 09/15/2043 PO | | | 1,100,055 | | | | 874,103 | |
Freddie Mac Structured Pass-Through Certificates | | | | | | | | |
5.57%, 07/25/2032 (3) | | | 64,207 | | | | 67,151 | |
5.02%, 07/25/2033 (3) | | | 192,792 | | | | 199,743 | |
4.17%, 10/25/2037 (3) | | | 1,475,663 | | | | 1,492,277 | |
7.50%, 02/25/2042 | | | 260,598 | | | | 293,498 | |
7.50%, 08/25/2042 (3) | | | 44,028 | | | | 51,468 | |
6.50%, 02/25/2043 | | | 263,888 | | | | 298,471 | |
7.00%, 02/25/2043 | | | 86,380 | | | | 100,590 | |
5.23%, 05/25/2043 | | | 607,730 | | | | 659,271 | |
0.00%, 07/25/2043 PO | | | 24,431 | | | | 20,462 | |
7.50%, 07/25/2043 | | | 64,109 | | | | 74,836 | |
0.00%, 09/25/2043 PO | | | 27,347 | | | | 21,799 | |
7.50%, 09/25/2043 | | | 338,923 | | | | 387,430 | |
0.00%, 10/25/2043 PO | | | 31,287 | | | | 23,450 | |
7.00%, 10/25/2043 | | | 351,407 | | | | 400,420 | |
2.66% (12 Month US Treasury Average + 1.20%, 1.20% Floor), 10/25/2044 (1) | | | 627,546 | | | | 626,891 | |
FREMF 2013-K25 Mortgage Trust | | | | | | | | |
3.74%, 11/25/2045 (2)(3) | | | 2,000,000 | | | | 1,938,609 | |
FREMF 2013-K35 Mortgage Trust | | | | | | | | |
4.08%, 08/25/2023 (2)(3) | | | 2,951,000 | | | | 2,894,171 | |
FREMF 2014-K40 Mortgage Trust | | | | | | | | |
4.21%, 11/25/2047 (2)(3) | | | 2,273,000 | | | | 2,273,429 | |
FREMF 2014-K41 Mortgage Trust | | | | | | | | |
3.96%, 11/25/2047 (2)(3) | | | 6,000,000 | | | | 5,687,593 | |
FREMF 2015-K44 Mortgage Trust | | | | | | | | |
3.81%, 01/25/2048 (2)(3) | | | 3,510,000 | | | | 3,449,487 | |
FREMF 2015-K45 Mortgage Trust | | | | | | | | |
3.71%, 04/25/2048 (2)(3) | | | 2,135,000 | | | | 2,075,929 | |
FREMF 2015-K49 Mortgage Trust | | | | | | | | |
3.85%, 10/25/2048 (2)(3) | | | 4,000,000 | | | | 3,790,339 | |
FREMF 2015-K51 Mortgage Trust | | | | | | | | |
4.09%, 10/25/2048 (2)(3) | | | 1,500,000 | | | | 1,436,654 | |
| | | | | | | | |
FREMF 2015-K720 Mortgage Trust | | | | | | | | |
3.50%, 07/25/2022 (2)(3) | | | 4,000,000 | | | | 3,814,002 | |
FREMF 2016-K59 Mortgage Trust | | | | | | | | |
3.70%, 11/25/2049 (2)(3) | | | 2,450,000 | | | | 2,359,312 | |
FREMF 2016-K722 Mortgage Trust | | | | | | | | |
3.97%, 07/25/2049 (2)(3) | | | 1,845,000 | | | | 1,828,813 | |
G2 G2-COLORADO 2NDS BREAN | | | | | | | | |
5.00%, 06/20/2048 (12) | | | 7,500,000 | | | | 7,999,219 | |
Ginnie Mae I Pool | | | | | | | | |
9.00%, 02/15/2020 | | | 27 | | | | 27 | |
7.50%, 11/15/2022 | | | 72 | | | | 72 | |
7.50%, 03/15/2023 | | | 224 | | | | 233 | |
7.00%, 08/15/2023 | | | 265 | | | | 270 | |
7.00%, 09/15/2023 | | | 13,187 | | | | 13,744 | |
7.00%, 11/15/2023 | | | 703 | | | | 740 | |
6.50%, 01/15/2024 | | | 3,286 | | | | 3,623 | |
7.00%, 02/15/2024 | | | 6,570 | | | | 6,846 | |
9.50%, 10/15/2024 | | | 15,272 | | | | 16,003 | |
9.00%, 11/15/2024 | | | 528 | | | | 551 | |
9.50%, 12/15/2025 | | | 1,430 | | | | 1,496 | |
7.50%, 11/15/2026 | | | 1,032 | | | | 1,051 | |
7.50%, 07/15/2027 | | | 1,661 | | | | 1,704 | |
6.50%, 03/15/2028 | | | 7,694 | | | | 8,484 | |
7.50%, 07/15/2028 | | | 720 | | | | 732 | |
8.00%, 08/15/2028 | | | 1,386 | | | | 1,390 | |
6.50%, 09/15/2028 | | | 16,236 | | | | 17,903 | |
7.50%, 09/15/2028 | | | 4,067 | | | | 4,381 | |
6.50%, 10/15/2028 | | | 1,042 | | | | 1,149 | |
6.00%, 11/15/2028 | | | 10,183 | | | | 11,130 | |
7.00%, 09/15/2031 | | | 93,340 | | | | 107,288 | |
6.50%, 01/15/2032 | | | 75,749 | | | | 85,771 | |
6.50%, 07/15/2032 | | | 2,471 | | | | 2,725 | |
6.50%, 02/15/2033 | | | 12,883 | | | | 14,205 | |
7.00%, 02/15/2033 | | | 5,951 | | | | 6,483 | |
5.50%, 04/15/2033 | | | 296,651 | | | | 324,035 | |
6.50%, 04/15/2033 | | | 7,369 | | | | 8,125 | |
5.50%, 06/15/2033 | | | 3,423 | | | | 3,734 | |
7.00%, 06/15/2033 | | | 19,694 | | | | 22,780 | |
5.50%, 12/15/2033 | | | 12,686 | | | | 13,833 | |
5.50%, 07/15/2034 | | | 7,147 | | | | 7,781 | |
5.50%, 09/15/2034 | | | 16,251 | | | | 17,535 | |
| | | | | | | | |
7.00%, 06/15/2035 | | | 249,517 | | | | 284,367 | |
6.50%, 12/15/2035 | | | 83,966 | | | | 94,465 | |
7.00%, 04/15/2037 | | | 37,319 | | | | 41,726 | |
7.50%, 10/15/2037 | | | 39,598 | | | | 45,662 | |
4.00%, 06/15/2039 | | | 544,036 | | | | 557,848 | |
4.50%, 04/15/2040 | | | 3,147,398 | | | | 3,328,080 | |
4.00%, 10/15/2040 | | | 304,933 | | | | 314,189 | |
3.50%, 01/15/2042 | | | 5,930,871 | | | | 5,978,116 | |
3.50%, 03/15/2043 | | | 1,410,200 | | | | 1,421,334 | |
3.50%, 04/15/2043 | | | 4,959,557 | | | | 5,013,742 | |
3.00%, 05/15/2043 | | | 801,063 | | | | 789,704 | |
3.50%, 06/15/2043 | | | 1,862,684 | | | | 1,877,501 | |
3.50%, 07/15/2043 | | | 739,925 | | | | 745,683 | |
Ginnie Mae II Pool | | | | | | | | |
8.50%, 03/20/2025 | | | 358 | | | | 384 | |
8.50%, 04/20/2025 | | | 1,907 | | | | 2,058 | |
8.50%, 05/20/2025 | | | 3,939 | | | | 4,229 | |
8.00%, 12/20/2025 | | | 724 | | | | 786 | |
8.00%, 06/20/2026 | | | 1,569 | | | | 1,723 | |
8.00%, 08/20/2026 | | | 1,250 | | | | 1,429 | |
8.00%, 09/20/2026 | | | 1,403 | | | | 1,610 | |
8.00%, 11/20/2026 | | | 1,105 | | | | 1,248 | |
8.00%, 10/20/2027 | | | 2,861 | | | | 3,186 | |
8.00%, 11/20/2027 | | | 2,298 | | | | 2,546 | |
8.00%, 12/20/2027 | | | 1,037 | | | | 1,135 | |
7.50%, 02/20/2028 | | | 1,509 | | | | 1,658 | |
6.00%, 03/20/2028 | | | 8,036 | | | | 9,048 | |
8.00%, 06/20/2028 | | | 555 | | | | 561 | |
8.00%, 08/20/2028 | | | 143 | | | | 147 | |
7.50%, 09/20/2028 | | | 5,360 | | | | 5,997 | |
8.00%, 09/20/2028 | | | 402 | | | | 413 | |
6.50%, 07/20/2029 | | | 81,160 | | | | 90,841 | |
6.00%, 11/20/2033 | | | 5,618 | | | | 6,204 | |
5.00%, 10/20/2037 | | | 407,485 | | | | 435,492 | |
7.00%, 08/20/2038 | | | 33,670 | | | | 37,862 | |
6.00%, 09/20/2038 | | | 571,127 | | | | 627,335 | |
6.00%, 11/20/2038 | | | 5,721 | | | | 5,989 | |
6.00%, 08/20/2039 | | | 294,246 | | | | 329,888 | |
5.50%, 09/20/2039 | | | 188,290 | | | | 207,074 | |
4.50%, 06/20/2040 | | | 1,008,363 | | | | 1,059,829 | |
| | | | | | | | |
5.00%, 07/20/2040 | | | 254,065 | | | | 273,252 | |
4.50%, 08/15/2040 (5) | | | 19,000,000 | | | | 19,715,839 | |
4.00%, 10/20/2040 | | | 2,876,188 | | | | 2,973,626 | |
4.50%, 01/20/2041 | | | 791,127 | | | | 831,487 | |
4.50%, 03/20/2041 | | | 750,701 | | | | 788,955 | |
4.50%, 05/20/2041 | | | 375,760 | | | | 395,000 | |
4.50%, 06/20/2041 | | | 2,661,490 | | | | 2,798,318 | |
4.50%, 07/15/2041 (5) | | | 22,580,000 | | | | 23,469,528 | |
4.50%, 09/20/2041 | | | 822,658 | | | | 865,483 | |
3.00%, 06/20/2042 | | | 413,318 | | | | 408,225 | |
4.00%, 06/20/2042 | | | 3,702,941 | | | | 3,827,113 | |
4.00%, 07/15/2042 (5) | | | 35,920,000 | | | | 36,806,075 | |
3.00%, 08/20/2042 | | | 5,614,814 | | | | 5,545,627 | |
3.50%, 10/20/2042 | | | 6,353,546 | | | | 6,427,115 | |
4.00%, 10/20/2042 | | | 7,552,506 | | | | 7,803,843 | |
3.00%, 11/20/2042 | | | 3,097,630 | | | | 3,059,460 | |
3.50%, 11/20/2042 | | | 2,172,986 | | | | 2,198,147 | |
3.00%, 12/20/2042 | | | 1,566,935 | | | | 1,547,628 | |
4.00%, 12/20/2042 | | | 3,603,686 | | | | 3,723,760 | |
3.00%, 01/20/2043 | | | 1,590,662 | | | | 1,571,061 | |
4.00%, 02/20/2043 | | | 1,681,032 | | | | 1,737,239 | |
3.00%, 04/20/2043 | | | 4,012,040 | | | | 3,962,601 | |
3.50%, 05/20/2043 | | | 1,471,789 | | | | 1,488,832 | |
3.00%, 09/20/2043 | | | 1,215,210 | | | | 1,200,234 | |
4.50%, 09/20/2043 | | | 2,215,814 | | | | 2,334,323 | |
3.00%, 10/20/2043 | | | 178,890 | | | | 176,685 | |
4.00%, 10/20/2043 | | | 3,226,290 | | | | 3,340,897 | |
4.50%, 10/20/2043 | | | 4,166,400 | | | | 4,388,952 | |
4.50%, 12/20/2043 | | | 2,144,919 | | | | 2,259,509 | |
3.00%, 01/20/2044 | | | 1,067,460 | | | | 1,054,305 | |
5.00%, 06/20/2044 | | | 1,042,607 | | | | 1,109,958 | |
3.00%, 07/20/2044 | | | 518,046 | | | | 510,967 | |
5.00%, 07/20/2044 | | | 918,814 | | | | 978,222 | |
3.00%, 12/20/2044 | | | 975,305 | | | | 961,311 | |
4.00%, 12/20/2044 | | | 788,757 | | | | 814,460 | |
3.50%, 03/20/2045 | | | 2,243,046 | | | | 2,256,583 | |
4.00%, 03/20/2045 | | | 445,245 | | | | 459,783 | |
3.00%, 04/20/2045 | | | 9,104,794 | | | | 8,991,238 | |
3.50%, 04/20/2045 | | | 16,174,477 | | | | 16,272,092 | |
3.00%, 05/20/2045 | | | 1,587,785 | | | | 1,561,831 | |
| | | | | | | | |
4.00%, 05/20/2045 | | | 7,653,263 | | | | 7,918,031 | |
3.00%, 07/15/2045 (5) | | | 16,725,000 | | | | 16,357,507 | |
3.50%, 07/15/2045 (5) | | | 104,230,000 | | | | 104,596,431 | |
3.00%, 07/20/2045 | | | 3,557,757 | | | | 3,499,600 | |
3.50%, 07/20/2045 | | | 7,381,769 | | | | 7,426,320 | |
5.00%, 08/20/2045 | | | 1,148,346 | | | | 1,222,595 | |
3.00%, 10/20/2045 | | | 4,010,388 | | | | 3,944,829 | |
3.50%, 10/20/2045 | | | 14,307,538 | | | | 14,393,893 | |
3.00%, 11/20/2045 | | | 945,634 | | | | 930,175 | |
4.00%, 11/20/2045 | | | 6,349,737 | | | | 6,556,540 | |
4.00%, 01/20/2046 | | | 1,279,146 | | | | 1,320,798 | |
4.50%, 01/20/2046 | | | 3,713,187 | | | | 3,907,977 | |
4.00%, 03/20/2046 | | | 1,643,582 | | | | 1,693,017 | |
3.00%, 04/20/2046 | | | 9,758,532 | | | | 9,600,008 | |
4.00%, 04/20/2046 | | | 4,330,755 | | | | 4,469,421 | |
3.00%, 05/20/2046 | | | 398,496 | | | | 391,797 | |
4.00%, 05/20/2046 | | | 7,462,484 | | | | 7,691,837 | |
3.50%, 06/20/2046 | | | 4,868,019 | | | | 4,901,733 | |
4.00%, 06/20/2046 | | | 3,443,159 | | | | 3,544,869 | |
3.00%, 07/20/2046 | | | 7,644,727 | | | | 7,502,412 | |
3.50%, 07/20/2046 | | | 27,235,914 | | | | 27,366,726 | |
4.50%, 07/20/2046 | | | 1,919,857 | | | | 2,022,208 | |
3.00%, 08/20/2046 | | | 19,350,596 | | | | 18,990,366 | |
3.00%, 09/20/2046 | | | 2,583,215 | | | | 2,535,979 | |
4.50%, 09/20/2046 | | | 3,368,541 | | | | 3,541,012 | |
5.00%, 09/20/2046 | | | 3,135,466 | | | | 3,337,850 | |
3.50%, 11/20/2046 | | | 205,567 | | | | 206,476 | |
4.00%, 11/20/2046 | | | 3,285,247 | | | | 3,390,457 | |
4.50%, 11/20/2046 | | | 5,987,890 | | | | 6,330,039 | |
2.50%, 12/20/2046 | | | 3,629,934 | | | | 3,444,902 | |
3.50%, 12/20/2046 | | | 10,860,203 | | | | 10,908,252 | |
3.00%, 01/20/2047 | | | 5,792,047 | | | | 5,676,905 | |
3.00%, 02/20/2047 | | | 7,914,850 | | | | 7,757,511 | |
4.00%, 02/20/2047 | | | 5,641,259 | | | | 5,785,577 | |
3.00%, 03/20/2047 | | | 872,012 | | | | 855,105 | |
4.00%, 03/20/2047 | | | 13,019,286 | | | | 13,378,383 | |
4.50%, 03/20/2047 | | | 1,357,147 | | | | 1,422,272 | |
3.00%, 07/20/2047 | | | 21,040,561 | | | | 20,605,890 | |
4.50%, 07/20/2047 | | | 13,889,821 | | | | 14,442,213 | |
3.50%, 08/20/2047 | | | 3,797,046 | | | | 3,813,845 | |
| | | | | | | | |
4.00%, 09/20/2047 | | | 11,463,414 | | | | 11,823,274 | |
4.25%, 12/20/2047 | | | 1,973,360 | | | | 2,053,085 | |
4.50%, 04/20/2048 | | | 2,925,481 | | | | 3,056,065 | |
4.50%, 04/20/2048 | | | 4,647,370 | | | | 4,903,144 | |
4.50%, 04/20/2048 | | | 2,045,974 | | | | 2,145,661 | |
4.50%, 05/20/2048 | | | 3,383,653 | | | | 3,540,970 | |
4.50%, 05/20/2048 | | | 6,881,559 | | | | 7,260,306 | |
4.46%, 05/20/2063 (3) | | | 456,072 | | | | 465,052 | |
GMACM Mortgage Loan Trust 2003-AR2 | | | | | | | | |
4.06%, 12/19/2033 (3) | | | 189,789 | | | | 191,092 | |
GMACM Mortgage Loan Trust 2003-J8 | | | | | | | | |
5.25%, 12/25/2033 | | | 9,280 | | | | 9,465 | |
GMACM Mortgage Loan Trust 2005-AR3 | | | | | | | | |
3.91%, 06/19/2035 (3) | | | 128,539 | | | | 126,329 | |
Government National Mortgage Association | | | | | | | | |
5.50%, 11/20/2020 | | | 10,360 | | | | 10,348 | |
5.00%, 04/16/2023 | | | 114,343 | | | | 115,752 | |
6.50%, 10/16/2024 | | | 114,968 | | | | 121,499 | |
6.00%, 02/20/2029 | | | 116,936 | | | | 116,851 | |
6.51% (-1 x 1 Month LIBOR USD + 8.60%, 8.60% Cap), 08/16/2029 IO (1)(4) | | | 13,105 | | | | 169 | |
8.50%, 02/16/2030 | | | 140,214 | | | | 158,143 | |
9.00%, 03/16/2030 | | | 124,674 | | | | 124,655 | |
5.41% (-1 x 1 Month LIBOR USD + 7.50%, 7.50% Cap), 04/16/2030 IO (1)(4) | | | 104,248 | | | | 10,522 | |
8.00%, 06/20/2030 | | | 14,259 | | | | 16,289 | |
9.00%, 10/20/2030 | | | 21,618 | | | | 25,183 | |
9.00%, 11/16/2030 IO | | | 1,369 | | | | 190 | |
9.00%, 11/20/2030 | | | 13,517 | | | | 15,832 | |
6.61% (-1 x 1 Month LIBOR USD + 8.70%, 8.70% Cap), 01/16/2031 IO (1)(4) | | | 8,227 | | | | 1,382 | |
6.46% (-1 x 1 Month LIBOR USD + 8.55%, 8.55% Cap), 03/16/2031 IO (1)(4) | | | 6,650 | | | | 1,444 | |
15.59% (-3 x 1 Month LIBOR USD + 21.01%, 21.01% Cap), 03/17/2031 (1)(4) | | | 61,321 | | | | 75,857 | |
5.96% (-1 x 1 Month LIBOR USD + 8.05%, 8.05% Cap), 08/16/2031 IO (1)(4) | | | 15,103 | | | | 3,426 | |
6.16% (-1 x 1 Month LIBOR USD + 8.25%, 8.25% Cap), 08/16/2031 IO (1)(4) | | | 17,034 | | | | 207 | |
2.43% (1 Month LIBOR USD + 0.35%, 0.35% Floor, 6.50% Cap), 03/20/2032 (1) | | | 67,365 | | | | 67,534 | |
5.86% (-1 x 1 Month LIBOR USD + 7.95%, 7.95% Cap), 04/16/2032 IO (1)(4) | | | 59,823 | | | | 8,318 | |
8.80% (-2 x 1 Month LIBOR USD + 11.93%, 11.93% Cap), 04/16/2032 (1)(4) | | | 5,700 | | | | 6,282 | |
9.00% (-8 x 1 Month LIBOR USD + 66.27%, 9.00% Cap), 06/16/2032 (1)(4) | | | 2,039 | | | | 2,406 | |
6.50%, 06/20/2032 | | | 233,704 | | | | 259,465 | |
6.50%, 07/16/2032 | | | 69,007 | | | | 77,828 | |
6.00%, 07/20/2032 | | | 23,835 | | | | 26,200 | |
6.50%, 07/20/2032 | | | 120,287 | | | | 134,339 | |
| | | | | | | | |
6.50%, 07/20/2032 | | | 81,483 | | | | 91,397 | |
10.88% (-2 x 1 Month LIBOR USD + 14.70%, 14.70% Cap), 11/17/2032 (1)(4) | | | 15,471 | | | | 16,650 | |
6.00%, 11/20/2032 | | | 146,000 | | | | 158,848 | |
0.00%, 12/20/2032 PO | | | 69,858 | | | | 67,344 | |
5.50%, 01/16/2033 | | | 452,622 | | | | 488,147 | |
6.50%, 01/20/2033 | | | 121,627 | | | | 134,258 | |
5.61% (-1 x 1 Month LIBOR USD + 7.70%, 7.70% Cap), 02/16/2033 IO (1)(4) | | | 55,118 | | | | 6,510 | |
0.00%, 02/17/2033 PO | | | 31,196 | | | | 29,828 | |
5.62% (-1 x 1 Month LIBOR USD + 7.70%, 7.70% Cap), 02/20/2033 IO (1)(4) | | | 27,276 | | | | 4,832 | |
0.00%, 03/16/2033 PO | | | 9,260 | | | | 8,417 | |
5.27% (-1 x 1 Month LIBOR USD + 7.67%, 7.67% Cap), 03/17/2033 (1)(4) | | | 5,977 | | | | 6,009 | |
6.50%, 03/20/2033 | | | 68,276 | | | | 74,878 | |
6.50%, 03/20/2033 | | | 232,677 | | | | 256,862 | |
5.50%, 04/20/2033 | | | 260,601 | | | | 281,471 | |
6.50%, 05/20/2033 | | | 89,650 | | | | 99,754 | |
0.00%, 06/16/2033 PO | | | 45,245 | | | | 38,194 | |
6.00%, 09/16/2033 | | | 148,348 | | | | 161,585 | |
0.00%, 10/20/2033 PO | | | 7,394 | | | | 6,481 | |
5.81%, 10/20/2033 (3) | | | 170,767 | | | | 187,114 | |
4.46% (-1 x 1 Month LIBOR USD + 6.55%, 6.55% Cap), 11/16/2033 IO (1)(4) | | | 100,989 | | | | 11,117 | |
4.46% (-1 x 1 Month LIBOR USD + 6.55%, 6.55% Cap), 12/16/2033 IO (1)(4) | | | 95,240 | | | | 12,780 | |
4.41% (-1 x 1 Month LIBOR USD + 6.50%, 0.55% Floor, 7.00% Cap), 03/16/2034 IO (1)(4) | | | 2,344 | | | | 4 | |
5.50%, 03/16/2034 | | | 3,795,617 | | | | 4,061,945 | |
13.93% (-3 x 1 Month LIBOR USD + 19.66%, 19.66% Cap), 04/16/2034 (1)(4) | | | 44,396 | | | | 58,727 | |
12.13% (-2 x 1 Month LIBOR USD + 16.72%, 16.72% Cap), 05/18/2034 (1)(4) | | | 6,221 | | | | 6,961 | |
0.00%, 06/20/2034 PO | | | 82,817 | | | | 73,185 | |
6.00%, 06/20/2034 | | | 307,984 | | | | 333,470 | |
10.55% (-2 x 1 Month LIBOR USD + 14.86%, 14.86% Cap), 08/17/2034 (1)(4) | | | 38,652 | | | | 41,301 | |
5.72%, 08/20/2034 (3) | | | 92,368 | | | | 100,070 | |
4.46% (-1 x 1 Month LIBOR USD + 6.55%, 6.55% Cap), 09/16/2034 IO (1)(4) | | | 317,390 | | | | 43,771 | |
7.00% (-6 x 1 Month LIBOR USD + 44.50%, 7.00% Cap), 09/20/2034 (1)(4) | | | 36,629 | | | | 38,639 | |
19.23% (-5 x 1 Month LIBOR USD + 29.46%, 29.46% Cap), 09/20/2034 (1)(4) | | | 36,629 | | | | 49,766 | |
9.75% (-2 x 1 Month LIBOR USD + 14.26%, 14.26% Cap), 10/16/2034 (1)(4) | | | 5,923 | | | | 6,343 | |
16.74% (-4 x 1 Month LIBOR USD + 24.38%, 24.38% Cap), 10/16/2034 (1)(4) | | | 32,839 | | | | 42,718 | |
4.02% (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap), 10/20/2034 IO (1)(4) | | | 472,360 | | | | 61,470 | |
8.03% (-2 x 1 Month LIBOR USD + 12.20%, 12.20% Cap), 10/20/2034 (1)(4) | | | 7,407 | | | | 7,585 | |
4.00% (-1 x 1 Month LIBOR USD + 6.08%, 6.08% Cap), 11/20/2034 IO (1)(4) | | | 244,305 | | | | 15,373 | |
4.67% (-1 x 1 Month LIBOR USD + 6.75%, 6.75% Cap), 01/20/2035 IO (1)(4) | | | 332,332 | | | | 37,816 | |
11.41% (-2 x 1 Month LIBOR USD + 16.43%, 16.43% Cap), 06/17/2035 (1)(4) | | | 131,809 | | | | 147,462 | |
4.72% (-1 x 1 Month LIBOR USD + 6.80%, 6.80% Cap), 06/20/2035 (1)(4) | | | 173,883 | | | | 177,930 | |
| | | | | | | | |
5.50%, 07/20/2035 IO | | | 34,498 | | | | 7,642 | |
13.88% (-3 x 1 Month LIBOR USD + 20.83%, 20.83% Cap), 08/16/2035 (1)(4) | | | 18,289 | | | | 24,401 | |
0.00%, 08/20/2035 PO | | | 201,898 | | | | 174,455 | |
14.84% (-4 x 1 Month LIBOR USD + 22.73%, 22.73% Cap), 08/20/2035 (1)(4) | | | 3,093 | | | | 3,039 | |
4.22% (-1 x 1 Month LIBOR USD + 6.30%, 6.30% Cap), 09/20/2035 IO (1)(4) | | | 677,938 | | | | 86,906 | |
5.50%, 09/20/2035 | | | 213,260 | | | | 226,214 | |
0.00%, 10/20/2035 PO | | | 42,546 | | | | 36,108 | |
0.00%, 11/20/2035 PO | | | 62,772 | | | | 53,687 | |
6.00%, 12/20/2035 IO | | | 65,046 | | | | 12,562 | |
5.75%, 02/20/2036 | | | 41,682 | | | | 43,536 | |
0.00%, 03/20/2036 PO | | | 54,260 | | | | 48,314 | |
0.00%, 05/20/2036 PO | | | 73,472 | | | | 65,191 | |
4.42% (-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap), 06/20/2036 IO (1)(4) | | | 9,982 | | | | 621 | |
0.00%, 07/20/2036 PO | | | 10,885 | | | | 9,571 | |
6.50%, 07/20/2036 | | | 311,971 | | | | 350,420 | |
6.50%, 08/20/2036 | | | 409,246 | | | | 453,380 | |
4.62% (-1 x 1 Month LIBOR USD + 6.70%, 6.70% Cap), 10/20/2036 IO (1)(4) | | | 97,504 | | | | 9,876 | |
5.56%, 10/20/2036 | | | 189,712 | | | | 200,242 | |
4.72% (-1 x 1 Month LIBOR USD + 6.80%, 6.80% Cap), 11/20/2036 IO (1)(4) | | | 165,749 | | | | 22,001 | |
5.90%, 02/20/2037 (3) | | | 60,941 | | | | 67,204 | |
0.00%, 03/20/2037 PO | | | 205,756 | | | | 183,255 | |
4.12% (-1 x 1 Month LIBOR USD + 6.20%, 6.20% Cap), 03/20/2037 IO (1)(4) | | | 180,469 | | | | 22,457 | |
0.00%, 04/16/2037 PO | | | 98,515 | | | | 83,707 | |
4.72% (-1 x 1 Month LIBOR USD + 6.81%, 6.81% Cap), 04/16/2037 IO (1)(4) | | | 253,890 | | | | 38,486 | |
4.12% (-1 x 1 Month LIBOR USD + 6.20%, 6.20% Cap), 04/20/2037 IO (1)(4) | | | 97,631 | | | | 10,010 | |
6.05%, 04/20/2037 (3) | | | 121,194 | | | | 131,028 | |
2.39% (1 Month LIBOR USD + 0.30%, 0.30% Floor, 6.50% Cap), 05/16/2037 (1) | | | 68,852 | | | | 68,817 | |
0.00%, 05/20/2037 PO | | | 15,862 | | | | 13,391 | |
4.12% (-1 x 1 Month LIBOR USD + 6.20%, 6.20% Cap), 05/20/2037 IO (1)(4) | | | 203,363 | | | | 22,305 | |
4.12% (-1 x 1 Month LIBOR USD + 6.20%, 6.20% Cap), 05/20/2037 IO (1)(4) | | | 188,463 | | | | 19,696 | |
0.00%, 06/16/2037 PO | | | 283,247 | | | | 253,256 | |
0.00%, 06/16/2037 PO | | | 32,235 | | | | 28,465 | |
4.38% (-1 x 1 Month LIBOR USD + 6.47%, 6.47% Cap), 06/16/2037 IO (1)(4) | | | 138,227 | | | | 16,970 | |
4.17% (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap), 06/20/2037 IO (1)(4) | | | 159,072 | | | | 15,282 | |
4.56% (-1 x 1 Month LIBOR USD + 6.64%, 6.64% Cap), 07/20/2037 IO (1)(4) | | | 224,638 | | | | 26,538 | |
4.60% (-1 x 1 Month LIBOR USD + 6.68%, 6.68% Cap), 07/20/2037 IO (1)(4) | | | 226,116 | | | | 28,106 | |
4.67% (-1 x 1 Month LIBOR USD + 6.75%, 6.75% Cap), 07/20/2037 IO (1)(4) | | | 156,540 | | | | 20,058 | |
4.69% (-1 x 1 Month LIBOR USD + 6.78%, 6.78% Cap), 08/20/2037 IO (1)(4) | | | 56,353 | | | | 6,969 | |
0.00%, 09/20/2037 PO | | | 31,690 | | | | 29,881 | |
4.47% (-1 x 1 Month LIBOR USD + 6.55%, 6.55% Cap), 09/20/2037 IO (1)(4) | | | 147,729 | | | | 20,035 | |
| | | | | | | | |
13.95% (-3 x 1 Month LIBOR USD + 20.21%, 20.21% Cap), 09/20/2037 (1)(4) | | | 39,655 | | | | 47,523 | |
5.50%, 10/16/2037 IO | | | 239,503 | | | | 27,611 | |
9.23% (-2 x 1 Month LIBOR USD + 13.40%, 13.40% Cap), 10/20/2037 (1)(4) | | | 27,259 | | | | 29,427 | |
0.00%, 11/16/2037 PO | | | 316,336 | | | | 279,055 | |
4.45% (-1 x 1 Month LIBOR USD + 6.54%, 6.54% Cap), 11/16/2037 IO (1)(4) | | | 162,082 | | | | 16,592 | |
3.92% (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap), 11/20/2037 IO (1)(4) | | | 173,946 | | | | 20,438 | |
4.42% (-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap), 11/20/2037 IO (1)(4) | | | 333,758 | | | | 40,897 | |
4.43% (-1 x 1 Month LIBOR USD + 6.51%, 6.51% Cap), 11/20/2037 IO (1)(4) | | | 195,320 | | | | 21,940 | |
4.47% (-1 x 1 Month LIBOR USD + 6.55%, 6.55% Cap), 11/20/2037 IO (1)(4) | | | 152,138 | | | | 18,694 | |
13.70% (-3 x 1 Month LIBOR USD + 19.95%, 19.95% Cap), 11/20/2037 (1)(4) | | | 19,189 | | | | 24,445 | |
4.47% (-1 x 1 Month LIBOR USD + 6.55%, 6.55% Cap), 12/20/2037 IO (1)(4) | | | 237,617 | | | | 31,034 | |
0.00%, 01/20/2038 PO | | | 11,125 | | | | 9,190 | |
5.49%, 01/20/2038 (3) | | | 844,842 | | | | 918,793 | |
3.92% (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap), 02/20/2038 IO (1)(4) | | | 1,528,599 | | | | 179,920 | |
5.50%, 02/20/2038 IO | | | 37,767 | | | | 6,345 | |
5.61% (-1 x 1 Month LIBOR USD + 7.70%, 7.70% Cap), 04/16/2038 IO (1)(4) | | | 90,262 | | | | 13,634 | |
4.22% (-1 x 1 Month LIBOR USD + 6.30%, 6.30% Cap), 04/20/2038 IO (1)(4) | | | 239,003 | | | | 28,927 | |
4.31% (-1 x 1 Month LIBOR USD + 6.40%, 6.40% Cap), 05/16/2038 IO (1)(4) | | | 794,155 | | | | 102,855 | |
4.12% (-1 x 1 Month LIBOR USD + 6.20%, 6.20% Cap), 06/20/2038 IO (1)(4) | | | 57,973 | | | | 6,129 | |
6.00%, 06/20/2038 | | | 119,447 | | | | 131,822 | |
2.90% (1 Month LIBOR USD + 0.82%, 0.82% Floor, 7.00% Cap), 07/20/2038 (1) | | | 480,918 | | | | 488,826 | |
4.07% (-1 x 1 Month LIBOR USD + 6.15%, 6.15% Cap), 07/20/2038 IO (1)(4) | | | 207,693 | | | | 21,278 | |
5.75%, 07/20/2038 | | | 212,135 | | | | 220,819 | |
3.92% (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap), 08/20/2038 IO (1)(4) | | | 75,050 | | | | 6,748 | |
5.56%, 08/20/2038 (3) | | | 328,778 | | | | 361,438 | |
3.82% (-1 x 1 Month LIBOR USD + 5.90%, 5.90% Cap), 09/20/2038 IO (1)(4) | | | 245,361 | | | | 26,320 | |
4.12% (-1 x 1 Month LIBOR USD + 6.20%, 6.20% Cap), 09/20/2038 IO (1)(4) | | | 505,590 | | | | 51,029 | |
5.52% (-1 x 1 Month LIBOR USD + 7.60%, 7.60% Cap), 09/20/2038 IO (1)(4) | | | 106,490 | | | | 15,379 | |
6.11%, 11/20/2038 (3) | | | 205,165 | | | | 227,379 | |
4.31% (-1 x 1 Month LIBOR USD + 6.40%, 6.40% Cap), 12/16/2038 IO (1)(4) | | | 31,759 | | | | 642 | |
3.62% (-1 x 1 Month LIBOR USD + 5.70%, 5.70% Cap), 12/20/2038 IO (1)(4) | | | 256,106 | | | | 23,286 | |
3.92% (-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap), 12/20/2038 IO (1)(4) | | | 143,098 | | | | 12,505 | |
5.22% (-1 x 1 Month LIBOR USD + 7.30%, 7.30% Cap), 12/20/2038 IO (1)(4) | | | 452,729 | | | | 62,506 | |
5.85%, 12/20/2038 (3) | | | 715,193 | | | | 787,317 | |
6.00%, 12/20/2038 IO | | | 65,235 | | | | 6,265 | |
5.45%, 01/20/2039 (3) | | | 1,004,915 | | | | 1,067,999 | |
4.01% (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap), 02/16/2039 IO (1)(4) | | | 115,493 | | | | 13,978 | |
4.06% (-1 x 1 Month LIBOR USD + 6.15%, 6.15% Cap), 02/16/2039 IO (1)(4) | | | 178,093 | | | | 14,801 | |
3.87% (-1 x 1 Month LIBOR USD + 5.95%, 5.95% Cap), 02/20/2039 IO (1)(4) | | | 207,597 | | | | 19,592 | |
3.96% (-1 x 1 Month LIBOR USD + 6.04%, 6.04% Cap), 02/20/2039 IO (1)(4) | | | 126,486 | | | | 10,707 | |
| | | | | | | | |
4.22% (-1 x 1 Month LIBOR USD + 6.30%, 6.30% Cap), 03/20/2039 IO (1)(4) | | | 206,028 | | | | 15,113 | |
4.22% (-1 x 1 Month LIBOR USD + 6.30%, 6.30% Cap), 03/20/2039 IO (1)(4) | | | 53,606 | | | | 1,351 | |
6.50%, 03/20/2039 IO | | | 148,080 | | | | 38,994 | |
6.50%, 03/20/2039 IO | | | 64,374 | | | | 14,218 | |
4.19% (-1 x 1 Month LIBOR USD + 6.27%, 6.27% Cap), 04/20/2039 IO (1)(4) | | | 373,415 | | | | 37,842 | |
5.50%, 05/20/2039 IO | | | 44,608 | | | | 8,660 | |
6.00%, 05/20/2039 IO | | | 60,930 | | | | 13,611 | |
4.31% (-1 x 1 Month LIBOR USD + 6.40%, 6.40% Cap), 06/16/2039 IO (1)(4) | | | 245,772 | | | | 9,888 | |
3.87% (-1 x 1 Month LIBOR USD + 5.95%, 5.95% Cap), 06/20/2039 IO (1)(4) | | | 201,150 | | | | 22,719 | |
4.00% (-1 x 1 Month LIBOR USD + 6.08%, 6.08% Cap), 06/20/2039 IO (1)(4) | | | 285,485 | | | | 30,861 | |
4.01% (-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap), 07/16/2039 IO (1)(4) | | | 333,968 | | | | 31,326 | |
4.16% (-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap), 08/16/2039 IO (1)(4) | | | 313,600 | | | | 38,197 | |
7.00%, 08/16/2039 | | | 183,849 | | | | 199,746 | |
4.01% (-1 x 1 Month LIBOR USD + 6.09%, 6.09% Cap), 09/20/2039 IO (1)(4) | | | 487,707 | | | | 49,756 | |
5.50%, 09/20/2039 | | | 317,000 | | | | 363,581 | |
4.31% (-1 x 1 Month LIBOR USD + 6.40%, 6.40% Cap), 11/16/2039 IO (1)(4) | | | 401,668 | | | | 45,566 | |
6.00%, 12/20/2039 | | | 38,592 | | | | 38,712 | |
5.19%, 06/20/2040 (3) | | | 201,087 | | | | 215,651 | |
5.56%, 07/20/2040 (3) | | | 280,010 | | | | 305,668 | |
7.00%, 10/16/2040 | | | 572,527 | | | | 642,847 | |
0.00%, 12/20/2040 PO | | | 756,365 | | | | 611,803 | |
4.52% (-1 x 1 Month LIBOR USD + 6.60%, 6.60% Cap), 05/20/2041 IO (1)(4) | | | 384,380 | | | | 55,197 | |
4.67%, 09/20/2041 (3) | | | 407,816 | | | | 426,383 | |
4.60%, 10/20/2041 (3) | | | 818,095 | | | | 853,026 | |
4.53%, 11/16/2041 (3) | | | 437,785 | | | | 462,621 | |
3.00%, 12/20/2041 | | | 1,000,000 | | | | 944,430 | |
3.72%, 01/20/2042 (3) | | | 477,873 | | | | 486,059 | |
3.96%, 09/16/2042 (3) | | | 311,014 | | | | 318,195 | |
4.63%, 10/20/2042 (3) | | | 1,587,436 | | | | 1,649,125 | |
4.75%, 11/20/2042 (3) | | | 247,279 | | | | 259,389 | |
4.48%, 04/20/2043 (3) | | | 276,889 | | | | 282,271 | |
2.37% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 5.50% Cap), 03/20/2060 (1) | | | 22,594 | | | | 22,579 | |
2.35% (1 Month LIBOR USD + 0.43%, 0.43% Floor, 5.59% Cap), 04/20/2060 (1) | | | 530,779 | | | | 530,497 | |
5.24%, 07/20/2060 (3) | | | 1,381,798 | | | | 1,405,831 | |
2.22% (1 Month LIBOR USD + 0.30%, 0.30% Floor, 5.59% Cap), 08/20/2060 (1) | | | 24,126 | | | | 24,137 | |
2.39% (1 Month LIBOR USD + 0.47%, 0.47% Floor, 5.29% Cap), 01/20/2061 (1) | | | 1,617,045 | | | | 1,619,084 | |
2.42% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 10.66% Cap), 03/20/2061 (1) | | | 2,196,823 | | | | 2,203,866 | |
2.57% (1 Month LIBOR USD + 0.65%, 0.65% Floor), 05/20/2061 (1) | | | 446,378 | | | | 447,461 | |
2.62% (1 Month LIBOR USD + 0.70%, 0.70% Floor), 05/20/2061 (1) | | | 437,691 | | | | 438,883 | |
2.39% (1 Month LIBOR USD + 0.47%, 0.47% Floor), 08/20/2061 (1) | | | 608,100 | | | | 609,715 | |
| | | | | | | | |
2.47% (1 Month LIBOR USD + 0.55%, 0.55% Floor), 10/20/2061 (1) | | | 571,281 | | | | 572,180 | |
2.47% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 10.50% Cap), 12/20/2061 (1) | | | 6,475,237 | | | | 6,502,239 | |
2.47% (1 Month LIBOR USD + 0.55%, 0.55% Floor), 04/20/2062 (1) | | | 279,635 | | | | 280,140 | |
2.62% (1 Month LIBOR USD + 0.70%, 0.70% Floor, 11.00% Cap), 04/20/2062 (1) | | | 945,518 | | | | 956,540 | |
2.37% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 5.50% Cap), 05/20/2062 (1) | | | 109,486 | | | | 109,617 | |
2.47% (1 Month LIBOR USD + 0.55%, 0.55% Floor), 07/20/2062 (1) | | | 372,388 | | | | 373,046 | |
2.50% (1 Month LIBOR USD + 0.58%, 0.58% Floor), 09/20/2062 (1) | | | 1,471,310 | | | | 1,475,017 | |
2.51% (1 Month LIBOR USD + 0.59%, 0.59% Floor, 5.50% Cap), 09/20/2062 (1) | | | 278,638 | | | | 278,707 | |
2.42% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 5.00% Cap), 10/20/2062 (1) | | | 307,363 | | | | 307,775 | |
2.43% (1 Month LIBOR USD + 0.52%, 0.52% Floor, 11.50% Cap), 10/20/2062 (1) | | | 2,762,656 | | | | 2,771,281 | |
2.52% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 4.60% Cap), 10/20/2062 (1) | | | 354,975 | | | | 356,101 | |
2.22% (1 Month LIBOR USD + 0.30%, 0.30% Floor), 11/20/2062 (1) | | | 54,022 | | | | 54,050 | |
2.26% (1 Month LIBOR USD + 0.34%, 0.34% Floor, 11.00% Cap), 12/20/2062 (1) | | | 2,412,478 | | | | 2,410,081 | |
1.65%, 01/20/2063 | | | 2,535,285 | | | | 2,494,740 | |
2.24% (1 Month LIBOR USD + 0.32%, 0.32% Floor, 10.50% Cap), 01/20/2063 (1) | | | 1,260,738 | | | | 1,258,809 | |
2.42% (1 Month LIBOR USD + 0.50%, 0.50% Floor), 01/20/2063 (1) | | | 340,371 | | | | 340,763 | |
1.65%, 02/20/2063 | | | 3,317,170 | | | | 3,264,137 | |
2.34% (1 Month LIBOR USD + 0.42%, 0.42% Floor, 10.50% Cap), 02/20/2063 (1) | | | 258,358 | | | | 258,873 | |
2.37% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 11.00% Cap), 02/20/2063 (1) | | | 1,449,621 | | | | 1,452,494 | |
2.33% (1 Month LIBOR USD + 0.41%, 0.41% Floor, 11.00% Cap), 03/20/2063 (1) | | | 1,046,941 | | | | 1,047,939 | |
2.39% (1 Month LIBOR USD + 0.47%, 0.47% Floor, 10.50% Cap), 03/20/2063 (1) | | | 341,009 | | | | 341,821 | |
1.65%, 04/20/2063 | | | 1,076,754 | | | | 1,052,937 | |
2.39% (1 Month LIBOR USD + 0.47%, 0.47% Floor, 11.00% Cap), 06/20/2063 (1) | | | 2,758,563 | | | | 2,765,222 | |
2.57% (1 Month LIBOR USD + 0.65%, 0.65% Floor, 11.00% Cap), 01/20/2064 (1) | | | 2,888,700 | | | | 2,911,252 | |
2.57% (1 Month LIBOR USD + 0.65%, 0.65% Floor, 11.00% Cap), 02/20/2064 (1) | | | 6,079,211 | | | | 6,126,595 | |
2.61% (1 Month LIBOR USD + 0.69%, 0.69% Floor, 11.00% Cap), 02/20/2064 (1) | | | 3,018,231 | | | | 3,057,335 | |
2.57% (1 Month LIBOR USD + 0.65%, 0.65% Floor, 11.00% Cap), 03/20/2064 (1) | | | 3,033,213 | | | | 3,054,818 | |
2.52% (1 Month LIBOR USD + 0.60%, 0.60% Floor), 04/20/2064 (1) | | | 3,240,117 | | | | 3,270,639 | |
2.52% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 11.00% Cap), 04/20/2064 (1) | | | 3,656,857 | | | | 3,679,561 | |
2.52% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 11.00% Cap), 05/20/2064 (1) | | | 5,609,344 | | | | 5,662,979 | |
2.42% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 11.00% Cap), 06/20/2064 (1) | | | 2,390,041 | | | | 2,403,409 | |
2.39% (1 Month LIBOR USD + 0.47%, 0.47% Floor, 11.00% Cap), 07/20/2064 (1) | | | 3,922,551 | | | | 3,932,735 | |
2.42% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 11.00% Cap), 07/20/2064 (1) | | | 2,481,407 | | | | 2,495,038 | |
2.42% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 11.00% Cap), 07/20/2064 (1) | | | 1,891,324 | | | | 1,901,706 | |
2.39% (1 Month LIBOR USD + 0.47%, 0.47% Floor, 11.00% Cap), 09/20/2064 (1) | | | 3,988,342 | | | | 4,003,746 | |
2.52% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 7.00% Cap), 10/20/2064 (1) | | | 1,347,739 | | | | 1,355,397 | |
2.42% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 11.00% Cap), 12/20/2064 (1) | | | 3,585,206 | | | | 3,596,986 | |
2.35% (1 Month LIBOR USD + 0.47%, 11.00% Cap), 02/20/2065 (1) | | | 2,246,751 | | | | 2,253,252 | |
2.40% (1 Month LIBOR USD + 0.48%, 0.48% Floor, 11.00% Cap), 02/20/2065 (1) | | | 3,946,329 | | | | 3,964,094 | |
2.40% (1 Month LIBOR USD + 0.48%, 0.48% Floor, 11.00% Cap), 03/20/2065 (1) | | | 7,875,733 | | | | 7,910,217 | |
| | | | | | | | |
2.40% (1 Month LIBOR USD + 0.48%, 11.00% Cap), 04/20/2065 (1) | | | 5,602,620 | | | | 5,628,514 | |
2.37% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 11.00% Cap), 06/20/2065 (1) | | | 1,821,954 | | | | 1,826,293 | |
2.36% (1 Month LIBOR USD + 0.44%, 0.44% Floor, 11.00% Cap), 07/20/2065 (1) | | | 3,546,041 | | | | 3,556,851 | |
2.39% (1 Month LIBOR USD + 0.47%, 0.47% Floor, 11.00% Cap), 08/20/2065 (1) | | | 582,063 | | | | 584,558 | |
2.52% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 11.00% Cap), 11/20/2065 (1) | | | 6,680,821 | | | | 6,748,340 | |
2.92% (1 Month LIBOR USD + 1.00%, 1.00% Floor), 12/20/2066 (1) | | | 2,236,772 | | | | 2,291,157 | |
2.48% (1 Month LIBOR USD + 0.56%, 0.56% Floor, 11.00% Cap), 03/20/2067 (1) | | | 6,733,607 | | | | 6,791,893 | |
2.09% (12 Month LIBOR USD + 0.00%), 05/20/2067 IO (1) | | | 14,821,868 | | | | 2,174,103 | |
2.15% (12 Month LIBOR USD + 0.00%), 06/20/2067 IO (1) | | | 14,808,393 | | | | 1,590,780 | |
2.42% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 11.00% Cap), 06/20/2067 (1) | | | 7,275,301 | | | | 7,314,063 | |
2.37% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 11.00% Cap), 08/20/2067 (1) | | | 3,799,988 | | | | 3,806,390 | |
GS Mortgage Securities Co. II | | | | | | | | |
2.71%, 12/10/2027 (2) | | | 1,170,119 | | | | 1,164,916 | |
3.38%, 05/10/2050 | | | 12,817 | | | | 12,639 | |
GS Mortgage Securities Co. Trust 2012-ALOHA | | | | | | | | |
3.55%, 04/10/2034 (2) | | | 4,200,000 | | | | 4,232,151 | |
GS Mortgage Securities Co. Trust 2012-SHOP | | | | | | | | |
1.44%, 06/05/2031 IO (2)(3) | | | 7,793,000 | | | | 70,153 | |
GS Mortgage Securities Trust 2006-GG8 | | | | | | | | |
1.08%, 11/10/2039 IO (2)(3) | | | 1,586,563 | | | | 76 | |
GS Mortgage Securities Trust 2011-GC5 | | | | | | | | |
5.56%, 08/10/2044 (2)(3) | | | 500,000 | | | | 486,644 | |
GS Mortgage Securities Trust 2012-GCJ9 | | | | | | | | |
2.77%, 11/10/2045 | | | 13,183,412 | | | | 12,889,365 | |
GS Mortgage Securities Trust 2013-GC13 | | | | | | | | |
3.87%, 07/10/2046 (3) | | | 5,880,000 | | | | 6,000,472 | |
GS Mortgage Securities Trust 2013-GC16 | | | | | | | | |
1.56%, 11/10/2046 IO (3) | | | 22,020,800 | | | | 799,575 | |
GS Mortgage Securities Trust 2013-GCJ12 | | | | | | | | |
3.14%, 06/10/2046 | | | 1,003,000 | | | | 991,694 | |
GS Mortgage Securities Trust 2014-GC18 | | | | | | | | |
3.80%, 01/10/2047 | | | 6,034,000 | | | | 6,149,832 | |
4.07%, 01/10/2047 | | | 2,600,000 | | | | 2,676,272 | |
GS Mortgage Securities Trust 2014-GC26 | | | | | | | | |
3.36%, 11/10/2047 | | | 8,000,000 | | | | 7,918,564 | |
GS Mortgage Securities Trust 2015-GC28 | | | | | | | | |
3.14%, 02/10/2048 | | | 9,000,000 | | | | 8,771,010 | |
GS Mortgage Securities Trust 2016-GS4 | | | | | | | | |
3.44%, 11/10/2049 (3) | | | 1,317,000 | | | | 1,291,039 | |
3.18%, 11/15/2049 | | | 12,000,000 | | | | 11,564,015 | |
| | | | | | | | |
GSMPS Mortgage Loan Trust 2004-4 | | | | | | | | |
2.49% (1 Month LIBOR USD + 0.40%, 0.40% Floor), 06/25/2034 (1)(2) | | | 61,539 | | | | 55,823 | |
GSMPS Mortgage Loan Trust 2005-RP2 | | | | | | | | |
2.44% (1 Month LIBOR USD + 0.35%, 0.35% Floor), 03/25/2035 (1)(2) | | | 113,113 | | | | 105,753 | |
GSMPS Mortgage Loan Trust 2005-RP3 | | | | | | | | |
2.44% (1 Month LIBOR USD + 0.35%, 0.35% Floor, 9.50% Cap), 09/25/2035 (1)(2) | | | 698,013 | | | | 627,126 | |
2.60%, 09/25/2035 IO (2)(3) | | | 514,621 | | | | 35,994 | |
GSR Mortgage Loan Trust 2003-3F | | | | | | | | |
5.75%, 04/25/2033 | | | 24,189 | | | | 24,962 | |
GSR Mortgage Loan Trust 2003-6F | | | | | | | | |
2.49% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.50% Cap), 09/25/2032 (1) | | | 6,720 | | | | 6,654 | |
GSR Mortgage Loan Trust 2004-13F | | | | | | | | |
6.00%, 11/25/2034 | | | 76,272 | | | | 78,464 | |
GSR Mortgage Loan Trust 2004-6F | | | | | | | | |
5.50%, 05/25/2034 | | | 102,668 | | | | 105,478 | |
6.50%, 05/25/2034 | | | 62,063 | | | | 66,306 | |
GSR Mortgage Loan Trust 2005-5F | | | | | | | | |
2.59% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 5.50% Cap), 06/25/2035 (1) | | | 31,021 | | | | 29,621 | |
GSR Mortgage Loan Trust 2005-7F | | | | | | | | |
6.00%, 09/25/2035 | | | 142,075 | | | | 149,751 | |
GSR Mortgage Loan Trust 2005-AR6 | | | | | | | | |
3.98%, 09/25/2035 (3) | | | 10,741 | | | | 10,793 | |
GSR Mortgage Loan Trust 2006-1F | | | | | | | | |
5.50%, 02/25/2036 | | | 75,046 | | | | 85,456 | |
6.00%, 02/25/2036 | | | 378,934 | | | | 325,109 | |
Headlands Residential LLC | | | | | | | | |
3.88%, 08/25/2022 (8)(2) | | | 6,170,000 | | | | 6,075,414 | |
HomeBanc Mortgage Trust 2005-3 | | | | | | | | |
2.33% (1 Month LIBOR USD + 0.24%, 0.24% Floor, 11.50% Cap), 07/25/2035 (1) | | | 729,643 | | | | 724,569 | |
Impac CMB Trust Series 2004-4 | | | | | | | | |
4.51%, 09/25/2034 (8) | | | 10,086 | | | | 10,244 | |
Impac CMB Trust Series 2004-7 | | | | | | | | |
2.83% (1 Month LIBOR USD + 0.74%, 11.25% Cap), 11/25/2034 (1) | | | 1,126,704 | | | | 1,125,178 | |
Impac CMB Trust Series 2005-4 | | | | | | | | |
2.69% (1 Month LIBOR USD + 0.60%, 0.30% Floor, 10.25% Cap), 05/25/2035 (1) | | | 121,818 | | | | 120,568 | |
Impac Secured Assets CMN Owner Trust | | | | | | | | |
5.50%, 08/25/2033 | | | 85,177 | | | | 88,729 | |
2.89% (1 Month LIBOR USD + 0.80%, 11.25% Cap), 11/25/2034 (1) | | | 886 | | | | 884 | |
Impac Secured Assets Trust 2006-1 | | | | | | | | |
2.44% (1 Month LIBOR USD + 0.35%, 0.35% Floor, 11.50% Cap), 05/25/2036 (1) | | | 456,154 | | | | 451,320 | |
| | | | | | | | |
Impac Secured Assets Trust 2006-2 | | | | | | | | |
2.44% (1 Month LIBOR USD + 0.35%, 0.35% Floor, 11.50% Cap), 08/25/2036 (1) | | | 396,763 | | | | 389,289 | |
Independence Plaza Trust 2018-INDP | | | | | | | | |
3.76%, 07/10/2035 (2) | | | 5,445,000 | | | | 5,455,088 | |
JP Morgan Alternative Loan Trust | | | | | | | | |
3.65%, 03/25/2036 (3) | | | 38,989 | | | | 35,229 | |
JP Morgan Chase Commercial Mortgage Securities Corp. | | | | | | | | |
3.46%, 03/15/2050 | | | 20,000,000 | | | | 19,599,668 | |
JP Morgan Chase Commercial Mortgage Securities Trust 2005-CIBC11 | | | | | | | | |
0.03%, 08/12/2037 IO (2)(3) | | | 7,447,140 | | | | 2,088 | |
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP5 | | | | | | | | |
0.00%, 12/15/2044 IO (2)(3)(12) | | | 3,005,516 | | | | 30 | |
JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC15 | | | | | | | | |
0.39%, 06/12/2043 IO (3) | | | 4,397,841 | | | | 5,092 | |
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9 | | | | | | | | |
2.23% (1 Month LIBOR USD + 0.16%, 0.16% Floor), 05/15/2047 (1) | | | 153,407 | | | | 152,982 | |
5.34%, 05/15/2047 | | | 413,000 | | | | 415,448 | |
JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP12 | | | | | | | | |
0.00%, 02/15/2051 IO (3)(12) | | | 5,306,911 | | | | 53 | |
JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8 | | | | | | | | |
2.38%, 10/15/2045 | | | 6,862,923 | | | | 6,770,164 | |
JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11 | | | | | | | | |
2.96%, 04/15/2046 | | | 7,152,087 | | | | 7,014,922 | |
JP Morgan Mortgage Trust 2004-A3 | | | | | | | | |
4.55%, 07/25/2034 (3) | | | 41,548 | | | | 42,810 | |
JP Morgan Mortgage Trust 2004-A4 | | | | | | | | |
4.34%, 09/25/2034 (3) | | | 48,082 | | | | 49,332 | |
JP Morgan Mortgage Trust 2004-S1 | | | | | | | | |
5.00%, 09/25/2034 | | | 12,927 | | | | 13,084 | |
JP Morgan Mortgage Trust 2005-A1 | | | | | | | | |
3.86%, 02/25/2035 (3) | | | 150,503 | | | | 154,443 | |
JP Morgan Mortgage Trust 2005-A4 | | | | | | | | |
4.16%, 07/25/2035 (3) | | | 178,859 | | | | 179,721 | |
JP Morgan Mortgage Trust 2006-A2 | | | | | | | | |
3.62%, 11/25/2033 (3) | | | 436,457 | | | | 445,362 | |
4.17%, 08/25/2034 (3) | | | 731,948 | | | | 739,535 | |
JP Morgan Mortgage Trust 2006-A3 | | | | | | | | |
3.68%, 08/25/2034 (3) | | | 93,739 | | | | 93,258 | |
JP Morgan Mortgage Trust 2006-A7 | | | | | | | | |
3.61%, 01/25/2037 (3) | | | 82,286 | | | | 77,875 | |
3.61%, 01/25/2037 (3) | | | 144,342 | | | | 136,603 | |
| | | | | | | | |
JP Morgan Mortgage Trust 2007-A1 | | | | | | | | |
3.69%, 07/25/2035 (3) | | | 93,713 | | | | 96,017 | |
3.69%, 07/25/2035 (3) | | | 1,429,510 | | | | 1,470,794 | |
JP Morgan Mortgage Trust 2007-A2 | | | | | | | | |
3.75%, 04/25/2037 (3) | | | 312,498 | | | | 299,684 | |
JPMBB Commercial Mortgage Securities Trust 2013-C17 | | | | | | | | |
3.93%, 01/15/2047 | | | 6,225,000 | | | | 6,347,330 | |
JPMBB Commercial Mortgage Securities Trust 2014-C19 | | | | | | | | |
3.67%, 04/15/2047 | | | 2,010,000 | | | | 2,034,933 | |
JPMBB Commercial Mortgage Securities Trust 2014-C24 | | | | | | | | |
3.10%, 11/15/2047 | | | 13,000,000 | | | | 12,913,464 | |
JPMBB Commercial Mortgage Securities Trust 2014-C25 | | | | | | | | |
3.41%, 11/15/2047 | | | 13,000,000 | | | | 12,907,261 | |
JPMBB Commercial Mortgage Securities Trust 2015-C28 | | | | | | | | |
2.77%, 10/15/2048 | | | 3,200,000 | | | | 3,186,370 | |
JPMBB Commercial Mortgage Securities Trust 2016-C1 | | | | | | | | |
3.31%, 03/15/2049 | | | 10,000,000 | | | | 9,778,552 | |
JPMCC Commercial Mortgage Securities Trust 2017-JP7 | | | | | | | | |
3.19%, 09/15/2050 | | | 20,000,000 | | | | 19,220,698 | |
Ladder Capital Commercial Mortgage 2013-GCP Mortgage Trust | | | | | | | | |
3.99%, 02/15/2036 (2) | | | 1,027,000 | | | | 1,022,537 | |
LB-UBS Commercial Mortgage Trust 2007-C2 | | | | | | | | |
0.35%, 02/15/2040 IO (3) | | | 892,201 | | | | 46 | |
LCCM 2017-LC26 | | | | | | | | |
3.29%, 07/12/2050 (2) | | | 20,300,000 | | | | 19,492,044 | |
Lehman Mortgage Trust 2006-2 | | | | | | | | |
5.76%, 04/25/2036 (3) | | | 64,668 | | | | 58,831 | |
Lehman Mortgage Trust 2007-6 | | | | | | | | |
6.00%, 07/25/2037 | | | 42,367 | | | | 40,688 | |
Lehman Mortgage Trust 2008-2 | | | | | | | | |
6.00%, 03/25/2038 | | | 358,234 | | | | 270,338 | |
Luminent Mortgage Trust 2005-1 | | | | | | | | |
2.35% (1 Month LIBOR USD + 0.26%, 0.26% Floor, 11.50% Cap), 11/25/2035 (1) | | | 1,864,558 | | | | 1,817,544 | |
MASTR Adjustable Rate Mortgages Trust 2004-13 | | | | | | | | |
3.81%, 04/21/2034 (3) | | | 192,580 | | | | 197,597 | |
MASTR Adjustable Rate Mortgages Trust 2004-15 | | | | | | | | |
4.09%, 12/25/2034 (3) | | | 40,399 | | | | 39,092 | |
MASTR Adjustable Rate Mortgages Trust 2004-3 | | | | | | | | |
3.36%, 04/25/2034 (3) | | | 67,362 | | | | 62,945 | |
| | | | | | | | |
MASTR Alternative Loan Trust 2003-9 | | | | | | | | |
6.00%, 12/25/2033 | | | 54,076 | | | | 56,002 | |
6.00%, 01/25/2034 | | | 26,287 | | | | 27,072 | |
MASTR Alternative Loan Trust 2004-1 | | | | | | | | |
5.00%, 01/25/2019 | | | 2,416 | | | | 2,413 | |
MASTR Alternative Loan Trust 2004-10 | | | | | | | | |
4.50%, 09/25/2019 | | | 3,674 | | | | 3,681 | |
MASTR Alternative Loan Trust 2004-13 | | | | | | | | |
5.50%, 01/25/2020 | | | 143,584 | | | | 144,492 | |
MASTR Alternative Loan Trust 2004-2 | | | | | | | | |
5.00%, 02/25/2019 | | | 266 | | | | 266 | |
MASTR Alternative Loan Trust 2004-3 | | | | | | | | |
6.00%, 04/25/2034 | | | 220,748 | | | | 231,473 | |
6.25%, 04/25/2034 | | | 51,379 | | | | 53,472 | |
MASTR Alternative Loan Trust 2004-6 | | | | | | | | |
0.00%, 07/25/2034 PO | | | 32,863 | | | | 27,188 | |
6.00%, 07/25/2034 | | | 21,084 | | | | 21,567 | |
MASTR Alternative Loan Trust 2004-7 | | | | | | | | |
0.00%, 08/25/2034 PO | | | 27,648 | | | | 22,990 | |
MASTR Alternative Loan Trust 2004-8 | | | | | | | | |
5.50%, 09/25/2019 | | | 13,622 | | | | 13,786 | |
MASTR Alternative Loan Trust 2005-6 | | | | | | | | |
5.50%, 11/25/2020 | | | 40,040 | | | | 38,699 | |
MASTR Asset Securitization Trust | | | | | | | | |
4.50%, 12/25/2018 | | | 432 | | | | 432 | |
MASTR Asset Securitization Trust 2003-12 | | | | | | | | |
0.00%, 12/25/2033 PO | | | 4,067 | | | | 3,804 | |
5.00%, 12/25/2033 | | | 11,940 | | | | 12,014 | |
MASTR Asset Securitization Trust 2004-1 | | | | | | | | |
0.00%, 02/25/2034 PO | | | 2,902 | | | | 2,466 | |
MASTR Asset Securitization Trust 2004-4 | | | | | | | | |
4.50%, 04/25/2019 | | | 303 | | | | 302 | |
5.25%, 12/26/2033 | | | 66,705 | | | | 68,738 | |
MASTR Asset Securitization Trust 2004-6 | | | | | | | | |
0.00%, 07/25/2019 PO | | | 579 | | | | 575 | |
MASTR Asset Securitization Trust 2004-8 | | | | | | | | |
0.00%, 08/25/2019 PO | | | 662 | | | | 637 | |
4.75%, 08/25/2019 | | | 2,775 | | | | 2,787 | |
MASTR Asset Securitization Trust 2004-9 | | | | | | | | |
5.25%, 09/25/2019 | | | 7,001 | | | | 7,027 | |
| | | | | | | | |
MASTR Reperforming Loan Trust 2005-2 | | | | | | | | |
2.44% (1 Month LIBOR USD + 0.35%, 0.35% Floor, 9.50% Cap), 05/25/2035 (1)(2) | | | 963,129 | | | | 787,507 | |
MASTR Reperforming Loan Trust 2006-2 | | | | | | | | |
4.40%, 05/25/2036 (2)(3) | | | 117,191 | | | | 106,231 | |
MASTR Resecuritization Trust 2005 | | | | | | | | |
0.00%, 05/28/2035 PO (2) | | | 34,356 | | | | 27,711 | |
Merrill Lynch Mortgage Backed Securities Trust Series 2007-3 | | | | | | | | |
2.80%, 06/25/2037 (3) | | | 179,107 | | | | 174,918 | |
Merrill Lynch Mortgage Investors Trust Series 2003-A5 | | | | | | | | |
3.83%, 08/25/2033 (3) | | | 58,934 | | | | 60,898 | |
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E | | | | | | | | |
2.71% (1 Month LIBOR USD + 0.62%, 0.31% Floor, 11.75% Cap), 10/25/2028 (1) | | | 114,881 | | | | 114,057 | |
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-F | | | | | | | | |
2.73% (1 Month LIBOR USD + 0.64%, 0.32% Floor, 11.75% Cap), 10/25/2028 (1) | | | 135,377 | | | | 134,053 | |
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-1 | | | | | | | | |
3.57%, 12/25/2034 (3) | | | 116,442 | | | | 117,333 | |
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A | | | | | | | | |
2.55% (1 Month LIBOR USD + 0.46%, 0.23% Floor, 11.75% Cap), 04/25/2029 (1) | | | 45,859 | | | | 45,228 | |
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C | | | | | | | | |
3.10% (6 Month LIBOR USD + 0.60%, 0.30% Floor, 11.75% Cap), 07/25/2029 (1) | | | 95,843 | | | | 94,441 | |
Merrill Lynch Mortgage Investors Trust Series MLMI 2004-A4 | | | | | | | | |
3.68%, 08/25/2034 (3) | | | 106,794 | | | | 109,478 | |
Merrill Lynch Mortgage Investors Trust Series MLMI 2005-A2 | | | | | | | | |
3.54%, 02/25/2035 (3) | | | 168,371 | | | | 170,578 | |
ML Trust XLVII | | | | | | | | |
8.99%, 10/20/2020 | | | 137 | | | | 140 | |
ML-CFC Commercial Mortgage Trust 2006-4 | | | | | | | | |
0.71%, 12/12/2049 IO (2)(3) | | | 913,867 | | | | 23 | |
Morgan Stanley | | | | | | | | |
5.66%, 04/25/2034 (3) | | | 236,131 | | | | 248,446 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6 | | | | | | | | |
2.86%, 11/15/2045 | | | 9,144,055 | | | | 8,979,179 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C10 | | | | | | | | |
4.22%, 07/15/2046 (3) | | | 1,209,000 | | | | 1,243,484 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12 | | | | | | | | |
4.26%, 10/15/2046 (3) | | | 1,564,000 | | | | 1,619,083 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14 | | | | | | | | |
2.92%, 02/15/2047 | | | 8,719,876 | | | | 8,721,816 | |
3.67%, 02/15/2047 | | | 4,400,000 | | | | 4,443,538 | |
4.06%, 02/15/2047 | | | 725,000 | | | | 746,268 | |
| | | | | | | | |
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20 | | | | | | | | |
3.25%, 02/15/2048 | | | 3,415,000 | | | | 3,346,638 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23 | | | | | | | | |
3.45%, 07/15/2050 | | | 27,200,000 | | | | 26,919,356 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24 | | | | | | | | |
3.48%, 05/15/2048 | | | 5,000,000 | | | | 4,954,151 | |
3.73%, 05/15/2048 | | | 5,794,000 | | | | 5,822,438 | |
Morgan Stanley Capital I Trust 2006-IQ12 | | | | | | | | |
0.66%, 12/15/2043 IO (2)(3) | | | 1,529,534 | | | | 40 | |
Morgan Stanley Capital I Trust 2007-HQ11 | | | | | | | | |
0.53%, 02/12/2044 IO (2)(3) | | | 533,993 | | | | 246 | |
Morgan Stanley Capital I Trust 2007-HQ13 | | | | | | | | |
0.00%, 12/15/2044 IO (2)(3)(12) | | | 479,505 | | | | 5 | |
Morgan Stanley Capital I Trust 2007-IQ13 | | | | | | | | |
0.53%, 03/15/2044 IO (2)(3) | | | 1,139,410 | | | | 3,096 | |
Morgan Stanley Capital I Trust 2011-C3 | | | | | | | | |
4.05%, 07/15/2049 | | | 498,135 | | | | 502,916 | |
Morgan Stanley Capital I Trust 2012-C4 | | | | | | | | |
2.99%, 03/15/2045 | | | 499,710 | | | | 499,322 | |
Morgan Stanley Capital I Trust 2014-CPT | | | | | | | | |
3.35%, 07/13/2029 (2) | | | 4,241,000 | | | | 4,255,211 | |
Morgan Stanley Capital I Trust 2016-UB11 | | | | | | | | |
2.53%, 08/15/2049 | | | 20,000,000 | | | | 18,424,402 | |
Morgan Stanley Capital I, Inc. | | | | | | | | |
4.18%, 07/15/2051 | | | 3,366,000 | | | | 3,465,078 | |
Morgan Stanley Mortgage Loan Trust 2004-9 | | | | | | | | |
4.30%, 10/25/2019 (3) | | | 26,962 | | | | 26,239 | |
Morgan Stanley Reremic Trust | | | | | | | | |
0.25%, 07/27/2049 (2) | | | 401,138 | | | | 394,732 | |
1.00%, 03/27/2051 (2) | | | 178,949 | | | | 177,460 | |
MortgageIT Trust 2005-2 | | | | | | | | |
2.61% (1 Month LIBOR USD + 0.52%, 0.26% Floor, 11.50% Cap), 05/25/2035 (1) | | | 1,032,519 | | | | 1,035,149 | |
MortgageIT Trust 2005-3 | | | | | | | | |
2.69% (1 Month LIBOR USD + 0.60%, 0.30% Floor, 11.50% Cap), 08/25/2035 (1) | | | 3,180,240 | | | | 3,106,703 | |
MRFC Mortgage Pass-Through Trust Series 1999-TBC2 | | | | | | | | |
2.55% (1 Month LIBOR USD + 0.48%, 0.24% Floor, 10.00% Cap), 06/15/2030 (1) | | | 270,764 | | | | 259,980 | |
MRFC Mortgage Pass-Through Trust Series 2000-TBC3 | | | | | | | | |
2.51% (1 Month LIBOR USD + 0.44%, 0.22% Floor, 10.00% Cap), 12/15/2030 (1) | | | 59,879 | | | | 57,993 | |
NACC Reperforming Loan REMIC Trust 2004-R2 | | | | | | | | |
6.50%, 10/25/2034 (2)(3) | | | 66,316 | | | | 66,619 | |
| | | | | | | | |
NCUA Guaranteed Notes Trust 2010-R3 | | | | | | | | |
2.40%, 12/08/2020 | | | 137,441 | | | | 137,123 | |
2.58% (1 Month LIBOR USD + 0.56%, 0.56% Floor, 8.00% Cap), 12/08/2020 (1) | | | 1,373,640 | | | | 1,379,632 | |
New Residential Mortgage Loan Trust 2017-2 | | | | | | | | |
4.00%, 03/25/2057 (2)(3) | | | 4,540,467 | | | | 4,603,448 | |
New Residential Mortgage Loan Trust 2017-3 | | | | | | | | |
4.00%, 04/25/2057 (2)(3) | | | 7,801,159 | | | | 7,876,267 | |
New Residential Mortgage Loan Trust 2017-4 | | | | | | | | |
4.00%, 05/25/2057 (2)(3) | | | 5,346,934 | | | | 5,409,808 | |
Nomura Asset Acceptance Co. Alternative Loan Trust Series 2003-A1 | | | | | | | | |
7.00%, 04/25/2033 | | | 7,954 | | | | 8,155 | |
5.50%, 05/25/2033 | | | 9,819 | | | | 10,072 | |
6.00%, 05/25/2033 | | | 21,049 | | | | 21,399 | |
PaineWebber CMO Trust Series P | | | | | | | | |
8.50%, 08/01/2019 | | | 119 | | | | 121 | |
PFP 2017-3 Ltd. | | | | | | | | |
3.82% (1 Month LIBOR USD + 1.75%), 01/14/2035 (1)(2) | | | 2,000,000 | | | | 2,002,543 | |
4.57% (1 Month LIBOR USD + 2.50%), 01/14/2035 (1)(2) | | | 2,000,000 | | | | 2,005,611 | |
Prime Mortgage Trust 2004-CL1 | | | | | | | | |
6.00%, 02/25/2034 | | | 89,118 | | | | 93,997 | |
Provident Funding Mortgage Loan Trust 2005-1 | | | | | | | | |
3.81%, 05/25/2035 (3) | | | 30,715 | | | | 30,119 | |
Radnor RE 2018-1 Ltd. | | | | | | | | |
3.49% (1 Month LIBOR USD + 1.40%), 03/25/2028 (1)(2) | | | 4,890,000 | | | | 4,888,208 | |
RAIT 2015-FL5 Trust | | | | | | | | |
5.95% (1 Month LIBOR USD + 3.90%), 01/15/2031 (1)(2) | | | 1,485,000 | | | | 1,484,881 | |
RALI Series 2002-QS16 Trust | | | | | | | | |
12.25% (-2 x 1 Month LIBOR USD + 16.62%, 16.62% Cap), 10/25/2018 (1)(4) | | | 638 | | | | 662 | |
RALI Series 2002-QS8 Trust | | | | | | | | |
6.25%, 06/25/2019 | | | 1,600 | | | | 1,596 | |
RALI Series 2003-QS14 Trust | | | | | | | | |
5.00%, 07/25/2018 | | | 9,224 | | | | 9,169 | |
RALI Series 2003-QS18 Trust | | | | | | | | |
5.00%, 09/25/2018 | | | 2,146 | | | | 2,142 | |
RALI Series 2003-QS3 Trust | | | | | | | | |
11.90% (-2 x 1 Month LIBOR USD + 16.50%, 16.50% Cap), 02/25/2019 (1)(4) | | | 364 | | | | 380 | |
RALI Series 2003-QS9 Trust | | | | | | | | |
5.46% (-1 x 1 Month LIBOR USD + 7.55%, 7.55% Cap), 05/25/2019 IO (1)(4) | | | 2,036 | | | | 0 | |
RALI Series 2004-QS6 Trust | | | | | | | | |
5.00%, 05/25/2019 | | | 2,898 | | | | 2,882 | |
| | | | | | | | |
RALI Series 2005-QA6 Trust | | | | | | | | |
4.98%, 05/25/2035 (3) | | | 139,652 | | | | 113,608 | |
RALI Series 2007-QS1 Trust | | | | | | | | |
6.00%, 01/25/2037 | | | 19,176 | | | | 17,867 | |
RBS Commercial Funding, Inc. 2013-SMV Trust | | | | | | | | |
3.26%, 03/11/2031 (2) | | | 512,000 | | | | 503,152 | |
RBSSP Resecuritization Trust 2009-1 | | | | | | | | |
6.50%, 02/26/2036 (2)(3) | | | 272,650 | | | | 285,423 | |
RBSSP Resecuritization Trust 2009-12 | | | | | | | | |
5.62%, 11/25/2033 (2)(3) | | | 247,116 | | | | 252,358 | |
RBSSP Resecuritization Trust 2009-2 | | | | | | | | |
7.00%, 08/26/2037 (2)(3) | | | 11,403 | | | | 11,408 | |
Reperforming Loan REMIC Trust 2005-R1 | | | | | | | | |
0.00%, 03/25/2035 PO (2) | | | 8,345 | | | | 7,219 | |
Residential Asset Securitization Trust 2003-A14 | | | | | | | | |
4.75%, 02/25/2019 | | | 506 | | | | 476 | |
Residential Asset Securitization Trust 2003-A8 | | | | | | | | |
4.25%, 10/25/2018 | | | 8,333 | | | | 8,181 | |
Residential Asset Securitization Trust 2004-A7 | | | | | | | | |
5.50%, 10/25/2034 | | | 2,067,685 | | | | 2,077,647 | |
Residential Asset Securitization Trust 2005-A2 | | | | | | | | |
2.96% (-1 x 1 Month LIBOR USD + 5.05%, 5.05% Cap), 03/25/2035 IO (1)(4) | | | 809,000 | | | | 49,668 | |
Residential Asset Securitization Trust 2006-A4IP | | | | | | | | |
6.00%, 05/25/2036 | | | 79,215 | | | | 77,160 | |
Resource Capital Corp. 2015-CRE4 Ltd. | | | | | | | | |
5.07% (1 Month LIBOR USD + 3.00%), 08/15/2032 (1)(2) | | | 227,110 | | | | 227,226 | |
RFMSI Series 2003-S14 Trust | | | | | | | | |
0.00%, 07/25/2018 PO | | | 30 | | | | 30 | |
RFMSI Series 2003-S16 Trust | | | | | | | | |
5.00%, 09/25/2018 | | | 810 | | | | 808 | |
RFMSI Series 2005-SA4 Trust | | | | | | | | |
3.64%, 09/25/2035 (3) | | | 50,063 | | | | 45,106 | |
Sequoia Mortgage Trust 2004-10 | | | | | | | | |
2.70% (1 Month LIBOR USD + 0.62%, 0.31% Floor, 11.50% Cap), 11/20/2034 (1) | | | 52,243 | | | | 51,841 | |
Sequoia Mortgage Trust 2004-11 | | | | | | | | |
2.68% (1 Month LIBOR USD + 0.60%, 0.30% Floor, 11.50% Cap), 12/20/2034 (1) | | | 165,522 | | | | 163,082 | |
Sequoia Mortgage Trust 2004-12 | | | | | | | | |
2.82% (6 Month LIBOR USD + 0.32%, 0.32% Floor, 11.50% Cap), 01/20/2035 (1) | | | 131,532 | | | | 122,379 | |
Sequoia Mortgage Trust 2004-8 | | | | | | | | |
2.78% (1 Month LIBOR USD + 0.70%, 0.35% Floor, 11.50% Cap), 09/20/2034 (1) | | | 1,074,873 | | | | 1,032,967 | |
2.84% (6 Month LIBOR USD + 0.74%, 0.37% Floor, 11.50% Cap), 09/20/2034 (1) | | | 182,865 | | | | 180,310 | |
| | | | | | | | |
Series RR 2014-1 Trust | | | | | | | | |
0.00%, 05/25/2047 (2) | | | 1,603,000 | | | | 1,188,923 | |
Structured Asset Mortgage Investments II Trust 2004-AR5 | | | | | | | | |
2.74% (1 Month LIBOR USD + 0.66%, 0.33% Floor, 11.00% Cap), 10/19/2034 (1) | | | 161,667 | | | | 154,716 | |
Structured Asset Mortgage Investments II Trust 2005-AR5 | | | | | | | | |
2.33% (1 Month LIBOR USD + 0.25%, 0.25% Floor, 11.00% Cap), 07/19/2035 (1) | | | 550,485 | | | | 535,320 | |
Structured Asset Mortgage Investments Trust 2003-CL1 | | | | | | | | |
2.49% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 8.00% Cap), 07/25/2032 (1) | | | 368,990 | | | | 358,595 | |
Structured Asset Securities Co. | | | | | | | | |
3.69%, 12/25/2033 (3) | | | 170,787 | | | | 171,726 | |
3.72%, 12/25/2033 (3) | | | 1,661,842 | | | | 1,639,844 | |
5.23%, 02/25/2034 (8) | | | 222,511 | | | | 224,950 | |
2.44% (1 Month LIBOR USD + 0.35%, 0.35% Floor), 06/25/2035 (1)(2) | | | 84,833 | | | | 76,378 | |
Structured Asset Securities Co. Mort Pass Thru Ser 2004-5H | | | | | | | | |
5.54%, 12/25/2033 | | | 416,953 | | | | 426,289 | |
Structured Asset Securities Co. Mortgage Pass-Through Ctfs Ser 2003-33H | | | | | | | | |
5.50%, 10/25/2033 | | | 221,992 | | | | 225,870 | |
Structured Asset Securities Co. Mortgage Pass-Through Ctfs Ser 2003-34A | | | | | | | | |
3.81%, 11/25/2033 (3) | | | 52,561 | | | | 52,898 | |
Tharaldson Hotel Portfolio Trust 2018-THPT | | | | | | | | |
2.80% (1 Month LIBOR USD + 0.75%, 0.85% Floor), 11/11/2034 (1)(2) | | | 1,280,298 | | | | 1,279,647 | |
Thornburg Mortgage Securities Trust 2003-4 | | | | | | | | |
2.73% (1 Month LIBOR USD + 0.64%, 0.32% Floor, 11.50% Cap), 09/25/2043 (1) | | | 740,471 | | | | 716,252 | |
Thornburg Mortgage Securities Trust 2003-5 | | | | | | | | |
3.36%, 10/25/2043 (3) | | | 3,983,032 | | | | 4,044,427 | |
Thornburg Mortgage Securities Trust 2004-4 | | | | | | | | |
3.06%, 12/25/2044 (3) | | | 416,509 | | | | 419,220 | |
Thornburg Mortgage Securities Trust 2005-1 | | | | | | | | |
3.38%, 04/25/2045 (3) | | | 1,203,915 | | | | 1,211,070 | |
UBS Commercial Mortgage Trust | | | | | | | | |
3.26%, 08/15/2050 | | | 10,114,000 | | | | 9,964,147 | |
UBS Commercial Mortgage Trust 2012-C1 | | | | | | | | |
2.26%, 05/10/2045 IO (2)(3) | | | 1,627,064 | | | | 103,430 | |
UBS Commercial Mortgage Trust 2017-C5 | | | | | | | | |
3.21%, 11/15/2050 | | | 21,500,000 | | | | 20,573,883 | |
UBS Commercial Mortgage Trust 2018-C9 | | | | | | | | |
3.85%, 03/15/2051 | | | 9,650,000 | | | | 9,681,509 | |
UBS-BAMLL Trust | | | | | | | | |
3.66%, 06/10/2030 (2) | | | 1,787,000 | | | | 1,774,692 | |
| | | | | | | | |
UBS-Barclays Commercial Mortgage Trust 2012-C2 | | | | | | | | |
1.49%, 05/10/2063 IO (2)(3) | | | 5,489,089 | | | | 237,941 | |
3.53%, 05/10/2063 | | | 1,073,000 | | | | 1,079,209 | |
UBS-Barclays Commercial Mortgage Trust 2013-C6 | | | | | | | | |
3.24%, 04/10/2046 | | | 271,000 | | | | 269,187 | |
Vendee Mortgage Trust 1993-1 | | | | | | | | |
7.25%, 02/15/2023 | | | 278,711 | | | | 300,209 | |
Vendee Mortgage Trust 1994-1 | | | | | | | | |
5.32%, 02/15/2024 (3) | | | 83,990 | | | | 86,435 | |
6.50%, 02/15/2024 | | | 216,683 | | | | 229,029 | |
Vendee Mortgage Trust 1996-1 | | | | | | | | |
6.75%, 02/15/2026 | | | 124,428 | | | | 136,431 | |
Vendee Mortgage Trust 1996-2 | | | | | | | | |
6.75%, 06/15/2026 | | | 56,802 | | | | 62,131 | |
Vendee Mortgage Trust 1997-1 | | | | | | | | |
7.50%, 02/15/2027 | | | 178,664 | | | | 196,503 | |
Vendee Mortgage Trust 1998-1 | | | | | | | | |
7.00%, 03/15/2028 | | | 116,371 | | | | 129,002 | |
VNDO 2012-6AVE Mortgage Trust | | | | | | | | |
3.00%, 11/15/2030 (2) | | | 2,283,000 | | | | 2,250,341 | |
VNDO 2013-PENN Mortgage Trust | | | | | | | | |
3.81%, 12/13/2029 (2) | | | 2,500,000 | | | | 2,526,904 | |
VOLT 2018-NPL3 A1 | | | | | | | | |
0.00%, 06/25/2048 | | | 5,859,000 | | | | 5,859,000 | |
Wachovia Bank Commercial Mortgage Trust Series 2006-C24 | | | | | | | | |
0.10%, 03/15/2045 IO (2)(3) | | | 4,120,200 | | | | 18 | |
WaMu Mortgage Pass-Through Certificates Series 2003-AR11 Trust | | | | | | | | |
3.37%, 10/25/2033 (3) | | | 295,907 | | | | 299,908 | |
WaMu Mortgage Pass-Through Certificates Series 2003-AR7 Trust | | | | | | | | |
3.29%, 08/25/2033 (3) | | | 87,574 | | | | 88,577 | |
WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust | | | | | | | | |
3.36%, 09/25/2033 (3) | | | 116,511 | | | | 117,985 | |
3.37%, 09/25/2033 (3) | | | 517,910 | | | | 530,865 | |
WaMu Mortgage Pass-Through Certificates Series 2003-S1 Trust | | | | | | | | |
5.50%, 04/25/2033 | | | 94,903 | | | | 96,994 | |
WaMu Mortgage Pass-Through Certificates Series 2003-S10 | | | | | | | | |
5.00%, 10/25/2018 | | | 610 | | | | 597 | |
WaMu Mortgage Pass-Through Certificates Series 2003-S13 Trust | | | | | | | | |
2.64% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 8.00% Cap), 12/25/2018 (1) | | | 779 | | | | 778 | |
| | | | | | | | |
WaMu Mortgage Pass-Through Certificates Series 2003-S4 | | | | | | | | |
11.71% (-3 x 1 Month LIBOR USD + 17.46%, 17.46% Cap), 06/25/2033 (1)(4) | | | 22,516 | | | | 24,665 | |
WaMu Mortgage Pass-Through Certificates Series 2003-S8 Trust | | | | | | | | |
4.50%, 09/25/2018 | | | 260 | | | | 259 | |
4.50%, 09/25/2018 | | | 324 | | | | 323 | |
WaMu Mortgage Pass-Through Certificates Series 2003-S9 Trust | | | | | | | | |
0.00%, 10/25/2033 PO | | | 3,459 | | | | 3,059 | |
5.25%, 10/25/2033 | | | 350,301 | | | | 357,717 | |
WaMu Mortgage Pass-Through Certificates Series 2004-AR14 Trust | | | | | | | | |
3.48%, 01/25/2035 (3) | | | 3,000,697 | | | | 3,069,138 | |
WaMu Mortgage Pass-Through Certificates Series 2004-AR3 Trust | | | | | | | | |
3.95%, 06/25/2034 (3) | | | 3,185,112 | | | | 3,248,078 | |
3.95%, 06/25/2034 (3) | | | 179,477 | | | | 183,025 | |
WaMu Mortgage Pass-Through Certificates Series 2004-CB1 Trust | | | | | | | | |
5.00%, 06/25/2019 | | | 9,471 | | | | 9,499 | |
WaMu Mortgage Pass-Through Certificates Series 2004-CB2 Trust | | | | | | | | |
5.00%, 07/25/2019 | | | 9,506 | | | | 9,523 | |
5.50%, 08/25/2019 | | | 20,189 | | | | 20,258 | |
6.00%, 08/25/2034 | | | 816,370 | | | | 862,618 | |
WaMu Mortgage Pass-Through Certificates Series 2004-CB3 Trust | | | | | | | | |
5.50%, 10/25/2019 | | | 2,802 | | | | 2,815 | |
6.00%, 10/25/2019 | | | 4,316 | | | | 4,372 | |
6.50%, 10/25/2034 | | | 2,796,211 | | | | 2,978,232 | |
WaMu Mortgage Pass-Through Certificates Series 2004-CB4 Trust | | | | | | | | |
5.50%, 12/25/2019 | | | 8,244 | | | | 8,318 | |
WaMu Mortgage Pass-Through Certificates Series 2004-RS2 | | | | | | | | |
5.00%, 11/25/2033 | | | 60,822 | | | | 61,751 | |
WaMu Mortgage Pass-Through Certificates Series 2004-S2 Trust | | | | | | | | |
5.50%, 06/25/2034 | | | 356,283 | | | | 369,691 | |
WaMu Mortgage Pass-Through Certificates Series 2004-S3 Trust | | | | | | | | |
5.00%, 07/25/2034 | | | 48,791 | | | | 49,502 | |
WaMu Mortgage Pass-Through Certificates Series 2006-AR10 Trust | | | | | | | | |
3.46%, 09/25/2036 (3) | | | 12,284 | | | | 10,980 | |
WaMu Mortgage Pass-Through Certificates Series 2006-AR8 Trust | | | | | | | | |
3.33%, 08/25/2046 (3) | | | 74,147 | | | | 70,550 | |
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-1 Trust | | | | | | | | |
0.00%, 03/25/2035 PO | | | 12,649 | | | | 10,020 | |
5.50%, 03/25/2035 | | | 106,615 | | | | 104,903 | |
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-2 Trust | | | | | | | | |
2.91% (-1 x 1 Month LIBOR USD + 5.00%, 5.00% Cap), 04/25/2035 IO (1)(4) | | | 244,277 | | | | 23,197 | |
2.96% (-1 x 1 Month LIBOR USD + 5.05%, 5.05% Cap), 04/25/2035 IO (1)(4) | | | 851,056 | | | | 73,602 | |
| | | | | | | | |
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-4 Trust | | | | | | | | |
5.50%, 06/25/2035 | | | 299,429 | | | | 288,962 | |
5.50%, 06/25/2035 IO | | | 291,907 | | | | 55,477 | |
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-6 Trust | | | | | | | | |
5.50%, 08/25/2035 | | | 56,042 | | | | 54,323 | |
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-1 Trust | | | | | | | | |
5.75%, 02/25/2036 | | | 21,934 | | | | 20,764 | |
Washington Mutual MSC Mortgage Pass-Through Certificates Series 2003-MS5 Trust | | | | | | | | |
2.46% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 8.00% Cap), 03/25/2033 (1) | | | 437 | | | | 438 | |
Washington Mutual MSC Mortgage Pass-Through Certificates Series 2003-MS7 Trust | | | | | | | | |
0.00%, 03/25/2033 PO | | | 451 | | | | 395 | |
Wells Fargo Alternative Loan 2003-1 Trust | | | | | | | | |
0.00%, 09/25/2033 PO | | | 9,514 | | | | 8,622 | |
Wells Fargo Alternative Loan 2007-PA3 Trust | | | | | | | | |
5.75%, 07/25/2037 | | | 24,458 | | | | 22,783 | |
Wells Fargo Commercial Mortgage Trust | | | | | | | | |
2.64%, 11/15/2049 | | | 20,000,000 | | | | 18,568,350 | |
Wells Fargo Commercial Mortgage Trust 2013-120B | | | | | | | | |
2.80%, 03/18/2028 (2)(3) | | | 1,548,000 | | | | 1,533,295 | |
Wells Fargo Commercial Mortgage Trust 2014-LC16 | | | | | | | | |
2.82%, 08/15/2050 | | | 3,320,285 | | | | 3,318,083 | |
Wells Fargo Commercial Mortgage Trust 2015-C26 | | | | | | | | |
2.99%, 02/15/2048 | | | 9,300,000 | | | | 9,174,961 | |
Wells Fargo Commercial Mortgage Trust 2015-C27 | | | | | | | | |
3.19%, 02/15/2048 | | | 716,000 | | | | 700,553 | |
Wells Fargo Commercial Mortgage Trust 2015-C29 | | | | | | | | |
3.37%, 06/15/2048 | | | 10,000,000 | | | | 9,864,347 | |
Wells Fargo Commercial Mortgage Trust 2015-C30 | | | | | | | | |
3.66%, 09/15/2058 | | | 729,000 | | | | 730,875 | |
Wells Fargo Commercial Mortgage Trust 2015-C31 | | | | | | | | |
3.70%, 11/15/2048 | | | 2,623,000 | | | | 2,625,068 | |
Wells Fargo Commercial Mortgage Trust 2015-NXS2 | | | | | | | | |
3.50%, 07/15/2058 | | | 15,000,000 | | | | 14,933,631 | |
Wells Fargo Commercial Mortgage Trust 2015-P2 | | | | | | | | |
3.81%, 12/15/2048 | | | 1,862,631 | | | | 1,882,497 | |
Wells Fargo Commercial Mortgage Trust 2016-LC25 | | | | | | | | |
3.64%, 12/15/2059 | | | 2,734,000 | | | | 2,718,717 | |
Wells Fargo Commercial Mortgage Trust 2017-C38 | | | | | | | | |
3.19%, 07/15/2050 | | | 13,800,000 | | | | 13,252,428 | |
| | | | | | | | |
Wells Fargo Commercial Mortgage Trust 2018-C44 | | | | | | | | |
4.21%, 05/15/2051 | | | 3,405,000 | | | | 3,509,535 | |
Wells Fargo Mortgage Backed Securities 2003-K Trust | | | | | | | | |
3.57%, 11/25/2033 (3) | | | 195,857 | | | | 198,860 | |
3.57%, 11/25/2033 (3) | | | 7,513 | | | | 7,659 | |
Wells Fargo Mortgage Backed Securities 2003-L Trust | | | | | | | | |
3.60%, 11/25/2033 (3) | | | 30,489 | | | | 30,185 | |
Wells Fargo Mortgage Backed Securities 2004-4 Trust | | | | | | | | |
5.50%, 05/25/2034 | | | 46,077 | | | | 46,912 | |
Wells Fargo Mortgage Backed Securities 2004-B Trust | | | | | | | | |
3.77%, 02/25/2034 (3) | | | 67,303 | | | | 67,780 | |
Wells Fargo Mortgage Backed Securities 2004-EE Trust | | | | | | | | |
4.15%, 12/25/2034 (3) | | | 2,058,675 | | | | 2,097,547 | |
4.15%, 12/25/2034 (3) | | | 84,836 | | | | 87,296 | |
4.16%, 12/25/2034 (3) | | | 173,573 | | | | 180,286 | |
4.16%, 12/25/2034 (3) | | | 56,656 | | | | 58,847 | |
Wells Fargo Mortgage Backed Securities 2004-I Trust | | | | | | | | |
3.75%, 07/25/2034 (3) | | | 261,679 | | | | 267,830 | |
Wells Fargo Mortgage Backed Securities 2004-P Trust | | | | | | | | |
3.64%, 09/25/2034 (3) | | | 653,307 | | | | 671,003 | |
Wells Fargo Mortgage Backed Securities 2004-V Trust | | | | | | | | |
4.16%, 10/25/2034 (3) | | | 94,875 | | | | 96,432 | |
4.16%, 10/25/2034 (3) | | | 121,687 | | | | 125,689 | |
Wells Fargo Mortgage Backed Securities 2005-14 Trust | | | | | | | | |
0.00%, 12/25/2035 PO | | | 9,130 | | | | 8,078 | |
5.50%, 12/25/2035 | | | 69,552 | | | | 71,658 | |
Wells Fargo Mortgage Backed Securities 2005-AR10 Trust | | | | | | | | |
3.91%, 06/25/2035 (3) | | | 3,988,792 | | | | 4,099,026 | |
Wells Fargo Mortgage Backed Securities 2005-AR3 Trust | | | | | | | | |
4.23%, 03/25/2035 (3) | | | 1,394,510 | | | | 1,435,008 | |
Wells Fargo Mortgage Backed Securities 2005-AR8 Trust | | | | | | | | |
3.91%, 06/25/2035 (3) | | | 139,698 | | | | 143,147 | |
Wells Fargo Mortgage Backed Securities 2007-11 Trust | | | | | | | | |
6.00%, 08/25/2037 | | | 154,831 | | | | 153,844 | |
Wells Fargo Mortgage Backed Securities 2007-7 Trust | | | | | | | | |
6.00%, 06/25/2037 | | | 25,025 | | | | 24,927 | |
WFRBS Commercial Mortgage Trust 2011-C3 | | | | | | | | |
4.38%, 03/15/2044 (2) | | | 1,059,000 | | | | 1,086,123 | |
WFRBS Commercial Mortgage Trust 2012-C6 | | | | | | | | |
3.44%, 04/15/2045 | | | 9,470,780 | | | | 9,518,196 | |
WFRBS Commercial Mortgage Trust 2013-C11 | | | | | | | | |
4.41%, 03/15/2045 (2)(3) | | | 300,000 | | | | 281,740 | |
| | | | | | | | |
WFRBS Commercial Mortgage Trust 2013-C14 | | | | | | | | |
3.07%, 06/15/2046 | | | 2,244,000 | | | | 2,216,092 | |
3.34%, 06/15/2046 | | | 229,750 | | | | 229,392 | |
WFRBS Commercial Mortgage Trust 2014-C21 | | | | | | | | |
3.68%, 08/15/2047 | | | 7,000,000 | | | | 7,059,935 | |
WFRBS Commercial Mortgage Trust 2014-C23 | | | | | | | | |
3.64%, 10/15/2057 | | | 3,500,000 | | | | 3,539,836 | |
WFRBS Commercial Mortgage Trust 2014-C24 | | | | | | | | |
3.32%, 11/15/2047 | | | 5,000,000 | | | | 4,985,681 | |
WFRBS Commercial Mortgage Trust 2014-LC14 | | | | | | | | |
3.77%, 03/15/2047 | | | 10,000,000 | | | | 10,154,949 | |
| | | | | | | | |
Total Mortgage-Backed Obligations | | | | | | $ | 5,386,732,848 | |
| | | | | | | | |
Total Bonds & Notes (Cost $15,654,514,292) | | | | | | $ | 15,467,672,523 | |
| | | | | | | | |
| | |
| | | Shares | | | Value | |
PREFERRED STOCKS - 0.02% | | | | | | | | |
Financials - 0.02% | | | | | | | | |
State Street Co., 5.35% | | | 95,000 | | | $ | 2,481,400 | |
| | | | | | | | |
Total Preferred Stocks (Cost $2,375,000) | | | | | | $ | 2,481,400 | |
| | | | | | | | |
SHORT-TERM INVESTMENTS - 6.49% | | | | | | | | |
Money Market Funds - 6.48% | | | | | | | | |
Fidelity Institutional Money Market Government Fund - Class I, 1.77% (6)(7) | | | 512,371,713 | | | $ | 512,371,713 | |
Goldman Sachs Financial Square Treasury Solutions Fund - Class I, 1.81% (6)(7) | | | 512,371,712 | | | | 512,371,712 | |
| | | | | | | | |
| | | | | | $ | 1,024,743,425 | |
| | | | | | | | |
| | |
| | | Principal | | | | |
| | | Amount | | | Value | |
U.S. Treasury Bills - 0.01% | | | | | | | | |
U.S. Treasury Bill, 0.00%, 03/28/2019 (11) | | $ | 1,000,000 | | | $ | 983,645 | |
| | | | | | | | |
Total Short-Term Investments (Cost $1,025,728,125) | | | | | | $ | 1,025,727,070 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES - 104.37%
(Cost $16,682,617,417) | | | | | | $ | 16,495,880,993 | |
LIABILITIES IN EXCESS OF OTHER ASSETS - (4.37)% | | | | | | | (690,569,548 | ) |
| | | | | | | | |
TOTAL NET ASSETS - 100.00% | | | | | | $ | 15,805,311,445 | |
| | | | | | | | |
Percentages are stated as a percent of net assets.
IO Interest Only Strip
PO Principal Only Strip
| (1) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2018. |
| (2) | Security was purchased exempt from registration in the U.S. pursuant to Rule 144(A) under the Securities Act of 1933. The value of these securities total $2,621,529,243, which represents 16.59% of total net assets. |
| (3) | Variable rate security. The coupon is based on an underlying pool of assets. The rate reported is the rate in effect as of June 30, 2018. |
| (4) | Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates. Reference interest rates are typically based on a negative multiplier or slope. |
| (5) | Delayed delivery purchase commitment security. The value of these securities total $590,628,724, which represents 3.74% of total net assets. |
| (6) | Partially assigned as collateral for certain delayed delivery securities. |
| (7) | Represents annualized seven-day yield as of the close of the reporting period. |
| (8) | Step-up bond. The rate reported is the rate in effect as of June 30, 2018. |
| (9) | Security is in default as of June 30, 2018. The value of these securities total $581,759, which represents 0.00% of total net assets. |
| (10) | Inflation protected security. The value of these securities total $7,123,238, which represents 0.05% of total net assets. |
| (11) | Partially assigned as collateral for certain futures contracts. The value of these pledged issues total $7,211,411, which represents 0.05% of total net assets. |
| (12) | Security is categorized as Level 3 per the Trust’s fair value hierarchy. These securities represent $137,635,565 or 0.87% of the Fund’s net assets. |
Open Futures Contracts
| | | | | | | | | | | | | | | | | | | | | | |
Number of Contracts Purchased | | Reference Entity | | Counterparty | | | Settlement
Month | | | Notional
Amount | | | Value | | | Unrealized
Appreciation
(Depreciation) | |
4,374 | | U.S. 5 Year Note Future | | | J.P. Morgan | | | | Sep. 2018 | | | $ | 495,101,570 | | | $ | 496,961,580 | | | $ | 1,860,010 | |
530 | | U.S. 2 Year Note Future | | | J.P. Morgan | | | | Sep. 2018 | | | | 112,268,546 | | | | 112,268,907 | | | | 361 | |
41 | | U.S. Long Bond Future | | | J.P. Morgan | | | | Sep. 2018 | | | | 5,760,428 | | | | 5,945,000 | | | | 184,572 | |
859 | | U.S. Ultra Bond Future | | | J.P. Morgan | | | | Sep. 2018 | | | | 133,088,093 | | | | 137,064,188 | | | | 3,976,095 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | 6,021,038 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Number of Contracts Sold | | Reference Entity | | Counterparty | | | Settlement
Month | | | Notional
Amount | | | Value | | | Unrealized
Appreciation
(Depreciation) | |
(617) | | U.S. 10 Year Bond Future | | | J.P. Morgan | | | | Sep. 2018 | | | $ | (74,251,258 | ) | | $ | (74,155,688 | ) | | $ | 95,570 | |
(748) | | U.S. 2 Year Note Future | | | J.P. Morgan | | | | Sep. 2018 | | | | (158,226,027 | ) | | | (158,447,438 | ) | | | (221,411 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | (125,841 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | 5,895,197 | |
| | | | | | | | | | | | | | | | | | | | | | |
Bridge Builder Core Plus Bond Fund
Schedule of Investments
June 30, 2018
| | | | | | | | |
| | | Principal
Amount | | | Value | |
BONDS & NOTES - 93.65% | | | | | | | | |
Asset-Backed Obligations - 13.14% | | | | | | | | |
AASET 2017-1 Trust | | | | | | | | |
3.97%, 05/16/2042 (1) | | $ | 636,370 | | | $ | 635,354 | |
AASET 2018-1 U.S. Ltd. | | | | | | | | |
3.84%, 01/16/2038 (1) | | | 927,457 | | | | 920,423 | |
ABFC 2005-WMC1 Trust | | | | | | | | |
2.83% (1 Month LIBOR USD + 0.74%, 0.49% Floor), 06/25/2035 (2) | | | 7,005,762 | | | | 6,813,464 | |
ABFC 2007-NC1 Trust | | | | | | | | |
2.39% (1 Month LIBOR USD + 0.30%, 0.30% Floor), 05/25/2037 (1)(2) | | | 8,000,000 | | | | 7,707,409 | |
ACC Trust 2018-1 | | | | | | | | |
3.70%, 12/21/2020 (1) | | | 523,009 | | | | 523,168 | |
Accredited Mortgage Loan Trust 2003-2 | | | | | | | | |
2.79% (1 Month LIBOR USD + 0.70%, 0.35% Floor, 13.00% Cap), 10/25/2033 (2) | | | 2,181,533 | | | | 2,141,530 | |
ACE Securities Corp. Home Equity Loan Trust Series 2005-HE3 | | | | | | | | |
2.80% (1 Month LIBOR USD + 0.71%, 0.47% Floor), 05/25/2035 (2) | | | 7,185,000 | | | | 7,140,323 | |
ACE Securities Corp. Home Equity Loan Trust Series 2005-HE7 | | | | | | | | |
2.75% (1 Month LIBOR USD + 0.66%, 0.33% Floor), 11/25/2035 (2) | | | 57,088 | | | | 57,080 | |
Aegis Asset Backed Securities Trust 2005-5 | | | | | | | | |
2.34% (1 Month LIBOR USD + 0.25%, 0.25% Floor), 12/25/2035 (2) | | | 4,599,041 | | | | 4,586,441 | |
Airspeed Ltd. | | | | | | | | |
2.34% (1 Month LIBOR USD + 0.27%), 06/15/2032 (1)(2)(13) | | | 7,867,820 | | | | 6,859,770 | |
2.35% (1 Month LIBOR USD + 0.28%, 0.30% Floor), 06/15/2032 (1)(2)(13) | | | 9,717,433 | | | | 8,596,479 | |
Ajax Mortgage Loan Trust 2016-B | | | | | | | | |
4.00%, 09/25/2065 (1)(3) | | | 1,463,474 | | | | 1,466,393 | |
Ajax Mortgage Loan Trust 2016-C | | | | | | | | |
4.00%, 10/25/2057 (1)(3) | | | 1,477,824 | | | | 1,481,280 | |
Allegro CLO III Ltd. | | | | | | | | |
3.20% (3 Month LIBOR USD + 0.84%), 07/25/2027 (1)(2) | | | 1,970,000 | | | | 1,976,489 | |
Ally Auto Receivables Trust 2015-2 | | | | | | | | |
2.07%, 10/15/2020 (1) | | | 820,000 | | | | 816,878 | |
3.01%, 03/15/2022 (1) | | | 195,000 | | | | 195,209 | |
Ally Auto Receivables Trust 2016-1 | | | | | | | | |
1.99%, 03/15/2021 | | | 790,000 | | | | 784,812 | |
Ally Auto Receivables Trust 2016-3 | | | | | | | | |
1.72%, 04/15/2021 | | | 2,060,000 | | | | 2,036,936 | |
Ally Auto Receivables Trust 2017-2 | | | | | | | | |
2.33%, 06/15/2022 | | | 210,000 | | | | 207,022 | |
| | | | | | | | |
Ally Auto Receivables Trust 2017-3 | | | | | | | | |
1.53%, 03/16/2020 | | | 1,058,141 | | | | 1,055,456 | |
1.74%, 09/15/2021 | | | 7,405,000 | | | | 7,320,855 | |
Ally Auto Receivables Trust 2017-4 | | | | | | | | |
1.75%, 12/15/2021 | | | 2,985,000 | | | | 2,944,755 | |
Ally Auto Receivables Trust 2018-2 | | | | | | | | |
2.92%, 11/15/2022 | | | 4,470,000 | | | | 4,467,125 | |
Ally Master Owner Trust | | | | | | | | |
2.70%, 01/17/2023 | | | 3,985,000 | | | | 3,945,808 | |
American Express Credit Account Master Trust | | | | | | | | |
1.64%, 12/15/2021 | | | 3,620,000 | | | | 3,588,848 | |
2.04%, 05/15/2023 | | | 100,000 | | | | 97,981 | |
2.65% (1 Month LIBOR USD + 0.58%), 02/18/2025 (2) | | | 1,675,000 | | | | 1,680,874 | |
2.54%, 05/15/2025 | | | 1,185,000 | | | | 1,152,261 | |
American Homes 4 Rent 2014-SFR2 Trust | | | | | | | | |
6.23%, 10/17/2036 (1) | | | 515,000 | | | | 567,406 | |
American Homes 4 Rent 2015-SFR1 | | | | | | | | |
5.89%, 04/17/2052 (1) | | | 2,378,000 | | | | 2,528,666 | |
AmeriCredit Automobile Receivables 2015-4 | | | | | | | | |
3.72%, 12/08/2021 | | | 2,671,000 | | | | 2,691,973 | |
AmeriCredit Automobile Receivables 2016-1 | | | | | | | | |
1.81%, 10/08/2020 | | | 66,453 | | | | 66,351 | |
3.59%, 02/08/2022 | | | 916,000 | | | | 921,003 | |
AmeriCredit Automobile Receivables Trust 2013-5 | | | | | | | | |
2.86%, 12/09/2019 | | | 2,651,164 | | | | 2,651,485 | |
AmeriCredit Automobile Receivables Trust 2014-3 | | | | | | | | |
3.72%, 03/08/2022 (1) | | | 840,000 | | | | 841,917 | |
AmeriCredit Automobile Receivables Trust 2014-4 | | | | | | | | |
3.07%, 11/09/2020 | | | 5,600,000 | | | | 5,612,762 | |
3.66%, 03/08/2022 | | | 930,000 | | | | 931,162 | |
AmeriCredit Automobile Receivables Trust 2015-3 | | | | | | | | |
3.34%, 08/08/2021 | | | 1,865,000 | | | | 1,870,426 | |
AmeriCredit Automobile Receivables Trust 2016-2 | | | | | | | | |
1.60%, 11/09/2020 | | | 786,394 | | | | 784,378 | |
2.87%, 11/08/2021 | | | 290,000 | | | | 289,557 | |
3.65%, 05/09/2022 | | | 605,000 | | | | 609,764 | |
AmeriCredit Automobile Receivables Trust 2016-3 | | | | | | | | |
2.24%, 04/08/2022 | | | 2,000,000 | | | | 1,967,668 | |
2.71%, 09/08/2022 | | | 3,615,000 | | | | 3,552,716 | |
AmeriCredit Automobile Receivables Trust 2016-4 | | | | | | | | |
2.74%, 12/08/2022 | | | 1,795,000 | | | | 1,766,829 | |
| | | | | | | | |
AmeriCredit Automobile Receivables Trust 2017-3 | | | | | | | | |
2.24%, 06/19/2023 | | | 335,000 | | | | 329,198 | |
2.69%, 06/19/2023 | | | 345,000 | | | | 339,322 | |
AmeriCredit Automobile Receivables Trust 2017-4 | | | | | | | | |
2.60%, 09/18/2023 | | | 705,000 | | | | 692,311 | |
AmeriCredit Automobile Receivables Trust 2018-1 | | | | | | | | |
3.82%, 03/18/2024 | | | 955,000 | | | | 958,887 | |
Ameriquest Mortgage Securities Trust 2006-R2 | | | | | | | | |
2.27% (1 Month LIBOR USD + 0.18%, 0.18% Floor), 04/25/2036 (2) | | | 872,916 | | | | 871,933 | |
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Ctfs Ser 2004-R8 | | | | | | | | |
3.05% (1 Month LIBOR USD + 0.96%, 0.64% Floor), 09/25/2034 (2) | | | 1,319,532 | | | | 1,320,095 | |
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Ctfs Ser 2005-R5 | | | | | | | | |
2.83% (1 Month LIBOR USD + 0.74%, 0.49% Floor), 07/25/2035 (2) | | | 4,284,043 | | | | 4,294,371 | |
Ammc Clo 19 Ltd. | | | | | | | | |
3.85% (3 Month LIBOR USD + 1.50%), 10/15/2028 (1)(2) | | | 4,255,000 | | | | 4,274,590 | |
AREIT 2018-CRE1 Trust | | | | | | | | |
5.17% (1 Month LIBOR USD + 3.10%, 3.10% Floor), 02/15/2035 (1)(2) | | | 4,800,000 | | | | 4,817,981 | |
ARI Fleet Lease Trust 2017-A | | | | | | | | |
1.91%, 04/15/2026 (1) | | | 468,766 | | | | 466,117 | |
2.28%, 04/15/2026 (1) | | | 1,305,000 | | | | 1,285,667 | |
Ascentium Equipment Receivables 2016-2 Trust | | | | | | | | |
1.46%, 04/10/2019 (1) | | | 27,299 | | | | 27,279 | |
Ascentium Equipment Receivables 2017-1 Trust | | | | | | | | |
1.87%, 07/10/2019 (1) | | | 89,813 | | | | 89,632 | |
2.29%, 06/10/2021 (1) | | | 170,000 | | | | 168,098 | |
Atlas Senior Loan Fund IV Ltd. | | | | | | | | |
3.02% (3 Month LIBOR USD + 0.68%), 02/17/2026 (1)(2) | | | 11,700,000 | | | | 11,678,250 | |
Atrium X | | | | | | | | |
3.30% (3 Month LIBOR USD + 0.95%), 07/16/2025 (1)(2) | | | 1,192,809 | | | | 1,192,385 | |
Avis Budget Rental Car Funding AESOP LLC | | | | | | | | |
2.62%, 09/20/2019 (1) | | | 252,500 | | | | 252,394 | |
2.97%, 02/20/2020 (1) | | | 1,450,000 | | | | 1,450,885 | |
2.46%, 07/20/2020 (1) | | | 2,630,000 | | | | 2,618,306 | |
2.50%, 02/20/2021 (1) | | | 3,245,000 | | | | 3,216,884 | |
2.50%, 07/20/2021 (1) | | | 1,230,000 | | | | 1,211,797 | |
2.72%, 11/20/2022 (1) | | | 1,545,000 | | | | 1,508,099 | |
BA Credit Card Trust | | | | | | | | |
1.95%, 08/15/2022 | | | 2,575,000 | | | | 2,535,726 | |
Babson CLO Ltd. 2013-I | | | | | | | | |
3.16% (3 Month LIBOR USD + 0.80%, 0.80% Floor), 01/20/2028 (1)(2) | | | 5,130,000 | | | | 5,124,808 | |
Barclays Dryrock Issuance Trust | | | | | | | | |
2.20%, 12/15/2022 | | | 1,705,000 | | | | 1,683,956 | |
| | | | | | | | |
Bayview Opportunity Master Fund IIIa Trust 2017-RN7 | | | | | | | | |
3.10%, 09/28/2032 (1)(3) | | | 526,470 | | | | 524,383 | |
Bayview Opportunity Master Fund IIIa Trust 2017-RN8 | | | | | | | | |
3.35%, 11/28/2032 (1)(3) | | | 1,374,550 | | | | 1,367,694 | |
Bayview Opportunity Master Fund IIIb Trust 2017-RN3 | | | | | | | | |
3.23%, 05/28/2032 (1)(3) | | | 53,786 | | | | 53,776 | |
Bayview Opportunity Master Fund IV Trust 2018-RN2 | | | | | | | | |
3.60%, 02/25/2033 (1)(3) | | | 1,261,023 | | | | 1,256,390 | |
Bayview Opportunity Master Fund IVa Trust 2017-SPL5 | | | | | | | | |
3.50%, 06/28/2057 (1)(4) | | | 389,342 | | | | 388,573 | |
Bayview Opportunity Master Fund IVa Trust 2018-RN1 | | | | | | | | |
3.28%, 01/28/2033 (1)(3) | | | 1,298,655 | | | | 1,289,229 | |
Bayview Opportunity Master Fund IVa Trust 2018-RN3 | | | | | | | | |
3.67%, 03/28/2033 (1)(3) | | | 733,707 | | | | 732,440 | |
Bayview Opportunity Master Fund IVb Trust 2017-NPL2 | | | | | | | | |
2.98%, 10/28/2032 (1)(3) | | | 888,631 | | | | 883,925 | |
Bayview Opportunity Master Fund IVb Trust 2017-RT2 | | | | | | | | |
3.50%, 08/28/2057 (1)(4) | | | 1,319,308 | | | | 1,314,380 | |
Bayview Opportunity Master Fund Trust IIb 2018-RN5 | | | | | | | | |
3.82%, 04/28/2033 (1)(3) | | | 1,485,497 | | | | 1,484,198 | |
BCMSC Trust 1999-B | | | | | | | | |
6.61%, 12/15/2029 (4)(10) | | | 3,599,238 | | | | 1,262,048 | |
Bear Stearns Asset Backed Securities I Trust 2007-HE2 | | | | | | | | |
2.25% (1 Month LIBOR USD + 0.16%, 0.16% Floor), 02/25/2037 (2) | | | 17,644,143 | | | | 17,091,134 | |
Betony CLO 2 Ltd. | | | | | | | | |
3.19% (3 Month LIBOR USD + 1.08%), 04/30/2031 (1)(2) | | | 2,680,000 | | | | 2,680,000 | |
Blackbird Capital Aircraft Lease Securitization Ltd. 2016-1 | | | | | | | | |
4.21%, 12/16/2041 (1)(3) | | | 1,358,073 | | | | 1,365,636 | |
BlueMountain CLO 2013-3 Ltd. | | | | | | | | |
3.25% (3 Month LIBOR USD + 0.89%), 10/29/2025 (1)(2) | | | 2,937,924 | | | | 2,937,166 | |
BlueMountain CLO 2015-2 Ltd. | | | | | | | | |
0.00% (3 Month LIBOR USD + 0.93%, 0.93% Floor), 07/18/2027 (1)(2) | | | 3,395,000 | | | | 3,395,000 | |
0.00% (3 Month LIBOR USD + 1.50%, 1.50% Floor), 07/18/2027 (1)(2) | | | 1,915,000 | | | | 1,915,000 | |
0.00% (3 Month LIBOR USD + 2.05%, 2.05% Floor), 07/18/2027 (1)(2) | | | 1,305,000 | | | | 1,305,000 | |
BMW Vehicle Lease Trust 2016-2 | | | | | | | | |
1.57%, 02/20/2020 | | | 960,000 | | | | 952,062 | |
BMW Vehicle Lease Trust 2017-2 | | | | | | | | |
2.07%, 10/20/2020 | | | 1,275,000 | | | | 1,261,837 | |
California Republic Auto Receivables Trust 2017-1 | | | | | | | | |
3.76%, 12/15/2023 | | | 1,300,000 | | | | 1,271,510 | |
| | | | | | | | |
California Republic Auto Receivables Trust 2018-1 | | | | | | | | |
4.33%, 04/15/2025 | | | 2,050,000 | | | | 2,053,051 | |
Capital Auto Receivables Asset Trust 2015-2 | | | | | | | | |
4.50%, 01/22/2024 | | | 1,545,000 | | | | 1,560,804 | |
Capital Auto Receivables Asset Trust 2015-3 | | | | | | | | |
1.94%, 01/21/2020 | | | 454,537 | | | | 454,272 | |
Capital Auto Receivables Asset Trust 2016-2 | | | | | | | | |
1.63%, 01/20/2021 | | | 755,000 | | | | 747,595 | |
Capital One Multi-Asset Execution Trust | | | | | | | | |
2.58% (1 Month LIBOR USD + 0.51%), 09/16/2024 (2) | | | 5,920,000 | | | | 5,964,949 | |
Capitalsource Real Estate Loan Trust | | | | | | | | |
2.39% (3 Month LIBOR USD + 0.65%), 01/20/2037 (1)(2) | | | 3,400,000 | | | | 3,237,820 | |
2.46% (3 Month LIBOR USD + 0.75%), 01/20/2037 (1)(2) | | | 1,200,000 | | | | 1,129,320 | |
2.73% (3 Month LIBOR USD + 0.39%), 01/20/2037 (1)(2) | | | 2,302,664 | | | | 2,271,578 | |
3.19% (3 Month LIBOR USD + 0.85%), 01/20/2037 (1)(2) | | | 700,000 | | | | 638,470 | |
CarMax Auto Owner Trust 2016-1 | | | | | | | | |
1.88%, 06/15/2021 | | | 365,000 | | | | 360,004 | |
CarMax Auto Owner Trust 2016-2 | | | | | | | | |
2.16%, 12/15/2021 | | | 100,000 | | | | 98,382 | |
CarMax Auto Owner Trust 2016-4 | | | | | | | | |
1.40%, 08/15/2021 | | | 1,390,000 | | | | 1,370,749 | |
2.26%, 07/15/2022 | | | 265,000 | | | | 259,243 | |
CarMax Auto Owner Trust 2018-2 | | | | | | | | |
3.57%, 12/15/2023 | | | 1,420,000 | | | | 1,418,786 | |
Castlelake Aircraft Securitization Trust | | | | | | | | |
3.97%, 07/15/2042 | | | 1,192,181 | | | | 1,179,668 | |
Castlelake Aircraft Securitization Trust 2018-1 | | | | | | | | |
4.13%, 06/15/2043 (1) | | | 7,250,000 | | | | 7,281,525 | |
CCG Receivables Trust 2016-1 | | | | | | | | |
1.69%, 09/14/2022 (1) | | | 498,692 | | | | 496,042 | |
CCG Receivables Trust 2017-1 | | | | | | | | |
1.84%, 11/14/2023 (1) | | | 838,189 | | | | 831,261 | |
Chase Issuance Trust | | | | | | | | |
2.50% (1 Month LIBOR USD + 0.43%, 0.43% Floor), 09/15/2020 (2) | | | 2,000,000 | | | | 2,001,532 | |
2.49% (1 Month LIBOR USD + 0.42%, 0.42% Floor), 11/16/2020 (2) | | | 3,800,000 | | | | 3,804,800 | |
1.37%, 06/15/2021 | | | 9,935,000 | | | | 9,811,075 | |
1.84%, 04/15/2022 | | | 6,230,000 | | | | 6,113,500 | |
Chrysler Capital Auto Receivables Trust 2016-B | | | | | | | | |
1.64%, 07/15/2021 (1) | | | 548,237 | | | | 544,768 | |
| | | | | | | | |
CIFC Funding 2015-V Ltd. | | | | | | | | |
3.22% (3 Month LIBOR USD + 0.86%), 10/25/2027 (1)(2) | | | 2,990,000 | | | | 2,983,682 | |
Citibank Credit Card Issuance Trust | | | | | | | | |
2.48% (1 Month LIBOR USD + 0.43%, 0.43% Floor), 09/10/2020 (2) | | | 2,695,000 | | | | 2,696,797 | |
1.74%, 01/19/2021 | | | 5,960,000 | | | | 5,934,955 | |
1.80%, 09/20/2021 | | | 2,803,000 | | | | 2,768,518 | |
1.92%, 04/07/2022 | | | 9,495,000 | | | | 9,334,695 | |
1.86%, 08/08/2022 | | | 2,060,000 | | | | 2,011,815 | |
2.41% (1 Month LIBOR USD + 0.33%), 01/21/2025 (2) | | | 5,920,000 | | | | 5,925,306 | |
Citigroup Mortgage Loan Trust 2007-AHL1 | | | | | | | | |
2.23% (1 Month LIBOR USD + 0.14%, 0.14% Floor), 12/25/2036 (2) | | | 4,577,226 | | | | 4,542,576 | |
Citigroup Mortgage Loan Trust, Inc. | | | | | | | | |
2.99% (1 Month LIBOR USD + 0.90%, 0.60% Floor), 09/25/2035 (2) | | | 7,900,000 | | | | 7,413,317 | |
2.69% (1 Month LIBOR USD + 0.60%, 0.60% Floor), 10/25/2035 (2) | | | 14,327,000 | | | | 11,673,323 | |
CLI Funding V LLC | | | | | | | | |
3.38%, 10/18/2029 (1) | | | 800,708 | | | | 786,957 | |
CNH Equipment Trust 2016-C | | | | | | | | |
1.44%, 12/15/2021 | | | 1,020,000 | | | | 1,005,985 | |
CNH Equipment Trust 2017-C | | | | | | | | |
2.08%, 02/15/2023 | | | 1,245,000 | | | | 1,223,566 | |
2.54%, 05/15/2025 | | | 60,000 | | | | 58,557 | |
Coinstar Funding LLC Series 2017-1 | | | | | | | | |
5.22%, 04/25/2047 (1) | | | 5,336,100 | | | | 5,414,185 | |
College Ave Student Loans 2018-A LLC | | | | | | | | |
3.36% (1 Month LIBOR USD + 1.20%), 12/26/2047 (1)(2) | | | 2,750,000 | | | | 2,749,435 | |
4.13%, 12/26/2047 (1) | | | 3,750,000 | | | | 3,764,626 | |
College Avenue Student Loans LLC | | | | | | | | |
3.74% (1 Month LIBOR USD + 1.65%, 1.65% Floor), 11/26/2046 (1)(2) | | | 6,477,167 | | | | 6,613,929 | |
Colony American Finance 2015-1 Ltd. | | | | | | | | |
4.83%, 10/15/2047 (1) | | | 725,000 | | | | 737,462 | |
Colony American Homes 2015-1 | | | | | | | | |
5.05% (1 Month LIBOR USD + 3.00%, 3.00% Floor), 07/17/2032 (1)(2) | | | 1,875,000 | | | | 1,877,231 | |
Colony Starwood Homes 2016-2 Trust | | | | | | | | |
5.42% (1 Month LIBOR USD + 3.35%, 3.35% Floor), 12/17/2033 (1)(2) | | | 1,905,000 | | | | 1,930,626 | |
Conseco Finance Securitizations Corp. | | | | | | | | |
8.06%, 09/01/2029 (4) | | | 13,255,210 | | | | 6,803,691 | |
7.97%, 05/01/2032 | | | 738,157 | | | | 357,254 | |
8.31%, 05/01/2032 (4) | | | 8,553,432 | | | | 4,312,378 | |
Conseco Financial Corp. | | | | | | | | |
7.70%, 05/15/2027 (4) | | | 11,145,333 | | | | 10,617,057 | |
| | | | | | | | |
CoreVest American Finance 2018-1 Trust | | | | | | | | |
3.80%, 06/15/2051 (1)(13) | | | 1,940,000 | | | | 1,939,996 | |
Countrywide Asset-Backed Certificates | | | | | | | | |
2.33% (1 Month LIBOR USD + 0.24%, 0.24% Floor), 03/25/2036 (2) | | | 3,761,326 | | | | 3,374,632 | |
2.26% (1 Month LIBOR USD + 0.17%, 0.17% Floor), 03/25/2037 (2) | | | 6,878,616 | | | | 6,653,982 | |
CPS Auto Receivables Trust 2016-C | | | | | | | | |
5.92%, 06/15/2022 (1) | | | 1,985,000 | | | | 2,068,264 | |
CPS Auto Receivables Trust 2017-C | | | | | | | | |
3.79%, 06/15/2023 (1) | | | 1,530,000 | | | | 1,527,407 | |
CPS Auto Receivables Trust 2017-D | | | | | | | | |
3.73%, 09/15/2023 (1) | | | 645,000 | | | | 641,352 | |
CPS Auto Receivables Trust 2018-B | | | | | | | | |
4.26%, 03/15/2024 (1) | | | 1,715,000 | | | | 1,719,420 | |
CPS Auto Trust | | | | | | | | |
4.53%, 01/17/2023 (1) | | | 1,465,000 | | | | 1,483,007 | |
Credit Acceptance Auto Loan Trust 2017-3 | | | | | | | | |
3.48%, 10/15/2026 (1) | | | 1,405,000 | | | | 1,385,611 | |
Credit Acceptance Auto Loan Trust 2018-1 | | | | | | | | |
3.77%, 06/15/2027 (1) | | | 2,255,000 | | | | 2,234,403 | |
Credit Acceptance Auto Loan Trust 2018-2 | | | | | | | | |
4.16%, 09/15/2027 (1) | | | 3,045,000 | | | | 3,062,046 | |
CSMC 2018-RPL2 Trust | | | | | | | | |
4.03%, 08/25/2062 (1)(3) | | | 3,058,375 | | | | 3,058,163 | |
CWABS Asset-Backed Certificates Trust 2004-13 | | | | | | | | |
2.94% (1 Month LIBOR USD + 0.85%), 04/25/2035 (2) | | | 784,526 | | | | 788,213 | |
CWABS Asset-Backed Certificates Trust 2005-7 | | | | | | | | |
2.67% (1 Month LIBOR USD + 0.58%, 0.58% Floor), 11/25/2035 (2) | | | 5,545,431 | | | | 5,535,797 | |
DB Master Finance LLC | | | | | | | | |
3.63%, 11/20/2047 (1) | | | 1,189,025 | | | | 1,167,634 | |
4.03%, 11/20/2047 (1) | | | 875,600 | | | | 868,674 | |
Deephaven Residential Mortgage Trust 2018-1 | | | | | | | | |
2.98%, 12/25/2057 (1)(4) | | | 840,279 | | | | 835,275 | |
Denali Capital CLO X LLC | | | | | | | | |
3.41% (3 Month LIBOR USD + 1.05%), 10/26/2027 (1)(2) | | | 6,500,000 | | | | 6,494,027 | |
Diamond Resorts Owner Trust 2014-1 | | | | | | | | |
2.54%, 05/20/2027 (1) | | | 108,608 | | | | 108,286 | |
Diamond Resorts Owner Trust 2015-1 | | | | | | | | |
2.73%, 07/20/2027 (1) | | | 63,892 | | | | 63,766 | |
Discover Card Execution Note Trust | | | | | | | | |
1.39%, 03/15/2022 | | | 2,150,000 | | | | 2,114,986 | |
2.56% (1 Month LIBOR USD + 0.49%), 07/15/2024 (2) | | | 5,920,000 | | | | 5,967,856 | |
| | | | | | | | |
Domino’s Pizza Master Issuer LLC | | | | | | | | |
4.12%, 07/25/2048 (1) | | | 1,610,000 | | | | 1,626,921 | |
Drive Auto Receivables Trust 2015-B | | | | | | | | |
2.76%, 07/15/2021 (1) | | | 67,088 | | | | 67,136 | |
Drive Auto Receivables Trust 2015-C | | | | | | | | |
3.01%, 05/17/2021 (1) | | | 95,502 | | | | 95,617 | |
Drive Auto Receivables Trust 2018-1 | | | | | | | | |
3.81%, 05/15/2024 | | | 3,000,000 | | | | 2,995,070 | |
Drive Auto Receivables Trust 2018-2 | | | | | | | | |
4.14%, 08/15/2024 | | | 3,215,000 | | | | 3,232,941 | |
Driven Brands Funding LLC | | | | | | | | |
4.74%, 04/20/2048 (1) | | | 1,070,000 | | | | 1,077,233 | |
Dryden 30 Senior Loan Fund | | | | | | | | |
3.16% (3 Month LIBOR USD + 0.82%), 11/15/2028 (1)(2) | | | 1,200,000 | | | | 1,193,270 | |
Dryden 35 Euro CLO 2014 BV | | | | | | | | |
0.68% (6 Month EURIBOR + 0.95%), 05/17/2027 (1)(2) | | EUR | 13,350,000 | | | | 15,640,380 | |
Dryden 38 Senior Loan Fund | | | | | | | | |
3.78% (3 Month LIBOR USD + 1.43%, 1.43% Floor), 07/15/2027 (1)(2) | | $ | 3,200,000 | | | | 3,199,014 | |
DT Auto Owner Trust 2014-3 | | | | | | | | |
4.47%, 11/15/2021 (1) | | | 1,267,897 | | | | 1,273,967 | |
DT Auto Owner Trust 2016-1 | | | | | | | | |
4.66%, 12/15/2022 (1) | | | 1,600,000 | | | | 1,620,227 | |
DT Auto Owner Trust 2016-4 | | | | | | | | |
3.77%, 10/17/2022 (1) | | | 115,000 | | | | 115,428 | |
DT Auto Owner Trust 2017-1 | | | | | | | | |
3.55%, 11/15/2022 (1) | | | 2,595,000 | | | | 2,594,291 | |
DT Auto Owner Trust 2017-2 | | | | | | | | |
1.72%, 05/15/2020 (1) | | | 803,497 | | | | 802,822 | |
3.89%, 01/15/2023 (1) | | | 4,825,000 | | | | 4,818,329 | |
DT Auto Owner Trust 2017-4 | | | | | | | | |
3.47%, 07/17/2023 (1) | | | 975,000 | | | | 968,387 | |
DT Auto Owner Trust 2018-2 | | | | | | | | |
4.15%, 03/15/2024 (1) | | | 1,435,000 | | | | 1,436,574 | |
ECAF I Ltd. | | | | | | | | |
3.47%, 06/15/2040 (1) | | | 1,063,461 | | | | 1,054,710 | |
ECMC Group Student Loan Trust 2017-2 | | | | | | | | |
3.14% (1 Month LIBOR USD + 1.05%), 05/25/2067 (1)(2) | | | 11,119,906 | | | | 11,259,125 | |
Emerald Aviation Finance Ltd. | | | | | | | | |
4.65%, 10/15/2038 (1)(3) | | | 577,952 | | | | 581,287 | |
| | | | | | | | |
Enterprise Fleet Financing LLC | | | | | | | | |
2.08%, 09/20/2021 (1) | | | 510,000 | | | | 507,655 | |
2.04%, 02/22/2022 (1) | | | 2,185,000 | | | | 2,153,006 | |
2.13%, 07/20/2022 (1) | | | 246,640 | | | | 245,191 | |
1.97%, 01/20/2023 (1) | | | 810,699 | | | | 804,656 | |
2.87%, 10/20/2023 (1) | | | 1,410,000 | | | | 1,405,285 | |
Exeter Automobile Receivables Trust 2018-1 | | | | | | | | |
3.53%, 11/15/2023 (1) | | | 595,000 | | | | 587,571 | |
Fieldstone Mortgage Investment Trust Series 2005-1 | | | | | | | | |
3.22% (1 Month LIBOR USD + 1.13%, 0.75% Floor, 12.25% Cap), 03/25/2035 (2) | | | 7,010,597 | | | | 6,710,797 | |
Fieldstone Mortgage Investment Trust Series 2006-3 | | | | | | | | |
2.10% (1 Month LIBOR USD + 0.14%, 0.14% Floor, 12.25% Cap), 11/25/2036 (2) | | | 10,153,772 | | | | 9,230,592 | |
First Franklin Mortgage Loan Trust 2006-FF16 | | | | | | | | |
2.30% (1 Month LIBOR USD + 0.21%, 0.21% Floor), 12/25/2036 (2) | | | 7,695,423 | | | | 4,790,441 | |
First Investors Auto Owner Trust 2015-2 | | | | | | | | |
4.22%, 12/15/2021 (1) | | | 270,000 | | | | 272,699 | |
First Investors Auto Owner Trust 2016-2 | | | | | | | | |
3.35%, 11/15/2022 (1) | | | 850,000 | | | | 837,030 | |
First Investors Auto Owner Trust 2017-2 | | | | | | | | |
1.86%, 10/15/2021 (1) | | | 4,129,022 | | | | 4,108,432 | |
3.56%, 09/15/2023 (1) | | | 975,000 | | | | 962,771 | |
First Investors Auto Owner Trust 2018-1 | | | | | | | | |
4.11%, 06/17/2024 (1) | | | 605,000 | | | | 606,116 | |
First NLC Trust 2005-2 | | | | | | | | |
2.57% (1 Month LIBOR USD + 0.48%, 0.48% Floor, 14.00% Cap), 09/25/2035 (2) | | | 1,951,534 | | | | 1,959,512 | |
Five Guys Holdings, Inc. | | | | | | | | |
4.60%, 07/25/2047 (1) | | | 3,601,900 | | | | 3,627,604 | |
Flagship Credit Auto Trust 2014-1 | | | | | | | | |
3.34%, 04/15/2020 (1) | | | 66,659 | | | | 66,749 | |
Flagship Credit Auto Trust 2016-3 | | | | | | | | |
3.89%, 11/15/2022 (1) | | | 810,000 | | | | 810,767 | |
Flagship Credit Auto Trust 2017-1 | | | | | | | | |
4.23%, 05/15/2023 (1) | | | 260,000 | | | | 262,674 | |
Flagship Credit Auto Trust 2018-1 | | | | | | | | |
3.86%, 04/15/2024 (1) | | | 1,285,000 | | | | 1,276,241 | |
Flagship Credit Auto Trust 2018-2 | | | | | | | | |
4.23%, 09/16/2024 (1) | | | 1,580,000 | | | | 1,586,241 | |
Ford Credit Auto Lease Trust 2017-A | | | | | | | | |
1.88%, 04/15/2020 | | | 1,005,000 | | | | 999,831 | |
Ford Credit Auto Owner Trust 2015-A | | | | | | | | |
1.28%, 09/15/2019 | | | 74 | | | | 74 | |
| | | | | | | | |
Ford Credit Auto Owner Trust 2015-B | | | | | | | | |
1.16%, 11/15/2019 | | | 2,267 | | | | 2,265 | |
Ford Credit Auto Owner Trust 2015-C | | | | | | | | |
1.41%, 02/15/2020 | | | 458,763 | | | | 457,822 | |
Ford Credit Auto Owner Trust 2016-B | | | | | | | | |
1.33%, 10/15/2020 | | | 1,522,917 | | | | 1,513,259 | |
Ford Credit Auto Owner Trust 2016-C | | | | | | | | |
1.22%, 03/15/2021 | | | 2,890,000 | | | | 2,855,488 | |
1.73%, 03/15/2022 | | | 555,000 | | | | 540,105 | |
1.93%, 04/15/2023 | | | 370,000 | | | | 361,485 | |
Ford Credit Auto Owner Trust 2016-REV2 | | | | | | | | |
2.03%, 12/15/2027 (1) | | | 4,565,000 | | | | 4,420,293 | |
Ford Credit Auto Owner Trust 2017-B | | | | | | | | |
1.69%, 11/15/2021 | | | 4,070,000 | | | | 4,003,812 | |
Ford Credit Auto Owner Trust 2017-C | | | | | | | | |
2.01%, 03/15/2022 | | | 1,505,000 | | | | 1,483,795 | |
Ford Credit Floorplan Master Owner Trust A | | | | | | | | |
1.55%, 07/15/2021 | | | 2,660,000 | | | | 2,625,683 | |
2.16%, 11/15/2021 | | | 385,000 | | | | 380,338 | |
Fremont Home Loan Trust 2005-C | | | | | | | | |
3.02% (1 Month LIBOR USD + 0.93%, 0.62% Floor), 07/25/2035 (2) | | | 5,252,773 | | | | 4,464,903 | |
Galaxy XXIX CLO Ltd. | | | | | | | | |
3.12% (3 Month LIBOR USD + 0.79%), 11/15/2026 (1)(2) | | | 2,545,000 | | | | 2,541,119 | |
3.73% (3 Month LIBOR USD + 1.40%), 11/15/2026 (1)(2) | | | 985,000 | | | | 979,263 | |
GCAT 2017-2 LLC | | | | | | | | |
3.50%, 04/25/2047 (1)(3) | | | 853,874 | | | | 846,912 | |
GCAT 2017-5 LLC | | | | | | | | |
3.23%, 07/25/2047 (1)(3) | | | 239,926 | | | | 238,585 | |
GCAT 2018-1 LLC | | | | | | | | |
3.84%, 06/25/2048 (1)(3) | | | 1,256,413 | | | | 1,255,581 | |
GCAT 2018-2 LLC | | | | | | | | |
4.09%, 06/26/2023 (1)(3) | | | 3,350,000 | | | | 3,349,940 | |
GE Business Loan Trust | | | | | | | | |
2.10%, 11/15/2034 | | | 2,433,723 | | | | 2,389,412 | |
GE Capital Credit Card Master Note Trust | | | | | | | | |
2.21%, 09/15/2022 | | | 1,700,000 | | | | 1,684,127 | |
GM Financial Automobile Leasing Trust 2016-2 | | | | | | | | |
1.76%, 03/20/2020 | | | 995,000 | | | | 989,514 | |
2.08%, 03/20/2020 | | | 570,000 | | | | 566,653 | |
2.58%, 03/20/2020 | | | 350,000 | | | | 348,823 | |
| | | | | | | | |
GM Financial Automobile Leasing Trust 2018-2 | | | | | | | | |
3.16%, 04/20/2022 | | | 1,455,000 | | | | 1,455,952 | |
GM Financial Consumer Automobile 2017-1 | | | | | | | | |
1.78%, 10/18/2021 (1) | | | 410,000 | | | | 404,790 | |
2.45%, 07/17/2023 (1) | | | 100,000 | | | | 97,913 | |
GM Financial Consumer Automobile Receivables Trust 2017-3 | | | | | | | | |
2.33%, 03/16/2023 (1) | | | 155,000 | | | | 151,200 | |
GM Financial Consumer Automobile Receivables Trust 2018-2 | | | | | | | | |
2.81%, 12/16/2022 | | | 4,300,000 | | | | 4,286,189 | |
3.31%, 12/18/2023 | | | 1,615,000 | | | | 1,607,869 | |
GMF Floorplan Owner Revolving Trust | | | | | | | | |
2.41%, 05/17/2021 (1) | | | 145,000 | | | | 144,287 | |
2.85%, 05/17/2021 (1) | | | 100,000 | | | | 99,343 | |
2.26%, 08/16/2021 (1) | | | 855,000 | | | | 847,963 | |
2.46%, 08/16/2021 (1) | | | 855,000 | | | | 845,779 | |
2.22%, 01/18/2022 (1) | | | 1,500,000 | | | | 1,483,427 | |
Grand Avenue Mortgage Loan Trust 2017-RPL1 | | | | | | | | |
3.25%, 08/25/2064 (1) | | | 2,809,006 | | | | 2,759,580 | |
GreatAmerica Leasing Receivables Funding LLC Series 2017-1 | | | | | | | | |
1.72%, 04/22/2019 (1) | | | 55,668 | | | | 55,589 | |
2.06%, 06/22/2020 (1) | | | 150,000 | | | | 149,072 | |
GreatAmerica Leasing Receivables Funding LLC Series 2018-1 | | | | | | | | |
2.35%, 05/15/2020 (1) | | | 530,000 | | | | 528,240 | |
2.99%, 06/17/2024 (1) | | | 1,685,000 | | | | 1,667,662 | |
Halcyon Loan Advisors Funding 2014-3 Ltd. | | | | | | | | |
3.46% (3 Month LIBOR USD + 1.10%), 10/22/2025 (1)(2) | | | 1,585,000 | | | | 1,584,585 | |
Hardee’s Funding LLC | | | | | | | | |
4.25%, 06/20/2048 (1) | | | 1,730,000 | | | | 1,734,567 | |
4.96%, 06/20/2048 (1) | | | 4,310,000 | | | | 4,344,653 | |
Harley Marine Financing LLC | | | | | | | | |
5.68%, 05/15/2043 (1) | | | 997,500 | | | | 1,011,585 | |
Hilton Grand Vacations Trust 2017-A | | | | | | | | |
2.66%, 12/26/2028 (1) | | | 309,132 | | | | 303,609 | |
2.96%, 12/26/2028 (1)(4) | | | 140,514 | | | | 137,401 | |
Holland Park CLO 1 Ltd. | | | | | | | | |
0.60% (3 Month EURIBOR + 0.93%), 05/14/2027 (1)(2) | | EUR | 7,200,000 | | | | 8,407,691 | |
Home Equity Asset Trust 2006-3 | | | | | | | | |
2.29% (1 Month LIBOR USD + 0.20%, 0.20% Floor), 07/25/2036 (2) | | $ | 5,058,841 | | | | 5,054,026 | |
| | | | | | | | |
Honda Auto Receivables 2015-4 Owner Trust | | | | | | | | |
1.23%, 09/23/2019 | | | 732,888 | | | | 730,170 | |
Honda Auto Receivables 2016-1 Owner Trust | | | | | | | | |
1.22%, 12/18/2019 | | | 551,842 | | | | 549,394 | |
Honda Auto Receivables 2016-3 Owner Trust | | | | | | | | |
1.16%, 05/18/2020 | | | 1,901,018 | | | | 1,886,926 | |
Honda Auto Receivables 2017-2 Owner Trust | | | | | | | | |
1.68%, 08/16/2021 | | | 2,730,000 | | | | 2,689,902 | |
Honda Auto Receivables 2017-4 Owner Trust | | | | | | | | |
2.05%, 11/22/2021 | | | 9,800,000 | | | | 9,667,358 | |
Honda Auto Receivables 2018-1 Owner Trust | | | | | | | | |
2.64%, 02/15/2022 | | | 5,140,000 | | | | 5,113,441 | |
House of Europe Funding V Plc | | | | | | | | |
0.00% (3 Month EURIBOR + 0.28%), 11/08/2090 (2) | | EUR | 2,344,876 | | | | 2,719,666 | |
HSI Asset Securitization Corp. Trust 2006-OPT1 | | | | | | | | |
2.31% (1 Month LIBOR USD + 0.22%, 0.22% Floor), 12/25/2035 (2) | | $ | 778,847 | | | | 777,660 | |
Hyundai Auto Lease Securitization Trust 2016-B | | | | | | | | |
1.68%, 04/15/2020 (1) | | | 140,000 | | | | 139,468 | |
Hyundai Auto Lease Securitization Trust 2016-C | | | | | | | | |
1.49%, 02/18/2020 (1) | | | 1,238,554 | | | | 1,235,252 | |
Hyundai Auto Lease Securitization Trust 2017-A | | | | | | | | |
1.88%, 08/17/2020 (1) | | | 1,140,000 | | | | 1,134,871 | |
Hyundai Auto Lease Securitization Trust 2017-B | | | | | | | | |
1.97%, 07/15/2020 (1) | | | 2,465,000 | | | | 2,445,149 | |
Hyundai Auto Lease Securitization Trust 2017-C | | | | | | | | |
2.12%, 02/16/2021 (1) | | | 980,000 | | | | 970,065 | |
Invitation Homes 2015-SFR3 Trust | | | | | | | | |
5.82% (1 Month LIBOR USD + 3.75%, 3.75% Floor), 08/17/2032 (1)(2) | | | 2,785,000 | | | | 2,784,744 | |
Invitation Homes 2018-SFR1 Trust | | | | | | | | |
4.09% (1 Month LIBOR USD + 2.00%), 03/17/2037 (1)(2) | | | 445,000 | | | | 446,288 | |
Invitation Homes 2018-SFR2 Trust | | | | | | | | |
4.07% (1 Month LIBOR USD + 2.00%, 2.10% Floor), 06/17/2037 (1)(2) | | | 2,155,000 | | | | 2,161,497 | |
Invitation Homes 2018-SFR3 Trust | | | | | | | | |
4.00% (1 Month LIBOR USD + 2.00%, 2.00% Floor), 07/17/2037 (1)(2) | | | 2,645,000 | | | | 2,646,552 | |
Jamestown CLO IV Ltd. | | | | | | | | |
3.04% (3 Month LIBOR USD + 0.69%), 07/15/2026 (1)(2) | | | 13,689,655 | | | | 13,683,207 | |
Jimmy Johns Funding LLC | | | | | | | | |
3.61%, 07/30/2047 (1) | | | 401,963 | | | | 399,326 | |
JP Morgan Mortgage Acquisition Corp. 2006-FRE2 | | | | | | | | |
2.45% (1 Month LIBOR USD + 0.36%, 0.36% Floor), 02/25/2036 (2) | | | 8,467,499 | | | | 7,303,995 | |
| | | | | | | | |
JP Morgan Mortgage Acquisition Trust 2006-WMC4 | | | | | | | | |
2.21% (1 Month LIBOR USD + 0.12%, 0.12% Floor), 12/25/2036 (2) | | | 26,374,198 | | | | 16,215,672 | |
2.24% (1 Month LIBOR USD + 0.15%, 0.15% Floor), 12/25/2036 (2) | | | 24,020,216 | | | | 14,821,898 | |
JP Morgan Mortgage Acquisition Trust 2007-CH3 | | | | | | | | |
2.35% (1 Month LIBOR USD + 0.26%, 0.26% Floor), 03/25/2037 (2) | | | 13,020,000 | | | | 12,701,328 | |
KKR CLO 12 Ltd. | | | | | | | | |
3.40% (3 Month LIBOR USD + 1.05%), 07/15/2027 (1)(2) | | | 4,060,000 | | | | 4,058,376 | |
3.90% (3 Month LIBOR USD + 1.55%), 07/15/2027 (1)(2) | | | 1,625,000 | | | | 1,623,362 | |
KKR CLO 13 Ltd. | | | | | | | | |
3.15% (3 Month LIBOR USD + 0.80%, 0.80% Floor), 01/16/2028 (1)(2) | | | 2,745,000 | | | | 2,743,606 | |
Kubota Credit Owner Trust 2015-1 | | | | | | | | |
1.79%, 08/16/2021 (1) | | | 414,627 | | | | 414,152 | |
Kubota Credit Owner Trust 2016-1 | | | | | | | | |
1.50%, 07/15/2020 (1) | | | 1,053,627 | | | | 1,044,922 | |
Lendmark Funding Trust 2018-1 | | | | | | | | |
3.81%, 12/21/2026 (1) | | | 1,655,000 | | | | 1,661,575 | |
Madison Park Funding XIV Ltd. | | | | | | | | |
3.48% (3 Month LIBOR USD + 1.12%), 07/20/2026 (1)(2) | | | 2,510,000 | | | | 2,509,872 | |
Madison Park Funding XVIII Ltd. | | | | | | | | |
3.55% (3 Month LIBOR USD + 1.19%), 10/21/2030 (1)(2) | | | 4,815,000 | | | | 4,821,712 | |
Magnetite XII Ltd. | | | | | | | | |
3.68% (3 Month LIBOR USD + 1.33%), 04/15/2027 (1)(2) | | | 4,385,000 | | | | 4,384,404 | |
Magnetite XVI Ltd. | | | | | | | | |
3.56% (3 Month LIBOR USD + 1.20%), 01/18/2028 (1)(2) | | | 2,760,000 | | | | 2,729,427 | |
MAPS 2018-1 Ltd. | | | | | | | | |
4.21%, 05/15/2043 (1) | | | 1,322,848 | | | | 1,327,974 | |
Mastr Asset Backed Securities Trust 2004-WMC1 | | | | | | | | |
2.87% (1 Month LIBOR USD + 0.78%, 0.52% Floor), 02/25/2034 (2) | | | 2,186,594 | | | | 2,171,570 | |
Mastr Specialized Loan Trust | | | | | | | | |
2.35% (1 Month LIBOR USD + 0.26%, 0.26% Floor), 02/25/2036 (1)(2) | | | 1,219,743 | | | | 1,199,025 | |
Merlin Aviation Holdings DAC | | | | | | | | |
4.50%, 12/15/2032 (1)(3) | | | 1,388,290 | | | | 1,407,271 | |
Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-2 | | | | | | | | |
2.33% (1 Month LIBOR USD + 0.24%, 0.24% Floor), 05/25/2037 (2) | | | 3,126,693 | | | | 2,170,039 | |
Metal 2017-1 LLC | | | | | | | | |
4.58%, 10/15/2042 (1) | | | 4,700,647 | | | | 4,779,246 | |
Mill City Mortgage Loan Trust 2018-1 | | | | | | | | |
3.25%, 05/25/2062 (1)(4) | | | 1,497,097 | | | | 1,488,257 | |
MMAF Equipment Finance LLC 2016-A | | | | | | | | |
1.76%, 01/17/2023 (1) | | | 280,000 | | | | 272,748 | |
| | | | | | | | |
MMAF Equipment Finance LLC 2017-A | | | | | | | | |
1.73%, 05/18/2020 (1) | | | 139,433 | | | | 139,049 | |
2.04%, 02/16/2022 (1) | | | 425,000 | | | | 418,145 | |
MMAF Equipment Finance LLC 2017-B | | | | | | | | |
2.21%, 10/17/2022 (1) | | | 1,810,000 | | | | 1,773,181 | |
2.41%, 11/15/2024 (1) | | | 665,000 | | | | 647,969 | |
MMAF Equipment Finance LLC 2018-A | | | | | | | | |
3.39%, 01/10/2025 (1) | | | 1,180,000 | | | | 1,183,869 | |
Mountain View CLO 2014-1 Ltd. | | | | | | | | |
2.90% (3 Month LIBOR USD + 0.80%, 0.80% Floor), 10/15/2026 (1)(2) | | | 10,700,000 | | | | 10,700,000 | |
MS MTG LN TR 2006-15XS | | | | | | | | |
6.20%, 11/25/2036 (3)(10) | | | 15,377,470 | | | | 7,315,999 | |
Munda CLO 1 BV | | | | | | | | |
0.57% (6 Month EURIBOR + 0.85%), 12/05/2024 (1)(2) | | EUR | 20,000,000 | | | | 23,262,907 | |
MVW Owner Trust 2015-1 | | | | | | | | |
2.52%, 12/20/2032 (1) | | $ | 736,871 | | | | 720,121 | |
MVW Owner Trust 2017-1 | | | | | | | | |
2.42%, 12/20/2034 (1) | | | 305,558 | | | | 297,926 | |
2.75%, 12/20/2034 (1) | | | 206,574 | | | | 200,442 | |
National Collegiate Student Loan Trust 2004-2 | | | | | | | | |
2.44% (1 Month LIBOR USD + 0.48%, 0.48% Floor), 12/26/2033 (2) | | | 15,318,257 | | | | 15,067,866 | |
National Collegiate Student Loan Trust 2005-2 | | | | | | | | |
2.36% (1 Month LIBOR USD + 0.27%, 0.27% Floor), 09/25/2029 (2) | | | 6,108,360 | | | | 6,030,748 | |
National Collegiate Student Loan Trust 2005-3 | | | | | | | | |
2.38% (1 Month LIBOR USD + 0.29%), 10/25/2033 (1)(2) | | | 19,263,917 | | | | 18,356,956 | |
National Collegiate Student Loan Trust 2006-3 | | | | | | | | |
2.36% (1 Month LIBOR USD + 0.27%), 03/26/2029 (2) | | | 8,577,516 | | | | 8,454,627 | |
National Collegiate Student Loan Trust 2006-4 | | | | | | | | |
2.35% (1 Month LIBOR USD + 0.26%, 0.26% Floor), 02/26/2029 (2) | | | 7,208,513 | | | | 7,104,773 | |
National Collegiate Student Loan Trust 2007-1 | | | | | | | | |
2.33% (1 Month LIBOR USD + 0.24%), 07/25/2030 (2) | | | 9,755,114 | | | | 9,588,124 | |
Navient Private Education Loan Trust 2017-A | | | | | | | | |
2.88%, 12/16/2058 (1) | | | 660,000 | | | | 642,820 | |
3.91%, 12/16/2058 (1) | | | 440,000 | | | | 425,496 | |
Navient Private Education Loan Trust 2018-B | | | | | | | | |
3.61%, 12/15/2059 (1) | | | 2,115,000 | | | | 2,123,876 | |
Navient Private Education Refi Loan Trust 2018-A | | | | | | | | |
2.53%, 02/18/2042 (1) | | | 2,047,941 | | | | 2,031,728 | |
Navient Student Loan Trust 2014-2 | | | | | | | | |
2.73% (1 Month LIBOR USD + 0.64%, 0.64% Floor), 03/25/2083 (2) | | | 924,252 | | | | 919,630 | |
| | | | | | | | |
Navient Student Loan Trust 2014-3 | | | | | | | | |
2.58% (1 Month LIBOR USD + 0.62%, 0.62% Floor), 03/25/2083 (2) | | | 343,802 | | | | 342,243 | |
Navient Student Loan Trust 2015-1 | | | | | | | | |
2.69% (1 Month LIBOR USD + 0.60%, 0.60% Floor), 04/25/2040 (2) | | | 5,583,758 | | | | 5,596,054 | |
Navient Student Loan Trust 2016-1 | | | | | | | | |
2.79% (1 Month LIBOR USD + 0.70%), 02/25/2070 (1)(2) | | | 8,646,643 | | | | 8,678,892 | |
Navient Student Loan Trust 2016-2 | | | | | | | | |
3.59% (1 Month LIBOR USD + 1.50%), 06/25/2065 (1)(2) | | | 6,200,000 | | | | 6,468,290 | |
Navient Student Loan Trust 2017-1 | | | | | | | | |
3.24% (1 Month LIBOR USD + 1.15%), 07/26/2066 (1)(2) | | | 4,730,000 | | | | 4,845,041 | |
Navient Student Loan Trust 2017-3 | | | | | | | | |
3.14% (1 Month LIBOR USD + 1.05%), 07/26/2066 (1)(2) | | | 5,000,000 | | | | 5,114,228 | |
Navient Student Loan Trust 2017-5 | | | | | | | | |
2.89% (1 Month LIBOR USD + 0.80%), 07/26/2066 (1)(2) | | | 5,329,358 | | | | 5,378,518 | |
Navient Student Loan Trust 2018-2 | | | | | | | | |
2.47% (1 Month LIBOR USD + 0.38%), 03/25/2067 (1)(2) | | | 3,490,000 | | | | 3,488,970 | |
Nelnet Student Loan Trust 2005-4 | | | | | | | | |
2.51% (3 Month LIBOR USD + 0.18%, 0.18% Floor), 03/22/2032 (2) | | | 1,976,112 | | | | 1,949,477 | |
Nelnet Student Loan Trust 2007-1 | | | | | | | | |
2.40% (3 Month LIBOR USD + 0.07%), 05/27/2025 (2) | | | 3,752,992 | | | | 3,736,729 | |
Nelnet Student Loan Trust 2008-3 | | | | | | | | |
3.98% (3 Month LIBOR USD + 1.65%, 1.65% Floor), 11/25/2024 (2) | | | 1,877,908 | | | | 1,905,858 | |
Nelnet Student Loan Trust 2013-1 | | | | | | | | |
2.56% (1 Month LIBOR USD + 0.60%, 0.60% Floor), 06/25/2041 (1)(2) | | | 4,779,077 | | | | 4,800,364 | |
Nelnet Student Loan Trust 2014-2 | | | | | | | | |
2.94% (1 Month LIBOR USD + 0.85%), 07/27/2037 (1)(2) | | | 4,250,000 | | | | 4,276,044 | |
Nelnet Student Loan Trust 2015-2 | | | | | | | | |
2.69% (1 Month LIBOR USD + 0.60%, 0.60% Floor), 09/25/2047 (1)(2) | | | 2,685,011 | | | | 2,681,845 | |
Nelnet Student Loan Trust 2015-3 | | | | | | | | |
2.56% (1 Month LIBOR USD + 0.60%), 02/27/2051 (1)(2) | | | 4,054,730 | | | | 4,066,027 | |
Neuberger Berman CLO XIX Ltd. | | | | | | | | |
3.50% (3 Month LIBOR USD + 1.15%, 1.15% Floor), 07/15/2027 (1)(2) | | | 3,010,000 | | | | 3,014,051 | |
New Century Home Equity Loan Trust 2005-1 | | | | | | | | |
2.77% (1 Month LIBOR USD + 0.68%, 0.45% Floor, 12.50% Cap), 03/25/2035 (2) | | | 6,000,000 | | | | 5,997,010 | |
New Century Home Equity Loan Trust 2005-3 | | | | | | | | |
2.83% (1 Month LIBOR USD + 0.74%, 0.49% Floor, 12.50% Cap), 07/25/2035 (2) | | | 571,922 | | | | 572,783 | |
2.86% (1 Month LIBOR USD + 0.77%, 0.51% Floor, 12.50% Cap), 07/25/2035 (2) | | | 6,570,000 | | | | 6,579,793 | |
Nissan Auto Lease Trust 2017-A | | | | | | | | |
1.91%, 04/15/2020 | | | 1,760,000 | | | | 1,745,443 | |
Nissan Auto Receivables 2015-A Owner Trust | | | | | | | | |
1.05%, 10/15/2019 | | | 1,509 | | | | 1,507 | |
| | | | | | | | |
Nissan Auto Receivables 2015-B Owner Trust | | | | | | | | |
1.34%, 03/16/2020 | | | 1,057,320 | | | | 1,053,593 | |
Nissan Auto Receivables 2015-C Owner Trust | | | | | | | | |
1.37%, 05/15/2020 | | | 47,665 | | | | 47,434 | |
Nissan Auto Receivables 2016-C Owner Trust | | | | | | | | |
1.18%, 01/15/2021 | | | 1,892,708 | | | | 1,871,627 | |
Nissan Auto Receivables 2017-A Owner Trust | | | | | | | | |
1.47%, 01/15/2020 | | | 2,027,605 | | | | 2,022,165 | |
Nissan Auto Receivables 2018-A Owner Trust | | | | | | | | |
2.65%, 05/16/2022 | | | 3,250,000 | | | | 3,232,859 | |
Nissan Master Owner Trust Receivables | | | | | | | | |
1.54%, 06/15/2021 | | | 1,465,000 | | | | 1,448,050 | |
2.50% (1 Month LIBOR USD + 0.43%), 04/18/2022 (2) | | | 4,520,000 | | | | 4,532,003 | |
2.39% (1 Month LIBOR USD + 0.32%), 10/17/2022 (2) | | | 1,890,000 | | | | 1,891,132 | |
