UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number811-22811
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, 2019
Date of reporting period: December 31, 2018
Item 1. Reports to Stockholders.
[Insert full text of semi-annual or annual report here]
Page | ||||
1 | ||||
2 | ||||
3 | ||||
4 | ||||
5 | ||||
6 | ||||
7 | ||||
8 | ||||
10 | ||||
12 | ||||
14 | ||||
15 | ||||
19 | ||||
29 | ||||
32 | ||||
34 | ||||
36 | ||||
38 | ||||
40 | ||||
42 | ||||
44 | ||||
46 | ||||
50 | ||||
52 | ||||
79 | ||||
81 | ||||
87 | ||||
88 |
Semiannual Report • December 31, 2018 |
Bridge Builder Mutual Funds
Letter to Shareholders (Unaudited)
Dear Shareholder,
It is our pleasure to provide you with the Bridge Builder Mutual Funds’ semiannual report for thesix-month period ended December 31, 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.
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 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 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 six months, one new sub-adviser has been added to the Bridge Builder lineup ofsub-advisers. BlackRock Investment Management, LLC was added as asub-adviser to the Bridge Builder Municipal Bond Fund, effective in October of 2018. In addition, MFS Investment Management and Diamond Hill Capital Management, Inc. were added assub-advisers to the Bridge Builder Small/Mid Cap Value Fund. The appointment of Diamond Hill Capital Management, Inc. and MFS Investment Management became effective on January 2, 2019, when Diamond Hill Capital Management, Inc. and MFS Investment Management each began managing a portion of the assets of the Fund.
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 Funds’ Board of Trustees. 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, Bridge Builder Trust
Principal, Edward Jones Investment Advisory |
Semiannual Report • December 31, 2018 | 1 |
Fund Characteristics and 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 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. |
Average Annual Total Returns as of December 31, 2018
1 Year | 3 Years | 5 Years | Since Inception (10/28/2013) | |||||||||||||
Bridge Builder Core Bond Fund | 0.11 | % | 2.50 | % | 2.84 | % | 2.55 | % | ||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 0.01 | % | 2.06 | % | 2.52 | % | 2.23 | % |
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 0.36%(1) and 0.15%(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 | 35.4 | % | ||
Corporate Bonds | 29.4 | |||
Government Related | 20.4 | |||
Asset-Backed Obligations | 12.4 | |||
Short-Term Investments | 2.4 | |||
Preferred Stocks | 0.0 | * |
* | Amount less than 0.05%. |
2 | Semiannual Report • December 31, 2018 |
Bridge Builder Core Plus Bond Fund
Fund Characteristics and 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 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 PriceAssociates, 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. |
Average Annual Total Returns of December 31, 2018
1 Year | 3 Years | Since Inception (7/13/2015) | ||||||||||
Bridge Builder Core Plus Bond Fund | 0.31 | % | 2.62 | % | 2.32 | % | ||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 0.01 | % | 2.06 | % | 2.06 | % |
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 0.42%(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 | 33.9 | % | ||
Government Related | 24.9 | |||
Mortgage-Backed Obligations | 20.9 | |||
Asset-Backed Obligations | 13.1 | |||
Short-Term Investments | 5.1 | |||
Bank Loans | 2.1 | |||
Preferred Stocks | 0.0 | * | ||
Common Stocks | 0.0 | * |
* | Amount less than 0.05%. |
Semiannual Report • December 31, 2018 | 3 |
Bridge Builder Municipal Bond Fund
Fund Characteristics and 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 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. | BlackRock Investment Management, LLCtakes a top-down, bottom-up approach with a flexible investment framework. Their security selection process is based on the relative value outlook and the quantitative assessment of the security and portfolio. BlackRock seeks total return derived primarily from coupon interest, and secondarily, capital appreciation. |
Average Annual Total Returns as of December 31, 2018
1 Year | 3 Years | Since Inception (9/14/2015) | ||||||||||
Bridge Builder Municipal Bond Fund | 1.48 | % | 2.07 | % | 2.47 | % | ||||||
Bloomberg Barclays Municipal 1-15 Year Index | 1.58 | % | 1.96 | % | 2.38 | % |
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 0.39%(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) | |||
General Revenue | 23.7 | % | ||
General Obligation | 23.4 | |||
Transportation | 16.5 | |||
Healthcare | 15.1 | |||
Utilities | 8.6 | |||
Education | 7.8 | |||
Housing | 3.8 | |||
Short-Term Investments | 1.1 |
Breakdown by State | (% of Long-Term Investments) | |||
Texas | 12.2 | % | ||
Illinois | 10.7 | |||
New York | 10.6 | |||
Florida | 6.3 | |||
Pennsylvania | 4.9 | |||
California | 4.1 | |||
New Jersey | 3.3 | |||
Michigan | 3.2 | |||
Maryland | 3.0 | |||
Connecticut | 2.8 | |||
Other | 38.9 |
4 | Semiannual Report • December 31, 2018 |
Bridge Builder Large Cap Growth Fund
Fund Characteristics and 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 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, LLCinvests 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. |
Average Annual Total Returns as of December 31, 2018
1 Year | 3 Years | Since Inception (4/27/2015) | ||||||||||
Bridge Builder Large Cap Growth Fund | 0.18 | % | 9.03 | % | 7.46 | % | ||||||
Russell 1000® Growth Index | -1.51 | % | 11.15 | % | 8.84 | % |
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 0.25%(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 | 26.8 | % | ||
Healthcare | 16.8 | |||
Consumer Discretionary | 16.6 | |||
Communication Services | 10.6 | |||
Consumer Staples | 6.7 | |||
Financials | 6.5 | |||
Industrials | 5.8 | |||
Materials | 3.1 | |||
Short-Term Investments | 2.8 | |||
Energy | 2.3 | |||
Real Estate | 2.0 |
Top Ten Equity Holdings | (% of Net Assets) | |||
Microsoft Corp. | 4.6 | % | ||
Amazon.com, Inc. | 3.1 | |||
Visa, Inc. | 3.1 | |||
Alphabet, Inc. - Class A | 2.9 | |||
Apple, Inc. | 2.7 | |||
Alphabet, Inc. - Class C | 2.3 | |||
Salesforce.com, Inc. | 2.2 | |||
Lowes Companies, Inc. | 1.9 | |||
Yum! Brands, Inc. | 1.8 | |||
UnitedHealth Group, Inc. | 1.7 |
Semiannual Report • December 31, 2018 | 5 |
Bridge Builder Large Cap Value Fund
Fund Characteristics and 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 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, LLCinvests 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. |
Average Annual Total Returns as of December 31, 2018
1 Year | 3 Years | Since Inception (4/27/2015) | ||||||||||
Bridge Builder Large Cap Value Fund | -8.14 | % | 7.58 | % | 4.69 | % | ||||||
Russell 1000® Value Index | -8.27 | % | 6.95 | % | 4.32 | % |
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 0.28%(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 | 17.9 | % | ||
Healthcare | 13.4 | |||
Industrials | 12.3 | |||
Consumer Discretionary | 10.8 | |||
Information Technology | 10.6 | |||
Consumer Staples | 7.6 | |||
Energy | 7.5 | |||
Materials | 6.2 | |||
Communication Services | 4.7 | |||
Short-Term Investments | 4.1 | |||
Real Estate | 3.1 | |||
Utilities | 1.8 |
Top Ten Equity Holdings | (% of Net Assets) | |||
Medtronic Plc | 2.2 | % | ||
Berkshire Hathaway, Inc. | 2.1 | |||
Chubb Ltd. | 1.6 | |||
Comcast Corp. - Class A | 1.5 | |||
Microsoft Corp. | 1.4 | |||
UnitedHealth Group, Inc. | 1.4 | |||
American Express Co. | 1.3 | |||
Wells Fargo & Co. | 1.3 | |||
McDonald’s Corp. | 1.3 | |||
DowDuPont, Inc. | 1.3 |
6 | Semiannual Report • December 31, 2018 |
Bridge Builder Small/Mid Cap Growth Fund
Fund Characteristics and 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 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. |
Average Annual Total Returns as of December 31, 2018
1 Year | 3 Years | Since Inception (4/27/2015) | ||||||||||
Bridge Builder Small/Mid Cap Growth Fund | -2.10 | % | 9.85 | % | 6.21 | % | ||||||
Russell 2500® Growth Index | -7.47 | % | 8.11 | % | 4.36 | % |
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 0.42%(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 | 23.9 | % | ||
Healthcare | 19.7 | |||
Industrials | 14.9 | |||
Consumer Discretionary | 12.8 | |||
Financials | 9.5 | |||
Consumer Staples | 5.8 | |||
Materials | 4.8 | |||
Real Estate | 2.8 | |||
Communication Services | 2.5 | |||
Short-Term Investments | 2.2 | |||
Energy | 1.0 | |||
Utilities | 0.1 |
Top Ten Equity Holdings | (% of Net Assets) | |||
Workday, Inc. | 1.9 | % | ||
Splunk, Inc. | 1.8 | |||
Palo Alto Networks, Inc. | 1.4 | |||
IDEX Corp. | 1.4 | |||
Rockwell Automation, Inc. | 1.3 | |||
Atlassian Corp. Plc | 1.2 | |||
Ross Stores, Inc. | 1.1 | |||
Advance Auto Parts, Inc. | 1.1 | |||
SBA Communications Corp. | 1.0 | |||
Fortinet, Inc. | 1.0 |
Semiannual Report • December 31, 2018 | 7 |
Bridge Builder Small/Mid Cap Value Fund
Fund Characteristics and 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 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 LLCinvests 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. | Diamond Hill Capital Management, Inc.focuses on estimating a company’s value independent of its current stock price. To estimate a company’s value, Diamond Hill concentrates on the fundamental economic drivers of the business. The primary focus is on bottom-up analysis, which takes into consideration earnings, revenue growth, operating margins, and other economic factors. | MFS Investment Managementprimary invests in securities of companies with small capitalizations. MFS focuses on investing in the stocks of companies that it believes are undervalued compared to their perceived worth (value companies). MFS uses an active bottom-up investment approach to buying and selling investments. Investments are selected primarily based on fundamental analysis of individual issuers and their potential in light of their financial condition, and market, economic, political, and regulatory conditions. |
Average Annual Total Returns as of December 31, 2018
1 Year | 3 Years | Since Inception (4/27/2015) | ||||||||||
Bridge Builder Small/Mid Cap Value Fund | -14.43 | % | 4.09 | % | 1.44 | % | ||||||
Russell 2500® Value Index | -12.36 | % | 6.59 | % | 2.91 | % |
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 0.72%(1) and 0.50%(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.
8 | Semiannual Report • December 31, 2018 |
Bridge Builder Small/Mid Cap Value Fund
Fund Characteristics and Performance (Unaudited) (Continued)
Portfolio Characteristics(3)
Sector Breakdown | �� | (% of Investments) | ||
Financials | 24.5 | % | ||
Industrials | 15.0 | |||
Information Technology | 12.4 | |||
Consumer Discretionary | 9.6 | |||
Real Estate | 8.1 | |||
Utilities | 7.6 | |||
Materials | 5.3 | |||
Healthcare | 4.7 | |||
Energy | 4.4 | |||
Short-Term Investments | 4.1 | |||
Consumer Staples | 2.2 | |||
Communication Services | 2.1 |
Top Ten Equity Holdings | (% of Net Assets) | |||
Reinsurance Group of America, Inc. | 1.0 | % | ||
Fidelity National Information Services, Inc. | 1.0 | |||
The Brink’s Co. | 0.8 | |||
Discover Financial Services | 0.7 | |||
TriMas Corp. | 0.7 | |||
Alleghany Corp. | 0.7 | |||
WPX Energy, Inc. | 0.7 | |||
Entergy Corp. | 0.7 | |||
Cannae Holdings, Inc. | 0.6 | |||
IQVIA Holdings, Inc. | 0.6 |
Semiannual Report • December 31, 2018 | 9 |
Bridge Builder International Equity Fund
Fund Characteristics and 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 Sub-advisers
Baillie Gifford Overseas Limited aims to add value through active management, by making long-term investments in well managed, quality businesses that enjoy sustainable competitive advantages in their marketplace. | 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 employs a deep value investment approach, emphasizing larger capitalization equity securities in international developed markets. | 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. |
Average Annual Total Returns as of December 31, 2018
1 Year | 3 Years | Since Inception (7/06/2015) | ||||||||||
Bridge Builder International Equity Fund | -13.27 | % | 4.11 | % | 1.99 | % | ||||||
MSCI EAFE Index | -13.79 | % | 2.87 | % | 1.01 | % |
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 0.66%(1) and 0.39%(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.
10 | Semiannual Report • December 31, 2018 |
Bridge Builder International Equity Fund
Fund Characteristics and Performance (Unaudited) (Continued)
Portfolio Characteristics(3)
Sector Breakdown | (% of Investments) | |||
Financials | 17.7 | % | ||
Industrials | 12.1 | |||
Healthcare | 11.7 | |||
Consumer Discretionary | 11.3 | |||
Information Technology | 11.2 | |||
Consumer Staples | 10.4 | |||
Communication Services | 9.7 | |||
Energy | 5.9 | |||
Short-Term Investments | 3.6 | |||
Materials | 2.9 | |||
Utilities | 2.7 | |||
Real Estate | 0.8 |
Country Breakdown | (% of Long-Term Investments) | |||
Japan | 15.6 | % | ||
United Kingdom | 14.9 | |||
Switzerland | 8.3 | |||
France | 6.9 | |||
Hong Kong | 5.6 | |||
Germany | 5.5 | |||
Netherlands | 5.1 | |||
Spain | 4.0 | |||
China | 4.0 | |||
Sweden | 3.1 | |||
Other | 27.0 |
Top Ten Equity Holdings | (% of Net Assets) | |||
Novartis AG | 1.4 | % | ||
China Mobile Ltd. | 1.4 | |||
Tesco Plc | 1.4 | |||
Sanofi SA | 1.4 | |||
Roche Holding AG | 1.2 | |||
BP Plc | 1.2 | |||
Taiwan Semiconductor Manufacturing Co. Ltd. – ADR | 1.1 | |||
Eni SpA | 1.1 | |||
Keyence Corp. | 1.0 | |||
AIA Group Ltd. | 1.0 |
ADR American Depositary Receipt
Semiannual Report • December 31, 2018 | 11 |
Fund Characteristics and 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, 2019, to waive its management fees to the extent management fees to be paid to the Adviser exceed the management fees a 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.
The MSCI EAFE Growth Index captures large and mid-cap securities exhibiting overall growth style characteristics across developed markets countries around the world, excluding the US and Canada. The growth investment style characteristics for index construction are defined using five variables: long-term forward EPS growth rate, short-term forward EPS growth rate, current internal growth rate and long-term historical EPS growth trend and long-term historical sales per share growth trend.
The MSCI EAFE Value Index captures large and mid-cap securities exhibiting overall value style characteristics across developed markets countries around the world, excluding the US and Canada. The value investment style characteristics for index construction are defined using three variables: book value to price, 12-month forward earnings to price and dividend yield.
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.
12 | Semiannual Report • December 31, 2018 |
Bridge Builder Mutual Funds
Fund Characteristics and Performance (Unaudited) (Continued)
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.
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.
Semiannual Report • December 31, 2018 | 13 |
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 July 1, 2018 to December 31, 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, toestimate 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 anassumed 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 | $ | 1,017.20 | $ | 0.71 | ||||||||||||||
Hypothetical | 1,000.00 | 1,024.50 | 0.71 | |||||||||||||||||
Bridge Builder Core Plus Bond Fund | 0.24 | |||||||||||||||||||
Actual | 1,000.00 | 1,016.30 | 1.22 | |||||||||||||||||
Hypothetical | 1,000.00 | 1,024.00 | 1.22 | |||||||||||||||||
Bridge Builder Municipal Bond Fund | 0.18 | |||||||||||||||||||
Actual | 1,000.00 | 1,014.80 | 0.91 | |||||||||||||||||
Hypothetical | 1,000.00 | 1,024.30 | 0.92 | |||||||||||||||||
Bridge Builder Large Cap Growth Fund | 0.23 | |||||||||||||||||||
Actual | 1,000.00 | 941.80 | 1.13 | |||||||||||||||||
Hypothetical | 1,000.00 | 1,024.05 | 1.17 | |||||||||||||||||
Bridge Builder Large Cap Value Fund | 0.25 | |||||||||||||||||||
Actual | 1,000.00 | 918.90 | 1.21 | |||||||||||||||||
Hypothetical | 1,000.00 | 1,023.95 | 1.28 | |||||||||||||||||
Bridge Builder Small/Mid Cap Growth Fund | 0.40 | |||||||||||||||||||
Actual | 1,000.00 | 907.40 | 1.92 | |||||||||||||||||
Hypothetical | 1,000.00 | 1,023.19 | 2.04 | |||||||||||||||||
Bridge Builder Small/Mid Cap Value Fund | 0.44 | |||||||||||||||||||
Actual | 1,000.00 | 857.10 | 2.06 | |||||||||||||||||
Hypothetical | 1,000.00 | 1,022.99 | 2.24 | |||||||||||||||||
Bridge Builder International Equity Fund | 0.36 | |||||||||||||||||||
Actual | 1,000.00 | 889.00 | 1.71 | |||||||||||||||||
Hypothetical | 1,000.00 | 1,023.39 | 1.84 |
* | Expenses are equal to the Funds’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect thesix-month period). Expenses do not include Edward Jones Advisory Solutions® program and administrative fees, which are charged outside of the Funds. |
14 | Semiannual Report • December 31, 2018 |
Summary Schedule of Investments
December 31, 2018 (Unaudited)
Principal Amount | Value | |||||||
BONDS & NOTES – 98.51% | ||||||||
Asset-Backed Obligations – 12.50% | ||||||||
Zais CLO 8 Ltd, 3.39% (3 Month LIBOR USD + 0.95%), Apr. 2029(1)(2) | $ | 40,000,000 | $ | 39,331,320 | ||||
Other Securities(1)(2)(3)(4)(8)(12)(13) | 1,989,401,445 | 1,973,796,961 | ||||||
|
| |||||||
Total Asset-Backed Obligations | 2,013,128,281 | |||||||
|
| |||||||
Corporate Bonds – 29.64% | ||||||||
Basic Materials – 1.36% | ||||||||
Various Securities(1)(2)(8) | 215,869,000 | 219,301,498 | ||||||
|
| |||||||
Total Basic Materials | 219,301,498 | |||||||
|
| |||||||
Communications – 1.90% | ||||||||
Various Securities(1) | 311,835,500 | 306,592,183 | ||||||
|
| |||||||
Total Communications | 306,592,183 | |||||||
|
| |||||||
Consumer, Cyclical – 1.63% | ||||||||
Various Securities(1)(2)(12) | 269,872,967 | 262,791,291 | ||||||
|
| |||||||
Total Consumer, Cyclical | 262,791,291 | |||||||
|
| |||||||
Consumer,Non-cyclical – 3.87% | ||||||||
Cigna Corp., 4.38%, Oct. 2028(1) | 30,325,000 | 30,512,713 | ||||||
Other Securities(1)(2) | 606,555,372 | 592,184,683 | ||||||
|
| |||||||
Total Consumer,Non-cyclical | 622,697,396 | |||||||
|
| |||||||
Diversified – 0.06% | ||||||||
Various Securities(1) | 9,539,000 | 9,559,282 | ||||||
|
| |||||||
Total Diversified | 9,559,282 | |||||||
|
| |||||||
Energy – 3.09% | ||||||||
Various Securities(1)(2) | 503,068,000 | 496,922,231 | ||||||
|
| |||||||
Total Energy | 496,922,231 | |||||||
|
| |||||||
Financials – 12.23% | ||||||||
Various Securities(1)(2)(3)(8)(12) | 1,996,579,813 | 1,969,817,279 | ||||||
|
| |||||||
Total Financials | 1,969,817,279 | |||||||
|
| |||||||
Industrials – 1.45% | ||||||||
Various Securities(1)(3) | 237,326,441 | 232,834,610 | ||||||
|
| |||||||
Total Industrials | 232,834,610 | |||||||
|
| |||||||
Technology – 1.19% | ||||||||
Various Securities(1) | 195,911,000 | 192,051,024 | ||||||
|
| |||||||
Total Technology | 192,051,024 | |||||||
|
| |||||||
Utilities – 2.86% | ||||||||
Various Securities(1)(3) | 469,424,996 | 461,279,916 | ||||||
|
| |||||||
Total Utilities | 461,279,916 | |||||||
|
| |||||||
Total Corporate Bonds | 4,773,846,710 | |||||||
|
| |||||||
Government Related – 20.60% | ||||||||
Other Government Related – 2.70% | ||||||||
Various Securities(1)(2)(9) | 424,493,000 | 434,868,207 | ||||||
|
| |||||||
Total Other Government Related | 434,868,207 | |||||||
|
| |||||||
U.S. Treasury – 17.90% | ||||||||
U.S. Treasury Inflation Indexed Bonds, 0.63%, Apr. 2023(10) | 31,494,614 | 30,973,001 | ||||||
U.S. Treasury Note/Bond, 1.75%, Feb. 2022 | 30,000,000 | 29,345,303 | ||||||
U.S. Treasury Note/Bond, 1.75%, Mar. 2022 | 63,550,000 | 62,123,798 | ||||||
U.S. Treasury Note/Bond, 1.88%, Mar. 2022 | 67,050,000 | 65,791,446 | ||||||
U.S. Treasury Note/Bond, 2.00%, Nov. 2026 | 42,125,000 | 40,240,125 | ||||||
U.S. Treasury Note/Bond, 2.13%, Dec. 2022 | 55,602,000 | 54,820,236 |
The accompanying notes are an integral part of these financial statements.
Semiannual Report • December 31, 2018 | 15 |
Bridge Builder Core Bond Fund
Summary Schedule of Investments
December 31, 2018 (Unaudited) (Continued)
Principal Amount | Value | |||||||
U.S. Treasury – 17.90% – (continued) | ||||||||
U.S. Treasury Note/Bond, 2.13%, May 2025 | $ | 37,000,000 | $ | 36,014,413 | ||||
U.S. Treasury Note/Bond, 2.25%, Nov. 2025 | 175,186,000 | 171,396,543 | ||||||
U.S. Treasury Note/Bond, 2.25%, Nov. 2027 | 36,400,000 | 35,188,465 | ||||||
U.S. Treasury Note/Bond, 2.50%, May 2024 | 75,188,000 | 75,049,097 | ||||||
U.S. Treasury Note/Bond, 2.50%, Feb. 2045 | 48,850,000 | 44,353,424 | ||||||
U.S. Treasury Note/Bond, 2.63%, Feb. 2023 | 31,103,000 | 31,261,905 | ||||||
U.S. Treasury Note/Bond, 2.75%, Nov. 2020 | 38,696,000 | 38,864,047 | ||||||
U.S. Treasury Note/Bond, 2.88%, Sep. 2023 | 34,920,000 | 35,486,116 | ||||||
U.S. Treasury Note/Bond, 2.88%, Nov. 2023 | 84,027,000 | 85,485,771 | ||||||
U.S. Treasury Note/Bond, 2.88%, May 2043 | 157,825,000 | 154,346,622 | ||||||
U.S. Treasury Note/Bond, 3.00%, Feb. 2048 | 31,978,000 | 31,862,478 | ||||||
U.S. Treasury Note/Bond, 3.13%, May 2048 | 36,887,400 | 37,652,493 | ||||||
U.S. Treasury Note/Bond, 3.13%, Nov. 2028 | 51,248,000 | 53,193,092 | ||||||
U.S. Treasury Note/Bond, 3.50%, Feb. 2039 | 101,649,100 | 111,334,285 | ||||||
U.S. Treasury Note/Bond, 3.63%, Feb. 2044 | 40,750,000 | 45,218,530 | ||||||
U.S. Treasury Note/Bond, 3.75%, Nov. 2043 | 48,150,000 | 54,474,762 | ||||||
U.S. Treasury Note/Bond, 4.75%, Feb. 2037 | 37,619,000 | 47,992,887 | ||||||
U.S. Treasury Strip Coupon, 0.00%, Aug. 2020 | 34,113,000 | 32,732,467 | ||||||
U.S. Treasury Strip Coupon, 0.00%, Feb. 2022 | 33,917,000 | 31,350,596 | ||||||
U.S. Treasury Strip Coupon, 0.00%, Feb. 2023 | 61,562,000 | 55,456,165 | ||||||
U.S. Treasury Strip Coupon, 0.00%, May 2023 | 30,855,000 | 27,608,285 | ||||||
U.S. Treasury Strip Principal, 0.00%, Nov. 2041 | 55,300,000 | 27,858,626 | ||||||
U.S. Treasury Note/Bond,0.75%-8.75%, Jan.2019-Aug. 2048 | 832,437,600 | 843,107,818 | ||||||
U.S. Treasury Strip Coupon, 0.00%, May2019-Aug. 2041(9) | 564,024,000 | 441,478,145 | ||||||
Other Securities(10) | 62,833,171 | 50,479,752 | ||||||
|
| |||||||
Total U.S. Treasury | 2,882,540,693 | |||||||
|
| |||||||
Total Government Related | 3,317,408,900 | |||||||
|
| |||||||
Mortgage-Backed Obligations – 35.77% | ||||||||
Fannie Mae, 2.60%, Dec. 2026(4) | 43,307,000 | 41,212,323 | ||||||
Fannie Mae, 3.00%, Jan. 2026(11) | 36,085,000 | 36,007,540 | ||||||
Fannie Mae, 3.00%, Nov. 2046 | 30,929,665 | 30,195,693 | ||||||
Fannie Mae, 3.06%, May 2027(4) | 29,130,000 | 28,532,416 | ||||||
Fannie Mae, 3.38%, Jul. 2028(4) | 43,357,968 | 43,525,023 | ||||||
Fannie Mae, 3.50%, Jul. 2042 | 27,478,548 | 27,701,587 | ||||||
Fannie Mae, 3.50%, Nov. 2047 | 41,110,676 | 41,140,391 | ||||||
Fannie Mae, 4.00%, Jan. 2048 | 31,060,651 | 31,778,582 | ||||||
Fannie Mae, 5.00%, Jan. 2041(11) | 29,725,000 | 31,145,459 | ||||||
Freddie Mac, 3.00%, Sep. 2046 | 31,308,082 | 30,557,722 | ||||||
Freddie Mac, 3.19%, Jul. 2027 | 38,013,000 | 37,759,716 | ||||||
Freddie Mac, 3.19%, Sep. 2027(4) | 35,150,000 | 34,824,363 | ||||||
Freddie Mac, 3.50%, Oct. 2047 | 42,875,510 | 42,879,375 | ||||||
Freddie Mac, 3.85%, May 2028(4) | 27,670,000 | 28,754,135 | ||||||
Freddie Mac, 3.90%, Apr. 2028 | 38,270,000 | 39,889,189 | ||||||
Ginnie Mae, 3.50%, Jan. 2043(11) | 27,460,000 | 27,647,268 | ||||||
Ginnie Mae, 3.50%, Apr. 2046 | 40,120,832 | 40,461,169 | ||||||
Ginnie Mae, 4.00%, Jan. 2042(11) | 36,030,000 | 36,897,165 | ||||||
GS Mortgage Securities Trust 2018-GS10, 4.26%, Jul. 2051 | 28,521,000 | 29,674,771 | ||||||
New Residential Mortgage Loan Trust 2018-RPL1, 3.50%, Dec. 2057(1)(4) | 28,289,179 | 28,143,691 | ||||||
Fannie Mae,1.47%-10.00%, Mar.2019-Dec. 2048 (2)(11) | 1,656,402,932 | 1,666,000,598 | ||||||
Fannie Mae,2.28%-4.33%, Aug.2019-Aug. 2030(2)(4) | 150,835,257 | 148,466,290 | ||||||
Freddie Mac,0.85%-4.05%, Jun.2020-Oct. 2033(2)(4) | 534,025,111 | 393,873,459 | ||||||
Freddie Mac,2.00%-10.00%, Sep.2019-Dec. 2048(11) | 785,363,684 | 791,189,384 | ||||||
Ginnie Mae,2.50%-8.50%, Mar.2025-May 2063(4)(11) | 532,776,339 | 541,496,112 | ||||||
Other Securities(1)(2)(3)(4)(5)(12) | 1,674,232,133 | 1,529,491,613 | ||||||
|
| |||||||
Total Mortgage-Backed Obligations | 5,759,245,034 | |||||||
|
| |||||||
Total Bonds & Notes | 15,863,628,925 | |||||||
|
|
The accompanying notes are an integral part of these financial statements.
16 | Semiannual Report • December 31, 2018 |
Bridge Builder Core Bond Fund
Summary Schedule of Investments
December 31, 2018 (Unaudited) (Continued)
Shares | Value | |||||||
PREFERRED STOCKS – 0.01% | ||||||||
Financials – 0.01% | ||||||||
State Street Co., 5.35% | 95,000 | $ | 2,268,600 | |||||
|
| |||||||
Total Preferred Stocks | 2,268,600 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS – 2.45% | ||||||||
Money Market Funds – 2.44% | ||||||||
Fidelity Institutional Money Market Government Fund – Class I , 2.25% (6)(7) | 196,352,655 | 196,352,655 | ||||||
Goldman Sachs Financial Square Government Fund – Class I , 2.34% (6)(7) | 196,913,257 | 196,913,257 | ||||||
|
| |||||||
Total Money Market Funds | 393,265,912 | |||||||
|
| |||||||
Principal Amount | Value | |||||||
U.S. Treasury Bills – 0.01% | ||||||||
U.S. Treasury Bill, 0.00%, Mar. 2019(9) | $ | 1,000,000 | 994,291 | |||||
|
| |||||||
Total U.S. Treasury Bills | 994,291 | |||||||
|
| |||||||
Total Short-Term Investments | 394,260,203 | |||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES – 100.97% | 16,260,157,728 | |||||||
TBA SALE COMMITMENTS – (0.06)% | ||||||||
Mortgage-Backed Obligations – (0.06)% | ||||||||
Fannie Mae, 3.50%, Jan. 2026(14) | (1,000,000 | ) | (1,012,197 | ) | ||||
Freddie Mac Gold Pool, 4.00%, Jan. 2041(14) | (8,000,000 | ) | (8,155,435 | ) | ||||
|
| |||||||
Total TBA Sale Commitments | (9,167,632 | ) | ||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (0.91)% | (146,908,092 | ) | ||||||
|
| |||||||
TOTAL NET ASSETS – 100.00% | $ | 16,104,082,004 | ||||||
|
|
Percentages are stated as a percent of net assets.
(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 $2,818,168,509, which represents 17.50% 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 December 31, 2018. |
(3) | Includesstep-up bonds that pay an initial coupon rate for the first period and then a higher coupon rate for the following periods. The rate reported is the rate in effect as of December 31, 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 December 31, 2018. |
(5) | 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. |
(6) | Partially assigned as collateral for certain delayed delivery securities. |
(7) | Represents annualizedseven-day yield as of the close of the reporting period. |
(8) | Includes securities in default as of December 31, 2018. The value of these securities total $607,426, which represents 0.00% of total net assets. |
(9) | Partially assigned as collateral for certain futures contracts. The value of these pledged issues total $5,819,900 which represents 0.04% of total net assets. |
(10) | Inflation protected security or includes inflation protected securities. The value of these securities total $38,009,726, which represents 0.24% of total net assets. |
The accompanying notes are an integral part of these financial statements.
Semiannual Report • December 31, 2018 | 17 |
Bridge Builder Core Bond Fund
Summary Schedule of Investments
December 31, 2018 (Unaudited) (Continued)
(11) | Delayed delivery purchase commitment security or includes delayed delivery purchase commitment securities. The value of these securities total $233,265,881, which represents 1.45% of total net assets. |
(12) | Includes securities that are categorized as Level 3 per the Trust’s fair value hierarchy. These securities represent $87,518,593 or 0.54% of total net assets. |
(13) | Includes a security that is restricted at December 31, 2018. The value of the restricted security totals $1,921,368, which represents 0.01% of total net assets. |
(14) | Delayed delivery sale commitment security or includes delayed delivery sales commitment securities. The value of these securities total $9,167,632, which represents 0.06% of total net assets. |
Open Futures Contracts
Number of Contracts | Reference Entity | Counterparty | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
1,213 | U.S. 5 Year Note Future | J.P. Morgan | Mar. 2019 | $ | 137,082,025 | $ | 139,115,937 | $ | 2,033,912 | |||||||||||||
1,086 | U.S. 2 Year Note Future | J.P. Morgan | Mar. 2019 | 229,377,904 | 230,571,375 | 1,193,471 | ||||||||||||||||
1,463 | U.S. Ultra Long-Term Bond Future | J.P. Morgan | Mar. 2019 | 223,606,917 | 235,040,094 | 11,433,177 | ||||||||||||||||
|
| |||||||||||||||||||||
14,660,560 | ||||||||||||||||||||||
|
| |||||||||||||||||||||
Number of Contracts | Reference Entity | Counterparty | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
(2,042) | U.S. 10 Year Bond Future | J.P. Morgan | Mar. 2019 | $ | (245,877,064 | ) | $ | (249,155,906 | ) | $ | (3,278,842 | ) | ||||||||||
(184) | U.S. Long Bond Future | J.P. Morgan | Mar. 2019 | (26,091,304 | ) | (26,864,000 | ) | (772,696 | ) | |||||||||||||
|
| |||||||||||||||||||||
(4,051,538 | ) | |||||||||||||||||||||
|
| |||||||||||||||||||||
$ | 10,609,022 | |||||||||||||||||||||
|
|
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 | ||||||||||||||||||||||
2.49% | U.S. Federal Funds Effective Rate | Received | Annually | 10/31/2025 | $ | 95,670,000 | $ | 613 | $ | (972,169 | ) | $ | (971,556 | ) | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 613 | $ | (972,169 | ) | $ | (971,556 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements.
18 | Semiannual Report • December 31, 2018 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
December 31, 2018 (Unaudited)
Principal Amount | Value | |||||||
BONDS & NOTES – 99.07% | ||||||||
Asset-Backed Obligations – 13.98% | ||||||||
Countrywide Asset-Backed Certificates, 2.69% (1 Month LIBOR USD + 0.18%, 0.18% Floor), Mar. 2036 (2) | $ | 46,836,712 | $ | 44,402,056 | ||||
RASC Series2007-KS3 Trust, 2.85% (1 Month LIBOR USD + 0.34%, 0.34% Floor, 14.00% Cap), Apr. 2037 (2) | 31,155,046 | 29,737,719 | ||||||
Saxon Asset Securities Trust2007-3, 2.82% (1 Month LIBOR USD + 0.31%, 0.31% Floor), Sep. 2047 (2) | 34,116,869 | 32,705,007 | ||||||
St Paul’s CLO VI DAC, 0.85% (3 Month EURIBOR + 0.85%, 0.85% Floor), Aug. 2030 (1)(2) | EUR | 38,000,000 | 43,482,677 | |||||
Other Securities *(1)(2)(3)(4)(12) | 2,035,021,125 | 1,952,893,226 | ||||||
|
| |||||||
Total Asset-Backed Obligations | 2,103,220,685 | |||||||
|
| |||||||
Corporate Bonds – 35.87% | ||||||||
Basic Materials – 0.80% | ||||||||
Various Securities *(1) | 125,681,000 | 120,576,896 | ||||||
|
| |||||||
Total Basic Materials | 120,576,896 | |||||||
|
| |||||||
Communications – 4.67% | ||||||||
Various Securities*(1)(2)(12) | 729,817,062 | 702,200,023 | ||||||
|
| |||||||
Total Communications | 702,200,023 | |||||||
|
| |||||||
Consumer, Cyclical – 3.17% | ||||||||
General Motors Financial Co., Inc., 3.55%, Apr. 2021 | $ | 31,140,000 | 30,707,748 | |||||
Other Securities *(1)(2) | 452,403,839 | 445,657,868 | ||||||
|
| |||||||
Total Consumer, Cyclical | 476,365,616 | |||||||
|
| |||||||
Consumer,Non-cyclical – 5.88% | ||||||||
Teva Pharmaceutical Finance Netherlands III BV, 2.20%, Jul. 2021 | $ | 38,640,000 | 35,516,920 | |||||
Other Securities *(1)(2) | 865,668,617 | 848,486,650 | ||||||
|
| |||||||
Total Consumer,Non-cyclical | 884,003,570 | |||||||
|
| |||||||
Diversified – 0.03% | ||||||||
Various Securities | $ | 5,400,000 | 5,349,450 | |||||
|
| |||||||
Total Diversified | 5,349,450 | |||||||
|
| |||||||
Energy – 3.20% | ||||||||
Various Securities *(1)(2)(12) | 503,398,726 | 482,061,242 | ||||||
|
| |||||||
Total Energy | 482,061,242 | |||||||
|
| |||||||
Financials – 12.65% | ||||||||
Lloyds Banking Group Plc, 7.00% (5 Year Swap Rate GBP + 5.06%), Jun. 2164 (2) | GBP | 23,620,000 | 30,087,261 | |||||
Other Securities *(1)(2) | 1,888,057,890 | 1,873,551,565 | ||||||
|
| |||||||
Total Financials | 1,903,638,826 | |||||||
|
| |||||||
Industrials – 2.14% | ||||||||
Various Securities *(1)(2) | 327,263,763 | 322,641,624 | ||||||
|
| |||||||
Total Industrials | 322,641,624 | |||||||
|
| |||||||
Technology – 1.45% | ||||||||
Various Securities *(1)(2) | 224,091,000 | 217,744,215 | ||||||
|
| |||||||
Total Technology | 217,744,215 | |||||||
|
| |||||||
Utilities – 1.88% | ||||||||
Various Securities (1)(2) | $ | 288,595,000 | 282,482,134 | |||||
|
| |||||||
Total Utilities | 282,482,134 | |||||||
|
| |||||||
Total Corporate Bonds | 5,397,063,596 | |||||||
|
| |||||||
Convertible Securities – 0.31% | ||||||||
Communications – 0.08% | ||||||||
Various Securities | 14,521,628 | 12,761,577 | ||||||
|
| |||||||
Total Communications | 12,761,577 | |||||||
|
|
The accompanying notes are an integral part of these financial statements.
Semiannual Report • December 31, 2018 | 19 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
December 31, 2018 (Unaudited) (Continued)
Principal Amount | Value | |||||||
Consumer, Cyclical – 0.01% | ||||||||
Various Securities | $ | 1,634,430 | $ | 2,028,762 | ||||
|
| |||||||
Total Consumer, Cyclical | 2,028,762 | |||||||
|
| |||||||
Consumer, Non-cyclical – 0.03% | ||||||||
Various Securities | 5,405,000 | 4,950,353 | ||||||
|
| |||||||
Total Consumer, Non-cyclical | 4,950,353 | |||||||
|
| |||||||
Diversified – 0.01% | ||||||||
Various Securities | 1,460,000 | 1,466,393 | ||||||
|
| |||||||
Total Diversified | 1,466,393 | |||||||
|
| |||||||
Energy – 0.07% | ||||||||
Various Securities | 13,640,000 | 9,549,720 | ||||||
|
| |||||||
Total Energy | 9,549,720 | |||||||
|
| |||||||
Financials – 0.03% | ||||||||
Various Securities | 5,160,000 | 4,649,366 | ||||||
|
| |||||||
Total Financials | 4,649,366 | |||||||
|
| |||||||
Industrials – 0.04% | ||||||||
Various Securities | 5,338,000 | 4,992,842 | ||||||
|
| |||||||
Total Industrials | 4,992,842 | |||||||
|
| |||||||
Technology – 0.04% | ||||||||
Various Securities | 6,780,000 | 5,950,443 | ||||||
|
| |||||||
Total Technology | 5,950,443 | |||||||
|
| |||||||
Total Convertible Securities | 46,349,456 | |||||||
|
| |||||||
Government Related – 26.62% | ||||||||
Other Government Related – 2.17% | ||||||||
Various Securities *(1)(2)(3)(12) | 51,179,823,796 | 325,537,938 | ||||||
|
| |||||||
Total Other Government Related | 325,537,938 | |||||||
|
| |||||||
U.S. Treasury – 24.45% | ||||||||
U.S. Treasury Inflation Indexed Bonds, 0.13%, Apr. 2022 (9) | 29,178,638 | 28,227,702 | ||||||
U.S. Treasury Inflation Indexed Bonds, 0.75%, Jul. 2028 (9) | 34,640,824 | 33,910,113 | ||||||
U.S. Treasury Note/Bond, 2.00%, May 2024 | 58,440,000 | 56,860,061 | ||||||
U.S. Treasury Note/Bond, 2.00%, Nov. 2026 (11) | 44,737,000 | 42,735,252 | ||||||
U.S. Treasury Note/Bond, 2.25%, Feb. 2027 (11) | 141,695,000 | 137,690,753 | ||||||
U.S. Treasury Note/Bond, 2.38%, Aug. 2024 (11) | 39,200,000 | 38,841,438 | ||||||
U.S. Treasury Note/Bond, 2.50%, Feb. 2045 | 62,700,000 | 56,928,551 | ||||||
U.S. Treasury Note/Bond, 2.63%, Aug. 2020 | 49,120,000 | 49,179,359 | ||||||
U.S. Treasury Note/Bond, 2.63%, Jul. 2021 | 104,785,000 | 105,142,818 | ||||||
U.S. Treasury Note/Bond, 2.63%, Dec. 2025 | 58,930,000 | 59,097,511 | ||||||
U.S. Treasury Note/Bond, 2.75%, Sep. 2020 | 101,670,000 | 102,036,911 | ||||||
U.S. Treasury Note/Bond, 2.75%, Jun. 2025 (10) | 720,000,000 | 727,466,191 | ||||||
U.S. Treasury Note/Bond, 2.75%, Feb. 2028 | 40,500,000 | 40,739,107 | ||||||
U.S. Treasury Note/Bond, 2.75%, Nov. 2047 | 47,780,000 | 45,290,827 | ||||||
U.S. Treasury Note/Bond, 2.88%, Oct. 2020 | 51,090,000 | 51,400,901 | ||||||
U.S. Treasury Note/Bond, 2.88%, Oct. 2021 | 29,680,000 | 29,990,411 | ||||||
U.S. Treasury Note/Bond, 2.88%, Oct. 2023 | 150,695,000 | 153,195,175 | ||||||
U.S. Treasury Note/Bond, 2.88%, Nov. 2023 | 121,785,000 | 123,899,278 | ||||||
U.S. Treasury Note/Bond, 2.88%, May 2025 (10) | 467,200,000 | 475,369,912 | ||||||
U.S. Treasury Note/Bond, 2.88%, Jul. 2025 (10) | 251,900,000 | 256,390,571 | ||||||
U.S. Treasury Note/Bond, 2.88%, May 2028 | 35,000,000 | 35,562,874 | ||||||
U.S. Treasury Note/Bond, 2.88%, Aug. 2028 | 44,165,000 | 44,879,386 | ||||||
U.S. Treasury Note/Bond, 3.00%, Oct. 2025 | 92,550,000 | 94,987,051 | ||||||
U.S. Treasury Note/Bond, 3.00%, May 2045 (11) | 36,855,000 | 36,851,118 | ||||||
U.S. Treasury Note/Bond, 3.00%, Feb. 2048 | 58,795,000 | 58,582,600 | ||||||
U.S. Treasury Note/Bond, 3.00%, Aug. 2048 (10) | 115,742,000 | 115,394,057 |
The accompanying notes are an integral part of these financial statements.
20 | Semiannual Report • December 31, 2018 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
December 31, 2018 (Unaudited) (Continued)
Principal Amount | Value | |||||||
U.S. Treasury – 24.45% – (continued) | ||||||||
U.S. Treasury Note/Bond, 3.13%, Nov. 2028 | $ | 197,320,000 | $ | 204,809,180 | ||||
U.S. Treasury Note/Bond, 3.38%, Nov. 2048 | 269,080,000 | 288,230,004 | ||||||
U.S. Treasury Note/Bond,1.38%-4.63%, Jun.2020-May 2048 (10)(11) | 134,950,000 | 135,885,776 | ||||||
Other Securities (9) | 51,830,600 | 49,431,667 | ||||||
|
| |||||||
Total U.S. Treasury | 3,679,006,555 | |||||||
|
| |||||||
Total Government Related | 4,004,544,493 | |||||||
|
| |||||||
Mortgage-Backed Obligations – 22.29% | ||||||||
Alternative Loan Trust2007-OA2, 3.00% (12 month U.S. Treasury Average + 0.84%, 0.84% Floor), Mar. 2047 | 34,006,694 | 28,095,953 | ||||||
Fannie Mae Pool, 3.50%, Jan. 2047 | 36,273,865 | 36,365,455 | ||||||
Fannie Mae Pool, 4.00%, Jun. 2048 | 43,609,579 | 44,478,263 | ||||||
Fannie Mae Pool, 4.50%, May 2048 | 63,118,367 | 65,573,984 | ||||||
Fannie Mae Pool, 4.50%, Aug. 2048 | 29,315,018 | 30,380,514 | ||||||
Freddie Mac Gold Pool, 3.00%, Aug. 2047 | 29,187,468 | 28,471,683 | ||||||
Freddie Mac Gold Pool, 3.50%, Jan. 2026 (5) | 42,495,000 | 43,009,345 | ||||||
Freddie Mac Gold Pool, 3.50%, Aug. 2046 | 36,910,420 | 37,048,500 | ||||||
Freddie Mac Gold Pool, 3.50%, Dec. 2047 | 43,005,876 | 43,136,358 | ||||||
Freddie Mac Gold Pool, 3.50%, Jan. 2048 | 29,875,102 | 29,999,245 | ||||||
Freddie Mac Gold Pool, 3.50%, Mar. 2048 | 126,417,626 | 126,671,443 | ||||||
Freddie Mac Gold Pool, 4.00%, Jun. 2048 | 27,727,360 | 28,406,672 | ||||||
Freddie Mac Gold Pool, 4.00%, Jul. 2048 | 27,971,603 | 28,609,222 | ||||||
Freddie Mac Gold Pool, 4.50%, Jan. 2041 (5) | 52,270,000 | 54,120,787 | ||||||
Ginnie Mae II Pool, 3.50%, Jan. 2048 | 33,363,734 | 33,606,831 | ||||||
Fannie Mae Pool,2.50%-6.50%, Apr.2025-Aug. 2056 (5) | 661,825,016 | 665,623,565 | ||||||
Freddie Mac Gold Pool,2.50%-8.00%, Jul.2030-Nov. 2048 (5) | 303,129,842 | 304,911,192 | ||||||
Ginnie Mae II Pool,2.50%-5.50%, Jul.2036-Dec. 2048 (5) | 425,723,012 | 432,012,362 | ||||||
Other Securities *(1)(2)(3)(4) | 1,318,570,018 | 1,293,523,832 | ||||||
|
| |||||||
Total Mortgage-Backed Obligations | 3,354,045,206 | |||||||
|
| |||||||
Total Bonds & Notes | 14,905,223,436 | |||||||
|
| |||||||
BANK LOANS – 2.29% | ||||||||
Various Securities *(2)(12)(14) | 370,389,857 | 344,783,315 | ||||||
|
| |||||||
Total Bank Loans | 344,783,315 | |||||||
|
| |||||||
Shares | Value | |||||||
COMMON STOCKS – 0.02% | ||||||||
Communications – 0.00%(13) | ||||||||
Various Securities (6)(14) | 2,911,000 | 9,588 | ||||||
|
| |||||||
Consumer, Cyclical – 0.02% | ||||||||
Caesars Entertainment Corp. (6) | 338,983 | 2,301,695 | ||||||
|
| |||||||
Total Common Stocks | 2,311,283 | |||||||
|
| |||||||
CONVERTIBLE PREFERRED STOCKS – 0.04% | ||||||||
Consumer,Non-Cyclical – 0.04% | ||||||||
Bunge Ltd., 4.88% | 68,719 | 6,665,743 | ||||||
|
| |||||||
Total Convertible Preferred Stocks | 6,665,743 | |||||||
|
|
The accompanying notes are an integral part of these financial statements.
Semiannual Report • December 31, 2018 | 21 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
December 31, 2018 (Unaudited) (Continued)
Shares | Value | |||||||
SHORT-TERM INVESTMENTS – 5.42% | ||||||||
Money Market Funds – 1.72% | ||||||||
Fidelity Institutional Money Market Government Funds – Class I , 2.25% (7)(8) | 129,127,659 | $ | 129,127,659 | |||||
Goldman Sachs Financial Square Government Fund – Class I , 2.34% (7)(8) | 128,765,462 | 128,765,462 | ||||||
|
| |||||||
Total Money Market Funds | 257,893,121 | |||||||
|
| |||||||
Principal Amount | Value | |||||||
Banker’s Acceptances – 0.58% | ||||||||
HSBC Bank, 2.04%, Jan. 2019 | CAD | 54,400,000 | 39,824,131 | |||||
Royal Bank of Canada, 2.01%, Jan. 2019 | 65,400,000 | 47,876,805 | ||||||
|
| |||||||
Total Banker’s Acceptances | 87,700,936 | |||||||
|
| |||||||
Certificate of Deposit – 0.00% (13) | ||||||||
Barclays Bank, 2.89% (3 Month LIBOR + 0.40%), Oct. 2019 (2) | $ | 250,000 | 250,118 | |||||
|
| |||||||
Total Certificate of Deposit | 250,118 | |||||||
|
| |||||||
Commercial Paper – 0.19% | ||||||||
Various Securities | 29,180,000 | 29,056,991 | ||||||
|
| |||||||
Total Commercial Paper | 29,056,991 | |||||||
|
| |||||||
Foreign Treasury Bills – 2.78% | ||||||||
Japan Treasury Discount Bill, 0.00%, Feb. 2019 | JPY | 1,800,000,000 | 16,424,908 | |||||
Japan Treasury Discount Bill, 0.00%, Mar. 2019 | 44,050,000,000 | 402,040,397 | ||||||
|
| |||||||
Total Foreign Treasury Bills | 418,465,305 | |||||||
|
| |||||||
Repurchase Agreements – 0.10% | ||||||||
J.P. Morgan Securities, 2.95%, dated 12/28/2018, due 01/02/2019, repurchase price $12,201,999 (collateralized by U.S. Treasury Note, value $12,368,367, 1.88%, 02/28/2022) | $ | 12,200,000 | 12,200,000 | |||||
Merrill Lynch Pierce Fenner & Smith, Inc., 3.13%, dated 12/31/2018, due 01/02/2019, repurchase price $3,000,522 (collateralized by U.S. Treasury Bond value, $3,029,633, 2.75%, 08/15/2047) | 3,000,000 | 3,000,000 | ||||||
|
| |||||||
Total Repurchase Agreements | 15,200,000 | |||||||
|
| |||||||
U.S. Treasury Bills – 0.05% | ||||||||
U.S. Treasury Bill, 0.00%, Mar. 2019 (11) | 6,915,000 | 6,875,526 | ||||||
|
| |||||||
Total U.S. Treasury Bills | 6,875,526 | |||||||
|
| |||||||
Total Short-Term Investments | 815,441,997 | |||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES – 106.84% | 16,074,425,774 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (6.84)% | (1,029,206,955 | ) | ||||||
|
| |||||||
TOTAL NET ASSETS – 100.00% | $ | 15,045,218,819 | ||||||
|
|
Percentages are stated as a percent of net assets.
Principal amounts are denominated 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. |
CAD | Canadian Dollar |
EUR | Euro |
GBP | British Pound |
JPY | Japanese Yen |
The accompanying notes are an integral part of these financial statements.
22 | Semiannual Report • December 31, 2018 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
December 31, 2018 (Unaudited) (Continued)
(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 $3,122,355,166, which represents 20.75% 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 December 31, 2018. |
(3) | Includes step-up bonds that pay an initial coupon rate for the first period and then a higher coupon rate for the following periods. The rate reported is the rate in effect as of December 31, 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 December 31, 2018. |
(5) | Delayed delivery purchase commitment security or includes delayed delivery purchase commitment securities. The value of these securities total $143,241,174, which represents 0.95% of total net assets. |
(6) | Non-income producing security or includes securities that arenon-income producing. |
(7) | Partially assigned as collateral for certain delayed delivery securities. |
(8) | Represents annualizedseven-day yield as of the close of the reporting period. |
(9) | Inflation protected security or includes inflation protected securities. The value of these securities total $111,569,482, which represents 0.74% of total net assets. |
(10) | All or a portion of these U.S. Treasuries were purchased in a sale-buyback transaction. The value of these securities total $905,178,156, which represents 6.02% of total net assets. |
(11) | Partially assigned as collateral for certain future and swap contracts. The value of these pledged issues total $47,760,480, which represents 0.32% of total net assets. |
(12) | Security or includes securities in default as of December 31, 2018. The value of these securities total $67,581,805, which represents 0.45% of total net assets. |
(13) | Amount calculated is less than 0.005%. |
(14) | Includes securities that are categorized as Level 3 per the Trust’s fair value hierarchy. These securities represent $209,588 or 0.00% of the Fund’s net assets. |
Open Futures Contracts
Number of Contracts | Reference Entity | Counterparty | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
408 | Australian 10 Year Bond Future | Goldman Sachs | Mar. 2019 | AUD | 53,581,632 | $ | 38,127,408 | $ | 387,218 | |||||||||||||
2,176 | U.S. 2 Year Note Future | Citigroup Global Markets | Mar. 2019 | $ | 458,929,565 | 461,992,000 | 3,062,435 | |||||||||||||||
1,779 | U.S. 2 Year Note Future | Goldman Sachs | Mar. 2019 | 375,232,544 | 377,703,938 | 2,471,394 | ||||||||||||||||
3,431 | U.S. 5 Year Note Future | Citigroup Global Markets | Mar. 2019 | 387,192,758 | 393,492,812 | 6,300,054 | ||||||||||||||||
7,277 | U.S. 10 Year Note Future | Goldman Sachs | Mar. 2019 | 867,614,176 | 887,907,703 | 20,293,527 | ||||||||||||||||
3 | U.S. Ultra Long-Term Bond Future | Citigroup Global Markets | Mar. 2019 | 457,718 | 481,969 | 24,251 | ||||||||||||||||
1,665 | U.S. Ultra Long-Term Bond Future | Goldman Sachs | Mar. 2019 | 253,836,817 | 267,492,656 | 13,655,839 | ||||||||||||||||
|
| |||||||||||||||||||||
46,194,718 | ||||||||||||||||||||||
|
| |||||||||||||||||||||
Number of Contracts | Reference Entity | Counterparty | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
(264) | Euro-Bobl Future | Citigroup Global Markets | Mar. 2019 | EUR | (34,889,507 | ) | $ | (40,084,419 | ) | $ | (109,732 | ) | ||||||||||
(634) | U.S. 5 Year Note Future | Goldman Sachs | Mar. 2019 | $ | (72,058,596 | ) | (72,711,875 | ) | (653,279 | ) | ||||||||||||
(55) | U.S. Ultra 10 Year Note Future | Goldman Sachs | Mar. 2019 | (6,930,961 | ) | (7,154,297 | ) | (223,336 | ) | |||||||||||||
|
| |||||||||||||||||||||
(986,347 | ) | |||||||||||||||||||||
|
| |||||||||||||||||||||
$ | 45,208,371 | |||||||||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements.
Semiannual Report • December 31, 2018 | 23 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
December 31, 2018 (Unaudited) (Continued)
Over-the-Counter Forward Foreign Currency Exchange Contracts
Currency Purchased | Currency Sold | Settlement Date | Counterparty | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
ARS* | 340,379,586 | USD | 8,661,058 | 01/04/19 | Deutsche Bank | $ | 323,094 | |||||||||||
ARS* | 50,667,768 | USD | 1,289,256 | 01/04/19 | J.P. Morgan | 48,095 | ||||||||||||
ARS* | 62,906,889 | USD | 1,620,059 | 01/11/19 | J.P. Morgan | 23,134 | ||||||||||||
ARS* | 318,633,208 | USD | 7,801,033 | 01/16/19 | J.P. Morgan | 460,847 | ||||||||||||
ARS* | 391,047,354 | USD | 9,319,527 | 03/13/19 | J.P. Morgan | 144,344 | ||||||||||||
ARS* | 54,265,962 | USD | 1,365,869 | 01/22/19 | Morgan Stanley | 28,904 | ||||||||||||
CHF | 4,063,000 | USD | 4,125,673 | 02/22/19 | J.P. Morgan | 28,222 | ||||||||||||
CHF | 19,072,000 | USD | 19,302,137 | 02/15/19 | Morgan Stanley | 184,512 | ||||||||||||
EUR | 4,274,000 | USD | 4,909,027 | 02/22/19 | Goldman Sachs | 9,781 | ||||||||||||
EUR | 7,318,000 | USD | 8,386,623 | 01/11/19 | J.P. Morgan | 5,794 | ||||||||||||
GBP | 4,876,000 | USD | 6,181,555 | 01/11/19 | J.P. Morgan | 36,838 | ||||||||||||
IDR* | 1,475,948,000 | USD | 100,398 | 03/20/19 | Deutsche Bank | 1,347 | ||||||||||||
JPY | 453,293,000 | USD | 4,034,679 | 01/25/19 | Citigroup Global Markets | 109,575 | ||||||||||||
MXN | 844,663,000 | USD | 42,720,388 | 01/25/19 | J.P. Morgan | 83,553 | ||||||||||||
RON | 2,048,384 | USD | 502,189 | 01/18/19 | Goldman Sachs | 1,854 | ||||||||||||
SEK | 36,890,000 | USD | 4,121,235 | 02/22/19 | Merrill Lynch | 58,920 | ||||||||||||
TRY | 26,087,000 | USD | 3,967,655 | 01/15/19 | J.P. Morgan | 917,953 | ||||||||||||
TRY | 221,714,090 | USD | 37,186,856 | 02/19/19 | J.P. Morgan | 3,553,309 | ||||||||||||
USD | 4,077,860 | AUD | 5,660,000 | 01/25/19 | Citigroup Global Markets | 89,089 | ||||||||||||
USD | 67,125,681 | AUD | 91,432,000 | 01/11/19 | J.P. Morgan | 2,710,292 | ||||||||||||
USD | 4,080,409 | CAD | 5,350,000 | 01/25/19 | Goldman Sachs | 158,852 | ||||||||||||
USD | 89,622,051 | CAD | 119,605,000 | 02/15/19 | J.P. Morgan | 1,910,129 | ||||||||||||
USD | 9,035,409 | CAD | 11,942,000 | 02/15/19 | Morgan Stanley | 277,783 | ||||||||||||
USD | 1,739,058 | COP* | 5,583,041,086 | 02/08/19 | Goldman Sachs | 23,319 | ||||||||||||
USD | 3,477,393 | COP* | 11,166,082,172 | 02/08/19 | J.P. Morgan | 45,916 | ||||||||||||
USD | 12,216,297 | COP* | 39,081,287,602 | 02/08/19 | Morgan Stanley | 206,126 | ||||||||||||
USD | 4,100,445 | GBP | 3,174,000 | 02/22/19 | Goldman Sachs | 44,293 | ||||||||||||
USD | 178,431,210 | GBP | 139,709,000 | 01/11/19 | J.P. Morgan | 259,461 | ||||||||||||
USD | 4,068,482 | NOK | 34,392,000 | 02/22/19 | Goldman Sachs | 81,237 | ||||||||||||
USD | 22,571,400 | NZD | 33,217,000 | 02/15/19 | J.P. Morgan | 257,670 | ||||||||||||
USD | 4,104,683 | NZD | 6,050,000 | 02/22/19 | Merrill Lynch | 40,079 | ||||||||||||
USD | 8,856,569 | PEN* | 29,614,597 | 01/22/19 | Morgan Stanley | 72,652 | ||||||||||||
|
| |||||||||||||||||
Total Unrealized Appreciation | 12,196,974 | |||||||||||||||||
|
| |||||||||||||||||
ARS* | 86,555,140 | USD | 2,276,868 | 01/15/19 | J.P. Morgan | (29,266 | ) | |||||||||||
ARS* | 345,899,999 | USD | 6,221,223 | 02/27/20 | J.P. Morgan | (11,309 | ) | |||||||||||
AUD | 5,660,000 | USD | 4,116,009 | 01/25/19 | Citigroup Global Markets | (127,237 | ) | |||||||||||
AUD | 1,858,000 | USD | 1,324,544 | 01/11/19 | J.P. Morgan | (15,552 | ) | |||||||||||
AUD | 1,910,000 | USD | 1,393,790 | 01/11/19 | Morgan Stanley | (48,163 | ) | |||||||||||
CAD | 5,350,000 | USD | 4,039,443 | 01/25/19 | Merrill Lynch | (117,886 | ) | |||||||||||
CAD | 12,800,000 | USD | 9,647,210 | 02/15/19 | Morgan Stanley | (260,373 | ) | |||||||||||
EUR | 3,398,000 | USD | 3,910,928 | 02/22/19 | Merrill Lynch | (281 | ) | |||||||||||
GBP | 3,174,000 | USD | 4,077,066 | 02/22/19 | Citigroup Global Markets | (20,914 | ) | |||||||||||
NOK | 34,392,000 | USD | 4,052,793 | 02/22/19 | Merrill Lynch | (65,548 | ) | |||||||||||
NZD | 6,050,000 | USD | 4,141,122 | 02/22/19 | J.P. Morgan | (76,519 | ) | |||||||||||
RUB* | 249,817,460 | USD | 3,680,092 | 01/30/19 | J.P. Morgan | (110,863 | ) | |||||||||||
RUB* | 2,523,317,626 | USD | 37,839,359 | 02/15/19 | Morgan Stanley | (1,858,580 | ) | |||||||||||
USD | 10,065,569 | ARS* | 391,047,354 | 01/04/19 | J.P. Morgan | (255,934 | ) | |||||||||||
USD | 6,221,223 | ARS* | 244,494,064 | 01/16/19 | J.P. Morgan | (118,295 | ) | |||||||||||
USD | 18,990,565 | CHF | 18,951,000 | 02/15/19 | J.P. Morgan | (372,454 | ) | |||||||||||
USD | 4,072,162 | CHF | 4,063,000 | 02/22/19 | Merrill Lynch | (81,733 | ) | |||||||||||
USD | 5,679,290 | EUR | 4,965,000 | 02/22/19 | Citigroup Global Markets | (34,767 | ) | |||||||||||
USD | 9,809,264 | EUR | 8,605,000 | 01/11/19 | J.P. Morgan | (59,109 | ) | |||||||||||
USD | 5,676,350 | EUR | 4,965,000 | 02/22/19 | Merrill Lynch | (37,706 | ) | |||||||||||
USD | 274,019,238 | EUR | 240,590,000 | 01/11/19 | Morgan Stanley | (1,893,810 | ) | |||||||||||
USD | 1,105,970 | EUR | 967,565 | 02/22/19 | State Street | (7,568 | ) | |||||||||||
USD | 11,428,626 | EUR | 9,931,181 | 02/22/19 | UBS | (846 | ) | |||||||||||
USD | 2,556,085 | GBP | 2,011,000 | 01/11/19 | Morgan Stanley | (8,556 | ) |
The accompanying notes are an integral part of these financial statements.
24 | Semiannual Report • December 31, 2018 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
December 31, 2018 (Unaudited) (Continued)
Over-the-Counter Forward Foreign Currency Exchange Contracts (Continued)
Currency Purchased | Currency Sold | Settlement Date | Counterparty | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
USD | 4,086,065 | JPY | 453,293,000 | 01/25/19 | Citigroup Global Markets | $ | (58,190 | ) | ||||||||||||||
USD | 391,485,958 | JPY | 44,050,000,000 | 03/25/19 | J.P. Morgan | (13,209,390 | ) | |||||||||||||||
USD | 15,943,595 | JPY | 1,800,000,000 | 02/04/19 | Morgan Stanley | (525,500 | ) | |||||||||||||||
USD | 498,257 | RON | 2,048,384 | 01/18/19 | Goldman Sachs | (5,786 | ) | |||||||||||||||
USD | 2,067,943 | SEK | 18,445,000 | 02/22/19 | Citigroup Global Markets | (22,134 | ) | |||||||||||||||
USD | 2,069,588 | SEK | 18,445,000 | 02/22/19 | State Street | (20,489 | ) | |||||||||||||||
USD | 13,510,588 | TRY | 72,449,000 | 01/15/19 | J.P. Morgan | (57,759 | ) | |||||||||||||||
|
| |||||||||||||||||||||
Total Unrealized Depreciation | (19,512,517 | ) | ||||||||||||||||||||
|
| |||||||||||||||||||||
Net Unrealized Depreciation | $ | (7,315,543 | ) | |||||||||||||||||||
|
|
* | Non-deliverable forward (See Note 3). |
ARS | Argentine Peso |
AUD | Australian Dollar |
CAD | Canadian Dollar |
CHF | Swiss Franc |
COP | Columbian Peso |
EUR | Euro |
GBP | British Pound |
IDR | Indonesian Rupiah |
JPY | Japanese Yen |
MXN | Mexican Peso |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
PEN | Peruvian Sol |
RON | Romanian Leu |
RUB | Russian Ruble |
SEK | Swedish Krona |
TRY | Turkish Lira |
Centrally Cleared Credit Default Swaps – Buy Protection
Reference Entity | Fixed Annual | Maturity Date | Implied Credit Spread at December 31, 2018 | Notional Amount | Upfront Premium Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | Value | |||||||||||||||||||
CDX.HY.31 | 5.00% | 12/20/2023 | 5.10 | % | $ | 54,600,000 | $ | (1,610,244 | ) | $ | 501,818 | $ | (1,108,426 | ) | ||||||||||||
CDX.HY.31 | 5.00 | 12/20/2023 | 5.10 | 19,300,000 | (940,957 | ) | 549,151 | (391,806 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | (2,551,201 | ) | $ | 1,050,969 | $ | (1,500,232 | ) | |||||||||||||||||||
|
|
|
|
|
|
Centrally Cleared Credit Default Swaps – Sell Protection
Reference Entity | Fixed Annual | Maturity Date | Implied Credit Spread at December 31, 2018 | Notional Amount | Upfront Premium Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | Value | |||||||||||||||||
CDX.EM.28 | 1.00% | 12/20/2022 | 1.68 | % | $ | 9,894,000 | $ | (312,566 | ) | $ | 73,958 | $ | (238,608 | ) | ||||||||||
CDX.EM.29 | 1.00 | 06/20/2023 | 1.61 | 2,000,000 | (36,557 | ) | (37,437 | ) | (73,994 | ) | ||||||||||||||
CDX.EM.30 | 1.00 | 12/20/2023 | 2.15 | 10,800,000 | (490,770 | ) | (17,870 | ) | (508,640 | ) | ||||||||||||||
Deutsche Bank | 1.00 | 06/20/2019 | 1.14 | EUR | 3,400,000 | (4,807 | ) | 2,110 | (2,697 | ) | ||||||||||||||
Deutsche Bank | 1.00 | 12/20/2019 | 1.46 | 5,100,000 | (39,641 | ) | 14,050 | (25,591 | ) | |||||||||||||||
General Electric Company | 1.00 | 12/20/2023 | 2.04 | $ | 700,000 | (32,361 | ) | 524 | (31,837 | ) | ||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | (916,702 | ) | $ | 35,335 | $ | (881,367 | ) | |||||||||||||||||
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements.
Semiannual Report • December 31, 2018 | 25 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
December 31, 2018 (Unaudited) (Continued)
Over-the-Counter Credit Default Swaps – Sell Protection
Counterparty | Reference Entity | Fixed Annual Rate Received by Fund | Maturity Date | Implied Credit Spread at December 31, 2018 | Notional Amount | Upfront Premium Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | Value | |||||||||||||||||||||||||||||
Goldman Sachs | Argentine Republic | 5.00 | % | 06/20/2019 | 2.23 | % | $ | 150,000 | $ | 1,044 | $ | (486 | ) | $ | 558 | ||||||||||||||||||||||
J.P. Morgan | Argentine Republic | 5.00 | 06/20/2023 | 6.61 | 200,000 | 1,306 | (21,777 | ) | (20,471 | ) | |||||||||||||||||||||||||||
Deutsche Bank | CMBX.NA.AAA.10 | 0.50 | 11/17/2059 | 0.34 | 16,450,000 | (275,676 | ) | 95,149 | (180,527 | ) | |||||||||||||||||||||||||||
Goldman Sachs | Federative Republic of Brazil | 1.00 | 06/20/2023 | 0.13 | 4,600,000 | (226,869 | ) | 57,303 | (169,566 | ) | |||||||||||||||||||||||||||
Merrill Lynch | Penerbangan Malaysia BHD | 1.00 | 12/20/2023 | 1.08 | 9,300,000 | (18,584 | ) | (21,085 | ) | (39,669 | ) | ||||||||||||||||||||||||||
Merrill Lynch | Republic of Colombia | 1.00 | 12/20/2023 | 1.56 | 10,335,000 | (69,791 | ) | (196,358 | ) | (266,149 | ) | ||||||||||||||||||||||||||
Morgan Stanley | Republic of Colombia | 1.00 | 12/20/2023 | 1.56 | 18,785,000 | (112,294 | ) | (371,461 | ) | (483,755 | ) | ||||||||||||||||||||||||||
J.P. Morgan | Republic of Indonesia | 1.00 | 12/20/2023 | 1.36 | 8,895,000 | (164,810 | ) | 16,498 | (148,312 | ) | |||||||||||||||||||||||||||
Merrill Lynch | Republic of Indonesia | 1.00 | 12/20/2023 | 1.36 | 9,980,000 | (172,159 | ) | 5,756 | (166,403 | ) | |||||||||||||||||||||||||||
Morgan Stanley | Republic of Indonesia | 1.00 | 12/20/2023 | 1.36 | 9,425,000 | (124,361 | ) | (32,788 | ) | (157,149 | ) | ||||||||||||||||||||||||||
J.P. Morgan | Republic of South Africa | 1.00 | 06/20/2023 | 2.06 | 9,400,000 | (582,489 | ) | 158,746 | (423,743 | ) | |||||||||||||||||||||||||||
J.P. Morgan | Republic of South Africa | 1.00 | 12/20/2023 | 2.21 | 16,320,000 | (872,804 | ) | (16,640 | ) | (889,444 | ) | ||||||||||||||||||||||||||
J.P. Morgan | Republic of South Africa | 1.00 | 12/20/2023 | 2.21 | 4,700,000 | (244,385 | ) | (11,766 | ) | (256,151 | ) | ||||||||||||||||||||||||||
Goldman Sachs | Russia Emerging Markets SPMYC | 1.00 | 12/20/2022 | 0.65 | 1,500,000 | (24,788 | ) | 4,964 | (19,824 | ) | |||||||||||||||||||||||||||
Goldman Sachs | Russia Emerging Markets SPMYC | 1.00 | 12/20/2023 | 0.48 | 26,600,000 | (407,042 | ) | (230,721 | ) | (637,763 | ) | ||||||||||||||||||||||||||
J.P. Morgan | Russia Emerging Markets SPMYC | 1.00 | 06/20/2023 | 0.56 | 18,200,000 | (473,538 | ) | 133,970 | (339,568 | ) | |||||||||||||||||||||||||||
Deutsche Bank | United Mexican States | 1.00 | 12/20/2023 | 0.46 | 1,700,000 | (32,955 | ) | (9,359 | ) | (42,314 | ) | ||||||||||||||||||||||||||
Goldman Sachs | United Mexican States | 1.00 | 06/20/2023 | 0.57 | 29,900,000 | (208,552 | ) | (326,269 | ) | (534,821 | ) | ||||||||||||||||||||||||||
Goldman Sachs | United Mexican States | 1.00 | 12/20/2023 | 0.46 | 10,200,000 | (191,907 | ) | (61,978 | ) | (253,885 | ) | ||||||||||||||||||||||||||
J.P. Morgan | United Mexican States | 1.00 | 12/20/2023 | 0.46 | 6,300,000 | (119,568 | ) | (37,243 | ) | (156,811 | ) | ||||||||||||||||||||||||||
Morgan Stanley | United Mexican States | 1.00 | 12/20/2022 | 0.72 | 3,800,000 | 3,503 | (44,165 | ) | (40,662 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
| ||||||||||||||||||||||||||||||||
$ | (4,316,719 | ) | $ | (909,710 | ) | $ | (5,226,429 | ) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements.
26 | Semiannual Report • December 31, 2018 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
December 31, 2018 (Unaudited) (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 | ||||||||||||||||||||||
2.50% | 3 Month LIBOR | Paid | Quarterly | 12/20/2024 | $ | 84,500,000 | $ | 1,272,053 | $ | (1,715,828 | ) | $ | (443,775 | ) | ||||||||||||||||
2.50 | 3 Month LIBOR | Paid | Quarterly | 12/20/2027 | 94,300,000 | 2,017,926 | (3,482,990 | ) | (1,465,064 | ) | ||||||||||||||||||||
2.50 | 3 Month LIBOR | Paid | Quarterly | 12/20/2027 | 107,900,000 | (1,281,113 | ) | (274,716 | ) | (1,555,829 | ) | |||||||||||||||||||
3.00 | 3 Month LIBOR | Received | Quarterly | 12/19/2048 | 73,800,000 | (1,363,241 | ) | (1,136,047 | ) | (2,499,288 | ) | |||||||||||||||||||
3.00 | 6 Month AUD BBSW | Paid | Semi-Annual | 03/21/2027 | AUD | 109,400,000 | 727,158 | 2,437,002 | 3,164,160 | |||||||||||||||||||||
1.00 | 6 Month EURIBOR | Received | Semi-Annual | 03/20/2029 | EUR | 16,100,000 | 64,261 | (327,289 | ) | (263,028 | ) | |||||||||||||||||||
1.50 | 6 Month GBP LIBOR | Received | Semi-Annual | 03/20/2029 | GBP | 18,700,000 | 292,289 | (414,922 | ) | (122,633 | ) | |||||||||||||||||||
1.75 | 6 Month GBP LIBOR | Received | Semi-Annual | 03/20/2049 | 1,500,000 | (9,126 | ) | (88,471 | ) | (97,597 | ) | |||||||||||||||||||
7.15 | Mexico Interbank TIIE 28 Day | Paid | Lunar | �� | 06/11/2027 | MXN | 25,800,000 | (20,444 | ) | (109,109 | ) | (129,553 | ) | |||||||||||||||||
7.36 | Mexico Interbank TIIE 28 Day | Received | Lunar | 08/21/2037 | 900,000 | 3,468 | 4,277 | 7,745 | ||||||||||||||||||||||
7.37 | Mexico Interbank TIIE 28 Day | Paid | Lunar | 10/11/2027 | 40,300,000 | (2,223 | ) | (179,271 | ) | (181,494 | ) | |||||||||||||||||||
7.38 | Mexico Interbank TIIE 28 Day | Received | Lunar | 08/14/2037 | 1,300,000 | 4,901 | 6,156 | 11,057 | ||||||||||||||||||||||
7.61 | Mexico Interbank TIIE 28 Day | Received | Lunar | 01/23/2023 | 222,400,000 | 178,725 | 207,899 | 386,624 | ||||||||||||||||||||||
7.75 | Mexico Interbank TIIE 28 Day | Paid | Lunar | 01/05/2023 | 1,400,000 | — | (2,072 | ) | (2,072 | ) | ||||||||||||||||||||
7.81 | Mexico Interbank TIIE 28 Day | Paid | Lunar | 02/06/2023 | 2,800,000 | — | (3,920 | ) | (3,920 | ) | ||||||||||||||||||||
7.82 | Mexico Interbank TIIE 28 Day | Paid | Lunar | 02/06/2023 | 2,800,000 | (481 | ) | (3,364 | ) | (3,845 | ) | |||||||||||||||||||
7.87 | Mexico Interbank TIIE 28 Day | Paid | Lunar | 12/27/2022 | 3,400,000 | — | (4,302 | ) | (4,302 | ) | ||||||||||||||||||||
7.88 | Mexico Interbank TIIE 28 Day | Paid | Lunar | 12/16/2022 | 2,000,000 | — | (2,470 | ) | (2,470 | ) | ||||||||||||||||||||
7.88 | Mexico Interbank TIIE 28 Day | Paid | Lunar | 12/27/2022 | 36,000,000 | 13,008 | (57,615 | ) | (44,607 | ) | ||||||||||||||||||||
7.91 | Mexico Interbank TIIE 28 Day | Received | Lunar | 12/30/2027 | 800,000 | — | 2,288 | 2,288 | ||||||||||||||||||||||
7.98 | Mexico Interbank TIIE 28 Day | Received | Lunar | 12/10/2027 | 3,300,000 | (25 | ) | 8,594 | 8,569 | |||||||||||||||||||||
7.99 | Mexico Interbank TIIE 28 Day | Received | Lunar | 12/21/2027 | 100,000 | — | 259 | 259 | ||||||||||||||||||||||
8.01 | Mexico Interbank TIIE 28 Day | Received | Lunar | 12/21/2027 | 20,200,000 | (9,971 | ) | 61,351 | 51,380 | |||||||||||||||||||||
8.03 | Mexico Interbank TIIE 28 Day | Received | Lunar | 01/31/2028 | 1,600,000 | 15 | 3,982 | 3,997 | ||||||||||||||||||||||
8.05 | Mexico Interbank TIIE 28 Day | Received | Lunar | 01/31/2028 | 2,400,000 | 682 | 5,156 | 5,838 | ||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 1,887,862 | $ | (5,065,422 | ) | $ | (3,177,560 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements.
Semiannual Report • December 31, 2018 | 27 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
December 31, 2018 (Unaudited) (Continued)
Over-the-Counter Total Return Swap Contracts – Long
Counterparty | Reference Entity | Floating Rate Paid by Fund | Payment Fequency | Maturity Date | Notional Amount | Upfront Premium Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | Value | ||||||||||||||||||||||
J.P. Morgan | IBOXX USD Liquid High Yield Index Series 1 | | 3-Month LIBOR Paid | | Quarterly | 03/20/2019 | $ | 62,000,000 | $ | — | $ | (1,871,140 | ) | $ | (1,871,140 | ) | ||||||||||||||
Goldman Sachs | IBOXX USD Liquid High Yield Index Series 1 | | 3-Month LIBOR Paid | | Quarterly | 03/20/2019 | 40,000,000 | — | (541,589 | ) | (541,589 | ) | ||||||||||||||||||
J.P. Morgan | IBOXX USD Liquid High Yield Index Series 1 | | 3-Month LIBOR Paid | | Quarterly | 06/20/2019 | 50,000,000 | — | (1,682,595 | ) | (1,682,595 | ) | ||||||||||||||||||
Goldman Sachs | IBOXX USD Liquid High Yield Index Series 1 | | 3-Month LIBOR Paid | | Quarterly | 06/20/2019 | 50,000,000 | — | (1,584,715 | ) | (1,584,715 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | — | $ | (5,680,039 | ) | $ | (5,680,039 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
Sale-Buyback Transactions
Counterparty | Borrowing Date | Maturity Date | Borrowing Rate | Amount Borrowed | ||||||||||||||||
BNP Paribas | 12/06/18 | 02/07/19 | 2.70 | % | $ | 79,237,567 | ||||||||||||||
Goldman Sachs | 11/20/18 | 01/02/19 | 2.65 | 246,049,085 | ||||||||||||||||
Goldman Sachs | 12/10/18 | 01/10/19 | 2.85 | 57,961,569 | ||||||||||||||||
Goldman Sachs | 12/13/18 | 01/24/19 | 2.50 | 6,149,115 | ||||||||||||||||
Morgan Stanley | 11/27/18 | 01/09/19 | 2.69 | 9,593,072 | ||||||||||||||||
Morgan Stanley | 12/11/18 | 01/14/19 | 2.60 | 8,989,217 | ||||||||||||||||
Morgan Stanley | 12/13/18 | 01/03/19 | 2.94 | 83,718,083 | ||||||||||||||||
Morgan Stanley | 12/17/18 | 01/02/19 | 3.08 | 203,016,431 | ||||||||||||||||
Morgan Stanley | 12/18/18 | 01/02/19 | 3.12 | 173,036,304 | ||||||||||||||||
Morgan Stanley | 12/27/18 | 01/03/19 | 3.40 | 23,445,664 | ||||||||||||||||
|
| |||||||||||||||||||
$ | 891,196,107 | |||||||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements.
28 | Semiannual Report • December 31, 2018 |
Bridge Builder Municipal Bond Fund
Summary Schedule of Investments
December 31, 2018 (Unaudited)
Principal Amount | Value | |||||||
MUNICIPAL BONDS – 98.25% | ||||||||
Education – 7.81% | ||||||||
Connecticut State Health & Educational Facility Authority, 1.00%, Jul. 2042(1)(5) | $ | 28,000,000 | $ | 27,884,640 | ||||
Cook County School District No 63 East Maine, 2.38%, Dec. 2028(1)(2) | 10,970,000 | 11,207,720 | ||||||
School Board of Miami-Dade County, 5.00%, May 2031(1) | 10,000,000 | 11,306,100 | ||||||
Connecticut State Health & Educational Facilities Authority,1.80%-5.00%, Jul.2029-Jul. 2049(1)(5) | 14,720,000 | 14,756,900 | ||||||
District of Columbia, 5.00%, Jun. 2046(5) | 1,600,000 | 1,702,736 | ||||||
Illinois Finance Authority, 5.00%, Aug.2021-Aug. 2049(5) | 3,180,000 | 3,550,644 | ||||||
New York State Dormitory Authority, 5.00%, Oct.2028-Oct. 2030(5) | 5,075,000 | 6,015,009 | ||||||
Other Securities(1)(2) | 238,210,000 | 262,817,534 | ||||||
|
| |||||||
Total Education | 339,241,283 | |||||||
|
| |||||||
General Obligation – 23.21% | ||||||||
Commonwealth of Massachusetts, 5.00%, Jul. 2036 | 12,630,000 | 14,181,848 | ||||||
Commonwealth of Pennsylvania, 5.00%, Mar. 2023 | 9,970,000 | 11,092,223 | ||||||
County of Pima AZ, 4.00%, Jul. 2022 | 13,160,000 | 14,066,987 | ||||||
District of Columbia, 5.00%, Jun. 2034(5) | 13,100,000 | 14,745,259 | ||||||
State of Connecticut, 5.00%, Aug. 2019 | 20,380,000 | 20,747,044 | ||||||
State of Hawaii, 5.00%, Jan. 2030 | 15,500,000 | 18,521,260 | ||||||
State of Illinois, 5.00%, Nov. 2025(5) | 10,550,000 | 11,278,372 | ||||||
State of Texas, 5.00%, Oct. 2030(5) | 10,000,000 | 11,352,600 | ||||||
State of Texas, 5.00%, Apr. 2039(5) | 20,000,000 | 22,008,400 | ||||||
Washington & Multnomah Counties School District No 48J Beaverton, 5.00%, Jun. 2035 | 12,780,000 | 14,799,112 | ||||||
Commonwealth of Massachusetts,1.05%-5.50%, Jul.2022-Mar. 2046(1) | 29,165,000 | 31,516,393 | ||||||
District of Columbia, 5.00%, Jun.2031-Jun. 2035(5) | 17,580,000 | 20,365,361 | ||||||
State of Illinois,4.00%-5.50%, Nov.2019-Jul. 2038(5) | 48,720,000 | 51,666,420 | ||||||
State of Texas,2.00%-5.50%, Aug.2021-Oct. 2041(1)(3)(5) | 21,490,000 | 23,109,413 | ||||||
Other Securities(1)(2)(3) | 666,060,000 | 729,413,760 | ||||||
|
| |||||||
Total General Obligation | 1,008,864,452 | |||||||
|
| |||||||
General Revenue – 23.53% | ||||||||
California Pollution Control Financing Authority, 2.15%, Aug. 2023(1)(2) | 17,655,000 | 17,650,939 | ||||||
City & County of Denver CO, 5.00%, Oct. 2032 | 10,345,000 | 10,878,699 | ||||||
Industrial Development Authority of the City of Phoenix, 2.15%, Dec. 2035(1) | 13,000,000 | 12,997,010 | ||||||
Kentucky Public Energy Authority, 4.00%, Apr. 2048(1) | 10,590,000 | 11,068,562 | ||||||
Kentucky Public Energy Authority, 4.00%, Dec. 2049(1) | 20,000,000 | 20,975,200 | ||||||
New Jersey Transportation Trust Fund Authority, 5.00%, Dec. 2033 | 14,340,000 | 15,630,313 | ||||||
New York State Dormitory Authority, 5.00%, Mar. 2035(5) | 18,190,000 | 21,331,777 | ||||||
New York State Urban Development Corp., 5.00%, Mar. 2032 | 9,500,000 | 11,103,505 | ||||||
Patriots Energy Group Financing Agency, 4.00%, Oct. 2048(1) | 38,245,000 | 40,402,400 | ||||||
Southeast Alabama Gas Supply District, 4.00%, Jun. 2049(1) | 11,010,000 | 11,511,065 | ||||||
State of Texas, 4.00%, Aug. 2019 (5) | 39,400,000 | 39,963,814 | ||||||
District of Columbia, 5.00%, Dec.2022-Dec. 2036(5) | 9,440,000 | 10,000,524 | ||||||
Illinois Finance Authority,4.00%-8.00%, May2023-May 2047(5) | 5,635,000 | 5,918,759 | ||||||
Indiana Finance Authority,2.35%-6.00%, Dec.2026-Jan. 2051(1)(5) | 18,435,000 | 19,249,951 | ||||||
Metropolitan Transportation Authority, 2.16% (SIFMA Municipal Swap Index + 0.45%), Nov. 2026(3)(5) | 2,910,000 | 2,892,103 | ||||||
New York State Dormitory Authority,5.00%-5.25%, Dec.2023-Mar. 2033(5) | 13,200,000 | 15,183,729 | ||||||
State of Illinois,4.00%-5.00%, Jun.2019-Jun. 2025(5) | 9,855,000 | 10,323,245 | ||||||
Other Securities(1)(2)(3) | 717,229,000 | 745,728,907 | ||||||
|
| |||||||
Total General Revenue | 1,022,810,502 | |||||||
|
| |||||||
Healthcare – 15.01% | ||||||||
City of Murray UT, 1.70%, May 2037(1) | 14,720,000 | 14,720,000 | ||||||
County of Franklin OH, 5.00%, Nov. 2033(1) | 12,790,000 | 14,267,245 | ||||||
Illinois Finance Authority, 5.00%, May 2028(5) | 12,620,000 | 14,734,607 | ||||||
Illinois Finance Authority, 5.00%, Jul. 2057(1)(5) | 10,905,000 | 12,071,399 | ||||||
Michigan State Hospital Finance Authority, 4.00%, Nov. 2047(1) | 14,255,000 | 15,353,428 | ||||||
Royal Oak Hospital Finance Authority, 5.00%, Sep. 2039 | 10,320,000 | 11,145,806 | ||||||
Washington Health Care Facilities Authority, 5.00%, Oct. 2038 | 11,320,000 | 12,362,346 | ||||||
Connecticut State Health & Educational Facility Authority,4.00%-5.00%, Jul.2043-Jul. 2046(5) | 2,630,000 | 2,679,723 | ||||||
District of Columbia, 5.00%, Jul.2042-Jul. 2052(5) | 1,545,000 | 1,518,329 |
The accompanying notes are an integral part of these financial statements.
Semiannual Report • December 31, 2018 | 29 |
Bridge Builder Municipal Bond Fund
Summary Schedule of Investments
December 31, 2018 (Unaudited) (Continued)
Principal Amount | Value | |||||||
Healthcare – 15.01% – (continued) | ||||||||
Illinois Finance Authority,1.75%-5.25%, Feb.2022-May 2054(1)(5) | $ | 66,190,000 | $ | 72,105,871 | ||||
Indiana Finance Authority, 5.00%, May2026-Sep. 2036(5) | 11,475,000 | 12,997,170 | ||||||
New York State Dormitory Authority,4.00%-5.00%, Dec.2019-Jul. 2025(2)(5) | 7,020,000 | 7,912,634 | ||||||
Other Securities(1)(2)(3) | 431,836,250 | 460,435,920 | ||||||
|
| |||||||
Total Healthcare | 652,304,478 | |||||||
|
| |||||||
Housing – 3.75% | ||||||||
Alamito Public Facility Corp., 2.50%, Nov. 2021(1) | 15,000,000 | 15,108,150 | ||||||
District of Columbia Housing Finance Agency, 2.45%, Nov. 2021(1) | 13,750,000 | 13,825,762 | ||||||
Kentucky Housing Corp., 2.45%, Apr. 2021(1) | 13,000,000 | 13,061,750 | ||||||
Macon-Bibb County Housing Authority, 2.04%, Apr. 2021(1) | 15,000,000 | 14,992,500 | ||||||
Other Securities(1)(3) | 104,730,000 | 105,903,654 | ||||||
|
| |||||||
Total Housing | 162,891,816 | |||||||
|
| |||||||
Transportation – 16.36% | ||||||||
Chicago O’Hare International Airport, 5.00%, Jan. 2032 | 12,665,000 | 14,045,995 | ||||||
City of Phoenix Civic Improvement Corp., 5.00%, Jul. 2029 | 12,865,000 | 14,143,781 | ||||||
County of Broward FL Airport System Revenue, 5.00%, Oct. 2040 | 10,000,000 | 10,887,400 | ||||||
Grand Parkway Transportation Corp., 5.00%, Oct. 2052(1) | 9,610,000 | 10,769,639 | ||||||
Hillsborough County Aviation Authority, 5.00%, Oct. 2040 | 12,500,000 | 13,685,250 | ||||||
Metropolitan Transportation Authority, 5.00%, Sep. 2021(5) | 25,000,000 | 26,792,250 | ||||||
Metropolitan Transportation Authority, 5.00%, Nov. 2036(5) | 10,000,000 | 10,944,600 | ||||||
New York State Thruway Authority, 5.00%, May 2019 | 18,800,000 | 19,000,032 | ||||||
Triborough Bridge & Tunnel Authority, 2.12% (Secured Overnight Financing Rate + 0.50%), Nov. 2038(3) | 20,000,000 | 20,036,800 | ||||||
Indiana Finance Authority, 5.00%, Dec. 2024(5) | 3,000,000 | 3,484,830 | ||||||
Metropolitan Transportation Authority,0.00%-5.25%, May2020-Nov. 2045(1)(3)(5) | 21,525,000 | 21,782,979 | ||||||
Other Securities(1)(3) | 492,390,000 | 545,377,447 | ||||||
|
| |||||||
Total Transportation | 710,951,003 | |||||||
|
| |||||||
Utilities – 8.58% | ||||||||
City of Atlanta GA Water & Wastewater Revenue, 5.00%, Nov. 2040 | 14,595,000 | 16,220,883 | ||||||
City of Charleston SC Waterworks & Sewer System Revenue, 5.00%, Jan. 2040 | 10,000,000 | 11,194,600 | ||||||
County of Pima AZ Sewer System Revenue, 5.00%, Jul. 2022 | 10,000,000 | 11,025,500 | ||||||
Indiana Finance Authority, 5.25%, Oct. 2038(5) | 15,010,000 | 16,093,572 | ||||||
Ohio Water Development Authority, 5.00%, Jun. 2028 | 9,290,000 | 11,257,065 | ||||||
Utility Debt Securitization Authority, 5.00%, Dec. 2033 | 12,000,000 | 13,746,360 | ||||||
Illinois Finance Authority, 5.00%, Jul.2022-Jul. 2031(5) | 4,070,000 | 4,680,293 | ||||||
New York City Water & Sewer System, 5.00%, Jun.2031-Jun. 2039 | 39,420,000 | 44,285,871 | ||||||
Other Securities(1)(3) | 221,720,000 | 244,499,955 | ||||||
|
| |||||||
Total Utilities | 373,004,099 | |||||||
|
| |||||||
Total Municipal Bonds | 4,270,067,633 | |||||||
|
| |||||||
Shares | Value | |||||||
SHORT-TERM INVESTMENTS – 1.09% | ||||||||
Money Market Funds – 1.09% | ||||||||
Fidelity Institutional Money Market Government Funds – Class I, 2.25%(4) | 23,685,972 | 23,685,972 | ||||||
Goldman Sachs Financial Square Government Fund – Class I, 2.34%(4) | 23,685,972 | 23,685,972 | ||||||
|
| |||||||
Total Short-Term Investments | 47,371,944 | |||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES – 99.34% | 4,317,439,577 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.66% | 28,696,408 | |||||||
|
| |||||||
TOTAL NET ASSETS – 100.00% | $ | 4,346,135,985 | ||||||
|
|
The accompanying notes are an integral part of these financial statements.
30 | Semiannual Report • December 31, 2018 |
Bridge Builder Municipal Bond Fund
Summary Schedule of Investments
December 31, 2018 (Unaudited) (Continued)
Percentages are stated as a percent of net assets.
(1) | Adjustable rate security or includes adjustable rate securities. The rate reported is the rate in effect as of December 31, 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 $107,860,620, which represents 2.48% of total net assets. |
(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 December 31, 2018. |
(4) | Represents annualizedseven-day yield as of the close of the reporting period. |
(5) | Issuer includes securities in multiple catergories. The market value of the issuer as a whole is greater than 1% of the Fund’s total net assets. |
Open Futures Contracts
Number of Contracts | Description | Counterparty | Expiration Date | Notional Amount | Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
(400) | U.S. 10 Year Bond Future | Merrill Lynch | Mar. 2019 | $ | (47,936,887 | ) | $ | (48,806,250 | ) | $ | (869,363 | ) | ||||||||||
(100) | U.S. Long Bond Future | Merrill Lynch | Mar. 2019 | (14,015,490 | ) | (14,600,000 | ) | (584,510 | ) | |||||||||||||
|
| |||||||||||||||||||||
$ | (1,453,873 | ) | ||||||||||||||||||||
|
|
State/U.S. Territory | Percentage of Net Assets | |||
Alabama | 1.01 | % | ||
Alaska | 0.10 | |||
Arizona | 2.26 | |||
Arkansas | 0.02 | |||
California | 4.03 | |||
Colorado | 2.33 | |||
Connecticut | 2.77 | |||
Delaware | 0.31 | |||
District of Columbia | 2.20 | |||
Florida | 6.14 | |||
Georgia | 1.88 | |||
Guam | 0.04 | |||
Hawaii | 0.78 | |||
Idaho | 0.08 | |||
Illinois | 10.48 | |||
Indiana | 1.81 | |||
Iowa | 0.21 | |||
Kansas | 0.21 | |||
Kentucky | 2.03 | |||
Louisiana | 1.13 | |||
Maine | 0.14 | |||
Maryland | 2.95 | |||
Massachusetts | 2.39 | |||
Michigan | 3.10 | |||
Minnesota | 0.66 | |||
Mississippi | 0.25 | |||
Missouri | 0.69 | |||
Montana | 0.03 | |||
Nebraska | 0.24 | |||
Nevada | 1.07 |
State/U.S. Territory (Continued) | Percentage of Net Assets | |||
New Hampshire | 0.53 | % | ||
New Jersey | 3.24 | |||
New Mexico | 0.30 | |||
New York | 10.38 | |||
North Carolina | 1.08 | |||
Ohio | 1.97 | |||
Oklahoma | 1.08 | |||
Oregon | 0.70 | |||
Pennsylvania | 4.77 | |||
Puerto Rico | 0.09 | |||
Rhode Island | 0.21 | |||
South Carolina | 2.05 | |||
South Dakota | 0.10 | |||
Tennessee | 1.12 | |||
Texas | 11.94 | |||
U.S. Virgin Islands | 0.07 | |||
Utah | 0.63 | |||
Vermont | 0.10 | |||
Virginia | 1.95 | |||
Washington | 2.29 | |||
West Virginia | 0.23 | |||
Wisconsin | 2.08 | |||
|
| |||
Total Municipal Bonds | 98.25 | |||
|
| |||
SHORT-TERM INVESTMENTS | 1.09 | |||
|
| |||
TOTAL INVESTMENTS IN SECURITIES | 99.34 | |||
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.66 | |||
|
| |||
TOTAL NET ASSETS | 100.00 | % | ||
|
|
The accompanying notes are an integral part of these financial statements.
Semiannual Report • December 31, 2018 | 31 |
Bridge Builder Large Cap Growth Fund
Summary Schedule of Investments
December 31, 2018 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS – 96.99% |
| |||||||
Communication Services – 10.60% |
| |||||||
Alphabet, Inc. – Class A(1) | 163,191 | $ | 170,528,067 | |||||
Alphabet, Inc. – Class C (1) | 129,029 | 133,623,723 | ||||||
Facebook, Inc.(1) | 745,014 | 97,663,885 | ||||||
Netflix, Inc.(1) | 189,319 | 50,673,124 | ||||||
Tencent Holdings Ltd. – ADR | 1,013,229 | 39,992,149 | ||||||
Walt Disney Co. | 778,285 | 85,338,950 | ||||||
Other Securities (1) | 729,304 | 39,457,497 | ||||||
|
| |||||||
Total Communication Services |
| 617,277,395 | ||||||
|
| |||||||
Consumer Discretionary – 16.57% |
| |||||||
Alibaba Group Holding Ltd. – ADR(1) | 277,151 | 37,989,088 | ||||||
Amazon.com, Inc.(1) | 119,326 | 179,224,072 | ||||||
Booking Holdings, Inc.(1) | 32,214 | 55,486,038 | ||||||
Lowes Companies, Inc. | 1,169,471 | 108,012,342 | ||||||
McDonald’s Corp. | 379,999 | 67,476,422 | ||||||
Nike, Inc. | 1,071,304 | 79,426,479 | ||||||
TJX Companies, Inc. | 1,554,097 | 69,530,300 | ||||||
Yum! Brands, Inc. | 1,133,753 | 104,214,576 | ||||||
Other Securities (1) | 2,835,830 | 263,324,609 | ||||||
|
| |||||||
Total Consumer Discretionary |
| 964,683,926 | ||||||
|
| |||||||
Consumer Staples – 6.62% |
| |||||||
Coca Cola Co. | 1,930,722 | 91,419,687 | ||||||
Lauder Estee Companies, Inc. | 675,632 | 87,899,723 | ||||||
Mondelez International, Inc. | 1,586,959 | 63,525,969 | ||||||
Procter & Gamble Co. | 690,486 | 63,469,473 | ||||||
Other Securities (1) | 812,033 | 79,302,609 | ||||||
|
| |||||||
Total Consumer Staples |
| 385,617,461 | ||||||
|
| |||||||
Energy – 2.30% |
| |||||||
Chevron Corp. | 481,950 | 52,431,340 | ||||||
Other Securities (1) | 1,542,738 | 81,333,719 | ||||||
|
| |||||||
Total Energy |
| 133,765,059 | ||||||
|
| |||||||
Financials – 6.48% |
| |||||||
Bank of America Corp. | 1,695,260 | 41,771,206 | ||||||
Intercontinental Exchange, Inc. | 894,033 | 67,347,506 | ||||||
SunTrust Banks, Inc. | 892,125 | 44,998,785 | ||||||
Wells Fargo & Co. | 1,145,610 | 52,789,709 | ||||||
Other Securities (1) | 2,375,913 | 170,242,435 | ||||||
|
| |||||||
Total Financials |
| 377,149,641 | ||||||
|
| |||||||
Healthcare – 16.72% |
| |||||||
Abbott Laboratories | 1,194,129 | 86,371,351 | ||||||
Becton Dickinson and Co. | 323,987 | 73,000,751 | ||||||
Johnson & Johnson | 627,541 | 80,984,166 | ||||||
Medtronic Plc | 813,625 | 74,007,330 | ||||||
Novo Nordisk A/S – ADR | 1,535,044 | 70,719,477 | ||||||
Pfizer, Inc. | 1,367,950 | 59,711,018 | ||||||
Regeneron Pharmaceuticals, Inc.(1) | 211,981 | 79,174,904 | ||||||
UnitedHealth Group, Inc. | 394,359 | 98,242,714 | ||||||
Other Securities(1) | 3,288,305 | 351,439,139 | ||||||
|
| |||||||
Total Healthcare |
| 973,650,850 | ||||||
|
| |||||||
Industrials – 5.81% |
| |||||||
Boeing Co. | 138,020 | 44,511,450 | ||||||
Honeywell International, Inc. | 355,594 | 46,981,079 | ||||||
United Technologies Corp. | 431,065 | 45,899,801 | ||||||
Other Securities(1) | 1,792,875 | 201,002,924 | ||||||
|
| |||||||
Total Industrials |
| 338,395,254 | ||||||
|
|
Shares | Value | |||||||
Information Technology – 26.77% |
| |||||||
Adobe Systems, Inc.(1) | 194,599 | $ | 44,026,078 | |||||
Alliance Data Systems Corp. | 277,533 | 41,652,153 | ||||||
Analog Devices, Inc. | 481,572 | 41,333,325 | ||||||
Apple, Inc. | 1,010,835 | 159,449,113 | ||||||
Autodesk, Inc.(1) | 619,926 | 79,728,683 | ||||||
Automatic Data Processing, Inc. | 523,082 | 68,586,512 | ||||||
Cisco Systems, Inc. | 1,691,433 | 73,289,792 | ||||||
FleetCor Technologies, Inc.(1) | 431,882 | 80,209,125 | ||||||
Intuit, Inc. | 327,472 | 64,462,863 | ||||||
Mastercard, Inc. | 257,281 | 48,536,061 | ||||||
Microsoft Corp. | 2,628,600 | 266,986,902 | ||||||
Salesforce.com, Inc.(1) | 941,213 | 128,917,945 | ||||||
Visa, Inc. | 1,352,336 | 178,427,212 | ||||||
Other Securities (1) | 2,836,269 | 282,831,899 | ||||||
|
| |||||||
Total Information Technology |
| 1,558,437,663 | ||||||
|
| |||||||
Materials – 3.11% |
| |||||||
Ecolab, Inc. | 624,140 | 91,967,029 | ||||||
Linde Plc | 432,691 | 67,517,104 | ||||||
Other Securities (1) | 237,091 | 21,380,014 | ||||||
|
| |||||||
Total Materials |
| 180,864,147 | ||||||
|
| |||||||
Real Estate – 2.01% |
| |||||||
Equinix, Inc. | 219,581 | 77,415,477 | ||||||
Other Securities (1) | 576,562 | 39,857,158 | ||||||
|
| |||||||
Total Real Estate |
| 117,272,635 | ||||||
|
| |||||||
Total Common Stocks |
| 5,647,114,031 | ||||||
|
| |||||||
RIGHTS – 0.00%(2) | ||||||||
Consumer Staples – 0.00%(2) |
| |||||||
Herbalife Ltd., expires 8/21/2019 – CVR(1)(4) | 93,853 | — | ||||||
|
| |||||||
Total Rights |
| — | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS – 2.78% |
| |||||||
Money Market Funds – 2.78% |
| |||||||
Goldman Sachs Financial Square Government Fund – Class I, 2.34% (3) | 80,794,904 | 80,794,904 | ||||||
JPMorgan U.S. Government Money Market Fund – Class I, 2.31% (3) | 80,794,905 | 80,794,905 | ||||||
|
| |||||||
Total Short-Term Investments |
| 161,589,809 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES – 99.77% (Cost: $5,128,594,512) |
| 5,808,703,840 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.23% |
| 13,175,692 | ||||||
|
| |||||||
TOTAL NET ASSETS – 100.00% |
| $ | 5,821,879,532 | |||||
|
|
The accompanying notes are an integral part of these financial statements.
32 | Semiannual Report • December 31, 2018 |
Bridge Builder Large Cap Growth Fund
Summary Schedule of Investments
December 31, 2018 (Unaudited) (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 arenon-income producing. |
(2) | Amount calculated is less than 0.005%. |
(3) | Represents annualizedseven-day yield as of the close of the reporting period. |
(4) | Security is categorized as Level 3 per the Trust’s fair value hierarchy. The value of this security totals $0, which represents 0.00% of total 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 Financial Services LLC (“S&P”).
The accompanying notes are an integral part of these financial statements.
Semiannual Report • December 31, 2018 | 33 |
Bridge Builder Large Cap Value Fund
Summary Schedule of Investments
December 31, 2018 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS – 95.64% |
| |||||||
Communication Services – 4.67% |
| |||||||
Alphabet, Inc. – Class C(1) | 80,761 | $ | 83,636,899 | |||||
Comcast Corp. – Class A | 3,125,123 | 106,410,438 | ||||||
Other Securities (1) | 2,879,366 | 146,560,336 | ||||||
|
| |||||||
Total Communication Services |
| 336,607,673 | ||||||
|
| |||||||
Consumer Discretionary – 10.80% |
| |||||||
Dollar General Corp. | 484,590 | 52,374,487 | ||||||
McDonald’s Corp. | 508,897 | 90,364,840 | ||||||
Michelin | 534,458 | 52,605,143 | ||||||
Nike, Inc. | 843,948 | 62,570,305 | ||||||
TJX Companies, Inc. | 1,165,064 | 52,124,963 | ||||||
Other Securities (1) | 10,195,400 | 468,732,149 | ||||||
|
| |||||||
Total Consumer Discretionary |
| 778,771,887 | ||||||
|
| |||||||
Consumer Staples – 7.58% |
| |||||||
Coca Cola Co. | 1,750,664 | 82,893,940 | ||||||
Colgate Palmolive Co. | 1,086,300 | 64,656,576 | ||||||
Costco Wholesale Corp. | 261,088 | 53,186,237 | ||||||
Diageo Plc – ADR | 391,056 | 55,451,741 | ||||||
PepsiCo, Inc. | 673,946 | 74,457,554 | ||||||
Procter & Gamble Co. | 591,063 | 54,330,511 | ||||||
Other Securities (1) | 2,940,149 | 161,601,608 | ||||||
|
| |||||||
Total Consumer Staples |
| 546,578,167 | ||||||
|
| |||||||
Energy – 7.51% |
| |||||||
Hess Corp. | 1,288,921 | 52,201,301 | ||||||
Occidental Petroleum Corp. | 1,076,535 | 66,077,718 | ||||||
Other Securities (1) | 14,387,045 | 423,219,029 | ||||||
|
| |||||||
Total Energy |
| 541,498,048 | ||||||
|
| |||||||
Financials – 17.80% |
| |||||||
American Express Co. | 996,296 | 94,966,935 | ||||||
Berkshire Hathaway, Inc.(1) | 735,039 | 150,080,263 | ||||||
Chubb Ltd. | 878,648 | 113,503,749 | ||||||
Citigroup, Inc. | 1,267,056 | 65,962,935 | ||||||
JPMorgan Chase & Co. | 673,546 | 65,751,560 | ||||||
Marsh & McLennan Companies, Inc. | 682,366 | 54,418,688 | ||||||
PNC Financial Services Group, Inc. | 451,458 | 52,779,955 | ||||||
Wells Fargo & Co. | 1,966,319 | 90,607,980 | ||||||
Other Securities (1) | 21,977,163 | 595,257,653 | ||||||
|
| |||||||
Total Financials |
| 1,283,329,718 | ||||||
|
| |||||||
Healthcare – 13.40% |
| |||||||
Anthem, Inc. | 206,175 | 54,147,740 | ||||||
Baxter International, Inc. | 838,122 | 55,165,190 | ||||||
Cigna Corp. | 293,232 | 55,690,563 | ||||||
Danaher Corp. | 613,964 | 63,311,968 | ||||||
Johnson & Johnson | 655,632 | 84,609,310 | ||||||
Medtronic Plc | 1,750,865 | 159,258,680 | ||||||
Merck & Co., Inc. | 1,037,740 | 79,293,713 | ||||||
Pfizer, Inc. | 1,384,246 | 60,422,338 | ||||||
Sanofi – ADR | 2,063,583 | 89,580,138 | ||||||
UnitedHealth Group, Inc. | 406,911 | 101,369,668 | ||||||
Other Securities (1) | 2,604,061 | 163,265,162 | ||||||
|
| |||||||
Total Healthcare |
| 966,114,470 | ||||||
|
| |||||||
Industrials – 12.26% |
| |||||||
General Dynamics Corp. | 344,455 | 54,151,771 | ||||||
Union Pacific Corp. | 430,589 | 59,520,317 |
Shares | Value | |||||||
United Technologies Corp. | 648,717 | $ | 69,075,423 | |||||
Other Securities(1) | 14,055,875 | 701,567,205 | ||||||
|
| |||||||
Total Industrials |
| 884,314,716 | ||||||
|
| |||||||
Information Technology – 10.54% |
| |||||||
Accenture Plc | 368,763 | 51,999,271 | ||||||
Apple, Inc. | 388,011 | 61,204,855 | ||||||
Broadcom, Inc. | 208,687 | 53,064,930 | ||||||
Cisco Systems, Inc. | 1,476,245 | 63,965,696 | ||||||
Microsoft Corp. | 1,028,321 | 104,446,564 | ||||||
NXP Semiconductors NV | 729,329 | 53,445,229 | ||||||
Oracle Corp. | 1,962,413 | 88,602,947 | ||||||
Visa, Inc. | 418,605 | 55,230,744 | ||||||
Other Securities (1) | 5,442,807 | 228,357,573 | ||||||
|
| |||||||
Total Information Technology |
| 760,317,809 | ||||||
|
| |||||||
Materials – 6.13% |
| |||||||
DowDuPont, Inc. | 1,686,475 | 90,192,683 | ||||||
Ecolab, Inc. | 408,831 | 60,241,248 | ||||||
Linde Plc | 572,324 | 89,305,437 | ||||||
Lyondellbasell Industries NV | 718,846 | 59,779,233 | ||||||
Other Securities (1) | 2,044,954 | 142,154,526 | ||||||
|
| |||||||
Total Materials |
| 441,673,127 | ||||||
|
| |||||||
Real Estate – 3.13% |
| |||||||
American Tower Corp. | 489,626 | 77,453,937 | ||||||
Public Storage | 298,553 | 60,430,113 | ||||||
Other Securities (1) | 2,562,433 | 87,688,826 | ||||||
|
| |||||||
Total Real Estate |
| 225,572,876 | ||||||
|
| |||||||
Utilities – 1.82% |
| |||||||
Various Securities (1) | 2,373,129 | 131,205,176 | ||||||
|
| |||||||
Total Utilities |
| 131,205,176 | ||||||
|
| |||||||
Total Common Stocks |
| 6,895,983,667 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS – 4.04% |
| |||||||
Money Market Funds – 4.04% |
| |||||||
Goldman Sachs Financial Square Government Fund – Class I, 2.34% (2) | 145,720,969 | 145,720,969 | ||||||
JPMorgan U.S. Government Money Market Fund – Class I, 2.31% (2) | 145,720,968 | 145,720,968 | ||||||
|
| |||||||
Total Short-Term Investments |
| 291,441,937 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES – 99.68% (Cost: $7,187,339,047) |
| 7,187,425,604 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.32% |
| 23,123,092 | ||||||
|
| |||||||
TOTAL NET ASSETS – 100.00% |
| $ | 7,210,548,696 | |||||
|
|
The accompanying notes are an integral part of these financial statements.
34 | Semiannual Report • December 31, 2018 |
Bridge Builder Large Cap Value Fund
Summary Schedule of Investments
December 31, 2018 (Unaudited) (Continued)
Percentages are stated as a percent of net assets.
ADR American Depositary Receipt
(1) | Non-income producing security or includes securities that arenon-income producing. |
(2) | Represents annualizedseven-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.
Semiannual Report • December 31, 2018 | 35 |
Bridge Builder Small/Mid Cap Growth Fund
Summary Schedule of Investments
December 31, 2018 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS – 97.59% | ||||||||
Communication Services – 2.50% |
| |||||||
John Wiley & Sons, Inc. | 460,555 | $ | 21,632,268 | |||||
Live Nation Entertainment, Inc. (1) | 652,979 | 32,159,216 | ||||||
Other Securities (1) | 1,111,981 | 27,810,191 | ||||||
|
| |||||||
Total Communication Services |
| 81,601,675 | ||||||
|
| |||||||
Consumer Discretionary – 12.74% |
| |||||||
Advance Auto Parts, Inc. | 224,459 | 35,343,314 | ||||||
Expedia Group, Inc. | 250,816 | 28,254,422 | ||||||
GrubHub, Inc. (1) | 331,639 | 25,473,192 | ||||||
Marriott International, Inc. | 210,902 | 22,895,521 | ||||||
MercadoLibre, Inc. | 98,176 | 28,750,842 | ||||||
Ross Stores, Inc. | 425,080 | 35,366,656 | ||||||
Tractor Supply Co. | 268,471 | 22,401,220 | ||||||
Ulta Beauty, Inc. (1) | 100,479 | 24,601,278 | ||||||
Other Securities (1) | 4,088,883 | 191,877,968 | ||||||
|
| |||||||
Total Consumer Discretionary |
| 414,964,413 | ||||||
|
| |||||||
Consumer Staples – 5.84% |
| |||||||
Flowers Foods, Inc. | 1,040,000 | 19,208,800 | ||||||
Hormel Foods Corp. | 435,000 | 18,565,800 | ||||||
The J. M. Smucker Co. | 198,000 | 18,511,020 | ||||||
Other Securities (1) | 2,398,676 | 133,796,769 | ||||||
|
| |||||||
Total Consumer Staples |
| 190,082,389 | ||||||
|
| |||||||
Energy – 1.04% | ||||||||
Various Securities (1) | 2,556,812 | 33,729,520 | ||||||
|
| |||||||
Total Energy |
| 33,729,520 | ||||||
|
| |||||||
Financials – 9.48% |
| |||||||
Arthur J. Gallagher & Co. | 363,000 | 26,753,100 | ||||||
Everest Re Group Ltd. | 141,481 | 30,808,903 | ||||||
Northern Trust Corp. | 278,506 | 23,280,317 | ||||||
The Progressive Corp. | 334,730 | 20,194,261 | ||||||
Other Securities(1) | 4,052,002 | 207,656,784 | ||||||
|
| |||||||
Total Financials |
| 308,693,365 | ||||||
|
| |||||||
Healthcare – 19.65% |
| |||||||
BioMarin Pharmaceutical, Inc. (1) | 235,389 | 20,043,373 | ||||||
Bio-Techne Corp. | 157,836 | 22,842,026 | ||||||
Catalent, Inc. (1) | 654,360 | 20,402,945 | ||||||
Edwards Lifesciences Corp. (1) | 124,838 | 19,121,436 | ||||||
IDEXX Laboratories, Inc. (1) | 130,415 | 24,259,798 | ||||||
Integra LifeSciences Holdings Corp. (1) | 684,500 | 30,870,950 | ||||||
Medidata Solutions, Inc. (1) | 355,012 | 23,934,909 | ||||||
Mettler-Toledo International, Inc. (1) | 46,160 | 26,107,173 | ||||||
NuVasive, Inc. (1) | 383,550 | 19,008,738 | ||||||
Veeva Systems, Inc. (1) | 197,426 | 17,634,090 | ||||||
Waters Corp. (1) | 143,266 | 27,027,131 | ||||||
Other Securities (1) | 8,790,346 | 388,808,939 | ||||||
|
| |||||||
Total Healthcare |
| 640,061,508 | ||||||
|
| |||||||
Industrials – 14.83% |
| |||||||
AMETEK, Inc. | 264,690 | 17,919,513 | ||||||
Fortive Corp. | 323,475 | 21,886,319 | ||||||
IDEX Corp. | 355,572 | 44,894,521 | ||||||
Nordson Corp. | 215,299 | 25,695,936 | ||||||
Ritchie Bros Auctioneers, Inc. | 568,000 | 18,584,960 | ||||||
Rockwell Automation, Inc. | 277,727 | 41,792,359 |
Shares | Value | |||||||
Verisk Analytics, Inc. (1) | 239,562 | $ | 26,121,840 | |||||
Other Securities (1) | 6,717,476 | 286,110,020 | ||||||
|
| |||||||
Total Industrials |
| 483,005,468 | ||||||
|
| |||||||
Information Technology – 23.90% |
| |||||||
Aspen Technology, Inc.(1) | 357,898 | 29,412,058 | ||||||
Atlassian Corp. Plc(1) | 448,654 | 39,921,233 | ||||||
Fortinet, Inc.(1) | 473,038 | 33,316,066 | ||||||
LogMeIn, Inc. | 258,630 | 21,096,449 | ||||||
Palo Alto Networks, Inc.(1) | 250,287 | 47,141,556 | ||||||
Red Hat, Inc.(1) | 167,825 | 29,476,783 | ||||||
ServiceNow, Inc.(1) | 168,806 | 30,055,908 | ||||||
Splunk, Inc.(1) | 552,953 | 57,977,122 | ||||||
Workday, Inc.(1) | 384,827 | 61,449,175 | ||||||
Other Securities(1) | 7,576,333 | 428,634,487 | ||||||
|
| |||||||
Total Information Technology |
| 778,480,837 | ||||||
|
| |||||||
Materials – 4.81% | ||||||||
AptarGroup, Inc. | 321,661 | 30,258,650 | ||||||
Berry Global Group, Inc.(1) | 558,732 | 26,556,532 | ||||||
International Flavors & Fragrances, Inc. | 139,935 | 18,789,072 | ||||||
Martin Marietta Materials, Inc. | 127,292 | 21,877,676 | ||||||
Other Securities(1) | 2,198,223 | 59,351,758 | ||||||
|
| |||||||
Total Materials |
| 156,833,688 | ||||||
|
| |||||||
Real Estate – 2.75% | ||||||||
Jones Lang LaSalle, Inc. | 153,994 | 19,495,640 | ||||||
SBA Communications Corp.(1) | 211,111 | 34,176,760 | ||||||
Other Securities (1) | 1,024,017 | 36,010,437 | ||||||
|
| |||||||
Total Real Estate |
| 89,682,837 | ||||||
|
| |||||||
Utilities – 0.05% | ||||||||
Various Securities(1) | 43,383 | 1,590,143 | ||||||
|
| |||||||
Total Utilities |
| 1,590,143 | ||||||
|
| |||||||
Total Common Stocks |
| 3,178,725,843 | ||||||
|
| |||||||
RIGHTS – 0.00%(2) | ||||||||
Healthcare – 0.00%(2) | ||||||||
Corium International, Inc., expires 3/31/2020 – CVR(1)(4) | 7,613 | 1,370 | ||||||
|
| |||||||
Materials – 0.00%(2) | ||||||||
A. Schulman, Inc. – CVR(1)(4) | 9,002 | 15,475 | ||||||
|
| |||||||
Total Rights |
| 16,845 | ||||||
|
|
The accompanying notes are an integral part of these financial statements.
36 | Semiannual Report • December 31, 2018 |
Bridge Builder Small/Mid Cap Growth Fund
Summary Schedule of Investments
December 31, 2018 (Unaudited) (Continued)
Shares | Value | |||||||
SHORT-TERM INVESTMENTS – 2.21% |
| |||||||
Money Market Funds – 2.21% |
| |||||||
Goldman Sachs Financial Square Government Fund – Class I, 2.34% (3) | 35,920,640 | $ | 35,920,640 | |||||
JPMorgan U.S. Government Money Market Fund – Class I, 2.31% (3) | 35,920,640 | 35,920,640 | ||||||
|
| |||||||
Total Short-Term Investments |
| 71,841,280 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES – 99.80% (Cost: $2,953,489,626) |
| 3,250,583,968 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.20% |
| 6,647,837 | ||||||
|
| |||||||
TOTAL NET ASSETS – 100.00% |
| $ | 3,257,231,805 | |||||
|
|
Percentages are stated as a percent of net assets.
CVR | Contingent Value Right |
(1) | Non-income producing security or includes securities that arenon-income producing. |
(2) | Amount calculated is less than 0.005%. |
(3) | Represents annualizedseven-day yield as of the close of the reporting period. |
(4) | Security is categorized as Level 3 per the Trust’s fair value hierarchy. These securities represent $16,845 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.
Semiannual Report • December 31, 2018 | 37 |
Bridge Builder Small/Mid Cap Value Fund
Summary Schedule of Investments
December 31, 2018 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS – 95.82% |
| |||||||
Communication Services – 2.09% |
| |||||||
Nexstar Media Group, Inc. | 278,850 | $ | 21,928,764 | |||||
Other Securities(1) | 1,810,346 | 60,102,246 | ||||||
|
| |||||||
Total Communication Services |
| 82,031,010 | ||||||
|
| |||||||
Consumer Discretionary – 9.56% |
| |||||||
Core Mark Holding Company, Inc. | 745,653 | 17,336,432 | ||||||
Other Securities(1) | 10,978,085 | 356,962,438 | ||||||
|
| |||||||
Total Consumer Discretionary |
| 374,298,870 | ||||||
|
| |||||||
Consumer Staples – 2.24% | ||||||||
Various Securities(1) | 2,414,994 | 87,612,311 | ||||||
|
| |||||||
Total Consumer Staples |
| 87,612,311 | ||||||
|
| |||||||
Energy – 4.39% | ||||||||
Marathon Petroleum Corp. | 274,682 | 16,208,985 | ||||||
WPX Energy, Inc.(1) | 2,301,071 | 26,117,156 | ||||||
Other Securities(1) | 8,965,768 | 129,398,578 | ||||||
|
| |||||||
Total Energy |
| 171,724,719 | ||||||
|
| |||||||
Financials – 24.49% | ||||||||
Alleghany Corp. | 42,481 | 26,479,257 | ||||||
Allstate Corp. | 193,996 | 16,029,889 | ||||||
Aon Plc | 113,753 | 16,535,136 | ||||||
Ares Capital Corp. | 1,308,475 | 20,386,041 | ||||||
Arthur J. Gallagher & Co. | 227,391 | 16,758,717 | ||||||
BancorpSouth Bank | 614,058 | 16,051,476 | ||||||
Bank of NT Butterfield & Son Ltd. | 616,275 | 19,320,221 | ||||||
Cannae Holdings, Inc.(1) | 1,388,270 | 23,767,182 | ||||||
Chemical Financial Corp. | 479,116 | 17,540,437 | ||||||
Discover Financial Services | 465,309 | 27,443,925 | ||||||
Everest Re Group Ltd. | 76,369 | 16,630,113 | ||||||
Fifth Third Bancorp | 684,082 | 16,096,449 | ||||||
New Residential Investment Corp. | 1,312,051 | 18,644,245 | ||||||
Reinsurance Group of America, Inc. | 286,765 | 40,213,056 | ||||||
SunTrust Banks, Inc. | 374,394 | 18,884,433 | ||||||
TD Ameritrade Holding Corp. | 349,118 | 17,092,817 | ||||||
Other Securities(1)(4) | 24,236,504 | 630,908,010 | ||||||
|
| |||||||
Total Financials |
| 958,781,404 | ||||||
|
| |||||||
Healthcare – 4.70% | ||||||||
Centene Corp.(1) | 156,708 | 18,068,432 | ||||||
IQVIA Holdings, Inc.(1) | 204,560 | 23,763,735 | ||||||
Other Securities(1) | 3,597,409 | 142,060,701 | ||||||
|
| |||||||
Total Healthcare |
| 183,892,868 | ||||||
|
| |||||||
Industrials – 15.01% | ||||||||
Allison Transmission Holdings, Inc. | 435,390 | 19,117,975 | ||||||
AMETEK, Inc. | 295,989 | 20,038,455 | ||||||
Cummins, Inc. | 126,370 | 16,888,087 | ||||||
KAR Auction Services, Inc. | 447,035 | 21,332,510 | ||||||
The Brink’s Co. | 473,768 | 30,629,101 | ||||||
The Timken Co. | 489,905 | 18,283,255 | ||||||
TriMas Corp.(1) | 991,739 | 27,064,557 | ||||||
Other Securities(1) | 11,081,663 | 434,159,696 | ||||||
|
| |||||||
Total Industrials |
| 587,513,636 | ||||||
|
|
Shares | Value | |||||||
Information Technology – 12.41% |
| |||||||
Avnet, Inc. | 639,087 | $ | 23,071,041 | |||||
CACI International, Inc.(1) | 118,388 | 17,051,424 | ||||||
Fidelity National Information Services, Inc. | 390,880 | 40,084,744 | ||||||
Global Payments, Inc. | 194,831 | 20,092,921 | ||||||
HP, Inc. | 923,807 | 18,901,091 | ||||||
Keysight Technologies, Inc.(1) | 286,206 | 17,767,668 | ||||||
TE Connectivity Ltd. | 210,630 | 15,929,947 | ||||||
Other Securities(1) | 9,587,148 | 332,895,013 | ||||||
|
| |||||||
Total Information Technology |
| 485,793,849 | ||||||
|
| |||||||
Materials – 5.29% | ||||||||
Crown Holdings, Inc.(1) | 512,966 | 21,323,997 | ||||||
FMC Corp. | 287,585 | 21,269,787 | ||||||
Valvoline, Inc. | 969,040 | 18,750,924 | ||||||
Other Securities(1) | 6,336,916 | 145,590,199 | ||||||
|
| |||||||
Total Materials |
| 206,934,907 | ||||||
|
| |||||||
Real Estate – 8.11% | ||||||||
Boston Properties, Inc. | 167,230 | 18,821,736 | ||||||
CyrusOne, Inc. | 333,619 | 17,641,773 | ||||||
Other Securities (1) | 11,940,671 | 281,253,261 | ||||||
|
| |||||||
Total Real Estate |
| 317,716,770 | ||||||
|
| |||||||
Utilities – 7.53% | ||||||||
Ameren Corp. | 272,476 | 17,773,609 | ||||||
Atlantica Yield Plc | 928,150 | 18,191,740 | ||||||
CMS Energy Corp. | 350,555 | 17,405,056 | ||||||
Entergy Corp. | 297,510 | 25,606,686 | ||||||
Eversource Energy | 286,582 | 18,639,293 | ||||||
Pinnacle West Capital Corp. | 250,029 | 21,302,471 | ||||||
Vistra Energy Corp.(1) | 907,336 | 20,768,921 | ||||||
WEC Energy Group, Inc. | 259,312 | 17,959,949 | ||||||
Xcel Energy, Inc. | 416,479 | 20,519,920 | ||||||
Other Securities(1) | 2,216,860 | 116,482,269 | ||||||
|
| |||||||
Total Utilities |
| 294,649,914 | ||||||
|
| |||||||
Total Common Stocks |
| 3,750,950,258 | ||||||
|
| |||||||
RIGHTS – 0.00%(2) |
| |||||||
Healthcare – 0.00%(2) |
| |||||||
Corium International, Inc., expires 3/31/2020 – CVR(1)(4) | 1,051 | 189 | ||||||
|
| |||||||
Total Rights |
| 189 | ||||||
|
|
The accompanying notes are an integral part of these financial statements.
38 | Semiannual Report • December 31, 2018 |
Bridge Builder Small/Mid Cap Value Fund
Summary Schedule of Investments
December 31, 2018 (Unaudited) (Continued)
Shares | Value | |||||||
SHORT-TERM INVESTMENTS – 4.05% |
| |||||||
Money Market Funds – 4.05% |
| |||||||
Goldman Sachs Financial Square Government Fund – Class I, 2.34%(3) | 79,359,210 | $ | 79,359,210 | |||||
JPMorgan U.S. Government Money Market Fund – Class I, 2.31% (3) | 79,359,211 | 79,359,211 | ||||||
|
| |||||||
Total Short-Term Investments |
| 158,718,421 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES – 99.87% (Cost: $4,105,856,397) |
| 3,909,668,868 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.13% |
| 5,164,366 | ||||||
|
| |||||||
TOTAL NET ASSETS – 100.00% |
| $ | 3,914,833,234 | |||||
|
|
Percentages are stated as a percent of net assets.
CVR Contingent Value Right
(1) | Non-income producing security or includes securities that are non-incoming producing. |
(2) | Amount calculated is less than 0.005%. |
(3) | Represents annualizedseven-day yield as of the close of the reporting period. |
(4) | Includes securities categorized as Level 3 per the Trust’s fair value hierarchy. The value of these securities totals $189, which represents 0.00% of total 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.
Semiannual Report • December 31, 2018 | 39 |
Bridge Builder International Equity Fund
Summary Schedule of Investments
December 31, 2018 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS – 95.69% |
| |||||||
Communication Services – 9.60% |
| |||||||
China Mobile Ltd. | 11,777,500 | $ | 113,966,121 | |||||
Naspers Ltd. | 225,400 | 45,128,787 | ||||||
Singapore Telecommunications Ltd. | 30,950,500 | 66,612,734 | ||||||
Telefonica SA | 9,528,129 | 80,202,154 | ||||||
TeliaSonera AB | 9,861,641 | 46,910,750 | ||||||
Tencent Holdings Ltd. | 1,735,116 | 69,544,058 | ||||||
Vodafone Group Plc | 36,750,000 | 71,452,650 | ||||||
Other Securities(1)(2) | 35,360,443 | 272,711,488 | ||||||
|
| |||||||
Total Communication Services |
| 766,528,742 | ||||||
|
| |||||||
Consumer Discretionary – 10.97% |
| |||||||
Adidas AG | 337,925 | 70,622,697 | ||||||
Alibaba Group Holding Ltd. – ADR (1) | 340,548 | 46,678,914 | ||||||
Compass Group Plc | 2,075,492 | 43,678,385 | ||||||
Honda Motor Co. Ltd. | 2,201,300 | 57,993,398 | ||||||
Industria de Diseno Textil SA | 1,906,428 | 48,661,031 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 155,898 | 45,643,226 | ||||||
Panasonic Corp. | 5,403,265 | 48,539,820 | ||||||
Other Securities(1)(2) | 32,790,422 | 514,268,233 | ||||||
|
| |||||||
Total Consumer Discretionary |
| 876,085,704 | ||||||
|
| |||||||
Consumer Staples – 10.36% |
| |||||||
Koninklijke Ahold Delhaize NV | 2,926,856 | 73,938,890 | ||||||
Nestle SA | 988,606 | 80,238,018 | ||||||
Tesco Plc | 46,334,442 | 112,368,522 | ||||||
Other Securities(1)(2) | 90,037,074 | 560,325,954 | ||||||
|
| |||||||
Total Consumer Staples |
| 826,871,384 | ||||||
|
| |||||||
Energy – 5.87% |
| |||||||
BP Plc | 15,180,935 | 95,969,124 | ||||||
Eni SpA | 5,568,697 | 87,969,940 | ||||||
Royal Dutch Shell Plc | 268,654 | 7,907,250 | ||||||
Royal Dutch Shell Plc – Class A | 1,834,083 | 54,059,411 | ||||||
Royal Dutch Shell Plc – Class B | 1,401,163 | 41,891,263 | ||||||
TOTAL SA | 1,189,499 | 62,740,327 | ||||||
Other Securities(1) | 12,953,627 | 118,149,921 | ||||||
|
| |||||||
Total Energy |
| 468,687,236 | ||||||
|
| |||||||
Financials – 17.62% |
| |||||||
AIA Group Ltd. | 9,707,585 | 80,639,104 | ||||||
DBS Group Holdings Ltd. | 3,099,100 | 53,892,891 | ||||||
Hargreaves Lansdown Plc | 1,854,701 | 43,743,096 | ||||||
HDFC Bank Ltd. – ADR | 442,286 | 45,816,407 | ||||||
HSBC Holdings Plc | 6,217,647 | 51,293,947 | ||||||
ING Groep NV | 5,494,235 | 59,099,339 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 1,834,900 | 60,487,601 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 1,401,100 | 51,023,810 | ||||||
Tokio Marine Holdings, Inc. | 937,400 | 44,534,677 | ||||||
United Overseas Bank Ltd. | 3,902,925 | 70,603,866 | ||||||
Other Securities(1)(2) | 209,679,445 | 845,734,312 | ||||||
|
| |||||||
Total Financials |
| 1,406,869,050 | ||||||
|
| |||||||
Healthcare – 11.65% |
| |||||||
AstraZeneca Plc | 872,865 | 65,155,859 | ||||||
CSL Ltd. | 424,463 | 55,442,431 |
Shares | Value | |||||||
Mettler-Toledo International, Inc. (1) | 117,371 | $ | 66,382,690 | |||||
Novartis AG | 1,331,438 | 114,030,032 | ||||||
Novartis AG – ADR | 397,810 | 34,136,076 | ||||||
Roche Holding AG | 394,031 | 97,821,688 | ||||||
Sanofi SA | 1,276,887 | 110,769,952 | ||||||
Other Securities(1)(2) | 27,329,386 | 386,588,550 | ||||||
|
| |||||||
Total Healthcare |
| 930,327,278 | ||||||
|
| |||||||
Industrials – 12.08% |
| |||||||
Atlas Copco AB – Class A | 1,964,959 | 46,880,066 | ||||||
Canadian Pacific Railway Ltd. | 263,831 | 46,861,662 | ||||||
CK Hutchison Holdings Ltd. | 8,201,000 | 78,714,927 | ||||||
East Japan Railway Co. | 594,600 | 52,509,212 | ||||||
Experian Plc | 2,032,804 | 49,279,086 | ||||||
Other Securities(1)(2) | 36,544,073 | 690,361,244 | ||||||
|
| |||||||
Total Industrials |
| 964,606,197 | ||||||
|
| |||||||
Information Technology – 11.12% |
| |||||||
Accenture Plc | 330,399 | 46,589,563 | ||||||
Keyence Corp. | 159,854 | 80,797,545 | ||||||
Lenovo Group Ltd. | 111,660,000 | 75,430,540 | ||||||
Nokia OYJ | 9,544,989 | 55,409,876 | ||||||
Shopify, Inc.(1) | 453,535 | 62,791,921 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 4,327,000 | 31,419,357 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. – ADR | 2,391,380 | 88,265,836 | ||||||
Other Securities(1)(2) | 18,695,609 | 446,821,491 | ||||||
|
| |||||||
Total Information Technology |
| 887,526,129 | ||||||
|
| |||||||
Materials – 2.84% |
| |||||||
Various Securities(1)(2) | 12,123,893 | 226,947,745 | ||||||
|
| |||||||
Total Materials |
| 226,947,745 | ||||||
|
| |||||||
Real Estate – 0.84% |
| |||||||
Various Securities(1) | 6,275,070 | 67,024,214 | ||||||
|
| |||||||
Total Real Estate |
| 67,024,214 | ||||||
|
| |||||||
Utilities – 2.74% |
| |||||||
Enel SpA | 11,676,151 | 67,689,582 | ||||||
Iberdrola SA | 5,580,085 | 44,807,488 | ||||||
Other Securities(1)(2) | 16,315,170 | 105,740,881 | ||||||
|
| |||||||
Total Utilities |
| 218,237,951 | ||||||
|
| |||||||
Total Common Stocks |
| 7,639,711,630 | ||||||
|
| |||||||
PREFERRED STOCKS – 0.23% |
| |||||||
Consumer Discretionary – 0.22% |
| |||||||
Various Securities | 115,504 | $ | 17,803,757 | |||||
|
| |||||||
Consumer Staples – 0.01% |
| |||||||
Henkel AG & Co. KGaA | 5,506 | 601,416 | ||||||
|
| |||||||
Healthcare – 0.00%(3) |
| |||||||
Sartorius AG | 1,037 | 129,062 | ||||||
|
| |||||||
Materials – 0.00%(3) |
| |||||||
Fuchs Petrolub SE | 2,097 | 86,694 | ||||||
|
| |||||||
Total Preferred Stocks |
| 18,620,929 | ||||||
|
|
The accompanying notes are an integral part of these financial statements.
40 | Semiannual Report • December 31, 2018 |
Bridge Builder International Equity Fund
Summary Schedule of Investments
December 31, 2018 (Unaudited) (Continued)
Shares | Value | |||||||
SHORT-TERM INVESTMENTS – 3.56% |
| |||||||
Money Market Funds – 3.56% |
| |||||||
Goldman Sachs Financial Square Government Fund – Class I, 2.34%(4) | 141,942,825 | $ | 141,942,825 | |||||
JPMorgan U.S. Government Money Market Fund – Class I, 2.31% (4) | 141,942,825 | 141,942,825 | ||||||
|
| |||||||
Total Short-Term Investments |
| 283,885,650 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES – 99.48% (Cost: $8,443,888,583) |
| 7,942,218,209 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.52% |
| 41,905,708 | ||||||
|
| |||||||
TOTAL NET ASSETS – 100.00% |
| $ | 7,984,123,917 | |||||
|
|
Percentages are stated as a percent of net assets.
ADR American Depositary Receipt
(1) | Non-income producing security or includes securities that arenon-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 $73,365,516, which represents 0.92% of total net assets. |
(3) | Amount calculated is less than 0.005%. |
(4) | Represents annualizedseven-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”).
COUNTRY | Percentage of Net Assets | |||
Australia | 2.20 | % | ||
Austria | 0.01 | |||
Belgium | 0.76 | |||
Bermuda | 0.10 | |||
Brazil | 0.44 | |||
Canada | 2.57 | |||
Cayman Islands | 0.10 | |||
Chile | 0.05 | |||
China | 3.81 | |||
Denmark | 1.53 | |||
Finland | 1.02 | |||
France | 6.57 | |||
Germany | 5.29 | |||
Hong Kong | 5.39 | |||
India | 1.76 | |||
Indonesia | 0.51 | |||
Ireland | 2.05 | |||
Israel | 0.03 | |||
Italy | 2.38 | |||
Japan | 14.97 | |||
Luxembourg | 0.02 | |||
Macau | 0.01 | |||
Malaysia | 0.25 | |||
Mexico | 0.81 |
COUNTRY (Continued) | Percentage of Net Assets | |||
Netherlands | 4.91 | % | ||
New Zealand | 0.01 | |||
Norway | 0.50 | |||
Philippines | 0.01 | |||
Portugal | 0.23 | |||
Republic of Korea | 1.05 | |||
Singapore | 2.61 | |||
South Africa | 0.89 | |||
Spain | 3.85 | |||
Sweden | 2.99 | |||
Switzerland | 7.98 | |||
Taiwan | 1.73 | |||
Thailand | 0.10 | |||
United Kingdom | 14.26 | |||
United States | 2.17 | |||
Other (individually each country is less than 0.005%) | 0.00 | |||
|
| |||
Total Country | 95.92 | |||
|
| |||
SHORT-TERM INVESTMENTS | 3.56 | |||
|
| |||
TOTAL INVESTMENTS IN SECURITIES | 99.48 | |||
OTHER ASSETS IN EXCESS OF LIABILITIES | 0.52 | |||
|
| |||
TOTAL NET ASSETS | 100.00 | % | ||
|
|
The accompanying notes are an integral part of these financial statements.
Semiannual Report • December 31, 2018 | 41 |
Bridge Builder Mutual Funds
Statements of Assets and Liabilities
December 31, 2018 (Unaudited)
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) | $ | 16,260,157,728 | $ | 16,074,425,774 | $ | 4,317,439,577 | $ | 5,808,703,840 | ||||||||
Foreign currency, at value (2) | — | 3,937,757 | — | — | ||||||||||||
Cash | 1,116,285 | — | — | — | ||||||||||||
Receivable for investments sold | 246,660,557 | 39,508,571 | — | — | ||||||||||||
Receivable for fund shares sold | 17,654,708 | 26,814,553 | 12,185,885 | 14,509,559 | ||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts | — | 12,196,974 | — | — | ||||||||||||
Dividend and interest receivable | 91,018,564 | 100,120,198 | 47,570,988 | 4,399,794 | ||||||||||||
Tax reclaim receivable | — | 67,086 | — | 661,117 | ||||||||||||
Deposits at broker for futures contracts | — | 4,945,473 | 682,000 | — | ||||||||||||
Variation margin on futures contracts | 330,301 | 2,572,355 | — | — | ||||||||||||
Deposits at broker for centrally cleared swap contracts | 127,788 | 3,987,722 | — | — | ||||||||||||
Variation margin on centrally cleared swap contracts | 93,106 | — | — | — | ||||||||||||
Prepaid expenses and other assets | 249,551 | 193,870 | 69,572 | 127,269 | ||||||||||||
Total Assets | 16,617,408,588 | 16,268,770,333 | 4,377,948,022 | 5,828,401,579 | ||||||||||||
Liabilities | ||||||||||||||||
TBA sale commitments, at value(3) | 9,167,632 | — | — | — | ||||||||||||
Over-the-counter credit default swap contracts, at value | — | 5,226,429 | — | — | ||||||||||||
Over-the-counter total return swap contracts, at value | — | 5,680,039 | — | — | ||||||||||||
Variation margin on centrally cleared swap contracts | — | 534,989 | — | — | ||||||||||||
Variation margin on futures contracts | — | — | 203,125 | — | ||||||||||||
Due to broker for swap contracts | — | 720,000 | — | — | ||||||||||||
Due to broker for forward foreign currency exchange contracts | — | 8,907,000 | — | — | ||||||||||||
Due to broker for futures contracts | — | 320,000 | — | — | ||||||||||||
Due to broker for TBA commitments | — | 112,818 | — | — | ||||||||||||
Payable for investments purchased | 468,557,694 | 1,150,871,910 | 21,197,481 | 60,629 | ||||||||||||
Payable for fund shares redeemed | 33,232,774 | 29,095,400 | 9,640,906 | 5,155,975 | ||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | — | 19,512,517 | — | — | ||||||||||||
Foreign withholding tax payable | — | 53,284 | — | 32 | ||||||||||||
Payable toSub-advisers | 1,543,035 | 1,711,641 | 533,808 | 1,040,279 | ||||||||||||
Payable to Trustees | 77,929 | 45,533 | 17,805 | 29,931 | ||||||||||||
Accrued expenses and other liabilities | 747,520 | 759,954 | 218,912 | 235,201 | ||||||||||||
Total Liabilities | 513,326,584 | 1,223,551,514 | 31,812,037 | 6,522,047 | ||||||||||||
Net Assets | $ | 16,104,082,004 | $ | 15,045,218,819 | $ | 4,346,135,985 | $ | 5,821,879,532 | ||||||||
Net Assets Consist of | ||||||||||||||||
Paid in capital ($0.00 par value common stock unlimited authorized shares) | $ | 16,380,969,655 | $ | 15,331,403,308 | $ | 4,338,695,182 | $ | 5,201,246,423 | ||||||||
Total distributable earnings/(loss) | (276,887,651 | ) | (286,184,489 | ) | 7,440,803 | 620,633,109 | ||||||||||
Net Assets | $ | 16,104,082,004 | $ | 15,045,218,819 | $ | 4,346,135,985 | $ | 5,821,879,532 | ||||||||
Net Assets | $ | 16,104,082,004 | $ | 15,045,218,819 | $ | 4,346,135,985 | $ | 5,821,879,532 | ||||||||
Shares Outstanding | 1,630,528,918 | 1,538,869,316 | 429,900,442 | 480,425,563 | ||||||||||||
Net Asset Value | $ | 9.88 | $ | 9.78 | $ | 10.11 | $ | 12.12 | ||||||||
(1) Cost of investments | $ | 16,387,848,779 | $ | 16,206,644,022 | $ | 4,292,398,301 | $ | 5,128,594,512 | ||||||||
(2) Cost of foreign currency | — | 3,927,362 | — | — | ||||||||||||
(3)Proceeds from TBA sale commitments | 9,078,594 | — | — | — |
The accompanying notes are an integral part of these financial statements.
42 | Semiannual Report • December 31, 2018 |
Bridge Builder Mutual Funds
Statements of Assets and Liabilities
December 31, 2018 (Unaudited) (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) | $ | 7,187,425,604 | $ | 3,250,583,968 | $ | 3,909,668,868 | $ | 7,942,218,209 | ||||||||
Foreign currency, at value (2) | — | — | — | 860,314 | ||||||||||||
Cash | 444,617 | 19,352 | 7,209 | 3,236,985 | ||||||||||||
Receivable for investments sold | 6,330,812 | 409,849 | 7,227,602 | 1,371,728 | ||||||||||||
Receivable for fund shares sold | 24,221,283 | 8,839,403 | 12,788,795 | 27,948,176 | ||||||||||||
Dividend and interest receivable | 11,709,718 | 1,517,479 | 7,090,223 | 11,135,254 | ||||||||||||
Tax reclaim receivable | 954,334 | — | 15,862 | 11,782,530 | ||||||||||||
Prepaid expenses and other assets | 169,219 | 76,642 | 82,578 | 187,816 | ||||||||||||
Total Assets | 7,231,255,587 | 3,261,446,693 | 3,936,881,137 | 7,998,741,012 | ||||||||||||
Liabilities | ||||||||||||||||
Payable for investments purchased | 12,113,245 | 94,123 | 17,069,848 | 3,935,962 | ||||||||||||
Payable for fund shares redeemed | 6,618,037 | 2,862,796 | 3,316,258 | 7,188,690 | ||||||||||||
Foreign withholding tax payable | 182,781 | — | 13,606 | 697,896 | ||||||||||||
Payable toSub-advisers | 1,452,420 | 1,063,119 | 1,378,749 | 2,172,095 | ||||||||||||
Payable to Trustees | 34,400 | 17,960 | 21,288 | 38,417 | ||||||||||||
Accrued expenses and other liabilities | 306,008 | 176,890 | 248,154 | 584,035 | ||||||||||||
Total Liabilities | 20,706,891 | 4,214,888 | 22,047,903 | 14,617,095 | ||||||||||||
Net Assets | $ | 7,210,548,696 | $ | 3,257,231,805 | $ | 3,914,833,234 | $ | 7,984,123,917 | ||||||||
Net Assets Consist of | ||||||||||||||||
Paid in capital ($0.00 par value common stock unlimited authorized shares) | $ | 7,249,207,487 | $ | 2,976,936,559 | $ | 4,194,860,361 | $ | 8,562,756,319 | ||||||||
Total distributable earnings/(loss) | (38,658,791 | ) | 280,295,246 | (280,027,127 | ) | (578,632,402 | ) | |||||||||
Net Assets | $ | 7,210,548,696 | $ | 3,257,231,805 | $ | 3,914,833,234 | $ | 7,984,123,917 | ||||||||
Net Assets | $ | 7,210,548,696 | $ | 3,257,231,805 | $ | 3,914,833,234 | $ | 7,984,123,917 | ||||||||
Shares Outstanding | 663,384,896 | 281,389,585 | 400,129,520 | 801,864,261 | ||||||||||||
Net Asset Value | $ | 10.87 | $ | 11.58 | $ | 9.78 | $ | 9.96 | ||||||||
(1) Cost of investments | $ | 7,187,339,047 | $ | 2,953,489,626 | $ | 4,105,856,397 | $ | 8,443,888,583 | ||||||||
(2) Cost of foreign currency | — | — | — | 856,944 |
The accompanying notes are an integral part of these financial statements.
Semiannual Report • December 31, 2018 | 43 |
Bridge Builder Mutual Funds
Six Months Ended December 31, 2018 (Unaudited)
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 | $ | 63,517 | $ | 263,240 | $ | — | $ | 40,260,709 | ||||||||
Less: Foreign taxes withheld and issuance fees | — | — | — | (637,384 | ) | |||||||||||
Interest | 261,276,109 | 260,056,550 | 52,040,773 | 1,951,108 | ||||||||||||
Total investment income | 261,339,626 | 260,319,790 | 52,040,773 | 41,574,433 | ||||||||||||
Expenses | ||||||||||||||||
Investment advisory fee | 25,809,501 | 25,784,428 | 6,974,668 | 13,957,719 | ||||||||||||
Professional fees | 123,004 | 140,944 | 56,212 | 52,624 | ||||||||||||
Administration fee | 609,500 | 480,332 | 174,524 | 265,972 | ||||||||||||
Fund accounting fees | 603,980 | 340,860 | 120,796 | 10,672 | ||||||||||||
Transfer agent fees and expenses | 15,364 | 12,788 | 9,292 | 10,764 | ||||||||||||
Trustee fees and expenses | 142,048 | 113,068 | 32,108 | 56,856 | ||||||||||||
Printing and mailing expense | 50,692 | 48,116 | 11,224 | 39,468 | ||||||||||||
Custody fees | 185,104 | 211,048 | 23,092 | 54,372 | ||||||||||||
Insurance expense | 34,868 | 23,920 | 7,268 | 12,880 | ||||||||||||
Interest expense | — | 5,252,486 | — | — | ||||||||||||
Registration fees | 273,332 | 554,760 | 119,692 | 165,140 | ||||||||||||
Other expenses | 48,300 | 27,968 | 10,212 | 17,112 | ||||||||||||
Total expenses before fee waivers | 27,895,693 | 32,990,718 | 7,539,088 | 14,643,579 | ||||||||||||
Fee waivers by Adviser | (16,680,097 | ) | (16,118,907 | ) | (4,142,839 | ) | (7,463,981 | ) | ||||||||
Net expenses | 11,215,596 | 16,871,811 | 3,396,249 | 7,179,598 | ||||||||||||
Net Investment Income | 250,124,030 | 243,447,979 | 48,644,524 | 34,394,835 | ||||||||||||
Realized Gain/(Loss) and Change in Unrealized Appreciation/(Depreciation) |
| |||||||||||||||
Net realized gain/(loss) on: | ||||||||||||||||
Investments | (45,842,727 | ) | (34,909,542 | ) | (8,815,337 | ) | 1,603,756 | |||||||||
TBA sales commitments | (115,078 | ) | — | — | — | |||||||||||
Forward foreign currency exchange contracts | — | 16,942,360 | — | — | ||||||||||||
Foreign currency transactions | — | 860,406 | — | 236 | ||||||||||||
Futures contracts | (2,701,101 | ) | (14,088,682 | ) | 94,020 | — | ||||||||||
Swap contracts | (3 | ) | (311,835 | ) | — | — | ||||||||||
Net realized gain/(loss) | (48,658,909 | ) | (31,507,293 | ) | (8,721,317 | ) | 1,603,992 | |||||||||
Net change in unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | 59,045,373 | (17,593,359 | ) | 25,806,473 | (398,760,456 | ) | ||||||||||
TBA sales commitments | (89,038 | ) | — | — | — | |||||||||||
Forward foreign currency exchange contracts | — | (15,179,688 | ) | — | — | |||||||||||
Foreign currency transactions | — | (361,639 | ) | — | (405,261 | ) | ||||||||||
Futures contracts | 4,713,825 | 40,504,000 | (1,453,873 | ) | — | |||||||||||
Swap contracts | (972,169 | ) | 420,746 | — | — | |||||||||||
Net change in unrealized appreciation/(depreciation) | 62,697,991 | 7,790,060 | 24,352,600 | (399,165,717 | ) | |||||||||||
Net realized gain/(loss) and net change in unrealized appreciation/(depreciation) | 14,039,082 | (23,717,233 | ) | 15,631,283 | (397,561,725 | ) | ||||||||||
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | 264,163,112 | $ | 219,730,746 | $ | 64,275,807 | $ | (363,166,890 | ) |
The accompanying notes are an integral part of these financial statements.
44 | Semiannual Report • December 31, 2018 |
Bridge Builder Mutual Funds
Statements of Operations
Six Months Ended December 31, 2018 (Unaudited) (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 | $ | 81,392,979 | $ | 13,704,791 | $ | 41,849,481 | $ | 84,820,980 | ||||||||
Less: Foreign taxes withheld and issuance fees | (574,202 | ) | (65,549 | ) | (39,141 | ) | (6,018,560 | ) | ||||||||
Interest | 3,101,501 | 929,131 | 1,175,129 | 2,969,850 | ||||||||||||
Other Income | — | — | — | 22,029 | ||||||||||||
Total investment income | 83,920,278 | 14,568,373 | 42,985,469 | 81,794,299 | ||||||||||||
Expenses | ||||||||||||||||
Investment advisory fee | 17,162,690 | 11,688,099 | 14,112,625 | 24,785,118 | ||||||||||||
Professional fees | 55,752 | 43,608 | 48,668 | 75,256 | ||||||||||||
Administration fee | 306,452 | 197,800 | 228,804 | 373,244 | ||||||||||||
Fund accounting fees | 13,616 | 29,716 | 36,800 | 95,772 | ||||||||||||
Transfer agent fees and expenses | 11,224 | 9,476 | 9,844 | 11,500 | ||||||||||||
Trustee fees and expenses | 68,172 | 33,948 | 40,756 | 72,128 | ||||||||||||
Printing and mailing expense | 29,348 | 28,612 | 31,004 | 35,144 | ||||||||||||
Custody fees | 88,504 | 73,324 | 103,592 | 733,884 | ||||||||||||
Insurance expense | 15,456 | 7,544 | 9,292 | 16,284 | ||||||||||||
Registration fees | 228,068 | 70,124 | 106,352 | 284,832 | ||||||||||||
Other expenses | 19,964 | 10,212 | 12,603 | 21,436 | ||||||||||||
Total expenses before fee waivers | 17,999,246 | 12,192,463 | 14,740,340 | 26,504,598 | ||||||||||||
Fee waivers by Adviser | (8,117,671 | ) | (4,959,747 | ) | (5,097,445 | ) | (11,449,237 | ) | ||||||||
Net expenses | 9,881,575 | 7,232,716 | 9,642,895 | 15,055,361 | ||||||||||||
Net Investment Income | 74,038,703 | 7,335,657 | 33,342,574 | 66,738,938 | ||||||||||||
Realized Gain/(Loss) and Change in Unrealized Appreciation/(Depreciation) |
| |||||||||||||||
Net realized gain/(loss) on: | ||||||||||||||||
Investments | 73,192,168 | 34,599,047 | (21,787,337 | ) | (35,149,144 | ) | ||||||||||
Foreign currency transactions | (14,572 | ) | — | 118 | (1,212,839 | ) | ||||||||||
Net realized gain/(loss) | 73,177,596 | 34,599,047 | (21,787,219 | ) | (36,361,983 | ) | ||||||||||
Net change in unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | (800,945,818 | ) | (372,862,487 | ) | (664,925,983 | ) | (1,014,888,824 | ) | ||||||||
Foreign currency transactions | 809,048 | — | (27 | ) | 171,964 | |||||||||||
Net change in unrealized appreciation/(depreciation) | (800,136,770 | ) | (372,862,487 | ) | (664,926,010 | ) | (1,014,716,860 | ) | ||||||||
Net realized gain/(loss) and net change in unrealized appreciation/(depreciation) | (726,959,174 | ) | (338,263,440 | ) | (686,713,229 | ) | (1,051,078,843 | ) | ||||||||
Net Increase/(Decrease) in Net Assets Resulting from Operations | $ | (652,920,471 | ) | $ | (330,927,783 | ) | $ | (653,370,655 | ) | $ | (984,339,905 | ) |
The accompanying notes are an integral part of these financial statements.
Semiannual Report • December 31, 2018 | 45 |
Bridge Builder Mutual Funds
Statements of Changes in Net Assets
Bridge Builder Core Bond Fund | Bridge Builder Core Plus Bond Fund | |||||||||||||||
Six Months Ended December 31, 2018 (Unaudited) | Year Ended June 30, 2018 | Six Months Ended December 31, 2018 (Unaudited) | Year Ended June 30, 2018 | |||||||||||||
Operations | ||||||||||||||||
Net investment income | $ | 250,124,030 | $ | 395,655,525 | $ | 243,447,979 | $ | 228,562,580 | ||||||||
Net realized gain/(loss) | (48,658,909 | ) | (54,644,155 | ) | (31,507,293 | ) | (80,577,316 | ) | ||||||||
Net change in unrealized appreciation/(depreciation) | 62,697,991 | (371,011,267 | ) | 7,790,060 | (141,175,294 | ) | ||||||||||
Net increase/(decrease) in net assets resulting from operations | 264,163,112 | (29,999,897 | ) | 219,730,746 | 6,809,970 | |||||||||||
Distributions to Shareholders | ||||||||||||||||
Total distributable earnings | (256,786,022 | ) | (415,158,732 | ) | (274,701,693 | ) | (234,531,198 | ) | ||||||||
Total distributions(1) | (256,786,022 | ) | (415,158,732 | ) | (274,701,693 | ) | (234,531,198 | ) | ||||||||
Capital Transactions | ||||||||||||||||
Proceeds from shares sold | 1,182,128,540 | 3,545,308,796 | 4,871,578,851 | 5,311,139,071 | ||||||||||||
Reinvestment of dividends | 256,786,022 | 415,158,732 | 274,701,693 | 234,531,198 | ||||||||||||
Cost of shares redeemed | (1,147,521,093 | ) | (1,305,825,159 | ) | (1,108,628,509 | ) | (678,884,257 | ) | ||||||||
Net increase/(decrease) from capital transactions | 291,393,469 | 2,654,642,369 | 4,037,652,035 | 4,866,786,012 | ||||||||||||
Net increase/(decrease) in net assets | 298,770,559 | 2,209,483,740 | 3,982,681,088 | 4,639,064,784 | ||||||||||||
Net Assets | ||||||||||||||||
Beginning of period | 15,805,311,445 | 13,595,827,705 | 11,062,537,731 | 6,423,472,947 | ||||||||||||
End of period(1) | $ | 16,104,082,004 | $ | 15,805,311,445 | $ | 15,045,218,819 | $ | 11,062,537,731 | ||||||||
Change in Shares Outstanding | ||||||||||||||||
Shares outstanding, beginning of period | 1,601,019,411 | 1,336,731,909 | 1,127,345,265 | 636,526,505 | ||||||||||||
Shares sold | 120,402,928 | 352,961,173 | 497,191,255 | 535,354,890 | ||||||||||||
Shares issued to holders in reinvestments of dividends | 26,198,905 | 41,215,788 | 28,237,710 | 23,508,603 | ||||||||||||
Shares redeemed | (117,092,326 | ) | (129,889,459 | ) | (113,904,914 | ) | (68,044,733 | ) | ||||||||
Shares outstanding, end of period | 1,630,528,918 | 1,601,019,411 | 1,538,869,316 | 1,127,345,265 | ||||||||||||
(1) | Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year RegulationS-X presentation changes. See Note 12.b of Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
46 | Semiannual Report • December 31, 2018 |
Bridge Builder Mutual Funds
Statements of Changes in Net Assets (Continued)
Bridge Builder Municipal Bond Fund | Bridge Builder Large Cap Growth Fund | |||||||||||||||
Six Months Ended December 31, 2018 (Unaudited) | Year Ended June 30, 2018 | Six Months Ended December 31, 2018 (Unaudited) | Year Ended June 30, 2018 | |||||||||||||
Operations | ||||||||||||||||
Net investment income | $ | 48,644,524 | $ | 63,853,651 | $ | 34,394,835 | $ | 52,740,854 | ||||||||
Net realized gain/(loss) | (8,721,317 | ) | (2,318,641 | ) | 1,603,992 | 261,526,478 | ||||||||||
Net change in unrealized appreciation/(depreciation) | 24,352,600 | (15,252,326 | ) | (399,165,717 | ) | 509,504,020 | ||||||||||
Net increase/(decrease) in net assets resulting from operations | 64,275,807 | 46,282,684 | (363,166,890 | ) | 823,771,352 | |||||||||||
Distributions to Shareholders | ||||||||||||||||
Total distributable earnings | (48,976,183 | ) | (64,129,188 | ) | (292,945,669 | ) | (41,291,958 | ) | ||||||||
Total distributions(1) | (48,976,183 | ) | (64,129,188 | ) | (292,945,669 | ) | (41,291,958 | ) | ||||||||
Capital Transactions | ||||||||||||||||
Proceeds from shares sold | 1,156,336,034 | 1,234,303,647 | 1,080,062,291 | 2,004,039,632 | ||||||||||||
Reinvestment of dividends | 48,976,183 | 64,129,188 | 292,945,669 | 41,291,958 | ||||||||||||
Cost of shares redeemed | (348,792,245 | ) | (370,843,444 | ) | (1,031,102,413 | ) | (894,199,577 | ) | ||||||||
Net increase/(decrease) from capital transactions | 856,519,972 | 927,589,391 | 341,905,547 | 1,151,132,013 | ||||||||||||
Net increase/(decrease) in net assets | 871,819,596 | 909,742,887 | (314,207,012 | ) | 1,933,611,407 | |||||||||||
Net Assets | ||||||||||||||||
Beginning of period | 3,474,316,389 | 2,564,573,502 | 6,136,086,544 | 4,202,475,137 | ||||||||||||
End of period(1) | $ | 4,346,135,985 | $ | 3,474,316,389 | $ | 5,821,879,532 | $ | 6,136,086,544 | ||||||||
Change in Shares Outstanding | ||||||||||||||||
Shares outstanding, beginning of period | 344,193,751 | 252,850,046 | 453,379,922 | 362,586,427 | ||||||||||||
Shares sold | 115,540,032 | 121,606,723 | 77,625,028 | 156,582,440 | ||||||||||||
Shares issued to holders in reinvestments of dividends | 4,885,164 | 6,323,121 | 23,452,719 | 3,228,456 | ||||||||||||
Shares redeemed | (34,718,505 | ) | (36,586,139 | ) | (74,032,106 | ) | (69,017,401 | ) | ||||||||
Shares outstanding, end of period | 429,900,442 | 344,193,751 | 480,425,563 | 453,379,922 | ||||||||||||
(1) | Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year RegulationS-X presentation changes. See Note 12.b of Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
Semiannual Report • December 31, 2018 | 47 |
Bridge Builder Mutual Funds
Statements of Changes in Net Assets (Continued)
Bridge Builder Large Cap Value Fund | Bridge Builder Small/Mid Cap Growth Fund | |||||||||||||||
Six Months Ended December 31, 2018 (Unaudited) | Year Ended June 30, 2018 | Six Months Ended December 31, 2018 (Unaudited) | Year Ended June 30, 2018 | |||||||||||||
Operations | ||||||||||||||||
Net investment income | $ | 74,038,703 | $ | 103,862,675 | $ | 7,335,657 | $ | 11,440,192 | ||||||||
Net realized gain/(loss) | 73,177,596 | 46,946,050 | 34,599,047 | 153,454,262 | ||||||||||||
Net change in unrealized appreciation/(depreciation) | (800,136,770 | ) | 335,759,128 | (372,862,487 | ) | 354,212,538 | ||||||||||
Net increase/(decrease) in net assets resulting from operations | (652,920,471 | ) | 486,567,853 | (330,927,783 | ) | 519,106,992 | ||||||||||
Distributions to Shareholders | ||||||||||||||||
Total distributable earnings | (181,774,579 | ) | (144,634,837 | ) | (188,711,940 | ) | (32,756,706 | ) | ||||||||
Total distributions(1) | (181,774,579 | ) | (144,634,837 | ) | (188,711,940 | ) | (32,756,706 | ) | ||||||||
Capital Transactions | ||||||||||||||||
Proceeds from shares sold | 1,319,892,682 | 2,275,283,424 | 365,340,680 | 1,050,467,075 | ||||||||||||
Reinvestment of dividends | 181,774,579 | 144,634,837 | 188,711,940 | 32,756,706 | ||||||||||||
Cost of shares redeemed | (558,569,601 | ) | (698,707,515 | ) | (399,261,704 | ) | (477,310,876 | ) | ||||||||
Net increase/(decrease) from capital transactions | 943,097,660 | 1,721,210,746 | 154,790,916 | 605,912,905 | ||||||||||||
Net increase/(decrease) in net assets | 108,402,610 | 2,063,143,762 | (364,848,807 | ) | 1,092,263,191 | |||||||||||
Net Assets | ||||||||||||||||
Beginning of period | 7,102,146,086 | 5,039,002,324 | 3,622,080,612 | 2,529,817,421 | ||||||||||||
End of period(1) | $ | 7,210,548,696 | $ | 7,102,146,086 | $ | 3,257,231,805 | $ | 3,622,080,612 | ||||||||
Change in Shares Outstanding | ||||||||||||||||
Shares outstanding, beginning of period | 585,931,695 | 442,683,533 | 267,895,333 | 220,163,036 | ||||||||||||
Shares sold | 107,265,324 | 189,183,062 | 26,847,282 | 82,516,711 | ||||||||||||
Shares issued to holders in reinvestments of dividends | 15,823,876 | 12,011,218 | 15,753,297 | 2,616,348 | ||||||||||||
Shares redeemed | (45,635,999 | ) | (57,946,118 | ) | (29,106,327 | ) | (37,400,762 | ) | ||||||||
Shares outstanding, end of period | 663,384,896 | 585,931,695 | 281,389,585 | 267,895,333 | ||||||||||||
(1) | Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year RegulationS-X presentation changes. See Note 12.b of Notes to Financial Statements |
The accompanying notes are an integral part of these financial statements.
48 | Semiannual Report • December 31, 2018 |
Bridge Builder Mutual Funds
Statements of Changes in Net Assets (Continued)
Bridge Builder Small/Mid Cap Value Fund | Bridge Builder International Equity Fund | |||||||||||||||
Six Months Ended December 31, 2018 (Unaudited) | Year Ended June 30, 2018 | Six Months Ended December 31, 2018 (Unaudited) | Year Ended June 30, 2018 | |||||||||||||
Operations | ||||||||||||||||
Net investment income | $ | 33,342,574 | $ | 49,019,954 | $ | 66,738,938 | $ | 141,339,445 | ||||||||
Net realized gain/(loss) | (21,787,219 | ) | 114,793,913 | (36,361,983 | ) | 130,908,674 | ||||||||||
Net change in unrealized appreciation/(depreciation) | (664,926,010 | ) | 130,875,407 | (1,014,716,860 | ) | 75,464,693 | ||||||||||
Net increase/(decrease) in net assets resulting from operations | (653,370,655 | ) | 294,689,274 | (984,339,905 | ) | 347,712,812 | ||||||||||
Distributions to Shareholders | ||||||||||||||||
Total distributable earnings | (188,494,226 | ) | (44,383,013 | ) | (274,598,119 | ) | (128,887,027 | ) | ||||||||
Total distributions(1) | (188,494,226 | ) | (44,383,013 | ) | (274,598,119 | ) | (128,887,027 | ) | ||||||||
Capital Transactions | ||||||||||||||||
Proceeds from shares sold | 711,523,324 | 1,069,899,734 | 1,865,261,787 | 2,880,468,866 | ||||||||||||
Reinvestment of dividends | 188,494,226 | 44,383,013 | 274,598,119 | 128,887,027 | ||||||||||||
Cost of shares redeemed | (329,138,478 | ) | (423,934,563 | ) | (432,106,256 | ) | (856,466,347 | ) | ||||||||
Net increase/(decrease) from capital transactions | 570,879,072 | 690,348,184 | 1,707,753,650 | 2,152,909,546 | ||||||||||||
Net increase/(decrease) in net assets | (270,985,809 | ) | 940,654,445 | 448,815,626 | 2,371,735,331 | |||||||||||
Net Assets | ||||||||||||||||
Beginning of period | 4,185,819,043 | 3,245,164,598 | 7,535,308,291 | 5,163,572,960 | ||||||||||||
End of period(1) | $ | 3,914,833,234 | $ | 4,185,819,043 | $ | 7,984,123,917 | $ | 7,535,308,291 | ||||||||
Change in Shares Outstanding | ||||||||||||||||
Shares outstanding, beginning of period | 349,571,673 | 291,066,611 | 649,332,631 | 466,636,919 | ||||||||||||
Shares sold | 59,737,642 | 90,735,297 | 164,013,245 | 244,205,595 | ||||||||||||
Shares issued to holders in reinvestments of dividends | 18,620,999 | 3,681,101 | 27,294,795 | 10,841,805 | ||||||||||||
Shares redeemed | (27,800,794 | ) | (35,911,336 | ) | (38,776,410 | ) | (72,351,688 | ) | ||||||||
Shares outstanding, end of period | 400,129,520 | 349,571,673 | 801,864,261 | 649,332,631 | ||||||||||||
(1) | Prior year distribution character information and undistributed net investment income has been modified or removed to conform with current year RegulationS-X presentation changes. See Note 12.b of Notes to Financial Statements |
The accompanying notes are an integral part of these financial statements.
Semiannual Report • December 31, 2018 | 49 |
Bridge Builder Mutual Funds
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 | ||||||||||||||||||||||||||||
Six months ended December 31, 2018 (Unaudited) | $ | 9.87 | 0.15 | 0.02 | 0.17 | (0.16 | ) | — | (0.16 | ) | ||||||||||||||||||
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 | $ | 10.00 | 0.14 | 0.15 | 0.29 | (0.15 | ) | — | (0.15 | ) | ||||||||||||||||||
Bridge Builder Core Plus Bond Fund | ||||||||||||||||||||||||||||
Six months ended December 31, 2018 (Unaudited) | $ | 9.81 | 0.17 | (0.01 | ) | 0.16 | (0.19 | ) | — | (0.19 | ) | |||||||||||||||||
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 | $ | 10.00 | 0.22 | 0.31 | 0.53 | (0.23 | ) | (0.02 | ) | (0.25 | ) | |||||||||||||||||
Bridge Builder Municipal Bond Fund | ||||||||||||||||||||||||||||
Six months ended December 31, 2018 (Unaudited) | $ | 10.09 | 0.13 | 0.02 | 0.15 | (0.13 | ) | — | (0.13 | ) | ||||||||||||||||||
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 | $ | 10.00 | 0.16 | 0.38 | 0.54 | (0.15 | ) | (0.01 | ) | (0.16 | ) | |||||||||||||||||
Bridge Builder Large Cap Growth Fund | ||||||||||||||||||||||||||||
Six months ended December 31, 2018 (Unaudited) | $ | 13.53 | 0.07 | (0.84 | ) | (0.77 | ) | (0.14 | ) | (0.50 | ) | (0.64 | ) | |||||||||||||||
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 | $ | 10.00 | 0.01 | (0.18 | ) | (0.17 | ) | — | — | — | ||||||||||||||||||
Bridge Builder Large Cap Value Fund | ||||||||||||||||||||||||||||
Six months ended December 31, 2018 (Unaudited) | $ | 12.12 | 0.11 | (1.08 | ) | (0.97 | ) | (0.12 | ) | (0.16 | ) | (0.28 | ) | |||||||||||||||
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 | $ | 10.00 | 0.03 | (0.19 | ) | (0.16 | ) | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||
Bridge Builder Small/Mid Cap Growth Fund | ||||||||||||||||||||||||||||
Six months ended December 31, 2018 (Unaudited) | $ | 13.52 | 0.03 | (1.26 | ) | (1.23 | ) | (0.05 | ) | (0.66 | ) | (0.71 | ) | |||||||||||||||
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 | $ | 10.00 | 0.01 | (0.05 | ) | (0.04 | ) | — | — | — | ||||||||||||||||||
Bridge Builder Small/Mid Cap Value Fund | ||||||||||||||||||||||||||||
Six months ended December 31, 2018 (Unaudited) | $ | 11.97 | 0.08 | (1.78 | ) | (1.70 | ) | (0.14 | ) | (0.35 | ) | (0.49 | ) | |||||||||||||||
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 | $ | 10.00 | 0.02 | (0.15 | ) | (0.13 | ) | — | — | — | ||||||||||||||||||
Bridge Builder International Equity Fund | ||||||||||||||||||||||||||||
Six months ended December 31, 2018 (Unaudited) | $ | 11.60 | 0.06 | (1.34 | ) | (1.28 | ) | (0.22 | ) | (0.14 | ) | (0.36 | ) | |||||||||||||||
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 | $ | 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 contributionin-kind. |
(7) | Inception Date. |
(8) | Less than $0.005. |
The accompanying notes are an integral part of these financial statements.
50 | Semiannual Report • December 31, 2018 |
Ratios/Supplemental Data | ||||||||||||||||||||||||||
Ratios to Average Net Assets of:(1) | ||||||||||||||||||||||||||
Net asset | 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) | ||||||||||||||||||||
$ | 9.88 | 1.72 | % | $ | 16,104 | 0.35 | % | 0.14 | % | 3.10 | % | 83 | % | |||||||||||||
$ | 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) | |||||||||||||
$ | 9.78 | 1.63 | % | $ | 15,045 | 0.47 | % | 0.24 | % | 3.40 | % | 137 | % | |||||||||||||
$ | 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 | % | |||||||||||||
$ | 10.11 | 1.48 | % | $ | 4,346 | 0.39 | % | 0.18 | % | 2.51 | % | 32 | % | |||||||||||||
$ | 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 | % | |||||||||||||
$ | 12.12 | (5.82 | )% | $ | 5,822 | 0.46 | % | 0.23 | % | 1.08 | % | 15 | % | |||||||||||||
$ | 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 | % | |||||||||||||
$ | 10.87 | (8.11 | )% | $ | 7,211 | 0.46 | % | 0.25 | % | 1.90 | % | 12 | % | |||||||||||||
$ | 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 | % | |||||||||||||
$ | 11.58 | (9.26 | )% | $ | 3,257 | 0.67 | % | 0.40 | % | 0.40 | % | 9 | % | |||||||||||||
$ | 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 | % | |||||||||||||
$ | 9.78 | (14.29 | )% | $ | 3,915 | 0.67 | % | 0.44 | % | 1.51 | % | 19 | % | |||||||||||||
$ | 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 | % | |||||||||||||
$ | 9.96 | (11.10 | )% | $ | 7,984 | 0.64 | % | 0.36 | % | 1.62 | % | 7 | % | |||||||||||||
$ | 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.
Semiannual Report • December 31, 2018 | 51 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited)
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 December 31, 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 offers 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 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.
52 | Semiannual Report • December 31, 2018 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (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 December 31, 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 securitiesin-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
Semiannual Report • December 31, 2018 | 53 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (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 strategies 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.
54 | Semiannual Report • December 31, 2018 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (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 Master Repurchase 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 variation margin on centrally cleared swap contracts on the Statements of Assets and Liabilities. OTC Swaps are marked to market daily and the change, if any, is included in the over-the-counter 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,
Semiannual Report • December 31, 2018 | 55 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (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 may enter into 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 Summary Schedule of Investments.
c) Loan Participation, Assignments and Unfunded Commitments – Certain Funds may enter into 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
56 | Semiannual Report • December 31, 2018 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (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 December 31, 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 December 31, 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 December 31, 2018, the following Fund’s restricted securities to be liquid and illiquid pursuant to the Fund’s illiquid and restricted securities guidelines:
Restricted Securities | ||||||||
Fund | Illiquid | Liquid | ||||||
Core Bond Fund | $ | — | $ | 1,921,368 |
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 and Buy-saleback 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 will segregate assets determined to be liquid by the Sub-adviser or will otherwise cover its obligations under sale-buyback transactions.
As of December 31, 2018, the Core Plus Bond Fund participated in sale-buyback transactions. The payable for investments purchased related to sale-buyback transactions were $891,196,107, with an average amount borrowed of $30,673,034 and incurred interest expense of $5,256,926 with a weighted average interest rate of 2.19%.
A buy-saleback lending transaction consists of a purchase of a security by a Fund from a counterparty, with a simultaneous agreement to sell the same or substantially the same security at an agreed-upon price and date. The party who sold the security is not entitled to receive principal and interest payments, if any, made on the security during the term of the agreement. The Fund will segregate assets determined to be liquid by the Sub-adviser or will otherwise cover its obligations under buy-saleback transactions.
Semiannual Report • December 31, 2018 | 57 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
During the period, the Core Plus Bond Fund participated in buy-saleback transactions. As of December 31, 2018, there were no outstanding buy-saleback transactions. The average amount borrowed was $7,098,708 and the received interest income was $4,440 with a weighted average interest rate of 1.54%.
Sale-buyback and buy-saleback 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 any pending sale-buyback and buy-saleback transactions as of period end is disclosed in each Fund’s Summary Schedule of Investments.
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 approved 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.
58 | Semiannual Report • December 31, 2018 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
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 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability. Other significant observable market inputs include, but are not limited to, 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 – Significant unobservable inputs (including the Fund’s own assumptions). |
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.
Semiannual Report • December 31, 2018 | 59 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
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 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.
60 | Semiannual Report • December 31, 2018 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
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 | $ | — | $ | 1,949,869,433 | $ | 63,258,848 | $ | 2,013,128,281 | ||||||||
Corporate Bonds | ||||||||||||||||
Basic Materials | — | 219,301,498 | — | 219,301,498 | ||||||||||||
Communications | — | 306,592,183 | — | 306,592,183 | ||||||||||||
Consumer, Cyclical | — | 258,650,012 | 4,141,279 | 262,791,291 | ||||||||||||
Consumer,Non-cyclical | — | 622,697,396 | — | 622,697,396 | ||||||||||||
Diversified | — | 9,559,282 | — | 9,559,282 | ||||||||||||
Energy | — | 496,922,231 | — | 496,922,231 | ||||||||||||
Financials | — | 1,969,757,147 | 60,132 | 1,969,817,279 | ||||||||||||
Industrials | — | 232,834,610 | — | 232,834,610 | ||||||||||||
Technology | — | 192,051,024 | — | 192,051,024 | ||||||||||||
Utilities | — | 461,279,916 | — | 461,279,916 | ||||||||||||
Government Related | — | 3,317,408,900 | — | 3,317,408,900 | ||||||||||||
Mortgage-Backed Obligations | — | 5,739,186,700 | 20,058,334 | 5,759,245,034 | ||||||||||||
Preferred Stocks | ||||||||||||||||
Financials | 2,268,600 | — | — | 2,268,600 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Money Market Funds | 393,265,912 | — | — | 393,265,912 | ||||||||||||
U.S. Treasury Bills | — | 994,291 | — | 994,291 | ||||||||||||
Futures Contracts(1) | 14,660,560 | — | — | 14,660,560 | ||||||||||||
Total Assets | $ | 410,195,072 | $ | 15,777,104,623 | $ | 87,518,593 | $ | 16,274,818,288 | ||||||||
Liabilities | ||||||||||||||||
Futures Contracts(1) | $ | 4,051,538 | $ | — | $ | — | $ | 4,051,538 | ||||||||
Swap Contracts(1) | — | 971,556 | — | 971,556 | ||||||||||||
TBA Sale Commitments | — | 9,167,632 | — | 9,167,632 | ||||||||||||
Total Liabilities | $ | 4,051,538 | $ | 10,139,188 | $ | — | $ | 14,190,726 |
Semiannual Report • December 31, 2018 | 61 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
Core Plus Bond Fund
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Asset-Backed Obligations | $ | — | $ | 2,103,220,685 | $ | — | $ | 2,103,220,685 | ||||||||
Bank Loans | — | 344,583,315 | 200,000 | 344,783,315 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Basic Materials | — | 120,576,896 | — | 120,576,896 | ||||||||||||
Communications | — | 714,961,600 | — | 714,961,600 | ||||||||||||
Consumer, Cyclical | — | 478,394,378 | — | 478,394,378 | ||||||||||||
Consumer, Non-cyclical | — | 888,953,923 | — | 888,953,923 | ||||||||||||
Diversified | — | 6,815,843 | — | 6,815,843 | ||||||||||||
Energy | — | 491,610,962 | — | 491,610,962 | ||||||||||||
Financials | — | 1,908,288,192 | — | 1,908,288,192 | ||||||||||||
Industrials | — | 327,634,466 | — | 327,634,466 | ||||||||||||
Technology | — | 223,694,658 | — | 223,694,658 | ||||||||||||
Utilities | — | 282,482,134 | — | 282,482,134 | ||||||||||||
Government Related | — | 4,004,544,493 | — | 4,004,544,493 | ||||||||||||
Mortgage-Backed Obligations | — | 3,354,045,206 | — | 3,354,045,206 | ||||||||||||
Common Stocks | ||||||||||||||||
Communications | — | — | 9,588 | 9,588 | ||||||||||||
Consumer, Cyclical | 2,301,695 | — | — | 2,301,695 | ||||||||||||
Preferred Stocks | ||||||||||||||||
Consumer, Non-cyclical | 6,665,743 | — | — | 6,665,743 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Banker’s Acceptances | — | 87,700,936 | — | 87,700,936 | ||||||||||||
Certificate of Deposit | — | 250,118 | — | 250,118 | ||||||||||||
Commercial Paper | — | 29,056,991 | — | 29,056,991 | ||||||||||||
Foreign Treasury Bills | — | 418,465,305 | — | 418,465,305 | ||||||||||||
Repurchase Agreements | — | 15,200,000 | — | 15,200,000 | ||||||||||||
Money Market Funds | 257,893,121 | — | — | 257,893,121 | ||||||||||||
U.S. Treasury Bills | — | 6,875,526 | — | 6,875,526 | ||||||||||||
Futures Contracts(1) | 46,194,718 | — | — | 46,194,718 | ||||||||||||
Forward Foreign Currency Exchange Contracts(1) | — | 12,196,974 | — | 12,196,974 | ||||||||||||
Swap Contracts (1) | — | 3,642,475 | — | 3,642,475 | ||||||||||||
Total Assets | $ | 313,055,277 | $ | 15,823,195,076 | $ | 209,588 | $ | 16,136,459,941 | ||||||||
Liabilities | ||||||||||||||||
Futures Contracts(1) | $ | 986,347 | $ | — | $ | — | $ | 986,347 | ||||||||
Forward Foreign Currency Exchange Contracts(1) | — | 19,512,517 | — | 19,512,517 | ||||||||||||
Swap Contracts(1) | — | 20,108,102 | — | 20,108,102 | ||||||||||||
Total Liabilities | $ | 986,347 | $ | 39,620,619 | $ | — | $ | 40,606,966 | ||||||||
Municipal Bond Fund | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Municipal Bonds | ||||||||||||||||
Education | $ | — | $ | 339,241,283 | $ | — | $ | 339,241,283 | ||||||||
General Obligation | — | 1,008,864,452 | — | 1,008,864,452 | ||||||||||||
General Revenue | — | 1,022,810,502 | — | 1,022,810,502 | ||||||||||||
Healthcare | — | 652,304,478 | — | 652,304,478 | ||||||||||||
Housing | — | 162,891,816 | — | 162,891,816 | ||||||||||||
Transportation | — | 710,951,003 | — | 710,951,003 | ||||||||||||
Utilities | — | 373,004,099 | — | 373,004,099 | ||||||||||||
Short-Term Investments | 47,371,944 | — | — | 47,371,944 | ||||||||||||
Total Assets | $ | 47,371,944 | $ | 4,270,067,633 | $ | — | $ | 4,317,439,577 | ||||||||
Liabilities | ||||||||||||||||
Futures Contracts(1) | $ | 1,453,873 | $ | — | $ | — | $ | 1,453,873 | ||||||||
Total Liabilities | $ | 1,453,873 | $ | — | $ | — | $ | 1,453,873 |
62 | Semiannual Report • December 31, 2018 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
Large Cap Growth Fund | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Common Stocks | ||||||||||||||||
Communication Services | $ | 617,277,395 | $ | — | $ | — | $ | 617,277,395 | ||||||||
Consumer Discretionary | 948,585,459 | 16,098,467 | — | 964,683,926 | ||||||||||||
Consumer Staples | 385,617,461 | — | — | 385,617,461 | ||||||||||||
Energy | 133,765,059 | — | — | 133,765,059 | ||||||||||||
Financials | 377,149,641 | — | — | 377,149,641 | ||||||||||||
Healthcare | 973,650,850 | — | — | 973,650,850 | ||||||||||||
Industrials | 334,668,630 | 3,726,624 | — | 338,395,254 | ||||||||||||
Information Technology | 1,553,290,797 | 5,146,866 | — | 1,558,437,663 | ||||||||||||
Materials | 180,864,147 | — | — | 180,864,147 | ||||||||||||
Real Estate | 117,272,635 | — | — | 117,272,635 | ||||||||||||
Rights | ||||||||||||||||
Consumer Staples | — | — | — | (2) | — | |||||||||||
Short-Term Investments | 161,589,809 | — | — | 161,589,809 | ||||||||||||
Total Assets | $ | 5,783,731,883 | $ | 24,971,957 | $ | — | $ | 5,808,703,840 | ||||||||
Large Cap Value Fund | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Common Stocks | ||||||||||||||||
Communication Services | $ | 336,607,673 | $ | — | $ | — | $ | 336,607,673 | ||||||||
Consumer Discretionary | 726,166,744 | 52,605,143 | — | 778,771,887 | ||||||||||||
Consumer Staples | 546,578,167 | — | — | 546,578,167 | ||||||||||||
Energy | 541,498,048 | — | — | 541,498,048 | ||||||||||||
Financials | 1,283,329,718 | — | — | 1,283,329,718 | ||||||||||||
Healthcare | 966,114,470 | — | — | 966,114,470 | ||||||||||||
Industrials | 884,314,716 | — | — | 884,314,716 | ||||||||||||
Information Technology | 715,120,328 | 45,197,481 | — | 760,317,809 | ||||||||||||
Materials | 441,673,127 | — | — | 441,673,127 | ||||||||||||
Real Estate | 225,572,876 | — | — | 225,572,876 | ||||||||||||
Utilities | 131,205,176 | — | — | 131,205,176 | ||||||||||||
Short-Term Investments | 291,441,937 | — | — | 291,441,937 | ||||||||||||
Total Assets | $ | 7,089,622,980 | $ | 97,802,624 | $ | — | $ | 7,187,425,604 | ||||||||
Small/Mid Cap Growth Fund | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Common Stocks | ||||||||||||||||
Communication Services | $ | 81,601,675 | $ | — | $ | — | $ | 81,601,675 | ||||||||
Consumer Discretionary | 414,964,413 | — | — | 414,964,413 | ||||||||||||
Consumer Staples | 190,082,389 | — | — | 190,082,389 | ||||||||||||
Energy | 33,729,520 | — | — | 33,729,520 | ||||||||||||
Financials | 308,693,365 | — | — | 308,693,365 | ||||||||||||
Healthcare | 640,061,508 | — | — | 640,061,508 | ||||||||||||
Industrials | 483,005,468 | — | — | 483,005,468 | ||||||||||||
Information Technology | 778,480,837 | — | — | 778,480,837 | ||||||||||||
Materials | 156,833,688 | — | — | 156,833,688 | ||||||||||||
Real Estate | 89,682,837 | — | — | 89,682,837 | ||||||||||||
Utilities | 1,590,143 | — | — | 1,590,143 | ||||||||||||
Rights | ||||||||||||||||
Healthcare | — | — | 1,370 | 1,370 | ||||||||||||
Materials | — | — | 15,475 | 15,475 | ||||||||||||
Short-Term Investments | 71,841,280 | — | — | 71,841,280 | ||||||||||||
Total Assets | $ | 3,250,567,123 | $ | — | $ | 16,845 | $ | 3,250,583,968 |
Semiannual Report • December 31, 2018 | 63 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
Small/Mid Cap Value Fund | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Common Stocks | ||||||||||||||||
Communication Services | $ | 82,031,010 | $ | — | $ | — | $ | 82,031,010 | ||||||||
Consumer Discretionary | 374,298,870 | — | — | 374,298,870 | ||||||||||||
Consumer Staples | 87,612,311 | — | — | 87,612,311 | ||||||||||||
Energy | 171,724,719 | — | — | 171,724,719 | ||||||||||||
Financials | 958,781,404 | — | — | (2) | 958,781,404 | |||||||||||
Healthcare | 183,892,868 | — | — | 183,892,868 | ||||||||||||
Industrials | 587,513,636 | — | — | 587,513,636 | ||||||||||||
Information Technology | 485,793,849 | — | — | 485,793,849 | ||||||||||||
Materials | 206,934,907 | — | — | 206,934,907 | ||||||||||||
Real Estate | 317,716,770 | — | — | 317,716,770 | ||||||||||||
Utilities | 294,649,914 | — | — | 294,649,914 | ||||||||||||
Rights | ||||||||||||||||
Healthcare | — | — | 189 | 189 | ||||||||||||
Short-Term Investments | 158,718,421 | — | — | 158,718,421 | ||||||||||||
Total Assets | $ | 3,909,668,679 | $ | — | $ | 189 | $ | 3,909,668,868 | ||||||||
International Equity Fund | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Common Stocks | ||||||||||||||||
Communication Services | $ | 46,579,370 | $ | 719,949,372 | $ | — | $ | 766,528,742 | ||||||||
Consumer Discretionary | 157,307,089 | 718,778,615 | — | 876,085,704 | ||||||||||||
Consumer Staples | 97,491,203 | 729,380,181 | — | 826,871,384 | ||||||||||||
Energy | 52,789,004 | 415,898,232 | — | 468,687,236 | ||||||||||||
Financials | 121,258,749 | 1,285,610,301 | — | 1,406,869,050 | ||||||||||||
Healthcare | 225,193,178 | 705,134,100 | — | 930,327,278 | ||||||||||||
Industrials | 84,840,827 | 879,765,370 | — | 964,606,197 | ||||||||||||
Information Technology | 292,532,875 | 594,993,254 | — | 887,526,129 | ||||||||||||
Materials | 16,728,279 | 210,219,466 | — | 226,947,745 | ||||||||||||
Real Estate | — | 67,024,214 | — | 67,024,214 | ||||||||||||
Utilities | 318,374 | 217,919,577 | — | 218,237,951 | ||||||||||||
Preferred Stocks | ||||||||||||||||
Consumer Discretionary | — | 17,803,757 | — | 17,803,757 | ||||||||||||
Consumer Staples | — | 601,416 | — | 601,416 | ||||||||||||
Healthcare | — | 129,062 | — | 129,062 | ||||||||||||
Materials | — | 86,694 | — | 86,694 | ||||||||||||
Short-Term Investments | 283,885,650 | — | — | 283,885,650 | ||||||||||||
Total Assets | $ | 1,378,924,598 | $ | 6,563,293,611 | $ | — | $ | 7,942,218,209 |
(1) | Derivative instruments, including futures, total return 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. Credit default swaps and interest rate swaps are reported at market value. 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. |
64 | Semiannual Report • December 31, 2018 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
Below is a roll forward which details the activity of securities in Level 3 during the period ended December 31, 2018:
Core Bond Fund | ||||
Beginning Balance – June 30, 2018 | $ | 137,635,565 | ||
Purchases | 54,938,536 | |||
Sales proceeds and paydowns | (84,355,441 | ) | ||
Transfers into Level 3 | 4,141,279 | |||
Transfer out of Level 3 | (23,066,423 | ) | ||
Realized gains/(losses), net | 31,029 | |||
Change in unrealized gains/(losses), net | (1,805,952 | ) | ||
|
| |||
Ending Balance – December 31, 2018 | $ | 87,518,593 | ||
|
|
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 Fund at December 31, 2018 totals $(62,414).