Nomura Home Equity Loan, Inc. Home Equity Loan Trust Series 2006-HE1 | | | | | | | | |
2.50% (1 Month LIBOR USD + 0.41%, 0.41% Floor), 02/25/2036 (2) | | | 6,038,221 | | | | 6,053,718 | |
NYMT Residential 2016-RP1 | | | | | | | | |
4.00%, 03/25/2021 (1)(3) | | | 49,080 | | | | 49,229 | |
Oak Hill Advisors Residential Loan Trust 2017-NPL2 | | | | | | | | |
3.00%, 07/25/2057 (1)(3) | | | 1,811,187 | | | | 1,793,225 | |
Oak Hill Advisors Residential Loan Trust 2017-NPLA | | | | | | | | |
3.00%, 06/25/2057 (1)(3) | | | 614,170 | | | | 608,458 | |
Octagon Investment Partners XXI Ltd. | | | | | | | | |
3.71% (3 Month LIBOR USD + 1.35%), 11/14/2026 (1)(2) | | | 4,700,000 | | | | 4,699,906 | |
Octagon Investment Partners XXIII Ltd. | | | | | | | | |
3.11% (3 Month LIBOR USD + 0.85%), 07/15/2027 (1)(2) | | | 2,035,000 | | | | 2,030,956 | |
3.46% (3 Month LIBOR USD + 1.20%), 07/15/2027 (1)(2) | | | 1,685,000 | | | | 1,680,343 | |
OFSI Fund VII Ltd. | | | | | | | | |
3.26% (3 Month LIBOR USD + 0.90%), 10/18/2026 (1)(2) | | | 5,387,500 | | | | 5,385,318 | |
OneMain Financial Issuance Trust 2014-2 | | | | | | | | |
5.31%, 09/18/2024 (1) | | | 2,685,000 | | | | 2,707,145 | |
OneMain Financial Issuance Trust 2015-2 | | | | | | | | |
2.57%, 07/18/2025 (1) | | | 174,751 | | | | 174,708 | |
3.10%, 07/18/2025 (1) | | | 1,280,000 | | | | 1,280,135 | |
5.64%, 07/18/2025 (1) | | | 1,915,000 | | | | 1,935,838 | |
OneMain Financial Issuance Trust 2015-3 | | | | | | | | |
4.16%, 11/20/2028 (1) | | | 710,000 | | | | 717,417 | |
OneMain Financial Issuance Trust 2016-1 | | | | | | | | |
4.57%, 02/20/2029 (1) | | | 1,125,000 | | | | 1,145,376 | |
OneMain Financial Issuance Trust 2016-2 | | | | | | | | |
5.94%, 03/20/2028 (1) | | | 1,440,000 | | | | 1,455,567 | |
| | | | | | | | |
OneMain Financial Issuance Trust 2017-1 | | | | | | | | |
3.35%, 09/14/2032 (1) | | | 1,645,000 | | | | 1,614,423 | |
Onemain Financial Issuance Trust 2018-1 | | | | | | | | |
4.08%, 03/14/2029 (1) | | | 1,220,000 | | | | 1,222,579 | |
Option One Mortgage Loan Trust 2005-2 | | | | | | | | |
2.75% (1 Month LIBOR USD + 0.66%, 0.44% Floor), 05/25/2035 (2) | | | 897,014 | | | | 899,052 | |
Option One Mortgage Loan Trust 2005-3 | | | | | | | | |
2.80% (1 Month LIBOR USD + 0.71%, 0.47% Floor), 08/25/2035 (2) | | | 696,883 | | | | 697,629 | |
Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4 | | | | | | | | |
2.53% (1 Month LIBOR USD + 0.44%, 0.44% Floor), 11/25/2035 (2) | | | 6,174,195 | | | | 6,169,856 | |
Option One Mortgage Loan Trust 2006-1 | | | | | | | | |
2.31% (1 Month LIBOR USD + 0.22%, 0.22% Floor), 01/25/2036 (2) | | | 9,975,572 | | | | 9,882,443 | |
Option One Mortgage Loan Trust 2006-3 | | | | | | | | |
2.23% (1 Month LIBOR USD + 0.14%, 0.14% Floor), 02/25/2037 (2) | | | 23,837,040 | | | | 17,819,420 | |
OSAT 2016-NPL1 Trust | | | | | | | | |
3.75%, 07/25/2056 (1)(3) | | | 1,695,304 | | | | 1,704,592 | |
OSCAR U.S. Funding Trust V | | | | | | | | |
2.73%, 12/15/2020 (1) | | | 640,000 | | | | 638,065 | |
2.99%, 12/15/2023 (1) | | | 540,000 | | | | 536,255 | |
OZLM VIII Ltd. | | | | | | | | |
3.48% (3 Month LIBOR USD + 1.13%), 10/17/2026 (1)(2) | | | 1,445,000 | | | | 1,444,461 | |
3.95% (3 Month LIBOR USD + 1.60%), 10/17/2026 (1)(2) | | | 1,100,000 | | | | 1,098,929 | |
Palmer Square CLO 2018-2 Ltd. | | | | | | | | |
0.00% (3 Month LIBOR USD + 1.65%), 07/16/2031 (1)(2) | | | 2,670,000 | | | | 2,670,000 | |
3.44% (3 Month LIBOR USD + 1.10%), 07/16/2031 (1)(2) | | | 10,675,000 | | | | 10,675,000 | |
Progress Residential 2015-SFR3 Trust | | | | | | | | |
4.67%, 11/12/2032 (1) | | | 505,000 | | | | 511,037 | |
RASC Series 2005-KS10 Trust | | | | | | | | |
2.53% (1 Month LIBOR USD + 0.44%, 0.44% Floor, 14.00% Cap), 11/25/2035 (2) | | | 11,150,000 | | | | 11,114,617 | |
RASC Series 2006-KS9 Trust | | | | | | | | |
2.25% (1 Month LIBOR USD + 0.16%, 0.16% Floor, 14.00% Cap), 11/25/2036 (2) | | | 7,659,487 | | | | 7,264,908 | |
RCO Mortgage LLC 2017-1 | | | | | | | | |
3.38%, 08/25/2022 (1)(3) | | | 2,300,705 | | | | 2,288,045 | |
RCO V Mortgage LLC 2018-1 | | | | | | | | |
4.00%, 05/25/2023 (1)(3) | | | 3,188,072 | | | | 3,187,957 | |
RMAT 2018-NPL1 LP | | | | | | | | |
4.09%, 05/25/2048 (1)(3) | | | 16,578,334 | | | | 16,565,849 | |
Santander Drive Auto Receivables Trust 2014-3 | | | | | | | | |
2.65%, 08/17/2020 | | | 200,514 | | | | 200,460 | |
3.49%, 09/15/2021 (1) | | | 985,000 | | | | 988,697 | |
| | | | | | | | |
Santander Drive Auto Receivables Trust 2015-2 | | | | | | | | |
4.02%, 09/15/2022 (1) | | | 2,450,000 | | | | 2,459,315 | |
Santander Drive Auto Receivables Trust 2015-3 | | | | | | | | |
4.50%, 06/17/2023 (1) | | | 2,125,000 | | | | 2,145,085 | |
Santander Drive Auto Receivables Trust 2015-4 | | | | | | | | |
3.53%, 08/16/2021 | | | 937,000 | | | | 942,729 | |
Santander Drive Auto Receivables Trust 2015-5 | | | | | | | | |
3.65%, 12/15/2021 | | | 275,000 | | | | 276,705 | |
Santander Drive Auto Receivables Trust 2016-3 | | | | | | | | |
2.46%, 03/15/2022 | | | 155,000 | | | | 154,016 | |
Santander Drive Auto Receivables Trust 2017-1 | | | | | | | | |
1.49%, 02/18/2020 | | | 20,430 | | | | 20,418 | |
2.10%, 06/15/2021 | | | 260,000 | | | | 258,525 | |
2.58%, 05/16/2022 | | | 305,000 | | | | 302,855 | |
Santander Drive Auto Receivables Trust 2017-3 | | | | | | | | |
2.19%, 03/15/2022 | | | 1,100,000 | | | | 1,088,817 | |
Santander Drive Auto Receivables Trust 2018-1 | | | | | | | | |
2.96%, 03/15/2024 | | | 800,000 | | | | 792,161 | |
Santander Drive Auto Receivables Trust 2018-2 | | | | | | | | |
3.03%, 09/15/2022 | | | 1,560,000 | | | | 1,556,791 | |
3.35%, 07/17/2023 | | | 985,000 | | | | 985,238 | |
3.88%, 02/15/2024 | | | 2,605,000 | | | | 2,593,706 | |
Santander Drive Auto Receivables Trust 2018-3 | | | | | | | | |
4.07%, 08/15/2024 | | | 3,770,000 | | | | 3,775,559 | |
Santander Retail Auto Lease Trust 2017-A | | | | | | | | |
2.22%, 01/20/2021 (1) | | | 880,000 | | | | 870,515 | |
2.96%, 11/21/2022 (1) | | | 1,000,000 | | | | 985,849 | |
Securitized Asset Backed Receivables LLC Trust 2006-CB5 | | | | | | | | |
2.23% (1 Month LIBOR USD + 0.14%, 0.14% Floor), 06/25/2036 (2) | | | 6,110,845 | | | | 4,893,937 | |
Shenton Aircraft Investment I Ltd. | | | | | | | | |
4.75%, 10/15/2042 (1) | | | 720,342 | | | | 732,501 | |
Sierra Receivables Funding Co. LLC | | | | | | | | |
2.91%, 03/20/2034 (1) | | | 228,402 | | | | 226,404 | |
Sierra Timeshare 2015-2 Receivables Funding LLC | | | | | | | | |
2.43%, 06/20/2032 (1) | | | 337,361 | | | | 334,099 | |
Sierra Timeshare 2016-2 Receivables Funding LLC | | | | | | | | |
2.33%, 07/20/2033 (1) | | | 330,143 | | | | 325,898 | |
S-Jets 2017-1 Ltd. | | | | | | | | |
3.97%, 08/15/2042 (1) | | | 8,811,667 | | | | 8,790,510 | |
| | | | | | | | |
SLC Student Loan Trust 2005-2 | | | | | | | | |
2.50% (3 Month LIBOR USD + 0.16%), 12/15/2039 (2) | | | 4,900,000 | | | | 4,712,723 | |
SLC Student Loan Trust 2005-3 | | | | | | | | |
2.49% (3 Month LIBOR USD + 0.15%), 12/15/2039 (2) | | | 5,000,000 | | | | 4,787,847 | |
SLM Private Credit Student Loan Trust 2003-B | | | | | | | | |
4.30% (28 Day Auction Rate + 0.00%, 18.00% Cap), 03/15/2033 (2) | | | 4,375,000 | | | | 4,391,134 | |
SLM Student Loan Trust 2004-3 | | | | | | | | |
2.91% (3 Month LIBOR USD + 0.55%, 0.55% Floor), 10/25/2064 (1)(2) | | | 6,300,000 | | | | 6,276,679 | |
SLM Student Loan Trust 2006-2 | | | | | | | | |
2.53% (3 Month LIBOR USD + 0.17%), 01/25/2041 (2) | | | 4,340,000 | | | | 4,237,841 | |
SLM Student Loan Trust 2007-2 | | | | | | | | |
2.53% (3 Month LIBOR USD + 0.17%), 07/25/2025 (2) | | | 6,950,000 | | | | 6,380,168 | |
SLM Student Loan Trust 2007-3 | | | | | | | | |
2.42% (3 Month LIBOR USD + 0.06%, 0.06% Floor), 01/25/2022 (2) | | | 4,150,000 | | | | 4,066,691 | |
SLM Student Loan Trust 2007-6 | | | | | | | | |
2.74% (3 Month LIBOR USD + 0.38%), 10/25/2024 (2) | | | 2,478,299 | | | | 2,481,975 | |
SLM Student Loan Trust 2008-2 | | | | | | | | |
3.11% (3 Month LIBOR USD + 0.75%), 04/25/2023 (2) | | | 10,906,114 | | | | 10,879,115 | |
SLM Student Loan Trust 2008-4 | | | | | | | | |
4.01% (3 Month LIBOR USD + 1.65%), 07/25/2022 (2) | | | 1,148,468 | | | | 1,172,291 | |
SLM Student Loan Trust 2008-5 | | | | | | | | |
4.06% (3 Month LIBOR USD + 1.70%, 1.70% Floor), 07/25/2023 (2) | | | 10,473,531 | | | | 10,748,973 | |
4.21% (3 Month LIBOR USD + 1.85%, 1.85% Floor), 07/25/2073 (2) | | | 7,350,000 | | | | 7,608,027 | |
SLM Student Loan Trust 2008-9 | | | | | | | | |
3.86% (3 Month LIBOR USD + 1.50%), 04/25/2023 (2) | | | 7,625,105 | | | | 7,770,744 | |
SLM Student Loan Trust 2009-3 | | | | | | | | |
2.84% (1 Month LIBOR USD + 0.75%, 0.75% Floor), 01/25/2045 (1)(2) | | | 2,485,184 | | | | 2,497,673 | |
SLM Student Loan Trust 2012-1 | | | | | | | | |
2.91% (1 Month LIBOR USD + 0.95%, 0.95% Floor), 09/25/2028 (2) | | | 7,131,317 | | | | 7,153,625 | |
SLM Student Loan Trust 2012-3 | | | | | | | | |
2.61% (1 Month LIBOR USD + 0.65%), 12/27/2038 (2) | | | 1,287,915 | | | | 1,294,727 | |
SLM Student Loan Trust 2012-7 | | | | | | | | |
2.61% (1 Month LIBOR USD + 0.65%, 0.65% Floor), 05/26/2026 (2) | | | 6,167,062 | | | | 6,121,068 | |
3.76% (1 Month LIBOR USD + 1.80%, 1.80% Floor), 09/25/2043 (2) | | | 2,220,000 | | | | 2,227,643 | |
SLM Student Loan Trust 2013-2 | | | | | | | | |
2.41% (1 Month LIBOR USD + 0.45%), 09/25/2043 (2) | | | 2,470,173 | | | | 2,478,284 | |
SLM Student Loan Trust 2014-1 | | | | | | | | |
2.56% (1 Month LIBOR USD + 0.60%), 02/26/2029 (2) | | | 3,989,619 | | | | 3,964,686 | |
SMART ABS Series 2016-2US Trust | | | | | | | | |
1.71%, 03/15/2021 | | | 3,075,000 | | | | 3,034,561 | |
2.05%, 12/14/2022 | | | 2,370,000 | | | | 2,304,235 | |
| | | | | | | | |
SMB Private Education Loan Trust 2014-A | | | | | | | | |
3.05%, 05/15/2026 (1) | | | 467,673 | | | | 466,737 | |
SMB Private Education Loan Trust 2015-B | | | | | | | | |
2.98%, 07/15/2027 (1) | | | 284,331 | | | | 282,508 | |
3.82% (1 Month LIBOR USD + 1.75%), 05/17/2032 (1)(2) | | | 1,685,000 | | | | 1,756,015 | |
SMB Private Education Loan Trust 2015-C | | | | | | | | |
2.75%, 07/15/2027 (1) | | | 431,343 | | | | 427,965 | |
3.50%, 09/15/2043 (1) | | | 6,190,000 | | | | 6,130,334 | |
SMB Private Education Loan Trust 2016-A | | | | | | | | |
2.70%, 05/15/2031 (1) | | | 478,618 | | | | 468,222 | |
SMB Private Education Loan Trust 2016-B | | | | | | | | |
2.43%, 02/17/2032 (1) | | | 2,678,765 | | | | 2,600,324 | |
SMB Private Education Loan Trust 2016-C | | | | | | | | |
2.34%, 09/15/2034 (1) | | | 785,000 | | | | 762,634 | |
SMB Private Education Loan Trust 2017-A | | | | | | | | |
2.88%, 09/15/2034 (1) | | | 1,960,000 | | | | 1,918,882 | |
SMB Private Education Loan Trust 2018-B | | | | | | | | |
2.80% (1 Month LIBOR USD + 0.72%), 01/15/2037 (1)(2) | | | 2,030,000 | | | | 2,031,035 | |
3.60%, 01/15/2037 (1) | | | 6,155,000 | | | | 6,181,611 | |
SoFi Consumer Loan Program 2017-3 LLC | | | | | | | | |
2.77%, 05/25/2026 (1) | | | 8,559,090 | | | | 8,490,663 | |
SoFi Consumer Loan Program 2017-4 LLC | | | | | | | | |
2.50%, 05/26/2026 (1) | | | 10,000,032 | | | | 9,873,886 | |
SoFi Consumer Loan Program 2017-6 LLC | | | | | | | | |
3.52%, 11/25/2026 (1) | | | 1,765,000 | | | | 1,740,626 | |
SoFi Consumer Loan Program 2018-2 Trust | | | | | | | | |
3.79%, 04/26/2027 (1) | | | 2,210,000 | | | | 2,202,349 | |
SoFi Professional Loan Program 2015-B LLC | | | | | | | | |
3.52%, 03/25/2036 (1) | | | 573,605 | | | | 565,868 | |
SoFi Professional Loan Program 2015-C LLC | | | | | | | | |
3.58%, 08/25/2036 (1) | | | 627,792 | | | | 623,005 | |
SoFi Professional Loan Program 2015-d LLC | | | | | | | | |
3.59%, 10/26/2037 (1) | | | 1,294,858 | | | | 1,290,890 | |
SoFi Professional Loan Program 2016-B LLC | | | | | | | | |
3.80%, 04/25/2037 (1) | | | 195,000 | | | | 192,197 | |
SoFi Professional Loan Program 2016-C LLC | | | | | | | | |
3.35%, 05/25/2037 (1)(4) | | | 310,000 | | | | 298,792 | |
SoFi Professional Loan Program 2016-D LLC | | | | | | | | |
3.23%, 01/25/2039 (1)(4) | | | 490,000 | | | | 465,696 | |
| | | | | | | | |
SoFi Professional Loan Program 2016-E LLC | | | | | | | | |
3.44%, 07/25/2040 (1)(4) | | | 1,600,000 | | | | 1,580,017 | |
SoFi Professional Loan Program 2017-A LLC | | | | | | | | |
4.43%, 03/26/2040 (1)(4) | | | 165,000 | | | | 163,451 | |
SoFi Professional Loan Program 2017-C LLC | | | | | | | | |
2.69% (1 Month LIBOR USD + 0.60%), 07/25/2040 (1)(2) | | | 6,835,765 | | | | 6,853,576 | |
SoFi Professional Loan Program 2017-E LLC | | | | | | | | |
4.16%, 11/26/2040 (1) | | | 695,000 | | | | 679,998 | |
SoFi Professional Loan Program 2017-F LLC | | | | | | | | |
3.62%, 01/25/2041 (1) | | | 1,405,000 | | | | 1,365,481 | |
SpringCastle America Funding LLC | | | | | | | | |
3.05%, 04/25/2029 (1) | | | 3,140,042 | | | | 3,128,559 | |
Springleaf Funding Trust 2017-A | | | | | | | | |
2.68%, 07/15/2030 (1) | | | 7,900,000 | | | | 7,770,167 | |
3.86%, 07/15/2030 (1) | | | 1,270,000 | | | | 1,262,782 | |
Sprite 2017-1 Ltd. | | | | | | | | |
4.25%, 12/15/2037 (1) | | | 1,359,229 | | | | 1,370,694 | |
Stanwich Mortgage Loan Trust Series 2018-NPB1 | | | | | | | | |
4.02%, 05/16/2023 (1)(3) | | | 3,050,322 | | | | 3,051,035 | |
Structured Asset Securities Corp. Mortgage Loan Trust 2007-WF2 | | | | | | | | |
3.09% (1 Month LIBOR USD + 1.00%, 1.00% Floor), 08/25/2037 (2) | | | 860,023 | | | | 864,429 | |
Symphony CLO XVII Ltd. | | | | | | | | |
3.23% (3 Month LIBOR USD + 0.88%), 04/15/2028 (1)(2) | | | 4,030,000 | | | | 4,018,893 | |
Synchrony Credit Card Master Note Trust | | | | | | | | |
1.94%, 09/15/2021 | | | 1,315,000 | | | | 1,313,200 | |
2.37%, 03/15/2023 | | | 2,215,000 | | | | 2,192,014 | |
2.64%, 03/15/2023 | | | 1,085,000 | | | | 1,073,600 | |
2.56%, 06/15/2023 | | | 1,205,000 | | | | 1,186,070 | |
2.62%, 09/15/2023 | | | 650,000 | | | | 639,325 | |
3.36%, 03/15/2024 | | | 2,835,000 | | | | 2,816,746 | |
3.87%, 05/15/2026 | | | 2,650,000 | | | | 2,663,360 | |
THL Credit Wind River 2014-3 CLO Ltd. | | | | | | | | |
3.46% (3 Month LIBOR USD + 1.10%), 01/22/2027 (1)(2) | | | 6,290,000 | | | | 6,287,648 | |
Tidewater Sales Finance Master Trust Series 2017-A | | | | | | | | |
4.55%, 04/15/2021 (1)(13) | | | 2,055,000 | | | | 2,053,898 | |
Towd Point Mortgage Trust 2015-4 | | | | | | | | |
3.75%, 04/25/2055 (1)(4) | | | 960,000 | | | | 963,958 | |
Towd Point Mortgage Trust 2016-4 | | | | | | | | |
3.25%, 07/25/2056 (1)(4) | | | 910,000 | | | | 882,839 | |
| | | | | | | | |
Towd Point Mortgage Trust 2017-1 | | | | | | | | |
2.75%, 10/25/2056 (1)(4) | | | 603,055 | | | | 590,419 | |
3.75%, 10/25/2056 (1)(4) | | | 6,315,000 | | | | 6,323,497 | |
Towd Point Mortgage Trust 2017-2 | | | | | | | | |
2.75%, 04/25/2057 (1)(4) | | | 283,896 | | | | 279,242 | |
Towd Point Mortgage Trust 2017-3 | | | | | | | | |
2.75%, 07/25/2057 (1)(4) | | | 1,684,961 | | | | 1,648,922 | |
Towd Point Mortgage Trust 2017-4 | | | | | | | | |
2.75%, 06/25/2057 (1)(4) | | | 10,578,090 | | | | 10,323,563 | |
Towd Point Mortgage Trust 2017-5 | | | | | | | | |
2.69% (1 Month LIBOR USD + 0.60%), 02/25/2057 (1)(2) | | | 1,046,227 | | | | 1,047,197 | |
Towd Point Mortgage Trust 2017-6 | | | | | | | | |
2.75%, 10/25/2057 (1)(4) | | | 1,980,987 | | | | 1,930,533 | |
Towd Point Mortgage Trust 2018-2 | | | | | | | | |
3.25%, 03/25/2058 (1)(4) | | | 8,646,780 | | | | 8,558,151 | |
Towd Point Mortgage Trust 2018-3 | | | | | | | | |
3.75%, 05/25/2058 (1)(4) | | | 8,620,000 | | | | 8,621,379 | |
Toyota Auto Receivables 2015-B Owner Trust | | | | | | | | |
1.27%, 05/15/2019 | | | 28,812 | | | | 28,796 | |
Toyota Auto Receivables 2017-A Owner Trust | | | | | | | | |
1.42%, 09/16/2019 | | | 491,137 | | | | 490,403 | |
Toyota Auto Receivables 2017-B Owner Trust | | | | | | | | |
1.76%, 07/15/2021 | | | 3,620,000 | | | | 3,574,848 | |
Toyota Auto Receivables 2017-C Owner Trust | | | | | | | | |
1.78%, 11/15/2021 | | | 4,600,000 | | | | 4,521,498 | |
Toyota Auto Receivables 2018-A Owner Trust | | | | | | | | |
2.35%, 05/16/2022 | | | 2,925,000 | | | | 2,895,555 | |
U.S. Residential Opportunity Fund IV Trust 2017-2 | | | | | | | | |
3.35%, 11/27/2037 (1)(3) | | | 12,925,126 | | | | 12,866,282 | |
Verizon Owner Trust 2016-2 | | | | | | | | |
2.36%, 05/20/2021 (1) | | | 1,245,000 | | | | 1,223,948 | |
Verizon Owner Trust 2017-1 | | | | | | | | |
2.65%, 09/20/2021 (1) | | | 725,000 | | | | 715,614 | |
Verizon Owner Trust 2017-2 | | | | | | | | |
2.22%, 12/20/2021 (1) | | | 735,000 | | | | 720,289 | |
Verizon Owner Trust 2017-3 | | | | | | | | |
2.53%, 04/20/2022 (1) | | | 1,360,000 | | | | 1,333,617 | |
Verizon Owner Trust 2018-1 | | | | | | | | |
3.20%, 09/20/2022 (1) | | | 1,105,000 | | | | 1,099,978 | |
Volt LIV LLC | | | | | | | | |
3.50%, 02/25/2047 (1)(3) | | | 154,367 | | | | 154,350 | |
| | | | | | | | |
Volt LIX LLC | | | | | | | | |
3.25%, 05/25/2047 (1)(3) | | | 8,945,252 | | | | 8,879,510 | |
Volt LV LLC | | | | | | | | |
3.50%, 03/25/2047 (1)(3) | | | 1,641,051 | | | | 1,635,446 | |
Volt LVI LLC | | | | | | | | |
3.50%, 03/25/2047 (1)(3) | | | 2,339,438 | | | | 2,333,978 | |
Volt LVII LLC | | | | | | | | |
3.38%, 04/25/2047 (1)(3) | | | 569,395 | | | | 567,738 | |
Volt LVIII LLC | | | | | | | | |
3.38%, 05/28/2047 (1)(3) | | | 10,092,844 | | | | 10,075,989 | |
Volt LX LLC | | | | | | | | |
3.25%, 06/25/2047 (1)(3) | | | 8,630,763 | | | | 8,582,611 | |
Volt LXI LLC | | | | | | | | |
3.13%, 06/25/2047 (1)(3) | | | 9,073,270 | | | | 9,009,985 | |
Volt LXIII LLC | | | | | | | | |
3.00%, 10/25/2047 (1)(3) | | | 768,937 | | | | 760,918 | |
Volt XXXVIII LLC | | | | | | | | |
3.88%, 09/25/2045 (1)(3) | | | 490,837 | | | | 490,717 | |
Volvo Financial Equipment LLC Series 2016-1 | | | | | | | | |
1.67%, 02/18/2020 (1) | | | 233,794 | | | | 233,019 | |
Volvo Financial Equipment Master Owner Trust 2017-A | | | | | | | | |
2.57% (1 Month LIBOR USD + 0.50%), 11/15/2022 (1)(2) | | | 475,000 | | | | 475,888 | |
Voya CLO 2014-3 Ltd. | | | | | | | | |
3.08% (3 Month LIBOR USD + 0.72%), 07/25/2026 (1)(2) | | | 1,500,000 | | | | 1,498,929 | |
Voya CLO 2016-1 Ltd. | | | | | | | | |
3.66% (3 Month LIBOR USD + 1.30%, 1.30% Floor), 01/20/2031 (1)(2) | | | 3,205,000 | | | | 3,160,659 | |
WAVE 2017-1 Trust | | | | | | | | |
3.84%, 11/15/2042 (1) | | | 2,674,280 | | | | 2,653,262 | |
Westlake Automobile Receivables Trust 2016-1 | | | | | | | | |
3.29%, 09/15/2021 (1) | | | 464,765 | | | | 465,394 | |
Westlake Automobile Receivables Trust 2016-2 | | | | | | | | |
2.83%, 05/17/2021 (1) | | | 1,050,000 | | | | 1,049,848 | |
Westlake Automobile Receivables Trust 2018-2 | | | | | | | | |
4.00%, 01/16/2024 (1) | | | 1,540,000 | | | | 1,545,423 | |
Wheels SPV 2 LLC | | | | | | | | |
1.87%, 05/20/2025 (1) | | | 910,000 | | | | 900,227 | |
World Omni Auto Receivables Trust 2018-B | | | | | | | | |
3.17%, 01/15/2025 | | | 1,250,000 | | | | 1,244,679 | |
World Omni Automobile Lease Securitization Trust 2016-A | | | | | | | | |
1.45%, 08/15/2019 | | | 2,180,000 | | | | 2,172,346 | |
| | | | | | | | |
Total Asset-Backed Obligations | | | | | | $ | 1,453,607,796 | |
| | | | | | | | |
| | | | | | | | |
Corporate Bonds - 35.26% | | | | | | | | |
Basic Materials - 0.91% | | | | | | | | |
Anglo American Capital Plc | | | | | | | | |
4.13%, 09/27/2022 (1) | | $ | 1,060,000 | | | $ | 1,065,476 | |
4.50%, 03/15/2028 (1) | | | 16,035,000 | | | | 15,470,499 | |
Arconic, Inc. | | | | | | | | |
6.15%, 08/15/2020 | | | 2,730,000 | | | | 2,839,200 | |
Axalta Coating Systems LLC | | | | | | | | |
4.88%, 08/15/2024 (1) | | | 1,830,000 | | | | 1,816,275 | |
Celulosa Arauco y Constitucion SA | | | | | | | | |
3.88%, 11/02/2027 | | | 1,260,000 | | | | 1,168,650 | |
5.50%, 11/02/2047 | | | 2,320,000 | | | | 2,257,383 | |
CF Industries, Inc. | | | | | | | | |
4.50%, 12/01/2026 (1) | | | 5,145,000 | | | | 5,106,755 | |
Cleveland-Cliffs, Inc. | | | | | | | | |
4.88%, 01/15/2024 (1) | | | 150,000 | | | | 144,750 | |
CNAC HK Finbridge Co Ltd. | | | | | | | | |
4.63%, 03/14/2023 | | | 4,545,000 | | | | 4,537,314 | |
Corp. Nacional del Cobre de Chile | | | | | | | | |
3.63%, 08/01/2027 (1) | | | 685,000 | | | | 652,483 | |
CVR Partners LP / CVR Nitrogen Finance Corp. | | | | | | | | |
9.25%, 06/15/2023 (1) | | | 1,880,000 | | | | 1,936,400 | |
DCP Midstream Operating LP | | | | | | | | |
8.13%, 08/16/2030 | | | 205,000 | | | | 243,438 | |
6.75%, 09/15/2037 (1) | | | 910,000 | | | | 964,600 | |
Equate Petrochemical BV | | | | | | | | |
3.00%, 03/03/2022 | | | 690,000 | | | | 660,126 | |
4.25%, 11/03/2026 | | | 3,910,000 | | | | 3,788,845 | |
Fibria Overseas Finance Ltd. | | | | | | | | |
4.00%, 01/14/2025 | | | 2,290,000 | | | | 2,113,670 | |
First Quantum Minerals Ltd. | | | | | | | | |
6.50%, 03/01/2024 (1) | | | 200,000 | | | | 193,000 | |
6.88%, 03/01/2026 (1) | | | 200,000 | | | | 191,500 | |
FMG Resources August 2006 Pty Ltd. | | | | | | | | |
5.13%, 03/15/2023 (1) | | | 1,250,000 | | | | 1,212,500 | |
5.13%, 05/15/2024 (1) | | | 460,000 | | | | 437,575 | |
Freeport-McMoRan, Inc. | | | | | | | | |
4.55%, 11/14/2024 | | | 3,335,000 | | | | 3,168,250 | |
5.40%, 11/14/2034 | | | 1,750,000 | | | | 1,588,125 | |
| | | | | | | | |
Georgia-Pacific LLC | | | | | | | | |
2.54%, 11/15/2019 (1) | | | 7,000,000 | | | | 6,954,956 | |
Gerdau Trade, Inc. | | | | | | | | |
4.88%, 10/24/2027 (1) | | | 3,215,000 | | | | 2,969,856 | |
Glencore Finance Canada Ltd. | | | | | | | | |
4.95%, 11/15/2021 (1) | | | 1,170,000 | | | | 1,214,343 | |
Glencore Funding LLC | | | | | | | | |
4.00%, 04/16/2025 (1) | | | 4,450,000 | | | | 4,282,013 | |
3.88%, 10/27/2027 (1) | | | 6,615,000 | | | | 6,112,723 | |
Goldcorp, Inc. | | | | | | | | |
3.70%, 03/15/2023 | | | 3,270,000 | | | | 3,217,718 | |
Hunt Cos, Inc. | | | | | | | | |
6.25%, 02/15/2026 (1) | | | 82,000 | | | | 76,465 | |
LyondellBasell Industries NV | | | | | | | | |
5.00%, 04/15/2019 | | | 4,000,000 | | | | 4,039,574 | |
Methanex Corp. | | | | | | | | |
4.25%, 12/01/2024 | | | 575,000 | | | | 564,627 | |
Mexichem SAB de CV | | | | | | | | |
4.00%, 10/04/2027 (1) | | | 1,255,000 | | | | 1,148,325 | |
Reliance Steel & Aluminum Co. | | | | | | | | |
4.50%, 04/15/2023 | | | 2,796,000 | | | | 2,858,143 | |
Shelf Drilling Holdings Ltd. | | | | | | | | |
8.25%, 02/15/2025 (1) | | | 120,000 | | | | 120,900 | |
Solvay Finance America LLC | | | | | | | | |
4.45%, 12/03/2025 (1) | | | 2,400,000 | | | | 2,447,817 | |
Steel Dynamics, Inc. | | | | | | | | |
5.00%, 12/15/2026 | | | 277,000 | | | | 277,000 | |
Syngenta Finance NV | | | | | | | | |
3.70%, 04/24/2020 (1) | | | 200,000 | | | | 199,266 | |
3.93%, 04/23/2021 (1) | | | 5,735,000 | | | | 5,720,046 | |
4.44%, 04/24/2023 (1) | | | 200,000 | | | | 198,815 | |
4.89%, 04/24/2025 (1) | | | 200,000 | | | | 196,039 | |
5.18%, 04/24/2028 (1) | | | 200,000 | | | | 193,092 | |
Vale Overseas Ltd. | | | | | | | | |
6.88%, 11/21/2036 | | | 380,000 | | | | 426,626 | |
6.88%, 11/10/2039 | | | 1,160,000 | | | | 1,313,700 | |
Valvoline, Inc. | | | | | | | | |
5.50%, 07/15/2024 | | | 1,209,000 | | | | 1,221,090 | |
Westlake Chemical Corp. | | | | | | | | |
3.60%, 08/15/2026 | | | 2,965,000 | | | | 2,812,143 | |
Yara International ASA | | | | | | | | |
4.75%, 06/01/2028 (1)(13) | | | 510,000 | | | | 512,496 | |
| | | | | | | | |
| | | | | | | 100,634,587 | |
| | | | | | | | |
| | | | | | | | |
Communications - 4.30% | | | | | | | | |
Alibaba Group Holding Ltd. | | | | | | | | |
3.13%, 11/28/2021 | | | 3,875,000 | | | | 3,837,523 | |
3.60%, 11/28/2024 | | | 7,180,000 | | | | 7,061,491 | |
3.40%, 12/06/2027 | | | 4,860,000 | | | | 4,526,449 | |
Altice Financing SA | | | | | | | | |
5.25%, 02/15/2023 | | EUR | 2,500,000 | | | | 3,007,089 | |
Altice Finco SA | | | | | | | | |
7.63%, 02/15/2025 (1) | | $ | 650,000 | | | | 580,125 | |
Altice France SA/France | | | | | | | | |
5.38%, 05/15/2022 | | EUR | 9,450,000 | | | | 11,336,447 | |
6.00%, 05/15/2022 (1) | | $ | 400,000 | | | | 402,500 | |
6.25%, 05/15/2024 (1) | | | 2,590,000 | | | | 2,515,537 | |
7.38%, 05/01/2026 (1) | | | 1,400,000 | | | | 1,368,780 | |
Altice Luxembourg SA | | | | | | | | |
7.25%, 05/15/2022 | | EUR | 7,400,000 | | | | 8,684,939 | |
7.75%, 05/15/2022 (1) | | $ | 1,050,000 | | | | 1,015,875 | |
Altice U.S. Finance I Corp. | | | | | | | | |
5.38%, 07/15/2023 (1) | | | 1,300,000 | | | | 1,293,500 | |
5.50%, 05/15/2026 (1) | | | 1,200,000 | | | | 1,158,000 | |
Amazon.com, Inc. | | | | | | | | |
3.15%, 08/22/2027 | | | 3,525,000 | | | | 3,384,086 | |
3.88%, 08/22/2037 | | | 2,700,000 | | | | 2,633,685 | |
4.05%, 08/22/2047 | | | 6,220,000 | | | | 6,082,593 | |
America Movil SAB de CV | | | | | | | | |
6.45%, 12/05/2022 | | MXN | 181,160,000 | | | | 8,338,728 | |
AT&T, Inc. | | | | | | | | |
3.00%, 06/30/2022 | | $ | 2,925,000 | | | | 2,835,433 | |
3.40%, 05/15/2025 | | | 2,510,000 | | | | 2,360,560 | |
4.25%, 03/01/2027 | | | 3,127,000 | | | | 3,060,689 | |
5.25%, 03/01/2037 | | | 7,530,000 | | | | 7,418,389 | |
4.80%, 06/15/2044 | | | 1,800,000 | | | | 1,632,076 | |
4.35%, 06/15/2045 | | | 910,000 | | | | 771,192 | |
4.75%, 05/15/2046 | | | 5,580,000 | | | | 4,980,718 | |
5.15%, 11/15/2046 (1) | | | 3,055,000 | | | | 2,875,928 | |
4.50%, 03/09/2048 | | | 11,285,000 | | | | 9,686,322 | |
| | | | | | | | |
Baidu, Inc. | | | | | | | | |
2.88%, 07/06/2022 | | | 5,105,000 | | | | 4,918,126 | |
Booking Holdings, Inc. | | | | | | | | |
3.65%, 03/15/2025 | | | 2,368,000 | | | | 2,315,270 | |
3.60%, 06/01/2026 | | | 8,111,000 | | | | 7,890,180 | |
Broadcom Corp. / Broadcom Cayman Finance Ltd. | | | | | | | | |
2.38%, 01/15/2020 | | | 10,514,000 | | | | 10,377,118 | |
3.00%, 01/15/2022 | | | 2,750,000 | | | | 2,674,136 | |
3.63%, 01/15/2024 | | | 10,160,000 | | | | 9,831,222 | |
3.13%, 01/15/2025 | | | 1,155,000 | | | | 1,071,255 | |
3.88%, 01/15/2027 | | | 9,710,000 | | | | 9,180,934 | |
CCO Holdings LLC / CCO Holdings Capital Corp. | | | | | | | | |
5.50%, 05/01/2026 (1) | | | 4,835,000 | | | | 4,688,500 | |
5.13%, 05/01/2027 (1) | | | 243,000 | | | | 226,901 | |
5.00%, 02/01/2028 (1) | | | 2,486,000 | | | | 2,274,690 | |
Cequel Communications Holdings I LLC / Cequel Capital Corp. | | | | | | | | |
7.75%, 07/15/2025 (1) | | | 2,175,000 | | | | 2,272,875 | |
Charter Communications Operating LLC / Charter Communications Operating Capital | | | | | | | | |
3.58%, 07/23/2020 | | | 1,600,000 | | | | 1,599,762 | |
0.00%, 02/01/2024 | | | 6,940,000 | | | | 6,955,198 | |
4.50%, 02/01/2024 | | | 5,810,000 | | | | 5,802,101 | |
4.91%, 07/23/2025 | | | 9,200,000 | | | | 9,288,260 | |
3.75%, 02/15/2028 | | | 665,000 | | | | 602,026 | |
6.48%, 10/23/2045 | | | 1,000,000 | | | | 1,053,326 | |
Cisco Systems, Inc. | | | | | | | | |
1.60%, 02/28/2019 | | | 4,588,000 | | | | 4,559,235 | |
1.40%, 09/20/2019 | | | 2,692,000 | | | | 2,654,016 | |
4.45%, 01/15/2020 | | | 2,125,000 | | | | 2,178,771 | |
2.20%, 02/28/2021 | | | 2,360,000 | | | | 2,315,232 | |
Clear Channel Worldwide Holdings, Inc. | | | | | | | | |
7.63%, 03/15/2020 | | | 4,200,000 | | | | 4,168,500 | |
6.50%, 11/15/2022 | | | 70,000 | | | | 71,400 | |
Comcast Corp. | | | | | | | | |
3.38%, 08/15/2025 | | | 5,675,000 | | | | 5,441,941 | |
3.15%, 03/01/2026 | | | 1,040,000 | | | | 976,270 | |
3.30%, 02/01/2027 | | | 3,855,000 | | | | 3,625,646 | |
3.20%, 07/15/2036 | | | 305,000 | | | | 253,573 | |
3.90%, 03/01/2038 | | | 725,000 | | | | 660,009 | |
3.97%, 11/01/2047 | | | 1,965,000 | | | | 1,729,420 | |
| | | | | | | | |
Cox Communications, Inc. | | | | | | | | |
3.25%, 12/15/2022 (1) | | | 7,975,000 | | | | 7,744,125 | |
3.15%, 08/15/2024 (1) | | | 3,400,000 | | | | 3,219,692 | |
3.35%, 09/15/2026 (1) | | | 4,225,000 | | | | 3,904,803 | |
4.80%, 02/01/2035 (1) | | | 2,300,000 | | | | 2,116,742 | |
4.70%, 12/15/2042 (1) | | | 810,000 | | | | 708,835 | |
4.50%, 06/30/2043 (1) | | | 950,000 | | | | 804,910 | |
Crown Castle Towers LLC | | | | | | | | |
3.22%, 05/15/2022 (1) | | | 700,000 | | | | 686,805 | |
3.66%, 05/15/2025 (1) | | | 1,300,000 | | | | 1,273,233 | |
CSC Holdings LLC | | | | | | | | |
8.63%, 02/15/2019 | | | 625,000 | | | | 642,969 | |
10.88%, 10/15/2025 (1) | | | 1,517,000 | | | | 1,748,797 | |
5.50%, 04/15/2027 (1) | | | 2,300,000 | | | | 2,196,500 | |
5.38%, 02/01/2028 (1) | | | 2,000,000 | | | | 1,850,000 | |
Deutsche Telekom International Finance BV | | | | | | | | |
4.38%, 06/21/2028(1) | | | 7,885,000 | | | | 7,819,472 | |
Discovery Communications LLC | | | | | | | | |
2.75%, 11/15/2019 (1) | | | 2,355,000 | | | | 2,336,209 | |
2.80%, 06/15/2020 (1) | | | 2,000,000 | | | | 1,975,776 | |
2.95%, 03/20/2023 | | | 100,000 | | | | 95,601 | |
2.50%, 09/20/2024 | | GBP | 100,000 | | | | 128,733 | |
3.95%, 03/20/2028 | | $ | 2,946,000 | | | | 2,788,800 | |
5.00%, 09/20/2037 | | | 1,270,000 | | | | 1,222,055 | |
DISH DBS Corp. | | | | | | | | |
7.88%, 09/01/2019 | | | 6,060,000 | | | | 6,287,250 | |
5.13%, 05/01/2020 | | | 7,947,000 | | | | 7,867,530 | |
6.75%, 06/01/2021 | | | 4,250,000 | | | | 4,255,313 | |
5.88%, 07/15/2022 | | | 200,000 | | | | 188,000 | |
DISH Network Corp. | | | | | | | | |
2.38%, 03/15/2024 | | | 3,735,000 | | | | 3,289,071 | |
3.38%, 08/15/2026 | | | 60,000 | | | | 58,116 | |
Expedia Group, Inc. | | | | | | | | |
4.50%, 08/15/2024 | | | 4,941,000 | | | | 4,932,925 | |
5.00%, 02/15/2026 | | | 5,270,000 | | | | 5,366,336 | |
3.80%, 02/15/2028 | | | 12,455,000 | | | | 11,401,131 | |
Finisar Corp. | | | | | | | | |
0.50%, 12/15/2036 | | | 4,945,000 | | | | 4,488,329 | |
GCI Liberty, Inc. | | | | | | | | |
1.75%, 09/30/2046 (1) | | | 640,000 | | | | 658,525 | |
| | | | | | | | |
iHeartCommunications, Inc. | | | | | | | | |
9.00%, 12/15/2019 (10) | | | 2,608,000 | | | | 1,975,560 | |
9.00%, 03/01/2021 (10) | | | 10,040,000 | | | | 7,580,200 | |
11.25%, 03/01/2021 (1)(10) | | | 3,368,000 | | | | 2,492,320 | |
11.25%, 03/01/2021 (10) | | | 1,452,000 | | | | 1,103,520 | |
9.00%, 09/15/2022 (10) | | | 7,025,000 | | | | 5,339,000 | |
10.63%, 03/15/2023 (10) | | | 88,000 | | | | 66,660 | |
Intelsat Jackson Holdings SA | | | | | | | | |
7.25%, 10/15/2020 | | | 4,851,000 | | | | 4,826,745 | |
7.50%, 04/01/2021 | | | 565,000 | | | | 560,763 | |
9.50%, 09/30/2022 (1) | | | 1,020,000 | | | | 1,178,100 | |
5.50%, 08/01/2023 | | | 960,000 | | | | 861,312 | |
9.75%, 07/15/2025 (1) | | | 1,722,000 | | | | 1,816,710 | |
Interpublic Group of Cos, Inc. | | | | | | | | |
4.00%, 03/15/2022 | | | 545,000 | | | | 549,215 | |
4.20%, 04/15/2024 | | | 3,238,000 | | | | 3,255,863 | |
Level 3 Financing, Inc. | | | | | | | | |
5.13%, 05/01/2023 | | | 325,000 | | | | 318,500 | |
5.38%, 01/15/2024 | | | 303,000 | | | | 296,940 | |
5.25%, 03/15/2026 | | | 250,000 | | | | 237,775 | |
Liberty Media Corp. | | | | | | | | |
2.25%, 09/30/2046 | | | 167,625 | | | | 88,040 | |
Nokia OYJ | | | | | | | | |
3.38%, 06/12/2022 | | | 280,000 | | | | 271,062 | |
4.38%, 06/12/2027 | | | 2,000,000 | | | | 1,880,000 | |
Omnicom Group, Inc. | | | | | | | | |
3.65%, 11/01/2024 | | | 1,600,000 | | | | 1,553,385 | |
SES Global Americas Holdings GP | | | | | | | | |
2.50%, 03/25/2019 (1) | | | 500,000 | | | | 497,772 | |
Sirius XM Radio, Inc. | | | | | | | | |
3.88%, 08/01/2022 (1) | | | 1,178,000 | | | | 1,136,770 | |
Sky Plc | | | | | | | | |
3.75%, 09/16/2024 (1) | | | 280,000 | | | | 278,265 | |
SoftBank Group Corp. | | | | | | | | |
4.00%, 04/20/2023 | | EUR | 2,350,000 | | | | 2,828,859 | |
Sprint Capital Co. | | | | | | | | |
6.90%, 05/01/2019 | | $ | 1,295,000 | | | | 1,321,159 | |
Sprint Capital Corp. | | | | | | | | |
6.88%, 11/15/2028 | | | 800,000 | | | | 768,000 | |
Sprint Communications, Inc. | | | | | | | | |
9.00%, 11/15/2018 (1) | | | 9,392,000 | | | | 9,579,840 | |
7.00%, 08/15/2020 | | | 11,367,000 | | | | 11,764,845 | |
| | | | | | | | |
Sprint Corp. | | | | | | | | |
7.25%, 09/15/2021 | | | 2,138,000 | | | | 2,223,520 | |
7.88%, 09/15/2023 | | | 1,475,000 | | | | 1,529,390 | |
7.63%, 03/01/2026 | | | 1,101,000 | | | | 1,121,644 | |
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC | | | | | | | | |
3.36%, 09/20/2021 (1) | | | 4,937,563 | | | | 4,882,015 | |
4.74%, 03/20/2025 (1) | | | 6,335,000 | | | | 6,286,220 | |
5.15%, 03/20/2028 (1) | | | 3,200,000 | | | | 3,136,000 | |
Telenet Finance Luxembourg Notes Sarl | | | | | | | | |
5.50%, 03/01/2028 (1) | | | 400,000 | | | | 364,000 | |
Tencent Holdings Ltd. | | | | | | | | |
2.99%, 01/19/2023 | | | 10,000,000 | | | | 9,719,759 | |
3.80%, 02/11/2025 | | | 5,315,000 | | | | 5,263,853 | |
3.93%, 01/19/2038 (1) | | | 2,160,000 | | | | 1,968,102 | |
Time Warner Cable LLC | | | | | | | | |
6.55%, 05/01/2037 | | | 1,100,000 | | | | 1,166,285 | |
7.30%, 07/01/2038 | | | 885,000 | | | | 1,002,582 | |
6.75%, 06/15/2039 | | | 930,000 | | | | 990,869 | |
5.88%, 11/15/2040 | | | 2,000,000 | | | | 1,955,378 | |
5.50%, 09/01/2041 | | | 1,250,000 | | | | 1,162,194 | |
4.50%, 09/15/2042 | | | 4,325,000 | | | | 3,551,138 | |
T-Mobile USA, Inc. | | | | | | | | |
6.50%, 01/15/2024 | | | 1,200,000 | | | | 1,248,672 | |
4.50%, 02/01/2026 | | | 658,000 | | | | 614,408 | |
4.75%, 02/01/2028 | | | 1,053,000 | | | | 974,025 | |
United Group BV | | | | | | | | |
4.38%, 07/01/2022 (1) | | EUR | 200,000 | | | | 237,649 | |
4.88%, 07/01/2024 (1) | | | 200,000 | | | | 237,355 | |
Univision Communications, Inc. | | | | | | | | |
5.13%, 02/15/2025 (1) | | $ | 2,500,000 | | | | 2,309,375 | |
UPCB Finance VII Ltd. | | | | | | | | |
3.63%, 06/15/2029 | | EUR | 490,000 | | | | 552,357 | |
Verizon Communications, Inc. | | | | | | | | |
3.50%, 11/01/2024 | | $ | 2,000,000 | | | | 1,933,626 | |
3.38%, 02/15/2025 | | | 5,175,000 | | | | 4,970,324 | |
3.44% (3 Month LIBOR USD + 1.10%), 05/15/2025 (2) | | | 1,400,000 | | | | 1,398,410 | |
4.50%, 08/10/2033 | | | 3,470,000 | | | | 3,361,872 | |
5.25%, 03/16/2037 | | | 2,900,000 | | | | 2,976,457 | |
2.88%, 01/15/2038 | | EUR | 130,000 | | | | 149,154 | |
4.86%, 08/21/2046 | | $ | 3,740,000 | | | | 3,571,076 | |
| | | | | | | | |
ViaSat, Inc. | | | | | | | | |
5.63%, 09/15/2025 (1) | | | 196,000 | | | | 184,240 | |
Virgin Media Secured Finance Plc | | | | | | | | |
5.25%, 01/15/2026 (1) | | | 800,000 | | | | 740,000 | |
Vodafone Group Plc | | | | | | | | |
3.29% (3 Month LIBOR USD + 0.99%), 01/16/2024 (2) | | | 426,000 | | | | 424,029 | |
3.75%, 01/16/2024 | | | 616,000 | | | | 610,503 | |
4.13%, 05/30/2025 | | | 1,975,000 | | | | 1,964,728 | |
4.38%, 05/30/2028 | | | 10,879,000 | | | | 10,737,505 | |
5.00%, 05/30/2038 | | | 5,045,000 | | | | 4,981,221 | |
Walt Disney Co./The | | | | | | | | |
2.30%, 02/12/2021 | | | 220,000 | | | | 215,694 | |
3.75%, 06/01/2021 | | | 460,000 | | | | 468,494 | |
Warner Media LLC | | | | | | | | |
3.80%, 02/15/2027 | | | 3,530,000 | | | | 3,337,708 | |
Wind Tre SpA | | | | | | | | |
2.63%, 01/20/2023 (1) | | EUR | 600,000 | | | | 588,572 | |
2.75% (3 Month EURIBOR + 2.75%, 2.75% Floor), 01/20/2024 (1)(2) | | | 500,000 | | | | 485,397 | |
3.13%, 01/20/2025 | | | 200,000 | | | | 189,188 | |
5.00%, 01/20/2026 (1) | | $ | 200,000 | | | | 158,500 | |
WPP Finance 2010 | | | | | | | | |
4.75%, 11/21/2021 | | | 2,620,000 | | | | 2,694,070 | |
Zayo Group LLC / Zayo Capital, Inc. | | | | | | | | |
5.75%, 01/15/2027 (1) | | | 809,000 | | | | 794,843 | |
Ziggo BV | | | | | | | | |
5.50%, 01/15/2027 (1) | | | 5,355,000 | | | | 5,002,106 | |
| | | | | | | | |
| | | | | | | 475,422,817 | |
| | | | | | | | |
Consumer, Cyclical - 2.87% | | | | | | | | |
Air Canada 2013-1 Class B Pass Through Trust | | | | | | | | |
5.38%, 05/15/2021 (1) | | | 278,071 | | | | 283,410 | |
Air Canada 2015-2 Class B Pass Through Trust | | | | | | | | |
5.00%, 12/15/2023 (1) | | | 1,996,728 | | | | 2,021,288 | |
Air Canada 2017-1 Class B Pass Through Trust | | | | | | | | |
3.70%, 01/15/2026 (1)(13) | | | 72,000 | | | | 68,580 | |
Alimentation Couche-Tard, Inc. | | | | | | | | |
3.55%, 07/26/2027 (1) | | | 3,000,000 | | | | 2,842,780 | |
America West Airlines 2001-1 Pass Through Trust | | | | | | | | |
7.10%, 04/02/2021 | | | 1,390,853 | | | | 1,481,259 | |
American Airlines 2013-1 Class A Pass Through Trust | | | | | | | | |
4.00%, 07/15/2025 | | | 1,860,558 | | | | 1,855,553 | |
| | | | | | | | |
American Airlines 2014-1 Class A Pass Through Trust | | | | | | | | |
3.70%, 10/01/2026 | | | 1,768,814 | | | | 1,726,804 | |
American Airlines 2015-1 Class B Pass Through Trust | | | | | | | | |
3.70%, 05/01/2023 | | | 2,311,501 | | | | 2,254,435 | |
American Airlines 2016-1 Class AA Pass Through Trust | | | | | | | | |
3.58%, 01/15/2028 | | | 566,159 | | | | 549,458 | |
American Airlines 2016-1 Class B Pass Through Trust | | | | | | | | |
5.25%, 01/15/2024 | | | 2,458,848 | | | | 2,508,025 | |
American Airlines 2016-2 Class A Pass Through Trust | | | | | | | | |
3.65%, 06/15/2028 | | | 1,337,822 | | | | 1,298,436 | |
American Airlines 2016-2 Class B Pass Through Trust | | | | | | | | |
4.38%, 06/15/2024 (1) | | | 4,203,900 | | | | 4,159,759 | |
American Airlines 2016-3 Class B Pass Through Trust | | | | | | | | |
3.75%, 10/15/2025 | | | 3,388,340 | | | | 3,280,026 | |
American Airlines 2017-1 Class B Pass Through Trust | | | | | | | | |
4.95%, 02/15/2025 | | | 1,106,494 | | | | 1,121,985 | |
American Airlines 2017-2 Class AA Pass Through Trust | | | | | | | | |
3.35%, 10/15/2029 | | | 820,000 | | | | 791,002 | |
Aptiv Plc | | | | | | | | |
3.15%, 11/19/2020 | | | 3,965,000 | | | | 3,936,035 | |
AutoNation, Inc. | | | | | | | | |
3.35%, 01/15/2021 | | | 770,000 | | | | 764,906 | |
BMW U.S. Capital LLC | | | | | | | | |
3.10%, 04/12/2021 (1) | | | 5,495,000 | | | | 5,460,711 | |
Caesars Entertainment Corp. | | | | | | | | |
5.00%, 10/01/2024 | | | 1,634,430 | | | | 2,795,343 | |
Caesars Resort Collection LLC / CRC Finco, Inc. | | | | | | | | |
5.25%, 10/15/2025 (1) | | | 1,090,000 | | | | 1,031,412 | |
Choice Hotels International, Inc. | | | | | | | | |
5.75%, 07/01/2022 | | | 3,000,000 | | | | 3,112,500 | |
Cintas Corp. No 2 | | | | | | | | |
4.30%, 06/01/2021 | | | 165,000 | | | | 169,454 | |
Continental Airlines 2000-1 Class A-1 Pass Through Trust | | | | | | | | |
8.05%, 11/01/2020 | | | 305,624 | | | | 320,353 | |
Continental Airlines 2007-1 Class A Pass Through Trust | | | | | | | | |
5.98%, 04/19/2022 | | | 4,343,490 | | | | 4,598,453 | |
Continental Airlines 2009-2 Class A Pass Through Trust | | | | | | | | |
7.25%, 11/10/2019 | | | 913,988 | | | | 958,042 | |
Continental Airlines 2012-1 Class A Pass Through Trust | | | | | | | | |
4.15%, 04/11/2024 | | | 980,078 | | | | 989,536 | |
| | | | | | | | |
Continental Airlines 2012-2 Class A Pass Through Trust | | | | | | | | |
4.00%, 10/29/2024 | | | 1,773,013 | | | | 1,780,016 | |
Ctrip.com International Ltd. | | | | | | | | |
1.25%, 09/15/2022 | | | 1,925,000 | | | | 1,975,570 | |
Cumberland Farms, Inc. | | | | | | | | |
6.75%, 05/01/2025 (1) | | | 767,000 | | | | 776,587 | |
CVS Health Corp. | | | | | | | | |
2.25%, 08/12/2019 | | | 2,800,000 | | | | 2,776,964 | |
4.75%, 12/01/2022 (1) | | | 56,000 | | | | 58,074 | |
3.70%, 03/09/2023 | | | 12,860,000 | | | | 12,729,084 | |
4.00%, 12/05/2023 | | | 5,000,000 | | | | 5,019,019 | |
4.10%, 03/25/2025 | | | 11,685,000 | | | | 11,620,970 | |
5.13%, 07/20/2045 | | | 200,000 | | | | 202,504 | |
5.05%, 03/25/2048 | | | 5,000,000 | | | | 5,049,983 | |
CVS Pass-Through Trust | | | | | | | | |
5.77%, 01/10/2033 | | | 2,610,381 | | | | 2,783,010 | |
CVS Pass-Through Trust Series 2014 | | | | | | | | |
4.16%, 08/11/2036 (1) | | | 11,109,087 | | | | 10,536,969 | |
D.R. Horton, Inc. | | | | | | | | |
4.38%, 09/15/2022 | | | 9,918,000 | | | | 10,132,869 | |
Daimler Finance North America LLC | | | | | | | | |
2.30%, 01/06/2020 (1) | | | 4,000,000 | | | | 3,947,266 | |
3.00%, 02/22/2021 (1) | | | 2,210,000 | | | | 2,184,378 | |
Delta Air Lines 2002-1 Class G-1 Pass Through Trust | | | | | | | | |
6.72%, 01/02/2023 | | | 1,793,089 | | | | 1,913,226 | |
Delta Air Lines 2015-1 Class AA Pass Through Trust | | | | | | | | |
3.63%, 07/30/2027 | | | 660,473 | | | | 655,049 | |
Delta Air Lines, Inc. | | | | | | | | |
2.88%, 03/13/2020 | | | 1,295,000 | | | | 1,286,427 | |
3.63%, 03/15/2022 | | | 9,747,000 | | | | 9,634,463 | |
4.38%, 04/19/2028 | | | 3,795,000 | | | | 3,657,485 | |
Dillard’s, Inc. | | | | | | | | |
7.75%, 07/15/2026 | | | 135,000 | | | | 151,947 | |
7.00%, 12/01/2028 | | | 380,000 | | | | 411,393 | |
Dollar Tree, Inc. | | | | | | | | |
3.70%, 05/15/2023 | | | 845,000 | | | | 837,132 | |
| | | | | | | | |
Ford Motor Credit Co. LLC | | | | | | | | |
2.55%, 10/05/2018 | | | 1,950,000 | | | | 1,948,776 | |
2.94%, 01/08/2019 | | | 2,250,000 | | | | 2,251,330 | |
1.90%, 08/12/2019 | | | 1,000,000 | | | | 986,122 | |
3.33% (3 Month LIBOR USD + 1.00%), 01/09/2020 (2) | | | 2,575,000 | | | | 2,593,262 | |
8.13%, 01/15/2020 | | | 2,605,000 | | | | 2,790,851 | |
3.16%, 08/04/2020 | | | 1,220,000 | | | | 1,212,448 | |
2.79% (3 Month LIBOR USD + 0.43%), 11/02/2020 (2) | | | 3,110,000 | | | | 3,098,101 | |
4.38%, 08/06/2023 | | | 1,080,000 | | | | 1,084,155 | |
4.13%, 08/04/2025 | | | 10,800,000 | | | | 10,528,812 | |
General Motors Co. | | | | | | | | |
3.16% (3 Month LIBOR USD + 0.80%), 08/07/2020 (2) | | | 1,675,000 | | | | 1,680,583 | |
6.60%, 04/01/2036 | | | 975,000 | | | | 1,054,703 | |
6.25%, 10/02/2043 | | | 65,000 | | | | 67,315 | |
5.20%, 04/01/2045 | | | 3,485,000 | | | | 3,196,395 | |
General Motors Financial Co., Inc. | | | | | | | | |
3.10%, 01/15/2019 | | | 1,868,000 | | | | 1,869,768 | |
2.40%, 05/09/2019 | | | 4,035,000 | | | | 4,016,239 | |
2.35%, 10/04/2019 | | | 3,000,000 | | | | 2,974,275 | |
3.15%, 01/15/2020 | | | 1,000,000 | | | | 998,265 | |
2.65%, 04/13/2020 | | | 1,500,000 | | | | 1,481,977 | |
3.20%, 07/13/2020 | | | 7,238,000 | | | | 7,204,059 | |
3.19% (3 Month LIBOR USD + 0.85%), 04/09/2021 (2) | | | 3,600,000 | | | | 3,618,726 | |
3.55%, 04/09/2021 | | | 8,535,000 | | | | 8,508,599 | |
4.00%, 10/06/2026 | | | 310,000 | | | | 293,783 | |
GLP Capital LP / GLP Financing II, Inc. | | | | | | | | |
4.88%, 11/01/2020 | | | 500,000 | | | | 505,625 | |
5.38%, 04/15/2026 | | | 850,000 | | | | 841,500 | |
5.75%, 06/01/2028 | | | 34,000 | | | | 34,255 | |
Harley-Davidson Financial Services, Inc. | | | | | | | | |
2.85%, 01/15/2021 (1) | | | 3,287,000 | | | | 3,235,345 | |
2.55%, 06/09/2022 (1) | | | 1,875,000 | | | | 1,794,722 | |
Hilton Domestic Operating Co., Inc. | | | | | | | | |
4.25%, 09/01/2024 | | | 605,000 | | | | 575,506 | |
5.13%, 05/01/2026 (1) | | | 474,000 | | | | 465,705 | |
Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp. | | | | | | | | |
4.63%, 04/01/2025 | | | 940,000 | | | | 916,500 | |
4.88%, 04/01/2027 | | | 1,410,000 | | | | 1,360,650 | |
IHO Verwaltungs GmbH | | | | | | | | |
4.13% cash or 4.88% PIK, 09/15/2021 (1) | | | 445,000 | | | | 438,325 | |
Ingram Micro, Inc. | | | | | | | | |
5.45%, 12/15/2024 | | | 335,000 | | | | 331,498 | |
Intrepid Aviation Group Holdings LLC / Intrepid Finance Co. | | | | | | | | |
6.88%, 02/15/2019 (1) | | | 240,000 | | | | 239,100 | |
| | | | | | | | |
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC | | | | | | | | |
5.25%, 06/01/2026 (1) | | | 500,000 | | | | 492,500 | |
Latam Airlines 2015-1 Pass Through Trust A | | | | | | | | |
4.20%, 11/15/2027 | | | 3,009,466 | | | | 2,846,353 | |
Lennar Corp. | | | | | | | | |
4.75%, 11/29/2027 | | | 2,800,000 | | | | 2,617,160 | |
Magna International, Inc. | | | | | | | | |
4.15%, 10/01/2025 | | | 665,000 | | | | 674,101 | |
Melco Resorts Finance Ltd. | | | | | | | | |
4.88%, 06/06/2025 (1) | | | 200,000 | | | | 188,896 | |
MGM Resorts International | | | | | | | | |
6.75%, 10/01/2020 | | | 6,525,000 | | | | 6,834,937 | |
New Red Finance, Inc. | | | | | | | | |
4.63%, 01/15/2022 (1) | | | 3,510,000 | | | | 3,510,000 | |
4.25%, 05/15/2024 (1) | | | 1,884,000 | | | | 1,789,800 | |
O’Reilly Automotive, Inc. | | | | | | | | |
4.63%, 09/15/2021 | | | 1,300,000 | | | | 1,342,824 | |
PetSmart, Inc. | | | | | | | | |
5.88%, 06/01/2025 (1) | | | 206,000 | | | | 158,105 | |
QVC, Inc. | | | | | | | | |
3.13%, 04/01/2019 | | | 400,000 | | | | 399,539 | |
5.13%, 07/02/2022 | | | 3,115,000 | | | | 3,190,069 | |
4.38%, 03/15/2023 | | | 920,000 | | | | 908,749 | |
SACI Falabella | | | | | | | | |
4.38%, 01/27/2025 | | | 4,500,000 | | | | 4,434,848 | |
Scientific Games International, Inc. | | | | | | | | |
5.00%, 10/15/2025 (1) | | | 32,000 | | | | 30,480 | |
Spirit Issuer Plc | | | | | | | | |
6.58%, 12/28/2027 | | GBP | 5,390,000 | | | | 7,237,931 | |
3.37% (3 Month LIBOR GBP + 2.70%), 12/28/2031 (2) | | | 810,000 | | | | 1,042,264 | |
Tesla, Inc. | | | | | | | | |
5.30%, 08/15/2025 (1) | | $ | 3,670,000 | | | | 3,266,300 | |
Toll Brothers Finance Corp. | | | | | | | | |
4.00%, 12/31/2018 | | | 1,497,000 | | | | 1,496,813 | |
5.88%, 02/15/2022 | | | 415,000 | | | | 430,562 | |
4.38%, 04/15/2023 | | | 540,000 | | | | 529,200 | |
Toyota Motor Credit Co. | | | | | | | | |
1.55%, 10/18/2019 | | | 9,690,000 | | | | 9,554,249 | |
U.S. Airways 2011-1 Class A Pass Through Trust | | | | | | | | |
7.13%, 10/22/2023 | | | 1,800,694 | | | | 2,005,198 | |
| | | | | | | | |
U.S. Airways 2013-1 Class A Pass Through Trust | | | | | | | | |
3.95%, 11/15/2025 | | | 1,684,423 | | | | 1,670,611 | |
Unique Pub Finance Co. Plc | | | | | | | | |
7.40%, 03/28/2024 | | GBP | 3,107,000 | | | | 4,515,783 | |
5.66%, 06/30/2027 | | | 4,068,851 | | | | 5,912,442 | |
United Airlines 2016-1 Class B Pass Through Trust | | | | | | | | |
3.65%, 01/07/2026 | | $ | 1,685,000 | | | | 1,639,509 | |
United Airlines 2016-2 Class B Pass Through Trust | | | | | | | | |
3.65%, 10/07/2025 | | | 2,062,714 | | | | 1,974,624 | |
United Airlines 2018-1 Class B Pass Through Trust | | | | | | | | |
4.60%, 03/01/2026 | | | 6,810,000 | | | | 6,841,780 | |
Walgreens Boots Alliance, Inc. | | | | | | | | |
3.80%, 11/18/2024 | | | 2,550,000 | | | | 2,503,429 | |
3.45%, 06/01/2026 | | | 2,365,000 | | | | 2,205,812 | |
4.80%, 11/18/2044 | | | 926,000 | | | | 871,253 | |
Walmart, Inc. | | | | | | | | |
1.90%, 12/15/2020 | | | 165,000 | | | | 161,787 | |
3.55%, 06/26/2025 | | | 8,000,000 | | | | 8,049,219 | |
WestJet Airlines Ltd. | | | | | | | | |
3.50%, 06/16/2021 (1)(13) | | | 4,540,000 | | | | 4,493,040 | |
Wyndham Destinations, Inc. | | | | | | | | |
5.10%, 10/01/2025 | | | 1,120,000 | | | | 1,146,600 | |
4.50%, 04/01/2027 | | | 6,035,000 | | | | 5,884,125 | |
Wynn Macau Ltd. | | | | | | | | |
4.88%, 10/01/2024 (1) | | | 200,000 | | | | 190,940 | |
5.50%, 10/01/2027 (1) | | | 200,000 | | | | 191,000 | |
| | | | | | | | |
| | | | | | | 317,930,037 | |
| | | | | | | | |
Consumer, Non-cyclical - 5.30% | | | | | | | | |
AA Bond Co. Ltd. | | | | | | | | |
4.25%, 07/31/2020 | | GBP | 10,080,000 | | | | 13,711,471 | |
2.88%, 01/31/2022 | | | 100,000 | | | | 129,387 | |
Abbott Laboratories | | | | | | | | |
2.35%, 11/22/2019 | | $ | 1,127,000 | | | | 1,120,370 | |
2.90%, 11/30/2021 | | | 8,535,000 | | | | 8,402,366 | |
AbbVie, Inc. | | | | | | | | |
2.30%, 05/14/2021 | | | 6,162,000 | | | | 5,987,327 | |
3.60%, 05/14/2025 | | | 5,738,000 | | | | 5,555,624 | |
4.70%, 05/14/2045 | | | 750,000 | | | | 743,443 | |
Aetna, Inc. | | | | | | | | |
2.80%, 06/15/2023 | | | 3,388,000 | | | | 3,229,853 | |
| | | | | | | | |
Allergan Finance LLC | | | | | | | | |
3.25%, 10/01/2022 | | | 7,250,000 | | | | 7,041,617 | |
Allergan Funding SCS | | | | | | | | |
0.03% (3 Month EURIBOR + 0.35%), 06/01/2019 (2) | | EUR | 100,000 | | | | 116,890 | |
4.55%, 03/15/2035 | | $ | 3,649,000 | | | | 3,460,016 | |
Amgen, Inc. | | | | | | | | |
5.70%, 02/01/2019 | | | 2,000,000 | | | | 2,032,840 | |
3.20%, 11/02/2027 | | | 3,000,000 | | | | 2,808,187 | |
4.40%, 05/01/2045 | | | 2,496,000 | | | | 2,387,482 | |
Anheuser-Busch InBev Finance, Inc. | | | | | | | | |
2.65%, 02/01/2021 | | | 10,560,000 | | | | 10,412,227 | |
3.65%, 02/01/2026 | | | 4,400,000 | | | | 4,308,866 | |
4.90%, 02/01/2046 | | | 3,035,000 | | | | 3,120,446 | |
Anheuser-Busch InBev Worldwide, Inc. | | | | | | | | |
3.75%, 01/15/2022 | | | 695,000 | | | | 704,261 | |
4.00%, 04/13/2028 | | | 5,025,000 | | | | 5,011,309 | |
Anthem, Inc. | | | | | | | | |
2.25%, 08/15/2019 | | | 3,000,000 | | | | 2,974,794 | |
2.50%, 11/21/2020 | | | 12,525,000 | | | | 12,311,824 | |
3.50%, 08/15/2024 | | | 8,055,000 | | | | 7,846,648 | |
3.65%, 12/01/2027 | | | 8,200,000 | | | | 7,764,717 | |
4.10%, 03/01/2028 | | | 102,000 | | | | 99,958 | |
4.65%, 01/15/2043 | | | 1,675,000 | | | | 1,618,766 | |
Ascension Health | | | | | | | | |
3.95%, 11/15/2046 | | | 825,000 | | | | 812,136 | |
AstraZeneca Plc | | | | | | | | |
3.38%, 11/16/2025 | | | 2,475,000 | | | | 2,378,723 | |
B&G Foods, Inc. | | | | | | | | |
5.25%, 04/01/2025 | | | 5,675,000 | | | | 5,348,687 | |
Bacardi Ltd. | | | | | | | | |
4.70%, 05/15/2028 (1) | | | 985,000 | | | | 968,401 | |
5.30%, 05/15/2048 (1) | | | 2,730,000 | | | | 2,590,916 | |
BAT Capital Corp. | | | | | | | | |
2.30%, 08/14/2020 (1) | | | 4,980,000 | | | | 4,872,392 | |
2.76%, 08/15/2022 (1) | | | 3,500,000 | | | | 3,355,145 | |
BAT International Finance Plc | | | | | | | | |
2.75%, 06/15/2020 (1) | | | 1,175,000 | | | | 1,162,138 | |
Baxalta, Inc. | | | | | | | | |
2.88%, 06/23/2020 | | | 1,000,000 | | | | 988,580 | |
4.00%, 06/23/2025 | | | 3,000,000 | | | | 2,936,032 | |
| | | | | | | | |
Bayer U.S. Finance II LLC | | | | | | | | |
2.97% (3 Month LIBOR USD + 0.63%), 06/25/2021 (1)(2) | | | 3,700,000 | | | | 3,707,326 | |
3.50%, 06/25/2021 (1) | | | 1,800,000 | | | | 1,803,444 | |
3.35% (3 Month LIBOR USD + 1.01%), 12/15/2023 (1)(2) | | | 1,000,000 | | | | 999,948 | |
3.88%, 12/15/2023 (1) | | | 7,905,000 | | | | 7,902,371 | |
4.25%, 12/15/2025 (1) | | | 1,000,000 | | | | 1,005,752 | |
4.38%, 12/15/2028 (1) | | | 7,945,000 | | | | 7,956,786 | |
Bayer U.S. Finance LLC | | | | | | | | |
2.38%, 10/08/2019 (1) | | | 5,200,000 | | | | 5,155,559 | |
Baylor Scott & White Holdings | | | | | | | | |
3.97%, 11/15/2046 | | | 875,000 | | | | 857,179 | |
Becton Dickinson and Co. | | | | | | | | |
2.68%, 12/15/2019 | | | 3,780,000 | | | | 3,751,539 | |
3.25%, 11/12/2020 | | | 2,100,000 | | | | 2,086,371 | |
2.89%, 06/06/2022 | | | 2,000,000 | | | | 1,933,922 | |
3.36%, 06/06/2024 | | | 2,070,000 | | | | 1,987,600 | |
3.73%, 12/15/2024 | | | 1,560,000 | | | | 1,522,968 | |
3.70%, 06/06/2027 | | | 10,485,000 | | | | 9,913,489 | |
7.00%, 08/01/2027 | | | 361,000 | | | | 421,083 | |
4.67%, 06/06/2047 | | | 2,445,000 | | | | 2,360,998 | |
Biogen, Inc. | | | | | | | | |
2.90%, 09/15/2020 | | | 4,000,000 | | | | 3,982,520 | |
5.20%, 09/15/2045 | | | 1,175,000 | | | | 1,243,585 | |
BioMarin Pharmaceutical, Inc. | | | | | | | | |
1.50%, 10/15/2020 | | | 385,000 | | | | 456,080 | |
0.60%, 08/01/2024 | | | 1,475,000 | | | | 1,490,045 | |
Boston Scientific Corp. | | | | | | | | |
6.00%, 01/15/2020 | | | 4,000,000 | | | | 4,167,233 | |
BRF GmbH | | | | | | | | |
4.35%, 09/29/2026 (1) | | | 3,225,000 | | | | 2,676,750 | |
BRF SA | | | | | | | | |
3.95%, 05/22/2023 (1) | | | 430,000 | | | | 376,035 | |
4.75%, 05/22/2024 (1) | | | 2,560,000 | | | | 2,242,560 | |
Bunge Ltd. Finance Corp. | | | | | | | | |
3.75%, 09/25/2027 | | | 3,370,000 | | | | 3,179,086 | |
Campbell Soup Co. | | | | | | | | |
2.83% (3 Month LIBOR USD + 0.50%), 03/16/2020 (2) | | | 420,000 | | | | 418,771 | |
2.97% (3 Month LIBOR USD + 0.63%), 03/15/2021 (2) | | | 330,000 | | | | 329,083 | |
3.30%, 03/15/2021 | | | 4,525,000 | | | | 4,505,978 | |
3.65%, 03/15/2023 | | | 450,000 | | | | 441,698 | |
3.95%, 03/15/2025 | | | 390,000 | | | | 375,967 | |
4.15%, 03/15/2028 | | | 450,000 | | | | 428,321 | |
| | | | | | | | |
Cargill, Inc. | | | | | | | | |
3.25%, 03/01/2023 (1) | | | 575,000 | | | | 570,870 | |
Catalent Pharma Solutions, Inc. | | | | | | | | |
4.88%, 01/15/2026 (1) | | | 600,000 | | | | 576,174 | |
Celgene Corp. | | | | | | | | |
3.55%, 08/15/2022 | | | 975,000 | | | | 967,301 | |
3.63%, 05/15/2024 | | | 2,260,000 | | | | 2,203,980 | |
3.88%, 08/15/2025 | | | 5,755,000 | | | | 5,590,759 | |
3.45%, 11/15/2027 | | | 1,600,000 | | | | 1,470,596 | |
3.90%, 02/20/2028 | | | 2,000,000 | | | | 1,896,095 | |
5.00%, 08/15/2045 | | | 2,850,000 | | | | 2,788,585 | |
4.35%, 11/15/2047 | | | 2,690,000 | | | | 2,374,967 | |
Cencosud SA | | | | | | | | |
5.15%, 02/12/2025 | | | 200,000 | | | | 197,792 | |
4.38%, 07/17/2027 | | | 4,300,000 | | | | 3,947,400 | |
Centene Corp. | | | | | | | | |
5.63%, 02/15/2021 | | | 250,000 | | | | 255,281 | |
4.75%, 01/15/2025 | | | 2,160,000 | | | | 2,149,200 | |
Central Garden & Pet Co. | | | | | | | | |
6.13%, 11/15/2023 | | | 880,000 | | | | 909,700 | |
5.13%, 02/01/2028 | | | 870,000 | | | | 804,750 | |
CHS/Community Health Systems, Inc. | | | | | | | | |
5.13%, 08/01/2021 | | | 1,748,000 | | | | 1,616,900 | |
6.25%, 03/31/2023 | | | 1,778,000 | | | | 1,626,870 | |
8.63%, 01/15/2024 | | | 2,612,000 | | | | 2,618,791 | |
Cigna Corp. | | | | | | | | |
3.05%, 10/15/2027 | | | 4,920,000 | | | | 4,435,846 | |
Coca-Cola Co./The | | | | | | | | |
1.88%, 10/27/2020 | | | 790,000 | | | | 771,870 | |
3.30%, 09/01/2021 | | | 5,495,000 | | | | 5,540,574 | |
CVS Health Corp. | | | | | | | | |
3.50%, 07/20/2022 | | | 997,000 | | | | 988,977 | |
Danone SA | | | | | | | | |
2.08%, 11/02/2021 (1) | | | 1,515,000 | | | | 1,448,178 | |
3.00%, 06/15/2022 (1) | | | 10,160,000 | | | | 9,926,007 | |
DaVita, Inc. | | | | | | | | |
5.13%, 07/15/2024 | | | 244,000 | | | | 236,680 | |
5.00%, 05/01/2025 | | | 741,000 | | | | 697,466 | |
| | | | | | | | |
Diageo Capital Plc | | | | | | | | |
3.00%, 05/18/2020 | | | 1,915,000 | | | | 1,917,516 | |
Equifax, Inc. | | | | | | | | |
3.60%, 08/15/2021 | | | 2,285,000 | | | | 2,282,899 | |
ERAC USA Finance LLC | | | | | | | | |
2.60%, 12/01/2021 (1) | | | 1,180,000 | | | | 1,144,509 | |
3.80%, 11/01/2025 (1) | | | 4,605,000 | | | | 4,533,622 | |
Express Scripts Holding Co. | | | | | | | | |
3.50%, 06/15/2024 | | | 1,282,000 | | | | 1,230,908 | |
4.50%, 02/25/2026 | | | 4,123,000 | | | | 4,091,682 | |
3.40%, 03/01/2027 | | | 1,504,000 | | | | 1,373,700 | |
First Quality Finance Co., Inc. | | | | | | | | |
4.63%, 05/15/2021 (1) | | | 91,000 | | | | 88,725 | |
5.00%, 07/01/2025 (1) | | | 1,694,000 | | | | 1,550,010 | |
Fresenius Medical Care U.S. Finance II, Inc. | | | | | | | | |
6.50%, 09/15/2018 (1) | | | 1,800,000 | | | | 1,811,700 | |
5.63%, 07/31/2019 (1) | | | 5,620,000 | | | | 5,756,956 | |
4.13%, 10/15/2020 (1) | | | 2,000 | | | | 2,020 | |
General Mills, Inc. | | | | | | | | |
3.20%, 04/16/2021 | | | 1,645,000 | | | | 1,636,349 | |
4.20%, 04/17/2028 | | | 5,700,000 | | | | 5,577,948 | |
George Washington University | | | | | | | | |
3.55%, 09/15/2046 | | | 740,000 | | | | 670,377 | |
Gilead Sciences, Inc. | | | | | | | | |
2.55%, 09/01/2020 | | | 8,485,000 | | | | 8,381,511 | |
3.70%, 04/01/2024 | | | 1,000,000 | | | | 1,001,532 | |
3.50%, 02/01/2025 | | | 1,251,000 | | | | 1,231,736 | |
4.60%, 09/01/2035 | | | 3,961,000 | | | | 4,074,180 | |
4.75%, 03/01/2046 | | | 375,000 | | | | 386,764 | |
4.15%, 03/01/2047 | | | 1,000,000 | | | | 954,808 | |
GlaxoSmithKline Capital Plc | | | | | | | | |
3.13%, 05/14/2021 | | | 6,480,000 | | | | 6,494,115 | |
Grupo Bimbo SAB de CV | | | | | | | | |
4.70%, 11/10/2047 (1) | | | 6,315,000 | | | | 5,736,925 | |
Hadrian Merger Sub, Inc. | | | | | | | | |
8.50%, 05/01/2026 (1) | | | 130,000 | | | | 126,425 | |
HCA, Inc. | | | | | | | | |
3.75%, 03/15/2019 | | | 1,111,000 | | | | 1,115,166 | |
6.50%, 02/15/2020 | | | 1,319,000 | | | | 1,373,409 | |
5.88%, 05/01/2023 | | | 844,000 | | | | 875,650 | |
| | | | | | | | |
5.00%, 03/15/2024 | | | 2,906,000 | | | | 2,906,000 | |
5.25%, 04/15/2025 | | | 6,727,000 | | | | 6,727,000 | |
5.25%, 06/15/2026 | | | 810,000 | | | | 804,492 | |
4.50%, 02/15/2027 | | | 8,560,000 | | | | 8,057,100 | |
7.50%, 11/06/2033 | | | 1,035,000 | | | | 1,089,338 | |
Hill-Rom Holdings, Inc. | | | | | | | | |
5.75%, 09/01/2023 (1) | | | 480,000 | | | | 488,400 | |
Humana, Inc. | | | | | | | | |
2.63%, 10/01/2019 | | | 4,000,000 | | | | 3,976,553 | |
3.85%, 10/01/2024 | | | 2,625,000 | | | | 2,619,101 | |
IHS Markit Ltd. | | | | | | | | |
5.00%, 11/01/2022 (1) | | | 3,356,000 | | | | 3,385,365 | |
4.00%, 03/01/2026 (1) | | | 500,000 | | | | 476,875 | |
Imperial Brands Finance Plc | | | | | | | | |
2.95%, 07/21/2020 (1) | | | 1,665,000 | | | | 1,647,771 | |
Insulet Corp. | | | | | | | | |
1.38%, 11/15/2024 (1) | | | 385,000 | | | | 432,458 | |
Johnson & Johnson | | | | | | | | |
2.90%, 01/15/2028 | | | 3,865,000 | | | | 3,687,496 | |
Kaiser Foundation Hospitals | | | | | | | | |
3.50%, 04/01/2022 | | | 1,275,000 | | | | 1,286,016 | |
3.15%, 05/01/2027 | | | 7,000,000 | | | | 6,701,232 | |
Koninklijke Ahold Delhaize NV | | | | | | | | |
5.70%, 10/01/2040 | | | 485,000 | | | | 529,102 | |
Kraft Foods Group, Inc. | | | | | | | | |
5.38%, 02/10/2020 | | | 1,000,000 | | | | 1,034,143 | |
Kraft Heinz Foods Co. | | | | | | | | |
3.38%, 06/15/2021 | | | 10,130,000 | | | | 10,146,034 | |
3.50%, 07/15/2022 | | | 4,980,000 | | | | 4,919,095 | |
3.95%, 07/15/2025 | | | 3,750,000 | | | | 3,643,904 | |
3.00%, 06/01/2026 | | | 1,000,000 | | | | 900,212 | |
4.63%, 01/30/2029 | | | 4,095,000 | | | | 4,049,064 | |
5.20%, 07/15/2045 | | | 1,000,000 | | | | 972,110 | |
4.38%, 06/01/2046 | | | 2,110,000 | | | | 1,823,944 | |
Life Technologies Corp. | | | | | | | | |
6.00%, 03/01/2020 | | | 2,209,000 | | | | 2,302,465 | |
Macquarie Infrastructure Corp. | | | | | | | | |
2.00%, 10/01/2023 | | | 4,280,000 | | | | 3,795,778 | |
Maple Escrow Subsidiary, Inc. | | | | | | | | |
3.55%, 05/25/2021 (1) | | | 9,575,000 | | | | 9,582,734 | |
4.06%, 05/25/2023 (1) | | | 985,000 | | | | 988,680 | |
| | | | | | | | |
Matterhorn Merger Sub LLC / Matterhorn Finance Sub, Inc. | | | | | | | | |
8.50%, 06/01/2026 (1) | | | 480,000 | | | | 463,200 | |
Matthews International Corp. | | | | | | | | |
5.25%, 12/01/2025 (1) | | | 764,000 | | | | 731,530 | |
McCormick & Co., Inc./MD | | | | | | | | |
2.70%, 08/15/2022 | | | 7,020,000 | | | | 6,773,371 | |
Mead Johnson Nutrition Co. | | | | | | | | |
4.13%, 11/15/2025 | | | 170,000 | | | | 173,135 | |
Molina Healthcare, Inc. | | | | | | | | |
5.38%, 11/15/2022 | | | 188,000 | | | | 189,175 | |
4.88%, 06/15/2025 (1) | | | 425,000 | | | | 412,250 | |
Molson Coors Brewing Co. | | | | | | | | |
2.25%, 03/15/2020 | | | 3,700,000 | | | | 3,641,263 | |
Mondelez International Holdings Netherlands BV | | | | | | | | |
1.63%, 10/28/2019 (1) | | | 5,140,000 | | | | 5,051,069 | |
Mylan NV | | | | | | | | |
3.95%, 06/15/2026 | | | 4,485,000 | | | | 4,287,167 | |
New York and Presbyterian Hospital | | | | | | | | |
3.56%, 08/01/2036 | | | 2,630,000 | | | | 2,492,585 | |
Novartis Securities Investment Ltd. | | | | | | | | |
5.13%, 02/10/2019 | | | 3,000,000 | | | | 3,042,656 | |
NYU Langone Hospitals | | | | | | | | |
4.43%, 07/01/2042 | | | 2,000,000 | | | | 2,063,748 | |
PepsiCo, Inc. | | | | | | | | |
1.35%, 10/04/2019 | | | 7,250,000 | | | | 7,129,564 | |
Pfizer, Inc. | | | | | | | | |
4.40%, 05/15/2044 | | | 430,000 | | | | 446,651 | |
Pilgrim’s Pride Corp. | | | | | | | | |
5.88%, 09/30/2027 (1) | | | 895,000 | | | | 830,113 | |
Post Holdings, Inc. | | | | | | | | |
5.00%, 08/15/2026 (1) | | | 1,250,000 | | | | 1,165,625 | |
5.63%, 01/15/2028 (1) | | | 1,665,000 | | | | 1,560,938 | |
Prime Security Services Borrower LLC / Prime Finance, Inc. | | | | | | | | |
9.25%, 05/15/2023 (1) | | | 2,450,000 | | | | 2,615,375 | |
Providence St Joseph Health Obligated Group | | | | | | | | |
2.75%, 10/01/2026 | | | 1,968,000 | | | | 1,836,114 | |
Reckitt Benckiser Treasury Services Plc | | | | | | | | |
2.38%, 06/24/2022 (1) | | | 4,490,000 | | | | 4,291,578 | |
3.00%, 06/26/2027 (1) | | | 4,085,000 | | | | 3,796,496 | |
| | | | | | | | |
Reynolds American, Inc. | | | | | | | | |
6.88%, 05/01/2020 | | | 1,000,000 | | | | 1,061,122 | |
3.25%, 11/01/2022 | | | 1,215,000 | | | | 1,190,895 | |
4.45%, 06/12/2025 | | | 680,000 | | | | 683,404 | |
5.85%, 08/15/2045 | | | 1,020,000 | | | | 1,114,730 | |
Shire Acquisitions Investments Ireland DAC | | | | | | | | |
1.90%, 09/23/2019 | | | 895,000 | | | | 881,315 | |
2.40%, 09/23/2021 | | | 7,182,000 | | | | 6,875,207 | |
2.88%, 09/23/2023 | | | 7,345,000 | | | | 6,906,635 | |
3.20%, 09/23/2026 | | | 1,775,000 | | | | 1,626,012 | |
Sigma Alimentos SA de CV | | | | | | | | |
4.13%, 05/02/2026 | | | 3,300,000 | | | | 3,093,750 | |
Sigma Holdco BV | | | | | | | | |
5.75%, 05/15/2026 (1) | | EUR | 150,000 | | | | 163,882 | |
7.88%, 05/15/2026 (1) | | $ | 300,000 | | | | 282,000 | |
Smithfield Foods, Inc. | | | | | | | | |
4.25%, 02/01/2027 (1) | | | 1,290,000 | | | | 1,240,856 | |
Spectrum Brands, Inc. | | | | | | | | |
6.13%, 12/15/2024 | | | 500,000 | | | | 505,000 | |
5.75%, 07/15/2025 | | | 175,000 | | | | 172,813 | |
Teleflex, Inc. | | | | | | | | |
4.63%, 11/15/2027 | | | 772,000 | | | | 729,540 | |
Tenet Healthcare Corp. | | | | | | | | |
4.50%, 04/01/2021 | | | 352,000 | | | | 348,480 | |
4.38%, 10/01/2021 | | | 300,000 | | | | 295,125 | |
7.50%, 01/01/2022 (1) | | | 10,000 | | | | 10,400 | |
4.63%, 07/15/2024 (1) | | | 1,929,000 | | | | 1,827,149 | |
Teva Pharmaceutical Finance Netherlands II BV | | | | | | | | |
3.25%, 04/15/2022 | | EUR | 1,200,000 | | | | 1,421,791 | |
Teva Pharmaceutical Finance Netherlands III BV | | | | | | | | |
3.15%, 10/01/2026 | | $ | 5,355,000 | | | | 4,302,437 | |
6.75%, 03/01/2028 | | | 2,110,000 | | | | 2,149,824 | |
Teva Pharmaceutical Finance Netherlands IV BV | | | | | | | | |
0.13%, 07/27/2018 | | CHF | 9,615,000 | | | | 9,704,324 | |
Teva Pharmaceutical Finance V BV | | | | | | | | |
1.50%, 10/25/2018 | | | 5,120,000 | | | | 5,183,076 | |
Transcanada Trust | | | | | | | | |
5.30% (3 Month LIBOR USD + 3.21%), 03/15/2077 (2) | | $ | 2,555,000 | | | | 2,415,791 | |
Transurban Finance Co. Pty Ltd. | | | | | | | | |
4.13%, 02/02/2026 (1) | | | 155,000 | | | | 153,216 | |
3.38%, 03/22/2027 (1) | | | 2,635,000 | | | | 2,430,831 | |
| | | | | | | | |
UBM Plc | | | | | | | | |
5.75%, 11/03/2020 (1)(13) | | | 2,925,000 | | | | 2,982,657 | |
UnitedHealth Group, Inc. | | | | | | | | |
1.95%, 10/15/2020 | | | 300,000 | | | | 292,671 | |
3.85%, 06/15/2028 | | | 5,000,000 | | | | 5,005,701 | |
4.75%, 07/15/2045 | | | 1,712,000 | | | | 1,827,647 | |
4.20%, 01/15/2047 | | | 1,288,000 | | | | 1,260,756 | |
Universal Health Services, Inc. | | | | | | | | |
4.75%, 08/01/2022 (1) | | | 7,595,000 | | | | 7,642,469 | |
5.00%, 06/01/2026 (1) | | | 7,497,000 | | | | 7,300,204 | |
University of Southern California | | | | | | | | |
3.03%, 10/01/2039 | | | 2,750,000 | | | | 2,491,971 | |
Valeant Pharmaceuticals International, Inc. | | | | | | | | |
7.00%, 03/15/2024 (1) | | | 2,750,000 | | | | 2,876,335 | |
6.13%, 04/15/2025 (1) | | | 2,317,000 | | | | 2,134,536 | |
5.50%, 11/01/2025 (1) | | | 1,364,000 | | | | 1,344,222 | |
Verisk Analytics, Inc. | | | | | | | | |
4.88%, 01/15/2019 | | | 540,000 | | | | 544,869 | |
VOC Escrow Ltd. | | | | | | | | |
5.00%, 02/15/2028 (1) | | | 240,000 | | | | 226,730 | |
Walgreens Boots Alliance, Inc. | | | | | | | | |
2.70%, 11/18/2019 | | | 3,555,000 | | | | 3,539,998 | |
WellCare Health Plans, Inc. | | | | | | | | |
5.25%, 04/01/2025 | | | 785,000 | | | | 781,075 | |
Wm Wrigley Jr Co. | | | | | | | | |
2.40%, 10/21/2018 (1) | | | 1,620,000 | | | | 1,618,862 | |
Zimmer Biomet Holdings, Inc. | | | | | | | | |
2.70%, 04/01/2020 | | | 2,125,000 | | | | 2,104,325 | |
3.70%, 03/19/2023 | | | 3,145,000 | | | | 3,121,513 | |
| | | | | | | | |
| | | | | | | 585,858,848 | |
| | | | | | | | |
Diversified - 0.06% | | | | | | | | |
Hutchison Whampoa International 14 Ltd. | | | | | | | | |
3.63%, 10/31/2024 | | | 4,700,000 | | | | 4,624,039 | |
RWT Holdings, Inc. | | | | | | | | |
5.63%, 11/15/2019 | | | 1,460,000 | | | | 1,475,163 | |
| | | | | | | | |
| | | | | | | 6,099,202 | |
| | | | | | | | |
| | | | | | | | |
Energy - 2.98% | | | | | | | | |
Andeavor | | | | | | | | |
4.75%, 12/15/2023 | | | 1,580,000 | | | | 1,639,012 | |
5.13%, 12/15/2026 | | | 1,955,000 | | | | 2,044,277 | |
3.80%, 04/01/2028 | | | 2,245,000 | | | | 2,119,482 | |
Andeavor Logistics LP / Tesoro Logistics Finance Corp. | | | | | | | | |
4.25%, 12/01/2027 | | | 5,655,000 | | | | 5,440,519 | |
Antero Resources Corp. | | | | | | | | |
5.00%, 03/01/2025 | | | 400,000 | | | | 398,000 | |
APT Pipelines Ltd. | | | | | | | | |
3.88%, 10/11/2022 (1) | | | 1,360,000 | | | | 1,360,549 | |
4.25%, 07/15/2027 (1) | | | 7,305,000 | | | | 7,157,708 | |
Boardwalk Pipelines LP | | | | | | | | |
3.38%, 02/01/2023 | | | 330,000 | | | | 317,695 | |
5.95%, 06/01/2026 | | | 1,610,000 | | | | 1,725,941 | |
4.45%, 07/15/2027 | | | 600,000 | | | | 582,396 | |
BP Capital Markets PLC | | | | | | | | |
4.74%, 03/11/2021 | | | 3,025,000 | | | | 3,148,617 | |
Canadian Natural Resources Ltd. | | | | | | | | |
3.85%, 06/01/2027 | | | 890,000 | | | | 867,907 | |
6.25%, 03/15/2038 | | | 1,345,000 | | | | 1,585,639 | |
Cenovus Energy, Inc. | | | | | | | | |
5.70%, 10/15/2019 | | | 40,000 | | | | 41,024 | |
4.25%, 04/15/2027 | | | 380,000 | | | | 365,881 | |
Centennial Resource Production LLC | | | | | | | | |
5.38%, 01/15/2026 (1) | | | 850,000 | | | | 826,625 | |
Cheniere Corpus Christi Holdings LLC | | | | | | | | |
5.13%, 06/30/2027 | | | 195,000 | | | | 193,294 | |
Cheniere Energy Partners LP | | | | | | | | |
5.25%, 10/01/2025 (1) | | | 93,000 | | | | 90,717 | |
Chesapeake Energy Corp. | | | | | | | | |
5.50%, 09/15/2026 | | | 4,090,000 | | | | 4,156,606 | |
Chevron Corp. | | | | | | | | |
2.43%, 06/24/2020 | | | 1,545,000 | | | | 1,535,283 | |
2.42%, 11/17/2020 | | | 1,550,000 | | | | 1,532,869 | |
Cimarex Energy Co. | | | | | | | | |
4.38%, 06/01/2024 | | | 894,000 | | | | 901,034 | |
CNOOC Nexen Finance 2014 ULC | | | | | | | | |
4.25%, 04/30/2024 | | | 4,000,000 | | | | 4,044,808 | |
Concho Resources, Inc. | | | | | | | | |
3.75%, 10/01/2027 | | | 3,830,000 | | | | 3,678,866 | |
Continental Resources, Inc./OK | | | | | | | | |
4.50%, 04/15/2023 | | | 250,000 | | | | 253,863 | |
3.80%, 06/01/2024 | | | 8,010,000 | | | | 7,810,935 | |
| | | | | | | | |
CrownRock LP / CrownRock Finance, Inc. | | | | | | | | |
5.63%, 10/15/2025 (1) | | | 525,000 | | | | 506,625 | |
Diamondback Energy, Inc. | | | | | | | | |
4.75%, 11/01/2024 | | | 1,048,000 | | | | 1,021,800 | |
Enable Midstream Partners LP | | | | | | | | |
2.40%, 05/15/2019 | | | 600,000 | | | | 596,215 | |
Enable Oklahoma Intrastate Transmission LLC | | | | | | | | |
6.25%, 03/15/2020 (1) | | | 3,235,000 | | | | 3,358,868 | |
Enbridge Energy Partners LP | | | | | | | | |
5.88%, 10/15/2025 | | | 2,383,000 | | | | 2,592,631 | |
7.38%, 10/15/2045 | | | 1,245,000 | | | | 1,582,950 | |
Enbridge, Inc. | | | | | | | | |
6.00% (3 Month LIBOR USD + 3.89%), 01/15/2077 (2) | | | 5,190,000 | | | | 4,878,600 | |
Energy Transfer Equity LP | | | | | | | | |
5.88%, 01/15/2024 | | | 265,000 | | | | 271,625 | |
5.50%, 06/01/2027 | | | 500,000 | | | | 500,000 | |
Energy Transfer Partners LP | | | | | | | | |
4.15%, 10/01/2020 | | | 1,504,000 | | | | 1,522,214 | |
4.05%, 03/15/2025 | | | 4,555,000 | | | | 4,396,127 | |
4.75%, 01/15/2026 | | | 5,707,000 | | | | 5,652,907 | |
6.50%, 02/01/2042 | | | 1,000,000 | | | | 1,028,855 | |
5.15%, 03/15/2045 | | | 700,000 | | | | 622,502 | |
6.00%, 06/15/2048 | | | 6,125,000 | | | | 6,105,460 | |
Energy Transfer Partners LP / Regency Energy Finance Corp. | | | | | | | | |
5.88%, 03/01/2022 | | | 1,521,000 | | | | 1,608,610 | |
4.50%, 11/01/2023 | | | 349,000 | | | | 351,059 | |
EnLink Midstream Partners LP | | | | | | | | |
4.40%, 04/01/2024 | | | 35,000 | | | | 33,656 | |
4.15%, 06/01/2025 | | | 6,795,000 | | | | 6,278,170 | |
4.85%, 07/15/2026 | | | 2,215,000 | | | | 2,098,157 | |
EQT Midstream Partners LP | | | | | | | | |
5.50%, 07/15/2028 | | | 10,390,000 | | | | 10,384,242 | |
Exxon Mobil Corp. | | | | | | | | |
1.91%, 03/06/2020 | | | 2,515,000 | | | | 2,479,526 | |
Florida Gas Transmission Co. LLC | | | | | | | | |
7.90%, 05/15/2019 (1) | | | 4,000,000 | | | | 4,164,271 | |
Gazprom OAO Via Gaz Capital SA | | | | | | | | |
3.70%, 07/25/2018 | | EUR | 2,137,000 | | | | 2,498,337 | |
3.38%, 11/30/2018 | | CHF | 18,450,000 | | | | 18,843,108 | |
| | | | | | | | |
Gulfport Energy Corp. | | | | | | | | |
6.38%, 05/15/2025 | | $ | 215,000 | | | | 209,087 | |
Helmerich & Payne International Drilling Co. | | | | | | | | |
4.65%, 03/15/2025 | | | 1,894,000 | | | | 1,955,032 | |
Hess Corp. | | | | | | | | |
4.30%, 04/01/2027 | | | 3,435,000 | | | | 3,321,010 | |
5.80%, 04/01/2047 | | | 2,000,000 | | | | 2,068,679 | |
KazMunayGas National Co. JSC | | | | | | | | |
9.13%, 07/02/2018 | | | 100,000 | | | | 100,000 | |
Kinder Morgan, Inc. | | | | | | | | |
5.30%, 12/01/2034 | | | 2,450,000 | | | | 2,412,441 | |
Nabors Industries, Inc. | | | | | | | | |
0.75%, 01/15/2024 | | | 5,375,000 | | | | 4,218,816 | |
Newfield Exploration Co. | | | | | | | | |
5.75%, 01/30/2022 | | | 225,000 | | | | 234,281 | |
5.63%, 07/01/2024 | | | 4,977,000 | | | | 5,244,514 | |
5.38%, 01/01/2026 | | | 412,000 | | | | 421,270 | |
Oceaneering International, Inc. | | | | | | | | |
4.65%, 11/15/2024 | | | 2,605,000 | | | | 2,487,430 | |
Odebrecht Offshore Drilling Finance Ltd. | | | | | | | | |
6.72%, 12/01/2022 | | | 41,686 | | | | 37,517 | |
Parsley Energy LLC / Parsley Finance Corp. | | | | | | | | |
5.38%, 01/15/2025 (1) | | | 300,000 | | | | 297,750 | |
5.25%, 08/15/2025 (1) | | | 750,000 | | | | 736,875 | |
5.63%, 10/15/2027 (1) | | | 250,000 | | | | 248,125 | |
Pertamina Persero PT | | | | | | | | |
6.00%, 05/03/2042 | | | 280,000 | | | | 278,224 | |
6.00%, 05/03/2042 | | | 200,000 | | | | 198,731 | |
Peru LNG Srl | | | | | | | | |
5.38%, 03/22/2030 | | | 4,000,000 | | | | 3,960,000 | |
Petrobras Global Finance BV | | | | | | | | |
6.13%, 01/17/2022 | | | 7,341,000 | | | | 7,465,797 | |
5.30%, 01/27/2025 (1) | | | 42,000 | | | | 38,808 | |
6.25%, 12/14/2026 | | GBP | 5,330,000 | | | | 7,078,253 | |
7.38%, 01/17/2027 | | $ | 4,122,000 | | | | 4,116,848 | |
6.00%, 01/27/2028 (1) | | | 10,872,000 | | | | 9,839,160 | |
5.75%, 02/01/2029 | | | 7,180,000 | | | | 6,312,153 | |
5.63%, 05/20/2043 | | | 2,715,000 | | | | 2,208,327 | |
7.25%, 03/17/2044 | | | 555,000 | | | | 513,375 | |
| | | | | | | | |
Petroleos de Venezuela SA | | | | | | | | |
6.00%, 05/16/2024 (10) | | | 1,622,000 | | | | 341,755 | |
6.00%, 11/15/2026 (10) | | | 3,900,000 | | | | 819,000 | |
5.38%, 04/12/2027 (10) | | | 652,000 | | | | 149,960 | |
9.75%, 05/17/2035 (10) | | | 830,000 | | | | 195,714 | |
5.50%, 04/12/2037 (10) | | | 600,000 | | | | 135,000 | |
Petroleos Mexicanos | | | | | | | | |
5.50%, 01/21/2021 | | | 5,655,000 | | | | 5,821,766 | |
6.38%, 02/04/2021 | | | 3,285,000 | | | | 3,457,462 | |
4.88%, 01/24/2022 | | | 2,315,000 | | | | 2,335,372 | |
5.38%, 03/13/2022 | | | 395,000 | | | | 405,073 | |
4.50%, 01/23/2026 | | | 1,105,000 | | | | 1,036,711 | |
6.50%, 03/13/2027 | | | 470,000 | | | | 480,810 | |
6.75%, 09/21/2047 | | | 150,000 | | | | 142,575 | |
Plains All American Pipeline LP / PAA Finance Corp. | | | | | | | | |
2.85%, 01/31/2023 | | | 395,000 | | | | 371,747 | |
3.85%, 10/15/2023 | | | 1,780,000 | | | | 1,734,198 | |
4.65%, 10/15/2025 | | | 5,650,000 | | | | 5,628,664 | |
Raizen Fuels Finance SA | | | | | | | | |
5.30%, 01/20/2027 (1) | | | 560,000 | | | | 539,000 | |
Range Resources Corp. | | | | | | | | |
4.88%, 05/15/2025 | | | 900,000 | | | | 843,750 | |
Reliance Holding USA, Inc. | | | | | | | | |
5.40%, 02/14/2022 | | | 3,900,000 | | | | 4,048,028 | |
Rockies Express Pipeline LLC | | | | | | | | |
5.63%, 04/15/2020 (1) | | | 1,150,000 | | | | 1,177,312 | |
Sabine Pass Liquefaction LLC | | | | | | | | |
5.63%, 02/01/2021 | | | 2,000,000 | | | | 2,091,617 | |
5.75%, 05/15/2024 | | | 2,350,000 | | | | 2,509,186 | |
5.63%, 03/01/2025 | | | 2,199,000 | | | | 2,338,370 | |
5.88%, 06/30/2026 | | | 2,130,000 | | | | 2,283,716 | |
5.00%, 03/15/2027 | | | 7,659,000 | | | | 7,780,369 | |
4.20%, 03/15/2028 | | | 1,900,000 | | | | 1,826,435 | |
Schlumberger Holdings Corp. | | | | | | | | |
3.00%, 12/21/2020 (1) | | | 525,000 | | | | 521,826 | |
Seven Generations Energy Ltd. | | | | | | | | |
5.38%, 09/30/2025 (1) | | | 10,240,000 | | | | 9,843,200 | |
Shell International Finance BV | | | | | | | | |
2.13%, 05/11/2020 | | | 1,620,000 | | | | 1,600,522 | |
4.38%, 05/11/2045 | | | 1,000,000 | | | | 1,024,202 | |
| | | | | | | | |
SM Energy Co. | | | | | | | | |
1.50%, 07/01/2021 | | | 285,000 | | | | 293,604 | |
6.13%, 11/15/2022 | | | 10,000 | | | | 10,250 | |
5.00%, 01/15/2024 | | | 115,000 | | | | 108,819 | |
5.63%, 06/01/2025 | | | 75,000 | | | | 72,375 | |
Southern Natural Gas Co. LLC | | | | | | | | |
4.80%, 03/15/2047 (1) | | | 1,000,000 | | | | 1,039,275 | |
Southwestern Energy Co. | | | | | | | | |
6.70%, 01/23/2025 | | | 5,205,000 | | | | 5,094,394 | |
Sunoco Logistics Partners Operations LP | | | | | | | | |
4.25%, 04/01/2024 | | | 1,500,000 | | | | 1,484,067 | |
4.00%, 10/01/2027 | | | 16,730,000 | | | | 15,628,091 | |
5.40%, 10/01/2047 | | | 5,000,000 | | | | 4,584,211 | |
Targa Resources Partners LP / Targa Resources Partners Finance Corp. | | | | | | | | |
4.13%, 11/15/2019 | | | 380,000 | | | | 380,000 | |
4.25%, 11/15/2023 | | | 2,400,000 | | | | 2,304,000 | |
6.75%, 03/15/2024 | | | 825,000 | | | | 866,250 | |
TC PipeLines LP | | | | | | | | |
3.90%, 05/25/2027 | | | 3,325,000 | | | | 3,125,101 | |
Tesoro Logistics LP / Tesoro Logistics Finance Corp. | | | | | | | | |
5.25%, 01/15/2025 | | | 390,000 | | | | 399,703 | |
Texas Eastern Transmission LP | | | | | | | | |
2.80%, 10/15/2022 (1) | | | 3,125,000 | | | | 2,986,922 | |
Transcontinental Gas Pipe Line Co. LLC | | | | | | | | |
4.00%, 03/15/2028 (1) | | | 3,410,000 | | | | 3,312,721 | |
4.60%, 03/15/2048 (1) | | | 1,025,000 | | | | 985,021 | |
Transocean Phoenix 2 Ltd. | | | | | | | | |
7.75%, 10/15/2024 (1) | | | 79,900 | | | | 85,593 | |
Transocean Proteus Ltd. | | | | | | | | |
6.25%, 12/01/2024 (1) | | | 356,150 | | | | 359,711 | |
Valero Energy Partners LP | | | | | | | | |
4.50%, 03/15/2028 | | | 3,670,000 | | | | 3,606,765 | |
Whiting Petroleum Corp. | | | | | | | | |
1.25%, 04/01/2020 | | | 900,000 | | | | 858,988 | |
Williams Partners LP | | | | | | | | |
5.25%, 03/15/2020 | | | 1,000,000 | | | | 1,030,850 | |
3.60%, 03/15/2022 | | | 1,135,000 | | | | 1,129,154 | |
3.35%, 08/15/2022 | | | 1,000,000 | | | | 977,006 | |
6.30%, 04/15/2040 | | | 1,323,000 | | | | 1,476,572 | |
4.85%, 03/01/2048 | | | 2,300,000 | | | | 2,189,515 | |
| | | | | | | | |
Woodside Finance Ltd. | | | | | | | | |
3.65%, 03/05/2025 (1) | | | 5,610,000 | | | | 5,465,547 | |
3.70%, 09/15/2026 (1) | | | 2,885,000 | | | | 2,771,300 | |
3.70%, 03/15/2028 (1) | | | 2,659,000 | | | | 2,511,887 | |
| | | | | | | | |
| | | | | | | 329,819,597 | |
| | | | | | | | |
Financials - 12.89% | | | | | | | | |
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | | | | | | | | |
3.75%, 05/15/2019 | | | 2,000,000 | | | | 2,011,936 | |
4.50%, 05/15/2021 | | | 8,325,000 | | | | 8,488,901 | |
5.00%, 10/01/2021 | | | 2,000,000 | | | | 2,060,650 | |
3.50%, 05/26/2022 | | | 820,000 | | | | 801,858 | |
4.13%, 07/03/2023 | | | 11,600,000 | | | | 11,533,693 | |
3.65%, 07/21/2027 | | | 5,535,000 | | | | 5,037,225 | |
AerCap Ireland Capital Ltd. / AerCap Global Aviation Trust | | | | | | | | |
3.95%, 02/01/2022 | | | 5,972,000 | | | | 5,935,261 | |
4.63%, 07/01/2022 | | | 450,000 | | | | 458,759 | |
Aflac, Inc. | | | | | | | | |
3.63%, 11/15/2024 | | | 1,490,000 | | | | 1,475,123 | |
AIA Group Ltd. | | | | | | | | |
3.90%, 04/06/2028 (1) | | | 2,945,000 | | | | 2,936,253 | |
Air Lease Corp. | | | | | | | | |
2.13%, 01/15/2020 | | | 1,850,000 | | | | 1,815,758 | |
2.50%, 03/01/2021 | | | 3,100,000 | | | | 3,017,977 | |
3.88%, 04/01/2021 | | | 2,540,000 | | | | 2,558,448 | |
2.63%, 07/01/2022 | | | 2,000,000 | | | | 1,915,904 | |
2.75%, 01/15/2023 | | | 1,780,000 | | | | 1,694,952 | |
3.63%, 12/01/2027 | | | 1,110,000 | | | | 1,012,911 | |
Aircastle Ltd. | | | | | | | | |
5.00%, 04/01/2023 | | | 5,090,000 | | | | 5,121,405 | |
4.13%, 05/01/2024 | | | 5,365,000 | | | | 5,137,524 | |
Alexandria Real Estate Equities, Inc. | | | | | | | | |
3.90%, 06/15/2023 | | | 1,000,000 | | | | 1,002,635 | |
4.00%, 01/15/2024 | | | 1,690,000 | | | | 1,698,672 | |
3.45%, 04/30/2025 | | | 2,115,000 | | | | 2,023,259 | |
4.30%, 01/15/2026 | | | 4,000,000 | | | | 4,000,838 | |
3.95%, 01/15/2028 | | | 490,000 | | | | 470,519 | |
Allied World Assurance Co Holdings Ltd. | | | | | | | | |
4.35%, 10/29/2025 | | | 2,490,000 | | | | 2,421,703 | |
| | | | | | | | |
Ally Financial, Inc. | | | | | | | | |
4.75%, 09/10/2018 | | | 600,000 | | | | 601,125 | |
3.25%, 11/05/2018 | | | 505,000 | | | | 505,000 | |
8.00%, 12/31/2018 | | | 893,000 | | | | 909,744 | |
4.63%, 03/30/2025 | | | 7,655,000 | | | | 7,540,175 | |
8.00%, 11/01/2031 | | | 12,704,000 | | | | 15,117,760 | |
8.00%, 11/01/2031 | | | 8,000 | | | | 9,480 | |
Ambac LSNI LLC | | | | | | | | |
7.34% (3 Month LIBOR USD + 5.00%, 6.00% Floor), 02/12/2023 (1)(2) | | | 1,858,372 | | | | 1,886,341 | |
American Campus Communities Operating Partnership LP | | | | | | | | |
3.35%, 10/01/2020 | | | 7,110,000 | | | | 7,090,697 | |
4.13%, 07/01/2024 | | | 2,230,000 | | | | 2,217,882 | |
3.63%, 11/15/2027 | | | 920,000 | | | | 861,494 | |
American Homes 4 Rent LP | | | | | | | | |
4.25%, 02/15/2028 | | | 73,000 | | | | 69,883 | |
American Tower Corp. | | | | | | | | |
3.40%, 02/15/2019 | | | 2,915,000 | | | | 2,922,869 | |
2.80%, 06/01/2020 | | | 1,500,000 | | | | 1,487,068 | |
3.00%, 06/15/2023 | | | 3,010,000 | | | | 2,885,222 | |
Ardonagh Midco 3 Plc | | | | | | | | |
8.38%, 07/15/2023 | | GBP | 400,000 | | | | 532,478 | |
8.38%, 07/15/2023 (1) | | | 600,000 | | | | 798,716 | |
Athene Holding Ltd. | | | | | | | | |
4.13%, 01/12/2028 | | $ | 7,439,000 | | | | 6,857,298 | |
Avolon Holdings Funding Ltd. | | | | | | | | |
5.50%, 01/15/2023 (1) | | | 570,000 | | | | 568,575 | |
AXA Equitable Holdings, Inc. | | | | | | | | |
3.90%, 04/20/2023 (1) | | | 6,474,000 | | | | 6,420,861 | |
4.35%, 04/20/2028 (1) | | | 446,000 | | | | 426,193 | |
5.00%, 04/20/2048 (1) | | | 260,000 | | | | 239,354 | |
Banco Bilbao Vizcaya Argentaria SA | | | | | | | | |
6.75% (5 Year Swap Rate EUR + 6.60%), 05/18/2020 (2) | | EUR | 1,600,000 | | | | 1,943,221 | |
8.88% (5 Year Swap Rate EUR + 9.18%), 07/14/2021 (2) | | | 1,000,000 | | | | 1,307,994 | |
7.00% (5 Year Swap Rate EUR + 6.16%), 12/29/2049 (2) | | | 3,800,000 | | | | 4,537,519 | |
Banco de Bogota SA | | | | | | | | |
4.38%, 08/03/2027 | | $ | 4,700,000 | | | | 4,382,750 | |
Banco Santander SA | | | | | | | | |
3.50%, 04/11/2022 | | | 4,400,000 | | | | 4,290,763 | |
3.85%, 04/12/2023 | | | 200,000 | | | | 195,534 | |
5.18%, 11/19/2025 | | | 2,400,000 | | | | 2,417,626 | |
3.80%, 02/23/2028 | | | 4,200,000 | | | | 3,834,688 | |
| | | | | | | | |
Bank of America Corp. | | | | | | | | |
7.63%, 06/01/2019 | | | 9,000,000 | | | | 9,372,909 | |
2.37% (3 Month LIBOR USD + 0.66%), 07/21/2021 (2) | | | 5,055,000 | | | | 4,955,168 | |
2.74% (3 Month LIBOR USD + 0.37%), 01/23/2022 (2) | | | 8,835,000 | | | | 8,681,861 | |
3.50% (3 Month LIBOR USD + 0.63%), 05/17/2022 (2) | | | 7,500,000 | | | | 7,495,538 | |
2.99% (3 Month LIBOR USD + 0.65%), 06/25/2022 (2) | | | 2,400,000 | | | | 2,397,432 | |
3.30%, 01/11/2023 | | | 9,015,000 | | | | 8,879,909 | |
3.00% (3 Month LIBOR USD + 0.79%), 12/20/2023 (2) | | | 8,773,000 | | | | 8,506,919 | |
3.55% (3 Month LIBOR USD + 0.78%), 03/05/2024 (2) | | | 3,800,000 | | | | 3,759,863 | |
4.00%, 04/01/2024 | | | 3,955,000 | | | | 3,988,086 | |
3.09% (3 Month LIBOR USD + 1.09%), 10/01/2025 (2) | | | 4,865,000 | | | | 4,631,780 | |
4.25%, 10/22/2026 | | | 8,975,000 | | | | 8,865,677 | |
3.25%, 10/21/2027 | | | 12,830,000 | | | | 11,952,447 | |
3.82% (3 Month LIBOR USD + 1.58%), 01/20/2028 (2) | | | 2,630,000 | | | | 2,564,496 | |
3.71% (3 Month LIBOR USD + 1.51%), 04/24/2028 (2) | | | 8,100,000 | | | | 7,808,989 | |
3.59% (3 Month LIBOR USD + 1.37%), 07/21/2028 (2) | | | 670,000 | | | | 639,429 | |
5.88% (3 Month LIBOR USD + 2.93%), 09/15/2028 (2) | | | 11,432,000 | | | | 11,174,780 | |
3.42% (3 Month LIBOR USD + 1.04%), 12/20/2028 (2) | | | 4,632,000 | | | | 4,360,095 | |
4.24% (3 Month LIBOR USD + 1.81%), 04/24/2038 (2) | | | 415,000 | | | | 402,657 | |
Bank of Montreal | | | | | | | | |
1.50%, 07/18/2019 | | | 4,000,000 | | | | 3,944,950 | |
Bank of New York Mellon Corp. | | | | | | | | |
2.30%, 09/11/2019 | | | 2,000,000 | | | | 1,989,126 | |
2.66% (3 Month LIBOR USD + 0.63%), 05/16/2023 (2) | | | 6,000,000 | | | | 5,820,829 | |
Barclays Bank Plc | | | | | | | | |
5.14%, 10/14/2020 | | | 765,000 | | | | 783,358 | |
14.00% (3 Month LIBOR GBP + 13.40%), 12/15/2166 (2) | | GBP | 3,000,000 | | | | 4,375,284 | |
Barclays Plc | | | | | | | | |
3.68%, 01/10/2023 | | $ | 3,060,000 | | | | 2,974,790 | |
4.34% (3 Month LIBOR USD + 1.36%), 05/16/2024 (2) | | | 8,195,000 | | | | 8,090,985 | |
4.38%, 09/11/2024 | | | 4,635,000 | | | | 4,503,273 | |
4.38%, 01/12/2026 | | | 2,670,000 | | | | 2,593,278 | |
5.20%, 05/12/2026 | | | 2,560,000 | | | | 2,514,844 | |
4.84%, 05/09/2028 | | | 4,500,000 | | | | 4,248,248 | |
3.25%, 01/17/2033 | | GBP | 600,000 | | | | 723,051 | |
8.25% (5 Year Swap Rate USD + 6.71%), 12/15/2048 (2) | | $ | 19,765,000 | | | | 20,082,940 | |
6.50% (5 Year Swap Rate EUR + 5.88%), 06/15/2049 (2) | | EUR | 2,400,000 | | | | 2,884,938 | |
8.00% (5 Year Swap Rate EUR + 6.75%), 12/15/2049 (2) | | | 3,300,000 | | | | 4,268,022 | |
7.25% (5 Year Swap Rate GBP + 6.46%), 03/15/2163 (2) | | GBP | 14,083,000 | | | | 19,073,904 | |
| | | | | | | | |
BBVA Bancomer SA/Texas | | | | | | | | |
4.38%, 04/10/2024 (1) | | $ | 2,800,000 | | | | 2,790,200 | |
Berkshire Hathaway Finance Corp. | | | | | | | | |
1.30%, 08/15/2019 | | | 1,880,000 | | | | 1,851,668 | |
4.40%, 05/15/2042 | | | 1,000,000 | | | | 1,021,084 | |
BNP Paribas SA | | | | | | | | |
2.95%, 05/23/2022 (1) | | | 1,920,000 | | | | 1,852,909 | |
3.80%, 01/10/2024 (1) | | | 3,145,000 | | | | 3,073,114 | |
BOC Aviation Ltd. | | | | | | | | |
3.41% (3 Month LIBOR USD + 1.05%), 05/02/2021 (1)(2) | | | 600,000 | | | | 603,246 | |
Boston Properties LP | | | | | | | | |
5.63%, 11/15/2020 | | | 2,310,000 | | | | 2,420,510 | |
3.85%, 02/01/2023 | | | 3,245,000 | | | | 3,260,472 | |
3.20%, 01/15/2025 | | | 4,110,000 | | | | 3,911,156 | |
3.65%, 02/01/2026 | | | 415,000 | | | | 400,137 | |
2.75%, 10/01/2026 | | | 5,660,000 | | | | 5,101,185 | |
BPCE SA | | | | | | | | |
3.00%, 05/22/2022 (1) | | | 3,710,000 | | | | 3,583,337 | |
4.88%, 04/01/2026 (1) | | | 2,740,000 | | | | 2,716,898 | |
3.50%, 10/23/2027 (1) | | | 1,880,000 | | | | 1,715,998 | |
Brixmor Operating Partnership LP | | | | | | | | |
3.88%, 08/15/2022 | | | 644,000 | | | | 641,465 | |
3.65%, 06/15/2024 | | | 3,624,000 | | | | 3,499,570 | |
3.85%, 02/01/2025 | | | 1,680,000 | | | | 1,619,884 | |
4.13%, 06/15/2026 | | | 2,980,000 | | | | 2,883,393 | |
3.90%, 03/15/2027 | | | 2,553,000 | | | | 2,412,493 | |
Brookfield Finance, Inc. | | | | | | | | |
3.90%, 01/25/2028 | | | 276,000 | | | | 260,821 | |
4.70%, 09/20/2047 | | | 582,000 | | | | 550,327 | |
Capital One Bank USA NA | | | | | | | | |
3.38%, 02/15/2023 | | | 4,443,000 | | | | 4,326,353 | |
Capital One Financial Corp. | | | | | | | | |
3.30%, 10/30/2024 | | | 4,865,000 | | | | 4,618,887 | |
4.25%, 04/30/2025 | | | 2,880,000 | | | | 2,869,463 | |
Capital One NA | | | | | | | | |
2.35%, 08/17/2018 | | | 1,000,000 | | | | 999,678 | |
Carlyle Holdings Finance LLC | | | | | | | | |
3.88%, 02/01/2023 (1) | | | 1,596,000 | | | | 1,592,313 | |
CBL & Associates LP | | | | | | | | |
5.95%, 12/15/2026 | | | 280,000 | | | | 235,736 | |
CBRE Services, Inc. | | | | | | | | |
4.88%, 03/01/2026 | | | 1,235,000 | | | | 1,277,549 | |
| | | | | | | | |
CC Holdings GS V LLC / Crown Castle GS III Corp. | | | | | | | | |
3.85%, 04/15/2023 | | | 2,450,000 | | | | 2,427,003 | |
CIT Group, Inc. | | | | | | | | |
4.13%, 03/09/2021 | | | 198,000 | | | | 196,762 | |
5.25%, 03/07/2025 | | | 180,000 | | | | 181,350 | |
Citibank NA | | | | | | | | |
3.05%, 05/01/2020 | | | 1,640,000 | | | | 1,639,341 | |
Citigroup, Inc. | | | | | | | | |
2.15%, 07/30/2018 | | | 7,055,000 | | | | 7,053,464 | |
2.50%, 09/26/2018 | | | 5,000,000 | | | | 4,998,582 | |
2.05%, 12/07/2018 | | | 3,000,000 | | | | 2,994,303 | |
2.55%, 04/08/2019 | | | 5,000,000 | | | | 4,991,377 | |
8.50%, 05/22/2019 | | | 7,000,000 | | | | 7,339,990 | |
2.05%, 06/07/2019 | | | 2,200,000 | | | | 2,182,697 | |
2.50%, 07/29/2019 | | | 2,034,000 | | | | 2,025,295 | |
3.23% (90 Day Australian Bank Bill Swap Rate + 1.25%), 08/07/2019 (2) | | AUD | 13,020,000 | | | | 9,683,898 | |
2.40%, 02/18/2020 | | $ | 2,260,000 | | | | 2,231,114 | |
3.14% (3 Month LIBOR USD + 0.72%), 01/24/2023 (2) | | | 4,000,000 | | | | 3,917,744 | |
2.88% (3 Month LIBOR USD + 0.95%), 07/24/2023 (2) | | | 3,235,000 | | | | 3,118,552 | |
3.73% (3 Month LIBOR USD + 1.43%), 09/01/2023 (2) | | | 3,473,000 | | | | 3,544,434 | |
3.20%, 10/21/2026 | | | 6,430,000 | | | | 5,982,843 | |
3.89% (3 Month LIBOR USD + 1.56%), 01/10/2028 (2) | | | 3,195,000 | | | | 3,094,692 | |
3.67% (3 Month LIBOR USD + 1.39%), 07/24/2028 (2) | | | 2,870,000 | | | | 2,728,488 | |
4.08% (3 Month LIBOR USD + 1.19%), 04/23/2029 (2) | | | 525,000 | | | | 515,080 | |
CNA Financial Corp. | | | | | | | | |
5.88%, 08/15/2020 | | | 1,700,000 | | | | 1,787,047 | |
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands | | | | | | | | |
4.38%, 08/04/2025 | | | 1,225,000 | | | | 1,200,666 | |
Cooperatieve Rabobank | | | | | | | | |
6.63% (5 Year Swap Rate EUR + 6.70%), 06/29/2166 (2) | | EUR | 1,600,000 | | | | 2,099,707 | |
CPPIB Capital, Inc. | | | | | | | | |
1.25%, 09/20/2019 (1) | | $ | 7,400,000 | | | | 7,271,425 | |
Credit Agricole SA | | | | | | | | |
3.25%, 10/04/2024 (1) | | | 5,045,000 | | | | 4,748,808 | |
4.38%, 03/17/2025 (1) | | | 1,717,000 | | | | 1,656,421 | |
4.00% (5 Year Swap Rate USD + 1.64%), 01/10/2033 (1)(2) | | | 13,548,000 | | | | 12,361,943 | |
8.13% (5 Year Swap Rate USD + 6.28%), 09/19/2033 (2) | | | 4,200,000 | | | | 4,234,877 | |
Credit Agricole SA/London | | | | | | | | |
3.38% (3 Month LIBOR USD + 1.02%), 04/24/2023 (1)(2) | | | 250,000 | | | | 249,294 | |
3.75%, 04/24/2023 (1) | | | 250,000 | | | | 244,855 | |
| | | | | | | | |
Credit Suisse Group AG | | | | | | | | |
3.00% (3 Month LIBOR USD + 1.20%), 12/14/2023 (1)(2) | | | 2,490,000 | | | | 2,381,297 | |
Crown Castle International Corp. | | | | | | | | |
4.88%, 04/15/2022 | | | 4,006,000 | | | | 4,128,750 | |
5.25%, 01/15/2023 | | | 565,000 | | | | 591,845 | |
3.20%, 09/01/2024 | | | 3,639,000 | | | | 3,432,922 | |
4.00%, 03/01/2027 | | | 1,461,000 | | | | 1,405,940 | |
3.65%, 09/01/2027 | | | 862,000 | | | | 801,488 | |
4.75%, 05/15/2047 | | | 3,255,000 | | | | 3,065,972 | |
CSCEC Finance Cayman II Ltd. | | | | | | | | |
2.25%, 06/14/2019 | | | 1,900,000 | | | | 1,870,979 | |
CTR Partnership LP / CareTrust Capital Corp. | | | | | | | | |
5.25%, 06/01/2025 | | | 194,000 | | | | 187,210 | |
DDR Corp. | | | | | | | | |
4.70%, 06/01/2027 | | | 8,000,000 | | | | 8,053,971 | |
Deutsche Bank AG/New York NY | | | | | | | | |
3.31% (3 Month LIBOR USD + 0.97%), 07/13/2020 (2) | | | 46,000 | | | | 45,711 | |
3.95%, 02/27/2023 | | | 100,000 | | | | 95,989 | |
Dexia Credit Local SA | | | | | | | | |
2.25%, 02/18/2020 (1) | | | 7,070,000 | | | | 6,998,541 | |
Digital Realty Trust LP | | | | | | | | |
4.75%, 10/01/2025 | | | 1,640,000 | | | | 1,689,493 | |
Discover Bank | | | | | | | | |
2.60%, 11/13/2018 | | | 2,010,000 | | | | 2,008,848 | |
3.10%, 06/04/2020 | | | 2,000,000 | | | | 1,989,643 | |
Discover Financial Services | | | | | | | | |
3.95%, 11/06/2024 | | | 2,167,000 | | | | 2,113,760 | |
3.75%, 03/04/2025 | | | 11,762,000 | | | | 11,227,643 | |
Doric Nimrod Air Finance Alpha Ltd. 2012-1 Class A Pass Through Trust | | | | | | | | |
5.13%, 11/30/2022 (1) | | | 4,114,046 | | | | 4,244,853 | |
Education Realty Operating Partnership LP | | | | | | | | |
4.60%, 12/01/2024 | | | 4,925,000 | | | | 4,943,400 | |
Equinix, Inc. | | | | | | | | |
2.88%, 02/01/2026 | | EUR | 200,000 | | | | 220,261 | |
ERP Operating LP | | | | | | | | |
3.50%, 03/01/2028 | | $ | 138,000 | | | | 133,166 | |
Essex Portfolio LP | | | | | | | | |
3.88%, 05/01/2024 | | | 4,200,000 | | | | 4,167,801 | |
3.63%, 05/01/2027 | | | 2,785,000 | | | | 2,662,519 | |
Exela Intermediate LLC / Exela Finance, Inc. | | | | | | | | |
10.00%, 07/15/2023 (1) | | | 300,000 | | | | 306,375 | |
| | | | | | | | |
Fairfax Financial Holdings Ltd. | | | | | | | | |
4.85%, 04/17/2028 (1) | | | 196,000 | | | | 194,200 | |
Farmers Exchange Capital II | | | | | | | | |
6.15% (3 Month LIBOR USD + 3.74%), 11/01/2053 (1)(2) | | | 280,000 | | | | 305,578 | |
Farmers Exchange Capital III | | | | | | | | |
5.45% (3 Month LIBOR USD + 3.45%), 10/15/2054 (1)(2) | | | 4,000,000 | | | | 4,028,280 | |
Farmers Insurance Exchange | | | | | | | | |
4.75% (3 Month LIBOR USD + 3.23%), 11/01/2057 (1)(2) | | | 3,000,000 | | | | 2,737,420 | |
Freedom Mortgage Corp. | | | | | | | | |
8.25%, 04/15/2025 (1) | | | 427,000 | | | | 420,595 | |
G4S International Finance Plc | | | | | | | | |
1.50%, 01/09/2023 | | EUR | 100,000 | | | | 118,962 | |
GE Capital International Funding Co. | | | | | | | | |
2.34%, 11/15/2020 | | $ | 3,000,000 | | | | 2,930,896 | |
4.42%, 11/15/2035 | | | 3,300,000 | | | | 3,194,998 | |
Goldman Sachs Bank USA/New York NY | | | | | | | | |
3.20%, 06/05/2020 | | | 5,640,000 | | | | 5,660,530 | |
Goldman Sachs Group, Inc. | | | | | | | | |
7.50%, 02/15/2019 | | | 8,865,000 | | | | 9,109,949 | |
2.55%, 10/23/2019 | | | 3,850,000 | | | | 3,826,310 | |
2.63%, 04/25/2021 | | | 7,164,000 | | | | 7,009,804 | |
5.75%, 01/24/2022 | | | 2,190,000 | | | | 2,342,756 | |
3.00%, 04/26/2022 | | | 2,120,000 | | | | 2,072,365 | |
3.63%, 01/22/2023 | | | 5,055,000 | | | | 5,020,162 | |
2.91% (3 Month LIBOR USD + 1.05%), 06/05/2023 (2) | | | 1,920,000 | | | | 1,851,557 | |
3.50%, 01/23/2025 | | | 2,622,000 | | | | 2,531,279 | |
3.75%, 05/22/2025 | | | 5,500,000 | | | | 5,367,798 | |
3.27% (3 Month LIBOR USD + 1.20%), 09/29/2025 (2) | | | 3,700,000 | | | | 3,515,047 | |
3.50%, 11/16/2026 | | | 5,660,000 | | | | 5,331,025 | |
3.69% (3 Month LIBOR USD + 1.51%), 06/05/2028 (2) | | | 6,585,000 | | | | 6,240,127 | |
3.81% (3 Month LIBOR USD + 1.16%), 04/23/2029 (2) | | | 4,100,000 | | | | 3,894,984 | |
4.22% (3 Month LIBOR USD + 1.30%), 05/01/2029 (2) | | | 2,500,000 | | | | 2,461,939 | |
Goodman U.S. Finance Three LLC | | | | | | | | |
3.70%, 03/15/2028 (1) | | | 463,000 | | | | 436,571 | |
Growthpoint Properties International Pty Ltd. | | | | | | | | |
5.87%, 05/02/2023 (1) | | | 200,000 | | | | 202,948 | |
HCP, Inc. | | | | | | | | |
3.75%, 02/01/2019 | | | 4,000,000 | | | | 4,010,036 | |
2.63%, 02/01/2020 | | | 5,635,000 | | | | 5,567,590 | |
4.20%, 03/01/2024 | | | 1,175,000 | | | | 1,173,769 | |
| | | | | | | | |
Healthcare Realty Trust, Inc. | | | | | | | | |
3.75%, 04/15/2023 | | | 1,356,000 | | | | 1,330,890 | |
3.63%, 01/15/2028 | | | 1,605,000 | | | | 1,502,330 | |
Healthcare Trust of America Holdings LP | | | | | | | | |
2.95%, 07/01/2022 | | | 3,335,000 | | | | 3,226,039 | |
Hercules Capital, Inc. | | | | | | | | |
4.38%, 02/01/2022 | | | 160,000 | | | | 159,364 | |
Highwoods Realty LP | | | | | | | | |
4.13%, 03/15/2028 | | | 1,840,000 | | | | 1,806,208 | |
Hospitality Properties Trust | | | | | | | | |
3.95%, 01/15/2028 | | | 5,605,000 | | | | 5,119,028 | |
Host Hotels & Resorts LP | | | | | | | | |
5.25%, 03/15/2022 | | | 2,500,000 | | | | 2,603,849 | |
3.75%, 10/15/2023 | | | 2,175,000 | | | | 2,130,965 | |
4.50%, 02/01/2026 | | | 1,600,000 | | | | 1,598,270 | |
Howard Hughes Corp. | | | | | | | | |
5.38%, 03/15/2025 (1) | | | 2,182,000 | | | | 2,141,087 | |
HSBC Holdings Plc | | | | | | | | |
2.93% (3 Month LIBOR USD + 0.60%), 05/18/2021 (2) | | | 1,200,000 | | | | 1,201,748 | |
2.95%, 05/25/2021 | | | 1,805,000 | | | | 1,779,959 | |
2.65%, 01/05/2022 | | | 1,340,000 | | | | 1,297,100 | |
3.26% (3 Month LIBOR USD + 1.06%), 03/13/2023 (2) | | | 1,585,000 | | | | 1,552,309 | |
3.33% (3 Month LIBOR USD + 1.00%), 05/18/2024 (2) | | | 600,000 | | | | 598,200 | |
3.95% (3 Month LIBOR USD + 0.99%), 05/18/2024 (2) | | | 8,015,000 | | | | 7,992,720 | |
4.58% (3 Month LIBOR USD + 1.53%), 06/19/2029 (2) | | | 1,400,000 | | | | 1,413,484 | |
6.38% (5 Year Mid Swap Rate USD + 4.37%), 03/29/2049 (2) | | | 1,500,000 | | | | 1,471,875 | |
6.25% (5 Year Mid Swap Rate USD + 3.45%), 09/23/2163 (2) | | | 1,000,000 | | | | 981,250 | |
6.50% (5 Year Mid Swap Rate USD + 3.61%), 09/23/2163 (2) | | | 1,620,000 | | | | 1,555,200 | |
ING Bank NV | | | | | | | | |
5.80%, 09/25/2023 (1) | | | 10,810,000 | | | | 11,450,656 | |
4.13% (5 Year Mid Swap Rate USD + 2.70%), 11/21/2023 (2) | | | 1,840,000 | | | | 1,844,416 | |
International Lease Finance Corp. | | | | | | | | |
7.13%, 09/01/2018 (1) | | | 500,000 | | | | 503,262 | |
6.25%, 05/15/2019 | | | 1,500,000 | | | | 1,537,917 | |
8.25%, 12/15/2020 | | | 1,700,000 | | | | 1,871,189 | |
Intesa Sanpaolo SpA | | | | | | | | |
3.13%, 07/14/2022 (1) | | | 8,705,000 | | | | 8,032,330 | |
5.02%, 06/26/2024 (1) | | | 9,075,000 | | | | 8,233,887 | |
5.71%, 01/15/2026 (1) | | | 555,000 | | | | 507,319 | |
3.88%, 01/12/2028 (1) | | | 2,220,000 | | | | 1,902,288 | |
4.38%, 01/12/2048 (1) | | | 2,730,000 | | | | 2,123,415 | |
7.00% (5 Year Swap Rate EUR + 6.88%), 01/19/2167 (2) | | EUR | 200,000 | | | | 238,472 | |
| | | | | | | | |
iStar, Inc. | | | | | | | | |
3.13%, 09/15/2022 (1) | | $ | 3,190,000 | | | | 3,102,001 | |
5.25%, 09/15/2022 | | | 2,665,000 | | | | 2,591,712 | |
Jackson National Life Global Funding | | | | | | | | |
1.88%, 10/15/2018 (1) | | | 1,000,000 | | | | 998,291 | |
Jefferies Finance LLC / JFIN Co-Issuer Corp. | | | | | | | | |
7.38%, 04/01/2020 (1) | | | 13,670,000 | | | | 13,734,659 | |
7.25%, 08/15/2024 (1) | | | 200,000 | | | | 196,000 | |
Jefferies Group LLC | | | | | | | | |
6.45%, 06/08/2027 | | | 3,660,000 | | | | 3,947,776 | |
6.25%, 01/15/2036 | | | 1,430,000 | | | | 1,465,216 | |
Jefferies Group LLC / Jefferies Group Capital Finance, Inc. | | | | | | | | |
4.15%, 01/23/2030 | | | 7,180,000 | | | | 6,332,942 | |
JPMorgan Chase & Co. | | | | | | | | |
2.75%, 06/23/2020 | | | 400,000 | | | | 396,428 | |
4.50%, 01/24/2022 | | | 3,440,000 | | | | 3,557,481 | |
3.51% (3 Month LIBOR USD + 0.61%), 06/18/2022 (2) | | | 6,380,000 | | | | 6,384,425 | |
2.70%, 05/18/2023 | | | 1,850,000 | | | | 1,775,387 | |
3.59% (3 Month LIBOR USD + 1.23%), 10/24/2023 (2) | | | 6,125,000 | | | | 6,235,399 | |
3.22% (3 Month LIBOR USD + 1.16%), 03/01/2025 (2) | | | 3,000,000 | | | | 2,893,044 | |
3.90%, 07/15/2025 | | | 9,600,000 | | | | 9,561,042 | |
3.30%, 04/01/2026 | | | 5,825,000 | | | | 5,568,398 | |
2.95%, 10/01/2026 | | | 12,325,000 | | | | 11,444,489 | |
3.78% (3 Month LIBOR USD + 1.34%), 02/01/2028 (2) | | | 4,000,000 | | | | 3,895,714 | |
3.54% (3 Month LIBOR USD + 1.38%), 05/01/2028 (2) | | | 11,140,000 | | | | 10,661,352 | |
3.88% (3 Month LIBOR USD + 1.36%), 07/24/2038 (2) | | | 1,165,000 | | | | 1,077,231 | |
JPMorgan Chase Bank NA | | | | | | | | |
2.61% (3 Month LIBOR USD + 0.25%), 02/13/2020 (2) | | | 10,500,000 | | | | 10,497,257 | |
2.60% (3 Month LIBOR USD + 0.28%), 02/01/2021 (2) | | | 11,055,000 | | | | 10,958,291 | |
3.09% (3 Month LIBOR USD + 0.35%), 04/26/2021 (2) | | | 9,000,000 | | | | 8,978,575 | |
Kennedy-Wilson, Inc. | | | | | | | | |
5.88%, 04/01/2024 (1) | | | 224,000 | | | | 217,280 | |
Kilroy Realty LP | | | | | | | | |
3.45%, 12/15/2024 | | | 1,845,000 | | | | 1,770,462 | |
4.38%, 10/01/2025 | | | 2,345,000 | | | | 2,347,534 | |
Kimco Realty Corp. | | | | | | | | |
2.70%, 03/01/2024 | | | 5,600,000 | | | | 5,199,234 | |
3.30%, 02/01/2025 | | | 880,000 | | | | 833,576 | |
| | | | | | | | |
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp. | | | | | | | | |
5.88%, 08/01/2021 (1) | | | 1,025,000 | | | | 1,047,499 | |
5.25%, 10/01/2025 (1) | | | 3,490,000 | | | | 3,275,539 | |
Lazard Group LLC | | | | | | | | |
4.25%, 11/14/2020 | | | 2,684,000 | | | | 2,736,419 | |
Liberty Mutual Group, Inc. | | | | | | | | |
4.85%, 08/01/2044 (1) | | | 3,045,000 | | | | 3,050,512 | |
Liberty Property LP | | | | | | | | |
4.13%, 06/15/2022 | | | 2,000,000 | | | | 2,036,116 | |
Lincoln National Corp. | | | | | | | | |
4.35%, 03/01/2048 | | | 665,000 | | | | 613,244 | |
Lloyds Bank Plc | | | | | | | | |
5.80%, 01/13/2020 (1) | | | 2,000,000 | | | | 2,075,633 | |
2.85% (3 Month LIBOR USD + 0.49%), 05/07/2021 (2) | | | 800,000 | | | | 801,130 | |
3.30%, 05/07/2021 | | | 1,600,000 | | | | 1,597,042 | |
Lloyds Banking Group Plc | | | | | | | | |
2.91% (3 Month LIBOR USD + 0.81%), 11/07/2023 (2) | | | 4,140,000 | | | | 3,941,958 | |
4.50%, 11/04/2024 | | | 2,825,000 | | | | 2,791,626 | |
4.45%, 05/08/2025 | | | 4,265,000 | | | | 4,286,749 | |
4.65%, 03/24/2026 | | | 8,450,000 | | | | 8,311,443 | |
4.38%, 03/22/2028 | | | 400,000 | | | | 394,992 | |
3.57% (3 Month LIBOR USD + 1.21%), 11/07/2028 (2) | | | 420,000 | | | | 387,353 | |
7.00% (5 Year Swap Rate GBP + 5.06%), 06/27/2164 (2) | | GBP | 22,450,000 | | | | 30,183,891 | |
7.63% (5 Year Swap Rate GBP + 5.01%), 06/27/2164 (2) | | | 1,900,000 | | | | 2,740,401 | |
Macquarie Bank Ltd. | | | | | | | | |
2.60%, 06/24/2019 (1) | | $ | 4,000,000 | | | | 3,987,817 | |
Marsh & McLennan Cos, Inc. | | | | | | | | |
4.35%, 01/30/2047 | | | 515,000 | | | | 511,850 | |
Metropolitan Life Global Funding I | | | | | | | | |
1.55%, 09/13/2019 (1) | | | 6,965,000 | | | | 6,857,066 | |
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc. | | | | | | | | |
5.63%, 05/01/2024 | | | 1,079,000 | | | | 1,092,487 | |
Mid-America Apartments LP | | | | | | | | |
3.60%, 06/01/2027 | | | 1,400,000 | | | | 1,341,315 | |
Mitchells & Butlers Finance Plc | | | | | | | | |
2.79% (3 Month LIBOR USD + 0.45%), 12/15/2030 (2) | | | 10,211,816 | | | | 9,476,565 | |
Mizuho Financial Group, Inc. | | | | | | | | |
3.55%, 03/05/2023 | | | 4,915,000 | | | | 4,877,808 | |
| | | | | | | | |
Morgan Stanley | | | | | | | | |
7.30%, 05/13/2019 | | | 9,000,000 | | | | 9,328,717 | |
2.38%, 07/23/2019 | | | 4,000,000 | | | | 3,976,704 | |
5.63%, 09/23/2019 | | | 4,274,000 | | | | 4,404,052 | |
3.16% (3 Month LIBOR USD + 0.80%), 02/14/2020 (2) | | | 3,825,000 | | | | 3,836,597 | |
3.29% (3 Month LIBOR USD + 0.93%), 07/22/2022 (2) | | | 1,000,000 | | | | 1,008,055 | |
4.88%, 11/01/2022 | | | 1,365,000 | | | | 1,415,372 | |
3.75%, 02/25/2023 | | | 6,845,000 | | | | 6,850,533 | |
3.70%, 10/23/2024 | | | 12,765,000 | | | | 12,596,802 | |
5.00%, 11/24/2025 | | | 11,385,000 | | | | 11,798,349 | |
3.88%, 01/27/2026 | | | 3,025,000 | | | | 2,976,707 | |
3.13%, 07/27/2026 | | | 900,000 | | | | 836,908 | |
3.63%, 01/20/2027 | | | 2,875,000 | | | | 2,765,957 | |
3.95%, 04/23/2027 | | | 2,630,000 | | | | 2,506,235 | |
3.59% (3 Month LIBOR USD + 1.34%), 07/22/2028 (2) | | | 3,705,000 | | | | 3,520,062 | |
3.97% (3 Month LIBOR USD + 1.46%), 07/22/2038 (2) | | | 1,805,000 | | | | 1,671,346 | |
MPT Operating Partnership LP / MPT Finance Corp. | | | | | | | | |
5.25%, 08/01/2026 | | | 40,000 | | | | 39,200 | |
5.00%, 10/15/2027 | | | 1,855,000 | | | | 1,771,525 | |
Nationwide Building Society | | | | | | | | |
3.77% (3 Month LIBOR USD + 1.06%), 03/08/2024 (1)(2) | | | 1,000,000 | | | | 978,897 | |
4.30% (3 Month LIBOR USD + 1.45%), 03/08/2029 (1)(2) | | | 1,000,000 | | | | 962,445 | |
6.88% (5 Year Swap Rate GBP + 4.88%), 03/11/2049 (2) | | GBP | 2,550,000 | | | | 3,435,769 | |
Nationwide Mutual Insurance Co. | | | | | | | | |
4.63% (3 Month LIBOR USD + 2.29%), 12/15/2024 (1)(2) | | $ | 1,050,000 | | | | 1,049,981 | |
Navient Corp. | | | | | | | | |
5.50%, 01/15/2019 | | | 2,140,000 | | | | 2,157,120 | |
4.88%, 06/17/2019 | | | 7,550,000 | | | | 7,587,750 | |
8.00%, 03/25/2020 | | | 4,503,000 | | | | 4,750,665 | |
5.88%, 03/25/2021 | | | 9,493,000 | | | | 9,635,395 | |
6.63%, 07/26/2021 | | | 1,990,000 | | | | 2,044,128 | |
6.50%, 06/15/2022 | | | 242,000 | | | | 247,748 | |
New York Life Global Funding | | | | | | | | |
1.55%, 11/02/2018 (1) | | | 2,000,000 | | | | 1,993,735 | |
1.50%, 10/24/2019 (1) | | | 7,230,000 | | | | 7,095,081 | |
1.70%, 09/14/2021 (1) | | | 6,775,000 | | | | 6,447,831 | |
2.35%, 07/14/2026 (1) | | | 1,000,000 | | | | 909,129 | |
NTT Finance Corp. | | | | | | | | |
1.90%, 07/21/2021 | | | 6,860,000 | | | | 6,576,332 | |
Nuveen Finance LLC | | | | | | | | |
4.13%, 11/01/2024 (1) | | | 4,775,000 | | | | 4,746,750 | |
| | | | | | | | |
Old Republic International Corp. | | | | | | | | |
4.88%, 10/01/2024 | | | 1,365,000 | | | | 1,414,510 | |
3.88%, 08/26/2026 | | | 6,590,000 | | | | 6,336,812 | |
Omega Healthcare Investors, Inc. | | | | | | | | |
4.50%, 01/15/2025 | | | 5,050,000 | | | | 4,933,131 | |
Oppenheimer Holdings, Inc. | | | | | | | | |
6.75%, 07/01/2022 | | | 112,000 | | | | 114,380 | |
Physicians Realty LP | | | | | | | | |
3.95%, 01/15/2028 | | | 177,000 | | | | 165,124 | |
PNC Bank NA | | | | | | | | |
1.45%, 07/29/2019 | | | 2,000,000 | | | | 1,971,968 | |
PNC Financial Services Group, Inc./The | | | | | | | | |
5.13%, 02/08/2020 | | | 2,000,000 | | | | 2,063,826 | |
Principal Financial Group, Inc. | | | | | | | | |
4.70% (3 Month LIBOR USD + 3.04%), 05/15/2055 (2) | | | 1,435,000 | | | | 1,438,588 | |
Prologis LP | | | | | | | | |
3.75%, 11/01/2025 | | | 1,325,000 | | | | 1,322,719 | |
Protective Life Global Funding | | | | | | | | |
2.70%, 11/25/2020 (1) | | | 1,950,000 | | | | 1,923,804 | |
Provident Funding Associates LP / PFG Finance Corp. | | | | | | | | |
6.38%, 06/15/2025 (1) | | | 93,000 | | | | 90,540 | |
Quicken Loans, Inc. | | | | | | | | |
5.75%, 05/01/2025 (1) | | | 570,000 | | | | 557,905 | |
5.25%, 01/15/2028 (1) | | | 2,815,000 | | | | 2,596,274 | |
Radiate Holdco LLC / Radiate Finance, Inc. | | | | | | | | |
6.88%, 02/15/2023 (1) | | | 220,000 | | | | 211,200 | |
Raymond James Financial, Inc. | | | | | | | | |
5.63%, 04/01/2024 | | | 1,617,000 | | | | 1,735,281 | |
4.95%, 07/15/2046 | | | 2,575,000 | | | | 2,616,576 | |
Reckson Operating Partnership LP | | | | | | | | |
7.75%, 03/15/2020 | | | 1,398,000 | | | | 1,493,525 | |
Regency Centers LP | | | | | | | | |
3.60%, 02/01/2027 | | | 2,271,000 | | | | 2,157,212 | |
4.13%, 03/15/2028 | | | 1,655,000 | | | | 1,635,354 | |
Reinsurance Group of America, Inc. | | | | | | | | |
5.00%, 06/01/2021 | | | 500,000 | | | | 518,139 | |
4.70%, 09/15/2023 | | | 1,000,000 | | | | 1,033,463 | |
Retail Opportunity Investments Partnership LP | | | | | | | | |
4.00%, 12/15/2024 | | | 895,000 | | | | 844,733 | |
Rio Oil Finance Trust Series 2014-1 | | | | | | | | |
9.25%, 07/06/2024 | | | 340,657 | | | | 364,503 | |
| | | | | | | | |
Rio Oil Finance Trust Series 2014-3 | | | | | | | | |
9.75%, 01/06/2027 | | | 266,956 | | | | 286,113 | |
Rio Oil Finance Trust Series 2018-1 | | | | | | | | |
8.20%, 04/06/2028 (1) | | | 500,000 | | | | 506,500 | |
Royal Bank of Scotland Group Plc | | | | | | | | |
6.13%, 12/15/2022 | | | 3,025,000 | | | | 3,182,592 | |
3.50% (3 Month LIBOR USD + 1.48%), 05/15/2023 (2) | | | 2,445,000 | | | | 2,367,841 | |
3.81% (3 Month LIBOR USD + 1.47%), 05/15/2023 (2) | | | 1,187,000 | | | | 1,192,814 | |
3.88%, 09/12/2023 | | | 3,088,000 | | | | 2,999,307 | |
6.00%, 12/19/2023 | | | 5,575,000 | | | | 5,848,166 | |
5.13%, 05/28/2024 | | | 375,000 | | | | 378,106 | |
8.00% (5 Year Swap Rate USD + 5.72%), 12/29/2049 (2) | | | 1,475,000 | | | | 1,548,750 | |
Santander Holdings USA, Inc. | | | | | | | | |
3.70%, 03/28/2022 | | | 122,000 | | | | 120,173 | |
3.40%, 01/18/2023 | | | 184,000 | | | | 177,598 | |
4.40%, 07/13/2027 | | | 153,000 | | | | 146,672 | |
Santander UK Group Holdings Plc | | | | | | | | |
2.88%, 10/16/2020 | | | 2,800,000 | | | | 2,759,587 | |
2.88%, 08/05/2021 | | | 2,450,000 | | | | 2,373,320 | |
3.57%, 01/10/2023 | | | 3,185,000 | | | | 3,097,454 | |
4.75%, 09/15/2025 (1) | | | 1,025,000 | | | | 1,000,927 | |
6.75% (5 Year Swap Rate GBP + 5.79%), 06/24/2164 (2) | | GBP | 5,500,000 | | | | 7,493,391 | |
Santander UK Plc | | | | | | | | |
2.50%, 03/14/2019 | | $ | 3,000,000 | | | | 2,993,985 | |
2.35%, 09/10/2019 | | | 2,000,000 | | | | 1,984,487 | |
2.92% (3 Month LIBOR USD + 0.62%), 06/01/2021 (2) | | | 400,000 | | | | 399,772 | |
3.40%, 06/01/2021 | | | 6,795,000 | | | | 6,790,556 | |
SBA Communications Corp. | | | | | | | | |
4.00%, 10/01/2022 (1) | | | 587,000 | | | | 561,319 | |
Simon Property Group LP | | | | | | | | |
2.50%, 09/01/2020 | | | 1,530,000 | | | | 1,508,152 | |
Sirius International Group Ltd. | | | | | | | | |
4.60%, 11/01/2026 (1) | | | 1,140,000 | | | | 1,066,595 | |
SL Green Operating Partnership LP | | | | | | | | |
3.25%, 10/15/2022 | | | 3,000,000 | | | | 2,914,410 | |
SL Green Realty Corp. | | | | | | | | |
5.00%, 08/15/2018 | | | 1,963,000 | | | | 1,965,922 | |
4.50%, 12/01/2022 | | | 850,000 | | | | 863,229 | |
| | | | | | | | |
Societe Generale SA | | | | | | | | |
4.25%, 04/14/2025 (1) | | | 11,580,000 | | | | 11,112,975 | |
4.25%, 04/14/2025 | | | 5,550,000 | | | | 5,326,167 | |
4.75%, 11/24/2025 (1) | | | 9,285,000 | | | | 9,153,456 | |
8.25% (5 Year Swap Rate USD + 6.39%), 09/29/2049 (2) | | | 2,300,000 | | | | 2,325,875 | |
6.75% (5 Year Swap Rate USD + 3.93%), 10/06/2163 (1)(2) | | | 400,000 | | | | 367,000 | |
Springleaf Finance Corp. | | | | | | | | |
5.25%, 12/15/2019 | | | 1,339,000 | | | | 1,355,737 | |
8.25%, 12/15/2020 | | | 2,830,000 | | | | 3,056,400 | |
7.75%, 10/01/2021 | | | 4,360,000 | | | | 4,687,000 | |
6.13%, 05/15/2022 | | | 3,036,000 | | | | 3,096,720 | |
5.63%, 03/15/2023 | | | 3,700,000 | | | | 3,680,390 | |
6.88%, 03/15/2025 | | | 1,123,000 | | | | 1,114,578 | |
7.13%, 03/15/2026 | | | 1,396,000 | | | | 1,389,020 | |
Starwood Property Trust, Inc. | | | | | | | | |
4.75%, 03/15/2025 (1) | | | 222,000 | | | | 213,120 | |
Sunoco LP / Sunoco Finance Corp. | | | | | | | | |
4.88%, 01/15/2023 (1) | | | 204,000 | | | | 195,840 | |
Synchrony Financial | | | | | | | | |
3.00%, 08/15/2019 | | | 1,335,000 | | | | 1,332,366 | |
4.50%, 07/23/2025 | | | 2,778,000 | | | | 2,727,485 | |
Teachers Insurance & Annuity Association of America | | | | | | | | |
4.38% (3 Month LIBOR USD + 2.66%), 09/15/2054 (1)(2) | | | 4,500,000 | | | | 4,517,934 | |
Thomson Reuters Corp. | | | | | | | | |
3.35%, 05/15/2026 | | | 1,390,000 | | | | 1,285,511 | |
Toronto-Dominion Bank/The | | | | | | | | |
3.63% (5 Year Swap Rate USD + 2.21%), 09/15/2031 (2) | | | 3,335,000 | | | | 3,136,962 | |
Trinity Acquisition Plc | | | | | | | | |
3.50%, 09/15/2021 | | | 200,000 | | | | 198,348 | |
UBS AG/Stamford CT | | | | | | | | |
2.38%, 08/14/2019 | | | 6,000,000 | | | | 5,962,603 | |
UBS Group Funding Jersey Ltd. | | | | | | | | |
4.13%, 09/24/2025 (1) | | | 2,825,000 | | | | 2,804,388 | |
UBS Group Funding Switzerland AG | | | | | | | | |
3.49%, 05/23/2023 (1) | | | 4,100,000 | | | | 4,006,850 | |
2.86% (3 Month LIBOR USD + 0.95%), 08/15/2023 (1)(2) | | | 1,110,000 | | | | 1,063,959 | |
UDR, Inc. | | | | | | | | |
3.70%, 10/01/2020 | | | 3,500,000 | | | | 3,528,982 | |
4.63%, 01/10/2022 | | | 21,000 | | | | 21,600 | |
UniCredit SpA | | | | | | | | |
3.75%, 04/12/2022 (1) | | | 4,300,000 | | | | 4,102,813 | |
4.63%, 04/12/2027 (1) | | | 2,950,000 | | | | 2,741,553 | |
| | | | | | | | |
Unum Group | | | | | | | | |
3.88%, 11/05/2025 | | | 4,925,000 | | | | 4,781,719 | |
Vanke Real Estate Hong Kong Co. Ltd. | | | | | | | | |
3.95%, 12/23/2019 | | | 2,920,000 | | | | 2,926,027 | |
Ventas Realty LP | | | | | | | | |
2.70%, 04/01/2020 | | | 6,000,000 | | | | 5,937,265 | |
3.25%, 10/15/2026 | | | 2,000,000 | | | | 1,843,466 | |
3.85%, 04/01/2027 | | | 1,485,000 | | | | 1,424,520 | |
Vereit Operating Partnership LP | | | | | | | | |
3.00%, 02/06/2019 | | | 800,000 | | | | 799,636 | |
4.60%, 02/06/2024 | | | 3,740,000 | | | | 3,740,038 | |
4.88%, 06/01/2026 | | | 2,710,000 | | | | 2,700,835 | |
3.95%, 08/15/2027 | | | 4,155,000 | | | | 3,874,207 | |
Visa, Inc. | | | | | | | | |
4.30%, 12/14/2045 | | | 2,880,000 | | | | 2,997,276 | |
Voya Financial, Inc. | | | | | | | | |
3.13%, 07/15/2024 | | | 2,680,000 | | | | 2,530,640 | |
WEA Finance LLC / Westfield UK & Europe Finance Plc | | | | | | | | |
2.70%, 09/17/2019 (1) | | | 7,709,000 | | | | 7,676,848 | |
Weingarten Realty Investors | | | | | | | | |
3.25%, 08/15/2026 | | | 1,665,000 | | | | 1,533,667 | |
Wells Fargo & Co. | | | | | | | | |
2.60%, 07/22/2020 | | | 310,000 | | | | 305,986 | |
2.63%, 07/22/2022 | | | 4,220,000 | | | | 4,064,978 | |
3.07%, 01/24/2023 | | | 4,705,000 | | | | 4,573,831 | |
3.55%, 09/29/2025 | | | 1,290,000 | | | | 1,250,098 | |
3.00%, 04/22/2026 | | | 10,757,000 | | | | 9,998,836 | |
3.00%, 10/23/2026 | | | 770,000 | | | | 710,711 | |
3.58% (3 Month LIBOR USD + 1.31%), 05/22/2028 (2) | | | 10,290,000 | | | | 9,855,379 | |
Wells Fargo Bank NA | | | | | | | | |
2.15%, 12/06/2019 | | | 4,000,000 | | | | 3,956,297 | |
2.40%, 01/15/2020 | | | 15,000,000 | | | | 14,855,300 | |
Welltower, Inc. | | | | | | | | |
4.13%, 04/01/2019 | | | 6,000,000 | | | | 6,035,181 | |
5.25%, 01/15/2022 | | | 950,000 | | | | 995,871 | |
4.50%, 01/15/2024 | | | 650,000 | | | | 660,714 | |
4.00%, 06/01/2025 | | | 4,690,000 | | | | 4,598,262 | |
4.25%, 04/15/2028 | | | 101,000 | | | | 99,204 | |
WeWork Cos, Inc. | | | | | | | | |
7.88%, 05/01/2025 (1) | | | 264,000 | | | | 252,780 | |
| | | | | | | | |
Willis North America, Inc. | | | | | | | | |
3.60%, 05/15/2024 | | | 9,375,000 | | | | 9,056,336 | |
WPC Eurobond BV | | | | | | | | |
2.13%, 04/15/2027 | | EUR | 400,000 | | | | 465,670 | |
| | | | | | | | |
| | | | | | | 1,425,659,148 | |
| | | | | | | | |
Industrials - 1.92% | | | | | | | | |
Airbus Group Finance BV | | | | | | | | |
2.70%, 04/17/2023 (1) | | $ | 1,610,000 | | | | 1,555,086 | |
Amcor Finance USA, Inc. | | | | | | | | |
3.63%, 04/28/2026 (1) | | | 2,990,000 | | | | 2,837,590 | |
4.50%, 05/15/2028 (1) | | | 4,100,000 | | | | 4,104,546 | |
Arconic, Inc. | | | | | | | | |
5.87%, 02/23/2022 | | | 1,520,000 | | | | 1,586,120 | |
Ardagh Packaging Finance Plc / Ardagh Holdings USA, Inc. | | | | | | | | |
4.25%, 09/15/2022 (1) | | | 400,000 | | | | 392,500 | |
4.63%, 05/15/2023 (1) | | | 515,000 | | | | 509,206 | |
6.00%, 02/15/2025 (1) | | | 1,200,000 | | | | 1,168,500 | |