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).
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 December 31, 2018:
Quantitative Information about Level 3 Fair Value Measurements*
Core Bond Fund
Investment Type | Fair Value at 12/31/18 | Valuation Methodology | Unobservable Inputs | Input Value/Range | Weighted Average | |||||||||
Corporate Bonds | $ | 60,132 | Cost Basis less illiquidity discount | Discount for lack of marketability | 10% | 10 | % |
* The table above does not include Level 3 securities that are valued by pricing vendors or brokers. At December 31, 2018, the value of these securities was $87,458,461 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.
Semiannual Report • December 31, 2018 | 65 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
5. DERIVATIVE INSTRUMENTS
Certain Funds use derivative instruments as part of their 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 | $ | 14,660,560 | $ | — | $ | — | $ | (4,051,538 | ) | $ | (971,556 | ) | $ | — | ||||||||||
Core Plus Bond Fund | 46,194,718 | 3,641,917 | — | (986,347 | ) | (12,499,516 | ) | — | ||||||||||||||||
Municipal Bond Fund | — | — | — | (1,453,873 | ) | — | — | |||||||||||||||||
Foreign Exchange Risk: | ||||||||||||||||||||||||
Core Plus Bond Fund | — | — | 12,196,974 | — | — | (19,512,517 | ) | |||||||||||||||||
Credit Risk: | ||||||||||||||||||||||||
Core Plus Bond Fund | — | 558 | — | — | (7,608,586 | ) | — |
* | 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 December 31, 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 | $ | (2,701,101 | ) | $ | — | $ | (3 | ) | $ | 4,713,825 | $ | — | $ | (972,169 | ) | |||||||||
Core Plus Bond Fund | (14,088,682 | ) | — | (2,012,249 | ) | 40,504,000 | — | 703,245 | ||||||||||||||||
Municipal Bond Fund | 94,020 | — | — | (1,453,873 | ) | — | — | |||||||||||||||||
Foreign Exchange Risk: | ||||||||||||||||||||||||
Core Plus Bond Fund | — | 16,942,360 | — | — | (15,179,688 | ) | — | |||||||||||||||||
Credit Risk: | ||||||||||||||||||||||||
Core Plus Bond Fund | — | — | 1,700,414 | — | — | (282,499 | ) |
66 | Semiannual Report • December 31, 2018 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
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 December 31, 2018:
Core Plus Bond Fund | ||||||||||||||||||||||||||
Investment Type | Gross Amounts of Recognized Assets Presented in the Statements of Assets & Liabilities | Gross Amounts Available for Offset | Net Amounts | Gross Amounts not offset in the Statements of Assets & Liabilities | Net Amount | |||||||||||||||||||||
Counterparty | Financial | Collateral Received | ||||||||||||||||||||||||
Citigroup Global Markets | Forward Foreign Currency Exchange Contracts | $ | 198,664 | $ | (198,664 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Deutsche Bank | Forward Foreign Currency Exchange Contracts | 324,441 | — | 324,441 | — | — | 324,441 | |||||||||||||||||||
Goldman Sachs | Forward Foreign Currency Exchange Contracts | 319,336 | (5,786 | ) | 313,550 | — | (313,550 | ) | — | |||||||||||||||||
J.P. Morgan | Forward Foreign Currency Exchange Contracts | 10,485,557 | (10,485,557 | ) | — | — | — | — | ||||||||||||||||||
Merrill Lynch | Forward Foreign Currency Exchange Contracts | 98,999 | (98,999 | ) | — | — | — | — | ||||||||||||||||||
Morgan Stanley | Forward Foreign Currency Exchange Contracts | 769,977 | (769,977 | ) | — | — | — | — | ||||||||||||||||||
Total Financial Instruments Subject to a Master Netting Arrangement or Similar Arrangement | 12,196,974 | (11,558,983 | ) | 637,991 | — | (313,550 | ) | 324,441 |
Investment Type | Gross Amounts of Recognized Liabilities Presented in the Statements of Assets & Liabilities | Gross Amounts Available for Offset | Net Amounts | Gross Amounts not offset in the Statements of Assets & Liabilities | Net Amount | |||||||||||||||||||||
Counterparty | Financial Instruments | Collateral Pledged | ||||||||||||||||||||||||
Citigroup Global Markets | Forward Foreign Currency Exchange Contracts | $ | 263,242 | $ | (198,664 | ) | $ | 64,578 | $ | — | $ | — | $ | 64,578 | ||||||||||||
Deutsche Bank | Credit Default Swap Contracts | 222,841 | — | 222,841 | — | — | 222,841 |
Semiannual Report • December 31, 2018 | 67 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
Investment Type | Gross Amounts of Recognized Liabilities Presented in the Statements of Assets & Liabilities | Gross Amounts Available for Offset | Net Amounts | Gross Amounts not offset in the Statements of Assets & Liabilities | Net Amount | |||||||||||||||||||||||
Counterparty | Financial Instruments | Collateral Pledged | ||||||||||||||||||||||||||
Goldman Sachs | | Credit Default Swap Contracts | | $ | 1,615,301 | $ | — | $ | 1,615,301 | $ | — | $ | — | $ | 1,615,301 | |||||||||||||
Goldman Sachs | | Forward Foreign Currency Exchange Contracts | | 5,786 | (5,786 | ) | — | — | — | — | ||||||||||||||||||
Goldman Sachs | | Total Return Swap Contracts | | 2,126,304 | — | 2,126,304 | — | — | 2,126,304 | |||||||||||||||||||
J.P. Morgan | | Credit Default Swap Contracts | | 2,234,500 | — | 2,234,500 | — | — | 2,234,500 | |||||||||||||||||||
J.P. Morgan | | Forward Foreign Currency Exchange Contracts | | 14,316,450 | (10,485,557 | ) | 3,830,893 | — | — | 3,830,893 | ||||||||||||||||||
J.P. Morgan | | Total Return Swap Contracts | | 3,553,735 | — | 3,553,735 | — | — | 3,553,735 | |||||||||||||||||||
Merrill Lynch | | Credit Default Swap Contracts | | 472,221 | — | 472,221 | — | — | 472,221 | |||||||||||||||||||
Merrill Lynch | | Forward Foreign Currency Exchange Contracts | | 303,154 | (98,999 | ) | 204,155 | — | — | 204,155 | ||||||||||||||||||
Morgan Stanley | | Credit Default Swap Contracts | | 681,566 | — | 681,566 | — | — | 681,566 | |||||||||||||||||||
Morgan Stanley | | Forward Foreign Currency Exchange Contracts | | 4,594,982 | (769,977 | ) | 3,825,005 | — | — | 3,825,005 | ||||||||||||||||||
State Street | | Forward Foreign Currency Exchange Contracts | | 28,057 | — | 28,057 | — | — | 28,057 | |||||||||||||||||||
UBS | | Forward Foreign Currency Exchange Contracts | | 846 | — | 846 | — | — | 846 | |||||||||||||||||||
Total Financial Instruments Subject to a Master Netting Arrangement or Similar Arrangement | 30,418,985 | (11,558,983 | ) | 18,860,002 | — | — | 18,860,002 |
68 | Semiannual Report • December 31, 2018 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
The Funds’ average monthly notional amount of derivatives during the period ended December 31, 2018 were as follows:
Core Bond Fund | Core Plus Bond Fund* | Municipal Bond Fund | ||||||||||
Futures Contracts | ||||||||||||
Average Notional Balance – Long | $ | 749,458,646 | $ | 2,232,391,767 | $ | — | ||||||
Average Notional Balance – Short | (197,891,508 | ) | (225,688,023 | ) | (22,914,297 | ) | ||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||
Average Amounts – Purchased | — | 998,410,766 | — | |||||||||
Average Amounts – Sold | — | (402,049,980 | ) | — | ||||||||
Credit Default Swaps | ||||||||||||
Average Amounts – Buy Protection | — | 28,069,000 | — | |||||||||
Average Amounts – Sell Protection | — | (215,652,333 | ) | — | ||||||||
Interest Rate Swaps | ||||||||||||
Average Amounts – Pays Fixed Rate | 15,945,000 | 289,416,667 | — | |||||||||
Average Amounts – Receives Fixed Rate | — | (511,600,000 | ) | — | ||||||||
Total Return Swaps | ||||||||||||
Average Amounts – Long | — | 170,000,000 | — | |||||||||
Average Amounts – Short | — | — | — |
* | 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 December 31, 2018 are noted in the table below:
Fund | Annual Management Fee | Management Fees Waived by Adviser | ||||||
Core Bond Fund | 0.32 | % | $ | (16,680,097 | ) | |||
Core Plus Bond Fund | 0.36 | (16,118,907 | ) | |||||
Municipal Bond Fund | 0.36 | (4,142,839 | ) | |||||
Large Cap Growth Fund | 0.44 | (7,463,981 | ) | |||||
Large Cap Value Fund | 0.44 | (8,117,671 | ) | |||||
Small/Mid Cap Growth Fund | 0.64 | (4,959,747 | ) | |||||
Small/Mid Cap Value Fund | 0.64 | (5,097,445 | ) | |||||
International Equity Fund | 0.60 | (11,449,237 | ) |
None of the advisory fees waived by the Adviser pursuant to the agreement described above are subject to recoupment by the Adviser.
Semiannual Report • December 31, 2018 | 69 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
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. BlackRock Investment Management, LLC | |
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 MFS Investment Management Diamond Hill Capital Management, Inc. | |
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, 2019, 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”).
70 | Semiannual Report • December 31, 2018 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
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 December 31, 2018, the Funds did not exceed the Expense Cap, and there are no expense reimbursements currently available for recoupment in future periods.
Administrator – U.S. Bancorp Fund Services, LLC, d/b/a U.S. Bank Global Fund Services (“Fund Services”) acts as the Trust’s administrator (the “Administrator”) pursuant to an administration agreement. Fund Services 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 December 31, 2018, the aggregate value of purchases and sales cross trades with other Funds or accounts were as follows:
Purchases | Sales | |||||||
Core Plus Bond Fund | $ | 2,982,853 | $ | — | ||||
Large Cap Growth Fund | 2,354,381 | 1,306,769 | ||||||
Large Cap Value Fund | 18,969,815 | 1,676,821 | ||||||
Small/Mid Cap Growth Fund | 677,311 | 4,340,865 | ||||||
Small/Mid Cap Value Fund | 2,048,317 | 1,546,773 | ||||||
International Equity Fund | 14,889,986 | 19,772,767 |
Semiannual Report • December 31, 2018 | 71 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
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 December 31, 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 December 31, 2018, the Funds have yet to lend under this agreement.
9. INVESTMENT TRANSACTIONS
For the period ended December 31, 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 | $ | 10,915,104,722 | $ | 19,129,898,653 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||
Other | 2,586,219,568 | 4,656,485,717 | 2,167,544,839 | 1,046,991,464 | 1,779,861,848 | 333,869,013 | 1,173,281,293 | 2,015,000,772 | ||||||||||||||||||||||||
Sales: | ||||||||||||||||||||||||||||||||
U.S. Government | 10,816,089,058 | 17,240,177,857 | — | — | — | — | — | — | ||||||||||||||||||||||||
Other | 2,238,916,741 | 1,837,489,147 | 1,188,766,031 | 901,812,190 | 911,214,887 | 314,037,773 | 789,337,524 | 553,657,949 |
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 | — |
72 | Semiannual Report • December 31, 2018 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
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.
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 | ||||||||||||||||||||||||
UndistributedTax-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 | — |
Semiannual Report • December 31, 2018 | 73 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
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 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 | $ | 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 | 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. 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.
74 | Semiannual Report • December 31, 2018 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
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.
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
Semiannual Report • December 31, 2018 | 75 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
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 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 foreign currency exchange 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
76 | Semiannual Report • December 31, 2018 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
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.
12. NEW ACCOUNTING PRONOUNCEMENTS
a) 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. The Funds have adopted the ASU. The implementation of the ASU did not have a material impact on the Funds’ Financial Statements.
b) In August 2018, the FASB issued Accounting Standards UpdateNo. 2018-13 “Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurement”(“ASU 2018-13”). ASU2018-13 eliminates the requirement to disclose the amount of and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, the timing of transfers between levels of the fair value hierarchy, and the valuation processes for Level 3 fair value measurements. ASU2018-13 does not eliminate the requirement to disclose the range and weighted average used to develop significant unobservable inputs for Level 3 fair value measurements, or the changes in unrealized gains and losses for recurring Level 3 fair value measurements. The guidance is effective for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. Management has evaluated the impact of this change in guidance, and due to the permissibility of early adoption, modified the Funds’ fair value disclosures (see Note 4) for the period ended December 31, 2018.
c) In August 2018, the Securities and Exchange Commission issued Final Rule Release No. 33-10532, Disclosure Update and Simplification, which in part amends certain financial statement disclosure requirements of RegulationS-X that have become redundant, duplicative, overlapping, outdated, or superseded, in light of other Commission disclosure requirements, GAAP, or changes in the information environment. The amendments are intended to facilitate the disclosure of information to investors and simplify compliance without significantly altering the total mix of information provided to investors. The amendments to Rule6-04.17 of RegulationS-X (balance sheet) were amended to require presentation of the total, rather than the components of net assets, of distributable earnings on the balance sheet. Consistent with GAAP, funds will be required to disclose total distributable earnings. The amendments to Rule6-09 of RegulationS-X (statement of changes in net assets) omit the requirement to separately state the sources of distributions paid as well as omit the requirement to parenthetically state the book basis amount of undistributed net investment income. Instead, consistent with GAAP, funds will be required to disclose the total amount of distributions paid, except that any tax return of capital must be separately disclosed. The requirements of the Final Rule Release became effective November 5, 2018.
In accordance with new reporting requirements pursuant to RegulationS-X of the Securities and Exchange Commission, presentation of certain amounts on the Statement of Changes in Net Assets, for the year ended June 30, 2018 have been conformed to meet the new disclosure requirements.
Semiannual Report • December 31, 2018 | 77 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Unaudited) (Continued)
The following is a summary of the previously disclosed distribution amounts, as reported at June 30, 2018:
Distributions to Shareholders | Undistributed (Distribution in Excess of) Net Investment Income | |||||||||||
Net Investment Income | Net Realized Gains | |||||||||||
Bridge Builder Core Bond Fund | $ | (415,158,732 | ) | $ | — | $ | (3,003,586 | ) | ||||
Bridge Builder Core Plus Bond Fund | (234,531,198 | ) | — | 1,211,827 | ||||||||
Bridge Builder Municipal Bond Fund | (64,129,188 | ) | — | 316,151 | ||||||||
Bridge Builder Large Cap Growth Fund | (41,291,958 | )�� | — | 31,167,482 | ||||||||
Bridge Builder Large Cap Value Fund | (101,268,620 | ) | (43,366,217 | ) | 1,982,407 | |||||||
Bridge Builder Small/Mid Cap Growth Fund | (9,884,986 | ) | (22,871,720 | ) | 5,199,297 | |||||||
Bridge Builder Small/Mid Cap Value Fund | (42,170,781 | ) | (2,212,232 | ) | 21,236,156 | |||||||
Bridge Builder International Equity Fund | (102,713,544 | ) | (26,173,483 | ) | 96,879,695 |
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.
78 | Semiannual Report • December 31, 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 (seven funds). |
Semiannual Report • December 31, 2018 | 79 |
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) |
(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 not included in this Semiannual Report, 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. |
* | Effective 1/1/2019, the Board appointed John M. Tesoro as the Lead Independent Trustee of the Board, and William N. Scheffel as the Chair of the Audit Committee. |
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 calling1-855-823-3611.
80 | Semiannual Report • December 31, 2018 |
Bridge Builder Mutual Funds
Board Consideration of Sub-advisory Agreements (Unaudited)
Pursuant to Section 15 of the 1940 Act, a fund’s advisory andsub-advisory agreements must be approved: (i) by a vote of a majority of the shareholders of the fund; and (ii) by a vote of a majority of the members of the board who are not parties to the agreements or “interested persons” of any party, as defined in the 1940 Act (the “Independent Trustees”), cast in person at a meeting called for the purpose of voting on such approval.
At anin-person meeting held on August21-22, 2018 (the “Meeting”), the Board of Trustees of the Bridge Builder Trust (the “Board”), including a majority of the Independent Trustees, considered and approved a newsub-advisory arrangement pursuant to an agreement with BlackRock Investment Management, LLC (“BlackRock” of the“Sub-adviser”) with respect to the Bridge Builder Municipal Bond Fund (the “Fund”) (the“Sub-advisory Agreement”) for an initial two-year term.
In advance of thein-person Meeting and a telephonic meeting held on August 16, 2018, the Adviser and theSub-adviser furnished information to the Board necessary for the Board to evaluate the terms of theSub-advisory Agreement. The Board had the opportunity to ask questions and request further information in connection with its consideration. This information included materials describing, among other matters: (i) the nature, extent and quality of the services proposed to be provided by theSub-adviser; (ii) theSub-adviser’s investment management personnel; (iii) theSub-adviser’s operations; (iv) theSub-adviser’s investment philosophy and investment process; (v) thesub-advisory fees proposed to be payable to theSub-adviser; (vi) theSub-adviser’s policies and compliance procedures, including those related to personal securities transactions; and (vii) the investment performance of accounts managed by theSub-adviser with strategies similar to the portion of the Fund proposed to be managed by theSub-adviser.
At thein-person Meeting, representatives of the Adviser and theSub-adviser made presentations and responded to questions regarding theSub-adviser’s services, fees and other aspects of theSub-advisory Agreement. The Independent Trustees received advice from Fund counsel and from their independent legal counsel, including advice regarding the legal standards applicable to the consideration of advisory andsub-advisory arrangements, and met in executive session outside the presence of the interested Trustees, Fund management and representatives of the Adviser and theSub-adviser to discuss theSub-advisory Agreement and the services to be provided by theSub-adviser.
In considering the approval of theSub-advisory Agreement, the Board considered various factors, as discussed in further detail below:
1. The nature, extent and quality of the services to be provided by theSub-adviser under theSub-advisory Agreement. The Board reviewed the portfolio management services and investment process proposed by theSub-adviser, including how theSub-adviser’s investment philosophy and process complement those of the othersub-advisers that manage the Fund. The Board also reviewed the background and experience of theSub-adviser’s portfolio management personnel. The Adviser discussed with the Board its history with BlackRock and its experience in the role ofsub-adviser to certain other series of Bridge Builder Trust. The Board reviewed the resources of theSub-adviser, and the terms of the proposedSub-advisory Agreement. The Board also considered other services to be provided to the Fund by theSub-adviser under the Adviser’s supervision, such as monitoring adherence to the Fund’s investment restrictions, monitoring compliance with various Fund policies and procedures and with applicable securities laws and regulations, monitoring valuation and liquidity and selecting broker-dealers to execute portfolio transactions.
Based on the factors above, as well as those discussed below, the Board concluded, within the context of its full deliberations, that theSub-adviser is capable of providing services of the type and nature contemplated by the terms of theSub-advisory Agreement.
Semiannual Report • December 31, 2018 | 81 |
Bridge Builder Mutual Funds
Board Consideration of Sub-advisory Agreements (Unaudited) (Continued)
2. Fees and Other Expenses. The Board reviewed thesub-advisory fees proposed to be payable to theSub-adviser. The Board considered the potential impact of BlackRock’s fee to the Fund’s overall expenses, given the Adviser’s contractual agreement to waive its advisory fees to the extent advisory fees to be paid to the Adviser exceed thesub-advisory fees to be paid to the Fund’ssub-advisers. Based on the factors above, as well as those discussed below, the Board concluded, within the context of its full deliberations, that thesub-advisory fees were reasonable in light of the nature and quality of the services expected to be rendered by theSub-adviser.
3. TheSub-adviser’s Investment Performance Record.Because theSub-adviser is new to the Fund, the Board was not able to evaluate an investment performance record for the portion of the Fund to be managed by theSub-adviser. The Board did consider theSub-adviser’s performance history with respect to similarly-managed investment accounts. While there was no historicalSub-adviser performance information with respect to the Fund for review, the Board noted that it would have an opportunity to review such information in connection with future annual reviews of advisory andsub-advisory agreements.
4. Profitability and Economies of Scale. The Board did not consider profitability of theSub-adviser to be a material factor, given that theSub-adviser is not affiliated with the Adviser and, therefore, the fees were negotiated at arm’s length.
5. Indirect Benefits.The Board noted that Fund shares are currently available exclusively to investors participating in Edward Jones Advisory Solutions®, an investment advisory program or asset-based fee program, sponsored by Edward D. Jones & Co., L.P. (“Edward Jones”), an affiliate of the Adviser. Accordingly, the Board considered that Edward Jones receives asset-based fees from all investors in connection with their investments in the Fund.
The Board also considered potential“fall-out” or ancillary benefits to BlackRock, as a result of its relationship with the Fund. Ancillary benefits for BlackRock might entail research credits received from brokers resulting from Fund portfolio transactions. The Board considered that ancillary benefits could result from a greater allocation of assets under BlackRock’s management, potentially allowing theSub-adviser to leverage its increased trade volume to negotiate more favorable execution rates for all its clients. Ancillary benefits could also include benefits potentially derived from an increase in BlackRock’s business as a result of its relationship with the Fund (such as the ability to market to shareholders other financial products and services offered by BlackRock, or to operate other products and services that follow investment strategies similar to those of the Fund).
CONCLUSION
While formal Board action was not taken with respect to the conclusions discussed above, those conclusions formed, in part, the basis for the Board’s approval of theSub-advisory Agreement at the Meeting. The Board concluded, in the exercise of its reasonable judgment, that the terms of theSub-advisory Agreement, including the compensation to be paid thereunder, are reasonable in relation to the services expected to be provided by theSub-adviser to the Fund and that the appointment of theSub-adviser and the approval of theSub-advisory Agreement would be in the best interests of the Fund and its shareholders. Based on the Board’s deliberations and its evaluation of the information described above and other factors and information it believed relevant, the Board, including all of the Independent Trustees, unanimously approved (a) the appointment of theSub-adviser as asub-adviser to the Fund, and (b) theSub-advisory Agreement.
82 | Semiannual Report • December 31, 2018 |
Bridge Builder Mutual Funds
Board Consideration of Sub-advisory Agreements (Unaudited) (Continued)
Pursuant to Section 15 of the 1940 Act, a fund’s advisory andsub-advisory agreements must be approved: (i) by a vote of a majority of the shareholders of the fund; and (ii) by a vote of a majority of the members of the board who are not parties to the agreements or “interested persons” of any party, as defined in the 1940 Act (the “Independent Trustees”), cast in person at a meeting called for the purpose of voting on such approval.
At anin-person meeting held on November27-28, 2018 (the “Meeting”), the Board of Trustees of the Bridge Builder Trust (the “Board”), including a majority of the Independent Trustees, considered and approved a newsub-advisory arrangement pursuant to an agreement with Diamond Hill Capital Management, Inc. (“Diamond Hill” or the“Sub-adviser”) with respect to the Bridge Builder Small/Mid Cap Value Fund (the “Fund”) (the“Sub-advisory Agreement”) for an initialtwo-year term.
In advance of thein-person Meeting and a telephonic meeting held on November 19, 2018, the Adviser and theSub-adviser furnished information to the Board necessary for the Board to evaluate the terms of theSub-advisory Agreement. The Board had the opportunity to ask questions and request further information in connection with its consideration. This information included materials describing, among other matters: (i) the nature, extent and quality of the services proposed to be provided by theSub-adviser; (ii) theSub-adviser’s investment management personnel; (iii) theSub-adviser’s operations; (iv) theSub-adviser’s investment philosophy and investment process; (v) thesub-advisory fees proposed to be payable to theSub-adviser; (vi) theSub-adviser’s policies and compliance procedures, including those related to personal securities transactions; and (vii) the investment performance of accounts managed by theSub-adviser employing amid-cap strategy similar to the portion of the Fund proposed to be managed by theSub-adviser.
At thein-person Meeting, representatives of the Adviser and theSub-adviser made presentations and responded to questions regarding theSub-adviser’s services, fees and other aspects of theSub-advisory Agreement. The Independent Trustees received advice from Fund counsel and from their independent legal counsel, including advice regarding the legal standards applicable to the consideration of advisory andsub-advisory arrangements, and met in executive session outside the presence of the interested Trustees, Fund management and representatives of the Adviser and theSub-adviser to discuss theSub-advisory Agreement and the services to be provided by theSub-adviser.
In considering the approval of theSub-advisory Agreement, the Board considered various factors, as discussed in further detail below:
1. The nature, extent and quality of the services to be provided by theSub-adviser under theSub-advisory Agreement. The Board reviewed the portfolio management services and investment process proposed by theSub-adviser, including how theSub-adviser’s investment philosophy and process complement those of the othersub-advisers that manage the Fund. The Board also reviewed the background and experience of theSub-adviser’s portfolio management personnel. The Board reviewed the resources of theSub-adviser, and the terms of the proposedSub-advisory Agreement. The Board also considered other services to be provided to the Fund by theSub-adviser under the Adviser’s supervision, such as monitoring adherence to the Fund’s investment restrictions, monitoring compliance with various Fund policies and procedures and with applicable securities laws and regulations, monitoring valuation and liquidity and selecting broker-dealers to execute portfolio transactions.
Based on the factors above, as well as those discussed below, the Board concluded, within the context of its full deliberations, that theSub-adviser is capable of providing services of the type and nature contemplated by the terms of theSub-advisory Agreement.
2. Fees and Other Expenses. The Board reviewed thesub-advisory fees proposed to be payable to theSub-adviser. The Board considered the potential impact of Diamond Hill’s fee to the Fund’s overall expenses, given the Adviser’s contractual agreement to waive its advisory fees to the extent advisory fees to be paid to the Adviser exceed thesub-advisory fees to be paid to the Fund’ssub-advisers. Based on the factors above, as well as those discussed
Semiannual Report • December 31, 2018 | 83 |
Bridge Builder Mutual Funds
Board Consideration of Sub-advisory Agreements (Unaudited) (Continued)
below, the Board concluded, within the context of its full deliberations, that thesub-advisory fees were reasonable in light of the nature and quality of the services expected to be rendered by theSub-adviser.
3. TheSub-adviser’s Investment Performance Record.Because theSub-adviser is new to the Fund, the Board was not able to evaluate an investment performance record for the portion of the Fund to be managed by theSub-adviser. The Board did consider theSub-adviser’s composite performance with respect to itsmid-cap strategy, and noted that it had a relatively short history. While there was no historicalSub-adviser performance information with respect to the Fund for review, the Board noted that it would have an opportunity to review such information in connection with future annual reviews of advisory andsub-advisory agreements.
4. Profitability and Economies of Scale. The Board did not consider profitability of theSub-adviser to be a material factor, given that theSub-adviser is not affiliated with the Adviser and, therefore, the fees were negotiated at arm’s length.
5. Indirect Benefits.The Board noted that Fund shares are currently available exclusively to investors participating in Edward Jones Advisory Solutions®, an investment advisory program or asset-based fee program, sponsored by Edward D. Jones & Co., L.P. (“Edward Jones”), an affiliate of the Adviser. Accordingly, the Board considered that Edward Jones receives asset-based fees from all investors in connection with their investments in the Fund.
The Board also considered potential“fall-out” or ancillary benefits to Diamond Hill, as a result of its relationship with the Fund. The Board considered that ancillary benefits could result from a greater allocation of assets under Diamond Hill’s management, potentially allowing theSub-adviser to leverage its increased trade volume to negotiate more favorable execution rates for all its clients. Ancillary benefits could also include benefits potentially derived from an increase in Diamond Hill’s business as a result of its relationship with the Fund (such as the ability to market to shareholders other financial products and services offered by Diamond Hill, or to operate other products and services that follow investment strategies similar to those of the Fund).
CONCLUSION
While formal Board action was not taken with respect to the conclusions discussed above, those conclusions formed, in part, the basis for the Board’s approval of theSub-advisory Agreement at the Meeting. The Board concluded, in the exercise of its reasonable judgment, that the terms of theSub-advisory Agreement, including the compensation to be paid thereunder, are reasonable in relation to the services expected to be provided by theSub-adviser to the Fund and that the appointment of theSub-adviser and the approval of theSub-advisory Agreement would be in the best interests of the Fund and its shareholders. Based on the Board’s deliberations and its evaluation of the information described above and other factors and information it believed relevant, the Board, including all of the Independent Trustees, unanimously approved (a) the appointment of theSub-adviser as asub-adviser to the Fund, and (b) theSub-advisory Agreement.
84 | Semiannual Report • December 31, 2018 |
Bridge Builder Mutual Funds
Board Consideration of Sub-advisory Agreements (Unaudited) (Continued)
Pursuant to Section 15 of the 1940 Act, a fund’s advisory andsub-advisory agreements must be approved: (i) by a vote of a majority of the shareholders of the fund; and (ii) by a vote of a majority of the members of the board who are not parties to the agreements or “interested persons” of any party, as defined in the 1940 Act (the “Independent Trustees”), cast in person at a meeting called for the purpose of voting on such approval.
At anin-person meeting held on November27-28, 2018 (the “Meeting”), the Board of Trustees of the Bridge Builder Trust (the “Board”), including a majority of the Independent Trustees, considered and approved a newsub-advisory arrangement pursuant to an agreement with Massachusetts Financial Services Company (d/b/a/ MFS Investment Management) (“MFS” or the“Sub-adviser”) with respect to the Bridge Builder Small/Mid Cap Value Fund (the “Fund”) (the“Sub-advisory Agreement”) for an initialtwo-year term.
In advance of thein-person Meeting and a telephonic meeting held on November 19, 2018, the Adviser and theSub-adviser furnished information to the Board necessary for the Board to evaluate the terms of theSub-advisory Agreement. The Board had the opportunity to ask questions and request further information in connection with its consideration. This information included materials describing, among other matters: (i) the nature, extent and quality of the services proposed to be provided by theSub-adviser; (ii) theSub-adviser’s investment management personnel; (iii) theSub-adviser’s operations; (iv) theSub-adviser’s investment philosophy and investment process; (v) thesub-advisory fees proposed to be payable to theSub-adviser; (vi) theSub-adviser’s policies and compliance procedures, including those related to personal securities transactions; and (vii) the investment performance of accounts managed by theSub-adviser employing a small cap value strategy similar to the portion of the Fund proposed to be managed by theSub-adviser.
At thein-person Meeting, representatives of the Adviser and theSub-adviser made presentations and responded to questions regarding theSub-adviser’s services, fees and other aspects of theSub-advisory Agreement. The Independent Trustees received advice from Fund counsel and from their independent legal counsel, including advice regarding the legal standards applicable to the consideration of advisory andsub-advisory arrangements, and met in executive session outside the presence of the interested Trustees, Fund management and representatives of the Adviser and theSub-adviser to discuss theSub-advisory Agreement and the services to be provided by theSub-adviser.
In considering the approval of theSub-advisory Agreement, the Board considered various factors, as discussed in further detail below:
1. The nature, extent and quality of the services to be provided by theSub-adviser under theSub-advisory Agreement. The Board reviewed the portfolio management services and investment process proposed by theSub-adviser, including how theSub-adviser’s investment philosophy and process complement those of the othersub-advisers that manage the Fund. The Board also reviewed the background and experience of theSub-adviser’s portfolio management personnel. The Board reviewed the resources of theSub-adviser, and the terms of the proposedSub-advisory Agreement. The Board also considered other services to be provided to the Fund by theSub-adviser under the Adviser’s supervision, such as monitoring adherence to the Fund’s investment restrictions, monitoring compliance with various Fund policies and procedures and with applicable securities laws and regulations, monitoring valuation and liquidity and selecting broker-dealers to execute portfolio transactions.
Based on the factors above, as well as those discussed below, the Board concluded, within the context of its full deliberations, that theSub-adviser is capable of providing services of the type and nature contemplated by the terms of theSub-advisory Agreement.
2. Fees and Other Expenses. The Board reviewed thesub-advisory fees proposed to be payable to theSub-adviser. The Board considered the potential impact of MFS’s fee to the Fund’s overall expenses, given the Adviser’s contractual agreement to waive its advisory fees to the extent advisory fees to be paid to the Adviser exceed thesub-advisory fees to be paid to the Fund’ssub-advisers. Based on the factors above, as well as those discussed
Semiannual Report • December 31, 2018 | 85 |
Bridge Builder Mutual Funds
Board Consideration of Sub-advisory Agreements (Unaudited) (Continued)
below, the Board concluded, within the context of its full deliberations, that thesub-advisory fees were reasonable in light of the nature and quality of the services expected to be rendered by theSub-adviser.
3. TheSub-adviser’s Investment Performance Record.Because theSub-adviser is new to the Fund, the Board was not able to evaluate an investment performance record for the portion of the Fund to be managed by theSub-adviser. The Board did consider theSub-adviser’s performance history with respect to similarly-managed investment accounts. While there was no historicalSub-adviser performance information with respect to the Fund for review, the Board noted that it would have an opportunity to review such information in connection with future annual reviews of advisory andsub-advisory agreements.
4. Profitability and Economies of Scale. The Board did not consider profitability of theSub-adviser to be a material factor, given that theSub-adviser is not affiliated with the Adviser and, therefore, the fees were negotiated at arm’s length.
5. Indirect Benefits.The Board noted that Fund shares are currently available exclusively to investors participating in Edward Jones Advisory Solutions®, an investment advisory program or asset-based fee program, sponsored by Edward D. Jones & Co., L.P. (“Edward Jones”), an affiliate of the Adviser. Accordingly, the Board considered that Edward Jones receives asset-based fees from all investors in connection with their investments in the Fund.
The Board also considered potential“fall-out” or ancillary benefits to MFS, as a result of its relationship with the Fund. The Board considered that ancillary benefits could result from a greater allocation of assets under MFS’s management, potentially allowing theSub-adviser to leverage its increased trade volume to negotiate more favorable execution rates for all its clients. Ancillary benefits could also include benefits potentially derived from an increase in MFS’s business as a result of its relationship with the Fund (such as the ability to market to shareholders other financial products and services offered by MFS, or to operate other products and services that follow investment strategies similar to those of the Fund).
CONCLUSION
While formal Board action was not taken with respect to the conclusions discussed above, those conclusions formed, in part, the basis for the Board’s approval of theSub-advisory Agreement at the Meeting. The Board concluded, in the exercise of its reasonable judgment, that the terms of theSub-advisory Agreement, including the compensation to be paid thereunder, are reasonable in relation to the services expected to be provided by theSub-adviser to the Fund and that the appointment of theSub-adviser and the approval of theSub-advisory Agreement would be in the best interests of the Fund and its shareholders. Based on the Board’s deliberations and its evaluation of the information described above and other factors and information it believed relevant, the Board, including all of the Independent Trustees, unanimously approved (a) the appointment of theSub-adviser as asub-adviser to the Fund, and (b) theSub-advisory Agreement.
86 | Semiannual Report • December 31, 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. 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 at1-855-823-3611. 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.
Semiannual Report • December 31, 2018 | 87 |
Bridge Builder Mutual Funds
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 areno 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 towww.bridgebuildermutualfunds.com |
88 | Semiannual Report • December 31, 2018 |
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
d/b/a U.S. Bank Global Fund Services
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
Item 2. Code of Ethics.
Not applicable for semi-annual reports.
Item 3. Audit Committee Financial Expert.
Not applicable for semi-annual reports.
Item 4. Principal Accountant Fees and Services.
Not applicable for semi-annual reports.
Item 5. Audit Committee of Listed Registrants.
Not applicable to registrants who are not listed issuers (as defined in Rule10A-3 under the Securities Exchange Act of 1934).
Item 6. Investments.
Bridge Builder Core Bond Fund
Schedule of Investments
December 31, 2018 (Unaudited)
Principal Amount | Value | |||||||
BONDS & NOTES—98.51% | ||||||||
Asset-Backed Obligations—12.50% | ||||||||
ABFC2005-AQ1 Trust | ||||||||
4.78%, 06/25/2035(1) | $ | 310,082 | $ | 315,716 | ||||
ABFC 2006-OPT1 Trust | ||||||||
2.66% (1 Month LIBOR USD + 0.15%, 0.15% Floor), 09/25/2036(2) | 3,501,902 | 3,399,744 | ||||||
Academic Loan Funding Trust2013-1 | ||||||||
3.31% (1 Month LIBOR USD + 0.80%), 12/26/2044(2)(3) | 883,667 | 880,625 | ||||||
Ajax Mortgage Loan Trust | ||||||||
3.47%, 04/25/2057(1)(3) | 949,612 | 941,888 | ||||||
Ajax Mortgage Loan Trust2016-C | ||||||||
4.00%, 10/25/2057(1)(3) | 2,104,917 | 2,102,430 | ||||||
Allegro CLO VII Ltd. | ||||||||
3.49% (3 Month LIBOR USD + 1.10%, 1.10% Floor), 06/13/2031(2)(3) | 12,000,000 | 11,804,784 | ||||||
American Credit Acceptance Receivables Trust2016-4 | ||||||||
2.91%, 02/13/2023(3) | 1,130,876 | 1,128,642 | ||||||
American Credit Acceptance Receivables Trust2017-2 | ||||||||
2.86%, 06/12/2023(3) | 5,996,000 | 5,979,409 | ||||||
3.69%, 06/12/2023(3) | 3,660,000 | 3,657,926 | ||||||
American Credit Acceptance Receivables Trust2018-2 | ||||||||
2.94%, 01/10/2022(3) | 3,922,268 | 3,914,718 | ||||||
American Credit Acceptance Receivables Trust2018-3 | ||||||||
2.92%, 08/12/2021(3) | 7,362,292 | 7,350,077 | ||||||
3.49%, 06/13/2022(3) | 1,533,000 | 1,535,474 | ||||||
American Express Credit Account Master Trust | ||||||||
1.93%, 09/15/2022 | 24,490,000 | 24,200,783 | ||||||
2.04%, 05/15/2023 | 14,026,000 | 13,809,911 | ||||||
2.91% (1 Month LIBOR USD + 0.45%), 09/16/2024(2) | 15,600,000 | 15,617,116 | ||||||
2.84% (1 Month LIBOR USD + 0.38%), 02/18/2025(2) | 5,700,000 | 5,697,722 | ||||||
2.84% (1 Month LIBOR USD + 0.38%), 04/15/2026(2) | 4,112,000 | 4,084,535 | ||||||
American Homes 4 Rent 2014-SFR2 Trust | ||||||||
3.79%, 10/17/2036(3) | 3,849,442 | 3,884,211 | ||||||
4.29%, 10/17/2036(3) | 300,000 | 310,009 | ||||||
6.23%, 10/17/2036(3) | 1,000,000 | 1,101,246 | ||||||
American Homes 4 Rent 2014-SFR3 Trust | ||||||||
4.60%, 12/18/2036(3) | 600,000 | 625,366 | ||||||
6.42%, 12/18/2036(3) | 1,000,000 | 1,113,497 | ||||||
3.47%, 04/18/2052(3) | 2,099,390 | 2,085,027 | ||||||
5.64%, 04/18/2052(3) | 3,900,000 | 4,174,669 | ||||||
American Homes 4 Rent 2015-SFR2 Trust | ||||||||
3.73%, 10/18/2052(3) | 1,824,123 | 1,857,722 | ||||||
AmeriCredit Automobile Receivables Trust | ||||||||
2.30%, 02/18/2022 | 1,153,000 | 1,141,605 | ||||||
2.71%, 08/18/2022 | 618,000 | 612,293 | ||||||
3.13%, 01/18/2023 | 1,387,000 | 1,378,757 | ||||||
AmeriCredit Automobile Receivables Trust2016-2 | ||||||||
1.60%, 11/09/2020 | 43,741 | 43,707 | ||||||
AmeriCredit Automobile Receivables Trust2016-4 | ||||||||
1.83%, 12/08/2021 | 900,000 | 889,249 | ||||||
AmeriCredit Automobile Receivables Trust2017-2 | ||||||||
3.42%, 04/18/2023 | 6,000,000 | 5,985,828 |
AmeriCredit Automobile Receivables Trust2017-3 | ||||||||
2.69%, 06/19/2023 | 3,050,000 | 3,013,157 | ||||||
AmeriCredit Automobile Receivables Trust2017-4 | ||||||||
1.83%, 05/18/2021 | 6,166,651 | 6,145,177 | ||||||
2.36%, 12/19/2022 | 5,355,000 | 5,287,020 | ||||||
2.60%, 09/18/2023 | 6,700,000 | 6,587,978 | ||||||
AmeriCredit Automobile Receivables Trust2018-1 | ||||||||
2.71%, 07/19/2021 | 6,135,972 | 6,125,290 | ||||||
3.50%, 01/18/2024 | 6,000,000 | 6,019,761 | ||||||
AmeriCredit Automobile Receivables Trust2018-2 | ||||||||
3.45%, 06/18/2024 | 7,636,000 | 7,674,933 | ||||||
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates Series2003-13 | ||||||||
5.05%, 01/25/2034(1) | 1,181 | 1,423 | ||||||
Amortizing Residential Collateral Trust2002-BC5 | ||||||||
3.54% (1 Month LIBOR USD + 1.04%, 0.69% Floor), 07/25/2032(2) | 2,504,446 | 2,479,828 | ||||||
Anchor Assets IX LLC | ||||||||
5.13%, 05/15/2020(3)(12) | 7,495,123 | 7,495,123 | ||||||
Anchorage Capital CLO2013-1 Ltd. | ||||||||
3.69% (3 Month LIBOR USD + 1.25%), 01/13/2031(2)(3) | 2,500,000 | 2,480,948 | ||||||
Apidos CLO XXIII | ||||||||
3.26% (3 Month LIBOR USD + 0.82%, 0.82% Floor), 01/15/2027(2)(3) | 10,000,000 | 9,903,970 | ||||||
Arcadia Receivables Credit Trust2017-1 | ||||||||
3.25%, 06/15/2023(3) | 226,286 | 226,233 | ||||||
Argent Securities, Inc. | ||||||||
3.65% (1 Month LIBOR USD + 1.14%, 0.57% Floor), 12/25/2033(2) | 3,223,761 | 3,225,061 | ||||||
3.55% (1 Month LIBOR USD + 1.04%, 0.52% Floor), 04/25/2034(2) | 3,667,317 | 3,659,113 | ||||||
2.85% (1 Month LIBOR USD + 0.34%, 0.34% Floor), 11/25/2035(2) | 2,327,985 | 2,322,386 | ||||||
Arivo2018-1 A FRN | ||||||||
5.74%, 09/15/2019(12) | 4,298,855 | 4,298,855 | ||||||
Asset Backed Securities Co. Home Equity Loan Trust Series2003-HE6 | ||||||||
3.19% (1 Month LIBOR USD + 0.68%, 0.34% Floor), 11/25/2033(2) | 1,862,969 | 1,808,843 | ||||||
Asset Backed Securities Co. Home Equity Loan Trust Series AEG2006-HE1 | ||||||||
2.72% (1 Month LIBOR USD + 0.22%, 0.22% Floor), 01/25/2036(2) | 3,411,715 | 3,394,016 | ||||||
Asset Backed Securities Co. Home Equity Loan Trust Series OOMC2006-HE3 | ||||||||
2.68% (1 Month LIBOR USD + 0.17%, 0.17% Floor), 03/25/2036(2) | 1,864,841 | 1,851,133 | ||||||
Asset-Backed Pass-Through Certificates Series2004-R2 | ||||||||
3.29% (1 Month LIBOR USD + 0.78%, 0.39% Floor), 04/25/2034(2) | 306,192 | 306,980 | ||||||
Atlas Senior Loan Fund III Ltd. | ||||||||
3.47% (3 Month LIBOR USD + 0.83%), 11/17/2027(2) (3) | 6,500,000 | 6,417,580 | ||||||
Atlas Senior Loan Fund Ltd. | ||||||||
3.74% (3 Month LIBOR USD + 1.30%), 01/16/2030(2) (3) | 3,750,000 | 3,730,721 | ||||||
Atlas Senior Loan Fund V Ltd. | ||||||||
3.70% (3 Month LIBOR USD + 1.26%), 07/16/2029(2) (3) | 4,250,000 | 4,210,216 | ||||||
Avis Budget Rental Car Funding AESOP LLC | ||||||||
2.46%, 07/20/2020(3) | 10,300,000 | 10,269,828 | ||||||
2.50%, 07/20/2021(3) | 6,300,000 | 6,240,196 | ||||||
2.63%, 12/20/2021(3) | 6,600,000 | 6,526,296 | ||||||
3.70%, 09/20/2024(3) | 6,200,000 | 6,281,387 | ||||||
4.00%, 03/20/2025(3) | 5,800,000 | 5,918,828 | ||||||
AXIS Equipment Finance Receivables IV LLC | ||||||||
2.21%, 11/20/2021(3) | 453,446 | 451,703 | ||||||
B2R Mortgage Trust2015-1 | ||||||||
2.52%, 05/15/2048(3) | 414,429 | 409,893 | ||||||
B2R Mortgage Trust2015-2 | ||||||||
3.34%, 11/18/2048(3) | 1,571,217 | 1,564,796 | ||||||
BA Credit Card Trust | ||||||||
1.95%, 08/15/2022 | 9,255,000 | 9,144,709 |
Bain Capital Credit CLO2018-1 | ||||||||
3.44% (3 Month LIBOR USD + 0.96%), 04/23/2031(2)(3) | 10,000,000 | 9,751,530 | ||||||
Bank of The West Auto Trust2018-1 | ||||||||
3.59%, 12/15/2023(3) | 10,755,000 | 10,930,096 | ||||||
Bayview Financial Mortgage Pass-Through Trust2007-B | ||||||||
6.83%, 08/28/2037(1) | 192,975 | 181,492 | ||||||
Bayview Opportunity Master Fund IIIa Trust2017-RN8 | ||||||||
3.35%, 11/29/2032(1)(3) | 1,031,258 | 1,026,796 | ||||||
Bayview Opportunity Master Fund IVa Trust2018-RN1 | ||||||||
3.28%, 01/28/2033(1)(3) | 526,820 | 526,965 | ||||||
Bayview Opportunity Master Fund Trust2018-RN8 | ||||||||
4.07%, 09/28/2033(1)(3) | 1,623,519 | 1,625,171 | ||||||
BCC Funding XIII LLC | ||||||||
2.20%, 12/20/2021(3) | 561,289 | 558,985 | ||||||
Bear Stearns Asset Backed Securities I Trust2004-HE6 | ||||||||
3.17% (1 Month LIBOR USD + 0.86%, 0.57% Floor), 08/25/2034(2) | 7,536,175 | 7,293,005 | ||||||
Bear Stearns Asset Backed Securities I Trust2004-HE7 | ||||||||
3.41% (1 Month LIBOR USD + 0.90%, 0.60% Floor), 08/25/2034(2) | 792,034 | 787,869 | ||||||
Bear Stearns Asset Backed Securities Trust2003-2 | ||||||||
4.01% (1 Month LIBOR USD + 1.50%, 0.75% Floor, 11.00% Cap), 03/25/2043(2) | 3,940,991 | 3,938,403 | ||||||
Bear Stearns Asset Backed Securities Trust2006-SD1 | ||||||||
2.88% (1 Month LIBOR USD + 0.37%, 0.37% Floor), 04/25/2036(2) | 14,268 | 14,210 | ||||||
BlueMountain CLO2015-1 Ltd. | ||||||||
3.77% (3 Month LIBOR USD + 1.33%), 04/13/2027(2)(3) | 775,000 | 774,649 | ||||||
BMW Floorplan Master Owner Trust | ||||||||
2.78% (1 Month LIBOR USD + 0.32%), 05/15/2023(2)(3) | 6,407,000 | 6,406,992 | ||||||
Business Jet Securities LLC2017-1 | ||||||||
4.34%, 02/15/2033(3) | 4,382,220 | 4,406,803 | ||||||
Business Jet Securities LLC2018-2 | ||||||||
4.45%, 06/15/2033(3) | 7,345,847 | 7,424,225 | ||||||
BXG Receivables Note Trust2012-A | ||||||||
2.66%, 12/02/2027(3) | 171,735 | 169,447 | ||||||
Camillo Issuer LLC 2016-SFR1 A | ||||||||
5.00%, 12/05/2023(12) | 5,050,451 | 5,039,405 | ||||||
Capital Auto Receivables Asset Trust2017-1 | ||||||||
1.76%, 06/22/2020(3) | 1,596,262 | 1,593,278 | ||||||
Capital Auto Receivables Asset Trust2018-1 | ||||||||
2.79%, 01/20/2022(3) | 9,415,000 | 9,391,068 | ||||||
Capital One Multi-Asset Execution Trust | ||||||||
2.00%, 01/17/2023 | 8,389,000 | 8,296,920 | ||||||
1.99%, 07/17/2023 | 4,469,000 | 4,399,718 | ||||||
3.04% (1 Month LIBOR USD + 0.58%), 07/15/2027(2) | 6,734,000 | 6,744,671 | ||||||
Carlyle Global Market Strategies CLO2014-1 Ltd. | ||||||||
3.42% (3 Month LIBOR USD + 0.97%, 0.97% Floor), 04/17/2031(2)(3) | 12,000,000 | 11,787,864 | ||||||
Carlyle U.S. CLO2017-2 Ltd. | ||||||||
3.70% (3 Month LIBOR USD + 1.23%), 04/21/2031(2)(3) | 5,500,000 | 5,477,687 | ||||||
3.69% (3 Month LIBOR USD + 1.22%), 07/21/2031(2)(3) | 3,000,000 | 2,985,903 | ||||||
CarMax Auto Owner Trust | ||||||||
1.64%, 09/15/2020 | 2,545,277 | 2,538,649 | ||||||
3.27%, 03/15/2024 | 4,370,000 | 4,411,874 | ||||||
CarMax Auto Owner Trust2018-2 | ||||||||
3.16%, 07/17/2023 | 2,635,000 | 2,650,173 | ||||||
Carmax Auto Owner Trust2018-4 | ||||||||
3.48%, 02/15/2024 | 6,737,000 | 6,870,308 | ||||||
Carrington Mortgage Loan Trust Series 2006-OPT1 | ||||||||
2.69% (1 Month LIBOR USD + 0.18%, 0.18% Floor), 12/25/2035(2) | 243,397 | 243,023 |
Catamaran CLO2014-2 Ltd. | ||||||||
3.84% (3 Month LIBOR USD + 1.40%), 10/18/2026(2)(3) | 1,000,000 | 999,631 | ||||||
Chase Funding Trust Series2003-4 | ||||||||
5.21%, 05/25/2033(1) | 141,684 | 143,178 | ||||||
Chase Funding Trust Series2003-6 | ||||||||
5.05%, 11/25/2034(1) | 208,837 | 215,480 | ||||||
5.05%, 11/25/2034(1) | 355,571 | 364,433 | ||||||
Chase Issuance Trust | ||||||||
2.66% (1 Month LIBOR USD + 0.20%), 04/17/2023(2) | 7,710,000 | 7,686,263 | ||||||
3.01% (1 Month LIBOR USD + 0.55%), 06/15/2023(2) | 11,000,000 | 11,054,190 | ||||||
2.86% (1 Month LIBOR USD + 0.40%), 03/15/2024(2) | 7,100,000 | 7,099,991 | ||||||
CIFC Funding2018-II Ltd. | ||||||||
3.51% (3 Month LIBOR USD + 1.04%), 04/21/2031(2)(3) | 10,000,000 | 9,811,110 | ||||||
Citi Held For Asset Issuance2016-MF1 | ||||||||
6.64%, 08/15/2022(3) | 593,096 | 593,768 | ||||||
Citibank Credit Card Issuance Trust | ||||||||
1.74%, 01/19/2021 | 18,360,000 | 18,348,185 | ||||||
2.76% (1 Month LIBOR USD + 0.37%), 08/08/2024(2) | 21,347,000 | 21,280,935 | ||||||
2.80% (1 Month LIBOR USD + 0.33%), 01/21/2025(2) | 8,712,000 | 8,661,184 | ||||||
3.12% (1 Month LIBOR USD + 0.62%, 0.62% Floor), 04/22/2026(2) | 10,900,000 | 10,956,057 | ||||||
3.96%, 10/15/2030 | 24,100,000 | 25,302,983 | ||||||
Citigroup Global Markets Mortgage Securities VII, Inc. | ||||||||
3.95%, 04/25/2032(1)(3) | 15,567 | 15,436 | ||||||
Citigroup Mortgage Loan Trust, Inc. | ||||||||
3.27% (1 Month LIBOR USD + 0.76%, 0.38% Floor), 12/25/2033(2) | 14,969 | 14,926 | ||||||
CLUB Credit Trust | ||||||||
3.82%, 01/15/2026(3) | 7,408,000 | 7,403,201 | ||||||
CLUB Credit Trust2017-NP1 | ||||||||
2.42%, 09/15/2023(3) | 1,113,167 | 1,110,036 | ||||||
CLUB Credit Trust2017-P2 | ||||||||
2.61%, 01/15/2024(3) | 2,300,985 | 2,287,377 | ||||||
Colony American Finance2016-2 Ltd. | ||||||||
2.55%, 11/18/2048(3) | 1,069,365 | 1,042,134 | ||||||
Commonbond Student Loan Trust2017-B-GS | ||||||||
2.68%, 09/25/2042(3) | 10,529,088 | 10,185,127 | ||||||
Commonbond Student Loan Trust2018-A-GS | ||||||||
3.21%, 02/25/2044(3) | 8,066,855 | 8,025,926 | ||||||
Commonbond Student Loan Trust2018-C-GS | ||||||||
3.18% (1 Month LIBOR USD + 0.80%, 0.80% Floor), 02/25/2046(2)(3) | 4,300,000 | 4,280,747 | ||||||
3.87%, 02/25/2046(3) | 3,200,000 | 3,206,054 | ||||||
Conseco Financial Co. | ||||||||
6.24%, 12/01/2028 | 14,714 | 14,922 | ||||||
6.22%, 03/01/2030 | 56,582 | 59,019 | ||||||
6.18%, 04/01/2030 | 17,391 | 18,022 | ||||||
Consumer Loan Underlying Bond Credit Trust2017-NP2 | ||||||||
2.55%, 01/16/2024(3) | 41,071 | 41,055 | ||||||
COOF Securitization Trust2014-1 Ltd. | ||||||||
3.14%, 06/15/2040 IO(3)(4) | 1,179,359 | 104,992 | ||||||
Countrywide Asset-Backed Certificates | ||||||||
5.43%, 02/25/2033(4) | 58,366 | 54,634 | ||||||
5.12%, 02/25/2035(1) | 32,291 | 32,407 | ||||||
4.44%, 12/25/2035(4) | 93,917 | 95,649 | ||||||
5.97%, 12/25/2035(4) | 76,122 | 68,345 | ||||||
CPS Auto Receivables Trust2014-C | ||||||||
3.77%, 08/17/2020(3) | 384,117 | 384,535 | ||||||
CPS Auto Receivables Trust2014-D | ||||||||
4.35%, 11/16/2020(3) | 481,419 | 483,237 |
CPS Auto Receivables Trust2015-A | ||||||||
4.00%, 02/16/2021(3) | 446,000 | 448,007 | ||||||
CPS Auto Receivables Trust2015-B | ||||||||
4.20%, 05/17/2021(3) | 1,905,000 | 1,918,771 | ||||||
CPS Auto Receivables Trust2015-C | ||||||||
4.63%, 08/16/2021(3) | 1,376,000 | 1,393,216 | ||||||
CPS Auto Receivables Trust2016-C | ||||||||
3.27%, 06/15/2022(3) | 840,000 | 839,832 | ||||||
CPS Auto Receivables Trust2017-B | ||||||||
2.92%, 02/15/2022(3) | 1,441,000 | 1,433,441 | ||||||
3.95%, 03/15/2023(3) | 3,485,000 | 3,495,129 | ||||||
CPS Auto Receivables Trust2017-C | ||||||||
1.78%, 09/15/2020(3) | 569,863 | 569,014 | ||||||
2.86%, 06/15/2023(3) | 2,300,000 | 2,284,482 | ||||||
3.79%, 06/15/2023(3) | 791,000 | 791,860 | ||||||
CPS Auto Receivables Trust2018-A | ||||||||
2.16%, 05/17/2021(3) | 3,230,486 | 3,220,629 | ||||||
CPS Auto Receivables Trust2018-D | ||||||||
3.06%, 01/18/2022(3) | 8,562,282 | 8,554,040 | ||||||
Credit Acceptance Auto Loan Trust2017-1 | ||||||||
2.56%, 10/15/2025(3) | 1,987,000 | 1,974,258 | ||||||
3.04%, 12/15/2025(3) | 871,000 | 863,673 | ||||||
3.48%, 02/17/2026(3) | 730,000 | 726,902 | ||||||
Credit Acceptance Auto Loan Trust2017-2 | ||||||||
3.35%, 06/15/2026(3) | 811,000 | 804,761 | ||||||
Credit Acceptance Auto Loan Trust2018-1 | ||||||||
3.01%, 02/16/2027(3) | 6,684,000 | 6,632,283 | ||||||
Credit Acceptance Auto Loan Trust2018-3 | ||||||||
3.55%, 08/16/2027(3) | 3,090,000 | 3,113,130 | ||||||
CSMC 2016-RPL1 Trust | ||||||||
5.50% (1 Month LIBOR USD + 3.15%, 3.15% Floor), 12/26/2046(2)(3) | 9,035,091 | 9,014,897 | ||||||
CSMC 2018-RPL8 Trust | ||||||||
4.07%, 07/25/2058(3) | 7,601,162 | 7,589,607 | ||||||
CWABS, Inc. Asset-Backed Certificates Series2003-5 | ||||||||
5.14%, 01/25/2034(4) | 21,396 | 21,655 | ||||||
CWABS, Inc. Asset-Backed Certificates Series2003-BC1 | ||||||||
3.31% (1 Month LIBOR USD + 0.80%, 0.40% Floor), 03/25/2033(2) | 543,594 | 536,300 | ||||||
CWABS, Inc. Asset-Backed Certificates Series2004-1 | ||||||||
3.26% (1 Month LIBOR USD + 0.75%, 0.50% Floor), 03/25/2034(2) | 38,453 | 38,509 | ||||||
3.33% (1 Month LIBOR USD + 0.83%, 0.55% Floor), 03/25/2034(2) | 7,840 | 7,748 | ||||||
3.07% (1 Month LIBOR USD + 0.56%, 0.28% Floor), 04/25/2034(2) | 1,112 | 1,064 | ||||||
CWABS, Inc. Asset-Backed Certificates Trust2004-15 | ||||||||
4.61%, 04/25/2035(4) | 6,475 | 6,492 | ||||||
CWABS, Inc. Asset-Backed Certificates Trust2004-6 | ||||||||
3.41% (1 Month LIBOR USD + 0.90%, 0.60% Floor), 10/25/2034(2) | 18,270 | 18,026 | ||||||
3.29% (1 Month LIBOR USD + 0.78%, 0.39% Floor), 11/25/2034(2) | 664,118 | 662,689 | ||||||
CWABS, Inc. Asset-Backed Certificates Trust2005-1 | ||||||||
5.03%, 06/25/2035(4) | 18,223 | 18,482 | ||||||
CWABS, Inc. Asset-Backed Certificates Trust2005-17 | ||||||||
5.56%, 03/25/2036(4) | 24,693 | 24,594 | ||||||
CWHEQ Home Equity Loan Trust Series2007-S1 | ||||||||
5.69%, 11/25/2036(4) | 4,169 | 4,241 | ||||||
Diamond Resorts Owner Trust | ||||||||
3.27%, 10/22/2029(3) | 2,185,937 | 2,172,075 | ||||||
Diamond Resorts Owner Trust2018-1 | ||||||||
3.70%, 01/21/2031(3) | 5,572,310 | 5,615,615 | ||||||
Discover Card Execution Note Trust | ||||||||
2.82% (1 Month LIBOR USD + 0.36%), 04/15/2025(2) | 7,906,000 | 7,872,067 |
Drive Auto Receivables Trust | ||||||||
2.78%, 10/15/2020 | 7,027,000 | 7,019,464 | ||||||
3.36%, 10/17/2022 | 6,753,000 | 6,739,782 | ||||||
3.66%, 11/15/2024 | 7,634,000 | 7,664,112 | ||||||
Drive Auto Receivables Trust2015-A | ||||||||
4.12%, 07/15/2022(3) | 1,766,000 | 1,772,319 | ||||||
Drive Auto Receivables Trust2015-B | ||||||||
3.84%, 07/15/2021(3) | 1,335,003 | 1,336,956 | ||||||
Drive Auto Receivables Trust2015-C | ||||||||
4.20%, 09/15/2021(3) | 686,588 | 688,593 | ||||||
Drive Auto Receivables Trust2016-C | ||||||||
4.18%, 03/15/2024(3) | 2,996,000 | 3,011,274 | ||||||
Drive Auto Receivables Trust2017-1 | ||||||||
2.84%, 04/15/2022 | 3,543,000 | 3,538,499 | ||||||
3.84%, 03/15/2023 | 5,373,000 | 5,392,378 | ||||||
Drive Auto Receivables Trust2017-2 | ||||||||
2.25%, 06/15/2021 | 1,336,424 | 1,335,463 | ||||||
2.75%, 09/15/2023 | 5,566,000 | 5,554,752 | ||||||
Drive Auto Receivables Trust2017-3 | ||||||||
2.30%, 05/17/2021 | 2,907,484 | 2,904,238 | ||||||
2.80%, 07/15/2022 | 2,493,000 | 2,486,675 | ||||||
3.53%, 12/15/2023(3) | 12,000,000 | 12,009,846 | ||||||
Drive Auto Receivables Trust2017-A | ||||||||
2.98%, 01/18/2022(3) | 1,194,397 | 1,193,211 | ||||||
4.16%, 05/15/2024(3) | 1,724,000 | 1,743,458 | ||||||
Drive Auto Receivables Trust2017-B | ||||||||
2.61%, 08/16/2021(3) | 2,250,114 | 2,246,559 | ||||||
3.72%, 10/17/2022(3) | 2,982,000 | 2,987,706 | ||||||
Drive Auto Receivables Trust2018-1 | ||||||||
2.88%, 02/15/2022 | 9,392,000 | 9,380,118 | ||||||
Drive Auto Receivables Trust2018-2 | ||||||||
3.22%, 04/15/2022 | 21,350,000 | 21,327,992 | ||||||
DT Auto Owner Trust2015-2 | ||||||||
4.25%, 02/15/2022(3) | 929,999 | 932,019 | ||||||
DT Auto Owner Trust2016-4 | ||||||||
2.74%, 10/17/2022(3) | 1,553,905 | 1,551,966 | ||||||
DT Auto Owner Trust2017-1 | ||||||||
3.55%, 11/15/2022(3) | 4,869,000 | 4,874,570 | ||||||
DT Auto Owner Trust2017-2 | ||||||||
3.03%, 01/17/2023(3) | 3,026,000 | 3,022,840 | ||||||
DT Auto Owner Trust2017-3 | ||||||||
3.58%, 05/15/2023(3) | 1,662,000 | 1,659,299 | ||||||
DT Auto Owner Trust2017-4 | ||||||||
1.85%, 08/17/2020(3) | 941,214 | 940,703 | ||||||
DT Auto Owner Trust2018-2 | ||||||||
3.43%, 05/16/2022(3) | 7,437,193 | 7,439,618 | ||||||
3.67%, 03/15/2024(3) | 8,250,000 | 8,289,269 | ||||||
DT Auto Owner Trust2018-3 | ||||||||
3.02%, 02/15/2022(3) | 10,964,926 | 10,932,431 | ||||||
DTAT Asset Trust2017-B | ||||||||
5.84%, 12/16/2022(3)(12) | 3,400,000 | 3,397,384 | ||||||
Engs Commercial Finance Trust2016-1 | ||||||||
2.63%, 02/22/2022(3) | 520,202 | 517,240 | ||||||
Exeter Automobile Receivables Trust2016-1 | ||||||||
5.52%, 10/15/2021(3) | 2,230,000 | 2,257,072 | ||||||
Exeter Automobile Receivables Trust2017-1 | ||||||||
3.95%, 12/15/2022(3) | 835,000 | 841,977 |
Exeter Automobile Receivables Trust2017-2 | ||||||||
2.82%, 05/16/2022(3) | 6,119,000 | 6,092,051 | ||||||
Exeter Automobile Receivables Trust2017-3 | ||||||||
2.05%, 12/15/2021(3) | 753,360 | 748,778 | ||||||
3.68%, 07/17/2023(3) | 3,836,000 | 3,846,073 | ||||||
Exeter Automobile Receivables Trust2018-1 | ||||||||
2.21%, 05/17/2021(3) | 2,448,597 | 2,444,620 | ||||||
Exeter Automobile Receivables Trust2018-3 | ||||||||
2.90%, 01/18/2022(3) | 4,784,222 | 4,777,859 | ||||||
Exeter Automobile Receivables Trust2018-4 | ||||||||
3.64%, 11/15/2022(3) | 2,743,000 | 2,742,406 | ||||||
First Investors Auto Owner Trust2015-2 | ||||||||
4.22%, 12/15/2021(3) | 280,000 | 281,694 | ||||||
First Investors Auto Owner Trust2017-1 | ||||||||
2.67%, 04/17/2023(3) | 2,767,000 | 2,746,791 | ||||||
3.60%, 04/17/2023(3) | 2,847,000 | 2,846,033 | ||||||
First Investors Auto Owner Trust2018-1 | ||||||||
2.84%, 05/16/2022(3) | 3,269,176 | 3,262,908 | ||||||
Flagship Credit Auto Trust2014-2 | ||||||||
3.95%, 12/15/2020(3) | 338,416 | 339,022 | ||||||
Flagship Credit Auto Trust2015-3 | ||||||||
2.38%, 10/15/2020(3) | 72,575 | 72,520 | ||||||
3.68%, 03/15/2022(3) | 568,000 | 569,299 | ||||||
4.65%, 03/15/2022(3) | 567,000 | 575,335 | ||||||
Flagship Credit Auto Trust2016-1 | ||||||||
2.77%, 12/15/2020(3) | 174,939 | 174,833 | ||||||
6.22%, 06/15/2022(3) | 3,000,000 | 3,101,586 | ||||||
Flagship Credit Auto Trust2016-4 | ||||||||
2.71%, 11/15/2022(3) | 1,743,000 | 1,730,364 | ||||||
Flagship Credit Auto Trust2017-2 | ||||||||
2.96%, 07/17/2023(3) | 5,195,000 | 5,157,532 | ||||||
3.62%, 07/17/2023(3) | 2,995,000 | 2,979,870 | ||||||