Arrow Electronics, Inc. | | | | | | | | |
3.25%, 09/08/2024 | | | 131,000 | | | | 122,408 | |
Autoridad del Canal de Panama | | | | | | | | |
4.95%, 07/29/2035 (1) | | | 200,000 | | | | 208,250 | |
Aviation Capital Group Corp. | | | | | | | | |
2.88%, 01/20/2022 (1) | | | 7,451,000 | | | | 7,204,964 | |
4.88%, 10/01/2025 (1) | | | 2,789,000 | | | | 2,896,593 | |
Aviation Capital Group LLC | | | | | | | | |
3.50%, 11/01/2027 (1) | | | 755,000 | | | | 691,045 | |
Avnet, Inc. | | | | | | | | |
3.75%, 12/01/2021 | | | 2,210,000 | | | | 2,201,971 | |
4.63%, 04/15/2026 | | | 12,420,000 | | | | 12,234,644 | |
Ball Corp. | | | | | | | | |
4.38%, 12/15/2020 | | | 752,000 | | | | 757,640 | |
5.00%, 03/15/2022 | | | 750,000 | | | | 771,562 | |
Berry Global, Inc. | | | | | | | | |
5.13%, 07/15/2023 | | | 800,000 | | | | 793,000 | |
4.50%, 02/15/2026 (1) | | | 845,000 | | | | 787,962 | |
Boral Finance Pty Ltd. | | | | | | | | |
3.00%, 11/01/2022 (1) | | | 2,444,000 | | | | 2,353,951 | |
3.75%, 05/01/2028 (1) | | | 3,520,000 | | | | 3,350,639 | |
Brambles USA, Inc. | | | | | | | | |
4.13%, 10/23/2025 (1) | | | 280,000 | | | | 279,435 | |
| | | | | | | | |
Caterpillar Financial Services Corp. | | | | | | | | |
2.95%, 05/15/2020 | | | 5,870,000 | | | | 5,864,414 | |
Caterpillar, Inc. | | | | | | | | |
3.90%, 05/27/2021 | | | 3,110,000 | | | | 3,182,155 | |
CCCI Treasure Ltd. | | | | | | | | |
3.50% (5 Year CMT Rate + 7.19%), 12/29/2049 (2) | | | 200,000 | | | | 195,497 | |
Clean Harbors, Inc. | | | | | | | | |
5.13%, 06/01/2021 | | | 930,000 | | | | 933,488 | |
CRCC Yupeng Ltd. | | | | | | | | |
3.95% (5 Year CMT Rate + 7.25%), 02/28/2049 (2) | | | 200,000 | | | | 199,204 | |
Crown Americas LLC / Crown Americas Capital Corp. V | | | | | | | | |
4.25%, 09/30/2026 | | | 845,000 | | | | 773,175 | |
DAE Funding LLC | | | | | | | | |
4.00%, 08/01/2020 (1) | | | 180,000 | | | | 177,975 | |
4.50%, 08/01/2022 (1) | | | 230,000 | | | | 223,100 | |
5.00%, 08/01/2024 (1) | | | 9,036,000 | | | | 8,679,078 | |
Eastern Creation Investment Holdings Ltd. | | | | | | | | |
3.63%, 03/20/2019 | | | 200,000 | | | | 199,113 | |
Embraer Netherlands Finance BV | | | | | | | | |
5.40%, 02/01/2027 | | | 7,085,000 | | | | 7,330,495 | |
Embraer Overseas Ltd. | | | | | | | | |
5.70%, 09/16/2023 (1) | | | 3,575,000 | | | | 3,731,406 | |
Energizer Gamma Acquisition, Inc. | | | | | | | | |
6.38%, 07/15/2026 (1) | | | 68,000 | | | | 69,148 | |
Fortress Transportation & Infrastructure Investors LLC | | | | | | | | |
6.75%, 03/15/2022 (1) | | | 3,400,000 | | | | 3,476,500 | |
General Dynamics Corp. | | | | | | | | |
3.00%, 05/11/2021 | | | 5,260,000 | | | | 5,242,708 | |
General Electric Co. | | | | | | | | |
5.00% (3 Month LIBOR USD + 3.33%), 12/29/2049 (2) | | | 3,669,000 | | | | 3,619,469 | |
Graphic Packaging International LLC | | | | | | | | |
4.88%, 11/15/2022 | | | 400,000 | | | | 401,500 | |
4.13%, 08/15/2024 | | | 619,000 | | | | 594,302 | |
Greenbrier Cos, Inc. | | | | | | | | |
2.88%, 02/01/2024 | | | 2,975,000 | | | | 3,423,466 | |
Itron, Inc. | | | | | | | | |
5.00%, 01/15/2026 (1) | | | 800,000 | | | | 759,760 | |
Jabil, Inc. | | | | | | | | |
4.70%, 09/15/2022 | | | 3,685,000 | | | | 3,781,179 | |
John Deere Capital Corp. | | | | | | | | |
2.55%, 01/08/2021 | | | 3,340,000 | | | | 3,300,020 | |
| | | | | | | | |
Keysight Technologies, Inc. | | | | | | | | |
4.55%, 10/30/2024 | | | 3,234,000 | | | | 3,271,616 | |
4.60%, 04/06/2027 | | | 4,945,000 | | | | 4,965,130 | |
L3 Technologies, Inc. | | | | | | | | |
4.40%, 06/15/2028 | | | 7,324,000 | | | | 7,286,986 | |
Lockheed Martin Corp. | | | | | | | | |
2.90%, 03/01/2025 | | | 5,635,000 | | | | 5,361,533 | |
Martin Marietta Materials, Inc. | | | | | | | | |
4.25%, 07/02/2024 | | | 265,000 | | | | 267,298 | |
4.25%, 12/15/2047 | | | 3,895,000 | | | | 3,372,882 | |
Masco Corp. | | | | | | | | |
3.50%, 04/01/2021 | | | 6,053,000 | | | | 6,044,625 | |
Multi-Color Corp. | | | | | | | | |
4.88%, 11/01/2025 (1) | | | 800,000 | | | | 745,000 | |
Northrop Grumman Corp. | | | | | | | | |
3.20%, 02/01/2027 | | | 2,000,000 | | | | 1,884,077 | |
3.25%, 01/15/2028 | | | 3,730,000 | | | | 3,509,361 | |
OI European Group BV | | | | | | | | |
4.00%, 03/15/2023 (1) | | | 1,250,000 | | | | 1,165,625 | |
Owens Corning | | | | | | | | |
4.20%, 12/15/2022 | | | 35,000 | | | | 35,075 | |
4.20%, 12/01/2024 | | | 1,347,000 | | | | 1,328,347 | |
Park Aerospace Holdings Ltd. | | | | | | | | |
3.63%, 03/15/2021 (1) | | | 261,000 | | | | 252,844 | |
5.25%, 08/15/2022 (1) | | | 5,514,000 | | | | 5,458,915 | |
4.50%, 03/15/2023 (1) | | | 465,000 | | | | 441,657 | |
5.50%, 02/15/2024 (1) | | | 3,667,000 | | | | 3,620,392 | |
Pelabuhan Indonesia III Persero PT | | | | | | | | |
4.50%, 05/02/2023 (1) | | | 400,000 | | | | 396,942 | |
Penske Truck Leasing Co. Lp / PTL Finance Corp. | | | | | | | | |
3.38%, 02/01/2022 (1) | | | 2,575,000 | | | | 2,537,397 | |
4.88%, 07/11/2022 (1) | | | 8,116,000 | | | | 8,429,771 | |
Pisces Midco, Inc. | | | | | | | | |
8.00%, 04/15/2026 (1) | | | 688,000 | | | | 661,718 | |
Republic Services, Inc. | | | | | | | | |
2.90%, 07/01/2026 | | | 3,000,000 | | | | 2,784,945 | |
Reynolds Group Issuer, Inc. | | | | | | | | |
5.75%, 10/15/2020 | | | 1,351,905 | | | | 1,356,975 | |
5.85% (3 Month LIBOR USD + 3.50%), 07/15/2021 (1)(2) | | | 1,200,000 | | | | 1,211,160 | |
| | | | | | | | |
Ryder System, Inc. | | | | | | | | |
3.45%, 11/15/2021 | | | 2,680,000 | | | | 2,676,057 | |
SBA Tower Trust | | | | | | | | |
2.90%, 10/08/2019 (1) | | | 1,650,000 | | | | 1,639,580 | |
2.88%, 07/09/2021 (1) | | | 3,000,000 | | | | 2,914,101 | |
3.17%, 04/11/2022 (1) | | | 2,175,000 | | | | 2,127,745 | |
3.87%, 10/08/2024 (1) | | | 1,430,000 | | | | 1,444,127 | |
Sealed Air Corp. | | | | | | | | |
5.50%, 09/15/2025 (1) | | | 295,000 | | | | 303,113 | |
Spirit AeroSystems, Inc. | | | | | | | | |
3.12% (3 Month LIBOR USD + 0.80%), 06/15/2021 (2) | | | 3,080,000 | | | | 3,085,568 | |
Standard Industries, Inc. | | | | | | | | |
4.75%, 01/15/2028 (1) | | | 292,000 | | | | 267,910 | |
Textron, Inc. | | | | | | | | |
2.90% (3 Month LIBOR USD + 0.55%), 11/10/2020 (2) | | | 830,000 | | | | 830,238 | |
Tutor Perini Corp. | | | | | | | | |
2.88%, 06/15/2021 | | | 3,045,000 | | | | 3,049,485 | |
Union Pacific Corp. | | | | | | | | |
3.95%, 09/10/2028 | | | 4,640,000 | | | | 4,660,238 | |
United Technologies Corp. | | | | | | | | |
1.90%, 05/04/2020 | | | 5,360,000 | | | | 5,257,243 | |
Votorantim Cimentos SA | | | | | | | | |
7.25%, 04/05/2041 (1) | | | 9,491,000 | | | | 9,455,409 | |
Vulcan Materials Co. | | | | | | | | |
4.50%, 06/15/2047 | | | 2,148,000 | | | | 1,948,618 | |
WestRock Co. | | | | | | | | |
3.00%, 09/15/2024 (1) | | | 4,000,000 | | | | 3,790,493 | |
| | | | | | | | |
| | | | | | | 212,804,960 | |
| | | | | | | | |
Real Estate - 0.36% | | | | | | | | |
Alexandria Real Estate Equities, Inc. | | | | | | | | |
2.75%, 01/15/2020 | | | 1,827,000 | | | | 1,812,022 | |
4.60%, 04/01/2022 | | | 4,407,000 | | | | 4,547,165 | |
3.95%, 01/15/2027 | | | 3,440,000 | | | | 3,319,766 | |
4.50%, 07/30/2029 | | | 636,000 | | | | 633,429 | |
American Tower Corp. | | | | | | | | |
3.30%, 02/15/2021 | | | 3,098,000 | | | | 3,094,431 | |
3.45%, 09/15/2021 | | | 1,847,000 | | | | 1,839,198 | |
3.50%, 01/31/2023 | | | 717,000 | | | | 705,076 | |
4.40%, 02/15/2026 | | | 1,863,000 | | | | 1,849,062 | |
3.38%, 10/15/2026 | | | 3,487,000 | | | | 3,226,357 | |
| | | | | | | | |
Crown Castle International Corp. | | | | | | | | |
4.45%, 02/15/2026 | | | 4,000,000 | | | | 3,972,748 | |
DDR Corp. | | | | | | | | |
3.63%, 02/01/2025 | | | 1,914,000 | | | | 1,815,685 | |
4.25%, 02/01/2026 | | | 2,500,000 | | | | 2,440,617 | |
Digital Realty Trust LP | | | | | | | | |
5.88%, 02/01/2020 | | | 4,240,000 | | | | 4,386,603 | |
HCP, Inc. | | | | | | | | |
4.00%, 12/01/2022 | | | 1,900,000 | | | | 1,907,944 | |
4.00%, 06/01/2025 | | | 3,240,000 | | | | 3,169,713 | |
Jones Lang LaSalle, Inc. | | | | | | | | |
4.40%, 11/15/2022 | | | 1,270,000 | | | | 1,298,345 | |
Store Capital Corp. | | | | | | | | |
4.50%, 03/15/2028 | | | 128,000 | | | | 125,173 | |
| | | | | | | | |
| | | | | | | 40,143,334 | |
| | | | | | | | |
Technology - 1.80% | | | | | | | | |
Activision Blizzard, Inc. | | | | | | | | |
2.60%, 06/15/2022 | | | 4,300,000 | | | | 4,141,038 | |
4.50%, 06/15/2047 | | | 3,810,000 | | | | 3,667,091 | |
Analog Devices, Inc. | | | | | | | | |
2.85%, 03/12/2020 | | | 3,925,000 | | | | 3,905,611 | |
Apple, Inc. | | | | | | | | |
1.55%, 02/08/2019 | | | 4,655,000 | | | | 4,630,623 | |
2.10%, 05/06/2019 | | | 2,030,000 | | | | 2,023,798 | |
1.10%, 08/02/2019 | | | 2,245,000 | | | | 2,213,188 | |
1.90%, 02/07/2020 | | | 6,160,000 | | | | 6,081,968 | |
2.40%, 05/03/2023 | | | 2,780,000 | | | | 2,677,394 | |
3.00%, 02/09/2024 | | | 1,420,000 | | | | 1,390,247 | |
3.20%, 05/13/2025 | | | 1,980,000 | | | | 1,934,728 | |
3.20%, 05/11/2027 | | | 3,375,000 | | | | 3,255,516 | |
4.65%, 02/23/2046 | | | 1,250,000 | | | | 1,345,524 | |
4.25%, 02/09/2047 | | | 4,405,000 | | | | 4,463,961 | |
3.75%, 11/13/2047 | | | 3,620,000 | | | | 3,396,828 | |
Baidu, Inc. | | | | | | | | |
3.88%, 09/29/2023 | | | 11,855,000 | | | | 11,759,650 | |
4.38%, 03/29/2028 | | | 1,850,000 | | | | 1,824,307 | |
BMC Software Finance, Inc. | | | | | | | | |
8.13%, 07/15/2021 (1) | | | 5,068,000 | | | | 5,182,030 | |
Cadence Design Systems, Inc. | | | | | | | | |
4.38%, 10/15/2024 | | | 3,153,000 | | | | 3,192,259 | |
| | | | | | | | |
Change Healthcare Holdings LLC / Change Healthcare Finance, Inc. | | | | | | | | |
5.75%, 03/01/2025 (1) | | | 780,000 | | | | 737,958 | |
Dell International LLC / EMC Corp. | | | | | | | | |
3.48%, 06/01/2019 (1) | | | 9,145,000 | | | | 9,168,087 | |
4.42%, 06/15/2021 (1) | | | 3,045,000 | | | | 3,088,216 | |
6.02%, 06/15/2026 | | | 4,100,000 | | | | 4,310,218 | |
8.35%, 07/15/2046 (1) | | | 5,940,000 | | | | 7,149,205 | |
Diamond 1 Finance Co. / Diamond 2 Finance Co. | | | | | | | | |
6.02%, 06/15/2026 (1) | | | 8,660,000 | | | | 9,104,022 | |
EMC Corp. | | | | | | | | |
2.65%, 06/01/2020 | | | 3,408,000 | | | | 3,309,508 | |
First Data Corp. | | | | | | | | |
5.00%, 01/15/2024 (1) | | | 3,205,000 | | | | 3,180,962 | |
Harland Clarke Holdings Corp. | | | | | | | | |
8.38%, 08/15/2022 (1) | | | 154,000 | | | | 150,920 | |
Intel Corp. | | | | | | | | |
1.70%, 05/19/2021 | | | 2,215,000 | | | | 2,139,608 | |
3.30%, 10/01/2021 | | | 3,555,000 | | | | 3,589,059 | |
International Business Machines Co. | | | | | | | | |
2.25%, 02/19/2021 | | | 8,580,000 | | | | 8,394,555 | |
IQVIA, Inc. | | | | | | | | |
2.88%, 09/15/2025 (1) | | EUR | 100,000 | | | | 108,944 | |
5.00%, 10/15/2026 (1) | | $ | 1,350,000 | | | | 1,314,563 | |
Microchip Technology, Inc. | | | | | | | | |
3.92%, 06/01/2021 (1) | | | 3,790,000 | | | | 3,796,008 | |
4.33%, 06/01/2023 (1) | | | 9,230,000 | | | | 9,242,583 | |
Microsoft Corp. | | | | | | | | |
1.10%, 08/08/2019 | | | 8,930,000 | | | | 8,791,428 | |
1.85%, 02/06/2020 | | | 400,000 | | | | 394,876 | |
1.85%, 02/12/2020 | | | 6,280,000 | | | | 6,202,485 | |
2.88%, 02/06/2024 | | | 7,370,000 | | | | 7,212,401 | |
4.10%, 02/06/2037 | | | 2,505,000 | | | | 2,608,166 | |
4.25%, 02/06/2047 | | | 3,390,000 | | | | 3,592,869 | |
MSCI, Inc. | | | | | | | | |
4.75%, 08/01/2026 (1) | | | 180,000 | | | | 174,150 | |
NetApp, Inc. | | | | | | | | |
3.30%, 09/29/2024 | | | 152,000 | | | | 145,160 | |
Nuance Communications, Inc. | | | | | | | | |
1.00%, 12/15/2035 | | | 5,850,000 | | | | 5,235,727 | |
| | | | | | | | |
NXP BV / NXP Funding LLC | | | | | | | | |
4.13%, 06/15/2020 (1) | | | 459,000 | | | | 463,590 | |
4.13%, 06/01/2021 (1) | | | 2,828,000 | | | | 2,820,930 | |
3.88%, 09/01/2022 (1) | | | 3,395,000 | | | | 3,335,588 | |
Oracle Corp. | | | | | | | | |
1.90%, 09/15/2021 | | | 6,345,000 | | | | 6,042,588 | |
3.25%, 11/15/2027 | | | 1,980,000 | | | | 1,893,506 | |
3.80%, 11/15/2037 | | | 2,105,000 | | | | 1,989,756 | |
Qualcomm, Inc. | | | | | | | | |
2.25%, 05/20/2020 | | | 3,500,000 | | | | 3,448,268 | |
Rovi Corp. | | | | | | | | |
0.50%, 03/01/2020 | | | 930,000 | | | | 881,812 | |
Seagate HDD Cayman | | | | | | | | |
4.75%, 01/01/2025 | | | 3,297,000 | | | | 3,161,128 | |
4.88%, 06/01/2027 | | | 855,000 | | | | 794,409 | |
5.75%, 12/01/2034 | | | 1,022,000 | | | | 932,330 | |
Veritas US, Inc. / Veritas Bermuda Ltd. | | | | | | | | |
7.50%, 02/01/2023 (1) | | | 1,215,000 | | | | 1,139,063 | |
VMware, Inc. | | | | | | | | |
2.30%, 08/21/2020 | | | 230,000 | | | | 225,030 | |
2.95%, 08/21/2022 | | | 190,000 | | | | 182,274 | |
3.90%, 08/21/2027 | | | 160,000 | | | | 147,685 | |
Western Digital Corp. | | | | | | | | |
4.75%, 02/15/2026 | | | 872,000 | | | | 848,020 | |
| | | | | | | | |
| | | | | | | 198,533,416 | |
| | | | | | | | |
Utilities - 1.87% | | | | | | | | |
AEP Texas, Inc. | | | | | | | | |
3.85%, 10/01/2025 (1) | | | 1,500,000 | | | | 1,502,386 | |
AEP Transmission Co. LLC | | | | | | | | |
3.10%, 12/01/2026 | | | 1,575,000 | | | | 1,506,379 | |
Ausgrid Finance Pty Ltd. | | | | | | | | |
3.85%, 05/01/2023 (1) | | | 3,405,000 | | | | 3,411,052 | |
4.35%, 08/01/2028 (1) | | | 1,725,000 | | | | 1,732,433 | |
Black Hills Corp. | | | | | | | | |
2.50%, 01/11/2019 | | | 1,555,000 | | | | 1,551,303 | |
Cleco Power LLC | | | | | | | | |
6.00%, 12/01/2040 | | | 1,000,000 | | | | 1,165,480 | |
Dominion Energy, Inc. | | | | | | | | |
1.88%, 12/15/2018 (1) | | | 4,500,000 | | | | 4,482,603 | |
3.90%, 10/01/2025 | | | 2,195,000 | | | | 2,168,251 | |
| | | | | | | | |
Duke Energy Carolinas LLC | | | | | | | | |
4.25%, 12/15/2041 | | | 1,650,000 | | | | 1,680,058 | |
3.88%, 03/15/2046 | | | 2,750,000 | | | | 2,627,460 | |
3.70%, 12/01/2047 | | | 2,500,000 | | | | 2,325,270 | |
Duke Energy Corp. | | | | | | | | |
2.83% (3 Month LIBOR USD + 0.50%), 05/14/2021 (1)(2)(13) | | | 546,000 | | | | 545,843 | |
3.55%, 09/15/2021 | | | 2,185,000 | | | | 2,193,790 | |
Duke Energy Progress LLC | | | | | | | | |
3.25%, 08/15/2025 | | | 2,613,000 | | | | 2,551,631 | |
4.10%, 03/15/2043 | | | 900,000 | | | | 901,020 | |
4.20%, 08/15/2045 | | | 1,000,000 | | | | 1,000,951 | |
Duquesne Light Holdings, Inc. | | | | | | | | |
6.40%, 09/15/2020 (1) | | | 400,000 | | | | 422,784 | |
5.90%, 12/01/2021 (1) | | | 1,500,000 | | | | 1,590,813 | |
Empresas Publicas de Medellin ESP | | | | | | | | |
8.38%, 11/08/2027 (1) | | COP | 4,844,000,000 | | | | 1,619,597 | |
Enel Americas SA | | | | | | | | |
4.00%, 10/25/2026 | | $ | 2,600,000 | | | | 2,470,260 | |
Enel Chile SA | | | | | | | | |
4.88%, 06/12/2028 | | | 3,820,000 | | | | 3,846,740 | |
Enel Finance International NV | | | | | | | | |
2.75%, 04/06/2023 (1) | | | 8,060,000 | | | | 7,498,079 | |
3.63%, 05/25/2027 (1) | | | 3,175,000 | | | | 2,903,137 | |
4.75%, 05/25/2047 (1) | | | 3,405,000 | | | | 3,217,049 | |
Entergy Corp. | | | | | | | | |
5.13%, 09/15/2020 | | | 2,852,000 | | | | 2,942,576 | |
4.00%, 07/15/2022 | | | 925,000 | | | | 936,246 | |
Entergy Texas, Inc. | | | | | | | | |
7.13%, 02/01/2019 | | | 4,000,000 | | | | 4,092,144 | |
Exelon Corp. | | | | | | | | |
2.85%, 06/15/2020 | | | 2,975,000 | | | | 2,948,402 | |
FirstEnergy Corp. | | | | | | | | |
2.85%, 07/15/2022 | | | 1,675,000 | | | | 1,622,789 | |
3.90%, 07/15/2027 | | | 10,455,000 | | | | 10,138,671 | |
FirstEnergy Transmission LLC | | | | | | | | |
4.35%, 01/15/2025 (1) | | | 7,535,000 | | | | 7,590,705 | |
Indiana Michigan Power Co. | | | | | | | | |
7.00%, 03/15/2019 | | | 3,722,000 | | | | 3,831,791 | |
3.20%, 03/15/2023 | | | 3,000,000 | | | | 2,951,283 | |
Infraestructura Energetica Nova SAB de CV | | | | | | | | |
3.75%, 01/14/2028 (1) | | | 1,685,000 | | | | 1,492,236 | |
4.88%, 01/14/2048 (1) | | | 1,045,000 | | | | 896,088 | |
| | | | | | | | |
ITC Holdings Corp. | | | | | | | | |
3.25%, 06/30/2026 | | | 2,000,000 | | | | 1,878,163 | |
Jersey Central Power & Light Co. | | | | | | | | |
4.70%, 04/01/2024 (1) | | | 150,000 | | | | 156,781 | |
4.30%, 01/15/2026 (1) | | | 1,000,000 | | | | 1,011,474 | |
Kansas City Power & Light Co. | | | | | | | | |
3.65%, 08/15/2025 | | | 3,550,000 | | | | 3,505,426 | |
KazMunayGas National Co. JSC | | | | | | | | |
4.75%, 04/19/2027 | | | 4,600,000 | | | | 4,485,570 | |
KeySpan Gas East Corp. | | | | | | | | |
2.74%, 08/15/2026 (1) | | | 4,500,000 | | | | 4,162,986 | |
Metropolitan Edison Co. | | | | | | | | |
4.00%, 04/15/2025 (1) | | | 4,000,000 | | | | 3,991,436 | |
MidAmerican Energy Co. | | | | | | | | |
4.25%, 05/01/2046 | | | 949,000 | | | | 962,023 | |
NextEra Energy Capital Holdings, Inc. | | | | | | | | |
1.65%, 09/01/2018 | | | 3,230,000 | | | | 3,222,910 | |
2.40%, 09/15/2019 | | | 793,000 | | | | 786,768 | |
2.84% (3 Month LIBOR USD + 0.48%), 05/04/2021 (2) | | | 7,000,000 | | | | 6,996,156 | |
NextEra Energy Operating Partners LP | | | | | | | | |
4.25%, 09/15/2024 (1) | | | 700,000 | | | | 673,750 | |
4.50%, 09/15/2027 (1) | | | 900,000 | | | | 841,500 | |
NiSource, Inc. | | | | | | | | |
4.38%, 05/15/2047 | | | 2,097,000 | | | | 2,034,962 | |
Northern States Power Co./MN | | | | | | | | |
4.00%, 08/15/2045 | | | 1,000,000 | | | | 984,028 | |
3.60%, 09/15/2047 | | | 1,800,000 | | | | 1,657,823 | |
NRG Energy, Inc. | | | | | | | | |
7.25%, 05/15/2026 | | | 950,000 | | | | 1,011,750 | |
5.75%, 01/15/2028 (1) | | | 230,000 | | | | 225,975 | |
Origin Energy Finance Ltd. | | | | | | | | |
3.50%, 10/09/2018 (1) | | | 1,160,000 | | | | 1,160,615 | |
Pennsylvania Elec Co. | | | | | | | | |
5.20%, 04/01/2020 | | | 780,000 | | | | 801,204 | |
Perusahaan Gas Negara Persero Tbk | | | | | | | | |
5.13%, 05/16/2024 | | | 3,000,000 | | | | 3,039,324 | |
5.13%, 05/16/2024 | | | 2,100,000 | | | | 2,127,527 | |
Perusahaan Listrik Negara PT | | | | | | | | |
5.45%, 05/21/2028 (1) | | | 4,400,000 | | | | 4,467,748 | |
| | | | | | | | |
PPL WEM Ltd. / Western Power Distribution Ltd. | | | | | | | | |
5.38%, 05/01/2021 (1) | | | 2,615,000 | | | | 2,720,000 | |
Progress Energy, Inc. | | | | | | | | |
4.40%, 01/15/2021 | | | 700,000 | | | | 714,959 | |
Public Service Co. of New Mexico | | | | | | | | |
3.85%, 08/01/2025 | | | 2,000,000 | | | | 1,962,694 | |
Puget Energy, Inc. | | | | | | | | |
6.50%, 12/15/2020 | | | 2,903,000 | | | | 3,108,681 | |
Rockies Express Pipeline LLC | | | | | | | | |
6.00%, 01/15/2019 (1) | | | 1,249,000 | | | | 1,263,051 | |
Rockpoint Gas Storage Canada Ltd. | | | | | | | | |
7.00%, 03/31/2023 (1) | | | 30,000 | | | | 30,000 | |
Ruby Pipeline LLC | | | | | | | | |
6.00%, 04/01/2022 (1) | | | 4,469,697 | | | | 4,671,905 | |
Sempra Energy | | | | | | | | |
2.40%, 03/15/2020 | | | 3,592,000 | | | | 3,542,004 | |
3.25%, 06/15/2027 | | | 5,214,000 | | | | 4,856,254 | |
3.40%, 02/01/2028 | | | 3,780,000 | | | | 3,544,863 | |
3.80%, 02/01/2038 | | | 5,345,000 | | | | 4,849,613 | |
4.00%, 02/01/2048 | | | 760,000 | | | | 682,478 | |
Southern Co. Gas Capital Corp. | | | | | | | | |
3.50%, 09/15/2021 | | | 3,250,000 | | | | 3,250,292 | |
4.40%, 05/30/2047 | | | 1,915,000 | | | | 1,892,924 | |
Spire, Inc. | | | | | | | | |
3.54%, 02/27/2024 | | | 5,000,000 | | | | 4,903,868 | |
State Grid Overseas Investment 2014 Ltd. | | | | | | | | |
4.13%, 05/07/2024 | | | 4,300,000 | | | | 4,350,046 | |
State Grid Overseas Investment 2016 Ltd. | | | | | | | | |
2.75%, 05/04/2022 (1) | | | 3,700,000 | | | | 3,592,553 | |
3.75%, 05/02/2023 (1) | | | 4,235,000 | | | | 4,233,689 | |
Tucson Electric Power Co. | | | | | | | | |
3.05%, 03/15/2025 | | | 3,000,000 | | | | 2,851,313 | |
WEC Energy Group, Inc. | | | | | | | | |
3.38%, 06/15/2021 | | | 5,175,000 | | | | 5,189,320 | |
| | | | | | | | |
| | | | | | | 206,753,706 | |
| | | | | | | | |
Total Corporate Bonds | | | | | | $ | 3,899,659,652 | |
| | | | | | | | |
| | | | | | | | |
Government Related - 23.76% | | | | | | | | |
Abu Dhabi Government International Bond | | | | | | | | |
2.50%, 10/11/2022 (1) | | $ | 2,400,000 | | | $ | 2,298,000 | |
3.13%, 10/11/2027 (1) | | | 2,400,000 | | | | 2,233,440 | |
4.13%, 10/11/2047 (1) | | | 1,900,000 | | | | 1,738,739 | |
Africa Finance Corp. | | | | | | | | |
3.88%, 04/13/2024 (1) | | | 1,085,000 | | | | 1,029,057 | |
Argentina Bocon | | | | | | | | |
22.84% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 0.00%), 10/04/2022 (2) | | ARS | 3,900,000 | | | | 208,136 | |
Argentina Bonar Bonds | | | | | | | | |
34.19% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 2.50%), 03/11/2019 (2) | | | 1,300,000 | | | | 44,221 | |
34.66% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 3.25%), 03/01/2020 (2) | | | 3,000,000 | | | | 98,231 | |
34.19% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 2.00%), 04/03/2022 (2) | | | 163,749,000 | | | | 5,123,348 | |
Argentina POM Politica Monetaria | | | | | | | | |
40.00% (Argentina Central Bank 7 Day Repo Reference Rate + 0.00%), 06/21/2020 (2) | | | 141,745,000 | | | | 5,004,220 | |
Argentine Republic Government International Bond | | | | | | | | |
6.25%, 04/22/2019 | | $ | 150,000 | | | | 150,602 | |
3.88%, 01/15/2022 | | EUR | 16,200,000 | | | | 18,067,055 | |
3.38%, 01/15/2023 | | | 600,000 | | | | 634,116 | |
5.88%, 01/11/2028 | | $ | 4,230,000 | | | | 3,436,875 | |
5.25%, 01/15/2028 | | EUR | 300,000 | | | | 299,541 | |
7.82%, 12/31/2033 | | | 220,177 | | | | 255,919 | |
2.26%, 12/31/2038 (3) | | | 179,000 | | | | 122,287 | |
6.25%, 11/09/2047 | | | 200,000 | | | | 181,065 | |
Autonomous Community of Catalonia | | | | | | | | |
4.95%, 02/11/2020 | | | 50,000 | | | | 61,672 | |
4.90%, 09/15/2021 | | | 50,000 | | | | 63,148 | |
Bahamas Government International Bond | | | | | | | | |
6.00%, 11/21/2028 (1) | | $ | 6,480,000 | | | | 6,463,800 | |
Bay Area Toll Authority | | | | | | | | |
6.26%, 04/01/2049 | | | 650,000 | | | | 902,902 | |
Bermuda Government International Bond | | | | | | | | |
4.14%, 01/03/2023 (1) | | | 3,044,000 | | | | 3,068,048 | |
4.85%, 02/06/2024 (1) | | | 815,000 | | | | 838,480 | |
Bonos de la Tesoreria de la Republica en pesos | | | | | | | | |
4.50%, 03/01/2026 | | CLP | 2,605,000,000 | | | | 4,034,815 | |
Brazilian Government International Bond | | | | | | | | |
2.63%, 01/05/2023 | | $ | 2,795,000 | | | | 2,543,450 | |
4.25%, 01/07/2025 | | | 2,740,000 | | | | 2,589,300 | |
City of Houston TX Combined Utility System Revenue | | | | | | | | |
3.83%, 05/15/2028 | | | 2,540,000 | | | | 2,583,790 | |
City of New York NY | | | | | | | | |
3.55%, 12/01/2028 | | | 3,645,000 | | | | 3,638,876 | |
6.27%, 12/01/2037 | | | 800,000 | | | | 1,042,160 | |
| | | | | | | | |
Colombia Government International Bond | | | | | | | | |
4.00%, 02/26/2024 | | | 6,540,000 | | | | 6,533,460 | |
Colombian TES | | | | | | | | |
7.50%, 08/26/2026 | | COP | 20,354,400,000 | | | | 7,355,903 | |
Commonwealth of Puerto Rico | | | | | | | | |
5.00%, 07/01/2021 (10) | | $ | 240,000 | | | | 100,800 | |
4.13%, 07/01/2022 (10) | | | 100,000 | | | | 42,000 | |
5.70%, 07/01/2023 (10) | | | 170,000 | | | | 72,250 | |
5.25%, 07/01/2026 (10) | | | 200,000 | | | | 85,000 | |
5.00%, 07/01/2028 (10) | | | 20,000 | | | | 8,500 | |
5.13%, 07/01/2028 (10) | | | 30,000 | | | | 12,750 | |
5.38%, 07/01/2030 (10) | | | 165,000 | | | | 69,300 | |
5.13%, 07/01/2031 (10) | | | 2,590,000 | | | | 1,100,750 | |
5.50%, 07/01/2032 (10) | | | 1,610,000 | | | | 684,250 | |
8.00%, 07/01/2035 (10) | | | 800,000 | | | | 324,000 | |
5.13%, 07/01/2037 (10) | | | 190,000 | | | | 79,800 | |
5.25%, 07/01/2037 (10) | | | 100,000 | | | | 42,500 | |
5.75%, 07/01/2038 (10) | | | 80,000 | | | | 34,000 | |
6.00%, 07/01/2038 (10) | | | 610,000 | | | | 259,250 | |
5.50%, 07/01/2039 (10) | | | 520,000 | | | | 218,400 | |
6.00%, 07/01/2039 (10) | | | 55,000 | | | | 23,375 | |
6.50%, 07/01/2040 (10) | | | 30,000 | | | | 12,600 | |
5.00%, 07/01/2041 (10) | | | 395,000 | | | | 159,975 | |
5.75%, 07/01/2041 (10) | | | 100,000 | | | | 42,000 | |
East Bay Municipal Utility District Water System Revenue | | | | | | | | |
5.87%, 06/01/2040 | | | 985,000 | | | | 1,248,822 | |
European Investment Bank | | | | | | | | |
1.75%, 06/17/2019 | | | 2,850,000 | | | | 2,830,034 | |
Hellenic Republic Government Bond | | | | | | | | |
4.75%, 04/17/2019 (1) | | EUR | 9,230,000 | | | | 11,087,814 | |
Hungary Government Bond | | | | | | | | |
3.00%, 10/27/2027 | | HUF | 687,380,000 | | | | 2,321,442 | |
Indonesia Government International Bond | | | | | | | | |
3.70%, 01/08/2022 (1) | | $ | 4,690,000 | | | | 4,642,758 | |
3.75%, 04/25/2022 (1) | | | 2,220,000 | | | | 2,197,136 | |
2.95%, 01/11/2023 | | | 1,895,000 | | | | 1,798,501 | |
4.13%, 01/15/2025 | | | 2,395,000 | | | | 2,350,932 | |
International Bank for Reconstruction & Development | | | | | | | | |
4.25%, 06/20/2019 | | COP | 44,310,000,000 | | | | 15,071,190 | |
| | | | | | | | |
Metropolitan Transportation Authority | | | | | | | | |
7.34%, 11/15/2039 | | $ | 475,000 | | | | 694,521 | |
Metropolitan Water District of Southern California | | | | | | | | |
6.54%, 07/01/2039 | | | 935,000 | | | | 967,594 | |
Metropolitan Water Reclamation District of Greater Chicago | | | | | | | | |
5.72%, 12/01/2038 | | | 1,000,000 | | | | 1,237,720 | |
Mexican Bonos | | | | | | | | |
5.00%, 12/11/2019 | | MXN | 760,834 | | | | 3,683,218 | |
5.75%, 03/05/2026 | | | 987,571 | | | | 4,440,085 | |
7.75%, 11/13/2042 | | | 3,372,982 | | | | 17,111,299 | |
Mexico Government International Bond | | | | | | | | |
4.00%, 10/02/2023 | | $ | 3,516,000 | | | | 3,526,548 | |
3.60%, 01/30/2025 | | | 1,060,000 | | | | 1,023,960 | |
4.13%, 01/21/2026 | | | 3,300,000 | | | | 3,273,600 | |
3.75%, 01/11/2028 | | | 5,700,000 | | | | 5,389,350 | |
New York City Transitional Finance Authority Future Tax Secured Revenue | | | | | | | | |
2.80%, 02/01/2026 | | | 1,850,000 | | | | 1,759,239 | |
5.27%, 05/01/2027 | | | 3,500,000 | | | | 3,934,805 | |
New York City Water & Sewer System | | | | | | | | |
5.75%, 06/15/2041 | | | 240,000 | | | | 302,743 | |
5.95%, 06/15/2042 | | | 810,000 | | | | 1,053,664 | |
New York State Dormitory Authority | | | | | | | | |
5.05%, 09/15/2027 | | | 1,800,000 | | | | 1,999,494 | |
5.50%, 03/15/2030 | | | 2,000,000 | | | | 2,270,360 | |
3.88%, 07/01/2046 | | | 1,650,000 | | | | 1,613,271 | |
Peru Government Bond | | | | | | | | |
6.15%, 08/12/2032 (1) | | PEN | 32,960,000 | | | | 10,252,929 | |
Perusahaan Penerbit SBSN Indonesia III | | | | | | | | |
4.35%, 09/10/2024 | | $ | 400,000 | | | | 399,000 | |
Peruvian Government International Bond | | | | | | | | |
5.70%, 08/12/2024 | | PEN | 8,000,000 | | | | 2,527,406 | |
8.20%, 08/12/2026 (1) | | | 5,600,000 | | | | 2,031,159 | |
Province of Manitoba Canada | | | | | | | | |
3.05%, 05/14/2024 | | $ | 430,000 | | | | 425,403 | |
Province of Ontario Canada | | | | | | | | |
2.00%, 01/30/2019 | | | 6,880,000 | | | | 6,862,522 | |
2.50%, 09/10/2021 | | | 945,000 | | | | 929,388 | |
Provincia de Buenos Aires/Argentina | | | | | | | | |
27.00% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 3.75%, 27.00% Floor), 04/12/2025 (2) | | ARS | 246,115,000 | | | | 7,062,246 | |
Puerto Rico Electric Power Authority | | | | | | | | |
6.05%, 07/01/2032 (10) | | $ | 100,000 | | | | 41,500 | |
| | | | | | | | |
Qatar Government International Bond | | | | | | | | |
3.88%, 04/23/2023 (1) | | | 6,305,000 | | | | 6,300,410 | |
4.50%, 04/23/2028 (1) | | | 800,000 | | | | 807,352 | |
5.10%, 04/23/2048 (1) | | | 1,000,000 | | | | 996,960 | |
Romania Government Bond | | | | | | | | |
5.85%, 04/26/2023 | | RON | 13,820,000 | | | | 3,605,211 | |
Saudi Government International Bond | | | | | | | | |
2.88%, 03/04/2023 (1) | | $ | 2,200,000 | | | | 2,116,189 | |
4.00%, 04/17/2025 (1) | | | 10,400,000 | | | | 10,348,624 | |
4.50%, 04/17/2030 (1) | | | 3,700,000 | | | | 3,695,686 | |
4.63%, 10/04/2047 (1) | | | 1,800,000 | | | | 1,677,924 | |
5.00%, 04/17/2049 (1) | | | 2,700,000 | | | | 2,626,074 | |
South Carolina Public Service Authority | | | | | | | | |
2.39%, 12/01/2023 | | | 960,000 | | | | 894,480 | |
State Board of Administration Finance Corp. | | | | | | | | |
2.16%, 07/01/2019 | | | 1,220,000 | | | | 1,212,448 | |
State of California | | | | | | | | |
7.95%, 03/01/2036 | | | 4,085,000 | | | | 4,406,408 | |
State of Illinois | | | | | | | | |
5.10%, 06/01/2033 | | | 640,000 | | | | 605,670 | |
6.73%, 04/01/2035 | | | 70,000 | | | | 74,620 | |
7.35%, 07/01/2035 | | | 55,000 | | | | 61,414 | |
State of Texas | | | | | | | | |
4.68%, 04/01/2040 | | | 410,000 | | | | 466,059 | |
Svensk Exportkredit AB | | | | | | | | |
1.13%, 08/28/2019 | | | 6,925,000 | | | | 6,809,883 | |
Texas Public Finance Authority | | | | | | | | |
8.25%, 07/01/2024 | | | 5,900,000 | | | | 6,005,020 | |
Turkey Government International Bond | | | | | | | | |
5.63%, 03/30/2021 | | | 800,000 | | | | 795,224 | |
U.S. Treasury Inflation Indexed Bonds | | | | | | | | |
0.13%, 04/15/2022 (8) | | | 20,460,890 | | | | 20,042,241 | |
0.63%, 04/15/2023 (8) | | | 22,495,358 | | | | 22,456,101 | |
0.13%, 07/15/2026 (8) | | | 6,857,924 | | | | 6,569,108 | |
0.38%, 07/15/2027 (8) | | | 3,945,334 | | | | 3,837,677 | |
0.50%, 01/15/2028 (8) | | | 30,136,912 | | | | 29,478,942 | |
1.00%, 02/15/2048 (8) | | | 7,340,745 | | | | 7,585,300 | |
| | | | | | | | |
U.S. Treasury Note/Bond | | | | | | | | |
0.75%, 10/31/2018 | | | 2,995,000 | | | | 2,982,716 | |
1.25%, 05/31/2019 | | | 25,000,000 | | | | 24,756,836 | |
1.25%, 06/30/2019 | | | 14,270,000 | | | | 14,113,365 | |
2.00%, 01/31/2020 | | | 35,855,000 | | | | 35,584,687 | |
2.50%, 05/31/2020 | | | 122,760,000 | | | | 122,697,661 | |
1.50%, 08/15/2020 | | | 40,840,000 | | | | 39,953,006 | |
1.75%, 11/15/2020 | | | 38,865,000 | | | | 38,121,100 | |
1.38%, 04/30/2021 | | | 9,300,000 | | | | 8,986,125 | |
1.38%, 05/31/2021 | | | 19,300,000 | | | | 18,624,500 | |
2.75%, 04/30/2023 | | | 59,730,000 | | | | 59,769,664 | |
2.75%, 05/31/2023 | | | 371,495,000 | | | | 371,828,766 | |
2.00%, 05/31/2024 (14) | | | 58,440,000 | | | | 55,924,340 | |
2.38%, 08/15/2024 (9)(14) | | | 39,200,000 | | | | 38,261,344 | |
2.88%, 05/31/2025 (14) | | | 467,200,000 | | | | 468,897,249 | |
2.00%, 11/15/2026 (9)(14) | | | 44,737,000 | | | | 41,911,230 | |
2.25%, 02/15/2027 (9)(14) | | | 141,695,000 | | | | 135,180,351 | |
2.75%, 02/15/2028 (14) | | | 94,900,000 | | | | 94,051,090 | |
2.88%, 05/15/2028 | | | 99,230,000 | | | | 99,385,047 | |
4.63%, 02/15/2040 | | | 18,930,000 | | | | 23,996,733 | |
2.50%, 02/15/2045 (14) | | | 62,700,000 | | | | 57,108,433 | |
3.00%, 05/15/2045 (9)(14) | | | 36,855,000 | | | | 36,962,974 | |
2.50%, 02/15/2046 | | | 12,560,000 | | | | 11,407,522 | |
2.50%, 05/15/2046 | | | 11,105,000 | | | | 10,080,824 | |
2.88%, 11/15/2046 | | | 11,510,000 | | | | 11,258,668 | |
3.00%, 05/15/2047 | | | 8,820,000 | | | | 8,836,193 | |
2.75%, 08/15/2047 | | | 27,120,000 | | | | 25,851,928 | |
2.75%, 11/15/2047 | | | 47,780,000 | | | | 45,542,179 | |
3.00%, 02/15/2048 (14) | | | 75,830,000 | | | | 76,007,727 | |
3.13%, 05/15/2048 | | | 281,035,000 | | | | 288,576,838 | |
University of California | | | | | | | | |
4.60%, 05/15/2031 | | | 2,800,000 | | | | 3,020,556 | |
4.13%, 05/15/2045 | | | 190,000 | | | | 193,217 | |
Venezuela Government International Bond | | | | | | | | |
7.75%, 10/13/2019 (10) | | | 100,000 | | | | 27,170 | |
6.00%, 12/09/2020 (10) | | | 30,000 | | | | 7,875 | |
9.00%, 05/07/2023 (10) | | | 615,000 | | | | 166,050 | |
8.25%, 10/13/2024 (10) | | | 374,000 | | | | 101,616 | |
7.65%, 04/21/2025 (10) | | | 234,000 | | | | 62,876 | |
11.75%, 10/21/2026 (10) | | | 120,000 | | | | 34,044 | |
9.25%, 09/15/2027 (10) | | | 1,049,000 | | | | 295,503 | |
9.25%, 05/07/2028 (10) | | | 320,000 | | | | 86,624 | |
7.00%, 03/31/2038 (10) | | | 187,000 | | | | 50,247 | |
| | | | | | | | |
Total Government Related | | | | | | $ | 2,628,557,708 | |
| | | | | | | | |
| | | | | | | | |
Mortgage-Backed Obligations - 21.49% | | | | | | | | |
225 Liberty Street Trust 2016-225L | | | | | | | | |
3.60%, 02/10/2036 (1) | | $ | 3,010,000 | | | $ | 2,980,581 | |
280 Park Avenue 2017-280P Mortgage Trust | | | | | | | | |
2.95% (1 Month LIBOR USD + 0.88%, 0.88% Floor), 09/15/2034 (1)(2) | | | 2,670,000 | | | | 2,669,583 | |
Alternative Loan Trust 2003-22CB | | | | | | | | |
5.75%, 12/25/2033 | | | 884,295 | | | | 906,462 | |
6.00%, 12/25/2033 | | | 243,492 | | | | 244,120 | |
Alternative Loan Trust 2004-16CB | | | | | | | | |
5.50%, 07/25/2034 | | | 591,474 | | | | 606,859 | |
5.50%, 08/25/2034 | | | 666,374 | | | | 682,602 | |
Alternative Loan Trust 2005-74T1 | | | | | | | | |
6.00%, 01/25/2036 | | | 15,822,514 | | | | 13,409,840 | |
Alternative Loan Trust 2006-HY12 | | | | | | | | |
3.58%, 08/25/2036 (4) | | | 388,445 | | | | 397,858 | |
Alternative Loan Trust 2006-OA17 | | | | | | | | |
2.28% (1 Month LIBOR USD + 0.20%, 0.20% Floor), 12/20/2046 (2) | | | 21,756,626 | | | | 18,262,696 | |
Alternative Loan Trust 2006-OA7 | | | | | | | | |
2.50% (12 Month U.S. Treasury Average + 0.94%, 0.94% Floor), 06/25/2046 (2) | | | 17,232,467 | | | | 15,216,968 | |
Alternative Loan Trust 2007-OA2 | | | | | | | | |
2.22% (1 Month LIBOR USD + 0.13%, 0.13% Floor), 03/25/2047 (2) | | | 15,511,799 | | | | 12,586,390 | |
Ashford Hospitality Trust 2018-ASHF | | | | | | | | |
2.97% (1 Month LIBOR USD + 0.90%, 0.90% Floor), 04/15/2035 (1)(2) | | | 1,302,512 | | | | 1,300,947 | |
3.32% (1 Month LIBOR USD + 1.25%, 1.25% Floor), 04/15/2035 (1)(2) | | | 1,530,000 | | | | 1,528,448 | |
3.47% (1 Month LIBOR USD + 1.40%, 1.40% Floor), 04/15/2035 (1)(2) | | | 715,000 | | | | 714,619 | |
3.05% (1 Month LIBOR USD + 1.00%, 1.00% Floor), 05/15/2035 (1)(2) | | | 6,850,000 | | | | 6,850,000 | |
Atrium Hotel Portfolio Trust | | | | | | | | |
3.00% (1 Month LIBOR USD + 0.93%), 12/15/2036 (1)(2) | | | 3,120,000 | | | | 3,116,070 | |
3.57% (1 Month LIBOR USD + 1.50%), 12/15/2036 (1)(2) | | | 1,095,000 | | | | 1,093,621 | |
Aventura Mall Trust | | | | | | | | |
4.11%, 07/05/2040 (1)(4) | | | 10,180,000 | | | | 10,511,359 | |
BAMLL Commercial Mortgage Securities Trust 2012-PARK | | | | | | | | |
2.96%, 12/10/2030 (1) | | | 3,010,000 | | | | 2,958,151 | |
BAMLL Re-REMIC Trust 2016-RRLD11 | | | | | | | | |
6.16%, 06/17/2050 (1)(4) | | | 9,240,810 | | | | 9,211,118 | |
6.16%, 06/17/2050 (1)(4) | | | 100,000 | | | | 47,100 | |
Banc of America Commercial Mortgage Trust 2007-5 | | | | | | | | |
6.27%, 02/10/2051 (4) | | | 10,532,170 | | | | 10,787,997 | |
| | | | | | | | |
Banc of America Funding 2015-R7 Trust | | | | | | | | |
2.38% (12 Month U.S. Treasury Average + 0.92%), 09/26/2046 (1)(2) | | | 1,792,399 | | | | 1,802,284 | |
Banc of America Funding 2015-R8 Trust | | | | | | | | |
2.30%, 11/26/2046 (1)(4) | | | 2,700,088 | | | | 2,717,791 | |
Bank 2017-BNK4 | | | | | | | | |
4.00%, 05/15/2050 | | | 960,000 | | | | 949,589 | |
Bank 2017-BNK5 | | | | | | | | |
3.08%, 06/15/2060 (1)(4) | | | 785,000 | | | | 621,209 | |
3.39%, 06/15/2060 | | | 1,695,000 | | | | 1,651,107 | |
3.90%, 06/15/2060 (4) | | | 1,167,000 | | | | 1,144,866 | |
Bank 2017-BNK9 | | | | | | | | |
4.03%, 11/15/2054 (4) | | | 3,910,000 | | | | 3,910,904 | |
Bayview Opportunity Master Fund IVa Trust 2017-RT1 | | | | | | | | |
3.00%, 03/28/2057 (1)(4) | | | 226,855 | | | | 223,017 | |
BBCCRE Trust 2015-GTP | | | | | | | | |
0.00%, 08/12/2033 | | | 2,715,000 | | | | 2,749,193 | |
Bear Stearns ALT-A Trust 2005-1 | | | | | | | | |
3.22% (1 Month LIBOR USD + 1.13%, 0.75% Floor, 11.50% Cap), 01/25/2035 (2) | | | 6,750,000 | | | | 5,951,256 | |
Bear Stearns ARM Trust 2003-3 | | | | | | | | |
4.05%, 05/25/2033 (4) | | | 791,517 | | | | 803,768 | |
Bear Stearns Commercial Mortgage Securities Trust 2006-TOP24 | | | | | | | | |
5.66%, 10/12/2041 (1)(4) | | | 4,331,257 | | | | 4,088,421 | |
Benchmark 2018-B1 Mortgage Trust | | | | | | | | |
4.26%, 01/15/2051 (4) | | | 190,000 | | | | 186,694 | |
BX Trust 2017-IMC | | | | | | | | |
4.32% (1 Month LIBOR USD + 2.25%, 2.25% Floor), 10/15/2032 (1)(2) | | | 1,440,000 | | | | 1,442,240 | |
BXP Trust 2017-GM | | | | | | | | |
3.38%, 06/13/2039 (1) | | | 6,185,000 | | | | 6,005,754 | |
CD 2007-CD5 Mortgage Trust | | | | | | | | |
6.43%, 11/15/2044 (1)(4) | | | 13,680,000 | | | | 13,676,854 | |
CD 2016-CD2 Mortgage Trust | | | | | | | | |
2.91%, 11/10/2049 (4) | | | 885,000 | | | | 687,566 | |
CD 2017-CD6 Mortgage Trust | | | | | | | | |
3.46%, 11/13/2050 | | | 1,695,000 | | | | 1,655,826 | |
CGBAM Commercial Mortgage Trust 2015-SMRT | | | | | | | | |
2.81%, 04/10/2028 (1) | | | 1,500,000 | | | | 1,493,801 | |
CGGS COML MTG TR 2018-WSS | | | | | | | | |
3.02%, 02/17/2037 | | | 1,715,000 | | | | 1,714,445 | |
CGGS Commercial Mortgage Trust 2018-WSS | | | | | | | | |
2.97% (1 Month LIBOR USD + 0.90%, 0.90% Floor), 02/15/2037 (1)(2) | | | 3,950,000 | | | | 3,947,919 | |
3.42% (1 Month LIBOR USD + 1.35%, 1.35% Floor), 02/15/2037 (1)(2) | | | 1,580,000 | | | | 1,579,445 | |
4.37% (1 Month LIBOR USD + 2.30%, 2.30% Floor), 02/15/2037 (1)(2) | | | 3,870,000 | | | | 3,877,058 | |
| | | | | | | | |
CGRBS Commercial Mortgage Trust 2013-VN05 | | | | | | | | |
3.37%, 03/13/2035 (1) | | | 2,880,000 | | | | 2,874,071 | |
CHL Mortgage Pass-Through Trust Resecuritization 2008-3R | | | | | | | | |
6.00%, 08/25/2037 (1) | | | 3,766,961 | | | | 3,235,062 | |
CIM Trust | | | | | | | | |
2.30%, 05/25/2057 (1)(4) | | | 4,958,231 | | | | 4,911,460 | |
3.98% (1 Month LIBOR USD + 2.00%, 2.00% Floor), 10/25/2057 (1)(2) | | | 6,285,069 | | | | 6,380,582 | |
CIM Trust 2018-R4 | | | | | | | | |
4.07%, 12/26/2057 (1)(4) | | | 17,000,000 | | | | 17,010,343 | |
Citigroup Commercial Mortgage Trust 2015-GC27 | | | | | | | | |
2.69%, 02/10/2048 | | | 1,700,000 | | | | 1,693,466 | |
3.57%, 02/10/2048 | | | 430,000 | | | | 424,659 | |
Citigroup Commercial Mortgage Trust 2015-GC33 | | | | | | | | |
4.11%, 09/10/2058 | | | 1,350,000 | | | | 1,369,580 | |
Citigroup Commercial Mortgage Trust 2016-P3 | | | | | | | | |
3.06%, 04/15/2049 | | | 1,225,000 | | | | 1,180,570 | |
Citigroup Commercial Mortgage Trust 2018-B2 | | | | | | | | |
4.83%, 03/10/2051 (4) | | | 1,195,000 | | | | 1,198,496 | |
Clavis Securities Plc | | | | | | | | |
0.80% (3 Month LIBOR GBP + 0.17%), 12/15/2032 (2) | | GBP | 1,304,105 | | | | 1,678,486 | |
CLNS Trust 2017-IKPR | | | | | | | | |
2.85% (1 Month LIBOR USD + 0.80%, 0.80% Floor), 06/11/2032 (1)(2) | | $ | 315,000 | | | | 314,702 | |
COLT 2017-1 Mortgage Loan Trust | | | | | | | | |
2.61%, 05/27/2047 (1)(4) | | | 254,671 | | | | 253,740 | |
COLT 2017-2 Mortgage Loan Trust | | | | | | | | |
2.77%, 10/25/2047 (1)(4) | | | 542,122 | | | | 538,546 | |
COLT 2018-1 Mortgage Loan Trust | | | | | | | | |
2.93%, 02/25/2048 (1)(4) | | | 1,151,001 | | | | 1,145,695 | |
2.98%, 02/25/2048 (1)(4) | | | 330,007 | | | | 328,427 | |
COLT 2018-2 Mortgage Loan Trust | | | | | | | | |
3.47%, 07/27/2048 (1)(4) | | | 5,611,572 | | | | 5,611,742 | |
4.19%, 07/27/2048 (1)(4) | | | 1,095,000 | | | | 1,095,000 | |
COMM 2013-300P Mortgage Trust | | | | | | | | |
4.35%, 08/10/2030 (1) | | | 720,000 | | | | 745,502 | |
COMM 2013-CCRE12 Mortgage Trust | | | | | | | | |
4.05%, 10/10/2046 | | | 1,830,000 | | | | 1,881,998 | |
COMM 2013-SFS Mortgage Trust | | | | | | | | |
3.09%, 04/12/2035 (1)(4) | | | 1,445,000 | | | | 1,410,119 | |
| | | | | | | | |
COMM 2014-277P Mortgage Trust | | | | | | | | |
3.73%, 08/10/2049 (1)(4) | | | 735,000 | | | | 738,049 | |
COMM 2014-CCRE20 Mortgage Trust | | | | | | | | |
3.94%, 11/10/2047 | | | 1,115,000 | | | | 1,124,269 | |
COMM 2014-UBS2 Mortgage Trust | | | | | | | | |
5.15%, 03/10/2047 (4) | | | 800,000 | | | | 804,060 | |
COMM 2014-UBS4 Mortgage Trust | | | | | | | | |
4.78%, 08/10/2047 (4) | | | 490,000 | | | | 483,596 | |
COMM 2014-UBS6 Mortgage Trust | | | | | | | | |
4.61%, 12/10/2047 (4) | | | 1,013,000 | | | | 985,014 | |
COMM 2015-CCRE24 Mortgage Trust | | | | | | | | |
3.70%, 08/10/2048 | | | 2,020,000 | | | | 2,024,032 | |
COMM 2015-CCRE25 Mortgage Trust | | | | | | | | |
4.70%, 08/10/2048 (4) | | | 964,000 | | | | 954,406 | |
COMM 2015-CCRE26 Mortgage Trust | | | | | | | | |
3.63%, 10/10/2048 | | | 4,055,000 | | | | 4,036,455 | |
COMM 2015-DC1 Mortgage Trust | | | | | | | | |
3.72%, 02/10/2048 | | | 2,495,000 | | | | 2,471,439 | |
COMM 2015-LC23 Mortgage Trust | | | | | | | | |
4.16%, 10/10/2048 (4) | | | 1,135,000 | | | | 1,156,186 | |
COMM 2015-PC1 Mortgage Trust | | | | | | | | |
3.90%, 07/10/2050 | | | 515,000 | | | | 520,248 | |
4.59%, 07/10/2050 (4) | | | 440,000 | | | | 445,471 | |
COMM 2016-787S Mortgage Trust | | | | | | | | |
3.55%, 02/10/2036 (1) | | | 760,000 | | | | 747,021 | |
COMM 2017-COR2 Mortgage Trust | | | | | | | | |
3.51%, 09/10/2050 | | | 3,110,000 | | | | 3,035,482 | |
COMM 2017-PANW Mortgage Trust | | | | | | | | |
3.53%, 10/10/2029 (1)(4) | | | 1,285,000 | | | | 1,250,738 | |
COMM MTG TR 2015-CCRE25 | | | | | | | | |
0.00%, 08/12/2048 | | | 5,470,000 | | | | 5,685,371 | |
Commercial Mortgage Asset Trust | | | | | | | | |
6.25%, 01/17/2032 (1) | | | 479,715 | | | | 478,515 | |
Core Industrial Trust 2015-CALW | | | | | | | | |
3.04%, 02/10/2034 (1) | | | 3,301,000 | | | | 3,275,167 | |
Countrywide Asset-Backed Certificates | | | | | | | | |
2.89% (1 Month LIBOR USD + 0.80%, 0.40% Floor), 11/25/2035 (2) | | | 1,041,044 | | | | 1,040,809 | |
Credit Suisse First Boston Mortgage Securities Co. | | | | | | | | |
5.75%, 11/25/2033 | | | 130,193 | | | | 134,081 | |
| | | | | | | | |
Credit Suisse Mortgage Capital Certificates | | | | | | | | |
3.64%, 11/15/2034 (1) | | | 3,055,000 | | | | 3,086,856 | |
3.94%, 11/15/2034 (1)(4) | | | 560,000 | | | | 563,814 | |
CSAIL 2015-C2 Commercial Mortgage Trust | | | | | | | | |
4.21%, 06/15/2057 | | | 1,630,000 | | | | 1,614,272 | |
CSAIL 2015-C3 Commercial Mortgage Trust | | | | | | | | |
3.72%, 08/15/2048 | | | 3,013,000 | | | | 3,023,396 | |
CSAIL 2016-C6 Commercial Mortgage Trust | | | | | | | | |
3.09%, 01/15/2049 | | | 840,000 | | | | 805,522 | |
CSAIL 2016-C7 Commercial Mortgage Trust | | | | | | | | |
3.96%, 11/15/2049 (4) | | | 6,160,000 | | | | 6,178,115 | |
CSMC 2014-USA OA LLC | | | | | | | | |
4.37%, 09/15/2037 (1) | | | 365,000 | | | | 349,174 | |
CSMC Trust 2013-5R | | | | | | | | |
2.21% (1 Month LIBOR USD + 0.25%, 0.25% Floor), 02/27/2036 (1)(2) | | | 11,769,479 | | | | 11,588,853 | |
DBCG 2017-BBG Mortgage Trust | | | | | | | | |
2.77% (1 Month LIBOR USD + 0.70%, 0.70% Floor), 06/15/2034 (1)(2) | | | 2,645,000 | | | | 2,644,997 | |
DBJPM 17-C6 Mortgage Trust | | | | | | | | |
3.79%, 06/10/2050 (4) | | | 2,750,000 | | | | 2,692,112 | |
Deephaven Residential Mortgage Trust 2018-2 | | | | | | | | |
3.48%, 04/25/2058 (1)(4)(13) | | | 3,902,784 | | | | 3,902,735 | |
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2005-2 | | | | | | | | |
2.49% (1 Month LIBOR USD + 0.40%, 0.40% Floor), 04/25/2035 (2) | | | 6,636,423 | | | | 6,355,629 | |
Eleven Madison Trust 2015-11MD Mortgage Trust | | | | | | | | |
3.67%, 09/10/2035 (1)(4) | | | 3,110,000 | | | | 3,093,268 | |
Eurosail-UK 2007-5np Plc | | | | | | | | |
1.40% (3 Month LIBOR GBP + 0.77%), 09/13/2045 (2) | | GBP | 12,159,730 | | | | 15,673,345 | |
Fannie Mae | | | | | | | | |
3.50%, 07/15/2026 (5) | | $ | 7,060,000 | | | | 7,143,359 | |
Fannie Mae Connecticut Avenue Securities | | | | | | | | |
6.64% (1 Month LIBOR USD + 4.55%), 02/25/2025 (2) | | | 1,437,208 | | | | 1,556,258 | |
3.44% (1 Month LIBOR USD + 1.35%, 1.35% Floor), 01/25/2029 (2) | | | 98,456 | | | | 98,867 | |
3.39% (1 Month LIBOR USD + 1.30%), 05/25/2029 (2) | | | 128,447 | | | | 128,927 | |
3.24% (1 Month LIBOR USD + 1.15%), 09/25/2029 (2) | | | 889,249 | | | | 894,230 | |
5.74% (1 Month LIBOR USD + 3.65%), 09/25/2029 (2) | | | 2,560,000 | | | | 2,791,128 | |
5.09% (1 Month LIBOR USD + 3.00%), 10/25/2029 (2) | | | 410,000 | | | | 436,196 | |
4.94% (1 Month LIBOR USD + 2.85%), 11/25/2029 (2) | | | 2,050,000 | | | | 2,133,794 | |
4.89% (1 Month LIBOR USD + 2.80%, 2.80% Floor), 02/25/2030 (2) | | | 985,000 | | | | 1,025,398 | |
4.59% (1 Month LIBOR USD + 2.50%, 2.50% Floor), 05/25/2030 (2) | | | 2,445,000 | | | | 2,493,411 | |
4.29% (1 Month LIBOR USD + 2.20%, 2.20% Floor), 08/25/2030 (2) | | | 1,210,000 | | | | 1,205,593 | |
4.24% (1 Month LIBOR USD + 2.15%, 2.15% Floor), 10/25/2030 (2) | | | 2,370,000 | | | | 2,355,389 | |
4.65% (1 Month LIBOR USD + 2.55%, 2.55% Floor), 12/25/2030 (2) | | | 7,075,000 | | | | 7,078,204 | |
| | | | | | | | |
Fannie Mae Pool | | | | | | | | |
2.28%, 11/01/2022 | | | 1,574,575 | | | | 1,528,380 | |
2.54%, 03/01/2023 | | | 13,422,636 | | | | 13,197,178 | |
2.81%, 04/01/2025 | | | 980,000 | | | | 952,936 | |
3.89%, 08/01/2025 | | | 1,453,560 | | | | 1,498,809 | |
4.19%, 11/01/2026 | | | 1,154,734 | | | | 1,216,873 | |
3.47%, 12/01/2026 | | | 2,938,947 | | | | 2,941,140 | |
3.22%, 01/01/2027 | | | 3,565,000 | | | | 3,510,531 | |
3.22%, 01/01/2027 | | | 3,565,000 | | | | 3,510,532 | |
2.50%, 07/15/2027 (5) | | | 9,505,000 | | | | 9,237,404 | |
3.00%, 07/15/2027 (5) | | | 19,400,000 | | | | 19,281,239 | |
2.91%, 04/01/2028 | | | 1,983,312 | | | | 1,900,324 | |
2.82%, 05/01/2028 | | | 2,205,847 | | | | 2,098,590 | |
2.68%, 08/01/2028 | | | 4,220,000 | | | | 3,931,042 | |
3.00%, 10/01/2028 | | | 485,160 | | | | 484,965 | |
3.24%, 06/01/2029 | | | 5,580,000 | | | | 5,434,072 | |
3.24%, 06/01/2029 | | | 5,420,000 | | | | 5,278,256 | |
3.25%, 06/01/2029 | | | 4,935,000 | | | | 4,833,139 | |
3.10%, 08/01/2029 | | | 6,355,000 | | | | 6,090,140 | |
4.24%, 12/01/2029 | | | 11,780,948 | | | | 12,321,513 | |
3.00%, 05/01/2030 | | | 250,582 | | | | 249,941 | |
2.50%, 07/01/2030 | | | 1,000,708 | | | | 977,063 | |
2.50%, 07/01/2030 | | | 740,348 | | | | 722,854 | |
2.50%, 08/01/2030 | | | 1,879,771 | | | | 1,835,341 | |
3.55%, 08/01/2030 | | | 1,524,006 | | | | 1,528,807 | |
3.00%, 09/01/2030 | | | 2,878,768 | | | | 2,871,411 | |
3.00%, 12/01/2030 | | | 1,088,862 | | | | 1,086,081 | |
2.50%, 11/01/2031 | | | 2,397,405 | | | | 2,334,786 | |
3.50%, 11/01/2031 | | | 3,742,842 | | | | 3,802,644 | |
3.00%, 06/01/2032 | | | 2,299,787 | | | | 2,286,827 | |
3.00%, 07/01/2032 | | | 1,738,124 | | | | 1,728,329 | |
3.25%, 07/01/2032 | | | 4,231,336 | | | | 4,120,531 | |
3.50%, 07/01/2032 | | | 3,400,131 | | | | 3,442,490 | |
3.00%, 08/01/2032 | | | 4,181,370 | | | | 4,157,806 | |
2.50%, 11/01/2032 | | | 14,856,324 | | | | 14,445,586 | |
3.50%, 11/01/2032 | | | 2,486,202 | | | | 2,525,745 | |
3.00%, 04/01/2033 | | | 5,409 | | | | 5,248 | |
3.00%, 06/01/2033 | | | 18,328 | | | | 17,789 | |
3.00%, 10/01/2033 | | | 2,632,398 | | | | 2,617,707 | |
| | | | | | | | |
6.00%, 03/01/2034 | | | 2,537,939 | | | | 2,776,940 | |
5.50%, 05/01/2034 | | | 2,144,346 | | | | 2,331,741 | |
5.50%, 07/01/2034 | | | 525,534 | | | | 571,357 | |
3.50%, 02/01/2035 | | | 189,696 | | | | 191,894 | |
5.00%, 07/01/2035 | | | 1,040,347 | | | | 1,115,510 | |
4.50%, 11/01/2035 | | | 449,941 | | | | 470,814 | |
3.50%, 01/01/2036 | | | 1,806,303 | | | | 1,827,248 | |
5.00%, 02/01/2036 | | | 1,679,746 | | | | 1,799,004 | |
6.00%, 06/01/2036 | | | 16,262 | | | | 17,899 | |
5.50%, 07/01/2036 | | | 201,561 | | | | 219,251 | |
3.00%, 11/01/2036 | | | 1,970,853 | | | | 1,944,592 | |
3.00%, 11/01/2036 | | | 2,291,496 | | | | 2,260,962 | |
3.00%, 11/01/2036 | | | 273,725 | | | | 270,078 | |
3.00%, 12/01/2036 | | | 2,488,095 | | | | 2,454,942 | |
3.00%, 12/01/2036 | | | 354,928 | | | | 350,199 | |
3.00%, 10/01/2037 | | | 56,814 | | | | 55,969 | |
6.00%, 07/01/2038 | | | 1,651,486 | | | | 1,818,374 | |
6.00%, 10/01/2038 | | | 99,302 | | | | 109,091 | |
5.50%, 12/01/2039 | | | 428,452 | | | | 462,544 | |
5.50%, 03/01/2040 | | | 2,441,210 | | | | 2,653,825 | |
5.00%, 05/01/2040 | | | 41,743 | | | | 44,601 | |
6.50%, 05/01/2040 | | | 604,393 | | | | 671,387 | |
5.00%, 06/01/2040 | | | 13,244 | | | | 14,175 | |
4.50%, 08/01/2040 | | | 127,000 | | | | 133,610 | |
4.50%, 09/01/2040 | | | 48,601 | | | | 51,123 | |
4.00%, 11/01/2040 | | | 118,967 | | | | 122,171 | |
4.00%, 11/01/2040 | | | 442,732 | | | | 454,668 | |
4.00%, 11/01/2040 | | | 3,567,602 | | | | 3,652,567 | |
4.50%, 11/01/2040 | | | 3,158,047 | | | | 3,322,545 | |
4.00%, 12/01/2040 | | | 296,756 | | | | 304,748 | |
4.00%, 01/01/2041 | | | 218,447 | | | | 224,336 | |
4.50%, 01/01/2041 | | | 32,664 | | | | 34,353 | |
4.00%, 02/01/2041 | | | 217,141 | | | | 223,003 | |
4.00%, 02/01/2041 | | | 961,343 | | | | 987,820 | |
4.00%, 02/01/2041 | | | 717,676 | | | | 737,049 | |
4.50%, 02/01/2041 | | | 431,675 | | | | 454,157 | |
5.00%, 02/01/2041 | | | 1,044,859 | | | | 1,116,940 | |
5.50%, 06/01/2041 | | | 456,050 | | | | 498,375 | |
5.00%, 07/01/2041 | | | 1,232,752 | | | | 1,319,599 | |
3.50%, 07/15/2041 (5) | | | 800,000 | | | | 795,994 | |
| | | | | | | | |
4.50%, 07/15/2041 (5) | | | 74,095,000 | | | | 77,147,077 | |
4.50%, 08/01/2041 | | | 54,381 | | | | 57,213 | |
5.00%, 08/01/2041 | | | 447,108 | | | | 479,403 | |
4.00%, 09/01/2041 | | | 431,817 | | | | 443,443 | |
4.50%, 11/01/2041 | | | 864,259 | | | | 906,870 | |
3.50%, 12/01/2041 | | | 86,611 | | | | 86,891 | |
4.00%, 01/01/2042 | | | 61,926 | | | | 63,595 | |
4.00%, 01/01/2042 | | | 3,880,327 | | | | 3,985,095 | |
4.00%, 02/01/2042 | | | 102,725 | | | | 105,494 | |
5.50%, 02/01/2042 | | | 1,076,023 | | | | 1,156,772 | |
5.50%, 02/01/2042 | | | 1,845,578 | | | | 1,988,700 | |
5.00%, 03/01/2042 | | | 703,223 | | | | 754,237 | |
3.50%, 06/01/2042 | | | 81,366 | | | | 81,303 | |
3.50%, 06/01/2042 | | | 120,984 | | | | 120,890 | |
3.48%, 07/01/2042 | | | 4,256,976 | | | | 4,090,516 | |
3.50%, 07/01/2042 | | | 785,811 | | | | 785,203 | |
3.50%, 07/01/2042 | | | 109,723 | | | | 109,638 | |
3.00%, 07/15/2042 (5) | | | 7,385,000 | | | | 7,151,911 | |
3.50%, 08/01/2042 | | | 215,940 | | | | 215,773 | |
3.50%, 09/01/2042 | | | 306,377 | | | | 306,140 | |
3.50%, 09/01/2042 | | | 240,932 | | | | 240,745 | |
3.50%, 10/01/2042 | | | 682,177 | | | | 681,650 | |
2.50%, 12/01/2042 | | | 308,540 | | | | 290,364 | |
3.50%, 12/01/2042 | | | 2,509,339 | | | | 2,507,407 | |
3.50%, 12/01/2042 | | | 1,488,316 | | | | 1,487,164 | |
2.50%, 01/01/2043 | | | 716,437 | | | | 674,253 | |
2.50%, 01/01/2043 | | | 948,476 | | | | 892,611 | |
3.00%, 01/01/2043 | | | 14,844 | | | | 14,490 | |
3.50%, 01/01/2043 | | | 341,769 | | | | 341,505 | |
2.50%, 02/01/2043 | | | 578,964 | | | | 544,865 | |
3.00%, 02/01/2043 | | | 857,261 | | | | 836,884 | |
3.00%, 02/01/2043 | | | 17,307 | | | | 16,895 | |
3.00%, 03/01/2043 | | | 148,941 | | | | 145,401 | |
3.00%, 03/01/2043 | | | 32,143 | | | | 31,376 | |
3.00%, 03/01/2043 | | | 16,883 | | | | 16,479 | |
3.50%, 03/01/2043 | | | 1,424,789 | | | | 1,423,688 | |
2.50%, 04/01/2043 | | | 421,665 | | | | 396,860 | |
3.00%, 04/01/2043 | | | 987,031 | | | | 964,381 | |
3.00%, 04/01/2043 | | | 16,395 | | | | 16,005 | |
3.50%, 04/01/2043 | | | 123,928 | | | | 124,063 | |
| | | | | | | | |
3.50%, 05/01/2043 | | | 566,153 | | | | 565,715 | |
3.00%, 06/01/2043 | | | 3,936,190 | | | | 3,844,279 | |
3.50%, 06/01/2043 | | | 2,242,546 | | | | 2,244,982 | |
3.50%, 06/01/2043 | | | 173,532 | | | | 173,782 | |
3.50%, 06/01/2043 | | | 1,066,118 | | | | 1,067,276 | |
3.50%, 07/01/2043 | | | 147,311 | | | | 147,471 | |
3.50%, 07/01/2043 | | | 217,276 | | | | 217,705 | |
3.00%, 08/01/2043 | | | 195,898 | | | | 191,044 | |
3.00%, 08/01/2043 | | | 364,150 | | | | 355,478 | |
3.00%, 08/01/2043 | | | 10,127,628 | | | | 9,891,389 | |
3.50%, 08/01/2043 | | | 135,674 | | | | 135,569 | |
3.50%, 08/01/2043 | | | 149,608 | | | | 149,852 | |
3.50%, 09/01/2043 | | | 614,504 | | | | 615,725 | |
4.00%, 09/01/2043 | | | 2,373,487 | | | | 2,432,700 | |
3.50%, 10/01/2043 | | | 417,571 | | | | 417,250 | |
5.50%, 10/01/2043 | | | 823,514 | | | | 901,250 | |
4.00%, 12/01/2043 | | | 4,533,306 | | | | 4,641,471 | |
3.50%, 01/01/2044 | | | 219,661 | | | | 219,491 | |
3.50%, 01/01/2044 | | | 1,345,085 | | | | 1,349,356 | |
3.00%, 02/01/2044 | | | 43,489 | | | | 42,413 | |
3.50%, 03/01/2044 | | | 281,369 | | | | 282,249 | |
4.50%, 06/01/2044 | | | 717,899 | | | | 751,622 | |
3.50%, 07/01/2044 | | | 1,012,717 | | | | 1,013,974 | |
4.50%, 08/01/2044 | | | 798,405 | | | | 835,897 | |
3.00%, 09/01/2044 | | | 78,529 | | | | 76,658 | |
5.00%, 11/01/2044 | | | 4,100,262 | | | | 4,389,971 | |
4.50%, 02/01/2045 | | | 752,754 | | | | 787,961 | |
5.00%, 02/01/2045 | | | 1,695,643 | | | | 1,822,459 | |
3.00%, 04/01/2045 | | | 39,216 | | | | 38,079 | |
3.50%, 04/01/2045 | | | 78,485 | | | | 78,435 | |
3.50%, 04/01/2045 | | | 1,947,009 | | | | 1,943,095 | |
3.00%, 05/01/2045 | | | 753,117 | | | | 735,846 | |
3.00%, 05/01/2045 | | | 1,605,530 | | | | 1,562,708 | |
3.50%, 05/01/2045 | | | 2,641,439 | | | | 2,636,130 | |
3.50%, 05/01/2045 | | | 2,249,983 | | | | 2,247,883 | |
3.50%, 06/01/2045 | | | 2,845,081 | | | | 2,842,425 | |
3.50%, 06/01/2045 | | | 3,406,813 | | | | 3,399,965 | |
4.00%, 06/01/2045 | | | 9,987,038 | | | | 10,206,496 | |
4.50%, 06/01/2045 | | | 468,996 | | | | 491,568 | |
3.00%, 07/01/2045 | | | 7,378,247 | | | | 7,168,808 | |
| | | | | | | | |
3.00%, 07/01/2045 | | | 1,173,297 | | | | 1,140,335 | |
3.50%, 07/01/2045 | | | 3,452,336 | | | | 3,445,397 | |
4.00%, 07/01/2045 | | | 1,347,652 | | | | 1,375,409 | |
5.00%, 07/01/2045 | | | 864,028 | | | | 926,532 | |
3.50%, 08/01/2045 | | | 75,854 | | | | 75,702 | |
4.00%, 09/01/2045 | | | 209,435 | | | | 213,717 | |
4.00%, 09/01/2045 | | | 159,255 | | | | 162,502 | |
3.50%, 10/01/2045 | | | 485,848 | | | | 484,871 | |
4.00%, 10/01/2045 | | | 4,108,182 | | | | 4,192,803 | |
3.50%, 11/01/2045 | | | 9,226,803 | | | | 9,208,256 | |
3.50%, 11/01/2045 | | | 509,100 | | | | 508,076 | |
3.50%, 12/01/2045 | | | 1,778,977 | | | | 1,775,401 | |
4.00%, 12/01/2045 | | | 1,434,933 | | | | 1,467,919 | |
4.00%, 12/01/2045 | | | 203,026 | | | | 207,556 | |
4.00%, 12/01/2045 | | | 857,032 | | | | 874,804 | |
3.50%, 01/01/2046 | | | 43,811 | | | | 43,753 | |
3.50%, 01/01/2046 | | | 123,983 | | | | 123,734 | |
4.50%, 02/01/2046 | | | 3,670,474 | | | | 3,841,254 | |
3.00%, 03/01/2046 | | | 1,180,193 | | | | 1,146,094 | |
4.00%, 03/01/2046 | | | 1,884,678 | | | | 1,930,645 | |
4.00%, 03/01/2046 | | | 2,152,756 | | | | 2,198,909 | |
4.50%, 03/01/2046 | | | 2,585,141 | | | | 2,702,731 | |
3.50%, 04/01/2046 | | | 808,474 | | | | 806,849 | |
3.00%, 06/01/2046 | | | 475,371 | | | | 461,733 | |
3.50%, 06/01/2046 | | | 4,221,453 | | | | 4,215,845 | |
3.50%, 06/01/2046 | | | 3,253,122 | | | | 3,269,675 | |
3.50%, 06/01/2046 | | | 2,254,000 | | | | 2,249,474 | |
3.50%, 06/01/2046 | | | 1,069,176 | | | | 1,067,027 | |
3.50%, 07/01/2046 | | | 2,129,355 | | | | 2,125,405 | |
3.00%, 08/01/2046 | | | 143,866 | | | | 140,304 | |
3.50%, 08/01/2046 | | | 977,107 | | | | 975,143 | |
3.00%, 09/01/2046 | | | 173,434 | | | | 168,379 | |
3.50%, 09/01/2046 | | | 8,723,840 | | | | 8,706,305 | |
4.00%, 09/01/2046 | | | 3,029,877 | | | | 3,099,058 | |
4.00%, 09/01/2046 | | | 122,241 | | | | 124,773 | |
3.00%, 10/01/2046 | | | 5,001,423 | | | | 4,853,796 | |
3.00%, 11/01/2046 | | | 1,380,166 | | | | 1,339,542 | |
3.00%, 11/01/2046 | | | 2,348,580 | | | | 2,279,220 | |
3.00%, 11/01/2046 | | | 2,045,026 | | | | 1,983,497 | |
3.00%, 11/01/2046 | | | 2,473,609 | | | | 2,402,450 | |
| | | | | | | | |
3.00%, 11/01/2046 | | | 1,030,179 | | | | 1,000,559 | |
3.00%, 11/01/2046 | | | 6,303,758 | | | | 6,117,692 | |
3.00%, 12/01/2046 | | | 5,263,648 | | | | 5,112,148 | |
3.00%, 12/01/2046 | | | 1,648,830 | | | | 1,599,225 | |
3.00%, 12/01/2046 | | | 3,114,271 | | | | 3,018,662 | |
3.50%, 12/01/2046 | | | 2,746,746 | | | | 2,741,012 | |
3.00%, 01/01/2047 | | | 3,379,715 | | | | 3,284,829 | |
3.50%, 01/01/2047 | | | 2,009,243 | | | | 2,004,893 | |
3.50%, 01/01/2047 | | | 29,433,006 | | | | 29,369,294 | |
3.50%, 01/01/2047 | | | 1,302,952 | | | | 1,300,131 | |
3.50%, 02/01/2047 | | | 1,471,876 | | | | 1,468,576 | |
3.50%, 02/01/2047 | | | 1,889,226 | | | | 1,884,988 | |
4.00%, 02/01/2047 | | | 6,681,717 | | | | 6,816,238 | |
3.50%, 03/01/2047 | | | 277,371 | | | | 276,749 | |
4.00%, 03/01/2047 | | | 3,564,595 | | | | 3,637,286 | |
3.00%, 04/01/2047 | | | 2,645,504 | | | | 2,569,357 | |
3.50%, 04/01/2047 | | | 5,831,920 | | | | 5,818,390 | |
4.00%, 04/01/2047 | | | 4,071,958 | | | | 4,155,172 | |
4.00%, 05/01/2047 | | | 5,735,115 | | | | 5,852,706 | |
3.50%, 06/01/2047 | | | 2,094,262 | | | | 2,088,916 | |
4.00%, 06/01/2047 | | | 2,153,808 | | | | 2,196,712 | |
4.00%, 06/01/2047 | | | 6,496,596 | | | | 6,630,129 | |
4.00%, 06/01/2047 | | | 6,416,649 | | | | 6,553,184 | |
4.00%, 07/01/2047 | | | 1,711,751 | | | | 1,747,025 | |
4.00%, 07/01/2047 | | | 5,530,033 | | | | 5,647,988 | |
4.00%, 08/01/2047 | | | 4,359,339 | | | | 4,449,399 | |
4.00%, 08/01/2047 | | | 3,709,677 | | | | 3,786,507 | |
3.50%, 09/01/2047 | | | 5,192,144 | | | | 5,177,683 | |
3.00%, 10/01/2047 | | | 4,989,673 | | | | 4,839,454 | |
3.00%, 11/01/2047 | | | 2,209,311 | | | | 2,142,797 | |
3.50%, 11/01/2047 | | | 22,081,353 | | | | 21,989,050 | |
3.50%, 12/01/2047 | | | 5,776,765 | | | | 5,766,047 | |
3.50%, 12/01/2047 | | | 14,942,016 | | | | 14,874,632 | |
3.00%, 01/01/2048 | | | 6,788,273 | | | | 6,582,648 | |
4.00%, 03/01/2048 | | | 1,966,334 | | | | 2,007,258 | |
3.50%, 04/01/2048 | | | 35,148,271 | | | | 35,018,346 | |
4.00%, 05/01/2048 | | | 4,187,609 | | | | 4,274,768 | |
4.50%, 05/01/2048 | | | 2,425,709 | | | | 2,542,119 | |
4.00%, 06/01/2048 | | | 29,171,024 | | | | 29,757,864 | |
4.00%, 07/01/2048 | | | 14,560,000 | | | | 14,863,055 | |
3.50%, 08/01/2056 | | | 2,715,076 | | | | 2,696,188 | |
| | | | | | | | |
Fannie Mae REMICS | | | | | | | | |
4.00%, 06/25/2044 | | | 2,240,465 | | | | 2,288,933 | |
Fannie Mae-Aces | | | | | | | | |
3.06%, 05/25/2027 (4) | | | 7,700,000 | | | | 7,469,972 | |
FHLMC PC | | | | | | | | |
0.00%, 12/01/2047 | | | 7,648,783 | | | | 7,410,761 | |
4.00%, 07/01/2048 | | | 9,675,000 | | | | 9,864,515 | |
Flagstar Mortgage Trust 2017-2 | | | | | | | | |
4.14%, 10/25/2047 (1)(4) | | | 1,347,137 | | | | 1,342,470 | |
Freddie Mac | | | | | | | | |
4.50%, 07/15/2040 (5) | | | 52,120,000 | | | | 54,234,920 | |
Freddie Mac Gold Pool | | | | | | | | |
2.50%, 07/01/2030 | | | 1,592,793 | | | | 1,548,733 | |
3.00%, 03/01/2031 | | | 980,773 | | | | 974,147 | |
2.50%, 12/01/2031 | | | 8,552,430 | | | | 8,315,253 | |
8.00%, 04/01/2032 | | | 279,543 | | | | 326,660 | |
3.00%, 12/01/2032 | | | 3,626,008 | | | | 3,601,510 | |
3.00%, 02/01/2038 | | | 5,880,514 | | | | 5,772,357 | |
4.00%, 07/15/2041 (5) | | | 595,000 | | | | 606,250 | |
5.50%, 08/01/2041 | | | 8,501,469 | | | | 9,309,540 | |
5.00%, 11/01/2041 | | | 1,300,422 | | | | 1,388,199 | |
5.00%, 03/01/2042 | | | 464,918 | | | | 500,289 | |
4.50%, 07/01/2042 | | | 843,572 | | | | 887,196 | |
3.50%, 09/01/2042 | | | 526,405 | | | | 526,357 | |
3.50%, 11/01/2042 | | | 54,507 | | | | 54,503 | |
3.00%, 02/01/2043 | | | 941,722 | | | | 919,108 | |
3.00%, 02/01/2043 | | | 102,761 | | | | 100,107 | |
3.00%, 03/01/2043 | | | 18,786 | | | | 18,301 | |
3.00%, 03/01/2043 | | | 34,974 | | | | 34,075 | |
3.50%, 10/01/2043 | | | 1,022,563 | | | | 1,025,321 | |
3.50%, 01/01/2044 | | | 1,216,390 | | | | 1,219,673 | |
4.50%, 05/01/2044 | | | 518,150 | | | | 545,898 | |
4.00%, 01/01/2045 | | | 2,469,241 | | | | 2,539,933 | |
4.50%, 06/01/2045 | | | 895,063 | | | | 945,679 | |
4.00%, 07/01/2045 | | | 802,438 | | | | 820,942 | |
3.50%, 10/01/2045 | | | 14,192,551 | | | | 14,193,500 | |
4.00%, 12/01/2045 | | | 5,220,472 | | | | 5,365,699 | |
4.50%, 02/01/2046 | | | 902,725 | | | | 953,759 | |
3.50%, 03/01/2046 | | | 1,288,113 | | | | 1,288,199 | |
| | | | | | | | |
4.50%, 05/01/2046 | | | 971,326 | | | | 1,026,235 | |
3.00%, 06/01/2046 | | | 8,990,012 | | | | 8,711,675 | |
3.50%, 06/01/2046 | | | 9,622,504 | | | | 9,595,836 | |
4.50%, 06/01/2046 | | | 1,149,003 | | | | 1,211,939 | |
3.00%, 08/01/2046 | | | 10,780,505 | | | | 10,446,731 | |
3.50%, 08/01/2046 | | | 24,727,276 | | | | 24,757,338 | |
3.50%, 08/01/2046 | | | 14,798,947 | | | | 14,754,876 | |
3.00%, 09/01/2046 | | | 13,650,671 | | | | 13,228,028 | |
3.00%, 10/01/2046 | | | 7,136,710 | | | | 6,914,643 | |
3.00%, 11/01/2046 | | | 3,344,704 | | | | 3,240,112 | |
3.50%, 11/01/2046 | | | 3,266,551 | | | | 3,254,122 | |
3.00%, 12/01/2046 | | | 4,470,938 | | | | 4,331,127 | |
3.00%, 01/01/2047 | | | 11,506,565 | | | | 11,139,145 | |
3.00%, 02/01/2047 | | | 10,711,724 | | | | 10,373,973 | |
3.50%, 02/01/2047 | | | 1,672,606 | | | | 1,665,784 | |
4.50%, 02/01/2047 | | | 837,886 | | | | 886,561 | |
3.00%, 03/01/2047 | | | 6,029,905 | | | | 5,839,308 | |
3.50%, 04/01/2047 | | | 8,016,798 | | | | 7,983,378 | |
3.50%, 04/01/2047 | | | 18,938,762 | | | | 18,907,751 | |
3.00%, 08/01/2047 | | | 14,016,317 | | | | 13,572,276 | |
3.50%, 12/01/2047 | | | 22,444,730 | | | | 22,407,977 | |
3.50%, 01/01/2048 | | | 26,584,477 | | | | 26,594,513 | |
3.50%, 03/01/2048 | | | 28,232,726 | | | | 28,129,590 | |
3.50%, 03/01/2048 | | | 32,789,958 | | | | 32,736,256 | |
3.50%, 03/01/2048 | | | 31,692,070 | | | | 31,615,603 | |
4.00%, 03/01/2048 | | | 12,039,264 | | | | 12,350,853 | |
4.00%, 06/01/2048 | | | 21,400,734 | | | | 21,919,019 | |
Freddie Mac Multifamily Structured Pass Through Certificates | | | | | | | | |
2.36% (1 Month LIBOR USD + 0.36%, 0.37% Floor), 08/25/2024 (2) | | | 4,869,223 | | | | 4,882,330 | |
3.75%, 04/25/2033 | | | 7,505,000 | | | | 7,585,699 | |
Freddie Mac Structured Agency Credit Risk Debt Notes | | | | | | | | |
4.29% (1 Month LIBOR USD + 2.20%), 02/25/2024 (2) | | | 446,806 | | | | 459,454 | |
3.74% (1 Month LIBOR USD + 1.65%), 04/25/2024 (2) | | | 1,442,704 | | | | 1,462,672 | |
4.29% (1 Month LIBOR USD + 2.20%), 03/25/2025 (2) | | | 229,859 | | | | 230,873 | |
4.04% (1 Month LIBOR USD + 1.95%), 05/25/2025 (2) | | | 2,229,095 | | | | 2,287,547 | |
3.94% (1 Month LIBOR USD + 1.85%), 10/25/2027 (2) | | | 924,205 | | | | 941,499 | |
4.94% (1 Month LIBOR USD + 2.85%), 04/25/2028 (2) | | | 3,502,951 | | | | 3,630,949 | |
4.99% (1 Month LIBOR USD + 2.90%), 07/25/2028 (2) | | | 311,539 | | | | 319,582 | |
4.09% (1 Month LIBOR USD + 2.00%), 12/25/2028 (2) | | | 923,699 | | | | 936,944 | |
2.89% (1 Month LIBOR USD + 0.80%), 03/25/2029 (2) | | | 219,250 | | | | 219,526 | |
| | | | | | | | |
5.94% (1 Month LIBOR USD + 3.85%), 03/25/2029 (2) | | | 673,000 | | | | 750,603 | |
3.29% (1 Month LIBOR USD + 1.20%, 1.20% Floor), 07/25/2029 (2) | | | 348,173 | | | | 350,896 | |
5.34% (1 Month LIBOR USD + 3.25%, 3.25% Floor), 07/25/2029 (2) | | | 390,000 | | | | 420,292 | |
5.64% (1 Month LIBOR USD + 3.55%, 3.55% Floor), 08/25/2029 (2) | | | 2,190,000 | | | | 2,379,764 | |
5.54% (1 Month LIBOR USD + 3.45%), 10/25/2029 (2) | | | 720,000 | | | | 787,135 | |
2.89% (1 Month LIBOR USD + 0.80%), 12/25/2029 (2) | | | 348,534 | | | | 349,185 | |
4.74% (1 Month LIBOR USD + 2.65%), 12/25/2029 (2) | | | 250,000 | | | | 257,719 | |
2.84% (1 Month LIBOR USD + 0.75%), 03/25/2030 (2) | | | 1,483,852 | | | | 1,487,520 | |
2.54% (1 Month LIBOR USD + 0.45%), 07/25/2030 (2) | | | 1,776,898 | | | | 1,769,543 | |
4.39% (1 Month LIBOR USD + 2.30%), 09/25/2030 (2) | | | 3,655,000 | | | | 3,643,851 | |
3.75%, 02/25/2048 (1)(4) | | | 545,000 | | | | 480,847 | |
3.82%, 05/25/2048 (1)(4) | | | 445,000 | | | | 407,340 | |
Freddie Mac Whole Loan Securities Trust | | | | | | | | |
3.59%, 12/25/2046 (1)(4) | | | 4,645,805 | | | | 4,601,648 | |
FREMF 2018-K731 Mortgage Trust | | | | | | | | |
3.91%, 02/25/2025 (1) | | | 1,515,000 | | | | 1,482,204 | |
GAHR Commercial Mortgage Trust 2015-NRF | | | | | | | | |
3.49%, 12/15/2034 (1)(4) | | | 1,250,000 | | | | 1,242,644 | |
Galton Funding Mortgage Trust 2017-1 | | | | | | | | |
3.50%, 11/25/2057 (1)(4) | | | 3,029,413 | | | | 2,983,362 | |
Ginnie Mae I Pool | | | | | | | | |
7.50%, 08/15/2033 | | | 384,046 | | | | 433,312 | |
5.00%, 09/15/2039 | | | 51,931 | | | | 55,277 | |
5.00%, 10/15/2039 | | | 396,394 | | | | 421,949 | |
5.00%, 12/15/2039 | | | 616,734 | | | | 656,572 | |
5.00%, 02/15/2040 | | | 84,550 | | | | 90,839 | |
5.00%, 02/15/2040 | | | 84,550 | | | | 90,839 | |
5.00%, 06/15/2040 | | | 243,160 | | | | 258,809 | |
4.50%, 05/15/2041 | | | 640,645 | | | | 683,319 | |
5.00%, 09/15/2041 | | | 177,174 | | | | 186,349 | |
3.00%, 10/15/2042 | | | 222,335 | | | | 218,432 | |
3.00%, 12/15/2042 | | | 38,121 | | | | 37,452 | |
3.50%, 12/15/2042 | | | 13,140 | | | | 13,245 | |
3.50%, 01/15/2043 | | | 17,718 | | | | 17,858 | |
3.00%, 05/15/2043 | | | 129,196 | | | | 127,366 | |
3.00%, 06/15/2043 | | | 11,522 | | | | 11,359 | |
3.00%, 06/15/2043 | | | 11,290 | | | | 11,131 | |
3.50%, 10/15/2043 | | | 81,073 | | | | 81,769 | |
5.00%, 07/15/2044 | | | 227,676 | | | | 242,938 | |
4.50%, 09/15/2045 | | | 235,097 | | | | 248,677 | |
| | | | | | | | |
Ginnie Mae II Pool | | | | | | | | |
5.50%, 07/20/2036 | | | 123,493 | | | | 134,834 | |
5.00%, 07/01/2039 (5) | | | 16,645,000 | | | | 17,469,205 | |
5.50%, 01/20/2040 | | | 262,694 | | | | 282,032 | |
5.00%, 05/20/2040 | | | 245,982 | | | | 263,942 | |
5.00%, 06/20/2040 | | | 130,481 | | | | 141,452 | |
5.00%, 08/20/2040 | | | 100,046 | | | | 106,543 | |
5.00%, 09/20/2040 | | | 85,302 | | | | 91,308 | |
4.50%, 07/15/2041 (5) | | | 350,000 | | | | 363,788 | |
4.00%, 07/15/2042 (5) | | | 75,000 | | | | 76,850 | |
3.00%, 07/20/2042 | | | 486,866 | | | | 480,866 | |
3.50%, 08/20/2042 | | | 23,651 | | | | 23,925 | |
3.50%, 09/20/2042 | | | 4,059,980 | | | | 4,106,991 | |
2.50%, 10/20/2042 | | | 693,153 | | | | 664,933 | |
2.50%, 12/20/2042 | | | 2,815,311 | | | | 2,700,736 | |
3.50%, 12/20/2042 | | | 9,751 | | | | 9,863 | |
3.00%, 01/20/2043 | | | 738,570 | | | | 729,470 | |
3.50%, 02/20/2043 | | | 26,688 | | | | 26,997 | |
3.50%, 05/20/2043 | | | 12,655 | | | | 12,802 | |
3.50%, 09/20/2043 | | | 177,695 | | | | 179,752 | |
3.50%, 10/20/2044 | | | 606,769 | | | | 610,992 | |
3.50%, 10/20/2044 | | | 74,424 | | | | 74,798 | |
3.00%, 12/20/2044 | | | 806,252 | | | | 794,684 | |
3.50%, 12/20/2044 | | | 14,184 | | | | 14,276 | |
5.00%, 12/20/2044 | | | 354,405 | | | | 379,901 | |
3.50%, 03/20/2045 | | | 586,444 | | | | 589,984 | |
3.50%, 05/20/2045 | | | 21,487 | | | | 21,594 | |
5.50%, 06/20/2045 | | | 344,562 | | | | 370,833 | |
3.00%, 07/15/2045 (5) | | | 9,855,000 | | | | 9,638,459 | |
3.50%, 07/15/2045 (5) | | | 6,755,000 | | | | 6,778,748 | |
3.50%, 07/20/2045 | | | 777,732 | | | | 782,426 | |
3.50%, 10/20/2045 | | | 146,205 | | | | 146,955 | |
3.50%, 10/20/2045 | | | 106,523 | | | | 106,944 | |
3.00%, 01/20/2046 | | | 1,031,459 | | | | 1,015,580 | |
3.50%, 01/20/2046 | | | 2,900,658 | | | | 2,917,718 | |
4.50%, 01/20/2046 | | | 954,982 | | | | 1,005,080 | |
3.50%, 02/20/2046 | | | 1,761,973 | | | | 1,770,520 | |
3.50%, 02/20/2046 | | | 853,481 | | | | 859,483 | |
3.50%, 03/20/2046 | | | 2,823,492 | | | | 2,839,664 | |
3.00%, 04/20/2046 | | | 781,474 | | | | 768,779 | |
| | | | | | | | |
3.50%, 04/20/2046 | | | 1,039,762 | | | | 1,045,397 | |
3.00%, 05/20/2046 | | | 41,617 | | | | 40,818 | |
3.00%, 05/20/2046 | | | 104,151 | | | | 102,237 | |
3.50%, 05/20/2046 | | | 15,501 | | | | 15,577 | |
3.50%, 05/20/2046 | | | 101,821 | | | | 102,315 | |
3.50%, 05/20/2046 | | | 24,058 | | | | 24,175 | |
4.00%, 05/20/2046 | | | 1,668,935 | | | | 1,720,229 | |
3.00%, 06/20/2046 | | | 210,481 | | | | 206,318 | |
3.50%, 06/20/2046 | | | 124,646 | | | | 125,253 | |
3.50%, 06/20/2046 | | | 729,571 | | | | 733,187 | |
3.00%, 07/20/2046 | | | 262,556 | | | | 257,540 | |
3.00%, 07/20/2046 | | | 182,739 | | | | 179,251 | |
3.00%, 07/20/2046 | | | 62,749 | | | | 61,545 | |
3.00%, 07/20/2046 | | | 356,015 | | | | 349,204 | |
3.00%, 07/20/2046 | | | 101,716 | | | | 99,846 | |
3.00%, 07/20/2046 | | | 189,903 | | | | 186,270 | |
3.00%, 08/20/2046 | | | 134,088 | | | | 131,531 | |
3.00%, 08/20/2046 | | | 3,621,930 | | | | 3,554,504 | |
3.00%, 08/20/2046 | | | 151,268 | | | | 148,487 | |
3.00%, 08/20/2046 | | | 84,568 | | | | 82,903 | |
3.00%, 09/20/2046 | | | 83,618 | | | | 81,972 | |
3.00%, 09/20/2046 | | | 86,486 | | | | 84,832 | |
3.00%, 09/20/2046 | | | 3,250,990 | | | | 3,191,542 | |
3.50%, 09/20/2046 | | | 1,844,505 | | | | 1,853,084 | |
2.50%, 10/20/2046 | | | 319,690 | | | | 303,398 | |
3.00%, 10/20/2046 | | | 3,497,715 | | | | 3,430,618 | |
3.00%, 11/20/2046 | | | 1,223,058 | | | | 1,199,249 | |
3.00%, 12/20/2046 | | | 8,633,386 | | | | 8,462,873 | |
3.50%, 12/20/2046 | | | 6,810,086 | | | | 6,840,216 | |
3.50%, 01/20/2047 | | | 9,148,888 | | | | 9,189,367 | |
3.00%, 03/20/2047 | | | 2,086,190 | | | | 2,045,741 | |
3.00%, 04/20/2047 | | | 4,044,685 | | | | 3,963,259 | |
3.50%, 04/20/2047 | | | 4,634,605 | | | | 4,655,110 | |
4.00%, 04/20/2047 | | | 5,849,872 | | | | 6,005,041 | |
3.50%, 05/20/2047 | | | 617,109 | | | | 619,840 | |
4.00%, 05/20/2047 | | | 7,715,016 | | | | 7,919,712 | |
4.50%, 05/20/2047 | | | 12,101,957 | | | | 12,642,122 | |
3.50%, 06/20/2047 | | | 3,701,160 | | | | 3,717,536 | |
4.50%, 06/20/2047 | | | 16,423,812 | | | | 17,077,769 | |
5.00%, 06/20/2047 | | | 8,420,388 | | | | 8,861,493 | |
| | | | | | | | |
3.00%, 07/20/2047 | | | 1,476,174 | | | | 1,445,679 | |
4.00%, 07/20/2047 | | | 1,882,729 | | | | 1,937,697 | |
4.50%, 07/20/2047 | | | 1,936,044 | | | | 2,013,040 | |
5.00%, 07/20/2047 | | | 1,216,593 | | | | 1,277,704 | |
3.50%, 08/20/2047 | | | 9,429,128 | | | | 9,470,847 | |
4.00%, 08/20/2047 | | | 3,428,040 | | | | 3,515,739 | |
4.50%, 08/20/2047 | | | 8,521,038 | | | | 8,859,916 | |
5.00%, 08/20/2047 | | | 835,071 | | | | 878,429 | |
3.00%, 09/20/2047 | | | 25,722,627 | | | | 25,180,762 | |
3.50%, 09/20/2047 | | | 8,732,349 | | | | 8,770,984 | |
4.50%, 09/20/2047 | | | 10,505,350 | | | | 10,923,144 | |
5.00%, 09/20/2047 | | | 8,781,551 | | | | 9,222,660 | |
3.50%, 10/20/2047 | | | 1,998,755 | | | | 2,007,598 | |
5.00%, 10/20/2047 | | | 860,669 | | | | 903,966 | |
5.50%, 10/20/2047 | | | 1,651,384 | | | | 1,745,543 | |
4.00%, 11/20/2047 | | | 5,870,795 | | | | 6,020,986 | |
4.50%, 11/20/2047 | | | 2,072,702 | | | | 2,155,133 | |
5.00%, 11/20/2047 | | | 1,752,306 | | | | 1,840,400 | |
4.00%, 12/20/2047 | | | 5,742,904 | | | | 5,889,823 | |
5.00%, 12/20/2047 | | | 3,536,587 | | | | 3,714,235 | |
3.00%, 01/20/2048 | | | 4,837,287 | | | | 4,734,138 | |
4.50%, 01/20/2048 | | | 1,737,739 | | | | 1,807,420 | |
5.00%, 01/20/2048 | | | 4,893,221 | | | | 5,140,308 | |
5.00%, 02/20/2048 | | | 4,687,817 | | | | 4,923,785 | |
5.00%, 04/20/2048 | | | 3,002,626 | | | | 3,153,452 | |
3.00%, 05/20/2048 | | | 10,352,421 | | | | 10,132,861 | |
4.50%, 05/20/2048 | | | 12,782,888 | | | | 13,291,258 | |
3.50%, 06/20/2048 | | | 17,335,000 | | | | 17,411,697 | |
Government National Mortgage Association | | | | | | | | |
3.50%, 03/20/2039 IO | | | 1,147,108 | | | | 93,479 | |
3.50%, 05/20/2043 IO | | | 315,790 | | | | 67,364 | |
3.00%, 11/20/2047 | | | 1,553,670 | | | | 1,550,704 | |
3.00%, 12/20/2047 | | | 1,108,675 | | | | 1,095,505 | |
Great Wolf Trust 2017-WOLF | | | | | | | | |
3.07% (1 Month LIBOR USD + 0.85%, 1.00% Floor), 09/15/2034 (1)(2) | | | 3,170,000 | | | | 3,172,947 | |
3.27% (1 Month LIBOR USD + 1.10%, 1.10% Floor), 09/15/2034 (1)(2) | | | 1,625,000 | | | | 1,625,498 | |
GS Mortgage Securities Co. Trust 2012-SHOP | | | | | | | | |
2.93%, 06/05/2031 (1) | | | 3,540,000 | | | | 3,543,925 | |
GS Mortgage Securities Trust 2011-GC3 | | | | | | | | |
5.83%, 03/10/2044 (1)(4) | | | 340,000 | | | | 345,964 | |
| | | | | | | | |
GS Mortgage Securities Trust 2011-GC5 | | | | | | | | |
5.56%, 08/10/2044 (1)(4) | | | 220,000 | | | | 214,123 | |
GS Mortgage Securities Trust 2013-GC16 | | | | | | | | |
5.16%, 11/10/2046 (4) | | | 7,561,000 | | | | 8,032,051 | |
GS Mortgage Securities Trust 2014-GC18 | | | | | | | | |
4.38%, 01/10/2047 | | | 905,000 | | | | 928,123 | |
GS Mortgage Securities Trust 2014-GC26 | | | | | | | | |
3.63%, 11/10/2047 | | | 930,000 | | | | 933,040 | |
GS Mortgage Securities Trust 2014-GSFL | | | | | | | | |
5.34% (1 Month LIBOR USD + 5.95%, 5.95% Floor), 07/15/2031 (1)(2) | | | 2,200,000 | | | | 2,201,295 | |
GS Mortgage Securities Trust 2015-GC34 | | | | | | | | |
3.51%, 10/10/2048 | | | 540,000 | | | | 535,957 | |
3.91%, 10/10/2048 | | | 170,000 | | | | 169,571 | |
GSCCRE Commercial Mortgage Trust 2015-HULA | | | | | | | | |
6.47% (1 Month LIBOR USD + 4.40%), 08/15/2032 (1)(2) | | | 1,936,000 | | | | 1,941,305 | |
HarborView Mortgage Loan Trust 2005-9 | | | | | | | | |
2.53% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 11.00% Cap), 06/20/2035 (2) | | | 9,823,071 | | | | 9,792,961 | |
HarborView Mortgage Loan Trust 2006-10 | | | | | | | | |
2.28% (1 Month LIBOR USD + 0.20%, 0.20% Floor), 11/19/2036 (2) | | | 12,487,619 | | | | 10,971,731 | |
HarborView Mortgage Loan Trust 2007-6 | | | | | | | | |
2.28% (1 Month LIBOR USD + 0.20%, 10.50% Cap), 08/19/2037 (2) | | | 11,211,290 | | | | 10,372,585 | |
Hilton Orlando Trust 2018-ORL | | | | | | | | |
2.84% (1 Month LIBOR USD + 0.77%), 12/15/2034 (1)(2) | | | 2,085,000 | | | | 2,082,373 | |
3.12% (1 Month LIBOR USD + 1.05%), 12/15/2034 (1)(2) | | | 350,000 | | | | 349,668 | |
Holmes Master Issuer Plc | | | | | | | | |
2.71% (3 Month LIBOR USD + 0.36%), 10/15/2054 (1)(2) | | | 1,110,000 | | | | 1,109,358 | |
Hospitality Mortgage Trust | | | | | | | | |
2.88% (1 Month LIBOR USD + 0.85%), 05/08/2030 (1)(2) | | | 510,000 | | | | 510,022 | |
3.21% (1 Month LIBOR USD + 1.18%), 05/08/2030 (1)(2) | | | 405,000 | | | | 405,012 | |
Hudsons Bay Simon JV Trust 2015-HBS | | | | | | | | |
4.15%, 08/05/2034 (1) | | | 2,725,000 | | | | 2,677,108 | |
Impac CMB Trust Series 2004-7 | | | | | | | | |
2.73% (1 Month LIBOR USD + 0.64%, 11.25% Cap), 11/25/2034 (2) | | | 8,369,674 | | | | 8,342,126 | |
Independence Plaza Trust 2018-INDP | | | | | | | | |
3.91%, 07/10/2035 (1) | | | 2,780,000 | | | | 2,781,702 | |
IndyMac INDX Mortgage Loan Trust 2007-AR15 | | | | | | | | |
3.73%, 08/25/2037 (4) | | | 6,191,054 | | | | 5,454,022 | |
InTown Hotel Portfolio Trust 2018-STAY | | | | | | | | |
3.12% (1 Month LIBOR USD + 1.05%, 1.05% Floor), 01/15/2033 (1)(2) | | | 430,000 | | | | 429,455 | |
| | | | | | | | |
JP Morgan Chase Commercial Mortgage Securities Trust 2005-CIBC13 | | | | | | | | |
5.77%, 01/12/2043 (4) | | | 2,167,129 | | | | 2,196,245 | |
JP Morgan Chase Commercial Mortgage Securities Trust 2010-CNTR | | | | | | | | |
4.31%, 08/05/2032 (1) | | | 1,574,654 | | | | 1,598,892 | |
JP Morgan Chase Commercial Mortgage Securities Trust 2012-HSBC | | | | | | | | |
3.09%, 07/05/2032 (1) | | | 2,540,596 | | | | 2,527,148 | |
JP Morgan Chase Commercial Mortgage Securities Trust 2015-SGP | | | | | | | | |
4.82% (1 Month LIBOR USD + 2.75%, 2.75% Floor), 07/15/2036 (1)(2) | | | 250,000 | | | | 251,177 | |
6.57% (1 Month LIBOR USD + 4.50%, 4.50% Floor), 07/15/2036 (1)(2) | | | 887,000 | | | | 894,790 | |
JP Morgan Chase Commercial Mortgage Securities Trust 2015-UES | | | | | | | | |
3.74%, 09/05/2032 (1)(4) | | | 590,000 | | | | 581,644 | |
JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP3 | | | | | | | | |
3.40%, 08/15/2049 (4) | | | 565,000 | | | | 535,835 | |
JP Morgan Chase Commercial Mortgage Securities Trust 2016-NINE | | | | | | | | |
2.95%, 10/06/2038 (1)(4) | | | 1,200,000 | | | | 1,129,414 | |
2.95%, 10/06/2038 (1)(4) | | | 910,000 | | | | 839,564 | |
JP Morgan Chase Commercial Mortgage Securities Trust 2016-WIKI | | | | | | | | |
3.55%, 10/05/2031 (1) | | | 394,000 | | | | 387,782 | |
4.14%, 10/05/2031 (1)(4) | | | 602,000 | | | | 591,236 | |
JP Morgan Resecuritization Trust Series 2014-6 | | | | | | | | |
2.17% (1 Month LIBOR USD + 0.21%, 0.21% Floor), 07/27/2046 (1)(2) | | | 1,595,292 | | | | 1,586,245 | |
JP Morgan Seasoned Mortgage Trust 2010-1 | | | | | | | | |
3.47%, 03/25/2050 (1)(4) | | | 14,776,057 | | | | 13,604,333 | |
JPMBB Commercial Mortgage Securities Trust 2014-C22 | | | | | | | | |
3.80%, 09/15/2047 | | | 1,945,000 | | | | 1,973,586 | |
JPMBB Commercial Mortgage Securities Trust 2015-C28 | | | | | | | | |
3.99%, 10/15/2048 | | | 1,200,000 | | | | 1,183,316 | |
JPMBB Commercial Mortgage Securities Trust 2015-C30 | | | | | | | | |
3.82%, 07/15/2048 | | | 2,780,000 | | | | 2,814,127 | |
JPMBB Commercial Mortgage Securities Trust 2015-C31 | | | | | | | | |
3.80%, 08/15/2048 | | | 5,065,000 | | | | 5,118,054 | |
JPMCC COML MTG SEC TR 2016-JP2 A-S | | | | | | | | |
0.00%, 08/17/2049 | | | 1,903,000 | | | | 1,793,380 | |
JPMCC COML MTG SEC TR 2017-JP5 A-S | | | | | | | | |
0.00%, 03/17/2050 | | | 4,990,000 | | | | 4,977,827 | |
JPMDB Commercial Mortgage Securities Trust 2016-C4 | | | | | | | | |
3.38%, 12/15/2049 | | | 4,040,000 | | | | 3,883,300 | |
JPMDB Commercial Mortgage Securities Trust 2017-C5 | | | | | | | | |
4.51%, 03/15/2050 (4) | | | 2,365,000 | | | | 2,351,620 | |
JPMDB Commercial Mortgage Securities Trust 2018-C8 | | | | | | | | |
4.75%, 06/15/2051 (4) | | | 1,474,000 | | | | 1,498,724 | |
| | | | | | | | |
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-HB1 | | | | | | | | |
3.57%, 04/25/2029 (4) | | | 1,046,776 | | | | 1,036,063 | |
Mill City Mortgage Loan Trust 2016-1 | | | | | | | | |
2.50%, 04/25/2057 (1)(4) | | | 374,833 | | | | 367,761 | |
Mill City Mortgage Loan Trust 2017-2 | | | | | | | | |
2.75%, 07/25/2059 (1)(4) | | | 704,550 | | | | 693,614 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C17 | | | | | | | | |
3.74%, 08/15/2047 | | | 974,000 | | | | 982,892 | |
4.46%, 08/15/2047 (4) | | | 1,655,000 | | | | 1,665,610 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18 | | | | | | | | |
4.00%, 08/15/2031 | | | 310,000 | | | | 309,002 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C22 | | | | | | | | |
3.31%, 04/15/2048 | | | 965,000 | | | | 946,445 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24 | | | | | | | | |
4.04%, 05/15/2048 (4) | | | 190,000 | | | | 191,581 | |
4.50%, 05/15/2048 (4) | | | 85,000 | | | | 85,536 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2016-C28 | | | | | | | | |
4.75%, 01/15/2049 (4) | | | 2,033,000 | | | | 2,033,268 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2016-C30 | | | | | | | | |
2.86%, 09/15/2049 | | | 3,220,000 | | | | 3,027,766 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34 | | | | | | | | |
4.33%, 11/15/2052 (4) | | | 845,000 | | | | 813,227 | |
Morgan Stanley Capital I Trust 2017-H1 | | | | | | | | |
3.53%, 06/15/2050 | | | 2,750,000 | | | | 2,708,143 | |
4.28%, 06/15/2050 (4) | | | 555,000 | | | | 541,207 | |
Morgan Stanley Capital I, Inc. | | | | | | | | |
2.92% (1 Month LIBOR USD + 0.85%, 0.85% Floor), 11/15/2034 (1)(2) | | | 1,890,000 | | | | 1,888,213 | |
3.27% (1 Month LIBOR USD + 1.20%, 1.20% Floor), 11/15/2034 (1)(2) | | | 2,830,000 | | | | 2,827,325 | |
Morgan Stanley Resecuritization Trust 2013-R10 | | | | | | | | |
3.56%, 01/26/2051 (1)(4) | | | 547,260 | | | | 545,992 | |
Motel 6 Trust 2017-MTL6 | | | | | | | | |
2.99% (1 Month LIBOR USD + 0.92%, 0.92% Floor), 08/15/2034 (1)(2) | | | 8,505,800 | | | | 8,503,123 | |
3.26% (1 Month LIBOR USD + 1.19%, 1.19% Floor), 08/15/2034 (1)(2) | | | 7,528,122 | | | | 7,528,103 | |
4.22% (1 Month LIBOR USD + 2.15%, 2.15% Floor), 08/15/2034 (1)(2) | | | 782,142 | | | | 783,611 | |
Nomura Resecuritization Trust 2015-7R | | | | | | | | |
3.60%, 08/26/2036 (1)(4) | | | 1,128,395 | | | | 1,116,993 | |
One Market Plaza Trust 2017-1MKT | | | | | | | | |
3.61%, 02/10/2032 (1) | | | 1,980,000 | | | | 1,975,514 | |
Palisades Center Trust 2016-PLSD | | | | | | | | |
2.71%, 04/13/2033 (1) | | | 640,000 | | | | 625,344 | |
| | | | | | | | |
RBS Commercial Funding, Inc. 2013-GSP Trust | | | | | | | | |
3.96%, 01/13/2032 (1)(4) | | | 1,565,000 | | | | 1,584,981 | |
Resource Capital Corp. 2017-CRE5 Ltd. | | | | | | | | |
2.87% (1 Month LIBOR USD + 0.80%), 07/15/2034 (1)(2) | | | 11,441,801 | | | | 11,441,793 | |
4.07% (1 Month LIBOR USD + 2.00%), 07/15/2034 (1)(2) | | | 3,224,282 | | | | 3,216,354 | |
RETL 2018-RVP | | | | | | | | |
3.82% (1 Month LIBOR USD + 1.75%, 1.75% Floor), 03/15/2033 (1)(2) | | | 6,827,290 | | | | 6,862,930 | |
Rosslyn Portfolio Trust 2017-ROSS | | | | | | | | |
3.02% (1 Month LIBOR USD + 0.95%, 1.94% Floor), 06/15/2033 (1)(2) | | | 15,800,000 | | | | 15,805,195 | |
Seasoned Credit Risk Transfer Trust | | | | | | | | |
3.00%, 09/25/2055 (1)(4) | | | 375,000 | | | | 364,804 | |
Seasoned Credit Risk Transfer Trust Series 2017-2 | | | | | | | | |
4.00%, 08/25/2056 (1)(4) | | | 910,000 | | | | 895,318 | |
Sequoia Mortgage Trust 2003-2 | | | | | | | | |
2.74% (1 Month LIBOR USD + 0.66%, 0.33% Floor, 11.50% Cap), 06/20/2033 (2) | | | 892,479 | | | | 896,096 | |
Sequoia Mortgage Trust 2004-9 | | | | | | | | |
3.08% (6 Month LIBOR USD + 0.72%, 0.36% Floor, 11.50% Cap), 10/20/2034 (2) | | | 1,959,998 | | | | 1,899,307 | |
Sequoia Mortgage Trust 2013-4 | | | | | | | | |
3.49%, 04/25/2043 (4) | | | 2,883,512 | | | | 2,812,753 | |
Sequoia Mortgage Trust 2017-CH2 | | | | | | | | |
4.00%, 12/25/2047 (1)(4) | | | 2,578,514 | | | | 2,595,656 | |
Sequoia Mortgage Trust 2018-CH1 | | | | | | | | |
3.50%, 02/25/2048 (1)(4) | | | 807,631 | | | | 818,383 | |
Sequoia Mortgage Trust 2018-CH2 | | | | | | | | |
4.00%, 06/25/2048 (1)(4) | | | 2,519,311 | | | | 2,527,474 | |
SFAVE Commercial Mortgage Securities Trust 2015-5AVE | | | | | | | | |
3.87%, 01/05/2043 (1)(4) | | | 1,375,000 | | | | 1,301,187 | |
Southern Pacific Securities 06-1 Plc | | | | | | | | |
0.92% (3 Month LIBOR GBP + 0.30%), 03/10/2044 (2) | | GBP | 3,084,572 | | | | 4,049,114 | |
STACR Trust 2018-DNA2 | | | | | | | | |
2.86% (1 Month LIBOR USD + 0.80%), 12/25/2030 (1)(2) | | $ | 5,600,000 | | | | 5,599,992 | |
4.21% (1 Month LIBOR USD + 2.15%), 12/25/2030 (1)(2) | | | 2,760,000 | | | | 2,744,942 | |
Starwood Retail Property Trust 2014-STAR | | | | | | | | |
4.57% (1 Month LIBOR USD + 2.50%, 2.50% Floor), 11/15/2027 (1)(2) | | | 2,206,000 | | | | 2,182,631 | |
Structured Asset Mortgage Investments II Trust 2007-AR3 | | | | | | | | |
2.28% (1 Month LIBOR USD + 0.19%, 0.19% Floor, 10.50% Cap), 09/25/2047 (2) | | | 15,238,888 | | | | 14,643,687 | |
Sutherland Commercial Mortgage Loans 2017-SBC6 | | | | | | | | |
3.19%, 05/25/2037 (1)(4) | | | 11,156,453 | | | | 11,093,932 | |
Towd Point Mortgage Trust 2015-3 | | | | | | | | |
3.00%, 03/25/2054 (1)(4) | | | 255,453 | | | | 253,621 | |
| | | | | | | | |
Towd Point Mortgage Trust 2015-4 | | | | | | | | |
2.75%, 04/25/2055 (1)(4) | | | 330,824 | | | | 327,131 | |
Towd Point Mortgage Trust 2015-5 | | | | | | | | |
2.75%, 05/25/2055 (1)(4) | | | 307,344 | | | | 302,950 | |
Towd Point Mortgage Trust 2016-1 | | | | | | | | |
2.75%, 02/25/2055 (1)(4) | | | 267,682 | | | | 264,424 | |
3.00%, 02/25/2055 (1)(4) | | | 349,069 | | | | 344,492 | |
Towd Point Mortgage Trust 2016-2 | | | | | | | | |
2.75%, 08/25/2055 (1)(4) | | | 235,771 | | | | 231,310 | |
Towd Point Mortgage Trust 2016-3 | | | | | | | | |
2.25%, 04/25/2056 (1)(4) | | | 378,336 | | | | 369,539 | |
Towd Point Mortgage Trust 2016-4 | | | | | | | | |
2.25%, 07/25/2056 (1)(4) | | | 768,536 | | | | 748,283 | |
Towd Point Mortgage Trust 2016-5 | | | | | | | | |
2.50%, 10/25/2056 (1)(4) | | | 2,568,111 | | | | 2,508,015 | |
UBS Commercial Mortgage Trust 2018-C9 | | | | | | | | |
4.32%, 03/15/2051 (4) | | | 1,718,000 | | | | 1,756,041 | |
UBS-Barclays Commercial Mortgage Trust 2012-C2 | | | | | | | | |
5.05%, 05/10/2063 (1)(4)(13) | | | 1,135,000 | | | | 1,056,165 | |
5.05%, 05/10/2063 (1)(4)(13) | | | 2,750,000 | | | | 2,271,639 | |
Verus Securitization Trust 2018-1 | | | | | | | | |
2.93%, 02/25/2048 (1)(4) | | | 1,096,180 | | | | 1,087,038 | |
Verus Securitization Trust 2018-INV1 | | | | | | | | |
3.63%, 03/25/2058 (1)(4) | | | 1,279,384 | | | | 1,280,661 | |
VNDO 2012-6AVE Mortgage Trust | | | | | | | | |
3.00%, 11/15/2030 (1) | | | 2,755,000 | | | | 2,715,589 | |
Wachovia Bank Commercial Mortgage Trust Series 2006-C29 | | | | | | | | |
5.44%, 11/15/2048 (4) | | | 13,786,907 | | | | 13,924,776 | |
Wachovia Bank Commercial Mortgage Trust Series 2007-C31 | | | | | | | | |
5.66%, 04/15/2047 (4) | | | 9,015,470 | | | | 9,049,197 | |
Wachovia Bank Commercial Mortgage Trust Series 2007-C32 | | | | | | | | |
6.06%, 06/15/2049 (4) | | | 4,793,570 | | | | 4,841,506 | |
Wachovia Bank Commercial Mortgage Trust Series 2007-C33 | | | | | | | | |
6.21%, 02/15/2051 (4)(13) | | | 10,139,578 | | | | 10,088,880 | |
Wachovia Bank Commercial Mortgage Trust Series 2007-C34 | | | | | | | | |
6.31%, 05/15/2046 (4) | | | 286,894 | | | | 291,728 | |
WaMu Mortgage Pass-Through Certificates Series 2005-AR11 Trust | | | | | | | | |
2.41% (1 Month LIBOR USD + 0.32%, 0.32% Floor, 10.50% Cap), 08/25/2045 (2) | | | 4,414,080 | | | | 4,415,230 | |
WaMu Mortgage Pass-Through Certificates Series 2005-AR13 Trust | | | | | | | | |
2.38% (1 Month LIBOR USD + 0.29%, 0.29% Floor, 10.50% Cap), 10/25/2045 (2) | | | 2,667,402 | | | | 2,667,841 | |
| | | | | | | | |
WaMu Mortgage Pass-Through Certificates Series 2005-AR15 Trust | | | | | | | | |
2.35% (1 Month LIBOR USD + 0.26%, 0.26% Floor, 10.50% Cap), 11/25/2045 (2) | | | 3,716,484 | | | | 3,675,756 | |
WaMu Mortgage Pass-Through Certificates Series 2005-AR2 Trust | | | | | | | | |
2.42% (1 Month LIBOR USD + 0.33%, 0.33% Floor, 10.50% Cap), 01/25/2045 (2) | | | 6,810,897 | | | | 6,769,039 | |
WaMu Mortgage Pass-Through Certificates Series 2007-HY1 Trust | | | | | | | | |
3.47%, 02/25/2037 (4) | | | 13,489,110 | | | | 12,967,376 | |
WaMu Mortgage Pass-Through Certificates Series 2007-OA5 Trust | | | | | | | | |
2.31% (12 Month U.S. Treasury Average + 0.75%, 0.75% Floor), 06/25/2047 (2) | | | 11,209,450 | | | | 10,995,658 | |
Wells Fargo Commercial Mortgage Trust 2015-C30 | | | | | | | | |
3.66%, 09/15/2058 | | | 1,280,000 | | | | 1,283,291 | |
Wells Fargo Commercial Mortgage Trust 2015-C31 | | | | | | | | |
3.70%, 11/15/2048 | | | 2,875,000 | | | | 2,877,266 | |
Wells Fargo Commercial Mortgage Trust 2016-C33 | | | | | | | | |
3.16%, 03/15/2059 | | | 1,225,000 | | | | 1,185,993 | |
4.51%, 03/15/2059 (4) | | | 4,317,000 | | | | 4,440,109 | |
Wells Fargo Commercial Mortgage Trust 2016-C34 | | | | | | | | |
3.10%, 06/15/2049 | | | 1,135,000 | | | | 1,089,921 | |
Wells Fargo Commercial Mortgage Trust 2016-C35 | | | | | | | | |
3.18%, 07/15/2048 | | | 3,155,000 | | | | 3,004,576 | |
Wells Fargo Commercial Mortgage Trust 2016-LC24 | | | | | | | | |
3.37%, 10/15/2049 | | | 7,433,705 | | | | 7,167,005 | |
Wells Fargo Commercial Mortgage Trust 2017-C38 | | | | | | | | |
3.45%, 07/15/2050 | | | 1,695,000 | | | | 1,657,544 | |
3.67%, 07/15/2050 (4) | | | 1,315,000 | | | | 1,286,581 | |
Wells Fargo Commercial Mortgage Trust 2017-HSDB | | | | | | | | |
2.90% (1 Month LIBOR USD + 0.85%, 0.85% Floor), 12/13/2031 (1)(2) | | | 8,100,000 | | | | 8,097,039 | |
3.15% (1 Month LIBOR USD + 1.10%, 1.10% Floor), 12/13/2031 (1)(2) | | | 6,700,000 | | | | 6,703,889 | |
3.89% (1 Month LIBOR USD + 1.84%, 1.84% Floor), 12/13/2031 (1)(2) | | | 100,000 | | | | 99,832 | |
WFRBS Commercial Mortgage Trust 2011-C2 | | | | | | | | |
5.84%, 02/15/2044 (1)(4) | | | 2,130,000 | | | | 2,157,676 | |
WFRBS Commercial Mortgage Trust 2011-C5 | | | | | | | | |
5.86%, 11/15/2044 (1)(4) | | | 115,000 | | | | 117,031 | |
WFRBS Commercial Mortgage Trust 2012-C7 | | | | | | | | |
4.98%, 06/15/2045 (1)(4) | | | 690,000 | | | | 562,146 | |
WFRBS Commercial Mortgage Trust 2014-C19 | | | | | | | | |
4.72%, 03/15/2047 (4) | | | 329,000 | | | | 339,427 | |
WFRBS Commercial Mortgage Trust 2014-C22 | | | | | | | | |
4.07%, 09/15/2057 (4) | | | 4,250,000 | | | | 4,313,304 | |
Worldwide Plaza Trust 2017-WWP | | | | | | | | |
3.53%, 11/10/2036 (1) | | | 1,740,000 | | | | 1,700,963 | |
3.72%, 11/10/2036 (1)(4) | | | 320,000 | | | | 307,422 | |
| | | | | | | | |
Total Mortgage-Backed Obligations | | | | | | $ | 2,377,429,400 | |
| | | | | | | | |
Total Bonds & Notes (Cost $10,469,421,392) | | | | | | $ | 10,359,254,556 | |
| | | | | | | | |
| | | | | | | | |
BANK LOANS - 2.17% | | | | | | | | |
ABG Intermediate Holdings 2 LLC | | | | | | | | |
5.85% (LIBOR USD), 09/29/2024 (2) | | $ | 705,000 | | | $ | 702,060 | |
Air Medical Group Holdings, Inc. | | | | | | | | |
6.34% (1 Month LIBOR + 4.25%), 03/14/2025 (2) | | | 199,500 | | | | 196,424 | |
Alliant Holdings Intermediate LLC | | | | | | | | |
5.05% (1 Month LIBOR + 3.00%), 05/09/2025 (2) | | | 2,760,000 | | | | 2,739,300 | |
Altice Financing SA | | | | | | | | |
5.10% (3 Month LIBOR + 2.75%), 07/15/2025 (2) | | | 2,806,650 | | | | 2,759,414 | |
5.10% (3 Month LIBOR + 2.75%), 02/02/2026 (2) | | | 47,435 | | | | 46,428 | |
Altice U.S. Finance I Corp. | | | | | | | | |
4.34% (1 Month LIBOR + 2.25%), 07/28/2025 (2) | | | 4,394,062 | | | | 4,358,382 | |
American Axle & Manufacturing, Inc. | | | | | | | | |
4.35% (1 Month LIBOR + 2.25%), 04/08/2024 (2) | | | 3,225,726 | | | | 3,208,242 | |
Amneal Pharmaceuticals LLC | | | | | | | | |
5.63% (2 Month LIBOR + 3.50%), 05/05/2025 (2) | | | 1,254,710 | | | | 1,251,184 | |
Ancestry.com Operations, Inc. | | | | | | | | |
5.35% (1 Month LIBOR + 3.25%), 10/19/2023 (2) | | | 3,840,434 | | | | 3,831,793 | |
Aramark Services, Inc. | | | | | | | | |
4.08% (3 Month LIBOR + 1.75%), 03/28/2024 (2) | | | 2,763,213 | | | | 2,759,759 | |
4.08% (3 Month LIBOR + 1.75%), 03/11/2025 (2) | | | 199,500 | | | | 199,127 | |
Argon Medical Devices, Inc. | | | | | | | | |
5.84% (1 Month LIBOR + 3.75%), 01/23/2025 (2) | | | 910,000 | | | | 911,711 | |
Asurion LLC | | | | | | | | |
4.84% (1 Month LIBOR + 2.75%), 08/04/2022 (2) | | | 3,881,493 | | | | 3,871,789 | |
4.84% (1 Month LIBOR + 2.75%), 11/03/2023 (2) | | | 448,048 | | | | 446,928 | |
8.09% (1 Month LIBOR + 6.00%), 08/04/2025 (2) | | | 2,485,000 | | | | 2,519,169 | |
Asurion T/L B7 | | | | | | | | |
0.00%, 11/30/2024 (13) | | | 2,080,000 | | | | 2,069,605 | |
Avantor, Inc. | | | | | | | | |
5.98% (1 Month LIBOR + 4.00%), 11/21/2024 (2) | | | 209,200 | | | | 210,072 | |
Avolon TLB Borrower 1 U.S. LLC | | | | | | | | |
4.09% (1 Month LIBOR + 2.00%), 01/15/2025 (2) | | | 4,196,046 | | | | 4,141,833 | |
Axalta Coating Systems U.S. Holdings, Inc. | | | | | | | | |
4.08% (3 Month LIBOR + 1.75%), 05/31/2024 (2) | | | 80,000 | | | | 79,500 | |
| | | | | | | | |
Beacon Roofing Supply, Inc. | | | | | | | | |
4.28% (1 Month LIBOR + 2.25%), 01/02/2025 (2) | | | 120,000 | | | | 119,150 | |
Brand Energy & Infrastructure Services, Inc. | | | | | | | | |
6.61% (3 Month LIBOR + 4.25%), 06/21/2024 (2) | | | 2,332,432 | | | | 2,334,181 | |
Brookfield Retail Holdings VII Sub 3 LLC | | | | | | | | |
4.84% (LIBOR USD), 05/07/2025 (2) | | | 2,350,000 | | | | 2,305,937 | |
BWAY Holding Co. | | | | | | | | |
5.59% (3 Month LIBOR + 3.25%), 04/03/2024 (2) | | | 4,177,500 | | | | 4,152,059 | |
Caesars Resort Collection LLC | | | | | | | | |
4.84% (1 Month LIBOR + 2.75%), 12/23/2024 (2) | | | 5,144,750 | | | | 5,124,634 | |
California Resources Corp. | | | | | | | | |
6.84% (1 Month LIBOR + 4.75%), 12/30/2022 (2) | | | 100,000 | | | | 101,688 | |
CenturyLink, Inc. | | | | | | | | |
4.84% (1 Month LIBOR + 2.75%), 01/31/2025 (2) | | | 4,040,200 | | | | 3,954,346 | |
CEOC LLC | | | | | | | | |
4.09% (1 Month LIBOR + 2.00%), 10/04/2024 (2) | | | 99,750 | | | | 98,919 | |
Change Healthcare Holdings LLC | | | | | | | | |
4.84% (1 Month LIBOR + 2.75%), 03/01/2024 (2) | | | 3,979,800 | | | | 3,964,239 | |
Charter Communications Operating LLC | | | | | | | | |
4.10% (1 Month LIBOR + 2.00%), 04/30/2025 (2) | | | 7,121,250 | | | | 7,105,654 | |
CHI Doors Holdings Corp. | | | | | | | | |
5.34% (1 Month LIBOR + 3.25%), 07/29/2022 (2) | | | 2,396,678 | | | | 2,401,663 | |
Chobani LLC | | | | | | | | |
5.59% (1 Month LIBOR + 3.50%), 10/09/2023 (2) | | | 2,295,750 | | | | 2,295,750 | |
CHS/Community Health Systems, Inc. | | | | | | | | |
5.31% (3 Month LIBOR + 3.00%), 12/31/2019 (2) | | | 3,238,571 | | | | 3,231,997 | |
5.56% (3 Month LIBOR + 3.25%), 01/27/2021 (2) | | | 2,708,571 | | | | 2,641,209 | |
Colorado Buyer, Inc. | | | | | | | | |
5.36% (3 Month LIBOR + 3.00%), 05/01/2024 (2) | | | 1,116,563 | | | | 1,114,329 | |
Columbus McKinnon Corp./NY | | | | | | | | |
4.80% (3 Month LIBOR + 2.50%), 01/31/2024 (2) | | | 185,622 | | | | 184,230 | |
CommScope, Inc. | | | | | | | | |
4.09% (1 Month LIBOR + 2.00%), 12/29/2022 (2) | | | 3,557,910 | | | | 3,566,805 | |
Core & Main Gp, LLC | | | | | | | | |
5.30% (3 Month LIBOR + 3.00%), 08/01/2024 (2) | | | 99,500 | | | | 99,376 | |
Crown Americas LLC | | | | | | | | |
4.31% (3 Month LIBOR + 2.00%), 04/03/2025 (2) | | | 150,000 | | | | 149,937 | |
CSC Holdings LLC | | | | | | | | |
4.32% (1 Month LIBOR + 2.25%), 07/17/2025 (2) | | | 4,011,252 | | | | 3,981,168 | |
4.57% (1 Month LIBOR + 2.50%), 01/26/2026 (2) | | | 300,000 | | | | 298,749 | |
| | | | | | | | |
Dell International LLC | | | | | | | | |
4.10% (1 Month LIBOR + 2.00%), 09/07/2023 (2) | | | 99,500 | | | | 98,941 | |
Delta 2 Lux Sarl | | | | | | | | |
4.59% (1 Month LIBOR + 2.50%), 02/01/2024 (2) | | | 1,025,000 | | | | 1,010,271 | |
Drillship Kithira Owners, Inc. | | | | | | | | |
8.00%, 09/20/2024 | | | 1,196,120 | | | | 1,253,690 | |
Dubai World Corp. | | | | | | | | |
2.00% cash or 1.75% PIK, 09/30/2022 | | | 3,693,583 | | | | 3,470,121 | |
Duff & Phelps LLC | | | | | | | | |
5.58% (3 Month LIBOR + 3.25%), 02/13/2025 (2) | | | 2,340,000 | | | | 2,327,809 | |
Edelman Financial T/L B (06/18) | | | | | | | | |
5.55%, 06/26/2025 | | | 905,000 | | | | 903,308 | |
Encapsys LLC | | | | | | | | |
5.34% (1 Month LIBOR + 3.25%), 11/07/2024 (2) | | | 565,000 | | | | 565,000 | |
Energizer Holdings T/L B | | | | | | | | |
4.58%, 06/20/2025 | | | 2,025,000 | | | | 2,024,149 | |
Energizer Holdings, Inc. | | | | | | | | |
7.35%, 05/18/2019 (13) | | | 600,000 | | | | 595,500 | |
Envision Healthcare Corp. | | | | | | | | |
5.10% (1 Month LIBOR + 3.00%), 12/01/2023 (2) | | | 961,964 | | | | 959,964 | |
ExamWorks Group, Inc. | | | | | | | | |
5.34% (1 Month LIBOR + 3.25%), 07/27/2023 (2) | | | 1,333,534 | | | | 1,332,974 | |
Exgen Renewables IV LLC | | | | | | | | |
5.31% (3 Month LIBOR + 3.00%), 11/29/2024 (2) | | | 657,069 | | | | 658,711 | |
Filtration Group Corp. | | | | | | | | |
5.30% (1 Month LIBOR + 3.00%), 03/31/2025 (2) | | | 3,115,000 | | | | 3,111,885 | |
Financial + Risk U.S. Holdings I | | | | | | | | |
6.25%, 02/06/2019 (13) | | | 1,400,000 | | | | 1,389,500 | |
First Data Corp. | | | | | | | | |
4.09% (1 Month LIBOR + 2.00%), 07/08/2022 (2) | | | 2,411,813 | | | | 2,399,754 | |
4.09% (1 Month LIBOR + 2.00%), 04/26/2024 (2) | | | 1,370,000 | | | | 1,360,944 | |
Flex Acquisition Co., Inc. | | | | | | | | |
5.31% (3 Month LIBOR + 3.00%), 12/29/2023 (2) | | | 816,750 | | | | 812,536 | |
Gentiva Health Services, Inc. | | | | | | | | |
6.07% (LIBOR USD), 06/21/2025 (2) | | | 1,265,000 | | | | 1,255,513 | |
Genworth Holdings, Inc. | | | | | | | | |
6.55% (1 Month LIBOR + 4.50%), 02/28/2023 (2) | | | 50,000 | | | | 50,875 | |
GO DADDY T/L B | | | | | | | | |
4.34% (1 Month LIBOR + 2.25%), 02/15/2024 (2) | | | 2,044,844 | | | | 2,032,800 | |
Gopher Resource LLC | | | | | | | | |
5.34% (1 Month LIBOR + 3.25%), 03/06/2025 (2) | | | 155,000 | | | | 155,000 | |
| | | | | | | | |
GTT Communications, Inc. | | | | | | | | |
4.88% (2 Month LIBOR + 2.75%), 06/02/2025 (2) | | | 200,000 | | | | 196,850 | |
HB Fuller Co. | | | | | | | | |
4.08% (1 Month LIBOR + 2.00%), 10/21/2024 (2) | | | 1,127,042 | | | | 1,117,180 | |
HCA, Inc. | | | | | | | | |
4.09% (1 Month LIBOR + 2.00%), 03/13/2025 (2) | | | 3,260,645 | | | | 3,267,590 | |
Hilton Worldwide Finance LLC | | | | | | | | |
3.84% (1 Month LIBOR + 1.75%), 10/25/2023 (2) | | | 8,365,730 | | | | 8,362,216 | |
HUB International Ltd. | | | | | | | | |
5.36% (3 Month LIBOR + 3.00%), 04/25/2025 (2) | | | 2,120,000 | | | | 2,105,966 | |
Hyland Software, Inc. | | | | | | | | |
5.34% (1 Month LIBOR + 3.25%), 07/01/2022 (2) | | | 1,270,376 | | | | 1,271,697 | |
iHeartCommunications, Inc. | | | | | | | | |
9.05% (3 Month LIBOR + 6.75%), 01/30/2019 (2)(10) | | | 5,610,000 | | | | 4,267,807 | |
9.80% (3 Month LIBOR + 7.50%), 07/30/2019 (2)(10) | | | 2,000,000 | | | | 1,520,460 | |
Intelsat Jackson Holdings SA | | | | | | | | |
5.72% (1 Month LIBOR + 3.75%), 11/30/2023 (2) | | | 420,000 | | | | 418,618 | |
6.60% (1 Month LIBOR + 4.50%), 01/02/2024 (2) | | | 1,315,000 | | | | 1,363,077 | |
IRB Holding Corp. | | | | | | | | |
5.25% (1 Month LIBOR + 3.25%), 02/05/2025 (2) | | | 100,000 | | | | 100,083 | |
iStar Financial T/L B | | | | | | | | |
5.01%, 10/01/2021 | | | 1,285,000 | | | | 1,281,787 | |
KFC Holding Co. | | | | | | | | |
3.84% (1 Month LIBOR + 1.75%), 04/03/2025 (2) | | | 7,343,568 | | | | 7,265,580 | |
Kloeckner Pentaplast of America, Inc. | | | | | | | | |
4.75% (3 Month EURIBOR + 4.75%), 06/30/2022 (2) | | EUR | 100,000 | | | | 110,260 | |
6.34% (1 Month LIBOR + 4.25%), 06/30/2022 (2) | | $ | 1,400,506 | | | | 1,338,142 | |
Kronos, Inc./MA | | | | | | | | |
5.36% (3 Month LIBOR + 3.00%), 11/01/2023 (2) | | | 3,624,102 | | | | 3,614,390 | |
Las Vegas Sands LLC | | | | | | | | |
4.08% (LIBOR USD), 03/27/2025 (2) | | | 1,546,125 | | | | 1,534,251 | |
Level 3 Financing, Inc. | | | | | | | | |
4.33% (1 Month LIBOR + 2.25%), 02/22/2024 (2) | | | 12,025,000 | | | | 11,979,906 | |
MacDonald Dettwiler & Associates Ltd. | | | | | | | | |
4.74% (1 Month LIBOR + 2.75%), 10/04/2024 (2) | | | 2,508,713 | | | | 2,496,796 | |
McDermott Technology Americas, Inc. | | | | | | | | |
7.09% (1 Month LIBOR + 5.00%), 05/12/2025 (2) | | | 3,080,000 | | | | 3,091,550 | |
Medplast Holdings T/L | | | | | | | | |
6.05%, 06/26/2025 | | | 570,000 | | | | 568,934 | |
| | | | | | | | |
Meredith Corp. | | | | | | | | |
5.09% (1 Month LIBOR + 3.00%), 01/31/2025 (2) | | | 100,000 | | | | 99,875 | |
Micro Holdings Corp. | | | | | | | | |
5.84% (1 Month LIBOR + 3.75%), 09/13/2024 (2) | | | 1,502,450 | | | | 1,500,993 | |
Microchip Technology, Inc. | | | | | | | | |
4.10% (1 Month LIBOR + 2.00%), 05/29/2025 (2) | | | 560,000 | | | | 558,835 | |
Mission Broadcasting, Inc. | | | | | | | | |
4.48% (1 Month LIBOR + 2.50%), 01/17/2024 (2) | | | 278,428 | | | | 277,868 | |
MPH Acquisition Holdings LLC | | | | | | | | |
5.08% (3 Month LIBOR + 2.75%), 06/07/2023 (2) | | | 2,269,646 | | | | 2,255,097 | |
Multi-Color Corp. | | | | | | | | |
4.34% (1 Month LIBOR + 2.25%), 10/31/2024 (2) | | | 46,883 | | | | 46,804 | |
Nature’s Bounty Co. | | | | | | | | |
5.59% (1 Month LIBOR + 3.50%), 09/26/2024 (2) | | | 99,500 | | | | 92,435 | |
NEP/NCP Holdco, Inc. | | | | | | | | |
5.34% (1 Month LIBOR + 3.25%), 07/21/2022 (2) | | | 2,680,439 | | | | 2,665,911 | |
Nexstar Media Group, Inc. | | | | | | | | |
4.48% (1 Month LIBOR + 2.50%), 01/17/2024 (2) | | | 2,143,895 | | | | 2,139,586 | |
PAREXEL International | | | | | | | | |
4.84% (1 Month LIBOR + 2.75%), 09/27/2024 (2) | | | 1,119,375 | | | | 1,112,379 | |
PetSmart, Inc. | | | | | | | | |
5.01% (1 Month LIBOR + 3.00%), 03/11/2022 (2) | | | 780,000 | | | | 643,204 | |
PharMerica Corp. | | | | | | | | |
5.55% (1 Month LIBOR + 3.50%), 12/06/2024 (2) | | | 975,000 | | | | 972,865 | |
Pisces Midco, Inc. | | | | | | | | |
6.09% (3 Month LIBOR + 3.75%), 04/12/2025 (2) | | | 600,000 | | | | 598,128 | |
Post Holdings, Inc. | | | | | | | | |
4.10% (1 Month LIBOR + 2.00%), 05/24/2024 (2) | | | 1,747,350 | | | | 1,735,573 | |
PQ Corp. | | | | | | | | |
4.59% (1 Month LIBOR + 2.50%), 02/08/2025 (2) | | | 2,672,275 | | | | 2,658,914 | |
Project Deep Blue Holdings LLC | | | | | | | | |
5.31% (1 Month LIBOR + 3.25%), 02/12/2025 (2) | | | 50,000 | | | | 49,750 | |
Reynolds Group Holdings, Inc. | | | | | | | | |
4.84% (1 Month LIBOR + 2.75%), 02/06/2023 (2) | | | 1,910,327 | | | | 1,904,749 | |
SBA Senior Finance II LLC | | | | | | | | |
4.33% (LIBOR USD), 04/11/2025 (2) | | | 1,600,000 | | | | 1,588,000 | |
Scientific Games International, Inc. | | | | | | | | |
4.92% (2 Month LIBOR + 2.75%), 08/14/2024 (2) | | | 3,571,170 | | | | 3,544,387 | |
Sequa Mezzanine Holdings LLC | | | | | | | | |
7.05% (1 Month LIBOR + 5.00%), 11/26/2021 (2) | | | 5,210,625 | | | | 5,217,138 | |
Sigma Bidco BV | | | | | | | | |
3.50% (EURIBOR), 03/07/2025 (2) | | EUR | 1,000,000 | | | | 1,142,986 | |
| | | | | | | | |
Sinclair Television Group, Inc. | | | | | | | | |
4.86% (LIBOR USD), 01/31/2025 (2) | | $ | 1,000,000 | | | | 995,630 | |
Sprint Communications, Inc. | | | | | | | | |
4.86% (LIBOR USD), 02/02/2024 (2) | | | 750,000 | | | | 745,935 | |
SS&C European Holdings Sarl | | | | | | | | |
4.59% (1 Month LIBOR + 2.50%), 04/16/2025 (2) | | | 877,274 | | | | 876,783 | |
SS&C Technologies, Inc. | | | | | | | | |
4.59% (1 Month LIBOR + 2.50%), 04/16/2025 (2) | | | 2,322,984 | | | | 2,321,683 | |
StandardAero Aviation Holdings, Inc. | | | | | | | | |
5.84% (1 Month LIBOR + 3.75%), 07/07/2022 (2) | | | 2,218,622 | | | | 2,219,554 | |
Station Casinos LLC | | | | | | | | |
4.60% (1 Month LIBOR + 2.50%), 06/08/2023 (2) | | | 1,220,000 | | | | 1,214,242 | |
Syniverse Holdings, Inc. | | | | | | | | |
7.05% (1 Month LIBOR + 5.00%), 03/09/2023 (2) | | | 100,000 | | | | 99,792 | |
Tanzania (REP OF) Term Loan | | | | | | | | |
7.26%, 12/10/2019 (13) | | | 400,000 | | | | 400,000 | |
Tenaska Co. | | | | | | | | |
5.84% (1 Month LIBOR + 3.75%), 10/02/2023 (2) | | | 1,705,333 | | | | 1,702,485 | |
TEX Operations Company LLC | | | | | | | | |
4.09% (1 Month LIBOR + 2.00%), 08/04/2023 (2) | | | 2,722,013 | | | | 2,700,754 | |
Trans Union T/L B4 | | | | | | | | |
4.36%, 06/30/2025 | | | 2,470,000 | | | | 2,460,737 | |
Traverse Midstream Partners LLC | | | | | | | | |
6.34% (3 Month LIBOR + 4.00%), 09/27/2024 (2) | | | 90,741 | | | | 90,627 | |
Tronox Ltd. | | | | | | | | |
5.09% (1 Month LIBOR + 3.00%), 09/23/2024 (2) | | | 104,390 | | | | 104,285 | |
5.09% (1 Month LIBOR + 3.00%), 09/23/2024 (2) | | | 45,235 | | | | 45,190 | |
Uber Technologies T/L B | | | | | | | | |
5.55% (1 Month LIBOR + 3.50%), 07/13/2023 (2) | | | 2,683,876 | | | | 2,685,567 | |
Uber Technologies, Inc. | | | | | | | | |
6.00% (1 Month LIBOR + 4.00%), 04/04/2025 (2) | | | 1,035,000 | | | | 1,037,153 | |
UnityMedia Finance LLC | | | | | | | | |
4.32% (1 Month LIBOR + 2.25%), 01/15/2026 (2) | | | 200,000 | | | | 198,286 | |
UnityMedia Finance T/L E | | | | | | | | |
4.07%, 05/24/2023 | | | 1,500,000 | | | | 1,488,435 | |
Unitymedia Hessen GmbH & Co. KG | | | | | | | | |
2.75% (6 Month EURIBOR + 2.75%), 01/15/2027 (2) | | EUR | 700,000 | | | | 810,987 | |
Valeant Pharmaceuticals International, Inc. | | | | | | | | |
4.98% (1 Month LIBOR + 3.00%), 06/02/2025 (2) | | $ | 2,195,707 | | | | 2,186,792 | |
| | | | | | | | |
Vantiv LLC | | | | | | | | |
3.79% (1 Month LIBOR + 1.75%), 08/09/2024 (2) | | | 1,025,000 | | | | 1,019,690 | |
Veritas US, Inc. | | | | | | | | |
6.59% (1 Month LIBOR + 4.50%), 01/27/2023 (2) | | | 792,000 | | | | 723,888 | |
Virgin Media SFA Finance Ltd. | | | | | | | | |
3.76% (1 Month GB LIBOR + 3.25%), 01/15/2027 (2) | | GBP | 200,000 | | | | 261,062 | |
Vistra Operations Co. LLC | | | | | | | | |
4.33% (LIBOR USD), 12/01/2025 (2) | | $ | 1,325,000 | | | | 1,315,433 | |
Wand Merger Corp. | | | | | | | | |
7.34% (LIBOR USD), 04/27/2019 (2)(13) | | | 1,100,000 | | | | 1,087,625 | |
7.84% (LIBOR USD), 04/27/2019 (2)(13) | | | 1,100,000 | | | | 1,087,625 | |
West Corp. | | | | | | | | |
6.09% (1 Month LIBOR + 4.00%), 10/10/2024 (2) | | | 77,653 | | | | 77,303 | |
WideOpenWest Finance LLC | | | | | | | | |
5.34% (1 Month LIBOR + 3.25%), 08/18/2023 (2) | | | 992,257 | | | | 945,125 | |
Wink Holdco, Inc. | | | | | | | | |
5.09% (1 Month LIBOR + 3.00%), 12/02/2024 (2) | | | 2,177,400 | | | | 2,161,744 | |
WR Grace & Co. | | | | | | | | |
4.08% (3 Month LIBOR + 1.75%), 04/03/2025 (2) | | | 152,895 | | | | 152,289 | |
4.08% (3 Month LIBOR + 1.75%), 04/03/2025 (2) | | | 262,105 | | | | 261,068 | |
Wrangler Co. | | | | | | | | |
4.84% (1 Month LIBOR + 2.75%), 09/27/2024 (2) | | | 2,924,188 | | | | 2,915,415 | |
Wyndham Hotels & Resorts, Inc. | | | | | | | | |
3.73% (1 Month LIBOR + 1.75%), 05/30/2025 (2) | | | 200,000 | | | | 199,500 | |
Zayo Group LLC | | | | | | | | |
4.09% (1 Month LIBOR + 2.00%), 01/19/2021 (2) | | | 1,611,720 | | | | 1,607,949 | |
4.34% (1 Month LIBOR + 2.25%), 01/19/2024 (2) | | | 785,000 | | | | 783,885 | |
| | | | | | | | |
Total Bank Loans (Cost $242,113,955) | | | | | | $ | 240,361,120 | |
| | | | | | | | |
| | |
| | | Shares | | | Value | |
COMMON STOCKS - 0.03% | | | | | | | | |
Communications - 0.00% (11) | | | | | | | | |
T-Mobile USA, Inc. Escrow (6)(13) | | | 1,053,000 | | | $ | 2,016 | |
T-Mobile USA, Inc. Escrow (6)(13) | | | 658,000 | | | | 1,354 | |
T-Mobile USA, Inc. Escrow (6)(13) | | | 1,200,000 | | | | 6,218 | |
| | | | | | | | |
| | | | | | | 9,588 | |
| | | | | | | | |
Consumer, Cyclical - 0.03% | | | | | | | | |
Caesars Entertainment Corp. (6) | | | 338,983 | | | | 3,627,118 | |
| | | | | | | | |
Total Common Stocks (Cost $4,048,657) | | | | | | $ | 3,636,706 | |
| | | | | | | | |
| | | | | | | | |
PREFERRED STOCKS - 0.12% | | | | | | | | |
Consumer, Non-cyclical - 0.07% | | | | | | | | |
Bunge Ltd., 4.88% | | | 68,719 | | | $ | 7,421,652 | |
| | | | | | | | |
Financials - 0.05% | | | | | | | | |
Wells Fargo & Co., 7.50% | | | 4,860 | | | | 6,120,976 | |
| | | | | | | | |
Total Preferred Stocks (Cost $13,479,468) | | | | | | $ | 13,542,628 | |
| | | | | | | | |
SHORT-TERM INVESTMENTS - 13.31% | | | | | | | | |
Money Market Funds - 5.20% | | | | | | | | |
Fidelity Institutional Money Market Government Fund - Class I, 1.77% (7)(12) | | | 287,509,767 | | | $ | 287,509,767 | |
Goldman Sachs Financial Square Government Fund - Class I, 1.81% (7)(12) | | | 287,509,766 | | | | 287,509,766 | |
| | | | | | | | |
| | | | | | | 575,019,533 | |
| | | | | | | | |
| | |
| | | Principal
Amount | | | Value | |
Banker’s Acceptance - 1.28% | | | | | | | | |
Bank N S Halifax, 1.39%, 07/05/2018 | | CAD | 13,590,000 | | | $ | 10,334,768 | |
Bank N S Halifax, 1.45%, 07/04/2018 | | | 11,900,000 | | | | 9,049,938 | |
Bank N S Halifax, 1.39%, 07/03/2018 | | | 21,140,000 | | | | 16,077,592 | |
BMO Bank of Montreal, 1.50%, 07/31/2018 | | | 11,800,000 | | | | 8,963,835 | |
BMO Bank of Montreal, 1.45%, 07/05/2018 | | | 4,000,000 | | | | 3,041,875 | |
BMO Bank of Montreal, 1.37%, 07/03/2018 | | | 33,920,000 | | | | 25,797,158 | |
HSBC Bank, 1.55%, 08/02/2018 | | | 1,950,000 | | | | 1,481,178 | |
HSBC Bank, 1.51%, 07/04/2018 | | | 23,800,000 | | | | 18,099,876 | |
National Bank, 1.36%, 07/03/2018 | | | 3,950,000 | | | | 3,004,091 | |
Royal Bank of Canada, 1.52%, 07/31/2018 | | | 15,750,000 | | | | 11,964,441 | |
Royal Bank of Canada, 1.47%, 07/04/2018 | | | 4,550,000 | | | | 3,460,271 | |
Royal Bank of Canada, 1.47%, 07/03/2018 | | | 8,500,000 | | | | 6,464,500 | |
Toronto-Dominion Bank, 1.47%, 07/05/2018 | | | 4,000,000 | | | | 3,041,874 | |
Toronto-Dominion Bank, 1.47%, 07/04/2018 | | | 2,750,000 | | | | 2,091,372 | |
Toronto-Dominion Bank, 1.37%, 07/03/2018 | | | 12,480,000 | | | | 9,491,407 | |
Toronto-Dominion Bank, 1.50%, 07/31/2018 | | | 11,800,000 | | | | 8,963,835 | |
| | | | | | | | |
| | | | | | | 141,328,011 | |
| | | | | | | | |
Commercial Paper - 2.33% | | | | | | | | |
AT&T, Inc., 2.61%, 09/06/2018 | | $ | 23,790,000 | | | | 23,672,632 | |
Boston Scientific Corp., 2.52%, 08/14/2018 | | | 13,800,000 | | | | 13,757,539 | |
Boston Scientific Corp., 2.16%, 07/10/2018 | | | 11,000,000 | | | | 10,992,370 | |
Catholic Health, 2.71%, 07/09/2018 | | | 2,150,000 | | | | 2,148,843 | |
Entergy Corp., 2.69%, 08/30/2018 | | | 11,600,000 | | | | 11,549,276 | |
| | | | | | | | |
Federal Home Loan Bank Discount Notes, 1.87%, 07/30/2018 | | | 2,500,000 | | | | 2,496,365 | |
Hitachi Cap Amer Corp., 2.19%, 07/13/2018 | | | 7,750,000 | | | | 7,743,125 | |
HP, Inc., 2.43%, 07/23/2018 | | | 13,800,000 | | | | 13,781,839 | |
Humana, Inc., 2.59%, 08/13/2018 | | | 11,500,000 | | | | 11,464,278 | |
Mckesson Corp., 2.17%, 07/16/2018 | | | 11,100,000 | | | | 11,087,955 | |
Mckesson Corp., 2.25%, 07/09/2018 | | | 23,050,000 | | | | 23,035,498 | |
Mondelez Itnl, Inc., 2.37%, 08/17/2018 | | | 23,790,000 | | | | 23,711,735 | |
Oncor Elec Delivery Co. LLC, 2.17%, 07/16/2018 | | | 14,600,000 | | | | 14,584,157 | |
Qualcomm, Inc., 2.25%, 07/24/2018 | | | 34,250,000 | | | | 34,201,170 | |
Rockwell Collins, Inc., 2.23%, 07/02/2018 | | | 13,500,000 | | | | 13,497,491 | |
Schlumberger Holdings Corp., 2.62%, 10/01/2018 | | | 13,800,000 | | | | 13,710,025 | |
Spectra Energy Partners LP, 2.38%, 07/16/2018 | | | 13,800,000 | | | | 13,785,025 | |
Spectra Energy Partners LP, 2.74%, 07/09/2018 | | | 1,000,000 | | | | 999,371 | |
Thomson Reuters Corp., 2.24%, 07/16/2018 | | | 11,600,000 | | | | 11,587,905 | |
| | | | | | | | |
| | | | | | | 257,806,599 | |
| | | | | | | | |
Foreign Treasury Bills - 1.00% | | | | | | | | |
Japan Treasury Discount Bill, 0.00%, 08/06/2018 | | JPY | 4,700,000,000 | | | | 42,456,348 | |
Japan Treasury Discount Bill, 0.00%, 08/27/2018 | | | 7,530,000,000 | | | | 68,025,591 | |
| | | | | | | | |
| | | | | | | 110,481,939 | |
| | | | | | | | |
Repurchase Agreements - 3.46% | | | | | | | | |
J.P. Morgan Securities, 2.19%, dated 06/28/2018, due 07/02/2018, repurchase price $15,328,707 (collateralized by U.S. Treasury Note value $158,888,028, 1.88%, 01/31/2022) | | $ | 157,300,000 | | | | 157,300,000 | |
Merrill Lynch Pierce Fenner & Smith, Inc., 2.10%, dated 06/29/2018, due 07/03/2018, repurchase price $188,010,967 (collateralized by U.S. Treasury Bond, value $190,258,755, 3.38%, 05/15/2044) | | | 188,000,000 | | | | 188,000,000 | |
Merrill Lynch Pierce Fenner & Smith, Inc., 2.18%, dated 06/28/2018, due 07/02/2018, repurchase price $6,001,090 (collateralized by U.S. Treasury Bond, value $6,086,257, 3.00%, 05/15/2045) | | | 6,000,000 | | | | 6,000,000 | |
Merrill Lynch Pierce Fenner & Smith, Inc., 2.22%, dated 06/29/2018, due 07/02/2018, repurchase price $32,005,920 (collateralized by U.S. Treasury Note, value $32,428,843, 2.50%, 05/15/2024) | | | 32,000,000 | | | | 32,000,000 | |
| | | | | | | | |
| | | | | | | 383,300,000 | |
| | | | | | | | |
U.S. Treasury Bills - 0.04% | | | | | | | | |
U.S. Treasury Bill, 0.00%, 09/13/2018 (9) | | | 4,302,000 | | | | 4,285,665 | |
| | | | | | | | |
Total Short-Term Investments (Cost $1,474,578,173) | | | | | | $ | 1,472,221,747 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES - 109.28%
(Cost $12,203,641,646) | | | | | | $ | 12,089,016,757 | |
LIABILITIES IN EXCESS OF OTHER ASSETS - (9.28)% | | | | | | | (1,026,479,026 | ) |
| | | | | | | | |
TOTAL NET ASSETS - 100.00% | | | | | | $ | 11,062,537,731 | |
| | | | | | | | |
Percentages are stated as a percent of net assets.