Flagship Credit Auto Trust2018-3 | ||||||||
3.79%, 12/16/2024(3) | 7,710,000 | 7,773,860 | ||||||
Ford Credit Auto Owner Trust 2016-REV1 | ||||||||
2.31%, 08/15/2027(3) | 7,000,000 | 6,904,140 | ||||||
Ford Credit Auto Owner Trust 2016-REV2 | ||||||||
2.03%, 12/15/2027(3) | 10,000,000 | 9,753,379 | ||||||
Ford Credit Auto Owner Trust2017-B | ||||||||
1.49%, 05/15/2020 | 2,272,406 | 2,267,050 | ||||||
Ford Credit Auto Owner Trust2017-C | ||||||||
2.01%, 03/15/2022 | 4,177,000 | 4,127,925 | ||||||
Ford Credit Auto Owner Trust2018-B | ||||||||
3.38%, 03/15/2024 | 6,781,000 | 6,867,145 | ||||||
Ford Credit Auto Owner Trust 2018-REV1 | ||||||||
3.19%, 07/15/2031(3) | 13,500,000 | 13,394,867 | ||||||
FORT CRE2018-1 LLC | ||||||||
5.31% (1 Month LIBOR USD + 2.83%, 2.83% Floor), 12/21/2023(2)(3) | 11,800,000 | 11,794,784 | ||||||
Foundation Finance Trust2017-1 | ||||||||
3.30%, 07/15/2033(3) | 3,002,042 | 2,981,348 | ||||||
Foursight Capital Automobile Receivables Trust2017-1 | ||||||||
3.05%, 12/15/2022(3) | 4,000,000 | 3,970,740 | ||||||
FREED ABS TRUST2018-1 | ||||||||
3.61%, 07/18/2024(3) | 3,840,929 | 3,839,702 | ||||||
FREED ABS TRUST2018-2 | ||||||||
3.99%, 10/20/2025(3) | 7,877,427 | 7,885,855 |
Fremont Home Loan Trust2004-2 | ||||||||
3.36% (1 Month LIBOR USD + 0.86%, 0.57% Floor), 07/25/2034(2) | 1,229,294 | 1,220,455 | ||||||
Galaxy XXIX CLO Ltd. | ||||||||
3.41% (3 Month LIBOR USD + 0.79%), 11/16/2026(2)(3) | 6,000,000 | 5,966,886 | ||||||
GCAT2017-2 LLC | ||||||||
3.50%, 04/25/2047(1)(3) | 1,240,594 | 1,230,516 | ||||||
GCAT2018-1 LLC | ||||||||
3.84%, 06/25/2048(1)(3) | 2,104,999 | 2,088,655 | ||||||
GE Capital Mortgage Services, Inc.1999-HE1 Trust | ||||||||
6.27%, 04/25/2029 | 33 | 34 | ||||||
6.71%, 04/25/2029(4) | 27,276 | 22,546 | ||||||
GE Mortgage Services LLC | ||||||||
6.74%, 12/25/2028 | 4 | 3 | ||||||
GLS Auto Receivables Trust2016-1 | ||||||||
4.39%, 01/15/2021(3) | 588,387 | 589,640 | ||||||
GM Financial Consumer Automobile2017-1 | ||||||||
1.78%, 10/18/2021(3) | 7,967,000 | 7,895,752 | ||||||
GM Financial Consumer Automobile Receivables Trust2018-1 | ||||||||
2.32%, 07/18/2022 | 5,307,000 | 5,252,449 | ||||||
GM Financial Consumer Automobile Receivables Trust2018-4 | ||||||||
3.32%, 06/17/2024 | 8,792,000 | 8,872,719 | ||||||
3.62%, 06/17/2024 | 1,400,000 | 1,422,886 | ||||||
GMAT2013-1 Trust | ||||||||
6.97%, 08/25/2053(1)(3) | 79,195 | 79,222 | ||||||
GMF Floorplan Owner Revolving Trust | ||||||||
3.31% (1 Month LIBOR USD + 0.85%), 05/17/2021(2)(3) | 4,900,000 | 4,910,394 | ||||||
Gold Key Resorts2014-A LLC | ||||||||
3.22%, 03/17/2031(3) | 476,820 | 473,967 | ||||||
Golden Bear2016-R LLC | ||||||||
5.65%, 09/20/2047(3) | 2,103,406 | 2,135,153 | ||||||
Goodgreen2017-1 Trust | ||||||||
3.74%, 10/15/2052(3) | 1,680,752 | 1,698,492 | ||||||
Goodgreen2017-2 Trust | ||||||||
3.26%, 10/15/2053(3) | 4,556,997 | 4,486,007 | ||||||
Goodgreen2017-R1 Trust | ||||||||
5.00%, 10/20/2052(3)(4)(12) | 5,623,667 | 5,496,010 | ||||||
Greenwood Park CLO Ltd. | ||||||||
3.45% (3 Month LIBOR USD + 1.01%), 04/15/2031(2)(3) | 23,000,000 | 22,812,435 | ||||||
Greywolf CLO VI Ltd. | ||||||||
3.54% (3 Month LIBOR USD + 1.03%), 04/26/2031(2)(3) | 14,000,000 | 13,731,816 | ||||||
GSAA Trust | ||||||||
2.78% (1 Month LIBOR USD + 0.27%, 0.27% Floor), 06/25/2035(2) | 186,862 | 186,217 | ||||||
GSAMP Trust 2005-WMC2 | ||||||||
3.13% (1 Month LIBOR USD + 0.62%, 0.31% Floor), 11/25/2035(2) | 1,708,223 | 1,707,173 | ||||||
GSAMP Trust2006-HE7 | ||||||||
2.74% (1 Month LIBOR USD + 0.23%, 0.23% Floor), 10/25/2036(2) | 1,317,148 | 1,304,169 | ||||||
HERO Funding2017-3 | ||||||||
3.95%, 09/20/2048(3) | 4,168,464 | 4,255,545 | ||||||
HERO Funding II2016-3B | ||||||||
5.24%, 09/22/2042(3) | 1,188,232 | 1,202,205 | ||||||
HERO Funding Trust2016-2 | ||||||||
3.75%, 09/20/2041(3) | 2,429,628 | 2,460,088 | ||||||
HERO Funding Trust2016-3 | ||||||||
3.08%, 09/22/2042(3) | 1,066,634 | 1,043,494 | ||||||
HERO Funding Trust2016-4A | ||||||||
3.57%, 09/20/2047(3) | 3,251,780 | 3,290,355 | ||||||
HERO Funding Trust2017-1A | ||||||||
4.46%, 09/20/2047(3) | 5,548,718 | 5,754,150 |
HERO Funding Trust2017-2A | ||||||||
3.28%, 09/20/2048(3) | 5,299,702 | 5,302,029 | ||||||
Hertz Vehicle Financing II LP | ||||||||
2.32%, 03/25/2020(3) | 7,500,000 | 7,482,650 | ||||||
Hilton Grand Vacations Trust2017-A | ||||||||
2.66%, 12/26/2028(3) | 1,765,698 | 1,747,410 | ||||||
Home Equity Mortgage Loan Asset-Backed Trust Series INABS2006-A | ||||||||
2.71% (1 Month LIBOR USD + 0.20%, 0.20% Floor), 03/25/2036(2) | 40,179 | 39,395 | ||||||
Honda Auto Receivables2017-4 Owner Trust | ||||||||
2.05%, 11/22/2021 | 4,955,000 | 4,906,041 | ||||||
Hyundai Auto Receivables Trust2018-B | ||||||||
3.29%, 01/15/2025 | 5,012,000 | 5,061,004 | ||||||
IMC Home Equity Loan Trust1997-5 | ||||||||
6.88%, 11/20/2028 | 75 | 75 | ||||||
JP Morgan Mortgage Acquisition Trust2006-CH1 | ||||||||
2.64% (1 Month LIBOR USD + 0.13%, 0.13% Floor), 07/25/2036(2) | 1,202,915 | 1,198,614 | ||||||
Kabbage Asset Securitization LLC | ||||||||
4.57%, 03/15/2022(3) | 12,810,000 | 12,895,764 | ||||||
5.79%, 03/15/2022(3) | 3,710,000 | 3,745,275 | ||||||
KGS-Alpha SBA COOF Trust | ||||||||
0.63%, 05/25/2039 IO(3)(4) | 2,949,565 | 43,034 | ||||||
KGS-Alpha SBA COOF Trust2014-2 | ||||||||
3.22%, 04/25/2040 IO(3)(4) | 1,142,255 | 92,397 | ||||||
KKR CLO 11 Ltd. | ||||||||
3.62% (3 Month LIBOR USD + 1.18%), 01/15/2031(2)(3) | 6,250,000 | 6,182,844 | ||||||
KSBA2012-2 A | ||||||||
0.93%, 08/25/2038(3)(4) | 4,104,881 | 100,057 | ||||||
KVK CLO2018-1 Ltd. | ||||||||
3.57% (3 Month LIBOR USD + 0.93%), 05/20/2029(2)(3) | 25,000,000 | 24,659,350 | ||||||
Laurel Road Prime Student Loan Trust2017-C | ||||||||
2.81%, 11/25/2042(3) | 6,200,000 | 6,034,140 | ||||||
Laurel Road Prime Student Loan Trust2018-B | ||||||||
3.54%, 05/26/2043(3) | 10,200,000 | 10,202,237 | ||||||
LendingClub Issuance Trust Series2016-NP1 | ||||||||
6.50%, 06/15/2022(3) | 515,146 | 515,725 | ||||||
Lendmark Funding Trust2017-1 | ||||||||
2.83%, 12/22/2025(3) | 2,508,000 | 2,474,558 | ||||||
5.41%, 12/22/2025(3) | 3,500,000 | 3,572,432 | ||||||
Lendmark Funding Trust2018-1 | ||||||||
5.03%, 12/21/2026(3) | 1,900,000 | 1,919,864 | ||||||
Long Beach Mortgage Loan Trust2004-1 | ||||||||
3.26% (1 Month LIBOR USD + 0.75%, 0.50% Floor), 02/25/2034(2) | 830,815 | 821,377 | ||||||
Long Beach Mortgage Loan Trust2004-3 | ||||||||
3.36% (1 Month LIBOR USD + 0.86%, 0.57% Floor), 07/25/2034(2) | 40,022 | 39,705 | ||||||
LV Tower 52 Issuer2013-1 | ||||||||
5.75%, 07/15/2019(3)(12) | 4,049,798 | 4,049,798 | ||||||
7.75%, 07/15/2019(3)(12) | 1,544,838 | 1,544,837 | ||||||
Magnetite XVI Ltd. | ||||||||
3.24% (3 Month LIBOR USD + 0.80%), 01/18/2028(2)(3) | 12,000,000 | 11,886,720 | ||||||
Man GLG U.S. CLO2018-2 Ltd. | ||||||||
3.89% (3 Month LIBOR USD + 1.24%, 1.24% Floor), 10/16/2028(2)(3) | 8,000,000 | 7,942,832 | ||||||
Mariner Finance Issuance Trust2017-A | ||||||||
3.62%, 02/20/2029(3) | 2,999,000 | 2,999,044 | ||||||
Marlette Funding Trust2017-1 | ||||||||
2.83%, 03/15/2024(3) | 465,552 | 465,308 | ||||||
Marlette Funding Trust2017-2 | ||||||||
2.39%, 07/15/2024(3) | 1,567,215 | 1,565,224 |
Marlette Funding Trust2018-1 | ||||||||
2.61%, 03/15/2028(3) | 2,296,543 | 2,289,299 | ||||||
Marlette Funding Trust2018-2 | ||||||||
3.06%, 07/17/2028(3) | 3,717,738 | 3,712,114 | ||||||
Marlette Funding Trust2018-4 | ||||||||
3.71%, 12/15/2028(3) | 6,923,725 | 6,939,503 | ||||||
MASTR Asset Backed Securities Trust2006-NC1 | ||||||||
3.11% (1 Month LIBOR USD + 0.60%, 0.30% Floor), 01/25/2036(2) | 1,695,851 | 1,695,654 | ||||||
MidOcean Credit CLO III | ||||||||
3.59% (3 Month LIBOR USD + 1.12%, 1.12% Floor), 04/21/2031(2)(3) | 15,400,000 | 15,133,380 | ||||||
MidOcean Credit CLO IX | ||||||||
3.40% (3 Month LIBOR USD + 1.15%, 1.15% Floor), 07/21/2031(2)(3) | 4,000,000 | 3,935,088 | ||||||
MidOcean Credit CLO VIII | ||||||||
3.47% (3 Month LIBOR USD + 1.15%), 02/20/2031(2)(3) | 18,000,000 | 17,724,852 | ||||||
Mid-State Capital Co.2006-1 Trust | ||||||||
6.08%, 10/15/2040(3) | 755,799 | 817,411 | ||||||
Mid-State Capital Trust2010-1 | ||||||||
3.50%, 12/15/2045(3) | 271,271 | 275,166 | ||||||
5.25%, 12/15/2045(3) | 488,141 | 505,919 | ||||||
Mill Creek II CLO Ltd. | ||||||||
4.22% (3 Month LIBOR USD + 1.75%), 04/20/2028(2)(3) | 3,750,000 | 3,755,509 | ||||||
Morgan Stanley ABS Capital I, Inc. Trust2004-NC8 | ||||||||
3.42% (1 Month LIBOR USD + 0.92%, 0.61% Floor), 09/25/2034(2) | 5,000,902 | 4,976,730 | ||||||
Morgan Stanley ABS Capital I, Inc. Trust2004-OP1 | ||||||||
3.38% (1 Month LIBOR USD + 0.87%, 0.58% Floor), 11/25/2034(2) | 5,620,012 | 5,569,988 | ||||||
Mountain View CLO2015-9 Ltd. | ||||||||
3.56% (3 Month LIBOR USD + 1.12%), 07/15/2031(2)(3) | 20,000,000 | 19,650,000 | ||||||
Navient Private Education Refi Loan Trust2018-A | ||||||||
3.19%, 02/18/2042(3) | 15,200,000 | 14,974,058 | ||||||
Navient Private Education Refi Loan Trust2018-C | ||||||||
3.52%, 06/16/2042(3) | 5,700,000 | 5,743,861 | ||||||
Navient Student Loan Trust2018-EA | ||||||||
4.00%, 12/15/2059(3) | 6,200,000 | 6,336,355 | ||||||
New Century Home Equity Loan Trust Series2003-5 | ||||||||
5.08%, 11/25/2033(1) | 188,175 | 189,867 | ||||||
New Residential Mortgage Trust2018-1 | ||||||||
4.00%, 12/25/2057(3)(4) | 10,034,899 | 10,082,684 | ||||||
Nissan Auto Receivables2018-C Owner Trust | ||||||||
3.27%, 06/16/2025 | 6,080,000 | 6,153,974 | ||||||
Nomura Home Equity Loan, Inc. Home Equity Loan Trust Series2006-FM1 | ||||||||
2.74% (1 Month LIBOR USD + 0.23%, 0.23% Floor), 11/25/2035(2) | 10,739,140 | 10,606,048 | ||||||
NYMT Residential2016-RP1 | ||||||||
4.00%, 03/25/2021(1)(3) | 71,596 | 71,422 | ||||||
Oak Hill Advisors Residential Loan Trust 2017-NPL2 | ||||||||
3.00%, 07/25/2057(1)(3) | 3,291,844 | 3,218,872 | ||||||
Oak Hill Advisors Residential Loan Trust 2017-NPLA | ||||||||
3.00%, 06/25/2057(1)(3) | 2,648,483 | 2,594,953 | ||||||
Oakwood Mortgage Investors, Inc. | ||||||||
6.45%, 12/15/2023 | 2,072 | 2,095 | ||||||
OCP CLO2017-13 Ltd. | ||||||||
3.70% (3 Month LIBOR USD + 1.26%), 07/15/2030(2)(3) | 4,250,000 | 4,221,168 | ||||||
Ocwen Master Advance Receivables Trust | ||||||||
3.81%, 08/16/2049(3) | 1,500,000 | 1,476,408 | ||||||
Ocwen Master Advance Receivables Trust Series2018-T1 | ||||||||
3.65%, 08/15/2049(3) | 6,300,000 | 6,292,566 | ||||||
OL SP2018-B LLC | ||||||||
4.16%, 02/09/2030 | 3,681,733 | 3,665,872 | ||||||
4.61%, 02/09/2030 | 800,377 | 800,893 |
OnDeck Asset Securitization Trust LLC | ||||||||
3.50%, 04/18/2022(3) | 5,796,000 | 5,802,883 | ||||||
OneMain Direct Auto Receivables Trust2017-1 | ||||||||
2.16%, 10/15/2020(3) | 4,950,118 | 4,933,830 | ||||||
OneMain Direct Auto Receivables Trust2017-2 | ||||||||
2.55%, 11/14/2023(3) | 17,900,000 | 17,718,392 | ||||||
2.82%, 07/15/2024(3) | 4,300,000 | 4,256,806 | ||||||
OneMain Direct Auto Receivables Trust2018-1 | ||||||||
3.43%, 12/16/2024(3) | 19,400,000 | 19,436,179 | ||||||
OneMain Financial Issuance Trust2015-1 | ||||||||
3.19%, 03/18/2026(3) | 671,018 | 670,474 | ||||||
3.85%, 03/18/2026(3) | 500,000 | 501,358 | ||||||
OneMain Financial Issuance Trust2015-2 | ||||||||
3.10%, 07/18/2025(3) | 646,637 | 646,307 | ||||||
OneMain Financial Issuance Trust2016-1 | ||||||||
3.66%, 02/20/2029(3) | 2,645,000 | 2,649,826 | ||||||
6.00%, 02/20/2029(3) | 1,900,000 | 1,942,462 | ||||||
OneMain Financial Issuance Trust2017-1 | ||||||||
3.24% (1 Month LIBOR USD + 0.80%), 09/14/2032(2)(3) | 10,975,000 | 11,000,099 | ||||||
OneMain Financial Issuance Trust2018-1 | ||||||||
3.30%, 03/14/2029(3) | 3,060,000 | 3,062,228 | ||||||
Oportun Funding VI LLC | ||||||||
3.23%, 06/08/2023(3) | 1,957,000 | 1,939,359 | ||||||
3.97%, 06/08/2023(3)(4) | 5,150,000 | 5,106,739 | ||||||
Oportun Funding VII LLC | ||||||||
3.22%, 10/10/2023(3) | 1,691,000 | 1,674,586 | ||||||
Oportun Funding VIII LLC | ||||||||
3.61%, 03/08/2024(3) | 2,978,000 | 2,951,118 | ||||||
Oportun Funding X LLC | ||||||||
4.10%, 10/08/2024(3) | 5,900,000 | 5,955,005 | ||||||
Oportun Funding XII LLC | ||||||||
4.15%, 12/09/2024(3) | 4,200,000 | 4,242,677 | ||||||
Option One Mortgage Loan Trust2004-3 | ||||||||
3.41% (1 Month LIBOR USD + 0.90%, 0.45% Floor), 11/25/2034(2) | 1,691,802 | 1,595,664 | ||||||
OZLM Funding IV Ltd. | ||||||||
3.72% (3 Month LIBOR USD + 1.25%), 10/22/2030(2)(3) | 10,000,000 | 9,924,950 | ||||||
OZLM XI Ltd. | ||||||||
3.77% (3 Month LIBOR USD + 1.25%), 10/30/2030(2)(3) | 5,000,000 | 4,962,010 | ||||||
OZLM XV Ltd. | ||||||||
3.96% (3 Month LIBOR USD + 1.49%), 01/20/2029(2)(3) | 7,750,000 | 7,743,343 | ||||||
OZLM XXII Ltd. | ||||||||
3.52% (3 Month LIBOR USD + 1.07%), 01/17/2031(2)(3) | 7,000,000 | 6,883,093 | ||||||
Palmer Square CLO2014-1 Ltd. | ||||||||
3.58% (3 Month LIBOR USD + 1.13%, 1.13% Floor), 01/17/2031(2)(3) | 4,000,000 | 3,951,640 | ||||||
Palmer Square CLO2015-1 Ltd. | ||||||||
3.95% (3 Month LIBOR USD + 1.30%, 1.30% Floor), 05/21/2029(2)(3) | 8,000,000 | 7,963,400 | ||||||
Palmer Square CLO2015-2 Ltd. | ||||||||
3.74% (3 Month LIBOR USD + 1.27%), 07/22/2030(2)(3) | 13,925,000 | 13,837,203 | ||||||
Palmer Square CLO2018-2 Ltd. | ||||||||
3.36% (3 Month LIBOR USD + 1.10%), 07/16/2031(2)(3) | 20,000,000 | 19,678,980 | ||||||
Park Avenue Institutional Advisers CLO Ltd.2018-1 | ||||||||
3.77% (3 Month LIBOR USD + 1.28%, 1.28% Floor), 10/20/2031(2)(3) | 21,500,000 | 21,292,439 | ||||||
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates Series2005-WCH | ||||||||
3.35% (1 Month LIBOR USD + 0.84%, 0.56% Floor), 01/25/2035(2) | 2,384,577 | 2,383,350 | ||||||
Pretium Mortgage Credit Partners I 2018-NPL4 LLC | ||||||||
4.83%, 09/27/2058(1)(3) | 6,228,581 | 6,239,819 |
Progress Residential 2015-SFR2 Trust | ||||||||
3.14%, 06/12/2032(3) | 2,012,000 | 1,994,221 | ||||||
2.74%, 06/14/2032(3) | 3,347,922 | 3,305,542 | ||||||
3.44%, 06/14/2032(3) | 2,138,000 | 2,124,917 | ||||||
4.43%, 06/14/2032(3) | 892,000 | 892,514 | ||||||
Progress Residential 2015-SFR3 Trust | ||||||||
3.07%, 11/15/2032(3) | 5,203,699 | 5,156,275 | ||||||
4.67%, 11/15/2032(3) | 295,000 | 298,642 | ||||||
5.66%, 11/15/2032(3) | 1,000,000 | 1,022,596 | ||||||
Progress Residential 2017-SFR1 Trust | ||||||||
3.02%, 08/17/2034(3) | 2,000,000 | 1,957,977 | ||||||
Progress Residential 2018-SFR2 Trust | ||||||||
4.34%, 08/17/2035(3) | 2,390,000 | 2,384,994 | ||||||
4.66%, 08/17/2035(3) | 3,853,000 | 3,832,431 | ||||||
Prosper Marketplace Issuance Trust Series2017-1 | ||||||||
2.41%, 09/15/2023(3) | 140,518 | 140,435 | ||||||
2.36%, 11/15/2023(3) | 1,131,443 | 1,128,400 | ||||||
PRPM2017-2 LLC | ||||||||
3.47%, 09/25/2022(1)(3) | 2,509,430 | 2,487,271 | ||||||
Purchasing Power Funding2018-A LLC | ||||||||
3.34%, 08/15/2022(3) | 10,875,000 | 10,841,656 | ||||||
RAMP Series2005-RS1 Trust | ||||||||
4.71%, 11/25/2034 | 2,511 | 2,511 | ||||||
RASC Series2005-KS6 Trust | ||||||||
3.44% (1 Month LIBOR USD + 0.93%, 0.62% Floor), 07/25/2035(2) | 318,660 | 319,174 | ||||||
RCO Mortgage LLC2017-1 | ||||||||
3.38%, 08/25/2022(1)(3) | 3,211,885 | 3,193,026 | ||||||
RCO V Mortgage LLC2018-1 | ||||||||
4.00%, 05/25/2023(1)(3) | 5,969,890 | 5,948,108 | ||||||
Regional Management Issuance Trust2018-1 | ||||||||
4.28%, 07/15/2027(3) | 3,100,000 | 3,127,260 | ||||||
Renaissance Home Equity Loan Trust | ||||||||
5.61%, 04/25/2037(1)(9) | 299,687 | 133,421 | ||||||
Renew2017-1 | ||||||||
3.67%, 09/20/2052(3) | 2,205,712 | 2,219,195 | ||||||
Rice Park Financing Trust2016-A | ||||||||
4.63%, 11/30/2021(3) | 4,346,982 | 4,361,048 | ||||||
Santander Drive Auto Receivables Trust2015-5 | ||||||||
4.67%, 02/15/2023(3) | 9,500,000 | 9,596,370 | ||||||
Santander Drive Auto Receivables Trust2017-1 | ||||||||
2.10%, 06/15/2021 | 4,343,393 | 4,332,883 | ||||||
2.58%, 05/16/2022 | 3,957,000 | 3,934,918 | ||||||
3.17%, 04/17/2023 | 5,074,000 | 5,057,333 | ||||||
Santander Drive Auto Receivables Trust2017-2 | ||||||||
2.79%, 08/15/2022 | 13,150,000 | 13,087,668 | ||||||
3.49%, 07/17/2023 | 1,633,000 | 1,624,344 | ||||||
Santander Drive Auto Receivables Trust2017-3 | ||||||||
2.76%, 12/15/2022 | 4,350,000 | 4,323,822 | ||||||
Santander Drive Auto Receivables Trust2018-1 | ||||||||
2.96%, 03/15/2024 | 3,900,000 | 3,882,321 | ||||||
Santander Drive Auto Receivables Trust2018-2 | ||||||||
3.35%, 07/17/2023 | 4,800,000 | 4,804,701 | ||||||
Santander Drive Auto Receivables Trust2018-4 | ||||||||
3.56%, 07/15/2024 | 3,017,000 | 3,039,355 | ||||||
Santander Drive Auto Receivables Trust2018-5 | ||||||||
3.81%, 12/16/2024 | 8,470,000 | 8,527,571 |
Santander Retail Auto Lease Trust2018-A | ||||||||
2.93%, 05/20/2021(3) | 4,433,000 | 4,427,506 | ||||||
SART2018-1 4.75 15 JUN 2025 | ||||||||
4.75%, 06/15/2025(12) | 14,000,000 | 14,000,000 | ||||||
Saxon Asset Securities Trust2003-1 | ||||||||
4.65%, 06/25/2033(1) | 30,069 | 30,310 | ||||||
Securitized Asset Backed Receivables LLC Trust2006-CB1 | ||||||||
3.37%, 01/25/2036(1) | 63,852 | 54,934 | ||||||
Silvermore CLO Ltd. | ||||||||
3.79% (3 Month LIBOR USD + 1.17%), 05/15/2026(2)(3) | 6,810,282 | 6,808,470 | ||||||
SoFi Consumer Loan Program2016-2 LLC | ||||||||
3.09%, 10/27/2025(3) | 581,136 | 579,923 | ||||||
SoFi Consumer Loan Program2018-1 Trust | ||||||||
3.14%, 02/25/2027(3) | 9,150,000 | 9,124,672 | ||||||
SoFi Professional Loan Program2017-F LLC | ||||||||
2.84%, 01/25/2041(3) | 18,200,000 | 17,782,528 | ||||||
SoFi Professional Loan Program2018-B Trust | ||||||||
2.64%, 08/25/2047(3) | 8,075,652 | 8,037,846 | ||||||
3.34%, 08/25/2047(3) | 8,900,000 | 8,915,710 | ||||||
Sonoran Auto Receivables Trust2017-1 TERM | ||||||||
4.75%, 10/17/2025(12) | 12,720,452 | 12,732,409 | ||||||
Sound Point CLO II Ltd. | ||||||||
3.58% (3 Month LIBOR USD + 1.07%, 1.07% Floor), 01/27/2031(2)(3) | 9,000,000 | 8,847,846 | ||||||
Sound Point CLO XVI Ltd. | ||||||||
3.77% (3 Month LIBOR USD + 1.28%), 07/25/2030(2)(3) | 7,750,000 | 7,703,299 | ||||||
Specialty Underwriting & Residential Finance Trust Series2004-BC4 | ||||||||
3.18% (1 Month LIBOR USD + 0.67%, 0.34% Floor), 10/25/2035(2) | 193,350 | 191,868 | ||||||
Springleaf Funding Trust2015-A | ||||||||
3.16%, 11/15/2024(3) | 4,570,755 | 4,564,450 | ||||||
3.62%, 11/15/2024(3) | 1,087,000 | 1,085,272 | ||||||
Springleaf Funding Trust2017-A | ||||||||
2.68%, 07/15/2030(3) | 9,900,000 | 9,729,567 | ||||||
Structured Asset Securities Co. Mortgage Loan Trust2005-7XS | ||||||||
5.44%, 04/25/2035(1) | 2,625 | 2,669 | ||||||
Structured Asset Securities Co. Mortgage Pass-Through Certificates Series2002-al1 | ||||||||
3.45%, 02/25/2032 | 35,129 | 34,604 | ||||||
3.45%, 02/25/2032 | 74,684 | 72,850 | ||||||
Structured Asset Securities Co. Mortgage Pass-Through Certificates Series2004-6XS | ||||||||
6.03%, 03/25/2034(1) | 129,764 | 131,459 | ||||||
6.05%, 03/25/2034(1) | 103,777 | 104,976 | ||||||
Synchrony Card Issuance Trust | ||||||||
3.38%, 09/15/2024 | 5,500,000 | 5,548,737 | ||||||
Synchrony Credit Card Master Note Trust | ||||||||
2.37%, 03/15/2023 | 4,950,000 | 4,910,985 | ||||||
Towd Point Mortgage Trust2017-2 | ||||||||
2.75%, 04/25/2057(3)(4) | 7,375,258 | 7,212,283 | ||||||
Towd Point Mortgage Trust2017-6 | ||||||||
2.75%, 10/25/2057(3)(4) | 6,007,580 | 5,865,558 | ||||||
Towd Point Mortgage Trust2018-1 | ||||||||
3.00%, 01/28/2058(3)(4) | 8,912,614 | 8,748,015 | ||||||
Trafigura Securitisation Finance Plc2018-1 | ||||||||
3.73%, 03/15/2022(3) | 12,666,667 | 12,784,011 | ||||||
Tricolor Auto Securitization Trust2018-1 | ||||||||
5.05%, 12/15/2020(3) | 4,362,992 | 4,356,744 | ||||||
Trinitas CLO IV Ltd. | ||||||||
3.62% (3 Month LIBOR USD + 1.18%), 10/20/2031(2)(3) | 7,500,000 | 7,408,620 | ||||||
U.S. Auto Funding2018-1 LLC | ||||||||
5.50%, 07/15/2023(3) | 6,838,745 | 6,890,741 |
Upgrade Receivables Trust2018-1 | ||||||||
3.76%, 11/15/2024(3) | 2,694,834 | 2,693,130 | ||||||
Upstart Securitization Trust2017-1 | ||||||||
2.64%, 06/20/2024(3) | 611,392 | 610,783 | ||||||
Upstart Securitization Trust2018-2 | ||||||||
3.33%, 12/22/2025(3) | 10,741,125 | 10,724,230 | ||||||
USASF Receivables2017-A LLC | ||||||||
5.75%, 09/15/2030(3) | 1,895,741 | 1,875,753 | ||||||
Venture 32 CLO Ltd. | ||||||||
3.43% (3 Month LIBOR USD + 1.10%, 1.10% Floor), 07/18/2031(2)(3) | 6,000,000 | 5,858,778 | ||||||
Verizon Owner Trust2016-1 | ||||||||
1.42%, 01/20/2021(3) | 184,832 | 183,928 | ||||||
Verizon Owner Trust2017-2 | ||||||||
1.92%, 12/20/2021(3) | 6,485,000 | 6,418,719 | ||||||
Verizon Owner Trust2017-3 | ||||||||
2.06%, 04/20/2022(3) | 5,612,000 | 5,544,625 | ||||||
VM DEBT LLC | ||||||||
6.50%, 10/02/2024(3)(12) | 5,205,027 | 5,205,027 | ||||||
Volt LX LLC | ||||||||
3.25%, 06/25/2047(1)(3) | 1,367,543 | 1,360,910 | ||||||
Volt LXIV LLC | ||||||||
3.38%, 10/25/2047(1)(3) | 6,204,023 | 6,140,807 | ||||||
Volt LXIX LLC | ||||||||
4.21%, 08/25/2048(1)(3) | 3,709,212 | 3,709,845 | ||||||
Volt LXVI LLC | ||||||||
4.34%, 05/26/2048(1)(3) | 4,125,102 | 4,120,609 | ||||||
Volt LXVII LLC | ||||||||
4.38%, 06/25/2048(1)(3) | 5,006,046 | 4,998,596 | ||||||
Volt LXVIII LLC | ||||||||
4.34%, 08/25/2048(1)(3) | 8,880,050 | 8,879,157 | ||||||
Volt LXX LLC | ||||||||
4.11%, 09/25/2048(1)(3) | 11,797,245 | 11,781,963 | ||||||
VOLT LXXI LLC | ||||||||
3.97%, 09/25/2048(1)(3) | 4,205,007 | 4,182,130 | ||||||
VOLT LXXII LLC | ||||||||
4.21%, 10/26/2048(1)(3) | 11,429,727 | 11,407,425 | ||||||
VOLT LXXIV LLC | ||||||||
5.07%, 11/25/2048(1)(3) | 15,825,000 | 15,979,338 | ||||||
Volt TR2018-FT1 LLC | ||||||||
3.16%, 03/29/2021(13) | 1,944,364 | 1,921,368 | ||||||
Voya CLO2015-1 Ltd. | ||||||||
3.34% (3 Month LIBOR USD + 0.90%, 0.90% Floor), 01/18/2029(2)(3) | 6,000,000 | 5,922,450 | ||||||
VSE2018-A Voi Mortgage LLC | ||||||||
3.56%, 02/20/2036(3) | 3,446,890 | 3,483,213 | ||||||
Westgate Resorts2017-1 LLC | ||||||||
3.05%, 12/20/2030(3) | 1,292,316 | 1,283,479 | ||||||
4.05%, 12/20/2030(3) | 2,300,040 | 2,301,348 | ||||||
Westlake Automobile Receivables Trust2015-3 | ||||||||
4.40%, 05/17/2021(3) | 537,250 | 537,397 | ||||||
Westlake Automobile Receivables Trust2016-2 | ||||||||
4.10%, 06/15/2021(3) | 300,000 | 300,907 | ||||||
Westlake Automobile Receivables Trust2016-3 | ||||||||
2.46%, 01/18/2022(3) | 1,873,000 | 1,866,305 | ||||||
Westlake Automobile Receivables Trust2017-1 | ||||||||
2.70%, 10/17/2022(3) | 1,195,000 | 1,188,992 | ||||||
3.46%, 10/17/2022(3) | 1,202,000 | 1,197,404 |
Westlake Automobile Receivables Trust2017-2 | ||||||||
2.59%, 12/15/2022(3) | 772,000 | 765,942 | ||||||
World Omni Auto Receivables Trust2018-D | ||||||||
3.33%, 04/15/2024 | 15,916,000 | 16,096,258 | ||||||
Zais CLO 8 Ltd | ||||||||
3.39% (3 Month LIBOR USD + 0.95%), 04/15/2029(2)(3) | 40,000,000 | 39,331,320 | ||||||
Zais Ltd. | ||||||||
3.73% (3 Month LIBOR USD + 1.29%), 04/15/2030(2)(3) | 9,600,000 | 9,549,226 | ||||||
|
| |||||||
Total Asset-Backed Obligations (Cost $2,019,522,197) | $ | 2,013,128,281 | ||||||
|
| |||||||
Corporate Bonds—29.64% | ||||||||
Basic Materials—1.36% | ||||||||
Air Liquide Finance SA | ||||||||
2.25%, 09/27/2023(3) | $ | 550,000 | $ | 524,455 | ||||
Albemarle Corp. | ||||||||
5.45%, 12/01/2044 | 600,000 | 600,512 | ||||||
Anglo American Capital Plc | ||||||||
3.63%, 09/11/2024(3) | 630,000 | 594,651 | ||||||
4.00%, 09/11/2027(3) | 1,020,000 | 921,661 | ||||||
ArcelorMittal | ||||||||
5.50%, 03/01/2021 | 9,215,000 | 9,477,201 | ||||||
6.25%, 02/25/2022 | 16,177,000 | 17,120,766 | ||||||
6.13%, 06/01/2025 | 8,898,000 | 9,316,709 | ||||||
Barrick Gold Corp. | ||||||||
6.45%, 10/15/2035 | 203,000 | 230,176 | ||||||
Barrick North America Finance LLC | ||||||||
5.75%, 05/01/2043 | 4,480,000 | 4,728,058 | ||||||
Barrick PD Australia Finance Pty Ltd. | ||||||||
5.95%, 10/15/2039 | 1,150,000 | 1,227,777 | ||||||
BHP Billiton Finance USA Ltd. | ||||||||
6.25% (5 Year Swap Rate USD + 4.97%), 10/19/2075(2)(3) | 985,000 | 1,006,739 | ||||||
CF Industries, Inc. | ||||||||
5.38%, 03/15/2044 | 2,040,000 | 1,652,400 | ||||||
Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP | ||||||||
3.40%, 12/01/2026(3) | 530,000 | 516,172 | ||||||
3.70%, 06/01/2028(3) | 1,200,000 | 1,182,667 | ||||||
CNAC HK Finbridge Co. Ltd. | ||||||||
4.13%, 03/14/2021 | 4,255,000 | 4,254,817 | ||||||
Dow Chemical Co. | ||||||||
4.13%, 11/15/2021 | 470,000 | 478,250 | ||||||
3.00%, 11/15/2022 | 918,000 | 890,405 | ||||||
4.25%, 10/01/2034 | 339,000 | 310,963 | ||||||
DowDuPont, Inc. | ||||||||
4.21%, 11/15/2023 | 4,537,000 | 4,639,029 | ||||||
4.49%, 11/15/2025 | 1,600,000 | 1,648,065 | ||||||
5.32%, 11/15/2038 | 3,865,000 | 3,984,000 | ||||||
5.42%, 11/15/2048 | 6,467,000 | 6,727,707 | ||||||
Eastman Chemical Co. | ||||||||
2.70%, 01/15/2020 | 2,293,000 | 2,275,848 | ||||||
4.50%, 01/15/2021 | 352,000 | 357,460 | ||||||
4.65%, 10/15/2044 | 2,575,000 | 2,305,278 | ||||||
FMC Corp. | ||||||||
3.95%, 02/01/2022 | 1,725,000 | 1,734,491 | ||||||
Freeport-McMoRan, Inc. | ||||||||
3.55%, 03/01/2022 | 5,025,000 | 4,754,906 | ||||||
Georgia-Pacific LLC | ||||||||
5.40%, 11/01/2020(3) | 3,160,000 | 3,273,690 | ||||||
3.73%, 07/15/2023(3) | 5,380,000 | 5,430,878 |
Glencore Finance Canada Ltd. | ||||||||
4.25%, 10/25/2022(3) | 5,000,000 | 4,984,178 | ||||||
Glencore Funding LLC | ||||||||
2.50%, 01/15/2019(3) | 537,000 | 536,774 | ||||||
4.13%, 05/30/2023(3) | 54,000 | 53,027 | ||||||
4.63%, 04/29/2024(3) | 1,500,000 | 1,486,860 | ||||||
4.00%, 03/27/2027(3) | 6,300,000 | 5,742,237 | ||||||
3.88%, 10/27/2027(3) | 875,000 | 782,233 | ||||||
Goldcorp, Inc. | ||||||||
3.63%, 06/09/2021 | 1,810,000 | 1,800,411 | ||||||
Indonesia Asahan Aluminium Persero PT | ||||||||
5.23%, 11/15/2021(3) | 3,414,000 | 3,458,597 | ||||||
5.71%, 11/15/2023(3) | 2,341,000 | 2,382,064 | ||||||
6.76%, 11/15/2048(3) | 2,533,000 | 2,596,406 | ||||||
International Flavors & Fragrances, Inc. | ||||||||
4.45%, 09/26/2028 | 720,000 | 731,057 | ||||||
5.00%, 09/26/2048 | 782,000 | 779,965 | ||||||
International Paper Co. | ||||||||
3.00%, 02/15/2027 | 714,000 | 650,295 | ||||||
5.00%, 09/15/2035 | 200,000 | 196,019 | ||||||
8.70%, 06/15/2038 | 350,000 | 466,054 | ||||||
7.30%, 11/15/2039 | 500,000 | 589,963 | ||||||
6.00%, 11/15/2041 | 3,150,000 | 3,321,952 | ||||||
LYB International Finance BV | ||||||||
5.25%, 07/15/2043 | 760,000 | 725,402 | ||||||
4.88%, 03/15/2044 | 1,125,000 | 1,022,867 | ||||||
LyondellBasell Industries NV | ||||||||
5.75%, 04/15/2024 | 2,550,000 | 2,728,853 | ||||||
4.63%, 02/26/2055 | 610,000 | 514,476 | ||||||
Mexichem SAB de CV | ||||||||
4.88%, 09/19/2022(3) | 3,425,000 | 3,446,406 | ||||||
Mosaic Co. | ||||||||
4.25%, 11/15/2023 | 8,533,000 | 8,576,214 | ||||||
5.45%, 11/15/2033 | 814,000 | 837,324 | ||||||
4.88%, 11/15/2041 | 52,000 | 47,422 | ||||||
5.63%, 11/15/2043 | 4,055,000 | 4,123,827 | ||||||
Nucor Corp. | ||||||||
4.00%, 08/01/2023 | 176,000 | 178,015 | ||||||
6.40%, 12/01/2037 | 800,000 | 958,980 | ||||||
Nutrien Ltd. | ||||||||
6.50%, 05/15/2019 | 392,000 | 396,487 | ||||||
3.15%, 10/01/2022 | 875,000 | 844,585 | ||||||
3.38%, 03/15/2025 | 430,000 | 404,159 | ||||||
3.00%, 04/01/2025 | 800,000 | 740,649 | ||||||
4.13%, 03/15/2035 | 1,960,000 | 1,786,147 | ||||||
6.13%, 01/15/2041 | 2,850,000 | 3,124,420 | ||||||
5.25%, 01/15/2045 | 1,900,000 | 1,906,825 | ||||||
Rio Tinto Alcan, Inc. | ||||||||
5.75%, 06/01/2035 | 54,000 | 62,466 | ||||||
Samarco Mineracao SA | ||||||||
5.75%, 10/24/2023(3)(9) | 537,000 | 421,545 | ||||||
Sherwin-Williams Co. | ||||||||
3.13%, 06/01/2024 | 401,000 | 382,862 | ||||||
Solvay Finance America LLC | ||||||||
3.40%, 12/03/2020(3) | 4,000,000 | 3,997,034 | ||||||
4.45%, 12/03/2025(3) | 7,000,000 | 6,944,531 | ||||||
Southern Copper Corp. | ||||||||
5.25%, 11/08/2042 | 1,000,000 | 951,531 | ||||||
5.88%, 04/23/2045 | 2,000,000 | 2,045,744 |
Syngenta Finance NV | ||||||||
4.44%, 04/24/2023(3) | 2,852,000 | 2,748,388 | ||||||
4.89%, 04/24/2025(3) | 3,634,000 | 3,437,557 | ||||||
The Dow Chemical Co. | ||||||||
4.55%, 11/30/2025(3) | 6,660,000 | 6,778,408 | ||||||
4.80%, 11/30/2028(3) | 3,261,000 | 3,319,950 | ||||||
5.55%, 11/30/2048(3) | 7,123,000 | 7,200,896 | ||||||
Union Carbide Co. | ||||||||
7.50%, 06/01/2025 | 624,000 | 721,791 | ||||||
7.75%, 10/01/2096 | 681,000 | 806,530 | ||||||
Vale Canada Ltd. | ||||||||
7.20%, 09/15/2032 | 850,000 | 931,430 | ||||||
Vale Overseas Ltd. | ||||||||
4.38%, 01/11/2022 | 9,255,000 | 9,416,963 | ||||||
6.25%, 08/10/2026 | 5,237,000 | 5,655,960 | ||||||
8.25%, 01/17/2034 | 3,707,000 | 4,582,779 | ||||||
6.88%, 11/21/2036 | 767,000 | 877,064 | ||||||
6.88%, 11/10/2039 | 2,107,000 | 2,433,585 | ||||||
Westlake Chemical Corp. | ||||||||
4.38%, 11/15/2047 | 593,000 | 497,603 | ||||||
|
| |||||||
219,301,498 | ||||||||
|
| |||||||
Communications—1.90% | ||||||||
21st Century Fox America, Inc. | ||||||||
8.88%, 04/26/2023 | 108,000 | 130,363 | ||||||
9.50%, 07/15/2024 | 175,000 | 222,905 | ||||||
3.70%, 10/15/2025 | 380,000 | 382,536 | ||||||
7.30%, 04/30/2028 | 454,000 | 572,004 | ||||||
7.63%, 11/30/2028 | 310,000 | 402,617 | ||||||
6.20%, 12/15/2034 | 150,000 | 182,545 | ||||||
6.40%, 12/15/2035 | 3,663,000 | 4,574,262 | ||||||
6.65%, 11/15/2037 | 310,000 | 408,612 | ||||||
6.90%, 08/15/2039 | 155,000 | 203,922 | ||||||
6.15%, 02/15/2041 | 350,000 | 435,146 | ||||||
Amazon.com, Inc. | ||||||||
2.80%, 08/22/2024 | 1,882,000 | 1,829,082 | ||||||
4.80%, 12/05/2034 | 854,000 | 915,645 | ||||||
3.88%, 08/22/2037 | 1,700,000 | 1,652,549 | ||||||
4.25%, 08/22/2057 | 2,080,000 | 2,024,348 | ||||||
America Movil SAB de CV | ||||||||
5.00%, 03/30/2020 | 7,300,000 | 7,425,722 | ||||||
3.13%, 07/16/2022 | 374,000 | 366,482 | ||||||
6.13%, 03/30/2040 | 283,000 | 333,553 | ||||||
AT&T, Inc. | ||||||||
3.90%, 03/11/2024 | 3,750,000 | 3,724,470 | ||||||
3.95%, 01/15/2025 | 811,000 | 793,370 | ||||||
3.40%, 05/15/2025 | 17,668,000 | 16,608,183 | ||||||
4.13%, 02/17/2026 | 1,365,000 | 1,333,651 | ||||||
4.30%, 02/15/2030 | 3,227,000 | 3,051,538 | ||||||
4.50%, 05/15/2035 | 6,175,000 | 5,549,404 | ||||||
5.25%, 03/01/2037 | 8,456,000 | 8,312,579 | ||||||
4.90%, 08/15/2037 | 4,694,000 | 4,381,230 | ||||||
6.00%, 08/15/2040 | 2,106,000 | 2,150,009 | ||||||
5.35%, 09/01/2040 | 1,543,000 | 1,502,564 | ||||||
6.38%, 03/01/2041 | 8,157,000 | 8,842,921 | ||||||
5.15%, 03/15/2042 | 40,000 | 37,408 | ||||||
4.30%, 12/15/2042 | 444,000 | 377,488 |
4.80%, 06/15/2044 | 915,000 | 820,833 | ||||||
4.35%, 06/15/2045 | 511,000 | 432,387 | ||||||
5.15%, 11/15/2046 | 5,722,000 | 5,324,070 | ||||||
5.15%, 02/15/2050 | 2,028,000 | 1,881,227 | ||||||
Baidu, Inc. | ||||||||
4.38%, 05/14/2024 | 2,896,000 | 2,919,823 | ||||||
Bell Canada, Inc. | ||||||||
4.46%, 04/01/2048 | 4,000,000 | 3,866,640 | ||||||
Booking Holdings, Inc. | ||||||||
2.75%, 03/15/2023 | 857,000 | 822,527 | ||||||
3.55%, 03/15/2028 | 1,500,000 | 1,405,150 | ||||||
British Telecommunications Plc | ||||||||
2.35%, 02/14/2019 | 220,000 | 219,706 | ||||||
9.63%, 12/15/2030 | 721,000 | 975,133 | ||||||
CBS Corp. | ||||||||
3.70%, 08/15/2024 | 848,000 | 823,996 | ||||||
4.00%, 01/15/2026 | 1,000,000 | 969,283 | ||||||
3.70%, 06/01/2028 | 870,000 | 807,678 | ||||||
4.90%, 08/15/2044 | 315,000 | 287,843 | ||||||
Centel Capital Co. | ||||||||
9.00%, 10/15/2019 | 464,000 | 480,302 | ||||||
Charter Communications Operating LLC / Charter Communications Operating Capital | ||||||||
4.91%, 07/23/2025 | 13,261,000 | 13,180,195 | ||||||
6.38%, 10/23/2035 | 495,000 | 508,548 | ||||||
5.38%, 04/01/2038 | 995,000 | 927,320 | ||||||
5.38%, 05/01/2047 | 5,000,000 | 4,536,373 | ||||||
6.83%, 10/23/2055 | 1,745,000 | 1,776,726 | ||||||
Cisco Systems, Inc. | ||||||||
3.00%, 06/15/2022 | 889,000 | 888,310 | ||||||
3.63%, 03/04/2024 | 550,000 | 560,891 | ||||||
2.95%, 02/28/2026 | 467,000 | 445,487 | ||||||
5.90%, 02/15/2039 | 515,000 | 636,047 | ||||||
5.50%, 01/15/2040 | 481,000 | 568,216 | ||||||
Comcast Cable Holdings LLC | ||||||||
10.13%, 04/15/2022 | 186,000 | 223,575 | ||||||
Comcast Corp. | ||||||||
3.60%, 03/01/2024 | 542,000 | 543,261 | ||||||
3.95%, 10/15/2025 | 1,614,000 | 1,633,845 | ||||||
3.15%, 03/01/2026 | 1,716,000 | 1,642,707 | ||||||
3.15%, 02/15/2028 | 1,500,000 | 1,409,634 | ||||||
3.55%, 05/01/2028 | 886,000 | 855,734 | ||||||
4.25%, 01/15/2033 | 3,095,000 | 3,076,399 | ||||||
4.20%, 08/15/2034 | 555,000 | 535,664 | ||||||
6.50%, 11/15/2035 | 2,370,000 | 2,839,625 | ||||||
3.90%, 03/01/2038 | 455,000 | 421,686 | ||||||
4.60%, 10/15/2038 | 4,243,000 | 4,289,323 | ||||||
3.97%, 11/01/2047 | 154,000 | 137,853 | ||||||
4.70%, 10/15/2048 | 9,670,000 | 9,839,062 | ||||||
4.00%, 11/01/2049 | 638,000 | 572,540 | ||||||
4.05%, 11/01/2052 | 1,211,000 | 1,088,545 | ||||||
4.95%, 10/15/2058 | 4,495,000 | 4,576,898 | ||||||
Cox Communications, Inc. | ||||||||
3.25%, 12/15/2022(3) | 348,000 | 339,947 | ||||||
3.85%, 02/01/2025(3) | 1,250,000 | 1,231,989 | ||||||
3.35%, 09/15/2026(3) | 1,119,000 | 1,032,929 | ||||||
4.80%, 02/01/2035(3) | 7,150,000 | 6,525,047 | ||||||
8.38%, 03/01/2039(3) | 1,500,000 | 1,871,278 | ||||||
4.60%, 08/15/2047(3) | 588,000 | 529,659 |
Crown Castle Towers LLC | ||||||||
3.66%, 05/15/2025(3) | 955,000 | 927,744 | ||||||
3.22%, 05/15/2042(3) | 589,000 | 579,205 | ||||||
Deutsche Telekom International Finance BV | ||||||||
6.00%, 07/08/2019 | 209,000 | 211,852 | ||||||
2.23%, 01/17/2020(3) | 4,602,000 | 4,544,262 | ||||||
3.60%, 01/19/2027(3) | 508,000 | 479,384 | ||||||
8.75%, 06/15/2030 | 49,000 | 63,949 | ||||||
4.88%, 03/06/2042(3) | 240,000 | 231,427 | ||||||
Discovery Communications LLC | ||||||||
4.38%, 06/15/2021 | 752,000 | 765,226 | ||||||
3.95%, 03/20/2028 | 631,000 | 585,434 | ||||||
5.00%, 09/20/2037 | 2,830,000 | 2,627,768 | ||||||
6.35%, 06/01/2040 | 1,161,000 | 1,217,747 | ||||||
Grupo Televisa SAB de CV | ||||||||
5.00%, 05/13/2045 | 860,000 | 752,109 | ||||||
6.13%, 01/31/2046 | 382,000 | 392,350 | ||||||
NBCUniversal Media LLC | ||||||||
4.38%, 04/01/2021 | 700,000 | 717,459 | ||||||
5.95%, 04/01/2041 | 527,000 | 605,566 | ||||||
4.45%, 01/15/2043 | 15,000 | 14,477 | ||||||
Orange SA | ||||||||
2.75%, 02/06/2019 | 3,000,000 | 2,998,233 | ||||||
Qwest Co. | ||||||||
6.75%, 12/01/2021 | 3,866,000 | 3,952,632 | ||||||
Rogers Communications, Inc. | ||||||||
3.63%, 12/15/2025 | 4,350,000 | 4,243,145 | ||||||
8.75%, 05/01/2032 | 258,000 | 351,752 | ||||||
SK Telecom Co. Ltd. | ||||||||
6.63%, 07/20/2027(3) | 361,000 | 432,319 | ||||||
Sky Plc | ||||||||
3.75%, 09/16/2024(3) | 287,000 | 285,926 | ||||||
Sprint Capital Co. | ||||||||
6.90%, 05/01/2019 | 301,000 | 302,505 | ||||||
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC | ||||||||
3.36%, 03/20/2023(3) | 2,018,500 | 1,993,269 | ||||||
TCI Communications, Inc. | ||||||||
7.13%, 02/15/2028 | 138,000 | 169,017 | ||||||
Telecom Italia Capital SA | ||||||||
7.18%, 06/18/2019 | 215,000 | 216,492 | ||||||
7.20%, 07/18/2036 | 1,644,000 | 1,570,020 | ||||||
Telefonica Emisiones SAU | ||||||||
5.13%, 04/27/2020 | 500,000 | 510,249 | ||||||
5.46%, 02/16/2021 | 233,000 | 241,461 | ||||||
4.10%, 03/08/2027 | 5,417,000 | 5,223,289 | ||||||
4.67%, 03/06/2038 | 1,175,000 | 1,064,042 | ||||||
4.90%, 03/06/2048 | 1,075,000 | 950,038 | ||||||
Tencent Holdings Ltd. | ||||||||
2.88%, 02/11/2020(3) | 4,517,000 | 4,498,039 | ||||||
2.99%, 01/19/2023(3) | 4,058,000 | 3,943,508 | ||||||
Time Warner Cable LLC | ||||||||
8.75%, 02/14/2019 | 184,000 | 185,027 | ||||||
4.13%, 02/15/2021 | 222,000 | 222,981 | ||||||
6.55%, 05/01/2037 | 375,000 | 385,205 | ||||||
7.30%, 07/01/2038 | 1,023,000 | 1,110,038 | ||||||
6.75%, 06/15/2039 | 539,000 | 548,229 | ||||||
5.88%, 11/15/2040 | 475,000 | 448,198 | ||||||
5.50%, 09/01/2041 | 6,815,000 | 6,030,069 |
Time Warner Entertainment Co. LP | ||||||||
8.38%, 07/15/2033 | 879,000 | 1,072,359 | ||||||
Verizon Communications, Inc. | ||||||||
3.45%, 03/15/2021 | 535,000 | 538,509 | ||||||
4.13%, 03/16/2027 | 4,800,000 | 4,806,300 | ||||||
4.33%, 09/21/2028 | 4,726,000 | 4,748,349 | ||||||
4.50%, 08/10/2033 | 7,079,000 | 6,993,372 | ||||||
4.40%, 11/01/2034 | 4,843,000 | 4,672,276 | ||||||
4.27%, 01/15/2036 | 7,365,000 | 6,900,076 | ||||||
5.25%, 03/16/2037 | 731,000 | 762,254 | ||||||
4.81%, 03/15/2039 | 7,941,000 | 7,812,092 | ||||||
4.86%, 08/21/2046 | 8,039,000 | 7,910,990 | ||||||
4.52%, 09/15/2048 | 1,800,000 | 1,688,657 | ||||||
Viacom, Inc. | ||||||||
3.88%, 04/01/2024 | 630,000 | 617,907 | ||||||
6.88%, 04/30/2036 | 750,000 | 805,608 | ||||||
4.38%, 03/15/2043 | 1,370,000 | 1,087,388 | ||||||
Vodafone Group Plc | ||||||||
4.13%, 05/30/2025 | 945,000 | 933,964 | ||||||
4.38%, 05/30/2028 | 7,847,000 | 7,616,659 | ||||||
6.15%, 02/27/2037 | 4,600,000 | 4,826,067 | ||||||
5.00%, 05/30/2038 | 1,597,000 | 1,498,007 | ||||||
5.25%, 05/30/2048 | 938,000 | 881,755 | ||||||
Walt Disney Co. | ||||||||
3.00%, 02/13/2026 | 1,000,000 | 963,306 | ||||||
1.85%, 07/30/2026 | 959,000 | 853,368 | ||||||
3.00%, 07/30/2046 | 160,000 | 131,865 | ||||||
Warner Media LLC | ||||||||
4.75%, 03/29/2021 | 585,000 | 599,739 | ||||||
3.55%, 06/01/2024 | 2,300,000 | 2,221,981 | ||||||
3.60%, 07/15/2025 | 2,670,000 | 2,529,950 | ||||||
2.95%, 07/15/2026 | 2,000,000 | 1,788,993 | ||||||
3.80%, 02/15/2027 | 2,850,000 | 2,675,600 | ||||||
5.38%, 10/15/2041 | 181,000 | 174,524 | ||||||
4.65%, 06/01/2044 | 2,145,000 | 1,879,607 | ||||||
|
| |||||||
306,592,183 | ||||||||
|
| |||||||
Consumer, Cyclical—1.63% | ||||||||
Air Canada2013-1 Class A Pass Through Trust | ||||||||
4.13%, 11/15/2026(3) | 1,730,954 | 1,715,202 | ||||||
Air Canada2015-1 Class A Pass Through Trust | ||||||||
3.60%, 09/15/2028(3) | 777,371 | 747,217 | ||||||
Air Canada2015-2 Class AA Pass Through Trust | ||||||||
3.75%, 06/15/2029(3) | 1,253,211 | 1,216,618 | ||||||
Air Canada2017-1 Class A Pass Through Trust | ||||||||
3.55%, 07/15/2031(3) | 2,953,000 | 2,822,346 | ||||||
Air Canada2017-1 Class AA Pass Through Trust | ||||||||
3.30%, 07/15/2031(3) | 1,686,000 | 1,609,515 | ||||||
Alimentation Couche-Tard, Inc. | ||||||||
2.70%, 07/26/2022(3) | 7,450,000 | 7,188,728 | ||||||
American Airlines2011-1 Class A Pass Through Trust | ||||||||
5.25%, 07/31/2022 | 74,829 | 76,419 | ||||||
American Airlines2013-1 Class A Pass Through Trust | ||||||||
4.00%, 01/15/2027 | 1,124,663 | 1,116,059 | ||||||
American Airlines2013-2 Class A Pass Through Trust | ||||||||
4.95%, 07/15/2024 | 3,427,955 | 3,479,545 |
American Airlines2014-1 Class A Pass Through Trust | ||||||||
3.70%, 04/01/2028 | 388,873 | 376,507 | ||||||
American Airlines2015-1 Class A Pass Through Trust | ||||||||
3.38%, 11/01/2028 | 3,506,933 | 3,332,779 | ||||||
American Airlines2015-2 Class AA Pass Through Trust | ||||||||
3.60%, 03/22/2029 | 625,942 | 602,406 | ||||||
American Airlines2016-2 Class A Pass Through Trust | ||||||||
3.65%, 12/15/2029 | 219,478 | 208,416 | ||||||
American Airlines2016-2 Class AA Pass Through Trust | ||||||||
3.20%, 12/15/2029 | 1,367,240 | 1,285,452 | ||||||
American Airlines2016-3 Class AA Pass Through Trust | ||||||||
3.00%, 04/15/2030 | 2,571,018 | 2,429,008 | ||||||
American Airlines2017-1 Class AA Pass Through Trust | ||||||||
3.65%, 08/15/2030 | 2,149,567 | 2,115,658 | ||||||
American Honda Finance Corp. | ||||||||
2.25%, 08/15/2019 | 739,000 | 735,538 | ||||||
2.90%, 02/16/2024 | 300,000 | 290,433 | ||||||
2.30%, 09/09/2026 | 185,000 | 168,666 | ||||||
BMW U.S. Capital LLC | ||||||||
2.84% (3 Month LIBOR USD + 0.41%), 04/12/2021(2) (3) | 1,675,000 | 1,658,699 | ||||||
3.10%, 04/12/2021(3) | 2,230,000 | 2,208,327 | ||||||
2.25%, 09/15/2023(3) | 894,000 | 834,132 | ||||||
British Airways2018-1 Class A Pass Through Trust | ||||||||
4.13%, 03/20/2033(3) | 2,717,652 | 2,678,789 | ||||||
British Airways2018-1 Class AA Pass Through Trust | ||||||||
3.80%, 03/20/2033(3) | 1,286,799 | 1,261,604 | ||||||
Continental Airlines1999-2Class A-1 Pass Through Trust | ||||||||
7.26%, 09/15/2021 | 12,904 | 13,129 | ||||||
Continental Airlines2007-1 Class A Pass Through Trust | ||||||||
5.98%, 10/19/2023 | 5,162,547 | 5,390,732 | ||||||
Continental Airlines2012-1 Class A Pass Through Trust | ||||||||
4.15%, 10/11/2025 | 1,203,340 | 1,200,211 | ||||||
Continental Airlines2012-2 Class A Pass Through Trust | ||||||||
4.00%, 04/29/2026 | 4,974,173 | 4,911,996 | ||||||
Daimler Finance North America LLC | ||||||||
2.25%, 07/31/2019(3) | 3,250,000 | 3,226,149 | ||||||
2.25%, 03/02/2020(3) | 3,575,000 | 3,526,663 | ||||||
3.10%, 05/04/2020(3) | 2,350,000 | 2,336,838 | ||||||
2.88%, 03/10/2021(3) | 700,000 | 691,431 | ||||||
3.35%, 05/04/2021(3) | 3,970,000 | 3,957,569 | ||||||
3.35%, 02/22/2023(3) | 1,000,000 | 986,302 | ||||||
3.30%, 05/19/2025(3) | 1,490,000 | 1,402,019 | ||||||
3.45%, 01/06/2027(3) | 1,750,000 | 1,625,074 | ||||||
8.50%, 01/18/2031 | 155,000 | 211,951 | ||||||
Delta Air Lines2007-1 Class A Pass Through Trust | ||||||||
6.82%, 02/10/2024(12) | 3,857,017 | 4,141,279 | ||||||
Delta Air Lines2010-2 Class A Pass Through Trust | ||||||||
4.95%, 11/23/2020 | 53,155 | 53,448 | ||||||
Delta Air Lines2011-1 Class A Pass Through Trust | ||||||||
5.30%, 04/15/2019 | 58,081 | 58,433 | ||||||
Delta Air Lines2012-1 Class A Pass Through Trust | ||||||||
4.75%, 11/07/2021 | 171,874 | 173,988 | ||||||
Delta Air Lines2015-1 Class AA Pass Through Trust | ||||||||
3.63%, 01/30/2029 | 1,131,800 | 1,144,492 | ||||||
Delta Air Lines, Inc. | ||||||||
2.88%, 03/13/2020 | 8,200,000 | 8,144,492 |
Dollar General Corp. | ||||||||
4.13%, 05/01/2028 | 835,000 | 810,817 | ||||||
Ford Motor Co. | ||||||||
7.45%, 07/16/2031 | 643,000 | 663,371 | ||||||
4.75%, 01/15/2043 | 7,640,000 | 5,914,190 | ||||||
5.29%, 12/08/2046 | 1,510,000 | 1,241,122 | ||||||
Ford Motor Credit Co. LLC | ||||||||
2.38%, 03/12/2019 | 819,000 | 817,641 | ||||||
2.60%, 11/04/2019 | 1,000,000 | 988,977 | ||||||
3.16%, 08/04/2020 | 1,000,000 | 979,767 | ||||||
3.34%, 03/18/2021 | 5,121,000 | 4,968,797 | ||||||
5.88%, 08/02/2021 | 4,300,000 | 4,409,771 | ||||||
3.81%, 10/12/2021 | 6,200,000 | 6,021,144 | ||||||
3.34%, 03/28/2022 | 5,500,000 | 5,191,278 | ||||||
4.25%, 09/20/2022 | 3,800,000 | 3,642,675 | ||||||
3.81%, 01/09/2024 | 1,122,000 | 1,035,383 | ||||||
4.13%, 08/04/2025 | 265,000 | 238,812 | ||||||
3.82%, 11/02/2027 | 1,900,000 | 1,603,955 | ||||||
General Motors Co. | ||||||||
4.00%, 04/01/2025 | 8,070,000 | 7,543,642 | ||||||
6.60%, 04/01/2036 | 2,433,000 | 2,370,534 | ||||||
5.15%, 04/01/2038 | 500,000 | 427,594 | ||||||
General Motors Financial Co., Inc. | ||||||||
2.65%, 04/13/2020 | 1,300,000 | 1,279,731 | ||||||
2.45%, 11/06/2020 | 2,000,000 | 1,942,325 | ||||||
3.26% (3 Month LIBOR USD + 0.85%), 04/09/2021(2) | 3,590,000 | 3,508,291 | ||||||
3.55%, 04/09/2021 | 2,725,000 | 2,687,174 | ||||||
4.38%, 09/25/2021 | 5,000,000 | 5,020,248 | ||||||
3.45%, 01/14/2022 | 6,500,000 | 6,298,406 | ||||||
3.45%, 04/10/2022 | 6,502,000 | 6,287,515 | ||||||
3.70%, 05/09/2023 | 5,249,000 | 4,993,743 | ||||||
3.95%, 04/13/2024 | 2,250,000 | 2,136,697 | ||||||
3.50%, 11/07/2024 | 1,230,000 | 1,119,287 | ||||||
4.00%, 01/15/2025 | 1,140,000 | 1,066,430 | ||||||
4.35%, 04/09/2025 | 1,355,000 | 1,283,921 | ||||||
4.30%, 07/13/2025 | 580,000 | 549,699 | ||||||
Home Depot, Inc. | ||||||||
2.63%, 06/01/2022 | 494,000 | 488,796 | ||||||
2.13%, 09/15/2026 | 446,000 | 401,689 | ||||||
2.80%, 09/14/2027 | 600,000 | 563,481 | ||||||
4.20%, 04/01/2043 | 655,000 | 644,674 | ||||||
4.40%, 03/15/2045 | 268,000 | 270,290 | ||||||
Hyundai Capital America | ||||||||
2.00%, 07/01/2019(3) | 301,000 | 299,067 | ||||||
2.75%, 09/18/2020(3) | 4,000,000 | 3,937,779 | ||||||
3.45%, 03/12/2021(3) | 4,170,000 | 4,124,345 | ||||||
3.10%, 04/05/2022(3) | 2,500,000 | 2,440,075 | ||||||
Hyundai Capital Services, Inc. | ||||||||
3.00%, 03/06/2022(3) | 3,725,000 | 3,627,635 | ||||||
Lowe’s Cos, Inc. | ||||||||
3.12%, 04/15/2022 | 3,237,000 | 3,181,144 | ||||||
3.38%, 09/15/2025 | 477,000 | 452,861 | ||||||
4.65%, 04/15/2042 | 449,000 | 424,459 | ||||||
Magna International, Inc. | ||||||||
3.63%, 06/15/2024 | 1,658,000 | 1,665,070 | ||||||
Marriott International, Inc./MD | ||||||||
3.00%, 03/01/2019 | 7,250,000 | 7,240,742 |
McDonald’s Corp. | ||||||||
4.70%, 12/09/2035 | 216,000 | 217,171 | ||||||
6.30%, 10/15/2037 | 679,000 | 794,093 | ||||||
4.45%, 03/01/2047 | 360,000 | 344,674 | ||||||
Newell Brands, Inc. | ||||||||
4.20%, 04/01/2026 | 1,000,000 | 977,791 | ||||||
5.38%, 04/01/2036 | 616,000 | 586,656 | ||||||
Nissan Motor Acceptance Co. | ||||||||
1.90%, 09/14/2021(3) | 314,000 | 299,011 | ||||||
2.60%, 09/28/2022(3) | 900,000 | 857,077 | ||||||
Nordstrom, Inc. | ||||||||
4.00%, 10/15/2021 | 398,000 | 400,692 | ||||||
O’Reilly Automotive, Inc. | ||||||||
3.55%, 03/15/2026 | 500,000 | 480,520 | ||||||
3.60%, 09/01/2027 | 802,000 | 764,540 | ||||||
Spirit Airlines Pass Through Trust2017-1AA | ||||||||
3.38%, 08/15/2031 | 961,575 | 920,204 | ||||||
Starbucks Corp. | ||||||||
3.80%, 08/15/2025 | 3,472,000 | 3,435,083 | ||||||
Target Co. | ||||||||
3.50%, 07/01/2024 | 355,000 | 357,341 | ||||||
The Home Depot, Inc. | ||||||||
3.90%, 12/06/2028 | 1,000,000 | 1,024,900 | ||||||
4.50%, 12/06/2048 | 9,783,000 | 10,126,974 | ||||||
U.S. Airways2012-1 Class A Pass Through Trust | ||||||||
5.90%, 04/01/2026 | 425,766 | 454,177 | ||||||
United Airlines2013-1 Class A Pass Through Trust | ||||||||
4.30%, 02/15/2027 | 641,990 | 655,501 | ||||||
United Airlines2014-1 Class A Pass Through Trust | ||||||||
4.00%, 10/11/2027 | 904,639 | 901,400 | ||||||
United Airlines2016-1 Class A Pass Through Trust | ||||||||
3.45%, 01/07/2030 | 835,463 | 806,134 | ||||||
United Airlines2016-1 Class AA Pass Through Trust | ||||||||
3.10%, 01/07/2030 | 7,568,378 | 7,290,314 | ||||||
United Airlines2016-1 Class B Pass Through Trust | ||||||||
3.65%, 07/07/2027 | 470,931 | 460,291 | ||||||
United Airlines2016-2 Class AA Pass Through Trust | ||||||||
2.88%, 04/07/2030 | 1,704,849 | 1,565,562 | ||||||
United Airlines2018-1 Class A Pass Through Trust | ||||||||
3.70%, 03/01/2030 | 1,355,000 | 1,322,047 | ||||||
United Airlines2018-1 Class AA Pass Through Trust | ||||||||
3.50%, 03/01/2031 | 2,528,000 | 2,482,518 | ||||||
United Airlines2018-1 Class B Pass Through Trust | ||||||||
4.60%, 09/01/2027 | 587,000 | 587,183 | ||||||
Volkswagen Group of America Finance LLC | ||||||||
3.88%, 11/13/2020(3) | 3,795,000 | 3,812,774 | ||||||
4.00%, 11/12/2021(3) | 5,045,000 | 5,055,112 | ||||||
Walgreen Co. | ||||||||
4.40%, 09/15/2042 | 400,000 | 351,097 | ||||||
Walgreens Boots Alliance, Inc. | ||||||||
3.30%, 11/18/2021 | 3,681,000 | 3,663,905 | ||||||
3.80%, 11/18/2024 | 670,000 | 659,308 | ||||||
4.50%, 11/18/2034 | 6,402,000 | 6,145,978 | ||||||
Walmart, Inc. | ||||||||
3.30%, 04/22/2024 | 3,820,000 | 3,830,961 | ||||||
WW Grainger, Inc. | ||||||||
4.60%, 06/15/2045 | 973,000 | 1,000,999 | ||||||
|
| |||||||
262,791,291 | ||||||||
|
|
Consumer,Non-cyclical—3.87% | ||||||||
Abbott Laboratories | ||||||||
2.90%, 11/30/2021 | 20,966,000 | 20,757,528 | ||||||
3.40%, 11/30/2023 | 2,635,000 | 2,626,787 | ||||||
3.88%, 09/15/2025 | 748,000 | 757,751 | ||||||
4.75%, 11/30/2036 | 10,000,000 | 10,441,647 | ||||||
AbbVie, Inc. | ||||||||
2.50%, 05/14/2020 | 4,438,000 | 4,395,243 | ||||||
3.20%, 11/06/2022 | 400,000 | 394,007 | ||||||
2.85%, 05/14/2023 | 4,900,000 | 4,721,257 | ||||||
3.75%, 11/14/2023 | 2,951,000 | 2,935,889 | ||||||
3.60%, 05/14/2025 | 13,071,000 | 12,543,008 | ||||||
4.50%, 05/14/2035 | 2,000,000 | 1,852,058 | ||||||
4.88%, 11/14/2048 | 8,659,000 | 8,089,644 | ||||||
Aetna, Inc. | ||||||||
2.80%, 06/15/2023 | 419,000 | 398,448 | ||||||
6.75%, 12/15/2037 | 341,000 | 412,439 | ||||||
4.50%, 05/15/2042 | 205,000 | 190,545 | ||||||
4.75%, 03/15/2044 | 1,800,000 | 1,719,587 | ||||||
Ahold Finance USA LLC | ||||||||
6.88%, 05/01/2029 | 3,280,000 | 3,877,520 | ||||||
Allergan Funding SCS | ||||||||
3.45%, 03/15/2022 | 1,238,000 | 1,219,005 | ||||||
3.85%, 06/15/2024 | 1,198,000 | 1,181,496 | ||||||
3.80%, 03/15/2025 | 3,000,000 | 2,929,922 | ||||||
4.55%, 03/15/2035 | 5,425,000 | 5,151,254 | ||||||
Allergan Sales LLC | ||||||||
5.00%, 12/15/2021(3) | 3,500,000 | 3,600,996 | ||||||
Allergan, Inc./U.S. | ||||||||
3.38%, 09/15/2020 | 539,000 | 538,417 | ||||||
2.80%, 03/15/2023 | 971,000 | 930,053 | ||||||
AmerisourceBergen Corp. | ||||||||
4.30%, 12/15/2047 | 1,080,000 | 925,182 | ||||||
Amgen, Inc. | ||||||||
5.70%, 02/01/2019 | 204,000 | 204,416 | ||||||
2.70%, 05/01/2022 | 5,600,000 | 5,483,432 | ||||||
3.63%, 05/15/2022 | 845,000 | 850,762 | ||||||
3.13%, 05/01/2025 | 525,000 | 502,542 | ||||||
4.95%, 10/01/2041 | 464,000 | 473,256 | ||||||
4.66%, 06/15/2051 | 600,000 | 566,122 | ||||||
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc. | ||||||||
3.65%, 02/01/2026(3) | 8,440,000 | 7,977,824 | ||||||
4.70%, 02/01/2036(3) | 8,482,000 | 7,898,374 | ||||||
4.90%, 02/01/2046(3) | 7,314,000 | 6,791,562 | ||||||
Anheuser-Busch InBev Finance, Inc. | ||||||||
2.63%, 01/17/2023 | 160,000 | 152,277 | ||||||
3.30%, 02/01/2023 | 5,742,000 | 5,590,772 | ||||||
3.70%, 02/01/2024 | 5,991,000 | 5,870,557 | ||||||
4.00%, 01/17/2043 | 810,000 | 662,723 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | ||||||||
4.38%, 04/15/2038 | 2,240,000 | 2,000,733 | ||||||
4.95%, 01/15/2042 | 2,735,000 | 2,555,601 | ||||||
4.44%, 10/06/2048 | 590,000 | 510,196 | ||||||
4.75%, 04/15/2058 | 1,345,000 | 1,172,564 |
Anthem, Inc. | ||||||||
3.13%, 05/15/2022 | 484,000 | 476,865 | ||||||
3.30%, 01/15/2023 | 271,000 | 266,642 | ||||||
3.50%, 08/15/2024 | 694,000 | 680,674 | ||||||
4.10%, 03/01/2028 | 920,000 | 902,258 | ||||||
4.63%, 05/15/2042 | 400,000 | 386,039 | ||||||
4.65%, 01/15/2043 | 391,000 | 381,574 | ||||||
5.10%, 01/15/2044 | 1,881,000 | 1,911,096 | ||||||
4.65%, 08/15/2044 | 395,000 | 380,361 | ||||||
4.38%, 12/01/2047 | 4,500,000 | 4,191,063 | ||||||
BAT Capital Corp. | ||||||||
2.30%, 08/14/2020 | 5,434,000 | 5,304,511 | ||||||
3.22%, 08/15/2024 | 7,145,000 | 6,580,273 | ||||||
4.39%, 08/15/2037 | 822,000 | 673,488 | ||||||
Baxalta, Inc. | ||||||||
3.60%, 06/23/2022 | 110,000 | 109,160 | ||||||
5.25%, 06/23/2045 | 50,000 | 50,745 | ||||||
Bayer U.S. Finance II LLC | ||||||||
3.45% (3 Month LIBOR USD + 0.63%), 06/25/2021(2) (3) | 4,135,000 | 4,079,920 | ||||||
3.50%, 06/25/2021(3) | 1,650,000 | 1,638,256 | ||||||
4.70%, 07/15/2064(3) | 91,000 | 75,058 | ||||||
Bayer U.S. Finance LLC | ||||||||
3.38%, 10/08/2024(3) | 471,000 | 444,115 | ||||||
Baylor Scott & White Holdings | ||||||||
4.19%, 11/15/2045 | 1,800,000 | 1,776,752 | ||||||
3.97%, 11/15/2046 | 3,700,000 | 3,593,717 | ||||||
Becton Dickinson and Co. | ||||||||
3.73%, 12/15/2024 | 1,972,000 | 1,904,793 | ||||||
Bunge Ltd. Finance Corp. | ||||||||
3.50%, 11/24/2020 | 283,000 | 282,260 | ||||||
Campbell Soup Co. | ||||||||
3.95%, 03/15/2025 | 1,360,000 | 1,303,502 | ||||||
Cardinal Health, Inc. | ||||||||
4.63%, 12/15/2020 | 1,805,000 | 1,846,038 | ||||||
4.90%, 09/15/2045 | 315,000 | 284,575 | ||||||
Cargill, Inc. | ||||||||
3.30%, 03/01/2022(3) | 800,000 | 799,170 | ||||||
3.25%, 03/01/2023(3) | 345,000 | 344,455 | ||||||
Celgene Corp. | ||||||||
3.25%, 08/15/2022 | 1,220,000 | 1,197,715 | ||||||
3.25%, 02/20/2023 | 4,000,000 | 3,905,586 | ||||||
4.00%, 08/15/2023 | 298,000 | 299,337 | ||||||
3.63%, 05/15/2024 | 686,000 | 669,014 | ||||||
5.70%, 10/15/2040 | 302,000 | 322,974 | ||||||
4.35%, 11/15/2047 | 7,167,000 | 6,043,474 | ||||||
Cigna Co. | ||||||||
3.25%, 04/15/2025 | 970,000 | 923,337 | ||||||
Cigna Corp. | ||||||||
3.40%, 09/17/2021(3) | 15,387,000 | 15,351,345 | ||||||
4.13%, 11/15/2025(3) | 8,453,000 | 8,445,016 | ||||||
4.38%, 10/15/2028(3) | 30,325,000 | 30,512,713 | ||||||
4.90%, 12/15/2048(3) | 2,754,000 | 2,698,200 | ||||||
Coca-Cola Femsa SAB de CV | ||||||||
3.88%, 11/26/2023 | 550,000 | 554,796 | ||||||
Conagra Brands, Inc. | ||||||||
4.95%, 08/15/2020 | 40,000 | 40,887 | ||||||
9.75%, 03/01/2021 | 1,750,000 | 1,963,229 | ||||||
4.60%, 11/01/2025 | 685,000 | 687,476 | ||||||
7.00%, 10/01/2028 | 3,250,000 | 3,690,152 | ||||||
5.30%, 11/01/2038 | 2,530,000 | 2,393,226 |
Constellation Brands, Inc. | ||||||||
4.40%, 11/15/2025 | 760,000 | 761,847 | ||||||
4.65%, 11/15/2028 | 4,780,000 | 4,763,252 | ||||||
5.25%, 11/15/2048 | 460,000 | 462,207 | ||||||
CVS Health Corp. | ||||||||
3.50%, 07/20/2022 | 3,000,000 | 2,979,267 | ||||||
3.70%, 03/09/2023 | 14,236,000 | 14,082,793 | ||||||
4.00%, 12/05/2023 | 6,401,000 | 6,418,883 | ||||||
4.10%, 03/25/2025 | 5,696,000 | 5,646,011 | ||||||
4.30%, 03/25/2028 | 1,693,000 | 1,657,765 | ||||||
4.88%, 07/20/2035 | 4,315,000 | 4,174,364 | ||||||
4.78%, 03/25/2038 | 2,750,000 | 2,638,078 | ||||||
5.30%, 12/05/2043 | 3,260,000 | 3,297,735 | ||||||
5.13%, 07/20/2045 | 4,430,000 | 4,317,646 | ||||||
5.05%, 03/25/2048 | 11,608,000 | 11,305,056 | ||||||
CVS Pass-Through Trust | ||||||||
8.35%, 07/10/2031(3) | 917,630 | 1,110,268 | ||||||
7.51%, 01/10/2032(3) | 924,022 | 1,068,610 | ||||||
5.77%, 01/10/2033(3) | 818,633 | 861,082 | ||||||
5.93%, 01/10/2034(3) | 604,802 | 651,726 | ||||||
4.70%, 01/10/2036(3) | 942,126 | 922,530 | ||||||
CVS Pass-Through Trust Series 2014 | ||||||||
4.16%, 08/11/2036(3) | 2,738,576 | 2,590,857 | ||||||
Danaher Co. | ||||||||
2.40%, 09/15/2020 | 280,000 | 277,384 | ||||||
Diageo Investment Co. | ||||||||
8.00%, 09/15/2022 | 516,000 | 596,652 | ||||||
DP World Ltd. | ||||||||
6.85%, 07/02/2037(3) | 3,023,000 | 3,364,266 | ||||||
5.63%, 09/25/2048(3) | 1,864,000 | 1,752,160 | ||||||
Ecolab, Inc. | ||||||||
2.25%, 01/12/2020 | 233,000 | 231,462 | ||||||
3.25%, 01/14/2023 | 452,000 | 450,224 | ||||||
3.25%, 12/01/2027 | 646,000 | 623,923 | ||||||
ERAC USA Finance LLC | ||||||||
4.50%, 08/16/2021(3) | 400,000 | 408,062 | ||||||
6.70%, 06/01/2034(3) | 508,000 | 603,903 | ||||||
5.63%, 03/15/2042(3) | 357,000 | 390,749 | ||||||
4.50%, 02/15/2045(3) | 300,000 | 282,607 | ||||||
Express Scripts Holding Co. | ||||||||
4.75%, 11/15/2021 | 4,000,000 | 4,114,329 | ||||||
3.05%, 11/30/2022 | 9,105,000 | 8,811,342 | ||||||
3.00%, 07/15/2023 | 178,000 | 171,310 | ||||||
3.50%, 06/15/2024 | 897,000 | 871,029 | ||||||
4.50%, 02/25/2026 | 755,000 | 765,571 | ||||||
4.80%, 07/15/2046 | 218,000 | 209,266 | ||||||
Fomento Economico Mexicano SAB de CV | ||||||||
4.38%, 05/10/2043 | 526,000 | 503,800 | ||||||
General Mills, Inc. | ||||||||
4.00%, 04/17/2025 | 925,000 | 910,726 | ||||||
4.20%, 04/17/2028 | 585,000 | 573,055 | ||||||
4.55%, 04/17/2038 | 3,250,000 | 3,018,641 | ||||||
Gilead Sciences, Inc. | ||||||||
3.70%, 04/01/2024 | 4,887,000 | 4,878,488 | ||||||
3.50%, 02/01/2025 | 385,000 | 380,074 | ||||||
3.65%, 03/01/2026 | 374,000 | 366,774 | ||||||
4.60%, 09/01/2035 | 4,558,000 | 4,606,579 | ||||||
4.00%, 09/01/2036 | 313,000 | 285,647 |
GlaxoSmithKline Capital Plc | ||||||||
2.85%, 05/08/2022 | 320,000 | 315,989 | ||||||
GlaxoSmithKline Capital, Inc. | ||||||||
6.38%, 05/15/2038 | 217,000 | 272,947 | ||||||
Grupo Bimbo SAB de CV | ||||||||
3.88%, 06/27/2024(3) | 5,000,000 | 4,915,040 | ||||||
4.70%, 11/10/2047(3) | 4,500,000 | 4,048,020 | ||||||
Highmark, Inc. | ||||||||
4.75%, 05/15/2021(3) | 3,322,000 | 3,391,313 | ||||||
JM Smucker Co./The | ||||||||
3.00%, 03/15/2022 | 4,750,000 | 4,634,351 | ||||||
Johnson & Johnson | ||||||||
2.63%, 01/15/2025 | 1,772,000 | 1,706,842 | ||||||
4.38%, 12/05/2033 | 1,225,000 | 1,310,215 | ||||||
3.40%, 01/15/2038 | 1,852,000 | 1,725,936 | ||||||
Kellogg Co. | ||||||||
3.25%, 05/14/2021 | 5,430,000 | 5,377,492 | ||||||
3.40%, 11/15/2027 | 1,200,000 | 1,118,230 | ||||||
Keurig Dr Pepper, Inc. | ||||||||
3.13%, 12/15/2023 | 925,000 | 883,333 | ||||||
3.43%, 06/15/2027 | 1,802,000 | 1,658,012 | ||||||
4.42%, 12/15/2046 | 9,350,000 | 8,263,877 | ||||||
Keurig Dr. Pepper, Inc. | ||||||||
3.55%, 05/25/2021(3) | 3,945,000 | 3,938,874 | ||||||
Kimberly-Clark Co. | ||||||||
2.40%, 03/01/2022 | 140,000 | 136,772 | ||||||
Kraft Foods Group, Inc. | ||||||||
6.88%, 01/26/2039 | 749,000 | 836,523 | ||||||
5.00%, 06/04/2042 | 505,000 | 452,132 | ||||||
Kraft Heinz Foods Co. | ||||||||
2.80%, 07/02/2020 | 3,775,000 | 3,741,682 | ||||||
4.00%, 06/15/2023 | 138,000 | 137,630 | ||||||
3.00%, 06/01/2026 | 3,625,000 | 3,235,445 | ||||||
5.00%, 07/15/2035 | 2,785,000 | 2,618,188 | ||||||
4.38%, 06/01/2046 | 5,760,000 | 4,751,387 | ||||||
Kroger Co. | ||||||||
7.50%, 04/01/2031 | 1,000,000 | 1,232,540 | ||||||
5.40%, 07/15/2040 | 95,000 | 96,634 | ||||||
4.45%, 02/01/2047 | 1,010,000 | 886,086 | ||||||
Laboratory Co. of America Holdings | ||||||||
4.63%, 11/15/2020 | 6,630,000 | 6,767,156 | ||||||
3.20%, 02/01/2022 | 1,127,000 | 1,118,421 | ||||||
Magellan Health, Inc. | ||||||||
4.40%, 09/22/2024 | 1,917,000 | 1,801,511 | ||||||
Maple Escrow Subsidiary, Inc. | ||||||||
4.06%, 05/25/2023(3) | 19,572,000 | 19,491,185 | ||||||
4.42%, 05/25/2025(3) | 447,000 | 445,124 | ||||||
4.99%, 05/25/2038(3) | 646,000 | 619,997 | ||||||
Massachusetts Institute of Technology | ||||||||
4.68%, 07/01/2114 | 1,645,000 | 1,808,979 | ||||||
3.89%, 07/01/2116 | 2,906,000 | 2,652,202 | ||||||
McCormick & Co., Inc. | ||||||||
3.15%, 08/15/2024 | 299,000 | 288,201 | ||||||
3.40%, 08/15/2027 | 594,000 | 561,456 | ||||||
Mead Johnson Nutrition Co. | ||||||||
4.13%, 11/15/2025 | 891,000 | 914,485 |
Medtronic, Inc. | ||||||||
3.13%, 03/15/2022 | 419,000 | 417,379 | ||||||
3.15%, 03/15/2022 | 396,000 | 394,889 | ||||||
3.50%, 03/15/2025 | 12,461,000 | 12,417,141 | ||||||
4.38%, 03/15/2035 | 924,000 | 946,999 | ||||||
Merck & Co., Inc. | ||||||||
2.80%, 05/18/2023 | 526,000 | 518,885 | ||||||
3.70%, 02/10/2045 | 70,000 | 67,328 | ||||||
Mondelez International, Inc. | ||||||||
3.00%, 05/07/2020 | 8,660,000 | 8,626,670 | ||||||
Mount Sinai Hospitals Group, Inc. | ||||||||
3.98%, 07/01/2048 | 999,000 | 935,778 | ||||||
Mylan NV | ||||||||
2.50%, 06/07/2019 | 2,690,000 | 2,677,358 | ||||||
3.15%, 06/15/2021 | 4,415,000 | 4,323,422 | ||||||
3.95%, 06/15/2026 | 532,000 | 485,111 | ||||||
Mylan, Inc. | ||||||||
3.13%, 01/15/2023(3) | 5,000,000 | 4,688,389 | ||||||
4.55%, 04/15/2028(3) | 700,000 | 652,797 | ||||||
5.20%, 04/15/2048(3) | 715,000 | 590,257 | ||||||
New York and Presbyterian Hospital | ||||||||
4.02%, 08/01/2045 | 125,000 | 121,713 | ||||||
Novartis Capital Corp. | ||||||||
2.40%, 05/17/2022 | 6,440,000 | 6,280,559 | ||||||
3.00%, 11/20/2025 | 922,000 | 893,559 | ||||||
Orlando Health Obligated Group | ||||||||
4.09%, 10/01/2048 | 2,605,000 | 2,486,384 | ||||||
PepsiCo, Inc. | ||||||||
3.00%, 08/25/2021 | 258,000 | 258,613 | ||||||
4.60%, 07/17/2045 | 196,000 | 209,254 | ||||||
Pfizer, Inc. | ||||||||
5.80%, 08/12/2023 | 4,000,000 | 4,439,878 | ||||||
3.00%, 12/15/2026 | 1,125,000 | 1,086,826 | ||||||
Philip Morris International, Inc. | ||||||||
2.50%, 11/02/2022 | 1,300,000 | 1,249,365 | ||||||
President & Fellows of Harvard College | ||||||||
3.30%, 07/15/2056 | 5,599,000 | 4,961,902 | ||||||
Procter & Gamble—Esop | ||||||||
9.36%, 01/01/2021 | 83,583 | 88,617 | ||||||
Procter & Gamble Co. | ||||||||
2.70%, 02/02/2026 | 750,000 | 718,191 | ||||||
Providence St Joseph Health Obligated Group | ||||||||
2.75%, 10/01/2026 | 1,200,000 | 1,117,371 | ||||||
Quest Diagnostics, Inc. | ||||||||
3.50%, 03/30/2025 | 4,820,000 | 4,702,310 | ||||||
3.45%, 06/01/2026 | 223,000 | 214,146 | ||||||
Reckitt Benckiser Treasury Services Plc | ||||||||
2.38%, 06/24/2022(3) | 1,200,000 | 1,152,502 | ||||||
Reynolds American, Inc. | ||||||||
4.45%, 06/12/2025 | 5,000,000 | 4,823,254 | ||||||
5.70%, 08/15/2035 | 1,100,000 | 1,075,077 | ||||||
Shire Acquisitions Investments Ireland DAC | ||||||||
2.40%, 09/23/2021 | 13,135,000 | 12,700,781 | ||||||
2.88%, 09/23/2023 | 668,000 | 631,431 | ||||||
3.20%, 09/23/2026 | 1,745,000 | 1,579,916 | ||||||
Smithfield Foods, Inc. | ||||||||
3.35%, 02/01/2022(3) | 10,000,000 | 9,562,826 |
Sysco Corp. | ||||||||
3.55%, 03/15/2025 | 345,000 | 339,885 | ||||||
3.75%, 10/01/2025 | 277,000 | 270,233 | ||||||
3.25%, 07/15/2027 | 1,350,000 | 1,266,919 | ||||||
4.45%, 03/15/2048 | 200,000 | 190,102 | ||||||
Texas Health Resources | ||||||||
4.33%, 11/15/2055 | 1,000,000 | 1,015,483 | ||||||
The Procter & Gamble Co. | ||||||||
2.45%, 11/03/2026 | 450,000 | 421,610 | ||||||
Thermo Fisher Scientific, Inc. | ||||||||
3.00%, 04/15/2023 | 227,000 | 220,832 | ||||||
2.95%, 09/19/2026 | 476,000 | 439,508 | ||||||
Tyson Foods, Inc. | ||||||||
2.25%, 08/23/2021 | 3,600,000 | 3,486,109 | ||||||
4.50%, 06/15/2022 | 2,485,000 | 2,538,041 | ||||||
3.95%, 08/15/2024 | 1,100,000 | 1,093,539 | ||||||
4.88%, 08/15/2034 | 400,000 | 387,676 | ||||||
Unilever Capital Corp. | ||||||||
3.38%, 03/22/2025 | 800,000 | 798,770 | ||||||
UnitedHealth Group, Inc. | ||||||||
1.63%, 03/15/2019 | 291,000 | 290,214 | ||||||
3.38%, 11/15/2021 | 685,000 | 689,339 | ||||||
2.75%, 02/15/2023 | 520,000 | 508,788 | ||||||
2.88%, 03/15/2023 | 310,000 | 305,361 | ||||||
3.70%, 12/15/2025 | 4,029,000 | 4,071,144 | ||||||
3.10%, 03/15/2026 | 550,000 | 531,062 | ||||||
4.63%, 07/15/2035 | 427,000 | 453,701 | ||||||
4.38%, 03/15/2042 | 4,015,000 | 4,026,267 | ||||||
4.45%, 12/15/2048 | 5,565,000 | 5,736,633 | ||||||
Verisk Analytics, Inc. | ||||||||
4.00%, 06/15/2025 | 7,000,000 | 7,030,525 | ||||||
Wesleyan University | ||||||||
4.78%, 07/01/2116 | 3,257,000 | 3,336,853 | ||||||
Western Union Co. | ||||||||
3.60%, 03/15/2022 | 1,300,000 | 1,294,901 | ||||||
6.20%, 06/21/2040 | 300,000 | 284,173 | ||||||
Zimmer Biomet Holdings, Inc. | ||||||||
3.38%, 11/30/2021 | 3,650,000 | 3,609,597 | ||||||
3.70%, 03/19/2023 | 407,000 | 402,633 | ||||||
3.55%, 04/01/2025 | 6,000,000 | 5,705,183 | ||||||
Zoetis, Inc. | ||||||||
3.00%, 09/12/2027 | 4,685,000 | 4,323,997 | ||||||
|
| |||||||
622,697,396 | ||||||||
|
| |||||||
Diversified—0.06% | ||||||||
CK Hutchison International 16 Ltd. | ||||||||
1.88%, 10/03/2021(3) | 402,000 | 385,963 | ||||||
2.75%, 10/03/2026(3) | 600,000 | 551,824 | ||||||
CK Hutchison International 17 II Ltd. | ||||||||
2.75%, 03/29/2023(3) | 500,000 | 483,018 | ||||||
CK Hutchison International 17 Ltd. | ||||||||
2.88%, 04/05/2022(3) | 800,000 | 785,164 | ||||||
Hutchison Whampoa International 09 Ltd. | ||||||||
7.63%, 04/09/2019(3) | 612,000 | 619,053 | ||||||
Hutchison Whampoa International 09/19 Ltd. | ||||||||
5.75%, 09/11/2019(3) | 6,175,000 | 6,287,997 | ||||||
Hutchison Whampoa International 12 II Ltd. | ||||||||
3.25%, 11/08/2022(3) | 450,000 | 446,263 | ||||||
|
| |||||||
9,559,282 | ||||||||
|
|
Energy—3.09% | ||||||||
Abu Dhabi Crude Oil Pipeline LLC | ||||||||
4.60%, 11/02/2047(3) | 2,772,000 | 2,706,387 | ||||||
Alberta Energy Co. Ltd. | ||||||||
7.38%, 11/01/2031 | 274,000 | 320,702 | ||||||
Anadarko Finance Co. | ||||||||
7.50%, 05/01/2031 | 206,000 | 243,764 | ||||||
Anadarko Holding Co. | ||||||||
7.15%, 05/15/2028 | 170,000 | 185,387 | ||||||
Anadarko Petroleum Co. | ||||||||
8.70%, 03/15/2019 | 664,000 | 670,838 | ||||||
6.95%, 06/15/2019 | 11,711,000 | 11,874,375 | ||||||
4.85%, 03/15/2021 | 5,235,000 | 5,359,833 | ||||||
6.45%, 09/15/2036 | 6,096,000 | 6,589,935 | ||||||
0.00%, 10/10/2036 | 4,000,000 | 1,670,759 | ||||||
ANR Pipeline Co. | ||||||||
9.63%, 11/01/2021 | 337,000 | 390,512 | ||||||
Apache Co. | ||||||||
3.25%, 04/15/2022 | 78,000 | 76,355 | ||||||
5.10%, 09/01/2040 | 600,000 | 538,484 | ||||||
4.75%, 04/15/2043 | 416,000 | 357,155 | ||||||
APT Pipelines Ltd. | ||||||||
4.20%, 03/23/2025(3) | 2,100,000 | 2,046,053 | ||||||
4.25%, 07/15/2027(3) | 1,098,000 | 1,068,982 | ||||||
Baker Hughes, Inc. | ||||||||
5.13%, 09/15/2040 | 600,000 | 572,325 | ||||||
BP Capital Markets America, Inc. | ||||||||
3.25%, 05/06/2022 | 262,000 | 259,716 | ||||||
3.79%, 02/06/2024 | 9,145,000 | 9,243,040 | ||||||
3.22%, 04/14/2024 | 2,262,000 | 2,214,493 | ||||||
3.02%, 01/16/2027 | 1,052,000 | 988,735 | ||||||
BP Capital Markets Plc | ||||||||
2.24%, 05/10/2019 | 400,000 | 398,886 | ||||||
3.81%, 02/10/2024 | 1,615,000 | 1,629,906 | ||||||
3.54%, 11/04/2024 | 700,000 | 693,443 | ||||||
3.51%, 03/17/2025 | 45,000 | 44,135 | ||||||
3.28%, 09/19/2027 | 1,101,000 | 1,048,553 | ||||||
Buckeye Partners LP | ||||||||
4.88%, 02/01/2021 | 704,000 | 711,799 | ||||||
3.95%, 12/01/2026 | 112,000 | 98,443 | ||||||
5.85%, 11/15/2043 | 591,000 | 542,172 | ||||||
Cameron International Co. | ||||||||
3.60%, 04/30/2022 | 5,900,000 | 5,819,349 | ||||||
Canadian Natural Resources Ltd. | ||||||||
7.20%, 01/15/2032 | 41,000 | 49,372 | ||||||
6.45%, 06/30/2033 | 1,153,000 | 1,290,885 | ||||||
5.85%, 02/01/2035 | 200,000 | 212,793 | ||||||
6.50%, 02/15/2037 | 118,000 | 133,642 | ||||||
6.25%, 03/15/2038 | 2,078,000 | 2,281,702 | ||||||
6.75%, 02/01/2039 | 206,000 | 241,070 | ||||||
Cenovus Energy, Inc. | ||||||||
5.25%, 06/15/2037 | 5,270,000 | 4,647,428 | ||||||
6.75%, 11/15/2039 | 1,168,000 | 1,140,974 | ||||||
4.45%, 09/15/2042 | 310,000 | 242,691 | ||||||
5.40%, 06/15/2047 | 2,217,000 | 1,916,033 |
Chevron Co. | ||||||||
2.36%, 12/05/2022 | 315,000 | 305,025 | ||||||
2.57%, 05/16/2023 | 2,000,000 | 1,947,634 | ||||||
2.90%, 03/03/2024 | 1,303,000 | 1,271,545 | ||||||
CNOOC Finance 2013 Ltd. | ||||||||
3.00%, 05/09/2023 | 2,200,000 | 2,123,374 | ||||||
CNOOC Finance 2015 Australia Pty Ltd. | ||||||||
2.63%, 05/05/2020 | 1,583,000 | 1,567,371 | ||||||
CNOOC Finance 2015 USA LLC | ||||||||
3.50%, 05/05/2025 | 670,000 | 648,914 | ||||||
CNOOC Nexen Finance 2014 ULC | ||||||||
4.25%, 04/30/2024 | 1,165,000 | 1,181,039 | ||||||
Columbia Pipeline Group, Inc. | ||||||||
5.80%, 06/01/2045 | 2,700,000 | 2,898,720 | ||||||
ConocoPhillips Co. | ||||||||
4.95%, 03/15/2026 | 598,000 | 640,240 | ||||||
Continental Resources, Inc./OK | ||||||||
4.50%, 04/15/2023 | 15,532,000 | 15,285,356 | ||||||
Devon Energy Corp. | ||||||||
4.00%, 07/15/2021 | 2,781,000 | 2,783,639 | ||||||
5.60%, 07/15/2041 | 1,000,000 | 949,247 | ||||||
Ecopetrol SA | ||||||||
5.88%, 09/18/2023 | 395,000 | 411,788 | ||||||
4.13%, 01/16/2025 | 383,000 | 363,371 | ||||||
5.38%, 06/26/2026 | 537,000 | 540,356 | ||||||
Enable Midstream Partners LP | ||||||||
4.95%, 05/15/2028 | 615,000 | 582,506 | ||||||
Enbridge Energy Partners LP | ||||||||
4.38%, 10/15/2020 | 6,575,000 | 6,650,611 | ||||||
7.50%, 04/15/2038 | 1,000,000 | 1,261,926 | ||||||
Enbridge, Inc. | ||||||||
3.70%, 07/15/2027 | 538,000 | 509,851 | ||||||
4.50%, 06/10/2044 | 500,000 | 478,418 | ||||||
6.25% (3 Month LIBOR USD + 3.64%), 03/01/2078(2) | 950,000 | 854,646 | ||||||
Encana Corp. | ||||||||
6.50%, 05/15/2019 | 240,000 | 242,468 | ||||||
3.90%, 11/15/2021 | 1,600,000 | 1,601,287 | ||||||
8.13%, 09/15/2030 | 400,000 | 504,077 | ||||||
7.20%, 11/01/2031 | 500,000 | 565,858 | ||||||
6.50%, 08/15/2034 | 268,000 | 283,808 | ||||||
Energy Transfer Partners LP | ||||||||
9.70%, 03/15/2019 | 107,000 | 108,271 | ||||||
3.60%, 02/01/2023 | 229,000 | 220,613 | ||||||
4.90%, 02/01/2024 | 687,000 | 695,327 | ||||||
4.05%, 03/15/2025 | 682,000 | 646,528 | ||||||
4.75%, 01/15/2026 | 497,000 | 483,274 | ||||||
7.50%, 07/01/2038 | 1,500,000 | 1,675,967 | ||||||
6.05%, 06/01/2041 | 500,000 | 478,261 | ||||||
6.50%, 02/01/2042 | 1,240,000 | 1,238,972 | ||||||
6.00%, 06/15/2048 | 3,876,000 | 3,779,027 | ||||||
Energy Transfer Partners LP / Regency Energy Finance Corp. | ||||||||
5.88%, 03/01/2022 | 5,000,000 | 5,202,138 | ||||||
5.00%, 10/01/2022 | 6,300,000 | 6,429,061 | ||||||
Eni SpA | ||||||||
5.70%, 10/01/2040(3) | 557,000 | 577,067 | ||||||
Eni USA, Inc. | ||||||||
7.30%, 11/15/2027 | 400,000 | 465,739 |
EnLink Midstream Partners LP | ||||||||
2.70%, 04/01/2019 | 600,000 | 596,248 | ||||||
4.15%, 06/01/2025 | 1,000,000 | 901,924 | ||||||
Enterprise Products Operating LLC | ||||||||
3.50%, 02/01/2022 | 3,245,000 | 3,253,453 | ||||||
3.90%, 02/15/2024 | 3,400,000 | 3,420,114 | ||||||
3.75%, 02/15/2025 | 515,000 | 509,786 | ||||||
3.70%, 02/15/2026 | 304,000 | 299,674 | ||||||
4.15%, 10/16/2028 | 4,786,000 | 4,764,856 | ||||||
6.88%, 03/01/2033 | 1,200,000 | 1,471,676 | ||||||
6.65%, 10/15/2034 | 672,000 | 804,955 | ||||||
5.75%, 03/01/2035 | 1,075,000 | 1,136,834 | ||||||
5.95%, 02/01/2041 | 201,000 | 220,777 | ||||||
4.85%, 08/15/2042 | 4,000,000 | 3,856,196 | ||||||
4.80%, 02/01/2049 | 2,588,000 | 2,517,596 | ||||||
4.95%, 10/15/2054 | 177,000 | 172,267 | ||||||
EOG Resources, Inc. | ||||||||
4.10%, 02/01/2021 | 547,000 | 554,942 | ||||||
2.63%, 03/15/2023 | 249,000 | 239,200 | ||||||
EQT Corp. | ||||||||
3.90%, 10/01/2027 | 805,000 | 694,365 | ||||||
EQT Midstream Partners LP | ||||||||
4.75%, 07/15/2023 | 5,000,000 | 4,976,578 | ||||||
4.00%, 08/01/2024 | 2,000,000 | 1,913,431 | ||||||
Equinor ASA | ||||||||
3.15%, 01/23/2022 | 237,000 | 236,352 | ||||||
2.45%, 01/17/2023 | 280,000 | 272,038 | ||||||
2.65%, 01/15/2024 | 663,000 | 641,235 | ||||||
3.25%, 11/10/2024 | 508,000 | 505,833 | ||||||
Exxon Mobil Co. | ||||||||
4.11%, 03/01/2046 | 716,000 | 729,495 | ||||||
Gazprom OAO Via Gaz Capital SA | ||||||||
6.51%, 03/07/2022(3) | 1,140,000 | 1,190,445 | ||||||
4.95%, 07/19/2022(3) | 610,000 | 614,875 | ||||||
Halliburton Co. | ||||||||
3.25%, 11/15/2021 | 12,079,000 | 12,068,628 | ||||||
3.50%, 08/01/2023 | 1,032,000 | 1,024,321 | ||||||
4.85%, 11/15/2035 | 200,000 | 196,572 | ||||||
7.45%, 09/15/2039 | 521,000 | 648,268 | ||||||
7.60%, 08/15/2096(3) | 258,000 | 330,929 | ||||||
Helmerich & Payne, Inc. | ||||||||
4.65%, 03/15/2025(3) | 4,710,000 | 4,804,515 | ||||||
Hess Corp. | ||||||||
7.13%, 03/15/2033 | 2,040,000 | 2,165,683 | ||||||
Husky Energy, Inc. | ||||||||
6.15%, 06/15/2019 | 119,000 | 120,725 | ||||||
6.80%, 09/15/2037 | 2,100,000 | 2,508,241 | ||||||
KazMunayGas National Co. | ||||||||
3.88%, 04/19/2022(3) | 1,590,000 | 1,563,193 | ||||||
Kerr-McGee Co. | ||||||||
6.95%, 07/01/2024 | 127,000 | 141,577 | ||||||
7.88%, 09/15/2031 | 900,000 | 1,078,506 | ||||||
Kinder Morgan Energy Partners LP | ||||||||
9.00%, 02/01/2019 | 454,000 | 455,958 | ||||||
5.00%, 10/01/2021 | 4,875,000 | 5,012,281 | ||||||
4.30%, 05/01/2024 | 3,700,000 | 3,699,953 | ||||||
7.30%, 08/15/2033 | 1,650,000 | 1,910,805 | ||||||
6.95%, 01/15/2038 | 2,242,000 | 2,503,038 |
6.50%, 09/01/2039 | 107,000 | 114,217 | ||||||
7.50%, 11/15/2040 | 483,000 | 557,689 | ||||||
5.00%, 03/01/2043 | 3,705,000 | 3,365,649 | ||||||
Kinder Morgan, Inc./DE | ||||||||
4.30%, 03/01/2028 | 2,000,000 | 1,963,494 | ||||||
7.80%, 08/01/2031 | 4,600,000 | 5,523,733 | ||||||
5.20%, 03/01/2048 | 600,000 | 574,259 | ||||||
Magellan Midstream Partners LP | ||||||||
6.55%, 07/15/2019 | 206,000 | 209,044 | ||||||
4.25%, 02/01/2021 | 502,000 | 509,292 | ||||||
3.20%, 03/15/2025 | 386,000 | 364,614 | ||||||
4.20%, 12/01/2042 | 417,000 | 370,524 | ||||||
5.15%, 10/15/2043 | 441,000 | 443,078 | ||||||
4.20%, 03/15/2045 | 5,725,000 | 5,048,156 | ||||||
4.20%, 10/03/2047 | 1,050,000 | 934,959 | ||||||
Marathon Oil Co. | ||||||||
2.80%, 11/01/2022 | 700,000 | 657,429 | ||||||
Marathon Petroleum Corp. | ||||||||
3.40%, 12/15/2020 | 2,544,000 | 2,542,709 | ||||||
3.63%, 09/15/2024 | 1,241,000 | 1,207,456 | ||||||
4.50%, 04/01/2048(3) | 3,000,000 | 2,521,458 | ||||||
MPLX LP | ||||||||
4.88%, 12/01/2024 | 3,819,000 | 3,887,191 | ||||||
4.13%, 03/01/2027 | 622,000 | 592,531 | ||||||
4.80%, 02/15/2029 | 4,054,000 | 4,046,526 | ||||||
4.50%, 04/15/2038 | 4,474,000 | 3,911,599 | ||||||
5.20%, 03/01/2047 | 1,573,000 | 1,449,754 | ||||||
5.50%, 02/15/2049 | 2,829,000 | 2,755,323 | ||||||
Newfield Exploration Co. | ||||||||
5.75%, 01/30/2022 | 5,337,000 | 5,390,370 | ||||||
5.63%, 07/01/2024 | 1,682,000 | 1,703,025 | ||||||
5.38%, 01/01/2026 | 1,133,000 | 1,110,340 | ||||||
Nexen Energy ULC | ||||||||
6.40%, 05/15/2037 | 4,408,000 | 5,364,937 | ||||||
Noble Energy, Inc. | ||||||||
6.00%, 03/01/2041 | 3,208,000 | 3,134,658 | ||||||
5.25%, 11/15/2043 | 2,675,000 | 2,377,166 | ||||||
5.05%, 11/15/2044 | 6,400,000 | 5,519,303 | ||||||
Occidental Petroleum Co. | ||||||||
3.00%, 02/15/2027 | 333,000 | 317,462 | ||||||
4.63%, 06/15/2045 | 158,000 | 157,078 | ||||||
4.20%, 03/15/2048 | 500,000 | 478,567 | ||||||
Oleoducto Central SA | ||||||||
4.00%, 05/07/2021(3) | 225,000 | 221,065 | ||||||
ONEOK Partners LP | ||||||||
8.63%, 03/01/2019 | 353,000 | 355,500 | ||||||
3.38%, 10/01/2022 | 151,000 | 148,253 | ||||||
5.00%, 09/15/2023 | 3,923,000 | 4,041,974 | ||||||
4.90%, 03/15/2025 | 2,500,000 | 2,533,906 | ||||||
6.65%, 10/01/2036 | 1,050,000 | 1,175,837 | ||||||
6.20%, 09/15/2043 | 2,500,000 | 2,682,724 | ||||||
ONEOK, Inc. | ||||||||
4.95%, 07/13/2047 | 1,850,000 | 1,711,246 | ||||||
Pertamina Persero PT | ||||||||
6.50%, 11/07/2048(3) | 1,911,000 | 2,006,760 |
Petro-Canada | ||||||||
7.88%, 06/15/2026 | 543,000 | 650,933 | ||||||
5.95%, 05/15/2035 | 350,000 | 392,900 | ||||||
6.80%, 05/15/2038 | 423,000 | 492,582 | ||||||
Petroleos Mexicanos | ||||||||
8.00%, 05/03/2019 | 1,689,000 | 1,707,579 | ||||||
5.50%, 01/21/2021 | 11,147,000 | 11,099,737 | ||||||
6.38%, 02/04/2021 | 448,000 | 452,928 | ||||||
4.88%, 01/24/2022 | 3,500,000 | 3,407,250 | ||||||
5.38%, 03/13/2022 | 1,130,000 | 1,106,835 | ||||||
4.63%, 09/21/2023 | 1,292,000 | 1,212,542 | ||||||
4.88%, 01/18/2024 | 363,000 | 338,316 | ||||||
6.88%, 08/04/2026 | 5,324,000 | 5,174,928 | ||||||
6.50%, 03/13/2027 | 7,419,000 | 6,973,860 | ||||||
5.35%, 02/12/2028 | 847,000 | 739,007 | ||||||
6.50%, 01/23/2029 | 1,939,000 | 1,808,118 | ||||||
6.63%, 06/15/2035 | 1,647,000 | 1,437,831 | ||||||
6.50%, 06/02/2041 | 2,870,000 | 2,376,360 | ||||||
6.38%, 01/23/2045 | 1,002,000 | 806,610 | ||||||
6.75%, 09/21/2047 | 8,329,000 | 6,887,167 | ||||||
6.35%, 02/12/2048 | 1,375,000 | 1,095,215 | ||||||
Phillips 66 | ||||||||
4.30%, 04/01/2022 | 5,736,000 | 5,888,479 | ||||||
3.90%, 03/15/2028 | 710,000 | 686,260 | ||||||
5.88%, 05/01/2042 | 3,000,000 | 3,278,930 | ||||||
4.88%, 11/15/2044 | 70,000 | 68,158 | ||||||
Phillips 66 Partners LP | ||||||||
2.65%, 02/15/2020 | 3,650,000 | 3,618,114 | ||||||
3.61%, 02/15/2025 | 560,000 | 538,240 | ||||||
3.55%, 10/01/2026 | 190,000 | 177,679 | ||||||
4.68%, 02/15/2045 | 2,100,000 | 1,893,497 | ||||||
4.90%, 10/01/2046 | 412,000 | 376,485 | ||||||
Plains All American Pipeline LP / PAA Finance Corp. | ||||||||
3.60%, 11/01/2024 | 1,050,000 | 999,166 | ||||||
4.65%, 10/15/2025 | 650,000 | 639,525 | ||||||
4.70%, 06/15/2044 | 4,000,000 | 3,436,494 | ||||||
4.90%, 02/15/2045 | 200,000 | 171,118 | ||||||
Raizen Fuels Finance SA | ||||||||
5.30%, 01/20/2027(3) | 900,000 | 873,675 | ||||||
Reliance Holding USA, Inc. | ||||||||
5.40%, 02/14/2022(3) | 1,115,000 | 1,154,618 | ||||||
Rockies Express Pipeline LLC | ||||||||
5.63%, 04/15/2020(3) | 215,000 | 215,000 | ||||||
Sabal Trail Transmission LLC | ||||||||
4.68%, 05/01/2038(3) | 10,000,000 | 9,724,584 | ||||||
Sabine Pass Liquefaction LLC | ||||||||
5.88%, 06/30/2026 | 10,000,000 | 10,592,793 | ||||||
Schlumberger Holdings Co. | ||||||||
3.00%, 12/21/2020(3) | 5,431,000 | 5,382,817 | ||||||
3.63%, 12/21/2022(3) | 5,599,000 | 5,574,529 | ||||||
Schlumberger Investment SA | ||||||||
3.30%, 09/14/2021(3) | 2,362,000 | 2,367,614 | ||||||
Shell International Finance BV | ||||||||
2.13%, 05/11/2020 | 699,000 | 691,810 | ||||||
4.13%, 05/11/2035 | 1,244,000 | 1,246,872 | ||||||
Sinopec Group Overseas Development 2015 Ltd. | ||||||||
2.50%, 04/28/2020(3) | 9,000,000 | 8,888,163 | ||||||
Sinopec Group Overseas Development 2016 Ltd. | ||||||||
3.50%, 05/03/2026(3) | 2,000,000 | 1,922,142 |
Southern Natural Gas Co. LLC | ||||||||
8.00%, 03/01/2032 | 446,000 | 568,543 | ||||||
4.80%, 03/15/2047(3) | 428,000 | 407,886 | ||||||
Spectra Energy Partners LP | ||||||||
3.50%, 03/15/2025 | 787,000 | 751,605 | ||||||
5.95%, 09/25/2043 | 207,000 | 226,302 | ||||||
4.50%, 03/15/2045 | 3,000,000 | 2,716,209 | ||||||
Suncor Energy, Inc. | ||||||||
5.95%, 12/01/2034 | 1,048,000 | 1,167,591 | ||||||
Sunoco Logistics Partners Operations LP | ||||||||
5.50%, 02/15/2020 | 410,000 | 417,873 | ||||||
4.25%, 04/01/2024 | 833,000 | 808,094 | ||||||
5.95%, 12/01/2025 | 200,000 | 208,671 | ||||||
4.95%, 01/15/2043 | 1,482,000 | 1,241,425 | ||||||
5.30%, 04/01/2044 | 200,000 | 176,802 | ||||||
5.35%, 05/15/2045 | 633,000 | 560,930 | ||||||
5.40%, 10/01/2047 | 1,500,000 | 1,345,418 | ||||||
TC PipeLines LP | ||||||||
4.38%, 03/13/2025 | 8,465,000 | 8,446,628 | ||||||
3.90%, 05/25/2027 | 5,457,000 | 5,212,109 | ||||||
Tesoro Logistics LP / Tesoro Logistics Finance Corp. | ||||||||
5.25%, 01/15/2025 | 5,103,000 | 5,196,147 | ||||||
Texas Eastern Transmission LP | ||||||||
2.80%, 10/15/2022(3) | 714,000 | 686,579 | ||||||
3.50%, 01/15/2028(3) | 450,000 | 425,110 | ||||||
The Williams Cos., Inc. | ||||||||
3.90%, 01/15/2025 | 700,000 | 680,377 | ||||||
8.75%, 03/15/2032 | 4,207,000 | 5,476,775 | ||||||
6.30%, 04/15/2040 | 2,083,000 | 2,209,914 | ||||||
5.75%, 06/24/2044 | 2,500,000 | 2,515,511 | ||||||
4.90%, 01/15/2045 | 7,000,000 | 6,358,980 | ||||||
4.85%, 03/01/2048 | 3,890,000 | 3,541,684 | ||||||
Total Capital International SA | ||||||||
2.75%, 06/19/2021 | 900,000 | 894,820 | ||||||
2.70%, 01/25/2023 | 144,000 | 140,661 | ||||||
3.70%, 01/15/2024 | 350,000 | 356,926 | ||||||
3.75%, 04/10/2024 | 229,000 | 231,555 | ||||||
TransCanada PipeLines Ltd. | ||||||||
7.13%, 01/15/2019 | 273,000 | 273,354 | ||||||
4.88%, 01/15/2026 | 792,000 | 819,600 | ||||||
6.20%, 10/15/2037 | 573,000 | 624,115 | ||||||
4.75%, 05/15/2038 | 1,000,000 | 964,908 | ||||||
7.25%, 08/15/2038 | 217,000 | 259,998 | ||||||
Valero Energy Corp. | ||||||||
7.50%, 04/15/2032 | 250,000 | 308,551 | ||||||
6.63%, 06/15/2037 | 5,000,000 | 5,483,496 | ||||||
Western Gas Partners LP | ||||||||
5.38%, 06/01/2021 | 1,764,000 | 1,816,816 | ||||||
4.00%, 07/01/2022 | 2,190,000 | 2,171,141 | ||||||
3.95%, 06/01/2025 | 3,340,000 | 3,148,059 | ||||||
4.50%, 03/01/2028 | 238,000 | 222,592 | ||||||
5.45%, 04/01/2044 | 977,000 | 848,294 | ||||||
5.30%, 03/01/2048 | 588,000 | 508,011 | ||||||
Williams Cos., Inc. | ||||||||
4.30%, 03/04/2024 | 2,500,000 | 2,491,113 | ||||||
Williams Partners LP | ||||||||
5.40%, 03/04/2044 | 2,750,000 | 2,624,204 | ||||||
Woodside Finance Ltd. | ||||||||
3.65%, 03/05/2025(3) | 3,300,000 | 3,135,775 | ||||||
|
| |||||||
496,922,231 | ||||||||
|
|
Financials—12.23% | ||||||||
ABN AMRO Bank NV | ||||||||
2.45%, 06/04/2020(3) | 3,594,000 | 3,547,602 | ||||||
2.65%, 01/19/2021(3) | 1,000,000 | 985,606 | ||||||
4.75%, 07/28/2025(3) | 6,031,000 | 6,000,495 | ||||||
ACE INA Holdings, Inc. | ||||||||
2.88%, 11/03/2022 | 312,000 | 309,341 | ||||||
2.70%, 03/13/2023 | 300,000 | 293,143 | ||||||
3.15%, 03/15/2025 | 934,000 | 913,573 | ||||||
3.35%, 05/03/2026 | 250,000 | 244,679 | ||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | ||||||||
4.50%, 05/15/2021 | 6,871,000 | 6,890,574 | ||||||
3.30%, 01/23/2023 | 701,000 | 666,411 | ||||||
3.50%, 01/15/2025 | 1,500,000 | 1,369,130 | ||||||
AIA Group Ltd. | ||||||||
3.20%, 03/11/2025(3) | 9,545,000 | 9,197,119 | ||||||
3.90%, 04/06/2028(3) | 1,000,000 | 1,001,311 | ||||||
AIB Group Plc | ||||||||
4.75%, 10/12/2023(3) | 3,500,000 | 3,465,144 | ||||||
AIG Global Funding | ||||||||
1.95%, 10/18/2019(3) | 6,666,000 | 6,615,875 | ||||||
AIG SunAmerica Global Financing X | ||||||||
6.90%, 03/15/2032(3) | 955,000 | 1,216,667 | ||||||
Air Lease Corp. | ||||||||
3.25%, 03/01/2025 | 710,000 | 653,860 | ||||||
Aircastle Ltd. | ||||||||
4.40%, 09/25/2023 | 1,480,000 | 1,455,521 | ||||||
Alexandria Real Estate Equities, Inc. | ||||||||
4.70%, 07/01/2030 | 2,981,000 | 3,018,983 | ||||||
Allstate Co./The | ||||||||
3.15%, 06/15/2023 | 420,000 | 419,440 | ||||||
Ally Financial, Inc. | ||||||||
3.50%, 01/27/2019 | 1,000,000 | 999,375 | ||||||
American Express Co. | ||||||||
3.70%, 11/05/2021 | 14,490,000 | 14,619,540 | ||||||
3.40%, 02/27/2023 | 500,000 | 495,318 | ||||||
3.70%, 08/03/2023 | 5,285,000 | 5,299,955 | ||||||
4.20%, 11/06/2025 | 1,400,000 | 1,427,794 | ||||||
American Express Credit Corp. | ||||||||
2.13%, 03/18/2019 | 318,000 | 317,481 | ||||||
2.25%, 08/15/2019 | 250,000 | 248,868 | ||||||
2.38%, 05/26/2020 | 894,000 | 884,494 | ||||||
2.60%, 09/14/2020 | 319,000 | 315,679 | ||||||
2.25%, 05/05/2021 | 380,000 | 371,853 | ||||||
2.70%, 03/03/2022 | 1,250,000 | 1,225,191 | ||||||
American Financial Group, Inc./OH | ||||||||
3.50%, 08/15/2026 | 1,435,000 | 1,354,413 | ||||||
American International Group, Inc. | ||||||||
6.40%, 12/15/2020 | 5,100,000 | 5,385,023 | ||||||
4.88%, 06/01/2022 | 3,500,000 | 3,631,164 | ||||||
4.13%, 02/15/2024 | 879,000 | 882,538 | ||||||
3.75%, 07/10/2025 | 444,000 | 425,312 | ||||||
3.90%, 04/01/2026 | 1,370,000 | 1,319,886 | ||||||
3.88%, 01/15/2035 | 376,000 | 323,680 | ||||||
4.50%, 07/16/2044 | 6,043,000 | 5,395,841 | ||||||
8.18% (3 Month LIBOR USD + 4.20%), 05/15/2058(2) | 107,000 | 121,980 |
American Tower Corp. | ||||||||
2.25%, 01/15/2022 | 600,000 | 574,180 | ||||||
3.50%, 01/31/2023 | 341,000 | 335,107 | ||||||
3.38%, 10/15/2026 | 506,000 | 470,988 | ||||||
American Tower Trust #1 | ||||||||
3.07%, 03/15/2048(3) | 2,900,000 | 2,854,947 | ||||||
Ameriprise Financial, Inc. | ||||||||
7.30%, 06/28/2019 | 215,000 | 219,323 | ||||||
2.88%, 09/15/2026 | 1,015,000 | 945,628 | ||||||
AmSouth Bancorp. | ||||||||
6.75%, 11/01/2025 | 527,000 | 599,736 | ||||||
ANZ New Zealand Int’l Ltd./London | ||||||||
2.60%, 09/23/2019(3) | 5,787,000 | 5,768,098 | ||||||
2.85%, 08/06/2020(3) | 250,000 | 247,967 | ||||||
3.45%, 01/21/2028(3) | 500,000 | 477,290 | ||||||
Aon Plc | ||||||||
4.00%, 11/27/2023 | 5,000,000 | 5,059,827 | ||||||
3.50%, 06/14/2024 | 815,000 | 795,771 | ||||||
Assurant, Inc. | ||||||||
4.20%, 09/27/2023 | 1,210,000 | 1,213,449 | ||||||
Athene Global Funding | ||||||||
2.75%, 04/20/2020(3) | 1,407,000 | 1,393,856 | ||||||
4.00%, 01/25/2022(3) | 1,104,000 | 1,115,256 | ||||||
3.00%, 07/01/2022(3) | 800,000 | 781,435 | ||||||
Athene Holding Ltd. | ||||||||
4.13%, 01/12/2028 | 1,380,000 | 1,254,258 | ||||||
Australia & New Zealand Banking Group Ltd. | ||||||||
2.25%, 12/19/2019(3) | 800,000 | 793,167 | ||||||
4.88%, 01/12/2021(3) | 296,000 | 305,482 | ||||||
4.50%, 03/19/2024(3) | 9,000,000 | 8,993,679 | ||||||
4.40%, 05/19/2026(3) | 226,000 | 218,596 | ||||||
AvalonBay Communities, Inc. | ||||||||
2.85%, 03/15/2023 | 600,000 | 586,636 | ||||||
2.90%, 10/15/2026 | 220,000 | 207,693 | ||||||
3.20%, 01/15/2028 | 500,000 | 474,501 | ||||||
3.90%, 10/15/2046 | 214,000 | 197,097 | ||||||
AXIS Specialty Finance Plc | ||||||||
2.65%, 04/01/2019 | 2,890,000 | 2,884,115 | ||||||
Banco del Estado de Chile | ||||||||
2.67%, 01/08/2021(3) | 9,493,000 | 9,279,407 | ||||||
Banco Santander SA | ||||||||
3.50%, 04/11/2022 | 5,000,000 | 4,906,476 | ||||||
3.13%, 02/23/2023 | 2,200,000 | 2,079,861 | ||||||
3.55% (3 Month LIBOR USD + 1.12%), 04/12/2023(2) | 1,000,000 | 980,584 | ||||||
3.85%, 04/12/2023 | 2,400,000 | 2,331,856 | ||||||
5.18%, 11/19/2025 | 1,500,000 | 1,493,244 | ||||||
4.38%, 04/12/2028 | 800,000 | 747,417 | ||||||
Bank Nederlandse Gemeenten NV | ||||||||
2.63%, 04/28/2021(3) | 6,350,000 | 6,344,679 | ||||||
Bank of America Corp. | ||||||||
2.60%, 01/15/2019 | 142,000 | 141,972 | ||||||
2.65%, 04/01/2019 | 710,000 | 709,258 | ||||||
2.63%, 10/19/2020 | 385,000 | 380,893 | ||||||
2.63%, 04/19/2021 | 6,205,000 | 6,120,381 | ||||||
2.37% (3 Month LIBOR USD + 0.66%), 07/21/2021(2) | 2,500,000 | 2,455,200 |
3.50% (3 Month LIBOR USD + 0.63%), 05/17/2022(2) | 24,477,000 | 24,479,753 | ||||||
2.50%, 10/21/2022 | 931,000 | 896,345 | ||||||
3.30%, 01/11/2023 | 5,233,000 | 5,153,478 | ||||||
3.12% (3 Month LIBOR USD + 1.16%), 01/20/2023(2) | 951,000 | 934,955 | ||||||
2.88% (3 Month LIBOR USD + 1.02%), 04/24/2023(2) | 1,640,000 | 1,594,978 | ||||||
3.00% (3 Month LIBOR USD + 0.79%), 12/20/2023(2) | 16,487,000 | 16,006,510 | ||||||
3.55% (3 Month LIBOR USD + 0.78%), 03/05/2024(2) | 1,600,000 | 1,580,559 | ||||||
4.00%, 04/01/2024 | 2,390,000 | 2,403,077 | ||||||
3.86% (3 Month LIBOR USD + 0.94%), 07/23/2024(2) | 4,717,000 | 4,705,471 | ||||||
4.20%, 08/26/2024 | 1,750,000 | 1,735,520 | ||||||
4.00%, 01/22/2025 | 22,309,000 | 21,741,256 | ||||||
3.95%, 04/21/2025 | 5,201,000 | 5,041,602 | ||||||
3.09% (3 Month LIBOR USD + 1.09%), 10/01/2025(2) | 5,055,000 | 4,792,732 | ||||||
3.37% (3 Month LIBOR USD + 0.81%), 01/23/2026(2) | 1,500,000 | 1,434,744 | ||||||
4.45%, 03/03/2026 | 7,140,000 | 7,064,459 | ||||||
4.25%, 10/22/2026 | 544,000 | 529,365 | ||||||
3.25%, 10/21/2027 | 5,800,000 | 5,363,535 | ||||||
3.82% (3 Month LIBOR USD + 1.58%), 01/20/2028(2) | 6,750,000 | 6,551,686 | ||||||
3.71% (3 Month LIBOR USD + 1.51%), 04/24/2028(2) | 4,500,000 | 4,319,090 | ||||||
3.59% (3 Month LIBOR USD + 1.37%), 07/21/2028(2) | 7,800,000 | 7,401,085 | ||||||
3.42% (3 Month LIBOR USD + 1.04%), 12/20/2028(2) | 700,000 | 654,293 | ||||||
3.97% (3 Month LIBOR USD + 1.07%), 03/05/2029(2) | 3,900,000 | 3,793,200 | ||||||
4.27% (3 Month LIBOR USD + 1.31%), 07/23/2029(2) | 1,500,000 | 1,493,868 | ||||||
6.11%, 01/29/2037 | 3,580,000 | 3,938,465 | ||||||
7.75%, 05/14/2038 | 137,000 | 177,354 | ||||||
Bank of Montreal | ||||||||
2.38%, 01/25/2019 | 215,000 | 214,917 | ||||||
1.50%, 07/18/2019 | 522,000 | 518,085 | ||||||
2.90% (3 Month LIBOR USD + 0.46%), 04/13/2021(2) | 2,400,000 | 2,385,626 | ||||||
3.10%, 04/13/2021 | 2,545,000 | 2,543,629 | ||||||
2.35%, 09/11/2022 | 1,378,000 | 1,331,075 | ||||||
3.80% (5 Year Swap Rate USD + 1.43%), 12/15/2032(2) | 6,500,000 | 6,019,000 | ||||||
Bank of New York Mellon Corp. | ||||||||
4.60%, 01/15/2020 | 387,000 | 393,415 | ||||||
2.60%, 08/17/2020 | 663,000 | 658,525 | ||||||
2.45%, 11/27/2020 | 247,000 | 244,078 | ||||||
2.50%, 04/15/2021 | 215,000 | 212,345 | ||||||
2.60%, 02/07/2022 | 700,000 | 686,620 | ||||||
2.95%, 01/29/2023 | 1,000,000 | 984,205 | ||||||
2.66% (3 Month LIBOR USD + 0.63%), 05/16/2023(2) | 355,000 | 345,252 | ||||||
3.25%, 09/11/2024 | 650,000 | 641,534 | ||||||
3.00%, 02/24/2025 | 5,360,000 | 5,177,733 | ||||||
2.80%, 05/04/2026 | 305,000 | 287,414 | ||||||
Bank of Nova Scotia | ||||||||
2.50%, 01/08/2021 | 9,639,000 | 9,517,528 | ||||||
1.85%, 04/14/2021 | 1,900,000 | 1,878,100 | ||||||
1.88%, 09/20/2021(3) | 400,000 | 389,211 | ||||||
2.70%, 03/07/2022 | 800,000 | 782,508 | ||||||
2.45%, 09/19/2022 | 5,000,000 | 4,827,335 | ||||||
Banque Federative du Credit Mutuel SA | ||||||||
2.00%, 04/12/2019(3) | 5,350,000 | 5,332,424 | ||||||
Barclays Plc | ||||||||
3.68%, 01/10/2023 | 15,364,000 | 14,761,778 | ||||||
4.34% (3 Month LIBOR USD + 1.36%), 05/16/2024(2) | 9,557,000 | 9,291,213 | ||||||
3.65%, 03/16/2025 | 2,522,000 | 2,324,626 | ||||||
4.38%, 01/12/2026 | 3,139,000 | 2,981,837 | ||||||
5.20%, 05/12/2026 | 500,000 | 479,291 |
4.34%, 01/10/2028 | 2,360,000 | 2,185,046 | ||||||
4.97% (3 Month LIBOR USD + 1.90%), 05/16/2029(2) | 2,450,000 | 2,363,597 | ||||||
4.95%, 01/10/2047 | 1,391,000 | 1,230,771 | ||||||
BB&T Corp. | ||||||||
6.85%, 04/30/2019 | 170,000 | 172,090 | ||||||
5.25%, 11/01/2019 | 284,000 | 288,751 | ||||||
2.63%, 06/29/2020 | 1,100,000 | 1,089,723 | ||||||
3.20%, 09/03/2021 | 14,988,000 | 14,961,253 | ||||||
2.85%, 10/26/2024 | 1,000,000 | 960,691 | ||||||
Berkshire Hathaway Finance Corp. | ||||||||
5.75%, 01/15/2040 | 134,000 | 159,677 | ||||||
4.40%, 05/15/2042 | 1,524,000 | 1,556,419 | ||||||
4.30%, 05/15/2043 | 322,000 | 325,852 | ||||||
4.20%, 08/15/2048 | 6,422,000 | 6,390,086 | ||||||
Berkshire Hathaway, Inc. | ||||||||
3.75%, 08/15/2021 | 605,000 | 618,123 | ||||||
3.00%, 02/11/2023 | 268,000 | 265,540 | ||||||
3.13%, 03/15/2026 | 8,130,000 | 7,883,857 | ||||||
BlackRock, Inc. | ||||||||
5.00%, 12/10/2019 | 484,000 | 492,687 | ||||||
4.25%, 05/24/2021 | 475,000 | 488,978 | ||||||
3.50%, 03/18/2024 | 405,000 | 409,355 | ||||||
Blackstone Holdings Finance Co. LLC | ||||||||
5.88%, 03/15/2021(3) | 1,445,000 | 1,521,127 | ||||||
4.45%, 07/15/2045(3) | 170,000 | 157,156 | ||||||
BNP Paribas SA | ||||||||
3.25%, 03/03/2023 | 1,820,000 | 1,783,717 | ||||||
3.80%, 01/10/2024(3) | 1,600,000 | 1,557,688 | ||||||
3.38%, 01/09/2025(3) | 10,725,000 | 10,097,285 | ||||||
4.40%, 08/14/2028(3) | 725,000 | 708,058 | ||||||
BNZ International Funding Ltd./London | ||||||||
2.10%, 09/14/2021(3) | 400,000 | 385,952 | ||||||
2.65%, 11/03/2022(3) | 10,091,000 | 9,729,824 | ||||||
3.38%, 03/01/2023(3) | 6,000,000 | 5,926,296 | ||||||
BOC Aviation Ltd. | ||||||||
2.38%, 09/15/2021(3) | 3,550,000 | 3,421,945 | ||||||
2.75%, 09/18/2022(3) | 780,000 | 750,483 | ||||||
Boston Properties LP | ||||||||
3.13%, 09/01/2023 | 300,000 | 289,811 | ||||||
3.20%, 01/15/2025 | 1,139,000 | 1,088,063 | ||||||
3.65%, 02/01/2026 | 557,000 | 539,320 | ||||||
BPCE SA | ||||||||
2.50%, 07/15/2019 | 1,300,000 | 1,295,009 | ||||||
2.75%, 01/11/2023(3) | 1,000,000 | 959,211 | ||||||
5.70%, 10/22/2023(3) | 3,645,000 | 3,774,120 | ||||||
4.63%, 07/11/2024(3) | 1,300,000 | 1,278,230 | ||||||
5.15%, 07/21/2024(3) | 4,800,000 | 4,819,546 | ||||||
3.38%, 12/02/2026 | 500,000 | 469,207 | ||||||
3.25%, 01/11/2028(3) | 7,815,000 | 7,248,796 | ||||||
Brixmor Operating Partnership LP | ||||||||
3.85%, 02/01/2025 | 1,100,000 | 1,063,711 | ||||||
Brookfield Finance, Inc. | ||||||||
3.90%, 01/25/2028 | 770,000 | 727,316 | ||||||
4.70%, 09/20/2047 | 769,000 | 708,045 | ||||||
Canadian Imperial Bank of Commerce | ||||||||
1.60%, 09/06/2019 | 1,500,000 | 1,486,491 | ||||||
2.55%, 06/16/2022 | 800,000 | 778,960 |
Capital One Bank USA NA | ||||||||
3.38%, 02/15/2023 | 6,000,000 | 5,793,081 | ||||||
Capital One Financial Corp. | ||||||||
2.45%, 04/24/2019 | 353,000 | 352,432 | ||||||
2.50%, 05/12/2020 | 7,800,000 | 7,697,956 | ||||||
3.45%, 04/30/2021 | 9,525,000 | 9,505,110 | ||||||
3.20%, 01/30/2023 | 5,000,000 | 4,865,329 | ||||||
3.75%, 04/24/2024 | 824,000 | 803,597 | ||||||
3.20%, 02/05/2025 | 726,000 | 678,042 | ||||||
4.20%, 10/29/2025 | 400,000 | 386,507 | ||||||
3.75%, 07/28/2026 | 960,000 | 879,747 | ||||||
Capital One NA | ||||||||
2.40%, 09/05/2019 | 500,000 | 496,971 | ||||||
2.95%, 07/23/2021 | 4,120,000 | 4,054,043 | ||||||
2.25%, 09/13/2021 | 7,005,000 | 6,757,003 | ||||||
Carlyle Investment Management LLC | ||||||||
4.35%, 07/15/2019(12) | 66,813 | 60,132 | ||||||
CDP Financial, Inc. | ||||||||
4.40%, 11/25/2019(3) | 310,000 | 314,445 | ||||||
Charles Schwab Co. | ||||||||
3.23%, 09/01/2022 | 165,000 | 165,070 | ||||||
3.20%, 03/02/2027 | 1,700,000 | 1,622,658 | ||||||
Citibank NA | ||||||||
3.05%, 05/01/2020 | 21,800,000 | 21,769,257 | ||||||
Citigroup, Inc. | ||||||||
2.40%, 02/18/2020 | 2,500,000 | 2,477,001 | ||||||
2.35%, 08/02/2021 | 269,000 | 261,312 | ||||||
2.75%, 04/25/2022 | 17,920,000 | 17,374,387 | ||||||
3.14% (3 Month LIBOR USD + 0.72%), 01/24/2023(2) | 1,111,000 | 1,091,233 | ||||||
2.88% (3 Month LIBOR USD + 0.95%), 07/24/2023(2) | 14,934,000 | 14,447,652 | ||||||
3.75%, 06/16/2024 | 4,000,000 | 3,971,661 | ||||||
4.40%, 06/10/2025 | 11,687,000 | 11,442,369 | ||||||
5.50%, 09/13/2025 | 494,000 | 518,625 | ||||||
3.70%, 01/12/2026 | 10,750,000 | 10,340,674 | ||||||
3.40%, 05/01/2026 | 1,000,000 | 941,089 | ||||||
3.20%, 10/21/2026 | 905,000 | 835,767 | ||||||
4.30%, 11/20/2026 | 1,570,000 | 1,510,523 | ||||||
4.45%, 09/29/2027 | 13,333,000 | 12,856,256 | ||||||
3.89% (3 Month LIBOR USD + 1.56%), 01/10/2028(2) | 4,100,000 | 3,943,835 | ||||||
6.63%, 01/15/2028 | 387,000 | 444,084 | ||||||
3.67% (3 Month LIBOR USD + 1.39%), 07/24/2028(2) | 3,300,000 | 3,119,197 | ||||||
3.52% (3 Month LIBOR USD + 1.15%), 10/27/2028(2) | 7,000,000 | 6,531,938 | ||||||
3.88% (3 Month LIBOR USD + 1.17%), 01/24/2039(2) | 500,000 | 449,413 | ||||||
8.13%, 07/15/2039 | 164,000 | 227,542 | ||||||
5.88%, 01/30/2042 | 212,000 | 239,884 | ||||||
4.75%, 05/18/2046 | 1,200,000 | 1,108,083 | ||||||
4.65%, 07/23/2048 | 3,311,000 | 3,240,426 | ||||||
Citizens Bank NA/Providence RI | ||||||||
2.45%, 12/04/2019 | 8,000,000 | 7,943,403 | ||||||
3.70%, 03/29/2023 | 1,370,000 | 1,376,705 | ||||||
Citizens Financial Group, Inc. | ||||||||
2.38%, 07/28/2021 | 188,000 | 183,125 | ||||||
4.30%, 12/03/2025 | 343,000 | 338,661 | ||||||
CME Group, Inc. | ||||||||
3.00%, 09/15/2022 | 1,135,000 | 1,131,187 | ||||||
3.00%, 03/15/2025 | 838,000 | 816,325 | ||||||
5.30%, 09/15/2043 | 115,000 | 134,390 |
CNA Financial Co. | ||||||||
7.25%, 11/15/2023 | 7,470,000 | 8,472,173 | ||||||
3.95%, 05/15/2024 | 303,000 | 300,169 | ||||||
3.45%, 08/15/2027 | 820,000 | 763,366 | ||||||
Comerica Bank | ||||||||
2.50%, 06/02/2020 | 8,000,000 | 7,899,447 | ||||||
Commonwealth Bank of Australia | ||||||||
2.00%, 09/06/2021(3) | 450,000 | 433,424 | ||||||
2.50%, 09/18/2022(3) | 800,000 | 772,654 | ||||||
3.45%, 03/16/2023(3) | 1,300,000 | 1,298,727 | ||||||
4.50%, 12/09/2025(3) | 778,000 | 762,516 | ||||||
2.85%, 05/18/2026(3) | 1,300,000 | 1,211,002 | ||||||
Commonwealth Bank of Australia/New York NY | ||||||||
2.30%, 09/06/2019 | 1,000,000 | 995,077 | ||||||
Compass Bank | ||||||||
2.75%, 09/29/2019 | 5,000,000 | 4,973,805 | ||||||
3.88%, 04/10/2025 | 7,840,000 | 7,518,841 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands | ||||||||
3.88%, 02/08/2022 | 5,323,000 | 5,381,583 | ||||||
4.38%, 08/04/2025 | 1,265,000 | 1,242,982 | ||||||
5.80%, 09/30/2110(3) | 361,000 | 397,336 | ||||||
Cooperatieve Rabobank UA | ||||||||
3.88%, 09/26/2023(3) | 1,400,000 | 1,404,754 | ||||||
4.63%, 12/01/2023 | 8,051,000 | 8,162,616 | ||||||
CPPIB Capital, Inc. | ||||||||
2.75%, 11/02/2027(3) | 3,000,000 | 2,924,889 | ||||||
Credit Agricole SA | ||||||||
3.25%, 10/04/2024(3) | 11,920,000 | 11,144,141 | ||||||
4.38%, 03/17/2025(3) | 305,000 | 295,274 | ||||||
4.00% (5 Year Swap Rate USD + 1.64%), 01/10/2033(2) (3) | 5,000,000 | 4,581,374 | ||||||
Credit Agricole SA/London | ||||||||
3.75%, 04/24/2023(3) | 575,000 | 562,627 | ||||||
4.13%, 01/10/2027(3) | 1,099,000 | 1,060,323 | ||||||
Credit Suisse Group AG | ||||||||
3.57%, 01/09/2023(3) | 3,216,000 | 3,137,134 | ||||||
4.28%, 01/09/2028(3) | 3,973,000 | 3,834,984 | ||||||
3.87% (3 Month LIBOR USD + 1.41%), 01/12/2029(2) (3) | 2,499,000 | 2,326,205 | ||||||
Credit Suisse Group Funding Guernsey Ltd. | ||||||||
2.75%, 03/26/2020 | 541,000 | 535,093 | ||||||
3.80%, 06/09/2023 | 8,500,000 | 8,340,433 | ||||||
3.75%, 03/26/2025 | 1,900,000 | 1,817,648 | ||||||
4.55%, 04/17/2026 | 1,500,000 | 1,485,842 | ||||||
Credit Suisse/New York NY | ||||||||
2.30%, 05/28/2019 | 413,000 | 411,779 | ||||||
5.30%, 08/13/2019 | 169,000 | 171,131 | ||||||
3.00%, 10/29/2021 | 1,265,000 | 1,248,903 | ||||||
3.63%, 09/09/2024 | 560,000 | 549,424 | ||||||
Crown Castle International Corp. | ||||||||
4.88%, 04/15/2022 | 1,112,000 | 1,144,177 | ||||||
5.25%, 01/15/2023 | 400,000 | 415,347 | ||||||
4.00%, 03/01/2027 | 261,000 | 249,842 | ||||||
Dai-ichi Life Insurance Co., Ltd. | ||||||||
4.00% (3 Month LIBOR USD + 3.66%), 12/29/2049(2) (3) | 1,179,000 | 1,089,396 | ||||||
Daiwa Securities Group, Inc. | ||||||||
3.13%, 04/19/2022(3) | 854,000 | 840,270 | ||||||
Danske Bank A/S | ||||||||
2.00%, 09/08/2021(3) | 558,000 | 527,988 | ||||||
2.70%, 03/02/2022(3) | 542,000 | 519,292 |
Deutsche Bank AG/London | ||||||||
2.50%, 02/13/2019 | 6,000,000 | 5,988,601 | ||||||
3.70%, 05/30/2024 | 2,063,000 | 1,873,854 | ||||||
Deutsche Bank AG/New York NY | ||||||||
3.15%, 01/22/2021 | 5,000,000 | 4,832,158 | ||||||
4.25%, 10/14/2021 | 4,165,000 | 4,072,164 | ||||||
3.30%, 11/16/2022 | 3,000,000 | 2,780,102 | ||||||
3.70%, 05/30/2024 | 850,000 | 772,068 | ||||||
Dexia Credit Local SA | ||||||||
1.88%, 09/15/2021(3) | 2,750,000 | 2,678,362 | ||||||
3.25%, 09/26/2023(3) | 1,750,000 | 1,773,271 | ||||||
Digital Realty Trust LP | ||||||||
3.70%, 08/15/2027 | 462,000 | 436,292 | ||||||
Discover Bank | ||||||||
3.10%, 06/04/2020 | 8,000,000 | 7,944,025 | ||||||
3.35%, 02/06/2023 | 4,000,000 | 3,893,217 | ||||||
4.20%, 08/08/2023 | 7,156,000 | 7,157,201 | ||||||
3.45%, 07/27/2026 | 1,951,000 | 1,789,974 | ||||||
4.65%, 09/13/2028 | 4,000,000 | 3,899,016 | ||||||
Discover Financial Services | ||||||||
3.75%, 03/04/2025 | 2,920,000 | 2,793,549 | ||||||
Duke Realty LP | ||||||||
3.63%, 04/15/2023 | 7,744,000 | 7,737,562 | ||||||
3.25%, 06/30/2026 | 203,000 | 193,172 | ||||||
EPR Properties | ||||||||
4.50%, 06/01/2027 | 807,000 | 778,227 | ||||||
4.95%, 04/15/2028 | 665,000 | 658,402 | ||||||
Equity Commonwealth | ||||||||
5.88%, 09/15/2020 | 2,448,000 | 2,507,336 | ||||||
ERP Operating LP | ||||||||
2.38%, 07/01/2019 | 646,000 | 644,011 | ||||||
4.63%, 12/15/2021 | 260,000 | 268,989 | ||||||
3.00%, 04/15/2023 | 200,000 | 196,709 | ||||||
2.85%, 11/01/2026 | 542,000 | 509,708 | ||||||
3.50%, 03/01/2028 | 614,000 | 597,317 | ||||||
Fifth Third Bancorp | ||||||||
2.88%, 07/27/2020 | 2,000,000 | 1,987,614 | ||||||
3.95%, 03/14/2028 | 1,000,000 | 993,524 | ||||||
Fifth Third Bank/Cincinnati OH | ||||||||
2.38%, 04/25/2019 | 1,100,000 | 1,097,732 | ||||||
First Tennessee Bank NA | ||||||||
2.95%, 12/01/2019 | 5,000,000 | 4,961,315 | ||||||
FMR LLC | ||||||||
4.95%, 02/01/2033(3) | 250,000 | 271,589 | ||||||
6.45%, 11/15/2039(3) | 258,000 | 316,066 | ||||||
GE Capital International Funding Co. Unlimited Co. | ||||||||
2.34%, 11/15/2020 | 5,186,000 | 5,004,597 | ||||||
3.37%, 11/15/2025 | 554,000 | 492,352 | ||||||
4.42%, 11/15/2035 | 14,715,000 | 12,379,835 | ||||||
Goldman Sachs Capital I | ||||||||
6.35%, 02/15/2034 | 127,000 | 141,868 | ||||||
Goldman Sachs Group, Inc. | ||||||||
2.55%, 10/23/2019 | 1,000,000 | 993,696 | ||||||
5.38%, 03/15/2020 | 2,985,000 | 3,051,361 | ||||||
2.60%, 04/23/2020 | 5,030,000 | 4,980,843 | ||||||
2.35%, 11/15/2021 | 4,192,000 | 4,041,789 |
5.75%, 01/24/2022 | 17,000,000 | 17,798,836 | ||||||
3.00%, 04/26/2022 | 1,653,000 | 1,600,762 | ||||||
2.88% (3 Month LIBOR USD + 0.82%), 10/31/2022(2) | 5,373,000 | 5,218,070 | ||||||
2.91% (3 Month LIBOR USD + 1.05%), 06/05/2023(2) | 3,076,000 | 2,952,787 | ||||||
2.91% (3 Month LIBOR USD + 0.99%), 07/24/2023(2) | 8,773,000 | 8,355,317 | ||||||
3.50%, 01/23/2025 | 6,509,000 | 6,172,548 | ||||||
3.75%, 05/22/2025 | 1,305,000 | 1,249,134 | ||||||
3.27% (3 Month LIBOR USD + 1.20%), 09/29/2025(2) | 5,590,000 | 5,239,507 | ||||||
3.75%, 02/25/2026 | 9,005,000 | 8,519,652 | ||||||
3.50%, 11/16/2026 | 1,700,000 | 1,571,036 | ||||||
3.85%, 01/26/2027 | 2,975,000 | 2,799,918 | ||||||
3.69% (3 Month LIBOR USD + 1.51%), 06/05/2028(2) | 3,488,000 | 3,243,446 | ||||||
4.22% (3 Month LIBOR USD + 1.30%), 05/01/2029(2) | 8,400,000 | 8,088,867 | ||||||
6.75%, 10/01/2037 | 4,773,000 | 5,395,358 | ||||||
4.41% (3 Month LIBOR USD + 1.43%), 04/23/2039(2) | 6,268,000 | 5,751,685 | ||||||
5.15%, 05/22/2045 | 4,000,000 | 3,727,353 | ||||||
Goodman Australia Industrial Fund Bond Issuer Pty Ltd. | ||||||||
3.40%, 09/30/2026(3) | 1,000,000 | 944,294 | ||||||
Goodman U.S. Finance Four LLC | ||||||||
4.50%, 10/15/2037(3) | 200,000 | 190,630 | ||||||
Goodman U.S. Finance Three LLC | ||||||||
3.70%, 03/15/2028(3) | 862,000 | 820,886 | ||||||
Government Properties Income Trust | ||||||||
3.75%, 08/15/2019 | 4,410,000 | 4,414,378 | ||||||
4.00%, 07/15/2022 | 1,255,000 | 1,235,041 | ||||||
Great-West Lifeco Finance 2018 LP | ||||||||
4.58%, 05/17/2048(3) | 650,000 | 654,621 | ||||||
Great-West Lifeco Finance Delaware LP | ||||||||
4.15%, 06/03/2047(3) | 2,450,000 | 2,285,622 | ||||||
GTP Acquisition Partners I LLC | ||||||||
2.35%, 06/15/2045(3) | 271,000 | 266,641 | ||||||
3.48%, 06/15/2050(3) | 1,824,000 | 1,800,729 | ||||||
Hartford Financial Services Group, Inc./The | ||||||||
6.00%, 01/15/2019 | 4,591,000 | 4,594,502 | ||||||
5.50%, 03/30/2020 | 4,118,000 | 4,225,055 | ||||||
5.13%, 04/15/2022 | 5,500,000 | 5,765,244 | ||||||
4.30%, 04/15/2043 | 1,080,000 | 1,004,606 | ||||||
HCP, Inc. | ||||||||
4.20%, 03/01/2024 | 241,000 | 241,582 | ||||||
3.88%, 08/15/2024 | 1,981,000 | 1,949,473 | ||||||
3.40%, 02/01/2025 | 662,000 | 626,749 | ||||||
HSBC Bank Plc | ||||||||
4.75%, 01/19/2021(3) | 1,382,000 | 1,417,579 | ||||||
HSBC Holdings Plc | ||||||||
5.10%, 04/05/2021 | 4,650,000 | 4,808,442 | ||||||
3.24% (3 Month LIBOR USD + 0.60%), 05/18/2021(2) | 7,250,000 | 7,142,413 | ||||||
2.65%, 01/05/2022 | 2,618,000 | 2,539,687 | ||||||
4.00%, 03/30/2022 | 1,494,000 | 1,513,390 | ||||||
3.60%, 05/25/2023 | 2,301,000 | 2,287,723 | ||||||
3.03% (3 Month LIBOR USD + 0.92%), 11/22/2023(2) | 1,051,000 | 1,017,221 | ||||||
4.25%, 03/14/2024 | 2,795,000 | 2,773,595 | ||||||
3.95% (3 Month LIBOR USD + 0.99%), 05/18/2024(2) | 9,792,000 | 9,738,541 | ||||||
4.25%, 08/18/2025 | 1,009,000 | 979,761 | ||||||
4.30%, 03/08/2026 | 1,000,000 | 986,889 | ||||||
4.29% (3 Month LIBOR USD + 1.35%), 09/12/2026(2) | 7,000,000 | 6,912,750 | ||||||
4.38%, 11/23/2026 | 559,000 | 541,458 | ||||||
4.04% (3 Month LIBOR USD + 1.55%), 03/13/2028(2) | 1,533,000 | 1,467,491 |
HSBC USA, Inc. | ||||||||
5.00%, 09/27/2020 | 3,000,000 | 3,063,076 | ||||||
9.13%, 05/15/2021 | 75,000 | 82,943 | ||||||
Huntington Bancshares, Inc./OH | ||||||||
3.15%, 03/14/2021 | 225,000 | 223,991 | ||||||
2.30%, 01/14/2022 | 4,220,000 | 4,074,275 | ||||||
Huntington National Bank | ||||||||
2.88%, 08/20/2020 | 4,534,000 | 4,503,754 | ||||||
Industrial & Commercial Bank of China Ltd./New York | ||||||||
2.45%, 10/20/2021 | 1,150,000 | 1,116,748 | ||||||
ING Bank NV | ||||||||
1.65%, 08/15/2019(3) | 800,000 | 792,423 | ||||||
2.50%, 10/01/2019(3) | 2,350,000 | 2,339,336 | ||||||
2.45%, 03/16/2020(3) | 2,000,000 | 1,980,629 | ||||||
5.80%, 09/25/2023(3) | 4,800,000 | 5,013,427 | ||||||
ING Groep NV | ||||||||
3.15%, 03/29/2022 | 4,000,000 | 3,932,778 | ||||||
4.10%, 10/02/2023 | 3,175,000 | 3,172,867 | ||||||
4.55%, 10/02/2028 | 7,438,000 | 7,358,007 | ||||||
Intercontinental Exchange, Inc. | ||||||||
4.00%, 10/15/2023 | 578,000 | 591,619 | ||||||
International Lease Finance Corp. | ||||||||
8.63%, 01/15/2022 | 1,200,000 | 1,334,052 | ||||||
5.88%, 08/15/2022 | 438,000 | 458,763 | ||||||
Intesa Sanpaolo SpA | ||||||||
3.88%, 07/14/2027(3) | 937,000 | 806,430 | ||||||
3.88%, 01/12/2028(3) | 1,118,000 | 955,363 | ||||||
Invesco Finance Plc | ||||||||
4.00%, 01/30/2024 | 2,889,000 | 2,884,139 | ||||||
3.75%, 01/15/2026 | 4,249,000 | 4,145,084 | ||||||
Jackson National Life Global Funding | ||||||||
2.50%, 06/27/2022(3) | 800,000 | 773,397 | ||||||
3.25%, 01/30/2024(3) | 460,000 | 451,008 | ||||||
3.05%, 04/29/2026(3) | 473,000 | 447,462 | ||||||
Jefferies Group LLC | ||||||||
6.88%, 04/15/2021 | 430,000 | 457,562 | ||||||
5.13%, 01/20/2023 | 2,600,000 | 2,658,275 | ||||||
6.45%, 06/08/2027 | 428,000 | 447,757 | ||||||
6.25%, 01/15/2036 | 155,000 | 155,561 | ||||||
John Hancock Life Insurance Co. | ||||||||
7.38%, 02/15/2024(3) | 731,000 | 845,940 | ||||||
JPMorgan Chase & Co. | ||||||||
2.25%, 01/23/2020 | 2,000,000 | 1,979,857 | ||||||
4.25%, 10/15/2020 | 64,000 | 65,141 | ||||||
2.30%, 08/15/2021 | 3,600,000 | 3,512,167 | ||||||
4.35%, 08/15/2021 | 10,000,000 | 10,232,842 | ||||||
3.38%, 05/01/2023 | 3,800,000 | 3,716,677 | ||||||
3.56% (3 Month LIBOR USD + 0.73%), 04/23/2024(2) | 8,000,000 | 7,939,024 | ||||||
3.13%, 01/23/2025 | 4,000,000 | 3,812,447 | ||||||
3.30%, 04/01/2026 | 1,870,000 | 1,781,748 | ||||||
3.20%, 06/15/2026 | 11,090,000 | 10,449,516 | ||||||
2.95%, 10/01/2026 | 5,000,000 | 4,620,100 | ||||||
4.01% (3 Month LIBOR USD + 1.12%), 04/23/2029(2) | 2,320,000 | 2,281,712 | ||||||
4.45% (3 Month LIBOR USD + 1.33%), 12/05/2029(2) | 9,660,000 | 9,831,755 | ||||||
5.60%, 07/15/2041 | 494,000 | 559,080 | ||||||
4.95%, 06/01/2045 | 775,000 | 786,982 | ||||||
4.26% (3 Month LIBOR USD + 1.58%), 02/22/2048(2) | 5,140,000 | 4,787,341 | ||||||
3.96% (3 Month LIBOR USD + 1.38%), 11/15/2048(2) | 11,187,000 | 9,916,606 |
JPMorgan Chase Bank NA | ||||||||
3.09% (3 Month LIBOR USD + 0.35%), 04/26/2021(2) | 21,250,000 | 21,161,157 | ||||||
KeyBank NA/Cleveland OH | ||||||||
3.18%, 05/22/2022 | 567,000 | 564,455 | ||||||
KeyCorp. | ||||||||
2.90%, 09/15/2020 | 280,000 | 278,109 | ||||||
5.10%, 03/24/2021 | 211,000 | 218,831 | ||||||
4.15%, 10/29/2025 | 950,000 | 965,410 | ||||||
Kimco Realty Corp. | ||||||||
4.45%, 09/01/2047 | 2,338,000 | 2,121,562 | ||||||
LeasePlan Co. NV | ||||||||
2.88%, 01/22/2019(3) | 725,000 | 724,730 | ||||||
Legg Mason, Inc. | ||||||||
3.95%, 07/15/2024 | 820,000 | 808,161 | ||||||
Liberty Mutual Group, Inc. | ||||||||
5.00%, 06/01/2021(3) | 1,700,000 | 1,745,825 | ||||||
4.95%, 05/01/2022(3) | 351,000 | 361,873 | ||||||
4.25%, 06/15/2023(3) | 322,000 | 324,626 | ||||||
6.50%, 03/15/2035(3) | 4,500,000 | 5,247,923 | ||||||
6.50%, 05/01/2042(3) | 2,000,000 | 2,374,476 | ||||||
10.75% (3 Month LIBOR USD + 7.12%), 06/15/2088(2) (3) | 269,000 | 384,670 | ||||||
Liberty Mutual Insurance Co. | ||||||||
8.50%, 05/15/2025(3) | 700,000 | 850,443 | ||||||
7.70%, 10/15/2097(3) | 100,000 | 135,176 | ||||||
Liberty Property LP | ||||||||
3.25%, 10/01/2026 | 303,000 | 283,086 | ||||||
Lincoln National Co. | ||||||||
4.20%, 03/15/2022 | 873,000 | 887,479 | ||||||
3.80%, 03/01/2028 | 3,900,000 | 3,784,750 | ||||||
7.00%, 06/15/2040 | 1,715,000 | 2,158,797 | ||||||
4.51% (3 Month LIBOR USD + 2.04%), 04/20/2067(2) | 121,000 | 94,319 | ||||||
Lloyds Bank Plc | ||||||||
5.80%, 01/13/2020(3) | 172,000 | 176,044 | ||||||
2.40%, 03/17/2020 | 1,200,000 | 1,182,891 | ||||||
3.30%, 05/07/2021 | 11,200,000 | 11,165,617 | ||||||
Lloyds Banking Group Plc | ||||||||
4.05%, 08/16/2023 | 3,000,000 | 2,963,587 | ||||||
2.91% (3 Month LIBOR USD + 0.81%), 11/07/2023(2) | 8,950,000 | 8,462,743 | ||||||
4.45%, 05/08/2025 | 855,000 | 849,348 | ||||||
4.58%, 12/10/2025 | 550,000 | 520,924 | ||||||
3.75%, 01/11/2027 | 2,000,000 | 1,838,370 | ||||||
4.38%, 03/22/2028 | 949,000 | 900,830 | ||||||
3.57% (3 Month LIBOR USD + 1.21%), 11/07/2028(2) | 1,000,000 | 890,038 | ||||||
Macquarie Bank Ltd. | ||||||||
2.60%, 06/24/2019(3) | 1,093,000 | 1,089,735 | ||||||
2.40%, 01/21/2020(3) | 1,600,000 | 1,585,644 | ||||||
2.85%, 07/29/2020(3) | 400,000 | 396,487 | ||||||
4.00%, 07/29/2025(3) | 500,000 | 497,577 | ||||||
Macquarie Group Ltd. | ||||||||
6.00%, 01/14/2020(3) | 1,975,000 | 2,027,172 | ||||||
6.25%, 01/14/2021(3) | 1,111,000 | 1,165,523 | ||||||
3.19% (3 Month LIBOR USD + 1.02%), 11/28/2023(2) (3) | 6,000,000 | 5,766,858 | ||||||
4.15% (3 Month LIBOR USD + 1.33%), 03/27/2024(2) (3) | 2,000,000 | 2,000,113 | ||||||
3.76% (3 Month LIBOR USD + 1.37%), 11/28/2028(2) (3) | 2,565,000 | 2,352,105 | ||||||
5.03% (3 Month LIBOR USD + 1.75%), 01/15/2030(2) (3) | 3,500,000 | 3,451,091 |
Manulife Financial Corp. | ||||||||
4.90%, 09/17/2020 | 225,000 | 230,822 | ||||||
4.06% (5 Year Mid Swap Rate USD + 1.65%), 02/24/2032(2) | 1,910,000 | 1,802,114 | ||||||
Markel Corp. | ||||||||
7.13%, 09/30/2019 | 3,780,000 | 3,878,644 | ||||||
3.63%, 03/30/2023 | 400,000 | 397,564 | ||||||
5.00%, 04/05/2046 | 1,265,000 | 1,256,591 | ||||||
Marsh & McLennan Cos, Inc. | ||||||||
2.35%, 03/06/2020 | 3,769,000 | 3,735,117 | ||||||
4.80%, 07/15/2021 | 5,000,000 | 5,152,680 | ||||||
Massachusetts Mutual Life Insurance Co. | ||||||||
7.63%, 11/15/2023(3) | 550,000 | 624,614 | ||||||
8.88%, 06/01/2039(3) | 1,760,000 | 2,640,780 | ||||||
5.38%, 12/01/2041(3) | 203,000 | 225,263 | ||||||
4.90%, 04/01/2077(3) | 5,000,000 | 4,994,534 | ||||||
MassMutual Global Funding II | ||||||||
2.50%, 10/17/2022(3) | 386,000 | 372,342 | ||||||
2.75%, 06/22/2024(3) | 700,000 | 670,845 | ||||||
MBIA Insurance Co. | ||||||||
13.70% (3 Month LIBOR USD + 11.26%), 01/15/2033(2) (3) (9) | 86,000 | 52,460 | ||||||
MetLife, Inc. | ||||||||
6.50%, 12/15/2032 | 56,000 | 68,599 | ||||||
4.88%, 11/13/2043 | 3,000,000 | 3,103,014 | ||||||
6.40%, 12/15/2066 | 3,859,000 | 3,920,204 | ||||||
Metropolitan Life Global Funding I | ||||||||
2.30%, 04/10/2019(3) | 1,598,000 | 1,595,281 | ||||||
3.88%, 04/11/2022(3) | 1,480,000 | 1,498,924 | ||||||
3.00%, 01/10/2023(3) | 407,000 | 400,657 | ||||||
3.00%, 09/19/2027(3) | 1,180,000 | 1,111,230 | ||||||
Mitsubishi UFJ Financial Group, Inc. | ||||||||
2.95%, 03/01/2021 | 330,000 | 326,673 | ||||||
3.00%, 02/22/2022 | 206,000 | 203,107 | ||||||
2.67%, 07/25/2022 | 800,000 | 777,427 | ||||||
3.46%, 03/02/2023 | 9,000,000 | 8,944,232 | ||||||
2.53%, 09/13/2023 | 481,000 | 456,961 | ||||||
Mitsubishi UFJ Lease & Finance Co. Ltd. | ||||||||
2.65%, 09/19/2022(3) | 764,000 | 731,406 | ||||||
3.96%, 09/19/2023(3) | 2,730,000 | 2,745,034 | ||||||
Mitsubishi UFJ Trust & Banking Corp. | ||||||||
2.45%, 10/16/2019(3) | 1,500,000 | 1,491,467 | ||||||
Mizuho Bank Ltd. | ||||||||
2.65%, 09/25/2019(3) | 3,000,000 | 2,989,504 | ||||||
2.40%, 03/26/2020(3) | 5,000,000 | 4,950,501 | ||||||
3.60%, 09/25/2024(3) | 1,250,000 | 1,247,057 | ||||||
Mizuho Financial Group, Inc. | ||||||||
2.95%, 02/28/2022 | 2,000,000 | 1,960,647 | ||||||
2.60%, 09/11/2022 | 3,500,000 | 3,385,106 | ||||||
Morgan Stanley | ||||||||
7.30%, 05/13/2019 | 2,257,000 | 2,291,265 | ||||||
2.38%, 07/23/2019 | 450,000 | 448,050 | ||||||
5.63%, 09/23/2019 | 2,302,000 | 2,336,105 | ||||||
2.65%, 01/27/2020 | 750,000 | 744,286 | ||||||
5.50%, 07/24/2020 | 360,000 | 371,055 | ||||||
5.75%, 01/25/2021 | 12,049,000 | 12,578,463 | ||||||
2.50%, 04/21/2021 | 2,000,000 | 1,959,769 | ||||||
5.50%, 07/28/2021 | 2,692,000 | 2,819,021 | ||||||
2.63%, 11/17/2021 | 3,860,000 | 3,767,292 | ||||||
2.75%, 05/19/2022 | 8,390,000 | 8,162,077 |
3.13%, 01/23/2023 | 1,735,000 | 1,693,657 | ||||||
3.75%, 02/25/2023 | 1,882,000 | 1,878,575 | ||||||
4.10%, 05/22/2023 | 3,460,000 | 3,464,790 | ||||||
3.88%, 04/29/2024 | 2,050,000 | 2,040,056 | ||||||
3.70%, 10/23/2024 | 1,167,000 | 1,147,527 | ||||||
4.00%, 07/23/2025 | 5,039,000 | 4,973,446 | ||||||
5.00%, 11/24/2025 | 4,959,000 | 5,058,822 | ||||||
3.88%, 01/27/2026 | 3,125,000 | 3,049,492 | ||||||
4.35%, 09/08/2026 | 930,000 | 904,234 | ||||||
3.63%, 01/20/2027 | 9,804,000 | 9,322,712 | ||||||
3.95%, 04/23/2027 | 14,190,000 | 13,385,536 | ||||||
3.59% (3 Month LIBOR USD + 1.34%), 07/22/2028(2) | 5,882,000 | 5,559,327 | ||||||
3.77% (3 Month LIBOR USD + 1.14%), 01/24/2029(2) | 8,371,000 | 8,013,900 | ||||||
4.30%, 01/27/2045 | 459,000 | 429,901 | ||||||
MUFG Bank Ltd. | ||||||||
2.30%, 03/10/2019(3) | 5,525,000 | 5,516,685 | ||||||
2.35%, 09/08/2019(3) | 340,000 | 338,031 | ||||||
4.10%, 09/09/2023(3) | 239,000 | 243,118 | ||||||
3.75%, 03/10/2024(3) | 3,215,000 | 3,230,685 | ||||||
MUFG Union Bank NA | ||||||||
2.25%, 05/06/2019 | 900,000 | 897,125 | ||||||
National Australia Bank Ltd./New York | ||||||||
2.50%, 01/12/2021 | 2,000,000 | 1,966,744 | ||||||
3.70%, 11/04/2021 | 9,682,000 | 9,773,553 | ||||||
3.38%, 01/14/2026 | 2,768,000 | 2,690,261 | ||||||
National Retail Properties, Inc. | ||||||||
3.60%, 12/15/2026 | 700,000 | 673,483 | ||||||
3.50%, 10/15/2027 | 400,000 | 381,839 | ||||||
National Rural Utilities Cooperative Finance Co. | ||||||||
2.95%, 02/07/2024 | 341,000 | 335,530 | ||||||
3.05%, 04/25/2027 | 462,000 | 442,956 | ||||||
3.40%, 02/07/2028 | 1,500,000 | 1,478,958 | ||||||
8.00%, 03/01/2032 | 791,000 | 1,089,315 | ||||||
Nationwide Building Society | ||||||||
6.25%, 02/25/2020(3) | 1,000,000 | 1,031,572 | ||||||
4.00%, 09/14/2026(3) | 7,250,000 | 6,602,456 | ||||||
Nationwide Financial Services, Inc. | ||||||||
5.38%, 03/25/2021(3) | 2,000,000 | 2,072,292 | ||||||
Nationwide Mutual Insurance Co. | ||||||||
9.38%, 08/15/2039(3) | 7,150,000 | 10,842,711 | ||||||
New York Life Global Funding | ||||||||
2.10%, 01/02/2019(3) | 8,150,000 | 8,150,000 | ||||||
2.15%, 06/18/2019(3) | 1,912,000 | 1,904,736 | ||||||
3.25%, 08/06/2021(3) | 7,451,000 | 7,460,218 | ||||||
3.00%, 01/10/2028(3) | 2,022,000 | 1,935,160 | ||||||
Nomura Holdings, Inc. | ||||||||
6.70%, 03/04/2020 | 5,300,000 | 5,503,939 | ||||||
Nordea Bank AB | ||||||||
1.63%, 09/30/2019(3) | 550,000 | 543,932 | ||||||
4.88%, 01/27/2020(3) | 1,200,000 | 1,220,666 | ||||||
2.50%, 09/17/2020(3) | 450,000 | 443,685 | ||||||
4.25%, 09/21/2022(3) | 12,865,000 | 12,930,163 | ||||||
3.75%, 08/30/2023(3) | 4,000,000 | 3,945,211 | ||||||
Northern Trust Corp. | ||||||||
3.38% (3 Month LIBOR USD + 1.13%), 05/08/2032(2) | 411,000 | 382,652 | ||||||
OneBeacon U.S. Holdings, Inc. | ||||||||
4.60%, 11/09/2022 | 1,500,000 | 1,509,530 |
Ontario Teachers’ Cadillac Fairview Properties Trust | ||||||||
3.13%, 03/20/2022(3) | 1,003,000 | 995,683 | ||||||
3.88%, 03/20/2027(3) | 1,044,000 | 1,039,637 | ||||||
Ontario Teachers’ Finance Trust | ||||||||
2.75%, 04/16/2021(3) | 1,000,000 | 1,000,942 | ||||||
ORIX Corp. | ||||||||
2.90%, 07/18/2022 | 604,000 | 590,138 | ||||||
3.25%, 12/04/2024 | 1,500,000 | 1,453,327 | ||||||
3.70%, 07/18/2027 | 700,000 | 675,848 | ||||||
Pacific Life Insurance Co. | ||||||||
4.30% (3 Month LIBOR USD + 2.80%), 10/24/2067(2) (3) | 743,000 | 652,763 | ||||||
People’s United Bank NA | ||||||||
4.00%, 07/15/2024 | 4,350,000 | 4,361,285 | ||||||
PNC Bank NA | ||||||||
2.95%, 01/30/2023 | 6,500,000 | 6,330,112 | ||||||
4.20%, 11/01/2025 | 322,000 | 329,758 | ||||||
PNC Financial Services Group, Inc. | ||||||||
6.70%, 06/10/2019 | 212,000 | 215,345 | ||||||
4.38%, 08/11/2020 | 679,000 | 691,360 | ||||||
2.85%, 11/09/2022(1) | 575,000 | 563,446 | ||||||
3.90%, 04/29/2024 | 2,090,000 | 2,071,985 | ||||||
PNC Financial Services Group, Inc./The | ||||||||
5.13%, 02/08/2020 | 588,000 | 600,355 | ||||||
Principal Financial Group, Inc. | ||||||||
3.13%, 05/15/2023 | 380,000 | 375,078 | ||||||
3.40%, 05/15/2025 | 7,000,000 | 6,809,662 | ||||||
Principal Life Global Funding II | ||||||||
3.00%, 04/18/2026(3) | 2,000,000 | 1,920,601 | ||||||
Private Export Funding Co. | ||||||||
4.38%, 03/15/2019 | 970,000 | 973,208 | ||||||
2.65%, 02/16/2021(3) | 6,750,000 | 6,755,157 | ||||||
2.80%, 05/15/2022 | 1,200,000 | 1,201,919 | ||||||
3.55%, 01/15/2024 | 2,489,000 | 2,588,299 | ||||||
3.25%, 06/15/2025 | 1,280,000 | 1,306,150 | ||||||
Progressive Corp. | ||||||||
5.38% (3 Month LIBOR USD + 2.54%), 09/15/2023(2) | 780,000 | 730,899 | ||||||
4.13%, 04/15/2047 | 8,050,000 | 7,878,731 | ||||||
Protective Life Co. | ||||||||
7.38%, 10/15/2019 | 854,000 | 877,883 | ||||||
4.30%, 09/30/2028(3) | 4,500,000 | 4,463,377 | ||||||
Protective Life Global Funding | ||||||||
2.70%, 11/25/2020(3) | 5,000,000 | 4,939,817 | ||||||
2.00%, 09/14/2021(3) | 1,100,000 | 1,064,782 | ||||||
Prudential Financial, Inc. | ||||||||
2.35%, 08/15/2019 | 650,000 | 646,950 | ||||||
6.63%, 06/21/2040 | 5,995,000 | 7,329,391 | ||||||
3.91%, 12/07/2047 | 1,231,000 | 1,098,995 | ||||||
Realty Income Corp. | ||||||||
3.25%, 10/15/2022 | 1,490,000 | 1,475,404 | ||||||
3.88%, 04/15/2025 | 1,055,000 | 1,053,476 | ||||||
Regions Financial Corp. | ||||||||
3.20%, 02/08/2021 | 5,643,000 | 5,606,719 | ||||||
3.80%, 08/14/2023 | 1,500,000 | 1,502,588 | ||||||
Reliance Standard Life Global Funding II | ||||||||
2.50%, 01/15/2020(3) | 400,000 | 396,132 | ||||||
2.38%, 05/04/2020(3) | 6,000,000 | 5,921,718 | ||||||
3.05%, 01/20/2021(3) | 528,000 | 523,158 | ||||||
3.85%, 09/19/2023(3) | 1,775,000 | 1,789,780 |
Royal Bank of Canada | ||||||||
1.88%, 02/05/2021 | 1,100,000 | 1,088,409 | ||||||
3.20%, 04/30/2021 | 1,600,000 | 1,599,776 | ||||||
3.70%, 10/05/2023 | 8,950,000 | 8,985,313 | ||||||
4.65%, 01/27/2026 | 531,000 | 546,872 | ||||||
Royal Bank of Scotland Group Plc | ||||||||
4.52% (3 Month LIBOR USD + 1.55%), 06/25/2024(2) | 555,000 | 544,550 | ||||||
4.89% (3 Month LIBOR USD + 1.75%), 05/18/2029(2) | 2,490,000 | 2,378,195 | ||||||
5.08% (3 Month LIBOR USD + 1.91%), 01/27/2030(2) | 7,000,000 | 6,753,953 | ||||||
Santander UK Group Holdings Plc | ||||||||
3.13%, 01/08/2021 | 308,000 | 302,369 | ||||||
4.75%, 09/15/2025(3) | 1,810,000 | 1,701,769 | ||||||
3.82% (3 Month LIBOR USD + 1.40%), 11/03/2028(2) | 800,000 | 723,347 | ||||||
Santander UK Plc | ||||||||
2.38%, 03/16/2020 | 7,325,000 | 7,244,078 | ||||||
5.00%, 11/07/2023(3) | 4,150,000 | 4,052,434 | ||||||
Scentre Group Trust 1 / Scentre Group Trust 2 | ||||||||
3.50%, 02/12/2025(3) | 1,390,000 | 1,347,168 | ||||||
Select Income REIT | ||||||||
3.60%, 02/01/2020 | 2,400,000 | 2,387,843 | ||||||
Senior Housing Properties Trust | ||||||||
3.25%, 05/01/2019 | 950,000 | 945,256 | ||||||
6.75%, 04/15/2020 | 600,000 | 608,968 | ||||||
4.75%, 02/15/2028 | 1,300,000 | 1,227,168 | ||||||
Simon Property Group LP | ||||||||
4.38%, 03/01/2021 | 6,932,000 | 7,077,663 | ||||||
4.13%, 12/01/2021 | 442,000 | 452,434 | ||||||
3.75%, 02/01/2024 | 910,000 | 912,127 | ||||||
SITE Centers Corp. | ||||||||
4.70%, 06/01/2027 | 368,000 | 370,244 | ||||||
Skandinaviska Enskilda Banken AB | ||||||||
2.38%, 03/25/2019(3) | 1,225,000 | 1,222,741 | ||||||
2.45%, 05/27/2020(3) | 3,000,000 | 2,966,031 | ||||||
Societe Generale SA | ||||||||
3.25%, 01/12/2022(3) | 7,000,000 | 6,852,931 | ||||||
4.25%, 09/14/2023(3) | 1,000,000 | 993,073 | ||||||
4.25%, 04/14/2025(3) | 800,000 | 766,041 | ||||||
SouthTrust Bank | ||||||||
7.69%, 05/15/2025 | 253,000 | 293,820 | ||||||
Stadshypotek AB | ||||||||
1.88%, 10/02/2019(3) | 683,000 | 677,689 | ||||||
Standard Chartered Plc | ||||||||
2.10%, 08/19/2019(3) | �� | 2,500,000 | 2,478,082 | |||||
2.40%, 09/08/2019(3) | 7,650,000 | 7,600,397 | ||||||
3.05%, 01/15/2021(3) | 800,000 | 788,074 | ||||||
4.25% (3 Month LIBOR USD + 1.15%), 01/20/2023(2)(3) | 3,230,000 | 3,197,561 | ||||||
5.20%, 01/26/2024(3) | 609,000 | 618,859 | ||||||
4.87% (3 Month LIBOR USD + 1.97%), 03/15/2033(2)(3) | 800,000 | 767,462 | ||||||
State Street Co. | ||||||||
3.10%, 05/15/2023 | 321,000 | 315,404 | ||||||
3.70%, 11/20/2023 | 1,385,000 | 1,398,892 | ||||||
3.78% (3 Month LIBOR USD + 0.77%), 12/03/2024(2) | 1,000,000 | 1,002,380 | ||||||
3.55%, 08/18/2025 | 247,000 | 246,496 | ||||||
Stifel Financial Co. | ||||||||
3.50%, 12/01/2020 | 5,000,000 | 4,998,483 | ||||||
Sumitomo Life Insurance Co. | ||||||||
4.00% (3 Month LIBOR USD + 2.99%), 09/14/2077(2)(3) | 1,000,000 | 922,500 |
Sumitomo Mitsui Banking Co. | ||||||||
2.45%, 01/10/2019 | 5,000,000 | 4,999,304 | ||||||
2.45%, 01/16/2020 | 3,925,000 | 3,893,333 | ||||||
2.51%, 01/17/2020 | 8,086,000 | 8,025,612 | ||||||
3.95%, 07/19/2023 | 250,000 | 254,213 | ||||||
Sumitomo Mitsui Financial Group, Inc. | ||||||||
2.06%, 07/14/2021 | 568,000 | 550,064 | ||||||
2.44%, 10/19/2021 | 531,000 | 517,731 | ||||||
2.85%, 01/11/2022 | 1,100,000 | 1,079,740 | ||||||
2.78%, 07/12/2022 | 1,500,000 | 1,461,540 | ||||||
2.78%, 10/18/2022 | 6,718,000 | 6,519,268 | ||||||
3.10%, 01/17/2023 | 1,033,000 | 1,013,259 | ||||||
3.94%, 10/16/2023 | 4,700,000 | 4,782,311 | ||||||
2.63%, 07/14/2026 | 644,000 | 589,251 | ||||||
3.01%, 10/19/2026 | 297,000 | 278,741 | ||||||
Sumitomo Mitsui Trust Bank Ltd. | ||||||||
2.05%, 10/18/2019(3) | 1,550,000 | 1,536,541 | ||||||
SunTrust Banks, Inc. | ||||||||
2.50%, 05/01/2019 | 8,810,000 | 8,795,753 | ||||||
2.90%, 03/03/2021 | 324,000 | 321,186 | ||||||
2.70%, 01/27/2022 | 9,210,000 | 8,982,013 | ||||||
4.00%, 05/01/2025 | 424,000 | 425,543 | ||||||
Svenska Handelsbanken AB | ||||||||
2.40%, 10/01/2020 | 2,000,000 | 1,968,855 | ||||||
2.45%, 03/30/2021 | 550,000 | 539,176 | ||||||
3.90%, 11/20/2023 | 10,929,000 | 11,027,959 | ||||||
Swedbank AB | ||||||||
2.38%, 02/27/2019(3) | 6,000,000 | 5,994,390 | ||||||
Synchrony Financial | ||||||||
2.60%, 01/15/2019 | 1,350,000 | 1,349,540 | ||||||
3.00%, 08/15/2019 | 4,775,000 | 4,743,547 | ||||||
2.70%, 02/03/2020 | 1,017,000 | 999,609 | ||||||
3.75%, 08/15/2021 | 6,000,000 | 5,838,940 | ||||||
4.50%, 07/23/2025 | 4,000,000 | 3,649,125 | ||||||
3.70%, 08/04/2026 | 1,100,000 | 933,533 | ||||||
3.95%, 12/01/2027 | 1,500,000 | 1,264,132 | ||||||
TD Ameritrade Holding Co. | ||||||||
5.60%, 12/01/2019 | 355,000 | 362,486 | ||||||
2.95%, 04/01/2022 | 725,000 | 717,190 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
6.85%, 12/16/2039(3) | 218,000 | 283,756 | ||||||
4.90%, 09/15/2044(3) | 200,000 | 207,655 | ||||||
4.27%, 05/15/2047(3) | 3,360,000 | 3,220,519 | ||||||
The Guardian Life Insurance Co. of America | ||||||||
4.85%, 01/24/2077(3) | 5,854,000 | 5,770,631 | ||||||
The Prudential Insurance Co. of America | ||||||||
8.30%, 07/01/2025(3) | 1,691,000 | 2,087,274 | ||||||
The Toronto-Dominion Bank | ||||||||
3.63% (5 Year Swap Rate USD + 2.21%), 09/15/2031(2) | 667,000 | 630,282 | ||||||
Torchmark Corp. | ||||||||
4.55%, 09/15/2028 | 4,145,000 | 4,214,024 | ||||||
Toronto-Dominion Bank | ||||||||
2.25%, 11/05/2019 | 432,000 | 429,638 | ||||||
2.50%, 12/14/2020 | 500,000 | 494,970 | ||||||
2.55%, 01/25/2021 | 600,000 | 593,884 | ||||||
3.25%, 06/11/2021 | 1,939,000 | 1,946,867 |
Trinity Acquisition Plc | ||||||||
4.40%, 03/15/2026 | 2,300,000 | 2,286,639 | ||||||
6.13%, 08/15/2043 | 5,000,000 | 5,551,919 | ||||||
UBS AG/London | ||||||||
2.45%, 12/01/2020(3) | 7,151,000 | 7,017,369 | ||||||
UBS AG/Stamford CT | ||||||||
2.38%, 08/14/2019 | 1,200,000 | 1,195,153 | ||||||
UBS Group Funding Jersey Ltd. | ||||||||
2.95%, 09/24/2020(3) | 1,250,000 | 1,236,559 | ||||||
4.13%, 09/24/2025(3) | 800,000 | 794,883 | ||||||
4.13%, 04/15/2026(3) | 602,000 | 598,415 | ||||||
UBS Group Funding Switzerland AG | ||||||||
3.49%, 05/23/2023(3) | 9,790,000 | 9,546,940 | ||||||
2.86% (3 Month LIBOR USD + 0.95%), 08/15/2023(2) (3) | 7,367,000 | 7,085,113 | ||||||
4.25%, 03/23/2028(3) | 3,000,000 | 2,959,707 | ||||||
UDR, Inc. | ||||||||
2.95%, 09/01/2026 | 276,000 | 254,541 | ||||||
4.40%, 01/26/2029 | 8,575,000 | 8,654,124 | ||||||
United Overseas Bank Ltd. | ||||||||
3.20%, 04/23/2021(3) | 765,000 | 765,404 | ||||||
Ventas Realty LP | ||||||||
3.10%, 01/15/2023 | 13,500,000 | 13,163,149 | ||||||
3.75%, 05/01/2024 | 382,000 | 378,252 | ||||||
3.50%, 02/01/2025 | 251,000 | 240,375 | ||||||
4.13%, 01/15/2026 | 449,000 | 445,480 | ||||||
3.85%, 04/01/2027 | 677,000 | 653,069 | ||||||
Vereit Operating Partnership LP | ||||||||
4.60%, 02/06/2024 | 1,550,000 | 1,566,946 | ||||||
4.88%, 06/01/2026 | 700,000 | 700,032 | ||||||
Vornado Realty LP | ||||||||
3.50%, 01/15/2025 | 800,000 | 771,498 | ||||||
Voya Financial, Inc. | ||||||||
3.13%, 07/15/2024 | 1,600,000 | 1,508,604 | ||||||
3.65%, 06/15/2026 | 200,000 | 189,162 | ||||||
WEA Finance LLC | ||||||||
3.15%, 04/05/2022(3) | 6,040,000 | 5,948,688 | ||||||
4.63%, 09/20/2048(3) | 4,063,000 | 3,966,303 | ||||||
WEA Finance LLC / Westfield UK & Europe Finance Plc | ||||||||
3.25%, 10/05/2020(3) | 6,000,000 | 5,990,562 | ||||||
Wells Fargo & Co. | ||||||||
3.50%, 03/08/2022 | 1,929,000 | 1,922,492 | ||||||
3.07%, 01/24/2023 | 2,655,000 | 2,585,841 | ||||||
3.30%, 09/09/2024 | 1,900,000 | 1,837,807 | ||||||
3.00%, 02/19/2025 | 4,075,000 | 3,842,048 | ||||||
3.55%, 09/29/2025 | 700,000 | 678,527 | ||||||
3.00%, 04/22/2026 | 6,300,000 | 5,873,550 | ||||||
4.10%, 06/03/2026 | 3,749,000 | 3,662,824 | ||||||
4.30%, 07/22/2027 | 729,000 | 717,489 | ||||||
5.38%, 11/02/2043 | 317,000 | 331,220 | ||||||
4.65%, 11/04/2044 | 675,000 | 636,268 | ||||||
4.90%, 11/17/2045 | 3,642,000 | 3,552,421 | ||||||
4.75%, 12/07/2046 | 669,000 | 645,010 | ||||||
Wells Fargo Bank NA | ||||||||
2.60%, 01/15/2021 | 2,000,000 | 1,975,094 | ||||||
3.63%, 10/22/2021 | 26,055,000 | 26,208,027 |
Welltower, Inc. | ||||||||
4.50%, 01/15/2024 | 461,000 | 472,712 | ||||||
4.00%, 06/01/2025 | 400,000 | 394,942 | ||||||
4.25%, 04/15/2028 | 500,000 | 495,251 | ||||||
Westpac Banking Co. | ||||||||
4.88%, 11/19/2019 | 1,105,000 | 1,122,151 | ||||||
2.00%, 03/03/2021(3) | 1,349,000 | 1,334,013 | ||||||
2.75%, 01/11/2023 | 1,000,000 | 970,333 | ||||||
2.85%, 05/13/2026 | 1,200,000 | 1,115,849 | ||||||
4.32% (5 Year Mid Swap Rate USD + 2.24%), 11/23/2031(2) | 1,500,000 | 1,417,039 | ||||||
Weyerhaeuser Co. | ||||||||
7.38%, 03/15/2032 | 500,000 | 611,845 | ||||||
Willis North America, Inc. | ||||||||
7.00%, 09/29/2019 | 537,000 | 549,330 | ||||||
5.05%, 09/15/2048 | 7,500,000 | 7,214,632 | ||||||
WR Berkley Co. | ||||||||
4.75%, 08/01/2044 | 3,445,000 | 3,387,096 | ||||||
XLIT Ltd. | ||||||||
5.25%, 12/15/2043 | 2,700,000 | 2,889,738 | ||||||
|
| |||||||
1,969,817,279 | ||||||||
|
| |||||||
Industrials—1.45% | ||||||||
ABB Finance USA, Inc. | ||||||||
2.88%, 05/08/2022 | 241,000 | 237,293 | ||||||
Acuity Brands Lighting, Inc. | ||||||||
6.00%, 12/15/2019 | 451,000 | 461,160 | ||||||
Airbus Group Finance BV | ||||||||
2.70%, 04/17/2023(3) | 376,000 | 366,027 | ||||||
Airbus SE | ||||||||
3.15%, 04/10/2027(3) | 736,000 | 708,143 | ||||||
3.95%, 04/10/2047(3) | 150,000 | 142,653 | ||||||
Allegion U.S. Holding Co., Inc. | ||||||||
3.20%, 10/01/2024 | 2,000,000 | 1,886,848 | ||||||
Amphenol Corp. | ||||||||
3.20%, 04/01/2024 | 8,135,000 | 7,887,459 | ||||||
Arrow Electronics, Inc. | ||||||||
3.50%, 04/01/2022 | 965,000 | 951,987 | ||||||
4.50%, 03/01/2023 | 183,000 | 185,324 | ||||||
3.25%, 09/08/2024 | 219,000 | 203,897 | ||||||
3.88%, 01/12/2028 | 221,000 | 201,430 | ||||||
Aviation Capital Group LLC | ||||||||
3.88%, 05/01/2023(3) | 780,000 | 764,142 | ||||||
3.50%, 11/01/2027(3) | 700,000 | 632,690 | ||||||
BAE Systems Holdings, Inc. | ||||||||
6.38%, 06/01/2019(3) | 243,000 | 245,815 | ||||||
3.80%, 10/07/2024(3) | 770,000 | 768,374 | ||||||