| (1) | Security was purchased exempt from registration in the U.S. pursuant to Rule 144(A) under the Securities Act of 1933. The value of these securities total $2,074,559,617, which represents 18.75% of total net assets. |
| (2) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2018. |
| (3) | Step-up bond. The rate reported is the rate in effect as of June 30, 2018. |
| (4) | Variable rate security. The coupon is based on an underlying pool of assets. The rate reported is the rate in effect as of June 30, 2018. |
| (5) | Delayed delivery purchase commitment security. The value of these securities total $209,925,204, which represents 1.90% of total net assets. |
| (6) | Non-income producing security. |
| (7) | Represents annualized seven-day yield as of the close of the reporting period. |
| (8) | Inflation protected security. The value of these securities total $89,969,369, which represents 0.81% of total net assets. |
| (9) | Partially assigned as collateral for certain future and swap contracts. The value of these pledged issues totals $32,639,265, which represents 0.30% of total net assets. |
| (10) | Security is in default as of June 30, 2018. The value of these securities total $38,810,008, which represents 0.35% of total net assets. |
| (11) | Amount calculated is less than 0.005%. |
| (12) | Partially assigned as collateral for certain delayed delivery securities. |
| (13) | Security is categorized as Level 3 per the Trust’s fair value hierarchy. These securities represent $52,011,620 or 0.47% of the Fund’s net assets. |
| (14) | All or a portion of U.S. Treasuries purchased in a sale-buyback transaction. The value of these securities total $489,101,086, which represents 4.42% of total net assets. Cash collateral pledged for these securities totaled $3,830,000. |
Open Futures Contracts
| | | | | | | | | | | | | | | | | | |
Number of Contracts Purchased | | Reference Entity | | Counterparty | | Settlement
Month | | Notional Amount | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
408 | | Australian 10 Year Note Future | | Goldman Sachs | | Sept. 2018 | | AUD | 52,067,590 | | | $ | 39,059,517 | | | $ | 526,895 | |
1,640 | | U.S. 2 Year Note Future | | Citigroup Global Markets | | Sept. 2018 | | $ | 347,176,756 | | | | 347,398,126 | | | | 221,370 | |
1,316 | | U.S. 2 Year Note Future | | Goldman Sachs | | Sept. 2018 | | | 278,732,960 | | | | 278,765,814 | | | | 32,854 | |
2,539 | | U.S. 5 Year Note Future | | Citigroup Global Markets | | Sept. 2018 | | | 287,215,807 | | | | 288,474,040 | | | | 1,258,233 | |
3,344 | | U.S. 10 Year Note Future | | Goldman Sachs | | Sept. 2018 | | | 400,803,011 | | | | 401,907,000 | | | | 1,103,989 | |
776 | | U.S. Long Bond Future | | Goldman Sachs | | Sept. 2018 | | | 121,484,782 | | | | 123,820,500 | | | | 2,335,718 | |
3 | | U.S. Ultra Bond Future | | Citigroup Global Markets | | Sept. 2018 | | | 470,725 | | | | 478,687 | | | | 7,962 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | $ | 5,487,021 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | |
Number of Contracts Sold | | Reference Entity | | Counterparty | | Settlement
Month | | Notional Amount | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
(295) | | Euro-Bobl Future | | Citigroup Global Markets | | Sept. 2018 | | EUR | (38,795,016) | | | $ | (45,532,751 | ) | | $ | (227,877 | ) |
(83) | | U.S. 5 Year Note Future | | Goldman Sachs | | Sept. 2018 | | $ | (9,411,953 | ) | | | (9,430,227 | ) | | | (18,274 | ) |
(621) | | U.S. 10 Year Note Future | | Goldman Sachs | | Sept. 2018 | | | (74,299,892 | ) | | | (74,636,438 | ) | | | (336,546 | ) |
(681) | | U.S. Ultra 10 Year Note Future | | Goldman Sachs | | Sept. 2018 | | | (87,127,656 | ) | | | (87,327,609 | ) | | | (199,953 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | $ | (782,650 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | $ | 4,704,371 | |
| | | | | | | | | | | | | | | | | | |
Over-the-Counter Forward Foreign Currency Exchange Contracts
| | | | | | | | | | | | | | | | | | |
Currency Purchased | | | Currency Sold | | | Settlement Date | | Counterparty | | Unrealized
Appreciation /
(Depreciation) | |
| AUD | | | 1,820,000 | | | USD | | | 1,345,587 | | | 07/03/18 | | J.P. Morgan | | $ | 1,299 | |
| CAD | | | 46,200,000 | | | USD | | | 34,790,107 | | | 08/15/18 | | Morgan Stanley | | | 381,724 | |
| EUR | | | 116,024,359 | | | USD | | | 134,992,726 | | | 07/03/18 | | J.P. Morgan | | | 538,214 | |
| EUR | | | 1,116,244 | | | USD | | | 1,302,240 | | | 08/24/18 | | Citigroup Global Markets | | | 6,936 | |
| EUR | | | 375,100 | | | USD | | | 436,806 | | | 08/24/18 | | J.P. Morgan | | | 3,127 | |
| EUR | | | 6,956,896 | | | USD | | | 8,136,326 | | | 08/24/18 | | Morgan Stanley | | | 23,006 | |
| USD | | | 27,423,108 | | | AUD | | | 36,125,000 | | | 07/03/18 | | J.P. Morgan | | | 688,914 | |
| USD | | | 3,039,685 | | | BRL* | | | 10,582,000 | | | 08/02/18 | | J.P. Morgan | | | 320,472 | |
| USD | | | 1,526,412 | | | BRL* | | | 5,291,000 | | | 08/02/18 | | Morgan Stanley | | | 166,805 | |
| USD | | | 153,799,286 | | | CAD | | | 197,940,000 | | | 08/15/18 | | J.P. Morgan | | | 3,108,544 | |
| USD | | | 36,753,034 | | | CAD | | | 47,545,000 | | | 08/15/18 | | Morgan Stanley | | | 557,261 | |
| USD | | | 2,021,138 | | | CHF | | | 1,979,000 | | | 08/15/18 | | J.P. Morgan | | | 14,455 | |
| USD | | | 1,277,924 | | | CLP | | | 791,418,000 | | | 07/06/18 | | J.P. Morgan | | | 66,647 | |
| USD | | | 2,906,669 | | | CLP | | | 1,849,077,289 | | | 07/06/18 | | Morgan Stanley | | | 76,629 | |
| USD | | | 4,075,106 | | | CLP | | | 2,623,942,000 | | | 10/05/18 | | J.P. Morgan | | | 59,650 | |
| USD | | | 6,193,478 | | | COP* | | | 17,440,214,000 | | | 08/03/18 | | Goldman Sachs | | | 252,720 | |
| USD | | | 1,881,994 | | | COP* | | | 5,499,336,000 | | | 08/03/18 | | J.P. Morgan | | | 8,724 | |
| USD | | | 127,467 | | | EUR | | | 103,641 | | | 07/24/18 | | J.P. Morgan | | | 6,209 | |
| USD | | | 6,488,951 | | | EUR | | | 5,385,000 | | | 08/24/18 | | Citigroup Global Markets | | | 173,203 | |
| USD | | | 6,077,302 | | | EUR | | | 5,108,171 | | | 08/24/18 | | J.P. Morgan | | | 86,231 | |
| USD | | | 695,854 | | | EUR | | | 579,000 | | | 08/24/18 | | Merrill Lynch | | | 16,779 | |
| USD | | | 1,375,139 | | | EUR | | | 1,161,790 | | | 08/24/18 | | Morgan Stanley | | | 12,545 | |
| USD | | | 695,475 | | | EUR | | | 579,000 | | | 08/24/18 | | State Street | | | 16,400 | |
| USD | | | 137,104,935 | | | GBP | | | 102,831,000 | | | 07/03/18 | | J.P. Morgan | | | 1,370,823 | |
| USD | | | 4,642,660 | | | GBP | | | 3,499,000 | | | 07/03/18 | | Morgan Stanley | | | 24,076 | |
| USD | | | 20,871,759 | | | GBP | | | 14,811,957 | | | 07/20/18 | | J.P. Morgan | | | 1,304,683 | |
| USD | | | 2,665,308 | | | HUF | | | 670,085,000 | | | 07/13/18 | | HSBC | | | 286,997 | |
| USD | | | 2,668,014 | | | HUF | | | 670,085,000 | | | 07/13/18 | | Merrill Lynch | | | 289,703 | |
| USD | | | 19,715,637 | | | JPY | | | 2,144,100,000 | | | 07/03/18 | | J.P. Morgan | | | 344,644 | |
| USD | | | 19,469,782 | | | JPY | | | 2,144,100,000 | | | 08/02/18 | | Morgan Stanley | | | 58,352 | |
| USD | | | 43,065,036 | | | JPY | | | 4,700,000,000 | | | 08/06/18 | | J.P. Morgan | | | 501,586 | |
| USD | | | 69,381,738 | | | JPY | | | 7,530,000,000 | | | 08/27/18 | | J.P. Morgan | | | 1,085,230 | |
| USD | | | 905,676 | | | MXN | | | 17,722,000 | | | 08/24/18 | | Canadian Imperial Bank of Commerce | | | 21,483 | |
| USD | | | 1,816,332 | | | MXN | | | 35,443,000 | | | 08/24/18 | | Citigroup Global Markets | | | 47,996 | |
| USD | | | 907,336 | | | MXN | | | 17,722,000 | | | 08/24/18 | | Morgan Stanley | | | 23,143 | |
| USD | | | 14,313,047 | | | NZD | | | 20,586,000 | | | 08/15/18 | | J.P. Morgan | | | 369,652 | |
| USD | | | 9,065,323 | | | PEN* | | | 29,614,597 | | | 07/19/18 | | Morgan Stanley | | | 54,816 | |
| USD | | | 1,925,077 | | | RUB* | | | 120,777,576 | | | 07/10/18 | | Morgan Stanley | | | 4,153 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | Total Unrealized Appreciation | | | 12,373,831 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
ARS* | | | 17,398,570 | | | | USD | | | | 656,922 | | | | 07/12/18 | | | Deutsche Bank | | $ | (64,119 | ) |
AUD | | | 1,388,000 | | | | USD | | | | 1,045,502 | | | | 07/03/18 | | | Deutsche Bank | | | (18,317 | ) |
BRL* | | | 11,589,011 | | | | USD | | | | 2,992,334 | | | | 08/02/18 | | | Goldman Sachs | | | (14,354 | ) |
BRL* | | | 4,283,989 | | | | USD | | | | 1,107,088 | | | | 08/02/18 | | | J.P. Morgan | | | (6,249 | ) |
CAD | | | 55,000,000 | | | | USD | | | | 42,431,504 | | | | 08/15/18 | | | J.P. Morgan | | | (560,276 | ) |
CLP | | | 2,640,495,289 | | | | USD | | | | 4,100,474 | | | | 07/06/18 | | | J.P. Morgan | | | (59,157 | ) |
EUR | | | 1,030,949 | | | | USD | | | | 1,212,939 | | | | 08/24/18 | | | Royal Bank of Canada | | | (3,800 | ) |
GBP | | | 1,238,000 | | | | USD | | | | 1,663,176 | | | | 07/03/18 | | | J.P. Morgan | | | (29,050 | ) |
GBP | | | 764,000 | | | | USD | | | | 1,009,679 | | | | 07/03/18 | | | Morgan Stanley | | | (1,220 | ) |
GBP | | | 7,072,523 | | | | USD | | | | 9,612,082 | | | | 07/20/18 | | | Citigroup Global Markets | | | (269,050 | ) |
GBP | | | 7,739,434 | | | | USD | | | | 10,318,493 | | | | 07/20/18 | | | J.P. Morgan | | | (94,449 | ) |
HUF | | | 167,887,595 | | | | USD | | | | 595,982 | | | | 07/13/18 | | | Citigroup Global Markets | | | (104 | ) |
HUF | | | 409,262,008 | | | | USD | | | | 1,460,699 | | | | 07/13/18 | | | Merrill Lynch | | | (8,119 | ) |
IDR* | | | 1,475,948,000 | | | | USD | | | | 105,050 | | | | 09/19/18 | | | J.P. Morgan | | | (3,202 | ) |
INR* | | | 6,873,171 | | | | USD | | | | 100,286 | | | | 09/19/18 | | | J.P. Morgan | | | (956 | ) |
JPY | | | 2,144,100,000 | | | | USD | | | | 19,429,995 | | | | 07/03/18 | | | Morgan Stanley | | | (59,002 | ) |
MXN | | | 70,887,000 | | | | USD | | | | 3,573,168 | | | | 08/24/18 | | | HSBC | | | (36,446 | ) |
MXN | | | 393,752,000 | | | | USD | | | | 20,189,304 | | | | 08/27/18 | | | J.P. Morgan | | | (553,858 | ) |
RUB* | | | 120,777,576 | | | | USD | | | | 1,931,529 | | | | 07/10/18 | | | Morgan Stanley | | | (10,605 | ) |
RUB* | | | 423,890,857 | | | | USD | | | | 6,770,608 | | | | 09/13/18 | | | J.P. Morgan | | | (74,661 | ) |
RUB* | | | 997,881,405 | | | | USD | | | | 15,844,795 | | | | 09/13/18 | | | Morgan Stanley | | | (81,866 | ) |
RUB* | | | 120,777,576 | | | | USD | | | | 1,906,389 | | | | 10/15/18 | | | Morgan Stanley | | | (4,262 | ) |
TRY | | | 150,642,928 | | | | USD | | | | 32,886,077 | | | | 08/20/18 | | | Deutsche Bank | | | (842,894 | ) |
USD | | | 29,931,327 | | | | CAD | | | | 39,350,000 | | | | 07/31/18 | | | J.P. Morgan | | | (17,710 | ) |
USD | | | 1,482,970 | | | | CAD | | | | 1,950,000 | | | | 08/02/18 | | | J.P. Morgan | | | (1,215 | ) |
USD | | | 32,139,931 | | | | CHF | | | | 31,823,000 | | | | 08/15/18 | | | Deutsche Bank | | | (128,213 | ) |
USD | | | 4,256,056 | | | | EUR | | | | 3,666,000 | | | | 07/03/18 | | | J.P. Morgan | | | (26,290 | ) |
USD | | | 131,090,183 | | | | EUR | | | | 112,358,359 | | | | 07/03/18 | | | Morgan Stanley | | | (158,411 | ) |
USD | | | 135,918,107 | | | | EUR | | | | 116,571,359 | | | | 08/02/18 | | | J.P. Morgan | | | (563,242 | ) |
USD | | | 137,096,173 | | | | GBP | | | | 104,328,000 | | | | 08/02/18 | | | Morgan Stanley | | | (809,276 | ) |
USD | | | 210,503 | | | | MXN | | | | 4,408,000 | | | | 08/27/18 | | | Deutsche Bank | | | (9,313 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | Total Unrealized Depreciation | | | (4,509,686 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | Net Unrealized Appreciation | | $ | 7,864,145 | |
| | | | | | | | | | | | | | | | | | | | | | |
| * | Non-deliverable forward (See Note 3). |
| | | | | | |
| ARS | | Argentine Peso | | HUF | | Hungarian Forint |
| AUD | | Australian Dollar | | IDR | | Indonesian Rupiah |
| BRL | | Brazilian Real | | INR | | Indian Rupee |
| CAD | | Canadian Dollar | | JPY | | Japanese Yen |
| CHF | | Swiss Franc | | MXN | | Mexican Peso |
| CLP | | Chilean Peso | | NZD | | New Zealand Dollar |
| COP | | Columbian Peso | | PEN | | Peruvian Sol |
| EUR | | Euro | | RUB | | Russian Ruble |
| GBP | | British Pound | | TRY | | Turkish Lira |
Centrally Cleared Credit Default Swaps - Buy Protection
| | | | | | | | | | | | | | | | | | | | | | | | |
Reference Entity | | Fixed Annual
Rate Paid
by Fund | | Maturity
Date | | Implied Credit
Spread at
June 30, 2018 | | | Notional
Amount | | | Upfront Premium
Paid/(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Value | |
CDX HY CDSI S30 | | 5.00% | | 06/20/2023 | | | 3.28 | % | | $ | 49,500,000 | | | $ | (3,257,473 | ) | | $ | 369,998 | | | $ | (2,887,475 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | $ | 49,500,000 | | | $ | (3,257,473 | ) | | $ | 369,998 | | | $ | (2,887,475 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Centrally Cleared Credit Default Swaps - Sell Protection
| | | | | | | | | | | | | | | | | | | | | | | | |
Reference Entity | | Fixed Annual
Rate Received
by Fund | | Maturity
Date | | Implied Credit
Spread at
June 30, 2018 | | | Notional
Amount | | | Upfront Premium
Paid/(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Value | |
Ally Financial, Inc. | | 5.00% | | 06/20/2022 | | | 1.02 | % | | $ | 2,750,000 | | | $ | 305,522 | | | $ | 96,574 | | | $ | 402,096 | |
CDX.EM.28 | | 1.00% | | 12/20/2022 | | | 1.70 | % | | | 9,894,000 | | | | (352,256 | ) | | | 84,998 | | | | (267,258 | ) |
CDX.EM.29 | | 1.00% | | 06/20/2023 | | | 1.91 | % | | | 13,400,000 | | | | (256,571 | ) | | | (275,342 | ) | | | (531,913 | ) |
Deutsche Bank | | 1.00% | | 12/20/2018 | | | 1.02 | % | | | 10,700,000 | | | | 23,169 | | | | (24,430 | ) | | | (1,261 | ) |
Deutsche Bank | | 1.00% | | 06/20/2019 | | | 1.17 | % | | | 3,400,000 | | | | (9,777 | ) | | | 3,093 | | | | (6,684 | ) |
Navient Corporation | | 5.00% | | 12/20/2022 | | | 2.92 | % | | | 8,800,000 | | | | 544,024 | | | | 274,131 | | | | 818,155 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | $ | 48,944,000 | | | $ | 254,111 | | | $ | 159,024 | | | $ | 413,135 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Over-the-Counter Credit Default Swaps - Sell Protection
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Counterparty | | Reference Entity | | Fixed Annual
Rate Received
by Fund | | Maturity
Date | | Implied Credit
Spread at
June 30, 2018 | | | Notional
Amount | | | Upfront Premium
Paid/(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Value | |
Deutsche Bank | | CMBX.NA.AAA.10 | | 0.50% | | 11/17/2059 | | | 0.49 | % | | | 16,450,000 | | | | (279,074 | ) | | | 204,795 | | | | (74,279 | ) |
Deutsche Bank | | United Mexican
States | | 1.00% | | 12/20/2022 | | | 1.18 | % | | | 22,700,000 | | | | (60,498 | ) | | | (141,985 | ) | | | (202,483 | ) |
J.P. Morgan | | United Mexican
States | | 1.00% | | 12/20/2022 | | | 1.18 | % | | | 4,400,000 | | | | 4,571 | | | | (43,819 | ) | | | (39,248 | ) |
Morgan Stanley | | United Mexican
States | | 1.00% | | 12/20/2022 | | | 1.18 | % | | | 8,500,000 | | | | 8,830 | | | | (84,650 | ) | | | (75,820 | ) |
Goldman Sachs | | United Mexican
States | | 1.00% | | 06/20/2023 | | | 1.32 | % | | | 1,900,000 | | | | (17,075 | ) | | | (12,015 | ) | | | (29,090 | ) |
Goldman Sachs | | Russia Emerging
Markets SPMYC | | 1.00% | | 12/20/2022 | | | 1.30 | % | | | 1,500,000 | | | | (27,936 | ) | | | 7,745 | | | | (20,191 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | $ | 55,450,000 | | | $ | (371,182 | ) | | $ | (69,929 | ) | | $ | (441,111 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Centrally Cleared Interest Rate Swaps
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Fixed Annual
Rate | | Floating Rate Index | | Floating Rate Paid or
Received | | Payment
Frequency | | Maturity
Date | | | Notional Amount | | | Upfront Premium
Paid / (Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Value | |
| 3.00% | | 6 Month AUD BBSW | | Paid | | Semi-Annual | | | 03/21/2027 | | | AUD | 109,400,000 | | | $ | 767,350 | | | $ | 856,259 | | | $ | 1,623,609 | |
| 1.25% | | 6 Month EURIBOR | | Received | | Semi-Annual | | | 09/19/2028 | | | EUR | 16,100,000 | | | | (219,672 | ) | | | (392,998 | ) | | | (612,670 | ) |
| 1.50% | | 6 Month GBP LIBOR | | Received | | Semi-Annual | | | 09/19/2028 | | | GBP | 18,700,000 | | | | 418,335 | | | | (308,275 | ) | | | 110,060 | |
| 2.50% | | 3 Month LIBOR | | Paid | | Quarterly | | | 12/20/2024 | | | $ | 84,500,000 | | | | 1,379,419 | | | | (3,334,888 | ) | | | (1,955,469 | ) |
| 2.50% | | 3 Month LIBOR | | Paid | | Quarterly | | | 12/20/2027 | | | | 94,300,000 | | | | 2,131,299 | | | | (5,678,844 | ) | | | (3,547,545 | ) |
| 2.50% | | 3 Month LIBOR | | Paid | | Quarterly | | | 12/20/2027 | | | | 46,000,000 | | | | 698,999 | | | | (2,308,499 | ) | | | (1,609,500 | ) |
| 7.88% | | Mexico Interbank TIIE 28 Day | | Paid | | Lunar | | | 12/16/2022 | | | MXN | 2,000,000 | | | | — | | | | (29 | ) | | | (29 | ) |
| 7.87% | | Mexico Interbank TIIE 28 Day | | Paid | | Lunar | | | 12/27/2022 | | | | 3,400,000 | | | | — | | | | (101 | ) | | | (101 | ) |
| 7.88% | | Mexico Interbank TIIE 28 Day | | Paid | | Lunar | | | 12/27/2022 | | | | 36,000,000 | | | | 14,608 | | | | (14,631 | ) | | | (23 | ) |
| 7.75% | | Mexico Interbank TIIE 28 Day | | Paid | | Lunar | | | 01/05/2023 | | | | 1,400,000 | | | | — | | | | (376 | ) | | | (376 | ) |
| 7.61% | | Mexico Interbank TIIE 28 Day | | Paid | | Lunar | | | 01/23/2023 | | | | 5,100,000 | | | | (1,960 | ) | | | (741 | ) | | | (2,701 | ) |
| 7.81% | | Mexico Interbank TIIE 28 Day | | Paid | | Lunar | | | 02/06/2023 | | | | 2,800,000 | | | | — | | | | (415 | ) | | | (415 | ) |
| 7.82% | | Mexico Interbank TIIE 28 Day | | Paid | | Lunar | | | 02/06/2023 | | | | 2,800,000 | | | | (537 | ) | | | 205 | | | | (332 | ) |
| 7.15% | | Mexico Interbank TIIE 28 Day | | Paid | | Lunar | | | 06/11/2027 | | | | 25,800,000 | | | | (21,648 | ) | | | (52,306 | ) | | | (73,954 | ) |
| 7.37% | | Mexico Interbank TIIE 28 Day | | Paid | | Lunar | | | 10/11/2027 | | | | 40,300,000 | | | | (2,350 | ) | | | (87,971 | ) | | | (90,321 | ) |
| 7.98% | | Mexico Interbank TIIE 28 Day | | Received | | Lunar | | | 12/10/2027 | | | | 3,300,000 | | | | (26 | ) | | | 541 | | | | 515 | |
| 7.99% | | Mexico Interbank TIIE 28 Day | | Received | | Lunar | | | 12/21/2027 | | | | 100,000 | | | | — | | | | 14 | | | | 14 | |
| 8.01% | | Mexico Interbank TIIE 28 Day | | Received | | Lunar | | | 12/21/2027 | | | | 20,200,000 | | | | (10,517 | ) | | | 12,221 | | | | 1,704 | |
| 7.91% | | Mexico Interbank TIIE 28 Day | | Received | | Lunar | | | 12/30/2027 | | | | 800,000 | | | | — | | | | 340 | | | | 340 | |
| 8.03% | | Mexico Interbank TIIE 28 Day | | Received | | Lunar | | | 01/31/2028 | | | | 1,600,000 | | | | 15 | | | | 13 | | | | 28 | |
| 8.05% | | Mexico Interbank TIIE 28 Day | | Received | | Lunar | | | 01/31/2028 | | | | 2,400,000 | | | | 718 | | | | (845 | ) | | | (127 | ) |
| 7.38% | | Mexico Interbank TIIE 28 Day | | Received | | Lunar | | | 08/14/2037 | | | | 1,300,000 | | | | 5,028 | | | | 1,070 | | | | 6,098 | |
| 7.36% | | Mexico Interbank TIIE 28 Day | | Received | | Lunar | | | 08/21/2037 | | | | 900,000 | | | | 3,559 | | | | 760 | | | | 4,319 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | $ | 5,162,620 | | | $ | (11,309,496 | ) | | $ | (6,146,876 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Over-the-Counter Total Return Swap Contracts - Purchased
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Counterparty | | Reference Entity | | Floating Rate Paid by Fund | | Payment Fequency | | Maturity
Date | | | Notional
Amount | | | Upfront
Premium
Paid | | | Unrealized
Appreciation /
(Depreciation) | | | Value | |
J.P. Morgan | | IBOXX USD Liquid High Yield Index Series 1 | | 3-Month LIBOR Paid | | Quarterly | | | 09/20/2018 | | | $ | 20,000,000 | | | $ | — | | | $ | (139,210 | ) | | $ | (139,210 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | $ | — | | | $ | (139,210 | ) | | $ | (139,210 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Bridge Builder Municipal Bond Fund
Schedule of Investments
June 30, 2018
| | | | | | | | |
| | | Principal
Amount | | | Value | |
MUNICIPAL BONDS - 97.68% | | | | | | | | |
Alabama - 1.09% | | | | | | | | |
Alabama Housing Finance Authority | | | | | | | | |
1.35%, 04/01/2020 (2) | | $ | 2,000,000 | | | $ | 1,998,660 | |
County of Jefferson AL | | | | | | | | |
5.00%, 04/01/2023 | | | 1,550,000 | | | | 1,736,294 | |
County of Jefferson AL Sewer Revenue | | | | | | | | |
5.00%, 10/01/2044 | | | 1,500,000 | | | | 1,642,500 | |
5.25%, 10/01/2048 | | | 1,650,000 | | | | 1,823,894 | |
5.50%, 10/01/2053 | | | 715,000 | | | | 798,147 | |
Industrial Development Board of the City of Mobile Alabama | | | | | | | | |
1.85%, 06/01/2034 (2) | | | 1,025,000 | | | | 1,017,405 | |
1.63%, 07/15/2034 (2) | | | 11,900,000 | | | | 11,898,453 | |
Montgomery Medical Clinic Board | | | | | | | | |
5.00%, 03/01/2019 | | | 1,500,000 | | | | 1,526,070 | |
5.00%, 03/01/2029 | | | 1,000,000 | | | | 1,099,290 | |
Selma Industrial Development Board | | | | | | | | |
5.80%, 05/01/2034 | | | 2,900,000 | | | | 3,100,506 | |
5.38%, 12/01/2035 | | | 215,000 | | | | 237,235 | |
Southeast Alabama Gas Supply District | | | | | | | | |
4.00%, 06/01/2049 (2) | | | 9,825,000 | | | | 10,467,260 | |
Water Works Board of the City of Birmingham | | | | | | | | |
5.00%, 01/01/2023 | | | 430,000 | | | | 480,865 | |
| | | | | | | | |
| | | | | | | 37,826,579 | |
| | | | | | | | |
Alaska - 0.22% | | | | | | | | |
Borough of North Slope AK | | | | | | | | |
5.00%, 06/30/2021 | | | 305,000 | | | | 324,444 | |
City of Valdez AK | | | | | | | | |
5.00%, 01/01/2021 | | | 4,000,000 | | | | 4,285,520 | |
Municipality of Anchorage AK | | | | | | | | |
5.00%, 09/01/2021 | | | 2,805,000 | | | | 3,072,288 | |
| | | | | | | | |
| | | | | | | 7,682,252 | |
| | | | | | | | |
Arizona - 2.26% | | | | | | | | |
Arizona Health Facilities Authority | | | | | | | | |
5.00%, 01/01/2020 | | | 2,000,000 | | | | 2,093,960 | |
1.55%, 07/01/2035 (2) | | | 10,000,000 | | | | 10,000,000 | |
5.00%, 02/01/2042 | | | 2,000,000 | | | | 2,108,280 | |
1.65%, 01/01/2046 (2) | | | 2,000,000 | | | | 2,000,000 | |
City of Glendale AZ | | | | | | | | |
5.00%, 07/01/2030 | | | 1,780,000 | | | | 2,071,012 | |
| | | | | | | | |
City of Mesa AZ | | | | | | | | |
4.00%, 07/01/2028 | | | 1,265,000 | | | | 1,388,122 | |
City of Phoenix AZ | | | | | | | | |
4.00%, 07/01/2022 | | | 900,000 | | | | 970,929 | |
City of Phoenix Civic Improvement Corp. | | | | | | | | |
5.00%, 07/01/2020 | | | 325,000 | | | | 344,233 | |
5.00%, 07/01/2021 | | | 100,000 | | | | 108,222 | |
5.00%, 07/01/2022 | | | 275,000 | | | | 303,958 | |
5.00%, 07/01/2028 | | | 1,000,000 | | | | 1,154,080 | |
5.00%, 07/01/2032 | | | 800,000 | | | | 911,104 | |
County of Pima AZ | | | | | | | | |
4.00%, 07/01/2022 | | | 13,160,000 | | | | 14,160,292 | |
County of Pima AZ Sewer System Revenue | | | | | | | | |
5.00%, 07/01/2022 | | | 10,000,000 | | | | 11,142,100 | |
Glendale Industrial Development Authority | | | | | | | | |
4.00%, 07/01/2028 | | | 300,000 | | | | 302,262 | |
5.00%, 07/01/2033 | | | 435,000 | | | | 463,192 | |
5.00%, 07/01/2038 | | | 450,000 | | | | 474,322 | |
5.00%, 07/01/2048 | | | 915,000 | | | | 957,493 | |
Industrial Development Authority of Phoenix | | | | | | | | |
2.05%, 12/01/2035 (2) | | | 5,800,000 | | | | 5,801,392 | |
5.00%, 07/01/2037 | | | 4,750,000 | | | | 5,262,003 | |
1.44%, 11/15/2052 (2) | | | 1,400,000 | | | | 1,400,000 | |
Maricopa County Industrial Development Authority | | | | | | | | |
5.00%, 01/01/2020 | | | 375,000 | | | | 392,617 | |
5.00%, 01/01/2021 | | | 350,000 | | | | 375,956 | |
5.75%, 01/01/2036 (1)(5) | | | 100,000 | | | | 101,475 | |
5.00%, 01/01/2048 (2) | | | 1,000,000 | | | | 1,145,300 | |
5.00%, 01/01/2048 (2) | | | 1,300,000 | | | | 1,449,942 | |
6.00%, 01/01/2048 (1)(5) | | | 635,000 | | | | 649,402 | |
McAllister Academic Village LLC | | | | | | | | |
5.00%, 07/01/2021 | | | 200,000 | | | | 217,538 | |
5.00%, 07/01/2026 | | | 630,000 | | | | 741,989 | |
Peoria Industrial Development Authority | | | | | | | | |
5.00%, 11/15/2019 | | | 115,000 | | | | 117,286 | |
Salt River Project Agricultural Improvement & Power District | | | | | | | | |
5.00%, 01/01/2022 | | | 1,200,000 | | | | 1,325,628 | |
5.00%, 01/01/2024 | | | 1,600,000 | | | | 1,836,912 | |
5.00%, 01/01/2033 | | | 1,000,000 | | | | 1,188,730 | |
| | | | | | | | |
Salt Verde Financial Corp. | | | | | | | | |
5.00%, 12/01/2037 | | | 3,500,000 | | | | 4,246,130 | |
Tempe Industrial Development Authority | | | | | | | | |
4.00%, 10/01/2023 (1)(5) | | | 1,250,000 | | | | 1,256,612 | |
6.00%, 10/01/2037 (1)(5) | | | 40,000 | | | | 42,624 | |
6.13%, 10/01/2047 (1)(5) | | | 80,000 | | | | 85,672 | |
6.13%, 10/01/2052 (1)(5) | | | 80,000 | | | | 85,369 | |
| | | | | | | | |
| | | | | | | 78,676,138 | |
| | | | | | | | |
Arkansas - 0.03% | | | | | | | | |
Arkansas State University | | | | | | | | |
4.00%, 03/01/2019 | | | 500,000 | | | | 507,750 | |
4.00%, 03/01/2020 | | | 525,000 | | | | 543,196 | |
| | | | | | | | |
| | | | | | | 1,050,946 | |
| | | | | | | | |
California - 3.90% | | | | | | | | |
ABAG Finance Authority for Nonprofit Corp. | | | | | | | | |
5.00%, 08/01/2033 | | | 1,300,000 | | | | 1,440,959 | |
Acalanes Union High School District | | | | | | | | |
5.00%, 08/01/2018 | | | 1,160,000 | | | | 1,163,445 | |
Alameda Corridor Transportation Authority | | | | | | | | |
5.00%, 10/01/2036 | | | 2,500,000 | | | | 2,779,650 | |
5.00%, 10/01/2037 | | | 2,000,000 | | | | 2,223,720 | |
Alisal Union School District | | | | | | | | |
5.25%, 08/01/2042 | | | 740,000 | | | | 877,899 | |
Bay Area Toll Authority | | | | | | | | |
2.76% (SIFMA Municipal Swap Index + 1.25%), 04/01/2036 (3) | | | 1,000,000 | | | | 1,052,470 | |
2.10%, 04/01/2045 (2) | | | 2,790,000 | | | | 2,809,195 | |
2.85%, 04/01/2047 (2) | | | 1,000,000 | | | | 1,024,760 | |
2.95%, 04/01/2047 (2) | | | 1,170,000 | | | | 1,201,532 | |
California Health Facilities Financing Authority | | | | | | | | |
5.63%, 07/01/2025 | | | 2,130,000 | | | | 2,209,300 | |
5.00%, 11/01/2032 (2) | | | 1,400,000 | | | | 1,576,358 | |
5.00%, 07/01/2034(2) | | | 1,710,000 | | | | 1,918,432 | |
1.25%, 10/01/2036 (2) | | | 2,500,000 | | | | 2,472,050 | |
California Municipal Finance Authority | | | | | | | | |
5.00%, 08/15/2029 | | | 1,000,000 | | | | 1,185,630 | |
5.00%, 12/31/2029 | | | 2,300,000 | | | | 2,653,786 | |
5.00%, 08/15/2034 | | | 1,065,000 | | | | 1,232,844 | |
4.00%, 08/15/2037 | | | 1,560,000 | | | | 1,581,388 | |
4.00%, 08/15/2042 | | | 1,000,000 | | | | 1,007,580 | |
5.00%, 12/31/2043 | | | 1,500,000 | | | | 1,685,640 | |
| | | | | | | | |
California Pollution Control Financing Authority | | | | | | | | |
2.05%, 08/01/2023 (1)(2) | | | 3,100,000 | | | | 3,100,744 | |
California Public Finance Authority | | | | | | | | |
5.00%, 10/15/2047 | | | 1,775,000 | | | | 1,905,480 | |
California State Public Works Board | | | | | | | | |
5.00%, 09/01/2021 | | | 1,060,000 | | | | 1,165,470 | |
5.00%, 03/01/2024 | | | 2,500,000 | | | | 2,892,225 | |
5.00%, 03/01/2025 | | | 3,280,000 | | | | 3,850,490 | |
5.00%, 11/01/2037 | | | 235,000 | | | | 260,171 | |
California Statewide Communities Development Authority | | | | | | | | |
3.00%, 07/01/2025 | | | 1,000,000 | | | | 1,016,630 | |
5.00%, 10/01/2028 | | | 1,100,000 | | | | 1,177,044 | |
5.00%, 11/01/2032 (1) | | | 1,135,000 | | | | 1,245,742 | |
5.00%, 05/15/2040 | | | 400,000 | | | | 446,172 | |
5.00%, 11/01/2041 (1) | | | 875,000 | | | | 941,806 | |
5.38%, 11/01/2049 (1) | | | 100,000 | | | | 106,865 | |
5.50%, 12/01/2054 | | | 1,960,000 | | | | 2,127,051 | |
5.25%, 12/01/2056 (1) | | | 1,000,000 | | | | 1,077,690 | |
Centinela Valley Union High School District | | | | | | | | |
4.00%, 08/01/2019 | | | 415,000 | | | | 425,778 | |
City of Los Angeles Department of Airports | | | | | | | | |
5.25%, 05/15/2031 | | | 3,720,000 | | | | 4,437,142 | |
5.00%, 05/15/2033 | | | 1,250,000 | | | | 1,456,300 | |
County of Sacramento CA Airport System Revenue | | | | | | | | |
5.00%, 07/01/2034 | | | 3,000,000 | | | | 3,481,080 | |
Foothill-De Anza Community College District | | | | | | | | |
5.00%, 04/01/2035 | | | 250,000 | | | | 281,145 | |
5.00%, 04/01/2036 | | | 200,000 | | | | 224,674 | |
Golden State Tobacco Securitization Corp. | | | | | | | | |
5.00%, 06/01/2021 | | | 285,000 | | | | 308,133 | |
5.00%, 06/01/2022 | | | 400,000 | | | | 440,956 | |
5.00%, 06/01/2023 | | | 455,000 | | | | 509,714 | |
0.00%, 06/01/2024 | | | 1,000,000 | | | | 860,900 | |
5.00%, 06/01/2024 | | | 255,000 | | | | 289,224 | |
5.00%, 06/01/2033 | | | 1,185,000 | | | | 1,185,237 | |
5.30%, 06/01/2037 | | | 1,000,000 | | | | 1,045,660 | |
5.00%, 06/01/2040 | | | 2,000,000 | | | | 2,242,640 | |
5.00%, 06/01/2047 | | | 925,000 | | | | 949,725 | |
5.75%, 06/01/2047 | | | 3,765,000 | | | | 3,765,904 | |
Irvine Unified School District | | | | | | | | |
5.00%, 03/01/2057 | | | 800,000 | | | | 890,008 | |
| | | | | | | | |
Los Angeles County Public Works Financing Authority | | | | | | | | |
5.00%, 12/01/2029 | | | 1,200,000 | | | | 1,405,320 | |
5.00%, 12/01/2030 | | | 2,520,000 | | | | 2,938,169 | |
Los Angeles NV Unified School District | | | | | | | | |
5.00%, 07/01/2019 | | | 1,250,000 | | | | 1,294,787 | |
Mendocino-Lake Community College District | | | | | | | | |
5.00%, 08/01/2027 | | | 1,700,000 | | | | 1,972,901 | |
5.00%, 08/01/2028 | | | 1,000,000 | | | | 1,153,520 | |
5.00%, 08/01/2029 | | | 775,000 | | | | 888,049 | |
5.00%, 08/01/2030 | | | 2,530,000 | | | | 2,885,060 | |
Norman Y Mineta San Jose International Airport SJC | | | | | | | | |
5.00%, 03/01/2028 | | | 1,250,000 | | | | 1,451,813 | |
5.00%, 03/01/2030 | | | 1,700,000 | | | | 1,957,567 | |
Oakland Unified School District/Alameda County | | | | | | | | |
5.00%, 08/01/2027 | | | 1,770,000 | | | | 2,159,489 | |
Orange County Community Facilities District | | | | | | | | |
5.25%, 08/15/2045 | | | 1,000,000 | | | | 1,106,710 | |
Orchard School District | | | | | | | | |
0.00%, 08/01/2022 | | | 2,940,000 | | | | 2,694,481 | |
Sacramento City Financing Authority | | | | | | | | |
5.00%, 12/01/2033 | | | 875,000 | | | | 989,249 | |
Sacramento Municipal Utility District | | | | | | | | |
5.00%, 08/15/2028 | | | 1,475,000 | | | | 1,838,632 | |
San Francisco City & County Airport Comm-San Francisco International Airport | | | | | | | | |
5.00%, 05/01/2021 | | | 925,000 | | | | 1,004,356 | |
5.00%, 05/01/2021 | | | 305,000 | | | | 331,166 | |
5.00%, 05/01/2022 | | | 310,000 | | | | 344,097 | |
5.00%, 05/01/2022 | | | 400,000 | | | | 443,996 | |
5.00%, 05/01/2023 | | | 225,000 | | | | 254,360 | |
5.00%, 05/01/2023 | | | 225,000 | | | | 254,360 | |
5.00%, 05/01/2025 | | | 1,330,000 | | | | 1,545,633 | |
State of California | | | | | | | | |
5.00%, 08/01/2019 | | | 1,000,000 | | | | 1,038,140 | |
5.00%, 07/01/2020 | | | 500,000 | | | | 517,865 | |
5.00%, 08/01/2022 | | | 1,535,000 | | | | 1,727,919 | |
5.00%, 09/01/2022 | | | 3,140,000 | | | | 3,541,009 | |
5.00%, 09/01/2022 | | | 2,000,000 | | | | 2,255,420 | |
5.00%, 08/01/2023 | | | 3,000,000 | | | | 3,444,960 | |
5.63%, 04/01/2026 | | | 1,625,000 | | | | 1,675,018 | |
5.00%, 09/01/2026 | | | 2,000,000 | | | | 2,399,660 | |
| | | | | | | | |
5.00%, 08/01/2027 | | | 620,000 | | | | 728,754 | |
5.00%, 08/01/2029 | | | 935,000 | | | | 1,105,002 | |
5.00%, 09/01/2029 | | | 370,000 | | | | 437,891 | |
5.00%, 08/01/2030 | | | 3,500,000 | | | | 4,125,135 | |
5.75%, 04/01/2031 | | | 1,530,000 | | | | 1,577,797 | |
2.15% (1 Month LIBOR USD + 0.76%), 12/01/2031 (3) | | | 750,000 | | | | 760,088 | |
6.00%, 04/01/2035 | | | 425,000 | | | | 439,709 | |
6.00%, 04/01/2035 | | | 575,000 | | | | 593,630 | |
4.00%, 09/01/2035 | | | 3,625,000 | | | | 3,877,445 | |
| | | | | | | | |
| | | | | | | 135,363,595 | |
| | | | | | | | |
Colorado - 1.76% | | | | | | | | |
Adams 12 Five Star Schools | | | | | | | | |
5.00%, 12/15/2028 | | | 2,050,000 | | | | 2,414,244 | |
Amber Creek Metropolitan District | | | | | | | | |
5.00%, 12/01/2037 | | | 750,000 | | | | 749,970 | |
5.13%, 12/01/2047 | | | 1,075,000 | | | | 1,074,140 | |
Belleview Station Metropolitan District No 2 | | | | | | | | |
5.00%, 12/01/2036 | | | 500,000 | | | | 510,140 | |
Brighton Crossing Metropolitan District No 4 | | | | | | | | |
5.00%, 12/01/2037 | | | 525,000 | | | | 540,367 | |
Canyons Metropolitan District No 5 | | | | | | | | |
6.00%, 12/01/2037 | | | 500,000 | | | | 505,625 | |
Centerra Metropolitan District No 1 | | | | | | | | |
2.70%, 12/01/2019(1) | | | 493,000 | | | | 495,140 | |
City & County of Denver CO | | | | | | | | |
5.00%, 10/01/2032 | | | 2,725,000 | | | | 2,929,974 | |
City & County of Denver CO Airport System Revenue | | | | | | | | |
5.00%, 11/15/2021 | | | 2,000,000 | | | | 2,188,880 | |
4.00%, 11/15/2023 | | | 4,465,000 | | | | 4,813,270 | |
Colorado Health Facilities Authority | | | | | | | | |
4.00%, 01/01/2019 | | | 225,000 | | | | 227,070 | |
4.00%, 01/01/2020 | | | 250,000 | | | | 256,023 | |
5.00%, 02/01/2020 | | | 1,210,000 | | | | 1,260,118 | |
5.00%, 12/01/2022 | | | 1,855,000 | | | | 2,056,509 | |
5.00%, 01/01/2024 | | | 125,000 | | | | 137,046 | |
5.00%, 01/01/2026 | | | 100,000 | | | | 108,829 | |
5.00%, 01/01/2031 | | | 100,000 | | | | 106,022 | |
5.25%, 02/01/2031 | | | 2,250,000 | | | | 2,372,332 | |
5.00%, 01/01/2037 | | | 250,000 | | | | 262,418 | |
5.25%, 05/15/2037 | | | 475,000 | | | | 520,049 | |
| | | | | | | | |
5.00%, 10/01/2038 (2) | | | 630,000 | | | | 681,685 | |
2.60% (1 Month LIBOR USD + 1.25%), 10/01/2039 (3) | | | 2,000,000 | | | | 2,010,760 | |
5.25%, 01/01/2040 | | | 540,000 | | | | 577,363 | |
2.80%, 05/15/2042 (2) | | | 3,105,000 | | | | 3,121,488 | |
5.25%, 01/01/2045 | | | 510,000 | | | | 544,195 | |
6.13%, 12/01/2045 (1) | | | 375,000 | | | | 396,322 | |
5.00%, 09/01/2046 | | | 1,000,000 | | | | 1,096,710 | |
6.25%, 12/01/2050 (1) | | | 205,000 | | | | 217,571 | |
Colorado High Performance Transportation Enterprise | | | | | | | | |
5.00%, 12/31/2047 | | | 550,000 | | | | 596,227 | |
5.00%, 12/31/2051 | | | 285,000 | | | | 308,094 | |
5.00%, 12/31/2056 | | | 425,000 | | | | 458,673 | |
Colorado International Center Metropolitan District No 14 | | | | | | | | |
5.88%, 12/01/2046 | | | 635,000 | | | | 672,827 | |
Cornerstar Metropolitan District | | | | | | | | |
5.13%, 12/01/2037 | | | 500,000 | | | | 518,530 | |
Denver Convention Center Hotel Authority | | | | | | | | |
4.00%, 12/01/2020 | | | 500,000 | | | | 520,175 | |
5.00%, 12/01/2022 | | | 4,950,000 | | | | 5,450,643 | |
Denver Gateway Center Metropolitan District | | | | | | | | |
5.50%, 12/01/2038 | | | 1,360,000 | | | | 1,355,131 | |
5.63%, 12/01/2048 | | | 2,130,000 | | | | 2,120,948 | |
E-470 Public Highway Authority | | | | | | | | |
0.00%, 09/01/2018 | | | 375,000 | | | | 374,002 | |
0.00%, 09/01/2020 | | | 730,000 | | | | 698,522 | |
2.30% (1 Month LIBOR USD + 0.90%), 09/01/2039 (3) | | | 325,000 | | | | 326,112 | |
2.46% (1 Month LIBOR USD + 1.05%), 09/01/2039 (3) | | | 650,000 | | | | 656,494 | |
Mesa County Valley School District No 51 Grand Junction CO | | | | | | | | |
5.25%, 12/01/2033 | | | 2,000,000 | | | | 2,397,380 | |
Park Creek Metropolitan District | | | | | | | | |
5.00%, 12/01/2045 | | | 1,775,000 | | | | 1,970,676 | |
Rampart Range Metropolitan District No 1 | | | | | | | | |
5.00%, 12/01/2047 | | | 650,000 | | | | 731,471 | |
Serenity Ridge Metropolitan District No 2 | | | | | | | | |
5.13%, 12/01/2037 | | | 1,290,000 | | | | 1,328,584 | |
Sierra Ridge Metropolitan District No 2 | | | | | | | | |
4.50%, 12/01/2031 | | | 750,000 | | | | 737,370 | |
5.50%, 12/01/2046 | | | 1,500,000 | | | | 1,537,335 | |
| | | | | | | | |
Solaris Metropolitan District No 3 | | | | | | | | |
5.00%, 12/01/2036 | | | 850,000 | | | | 883,481 | |
5.00%, 12/01/2046 | | | 1,880,000 | | | | 1,939,164 | |
Southglenn Metropolitan District | | | | | | | | |
5.00%, 12/01/2046 | | | 500,000 | | | | 508,750 | |
Southlands Metropolitan District No 1 | | | | | | | | |
3.00%, 12/01/2022 | | | 275,000 | | | | 274,656 | |
3.50%, 12/01/2027 | | | 500,000 | | | | 494,060 | |
St Vrain Lakes Metropolitan District No 2 | | | | | | | | |
5.00%, 12/01/2037 | | | 500,000 | | | | 498,745 | |
University of Colorado | | | | | | | | |
5.00%, 06/01/2047 | | | 500,000 | | | | 570,705 | |
University of Colorado Hospital Authority | | | | | | | | |
5.00%, 11/15/2038 (2) | | | 1,020,000 | | | | 1,106,720 | |
| | | | | | | | |
| | | | | | | 61,209,735 | |
| | | | | | | | |
Connecticut - 3.45% | | | | | | | | |
City of Hartford CT | | | | | | | | |
5.00%, 08/15/2019 | | | 1,700,000 | | | | 1,746,087 | |
5.00%, 07/15/2021 | | | 3,300,000 | | | | 3,552,549 | |
5.00%, 07/15/2022 | | | 2,250,000 | | | | 2,450,070 | |
5.00%, 07/15/2023 | | | 2,000,000 | | | | 2,210,160 | |
5.00%, 07/15/2026 | | | 2,430,000 | | | | 2,721,357 | |
City of New Britain CT | | | | | | | | |
5.00%, 03/01/2027 | | | 1,260,000 | | | | 1,461,323 | |
5.00%, 03/01/2028 | | | 1,490,000 | | | | 1,720,667 | |
5.00%, 03/01/2033 | | | 1,900,000 | | | | 2,159,920 | |
City of New Haven CT | | | | | | | | |
5.25%, 08/01/2023 | | | 1,115,000 | | | | 1,245,678 | |
5.00%, 08/15/2023 | | | 900,000 | | | | 995,562 | |
5.00%, 08/15/2029 | | | 2,000,000 | | | | 2,234,260 | |
5.00%, 08/15/2031 | | | 1,000,000 | | | | 1,112,620 | |
City of West Haven CT | | | | | | | | |
5.00%, 08/01/2021 | | | 2,495,000 | | | | 2,677,085 | |
Connecticut Housing Finance Authority | | | | | | | | |
2.25%, 11/15/2023 | | | 1,250,000 | | | | 1,219,600 | |
Connecticut State Health & Educational Facilities Authority | | | | | | | | |
5.00%, 07/01/2018 | | | 600,000 | | | | 600,000 | |
5.00%, 07/01/2029 | | | 1,000,000 | | | | 1,166,900 | |
2.05%, 07/01/2035 (2) | | | 6,570,000 | | | | 6,571,905 | |
1.00%, 07/01/2042 (2) | | | 10,000,000 | | | | 9,944,000 | |
1.00%, 07/01/2042 (2) | | | 18,000,000 | | | | 17,899,200 | |
2.00%, 07/01/2042 (2) | | | 1,325,000 | | | | 1,266,090 | |
| | | | | | | | |
5.00%, 07/01/2043 | | | 1,750,000 | | | | 1,873,673 | |
4.00%, 07/01/2046 | | | 880,000 | | | | 854,005 | |
1.80%, 07/01/2049 (2) | | | 5,280,000 | | | | 5,261,309 | |
Harbor Point Infrastructure Improvement District | | | | | | | | |
7.88%, 04/01/2039 | | | 2,153,000 | | | | 2,378,118 | |
Mohegan Tribe of Indians of Connecticut | | | | | | | | |
5.25%, 02/01/2022 (1)(5) | | | 955,000 | | | | 994,384 | |
State of Connecticut | | | | | | | | |
5.00%, 08/01/2019 | | | 20,380,000 | | | | 21,057,228 | |
5.00%, 09/01/2022 | | | 5,725,000 | | | | 6,284,733 | |
5.00%, 06/15/2027 | | | 1,680,000 | | | | 1,867,068 | |
5.00%, 03/01/2029 | | | 1,500,000 | | | | 1,638,735 | |
5.00%, 11/15/2032 | | | 200,000 | | | | 220,142 | |
State of Connecticut Special Tax Revenue | | | | | | | | |
5.00%, 09/01/2023 | | | 900,000 | | | | 1,003,203 | |
5.00%, 01/01/2038 | | | 4,400,000 | | | | 4,902,920 | |
Town of Hamden CT | | | | | | | | |
5.00%, 08/15/2026 | | | 500,000 | | | | 564,125 | |
5.00%, 08/15/2026 | | | 1,335,000 | | | | 1,508,590 | |
University of Connecticut | | | | | | | | |
5.25%, 11/15/2034 | | | 3,705,000 | | | | 4,356,154 | |
| | | | | | | | |
| | | | | | | 119,719,420 | |
| | | | | | | | |
Delaware - 0.24% | | | | | | | | |
County of Kent DE | | | | | | | | |
5.00%, 07/01/2040 | | | 645,000 | | | | 700,851 | |
5.00%, 07/01/2048 | | | 2,155,000 | | | | 2,327,378 | |
County of Sussex DE | | | | | | | | |
5.00%, 01/01/2036 | | | 2,515,000 | | | | 2,739,212 | |
Delaware State Economic Development Authority | | | | | | | | |
5.40%, 02/01/2031 | | | 500,000 | | | | 530,530 | |
5.00%, 09/01/2036 | | | 1,225,000 | | | | 1,329,946 | |
5.00%, 09/01/2046 | | | 700,000 | | | | 752,836 | |
| | | | | | | | |
| | | | | | | 8,380,753 | |
| | | | | | | | |
District of Columbia - 1.06% | | | | | | | | |
District of Columbia | | | | | | | | |
5.00%, 12/01/2021 | | | 2,300,000 | | | | 2,535,175 | |
5.00%, 06/01/2022 | | | 1,150,000 | | | | 1,280,985 | |
5.00%, 12/01/2022 | | | 2,000,000 | | | | 2,252,980 | |
5.00%, 06/01/2031 | | | 2,500,000 | | | | 2,943,975 | |
5.00%, 06/01/2034 | | | 2,100,000 | | | | 2,445,870 | |
| | | | | | | | |
5.00%, 12/01/2036 | | | 670,000 | | | | 729,007 | |
5.00%, 07/01/2042 | | | 730,000 | | | | 763,901 | |
5.00%, 07/01/2052 | | | 815,000 | | | | 846,704 | |
District of Columbia Tobacco Settlement Financing Corp. | | | | | | | | |
0.00%, 06/15/2046 | | | 2,000,000 | | | | 224,740 | |
Metropolitan Washington Airports Authority | | | | | | | | |
5.00%, 10/01/2019 | | | 1,400,000 | | | | 1,455,902 | |
5.00%, 10/01/2021 | | | 2,000,000 | | | | 2,182,900 | |
5.00%, 10/01/2023 | | | 850,000 | | | | 962,294 | |
5.00%, 10/01/2024 | | | 1,325,000 | | | | 1,517,006 | |
5.00%, 10/01/2027 | | | 500,000 | | | | 589,475 | |
5.00%, 10/01/2029 | | | 1,000,000 | | | | 1,169,180 | |
5.00%, 10/01/2030 | | | 1,480,000 | | | | 1,620,570 | |
5.00%, 10/01/2037 | | | 1,000,000 | | | | 1,143,010 | |
Metropolitan Washington Airports Authority Dulles Toll Road Revenue | | | | | | | | |
0.00%, 10/01/2037 | | | 1,000,000 | | | | 455,340 | |
6.50%, 10/01/2041 | | | 2,000,000 | | | | 2,531,200 | |
5.00%, 10/01/2053 | | | 1,890,000 | | | | 2,002,890 | |
Washington Convention & Sports Authority | | | | | | | | |
5.00%, 10/01/2023 | | | 1,330,000 | | | | 1,509,231 | |
5.00%, 10/01/2024 | | | 1,030,000 | | | | 1,183,758 | |
Washington Metropolitan Area Transit Authority | | | | | | | | |
4.00%, 07/01/2019 | | | 1,425,000 | | | | 1,425,000 | |
5.00%, 07/01/2020 | | | 1,375,000 | | | | 1,461,653 | |
5.00%, 07/01/2032 | | | 1,255,000 | | | | 1,473,194 | |
| | | | | | | | |
| | | | | | | 36,705,940 | |
| | | | | | | | |
Florida - 6.45% | | | | | | | | |
Alachua County Health Facilities Authority | | | | | | | | |
5.00%, 12/01/2036 | | | 1,000,000 | | | | 1,094,460 | |
5.00%, 12/01/2044 | | | 1,350,000 | | | | 1,463,737 | |
6.38%, 11/15/2049 | | | 300,000 | | | | 318,708 | |
Brevard County Health Facilities Authority | | | | | | | | |
5.00%, 04/01/2039 | | | 1,335,000 | | | | 1,444,096 | |
Celebration Pointe Community Development District | | | | | | | | |
4.00%, 05/01/2022 (1) | | | 350,000 | | | | 356,440 | |
Citizens Property Insurance Corp. | | | | | | | | |
5.00%, 06/01/2021 | | | 355,000 | | | | 384,966 | |
5.00%, 06/01/2022 | | | 2,150,000 | | | | 2,383,748 | |
City of Cape Coral FL Water & Sewer Revenue | | | | | | | | |
1.65%, 09/01/2019 | | | 1,075,000 | | | | 1,073,516 | |
| | | | | | | | |
City of Jacksonville FL | | | | | | | | |
5.00%, 10/01/2021 | | | 1,415,000 | | | | 1,549,071 | |
5.00%, 10/01/2024 | | | 1,185,000 | | | | 1,367,846 | |
5.00%, 06/01/2053 (1) | | | 1,015,000 | | | | 1,057,650 | |
City of Miami Gardens FL | | | | | | | | |
5.00%, 07/01/2034 | | | 1,725,000 | | | | 1,919,994 | |
City of Orlando FL | | | | | | | | |
5.00%, 11/01/2029 | | | 2,000,000 | | | | 2,314,460 | |
City of Tallahassee FL | | | | | | | | |
5.00%, 12/01/2026 | | | 1,380,000 | | | | 1,546,566 | |
City of Tampa FL | | | | | | | | |
5.00%, 04/01/2040 | | | 1,115,000 | | | | 1,224,482 | |
County of Broward FL Airport System Revenue | | | | | | | | |
5.00%, 10/01/2020 | | | 880,000 | | | | 942,251 | |
5.00%, 10/01/2021 | | | 150,000 | | | | 163,718 | |
5.00%, 10/01/2022 | | | 1,500,000 | | | | 1,676,355 | |
5.00%, 10/01/2022 | | | 1,185,000 | | | | 1,318,715 | |
5.00%, 10/01/2022 | | | 125,000 | | | | 139,105 | |
5.00%, 10/01/2023 | | | 125,000 | | | | 141,250 | |
5.00%, 10/01/2029 | | | 500,000 | | | | 564,310 | |
5.00%, 10/01/2030 | | | 405,000 | | | | 466,775 | |
5.00%, 10/01/2042 | | | 110,000 | | | | 120,354 | |
County of Hillsborough FL Community Investment Tax Revenue | | | | | | | | |
5.00%, 11/01/2025 | | | 1,775,000 | | | | 2,083,353 | |
County of Miami-Dade FL | | | | | | | | |
5.00%, 07/01/2023 | | | 1,000,000 | | | | 1,135,800 | |
5.00%, 10/01/2024 | | | 1,785,000 | | | | 2,049,234 | |
County of Miami-Dade FL Aviation Revenue | | | | | | | | |
5.00%, 10/01/2020 | | | 1,000,000 | | | | 1,066,180 | |
5.75%, 10/01/2020 | | | 615,000 | | | | 645,836 | |
5.00%, 10/01/2022 | | | 485,000 | | | | 516,433 | |
5.00%, 10/01/2031 | | | 3,000,000 | | | | 3,271,050 | |
5.00%, 10/01/2035 | | | 1,000,000 | | | | 1,111,870 | |
County of Miami-Dade FL Water & Sewer System Revenue | | | | | | | | |
5.00%, 10/01/2032 | | | 1,275,000 | | | | 1,451,447 | |
County of Miami-Dade Seaport Department | | | | | | | | |
1.55%, 10/01/2050 (2) | | | 4,000,000 | | | | 4,000,000 | |
County of Palm Beach FL | | | | | | | | |
5.00%, 05/01/2029 | | | 1,915,000 | | | | 2,234,135 | |
| | | | | | | | |
Florida Department of Environmental Protection | | | | | | | | |
5.00%, 07/01/2019 | | | 1,050,000 | | | | 1,085,395 | |
5.00%, 07/01/2022 | | | 5,000,000 | | | | 5,571,050 | |
Florida Development Finance Corp. | | | | | | | | |
5.00%, 02/15/2031 | | | 750,000 | | | | 812,467 | |
5.00%, 02/15/2038 | | | 600,000 | | | | 641,550 | |
5.00%, 02/15/2048 | | | 1,450,000 | | | | 1,538,581 | |
Florida Higher Educational Facilities Financial Authority | | | | | | | | |
5.00%, 06/01/2048 (1) | | | 560,000 | | | | 587,647 | |
Florida Municipal Power Agency | | | | | | | | |
5.00%, 10/01/2025 | | | 3,475,000 | | | | 4,057,306 | |
Florida’s Turnpike Enterprise | | | | | | | | |
5.00%, 07/01/2019 | | | 2,380,000 | | | | 2,461,206 | |
5.00%, 07/01/2022 | | | 3,250,000 | | | | 3,623,847 | |
Greater Orlando Aviation Authority | | | | | | | | |
5.00%, 10/01/2020 | | | 815,000 | | | | 868,374 | |
5.00%, 10/01/2022 | | | 1,000,000 | | | | 1,108,550 | |
5.00%, 10/01/2030 | | | 1,000,000 | | | | 1,149,920 | |
5.00%, 10/01/2031 | | | 2,000,000 | | | | 2,235,160 | |
5.00%, 10/01/2033 | | | 2,000,000 | | | | 2,224,200 | |
5.00%, 10/01/2046 | | | 1,000,000 | | | | 1,115,670 | |
Hernando County School District | | | | | | | | |
5.00%, 07/01/2024 | | | 805,000 | | | | 921,210 | |
5.00%, 07/01/2025 | | | 1,000,000 | | | | 1,156,740 | |
Jacksonville Housing Finance Authority | | | | | | | | |
0.85%, 08/01/2018 | | | 1,500,000 | | | | 1,499,340 | |
JEA Electric System Revenue | | | | | | | | |
5.00%, 10/01/2020 | | | 4,400,000 | | | | 4,711,256 | |
5.00%, 10/01/2026 | | | 1,120,000 | | | | 1,318,274 | |
JEA Water & Sewer System Revenue | | | | | | | | |
5.00%, 10/01/2022 | | | 250,000 | | | | 279,932 | |
Lakewood Ranch Stewardship District | | | | | | | | |
4.00%, 05/01/2022 | | | 465,000 | | | | 467,818 | |
Lee County Industrial Development Authority/FL | | | | | | | | |
5.63%, 12/01/2037 (1) | | | 250,000 | | | | 257,065 | |
5.75%, 12/01/2052 (1) | | | 750,000 | | | | 769,687 | |
Manatee County School District | | | | | | | | |
5.00%, 10/01/2025 | | | 520,000 | | | | 606,382 | |
Marion County School Board | | | | | | | | |
5.00%, 06/01/2026 | | | 1,435,000 | | | | 1,622,454 | |
| | | | | | | | |
Martin County Health Facilities Authority | | | | | | | | |
5.00%, 11/15/2023 | | | 800,000 | | | | 895,144 | |
Miami-Dade County Educational Facilities Authority | | | | | | | | |
5.25%, 04/01/2020 | | | 1,000,000 | | | | 1,059,490 | |
5.00%, 04/01/2040 | | | 2,855,000 | | | | 3,160,742 | |
Miami-Dade County Expressway Authority | | | | | | | | |
5.00%, 07/01/2019 | | | 1,250,000 | | | | 1,291,137 | |
5.00%, 07/01/2030 | | | 1,225,000 | | | | 1,407,378 | |
Miami-Dade County Health Facilities Authority | | | | | | | | |
5.00%, 08/01/2025 | | | 110,000 | | | | 125,817 | |
5.00%, 08/01/2026 | | | 155,000 | | | | 178,408 | |
5.00%, 08/01/2027 | | | 345,000 | | | | 398,875 | |
5.00%, 08/01/2028 | | | 400,000 | | | | 460,408 | |
5.00%, 08/01/2029 | | | 480,000 | | | | 550,032 | |
5.00%, 08/01/2030 | | | 680,000 | | | | 776,329 | |
5.00%, 08/01/2032 | | | 750,000 | | | | 853,080 | |
Miami-Dade County Industrial Development Authority | | | | | | | | |
4.00%, 09/15/2019 | | | 235,000 | | | | 237,221 | |
Monroe County School District/FL | | | | | | | | |
5.00%, 06/01/2033 | | | 500,000 | | | | 574,720 | |
5.00%, 06/01/2035 | | | 500,000 | | | | 570,535 | |
Orange County Convention Center | | | | | | | | |
5.00%, 10/01/2019 | | | 1,000,000 | | | | 1,041,830 | |
5.00%, 10/01/2023 | | | 1,510,000 | | | | 1,723,106 | |
Orange County Health Facilities Authority | | | | | | | | |
5.00%, 01/01/2020 | | | 1,000,000 | | | | 1,017,080 | |
Orange County School Board | | | | | | | | |
5.00%, 08/01/2029 | | | 1,000,000 | | | | 1,146,560 | |
Orlando-Orange County Expressway Authority | | | | | | | | |
5.00%, 07/01/2040 | | | 2,750,000 | | | | 2,922,755 | |
Palm Beach County Health Facilities Authority | | | | | | | | |
5.00%, 12/01/2023 | | | 50,000 | | | | 55,646 | |
5.00%, 12/01/2024 | | | 105,000 | | | | 117,943 | |
7.50%, 06/01/2049 | | | 1,875,000 | | | | 2,162,794 | |
7.50%, 06/01/2049 | | | 100,000 | | | | 115,289 | |
Palm Beach County School District | | | | | | | | |
5.00%, 08/01/2023 | | | 500,000 | | | | 567,420 | |
5.00%, 08/01/2024 | | | 220,000 | | | | 252,567 | |
5.00%, 08/01/2026 | | | 3,750,000 | | | | 4,392,900 | |
5.00%, 08/01/2026 | | | 1,065,000 | | | | 1,247,584 | |
5.00%, 08/01/2029 | | | 8,000,000 | | | | 9,512,720 | |
| | | | | | | | |
5.00%, 08/01/2030 | | | 4,520,000 | | | | 5,132,595 | |
5.00%, 08/01/2032 | | | 3,000,000 | | | | 3,388,140 | |
Reedy Creek Improvement District | | | | | | | | |
5.00%, 06/01/2021 | | | 1,855,000 | | | | 2,017,628 | |
5.00%, 06/01/2023 | | | 2,740,000 | | | | 3,114,393 | |
Sarasota County Health Facilities Authority | | | | | | | | |
5.00%, 01/01/2042 | | | 750,000 | | | | 805,237 | |
5.00%, 01/01/2047 | | | 875,000 | | | | 936,189 | |
School Board of Miami-Dade County | | | | | | | | |
5.00%, 05/01/2025 | | | 3,000,000 | | | | 3,457,800 | |
5.00%, 05/01/2026 | | | 1,000,000 | | | | 1,143,170 | |
5.00%, 02/01/2029 | | | 8,000,000 | | | | 9,065,520 | |
5.00%, 02/01/2030 | | | 500,000 | | | | 565,150 | |
5.00%, 05/01/2031 | | | 5,000,000 | | | | 5,580,350 | |
5.00%, 05/01/2031 (2) | | | 5,000,000 | | | | 5,702,900 | |
School District of Broward County/FL | | | | | | | | |
5.00%, 07/01/2021 | | | 4,000,000 | | | | 4,349,520 | |
5.00%, 07/01/2022 | | | 1,000,000 | | | | 1,110,150 | |
5.00%, 07/01/2028 | | | 1,500,000 | | | | 1,764,705 | |
5.00%, 07/01/2029 | | | 2,545,000 | | | | 2,969,837 | |
South Broward Hospital District | | | | | | | | |
5.00%, 05/01/2019 | | | 2,195,000 | | | | 2,254,967 | |
5.00%, 05/01/2021 | | | 2,035,000 | | | | 2,200,812 | |
South Miami Health Facilities Authority | | | | | | | | |
5.00%, 08/15/2020 | | | 400,000 | | | | 424,912 | |
5.00%, 08/15/2023 | | | 250,000 | | | | 280,988 | |
5.00%, 08/15/2024 | | | 400,000 | | | | 455,168 | |
5.00%, 08/15/2025 | | | 700,000 | | | | 804,076 | |
State of Florida | | | | | | | | |
5.00%, 06/01/2019 | | | 1,320,000 | | | | 1,361,514 | |
5.00%, 06/01/2019 | | | 1,000,000 | | | | 1,031,450 | |
5.00%, 06/01/2019 | | | 1,210,000 | | | | 1,248,054 | |
5.00%, 07/01/2019 | | | 3,500,000 | | | | 3,620,820 | |
5.00%, 06/01/2021 | | | 1,120,000 | | | | 1,220,856 | |
5.00%, 06/01/2021 | | | 1,175,000 | | | | 1,280,809 | |
5.00%, 06/01/2021 | | | 2,000,000 | | | | 2,180,100 | |
5.00%, 07/01/2021 | | | 1,125,000 | | | | 1,228,804 | |
5.00%, 06/01/2022 | | | 1,050,000 | | | | 1,171,275 | |
5.00%, 07/01/2022 | | | 1,175,000 | | | | 1,313,991 | |
5.00%, 06/01/2023 | | | 2,425,000 | | | | 2,761,202 | |
| | | | | | | | |
5.00%, 07/01/2023 | | | 2,630,000 | | | | 2,999,225 | |
5.00%, 07/01/2024 | | | 2,460,000 | | | | 2,850,845 | |
5.00%, 06/01/2025 | | | 1,500,000 | | | | 1,753,215 | |
State of Florida Lottery Revenue | | | | | | | | |
5.00%, 07/01/2019 | | | 1,940,000 | | | | 2,006,387 | |
5.00%, 07/01/2019 | | | 600,000 | | | | 620,532 | |
5.00%, 07/01/2020 | | | 2,000,000 | | | | 2,129,700 | |
5.00%, 07/01/2020 | | | 965,000 | | | | 1,027,580 | |
5.00%, 07/01/2021 | | | 1,290,000 | | | | 1,409,028 | |
5.00%, 07/01/2024 | | | 4,000,000 | | | | 4,630,640 | |
5.00%, 07/01/2024 | | | 1,400,000 | | | | 1,620,724 | |
Tampa Bay Water | | | | | | | | |
5.50%, 10/01/2022 | | | 1,000,000 | | | | 1,144,780 | |
| | | | | | | | |
| | | | | | | 224,240,240 | |
| | | | | | | | |
Georgia - 2.97% | | | | | | | | |
Atlanta Development Authority | | | | | | | | |
6.75%, 01/01/2035 | | | 1,500,000 | | | | 1,452,270 | |
Atlanta Urban Residential Finance Authority | | | | | | | | |
1.40%, 05/01/2020 (2) | | | 3,000,000 | | | | 2,991,150 | |
Augusta Housing Authority | | | | | | | | |
1.87%, 06/01/2019 (2) | | | 11,000,000 | | | | 11,000,000 | |
Burke County Development Authority | | | | | | | | |
3.25%, 11/01/2045 (2) | | | 3,000,000 | | | | 2,985,870 | |
City of Atlanta GA | | | | | | | | |
5.00%, 01/01/2019 | | | 225,000 | | | | 228,663 | |
5.00%, 01/01/2020 | | | 275,000 | | | | 287,669 | |
City of Atlanta GA Water & Wastewater Revenue | | | | | | | | |
5.00%, 11/01/2021 | | | 1,900,000 | | | | 2,089,658 | |
City of East Point GA | | | | | | | | |
4.00%, 08/01/2018 | | | 400,000 | | | | 400,704 | |
5.00%, 08/01/2019 | | | 955,000 | | | | 987,145 | |
5.00%, 08/01/2020 | | | 415,000 | | | | 441,784 | |
5.00%, 08/01/2021 | | | 250,000 | | | | 272,353 | |
Cobb County Kennestone Hospital Authority | | | | | | | | |
5.00%, 04/01/2022 | | | 450,000 | | | | 495,378 | |
DeKalb County Hospital Authority/GA | | | | | | | | |
6.13%, 09/01/2040 | | | 550,000 | | | | 585,563 | |
Forsyth County School District | | | | | | | | |
5.00%, 02/01/2022 | | | 2,945,000 | | | | 3,261,440 | |
| | | | | | | | |
Fulton County Development Authority | | | | | | | | |
5.00%, 04/01/2023 | | | 300,000 | | | | 335,340 | |
Gainesville & Hall County Hospital Authority | | | | | | | | |
5.00%, 02/15/2022 | | | 515,000 | | | | 567,309 | |
5.00%, 02/15/2025 | | | 300,000 | | | | 340,377 | |
5.50%, 02/15/2042 | | | 650,000 | | | | 769,847 | |
Glynn-Brunswick Memorial Hospital Authority | | | | | | | | |
5.00%, 08/01/2022 | | | 1,220,000 | | | | 1,351,004 | |
Griffin-Spalding County Hospital Authority | | | | | | | | |
3.00%, 04/01/2027 | | | 635,000 | | | | 641,325 | |
Gwinnett County School District | | | | | | | | |
5.00%, 08/01/2020 | | | 3,165,000 | | | | 3,380,663 | |
LaGrange-Troup County Hospital Authority | | | | | | | | |
5.00%, 04/01/2021 | | | 150,000 | | | | 161,704 | |
5.00%, 04/01/2024 | | | 500,000 | | | | 566,770 | |
Macon-Bibb County Housing Authority | | | | | | | | |
2.04%, 04/01/2021 (2) | | | 15,000,000 | | | | 14,992,200 | |
Macon-Bibb County Urban Development Authority | | | | | | | | |
5.75%, 06/15/2037 (1) | | | 1,000,000 | | | | 1,031,710 | |
Main Street Natural Gas, Inc. | | | | | | | | |
5.00%, 03/15/2021 | | | 2,500,000 | | | | 2,685,175 | |
4.00%, 04/01/2048 (2) | | | 10,000,000 | | | | 10,696,800 | |
2.16% (1 Month LIBOR USD + 0.83%), 08/01/2048 (3) | | | 1,700,000 | | | | 1,696,498 | |
4.00%, 08/01/2048 (2) | | | 9,360,000 | | | | 10,016,885 | |
Marietta Development Authority | | | | | | | | |
5.00%, 11/01/2037 (1) | | | 625,000 | | | | 666,706 | |
5.00%, 11/01/2047 (1) | | | 500,000 | | | | 528,600 | |
Monroe County Development Authority | | | | | | | | |
2.00%, 07/01/2025 (2) | | | 5,000,000 | | | | 5,001,350 | |
2.35%, 10/01/2048 (2) | | | 500,000 | | | | 502,240 | |
Municipal Electric Authority of Georgia | | | | | | | | |
5.00%, 01/01/2019 | | | 1,000,000 | | | | 1,015,930 | |
5.00%, 01/01/2020 | | | 2,095,000 | | | | 2,187,704 | |
4.00%, 01/01/2021 | | | 350,000 | | | | 365,732 | |
5.00%, 01/01/2022 | | | 250,000 | | | | 272,628 | |
Peach County Development Authority | | | | | | | | |
1.20%, 10/01/2018 | | | 2,000,000 | | | | 1,997,840 | |
Private Colleges & Universities Authority | | | | | | | | |
5.00%, 04/01/2027 | | | 1,900,000 | | | | 2,102,236 | |
5.00%, 10/01/2032 | | | 1,300,000 | | | | 1,519,622 | |
5.00%, 04/01/2044 | | | 1,300,000 | | | | 1,402,011 | |
| | | | | | | | |
Savannah Economic Development Authority | | | | | | | | |
7.25%, 01/01/2049 | | | 120,000 | | | | 135,720 | |
State of Georgia | | | | | | | | |
5.00%, 07/01/2020 | | | 1,000,000 | | | | 1,065,460 | |
5.00%, 02/01/2021 | | | 1,115,000 | | | | 1,205,928 | |
5.00%, 02/01/2022 | | | 5,000,000 | | | | 5,537,250 | |
5.00%, 07/01/2023 | | | 1,000,000 | | | | 1,141,920 | |
| | | | | | | | |
| | | | | | | 103,362,131 | |
| | | | | | | | |
Guam - 0.05% | | | | | | | | |
Guam Government Waterworks Authority | | | | | | | | |
5.00%, 07/01/2035 | | | 1,500,000 | | | | 1,615,290 | |
| | | | | | | | |
Hawaii - 0.37% | | | | | | | | |
City & County of Honolulu HI | | | | | | | | |
1.81% (SIFMA Municipal Swap Index + 0.30%), 09/01/2023 (3) | | | 1,000,000 | | | | 1,000,460 | |
5.00%, 09/01/2024 | | | 1,275,000 | | | | 1,479,612 | |
1.83% (SIFMA Municipal Swap Index + 0.32%), 09/01/2027 (3) | | | 5,000,000 | | | | 5,002,500 | |
5.00%, 10/01/2029 | | | 2,000,000 | | | | 2,316,440 | |
State of Hawaii | | | | | | | | |
5.00%, 08/01/2023 | | | 1,925,000 | | | | 2,195,501 | |
State of Hawaii Airports System Revenue | | | | | | | | |
5.00%, 07/01/2019 | | | 725,000 | | | | 748,055 | |
| | | | | | | | |
| | | | | | | 12,742,568 | |
| | | | | | | | |
Idaho - 0.19% | | | | | | | | |
Idaho Health Facilities Authority | | | | | | | | |
5.00%, 12/01/2020 | | | 2,900,000 | | | | 3,113,672 | |
5.00%, 03/01/2034 | | | 3,155,000 | | | | 3,431,473 | |
| | | | | | | | |
| | | | | | | 6,545,145 | |
| | | | | | | | |
Illinois - 10.32% | | | | | | | | |
Chicago Board of Education | | | | | | | | |
0.00%, 12/01/2025 | | | 265,000 | | | | 192,915 | |
5.00%, 12/01/2025 | | | 2,500,000 | | | | 2,775,600 | |
5.00%, 12/01/2026 | | | 145,000 | | | | 151,263 | |
5.00%, 12/01/2027 | | | 850,000 | | | | 887,587 | |
5.00%, 12/01/2028 | | | 1,270,000 | | | | 1,322,273 | |
6.75%, 12/01/2030 (1) | | | 1,500,000 | | | | 1,802,520 | |
5.00%, 12/01/2033 | | | 300,000 | | | | 307,827 | |
5.00%, 12/01/2034 | | | 250,000 | | | | 276,495 | |
5.00%, 12/01/2041 | | | 785,000 | | | | 787,645 | |
5.25%, 12/01/2041 | | | 3,000,000 | | | | 3,033,420 | |
5.00%, 12/01/2042 | | | 200,000 | | | | 199,992 | |
| | | | | | | | |
6.50%, 12/01/2046 | | | 100,000 | | | | 114,474 | |
7.00%, 12/01/2046 (1)(5) | | | 400,000 | | | | 478,732 | |
Chicago Midway International Airport | | | | | | | | |
5.00%, 01/01/2021 | | | 5,000,000 | | | | 5,327,950 | |
5.00%, 01/01/2027 | | | 1,800,000 | | | | 2,028,438 | |
5.50%, 01/01/2028 | | | 5,000,000 | | | | 5,579,850 | |
5.00%, 01/01/2032 | | | 2,000,000 | | | | 2,180,060 | |
5.00%, 01/01/2034 | | | 1,000,000 | | | | 1,086,880 | |
5.00%, 01/01/2046 | | | 300,000 | | | | 331,311 | |
Chicago O’Hare International Airport | | | | | | | | |
5.00%, 01/01/2021 | | | 500,000 | | | | 535,435 | |
5.00%, 01/01/2022 | | | 700,000 | | | | 769,545 | |
5.00%, 01/01/2022 | | | 1,000,000 | | | | 1,099,350 | |
5.00%, 01/01/2022 | | | 520,000 | | | | 566,883 | |
5.00%, 01/01/2022 | | | 500,000 | | | | 549,675 | |
5.00%, 01/01/2023 | | | 1,000,000 | | | | 1,118,740 | |
5.00%, 01/01/2024 | | | 865,000 | | | | 973,955 | |
5.00%, 01/01/2025 | | | 415,000 | | | | 471,776 | |
5.00%, 01/01/2027 | | | 385,000 | | | | 443,297 | |
5.00%, 01/01/2028 | | | 1,000,000 | | | | 1,140,940 | |
5.00%, 01/01/2030 | | | 2,000,000 | | | | 2,208,360 | |
5.00%, 01/01/2030 | | | 2,000,000 | | | | 2,239,460 | |
5.00%, 01/01/2031 | | | 660,000 | | | | 739,411 | |
5.00%, 01/01/2031 | | | 700,000 | | | | 771,204 | |
5.00%, 01/01/2032 | | | 1,300,000 | | | | 1,429,038 | |
5.00%, 01/01/2033 | | | 345,000 | | | | 387,556 | |
5.00%, 07/01/2033 | | | 550,000 | | | | 617,590 | |
5.00%, 01/01/2034 | | | 400,000 | | | | 447,924 | |
5.00%, 01/01/2036 | | | 430,000 | | | | 479,394 | |
5.00%, 01/01/2042 | | | 500,000 | | | | 545,865 | |
Chicago Park District | | | | | | | | |
5.00%, 01/01/2025 | | | 500,000 | | | | 527,315 | |
5.00%, 01/01/2029 | | | 3,000,000 | | | | 3,287,520 | |
Chicago Transit Authority | | | | | | | | |
4.00%, 06/01/2019 | | | 500,000 | | | | 509,480 | |
5.00%, 06/01/2020 | | | 250,000 | | | | 263,990 | |
5.00%, 06/01/2021 | | | 250,000 | | | | 268,898 | |
5.00%, 06/01/2022 | | | 265,000 | | | | 290,673 | |
5.00%, 06/01/2023 | | | 240,000 | | | | 267,679 | |
5.00%, 06/01/2024 | | | 200,000 | | | | 224,508 | |
| | | | | | | | |
5.25%, 06/01/2024 | | | 2,000,000 | | | | 2,155,800 | |
5.00%, 06/01/2025 | | | 200,000 | | | | 225,460 | |
5.00%, 06/01/2026 | | | 8,275,000 | | | | 9,401,393 | |
5.00%, 06/01/2026 | | | 160,000 | | | | 181,779 | |
City of Chicago IL | | | | | | | | |
4.25%, 01/01/2020 | | | 465,000 | | | | 482,284 | |
5.00%, 01/01/2022 | | | 460,000 | | | | 506,681 | |
5.00%, 01/01/2023 | | | 1,535,000 | | | | 1,608,972 | |
5.00%, 01/01/2026 | | | 425,000 | | | | 491,636 | |
5.00%, 01/01/2027 | | | 500,000 | | | | 578,395 | |
5.25%, 01/01/2027 | | | 2,435,000 | | | | 2,619,110 | |
5.00%, 01/01/2028 | | | 865,000 | | | | 906,684 | |
5.75%, 01/01/2034 | | | 2,000,000 | | �� | | 2,222,580 | |
5.00%, 01/01/2035 | | | 750,000 | | | | 777,495 | |
5.50%, 01/01/2035 | | | 1,000,000 | | | | 1,066,790 | |
City of Chicago IL Motor Fuel Tax Revenue | | | | | | | | |
5.00%, 01/01/2025 | | | 2,000,000 | | | | 2,126,160 | |
City of Chicago IL Wastewater Transmission Revenue | | | | | | | | |
5.00%, 01/01/2019 | | | 200,000 | | | | 203,106 | |
5.00%, 01/01/2020 | | | 200,000 | | | | 208,398 | |
5.00%, 01/01/2020 | | | 1,210,000 | | | | 1,262,998 | |
5.00%, 01/01/2021 | | | 370,000 | | | | 394,827 | |
5.00%, 01/01/2022 | | | 250,000 | | | | 272,277 | |
5.00%, 01/01/2023 | | | 450,000 | | | | 495,131 | |
5.00%, 01/01/2024 | | | 500,000 | | | | 555,930 | |
5.00%, 01/01/2028 | | | 2,900,000 | | | | 3,174,862 | |
5.00%, 01/01/2029 | | | 1,300,000 | | | | 1,419,782 | |
5.00%, 01/01/2030 | | | 1,000,000 | | | | 1,132,960 | |
5.00%, 01/01/2033 | | | 2,000,000 | | | | 2,162,060 | |
5.00%, 01/01/2039 | | | 1,000,000 | | | | 1,071,460 | |
City of Chicago IL Waterworks Revenue | | | | | | | | |
5.00%, 11/01/2020 | | | 980,000 | | | | 1,044,670 | |
5.00%, 11/01/2021 | | | 1,525,000 | | | | 1,656,135 | |
5.00%, 11/01/2022 | | | 1,000,000 | | | | 1,106,670 | |
4.00%, 11/01/2023 | | | 1,025,000 | | | | 1,086,367 | |
5.00%, 11/01/2023 | | | 650,000 | | | | 724,041 | |
5.00%, 11/01/2024 | | | 250,000 | | | | 280,450 | |
5.00%, 11/01/2024 | | | 1,150,000 | | | | 1,290,070 | |
5.00%, 11/01/2024 | | | 1,000,000 | | | | 1,121,800 | |
5.00%, 11/01/2025 | | | 1,000,000 | | | | 1,114,450 | |
| | | | | | | | |
5.00%, 11/01/2026 | | | 1,000,000 | | | | 1,108,370 | |
5.00%, 11/01/2033 | | | 500,000 | | | | 544,585 | |
City of Springfield IL | | | | | | | | |
5.00%, 12/01/2024 | | | 340,000 | | | | 379,171 | |
5.00%, 12/01/2025 | | | 395,000 | | | | 441,571 | |
5.00%, 12/01/2026 | | | 160,000 | | | | 177,450 | |
City of Waukegan IL | | | | | | | | |
4.00%, 12/30/2024 | | | 540,000 | | | | 577,228 | |
Cook County Community College District No 508 | | | | | | | | |
5.25%, 12/01/2028 | | | 1,150,000 | | | | 1,221,576 | |
Cook Kane Lake & McHenry Counties Community College District No 512 | | | | | | | | |
5.00%, 12/01/2024 | | | 850,000 | | | | 982,217 | |
County of Cook IL | | | | | | | | |
5.25%, 11/15/2022 | | | 405,000 | | | | 432,742 | |
5.00%, 11/15/2023 | | | 2,500,000 | | | | 2,807,975 | |
5.00%, 11/15/2025 | | | 2,500,000 | | | | 2,729,875 | |
5.00%, 11/15/2026 | | | 1,000,000 | | | | 1,052,830 | |
5.00%, 11/15/2026 | | | 1,450,000 | | | | 1,663,121 | |
5.25%, 11/15/2028 | | | 1,035,000 | | | | 1,114,509 | |
5.00%, 11/15/2029 | | | 1,000,000 | | | | 1,130,390 | |
5.00%, 11/15/2029 | | | 1,085,000 | | | | 1,181,966 | |
5.00%, 11/15/2030 | | | 500,000 | | | | 562,850 | |
5.00%, 11/15/2033 | | | 2,795,000 | | | | 3,213,943 | |
5.00%, 11/15/2034 | | | 1,200,000 | | | | 1,335,048 | |
Illinois Finance Authority | | | | | | | | |
5.00%, 08/01/2021 | | | 445,000 | | | | 479,123 | |
5.00%, 02/15/2022 | | | 215,000 | | | | 236,917 | |
5.00%, 07/01/2022 | | | 1,000,000 | | | | 1,112,990 | |
5.00%, 12/01/2022 | | | 325,000 | | | | 356,762 | |
4.00%, 05/15/2023 | | | 500,000 | | | | 527,340 | |
5.00%, 11/15/2023 | | | 1,680,000 | | | | 1,885,178 | |
5.00%, 12/01/2023 | | | 1,880,000 | | | | 2,100,298 | |
5.00%, 01/01/2024 | | | 250,000 | | | | 276,755 | |
5.00%, 02/15/2024 | | | 215,000 | | | | 245,296 | |
5.00%, 05/15/2024 | | | 350,000 | | | | 395,423 | |
5.00%, 07/15/2025 | | | 230,000 | | | | 266,552 | |
5.00%, 08/01/2025 | | | 1,605,000 | | | | 1,806,107 | |
5.00%, 02/15/2026 | | | 360,000 | | | | 420,156 | |
5.00%, 03/01/2027 | | | 400,000 | | | | 457,912 | |
5.00%, 03/01/2028 | | | 465,000 | | | | 530,263 | |
| | | | | | | | |
5.00%, 01/01/2029 | | | 1,650,000 | | | | 1,926,804 | |
5.00%, 02/15/2029 | | | 1,070,000 | | | | 1,243,747 | |
5.00%, 02/15/2030 | | | 1,240,000 | | | | 1,437,247 | |
5.00%, 07/01/2030 | | | 275,000 | | | | 305,778 | |
5.00%, 07/15/2030 | | | 710,000 | | | | 832,759 | |
5.00%, 08/01/2030 | | | 870,000 | | | | 982,265 | |
5.00%, 11/15/2030 | | | 2,000,000 | | | | 2,245,160 | |
5.00%, 01/01/2031 | | | 3,515,000 | | | | 3,872,405 | |
5.00%, 02/15/2031 | | | 300,000 | | | | 346,977 | |
5.00%, 07/01/2031 | | | 1,420,000 | | | | 1,645,411 | |
5.25%, 08/15/2031 | | | 500,000 | | | | 560,965 | |
3.63%, 02/15/2032 | | | 355,000 | | | | 356,427 | |
1.52%, 07/01/2032 (2) | | | 9,015,000 | | | | 9,015,000 | |
4.00%, 09/01/2032 | | | 40,000 | | | | 39,109 | |
4.75%, 05/15/2033 | | | 960,000 | | | | 995,376 | |
5.00%, 05/15/2033 | | | 795,000 | | | | 792,472 | |
5.00%, 08/15/2033 | | | 250,000 | | | | 273,147 | |
3.75%, 02/15/2034 | | | 200,000 | | | | 200,432 | |
5.00%, 02/15/2034 | | | 1,890,000 | | | | 2,161,196 | |
5.00%, 07/01/2034 | | | 300,000 | | | | 329,607 | |
5.00%, 08/15/2034 | | | 2,500,000 | | | | 2,838,500 | |
5.00%, 11/15/2034 | | | 300,000 | | | | 332,847 | |
5.00%, 11/15/2034 | | | 3,000,000 | | | | 3,328,470 | |
5.00%, 08/15/2035 | | | 100,000 | | | | 108,848 | |
5.00%, 08/15/2035 | | | 600,000 | | | | 651,606 | |
4.00%, 02/15/2036 | | | 800,000 | | | | 830,112 | |
5.00%, 02/15/2036 | | | 905,000 | | | | 1,030,451 | |
5.00%, 07/01/2036 | | | 325,000 | | | | 355,657 | |
5.00%, 08/15/2036 | | | 1,000,000 | | | | 1,083,820 | |
5.25%, 02/15/2037 | | | 380,000 | | | | 402,378 | |
5.00%, 05/15/2037 | | | 395,000 | | | | 425,332 | |
5.00%, 05/15/2037 | | | 1,050,000 | | | | 1,086,928 | |
4.13%, 08/15/2037 | | | 900,000 | | | | 905,769 | |
5.00%, 08/15/2037 | | | 1,000,000 | | | | 1,083,100 | |
5.13%, 05/15/2038 | | | 1,000,000 | | | | 1,000,290 | |
1.55%, 11/01/2038 (2) | | | 8,000,000 | | | | 8,000,000 | |
5.00%, 11/15/2038 | | | 3,795,000 | | | | 4,193,285 | |
8.00%, 05/15/2040 | | | 785,000 | | | | 871,617 | |
4.00%, 02/15/2041 | | | 2,895,000 | | | | 2,988,711 | |
5.00%, 02/15/2041 | | | 1,535,000 | | | | 1,744,067 | |
| | | | | | | | |
5.00%, 08/01/2042 | | | 120,000 | | | | 130,772 | |
1.75%, 11/15/2042 (2) | | | 1,770,000 | | | | 1,757,752 | |
5.00%, 08/15/2044 | | | 200,000 | | | | 214,964 | |
5.00%, 11/15/2045 | | | 2,565,000 | | | | 2,788,514 | |
8.00%, 05/15/2046 | | | 1,595,000 | | | | 1,770,992 | |
5.00%, 12/01/2046 | | | 5,935,000 | | | | 6,447,072 | |
5.00%, 05/15/2047 | | | 100,000 | | | | 106,452 | |
5.25%, 05/15/2047 | | | 280,000 | | | | 295,072 | |
5.00%, 08/01/2049 | | | 140,000 | | | | 151,563 | |
5.25%, 05/15/2054 | | | 1,000,000 | | | | 995,130 | |
5.00%, 07/15/2057 (2) | | | 10,905,000 | | | | 12,197,461 | |
Illinois Housing Development Authority | | | | | | | | |
1.33%, 02/01/2020 (2) | | | 3,000,000 | | | | 2,999,370 | |
Illinois Municipal Electric Agency | | | | | | | | |
5.00%, 02/01/2023 | | | 275,000 | | | | 306,702 | |
5.00%, 02/01/2031 | | | 470,000 | | | | 528,256 | |
Illinois Sports Facilities Authority | | | | | | | | |
5.25%, 06/15/2032 | | | 1,735,000 | | | | 1,889,970 | |
Illinois State Toll Highway Authority | | | | | | | | |
5.00%, 01/01/2024 | | | 935,000 | | | | 1,065,114 | |
1.55%, 01/01/2031 (2) | | | 3,470,000 | | | | 3,470,000 | |
5.00%, 12/01/2031 | | | 235,000 | | | | 268,368 | |
5.00%, 01/01/2034 | | | 1,300,000 | | | | 1,493,739 | |
5.00%, 01/01/2038 | | | 2,700,000 | | | | 2,982,960 | |
5.00%, 01/01/2041 | | | 7,000,000 | | | | 7,856,310 | |
Illinois State University | | | | | | | | |
5.00%, 04/01/2032 | | | 1,370,000 | | | | 1,516,891 | |
Kendall Kane & Will Counties Community Unit School District No 308 | | | | | | | | |
5.00%, 02/01/2029 | | | 4,000,000 | | | | 4,251,160 | |
Lake County Community Unit School District No 60 Waukegan | | | | | | | | |
5.00%, 01/01/2026 | | | 1,000,000 | | | | 1,117,850 | |
5.00%, 01/01/2027 | | | 100,000 | | | | 116,333 | |
5.00%, 01/01/2027 | | | 2,100,000 | | | | 2,335,683 | |
McHenry County Community Unit School District No 200 Woodstock | | | | | | | | |
0.00%, 01/15/2024 | | | 1,000,000 | | | | 847,170 | |
0.00%, 01/15/2025 | | | 1,000,000 | | | | 815,300 | |
0.00%, 01/15/2026 | | | 1,000,000 | | | | 784,380 | |
Metropolitan Pier & Exposition Authority | | | | | | | | |
5.00%, 12/15/2020 | | | 430,000 | | | | 453,603 | |
5.00%, 12/15/2026 | | | 2,000,000 | | | | 2,105,960 | |
| | | | | | | | |
5.00%, 12/15/2028 | | | 2,500,000 | | | | 2,626,825 | |
5.00%, 12/15/2028 | | | 1,000,000 | | | | 1,097,840 | |
0.00%, 06/15/2029 | | | 2,500,000 | | | | 1,558,925 | |
0.00%, 12/15/2030 | | | 11,000,000 | | | | 6,382,750 | |
5.00%, 12/15/2032 | | | 550,000 | | | | 596,068 | |
0.00%, 12/15/2034 | | | 550,000 | | | | 259,451 | |
5.25%, 06/15/2050 | | | 3,275,000 | | | | 3,347,279 | |
5.00%, 06/15/2057 | | | 550,000 | | | | 577,885 | |
Northern Illinois Municipal Power Agency | | | | | | | | |
5.00%, 12/01/2018 | | | 125,000 | | | | 126,607 | |
5.00%, 12/01/2019 | | | 150,000 | | | | 156,249 | |
5.00%, 12/01/2020 | | | 1,025,000 | | | | 1,094,516 | |
5.00%, 12/01/2022 | | | 1,575,000 | | | | 1,747,494 | |
Peoria Metropolitan Airport Authority | | | | | | | | |
5.00%, 12/01/2026 | | | 1,375,000 | | | | 1,591,343 | |
Peoria Public Building Commission | | | | | | | | |
5.00%, 12/01/2022 | | | 1,500,000 | | | | 1,645,800 | |
Railsplitter Tobacco Settlement Authority | | | | | | | | |
5.00%, 06/01/2023 | | | 2,265,000 | | | | 2,530,685 | |
5.00%, 06/01/2024 | | | 5,275,000 | | | | 5,952,099 | |
6.00%, 06/01/2028 | | | 2,150,000 | | | | 2,399,744 | |
Regional Transportation Authority | | | | | | | | |
5.00%, 07/01/2020 | | | 400,000 | | | | 423,992 | |
5.00%, 07/01/2021 | | | 400,000 | | | | 433,860 | |
State of Illinois | | | | | | | | |
5.50%, 08/01/2018 | | | 1,955,000 | | | | 1,960,063 | |
5.00%, 02/01/2019 | | | 425,000 | | | | 431,345 | |
4.00%, 06/15/2019 | | | 315,000 | | | | 320,897 | |
4.50%, 06/15/2019 | | | 1,710,000 | | | | 1,750,014 | |
5.00%, 06/15/2019 | | | 1,435,000 | | | | 1,475,295 | |
5.00%, 11/01/2019 | | | 2,625,000 | | | | 2,707,294 | |
5.00%, 02/01/2020 | | | 425,000 | | | | 437,129 | |
5.00%, 11/01/2020 | | | 610,000 | | | | 633,583 | |
5.00%, 02/01/2021 | | | 425,000 | | | | 442,170 | |
5.00%, 11/01/2021 | | | 4,000,000 | | | | 4,197,000 | |
5.00%, 01/01/2022 | | | 700,000 | | | | 716,800 | |
5.00%, 08/01/2022 | | | 3,000,000 | | | | 3,246,600 | |
4.00%, 01/01/2023 | | | 330,000 | | | | 333,755 | |
5.00%, 02/01/2023 | | | 235,000 | | | | 248,155 | |
5.00%, 11/01/2023 | | | 1,000,000 | | | | 1,061,300 | |
| | | | | | | | |
5.00%, 06/15/2024 | | | 2,000,000 | | | | 2,207,880 | |
5.50%, 07/01/2024 | | | 1,000,000 | | | | 1,076,200 | |
5.00%, 02/01/2025 | | | 455,000 | | | | 479,857 | |
5.00%, 05/01/2025 | | | 3,050,000 | | | | 3,219,977 | |
5.00%, 06/01/2025 | | | 880,000 | | | | 935,924 | |
5.00%, 06/15/2025 | | | 4,090,000 | | | | 4,481,372 | |
5.50%, 07/01/2025 | | | 400,000 | | | | 428,228 | |
5.00%, 11/01/2025 | | | 2,040,000 | | | | 2,171,029 | |
5.00%, 06/01/2026 | | | 125,000 | | | | 132,965 | |
5.00%, 11/01/2026 | | | 8,000,000 | | | | 8,514,800 | |
5.00%, 02/01/2028 | | | 1,000,000 | | | | 1,060,790 | |
5.00%, 03/01/2028 | | | 5,130,000 | | | | 5,292,262 | |
5.00%, 05/01/2028 | | | 265,000 | | | | 276,538 | |
5.00%, 02/01/2029 | | | 1,000,000 | | | | 1,057,090 | |
5.25%, 02/01/2029 | | | 3,720,000 | | | | 3,912,324 | |
5.25%, 02/01/2030 | | | 100,000 | | | | 105,170 | |
5.25%, 02/01/2031 | | | 760,000 | | | | 798,129 | |
5.00%, 05/01/2032 | | | 800,000 | | | | 828,136 | |
5.50%, 07/01/2038 | | | 1,500,000 | | | | 1,575,315 | |
Sugar Grove Public Library District | | | | | | | | |
3.00%, 02/01/2020 | | | 390,000 | | | | 397,367 | |
Upper Illinois River Valley Development Authority | | | | | | | | |
5.25%, 12/01/2037 (1) | | | 2,005,000 | | | | 2,031,646 | |
Village of Bedford Park IL | | | | | | | | |
4.00%, 12/01/2020 | | | 1,180,000 | | | | 1,218,067 | |
Village of Mount Prospect IL | | | | | | | | |
2.00%, 12/01/2018 | | | 820,000 | | | | 821,099 | |
Will County Community Unit School District No 365 Valley View | | | | | | | | |
0.00%, 11/01/2025 | | | 520,000 | | | | 409,703 | |
0.00%, 11/01/2026 | | | 905,000 | | | | 685,139 | |
| | | | | | | | |
| | | | | | | 358,437,599 | |
| | | | | | | | |
Indiana - 1.83% | | | | | | | | |
Ball State University | | | | | | | | |
5.00%, 07/01/2033 | | | 955,000 | | | | 1,108,679 | |
City of Whiting IN | | | | | | | | |
5.25%, 01/01/2021 | | | 1,145,000 | | | | 1,233,657 | |
5.00%, 11/01/2045 (2) | | | 2,600,000 | | | | 2,887,534 | |
Indiana Development Finance Authority | | | | | | | | |
1.75%, 10/01/2031 (2) | | | 3,600,000 | | | | 3,599,388 | |
| | | | | | | | |
Indiana Finance Authority | | | | | | | | |
5.00%, 09/15/2019 | | | 700,000 | | | | 720,874 | |
5.00%, 12/01/2024 | | | 3,000,000 | | | | 3,487,980 | |
5.00%, 11/01/2026 | | | 1,200,000 | | | | 1,412,400 | |
6.00%, 12/01/2026 | | | 2,035,000 | | | | 2,087,951 | |
5.00%, 11/01/2029 | | | 2,350,000 | | | | 2,738,173 | |
5.00%, 02/01/2030 | | | 5,765,000 | | | | 6,882,718 | |
5.00%, 09/01/2031 | | | 440,000 | | | | 500,196 | |
5.25%, 02/01/2033 | | | 2,500,000 | | | | 2,894,200 | |
1.75%, 05/01/2034 (2) | | | 2,100,000 | | | | 2,100,672 | |
5.00%, 03/01/2036 | | | 4,000,000 | | | | 4,431,200 | |
5.00%, 09/01/2036 | | | 1,000,000 | | | | 1,119,200 | |
5.00%, 06/01/2039 | | | 1,000,000 | | | | 1,004,170 | |
5.00%, 07/01/2048 | | | 3,600,000 | | | | 3,830,184 | |
5.25%, 01/01/2051 | | | 3,450,000 | | | | 3,703,196 | |
Indiana Health & Educational Facilities Financing Authority | | | | | | | | |
1.75%, 11/15/2031 (2) | | | 3,000,000 | | | | 2,970,180 | |
Indiana Health Facility Financing Authority | | | | | | | | |
2.00%, 10/01/2026 (2) | | | 3,675,000 | | | | 3,680,439 | |
1.25%, 11/01/2027 (2) | | | 1,120,000 | | | | 1,103,995 | |
1.35%, 11/01/2027 (2) | | | 1,330,000 | | | | 1,310,542 | |
Indianapolis Local Public Improvement Bond Bank | | | | | | | | |
5.00%, 01/01/2021 | | | 370,000 | | | | 397,439 | |
5.00%, 01/01/2022 | | | 755,000 | | | | 827,065 | |
5.00%, 01/01/2023 | | | 285,000 | | | | 317,293 | |
5.00%, 01/01/2029 | | | 1,000,000 | | | | 1,135,140 | |
5.00%, 01/01/2031 | | | 1,000,000 | | | | 1,131,350 | |
Lebanon Middle School Building Corp. | | | | | | | | |
5.00%, 01/10/2023 | | | 1,065,000 | | | | 1,194,078 | |
5.00%, 07/10/2023 | | | 1,740,000 | | | | 1,969,436 | |
Westfield-Washington Multi-School Building Corp. | | | | | | | | |
5.00%, 01/15/2028 | | | 390,000 | | | | 445,345 | |
5.00%, 01/15/2029 | | | 540,000 | | | | 613,505 | |
5.00%, 01/15/2030 | | | 700,000 | | | | 793,261 | |
| | | | | | | | |
| | | | | | | 63,631,440 | |
| | | | | | | | |
Iowa - 0.19% | | | | | | | | |
City of Altoona IA | | | | | | | | |
5.00%, 06/01/2026 | | | 2,200,000 | | | | 2,534,532 | |
Iowa Finance Authority | | | | | | | | |
5.25%, 12/01/2025 | | | 1,500,000 | | | | 1,603,155 | |
4.75%, 08/01/2042 | | | 980,000 | | | | 1,007,744 | |
| | | | | | | | |
Iowa Higher Education Loan Authority | | | | | | | | |
1.00%, 09/01/2018 | | | 595,000 | | | | 594,381 | |
Iowa Student Loan Liquidity Corp. | | | | | | | | |
5.00%, 12/01/2025 | | | 775,000 | | | | 863,668 | |
| | | | | | | | |
| | | | | | | 6,603,480 | |
| | | | | | | | |
Kansas - 0.11% | | | | | | | | |
City of Lenexa KS | | | | | | | | |
5.00%, 05/15/2021 | | | 500,000 | | | | 530,510 | |
5.00%, 05/15/2039 | | | 325,000 | | | | 350,168 | |
City of Wichita KS | | | | | | | | |
5.25%, 11/15/2024 | | | 350,000 | | | | 366,804 | |
Johnson County Unified School District No 232 De Soto | | | | | | | | |
5.00%, 09/01/2022 | | | 350,000 | | | | 391,118 | |
Kansas Development Finance Authority | | | | | | | | |
5.00%, 11/15/2032 | | | 2,000,000 | | | | 2,205,660 | |
| | | | | | | | |
| | | | | | | 3,844,260 | |
| | | | | | | | |
Kentucky - 1.07% | | | | | | | | |
City of Ashland KY | | | | | | | | |
5.00%, 02/01/2030 | | | 555,000 | | | | 601,137 | |
City of Russell KY | | | | | | | | |
5.00%, 11/01/2022 | | | 3,200,000 | | | | 3,563,648 | |
Kentucky Asset Liability Commission | | | | | | | | |
5.00%, 09/01/2024 | | | 1,000,000 | | | | 1,141,290 | |
5.00%, 09/01/2025 | | | 1,250,000 | | | | 1,442,175 | |
Kentucky Economic Development Finance Authority | | | | | | | | |
5.00%, 06/01/2019 | | | 375,000 | | | | 383,010 | |
5.00%, 06/01/2020 | | | 500,000 | | | | 520,605 | |
5.25%, 06/01/2020 | | | 500,000 | | | | 522,915 | |
5.00%, 06/01/2021 | | | 250,000 | | | | 264,405 | |
5.50%, 06/01/2021 | | | 685,000 | | | | 731,991 | |
5.00%, 06/01/2024 | | | 1,000,000 | | | | 1,094,520 | |
5.00%, 05/15/2031 | | | 100,000 | | | | 107,036 | |
5.00%, 06/01/2037 | | | 325,000 | | | | 351,936 | |
6.38%, 03/01/2040 | | | 2,400,000 | | | | 2,603,904 | |
6.38%, 06/01/2040 | | | 3,230,000 | | | | 3,504,421 | |
5.00%, 06/01/2041 | | | 225,000 | | | | 240,673 | |
5.25%, 06/01/2041 | | | 725,000 | | | | 794,056 | |
6.50%, 03/01/2045 | | | 1,000,000 | | | | 1,087,290 | |
5.00%, 06/01/2045 | | | 1,000,000 | | | | 1,065,040 | |
5.00%, 12/01/2045 | | | 300,000 | | | | 332,004 | |
| | | | | | | | |
5.00%, 05/15/2046 | | | 500,000 | | | | 522,785 | |
6.25%, 11/15/2046 | | | 750,000 | | | | 749,925 | |
5.00%, 12/01/2047 | | | 620,000 | | | | 674,337 | |
5.00%, 05/15/2051 | | | 325,000 | | | | 338,709 | |
Kentucky Higher Education Student Loan Corp. | | | | | | | | |
5.00%, 06/01/2020 | | | 600,000 | | | | 628,266 | |
5.00%, 06/01/2021 | | | 610,000 | | | | 649,009 | |
Kentucky Public Transportation Infrastructure Authority | | | | | | | | |
5.75%, 07/01/2049 | | | 1,000,000 | | | | 1,094,130 | |
6.00%, 07/01/2053 | | | 530,000 | | | | 586,524 | |
Kentucky State Property & Building Commission | | | | | | | | |
5.00%, 05/01/2021 | | | 500,000 | | | | 538,305 | |
5.00%, 05/01/2029 | | | 1,000,000 | | | | 1,130,860 | |
5.00%, 05/01/2029 | | | 1,025,000 | | | | 1,171,124 | |
5.00%, 05/01/2032 | | | 270,000 | | | | 308,977 | |
Louisville/Jefferson County Metropolitan Government | | | | | | | | |
5.00%, 10/01/2020 | | | 1,140,000 | | | | 1,213,108 | |
5.00%, 10/01/2023 | | | 1,565,000 | | | | 1,759,404 | |
5.00%, 12/01/2028 | | | 120,000 | | | | 127,924 | |
5.00%, 10/01/2030 | | | 2,500,000 | | | | 2,847,025 | |
5.00%, 12/01/2030 | | | 130,000 | | | | 138,141 | |
5.00%, 10/01/2032 | | | 430,000 | | | | 487,345 | |
1.50%, 10/01/2033 (2) | | | 1,705,000 | | | | 1,700,601 | |
| | | | | | | | |
| | | | | | | 37,018,555 | |
| | | | | | | | |
Louisiana - 1.08% | | | | | | | | |
City of New Orleans LA | | | | | | | | |
5.00%, 12/01/2019 | | | 2,450,000 | | | | 2,555,914 | |
Greater New Orleans Expressway Commission | | | | | | | | |
5.00%, 11/01/2034 | | | 1,000,000 | | | | 1,136,990 | |
Jefferson Parish Hospital Service District No. 1 | | | | | | | | |
5.50%, 01/01/2026 | | | 3,000,000 | | | | 3,260,370 | |
Louisiana Local Government Environmental Facilities & Community Development Authority | | | | | | | | |
5.00%, 10/01/2028 | | | 1,000,000 | | | | 1,178,130 | |
5.00%, 10/01/2028 | | | 1,045,000 | | | | 1,231,146 | |
6.50%, 08/01/2029 | | | 2,200,000 | | | | 2,398,572 | |
Louisiana Public Facilities Authority | | | | | | | | |
5.00%, 06/01/2021 | | | 7,695,000 | | | | 8,335,455 | |
5.00%, 12/15/2022 | | | 230,000 | | | | 257,363 | |
5.00%, 12/15/2023 | | | 335,000 | | | | 381,079 | |
5.00%, 12/15/2024 | | | 330,000 | | | | 377,378 | |
| | | | | | | | |
5.00%, 12/15/2025 | | | 275,000 | | | | 318,428 | |
5.00%, 12/15/2026 | | | 300,000 | | | | 348,372 | |
0.00%, 10/01/2027 | | | 2,000,000 | | | | 1,726,800 | |
5.00%, 12/15/2028 | | | 250,000 | | | | 290,205 | |
5.00%, 12/15/2029 | | | 200,000 | | | | 230,742 | |
5.00%, 12/15/2030 | | | 150,000 | | | | 172,659 | |
5.00%, 05/15/2031 | | | 1,250,000 | | | | 1,414,213 | |
5.00%, 12/15/2031 | | | 390,000 | | | | 447,880 | |
5.00%, 05/15/2032 | | | 1,000,000 | | | | 1,128,080 | |
New Orleans Aviation Board | | | | | | | | |
5.00%, 01/01/2020 | | | 135,000 | | | | 141,342 | |
5.00%, 01/01/2021 | | | 125,000 | | | | 133,670 | |
5.00%, 01/01/2022 | | | 75,000 | | | | 81,814 | |
5.00%, 01/01/2023 | | | 50,000 | | | | 55,440 | |
5.00%, 01/01/2024 | | | 55,000 | | | | 61,748 | |
5.00%, 01/01/2024 | | | 1,400,000 | | | | 1,571,766 | |
5.00%, 01/01/2025 | | | 50,000 | | | | 56,681 | |
5.00%, 01/01/2027 | | | 850,000 | | | | 956,046 | |
5.00%, 01/01/2028 | | | 155,000 | | | | 177,343 | |
5.00%, 01/01/2029 | | | 810,000 | | | | 904,948 | |
5.00%, 01/01/2030 | | | 275,000 | | | | 312,001 | |
5.00%, 01/01/2033 | | | 740,000 | | | | 830,199 | |
5.00%, 01/01/2034 | | | 170,000 | | | | 190,055 | |
5.00%, 01/01/2034 | | | 750,000 | | | | 838,478 | |
5.00%, 01/01/2036 | | | 500,000 | | | | 556,640 | |
5.00%, 01/01/2037 | | | 500,000 | | | | 556,255 | |
5.00%, 01/01/2040 | | | 1,000,000 | | | | 1,088,890 | |
5.00%, 01/01/2040 | | | 1,540,000 | | | | 1,695,694 | |
| | | | | | | | |
| | | | | | | 37,398,786 | |
| | | | | | | | |
Maine - 0.17% | | | | | | | | |
Maine Health & Higher Educational Facilities Authority | | | | | | | | |
4.00%, 07/01/2041 | | | 1,470,000 | | | | 1,353,488 | |
5.00%, 07/01/2041 | | | 1,135,000 | | | | 1,191,398 | |
5.00%, 07/01/2043 | | | 390,000 | | | | 404,816 | |
4.00%, 07/01/2046 | | | 330,000 | | | | 299,973 | |
5.00%, 07/01/2046 | | | 1,735,000 | | | | 1,818,818 | |
Maine Municipal Bond Bank | | | | | | | | |
5.00%, 11/01/2033 | | | 650,000 | | | | 761,988 | |
| | | | | | | | |
| | | | | | | 5,830,481 | |
| | | | | | | | |
| | | | | | | | |
Maryland - 3.34% | | | | | | | | |
City of Baltimore MD | | | | | | | | |
5.00%, 07/01/2018 | | | 2,525,000 | | | | 2,525,000 | |
5.00%, 09/01/2023 | | | 1,000,000 | | | | 1,112,120 | |
5.00%, 07/01/2026 | | | 720,000 | | | | 846,281 | |
5.00%, 07/01/2029 | | | 4,770,000 | | | | 5,574,127 | |
5.00%, 09/01/2030 | | | 3,000,000 | | | | 3,434,730 | |
5.00%, 09/01/2032 | | | 1,000,000 | | | | 1,140,200 | |
5.00%, 09/01/2036 | | | 1,000,000 | | | | 1,115,820 | |
5.00%, 09/01/2039 | | | 775,000 | | | | 857,723 | |
City of Rockville MD | | | | | | | | |
4.00%, 11/01/2021 | | | 200,000 | | | | 208,476 | |
2.50%, 11/01/2024 | | | 245,000 | | | | 241,460 | |
3.00%, 11/01/2025 | | | 580,000 | | | | 576,961 | |
5.00%, 11/01/2030 | | | 65,000 | | | | 71,661 | |
5.00%, 11/01/2042 | | | 750,000 | | | | 813,450 | |
5.00%, 11/01/2047 | | | 730,000 | | | | 789,283 | |
City of Westminster MD | | | | | | | | |
6.25%, 07/01/2044 | | | 1,100,000 | | | | 1,192,950 | |
County of Anne Arundel MD | | | | | | | | |
5.00%, 10/01/2019 | | | 3,580,000 | | | | 3,732,472 | |
County of Frederick MD | | | | | | | | |
5.00%, 08/01/2029 | | | 300,000 | | | | 367,938 | |
5.00%, 08/01/2030 | | | 350,000 | | | | 432,079 | |
5.00%, 08/01/2031 | | | 425,000 | | | | 529,962 | |
County of Montgomery MD | | | | | | | | |
5.00%, 10/01/2024 | | | 1,210,000 | | | | 1,406,625 | |
County of Prince George’s MD | | | | | | | | |
5.00%, 07/15/2021 | | | 2,500,000 | | | | 2,733,575 | |
Maryland Community Development Administration | | | | | | | | |
1.35%, 01/01/2019 (1) | | | 2,200,000 | | | | 2,192,036 | |
1.15%, 02/01/2019 | | | 5,000,000 | | | | 5,000,000 | |
Maryland Economic Development Corp. | | | | | | | | |
5.00%, 06/01/2019 | | | 3,415,000 | | | | 3,523,358 | |
5.00%, 06/01/2022 | | | 200,000 | | | | 217,970 | |
5.00%, 06/01/2023 | | | 215,000 | | | | 236,973 | |
5.00%, 03/31/2024 | | | 2,500,000 | | | | 2,697,825 | |
5.00%, 09/30/2027 | | | 50,000 | | | | 57,252 | |
5.00%, 06/01/2028 | | | 2,000,000 | | | | 2,267,280 | |
5.00%, 09/30/2030 | | | 905,000 | | | | 1,019,356 | |
5.00%, 06/01/2035 | | | 915,000 | | | | 1,025,010 | |
| | | | | | | | |
5.00%, 03/31/2046 | | | 1,535,000 | | | | 1,675,560 | |
5.00%, 03/31/2051 | | | 1,165,000 | | | | 1,267,357 | |
Maryland Health & Higher Educational Facilities Authority | | | | | | | | |
5.00%, 07/01/2019 | | | 1,000,000 | | | | 1,029,490 | |
4.00%, 07/01/2022 | | | 1,000,000 | | | | 1,069,260 | |
5.00%, 07/01/2022 | | | 870,000 | | | | 953,929 | |
5.00%, 07/01/2024 | | | 745,000 | | | | 839,250 | |
5.00%, 07/01/2024 | | | 535,000 | | | | 601,736 | |
5.25%, 07/01/2026 | | | 500,000 | | | | 560,720 | |
5.50%, 01/01/2029 | | | 1,500,000 | | | | 1,749,975 | |
5.50%, 01/01/2030 | | | 1,750,000 | | | | 2,034,585 | |
5.00%, 07/01/2032 | | | 750,000 | | | | 833,940 | |
5.00%, 07/01/2035 | | | 75,000 | | | | 82,292 | |
5.75%, 07/01/2038 | | | 2,500,000 | | | | 2,693,625 | |
5.00%, 08/15/2038 | | | 1,945,000 | | | | 2,148,544 | |
5.00%, 05/15/2040 | | | 3,425,000 | | | | 3,633,685 | |
4.00%, 07/01/2042 | | | 120,000 | | | | 119,633 | |
5.00%, 07/01/2045 | | | 2,000,000 | | | | 2,137,320 | |
5.50%, 01/01/2046 | | | 1,290,000 | | | | 1,442,968 | |
Maryland Stadium Authority | | | | | | | | |
5.00%, 06/15/2021 | | | 900,000 | | | | 978,039 | |
Maryland State Transportation Authority | | | | | | | | |
5.00%, 03/01/2023 | | | 1,000,000 | | | | 1,089,470 | |
5.00%, 07/01/2030 | | | 4,655,000 | | | | 5,504,910 | |
Prince George’s County Revenue Authority | | | | | | | | |
5.00%, 05/01/2030 | | | 1,085,000 | | | | 1,284,705 | |
State of Maryland | | | | | | | | |
5.00%, 03/01/2020 | | | 6,000,000 | | | | 6,329,940 | |
5.00%, 08/01/2020 | | | 655,000 | | | | 679,196 | |
4.00%, 03/15/2021 | | | 1,170,000 | | | | 1,215,887 | |
5.00%, 08/01/2022 | | | 3,000,000 | | | | 3,358,200 | |
5.00%, 08/01/2024 | | | 2,500,000 | | | | 2,899,225 | |
5.00%, 08/01/2025 | | | 9,000,000 | | | | 10,578,690 | |
State of Maryland Department of Transportation | | | | | | | | |
5.00%, 02/15/2019 | | | 2,500,000 | | | | 2,554,400 | |
5.00%, 12/01/2019 | | | 1,625,000 | | | | 1,702,464 | |
Washington Suburban Sanitary Commission | | | | | | | | |
3.00%, 06/01/2026 | | | 5,000,000 | | | | 5,182,000 | |
| | | | | | | | |
| | | | | | | 116,170,948 | |
| | | | | | | | |
| | | | | | | | |
Massachusetts - 2.03% | | | | | | | | |
City of Boston MA | | | | | | | | |
5.00%, 04/01/2023 | | | 2,095,000 | | | | 2,382,141 | |
Commonwealth of Massachusetts | | | | | | | | |
4.00%, 08/01/2019 | | | 1,000,000 | | | | 1,025,970 | |
5.00%, 07/01/2022 | | | 485,000 | | | | 540,988 | |
5.50%, 12/01/2022 | | | 1,195,000 | | | | 1,370,187 | |
5.00%, 09/01/2025 | | | 2,245,000 | | | | 2,512,559 | |
5.00%, 07/01/2027 | | | 2,620,000 | | | | 2,921,378 | |
5.00%, 09/01/2028 | | | 2,000,000 | | | | 2,321,640 | |
5.00%, 12/01/2030 | | | 1,500,000 | | | | 1,756,770 | |
1.05%, 08/01/2043 (2) | | | 10,515,000 | | | | 10,357,065 | |
1.70%, 08/01/2043 (2) | | | 1,500,000 | | | | 1,472,625 | |
5.00%, 03/01/2046 | | | 205,000 | | | | 227,659 | |
Commonwealth of Massachusetts Transportation Fund Revenue | | | | | | | | |
5.00%, 06/01/2025 | | | 2,490,000 | | | | 2,712,730 | |
Massachusetts Bay Transportation Authority | | | | | | | | |
4.00%, 12/01/2021 | | | 2,500,000 | | | | 2,673,425 | |
Massachusetts Development Finance Agency | | | | | | | | |
5.00%, 07/15/2022 | | | 355,000 | | | | 397,973 | |
5.00%, 07/01/2023 | | | 900,000 | | | | 1,020,852 | |
5.00%, 07/01/2025 | | | 1,090,000 | | | | 1,240,627 | |
5.00%, 10/01/2025 | | | 905,000 | | | | 1,017,636 | |
5.00%, 07/01/2026 | | | 1,140,000 | | | | 1,302,735 | |
5.00%, 10/01/2026 | | | 955,000 | | | | 1,077,918 | |
5.00%, 10/15/2028 | | | 1,750,000 | | | | 1,877,523 | |
5.00%, 07/01/2030 | | | 590,000 | | | | 695,940 | |
5.00%, 01/01/2031 | | | 475,000 | | | | 532,152 | |
5.00%, 01/01/2032 | | | 635,000 | | | | 709,416 | |
5.00%, 01/01/2033 | | | 540,000 | | | | 601,592 | |
5.00%, 01/01/2034 | | | 710,000 | | | | 788,774 | |
5.00%, 01/01/2035 | | | 745,000 | | | | 825,922 | |
5.00%, 01/01/2036 | | | 1,100,000 | | | | 1,216,930 | |
5.00%, 10/01/2037 (1) | | | 500,000 | | | | 539,095 | |
5.00%, 07/01/2038 (2) | | | 1,875,000 | | | | 2,134,669 | |
5.00%, 10/01/2047 (1) | | | 375,000 | | | | 401,025 | |
1.99% (SIFMA Municipal Swap Index + 0.48%), 07/01/2050 (3) | | | 4,000,000 | | | | 4,006,040 | |
5.00%, 10/01/2057 (1) | | | 1,535,000 | | | | 1,630,600 | |
Massachusetts Educational Financing Authority | | | | | | | | |
4.00%, 07/01/2019 | | | 2,000,000 | | | | 2,040,580 | |
5.00%, 07/01/2021 | | | 1,000,000 | | | | 1,078,600 | |
5.00%, 07/01/2026 | | | 5,000,000 | | | | 5,709,950 | |
| | | | | | | | |
Massachusetts Port Authority | | | | | | | | |
5.00%, 07/01/2024 | | | 800,000 | | | | 910,216 | |
5.00%, 07/01/2025 | | | 295,000 | | | | 337,981 | |
Massachusetts School Building Authority | | | | | | | | |
5.00%, 01/15/2028 | | | 1,500,000 | | | | 1,723,755 | |
Massachusetts Transportation Trust Fund Metropolitan Highway System Revenue | | | | | | | | |
5.00%, 01/01/2019 | | | 1,500,000 | | | | 1,525,995 | |
Massachusetts Water Resources Authority | | | | | | | | |
5.00%, 08/01/2040 | | | 1,900,000 | | | | 2,181,029 | |
Town of Webster MA | | | | | | | | |
2.25%, 10/12/2018 | | | 678,829 | | | | 679,861 | |
| | | | | | | | |
| | | | | | | 70,480,523 | |
| | | | | | | | |
Michigan - 3.49% | | | | | | | | |
Avondale School District | | | | | | | | |
5.00%, 11/01/2022 | | | 600,000 | | | | 665,568 | |
5.00%, 11/01/2023 | | | 680,000 | | | | 766,455 | |
5.00%, 11/01/2024 | | | 800,000 | | | | 912,832 | |
5.00%, 11/01/2025 | | | 785,000 | | | | 905,411 | |
5.00%, 11/01/2026 | | | 765,000 | | | | 891,065 | |
Calhoun County Hospital Finance Authority | | | | | | | | |
5.00%, 02/15/2037 | | | 1,695,000 | | | | 1,793,361 | |
City of Detroit MI Sewage Disposal System Revenue | | | | | | | | |
5.25%, 07/01/2039 | | | 4,050,000 | | | | 4,352,697 | |
City of Detroit MI Water Supply System Revenue | | | | | | | | |
5.25%, 07/01/2041 | | | 1,000,000 | | | | 1,075,570 | |
City of Royal Oak MI | | | | | | | | |
5.00%, 04/01/2029 | | | 500,000 | | | | 585,310 | |
5.00%, 04/01/2031 | | | 1,045,000 | | | | 1,216,568 | |
City of Wyandotte MI Electric System Revenue | | | | | | | | |
5.00%, 10/01/2021 | | | 750,000 | | | | 806,355 | |
5.00%, 10/01/2022 | | | 800,000 | | | | 875,304 | |
5.00%, 10/01/2023 | | | 500,000 | | | | 555,605 | |
5.00%, 10/01/2024 | | | 765,000 | | | | 858,445 | |
Clarkston Community Schools | | | | | | | | |
5.00%, 05/01/2022 | | | 445,000 | | | | 492,562 | |
County of Kent MI | | | | | | | | |
5.00%, 06/01/2028 | | | 700,000 | | | | 824,894 | |
Grand Rapids Public Schools | | | | | | | | |
5.00%, 05/01/2025 | | | 1,075,000 | | | | 1,239,776 | |
| | | | | | | | |
Great Lakes Water Authority Sewage Disposal System Revenue | | | | | | | | |
5.00%, 07/01/2030 | | | 3,000,000 | | | | 3,389,550 | |
5.00%, 07/01/2036 | | | 1,000,000 | | | | 1,105,280 | |
Karegnondi Water Authority | | | | | | | | |
5.25%, 11/01/2040 | | | 130,000 | | | | 143,624 | |
Lake Orion Community School District | | | | | | | | |
5.00%, 05/01/2020 | | | 1,390,000 | | | | 1,468,563 | |
5.00%, 05/01/2021 | | | 1,385,000 | | | | 1,499,830 | |
Michigan Finance Authority | | | | | | | | |
5.00%, 11/15/2019 | | | 75,000 | | | | 78,182 | |
5.00%, 07/01/2020 | | | 2,700,000 | | | | 2,857,059 | |
5.00%, 11/15/2020 | | | 65,000 | | | | 69,406 | |
5.00%, 07/01/2021 | | | 1,500,000 | | | | 1,622,880 | |
5.00%, 11/15/2021 | | | 175,000 | | | | 190,516 | |
5.00%, 11/15/2022 | | | 275,000 | | | | 304,827 | |
5.00%, 10/01/2023 | | | 1,000,000 | | | | 1,103,010 | |
5.00%, 10/01/2024 | | | 3,000,000 | | | | 3,495,120 | |
5.00%, 10/01/2025 | | | 5,000,000 | | | | 5,906,950 | |
5.00%, 12/01/2026 | | | 1,190,000 | | | | 1,398,595 | |
5.00%, 12/01/2029 | | | 500,000 | | | | 585,925 | |
5.00%, 07/01/2030 | | | 600,000 | | | | 669,990 | |
5.00%, 07/01/2033 | | | 350,000 | | | | 385,745 | |
Michigan State Building Authority | | | | | | | | |
5.00%, 10/15/2020 | | | 1,650,000 | | | | 1,766,407 | |
5.00%, 10/15/2021 | | | 1,750,000 | | | | 1,918,315 | |
Michigan State Hospital Finance Authority | | | | | | | | |
5.00%, 12/01/2019 | | | 200,000 | | | | 209,160 | |
5.00%, 12/01/2020 | | | 225,000 | | | | 241,578 | |
5.00%, 12/01/2021 | | | 225,000 | | | | 246,834 | |
5.00%, 12/01/2022 | | | 125,000 | | | | 139,914 | |
5.00%, 12/01/2023 | | | 1,150,000 | | | | 1,308,987 | |
5.00%, 12/01/2024 | | | 275,000 | | | | 316,718 | |
5.00%, 12/01/2025 | | | 700,000 | | | | 815,129 | |
1.63%, 11/01/2027 (2) | | | 3,000,000 | | | | 2,989,590 | |
5.00%, 12/01/2027 | | | 415,000 | | | | 491,953 | |
1.90%, 11/15/2047 (2) | | | 3,000,000 | | | | 2,991,210 | |
2.40%, 11/15/2047 (2) | | | 850,000 | | | | 854,887 | |
4.00%, 11/15/2047 (2) | | | 4,505,000 | | | | 4,886,844 | |
4.00%, 11/15/2047 (2) | | | 9,750,000 | | | | 10,482,518 | |
| | | | | | | | |
Michigan Strategic Fund | | | | | | | | |
1.45%, 09/01/2030 (2) | | | 1,260,000 | | | | 1,212,196 | |
4.13%, 07/01/2045 (2) | | | 5,425,000 | | | | 5,433,734 | |
Michigan Tobacco Settlement Finance Authority | | | | | | | | |
6.00%, 06/01/2048 | | | 5,625,000 | | | | 5,653,912 | |
0.00%, 06/01/2052 | | | 7,500,000 | | | | 519,450 | |
Portage Public Schools | | | | | | | | |
5.00%, 11/01/2028 | | | 1,000,000 | | | | 1,152,130 | |
Royal Oak School District | | | | | | | | |
5.00%, 05/01/2023 | | | 600,000 | | | | 676,824 | |
5.00%, 05/01/2024 | | | 600,000 | | | | 684,702 | |
State of Michigan | | | | | | | | |
5.00%, 03/15/2020 | | | 1,670,000 | | | | 1,758,744 | |
5.00%, 03/15/2021 | | | 2,700,000 | | | | 2,918,457 | |
5.00%, 03/15/2022 | | | 4,050,000 | | | | 4,467,393 | |
5.00%, 03/15/2023 | | | 2,000,000 | | | | 2,250,600 | |
5.00%, 03/15/2027 | | | 1,000,000 | | | | 1,178,080 | |
Wayne County Airport Authority | | | | | | | | |
5.00%, 12/01/2018 | | | 250,000 | | | | 253,537 | |
5.00%, 12/01/2019 | | | 550,000 | | | | 573,617 | |
5.00%, 12/01/2019 | | | 200,000 | | | | 209,076 | |
5.00%, 12/01/2020 | | | 200,000 | | | | 214,982 | |
5.00%, 12/01/2021 | | | 475,000 | | | | 522,414 | |
5.00%, 12/01/2021 | | | 300,000 | | | | 327,867 | |
5.00%, 12/01/2022 | | | 200,000 | | | | 223,416 | |
5.00%, 12/01/2022 | | | 300,000 | | | | 331,794 | |
5.00%, 12/01/2023 | | | 400,000 | | | | 453,776 | |
5.00%, 12/01/2023 | | | 550,000 | | | | 616,512 | |
5.00%, 12/01/2023 | | | 250,000 | | | | 282,930 | |
5.00%, 12/01/2024 | | | 375,000 | | | | 432,127 | |
5.00%, 12/01/2024 | | | 500,000 | | | | 567,585 | |
5.00%, 12/01/2025 | | | 600,000 | | | | 686,052 | |
5.00%, 12/01/2027 | | | 4,055,000 | | | | 4,598,857 | |
5.00%, 12/01/2031 | | | 350,000 | | | | 403,295 | |
5.00%, 12/01/2033 | | | 300,000 | | | | 344,364 | |
5.00%, 12/01/2040 | | | 4,000,000 | | | | 4,457,640 | |
5.00%, 12/01/2042 | | | 1,000,000 | | | | 1,091,100 | |
5.00%, 12/01/2042 | | | 900,000 | | | | 1,003,608 | |
5.00%, 12/01/2047 | | | 1,000,000 | | | | 1,110,890 | |
| | | | | | | | |
| | | | | | | 121,364,535 | |
| | | | | | | | |
| | | | | | | | |
Minnesota - 1.17% | | | | | | | | |
City of Deephaven MN | | | | | | | | |
5.00%, 10/01/2037 | | | 1,250,000 | | | | 1,255,225 | |
5.00%, 10/01/2049 | | | 2,200,000 | | | | 2,186,052 | |
City of Minneapolis MN/St Paul Housing & Redevelopment Authority | | | | | | | | |
5.00%, 11/15/2022 | | | 1,100,000 | | | | 1,233,881 | |
City of Moorhead MN | | | | | | | | |
5.00%, 12/01/2025 | | | 775,000 | | | | 874,154 | |
City of North Oaks MN | | | | | | | | |
5.00%, 10/01/2047 | | | 1,000,000 | | | | 1,080,160 | |
City of Rochester MN | | | | | | | | |
5.00%, 12/01/2025 | | | 850,000 | | | | 928,515 | |
5.25%, 12/01/2038 | | | 1,000,000 | | | | 1,064,270 | |
City of St Paul Park MN | | | | | | | | |
5.00%, 05/01/2053 | | | 400,000 | | | | 414,952 | |
Roseville Independent School District No. 623 | | | | | | | | |
5.00%, 02/01/2025 | | | 3,895,000 | | | | 4,479,639 | |
5.00%, 02/01/2026 | | | 2,315,000 | | | | 2,689,683 | |
State of Minnesota | | | | | | | | |
5.00%, 11/01/2018 | | | 1,830,000 | | | | 1,851,356 | |
5.00%, 12/01/2018 | | | 1,000,000 | | | | 1,014,480 | |
5.00%, 08/01/2019 | | | 1,060,000 | | | | 1,098,807 | |
5.00%, 08/01/2019 | | | 35,000 | | | | 36,255 | |
5.00%, 08/01/2019 | | | 2,840,000 | | | | 2,943,972 | |
5.00%, 10/01/2019 | | | 2,685,000 | | | | 2,797,663 | |
5.00%, 03/01/2020 | | | 1,040,000 | | | | 1,097,013 | |
5.00%, 06/01/2020 | | | 2,345,000 | | | | 2,491,234 | |
5.00%, 08/01/2020 | | | 4,000,000 | | | | 4,271,680 | |
5.00%, 08/01/2021 | | | 1,000,000 | | | | 1,094,750 | |
5.00%, 10/01/2021 | | | 2,700,000 | | | | 2,968,353 | |
5.00%, 08/01/2023 | | | 1,465,000 | | | | 1,674,656 | |
5.00%, 08/01/2026 | | | 1,000,000 | | | | 1,190,680 | |
| | | | | | | | |
| | | | | | | 40,737,430 | |
| | | | | | | | |
Mississippi - 0.39% | | | | | | | | |
County of Warren MS | | | | | | | | |
6.50%, 09/01/2032 | | | 300,000 | | | | 302,319 | |
State of Mississippi | | | | | | | | |
4.00%, 10/15/2018 | | | 2,100,000 | | | | 2,114,196 | |
5.00%, 10/15/2019 | | | 4,545,000 | | | | 4,727,391 | |
5.00%, 10/15/2020 | | | 1,750,000 | | | | 1,868,982 | |
5.00%, 10/15/2021 | | | 1,300,000 | | | | 1,417,663 | |
5.00%, 10/15/2022 | | | 1,750,000 | | | | 1,943,148 | |
5.00%, 10/01/2030 | | | 1,000,000 | | | | 1,178,950 | |
| | | | | | | | |
| | | | | | | 13,552,649 | |
| | | | | | | | |
| | | | | | | | |
Missouri - 0.70% | | | | | | | | |
Belton School District No 124 | | | | | | | | |
5.00%, 03/01/2027 | | | 500,000 | | | | 594,215 | |
5.00%, 03/01/2028 | | | 250,000 | | | | 300,487 | |
5.50%, 03/01/2030 | | | 500,000 | | | | 613,960 | |
5.50%, 03/01/2033 | | | 500,000 | | | | 604,880 | |
5.50%, 03/01/2036 | | | 500,000 | | | | 601,040 | |
Cape Girardeau County Industrial Development Authority | | | | | | | | |
5.00%, 03/01/2032 | | | 500,000 | | | | 549,325 | |
City of Kansas City MO Sanitary Sewer System Revenue | | | | | | | | |
5.00%, 01/01/2026 (5) | | | 285,000 | | | | 323,829 | |
5.00%, 01/01/2031 (5) | | | 135,000 | | | | 156,173 | |
City of St. Louis MO Airport Revenue | | | | | | | | |
4.00%, 07/01/2020 | | | 2,425,000 | | | | 2,518,387 | |
5.00%, 07/01/2025 | | | 400,000 | | | | 457,184 | |
Hannibal Industrial Development Authority | | | | | | | | |
5.00%, 10/01/2047 | | | 1,580,000 | | | | 1,733,007 | |
Health & Educational Facilities Authority of the State of Missouri | | | | | | | | |
5.00%, 06/01/2022 | | | 2,335,000 | | | | 2,579,615 | |
5.00%, 02/01/2029 | | | 1,000,000 | | | | 1,134,160 | |
5.00%, 02/01/2035 | | | 1,000,000 | | | | 1,088,640 | |
5.00%, 02/01/2036 | | | 200,000 | | | | 222,768 | |
4.00%, 02/01/2040 | | | 100,000 | | | | 102,038 | |
5.00%, 08/01/2040 | | | 1,145,000 | | | | 1,213,173 | |
Industrial Development Authority of the City of St. Louis Missouri | | | | | | | | |
3.88%, 11/15/2029 | | | 100,000 | | | | 101,896 | |
4.38%, 11/15/2035 | | | 230,000 | | | | 236,238 | |
4.75%, 11/15/2047 | | | 250,000 | | | | 257,470 | |
Kirkwood Industrial Development Authority | | | | | | | | |
5.00%, 05/15/2021 | | | 1,500,000 | | | | 1,587,270 | |
Missouri Highway & Transportation Commission | | | | | | | | |
5.00%, 05/01/2020 | | | 850,000 | | | | 901,994 | |
Missouri State Health & Educational Facilities Authority | | | | | | | | |
5.00%, 04/01/2027 | | | 1,500,000 | | | | 1,706,910 | |
St Louis County Industrial Development Authority | | | | | | | | |
5.00%, 12/01/2025 | | | 1,085,000 | | | | 1,154,125 | |
5.13%, 08/15/2045 | | | 200,000 | | | | 205,568 | |
| | | | | | | | |
St Louis Land Clearance for Redevelopment Authority | | | | | | | | |
5.00%, 06/01/2029 | | | 1,000,000 | | | | 1,101,550 | |
5.38%, 06/01/2043 | | | 2,000,000 | | | | 2,179,800 | |
University of Missouri | | | | | | | | |
5.00%, 11/01/2019 | | | 175,000 | | | | 183,066 | |
| | | | | | | | |
| | | | | | | 24,408,768 | |
| | | | | | | | |
Montana - 0.04% | | | | | | | | |
City of Kalispell MT | | | | | | | | |
5.25%, 05/15/2037 | | | 765,000 | | | | 805,950 | |
5.25%, 05/15/2047 | | | 500,000 | | | | 523,415 | |
| | | | | | | | |
| | | | | | | 1,329,365 | |
| | | | | | | | |
Nebraska - 0.17% | | | | | | | | |
Central Plains Energy Project | | | | | | | | |
5.00%, 09/01/2019 | | | 915,000 | | | | 947,181 | |
5.00%, 09/01/2035 | | | 930,000 | | | | 1,102,152 | |
5.00%, 09/01/2042 | | | 1,175,000 | | | | 1,285,497 | |
City of Omaha NE | | | | | | | | |
5.00%, 01/15/2026 | | | 1,700,000 | | | | 1,999,098 | |
Omaha Airport Authority | | | | | | | | |
5.00%, 12/15/2031 | | | 515,000 | | | | 586,420 | |
| | | | | | | | |
| | | | | | | 5,920,348 | |
| | | | | | | | |
Nevada - 0.97% | | | | | | | | |
City of Carson City NV | | | | | | | | |
5.00%, 09/01/2026 | | | 550,000 | | | | 627,374 | |
City of Reno NV | | | | | | | | |
5.00%, 06/01/2038 | | | 150,000 | | | | 169,907 | |
0.00%, 07/01/2058 (1) | | | 2,000,000 | | | | 218,080 | |
Clark County School District | | | | | | | | |
5.00%, 06/15/2021 | | | 420,000 | | | | 455,162 | |
5.00%, 06/15/2023 | | | 370,000 | | | | 416,483 | |
5.00%, 06/15/2025 | | | 6,060,000 | | | | 6,941,912 | |
Clark County Water Reclamation District | | | | | | | | |
5.00%, 07/01/2026 | | | 500,000 | | | | 592,060 | |
County of Clark Department of Aviation | | | | | | | | |
5.00%, 07/01/2021 | | | 1,000,000 | | | | 1,079,500 | |
5.00%, 07/01/2021 | | | 830,000 | | | | 897,238 | |
5.00%, 07/01/2021 | | | 1,000,000 | | | | 1,087,690 | |
5.00%, 07/01/2022 | | | 400,000 | | | | 440,992 | |
5.00%, 07/01/2024 | | | 1,250,000 | | | | 1,421,475 | |
5.00%, 07/01/2025 | | | 2,220,000 | | | | 2,538,903 | |
1.51%, 07/01/2029 (2) | | | 2,000,000 | | | | 2,000,000 | |
| | | | | | | | |
County of Clark NV | | | | | | | | |
5.00%, 11/01/2028 | | | 3,000,000 | | | | 3,513,840 | |
5.00%, 11/01/2032 | | | 3,000,000 | | | | 3,421,470 | |
County of Washoe NV | | | | | | | | |
1.50%, 08/01/2031 (2) | | | 1,000,000 | | | | 995,930 | |
3.00%, 03/01/2036 (2) | | | 700,000 | | | | 714,791 | |
Las Vegas Redevelopment Agency | | | | | | | | |
5.00%, 06/15/2030 | | | 1,000,000 | | | | 1,118,750 | |
5.00%, 06/15/2040 | | | 620,000 | | | | 677,741 | |
Las Vegas Valley Water District | | | | | | | | |
4.00%, 06/01/2028 | | | 1,000,000 | | | | 1,083,410 | |
5.00%, 06/01/2039 | | | 2,815,000 | | | | 3,165,524 | |
| | | | | | | | |
| | | | | | | 33,578,232 | |
| | | | | | | | |
New Hampshire - 0.40% | | | | | | | | |
New Hampshire Business Finance Authority | | | | | | | | |
4.00%, 01/01/2019 | | | 565,000 | | | | 570,334 | |
5.00%, 01/01/2024 | | | 720,000 | | | | 792,828 | |
New Hampshire Health and Education Facilities Authority Act | | | | | | | | |
3.50%, 07/01/2022 (1)(5) | | | 100,000 | | | | 100,301 | |
5.00%, 07/01/2023 | | | 500,000 | | | | 567,140 | |
4.13%, 07/01/2024 (1)(5) | | | 255,000 | | | | 256,619 | |
5.25%, 07/01/2027 (1) | | | 1,250,000 | | | | 1,269,712 | |
5.00%, 08/01/2027 | | | 750,000 | | | | 872,295 | |
5.00%, 10/01/2028 (5) | | | 1,580,000 | | | | 1,769,995 | |
5.00%, 07/01/2030 | | | 390,000 | | | | 459,319 | |
5.00%, 10/01/2032 (5) | | | 2,825,000 | | | | 3,123,913 | |
4.00%, 10/01/2038 (5) | | | 115,000 | | | | 114,994 | |
5.00%, 10/01/2038 (5) | | | 425,000 | | | | 462,039 | |
6.25%, 07/01/2042 (1) | | | 700,000 | | | | 752,269 | |
5.00%, 07/01/2044 | | | 1,970,000 | | | | 2,161,267 | |
6.13%, 07/01/2052 (1) | | | 495,000 | | | | 525,735 | |
| | | | | | | | |
| | | | | | | 13,798,760 | |
| | | | | | | | |
New Jersey - 3.03% | | | | | | | | |
Borough of Carteret NJ | | | | | | | | |
2.50%, 10/25/2018 | | | 800,000 | | | | 802,000 | |
Borough of Roselle NJ | | | | | | | | |
2.25%, 09/14/2018 | | | 700,000 | | | | 700,609 | |
Burlington County Bridge Commission | | | | | | | | |
5.63%, 01/01/2038 | | | 750,000 | | | | 734,790 | |
| | | | | | | | |
Camden County Improvement Authority | | | | | | | | |
5.00%, 01/15/2028 | | | 500,000 | | | | 588,790 | |
5.00%, 01/15/2029 | | | 1,000,000 | | | | 1,173,410 | |
5.00%, 01/15/2033 | | | 500,000 | | | | 579,685 | |
City of Jersey City NJ | | | | | | | | |
2.50%, 01/18/2019 | | | 3,000,000 | | | | 3,016,020 | |
County of Union NJ | | | | | | | | |
3.00%, 03/01/2026 | | | 3,000,000 | | | | 3,073,920 | |
New Brunswick Parking Authority | | | | | | | | |
5.00%, 09/01/2039 | | | 2,000,000 | | | | 2,252,100 | |
New Jersey Economic Development Authority | | | | | | | | |
5.00%, 06/15/2019 | | | 4,500,000 | | | | 4,625,505 | |
4.00%, 01/01/2020 | | | 115,000 | | | | 116,265 | |
5.00%, 10/01/2022 | | | 810,000 | | | | 881,491 | |
5.00%, 01/01/2023 | | | 400,000 | | | | 441,904 | |
5.00%, 03/01/2023 | | | 4,045,000 | | | | 4,376,002 | |
5.00%, 03/01/2024 | | | 2,405,000 | | | | 2,582,008 | |
5.00%, 06/15/2024 | | | 2,000,000 | | | | 2,189,060 | |
5.00%, 06/15/2025 | | | 5,190,000 | | | | 5,703,447 | |
5.00%, 06/01/2026 | | | 900,000 | | | | 1,030,680 | |
5.50%, 01/01/2027 | | | 500,000 | | | | 563,695 | |
3.13%, 07/01/2029 | | | 1,000,000 | | | | 980,350 | |
5.63%, 11/15/2030 | | | 2,095,000 | | | | 2,363,558 | |
5.00%, 01/01/2031 | | | 500,000 | | | | 551,640 | |
5.13%, 01/01/2034 | | | 590,000 | | | | 642,469 | |
5.00%, 10/01/2037 | | | 3,225,000 | | | | 3,497,932 | |
5.25%, 01/01/2044 | | | 190,000 | | | | 197,524 | |
5.00%, 10/01/2047 | | | 1,450,000 | | | | 1,563,375 | |
5.63%, 01/01/2052 | | | 2,000,000 | | | | 2,201,320 | |
New Jersey Educational Facilities Authority | | | | | | | | |
5.00%, 07/01/2020 | | | 375,000 | | | | 399,622 | |
5.00%, 07/01/2021 | | | 225,000 | | | | 245,966 | |
5.00%, 06/01/2023 | | | 930,000 | | | | 1,010,780 | |
5.00%, 07/01/2023 | | | 3,390,000 | | | | 3,735,373 | |
New Jersey Health Care Facilities Financing Authority | | | | | | | | |
5.00%, 07/01/2019 | | | 1,225,000 | | | | 1,258,675 | |
5.00%, 07/01/2021 | | | 40,000 | | | | 43,024 | |
5.00%, 07/01/2022 | | | 540,000 | | | | 592,310 | |
5.00%, 07/01/2023 | | | 140,000 | | | | 155,642 | |
5.00%, 07/01/2023 | | | 530,000 | | | | 600,098 | |
| | | | | | | | |
5.00%, 07/01/2024 | | | 110,000 | | | | 123,333 | |
5.00%, 07/01/2024 | | | 2,500,000 | | | | 2,761,225 | |
5.00%, 07/01/2025 | | | 1,580,000 | | | | 1,741,286 | |
5.00%, 07/01/2025 | | | 120,000 | | | | 135,364 | |
5.00%, 07/01/2026 | | | 40,000 | | | | 45,315 | |
5.00%, 07/01/2027 | | | 60,000 | | | | 67,745 | |
5.00%, 07/01/2028 | | | 155,000 | | | | 180,239 | |
5.00%, 07/01/2030 | | | 165,000 | | | | 183,589 | |
5.00%, 07/01/2031 | | | 430,000 | | | | 450,722 | |
5.63%, 07/01/2032 | | | 380,000 | | | | 421,249 | |
5.00%, 07/01/2033 | | | 500,000 | | | | 562,665 | |
5.00%, 07/01/2046 | | | 2,375,000 | | | | 2,614,447 | |
New Jersey Higher Education Student Assistance Authority | | | | | | | | |
5.00%, 12/01/2018 | | | 765,000 | | | | 774,968 | |
5.00%, 12/01/2019 | | | 500,000 | | | | 520,830 | |
5.50%, 12/01/2021 | | | 2,260,000 | | | | 2,486,542 | |
5.00%, 12/01/2044 | | | 1,000,000 | | | | 1,054,660 | |
New Jersey Housing & Mortgage Finance Agency | | | | | | | | |
3.55%, 04/01/2027 | | | 2,190,000 | | | | 2,188,292 | |
3.65%, 04/01/2028 | | | 1,580,000 | | | | 1,579,937 | |
New Jersey Transportation Trust Fund Authority | | | | | | | | |