3.85%, 12/15/2025(3) | 500,000 | 495,948 | ||||||
BAE Systems Plc | ||||||||
5.80%, 10/11/2041(3) | 400,000 | 454,702 | ||||||
Burlington Northern Santa Fe LLC | ||||||||
3.45%, 09/15/2021 | 215,000 | 217,177 | ||||||
3.05%, 03/15/2022 | 440,000 | 439,447 | ||||||
3.00%, 03/15/2023 | 206,000 | 204,509 | ||||||
6.70%, 08/01/2028 | 62,000 | 76,481 | ||||||
7.29%, 06/01/2036 | 134,000 | 180,846 | ||||||
6.15%, 05/01/2037 | 320,000 | 390,212 | ||||||
5.75%, 05/01/2040 | 373,000 | 437,310 | ||||||
5.40%, 06/01/2041 | 542,000 | 614,080 | ||||||
4.38%, 09/01/2042 | 462,000 | 461,587 | ||||||
5.15%, 09/01/2043 | 389,000 | 436,115 | ||||||
4.15%, 04/01/2045 | 1,825,000 | 1,771,844 | ||||||
4.05%, 06/15/2048 | 1,000,000 | 965,163 |
Canadian Pacific Railway Co. | ||||||||
4.50%, 01/15/2022 | 1,200,000 | 1,236,362 | ||||||
2.90%, 02/01/2025 | 644,000 | 616,914 | ||||||
7.13%, 10/15/2031 | 155,000 | 194,336 | ||||||
6.13%, 09/15/2115 | 678,000 | 789,854 | ||||||
Carlisle Co., Inc. | ||||||||
3.50%, 12/01/2024 | 3,025,000 | 2,896,288 | ||||||
Caterpillar Financial Services Co. | ||||||||
7.15%, 02/15/2019 | 62,000 | 62,286 | ||||||
2.75%, 08/20/2021 | 420,000 | 414,794 | ||||||
1.93%, 10/01/2021 | 445,000 | 430,871 | ||||||
2.85%, 06/01/2022 | 446,000 | 439,830 | ||||||
3.45%, 05/15/2023 | 650,000 | 653,617 | ||||||
3.75%, 11/24/2023 | 2,175,000 | 2,215,762 | ||||||
3.65%, 12/07/2023 | 5,038,000 | 5,098,523 | ||||||
3.25%, 12/01/2024 | 1,429,000 | 1,412,500 | ||||||
2.40%, 08/09/2026 | 700,000 | 644,086 | ||||||
Caterpillar, Inc. | ||||||||
2.60%, 06/26/2022 | 220,000 | 214,497 | ||||||
CH Robinson Worldwide, Inc. | ||||||||
4.20%, 04/15/2028 | 6,000,000 | 6,020,351 | ||||||
CRH America Finance, Inc. | ||||||||
3.40%, 05/09/2027(3) | 200,000 | 183,709 | ||||||
CRH America, Inc. | ||||||||
3.88%, 05/18/2025(3) | 354,000 | 340,380 | ||||||
5.13%, 05/18/2045(3) | 230,000 | 220,491 | ||||||
CSX Corp. | ||||||||
4.25%, 06/01/2021 | 205,000 | 209,532 | ||||||
3.40%, 08/01/2024 | 300,000 | 299,590 | ||||||
5.50%, 04/15/2041 | 402,000 | 446,195 | ||||||
4.75%, 05/30/2042 | 175,000 | 174,555 | ||||||
4.65%, 03/01/2068 | 2,000,000 | 1,809,944 | ||||||
Eaton Co. | ||||||||
7.63%, 04/01/2024 | 206,000 | 238,129 | ||||||
4.00%, 11/02/2032 | 143,000 | 141,345 | ||||||
5.80%, 03/15/2037 | 500,000 | 547,950 | ||||||
Embraer Netherlands Finance BV | ||||||||
5.05%, 06/15/2025 | 1,300,000 | 1,314,638 | ||||||
Embraer Overseas Ltd. | ||||||||
5.70%, 09/16/2023(3) | 900,000 | 937,134 | ||||||
Federal Express Co. 1998 Pass Through Trust | ||||||||
6.85%, 07/15/2020 | 225,317 | 225,566 | ||||||
6.72%, 07/15/2023 | 135,124 | 139,959 | ||||||
FedEx Corp. | ||||||||
3.90%, 02/01/2035 | 414,000 | 375,204 | ||||||
4.95%, 10/17/2048 | 3,000,000 | 2,903,034 | ||||||
FLIR Systems, Inc. | ||||||||
3.13%, 06/15/2021 | 3,025,000 | 2,982,319 | ||||||
General Electric Capital Co. | ||||||||
6.00%, 08/07/2019 | 157,000 | 158,693 | ||||||
2.10%, 12/11/2019 | 152,000 | 149,348 | ||||||
5.50%, 01/08/2020 | 581,000 | 587,782 | ||||||
2.20%, 01/09/2020 | 161,000 | 158,639 | ||||||
5.55%, 05/04/2020 | 191,000 | 194,246 | ||||||
4.38%, 09/16/2020 | 5,743,000 | 5,733,806 |
5.30%, 02/11/2021 | 184,000 | 184,222 | ||||||
3.15%, 09/07/2022 | 7,800,000 | 7,371,242 | ||||||
3.45%, 05/15/2024 | 830,000 | 779,581 | ||||||
5.88%, 01/14/2038 | 289,000 | 276,584 | ||||||
General Electric Co. | ||||||||
4.65%, 10/17/2021 | 514,000 | 515,519 | ||||||
2.70%, 10/09/2022 | 175,000 | 162,379 | ||||||
Harris Corp. | ||||||||
3.83%, 04/27/2025 | 1,820,000 | 1,785,998 | ||||||
4.85%, 04/27/2035 | 1,000,000 | 993,106 | ||||||
Holcim U.S. Finance Sarl & Cie SCS | ||||||||
6.00%, 12/30/2019(3) | 148,000 | 151,573 | ||||||
Illinois Tool Works, Inc. | ||||||||
1.95%, 03/01/2019 | 167,000 | 166,738 | ||||||
4.88%, 09/15/2041 | 87,000 | 94,875 | ||||||
3.90%, 09/01/2042 | 1,267,000 | 1,244,377 | ||||||
Ingersoll-Rand Luxembourg Finance SA | ||||||||
2.63%, 05/01/2020 | 360,000 | 356,425 | ||||||
JB Hunt Transport Services, Inc. | ||||||||
3.85%, 03/15/2024 | 650,000 | 658,041 | ||||||
John Deere Capital Co. | ||||||||
1.70%, 01/15/2020 | 123,000 | 121,388 | ||||||
2.05%, 03/10/2020 | 300,000 | 296,569 | ||||||
2.45%, 09/11/2020 | 335,000 | 331,116 | ||||||
3.15%, 10/15/2021 | 257,000 | 257,365 | ||||||
2.80%, 01/27/2023 | 373,000 | 365,253 | ||||||
2.65%, 06/24/2024 | 1,000,000 | 959,115 | ||||||
2.80%, 09/08/2027 | 700,000 | 661,925 | ||||||
John Deere Capital Corp. | ||||||||
2.70%, 01/06/2023 | 619,000 | 603,651 | ||||||
Johnson Controls International Plc | ||||||||
4.25%, 03/01/2021 | 344,000 | 350,586 | ||||||
3.75%, 12/01/2021 | 475,000 | 478,655 | ||||||
3.63%, 07/02/2024(1) | 161,000 | 158,640 | ||||||
6.00%, 01/15/2036 | 107,000 | 119,647 | ||||||
5.25%, 12/01/2041 | 722,000 | 698,075 | ||||||
4.95%, 07/02/2064(1) | 1,300,000 | 1,210,097 | ||||||
Keysight Technologies, Inc. | ||||||||
4.60%, 04/06/2027 | 8,000,000 | 8,034,776 | ||||||
Lockheed Martin Co. | ||||||||
2.50%, 11/23/2020 | 103,000 | 101,851 | ||||||
3.10%, 01/15/2023 | 346,000 | 342,920 | ||||||
4.07%, 12/15/2042 | 462,000 | 441,418 | ||||||
Martin Marietta Materials, Inc. | ||||||||
4.25%, 07/02/2024 | 1,705,000 | 1,725,473 | ||||||
3.45%, 06/01/2027 | 811,000 | 749,507 | ||||||
3.50%, 12/15/2027 | 9,765,000 | 8,908,272 | ||||||
6.25%, 05/01/2037 | 107,000 | 119,247 | ||||||
Masco Corp. | ||||||||
6.50%, 08/15/2032 | 1,240,000 | 1,371,748 | ||||||
MeadWestvaco Co. | ||||||||
7.38%, 09/01/2019 | 3,300,000 | 3,375,908 | ||||||
9.75%, 06/15/2020 | 17,000 | 18,336 | ||||||
8.20%, 01/15/2030 | 537,000 | 682,182 | ||||||
Mexico City Airport Trust | ||||||||
4.25%, 10/31/2026(3) | 771,000 | 687,154 | ||||||
5.50%, 07/31/2047(3) | 242,000 | 212,657 |
Norfolk Southern Co. | ||||||||
3.25%, 12/01/2021 | 570,000 | 571,476 | ||||||
2.90%, 02/15/2023 | 294,000 | 288,923 | ||||||
5.59%, 05/17/2025 | 6,000 | 6,648 | ||||||
7.80%, 05/15/2027 | 1,705,000 | 2,161,124 | ||||||
3.95%, 10/01/2042 | 332,000 | 304,814 | ||||||
4.80%, 08/15/2043 | 1,273,000 | 1,270,141 | ||||||
4.05%, 08/15/2052 | 1,100,000 | 983,906 | ||||||
Northrop Grumman Corp. | ||||||||
3.20%, 02/01/2027 | 849,000 | 796,540 | ||||||
3.25%, 01/15/2028 | 250,000 | 233,742 | ||||||
7.75%, 02/15/2031 | 206,000 | 271,410 | ||||||
3.85%, 04/15/2045 | 195,000 | 172,400 | ||||||
Nvent Finance Sarl | ||||||||
4.55%, 04/15/2028 | 3,625,000 | 3,553,719 | ||||||
Pactiv LLC | ||||||||
7.95%, 12/15/2025 | 34,000 | 33,150 | ||||||
Parker-Hannifin Co. | ||||||||
3.30%, 11/21/2024 | 149,000 | 147,108 | ||||||
4.45%, 11/21/2044 | 333,000 | 336,264 | ||||||
4.10%, 03/01/2047 | 583,000 | 558,953 | ||||||
Penske Truck Leasing Co. LP / PTL Finance Corp. | ||||||||
2.50%, 06/15/2019(3) | 184,000 | 183,129 | ||||||
2.70%, 03/14/2023(3) | 220,000 | 209,883 | ||||||
4.13%, 08/01/2023(3) | 2,011,000 | 2,007,323 | ||||||
3.95%, 03/10/2025(3) | 7,000,000 | 6,860,276 | ||||||
Precision Castparts Co. | ||||||||
3.25%, 06/15/2025 | 880,000 | 864,770 | ||||||
4.20%, 06/15/2035 | 75,000 | 74,074 | ||||||
4.38%, 06/15/2045 | 415,000 | 420,135 | ||||||
Republic Services, Inc. | ||||||||
5.25%, 11/15/2021 | 2,795,000 | 2,958,629 | ||||||
3.55%, 06/01/2022 | 496,000 | 498,044 | ||||||
2.90%, 07/01/2026 | 245,000 | 231,212 | ||||||
Rockwell Collins, Inc. | ||||||||
2.80%, 03/15/2022 | 8,800,000 | 8,553,077 | ||||||
3.20%, 03/15/2024 | 409,000 | 393,843 | ||||||
4.35%, 04/15/2047 | 259,000 | 238,595 | ||||||
Roper Technologies, Inc. | ||||||||
3.00%, 12/15/2020 | 208,000 | 206,607 | ||||||
Ryder System, Inc. | ||||||||
2.50%, 05/11/2020 | 1,020,000 | 1,007,844 | ||||||
2.88%, 09/01/2020 | 345,000 | 342,191 | ||||||
Siemens Financieringsmaatschappij NV | ||||||||
2.90%, 05/27/2022(3) | 553,000 | 542,915 | ||||||
3.13%, 03/16/2024(3) | 800,000 | 783,597 | ||||||
2.35%, 10/15/2026(3) | 700,000 | 638,096 | ||||||
4.40%, 05/27/2045(3) | 513,000 | 523,903 | ||||||
3.30%, 09/15/2046(3) | 980,000 | 829,900 | ||||||
Textron, Inc. | ||||||||
3.65%, 03/01/2021 | 11,600,000 | 11,660,117 | ||||||
3.65%, 03/15/2027 | 4,975,000 | 4,738,587 | ||||||
The Timken Co. | ||||||||
3.88%, 09/01/2024 | 1,000,000 | 997,113 | ||||||
TTX Co. | ||||||||
2.25%, 02/01/2019(3) | 3,375,000 | 3,371,293 | ||||||
3.60%, 01/15/2025(3) | 2,000,000 | 1,990,925 | ||||||
3.90%, 02/01/2045(3) | 4,000,000 | 3,682,510 |
Union Pacific Corp. | ||||||||
4.38%, 09/10/2038 | 747,000 | 739,286 | ||||||
4.50%, 09/10/2048 | 4,818,000 | 4,757,590 | ||||||
4.10%, 09/15/2067 | 200,000 | 170,254 | ||||||
United Technologies Corp. | ||||||||
3.10%, 06/01/2022 | 524,000 | 513,099 | ||||||
3.65%, 08/16/2023 | 5,529,000 | 5,506,987 | ||||||
3.95%, 08/16/2025 | 2,455,000 | 2,437,088 | ||||||
4.13%, 11/16/2028 | 13,753,000 | 13,656,265 | ||||||
4.45%, 11/16/2038 | 455,000 | 441,862 | ||||||
4.50%, 06/01/2042 | 693,000 | 653,761 | ||||||
4.15%, 05/15/2045 | 785,000 | 702,996 | ||||||
4.63%, 11/16/2048 | 3,013,000 | 2,913,703 | ||||||
Vulcan Materials Co. | ||||||||
4.70%, 03/01/2048 | 2,054,000 | 1,785,641 | ||||||
Wabtec Corp. | ||||||||
4.38%, 08/15/2023 | 322,000 | 321,658 | ||||||
4.15%, 03/15/2024 | 5,899,000 | 5,700,083 | ||||||
3.45%, 11/15/2026 | 5,000,000 | 4,496,459 | ||||||
4.70%, 09/15/2028 | 3,488,000 | 3,273,201 | ||||||
WRKCo, Inc. | ||||||||
3.75%, 03/15/2025(3) | 1,300,000 | 1,276,165 | ||||||
WRKCo., Inc. | ||||||||
3.00%, 09/15/2024(3) | 1,200,000 | 1,130,378 | ||||||
Xylem, Inc./NY | ||||||||
3.25%, 11/01/2026 | 1,192,000 | 1,133,315 | ||||||
|
| |||||||
232,834,610 | ||||||||
|
| |||||||
Technology—1.19% | ||||||||
Analog Devices, Inc. | ||||||||
3.13%, 12/05/2023 | 476,000 | 462,329 | ||||||
4.50%, 12/05/2036 | 1,020,000 | 964,063 | ||||||
Apple, Inc. | ||||||||
2.15%, 02/09/2022 | 1,200,000 | 1,169,945 | ||||||
2.40%, 05/03/2023 | 322,000 | 311,333 | ||||||
3.00%, 02/09/2024 | 7,719,000 | 7,622,494 | ||||||
3.45%, 05/06/2024 | 795,000 | 798,710 | ||||||
2.85%, 05/11/2024 | 1,333,000 | 1,299,899 | ||||||
2.75%, 01/13/2025 | 1,000,000 | 964,674 | ||||||
3.20%, 05/13/2025 | 1,010,000 | 994,734 | ||||||
2.45%, 08/04/2026 | 1,111,000 | 1,027,369 | ||||||
3.35%, 02/09/2027 | 2,020,000 | 1,976,196 | ||||||
3.20%, 05/11/2027 | 743,000 | 717,460 | ||||||
3.00%, 06/20/2027 | 1,462,000 | 1,393,997 | ||||||
2.90%, 09/12/2027 | 1,643,000 | 1,547,837 | ||||||
4.50%, 02/23/2036 | 7,278,000 | 7,717,306 | ||||||
3.45%, 02/09/2045 | 500,000 | 443,382 | ||||||
4.65%, 02/23/2046 | 1,915,000 | 2,036,362 | ||||||
3.85%, 08/04/2046 | 776,000 | 731,713 | ||||||
3.75%, 09/12/2047 | 2,300,000 | 2,115,725 | ||||||
Broadcom Corp. / Broadcom Cayman Finance Ltd. | ||||||||
3.00%, 01/15/2022 | 3,000,000 | 2,884,986 | ||||||
3.63%, 01/15/2024 | 1,988,000 | 1,880,720 | ||||||
3.13%, 01/15/2025 | 7,000,000 | 6,321,986 | ||||||
3.88%, 01/15/2027 | 1,200,000 | 1,077,234 | ||||||
Dell International LLC / EMC Corp. | ||||||||
3.48%, 06/01/2019(3) | 7,485,000 | 7,462,905 | ||||||
5.45%, 06/15/2023(3) | 11,850,000 | 12,058,351 |
Dell, Inc. | ||||||||
7.10%, 04/15/2028 | 196,000 | 201,880 | ||||||
Diamond 1 Finance Co. / Diamond 2 Finance Co. | ||||||||
6.02%, 06/15/2026(3) | 2,361,000 | 2,372,749 | ||||||
DXC Technology Co. | ||||||||
2.88%, 03/27/2020 | 5,285,000 | 5,238,643 | ||||||
4.25%, 04/15/2024 | 9,435,000 | 9,283,163 | ||||||
4.75%, 04/15/2027 | 1,500,000 | 1,506,058 | ||||||
7.45%, 10/15/2029 | 250,000 | 296,539 | ||||||
Fidelity National Information Services, Inc. | ||||||||
3.63%, 10/15/2020 | 2,231,000 | 2,240,742 | ||||||
3.50%, 04/15/2023 | 1,281,000 | 1,266,190 | ||||||
3.88%, 06/05/2024 | 582,000 | 581,312 | ||||||
3.00%, 08/15/2026 | 1,300,000 | 1,196,582 | ||||||
Fiserv, Inc. | ||||||||
4.75%, 06/15/2021 | 5,231,000 | 5,387,717 | ||||||
3.85%, 06/01/2025 | 5,000,000 | 4,957,651 | ||||||
Hewlett Packard Enterprise Co. | ||||||||
4.40%, 10/15/2022 | 7,500,000 | 7,648,170 | ||||||
IBM Credit LLC | ||||||||
2.65%, 02/05/2021 | 1,200,000 | 1,186,463 | ||||||
3.00%, 02/06/2023 | 1,700,000 | 1,667,327 | ||||||
Intel Corp. | ||||||||
3.70%, 07/29/2025 | 456,000 | 460,184 | ||||||
4.00%, 12/15/2032 | 1,195,000 | 1,231,346 | ||||||
3.73%, 12/08/2047 | 1,035,000 | 957,951 | ||||||
International Business Machines Co. | ||||||||
2.25%, 02/19/2021 | 1,670,000 | 1,636,297 | ||||||
6.50%, 01/15/2028 | 120,000 | 140,722 | ||||||
Microsoft Corp. | ||||||||
2.38%, 05/01/2023 | 744,000 | 728,026 | ||||||
2.88%, 02/06/2024 | 2,068,000 | 2,048,360 | ||||||
2.40%, 08/08/2026 | 600,000 | 561,483 | ||||||
3.30%, 02/06/2027 | 892,000 | 884,015 | ||||||
3.50%, 02/12/2035 | 318,000 | 303,827 | ||||||
4.20%, 11/03/2035 | 231,000 | 239,720 | ||||||
4.10%, 02/06/2037 | 1,468,000 | 1,509,246 | ||||||
4.50%, 10/01/2040 | 125,000 | 134,416 | ||||||
3.75%, 02/12/2045 | 7,945,000 | 7,697,422 | ||||||
4.45%, 11/03/2045 | 1,385,000 | 1,471,039 | ||||||
4.00%, 02/12/2055 | 1,513,000 | 1,488,306 | ||||||
4.75%, 11/03/2055 | 408,000 | 457,944 | ||||||
3.95%, 08/08/2056 | 264,000 | 258,018 | ||||||
4.50%, 02/06/2057 | 1,286,000 | 1,372,450 | ||||||
NXP BV / NXP Funding LLC | ||||||||
4.63%, 06/01/2023(3) | 13,637,000 | 13,364,260 | ||||||
Oracle Corp. | ||||||||
5.00%, 07/08/2019 | 547,000 | 552,834 | ||||||
2.80%, 07/08/2021 | 766,000 | 762,255 | ||||||
2.40%, 09/15/2023 | 757,000 | 726,394 | ||||||
3.40%, 07/08/2024 | 2,000,000 | 1,995,875 | ||||||
2.95%, 11/15/2024 | 1,500,000 | 1,460,712 | ||||||
2.95%, 05/15/2025 | 2,000,000 | 1,914,750 | ||||||
4.30%, 07/08/2034 | 5,981,000 | 6,009,519 | ||||||
3.90%, 05/15/2035 | 2,000,000 | 1,916,464 | ||||||
3.80%, 11/15/2037 | 7,565,000 | 7,082,740 |
6.13%, 07/08/2039 | 265,000 | 318,435 | ||||||
4.13%, 05/15/2045 | 3,668,000 | 3,489,149 | ||||||
4.00%, 07/15/2046 | 2,218,000 | 2,072,549 | ||||||
4.00%, 11/15/2047 | 1,821,000 | 1,697,052 | ||||||
4.38%, 05/15/2055 | 400,000 | 392,740 | ||||||
Qualcomm, Inc. | ||||||||
2.60%, 01/30/2023 | 139,000 | 133,755 | ||||||
2.90%, 05/20/2024 | 1,200,000 | 1,142,552 | ||||||
3.25%, 05/20/2027 | 1,003,000 | 937,320 | ||||||
4.30%, 05/20/2047 | 7,000,000 | 6,225,620 | ||||||
Seagate HDD Cayman | ||||||||
4.75%, 06/01/2023 | 1,500,000 | 1,402,465 | ||||||
Texas Instruments, Inc. | ||||||||
1.65%, 08/03/2019 | 434,000 | 430,502 | ||||||
VMware, Inc. | ||||||||
2.95%, 08/21/2022 | 2,321,000 | 2,212,189 | ||||||
Xerox Co. | ||||||||
2.75%, 09/01/2020 | 1,268,000 | 1,217,225 | ||||||
|
| |||||||
192,051,024 | ||||||||
|
| |||||||
Utilities—2.86% | ||||||||
AEP Texas, Inc. | ||||||||
3.80%, 10/01/2047 | 3,715,000 | 3,353,686 | ||||||
AEP Transmission Co. LLC | ||||||||
4.00%, 12/01/2046 | 2,020,000 | 1,931,510 | ||||||
3.75%, 12/01/2047 | 2,600,000 | 2,387,969 | ||||||
4.25%, 09/15/2048 | 4,790,000 | 4,833,562 | ||||||
Alabama Power Co. | ||||||||
2.80%, 04/01/2025 | 2,025,000 | 1,931,264 | ||||||
6.13%, 05/15/2038 | 219,000 | 268,431 | ||||||
4.10%, 01/15/2042 | 233,000 | 221,953 | ||||||
4.15%, 08/15/2044 | 205,000 | 200,836 | ||||||
3.75%, 03/01/2045 | 182,000 | 168,099 | ||||||
American Electric Power Co., Inc. | ||||||||
4.30%, 12/01/2028 | 5,515,000 | 5,607,347 | ||||||
American Water Capital Co. | ||||||||
3.85%, 03/01/2024 | 500,000 | 510,803 | ||||||
3.40%, 03/01/2025 | 592,000 | 585,137 | ||||||
6.59%, 10/15/2037 | 386,000 | 491,116 | ||||||
4.00%, 12/01/2046 | 2,350,000 | 2,216,610 | ||||||
Appalachian Power Co. | ||||||||
6.70%, 08/15/2037 | 430,000 | 526,172 | ||||||
Arizona Public Service Co. | ||||||||
8.75%, 03/01/2019 | 91,000 | 91,816 | ||||||
2.20%, 01/15/2020 | 167,000 | 166,180 | ||||||
3.35%, 06/15/2024 | 676,000 | 674,929 | ||||||
5.05%, 09/01/2041 | 349,000 | 378,083 | ||||||
3.75%, 05/15/2046 | 2,290,000 | 2,089,802 | ||||||
Atmos Energy Co. | ||||||||
8.50%, 03/15/2019 | 71,000 | 71,777 | ||||||
4.15%, 01/15/2043 | 830,000 | 796,159 | ||||||
4.13%, 10/15/2044 | 1,860,000 | 1,796,724 | ||||||
Ausgrid Finance Pty Ltd. | ||||||||
4.35%, 08/01/2028(3) | 10,275,000 | 10,247,301 | ||||||
Avangrid, Inc. | ||||||||
3.15%, 12/01/2024 | 610,000 | 588,707 | ||||||
Baltimore Gas & Electric Co. | ||||||||
2.80%, 08/15/2022 | 509,000 | 498,873 | ||||||
3.50%, 08/15/2046 | 375,000 | 331,177 |
Berkshire Hathaway Energy Co. | ||||||||
2.40%, 02/01/2020 | 409,000 | 406,283 | ||||||
2.38%, 01/15/2021 | 5,888,000 | 5,807,312 | ||||||
3.50%, 02/01/2025 | 625,000 | 619,992 | ||||||
6.13%, 04/01/2036 | 366,000 | 437,014 | ||||||
Black Hills Corp. | ||||||||
4.35%, 05/01/2033 | 6,146,000 | 6,164,653 | ||||||
Boston Gas Co. | ||||||||
4.49%, 02/15/2042(3) | 253,000 | 255,600 | ||||||
Brooklyn Union Gas Co. | ||||||||
4.50%, 03/10/2046(3) | 2,000,000 | 2,050,823 | ||||||
4.27%, 03/15/2048(3) | 1,100,000 | 1,086,851 | ||||||
CenterPoint Energy Houston Electric LLC | ||||||||
3.95%, 03/01/2048 | 717,000 | 697,685 | ||||||
CenterPoint Energy Resources Co. | ||||||||
4.50%, 01/15/2021 | 158,000 | 161,171 | ||||||
China Southern Power Grid International Finance BVI Co. Ltd. | ||||||||
3.50%, 05/08/2027(3) | 1,910,000 | 1,831,624 | ||||||
Cleveland Electric Illuminating Co. | ||||||||
3.50%, 04/01/2028(3) | 1,333,000 | 1,270,647 | ||||||
CMS Energy Co. | ||||||||
3.88%, 03/01/2024 | 550,000 | 551,705 | ||||||
3.00%, 05/15/2026 | 110,000 | 103,486 | ||||||
2.95%, 02/15/2027 | 348,000 | 323,086 | ||||||
3.45%, 08/15/2027 | 350,000 | 336,968 | ||||||
Consumers Energy Co. | ||||||||
4.35%, 08/31/2064 | 191,000 | 190,414 | ||||||
Comision Federal de Electricidad | ||||||||
4.88%, 05/26/2021(3) | 551,000 | 554,449 | ||||||
4.88%, 01/15/2024(3) | 1,572,000 | 1,532,716 | ||||||
Commonwealth Edison Co. | ||||||||
3.65%, 06/15/2046 | 364,000 | 330,003 | ||||||
3.75%, 08/15/2047 | 1,000,000 | 918,107 | ||||||
4.00%, 03/01/2048 | 4,615,000 | 4,457,890 | ||||||
Connecticut Light & Power Co. | ||||||||
3.20%, 03/15/2027 | 600,000 | 589,686 | ||||||
4.00%, 04/01/2048 | 472,000 | 466,638 | ||||||
Consolidated Edison Co. of New York, Inc. | ||||||||
5.70%, 06/15/2040 | 318,000 | 371,822 | ||||||
3.85%, 06/15/2046 | 2,940,000 | 2,695,637 | ||||||
4.65%, 12/01/2048 | 5,900,000 | 6,135,258 | ||||||
4.30%, 12/01/2056 | 3,050,000 | 2,842,398 | ||||||
4.50%, 05/15/2058 | 538,000 | 521,157 | ||||||
Consumers Energy Co. | ||||||||
5.65%, 04/15/2020 | 144,000 | 149,115 | ||||||
2.85%, 05/15/2022 | 155,000 | 153,301 | ||||||
3.25%, 08/15/2046 | 190,000 | 161,060 | ||||||
Delmarva Power & Light Co. | ||||||||
4.00%, 06/01/2042 | 170,000 | 167,067 | ||||||
4.15%, 05/15/2045 | 1,600,000 | 1,563,454 | ||||||
Dominion Energy, Inc. | ||||||||
2.96%, 07/01/2019(1) | 6,539,000 | 6,515,818 | ||||||
2.75%, 09/15/2022 | 529,000 | 509,270 | ||||||
2.85%, 08/15/2026 | 304,000 | 280,278 | ||||||
5.25%, 08/01/2033 | 1,161,000 | 1,244,473 | ||||||
5.95%, 06/15/2035 | 3,988,000 | 4,446,419 | ||||||
7.00%, 06/15/2038 | 124,000 | 154,253 | ||||||
4.90%, 08/01/2041 | 212,000 | 210,470 |
Dominion Gas Holdings LLC | ||||||||
2.50%, 12/15/2019 | 1,528,000 | 1,516,648 | ||||||
2.80%, 11/15/2020 | 264,000 | 260,048 | ||||||
4.60%, 12/15/2044 | 1,300,000 | 1,283,333 | ||||||
DTE Electric Co. | ||||||||
3.70%, 03/15/2045 | 463,000 | 430,217 | ||||||
4.05%, 05/15/2048 | 4,835,000 | 4,798,218 | ||||||
DTE Energy Co. | ||||||||
2.40%, 12/01/2019 | 278,000 | 275,151 | ||||||
2.65%, 06/15/2022 | 194,000 | 189,326 | ||||||
3.85%, 12/01/2023 | 292,000 | 292,775 | ||||||
3.50%, 06/01/2024 | 692,000 | 685,419 | ||||||
Duke Energy Carolinas LLC | ||||||||
3.05%, 03/15/2023 | 1,000,000 | 991,194 | ||||||
3.95%, 11/15/2028 | 2,879,000 | 2,950,854 | ||||||
6.00%, 12/01/2028 | 235,000 | 275,567 | ||||||
6.00%, 01/15/2038 | 161,000 | 195,490 | ||||||
4.25%, 12/15/2041 | 141,000 | 141,542 | ||||||
Duke Energy Corp. | ||||||||
3.55%, 09/15/2021 | 306,000 | 306,819 | ||||||
3.75%, 09/01/2046 | 9,300,000 | 8,051,919 | ||||||
3.95%, 08/15/2047 | 6,740,000 | 6,091,991 | ||||||
Duke Energy Florida LLC | ||||||||
2.10%, 12/15/2019 | 1,882,000 | 1,866,791 | ||||||
Duke Energy Indiana LLC | ||||||||
3.75%, 05/15/2046 | 600,000 | 553,849 | ||||||
Duke Energy Indiana, Inc. | ||||||||
3.75%, 07/15/2020 | 398,000 | 403,181 | ||||||
6.35%, 08/15/2038 | 320,000 | 404,086 | ||||||
Duke Energy Progress LLC | ||||||||
5.30%, 01/15/2019 | 206,000 | 206,137 | ||||||
3.00%, 09/15/2021 | 372,000 | 372,517 | ||||||
2.80%, 05/15/2022 | 335,000 | 330,464 | ||||||
3.25%, 08/15/2025 | 158,000 | 153,819 | ||||||
4.10%, 05/15/2042 | 217,000 | 210,779 | ||||||
4.10%, 03/15/2043 | 181,000 | 175,615 | ||||||
4.38%, 03/30/2044 | 132,000 | 134,603 | ||||||
4.15%, 12/01/2044 | 129,000 | 125,408 | ||||||
4.20%, 08/15/2045 | 325,000 | 320,102 | ||||||
3.70%, 10/15/2046 | 506,000 | 457,726 | ||||||
Duquesne Light Holdings, Inc. | ||||||||
3.62%, 08/01/2027(3) | 1,675,000 | 1,577,977 | ||||||
Edison International | ||||||||
2.95%, 03/15/2023 | 900,000 | 850,116 | ||||||
4.13%, 03/15/2028 | 530,000 | 501,920 | ||||||
EDP Finance BV | ||||||||
3.63%, 07/15/2024(3) | 700,000 | 654,557 | ||||||
Electricite de France SA | ||||||||
2.15%, 01/22/2019(3) | 3,558,000 | 3,555,893 | ||||||
4.75%, 10/13/2035(3) | 5,000,000 | 4,714,880 | ||||||
6.00%, 01/22/2114(3) | 1,035,000 | 1,009,787 | ||||||
Emera U.S. Finance LP | ||||||||
3.55%, 06/15/2026 | 3,895,000 | 3,695,436 | ||||||
4.75%, 06/15/2046 | 3,688,000 | 3,550,705 |
Enel Finance International NV | ||||||||
4.63%, 09/14/2025(3) | 530,000 | 508,749 | ||||||
3.63%, 05/25/2027(3) | 12,505,000 | 11,037,311 | ||||||
3.50%, 04/06/2028(3) | 900,000 | 772,015 | ||||||
4.88%, 06/14/2029(3) | 4,435,000 | 4,233,365 | ||||||
6.00%, 10/07/2039(3) | 307,000 | 304,655 | ||||||
4.75%, 05/25/2047(3) | 5,575,000 | 4,739,533 | ||||||
Entergy Arkansas, Inc. | ||||||||
3.50%, 04/01/2026 | 307,000 | 302,364 | ||||||
Entergy Corp. | ||||||||
2.95%, 09/01/2026 | 310,000 | 286,150 | ||||||
Entergy Louisiana LLC | ||||||||
2.40%, 10/01/2026 | 650,000 | 598,062 | ||||||
3.12%, 09/01/2027 | 370,000 | 353,313 | ||||||
3.05%, 06/01/2031 | 440,000 | 400,842 | ||||||
4.00%, 03/15/2033 | 2,610,000 | 2,642,353 | ||||||
Entergy Mississippi, Inc. | ||||||||
2.85%, 06/01/2028 | 497,000 | 464,920 | ||||||
Evergy, Inc. | ||||||||
4.85%, 06/01/2021 | 156,000 | 160,045 | ||||||
Eversource Energy | ||||||||
2.75%, 03/15/2022 | 8,563,000 | 8,377,235 | ||||||
Exelon Corp. | ||||||||
3.50%, 06/01/2022 | 10,180,000 | 9,947,375 | ||||||
4.95%, 06/15/2035 | 1,500,000 | 1,511,436 | ||||||
5.10%, 06/15/2045 | 3,635,000 | 3,789,090 | ||||||
Exelon Generation Co. LLC | ||||||||
5.20%, 10/01/2019 | 4,525,000 | 4,583,339 | ||||||
3.40%, 03/15/2022 | 1,180,000 | 1,161,353 | ||||||
4.25%, 06/15/2022 | 313,000 | 317,289 | ||||||
6.25%, 10/01/2039 | 300,000 | 313,180 | ||||||
5.75%, 10/01/2041 | 192,000 | 192,036 | ||||||
FirstEnergy Corp. | ||||||||
4.25%, 03/15/2023 | 5,801,000 | 5,893,490 | ||||||
3.90%, 07/15/2027 | 3,706,000 | 3,591,401 | ||||||
4.85%, 07/15/2047 | 3,088,000 | 3,093,994 | ||||||
FirstEnergy Transmission LLC | ||||||||
4.35%, 01/15/2025(3) | 3,452,000 | 3,489,492 | ||||||
5.45%, 07/15/2044(3) | 5,397,000 | 5,870,347 | ||||||
Florida Power & Light Co. | ||||||||
5.40%, 09/01/2035 | 700,000 | 792,851 | ||||||
5.95%, 02/01/2038 | 103,000 | 126,735 | ||||||
Fortis, Inc. | ||||||||
3.06%, 10/04/2026 | 7,778,000 | 7,104,225 | ||||||
Hydro-Quebec | ||||||||
9.40%, 02/01/2021 | 186,000 | 210,310 | ||||||
8.40%, 01/15/2022 | 826,000 | 951,022 | ||||||
8.05%, 07/07/2024 | 638,000 | 792,426 | ||||||
Indiana Michigan Power Co. | ||||||||
3.20%, 03/15/2023 | 991,000 | 980,829 | ||||||
Israel Electric Corp. Ltd. | ||||||||
9.38%, 01/28/2020(3) | 4,648,000 | 4,922,232 | ||||||
ITC Holdings Corp. | ||||||||
2.70%, 11/15/2022 | 5,240,000 | 5,064,587 | ||||||
Jersey Central Power & Light Co. | ||||||||
7.35%, 02/01/2019 | 3,758,000 | 3,769,468 | ||||||
4.30%, 01/15/2026(3) | 740,000 | 745,656 | ||||||
6.15%, 06/01/2037 | 400,000 | 466,825 |
John Sevier Combined Cycle Generation LLC | ||||||||
4.63%, 01/15/2042 | 441,259 | 468,918 | ||||||
Kansas City Power & Light Co. | ||||||||
3.15%, 03/15/2023 | 375,000 | 370,937 | ||||||
5.30%, 10/01/2041 | 1,032,000 | 1,169,856 | ||||||
4.20%, 03/15/2048 | 500,000 | 485,644 | ||||||
KeySpan Gas East Corp. | ||||||||
2.74%, 08/15/2026(3) | 538,000 | 501,178 | ||||||
Korea Gas Co. | ||||||||
4.25%, 11/02/2020(3) | 279,000 | 283,414 | ||||||
1.88%, 07/18/2021(3) | 588,000 | 567,390 | ||||||
Korea Southern Power Co. Ltd. | ||||||||
3.00%, 01/29/2021(3) | 2,868,000 | 2,848,247 | ||||||
Massachusetts Electric Co. | ||||||||
4.00%, 08/15/2046(3) | 624,000 | 588,000 | ||||||
Mega Advance Investments Ltd. | ||||||||
5.00%, 05/12/2021(3) | 591,000 | 604,463 | ||||||
MidAmerican Energy Co. | ||||||||
3.50%, 10/15/2024 | 317,000 | 322,284 | ||||||
3.10%, 05/01/2027 | 696,000 | 677,796 | ||||||
Mid-Atlantic Interstate Transmission LLC | ||||||||
4.10%, 05/15/2028(3) | 9,900,000 | 9,835,410 | ||||||
Nevada Power Co. | ||||||||
7.13%, 03/15/2019 | 188,000 | 189,567 | ||||||
5.38%, 09/15/2040 | 261,000 | 291,390 | ||||||
5.45%, 05/15/2041 | 386,000 | 445,011 | ||||||
New England Power Co. | ||||||||
3.80%, 12/05/2047(3) | 6,995,000 | 6,453,895 | ||||||
New York State Electric & Gas Corp. | ||||||||
3.25%, 12/01/2026(3) | 804,000 | 780,014 | ||||||
NextEra Energy Capital Holdings, Inc. | ||||||||
2.40%, 09/15/2019 | 487,000 | 483,881 | ||||||
3.34%, 09/01/2020 | 18,012,000 | 18,044,578 | ||||||
3.55%, 05/01/2027 | 403,000 | 384,775 | ||||||
Niagara Mohawk Power Co. | ||||||||
4.88%, 08/15/2019(3) | 168,000 | 169,490 | ||||||
3.51%, 10/01/2024(3) | 258,000 | 259,318 | ||||||
NiSource, Inc. | ||||||||
3.85%, 02/15/2023 | 283,000 | 283,856 | ||||||
6.25%, 12/15/2040 | 550,000 | 649,535 | ||||||
5.80%, 02/01/2042 | 774,000 | 858,560 | ||||||
3.95%, 03/30/2048 | 4,480,000 | 3,989,514 | ||||||
Northern States Power Co./MN | ||||||||
6.25%, 06/01/2036 | 458,000 | 579,568 | ||||||
4.13%, 05/15/2044 | 1,480,000 | 1,496,001 | ||||||
3.60%, 09/15/2047 | 2,395,000 | 2,201,780 | ||||||
Ohio Power Co. | ||||||||
4.15%, 04/01/2048 | 1,190,000 | 1,176,024 | ||||||
Oncor Electric Delivery Co. LLC | ||||||||
5.75%, 03/15/2029(3) | 124,000 | 144,812 | ||||||
Pacific Gas & Electric Co. | ||||||||
3.25%, 09/15/2021 | 146,000 | 134,468 | ||||||
2.45%, 08/15/2022 | 581,000 | 514,884 | ||||||
3.25%, 06/15/2023 | 206,000 | 182,228 | ||||||
4.25%, 08/01/2023(3) | 1,129,000 | 1,046,037 | ||||||
3.40%, 08/15/2024 | 14,420,000 | 12,504,489 | ||||||
3.50%, 06/15/2025 | 547,000 | 469,009 |
2.95%, 03/01/2026 | 194,000 | 159,582 | ||||||
3.30%, 12/01/2027 | 214,000 | 174,736 | ||||||
6.05%, 03/01/2034 | 146,000 | 135,432 | ||||||
4.50%, 12/15/2041 | 749,000 | 589,981 | ||||||
4.45%, 04/15/2042 | 194,000 | 155,173 | ||||||
4.00%, 12/01/2046 | 1,348,000 | 1,017,985 | ||||||
PacifiCorp. | ||||||||
5.50%, 01/15/2019 | 26,000 | 26,021 | ||||||
PECO Energy Co. | ||||||||
2.38%, 09/15/2022 | 578,000 | 560,208 | ||||||
4.15%, 10/01/2044 | 353,000 | 356,002 | ||||||
3.70%, 09/15/2047 | 2,120,000 | 1,945,630 | ||||||
3.90%, 03/01/2048 | 5,235,000 | 5,009,459 | ||||||
Pennsylvania Electric Co. | ||||||||
3.25%, 03/15/2028(3) | 2,386,000 | 2,234,498 | ||||||
Pepco Holdings LLC | ||||||||
7.45%, 08/15/2032 | 222,000 | 269,309 | ||||||
Pinnacle West Capital Corp. | ||||||||
2.25%, 11/30/2020 | 3,954,000 | 3,875,148 | ||||||
PNM Resources, Inc. | ||||||||
3.25%, 03/09/2021 | 165,000 | 163,666 | ||||||
Potomac Electric Power Co. | ||||||||
6.50%, 11/15/2037 | 136,000 | 171,629 | ||||||
PPL Capital Funding, Inc. | ||||||||
4.00%, 09/15/2047 | 200,000 | 178,493 | ||||||
PPL Electric Utilities Co. | ||||||||
2.50%, 09/01/2022 | 178,000 | 172,841 | ||||||
4.13%, 06/15/2044 | 208,000 | 206,043 | ||||||
Progress Energy, Inc. | ||||||||
7.05%, 03/15/2019 | 5,266,000 | 5,305,781 | ||||||
4.40%, 01/15/2021 | 390,000 | 397,431 | ||||||
3.15%, 04/01/2022 | 389,000 | 383,106 | ||||||
7.75%, 03/01/2031 | 6,236,000 | 8,302,119 | ||||||
PSEG Power LLC | ||||||||
5.13%, 04/15/2020 | 430,000 | 441,307 | ||||||
3.00%, 06/15/2021 | 2,310,000 | 2,271,816 | ||||||
4.15%, 09/15/2021 | 332,000 | 335,627 | ||||||
Public Service Co. of Colorado | ||||||||
3.55%, 06/15/2046 | 353,000 | 311,858 | ||||||
4.10%, 06/15/2048 | 2,515,000 | 2,477,053 | ||||||
Public Service Co. of Oklahoma | ||||||||
5.15%, 12/01/2019 | 143,000 | 145,633 | ||||||
4.40%, 02/01/2021 | 203,000 | 206,492 | ||||||
6.63%, 11/15/2037 | 649,000 | 827,055 | ||||||
Public Service Electric & Gas Co. | ||||||||
1.80%, 06/01/2019 | 85,000 | 84,508 | ||||||
3.15%, 08/15/2024 | 1,000,000 | 984,016 | ||||||
5.38%, 11/01/2039 | 117,000 | 133,392 | ||||||
3.60%, 12/01/2047 | 1,605,000 | 1,465,878 | ||||||
Puget Energy, Inc. | ||||||||
3.65%, 05/15/2025 | 1,200,000 | 1,173,589 | ||||||
RGS I&M Funding Co. | ||||||||
9.82%, 12/07/2022 | 85,737 | 97,248 | ||||||
San Diego Gas & Electric Co. | ||||||||
6.00%, 06/01/2026 | 213,000 | 241,045 | ||||||
5.35%, 05/15/2040 | 3,430,000 | 3,794,623 | ||||||
3.95%, 11/15/2041 | 310,000 | 287,244 |
Sempra Energy | ||||||||
9.80%, 02/15/2019 | 5,218,000 | 5,252,792 | ||||||
4.05%, 12/01/2023 | 10,325,000 | 10,400,378 | ||||||
3.40%, 02/01/2028 | 2,086,000 | 1,907,116 | ||||||
6.00%, 10/15/2039 | 4,486,000 | 4,992,780 | ||||||
South Carolina Electric & Gas Co. | ||||||||
6.63%, 02/01/2032 | 500,000 | 604,564 | ||||||
Southern California Edison Co. | ||||||||
1.85%, 02/01/2022 | 168,000 | 163,395 | ||||||
3.50%, 10/01/2023 | 328,000 | 326,981 | ||||||
3.65%, 03/01/2028 | 1,200,000 | 1,167,316 | ||||||
6.05%, 03/15/2039 | 253,000 | 288,524 | ||||||
3.90%, 12/01/2041 | 392,000 | 349,610 | ||||||
4.13%, 03/01/2048 | 5,480,000 | 5,195,743 | ||||||
Southern Co. | ||||||||
2.15%, 09/01/2019 | 555,000 | 551,600 | ||||||
3.25%, 07/01/2026 | 218,000 | 204,317 | ||||||
Southern Co. Gas Capital Corp. | ||||||||
3.50%, 09/15/2021 | 530,000 | 529,551 | ||||||
2.45%, 10/01/2023 | 230,000 | 219,217 | ||||||
3.25%, 06/15/2026 | 225,000 | 210,505 | ||||||
5.88%, 03/15/2041 | 1,210,000 | 1,369,019 | ||||||
4.40%, 06/01/2043 | 160,000 | 152,011 | ||||||
3.95%, 10/01/2046 | 282,000 | 247,203 | ||||||
Southern Power Co. | ||||||||
5.15%, 09/15/2041 | 746,000 | 742,375 | ||||||
Southwest Gas Corp. | ||||||||
3.80%, 09/29/2046 | 508,000 | 462,388 | ||||||
Southwestern Public Service Co. | ||||||||
4.50%, 08/15/2041 | 350,000 | 355,288 | ||||||
State Grid Overseas Investment 2014 Ltd. | ||||||||
2.75%, 05/07/2019(3) | 4,240,000 | 4,235,659 | ||||||
Talent Yield Investments Ltd. | ||||||||
4.50%, 04/25/2022(3) | 715,000 | 722,056 | ||||||
Tampa Electric Co. | ||||||||
4.45%, 06/15/2049 | 2,500,000 | 2,440,730 | ||||||
The Toledo Edison Co. | ||||||||
6.15%, 05/15/2037 | 680,000 | 812,516 | ||||||
Tri-State Generation & Transmission Association, Inc. | ||||||||
4.25%, 06/01/2046 | 371,000 | 346,610 | ||||||
Union Electric Co. | ||||||||
2.95%, 06/15/2027 | 715,000 | 683,194 | ||||||
3.65%, 04/15/2045 | 1,370,000 | 1,267,151 | ||||||
Virginia Electric & Power Co. | ||||||||
2.75%, 03/15/2023 | 159,000 | 155,068 | ||||||
3.45%, 02/15/2024 | 191,000 | 190,845 | ||||||
3.50%, 03/15/2027 | 4,955,000 | 4,882,484 | ||||||
3.80%, 04/01/2028 | 1,370,000 | 1,376,583 | ||||||
4.65%, 08/15/2043 | 3,500,000 | 3,638,929 | ||||||
4.45%, 02/15/2044 | 126,000 | 126,870 | ||||||
4.60%, 12/01/2048 | 5,633,000 | 5,883,740 | ||||||
WEC Energy Group, Inc. | ||||||||
3.55%, 06/15/2025 | 865,000 | 856,483 | ||||||
Westar Energy, Inc. | ||||||||
4.13%, 03/01/2042 | 4,175,000 | 4,090,905 | ||||||
Wisconsin Electric Power Co. | ||||||||
3.10%, 06/01/2025 | 285,000 | 278,777 |
Xcel Energy, Inc. | ||||||||
2.40%, 03/15/2021 | 7,410,000 | 7,296,444 | ||||||
3.35%, 12/01/2026 | 5,105,000 | 4,955,521 | ||||||
6.50%, 07/01/2036 | 131,000 | 164,965 | ||||||
|
| |||||||
461,279,916 | ||||||||
|
| |||||||
$ | 4,773,846,710 | |||||||
|
| |||||||
Total Corporate Bonds (Cost $4,892,447,417) | ||||||||
Government Related—20.60% | ||||||||
Abu Dhabi Government International Bond | ||||||||
3.13%, 10/11/2027(3) | $ | 10,270,000 | $ | 9,808,261 | ||||
African Development Bank | ||||||||
8.80%, 09/01/2019 | 2,720,000 | 2,824,662 | ||||||
Alabama Economic Settlement Authority | ||||||||
4.26%, 09/15/2032 | 610,000 | 623,274 | ||||||
American Municipal Power, Inc. | ||||||||
7.50%, 02/15/2050 | 1,350,000 | 1,943,176 | ||||||
Atlanta Independent School System | ||||||||
5.56%, 03/01/2026 | 535,000 | 613,463 | ||||||
Bay Area Toll Authority | ||||||||
6.26%, 04/01/2049 | 1,650,000 | 2,245,617 | ||||||
Caisse d’Amortissement de la Dette Sociale | ||||||||
2.00%, 03/22/2021(3) | 2,940,000 | 2,894,309 | ||||||
California Educational Facilities Authority | ||||||||
5.00%, 06/01/2046 | 1,750,000 | 2,268,892 | ||||||
California Qualified School Bond Joint Powers Authority | ||||||||
7.16%, 03/01/2027 | 805,000 | 954,311 | ||||||
California School Finance Authority | ||||||||
5.04%, 07/01/2020 | 270,000 | 277,816 | ||||||
City of Houston TX Combined Utility System Revenue | ||||||||
3.83%, 05/15/2028 | 1,850,000 | 1,904,778 | ||||||
City of Los Angeles Department of Airports | ||||||||
6.58%, 05/15/2039 | 1,650,000 | 2,081,459 | ||||||
Clark County School District | ||||||||
5.51%, 06/15/2024 | 3,000,000 | 3,239,760 | ||||||
Colombia Government International Bond | ||||||||
4.38%, 07/12/2021 | 1,000,000 | 1,015,000 | ||||||
4.00%, 02/26/2024 | 737,000 | 729,630 | ||||||
4.50%, 01/28/2026 | 1,192,000 | 1,192,000 | ||||||
4.50%, 03/15/2029 | 7,163,000 | 7,080,625 | ||||||
7.38%, 09/18/2037 | 2,150,000 | 2,600,425 | ||||||
5.63%, 02/26/2044 | 200,000 | 206,200 | ||||||
5.00%, 06/15/2045 | 2,297,000 | 2,186,744 | ||||||
Corp. Andina de Fomento | ||||||||
2.00%, 05/10/2019 | 1,470,000 | 1,464,689 | ||||||
2.13%, 09/27/2021 | 6,840,000 | 6,639,383 | ||||||
4.38%, 06/15/2022 | 2,735,000 | 2,830,588 | ||||||
2.75%, 01/06/2023 | 1,125,000 | 1,098,180 | ||||||
County of Cuyahoga OH | ||||||||
9.13%, 10/01/2023 | 105,000 | 118,812 | ||||||
District of Columbia Water & Sewer Authority | ||||||||
4.81%, 10/01/2114 | 875,000 | 967,662 | ||||||
Eaton Community City School District | ||||||||
5.39%, 08/25/2027 | 275,000 | 279,202 | ||||||
Export-Import Bank of India | ||||||||
3.88%, 02/01/2028(3) | 3,480,000 | 3,270,591 | ||||||
Export-Import Bank of Korea | ||||||||
2.25%, 01/21/2020 | 1,800,000 | 1,784,171 |
Federal Farm Credit Banks | ||||||||
3.22%, 03/26/2031 | 2,205,000 | 2,210,259 | ||||||
Federal Home Loan Banks | ||||||||
4.00%, 10/24/2029 | 2,000,000 | 2,151,172 | ||||||
5.50%, 07/15/2036 | 1,135,000 | 1,460,895 | ||||||
Federal Home Loan Mortgage Co. | ||||||||
2.38%, 01/13/2022 | 9,656,000 | 9,619,268 | ||||||
6.25%, 07/15/2032 | 3,649,000 | 4,868,901 | ||||||
Federal National Mortgage Association | ||||||||
0.00%, 10/09/2019 | 730,000 | 714,335 | ||||||
2.38%, 01/19/2023 | 8,440,000 | 8,376,354 | ||||||
2.63%, 09/06/2024 | 5,221,000 | 5,202,408 | ||||||
1.88%, 09/24/2026 | 845,000 | 786,668 | ||||||
6.25%, 05/15/2029 (10) | 1,285,000 | 1,648,881 | ||||||
7.13%, 01/15/2030 (10) | 1,500,000 | 2,065,821 | ||||||
6.63%, 11/15/2030 (10) | 2,300,000 | 3,083,750 | ||||||
Financing Co. | ||||||||
0.00%, 03/07/2019 PO | 205,000 | 203,996 | ||||||
Finnvera OYJ | ||||||||
2.38%, 06/04/2025(3) | 600,000 | 577,002 | ||||||
Government Trust Certificate | ||||||||
0.00%, 04/01/2019 | 1,375,000 | 1,365,179 | ||||||
Hashemite Kingdom of Jordan Government AID Bond | ||||||||
3.00%, 06/30/2025 | 2,695,000 | 2,680,799 | ||||||
Hungary Government International Bond | ||||||||
6.38%, 03/29/2021 | 1,600,000 | 1,688,544 | ||||||
Indonesia Government International Bond | ||||||||
5.88%, 01/15/2024(3) | 1,300,000 | 1,385,933 | ||||||
4.45%, 02/11/2024 | 1,130,000 | 1,135,862 | ||||||
4.13%, 01/15/2025(3) | 1,325,000 | 1,303,713 | ||||||
5.35%, 02/11/2049 | 2,000,000 | 2,060,238 | ||||||
Iowa Tobacco Settlement Authority | ||||||||
6.50%, 06/01/2023 | 705,000 | 715,110 | ||||||
Israel Government AID Bond | ||||||||
0.00%, 11/01/2019 IO | 345,000 | 336,756 | ||||||
0.00%, 09/15/2023 | 1,837,000 | 1,611,514 | ||||||
5.50%, 09/18/2023 | 4,835,000 | 5,435,578 | ||||||
0.00%, 11/01/2023 IO | 413,000 | 361,050 | ||||||
0.00%, 08/15/2024 | 1,500,000 | 1,278,633 | ||||||
0.00%, 11/01/2024 | 1,000,000 | 847,184 | ||||||
0.00%, 11/01/2024 PO | 17,739,000 | 15,035,640 | ||||||
0.00%, 11/15/2024 | 2,299,000 | 1,946,058 | ||||||
0.00%, 08/15/2025 | 2,500,000 | 2,056,196 | ||||||
0.00%, 11/15/2026 | 258,000 | 204,047 | ||||||
5.50%, 09/18/2033 | 619,000 | 786,389 | ||||||
Japan Bank for International Cooperation | ||||||||
2.25%, 02/24/2020 | 2,200,000 | 2,188,839 | ||||||
2.13%, 06/01/2020 | 1,400,000 | 1,386,763 | ||||||
2.13%, 07/21/2020 | 3,800,000 | 3,762,875 | ||||||
2.13%, 11/16/2020 | 4,000,000 | 3,948,738 | ||||||
1.50%, 07/21/2021 | 2,200,000 | 2,129,435 | ||||||
3.38%, 10/31/2023 | 1,400,000 | 1,426,381 | ||||||
Japan Finance Organization for Municipalities | ||||||||
2.00%, 09/08/2020(3) | 2,400,000 | 2,360,639 | ||||||
2.13%, 04/13/2021(3) | 1,600,000 | 1,570,263 | ||||||
2.63%, 04/20/2022(3) | 6,000,000 | 5,924,745 | ||||||
3.25%, 04/24/2023(3) | 1,000,000 | 1,008,732 | ||||||
2.13%, 10/25/2023(3) | 3,400,000 | 3,257,035 |
Los Angeles Department of Power | ||||||||
6.60%, 07/01/2050 | 2,400,000 | 3,387,216 | ||||||
Mexico Government International Bond | ||||||||
4.00%, 10/02/2023 | 1,576,000 | 1,568,609 | ||||||
3.60%, 01/30/2025 | 868,000 | 828,072 | ||||||
4.13%, 01/21/2026 | 1,014,000 | 991,185 | ||||||
3.75%, 01/11/2028 | 3,517,000 | 3,291,947 | ||||||
4.75%, 03/08/2044 | 3,680,000 | 3,345,120 | ||||||
5.55%, 01/21/2045 | 1,494,000 | 1,509,687 | ||||||
4.35%, 01/15/2047 | 42,000 | 35,994 | ||||||
4.60%, 02/10/2048 | 3,664,000 | 3,251,800 | ||||||
5.75%, 10/12/2110 | 588,000 | 552,720 | ||||||
New Hampshire Housing Finance Authority | ||||||||
3.05%, 01/01/2021 | 95,000 | 94,738 | ||||||
3.75%, 07/01/2034 | 140,000 | 140,445 | ||||||
New Jersey Transportation Trust Fund Authority | ||||||||
5.75%, 12/15/2028 | 5,010,000 | 5,440,058 | ||||||
6.56%, 12/15/2040 | 1,780,000 | 2,178,952 | ||||||
New Jersey Turnpike Authority | ||||||||
7.10%, 01/01/2041 | 5,870,000 | 8,018,831 | ||||||
New York State Dormitory Authority | ||||||||
5.60%, 03/15/2040 | 260,000 | 314,933 | ||||||
New York State Urban Development Corp. | ||||||||
5.84%, 03/15/2040 | 2,000,000 | 2,374,980 | ||||||
North American Development Bank | ||||||||
4.38%, 02/11/2020 | 2,500,000 | 2,539,227 | ||||||
2.40%, 10/26/2022 | 2,595,000 | 2,536,963 | ||||||
North Carolina Housing Finance Agency | ||||||||
3.00%, 01/01/2033 | 2,935,000 | 2,901,013 | ||||||
North Carolina State Education Assistance Authority | ||||||||
3.29% (3 Month LIBOR USD + 0.80%), 07/25/2036(2) | 8,600,000 | 8,678,088 | ||||||
Panama Government International Bond | ||||||||
4.00%, 09/22/2024 | 2,810,000 | 2,833,913 | ||||||
3.75%, 03/16/2025 | 650,000 | 643,832 | ||||||
4.50%, 04/16/2050 | 1,610,000 | 1,541,575 | ||||||
Peruvian Government International Bond | ||||||||
8.75%, 11/21/2033 | 4,872,000 | 7,174,020 | ||||||
5.63%, 11/18/2050 | 190,000 | 223,060 | ||||||
Port Authority of New York & New Jersey | ||||||||
5.65%, 11/01/2040 | 1,260,000 | 1,534,529 | ||||||
5.65%, 11/01/2040 | 435,000 | 529,778 | ||||||
4.46%, 10/01/2062 | 2,065,000 | 2,100,951 | ||||||
Province of Alberta Canada | ||||||||
2.20%, 07/26/2022 | 1,170,000 | 1,143,740 | ||||||
3.30%, 03/15/2028 | 4,955,000 | 5,007,993 | ||||||
Province of Manitoba Canada | ||||||||
2.13%, 05/04/2022 | 2,520,000 | 2,460,995 | ||||||
2.13%, 06/22/2026 | 400,000 | 374,230 | ||||||
Province of Ontario Canada | ||||||||
2.25%, 05/18/2022 | 1,590,000 | 1,557,348 | ||||||
3.40%, 10/17/2023 | 3,220,000 | 3,284,998 | ||||||
Province of Quebec Canada | ||||||||
2.75%, 04/12/2027 | 2,160,000 | 2,101,601 | ||||||
Qatar Government International Bond | ||||||||
3.88%, 04/23/2023(3) | 23,189,000 | 23,451,731 | ||||||
4.50%, 04/23/2028(3) | 5,650,000 | 5,897,188 | ||||||
5.10%, 04/23/2048(3) | 5,840,000 | 6,133,460 |
Republic of South Africa Government International Bond | ||||||||
5.88%, 09/16/2025 | 403,000 | 407,938 | ||||||
Residual Funding Co. Principal Strip | ||||||||
0.00%, 10/15/2019 PO | 1,377,000 | 1,347,612 | ||||||
0.00%, 07/15/2020 PO | 25,916,000 | 24,888,532 | ||||||
0.00%, 10/15/2020 PO | 5,841,000 | 5,573,022 | ||||||
0.00%, 01/15/2021 PO | 5,455,000 | 5,170,155 | ||||||
Resolution Funding Corp. Interest Strip | ||||||||
0.00%, 01/15/2026 | 1,460,000 | 1,187,201 | ||||||
0.00%, 10/15/2027 | 1,295,000 | 993,530 | ||||||
Rhode Island Housing & Mortgage Finance Co./RI | ||||||||
4.00%, 10/01/2023 | 4,000,000 | 4,081,400 | ||||||
Romanian Government International Bond | ||||||||
6.75%, 02/07/2022 | 250,000 | 268,628 | ||||||
Saudi Government International Bond | ||||||||
2.38%, 10/26/2021(3) | 5,950,000 | 5,727,196 | ||||||
2.88%, 03/04/2023(3) | 5,560,000 | 5,344,528 | ||||||
4.00%, 04/17/2025(3) | 3,200,000 | 3,171,757 | ||||||
State of California | ||||||||
7.50%, 04/01/2034 | 5,540,000 | 7,549,524 | ||||||
7.30%, 10/01/2039 | 275,000 | 377,498 | ||||||
State of Illinois | ||||||||
5.00%, 10/01/2022 | 685,000 | 721,963 | ||||||
5.00%, 11/01/2022 | 10,340,000 | 10,905,805 | ||||||
5.10%, 06/01/2033 | 10,340,000 | 9,858,466 | ||||||
State Public School Building Authority | ||||||||
5.00%, 09/15/2027 | 1,536,000 | 1,683,302 | ||||||
Tennessee Valley Authority | ||||||||
2.88%, 02/01/2027 | 600,000 | 594,104 | ||||||
7.13%, 05/01/2030 | 1,615,000 | 2,225,769 | ||||||
5.88%, 04/01/2036 | 1,831,000 | 2,386,282 | ||||||
5.50%, 06/15/2038 | 57,000 | 73,015 | ||||||
4.63%, 09/15/2060 | 1,308,000 | 1,589,175 | ||||||
4.25%, 09/15/2065 | 1,720,000 | 1,960,686 | ||||||
Tennessee Valley Authority Generic Strip | ||||||||
0.00%, 05/01/2019 IO | 1,238,000 | 1,226,229 | ||||||
0.00%, 07/15/2028 IO | 2,000,000 | 1,456,336 | ||||||
0.00%, 03/15/2032 | 1,514,000 | 953,706 | ||||||
Tennessee Valley Authority Principal Strip | ||||||||
0.00%, 11/01/2025 PO | 1,847,000 | 1,503,994 | ||||||
0.00%, 06/15/2035 PO | 258,000 | 142,014 | ||||||
The Ohio State University | ||||||||
4.05%, 12/01/2056 | 406,000 | 403,138 | ||||||
4.80%, 06/01/2111 | 1,102,000 | 1,207,164 | ||||||
Three Rivers Local School District | ||||||||
5.21%, 09/15/2027 | 285,000 | 295,839 | ||||||
Tokyo Metropolitan Government | ||||||||
2.00%, 05/17/2021(3) | 2,400,000 | 2,343,559 | ||||||
2.50%, 06/08/2022(3) | 5,000,000 | 4,906,070 | ||||||
3.25%, 06/01/2023(3) | 1,200,000 | 1,208,589 | ||||||
Turkey Government International Bond | ||||||||
7.00%, 06/05/2020 | 3,910,000 | 3,985,252 | ||||||
U.S. Treasury Inflation Indexed Bonds | ||||||||
0.13%, 04/15/2019 (11) | 971,307 | 957,471 | ||||||
1.38%, 01/15/2020 (11) | 347,321 | 345,095 | ||||||
0.13%, 01/15/2022 (11) | 2,482,663 | 2,409,928 |
0.63%, 04/15/2023(11) | 31,494,614 | 30,973,001 | ||||||
1.75%, 01/15/2028(11) | 724,266 | 769,176 | ||||||
3.63%, 04/15/2028(11) | 1,630,762 | 2,001,358 | ||||||
2.50%, 01/15/2029(11) | 486,452 | 553,697 | ||||||
U.S. Treasury Note/Bond | ||||||||
1.13%, 01/31/2019 | 1,930,000 | 1,928,154 | ||||||
1.50%, 01/31/2019 | 1,050,000 | 1,049,302 | ||||||
0.75%, 02/15/2019 | 5,000,000 | 4,990,302 | ||||||
3.13%, 05/15/2019 | 10,774,000 | 10,797,989 | ||||||
1.50%, 05/31/2019 | 1,360,000 | 1,354,475 | ||||||
1.00%, 11/30/2019 | 2,392,000 | 2,356,774 | ||||||
8.50%, 02/15/2020 | 4,750,000 | 5,056,258 | ||||||
3.50%, 05/15/2020 | 1,300,000 | 1,316,126 | ||||||
1.50%, 05/31/2020 | 2,375,000 | 2,339,967 | ||||||
2.50%, 05/31/2020 | 806,000 | 805,224 | ||||||
1.63%, 06/30/2020 | 1,500,000 | 1,479,606 | ||||||
2.63%, 08/15/2020 | 3,709,000 | 3,713,810 | ||||||
8.75%, 08/15/2020 | 6,304,000 | 6,915,690 | ||||||
1.38%, 08/31/2020 | 10,010,000 | 9,819,958 | ||||||
2.13%, 08/31/2020 | 2,032,000 | 2,018,264 | ||||||
2.75%, 09/30/2020 | 1,881,000 | 1,887,788 | ||||||
1.38%, 10/31/2020 | 1,050,000 | 1,028,502 | ||||||
2.88%, 10/31/2020 | 16,251,000 | 16,349,893 | ||||||
2.63%, 11/15/2020 | 4,596,000 | 4,603,629 | ||||||
1.63%, 11/30/2020 | 20,000,000 | 19,666,594 | ||||||
2.00%, 11/30/2020 | 1,000,000 | 990,555 | ||||||
2.75%, 11/30/2020 | 38,696,000 | 38,864,047 | ||||||
1.38%, 01/31/2021 | 15,955,000 | 15,585,966 | ||||||
3.63%, 02/15/2021 | 1,961,000 | 2,005,953 | ||||||
1.13%, 02/28/2021 | 8,000,000 | 7,767,531 | ||||||
2.25%, 04/30/2021 | 1,800,000 | 1,791,251 | ||||||
2.63%, 05/15/2021 | 5,277,800 | 5,293,820 | ||||||
3.13%, 05/15/2021 | 4,592,000 | 4,659,386 | ||||||
8.13%, 05/15/2021 | 1,718,000 | 1,937,271 | ||||||
2.13%, 08/15/2021 | 2,805,000 | 2,779,126 | ||||||
2.00%, 10/31/2021 | 15,000,000 | 14,806,072 | ||||||
2.00%, 11/15/2021 | 14,000,000 | 13,818,044 | ||||||
2.88%, 11/15/2021 | 26,781,000 | 27,077,322 | ||||||
8.00%, 11/15/2021 | 4,414,000 | 5,081,119 | ||||||
1.75%, 11/30/2021 | 10,000 | 9,798 | ||||||
2.63%, 12/15/2021 | 2,989,000 | 3,002,286 | ||||||
1.50%, 01/31/2022 | 1,250,000 | 1,214,267 | ||||||
1.75%, 02/28/2022 | 30,000,000 | 29,345,303 | ||||||
1.75%, 03/31/2022 | 63,550,000 | 62,123,798 | ||||||
1.88%, 03/31/2022 | 67,050,000 | 65,791,446 | ||||||
1.88%, 04/30/2022 | 2,000,000 | 1,961,690 | ||||||
2.13%, 06/30/2022 | 2,000,000 | 1,976,248 | ||||||
2.00%, 07/31/2022 | 8,500,000 | 8,359,939 | ||||||
1.63%, 08/31/2022 | 23,919,000 | 23,201,770 | ||||||
1.75%, 09/30/2022 | 12,000,000 | 11,683,389 | ||||||
2.00%, 10/31/2022 | 664,000 | 652,245 | ||||||
2.13%, 12/31/2022 | 55,602,000 | 54,820,236 | ||||||
1.75%, 01/31/2023 | 12,000,000 | 11,653,110 | ||||||
2.00%, 02/15/2023 | 500,000 | 490,271 | ||||||
2.63%, 02/28/2023 | 31,103,000 | 31,261,905 | ||||||
2.50%, 03/31/2023 | 22,082,000 | 22,085,071 | ||||||
2.75%, 04/30/2023 | 11,014,000 | 11,127,295 |
1.75%, 05/15/2023 | 17,221,000 | 16,687,021 | ||||||
2.75%, 05/31/2023 | 24,889,000 | 25,160,335 | ||||||
2.63%, 06/30/2023 | 22,753,000 | 22,871,066 | ||||||
2.75%, 07/31/2023 | 22,957,000 | 23,201,432 | ||||||
2.50%, 08/15/2023 | 9,000,000 | 8,996,992 | ||||||
1.38%, 08/31/2023 | 12,000,000 | 11,406,714 | ||||||
2.75%, 08/31/2023 | 20,436,000 | 20,664,547 | ||||||
2.88%, 09/30/2023 | 34,920,000 | 35,486,116 | ||||||
1.63%, 10/31/2023 | 25,000,000 | 23,993,916 | ||||||
2.88%, 10/31/2023 | 26,040,000 | 26,472,029 | ||||||
2.88%, 11/30/2023 | 84,027,000 | 85,485,771 | ||||||
2.63%, 12/31/2023 | 21,048,000 | 21,156,692 | ||||||
2.75%, 02/15/2024 | 1,000,000 | 1,010,652 | ||||||
2.13%, 02/29/2024 | 10,842,000 | 10,633,568 | ||||||
2.50%, 05/15/2024 | 75,188,000 | 75,049,097 | ||||||
2.00%, 06/30/2024 | 543,000 | 528,030 | ||||||
2.38%, 08/15/2024 | 20,000,000 | 19,817,060 | ||||||
2.25%, 11/15/2024 | 20,529,000 | 20,176,999 | ||||||
2.00%, 02/15/2025 | 15,000,000 | 14,511,798 | ||||||
2.88%, 04/30/2025 | 840,000 | 854,760 | ||||||
2.13%, 05/15/2025 | 37,000,000 | 36,014,413 | ||||||
2.88%, 05/31/2025 | 5,392,000 | 5,486,290 | ||||||
2.00%, 08/15/2025 | 150,100 | 144,756 | ||||||
3.00%, 10/31/2025 | 5,634,000 | 5,782,356 | ||||||
2.25%, 11/15/2025 | 175,186,000 | 171,396,543 | ||||||
2.88%, 11/30/2025 | 22,221,000 | 22,629,804 | ||||||
1.63%, 02/15/2026 | 45,900 | 42,990 | ||||||
2.00%, 11/15/2026 | 42,125,000 | 40,240,125 | ||||||
2.25%, 11/15/2027 | 36,400,000 | 35,188,465 | ||||||
2.88%, 05/15/2028 | 14,572,600 | 14,806,958 | ||||||
5.50%, 08/15/2028 | 1,312,000 | 1,621,874 | ||||||
3.13%, 11/15/2028 | 51,248,000 | 53,193,092 | ||||||
5.25%, 11/15/2028 | 67,000 | 81,655 | ||||||
5.38%, 02/15/2031 | 78,200 | 99,398 | ||||||
4.50%, 02/15/2036 | 5,214,000 | 6,432,155 | ||||||
4.75%, 02/15/2037 | 37,619,000 | 47,992,887 | ||||||
5.00%, 05/15/2037 | 8,604,000 | 11,304,312 | ||||||
4.38%, 02/15/2038 | 3,278,000 | 4,020,103 | ||||||
3.50%, 02/15/2039 | 101,649,100 | 111,334,285 | ||||||
4.25%, 05/15/2039 | 6,800,000 | 8,214,335 | ||||||
4.50%, 08/15/2039 | 4,706,000 | 5,872,475 | ||||||
4.38%, 11/15/2039 | 7,900,000 | 9,699,088 | ||||||
4.63%, 02/15/2040 | 3,000,000 | 3,807,407 | ||||||
4.38%, 05/15/2040 | 7,600,000 | 9,343,148 | ||||||
3.88%, 08/15/2040 | 4,380,000 | 5,037,249 | ||||||
4.25%, 11/15/2040 | 4,500,000 | 5,446,184 | ||||||
4.75%, 02/15/2041 | 3,500,000 | 4,529,582 | ||||||
4.38%, 05/15/2041 | 1,500,000 | 1,849,020 | ||||||
2.75%, 08/15/2042 | 293,000 | 280,976 | ||||||
2.75%, 11/15/2042 | 1,200,000 | 1,149,409 | ||||||
3.13%, 02/15/2043 | 18,100,000 | 18,495,118 | ||||||
2.88%, 05/15/2043 | 157,825,000 | 154,346,622 | ||||||
3.63%, 08/15/2043 | 20,800,000 | 23,063,469 | ||||||
3.75%, 11/15/2043 | 48,150,000 | 54,474,762 | ||||||
3.63%, 02/15/2044 | 40,750,000 | 45,218,530 | ||||||
2.50%, 02/15/2045 | 48,850,000 | 44,353,424 | ||||||
2.88%, 08/15/2045 | 7,800,000 | 7,610,948 |
3.00%, 11/15/2045 | 11,563,000 | 11,559,938 | ||||||
2.50%, 05/15/2046 | 8,067,000 | 7,288,685 | ||||||
2.25%, 08/15/2046 | 15,000,000 | 12,844,075 | ||||||
3.00%, 05/15/2047 | 13,861,000 | 13,825,942 | ||||||
2.75%, 08/15/2047 | 16,887,000 | 16,021,929 | ||||||
2.75%, 11/15/2047 | 16,648,000 | 15,780,697 | ||||||
3.00%, 02/15/2048 | 31,978,000 | 31,862,478 | ||||||
3.13%, 05/15/2048 | 36,887,400 | 37,652,493 | ||||||
3.00%, 08/15/2048 | 20,364,000 | 20,302,782 | ||||||
U.S. Treasury Strip Coupon | ||||||||
0.00%, 05/15/2019 | 16,918,000 | 16,767,206 | ||||||
0.00%, 08/15/2019 | 10,357,000 | 10,195,483 | ||||||
0.00%, 02/15/2020 | 8,378,000 | 8,140,268 | ||||||
0.00%, 05/15/2020 | 17,015,000 | 16,428,755 | ||||||
0.00%, 08/15/2020 | 34,113,000 | 32,732,467 | ||||||
0.00%, 02/15/2021 | 14,550,000 | 13,798,838 | ||||||
0.00%, 05/15/2021 | 14,843,000 | 13,984,372 | ||||||
0.00%, 08/15/2021 | 9,469,000 | 8,868,668 | ||||||
0.00%, 11/15/2021 | 11,144,000 | 10,376,900 | ||||||
0.00%, 02/15/2022 | 33,917,000 | 31,350,596 | ||||||
0.00%, 05/15/2022 | 18,154,000 | 16,670,798 | ||||||
0.00%, 08/15/2022 | 12,500,000 | 11,408,363 | ||||||
0.00%, 11/15/2022 | 17,400,000 | 15,775,532 | ||||||
0.00%, 02/15/2023 | 61,562,000 | 55,456,165 | ||||||
0.00%, 05/15/2023 | 30,855,000 | 27,608,285 | ||||||
0.00%, 08/15/2023 | 22,550,000 | 20,053,846 | ||||||
0.00%, 11/15/2023 | 9,300,000 | 8,211,676 | ||||||
0.00%, 02/15/2024 | 6,124,000 | 5,369,659 | ||||||
0.00%, 05/15/2024 | 1,322,000 | 1,151,452 | ||||||
0.00%, 08/15/2024 | 1,834,000 | 1,586,364 | ||||||
0.00%, 11/15/2024 | 6,105,000 | 5,246,634 | ||||||
0.00%, 02/15/2025 | 799,000 | 681,423 | ||||||
0.00%, 05/15/2025 | 3,279,000 | 2,773,964 | ||||||
0.00%, 02/15/2026 | 1,000,000 | 828,515 | ||||||
0.00%, 05/15/2026 | 3,801,000 | 3,123,582 | ||||||
0.00%, 11/15/2026 | 10,222,000 | 8,273,465 | ||||||
0.00%, 02/15/2027 | 11,416,000 | 9,171,940 | ||||||
0.00%, 08/15/2027 | 4,314,000 | 3,408,771 | ||||||
0.00%, 11/15/2027 | 7,702,000 | 6,041,252 | ||||||
0.00%, 02/15/2028 | 7,769,000 | 6,039,152 | ||||||
0.00%, 08/15/2028 | 6,918,000 | 5,291,660 | ||||||
0.00%, 11/15/2028 | 7,540,000 | 5,712,625 | ||||||
0.00%, 02/15/2029 | 7,537,000 | 5,672,398 | ||||||
0.00%, 05/15/2029 | 6,068,000 | 4,526,806 | ||||||
0.00%, 11/15/2029 | 5,164,000 | 3,794,212 | ||||||
0.00%, 02/15/2030 | 15,187,000 | 11,070,622 | ||||||
0.00%, 05/15/2030 | 8,464,000 | 6,136,115 | ||||||
0.00%, 08/15/2030 | 13,772,000 | 9,885,125 | ||||||
0.00%, 11/15/2030 | 14,469,000 | 10,311,964 | ||||||
0.00%, 02/15/2031 (10) | 22,283,000 | 15,795,517 | ||||||
0.00%, 05/15/2031 | 19,225,000 | 13,492,680 | ||||||
0.00%, 08/15/2031 | 16,262,000 | 11,325,343 | ||||||
0.00%, 11/15/2031 | 13,399,000 | 9,259,310 | ||||||
0.00%, 02/15/2032 | 20,909,000 | 14,332,278 | ||||||
0.00%, 05/15/2032 | 24,453,000 | 16,645,794 | ||||||
0.00%, 08/15/2032 | 10,925,000 | 7,383,351 | ||||||
0.00%, 02/15/2033 | 10,000,000 | 6,650,607 |
0.00%, 05/15/2033 | 10,845,000 | 7,160,759 | ||||||
0.00%, 08/15/2033 | 4,212,000 | 2,758,641 | ||||||
0.00%, 11/15/2033 | 13,216,000 | 8,589,214 | ||||||
0.00%, 02/15/2034 | 17,759,000 | 11,445,424 | ||||||
0.00%, 05/15/2034 | 31,500,000 | 20,152,430 | ||||||
0.00%, 08/15/2034 | 6,895,000 | 4,380,585 | ||||||
0.00%, 11/15/2034 | 3,492,000 | 2,200,486 | ||||||
0.00%, 02/15/2035 | 1,824,000 | 1,140,443 | ||||||
0.00%, 05/15/2035 | 1,920,000 | 1,191,923 | ||||||
0.00%, 08/15/2035 | 175,000 | 107,837 | ||||||
0.00%, 05/15/2036 | 121,000 | 72,795 | ||||||
0.00%, 08/15/2041 | 1,225,000 | 614,323 | ||||||
U.S. Treasury Strip Principal | ||||||||
0.00%, 05/15/2019 | 3,360,000 | 3,330,932 | ||||||
0.00%, 08/15/2019 | 5,400,400 | 5,315,915 | ||||||
0.00%, 08/15/2019 | 500,000 | 492,239 | ||||||
0.00%, 11/15/2019 | 7,500,000 | 7,332,714 | ||||||
0.00%, 02/15/2020 | 17,030,000 | 16,543,933 | ||||||
0.00%, 11/15/2041 | 55,300,000 | 27,858,626 | ||||||
0.00%, 08/15/2043 | 5,635,000 | 2,664,562 | ||||||
0.00%, 05/15/2044 | 16,765,000 | 7,762,732 | ||||||
University of Missouri | ||||||||
5.96%, 11/01/2039 | 3,445,000 | 4,194,253 | ||||||
University of Texas System | ||||||||
5.00%, 08/15/2047 | 3,825,000 | 4,980,724 | ||||||
University of Virginia | ||||||||
4.18%, 09/01/2117 | 1,540,000 | 1,499,113 | ||||||
Uruguay Government International Bond | ||||||||
5.10%, 06/18/2050 | 2,400,000 | 2,355,600 | ||||||
4.98%, 04/20/2055 | 2,220,000 | 2,111,242 | ||||||
West Contra Costa Unified School District | ||||||||
6.25%, 08/01/2030 | 215,000 | 270,584 | ||||||
Westlake City School District | ||||||||
5.23%, 12/01/2026 | 430,000 | 449,935 | ||||||
|
| |||||||
Total Government Related (Cost $3,291,893,476) | $ | 3,317,408,900 | ||||||
|
| |||||||
Mortgage-Backed Obligations—35.77% | ||||||||
20 Times Square Trust 2018-20TS | ||||||||
3.10%, 05/17/2035(3)(4) | $ | 5,204,000 | $ | 4,955,468 | ||||
ACRC Holdings LLC | ||||||||
6.91% (1 Month LIBOR USD + 4.60%, 4.60% Floor), 12/22/2021(2)(12) | 6,515,000 | 6,515,000 | ||||||
Alternative Loan Trust 2003-22CB | ||||||||
6.00%, 12/25/2033 | 2,426,796 | 2,398,422 | ||||||
Alternative Loan Trust2004-2CB | ||||||||
5.75%, 03/25/2034 | 642,265 | 666,636 | ||||||
Alternative Loan Trust2004-8CB | ||||||||
2.78% (1 Month LIBOR USD + 0.27%, 0.27% Floor), 06/25/2034(2) | 1,697,510 | 1,685,619 | ||||||
Alternative Loan Trust2005-1CB | ||||||||
4.59%(-1 x 1 Month LIBOR USD + 7.10%, 7.10% Cap), 03/25/2035 IO(2)(5) | 189,445 | 23,672 | ||||||
Alternative Loan Trust 2005-20CB | ||||||||
2.24%(-1 x 1 Month LIBOR USD + 4.75%, 4.75% Cap), 07/25/2035 IO(2)(5) | 623,082 | 51,293 | ||||||
Alternative Loan Trust 2005-22T1 | ||||||||
2.56%(-1 x 1 Month LIBOR USD + 5.07%, 5.07% Cap), 06/25/2035 IO(2)(5) | 703,854 | 66,328 | ||||||
Alternative Loan Trust 2005-28CB | ||||||||
5.50%, 08/25/2035 | 267,733 | 254,976 | ||||||
6.00%, 08/25/2035 | 8,706 | 6,264 |
Alternative Loan Trust 2005-37T1 | ||||||||
2.54%(-1 x 1 Month LIBOR USD + 5.05%, 5.05% Cap), 09/25/2035 IO(2)(5) | 2,273,490 | 228,922 | ||||||
Alternative Loan Trust 2005-50CB | ||||||||
5.00%, 11/25/2020 | 16,335 | 16,227 | ||||||
Alternative Loan Trust 2005-54CB | ||||||||
2.34%(-1 x 1 Month LIBOR USD + 4.85%, 4.85% Cap), 11/25/2035 IO(2)(5) | 1,015,190 | 93,858 | ||||||
5.50%, 11/25/2035 | 3,495 | 3,405 | ||||||
5.50%, 11/25/2035 | 256,962 | 238,397 | ||||||
Alternative Loan Trust 2005-64CB | ||||||||
5.50%, 12/25/2035 | 110,043 | 106,084 | ||||||
Alternative Loan Trust2005-J1 | ||||||||
2.59%(-1 x 1 Month LIBOR USD + 5.10%, 5.10% Cap), 02/25/2035 IO(2)(5) | 73,401 | 1,035 | ||||||
Alternative Loan Trust 2006-28CB | ||||||||
6.00%, 10/25/2036 | 75,790 | 59,114 | ||||||
Alternative Loan Trust 2006-43CB | ||||||||
6.00%, 02/25/2022 | 9,687 | 9,647 | ||||||
Alternative Loan Trust2006-7CB | ||||||||
5.25%, 05/25/2021 | 63,717 | 62,202 | ||||||
Alternative Loan Trust2006-J5 | ||||||||
4.45%, 07/25/2021(4) | 25,288 | 24,086 | ||||||
American General Mortgage Loan Trust2006-1 | ||||||||
5.75%, 12/25/2035(3)(4) | 6,307 | 6,491 | ||||||
Antler Mortgage Trust 2018-RTL1 | ||||||||
4.34%, 07/25/2022(3)(12) | 13,580,000 | 13,543,334 | ||||||
ASG Resecuritization Trust2011-1 | ||||||||
4.20%, 11/29/2035(3)(4) | 25,983 | 25,949 | ||||||
6.00%, 09/30/2036(3) | 224,670 | 166,229 | ||||||
Assurant Commercial Mortgage Trust2016-1 | ||||||||
3.17%, 05/17/2049(3) | 9,100,000 | 8,892,866 | ||||||
BAMLL Commercial Mortgage Securities Trust 2012-PARK | ||||||||
2.96%, 12/12/2030(3) | 809,000 | 811,459 | ||||||
BAMLL Commercial Mortgage Securities Trust 2014-520M | ||||||||
4.21%, 08/16/2046(3)(4) | 1,200,000 | 1,090,967 | ||||||
BAMLLRe-REMIC Trust 2013-FRR2 | ||||||||
0.00%, 12/27/2045(3) | 4,000,000 | 3,171,592 | ||||||
BAMLLRe-REMIC Trust 2014-FRR5 | ||||||||
0.00%, 06/28/2045(3) | 6,300,000 | 4,994,464 | ||||||
Banc of America Alternative Loan Trust2004-11 | ||||||||
5.50%, 12/25/2019 | 1,162 | 1,163 | ||||||
Banc of America Alternative Loan Trust2004-6 | ||||||||
0.00%, 07/25/2034 PO | 1,759 | 1,609 | ||||||
Banc of America Alternative Loan Trust2005-10 | ||||||||
5.25%, 11/25/2020 | 6,578 | 6,561 | ||||||
Banc of America Alternative Loan Trust2005-11 | ||||||||
5.50%, 12/25/2035 | 12,369 | 11,811 | ||||||
Banc of America Alternative Loan Trust2005-2 | ||||||||
5.50%, 03/25/2020 | 4,047 | 3,928 | ||||||
5.50%, 03/25/2035 | 8,060 | 7,909 | ||||||
Banc of America Alternative Loan Trust2005-4 | ||||||||
5.50%, 05/25/2020 | 22,454 | 21,820 | ||||||
Banc of America Alternative Loan Trust2005-5 | ||||||||
5.50%, 06/25/2035 | 41,313 | 38,283 | ||||||
Banc of America Alternative Loan Trust2005-9 | ||||||||
5.50%, 10/25/2035 | 18,368 | 18,087 | ||||||
Banc of America Alternative Loan Trust2006-5 | ||||||||
6.00%, 06/25/2046 | 40,761 | 36,895 | ||||||
Banc of America Alternative Loan Trust2007-1 | ||||||||
5.55%, 04/25/2022(4) | 35,754 | 34,920 |
Banc of America Commercial Mortgage Trust2006-5 | ||||||||
0.59%, 09/10/2047 IO(3)(4) | 546,516 | 5 | ||||||
Banc of America Funding2004-1 Trust | ||||||||
0.00%, 03/25/2034 PO | 30,170 | 25,507 | ||||||
Banc of America Funding2004-2 Trust | ||||||||
5.75%, 09/20/2034 | 2,468,846 | 2,593,082 | ||||||
Banc of America Funding2004-C Trust | ||||||||
4.97%, 12/20/2034(4) | 64,727 | 64,661 | ||||||
Banc of America Funding2005-6 Trust | ||||||||
5.50%, 10/25/2035 | 29,429 | 27,915 | ||||||
Banc of America Funding2005-7 Trust | ||||||||
0.00%, 11/25/2035 PO | 29,953 | 24,921 | ||||||
Banc of America Funding2005-8 Trust | ||||||||
0.00%, 01/25/2036 PO | 9,949 | 7,491 | ||||||
Banc of America Funding2005-C Trust | ||||||||
2.71% (1 Month LIBOR USD + 0.24%, 0.24% Floor, 11.00% Cap), 05/20/2035(2) | 2,665,021 | 2,617,530 | ||||||
Banc of America Funding2005-E Trust | ||||||||
4.56%, 03/20/2035(4) | 33,468 | 33,614 | ||||||
Banc of America Funding2006-1 Trust | ||||||||
0.00%, 01/25/2036 PO | 16,953 | 13,246 | ||||||
Banc of America Merrill Lynch Commercial Mortgage, Inc. | ||||||||
0.03%, 10/10/2045 IO(3)(4) | 2,502,946 | 25 | ||||||
Banc of America Mortgage2003-C Trust | ||||||||
4.19%, 04/25/2033(4) | 19,264 | 19,532 | ||||||
Banc of America Mortgage2004-J Trust | ||||||||
4.87%, 11/25/2034(4) | 48,769 | 48,803 | ||||||
Banc of America Mortgage Trust2004-9 | ||||||||
0.00%, 09/25/2032 PO | 101 | 93 | ||||||
6.50%, 09/25/2032 | 22,941 | 23,569 | ||||||
BANK 2017-BNK4 | ||||||||
3.63%, 05/17/2050 | 6,790,000 | 6,769,435 | ||||||
BANK 2017-BNK8 | ||||||||
3.49%, 11/17/2050 | 15,945,000 | 15,777,965 | ||||||
BANK 2017-BNK9 | ||||||||
3.54%, 11/17/2054 | 6,100,000 | 6,057,367 | ||||||
BANK 2018-BNK15 | ||||||||
4.14%, 11/17/2061 | 18,750,000 | 19,430,147 | ||||||
BBCMS Mortgage Trust2018-C2 | ||||||||
4.05%, 12/15/2051 | 20,000,000 | 20,513,708 | ||||||
BB-UBS Trust | ||||||||
2.89%, 06/05/2030(3) | 568,000 | 558,982 | ||||||
BB-UBS Trust 2012-SHOW | ||||||||
3.43%, 11/07/2036(3) | 4,602,000 | 4,603,227 | ||||||
BCAP LLC2009-RR5 Trust | ||||||||
5.50%, 11/28/2034(3)(4) | 107,339 | 109,751 | ||||||
BCAP LLC2010-RR7 Trust | ||||||||
3.75%, 07/26/2045(3)(4) | 572,763 | 567,693 | ||||||
Bear StearnsALT-A Trust2005-2 | ||||||||
3.01% (1 Month LIBOR USD + 0.50%, 0.25% Floor, 11.50% Cap), 03/25/2035(2) | 21,245 | 21,133 | ||||||
Bear StearnsALT-A Trust2005-7 | ||||||||
3.05% (1 Month LIBOR USD + 0.54%, 0.27% Floor, 11.50% Cap), 08/25/2035(2) | 1,306,284 | 1,298,236 | ||||||
Bear Stearns ARM Trust2003-2 | ||||||||
4.72%, 01/25/2033(3)(4) | 114,929 | 117,027 | ||||||
Bear Stearns ARM Trust2003-7 | ||||||||
4.20%, 10/25/2033(4) | 10,074 | 10,037 | ||||||
Bear Stearns ARM Trust2004-2 | ||||||||
3.88%, 05/25/2034(4) | 62,909 | 62,208 |
Bear Stearns ARM Trust2006-1 | ||||||||
4.91% (1 Year CMT Rate + 2.25%, 2.25% Floor, 9.90% Cap), 02/25/2036(2) | 229,251 | 230,500 | ||||||
Bear Stearns Asset Backed Securities I Trust2004-AC2 | ||||||||
5.00%, 05/25/2034 | 26,240 | 25,969 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR14 | ||||||||
0.31%, 12/11/2038 IO(3)(4) | 647,115 | 1,970 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 2007-TOP26 | ||||||||
0.01%, 01/12/2045 IO(3)(4) | 12,193,791 | 5,957 | ||||||
Bellemeade Re2018-1 Ltd. | ||||||||
4.11% (1 Month LIBOR USD + 1.60%), 04/25/2028(2) (3) | 4,420,000 | 4,419,994 | ||||||
Bellemeade Re2018-2 Ltd. | ||||||||
3.46% (1 Month LIBOR USD + 0.95%), 08/25/2028(2) (3) | 3,450,000 | 3,441,268 | ||||||
3.86% (1 Month LIBOR USD + 1.35%), 08/25/2028(2) (3) | 1,200,000 | 1,194,325 | ||||||
4.11% (1 Month LIBOR USD + 1.60%), 08/25/2028(2) (3) | 1,350,000 | 1,328,716 | ||||||
Bellemeade Re2018-3 Ltd. | ||||||||
3.71% (1 Month LIBOR USD + 1.20%, 1.20% Floor), 10/25/2028(2) (3) | 2,220,000 | 2,219,375 | ||||||
4.36% (1 Month LIBOR USD + 1.85%, 1.85% Floor), 10/25/2028(2) (3) | 3,360,000 | 3,354,654 | ||||||
BENCHMARK2018-B3 Mortgage Trust | ||||||||
3.76%, 04/12/2051 | 16,800,000 | 16,929,437 | ||||||
Benchmark2018-B8 Mortgage Trust | ||||||||
4.23%, 01/18/2052 | 2,471,000 | 2,573,112 | ||||||
CD2006-CD3 Mortgage Trust | ||||||||
0.58%, 10/15/2048 IO(3)(4) | 2,898,117 | 27,882 | ||||||
CD2007-CD4 Commercial Mortgage Trust | ||||||||
0.75%, 12/11/2049 IO(3)(4) | 79,103 | 856 | ||||||
Chase Mortgage Finance Trust Series2006-A1 | ||||||||
4.29%, 09/25/2036(4) | 151,005 | 142,951 | ||||||
Chase Mortgage Finance Trust Series2007-A1 | ||||||||
4.26%, 02/25/2037(4) | 12,745 | 12,765 | ||||||
4.28%, 02/25/2037(4) | 64,306 | 63,766 | ||||||
4.37%, 02/25/2037(4) | 51,881 | 52,467 | ||||||
4.45%, 02/25/2037(4) | 106,636 | 109,129 | ||||||
Chase Mortgage Finance Trust Series2007-A2 | ||||||||
4.26%, 06/25/2035(4) | 45,189 | 45,205 | ||||||
4.51%, 06/25/2035(4) | 66,108 | 67,361 | ||||||
CHL Mortgage Pass-Through Trust2002-18 | ||||||||
0.00%, 11/25/2032 PO | 13,534 | 12,345 | ||||||
CHL Mortgage Pass-Through Trust2004-3 | ||||||||