5.00%, 06/15/2020 | | | 1,325,000 | | | | 1,390,746 | |
5.00%, 06/15/2022 | | | 2,000,000 | | | | 2,004,480 | |
5.25%, 12/15/2022 | | | 1,760,000 | | | | 1,923,786 | |
5.00%, 12/15/2023 | | | 2,700,000 | | | | 2,951,127 | |
5.25%, 12/15/2023 | | | 3,940,000 | | | | 4,355,473 | |
5.50%, 12/15/2023 | | | 190,000 | | | | 212,399 | |
5.00%, 06/15/2025 | | | 450,000 | | | | 482,751 | |
0.00%, 12/15/2026 | | | 2,600,000 | | | | 1,845,168 | |
5.00%, 06/15/2027 | | | 235,000 | | | | 259,104 | |
5.00%, 06/15/2029 | | | 1,200,000 | | | | 1,312,632 | |
0.00%, 12/15/2030 | | | 2,000,000 | | | | 1,202,260 | |
New Jersey Turnpike Authority | | | | | | | | |
5.00%, 01/01/2020 | | | 1,220,000 | | | | 1,277,316 | |
5.00%, 01/01/2035 | | | 1,065,000 | | | | 1,176,867 | |
State of New Jersey Healthcare Facilities, Tender Option Bond Trust, Ser 2017-ZM0546 | | | | | | | | |
1.66%, 07/01/2025 (1)(2) | | | 600,000 | | | | 600,000 | |
Tobacco Settlement Financing Corp/NJ | | | | | | | | |
5.00%, 06/01/2023 | | | 570,000 | | | | 634,347 | |
5.00%, 06/01/2046 | | | 1,800,000 | | | | 1,976,940 | |
5.25%, 06/01/2046 | | | 2,300,000 | | | | 2,587,362 | |
| | | | | | | | |
Township of Holmdel NJ | | | | | | | | |
2.50%, 10/26/2018 | | | 600,000 | | | | 601,614 | |
Township of Howell NJ | | | | | | | | |
3.00%, 10/17/2018 | | | 2,100,000 | | | | 2,108,358 | |
Township of Maple Shade NJ | | | | | | | | |
2.25%, 09/07/2018 | | | 600,000 | | | | 600,372 | |
Township of Millstone NJ | | | | | | | | |
2.25%, 09/12/2018 | | | 600,000 | | | | 600,768 | |
Township of Montclair NJ | | | | | | | | |
4.00%, 03/01/2023 | | | 800,000 | | | | 870,112 | |
4.00%, 03/01/2027 | | | 325,000 | | | | 362,745 | |
Township of South Brunswick NJ | | | | | | | | |
2.25%, 10/02/2018 | | | 700,000 | | | | 701,029 | |
| | | | | | | | |
| | | | | | | 105,401,203 | |
| | | | | | | | |
New Mexico - 0.24% | | | | | | | | |
Albuquerque Municipal School District No. 12 | | | | | | | | |
5.00%, 08/01/2025 | | | 800,000 | | | | 934,072 | |
Farmington Municipal School District No 5/NM | | | | | | | | |
5.00%, 09/01/2024 | | | 490,000 | | | | 567,714 | |
New Mexico Mortgage Finance Authority | | | | | | | | |
1.35%, 06/01/2020 (2) | | | 3,000,000 | | | | 2,982,480 | |
Town of Clayton NM | | | | | | | | |
4.00%, 11/01/2020 | | | 3,545,000 | | | | 3,681,553 | |
| | | | | | | | |
| | | | | | | 8,165,819 | |
| | | | | | | | |
New York - 9.67% | | | | | | | | |
Brooklyn Arena Local Development Corp. | | | | | | | | |
5.00%, 07/15/2020 | | | 140,000 | | | | 148,414 | |
5.00%, 07/15/2021 | | | 300,000 | | | | 324,975 | |
5.00%, 07/15/2022 | | | 175,000 | | | | 193,100 | |
5.00%, 07/15/2023 | | | 250,000 | | | | 279,762 | |
5.00%, 07/15/2024 | | | 630,000 | | | | 712,795 | |
Build NYC Resource Corp. | | | | | | | | |
5.00%, 08/01/2022 | | | 200,000 | | | | 222,384 | |
5.00%, 08/01/2023 | | | 230,000 | | | | 260,305 | |
4.88%, 05/01/2031 (1) | | | 750,000 | | | | 760,777 | |
5.00%, 01/01/2035 (1) | | | 3,900,000 | | | | 4,194,996 | |
5.50%, 05/01/2048 (1) | | | 1,350,000 | | | | 1,394,388 | |
Canastota Central School District | | | | | | | | |
2.50%, 07/20/2018 | | | 800,000 | | | | 800,352 | |
| | | | | | | | |
Chautauqua County Capital Resource Corp. | | | | | | | | |
1.30%, 11/01/2031(2) | | | 1,100,000 | | | | 1,099,593 | |
City of Ithaca NY | | | | | | | | |
2.75%, 02/15/2019 | | | 2,800,000 | | | | 2,818,536 | |
City of New York NY | | | | | | | | |
5.00%, 08/01/2018 | | | 3,850,000 | | | | 3,861,050 | |
5.00%, 08/01/2020 | | | 1,025,000 | | | | 1,094,187 | |
5.00%, 08/01/2021 | | | 6,000,000 | | | | 6,560,940 | |
5.00%, 08/01/2022 | | | 1,065,000 | | | | 1,190,382 | |
5.00%, 08/01/2025 | | | 1,600,000 | | | | 1,869,280 | |
5.00%, 08/01/2027 | | | 2,975,000 | | | | 3,454,659 | |
5.00%, 08/01/2027 | | | 400,000 | | | | 460,300 | |
5.00%, 08/01/2028 | | | 5,675,000 | | | | 6,614,667 | |
5.00%, 08/01/2028 | | | 3,975,000 | | | | 4,607,502 | |
5.00%, 08/01/2028 | | | 700,000 | | | | 822,794 | |
5.00%, 08/01/2029 | | | 1,305,000 | | | | 1,550,732 | |
5.00%, 08/01/2029 | | | 1,500,000 | | | | 1,782,450 | |
5.00%, 08/01/2032 | | | 1,745,000 | | | | 2,041,667 | |
1.46%, 08/01/2034 (2) | | | 5,000,000 | | | | 5,000,000 | |
1.50%, 04/01/2042 (2) | | | 2,500,000 | | | | 2,500,000 | |
City of Syracuse NY | | | | | | | | |
2.25%, 07/10/2018 | | | 3,400,000 | | | | 3,400,408 | |
City of Troy NY | | | | | | | | |
2.75%, 02/08/2019 | | | 6,500,000 | | | | 6,536,205 | |
City of Yonkers NY | | | | | | | | |
4.00%, 07/01/2018 | | | 2,000,000 | | | | 2,000,000 | |
5.00%, 09/01/2022 | | | 2,350,000 | | | | 2,623,093 | |
5.00%, 09/01/2025 | | | 1,015,000 | | | | 1,178,953 | |
County of Broome NY | | | | | | | | |
3.00%, 05/03/2019 | | | 8,000,000 | | | | 8,086,560 | |
County of Erie NY | | | | | | | | |
5.00%, 09/15/2018 | | | 365,000 | | | | 367,621 | |
5.00%, 06/01/2019 | | | 1,000,000 | | | | 1,031,170 | |
5.00%, 09/15/2019 | | | 500,000 | | | | 520,235 | |
5.00%, 06/01/2020 | | | 500,000 | | | | 530,890 | |
5.00%, 09/15/2020 | | | 350,000 | | | | 374,591 | |
5.00%, 06/01/2021 | | | 750,000 | | | | 815,752 | |
5.00%, 09/15/2021 | | | 225,000 | | | | 246,476 | |
5.00%, 06/01/2025 | | | 1,000,000 | | | | 1,163,270 | |
| | | | | | | | |
County of Nassau NY | | | | | | | | |
3.00%, 09/18/2018 | | | 4,700,000 | | | | 4,714,993 | |
5.00%, 10/01/2024 | | | 5,000,000 | | | | 5,730,800 | |
County of Rockland NY | | | | | | | | |
4.00%, 01/01/2021 | | | 1,100,000 | | | | 1,156,562 | |
County of Schoharie NY | | | | | | | | |
2.50%, 11/08/2018 | | | 1,700,000 | | | | 1,705,355 | |
County of Suffolk NY | | | | | | | | |
2.50%, 07/25/2018 | | | 4,800,000 | | | | 4,802,784 | |
2.25%, 09/27/2018 | | | 8,700,000 | | | | 8,713,746 | |
4.00%, 02/01/2028 | | | 1,615,000 | | | | 1,775,370 | |
Dutchess County Local Development Corp. | | | | | | | | |
5.00%, 07/01/2033 | | | 400,000 | | | | 447,144 | |
East Aurora Union Free School District | | | | | | | | |
2.25%, 08/01/2018 | | | 521,971 | | | | 522,206 | |
Erie County Fiscal Stability Authority | | | | | | | | |
5.00%, 09/01/2033 | | | 525,000 | | | | 619,138 | |
Glen Cove Local Economic Assistance Corp. | | | | | | | | |
0.00%, 01/01/2045 | | | 530,000 | | | | 145,422 | |
0.00%, 01/01/2055 | | | 710,000 | | | | 595,704 | |
5.00%, 01/01/2056 | | | 485,000 | | | | 504,390 | |
Gloversville Enlarged School District | | | | | | | | |
2.25%, 10/19/2018 | | | 1,000,000 | | | | 1,001,750 | |
Hempstead Town Local Development Corp. | | | | | | | | |
5.89%, 02/01/2032 | | | 1,250,000 | | | | 1,192,662 | |
6.47%, 02/01/2033 | | | 1,000,000 | | | | 1,001,340 | |
6.24%, 02/01/2047 | | | 1,000,000 | | | | 938,100 | |
Hudson Yards Infrastructure Corp. | | | | | | | | |
5.00%, 02/15/2035 | | | 1,700,000 | | | | 1,956,428 | |
Lansingburgh Central School District at Troy | | | | | | | | |
2.50%, 07/20/2018 | | | 900,000 | | | | 900,396 | |
Long Island Power Authority | | | | | | | | |
5.00%, 09/01/2021 | | | 500,000 | | | | 546,520 | |
5.00%, 09/01/2022 | | | 1,000,000 | | | | 1,113,260 | |
5.00%, 09/01/2023 | | | 550,000 | | | | 623,293 | |
5.00%, 09/01/2024 | | | 2,735,000 | | | | 3,027,508 | |
Metropolitan Transportation Authority | | | | | | | | |
4.00%, 02/15/2019 | | | 15,700,000 | | | | 15,938,012 | |
4.00%, 08/15/2019 | | | 600,000 | | | | 615,564 | |
4.00%, 08/15/2019 | | | 1,580,000 | | | | 1,620,985 | |
4.00%, 08/15/2019 | | | 800,000 | | | | 820,752 | |
| | | | | | | | |
5.00%, 11/15/2019 | | | 2,005,000 | | | | 2,097,310 | |
5.00%, 11/15/2019 | | | 1,290,000 | | | | 1,349,392 | |
5.00%, 11/15/2020 | | | 2,000,000 | | | | 2,151,460 | |
5.00%, 11/15/2021 | | | 500,000 | | | | 549,965 | |
5.00%, 11/15/2021 | | | 640,000 | | | | 703,955 | |
5.00%, 11/15/2023 | | | 3,225,000 | | | | 3,670,889 | |
1.96% (SIFMA Municipal Swap Index + 0.45%), 11/01/2026 (3) | | | 2,955,000 | | | | 2,975,360 | |
0.00%, 11/15/2033 | | | 1,600,000 | | | | 921,920 | |
5.00%, 11/15/2045 (2) | | | 4,470,000 | | | | 4,774,094 | |
MTA Hudson Rail Yards Trust Obligations | | | | | | | | |
5.00%, 11/15/2051 | | | 1,500,000 | | | | 1,594,845 | |
Nassau County Industrial Development Agency | | | | | | | | |
6.50%, 01/01/2034 | | | 672,500 | | | | 705,775 | |
6.70%, 01/01/2049 | | | 793,750 | | | | 843,082 | |
New York City Industrial Development Agency | | | | | | | | |
5.00%, 07/01/2019 | | | 1,000,000 | | | | 1,031,200 | |
New York City Transitional Finance Authority Building Aid Revenue | | | | | | | | |
5.00%, 07/15/2020 | | | 300,000 | | | | 320,262 | |
5.00%, 07/15/2020 | | | 350,000 | | | | 373,639 | |
5.00%, 07/15/2024 | | | 200,000 | | | | 231,110 | |
5.00%, 07/15/2032 | | | 2,000,000 | | | | 2,329,920 | |
New York City Transitional Finance Authority Future Tax Secured Revenue | | | | | | | | |
5.00%, 02/01/2019 | | | 1,000,000 | | | | 1,021,160 | |
5.00%, 11/01/2021 | | | 1,000,000 | | | | 1,101,870 | |
1.70%, 11/01/2022 (2) | | | 2,480,000 | | | | 2,480,000 | |
5.00%, 08/01/2024 | | | 3,000,000 | | | | 3,469,830 | |
5.00%, 11/01/2028 | | | 1,500,000 | | | | 1,741,995 | |
5.00%, 11/01/2029 | | | 2,000,000 | | | | 2,294,400 | |
5.00%, 02/01/2030 | | | 4,480,000 | | | | 5,181,747 | |
5.00%, 02/01/2041 | | | 200,000 | | | | 223,586 | |
New York City Water & Sewer System | | | | | | | | |
5.00%, 06/15/2031 | | | 6,075,000 | | | | 6,963,226 | |
New York Convention Center Development Corp. | | | | | | | | |
5.00%, 11/15/2033 | | | 3,000,000 | | | | 3,434,340 | |
New York Liberty Development Corp. | | | | | | | | |
5.25%, 10/01/2035 | | | 2,285,000 | | | | 2,836,416 | |
5.38%, 11/15/2040 (1) | | | 1,500,000 | | | | 1,653,870 | |
5.00%, 11/15/2044 (1) | | | 1,500,000 | | | | 1,590,420 | |
5.75%, 11/15/2051 | | | 2,000,000 | | | | 2,228,440 | |
| | | | | | | | |
New York State Dormitory Authority | | | | | | | | |
4.00%, 12/01/2018 (1) | | | 300,000 | | | | 302,178 | |
5.00%, 03/15/2019 | | | 3,500,000 | | | | 3,588,900 | |
4.00%, 12/01/2019 (1) | | | 500,000 | | | | 511,305 | |
5.00%, 03/15/2021 | | | 1,000,000 | | | | 1,085,040 | |
5.00%, 03/15/2021 | | | 1,000,000 | | | | 1,084,770 | |
4.00%, 12/01/2021 (1) | | | 500,000 | | | | 522,200 | |
5.00%, 12/01/2022 (1) | | | 900,000 | | | | 984,339 | |
5.00%, 07/01/2023 | | | 250,000 | | | | 284,332 | |
5.00%, 12/15/2023 | | | 1,000,000 | | | | 1,128,020 | |
5.00%, 05/01/2024 | | | 4,870,000 | | | | 5,588,909 | |
5.00%, 07/01/2024 | | | 250,000 | | | | 288,352 | |
5.00%, 07/01/2025 | | | 250,000 | | | | 291,448 | |
5.00%, 03/15/2027 | | | 2,500,000 | | | | 2,898,325 | |
5.00%, 10/01/2028 | | | 1,735,000 | | | | 2,061,024 | |
5.00%, 10/01/2029 | | | 1,430,000 | | | | 1,688,444 | |
5.00%, 10/01/2030 | | | 1,910,000 | | | | 2,246,676 | |
5.00%, 02/15/2031 | | | 5,000,000 | | | | 5,836,850 | |
5.25%, 03/15/2033 | | | 5,000,000 | | | | 5,811,250 | |
New York State Environmental Facilities Corp. | | | | | | | | |
5.00%, 06/15/2021 | | | 2,550,000 | | | | 2,783,402 | |
New York State Thruway Authority | | | | | | | | |
5.00%, 05/01/2019 | | | 18,800,000 | | | | 19,337,304 | |
New York State Urban Development Corp. | | | | | | | | |
5.00%, 12/15/2019 | | | 625,000 | | | | 656,625 | |
5.00%, 03/15/2020 | | | 3,215,000 | | | | 3,401,984 | |
5.00%, 03/15/2020 | | | 1,000,000 | | | | 1,058,160 | |
5.00%, 03/15/2021 | | | 500,000 | | | | 542,385 | |
5.00%, 03/15/2022 | | | 360,000 | | | | 399,820 | |
5.00%, 03/15/2023 | | | 700,000 | | | | 792,729 | |
5.00%, 03/15/2024 | | | 400,000 | | | | 460,372 | |
5.00%, 03/15/2032 | | | 9,500,000 | | | | 11,133,905 | |
5.00%, 03/15/2035 | | | 2,800,000 | | | | 3,160,108 | |
New York Transportation Development Corp. | | | | | | | | |
5.00%, 08/01/2019 | | | 2,000,000 | | | | 2,059,940 | |
5.00%, 01/01/2023 | | | 270,000 | | | | 296,957 | |
5.00%, 08/01/2026 | | | 1,000,000 | | | | 1,055,040 | |
5.00%, 08/01/2031 | | | 5,105,000 | | | | 5,355,349 | |
5.00%, 01/01/2034 | | | 5,500,000 | | | | 6,161,540 | |
5.00%, 07/01/2041 | | | 2,300,000 | | | | 2,486,392 | |
5.00%, 07/01/2046 | | | 800,000 | | | | 862,584 | |
| | | | | | | | |
North Tonawanda City School District | | | | | | | | |
2.20%, 08/24/2018 | | | 1,400,000 | | | | 1,401,260 | |
Port Authority of New York & New Jersey | | | | | | | | |
5.00%, 09/15/2024 | | | 5,115,000 | | | | 5,832,430 | |
5.00%, 09/15/2026 | | | 4,160,000 | | | | 4,819,610 | |
5.00%, 10/15/2028 | | | 4,000,000 | | | | 4,570,360 | |
5.00%, 10/15/2033 | | | 3,500,000 | | | | 3,897,985 | |
Rome City School District | | | | | | | | |
2.25%, 08/03/2018 | | | 1,900,000 | | | | 1,900,760 | |
South Glens Falls Central School District | | | | | | | | |
2.25%, 07/27/2018 | | | 1,700,000 | | | | 1,700,714 | |
Suffolk County Economic Development Corp. | | | | | | | | |
5.00%, 07/01/2028 | | | 300,000 | | | | 327,405 | |
5.00%, 07/01/2028 | | | 1,750,000 | | | | 1,884,383 | |
Tompkins County Development Corp. | | | | | | | | |
5.00%, 07/01/2044 | | | 125,000 | | | | 133,873 | |
Westchester County Local Development Corp. | | | | | | | | |
5.50%, 05/01/2042 | | | 150,000 | | | | 166,016 | |
| | | | | | | | |
| | | | | | | 335,913,627 | |
| | | | | | | | |
North Carolina - 2.20% | | | | | | | | |
Charlotte-Mecklenburg Hospital Authority | | | | | | | | |
5.00%, 01/15/2031 | | | 1,500,000 | | | | 1,645,770 | |
City of Asheville NC | | | | | | | | |
5.00%, 10/01/2026 | | | 315,000 | | | | 373,332 | |
City of Charlotte NC | | | | | | | | |
5.00%, 07/01/2020 | | | 2,000,000 | | | | 2,130,920 | |
City of Charlotte NC Airport Revenue | | | | | | | | |
5.00%, 07/01/2022 | | | 1,310,000 | | | | 1,449,004 | |
City of Charlotte NC Water & Sewer System Revenue | | | | | | | | |
5.00%, 07/01/2020 | | | 1,070,000 | | | | 1,140,042 | |
5.00%, 07/01/2021 | | | 500,000 | | | | 546,590 | |
County of Forsyth NC | | | | | | | | |
5.00%, 03/01/2021 | | | 860,000 | | | | 931,879 | |
County of Guilford NC | | | | | | | | |
5.00%, 02/01/2019 | | | 1,585,000 | | | | 1,617,524 | |
County of Mecklenburg NC | | | | | | | | |
5.00%, 12/01/2019 | | | 1,500,000 | | | | 1,572,585 | |
County of New Hanover NC | | | | | | | | |
5.00%, 10/01/2021 | | | 1,000,000 | | | | 1,092,110 | |
5.00%, 10/01/2022 | | | 1,000,000 | | | | 1,114,990 | |
| | | | | | | | |
5.00%, 10/01/2023 | | | 1,125,000 | | | | 1,276,009 | |
5.00%, 10/01/2034 | | | 1,000,000 | | | | 1,140,440 | |
County of Wake NC | | | | | | | | |
5.00%, 03/01/2020 | | | 1,515,000 | | | | 1,598,810 | |
5.00%, 09/01/2021 | | | 350,000 | | | | 384,030 | |
5.00%, 03/01/2023 | | | 1,900,000 | | | | 2,155,132 | |
5.00%, 12/01/2027 | | | 3,785,000 | | | | 4,501,879 | |
Mecklenburg County Public Facilities Corp. | | | | | | | | |
5.00%, 02/01/2023 | | | 2,160,000 | | | | 2,442,096 | |
5.00%, 03/01/2024 | | | 2,600,000 | | | | 2,659,592 | |
North Carolina Capital Facilities Finance Agency | | | | | | | | |
5.00%, 06/01/2019 | | | 500,000 | | | | 513,055 | |
5.00%, 06/01/2021 | | | 500,000 | | | | 534,150 | |
1.85%, 06/01/2038 (2) | | | 700,000 | | | | 699,986 | |
North Carolina Eastern Municipal Power Agency | | | | | | | | |
5.00%, 01/01/2020 | | | 1,000,000 | | | | 1,017,280 | |
5.00%, 01/01/2021 | | | 1,420,000 | | | | 1,444,538 | |
5.00%, 01/01/2021 | | | 1,965,000 | | | | 2,119,213 | |
5.00%, 01/01/2026 | | | 5,000,000 | | | | 5,086,400 | |
North Carolina Medical Care Commission | | | | | | | | |
4.00%, 10/01/2019 | | | 15,000 | | | | 15,314 | |
5.00%, 10/01/2020 | | | 20,000 | | | | 21,097 | |
5.00%, 10/01/2021 | | | 25,000 | | | | 26,790 | |
5.00%, 10/01/2022 | | | 40,000 | | | | 43,397 | |
5.00%, 10/01/2023 | | | 110,000 | | | | 122,518 | |
5.00%, 10/01/2023 | | | 30,000 | | | | 32,784 | |
5.00%, 10/01/2024 | | | 300,000 | | | | 338,841 | |
5.00%, 10/01/2024 | | | 35,000 | | | | 38,560 | |
5.00%, 10/01/2025 | | | 250,000 | | | | 275,313 | |
5.00%, 10/01/2025 | | | 25,000 | | | | 27,700 | |
5.00%, 10/01/2026 | | | 250,000 | | | | 281,155 | |
1.50%, 10/01/2028 (2) | | | 2,000,000 | | | | 2,000,000 | |
5.00%, 10/01/2030 | | | 220,000 | | | | 234,038 | |
5.00%, 10/01/2030 | | | 2,100,000 | | | | 2,240,049 | |
5.00%, 10/01/2030 | | | 460,000 | | | | 513,907 | |
5.00%, 10/01/2031 | | | 2,950,000 | | | | 3,195,056 | |
5.00%, 10/01/2031 | | | 245,000 | | | | 272,964 | |
6.25%, 07/01/2035 | | | 1,000,000 | | | | 1,118,700 | |
5.00%, 10/01/2036 | | | 130,000 | | | | 135,463 | |
5.00%, 09/01/2037 | | | 2,000,000 | | | | 2,122,740 | |
5.00%, 10/01/2037 | | | 250,000 | | | | 268,303 | |
4.88%, 07/01/2040 | | | 550,000 | | | | 577,742 | |
5.00%, 09/01/2041 | | | 440,000 | | | | 461,912 | |
| | | | | | | | |
North Carolina Municipal Power Agency No. 1 | | | | | | | | |
5.00%, 01/01/2020 | | | 1,100,000 | | | | 1,154,681 | |
5.00%, 01/01/2025 | | | 2,935,000 | | | | 2,986,451 | |
5.00%, 01/01/2026 | | | 2,515,000 | | | | 2,559,088 | |
North Carolina Turnpike Authority | | | | | | | | |
5.00%, 01/01/2020 | | | 350,000 | | | | 365,435 | |
5.00%, 01/01/2027 | | | 530,000 | | | | 613,698 | |
5.00%, 01/01/2032 | | | 1,000,000 | | | | 1,132,960 | |
5.00%, 07/01/2051 | | | 1,700,000 | | | | 1,849,277 | |
State of North Carolina | | | | | | | | |
5.00%, 06/01/2020 | | | 1,360,000 | | | | 1,445,612 | |
5.00%, 06/01/2021 | | | 1,415,000 | | | | 1,543,255 | |
5.00%, 03/01/2022 | | | 1,000,000 | | | | 1,105,370 | |
5.00%, 06/01/2022 | | | 1,000,000 | | | | 1,117,100 | |
5.00%, 06/01/2022 | | | 2,150,000 | | | | 2,401,765 | |
5.00%, 03/01/2023 | | | 2,335,000 | | | | 2,630,798 | |
| | | | | | | | |
| | | | | | | 76,457,189 | |
| | | | | | | | |
Ohio - 1.73% | | | | | | | | |
Akron Bath Copley Joint Township Hospital District | | | | | | | | |
5.25%, 11/15/2031 | | | 530,000 | | | | 595,519 | |
5.25%, 11/15/2032 | | | 645,000 | | | | 722,258 | |
5.25%, 11/15/2033 | | | 1,770,000 | | | | 1,975,231 | |
American Municipal Power, Inc. | | | | | | | | |
5.00%, 02/15/2034 (2) | | | 4,770,000 | | | | 4,862,204 | |
Buckeye Tobacco Settlement Financing Authority | | | | | | | | |
5.88%, 06/01/2047 | | | 3,600,000 | | | | 3,615,372 | |
6.50%, 06/01/2047 | | | 3,000,000 | | | | 3,076,830 | |
City of Columbus OH | | | | | | | | |
5.00%, 02/15/2020 | | | 800,000 | | | | 842,960 | |
5.00%, 07/01/2020 | | | 1,040,000 | | | | 1,107,017 | |
5.00%, 02/15/2022 | | | 1,710,000 | | | | 1,891,876 | |
City of Trenton OH Water System Revenue | | | | | | | | |
2.00%, 12/01/2018 | | | 265,000 | | | | 264,836 | |
Clermont County Port Authority | | | | | | | | |
5.00%, 12/01/2029 | | | 750,000 | | | | 855,945 | |
5.00%, 12/01/2030 | | | 850,000 | | | | 968,252 | |
5.00%, 12/01/2031 | | | 650,000 | | | | 741,357 | |
| | | | | | | | |
Cleveland-Cuyahoga County Port Authority | | | | | | | | |
5.50%, 12/01/2053 | | | 400,000 | | | | 439,224 | |
County of Allen OH Hospital Facilities Revenue | | | | | | | | |
5.00%, 08/01/2047 (2) | | | 500,000 | | | | 553,000 | |
County of Cuyahoga OH | | | | | | | | |
5.00%, 12/01/2026 | | | 2,500,000 | | | | 2,797,650 | |
5.00%, 02/15/2042 | | | 525,000 | | | | 557,812 | |
5.50%, 02/15/2052 | | | 1,790,000 | | | | 1,956,703 | |
5.50%, 02/15/2057 | | | 1,245,000 | | | | 1,356,241 | |
County of Hamilton OH | | | | | | | | |
4.00%, 01/01/2021 | | | 450,000 | | | | 466,335 | |
5.00%, 01/01/2022 | | | 465,000 | | | | 501,405 | |
County of Muskingum OH | | | | | | | | |
4.00%, 02/15/2023 | | | 1,700,000 | | | | 1,755,675 | |
County of Wood OH | | | | | | | | |
5.00%, 12/01/2032 | | | 115,000 | | | | 120,172 | |
5.00%, 12/01/2042 | | | 145,000 | | | | 149,917 | |
JobsOhio Beverage System | | | | | | | | |
5.00%, 01/01/2022 | | | 2,300,000 | | | | 2,523,606 | |
Miami University/Oxford OH | | | | | | | | |
5.00%, 09/01/2034 | | | 700,000 | | | | 802,830 | |
Ohio Air Quality Development Authority | | | | | | | | |
4.25%, 01/15/2038 (1) | | | 250,000 | | | | 255,908 | |
4.50%, 01/15/2048 (1) | | | 275,000 | | | | 284,922 | |
Southeastern Ohio Port Authority | | | | | | | | |
5.75%, 12/01/2032 | | | 445,000 | | | | 480,484 | |
6.00%, 12/01/2042 | | | 550,000 | | | | 594,286 | |
5.50%, 12/01/2043 | | | 1,000,000 | | | | 1,072,360 | |
State of Ohio | | | | | | | | |
4.00%, 09/01/2021 | | | 3,980,000 | | | | 4,235,158 | |
1.70%, 11/01/2022 (2) | | | 3,000,000 | | | | 2,998,590 | |
5.00%, 08/01/2024 | | | 2,500,000 | | | | 2,888,450 | |
5.00%, 01/01/2030 | | | 1,170,000 | | | | 1,388,661 | |
University of Akron/The | | | | | | | | |
5.00%, 01/01/2037 | | | 6,675,000 | | | | 7,471,661 | |
University of Cincinnati | | | | | | | | |
5.00%, 06/01/2027 | | | 2,000,000 | | | | 2,333,400 | |
5.00%, 06/01/2028 | | | 250,000 | | | | 294,615 | |
5.00%, 06/01/2029 | | | 400,000 | | | | 469,312 | |
| | | | | | | | |
| | | | | | | 60,268,034 | |
| | | | | | | | |
| | | | | | | | |
Oklahoma - 0.95% | | | | | | | | |
Cache Educational Facilities Authority | | | | | | | | |
5.00%, 09/01/2026 | | | 3,220,000 | | | | 3,738,613 | |
Canadian County Educational Facilities Authority | | | | | | | | |
4.00%, 09/01/2025 | | | 1,500,000 | | | | 1,634,325 | |
5.00%, 09/01/2028 | | | 1,000,000 | | | | 1,157,900 | |
Canadian County Oklahoma Educational Facilities | | | | | | | | |
5.00%, 09/01/2026 | | | 1,725,000 | | | | 2,013,799 | |
Cleveland County Educational Facilities Authority | | | | | | | | |
5.00%, 07/01/2018 | | | 1,000,000 | | | | 1,000,000 | |
5.00%, 09/01/2024 | | | 365,000 | | | | 415,454 | |
5.00%, 09/01/2025 | | | 300,000 | | | | 344,433 | |
5.00%, 09/01/2026 | | | 375,000 | | | | 433,916 | |
Dewey County Educational Facilities Authority | | | | | | | | |
5.00%, 09/01/2030 | | | 2,470,000 | | | | 2,787,000 | |
Garvin County Educational Facilities Authority | | | | | | | | |
5.00%, 12/01/2024 | | | 515,000 | | | | 579,128 | |
5.00%, 12/01/2025 | | | 545,000 | | | | 614,237 | |
5.00%, 12/01/2026 | | | 320,000 | | | | 362,931 | |
Grady County School Finance Authority | | | | | | | | |
5.00%, 09/01/2028 | | | 375,000 | | | | 431,036 | |
5.00%, 09/01/2030 | | | 1,235,000 | | | | 1,409,222 | |
Grand River Dam Authority | | | | | | | | |
5.00%, 06/01/2023 | | | 1,000,000 | | | | 1,135,140 | |
Norman Regional Hospital Authority | | | | | | | | |
4.00%, 09/01/2018 | | | 125,000 | | | | 125,449 | |
5.00%, 09/01/2020 | | | 350,000 | | | | 371,325 | |
5.00%, 09/01/2021 | | | 325,000 | | | | 351,907 | |
5.00%, 09/01/2022 | | | 325,000 | | | | 358,397 | |
Oklahoma County Finance Authority | | | | | | | | |
5.70%, 04/01/2025 | | | 540,000 | | | | 540,108 | |
5.13%, 04/01/2042 | | | 1,900,000 | | | | 1,733,313 | |
Oklahoma Development Finance Authority | | | | | | | | |
3.00%, 06/01/2022 | | | 1,015,000 | | | | 1,048,729 | |
4.00%, 12/01/2022 | | | 530,000 | | | | 571,043 | |
4.00%, 06/01/2023 | | | 1,305,000 | | | | 1,412,493 | |
3.00%, 06/01/2024 | | | 1,750,000 | | | | 1,804,600 | |
4.00%, 06/01/2024 | | | 380,000 | | | | 412,657 | |
5.00%, 08/15/2026 | | | 1,600,000 | | | | 1,798,304 | |
5.00%, 08/15/2029 | | | 420,000 | | | | 475,948 | |
| | | | | | | | |
5.00%, 08/15/2033 | | | 200,000 | | | | 224,098 | |
5.50%, 08/15/2052 | | | 830,000 | | | | 948,308 | |
5.50%, 08/15/2057 | | | 1,000,000 | | | | 1,138,030 | |
Tulsa County Industrial Authority | | | | | | | | |
1.30%, 05/01/2020 (2) | | | 1,000,000 | | | | 998,420 | |
5.00%, 11/15/2023 | | | 230,000 | | | | 253,476 | |
5.00%, 11/15/2029 | | | 400,000 | | | | 442,912 | |
| | | | | | | | |
| | | | | | | 33,066,651 | |
| | | | | | | | |
Oregon - 0.39% | | | | | | | | |
Clackamas County Hospital Facility Authority | | | | | | | | |
3.00%, 11/15/2022 | | | 120,000 | | | | 120,638 | |
5.00%, 11/15/2032 (5) | | | 500,000 | | | | 557,790 | |
County of Washington OR | | | | | | | | |
5.00%, 03/01/2022 | | | 3,000,000 | | | | 3,326,220 | |
Klamath Falls Intercommunity Hospital Authority | | | | | | | | |
5.00%, 09/01/2031 | | | 200,000 | | | | 227,052 | |
5.00%, 09/01/2032 | | | 270,000 | | | | 305,689 | |
5.00%, 09/01/2046 | | | 1,000,000 | | | | 1,107,140 | |
Port of Portland OR Airport Revenue | | | | | | | | |
5.00%, 07/01/2032 | | | 1,000,000 | | | | 1,107,820 | |
5.00%, 07/01/2033 | | | 3,485,000 | | | | 3,854,724 | |
Washington County School District No. 1 West Union | | | | | | | | |
5.00%, 06/15/2028 | | | 1,525,000 | | | | 1,812,874 | |
Yamhill County Hospital Authority | | | | | | | | |
5.00%, 11/15/2051 | | | 1,005,000 | | | | 1,065,541 | |
| | | | | | | | |
| | | | | | | 13,485,488 | |
| | | | | | | | |
Pennsylvania - 5.63% | | | | | | | | |
Allentown Neighborhood Improvement Zone Development Authority | | | | | | | | |
5.00%, 05/01/2022 (1) | | | 2,000,000 | | | | 2,152,560 | |
5.00%, 05/01/2032 (1) | | | 2,025,000 | | | | 2,208,870 | |
Capital Region Water | | | | | | | | |
5.00%, 07/15/2023 | | | 1,750,000 | | | | 1,972,460 | |
5.00%, 07/15/2025 | | | 1,000,000 | | | | 1,149,880 | |
Capital Region Water Sewer Revenue | | | | | | | | |
5.00%, 07/15/2024 | | | 430,000 | | | | 489,078 | |
5.00%, 07/15/2028 | | | 350,000 | | | | 405,027 | |
City of Philadelphia PA | | | | | | | | |
5.00%, 08/01/2023 | | | 4,000,000 | | | | 4,514,720 | |
5.00%, 07/15/2026 | | | 2,475,000 | | | | 2,756,309 | |
5.00%, 08/01/2027 | | | 1,500,000 | | | | 1,727,805 | |
5.00%, 08/01/2028 | | | 6,000,000 | | | | 6,759,960 | |
5.00%, 08/01/2033 | | | 2,000,000 | | | | 2,258,080 | |
| | | | | | | | |
City of Philadelphia PA Airport Revenue | | | | | | | | |
5.00%, 07/01/2030 | | | 1,000,000 | | | | 1,148,990 | |
City of Philadelphia PA Water & Wastewater Revenue | | | | | | | | |
5.00%, 11/01/2026 | | | 1,165,000 | | | | 1,371,205 | |
5.00%, 11/01/2027 | | | 1,540,000 | | | | 1,826,101 | |
5.00%, 11/01/2032 | | | 1,000,000 | | | | 1,163,400 | |
City of Reading PA | | | | | | | | |
5.00%, 11/01/2027 | | | 2,330,000 | | | | 2,673,908 | |
Coatesville School District | | | | | | | | |
5.00%, 08/01/2025 | | | 875,000 | | | | 1,000,212 | |
Commonwealth Financing Authority | | | | | | | | |
5.00%, 06/01/2022 | | | 1,000,000 | | | | 1,094,920 | |
5.00%, 06/01/2023 | | | 750,000 | | | | 833,932 | |
5.00%, 06/01/2025 | | | 1,500,000 | | | | 1,722,255 | |
5.00%, 06/01/2027 | | | 1,500,000 | | | | 1,720,380 | |
5.00%, 06/01/2028 | | | 2,500,000 | | | | 2,884,150 | |
5.00%, 06/01/2035 | | | 325,000 | | | | 365,521 | |
Commonwealth of Pennsylvania | | | | | | | | |
5.00%, 02/01/2020 | | | 2,050,000 | | | | 2,148,626 | |
5.00%, 11/01/2020 | | | 2,800,000 | | | | 2,988,076 | |
5.00%, 08/15/2021 | | | 1,015,000 | | | | 1,100,128 | |
5.00%, 11/01/2021 | | | 2,000,000 | | | | 2,177,340 | |
5.00%, 09/15/2022 | | | 1,750,000 | | | | 1,935,115 | |
5.00%, 02/01/2023 | | | 895,000 | | | | 994,479 | |
5.00%, 03/15/2023 | | | 9,970,000 | | | | 11,105,882 | |
5.00%, 09/15/2026 | | | 1,000,000 | | | | 1,151,450 | |
5.00%, 03/15/2031 | | | 430,000 | | | | 481,553 | |
County of Luzerne PA | | | | | | | | |
5.00%, 12/15/2029 | | | 750,000 | | | | 846,277 | |
Cumberland County Municipal Authority | | | | | | | | |
5.25%, 01/01/2041 | | | 170,000 | | | | 174,966 | |
Dauphin County General Authority | | | | | | | | |
5.00%, 06/01/2020 | | | 815,000 | | | | 860,762 | |
Delaware County Authority | | | | | | | | |
5.00%, 08/01/2030 | | | 1,150,000 | | | | 1,312,978 | |
Delaware River Joint Toll Bridge Commission | | | | | | | | |
5.00%, 07/01/2042 | | | 1,100,000 | | | | 1,249,094 | |
| | | | | | | | |
Doylestown Hospital Authority | | | | | | | | |
5.00%, 07/01/2046 | | | 3,700,000 | | | | 3,953,635 | |
Hospitals & Higher Education Facilities Authority of Philadelphia | | | | | | | | |
5.00%, 07/01/2019 | | | 225,000 | | | | 230,805 | |
5.00%, 07/01/2020 | | | 225,000 | | | | 235,699 | |
5.00%, 07/01/2021 | | | 275,000 | | | | 292,996 | |
5.00%, 07/01/2022 | | | 325,000 | | | | 351,588 | |
5.00%, 07/01/2023 | | | 325,000 | | | | 355,888 | |
5.00%, 07/01/2030 | | | 780,000 | | | | 862,641 | |
5.00%, 07/01/2034 | | | 2,000,000 | | | | 2,184,580 | |
Lancaster County Hospital Authority/PA | | | | | | | | |
5.00%, 07/01/2023 | | | 775,000 | | | | 850,167 | |
5.00%, 07/01/2031 | | | 450,000 | | | | 492,611 | |
5.00%, 12/01/2032 | | | 250,000 | | | | 259,455 | |
5.00%, 12/01/2037 | | | 820,000 | | | | 840,713 | |
5.00%, 07/01/2045 | | | 1,970,000 | | | | 2,091,628 | |
5.00%, 12/01/2047 | | | 2,010,000 | | | | 2,047,547 | |
Lehigh County Industrial Development Authority | | | | | | | | |
1.80%, 02/15/2027 (2) | | | 1,000,000 | | | | 982,010 | |
1.80%, 09/01/2029 (2) | | | 670,000 | | | | 655,206 | |
Luzerne County Industrial Development Authority | | | | | | | | |
5.00%, 12/15/2027 | | | 1,000,000 | | | | 1,101,050 | |
Montgomery County Higher Education & Health Authority | | | | | | | | |
5.00%, 09/01/2022 | | | 525,000 | | | | 582,025 | |
5.00%, 09/01/2023 | | | 460,000 | | | | 518,908 | |
5.00%, 10/01/2023 (5) | | | 50,000 | | | | 55,226 | |
5.00%, 09/01/2024 | | | 410,000 | | | | 467,929 | |
5.00%, 10/01/2028 (5) | | | 1,000,000 | | | | 1,123,320 | |
5.00%, 10/01/2036 (5) | | | 1,320,000 | | | | 1,438,945 | |
Montgomery County Industrial Development Authority/PA | | | | | | | | |
5.25%, 01/15/2036 | | | 2,500,000 | | | | 2,691,475 | |
5.25%, 01/01/2040 | | | 1,510,000 | | | | 1,518,245 | |
5.38%, 01/01/2050 | | | 500,000 | | | | 504,770 | |
Northampton County General Purpose Authority | | | | | | | | |
5.00%, 08/15/2036 | | | 455,000 | | | | 506,242 | |
2.45% (1 Month LIBOR USD + 1.04%), 08/15/2048 (3) | | | 1,625,000 | | | | 1,627,535 | |
4.00%, 08/15/2048 | | | 470,000 | | | | 469,164 | |
Pennsylvania Economic Development Financing Authority | | | | | | | | |
0.40%, 04/01/2019 | | | 1,500,000 | | | | 1,500,000 | |
4.00%, 03/15/2020 | | | 1,000,000 | | | | 1,037,850 | |
1.70%, 08/01/2037 (2) | | | 1,000,000 | | | | 983,250 | |
| | | | | | | | |
Pennsylvania Higher Educational Facilities Authority | | | | | | | | |
5.00%, 06/15/2022 | | | 2,000,000 | | | | 2,209,140 | |
5.00%, 06/15/2024 | | | 3,005,000 | | | | 3,417,917 | |
5.00%, 06/15/2025 | | | 1,855,000 | | | | 2,130,022 | |
5.00%, 08/15/2029 | | | 1,600,000 | | | | 1,870,224 | |
Pennsylvania State University | | | | | | | | |
5.00%, 09/01/2020 | | | 2,440,000 | | | | 2,609,556 | |
5.00%, 09/01/2021 | | | 1,400,000 | | | | 1,534,316 | |
5.00%, 09/01/2022 | | | 2,295,000 | | | | 2,573,406 | |
Pennsylvania Turnpike Commission | | | | | | | | |
5.00%, 06/01/2028 | | | 2,000,000 | | | | 2,266,240 | |
5.00%, 06/01/2028 | | | 2,500,000 | | | | 2,888,375 | |
5.00%, 06/01/2032 | | | 2,000,000 | | | | 2,244,180 | |
5.00%, 06/01/2033 | | | 3,155,000 | | | | 3,527,322 | |
5.00%, 12/01/2034 | | | 1,000,000 | | | | 1,141,760 | |
Philadelphia Authority for Industrial Development | | | | | | | | |
5.00%, 07/01/2031 | | | 205,000 | | | | 221,484 | |
5.00%, 07/01/2032 | | | 600,000 | | | | 646,362 | |
5.00%, 07/01/2037 | | | 150,000 | | | | 159,722 | |
Philadelphia Gas Works Co. | | | | | | | | |
5.00%, 08/01/2022 | | | 750,000 | | | | 828,683 | |
Pittsburgh Housing Authority | | | | | | | | |
1.40%, 10/01/2021(2) | | | 1,500,000 | | | | 1,489,890 | |
Reading School District | | | | | | | | |
5.00%, 02/01/2019 | | | 1,660,000 | | | | 1,690,959 | |
5.00%, 02/01/2020 | | | 1,000,000 | | | | 1,047,630 | |
5.00%, 02/01/2020 | | | 1,000,000 | | | | 1,047,630 | |
5.00%, 02/01/2021 | | | 1,000,000 | | | | 1,070,040 | |
5.00%, 02/01/2022 | | | 1,920,000 | | | | 2,095,661 | |
5.00%, 03/01/2035 | | | 1,100,000 | | | | 1,239,832 | |
5.00%, 03/01/2036 | | | 1,250,000 | | | | 1,405,887 | |
Redevelopment Authority of the City of Philadelphia | | | | | | | | |
5.00%, 04/15/2023 | | | 1,335,000 | | | | 1,456,819 | |
School District of Philadelphia | | | | | | | | |
5.00%, 09/01/2018 | | | 150,000 | | | | 150,817 | |
5.25%, 09/01/2023 | | | 1,750,000 | | | | 1,855,893 | |
5.00%, 09/01/2026 | | | 1,580,000 | | | | 1,802,274 | |
5.00%, 09/01/2030 | | | 15,000 | | | | 17,765 | |
5.00%, 09/01/2030 | | | 3,985,000 | | | | 4,490,338 | |
5.00%, 09/01/2031 | | | 1,000,000 | | | | 1,124,520 | |
5.00%, 09/01/2031 | | | 1,200,000 | | | | 1,374,852 | |
5.00%, 09/01/2032 | | | 1,200,000 | | | | 1,370,388 | |
| | | | | | | | |
Scranton School District/PA | | | | | | | | |
5.00%, 06/01/2033 | | | 530,000 | | | | 586,715 | |
5.00%, 06/01/2035 | | | 515,000 | | | | 566,073 | |
Southeastern Pennsylvania Transportation Authority | | | | | | | | |
5.00%, 03/01/2026 | | | 875,000 | | | | 1,025,299 | |
St. Mary Hospital Authority | | | | | | | | |
5.00%, 11/15/2022 | | | 1,900,000 | | | | 2,123,649 | |
State Public School Building Authority | | | | | | | | |
4.00%, 12/01/2020 | | | 1,590,000 | | | | 1,657,209 | |
5.00%, 12/01/2022 | | | 7,370,000 | | | | 8,160,875 | |
5.00%, 04/01/2023 | | | 2,500,000 | | | | 2,709,875 | |
5.00%, 06/15/2025 | | | 3,000,000 | | | | 3,412,140 | |
5.00%, 06/01/2026 | | | 180,000 | | | | 201,956 | |
5.00%, 06/01/2029 | | | 500,000 | | | | 573,390 | |
5.00%, 12/01/2029 | | | 2,000,000 | | | | 2,284,180 | |
5.25%, 09/15/2030 | | | 1,000,000 | | | | 1,129,870 | |
5.00%, 12/01/2032 | | | 3,060,000 | | | | 3,472,947 | |
Susquehanna Area Regional Airport Authority | | | | | | | | |
5.00%, 01/01/2035 | | | 1,000,000 | | | | 1,107,500 | |
5.00%, 01/01/2038 | | | 2,125,000 | | | | 2,340,900 | |
Unionville-Chadds Ford School District | | | | | | | | |
5.00%, 06/01/2026 | | | 1,000,000 | | | | 1,178,420 | |
Upper Merion Area School District/PA | | | | | | | | |
5.00%, 01/15/2030 | | | 600,000 | | | | 692,172 | |
York County School of Technology Authority | | | | | | | | |
5.00%, 02/15/2023 | | | 1,200,000 | | | | 1,341,108 | |
5.00%, 02/15/2028 | | | 400,000 | | | | 451,060 | |
| | | | | | | | |
| | | | | | | 195,554,794 | |
| | | | | | | | |
Puerto Rico - 0.11% | | | | | | | | |
Puerto Rico Commonwealth Aqueduct & Sewer Authority | | | | | | | | |
5.00%, 07/01/2019 | | | 600,000 | | | | 502,500 | |
6.13%, 07/01/2024 | | | 375,000 | | | | 315,000 | |
5.13%, 07/01/2047 | | | 1,000,000 | | | | 1,002,440 | |
Puerto Rico Electric Power Authority | | | | | | | | |
5.00%, 07/01/2019 | | | 1,500,000 | | | | 1,506,180 | |
5.50%, 07/01/2019 | | | 500,000 | | | | 511,165 | |
5.25%, 07/01/2027 | | | 145,000 | | | | 159,497 | |
| | | | | | | | |
| | | | | | | 3,996,782 | |
| | | | | | | | |
| | | | | | | | |
Rhode Island - 0.31% | | | | | | | | |
Providence Redevelopment Agency | | | | | | | | |
5.00%, 04/01/2028 | | | 1,200,000 | | | | 1,315,548 | |
Rhode Island Commerce Corp. | | | | | | | | |
5.00%, 06/15/2019 | | | 1,040,000 | | | | 1,073,603 | |
5.00%, 06/15/2020 | | | 3,200,000 | | | | 3,394,048 | |
5.00%, 06/15/2021 | | | 625,000 | | | | 678,256 | |
Rhode Island Health & Educational Building Corp. | | | | | | | | |
5.00%, 09/01/2031 | | | 710,000 | | | | 759,494 | |
5.00%, 09/01/2036 | | | 100,000 | | | | 105,262 | |
5.00%, 05/15/2039 | | | 700,000 | | | | 759,101 | |
Rhode Island Infrastructure Bank Water Pollution Control Revolving Fund | | | | | | | | |
5.00%, 10/01/2028 | | | 500,000 | | | | 584,145 | |
Rhode Island Student Loan Authority | | | | | | | | |
5.00%, 12/01/2024 | | | 600,000 | | | | 668,760 | |
5.00%, 12/01/2025 | | | 750,000 | | | | 838,425 | |
3.50%, 12/01/2034 | | | 685,000 | | | | 686,315 | |
| | | | | | | | |
| | | | | | | 10,862,957 | |
| | | | | | | | |
South Carolina - 0.92% | | | | | | | | |
Lancaster County School District/SC | | | | | | | | |
5.00%, 03/01/2023 | | | 445,000 | | | | 502,850 | |
Lexington County Health Services District, Inc. | | | | | | | | |
5.00%, 11/01/2019 | | | 250,000 | | | | 260,377 | |
5.00%, 11/01/2020 | | | 250,000 | | | | 265,675 | |
5.00%, 11/01/2022 | | | 250,000 | | | | 275,370 | |
5.00%, 11/01/2023 | | | 300,000 | | | | 335,280 | |
5.00%, 11/01/2024 | | | 780,000 | | | | 881,260 | |
Scago Educational Facilities Corp. for Sumter County School 17 | | | | | | | | |
4.00%, 12/01/2019 | | | 630,000 | | | | 645,838 | |
4.00%, 12/01/2021 | | | 1,895,000 | | | | 1,987,988 | |
Scago Educational Facilities Corp. for Union School District | | | | | | | | |
5.00%, 12/01/2023 | | | 1,060,000 | | | | 1,196,751 | |
South Carolina Jobs-Economic Development Authority | | | | | | | | |
2.25%, 05/01/2019 (1) | | | 2,000,000 | | | | 1,990,540 | |
6.00%, 02/01/2035 (1) | | | 525,000 | | | | 534,828 | |
5.00%, 05/01/2037 | | | 500,000 | | | | 525,455 | |
5.00%, 05/01/2042 | | | 500,000 | | | | 522,835 | |
6.25%, 02/01/2045 (1) | | | 995,000 | | | | 1,022,840 | |
5.00%, 04/01/2047 | | | 2,000,000 | | | | 2,077,360 | |
5.00%, 04/01/2052 | | | 1,750,000 | | | | 1,808,730 | |
| | | | | | | | |
South Carolina Ports Authority | | | | | | | | |
5.00%, 07/01/2022 | | | 2,000,000 | | | | 2,210,600 | |
South Carolina Public Service Authority | | | | | | | | |
5.00%, 12/01/2022 | | | 1,185,000 | | | | 1,304,330 | |
5.00%, 12/01/2032 | | | 1,500,000 | | | | 1,655,355 | |
5.00%, 12/01/2035 | | | 1,500,000 | | | | 1,647,765 | |
5.00%, 12/01/2041 | | | 3,000,000 | | | | 3,266,010 | |
5.75%, 12/01/2043 | | | 2,000,000 | | | | 2,212,740 | |
5.00%, 12/01/2050 | | | 2,665,000 | | | | 2,847,659 | |
South Carolina Transportation Infrastructure Bank | | | | | | | | |
5.00%, 10/01/2025 | | | 305,000 | | | | 354,788 | |
State of South Carolina | | | | | | | | |
5.00%, 10/01/2020 | | | 975,000 | | | | 1,046,204 | |
University of South Carolina | | | | | | | | |
4.00%, 05/01/2031 | | | 500,000 | | | | 529,620 | |
| | | | | | | | |
| | | | | | | 31,909,048 | |
| | | | | | | | |
South Dakota - 0.14% | | | | | | | | |
City of Sioux Falls SD | | | | | | | | |
5.00%, 11/01/2042 | | | 750,000 | | | | 768,945 | |
South Dakota Health & Educational Facilities Authority | | | | | | | | |
5.00%, 09/01/2019 | | | 300,000 | | | | 311,328 | |
5.00%, 11/01/2029 | | | 800,000 | | | | 907,336 | |
5.00%, 11/01/2030 | | | 1,000,000 | | | | 1,125,750 | |
5.00%, 11/01/2042 | | | 145,000 | | | | 158,036 | |
5.00%, 11/01/2045 | | | 1,500,000 | | | | 1,651,380 | |
| | | | | | | | |
| | | | | | | 4,922,775 | |
| | | | | | | | |
Tennessee - 1.42% | | | | | | | | |
Blount County Health & Educational Facilities Board | | | | | | | | |
5.00%, 01/01/2037 | | | 1,240,000 | | | | 1,301,219 | |
Chattanooga Health Educational & Housing Facility Board | | | | | | | | |
3.00%, 10/01/2018 | | | 500,000 | | | | 501,885 | |
3.00%, 10/01/2019 | | | 600,000 | | | | 609,558 | |
5.00%, 10/01/2020 | | | 205,000 | | | | 217,960 | |
5.00%, 10/01/2021 | | | 1,000,000 | | | | 1,083,260 | |
5.00%, 10/01/2022 | | | 325,000 | | | | 357,929 | |
5.00%, 10/01/2030 | | | 500,000 | | | | 544,260 | |
5.00%, 10/01/2032 | | | 1,215,000 | | | | 1,316,914 | |
5.00%, 10/01/2035 | | | 2,260,000 | | | | 2,431,692 | |
County of Monroe TN | | | | | | | | |
1.20%, 06/15/2019 | | | 1,500,000 | | | | 1,496,040 | |
| | | | | | | | |
Greeneville Health & Educational Facilities Board | | | | | | | | |
5.00%, 07/01/2021 | | | 500,000 | | | | 540,660 | |
5.00%, 07/01/2022 | | | 500,000 | | | | 551,240 | |
5.00%, 07/01/2025 | | | 1,850,000 | | | | 2,047,561 | |
5.00%, 07/01/2035 | | | 1,275,000 | | | | 1,450,109 | |
Johnson City Health & Educational Facilities Board | | | | | | | | |
5.00%, 08/15/2042 | | | 2,000,000 | | | | 2,110,880 | |
Knox County Health Educational & Housing Facility Board | | | | | | | | |
5.00%, 04/01/2023 | | | 1,825,000 | | | | 2,010,676 | |
5.00%, 04/01/2024 | | | 1,000,000 | | | | 1,115,390 | |
5.00%, 04/01/2027 | | | 1,740,000 | | | | 1,982,869 | |
Memphis-Shelby County Industrial Development Board | | | | | | | | |
4.75%, 07/01/2027 | | | 300,000 | | | | 316,857 | |
5.50%, 07/01/2037 | | | 600,000 | | | | 641,688 | |
Shelby County Health Educational & Housing Facilities Board | | | | | | | | |
5.00%, 09/01/2037 (1) | | | 1,590,000 | | | | 1,489,289 | |
State of Tennessee | | | | | | | | |
5.00%, 02/01/2020 | | | 3,500,000 | | | | 3,685,745 | |
5.00%, 08/01/2021 | | | 1,595,000 | | | | 1,746,621 | |
Tennessee Energy Acquisition Corp. | | | | | | | | |
5.00%, 02/01/2019 | | | 1,100,000 | | | | 1,119,998 | |
5.25%, 09/01/2019 | | | 1,750,000 | | | | 1,816,552 | |
5.25%, 09/01/2021 | | | 2,040,000 | | | | 2,223,070 | |
5.00%, 02/01/2023 | | | 1,310,000 | | | | 1,447,223 | |
5.25%, 09/01/2023 | | | 600,000 | | | | 676,002 | |
5.00%, 02/01/2027 | | | 2,725,000 | | | | 3,103,475 | |
4.00%, 05/01/2048 (2) | | | 8,860,000 | | | | 9,435,723 | |
| | | | | | | | |
| | | | | | | 49,372,345 | |
| | | | | | | | |
Texas - 11.13% | | | | | | | | |
Alamito Public Facility Corp. | | | | | | | | |
2.25%, 06/01/2021 (2) | | | 3,000,000 | | | | 3,004,440 | |
Alamo Community College District | | | | | | | | |
4.00%, 02/15/2020 | | | 1,000,000 | | | | 1,037,970 | |
4.00%, 02/15/2021 | | | 715,000 | | | | 753,889 | |
3.00%, 08/15/2021 | | | 7,695,000 | | | | 7,947,550 | |
4.00%, 02/15/2022 | | | 665,000 | | | | 711,649 | |
4.00%, 02/15/2023 | | | 1,000,000 | | | | 1,083,160 | |
3.00%, 11/01/2046 (2) | | | 2,100,000 | | | | 2,134,272 | |
| | | | | | | | |
Austin Community College District Public Facility Corp. | | | | | | | | |
5.00%, 08/01/2024 | | | 430,000 | | | | 490,256 | |
5.00%, 08/01/2028 | | | 310,000 | | | | 361,085 | |
5.00%, 08/01/2031 | | | 565,000 | | | | 653,230 | |
5.00%, 08/01/2031 | | | 300,000 | | | | 346,848 | |
Austin Convention Enterprises, Inc. | | | | | | | | |
5.00%, 01/01/2023 | | | 250,000 | | | | 277,200 | |
5.00%, 01/01/2025 | | | 150,000 | | | | 169,755 | |
5.00%, 01/01/2028 | | | 400,000 | | | | 457,016 | |
5.00%, 01/01/2029 | | | 425,000 | | | | 483,782 | |
5.00%, 01/01/2030 | | | 720,000 | | | | 798,768 | |
5.00%, 01/01/2034 | | | 730,000 | | | | 799,189 | |
Austin-Bergstrom Landhost Enterprises, Inc. | | | | | | | | |
5.00%, 10/01/2023 | | | 1,425,000 | | | | 1,597,539 | |
5.00%, 10/01/2025 | | | 1,780,000 | | | | 2,033,828 | |
5.00%, 10/01/2026 | | | 1,400,000 | | | | 1,613,052 | |
5.00%, 10/01/2028 | | | 1,925,000 | | | | 2,228,669 | |
5.00%, 10/01/2030 | | | 2,175,000 | | | | 2,499,205 | |
5.00%, 10/01/2033 | | | 2,000,000 | | | | 2,280,880 | |
5.00%, 10/01/2034 | | | 2,000,000 | | | | 2,270,600 | |
5.00%, 10/01/2036 | | | 1,000,000 | | | | 1,130,190 | |
Baytown Area Water Authority | | | | | | | | |
5.00%, 05/01/2023 | | | 1,000,000 | | | | 1,127,060 | |
5.00%, 05/01/2024 | | | 1,000,000 | | | | 1,143,510 | |
5.00%, 05/01/2025 | | | 1,000,000 | | | | 1,155,310 | |
Board of Managers Joint Guadalupe County-City of Seguin Hospital | | | | | | | | |
5.25%, 12/01/2035 | | | 525,000 | | | | 559,088 | |
Central Texas Regional Mobility Authority | | | | | | | | |
5.00%, 01/01/2022 | | | 500,000 | | | | 542,975 | |
5.00%, 01/01/2022 | | | 990,000 | | | | 1,075,091 | |
5.00%, 01/01/2024 | | | 175,000 | | | | 194,668 | |
5.00%, 01/01/2025 | | | 225,000 | | | | 252,362 | |
5.00%, 01/01/2026 | | | 350,000 | | | | 396,417 | |
5.00%, 01/01/2028 | | | 300,000 | | | | 335,730 | |
5.00%, 01/01/2034 | | | 1,475,000 | | | | 1,627,574 | |
6.00%, 01/01/2041 | | | 3,125,000 | | | | 3,430,094 | |
5.00%, 01/01/2042 | | | 1,335,000 | | | | 1,428,503 | |
5.00%, 01/01/2046 | | | 1,600,000 | | | | 1,749,280 | |
Central Texas Turnpike System | | | | | | | | |
5.00%, 08/15/2037 | | | 2,500,000 | | | | 2,711,950 | |
City of Arlington TX | | | | | | | | |
5.00%, 02/15/2045 | | | 530,000 | | | | 559,616 | |
| | | | | | | | |
City of Austin TX | | | | | | | | |
5.00%, 09/01/2033 | | | 2,920,000 | | | | 3,330,056 | |
City of Austin TX Airport System Revenue | | | | | | | | |
5.00%, 11/15/2044 | | | 255,000 | | | | 278,322 | |
City of Austin TX Water & Wastewater System Revenue | | | | | | | | |
5.00%, 11/15/2020 | | | 1,350,000 | | | | 1,451,911 | |
City of Dallas TX | | | | | | | | |
5.00%, 02/15/2023 | | | 1,000,000 | | | | 1,096,440 | |
5.00%, 02/15/2024 | | | 1,055,000 | | | | 1,204,261 | |
City of Dallas TX Waterworks & Sewer System Revenue | | | | | | | | |
5.00%, 10/01/2027 | | | 530,000 | | | | 618,812 | |
5.00%, 10/01/2028 | | | 2,750,000 | | | | 3,198,910 | |
5.00%, 10/01/2031 | | | 800,000 | | | | 933,224 | |
City of El Paso TX | | | | | | | | |
5.00%, 08/15/2025 | | | 2,245,000 | | | | 2,605,592 | |
City of Fort Worth TX | | | | | | | | |
5.00%, 03/01/2023 | | | 1,000,000 | | | | 1,126,680 | |
City of Garland TX Water & Sewer System Revenue | | | | | | | | |
5.00%, 03/01/2028 | | | 700,000 | | | | 821,212 | |
City of Houston TX | | | | | | | | |
5.00%, 03/01/2020 | | | 180,000 | | | | 189,592 | |
5.00%, 03/01/2021 | | | 500,000 | | | | 540,025 | |
5.00%, 03/01/2022 | | | 200,000 | | | | 220,926 | |
5.00%, 03/01/2023 | | | 1,975,000 | | | | 2,224,245 | |
5.00%, 03/01/2025 | | | 750,000 | | | | 867,360 | |
5.00%, 03/01/2029 | | | 1,000,000 | | | | 1,166,450 | |
City of Houston TX Airport System Revenue | | | | | | | | |
4.75%, 07/01/2024 | | | 1,000,000 | | | | 1,079,480 | |
5.00%, 07/01/2027 | | | 3,000,000 | | | | 3,545,100 | |
5.00%, 07/01/2029 | | | 1,000,000 | | | | 1,162,220 | |
City of Houston TX Combined Utility System Revenue | | | | | | | | |
4.00%, 11/15/2021 | | | 200,000 | | | | 213,428 | |
5.00%, 11/15/2022 | | | 200,000 | | | | 224,608 | |
5.00%, 11/15/2023 | | | 225,000 | | | | 257,211 | |
5.00%, 05/15/2028 | | | 410,000 | | | | 467,035 | |
5.00%, 11/15/2033 | | | 400,000 | | | | 461,672 | |
1.51%, 05/15/2034 (2) | | | 10,000,000 | | | | 10,000,000 | |
City of San Antonio TX | | | | | | | | |
5.00%, 02/01/2019 | | | 1,000,000 | | | | 1,020,340 | |
| | | | | | | | |
City of San Antonio TX Electric & Gas Systems Revenue | | | | | | | | |
5.00%, 02/01/2020 | | | 1,000,000 | | | | 1,052,750 | |
5.00%, 02/01/2020 | | | 600,000 | | | | 631,650 | |
5.00%, 02/01/2023 | | | 4,000,000 | | | | 4,511,160 | |
5.00%, 02/01/2030 | | | 1,000,000 | | | | 1,181,410 | |
2.00%, 02/01/2033 (2) | | | 1,115,000 | | | | 1,110,975 | |
3.00%, 12/01/2045 (2) | | | 5,000,000 | | | | 5,115,900 | |
City of Waco TX | | | | | | | | |
5.00%, 02/01/2025 | | | 1,710,000 | | | | 1,945,570 | |
Coppell Independent School District | | | | | | | | |
4.00%, 08/15/2021 | | | 3,250,000 | | | | 3,454,522 | |
County of Comal TX | | | | | | | | |
4.00%, 02/01/2023 | | | 1,000,000 | | | | 1,080,230 | |
County of Dallas TX | | | | | | | | |
5.00%, 08/15/2024 | | | 1,400,000 | | | | 1,620,556 | |
County of El Paso TX | | | | | | | | |
5.00%, 02/15/2029 | | | 1,500,000 | | | | 1,757,265 | |
5.00%, 02/15/2031 | | | 1,280,000 | | | | 1,473,805 | |
County of Williamson TX | | | | | | | | |
5.00%, 02/15/2021 | | | 1,000,000 | | | | 1,080,350 | |
Cypress-Fairbanks Independent School District | | | | | | | | |
5.00%, 02/15/2021 | | | 4,720,000 | | | | 5,100,479 | |
5.00%, 02/15/2027 | | | 470,000 | | | | 548,185 | |
0.90%, 02/15/2040 (2) | | | 1,535,000 | | | | 1,533,741 | |
1.40%, 02/15/2040 (2) | | | 1,000,000 | | | | 988,000 | |
3.00%, 02/15/2040 (2) | | | 5,000,000 | | | | 5,008,050 | |
1.40%, 02/15/2044 (2) | | | 1,000,000 | | | | 988,000 | |
5.00%, 02/15/2044 | | | 900,000 | | | | 996,795 | |
Dallas Area Rapid Transit | | | | | | | | |
5.00%, 12/01/2028 | | | 2,160,000 | | | | 2,191,558 | |
Dallas County Community College District | | | | | | | | |
5.00%, 02/15/2021 | | | 7,610,000 | | | | 8,223,442 | |
5.00%, 02/15/2022 | | | 7,665,000 | | | | 8,480,249 | |
Dallas County Utility & Reclamation District | | | | | | | | |
5.00%, 02/15/2024 | | | 1,125,000 | | | | 1,278,439 | |
Dallas Independent School District | | | | | | | | |
5.00%, 02/15/2023 | | | 3,855,000 | | | | 4,346,165 | |
5.00%, 02/15/2036 (2) | | | 85,000 | | | | 94,198 | |
5.00%, 02/15/2036 (2) | | | 5,400,000 | | | | 5,936,598 | |
Dallas Love Field | | | | | | | | |
5.00%, 11/01/2035 | | | 1,000,000 | | | | 1,123,630 | |
| | | | | | | | |
Dallas Performing Arts Cultural Facilities Corp. | | | | | | | | |
1.55%, 09/01/2041(2) | | | 2,285,000 | | | | 2,285,000 | |
Dallas/Fort Worth International Airport | | | | | | | | |
5.00%, 11/01/2018 | | | 1,275,000 | | | | 1,289,752 | |
5.00%, 11/01/2023 | | | 245,000 | | | | 275,368 | |
5.00%, 11/01/2038 | | | 3,110,000 | | | | 3,335,070 | |
Del Rio Housing Facility Corp. | | | | | | | | |
1.35%, 06/01/2021 (2) | | | 3,000,000 | | | | 2,986,500 | |
Denton Independent School District | | | | | | | | |
0.00%, 08/15/2025 | | | 500,000 | | | | 411,900 | |
Fort Bend Independent School District | | | | | | | | |
1.35%, 08/01/2042 (2) | | | 505,000 | | | | 498,147 | |
1.50%, 08/01/2042 (2) | | | 1,000,000 | | | | 980,440 | |
Fort Worth Independent School District | | | | | | | | |
5.00%, 02/15/2022 | | | 450,000 | | | | 496,867 | |
5.00%, 02/15/2024 | | | 3,140,000 | | | | 3,594,923 | |
5.00%, 02/15/2026 | | | 1,365,000 | | | | 1,602,374 | |
Garland Independent School District | | | | | | | | |
5.00%, 02/15/2021 | | | 1,000,000 | | | | 1,080,350 | |
Grand Parkway Transportation Corp. | | | | | | | | |
5.00%, 02/01/2023 | | | 1,580,000 | | | | 1,754,890 | |
5.00%, 10/01/2031 | | | 2,630,000 | | | | 3,105,583 | |
5.00%, 10/01/2033 | | | 1,205,000 | | | | 1,415,056 | |
5.00%, 10/01/2034 | | | 1,500,000 | | | | 1,753,170 | |
5.00%, 10/01/2052 (2) | | | 7,610,000 | | | | 8,591,309 | |
Gulf Coast Authority | | | | | | | | |
1.54%, 06/01/2030 (2) | | | 300,000 | | | | 300,000 | |
Harlandale Independent School District | | | | | | | | |
5.00%, 08/01/2030 | | | 1,305,000 | | | | 1,502,081 | |
Harris County Cultural Education Facilities Finance Corp. | | | | | | | | |
5.00%, 01/01/2043 | | | 180,000 | | | | 186,588 | |
7.00%, 01/01/2048 | | | 1,550,000 | | | | 1,871,160 | |
Harris County Flood Control District | | | | | | | | |
5.00%, 10/01/2025 | | | 1,000,000 | | | | 1,161,230 | |
Harris County Health Facilities Development Corp. | | | | | | | | |
7.25%, 12/01/2035 | | | 4,500,000 | | | | 4,607,055 | |
Houston Independent School District | | | | | | | | |
5.00%, 02/15/2025 | | | 1,000,000 | | | | 1,162,150 | |
2.40%, 06/01/2030 (2) | | | 7,000,000 | | | | 7,049,070 | |
1.38%, 06/01/2037 (2) | | | 775,000 | | | | 772,380 | |
| | | | | | | | |
Love Field Airport Modernization Corp. | | | | | | | | |
5.00%, 11/01/2028 | | | 850,000 | | | | 918,484 | |
5.25%, 11/01/2040 | | | 3,015,000 | | | | 3,208,292 | |
Lower Colorado River Authority | | | | | | | | |
5.00%, 05/15/2020 | | | 340,000 | | | | 360,329 | |
5.00%, 05/15/2020 | | | 2,070,000 | | | | 2,193,765 | |
5.00%, 05/15/2021 | | | 800,000 | | | | 868,624 | |
5.00%, 05/15/2021 | | | 3,000,000 | | | | 3,257,340 | |
5.00%, 05/15/2022 | | | 1,025,000 | | | | 1,137,237 | |
Metropolitan Transit Authority of Harris County | | | | | | | | |
5.00%, 11/01/2022 | | | 3,000,000 | | | | 3,363,330 | |
Midlothian Independent School District | | | | | | | | |
2.50%, 08/01/2052 (2) | | | 85,000 | | | | 85,076 | |
2.50%, 08/01/2052(2) | | | 1,915,000 | | | | 1,916,321 | |
Mission Economic Development Corp. | | | | | | | | |
2.50%, 08/01/2020 | | | 3,000,000 | | | | 3,008,550 | |
5.75%, 10/01/2031 (1) | | | 2,250,000 | | | | 2,328,457 | |
Montgomery County Toll Road Authority | | | | | | | | |
5.00%, 09/15/2032 | | | 50,000 | | | | 55,001 | |
5.00%, 09/15/2033 | | | 55,000 | | | | 60,318 | |
5.00%, 09/15/2034 | | | 55,000 | | | | 60,098 | |
5.00%, 09/15/2035 | | | 55,000 | | | | 59,952 | |
5.00%, 09/15/2036 | | | 75,000 | | | | 81,753 | |
5.00%, 09/15/2038 | | | 125,000 | | | | 136,089 | |
5.00%, 09/15/2043 | | | 380,000 | | | | 412,205 | |
5.00%, 09/15/2048 | | | 380,000 | | | | 410,955 | |
New Hope Cultural Education Facilities Finance Corp. | | | | | | | | |
5.00%, 08/15/2024 | | | 730,000 | | | | 842,296 | |
5.00%, 08/15/2026 | | | 200,000 | | | | 235,876 | |
5.00%, 08/15/2027 | | | 375,000 | | | | 446,617 | |
5.00%, 08/15/2030 | | | 3,500,000 | | | | 4,072,810 | |
5.00%, 04/01/2031 | | | 335,000 | | | | 350,511 | |
5.00%, 11/01/2031 | | | 1,000,000 | | | | 1,100,490 | |
5.00%, 07/01/2035 | | | 2,100,000 | | | | 1,867,488 | |
5.00%, 04/01/2036 | | | 355,000 | | | | 366,942 | |
5.00%, 11/01/2040 | | | 1,100,000 | | | | 1,198,065 | |
5.00%, 07/01/2047 | | | 1,075,000 | | | | 955,503 | |
5.00%, 04/01/2048 | | | 1,250,000 | | | | 1,275,650 | |
5.50%, 11/15/2052 | | | 250,000 | | | | 251,148 | |
5.00%, 07/01/2058 | | | 275,000 | | | | 297,547 | |
| | | | | | | | |
Newark Higher Education Finance Corp. | | | | | | | | |
5.00%, 04/01/2029 | | | 505,000 | | | | 565,423 | |
North East Independent School District/TX | | | | | | | | |
1.42%, 08/01/2040 (2) | | | 490,000 | | | | 481,557 | |
North Texas Municipal Water District | | | | | | | | |
5.00%, 06/01/2027 | | | 1,025,000 | | | | 1,216,839 | |
5.00%, 06/01/2028 | | | 1,050,000 | | | | 1,241,940 | |
5.00%, 06/01/2029 | | | 600,000 | | | | 706,038 | |
North Texas Tollway Authority | | | | | | | | |
5.00%, 01/01/2020 | | | 500,000 | | | | 524,395 | |
5.00%, 09/01/2020 | | | 1,445,000 | | | | 1,542,234 | |
5.00%, 01/01/2022 | | | 550,000 | | | | 604,642 | |
5.00%, 01/01/2023 | | | 235,000 | | | | 263,654 | |
5.00%, 01/01/2023 | | | 3,500,000 | | | | 3,926,755 | |
5.00%, 01/01/2030 | | | 75,000 | | | | 85,649 | |
5.00%, 01/01/2031 | | | 1,900,000 | | | | 2,110,482 | |
5.00%, 01/01/2031 | | | 105,000 | | | | 119,681 | |
5.00%, 01/01/2031 | | | 500,000 | | | | 571,720 | |
5.00%, 01/01/2033 | | | 3,150,000 | | | | 3,521,227 | |
5.00%, 01/01/2033 | | | 500,000 | | | | 569,270 | |
5.00%, 01/01/2036 | | | 550,000 | | | | 618,624 | |
5.00%, 01/01/2039 | | | 170,000 | | | | 190,487 | |
6.25%, 01/01/2039 | | | 275,000 | | | | 281,507 | |
6.25%, 01/01/2039 | | | 65,000 | | | | 66,395 | |
5.00%, 01/01/2040 | | | 2,000,000 | | | | 2,176,660 | |
Northside Independent School District | | | | | | | | |
2.75%, 08/01/2048 (2) | | | 4,325,000 | | | | 4,409,381 | |
Permanent University Fund - University of Texas System | | | | | | | | |
5.00%, 07/01/2029 | | | 235,000 | | | | 274,736 | |
Plano Independent School District | | | | | | | | |
5.00%, 02/15/2020 | | | 550,000 | | | | 579,172 | |
5.00%, 02/15/2021 | | | 550,000 | | | | 594,335 | |
5.00%, 02/15/2022 | | | 1,225,000 | | | | 1,354,838 | |
Rockwall Independent School District | | | | | | | | |
0.00%, 02/15/2024 | | | 1,005,000 | | | | 878,481 | |
State of Texas | | | | | | | | |
5.00%, 08/01/2018 | | | 1,325,000 | | | | 1,328,803 | |
4.00%, 08/30/2018 | | | 15,600,000 | | | | 15,664,740 | |
5.00%, 04/01/2019 | | | 2,000,000 | | | | 2,052,940 | |
5.00%, 08/01/2019 | | | 2,815,000 | | | | 2,920,844 | |
| | | | | | | | |
5.00%, 10/01/2019 | | | 1,950,000 | | | | 2,034,045 | |
5.00%, 04/01/2020 | | | 2,000,000 | | | | 2,115,400 | |
2.00%, 08/01/2025 (2) | | | 920,000 | | | | 921,021 | |
5.00%, 08/01/2025 | | | 2,035,000 | | | | 2,288,561 | |
5.00%, 08/01/2026 | | | 1,000,000 | | | | 1,140,740 | |
5.00%, 04/01/2027 | | | 5,000,000 | | | | 5,874,950 | |
5.50%, 08/01/2032 | | | 1,000,000 | | | | 1,182,070 | |
Tarrant County Cultural Education Facilities Finance Corp. | | | | | | | | |
5.00%, 11/15/2035 | | | 1,015,000 | | | | 1,064,634 | |
5.00%, 11/15/2035 | | | 1,750,000 | | | | 1,836,695 | |
5.00%, 11/15/2040 | | | 1,800,000 | | | | 1,882,206 | |
8.25%, 11/15/2044 | | | 500,000 | | | | 493,255 | |
5.00%, 11/15/2046 | | | 1,615,000 | | | | 1,746,703 | |
Texas A&M University | | | | | | | | |
5.00%, 05/15/2023 | | | 1,005,000 | | | | 1,140,635 | |
3.00%, 05/15/2028 | | | 2,300,000 | | | | 2,322,494 | |
Texas Municipal Gas Acquisition & Supply Corp. I | | | | | | | | |
5.25%, 12/15/2022 | | | 450,000 | | | | 502,006 | |
5.25%, 12/15/2025 | | | 3,000,000 | | | | 3,458,400 | |
6.25%, 12/15/2026 | | | 8,685,000 | | | | 10,109,427 | |
Texas Municipal Gas Acquisition & Supply Corp. III | | | | | | | | |
5.00%, 12/15/2019 | | | 3,000,000 | | | | 3,127,950 | |
5.00%, 12/15/2032 | | | 3,000,000 | | | | 3,244,260 | |
Texas Municipal Power Agency | | | | | | | | |
5.00%, 09/01/2033 | | | 920,000 | | | | 976,056 | |
5.00%, 09/01/2034 | | | 945,000 | | | | 1,001,341 | |
5.00%, 09/01/2035 | | | 1,200,000 | | | | 1,270,500 | |
Texas State University System | | | | | | | | |
5.00%, 03/15/2026 | | | 800,000 | | | | 936,824 | |
5.00%, 03/15/2029 | | | 610,000 | | | | 715,530 | |
5.00%, 03/15/2032 | | | 1,325,000 | | | | 1,539,756 | |
Texas Transportation Commission State Highway Fund | | | | | | | | |
5.00%, 10/01/2023 | | | 5,020,000 | | | | 5,733,844 | |
Texas Water Development Board | | | | | | | | |
5.00%, 10/15/2031 | | | 2,000,000 | | | | 2,366,400 | |
The University of Texas System | | | | | | | | |
5.25%, 08/15/2018 | | | 1,170,000 | | | | 1,175,289 | |
5.00%, 08/15/2021 | | | 505,000 | | | | 553,111 | |
5.00%, 08/15/2021 | | | 3,000,000 | | | | 3,285,810 | |
5.00%, 08/15/2022 | | | 490,000 | | | | 548,834 | |
5.00%, 08/15/2022 | | | 1,000,000 | | | | 1,120,070 | |
5.00%, 08/15/2026 | | | 1,750,000 | | | | 2,080,873 | |
| | | | | | | | |
Travis County Health Facilities Development Corp. | | | | | | | | |
7.00%, 11/01/2030 | | | 150,000 | | | | 159,950 | |
Tyler Independent School District | | | | | | | | |
5.00%, 02/15/2022 | | | 2,200,000 | | | | 2,430,736 | |
University of Houston | | | | | | | | |
5.00%, 02/15/2030 | | | 860,000 | | | | 990,858 | |
University of Texas System | | | | | | | | |
5.00%, 08/15/2022 | | | 1,000,000 | | | | 1,120,070 | |
Uptown Development Authority | | | | | | | | |
5.00%, 09/01/2033 | | | 715,000 | | | | 801,858 | |
| | | | | | | | |
| | | | | | | 386,600,177 | |
| | | | | | | | |
Utah - 0.24% | | | | | | | | |
Salt Lake City Corp Airport Revenue | | | | | | | | |
5.00%, 07/01/2022 | | | 1,500,000 | | | | 1,656,735 | |
5.00%, 07/01/2025 | | | 1,000,000 | | | | 1,151,200 | |
5.00%, 07/01/2026 | | | 1,700,000 | | | | 1,968,872 | |
State of Utah | | | | | | | | |
5.00%, 07/01/2019 | | | 2,335,000 | | | | 2,415,371 | |
Utah Charter School Finance Authority | | | | | | | | |
4.50%, 06/15/2027 (1) | | | 1,000,000 | | | | 991,980 | |
| | | | | | | | |
| | | | | | | 8,184,158 | |
| | | | | | | | |
Vermont - 0.12% | | | | | | | | |
Vermont Educational & Health Buildings Financing Agency | | | | | | | | |
5.00%, 10/15/2027 | | | 1,000,000 | | | | 1,124,600 | |
5.00%, 10/15/2029 | | | 890,000 | | | | 992,003 | |
Vermont Student Assistance Corp. | | | | | | | | |
5.00%, 06/15/2025 | | | 800,000 | | | | 880,184 | |
5.00%, 06/15/2026 | | | 500,000 | | | | 550,920 | |
5.00%, 06/15/2027 | | | 700,000 | | | | 766,206 | |
| | | | | | | | |
| | | | | | | 4,313,913 | |
| | | | | | | | |
Virgin Islands - 0.09% | | | | | | | | |
Virgin Islands Public Finance Authority | | | | | | | | |
5.00%, 10/01/2032 | | | 3,000,000 | | | | 3,224,790 | |
| | | | | | | | |
Virginia - 3.73% | | | | | | | | |
Chesapeake Bay Bridge & Tunnel District | | | | | | | | |
5.00%, 07/01/2051 | | | 1,000,000 | | | | 1,096,510 | |
Chesterfield County Economic Development Authority | | | | | | | | |
5.00%, 05/01/2023 | | | 200,000 | | | | 205,130 | |
| | | | | | | | |
City of Alexandria VA | | | | | | | | |
4.50%, 06/15/2019 | | | 2,250,000 | | | | 2,313,630 | |
City of Norfolk VA Water Revenue | | | | | | | | |
5.00%, 11/01/2022 | | | 1,645,000 | | | | 1,854,409 | |
City of Richmond VA Public Utility Revenue | | | | | | | | |
5.00%, 01/15/2020 | | | 3,400,000 | | | | 3,573,332 | |
5.00%, 01/15/2022 | | | 1,500,000 | | | | 1,656,540 | |
Commonwealth of Virginia | | | | | | | | |
5.00%, 06/01/2020 | | | 5,000,000 | | | | 5,155,850 | |
County of Arlington VA | | | | | | | | |
5.00%, 08/15/2020 | | | 1,630,000 | | | | 1,743,106 | |
5.00%, 08/15/2023 | | | 1,850,000 | | | | 2,117,639 | |
County of Botetourt VA | | | | | | | | |
4.75%, 07/01/2023 | | | 100,000 | | | | 103,153 | |
6.00%, 07/01/2034 | | | 1,500,000 | | | | 1,645,935 | |
County of Fairfax VA | | | | | | | | |
4.00%, 10/01/2019 | | | 450,000 | | | | 463,527 | |
County of Henrico VA Water & Sewer Revenue | | | | | | | | |
5.00%, 05/01/2022 | | | 2,240,000 | | | | 2,492,515 | |
County of Isle Wight VA | | | | | | | | |
4.00%, 04/01/2020 | | | 700,000 | | | | 728,161 | |
County of Loudoun VA | | | | | | | | |
5.00%, 12/01/2023 | | | 825,000 | | | | 949,946 | |
Fairfax County Economic Development Authority | | | | | | | | |
5.00%, 05/15/2020 | | | 1,510,000 | | | | 1,602,578 | |
Fairfax County Industrial Development Authority | | | | | | | | |
5.00%, 05/15/2035 | | | 1,175,000 | | | | 1,288,505 | |
5.00%, 05/15/2044 | | | 975,000 | | | | 1,078,048 | |
Fredericksburg Economic Development Authority | | | | | | | | |
5.00%, 06/15/2031 | | | 500,000 | | | | 552,105 | |
Greater Richmond Convention Center Authority | | | | | | | | |
5.00%, 06/15/2020 | | | 1,000,000 | | | | 1,061,040 | |
Hanover County Economic Development Authority | | | | | | | | |
5.00%, 07/01/2042 | | | 1,000,000 | | | | 1,032,850 | |
5.00%, 07/01/2047 | | | 2,000,000 | | | | 2,061,240 | |
Henrico County Economic Development Authority | | | | | | | | |
5.00%, 12/01/2047 | | | 1,250,000 | | | | 1,320,062 | |
Newport News Economic Development Authority | | | | | | | | |
5.00%, 12/01/2038 | | | 1,000,000 | | | | 1,047,860 | |
| | | | | | | | |
Norfolk Economic Development Authority | | | | | | | | |
5.00%, 11/01/2020 | | | 645,000 | | | | 690,911 | |
Norfolk Redevelopment & Housing Authority | | | | | | | | |
5.00%, 01/01/2046 | | | 240,000 | | | | 246,014 | |
Prince William County Industrial Development Authority | | | | | | | | |
1.35%, 07/01/2019 (2) | | | 2,000,000 | | | | 1,995,460 | |
Roanoke Economic Development Authority | | | | | | | | |
5.00%, 07/01/2020 | | | 495,000 | | | | 525,794 | |
Stafford County Economic Development Authority | | | | | | | | |
5.00%, 06/15/2025 | | | 375,000 | | | | 423,990 | |
5.00%, 06/15/2030 | | | 150,000 | | | | 167,258 | |
5.00%, 06/15/2033 | | | 150,000 | | | | 166,152 | |
5.00%, 06/15/2034 | | | 500,000 | | | | 551,650 | |
4.00%, 06/15/2037 | | | 50,000 | | | | 50,236 | |
Tobacco Settlement Financing Corp/VA | | | | | | | | |
0.00%, 06/01/2047 | | | 3,000,000 | | | | 339,960 | |
Virginia College Building Authority | | | | | | | | |
5.00%, 02/01/2020 | | | 1,360,000 | | | | 1,430,869 | |
5.00%, 02/01/2020 | | | 2,000,000 | | | | 2,104,220 | |
5.00%, 02/01/2023 | | | 700,000 | | | | 788,802 | |
5.00%, 09/01/2023 | | | 1,000,000 | | | | 1,139,540 | |
5.00%, 02/01/2024 | | | 2,475,000 | | | | 2,838,256 | |
5.00%, 02/01/2026 | | | 1,000,000 | | | | 1,177,630 | |
5.00%, 02/01/2030 | | | 1,500,000 | | | | 1,789,425 | |
5.00%, 07/01/2030 (1) | | | 500,000 | | | | 537,185 | |
5.00%, 07/01/2045 (1) | | | 1,000,000 | | | | 1,052,380 | |
5.00%, 07/01/2045 (1) | | | 500,000 | | | | 526,180 | |
Virginia Commonwealth Transportation Board | | | | | | | | |
5.00%, 03/15/2020 | | | 750,000 | | | | 792,188 | |
5.00%, 05/15/2020 | | | 1,365,000 | | | | 1,448,688 | |
5.00%, 05/15/2021 | | | 1,000,000 | | | | 1,089,000 | |
5.00%, 05/15/2021 | | | 2,280,000 | | | | 2,482,920 | |
5.00%, 05/15/2022 | | | 225,000 | | | | 250,346 | |
5.00%, 05/15/2022 | | | 2,000,000 | | | | 2,225,300 | |
5.00%, 09/15/2022 | | | 1,000,000 | | | | 1,109,850 | |
5.00%, 09/15/2023 | | | 2,500,000 | | | | 2,853,975 | |
5.00%, 05/15/2026 | | | 3,000,000 | | | | 3,544,260 | |
5.00%, 05/15/2029 | | | 2,955,000 | | | | 3,524,872 | |
Virginia Port Authority | | | | | | | | |
5.00%, 07/01/2023 | | | 1,000,000 | | | | 1,123,190 | |
| | | | | | | | |
Virginia Public Building Authority | | | | | | | | |
5.00%, 08/01/2022 | | | 1,490,000 | | | | 1,666,043 | |
5.00%, 08/01/2022 | | | 1,050,000 | | | | 1,174,058 | |
Virginia Public School Authority | | | | | | | | |
5.00%, 08/01/2018 | | | 1,480,000 | | | | 1,484,262 | |
5.00%, 04/15/2019 | | | 4,950,000 | | | | 5,085,482 | |
5.00%, 07/15/2020 | | | 3,000,000 | | | | 3,200,130 | |
5.00%, 08/01/2021 | | | 6,000,000 | | | | 6,568,500 | |
5.00%, 08/01/2022 | | | 3,275,000 | | | | 3,663,317 | |
5.00%, 08/01/2022 | | | 1,000,000 | | | | 1,118,570 | |
5.00%, 08/01/2022 | | | 2,505,000 | | | | 2,805,149 | |
Virginia Resources Authority | | | | | | | | |
5.00%, 11/01/2021 | | | 1,800,000 | | | | 1,983,366 | |
Virginia Small Business Financing Authority | | | | | | | | |
5.00%, 11/01/2019 | | | 1,100,000 | | | | 1,148,180 | |
5.00%, 01/01/2040 | | | 2,500,000 | | | | 2,642,575 | |
5.00%, 01/01/2040 | | | 4,105,000 | | | | 4,339,108 | |
5.50%, 01/01/2042 | | | 4,475,000 | | | | 4,837,117 | |
5.00%, 01/01/2048 (1)(2) | | | 500,000 | | | | 508,610 | |
5.00%, 12/31/2049 | | | 500,000 | | | | 546,930 | |
5.00%, 12/31/2052 | | | 700,000 | | | | 764,029 | |
5.00%, 12/31/2056 | | | 4,455,000 | | | | 4,855,416 | |
Wise County Industrial Development Authority | | | | | | | | |
1.88%, 11/01/2040 (2) | | | 5,000,000 | | | | 4,972,500 | |
| | | | | | | | |
| | | | | | | 129,493,514 | |
| | | | | | | | |
Washington - 2.32% | | | | | | | | |
Adams County Public Hospital District No 2 | | | | | | | | |
5.13%, 12/01/2044 | | | 1,000,000 | | | | 1,064,780 | |
City of Kent WA | | | | | | | | |
5.00%, 12/01/2027 | | | 695,000 | | | | 814,644 | |
5.00%, 12/01/2028 | | | 860,000 | | | | 1,004,033 | |
City of Tacoma WA Electric System Revenue | | | | | | | | |
5.00%, 01/01/2039 | | | 675,000 | | | | 770,135 | |
City of Tacoma WA Solid Waste Utility Revenue | | | | | | | | |
5.00%, 12/01/2031 | | | 460,000 | | | | 527,491 | |
Clark County Public Utility District No. 1 | | | | | | | | |
5.00%, 01/01/2022 | | | 425,000 | | | | 468,278 | |
5.00%, 01/01/2023 | | | 750,000 | | | | 842,475 | |
County of King WA Sewer Revenue | | | | | | | | |
1.40%, 01/01/2032 (2) | | | 8,250,000 | | | | 8,250,000 | |
| | | | | | | | |
Energy Northwest | | | | | | | | |
5.00%, 07/01/2020 | | | 1,180,000 | | | | 1,256,039 | |
King County Public Hospital District No. 1 | | | | | | | | |
5.00%, 12/01/2032 | | | 4,500,000 | | | | 5,117,940 | |
Pierce County School District No. 3 Puyallup | | | | | | | | |
5.00%, 12/01/2032 | | | 1,000,000 | | | | 1,169,840 | |
Port of Seattle WA | | | | | | | | |
5.00%, 02/01/2020 | | | 3,250,000 | | | | 3,405,838 | |
5.00%, 12/01/2020 | | | 2,165,000 | | | | 2,328,782 | |
5.00%, 03/01/2021 | | | 900,000 | | | | 970,092 | |
5.00%, 08/01/2023 | | | 1,855,000 | | | | 2,058,790 | |
Skagit County Public Hospital District No. 1 | | | | | | | | |
5.00%, 12/01/2020 | | | 1,750,000 | | | | 1,844,150 | |
State of Washington | | | | | | | | |
5.00%, 01/01/2019 | | | 2,000,000 | | | | 2,035,260 | |
5.00%, 07/01/2019 | | | 3,150,000 | | | | 3,257,132 | |
5.00%, 08/01/2019 | | | 730,000 | | | | 756,725 | |
5.00%, 02/01/2020 | | | 2,420,000 | | | | 2,545,719 | |
5.00%, 08/01/2020 | | | 1,665,000 | | | | 1,776,688 | |
5.00%, 07/01/2021 | | | 1,200,000 | | | | 1,309,980 | |
5.00%, 08/01/2027 | | | 235,000 | | | | 275,850 | |
5.00%, 08/01/2027 | | | 550,000 | | | | 639,452 | |
5.00%, 08/01/2028 | | | 235,000 | | | | 275,288 | |
5.00%, 08/01/2030 | | | 235,000 | | | | 273,432 | |
5.00%, 07/01/2031 | | | 5,000,000 | | | | 5,690,400 | |
5.00%, 08/01/2033 | | | 7,550,000 | | | | 8,833,576 | |
5.00%, 02/01/2036 | | | 1,800,000 | | | | 2,073,384 | |
Tobacco Settlement Authority | | | | | | | | |
5.00%, 06/01/2023 | | | 500,000 | | | | 561,850 | |
5.00%, 06/01/2024 | | | 1,000,000 | | | | 1,117,300 | |
Washington Health Care Facilities Authority | | | | | | | | |
5.00%, 10/01/2021 | | | 1,510,000 | | | | 1,649,584 | |
5.00%, 08/15/2022 | | | 1,200,000 | | | | 1,338,036 | |
5.00%, 08/15/2023 | | | 650,000 | | | | 736,931 | |
5.00%, 07/01/2025 | | | 360,000 | | | | 409,259 | |
5.00%, 07/01/2029 | | | 115,000 | | | | 132,648 | |
5.00%, 07/01/2030 | | | 410,000 | | | | 471,463 | |
5.00%, 08/15/2030 | | | 1,000,000 | | | | 1,129,510 | |
5.00%, 07/01/2034 | | | 105,000 | | | | 118,535 | |
2.56% (SIFMA Municipal Swap Index + 1.05%), 01/01/2042 (3) | | | 5,000,000 | | | | 5,097,100 | |
| | | | | | | | |
Washington Higher Education Facilities Authority | | | | | | | | |
5.00%, 10/01/2029 | | | 1,855,000 | | | | 2,056,880 | |
Washington State Housing Finance Commission | | | | | | | | |
4.00%, 07/01/2026 (1) | | | 1,285,000 | | | | 1,289,999 | |
5.00%, 07/01/2031 (1) | | | 1,000,000 | | | | 1,049,690 | |
5.00%, 07/01/2053 (1) | | | 400,000 | | | | 411,412 | |
Washington State University | | | | | | | | |
5.00%, 04/01/2029 | | | 1,285,000 | | | | 1,444,880 | |
| | | | | | | | |
| | | | | | | 80,651,270 | |
| | | | | | | | |
West Virginia - 0.14% | | | | | | | | |
Monongalia County Commission Special District | | | | | | | | |
5.50%, 06/01/2037 (1) | | | 200,000 | | | | 206,820 | |
5.75%, 06/01/2043 (1) | | | 200,000 | | | | 208,768 | |
West Virginia Economic Development Authority | | | | | | | | |
5.38%, 12/01/2038 | | | 885,000 | | | | 946,516 | |
1.70%, 01/01/2041 (2) | | | 1,515,000 | | | | 1,494,669 | |
West Virginia State School Building Authority Lottery Revenue | | | | | | | | |
5.00%, 07/01/2020 | | | 500,000 | | | | 532,525 | |
5.00%, 07/01/2022 | | | 695,000 | | | | 773,250 | |
5.00%, 07/01/2024 | | | 500,000 | | | | 574,585 | |
| | | | | | | | |
| | | | | | | 4,737,133 | |
| | | | | | | | |
Wisconsin - 1.66% | | | | | | | | |
Milwaukee Redevelopment Authority | | | | | | | | |
5.00%, 11/15/2031 | | | 570,000 | | | | 649,253 | |
5.00%, 11/15/2032 | | | 500,000 | | | | 568,730 | |
Public Finance Authority | | | | | | | | |
5.00%, 05/15/2021 (1)(5) | | | 185,000 | | | | 196,657 | |
3.00%, 11/15/2022 (1)(5) | | | 90,000 | | | | 90,196 | |
2.00%, 06/01/2023 (2) | | | 5,000,000 | | | | 5,001,000 | |
3.50%, 11/15/2023 (1)(5) | | | 65,000 | | | | 65,536 | |
3.95%, 11/15/2024 (1)(5) | | | 50,000 | | | | 50,825 | |
5.00%, 12/01/2025 (1) | | | 1,000,000 | | | | 1,127,740 | |
4.13%, 05/01/2026 (1) | | | 800,000 | | | | 784,488 | |
6.25%, 08/01/2027 (1) | | | 1,000,000 | | | | 1,065,480 | |
5.00%, 05/15/2028 (1)(5) | | | 200,000 | | | | 220,152 | |
4.00%, 08/01/2035 | | | 2,750,000 | | | | 2,686,640 | |
5.25%, 05/15/2037 (1) | | | 500,000 | | | | 547,650 | |
5.20%, 06/01/2037 | | | 500,000 | | | | 495,815 | |
5.00%, 06/15/2037 (1) | | | 1,130,000 | | | | 1,136,904 | |
5.00%, 07/01/2037 | | | 825,000 | | | | 859,254 | |
5.00%, 01/01/2042 | | | 600,000 | | | | 628,158 | |
| | | | | | | | |
5.25%, 05/15/2042 (1)(5) | | | 60,000 | | | | 65,490 | |
5.25%, 05/15/2047 (1)(5) | | | 60,000 | | | | 65,300 | |
5.30%, 06/01/2047 | | | 500,000 | | | | 494,865 | |
5.25%, 05/15/2052 (1)(5) | | | 115,000 | | | | 124,797 | |
Public Finance Authority Wisconsin Retirement Facility | | | | | | | | |
5.00%, 10/01/2043 (5) | | | 170,000 | | | | 181,327 | |
5.00%, 10/01/2048 | | | 705,000 | | | | 748,964 | |
5.00%, 10/01/2053 | | | 875,000 | | | | 924,359 | |
State of Wisconsin | | | | | | | | |
5.00%, 05/01/2020 | | | 1,600,000 | | | | 1,696,384 | |
5.00%, 11/01/2020 | | | 2,005,000 | | | | 2,155,816 | |
5.00%, 11/01/2021 | | | 600,000 | | | | 660,912 | |
5.00%, 11/01/2022 | | | 2,545,000 | | | | 2,867,833 | |
5.00%, 05/01/2023 | | | 2,000,000 | | | | 2,272,780 | |
4.00%, 05/01/2032 | | | 2,000,000 | | | | 2,086,480 | |
5.00%, 05/01/2034 | | | 2,000,000 | | | | 2,304,260 | |
Village of Mukwonago WI Waterworks System & Sewer System Revenue | | | | | | | | |
3.38%, 06/01/2021 | | | 3,190,000 | | | | 3,264,550 | |
Wisconsin Health & Educational Facilities Authority | | | | | | | | |
5.00%, 05/01/2022 | | | 550,000 | | | | 596,106 | |
5.00%, 12/01/2022 | | | 560,000 | | | | 626,562 | |
4.00%, 02/15/2025 | | | 270,000 | | | | 295,588 | |
4.00%, 02/15/2026 | | | 510,000 | | | | 559,929 | |
5.00%, 02/15/2027 | | | 300,000 | | | | 348,822 | |
4.00%, 02/15/2031 | | | 460,000 | | | | 505,034 | |
4.00%, 02/15/2033 | | | 550,000 | | | | 603,845 | |
1.55%, 08/15/2034 (2) | | | 9,000,000 | | | | 9,000,000 | |
5.00%, 09/01/2036 | | | 335,000 | | | | 365,026 | |
5.00%, 09/15/2037 | | | 650,000 | | | | 679,211 | |
4.00%, 11/15/2043 (2) | | | 7,275,000 | | | | 7,415,844 | |
5.00%, 09/15/2050 | | | 645,000 | | | | 674,360 | |
| | | | | | | | |
| | | | | | | 57,758,922 | |
| | | | | | | | |
Total Municipal Bonds (Cost $3,394,332,677) | | | | | | $ | 3,393,567,480 | |
| | | | | | | | |
| | | | | | | | |
| | | Shares | | | Value | |
SHORT-TERM INVESTMENTS - 1.35% | | | | | | | | |
Money Market Funds - 1.35% | | | | | | | | |
Fidelity Institutional Money Market Government Fund - Class I, 1.77% (4) | | | 23,519,319 | | | $ | 23,519,319 | |
Goldman Sachs Financial Square Government Fund - Class I, 1.81% (4) | | | 23,519,319 | | | | 23,519,319 | |
| | | | | | | | |
Total Short-Term Investments (Cost $47,038,638) | | | | | | $ | 47,038,638 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES - 99.03%
(Cost $3,441,371,315) | | | | | | $ | 3,440,606,118 | |
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.97% | | | | | | | 33,710,271 | |
| | | | | | | | |
TOTAL NET ASSETS - 100.00% | | | | | | $ | 3,474,316,389 | |
| | | | | | | | |
Percentages are stated as a percent of net assets.
| (1) | Security was purchased exempt from registration in the U.S. pursuant to Rule 144(A) under the Securities Act of 1933. The value of these securities total $65,358,221, which represents 1.88% of total net assets. |
| (2) | Adjustable rate security. The rate reported is the rate in effect as of June 30, 2018. The rate is determined by the Remarketing Agent. |
| (3) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2018. |
| (4) | Represents annualized seven-day yield as of the close of the reporting period. |
| (5) | Security is categorized as Level 3 per the Trust’s fair value hierarchy. These securities represent $14,237,694 or 0.41% of the Fund’s net assets. |
Bridge Builder Large Cap Growth Fund
Schedule of Investments
June 30, 2018
| | | | | | | | |
| | | Shares | | | Value | |
COMMON STOCKS - 96.19% | | | | | | | | |
Consumer Discretionary - 19.51% | | | | | | | | |
Advance Auto Parts, Inc. | | | 1,057 | | | $ | 143,435 | |
Amazon.com, Inc. (1) | | | 107,688 | | | | 183,048,062 | |
AMC Networks, Inc. (1) | | | 2,077 | | | | 129,189 | |
Aptiv Plc | | | 11,010 | | | | 1,008,846 | |
AutoZone, Inc. (1) | | | 1,131 | | | | 758,822 | |
Best Buy, Inc. | | | 2,893 | | | | 215,760 | |
Booking Holdings, Inc. (1) | | | 40,657 | | | | 82,415,398 | |
Bright Horizons Family Solutions, Inc. (1) | | | 2,279 | | | | 233,643 | |
Brunswick Corp. | | | 405 | | | | 26,114 | |
Burlington Stores, Inc. (1) | | | 3,129 | | | | 471,008 | |
Cable One, Inc. | | | 198 | | | | 145,191 | |
CarMax, Inc. (1) | | | 5,056 | | | | 368,431 | |
Carter’s, Inc. | | | 2,240 | | | | 242,794 | |
CBS Corp. | | | 15,480 | | | | 870,286 | |
Charter Communications, Inc. (1) | | | 52,996 | | | | 15,538,957 | |
Chipotle Mexican Grill, Inc. (1) | | | 1,189 | | | | 512,899 | |
Choice Hotels International, Inc. | | | 1,628 | | | | 123,077 | |
Columbia Sportswear Co. | | | 200 | | | | 18,294 | |
D. R. Horton, Inc. | | | 9,405 | | | | 385,605 | |
Darden Restaurants, Inc. | | | 2,939 | | | | 314,649 | |
Dollar General Corp. | | | 12,841 | | | | 1,266,123 | |
Dollar Tree, Inc. (1) | | | 290,253 | | | | 24,671,505 | |
Domino’s Pizza, Inc. | | | 2,001 | | | | 564,622 | |
Dunkin’ Brands Group, Inc. | | | 4,091 | | | | 282,565 | |
Expedia Group, Inc. | | | 5,834 | | | | 701,188 | |
Extended Stay America, Inc. | | | 5,966 | | | | 128,925 | |
Floor & Decor Holdings, Inc. (1) | | | 1,776 | | | | 87,610 | |
Gap, Inc. | | | 888 | | | | 28,762 | |
Gentex Corp. | | | 9,019 | | | | 207,617 | |
Grand Canyon Education, Inc. (1) | | | 2,206 | | | | 246,212 | |
H&R Block, Inc. | | | 1,669 | | | | 38,020 | |
Hanesbrands, Inc. | | | 17,414 | | | | 383,456 | |
Hasbro, Inc. | | | 4,209 | | | | 388,533 | |
Hilton Grand Vacations, Inc. (1) | | | 4,532 | | | | 157,260 | |
Hilton Worldwide Holdings, Inc. | | | 13,366 | | | | 1,058,053 | |
Home Depot, Inc. | | | 184,338 | | | | 35,964,344 | |
Interpublic Group of Companies, Inc. | | | 1,838 | | | | 43,083 | |
Kering SA | | | 42,804 | | | | 24,111,517 | |
| | | | | | | | |
L Brands, Inc. | | | 1,986 | | | | 73,244 | |
Las Vegas Sands Corp. | | | 10,327 | | | | 788,570 | |
Lear Corp. | | | 323 | | | | 60,017 | |
Lennar Corp. - Class A | | | 7,478 | | | | 392,595 | |
Lennar Corp. - Class B | | | 440 | | | | 18,784 | |
Lions Gate Entertainment Corp. - Class A | | | 135 | | | | 3,363 | |
Lions Gate Entertainment Corp. - Class B | | | 376 | | | | 8,809 | |
Live Nation Entertainment, Inc. (1) | | | 6,524 | | | | 316,871 | |
LKQ Corp. (1) | | | 2,508 | | | | 80,005 | |
Lowes Companies, Inc. | | | 1,330,266 | | | | 127,133,522 | |
Lululemon Athletica, Inc. (1) | | | 4,777 | | | | 596,408 | |
Marriott International, Inc. | | | 215,560 | | | | 27,289,896 | |
Mattel, Inc. | | | 3,570 | | | | 58,619 | |
McDonald’s Corp. | | | 452,296 | | | | 70,870,260 | |
MGM Resorts International | | | 2,196 | | | | 63,750 | |
Michael Kors Holdings Ltd. (1) | | | 3,617 | | | | 240,892 | |
Morningstar, Inc. | | | 851 | | | | 109,141 | |
Netflix, Inc. (1) | | | 174,959 | | | | 68,484,201 | |
Nike, Inc. | | | 1,069,410 | | | | 85,210,589 | |
Nordstrom, Inc. | | | 5,656 | | | | 292,868 | |
NVR, Inc. (1) | | | 151 | | | | 448,523 | |
Omnicom Group, Inc. | | | 7,266 | | | | 554,178 | |
O’Reilly Automotive, Inc. (1) | | | 3,850 | | | | 1,053,244 | |
Polaris Industries, Inc. | | | 2,808 | | | | 343,081 | |
Pool Corp. | | | 1,894 | | | | 286,941 | |
Pulte Group, Inc. | | | 3,774 | | | | 108,502 | |
Ross Stores, Inc. | | | 17,409 | | | | 1,475,413 | |
Service Corp. International | | | 3,942 | | | | 141,084 | |
ServiceMaster Global Holdings, Inc. (1) | | | 6,719 | | | | 399,579 | |
Sirius XM Holdings, Inc. | | | 61,583 | | | | 416,917 | |
Six Flags Entertainment Corp. | | | 3,350 | | | | 234,667 | |
Skechers USA, Inc. (1) | | | 2,954 | | | | 88,650 | |
Starbucks Corp. | | | 1,942,960 | | | | 94,913,596 | |
Tapestry, Inc. | | | 2,668 | | | | 124,622 | |
Tempur Sealy International, Inc. (1) | | | 2,174 | | | | 104,461 | |
Tesla, Inc. (1) | | | 90,258 | | | | 30,953,981 | |
The Madison Square Garden Co. (1) | | | 111 | | | | 34,431 | |
The Michaels Companies, Inc. (1) | | | 810 | | | | 15,528 | |
Thor Industries, Inc. | | | 1,909 | | | | 185,918 | |
Tiffany & Co. | | | 1,013 | | | | 133,311 | |
| | | | | | | | |
TJX Companies, Inc. | | | 776,482 | | | | 73,905,557 | |
Toll Brothers, Inc. | | | 3,465 | | | | 128,170 | |
Tractor Supply Co. | | | 5,626 | | | | 430,333 | |
TripAdvisor, Inc. (1) | | | 4,894 | | | | 272,645 | |
Ulta Beauty, Inc. (1) | | | 242,111 | | | | 56,523,234 | |
Under Armour, Inc. - Class A (1) | | | 6,906 | | | | 155,247 | |
Under Armour, Inc. - Class C (1) | | | 6,479 | | | | 136,577 | |
Urban Outfitters, Inc. (1) | | | 3,448 | | | | 153,608 | |
Vail Resorts, Inc. | | | 1,884 | | | | 516,574 | |
VF Corp. | | | 11,966 | | | | 975,468 | |
Visteon Corp. (1) | | | 869 | | | | 112,310 | |
Walt Disney Co. | | | 776,626 | | | | 81,398,171 | |
Wayfair, Inc. (1) | | | 2,635 | | | | 312,933 | |
Wendy’s Co. | | | 8,860 | | | | 152,215 | |
Whirlpool Corp. | | | 71,740 | | | | 10,490,540 | |
Williams-Sonoma, Inc. | | | 898 | | | | 55,119 | |
Wyndham Destinations, Inc. | | | 4,732 | | | | 209,486 | |
Wyndham Hotels & Resorts, Inc. | | | 4,636 | | | | 272,736 | |
Wynn Resorts Ltd. | | | 4,843 | | | | 810,428 | |
Yum China Holdings, Inc. | | | 1,469 | | | | 56,498 | |
Yum! Brands, Inc. | | | 1,003,480 | | | | 78,492,206 | |
| | | | | | | | |
| | | | | | | 1,196,968,941 | |
| | | | | | | | |
Consumer Staples - 5.06% | | | | | | | | |
Altria Group, Inc. | | | 89,998 | | | | 5,110,986 | |
Brown Forman Corp. - Class A | | | 2,454 | | | | 119,902 | |
Brown Forman Corp. - Class B | | | 13,257 | | | | 649,726 | |
Campbell Soup Co. | | | 5,789 | | | | 234,686 | |
Church & Dwight Co., Inc. | | | 9,759 | | | | 518,788 | |
Clorox Co. | | | 5,466 | | | | 739,276 | |
Coca Cola Co. | | | 1,604,441 | | | | 70,370,782 | |
Colgate Palmolive Co. | | | 7,449 | | | | 482,770 | |
Constellation Brands, Inc. | | | 7,388 | | | | 1,617,012 | |
Costco Wholesale Corp. | | | 175,062 | | | | 36,584,457 | |
Dr Pepper Snapple Group, Inc. | | | 8,432 | | | | 1,028,704 | |
Energizer Holdings, Inc. | | | 1,600 | | | | 100,736 | |
General Mills, Inc. | | | 1,451 | | | | 64,221 | |
Herbalife Ltd. (1) | | | 978 | | | | 52,538 | |
Kellogg Co. | | | 5,855 | | | | 409,089 | |
Kimberly-Clark Corp. | | | 14,465 | | | | 1,523,743 | |
Lauder Estee Companies, Inc. | | | 459,558 | | | | 65,574,331 | |
| | | | | | | | |
McCormick & Co., Inc. | | | 349 | | | | 40,515 | |
Molson Coors Brewing Co. | | | 203,565 | | | | 13,850,563 | |
Mondelez International, Inc. | | | 1,586,959 | | | | 65,065,319 | |
Monster Beverage Corp. (1) | | | 19,133 | | | | 1,096,321 | |
Nu Skin Enterprises, Inc. | | | 786 | | | | 61,457 | |
PepsiCo, Inc. | | | 59,811 | | | | 6,511,624 | |
Post Holdings, Inc. (1) | | | 1,775 | | | | 152,686 | |
Procter & Gamble Co. | | | 462,636 | | | | 36,113,366 | |
Sprouts Farmers Market, Inc. (1) | | | 6,459 | | | | 142,550 | |
Sysco Corp. | | | 22,393 | | | | 1,529,218 | |
The Hershey Co. | | | 6,227 | | | | 579,485 | |
U.S. Foods Holding Corp. (1) | | | 552 | | | | 20,877 | |
| | | | | | | | |
| | | | | | | 310,345,728 | |
| | | | | | | | |
Energy - 5.07% | | | | | | | | |
Anadarko Petroleum Corp. | | | 8,402 | | | | 615,447 | |
Antero Resources Corp. (1) | | | 6,293 | | | | 134,356 | |
Apache Corp. | | | 1,127 | | | | 52,687 | |
Cabot Oil & Gas Corp. | | | 15,389 | | | | 366,258 | |
Cheniere Energy, Inc. (1) | | | 6,843 | | | | 446,095 | |
Chevron Corp. | | | 248,595 | | | | 31,429,866 | |
Cimarex Energy Co. | | | 551 | | | | 56,059 | |
ConocoPhillips | | | 604,420 | | | | 42,079,720 | |
Continental Resources, Inc. (1) | | | 2,075 | | | | 134,377 | |
Diamondback Energy, Inc. | | | 1,205 | | | | 158,542 | |
EOG Resources, Inc. | | | 347,873 | | | | 43,285,837 | |
Exxon Mobil Corp. | | | 386,565 | | | | 31,980,523 | |
Halliburton Co. | | | 390,066 | | | | 17,576,374 | |
Kosmos Energy Ltd. (1) | | | 2,287 | | | | 18,914 | |
Newfield Exploration Co. (1) | | | 3,423 | | | | 103,546 | |
ONEOK, Inc. | | | 8,018 | | | | 559,897 | |
Parsley Energy, Inc. (1) | | | 8,426 | | | | 255,139 | |
Pioneer Natural Resources Co. | | | 110,651 | | | | 20,939,595 | |
RPC, Inc. | | | 646 | | | | 9,412 | |
RSP Permian, Inc. (1) | | | 3,722 | | | | 163,842 | |
Schlumberger Ltd. | | | 1,798,809 | | | | 120,574,167 | |
| | | | | | | | |
| | | | | | | 310,940,653 | |
| | | | | | | | |
Financials - 6.72% | | | | | | | | |
Alleghany Corp. | | | 77 | | | | 44,273 | |
American Express Co. | | | 22,972 | | | | 2,251,256 | |
American International Group, Inc. | | | 6,087 | | | | 322,733 | |
| | | | | | | | |
Ameriprise Financial, Inc. | | | 1,110 | | | | 155,267 | |
Aon Plc | | | 218,547 | | | | 29,978,092 | |
Arch Capital Group Ltd. (1) | | | 2,962 | | | | 78,375 | |
Axis Capital Holdings Ltd. | | | 404 | | | | 22,470 | |
Bank of America Corp. | | | 1,413,705 | | | | 39,852,344 | |
Berkshire Hathaway, Inc. (1) | | | 11,505 | | | | 2,147,408 | |
Brown & Brown, Inc. | | | 660 | | | | 18,302 | |
Capital One Financial Corp. | | | 1,766 | | | | 162,295 | |
CBOE Holdings, Inc. | | | 5,037 | | | | 524,201 | |
Charles Schwab Corp. | | | 56,984 | | | | 2,911,882 | |
Citizens Financial Group, Inc. | | | 1,110,715 | | | | 43,206,813 | |
CME Group, Inc. | | | 1,433 | | | | 234,897 | |
Comerica, Inc. | | | 287,758 | | | | 26,162,957 | |
Commerce Bancshares, Inc. | | | 452,681 | | | | 29,292,988 | |
Credit Acceptance Corp. (1) | | | 505 | | | | 178,467 | |
Discover Financial Services | | | 7,501 | | | | 528,145 | |
E*TRADE Financial Corp. (1) | | | 2,798 | | | | 171,126 | |
East West Bancorp, Inc. | | | 585 | | | | 38,142 | |
Eaton Vance Corp. | | | 5,414 | | | | 282,557 | |
Erie Indemnity Co. | | | 914 | | | | 107,176 | |
Evercore Partners, Inc. | | | 1,883 | | | | 198,562 | |
Everest Re Group Ltd. | | | 748 | | | | 172,399 | |
Interactive Brokers Group, Inc. | | | 3,005 | | | | 193,552 | |
Intercontinental Exchange, Inc. | | | 794,995 | | | | 58,471,882 | |
JPMorgan Chase & Co. | | | 146,939 | | | | 15,311,044 | |
Lazard Ltd. | | | 4,985 | | | | 243,816 | |
LPL Financial Holdings, Inc. | | | 4,284 | | | | 280,773 | |
Markel Corp. (1) | | | 55 | | | | 59,639 | |
MarketAxess Holdings, Inc. | | | 1,733 | | | | 342,891 | |
Marsh & McLennan Companies, Inc. | | | 11,199 | | | | 917,982 | |
Moody’s Corp. | | | 7,968 | | | | 1,359,022 | |
Morgan Stanley | | | 387,001 | | | | 18,343,847 | |
MSCI, Inc. | | | 4,260 | | | | 704,732 | |
Northern Trust Corp. | | | 2,731 | | | | 280,993 | |
Pinnacle Financial Partners, Inc. | | | 1,525 | | | | 93,559 | |
Raymond James Financial, Inc. | | | 1,819 | | | | 162,528 | |
RenaissanceRe Holdings Ltd. | | | 112 | | | | 13,476 | |
S&P Global, Inc. | | | 11,928 | | | | 2,432,000 | |
Santander Consumer USA Holdings, Inc. | | | 974 | | | | 18,594 | |
SEI Investments Co. | | | 6,282 | | | | 392,751 | |
| | | | | | | | |
Signature Bank (1) | | | 1,596 | | | | 204,096 | |
State Street Corp. | | | 1,073 | | | | 99,886 | |
Sterling Bancorp | | | 907,475 | | | | 21,325,662 | |
SunTrust Banks, Inc. | | | 851,025 | | | | 56,184,671 | |
SVB Financial Group (1) | | | 1,913 | | | | 552,398 | |
Synchrony Financial | | | 12,381 | | | | 413,278 | |
Synovus Financial Corp. | | | 362 | | | | 19,124 | |
T. Rowe Price Group, Inc. | | | 10,323 | | | | 1,198,397 | |
TD Ameritrade Holding Corp. | | | 13,255 | | | | 725,976 | |
Texas Capital Bancshares, Inc. (1) | | | 1,477 | | | | 135,146 | |
The Goldman Sachs Group, Inc. | | | 72,035 | | | | 15,888,760 | |
The Progressive Corp. | | | 27,631 | | | | 1,634,374 | |
Travelers Companies, Inc. | | | 2,636 | | | | 322,488 | |
Validus Holdings Ltd. | | | 507 | | | | 34,273 | |
Virtu Financial, Inc. | | | 1,835 | | | | 48,719 | |
Voya Financial, Inc. | | | 752 | | | | 35,344 | |
Wells Fargo & Co. | | | 625,655 | | | | 34,686,313 | |
Western Alliance Bancorp (1) | | | 2,755 | | | | 155,961 | |
XL Group Ltd. | | | 4,241 | | | | 237,284 | |
| | | | | | | | |
| | | | | | | 412,568,358 | |
| | | | | | | | |
Healthcare - 12.78% | | | | | | | | |
AbbVie, Inc. | | | 75,465 | | | | 6,991,832 | |
ABIOMED, Inc. (1) | | | 1,985 | | | | 811,964 | |
Aetna, Inc. | | | 5,475 | | | | 1,004,663 | |
Agios Pharmaceuticals, Inc. (1) | | | 2,318 | | | | 195,245 | |
Alexion Pharmaceuticals, Inc. (1) | | | 128,491 | | | | 15,952,158 | |
Align Technology, Inc. (1) | | | 3,788 | | | | 1,296,026 | |
Alkermes Plc (1) | | | 7,219 | | | | 297,134 | |
Alnylam Pharmaceuticals, Inc. (1) | | | 3,715 | | | | 365,890 | |
AmerisourceBergen Corp. | | | 7,527 | | | | 641,827 | |
Amgen, Inc. | | | 29,597 | | | | 5,463,310 | |
Athenahealth, Inc. (1) | | | 1,888 | | | | 300,456 | |
Baxter International, Inc. | | | 2,677 | | | | 197,670 | |
Becton Dickinson and Co. | | | 283,312 | | | | 67,870,223 | |
Biogen, Inc. (1) | | | 76,436 | | | | 22,184,785 | |
BioMarin Pharmaceutical, Inc. (1) | | | 261,935 | | | | 24,674,277 | |
Bio-Techne Corp. | | | 1,773 | | | | 262,315 | |
Bluebird Bio, Inc. (1) | | | 1,619 | | | | 254,102 | |
Boston Scientific Corp. (1) | | | 50,528 | | | | 1,652,266 | |
Bristol Myers Squibb Co. | | | 295,163 | | | | 16,334,320 | |
| | | | | | | | |
Bruker Corp. | | | 2,015 | | | | 58,516 | |
Cantel Medical Corp. | | | 1,727 | | | | 169,868 | |
Catalent, Inc. (1) | | | 1,447 | | | | 60,615 | |
Celgene Corp. (1) | | | 113,294 | | | | 8,997,809 | |
Centene Corp. (1) | | | 96,259 | | | | 11,860,071 | |
Cerner Corp. (1) | | | 6,674 | | | | 399,038 | |
Charles River Laboratories International, Inc. (1) | | | 1,579 | | | | 177,259 | |
Chemed Corp. | | | 729 | | | | 234,600 | |
Cigna Corp. | | | 4,443 | | | | 755,088 | |
Danaher Corp. | | | 276,131 | | | | 27,248,607 | |
DaVita, Inc. (1) | | | 3,321 | | | | 230,610 | |
DexCom, Inc. (1) | | | 4,107 | | | | 390,083 | |
Edwards Lifesciences Corp. (1) | | | 10,013 | | | | 1,457,592 | |
Eli Lilly & Co. | | | 28,209 | | | | 2,407,074 | |
Encompass Health Corp. | | | 4,608 | | | | 312,054 | |
Envision Healthcare Corp. (1) | | | 1,114 | | | | 49,027 | |
Exact Sciences Corp. (1) | | | 5,624 | | | | 336,259 | |
Exelixis, Inc. (1) | | | 13,984 | | | | 300,936 | |
Express Scripts Holding Co. (1) | | | 2,181 | | | | 168,395 | |
Gilead Sciences, Inc. | | | 45,794 | | | | 3,244,047 | |
HCA Healthcare, Inc. | | | 9,520 | | | | 976,752 | |
Henry Schein, Inc. (1) | | | 1,066 | | | | 77,434 | |
Hill-Rom Holdings, Inc. | | | 2,024 | | | | 176,776 | |
Humana, Inc. | | | 98,427 | | | | 29,294,828 | |
ICU Medical, Inc. (1) | | | 726 | | | | 213,190 | |
IDEXX Laboratories, Inc. (1) | | | 4,127 | | | | 899,438 | |
Illumina, Inc. (1) | | | 82,324 | | | | 22,992,270 | |
Incyte Corp. (1) | | | 8,249 | | | | 552,683 | |
Insulet Corp. (1) | | | 2,743 | | | | 235,075 | |
Integra LifeSciences Holdings Corp. (1) | | | 2,623 | | | | 168,947 | |
Intuitive Surgical, Inc. (1) | | | 5,332 | | | | 2,551,255 | |
Ionis Pharmaceuticals, Inc. (1) | | | 5,859 | | | | 244,145 | |
Jazz Pharmaceuticals Plc (1) | | | 2,649 | | | | 456,423 | |
Johnson & Johnson | | | 603,150 | | | | 73,186,221 | |
Laboratory Corp. of America Holdings (1) | | | 296 | | | | 53,141 | |
Masimo Corp. (1) | | | 2,107 | | | | 205,749 | |
McKesson Corp. | | | 1,198 | | | | 159,813 | |
Medtronic Plc | | | 777,925 | | | | 66,598,159 | |
Merck & Co., Inc. | | | 8,481 | | | | 514,797 | |
Mettler-Toledo International, Inc. (1) | | | 1,202 | | | | 695,513 | |
| | | | | | | | |
Molina Healthcare, Inc. (1) | | | 2,443 | | | | 239,267 | |
Nektar Therapeutics (1) | | | 7,729 | | | | 377,407 | |
Neurocrine Biosciences, Inc. (1) | | | 4,185 | | | | 411,134 | |
Novo Nordisk A/S - ADR | | | 1,401,552 | | | | 64,639,578 | |
Penumbra, Inc. (1) | | | 1,438 | | | | 198,660 | |
Pfizer, Inc. | | | 1,565,150 | | | | 56,783,642 | |
PRA Health Sciences, Inc. (1) | | | 2,353 | | | | 219,676 | |
Premier, Inc. (1) | | | 553 | | | | 20,118 | |
Regeneron Pharmaceuticals, Inc. (1) | | | 211,917 | | | | 73,109,246 | |
ResMed, Inc. | | | 6,794 | | | | 703,723 | |
SAGE Therapeutics, Inc. (1) | | | 2,135 | | | | 334,192 | |
Sarepta Therapeutics, Inc. (1) | | | 2,909 | | | | 384,512 | |
Seattle Genetics, Inc. (1) | | | 5,029 | | | | 333,875 | |
Stryker Corp. | | | 16,204 | | | | 2,736,207 | |
Teleflex, Inc. | | | 406 | | | | 108,893 | |
TESARO, Inc. (1) | | | 1,931 | | | | 85,872 | |
The Cooper Companies, Inc. | | | 364 | | | | 85,704 | |
Thermo Fisher Scientific, Inc. | | | 54,252 | | | | 11,237,759 | |
UnitedHealth Group, Inc. | | | 393,034 | | | | 96,426,962 | |
Varian Medical Systems, Inc. (1) | | | 4,467 | | | | 507,987 | |
Veeva Systems, Inc. (1) | | | 5,645 | | | | 433,875 | |
Vertex Pharmaceuticals, Inc. (1) | | | 119,913 | | | | 20,380,413 | |
Waters Corp. (1) | | | 3,442 | | | | 666,337 | |
WellCare Health Plans, Inc. (1) | | | 1,819 | | | | 447,911 | |
West Pharmaceutical Services, Inc. | | | 795 | | | | 78,936 | |
Zoetis, Inc. | | | 319,485 | | | | 27,216,927 | |
| | | | | | | | |
| | | | | | | 784,029,433 | |
| | | | | | | | |
Industrials - 7.05% | | | | | | | | |
3M Co. | | | 22,856 | | | | 4,496,232 | |
A.O. Smith Corp. | | | 6,595 | | | | 390,094 | |
Air Lease Corp. | | | 401 | | | | 16,830 | |
Allegion Plc | | | 3,699 | | | | 286,155 | |
Allison Transmission Holdings, Inc. | | | 5,602 | | | | 226,825 | |
AMETEK, Inc. | | | 1,965 | | | | 141,794 | |
Armstrong World Industries, Inc. (1) | | | 2,099 | | | | 132,657 | |
Boeing Co. | | | 137,887 | | | | 46,262,467 | |
BWX Technologies, Inc. | | | 4,750 | | | | 296,020 | |
C.H. Robinson Worldwide, Inc. | | | 6,498 | | | | 543,623 | |
Caterpillar, Inc. | | | 120,188 | | | | 16,305,906 | |
Cintas Corp. | | | 4,205 | | | | 778,219 | |
| | | | | | | | |
Copart, Inc. (1) | | | 9,854 | | | | 557,342 | |
CoStar Group, Inc. (1) | | | 1,731 | | | | 714,263 | |
CSX Corp. | | | 18,719 | | | | 1,193,898 | |
Cummins, Inc. | | | 2,591 | | | | 344,603 | |
Curtiss-Wright Corp. | | | 154 | | | | 18,329 | |
Deere & Co. | | | 100,258 | | | | 14,016,068 | |
Delta Air Lines, Inc. | | | 7,602 | | | | 376,603 | |
Donaldson Co., Inc. | | | 5,876 | | | | 265,125 | |
Dun & Bradstreet Corp. | | | 792 | | | | 97,139 | |
Eaton Corp. Plc | | | 537,355 | | | | 40,161,913 | |
Emerson Electric Co. | | | 21,265 | | | | 1,470,262 | |
Equifax, Inc. | | | 1,527 | | | | 191,043 | |
Expeditors International of Washington, Inc. | | | 8,171 | | | | 597,300 | |
Fastenal Co. | | | 13,927 | | | | 670,306 | |
FedEx Corp. | | | 11,738 | | | | 2,665,230 | |
Fortive Corp. | | | 13,279 | | | | 1,023,944 | |
Fortune Brands Home & Security, Inc. | | | 2,863 | | | | 153,714 | |
Gardner Denver Holdings, Inc. (1) | | | 1,658 | | | | 48,729 | |
Gates Industrial Corp. Plc (1) | | | 599,595 | | | | 9,755,411 | |
General Dynamics Corp. | | | 5,594 | | | | 1,042,778 | |
Genesee & Wyoming, Inc. (1) | | | 572 | | | | 46,515 | |
Graco, Inc. | | | 7,926 | | | | 358,414 | |
Harris Corp. | | | 5,577 | | | | 806,100 | |
HD Supply Holdings, Inc. (1) | | | 2,627 | | | | 112,672 | |
Heico Corp. | | | 1,869 | | | | 136,288 | |
Heico Corp. - Class A | | | 3,494 | | | | 212,944 | |
Hexcel Corp. | | | 896 | | | | 59,476 | |
Honeywell International, Inc. | | | 299,664 | | | | 43,166,599 | |
Hubbell, Inc. | | | 1,745 | | | | 184,516 | |
Huntington Ingalls Industries, Inc. | | | 1,851 | | | | 401,278 | |
IDEX Corp. | | | 3,361 | | | | 458,709 | |
Illinois Tool Works, Inc. | | | 16,024 | | | | 2,219,965 | |
Ingersoll-Rand Plc | | | 6,289 | | | | 564,312 | |
J.B. Hunt Transportation Services, Inc. | | | 346,152 | | | | 42,074,776 | |
KAR Auction Services, Inc. | | | 6,060 | | | | 332,088 | |
Landstar System, Inc. | | | 1,951 | | | | 213,049 | |
Lennox International, Inc. | | | 1,620 | | | | 324,243 | |
Lincoln Electric Holdings, Inc. | | | 2,966 | | | | 260,296 | |
Lockheed Martin Corp. | | | 10,753 | | | | 3,176,759 | |
Masco Corp. | | | 9,904 | | | | 370,608 | |
| | | | | | | | |
MSC Industrial Direct Co., Inc. | | | 1,008 | | | | 85,529 | |
Nordson Corp. | | | 2,572 | | | | 330,271 | |
Norfolk Southern Corp. | | | 144,525 | | | | 21,804,487 | |
Northrop Grumman Corp. | | | 7,683 | | | | 2,364,059 | |
Old Dominion Freight Line, Inc. | | | 3,219 | | | | 479,502 | |
Parker-Hannifin Corp. | | | 180,834 | | | | 28,182,979 | |
Quanta Services, Inc. (1) | | | 2,112 | | | | 70,541 | |
Raytheon Co. | | | 181,520 | | | | 35,066,034 | |
Republic Services, Inc. | | | 617 | | | | 42,178 | |
Robert Half International, Inc. | | | 5,639 | | | | 367,099 | |
Rockwell Automation, Inc. | | | 126,607 | | | | 21,045,882 | |
Rockwell Collins, Inc. | | | 1,047 | | | | 141,010 | |
Rollins, Inc. | | | 4,692 | | | | 246,705 | |
Roper Technologies, Inc. | | | 889 | | | | 245,284 | |
Schneider National, Inc. | | | 637 | | | | 17,524 | |
Sensata Technologies Holding Plc (1) | | | 4,308 | | | | 204,975 | |
Southwest Airlines Co. | | | 18,232 | | | | 927,644 | |
Spirit AeroSystems Holdings, Inc. | | | 5,314 | | | | 456,526 | |
Textron, Inc. | | | 1,996 | | | | 131,556 | |
The Middleby Corp. (1) | | | 1,516 | | | | 158,301 | |
The Toro Co. | | | 4,904 | | | | 295,466 | |
TransDigm Group, Inc. | | | 2,280 | | | | 786,919 | |
TransUnion | | | 8,642 | | | | 619,113 | |
Union Pacific Corp. | | | 33,588 | | | | 4,758,748 | |
United Parcel Service, Inc. | | | 32,771 | | | | 3,481,263 | |
United Rentals, Inc. (1) | | | 3,929 | | | | 579,999 | |
United Technologies Corp. | | | 412,465 | | | | 51,570,499 | |
Univar, Inc. (1) | | | 886 | | | | 23,249 | |
Verisk Analytics, Inc. (1) | | | 7,722 | | | | 831,196 | |
W.W. Grainger, Inc. | | | 2,185 | | | | 673,854 | |
WABCO Holdings, Inc. (1) | | | 2,507 | | | | 293,369 | |
Wabtec Corp. | | | 132,976 | | | | 13,108,774 | |
Waste Management, Inc. | | | 17,425 | | | | 1,417,349 | |
Watsco, Inc. | | | 1,274 | | | | 227,129 | |
Welbilt, Inc. (1) | | | 6,353 | | | | 141,735 | |
XPO Logistics, Inc. (1) | | | 5,603 | | | | 561,309 | |
Xylem, Inc. | | | 4,693 | | | | 316,214 | |
| | | | | | | | |
| | | | | | | 432,774,700 | |
| | | | | | | | |
| | | | | | | | |
Information Technology - 35.63% | | | | | | | | |
2U, Inc. (1) | | | 2,533 | | | | 211,657 | |
Accenture Plc | | | 30,550 | | | | 4,997,675 | |
Activision Blizzard, Inc. | | | 329,254 | | | | 25,128,665 | |
Adobe Systems, Inc. (1) | | | 193,861 | | | | 47,265,250 | |
Advanced Micro Devices, Inc. (1) | | | 44,036 | | | | 660,100 | |
Akamai Technologies, Inc. (1) | | | 7,558 | | | | 553,472 | |
Alibaba Group Holding Ltd. - ADR (1) | | | 290,384 | | | | 53,874,944 | |
Alliance Data Systems Corp. | | | 277,533 | | | | 64,720,696 | |
Alphabet, Inc. - Class A (1) | | | 141,210 | | | | 159,452,920 | |
Alphabet, Inc. - Class C (1) | | | 116,658 | | | | 130,149,498 | |
Amphenol Corp. | | | 14,075 | | | | 1,226,636 | |
Analog Devices, Inc. | | | 385,915 | | | | 37,016,967 | |
ANSYS, Inc. (1) | | | 3,940 | | | | 686,269 | |
Apple, Inc. | | | 1,048,067 | | | | 194,007,682 | |
Applied Materials, Inc. | | | 49,880 | | | | 2,303,957 | |
Arista Networks, Inc. (1) | | | 2,752 | | | | 708,613 | |
Aspen Technology, Inc. (1) | | | 3,153 | | | | 292,409 | |
Atlassian Corp. Plc (1) | | | 4,500 | | | | 281,340 | |
Autodesk, Inc. (1) | | | 646,891 | | | | 84,800,941 | |
Automatic Data Processing, Inc. | | | 522,514 | | | | 70,090,028 | |
Black Knight, Inc. (1) | | | 6,718 | | | | 359,749 | |
Booz Allen Hamilton Holding Corp. | | | 6,451 | | | | 282,102 | |
Broadcom, Inc. | | | 97,895 | | | | 23,753,243 | |
Broadridge Financial Solutions, Inc. | | | 5,515 | | | | 634,777 | |
Cadence Design Systems, Inc. (1) | | | 13,128 | | | | 568,574 | |
Cavium, Inc. (1) | | | 3,266 | | | | 282,509 | |
CDK Global, Inc. | | | 6,184 | | | | 402,269 | |
CDW Corp. | | | 6,965 | | | | 562,702 | |
Ceridian HCM Holding, Inc. (1) | | | 1,103 | | | | 36,609 | |
Cisco Systems, Inc. | | | 1,278,068 | | | | 54,995,266 | |
Citrix Systems, Inc. (1) | | | 6,370 | | | | 667,831 | |
Cognex Corp. | | | 7,950 | | | | 354,650 | |
Cognizant Technology Solutions - Class A | | | 25,052 | | | | 1,978,857 | |
Coherent, Inc. (1) | | | 837 | | | | 130,924 | |
CoreLogic, Inc. (1) | | | 2,418 | | | | 125,494 | |
Cypress Semiconductor Corp. | | | 11,574 | | | | 180,323 | |
Dell Technologies, Inc. - VMware, Inc. (1) | | | 690 | | | | 58,360 | |
DocuSign, Inc. (1) | | | 1,173 | | | | 62,110 | |
DXC Technology Co. | | | 545,435 | | | | 43,967,515 | |
eBay, Inc. (1) | | | 990,462 | | | | 35,914,152 | |
Electronic Arts, Inc. (1) | | | 71,673 | | | | 10,107,326 | |
| | | | | | | | |
EPAM Systems, Inc. (1) | | | 2,377 | | | | 295,532 | |
Euronet Worldwide, Inc. (1) | | | 1,170 | | | | 98,011 | |
F5 Networks, Inc. (1) | | | 2,873 | | | | 495,449 | |
Facebook, Inc. (1) | | | 347,034 | | | | 67,435,647 | |
FactSet Research Systems, Inc. | | | 1,840 | | | | 364,504 | |
Fair Isaac Corp. (1) | | | 1,370 | | | | 264,848 | |
Fidelity National Information Services, Inc. | | | 1,324 | | | | 140,384 | |
FireEye, Inc. (1) | | | 5,870 | | | | 90,339 | |
First Data Corp. (1) | | | 22,565 | | | | 472,285 | |
Fiserv, Inc. (1) | | | 19,482 | | | | 1,443,421 | |
FleetCor Technologies, Inc. (1) | | | 431,843 | | | | 90,967,728 | |
FLIR Systems, Inc. | | | 566 | | | | 29,415 | |
Fortinet, Inc. (1) | | | 6,542 | | | | 408,417 | |
Gartner, Inc. (1) | | | 4,167 | | | | 553,794 | |
Genpact Ltd. | | | 2,453 | | | | 70,965 | |
Global Payments, Inc. | | | 7,651 | | | | 853,010 | |
GoDaddy, Inc. (1) | | | 7,041 | | | | 497,095 | |
GrubHub, Inc. (1) | | | 4,245 | | | | 445,343 | |
Guidewire Software, Inc. (1) | | | 3,756 | | | | 333,458 | |
InterActiveCorp (1) | | | 3,632 | | | | 553,844 | |
International Business Machines Corp. | | | 31,373 | | | | 4,382,808 | |
Intuit, Inc. | | | 11,581 | | | | 2,366,056 | |
IPG Photonics Corp. (1) | | | 1,696 | | | | 374,188 | |
Jack Henry & Associates, Inc. | | | 3,648 | | | | 475,553 | |
KLA-Tencor Corp. | | | 7,337 | | | | 752,263 | |
Lam Research Corp. | | | 7,719 | | | | 1,334,229 | |
Littelfuse, Inc. | | | 941 | | | | 214,717 | |
LogMeIn, Inc. | | | 1,595 | | | | 164,684 | |
Manhattan Associates, Inc. (1) | | | 3,239 | | | | 152,265 | |
Mastercard, Inc. | | | 203,948 | | | | 40,079,861 | |
Match Group, Inc. (1) | | | 2,427 | | | | 94,022 | |
Maxim Integrated Products, Inc. | | | 13,418 | | | | 787,100 | |
Microchip Technology, Inc. | | | 11,034 | | | | 1,003,542 | |
Micron Technology, Inc. (1) | | | 43,042 | | | | 2,257,122 | |
Microsoft Corp. | | | 2,509,287 | | | | 247,440,791 | |
MKS Instruments, Inc. | | | 2,538 | | | | 242,887 | |
Monolithic Power Systems, Inc. | | | 1,894 | | | | 253,171 | |
Motorola Solutions, Inc. | | | 207,502 | | | | 24,147,008 | |
National Instruments Corp. | | | 4,277 | | | | 179,548 | |
NCR Corp. (1) | | | 4,995 | | | | 149,750 | |
| | | | | | | | |
NetApp, Inc. | | | 12,639 | | | | 992,541 | |
Nutanix, Inc. (1) | | | 5,007 | | | | 258,211 | |
NVIDIA Corp. | | | 142,698 | | | | 33,805,156 | |
NXP Semiconductors NV (1) | | | 862 | | | | 94,191 | |
Okta, Inc. (1) | | | 4,029 | | | | 202,941 | |
ON Semiconductor Corp. (1) | | | 19,918 | | | | 442,877 | |
Oracle Corp. | | | 13,136 | | | | 578,772 | |
Palo Alto Networks, Inc. (1) | | | 69,562 | | | | 14,292,904 | |
Paychex, Inc. | | | 15,067 | | | | 1,029,829 | |
Paycom Software, Inc. (1) | | | 2,334 | | | | 230,669 | |
PayPal Holdings, Inc. (1) | | | 339,513 | | | | 28,271,248 | |
Pegasystems, Inc. | | | 1,765 | | | | 96,722 | |
Proofpoint, Inc. (1) | | | 2,358 | | | | 271,901 | |
PTC, Inc. (1) | | | 5,372 | | | | 503,947 | |
Pure Storage, Inc. (1) | | | 7,746 | | | | 184,974 | |
RealPage, Inc. (1) | | | 3,296 | | | | 181,610 | |
Red Hat, Inc. (1) | | | 685,494 | | | | 92,109,829 | |
Sabre Corp. | | | 9,069 | | | | 223,460 | |
Salesforce.com, Inc. (1) | | | 815,133 | | | | 111,184,141 | |
SAP SE - ADR | | | 555,889 | | | | 64,294,122 | |
ServiceNow, Inc. (1) | | | 8,368 | | | | 1,443,229 | |
Skyworks Solutions, Inc. | | | 6,266 | | | | 605,609 | |
Splunk, Inc. (1) | | | 121,108 | | | | 12,003,014 | |
Square, Inc. (1) | | | 13,776 | | | | 849,153 | |
SS&C Technologies Holdings, Inc. | | | 9,030 | | | | 468,657 | |
Switch, Inc. | | | 2,683 | | | | 32,652 | |
Synopsys, Inc. (1) | | | 666 | | | | 56,990 | |
Tableau Software, Inc. (1) | | | 3,185 | | | | 311,334 | |
Take-Two Interactive Software, Inc. (1) | | | 3,154 | | | | 373,307 | |
Tencent Holdings Ltd. - ADR | | | 944,126 | | | | 47,442,332 | |
Teradata Corp. (1) | | | 4,006 | | | | 160,841 | |
Teradyne, Inc. | | | 1,452 | | | | 55,278 | |
Texas Instruments, Inc. | | | 46,510 | | | | 5,127,728 | |
The Western Union Co. | | | 6,036 | | | | 122,712 | |
Total System Services, Inc. | | | 8,463 | | | | 715,293 | |
Twilio, Inc. (1) | | | 3,367 | | | | 188,619 | |
Twitter, Inc. (1) | | | 33,303 | | | | 1,454,342 | |
Tyler Technologies, Inc. (1) | | | 1,768 | | | | 392,673 | |
Ubiquiti Networks, Inc. (1) | | | 904 | | | | 76,587 | |
Ultimate Software Group, Inc. (1) | | | 1,401 | | | | 360,491 | |
| | | | | | | | |
Universal Display Corp. | | | 2,000 | | | | 172,000 | |
VeriSign, Inc. (1) | | | 5,090 | | | | 699,468 | |
Versum Materials, Inc. | | | 5,077 | | | | 188,611 | |
Visa, Inc. | | | 1,294,730 | | | | 171,486,989 | |
VMware, Inc. (1) | | | 3,234 | | | | 475,301 | |
WEX, Inc. (1) | | | 1,936 | | | | 368,769 | |
Workday, Inc. (1) | | | 223,476 | | | | 27,067,413 | |
Worldpay, Inc. (1) | | | 199,572 | | | | 16,320,998 | |
Xilinx, Inc. | | | 11,973 | | | | 781,358 | |
Zebra Technologies Corp. (1) | | | 2,480 | | | | 355,260 | |
Zendesk, Inc. (1) | | | 4,828 | | | | 263,078 | |
Zillow Group, Inc. - Class A (1) | | | 1,887 | | | | 112,748 | |
Zillow Group, Inc. - Class C (1) | | | 3,887 | | | | 229,566 | |
| | | | | | | | |
| | | | | | | 2,186,532,560 | |
| | | | | | | | |
Materials - 2.20% | | | | | | | | |
Avery Dennison Corp. | | | 4,314 | | | | 440,459 | |
Axalta Coating Systems Ltd. (1) | | | 4,073 | | | | 123,453 | |
Berry Global Group, Inc. (1) | | | 3,118 | | | | 143,241 | |
Celanese Corp. | | | 4,043 | | | | 449,016 | |
Chemours Co. | | | 8,623 | | | | 382,516 | |
Crown Holdings, Inc. (1) | | | 6,060 | | | | 271,246 | |
Eagle Materials, Inc. | | | 1,934 | | | | 203,012 | |
Ecolab, Inc. | | | 585,137 | | | | 82,112,275 | |
FMC Corp. | | | 2,577 | | | | 229,894 | |
Graphic Packaging Holding Co. | | | 2,552 | | | | 37,029 | |
International Flavors & Fragrances, Inc. | | | 1,575 | | | | 195,237 | |
International Paper Co. | | | 2,222 | | | | 115,722 | |
Lyondellbasell Industries NV | | | 7,229 | | | | 794,106 | |
Martin Marietta Materials, Inc. | | | 2,708 | | | | 604,778 | |
NewMarket Corp. | | | 350 | | | | 141,575 | |
Packaging Corp. of America | | | 4,382 | | | | 489,864 | |
Platform Specialty Products Corp. (1) | | | 5,220 | | | | 60,552 | |
PPG Industries, Inc. | | | 776 | | | | 80,494 | |
Praxair, Inc. | | | 282,781 | | | | 44,721,815 | |
Royal Gold, Inc. | | | 1,263 | | | | 117,257 | |
RPM International, Inc. | | | 1,304 | | | | 76,049 | |
Scotts Miracle-Gro Co. | | | 935 | | | | 77,755 | |
Sealed Air Corp. | | | 4,295 | | | | 182,323 | |
Silgan Holdings, Inc. | | | 1,258 | | | | 33,752 | |
Southern Copper Corp. | | | 3,880 | | | | 181,856 | |
Steel Dynamics, Inc. | | | 1,637 | | | | 75,220 | |
The Sherwin-Williams Co. | | | 3,978 | | | | 1,621,313 | |
Vulcan Materials Co. | | | 5,964 | | | | 769,714 | |
W.R. Grace & Co. | | | 2,326 | | | | 170,519 | |
Westlake Chemical Corp. | | | 1,583 | | | | 170,378 | |
| | | | | | | | |
| | | | | | | 135,072,420 | |
| | | | | | | | |
| | | | | | | | |
Real Estate - 2.15% | | | | | | | | |
Alexandria Real Estate Equities, Inc. | | | 352 | | | | 44,412 | |
American Tower Corp. | | | 20,790 | | | | 2,997,294 | |
CBRE Group, Inc. (1) | | | 7,178 | | | | 342,678 | |
CoreSite Realty Corp. | | | 1,593 | | | | 176,536 | |
Crown Castle International Corp. | | | 14,903 | | | | 1,606,841 | |
Equinix, Inc. | | | 210,301 | | | | 90,406,297 | |
Equity Lifestyle Properties, Inc. | | | 4,057 | | | | 372,838 | |
Extra Space Storage, Inc. | | | 5,159 | | | | 514,920 | |
Gaming and Leisure Properties, Inc. | | | 3,354 | | | | 120,073 | |
Hudson Pacific Properties, Inc. | | | 1,076 | | | | 38,123 | |
Lamar Advertising Co. | | | 3,634 | | | | 248,239 | |
Life Storage, Inc. | | | 196 | | | | 19,073 | |
Omega Healthcare Investors, Inc. | | | 738 | | | | 22,878 | |
Prologis, Inc. | | | 459,170 | | | | 30,162,877 | |
Public Storage | | | 7,064 | | | | 1,602,539 | |
SBA Communications Corp. (1) | | | 5,486 | | | | 905,848 | |
Simon Property Group, Inc. | | | 13,426 | | | | 2,284,971 | |
Taubman Centers, Inc. | | | 2,772 | | | | 162,883 | |
The Howard Hughes Corp. (1) | | | 728 | | | | 96,460 | |
| | | | | | | | |
| | | | | | | 132,125,780 | |
| | | | | | | | |
Telecommunication Services - 0.02% | | | | | | | | |
RingCentral, Inc. (1) | | | 3,125 | | | | 219,844 | |
T-Mobile US, Inc. (1) | | | 9,769 | | | | 583,698 | |
Zayo Group Holdings, Inc. (1) | | | 9,326 | | | | 340,212 | |
| | | | | | | | |
| | | | | | | 1,143,754 | |
| | | | | | | | |
Total Common Stocks (Cost $4,823,228,454) | | | | | | $ | 5,902,502,327 | |
| | | | | | | | |
RIGHTS - 0.00% (2) | | | | | | | | |
Consumer Staples - 0.00% (2) | | | | | | | | |
Herbalife Ltd., expires 8/21/2019 - CVR (1)(4) | | | 93,853 | | | $ | — | |
| | | | | | | | |
Total Rights (Cost $0) | | | | | | $ | — | |
| | | | | | | | |
| | | | | | | | |
SHORT-TERM INVESTMENTS - 3.09% | | | | | | | | |
Money Market Funds - 3.09% | | | | | | | | |
Goldman Sachs Financial Square Government Fund - Class I, 1.81% (3) | | | 94,819,233 | | | $ | 94,819,233 | |
JPMorgan U.S. Government Money Market Fund - Class I, 1.79% (3) | | | 94,819,234 | | | | 94,819,234 | |
| | | | | | | | |
Total Short-Term Investments (Cost $189,638,467) | | | | | | $ | 189,638,467 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES - 99.28%
(Cost $5,012,866,921) | | | | | | $ | 6,092,140,794 | |
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.72% | | | | | | | 43,945,750 | |
| | | | | | | | |
TOTAL NET ASSETS - 100.00% | | | | | | $ | 6,136,086,544 | |
| | | | | | | | |
Percentages are stated as a percent of net assets.
ADR American Depositary Receipt
CVR Contingent Value Right
| (1) | Non-income producing security. |
| (2) | Amount calculated is less than 0.005%. |
| (3) | Represents annualized seven-day yield as of the close of the reporting period. |
| (4) | Security is categorized as Level 3 per the Trust’s fair value hierarchy. This security represents $0 or 0.00% of the Fund’s net assets. |
The sector classifications listed above are in accordance with Global Industry Classification Standards (GICS), which was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor’s Financial Services LLC (“S&P”).
Bridge Builder Large Cap Value Fund
Schedule of Investments
June 30, 2018
| | | | | | | | |
| | | Shares | | | Value | |
COMMON STOCKS - 95.50% | | | | | | | | |
Consumer Discretionary - 13.60% | | | | | | | | |
Adient Plc | | | 5,019 | | | $ | 246,885 | |
Advance Auto Parts, Inc. | | | 227,087 | | | | 30,815,706 | |
Aptiv Plc | | | 1,875 | | | | 171,806 | |
Aramark | | | 13,111 | | | | 486,418 | |
AutoNation, Inc. (1) | | | 867,422 | | | | 42,139,361 | |
AutoZone, Inc. (1) | | | 181 | | | | 121,438 | |
Best Buy, Inc. | | | 9,671 | | | | 721,263 | |
Borgwarner, Inc. | | | 11,222 | | | | 484,342 | |
Bright Horizons Family Solutions, Inc. (1) | | | 475 | | | | 48,697 | |
Brunswick Corp. | | | 4,200 | | | | 270,816 | |
Caesars Entertainment Corp. (1) | | | 31,864 | | | | 340,945 | |
CarMax, Inc. (1) | | | 3,764 | | | | 274,283 | |
Carnival Corp. | | | 397,214 | | | | 22,764,334 | |
CBS Corp. | | | 889,553 | | | | 50,010,670 | |
Charter Communications, Inc. (1) | | | 2,822 | | | | 827,439 | |
Cinemark Holdings, Inc. | | | 5,868 | | | | 205,849 | |
Columbia Sportswear Co. | | | 1,438 | | | | 131,534 | |
Comcast Corp. - Class A | | | 2,583,992 | | | | 84,780,778 | |
D. R. Horton, Inc. | | | 7,640 | | | | 313,240 | |
Darden Restaurants, Inc. | | | 3,299 | | | | 353,191 | |
Dick’s Sporting Goods, Inc. | | | 4,153 | | | | 146,393 | |
Discovery Communications, Inc. - Class A (1) | | | 8,253 | | | | 226,957 | |
Discovery Communications, Inc. - Class C (1) | | | 18,518 | | | | 472,209 | |
DISH Network Corp. (1) | | | 11,913 | | | | 400,396 | |
Dollar General Corp. | | | 442,308 | | | | 43,611,569 | |
Dollar Tree, Inc. (1) | | | 10,457 | | | | 888,845 | |
Expedia Group, Inc. | | | 238,318 | | | | 28,643,440 | |
Extended Stay America, Inc. | | | 4,059 | | | | 87,715 | |
Foot Locker, Inc. | | | 6,301 | | | | 331,748 | |
Ford Motor Co. | | | 209,623 | | | | 2,320,527 | |
Gap, Inc. | | | 11,002 | | | | 356,355 | |
Garmin Ltd. | | | 6,110 | | | | 372,710 | |
GCI Liberty, Inc. (1) | | | 314,255 | | | | 14,166,615 | |
General Motors Co. | | | 70,353 | | | | 2,771,908 | |
Gentex Corp. | | | 4,723 | | | | 108,723 | |
Genuine Parts Co. | | | 7,954 | | | | 730,098 | |
Goodyear Tire & Rubber Co. | | | 12,896 | | | | 300,348 | |
| | | | | | | | |
Graham Holdings Co. | | | 221 | | | | 129,528 | |
H&R Block, Inc. | | | 9,197 | | | | 209,508 | |
Hanesbrands, Inc. | | | 853,611 | | | | 18,796,514 | |
Harley-Davidson, Inc. | | | 8,937 | | | | 376,069 | |
Hasbro, Inc. | | | 1,324 | | | | 122,218 | |
Hyatt Hotels Corp. | | | 2,437 | | | | 188,015 | |
International Game Technology Plc | | | 4,990 | | | | 115,968 | |
Interpublic Group of Companies, Inc. | | | 18,508 | | | | 433,828 | |
John Wiley & Sons, Inc. | | | 2,377 | | | | 148,325 | |
Kohl’s Corp. | | | 8,969 | | | | 653,840 | |
L Brands, Inc. | | | 10,110 | | | | 372,857 | |
Las Vegas Sands Corp. | | | 7,461 | | | | 569,722 | |
Lear Corp. | | | 3,348 | | | | 622,092 | |
Leggett & Platt, Inc. | | | 7,028 | | | | 313,730 | |
Lennar Corp. - Class A | | | 7,050 | | | | 370,125 | |
Lennar Corp. - Class B | | | 389 | | | | 16,606 | |
Liberty Broadband Corp. - Class A (1) | | | 1,315 | | | | 99,467 | |
Liberty Broadband Corp. - Class C (1) | | | 5,861 | | | | 443,795 | |
Liberty Expedia Holdings, Inc. (1) | | | 456,993 | | | | 20,080,272 | |
Liberty Media Group LLC - Class A (1) | | | 1,332 | | | | 47,033 | |
Liberty Media Group LLC - Class C (1) | | | 10,587 | | | | 393,095 | |
Liberty SiriusXM Group - Class A (1) | | | 4,521 | | | | 203,671 | |
Liberty SiriusXM Group - Class C (1) | | | 9,126 | | | | 413,955 | |
Lions Gate Entertainment Corp. - Class A | | | 2,447 | | | | 60,722 | |
Lions Gate Entertainment Corp. - Class B | | | 4,778 | | | | 112,080 | |
LKQ Corp. (1) | | | 13,794 | | | | 440,029 | |
Lowes Companies, Inc. | | | 433,221 | | | | 41,402,931 | |
Macy’s, Inc. | | | 16,418 | | | | 614,526 | |
Mattel, Inc. | | | 14,384 | | | | 236,185 | |
McDonald’s Corp. | | | 325,340 | | | | 50,977,525 | |
MGM Resorts International | | | 25,395 | | | | 737,217 | |
Michael Kors Holdings Ltd. (1) | | | 3,544 | | | | 236,030 | |
Michelin | | | 427,572 | | | | 51,726,904 | |
Mohawk Industries, Inc. (1) | | | 3,444 | | | | 737,946 | |
Newell Brands, Inc. | | | 24,212 | | | | 624,427 | |
News Corp. - Class A | | | 1,674,027 | | | | 25,947,418 | |
News Corp. - Class B | | | 6,506 | | | | 103,120 | |
Nike, Inc. | | | 1,181,185 | | | | 94,116,821 | |
| | | | | | | | |
Norwegian Cruise Line Holdings Ltd. (1) | | | 684,573 | | | | 32,346,074 | |
Omnicom Group, Inc. | | | 4,101 | | | | 312,783 | |
O’Reilly Automotive, Inc. (1) | | | 110,066 | | | | 30,110,756 | |
Penske Automotive Group, Inc. | | | 1,901 | | | | 89,062 | |
Pulte Group, Inc. | | | 9,490 | | | | 272,837 | |
PVH Corp. | | | 4,109 | | | | 615,199 | |
Qurate Retail, Inc. (1) | | | 1,932,168 | | | | 41,000,605 | |
Ralph Lauren Corp. | | | 2,948 | | | | 370,623 | |
Royal Caribbean Cruises Ltd. | | | 331,226 | | | | 34,315,014 | |
SeaWorld Entertainment, Inc. (1) | | | 390,988 | | | | 8,531,358 | |
Service Corp. International | | | 5,027 | | | | 179,916 | |
Skechers USA, Inc. (1) | | | 3,761 | | | | 112,868 | |
Starbucks Corp. | | | 636,973 | | | | 31,116,131 | |
Tapestry, Inc. | | | 12,418 | | | | 580,045 | |
Target Corp. | | | 29,131 | | | | 2,217,452 | |
The Madison Square Garden Co. (1) | | | 889 | | | | 275,759 | |
The Michaels Companies, Inc. (1) | | | 4,919 | | | | 94,297 | |
Thor Industries, Inc. | | | 468 | | | | 45,579 | |
Tiffany & Co. | | | 5,477 | | | | 720,773 | |
TJX Companies, Inc. | | | 875,226 | | | | 83,304,011 | |
Toll Brothers, Inc. | | | 3,717 | | | | 137,492 | |
Tribune Media Co. | | | 4,746 | | | | 181,629 | |
Twenty-First Century Fox, Inc. - Class A | | | 296,593 | | | | 14,737,706 | |
Twenty-First Century Fox, Inc. - Class B | | | 26,238 | | | | 1,292,746 | |
Under Armour, Inc. - Class A (1) | | | 2,401 | | | | 53,974 | |
Under Armour, Inc. - Class C (1) | | | 2,455 | | | | 51,751 | |
VF Corp. | | | 401,380 | | | | 32,720,498 | |
Viacom, Inc. - Class A | | | 447 | | | | 15,846 | |
Viacom, Inc. - Class B | | | 18,958 | | | | 571,773 | |
Visteon Corp. (1) | | | 583 | | | | 75,347 | |
Walt Disney Co. | | | 22,981 | | | | 2,408,639 | |
Whirlpool Corp. | | | 3,719 | | | | 543,829 | |
Williams-Sonoma, Inc. | | | 3,443 | | | | 211,331 | |
Yum China Holdings, Inc. | | | 18,199 | | | | 699,934 | |
Yum! Brands, Inc. | | | 12,299 | | | | 962,028 | |
| | | | | | | | |
| | | | | | | 965,915,330 | |
| | | | | | | | |
Consumer Staples - 6.97% | | | | | | | | |
Altria Group, Inc. | | | 438,992 | | | | 24,930,356 | |
Archer-Daniels-Midland Co. | | | 29,982 | | | | 1,374,075 | |
Bunge Ltd. | | | 7,554 | | | | 526,589 | |
Campbell Soup Co. | | | 2,948 | | | | 119,512 | |
Casey’s General Stores, Inc. | | | 1,999 | | | | 210,055 | |
| | | | | | | | |
Church & Dwight Co., Inc. | | | 1,994 | | | | 106,001 | |
Clorox Co. | | | 906 | | | | 122,536 | |
Coca Cola Co. | | | 1,312,583 | | | | 57,569,890 | |
Coca-Cola European Partners Plc | | | 948,507 | | | | 38,547,324 | |
Colgate Palmolive Co. | | | 800,133 | | | | 51,856,620 | |
Conagra Brands, Inc. | | | 20,237 | | | | 723,068 | |
Costco Wholesale Corp. | | | 291,928 | | | | 61,007,113 | |
Coty, Inc. | | | 24,991 | | | | 352,373 | |
CVS Health Corp. | | | 586,460 | | | | 37,738,701 | |
Diageo Plc - ADR | | | 325,001 | | | | 46,803,394 | |
Energizer Holdings, Inc. | | | 1,344 | | | | 84,618 | |
Flowers Foods, Inc. | | | 9,618 | | | | 200,343 | |
General Mills, Inc. | | | 30,210 | | | | 1,337,095 | |
Herbalife Ltd. (1) | | | 5,050 | | | | 271,286 | |
Hormel Foods Corp. | | | 14,578 | | | | 542,447 | |
Ingredion, Inc. | | | 3,860 | | | | 427,302 | |
Kellogg Co. | | | 6,664 | | | | 465,614 | |
Kimberly-Clark Corp. | | | 2,432 | | | | 256,187 | |
Kraft Heinz Co. | | | 32,895 | | | | 2,066,464 | |
Kroger Co. | | | 45,662 | | | | 1,299,084 | |
Lamb Weston Holdings, Inc. | | | 7,859 | | | | 538,420 | |
McCormick & Co., Inc. | | | 6,145 | | | | 713,373 | |
Molson Coors Brewing Co. | | | 9,313 | | | | 633,656 | |
Mondelez International, Inc. | | | 78,673 | | | | 3,225,593 | |
Nu Skin Enterprises, Inc. | | | 2,040 | | | | 159,508 | |
PepsiCo, Inc. | | | 547,467 | | | | 59,602,732 | |
Philip Morris International, Inc. | | | 394,530 | | | | 31,854,352 | |
Pilgrim’s Pride Corp. (1) | | | 2,838 | | | | 57,129 | |
Pinnacle Foods, Inc. | | | 6,355 | | | | 413,456 | |
Post Holdings, Inc. (1) | | | 1,482 | | | | 127,482 | |
Procter & Gamble Co. | | | 422,676 | | | | 32,994,089 | |
Seaboard Corp. | | | 12 | | | | 47,553 | |
Spectrum Brands Holdings, Inc. | | | 1,179 | | | | 96,230 | |
The Hain Celestial Group, Inc. (1) | | | 5,112 | | | | 152,338 | |
The Hershey Co. | | | 995 | | | | 92,595 | |
The J. M. Smucker Co. | | | 5,906 | | | | 634,777 | |
TreeHouse Foods, Inc. (1) | | | 2,921 | | | | 153,382 | |
Tyson Foods, Inc. | | | 15,611 | | | | 1,074,817 | |
US Foods Holding Corp. (1) | | | 10,874 | | | | 411,255 | |
Walgreens Boots Alliance, Inc. | | | 446,462 | | | | 26,794,417 | |
Walmart, Inc. | | | 77,167 | | | | 6,609,354 | |
| | | | | | | | |
| | | | | | | 495,324,555 | |
| | | | | | | | |
| | | | | | | | |
Energy - 9.66% | | | | | | | | |
Anadarko Petroleum Corp. | | | 18,660 | | | | 1,366,845 | |
Andeavor | | | 7,562 | | | | 991,983 | |
Antero Resources Corp. (1) | | | 6,046 | | | | 129,082 | |
Apache Corp. | | | 791,729 | | | | 37,013,331 | |
Apergy Corp. (1) | | | 4,163 | | | | 173,805 | |
Baker Hughes a GE Co. | | | 22,352 | | | | 738,287 | |
BP Plc - ADR | | | 902,800 | | | | 41,221,848 | |
Cabot Oil & Gas Corp. | | | 6,315 | | | | 150,297 | |
Centennial Resource Development, Inc. (1) | | | 9,486 | | | | 171,317 | |
Cheniere Energy, Inc. (1) | | | 3,422 | | | | 223,080 | |
Chesapeake Energy Corp. (1) | | | 48,234 | | | | 252,746 | |
Chevron Corp. | | | 421,898 | | | | 53,340,564 | |
Cimarex Energy Co. | | | 4,415 | | | | 449,182 | |
CNX Resources Corp. (1) | | | 11,502 | | | | 204,506 | |
Concho Resources, Inc. (1) | | | 7,930 | | | | 1,097,116 | |
ConocoPhillips | | | 687,865 | | | | 47,889,161 | |
Continental Resources, Inc. (1) | | | 2,429 | | | | 157,302 | |
Covia Holdings Corp. (1) | | | 397,287 | | | | 7,373,647 | |
Devon Energy Corp. | | | 1,208,604 | | | | 53,130,232 | |
Diamondback Energy, Inc. | | | 3,899 | | | | 512,991 | |
Energen Corp. (1) | | | 4,688 | | | | 341,380 | |
EOG Resources, Inc. | | | 304,561 | | | | 37,896,525 | |
EQT Corp. | | | 14,215 | | | | 784,384 | |
Extraction Oil & Gas, Inc. (1) | | | 5,932 | | | | 87,141 | |
Exxon Mobil Corp. | | | 614,216 | | | | 50,814,090 | |
Helmerich & Payne, Inc. | | | 5,694 | | | | 363,049 | |
Hess Corp. | | | 1,422,569 | | | | 95,155,640 | |
HollyFrontier Corp. | | | 8,689 | | | | 594,588 | |
Kinder Morgan, Inc. | | | 103,761 | | | | 1,833,457 | |
Kosmos Energy Ltd. (1) | | | 3,273,601 | | | | 27,072,680 | |
Marathon Oil Corp. | | | 45,682 | | | | 952,927 | |
Marathon Petroleum Corp. | | | 24,581 | | | | 1,724,603 | |
Murphy Oil Corp. | | | 8,820 | | | | 297,851 | |
Nabors Industries Ltd. | | | 17,711 | | | | 113,528 | |
National Oilwell Varco, Inc. | | | 20,505 | | | | 889,917 | |
Newfield Exploration Co. (1) | | | 6,795 | | | | 205,549 | |
Noble Energy, Inc. | | | 25,758 | | | | 908,742 | |
| | | | | | | | |
Occidental Petroleum Corp. | | | 1,032,958 | | | | 86,437,925 | |
ONEOK, Inc. | | | 12,893 | | | | 900,318 | |
Parsley Energy, Inc. (1) | | | 4,265 | | | | 129,144 | |
Patterson-UTI Energy, Inc. | | | 11,904 | | | | 214,272 | |
PBF Energy, Inc. | | | 5,982 | | | | 250,825 | |
Phillips 66 | | | 405,017 | | | | 45,487,459 | |
Pioneer Natural Resources Co. | | | 4,083 | | | | 772,667 | |
QEP Resources, Inc. (1) | | | 12,673 | | | | 155,371 | |
Range Resources Corp. | | | 11,311 | | | | 189,233 | |
RPC, Inc. | | | 1,929 | | | | 28,106 | |
RSP Permian, Inc. (1) | | | 3,597 | | | | 158,340 | |
Schlumberger Ltd. | | | 579,267 | | | | 38,828,267 | |
SM Energy Co. | | | 6,079 | | | | 156,170 | |
Targa Resources Corp. | | | 11,603 | | | | 574,233 | |
The Williams Companies, Inc. | | | 45,450 | | | | 1,232,150 | |
Transocean Ltd. (1) | | | 23,007 | | | | 309,214 | |
Valero Energy Corp. | | | 23,460 | | | | 2,600,072 | |
Vermilion Energy, Inc. | | | 1,111,291 | | | | 40,017,589 | |
Weatherford International Plc (1) | | | 53,418 | | | | 175,745 | |
Whiting Petroleum Corp. (1) | | | 4,810 | | | | 253,583 | |
WPX Energy, Inc. (1) | | | 21,294 | | | | 383,931 | |
| | | | | | | | |
| | | | | | | 685,877,987 | |
| | | | | | | | |
Financials - 19.42% | | | | | | | | |
Affiliated Managers Group, Inc. | | | 2,905 | | | | 431,886 | |
Aflac, Inc. | | | 41,042 | | | | 1,765,627 | |
AGNC Investment Corp. | | | 22,580 | | | | 419,762 | |
Alleghany Corp. | | | 699 | | | | 401,904 | |
Allstate Corp. | | | 18,852 | | | | 1,720,622 | |
Ally Financial, Inc. | | | 23,951 | | | | 629,193 | |
American Express Co. | | | 918,326 | | | | 89,995,948 | |
American Financial Group, Inc. | | | 3,853 | | | | 413,542 | |
American International Group, Inc. | | | 683,378 | | | | 36,232,702 | |
American National Insurance Co. | | | 397 | | | | 47,477 | |
Ameriprise Financial, Inc. | | | 6,500 | | | | 909,220 | |
Annaly Capital Management, Inc. | | | 62,133 | | | | 639,349 | |
Arch Capital Group Ltd. (1) | | | 17,475 | | | | 462,388 | |
Arthur J. Gallagher & Co. | | | 9,681 | | | | 631,976 | |
Aspen Insurance Holdings Ltd. | | | 3,168 | | | | 128,938 | |
Associated Banc Corp. | | | 9,072 | | | | 247,666 | |
Assurant, Inc. | | | 2,815 | | | | 291,324 | |
| | | | | | | | |
Assured Guaranty Ltd. | | | 5,923 | | | | 211,629 | |
Athene Holding Ltd. (1) | | | 8,521 | | | | 373,561 | |
AXA Equitable Holdings, Inc. (1) | | | 7,385 | | | | 152,205 | |
Axis Capital Holdings Ltd. | | | 3,928 | | | | 218,475 | |
Bank of America Corp. | | | 2,328,089 | | | | 65,628,829 | |
Bank of Hawaii Corp. | | | 2,236 | | | | 186,527 | |
Bank of New York Mellon Corp. | | | 701,343 | | | | 37,823,428 | |
Bank of the Ozarks, Inc. | | | 6,508 | | | | 293,120 | |
BankUnited, Inc. | | | 5,578 | | | | 227,861 | |
BB&T Corp. | | | 41,830 | | | | 2,109,905 | |
Berkshire Hathaway, Inc. (1) | | | 634,148 | | | | 118,363,724 | |
BGC Partners, Inc. | | | 14,047 | | | | 159,012 | |
BlackRock, Inc. | | | 85,571 | | | | 42,703,352 | |
BOK Financial Corp. | | | 1,390 | | | | 130,674 | |
Brighthouse Financial, Inc. (1) | | | 6,443 | | | | 258,171 | |
Brown & Brown, Inc. | | | 11,617 | | | | 322,139 | |
Capital One Financial Corp. | | | 24,352 | | | | 2,237,949 | |
CBOE Holdings, Inc. | | | 438 | | | | 45,583 | |
Chimera Investment Corp. | | | 11,246 | | | | 205,577 | |
Chubb Ltd. | | | 742,544 | | | | 94,317,939 | |
Cincinnati Financial Corp. | | | 8,242 | | | | 551,060 | |
CIT Group, Inc. | | | 6,819 | | | | 343,746 | |
Citigroup, Inc. | | | 1,776,684 | | | | 118,895,693 | |
Citizens Financial Group, Inc. | | | 26,638 | | | | 1,036,218 | |
CME Group, Inc. | | | 16,605 | | | | 2,721,892 | |
CNA Financial Corp. | | | 1,515 | | | | 69,205 | |
Comerica, Inc. | | | 8,891 | | | | 808,370 | |
Commerce Bancshares, Inc. | | | 5,090 | | | | 329,374 | |
Credit Acceptance Corp. (1) | | | 44 | | | | 15,550 | |
Cullen/Frost Bankers, Inc. | | | 3,065 | | | | 331,756 | |
Discover Financial Services | | | 10,135 | | | | 713,605 | |
E*TRADE Financial Corp. (1) | | | 647,959 | | | | 39,629,172 | |
East West Bancorp, Inc. | | | 7,163 | | | | 467,028 | |
Erie Indemnity Co. | | | 313 | | | | 36,702 | |
Everest Re Group Ltd. | | | 1,314 | | | | 302,851 | |
F.N.B. Corp. | | | 17,317 | | | | 232,394 | |
Fifth Third Bancorp | | | 36,789 | | | | 1,055,844 | |
First American Financial Corp. | | | 5,815 | | | | 300,752 | |
First Citizens Bancshares, Inc. | | | 424 | | | | 170,999 | |
First Hawaiian, Inc. | | | 3,675 | | | | 106,648 | |
| | | | | | | | |
First Horizon National Corp. | | | 17,376 | | | | 309,988 | |
First Republic Bank | | | 8,613 | | | | 833,652 | |
FNF Group | | | 517,098 | | | | 19,453,227 | |
Franklin Resources, Inc. | | | 16,992 | | | | 544,594 | |
Hanover Insurance Group, Inc. | | | 2,273 | | | | 271,760 | |
Harford Financial Services Group, Inc. | | | 19,191 | | | | 981,236 | |
Huntington Bancshares, Inc. | | | 58,793 | | | | 867,785 | |
Interactive Brokers Group, Inc. | | | 339 | | | | 21,835 | |
Intercontinental Exchange, Inc. | | | 14,816 | | | | 1,089,717 | |
Invesco Ltd. | | | 21,765 | | | | 578,078 | |
Jefferies Financial Group, Inc. | | | 1,402,357 | | | | 31,889,598 | |
JPMorgan Chase & Co. | | | 614,957 | | | | 64,078,519 | |
KeyCorp | | | 1,750,571 | | | | 34,206,157 | |
Lazard Ltd. | | | 494 | | | | 24,162 | |
Legg Mason, Inc. | | | 4,492 | | | | 156,007 | |
Lincoln National Corp. | | | 11,720 | | | | 729,570 | |
Loews Corp. | | | 15,697 | | | | 757,851 | |
M&T Bank Corp. | | | 7,781 | | | | 1,323,937 | |
Markel Corp. (1) | | | 665 | | | | 721,093 | |
Marsh & McLennan Companies, Inc. | | | 602,051 | | | | 49,350,120 | |
Mercury General Corp. | | | 1,465 | | | | 66,745 | |
MetLife, Inc. | | | 46,371 | | | | 2,021,776 | |
MFA Financial, Inc. | | | 21,164 | | | | 160,423 | |
Morgan Stanley | | | 67,900 | | | | 3,218,460 | |
Nasdaq OMX Group, Inc. | | | 6,292 | | | | 574,271 | |
Navient Corp. | | | 1,885,893 | | | | 24,573,186 | |
New Residential Investment Corp. | | | 17,920 | | | | 313,421 | |
New York Community Bancorp, Inc. | | | 2,549,817 | | | | 28,149,980 | |
Northern Trust Corp. | | | 8,005 | | | | 823,634 | |
Oaktree Capital Group LLC | | | 969,668 | | | | 39,417,004 | |
Old Republic International Corp. | | | 15,192 | | | | 302,473 | |
OneMain Holdings, Inc. (1) | | | 3,806 | | | | 126,702 | |
PacWest Bancorp | | | 6,721 | | | | 332,152 | |
People’s United Financial, Inc. | | | 18,562 | | | | 335,787 | |
Pinnacle Financial Partners, Inc. | | | 2,284 | | | | 140,123 | |
PNC Financial Services Group, Inc. | | | 615,876 | | | | 83,204,848 | |
Popular, Inc. | | | 5,404 | | | | 244,315 | |
Principal Financial Group, Inc. | | | 15,659 | | | | 829,144 | |
Prosperity Bancshares, Inc. | | | 3,959 | | | | 270,637 | |
Prudential Financial, Inc. | | | 23,049 | | | | 2,155,312 | |
| | | | | | | | |
Raymond James Financial, Inc. | | | 4,965 | | | | 443,623 | |
Regions Financial Corp. | | | 60,266 | | | | 1,071,529 | |
Reinsurance Group of America, Inc. | | | 3,460 | | | | 461,841 | |
RenaissanceRe Holdings Ltd. | | | 1,947 | | | | 234,263 | |
Santander Consumer USA Holdings, Inc. | | | 5,399 | | | | 103,067 | |
Signature Bank (1) | | | 1,083 | | | | 138,494 | |
SLM Corp. (1) | | | 3,773,496 | | | | 43,206,529 | |
Starwood Property Trust, Inc. | | | 13,694 | | | | 297,297 | |
State Street Corp. | | | 313,723 | | | | 29,204,474 | |
Sterling Bancorp | | | 11,955 | | | | 280,942 | |
SunTrust Banks, Inc. | | | 24,936 | | | | 1,646,275 | |
SVB Financial Group (1) | | | 655 | | | | 189,138 | |
Synchrony Financial | | | 1,477,445 | | | | 49,317,114 | |
Synovus Financial Corp. | | | 5,796 | | | | 306,203 | |
T. Rowe Price Group, Inc. | | | 887 | | | | 102,972 | |
TCF Financial Corp. | | | 9,041 | | | | 222,589 | |
Texas Capital Bancshares, Inc. (1) | | | 971 | | | | 88,846 | |
TFS Financial Corp. | | | 2,652 | | | | 41,822 | |
The Goldman Sachs Group, Inc. | | | 192,708 | | | | 42,505,604 | |
Torchmark Corp. | | | 5,656 | | | | 460,455 | |
Travelers Companies, Inc. | | | 11,671 | | | | 1,427,830 | |
Two Harbors Investment Corp. | | | 9,307 | | | | 147,051 | |
U.S. Bancorp | | | 83,027 | | | | 4,153,010 | |
Umpqua Holdings Corp. | | | 11,758 | | | | 265,613 | |
Unum Group | | | 11,244 | | | | 415,916 | |
Validus Holdings Ltd. | | | 3,561 | | | | 240,724 | |
Voya Financial, Inc. | | | 8,409 | | | | 395,223 | |
W.R. Berkley Corp. | | | 5,097 | | | | 369,074 | |
Webster Financial Corp. | | | 4,901 | | | | 312,194 | |
Wells Fargo & Co. | | | 1,759,326 | | | | 97,537,033 | |
Western Alliance Bancorp (1) | | | 2,463 | | | | 139,430 | |
White Mountains Insurance Group Ltd. | | | 165 | | | | 149,591 | |
Willis Towers Watson Plc | | | 244,675 | | | | 37,092,730 | |
Wintrust Financial Corp. | | | 3,256 | | | | 283,435 | |
XL Group Ltd. | | | 8,715 | | | | 487,604 | |
Zions Bancorp | | | 10,821 | | | | 570,158 | |
| | | | | | | | |
| | | | | | | 1,379,217,015 | |
| | | | | | | | |
| | | | | | | | |
Healthcare - 11.72% | | | | | | | | |
Abbott Laboratories | | | 92,702 | | | | 5,653,895 | |
Acadia Healthcare Co., Inc. (1) | | | 4,641 | | | | 189,863 | |
Aetna, Inc. | | | 11,096 | | | | 2,036,116 | |
Agilent Technologies, Inc. | | | 17,307 | | | | 1,070,265 | |
Agios Pharmaceuticals, Inc. (1) | | | 176 | | | | 14,824 | |
Alexion Pharmaceuticals, Inc. (1) | | | 1,953 | | | | 242,465 | |
Allergan Plc | | | 283,120 | | | | 47,201,766 | |
Alnylam Pharmaceuticals, Inc. (1) | | | 551 | | | | 54,268 | |
Amgen, Inc. | | | 214,348 | | | | 39,566,497 | |
Anthem, Inc. | | | 209,271 | | | | 49,812,776 | |
Baxter International, Inc. | | | 23,857 | | | | 1,761,601 | |
Becton Dickinson and Co. | | | 12,936 | | | | 3,098,948 | |
Biogen, Inc. (1) | | | 589 | | | | 170,951 | |
Bio-Rad Laboratories, Inc. (1) | | | 1,135 | | | | 327,493 | |
Bluebird Bio, Inc. (1) | | | 838 | | | | 131,524 | |
Boston Scientific Corp. (1) | | | 17,097 | | | | 559,072 | |
Bristol Myers Squibb Co. | | | 41,125 | | | | 2,275,857 | |
Bruker Corp. | | | 3,180 | | | | 92,347 | |
Cardinal Health, Inc. | | | 1,559,743 | | | | 76,162,251 | |
Catalent, Inc. (1) | | | 5,467 | | | | 229,013 | |
Centene Corp. (1) | | | 1,433 | | | | 176,560 | |
Cerner Corp. (1) | | | 9,408 | | | | 562,504 | |
Charles River Laboratories International, Inc. (1) | | | 718 | | | | 80,603 | |
Cigna Corp. | | | 216,091 | | | | 36,724,665 | |
Danaher Corp. | | | 445,754 | | | | 43,987,005 | |
DaVita, Inc. (1) | | | 3,490 | | | | 242,346 | |
Dentsply Sirona, Inc. | | | 12,003 | | | | 525,371 | |
Eli Lilly & Co. | | | 19,878 | | | | 1,696,190 | |
Envision Healthcare Corp. (1) | | | 5,172 | | | | 227,620 | |
Express Scripts Holding Co. (1) | | | 376,015 | | | | 29,032,118 | |
Gilead Sciences, Inc. | | | 17,734 | | | | 1,256,277 | |
HCA Healthcare, Inc. | | | 4,470 | | | | 458,622 | |
Henry Schein, Inc. (1) | | | 7,018 | | | | 509,788 | |
Hill-Rom Holdings, Inc. | | | 1,245 | | | | 108,738 | |
Hologic, Inc. (1) | | | 14,561 | | | | 578,800 | |
Humana, Inc. | | | 377 | | | | 112,207 | |
Integra LifeSciences Holdings Corp. (1) | | | 878 | | | | 56,552 | |
IQVIA Holdings, Inc. (1) | | | 8,992 | | | | 897,581 | |
Jazz Pharmaceuticals Plc (1) | | | 255 | | | | 43,937 | |
Johnson & Johnson | | | 638,776 | | | | 77,509,080 | |
Laboratory Corp. of America Holdings (1) | | | 5,265 | | | | 945,225 | |
McKesson Corp. | | | 249,561 | | | | 33,291,437 | |
| | | | | | | | |
MEDNAX, Inc. (1) | | | 4,958 | | | | 214,582 | |
Medtronic Plc | | | 1,575,028 | | | | 134,838,147 | |
Merck & Co., Inc. | | | 1,071,735 | | | | 65,054,315 | |
Molina Healthcare, Inc. (1) | | | 511 | | | | 50,047 | |
Mylan (1) | | | 27,555 | | | | 995,838 | |
PerkinElmer, Inc. | | | 5,901 | | | | 432,130 | |
Perrigo Co. Plc | | | 6,934 | | | | 505,558 | |
Pfizer, Inc. | | | 1,256,757 | | | | 45,595,144 | |
Premier, Inc. (1) | | | 1,928 | | | | 70,141 | |
QIAGEN NV (1) | | | 11,893 | | | | 430,051 | |
Quest Diagnostics, Inc. | | | 7,283 | | | | 800,693 | |
STERIS Plc | | | 4,491 | | | | 471,600 | |
Teleflex, Inc. | | | 1,978 | | | | 530,519 | |
Teva Pharmaceutical Industries Ltd. - ADR | | | 820,500 | | | | 19,954,560 | |
The Cooper Companies, Inc. | | | 2,183 | | | | 513,987 | |
Thermo Fisher Scientific, Inc. | | | 20,465 | | | | 4,239,120 | |
United Therapeutics Corp. (1) | | | 2,303 | | | | 260,584 | |
UnitedHealth Group, Inc. | | | 390,444 | | | | 95,791,531 | |
Universal Health Services, Inc. | | | 4,542 | | | | 506,160 | |
Waters Corp. (1) | | | 301 | | | | 58,271 | |
WellCare Health Plans, Inc. (1) | | | 170 | | | | 41,861 | |
West Pharmaceutical Services, Inc. | | | 3,016 | | | | 299,459 | |
Zimmer Holdings, Inc. | | | 10,931 | | | | 1,218,151 | |
| | | | | | | | |
| | | | | | | 832,547,467 | |
| | | | | | | | |
Industrials - 11.24% | | | | | | | | |
3M Co. | | | 5,114 | | | | 1,006,026 | |
Acuity Brands, Inc. | | | 2,182 | | | | 252,828 | |
ADT, Inc. | | | 5,960 | | | | 51,554 | |
AECOM (1) | | | 8,564 | | | | 282,869 | |
AGCO Corp. | | | 3,572 | | | | 216,892 | |
Air Lease Corp. | | | 1,388,519 | | | | 58,276,142 | |
Alaska Air Group, Inc. | | | 6,449 | | | | 389,455 | |
Allegion Plc | | | 876 | | | | 67,767 | |
AMERCO | | | 72,009 | | | | 25,646,005 | |
American Airlines Group, Inc. | | | 22,538 | | | | 855,542 | |
AMETEK, Inc. | | | 10,329 | | | | 745,341 | |
Arconic, Inc. | | | 23,215 | | | | 394,887 | |
Canadian National Railway Co. | | | 822,943 | | | | 67,275,590 | |
Carlisle Companies, Inc. | | | 3,196 | | | | 346,159 | |
Caterpillar, Inc. | | | 2,526 | | | | 342,702 | |
| | | | | | | | |
Clean Harbors, Inc. (1) | | | 2,761 | | | | 153,374 | |
Colfax Corp. (1) | | | 4,782 | | | | 146,568 | |
Copa Holdings SA | | | 1,676 | | | | 158,583 | |
Crane Co. | | | 2,681 | | | | 214,829 | |
CSX Corp. | | | 23,755 | | | | 1,515,094 | |
Cummins, Inc. | | | 5,238 | | | | 696,654 | |
Curtiss-Wright Corp. | | | 2,174 | | | | 258,749 | |
Delta Air Lines, Inc. | | | 26,691 | | | | 1,322,272 | |
Donaldson Co., Inc. | | | 388 | | | | 17,507 | |
Dover Corp. | | | 8,138 | | | | 595,702 | |
Dun & Bradstreet Corp. | | | 1,124 | | | | 137,859 | |
Eaton Corp. Plc | | | 23,469 | | | | 1,754,073 | |
Emerson Electric Co. | | | 9,775 | | | | 675,844 | |
Equifax, Inc. | | | 4,676 | | | | 585,014 | |
Flowserve Corp. | | | 7,019 | | | | 283,568 | |
Fluor Corp. | | | 7,525 | | | | 367,070 | |
Fortive Corp. | | | 1,354 | | | | 104,407 | |
Fortune Brands Home & Security, Inc. | | | 5,121 | | | | 274,947 | |
Gardner Denver Holdings, Inc. (1) | | | 3,826 | | | | 112,446 | |
Gates Industrial Corp. Plc (1) | | | 2,382 | | | | 38,755 | |
General Dynamics Corp. | | | 270,130 | | | | 50,354,933 | |
General Electric Co. | | | 3,342,494 | | | | 45,491,343 | |
Genesee & Wyoming, Inc. (1) | | | 2,837 | | | | 230,705 | |
GrafTech International Ltd. | | | 2,050 | | | | 36,880 | |
HD Supply Holdings, Inc. (1) | | | 6,975 | | | | 299,158 | |
Hexcel Corp. | | | 3,782 | | | | 251,049 | |
Honeywell International, Inc. | | | 336,726 | | | | 48,505,380 | |
Hubbell, Inc. | | | 947 | | | | 100,136 | |
Huntington Ingalls Industries, Inc. | | | 337 | | | | 73,058 | |
IDEX Corp. | | | 269 | | | | 36,713 | |
IHS Markit Ltd. (1) | | | 20,897 | | | | 1,078,076 | |
Ingersoll-Rand Plc | | | 6,101 | | | | 547,443 | |
ITT, Inc. | | | 4,687 | | | | 244,989 | |
Jacobs Engineering Group, Inc. | | | 597,781 | | | | 37,953,116 | |
JetBlue Airways Corp. (1) | | | 16,970 | | | | 322,091 | |
Johnson Controls International Plc | | | 859,278 | | | | 28,742,838 | |
Kansas City Southern | | | 5,493 | | | | 582,038 | |
KAR Auction Services, Inc. | | | 462 | | | | 25,318 | |
Kirby Corp. (1) | | | 3,164 | | | | 264,510 | |
Knight-Swift Transportation Holdings, Inc. | | | 6,913 | | | | 264,146 | |
| | | | | | | | |
L3 Technologies, Inc. | | | 4,329 | | | | 832,553 | |
Lennox International, Inc. | | | 121 | | | | 24,218 | |
Lockheed Martin Corp. | | | 166,026 | | | | 49,049,061 | |
Macquarie Infrastructure Corp. | | | 4,265 | | | | 179,983 | |
ManpowerGroup, Inc. | | | 3,521 | | | | 303,017 | |
Masco Corp. | | | 5,265 | | | | 197,016 | |
MSC Industrial Direct Co., Inc. | | | 1,317 | | | | 111,747 | |
Nielsen Holdings Plc | | | 727,125 | | | | 22,489,976 | |
Nordson Corp. | | | 205 | | | | 26,324 | |
Norfolk Southern Corp. | | | 15,166 | | | | 2,288,094 | |
Northrop Grumman Corp. | | | 163,976 | | | | 50,455,415 | |
nVent Electric Plc (1) | | | 8,631 | | | | 216,638 | |
Oshkosh Corp. | | | 3,946 | | | | 277,483 | |
Owens Corning | | | 452,696 | | | | 28,687,346 | |
PACCAR, Inc. | | | 18,428 | | | | 1,141,799 | |
Parker-Hannifin Corp. | | | 5,996 | | | | 934,477 | |
Pentair Plc | | | 9,153 | | | | 385,158 | |
Quanta Services, Inc. (1) | | | 5,693 | | | | 190,146 | |
Regal-Beloit Corp. | | | 2,381 | | | | 194,766 | |
Republic Services, Inc. | | | 11,032 | | | | 754,148 | |
Rockwell Collins, Inc. | | | 7,619 | | | | 1,026,127 | |
Roper Technologies, Inc. | | | 4,551 | | | | 1,255,666 | |
Ryder System, Inc. | | | 2,792 | | | | 200,633 | |
Schneider National, Inc. | | | 2,128 | | | | 58,541 | |
Sensata Technologies Holding Plc (1) | | | 4,131 | | | | 196,553 | |
Snap-on, Inc. | | | 3,011 | | | | 483,928 | |
Southwest Airlines Co. | | | 8,258 | | | | 420,167 | |
Spirit AeroSystems Holdings, Inc. | | | 430,226 | | | | 36,960,716 | |
Stanley Black & Decker, Inc. | | | 278,870 | | | | 37,036,725 | |
Stericycle, Inc. (1) | | | 4,445 | | | | 290,214 | |
Teledyne Technologies, Inc. (1) | | | 1,895 | | | | 377,219 | |
Terex Corp. | | | 3,647 | | | | 153,867 | |
Textron, Inc. | | | 11,458 | | | | 755,197 | |
The Middleby Corp. (1) | | | 1,213 | | | | 126,661 | |
The Timken Co. | | | 3,678 | | | | 160,177 | |
Trinity Industries, Inc. | | | 7,889 | | | | 270,277 | |
Union Pacific Corp. | | | 450,516 | | | | 63,829,107 | |
United Continental Holdings, Inc. (1) | | | 13,354 | | | | 931,174 | |
United Parcel Service, Inc. | | | 407,685 | | | | 43,308,378 | |
United Technologies Corp. | | | 550,347 | | | | 68,809,885 | |
| | | | | | | | |
Univar, Inc. (1) | | | 5,254 | | | | 137,865 | |
USG Corp. (1) | | | 4,372 | | | | 188,521 | |
Valmont Industries, Inc. | | | 1,184 | | | | 178,488 | |
Wabtec Corp. | | | 2,950 | | | | 290,811 | |
Waste Management, Inc. | | | 3,520 | | | | 286,317 | |
Watsco, Inc. | | | 337 | | | | 60,080 | |
WESCO International, Inc. (1) | | | 2,509 | | | | 143,264 | |
Xylem, Inc. | | | 4,241 | | | | 285,759 | |
| | | | | | | | |
| | | | | | | 797,928,676 | |
| | | | | | | | |
Information Technology - 12.34% | | | | | | | | |
Accenture Plc | | | 342,429 | | | | 56,017,960 | |
Akamai Technologies, Inc. (1) | | | 561 | | | | 41,082 | |
Alphabet, Inc. - Class C (1) | | | 71,008 | | | | 79,220,075 | |
Amdocs Ltd. | | | 7,667 | | | | 507,479 | |
Analog Devices, Inc. | | | 17,045 | | | | 1,634,957 | |
Apple, Inc. | | | 383,008 | | | | 70,898,611 | |
ARRIS International Plc (1) | | | 9,360 | | | | 228,805 | |
Arrow Electronics, Inc. (1) | | | 4,667 | | | | 351,332 | |
Aspen Technology, Inc. (1) | | | 207 | | | | 19,197 | |
Autodesk, Inc. (1) | | | 1,884 | | | | 246,974 | |
Automatic Data Processing, Inc. | | | 205,791 | | | | 27,604,805 | |
Avnet, Inc. | | | 6,283 | | | | 269,478 | |
Booz Allen Hamilton Holding Corp. | | | 388 | | | | 16,967 | |
Broadcom, Inc. | | | 151,850 | | | | 36,844,884 | |
CA, Inc. | | | 16,843 | | | | 600,453 | |
Cisco Systems, Inc. | | | 1,313,302 | | | | 56,511,385 | |
Cognizant Technology Solutions - Class A | | | 3,072 | | | | 242,657 | |
Coherent, Inc. (1) | | | 376 | | | | 58,814 | |
CommScope Holding Co., Inc. (1) | | | 10,182 | | | | 297,365 | |
Conduent, Inc. (1) | | | 10,218 | | | | 185,661 | |
CoreLogic, Inc. (1) | | | 1,633 | | | | 84,753 | |
Corning, Inc. | | | 43,893 | | | | 1,207,497 | |
Cypress Semiconductor Corp. | | | 5,958 | | | | 92,826 | |
Dell Technologies, Inc. - VMware, Inc. (1) | | | 9,948 | | | | 841,402 | |
Dolby Laboratories, Inc. | | | 3,319 | | | | 204,749 | |
DXC Technology Co. | | | 15,323 | | | | 1,235,187 | |
eBay, Inc. (1) | | | 39,328 | | | | 1,426,033 | |
EchoStar Corp. (1) | | | 2,927 | | | | 129,959 | |
Euronet Worldwide, Inc. (1) | | | 1,312 | | | | 109,906 | |
Facebook, Inc. (1) | | | 275,320 | | | | 53,500,182 | |
| | | | | | | | |
Fidelity National Information Services, Inc. | | | 16,471 | | | | 1,746,420 | |
FireEye, Inc. (1) | | | 3,395 | | | | 52,249 | |
First Solar, Inc. (1) | | | 4,396 | | | | 231,493 | |
FLIR Systems, Inc. | | | 6,564 | | | | 341,131 | |
Genpact Ltd. | | | 5,097 | | | | 147,456 | |
Hewlett Packard Enterprise Co. | | | 2,140,419 | | | | 31,271,522 | |
HP, Inc. | | | 89,370 | | | | 2,027,805 | |
Intel Corp. | | | 252,252 | | | | 12,539,447 | |
International Business Machines Corp. | | | 13,871 | | | | 1,937,779 | |
Jabil, Inc. | | | 8,982 | | | | 248,442 | |
Juniper Networks, Inc. | | | 18,542 | | | | 508,422 | |
Keysight Technologies, Inc. (1) | | | 10,044 | | | | 592,897 | |
Leidos Holdings, Inc. | | | 7,675 | | | | 452,825 | |
Littelfuse, Inc. | | | 218 | | | | 49,743 | |
LogMeIn, Inc. | | | 935 | | | | 96,539 | |
Marvell Technology Group Ltd. | | | 21,377 | | | | 458,323 | |
Microchip Technology, Inc. | | | 355,708 | | | | 32,351,643 | |
Micron Technology, Inc. (1) | | | 13,491 | | | | 707,468 | |
Microsoft Corp. | | | 1,144,234 | | | | 112,832,915 | |
Motorola Solutions, Inc. | | | 7,717 | | | | 898,027 | |
National Instruments Corp. | | | 1,114 | | | | 46,766 | |
NCR Corp. (1) | | | 1,126 | | | | 33,758 | |
Nuance Communications, Inc. (1) | | | 15,773 | | | | 219,008 | |
NXP Semiconductors NV (1) | | | 17,494 | | | | 1,911,569 | |
Oracle Corp. | | | 1,960,653 | | | | 86,386,371 | |
Qorvo, Inc. (1) | | | 6,777 | | | | 543,312 | |
QUALCOMM, Inc. | | | 542,502 | | | | 30,445,212 | |
Sabre Corp. | | | 2,474 | | | | 60,959 | |
Samsung Electronic Co. Ltd. | | | 1,119,944 | | | | 46,913,986 | |
Skyworks Solutions, Inc. | | | 2,848 | | | | 275,259 | |
SS&C Technologies Holdings, Inc. | | | 763 | | | | 39,600 | |
Symantec Corp. | | | 33,228 | | | | 686,158 | |
Synopsys, Inc. (1) | | | 7,195 | | | | 615,676 | |
Take-Two Interactive Software, Inc. (1) | | | 2,466 | | | | 291,876 | |
Teradata Corp. (1) | | | 1,886 | | | | 75,723 | |
Teradyne, Inc. | | | 8,615 | | | | 327,973 | |
Texas Instruments, Inc. | | | 295,621 | | | | 32,592,215 | |
The Western Union Co. | | | 18,911 | | | | 384,461 | |
Trimble, Inc. (1) | | | 14,232 | | | | 467,379 | |
Versum Materials, Inc. | | | 604,123 | | | | 22,443,170 | |
| | | | | | | | |
Visa, Inc. | | | 443,042 | | | | 58,680,913 | |
Western Digital Corp. | | | 16,088 | | | | 1,245,372 | |
Worldpay, Inc. (1) | | | 14,280 | | | | 1,167,818 | |
Xerox Corp. | | | 11,971 | | | | 287,304 | |
Zillow Group, Inc. - Class A (1) | | | 823 | | | | 49,174 | |
Zillow Group, Inc. - Class C (1) | | | 1,689 | | | | 99,752 | |
Zynga, Inc. (1) | | | 41,034 | | | | 167,008 | |
| | | | | | | | |
| | | | | | | 876,581,753 | |
| | | | | | | | |
Materials - 6.33% | | | | | | | | |
Air Products & Chemicals, Inc. | | | 233,306 | | | | 36,332,743 | |
Albemarle Corp. | | | 5,912 | | | | 557,679 | |
Alcoa Corp. (1) | | | 10,025 | | | | 469,972 | |
AptarGroup, Inc. | | | 3,335 | | | | 311,422 | |
Ardagh Group SA | | | 991 | | | | 16,470 | |
Ashland Global Holdings, Inc. | | | 3,343 | | | | 261,356 | |
Axalta Coating Systems Ltd. (1) | | | 6,947 | | | | 210,564 | |
Ball Corp. | | | 18,455 | | | | 656,075 | |
Bemis, Inc. | | | 4,857 | | | | 205,014 | |
Berry Global Group, Inc. (1) | | | 3,525 | | | | 161,938 | |
Cabot Corp. | | | 3,253 | | | | 200,938 | |
Celanese Corp. | | | 539,275 | | | | 59,891,882 | |
CF Industries Holdings, Inc. | | | 12,513 | | | | 555,577 | |
Domtar Corp. | | | 3,349 | | | | 159,881 | |
DowDuPont, Inc. | | | 1,278,700 | | | | 84,291,904 | |
Eagle Materials, Inc. | | | 306 | | | | 32,121 | |
Eastman Chemical Co. | | | 7,897 | | | | 789,384 | |
Ecolab, Inc. | | | 293,024 | | | | 41,120,058 | |
FMC Corp. | | | 4,266 | | | | 380,570 | |
Freeport-McMoRan, Inc. | | | 77,684 | | | | 1,340,826 | |
Graphic Packaging Holding Co. | | | 13,771 | | | | 199,817 | |
Huntsman Corp. | | | 11,703 | | | | 341,728 | |
International Flavors & Fragrances, Inc. | | | 2,445 | | | | 303,082 | |
International Paper Co. | | | 19,716 | | | | 1,026,809 | |
Lyondellbasell Industries NV | | | 697,465 | | | | 76,616,530 | |
Martin Marietta Materials, Inc. | | | 277 | | | | 61,862 | |
NewMarket Corp. | | | 13 | | | | 5,259 | |
Newmont Mining Corp. | | | 28,616 | | | | 1,079,109 | |
Nucor Corp. | | | 17,415 | | | | 1,088,438 | |
Nutrien Ltd. | | | 1,145,230 | | | | 62,277,607 | |
Olin Corp. | | | 8,950 | | | | 257,044 | |
| | | | | | | | |
Owens-Illinois, Inc. (1) | | | 8,674 | | | | 145,810 | |
Platform Specialty Products Corp. (1) | | | 6,261 | | | | 72,628 | |
PPG Industries, Inc. | | | 12,514 | | | | 1,298,077 | |
Praxair, Inc. | | | 460,297 | | | | 72,795,971 | |
Reliance Steel & Aluminum Co. | | | 3,764 | | | | 329,501 | |
Royal Gold, Inc. | | | 2,055 | | | | 190,786 | |
RPM International, Inc. | | | 5,614 | | | | 327,408 | |
Scotts Miracle-Gro Co. | | | 1,095 | | | | 91,060 | |
Sealed Air Corp. | | | 3,878 | | | | 164,621 | |
Silgan Holdings, Inc. | | | 2,751 | | | | 73,809 | |
Sonoco Products Co. | | | 5,274 | | | | 276,885 | |
Steel Dynamics, Inc. | | | 10,281 | | | | 472,412 | |
The Mosaic Co. | | | 18,840 | | | | 528,462 | |
United States Steel Corp. | | | 9,458 | | | | 328,666 | |
Valvoline, Inc. | | | 10,499 | | | | 226,463 | |
Vulcan Materials Co. | | | 450 | | | | 58,077 | |
W.R. Grace & Co. | | | 912 | | | | 66,859 | |
Westlake Chemical Corp. | | | 150 | | | | 16,145 | |
WestRock Co. | | | 14,107 | | | | 804,381 | |
| | | | | | | | |
| | | | | | | 449,471,680 | |
| | | | | | | | |
Real Estate - 2.58% | | | | | | | | |
Alexandria Real Estate Equities, Inc. | | | 5,258 | | | | 663,402 | |
American Campus Communities, Inc. | | | 7,307 | | | | 313,324 | |
American Homes 4 Rent | | | 13,826 | | | | 306,661 | |
American Tower Corp. | | | 424,946 | | | | 61,264,465 | |
Apartment Investment & Management Co. | | | 9,062 | | | | 383,323 | |
Apple Hospitality REIT, Inc. | | | 11,619 | | | | 207,748 | |
AvalonBay Communities, Inc. | | | 7,584 | | | | 1,303,614 | |
Boston Properties, Inc. | | | 8,291 | | | | 1,039,857 | |
Brandywine Realty Trust | | | 9,419 | | | | 158,993 | |
Brixmor Property Group, Inc. | | | 16,180 | | | | 282,017 | |
Camden Property Trust | | | 5,002 | | | | 455,832 | |
CBRE Group, Inc. (1) | | | 8,850 | | | | 422,499 | |
Colony Capital, Inc. | | | 24,711 | | | | 154,197 | |
Columbia Property Trust, Inc. | | | 6,143 | | | | 139,508 | |
Corporate Office Properties Trust | | | 5,476 | | | | 158,749 | |
Crown Castle International Corp. | | | 5,471 | | | | 589,883 | |
CubeSmart | | | 9,751 | | | | 314,177 | |
CyrusOne, Inc. | | | 5,258 | | | | 306,857 | |
DCT Industrial Trust, Inc. | | | 5,058 | | | | 337,520 | |
| | | | | | | | |
DDR Corp. | | | 8,186 | | | | 146,529 | |
Digital Realty Trust, Inc. | | | 11,035 | | | | 1,231,285 | |
Douglas Emmett, Inc. | | | 8,614 | | | | 346,111 | |
Duke Realty Corp. | | | 19,141 | | | | 555,663 | |
Empire State Realty Trust, Inc. | | | 7,229 | | | | 123,616 | |
EPR Properties | | | 3,955 | | | | 256,244 | |
Equity Commonwealth (1) | | | 6,298 | | | | 198,387 | |
Equity Residential | | | 19,266 | | | | 1,227,052 | |
Essex Property Trust, Inc. | | | 3,528 | | | | 843,439 | |
Extra Space Storage, Inc. | | | 871 | | | | 86,935 | |
Federal Realty Investment Trust | | | 3,908 | | | | 494,557 | |
Forest City Realty Trust, Inc. | | | 11,421 | | | | 260,513 | |
Gaming and Leisure Properties, Inc. | | | 6,921 | | | | 247,772 | |
GGP, Inc. | | | 33,376 | | | | 681,872 | |
HCP, Inc. | | | 25,241 | | | | 651,723 | |
Healthcare Trust of America, Inc. | | | 10,938 | | | | 294,888 | |
Highwoods Properties, Inc. | | | 5,453 | | | | 276,631 | |
Hospitality Properties Trust | | | 8,580 | | | | 245,474 | |
Host Hotels & Resorts, Inc. | | | 39,303 | | | | 828,114 | |
Hudson Pacific Properties, Inc. | | | 7,251 | | | | 256,903 | |
Invitation Homes, Inc. | | | 16,025 | | | | 369,536 | |
Iron Mountain, Inc. | | | 15,238 | | | | 533,482 | |
JBG SMITH Properties | | | 5,500 | | | | 200,585 | |
Jones Lang LaSalle, Inc. | | | 2,432 | | | | 403,688 | |
Kilroy Realty Corp. | | | 5,536 | | | | 418,743 | |
Kimco Realty Corp. | | | 21,813 | | | | 370,603 | |
Lamar Advertising Co. | | | 416 | | | | 28,417 | |
Liberty Property Trust | | | 7,910 | | | | 350,650 | |
Life Storage, Inc. | | | 2,321 | | | | 225,857 | |
Medical Properties Trust, Inc. | | | 19,464 | | | | 273,275 | |
Mid-America Apartment Communities, Inc. | | | 6,318 | | | | 636,033 | |
National Retail Properties, Inc. | | | 8,214 | | | | 361,087 | |
Omega Healthcare Investors, Inc. | | | 9,638 | | | | 298,778 | |
Outfront Media, Inc. | | | 7,433 | | | | 144,572 | |
Paramount Group, Inc. | | | 11,120 | | | | 171,248 | |
Park Hotels & Resorts, Inc. | | | 10,781 | | | | 330,222 | |
Prologis, Inc. | | | 28,462 | | | | 1,869,669 | |
Public Storage | | | 230,624 | | | | 52,319,361 | |
Rayonier, Inc. | | | 6,918 | | | | 267,657 | |
Realogy Holdings Corp. | | | 6,808 | | | | 155,222 | |
| | | | | | | | |
Realty Income Corp. | | | 15,704 | | | | 844,718 | |
Regency Centers Corp. | | | 8,151 | | | | 506,014 | |
Retail Properties of America, Inc. | | | 11,753 | | | | 150,203 | |
Senior Housing Properties Trust | | | 12,438 | | | | 225,003 | |
Simon Property Group, Inc. | | | 207,644 | | | | 35,338,932 | |
SL Green Realty Corp. | | | 4,584 | | | | 460,830 | |
Spirit Realty Capital, Inc. | | | 22,950 | | | | 184,288 | |
STORE Capital Corp. | | | 9,704 | | | | 265,890 | |
Sun Communities, Inc. | | | 4,183 | | | | 409,432 | |
The Howard Hughes Corp. (1) | | | 1,239 | | | | 164,167 | |
The Macerich Co. | | | 7,296 | | | | 414,632 | |
UDR, Inc. | | | 14,924 | | | | 560,247 | |
Uniti Group, Inc. | | | 8,844 | | | | 177,145 | |
Ventas, Inc. | | | 19,109 | | | | 1,088,258 | |
VEREIT, Inc. | | | 52,026 | | | | 387,073 | |
VICI Properties, Inc. | | | 14,639 | | | | 302,149 | |
Vornado Realty Trust | | | 9,251 | | | | 683,834 | |
W.P. Carey, Inc. | | | 6,128 | | | | 406,593 | |
Weingarten Realty Investors | | | 6,406 | | | | 197,369 | |
Welltower, Inc. | | | 19,983 | | | | 1,252,734 | |
Weyerhaeuser Co. | | | 40,654 | | | | 1,482,245 | |
| | | | | | | | |
| | | | | | | 183,286,775 | |
| | | | | | | | |
Telecommunication Services - 0.36% | | | | | | | | |
AT&T, Inc. | | | 393,058 | | | | 12,621,092 | |
CenturyLink, Inc. | | | 51,331 | | | | 956,810 | |
Sprint Corp. (1) | | | 34,561 | | | | 188,012 | |
Telephone & Data Systems, Inc. | | | 5,238 | | | | 143,626 | |
T-Mobile US, Inc. (1) | | | 5,723 | | | | 341,949 | |
United States Cellular Corp. (1) | | | 756 | | | | 28,002 | |
Verizon Communications, Inc. | | | 223,695 | | | | 11,254,096 | |
| | | | | | | | |
| | | | | | | 25,533,587 | |
| | | | | | | | |
Utilities - 1.28% | | | | | | | | |
AES Corp. | | | 35,479 | | | | 475,773 | |
Alliant Energy Corp. | | | 12,424 | | | | 525,784 | |
Ameren Corp. | | | 13,569 | | | | 825,674 | |
American Electric Power Co., Inc. | | | 26,494 | | | | 1,834,709 | |
American Water Works Co., Inc. | | | 9,564 | | | | 816,574 | |
Aqua America, Inc. | | | 9,549 | | | | 335,934 | |
Atmos Energy Corp. | | | 5,840 | | | | 526,417 | |
Avangrid, Inc. | | | 3,010 | | | | 159,319 | |
| | | | | | | | |
CenterPoint Energy, Inc. | | | 23,167 | | | | 641,957 | |
CMS Energy Corp. | | | 15,807 | | | | 747,355 | |
Consolidated Edison, Inc. | | | 16,717 | | | | 1,303,592 | |
Dominion Energy, Inc. | | | 408,017 | | | | 27,818,599 | |
DTE Energy Co. | | | 10,068 | | | | 1,043,347 | |
Duke Energy Corp. | | | 38,105 | | | | 3,013,343 | |
Edison International | | | 17,058 | | | | 1,079,260 | |
Entergy Corp. | | | 9,706 | | | | 784,148 | |
Evergy, Inc. (1) | | | 14,537 | | | | 816,252 | |
Eversource Energy | | | 16,997 | | | | 996,194 | |
Exelon Corp. | | | 646,740 | | | | 27,551,124 | |
FirstEnergy Corp. | | | 25,682 | | | | 922,241 | |
Hawaiian Electric Industries, Inc. | | | 5,853 | | | | 200,758 | |
MDU Resources Group, Inc. | | | 10,407 | | | | 298,473 | |
National Fuel Gas Co. | | | 4,356 | | | | 230,694 | |
NextEra Energy, Inc. | | | 25,301 | | | | 4,226,026 | |
NiSource, Inc. | | | 19,452 | | | | 511,198 | |
NRG Energy, Inc. | | | 16,880 | | | | 518,216 | |
OGE Energy Corp. | | | 10,700 | | | | 376,747 | |
PG&E Corp. | | | 27,755 | | | | 1,181,253 | |
Pinnacle West Capital Corp. | | | 6,480 | | | | 522,029 | |
PPL Corp. | | | 37,604 | | | | 1,073,594 | |
Public Service Enterprise Group, Inc. | | | 27,085 | | | | 1,466,382 | |
SCANA Corp. | | | 7,584 | | | | 292,136 | |
Sempra Energy | | | 14,194 | | | | 1,648,065 | |
The Southern Co. | | | 54,390 | | | | 2,518,801 | |
UGI Corp. | | | 9,268 | | | | 482,585 | |
Vectren Corp. | | | 4,464 | | | | 318,953 | |
Vistra Energy Corp. (1) | | | 21,991 | | | | 520,307 | |
WEC Energy Group, Inc. | | | 17,552 | | | | 1,134,737 | |
Xcel Energy, Inc. | | | 27,310 | | | | 1,247,521 | |
| | | | | | | | |
| | | | | | | 90,986,071 | |
| | | | | | | | |
Total Common Stocks (Cost $5,982,457,176) | | | | | | $ | 6,782,670,896 | |
| | | | | | | | |
SHORT-TERM INVESTMENTS - 4.14% | | | | | | | | |
Money Market Funds - 4.14% | | | | | | | | |
Goldman Sachs Financial Square Government Fund - Class I, 1.81% (2) | | | 146,896,299 | | | $ | 146,896,299 | |
JPMorgan U.S. Government Money Market Fund - Class I, 1.79% (2) | | | 146,896,300 | | | | 146,896,300 | |
| | | | | | | | |
Total Short-Term Investments (Cost $293,792,599) | | | | | | $ | 293,792,599 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES - 99.64%
(Cost $6,276,249,775) | | | | | | $ | 7,076,463,495 | |
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.36% | | | | | | | 25,682,591 | |
| | | | | | | | |
TOTAL NET ASSETS - 100.00% | | | | | | $ | 7,102,146,086 | |
| | | | | | | | |
Percentages are stated as a percent of net assets.
| ADR | American Depositary Receipt |
| (1) | Non-income producing security. |
| (2) | Represents annualized seven-day yield as of the close of the reporting period. |
The sector classifications listed above are in accordance with Global Industry Classification Standards (GICS), which was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor’s Financial Services LLC (“S&P”).
Bridge Builder Small/Mid Cap Growth Fund
Schedule of Investments
June 30, 2018
| | | | | | | | |
| | | Shares | | | Value | |
COMMON STOCKS - 96.84% | | | | | | | | |
Consumer Discretionary - 12.85% | | | | | | | | |
1-800-Flowers.com, Inc. (1) | | | 2,456 | | | $ | 30,823 | |
Aaron’s, Inc. | | | 99,781 | | | | 4,335,484 | |
Advance Auto Parts, Inc. | | | 252,480 | | | | 34,261,536 | |
AMC Networks, Inc. (1) | | | 2,733 | | | | 169,993 | |
American Eagle Outfitters, Inc. | | | 48,115 | | | | 1,118,674 | |
American Public Education, Inc. (1) | | | 284 | | | | 11,956 | |
America’s Car-Mart, Inc. (1) | | | 652 | | | | 40,359 | |
Aptiv Plc | | | 261,000 | | | | 23,915,430 | |
Asbury Automotive Group, Inc. (1) | | | 6,784 | | | | 465,043 | |
At Home Group, Inc. (1) | | | 8,774 | | | | 343,502 | |
AutoZone, Inc. (1) | | | 1,434 | | | | 962,114 | |
AV Homes, Inc. (1) | | | 970 | | | | 20,758 | |
Belmond Ltd. (1) | | | 3,749 | | | | 41,801 | |
Best Buy, Inc. | | | 3,777 | | | | 281,689 | |
Big Lots, Inc. | | | 3,456 | | | | 144,392 | |
BJ’s Restaurants, Inc. | | | 6,793 | | | | 407,580 | |
Bloomin Brands, Inc. | | | 27,836 | | | | 559,504 | |
Bluegreen Vacations Corp. | | | 2,355 | | | | 56,049 | |
Boot Barn Holdings, Inc. (1) | | | 6,538 | | | | 135,663 | |
Boyd Gaming Corp. | | | 25,149 | | | | 871,664 | |
Bright Horizons Family Solutions, Inc. (1) | | | 104,639 | | | | 10,727,590 | |
Brinker International, Inc. | | | 11,035 | | | | 525,266 | |
Brunswick Corp. | | | 496 | | | | 31,982 | |
Buckle, Inc. | | | 1,886 | | | | 50,733 | |
Burlington Stores, Inc. (1) | | | 41,820 | | | | 6,295,165 | |
Cable One, Inc. | | | 263 | | | | 192,855 | |
Callaway Golf Co. | | | 20,607 | | | | 390,915 | |
Cambium Learning Group, Inc. (1) | | | 1,012 | | | | 11,284 | |
Camping World Holdings, Inc. | | | 10,764 | | | | 268,885 | |
Capella Education Company | | | 3,600 | | | | 355,320 | |
Career Education Corp. (1) | | | 22,542 | | | | 364,504 | |
CarMax, Inc. (1) | | | 6,587 | | | | 479,995 | |
Carriage Services, Inc. | | | 2,036 | | | | 49,984 | |
Carrols Restaurant Group, Inc. (1) | | | 10,019 | | | | 148,782 | |
Carter’s, Inc. | | | 2,832 | | | | 306,960 | |
Carvana Co. (1) | | | 9,409 | | | | 391,414 | |
Cavco Industries, Inc. (1) | | | 2,838 | | | | 589,311 | |
CBS Corp. | | | 20,150 | | | | 1,132,833 | |
| | | | | | | | |
Central European Media Enterprises Ltd. (1) | | | 29,157 | | | | 121,002 | |
Century Communities, Inc. (1) | | | 382 | | | | 12,052 | |
Cheesecake Factory, Inc. | | | 14,249 | | | | 784,550 | |
Chegg, Inc. (1) | | | 35,175 | | | | 977,513 | |
Children’s Place, Inc. | | | 5,293 | | | | 639,394 | |
Chipotle Mexican Grill, Inc. (1) | | | 1,490 | | | | 642,741 | |
Choice Hotels International, Inc. | | | 2,132 | | | | 161,179 | |
Churchill Downs, Inc. | | | 3,757 | | | | 1,113,950 | |
Chuy’s Holdings, Inc. (1) | | | 77,784 | | | | 2,387,969 | |
Columbia Sportswear Co. | | | 230 | | | | 21,038 | |
Conn’s, Inc. (1) | | | 3,026 | | | | 99,858 | |
Core Mark Holding Company, Inc. | | | 1,257 | | | | 28,534 | |
Cracker Barrel Old Country Store, Inc. | | | 6,440 | | | | 1,005,992 | |
Crocs, Inc. (1) | | | 22,313 | | | | 392,932 | |
D. R. Horton, Inc. | | | 12,342 | | | | 506,022 | |
Dana, Inc. | | | 45,001 | | | | 908,570 | |
Darden Restaurants, Inc. | | | 3,833 | | | | 410,361 | |
Dave & Buster’s Entertainment, Inc. (1) | | | 13,170 | | | | 626,892 | |
Deckers Outdoor Corp. (1) | | | 10,523 | | | | 1,187,941 | |
Denny’s Corp. (1) | | | 15,574 | | | | 248,094 | |
Dine Brands Global, Inc. | | | 3,331 | | | | 249,159 | |
Dollar General Corp. | | | 16,453 | | | | 1,622,266 | |
Dollar Tree, Inc. (1) | | | 2,446 | | | | 207,910 | |
Domino’s Pizza, Inc. | | | 12,789 | | | | 3,608,672 | |
Dorman Products, Inc. (1) | | | 8,936 | | | | 610,418 | |
Drive Shack, Inc. (1) | | | 16,813 | | | | 129,796 | |
Duluth Holdings, Inc. (1) | | | 2,650 | | | | 63,044 | |
Dunkin’ Brands Group, Inc. | | | 5,102 | | | | 352,395 | |
Eldorado Resorts, Inc. (1) | | | 21,904 | | | | 856,446 | |
Empire Resorts, Inc. (1) | | | 598 | | | | 11,836 | |
Entravision Communications Corp. | | | 4,280 | | | | 21,400 | |
Eros International Plc (1) | | | 5,186 | | | | 67,418 | |
Expedia Group, Inc. | | | 251,157 | | | | 30,186,560 | |
Extended Stay America, Inc. | | | 6,961 | | | | 150,427 | |
Fiesta Restaurant Group, Inc. (1) | | | 6,380 | | | | 183,106 | |
Five Below, Inc. (1) | | | 18,055 | | | | 1,764,154 | |
Floor & Decor Holdings, Inc. (1) | | | 2,335 | | | | 115,186 | |
Fossil Group, Inc. (1) | | | 3,251 | | | | 87,354 | |
Fox Factory Holding Corp. (1) | | | 11,921 | | | | 554,923 | |
Funko, Inc. (1) | | | 3,262 | | | | 40,938 | |
| | | | | | | | |
Gaia, Inc. (1) | | | 2,192 | | | | 44,388 | |
Gap, Inc. | | | 800 | | | | 25,912 | |
Gentex Corp. | | | 11,360 | | | | 261,507 | |
Gentherm, Inc. (1) | | | 160,871 | | | | 6,322,230 | |
G-III Apparel Group Ltd. (1) | | | 4,104 | | | | 182,218 | |
Golden Entertainment, Inc. (1) | | | 6,106 | | | | 164,801 | |
GoPro, Inc. (1) | | | 37,664 | | | | 242,556 | |
Grand Canyon Education, Inc. (1) | | | 2,889 | | | | 322,441 | |
Groupon, Inc. (1) | | | 146,337 | | | | 629,249 | |
H&R Block, Inc. | | | 2,403 | | | | 54,740 | |
Hamilton Beach Brands Holding Co. | | | 2,011 | | | | 58,420 | |
Hanesbrands, Inc. | | | 21,938 | | | | 483,075 | |
Hasbro, Inc. | | | 5,480 | | | | 505,859 | |
Helen of Troy Ltd. (1) | | | 64,622 | | | | 6,362,036 | |
Hemisphere Media Group, Inc. (1) | | | 2,468 | | | | 32,331 | |
Hilton Grand Vacations, Inc. (1) | | | 5,926 | | | | 205,632 | |
Hilton Worldwide Holdings, Inc. | | | 17,075 | | | | 1,351,657 | |
Hooker Furniture Corp. | | | 1,658 | | | | 77,760 | |
Houghton Mifflin Harcourt Co. (1) | | | 3,088 | | | | 23,623 | |
Hovnanian Enterprises, Inc. (1) | | | 7,071 | | | | 11,526 | |
Hudson Ltd. (1) | | | 13,201 | | | | 230,885 | |
ILG, Inc. | | | 26,418 | | | | 872,587 | |
IMAX Corp. (1) | | | 203,291 | | | | 4,502,896 | |
Installed Building Products, Inc. (1) | | | 7,273 | | | | 411,288 | |
International Game Technology Plc | | | 319 | | | | 7,414 | |
Interpublic Group of Companies, Inc. | | | 2,291 | | | | 53,701 | |
iRobot Corp. (1) | | | 8,958 | | | | 678,748 | |
Jack in the Box, Inc. | | | 1,730 | | | | 147,258 | |
John Wiley & Sons, Inc. | | | 404,379 | | | | 25,233,250 | |
Johnson Outdoors, Inc. | | | 952 | | | | 80,473 | |
KB Home | | | 5,872 | | | | 159,953 | |
Kirkland’s, Inc. (1) | | | 1,260 | | | | 14,666 | |
L Brands, Inc. | | | 2,667 | | | | 98,359 | |
La-Z-Boy, Inc. | | | 6,674 | | | | 204,224 | |
LCI Industries | | | 8,094 | | | | 729,674 | |
Lear Corp. | | | 437 | | | | 81,199 | |
Lennar Corp. - Class A | | | 9,315 | | | | 489,038 | |
Lennar Corp. - Class B | | | 467 | | | | 19,936 | |
LGI Homes, Inc. (1) | | | 6,167 | | | | 356,021 | |
Liberty Braves Group - Class A (1) | | | 3,184 | | | | 81,861 | |
| | | | | | | | |
Liberty Braves Group - Class C (1) | | | 11,859 | | | | 306,674 | |
Liberty Expedia Holdings, Inc. (1) | | | 1,130 | | | | 49,652 | |
Liberty TripAdvisor Holdings, Inc. (1) | | | 24,033 | | | | 386,931 | |
Lindblad Expeditions Holdings, Inc. (1) | | | 6,633 | | | | 87,887 | |
Lions Gate Entertainment Corp. - Class A | | | 191 | | | | 4,728 | |
Lions Gate Entertainment Corp. - Class B | | | 448 | | | | 10,498 | |
Lithia Motors, Inc. | | | 4,856 | | | | 459,232 | |
Live Nation Entertainment, Inc. (1) | | | 654,853 | | | | 31,806,210 | |
LiveXLive Media, Inc. (1) | | | 8,572 | | | | 49,460 | |
LKQ Corp. (1) | | | 86,723 | | | | 2,766,464 | |
Loral Space and Communications, Inc. (1) | | | 4,210 | | | | 158,296 | |
Lululemon Athletica, Inc. (1) | | | 52,562 | | | | 6,562,366 | |
Lumber Liquidators Holdings, Inc. (1) | | | 7,624 | | | | 185,644 | |
M/I Homes, Inc. (1) | | | 1,526 | | | | 40,408 | |
Malibu Boats, Inc. (1) | | | 6,734 | | | | 282,424 | |
Marine Products Corp. | | | 2,730 | | | | 48,539 | |
MarineMax, Inc. (1) | | | 4,087 | | | | 77,449 | |
Marriott International, Inc. | | | 210,902 | | | | 26,700,193 | |
Marriott Vacations Worldwide Corp. | | | 6,378 | | | | 720,459 | |
Mattel, Inc. | | | 4,675 | | | | 76,764 | |
MCBC Holdings, Inc. (1) | | | 6,211 | | | | 179,808 | |
MDC Partners, Inc. (1) | | | 18,368 | | | | 84,493 | |
Meritage Homes Corp. (1) | | | 915 | | | | 40,214 | |
MGM Resorts International | | | 2,846 | | | | 82,619 | |
Michael Kors Holdings Ltd. (1) | | | 4,704 | | | | 313,286 | |
Modine Manufacturing Co. (1) | | | 2,339 | | | | 42,687 | |
Mohawk Industries, Inc. (1) | | | 94,600 | | | | 20,269,942 | |
Monarch Casino & Resort, Inc. (1) | | | 2,858 | | | | 125,895 | |
Monro, Inc. | | | 10,562 | | | | 613,652 | |
Morningstar, Inc. | | | 62,036 | | | | 7,956,117 | |
Movado Group, Inc. | | | 290 | | | | 14,007 | |
Murphy USA, Inc. (1) | | | 1,917 | | | | 142,414 | |
Nathan’s Famous, Inc. | | | 906 | | | | 85,255 | |
National Vision Holdings, Inc. (1) | | | 11,258 | | | | 411,705 | |
Nautilus, Inc. (1) | | | 8,664 | | | | 136,025 | |
New York & Company, Inc. (1) | | | 5,546 | | | | 28,396 | |
New York Times Co. | | | 35,268 | | | | 913,441 | |
Nexstar Media Group, Inc. | | | 14,781 | | | | 1,084,925 | |
Noodles & Co. (1) | | | 4,026 | | | | 49,520 | |
Nordstrom, Inc. | | | 7,217 | | | | 373,696 | |
| | | | | | | | |
Nutrisystem, Inc. | | | 9,787 | | | | 376,800 | |
NVR, Inc. (1) | | | 193 | | | | 573,278 | |
Ollie’s Bargain Outlet Holdings, Inc. (1) | | | 146,861 | | | | 10,647,423 | |
Omnicom Group, Inc. | | | 9,110 | | | | 694,820 | |
O’Reilly Automotive, Inc. (1) | | | 4,914 | | | | 1,344,323 | |
Overstock.com, Inc. (1) | | | 6,858 | | | | 230,772 | |
Oxford Industries, Inc. | | | 5,549 | | | | 460,456 | |
Papa John’s International, Inc. | | | 3,525 | | | | 178,788 | |
Party City Holdings, Inc. (1) | | | 715 | | | | 10,904 | |
Penn National Gaming, Inc. (1) | | | 2,781 | | | | 93,414 | |
PetMed Express, Inc. | | | 6,590 | | | | 290,290 | |
Pinnacle Entertainment, Inc. (1) | | | 17,579 | | | | 592,940 | |
Planet Fitness, Inc. (1) | | | 29,216 | | | | 1,283,751 | |
PlayAGS, Inc. (1) | | | 5,406 | | | | 146,340 | |
Polaris Industries, Inc. | | | 3,635 | | | | 444,124 | |
Pool Corp. | | | 80,808 | | | | 12,242,412 | |
Potbelly Corp. (1) | | | 7,928 | | | | 102,668 | |
Pulte Group, Inc. | | | 5,039 | | | | 144,871 | |
Purple Innovation, Inc. (1) | | | 1,352 | | | | 11,492 | |
RCI Hospitality Holdings, Inc. | | | 2,095 | | | | 66,307 | |
Red Rock Resorts, Inc. | | | 23,253 | | | | 778,976 | |
RH (1) | | | 6,372 | | | | 890,168 | |
Roku, Inc. (1) | | | 14,320 | | | | 610,318 | |
Ross Stores, Inc. | | | 438,994 | | | | 37,204,742 | |
Ruth’s Hospitality Group, Inc. | | | 9,673 | | | | 271,328 | |
Sally Beauty Holdings, Inc. (1) | | | 726,935 | | | | 11,652,768 | |
Scientific Games Corp. (1) | | | 18,181 | | | | 893,596 | |
Sears Holdings Corp. (1) | | | 4,812 | | | | 11,404 | |
SeaWorld Entertainment, Inc. (1) | | | 18,208 | | | | 397,299 | |
Service Corp. International | | | 5,119 | | | | 183,209 | |
ServiceMaster Global Holdings, Inc. (1) | | | 8,307 | | | | 494,017 | |
Shake Shack, Inc. (1) | | | 8,177 | | | | 541,154 | |
Shiloh Industries, Inc. (1) | | | 789 | | | | 6,864 | |
Shutterfly, Inc. (1) | | | 10,915 | | | | 982,677 | |
Sinclair Broadcast Group, Inc. | | | 11,142 | | | | 358,215 | |
Sirius XM Holdings, Inc. | | | 78,528 | | | | 531,635 | |
Six Flags Entertainment Corp. | | | 4,373 | | | | 306,329 | |
Skechers USA, Inc. (1) | | | 3,831 | | | | 114,968 | |
Skyline Champion Corp. | | | 2,175 | | | | 76,212 | |
Sleep Number Corp. (1) | | | 12,090 | | | | 350,852 | |
| | | | | | | | |
Sonic Corp. | | | 6,556 | | | | 225,658 | |
Sotheby’s (1) | | | 12,382 | | | | 672,838 | |
Sportsman’s Warehouse Holdings, Inc. (1) | | | 12,383 | | | | 63,401 | |
Steven Madden Ltd. | | | 136,657 | | | | 7,256,487 | |
Stoneridge, Inc. (1) | | | 8,101 | | | | 284,669 | |
Strayer Education, Inc. | | | 3,579 | | | | 404,463 | |
Sturm, Ruger & Company, Inc. | | | 5,606 | | | | 313,936 | |
Superior Uniform Group, Inc. | | | 3,031 | | | | 62,772 | |
Systemax, Inc. | | | 2,954 | | | | 101,411 | |
Tailored Brands, Inc. | | | 16,433 | | | | 419,370 | |
Tapestry, Inc. | | | 3,472 | | | | 162,177 | |
Taylor Morrison Home Corp. (1) | | | 5,686 | | | | 118,155 | |
Tempur Sealy International, Inc. (1) | | | 2,835 | | | | 136,222 | |
Tenneco, Inc. | | | 13,850 | | | | 608,846 | |
Texas Roadhouse, Inc. | | | 120,066 | | | | 7,865,524 | |
The Madison Square Garden Co. (1) | | | 110 | | | | 34,121 | |
The Michaels Companies, Inc. (1) | | | 1,026 | | | | 19,668 | |
Thor Industries, Inc. | | | 2,536 | | | | 246,981 | |
Tiffany & Co. | | | 1,327 | | | | 174,633 | |
Tile Shop Holdings, Inc. | | | 6,792 | | | | 52,298 | |
Tilly’s, Inc. | | | 741 | | | | 11,226 | |
Toll Brothers, Inc. | | | 4,383 | | | | 162,127 | |
TopBuild Corp. (1) | | | 11,726 | | | | 918,615 | |
Town Sports International Holdings, Inc. (1) | | | 785 | | | | 11,422 | |
Tractor Supply Co. | | | 270,461 | | | | 20,687,562 | |
Travelport Worldwide Ltd. | | | 7,713 | | | | 142,999 | |
TRI Pointe Group, Inc. (1) | | | 2,470 | | | | 40,409 | |
TripAdvisor, Inc. (1) | | | 6,354 | | | | 353,981 | |
tronc, Inc. (1) | | | 5,455 | | | | 94,262 | |
Turtle Beach Corp. (1) | | | 2,488 | | | | 50,556 | |
Ulta Beauty, Inc. (1) | | | 100,754 | | | | 23,522,029 | |
Under Armour, Inc. - Class A (1) | | | 8,640 | | | | 194,227 | |
Under Armour, Inc. - Class C (1) | | | 8,773 | | | | 184,935 | |
Urban Outfitters, Inc. (1) | | | 4,527 | | | | 201,678 | |
Vail Resorts, Inc. | | | 2,453 | | | | 672,588 | |
VF Corp. | | | 15,231 | | | | 1,241,631 | |
Visteon Corp. (1) | | | 1,146 | | | | 148,109 | |
Vuzix Corp. (1) | | | 6,185 | | | | 46,078 | |
Wayfair, Inc. (1) | | | 3,421 | | | | 406,278 | |
Weight Watchers International, Inc. (1) | | | 12,012 | | | | 1,214,413 | |
| | | | | | | | |
Wendy’s Co. | | | 11,654 | | | | 200,216 | |
William Lyon Homes (1) | | | 1,735 | | | | 40,252 | |
Williams-Sonoma, Inc. | | | 1,179 | | | | 72,367 | |
Wingstop, Inc. | | | 97,233 | | | | 5,067,784 | |
Winmark Corp. | | | 839 | | | | 124,550 | |
Winnebago Industries, Inc. | | | 10,227 | | | | 415,216 | |
Wolverine World Wide, Inc. | | | 30,492 | | | | 1,060,207 | |
World Wrestling Entertainment, Inc. | | | 13,933 | | | | 1,014,601 | |
Wyndham Destinations, Inc. | | | 6,023 | | | | 266,638 | |
Wyndham Hotels & Resorts, Inc. | | | 5,985 | | | | 352,098 | |
Wynn Resorts Ltd. | | | 6,287 | | | | 1,052,067 | |
Yum China Holdings, Inc. | | | 1,944 | | | | 74,766 | |
ZAGG, Inc. (1) | | | 9,170 | | | | 158,641 | |
Zumiez, Inc. (1) | | | 1,749 | | | | 43,812 | |
| | | | | | | | |
| | | | | | | 465,256,425 | |
| | | | | | | | |
Consumer Staples - 5.56% | | | | | | | | |
22nd Century Group, Inc. (1) | | | 36,677 | | | | 90,225 | |
B&G Foods, Inc. | | | 2,302 | | | | 68,830 | |
Boston Beer, Inc. (1) | | | 2,774 | | | | 831,368 | |
Brown Forman Corp. - Class A | | | 3,111 | | | | 152,003 | |
Brown Forman Corp. - Class B | | | 17,287 | | | | 847,236 | |
Calavo Growers, Inc. | | | 108,418 | | | | 10,424,391 | |
Cal-Maine Foods, Inc. (1) | | | 4,190 | | | | 192,112 | |
Campbell Soup Co. | | | 318,471 | | | | 12,910,814 | |
Casey’s General Stores, Inc. | | | 101,670 | | | | 10,683,484 | |
Castle Brands, Inc. (1) | | | 31,608 | | | | 37,614 | |
Celsius Holdings, Inc. (1) | | | 6,814 | | | | 31,344 | |
Central Garden & Pet Co. (1) | | | 2,560 | | | | 111,309 | |
Central Garden & Pet Co. - Class A (1) | | | 9,021 | | | | 365,080 | |
Church & Dwight Co., Inc. | | | 12,677 | | | | 673,909 | |
Clorox Co. | | | 6,901 | | | | 933,360 | |
Coca-Cola Bottling Co. Consolidated | | | 1,570 | | | | 212,154 | |
Craft Brew Alliance, Inc. (1) | | | 3,995 | | | | 82,497 | |
Diplomat Pharmacy, Inc. (1) | | | 15,045 | | | | 384,550 | |
Dr Pepper Snapple Group, Inc. | | | 10,956 | | | | 1,336,632 | |
elf Beauty, Inc. (1) | | | 7,568 | | | | 115,336 | |
Energizer Holdings, Inc. | | | 2,076 | | | | 130,705 | |
Flowers Foods, Inc. | | | 1,166,000 | | | | 24,287,780 | |
Freshpet, Inc. (1) | | | 8,655 | | | | 237,580 | |
Herbalife Ltd. (1) | | | 1,206 | | | | 64,786 | |
| | | | | | | | |
Hormel Foods Corp. | | | 784,000 | | | | 29,172,640 | |
HRG Group, Inc. (1) | | | 39,016 | | | | 510,719 | |
Inter Parfums, Inc. | | | 5,330 | | | | 285,155 | |
J & J Snack Foods Corp. | | | 4,952 | | | | 755,031 | |
John B. Sanfilippo & Son, Inc. | | | 2,857 | | | | 212,704 | |
Kellogg Co. | | | 7,590 | | | | 530,313 | |
Lancaster Colony Corp. | | | 4,527 | | | | 626,627 | |
Limoneira Co. | | | 1,025 | | | | 25,225 | |
McCormick & Co., Inc. | | | 152,419 | | | | 17,694,322 | |
Medifast, Inc. | | | 3,858 | | | | 617,897 | |
MGP Ingredients, Inc. | | | 35,645 | | | | 3,165,632 | |
Molson Coors Brewing Co. | | | 280,000 | | | | 19,051,200 | |
Monster Beverage Corp. (1) | | | 76,776 | | | | 4,399,265 | |
National Beverage Corp. (1) | | | 3,879 | | | | 414,665 | |
Natural Health Trends Corp. | | | 2,491 | | | | 62,325 | |
Nu Skin Enterprises, Inc. | | | 1,042 | | | | 81,474 | |
Performance Food Group Co. (1) | | | 33,677 | | | | 1,235,946 | |
Post Holdings, Inc. (1) | | | 2,334 | | | | 200,771 | |
PriceSmart, Inc. | | | 7,345 | | | | 664,723 | |
Primo Water Corp. (1) | | | 9,045 | | | | 158,197 | |
Revlon, Inc. (1) | | | 2,204 | | | | 38,680 | |
Sprouts Farmers Market, Inc. (1) | | | 7,956 | | | | 175,589 | |
The Chefs’ Warehouse, Inc. (1) | | | 7,221 | | | | 205,799 | |
The Hershey Co. | | | 7,787 | | | | 724,658 | |
The J. M. Smucker Co. | | | 147,000 | | | | 15,799,560 | |
Tootsie Roll Industries, Inc. | | | 1,165 | | | | 35,940 | |
TreeHouse Foods, Inc. (1) | | | 314,000 | | | | 16,488,140 | |
Turning Point Brands, Inc. | | | 2,454 | | | | 78,283 | |
U.S. Foods Holding Corp. (1) | | | 373,358 | | | | 14,120,400 | |
USANA Health Sciences, Inc. (1) | | | 4,189 | | | | 482,992 | |
Vector Group Ltd. | | | 14,641 | | | | 279,350 | |
WD-40 Co. | | | 53,672 | | | | 7,849,530 | |
| | | | | | | | |
| | | | | | | 201,348,851 | |
| | | | | | | | |
Energy - 1.66% | | | | | | | | |
Abraxas Petroleum Corp. (1) | | | 50,458 | | | | 145,824 | |
Amyris, Inc. (1) | | | 1,960 | | | | 12,524 | |
Antero Resources Corp. (1) | | | 7,909 | | | | 168,857 | |
Apache Corp. | | | 1,504 | | | | 70,312 | |
Cabot Oil & Gas Corp. | | | 145,709 | | | | 3,467,874 | |
Cactus, Inc. (1) | | | 8,914 | | | | 301,204 | |
| | | | | | | | |
Callon Petroleum Co. (1) | | | 139,291 | | | | 1,495,985 | |
Carrizo Oil & Gas, Inc. (1) | | | 98,338 | | | | 2,738,713 | |
Cheniere Energy, Inc. (1) | | | 8,897 | | | | 579,995 | |
Cimarex Energy Co. | | | 736 | | | | 74,881 | |
CONSOL Energy, Inc. (1) | | | 3,997 | | | | 153,285 | |
Continental Resources, Inc. (1) | | | 2,577 | | | | 166,886 | |
Core Laboratories NV | | | 211,589 | | | | 26,704,648 | |
Covia Holdings Corp. (1) | | | 10,342 | | | | 191,948 | |
CVR Energy, Inc. | | | 5,055 | | | | 186,984 | |
Delek U.S. Holdings, Inc. | | | 25,550 | | | | 1,281,843 | |
Denbury Resources, Inc. (1) | | | 68,033 | | | | 327,239 | |
Diamondback Energy, Inc. | | | 1,572 | | | | 206,828 | |
Eclipse Resources Corp. (1) | | | 13,585 | | | | 21,736 | |
Energy XXI Gulf Coast, Inc. (1) | | | 1,287 | | | | 11,377 | |
Evolution Petroleum Corp. | | | 8,242 | | | | 81,184 | |
Forum Energy Technologies, Inc. (1) | | | 426,116 | | | | 5,262,533 | |
Goodrich Petroleum Corp. (1) | | | 1,800 | | | | 22,266 | |
Independence Contract Drilling, Inc. (1) | | | 3,690 | | | | 15,203 | |
ION Geophysical Corp. (1) | | | 3,360 | | | | 81,648 | |
Isramco, Inc. (1) | | | 70 | | | | 8,603 | |
Jagged Peak Energy, Inc. (1) | | | 21,480 | | | | 279,670 | |
Keane Group, Inc. (1) | | | 17,470 | | | | 238,815 | |
Key Energy Services, Inc. (1) | | | 3,183 | | | | 51,692 | |
Kosmos Energy Ltd. (1) | | | 2,664 | | | | 22,031 | |
Laredo Petroleum, Inc. (1) | | | 16,366 | | | | 157,441 | |
Liberty Oilfield Services, Inc. (1) | | | 4,781 | | | | 89,500 | |
Lilis Energy, Inc. (1) | | | 14,109 | | | | 73,367 | |
Mammoth Energy Services, Inc. (1) | | | 2,687 | | | | 91,251 | |
Matador Resources Co. (1) | | | 30,296 | | | | 910,395 | |
Newfield Exploration Co. (1) | | | 4,440 | | | | 134,310 | |
NextDecade Corp. (1) | | | 2,377 | | | | 16,259 | |
Northern Oil & Gas, Inc. (1) | | | 8,605 | | | | 27,106 | |
ONEOK, Inc. | | | 10,381 | | | | 724,905 | |
Panhandle Oil and Gas, Inc. | | | 2,931 | | | | 55,982 | |
Par Petroleum Corp. (1) | | | 809 | | | | 14,060 | |
Parsley Energy, Inc. (1) | | | 10,971 | | | | 332,202 | |
Penn Virginia Corp. (1) | | | 4,108 | | | | 348,728 | |
Pioneer Energy Services Corp. (1) | | | 2,286 | | | | 13,373 | |
Profire Energy, Inc. (1) | | | 7,366 | | | | 24,897 | |
ProPetro Holding Corp. (1) | | | 23,567 | | | | 369,531 | |
| | | | | | | | |
Range Resources Corp. | | | 60,110 | | | | 1,005,640 | |
Renewable Energy Group, Inc. (1) | | | 998 | | | | 17,814 | |
Resolute Energy Corp. (1) | | | 339 | | | | 10,577 | |
RigNet, Inc. (1) | | | 517 | | | | 5,325 | |
Ring Energy, Inc. (1) | | | 18,047 | | | | 227,753 | |
RPC, Inc. | | | 1,184 | | | | 17,251 | |
RSP Permian, Inc. (1) | | | 4,857 | | | | 213,805 | |
Sanchez Energy Corp. (1) | | | 20,677 | | | | 93,460 | |
Select Energy Services, Inc. (1) | | | 3,349 | | | | 48,661 | |
Solaris Oilfield Infrastructure, Inc. (1) | | | 8,901 | | | | 127,195 | |
SRC Energy, Inc. (1) | | | 861,675 | | | | 9,495,658 | |
Tellurian, Inc. (1) | | | 26,905 | | | | 223,850 | |
TETRA Technologies, Inc. (1) | | | 35,420 | | | | 157,619 | |
Uranium Energy Corp. (1) | | | 49,578 | | | | 79,821 | |
U.S. Silica Holdings, Inc. | | | 15,655 | | | | 402,177 | |
WildHorse Resource Development Corp. (1) | | | 8,407 | | | | 213,202 | |
Zion Oil & Gas, Inc. (1) | | | 16,796 | | | | 68,108 | |
| | | | | | | | |
| | | | | | | 60,163,811 | |
| | | | | | | | |
Financials - 9.84% | | | | | | | | |
Affiliated Managers Group, Inc. | | | 140,410 | | | | 20,874,755 | |
Alleghany Corp. | | | 99 | | | | 56,922 | |
Allegiance Bancshares, Inc. (1) | | | 942 | | | | 40,836 | |
Ameriprise Financial, Inc. | | | 1,428 | | | | 199,749 | |
Ameris Bancorp | | | 13,181 | | | | 703,206 | |
AmTrust Financial Services, Inc. | | | 5,071 | | | | 73,884 | |
Arch Capital Group Ltd. (1) | | | 3,826 | | | | 101,236 | |
Argo Group International Holdings Ltd. | | | 175,024 | | | | 10,177,646 | |
Arthur J. Gallagher & Co. | | | 363,000 | | | | 23,696,640 | |
Artisan Partners Asset Management, Inc. | | | 16,469 | | | | 496,540 | |
Ashford, Inc. (1) | | | 259 | | | | 16,783 | |
Atlantic Capital Bancshares, Inc. (1) | | | 6,002 | | | | 117,939 | |
Axis Capital Holdings Ltd. | | | 506 | | | | 28,144 | |
BancFirst Corp. | | | 1,576 | | | | 93,299 | |
Bank of NT Butterfield & Son Ltd. | | | 17,960 | | | | 821,131 | |
Bankwell Financial Group, Inc. | | | 275 | | | | 8,841 | |
Blue Hills Bancorp, Inc. | | | 3,377 | | | | 74,969 | |
Bofi Holding, Inc. (1) | | | 19,605 | | | | 802,041 | |
BrightSphere Investment Group Plc | | | 24,476 | | | | 349,028 | |
Brown & Brown, Inc. | | | 769 | | | | 21,324 | |
Bryn Mawr Bank Corp. | | | 71,090 | | | | 3,291,467 | |
| | | | | | | | |
BSB Bancorp, Inc. (1) | | | 552 | | | | 18,989 | |
Cadence Bancorp | | | 5,439 | | | | 157,024 | |
Cambridge Bancorp | | | 251 | | | | 21,722 | |
Camden National Corp. | | | 57,374 | | | | 2,622,566 | |
Capstar Financial Holdings, Inc. (1) | | | 619 | | | | 11,470 | |
Carolina Financial Corp. | | | 4,534 | | | | 194,599 | |
CBOE Holdings, Inc. | | | 6,333 | | | | 659,075 | |
Central Pacific Financial Corp. | | | 217,542 | | | | 6,232,578 | |
Charter Financial Corp. | | | 651 | | | | 15,722 | |
Chemical Financial Corp. | | | 129,772 | | | | 7,224,407 | |
City Holding Company | | | 476 | | | | 35,809 | |
CNB Financial Corporation, Inc. | | | 342 | | | | 10,281 | |
CoBiz Financial, Inc. | | | 12,403 | | | | 266,416 | |
Cohen & Steers, Inc. | | | 164,120 | | | | 6,845,445 | |
Columbia Banking System, Inc. | | | 344,076 | | | | 14,072,708 | |
Comerica, Inc. | | | 622 | | | | 56,552 | |
Commerce Bancshares, Inc. | | | 188,000 | | | | 12,165,480 | |
Community Bank System, Inc. | | | 140,914 | | | | 8,323,790 | |
ConnectOne Bancorp, Inc. | | | 2,630 | | | | 65,487 | |
Cowen, Inc. (1) | | | 4,430 | | | | 61,355 | |
Credit Acceptance Corp. (1) | | | 634 | | | | 224,056 | |
Cullen/Frost Bankers, Inc. | | | 153,000 | | | | 16,560,720 | |
Curo Group Holdings Corp. (1) | | | 2,613 | | | | 65,194 | |
Customers Bancorp, Inc. (1) | | | 3,069 | | | | 87,098 | |
Diamond Hill Investment Group, Inc. | | | 1,127 | | | | 219,123 | |
Discover Financial Services | | | 9,777 | | | | 688,399 | |
Donnelley Financial Solutions, Inc. (1) | | | 5,234 | | | | 90,915 | |
E*TRADE Financial Corp. (1) | | | 3,666 | | | | 224,213 | |
Eagle Bancorp, Inc. (1) | | | 8,578 | | | | 525,831 | |
East West Bancorp, Inc. | | | 632 | | | | 41,206 | |
Eaton Vance Corp. | | | 7,055 | | | | 368,200 | |
Elevate Credit, Inc. (1) | | | 6,539 | | | | 55,320 | |
Enova International, Inc. (1) | | | 11,049 | | | | 403,841 | |
Enterprise Bancorp, Inc. | | | 265 | | | | 10,714 | |
Enterprise Financial Services Corp. | | | 2,680 | | | | 144,586 | |
Equity Bancshares, Inc. (1) | | | 1,359 | | | | 56,371 | |
Erie Indemnity Co. | | | 1,133 | | | | 132,856 | |
Esquire Financial Holdings, Inc. (1) | | | 573 | | | | 15,121 | |
Essent Group Ltd. (1) | | | 16,196 | | | | 580,141 | |
Evercore Partners, Inc. | | | 99,265 | | | | 10,467,494 | |
| | | | | | | | |
Everest Re Group Ltd. | | | 119,477 | | | | 27,537,059 | |
Farmers & Merchants Bancorp, Inc. | | | 2,383 | | | | 96,154 | |
FB Financial Corp. | | | 2,039 | | | | 83,028 | |
FCB Financial Holdings, Inc. (1) | | | 12,317 | | | | 724,240 | |
Federal Agricultural Mortgage Corp. | | | 1,079 | | | | 96,549 | |
Federated Investors, Inc. | | | 9,899 | | | | 230,845 | |
FedNat Holding Co. | | | 1,993 | | | | 45,978 | |
Financial Engines, Inc. | | | 21,101 | | | | 947,435 | |
First Connecticut Bancorp, Inc. | | | 877 | | | | 26,836 | |
First Financial Bankshares, Inc. | | | 21,480 | | | | 1,093,332 | |
First Financial Northwest, Inc. | | | 301 | | | | 5,876 | |
First Foundation, Inc. (1) | | | 3,344 | | | | 61,998 | |
First Republic Bank | | | 176,720 | | | | 17,104,729 | |
FirstCash, Inc. | | | 44,614 | | | | 4,008,568 | |
FNB Bancorp | | | 458 | | | | 16,795 | |
FS Bancorp, Inc. | | | 562 | | | | 35,546 | |
GAMCO Investors, Inc. | | | 942 | | | | 25,208 | |
German American Bancorp, Inc. | | | 1,619 | | | | 58,041 | |
Glacier Bancorp, Inc. | | | 4,810 | | | | 186,051 | |
Global Indemnity Ltd. | | | 576 | | | | 22,452 | |
Granite Point Mortgage Trust, Inc. | | | 2,556 | | | | 46,903 | |
Great Western Bancorp, Inc. | | | 193,883 | | | | 8,141,147 | |
Green Bancorp, Inc. | | | 1,607 | | | | 34,711 | |
Green Dot Corp. (1) | | | 60,643 | | | | 4,450,590 | |
Greene County Bancorp, Inc. | | | 938 | | | | 31,798 | |
Greenhill & Co, Inc. | | | 6,511 | | | | 184,912 | |
Guaranty Bancorp | | | 6,957 | | | | 207,319 | |
Hamilton Lane, Inc. | | | 5,127 | | | | 245,942 | |
Hanmi Financial Corp. | | | 1,216 | | | | 34,474 | |
HarborOne Bancorp, Inc. (1) | | | 2,411 | | | | 45,664 | |
Health Insurance Innovations, Inc. (1) | | | 4,006 | | | | 129,594 | |
Heritage Commerce Corp. | | | 12,051 | | | | 204,746 | |
Heritage Insurance Holdings, Inc. | | | 823 | | | | 13,719 | |
Hilltop Holdings, Inc. | | | 11,918 | | | | 263,030 | |
Hingham Institution for Savings | | | 217 | | | | 47,675 | |
Home Bancshares, Inc. | | | 12,414 | | | | 280,060 | |
HomeTrust Bancshares, Inc. (1) | | | 1,559 | | | | 43,886 | |
Houlihan Lokey, Inc. | | | 10,216 | | | | 523,264 | |
Howard Bancorp, Inc. (1) | | | 1,010 | | | | 18,180 | |
Independent Bank Corp. | | | 950 | | | | 74,480 | |
| | | | | | | | |
Independent Bank Corp. MI | | | 2,030 | | | | 51,765 | |
Independent Bank Group, Inc. | | | 1,886 | | | | 125,985 | |
Infinity Property & Casualty Corp. | | | 561 | | | | 79,858 | |
Interactive Brokers Group, Inc. | | | 3,916 | | | | 252,230 | |
Investar Holding Corp. | | | 661 | | | | 18,277 | |
Investment Technology Group, Inc. | | | 1,446 | | | | 30,250 | |
Investors Title Co. | | | 132 | | | | 24,375 | |
James River Group Holdings Ltd. | | | 188,663 | | | | 7,412,569 | |
Kearny Financial Corp. | | | 11,046 | | | | 148,569 | |
Kemper Corp. | | | 9,158 | | | | 692,803 | |
Kingstone Cos, Inc. | | | 827 | | | | 13,976 | |
Kinsale Capital Group, Inc. | | | 6,612 | | | | 362,734 | |
Ladenburg Thalmann Financial Services, Inc. | | | 33,043 | | | | 112,346 | |
Lakeland Financial Corp. | | | 6,210 | | | | 299,260 | |
Lazard Ltd. | | | 245,659 | | | | 12,015,182 | |
LegacyTexas Financial Group, Inc. | | | 6,752 | | | | 263,463 | |
LendingTree, Inc. (1) | | | 2,583 | | | | 552,245 | |
Live Oak Bancshares, Inc. | | | 4,395 | | | | 134,707 | |
LPL Financial Holdings, Inc. | | | 5,403 | | | | 354,113 | |
Macatawa Bank Corp. | | | 873 | | | | 10,598 | |
Malvern Bancorp, Inc. (1) | | | 416 | | | | 10,130 | |
Markel Corp. (1) | | | 74 | | | | 80,242 | |
MarketAxess Holdings, Inc. | | | 25,893 | | | | 5,123,189 | |
Marlin Business Services Corp. | | | 843 | | | | 25,164 | |
MB Financial, Inc. | | | 2,370 | | | | 110,679 | |
MBIA, Inc. (1) | | | 2,873 | | | | 25,972 | |
Merchants Bancorp | | | 1,518 | | | | 43,309 | |
Meridian Bancorp, Inc. | | | 2,615 | | | | 50,077 | |
Meta Financial Group, Inc. | | | 3,091 | | | | 301,063 | |
Midland States Bancorp, Inc. | | | 3,622 | | | | 124,090 | |
Moelis & Co. | | | 13,226 | | | | 775,705 | |
Moody’s Corp. | | | 10,183 | | | | 1,736,812 | |
MSCI, Inc. | | | 5,388 | | | | 891,337 | |
National Bank Holdings Corp. | | | 3,097 | | | | 119,513 | |
National Commerce Corp. (1) | | | 2,075 | | | | 96,072 | |
National General Holdings Corp. | | | 12,739 | | | | 335,418 | |
NMI Holdings, Inc. (1) | | | 17,213 | | | | 280,572 | |
Northern Trust Corp. | | | 253,566 | | | | 26,089,406 | |
Old Line Bancshares, Inc. | | | 583 | | | | 20,353 | |
On Deck Capital, Inc. (1) | | | 15,435 | | | | 108,045 | |
| | | | | | | | |
OneMain Holdings, Inc. (1) | | | 320 | | | | 10,653 | |
Origin Bancorp, Inc. | | | 1,830 | | | | 74,920 | |
Pacific Premier Bancorp, Inc. (1) | | | 5,131 | | | | 195,748 | |
PCSB Financial Corp. | | | 580 | | | | 11,525 | |
People’s Utah Bancorp | | | 5,048 | | | | 180,214 | |
Pinnacle Financial Partners, Inc. | | | 1,988 | | | | 121,964 | |
Piper Jaffray Cos. | | | 365 | | | | 28,050 | |
PJT Partners, Inc. | | | 6,369 | | | | 340,041 | |
PRA Group, Inc. (1) | | | 213,083 | | | | 8,214,350 | |
Preferred Bank Los Angeles | | | 4,646 | | | | 285,543 | |
Primerica, Inc. | | | 12,733 | | | | 1,268,207 | |
Prosperity Bancshares, Inc. | | | 188,000 | | | | 12,851,680 | |
Pzena Investment Management, Inc. | | | 5,781 | | | | 53,243 | |
Raymond James Financial, Inc. | | | 2,374 | | | | 212,117 | |
Regional Management Corp. (1) | | | 1,605 | | | | 56,207 | |
Reliant Bancorp, Inc. | | | 377 | | | | 10,575 | |
RenaissanceRe Holdings Ltd. | | | 204 | | | | 24,545 | |
Republic First Bancorp, Inc. (1) | | | 2,760 | | | | 21,666 | |
RLI Corp. | | | 11,182 | | | | 740,137 | |
Santander Consumer USA Holdings, Inc. | | | 886 | | | | 16,914 | |
Seacoast Banking Corp. of Florida (1) | | | 2,583 | | | | 81,571 | |
SEI Investments Co. | | | 8,137 | | | | 508,725 | |
ServisFirst Bancshares, Inc. | | | 15,650 | | | | 653,074 | |
Siebert Financial Corp. (1) | | | 1,740 | | | | 18,131 | |
Signature Bank (1) | | | 2,074 | | | | 265,223 | |
Silvercrest Asset Management Group, Inc. | | | 3,023 | | | | 49,275 | |
South State Corp. | | | 140,301 | | | | 12,100,961 | |
Southern First Bancshares, Inc. (1) | | | 244 | | | | 10,785 | |
Southern Missouri Bancorp, Inc. | | | 156 | | | | 6,087 | |
State Bank Financial Corp. | | | 4,663 | | | | 155,744 | |
Sterling Bancorp Inc. | | | 3,453 | | | | 46,132 | |
Stewart Information Services Corp. | | | 570 | | | | 24,550 | |
Stock Yards Bancorp, Inc. | | | 1,507 | | | | 57,492 | |
SVB Financial Group (1) | | | 47,585 | | | | 13,740,645 | |
Synchrony Financial | | | 16,107 | | | | 537,652 | |
Synovus Financial Corp. | | | 651 | | | | 34,392 | |
T. Rowe Price Group, Inc. | | | 13,412 | | | | 1,556,999 | |
Texas Capital Bancshares, Inc. (1) | | | 1,924 | | | | 176,046 | |
The Progressive Corp. | | | 334,730 | | | | 19,799,279 | |
Tompkins Financial Corp. | | | 306 | | | | 26,279 | |
| | | | | | | | |
TriState Capital Holdings, Inc. (1) | | | 1,996 | | | | 52,096 | |
Triumph Bancorp, Inc. (1) | | | 7,948 | | | | 323,881 | |
Trupanion, Inc. (1) | | | 8,058 | | | | 311,039 | |
Union Bankshares, Inc. | | | 1,214 | | | | 63,007 | |
United Community Banks, Inc. | | | 2,341 | | | | 71,798 | |
United Insurance Holdings Corp. | | | 5,631 | | | | 110,255 | |
Universal Insurance Holdings, Inc. | | | 10,719 | | | | 376,237 | |
Validus Holdings Ltd. | | | 629 | | | | 42,520 | |
Value Line, Inc. | | | 699 | | | | 16,566 | |
Veritex Holdings, Inc. (1) | | | 2,199 | | | | 68,323 | |
Virtu Financial, Inc. | | | 2,426 | | | | 64,410 | |
Virtus Investment Partners, Inc. | | | 384 | | | | 49,133 | |
Voya Financial, Inc. | | | 693 | | | | 32,571 | |
Walker & Dunlop, Inc. | | | 1,167 | | | | 64,944 | |
Washington Trust Bancorp, Inc. | | | 1,601 | | | | 93,018 | |
Waterstone Financial, Inc. | | | 821 | | | | 13,998 | |
West Bancorporation, Inc. | | | 1,299 | | | | 32,670 | |
Western Alliance Bancorp (1) | | | 3,626 | | | | 205,268 | |
Westwood Holdings Group, Inc. | | | 3,064 | | | | 182,431 | |
WisdomTree Investments, Inc. | | | 33,448 | | | | 303,708 | |
WSFS Financial Corp. | | | 2,576 | | | | 137,301 | |
XL Group Ltd. | | | 5,511 | | | | 308,340 | |
| | | | | | | | |
| | | | | | | 356,291,376 | |
| | | | | | | | |
Healthcare - 19.85% | | | | | | | | |
AAC Holdings, Inc. (1) | | | 79,365 | | | | 743,650 | |
Abaxis, Inc. | | | 7,272 | | | | 603,649 | |
Abeona Therapeutics, Inc. (1) | | | 9,427 | | | | 150,832 | |
ABIOMED, Inc. (1) | | | 19,479 | | | | 7,967,885 | |
Acadia Healthcare Co., Inc. (1) | | | 74,532 | | | | 3,049,104 | |
ACADIA Pharmaceuticals, Inc. (1) | | | 32,767 | | | | 500,352 | |
Accelerate Diagnostics, Inc. (1) | | | 8,690 | | | | 193,787 | |
Acceleron Pharma, Inc. (1) | | | 10,723 | | | | 520,280 | |
Accuray, Inc. (1) | | | 27,232 | | | | 111,651 | |
Achaogen, Inc. (1) | | | 8,882 | | | | 76,918 | |
Aclaris Therapeutics, Inc. (1) | | | 7,598 | | | | 151,732 | |
Acorda Therapeutics, Inc. (1) | | | 1,604 | | | | 46,035 | |
Adamas Pharmaceuticals, Inc. (1) | | | 3,560 | | | | 91,955 | |
Addus HomeCare Corp. (1) | | | 2,486 | | | | 142,323 | |
ADMA Biologics, Inc. (1) | | | 5,890 | | | | 26,564 | |
Aduro Biotech, Inc. (1) | | | 21,518 | | | | 150,626 | |
| | | | | | | | |
Adverum Biotechnologies, Inc. (1) | | | 1,829 | | | | 9,694 | |
Aeglea BioTherapeutics, Inc. (1) | | | 5,136 | | | | 54,339 | |
Aerie Pharmaceuticals, Inc. (1) | | | 11,778 | | | | 795,604 | |
Agenus, Inc. (1) | | | 25,443 | | | | 57,756 | |
Agios Pharmaceuticals, Inc. (1) | | | 2,891 | | | | 243,509 | |
Aimmune Therapeutics, Inc. (1) | | | 14,356 | | | | 386,033 | |
Akcea Therapeutics, Inc. (1) | | | 4,044 | | | | 95,883 | |
Akebia Therapeutics, Inc. (1) | | | 14,714 | | | | 146,846 | |
Akorn, Inc. (1) | | | 3,874 | | | | 64,270 | |
Albireo Pharma, Inc. (1) | | | 651 | | | | 23,110 | |
Alder Biopharmaceuticals, Inc. (1) | | | 15,681 | | | | 247,760 | |
Aldeyra Therapeutics, Inc. (1) | | | 4,992 | | | | 39,686 | |
Alexion Pharmaceuticals, Inc. (1) | | | 154,987 | | | | 19,241,636 | |
Align Technology, Inc. (1) | | | 10,924 | | | | 3,737,537 | |
Alkermes Plc (1) | | | 9,400 | | | | 386,904 | |
Allena Pharmaceuticals, Inc. (1) | | | 3,656 | | | | 47,638 | |
Allscripts Healthcare Solutions, Inc. (1) | | | 6,944 | | | | 83,328 | |
Alnylam Pharmaceuticals, Inc. (1) | | | 4,828 | | | | 475,510 | |
Amedisys, Inc. (1) | | | 9,450 | | | | 807,597 | |
American Renal Associates Holdings, Inc. (1) | | | 3,689 | | | | 58,176 | |
AmerisourceBergen Corp. | | | 215,972 | | | | 18,415,932 | |
Amicus Therapeutics, Inc. (1) | | | 62,626 | | | | 978,218 | |
AMN Healthcare Services, Inc. (1) | | | 15,607 | | | | 914,570 | |
Amneal Pharmaceuticals, Inc. (1) | | | 28,768 | | | | 472,083 | |
Amphastar Pharmaceuticals, Inc. (1) | | | 4,509 | | | | 68,807 | |
Ampio Pharmaceuticals, Inc. (1) | | | 24,837 | | | | 54,641 | |
AnaptysBio, Inc. (1) | | | 6,136 | | | | 435,901 | |
ANI Pharmaceuticals, Inc. (1) | | | 2,692 | | | | 179,826 | |
Antares Pharma, Inc. (1) | | | 49,265 | | | | 127,104 | |
Apellis Pharmaceuticals, Inc. (1) | | | 11,963 | | | | 263,186 | |
Apollo Medical Holdings, Inc. (1) | | | 6,590 | | | | 170,417 | |
Aratana Therapeutics, Inc. (1) | | | 7,201 | | | | 30,604 | |
Arbutus Biopharma Corp. (1) | | | 2,966 | | | | 21,652 | |
Arcus Biosciences, Inc. (1) | | | 1,115 | | | | 13,648 | |
Arena Pharmaceuticals, Inc. (1) | | | 13,179 | | | | 574,604 | |
ArQule, Inc. (1) | | | 26,892 | | | | 148,713 | |
Array BioPharma, Inc. (1) | | | 67,401 | | | | 1,130,989 | |
Arrowhead Pharmaceuticals, Inc. (1) | | | 28,785 | | | | 391,476 | |
Arsanis, Inc. (1) | | | 1,627 | | | | 5,906 | |
Assembly Biosciences, Inc. (1) | | | 5,621 | | | | 220,399 | |
| | | | | | | | |
Atara Biotherapeutics, Inc. (1) | | | 13,457 | | | | 494,545 | |
Athenahealth, Inc. (1) | | | 23,631 | | | | 3,760,637 | |
Athenex, Inc. (1) | | | 13,947 | | | | 260,251 | |
Athersys, Inc. (1) | | | 34,177 | | | | 67,329 | |
AtriCure, Inc. (1) | | | 11,126 | | | | 300,958 | |
Atrion Corp. | | | 473 | | | | 283,516 | |
Audentes Therapeutics, Inc. (1) | | | 9,763 | | | | 373,044 | |
AVEO Pharmaceuticals, Inc. (1) | | | 18,887 | | | | 42,685 | |
Avid Bioservices, Inc. (1) | | | 15,914 | | | | 62,383 | |
AxoGen, Inc. (1) | | | 11,001 | | | | 552,800 | |
Bellicum Pharmaceuticals, Inc. (1) | | | 8,687 | | | | 64,110 | |
BioCryst Pharmaceuticals, Inc. (1) | | | 27,949 | | | | 160,148 | |
Biohaven Pharmaceutical Holding Co. Ltd. (1) | | | 9,043 | | | | 357,379 | |
BioMarin Pharmaceutical, Inc. (1) | | | 235,385 | | | | 22,173,267 | |
BioScrip, Inc. (1) | | | 3,639 | | | | 10,662 | |
BioSpecifics Technologies Corp. (1) | | | 1,858 | | | | 83,350 | |
Bio-Techne Corp. | | | 143,325 | | | | 21,204,934 | |
BioTelemetry, Inc. (1) | | | 10,721 | | | | 482,445 | |
BioTime, Inc. (1) | | | 7,638 | | | | 15,734 | |
Bluebird Bio, Inc. (1) | | | 2,105 | | | | 330,380 | |
Blueprint Medicines Corp. (1) | | | 13,682 | | | | 868,533 | |
Bruker Corp. | | | 2,537 | | | | 73,674 | |
Calyxt, Inc. (1) | | | 1,627 | | | | 30,376 | |
Cambrex Corp. (1) | | | 4,833 | | | | 252,766 | |
Cantel Medical Corp. | | | 65,584 | | | | 6,450,842 | |
Capital Senior Living Corp. (1) | | | 7,886 | | | | 84,144 | |
Cara Therapeutics, Inc. (1) | | | 7,491 | | | | 143,453 | |
Cardiovascular Systems, Inc. (1) | | | 10,808 | | | | 349,531 | |
CareDx, Inc. (1) | | | 10,352 | | | | 126,708 | |
CASI Pharmaceuticals, Inc. (1) | | | 13,683 | | | | 112,611 | |
Castlight Health, Inc. (1) | | | 23,072 | | | | 98,056 | |
Catalent, Inc. (1) | | | 654,010 | | | | 27,396,479 | |
Catalyst Pharmaceuticals, Inc. (1) | | | 30,566 | | | | 95,366 | |
Celcuity, Inc. (1) | | | 1,823 | | | | 45,247 | |
Cellular Biomedicine Group, Inc. (1) | | | 2,148 | | | | 41,993 | |
Centene Corp. (1) | | | 11,039 | | | | 1,360,115 | |
Cerner Corp. (1) | | | 64,611 | | | | 3,863,092 | |
Cerus Corp. (1) | | | 37,900 | | | | 252,793 | |
Charles River Laboratories International, Inc. (1) | | | 2,086 | | | | 234,174 | |
Chemed Corp. | | | 949 | | | | 305,398 | |
| | | | | | | | |
ChemoCentryx, Inc. (1) | | | 7,032 | | | | 92,611 | |
ChromaDex Corp. (1) | | | 12,044 | | | | 44,683 | |
Civitas Solutions, Inc. (1) | | | 3,753 | | | | 61,549 | |
Clearside Biomedical, Inc. (1) | | | 8,852 | | | | 94,628 | |
Clovis Oncology, Inc. (1) | | | 15,775 | | | | 717,289 | |
Codexis, Inc. (1) | | | 16,846 | | | | 242,582 | |
Cohbar, Inc. (1) | | | 7,030 | | | | 46,047 | |
Coherus Biosciences, Inc. (1) | | | 15,553 | | | | 217,742 | |
Collegium Pharmaceutical, Inc. (1) | | | 9,722 | | | | 231,870 | |
Computer Programs & Systems, Inc. | | | 1,994 | | | | 65,603 | |
CONMED Corp. | | | 3,102 | | | | 227,066 | |
Corbus Pharmaceuticals Holdings, Inc. (1) | | | 15,874 | | | | 80,164 | |
Corcept Therapeutics, Inc. (1) | | | 32,343 | | | | 508,432 | |
Corium International, Inc. (1) | | | 7,613 | | | | 60,980 | |
CorVel Corp. (1) | | | 3,092 | | | | 166,968 | |
Corvus Pharmaceuticals, Inc. (1) | | | 3,941 | | | | 43,272 | |
Cotiviti Holdings, Inc. (1) | | | 10,903 | | | | 481,149 | |
CryoLife, Inc. (1) | | | 7,990 | | | | 222,522 | |
CryoPort, Inc. (1) | | | 7,887 | | | | 124,457 | |
CTI BioPharma Corp. (1) | | | 15,629 | | | | 77,832 | |
Cue Biopharma, Inc. (1) | | | 5,425 | | | | 64,341 | |
Cutera, Inc. (1) | | | 4,482 | | | | 180,625 | |
Cymabay Therapeutics, Inc. (1) | | | 14,970 | | | | 200,897 | |
Cytokinetics, Inc. (1) | | | 13,509 | | | | 112,125 | |
CytomX Therapeutics, Inc. (1) | | | 12,782 | | | | 292,197 | |
CytoSorbents Corp. (1) | | | 7,766 | | | | 88,532 | |
DaVita, Inc. (1) | | | 4,320 | | | | 299,981 | |
Deciphera Pharmaceuticals, Inc. (1) | | | 2,415 | | | | 95,030 | |
Denali Therapeutics, Inc. (1) | | | 5,371 | | | | 81,908 | |
Dentsply Sirona, Inc. | | | 699,570 | | | | 30,620,179 | |
Depomed, Inc. (1) | | | 16,508 | | | | 110,108 | |
Dermira, Inc. (1) | | | 11,049 | | | | 101,651 | |
DexCom, Inc. (1) | | | 44,050 | | | | 4,183,869 | |
Dicerna Pharmaceuticals, Inc. (1) | | | 14,745 | | | | 180,626 | |
Dova Pharmaceuticals, Inc. (1) | | | 4,024 | | | | 120,398 | |
Durect Corp. (1) | | | 49,629 | | | | 77,421 | |
Dynavax Technologies Corp. (1) | | | 18,388 | | | | 280,417 | |
Eagle Pharmaceuticals, Inc. (1) | | | 3,455 | | | | 261,405 | |
Editas Medicine, Inc. (1) | | | 15,117 | | | | 541,642 | |
Edwards Lifesciences Corp. (1) | | | 122,844 | | | | 17,882,401 | |
| | | | | | | | |
Eloxx Pharmaceuticals, Inc. (1) | | | 6,917 | | | | 118,073 | |
Emergent BioSolutions, Inc. (1) | | | 14,823 | | | | 748,413 | |
Enanta Pharmaceuticals, Inc. (1) | | | 5,540 | | | | 642,086 | |
Encompass Health Corp. | | | 6,001 | | | | 406,388 | |
Endo International Plc (1) | | | 4,509 | | | | 42,520 | |
Endocyte, Inc. (1) | | | 19,701 | | | | 271,874 | |
Endologix, Inc. (1) | | | 27,916 | | | | 158,005 | |
Ensign Group, Inc. | | | 16,259 | | | | 582,397 | |
Envision Healthcare Corp. (1) | | | 1,366 | | | | 60,118 | |
Enzo Biochem, Inc. (1) | | | 14,044 | | | | 72,888 | |
Epizyme, Inc. (1) | | | 12,823 | | | | 173,752 | |
Esperion Therapeutics, Inc. (1) | | | 7,595 | | | | 297,648 | |
Evelo Biosciences, Inc. (1) | | | 1,690 | | | | 19,942 | |
Evolent Health, Inc. (1) | | | 4,974 | | | | 104,703 | |
Evolus, Inc. (1) | | | 1,605 | | | | 44,924 | |
Exact Sciences Corp. (1) | | | 7,314 | | | | 437,304 | |
Exelixis, Inc. (1) | | | 102,576 | | | | 2,207,436 | |
Fate Therapeutics, Inc. (1) | | | 16,468 | | | | 186,747 | |
Fennec Pharmaceuticals, Inc. (1) | | | 3,523 | | | | 36,780 | |
FibroGen, Inc. (1) | | | 24,727 | | | | 1,547,910 | |
Flexion Therapeutics, Inc. (1) | | | 11,149 | | | | 288,202 | |
Fluidigm Corp. (1) | | | 8,505 | | | | 50,690 | |
FONAR Corp. (1) | | | 402 | | | | 10,673 | |
Fortress Biotech, Inc. (1) | | | 10,002 | | | | 29,806 | |
Foundation Medicine, Inc. (1) | | | 4,609 | | | | 630,050 | |
G1 Therapeutics, Inc. (1) | | | 6,756 | | | | 293,616 | |
Genesis Healthcare, Inc. (1) | | | 18,382 | | | | 42,095 | |
GenMark Diagnostics, Inc. (1) | | | 17,763 | | | | 113,328 | |
Genomic Health, Inc. (1) | | | 6,859 | | | | 345,694 | |
Geron Corp. (1) | | | 53,196 | | | | 182,462 | |
Glaukos Corp. (1) | | | 10,931 | | | | 444,236 | |
Global Blood Therapeutics, Inc. (1) | | | 16,542 | | | | 747,698 | |
Globus Medical, Inc. (1) | | | 151,801 | | | | 7,659,878 | |
GlycoMimetics, Inc. (1) | | | 11,294 | | | | 182,172 | |
GTx, Inc. (1) | | | 1,452 | | | | 22,230 | |
Haemonetics Corp. (1) | | | 17,757 | | | | 1,592,448 | |
Halozyme Therapeutics, Inc. (1) | | | 41,427 | | | | 698,873 | |
HealthEquity, Inc. (1) | | | 75,711 | | | | 5,685,896 | |
HealthStream, Inc. | | | 8,672 | | | | 236,832 | |
Helius Medical Technologies, Inc. (1) | | | 4,125 | | | | 39,270 | |
| | | | | | | | |
Henry Schein, Inc. (1) | | | 157,396 | | | | 11,433,245 | |
Heron Therapeutics, Inc. (1) | | | 21,115 | | | | 820,318 | |
Heska Corp. (1) | | | 2,209 | | | | 229,272 | |
Hill-Rom Holdings, Inc. | | | 2,673 | | | | 233,460 | |
HMS Holdings Corp. (1) | | | 132,135 | | | | 2,856,759 | |
Hologic, Inc. (1) | | | 77,739 | | | | 3,090,125 | |
Homology Medicines, Inc. (1) | | | 3,278 | | | | 66,871 | |
Horizon Pharma Plc (1) | | | 54,706 | | | | 905,931 | |
ICON Plc (1) | | | 39,828 | | | | 5,278,405 | |
ICU Medical, Inc. (1) | | | 28,907 | | | | 8,488,541 | |
Idera Pharmaceuticals, Inc. (1) | | | 48,487 | | | | 64,003 | |
IDEXX Laboratories, Inc. (1) | | | 102,645 | | | | 22,370,451 | |
Illumina, Inc. (1) | | | 69,050 | | | | 19,284,975 | |
Immune Design Corp. (1) | | | 546 | | | | 2,484 | |
ImmunoGen, Inc. (1) | | | 42,408 | | | | 412,630 | |
Immunomedics, Inc. (1) | | | 39,502 | | | | 935,012 | |
Incyte Corp. (1) | | | 105,350 | | | | 7,058,450 | |
Innovate Biopharmaceuticals, Inc. (1) | | | 5,365 | | | | 126,453 | |
Innoviva, Inc. (1) | | | 22,991 | | | | 317,276 | |
Inogen, Inc. (1) | | | 5,831 | | | | 1,086,490 | |
Inovalon Holdings, Inc. (1) | | | 23,182 | | | | 230,081 | |
Inovio Pharmaceuticals, Inc. (1) | | | 26,849 | | | | 105,248 | |
Insmed, Inc. (1) | | | 25,359 | | | | 599,740 | |
Inspire Medical Systems, Inc. (1) | | | 2,456 | | | | 87,581 | |
Insulet Corp. (1) | | | 3,578 | | | | 306,635 | |
Insys Therapeutics, Inc. (1) | | | 8,551 | | | | 61,909 | |
Integer Holdings Corp. (1) | | | 7,573 | | | | 489,594 | |
Integra LifeSciences Holdings Corp. (1) | | | 636,955 | | | | 41,026,272 | |
Intellia Therapeutics, Inc. (1) | | | 10,996 | | | | 300,851 | |
Intercept Pharmaceuticals, Inc. (1) | | | 7,265 | | | | 609,606 | |
Intersect ENT, Inc. (1) | | | 9,812 | | | | 367,459 | |
Intra-Cellular Therapies, Inc. (1) | | | 7,550 | | | | 133,409 | |
Intrexon Corp. (1) | | | 23,142 | | | | 322,599 | |
IntriCon Corp. (1) | | | 1,924 | | | | 77,537 | |
Intuitive Surgical, Inc. (1) | | | 9,660 | | | | 4,622,117 | |
InVitae Corp. (1) | | | 21,400 | | | | 157,290 | |
Ionis Pharmaceuticals, Inc. (1) | | | 7,626 | | | | 317,775 | |
Iovance Biotherapeutics, Inc. (1) | | | 27,222 | | | | 348,442 | |
iRadimed Corp. (1) | | | 1,095 | | | | 22,721 | |
iRhythm Technologies, Inc. (1) | | | 7,847 | | | | 636,627 | |
| | | | | | | | |
Ironwood Pharmaceuticals, Inc. (1) | | | 45,923 | | | | 878,048 | |
Jazz Pharmaceuticals Plc (1) | | | 3,312 | | | | 570,658 | |
Jounce Therapeutics, Inc. (1) | | | 5,493 | | | | 42,076 | |
K2M Group Holdings, Inc. (1) | | | 13,791 | | | | 310,298 | |
Kadmon Holdings, Inc. (1) | | | 21,976 | | | | 87,684 | |
Kala Pharmaceuticals, Inc. (1) | | | 3,838 | | | | 52,696 | |
Karyopharm Therapeutics, Inc. (1) | | | 14,536 | | | | 246,967 | |
Keryx Biopharmaceuticals, Inc. (1) | | | 31,931 | | | | 120,061 | |
Kindred Biosciences, Inc. (1) | | | 7,818 | | | | 83,262 | |
Kindred Healthcare, Inc. (1) | | | 29,466 | | | | 265,194 | |
Kura Oncology, Inc. (1) | | | 8,388 | | | | 152,662 | |
La Jolla Pharmaceutical Co. (1) | | | 7,116 | | | | 207,574 | |
Laboratory Corp. of America Holdings (1) | | | 139,686 | | | | 25,077,828 | |
Lantheus Holdings, Inc. (1) | | | 11,488 | | | | 167,150 | |
LeMaitre Vascular, Inc. | | | 5,275 | | | | 176,607 | |
Lexicon Pharmaceuticals, Inc. (1) | | | 14,491 | | | | 173,892 | |
LHC Group, Inc. (1) | | | 10,198 | | | | 872,847 | |
Ligand Pharmaceuticals, Inc. (1) | | | 38,529 | | | | 7,982,053 | |
LivaNova Plc (1) | | | 12,726 | | | | 1,270,309 | |
Loxo Oncology, Inc. (1) | | | 8,776 | | | | 1,522,460 | |
Luminex Corp. | | | 5,922 | | | | 174,877 | |
MacroGenics, Inc. (1) | | | 13,054 | | | | 269,565 | |
Madrigal Pharmaceuticals, Inc. (1) | | | 1,922 | | | | 537,564 | |
MannKind Corp. (1) | | | 44,391 | | | | 84,343 | |
Marinus Pharmaceuticals, Inc. (1) | | | 11,490 | | | | 81,234 | |
Masimo Corp. (1) | | | 110,430 | | | | 10,783,490 | |
Medicines Co. (1) | | | 21,157 | | | | 776,462 | |
MediciNova, Inc. (1) | | | 12,384 | | | | 98,577 | |
Medidata Solutions, Inc. (1) | | | 338,114 | | | | 27,238,464 | |
Medpace Holdings, Inc. (1) | | | 3,997 | | | | 171,871 | |
Meridian Bioscience, Inc. | | | 12,213 | | | | 194,187 | |
Merit Medical Systems, Inc. (1) | | | 137,338 | | | | 7,031,706 | |
Mersana Therapeutics, Inc. (1) | | | 3,940 | | | | 70,368 | |
Mettler-Toledo International, Inc. (1) | | | 46,184 | | | | 26,723,448 | |
MiMedx Group, Inc. (1) | | | 34,652 | | | | 221,426 | |
Minerva Neurosciences, Inc. (1) | | | 8,259 | | | | 68,137 | |
Miragen Therapeutics, Inc. (1) | | | 6,438 | | | | 41,268 | |
Mirati Therapeutics, Inc. (1) | | | 5,986 | | | | 295,110 | |
Molina Healthcare, Inc. (1) | | | 3,173 | | | | 310,764 | |
Momenta Pharmaceuticals, Inc. (1) | | | 25,435 | | | | 520,146 | |
| | | | | | | | |
Mustang Bio, Inc. (1) | | | 4,783 | | | | 32,955 | |
MyoKardia, Inc. (1) | | | 10,094 | | | | 501,167 | |
Myriad Genetics, Inc. (1) | | | 19,167 | | | | 716,271 | |
NanoString Technologies, Inc. (1) | | | 6,215 | | | | 85,021 | |
NantHealth, Inc. (1) | | | 3,540 | | | | 11,717 | |
Natera, Inc. (1) | | | 9,782 | | | | 184,097 | |
National Research Corp. | | | 3,406 | | | | 127,384 | |
Natus Medical, Inc. (1) | | | 89,448 | | | | 3,085,956 | |
Nektar Therapeutics (1) | | | 9,544 | | | | 466,034 | |
Neogen Corp. (1) | | | 88,927 | | | | 7,131,056 | |
NeoGenomics, Inc. (1) | | | 18,494 | | | | 242,456 | |
Neos Therapeutics, Inc. (1) | | | 8,306 | | | | 51,913 | |
Neurocrine Biosciences, Inc. (1) | | | 5,447 | | | | 535,113 | |
Nevro Corp. (1) | | | 9,630 | | | | 768,956 | |
NewLink Genetics Corp. (1) | | | 713 | | | | 3,394 | |
Novavax, Inc. (1) | | | 44,848 | | | | 60,096 | |
Novocure Ltd. (1) | | | 23,770 | | | | 744,001 | |
NuVasive, Inc. (1) | | | 435,581 | | | | 22,702,482 | |
Nuvectra Corp. (1) | | | 4,393 | | | | 90,188 | |
NxStage Medical, Inc. (1) | | | 21,795 | | | | 608,081 | |
Nymox Pharmaceutical Corp. (1) | | | 2,679 | | | | 9,001 | |
Ocular Therapeutix, Inc. (1) | | | 10,229 | | | | 69,046 | |
Odonate Therapeutics, Inc. (1) | | | 2,139 | | | | 47,229 | |
Omeros Corp. (1) | | | 15,210 | | | | 275,909 | |
Omnicell, Inc. (1) | | | 167,603 | | | | 8,790,777 | |
Optinose, Inc. (1) | | | 5,443 | | | | 152,295 | |
OraSure Technologies, Inc. (1) | | | 18,922 | | | | 311,645 | |
Organovo Holdings, Inc. (1) | | | 36,884 | | | | 51,638 | |
Orthofix International (1) | | | 4,396 | | | | 249,781 | |
OrthoPediatrics Corp. (1) | | | 2,173 | | | | 57,889 | |
Ovid therapeutics, Inc. (1) | | | 3,545 | | | | 27,651 | |
Oxford Immunotec Global Plc (1) | | | 8,013 | | | | 103,288 | |
Pacific Biosciences of California, Inc. (1) | | | 41,078 | | | | 145,827 | |
Pacira Pharmaceuticals, Inc. (1) | | | 107,180 | | | | 3,435,119 | |
Palatin Technologies, Inc. (1) | | | 50,847 | | | | 49,311 | |
Paratek Pharmaceuticals, Inc. (1) | | | 10,008 | | | | 102,082 | |
Penumbra, Inc. (1) | | | 20,430 | | | | 2,822,405 | |
PetIQ, Inc. (1) | | | 3,037 | | | | 81,574 | |
Pfenex, Inc. (1) | | | 6,257 | | | | 33,850 | |
Phibro Animal Health Corp. | | | 6,293 | | | | 289,793 | |
| | | | | | | | |
Pieris Pharmaceuticals, Inc. (1) | | | 16,441 | | | | 83,356 | |
PolarityTE, Inc. (1) | | | 2,746 | | | | 64,641 | |
Portola Pharmaceuticals, Inc. (1) | | | 20,026 | | | | 756,382 | |
PRA Health Sciences, Inc. (1) | | | 27,160 | | | | 2,535,658 | |
Premier, Inc. (1) | | | 993 | | | | 36,125 | |
Prestige Brands Holdings, Inc. (1) | | | 169,763 | | | | 6,515,504 | |
Progenics Pharmaceuticals, Inc. (1) | | | 24,787 | | | | 199,287 | |
Proteostasis Therapeutics, Inc. (1) | | | 6,584 | | | | 18,369 | |
PTC Therapeutics, Inc. (1) | | | 14,978 | | | | 505,208 | |
Pulse Biosciences, Inc. (1) | | | 3,359 | | | | 50,855 | |
Puma Biotechnology, Inc. (1) | | | 9,662 | | | | 571,507 | |
Quality Systems, Inc. (1) | | | 11,137 | | | | 217,172 | |
Quanterix Corp. (1) | | | 1,845 | | | | 26,494 | |
Quidel Corp. (1) | | | 10,831 | | | | 720,262 | |
Quorum Health Corp. (1) | | | 8,921 | | | | 44,605 | |
R1 RCM, Inc. (1) | | | 31,100 | | | | 269,948 | |
Ra Pharmaceuticals, Inc. (1) | | | 365 | | | | 3,632 | |
Radius Health, Inc. (1) | | | 13,460 | | | | 396,666 | |
RadNet, Inc. (1) | | | 13,211 | | | | 198,165 | |
Reata Pharmaceuticals, Inc. (1) | | | 5,290 | | | | 184,991 | |
Recro Pharma, Inc. (1) | | | 5,482 | | | | 27,520 | |
REGENXBIO, Inc. (1) | | | 9,450 | | | | 678,038 | |
Repligen Corp. (1) | | | 79,859 | | | | 3,756,567 | |
ResMed, Inc. | | | 50,133 | | | | 5,192,776 | |
resTORbio, Inc. (1) | | | 252 | | | | 2,306 | |
Retrophin, Inc. (1) | | | 13,316 | | | | 362,994 | |
Revance Therapeutics, Inc. (1) | | | 10,924 | | | | 299,864 | |
Rhythm Pharmaceuticals, Inc. (1) | | | 4,171 | | | | 130,385 | |
Rigel Pharmaceuticals, Inc. (1) | | | 50,429 | | | | 142,714 | |
Rocket Pharmaceuticals, Inc. (1) | | | 7,061 | | | | 138,607 | |
Rockwell Medical, Inc. (1) | | | 14,481 | | | | 71,391 | |
RTI Surgical, Inc. (1) | | | 4,251 | | | | 19,555 | |
SAGE Therapeutics, Inc. (1) | | | 2,775 | | | | 434,371 | |
Sangamo Therapeutics, Inc. (1) | | | 33,576 | | | | 476,779 | |
Sarepta Therapeutics, Inc. (1) | | | 3,781 | | | | 499,773 | |
Savara, Inc. (1) | | | 7,885 | | | | 89,258 | |
Seattle Genetics, Inc. (1) | | | 6,547 | | | | 434,655 | |
Select Medical Holdings Corp. (1) | | | 35,844 | | | | 650,569 | |
Selecta Biosciences, Inc. (1) | | | 5,693 | | | | 75,432 | |
Senseonics Holdings, Inc. (1) | | | 21,010 | | | | 86,351 | |
| | | | | | | | |
Seres Therapeutics, Inc. (1) | | | 6,650 | | | | 57,190 | |
Sienna Biopharmaceuticals, Inc. (1) | | | 4,875 | | | | 74,051 | |
Sientra, Inc. (1) | | | 7,832 | | | | 152,802 | |
SIGA Technologies, Inc. (1) | | | 17,759 | | | | 105,488 | |
Simulations Plus, Inc. | | | 3,648 | | | | 81,168 | |
Solid Biosciences, Inc. (1) | | | 3,112 | | | | 110,881 | |
Sorrento Therapeutics, Inc. (1) | | | 29,012 | | | | 208,886 | |
Spark Therapeutics, Inc. (1) | | | 10,404 | | | | 861,035 | |
Spectrum Pharmaceuticals, Inc. (1) | | | 30,150 | | | | 631,944 | |
Spero Therapeutics, Inc. (1) | | | 178 | | | | 2,611 | |
Spring Bank Pharmaceuticals, Inc. (1) | | | 2,687 | | | | 31,841 | |
STAAR Surgical Co. (1) | | | 13,757 | | | | 426,467 | |
Stemline Therapeutics, Inc. (1) | | | 9,320 | | | | 149,586 | |
STERIS Plc | | | 24,410 | | | | 2,563,294 | |
Supernus Pharmaceuticals, Inc. (1) | | | 16,197 | | | | 969,390 | |
Surface Oncology, Inc. (1) | | | 2,305 | | | | 37,595 | |
Surgery Partners, Inc. (1) | | | 626 | | | | 9,327 | |
SurModics, Inc. (1) | | | 4,301 | | | | 237,415 | |
Syndax Pharmaceuticals, Inc. (1) | | | 1,685 | | | | 11,829 | |
Syneos Health, Inc. (1) | | | 358,801 | | | | 16,827,767 | |
Synergy Pharmaceuticals, Inc. (1) | | | 83,926 | | | | 146,031 | |
Syros Pharmaceuticals, Inc. (1) | | | 7,754 | | | | 79,168 | |
T2 Biosystems, Inc. (1) | | | 8,078 | | | | 62,524 | |
Tabula Rasa HealthCare, Inc. (1) | | | 5,708 | | | | 364,342 | |
Tactile Systems Technology, Inc. (1) | | | 5,718 | | | | 297,336 | |
Tandem Diabetes Care, Inc. (1) | | | 14,756 | | | | 324,927 | |
Teladoc, Inc. (1) | | | 20,512 | | | | 1,190,722 | |
Teleflex, Inc. | | | 540 | | | | 144,833 | |
Teligent, Inc. (1) | | | 14,020 | | | | 48,509 | |
Tenet Healthcare Corp. (1) | | | 27,672 | | | | 928,949 | |
TESARO, Inc. (1) | | | 2,351 | | | | 104,549 | |
TG Therapeutics, Inc. (1) | | | 19,630 | | | | 258,135 | |
The Cooper Companies, Inc. | | | 75,487 | | | | 17,773,414 | |
The Providence Service Corp. (1) | | | 3,743 | | | | 294,013 | |
TherapeuticsMD, Inc. (1) | | | 55,707 | | | | 347,612 | |
Theravance Biopharma, Inc. (1) | | | 14,340 | | | | 325,231 | |
Tivity Health, Inc. (1) | | | 13,266 | | | | 466,963 | |
Tocagen, Inc. (1) | | | 5,662 | | | | 52,883 | |
TransEnterix, Inc. (1) | | | 51,621 | | | | 225,068 | |
Tyme Technologies, Inc. (1) | | | 12,756 | | | | 40,309 | |
| | | | | | | | |
Ultragenyx Pharmaceutical, Inc. (1) | | | 15,568 | | | | 1,196,712 | |
UNITY Biotechnology, Inc. (1) | | | 1,580 | | | | 23,795 | |
Universal Health Services, Inc. | | | 111,887 | | | | 12,468,687 | |
Unum Therapeutics, Inc. (1) | | | 1,125 | | | | 16,144 | |
U.S. Physical Therapy, Inc. | | | 4,120 | | | | 395,520 | |
Utah Medical Products, Inc. | | | 978 | | | | 107,727 | |
Vanda Pharmaceuticals, Inc. (1) | | | 17,067 | | | | 325,126 | |
Varex Imaging Corp. (1) | | | 12,768 | | | | 473,565 | |
Varian Medical Systems, Inc. (1) | | | 102,070 | | | | 11,607,400 | |
Veeva Systems, Inc. (1) | | | 227,339 | | | | 17,473,276 | |
Veracyte, Inc. (1) | | | 7,636 | | | | 71,320 | |
Verastem, Inc. (1) | | | 17,975 | | | | 123,668 | |
Vericel Corp. (1) | | | 12,549 | | | | 121,725 | |
ViewRay, Inc. (1) | | | 15,663 | | | | 108,388 | |
Viking Therapeutics, Inc. (1) | | | 14,644 | | | | 138,972 | |
Vital Therapies, Inc. (1) | | | 8,079 | | | | 55,341 | |
Vocera Communications, Inc. (1) | | | 9,703 | | | | 290,023 | |
Voyager Therapeutics, Inc. (1) | | | 7,206 | | | | 140,805 | |
Waters Corp. (1) | | | 143,426 | | | | 27,765,839 | |
WaVe Life Sciences Ltd. (1) | | | 5,872 | | | | 224,604 | |
WellCare Health Plans, Inc. (1) | | | 2,119 | | | | 521,783 | |
West Pharmaceutical Services, Inc. | | | 156,400 | | | | 15,528,956 | |
Wright Medical Group NV (1) | | | 35,166 | | | | 912,909 | |
Xencor, Inc. (1) | | | 15,300 | | | | 566,253 | |
XOMA Corp. (1) | | | 882 | | | | 18,416 | |
Zafgen, Inc. (1) | | | 6,647 | | | | 67,999 | |
ZIOPHARM Oncology, Inc. (1) | | | 44,809 | | | | 135,323 | |
Zogenix, Inc. (1) | | | 8,766 | | | | 387,457 | |
Zomedica Pharmaceuticals Corp. (1) | | | 11,498 | | | | 25,871 | |
| | | | | | | | |
| | | | | | | 718,834,845 | |
| | | | | | | | |
Industrials - 15.10% | | | | | | | | |
A.O. Smith Corp. | | | 393,126 | | | | 23,253,403 | |
AAON, Inc. | | | 184,291 | | | | 6,127,676 | |
Actuant Corp. | | | 9,958 | | | | 292,267 | |
Advanced Disposal Services, Inc. (1) | | | 174,068 | | | | 4,313,405 | |
Advanced Drainage Systems, Inc. | | | 14,708 | | | | 419,913 | |
Aerojet Rocketdyne Holdings, Inc. (1) | | | 23,160 | | | | 682,988 | |
AeroVironment, Inc. (1) | | | 7,016 | | | | 501,153 | |
Air Lease Corp. | | | 446 | | | | 18,719 | |
Air Transport Services Group, Inc. (1) | | | 19,294 | | | | 435,851 | |
| | | | | | | | |
Alamo Group, Inc. | | | 2,769 | | | | 250,207 | |
Alaska Air Group, Inc. | | | 199,003 | | | | 12,017,791 | |
Albany International Corp. | | | 9,544 | | | | 574,072 | |
Allegiant Travel Co. | | | 4,285 | | | | 595,401 | |
Allegion Plc | | | 4,824 | | | | 373,185 | |
Allied Motion Technologies, Inc. | | | 2,218 | | | | 106,198 | |
Allison Transmission Holdings, Inc. | | | 7,384 | | | | 298,978 | |
Altra Industrial Motion Corp. | | | 4,756 | | | | 204,984 | |
American Woodmark Corp. (1) | | | 4,675 | | | | 427,996 | |
AMETEK, Inc. | | | 253,675 | | | | 18,305,188 | |
Apogee Enterprises, Inc. | | | 7,835 | | | | 377,412 | |
Applied Industrial Technologies, Inc. | | | 12,573 | | | | 881,996 | |
ArcBest Corp. | | | 1,136 | | | | 51,915 | |
Armstrong Flooring, Inc. (1) | | | 757 | | | | 10,628 | |
Armstrong World Industries, Inc. (1) | | | 2,766 | | | | 174,811 | |
ASGN, Inc. (1) | | | 16,809 | | | | 1,314,296 | |
Astec Industries, Inc. | | | 3,698 | | | | 221,140 | |
Astronics Corp. (1) | | | 7,078 | | | | 254,596 | |
Atkore International Group, Inc. (1) | | | 13,038 | | | | 270,799 | |
Avis Budget Group, Inc. (1) | | | 22,658 | | | | 736,385 | |
Axon Enterprise, Inc. (1) | | | 68,429 | | | | 4,323,344 | |
AZZ, Inc. | | | 2,682 | | | | 116,533 | |
Barnes Group, Inc. | | | 2,167 | | | | 127,636 | |
Barrett Business Services, Inc. | | | 2,375 | | | | 229,354 | |
Beacon Roofing Supply, Inc. (1) | | | 208,358 | | | | 8,880,218 | |
BG Staffing, Inc. | | | 2,363 | | | | 54,940 | |
Blue Bird Corp. (1) | | | 2,308 | | | | 51,584 | |
BlueLinx Holdings, Inc. (1) | | | 2,818 | | | | 105,760 | |
BMC Stock Holdings, Inc. (1) | | | 913 | | | | 19,036 | |
Builders FirstSource, Inc. (1) | | | 37,478 | | | | 685,473 | |
BWX Technologies, Inc. | | | 6,094 | | | | 379,778 | |
C.H. Robinson Worldwide, Inc. | | | 8,458 | | | | 707,596 | |
CAI International, Inc. (1) | | | 2,622 | | | | 60,935 | |
Casella Waste Systems, Inc. (1) | | | 2,534 | | | | 64,896 | |
Chart Industries, Inc. (1) | | | 4,461 | | | | 275,154 | |
Cimpress (1) | | | 7,280 | | | | 1,055,309 | |
Cintas Corp. | | | 5,338 | | | | 987,904 | |
Columbus Mckinnon Corp. | | | 4,481 | | | | 194,296 | |
Comfort Systems USA, Inc. | | | 12,152 | | | | 556,562 | |
Commercial Vehicle Group, Inc. (1) | | | 9,573 | | | | 70,266 | |
| | | | | | | | |
Continental Building Products, Inc. (1) | | | 12,323 | | | | 388,791 | |
Copart, Inc. (1) | | | 209,477 | | | | 11,848,019 | |
CoStar Group, Inc. (1) | | | 17,981 | | | | 7,419,500 | |
Covanta Holding Corp. | | | 39,043 | | | | 644,209 | |
CRA International, Inc. | | | 686 | | | | 34,911 | |
CSW Industrials, Inc. (1) | | | 5,181 | | | | 273,816 | |
Cubic Corp. | | | 6,222 | | | | 399,452 | |
Cummins, Inc. | | | 3,366 | | | | 447,678 | |
Curtiss-Wright Corp. | | | 201 | | | | 23,923 | |
Deluxe Corp. | | | 15,919 | | | | 1,053,997 | |
DMC Global, Inc. | | | 4,713 | | | | 211,614 | |
Donaldson Co., Inc. | | | 7,397 | | | | 333,753 | |
Douglas Dynamics, Inc. | | | 7,340 | | | | 352,320 | |
Dun & Bradstreet Corp. | | | 991 | | | | 121,546 | |
DXP Enterprises, Inc. (1) | | | 4,124 | | | | 157,537 | |
Dycom Industries, Inc. (1) | | | 9,995 | | | | 944,627 | |
Echo Global Logistics, Inc. (1) | | | 8,746 | | | | 255,820 | |
EMCOR Group, Inc. | | | 14,455 | | | | 1,101,182 | |
Energous Corp. (1) | | | 7,961 | | | | 118,062 | |
Energy Recovery, Inc. (1) | | | 11,558 | | | | 93,389 | |
EnerSys, Inc. | | | 9,125 | | | | 681,090 | |
EnPro Industries, Inc. | | | 730 | | | | 51,063 | |
EnviroStar, Inc. | | | 1,274 | | | | 51,342 | |
Equifax, Inc. | | | 1,980 | | | | 247,718 | |
Evoqua Water Technologies Corp. (1) | | | 25,096 | | | | 514,468 | |
Expeditors International of Washington, Inc. | | | 10,642 | | | | 777,930 | |
Exponent, Inc. | | | 17,049 | | | | 823,467 | |
Fastenal Co. | | | 17,527 | | | | 843,574 | |
Federal Signal Corp. | | | 18,539 | | | | 431,773 | |
Forrester Research, Inc. | | | 3,291 | | | | 138,057 | |
Fortive Corp. | | | 159,269 | | | | 12,281,233 | |
Fortune Brands Home & Security, Inc. | | | 3,674 | | | | 197,257 | |
Forward Air Corp. | | | 9,742 | | | | 575,557 | |
Foundation Building Materials, Inc. (1) | | | 1,276 | | | | 19,625 | |
Franklin Covey Co. (1) | | | 3,082 | | | | 75,663 | |
Franklin Electric Company, Inc. | | | 14,678 | | | | 661,978 | |
Gardner Denver Holdings, Inc. (1) | | | 2,029 | | | | 59,632 | |
Gates Industrial Corp. Plc (1) | | | 838,000 | | | | 13,634,260 | |
Gencor Industries, Inc. (1) | | | 565 | | | | 9,125 | |
Generac Holdings, Inc. (1) | | | 20,001 | | | | 1,034,652 | |
| | | | | | | | |
General Finance Corp. (1) | | | 1,274 | | | | 17,263 | |
Genesee & Wyoming, Inc. (1) | | | 76,095 | | | | 6,188,045 | |
Global Brass and Copper Holdings, Inc. | | | 6,663 | | | | 208,885 | |
GMS, Inc. (1) | | | 10,089 | | | | 273,311 | |
Gorman Rupp Co. | | | 1,195 | | | | 41,825 | |
Graco, Inc. | | | 10,065 | | | | 455,139 | |
Granite Construction, Inc. | | | 11,545 | | | | 642,595 | |
Griffon Corp. | | | 612 | | | | 10,894 | |
H&E Equipment Services, Inc. | | | 8,253 | | | | 310,395 | |
Harris Corp. | | | 33,068 | | | | 4,779,649 | |
Harsco Corp. (1) | | | 26,647 | | | | 588,899 | |
HC2 Holdings, Inc. (1) | | | 13,523 | | | | 79,110 | |
HD Supply Holdings, Inc. (1) | | | 3,399 | | | | 145,783 | |
Healthcare Services Group, Inc. | | | 167,840 | | | | 7,249,010 | |
Heartland Express, Inc. | | | 15,913 | | | | 295,186 | |
Heico Corp. | | | 57,755 | | | | 4,212,072 | |
Heico Corp. - Class A | | | 79,043 | | | | 4,817,640 | |
Heidrick & Struggles International, Inc. | | | 6,188 | | | | 216,580 | |
Herc Holdings, Inc. (1) | | | 7,954 | | | | 448,128 | |
Heritage Crystal Clean, Inc. (1) | | | 386 | | | | 7,759 | |