5.50%, 04/25/2034 | 30,705 | 31,201 | ||||||
5.75%, 04/25/2034 | 20,920 | 21,198 | ||||||
CHL Mortgage Pass-Through Trust2004-5 | ||||||||
5.50%, 06/25/2034 | 161,992 | 162,178 | ||||||
CHL Mortgage Pass-Through Trust2004-7 | ||||||||
3.96%, 06/25/2034(4) | 9,459 | 9,733 | ||||||
CHL Mortgage Pass-Through Trust2004-8 | ||||||||
4.50%, 06/25/2019 | 3,379 | 3,379 | ||||||
CHL Mortgage Pass-Through Trust 2004-HYB1 | ||||||||
4.00%, 05/20/2034(4) | 13,716 | 13,663 | ||||||
CHL Mortgage Pass-Through Trust 2004-HYB3 | ||||||||
3.62%, 06/20/2034(4) | 89,992 | 90,174 | ||||||
CHL Mortgage Pass-Through Trust 2004-HYB6 | ||||||||
4.27%, 11/21/2034(4) | 44,262 | 44,948 | ||||||
CHL Mortgage Pass-Through Trust2005-14 | ||||||||
5.50%, 07/25/2035 | 25,255 | 23,541 | ||||||
CHL Mortgage Pass-Through Trust2005-16 | ||||||||
5.50%, 09/25/2035 | 12,358 | 11,717 |
CHL Mortgage Pass-Through Trust2005-22 | ||||||||
4.08%, 11/25/2035(4) | 190,027 | 167,150 | ||||||
CIM Trust2017-8 | ||||||||
3.00%, 12/25/2065(3)(4) | 10,468,579 | 10,295,401 | ||||||
Citicorp Mortgage Securities Trust Series2006-1 | ||||||||
5.00%, 02/25/2021 | 4,622 | 4,710 | ||||||
Citicorp Mortgage Securities Trust Series2006-4 | ||||||||
6.00%, 08/25/2036 | 61,792 | 60,548 | ||||||
Citigroup Commercial Mortgage Trust | ||||||||
2.94%, 05/12/2049 | 10,100,000 | 9,773,383 | ||||||
Citigroup Commercial Mortgage Trust 2013-GC17 | ||||||||
4.13%, 11/13/2046 | 2,818,000 | 2,916,364 | ||||||
Citigroup Commercial Mortgage Trust 2014-GC19 | ||||||||
3.75%, 03/12/2047 | 4,279,505 | 4,348,419 | ||||||
Citigroup Commercial Mortgage Trust 2014-GC21 | ||||||||
3.58%, 05/10/2047 | 6,074,473 | 6,138,536 | ||||||
Citigroup Commercial Mortgage Trust 2014-GC23 | ||||||||
3.36%, 07/12/2047 | 12,300,000 | 12,302,895 | ||||||
Citigroup Commercial Mortgage Trust 2015-GC29 | ||||||||
2.94%, 04/10/2048 | 10,000,000 | 9,697,628 | ||||||
Citigroup Commercial Mortgage Trust 2016-GC37 | ||||||||
3.05%, 04/12/2049 | 13,750,000 | 13,372,652 | ||||||
Citigroup Commercial Mortgage Trust2016-P6 | ||||||||
3.72%, 12/10/2049(4) | 2,783,000 | 2,820,423 | ||||||
Citigroup Commercial Mortgage Trust2017-P7 | ||||||||
3.44%, 04/14/2050 | 16,000,000 | 15,799,166 | ||||||
Citigroup Commercial Mortgage Trust2017-P8 | ||||||||
3.20%, 09/16/2050 | 21,000,000 | 20,393,539 | ||||||
Citigroup Commercial Mortgage Trust2018-B2 | ||||||||
3.74%, 03/10/2051 | 22,000,000 | 22,010,604 | ||||||
Citigroup Global Markets Mortgage Securities VII, Inc. | ||||||||
7.00%, 06/25/2033(1) | 20,675 | 20,662 | ||||||
4.74%, 09/25/2033(4) | 80,368 | 80,921 | ||||||
Citigroup Mortgage Loan Trust2009-10 | ||||||||
4.33%, 09/25/2033(3)(4) | 253,692 | 257,517 | ||||||
7.00%, 12/25/2035(3)(4) | 78,049 | 78,545 | ||||||
Citigroup Mortgage Loan Trust2009-5 | ||||||||
6.00%, 06/25/2036(3)(4) | 2,760 | 2,749 | ||||||
Citigroup Mortgage Loan Trust2015-A | ||||||||
4.50%, 06/25/2058(3)(4) | 456,400 | 473,735 | ||||||
Citigroup Mortgage Loan Trust2018-A | ||||||||
4.00%, 01/25/2068(3)(4) | 2,285,662 | 2,287,654 | ||||||
Citigroup Mortgage Loan Trust, Inc. | ||||||||
0.00%, 09/25/2033 PO | 4,937 | 4,596 | ||||||
7.00%, 09/25/2033 | 6,864 | 6,854 | ||||||
0.00%, 10/25/2033 PO | 6,681 | 5,813 | ||||||
5.25%, 10/25/2033 | 34,043 | 34,415 | ||||||
4.17%, 08/25/2034(4) | 28,219 | 27,417 | ||||||
3.41%, 03/25/2035(4) | 27,313 | 23,409 | ||||||
5.50%, 05/25/2035 | 126,836 | 128,710 | ||||||
3.91%, 08/25/2035(4) | 76,329 | 61,686 | ||||||
6.00%, 10/25/2035 | 2,990,613 | 2,999,974 | ||||||
5.50%, 11/25/2035 | 5,803 | 5,783 | ||||||
COBALT CMBS Commercial Mortgage Trust2006-C1 | ||||||||
0.81%, 08/17/2048 IO(4) | 819,035 | 11,813 | ||||||
COMM 2012-CCRE1 Mortgage Trust | ||||||||
3.39%, 05/17/2045 | 3,783,014 | 3,787,970 |
COMM 2012-CCRE2 Mortgage Trust | ||||||||
1.65%, 08/17/2045 IO(4) | 2,787,467 | 135,021 | ||||||
3.15%, 08/17/2045 | 9,614,464 | 9,577,997 | ||||||
COMM 2013-300P Mortgage Trust | ||||||||
4.35%, 08/12/2030(3) | 516,000 | 541,810 | ||||||
COMM 2013-CCRE10 Mortgage Trust | ||||||||
3.92%, 08/10/2046 | 4,125,000 | 4,235,708 | ||||||
4.21%, 08/10/2046(4) | 2,116,630 | 2,198,340 | ||||||
COMM 2013-CCRE11 Mortgage Trust | ||||||||
3.98%, 08/12/2050 | 4,977,000 | 5,123,272 | ||||||
4.26%, 08/12/2050 | 8,100,000 | 8,433,272 | ||||||
COMM 2013-CCRE12 Mortgage Trust | ||||||||
3.77%, 10/15/2046 | 9,777,000 | 9,980,383 | ||||||
COMM 2013-CCRE7 Mortgage Trust | ||||||||
3.21%, 03/12/2046 | 1,890,942 | 1,888,108 | ||||||
COMM 2013-CCRE8 Mortgage Trust | ||||||||
3.61%, 06/12/2046(4) | 331,665 | 335,824 | ||||||
COMM 2013-CCRE9 Mortgage Trust | ||||||||
4.02%, 07/12/2045 | 3,553,729 | 3,665,998 | ||||||
4.23%, 07/12/2045(4) | 3,894,459 | 4,058,559 | ||||||
COMM2013-SFS Mortgage Trust | ||||||||
2.99%, 04/13/2035(3)(4) | 708,000 | 703,627 | ||||||
COMM 2014-CCRE15 Mortgage Trust | ||||||||
2.93%, 02/12/2047 | 3,754,747 | 3,749,113 | ||||||
COMM 2014-CCRE16 Mortgage Trust | ||||||||
4.05%, 04/12/2047 | 2,535,000 | 2,615,954 | ||||||
COMM 2014-CCRE19 Mortgage Trust | ||||||||
3.80%, 08/12/2047 | 20,969,300 | 21,387,453 | ||||||
COMM 2014-CCRE20 Mortgage Trust | ||||||||
3.33%, 11/13/2047 | 12,000,000 | 11,944,002 | ||||||
COMM2014-PAT Mortgage Trust | ||||||||
3.19% (1 Month LIBOR USD + 0.80%, 0.80% Floor), 08/13/2027(2)(3) | 1,649,000 | 1,647,571 | ||||||
COMM2014-TWC Mortgage Trust | ||||||||
3.24% (1 Month LIBOR USD + 0.85%, 0.85% Floor), 02/13/2032(2)(3) | 3,250,000 | 3,240,265 | ||||||
3.99% (1 Month LIBOR USD + 1.60%, 1.60% Floor), 02/13/2032(2)(3) | 1,000,000 | 995,563 | ||||||
COMM 2014-UBS4 Mortgage Trust | ||||||||
2.96%, 08/12/2047 | 10,429,516 | 10,412,306 | ||||||
COMM 2015-CCRE24 Mortgage Trust | ||||||||
3.43%, 08/10/2055 | 7,500,000 | 7,481,706 | ||||||
3.70%, 08/10/2055 | 770,833 | 779,712 | ||||||
COMM 2015-CCRE25 Mortgage Trust | ||||||||
3.76%, 08/10/2048 | 2,437,000 | 2,471,182 | ||||||
3.51%, 08/12/2048 | 13,200,000 | 13,205,248 | ||||||
COMM 2015-LC23 Mortgage Trust | ||||||||
3.77%, 10/10/2048 | 4,039,090 | 4,099,783 | ||||||
COMM 2018-COR3 Mortgage Trust | ||||||||
4.23%, 05/12/2051 | 3,562,000 | 3,676,689 | ||||||
COMM 2018-HOME Mortgage Trust | ||||||||
3.82%, 04/12/2033(3)(4) | 8,245,000 | 8,212,945 | ||||||
Commercial Mortgage Trust | ||||||||
2.94%, 01/12/2046 | 2,976,000 | 2,943,912 | ||||||
Commercial Mortgage Trust2006-GG7 | ||||||||
5.67%, 07/10/2038(4) | 85,115 | 85,328 | ||||||
Credit Suisse Commercial Mortgage Trust Series2007-C2 | ||||||||
0.04%, 01/15/2049 IO(3)(4) | 2,537,720 | 25 | ||||||
Credit Suisse First Boston Mortgage Securities Co. | ||||||||
0.00%, 08/25/2019 PO | 45 | 45 | ||||||
5.25%, 08/25/2019 | 11,749 | 11,751 |
6.71%, 02/25/2033(4) | 83,183 | 86,808 | ||||||
4.21%, 06/25/2033(4) | 33,546 | 33,553 | ||||||
5.25%, 07/25/2033 | 2,065,912 | 2,073,106 | ||||||
5.25%, 09/25/2033 | 64,516 | 66,235 | ||||||
0.00%, 10/25/2033 PO | 47,677 | 39,728 | ||||||
5.25%, 11/25/2033 | 90,439 | 91,763 | ||||||
5.25%, 11/25/2033 | 44,378 | 44,941 | ||||||
5.75%, 11/25/2033 | 265,432 | 269,417 | ||||||
4.00%, 03/25/2034(4) | 1,728,065 | 1,754,456 | ||||||
5.50%, 09/25/2034 | 61,631 | 64,663 | ||||||
5.50%, 12/25/2034 | 102,264 | 105,437 | ||||||
0.00%, 10/25/2035 PO | 19,385 | 15,127 | ||||||
5.50%, 10/25/2035 IO | 220,297 | 2,778 | ||||||
0.00%, 11/25/2035 PO | 9,057 | 6,329 | ||||||
CSAIL2015-C4 Commercial Mortgage Trust | ||||||||
3.54%, 11/18/2048 | 7,500,000 | 7,494,088 | ||||||
CSAIL2016-C7 Commercial Mortgage Trust | ||||||||
3.50%, 11/18/2049 | 1,882,000 | 1,857,811 | ||||||
CSAIL2017-C8 Commercial Mortgage Trust | ||||||||
3.13%, 06/15/2050 | 15,525,000 | 14,941,085 | ||||||
CSMC2014-USA OA LLC | ||||||||
4.37%, 09/17/2037(3) | 3,000,000 | 2,840,783 | ||||||
CSMC 2018-RPL7 Trust | ||||||||
4.00%, 08/26/2058(3) | 3,794,339 | 3,787,447 | ||||||
CSMC 2018-RPL9 Trust | ||||||||
3.85%, 09/25/2057(3)(4) | 15,101,945 | 15,281,703 | ||||||
CSMC Series2010-17R | ||||||||
4.28%, 06/26/2036(3)(4) | 53,734 | 53,861 | ||||||
DBJPM16-C1 Mortgage Trust | ||||||||
3.02%, 05/12/2049 | 15,000,000 | 14,533,269 | ||||||
DBUBS2011-LC2 Mortgage Trust | ||||||||
1.06%, 07/10/2044 IO(3)(4) | 2,330,816 | 46,590 | ||||||
Deephaven Residential Mortgage Trust2017-1 | ||||||||
3.49%, 12/26/2046(3)(4) | 585,612 | 583,690 | ||||||
DeutscheAlt-A Securities, Inc. Mortgage Loan Trust Series2005-1 | ||||||||
5.40%, 02/25/2020(4) | 20,361 | 20,228 | ||||||
DeutscheAlt-A Securities, Inc. Mortgage Loan Trust Series2005-3 | ||||||||
3.51%, 06/25/2020(4) | 42,427 | 41,323 | ||||||
Deutsche Mortgage Securities, Inc. Mortgage Loan Trust2004-4 | ||||||||
6.15%, 04/25/2034(1) | 271 | 274 | ||||||
Eagle RE2018-1 Ltd. | ||||||||
3.98% (1 Month LIBOR USD + 1.70%, 1.70% Floor), 11/27/2028(2) (3) | 4,400,000 | 4,393,902 | ||||||
Fannie Mae | ||||||||
3.50%, 01/15/2026(6) | 11,275,000 | 11,412,526 | ||||||
5.00%, 01/15/2041(6) | 29,725,000 | 31,145,459 | ||||||
Fannie Mae Grantor Trust1999-T2 | ||||||||
7.50%, 01/19/2039(4) | 79,947 | 86,062 | ||||||
Fannie Mae Grantor Trust2001-T3 | ||||||||
7.50%, 11/25/2040 | 126,977 | 142,264 | ||||||
Fannie Mae Grantor Trust2002-T16 | ||||||||
7.00%, 07/25/2042 | 130,471 | 148,448 | ||||||
Fannie Mae Grantor Trust2004-T1 | ||||||||
6.50%, 01/25/2044 | 36,648 | 41,005 | ||||||
Fannie Mae Grantor Trust2004-T2 | ||||||||
4.37%, 07/25/2043(4) | 150,707 | 158,255 | ||||||
7.50%, 11/25/2043 | 243,474 | 276,277 |
Fannie Mae Grantor Trust2004-T3 | ||||||||
10.63%, 01/25/2044(4) | 29,674 | 34,777 | ||||||
6.50%, 02/25/2044 | 366,119 | 408,200 | ||||||
7.00%, 02/25/2044 | 151,613 | 171,857 | ||||||
Fannie Mae Grantor Trust2017-T1 | ||||||||
2.90%, 06/25/2027 | 6,538,811 | 6,241,884 | ||||||
Fannie Mae Interest Strip | ||||||||
4.50%, 11/01/2020 IO | 508 | 10 | ||||||
7.50%, 04/01/2023 IO | 766 | 92 | ||||||
9.00%, 03/01/2024 | 634 | 707 | ||||||
0.00%, 09/01/2024 PO | 60,895 | 57,050 | ||||||
0.00%, 01/01/2033 PO | 10,302 | 9,100 | ||||||
5.00%, 12/01/2033 IO(4) | 13,817 | 2,698 | ||||||
5.50%, 05/01/2036 IO | 53,129 | 11,958 | ||||||
5.50%, 08/01/2036 IO | 35,061 | 7,967 | ||||||
5.50%, 04/25/2037 IO | 15,801 | 2,674 | ||||||
6.00%, 01/01/2038 IO | 34,785 | 6,844 | ||||||
3.01% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 08/01/2042(2) | 772,941 | 782,830 | ||||||
3.06% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.50% Cap), 08/01/2042(2) | 1,955,412 | 1,986,362 | ||||||
Fannie Mae Pool | ||||||||
3.63% (1 Year CMT Rate + 1.75%, 12.75% Cap), 03/01/2019(2) | 12 | 12 | ||||||
4.50%, 03/01/2019 | 772 | 786 | ||||||
6.00%, 03/01/2019 | 122 | 122 | ||||||
3.50%, 04/01/2019 | 1,406 | 1,423 | ||||||
5.00%, 04/01/2019 | 78 | 80 | ||||||
5.00%, 04/01/2019 | 1,843 | 1,873 | ||||||
2.19%, 05/01/2019 | 898,068 | 895,963 | ||||||
4.50%, 05/01/2019 | 321 | 327 | ||||||
4.50%, 06/01/2019 | 3,209 | 3,266 | ||||||
1.94%, 07/01/2019 | 1,229,962 | 1,222,487 | ||||||
5.50%, 07/01/2019 | 3,467 | 3,468 | ||||||
6.00%, 07/01/2019 | 1 | 1 | ||||||
5.50%, 08/01/2019 | 4,057 | 4,060 | ||||||
5.00%, 09/01/2019 | 162 | 165 | ||||||
5.50%, 09/01/2019 | 5,939 | 5,947 | ||||||
5.00%, 10/01/2019 | 497 | 505 | ||||||
6.00%, 10/01/2019 | 306 | 307 | ||||||
4.50%, 11/01/2019 | 497 | 506 | ||||||
4.50%, 11/01/2019 | 2,129 | 2,167 | ||||||
4.50%, 11/01/2019 | 4,008 | 4,080 | ||||||
1.47%, 12/01/2019 | 753,962 | 744,930 | ||||||
4.48%, 12/01/2019 | 1,214,112 | 1,223,876 | ||||||
4.50%, 12/01/2019 | 1,628 | 1,657 | ||||||
4.28%, 01/01/2020 | 763,347 | 770,401 | ||||||
5.50%, 01/01/2020 | 5,558 | 5,567 | ||||||
4.37%, 02/01/2020 | 679,814 | 688,857 | ||||||
4.40%, 02/01/2020 | 700,075 | 708,864 | ||||||
5.50%, 03/01/2020 | 305 | 305 | ||||||
6.00%, 03/01/2020 | 1,415 | 1,421 | ||||||
4.00%, 04/01/2020 | 554 | 556 | ||||||
4.38%, 04/01/2020 | 1,389,490 | 1,412,434 | ||||||
2.01%, 06/01/2020 | 9,288,000 | 9,161,689 | ||||||
5.50%, 06/01/2020 | 2,254 | 2,260 | ||||||
5.50%, 06/01/2020 | 125 | 125 | ||||||
3.74%, 07/01/2020 | 531,357 | 537,645 | ||||||
3.93%, 07/01/2020 | 1,393,771 | 1,414,030 | ||||||
4.07%, 07/01/2020 | 2,961,167 | 3,009,807 | ||||||
5.50%, 07/01/2020 | 310 | 310 |
3.96%, 08/01/2020 | 931,166 | 946,118 | ||||||
6.50%, 08/01/2020 | 663 | 667 | ||||||
3.60%, 09/01/2020 | 178,884 | 180,924 | ||||||
3.59%, 10/01/2020 | 935,037 | 946,275 | ||||||
3.92%, 10/01/2020 | 659,611 | 671,077 | ||||||
2.00%, 12/01/2020 | 1,548,000 | 1,523,135 | ||||||
3.54%, 12/01/2020 | 282,850 | 285,953 | ||||||
3.62%, 12/01/2020 | 996,137 | 1,010,671 | ||||||
3.70%, 12/01/2020 | 352,827 | 358,276 | ||||||
3.83%, 12/01/2020 | 844,720 | 859,806 | ||||||
3.56%, 01/01/2021 | 1,342,429 | 1,357,486 | ||||||
3.87%, 01/01/2021 | 1,124,387 | 1,146,705 | ||||||
3.93%, 01/01/2021 | 382,837 | 390,791 | ||||||
4.05%, 01/01/2021 | 482,000 | 493,391 | ||||||
4.28%, 01/01/2021 | 593,048 | 609,512 | ||||||
4.33%, 02/01/2021 | 472,302 | 486,405 | ||||||
6.00%, 03/01/2021 | 10,089 | 10,265 | ||||||
8.00%, 03/01/2021 | 29 | 29 | ||||||
4.25%, 04/01/2021 | 784,000 | 806,804 | ||||||
4.25%, 04/01/2021 | 1,032,000 | 1,059,470 | ||||||
4.30%, 04/01/2021 | 284,230 | 292,590 | ||||||
4.33%, 04/01/2021 | 686,122 | 706,625 | ||||||
6.00%, 04/01/2021 | 4,985 | 5,021 | ||||||
6.00%, 04/01/2021 | 3,381 | 3,425 | ||||||
4.36%, 05/01/2021 | 1,444,646 | 1,490,818 | ||||||
3.97%, 06/01/2021 | 601,694 | 616,073 | ||||||
4.02%, 06/01/2021 | 691,000 | 708,898 | ||||||
4.10%, 06/01/2021 | 644,575 | 661,858 | ||||||
4.19%, 06/01/2021 | 520,270 | 535,387 | ||||||
4.26%, 06/01/2021 | 649,094 | 666,047 | ||||||
4.30%, 06/01/2021 | 1,194,343 | 1,231,692 | ||||||
4.34%, 06/01/2021 | 1,858,000 | 1,920,168 | ||||||
3.86%, 07/01/2021 | 904,908 | 927,511 | ||||||
3.94%, 07/01/2021 | 1,032,000 | 1,057,761 | ||||||
3.99%, 07/01/2021 | 423,158 | 433,785 | ||||||
4.06%, 07/01/2021 | 961,490 | 987,604 | ||||||
4.26%, 07/01/2021 | 2,174,555 | 2,244,088 | ||||||
4.31%, 07/01/2021 | 732,173 | 754,193 | ||||||
6.00%, 07/01/2021 | 898 | 903 | ||||||
4.05%, 08/01/2021 | 163,191 | 167,712 | ||||||
4.13%, 08/01/2021 | 738,940 | 760,836 | ||||||
4.50%, 08/01/2021 | 2,838,000 | 2,950,420 | ||||||
6.00%, 08/01/2021 | 18,037 | 18,274 | ||||||
3.85%, 09/01/2021 | 816,566 | 838,429 | ||||||
3.92%, 09/01/2021 | 623,152 | 639,053 | ||||||
3.95%, 09/01/2021 | 966,248 | 989,916 | ||||||
3.31%, 10/01/2021 | 1,593,866 | 1,615,714 | ||||||
3.40%, 10/01/2021 | 329,653 | 334,928 | ||||||
3.43%, 11/01/2021 | 942,644 | 957,747 | ||||||
5.00%, 11/01/2021 | 12,851 | 13,063 | ||||||
3.03%, 12/01/2021 | 895,000 | 899,930 | ||||||
3.31%, 12/01/2021 | 364,575 | 369,391 | ||||||
3.42%, 12/01/2021 | 4,890,282 | 4,973,185 | ||||||
3.83%, 12/01/2021 | 1,548,000 | 1,592,454 | ||||||
6.00%, 12/01/2021 | 9,104 | 9,246 | ||||||
2.97%, 01/01/2022 | 718,388 | 721,411 | ||||||
3.03%, 01/01/2022 | 804,829 | 809,359 |
3.09%, 01/01/2022 | 1,256,212 | 1,265,718 | ||||||
3.20%, 01/01/2022 | 800,540 | 809,267 | ||||||
3.06%, 02/01/2022 | 863,000 | 869,555 | ||||||
3.14%, 02/01/2022 | 450,717 | 454,954 | ||||||
2.75%, 03/01/2022 | 902,862 | 904,145 | ||||||
3.08%, 03/01/2022 | 394,509 | 397,576 | ||||||
3.11% (1 Month LIBOR USD + 0.80%, 0.80% Floor, 100.00% Cap), 03/01/2022(2) | 892,929 | 893,589 | ||||||
3.14%, 03/01/2022 | 280,852 | 283,539 | ||||||
3.21%, 03/01/2022 | 310,000 | 313,816 | ||||||
2.70%, 04/01/2022 | 1,491,659 | 1,484,529 | ||||||
3.08%, 04/01/2022 | 960,014 | 968,063 | ||||||
3.73%, 04/01/2022 | 2,335,486 | 2,395,325 | ||||||
6.50%, 04/01/2022 | 11,650 | 11,849 | ||||||
2.77%, 05/01/2022 | 1,603,281 | 1,599,024 | ||||||
2.86%, 05/01/2022 | 1,363,079 | 1,363,207 | ||||||
2.94%, 05/01/2022 | 998,463 | 1,002,547 | ||||||
3.02%, 05/01/2022 | 633,579 | 637,751 | ||||||
3.12%, 05/01/2022 | 911,332 | 920,120 | ||||||
6.50%, 05/01/2022 | 2,900 | 3,113 | ||||||
2.60%, 06/01/2022 | 799,521 | 794,429 | ||||||
2.76%, 06/01/2022 | 1,605,000 | 1,595,751 | ||||||
2.67%, 07/01/2022 | 624,000 | 619,312 | ||||||
2.69%, 07/01/2022 | 957,084 | 949,384 | ||||||
2.71%, 07/01/2022 | 975,243 | 970,851 | ||||||
2.82%, 07/01/2022 | 1,029,881 | 1,028,867 | ||||||
2.65%, 08/01/2022 | 1,032,000 | 1,023,519 | ||||||
2.47%, 09/01/2022 | 361,562 | 357,180 | ||||||
4.03%, 09/01/2022 | 1,172,351 | 1,219,392 | ||||||
2.39%, 10/01/2022 | 615,788 | 607,992 | ||||||
2.57%, 10/01/2022 | 578,818 | 575,041 | ||||||
2.64%, 10/01/2022 | 644,175 | 638,551 | ||||||
2.37%, 11/01/2022 | 455,099 | 448,960 | ||||||
2.38%, 11/01/2022 | 827,422 | 816,530 | ||||||
2.41%, 11/01/2022 | 571,894 | 564,972 | ||||||
2.44%, 11/01/2022 | 785,217 | 776,542 | ||||||
2.45%, 11/01/2022 | 1,401,000 | 1,385,672 | ||||||
2.47%, 11/01/2022 | 516,000 | 510,710 | ||||||
2.55%, 11/01/2022 | 1,199,216 | 1,190,571 | ||||||
2.55%, 11/01/2022 | 383,070 | 380,309 | ||||||
7.50%, 11/01/2022 | 706 | 710 | ||||||
2.28%, 12/01/2022 | 982,749 | 966,077 | ||||||
2.32%, 12/01/2022 | 361,754 | 356,175 | ||||||
2.34%, 12/01/2022 | 2,266,288 | 2,227,985 | ||||||
2.38%, 12/01/2022 | 476,326 | 469,950 | ||||||
2.39%, 12/01/2022 | 1,010,877 | 997,754 | ||||||
2.42%, 12/01/2022 | 1,122,172 | 1,108,771 | ||||||
6.50%, 12/01/2022 | 9,993 | 10,725 | ||||||
2.15%, 01/01/2023 | 465,181 | 455,010 | ||||||
2.33%, 01/01/2023 | 1,641,254 | 1,616,085 | ||||||
2.34%, 01/01/2023 | 1,310,176 | 1,290,579 | ||||||
2.37%, 01/01/2023 | 1,048,629 | 1,032,861 | ||||||
2.45%, 01/01/2023 | 702,655 | 694,977 | ||||||
2.51%, 01/01/2023 | 949,000 | 939,424 | ||||||
2.60%, 01/01/2023 | 739,483 | 735,450 | ||||||
2.66% (1 Month LIBOR USD + 0.35%, 0.35% Floor, 100.00% Cap), 01/01/2023(2) | 2,761,608 | 2,760,720 | ||||||
2.70% (1 Month LIBOR USD + 0.39%, 0.39% Floor, 97.76% Cap), 01/01/2023(2) | 734,240 | 733,556 | ||||||
2.45%, 02/01/2023 | 1,290,000 | 1,275,302 |
6.00%, 02/01/2023 | 131,450 | 135,549 | ||||||
2.49%, 03/01/2023 | 769,563 | 762,041 | ||||||
2.50%, 04/01/2023 | 1,445,000 | 1,430,808 | ||||||
2.64%, 04/01/2023 | 340,897 | 337,820 | ||||||
2.71%, 04/01/2023 | 581,100 | 577,300 | ||||||
2.52%, 05/01/2023 | 3,302,000 | 3,271,772 | ||||||
2.54%, 05/01/2023 | 306,963 | 304,462 | ||||||
5.00%, 05/01/2023 | 10,767 | 10,999 | ||||||
2.42%, 06/01/2023 | 860,393 | 848,349 | ||||||
2.77%, 06/01/2023 | 921,598 | 917,833 | ||||||
2.77%, 06/01/2023 | 1,701,384 | 1,694,010 | ||||||
2.64%, 07/01/2023 | 413,000 | 408,981 | ||||||
3.67%, 07/01/2023 | 4,850,000 | 5,026,528 | ||||||
3.74%, 07/01/2023 | 549,553 | 571,525 | ||||||
3.59%, 08/01/2023 | 1,135,000 | 1,168,224 | ||||||
3.76%, 10/01/2023 | 941,770 | 974,711 | ||||||
3.38%, 12/01/2023 | 2,460,722 | 2,512,867 | ||||||
3.50%, 12/01/2023 | �� | 2,234,000 | 2,293,439 | |||||
3.45%, 01/01/2024 | 1,747,768 | 1,790,169 | ||||||
6.00%, 01/01/2024 | 38,927 | 40,505 | ||||||
6.00%, 01/01/2024 | 109,762 | 113,661 | ||||||
7.00%, 01/01/2024 | 323 | 346 | ||||||
6.50%, 02/01/2024 | 51,743 | 54,130 | ||||||
10.00%, 02/01/2024 | 167 | 167 | ||||||
3.76%, 03/01/2024 | 1,265,000 | 1,315,119 | ||||||
8.00%, 05/01/2024 | 328 | 346 | ||||||
6.00%, 07/01/2024 | 27,277 | 28,526 | ||||||
6.50%, 07/01/2024 | 23,321 | 25,030 | ||||||
8.50%, 07/01/2024 | 1,052 | 1,139 | ||||||
5.00%, 08/01/2024 | 38,849 | 39,553 | ||||||
2.79% (1 Month LIBOR USD + 0.48%, 0.48% Floor, 98.56% Cap), 09/01/2024(2) | 3,555,925 | 3,540,957 | ||||||
7.50%, 10/01/2024 | 424 | 449 | ||||||
2.90%, 12/01/2024 | 2,000,000 | 1,992,545 | ||||||
2.92%, 12/01/2024 | 1,000,000 | 997,497 | ||||||
3.08%, 12/01/2024 | 1,897,521 | 1,909,797 | ||||||
3.11%, 12/01/2024 | 2,500,000 | 2,519,248 | ||||||
2.93%, 01/01/2025 | 1,909,037 | 1,906,528 | ||||||
3.64%, 01/01/2025 | 548,471 | 564,755 | ||||||
3.07%, 02/01/2025 | 4,995,000 | 4,996,917 | ||||||
2.70%, 04/01/2025 | 4,939,499 | 4,872,249 | ||||||
2.81%, 04/01/2025 | 1,400,000 | 1,388,254 | ||||||
6.50%, 04/01/2025 | 3,043 | 3,266 | ||||||
2.68%, 05/01/2025 | 1,876,137 | 1,848,706 | ||||||
8.50%, 05/01/2025 | 64 | 64 | ||||||
5.50%, 07/01/2025 | 54,940 | 58,168 | ||||||
3.10%, 09/01/2025 | 4,981,894 | 5,029,768 | ||||||
3.77%, 12/01/2025 | 3,500,000 | 3,636,210 | ||||||
3.50%, 01/01/2026 | 315,840 | 320,139 | ||||||
3.00%, 01/15/2026(6) | 36,085,000 | 36,007,540 | ||||||
7.00%, 04/01/2026 | 4,944 | 5,057 | ||||||
6.00%, 07/01/2026 | 33,085 | 35,517 | ||||||
3.29%, 08/01/2026 | 1,500,000 | 1,523,977 | ||||||
3.29%, 08/01/2026 | 3,000,000 | 3,048,058 | ||||||
4.55%, 08/01/2026 | 934,941 | 997,341 | ||||||
4.76%, 08/01/2026 | 1,008,227 | 1,092,896 | ||||||
4.77%, 08/01/2026 | 641,406 | 695,427 | ||||||
6.50%, 08/01/2026 | 59,150 | 63,957 |
3.25%, 09/01/2026 | 1,493,721 | 1,513,700 | ||||||
3.68%, 09/01/2026 | 3,451,000 | 3,556,728 | ||||||
2.29%, 10/01/2026 | 10,324,550 | 9,829,476 | ||||||
3.24%, 10/01/2026 | 1,855,684 | 1,878,620 | ||||||
3.12%, 11/01/2026 | 982,499 | 979,019 | ||||||
3.14%, 12/01/2026 | 1,854,902 | 1,866,439 | ||||||
3.24%, 12/01/2026 | 1,500,000 | 1,492,620 | ||||||
3.26%, 12/01/2026 | 966,821 | 980,332 | ||||||
4.66%, 12/01/2026 | 1,097,460 | 1,172,781 | ||||||
3.25%, 02/01/2027 | 5,809,594 | 5,869,059 | ||||||
3.34%, 02/01/2027 | 1,500,000 | 1,516,235 | ||||||
2.91%, 03/01/2027 | 10,000,000 | 9,795,304 | ||||||
3.13%, 03/01/2027 | 6,835,000 | 6,741,950 | ||||||
3.50%, 03/01/2027 | 1,993,810 | 2,022,358 | ||||||
3.66%, 03/01/2027 | 2,331,851 | 2,401,139 | ||||||
8.00%, 03/01/2027 | 6,428 | 6,936 | ||||||
3.00%, 04/01/2027 | 593,240 | 595,282 | ||||||
3.03%, 04/01/2027 | 1,500,000 | 1,470,323 | ||||||
2.79%, 05/01/2027 | 2,000,000 | 1,942,265 | ||||||
2.81%, 05/01/2027 | 1,979,790 | 1,925,706 | ||||||
2.83%, 05/01/2027 | 8,000,000 | 7,784,117 | ||||||
3.00%, 05/01/2027 | �� | 3,545,345 | 3,557,584 | |||||
3.00%, 06/01/2027 | 2,000,000 | 1,953,798 | ||||||
8.00%, 06/01/2027 | 5,267 | 5,687 | ||||||
3.50%, 07/01/2027 | 5,513,682 | 5,591,272 | ||||||
3.50%, 07/01/2027 | 2,637,557 | 2,670,276 | ||||||
6.00%, 07/01/2027 | 43,385 | 46,583 | ||||||
2.50%, 09/01/2027 | 497,017 | 490,386 | ||||||
2.69% (11th District Cost of Funds Index + 1.25%, 0.90% Floor, 12.71% Cap), 09/01/2027(2) | 4,056 | 4,076 | ||||||
7.00%, 09/01/2027 | 741 | 825 | ||||||
6.00%, 11/01/2027 | 20,458 | 21,966 | ||||||
2.50%, 12/01/2027 | 1,078,939 | 1,064,536 | ||||||
2.91%, 12/01/2027 | 9,400,000 | 9,109,114 | ||||||
6.00%, 12/01/2027 | 61,424 | 65,955 | ||||||
3.08%, 01/01/2028 | 8,000,000 | 7,814,407 | ||||||
3.10%, 01/01/2028 | 6,750,000 | 6,631,073 | ||||||
6.00%, 01/01/2028 | 103,751 | 111,404 | ||||||
2.50%, 01/15/2028(6) | 22,905,000 | 22,369,753 | ||||||
2.50%, 03/01/2028 | 3,848,706 | 3,797,317 | ||||||
2.50%, 04/01/2028 | 4,580,193 | 4,519,000 | ||||||
3.61%, 04/01/2028 | 3,023,712 | 3,076,098 | ||||||
5.00%, 05/01/2028 | 21,361 | 22,384 | ||||||
2.97%, 06/01/2028 | 3,138,624 | 3,054,123 | ||||||
3.57%, 06/01/2028 | 8,361,000 | 8,495,878 | ||||||
3.59%, 06/01/2028 | 8,000,000 | 8,142,095 | ||||||
8.00%, 06/01/2028 | 3,778 | 4,086 | ||||||
3.57%, 07/01/2028 | 9,980,085 | 10,144,382 | ||||||
9.50%, 07/01/2028 | 432 | 435 | ||||||
2.57%, 08/01/2028 | 5,400,000 | 5,117,030 | ||||||
2.64%, 08/01/2028 | 3,398,841 | 3,236,645 | ||||||
3.00%, 08/01/2028 | 1,473,298 | 1,474,766 | ||||||
3.53%, 08/01/2028 | 4,700,000 | 4,760,917 | ||||||
2.58%, 09/01/2028 | 3,830,000 | 3,626,561 | ||||||
2.59%, 09/01/2028 | 7,552,000 | 7,139,592 | ||||||
3.00%, 09/01/2028 | 2,265,533 | 2,267,781 | ||||||
8.00%, 09/01/2028 | 10,324 | 11,429 | ||||||
2.50%, 10/01/2028 | 543,806 | 536,543 |
2.55%, 10/01/2028 | 9,300,000 | 8,787,183 | ||||||
2.62%, 10/01/2028 | 9,552,412 | 9,110,553 | ||||||
6.00%, 10/01/2028 | 78,701 | 84,502 | ||||||
8.00%, 11/01/2028 | 24,913 | 28,131 | ||||||
2.69%, 12/01/2028 | 4,567,000 | 4,286,767 | ||||||
3.00%, 12/01/2028 | 868,284 | 869,147 | ||||||
3.81%, 12/01/2028 | 7,000,000 | 7,235,688 | ||||||
6.00%, 12/01/2028 | 2,733 | 2,933 | ||||||
6.00%, 01/01/2029 | 3,946 | 4,300 | ||||||
7.00%, 01/01/2029 | 6,054 | 6,459 | ||||||
3.22%, 02/01/2029 | 9,000,000 | 8,863,671 | ||||||
3.28%, 02/01/2029 | 8,200,000 | 8,116,283 | ||||||
3.21%, 03/01/2029 | 10,000,000 | 9,831,787 | ||||||
3.30%, 03/01/2029 | 4,000,000 | 3,957,990 | ||||||
3.32%, 03/01/2029 | 2,919,595 | 2,913,825 | ||||||
4.02% (11th District Cost of Funds Index + 1.25%, 3.63% Floor, 13.50% Cap), 03/01/2029(2) | 2,749 | 2,830 | ||||||
6.50%, 03/01/2029 | 15,330 | 16,743 | ||||||
3.26%, 04/01/2029 | 13,520,000 | 13,340,297 | ||||||
3.34%, 04/01/2029 | 5,066,896 | 5,064,240 | ||||||
3.20%, 06/01/2029 | 3,500,000 | 3,439,143 | ||||||
2.99%, 07/01/2029 | 9,527,000 | 9,130,841 | ||||||
3.02%, 07/01/2029 | 8,200,000 | 7,879,774 | ||||||
2.99%, 08/01/2029 | 7,240,000 | 6,971,010 | ||||||
4.50%, 08/01/2029 | 174,280 | 181,056 | ||||||
3.09%, 09/01/2029 | 7,484,000 | 7,221,473 | ||||||
4.50%, 09/01/2029 | 200,631 | 208,430 | ||||||
6.00%, 09/01/2029 | 53,710 | 57,668 | ||||||
2.90%, 10/01/2029 | 3,510,865 | 3,360,111 | ||||||
3.63%, 10/01/2029 | 1,410,331 | 1,448,646 | ||||||
6.50%, 11/01/2029 | 528,422 | 586,790 | ||||||
3.50%, 12/01/2029 | 4,358,332 | 4,416,953 | ||||||
3.23%, 01/01/2030 | 4,574,988 | 4,494,126 | ||||||
3.23%, 01/01/2030 | 7,590,000 | 7,383,146 | ||||||
4.50%, 01/01/2030 | 312,306 | 324,526 | ||||||
3.55%, 02/01/2030 | 1,500,000 | 1,520,155 | ||||||
2.50%, 04/01/2030 | 2,410,985 | 2,360,889 | ||||||
3.03%, 04/01/2030 | 3,500,000 | 3,348,335 | ||||||
3.08%, 04/01/2030 | 1,977,485 | 1,923,735 | ||||||
2.50%, 05/01/2030 | 2,907,043 | 2,846,652 | ||||||
2.92%, 05/01/2030 | 4,000,000 | 3,768,313 | ||||||
2.94%, 05/01/2030 | 2,500,000 | 2,373,728 | ||||||
3.00%, 05/01/2030 | 2,272,596 | 2,272,060 | ||||||
3.50%, 05/01/2030 | 755,331 | 764,701 | ||||||
2.96%, 06/01/2030 | 1,932,436 | 1,863,863 | ||||||
3.13%, 06/01/2030 | 1,000,000 | 961,513 | ||||||
3.20%, 06/01/2030 | 1,000,000 | 975,622 | ||||||
3.30%, 07/01/2030 | 1,005,000 | 985,907 | ||||||
3.34%, 07/01/2030 | 1,500,000 | 1,480,576 | ||||||
3.56%, 07/01/2030 | 8,484,000 | 8,507,478 | ||||||
3.68%, 07/01/2030 | 3,355,000 | 3,399,503 | ||||||
3.82%, 07/01/2030 | 8,317,000 | 8,540,524 | ||||||
3.85%, 07/01/2030 | 13,900,000 | 14,310,732 | ||||||
3.39%, 09/01/2030 | 1,891,147 | 1,889,769 | ||||||
3.26%, 10/01/2030 | 4,962,736 | 4,903,960 | ||||||
3.50%, 12/01/2030 | 2,348,033 | 2,381,166 | ||||||
3.00%, 02/01/2031 | 10,263,176 | 10,248,119 | ||||||
5.00%, 04/01/2031 | 137,390 | 145,620 |
2.00%, 08/01/2031 | 3,082,492 | 2,950,825 | ||||||
6.50%, 08/01/2031 | 12,185 | 13,614 | ||||||
2.50%, 11/01/2031 | 3,863,362 | 3,774,618 | ||||||
4.00%, 11/01/2031 | 5,258,558 | 5,401,947 | ||||||
6.50%, 02/01/2032 | 62,953 | 69,601 | ||||||
3.00%, 04/01/2032 | 143,511 | 143,301 | ||||||
3.32%, 04/01/2032 | 6,148,442 | 6,047,540 | ||||||
3.00%, 05/01/2032 | 903,350 | 902,026 | ||||||
3.00%, 06/01/2032 | 899,926 | 898,607 | ||||||
7.00%, 06/01/2032 | 5,148 | 5,372 | ||||||
3.00%, 07/01/2032 | 328,350 | 327,869 | ||||||
3.50%, 07/01/2032 | 142,956 | 145,659 | ||||||
7.00%, 08/01/2032 | 1,214 | 1,225 | ||||||
3.22%, 09/01/2032 | 6,000,000 | 5,723,402 | ||||||
3.50%, 11/01/2032 | 1,000,090 | 1,013,536 | ||||||
5.50%, 11/01/2032 | 55,521 | 59,710 | ||||||
3.50%, 12/01/2032 | 349,591 | 355,130 | ||||||
3.50%, 12/01/2032 | 15,423,961 | 15,638,594 | ||||||
5.00%, 12/01/2032 | 640 | 647 | ||||||
6.00%, 12/01/2032 | 161,620 | 176,352 | ||||||
6.00%, 12/01/2032 | 24,628 | 26,619 | ||||||
3.19%, 01/01/2033 | 4,874,078 | 4,895,693 | ||||||
3.50%, 02/01/2033 | 614,416 | 624,083 | ||||||
3.50%, 02/01/2033 | 7,714,440 | 7,813,988 | ||||||
5.50%, 02/01/2033 | 2,076 | 2,226 | ||||||
7.00%, 02/01/2033 | 1,511 | 1,570 | ||||||
3.50%, 03/01/2033 | 3,594,844 | 3,639,439 | ||||||
3.50%, 03/01/2033 | 2,472,229 | 2,502,897 | ||||||
5.50%, 03/01/2033 | 83,722 | 90,418 | ||||||
6.00%, 03/01/2033 | 4,328 | 4,668 | ||||||
6.00%, 03/01/2033 | 4,054 | 4,353 | ||||||
6.00%, 03/01/2033 | 5,338 | 5,822 | ||||||
6.00%, 03/01/2033 | 2,333 | 2,504 | ||||||
6.00%, 03/01/2033 | 7,472 | 8,023 | ||||||
5.50%, 04/01/2033 | 57,402 | 61,638 | ||||||
3.50%, 05/01/2033 | 855,604 | 866,218 | ||||||
6.00%, 05/01/2033 | 22,013 | 24,182 | ||||||
3.50%, 06/01/2033 | 243,784 | 247,632 | ||||||
5.00%, 06/01/2033 | 16,386 | 17,452 | ||||||
7.00%, 06/01/2033 | 98,357 | 113,113 | ||||||
3.72%, 07/01/2033 | 11,178,000 | 11,246,451 | ||||||
5.00%, 07/01/2033 | 17,053 | 18,163 | ||||||
5.00%, 07/01/2033 | 20,163 | 21,474 | ||||||
5.50%, 07/01/2033 | 14,128 | 15,218 | ||||||
4.28% (12 Month LIBOR USD + 1.60%, 9.24% Cap), 08/01/2033(2) | 29,312 | 30,530 | ||||||
6.00%, 08/01/2033 | 6,830 | 7,335 | ||||||
3.50%, 09/01/2033 | 2,418,013 | 2,448,009 | ||||||
3.91% (6 Month LIBOR USD + 1.41%, 9.20% Cap), 09/01/2033(2) | 47,370 | 48,650 | ||||||
4.69% (12 Month LIBOR USD + 1.81%, 9.13% Cap), 09/01/2033(2) | 12,817 | 13,509 | ||||||
5.50%, 09/01/2033 | 220,996 | 236,246 | ||||||
6.00%, 09/01/2033 | 14,549 | 15,618 | ||||||
6.00%, 09/01/2033 | 12,294 | 13,477 | ||||||
3.50%, 10/01/2033 | 11,334,256 | 11,548,383 | ||||||
4.50%, 10/01/2033 | 5,046,505 | 5,255,572 | ||||||
4.39% (12 Month LIBOR USD + 1.51%, 10.26% Cap), 11/01/2033(2) | 36,070 | 37,631 | ||||||
4.50%, 11/01/2033 | 17,970 | 18,703 | ||||||
5.00%, 11/01/2033 | 3,706,458 | 3,936,881 |
5.00%, 11/01/2033 | 47,364 | 50,463 | ||||||
5.00%, 11/01/2033 | 5,437 | 5,776 | ||||||
5.50%, 11/01/2033 | 3,724 | 3,968 | ||||||
4.00%, 12/01/2033 | 56,683 | 57,865 | ||||||
5.50%, 12/01/2033 | 86,435 | 93,713 | ||||||
4.09% (12 Month LIBOR USD + 1.67%, 8.87% Cap), 01/01/2034(2) | 13,167 | 13,727 | ||||||
5.50%, 01/01/2034 | 7,935 | 8,583 | ||||||
5.50%, 03/01/2034 | 8,453 | 9,009 | ||||||
5.00%, 04/01/2034 | 109,674 | 117,466 | ||||||
5.00%, 05/01/2034 | 37,447 | 40,004 | ||||||
4.29% (1 Year CMT Rate + 2.30%, 9.22% Cap), 06/01/2034(2) | 38,130 | 40,264 | ||||||
4.48% (1 Year CMT Rate + 2.05%, 9.32% Cap), 07/01/2034(2) | 2,801 | 2,840 | ||||||
3.70% (6 Month LIBOR USD + 1.20%, 10.34% Cap), 08/01/2034(2) | 34,422 | 35,149 | ||||||
4.39% (12 Month LIBOR USD + 1.64%, 9.93% Cap), 08/01/2034(2) | 18,818 | 19,655 | ||||||
4.50% (12 Month LIBOR USD + 1.75%, 10.00% Cap), 08/01/2034(2) | 8,456 | 8,835 | ||||||
4.34% (12 Month LIBOR USD + 1.63%, 10.94% Cap), 09/01/2034(2) | 2,409 | 2,518 | ||||||
4.50%, 09/01/2034 | 30,973 | 32,272 | ||||||
5.50%, 09/01/2034 | 19,786 | 21,302 | ||||||
4.24% (12 Month LIBOR USD + 1.48%, 10.08% Cap), 10/01/2034(2) | 13,752 | 14,207 | ||||||
4.63% (1 Year CMT Rate + 2.38%, 10.19% Cap), 10/01/2034(2) | 38,967 | 41,209 | ||||||
5.50%, 10/01/2034 | 32,272 | 33,495 | ||||||
3.57%, 11/01/2034 | 1,357,922 | 1,354,358 | ||||||
3.61%, 11/01/2034 | 1,398,314 | 1,399,127 | ||||||
4.47% (1 Year CMT Rate + 2.00%, 9.13% Cap), 11/01/2034(2) | 6,211 | 6,520 | ||||||
4.56% (12 Month LIBOR USD + 1.68%, 9.79% Cap), 11/01/2034(2) | 15,695 | 16,514 | ||||||
6.00%, 11/01/2034 | 5,348 | 5,834 | ||||||
5.00%, 12/01/2034 | 29,379 | 31,209 | ||||||
3.37% (12 Month LIBOR USD + 1.50%, 10.37% Cap), 01/01/2035(2) | 10,990 | 11,493 | ||||||
4.06% (6 Month LIBOR USD + 1.51%, 10.84% Cap), 01/01/2035(2) | 215,684 | 222,361 | ||||||
5.00%, 01/01/2035 | 22,021 | 23,136 | ||||||
7.50%, 01/01/2035 | 42,219 | 48,984 | ||||||
4.04% (6 Month LIBOR USD + 1.54%, 10.94% Cap), 02/01/2035(2) | 9,920 | 10,231 | ||||||
5.00%, 02/01/2035 | 621,486 | 660,132 | ||||||
5.00%, 02/01/2035 | 3,257,505 | 3,459,877 | ||||||
5.50%, 02/01/2035 | 67,278 | 72,500 | ||||||
4.09% (12 Month LIBOR USD + 1.53%, 9.88% Cap), 03/01/2035(2) | 42,662 | 44,342 | ||||||
7.50%, 03/01/2035 | 47,975 | 55,479 | ||||||
3.45%, 04/01/2035 | 1,885,789 | 1,847,825 | ||||||
4.19% (1 Year CMT Rate + 2.22%, 9.57% Cap), 04/01/2035(2) | 43,423 | 45,805 | ||||||
6.00%, 04/01/2035 | 99,966 | 109,046 | ||||||
3.91% (12 Month LIBOR USD + 1.32%, 10.03% Cap), 05/01/2035(2) | 33,237 | 34,360 | ||||||
4.12% (12 Month LIBOR USD + 1.60%, 10.89% Cap), 05/01/2035(2) | 6,089 | 6,325 | ||||||
3.12%, 06/01/2035 | 3,400,000 | 3,172,498 | ||||||
5.00%, 06/01/2035 | 573,113 | 608,680 | ||||||
3.85% (1 Year CMT Rate + 1.84%, 10.28% Cap), 07/01/2035(2) | 15,570 | 16,181 | ||||||
5.00%, 07/01/2035 | 3,115,045 | 3,308,337 | ||||||
5.00%, 07/01/2035 | 16,675 | 17,539 | ||||||
5.00%, 07/01/2035 | 2,737,591 | 2,907,780 | ||||||
4.14% (12 Month LIBOR USD + 1.39%, 11.01% Cap), 08/01/2035(2) | 2,033 | 2,085 | ||||||
4.36% (12 Month LIBOR USD + 1.55%, 10.40% Cap), 09/01/2035(2) | 21,569 | 22,586 | ||||||
5.00%, 09/01/2035 | 60,991 | 65,298 | ||||||
4.50% (1 Year CMT Rate + 2.47%, 10.46% Cap), 10/01/2035(2) | 57,841 | 60,805 | ||||||
5.00%, 10/01/2035 | 283,930 | 301,623 | ||||||
5.00%, 11/01/2035 | 640,547 | 680,475 | ||||||
5.50%, 12/01/2035 | 27,004 | 28,435 | ||||||
4.04% (12 Month US Treasury Average + 1.99%, 8.59% Cap), 01/01/2036(2) | 112,227 | 114,879 | ||||||
4.18% (1 Year CMT Rate + 2.24%, 9.69% Cap), 01/01/2036(2) | 37,391 | 39,386 |
4.25% (12 Month LIBOR USD + 2.25%, 10.13% Cap), 01/01/2036(2) | 3,536 | 3,577 | ||||||
5.00%, 01/01/2036 | 52,809 | 56,111 | ||||||
6.50%, 01/01/2036 | 309,496 | 347,075 | ||||||
5.00% (6 Month LIBOR USD + 2.50%, 10.93% Cap), 02/01/2036(2) | 8,542 | 8,961 | ||||||
5.00%, 02/01/2036 | 42,209 | 44,837 | ||||||
6.00%, 02/01/2036 | 5,280 | 5,623 | ||||||
7.00%, 02/01/2036 | 48,180 | 54,720 | ||||||
3.19%, 03/01/2036 | 2,681,824 | 2,651,779 | ||||||
5.03% (6 Month LIBOR USD + 2.50%, 11.30% Cap), 03/01/2036(2) | 320,373 | 341,938 | ||||||
7.00%, 03/01/2036 | 2,132 | 2,346 | ||||||
5.50%, 04/01/2036 | 76,261 | 82,166 | ||||||
6.50%, 04/01/2036 | 1,008 | 1,013 | ||||||
4.22% (12 Month LIBOR USD + 1.84%, 11.06% Cap), 05/01/2036(2) | 21,643 | 22,802 | ||||||
5.50%, 05/01/2036 | 100,742 | 108,206 | ||||||
5.50%, 05/01/2036 | 64,508 | 69,474 | ||||||
4.17% (12 Month LIBOR USD + 1.55%, 11.17% Cap), 06/01/2036(2) | 7,847 | 8,148 | ||||||
4.55% (12 Month LIBOR USD + 1.82%, 11.18% Cap), 06/01/2036(2) | 183,521 | 193,266 | ||||||
4.60% (12 Month LIBOR USD + 1.93%, 10.49% Cap), 06/01/2036(2) | 40,642 | 42,938 | ||||||
4.52% (12 Month LIBOR USD + 1.77%, 10.94% Cap), 07/01/2036(2) | 54,833 | 57,570 | ||||||
6.50%, 07/01/2036 | 5,099 | 5,676 | ||||||
4.27% (1 Year CMT Rate + 2.12%, 10.47% Cap), 08/01/2036(2) | 27,371 | 28,641 | ||||||
4.50% (12 Month LIBOR USD + 1.75%, 11.33% Cap), 08/01/2036(2) | 36,823 | 37,217 | ||||||
4.60% (12 Month LIBOR USD + 1.85%, 10.87% Cap), 08/01/2036(2) | 75,860 | 80,156 | ||||||
6.50%, 08/01/2036 | 190,804 | 213,312 | ||||||
3.78% (6 Month LIBOR USD + 1.28%, 12.90% Cap), 09/01/2036(2) | 148,582 | 152,180 | ||||||
4.10% (6 Month LIBOR USD + 1.60%, 10.33% Cap), 09/01/2036(2) | 34,533 | 35,781 | ||||||
4.37% (12 Month LIBOR USD + 1.62%, 11.33% Cap), 09/01/2036(2) | 53,623 | 55,685 | ||||||
4.51% (12 Month LIBOR USD + 1.75%, 11.12% Cap), 09/01/2036(2) | 131,664 | 138,155 | ||||||
4.70% (12 Month LIBOR USD + 1.82%, 10.97% Cap), 09/01/2036(2) | 38,038 | 39,909 | ||||||
6.00%, 09/01/2036 | 370,754 | 404,394 | ||||||
2.50%, 10/01/2036 | 8,518,837 | 8,183,249 | ||||||
4.48% (12 Month LIBOR USD + 1.69%, 11.74% Cap), 10/01/2036(2) | 49,200 | 51,137 | ||||||
4.83% (12 Month LIBOR USD + 2.08%, 11.40% Cap), 10/01/2036(2) | 68,853 | 72,836 | ||||||
4.84% (12 Month LIBOR USD + 2.08%, 10.63% Cap), 10/01/2036(2) | 96,220 | 102,031 | ||||||
6.50%, 10/01/2036 | 42,070 | 47,517 | ||||||
3.00%, 11/01/2036 | 8,008,935 | 7,931,591 | ||||||
4.75% (12 Month LIBOR USD + 1.88%, 12.19% Cap), 11/01/2036(2) | 11,911 | 12,534 | ||||||
5.06% (12 Month LIBOR USD + 2.21%, 10.48% Cap), 11/01/2036(2) | 18,888 | 19,926 | ||||||
5.50%, 11/01/2036 | 24,871 | 26,800 | ||||||
6.00%, 11/01/2036 | 58,887 | 64,209 | ||||||
2.50%, 12/01/2036 | 4,813,689 | 4,624,064 | ||||||
4.66% (12 Month LIBOR USD + 1.78%, 11.01% Cap), 12/01/2036(2) | 121,731 | 127,946 | ||||||
4.81% (12 Month LIBOR USD + 1.94%, 10.71% Cap), 12/01/2036(2) | 23,080 | 24,175 | ||||||
7.00%, 12/01/2036 | 7,737 | 8,356 | ||||||
3.97% (6 Month LIBOR USD + 1.43%, 12.56% Cap), 01/01/2037(2) | 59,660 | 61,438 | ||||||
4.01% (12 Month LIBOR USD + 1.93%, 10.86% Cap), 01/01/2037(2) | 33,607 | 35,476 | ||||||
6.50%, 01/01/2037 | 99,432 | 110,760 | ||||||
4.03% (6 Month LIBOR USD + 1.51%, 12.63% Cap), 02/01/2037(2) | 63,773 | 65,802 | ||||||
4.53% (6 Month LIBOR USD + 2.03%, 10.71% Cap), 02/01/2037(2) | 52,556 | 55,237 | ||||||
5.50%, 03/01/2037 | 494,842 | 533,238 | ||||||
6.00%, 03/01/2037 | 84,354 | 91,312 | ||||||
7.00%, 03/01/2037 | 7,320 | 7,763 | ||||||
3.80% (12 Month LIBOR USD + 1.72%, 10.79% Cap), 04/01/2037(2) | 118,982 | 124,808 | ||||||
5.50%, 04/01/2037 | 163,110 | 174,799 | ||||||
7.00%, 04/01/2037 | 9,771 | 10,674 | ||||||
4.00%, 05/01/2037 | 12,932,808 | 13,331,464 | ||||||
5.50%, 05/01/2037 | 225,630 | 242,619 |
6.50%, 05/01/2037 | 8,301 | 8,398 | ||||||
7.50%, 05/01/2037 | 35,411 | 41,908 | ||||||
3.80% (6 Month LIBOR USD + 1.29%, 12.11% Cap), 07/01/2037(2) | 74,821 | 76,573 | ||||||
4.22% (12 Month LIBOR USD + 1.47%, 10.72% Cap), 07/01/2037(2) | 8,264 | 8,576 | ||||||
4.41% (12 Month LIBOR USD + 1.65%, 11.03% Cap), 07/01/2037(2) | 157,922 | 165,169 | ||||||
4.50% (12 Month LIBOR USD + 1.80%, 10.21% Cap), 07/01/2037(2) | 35,538 | 37,419 | ||||||
5.00%, 07/01/2037 | 798,526 | 848,210 | ||||||
5.10% (12 Month LIBOR USD + 2.37%, 11.21% Cap), 08/01/2037(2) | 60,523 | 64,226 | ||||||
6.50%, 08/01/2037 | 33,223 | 37,861 | ||||||
6.50%, 08/01/2037 | 38,945 | 43,836 | ||||||
4.21% (12 Month LIBOR USD + 1.46%, 10.82% Cap), 09/01/2037(2) | 38,093 | 39,800 | ||||||
4.48% (12 Month LIBOR USD + 1.89%, 12.04% Cap), 09/01/2037(2) | 29,804 | 30,868 | ||||||
4.48% (1 Year CMT Rate + 2.32%, 11.02% Cap), 09/01/2037(2) | 15,429 | 16,308 | ||||||
4.53% (12 Month LIBOR USD + 1.78%, 11.21% Cap), 09/01/2037(2) | 10,289 | 10,440 | ||||||
6.00%, 09/01/2037 | 84,144 | 91,757 | ||||||
7.00%, 09/01/2037 | 45,621 | 51,201 | ||||||
4.00%, 10/01/2037 | 2,478,609 | 2,545,595 | ||||||
6.50%, 10/01/2037 | 76,364 | 86,395 | ||||||
7.50%, 10/01/2037 | 179,125 | 212,187 | ||||||
4.17% (12 Month LIBOR USD + 1.40%, 11.19% Cap), 11/01/2037(2) | 117,860 | 122,048 | ||||||
4.34% (1 Year CMT Rate + 2.08%, 10.57% Cap), 11/01/2037(2) | 68,213 | 71,414 | ||||||
7.50%, 11/01/2037 | 55,429 | 60,905 | ||||||
8.00%, 11/01/2037 | 12,614 | 13,742 | ||||||
4.37% (1 Year CMT Rate + 2.23%, 10.68% Cap), 12/01/2037(2) | 134,381 | 140,843 | ||||||
3.79% (12 Month LIBOR USD + 1.79%, 10.19% Cap), 01/01/2038(2) | 18,425 | 19,085 | ||||||
5.50%, 01/01/2038 | 151,424 | 163,192 | ||||||
8.00%, 01/01/2038 | 5,978 | 6,800 | ||||||
6.00%, 04/01/2038 | 26,484 | 28,425 | ||||||
5.50%, 05/01/2038 | 22,757 | 23,585 | ||||||
6.00%, 05/01/2038 | 252,317 | 273,276 | ||||||
5.50%, 06/01/2038 | 1,886 | 2,021 | ||||||
5.50%, 06/01/2038 | 143,247 | 154,338 | ||||||
5.50%, 06/01/2038 | 1,026,353 | 1,093,891 | ||||||
3.50%, 09/01/2038 | 1,613,736 | 1,635,329 | ||||||
5.50%, 09/01/2038 | 875,869 | 943,861 | ||||||
7.00%, 09/01/2038 | 54,441 | 64,764 | ||||||
6.50%, 10/01/2038 | 91,368 | 103,953 | ||||||
6.50%, 10/01/2038 | 358,677 | 408,659 | ||||||
7.00%, 10/01/2038 | 99,649 | 116,961 | ||||||
6.00%, 11/01/2038 | 70,654 | 77,761 | ||||||
7.00%, 11/01/2038 | 69,531 | 81,124 | ||||||
7.50%, 11/01/2038 | 45,977 | 53,863 | ||||||
7.00%, 12/01/2038 | 175,844 | 204,348 | ||||||
5.00%, 01/01/2039 | 2,465,060 | 2,611,735 | ||||||
7.00%, 01/01/2039 | 301,754 | 346,770 | ||||||
7.50%, 04/01/2039 | 162,611 | 181,283 | ||||||
5.50%, 06/01/2039 | 26,708 | 27,817 | ||||||
5.00%, 09/01/2039 | 126,189 | 133,974 | ||||||
5.50%, 09/01/2039 | 96,657 | 102,884 | ||||||
4.50%, 11/01/2039 | 27,852 | 29,180 | ||||||
5.50%, 12/01/2039 | 98,363 | 104,704 | ||||||
6.00%, 12/01/2039 | 1,238,170 | 1,351,297 | ||||||
5.50%, 01/01/2040 | 662,914 | 721,351 | ||||||
5.00%, 04/01/2040 | 317,287 | 336,879 | ||||||
4.00%, 07/01/2040 | 5,682,751 | 5,844,297 | ||||||
4.00%, 08/01/2040 | 196,154 | 201,760 | ||||||
4.50%, 08/01/2040 | 4,216,196 | 4,418,297 |
4.50%, 08/01/2040 | 4,141,695 | 4,340,216 | ||||||
5.00%, 08/01/2040 | 354,679 | 376,626 | ||||||
5.00%, 08/01/2040 | 738,620 | 784,324 | ||||||
4.00%, 09/01/2040 | 1,459,402 | 1,501,116 | ||||||
4.00%, 10/01/2040 | 1,683,579 | 1,731,700 | ||||||
6.00%, 10/01/2040 | 1,698,092 | 1,853,227 | ||||||
3.50%, 12/01/2040 | 126,459 | 127,486 | ||||||
4.00%, 12/01/2040 | 295,778 | 304,233 | ||||||
4.00%, 12/01/2040 | 1,477,934 | 1,520,116 | ||||||
4.50%, 12/01/2040 | 6,025,470 | 6,314,279 | ||||||
4.50%, 12/01/2040 | 1,747,686 | 1,831,394 | ||||||
4.00%, 01/01/2041 | 272,217 | 279,998 | ||||||
4.00%, 01/01/2041 | 894,435 | 920,004 | ||||||
4.00%, 01/01/2041 | 2,007,554 | 2,064,935 | ||||||
4.00%, 01/01/2041 | 1,777,568 | 1,828,373 | ||||||
4.00%, 01/01/2041 | 1,168,865 | 1,202,275 | ||||||
4.00%, 01/01/2041 | 587,243 | 604,027 | ||||||
4.00%, 01/01/2041 | 1,959,393 | 2,015,393 | ||||||
3.50%, 01/15/2041(6) | 3,070,000 | 3,070,427 | ||||||
4.50%, 01/15/2041(6) | 6,655,000 | 6,894,519 | ||||||
5.50%, 01/15/2041(6) | 7,750,000 | 8,206,536 | ||||||
3.50%, 02/01/2041 | 10,610,409 | 10,696,541 | ||||||
4.00%, 02/01/2041 | 2,662,503 | 2,738,606 | ||||||
4.00%, 02/01/2041 | 1,639,871 | 1,687,767 | ||||||
4.00%, 02/01/2041 | 63,719 | 65,540 | ||||||
4.00%, 03/01/2041 | 8,763,528 | 9,014,001 | ||||||
4.50%, 03/01/2041 | 1,329,014 | 1,392,720 | ||||||
4.50%, 04/01/2041 | 1,168,489 | 1,224,508 | ||||||
4.50%, 05/01/2041 | 1,806,403 | 1,892,978 | ||||||
4.50%, 05/01/2041 | 7,156,769 | 7,499,866 | ||||||
5.00%, 05/01/2041 | 142,507 | 151,621 | ||||||
4.50%, 07/01/2041 | 424,062 | 443,411 | ||||||
6.00%, 07/01/2041 | 4,380,722 | 4,780,731 | ||||||
4.50%, 08/01/2041 | 2,679,374 | 2,802,027 | ||||||
4.00%, 09/01/2041 | 311,359 | 320,259 | ||||||
4.00%, 10/01/2041 | 744,114 | 765,388 | ||||||
4.00%, 10/01/2041 | 1,256,827 | 1,292,741 | ||||||
3.50%, 11/01/2041 | 4,428,854 | 4,464,463 | ||||||
3.50%, 11/01/2041 | 469,310 | 473,121 | ||||||
3.50%, 12/01/2041 | 8,342,906 | 8,410,569 | ||||||
3.50%, 12/01/2041 | 323,121 | 325,745 | ||||||
3.50%, 12/01/2041 | 831,600 | 838,352 | ||||||
4.00%, 12/01/2041 | 1,666,868 | 1,714,384 | ||||||
4.00%, 12/01/2041 | 2,521,492 | 2,593,575 | ||||||
4.00%, 01/01/2042 | 3,561,062 | 3,662,840 | ||||||
4.50%, 01/01/2042 | 863,511 | 900,682 | ||||||
4.50%, 01/01/2042 | 2,817,854 | 2,952,833 | ||||||
3.50%, 02/01/2042 | 530,800 | 535,109 | ||||||
3.50%, 02/01/2042 | 286,681 | 289,007 | ||||||
4.00%, 03/01/2042 | 173,825 | 176,652 | ||||||
3.50%, 04/01/2042 | 330,682 | 333,366 | ||||||
3.00%, 05/01/2042 | 635,058 | 625,377 | ||||||
3.50%, 05/01/2042 | 8,795,242 | 8,866,635 | ||||||
5.00%, 05/01/2042 | 2,494,487 | 2,650,889 | ||||||
3.50%, 06/01/2042 | 1,980,485 | 1,996,561 | ||||||
3.50%, 07/01/2042 | 1,329,145 | 1,339,934 | ||||||
3.50%, 07/01/2042 | 4,530,854 | 4,567,638 |
3.50%, 07/01/2042 | 21,618,549 | 21,794,015 | ||||||
4.00%, 07/01/2042 | 510,315 | 523,654 | ||||||
4.00%, 07/01/2042 | 831,338 | 852,947 | ||||||
4.00%, 07/01/2042 | 519,091 | 532,630 | ||||||
4.00%, 07/01/2042 | 446,808 | 458,331 | ||||||
3.50%, 08/01/2042 | 841,254 | 848,083 | ||||||
4.00%, 08/01/2042 | 6,552,351 | 6,739,624 | ||||||
3.50%, 09/01/2042 | 751,683 | 757,784 | ||||||
3.50%, 09/01/2042 | 1,041,842 | 1,051,590 | ||||||
3.50%, 09/01/2042 | 1,063,235 | 1,069,855 | ||||||
3.50%, 09/01/2042 | 5,988,078 | 6,036,631 | ||||||
3.00%, 10/01/2042 | 5,758,014 | 5,671,354 | ||||||
3.50%, 10/01/2042 | 1,466,618 | 1,478,523 | ||||||
3.50%, 10/01/2042 | 528,882 | 533,176 | ||||||
3.50%, 10/01/2042 | 787,121 | 793,511 | ||||||
3.50%, 10/01/2042 | 460,613 | 464,855 | ||||||
3.00%, 11/01/2042 | 2,299,577 | 2,263,363 | ||||||
3.50%, 11/01/2042 | 8,364,856 | 8,432,763 | ||||||
3.50%, 11/01/2042 | 3,141,834 | 3,167,341 | ||||||
4.50%, 11/01/2042 | 9,631,412 | 10,087,950 | ||||||
3.00%, 12/01/2042 | 128,592 | 126,582 | ||||||
3.00%, 12/01/2042 | 1,358,299 | 1,337,066 | ||||||
4.00%, 12/01/2042 | 564,110 | 580,235 | ||||||
2.50%, 01/01/2043 | 2,819,924 | 2,673,856 | ||||||
3.00%, 01/01/2043 | 1,986,946 | 1,955,656 | ||||||
3.00%, 01/01/2043 | 1,171,368 | 1,152,921 | ||||||
3.00%, 01/01/2043 | 1,875,045 | 1,845,517 | ||||||
3.00%, 01/01/2043 | 1,678,210 | 1,650,079 | ||||||
3.50%, 01/01/2043 | 1,193,359 | 1,203,045 | ||||||
3.50%, 01/01/2043 | 870,615 | 876,038 | ||||||
2.50%, 02/01/2043 | 1,254,961 | 1,189,916 | ||||||
3.00%, 02/01/2043 | 919,878 | 904,451 | ||||||
3.50%, 02/01/2043 | 77,774 | 78,400 | ||||||
3.50%, 02/01/2043 | 73,640 | 74,238 | ||||||
3.50%, 03/01/2043 | 4,950,824 | 4,991,007 | ||||||
3.50%, 03/01/2043 | 619,317 | 623,172 | ||||||
3.50%, 03/01/2043 | 1,714,980 | 1,728,890 | ||||||
3.00%, 04/01/2043 | 3,186,979 | 3,135,677 | ||||||
3.00%, 04/01/2043 | 1,396,124 | 1,373,819 | ||||||
3.50%, 04/01/2043 | 5,300,167 | 5,343,087 | ||||||
3.50%, 04/01/2043 | 2,102,441 | 2,115,980 | ||||||
4.00%, 04/01/2043 | 7,607,375 | 7,862,904 | ||||||
3.00%, 05/01/2043 | 135,162 | 132,979 | ||||||
3.00%, 05/01/2043 | 12,030,831 | 11,837,159 | ||||||
3.00%, 05/01/2043 | 413,283 | 406,544 | ||||||
3.50%, 05/01/2043 | 95,211 | 95,984 | ||||||
3.50%, 05/01/2043 | 2,213,496 | 2,227,324 | ||||||
3.50%, 05/01/2043 | 793,556 | 798,491 | ||||||
3.50%, 05/01/2043 | 1,670,467 | 1,680,947 | ||||||
3.00%, 06/01/2043 | 2,898,502 | 2,851,560 | ||||||
3.00%, 06/01/2043 | 103,407 | 101,743 | ||||||
3.00%, 06/01/2043 | 8,221,330 | 8,087,498 | ||||||
3.00%, 06/01/2043 | 292,913 | 288,145 | ||||||
3.00%, 06/01/2043 | 770,896 | 759,025 | ||||||
3.50%, 06/01/2043 | 1,998,041 | 2,010,526 | ||||||
3.00%, 07/01/2043 | 478,642 | 470,863 | ||||||
3.00%, 07/01/2043 | 92,883 | 91,369 |
3.00%, 07/01/2043 | 425,263 | 417,308 | ||||||
3.00%, 07/01/2043 | 1,738,981 | 1,710,850 | ||||||
3.00%, 07/01/2043 | 8,793,657 | 8,654,648 | ||||||
3.50%, 07/01/2043 | 10,427,760 | 10,508,901 | ||||||
4.00%, 07/01/2043 | 1,157,134 | 1,187,147 | ||||||
3.00%, 08/01/2043 | 4,289,000 | 4,223,500 | ||||||
3.00%, 08/01/2043 | 1,028,224 | 1,012,032 | ||||||
3.50%, 09/01/2043 | 11,693,797 | 11,805,945 | ||||||
5.00%, 09/01/2043 | 1,380,567 | 1,454,704 | ||||||
2.50%, 10/01/2043 | 2,540,017 | 2,408,363 | ||||||
3.00%, 10/01/2043 | 108,813 | 107,054 | ||||||
4.00%, 11/01/2043 | 4,343,757 | 4,454,478 | ||||||
4.00%, 12/01/2043 | 1,887,032 | 1,940,564 | ||||||
4.00%, 12/01/2043 | 187,525 | 192,208 | ||||||
3.00%, 02/01/2044 | 7,977,606 | 7,856,585 | ||||||
4.00%, 06/01/2044 | 5,664,083 | 5,825,907 | ||||||
4.00%, 07/01/2044 | 5,130,928 | 5,265,145 | ||||||
4.00%, 08/01/2044 | 7,830,594 | 8,044,600 | ||||||
4.00%, 09/01/2044 | 1,652,268 | 1,688,631 | ||||||
4.00%, 01/01/2045 | 11,746,886 | 11,998,938 | ||||||
3.50%, 02/01/2045 | 9,081,584 | 9,155,278 | ||||||
3.00%, 04/01/2045 | 9,222,557 | 9,054,560 | ||||||
3.50%, 04/01/2045 | 15,066,345 | 15,125,676 | ||||||
3.50%, 06/01/2045 | 12,116,957 | 12,164,052 | ||||||
3.50%, 06/01/2045 | 3,344,699 | 3,357,182 | ||||||
4.00%, 07/01/2045 | 9,174,231 | 9,394,162 | ||||||
3.50%, 11/01/2045 | 3,639,608 | 3,652,815 | ||||||
3.50%, 12/01/2045 | 867,873 | 869,275 | ||||||
4.00%, 12/01/2045 | 1,763,984 | 1,800,578 | ||||||
4.00%, 12/01/2045 | 7,933,955 | 8,098,952 | ||||||
3.50%, 01/01/2046 | 12,132,568 | 12,175,336 | ||||||
4.00%, 01/01/2046 | 4,926,554 | 5,028,755 | ||||||
4.50%, 02/01/2046 | 10,124,389 | 10,608,744 | ||||||
2.50%, 05/01/2046 | 1,608,088 | 1,518,218 | ||||||
3.50%, 05/01/2046 | 101,886 | 102,224 | ||||||
3.50%, 06/01/2046 | 1,629,037 | 1,634,360 | ||||||
3.50%, 06/01/2046 | 4,537,022 | 4,551,634 | ||||||
3.50%, 06/01/2046 | 7,454,032 | 7,477,617 | ||||||
2.50%, 07/01/2046 | 3,293,334 | 3,109,281 | ||||||
3.00%, 07/01/2046 | 6,397,555 | 6,246,464 | ||||||
3.50%, 07/01/2046 | 262,597 | 263,428 | ||||||
3.50%, 07/01/2046 | 3,733,742 | 3,745,555 | ||||||
4.00%, 08/01/2046 | 8,338,824 | 8,508,408 | ||||||
3.00%, 09/01/2046 | 8,002,891 | 7,813,883 | ||||||
3.00%, 09/01/2046 | 11,241,406 | 10,975,917 | ||||||
3.50%, 09/01/2046 | 3,232,396 | 3,241,650 | ||||||
2.50%, 10/01/2046 | 1,196,961 | 1,130,061 | ||||||
3.00%, 10/01/2046 | 2,524,041 | 2,464,431 | ||||||
3.50%, 10/01/2046 | 661,141 | 663,130 | ||||||
3.00%, 11/01/2046 | 8,599,557 | 8,396,459 | ||||||
3.00%, 11/01/2046 | 11,326,912 | 11,059,403 | ||||||
3.00%, 11/01/2046 | 11,003,196 | 10,739,831 | ||||||
3.50%, 11/01/2046 | 16,356,698 | 16,419,413 | ||||||
3.50%, 11/01/2046 | 1,154,608 | 1,158,023 | ||||||
3.50%, 12/01/2046 | 8,426,500 | 8,448,812 | ||||||
3.50%, 12/01/2046 | 4,362,915 | 4,375,368 | ||||||
3.00%, 01/01/2047 | 22,889,552 | 22,348,970 |
3.50%, 01/01/2047 | 5,946,686 | 5,961,213 | ||||||
3.00%, 03/01/2047 | 6,383,576 | 6,236,520 | ||||||
3.50%, 03/01/2047 | 403,478 | 404,297 | ||||||
3.50%, 03/01/2047 | 8,979,729 | 9,001,203 | ||||||
3.50%, 03/01/2047 | 10,774,367 | 10,800,132 | ||||||
4.00%, 03/01/2047 | 11,207,058 | 11,432,391 | ||||||
4.50%, 03/01/2047 | 1,588,055 | 1,648,342 | ||||||
3.50%, 04/01/2047 | 8,935,456 | 8,956,824 | ||||||
3.50%, 04/01/2047 | 2,423,913 | 2,430,335 | ||||||
4.00%, 06/01/2047 | 3,561,095 | 3,649,332 | ||||||
5.00%, 06/01/2047 | 3,767,423 | 3,953,990 | ||||||
3.50%, 07/01/2047 | 10,241,849 | 10,266,342 | ||||||
4.50%, 08/01/2047 | 2,257,223 | 2,340,242 | ||||||
3.50%, 09/01/2047 | 15,411,416 | 15,420,567 | ||||||
3.50%, 09/01/2047 | 8,829,953 | 8,851,070 | ||||||
3.50%, 11/01/2047 | 37,285,230 | 37,307,368 | ||||||
3.50%, 11/01/2047 | 3,825,445 | 3,833,023 | ||||||
4.00%, 11/01/2047 | 732,552 | 747,150 | ||||||
4.00%, 12/01/2047 | 6,128,896 | 6,256,674 | ||||||
3.50%, 01/01/2048 | 785,707 | 786,011 | ||||||
4.00%, 01/01/2048 | 8,863,179 | 9,096,812 | ||||||
4.00%, 01/01/2048 | 8,860,765 | 9,058,538 | ||||||
4.00%, 01/01/2048 | 9,227,168 | 9,429,237 | ||||||
4.00%, 01/01/2048 | 4,109,538 | 4,193,995 | ||||||
5.00%, 01/01/2048 | 1,733,563 | 1,816,719 | ||||||
3.50%, 02/01/2048 | 26,216,208 | 26,226,550 | ||||||
4.00%, 03/01/2048 | 10,715,984 | 10,995,857 | ||||||
4.00%, 03/01/2048 | 4,811,556 | 4,919,315 | ||||||
4.00%, 04/01/2048 | 4,490,937 | 4,595,902 | ||||||
4.00%, 04/01/2048 | 7,809,797 | 7,985,138 | ||||||
4.00%, 04/01/2048 | 8,140,783 | 8,326,507 | ||||||
4.50%, 05/01/2048 | 7,271,729 | 7,592,680 | ||||||
5.00%, 05/01/2048 | 6,089,459 | 6,386,588 | ||||||
4.50%, 06/01/2048 | 13,513,241 | 14,005,549 | ||||||
4.50%, 07/01/2048 | 582,394 | 611,026 | ||||||
4.50%, 07/01/2048 | 778,061 | 818,500 | ||||||
4.50%, 07/01/2048 | 499,956 | 527,265 | ||||||
4.00%, 08/01/2048 | 16,846,301 | 17,181,891 | ||||||
4.50%, 08/01/2048 | 848,935 | 892,641 | ||||||
4.50%, 08/01/2048 | 2,284,496 | 2,397,306 | ||||||
4.50%, 08/01/2048 | 12,226,993 | 12,676,109 | ||||||
4.50%, 09/01/2048 | 604,880 | 636,608 | ||||||
4.50%, 09/01/2048 | 708,994 | 747,720 | ||||||
4.50%, 09/01/2048 | 551,024 | 579,934 | ||||||
5.00%, 09/01/2048 | 12,435,276 | 13,045,139 | ||||||
4.50%, 11/01/2048 | 15,832,993 | 16,404,961 | ||||||
6.00%, 11/01/2048 | 41,659 | 43,353 | ||||||
4.00%, 12/01/2048 | 19,357,582 | 19,743,213 | ||||||
Fannie Mae Principal Strip | ||||||||
0.00%, 05/15/2030 PO | 929,000 | 643,604 | ||||||
Fannie Mae REMIC Trust2003-W1 | ||||||||
5.38%, 12/25/2042(4) | 112,827 | 118,494 | ||||||
5.89%, 12/25/2042(4) | 30,385 | 32,566 | ||||||
Fannie Mae REMIC Trust2003-W4 | ||||||||
6.50%, 10/25/2042(4) | 15,644 | 17,382 | ||||||
Fannie Mae REMIC Trust2004-W10 | ||||||||
5.75%, 08/25/2034 | 702,000 | 761,546 |
Fannie Mae REMIC Trust2004-W11 | ||||||||
6.00%, 05/25/2044 | 93,170 | 105,317 | ||||||
Fannie Mae REMIC Trust2005-W1 | ||||||||
6.50%, 10/25/2044 | 161,608 | 182,561 | ||||||
Fannie Mae REMIC Trust2006-W3 | ||||||||
6.00%, 09/25/2046 | 138,698 | 155,237 | ||||||
Fannie Mae REMIC Trust2007-W1 | ||||||||
6.34%, 08/25/2047(4) | 17,022 | 18,330 | ||||||
Fannie Mae REMIC Trust2007-W3 | ||||||||
6.75%, 04/25/2037 | 33,043 | 36,076 | ||||||
Fannie Mae REMIC Trust2007-W5 | ||||||||
0.00%, 06/25/2037 PO | 33,455 | 29,369 | ||||||
Fannie Mae REMIC Trust2007-W7 | ||||||||
24.14%(-6 x 1 Month LIBOR USD + 39.18%, 39.18% Cap), 07/25/2037(2)(5) | 23,700 | 36,805 | ||||||
Fannie Mae REMIC Trust2009-W1 | ||||||||
6.00%, 12/25/2049 | 641,719 | 713,027 | ||||||
Fannie Mae REMICS | ||||||||
8.00%, 07/25/2019 | 323 | 325 | ||||||
8.00%, 10/25/2019 | 114 | 115 | ||||||
4.00%, 11/25/2019 | 51 | 51 | ||||||
8.50%, 11/25/2019 | 190 | 192 | ||||||
9.00%, 11/25/2019 | 61 | 62 | ||||||
9.40%, 11/25/2019 | 113 | 114 | ||||||
7.50%, 12/25/2019 | 353 | 356 | ||||||
8.50%, 01/25/2020 | 59 | 60 | ||||||
8.80%, 01/25/2020 | 92 | 93 | ||||||
7.00%, 05/25/2020 | 50 | 51 | ||||||
5.50%, 06/25/2020 | 34 | 34 | ||||||
9.50%, 06/25/2020 | 95 | 98 | ||||||
7.00%, 07/25/2020 | 450 | 456 | ||||||
5.50%, 08/25/2020 | 61 | 61 | ||||||
6.50%, 08/25/2020 | 1,015 | 1,031 | ||||||
505.00%, 08/25/2020 | 1 | 5 | ||||||
1118.04%, 08/25/2020 IO | 1 | 4 | ||||||
6.50%, 09/25/2020 | 372 | 378 | ||||||
7.00%, 09/25/2020 | 120 | 122 | ||||||
9.00%, 10/25/2020 | 405 | 413 | ||||||
17.84%(-2 x 1 Month LIBOR USD + 21.60%, 4.50% Floor, 21.60% Cap), 11/25/2020(2)(5) | 81 | 91 | ||||||
652.15%, 12/25/2020 IO | 4 | 22 | ||||||
7.00%, 01/25/2021 | 164 | 167 | ||||||
5.00%, 03/25/2021 | 173 | 175 | ||||||
7.00%, 03/25/2021 | 5,670 | 5,758 | ||||||
13.29%(-2 x 1 Month LIBOR USD + 17.68%, 17.68% Cap), 05/25/2021(2)(5) | 105 | 112 | ||||||
8.50%, 06/25/2021 | 127 | 132 | ||||||
8.75%, 06/25/2021 | 489 | 505 | ||||||
823.41% (-1178 x 10 Year CMT Rate + 7,635.94%, 264.79% Floor, 559.17% Cap), 06/25/2021(2) | 1 | 7 | ||||||
6.50%, 07/25/2021 | 550 | 565 | ||||||
6.50%, 09/25/2021 | 43,920 | 45,025 | ||||||
12.59%(-1 x 1 Month LIBOR USD + 15.10%, 5.00% Floor, 15.10% Cap), 09/25/2021(2)(5) | 49 | 51 | ||||||
8.75%, 10/25/2021 | 863 | 884 | ||||||
21.67%(-3 x 7 Year CMT Rate + 30.01%, 29.59% Cap), 12/25/2021(2)(5) | 72 | 82 | ||||||
6.00%, 02/25/2022 | 45,493 | 46,580 | ||||||
6.50%, 02/25/2022 | 7,953 | 8,164 | ||||||
0.00%, 03/25/2022 PO | 17,122 | 16,466 | ||||||
7.50%, 06/25/2022 | 70 | 74 | ||||||
7.00%, 07/25/2022 | 629 | 647 | ||||||
7.50%, 07/25/2022 | 7,715 | 8,081 |
8.00%, 07/25/2022 | 10,096 | 10,699 | ||||||
8.00%, 07/25/2022 | 402 | 420 | ||||||
1184.78%, 07/25/2022 IO | 3 | 35 | ||||||
6.00%, 08/25/2022 | 1,555 | 1,608 | ||||||
6.50%, 08/25/2022 | 1,914 | 1,991 | ||||||
2.53% (1 Month LIBOR USD + 0.02%, 0.02% Floor, 9.32% Cap), 09/25/2022(2) | 727 | 727 | ||||||
5.50%, 09/25/2022 | 934 | 955 | ||||||
6.00%, 09/25/2022 | 62,812 | 64,606 | ||||||
7.50%, 09/25/2022 | 5,293 | 5,498 | ||||||
7.75%, 09/25/2022 | 3,237 | 3,426 | ||||||
8.00%, 09/25/2022 | 10,042 | 10,636 | ||||||
0.00%, 10/25/2022 PO | 1,041 | 995 | ||||||
1.78% (11th District Cost of Funds Index + 0.70%, 0.70% Floor, 10.00% Cap), 10/25/2022(2) | 647 | 652 | ||||||
7.00%, 10/25/2022 | 1,670 | 1,750 | ||||||
7.50%, 10/25/2022 | 5,760 | 6,065 | ||||||
7.90%, 01/25/2023 | 5,685 | 6,059 | ||||||
6.50%, 02/25/2023 | 2,570 | 2,676 | ||||||
7.00%, 02/25/2023 | 26,179 | 27,621 | ||||||
15.50%(-7 x 1 Month LIBOR USD + 58.37%, 15.50% Cap), 02/25/2023(2)(5) | 947 | 1,170 | ||||||
5.50%, 03/25/2023 | 112,371 | 115,388 | ||||||
6.50%, 03/25/2023 | 1,930 | 2,025 | ||||||
7.00%, 03/25/2023 | 17,028 | 17,824 | ||||||
7.50%, 03/25/2023 | 6,140 | 6,507 | ||||||
7.70%, 03/25/2023 | 2,582 | 2,738 | ||||||
0.00%, 04/25/2023 PO | 1,060 | 1,005 | ||||||
5.50%, 04/25/2023 | 209,761 | 216,747 | ||||||
5.50%, 04/25/2023 | 6,752 | 6,943 | ||||||
6.00%(-3 x 1 Month LIBOR USD + 28.70%, 6.00% Cap), 04/25/2023(2)(5) | 4,001 | 4,278 | ||||||
7.00%, 04/25/2023 | 5,458 | 5,702 | ||||||
15.37%(-2 x 7 Year CMT Rate + 22.30%, 21.83% Cap), 04/25/2023 IO(2)(5) | 5,080 | 1,201 | ||||||
18.02%(-2 x 11th District Cost of Funds Index + 20.53%, 20.53% Cap), 04/25/2023(2)(5) | 2,619 | 3,020 | ||||||
5.50%, 05/25/2023 | 50,446 | 51,861 | ||||||
7.00%, 05/25/2023 | 62,594 | 66,252 | ||||||
3.99%(-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap), 06/25/2023 IO(2)(5) | 26,423 | 800 | ||||||
4.50%, 07/25/2023 | 77,261 | 81,130 | ||||||
6.00%, 07/25/2023(4) | 25,006 | 26,313 | ||||||
6.50%, 07/25/2023 | 1,394 | 1,461 | ||||||
7.00%, 07/25/2023 | 19,327 | 20,301 | ||||||
7.00%, 07/25/2023 | 30,648 | 32,347 | ||||||
3.39% (1 Month LIBOR USD + 0.88%, 0.88% Floor, 9.50% Cap), 08/25/2023(2) | 3,454 | 3,497 | ||||||
5.54%(-1 x 1 Month LIBOR USD + 8.05%, 8.05% Cap), 08/25/2023 IO(2)(5) | 980 | 76 | ||||||
6.88%, 08/25/2023 | 28,317 | 29,666 | ||||||
7.00%, 08/25/2023 | 49,740 | 52,424 | ||||||
7.69%(-1 x 10 Year CMT Rate + 10.75%, 10.00% Cap), 08/25/2023 IO(2)(5) | 25,715 | 3,240 | ||||||
0.00%, 09/25/2023 PO | 931 | 887 | ||||||
0.00%, 09/25/2023 PO | 2,362 | 2,228 | ||||||
3.16% (1 Month LIBOR USD + 0.65%, 0.65% Floor), 09/25/2023(2) | 1,195 | 1,194 | ||||||
6.50%, 09/25/2023 | 2,703 | 2,858 | ||||||
12.50%(-9 x 1 Month LIBOR USD + 77.31%, 12.50% Cap), 09/25/2023(2)(5) | 1,865 | 2,013 | ||||||
12.57%(-2 x 11th District Cost of Funds Index + 14.86%, 14.86% Cap), 09/25/2023(2)(5) | 1,503 | 1,629 | ||||||
6.50%, 10/25/2023 | 39,855 | 42,202 | ||||||
6.50%, 10/25/2023 | 16,042 | 16,916 | ||||||
10.50%(-8 x 11th District Cost of Funds Index + 63.39%, 10.50% Cap), 10/25/2023(2)(5) | 865 | 993 | ||||||
16.36%(-3 x 1 Month LIBOR USD + 23.38%, 23.38% Cap), 10/25/2023(2)(5) | 2,412 | 2,929 | ||||||
25.03%(-4 x 11th District Cost of Funds Index + 29.75%, 29.75% Cap), 10/25/2023(2)(5) | 1,298 | 1,571 | ||||||
0.00%, 11/25/2023 PO | 256 | 242 | ||||||
6.50%, 11/25/2023 | 15,078 | 16,182 |
3.11% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 9.00% Cap), 12/25/2023(2) | 1,217 | 1,226 | ||||||
3.51% (1 Month LIBOR USD + 1.00%, 1.00% Floor, 9.50% Cap), 12/25/2023(2) | 3,229 | 3,260 | ||||||
6.50%, 12/25/2023 | 4,045 | 4,312 | ||||||
11.87%(-1 x 11th District Cost of Funds Index + 12.95%, 4.00% Floor, 12.95% Cap), 12/25/2023 (2)(5) | 1,502 | 1,690 | ||||||
15.73%(-4 x 1 Month LIBOR USD + 24.50%, 24.50% Cap), 12/25/2023(2)(5) | 3,229 | 3,873 | ||||||
26.23%(-4 x 11th District Cost of Funds Index + 31.01%, 31.01% Cap), 12/25/2023(2)(5) | 3,969 | 4,854 | ||||||
5.00%, 02/25/2024 IO | 23,153 | 592 | ||||||
5.00%, 03/25/2024 IO | 4,586 | 109 | ||||||
5.00%, 03/25/2024 IO | 3,700 | 56 | ||||||
6.50%, 03/25/2024 | 74,093 | 78,687 | ||||||
6.50%, 03/25/2024 | 12,772 | 13,474 | ||||||
7.00%, 04/25/2024 | 48,937 | 52,550 | ||||||
7.00%, 04/25/2024 | 113,771 | 120,165 | ||||||
5.50%, 07/25/2024 | 13,102 | 13,450 | ||||||
5.50%, 08/25/2024 | 130,371 | 134,921 | ||||||
5.00%, 11/25/2024 | 203,730 | 208,732 | ||||||
8.50%, 01/25/2025 | 2,764 | 3,030 | ||||||
8.80%, 01/25/2025 | 3,355 | 3,742 | ||||||
5.50%, 08/25/2025 | 129,180 | 135,242 | ||||||
5.50%, 01/25/2026 | 85,979 | 89,433 | ||||||
20.72%(-5 x 1 Month LIBOR USD + 33.25%, 33.25% Cap), 10/25/2026(2)(5) | 18,322 | 23,295 | ||||||
7.00%, 11/25/2026 | 27,666 | 29,656 | ||||||
1.84%, 03/25/2027 IO(4) | 12,383 | 268 | ||||||
1.84%, 03/25/2027 IO(4) | 4,000 | 108 | ||||||
7.50%, 04/18/2027 | 5,071 | 5,670 | ||||||
7.50%, 04/20/2027 | 7,551 | 8,474 | ||||||
6.50%, 04/25/2027 | 17,640 | 18,932 | ||||||
7.50%, 05/20/2027 | 32,496 | 36,472 | ||||||
6.50%, 07/18/2027 | 1,607 | 1,746 | ||||||
7.00%, 12/18/2027 IO | 8,190 | 881 | ||||||
6.00%, 07/18/2028 | 10,167 | 11,022 | ||||||
5.09%(-1 x 1 Month LIBOR USD + 7.60%, 7.60% Cap), 07/25/2028 IO(2)(5) | 264,726 | 27,706 | ||||||
3.00%, 12/25/2028 | 1,237,521 | 1,180,159 | ||||||
5.64%(-1 x 1 Month LIBOR USD + 8.15%, 8.15% Cap), 12/25/2028 IO(2)(5) | 8,518 | 494 | ||||||
6.00%, 12/25/2028 | 4,872 | 5,111 | ||||||
5.00%, 03/25/2029 | 230,869 | 238,080 | ||||||
5.50%, 04/18/2029 | 20,879 | 21,236 | ||||||
6.35%, 04/25/2029 | 5,914 | 6,318 | ||||||
7.50%, 12/18/2029 | 9,005 | 10,049 | ||||||
7.50%, 02/25/2030 | 52,734 | 59,300 | ||||||
6.59%(-1 x 1 Month LIBOR USD + 9.10%, 9.10% Cap), 07/25/2030 IO(2)(5) | 16,632 | 2,061 | ||||||
3.00%, 09/25/2030 | 1,187,313 | 1,187,396 | ||||||
8.50%, 01/25/2031 IO | 2,385 | 529 | ||||||
7.00%, 03/25/2031 | 5,364 | 6,053 | ||||||
3.50%, 04/25/2031 | 1,084,000 | 1,108,579 | ||||||
6.00%, 07/25/2031 IO | 32,096 | 6,748 | ||||||
7.00%, 07/25/2031 | 18,592 | 21,106 | ||||||
7.00%, 08/25/2031 | 38,465 | 42,793 | ||||||
6.50%, 09/25/2031 | 8,322 | 9,204 | ||||||
7.00%, 09/25/2031 | 52,067 | 58,892 | ||||||
7.00%, 09/25/2031 | 10,014 | 11,319 | ||||||
7.00%, 09/25/2031 | 9,697 | 10,882 | ||||||
15.73%(-4 x 1 Month LIBOR USD + 24.50%, 24.50% Cap), 09/25/2031(2)(5) | 24,040 | 31,167 | ||||||
6.50%, 10/25/2031 | 5,818 | 6,243 | ||||||
15.43%(-3 x 1 Month LIBOR USD + 22.95%, 22.95% Cap), 10/25/2031(2)(5) | 15,994 | 21,418 | ||||||
6.00%, 11/25/2031 | 59,230 | 64,967 | ||||||
7.00%, 11/25/2031 | 63,112 | 71,481 |
10.59%(-2 x 1 Month LIBOR USD + 15.50%, 15.50% Cap), 11/25/2031(2)(5) | 17,816 | 22,077 | ||||||
11.63%(-2 x 1 Month LIBOR USD + 17.47%, 17.47% Cap), 12/25/2031(2)(5) | 1,742 | 2,133 | ||||||
0.00%, 01/25/2032 PO | 2,371 | 2,140 | ||||||
17.04%(-3 x 1 Month LIBOR USD + 25.19%, 25.19% Cap), 02/25/2032(2)(5) | 4,305 | 5,722 | ||||||
1.60%(-1 x 1 Month LIBOR USD + 8.10%, 1.60% Cap), 03/25/2032 IO(2)(5) | 58,847 | 2,707 | ||||||
10.00%(-7 x 1 Month LIBOR USD + 54.00%, 10.00% Cap), 03/25/2032(2)(5) | 848 | 1,044 | ||||||
0.00%, 04/25/2032 PO | 1,943 | 1,666 | ||||||
6.00%, 04/25/2032 | 142,311 | 153,469 | ||||||
6.50%, 04/25/2032 | 27,090 | 30,021 | ||||||
6.50%, 05/25/2032 | 55,647 | 61,571 | ||||||
6.50%, 06/25/2032 | 23,039 | 25,151 | ||||||
6.50%, 07/25/2032 IO | 105,119 | 14,983 | ||||||
6.50%, 08/25/2032 | 64,688 | 71,217 | ||||||
12.91%(-3 x 1 Month LIBOR USD + 19.80%, 19.80% Cap), 08/25/2032(2)(5) | 11,270 | 11,316 | ||||||
3.31% (1 Month LIBOR USD + 0.80%, 0.80% Floor, 8.00% Cap), 11/25/2032(2) | 305,294 | 311,397 | ||||||
5.00%, 11/25/2032 | 15,665 | 16,404 | ||||||
6.00%, 11/25/2032 | 430,384 | 476,574 | ||||||
8.50%(-7 x 1 Month LIBOR USD + 51.00%, 8.50% Cap), 11/25/2032(2)(5) | 19,933 | 22,114 | ||||||
0.00%, 12/25/2032 PO | 12,889 | 11,109 | ||||||
5.50%, 12/25/2032 | 142,322 | 154,816 | ||||||
9.89%(-2 x 1 Month LIBOR USD + 14.48%, 14.48% Cap), 12/25/2032(2)(5) | 10,582 | 12,232 | ||||||
6.50%, 02/25/2033 | 22,522 | 24,511 | ||||||
5.00%, 03/25/2033 IO | 26,571 | 2,890 | ||||||
4.00%, 04/25/2033 | 227,875 | 235,793 | ||||||
0.00%, 05/25/2033 PO | 6,694 | 5,695 | ||||||
4.00%, 05/25/2033 | 13,302 | 13,763 | ||||||
6.00%, 05/25/2033 | 42,289 | 46,594 | ||||||
6.00%, 05/25/2033 | 173,363 | 183,124 | ||||||
6.00%, 05/25/2033 | 94,015 | 101,052 | ||||||
6.00%, 05/25/2033 IO(4) | 10,533 | 2,280 | ||||||
6.50%, 05/25/2033 IO | 98,636 | 22,020 | ||||||
7.00%, 05/25/2033 IO | 175,640 | 21,729 | ||||||
4.59%(-1 x 1 Month LIBOR USD + 7.10%, 7.10% Cap), 06/25/2033 IO(2)(5) | 73,330 | 3,112 | ||||||