Herman Miller, Inc. | | | 16,920 | | | | 573,588 | |
Hexcel Corp. | | | 1,184 | | | | 78,594 | |
Hill International, Inc. (1) | | | 13,920 | | | | 82,128 | |
Hillenbrand, Inc. | | | 20,779 | | | | 979,730 | |
HNI Corp. | | | 14,484 | | | | 538,805 | |
Hub Group, Inc. (1) | | | 6,901 | | | | 343,670 | |
Hubbell, Inc. | | | 2,258 | | | | 238,761 | |
Huntington Ingalls Industries, Inc. | | | 2,286 | | | | 495,582 | |
ICF International, Inc. | | | 656 | | | | 46,609 | |
IDEX Corp. | | | 300,581 | | | | 41,023,295 | |
IHS Markit Ltd. (1) | | | 36,948 | | | | 1,906,147 | |
Ingersoll-Rand Plc | | | 8,189 | | | | 734,799 | |
InnerWorkings, Inc. (1) | | | 1,633 | | | | 14,191 | |
Insperity, Inc. | | | 12,660 | | | | 1,205,865 | |
Insteel Industries, Inc. | | | 5,438 | | | | 181,629 | |
Interface, Inc. | | | 17,670 | | | | 405,526 | |
J.B. Hunt Transportation Services, Inc. | | | 24,398 | | | | 2,965,577 | |
JELD-WEN Holding, Inc. (1) | | | 23,285 | | | | 665,718 | |
John Bean Technologies Corp. | | | 10,359 | | | | 920,915 | |
Kadant, Inc. | | | 3,610 | | | | 347,101 | |
| | | | | | | | |
Kaman Corp. | | | 9,100 | | | | 634,179 | |
KAR Auction Services, Inc. | | | 7,709 | | | | 422,453 | |
Kennametal, Inc. | | | 16,854 | | | | 605,059 | |
Kforce, Inc. | | | 7,664 | | | | 262,875 | |
Kimball International, Inc. | | | 10,693 | | | | 172,799 | |
Knoll, Inc. | | | 15,314 | | | | 318,684 | |
Korn/Ferry International | | | 18,658 | | | | 1,155,490 | |
Kornit Digital Ltd. (1) | | | 81,435 | | | | 1,449,543 | |
Kratos Defense & Security Solutions, Inc. (1) | | | 10,424 | | | | 119,980 | |
Landstar System, Inc. | | | 44,604 | | | | 4,870,757 | |
Lawson Products, Inc. (1) | | | 633 | | | | 15,414 | |
Lennox International, Inc. | | | 2,100 | | | | 420,315 | |
Lincoln Electric Holdings, Inc. | | | 3,840 | | | | 336,998 | |
Lindsay Corp. | | | 3,550 | | | | 344,314 | |
Lydall, Inc. (1) | | | 907 | | | | 39,591 | |
Manitex International, Inc. (1) | | | 3,491 | | | | 43,568 | |
Marten Transport Ltd. | | | 6,029 | | | | 141,380 | |
Masco Corp. | | | 12,910 | | | | 483,092 | |
Masonite International Corp. (1) | | | 8,609 | | | | 618,557 | |
MasTec, Inc. (1) | | | 21,480 | | | | 1,090,110 | |
Matson, Inc. | | | 6,357 | | | | 243,982 | |
McGrath RentCorp | | | 7,921 | | | | 501,162 | |
Mercury Systems, Inc. (1) | | | 76,503 | | | | 2,911,704 | |
Meritor, Inc. (1) | | | 27,897 | | | | 573,841 | |
Milacron Holdings Corp. (1) | | | 2,534 | | | | 47,969 | |
Miller Industries, Inc. | | | 188 | | | | 4,803 | |
Mistras Group, Inc. (1) | | | 4,230 | | | | 79,862 | |
Mobile Mini, Inc. | | | 13,061 | | | | 612,561 | |
Moog, Inc. | | | 997 | | | | 77,726 | |
MRC Global, Inc. (1) | | | 15,152 | | | | 328,344 | |
MSA Safety, Inc. | | | 11,300 | | | | 1,088,642 | |
MSC Industrial Direct Co., Inc. | | | 26,940 | | | | 2,285,859 | |
Mueller Industries, Inc. | | | 18,852 | | | | 556,323 | |
Mueller Water Products, Inc. | | | 30,708 | | | | 359,898 | |
MYR Group, Inc. (1) | | | 5,355 | | | | 189,888 | |
National Presto Industries, Inc. | | | 130 | | | | 16,120 | |
Navistar International Corp. (1) | | | 1,020 | | | | 41,534 | |
NCI Building Systems, Inc. (1) | | | 14,120 | | | | 296,520 | |
Nordson Corp. | | | 213,303 | | | | 27,390,238 | |
NV5 Global, Inc. (1) | | | 2,760 | | | | 191,268 | |
| | | | | | | | |
Old Dominion Freight Line, Inc. | | | 4,027 | | | | 599,862 | |
Omega Flex, Inc. | | | 963 | | | | 76,183 | |
Orion Group Holdings, Inc. (1) | | | 3,691 | | | | 30,488 | |
P.A.M. Transportation Services, Inc. (1) | | | 475 | | | | 22,311 | |
Parker-Hannifin Corp. | | | 1,451 | | | | 226,138 | |
Patrick Industries, Inc. (1) | | | 7,890 | | | | 448,546 | |
PGT Innovations, Inc. (1) | | | 16,116 | | | | 336,019 | |
Pitney Bowes, Inc. | | | 31,621 | | | | 270,992 | |
Plug Power, Inc. (1) | | | 70,450 | | | | 142,309 | |
Primoris Services Corp. | | | 300,742 | | | | 8,189,205 | |
Proto Labs, Inc. (1) | | | 56,870 | | | | 6,764,686 | |
Quanta Services, Inc. (1) | | | 2,685 | | | | 89,679 | |
Raven Industries, Inc. | | | 11,923 | | | | 458,439 | |
RBC Bearings, Inc. (1) | | | 62,713 | | | | 8,078,062 | |
Republic Services, Inc. | | | 908 | | | | 62,071 | |
Resources Connection, Inc. | | | 3,027 | | | | 51,156 | |
REV Group, Inc. | | | 1,792 | | | | 30,482 | |
Rexnord Corp. (1) | | | 4,077 | | | | 118,478 | |
Ritchie Bros Auctioneers, Inc. | | | 549,300 | | | | 18,742,116 | |
Robert Half International, Inc. | | | 7,342 | | | | 477,964 | |
Rockwell Automation, Inc. | | | 259,339 | | | | 43,109,922 | |
Rockwell Collins, Inc. | | | 1,357 | | | | 182,761 | |
Rollins, Inc. | | | 5,878 | | | | 309,065 | |
Roper Technologies, Inc. | | | 1,152 | | | | 317,848 | |
Rush Enterprises, Inc. - Class A (1) | | | 4,733 | | | | 205,318 | |
Rush Enterprises, Inc. - Class B (1) | | | 606 | | | | 26,603 | |
Saia, Inc. (1) | | | 8,493 | | | | 686,659 | |
Schneider National, Inc. | | | 487 | | | | 13,397 | |
Sensata Technologies Holding Plc (1) | | | 5,683 | | | | 270,397 | |
Simpson Manufacturing Company, Inc. | | | 13,690 | | | | 851,381 | |
SiteOne Landscape Supply, Inc. (1) | | | 57,069 | | | | 4,792,084 | |
SP Plus Corp. (1) | | | 2,117 | | | | 78,752 | |
Spartan Motors, Inc. | | | 11,447 | | | | 172,850 | |
Sparton Corp. (1) | | | 1,430 | | | | 27,156 | |
Spirit AeroSystems Holdings, Inc. | | | 6,919 | | | | 594,411 | |
SPX Corp. (1) | | | 11,744 | | | | 411,627 | |
Standex International Corp. | | | 3,311 | | | | 338,384 | |
Stericycle, Inc. (1) | | | 243,000 | | | | 15,865,470 | |
Sterling Construction Company, Inc. (1) | | | 1,667 | | | | 21,721 | |
Sun Hydraulics Corp. | | | 9,489 | | | | 457,275 | |
| | | | | | | | |
Team, Inc. (1) | | | 563 | | | | 13,005 | |
Tennant Co. | | | 5,906 | | | | 466,574 | |
Tetra Tech, Inc. | | | 17,212 | | | | 1,006,902 | |
Textron, Inc. | | | 2,640 | | | | 174,002 | |
The Brink’s Co. | | | 16,627 | | | | 1,326,003 | |
The Middleby Corp. (1) | | | 14,837 | | | | 1,549,280 | |
The Toro Co. | | | 95,174 | | | | 5,734,233 | |
Thermon Group Holdings, Inc. (1) | | | 2,844 | | | | 65,042 | |
TPI Composites, Inc. (1) | | | 4,927 | | | | 144,065 | |
TransDigm Group, Inc. | | | 2,964 | | | | 1,022,995 | |
TransUnion | | | 11,247 | | | | 805,735 | |
Trex Company, Inc. (1) | | | 19,541 | | | | 1,223,071 | |
TriNet Group, Inc. (1) | | | 14,419 | | | | 806,599 | |
TrueBlue, Inc. (1) | | | 639 | | | | 17,221 | |
Twin Disc, Inc. (1) | | | 369 | | | | 9,159 | |
UniFirst Corp. | | | 26,713 | | | | 4,725,530 | |
United Rentals, Inc. (1) | | | 139,740 | | | | 20,628,419 | |
Univar, Inc. (1) | | | 1,017 | | | | 26,686 | |
Universal Forest Products, Inc. | | | 17,653 | | | | 646,453 | |
Universal Logistics Holdings, Inc. | | | 2,620 | | | | 68,775 | |
U.S. Ecology, Inc. | | | 7,302 | | | | 465,137 | |
USA Truck, Inc. (1) | | | 2,322 | | | | 54,497 | |
Verisk Analytics, Inc. (1) | | | 240,365 | | | | 25,872,889 | |
Viad Corp. | | | 3,814 | | | | 206,909 | |
Vicor Corp. (1) | | | 5,187 | | | | 225,894 | |
Vivint Solar, Inc. (1) | | | 2,584 | | | | 12,791 | |
VSE Corp. | | | 222 | | | | 10,607 | |
W.W. Grainger, Inc. | | | 2,777 | | | | 856,427 | |
Wabash National Corp. | | | 5,110 | | | | 95,353 | |
WABCO Holdings, Inc. (1) | | | 160,113 | | | | 18,736,423 | |
Wabtec Corp. | | | 188,891 | | | | 18,620,875 | |
WageWorks, Inc. (1) | | | 210,359 | | | | 10,517,950 | |
Watsco, Inc. | | | 41,568 | | | | 7,410,743 | |
Watts Water Technologies, Inc. | | | 5,247 | | | | 411,365 | |
Welbilt, Inc. (1) | | | 332,770 | | | | 7,424,099 | |
Werner Enterprises, Inc. | | | 7,140 | | | | 268,107 | |
Wesco Aircraft Holdings, Inc. (1) | | | 4,676 | | | | 52,605 | |
Willdan Group, Inc. (1) | | | 2,537 | | | | 78,571 | |
Willis Lease Finance Corp. (1) | | | 289 | | | | 9,129 | |
Willscot Corp. (1) | | | 7,347 | | | | 108,736 | |
| | | | | | | | |
Woodward, Inc. | | | 17,707 | | | | 1,360,960 | |
XPO Logistics, Inc. (1) | | | 114,148 | | | | 11,435,347 | |
Xylem, Inc. | | | 6,120 | | | | 412,366 | |
YRC Worldwide, Inc. (1) | | | 2,020 | | | | 20,301 | |
| | | | | | | | |
| | | | | | | 546,929,434 | |
| | | | | | | | |
Information Technology - 24.27% | | | | | | | | |
2U, Inc. (1) | | | 29,720 | | | | 2,483,403 | |
3D Systems Corp. (1) | | | 1,799 | | | | 24,844 | |
8x8, Inc. (1) | | | 124,993 | | | | 2,506,110 | |
A10 Networks, Inc. (1) | | | 15,829 | | | | 98,615 | |
Acacia Communications, Inc. (1) | | | 1,227 | | | | 42,712 | |
ACI Worldwide, Inc. (1) | | | 35,985 | | | | 887,750 | |
ACM Research, Inc. (1) | | | 2,512 | | | | 27,079 | |
Acxiom Corp. (1) | | | 13,057 | | | | 391,057 | |
Adesto Technologies Corp. (1) | | | 5,639 | | | | 47,368 | |
Advanced Energy Industries, Inc. (1) | | | 13,022 | | | | 756,448 | |
Advanced Micro Devices, Inc. (1) | | | 55,522 | | | | 832,275 | |
Aerohive Networks, Inc. (1) | | | 11,236 | | | | 44,607 | |
Agilysys, Inc. (1) | | | 2,180 | | | | 33,790 | |
Akamai Technologies, Inc. (1) | | | 78,500 | | | | 5,748,555 | |
Alarm.com Holdings, Inc. (1) | | | 10,231 | | | | 413,128 | |
Alliance Data Systems Corp. | | | 77,401 | | | | 18,049,913 | |
Altair Engineering, Inc. (1) | | | 8,277 | | | | 282,908 | |
Alteryx, Inc. (1) | | | 9,246 | | | | 352,827 | |
Ambarella, Inc. (1) | | | 4,456 | | | | 172,046 | |
Amber Road, Inc. (1) | | | 7,399 | | | | 69,625 | |
American Software, Inc. | | | 5,180 | | | | 75,473 | |
Amphenol Corp. | | | 18,090 | | | | 1,576,543 | |
Analog Devices, Inc. | | | 3,573 | | | | 342,722 | |
ANGI Homeservices, Inc. (1) | | | 218,444 | | | | 3,359,669 | |
ANSYS, Inc. (1) | | | 94,398 | | | | 16,442,244 | |
Appfolio, Inc. (1) | | | 4,866 | | | | 297,556 | |
Applied Optoelectronics, Inc. (1) | | | 4,769 | | | | 214,128 | |
Apptio, Inc. (1) | | | 11,125 | | | | 402,725 | |
Aquantia Corp. (1) | | | 6,665 | | | | 77,181 | |
Arista Networks, Inc. (1) | | | 50,225 | | | | 12,932,435 | |
Aspen Technology, Inc. (1) | | | 358,950 | | | | 33,289,023 | |
Asure Software, Inc. (1) | | | 3,093 | | | | 49,333 | |
Atlassian Corp. Plc (1) | | | 475,700 | | | | 29,740,764 | |
Autodesk, Inc. (1) | | | 11,262 | | | | 1,476,336 | |
| | | | | | | | |
Avid Technology, Inc. (1) | | | 6,485 | | | | 33,722 | |
Badger Meter, Inc. | | | 9,455 | | | | 422,638 | |
Benefitfocus, Inc. (1) | | | 6,666 | | | | 223,978 | |
Black Knight, Inc. (1) | | | 8,690 | | | | 465,349 | |
Blackbaud, Inc. | | | 191,954 | | | | 19,665,687 | |
Blackline, Inc. (1) | | | 10,704 | | | | 464,875 | |
Blucora, Inc. (1) | | | 11,203 | | | | 414,511 | |
Booz Allen Hamilton Holding Corp. | | | 8,228 | | | | 359,810 | |
Bottomline Technologies, Inc. (1) | | | 13,325 | | | | 663,985 | |
Box, Inc. (1) | | | 42,076 | | | | 1,051,479 | |
Brightcove, Inc. (1) | | | 11,413 | | | | 110,135 | |
Broadridge Financial Solutions, Inc. | | | 7,177 | | | | 826,073 | |
Brooks Automation, Inc. | | | 22,937 | | | | 748,205 | |
Cabot Microelectronics Corp. | | | 73,913 | | | | 7,950,082 | |
Cadence Design Systems, Inc. (1) | | | 107,765 | | | | 4,667,302 | |
CalAmp Corp. (1) | | | 11,572 | | | | 271,132 | |
Calix, Inc. (1) | | | 6,990 | | | | 54,522 | |
Carbon Black, Inc. (1) | | | 2,572 | | | | 66,872 | |
Carbonite, Inc. (1) | | | 8,816 | | | | 307,678 | |
Cardlytics, Inc. (1) | | | 1,910 | | | | 41,562 | |
Cardtronics Plc (1) | | | 10,634 | | | | 257,130 | |
Care.com, Inc. (1) | | | 6,600 | | | | 137,808 | |
Cargurus, Inc. (1) | | | 16,255 | | | | 564,699 | |
Casa Systems, Inc. (1) | | | 4,180 | | | | 68,259 | |
Cass Information Systems, Inc. | | | 3,973 | | | | 273,422 | |
Cavium, Inc. (1) | | | 4,158 | | | | 359,667 | |
CDK Global, Inc. | | | 8,040 | | | | 523,002 | |
CDW Corp. | | | 9,062 | | | | 732,119 | |
Ceridian HCM Holding, Inc. (1) | | | 1,495 | | | | 49,619 | |
CEVA, Inc. (1) | | | 6,788 | | | | 204,998 | |
ChannelAdvisor Corp. (1) | | | 7,764 | | | | 109,084 | |
Cirrus Logic, Inc. (1) | | | 1,215 | | | | 46,571 | |
Cision Ltd. (1) | | | 12,991 | | | | 194,215 | |
Citrix Systems, Inc. (1) | | | 126,340 | | | | 13,245,486 | |
Clearfield, Inc. (1) | | | 2,216 | | | | 24,487 | |
Cloudera, Inc. (1) | | | 34,252 | | | | 467,197 | |
Cognex Corp. | | | 188,672 | | | | 8,416,658 | |
Coherent, Inc. (1) | | | 1,085 | | | | 169,716 | |
Cohu, Inc. | | | 1,662 | | | | 40,736 | |
CommVault Systems, Inc. (1) | | | 13,029 | | | | 857,960 | |
| | | | | | | | |
Control4 Corp. (1) | | | 3,507 | | | | 85,255 | |
ConvergeOne Holdings, Inc. | | | 6,126 | | | | 57,523 | |
CoreLogic, Inc. (1) | | | 3,130 | | | | 162,447 | |
Cornerstone OnDemand, Inc. (1) | | | 17,696 | | | | 839,321 | |
Coupa Software, Inc. (1) | | | 17,559 | | | | 1,092,872 | |
Cray, Inc. (1) | | | 2,185 | | | | 53,751 | |
CSG Systems International, Inc. | | | 9,098 | | | | 371,835 | |
CyberArk Software Ltd. (1) | | | 28,729 | | | | 1,808,778 | |
Cypress Semiconductor Corp. | | | 15,077 | | | | 234,900 | |
Dell Technologies, Inc. - VMware, Inc. (1) | | | 889 | | | | 75,192 | |
Digimarc Corp. (1) | | | 3,363 | | | | 90,128 | |
Diodes, Inc. (1) | | | 3,235 | | | | 111,510 | |
DocuSign, Inc. (1) | | | 13,439 | | | | 711,595 | |
Dolby Laboratories, Inc. | | | 76,640 | | | | 4,727,922 | |
Eastman Kodak Co. (1) | | | 5,915 | | | | 22,477 | |
Ebix, Inc. | | | 7,989 | | | | 609,161 | |
eGain Corp. (1) | | | 4,765 | | | | 71,951 | |
Electronic Arts, Inc. (1) | | | 20,800 | | | | 2,933,216 | |
Ellie Mae, Inc. (1) | | | 62,773 | | | | 6,518,348 | |
Endurance International Group Holdings, Inc. (1) | | | 23,429 | | | | 233,119 | |
Entegris, Inc. | | | 46,868 | | | | 1,588,825 | |
Envestnet, Inc. (1) | | | 92,770 | | | | 5,097,711 | |
EPAM Systems, Inc. (1) | | | 3,096 | | | | 384,926 | |
ePlus, Inc. (1) | | | 4,507 | | | | 424,109 | |
Etsy, Inc. (1) | | | 39,483 | | | | 1,665,788 | |
Euronet Worldwide, Inc. (1) | | | 41,264 | | | | 3,456,685 | |
Everbridge, Inc. (1) | | | 8,649 | | | | 410,136 | |
Everi Holdings, Inc. (1) | | | 21,944 | | | | 157,997 | |
EVERTEC, Inc. | | | 16,930 | | | | 369,920 | |
Exela Technologies, Inc. (1) | | | 11,627 | | | | 55,228 | |
ExlService Holdings, Inc. (1) | | | 204,822 | | | | 11,594,973 | |
Extreme Networks, Inc. (1) | | | 38,086 | | | | 303,165 | |
F5 Networks, Inc. (1) | | | 3,730 | | | | 643,238 | |
FactSet Research Systems, Inc. | | | 2,316 | | | | 458,800 | |
Fair Isaac Corp. (1) | | | 1,799 | | | | 347,783 | |
FARO Technologies, Inc. (1) | | | 5,266 | | | | 286,207 | |
Fidelity National Information Services, Inc. | | | 1,714 | | | | 181,735 | |
FireEye, Inc. (1) | | | 7,615 | | | | 117,195 | |
First Data Corp. (1) | | | 29,317 | | | | 613,605 | |
Fiserv, Inc. (1) | | | 25,034 | | | | 1,854,769 | |
| | | | | | | | |
Fitbit, Inc. (1) | | | 14,432 | | | | 94,241 | |
Five9, Inc. (1) | | | 18,745 | | | | 648,015 | |
FleetCor Technologies, Inc. (1) | | | 5,441 | | | | 1,146,147 | |
FLIR Systems, Inc. | | | 179,507 | | | | 9,328,979 | |
ForeScout Technologies, Inc. (1) | | | 9,560 | | | | 327,526 | |
FormFactor, Inc. (1) | | | 2,032 | | | | 27,026 | |
Fortinet, Inc. (1) | | | 628,825 | | | | 39,257,545 | |
Gartner, Inc. (1) | | | 5,411 | | | | 719,122 | |
Genpact Ltd. | | | 3,230 | | | | 93,444 | |
Global Payments, Inc. | | | 9,710 | | | | 1,082,568 | |
Glu Mobile, Inc. (1) | | | 36,299 | | | | 232,677 | |
GoDaddy, Inc. (1) | | | 9,152 | | | | 646,131 | |
Gogo, Inc. (1) | | | 18,286 | | | | 88,870 | |
GrubHub, Inc. (1) | | | 348,794 | | | | 36,591,979 | |
GTT Communications, Inc. (1) | | | 11,564 | | | | 520,380 | |
Guidewire Software, Inc. (1) | | | 209,114 | | | | 18,565,141 | |
Hackett Group, Inc. | | | 7,295 | | | | 117,231 | |
Hortonworks, Inc. (1) | | | 22,767 | | | | 414,815 | |
HubSpot, Inc. (1) | | | 11,980 | | | | 1,502,292 | |
Ichor Holdings Ltd. (1) | | | 8,458 | | | | 179,479 | |
II-VI, Inc. (1) | | | 20,460 | | | | 888,987 | |
Immersion Corp. (1) | | | 9,757 | | | | 150,648 | |
Imperva, Inc. (1) | | | 11,649 | | | | 562,064 | |
Impinj, Inc. (1) | | | 6,347 | | | | 140,332 | |
Information Services Group, Inc. (1) | | | 5,558 | | | | 22,788 | |
Inphi Corp. (1) | | | 14,370 | | | | 468,606 | |
Insight Enterprises, Inc. (1) | | | 4,454 | | | | 217,934 | |
Instructure, Inc. (1) | | | 10,337 | | | | 439,839 | |
Integrated Device Technology, Inc. (1) | | | 122,608 | | | | 3,908,743 | |
InterActiveCorp (1) | | | 4,550 | | | | 693,829 | |
Interdigital, Inc. | | | 5,096 | | | | 412,266 | |
Internap Corp. (1) | | | 6,650 | | | | 69,293 | |
IPG Photonics Corp. (1) | | | 91,664 | | | | 20,223,828 | |
Iteris, Inc. (1) | | | 9,034 | | | | 43,725 | |
Itron, Inc. (1) | | | 11,280 | | | | 677,364 | |
J2 Global, Inc. | | | 83,873 | | | | 7,264,241 | |
Jack Henry & Associates, Inc. | | | 4,693 | | | | 611,779 | |
KLA-Tencor Corp. | | | 9,532 | | | | 977,316 | |
Kopin Corp. (1) | | | 19,225 | | | | 54,983 | |
Lam Research Corp. | | | 10,025 | | | | 1,732,821 | |
| | | | | | | | |
Lattice Semiconductor Corp. (1) | | | 38,830 | | | | 254,725 | |
Leaf Group Ltd. (1) | | | 3,314 | | | | 35,957 | |
Limelight Networks, Inc. (1) | | | 35,894 | | | | 160,446 | |
Littelfuse, Inc. | | | 35,544 | | | | 8,110,430 | |
LivePerson, Inc. (1) | | | 18,654 | | | | 393,599 | |
LogMeIn, Inc. | | | 258,663 | | | | 26,706,955 | |
Lumentum Holdings, Inc. (1) | | | 20,737 | | | | 1,200,672 | |
Majesco, Inc. (1) | | | 1,055 | | | | 6,488 | |
Manhattan Associates, Inc. (1) | | | 54,827 | | | | 2,577,417 | |
Match Group, Inc. (1) | | | 3,149 | | | | 121,992 | |
Maxim Integrated Products, Inc. | | | 17,008 | | | | 997,689 | |
MAXIMUS, Inc. | | | 21,533 | | | | 1,337,415 | |
MaxLinear, Inc. (1) | | | 20,719 | | | | 323,009 | |
MercadoLibre, Inc. | | | 98,390 | | | | 29,411,723 | |
Mesa Laboratories, Inc. | | | 1,094 | | | | 230,922 | |
Methode Electronics, Inc. | | | 5,695 | | | | 229,508 | |
Microchip Technology, Inc. | | | 64,830 | | | | 5,896,289 | |
MINDBODY, Inc. (1) | | | 14,216 | | | | 548,738 | |
Mitek Systems, Inc. (1) | | | 10,557 | | | | 93,957 | |
MKS Instruments, Inc. | | | 3,308 | | | | 316,576 | |
MobileIron, Inc. (1) | | | 22,471 | | | | 99,996 | |
Model N, Inc. (1) | | | 8,524 | | | | 158,546 | |
MoneyGram International, Inc. (1) | | | 723 | | | | 4,837 | |
Monolithic Power Systems, Inc. | | | 53,934 | | | | 7,209,358 | |
Monotype Imaging Holdings, Inc. | | | 6,342 | | | | 128,743 | |
Motorola Solutions, Inc. | | | 1,120 | | | | 130,334 | |
Nanometrics, Inc. (1) | | | 7,438 | | | | 263,380 | |
Napco Security Technologies, Inc. (1) | | | 3,969 | | | | 58,146 | |
National Instruments Corp. | | | 54,952 | | | | 2,306,885 | |
NCR Corp. (1) | | | 5,929 | | | | 177,751 | |
NetApp, Inc. | | | 16,405 | | | | 1,288,285 | |
NETGEAR, Inc. (1) | | | 2,402 | | | | 150,125 | |
New Relic, Inc. (1) | | | 14,643 | | | | 1,472,939 | |
NIC, Inc. | | | 21,437 | | | | 333,345 | |
Nice Ltd. - ADR (1) | | | 138,614 | | | | 14,383,975 | |
nLight, Inc. (1) | | | 2,195 | | | | 72,567 | |
Novanta, Inc. (1) | | | 10,818 | | | | 673,961 | |
Nutanix, Inc. (1) | | | 6,501 | | | | 335,257 | |
NVE Corp. | | | 1,496 | | | | 182,183 | |
Okta, Inc. (1) | | | 255,237 | | | | 12,856,288 | |
| | | | | | | | |
ON Semiconductor Corp. (1) | | | 84,366 | | | | 1,875,878 | |
OneSpan, Inc. (1) | | | 10,495 | | | | 206,227 | |
OSI Systems, Inc. (1) | | | 2,010 | | | | 155,433 | |
Palo Alto Networks, Inc. (1) | | | 243,353 | | | | 50,001,741 | |
Pandora Media, Inc. (1) | | | 84,741 | | | | 667,759 | |
PAR Technology Corp. (1) | | | 2,917 | | | | 51,573 | |
Park City Group, Inc. (1) | | | 4,729 | | | | 37,359 | |
Park Electrochemical Corp. | | | 3,874 | | | | 89,838 | |
Paychex, Inc. | | | 19,578 | | | | 1,338,156 | |
Paycom Software, Inc. (1) | | | 56,541 | | | | 5,587,947 | |
Paylocity Holding Corp. (1) | | | 9,621 | | | | 566,292 | |
PDF Solutions, Inc. (1) | | | 919 | | | | 11,010 | |
Pegasystems, Inc. | | | 2,292 | | | | 125,602 | |
Perficient, Inc. (1) | | | 4,547 | | | | 119,904 | |
PFSweb, Inc. (1) | | | 4,693 | | | | 45,616 | |
Plantronics, Inc. | | | 10,980 | | | | 837,225 | |
Power Integrations, Inc. | | | 108,914 | | | | 7,956,168 | |
PRGX Global, Inc. (1) | | | 6,336 | | | | 61,459 | |
Progress Software Corp. | | | 15,040 | | | | 583,853 | |
Proofpoint, Inc. (1) | | | 55,104 | | | | 6,354,042 | |
PROS Holdings, Inc. (1) | | | 57,580 | | | | 2,105,701 | |
PTC, Inc. (1) | | | 46,060 | | | | 4,320,889 | |
Pure Storage, Inc. (1) | | | 329,405 | | | | 7,866,191 | |
Q2 Holdings, Inc. (1) | | | 62,792 | | | | 3,582,284 | |
QAD, Inc. | | | 3,421 | | | | 171,563 | |
Qualys, Inc. (1) | | | 156,680 | | | | 13,208,124 | |
Quantenna Communications, Inc. (1) | | | 11,165 | | | | 173,504 | |
QuinStreet, Inc. (1) | | | 12,527 | | | | 159,093 | |
Quotient Technology, Inc. (1) | | | 26,439 | | | | 346,351 | |
Rapid7, Inc. (1) | | | 11,963 | | | | 337,596 | |
RealPage, Inc. (1) | | | 4,294 | | | | 236,599 | |
Red Hat, Inc. (1) | | | 247,004 | | | | 33,189,927 | |
Reis, Inc. | | | 2,964 | | | | 64,615 | |
Remark Holdings, Inc. (1) | | | 7,741 | | | | 30,267 | |
Rimini Street, Inc. (1) | | | 2,438 | | | | 15,969 | |
Rogers Corp. (1) | | | 3,204 | | | | 357,118 | |
Rosetta Stone, Inc. (1) | | | 801 | | | | 12,840 | |
Rudolph Technologies, Inc. (1) | | | 10,457 | | | | 309,527 | |
Sabre Corp. | | | 11,787 | | | | 290,432 | |
SailPoint Technologies Holding, Inc. (1) | | | 12,749 | | | | 312,860 | |
| | | | | | | | |
Science Applications International Corp. | | | 14,038 | | | | 1,136,095 | |
Semtech Corp. (1) | | | 116,220 | | | | 5,468,151 | |
SendGrid, Inc. (1) | | | 2,841 | | | | 75,343 | |
ServiceNow, Inc. (1) | | | 73,362 | | | | 12,652,744 | |
ServiceSource International, Inc. (1) | | | 26,678 | | | | 105,111 | |
Shopify, Inc. (1) | | | 19,552 | | | | 2,852,441 | |
ShotSpotter, Inc. (1) | | | 2,283 | | | | 86,594 | |
Shutterstock, Inc. (1) | | | 6,249 | | | | 296,578 | |
Sigma Designs, Inc. (1) | | | 9,217 | | | | 56,224 | |
Silicon Laboratories, Inc. (1) | | | 43,237 | | | | 4,306,405 | |
Skyworks Solutions, Inc. | | | 7,862 | | | | 759,862 | |
SMART Global Holdings, Inc. (1) | | | 3,157 | | | | 100,614 | |
Splunk, Inc. (1) | | | 552,846 | | | | 54,792,567 | |
SPS Commerce, Inc. (1) | | | 5,581 | | | | 410,092 | |
Square, Inc. (1) | | | 85,961 | | | | 5,298,636 | |
SS&C Technologies Holdings, Inc. | | | 11,735 | | | | 609,047 | |
Stamps.com, Inc. (1) | | | 19,714 | | | | 4,988,628 | |
SunPower Corp. (1) | | | 6,665 | | | | 51,121 | |
Super Micro Computer, Inc. (1) | | | 2,709 | | | | 64,068 | |
Switch, Inc. | | | 2,049 | | | | 24,936 | |
Synaptics, Inc. (1) | | | 1,054 | | | | 53,090 | |
Synopsys, Inc. (1) | | | 144,811 | | | | 12,391,477 | |
Syntel, Inc. (1) | | | 10,752 | | | | 345,032 | |
Tableau Software, Inc. (1) | | | 182,385 | | | | 17,828,134 | |
Take-Two Interactive Software, Inc. (1) | | | 43,135 | | | | 5,105,459 | |
TechTarget, Inc. (1) | | | 6,735 | | | | 191,274 | |
Telaria, Inc. (1) | | | 4,608 | | | | 18,616 | |
Telenav, Inc. (1) | | | 5,639 | | | | 31,578 | |
Teradata Corp. (1) | | | 5,235 | | | | 210,185 | |
Teradyne, Inc. | | | 1,785 | | | | 67,955 | |
The Western Union Co. | | | 7,734 | | | | 157,232 | |
Total System Services, Inc. | | | 11,002 | | | | 929,889 | |
Trade Desk, Inc. (1) | | | 10,413 | | | | 976,739 | |
Travelzoo, Inc. (1) | | | 1,515 | | | | 25,907 | |
TrueCar, Inc. (1) | | | 30,481 | | | | 307,553 | |
TTEC Holdings, Inc. | | | 4,797 | | | | 165,736 | |
Tucows, Inc. (1) | | | 3,162 | | | | 191,775 | |
Twilio, Inc. (1) | | | 4,372 | | | | 244,919 | |
Twitter, Inc. (1) | | | 43,260 | | | | 1,889,164 | |
Tyler Technologies, Inc. (1) | | | 17,804 | | | | 3,954,268 | |
| | | | | | | | |
Ubiquiti Networks, Inc. (1) | | | 1,174 | | | | 99,461 | |
Ultimate Software Group, Inc. (1) | | | 18,766 | | | | 4,828,679 | |
Unisys Corp. (1) | | | 11,779 | | | | 151,949 | |
Universal Display Corp. | | | 2,596 | | | | 223,256 | |
Upland Software, Inc. (1) | | | 5,234 | | | | 179,893 | |
USA Technologies, Inc. (1) | | | 17,094 | | | | 239,316 | |
Varonis Systems, Inc. (1) | | | 9,185 | | | | 684,283 | |
VeriFone Systems, Inc. (1) | | | 23,323 | | | | 532,231 | |
VeriSign, Inc. (1) | | | 6,433 | | | | 884,023 | |
Veritone, Inc. (1) | | | 2,256 | | | | 37,946 | |
Versum Materials, Inc. | | | 6,643 | | | | 246,787 | |
Viavi Solutions, Inc. (1) | | | 27,205 | | | | 278,579 | |
VirnetX Holding Corp. (1) | | | 18,050 | | | | 61,370 | |
Virtusa Corp. (1) | | | 9,325 | | | | 453,941 | |
Vishay Precision Group, Inc. (1) | | | 2,434 | | | | 92,857 | |
Web.com Group, Inc. (1) | | | 12,277 | | | | 317,360 | |
WEX, Inc. (1) | | | 31,585 | | | | 6,016,311 | |
Workday, Inc. (1) | | | 440,191 | | | | 53,315,934 | |
Workiva, Inc. (1) | | | 9,182 | | | | 224,041 | |
Worldpay, Inc. (1) | | | 1,597 | | | | 130,603 | |
Xcerra Corp. (1) | | | 15,656 | | | | 218,714 | |
Xilinx, Inc. | | | 15,563 | | | | 1,015,641 | |
XO Group, Inc. (1) | | | 7,987 | | | | 255,584 | |
Xperi Corp. | | | 3,387 | | | | 54,531 | |
Yelp, Inc. (1) | | | 26,834 | | | | 1,051,356 | |
Yext, Inc. (1) | | | 26,831 | | | | 518,912 | |
Zebra Technologies Corp. (1) | | | 3,228 | | | | 462,411 | |
Zendesk, Inc. (1) | | | 6,275 | | | | 341,925 | |
Zillow Group, Inc. - Class A (1) | | | 2,438 | | | | 145,671 | |
Zillow Group, Inc. - Class C (1) | | | 5,069 | | | | 299,375 | |
Zix Corp. (1) | | | 17,166 | | | | 92,525 | |
Zscaler, Inc. (1) | | | 4,652 | | | | 166,309 | |
| | | | | | | | |
| | | | | | | 878,911,665 | |
| | | | | | | | |
Materials - 4.83% | | | | | | | | |
A. Schulman, Inc. | | | 8,824 | | | | 392,668 | |
AdvanSix, Inc. (1) | | | 3,474 | | | | 127,253 | |
Albemarle Corp. | | | 7,221 | | | | 681,157 | |
AptarGroup, Inc. | | | 385,608 | | | | 36,008,075 | |
Avery Dennison Corp. | | | 5,367 | | | | 547,971 | |
Axalta Coating Systems Ltd. (1) | | | 5,263 | | | | 159,522 | |
| | | | | | | | |
Balchem Corp. | | | 104,044 | | | | 10,210,878 | |
Berry Global Group, Inc. (1) | | | 558,631 | | | | 25,663,508 | |
Boise Cascade Co. | | | 12,118 | | | | 541,675 | |
Celanese Corp. | | | 5,259 | | | | 584,065 | |
Century Aluminum Co. (1) | | | 765 | | | | 12,049 | |
Chase Corp. | | | 2,381 | | | | 279,172 | |
Chemours Co. | | | 10,878 | | | | 482,548 | |
Cleveland-Cliffs, Inc. (1) | | | 15,960 | | | | 134,543 | |
Coeur Mining, Inc. (1) | | | 8,866 | | | | 67,382 | |
Compass Minerals International, Inc. | | | 10,355 | | | | 680,841 | |
Crown Holdings, Inc. (1) | | | 7,948 | | | | 355,752 | |
Eagle Materials, Inc. | | | 2,542 | | | | 266,834 | |
Ferro Corp. (1) | | | 27,931 | | | | 582,361 | |
FMC Corp. | | | 3,333 | | | | 297,337 | |
Forterra, Inc. (1) | | | 6,374 | | | | 62,019 | |
GCP Applied Technologies, Inc. (1) | | | 23,900 | | | | 691,905 | |
Gold Resource Corp. | | | 14,404 | | | | 94,922 | |
Graphic Packaging Holding Co. | | | 501,059 | | | | 7,270,366 | |
Greif, Inc. - Class A | | | 697 | | | | 36,864 | |
Greif, Inc. - Class B | | | 217 | | | | 12,499 | |
HB Fuller Co. | | | 12,519 | | | | 672,020 | |
Ingevity Corp. (1) | | | 97,637 | | | | 7,894,928 | |
Innophos Holdings, Inc. | | | 900 | | | | 42,840 | |
International Flavors & Fragrances, Inc. | | | 132,041 | | | | 16,367,802 | |
International Paper Co. | | | 2,859 | | | | 148,897 | |
Kaiser Aluminum Corp. | | | 2,798 | | | | 291,300 | |
KapStone Paper and Packaging Corp. | | | 29,060 | | | | 1,002,570 | |
Klondex Mines Ltd. (1) | | | 27,180 | | | | 62,786 | |
KMG Chemicals, Inc. | | | 4,376 | | | | 322,861 | |
Koppers Holdings, Inc. (1) | | | 4,985 | | | | 191,175 | |
Kraton Corp. (1) | | | 9,418 | | | | 434,547 | |
Kronos Worldwide, Inc. | | | 7,734 | | | | 174,247 | |
Louisiana-Pacific Corp. | | | 7,452 | | | | 202,843 | |
Marrone Bio Innovations, Inc. (1) | | | 15,840 | | | | 29,146 | |
Martin Marietta Materials, Inc. | | | 127,293 | | | | 28,428,346 | |
Myers Industries, Inc. | | | 10,192 | | | | 195,686 | |
Neenah, Inc. | | | 4,570 | | | | 387,764 | |
NewMarket Corp. | | | 13,776 | | | | 5,572,392 | |
OMNOVA Solutions, Inc. (1) | | | 14,641 | | | | 152,266 | |
Packaging Corp. of America | | | 5,722 | | | | 639,662 | |
| | | | | | | | |
Platform Specialty Products Corp. (1) | | | 6,409 | | | | 74,344 | |
PolyOne Corp. | | | 25,029 | | | | 1,081,753 | |
Quaker Chemical Corp. | | | 4,351 | | | | 673,839 | |
Ramaco Resources, Inc. (1) | | | 1,718 | | | | 11,957 | |
Reliance Steel & Aluminum Co. | | | 74,237 | | | | 6,498,707 | |
Royal Gold, Inc. | | | 1,632 | | | | 151,515 | |
RPM International, Inc. | | | 1,556 | | | | 90,746 | |
Ryerson Holding Corp. (1) | | | 4,974 | | | | 55,460 | |
Schweitzer-Mauduit International, Inc. | | | 1,936 | | | | 84,642 | |
Scotts Miracle-Gro Co. | | | 1,212 | | | | 100,790 | |
Sealed Air Corp. | | | 5,404 | | | | 229,400 | |
Sensient Technologies Corp. | | | 7,501 | | | | 536,697 | |
Silgan Holdings, Inc. | | | 1,601 | | | | 42,955 | |
Steel Dynamics, Inc. | | | 2,127 | | | | 97,736 | |
Summit Materials, Inc. (1) | | | 37,265 | | | | 978,206 | |
Tahoe Resources, Inc. | | | 48,539 | | | | 238,812 | |
Trinseo SA | | | 10,033 | | | | 711,841 | |
Tronox Ltd. | | | 14,365 | | | | 282,703 | |
United States Lime & Minerals, Inc. | | | 34 | | | | 2,853 | |
U.S. Concrete, Inc. (1) | | | 5,352 | | | | 280,980 | |
Valhi, Inc. | | | 368 | | | | 1,752 | |
Valvoline, Inc. | | | 531,000 | | | | 11,453,670 | |
Verso Corp. (1) | | | 706 | | | | 15,363 | |
Vulcan Materials Co. | | | 7,554 | | | | 974,919 | |
W.R. Grace & Co. | | | 3,033 | | | | 222,349 | |
Westlake Chemical Corp. | | | 2,052 | | | | 220,857 | |
Worthington Industries, Inc. | | | 12,996 | | | | 545,442 | |
| | | | | | | | |
| | | | | | | 175,118,532 | |
| | | | | | | | |
Real Estate - 2.62% | | | | | | | | |
Alexander’s, Inc. | | | 713 | | | | 272,815 | |
Alexandria Real Estate Equities, Inc. | | | 496 | | | | 62,580 | |
Altisource Portfolio Solutions SA (1) | | | 222 | | | | 6,476 | |
Americold Realty Trust | | | 17,429 | | | | 383,787 | |
Armada Hoffler Properties, Inc. | | | 5,383 | | | | 80,207 | |
CBRE Group, Inc. (1) | | | 9,339 | | | | 445,844 | |
City Office REIT, Inc. | | | 1,697 | | | | 21,773 | |
Clipper Realty, Inc. | | | 4,492 | | | | 38,362 | |
Colony Capital, Inc. | | | 1,456 | | | | 9,085 | |
Consolidated-Tomoka Land Co. | | | 418 | | | | 25,711 | |
CoreSite Realty Corp. | | | 55,912 | | | | 6,196,168 | |
| | | | | | | | |
Corporate Office Properties Trust | | | 144,918 | | | | 4,201,173 | |
Easterly Government Properties, Inc. | | | 3,164 | | | | 62,521 | |
EastGroup Properties, Inc. | | | 11,335 | | | | 1,083,173 | |
Equity Lifestyle Properties, Inc. | | | 5,189 | | | | 476,869 | |
Extra Space Storage, Inc. | | | 6,463 | | | | 645,072 | |
First Industrial Realty Trust, Inc. | | | 8,810 | | | | 293,725 | |
Four Corners Property Trust, Inc. | | | 13,975 | | | | 344,204 | |
FRP Holdings, Inc. (1) | | | 339 | | | | 21,950 | |
Gaming and Leisure Properties, Inc. | | | 4,419 | | | | 158,200 | |
HFF, Inc. | | | 12,433 | | | | 427,074 | |
Hudson Pacific Properties, Inc. | | | 135,010 | | | | 4,783,404 | |
Jones Lang LaSalle, Inc. | | | 153,994 | | | | 25,561,464 | |
Kennedy-Wilson Holdings, Inc. | | | 21,242 | | | | 449,268 | |
Lamar Advertising Co. | | | 4,610 | | | | 314,909 | |
Life Storage, Inc. | | | 148 | | | | 14,402 | |
Marcus & Millichap, Inc. (1) | | | 6,473 | | | | 252,512 | |
Maui Land & Pineapple Co, Inc. (1) | | | 1,885 | | | | 21,112 | |
Monmouth Real Estate Investment Corp. | | | 4,136 | | | | 68,368 | |
National Health Investors, Inc. | | | 5,892 | | | | 434,123 | |
National Storage Affiliates Trust Co. | | | 1,578 | | | | 48,634 | |
Newmark Group, Inc. | | | 7,920 | | | | 112,702 | |
NexPoint Residential Trust, Inc. | | | 277 | | | | 7,881 | |
Omega Healthcare Investors, Inc. | | | 935 | | | | 28,985 | |
Pennsylvania Real Estate Investment Trust | | | 11,263 | | | | 123,780 | |
PS Business Parks, Inc. | | | 4,579 | | | | 588,401 | |
QTS Realty Trust, Inc. | | | 7,825 | | | | 309,087 | |
Redfin Corp. (1) | | | 24,483 | | | | 565,312 | |
RMR Group, Inc. | | | 2,371 | | | | 186,005 | |
Ryman Hospitality Properties, Inc. | | | 14,791 | | | | 1,229,872 | |
Saul Centers, Inc. | | | 3,666 | | | | 196,424 | |
SBA Communications Corp. (1) | | | 211,218 | | | | 34,876,316 | |
Tanger Factory Outlet Centers, Inc. | | | 30,378 | | | | 713,579 | |
Taubman Centers, Inc. | | | 3,616 | | | | 212,476 | |
Terreno Realty Corp. | | | 204,909 | | | | 7,718,922 | |
The GEO Group, Inc. | | | 8,565 | | | | 235,880 | |
The Howard Hughes Corp. (1) | | | 961 | | | | 127,332 | |
Trinity Place Holdings, Inc. (1) | | | 4,671 | | | | 30,595 | |
UMH Properties, Inc. | | | 8,586 | | | | 131,795 | |
Universal Health Realty Income Trust | | | 3,921 | | | | 250,866 | |
Urban Edge Properties | | | 6,103 | | | | 139,576 | |
| | | | | | | | |
| | | | | | | 94,990,751 | |
| | | | | | | | |
| | | | | | | | |
Telecommunication Services - 0.22% | | | | | | | | |
Boingo Wireless, Inc. (1) | | | 13,396 | | | | 302,615 | |
Cogent Communications Holdings, Inc. | | | 13,835 | | | | 738,789 | |
Iridium Communications, Inc. (1) | | | 278,988 | | | | 4,491,707 | |
Ooma, Inc. (1) | | | 5,899 | | | | 83,471 | |
ORBCOMM, Inc. (1) | | | 24,227 | | | | 244,692 | |
RingCentral, Inc. (1) | | | 4,062 | | | | 285,762 | |
Shenandoah Telecommunications Co. | | | 15,423 | | | | 504,332 | |
Vonage Holdings Corp. (1) | | | 73,038 | | | | 941,460 | |
Zayo Group Holdings, Inc. (1) | | | 12,187 | | | | 444,582 | |
| | | | | | | | |
| | | | | | | 8,037,410 | |
| | | | | | | | |
Utilities - 0.04% | | | | | | | | |
American States Water Co. | | | 8,282 | | | | 473,399 | |
California Water Service Group | | | 1,442 | | | | 56,166 | |
Chesapeake Utilities Corp. | | | 624 | | | | 49,889 | |
Global Water Resources, Inc. | | | 2,767 | | | | 26,010 | |
Middlesex Water Co. | | | 4,566 | | | | 192,548 | |
New Jersey Resources Corp. | | | 2,188 | | | | 97,913 | |
Pure Cycle Corp. (1) | | | 3,048 | | | | 29,109 | |
SJW Group | | | 3,692 | | | | 244,484 | |
South Jersey Industries, Inc. | | | 4,353 | | | | 145,695 | |
Spark Energy, Inc. | | | 3,947 | | | | 38,483 | |
TerraForm Power, Inc. | | | 4,141 | | | | 48,450 | |
York Water Co. | | | 3,719 | | | | 118,264 | |
| | | | | | | | |
| | | | | | | 1,520,410 | |
| | | | | | | | |
Total Common Stocks (Cost $2,837,468,067) | | | | | | $ | 3,507,403,510 | |
| | | | | | | | |
RIGHTS - 0.00% (2) | | | | | | | | |
Healthcare - 0.00% (2) | | | | | | | | |
Dyax Corp., expires 12/31/2019 - CVR (1)(4) | | | 15,849 | | | $ | 57,056 | |
| | | | | | | | |
Total Rights (Cost $35,670) | | | | | | $ | 57,056 | |
| | | | | | | | |
SHORT-TERM INVESTMENTS - 2.80% | | | | | | | | |
Money Market Funds - 2.80% | | | | | | | | |
Goldman Sachs Financial Square Government Fund - Class I, 1.81% (3) | | | 50,720,295 | | | $ | 50,720,295 | |
JPMorgan U.S. Government Money Market Fund - Class I, 1.79% (3) | | | 50,720,296 | | | | 50,720,296 | |
| | | | | | | | |
Total Short-Term Investments (Cost $101,440,591) | | | | | | $ | 101,440,591 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES - 99.64%
(Cost $2,938,944,328) | | | | | | $ | 3,608,901,157 | |
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.36% | | | | | | | 13,179,455 | |
| | | | | | | | |
TOTAL NET ASSETS - 100.00% | | | | | | $ | 3,622,080,612 | |
| | | | | | | | |
Percentages are stated as a percent of net assets.
ADR American Depositary Receipt
CVR Contingent Value Right
| (1) | Non-income producing security. |
| (2) | Amount calculated is less than 0.005%. |
| (3) | Represents annualized seven-day yield as of the close of the reporting period. |
| (4) | Security is categorized as Level 3 per the Trust’s fair value hierarchy. This security represents $57,056 or 0.00% of the Fund’s net assets. |
The sector classifications listed above are in accordance with Global Industry Classification Standards (GICS), which was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor’s Financial Services LLC (“S&P”).
Bridge Builder Small/Mid Cap Value Fund
Schedule of Investments
June 30, 2018
| | | | | | | | |
| | | Shares | | | Value | |
COMMON STOCKS - 97.20% | | | | | | | | |
Consumer Discretionary - 11.02% | | | | | | | | |
1-800-Flowers.com, Inc. (1) | | | 4,765 | | | $ | 59,801 | |
Aaron’s, Inc. | | | 69,395 | | | | 3,015,213 | |
Abercrombie & Fitch Co. | | | 17,640 | | | | 431,827 | |
Acushnet Holdings Corp. | | | 541,522 | | | | 13,245,628 | |
Adient Plc | | | 328,698 | | | | 16,168,655 | |
Adtalem Global Education, Inc. (1) | | | 15,536 | | | | 747,282 | |
Advance Auto Parts, Inc. | | | 1,542 | | | | 209,249 | |
AMC Entertainment Holdings, Inc. | | | 13,545 | | | | 215,365 | |
AMC Networks, Inc. (1) | | | 27,635 | | | | 1,718,897 | |
American Axle & Manufacturing Holdings, Inc. (1) | | | 28,968 | | | | 450,742 | |
American Eagle Outfitters, Inc. | | | 118,080 | | | | 2,745,360 | |
American Outdoor Brands Corp. (1) | | | 13,935 | | | | 167,638 | |
American Public Education, Inc. (1) | | | 3,926 | | | | 165,285 | |
America’s Car-Mart, Inc. (1) | | | 1,032 | | | | 63,881 | |
Aptiv Plc | | | 1,090 | | | | 99,877 | |
Aramark | | | 297,504 | | | | 11,037,398 | |
Ascena Retail Group, Inc. (1) | | | 45,010 | | | | 179,365 | |
AutoNation, Inc. (1) | | | 1,733 | | | | 84,189 | |
AutoZone, Inc. (1) | | | 106 | | | | 71,119 | |
AV Homes, Inc. (1) | | | 2,325 | | | | 49,755 | |
Barnes & Noble Education, Inc. (1) | | | 10,374 | | | | 58,509 | |
Barnes & Noble, Inc. | | | 15,076 | | | | 95,733 | |
Bassett Furniture Industries, Inc. | | | 2,664 | | | | 73,393 | |
BBX Capital Corp. | | | 16,974 | | | | 153,275 | |
Beasley Broadcast Group, Inc. | | | 934 | | | | 10,461 | |
Beazer Homes USA, Inc. (1) | | | 8,151 | | | | 120,227 | |
Bed Bath & Beyond, Inc. | | | 81,310 | | | | 1,620,102 | |
Belmond Ltd. (1) | | | 20,570 | | | | 229,356 | |
Best Buy, Inc. | | | 60,732 | | | | 4,529,393 | |
Big 5 Sporting Goods Corp. | | | 5,332 | | | | 40,523 | |
Big Lots, Inc. | | | 52,560 | | | | 2,195,957 | |
Biglari Holdings, Inc. - Class A (1) | | | 26 | | | | 24,700 | |
Biglari Holdings, Inc. - Class B (1) | | | 266 | | | | 48,808 | |
Bojangles, Inc. (1) | | | 489,450 | | | | 7,048,080 | |
Borgwarner, Inc. | | | 267,905 | | | | 11,562,780 | |
Boston Omaha Corp. (1) | | | 1,295 | | | | 27,286 | |
Boyd Gaming Corp. | | | 2,316 | | | | 80,273 | |
Bright Horizons Family Solutions, Inc. (1) | | | 275 | | | | 28,193 | |
| | | | | | | | |
Brinker International, Inc. | | | 2,782 | | | | 132,423 | |
Brunswick Corp. | | | 162,063 | | | | 10,449,822 | |
Buckle, Inc. | | | 5,981 | | | | 160,889 | |
Cable One, Inc. | | | 7,890 | | | | 5,785,658 | |
Caesars Entertainment Corp. (1) | | | 18,529 | | | | 198,260 | |
Caleres, Inc. | | | 10,938 | | | | 376,158 | |
Callaway Golf Co. | | | 8,129 | | | | 154,207 | |
Cambium Learning Group, Inc. (1) | | | 2,771 | | | | 30,897 | |
Capella Education Company | | | 165 | | | | 16,285 | |
CarMax, Inc. (1) | | | 2,190 | | | | 159,585 | |
Carriage Services, Inc. | | | 2,475 | | | | 60,761 | |
Carrols Restaurant Group, Inc. (1) | | | 1,470 | | | | 21,829 | |
Cato Corp. | | | 5,812 | | | | 143,091 | |
CBS Corp. | | | 63,500 | | | | 3,569,970 | |
Century Casinos, Inc. (1) | | | 8,611 | | | | 75,346 | |
Century Communities, Inc. (1) | | | 6,097 | | | | 192,360 | |
Chicos FAS, Inc. | | | 34,211 | | | | 278,478 | |
Children’s Place, Inc. | | | 14,000 | | | | 1,691,200 | |
Chuy’s Holdings, Inc. (1) | | | 846 | | | | 25,972 | |
Cinemark Holdings, Inc. | | | 3,345 | | | | 117,343 | |
Citi Trends, Inc. | | | 3,256 | | | | 89,345 | |
Clarus Corp. (1) | | | 5,051 | | | | 41,671 | |
Clear Channel Outdoor Holdings, Inc. | | | 10,046 | | | | 43,198 | |
Columbia Sportswear Co. | | | 832 | | | | 76,103 | |
Conn’s, Inc. (1) | | | 2,630 | | | | 86,790 | |
Container Store Group, Inc. (1) | | | 3,750 | | | | 31,537 | |
Cooper Tire & Rubber Co. | | | 13,209 | | | | 347,397 | |
Cooper-Standard Holdings, Inc. (1) | | | 22,684 | | | | 2,964,118 | |
Core Mark Holding Company, Inc. | | | 969,099 | | | | 21,998,547 | |
Culp, Inc. | | | 2,847 | | | | 69,894 | |
D. R. Horton, Inc. | | | 4,445 | | | | 182,245 | |
Daily Journal Corp. (1) | | | 268 | | | | 61,694 | |
Dana, Inc. | | | 463,795 | | | | 9,364,021 | |
Darden Restaurants, Inc. | | | 1,919 | | | | 205,448 | |
Del Frisco’s Restaurant Group, Inc. (1) | | | 4,920 | | | | 61,992 | |
Del Taco Restaurants, Inc. (1) | | | 7,871 | | | | 111,611 | |
Denny’s Corp. (1) | | | 4,069 | | | | 64,819 | |
Dick’s Sporting Goods, Inc. | | | 85,316 | | | | 3,007,389 | |
Dillard’s, Inc. | | | 3,061 | | | | 289,264 | |
Dine Brands Global, Inc. | | | 1,826 | | | | 136,585 | |
| | | | | | | | |
Discovery Communications, Inc. - Class A (1) | | | 4,909 | | | | 134,997 | |
Discovery Communications, Inc. - Class C (1) | | | 10,672 | | | | 272,136 | |
DISH Network Corp. (1) | | | 6,931 | | | | 232,951 | |
Dollar Tree, Inc. (1) | | | 6,088 | | | | 517,480 | |
Drive Shack, Inc. (1) | | | 504 | | | | 3,891 | |
DSW, Inc. | | | 17,744 | | | | 458,150 | |
E.W. Scripps Co. | | | 12,065 | | | | 161,550 | |
El Pollo Loco Holdings, Inc. (1) | | | 5,954 | | | | 67,876 | |
Emerald Expositions Events, Inc. | | | 523,582 | | | | 10,785,789 | |
Empire Resorts, Inc. (1) | | | 566 | | | | 11,211 | |
Entercom Communications Corp. | | | 33,220 | | | | 250,811 | |
Entravision Communications Corp. | | | 13,637 | | | | 68,185 | |
Eros International Plc (1) | | | 4,054 | | | | 52,702 | |
Escalade, Inc. | | | 2,375 | | | | 33,487 | |
Ethan Allen Interiors, Inc. | | | 6,483 | | | | 158,833 | |
Expedia Group, Inc. | | | 53,390 | | | | 6,416,944 | |
Express, Inc. (1) | | | 19,115 | | | | 174,902 | |
Extended Stay America, Inc. | | | 657,664 | | | | 14,212,119 | |
Fiesta Restaurant Group, Inc. (1) | | | 1,283 | | | | 36,822 | |
Flexsteel Industries, Inc. | | | 2,003 | | | | 79,920 | |
Fluent, Inc. (1) | | | 8,417 | | | | 20,622 | |
Foot Locker, Inc. | | | 70,469 | | | | 3,710,193 | |
Fossil Group, Inc. (1) | | | 9,169 | | | | 246,371 | |
Francesca’s Holdings Corp. (1) | | | 8,993 | | | | 67,897 | |
Gaia, Inc. (1) | | | 1,060 | | | | 21,465 | |
GameStop Corp. | | | 26,018 | | | | 379,082 | |
Gannett Co., Inc. | | | 29,254 | | | | 313,018 | |
Gap, Inc. | | | 6,407 | | | | 207,523 | |
Garmin Ltd. | | | 3,560 | | | | 217,160 | |
GCI Liberty, Inc. (1) | | | 3,149 | | | | 141,957 | |
Genesco, Inc. (1) | | | 5,049 | | | | 200,445 | |
Gentex Corp. | | | 2,756 | | | | 63,443 | |
Gentherm, Inc. (1) | | | 9,492 | | | | 373,036 | |
Genuine Parts Co. | | | 4,466 | | | | 409,934 | |
G-III Apparel Group Ltd. (1) | | | 8,091 | | | | 359,240 | |
Gildan Activewear, Inc. | | | 288,350 | | | | 8,119,936 | |
GNC Holdings, Inc. (1) | | | 21,302 | | | | 74,983 | |
Goodyear Tire & Rubber Co. | | | 152,815 | | | | 3,559,061 | |
Graham Holdings Co. | | | 131 | | | | 76,779 | |
Gray Television, Inc. (1) | | | 20,792 | | | | 328,514 | |
| | | | | | | | |
Green Brick Partners, Inc. (1) | | | 6,398 | | | | 62,700 | |
Group 1 Automotive, Inc. | | | 33,549 | | | | 2,113,587 | |
Guess, Inc. | | | 14,932 | | | | 319,545 | |
H&R Block, Inc. | | | 5,359 | | | | 122,078 | |
Harley-Davidson, Inc. | | | 71,898 | | | | 3,025,468 | |
Hasbro, Inc. | | | 115,514 | | | | 10,663,097 | |
Haverty Furniture, Inc. | | | 4,964 | | | | 107,222 | |
Helen of Troy Ltd. (1) | | | 6,595 | | | | 649,278 | |
Hemisphere Media Group, Inc. (1) | | | 2,564 | | | | 33,588 | |
Hibbett Sports, Inc. (1) | | | 5,119 | | | | 117,225 | |
Hooker Furniture Corp. | | | 1,649 | | | | 77,338 | |
Houghton Mifflin Harcourt Co. (1) | | | 24,553 | | | | 187,830 | |
Hovnanian Enterprises, Inc. (1) | | | 25,645 | | | | 41,801 | |
Hyatt Hotels Corp. | | | 1,420 | | | | 109,553 | |
ILG, Inc. | | | 6,871 | | | | 226,949 | |
International Game Technology Plc | | | 2,907 | | | | 67,559 | |
International Speedway Corp. | | | 6,317 | | | | 282,370 | |
Interpublic Group of Companies, Inc. | | | 10,768 | | | | 252,402 | |
J. Alexander’s Holdings, Inc. (1) | | | 3,296 | | | | 36,750 | |
J. Jill, Inc. (1) | | | 4,243 | | | | 39,630 | |
J.C. Penney Co., Inc. (1) | | | 81,149 | | | | 189,889 | |
Jack in the Box, Inc. | | | 169,888 | | | | 14,460,867 | |
John Wiley & Sons, Inc. | | | 1,384 | | | | 86,362 | |
Johnson Outdoors, Inc. | | | 484 | | | | 40,913 | |
K12, Inc. (1) | | | 9,996 | | | | 163,635 | |
KB Home | | | 17,599 | | | | 479,397 | |
Kirkland’s, Inc. (1) | | | 3,057 | | | | 35,583 | |
Kohl’s Corp. | | | 75,622 | | | | 5,512,844 | |
L Brands, Inc. | | | 5,887 | | | | 217,113 | |
Lands End, Inc. (1) | | | 2,732 | | | | 76,223 | |
Laureate Education, Inc. (1) | | | 817,207 | | | | 11,710,576 | |
La-Z-Boy, Inc. | | | 302,663 | | | | 9,261,488 | |
Lear Corp. | | | 71,511 | | | | 13,287,459 | |
Leggett & Platt, Inc. | | | 4,087 | | | | 182,444 | |
Lennar Corp. - Class A | | | 4,101 | | | | 215,302 | |
Lennar Corp. - Class B | | | 236 | | | | 10,075 | |
Liberty Broadband Corp. - Class A (1) | | | 865 | | | | 65,429 | |
Liberty Broadband Corp. - Class C (1) | | | 3,184 | | | | 241,092 | |
Liberty Expedia Holdings, Inc. (1) | | | 13,525 | | | | 594,288 | |
Liberty Latin America Ltd. - Class A (1) | | | 11,289 | | | | 215,846 | |
| | | | | | | | |
Liberty Latin America Ltd. - Class C (1) | | | 29,389 | | | | 569,559 | |
Liberty Media Group LLC - Class A (1) | | | 760 | | | | 26,836 | |
Liberty Media Group LLC - Class C (1) | | | 6,178 | | | | 229,389 | |
Liberty SiriusXM Group - Class A (1) | | | 2,633 | | | | 118,617 | |
Liberty SiriusXM Group - Class C (1) | | | 5,314 | | | | 241,043 | |
Lifetime Brands, Inc. | | | 3,279 | | | | 41,479 | |
Lions Gate Entertainment Corp. - Class A | | | 1,431 | | | | 35,505 | |
Lions Gate Entertainment Corp. - Class B | | | 2,771 | | | | 64,996 | |
Lithia Motors, Inc. | | | 31,536 | | | | 2,982,360 | |
LKQ Corp. (1) | | | 8,033 | | | | 256,253 | |
Lumber Liquidators Holdings, Inc. (1) | | | 1,461 | | | | 35,575 | |
M.D.C. Holdings, Inc. | | | 116,470 | | | | 3,583,782 | |
M/I Homes, Inc. (1) | | | 5,939 | | | | 157,265 | |
Macy’s, Inc. | | | 78,559 | | | | 2,940,463 | |
Marcus Corp. | | | 4,928 | | | | 160,160 | |
MarineMax, Inc. (1) | | | 2,510 | | | | 47,564 | |
Marriott Vacations Worldwide Corp. | | | 675 | | | | 76,248 | |
Mattel, Inc. | | | 8,375 | | | | 137,517 | |
Meredith Corp. | | | 10,266 | | | | 523,566 | |
Meritage Homes Corp. (1) | | | 9,415 | | | | 413,789 | |
MGM Resorts International | | | 14,791 | | | | 429,383 | |
Michael Kors Holdings Ltd. (1) | | | 2,065 | | | | 137,529 | |
Modine Manufacturing Co. (1) | | | 10,984 | | | | 200,458 | |
Mohawk Industries, Inc. (1) | | | 56,120 | | | | 12,024,832 | |
Monarch Casino & Resort, Inc. (1) | | | 904 | | | | 39,821 | |
Motorcar Parts of America, Inc. (1) | | | 4,739 | | | | 88,667 | |
Movado Group, Inc. | | | 3,840 | | | | 185,472 | |
MSG Networks, Inc. (1) | | | 15,581 | | | | 373,165 | |
Murphy USA, Inc. (1) | | | 102,219 | | | | 7,593,850 | |
National CineMedia, Inc. | | | 20,012 | | | | 168,101 | |
Nautilus, Inc. (1) | | | 728 | | | | 11,430 | |
New Home Company, Inc. (1) | | | 3,033 | | | | 30,239 | |
New Media Investment Group, Inc. | | | 15,512 | | | | 286,662 | |
New York & Company, Inc. (1) | | | 2,674 | | | | 13,691 | |
New York Times Co. | | | 6,503 | | | | 168,428 | |
Newell Brands, Inc. | | | 326,350 | | | | 8,416,566 | |
News Corp. - Class A | | | 11,983 | | | | 185,736 | |
News Corp. - Class B | | | 3,747 | | | | 59,390 | |
Nexstar Media Group, Inc. | | | 224,275 | | | | 16,461,785 | |
Nordstrom, Inc. | | | 41,300 | | | | 2,138,514 | |
| | | | | | | | |
Norwegian Cruise Line Holdings Ltd. (1) | | | 6,412 | | | | 302,967 | |
Office Depot, Inc. | | | 648,927 | | | | 1,654,764 | |
Omnicom Group, Inc. | | | 37,579 | | | | 2,866,150 | |
Papa John’s International, Inc. | | | 3,198 | | | | 162,203 | |
Party City Holdings, Inc. (1) | | | 8,277 | | | | 126,224 | |
Penn National Gaming, Inc. (1) | | | 16,712 | | | | 561,356 | |
Penske Automotive Group, Inc. | | | 44,209 | | | | 2,071,192 | |
Perry Ellis International, Inc. (1) | | | 3,525 | | | | 95,774 | |
PICO Holdings, Inc. | | | 4,448 | | | | 51,819 | |
Pier 1 Imports, Inc. | | | 19,754 | | | | 47,015 | |
Pulte Group, Inc. | | | 5,529 | | | | 158,959 | |
PVH Corp. | | | 66,468 | | | | 9,951,589 | |
Qurate Retail, Inc. (1) | | | 13,589 | | | | 288,359 | |
Ralph Lauren Corp. | | | 1,716 | | | | 215,736 | |
RCI Hospitality Holdings, Inc. | | | 642 | | | | 20,319 | |
Reading International, Inc. (1) | | | 4,349 | | | | 69,367 | |
Red Lion Hotels Corp. (1) | | | 4,167 | | | | 48,546 | |
Red Robin Gourmet Burgers, Inc. (1) | | | 3,366 | | | | 156,856 | |
Regis Corp. (1) | | | 9,192 | | | | 152,036 | |
Rent-A-Center, Inc. | | | 11,375 | | | | 167,440 | |
Rocky Brands, Inc. | | | 1,745 | | | | 52,350 | |
Royal Caribbean Cruises Ltd. | | | 5,273 | | | | 546,283 | |
Saga Communications, Inc. | | | 908 | | | | 34,958 | |
Sally Beauty Holdings, Inc. (1) | | | 23,386 | | | | 374,878 | |
Scholastic Corp. | | | 7,353 | | | | 325,811 | |
Sears Holdings Corp. (1) | | | 8,579 | | | | 20,332 | |
Service Corp. International | | | 2,919 | | | | 104,471 | |
ServiceMaster Global Holdings, Inc. (1) | | | 164,025 | | | | 9,754,567 | |
Shiloh Industries, Inc. (1) | | | 3,241 | | | | 28,197 | |
Shoe Carnival, Inc. | | | 2,758 | | | | 89,497 | |
Signet Jewelers Ltd. | | | 113,847 | | | | 6,346,970 | |
Sinclair Broadcast Group, Inc. | | | 10,048 | | | | 323,043 | |
Six Flags Entertainment Corp. | | | 234,200 | | | | 16,405,710 | |
Skechers USA, Inc. (1) | | | 2,191 | | | | 65,752 | |
Sonic Automotive, Inc. | | | 6,340 | | | | 130,604 | |
Sonic Corp. | | | 4,179 | | | | 143,841 | |
Speedway Motorsports, Inc. | | | 2,914 | | | | 50,587 | |
Standard Motor Products, Inc. | | | 5,454 | | | | 263,646 | |
Stoneridge, Inc. (1) | | | 140,881 | | | | 4,950,558 | |
Sturm, Ruger & Company, Inc. | | | 22,500 | | | | 1,260,000 | |
| | | | | | | | |
Superior Industries International, Inc. | | | 6,243 | | | | 111,750 | |
Systemax, Inc. | | | 812 | | | | 27,876 | |
Tapestry, Inc. | | | 7,231 | | | | 337,760 | |
Taylor Morrison Home Corp. (1) | | | 25,636 | | | | 532,716 | |
TEGNA, Inc. | | | 57,730 | | | | 626,370 | |
Tenneco, Inc. | | | 50,299 | | | | 2,211,144 | |
The Habit Restaurants, Inc. (1) | | | 5,271 | | | | 52,710 | |
The Madison Square Garden Co. (1) | | | 518 | | | | 160,678 | |
The Michaels Companies, Inc. (1) | | | 2,860 | | | | 54,826 | |
Thor Industries, Inc. | | | 22,973 | | | | 2,237,340 | |
Tiffany & Co. | | | 3,189 | | | | 419,672 | |
Tile Shop Holdings, Inc. | | | 4,937 | | | | 38,015 | |
Tilly’s, Inc. | | | 3,175 | | | | 48,101 | |
Toll Brothers, Inc. | | | 61,368 | | | | 2,270,002 | |
Tower International, Inc. | | | 5,186 | | | | 164,915 | |
Town Sports International Holdings, Inc. (1) | | | 3,372 | | | | 49,063 | |
Tractor Supply Co. | | | 83,978 | | | | 6,423,477 | |
Travelport Worldwide Ltd. | | | 160,758 | | | | 2,980,453 | |
TRI Pointe Group, Inc. (1) | | | 37,190 | | | | 608,428 | |
Tribune Media Co. | | | 2,752 | | | | 105,319 | |
Tupperware Brands Corp. | | | 13,322 | | | | 549,399 | |
Under Armour, Inc. - Class A (1) | | | 1,404 | | | | 31,562 | |
Under Armour, Inc. - Class C (1) | | | 1,424 | | | | 30,018 | |
Unifi, Inc. (1) | | | 4,025 | | | | 127,593 | |
Universal Electronics, Inc. (1) | | | 3,562 | | | | 117,724 | |
Vera Bradley, Inc. (1) | | | 5,851 | | | | 82,148 | |
VF Corp. | | | 2,328 | | | | 189,779 | |
Viacom, Inc. - Class A | | | 329 | | | | 11,663 | |
Viacom, Inc. - Class B | | | 11,024 | | | | 332,484 | |
Vista Outdoor, Inc. (1) | | | 14,735 | | | | 228,245 | |
Visteon Corp. (1) | | | 60,808 | | | | 7,858,826 | |
Vuzix Corp. (1) | | | 1,246 | | | | 9,283 | |
Weight Watchers International, Inc. (1) | | | 574 | | | | 58,031 | |
Weyco Group, Inc. | | | 1,494 | | | | 54,382 | |
Whirlpool Corp. | | | 42,083 | | | | 6,153,797 | |
WideOpenWest, Inc. (1) | | | 7,958 | | | | 76,874 | |
William Lyon Homes (1) | | | 6,818 | | | | 158,178 | |
Williams-Sonoma, Inc. | | | 55,205 | | | | 3,388,483 | |
Wingstop, Inc. | | | 568 | | | | 29,604 | |
Wolverine World Wide, Inc. | | | 390,610 | | | | 13,581,510 | |
| | | | | | | | |
Wyndham Destinations, Inc. | | | 168,561 | | | | 7,462,195 | |
Wyndham Hotels & Resorts, Inc. | | | 143,928 | | | | 8,467,284 | |
Yum China Holdings, Inc. | | | 10,594 | | | | 407,445 | |
Zoe’s Kitchen, Inc. (1) | | | 4,910 | | | | 47,922 | |
Zumiez, Inc. (1) | | | 3,399 | | | | 85,145 | |
| | | | | | | | |
| | | | | | | 461,448,587 | |
| | | | | | | | |
Consumer Staples - 2.15% | | | | | | | | |
Alico, Inc. | | | 691 | | | | 21,905 | |
Alliance One International, Inc. (1) | | | 2,177 | | | | 34,506 | |
Archer-Daniels-Midland Co. | | | 17,451 | | | | 799,779 | |
B&G Foods, Inc. | | | 15,227 | | | | 455,287 | |
Bunge Ltd. | | | 4,399 | | | | 306,654 | |
Cal-Maine Foods, Inc. (1) | | | 4,838 | | | | 221,822 | |
Campbell Soup Co. | | | 1,718 | | | | 69,648 | |
Casey’s General Stores, Inc. | | | 111,401 | | | | 11,706,017 | |
Central Garden & Pet Co. (1) | | | 610 | | | | 26,523 | |
Central Garden & Pet Co. - Class A (1) | | | 2,317 | | | | 93,769 | |
Church & Dwight Co., Inc. | | | 1,158 | | | | 61,559 | |
Clorox Co. | | | 529 | | | | 71,547 | |
Coca-Cola European Partners Plc | | | 146,428 | | | | 5,950,834 | |
Conagra Brands, Inc. | | | 11,787 | | | | 421,150 | |
Coty, Inc. | | | 14,554 | | | | 205,211 | |
Darling Ingredients, Inc. (1) | | | 42,580 | | | | 846,490 | |
Dean Foods Co. | | | 95,340 | | | | 1,002,023 | |
Diplomat Pharmacy, Inc. (1) | | | 2,975 | | | | 76,041 | |
Edgewell Personal Care Co. (1) | | | 14,346 | | | | 723,899 | |
Energizer Holdings, Inc. | | | 782 | | | | 49,235 | |
Farmer Brothers Co. (1) | | | 2,717 | | | | 83,004 | |
Flowers Foods, Inc. | | | 466,373 | | | | 9,714,550 | |
Fresh Del Monte Produce, Inc. | | | 55,455 | | | | 2,470,520 | |
General Mills, Inc. | | | 64,600 | | | | 2,859,196 | |
Herbalife Ltd. (1) | | | 2,939 | | | | 157,883 | |
Hormel Foods Corp. | | | 8,494 | | | | 316,062 | |
Hostess Brands, Inc. (1) | | | 25,545 | | | | 347,412 | |
HRG Group, Inc. (1) | | | 1,826 | | | | 23,902 | |
Ingles Markets, Inc. | | | 3,684 | | | | 117,151 | |
Ingredion, Inc. | | | 24,649 | | | | 2,728,644 | |
Inter Parfums, Inc. | | | 340 | | | | 18,190 | |
J & J Snack Foods Corp. | | | 57,250 | | | | 8,728,908 | |
Kellogg Co. | | | 3,877 | | | | 270,886 | |
| | | | | | | | |
Kroger Co. | | | 264,181 | | | | 7,515,949 | |
Lamb Weston Holdings, Inc. | | | 4,575 | | | | 313,433 | |
Lancaster Colony Corp. | | | 48,823 | | | | 6,758,080 | |
Landec Corp. (1) | | | 6,865 | | | | 102,289 | |
Limoneira Co. | | | 1,971 | | | | 48,506 | |
McCormick & Co., Inc. | | | 3,577 | | | | 415,254 | |
MGP Ingredients, Inc. | | | 373 | | | | 33,126 | |
Molson Coors Brewing Co. | | | 5,423 | | | | 368,981 | |
Natural Grocers by Vitamin Cottage, Inc. (1) | | | 2,406 | | | | 30,652 | |
Nature’s Sunshine Products, Inc. (1) | | | 2,679 | | | | 25,049 | |
Nomad Foods Ltd. (1) | | | 298,070 | | | | 5,719,963 | |
Nu Skin Enterprises, Inc. | | | 1,189 | | | | 92,968 | |
Oil-Dri Corp. of America | | | 1,257 | | | | 52,970 | |
Pilgrim’s Pride Corp. (1) | | | 113,250 | | | | 2,279,723 | |
Pinnacle Foods, Inc. | | | 3,701 | | | | 240,787 | |
Post Holdings, Inc. (1) | | | 865 | | | | 74,407 | |
Revlon, Inc. (1) | | | 347 | | | | 6,090 | |
Rite Aid Corp. (1) | | | 272,859 | | | | 472,046 | |
Sanderson Farms, Inc. | | | 20,499 | | | | 2,155,470 | |
Seaboard Corp. | | | 8 | | | | 31,702 | |
Seneca Foods Corp. (1) | | | 1,750 | | | | 47,250 | |
Simply Good Foods Co./The (1) | | | 15,474 | | | | 223,445 | |
Smart & Final Stores, Inc. (1) | | | 5,738 | | | | 31,846 | |
SpartanNash Co. | | | 9,257 | | | | 236,239 | |
Spectrum Brands Holdings, Inc. | | | 686 | | | | 55,991 | |
SUPERVALU, Inc. (1) | | | 9,908 | | | | 203,312 | |
The Andersons, Inc. | | | 7,049 | | | | 241,076 | |
The Hain Celestial Group, Inc. (1) | | | 2,977 | | | | 88,715 | |
The Hershey Co. | | | 399 | | | | 37,131 | |
The J. M. Smucker Co. | | | 35,240 | | | | 3,787,595 | |
Tootsie Roll Industries, Inc. | | | 3,503 | | | | 108,068 | |
TreeHouse Foods, Inc. (1) | | | 1,700 | | | | 89,267 | |
Tyson Foods, Inc. | | | 62,092 | | | | 4,275,034 | |
United Natural Foods, Inc. (1) | | | 41,605 | | | | 1,774,869 | |
Universal Corp. | | | 6,407 | | | | 423,182 | |
US Foods Holding Corp. (1) | | | 6,335 | | | | 239,590 | |
Vector Group Ltd. | | | 14,573 | | | | 278,053 | |
Village Super Market, Inc. | | | 2,509 | | | | 73,915 | |
Weis Markets, Inc. | | | 2,658 | | | | 141,778 | |
| | | | | | | | |
| | | | | | | 90,074,008 | |
| | | | | | | | |
| | | | | | | | |
Energy - 7.53% | | | | | | | | |
Abraxas Petroleum Corp. (1) | | | 2,676 | | | | 7,734 | |
Adams Resources & Energy, Inc. | | | 520 | | | | 22,360 | |
Alta Mesa Resources, Inc. (1) | | | 24,907 | | | | 169,617 | |
Amyris, Inc. (1) | | | 5,362 | | | | 34,263 | |
Anadarko Petroleum Corp. | | | 161,965 | | | | 11,863,936 | |
Andeavor | | | 128,286 | | | | 16,828,557 | |
Antero Resources Corp. (1) | | | 3,522 | | | | 75,195 | |
Apache Corp. | | | 11,188 | | | | 523,039 | |
Apergy Corp. (1) | | | 121,161 | | | | 5,058,472 | |
Approach Resources, Inc. (1) | | | 11,164 | | | | 27,240 | |
Arch Coal, Inc. | | | 4,980 | | | | 390,581 | |
Archrock, Inc. | | | 33,168 | | | | 398,016 | |
Ardmore Shipping Corp. (1) | | | 8,346 | | | | 68,437 | |
Baker Hughes a GE Co. | | | 190,725 | | | | 6,299,647 | |
Basic Energy Services, Inc. (1) | | | 5,332 | | | | 59,239 | |
Bonanza Creek Energy, Inc. (1) | | | 5,095 | | | | 192,948 | |
Bristow Group, Inc. (1) | | | 8,456 | | | | 119,314 | |
C&J Energy Services, Inc. (1) | | | 16,743 | | | | 395,135 | |
Cabot Oil & Gas Corp. | | | 3,676 | | | | 87,489 | |
California Resources Corp. (1) | | | 11,781 | | | | 535,329 | |
Callon Petroleum Co. (1) | | | 782,172 | | | | 8,400,527 | |
CARBO Ceramics, Inc. (1) | | | 5,053 | | | | 46,336 | |
Carrizo Oil & Gas, Inc. (1) | | | 151,000 | | | | 4,205,350 | |
Centennial Resource Development, Inc. (1) | | | 5,712 | | | | 103,159 | |
Cheniere Energy, Inc. (1) | | | 1,993 | | | | 129,924 | |
Chesapeake Energy Corp. (1) | | | 28,087 | | | | 147,176 | |
Cimarex Energy Co. | | | 77,836 | | | | 7,919,035 | |
Clean Energy Fuels Corp. (1) | | | 35,652 | | | | 131,556 | |
Cloud Peak Energy, Inc. (1) | | | 18,248 | | | | 63,686 | |
CNX Resources Corp. (1) | | | 6,697 | | | | 119,073 | |
Concho Resources, Inc. (1) | | | 4,617 | | | | 638,762 | |
CONSOL Energy, Inc. (1) | | | 4,212 | | | | 161,530 | |
Continental Resources, Inc. (1) | | | 267,039 | | | | 17,293,446 | |
CVR Energy, Inc. | | | 260 | | | | 9,617 | |
Dawson Geophysical Co. (1) | | | 5,268 | | | | 41,617 | |
Delek US Holdings, Inc. | | | 1,702 | | | | 85,389 | |
Denbury Resources, Inc. (1) | | | 61,048 | | | | 293,641 | |
Devon Energy Corp. | | | 16,329 | | | | 717,823 | |
DHT Holdings, Inc. | | | 23,904 | | | | 112,110 | |
| | | | | | | | |
Diamond Offshore Drilling, Inc. (1) | | | 16,766 | | | | 349,739 | |
Diamondback Energy, Inc. | | | 73,021 | | | | 9,607,373 | |
Dorian LPG Ltd. (1) | | | 7,583 | | | | 57,934 | |
Dril-Quip, Inc. (1) | | | 9,889 | | | | 508,295 | |
Earthstone Energy, Inc. (1) | | | 4,746 | | | | 42,002 | |
Eclipse Resources Corp. (1) | | | 12,754 | | | | 20,406 | |
Energen Corp. (1) | | | 325,604 | | | | 23,710,483 | |
Energy Fuels, Inc. (1) | | | 18,665 | | | | 42,370 | |
Energy XXI Gulf Coast, Inc. (1) | | | 7,286 | | | | 64,408 | |
Enerplus Corp. | | | 253,486 | | | | 3,193,924 | |
EP Energy Corp. (1) | | | 9,350 | | | | 28,050 | |
EQT Corp. | | | 292,979 | | | | 16,166,581 | |
Era Group, Inc. (1) | | | 5,585 | | | | 72,326 | |
Exterran Corp. (1) | | | 8,559 | | | | 214,317 | |
Extraction Oil & Gas, Inc. (1) | | | 3,457 | | | | 50,783 | |
Forum Energy Technologies, Inc. (1) | | | 1,049,668 | | | | 12,963,400 | |
Franks International | | | 18,906 | | | | 147,467 | |
Frontline Ltd./Bermuda (1) | | | 19,951 | | | | 116,514 | |
FTS International, Inc. (1) | | | 5,935 | | | | 84,514 | |
GasLog Ltd. | | | 10,688 | | | | 204,141 | |
Golar LNG Ltd. | | | 24,536 | | | | 722,831 | |
Goodrich Petroleum Corp. (1) | | | 761 | | | | 9,414 | |
Green Plains, Inc. | | | 10,227 | | | | 187,154 | |
Gulfmark Offshore, Inc. (1) | | | 942 | | | | 31,557 | |
Gulfport Energy Corp. (1) | | | 154,709 | | | | 1,944,692 | |
Halcon Resources Corp. (1) | | | 34,297 | | | | 150,564 | |
Hallador Energy Co. | | | 3,933 | | | | 28,082 | |
Helix Energy Solutions Group, Inc. (1) | | | 36,105 | | | | 300,755 | |
Helmerich & Payne, Inc. | | | 3,311 | | | | 211,109 | |
Hess Corp. | | | 8,281 | | | | 553,916 | |
HighPoint Resources Corp. (1) | | | 28,182 | | | | 171,347 | |
HollyFrontier Corp. | | | 5,060 | | | | 346,256 | |
Independence Contract Drilling, Inc. (1) | | | 6,085 | | | | 25,070 | |
International Seaways, Inc. (1) | | | 5,643 | | | | 130,579 | |
Isramco, Inc. (1) | | | 152 | | | | 18,681 | |
Jagged Peak Energy, Inc. (1) | | | 262,969 | | | | 3,423,856 | |
Keane Group, Inc. (1) | | | 1,090 | | | | 14,900 | |
Kosmos Energy Ltd. (1) | | | 5,988 | | | | 49,521 | |
Laredo Petroleum, Inc. (1) | | | 189,689 | | | | 1,824,808 | |
Marathon Oil Corp. | | | 26,597 | | | | 554,813 | |
| | | | | | | | |
Marathon Petroleum Corp. | | | 197,883 | | | | 13,883,471 | |
Matador Resources Co. (1) | | | 444,048 | | | | 13,343,642 | |
Matrix Service Co. (1) | | | 6,758 | | | | 124,009 | |
McDermott International, Inc. (1) | | | 199,229 | | | | 3,914,850 | |
Midstates Petroleum Co, Inc. (1) | | | 3,852 | | | | 52,426 | |
Murphy Oil Corp. | | | 5,121 | | | | 172,936 | |
Nabors Industries Ltd. | | | 10,646 | | | | 68,241 | |
NACCO Industries, Inc. | | | 1,033 | | | | 34,864 | |
National Oilwell Varco, Inc. | | | 11,931 | | | | 517,805 | |
Natural Gas Services Group, Inc. (1) | | | 3,034 | | | | 71,602 | |
Navios Maritime Acquisition Corp. | | | 623 | | | | 380 | |
NCS Multistage Holdings, Inc. (1) | | | 2,522 | | | | 36,645 | |
Newfield Exploration Co. (1) | | | 90,848 | | | | 2,748,152 | |
Newpark Resources, Inc. (1) | | | 24,246 | | | | 263,069 | |
Nine Energy Service, Inc. (1) | | | 2,111 | | | | 69,916 | |
Noble Corp. Plc (1) | | | 66,827 | | | | 423,015 | |
Noble Energy, Inc. | | | 182,375 | | | | 6,434,190 | |
Nordic American Tankers Ltd. | | | 37,275 | | | | 99,897 | |
Northern Oil & Gas, Inc. (1) | | | 21,071 | | | | 66,374 | |
Oasis Petroleum, Inc. (1) | | | 69,953 | | | | 907,290 | |
Ocean Rig UDW, Inc. (1) | | | 14,146 | | | | 417,024 | |
Oceaneering International, Inc. | | | 25,612 | | | | 652,082 | |
Oil States International, Inc. (1) | | | 15,463 | | | | 496,362 | |
ONEOK, Inc. | | | 7,501 | | | | 523,795 | |
Overseas Shipholding Group, Inc. (1) | | | 15,928 | | | | 61,801 | |
Panhandle Oil and Gas, Inc. | | | 1,845 | | | | 35,239 | |
Par Petroleum Corp. (1) | | | 7,578 | | | | 131,706 | |
Parsley Energy, Inc. (1) | | | 2,485 | | | | 75,246 | |
Patterson-UTI Energy, Inc. | | | 6,824 | | | | 122,832 | |
PBF Energy, Inc. | | | 67,184 | | | | 2,817,025 | |
PDC Energy, Inc. (1) | | | 17,216 | | | | 1,040,707 | |
Peabody Energy Corp. | | | 21,125 | | | | 960,765 | |
PHI, Inc. (1) | | | 2,985 | | | | 30,357 | |
Pioneer Energy Services Corp. (1) | | | 18,271 | | | | 106,885 | |
Pioneer Natural Resources Co. | | | 51,458 | | | | 9,737,912 | |
QEP Resources, Inc. (1) | | | 1,161,382 | | | | 14,238,543 | |
Quintana Energy Services, Inc. (1) | | | 1,552 | | | | 13,145 | |
Range Resources Corp. | | | 6,587 | | | | 110,201 | |
Renewable Energy Group, Inc. (1) | | | 8,840 | | | | 157,794 | |
Resolute Energy Corp. (1) | | | 5,281 | | | | 164,767 | |
| | | | | | | | |
REX American Resources Corp. (1) | | | 1,482 | | | | 119,998 | |
RigNet, Inc. (1) | | | 3,333 | | | | 34,330 | |
Ring Energy, Inc. (1) | | | 601 | | | | 7,585 | |
Rowan Co. Plc (1) | | | 33,101 | | | | 536,898 | |
RPC, Inc. | | | 1,111 | | | | 16,187 | |
RSP Permian, Inc. (1) | | | 258,246 | | | | 11,367,989 | |
SandRidge Energy, Inc. (1) | | | 8,068 | | | | 143,126 | |
Scorpio Tankers, Inc. | | | 76,147 | | | | 213,973 | |
SEACOR Holdings, Inc. (1) | | | 4,507 | | | | 258,116 | |
SEACOR Marine Holdings, Inc. (1) | | | 4,277 | | | | 98,756 | |
Select Energy Services, Inc. (1) | | | 393,758 | | | | 5,721,304 | |
SemGroup Corp. | | | 20,545 | | | | 521,843 | |
Ship Finance International Ltd. | | | 21,569 | | | | 322,457 | |
SilverBow Resources, Inc. (1) | | | 1,833 | | | | 52,937 | |
SM Energy Co. | | | 3,467 | | | | 89,067 | |
Smart Sand, Inc. (1) | | | 5,753 | | | | 30,548 | |
Southwestern Energy Co. (1) | | | 155,647 | | | | 824,929 | |
SRC Energy, Inc. (1) | | | 251,300 | | | | 2,769,326 | |
Superior Energy Services, Inc. (1) | | | 351,211 | | | | 3,420,795 | |
Talos Energy, Inc. (1) | | | 5,350 | | | | 171,895 | |
Targa Resources Corp. | | | 6,756 | | | | 334,354 | |
TechnipFMC Plc | | | 138,278 | | | | 4,388,944 | |
Teekay Corp. | | | 17,762 | | | | 137,655 | |
Teekay Tankers Ltd. | | | 51,576 | | | | 60,344 | |
TETRA Technologies, Inc. (1) | | | 4,488 | | | | 19,972 | |
The Williams Companies, Inc. | | | 25,890 | | | | 701,878 | |
Tidewater, Inc. (1) | | | 6,192 | | | | 179,135 | |
Transocean Ltd. (1) | | | 13,389 | | | | 179,948 | |
Ultra Petroleum Corp. (1) | | | 41,319 | | | | 95,447 | |
Unit Corp. (1) | | | 13,648 | | | | 348,843 | |
US Silica Holdings, Inc. | | | 8,102 | | | | 208,140 | |
Valero Energy Corp. | | | 60,900 | | | | 6,749,547 | |
W&T Offshore, Inc. (1) | | | 24,034 | | | | 171,843 | |
Weatherford International Plc (1) | | | 31,663 | | | | 104,171 | |
Whiting Petroleum Corp. (1) | | | 2,800 | | | | 147,616 | |
WildHorse Resource Development Corp. (1) | | | 579 | | | | 14,683 | |
World Fuel Services Corp. | | | 17,361 | | | | 354,338 | |
WPX Energy, Inc. (1) | | | 2,054,800 | | | | 37,048,044 | |
| | | | | | | | |
| | | | | | | 315,215,160 | |
| | | | | | | | |
| | | | | | | | |
Financials - 23.45% | | | | | | | | |
1st Constitution Bancorp | | | 1,659 | | | | 37,991 | |
1st Source Corp. | | | 4,088 | | | | 218,422 | |
Access National Corp. | | | 4,026 | | | | 115,144 | |
ACNB Corp. | | | 1,896 | | | | 64,559 | |
Affiliated Managers Group, Inc. | | | 1,692 | | | | 251,550 | |
AG Mortgage Investment Trust, Inc. | | | 7,563 | | | | 142,109 | |
AGNC Investment Corp. | | | 13,159 | | | | 244,626 | |
Alleghany Corp. | | | 32,554 | | | | 18,717,573 | |
Allegiance Bancshares, Inc. (1) | | | 45,996 | | | | 1,993,927 | |
Allstate Corp. | | | 180,149 | | | | 16,442,199 | |
Ally Financial, Inc. | | | 194,670 | | | | 5,113,981 | |
Ambac Financial Group, Inc. (1) | | | 5,408 | | | | 107,349 | |
American Equity Investment Life Holding Co. | | | 22,047 | | | | 793,692 | |
American Financial Group, Inc. | | | 28,146 | | | | 3,020,910 | |
American National Bankshares, Inc. | | | 2,222 | | | | 88,880 | |
American National Insurance Co. | | | 231 | | | | 27,625 | |
Ameriprise Financial, Inc. | | | 46,984 | | | | 6,572,122 | |
AMERISAFE, Inc. | | | 4,913 | | | | 283,726 | |
Ames National Corp. | | | 2,142 | | | | 66,081 | |
AmTrust Financial Services, Inc. | | | 24,712 | | | | 360,054 | |
Annaly Capital Management, Inc. | | | 324,336 | | | | 3,337,417 | |
Anworth Mortgage Asset Corp. | | | 26,237 | | | | 130,398 | |
Aon Plc | | | 86,929 | | | | 11,924,051 | |
Apollo Commercial Real Estate Finance, Inc. | | | 32,305 | | | | 590,535 | |
Arbor Realty Trust, Inc. | | | 5,719 | | | | 59,649 | |
Arch Capital Group Ltd. (1) | | | 10,180 | | | | 269,363 | |
Ares Capital Corp. | | | 1,209,900 | | | | 19,902,855 | |
Ares Commercial Real Estate Corp. | | | 6,713 | | | | 92,707 | |
Argo Group International Holdings Ltd. | | | 8,553 | | | | 497,357 | |
Arlington Asset Investment Corp. | | | 7,622 | | | | 78,583 | |
ARMOUR Residential REIT, Inc. | | | 10,706 | | | | 244,204 | |
Arrow Financial Corp. | | | 3,026 | | | | 110,146 | |
Arthur J. Gallagher & Co. | | | 185,654 | | | | 12,119,493 | |
Aspen Insurance Holdings Ltd. | | | 1,840 | | | | 74,888 | |
Associated Banc Corp. | | | 5,282 | | | | 144,199 | |
Associated Capital Group, Inc. | | | 870 | | | | 33,016 | |
Assurant, Inc. | | | 1,637 | | | | 169,413 | |
Assured Guaranty Ltd. | | | 77,150 | | | | 2,756,570 | |
Athene Holding Ltd. (1) | | | 254,408 | | | | 11,153,247 | |
Atlantic Capital Bancshares, Inc. (1) | | | 257,976 | | | | 5,069,228 | |
| | | | | | | | |
Auburn National Bancorporation, Inc. | | | 527 | | | | 26,144 | |
AXA Equitable Holdings, Inc. (1) | | | 4,278 | | | | 88,170 | |
Axis Capital Holdings Ltd. | | | 2,287 | | | | 127,203 | |
B. Riley Financial, Inc. | | | 5,436 | | | | 122,582 | |
Baldwin & Lyons, Inc. | | | 2,796 | | | | 68,222 | |
Banc of California, Inc. | | | 404,320 | | | | 7,904,456 | |
BancFirst Corp. | | | 3,621 | | | | 214,363 | |
Banco Latinoamericano De Comerico | | | 46,087 | | | | 1,134,201 | |
BancorpSouth Bank | | | 557,942 | | | | 18,384,189 | |
Bank of Commerce Holdings | | | 3,616 | | | | 46,104 | |
Bank of Hawaii Corp. | | | 1,300 | | | | 108,446 | |
Bank of Marin Bancorp | | | 1,777 | | | | 143,670 | |
Bank of NT Butterfield & Son Ltd. | | | 541,625 | | | | 24,763,095 | |
Bank of Princeton/The (1) | | | 1,348 | | | | 44,821 | |
Bank of the Ozarks, Inc. | | | 3,778 | | | | 170,161 | |
BankFinancial Corp. | | | 3,674 | | | | 64,846 | |
BankUnited, Inc. | | | 357,829 | | | | 14,617,315 | |
Bankwell Financial Group, Inc. | | | 1,295 | | | | 41,634 | |
Banner Corp. | | | 8,339 | | | | 501,424 | |
Bar Harbor Bankshares | | | 3,874 | | | | 117,343 | |
Baycom Corp. (1) | | | 2,689 | | | | 66,553 | |
BCB Bancorp, Inc. | | | 3,905 | | | | 58,575 | |
Beneficial Bancorp, Inc. | | | 17,931 | | | | 290,482 | |
Berkshire Hills Bancorp, Inc. | | | 10,706 | | | | 434,664 | |
BGC Partners, Inc. | | | 8,163 | | | | 92,405 | |
Blackstone Mortgage Trust, Inc. | | | 26,504 | | | | 833,021 | |
Blue Hills Bancorp, Inc. | | | 3,369 | | | | 74,792 | |
BOK Financial Corp. | | | 809 | | | | 76,054 | |
Boston Private Financial Holdings, Inc. | | | 22,451 | | | | 356,971 | |
Bridge Bancorp, Inc. | | | 4,415 | | | | 158,719 | |
Bridgewater Bancshares, Inc. (1) | | | 1,227 | | | | 15,607 | |
Brighthouse Financial, Inc. (1) | | | 3,744 | | | | 150,022 | |
BrightSphere Investment Group Plc | | | 3,348 | | | | 47,742 | |
Brookline Bancorp, Inc. | | | 20,446 | | | | 380,296 | |
Brown & Brown, Inc. | | | 6,775 | | | | 187,871 | |
Bryn Mawr Bank Corp. | | | 4,999 | | | | 231,454 | |
BSB Bancorp, Inc. (1) | | | 1,500 | | | | 51,600 | |
Business First Bancshares, Inc. | | | 2,284 | | | | 60,183 | |
Byline Bancorp, Inc. (1) | | | 4,124 | | | | 92,130 | |
C&F Financial Corp. | | | 905 | | | | 56,608 | |
| | | | | | | | |
Cadence BanCorp | | | 8,125 | | | | 234,569 | |
Cambridge Bancorp | | | 522 | | | | 45,174 | |
Camden National Corp. | | | 4,064 | | | | 185,765 | |
Cannae Holdings, Inc. (1) | | | 786,227 | | | | 14,584,511 | |
Capital City Bank Group, Inc. | | | 3,106 | | | | 73,395 | |
Capitol Federal Financial, Inc. | | | 33,921 | | | | 446,400 | |
Capstar Financial Holdings, Inc. (1) | | | 1,325 | | | | 24,552 | |
Capstead Mortgage Corp. | | | 24,261 | | | | 217,136 | |
Carolina Financial Corp. | | | 1,435 | | | | 61,590 | |
Cathay General Bancorp | | | 108,164 | | | | 4,379,560 | |
CB Financial Services, Inc. | | | 1,097 | | | | 37,737 | |
CBOE Holdings, Inc. | | | 255 | | | | 26,538 | |
CBTX, Inc. | | | 4,756 | | | | 157,186 | |
CenterState Bank Corp. | | | 213,114 | | | | 6,355,059 | |
Central Pacific Financial Corp. | | | 5,987 | | | | 171,528 | |
Central Valley Community Bancorp | | | 2,778 | | | | 58,782 | |
Century Bancorp, Inc. | | | 731 | | | | 55,848 | |
Charter Financial Corp. | | | 2,579 | | | | 62,283 | |
Chemical Financial Corp. | | | 258,310 | | | | 14,380,118 | |
Chemung Financial Corp. | | | 924 | | | | 46,302 | |
Cherry Hill Mortgage Investment Corp. | | | 3,166 | | | | 56,545 | |
Chimera Investment Corp. | | | 117,820 | | | | 2,153,750 | |
Cincinnati Financial Corp. | | | 4,801 | | | | 320,995 | |
CIT Group, Inc. | | | 44,672 | | | | 2,251,916 | |
Citizens & Northern Corp. | | | 3,069 | | | | 79,364 | |
Citizens Financial Group, Inc. | | | 213,454 | | | | 8,303,361 | |
Citizens, Inc. (1) | | | 14,096 | | | | 109,808 | |
City Holding Company | | | 3,517 | | | | 264,584 | |
Civista Bancshares, Inc. | | | 2,707 | | | | 65,618 | |
CNA Financial Corp. | | | 105,954 | | | | 4,839,979 | |
CNB Financial Corporation, Inc. | | | 3,517 | | | | 105,721 | |
CNO Financial Group, Inc. | | | 34,795 | | | | 662,497 | |
CoBiz Financial, Inc. | | | 731 | | | | 15,702 | |
Codorus Valley Bancorp, Inc. | | | 2,319 | | | | 71,147 | |
Colony Credit Real Estate, Inc. | | | 22,573 | | | | 467,938 | |
Columbia Banking System, Inc. | | | 19,382 | | | | 792,724 | |
Columbia Financial, Inc. (1) | | | 12,804 | | | | 211,906 | |
Comerica, Inc. | | | 5,044 | | | | 458,600 | |
Commerce Bancshares, Inc. | | | 2,964 | | | | 191,800 | |
Community Bank System, Inc. | | | 13,063 | | | | 771,631 | |
| | | | | | | | |
Community Bankers Trust Corp. (1) | | | 5,032 | | | | 45,036 | |
Community Financial Corp. | | | 1,261 | | | | 44,589 | |
Community Trust Bancorp, Inc. | | | 4,093 | | | | 204,445 | |
ConnectOne Bancorp, Inc. | | | 5,700 | | | | 141,930 | |
County Bancorp, Inc. | | | 1,353 | | | | 37,207 | |
Cowen, Inc. (1) | | | 4,191 | | | | 58,045 | |
Crawford & Co. | | | 3,541 | | | | 30,630 | |
Credit Acceptance Corp. (1) | | | 27 | | | | 9,542 | |
Cullen/Frost Bankers, Inc. | | | 1,785 | | | | 193,208 | |
Customers Bancorp, Inc. (1) | | | 5,185 | | | | 147,150 | |
CVB Financial Corp. | | | 601,417 | | | | 13,483,769 | |
CYS Investments, Inc. | | | 40,439 | | | | 303,292 | |
Dime Community Bancshares, Inc. | | | 8,757 | | | | 170,761 | |
Discover Financial Services | | | 372,193 | | | | 26,206,109 | |
Donegal Group, Inc. | | | 2,862 | | | | 38,952 | |
Donnelley Financial Solutions, Inc. (1) | | | 4,617 | | | | 80,197 | |
Dynex Capital, Inc. | | | 15,436 | | | | 100,797 | |
E*TRADE Financial Corp. (1) | | | 180,248 | | | | 11,023,968 | |
Eagle Bancorp, Inc. (1) | | | 1,690 | | | | 103,597 | |
East West Bancorp, Inc. | | | 295,045 | | | | 19,236,934 | |
eHealth, Inc. (1) | | | 4,847 | | | | 107,119 | |
EMC Insurance Group, Inc. | | | 2,554 | | | | 70,950 | |
Employers Holdings, Inc. | | | 8,575 | | | | 344,715 | |
Encore Capital Group, Inc. (1) | | | 6,875 | | | | 251,625 | |
Enstar Group Ltd. (1) | | | 73,379 | | | | 15,211,467 | |
Entegra Financial Corp. (1) | | | 1,732 | | | | 50,748 | |
Enterprise Bancorp, Inc. | | | 2,312 | | | | 93,474 | |
Enterprise Financial Services Corp. | | | 3,961 | | | | 213,696 | |
Equity Bancshares, Inc. (1) | | | 2,284 | | | | 94,740 | |
Erie Indemnity Co. | | | 183 | | | | 21,459 | |
Esquire Financial Holdings, Inc. (1) | | | 694 | | | | 18,315 | |
ESSA Bancorp, Inc. | | | 2,643 | | | | 41,839 | |
Essent Group Ltd. (1) | | | 110,617 | | | | 3,962,301 | |
Evans Bancorp, Inc. | | | 1,109 | | | | 51,125 | |
Everest Re Group Ltd. | | | 62,992 | | | | 14,518,396 | |
Exantas Capital Corp. | | | 8,070 | | | | 82,153 | |
EZCORP, Inc. (1) | | | 13,288 | | | | 160,120 | |
F.N.B. Corp. | | | 735,657 | | | | 9,872,517 | |
Farmers & Merchants Bancorp, Inc. | | | 249 | | | | 10,047 | |
Farmers Capital Bank Corp. | | | 1,963 | | | | 102,272 | |
| | | | | | | | |
Farmers National Banc Corp. | | | 6,874 | | | | 109,640 | |
FB Financial Corp. | | | 1,727 | | | | 70,323 | |
FBL Financial Group, Inc. | | | 2,730 | | | | 214,987 | |
FCB Financial Holdings, Inc. (1) | | | 341,378 | | | | 20,073,026 | |
Federal Agricultural Mortgage Corp. | | | 1,713 | | | | 153,279 | |
Federated Investors, Inc. | | | 2,928 | | | | 68,281 | |
FedNat Holding Co. | | | 1,481 | | | | 34,167 | |
Ferroglobe Representation & Warranty Insurance Trust (1)(3) | | | 11,189 | | | | – | |
FGL Holdings (1) | | | 38,350 | | | | 321,757 | |
Fidelity D&D Bancorp, Inc. | | | 499 | | | | 30,933 | |
Fidelity Southern Corp. | | | 5,754 | | | | 146,209 | |
Fifth Third Bancorp | | | 721,792 | | | | 20,715,430 | |
Financial Institutions, Inc. | | | 3,978 | | | | 130,876 | |
First American Financial Corp. | | | 299,006 | | | | 15,464,590 | |
First Bancorp NC | | | 7,612 | | | | 311,407 | |
First Bancorp PR (1) | | | 55,370 | | | | 423,580 | |
First Bancorp, Inc. | | | 2,843 | | | | 80,229 | |
First Bancshares, Inc. | | | 3,081 | | | | 110,762 | |
First Bank/Hamilton NJ | | | 3,178 | | | | 44,174 | |
First Busey Corp. | | | 11,234 | | | | 356,342 | |
First Business Financial Services, Inc. | | | 2,069 | | | | 53,794 | |
First Choice Bancorp | | | 1,551 | | | | 47,399 | |
First Citizens Bancshares, Inc. | | | 246 | | | | 99,212 | |
First Commonwealth Financial Corp. | | | 26,004 | | | | 403,322 | |
First Community Bancshares, Inc. | | | 4,236 | | | | 134,959 | |
First Community Corp/SC | | | 1,667 | | | | 41,842 | |
First Connecticut Bancorp, Inc. | | | 2,817 | | | | 86,200 | |
First Defiance Financial Corp. | | | 2,641 | | | | 177,105 | |
First Financial Bancorp | | | 24,864 | | | | 762,082 | |
First Financial Corp. | | | 3,205 | | | | 145,347 | |
First Financial Northwest, Inc. | | | 1,686 | | | | 32,911 | |
First Foundation, Inc. (1) | | | 5,844 | | | | 108,348 | |
First Guaranty Bancshares, Inc. | | | 1,101 | | | | 28,648 | |
First Hawaiian, Inc. | | | 2,140 | | | | 62,103 | |
First Horizon National Corp. | | | 10,072 | | | | 179,684 | |
First Internet Bancorp | | | 2,262 | | | | 77,134 | |
First Interstate BancSystem, Inc. | | | 8,902 | | | | 375,664 | |
First Merchants Corp. | | | 13,169 | | | | 611,042 | |
First Mid-Illinois Bancshares, Inc. | | | 3,022 | | | | 118,765 | |
First Midwest Bancorp, Inc. | | | 26,762 | | | | 681,628 | |
| | | | | | | | |
First Northwest Bancorp (1) | | | 2,269 | | | | 36,236 | |
First of Long Island Corp. | | | 6,305 | | | | 156,667 | |
First Republic Bank | | | 5,011 | | | | 485,015 | |
First Savings Financial Group, Inc. | | | 338 | | | | 24,840 | |
First United Corp. | | | 1,670 | | | | 34,151 | |
Flagstar Bancorp, Inc. (1) | | | 8,106 | | | | 277,712 | |
Flushing Financial Corp. | | | 7,269 | | | | 189,721 | |
FNB Bancorp | | | 956 | | | | 35,057 | |
FNF Group | | | 8,253 | | | | 310,478 | |
Franklin Financial Network, Inc. (1) | | | 3,307 | | | | 124,343 | |
Franklin Resources, Inc. | | | 9,878 | | | | 316,590 | |
FS Bancorp, Inc. | | | 286 | | | | 18,089 | |
Fulton Financial Corp. | | | 45,265 | | | | 746,872 | |
GAIN Capital Holdings, Inc. | | | 7,305 | | | | 55,153 | |
GAMCO Investors, Inc. | | | 1,235 | | | | 33,049 | |
Genworth Financial, Inc. (1) | | | 131,526 | | | | 591,867 | |
German American Bancorp, Inc. | | | 4,214 | | | | 151,072 | |
Glacier Bancorp, Inc. | | | 327,507 | | | | 12,667,971 | |
Global Indemnity Ltd. | | | 1,879 | | | | 73,243 | |
Goosehead Insurance, Inc. (1) | | | 2,550 | | | | 63,648 | |
Granite Point Mortgage Trust, Inc. | | | 9,317 | | | | 170,967 | |
Great Ajax Corp. | | | 4,219 | | | | 55,185 | |
Great Southern Bancorp, Inc. | | | 2,866 | | | | 163,935 | |
Great Western Bancorp, Inc. | | | 15,474 | | | | 649,753 | |
Green Bancorp, Inc. | | | 4,734 | | | | 102,254 | |
Greene County Bancorp, Inc. | | | 160 | | | | 5,424 | |
Greenhill & Co, Inc. | | | 692 | | | | 19,653 | |
Greenlight Capital Re Ltd. (1) | | | 8,256 | | | | 117,235 | |
Guaranty Bancorp | | | 1,263 | | | | 37,637 | |
Guaranty Bancshares, Inc. | | | 1,861 | | | | 61,301 | |
Hallmark Financial Services, Inc. (1) | | | 3,452 | | | | 34,451 | |
Hancock Whitney Corp. | | | 22,464 | | | | 1,047,946 | |
Hanmi Financial Corp. | | | 7,381 | | | | 209,251 | |
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | | | 13,374 | | | | 264,136 | |
Hanover Insurance Group, Inc. | | | 1,325 | | | | 158,417 | |
HarborOne Bancorp, Inc. (1) | | | 2,044 | | | | 38,713 | |
Harford Financial Services Group, Inc. | | | 245,774 | | | | 12,566,425 | |
HCI Group, Inc. | | | 1,911 | | | | 79,440 | |
Heartland Financial USA, Inc. | | | 7,903 | | | | 433,480 | |
Heritage Commerce Corp. | | | 1,477 | | | | 25,094 | |
| | | | | | | | |
Heritage Financial Corp. | | | 160,139 | | | | 5,580,844 | |
Heritage Insurance Holdings, Inc. | | | 4,763 | | | | 79,399 | |
Hilltop Holdings, Inc. | | | 19,335 | | | | 426,723 | |
Hingham Institution for Savings | | | 183 | | | | 40,205 | |
Home Bancorp, Inc. | | | 2,013 | | | | 93,705 | |
Home Bancshares, Inc. | | | 32,541 | | | | 734,125 | |
HomeStreet, Inc. (1) | | | 6,569 | | | | 177,035 | |
HomeTrust Bancshares, Inc. (1) | | | 3,370 | | | | 94,865 | |
Hope Bancorp, Inc. | | | 34,219 | | | | 610,125 | |
Horace Mann Educators Corp. | | | 205,396 | | | | 9,160,662 | |
Horizon Bancorp | | | 792,147 | | | | 16,389,521 | |
Howard Bancorp, Inc. (1) | | | 2,662 | | | | 47,916 | |
Huntington Bancshares, Inc. | | | 1,241,184 | | | | 18,319,876 | |
IBERIABANK Corp. | | | 220,162 | | | | 16,688,280 | |
Impac Mortgage Holdings, Inc. (1) | | | 2,960 | | | | 28,209 | |
Independence Holding Co. | | | 1,452 | | | | 48,279 | |
Independent Bank Corp. | | | 201,454 | | | | 15,793,994 | |
Independent Bank Corp. MI | | | 4,247 | | | | 108,298 | |
Independent Bank Group, Inc. | | | 4,138 | | | | 276,418 | |
Infinity Property & Casualty Corp. | | | 2,515 | | | | 358,010 | |
Interactive Brokers Group, Inc. | | | 200 | | | | 12,882 | |
International Bancshares Corp. | | | 14,496 | | | | 620,429 | |
INTL FCStone, Inc. (1) | | | 4,099 | | | | 211,959 | |
Invesco Ltd. | | | 12,661 | | | | 336,276 | |
Invesco Mortgage Capital, Inc. | | | 29,571 | | | | 470,179 | |
Investar Holding Corp. | | | 1,449 | | | | 40,065 | |
Investment Technology Group, Inc. | | | 7,618 | | | | 159,369 | |
Investors Bancorp, Inc. | | | 65,647 | | | | 839,625 | |
Investors Title Co. | | | 294 | | | | 54,290 | |
James River Group Holdings Ltd. | | | 3,573 | | | | 140,383 | |
Jefferies Financial Group, Inc. | | | 9,687 | | | | 220,282 | |
Kearny Financial Corp. | | | 17,412 | | | | 234,191 | |
Kemper Corp. | | | 2,931 | | | | 221,730 | |
KeyCorp | | | 676,907 | | | | 13,226,763 | |
Kingstone Cos, Inc. | | | 1,887 | | | | 31,890 | |
KKR Real Estate Finance Trust, Inc. | | | 3,824 | | | | 75,639 | |
Ladder Capital Corp. | | | 22,498 | | | | 351,419 | |
Ladenburg Thalmann Financial Services, Inc. | | | 3,838 | | | | 13,049 | |
Lakeland Bancorp, Inc. | | | 11,747 | | | | 233,178 | |
Lakeland Financial Corp. | | | 1,839 | | | | 88,621 | |
| | | | | | | | |
Lazard Ltd. | | | 71,818 | | | | 3,512,618 | |
LCNB Corp. | | | 2,225 | | | | 43,832 | |
LegacyTexas Financial Group, Inc. | | | 170,350 | | | | 6,647,057 | |
Legg Mason, Inc. | | | 107,109 | | | | 3,719,896 | |
LendingClub Corp. (1) | | | 82,129 | | | | 311,269 | |
Level One Bancorp, Inc. | | | 352 | | | | 9,567 | |
Lincoln National Corp. | | | 88,125 | | | | 5,485,781 | |
Live Oak Bancshares, Inc. | | | 3,095 | | | | 94,862 | |
Loews Corp. | | | 256,888 | | | | 12,402,553 | |
Luther Burbank Corp. | | | 4,028 | | | | 46,342 | |
M&T Bank Corp. | | | 4,530 | | | | 770,779 | |
Macatawa Bank Corp. | | | 6,596 | | | | 80,075 | |
Maiden Holdings Ltd. | | | 10,276 | | | | 79,639 | |
Malvern Bancorp, Inc. (1) | | | 1,427 | | | | 34,747 | |
Markel Corp. (1) | | | 388 | | | | 420,728 | |
Marlin Business Services Corp. | | | 1,617 | | | | 48,267 | |
Marsh & McLennan Companies, Inc. | | | 61,198 | | | | 5,016,400 | |
MB Financial, Inc. | | | 19,965 | | | | 932,365 | |
MBIA, Inc. (1) | | | 20,769 | | | | 187,752 | |
MBT Financial Corp. | | | 4,458 | | | | 47,478 | |
Mercantile Bank Corp. | | | 4,262 | | | | 157,524 | |
Merchants Bancorp | | | 2,886 | | | | 82,338 | |
Mercury General Corp. | | | 853 | | | | 38,863 | |
Meridian Bancorp, Inc. | | | 10,510 | | | | 201,267 | |
Metropolitan Bank Holding Corp. (1) | | | 1,668 | | | | 87,537 | |
MFA Financial, Inc. | | | 12,427 | | | | 94,197 | |
MGIC Investment Corp. (1) | | | 561,903 | | | | 6,023,600 | |
Mid Penn Bancorp, Inc. | | | 860 | | | | 30,014 | |
Middlefield Banc Corp. | | | 824 | | | | 41,777 | |
Midland States Bancorp, Inc. | | | 2,761 | | | | 94,592 | |
MidSouth Bancorp, Inc. | | | 3,894 | | | | 51,596 | |
MidWestOne Financial Group, Inc. | | | 2,830 | | | | 95,597 | |
Moody’s Corp. | | | 40,413 | | | | 6,892,841 | |
MTGE Investment Corp. | | | 11,205 | | | | 219,618 | |
MutualFirst Financial, Inc. | | | 1,495 | | | | 56,436 | |
MVB Financial Corp. | | | 1,944 | | | | 35,089 | |
Nasdaq OMX Group, Inc. | | | 144,789 | | | | 13,214,892 | |
National Bank Holdings Corp. | | | 4,886 | | | | 188,551 | |
National Bankshares, Inc. | | | 1,778 | | | | 82,499 | |
National Commerce Corp. (1) | | | 2,062 | | | | 95,471 | |
| | | | | | | | |
National General Holdings Corp. | | | 79,814 | | | | 2,101,503 | |
National Western Life Group, Inc. - Class A | | | 626 | | | | 192,345 | |
Nationstar Mortgage Holdings, Inc. (1) | | | 7,939 | | | | 139,171 | |
Navient Corp. | | | 580,613 | | | | 7,565,387 | |
Navigators Group, Inc. | | | 257,379 | | | | 14,670,603 | |
NBT Bancorp, Inc. | | | 11,181 | | | | 426,555 | |
Nelnet, Inc. | | | 4,863 | | | | 284,048 | |
New Residential Investment Corp. | | | 1,211,935 | | | | 21,196,743 | |
New York Community Bancorp, Inc. | | | 14,893 | | | | 164,419 | |
New York Mortgage Trust, Inc. | | | 155,070 | | | | 931,971 | |
NI Holdings, Inc. (1) | | | 3,104 | | | | 52,613 | |
Nicolet Bankshares, Inc. (1) | | | 2,181 | | | | 120,195 | |
NMI Holdings, Inc. (1) | | | 2,788 | | | | 45,444 | |
Northeast Bancorp | | | 1,590 | | | | 34,662 | |
Northern Trust Corp. | | | 4,662 | | | | 479,673 | |
Northfield Bancorp, Inc. | | | 10,866 | | | | 180,593 | |
Northrim BanCorp, Inc. | | | 1,682 | | | | 66,523 | |
Northwest Bancshares, Inc. | | | 24,809 | | | | 431,429 | |
Norwood Financial Corp. | | | 1,405 | | | | 50,608 | |
Oak Valley Bancorp | | | 1,218 | | | | 27,856 | |
OceanFirst Financial Corp. | | | 12,208 | | | | 365,752 | |
Oconee Federal Financial Corp. | | | 152 | | | | 4,399 | |
Ocwen Financial Corp. (1) | | | 30,443 | | | | 120,554 | |
OFG Bancorp | | | 11,443 | | | | 160,774 | |
Ohio Valley Banc Corp. | | | 1,009 | | | | 52,922 | |
Old Line Bancshares, Inc. | | | 3,439 | | | | 120,055 | |
Old National Bancorp | | | 40,117 | | | | 746,176 | |
Old Republic International Corp. | | | 141,824 | | | | 2,823,716 | |
Old Second Bancorp, Inc. | | | 7,399 | | | | 106,546 | |
On Deck Capital, Inc. (1) | | | 2,025 | | | | 14,175 | |
OneMain Holdings, Inc. (1) | | | 2,217 | | | | 73,804 | |
OP Bancorp (1) | | | 2,391 | | | | 30,414 | |
Oppenheimer Holdings, Inc. | | | 2,715 | | | | 76,020 | |
Opus Bank | | | 5,043 | | | | 144,734 | |
Orchid Island Capital, Inc. | | | 13,995 | | | | 105,242 | |
Origin Bancorp, Inc. | | | 2,699 | | | | 110,497 | |
Oritani Financial Corp. | | | 10,501 | | | | 170,116 | |
Orrstown Financial Services, Inc. | | | 1,764 | | | | 45,864 | |
Owens Realty Mortgage, Inc. | | | 119 | | | | 1,985 | |
Pacific Mercantile Bancorp (1) | | | 4,189 | | | | 40,843 | |
| | | | | | | | |
Pacific Premier Bancorp, Inc. (1) | | | 7,861 | | | | 299,897 | |
PacWest Bancorp | | | 250,314 | | | | 12,370,518 | |
Park National Corp. | | | 3,486 | | | | 388,410 | |
Parke Bancorp, Inc. | | | 1,883 | | | | 44,533 | |
PCSB Financial Corp. | | | 3,870 | | | | 76,897 | |
PDL Community Bancorp (1) | | | 2,021 | | | | 31,750 | |
Peapack Gladstone Financial Corp. | | | 4,702 | | | | 162,642 | |
PennantPark Investment Corp. | | | 163,500 | | | | 1,145,318 | |
Penns Woods Bancorp, Inc. | | | 1,092 | | | | 48,900 | |
PennyMac Mortgage Investment Trust | | | 16,174 | | | | 307,144 | |
Peoples Bancorp of North Carolina, Inc. | | | 1,204 | | | | 38,564 | |
Peoples Bancorp, Inc. | | | 4,420 | | | | 166,988 | |
Peoples Financial Services Corp. | | | 1,883 | | | | 88,539 | |
People’s United Financial, Inc. | | | 10,831 | | | | 195,933 | |
PHH Corp. (1) | | | 8,872 | | | | 96,350 | |
Pinnacle Financial Partners, Inc. | | | 1,332 | | | | 81,718 | |
Piper Jaffray Cos. | | | 25,529 | | | | 1,961,904 | |
PJT Partners, Inc. | | | 422 | | | | 22,531 | |
Popular, Inc. | | | 43,647 | | | | 1,973,281 | |
PRA Group, Inc. (1) | | | 11,565 | | | | 445,831 | |
Premier Financial Bancorp, Inc. | | | 3,121 | | | | 58,269 | |
Principal Financial Group, Inc. | | | 39,141 | | | | 2,072,516 | |
ProAssurance Corp. | | | 13,758 | | | | 487,721 | |
Prospect Capital Corp. | | | 136,400 | | | | 915,244 | |
Prosperity Bancshares, Inc. | | | 2,077 | | | | 141,984 | |
Provident Bancorp, Inc. (1) | | | 1,087 | | | | 28,479 | |
Provident Financial Services, Inc. | | | 16,245 | | | | 447,225 | |
Prudential Bancorp, Inc. | | | 2,311 | | | | 44,602 | |
QCR Holdings, Inc. | | | 3,263 | | | | 154,829 | |
Radian Group, Inc. | | | 283,880 | | | | 4,604,534 | |
Raymond James Financial, Inc. | | | 174,105 | | | | 15,556,282 | |
RBB Bancorp | | | 3,431 | | | | 110,204 | |
Redwood Trust, Inc. | | | 19,703 | | | | 324,508 | |
Regional Management Corp. (1) | | | 1,355 | | | | 47,452 | |
Regions Financial Corp. | | | 1,008,810 | | | | 17,936,642 | |
Reinsurance Group of America, Inc. | | | 256,554 | | | | 34,244,828 | |
Reliant Bancorp, Inc. | | | 2,333 | | | | 65,441 | |
RenaissanceRe Holdings Ltd. | | | 1,135 | | | | 136,563 | |
Renasant Corp. | | | 12,540 | | | | 570,821 | |
Republic Bancorp, Inc. | | | 2,569 | | | | 116,376 | |
| | | | | | | | |
Republic First Bancorp, Inc. (1) | | | 9,781 | | | | 76,781 | |
Riverview Bancorp, Inc. | | | 5,400 | | | | 45,576 | |
RLI Corp. | | | 1,838 | | | | 121,657 | |
S & T Bancorp, Inc. | | | 8,964 | | | | 387,603 | |
Safety Insurance Group, Inc. | | | 3,945 | | | | 336,903 | |
Sandy Spring Bancorp, Inc. | | | 8,937 | | | | 366,506 | |
Santander Consumer USA Holdings, Inc. | | | 3,148 | | | | 60,095 | |
SB One Bancorp | | | 1,726 | | | | 51,262 | |
Seacoast Banking Corp. of Florida (1) | | | 9,812 | | | | 309,863 | |
SEI Investments Co. | | | 182,325 | | | | 11,398,959 | |
Select Bancorp, Inc. (1) | | | 2,394 | | | | 32,247 | |
Selective Insurance Group, Inc. | | | 233,012 | | | | 12,815,660 | |
Shore Bancshares, Inc. | | | 3,267 | | | | 62,138 | |
SI Financial Group, Inc. | | | 2,701 | | | | 39,840 | |
Sierra Bancorp | | | 3,542 | | | | 100,026 | |
Signature Bank (1) | | | 631 | | | | 80,692 | |
Simmons First National Corp. | | | 24,040 | | | | 718,796 | |
SLM Corp. (1) | | | 678,449 | | | | 7,768,241 | |
SmartFinancial, Inc. (1) | | | 2,833 | | | | 72,978 | |
South State Corp. | | | 94,294 | | | | 8,132,858 | |
Southern First Bancshares, Inc. (1) | | | 1,547 | | | | 68,377 | |
Southern Missouri Bancorp, Inc. | | | 1,745 | | | | 68,090 | |
Southern National Bancorp of Virginia, Inc. | | | 5,225 | | | | 93,214 | |
Southside Bancshares, Inc. | | | 8,554 | | | | 288,107 | |
Spirit of Texas Bancshares, Inc. (1) | | | 572 | | | | 11,783 | |
Starwood Property Trust, Inc. | | | 88,352 | | | | 1,918,122 | |
State Auto Financial Corp. | | | 4,583 | | | | 137,078 | |
State Bank Financial Corp. | | | 6,495 | | | | 216,933 | |
State Street Corp. | | | 80,026 | | | | 7,449,620 | |
Sterling Bancorp | | | 6,937 | | | | 163,020 | |
Sterling Bancorp, Inc. | | | 1,866 | | | | 24,930 | |
Stewart Information Services Corp. | | | 6,123 | | | | 263,718 | |
Stifel Financial Corp. | | | 18,213 | | | | 951,629 | |
Stock Yards Bancorp, Inc. | | | 4,547 | | | | 173,468 | |
Summit Financial Group, Inc. | | | 2,931 | | | | 78,668 | |
SunTrust Banks, Inc. | | | 338,224 | | | | 22,329,548 | |
Sutherland Asset Management Corp. | | | 5,397 | | | | 87,701 | |
SVB Financial Group (1) | | | 382 | | | | 110,306 | |
Synchrony Financial | | | 730,898 | | | | 24,397,375 | |
Synovus Financial Corp. | | | 3,376 | | | | 178,354 | |
| | | | | | | | |
T. Rowe Price Group, Inc. | | | 520 | | | | 60,367 | |
TCF Financial Corp. | | | 174,249 | | | | 4,290,010 | |
TD Ameritrade Holding Corp. | | | 257,717 | | | | 14,115,160 | |
Territorial Bancorp, Inc. | | | 1,982 | | | | 61,442 | |
Texas Capital Bancshares, Inc. (1) | | | 157,198 | | | | 14,383,617 | |
TFS Financial Corp. | | | 1,688 | | | | 26,620 | |
The Bancorp, Inc. (1) | | | 12,747 | | | | 133,334 | |
Third Point Reinsurance Ltd. (1) | | | 21,084 | | | | 263,550 | |
Timberland Bancorp, Inc. | | | 1,647 | | | | 61,499 | |
Tiptree, Inc. | | | 7,421 | | | | 50,463 | |
Tompkins Financial Corp. | | | 3,660 | | | | 314,321 | |
Torchmark Corp. | | | 49,878 | | | | 4,060,568 | |
Towne Bank | | | 17,101 | | | | 548,942 | |
TPG RE Finance Trust, Inc. | | | 8,504 | | | | 172,801 | |
TriCo Bancshares | | | 5,448 | | | | 204,028 | |
TriState Capital Holdings, Inc. (1) | | | 4,364 | | | | 113,900 | |
TrustCo Bank Corp. | | | 24,111 | | | | 214,588 | |
Trustmark Corp. | | | 17,641 | | | | 575,626 | |
Two Harbors Investment Corp. | | | 5,429 | | | | 85,778 | |
UMB Financial Corp. | | | 11,989 | | | | 913,921 | |
Umpqua Holdings Corp. | | | 6,812 | | | | 153,883 | |
Union Bankshares Corp. | | | 17,408 | | | | 676,823 | |
United Bankshares, Inc. | | | 26,417 | | | | 961,579 | |
United Community Banks, Inc. | | | 18,594 | | | | 570,278 | |
United Community Financial Corp. | | | 12,658 | | | | 139,111 | |
United Financial Bancorp, Inc. | | | 13,357 | | | | 234,015 | |
United Fire Group, Inc. | | | 154,504 | | | | 8,422,013 | |
United Insurance Holdings Corp. | | | 1,626 | | | | 31,837 | |
United Security Bancshares | | | 3,174 | | | | 35,549 | |
Unity Bancorp, Inc. | | | 1,812 | | | | 41,223 | |
Universal Insurance Holdings, Inc. | | | 63,100 | | | | 2,214,810 | |
Univest Corp. of Pennsylvania | | | 7,493 | | | | 206,058 | |
Unum Group | | | 104,148 | | | | 3,852,435 | |
Validus Holdings Ltd. | | | 2,073 | | | | 140,135 | |
Valley National Bancorp | | | 84,681 | | | | 1,029,721 | |
Value Line, Inc. | | | 333 | | | | 7,892 | |
Veritex Holdings, Inc. (1) | | | 4,036 | | | | 125,399 | |
Virtus Investment Partners, Inc. | | | 1,600 | | | | 204,720 | |
Voya Financial, Inc. | | | 75,098 | | | | 3,529,606 | |
W.R. Berkley Corp. | | | 150,093 | | | | 10,868,234 | |
| | | | | | | | |
Waddell & Reed Financial, Inc. | | | 21,099 | | | | 379,149 | |
Walker & Dunlop, Inc. | | | 6,241 | | | | 347,312 | |
Washington Federal, Inc. | | | 22,079 | | | | 721,983 | |
Washington Trust Bancorp, Inc. | | | 2,848 | | | | 165,469 | |
Waterstone Financial, Inc. | | | 6,063 | | | | 103,374 | |
Webster Financial Corp. | | | 2,853 | | | | 181,736 | |
WesBanco, Inc. | | | 11,595 | | | | 522,239 | |
West Bancorporation, Inc. | | | 3,045 | | | | 76,582 | |
Westamerica Bancorporation | | | 6,677 | | | | 377,317 | |
Western Alliance Bancorp (1) | | | 1,219 | | | | 69,008 | |
Western Asset Mortgage Capital Corp. | | | 11,822 | | | | 123,185 | |
Western New England Bancorp, Inc. | | | 6,717 | | | | 73,887 | |
White Mountains Insurance Group Ltd. | | | 96 | | | | 87,035 | |
Willis Towers Watson Plc | | | 4,115 | | | | 623,834 | |
Wintrust Financial Corp. | | | 1,732 | | | | 150,771 | |
WMIH Corp. (1) | | | 52,288 | | | | 70,066 | |
World Acceptance Corp. (1) | | | 1,632 | | | | 181,168 | |
WSFS Financial Corp. | | | 5,810 | | | | 309,673 | |
XL Group Ltd. | | | 5,074 | | | | 283,890 | |
Zions Bancorp | | | 101,878 | | | | 5,367,952 | |
| | | | | | | | |
| | | | | | | 981,386,803 | |
| | | | | | | | |
Healthcare - 4.31% | | | | | | | | |
AAC Holdings, Inc. (1) | | | 1,613 | | | | 15,114 | |
Abeona Therapeutics, Inc. (1) | | | 786 | | | | 12,576 | |
Acadia Healthcare Co., Inc. (1) | | | 2,659 | | | | 108,780 | |
Acceleron Pharma, Inc. (1) | | | 1,753 | | | | 85,056 | |
Achaogen, Inc. (1) | | | 959 | | | | 8,305 | |
Achillion Pharmaceuticals, Inc. (1) | | | 35,028 | | | | 99,129 | |
Aclaris Therapeutics, Inc. (1) | | | 1,189 | | | | 23,744 | |
Acorda Therapeutics, Inc. (1) | | | 9,739 | | | | 279,509 | |
Adamas Pharmaceuticals, Inc. (1) | | | 2,799 | | | | 72,298 | |
Adverum Biotechnologies, Inc. (1) | | | 12,980 | | | | 68,794 | |
Agilent Technologies, Inc. | | | 10,071 | | | | 622,791 | |
Agios Pharmaceuticals, Inc. (1) | | | 130 | | | | 10,950 | |
Akebia Therapeutics, Inc. (1) | | | 1,801 | | | | 17,974 | |
Akorn, Inc. (1) | | | 38,065 | | | | 631,498 | |
Albireo Pharma, Inc. (1) | | | 1,817 | | | | 64,503 | |
Alder Biopharmaceuticals, Inc. (1) | | | 2,908 | | | | 45,946 | |
Allscripts Healthcare Solutions, Inc. (1) | | | 686,738 | | | | 8,240,856 | |
Alnylam Pharmaceuticals, Inc. (1) | | | 321 | | | | 31,615 | |
| | | | | | | | |
AMAG Pharmaceuticals, Inc. (1) | | | 8,919 | | | | 173,920 | |
American Renal Associates Holdings, Inc. (1) | | | 217 | | | | 3,422 | |
AMN Healthcare Services, Inc. (1) | | | 149,250 | | | | 8,746,050 | |
Amphastar Pharmaceuticals, Inc. (1) | | | 5,653 | | | | 86,265 | |
AngioDynamics, Inc. (1) | | | 9,495 | | | | 211,169 | |
Anika Therapeutics, Inc. (1) | | | 3,743 | | | | 119,776 | |
Aratana Therapeutics, Inc. (1) | | | 5,904 | | | | 25,092 | |
Arbutus Biopharma Corp. (1) | | | 6,608 | | | | 48,238 | |
Arcus Biosciences, Inc. (1) | | | 592 | | | | 7,246 | |
Ardelyx, Inc. (1) | | | 8,460 | | | | 31,302 | |
Arena Pharmaceuticals, Inc. (1) | | | 2,549 | | | | 111,136 | |
ArQule, Inc. (1) | | | 2,070 | | | | 11,447 | |
Audentes Therapeutics, Inc. (1) | | | 648 | | | | 24,760 | |
AVEO Pharmaceuticals, Inc. (1) | | | 10,815 | | | | 24,442 | |
Bellicum Pharmaceuticals, Inc. (1) | | | 3,254 | | | | 24,015 | |
BioCryst Pharmaceuticals, Inc. (1) | | | 3,600 | | | | 20,628 | |
Bio-Rad Laboratories, Inc. (1) | | | 661 | | | | 190,725 | |
BioScrip, Inc. (1) | | | 29,172 | | | | 85,474 | |
BioTime, Inc. (1) | | | 18,332 | | | | 37,764 | |
Bluebird Bio, Inc. (1) | | | 488 | | | | 76,592 | |
Boston Scientific Corp. (1) | | | 110,456 | | | | 3,611,911 | |
Brookdale Senior Living, Inc. (1) | | | 48,535 | | | | 441,183 | |
Bruker Corp. | | | 1,874 | | | | 54,421 | |
Calithera Biosciences, Inc. (1) | | | 8,057 | | | | 40,285 | |
Cambrex Corp. (1) | | | 4,855 | | | | 253,917 | |
Cara Therapeutics, Inc. (1) | | | 868 | | | | 16,622 | |
Cardinal Health, Inc. | | | 37,817 | | | | 1,846,604 | |
CareDx, Inc. (1) | | | 653 | | | | 7,993 | |
CASI Pharmaceuticals, Inc. (1) | | | 1,622 | | | | 13,349 | |
Catalent, Inc. (1) | | | 3,179 | | | | 133,168 | |
Catalyst Biosciences, Inc. (1) | | | 3,077 | | | | 35,909 | |
Cellular Biomedicine Group, Inc. (1) | | | 629 | | | | 12,297 | |
Centene Corp. (1) | | | 162,462 | | | | 20,016,943 | |
Cerner Corp. (1) | | | 5,476 | | | | 327,410 | |
Cerus Corp. (1) | | | 3,251 | | | | 21,684 | |
Charles River Laboratories International, Inc. (1) | | | 415 | | | | 46,588 | |
Chimerix, Inc. (1) | | | 12,021 | | | | 57,220 | |
Civitas Solutions, Inc. (1) | | | 1,283 | | | | 21,041 | |
Community Health Systems, Inc. (1) | | | 22,440 | | | | 74,501 | |
Computer Programs & Systems, Inc. | | | 1,340 | | | | 44,086 | |
| | | | | | | | |
Concert Pharmaceuticals, Inc. (1) | | | 5,522 | | | | 92,935 | |
CONMED Corp. | | | 4,151 | | | | 303,853 | |
Corium International, Inc. (1) | | | 1,051 | | | | 8,419 | |
Corvus Pharmaceuticals, Inc. (1) | | | 394 | | | | 4,326 | |
Cotiviti Holdings, Inc. (1) | | | 1,741 | | | | 76,830 | |
Cross Country Healthcare, Inc. (1) | | | 9,168 | | | | 103,140 | |
CryoLife, Inc. (1) | | | 3,122 | | | | 86,948 | |
Cymabay Therapeutics, Inc. (1) | | | 3,562 | | | | 47,802 | |
Cytokinetics, Inc. (1) | | | 1,146 | | | | 9,512 | |
DaVita, Inc. (1) | | | 159,494 | | | | 11,075,263 | |
Dentsply Sirona, Inc. | | | 6,990 | | | | 305,952 | |
Depomed, Inc. (1) | | | 2,090 | | | | 13,940 | |
Dynavax Technologies Corp. (1) | | | 1,810 | | | | 27,603 | |
Endo International Plc (1) | | | 54,433 | | | | 513,303 | |
Endocyte, Inc. (1) | | | 1,445 | | | | 19,941 | |
Ensign Group, Inc. | | | 51,400 | | | | 1,841,148 | |
Envision Healthcare Corp. (1) | | | 3,012 | | | | 132,558 | |
Epizyme, Inc. (1) | | | 3,661 | | | | 49,607 | |
Evolent Health, Inc. (1) | | | 13,434 | | | | 282,786 | |
Five Prime Therapeutics, Inc. (1) | | | 8,579 | | | | 135,634 | |
FONAR Corp. (1) | | | 1,318 | | | | 34,993 | |
Foundation Medicine, Inc. (1) | | | 345 | | | | 47,162 | |
Halyard Health, Inc. (1) | | | 12,182 | | | | 697,420 | |
Harvard Bioscience, Inc. (1) | | | 7,892 | | | | 42,222 | |
HCA Healthcare, Inc. | | | 48,800 | | | | 5,006,880 | |
Henry Schein, Inc. (1) | | | 4,085 | | | | 296,734 | |
Hill-Rom Holdings, Inc. | | | 723 | | | | 63,147 | |
HMS Holdings Corp. (1) | | | 2,738 | | | | 59,196 | |
Hologic, Inc. (1) | | | 8,473 | | | | 336,802 | |
ICON Plc (1) | | | 69,524 | | | | 9,214,016 | |
ICU Medical, Inc. (1) | | | 34,225 | | | | 10,050,171 | |
Immune Design Corp. (1) | | | 6,784 | | | | 30,867 | |
Immunomedics, Inc. (1) | | | 3,199 | | | | 75,720 | |
Integer Holdings Corp. (1) | | | 7,556 | | | | 488,495 | |
Integra LifeSciences Holdings Corp. (1) | | | 510 | | | | 32,849 | |
Intra-Cellular Therapies, Inc. (1) | | | 5,881 | | | | 103,917 | |
Invacare Corp. | | | 8,511 | | | | 158,305 | |
IQVIA Holdings, Inc. (1) | | | 118,933 | | | | 11,871,892 | |
Jazz Pharmaceuticals Plc (1) | | | 44,447 | | | | 7,658,218 | |
Karyopharm Therapeutics, Inc. (1) | | | 1,250 | | | | 21,238 | |
| | | | | | | | |
Laboratory Corp. of America Holdings (1) | | | 114,813 | | | | 20,612,378 | |
Lannet, Inc. (1) | | | 65,228 | | | | 887,101 | |
Lantheus Holdings, Inc. (1) | | | 1,158 | | | | 16,849 | |
LifePoint Health, Inc. (1) | | | 44,050 | | | | 2,149,640 | |
LivaNova Plc (1) | | | 2,655 | | | | 265,022 | |
Luminex Corp. | | | 6,222 | | | | 183,736 | |
Magellan Health, Inc. (1) | | | 41,379 | | | | 3,970,315 | |
Mallinckrodt Plc (1) | | | 83,972 | | | | 1,566,918 | |
McKesson Corp. | | | 121,631 | | | | 16,225,575 | |
Medicines Co. (1) | | | 1,211 | | | | 44,444 | |
MEDNAX, Inc. (1) | | | 2,889 | | | | 125,036 | |
Melinta Therapeutics, Inc. (1) | | | 5,085 | | | | 32,290 | |
Menlo Therapeutics, Inc. (1) | | | 1,675 | | | | 13,601 | |
Meridian Bioscience, Inc. | | | 1,250 | | | | 19,875 | |
Minerva Neurosciences, Inc. (1) | | | 797 | | | | 6,575 | |
Miragen Therapeutics, Inc. (1) | | | 501 | | | | 3,211 | |
Molecular Templates, Inc. (1) | | | 2,301 | | | | 12,034 | |
Molina Healthcare, Inc. (1) | | | 297 | | | | 29,088 | |
Mylan (1) | | | 16,046 | | | | 579,902 | |
Myriad Genetics, Inc. (1) | | | 2,048 | | | | 76,534 | |
NanoString Technologies, Inc. (1) | | | 587 | | | | 8,030 | |
NantHealth, Inc. (1) | | | 3,740 | | | | 12,379 | |
NantKwest, Inc. (1) | | | 6,755 | | | | 20,670 | |
National HealthCare Corp. | | | 3,108 | | | | 218,741 | |
National Research Corp. | | | 243 | | | | 9,088 | |
Natus Medical, Inc. (1) | | | 225,590 | | | | 7,782,855 | |
Neos Therapeutics, Inc. (1) | | | 538 | | | | 3,363 | |
NewLink Genetics Corp. (1) | | | 7,117 | | | | 33,877 | |
Novavax, Inc. (1) | | | 62,335 | | | | 83,529 | |
Nymox Pharmaceutical Corp. (1) | | | 4,590 | | | | 15,422 | |
OPKO Health, Inc. (1) | | | 83,376 | | | | 391,867 | |
OraSure Technologies, Inc. (1) | | | 716 | | | | 11,793 | |
Orthofix International (1) | | | 1,111 | | | | 63,127 | |
Ovid therapeutics, Inc. (1) | | | 1,075 | | | | 8,385 | |
Owens & Minor, Inc. | | | 15,957 | | | | 266,641 | |
Patterson Companies, Inc. | | | 21,329 | | | | 483,528 | |
PDL BioPharma, Inc. (1) | | | 39,171 | | | | 91,660 | |
PerkinElmer, Inc. | | | 3,427 | | | | 250,959 | |
Perrigo Co. Plc | | | 4,038 | | | | 294,411 | |
PetIQ, Inc. (1) | | | 60 | | | | 1,612 | |
| | | | | | | | |
Phibro Animal Health Corp. | | | 377 | | | | 17,361 | |
Portola Pharmaceuticals, Inc. (1) | | | 1,251 | | | | 47,250 | |
Premier, Inc. (1) | | | 1,101 | | | | 40,054 | |
Prestige Brands Holdings, Inc. (1) | | | 13,856 | | | | 531,793 | |
Prothena Corporation Plc (1) | | | 10,416 | | | | 151,865 | |
QIAGEN NV (1) | | | 6,913 | | | | 249,974 | |
Quality Systems, Inc. (1) | | | 5,080 | | | | 99,060 | |
Quest Diagnostics, Inc. | | | 4,243 | | | | 466,475 | |
R1 RCM, Inc. (1) | | | 1,698 | | | | 14,739 | |
Ra Pharmaceuticals, Inc. (1) | | | 3,523 | | | | 35,054 | |
resTORbio, Inc. (1) | | | 1,566 | | | | 14,329 | |
Rigel Pharmaceuticals, Inc. (1) | | | 4,089 | | | | 11,572 | |
Rockwell Medical, Inc. (1) | | | 854 | | | | 4,210 | |
RTI Surgical, Inc. (1) | | | 11,928 | | | | 54,869 | |
scPharmaceuticals, Inc. (1) | | | 2,254 | | | | 12,758 | |
SeaSpine Holdings Corp. (1) | | | 2,890 | | | | 36,472 | |
Spectrum Pharmaceuticals, Inc. (1) | | | 2,079 | | | | 43,576 | |
Spero Therapeutics, Inc. (1) | | | 1,614 | | | | 23,677 | |
STERIS Plc | | | 2,617 | | | | 274,811 | |
Surgery Partners, Inc. (1) | | | 4,356 | | | | 64,904 | |
Syndax Pharmaceuticals, Inc. (1) | | | 2,317 | | | | 16,265 | |
Syneos Health, Inc. (1) | | | 13,341 | | | | 625,693 | |
Synlogic, Inc. (1) | | | 3,969 | | | | 39,015 | |
Teleflex, Inc. | | | 1,152 | | | | 308,978 | |
Tetraphase Pharmaceuticals, Inc. (1) | | | 12,473 | | | | 44,529 | |
The Cooper Companies, Inc. | | | 1,270 | | | | 299,022 | |
Tocagen, Inc. (1) | | | 282 | | | | 2,634 | |
Triple-S Management Corp. (1) | | | 5,736 | | | | 224,048 | |
United Therapeutics Corp. (1) | | | 1,341 | | | | 151,734 | |
Universal Health Services, Inc. | | | 52,366 | | | | 5,835,667 | |
Utah Medical Products, Inc. | | | 158 | | | | 17,404 | |
Waters Corp. (1) | | | 174 | | | | 33,685 | |
WellCare Health Plans, Inc. (1) | | | 95 | | | | 23,393 | |
West Pharmaceutical Services, Inc. | | | 1,754 | | | | 174,155 | |
XOMA Corp. (1) | | | 785 | | | | 16,391 | |
Zimmer Holdings, Inc. | | | 40,500 | | | | 4,513,320 | |
Zogenix, Inc. (1) | | | 2,304 | | | | 101,837 | |
| | | | | | | | |
| | | | | | | 180,492,411 | |
| | | | | | | | |
| | | | | | | | |
Industrials - 14.88% | | | | | | | | |
AAR Corp. | | | 8,448 | | | | 392,748 | |
ABM Industries, Inc. | | | 17,203 | | | | 501,984 | |
Acacia Research Corp. (1) | | | 2,169 | | | | 9,001 | |
ACCO Brands Corp. | | | 27,529 | | | | 381,277 | |
Actuant Corp. | | | 8,075 | | | | 237,001 | |
Acuity Brands, Inc. | | | 1,270 | | | | 147,155 | |
ADT, Inc. | | | 3,277 | | | | 28,346 | |
Advanced Disposal Services, Inc. (1) | | | 346,388 | | | | 8,583,495 | |
AECOM (1) | | | 4,991 | | | | 164,853 | |
Aegion Corp. (1) | | | 8,331 | | | | 214,523 | |
AGCO Corp. | | | 2,083 | | | | 126,480 | |
Air Lease Corp. | | | 154,098 | | | | 6,467,493 | |
Aircastle Ltd. | | | 12,385 | | | | 253,893 | |
Alamo Group, Inc. | | | 320 | | | | 28,915 | |
Alaska Air Group, Inc. | | | 3,752 | | | | 226,583 | |
Allegion Plc | | | 510 | | | | 39,454 | |
Allison Transmission Holdings, Inc. | | | 534,700 | | | | 21,650,003 | |
Altra Industrial Motion Corp. | | | 193,691 | | | | 8,348,082 | |
AMERCO | | | 218 | | | | 77,641 | |
Ameresco, Inc. (1) | | | 5,081 | | | | 60,972 | |
American Airlines Group, Inc. | | | 202,194 | | | | 7,675,284 | |
American Railcar Industries, Inc. | | | 1,889 | | | | 74,578 | |
AMETEK, Inc. | | | 227,043 | | | | 16,383,423 | |
Apogee Enterprises, Inc. | | | 1,089 | | | | 52,457 | |
ArcBest Corp. | | | 5,834 | | | | 266,614 | |
Arconic, Inc. | | | 183,506 | | | | 3,121,437 | |
Argan, Inc. | | | 3,783 | | | | 154,914 | |
Armstrong Flooring, Inc. (1) | | | 5,066 | | | | 71,127 | |
Armstrong World Industries, Inc. (1) | | | 240,575 | | | | 15,204,340 | |
Astec Industries, Inc. | | | 3,061 | | | | 183,048 | |
Atlas Air Worldwide Holdings, Inc. (1) | | | 38,925 | | | | 2,790,922 | |
AZZ, Inc. | | | 4,552 | | | | 197,784 | |
Babcock & Wilcox Enterprises, Inc. (1) | | | 8,525 | | | | 20,289 | |
Barnes Group, Inc. | | | 11,113 | | | | 654,556 | |
Beacon Roofing Supply, Inc. (1) | | | 4,550 | | | | 193,921 | |
Blue Bird Corp. (1) | | | 1,863 | | | | 41,638 | |
BMC Stock Holdings, Inc. (1) | | | 350,139 | | | | 7,300,398 | |
Brady Corp. | | | 12,591 | | | | 485,383 | |
Briggs & Stratton Corp. | | | 10,906 | | | | 192,055 | |
Caesarstone Ltd. | | | 5,946 | | | | 89,785 | |
CAI International, Inc. (1) | | | 2,623 | | | | 60,959 | |
| | | | | | | | |
Carlisle Companies, Inc. | | | 1,862 | | | | 201,673 | |
Casella Waste Systems, Inc. (1) | | | 8,398 | | | | 215,073 | |
CBIZ, Inc. (1) | | | 13,395 | | | | 308,085 | |
CECO Environmental Corp. | | | 8,681 | | | | 53,301 | |
Chart Industries, Inc. (1) | | | 4,531 | | | | 279,472 | |
CIRCOR International, Inc. | | | 99,962 | | | | 3,694,596 | |
Clean Harbors, Inc. (1) | | | 1,603 | | | | 89,047 | |
Colfax Corp. (1) | | | 2,787 | | | | 85,422 | |
Columbus Mckinnon Corp. | | | 2,235 | | | | 96,910 | |
CompX International, Inc. | | | 351 | | | | 4,633 | |
Copa Holdings SA | | | 977 | | | | 92,444 | |
Costamare, Inc. | | | 12,622 | | | | 100,724 | |
Covenant Transportation Group, Inc. - Class A (1) | | | 3,116 | | | | 98,154 | |
CRA International, Inc. | | | 1,488 | | | | 75,724 | |
Crane Co. | | | 23,263 | | | | 1,864,064 | |
Cubic Corp. | | | 1,768 | | | | 113,506 | |
Cummins, Inc. | | | 89,536 | | | | 11,908,288 | |
Curtiss-Wright Corp. | | | 73,235 | | | | 8,716,430 | |
Daseke, Inc. (1) | | | 10,543 | | | | 104,692 | |
Delta Air Lines, Inc. | | | 151,130 | | | | 7,486,980 | |
Deluxe Corp. | | | 36,700 | | | | 2,429,907 | |
Donaldson Co., Inc. | | | 261 | | | | 11,776 | |
Dover Corp. | | | 102,589 | | | | 7,509,515 | |
Ducommun, Inc. (1) | | | 2,775 | | | | 91,825 | |
Dun & Bradstreet Corp. | | | 55,014 | | | | 6,747,467 | |
DXP Enterprises, Inc. (1) | | | 1,076 | | | | 41,103 | |
Eagle Bulk Shipping, Inc. (1) | | | 12,538 | | | | 68,207 | |
Eastern Co. | | | 1,351 | | | | 37,896 | |
Eaton Corp. Plc | | | 138,930 | | | | 10,383,628 | |
Echo Global Logistics, Inc. (1) | | | 427 | | | | 12,490 | |
EMCOR Group, Inc. | | | 69,922 | | | | 5,326,658 | |
Encore Wire Corp. | | | 5,247 | | | | 248,970 | |
EnerSys, Inc. | | | 92,220 | | | | 6,883,301 | |
Engility Holdings, Inc. (1) | | | 4,860 | | | | 148,910 | |
Ennis, Inc. | | | 6,540 | | | | 133,089 | |
Enphase Energy, Inc. (1) | | | 22,328 | | | | 150,267 | |
EnPro Industries, Inc. | | | 4,832 | | | | 337,998 | |
Equifax, Inc. | | | 2,722 | | | | 340,549 | |
ESCO Technologies, Inc. | | | 129,005 | | | | 7,443,588 | |
Essendant, Inc. | | | 9,450 | | | | 124,929 | |
| | | | | | | | |
Esterline Technologies Corp. (1) | | | 212,808 | | | | 15,705,230 | |
Federal Signal Corp. | | | 972 | | | | 22,638 | |
Flowserve Corp. | | | 4,089 | | | | 165,196 | |
Fluor Corp. | | | 119,912 | | | | 5,849,307 | |
Fortive Corp. | | | 790 | | | | 60,917 | |
Fortune Brands Home & Security, Inc. | | | 2,649 | | | | 142,225 | |
Foundation Building Materials, Inc. (1) | | | 2,545 | | | | 39,142 | |
Franklin Electric Company, Inc. | | | 615 | | | | 27,736 | |
FreightCar America, Inc. | | | 3,312 | | | | 55,608 | |
FTI Consulting, Inc. (1) | | | 9,739 | | | | 589,015 | |
FuelCell Energy, Inc. (1) | | | 20,864 | | | | 27,540 | |
Gardner Denver Holdings, Inc. (1) | | | 2,224 | | | | 65,363 | |
Gates Industrial Corp. Plc (1) | | | 1,370 | | | | 22,290 | |
GATX Corp. | | | 9,766 | | | | 724,930 | |
Genco Shipping & Trading Ltd. (1) | | | 1,854 | | | | 28,737 | |
Gencor Industries, Inc. (1) | | | 1,980 | | | | 31,977 | |
General Finance Corp. (1) | | | 1,309 | | | | 17,737 | |
Genesee & Wyoming, Inc. (1) | | | 1,463 | | | | 118,971 | |
Gibraltar Industries, Inc. (1) | | | 226,398 | | | | 8,489,925 | |
Global Brass and Copper Holdings, Inc. | | | 59,597 | | | | 1,868,366 | |
GMS, Inc. (1) | | | 503 | | | | 13,626 | |
Gorman Rupp Co. | | | 3,606 | | | | 126,210 | |
GP Strategies Corp. (1) | | | 3,178 | | | | 55,933 | |
GrafTech International Ltd. | | | 1,187 | | | | 21,354 | |
Graham Corp. | | | 2,339 | | | | 60,370 | |
Granite Construction, Inc. | | | 2,427 | | | | 135,087 | |
Great Lakes Dredge & Dock Corp. (1) | | | 15,070 | | | | 79,117 | |
Greenbrier Companies, Inc. | | | 49,309 | | | | 2,601,050 | |
Griffon Corp. | | | 7,118 | | | | 126,700 | |
H&E Equipment Services, Inc. | | | 1,830 | | | | 68,826 | |
Harris Corp. | | | 105,399 | | | | 15,234,371 | |
Hawaiian Holdings, Inc. | | | 13,037 | | | | 468,680 | |
HD Supply Holdings, Inc. (1) | | | 4,059 | | | | 174,091 | |
Heritage Crystal Clean, Inc. (1) | | | 3,595 | | | | 72,259 | |
Herman Miller, Inc. | | | 71,133 | | | | 2,411,409 | |
Hertz Global Holdings, Inc. (1) | | | 14,544 | | | | 223,105 | |
Hexcel Corp. | | | 2,199 | | | | 145,970 | |
Hill International, Inc. (1) | | | 1,014 | | | | 5,983 | |
Hub Group, Inc. (1) | | | 3,093 | | | | 154,031 | |
Hubbell, Inc. | | | 101,784 | | | | 10,762,640 | |
| | | | | | | | |
Huntington Ingalls Industries, Inc. | | | 35,706 | | | | 7,740,704 | |
Hurco Companies, Inc. | | | 1,634 | | | | 73,121 | |
Huron Consulting Group, Inc. (1) | | | 5,749 | | | | 235,134 | |
Hyster-Yale Materials Handling, Inc. | | | 2,670 | | | | 171,547 | |
ICF International, Inc. | | | 4,162 | | | | 295,710 | |
IDEX Corp. | | | 145 | | | | 19,790 | |
IES Holdings, Inc. (1) | | | 2,353 | | | | 39,413 | |
IHS Markit Ltd. (1) | | | 12,166 | | | | 627,644 | |
Infrastructure and Energy Alternatives, Inc. (1) | | | 4,415 | | | | 41,104 | |
Ingersoll-Rand Plc | | | 48,499 | | | | 4,351,815 | |
InnerWorkings, Inc. (1) | | | 10,418 | | | | 90,532 | |
Insperity, Inc. | | | 85,150 | | | | 8,110,537 | |
Insteel Industries, Inc. | | | 393 | | | | 13,126 | |
Interface, Inc. | | | 1,643 | | | | 37,707 | |
ITT, Inc. | | | 77,143 | | | | 4,032,265 | |
Jacobs Engineering Group, Inc. | | | 3,985 | | | | 253,008 | |
JetBlue Airways Corp. (1) | | | 254,493 | | | | 4,830,277 | |
Kansas City Southern | | | 3,196 | | | | 338,648 | |
KAR Auction Services, Inc. | | | 280,240 | | | | 15,357,152 | |
KBR, Inc. | | | 36,561 | | | | 655,173 | |
Kelly Services, Inc. | | | 8,217 | | | | 184,472 | |
Kennametal, Inc. | | | 8,164 | | | | 293,088 | |
KeyW Holding Corp. (1) | | | 12,958 | | | | 113,253 | |
Kimball International, Inc. | | | 1,347 | | | | 21,768 | |
Kirby Corp. (1) | | | 1,873 | | | | 156,583 | |
KLX, Inc. (1) | | | 13,294 | | | | 955,839 | |
Knight-Swift Transportation Holdings, Inc. | | | 4,018 | | | | 153,528 | |
Knoll, Inc. | | | 308,209 | | | | 6,413,829 | |
Kratos Defense & Security Solutions, Inc. (1) | | | 14,468 | | | | 166,527 | |
L.B. Foster Co. (1) | | | 2,586 | | | | 59,349 | |
L3 Technologies, Inc. | | | 31,387 | | | | 6,036,348 | |
Lawson Products, Inc. (1) | | | 1,216 | | | | 29,610 | |
Lennox International, Inc. | | | 74 | | | | 14,811 | |
LSC Communications, Inc. | | | 9,140 | | | | 143,132 | |
Lydall, Inc. (1) | | | 3,697 | | | | 161,374 | |
Macquarie Infrastructure Corp. | | | 2,481 | | | | 104,698 | |
Manitex International, Inc. (1) | | | 826 | | | | 10,308 | |
ManpowerGroup, Inc. | | | 130,203 | | | | 11,205,270 | |
Marten Transport Ltd. | | | 5,567 | | | | 130,546 | |
Masco Corp. | | | 306,683 | | | | 11,476,078 | |
| | | | | | | | |
Masonite International Corp. (1) | | | 341,086 | | | | 24,507,029 | |
MasTec, Inc. (1) | | | 86,724 | | | | 4,401,243 | |
Matson, Inc. | | | 6,002 | | | | 230,357 | |
Matthews International Corp. | | | 8,367 | | | | 491,980 | |
Maxar Technologies Ltd. | | | 14,933 | | | | 754,415 | |
Mercury Systems, Inc. (1) | | | 5,956 | | | | 226,685 | |
Milacron Holdings Corp. (1) | | | 324,195 | | | | 6,137,011 | |
Miller Industries, Inc. | | | 2,792 | | | | 71,336 | |
Mistras Group, Inc. (1) | | | 1,244 | | | | 23,487 | |
Mobile Mini, Inc. | | | 1,324 | | | | 62,096 | |
Moog, Inc. | | | 25,550 | | | | 1,991,878 | |
MRC Global, Inc. (1) | | | 10,139 | | | | 219,712 | |
MSC Industrial Direct Co., Inc. | | | 768 | | | | 65,165 | |
Mueller Water Products, Inc. | | | 609,897 | | | | 7,147,993 | |
Multi-Color Corp. | | | 3,608 | | | | 233,257 | |
National Presto Industries, Inc. | | | 1,163 | | | | 144,212 | |
Navigant Consulting, Inc. (1) | | | 11,684 | | | | 258,684 | |
Navistar International Corp. (1) | | | 12,083 | | | | 492,020 | |
Nexeo Solutions, Inc. (1) | | | 8,541 | | | | 77,979 | |
Nielsen Holdings Plc | | | 11,142 | | | | 344,622 | |
NL Industries, Inc. (1) | | | 2,045 | | | | 17,791 | |
NN, Inc. | | | 7,151 | | | | 135,154 | |
Nordson Corp. | | | 119 | | | | 15,281 | |
Northwest Pipe Co. (1) | | | 2,228 | | | | 43,156 | |
NOW, Inc. (1) | | | 27,991 | | | | 373,120 | |
nVent Electric Plc (1) | | | 179,730 | | | | 4,511,223 | |
Orion Group Holdings, Inc. (1) | | | 3,318 | | | | 27,407 | |
Oshkosh Corp. | | | 183,875 | | | | 12,930,090 | |
Owens Corning | | | 164,355 | | | | 10,415,176 | |
P.A.M. Transportation Services, Inc. (1) | | | 227 | | | | 10,662 | |
PACCAR, Inc. | | | 76,579 | | | | 4,744,835 | |
Parker-Hannifin Corp. | | | 77,073 | | | | 12,011,827 | |
Park-Ohio Holdings Corp. | | | 2,382 | | | | 88,849 | |
Pentair Plc | | | 179,732 | | | | 7,563,123 | |
Pitney Bowes, Inc. | | | 142,927 | | | | 1,224,884 | |
Powell Industries, Inc. | | | 2,197 | | | | 76,522 | |
Preformed Line Products Co. | | | 750 | | | | 66,585 | |
Primoris Services Corp. | | | 3,403 | | | | 92,664 | |
Quad/Graphics, Inc. | | | 8,511 | | | | 177,284 | |
Quanex Building Products Corp. | | | 158,559 | | | | 2,846,134 | |
| | | | | | | | |
Quanta Services, Inc. (1) | | | 3,319 | | | | 110,855 | |
Radiant Logistics, Inc. (1) | | | 9,707 | | | | 37,954 | |
Regal-Beloit Corp. | | | 56,967 | | | | 4,659,901 | |
Republic Services, Inc. | | | 6,428 | | | | 439,418 | |
Resources Connection, Inc. | | | 5,435 | | | | 91,851 | |
REV Group, Inc. | | | 6,413 | | | | 109,085 | |
Rexnord Corp. (1) | | | 24,098 | | | | 700,288 | |
Robert Half International, Inc. | | | 198,507 | | | | 12,922,806 | |
Rockwell Collins, Inc. | | | 4,436 | | | | 597,440 | |
Roper Technologies, Inc. | | | 2,575 | | | | 710,468 | |
RR Donnelley & Sons Co. | | | 18,346 | | | | 105,673 | |
Rush Enterprises, Inc. - Class A (1) | | | 4,213 | | | | 182,760 | |
Rush Enterprises, Inc. - Class B (1) | | | 624 | | | | 27,394 | |
Ryder System, Inc. | | | 40,724 | | | | 2,926,427 | |
Safe Bulkers, Inc. (1) | | | 14,417 | | | | 49,018 | |
Schneider National, Inc. | | | 1,220 | | | | 33,562 | |
Scorpio Bulkers, Inc. | | | 15,218 | | | | 108,048 | |
Sensata Technologies Holding Plc (1) | | | 2,411 | | | | 114,715 | |
SkyWest, Inc. | | | 13,222 | | | | 686,222 | |
Snap-on, Inc. | | | 1,752 | | | | 281,581 | |
Southwest Airlines Co. | | | 186,886 | | | | 9,508,760 | |
SP Plus Corp. (1) | | | 4,113 | | | | 153,004 | |
Sparton Corp. (1) | | | 1,312 | | | | 24,915 | |
Spirit AeroSystems Holdings, Inc. | | | 133,878 | | | | 11,501,459 | |
Spirit Airlines, Inc. (1) | | | 18,268 | | | | 664,042 | |
SPX Corp. (1) | | | 2,005 | | | | 70,275 | |
SPX FLOW, Inc. (1) | | | 10,916 | | | | 477,793 | |
Standex International Corp. | | | 76,310 | | | | 7,798,882 | |
Stanley Black & Decker, Inc. | | | 4,818 | | | | 639,879 | |
Steelcase, Inc. | | | 200,693 | | | | 2,709,355 | |
Stericycle, Inc. (1) | | | 2,589 | | | | 169,036 | |
Sterling Construction Company, Inc. (1) | | | 5,598 | | | | 72,942 | |
Sunrun, Inc. (1) | | | 24,595 | | | | 323,424 | |
Team, Inc. (1) | | | 7,239 | | | | 167,221 | |
Teledyne Technologies, Inc. (1) | | | 1,104 | | | | 219,762 | |
Terex Corp. | | | 2,125 | | | | 89,654 | |
Tetra Tech, Inc. | | | 980 | | | | 57,330 | |
Textainer Group Holdings Ltd. (1) | | | 7,458 | | | | 118,582 | |
Textron, Inc. | | | 207,320 | | | | 13,664,461 | |
The Brink’s Co. | | | 275,183 | | | | 21,945,844 | |
| | | | | | | | |
The Manitowoc Co., Inc. (1) | | | 9,152 | | | | 236,671 | |
The Middleby Corp. (1) | | | 96,831 | | | | 10,111,093 | |
The Timken Co. | | | 295,109 | | | | 12,851,997 | |
Thermon Group Holdings, Inc. (1) | | | 6,113 | | | | 139,804 | |
Titan International, Inc. | | | 12,874 | | | | 138,138 | |
Titan Machinery, Inc. (1) | | | 5,371 | | | | 83,519 | |
TriMas Corp. (1) | | | 694,938 | | | | 20,431,177 | |
Trinity Industries, Inc. | | | 4,596 | | | | 157,459 | |
Triton International Ltd. | | | 13,588 | | | | 416,608 | |
Triumph Group, Inc. | | | 12,562 | | | | 246,215 | |
TrueBlue, Inc. (1) | | | 10,070 | | | | 271,386 | |
Tutor Perini Corp. (1) | | | 9,741 | | | | 179,721 | |
Twin Disc, Inc. (1) | | | 1,858 | | | | 46,116 | |
UniFirst Corp. | | | 3,450 | | | | 610,305 | |
United Continental Holdings, Inc. (1) | | | 73,876 | | | | 5,151,373 | |
United Rentals, Inc. (1) | | | 25,100 | | | | 3,705,262 | |
Univar, Inc. (1) | | | 3,051 | | | | 80,058 | |
Universal Forest Products, Inc. | | | 1,748 | | | | 64,012 | |
US Ecology, Inc. | | | 184,930 | | | | 11,780,041 | |
USG Corp. (1) | | | 2,546 | | | | 109,784 | |
Valmont Industries, Inc. | | | 690 | | | | 104,017 | |
Vectrus, Inc. (1) | | | 2,886 | | | | 88,947 | |
Veritiv Corp. (1) | | | 3,004 | | | | 119,709 | |
Viad Corp. | | | 2,175 | | | | 117,994 | |
Vicor Corp. (1) | | | 388 | | | | 16,897 | |
Vivint Solar, Inc. (1) | | | 6,137 | | | | 30,378 | |
VSE Corp. | | | 2,124 | | | | 101,485 | |
Wabash National Corp. | | | 78,096 | | | | 1,457,271 | |
WABCO Holdings, Inc. (1) | | | 58,332 | | | | 6,826,011 | |
Wabtec Corp. | | | 1,718 | | | | 169,360 | |
Watsco, Inc. | | | 195 | | | | 34,765 | |
Watts Water Technologies, Inc. | | | 3,102 | | | | 243,197 | |
Werner Enterprises, Inc. | | | 6,950 | | | | 260,972 | |
Wesco Aircraft Holdings, Inc. (1) | | | 10,270 | | | | 115,537 | |
WESCO International, Inc. (1) | | | 105,211 | | | | 6,007,548 | |
Willis Lease Finance Corp. (1) | | | 888 | | | | 28,052 | |
Willscot Corp. (1) | | | 2,916 | | | | 43,157 | |
Xylem, Inc. | | | 2,471 | | | | 166,496 | |
YRC Worldwide, Inc. (1) | | | 7,184 | | | | 72,199 | |
| | | | | | | | |
| | | | | | | 622,694,327 | |
| | | | | | | | |
| | | | | | | | |
Information Technology - 13.70% | | | | | | | | |
3D Systems Corp. (1) | | | 26,858 | | | | 370,909 | |
Acacia Communications, Inc. (1) | | | 6,104 | | | | 212,480 | |
ACI Worldwide, Inc. (1) | | | 318,600 | | | | 7,859,862 | |
Activision Blizzard, Inc. | | | 101,534 | | | | 7,749,075 | |
Acxiom Corp. (1) | | | 10,196 | | | | 305,370 | |
ADTRAN, Inc. | | | 12,531 | | | | 186,085 | |
Agilysys, Inc. (1) | | | 2,171 | | | | 33,650 | |
Akamai Technologies, Inc. (1) | | | 327 | | | | 23,946 | |
Alliance Data Systems Corp. | | | 63,853 | | | | 14,890,520 | |
Alpha & Omega Semiconductor Ltd. (1) | | | 5,290 | | | | 75,330 | |
Ambarella, Inc. (1) | | | 4,994 | | | | 192,818 | |
Amdocs Ltd. | | | 230,312 | | | | 15,244,351 | |
American Software, Inc. | | | 3,176 | | | | 46,274 | |
Amkor Technology, Inc. (1) | | | 232,323 | | | | 1,995,655 | |
Analog Devices, Inc. | | | 127,591 | | | | 12,238,529 | |
Anixter International, Inc. (1) | | | 7,648 | | | | 484,118 | |
Applied Materials, Inc. | | | 80,700 | | | | 3,727,533 | |
Applied Optoelectronics, Inc. (1) | | | 1,154 | | | | 51,815 | |
ARRIS International Plc (1) | | | 5,456 | | | | 133,372 | |
Arrow Electronics, Inc. (1) | | | 141,557 | | | | 10,656,411 | |
Aspen Technology, Inc. (1) | | | 119 | | | | 11,036 | |
Autodesk, Inc. (1) | | | 1,097 | | | | 143,806 | |
Avaya Holdings Corp. (1) | | | 27,119 | | | | 544,550 | |
Avid Technology, Inc. (1) | | | 2,842 | | | | 14,778 | |
Avnet, Inc. | | | 533,311 | | | | 22,873,709 | |
AVX Corp. | | | 12,366 | | | | 193,775 | |
Axcelis Technologies, Inc. (1) | | | 8,275 | | | | 163,845 | |
AXT, Inc. (1) | | | 10,275 | | | | 72,439 | |
Bel Fuse, Inc. | | | 2,464 | | | | 51,498 | |
Belden, Inc. | | | 84,959 | | | | 5,192,694 | |
Benchmark Electronics, Inc. | | | 12,411 | | | | 361,781 | |
Blucora, Inc. (1) | | | 3,384 | | | | 125,208 | |
Booz Allen Hamilton Holding Corp. | | | 223 | | | | 9,752 | |
Brooks Automation, Inc. | | | 367,690 | | | | 11,994,048 | |
CA, Inc. | | | 62,710 | | | | 2,235,611 | |
CACI International, Inc. (1) | | | 109,457 | | | | 18,448,977 | |
Calix, Inc. (1) | | | 5,612 | | | | 43,774 | |
Cardtronics Plc (1) | | | 2,004 | | | | 48,457 | |
Cars.com, Inc. (1) | | | 18,818 | | | | 534,243 | |
| | | | | | | | |
Casa Systems, Inc. (1) | | | 373 | | | | 6,091 | |
CDK Global, Inc. | | | 96,843 | | | | 6,299,637 | |
CEVA, Inc. (1) | | | 446 | | | | 13,469 | |
ChannelAdvisor Corp. (1) | | | 216 | | | | 3,035 | |
Check Point Software Technologies Ltd. (1) | | | 103,750 | | | | 10,134,300 | |
Ciena Corp. (1) | | | 37,886 | | | | 1,004,358 | |
Cirrus Logic, Inc. (1) | | | 55,993 | | | | 2,146,212 | |
Clearfield, Inc. (1) | | | 964 | | | | 10,652 | |
Cognizant Technology Solutions - Class A | | | 47,836 | | | | 3,778,566 | |
Coherent, Inc. (1) | | | 12,919 | | | | 2,020,790 | |
Cohu, Inc. | | | 6,197 | | | | 151,888 | |
CommScope Holding Co., Inc. (1) | | | 265,302 | | | | 7,748,145 | |
Comtech Telecommunications Corp. | | | 5,965 | | | | 190,164 | |
Conduent, Inc. (1) | | | 5,953 | | | | 108,166 | |
Control4 Corp. (1) | | | 3,906 | | | | 94,955 | |
ConvergeOne Holdings, Inc. | | | 1,325 | | | | 12,442 | |
Convergys Corp. | | | 92,455 | | | | 2,259,600 | |
CoreLogic, Inc. (1) | | | 953 | | | | 49,461 | |
Corning, Inc. | | | 156,637 | | | | 4,309,084 | |
Cray, Inc. (1) | | | 8,704 | | | | 214,118 | |
Cree, Inc. (1) | | | 26,533 | | | | 1,102,977 | |
CSG Systems International, Inc. | | | 1,482 | | | | 60,569 | |
CTS Corp. | | | 8,489 | | | | 305,604 | |
Cypress Semiconductor Corp. | | | 3,477 | | | | 54,172 | |
Daktronics, Inc. | | | 9,153 | | | | 77,892 | |
DASAN Zhone Solutions, Inc. (1) | | | 1,408 | | | | 13,742 | |
Dell Technologies, Inc. - VMware, Inc. (1) | | | 5,792 | | | | 489,887 | |
Diebold Nixdorf, Inc. | | | 19,787 | | | | 236,455 | |
Digi International, Inc. (1) | | | 7,061 | | | | 93,205 | |
Digimarc Corp. (1) | | | 109 | | | | 2,921 | |
Diodes, Inc. (1) | | | 7,657 | | | | 263,937 | |
Dolby Laboratories, Inc. | | | 1,887 | | | | 116,409 | |
DXC Technology Co. | | | 217,930 | | | | 17,567,337 | |
eBay, Inc. (1) | | | 307,032 | | | | 11,132,980 | |
EchoStar Corp. (1) | | | 1,497 | | | | 66,467 | |
eGain Corp. (1) | | | 746 | | | | 11,265 | |
Electro Scientific Industries, Inc. (1) | | | 8,140 | | | | 128,368 | |
Electronics For Imaging, Inc. (1) | | | 11,536 | | | | 375,612 | |
Entegris, Inc. | | | 157,760 | | | | 5,348,064 | |
Euronet Worldwide, Inc. (1) | | | 763 | | | | 63,917 | |
| | | | | | | | |
EVERTEC, Inc. | | | 2,794 | | | | 61,049 | |
Exela Technologies, Inc. (1) | | | 2,530 | | | | 12,017 | |
F5 Networks, Inc. (1) | | | 20,800 | | | | 3,586,960 | |
Fabrinet (1) | | | 9,331 | | | | 344,221 | |
FARO Technologies, Inc. (1) | | | 244 | | | | 13,261 | |
Fidelity National Information Services, Inc. | | | 377,773 | | | | 40,055,271 | |
Finisar Corp. (1) | | | 29,790 | | | | 536,220 | |
FireEye, Inc. (1) | | | 1,980 | | | | 30,472 | |
First Solar, Inc. (1) | | | 2,560 | | | | 134,810 | |
Fiserv, Inc. (1) | | | 103,750 | | | | 7,686,837 | |
Fitbit, Inc. (1) | | | 41,855 | | | | 273,313 | |
Flex Ltd. (1) | | | 519,117 | | | | 7,324,741 | |
FLIR Systems, Inc. | | | 3,819 | | | | 198,473 | |
FormFactor, Inc. (1) | | | 17,354 | | | | 230,808 | |
Fusion Connect, Inc. (1) | | | 4,674 | | | | 18,416 | |
Genpact Ltd. | | | 2,953 | | | | 85,430 | |
Global Payments, Inc. | | | 144,950 | | | | 16,160,475 | |
GSI Technology, Inc. (1) | | | 51 | | | | 384 | |
Hackett Group, Inc. | | | 586 | | | | 9,417 | |
Harmonic, Inc. (1) | | | 20,697 | | | | 87,962 | |
Hewlett Packard Enterprise Co. | | | 514,949 | | | | 7,523,405 | |
HP, Inc. | | | 704,440 | | | | 15,983,744 | |
Infinera Corp. (1) | | | 38,683 | | | | 384,122 | |
Information Services Group, Inc. (1) | | | 3,306 | | | | 13,555 | |
Insight Enterprises, Inc. (1) | | | 5,805 | | | | 284,039 | |
InterActiveCorp (1) | | | 36,034 | | | | 5,494,825 | |
Interdigital, Inc. | | | 5,002 | | | | 404,662 | |
Jabil, Inc. | | | 98,935 | | | | 2,736,542 | |
Juniper Networks, Inc. | | | 193,997 | | | | 5,319,398 | |
KEMET Corp. (1) | | | 125,814 | | | | 3,038,408 | |
Keysight Technologies, Inc. (1) | | | 164,525 | | | | 9,711,911 | |
Kimball Electronics, Inc. (1) | | | 6,857 | | | | 125,483 | |
KLA-Tencor Corp. | | | 66,123 | | | | 6,779,591 | |
Knowles Corp. (1) | | | 22,755 | | | | 348,151 | |
Kopin Corp. (1) | | | 1,173 | | | | 3,355 | |
KVH Industries, Inc. (1) | | | 4,584 | | | | 61,426 | |
Lam Research Corp. | | | 46,900 | | | | 8,106,665 | |
Leaf Group Ltd. (1) | | | 1,149 | | | | 12,467 | |
Leidos Holdings, Inc. | | | 165,601 | | | | 9,770,459 | |
Liquidity Services, Inc. (1) | | | 7,016 | | | | 45,955 | |
| | | | | | | | |
Littelfuse, Inc. | | | 34,307 | | | | 7,828,171 | |
LogMeIn, Inc. | | | 78,345 | | | | 8,089,121 | |
MACOM Technology Solutions Holdings, Inc. (1) | | | 237,747 | | | | 5,477,691 | |
Mantech International Corp. | | | 6,920 | | | | 371,189 | |
Marvell Technology Group Ltd. | | | 362,894 | | | | 7,780,447 | |
Maxwell Technologies, Inc. (1) | | | 9,082 | | | | 47,226 | |
Meet Group, Inc. (1) | | | 18,053 | | | | 80,877 | |
Methode Electronics, Inc. | | | 228,028 | | | | 9,189,528 | |
MicroStrategy, Inc. (1) | | | 2,458 | | | | 314,009 | |
MKS Instruments, Inc. | | | 59,850 | | | | 5,727,645 | |
MoneyGram International, Inc. (1) | | | 7,894 | | | | 52,811 | |
Monotype Imaging Holdings, Inc. | | | 5,663 | | | | 114,959 | |
Motorola Solutions, Inc. | | | 4,493 | | | | 522,850 | |
MTS Systems Corp. | | | 4,698 | | | | 247,350 | |
National Instruments Corp. | | | 650 | | | | 27,287 | |
NCR Corp. (1) | | | 50,628 | | | | 1,517,827 | |
NeoPhotonics Corp. (1) | | | 10,302 | | | | 64,181 | |
NetApp, Inc. | | | 172,402 | | | | 13,538,729 | |
NetEase, Inc. - ADR | | | 18,660 | | | | 4,714,822 | |
NETGEAR, Inc. (1) | | | 6,270 | | | | 391,875 | |
NetScout Systems, Inc. (1) | | | 152,689 | | | | 4,534,863 | |
Nuance Communications, Inc. (1) | | | 9,190 | | | | 127,603 | |
NVE Corp. | | | 59 | | | | 7,185 | |
Oclaro, Inc. (1) | | | 43,579 | | | | 389,160 | |
ON Semiconductor Corp. (1) | | | 307,397 | | | | 6,834,972 | |
OSI Systems, Inc. (1) | | | 2,722 | | | | 210,492 | |
PAR Technology Corp. (1) | | | 579 | | | | 10,237 | |
Park Electrochemical Corp. | | | 2,087 | | | | 48,398 | |
PC Connection, Inc. | | | 3,088 | | | | 102,522 | |
PDF Solutions, Inc. (1) | | | 6,458 | | | | 77,367 | |
Perficient, Inc. (1) | | | 5,450 | | | | 143,717 | |
Perspecta, Inc. | | | 37,993 | | | | 780,756 | |
Photronics, Inc. (1) | | | 17,430 | | | | 139,004 | |
Plexus Corp. (1) | | | 149,953 | | | | 8,928,202 | |
Presidio, Inc. (1) | | | 566,004 | | | | 7,414,652 | |
Qorvo, Inc. (1) | | | 54,765 | | | | 4,390,510 | |
Rambus, Inc. (1) | | | 27,487 | | | | 344,687 | |
Ribbon Communications, Inc. (1) | | | 13,878 | | | | 98,811 | |
Rogers Corp. (1) | | | 73,559 | | | | 8,198,886 | |
Rosetta Stone, Inc. (1) | | | 4,175 | | | | 66,925 | |
| | | | | | | | |
Sabre Corp. | | | 1,442 | | | | 35,531 | |
Sanmina Corp. (1) | | | 73,010 | | | | 2,139,193 | |
ScanSource, Inc. (1) | | | 6,472 | | | | 260,822 | |
Seagate Technology Plc | | | 55,900 | | | | 3,156,673 | |
SecureWorks Corp. (1) | | | 1,804 | | | | 22,460 | |
Semtech Corp. (1) | | | 176,952 | | | | 8,325,592 | |
Sigma Designs, Inc. (1) | | | 1,354 | | | | 8,259 | |
Skyworks Solutions, Inc. | | | 43,411 | | | | 4,195,673 | |
SS&C Technologies Holdings, Inc. | | | 445 | | | | 23,096 | |
Stratasys Ltd. (1) | | | 13,100 | | | | 250,734 | |
SunPower Corp. (1) | | | 10,575 | | | | 81,110 | |
Super Micro Computer, Inc. (1) | | | 7,890 | | | | 186,599 | |
Sykes Enterprises, Inc. (1) | | | 10,245 | | | | 294,851 | |
Symantec Corp. | | | 19,343 | | | | 399,433 | |
Synaptics, Inc. (1) | | | 8,134 | | | | 409,710 | |
SYNNEX Corp. | | | 66,954 | | | | 6,461,731 | |
Synopsys, Inc. (1) | | | 4,192 | | | | 358,709 | |
Syntel, Inc. (1) | | | 789 | | | | 25,319 | |
Take-Two Interactive Software, Inc. (1) | | | 1,435 | | | | 169,847 | |
TE Connectivity Ltd. | | | 160,967 | | | | 14,496,688 | |
Tech Data Corp. (1) | | | 242,069 | | | | 19,878,706 | |
Telaria, Inc. (1) | | | 7,307 | | | | 29,520 | |
Telenav, Inc. (1) | | | 3,195 | | | | 17,892 | |
Teradata Corp. (1) | | | 1,099 | | | | 44,125 | |
Teradyne, Inc. | | | 5,013 | | | | 190,845 | |
The Western Union Co. | | | 308,053 | | | | 6,262,717 | |
TiVo Corp. | | | 31,405 | | | | 422,397 | |
Trimble, Inc. (1) | | | 7,778 | | | | 255,430 | |
TTM Technologies, Inc. (1) | | | 129,717 | | | | 2,286,911 | |
Ultra Clean Holdings, Inc. (1) | | | 9,947 | | | | 165,120 | |
Unisys Corp. (1) | | | 4,224 | | | | 54,490 | |
Veeco Instruments, Inc. (1) | | | 12,359 | | | | 176,116 | |
VeriFone Systems, Inc. (1) | | | 10,236 | | | | 233,586 | |
Verint Systems, Inc. (1) | | | 16,906 | | | | 749,781 | |
Versum Materials, Inc. | | | 103,696 | | | | 3,852,306 | |
ViaSat, Inc. (1) | | | 14,208 | | | | 933,750 | |
Viavi Solutions, Inc. (1) | | | 37,990 | | | | 389,018 | |
Vishay Intertechnology, Inc. | | | 109,017 | | | | 2,529,194 | |
Vishay Precision Group, Inc. (1) | | | 687 | | | | 26,209 | |
Web.com Group, Inc. (1) | | | 902 | | | | 23,317 | |
| | | | | | | | |
Western Digital Corp. | | | 51,125 | | | | 3,957,586 | |
Worldpay, Inc. (1) | | | 8,313 | | | | 679,837 | |
Xcerra Corp. (1) | | | 1,655 | | | | 23,120 | |
Xerox Corp. | | | 376,546 | | | | 9,037,104 | |
Xperi Corp. | | | 9,992 | | | | 160,871 | |
Zillow Group, Inc. - Class A (1) | | | 574 | | | | 34,297 | |
Zillow Group, Inc. - Class C (1) | | | 893 | | | | 52,741 | |
Zynga, Inc. (1) | | | 23,918 | | | | 97,346 | |
| | | | | | | | |
| | | | | | | 573,421,603 | |
| | | | | | | | |
Materials - 5.97% | | | | | | | | |
Advanced Emissions Solutions, Inc. | | | 684 | | | | 7,770 | |
AdvanSix, Inc. (1) | | | 5,158 | | | | 188,938 | |
AgroFresh Solutions, Inc. (1) | | | 8,123 | | | | 56,942 | |
AK Steel Holding Corp. (1) | | | 81,862 | | | | 355,281 | |
Albemarle Corp. | | | 3,442 | | | | 324,684 | |
Alcoa Corp. (1) | | | 5,838 | | | | 273,685 | |
Allegheny Technologies, Inc. (1) | | | 32,566 | | | | 818,058 | |
American Vanguard Corp. | | | 7,508 | | | | 172,309 | |
AptarGroup, Inc. | | | 1,940 | | | | 181,157 | |
Ardagh Group SA | | | 559 | | | | 9,291 | |
Ashland Global Holdings, Inc. | | | 1,946 | | | | 152,138 | |
Avery Dennison Corp. | | | 80,100 | | | | 8,178,210 | |
Axalta Coating Systems Ltd. (1) | | | 4,039 | | | | 122,422 | |
Ball Corp. | | | 10,742 | | | | 381,878 | |
Bemis, Inc. | | | 2,833 | | | | 119,581 | |
Berry Global Group, Inc. (1) | | | 102,774 | | | | 4,721,438 | |
Boise Cascade Co. | | | 720 | | | | 32,184 | |
Cabot Corp. | | | 44,994 | | | | 2,779,279 | |
Carpenter Technology Corp. | | | 12,101 | | | | 636,150 | |
Celanese Corp. | | | 56,852 | | | | 6,313,983 | |
Cemex SAB de CV - ADR (1) | | | 535,752 | | | | 3,514,533 | |
Century Aluminum Co. (1) | | | 12,420 | | | | 195,615 | |
CF Industries Holdings, Inc. | | | 7,285 | | | | 323,454 | |
Chemours Co. | | | 58,700 | | | | 2,603,932 | |
Clearwater Paper Corp. (1) | | | 4,165 | | | | 96,211 | |
Cleveland-Cliffs, Inc. (1) | | | 65,118 | | | | 548,945 | |
Coeur Mining, Inc. (1) | | | 40,689 | | | | 309,236 | |
Commercial Metals Co. | | | 30,249 | | | | 638,556 | |
Compass Minerals International, Inc. | | | 690 | | | | 45,367 | |
Constellium (1) | | | 949,975 | | | | 9,784,743 | |
| | | | | | | | |
Crown Holdings, Inc. (1) | | | 549,184 | | | | 24,581,476 | |
Domtar Corp. | | | 45,449 | | | | 2,169,735 | |
Eagle Materials, Inc. | | | 177 | | | | 18,580 | |
Eastman Chemical Co. | | | 74,354 | | | | 7,432,426 | |
Flotek Industries, Inc. (1) | | | 14,751 | | | | 47,646 | |
FMC Corp. | | | 248,591 | | | | 22,176,803 | |
Freeport-McMoRan, Inc. | | | 45,224 | | | | 780,566 | |
FutureFuel Corp. | | | 7,059 | | | | 98,897 | |
Gold Resource Corp. | | | 1,691 | | | | 11,144 | |
Graphic Packaging Holding Co. | | | 596,053 | | | | 8,648,729 | |
Greif, Inc. - Class A | | | 6,107 | | | | 322,999 | |
Greif, Inc. - Class B | | | 1,299 | | | | 74,822 | |
Hawkins, Inc. | | | 2,499 | | | | 88,340 | |
Haynes International, Inc. | | | 3,153 | | | | 115,841 | |
HB Fuller Co. | | | 192,245 | | | | 10,319,712 | |
Hecla Mining Co. | | | 103,081 | | | | 358,722 | |
Huntsman Corp. | | | 160,503 | | | | 4,686,688 | |
Ingevity Corp. (1) | | | 110,460 | | | | 8,931,796 | |
Innophos Holdings, Inc. | | | 4,383 | | | | 208,631 | |
Innospec, Inc. | | | 6,264 | | | | 479,509 | |
International Flavors & Fragrances, Inc. | | | 1,422 | | | | 176,271 | |
International Paper Co. | | | 91,075 | | | | 4,743,186 | |
Intrepid Potash, Inc. (1) | | | 24,076 | | | | 98,712 | |
Kaiser Aluminum Corp. | | | 2,030 | | | | 211,343 | |
Klondex Mines Ltd. (1) | | | 12,719 | | | | 29,381 | |
KMG Chemicals, Inc. | | | 365 | | | | 26,930 | |
Koppers Holdings, Inc. (1) | | | 1,534 | | | | 58,829 | |
Kraton Corp. (1) | | | 696 | | | | 32,113 | |
Louisiana-Pacific Corp. | | | 32,911 | | | | 895,837 | |
LSB Industries, Inc. (1) | | | 5,327 | | | | 28,233 | |
Martin Marietta Materials, Inc. | | | 163 | | | | 36,403 | |
Materion Corp. | | | 5,187 | | | | 280,876 | |
Minerals Technologies, Inc. | | | 139,270 | | | | 10,493,994 | |
Neenah, Inc. | | | 703 | | | | 59,650 | |
NewMarket Corp. | | | 20 | | | | 8,090 | |
Newmont Mining Corp. | | | 16,666 | | | | 628,475 | |
Nucor Corp. | | | 9,943 | | | | 621,437 | |
Nutrien Ltd. | | | 147,105 | | | | 7,999,570 | |
Olin Corp. | | | 5,215 | | | | 149,775 | |
Olympic Steel, Inc. | | | 2,621 | | | | 53,495 | |
| | | | | | | | |
Owens-Illinois, Inc. (1) | | | 156,138 | | | | 2,624,680 | |
Packaging Corp. of America | | | 68,175 | | | | 7,621,283 | |
PH Glatfelter Co. | | | 331,512 | | | | 6,494,320 | |
Platform Specialty Products Corp. (1) | | | 3,471 | | | | 40,264 | |
PolyOne Corp. | | | 195,684 | | | | 8,457,462 | |
PQ Group Holdings, Inc. (1) | | | 9,486 | | | | 170,748 | |
Ramaco Resources, Inc. (1) | | | 206 | | | | 1,434 | |
Rayonier Advanced Materials, Inc. | | | 13,315 | | | | 227,553 | |
Reliance Steel & Aluminum Co. | | | 91,267 | | | | 7,989,513 | |
Royal Gold, Inc. | | | 1,197 | | | | 111,129 | |
RPM International, Inc. | | | 3,254 | | | | 189,773 | |
Schnitzer Steel Industries, Inc. | | | 6,803 | | | | 229,261 | |
Schweitzer-Mauduit International, Inc. | | | 34,903 | | | | 1,525,959 | |
Scotts Miracle-Gro Co. | | | 636 | | | | 52,890 | |
Sealed Air Corp. | | | 2,263 | | | | 96,064 | |
Sensient Technologies Corp. | | | 5,188 | | | | 371,201 | |
Silgan Holdings, Inc. | | | 1,589 | | | | 42,633 | |
Sonoco Products Co. | | | 3,078 | | | | 161,595 | |
Steel Dynamics, Inc. | | | 351,618 | | | | 16,156,847 | |
Stepan Co. | | | 5,251 | | | | 409,631 | |
SunCoke Energy, Inc. (1) | | | 18,000 | | | | 241,200 | |
Synalloy Corp. | | | 1,986 | | | | 39,621 | |
Tahoe Resources, Inc. | | | 42,540 | | | | 209,297 | |
The Mosaic Co. | | | 192,058 | | | | 5,387,227 | |
TimkenSteel Corp. (1) | | | 10,301 | | | | 168,421 | |
Trecora Resources (1) | | | 5,421 | | | | 80,502 | |
Tredegar Corp. | | | 6,889 | | | | 161,892 | |
Trinseo S.A. | | | 42,984 | | | | 3,049,715 | |
Tronox Ltd. | | | 13,108 | | | | 257,965 | |
UFP Technologies, Inc. (1) | | | 2,183 | | | | 67,346 | |
United States Lime & Minerals, Inc. | | | 461 | | | | 38,678 | |
United States Steel Corp. | | | 5,507 | | | | 191,368 | |
Universal Stainless & Alloy Products, Inc. (1) | | | 1,774 | | | | 41,991 | |
Valhi, Inc. | | | 5,911 | | | | 28,136 | |
Valvoline, Inc. | | | 775,419 | | | | 16,725,788 | |
Verso Corp. (1) | | | 8,505 | | | | 185,069 | |
Vulcan Materials Co. | | | 247 | | | | 31,878 | |
W.R. Grace & Co. | | | 527 | | | | 38,634 | |
Warrior Met Coal, Inc. | | | 9,316 | | | | 256,842 | |
Westlake Chemical Corp. | | | 88 | | | | 9,471 | |
WestRock Co. | | | 129,405 | | | | 7,378,673 | |
Worthington Industries, Inc. | | | 873 | | | | 36,640 | |
| | | | | | | | |
| | | | | | | 249,672,226 | |
| | | | | | | | |
| | | | | | | | |
Real Estate - 7.66% | | | | | | | | |
Acadia Realty Trust | | | 20,982 | | | | 574,277 | |
Agree Realty Corp. | | | 7,801 | | | | 411,659 | |
Alexander & Baldwin, Inc. | | | 347,448 | | | | 8,165,028 | |
Alexandria Real Estate Equities, Inc. | | | 2,931 | | | | 369,804 | |
Altisource Portfolio Solutions SA (1) | | | 2,430 | | | | 70,883 | |
American Assets Trust, Inc. | | | 9,986 | | | | 382,364 | |
American Campus Communities, Inc. | | | 4,254 | | | | 182,412 | |
American Homes 4 Rent | | | 226,902 | | | | 5,032,686 | |
American Realty Investors, Inc. (1) | | | 595 | | | | 9,407 | |
Apartment Investment & Management Co. | | | 4,883 | | | | 206,551 | |
Apple Hospitality REIT, Inc. | | | 6,773 | | | | 121,101 | |
Armada Hoffler Properties, Inc. | | | 7,727 | | | | 115,132 | |
Ashford Hospitality Trust, Inc. | | | 22,591 | | | | 182,987 | |
AvalonBay Communities, Inc. | | | 4,315 | | | | 741,705 | |
Bluerock Resident Growth REIT, Inc. - Class A | | | 5,901 | | | | 52,637 | |
Boston Properties, Inc. | | | 128,508 | | | | 16,117,473 | |
Braemar Hotels & Resorts, Inc. | | | 7,894 | | | | 90,150 | |
Brandywine Realty Trust | | | 5,488 | | | | 92,637 | |
Brixmor Property Group, Inc. | | | 9,423 | | | | 164,243 | |
BRT Apartments Corp. | | | 2,103 | | | | 26,813 | |
Camden Property Trust | | | 2,773 | | | | 252,704 | |
CareTrust REIT, Inc. | | | 17,963 | | | | 299,803 | |
CatchMark Timber Trust, Inc. | | | 12,566 | | | | 159,965 | |
CBL & Associates Properties, Inc. | | | 136,190 | | | | 758,578 | |
CBRE Group, Inc. (1) | | | 5,155 | | | | 246,100 | |
Cedar Realty Trust, Inc. | | | 23,445 | | | | 110,660 | |
Chatham Lodging Trust | | | 117,008 | | | | 2,482,910 | |
Chesapeake Lodging Trust | | | 15,541 | | | | 491,717 | |
City Office REIT, Inc. | | | 7,662 | | | | 98,303 | |
Colony Capital, Inc. | | | 14,394 | | | | 89,819 | |
Columbia Property Trust, Inc. | | | 3,699 | | | | 84,004 | |
Community Healthcare Trust, Inc. | | | 4,437 | | | | 132,533 | |
Consolidated-Tomoka Land Co. | | | 691 | | | | 42,503 | |
CoreCivic, Inc. | | | 31,538 | | | | 753,443 | |
CorEnergy Infrastructure Trust, Inc. | | | 3,145 | | | | 118,252 | |
CorePoint Lodging, Inc. (1) | | | 10,581 | | | | 274,048 | |
| | | | | | | | |
Corporate Office Properties Trust | | | 3,189 | | | | 92,449 | |
Cousins Properties, Inc. | | | 109,832 | | | | 1,064,272 | |
CubeSmart | | | 5,654 | | | | 182,172 | |
CyrusOne, Inc. | | | 223,081 | | | | 13,019,007 | |
DCT Industrial Trust, Inc. | | | 108,058 | | | | 7,210,710 | |
DDR Corp. | | | 130,815 | | | | 2,341,589 | |
DiamondRock Hospitality Co. | | | 441,856 | | | | 5,425,992 | |
Digital Realty Trust, Inc. | | | 6,421 | | | | 716,455 | |
Douglas Emmett, Inc. | | | 270,210 | | | | 10,857,038 | |
Duke Realty Corp. | | | 402,439 | | | | 11,682,804 | |
Easterly Government Properties, Inc. | | | 9,339 | | | | 184,539 | |
EastGroup Properties, Inc. | | | 73,330 | | | | 7,007,415 | |
Education Realty Trust, Inc. | | | 19,779 | | | | 820,829 | |
Empire State Realty Trust, Inc. | | | 4,221 | | | | 72,179 | |
EPR Properties | | | 2,297 | | | | 148,823 | |
Equity Commonwealth (1) | | | 497,010 | | | | 15,655,815 | |
Equity Residential | | | 178,829 | | | | 11,389,619 | |
Essex Property Trust, Inc. | | | 2,055 | | | | 491,289 | |
Extra Space Storage, Inc. | | | 507 | | | | 50,604 | |
Farmland Partners, Inc. | | | 8,997 | | | | 79,174 | |
Federal Realty Investment Trust | | | 2,271 | | | | 287,395 | |
First Industrial Realty Trust, Inc. | | | 25,720 | | | | 857,505 | |
Forest City Realty Trust, Inc. | | | 6,651 | | | | 151,709 | |
Forestar Group, Inc. (1) | | | 2,650 | | | | 54,988 | |
Four Corners Property Trust, Inc. | | | 4,982 | | | | 122,707 | |
Franklin Street Properties Corp. | | | 189,163 | | | | 1,619,235 | |
Front Yard Residential Corp. | | | 13,097 | | | | 136,471 | |
FRP Holdings, Inc. (1) | | | 1,491 | | | | 96,542 | |
Gaming and Leisure Properties, Inc. | | | 4,035 | | | | 144,453 | |
Getty Realty Corp. | | | 28,244 | | | | 795,634 | |
GGP, Inc. | | | 19,436 | | | | 397,078 | |
Gladstone Commercial Corp. | | | 7,660 | | | | 147,225 | |
Gladstone Land Corp. | | | 3,345 | | | | 42,381 | |
Global Medical REIT, Inc. | | | 5,119 | | | | 45,354 | |
Global Net Lease, Inc. | | | 17,936 | | | | 366,433 | |
Government Properties Income Trust | | | 114,248 | | | | 1,810,831 | |
Gramercy Property Trust | | | 42,053 | | | | 1,148,888 | |
Griffin Industrial Realty, Inc. | | | 134 | | | | 5,895 | |
HCP, Inc. | | | 14,696 | | | | 379,451 | |
Healthcare Realty Trust, Inc. | | | 32,468 | | | | 944,169 | |
| | | | | | | | |
Healthcare Trust of America, Inc. | | | 6,379 | | | | 171,978 | |
Hersha Hospitality Trust | | | 9,533 | | | | 204,483 | |
Highwoods Properties, Inc. | | | 3,171 | | | | 160,865 | |
Hospitality Properties Trust | | | 121,684 | | | | 3,481,379 | |
Host Hotels & Resorts, Inc. | | | 250,687 | | | | 5,281,975 | |
Hudson Pacific Properties, Inc. | | | 4,226 | | | | 149,727 | |
Independence Realty Trust, Inc. | | | 22,882 | | | | 235,913 | |
Industrial Logistics Properties Trust | | | 5,193 | | | | 116,064 | |
InfraREIT, Inc. | | | 11,573 | | | | 256,573 | |
Innovative Industrial Properties, Inc. | | | 1,648 | | | | 60,350 | |
Investors Real Estate Trust | | | 31,110 | | | | 172,038 | |
Invitation Homes, Inc. | | | 9,339 | | | | 215,357 | |
Iron Mountain, Inc. | | | 8,860 | | | | 310,189 | |
iStar, Inc. (1) | | | 17,718 | | | | 191,177 | |
JBG SMITH Properties | | | 3,192 | | | | 116,412 | |
Jernigan Capital, Inc. | | | 3,285 | | | | 62,612 | |
Jones Lang LaSalle, Inc. | | | 1,417 | | | | 235,208 | |
Kennedy-Wilson Holdings, Inc. | | | 16,229 | | | | 343,243 | |
Kilroy Realty Corp. | | | 64,224 | | | | 4,857,903 | |
Kimco Realty Corp. | | | 12,703 | | | | 215,824 | |
Kite Realty Group Trust | | | 21,745 | | | | 371,405 | |
Lamar Advertising Co. | | | 237 | | | | 16,189 | |
LaSalle Hotel Properties | | | 29,005 | | | | 992,841 | |
Lexington Realty Trust | | | 305,094 | | | | 2,663,471 | |
Liberty Property Trust | | | 4,606 | | | | 204,184 | |
Life Storage, Inc. | | | 1,351 | | | | 131,466 | |
LTC Properties, Inc. | | | 10,189 | | | | 435,478 | |
Mack Cali Realty Corp. | | | 107,724 | | | | 2,184,643 | |
MedEquities Realty Trust, Inc. | | | 7,300 | | | | 80,446 | |
Medical Properties Trust, Inc. | | | 280,570 | | | | 3,939,203 | |
Mid-America Apartment Communities, Inc. | | | 3,542 | | | | 356,573 | |
Monmouth Real Estate Investment Corp. | | | 16,699 | | | | 276,034 | |
National Health Investors, Inc. | | | 33,697 | | | | 2,482,795 | |
National Retail Properties, Inc. | | | 4,782 | | | | 210,217 | |
National Storage Affiliates Trust Co. | | | 11,911 | | | | 367,097 | |
New Senior Investment Group, Inc. | | | 19,721 | | | | 149,288 | |
NexPoint Residential Trust, Inc. | | | 4,275 | | | | 121,624 | |
NorthStar Realty Europe Corp. | | | 12,266 | | | | 177,734 | |
Omega Healthcare Investors, Inc. | | | 165,512 | | | | 5,130,872 | |
One Liberty Properties, Inc. | | | 4,007 | | | | 105,825 | |
| | | | | | | | |
Outfront Media, Inc. | | | 85,994 | | | | 1,672,583 | |
Paramount Group, Inc. | | | 6,494 | | | | 100,008 | |
Park Hotels & Resorts, Inc. | | | 6,243 | | | | 191,223 | |
Pebblebrook Hotel Trust | | | 390,922 | | | | 15,167,774 | |
Pennsylvania Real Estate Investment Trust | | | 9,473 | | | | 104,108 | |
Physicians Realty Trust | | | 534,195 | | | | 8,515,068 | |
Piedmont Office Realty Trust, Inc. | | | 179,404 | | | | 3,575,522 | |
PotlatchDeltic Corp. | | | 16,162 | | | | 821,838 | |
Preferred Apartment Communities, Inc. | | | 10,534 | | | | 178,973 | |
PS Business Parks, Inc. | | | 1,676 | | | | 215,366 | |
QTS Realty Trust, Inc. | | | 249,921 | | | | 9,871,880 | |
Quality Care Properties, Inc. (1) | | | 24,595 | | | | 529,038 | |
Ramco-Gershenson Properties Trust | | | 20,701 | | | | 273,460 | |
Rayonier, Inc. | | | 4,028 | | | | 155,843 | |
Re/Max Holdings, Inc. | | | 4,638 | | | | 243,263 | |
Realogy Holdings Corp. | | | 3,967 | | | | 90,448 | |
Realty Income Corp. | | | 8,889 | | | | 478,139 | |
Regency Centers Corp. | | | 185,737 | | | | 11,530,553 | |
Retail Opportunity Investments Corp. | | | 28,881 | | | | 553,360 | |
Retail Properties of America, Inc. | | | 6,847 | | | | 87,505 | |
Rexford Industrial Realty, Inc. | | | 21,367 | | | | 670,710 | |
RLJ Lodging Trust | | | 45,661 | | | | 1,006,825 | |
Sabra Health Care REIT, Inc. | | | 174,384 | | | | 3,789,364 | |
Safety Income & Growth, Inc. | | | 1,874 | | | | 35,550 | |
Saul Centers, Inc. | | | 298 | | | | 15,967 | |
Select Income REIT | | | 157,580 | | | | 3,540,823 | |
Senior Housing Properties Trust | | | 235,894 | | | | 4,267,322 | |
Seritage Growth Properties | | | 8,366 | | | | 354,969 | |
SL Green Realty Corp. | | | 150,863 | | | | 15,166,257 | |
Spirit MTA REIT (1) | | | 62,594 | | | | 644,718 | |
Spirit Realty Capital, Inc. | | | 528,173 | | | | 4,241,229 | |
STAG Industrial, Inc. | | | 25,560 | | | | 695,999 | |
STORE Capital Corp. | | | 543,903 | | | | 14,902,942 | |
Stratus Properties, Inc. (1) | | | 1,377 | | | | 42,067 | |
Summit Hotel Properties, Inc. | | | 140,221 | | | | 2,006,563 | |
Sun Communities, Inc. | | | 2,439 | | | | 238,729 | |
Sunstone Hotel Investors, Inc. | | | 59,281 | | | | 985,250 | |
Tejon Ranch Co. (1) | | | 5,492 | | | | 133,460 | |
Terreno Realty Corp. | | | 14,194 | | | | 534,688 | |
The GEO Group, Inc. | | | 24,987 | | | | 688,142 | |
| | | | | | | | |
The Howard Hughes Corp. (1) | | | 147,832 | | | | 19,587,740 | |
The Macerich Co. | | | 4,248 | | | | 241,414 | |
The St. Joe Co. (1) | | | 9,676 | | | | 173,684 | |
Tier REIT, Inc. | | | 12,465 | | | | 296,418 | |
Transcontinental Realty Investors, Inc. (1) | | | 515 | | | | 17,227 | |
UDR, Inc. | | | 8,295 | | | | 311,394 | |
UMH Properties, Inc. | | | 1,353 | | | | 20,769 | |
Uniti Group, Inc. | | | 5,150 | | | | 103,155 | |
Universal Health Realty Income Trust | | | 296 | | | | 18,938 | |
Urban Edge Properties | | | 24,474 | | | | 559,720 | |
Urstadt Biddle Properties, Inc. | | | 7,710 | | | | 174,477 | |
Ventas, Inc. | | | 11,126 | | | | 633,626 | |
VEREIT, Inc. | | | 621,436 | | | | 4,623,484 | |
VICI Properties, Inc. | | | 8,508 | | | | 175,605 | |
Vornado Realty Trust | | | 5,385 | | | | 398,059 | |
W.P. Carey, Inc. | | | 3,308 | | | | 219,486 | |
Washington Prime Group, Inc. | | | 326,880 | | | | 2,650,997 | |
Washington Real Estate Investment Trust | | | 21,006 | | | | 637,112 | |
Weingarten Realty Investors | | | 3,731 | | | | 114,952 | |
Welltower, Inc. | | | 11,634 | | | | 729,335 | |
Weyerhaeuser Co. | | | 23,672 | | | | 863,081 | |
Whitestone REIT | | | 10,165 | | | | 126,859 | |
Xenia Hotels & Resorts, Inc. | | | 196,738 | | | | 4,792,538 | |
| | | | | | | | |
| | | | | | | 320,576,660 | |
| | | | | | | | |
Telecommunication Services - 0.18% | | | | | | | | |
ATN International, Inc. | | | 2,725 | | | | 143,798 | |
CenturyLink, Inc. | | | 29,896 | | | | 557,261 | |
Cincinnati Bell, Inc. (1) | | | 10,895 | | | | 171,051 | |
Consolidated Communications Holdings, Inc. | | | 18,238 | | | | 225,422 | |
Frontier Communications Corp. | | | 20,231 | | | | 108,438 | |
Hawaiian Telcom Holdco, Inc. (1) | | | 1,353 | | | | 39,129 | |
Intelsat S.A. (1) | | | 10,339 | | | | 172,248 | |
Iridium Communications, Inc. (1) | | | 24,873 | | | | 400,455 | |
NII Holdings, Inc. (1) | | | 22,857 | | | | 89,142 | |
pdvWireless, Inc. (1) | | | 2,284 | | | | 56,986 | |
RingCentral, Inc. (1) | | | 77,050 | | | | 5,420,468 | |
Spok Holdings, Inc. | | | 4,958 | | | | 74,618 | |
Sprint Corp. (1) | | | 20,114 | | | | 109,420 | |
Telephone & Data Systems, Inc. | | | 3,059 | | | | 83,878 | |
United States Cellular Corp. (1) | | | 366 | | | | 13,557 | |
Windstream Holdings, Inc. (1) | | | 10,631 | | | | 56,025 | |
| | | | | | | | |
| | | | | | | 7,721,896 | |
| | | | | | | | |
| | | | | | | | |
Utilities - 6.35% | | | | | | | | |
AES Corp. | | | 145,263 | | | | 1,947,977 | |
ALLETE, Inc. | | | 13,392 | | | | 1,036,675 | |
Alliant Energy Corp. | | | 323,831 | | | | 13,704,528 | |
Ameren Corp. | | | 251,723 | | | | 15,317,345 | |
American States Water Co. | | | 2,913 | | | | 166,507 | |
American Water Works Co., Inc. | | | 5,569 | | | | 475,481 | |
Aqua America, Inc. | | | 5,562 | | | | 195,671 | |
AquaVenture Holdings Ltd. (1) | | | 2,744 | | | | 42,752 | |
Artesian Resources Corp. | | | 2,140 | | | | 82,968 | |
Atlantic Power Corp. (1) | | | 27,806 | | | | 61,173 | |
Atlantica Yield Plc | | | 858,225 | | | | 17,318,981 | |
Atmos Energy Corp. | | | 3,400 | | | | 306,476 | |
Avangrid, Inc. | | | 1,750 | | | | 92,627 | |
Avista Corp. | | | 17,147 | | | | 902,961 | |
Black Hills Corp. | | | 13,953 | | | | 854,063 | |
Cadiz, Inc. (1) | | | 5,499 | | | | 72,037 | |
California Water Service Group | | | 11,352 | | | | 442,160 | |
CenterPoint Energy, Inc. | | | 13,491 | | | | 373,836 | |
Chesapeake Utilities Corp. | | | 3,668 | | | | 293,257 | |
CMS Energy Corp. | | | 323,856 | | | | 15,311,912 | |
Connecticut Water Services, Inc. | | | 3,077 | | | | 200,990 | |
Consolidated Edison, Inc. | | | 9,737 | | | | 759,291 | |
Consolidated Water Co., Inc. | | | 3,614 | | | | 46,621 | |
DTE Energy Co. | | | 100,239 | | | | 10,387,768 | |
Edison International | | | 127,695 | | | | 8,079,263 | |
El Paso Electric Co. | | | 10,524 | | | | 621,968 | |
Entergy Corp. | | | 273,293 | | | | 22,079,341 | |
Evergy, Inc. (1) | | | 115,188 | | | | 6,467,806 | |
Eversource Energy | | | 264,699 | | | | 15,514,008 | |
Exelon Corp. | | | 88,500 | | | | 3,770,100 | |
FirstEnergy Corp. | | | 252,706 | | | | 9,074,672 | |
Hawaiian Electric Industries, Inc. | | | 3,381 | | | | 115,968 | |
IDACORP, Inc. | | | 13,127 | | | | 1,210,834 | |
MDU Resources Group, Inc. | | | 6,061 | | | | 173,829 | |
MGE Energy, Inc. | | | 89,398 | | | | 5,636,544 | |
Middlesex Water Co. | | | 532 | | | | 22,434 | |
National Fuel Gas Co. | | | 71,535 | | | | 3,788,494 | |
New Jersey Resources Corp. | | | 20,993 | | | | 939,437 | |
NiSource, Inc. | | | 11,329 | | | | 297,726 | |
Northwest Natural Gas Co. | | | 7,418 | | | | 473,268 | |
NorthWestern Corp. | | | 12,993 | | | | 743,849 | |
NRG Energy, Inc. | | | 9,826 | | | | 301,658 | |
NRG Yield, Inc. - Class A | | | 8,709 | | | | 148,488 | |
NRG Yield, Inc. - Class C | | | 17,446 | | | | 300,071 | |
OGE Energy Corp. | | | 6,228 | | | | 219,288 | |
ONE Gas, Inc. | | | 98,385 | | | | 7,353,295 | |
Ormat Technologies, Inc. | | | 10,298 | | | | 547,751 | |
| | | | | | | | |
Otter Tail Corp. | | | 10,249 | | | | 487,852 | |
Pattern Energy Group, Inc. | | | 20,996 | | | | 393,675 | |
PG&E Corp. | | | 108,648 | | | | 4,624,059 | |
Pinnacle West Capital Corp. | | | 216,644 | | | | 17,452,841 | |
PNM Resources, Inc. | | | 20,747 | | | | 807,058 | |
Portland General Electric Co. | | | 138,834 | | | | 5,936,542 | |
PPL Corp. | | | 21,895 | | | | 625,102 | |
Public Service Enterprise Group, Inc. | | | 204,169 | | | | 11,053,710 | |
Pure Cycle Corp. (1) | | | 1,903 | | | | 18,174 | |
RGC Resources, Inc. | | | 1,818 | | | | 53,049 | |
SCANA Corp. | | | 100,951 | | | | 3,888,633 | |
Sempra Energy | | | 8,264 | | | | 959,533 | |
SJW Group | | | 1,559 | | | | 103,237 | |
South Jersey Industries, Inc. | | | 19,005 | | | | 636,097 | |
Southwest Gas Holdings, Inc. | | | 12,622 | | | | 962,680 | |
Spire, Inc. | | | 12,863 | | | | 908,771 | |
TerraForm Power, Inc. | | | 15,564 | | | | 182,099 | |
UGI Corp. | | | 5,397 | | | | 281,022 | |
Unitil Corp. | | | 3,733 | | | | 190,532 | |
Vectren Corp. | | | 2,599 | | | | 185,699 | |
Vistra Energy Corp. (1) | | | 624,620 | | | | 14,778,509 | |
WEC Energy Group, Inc. | | | 239,491 | | | | 15,483,093 | |
WGL Holdings, Inc. | | | 13,325 | | | | 1,182,594 | |
Xcel Energy, Inc. | | | 356,591 | | | | 16,289,077 | |
York Water Co. | | | 186 | | | | 5,915 | |
| | | | | | | | |
| | | | | | | 265,763,702 | |
| | | | | | | | |
Total Common Stocks (Cost $3,599,728,929) | | | | | | $ | 4,068,467,383 | |
| | | | | | | | |
SHORT-TERM INVESTMENTS - 2.54% | | | | | | | | |
Money Market Funds - 2.54% | | | | | | | | |
Goldman Sachs Financial Square Government Fund - Class I, 1.81% (2) | | | 53,172,467 | | | $ | 53,172,467 | |
JPMorgan U.S. Government Money Market Fund - Class I, 1.79% (2) | | | 53,172,467 | | | | 53,172,467 | |
| | | | | | | | |
Total Short-Term Investments (Cost $106,344,934) | | | | | | $ | 106,344,934 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES - 99.74%
(Cost $3,706,073,863) | | | | | | $ | 4,174,812,317 | |
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.26% | | | | | | | 11,006,726 | |
| | | | | | | | |
TOTAL NET ASSETS - 100.00% | | | | | | $ | 4,185,819,043 | |
| | | | | | | | |
Percentages are stated as a percent of net assets.
| ADR | American Depositary Receipt |
| (1) | Non-income producing security. |
| (2) | Represents annualized seven-day yield as of the close of the reporting period. |
| (3) | Security is categorized as Level 3 per the Trust’s fair value hierarchy. This security represents $0 or 0.00% of the Fund’s net assets. |
The sector classifications listed above are in accordance with Global Industry Classification Standards (GICS), which was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor’s Financial Services LLC (“S&P”).
Bridge Builder International Equity Fund
Schedule of Investments
June 30, 2018
| | | | | | | | |
| | | Shares | | | Value | |
COMMON STOCKS - 95.94% | | | | | | | | |
Australia - 2.27% | | | | | | | | |
AGL Energy Ltd. | | | 16,459 | | | $ | 273,858 | |
Alumina Ltd. | | | 66,744 | | | | 138,119 | |
Amcor Ltd. | | | 29,396 | | | | 313,205 | |
AMP Ltd. | | | 76,788 | | | | 201,968 | |
APA Group | | | 29,611 | | | | 215,729 | |
Aristocrat Leisure Ltd. | | | 14,551 | | | | 332,307 | |
ASX Ltd. | | | 4,988 | | | | 237,767 | |
Atlassian Corporation Plc (1) | | | 56,849 | | | | 3,554,199 | |
Aurizon Holdings Ltd. | | | 48,612 | | | | 155,458 | |
AusNet Services | | | 47,802 | | | | 56,775 | |
Australia & New Zealand Banking Group Ltd. | | | 76,713 | | | | 1,605,571 | |
Bank of Queensland Ltd. | | | 9,929 | | | | 74,759 | |
Bendigo & Adelaide Bank Ltd. | | | 12,492 | | | | 100,075 | |
BHP Billiton Ltd. | | | 84,678 | | | | 2,118,815 | |
BHP Billiton Plc | | | 55,438 | | | | 1,244,162 | |
BlueScope Steel Ltd. | | | 13,816 | | | | 176,328 | |
Boral Ltd. | | | 30,506 | | | | 147,177 | |
Brambles Ltd. | | | 40,848 | | | | 268,178 | |
Caltex Australia Ltd. | | | 6,414 | | | | 154,358 | |
Challenger Ltd. | | | 14,378 | | | | 125,826 | |
CIMIC Group Ltd. | | | 2,489 | | | | 77,807 | |
Coca-Cola Amatil Ltd. | | | 12,464 | | | | 84,776 | |
Cochlear Ltd. | | | 241,911 | | | | 35,815,339 | |
Commonwealth Bank of Australia | | | 46,179 | | | | 2,490,552 | |
Computershare Ltd. | | | 11,314 | | | | 154,125 | |
Crown Resorts Ltd. | | | 9,137 | | | | 91,167 | |
CSL Ltd. | | | 364,096 | | | | 51,826,572 | |
Dexus Property Group | | | 26,442 | | | | 190,059 | |
Domino’s Pizza Enterprises Ltd. | | | 1,586 | | | | 61,252 | |
Flight Centre Travel Group Ltd. | | | 1,402 | | | | 65,998 | |
Fortescue Metals Group Ltd. | | | 40,066 | | | | 130,093 | |
Goodman Group | | | 42,635 | | | | 303,938 | |
GPT Group | | | 47,650 | | | | 178,284 | |
Harvey Norman Holdings Ltd. | | | 13,455 | | | | 33,055 | |
Healthscope Ltd. | | | 42,749 | | | | 69,754 | |
Incitec Pivot Ltd. | | | 41,901 | | | | 112,420 | |
Insurance Australia Group Ltd. | | | 59,547 | | | | 375,664 | |
LendLease Group | | | 14,992 | | | | 219,507 | |
| | | | | | | | |
Macquarie Group Ltd. | | | 8,219 | | | | 749,049 | |
Medibank Pvt Ltd. | | | 69,483 | | | | 150,030 | |
Mirvac Group | | | 94,446 | | | | 151,587 | |
National Australia Bank Ltd. | | | 71,375 | | | | 1,449,242 | |
Newcrest Mining Ltd. | | | 19,480 | | | | 316,300 | |
Oil Search Ltd. | | | 34,682 | | | | 227,859 | |
Orica Ltd. | | | 11,694 | | | | 153,524 | |
Origin Energy Ltd. (1) | | | 44,518 | | | | 330,197 | |
QBE Insurance Group Ltd. | | | 2,601,061 | | | | 18,725,697 | |
Ramsay Health Care Ltd. | | | 3,490 | | | | 139,367 | |
REA Group Ltd. | | | 1,339 | | | | 89,862 | |
Santos Ltd. (1) | | | 45,084 | | | | 208,813 | |
Scentre Group | | | 138,135 | | | | 448,808 | |
Seek Ltd. | | | 1,134,662 | | | | 18,285,197 | |
Sonic Healthcare Ltd. | | | 10,133 | | | | 183,813 | |
South32 Ltd. | | | 135,984 | | | | 363,121 | |
Stockland | | | 62,649 | | | | 184,075 | |
Suncorp Group Ltd. | | | 32,742 | | | | 353,106 | |
Sydney Airport | | | 28,415 | | | | 150,427 | |
Tabcorp Holdings Ltd. | | | 49,745 | | | | 163,989 | |
Telstra Corp. Ltd. | | | 108,688 | | | | 210,218 | |
TPG Telecom Ltd. | | | 12,516 | | | | 47,843 | |
Transurban Group | | | 56,859 | | | | 503,502 | |
Treasury Wine Estates Ltd. | | | 1,513,646 | | | | 19,447,373 | |
Vicinity Centres | | | 87,348 | | | | 167,518 | |
Wesfarmers Ltd. | | | 28,779 | | | | 1,050,039 | |
Westpac Banking Corp. | | | 89,779 | | | | 1,949,728 | |
Woodside Petroleum Ltd. | | | 22,854 | | | | 598,923 | |
Woolworths Group Ltd. | | | 33,160 | | | | 748,876 | |
| | | | | | | | |
| | | | | | | 171,323,079 | |
| | | | | | | | |
Austria - 0.01% | | | | | | | | |
Andritz AG | | | 1,734 | | | | 91,904 | |
Erste Group Bank AG | | | 7,626 | | | | 317,928 | |
OMV AG | | | 3,876 | | | | 219,218 | |
Raiffeisen Bank International AG | | | 3,699 | | | | 113,335 | |
voestalpine AG | | | 3,031 | | | | 139,375 | |
| | | | | | | | |
| | | | | | | 881,760 | |
| | | | | | | | |
Belgium - 0.91% | | | | | | | | |
Ageas | | | 4,993 | | | | 251,363 | |
Anheuser-Busch InBev SA/NV | | | 409,138 | | | | 41,267,747 | |
| | | | | | | | |
Colruyt SA | | | 1,478 | | | | 84,268 | |
Groupe Bruxelles Lambert SA | | | 2,148 | | | | 225,970 | |
KBC Groep NV | | | 76,539 | | | | 5,878,210 | |
Proximus | | | 3,793 | | | | 85,313 | |
Solvay SA | | | 162,022 | | | | 20,404,839 | |
Telenet Group Holding NV (1) | | | 1,319 | | | | 61,408 | |
UCB SA | | | 3,265 | | | | 255,945 | |
Umicore SA | | | 5,256 | | | | 300,052 | |
| | | | | | | | |
| | | | | | | 68,815,115 | |
| | | | | | | | |
Brazil - 0.68% | | | | | | | | |
Ambev SA - ADR | | | 3,033,875 | | | | 14,046,841 | |
Pagseguro Digital Ltd. (1) | | | 202,520 | | | | 5,619,930 | |
Raia Drogasil SA | | | 1,873,474 | | | | 31,666,460 | |
| | | | | | | | |
| | | | | | | 51,333,231 | |
| | | | | | | | |
Canada - 2.51% | | | | | | | | |
Cameco Corp. | | | 783,992 | | | | 8,819,910 | |
Canadian Pacific Railway Ltd. | | | 226,781 | | | | 41,505,459 | |
Dollarama, Inc. (1) | | | 536,262 | | | | 20,787,215 | |
Fairfax Financial Holdings Ltd. (1) | | | 30,238 | | | | 16,943,768 | |
First Quantum Minerals Ltd. | | | 273,060 | | | | 4,023,255 | |
Lululemon Athletica, Inc. (1) | | | 147,420 | | | | 18,405,387 | |
Lundin Mining Corp. (1) | | | 688,614 | | | | 3,828,980 | |
Quebecor, Inc. (1) | | | 475,990 | | | | 9,746,815 | |
Shaw Communications, Inc. (1) | | | 449,285 | | | | 9,152,134 | |
Shopify, Inc. (1) | | | 380,496 | | | | 55,510,561 | |
| | | | | | | | |
| | | | | | | 188,723,484 | |
| | | | | | | | |
Chile - 0.05% | | | | | | | | |
Antofagasta Plc | | | 305,149 | | | | 3,964,555 | |
| | | | | | | | |
China - 4.09% | | | | | | | | |
Alibaba Group Holding Ltd. - ADR (1) | | | 326,564 | | | | 60,587,419 | |
Baidu, Inc. - ADR (1) | | | 105,404 | | | | 25,613,172 | |
Ctrip.com International Ltd. - ADR (1) | | | 375,736 | | | | 17,896,306 | |
JD.com, Inc. - ADR (1) | | | 671,433 | | | | 26,152,315 | |
Lenovo Group Ltd. | | | 102,128,000 | | | | 54,971,487 | |
Minth Group Ltd. | | | 18,000 | | | | 76,135 | |
NetEase, Inc. - ADR | | | 48,790 | | | | 12,327,769 | |
Shanghai Fosun Pharmaceutical Group Ltd. | | | 7,697,000 | | | | 42,080,943 | |
Tencent Holdings Ltd. | | | 919,306 | | | | 46,163,321 | |
Tsingtao Brewery Co. Ltd. | | | 4,065,000 | | | | 22,272,435 | |
Yangzijiang Shipbuilding Holdings Ltd. | | | 63,500 | | | | 42,028 | |
| | | | | | | | |
| | | | | | | 308,183,330 | |
| | | | | | | | |
| | | | | | | | |
Denmark - 1.44% | | | | | | | | |
A.P. Moller-Maersk A/S - Class A | | | 94 | | | | 111,086 | |
A.P. Moller-Maersk A/S - Class B | | | 11,270 | | | | 13,942,115 | |
Carlsberg A/S | | | 2,685 | | | | 315,913 | |
CHR Hansen Holding A/S | | | 346,573 | | | | 31,905,819 | |
Coloplast A/S | | | 2,982 | | | | 297,730 | |
Danske Bank A/S | | | 256,496 | | | | 7,990,850 | |
DSV A/S | | | 4,788 | | | | 385,442 | |
FLSmidth & Co. A/S | | | 120,625 | | | | 7,197,244 | |
Genmab A/S (1) | | | 1,568 | | | | 241,265 | |
H Lundbeck A/S | | | 1,749 | | | | 122,581 | |
ISS A/S | | | 4,334 | | | | 148,448 | |
Novo Nordisk A/S - Class B | | | 342,300 | | | | 15,811,030 | |
Novozymes A/S | | | 577,701 | | | | 29,219,101 | |
Orsted A/S (2) | | | 4,888 | | | | 295,339 | |
Pandora A/S | | | 2,893 | | | | 201,635 | |
Tryg A/S | | | 3,301 | | | | 77,304 | |
Vestas Wind Systems A/S | | | 5,248 | | | | 323,992 | |
William Demant Holding A/S (1) | | | 2,853 | | | | 114,497 | |
| | | | | | | | |
| | | | | | | 108,701,391 | |
| | | | | | | | |
Finland - 0.97% | | | | | | | | |
Elisa OYJ | | | 3,862 | | | | 178,414 | |
Fortum OYJ | | | 11,701 | | | | 278,708 | |
Kone OYJ | | | 344,721 | | | | 17,527,542 | |
Metso OYJ | | | 222,714 | | | | 7,428,666 | |
Neste OYJ | | | 3,311 | | | | 259,049 | |
Nokia OYJ | | | 7,966,929 | | | | 45,697,410 | |
Nokian Renkaat OYJ | | | 2,870 | | | | 113,015 | |
Orion OYJ - Class B | | | 2,650 | | | | 71,272 | |
Sampo OYJ | | | 11,581 | | | | 564,003 | |
Stora Enso OYJ | | | 14,322 | | | | 279,021 | |
UPM-Kymmene OYJ | | | 13,654 | | | | 486,153 | |
Wartsila OYJ Abp | | | 11,059 | | | | 216,500 | |
| | | | | | | | |
| | | | | | | 73,099,753 | |
| | | | | | | | |
France - 6.41% | | | | | | | | |
Accor SA | | | 261,280 | | | | 12,796,447 | |
Aeroports de Paris | | | 731 | | | | 165,126 | |
Air Liquide SA | | | 10,875 | | | | 1,363,131 | |
Airbus SE | | | 14,745 | | | | 1,720,667 | |
| | | | | | | | |
Alstom | | | 3,915 | | | | 179,614 | |
Amundi (2) | | | 1,571 | | | | 108,595 | |
Arkema SA | | | 1,706 | | | | 201,309 | |
Atos SE | | | 2,400 | | | | 326,345 | |
AXA SA | | | 50,926 | | | | 1,244,316 | |
BioMerieux | | | 1,060 | | | | 95,239 | |
BNP Paribas SA | | | 29,651 | | | | 1,834,122 | |
Bollore SA | | | 27,794 | | | | 129,074 | |
Bouygues SA | | | 164,897 | | | | 7,085,305 | |
Bureau Veritas SA | | | 6,873 | | | | 183,216 | |
Capgemini SE | | | 4,017 | | | | 538,318 | |
Carrefour SA | | | 15,073 | | | | 243,142 | |
Casino Guichard Perrachon SA | | | 1,532 | | | | 59,290 | |
Cie de Saint-Gobain | | | 557,113 | | | | 24,816,599 | |
CNP Assurances | | | 4,412 | | | | 100,239 | |
Covivio | | | 1,042 | | | | 108,267 | |
Credit Agricole SA | | | 682,035 | | | | 9,052,343 | |
Danone SA | | | 244,747 | | | | 17,869,611 | |
Dassault Aviation SA | | | 62 | | | | 117,891 | |
Dassault Systemes | | | 3,269 | | | | 457,476 | |
Edenred | | | 5,790 | | | | 182,887 | |
Eiffage SA | | | 2,013 | | | | 218,700 | |
Electricite de France SA | | | 15,067 | | | | 206,748 | |
Engie | | | 48,196 | | | | 737,231 | |
Essilor International Cie Generale d’Optique SA | | | 190,135 | | | | 26,808,348 | |
Eurazeo SA | | | 1,378 | | | | 104,304 | |
Eutelsat Communications SA | | | 4,695 | | | | 97,164 | |
Faurecia SA | | | 1,905 | | | | 135,420 | |
Gecina SA | | | 1,246 | | | | 208,155 | |
Getlink | | | 11,953 | | | | 163,874 | |
Hermes International | | | 795 | | | | 485,630 | |
ICADE | | | 792 | | | | 74,185 | |
Iliad SA | | | 48,427 | | | | 7,641,069 | |
Imerys SA | | | 881 | | | | 71,103 | |
Ingenico Group | | | 1,504 | | | | 134,855 | |
Ipsen SA | | | 981 | | | | 153,438 | |
JCDecaux SA | | | 1,960 | | | | 65,448 | |
Kering SA | | | 1,923 | | | | 1,083,227 | |
Klepierre | | | 5,546 | | | | 208,381 | |
Legrand SA | | | 305,185 | | | | 22,353,944 | |
| | | | | | | | |
L’Oreal SA | | | 6,395 | | | | 1,576,540 | |
LVMH Moet Hennessy Louis Vuitton SE | | | 133,551 | | | | 44,341,516 | |
Michelin | | | 4,390 | | | | 531,094 | |
Natixis SA | | | 24,123 | | | | 170,684 | |
Orange SA | | | 52,366 | | | | 874,102 | |
Pernod Ricard SA | | | 209,785 | | | | 34,237,963 | |
Peugeot SA | | | 15,499 | | | | 353,149 | |
Publicis Groupe SA | | | 282,116 | | | | 19,359,520 | |
Remy Cointreau SA | | | 581 | | | | 75,219 | |
Renault SA | | | 5,036 | | | | 426,658 | |
Rexel SA | | | 1,230,230 | | | | 17,660,114 | |
Safran SA | | | 8,468 | | | | 1,025,518 | |
Sanofi SA | | | 1,184,873 | | | | 95,097,456 | |
Schneider Electric SE | | | 231,375 | | | | 19,242,731 | |
SCOR SE | | | 4,484 | | | | 165,823 | |
SEB SA | | | 546 | | | | 95,258 | |
Societe BIC SA | | | 653 | | | | 60,548 | |
Societe Generale SA | | | 20,185 | | | | 848,375 | |
Sodexo SA | | | 2,282 | | | | 227,799 | |
Suez Environnement Co. | | | 10,206 | | | | 132,025 | |
Teleperformance | | | 1,442 | | | | 254,507 | |
Thales SA | | | 2,669 | | | | 343,378 | |
TOTAL SA | | | 1,121,390 | | | | 68,097,347 | |
Ubisoft Entertainment SA (1) | | | 2,009 | | | | 219,601 | |
Unibail-Rodamco-Westfield - Stapled Security (1) | | | 6,180 | | | | 67,093 | |
Unibail-Rodamco-Westfield - Stapled Security (1) | | | 54,128 | | | | 11,918,388 | |
Valeo SA | | | 6,015 | | | | 327,960 | |
Vallourec SA (1) | | | 1,236,240 | | | | 7,292,596 | |
Veolia Environnement SA | | | 13,598 | | | | 290,576 | |
Vinci SA | | | 157,736 | | | | 15,141,279 | |
Vivendi SA | | | 26,398 | | | | 645,773 | |
Wendel SA | | | 687 | | | | 94,525 | |
| | | | | | | | |
| | | | | | | 483,124,908 | |
| | | | | | | | |
Germany - 5.42% | | | | | | | | |
1&1 Drillisch AG | | | 1,327 | | | | 75,275 | |
Adidas AG | | | 280,762 | | | | 61,126,957 | |
Allianz SE | | | 148,463 | | | | 30,591,539 | |
Axel Springer SE | | | 1,194 | | | | 86,285 | |
BASF SE | | | 23,313 | | | | 2,225,661 | |
Bayer AG | | | 409,478 | | | | 44,970,404 | |
| | | | | | | | |
Bayer Motoren Werke AG | | | 8,712 | | | | 787,500 | |
Beiersdorf AG | | | 118,140 | | | | 13,390,963 | |
Brenntag AG | | | 259,747 | | | | 14,431,992 | |
Commerzbank AG (1) | | | 3,721,958 | | | | 35,505,096 | |
Continental AG | | | 2,761 | | | | 628,343 | |
Covestro AG (2) | | | 5,009 | | | | 445,219 | |
Daimler AG | | | 543,083 | | | | 34,788,367 | |
Delivery Hero AG (1)(2) | | | 2,262 | | | | 119,897 | |
Deutsche Bank AG | | | 52,327 | | | | 559,820 | |
Deutsche Boerse AG | | | 58,540 | | | | 7,783,145 | |
Deutsche Lufthansa AG | | | 6,754 | | | | 161,810 | |
Deutsche Post AG | | | 24,953 | | | | 810,733 | |
Deutsche Telekom AG | | | 1,292,454 | | | | 19,974,138 | |
Deutsche Wohnen SE | | | 9,022 | | | | 435,709 | |
E.ON SE | | | 3,496,184 | | | | 37,250,150 | |
Evonik Industries AG | | | 4,329 | | | | 148,111 | |
Fraport AG Frankfurt Airport Services Worldwide | | | 1,041 | | | | 100,149 | |
Fresenius Medical Care AG & Co. KGaA | | | 93,880 | | | | 9,452,925 | |
Fresenius SE & Co. KGaA | | | 10,560 | | | | 845,484 | |
GEA Group AG | | | 4,383 | | | | 147,612 | |
Hannover Rueck SE | | | 1,584 | | | | 196,926 | |
HeidelbergCement AG | | | 3,831 | | | | 321,676 | |
Henkel AG & Co. KGaA | | | 2,639 | | | | 293,014 | |
HOCHTIEF AG | | | 494 | | | | 89,085 | |
HUGO BOSS AG | | | 1,629 | | | | 147,733 | |
Infineon Technologies AG | | | 927,055 | | | | 23,548,429 | |
Innogy SE (2) | | | 3,719 | | | | 158,889 | |
K&S AG | | | 4,662 | | | | 114,681 | |
KION Group AG | | | 1,830 | | | | 131,357 | |
LANXESS AG | | | 2,203 | | | | 171,274 | |
Linde AG | | | 4,765 | | | | 1,132,065 | |
MAN SE | | | 863 | | | | 97,656 | |
Merck KGaA | | | 3,312 | | | | 322,415 | |
METRO AG | | | 5,112 | | | | 63,000 | |
MTU Aero Engines AG | | | 1,320 | | | | 252,835 | |
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | | | 4,069 | | | | 855,479 | |
OSRAM Licht AG | | | 2,558 | | | | 104,174 | |
ProSiebenSat.1 Media SE | | | 6,004 | | | | 151,931 | |
Puma SE | | | 204 | | | | 119,178 | |
RWE AG | | | 13,309 | | | | 302,441 | |
| | | | | | | | |
SAP SE | | | 116,068 | | | | 13,396,328 | |
Siemens AG | | | 102,865 | | | | 13,553,081 | |
Siemens Healthineers AG (1)(2) | | | 3,765 | | | | 155,151 | |
Symrise AG | | | 3,095 | | | | 270,734 | |
Telefonica Deutschland Holding AG | | | 20,323 | | | | 79,950 | |
ThyssenKrupp AG | | | 11,086 | | | | 268,724 | |
TUI AG | | | 11,176 | | | | 244,441 | |
Uniper SE | | | 5,398 | | | | 160,714 | |
United Internet AG | | | 3,102 | | | | 177,099 | |
Volkswagen AG | | | 11,314 | | | | 1,859,944 | |
Vonovia SE | | | 12,795 | | | | 608,139 | |
Wirecard AG | | | 3,001 | | | | 480,222 | |
Zalando SE (1)(2) | | | 573,456 | | | | 31,959,893 | |
| | | | | | | | |
| | | | | | | 408,631,942 | |
| | | | | | | | |
Hong Kong - 4.71% | | | | | | | | |
AIA Group Ltd. | | | 8,004,985 | | | | 69,734,717 | |
ASM Pacific Technology Ltd. | | | 7,700 | | | | 97,047 | |
Bank Of East Asia Ltd. | | | 33,400 | | | | 133,121 | |
BOC Hong Kong Holdings Ltd. | | | 98,000 | | | | 460,594 | |
China Mobile Ltd. | | | 10,092,500 | | | | 89,550,218 | |
China Resources Power Holdings Co. Ltd. | | | 6,054,000 | | | | 10,639,416 | |
CK Asset Holdings Ltd. | | | 65,500 | | | | 518,518 | |
CK Hutchison Holdings Ltd. | | | 7,237,500 | | | | 76,616,341 | |
CK Infrastructure Holdings Ltd. | | | 17,000 | | | | 125,846 | |
CLP Holdings Ltd. | | | 43,000 | | | | 463,170 | |
Dairy Farm International Holdings Ltd. | | | 8,300 | | | | 72,871 | |
Galaxy Entertainment Group Ltd. | | | 5,077,000 | | | | 39,135,812 | |
Hang Lung Group Ltd. | | | 24,000 | | | | 67,200 | |
Hang Lung Properties Ltd. | | | 59,000 | | | | 121,190 | |
Hang Seng Bank Ltd. | | | 20,300 | | | | 506,898 | |
Henderson Land Development Co. Ltd. | | | 34,780 | | | | 183,405 | |
HK Electric Investments & HK Electric Investments Ltd. (2) | | | 73,000 | | | | 69,598 | |
HKT Trust & HKT Ltd. | | | 99,000 | | | | 126,286 | |
Hong Kong & China Gas Co. Ltd. | | | 233,811 | | | | 446,938 | |
Hong Kong Exchanges & Clearing Ltd. | | | 29,699 | | | | 888,818 | |
Hongkong Land Holdings Ltd. | | | 30,600 | | | | 218,757 | |
Hysan Development Co. Ltd. | | | 16,000 | | | | 89,304 | |
Jardine Matheson Holdings Ltd. | | | 282,100 | | | | 17,776,032 | |
Jardine Strategic Holdings Ltd. | | | 137,600 | | | | 5,012,557 | |
Kerry Properties Ltd. | | | 16,500 | | | | 78,852 | |
| | | | | | | | |
Li & Fung Ltd. | | | 140,000 | | | | 51,280 | |
Link Real Estate Investment Trust | | | 55,500 | | | | 506,126 | |
Melco Crown Entertainment Ltd. - ADR | | | 6,060 | | | | 169,680 | |
MTR Corp. Ltd. | | | 38,250 | | | | 211,280 | |
New World Development Co. Ltd. | | | 157,413 | | | | 220,207 | |
NWS Holdings Ltd. | | | 36,613 | | | | 63,184 | |
PCCW Ltd. | | | 103,000 | | | | 57,956 | |
Power Assets Holdings Ltd. | | | 37,000 | | | | 258,674 | |
Shangri-La Asia Ltd. | | | 32,000 | | | | 59,949 | |
Sino Land Co. Ltd. | | | 92,490 | | | | 150,294 | |
SJM Holdings Ltd. | | | 62,000 | | | | 76,894 | |
Sun Hung Kai Properties Ltd. | | | 42,000 | | | | 632,769 | |
Swire Pacific Ltd. - Class A | | | 3,593,000 | | | | 37,977,469 | |
Swire Properties Ltd. | | | 31,000 | | | | 114,327 | |
Techtronic Industries Co. Ltd. | | | 36,000 | | | | 199,940 | |
WH Group Ltd. (2) | | | 218,000 | | | | 176,403 | |
Wharf Holdings Ltd. | | | 33,000 | | | | 105,677 | |
Wharf Real Estate Investment Co. Ltd. | | | 33,000 | | | | 234,325 | |
Wheelock & Co. Ltd. | | | 21,000 | | | | 145,940 | |
Yue Yuen Industrial Holdings Ltd. | | | 20,500 | | | | 57,783 | |
| | | | | | | | |
| | | | | | | 354,603,663 | |
| | | | | | | | |
India - 1.40% | | | | | | | | |
Asian Paints Ltd. | | | 1,182,213 | | | | 21,821,644 | |
HDFC Bank Ltd. - ADR | | | 380,171 | | | | 39,925,559 | |
Housing Development Finance Corp. Ltd. | | | 642,801 | | | | 17,911,381 | |
Mahindra & Mahindra Ltd. - GDR | | | 1,427,108 | | | | 18,623,759 | |
MakeMyTrip Ltd. (1) | | | 205,500 | | | | 7,428,825 | |
| | | | | | | | |
| | | | | | | 105,711,168 | |
| | | | | | | | |
Indonesia - 0.36% | | | | | | | | |
Bank Negara Indonesia Persero Tbk PT | | | 54,888,200 | | | | 26,969,869 | |
| | | | | | | | |
Ireland - 2.17% | | | | | | | | |
Accenture Plc | | | 284,004 | | | | 46,460,214 | |
AerCap Holdings NV (1) | | | 4,148 | | | | 224,614 | |
AIB Group Plc | | | 20,324 | | | | 110,063 | |
Bank of Ireland Group Plc | | | 25,790 | | | | 200,140 | |
CRH Plc | | | 21,314 | | | | 749,707 | |
DCC Plc | | | 2,300 | | | | 208,562 | |
ICON Plc (1) | | | 228,988 | | | | 30,347,780 | |
James Hardie Industries Plc | | | 11,204 | | | | 187,847 | |
Kerry Group Plc | | | 3,900 | | | | 408,077 | |
| | | | | | | | |
Kingspan Group Plc | | | 186,987 | | | | 9,363,435 | |
Medtronic Plc | | | 263,525 | | | | 22,560,375 | |
Paddy Power Plc | | | 2,167 | | | | 240,409 | |
Perrigo Co. Plc | | | 306,685 | | | | 22,360,403 | |
Ryanair Holdings Plc - ADR (1) | | | 261,228 | | | | 29,840,074 | |
Smurfit Kappa Group Plc | | | 5,773 | | | | 233,063 | |
| | | | | | | | |
| | | | | | | 163,494,763 | |
| | | | | | | | |
Isle Of Man - 0.00% (3) | | | | | | | | |
GVC Holdings Plc | | | 14,076 | | | | 194,642 | |
| | | | | | | | |
Israel - 0.03% | | | | | | | | |
Azrieli Group Ltd. | | | 1,044 | | | | 51,893 | |
Bank Hapoalim BM | | | 27,571 | | | | 186,910 | |
Bank Leumi Le-Israel BM | | | 40,793 | | | | 241,376 | |
Bezeq The Israeli telecommunication Corp. Ltd. | | | 54,900 | | | | 61,872 | |
Check Point Software Technologies Ltd. (1) | | | 3,250 | | | | 317,460 | |
Elbit Systems Ltd. | | | 570 | | | | 67,112 | |
Frutarom Industries Ltd. | | | 993 | | | | 97,662 | |
Israel Chemicals Ltd. | | | 18,443 | | | | 84,499 | |
Mizrahi Tefahot Bank Ltd. | | | 3,436 | | | | 63,214 | |
Nice Ltd. (1) | | | 1,550 | | | | 160,419 | |
Teva Pharmaceutical Industries Ltd. - ADR | | | 25,448 | | | | 618,895 | |
| | | | | | | | |
| | | | | | | 1,951,312 | |
| | | | | | | | |
Italy - 3.24% | | | | | | | | |
Assicurazioni Generali SpA | | | 31,636 | | | | 528,890 | |
Atlantia SpA | | | 12,722 | | | | 375,073 | |
Davide Campari-Milano SpA | | | 14,294 | | | | 117,324 | |
Enel SpA | | | 10,268,894 | | | | 56,901,876 | |
Eni SpA | | | 5,959,920 | | | | 110,505,238 | |
Ferrari NV | | | 212,654 | | | | 28,744,305 | |
FinecoBank Banca Fineco SpA | | | 891,925 | | | | 10,040,465 | |
Intesa Sanpaolo SpA | | | 349,139 | | | | 1,010,155 | |
Intesa Sanpaolo SpA - Savings Share | | | 24,329 | | | | 73,510 | |
Leonardo SpA | | | 7,613 | | | | 74,930 | |
Luxottica Group SpA | | | 332,145 | | | | 21,385,426 | |
Mediobanca Banca di Credito Finanziario SpA | | | 16,732 | | | | 154,772 | |
Moncler SpA | | | 4,605 | | | | 208,952 | |
Pirelli & C SpA (1) (2) | | | 9,838 | | | | 81,923 | |
Poste Italiane SpA (2) | | | 14,292 | | | | 119,290 | |
Prysmian SpA | | | 5,420 | | | | 134,486 | |
Recordati SpA | | | 2,767 | | | | 109,643 | |
| | | | | | | | |
Saipem SpA (1) | | | 303,269 | | | | 1,390,845 | |
Snam SpA | | | 61,967 | | | | 258,242 | |
Telecom Italia SpA (1) | | | 7,240,479 | | | | 5,364,343 | |
Telecom Italia SpA - Savings Share | | | 157,142 | | | | 102,265 | |
Terna Rete Elettrica Nazionale SpA | | | 37,857 | | | | 204,454 | |
UniCredit SpA | | | 373,908 | | | | 6,197,312 | |
| | | | | | | | |
| | | | | | | 244,083,719 | |
| | | | | | | | |
Japan - 16.08% | | | | | | | | |
ABC-Mart, Inc. | | | 700 | | | | 38,260 | |
Acom Co. Ltd. | | | 10,200 | | | | 39,158 | |
Advantest Corp. | | | 627,000 | | | | 13,005,792 | |
Aeon Co. Ltd. | | | 15,200 | | | | 325,162 | |
Aeon Financial Service Co. Ltd. | | | 2,800 | | | | 59,679 | |
Aeon Mall Co. Ltd. | | | 2,600 | | | | 46,642 | |
Air Water, Inc. | | | 3,800 | | | | 69,690 | |
Aisin Seiki Co. | | | 4,200 | | | | 191,237 | |
Ajinomoto Co., Inc. | | | 12,965 | | | | 245,415 | |
Alfresa Holdings Corp. | | | 4,800 | | | | 112,715 | |
Alps Electric Co. | | | 1,452,700 | | | | 37,308,774 | |
Amada Holdings Co. | | | 8,700 | | | | 83,497 | |
ANA Holdings, Inc. | | | 2,900 | | | | 106,409 | |
Aozora Bank Ltd. | | | 3,100 | | | | 117,650 | |
Asahi Glass Co. Ltd. | | | 4,700 | | | | 182,811 | |
Asahi Group Holdings Ltd. | | | 9,500 | | | | 487,233 | |
Asahi Kasei Corp. | | | 31,700 | | | | 402,002 | |
Asics Corp. | | | 3,800 | | | | 64,148 | |
Astellas Pharma, Inc. | | | 49,900 | | | | 759,407 | |
Bandai Namco Holdings | | | 4,900 | | | | 201,838 | |
Bank of Kyoto Ltd. | | | 1,500 | | | | 69,257 | |
Benesse Holdings, Inc. | | | 1,900 | | | | 67,378 | |
Bridgestone Corp. | | | 16,000 | | | | 625,006 | |
Brother Industries Ltd. | | | 5,700 | | | | 112,296 | |
Calbee, Inc. | | | 1,900 | | | | 71,473 | |
Canon, Inc. | | | 391,900 | | | | 12,851,008 | |
Casio Computer Co. Ltd. | | | 4,700 | | | | 76,333 | |
Central Japan Railway Co. | | | 3,800 | | | | 786,711 | |
Century Tokyo Leasing Corp. | | | 1,000 | | | | 56,609 | |
Chiba Bank Ltd. | | | 15,400 | | | | 108,615 | |
Chubu Electric Power Co., Inc. | | | 16,600 | | | | 248,907 | |
Chugai Pharmaceutical Co. Ltd. | | | 5,600 | | | | 293,219 | |
| | | | | | | | |
Chugoku Electric Power Co., Inc. | | | 6,800 | | | | 87,843 | |
Coca-Cola Bottlers Japan Holdings, Inc. | | | 3,700 | | | | 148,035 | |
Concordia Financial Group Ltd. | | | 27,900 | | | | 141,783 | |
Credit Saison Co. Ltd. | | | 4,300 | | | | 67,557 | |
CyberAgent, Inc. | | | 2,500 | | | | 149,933 | |
CYBERDYNE, Inc. (1) | | | 2,800 | | | | 32,736 | |
Dai Nippon Printing Co. Ltd. | | | 6,900 | | | | 154,192 | |
Daicel Corp. | | | 7,200 | | | | 79,537 | |
Daifuku Co. Ltd. | | | 2,600 | | | | 113,598 | |
Dai-ichi Life Holdings, Inc. | | | 428,800 | | | | 7,631,631 | |
Daiichi Sankyo Co. Ltd. | | | 14,500 | | | | 553,951 | |
Daikin Industries Ltd. | | | 6,300 | | | | 752,932 | |
Daito Trust Construction Co. Ltd. | | | 1,800 | | | | 292,813 | |
Daiwa House Industry Co. Ltd. | | | 14,200 | | | | 483,110 | |
Daiwa House REIT Investment Corp. | | | 42 | | | | 99,748 | |
Daiwa Securities Group, Inc. | | | 41,900 | | | | 242,847 | |
DeNA Co. Ltd. | | | 2,800 | | | | 52,432 | |
Denso Corp. | | | 253,300 | | | | 12,359,579 | |
Dentsu, Inc. | | | 5,500 | | | | 260,358 | |
Disco Corp. | | | 700 | | | | 119,170 | |
Don Quijote Holdings Co. Ltd. | | | 2,900 | | | | 139,196 | |
East Japan Railway Co. | | | 466,100 | | | | 44,636,254 | |
Eisai Co. Ltd. | | | 6,400 | | | | 450,496 | |
Electric Power Development Co. Ltd. | | | 3,800 | | | | 98,079 | |
FamilyMart UNY Holdings Co. Ltd. | | | 1,950 | | | | 205,344 | |
FANUC Corp. | | | 142,200 | | | | 28,185,720 | |
Fast Retailing Co. Ltd. | | | 1,500 | | | | 687,504 | |
Fuji Electric Co. Ltd. | | | 16,000 | | | | 121,538 | |
FUJIFILM Holdings Corp. | | | 352,800 | | | | 13,760,145 | |
Fujitsu Ltd. | | | 3,609,000 | | | | 21,839,924 | |
Fukuoka Financial Group, Inc. | | | 20,000 | | | | 100,366 | |
Hakuhodo DY Holdings, Inc. | | | 5,900 | | | | 94,600 | |
Hamamatsu Photonics KK | | | 3,600 | | | | 154,539 | |
Hankyu Hanshin Holdings, Inc. | | | 6,000 | | | | 241,015 | |
Hikari Tsushin, Inc. | | | 500 | | | | 87,750 | |
Hino Motors Ltd. | | | 5,900 | | | | 62,913 | |
Hirose Electric Co. Ltd. | | | 1,045 | | | | 129,240 | |
Hisamitsu Pharmaceutical Co., Inc. | | | 1,900 | | | | 160,095 | |
Hitachi Chemical Co. Ltd. | | | 2,915 | | | | 58,684 | |
Hitachi Construction Machinery Co. Ltd. | | | 2,700 | | | | 87,534 | |
| | | | | | | | |
Hitachi High-Technologies Corp. | | | 1,680 | | | | 68,343 | |
Hitachi Ltd. | | | 123,000 | | | | 866,533 | |
Hitachi Metals Ltd. | | | 5,300 | | | | 54,955 | |
Honda Motor Co. Ltd. | | | 1,881,700 | | | | 55,173,296 | |
Hoshizaki Corp. | | | 1,400 | | | | 141,487 | |
Hoya Corp. | | | 9,700 | | | | 550,271 | |
Hulic Co. Ltd. | | | 7,300 | | | | 77,913 | |
Idemitsu Kosan Co. Ltd. | | | 3,600 | | | | 128,022 | |
IHI Corp. | | | 4,000 | | | | 139,136 | |
Iida Group Holdings Co. Ltd. | | | 178,900 | | | | 3,444,102 | |
Inpex Corp. | | | 1,432,200 | | | | 14,874,661 | |
Isetan Mitsukoshi Holdings Ltd. | | | 8,300 | | | | 103,550 | |
Isuzu Motors Ltd. | | | 1,714,500 | | | | 22,729,424 | |
ITOCHU Corp. | | | 218,000 | | | | 3,942,712 | |
J Front Retailing Co. Ltd. | | | 6,200 | | | | 94,184 | |
Japan Airlines Co. Ltd. | | | 3,000 | | | | 106,293 | |
Japan Airport Terminal Co. Ltd. | | | 1,200 | | | | 56,121 | |
Japan Exchange Group, Inc. | | | 13,100 | | | | 242,981 | |
Japan Post Bank Co. | | | 11,000 | | | | 127,892 | |
Japan Post Holdings Co. | | | 41,400 | | | | 453,072 | |
Japan Prime Realty Investment Corp. | | | 22 | | | | 79,924 | |
Japan Real Estate Investment Corp. | | | 35 | | | | 185,151 | |
Japan Retail Fund Investment Corp. | | | 67 | | | | 120,858 | |
Japan Tobacco, Inc. | | | 1,122,700 | | | | 31,375,443 | |
JFE Holdings, Inc. | | | 13,400 | | | | 253,095 | |
JGC Corp. | | | 5,100 | | | | 102,587 | |
JSR Corp. | | | 4,800 | | | | 81,572 | |
JTEKT Corp. | | | 5,400 | | | | 73,297 | |
JXTG Holdings, Inc. | | | 85,850 | | | | 595,608 | |
Kajima Corp. | | | 24,000 | | | | 185,440 | |
Kakaku.com, Inc. | | | 934,000 | | | | 21,031,791 | |
Kamigumi Co. Ltd. | | | 3,000 | | | | 62,268 | |
Kaneka Corp. | | | 7,000 | | | | 62,690 | |
Kansai Electric Power Co., Inc. | | | 18,600 | | | | 271,264 | |
Kansai Paint Co. Ltd. | | | 4,800 | | | | 99,612 | |
Kao Corp. | | | 216,500 | | | | 16,501,972 | |
Kawasaki Heavy Industries Ltd. | | | 3,775 | | | | 111,025 | |
KDDI Corp. | | | 47,500 | | | | 1,298,883 | |
Keihan Electric Railway Co. Ltd. | | | 2,200 | | | | 78,878 | |
Keikyu Corp. | | | 5,400 | | | | 88,449 | |
| | | | | | | | |
Keio Corp. | | | 2,800 | | | | 135,297 | |
Keisei Electric Railway Co. Ltd. | | | 3,600 | | | | 123,488 | |
Keyence Corp. | | | 82,954 | | | | 46,787,263 | |
Kikkoman Corp. | | | 3,700 | | | | 186,808 | |
Kintetsu Group Holdings Co. Ltd. | | | 4,300 | | | | 175,334 | |
Kirin Holdings Co. Ltd. | | | 21,500 | | | | 576,305 | |
Kobayashi Pharmaceutical Co. Ltd. | | | 1,200 | | | | 103,579 | |
Kobe Steel Ltd. | | | 8,100 | | | | 74,022 | |
Koito Manufacturing Co. Ltd. | | | 2,900 | | | | 191,554 | |
Komatsu Ltd. | | | 23,200 | | | | 660,471 | |
Konami Holdings Corp. | | | 2,300 | | | | 116,867 | |
Konica Minolta, Inc. | | | 11,700 | | | | 108,510 | |
Kose Corp. | | | 800 | | | | 172,076 | |
Kubota Corp. | | | 24,700 | | | | 387,665 | |
Kuraray Co. Ltd. | | | 8,100 | | | | 111,403 | |
Kurita Water Industries Ltd. | | | 2,400 | | | | 68,357 | |
Kyocera Corp. | | | 8,500 | | | | 478,022 | |
Kyowa Hakko Kirin Co. Ltd. | | | 6,300 | | | | 126,808 | |
Kyushu Electric Power Co., Inc. | | | 9,300 | | | | 103,841 | |
Kyushu Railway Co. | | | 4,200 | | | | 128,417 | |
Lawson, Inc. | | | 1,245 | | | | 77,753 | |
LINE Corp. (1) | | | 1,800 | | | | 74,317 | |
Lion Corp. | | | 5,800 | | | | 106,130 | |
LIXIL Group Corp. | | | 7,100 | | | | 141,897 | |
M3, Inc. | | | 5,300 | | | | 210,772 | |
Mabuchi Motor Co. Ltd. | | | 1,200 | | | | 56,955 | |
Makita Corp. | | | 5,600 | | | | 250,505 | |
Marubeni Corp. | | | 41,400 | | | | 315,194 | |
Marui Group Co. Ltd. | | | 5,000 | | | | 105,175 | |
Maruichi Steel Tube Ltd. | | | 1,500 | | | | 50,832 | |
Mazda Motor Corp. | | | 15,100 | | | | 185,226 | |
McDonald’s Holdings Co. Japan Ltd. | | | 1,750 | | | | 89,239 | |
Mebuki Financial Group, Inc. | | | 21,040 | | | | 70,576 | |
Medipal Holdings Corp. | | | 4,540 | | | | 91,196 | |
MEIJI Holdings Co. Ltd. | | | 3,100 | | | | 261,808 | |
Minebea Co. Ltd. | | | 9,300 | | | | 156,721 | |
MISUMI Group, Inc. | | | 7,300 | | | | 212,392 | |
Mitsubishi Chemical Holdings Corp. | | | 33,650 | | | | 281,004 | |
Mitsubishi Corp. | | | 1,672,900 | | | | 46,387,966 | |
Mitsubishi Electric Corp. | | | 1,924,000 | | | | 25,527,474 | |
| | | | | | | | |
Mitsubishi Estate Co. Ltd. | | | 30,100 | | | | 525,453 | |
Mitsubishi Gas Chemical Co., Inc. | | | 4,700 | | | | 106,209 | |
Mitsubishi Heavy Industries Ltd. | | | 8,040 | | | | 292,265 | |
Mitsubishi Materials Corp. | | | 3,000 | | | | 82,305 | |
Mitsubishi Motors Corp. | | | 17,200 | | | | 137,106 | |
Mitsubishi Tanabe Pharma Corp. | | | 6,490 | | | | 112,051 | |
Mitsubishi UFJ Financial Group, Inc. | | | 2,226,600 | | | | 12,613,432 | |
Mitsubishi UFJ Lease & Finance Co. Ltd. | | | 11,400 | | | | 69,886 | |
Mitsui & Co. Ltd. | | | 44,800 | | | | 746,023 | |
Mitsui Chemicals, Inc. | | | 4,700 | | | | 124,920 | |
Mitsui Fudosan Co. Ltd. | | | 22,900 | | | | 551,621 | |
Mitsui OSK Lines Ltd. | | | 3,800 | | | | 91,383 | |
Mizuho Financial Group, Inc. | | | 633,100 | | | | 1,066,448 | |
MS&AD Insurance Group Holdings, Inc. | | | 1,082,640 | | | | 33,625,282 | |
Murata Manufacturing Co. Ltd. | | | 4,600 | | | | 772,231 | |
Nabtesco Corp. | | | 2,700 | | | | 82,957 | |
Nagoya Railroad Co. Ltd. | | | 4,900 | | | | 126,394 | |
NEC Corp. | | | 6,785 | | | | 185,935 | |
Nexon Co. Ltd. (1) | | | 1,249,700 | | | | 18,132,355 | |
NGK Insulators Ltd. | | | 6,500 | | | | 115,493 | |
NGK Spark Plug Co. Ltd. | | | 4,000 | | | | 113,715 | |
NH Foods Ltd. | | | 2,150 | | | | 86,916 | |
Nidec Corp. | | | 107,700 | | | | 16,110,809 | |
Nikon Corp. | | | 8,200 | | | | 130,318 | |
Nintendo Co. Ltd. | | | 2,900 | | | | 946,645 | |
Nippon Building Fund, Inc. | | | 34 | | | | 196,121 | |
Nippon Electric Glass Co. Ltd. | | | 2,200 | | | | 60,984 | |
Nippon Express Co. Ltd. | | | 2,000 | | | | 144,925 | |
Nippon Paint Holdings Co. Ltd. | | | 4,000 | | | | 172,021 | |
Nippon Prologis Real Estate Investment Trust, Inc. | | | 44 | | | | 91,318 | |
Nippon Steel & Sumitomo Metal Corp. | | | 20,000 | | | | 392,143 | |
Nippon Telegraph & Telephone Corp. | | | 18,200 | | | | 826,790 | |
Nippon Yusen KK | | | 3,900 | | | | 77,266 | |
Nissan Chemical Industries Ltd. | | | 3,200 | | | | 149,063 | |
Nissan Motor Co. Ltd. | | | 60,900 | | | | 592,569 | |
Nisshin Seifun Group, Inc. | | | 5,300 | | | | 112,302 | |
Nissin Foods Holdings Co. Ltd. | | | 1,400 | | | | 101,436 | |
Nitori Holdings Co. Ltd. | | | 2,000 | | | | 311,156 | |
Nitto Denko Corp. | | | 4,200 | | | | 317,089 | |
NOK Corp. | | | 1,800 | | | | 34,766 | |
| | | | | | | | |
Nomura Holdings, Inc. | | | 7,341,200 | | | | 35,524,489 | |
Nomura Real Estate Holdings, Inc. | | | 3,000 | | | | 66,423 | |
Nomura Real Estate Master Fund, Inc. | | | 102 | | | | 143,997 | |
Nomura Research Institute Ltd. | | | 2,848 | | | | 137,790 | |
NSK Ltd. | | | 9,000 | | | | 92,636 | |
NTT Data Corp. | | | 15,800 | | | | 181,747 | |
NTT DOCOMO, Inc. | | | 35,800 | | | | 912,269 | |
Obayashi Corp. | | | 17,000 | | | | 176,518 | |
Obic Co. Ltd. | | | 1,700 | | | | 140,448 | |
Odakyu Electric Railway Co. Ltd. | | | 7,300 | | | | 156,555 | |
Oji Holdings Corp. | | | 21,850 | | | | 135,404 | |
Olympus Corp. | | | 441,800 | | | | 16,526,693 | |
Omron Corp. | | | 456,000 | | | | 21,242,238 | |
Ono Pharmaceutical Co. Ltd. | | | 9,800 | | | | 229,426 | |
Oracle Corp. | | | 1,000 | | | | 81,505 | |
Oriental Land Co. Ltd. | | | 5,000 | | | | 524,233 | |
ORIX Corp. | | | 34,600 | | | | 545,369 | |
Osaka Gas Co. Ltd. | | | 9,700 | | | | 200,848 | |
Otsuka Corp. | | | 2,700 | | | | 105,698 | |
Otsuka Holdings Co. Ltd. | | | 10,030 | | | | 485,178 | |
Panasonic Corp. | | | 3,895,965 | | | | 52,534,843 | |
Park24 Co. Ltd. | | | 3,200 | | | | 87,026 | |
Persol Holdings Co. Ltd. | | | 4,300 | | | | 95,763 | |
Pigeon Corp. | | | 501,800 | | | | 24,386,047 | |
Pola Orbis Holdings, Inc. | | | 2,200 | | | | 96,680 | |
Rakuten, Inc. | | | 21,500 | | | | 145,118 | |
Recruit Holdings Co. Ltd. | | | 28,100 | | | | 776,084 | |
Renesas Electronics Corp. (1) | | | 20,800 | | | | 203,337 | |
Resona Holdings, Inc. | | | 54,900 | | | | 292,605 | |
Ricoh Co. Ltd. | | | 16,800 | | | | 153,850 | |
Rinnai Corp. | | | 800 | | | | 70,505 | |
Rohm Co. Ltd. | | | 2,300 | | | | 192,198 | |
Ryohin Keikaku Co. Ltd. | | | 600 | | | | 210,794 | |
Sankyo Co. Ltd. | | | 1,100 | | | | 43,015 | |
Santen Pharmaceutical Co. Ltd. | | | 9,200 | | | | 160,047 | |
SBI Holdings, Inc. | | | 5,825 | | | | 149,355 | |
Secom Co. Ltd. | | | 5,400 | | | | 414,093 | |
Sega Sammy Holdings, Inc. | | | 4,400 | | | | 75,308 | |
Seibu Holdings, Inc. | | | 5,800 | | | | 97,670 | |
Seiko Epson Corp. | | | 7,700 | | | | 133,683 | |
| | | | | | | | |
Sekisui Chemical Co. Ltd. | | | 10,000 | | | | 170,106 | |
Sekisui House Ltd. | | | 1,994,000 | | | | 35,242,723 | |
Seven & i Holdings Co. Ltd. | | | 19,200 | | | | 837,421 | |
Seven Bank Ltd. | | | 13,300 | | | | 40,613 | |
SG Holdings Co. Ltd. | | | 2,400 | | | | 52,504 | |
Sharp Corp. | | | 4,305 | | | | 104,709 | |
Shimadzu Corp. | | | 6,400 | | | | 193,094 | |
Shimamura Co. Ltd. | | | 600 | | | | 52,751 | |
Shimano, Inc. | | | 120,700 | | | | 17,712,080 | |
Shimizu Corp. | | | 14,100 | | | | 145,936 | |
Shin-Etsu Chemical Co. Ltd. | | | 9,395 | | | | 834,919 | |
Shinsei Bank Ltd. | | | 4,600 | | | | 70,580 | |
Shionogi & Co. Ltd. | | | 7,100 | | | | 364,329 | |
Shiseido Co. Ltd. | | | 483,000 | | | | 38,328,943 | |
Shizuoka Bank Ltd. | | | 11,500 | | | | 103,400 | |
Showa Shell Sekiyu KK | | | 5,000 | | | | 74,494 | |
SMC Corp. | | | 65,300 | | | | 23,905,730 | |
SoftBank Group Corp. | | | 184,100 | | | | 13,146,241 | |
Sohgo Security Services Co. Ltd. | | | 1,700 | | | | 79,981 | |
Sompo Holdings, Inc. | | | 9,050 | | | | 365,167 | |
Sony Corp. | | | 301,700 | | | | 15,451,372 | |
Sony Financial Holdings, Inc. | | | 4,700 | | | | 89,550 | |
Stanley Electric Co. Ltd. | | | 3,400 | | | | 115,770 | |
Start Today Co. Ltd. | | | 5,100 | | | | 184,521 | |
Subaru Corp. | | | 16,200 | | | | 471,177 | |
Sugi Holdings Co. Ltd. | | | 146,600 | | | | 8,481,519 | |
Sumco Corp. | | | 5,700 | | | | 114,481 | |
Sumitomo Chemical Co. Ltd. | | | 38,000 | | | | 214,914 | |
Sumitomo Corp. | | | 30,000 | | | | 491,995 | |
Sumitomo Dainippon Pharma Co. Ltd. | | | 4,700 | | | | 99,339 | |
Sumitomo Electric Industries Ltd. | | | 2,333,100 | | | | 34,699,331 | |
Sumitomo Heavy Industries Ltd. | | | 2,700 | | | | 90,971 | |
Sumitomo Metal Mining Co. Ltd. | | | 6,200 | | | | 236,634 | |
Sumitomo Mitsui Financial Group, Inc. | | | 1,537,200 | | | | 59,960,019 | |
Sumitomo Mitsui Trust Holdings, Inc. | | | 1,126,200 | | | | 44,432,671 | |
Sumitomo Realty & Development Co. Ltd. | | | 9,000 | | | | 331,425 | |
Sumitomo Rubber Industries Ltd. | | | 4,400 | | | | 69,744 | |
Sundrug Co. Ltd. | | | 1,800 | | | | 72,921 | |
Suntory Beverage & Food Ltd. | | | 3,610 | | | | 154,337 | |
Suruga Bank Ltd. | | | 600,400 | | | | 5,347,989 | |
| | | | | | | | |
Suzuken Co. Ltd. | | | 1,955 | | | | 82,676 | |
Suzuki Motor Corp. | | | 8,600 | | | | 473,930 | |
Sysmex Corp. | | | 296,750 | | | | 27,649,585 | |
T&D Holdings, Inc. | | | 14,300 | | | | 214,472 | |
Taiheiyo Cement Corp. | | | 3,100 | | | | 101,979 | |
Taisei Corp. | | | 5,500 | | | | 302,882 | |
Taisho Pharmaceutical Holdings Co. Ltd. | | | 860 | | | | 100,606 | |
Taiyo Nippon Sanso Corp. | | | 2,800 | | | | 40,083 | |
Takashimaya Co. Ltd. | | | 3,360,000 | | | | 28,746,149 | |
Takeda Pharmaceutical Co. Ltd. | | | 892,600 | | | | 37,549,983 | |
TDK Corp. | | | 3,200 | | | | 325,833 | |
Teijin Ltd. | | | 5,800 | | | | 106,243 | |
Terumo Corp. | | | 7,900 | | | | 452,258 | |
THK Co. Ltd. | | | 2,800 | | | | 79,945 | |
Tobu Railway Co. Ltd. | | | 5,100 | | | | 155,867 | |
Toho Co. Ltd. | | | 2,900 | | | | 97,133 | |
Toho Gas Co. Ltd. | | | 1,900 | | | | 65,820 | |
Tohoku Electric Power Co., Inc. | | | 11,200 | | | | 136,843 | |
Tokio Marine Holdings, Inc. | | | 814,800 | | | | 38,118,990 | |
Tokyo Electric Power Co., Inc. (1) | | | 39,600 | | | | 184,360 | |
Tokyo Electron Ltd. | | | 4,000 | | | | 686,613 | |
Tokyo Gas Co. Ltd. | | | 10,300 | | | | 273,488 | |
Tokyo Tatemono Co. Ltd. | | | 5,300 | | | | 72,699 | |
Tokyu Corp. | | | 12,700 | | | | 218,544 | |
Tokyu Fudosan Holdings Corp. | | | 12,800 | | | | 90,291 | |
Toppan Printing Co. Ltd. | | | 13,000 | | | | 101,700 | |
Toray Industries, Inc. | | | 34,800 | | | | 274,672 | |
Toshiba Corp. (1) | | | 171,000 | | | | 513,351 | |
Tosoh Corp. | | | 6,600 | | | | 102,050 | |
TOTO Ltd. | | | 3,600 | | | | 166,629 | |
Toyo Seikan Group Holdings Ltd. | | | 3,900 | | | | 68,444 | |
Toyo Suisan Kaisha Ltd. | | | 2,650 | | | | 94,548 | |
Toyoda Gosei Co. Ltd. | | | 1,700 | | | | 43,026 | |
Toyota Industries Corp. | | | 4,000 | | | | 223,903 | |
Toyota Motor Corp. | | | 128,094 | | | | 8,283,710 | |
Toyota Tsusho Corp. | | | 5,535 | | | | 184,962 | |
Trend Micro, Inc. | | | 2,900 | | | | 165,089 | |
Tsuruha Holdings, Inc. | | | 900 | | | | 112,728 | |
Unicharm Corp. | | | 10,300 | | | | 309,662 | |
United Urban Investment Corp. | | | 83 | | | | 128,975 | |
| | | | | | | | |
USS Co. Ltd. | | | 5,400 | | | | 102,668 | |
West Japan Railway Co. | | | 79,900 | | | | 5,882,587 | |
Yahoo Japan Corp. | | | 34,900 | | | | 115,619 | |
Yakult Honsha Co. Ltd. | | | 2,800 | | | | 187,211 | |
Yamada Denki Co. Ltd. | | | 16,540 | | | | 82,162 | |
Yamaguchi Financial Group, Inc. | | | 6,000 | | | | 67,498 | |
Yamaha Corp. | | | 3,400 | | | | 176,452 | |
Yamaha Motor Co. Ltd. | | | 7,150 | | | | 179,492 | |
Yamato Holdings Co. Ltd. | | | 8,500 | | | | 250,178 | |
Yamazaki Baking Co. Ltd. | | | 3,000 | | | | 78,661 | |
Yaskawa Electric Corp. | | | 6,300 | | | | 221,855 | |
Yokogawa Electric Corp. | | | 5,600 | | | | 99,440 | |
Yokohama Rubber Co. Ltd. | | | 3,000 | | | | 62,226 | |
| | | | | | | | |
| | | | | | | 1,211,841,783 | |
| | | | | | | | |
Jersey - 0.00% (3) | | | | | | | | |
Randgold Resources Ltd. | | | 2,412 | | | | 185,645 | |
| | | | | | | | |
Luxembourg - 0.02% | | | | | | | | |
ArcelorMittal | | | 17,537 | | | | 511,656 | |
Eurofins Scientific SE | | | 294 | | | | 163,056 | |
Millicom International Cellular SA | | | 1,660 | | | | 97,562 | |
RTL Group SA | | | 1,008 | | | | 68,309 | |
SES SA | | | 9,562 | | | | 174,791 | |
Tenaris SA | | | 12,140 | | | | 221,555 | |
| | | | | | | | |
| | | | | | | 1,236,929 | |
| | | | | | | | |
Macau - 0.01% | | | | | | | | |
MGM China Holdings Ltd. | | | 24,000 | | | | 55,494 | |
Sands China Ltd. | | | 63,600 | | | | 339,076 | |
Wynn Macau Ltd. | | | 40,800 | | | | 130,749 | |
| | | | | | | | |
| | | | | | | 525,319 | |
| | | | | | | | |
Malaysia - 0.20% | | | | | | | | |
Public Bank Bhd | | | 2,627,000 | | | | 15,196,969 | |
| | | | | | | | |
Mexico - 0.80% | | | | | | | | |
Fresnillo Plc | | | 5,496 | | | | 82,823 | |
Grupo Aeroportuario del Centro Norte SAB de CV | | | 1,065,300 | | | | 5,563,521 | |
Grupo Aeroportuario del Pacifico SAB de CV - ADR | | | 66,035 | | | | 6,135,312 | |
Grupo Mexico SAB de CV | | | 1,440,500 | | | | 4,082,816 | |
Mexichem SAB de CV | | | 2,601,100 | | | | 7,515,067 | |
Wal-Mart de Mexico SAB de CV | | | 14,016,412 | | | | 36,995,522 | |
| | | | | | | | |
| | | | | | | 60,375,061 | |
| | | | | | | | |
| | | | | | | | |
Netherlands - 5.28% | | | | | | | | |
ABN AMRO Group NV (2) | | | 11,044 | | | | 285,618 | |
Aegon NV | | | 46,928 | | | | 280,189 | |
Akzo Nobel NV | | | 263,853 | | | | 22,504,649 | |
ASML Holding NV | | | 126,731 | | | | 25,078,170 | |
Core Laboratories NV | | | 231,122 | | | | 29,169,908 | |
EXOR NV | | | 2,667 | | | | 178,469 | |
Heineken Holding NV | | | 2,892 | | | | 276,580 | |
Heineken NV | | | 6,579 | | | | 659,141 | |
ING Groep NV | | | 3,848,648 | | | | 55,245,575 | |
Koninklijke Ahold Delhaize NV | | | 3,485,148 | | | | 83,217,057 | |
Koninklijke DSM NV | | | 4,605 | | | | 460,680 | |
Koninklijke KPN NV | | | 3,351,269 | | | | 9,112,711 | |
Koninklijke Philips NV | | | 24,221 | | | | 1,026,196 | |
Koninklijke Vopak NV | | | 1,949 | | | | 89,833 | |
NN Group NV | | | 7,975 | | | | 323,438 | |
NXP Semiconductors NV (1) | | | 8,722 | | | | 953,053 | |
OCI NV (1) | | | 444,390 | | | | 11,933,447 | |
PostNL NV | | | 8,475,022 | | | | 31,759,900 | |
QIAGEN NV (1) | | | 192,613 | | | | 6,964,886 | |
QIAGEN NV - Aquis Listed (1) | | | 280,678 | | | | 10,174,358 | |
Randstad Holding NV | | | 2,930 | | | | 171,977 | |
Royal Dutch Shell Plc | | | 245,710 | | | | 8,503,752 | |
Royal Dutch Shell Plc - Class A | | | 1,535,756 | | | | 53,297,611 | |
Royal Dutch Shell Plc - Class B | | | 1,276,230 | | | | 45,705,576 | |
Wolters Kluwer NV | | | 7,346 | | | | 412,675 | |
| | | | | | | | |
| | | | | | | 397,785,449 | |
| | | | | | | | |
New Zealand - 0.01% | | | | | | | | |
a2 Milk Co Ltd. (1) | | | 18,092 | | | | 140,121 | |
Auckland International Airport Ltd. | | | 24,392 | | | | 111,918 | |
Fisher & Paykel Healthcare Corp. Ltd. | | | 14,049 | | | | 141,573 | |
Fletcher Building Ltd. | | | 22,125 | | | | 103,827 | |
Meridian Energy Ltd. | | | 33,335 | | | | 70,412 | |
Ryman Healthcare Ltd. | | | 10,240 | | | | 82,945 | |
Spark New Zealand Ltd. | | | 50,211 | | | | 126,720 | |
| | | | | | | | |
| | | | | | | 777,516 | |
| | | | | | | | |
Norway - 0.63% | | | | | | | | |
Aker BP ASA | | | 2,657 | | | | 97,733 | |
DNB ASA | | | 2,328,821 | | | | 45,349,271 | |
Equinor ASA | | | 30,529 | | | | 807,265 | |
Gjensidige Forsikring ASA | | | 5,270 | | | | 86,278 | |
| | | | | | | | |
Marine Harvest ASA | | | 10,599 | | | | 210,739 | |
Norsk Hydro ASA | | | 33,479 | | | | 199,844 | |
Orkla ASA | | | 20,375 | | | | 178,258 | |
Schibsted ASA - Class B | | | 2,655 | | | | 74,900 | |
Telenor ASA | | | 18,909 | | | | 387,266 | |
Yara International ASA | | | 4,596 | | | | 190,147 | |
| | | | | | | | |
| | | | | | | 47,581,701 | |
| | | | | | | | |
Philippines - 0.08% | | | | | | | | |
Puregold Price Club, Inc. | | | 6,719,620 | | | | 5,866,360 | |
| | | | | | | | |
Portugal - 0.24% | | | | | | | | |
EDP - Energias de Portugal SA | | | 65,869 | | | | 261,073 | |
Galp Energia SGPS SA | | | 14,346 | | | | 272,913 | |
Jeronimo Martins SGPS SA | | | 1,195,646 | | | | 17,222,688 | |
| | | | | | | | |
| | | | | | | 17,756,674 | |
| | | | | | | | |
Republic of Korea - 0.95% | | | | | | | | |
Hana Financial Group, Inc. | | | 185,311 | | | | 7,116,082 | |
NAVER Corp. | | | 13,104 | | | | 8,967,129 | |
POSCO | | | 35,820 | | | | 10,569,047 | |
Samsung Electronic Co. Ltd. | | | 300,846 | | | | 12,602,313 | |
Samsung Fire & Marine Insurance Co. Ltd. | | | 80,372 | | | | 19,043,390 | |
Samsung SDI Co. Ltd. | | | 68,396 | | | | 13,118,929 | |
| | | | | | | | |
| | | | | | | 71,416,890 | |
| | | | | | | | |
Singapore - 2.51% | | | | | | | | |
Ascendas Real Estate Investment Trust | | | 66,700 | | | | 129,167 | |
CapitaLand Commercial Trust | | | 69,051 | | | | 84,085 | |
CapitaLand Ltd. | | | 68,300 | | | | 158,080 | |
CapitaLand Mall Trust | | | 68,200 | | | | 103,667 | |
City Developments Ltd. | | | 11,100 | | | | 88,910 | |
ComfortDelGro Corp. Ltd. | | | 60,600 | | | | 104,292 | |
DBS Group Holdings Ltd. | | | 2,569,900 | | | | 49,976,901 | |
Genting Singapore Ltd. | | | 148,400 | | | | 132,879 | |
Golden Agri-Resources Ltd. | | | 166,500 | | | | 37,176 | |
Jardine Cycle & Carriage Ltd. | | | 3,100 | | | | 72,425 | |
Keppel Corp. Ltd. | | | 38,500 | | | | 201,401 | |
Oversea-Chinese Banking Corp. Ltd. | | | 80,700 | | | | 687,383 | |
SATS Ltd. | | | 17,700 | | | | 64,834 | |
Sembcorp Industries Ltd. | | | 24,200 | | | | 48,750 | |
Singapore Airlines Ltd. | | | 13,500 | | | | 105,725 | |
Singapore Exchange Ltd. | | | 19,200 | | | | 100,894 | |
Singapore Press Holdings Ltd. | | | 24,965 | | | | 47,575 | |
| | | | | | | | |
Singapore Technologies Engineering Ltd. | | | 54,900 | | | | 132,333 | |
Singapore Telecommunications Ltd. | | | 27,670,100 | | | | 62,473,481 | |
Suntec Real Estate Investment Trust | | | 65,700 | | | | 83,304 | |
United Overseas Bank Ltd. | | | 3,203,325 | | | | 62,781,112 | |
UOL Group Ltd. | | | 13,419 | | | | 74,937 | |
Venture Corp. Ltd. | | | 6,700 | | | | 87,536 | |
Wilmar International Ltd. | | | 4,945,600 | | | | 11,090,108 | |
| | | | | | | | |
| | | | | | | 188,866,955 | |
| | | | | | | | |
South Africa - 0.87% | | | | | | | | |
Clicks Group Ltd. | | | 1,504,830 | | | | 21,486,585 | |
Investec Plc | | | 18,187 | | | | 128,596 | |
Mediclinic International Plc | | | 10,009 | | | | 69,341 | |
Naspers Ltd. | | | 174,683 | | | | 44,045,241 | |
| | | | | | | | |
| | | | | | | 65,729,763 | |
| | | | | | | | |
Spain - 3.88% | | | | | | | | |
ACS Actividades Co. | | | 6,835 | | | | 275,765 | |
Aena SA (2) | | | 1,719 | | | | 311,220 | |
Amadeus IT Group SA | | | 299,458 | | | | 23,547,146 | |
Banco Bilbao Vizcaya Argentaria SA | | | 5,384,593 | | | | 37,975,255 | |
Banco de Sabadell SA | | | 148,528 | | | | 248,014 | |
Banco Santander | | | 2,945,235 | | | | 15,740,734 | |
Bankia SA | | | 5,371,097 | | | | 20,029,220 | |
Bankinter SA | | | 1,326,078 | | | | 12,866,952 | |
CaixaBank SA | | | 3,204,281 | | | | 13,792,156 | |
Distribuidora Internacional de Alimentacion SA | | | 1,792,477 | | | | 5,207,040 | |
Enagas SA | | | 3,223 | | | | 94,003 | |
Endesa SA | | | 8,592 | | | | 188,952 | |
Ferrovial SA | | | 12,537 | | | | 256,540 | |
Gas Natural SDG SA | | | 9,286 | | | | 245,484 | |
Grifols SA | | | 7,486 | | | | 224,377 | |
Iberdrola SA | | | 4,696,294 | | | | 36,216,724 | |
Industria de Diseno Textil SA | | | 1,539,725 | | | | 52,434,040 | |
Mapfre SA | | | 28,942 | | | | 86,992 | |
Red Electrica Corp. SA | | | 11,361 | | | | 230,811 | |
Repsol SA | | | 34,743 | | | | 678,152 | |
Siemens Gamesa Renewable Energy SA | | | 8,280 | | | | 110,680 | |
Telefonica SA | | | 8,439,941 | | | | 71,633,555 | |
| | | | | | | | |
| | | | | | | 292,393,812 | |
| | | | | | | | |
| | | | | | | | |
Sweden - 2.74% | | | | | | | | |
Alfa Laval AB | | | 7,221 | | | | 170,472 | |
Assa Abloy AB | | | 25,598 | | | | 542,975 | |
Atlas Copco AB - Class A | | | 1,598,830 | | | | 46,303,001 | |
Atlas Copco AB - Class B | | | 9,935 | | | | 258,825 | |
Boliden AB | | | 7,015 | | | | 226,399 | |
Electrolux AB | | | 6,230 | | | | 141,381 | |
Epiroc AB - Class A (1) | | | 1,564,729 | | | | 16,419,893 | |
Epiroc AB - Class B (1) | | | 9,597 | | | | 87,862 | |
Essity AB | | | 15,353 | | | | 377,708 | |
Hennes & Mauritz AB | | | 23,004 | | | | 342,416 | |
Hexagon AB | | | 404,884 | | | | 22,498,256 | |
Husqvarna AB - Class B | | | 10,443 | | | | 98,792 | |
ICA Gruppen AB | | | 2,239 | | | | 68,499 | |
Industrivarden AB | | | 4,108 | | | | 79,244 | |
Investor AB | | | 469,809 | | | | 19,030,374 | |
Kinnevik AB | | | 5,999 | | | | 204,429 | |
L E Lundbergforetagen AB | | | 1,994 | | | | 61,032 | |
Lundin Petroleum AB | | | 4,771 | | | | 151,432 | |
Nordea Bank AB | | | 79,727 | | | | 764,788 | |
Sandvik AB | | | 28,878 | | | | 510,014 | |
Securitas AB | | | 7,875 | | | | 129,135 | |
Skandinaviska Enskilda Banken AB | | | 43,458 | | | | 411,303 | |
Skanska AB | | | 8,996 | | | | 162,834 | |
SKF AB | | | 9,808 | | | | 181,568 | |
Spotify Technology SA (1) | | | 122,808 | | | | 20,661,218 | |
Svenska Handelsbanken AB | | | 1,730,116 | | | | 19,161,812 | |
Swedbank AB | | | 23,770 | | | | 506,449 | |
Swedish Match AB | | | 4,522 | | | | 223,485 | |
Tele2 AB | | | 8,802 | | | | 103,093 | |
Telefonaktiebolaget LM Ericsson - Class B | | | 2,206,772 | | | | 17,001,421 | |
TeliaSonera AB | | | 8,585,055 | | | | 39,129,733 | |
Volvo AB | | | 39,896 | | | | 634,072 | |
| | | | | | | | |
| | | | | | | 206,643,915 | |
| | | | | | | | |
Switzerland - 7.05% | | | | | | | | |
ABB Ltd. | | | 1,645,606 | | | | 35,897,139 | |
Adecco SA | | | 673,185 | | | | 39,727,406 | |
Baloise Holding AG | | | 1,249 | | | | 181,176 | |
Barry Callebaut AG | | | 57 | | | | 102,139 | |
Chocoladefabriken Lindt & Spruengli AG | | | 27 | | | | 175,004 | |
Chocoladefabriken Lindt & Spruengli AG - REG | | | 3 | | | | 227,904 | |
Chubb Ltd. | | | 288,808 | | | | 36,684,392 | |
| | | | | | | | |
Cie Financiere Richemont SA | | | 326,692 | | | | 27,616,734 | |
Clariant AG | | | 5,582 | | | | 133,569 | |
Coca-Cola HBC AG | | | 5,238 | | | | 174,345 | |
Credit Suisse Group AG | | | 800,824 | | | | 11,974,784 | |
Dufry AG | | | 827 | | | | 105,180 | |
EMS-Chemie Holding AG | | | 201 | | | | 128,601 | |
Ferguson Plc | | | 5,935 | | | | 480,170 | |
Geberit AG | | | 940 | | | | 402,474 | |
Givaudan SA | | | 234 | | | | 529,967 | |
Glencore Plc | | | 302,897 | | | | 1,438,090 | |
Julius Baer Group Ltd. | | | 259,876 | | | | 15,221,319 | |
Kuehne & Nagel International AG | | | 1,328 | | | | 199,361 | |
LafargeHolcim Ltd. | | | 12,777 | | | | 621,247 | |
Lonza Group AG | | | 1,869 | | | | 493,877 | |
Nestle SA | | | 829,500 | | | | 64,286,954 | |
Novartis AG | | | 1,101,690 | | | | 83,454,057 | |
Novartis AG - Sponsored ADR | | | 385,155 | | | | 29,094,609 | |
Pargesa Holding SA | | | 862 | | | | 72,961 | |
Partners Group Holding AG | | | 427 | | | | 312,157 | |
Roche Holding AG | | | 377,027 | | | | 83,646,523 | |
Schindler Holding AG | | | 582 | | | | 122,258 | |
Schindler Holding AG - Participation Certificate | | | 101,379 | | | | 21,766,365 | |
SGS SA | | | 134 | | | | 356,064 | |
Sika AG | | | 175,079 | | | | 24,190,597 | |
Sonova Holding AG | | | 1,419 | | | | 253,836 | |
STMicroelectronics NV | | | 17,576 | | | | 390,246 | |
Straumann Holding AG | | | 252 | | | | 191,113 | |
Swatch Group AG - BR | | | 778 | | | | 368,291 | |
Swatch Group AG - REG | | | 1,654 | | | | 142,818 | |
Swiss Life Holding AG | | | 925 | | | | 320,745 | |
Swiss Prime Site | | | 1,887 | | | | 173,377 | |
Swiss Re AG | | | 8,217 | | | | 717,417 | |
Swisscom AG | | | 672 | | | | 299,936 | |
Temenos AG | | | 1,481 | | | | 222,723 | |
u-blox Holding AG | | | 36,013 | | | | 7,135,913 | |
UBS Group AG | | | 821,763 | | | | 12,597,925 | |
Vifor Pharma AG | | | 1,171 | | | | 186,791 | |
Zurich Insurance Group AG | | | 95,646 | | | | 28,285,398 | |
| | | | | | | | |
| | | | | | | 531,103,952 | |
| | | | | | | | |
| | | | | | | | |
Taiwan - 1.64% | | | | | | | | |
Compal Electronics, Inc. | | | 5,014,000 | | | | 3,154,697 | |
Hon Hai Precision Industry Co. Ltd. | | | 1,093,000 | | | | 2,978,499 | |
Hon Hai Precision Industry Co. Ltd. - GDR | | | 2,330,583 | | | | 12,604,098 | |
Taiwan Semiconductor Manufacturing Co. Ltd. | | | 3,705,000 | | | | 26,309,499 | |
Taiwan Semiconductor Manufacturing Co. Ltd. - ADR | | | 2,148,792 | | | | 78,559,836 | |
| | | | | | | | |
| | | | | | | 123,606,629 | |
| | | | | | | | |
Thailand - 0.10% | | | | | | | | |
Thai Beverage Plc | | | 13,992,400 | | | | 7,390,195 | |
| | | | | | | | |
United Arab Emirates - 0.00% (3) | | | | | | | | |
NMC Health Plc | | | 2,557 | | | | 120,352 | |
| | | | | | | | |
United Kingdom - 14.52% | | | | | | | | |
3I Group Plc | | | 25,571 | | | | 302,738 | |
Admiral Group Plc | | | 4,945 | | | | 124,279 | |
Anglo American Plc | | | 27,651 | | | | 613,877 | |
Ashtead Group Plc | | | 12,451 | | | | 370,782 | |
ASOS Plc (1) | | | 202,455 | | | | 16,239,484 | |
Associated British Foods Plc | | | 9,015 | | | | 325,065 | |
AstraZeneca Plc | | | 825,666 | | | | 57,108,936 | |
Auto Trader Group Plc (2) | | | 3,733,562 | | | | 20,924,336 | |
Aviva Plc | | | 1,476,499 | | | | 9,796,691 | |
Babcock International Group Plc | | | 6,703 | | | | 72,020 | |
BAE Systems Plc | | | 1,419,846 | | | | 12,079,057 | |
Barclays Plc | | | 4,042,073 | | | | 9,990,922 | |
Barratt Developments Plc | | | 27,055 | | | | 183,403 | |
Berkeley Group Holdings Plc | | | 3,154 | | | | 157,110 | |
BP Plc | | | 13,072,539 | | | | 99,462,540 | |
British American Tobacco Plc | | | 60,386 | | | | 3,041,844 | |
British American Tobacco Plc - ADR | | | 291,845 | | | | 14,723,580 | |
British Land Co. Plc | | | 24,389 | | | | 215,769 | |
BT Group Plc | | | 222,147 | | | | 637,283 | |
Bunzl Plc | | | 8,450 | | | | 255,199 | |
Burberry Group Plc | | | 615,955 | | | | 17,505,761 | |
Centrica Plc | | | 148,682 | | | | 308,720 | |
CNH Industrial NV | | | 26,061 | | | | 275,295 | |
Coca-Cola European Partners Plc | | | 5,454 | | | | 221,651 | |
Compass Group Plc | | | 1,781,486 | | | | 37,973,461 | |
ConvaTec Group Plc (2) | | | 35,918 | | | | 100,274 | |
Croda International Plc | | | 3,297 | | | | 208,295 | |
Diageo Plc | | | 775,784 | | | | 27,870,710 | |
Direct Line Insurance Group Plc | | | 35,619 | | | | 160,737 | |
| | | | | | | | |
easyJet Plc | | | 3,908 | | | | 85,975 | |
Experian Plc | | | 1,745,877 | | | | 43,068,347 | |
Fiat Chrysler Automobiles NV (1) | | | 27,538 | | | | 519,484 | |
G4S Plc | | | 40,053 | | | | 141,084 | |
GlaxoSmithKline Plc | | | 1,761,042 | | | | 35,504,229 | |
Hammerson Plc | | | 20,937 | | | | 143,888 | |
Hargreaves Lansdown Plc | | | 1,482,827 | | | | 38,437,376 | |
HomeServe Plc | | | 969,474 | | | | 11,466,804 | |
HSBC Holdings Plc | | | 5,517,073 | | | | 51,553,418 | |
Imperial Tobacco Group Plc | | | 180,067 | | | | 6,687,342 | |
Informa Plc | | | 33,120 | | | | 364,057 | |
InterContinental Hotels Group Plc | | | 4,571 | | | | 284,157 | |
International Consolidated Airlines Group SA | | | 17,583 | | | | 153,870 | |
Intertek Group Plc | | | 276,928 | | | | 20,822,354 | |
ITV Plc | | | 94,045 | | | | 215,009 | |
J Sainsbury Plc | | | 3,520,014 | | | | 14,895,877 | |
John Wood Group Plc | | | 3,504,281 | | | | 28,938,321 | |
Johnson Matthey Plc | | | 432,090 | | | | 20,574,601 | |
Jupiter Fund Management Plc | | | 2,112,375 | | | | 12,384,661 | |
Kingfisher Plc | | | 8,161,991 | | | | 31,918,327 | |
Land Securities Group Plc | | | 19,018 | | | | 239,595 | |
Legal & General Group Plc | | | 155,918 | | | | 545,375 | |
Lloyds Banking Group Plc | | | 46,357,063 | | | | 38,463,233 | |
London Stock Exchange Group Plc | | | 7,991 | | | | 470,426 | |
Marks & Spencer Group Plc | | | 42,280 | | | | 164,235 | |
Meggitt Plc | | | 20,813 | | | | 135,060 | |
Melrose Industries Plc | | | 121,204 | | | | 339,135 | |
Merlin Entertainments Plc (2) | | | 17,678 | | | | 90,135 | |
Micro Focus International Plc | | | 11,197 | | | | 194,283 | |
Mondi Plc | | | 9,379 | | | | 253,027 | |
National Grid Plc | | | 1,461,884 | | | | 16,155,362 | |
Next Plc | | | 3,646 | | | | 290,217 | |
Pearson Plc | | | 20,839 | | | | 242,684 | |
Persimmon Plc | | | 8,123 | | | | 270,574 | |
Prudential Plc | | | 65,670 | | | | 1,497,033 | |
Quilter Plc (1)(2) | | | 22,085 | | | | 42,239 | |
Reckitt Benckiser Group Plc | | | 16,971 | | | | 1,394,418 | |
RELX NV | | | 24,243 | | | | 515,379 | |
RELX Plc | | | 27,008 | | | | 576,754 | |
Rightmove Plc | | | 451,116 | | | | 31,534,082 | |
| | | | | | | | |
Rio Tinto Ltd. | | | 10,503 | | | | 648,931 | |
Rio Tinto Plc | | | 31,542 | | | | 1,738,546 | |
Rolls-Royce Holdings Plc (1) | | | 43,244 | | | | 563,256 | |
Royal Bank of Scotland Group Plc (1) | | | 14,910,301 | | | | 50,195,973 | |
Royal Mail Plc | | | 23,984 | | | | 159,564 | |
RSA Insurance Group Plc | | | 26,349 | | | | 235,647 | |
Sage Group Plc | | | 28,009 | | | | 231,332 | |
Schroders Plc | | | 3,057 | | | | 126,856 | |
Segro Plc | | | 25,225 | | | | 222,153 | |
Severn Trent Plc | | | 5,811 | | | | 151,515 | |
Sky Plc | | | 26,376 | | | | 507,970 | |
Smith & Nephew Plc | | | 22,124 | | | | 407,531 | |
Smiths Group Plc | | | 11,805 | | | | 263,693 | |
SSE Plc | | | 1,368,066 | | | | 24,420,711 | |
St James’s Place Plc | | | 13,549 | | | | 204,429 | |
Standard Chartered Plc | | | 1,474,451 | | | | 13,393,036 | |
Standard Life Aberdeen Plc | | | 70,439 | | | | 301,633 | |
Taylor Wimpey Plc | | | 87,126 | | | | 205,096 | |
Tesco Plc | | | 35,630,801 | | | | 120,560,125 | |
Travis Perkins Plc | | | 977,624 | | | | 18,319,361 | |
Unilever NV | | | 39,171 | | | | 2,182,493 | |
Unilever Plc | | | 31,265 | | | | 1,727,091 | |
Unilever Plc - ADR | | | 572,720 | | | | 31,659,962 | |
United Utilities Group Plc | | | 18,279 | | | | 183,764 | |
Vodafone Group Plc | | | 6,747,714 | | | | 16,344,915 | |
Weir Group Plc | | | 914,582 | | | | 24,018,955 | |
Whitbread Plc | | | 4,559 | | | | 237,649 | |
Willis Towers Watson Plc | | | 48,335 | | | | 7,327,586 | |
WM Morrison Supermarkets Plc | | | 57,685 | | | | 191,341 | |
WPP Plc | | | 2,196,481 | | | | 34,510,157 | |
| | | | | | | | |
| | | | | | | 1,094,063,517 | |
| | | | | | | | |
United States - 1.66% | | | | | | | | |
Amdocs Ltd. | | | 367,612 | | | | 24,332,238 | |
Carnival Plc | | | 4,550 | | | | 260,055 | |
Mettler-Toledo International, Inc. (1) | | | 77,642 | | | | 44,925,990 | |
Mylan (1) | | | 472,535 | | | | 17,077,415 | |
News Corp. - Class A | | | 436,340 | | | | 6,763,270 | |
Schlumberger Ltd. | | | 448,890 | | | | 30,089,097 | |
Shire Plc | | | 23,099 | | | | 1,301,370 | |
| | | | | | | | |
| | | | | | | 124,749,435 | |
| | | | | | | | |
| | | | | | | | |
Total Common Stocks (Cost $6,717,395,703) | | | | | | $ | 7,229,006,505 | |
PREFERRED STOCKS - 0.25% | | | | | | | | |
Germany - 0.25% | | | | | | | | |
Bayerische Motoren Werke AG | | | 1,340 | | | $ | 106,594 | |
Fuchs Petrolub SE | | | 1,593 | | | | 78,386 | |
Henkel AG & Co. KGaA | | | 4,471 | | | | 570,495 | |
Porsche Automobil Holding SE | | | 4,303 | | | | 273,222 | |
Sartorius AG | | | 874 | | | | 130,113 | |
Schaeffler AG | | | 6,069 | | | | 78,771 | |
Volkswagen AG | | | 108,392 | | | | 17,907,494 | |
| | | | | | | | |
Total Preferred Stocks (Cost $17,537,427) | | | | | | $ | 19,145,075 | |
| | | | | | | | |
RIGHTS - 0.00% (3) | | | | | | | | |
Italy - 0.00% (3) | | | | | | | | |
Intesa Sanpaolo, expires 7/17/2018 (1)(5) | | | 342,098 | | | | — | |
Intesa Sanpaolo- Savings Share, expires 7/17/2018 (1)(5) | | | 24,329 | | | | — | |
| | | | | | | | |
TOTAL RIGHTS (Cost $–) | | | | | | $ | — | |
| | | | | | | | |
SHORT-TERM INVESTMENTS - 2.98% | | | | | | | | |
Money Market Funds - 2.98% | | | | | | | | |
Goldman Sachs Financial Square Government Fund - Class I, 1.81% (4) | | | 112,441,683 | | | | 112,441,683 | |
JPMorgan U.S. Government Money Market Fund - Class I, 1.79% (4) | | | 112,441,684 | | | | 112,441,684 | |
| | | | | | | | |
Total Short-Term Investments (Cost $224,883,367) | | | | | | $ | 224,883,367 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES - 99.17%
(Cost $6,959,816,497) | | | | | | $ | 7,473,034,947 | |
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.83% | | | | | | | 62,273,344 | |
| | | | | | | | |
TOTAL NET ASSETS - 100.00% | | | | | | $ | 7,535,308,291 | |
| | | | | | | | |
Percentages are stated as a percent of net assets.
ADR American Depositary Receipt
GDR Global Depositary Receipt
| (1) | Non-income producing security. |
| (2) | Security was purchased exempt from registration in the U.S. pursuant to Rule 144(A) under the Securities Act of 1933. The value of these securities total $55,444,019, which represents 0.74% of total net assets. |
| (3) | Amount calculated is less than 0.005%. |
| (4) | Represents annualized seven-day yield as of the close of the reporting period. |
| (5) | Security is categorized as Level 3 per the Trust’s fair value hierarchy. These securities represent $0 or 0.00% of the Fund’s net assets. |
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Bridge Builder Trust and Shareholders of Bridge Builder Core Bond Fund, Bridge Builder Core Plus Bond Fund, Bridge Builder Municipal Bond Fund, Bridge Builder Large Cap Growth Fund, Bridge Builder Large Cap Value Fund, Bridge Builder Small/Mid Cap Growth Fund, Bridge Builder Small/Mid Cap Value Fund and Bridge Builder International Equity Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the summary schedules of investments, of Bridge Builder Core Bond Fund, Bridge Builder Core Plus Bond Fund, Bridge Builder Municipal Bond Fund, Bridge Builder Large Cap Growth Fund, Bridge Builder Large Cap Value Fund, Bridge Builder Small/Mid Cap Growth Fund, Bridge Builder Small/Mid Cap Value Fund and Bridge Builder International Equity Fund (eight of the funds constituting Bridge Builder Trust, hereafter collectively referred to as the “Funds”) as of June 30, 2018, the related statements of operations for the year ended June 30, 2018, the statements of changes in net assets for each of the two years in the period ended June 30, 2018, including the related notes, and the financial highlights for each of the periods indicated therein (included in Item 1 of this Form N-CSR) and the schedules of investments (included in Item 6 of this Form N-CSR) as of June 30, 2018 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of June 30, 2018, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended June 30, 2018 and each of the financial highlights for each of the periods indicated therein, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of June 30, 2018 by correspondence with the custodian, and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
Chicago, Illinois
August 28, 2018
We have served as the auditor of one or more investment companies in the Bridge Builder Trust since 2013.
(b) Not Applicable
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to open-end investment companies.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees.
Item 11. Controls and Procedures.
| (a) | The Registrant’s Principal Executive Officer and Principal Financial Officer have reviewed the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider. |
| (b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable to open-end investment companies.
Item 13. Exhibits.
| (a) | (1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Not Applicable. |
(2) A separate certification for each principal executive and principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Filed herewith.
(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable to open-end investment companies.
(4) Change in the registrant’s independent public accountant. There was no change in the registrant’s independent public accountant for the period covered by this report.
| (b) | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Furnished herewith. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| | |
(Registrant) Bridge Builder Trust |
| |
By (Signature and Title)* | | /s/ Ryan Robson |
| | Ryan Robson, Principal Executive Officer |
|
Date 8/28/2018 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| | |
| |
By (Signature and Title)* | | /s/ Ryan Robson |
| | Ryan Robson, Principal Executive Officer |
|
Date 8/28/2018 |
| |
By (Signature and Title)* | | /s/ Aaron Masek |
| | Aaron Masek, Principal Financial Officer |
|
Date 8/28/2018 |
| * | Print the name and title of each signing officer under his or her signature. |