5.75%, 06/25/2033 | 66,448 | 71,918 | ||||||
9.19%(-2 x 1 Month LIBOR USD + 14.20%, 14.20% Cap), 06/25/2033(2)(5) | 54,548 | 58,515 | ||||||
7.88%(-3 x 1 Month LIBOR USD + 13.75%, 13.75% Cap), 07/25/2033(2)(5) | 28,186 | 31,324 | ||||||
9.19%(-2 x 1 Month LIBOR USD + 14.20%, 14.20% Cap), 07/25/2033(2)(5) | 9,668 | 9,675 | ||||||
0.00%, 08/25/2033 PO | 5,702 | 5,337 | ||||||
4.33%(-1 x 1 Month LIBOR USD + 7.47%, 7.47% Cap), 08/25/2033(2)(5) | 95,774 | 95,081 | ||||||
5.50%, 08/25/2033 IO | 243,641 | 41,449 | ||||||
5.50%, 08/25/2033 | 116,779 | 127,087 | ||||||
5.66%(-2 x 1 Month LIBOR USD + 10.17%, 10.17% Cap), 08/25/2033(2)(5) | 9,385 | 10,367 | ||||||
10.63%(-3 x 1 Month LIBOR USD + 18.15%, 18.15% Cap), 08/25/2033(2)(5) | 36,428 | 40,271 | ||||||
3.50%, 09/25/2033 | 1,500,000 | 1,504,986 | ||||||
8.32%(-2 x 1 Month LIBOR USD + 12.50%, 12.50% Cap), 09/25/2033(2)(5) | 17,645 | 19,601 | ||||||
3.00%, 10/25/2033 | 908,000 | 876,530 | ||||||
5.50%, 10/25/2033 | 840,294 | 912,814 | ||||||
5.09%(-1 x 1 Month LIBOR USD + 7.60%, 7.60% Cap), 11/25/2033 IO(2)(5) | 126,849 | 20,459 | ||||||
0.00%, 12/25/2033 PO | 98,207 | 83,340 | ||||||
9.09%(-2 x 1 Month LIBOR USD + 14.10%, 14.10% Cap), 12/25/2033(2)(5) | 9,191 | 9,375 | ||||||
3.26% (1 Month LIBOR USD + 0.75%, 0.75% Floor, 8.00% Cap), 01/25/2034(2) | 148,914 | 151,913 | ||||||
7.76%(-2 x 1 Month LIBOR USD + 11.52%, 11.52% Cap), 01/25/2034(2)(5) | 5,057 | 5,575 | ||||||
11.19%(-2 x 1 Month LIBOR USD + 16.20%, 16.20% Cap), 01/25/2034(2)(5) | 13,953 | 15,287 | ||||||
5.50%, 02/25/2034 | 2,880 | 2,880 | ||||||
18.58%(-4 x 1 Month LIBOR USD + 28.60%, 28.60% Cap), 02/25/2034(2)(5) | 7,584 | 7,725 | ||||||
0.00%, 03/25/2034 PO | 118,631 | 107,794 | ||||||
2.91% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.50% Cap), 03/25/2034(2) | 108,807 | 109,162 |
5.50%, 04/25/2034 | 246,750 | 271,483 | ||||||
12.63%(-3 x 1 Month LIBOR USD + 19.53%, 19.53% Cap), 04/25/2034(2)(5) | 61,908 | 77,093 | ||||||
2.91% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.50% Cap), 05/25/2034(2) | 273,507 | 274,860 | ||||||
9.61%(-3 x 1 Month LIBOR USD + 16.50%, 16.50% Cap), 05/25/2034(2)(5) | 16,453 | 19,060 | ||||||
12.63%(-3 x 1 Month LIBOR USD + 19.53%, 19.53% Cap), 05/25/2034(2)(5) | 116,938 | 153,815 | ||||||
13.98%(-4 x 1 Month LIBOR USD + 24.00%, 24.00% Cap), 05/25/2034(2)(5) | 25,191 | 31,505 | ||||||
5.50%, 07/25/2034 | 444,428 | 474,631 | ||||||
9.23%(-2 x 1 Month LIBOR USD + 14.24%, 14.24% Cap), 07/25/2034(2)(5) | 16,512 | 18,975 | ||||||
2.76% (1 Month LIBOR USD + 0.25%, 0.25% Floor, 7.00% Cap), 08/25/2034(2) | 66,234 | 66,246 | ||||||
12.91%(-3 x 1 Month LIBOR USD + 19.80%, 19.80% Cap), 11/25/2034(2)(5) | 21,324 | 22,439 | ||||||
15.73%(-4 x 1 Month LIBOR USD + 25.13%, 25.13% Cap), 01/25/2035(2)(5) | 3,282 | 3,343 | ||||||
0.00%, 04/25/2035 PO | 44,819 | 43,690 | ||||||
2.86% (1 Month LIBOR USD + 0.35%, 0.35% Floor, 6.75% Cap), 04/25/2035(2) | 123,149 | 123,486 | ||||||
10.73%(-3 x 1 Month LIBOR USD + 17.00%, 17.00% Cap), 05/25/2035(2)(5) | 8,180 | 9,051 | ||||||
13.13%(-3 x 1 Month LIBOR USD + 20.02%, 20.02% Cap), 05/25/2035(2)(5) | 129,882 | 151,591 | ||||||
13.24%(-3 x 1 Month LIBOR USD + 20.13%, 20.13% Cap), 05/25/2035(2)(5) | 89,289 | 104,907 | ||||||
15.56%(-4 x 1 Month LIBOR USD + 24.75%, 24.75% Cap), 05/25/2035(2)(5) | 29,815 | 34,669 | ||||||
5.00%, 06/25/2035 | 17,339 | 17,391 | ||||||
12.97%(-5 x 1 Month LIBOR USD + 25.50%, 25.50% Cap), 06/25/2035(2)(5) | 35,934 | 50,023 | ||||||
4.20%(-1 x 1 Month LIBOR USD + 6.71%, 6.71% Cap), 07/25/2035 IO(2)(5) | 89,236 | 11,473 | ||||||
5.75%, 07/25/2035 | 1,755,077 | 1,977,883 | ||||||
11.11%(-3 x 1 Month LIBOR USD + 17.38%, 17.38% Cap), 07/25/2035(2)(5) | 33,103 | 41,634 | ||||||
5.50%, 08/25/2035 | 120,214 | 129,533 | ||||||
5.50%, 08/25/2035 | 647,371 | 650,544 | ||||||
10.43%(-3 x 1 Month LIBOR USD + 16.70%, 16.70% Cap), 08/25/2035(2)(5) | 42,894 | 50,352 | ||||||
10.61%(-3 x 1 Month LIBOR USD + 16.88%, 16.88% Cap), 08/25/2035(2)(5) | 46,483 | 54,798 | ||||||
0.00%, 09/25/2035 PO | 15,892 | 14,875 | ||||||
14.18%(-4 x 1 Month LIBOR USD + 24.20%, 24.20% Cap), 09/25/2035(2)(5) | 12,181 | 14,946 | ||||||
0.00%, 10/25/2035 PO | 27,227 | 24,177 | ||||||
5.75%, 10/25/2035 | 109,250 | 118,184 | ||||||
10.61%(-3 x 1 Month LIBOR USD + 16.88%, 16.88% Cap), 10/25/2035(2)(5) | 48,235 | 58,138 | ||||||
15.38%(-4 x 1 Month LIBOR USD + 24.57%, 24.57% Cap), 11/25/2035(2)(5) | 232,333 | 305,576 | ||||||
5.50%, 12/25/2035 | 61,392 | 64,685 | ||||||
5.50%, 12/25/2035 | 565,316 | 618,982 | ||||||
6.00%, 12/25/2035 | 20,202 | 21,689 | ||||||
6.00%, 12/25/2035 | 741,585 | 764,499 | ||||||
0.00%, 01/25/2036 PO | 5,904 | 5,736 | ||||||
5.50%, 01/25/2036 | 39,098 | 41,323 | ||||||
0.00%, 03/25/2036 PO | 203,146 | 166,191 | ||||||
0.00%, 03/25/2036 PO | 22,262 | 19,107 | ||||||
4.19%(-1 x 1 Month LIBOR USD + 6.70%, 6.70% Cap), 03/25/2036 IO(2)(5) | 744,869 | 126,143 | ||||||
5.50%, 03/25/2036 | 289,753 | 312,455 | ||||||
5.50%, 03/25/2036 | 258,237 | 277,605 | ||||||
5.50%, 03/25/2036 | 78,746 | 84,799 | ||||||
15.38%(-4 x 1 Month LIBOR USD + 24.57%, 24.57% Cap), 03/25/2036(2)(5) | 19,037 | 27,213 | ||||||
0.00%, 04/25/2036 PO | 29,083 | 26,044 | ||||||
0.00%, 04/25/2036 PO | 70,931 | 59,789 | ||||||
0.00%, 04/25/2036 PO | 60,762 | 54,138 | ||||||
2.76% (1 Month LIBOR USD + 0.25%, 0.25% Floor, 7.00% Cap), 04/25/2036(2) | 92,134 | 91,380 | ||||||
18.87%(-5 x 1 Month LIBOR USD + 30.15%, 30.15% Cap), 05/25/2036(2)(5) | 22,123 | 31,787 | ||||||
0.00%, 06/25/2036 PO | 18,722 | 16,605 | ||||||
0.00%, 06/25/2036 PO | 56,890 | 51,359 | ||||||
0.00%, 06/25/2036 PO | 128,833 | 108,267 | ||||||
0.00%, 06/25/2036 PO | 36,961 | 31,597 | ||||||
0.00%, 06/25/2036 PO | 156,571 | 138,534 | ||||||
2.91% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.00% Cap), 06/25/2036(2) | 43,848 | 43,545 | ||||||
4.07%(-1 x 1 Month LIBOR USD + 6.58%, 6.58% Cap), 06/25/2036 IO(2)(5) | 157,895 | 22,160 |
15.01%(-4 x 1 Month LIBOR USD + 24.20%, 24.20% Cap), 06/25/2036(2)(5) | 7,002 | 9,644 | ||||||
2.70% (1 Month LIBOR USD + 0.25%, 0.25% Floor), 06/27/2036(2) | 475,586 | 467,348 | ||||||
0.00%, 07/25/2036 PO | 42,694 | 36,789 | ||||||
0.00%, 07/25/2036 PO | 11,618 | 10,136 | ||||||
0.00%, 07/25/2036 PO | 22,967 | 19,729 | ||||||
0.00%, 07/25/2036 PO | 19,261 | 18,614 | ||||||
2.80% (1 Month LIBOR USD + 0.29%, 0.29% Floor, 7.50% Cap), 07/25/2036(2) | 352,289 | 351,672 | ||||||
2.97% (1 Month LIBOR USD + 0.46%, 0.46% Floor, 7.00% Cap), 07/25/2036(2) | 37,077 | 37,334 | ||||||
4.01%(-1 x 1 Month LIBOR USD + 6.52%, 6.52% Cap), 07/25/2036 IO(2)(5) | 58,846 | 5,947 | ||||||
6.00%, 07/25/2036 | 490,092 | 537,301 | ||||||
6.50%, 07/25/2036 | 211,076 | 236,944 | ||||||
6.50%, 07/25/2036 | 279,763 | 314,800 | ||||||
18.78%(-4 x 1 Month LIBOR USD + 28.80%, 28.80% Cap), 07/25/2036(2)(5) | 21,417 | 31,700 | ||||||
24.86%(-6 x 1 Month LIBOR USD + 39.90%, 39.90% Cap), 07/25/2036(2)(5) | 16,133 | 26,751 | ||||||
0.00%, 08/25/2036 PO | 31,885 | 28,370 | ||||||
0.00%, 08/25/2036 PO | 43,618 | 39,444 | ||||||
0.00%, 08/25/2036 PO | 77,125 | 68,535 | ||||||
0.00%, 08/25/2036 PO | 14,835 | 13,340 | ||||||
2.86% (1 Month LIBOR USD + 0.35%, 0.35% Floor, 7.50% Cap), 08/25/2036(2) | 134,520 | 134,677 | ||||||
3.99%(-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap), 08/25/2036 IO(2)(5) | 93,197 | 20,051 | ||||||
6.50%, 08/25/2036 | 158,241 | 174,273 | ||||||
6.50%, 08/25/2036 | 38,775 | 42,424 | ||||||
0.00%, 09/25/2036 PO | 39,085 | 34,818 | ||||||
0.00%, 09/25/2036 PO | 44,997 | 40,660 | ||||||
0.00%, 09/25/2036 PO | 17,784 | 15,898 | ||||||
6.50%, 09/25/2036 | 15,763 | 17,203 | ||||||
4.50%, 10/25/2036 | 198,261 | 207,048 | ||||||
16.18%(-4 x 1 Month LIBOR USD + 26.20%, 26.20% Cap), 10/25/2036(2)(5) | 24,041 | 33,251 | ||||||
0.00%, 11/25/2036 PO | 66,301 | 56,742 | ||||||
0.00%, 11/25/2036 PO | 10,842 | 9,362 | ||||||
0.00%, 11/25/2036 PO | 30,220 | 26,240 | ||||||
2.76% (1 Month LIBOR USD + 0.25%, 0.25% Floor, 7.00% Cap), 11/25/2036(2) | 1,278,468 | 1,278,518 | ||||||
0.00%, 12/25/2036 PO | 14,800 | 13,157 | ||||||
0.00%, 12/25/2036 PO | 37,189 | 31,151 | ||||||
2.38% (1 Month LIBOR USD + 0.06%, 0.06% Floor), 12/25/2036(2) | 81,705 | 81,202 | ||||||
2.38% (1 Month LIBOR USD + 0.06%, 0.06% Floor), 12/25/2036(2) | 365,778 | 361,557 | ||||||
4.14%(-1 x 1 Month LIBOR USD + 6.65%, 6.65% Cap), 12/25/2036 IO(2)(5) | 140,340 | 19,327 | ||||||
16.54%(-4 x 1 Month LIBOR USD + 26.56%, 26.56% Cap), 12/25/2036(2)(5) | 6,588 | 8,717 | ||||||
0.00%, 01/25/2037 PO | 35,832 | 29,968 | ||||||
0.00%, 01/25/2037 PO | 104,948 | 88,005 | ||||||
5.50%, 01/25/2037 | 35,170 | 36,951 | ||||||
2.76% (1 Month LIBOR USD + 0.25%, 0.25% Floor, 6.50% Cap), 02/25/2037(2) | 101,815 | 101,417 | ||||||
23.96%(-6 x 1 Month LIBOR USD + 39.00%, 39.00% Cap), 02/25/2037(2)(5) | 8,374 | 21,081 | ||||||
0.00%, 03/25/2037 PO | 29,207 | 25,613 | ||||||
3.01% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap), 03/25/2037(2) | 70,836 | 71,248 | ||||||
3.26% (1 Month LIBOR USD + 0.75%, 6.50% Cap), 03/25/2037(2) | 52,714 | 54,855 | ||||||
3.57%(-1 x 1 Month LIBOR USD + 6.08%, 6.08% Cap), 03/25/2037 IO(2)(5) | 6,461 | 344 | ||||||
3.93%(-1 x 1 Month LIBOR USD + 6.44%, 6.44% Cap), 03/25/2037 IO(2)(5) | 254,048 | 37,207 | ||||||
5.00%, 03/25/2037 | 7,330 | 7,705 | ||||||
6.00%, 03/25/2037 | 353,113 | 377,251 | ||||||
0.00%, 04/25/2037 PO | 100,375 | 90,363 | ||||||
3.59%(-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap), 04/25/2037 IO(2)(5) | 57,889 | 4,500 | ||||||
14.31%(-3 x 1 Month LIBOR USD + 22.67%, 22.67% Cap), 04/25/2037(2)(5) | 51,609 | 68,401 | ||||||
0.00%, 05/25/2037 PO | 14,157 | 12,765 | ||||||
2.81% (1 Month LIBOR USD + 0.30%, 0.30% Floor, 6.75% Cap), 05/25/2037(2) | 49,625 | 49,517 | ||||||
6.00%, 05/25/2037 | 188,150 | 204,166 | ||||||
2.91% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.00% Cap), 06/25/2037(2) | 280,091 | 281,603 |
2.96% (1 Month LIBOR USD + 0.00%, 6.50% Cap), 06/25/2037(2) | 23,536 | 24,568 | ||||||
3.27%(-1 x 1 Month LIBOR USD + 5.78%, 5.78% Cap), 06/25/2037 IO(2)(5) | 48,320 | 5,426 | ||||||
3.59%(-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap), 06/25/2037 IO(2)(5) | 165,190 | 21,557 | ||||||
3.59%(-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap), 06/25/2037 IO(2)(5) | 58,516 | 7,804 | ||||||
6.50%, 06/25/2037 | 28,983 | 31,604 | ||||||
0.00%, 07/25/2037 PO | 69,490 | 62,187 | ||||||
2.88% (1 Month LIBOR USD + 0.37%, 0.37% Floor, 7.50% Cap), 07/25/2037(2) | 64,351 | 64,438 | ||||||
3.01% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap), 07/25/2037(2) | 40,733 | 40,968 | ||||||
3.89%(-1 x 1 Month LIBOR USD + 6.40%, 6.40% Cap), 07/25/2037 IO(2)(5) | 453,389 | 61,349 | ||||||
4.11%(-1 x 1 Month LIBOR USD + 6.62%, 6.62% Cap), 07/25/2037 IO(2)(5) | 165,251 | 19,362 | ||||||
4.64%(-1 x 1 Month LIBOR USD + 7.15%, 7.15% Cap), 07/25/2037 IO(2)(5) | 704,937 | 136,260 | ||||||
5.50%, 07/25/2037 | 183,000 | 197,046 | ||||||
10.23%(-3 x 1 Month LIBOR USD + 16.50%, 16.50% Cap), 07/25/2037(2)(5) | 39,504 | 44,964 | ||||||
2.96% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap), 08/25/2037(2) | 165,406 | 166,113 | ||||||
5.50%, 08/25/2037 | 46,833 | 50,545 | ||||||
6.00%, 08/25/2037 | 65,264 | 71,794 | ||||||
6.00%, 08/25/2037 | 20,919 | 23,167 | ||||||
6.00%, 08/25/2037 | 97,789 | 106,738 | ||||||
6.00%, 08/25/2037 | 95,120 | 102,423 | ||||||
14.83%(-4 x 1 Month LIBOR USD + 24.02%, 24.02% Cap), 08/25/2037(2)(5) | 60,606 | 82,164 | ||||||
2.96% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 6.50% Cap), 09/25/2037(2) | 867,567 | 872,665 | ||||||
4.03%(-1 x 1 Month LIBOR USD + 6.54%, 6.54% Cap), 09/25/2037 IO(2)(5) | 233,338 | 40,316 | ||||||
9.88%(-3 x 1 Month LIBOR USD + 16.15%, 16.15% Cap), 09/25/2037(2)(5) | 15,584 | 18,181 | ||||||
0.00%, 10/25/2037 PO | 619,543 | 550,320 | ||||||
3.94%(-1 x 1 Month LIBOR USD + 6.45%, 6.45% Cap), 10/25/2037 IO(2)(5) | 193,422 | 26,055 | ||||||
3.95%(-1 x 1 Month LIBOR USD + 6.46%, 6.46% Cap), 10/25/2037 IO(2)(5) | 251,238 | 31,376 | ||||||
6.07%, 10/25/2037(4) | 71,131 | 77,221 | ||||||
3.85%(-1 x 1 Month LIBOR USD + 6.36%, 6.36% Cap), 12/25/2037 IO(2)(5) | 7,292 | 856 | ||||||
3.89%(-1 x 1 Month LIBOR USD + 6.40%, 6.40% Cap), 12/25/2037 IO(2)(5) | 215,183 | 24,283 | ||||||
3.94%(-1 x 1 Month LIBOR USD + 6.45%, 6.45% Cap), 12/25/2037 IO(2)(5) | 236,676 | 32,555 | ||||||
6.50%, 12/25/2037 | 175,539 | 197,621 | ||||||
1.45%, 01/25/2038 IO(4) | 458,211 | 16,614 | ||||||
3.40%(-1 x 1 Month LIBOR USD + 5.91%, 5.91% Cap), 02/25/2038 IO(2)(5) | 221,701 | 26,283 | ||||||
3.49%(-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap), 02/25/2038 IO(2)(5) | 437,205 | 50,520 | ||||||
3.41% (1 Month LIBOR USD + 0.90%, 0.90% Floor, 6.75% Cap), 03/25/2038(2) | 49,994 | 51,217 | ||||||
3.69%(-1 x 1 Month LIBOR USD + 6.20%, 6.20% Cap), 03/25/2038 IO(2)(5) | 52,656 | 6,756 | ||||||
3.72%(-1 x 1 Month LIBOR USD + 6.23%, 6.23% Cap), 03/25/2038 IO(2)(5) | 65,485 | 6,589 | ||||||
4.48%(-1 x 1 Month LIBOR USD + 6.99%, 6.99% Cap), 03/25/2038 IO(2)(5) | 110,777 | 16,863 | ||||||
8.99%(-2 x 1 Month LIBOR USD + 14.00%, 14.00% Cap), 03/25/2038(2)(5) | 25,230 | 27,640 | ||||||
4.34%(-1 x 1 Month LIBOR USD + 6.85%, 6.85% Cap), 04/25/2038 IO(2)(5) | 49,464 | 4,854 | ||||||
4.39%(-1 x 1 Month LIBOR USD + 6.90%, 6.90% Cap), 04/25/2038 IO(2)(5) | 80,409 | 9,217 | ||||||
6.50%, 04/25/2038 | 46,758 | 48,449 | ||||||
13.18%(-3 x 1 Month LIBOR USD + 20.70%, 20.70% Cap), 04/25/2038(2)(5) | 32,222 | 38,268 | ||||||
0.00%, 05/25/2038 PO | 2,310 | 1,921 | ||||||
1.62%, 06/25/2038 IO(4) | 185,578 | 10,388 | ||||||
4.69%(-1 x 1 Month LIBOR USD + 7.20%, 7.20% Cap), 07/25/2038 IO(2)(5) | 58,467 | 8,360 | ||||||
5.00%, 07/25/2038 | 54,480 | 57,645 | ||||||
5.00%, 07/25/2038 | 55,172 | 59,329 | ||||||
5.50%, 07/25/2038 | 226,466 | 246,330 | ||||||
3.34%(-1 x 1 Month LIBOR USD + 5.85%, 5.85% Cap), 09/25/2038 IO(2)(5) | 207,551 | 22,091 | ||||||
3.34%(-1 x 1 Month LIBOR USD + 5.85%, 5.85% Cap), 09/25/2038 IO(2)(5) | 136,380 | 10,676 | ||||||
4.50%, 11/25/2038 | 1,073 | 1,070 | ||||||
2.91% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.00% Cap), 12/25/2038(2) | 40,758 | 40,834 | ||||||
4.00%, 02/25/2039 | 109,548 | 110,695 | ||||||
4.04%(-1 x 1 Month LIBOR USD + 6.55%, 6.55% Cap), 02/25/2039 IO(2)(5) | 151,921 | 23,561 | ||||||
4.50%, 02/25/2039 | 9,068 | 9,496 | ||||||
4.14%(-1 x 1 Month LIBOR USD + 6.65%, 6.65% Cap), 03/25/2039 IO(2)(5) | 70,988 | 10,407 |
2.96% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 6.50% Cap), 04/25/2039(2) | 275,840 | 277,684 | ||||||
5.00%, 07/25/2039 IO | 100,245 | 18,504 | ||||||
7.00%, 07/25/2039 | 3,415 | 3,783 | ||||||
5.00%, 08/25/2039 | 380,477 | 403,796 | ||||||
6.00%, 08/25/2039 | 440,545 | 484,758 | ||||||
5.00%, 09/25/2039 | 224,670 | 228,503 | ||||||
6.03%, 09/25/2039(4) | 190,287 | 209,835 | ||||||
3.39%(-1 x 1 Month LIBOR USD + 5.90%, 5.90% Cap), 10/25/2039 IO(2)(5) | 60,691 | 6,295 | ||||||
5.50%, 10/25/2039 IO | 225,823 | 41,849 | ||||||
3.67%(-1 x 1 Month LIBOR USD + 6.18%, 6.18% Cap), 12/25/2039 IO(2)(5) | 78,004 | 8,290 | ||||||
4.29%, 12/25/2039(4) | 225,463 | 240,702 | ||||||
6.30%, 12/25/2039(4) | 339,291 | 372,980 | ||||||
0.00%, 01/25/2040 PO | 54,694 | 46,325 | ||||||
3.74%(-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap), 01/25/2040 IO(2)(5) | 159,021 | 20,152 | ||||||
6.23%, 02/25/2040(4) | 74,790 | 81,689 | ||||||
6.21%, 03/25/2040(4) | 241,109 | 269,424 | ||||||
6.44%, 03/25/2040(4) | 259,662 | 291,956 | ||||||
7.65%(-2 x 1 Month LIBOR USD + 12.66%, 12.66% Cap), 03/25/2040(2)(5) | 351,347 | 388,456 | ||||||
3.11% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 7.00% Cap), 04/25/2040(2) | 78,409 | 78,956 | ||||||
3.91%(-1 x 1 Month LIBOR USD + 6.42%, 6.42% Cap), 04/25/2040 IO(2)(5) | 109,842 | 14,149 | ||||||
9.31%(-3 x 1 Month LIBOR USD + 17.67%, 17.67% Cap), 04/25/2040(2)(5) | 162,424 | 200,257 | ||||||
3.11% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 7.00% Cap), 05/25/2040(2) | 97,844 | 99,019 | ||||||
3.89%(-1 x 1 Month LIBOR USD + 6.40%, 6.40% Cap), 05/25/2040 IO(2)(5) | 69,307 | 9,397 | ||||||
0.00%, 06/25/2040 PO | 91,585 | 77,313 | ||||||
5.00%, 06/25/2040 | 760,241 | 804,030 | ||||||
5.50%, 06/25/2040 | 1,007,000 | 1,078,670 | ||||||
5.50%, 07/25/2040 | 428,866 | 472,023 | ||||||
4.00%, 08/25/2040 | 135,678 | 135,427 | ||||||
5.00%, 09/25/2040 | 206,000 | 225,057 | ||||||
5.50%, 10/25/2040 | 1,659,476 | 1,853,261 | ||||||
1.93%(-1 x 1 Month LIBOR USD + 4.44%, 4.44% Cap), 11/25/2040 IO(2)(5) | 807,602 | 46,451 | ||||||
4.50%, 12/25/2040 | 5,359,402 | 5,833,721 | ||||||
3.06% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 7.00% Cap), 01/25/2041(2) | 181,775 | 182,665 | ||||||
4.02%(-1 x 1 Month LIBOR USD + 6.53%, 6.53% Cap), 01/25/2041 IO(2)(5) | 769,506 | 141,774 | ||||||
1.30%, 04/25/2041 IO(4) | 912,876 | 43,871 | ||||||
3.01% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 07/25/2041(2) | 79,385 | 79,926 | ||||||
3.06% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.50% Cap), 08/25/2041(2) | 212,819 | 214,748 | ||||||
3.01% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 11/25/2041(2) | 288,408 | 290,595 | ||||||
7.00%, 11/25/2041 | 1,552,468 | 1,776,546 | ||||||
7.00%, 11/25/2041 | 1,369,753 | 1,542,786 | ||||||
7.00%, 11/25/2041 | 1,232,248 | 1,409,330 | ||||||
4.50%, 01/25/2042 | 2,321,222 | 2,510,067 | ||||||
3.50%, 03/25/2042 | 1,000,000 | 982,901 | ||||||
6.50%, 06/25/2042 | 63,375 | 71,344 | ||||||
2.96% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 6.50% Cap), 09/25/2042(2) | 461,762 | 461,049 | ||||||
3.01% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 09/25/2042(2) | 229,405 | 230,271 | ||||||
3.01% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 09/25/2042(2) | 1,674,941 | 1,685,676 | ||||||
3.01% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 10/25/2042(2) | 687,633 | 691,922 | ||||||
3.00%, 02/25/2043 | 1,000,000 | 945,475 | ||||||
3.50%, 02/25/2043 | 461,648 | 469,492 | ||||||
0.00%, 09/25/2043 PO | 1,511,785 | 1,192,272 | ||||||
0.00%, 10/25/2043 PO | 1,080,011 | 837,644 | ||||||
0.00%, 12/25/2043 PO | 2,833,855 | 2,277,389 | ||||||
3.50%, 06/25/2044 | 5,826,444 | 5,888,423 | ||||||
3.00%, 06/25/2045 | 2,310,935 | 2,306,699 | ||||||
2.50%, 11/25/2045 | 7,429,725 | 7,247,807 | ||||||
3.00%, 01/25/2046 | 2,268,406 | 2,250,276 |
3.00%, 04/25/2046 | 6,390,040 | 6,330,627 | ||||||
3.00%, 06/25/2046 | 5,834,126 | 5,771,725 | ||||||
3.59%(-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap), 11/25/2049 IO(2)(5) | 94,517 | 7,591 | ||||||
5.81%, 02/25/2051(4) | 127,286 | 135,027 | ||||||
5.43%, 07/25/2051(4) | 31,159 | 33,765 | ||||||
4.00%, 05/25/2053 | 4,808,701 | 4,998,581 | ||||||
Fannie Mae Trust2003-W2 | ||||||||
5.90%, 07/25/2042 | 63,533 | 69,419 | ||||||
6.50%, 07/25/2042 | 104,820 | 115,821 | ||||||
Fannie Mae Trust2003-W6 | ||||||||
5.20%, 09/25/2042 | 427,333 | 454,738 | ||||||
6.50%, 09/25/2042 | 167,447 | 185,968 | ||||||
Fannie Mae Trust2003-W8 | ||||||||
2.91% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 8.00% Cap), 05/25/2042(2) | 36,432 | 36,045 | ||||||
7.00%, 10/25/2042 | 188,493 | 213,681 | ||||||
Fannie Mae Trust2004-W1 | ||||||||
7.00%, 12/25/2043 | 265,165 | 303,670 | ||||||
Fannie Mae Trust2004-W15 | ||||||||
2.76% (1 Month LIBOR USD + 0.25%, 0.25% Floor), 08/25/2044(2) | 155,517 | 154,553 | ||||||
Fannie Mae Trust2004-W2 | ||||||||
7.00%, 02/25/2044 | 56,212 | 62,931 | ||||||
Fannie Mae Trust2004-W8 | ||||||||
7.50%, 06/25/2044 | 55,940 | 63,642 | ||||||
Fannie Mae Trust2005-W3 | ||||||||
2.73% (1 Month LIBOR USD + 0.22%, 0.22% Floor, 9.50% Cap), 03/25/2045(2) | 1,255,241 | 1,249,885 | ||||||
Fannie Mae Trust2005-W4 | ||||||||
6.00%, 08/25/2045 | 67,816 | 74,098 | ||||||
Fannie Mae Trust2006-W2 | ||||||||
3.97%, 11/25/2045(4) | 182,502 | 192,432 | ||||||
2.73% (1 Month LIBOR USD + 0.22%, 0.22% Floor, 9.50% Cap), 02/25/2046(2) | 589,088 | 588,849 | ||||||
Fannie Mae Whole Loan | ||||||||
2.77% (1 Month LIBOR USD + 0.26%, 0.26% Floor, 9.50% Cap), 11/25/2046(2) | 1,445,387 | 1,423,135 | ||||||
FannieMae-Aces | ||||||||
2.80% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.00% Cap), 08/25/2019(2) | 79,249 | 79,156 | ||||||
4.33%, 03/25/2020(4) | 420,100 | 424,045 | ||||||
3.66%, 11/25/2020 | 221,489 | 223,181 | ||||||
3.76%, 06/25/2021 | 717,351 | 730,390 | ||||||
2.92%, 08/25/2021 | 634,901 | 636,823 | ||||||
3.23% (1 Month LIBOR USD + 0.93%), 11/25/2022(2) | 1,251,012 | 1,261,551 | ||||||
2.28%, 12/25/2022 | 1,299,973 | 1,279,794 | ||||||
2.39%, 01/25/2023(4) | 1,053,168 | 1,037,182 | ||||||
3.51%, 12/25/2023(4) | 2,608,542 | 2,669,806 | ||||||
3.46%, 01/25/2024(4) | 16,000,000 | 16,383,694 | ||||||
3.10%, 07/25/2024(4) | 1,066,000 | 1,073,207 | ||||||
3.02%, 08/25/2024(4) | 1,273,000 | 1,271,856 | ||||||
2.53%, 09/25/2024 | 1,390,000 | 1,356,339 | ||||||
2.72%, 10/25/2024 | 13,450,000 | 13,210,893 | ||||||
2.59%, 12/25/2024 | 1,640,000 | 1,596,979 | ||||||
3.04%, 12/25/2024(4) | 2,666,203 | 2,685,249 | ||||||
2.83%, 01/25/2025(4) | 2,401,927 | 2,389,534 | ||||||
2.90%, 01/25/2025(4) | 2,000,000 | 1,978,104 | ||||||
2.94%, 11/25/2025(4) | 8,800,000 | 8,699,586 | ||||||
2.38%, 09/25/2026 | 5,500,000 | 5,216,086 | ||||||
2.42%, 10/25/2026(4) | 5,335,000 | 5,023,254 | ||||||
2.49%, 12/25/2026(4) | 8,000,000 | 7,555,620 | ||||||
2.60%, 12/25/2026(4) | 43,307,000 | 41,212,323 | ||||||
2.96%, 02/25/2027(4) | 3,535,000 | 3,440,562 |
3.09%, 04/25/2027(4) | 23,211,000 | 22,798,833 | ||||||
3.06%, 05/25/2027(4) | 29,130,000 | 28,532,416 | ||||||
3.08%, 06/25/2027(4) | 5,513,000 | 5,423,390 | ||||||
3.04%, 03/25/2028(4) | 18,466,000 | 17,961,673 | ||||||
3.33%, 06/25/2028(4) | 5,160,000 | 5,132,301 | ||||||
3.38%, 07/25/2028(4) | 7,880,968 | 8,079,516 | ||||||
3.38%, 07/25/2028(4) | 35,477,000 | 35,445,507 | ||||||
3.18%, 04/25/2029(4) | 4,540,000 | 4,464,776 | ||||||
2.98%, 08/25/2029 | 2,200,000 | 2,116,367 | ||||||
3.09%, 02/25/2030(4) | 2,791,000 | 2,679,432 | ||||||
3.64%, 08/25/2030(4) | 7,611,341 | 7,666,627 | ||||||
FHLMC-GNMA | ||||||||
7.00%, 03/25/2023 | 8,448 | 8,799 | ||||||
6.25%, 11/25/2023 | 6,250 | 6,564 | ||||||
7.50%, 04/25/2024 | 43,734 | 46,853 | ||||||
First Horizon Alternative Mortgage Securities Trust2005-FA7 | ||||||||
5.00%, 09/25/2020 | 3,619 | 3,606 | ||||||
First Horizon Alternative Mortgage Securities Trust2005-FA8 | ||||||||
5.50%, 11/25/2035 | 105,980 | 86,315 | ||||||
First Horizon Alternative Mortgage Securities Trust2006-FA6 | ||||||||
5.75%, 11/25/2021 | 16,687 | 16,063 | ||||||
First Horizon Alternative Mortgage Securities Trust2006-FA8 | ||||||||
5.75%, 01/25/2022 | 33,794 | 28,492 | ||||||
First Horizon Alternative Mortgage Securities Trust2007-FA4 | ||||||||
3.14%(-1 x 1 Month LIBOR USD + 5.65%, 5.65% Cap), 08/25/2037 IO(2)(5) | 887,082 | 137,706 | ||||||
First Horizon Mortgage Pass-Through Trust2004-AR7 | ||||||||
4.01%, 02/25/2035(4) | 167,933 | 168,256 | ||||||
First Horizon Mortgage Pass-Through Trust2005-AR1 | ||||||||
3.93%, 04/25/2035(4) | 84,123 | 85,434 | ||||||
Freddie Mac | ||||||||
3.50%, 07/01/2046 | 2,591,536 | 2,599,123 | ||||||
Freddie Mac Gold Pool | ||||||||
6.50%, 09/01/2019 | 150 | 150 | ||||||
5.50%, 12/01/2019 | 652 | 653 | ||||||
6.00%, 02/01/2020 | 106 | 107 | ||||||
5.50%, 04/01/2020 | 780 | 780 | ||||||
5.50%, 06/01/2020 | 8 | 8 | ||||||
6.00%, 06/01/2020 | 2,428 | 2,442 | ||||||
8.00%, 07/01/2020 | 1 | 1 | ||||||
6.00%, 08/01/2020 | 1,258 | 1,272 | ||||||
6.00%, 07/01/2021 | 100 | 100 | ||||||
6.00%, 07/01/2021 | 3,661 | 3,685 | ||||||
6.00%, 03/01/2022 | 379 | 380 | ||||||
6.50%, 03/01/2022 | 2,116 | 2,152 | ||||||
5.50%, 02/01/2024 | 8,759 | 8,977 | ||||||
8.00%, 08/01/2024 | 587 | 642 | ||||||
8.00%, 11/01/2024 | 385 | 407 | ||||||
7.50%, 08/01/2025 | 1,051 | 1,133 | ||||||
3.50%, 11/01/2025 | 305,677 | 309,460 | ||||||
3.50%, 12/01/2025 | 1,009,800 | 1,022,981 | ||||||
10.00%, 03/17/2026 | 2,981 | 3,002 | ||||||
7.00%, 04/01/2026 | 1,242 | 1,359 | ||||||
4.00%, 05/01/2026 | 1,101,283 | 1,129,901 | ||||||
3.50%, 08/01/2026 | 1,148,447 | 1,163,323 | ||||||
3.50%, 01/01/2027 | 201,427 | 204,044 | ||||||
6.50%, 01/01/2028 | 44,250 | 48,269 | ||||||
2.50%, 03/01/2028 | 9,265,286 | 9,156,503 |
2.50%, 04/01/2028 | 2,398,117 | 2,369,943 | ||||||
2.50%, 06/01/2028 | 974,461 | 963,010 | ||||||
3.00%, 07/01/2028 | 1,886,592 | 1,891,404 | ||||||
8.50%, 07/01/2028 | 2,913 | 3,291 | ||||||
3.00%, 08/01/2028 | 1,041,749 | 1,044,172 | ||||||
3.00%, 09/01/2028 | 3,866,423 | 3,874,505 | ||||||
3.00%, 10/01/2028 | 1,614,968 | 1,617,977 | ||||||
7.00%, 12/01/2028 | 47,294 | 53,253 | ||||||
3.00%, 05/01/2029 | 1,494,398 | 1,495,800 | ||||||
6.50%, 06/01/2029 | 14,876 | 16,333 | ||||||
7.00%, 07/01/2029 | 961 | 1,036 | ||||||
6.50%, 08/01/2029 | 89,475 | 98,714 | ||||||
6.00%, 10/01/2029 | 14,329 | 15,599 | ||||||
2.50%, 03/01/2030 | 1,764,602 | 1,731,408 | ||||||
2.50%, 07/01/2030 | 4,107,848 | 4,021,162 | ||||||
10.00%, 10/01/2030 | 34,584 | 36,430 | ||||||
7.00%, 01/01/2031 | 37,532 | 41,252 | ||||||
3.00%, 04/01/2031 | 6,815,535 | 6,791,179 | ||||||
2.50%, 07/01/2031 | 3,538,208 | 3,452,721 | ||||||
2.50%, 08/01/2031 | 2,130,680 | 2,079,201 | ||||||
3.00%, 09/01/2031 | 1,585,671 | 1,580,410 | ||||||
2.00%, 01/01/2032 | 6,754,631 | 6,463,400 | ||||||
3.50%, 01/01/2032 | 614,588 | 625,932 | ||||||
7.50%, 01/01/2032 | 99,633 | 109,462 | ||||||
3.00%, 02/01/2032 | 10,878,869 | 10,839,993 | ||||||
3.00%, 02/01/2032 | 7,592,921 | 7,565,787 | ||||||
3.50%, 03/01/2032 | 252,643 | 257,307 | ||||||
7.00%, 07/01/2032 | 3,385 | 3,676 | ||||||
7.00%, 08/01/2032 | 5,256 | 5,873 | ||||||
5.50%, 01/01/2033 | 83,673 | 90,355 | ||||||
3.50%, 02/01/2033 | 182,149 | 184,768 | ||||||
6.00%, 02/01/2033 | 26,754 | 27,848 | ||||||
3.50%, 05/01/2033 | 857,287 | 869,699 | ||||||
3.50%, 05/01/2033 | 222,930 | 226,157 | ||||||
5.50%, 10/01/2033 | 42,982 | 46,620 | ||||||
6.00%, 12/01/2033 | 13,109 | 14,098 | ||||||
3.50%, 01/01/2034 | 9,159,718 | 9,328,827 | ||||||
5.00%, 01/01/2034 | 31,986 | 33,953 | ||||||
6.00%, 01/01/2034 | 28,740 | 31,798 | ||||||
6.00%, 01/01/2034 | 23,722 | 25,452 | ||||||
5.00%, 06/01/2034 | 88,103 | 93,488 | ||||||
5.00%, 09/01/2034 | 88,160 | 93,198 | ||||||
6.50%, 11/01/2034 | 10,958 | 12,558 | ||||||
6.50%, 01/01/2035 | 99,305 | 110,174 | ||||||
5.00%, 03/01/2035 | 38,563 | 40,845 | ||||||
5.50%, 07/01/2035 | 91,778 | 99,227 | ||||||
5.00%, 08/01/2035 | 1,429,932 | 1,523,228 | ||||||
4.50%, 11/01/2035 | 13,621 | 14,163 | ||||||
6.50%, 12/01/2035 | 28,025 | 29,784 | ||||||
6.50%, 12/01/2035 | 67,220 | 75,811 | ||||||
5.50%, 01/01/2036 | 21,159 | 22,860 | ||||||
5.00%, 03/01/2036 | 2,968,997 | 3,151,716 | ||||||
5.00%, 07/01/2036 | 2,709 | 2,875 | ||||||
5.00%, 11/01/2036 | 81,213 | 86,196 | ||||||
6.00%, 11/01/2036 | 9,264 | 9,948 | ||||||
6.50%, 11/01/2036 | 119,810 | 129,951 | ||||||
6.50%, 11/01/2036 | 24,850 | 28,409 |
6.50%, 11/01/2036 | 243,617 | 266,013 | ||||||
5.50%, 12/01/2036 | 39,620 | 42,827 | ||||||
6.00%, 12/01/2036 | 8,681 | 9,468 | ||||||
6.00%, 12/01/2036 | 19,175 | 20,933 | ||||||
6.50%, 12/01/2036 | 122,711 | 136,266 | ||||||
6.50%, 12/01/2036 | 283,583 | 318,869 | ||||||
7.50%, 12/01/2036 | 335,238 | 366,453 | ||||||
3.00%, 01/01/2037 | 3,292,278 | 3,256,794 | ||||||
6.50%, 01/01/2037 | 6,357 | 6,477 | ||||||
6.50%, 01/01/2037 | 18,882 | 20,231 | ||||||
6.50%, 02/01/2037 | 25,983 | 27,784 | ||||||
7.00%, 02/01/2037 | 8,439 | 9,721 | ||||||
5.00%, 03/01/2037 | 219,965 | 233,162 | ||||||
5.00%, 06/01/2037 | 247,622 | 262,329 | ||||||
6.50%, 06/01/2037 | 15,297 | 16,285 | ||||||
5.00%, 08/01/2037 | 246,475 | 261,003 | ||||||
3.50%, 11/01/2037 | 3,397,457 | 3,441,389 | ||||||
6.50%, 11/01/2037 | 61,764 | 69,614 | ||||||
3.00%, 12/01/2037 | 932,989 | 920,615 | ||||||
3.00%, 01/01/2038 | 1,395,736 | 1,380,681 | ||||||
7.50%, 01/01/2038 | 69,178 | 80,750 | ||||||
7.50%, 01/01/2038 | 42,295 | 49,754 | ||||||
5.00%, 02/01/2038 | 262,812 | 277,893 | ||||||
5.00%, 03/01/2038 | 74,385 | 78,716 | ||||||
5.00%, 03/01/2038 | 307,866 | 325,765 | ||||||
5.00%, 03/01/2038 | 273,594 | 289,513 | ||||||
5.00%, 03/01/2038 | 260,004 | 275,717 | ||||||
6.50%, 03/01/2038 | 59,295 | 67,444 | ||||||
5.00%, 04/01/2038 | 182,591 | 193,146 | ||||||
5.50%, 05/01/2038 | 64,254 | 68,747 | ||||||
5.50%, 08/01/2038 | 83,401 | 90,137 | ||||||
5.00%, 09/01/2038 | 36,520 | 38,642 | ||||||
5.00%, 09/01/2038 | 209,998 | 222,211 | ||||||
7.50%, 09/01/2038 | 32,314 | 36,363 | ||||||
5.00%, 11/01/2038 | 80,709 | 85,347 | ||||||
5.00%, 11/01/2038 | 1,535 | 1,624 | ||||||
5.00%, 12/01/2038 | 247,807 | 262,217 | ||||||
5.00%, 12/01/2038 | 864 | 914 | ||||||
5.50%, 01/01/2039 | 3,139,096 | 3,392,215 | ||||||
5.00%, 02/01/2039 | 510,050 | 539,563 | ||||||
5.00%, 05/01/2039 | 8,918 | 9,530 | ||||||
4.50%, 07/01/2039 | 232,574 | 243,385 | ||||||
4.50%, 10/01/2039 | 1,906,681 | 1,996,953 | ||||||
5.00%, 10/01/2039 | 569,338 | 602,439 | ||||||
4.50%, 11/01/2039 | 2,171,562 | 2,273,925 | ||||||
4.50%, 11/01/2039 | 2,930,683 | 3,067,005 | ||||||
5.00%, 01/01/2040 | 132,123 | 140,269 | ||||||
5.00%, 03/01/2040 | 2,798,989 | 2,962,597 | ||||||
5.00%, 03/01/2040 | 223,377 | 236,292 | ||||||
5.50%, 03/01/2040 | 28,779 | 30,856 | ||||||
4.50%, 05/01/2040 | 1,053,089 | 1,102,941 | ||||||
5.50%, 05/01/2040 | 2,086,362 | 2,239,518 | ||||||
4.50%, 08/01/2040 | 494,192 | 517,602 | ||||||
5.00%, 08/01/2040 | 1,453,468 | 1,538,876 | ||||||
5.00%, 08/01/2040 | 389,982 | 412,897 | ||||||
5.50%, 08/01/2040 | 866,470 | 928,505 | ||||||
4.00%, 09/01/2040 | 840,475 | 864,768 |
4.50%, 09/01/2040 | 364,270 | 381,527 | ||||||
4.50%, 09/01/2040 | 1,550,075 | 1,623,503 | ||||||
4.00%, 11/01/2040 | 2,625,666 | 2,701,635 | ||||||
4.00%, 11/01/2040 | 44,304 | 45,583 | ||||||
4.00%, 12/01/2040 | 1,602,367 | 1,648,729 | ||||||
4.00%, 12/01/2040 | 467,602 | 481,122 | ||||||
4.00%, 12/01/2040 | 1,249,796 | 1,285,954 | ||||||
4.00%, 12/01/2040 | 1,527,424 | 1,571,618 | ||||||
4.00%, 12/01/2040 | 1,059,630 | 1,090,288 | ||||||
4.00%, 01/01/2041 | 984,754 | 1,013,250 | ||||||
4.00%, 01/15/2041(6) | 4,645,000 | 4,735,249 | ||||||
4.50%, 01/15/2041(6) | 1,000,000 | 1,035,408 | ||||||
4.50%, 03/01/2041 | 296,531 | 310,578 | ||||||
5.00%, 04/01/2041 | 1,263,956 | 1,338,266 | ||||||
4.50%, 05/01/2041 | 2,080,424 | 2,178,794 | ||||||
5.00%, 06/01/2041 | 357,155 | 377,424 | ||||||
4.50%, 08/01/2041 | 766,604 | 802,409 | ||||||
4.00%, 10/01/2041 | 5,112,037 | 5,259,985 | ||||||
4.00%, 11/01/2041 | 13,668 | 14,063 | ||||||
4.00%, 01/01/2042 | 255,372 | 262,763 | ||||||
3.50%, 01/15/2042(6) | 1,820,000 | 1,819,427 | ||||||
3.50%, 05/01/2042 | 1,035,689 | 1,043,639 | ||||||
4.00%, 05/01/2042 | 16,771 | 17,256 | ||||||
3.50%, 06/01/2042 | 507,801 | 511,698 | ||||||
3.50%, 06/01/2042 | 3,050,717 | 3,068,415 | ||||||
4.00%, 06/01/2042 | 2,509,985 | 2,575,438 | ||||||
3.50%, 07/01/2042 | 11,839,801 | 11,930,687 | ||||||
3.00%, 08/01/2042 | 2,139,424 | 2,105,070 | ||||||
3.50%, 08/01/2042 | 1,008,689 | 1,016,348 | ||||||
3.50%, 09/01/2042 | 3,783,260 | 3,812,303 | ||||||
3.50%, 09/01/2042 | 6,754,683 | 6,806,452 | ||||||
3.00%, 10/01/2042 | 5,402,005 | 5,312,745 | ||||||
3.50%, 10/01/2042 | 12,476,992 | 12,572,770 | ||||||
3.50%, 10/01/2042 | 3,073,569 | 3,097,164 | ||||||
4.00%, 10/01/2042 | 107,149 | 108,265 | ||||||
3.00%, 11/01/2042 | 6,770,389 | 6,660,800 | ||||||
3.50%, 11/01/2042 | 109,591 | 110,064 | ||||||
3.50%, 11/01/2042 | 3,466,218 | 3,492,827 | ||||||
3.50%, 11/01/2042 | 1,270,422 | 1,280,175 | ||||||
3.50%, 12/01/2042 | 3,990,164 | 4,020,786 | ||||||
3.50%, 01/01/2043 | 8,978,476 | 9,047,235 | ||||||
4.00%, 01/01/2043 | 282,209 | 289,611 | ||||||
3.00%, 02/01/2043 | 455,957 | 448,211 | ||||||
3.00%, 03/01/2043 | 2,908,753 | 2,859,000 | ||||||
3.00%, 03/01/2043 | 5,910,089 | 5,809,687 | ||||||
3.50%, 03/01/2043 | 919,526 | 926,542 | ||||||
3.00%, 04/01/2043 | 13,374,684 | 13,149,076 | ||||||
3.00%, 04/01/2043 | 106,340 | 104,496 | ||||||
3.50%, 05/01/2043 | 335,122 | 337,076 | ||||||
3.00%, 06/01/2043 | 16,431,072 | 16,131,557 | ||||||
3.00%, 06/01/2043 | 41,935 | 41,209 | ||||||
3.50%, 06/01/2043 | 1,133,794 | 1,140,382 | ||||||
3.50%, 06/01/2043 | 1,879,307 | 1,893,635 | ||||||
4.00%, 06/01/2043 | 22,016 | 22,575 | ||||||
3.00%, 07/01/2043 | 30,926 | 30,387 | ||||||
3.00%, 07/01/2043 | 407,458 | 400,366 | ||||||
3.50%, 07/01/2043 | 639,924 | 644,770 |
3.00%, 08/01/2043 | 576,651 | 566,674 | ||||||
3.00%, 08/01/2043 | 7,836,185 | 7,700,017 | ||||||
4.00%, 09/01/2043 | 228,548 | 234,877 | ||||||
4.00%, 09/01/2043 | 8,077,337 | 8,310,832 | ||||||
3.50%, 10/01/2043 | 253,811 | 255,707 | ||||||
4.00%, 11/01/2043 | 99,911 | 102,370 | ||||||
4.00%, 11/01/2043 | 214,888 | 219,967 | ||||||
4.00%, 12/01/2043 | 260,653 | 266,640 | ||||||
4.00%, 12/01/2043 | 2,021,876 | 2,069,123 | ||||||
4.00%, 12/01/2043 | 1,044,823 | 1,073,766 | ||||||
4.50%, 12/01/2043 | 1,041,570 | 1,091,922 | ||||||
4.00%, 01/01/2044 | 153,612 | 157,772 | ||||||
4.00%, 01/01/2044 | 617,125 | 631,546 | ||||||
4.00%, 03/01/2044 | 3,411,335 | 3,487,878 | ||||||
4.50%, 03/01/2044 | 752,294 | 780,018 | ||||||
3.50%, 05/01/2044 | 16,873,475 | 17,002,943 | ||||||
4.50%, 05/01/2044 | 1,130,181 | 1,171,811 | ||||||
4.50%, 07/01/2044 | 355,016 | 368,100 | ||||||
4.50%, 07/01/2044 | 48,065 | 49,837 | ||||||
4.50%, 09/01/2044 | 2,207,663 | 2,289,026 | ||||||
4.00%, 10/01/2044 | 9,220,773 | 9,453,767 | ||||||
3.50%, 01/01/2045 | 14,663,625 | 14,776,204 | ||||||
4.00%, 01/01/2045 | 557,428 | 569,763 | ||||||
3.50%, 03/01/2045 | 3,824,191 | 3,838,157 | ||||||
3.00%, 05/01/2045 | 1,405,323 | 1,375,839 | ||||||
3.00%, 05/01/2045 | 2,681,376 | 2,625,849 | ||||||
3.00%, 06/01/2045 | 665,982 | 653,378 | ||||||
3.50%, 07/01/2045 | 1,026,436 | 1,030,185 | ||||||
3.00%, 10/01/2045 | 5,620,113 | 5,522,697 | ||||||
4.00%, 10/01/2045 | 830,150 | 847,665 | ||||||
4.00%, 10/01/2045 | 10,580,130 | 10,802,007 | ||||||
4.00%, 11/01/2045 | 15,734,119 | 16,064,449 | ||||||
3.00%, 12/01/2045 | 10,018,156 | 9,783,494 | ||||||
3.50%, 12/01/2045 | 11,111,616 | 11,152,199 | ||||||
3.50%, 12/01/2045 | 1,393,357 | 1,398,446 | ||||||
4.50%, 12/01/2045 | 1,526,456 | 1,582,640 | ||||||
3.50%, 01/01/2046 | 11,026,526 | 11,066,789 | ||||||
4.00%, 01/01/2046 | 3,905,045 | 4,006,986 | ||||||
4.00%, 01/01/2046 | 3,900,182 | 3,998,731 | ||||||
3.50%, 02/01/2046 | 9,185,247 | 9,217,839 | ||||||
3.00%, 03/01/2046 | 6,647,783 | 6,488,462 | ||||||
3.50%, 03/01/2046 | 10,613,131 | 10,661,744 | ||||||
3.00%, 04/01/2046 | 4,747,582 | 4,633,801 | ||||||
3.00%, 05/01/2046 | 12,767,630 | 12,461,639 | ||||||
4.00%, 05/01/2046 | 412,565 | 421,185 | ||||||
4.00%, 06/01/2046 | 12,540,923 | 12,816,300 | ||||||
3.50%, 07/01/2046 | 4,778,012 | 4,791,005 | ||||||
3.50%, 08/01/2046 | 8,660,455 | 8,710,879 | ||||||
4.00%, 08/01/2046 | 2,957,889 | 3,019,690 | ||||||
3.00%, 09/01/2046 | 31,308,082 | 30,557,722 | ||||||
4.50%, 09/01/2046 | 5,377,615 | 5,575,686 | ||||||
3.00%, 10/01/2046 | 4,038,220 | 3,941,437 | ||||||
3.00%, 10/01/2046 | 15,923,644 | 15,564,238 | ||||||
3.50%, 10/01/2046 | 19,866,898 | 19,927,143 | ||||||
4.50%, 10/01/2046 | 4,373,164 | 4,534,244 | ||||||
3.00%, 11/01/2046 | 22,579,871 | 22,031,699 | ||||||
3.00%, 12/01/2046 | 5,534,270 | 5,401,630 |
3.50%, 12/01/2046 | 437,853 | 438,909 | ||||||
3.50%, 01/01/2047 | 4,685,831 | 4,696,230 | ||||||
4.00%, 01/01/2047 | 14,167,252 | 14,564,513 | ||||||
3.50%, 02/01/2047 | 1,033,054 | 1,035,148 | ||||||
3.00%, 03/01/2047 | 3,298,414 | 3,216,051 | ||||||
3.50%, 03/01/2047 | 570,663 | 571,709 | ||||||
4.00%, 04/01/2047 | 2,225,633 | 2,271,454 | ||||||
3.00%, 05/01/2047 | 18,266,741 | 17,837,244 | ||||||
3.00%, 05/01/2047 | 4,331,859 | 4,230,007 | ||||||
4.50%, 07/01/2047 | 6,827,594 | 7,254,740 | ||||||
4.50%, 07/01/2047 | 2,339,753 | 2,424,097 | ||||||
4.00%, 09/01/2047 | 7,671,127 | 7,857,964 | ||||||
3.50%, 10/01/2047 | 14,305,707 | 14,306,998 | ||||||
3.50%, 10/01/2047 | 1,136,886 | 1,136,989 | ||||||
3.50%, 10/01/2047 | 27,432,916 | 27,435,388 | ||||||
4.00%, 10/01/2047 | 976,597 | 996,176 | ||||||
4.50%, 10/01/2047 | 2,231,710 | 2,330,035 | ||||||
3.50%, 11/01/2047 | 2,910,329 | 2,910,591 | ||||||
3.50%, 11/01/2047 | 3,746,294 | 3,746,632 | ||||||
4.00%, 11/01/2047 | 7,179,309 | 7,328,825 | ||||||
4.50%, 11/01/2047 | 1,755,563 | 1,819,115 | ||||||
5.00%, 12/01/2047 | 7,677,997 | 8,039,845 | ||||||
3.50%, 01/01/2048 | 9,663,336 | 9,664,119 | ||||||
4.50%, 02/01/2048 | 4,020,368 | 4,164,523 | ||||||
5.00%, 02/01/2048 | 2,642,175 | 2,766,338 | ||||||
3.50%, 03/01/2048 | 9,740,914 | 9,750,821 | ||||||
3.50%, 03/01/2048 | 7,767,175 | 7,771,491 | ||||||
4.00%, 04/01/2048 | 6,940,254 | 7,077,721 | ||||||
3.50%, 05/01/2048 | 15,664,033 | 15,664,393 | ||||||
4.00%, 06/01/2048 | 15,582,888 | 15,964,665 | ||||||
4.00%, 06/01/2048 | 3,535,340 | 3,604,950 | ||||||
4.00%, 06/01/2048 | 1,963,144 | 2,001,929 | ||||||
4.50%, 06/01/2048 | 10,117,273 | 10,480,054 | ||||||
4.00%, 07/01/2048 | 5,819,714 | 5,934,716 | ||||||
4.50%, 09/01/2048 | 666,600 | 701,196 | ||||||
4.50%, 09/01/2048 | 592,478 | 622,260 | ||||||
4.50%, 09/01/2048 | 419,926 | 441,848 | ||||||
4.50%, 09/01/2048 | 450,699 | 472,979 | ||||||
4.50%, 11/01/2048 | 10,192,927 | 10,558,452 | ||||||
4.50%, 12/01/2048 | 830,711 | 875,620 | ||||||
Freddie Mac Multifamily Structured Pass Through Certificates | ||||||||
1.52%, 06/25/2020 IO(4) | 49,146,523 | 816,353 | ||||||
2.60%, 09/25/2020 | 255,336 | 253,955 | ||||||
3.13%, 06/25/2021 | 12,700,000 | 12,745,758 | ||||||
1.41%, 05/25/2022 IO(4) | 52,134,889 | 2,058,296 | ||||||
2.36%, 08/25/2022 | 3,146,936 | 3,109,813 | ||||||
2.86%, 08/25/2022 | 6,965,000 | 6,979,741 | ||||||
3.07%, 08/25/2022 | 2,438,000 | 2,448,556 | ||||||
2.84%, 09/25/2022 | 2,665,000 | 2,664,442 | ||||||
3.05% (1 Month LIBOR USD + 0.70%), 09/25/2022(2) | 1,306,817 | 1,307,628 | ||||||
0.85%, 10/25/2022 IO(4) | 22,001,767 | 603,933 | ||||||
2.31%, 12/25/2022 | 6,000,000 | 5,897,286 | ||||||
2.52%, 01/25/2023 | 2,000,000 | 1,970,729 | ||||||
2.62%, 01/25/2023 | 8,500,000 | 8,374,686 | ||||||
3.11%, 02/25/2023 | 13,450,000 | 13,536,136 | ||||||
3.32%, 02/25/2023(4) | 5,550,000 | 5,627,800 | ||||||
3.49%, 01/25/2024 | 18,300,000 | 18,713,033 |
3.10%, 02/25/2024 | 11,250,000 | 11,329,020 | ||||||
3.39%, 03/25/2024 | 4,286,000 | 4,358,699 | ||||||
2.91%, 04/25/2024 | 9,500,000 | 9,460,031 | ||||||
3.04%, 07/25/2024 | 10,000,000 | 10,065,331 | ||||||
2.81%, 09/25/2024 | 6,287,000 | 6,210,741 | ||||||
2.77%, 05/25/2025 | 4,250,000 | 4,174,229 | ||||||
3.33%, 08/25/2025(4) | 10,000,000 | 10,134,779 | ||||||
1.37%, 03/25/2026(4) | 27,691,844 | 2,271,393 | ||||||
3.17%, 09/25/2026(4) | 7,915,000 | 7,862,931 | ||||||
3.36%, 12/25/2026 | 27,000,000 | 27,362,929 | ||||||
3.41%, 12/25/2026 | 23,275,000 | 23,541,489 | ||||||
3.51%, 01/25/2027(4) | 23,250,000 | 23,553,617 | ||||||
3.24%, 04/25/2027 | 7,030,000 | 7,018,349 | ||||||
3.33%, 05/25/2027 | 1,779,000 | 1,779,040 | ||||||
3.12%, 06/25/2027 | 4,263,000 | 4,215,953 | ||||||
3.19%, 07/25/2027 | 38,013,000 | 37,759,716 | ||||||
3.24%, 08/25/2027 | 2,846,000 | 2,834,918 | ||||||
3.19%, 09/25/2027(4) | 35,150,000 | 34,824,363 | ||||||
3.25%, 09/25/2027(4) | 4,900,000 | 4,855,094 | ||||||
3.30%, 11/25/2027(4) | 4,589,000 | 4,582,266 | ||||||
3.36%, 11/25/2027(4) | 18,922,000 | 18,868,222 | ||||||
3.36%, 12/25/2027(4) | 3,332,000 | 3,327,468 | ||||||
3.35%, 01/25/2028 | 5,167,000 | 5,175,680 | ||||||
3.21%, 04/25/2028(4) | 12,045,000 | 12,046,937 | ||||||
3.90%, 04/25/2028 | 8,575,000 | 8,897,658 | ||||||
3.90%, 04/25/2028 | 29,695,000 | 30,991,531 | ||||||
3.85%, 05/25/2028(4) | 24,120,000 | 25,081,549 | ||||||
3.85%, 05/25/2028(4) | 3,550,000 | 3,672,586 | ||||||
3.93%, 06/25/2028 | 4,761,000 | 4,977,002 | ||||||
3.90%, 08/25/2028(4) | 9,874,000 | 10,295,607 | ||||||
3.92%, 09/25/2028(4) | 16,096,000 | 16,810,608 | ||||||
4.05%, 09/25/2028(4) | 17,630,000 | 18,602,474 | ||||||
4.03%, 10/25/2028(4) | 5,600,000 | 5,872,767 | ||||||
3.86%, 11/25/2028(4) | 12,500,000 | 12,995,413 | ||||||
3.92%, 11/25/2028(4) | 4,100,000 | 4,262,909 | ||||||
3.08%, 01/25/2031 | 4,126,000 | 3,980,159 | ||||||
3.99%, 05/25/2033(4) | 16,700,000 | 17,281,444 | ||||||
3.90%, 10/25/2033(4) | 6,500,000 | 6,657,815 | ||||||
Freddie Mac Non Gold Pool | ||||||||
4.20% (1 Year CMT Rate + 2.20%, 14.57% Cap), 07/01/2019(2) | 10 | 10 | ||||||
4.25% (1 Year CMT Rate + 2.13%, 12.13% Cap), 07/01/2026(2) | 3,666 | 3,672 | ||||||
4.18% (1 Year CMT Rate + 2.11%, 12.12% Cap), 01/01/2027(2) | 6,176 | 6,380 | ||||||
4.45% (1 Year CMT Rate + 2.25%, 12.02% Cap), 04/01/2030(2) | 1,560 | 1,630 | ||||||
4.73% (1 Year CMT Rate + 2.37%, 10.23% Cap), 09/01/2032(2) | 4,942 | 5,179 | ||||||
4.07% (1 Year CMT Rate + 2.24%, 10.13% Cap), 05/01/2033(2) | 169,607 | 178,674 | ||||||
4.73% (1 Year CMT Rate + 2.23%, 9.36% Cap), 12/01/2033(2) | 24,627 | 25,852 | ||||||
4.07% (12 Month LIBOR USD + 1.75%, 9.21% Cap), 04/01/2034(2) | 25,776 | 26,949 | ||||||
4.52% (1 Year CMT Rate + 2.37%, 10.59% Cap), 09/01/2034(2) | 106,279 | 112,060 | ||||||
3.68% (1 Year CMT Rate + 2.25%, 10.12% Cap), 01/01/2035(2) | 59,221 | 62,645 | ||||||
3.70% (1 Year CMT Rate + 2.25%, 10.04% Cap), 01/01/2035(2) | 128,953 | 136,237 | ||||||
4.42% (12 Month LIBOR USD + 1.67%, 11.29% Cap), 08/01/2035(2) | 6,254 | 6,512 | ||||||
4.63% (6 Month LIBOR USD + 2.13%, 11.56% Cap), 12/01/2035(2) | 32,467 | 34,148 | ||||||
4.12% (12 Month LIBOR USD + 1.70%, 10.14% Cap), 02/01/2036(2) | 19,152 | 20,027 | ||||||
4.58% (1 Year CMT Rate + 2.25%, 9.84% Cap), 02/01/2036(2) | 77,790 | 81,707 | ||||||
4.04% (12 Month LIBOR USD + 2.04%, 10.70% Cap), 03/01/2036(2) | 84,204 | 89,296 | ||||||
5.00% (12 Month LIBOR USD + 2.47%, 11.74% Cap), 03/01/2036(2) | 58,236 | 62,433 | ||||||
4.12% (1 Year CMT Rate + 2.25%, 10.61% Cap), 05/01/2036(2) | 57,165 | 60,437 |
4.18% (1 Year CMT Rate + 2.25%, 10.59% Cap), 05/01/2036(2) | 86,039 | 90,975 | ||||||
4.69% (12 Month LIBOR USD + 2.33%, 10.87% Cap), 05/01/2036(2) | 18,424 | 19,718 | ||||||
4.31% (12 Month LIBOR USD + 1.99%, 10.91% Cap), 06/01/2036(2) | 79,678 | 83,790 | ||||||
4.32% (12 Month LIBOR USD + 1.94%, 10.95% Cap), 06/01/2036(2) | 259,610 | 273,956 | ||||||
4.25% (6 Month LIBOR USD + 1.73%, 12.57% Cap), 07/01/2036(2) | 41,155 | 42,729 | ||||||
4.28% (1 Year CMT Rate + 2.25%, 10.12% Cap), 07/01/2036(2) | 45,207 | 47,670 | ||||||
4.36% (1 Year CMT Rate + 2.25%, 10.84% Cap), 07/01/2036(2) | 31,032 | 32,674 | ||||||
4.13% (6 Month LIBOR USD + 1.63%, 11.56% Cap), 08/01/2036(2) | 4,249 | 4,399 | ||||||
4.16% (6 Month LIBOR USD + 1.66%, 13.04% Cap), 08/01/2036(2) | 191,513 | 198,474 | ||||||
4.19% (6 Month LIBOR USD + 1.69%, 12.81% Cap), 08/01/2036(2) | 51,768 | 53,708 | ||||||
4.27% (12 Month LIBOR USD + 1.88%, 11.05% Cap), 09/01/2036(2) | 114,348 | 120,401 | ||||||
4.48% (12 Month LIBOR USD + 1.78%, 11.25% Cap), 09/01/2036(2) | 91,567 | 95,881 | ||||||
4.20% (6 Month LIBOR USD + 1.70%, 12.35% Cap), 10/01/2036(2) | 51,435 | 53,222 | ||||||
4.23% (6 Month LIBOR USD + 1.73%, 12.98% Cap), 10/01/2036(2) | 92,957 | 96,514 | ||||||
4.29% (6 Month LIBOR USD + 1.79%, 12.45% Cap), 10/01/2036(2) | 50,284 | 52,326 | ||||||
4.35% (12 Month LIBOR USD + 1.60%, 11.38% Cap), 10/01/2036(2) | 44,120 | 46,551 | ||||||
4.73% (1 Year CMT Rate + 2.36%, 11.13% Cap), 10/01/2036(2) | 66,308 | 69,890 | ||||||
5.02% (12 Month LIBOR USD + 2.20%, 10.78% Cap), 10/01/2036(2) | 25,658 | 27,156 | ||||||
4.21% (12 Month LIBOR USD + 1.67%, 11.02% Cap), 11/01/2036(2) | 18,567 | 19,383 | ||||||
4.22% (1 Year CMT Rate + 2.24%, 9.96% Cap), 11/01/2036(2) | 45,916 | 48,426 | ||||||
4.52% (12 Month LIBOR USD + 1.64%, 10.76% Cap), 11/01/2036(2) | 92,777 | 96,813 | ||||||
4.54% (12 Month LIBOR USD + 1.78%, 11.27% Cap), 11/01/2036(2) | 52,780 | 55,325 | ||||||
4.56% (1 Year CMT Rate + 2.25%, 11.20% Cap), 11/01/2036(2) | 157,444 | 165,685 | ||||||
3.91% (12 Month LIBOR USD + 1.99%, 11.15% Cap), 12/01/2036(2) | 123,923 | 131,181 | ||||||
4.16% (12 Month LIBOR USD + 1.69%, 11.37% Cap), 12/01/2036(2) | 7,071 | 7,396 | ||||||
4.44% (12 Month LIBOR USD + 1.59%, 11.19% Cap), 12/01/2036(2) | 273,922 | 285,383 | ||||||
4.46% (12 Month LIBOR USD + 1.67%, 12.03% Cap), 12/01/2036(2) | 172,026 | 179,699 | ||||||
5.00% (12 Month LIBOR USD + 2.13%, 11.19% Cap), 12/01/2036(2) | 2,044 | 2,188 | ||||||
3.81% (12 Month LIBOR USD + 1.93%, 10.90% Cap), 01/01/2037(2) | 36,270 | 38,227 | ||||||
4.17% (6 Month LIBOR USD + 1.67%, 10.68% Cap), 01/01/2037(2) | 15,331 | 15,926 | ||||||
3.58% (12 Month LIBOR USD + 1.70%, 11.06% Cap), 02/01/2037(2) | 9,748 | 10,178 | ||||||
3.69% (12 Month LIBOR USD + 1.88%, 10.77% Cap), 02/01/2037(2) | 6,045 | 6,356 | ||||||
3.86% (12 Month LIBOR USD + 1.92%, 10.92% Cap), 02/01/2037(2) | 52,897 | 55,568 | ||||||
4.31% (12 Month LIBOR USD + 2.34%, 11.10% Cap), 02/01/2037(2) | 14,261 | 15,164 | ||||||
4.61% (6 Month LIBOR USD + 2.11%, 12.40% Cap), 02/01/2037(2) | 86,848 | 91,273 | ||||||
4.24% (12 Month LIBOR USD + 2.25%, 11.20% Cap), 03/01/2037(2) | 17,376 | 18,239 | ||||||
4.35% (12 Month LIBOR USD + 2.35%, 10.85% Cap), 03/01/2037(2) | 12,823 | 13,421 | ||||||
4.41% (6 Month LIBOR USD + 1.91%, 12.40% Cap), 03/01/2037(2) | 163,062 | 170,194 | ||||||
3.66% (12 Month LIBOR USD + 1.91%, 10.91% Cap), 04/01/2037(2) | 2,108 | 2,164 | ||||||
4.08% (12 Month LIBOR USD + 1.98%, 10.78% Cap), 04/01/2037(2) | 48,047 | 50,350 | ||||||
4.09% (6 Month LIBOR USD + 1.52%, 11.87% Cap), 05/01/2037(2) | 84,779 | 87,392 | ||||||
4.12% (12 Month LIBOR USD + 2.06%, 10.82% Cap), 05/01/2037(2) | 139,439 | 147,689 | ||||||
4.51% (6 Month LIBOR USD + 2.01%, 12.17% Cap), 05/01/2037(2) | 31,877 | 33,448 | ||||||
4.55% (6 Month LIBOR USD + 2.01%, 12.49% Cap), 05/01/2037(2) | 59,685 | 62,517 | ||||||
4.56% (12 Month LIBOR USD + 2.18%, 10.98% Cap), 05/01/2037(2) | 60,060 | 63,798 | ||||||
4.64% (6 Month LIBOR USD + 2.12%, 11.01% Cap), 05/01/2037(2) | 5,365 | 5,611 | ||||||
3.58% (12 Month LIBOR USD + 1.70%, 11.08% Cap), 06/01/2037(2) | 22,497 | 23,498 | ||||||
4.52% (12 Month LIBOR USD + 1.87%, 11.71% Cap), 07/01/2037(2) | 12,635 | 13,201 | ||||||
4.50% (12 Month LIBOR USD + 1.75%, 11.75% Cap), 11/01/2037(2) | 5,573 | 5,777 | ||||||
4.20% (12 Month LIBOR USD + 2.08%, 10.91% Cap), 04/01/2038(2) | 54,577 | 57,579 | ||||||
3.99% (12 Month LIBOR USD + 1.89%, 10.46% Cap), 05/01/2038(2) | 40,223 | 42,338 | ||||||
4.46% (12 Month LIBOR USD + 1.84%, 9.01% Cap), 07/01/2040(2) | 64,193 | 67,065 | ||||||
Freddie Mac Reference REMIC | ||||||||
6.00%, 04/15/2036 | 357,918 | 399,558 | ||||||
6.00%, 05/15/2036 | 476,468 | 530,513 | ||||||
Freddie Mac REMICS | ||||||||
0.00%, 03/15/2019 PO | 266 | 265 |
6.50%, 03/15/2019 IO | 34 | 0 | ||||||
0.00%, 02/15/2020 PO | 34,104 | 33,588 | ||||||
5.00%, 02/15/2020 IO | 10,161 | 198 | ||||||
5.00%, 02/15/2020 IO | 5,436 | 94 | ||||||
6.50%, 03/15/2020 | 995 | 1,004 | ||||||
9.00%, 10/15/2020 | 124 | 128 | ||||||
6.95%, 01/15/2021 | 348 | 352 | ||||||
8.60%, 01/15/2021 | 1 | 1 | ||||||
9.50%, 01/15/2021 | 41 | 42 | ||||||
9.00%, 04/15/2021 | 168 | 176 | ||||||
3.41% (1 Month LIBOR USD + 0.95%, 0.95% Floor, 11.00% Cap), 05/15/2021(2) | 68 | 69 | ||||||
5.00%, 05/15/2021 | 140 | 140 | ||||||
7.00%, 05/15/2021 | 1,948 | 1,991 | ||||||
25.65%(-3 x 1 Month LIBOR USD + 34.00%, 34.00% Cap), 05/15/2021(2)(5) | 42 | 44 | ||||||
34.18%(-5 x 1 Month LIBOR USD + 45.23%, 45.23% Cap), 05/15/2021(2)(5) | 48 | 55 | ||||||
6.00%, 07/15/2021(4) | 328 | 332 | ||||||
5.50%, 08/15/2021 | 158 | 159 | ||||||
7.00%, 09/15/2021 | 735 | 745 | ||||||
8.50%, 09/15/2021 | 1,224 | 1,291 | ||||||
6.99%, 11/15/2021(4) | 32,020 | 32,406 | ||||||
895.66%(-124 x 1 Month LIBOR USD + 1,199.99%, 10.00% Floor, 1,199.99% Cap), 01/15/2022 IO(2)(5) | 1 | 4 | ||||||
5.00%, 03/15/2022 | 96,154 | 96,602 | ||||||
7.00%, 03/15/2022 | 504 | 518 | ||||||
7.00%, 05/15/2022 | 700 | 710 | ||||||
7.50%, 08/15/2022 | 1,023 | 1,084 | ||||||
8.00%, 08/15/2022 | 2,563 | 2,718 | ||||||
3.61% (1 Month LIBOR USD + 1.15%, 1.15% Floor, 10.00% Cap), 09/15/2022(2) | 1,698 | 1,722 | ||||||
5.50%, 10/15/2022 | 44,889 | 45,849 | ||||||
3.45%(-1 x 1 Month LIBOR USD + 4.68%, 4.68% Cap), 12/15/2022(2)(5) | 1,704 | 1,723 | ||||||
5.50%, 12/15/2022 | 14,695 | 15,005 | ||||||
2.08% (11th District Cost of Funds Index + 1.00%, 1.00% Floor, 10.00% Cap), 02/15/2023(2) | 258 | 262 | ||||||
7.50%, 02/15/2023 | 15,213 | 16,123 | ||||||
5.50%, 03/15/2023 | 146,000 | 150,023 | ||||||
3.61% (1 Month LIBOR USD + 1.15%, 1.15% Floor, 10.00% Cap), 04/15/2023(2) | 9,668 | 9,842 | ||||||
5.50%, 04/15/2023 | 147,000 | 151,403 | ||||||
7.00%, 04/15/2023 | 14,387 | 15,157 | ||||||
7.50%, 04/15/2023 | 2,967 | 3,148 | ||||||
5.00%, 05/15/2023 | 15,081 | 15,429 | ||||||
6.48%(-1 x 3 Month CMT Rate + 8.90%, 8.90% Cap), 05/15/2023(2)(5) | 6,678 | 7,031 | ||||||
7.00%, 05/15/2023 | 1,557 | 1,652 | ||||||
5.60%, 06/15/2023 | 30,368 | 31,439 | ||||||
2.20% (10 Year CMT Rate +-0.70%, 10.00% Cap), 07/15/2023(2) | 6,293 | 6,276 | ||||||
6.14%(-1 x 1 Month LIBOR USD + 8.60%, 3.00% Floor, 8.60% Cap), 07/15/2023(2)(5) | 9,421 | 9,650 | ||||||
23.24%(-4 x 11th District Cost of Funds Index + 27.47%, 27.47% Cap), 07/15/2023(2)(5) | 1,322 | 1,599 | ||||||
2.58% (11th District Cost of Funds Index + 1.50%, 1.50% Floor, 9.00% Cap), 08/15/2023(2) | 354 | 362 | ||||||
6.50%, 09/15/2023 | 42,056 | 44,512 | ||||||
7.00%, 09/15/2023 | 10,715 | 11,367 | ||||||
23.91%(-4 x 1 Month LIBOR USD + 34.50%, 34.50% Cap), 09/15/2023(2)(5) | 5,068 | 6,637 | ||||||
6.25%, 10/15/2023 | 6,503 | 6,828 | ||||||
14.77%(-3 x 1 Month LIBOR USD + 22.75%, 22.75% Cap), 10/15/2023(2)(5) | 5,147 | 5,940 | ||||||
5.00%, 11/15/2023 | 190,816 | 194,895 | ||||||
5.50%, 11/15/2023 | 45,160 | 46,243 | ||||||
6.00%, 11/15/2023 | 16,040 | 16,748 | ||||||
5.00%, 12/15/2023 | 19,808 | 20,206 | ||||||
6.50%, 12/15/2023 | 15,144 | 15,940 | ||||||
6.50%, 12/15/2023 | 9,820 | 10,392 | ||||||
7.00%, 01/15/2024 | 5,744 | 6,121 |
0.00%, 02/15/2024 PO | 5,101 | 4,907 | ||||||
0.00%, 02/15/2024 PO | 5,959 | 5,474 | ||||||
7.00%, 02/15/2024 | 1,655 | 1,852 | ||||||
10.00%(-5 x 11th District Cost of Funds Index + 44.15%, 10.00% Cap), 02/15/2024(2)(5) | 2,165 | 2,617 | ||||||
13.71%(-2 x 1 Month LIBOR USD + 19.24%, 19.24% Cap), 02/15/2024(2)(5) | 696 | 817 | ||||||
2.21% (10 Year CMT Rate +-0.85%, 10.00% Cap), 03/15/2024(2) | 503 | 499 | ||||||
3.06% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 9.00% Cap), 03/15/2024(2) | 1,080 | 1,093 | ||||||
7.00%, 03/15/2024 | 5,336 | 5,665 | ||||||
7.00%, 03/15/2024 | 31,359 | 33,303 | ||||||
26.59%(-4 x 11th District Cost of Funds Index + 31.43%, 31.43% Cap), 03/15/2024 IO(2)(5) | 3,497 | 798 | ||||||
7.50%, 04/15/2024 | 18,421 | 19,648 | ||||||
0.00%, 05/15/2024 PO | 4,363 | 4,106 | ||||||
7.54%(-1 x 10 Year CMT Rate + 10.60%, 10.00% Cap), 05/15/2024 IO(2)(5) | 10,445 | 1,535 | ||||||
6.00%, 06/15/2024 | 19,171 | 20,346 | ||||||
7.50%, 08/15/2024 | 5,409 | 5,874 | ||||||
4.00%, 12/15/2024 | 206,000 | 211,073 | ||||||
5.00%, 12/15/2024 | 54,576 | 56,346 | ||||||
20.32%(-6 x 1 Month LIBOR USD + 33.83%, 33.83% Cap), 04/15/2025(2)(5) | 16,410 | 19,084 | ||||||
4.50%, 06/15/2025 | 722,000 | 750,935 | ||||||
10.74%(-3 x 1 Month LIBOR USD + 16.88%, 16.88% Cap), 08/15/2025(2)(5) | 7,874 | 8,714 | ||||||
17.23%(-4 x 1 Month LIBOR USD + 28.03%, 28.03% Cap), 10/15/2025(2)(5) | 19,988 | 25,256 | ||||||
3.50%, 01/15/2026 | 2,000,000 | 2,053,057 | ||||||
5.00%, 03/15/2026 | 233,164 | 235,901 | ||||||
6.50%, 03/15/2026 | 2,565 | 2,704 | ||||||
6.50%, 07/15/2026 | 20,122 | 21,220 | ||||||
7.50%, 09/15/2026 | 3,093 | 3,402 | ||||||
8.00%, 09/15/2026 | 8,603 | 9,664 | ||||||
6.50%, 01/15/2027 | 14,283 | 15,491 | ||||||
7.50%, 01/15/2027 | 7,379 | 8,229 | ||||||
7.50%, 01/15/2027 | 20,199 | 22,428 | ||||||
3.16% (1 Month LIBOR USD + 0.70%, 0.70% Floor, 9.00% Cap), 02/15/2027(2) | 584 | 593 | ||||||
6.00%, 05/15/2027 | 17,148 | 18,148 | ||||||
7.25%, 07/15/2027 | 902 | 999 | ||||||
7.50%, 09/15/2027 | 8,621 | 9,712 | ||||||
6.50%, 12/15/2027 | 9,648 | 10,435 | ||||||
7.00%, 03/15/2028 IO | 12,563 | 2,208 | ||||||
7.50%, 03/15/2028 | 38,394 | 43,064 | ||||||
7.50%, 05/15/2028 | 13,187 | 14,724 | ||||||
6.50%, 06/15/2028 | 18,759 | 20,532 | ||||||
7.00%, 06/15/2028 | 2,367 | 2,612 | ||||||
6.00%, 07/15/2028 | 9,099 | 9,777 | ||||||
6.25%, 08/15/2028 | 41,257 | 43,969 | ||||||
6.50%, 08/15/2028 | 38,540 | 42,087 | ||||||
6.00%, 09/15/2028 | 7,688 | 8,271 | ||||||
7.00%, 10/15/2028 IO | 15,104 | 1,691 | ||||||
6.00%, 11/15/2028 | 33,651 | 36,288 | ||||||
6.00%, 12/15/2028 | 67,243 | 72,467 | ||||||
3.06% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 8.50% Cap), 01/15/2029(2) | 15,203 | 15,429 | ||||||
6.00%, 01/15/2029 | 89,314 | 96,888 | ||||||
6.00%, 02/15/2029 | 19,505 | 20,586 | ||||||
6.25%, 02/15/2029 | 102,712 | 110,618 | ||||||
20.37%(-4 x 1 Month LIBOR USD + 30.55%, 30.55% Cap), 03/15/2029(2)(5) | 2,463 | 3,514 | ||||||
7.00%, 04/15/2029 IO | 1,310 | 145 | ||||||
7.00%, 06/15/2029 | 78,490 | 86,794 | ||||||
7.50%, 06/15/2029 IO | 6,484 | 757 | ||||||
7.00%, 07/15/2029 | 41,491 | 46,391 | ||||||
7.00%, 08/15/2029 | 19,748 | 22,070 |
4.00%, 11/15/2029 IO | 134,923 | 7,707 | ||||||
7.50%, 11/15/2029 | 103 | 116 | ||||||
8.00%, 11/15/2029 | 18,751 | 20,947 | ||||||
7.00%, 01/15/2030 | 37,898 | 42,565 | ||||||
8.00%, 01/15/2030 | 37,089 | 42,847 | ||||||
8.00%, 01/15/2030 | 10,907 | 12,515 | ||||||
8.00%, 03/15/2030 | 8,156 | 9,418 | ||||||
5.00%, 04/15/2030 | 702,000 | 760,839 | ||||||
8.00%, 04/15/2030 | 11,349 | 12,930 | ||||||
7.50%, 05/15/2030 | 8,240 | 9,348 | ||||||
7.50%, 08/15/2030 | 8,918 | 9,970 | ||||||
7.25%, 09/15/2030 | 21,922 | 24,944 | ||||||
7.00%, 10/15/2030 | 24,611 | 27,644 | ||||||
7.50%, 10/15/2030 | 73 | 73 | ||||||
7.50%, 10/15/2030 | 2,536 | 2,894 | ||||||
4.00%, 12/15/2030 | 3,895,448 | 4,041,756 | ||||||
7.25%, 12/15/2030 | 29,058 | 32,742 | ||||||
7.00%, 03/15/2031 | 16,335 | 18,246 | ||||||
6.50%, 05/15/2031 | 6,592 | 7,369 | ||||||
7.00%, 06/15/2031 | 13,523 | 15,227 | ||||||
8.50%, 06/15/2031 | 31,483 | 36,695 | ||||||
6.00%, 07/15/2031 | 10,036 | 11,013 | ||||||
7.00%, 07/15/2031 | 32,634 | 36,644 | ||||||
6.50%, 08/15/2031 | 14,437 | 15,928 | ||||||
6.50%, 08/15/2031 | 190,064 | 217,769 | ||||||
6.50%, 08/15/2031 | 17,366 | 19,066 | ||||||
6.50%, 08/15/2031 | 19,454 | 21,083 | ||||||
6.50%, 10/15/2031 | 15,964 | 17,340 | ||||||
6.50%, 01/15/2032 | 21,628 | 23,968 | ||||||
6.50%, 01/15/2032 | 27,968 | 31,018 | ||||||
3.36% (1 Month LIBOR USD + 0.90%, 0.90% Floor, 9.00% Cap), 02/15/2032(2) | 83,866 | 85,525 | ||||||
5.54%(-1 x 1 Month LIBOR USD + 8.00%, 8.00% Cap), 02/15/2032 IO(2)(5) | 75,249 | 13,197 | ||||||
6.19%(-1 x 1 Month LIBOR USD + 8.65%, 8.65% Cap), 02/15/2032 IO(2)(5) | 16,860 | 3,514 | ||||||
6.38%, 02/15/2032 | 21,319 | 22,752 | ||||||
6.50%, 02/15/2032 | 34,887 | 38,725 | ||||||
6.50%, 02/15/2032 | 36,677 | 40,674 | ||||||
11.19%(-2 x 1 Month LIBOR USD + 16.10%, 16.10% Cap), 02/15/2032(2)(5) | 42,247 | 50,404 | ||||||
13.12%(-3 x 1 Month LIBOR USD + 19.50%, 19.50% Cap), 02/15/2032(2)(5) | 38,288 | 47,826 | ||||||
5.49%(-1 x 1 Month LIBOR USD + 7.95%, 7.95% Cap), 03/15/2032 IO(2)(5) | 32,010 | 5,485 | ||||||
5.54%(-1 x 1 Month LIBOR USD + 8.00%, 8.00% Cap), 03/15/2032 IO(2)(5) | 20,882 | 3,458 | ||||||
6.50%, 03/15/2032 | 49,515 | 55,481 | ||||||
6.50%, 03/15/2032 | 46,561 | 50,703 | ||||||
7.00%, 03/15/2032 | 36,773 | 41,441 | ||||||
7.00%, 03/15/2032 | 29,690 | 33,294 | ||||||
6.50%, 04/15/2032 | 11,919 | 13,235 | ||||||
6.50%, 04/15/2032 | 110,437 | 121,117 | ||||||
6.50%, 04/15/2032 | 78,000 | 86,452 | ||||||
7.00%, 04/15/2032 | 61,417 | 68,662 | ||||||
7.00%, 04/15/2032 | 21,974 | 24,239 | ||||||
6.50%, 05/15/2032 | 35,070 | 39,175 | ||||||
7.00%, 05/15/2032 | 31,432 | 35,701 | ||||||
6.50%, 06/15/2032 | 42,882 | 47,565 | ||||||
6.50%, 06/15/2032 | 23,064 | 25,266 | ||||||
6.50%, 06/15/2032 | 34,112 | 36,926 | ||||||
6.50%, 07/15/2032 | 50,422 | 57,114 | ||||||
6.50%, 07/15/2032 | 36,620 | 40,508 | ||||||
0.00%, 09/15/2032 PO | 1,193,004 | 1,059,725 |
6.00%, 09/15/2032 | 47,652 | 52,443 | ||||||
0.00%, 12/15/2032 PO | 23,852 | 20,363 | ||||||
3.21% (1 Month LIBOR USD + 0.75%, 0.75% Floor, 8.50% Cap), 12/15/2032(2) | 47,482 | 48,371 | ||||||
6.00%, 12/15/2032 | 49,968 | 54,498 | ||||||
6.00%, 12/15/2032 | 89,956 | 99,443 | ||||||
12.71%(-2 x 1 Month LIBOR USD + 18.60%, 18.60% Cap), 12/15/2032(2)(5) | 27,993 | 34,958 | ||||||
6.00%, 01/15/2033 | 67,654 | 74,929 | ||||||
6.00%, 02/15/2033 | 221,655 | 242,325 | ||||||
6.00%, 02/15/2033 | 50,557 | 56,109 | ||||||
6.00%, 03/15/2033 | 38,202 | 40,165 | ||||||
6.50%, 03/15/2033 IO | 25,203 | 5,725 | ||||||
10.35%(-2 x 1 Month LIBOR USD + 14.85%, 14.85% Cap), 06/15/2033(2)(5) | 88,243 | 104,289 | ||||||
5.00%, 07/15/2033 | 612,721 | 661,247 | ||||||
5.63%(-1 x 1 Month LIBOR USD + 6.80%, 4.00% Floor, 6.80% Cap), 07/15/2033(2)(5) | 462 | 507 | ||||||
8.38%(-2 x 1 Month LIBOR USD + 13.29%, 13.29% Cap), 07/15/2033(2)(5) | 27,228 | 31,017 | ||||||
3.00%, 08/15/2033 | 495,000 | 484,534 | ||||||
10.26%(-2 x 1 Month LIBOR USD + 14.76%, 14.76% Cap), 09/15/2033(2)(5) | 24,736 | 29,311 | ||||||
5.80%(-1 x 1 Month LIBOR USD + 8.01%, 8.01% Cap), 10/15/2033(2)(5) | 704,172 | 758,137 | ||||||
11.10%(-2 x 1 Month LIBOR USD + 16.50%, 16.50% Cap), 11/15/2033(2)(5) | 12,063 | 15,000 | ||||||
3.06% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 9.50% Cap), 12/15/2033(2) | 191,190 | 192,266 | ||||||
5.00%, 01/15/2034 | 305,999 | 330,378 | ||||||
5.50%, 02/15/2034 | 6,295 | 6,460 | ||||||
6.00%, 05/15/2034 | 171,781 | 185,083 | ||||||
15.49%(-4 x 1 Month LIBOR USD + 24.49%, 24.49% Cap), 06/15/2034(2)(5) | 59,826 | 67,695 | ||||||
0.00%, 07/15/2034 PO | 126,877 | 108,830 | ||||||
4.68% (1 Month LIBOR USD + 0.00%, 8.32% Cap), 07/15/2034(2)(5) | 49,560 | 52,108 | ||||||
0.00%, 02/15/2035 PO | 38,496 | 34,351 | ||||||
6.00%, 02/15/2035 | 409,682 | 442,187 | ||||||
17.36%(-4 x 1 Month LIBOR USD + 28.16%, 28.16% Cap), 02/15/2035(2)(5) | 49,863 | 60,642 | ||||||
0.00%, 04/15/2035 PO | 60,157 | 54,839 | ||||||
6.00%, 04/15/2035 | 1,057,000 | 1,168,629 | ||||||
2.86% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 6.50% Cap), 05/15/2035(2) | 66,322 | 66,496 | ||||||
2.76% (1 Month LIBOR USD + 0.30%, 0.30% Floor, 6.50% Cap), 06/15/2035(2) | 79,569 | 79,438 | ||||||
10.69%(-3 x 1 Month LIBOR USD + 17.03%, 17.03% Cap), 06/15/2035(2)(5) | 2,433 | 2,843 | ||||||
0.00%, 08/15/2035 PO | 7,560 | 6,803 | ||||||
3.26% (1 Month LIBOR USD + 0.80%, 0.80% Floor, 7.50% Cap), 08/15/2035(2) | 64,594 | 65,928 | ||||||
0.00%, 09/15/2035 PO | 27,935 | 25,261 | ||||||
11.82%(-3 x 1 Month LIBOR USD + 20.00%, 20.00% Cap), 11/15/2035(2)(5) | 38,423 | 48,511 | ||||||
6.00%, 01/15/2036 | 144,883 | 158,584 | ||||||
15.56%(-4 x 1 Month LIBOR USD + 24.57%, 24.57% Cap), 01/15/2036(2)(5) | 9,634 | 12,911 | ||||||
0.00%, 02/15/2036 PO | 106,015 | 96,003 | ||||||
0.00%, 02/15/2036 PO | 35,399 | 31,687 | ||||||
0.00%, 02/15/2036 PO | 27,511 | 23,463 | ||||||
0.00%, 02/15/2036 PO | 31,667 | 27,142 | ||||||
0.00%, 03/15/2036 PO | 60,190 | 54,448 | ||||||
0.00%, 03/15/2036 PO | 64,601 | 57,117 | ||||||
0.00%, 03/15/2036 PO | 7,892 | 6,929 | ||||||
6.00%, 03/15/2036 | 2,399 | 3,316 | ||||||
0.00%, 04/15/2036 PO | 142,055 | 121,976 | ||||||
0.00%, 04/15/2036 PO | 77,425 | 65,454 | ||||||
0.00%, 04/15/2036 PO | 42,112 | 36,922 | ||||||
0.00%, 04/15/2036 PO | 127,835 | 116,066 | ||||||
6.00%, 04/15/2036 | 776,701 | 866,402 | ||||||
6.00%, 04/15/2036 IO | 78,429 | 16,177 | ||||||
6.00%, 04/15/2036 | 92,218 | 102,050 | ||||||
0.00%, 05/15/2036 PO | 59,758 | 50,296 | ||||||
0.00%, 05/15/2036 PO | 41,470 | 35,460 |
0.00%, 05/15/2036 PO | 11,828 | 10,125 | ||||||
0.00%, 05/15/2036 PO | 14,292 | 11,047 | ||||||
2.91% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap), 05/15/2036(2) | 537,033 | 539,617 | ||||||
2.96% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 05/15/2036(2) | 184,566 | 185,223 | ||||||
0.00%, 06/15/2036 PO | 122,770 | 109,855 | ||||||
6.00%, 06/15/2036 | 25,365 | 27,360 | ||||||
12.91%(-3 x 1 Month LIBOR USD + 19.66%, 19.66% Cap), 06/15/2036(2)(5) | 23,491 | 29,552 | ||||||
0.00%, 07/15/2036 PO | 28,966 | 25,197 | ||||||
4.64%(-1 x 1 Month LIBOR USD + 7.10%, 7.10% Cap), 07/15/2036 IO(2)(5) | 10,466 | 602 | ||||||
6.50%, 07/15/2036 | 87,783 | 97,088 | ||||||
6.50%, 07/15/2036 | 115,917 | 127,037 | ||||||
0.00%, 08/15/2036 PO | 41,942 | 36,423 | ||||||
4.19%(-1 x 1 Month LIBOR USD + 6.65%, 6.65% Cap), 08/15/2036 IO(2)(5) | 624,147 | 85,494 | ||||||
5.50%, 08/15/2036 | 183,256 | 199,813 | ||||||
5.50%, 08/15/2036 | 65,341 | 68,587 | ||||||
0.00%, 09/15/2036 PO | 18,588 | 14,456 | ||||||
0.00%, 09/15/2036 PO | 23,060 | 20,940 | ||||||
0.00%, 10/15/2036 PO | 47,140 | 40,633 | ||||||
4.24%(-1 x 1 Month LIBOR USD + 6.70%, 6.70% Cap), 10/15/2036 IO(2)(5) | 67,047 | 9,765 | ||||||
7.50%, 11/15/2036 | 601,731 | 687,886 | ||||||
0.00%, 12/15/2036 PO | 23,617 | 20,191 | ||||||
7.00%, 12/15/2036 | 1,487,714 | 1,690,627 | ||||||
7.50%, 12/15/2036 | 523,207 | 611,694 | ||||||
0.00%, 01/15/2037 PO | 24,673 | 20,991 | ||||||
3.68%(-1 x 1 Month LIBOR USD + 6.14%, 6.14% Cap), 01/15/2037 IO(2)(5) | 41,178 | 5,648 | ||||||
0.00%, 02/15/2037 PO | 66,755 | 59,607 | ||||||
0.00%, 02/15/2037 PO | 7,243 | 6,438 | ||||||
2.90% (1 Month LIBOR USD + 0.44%, 0.44% Floor, 6.50% Cap), 02/15/2037(2) | 42,510 | 42,577 | ||||||
6.00%, 02/15/2037 | 77,097 | 83,519 | ||||||
0.00%, 03/15/2037 PO | 12,430 | 11,590 | ||||||
3.99%(-1 x 1 Month LIBOR USD + 6.45%, 6.45% Cap), 03/15/2037 IO(2)(5) | 68,555 | 9,058 | ||||||
9.00%(-12 x 1 Month LIBOR USD + 70.64%, 9.00% Cap), 03/15/2037(2)(5) | 22,824 | 26,552 | ||||||
0.00%, 04/15/2037 PO | 29,637 | 25,203 | ||||||
6.00%, 04/15/2037 | 72,943 | 79,969 | ||||||
0.00%, 05/15/2037 PO | 47,730 | 43,019 | ||||||
0.00%, 05/15/2037 PO | 1,879 | 1,692 | ||||||
0.00%, 05/15/2037 PO | 262,335 | 222,131 | ||||||
6.00%, 05/15/2037 | 85,733 | 86,888 | ||||||
0.00%, 06/15/2037 PO | 25,959 | 23,072 | ||||||
0.00%, 06/15/2037 PO | 5,417 | 4,809 | ||||||
0.00%, 07/15/2037 PO | 341,016 | 293,884 | ||||||
2.70% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 9,999.00% Cap), 07/15/2037(2) | 1,006,440 | 1,003,525 | ||||||
4.14%(-1 x 1 Month LIBOR USD + 6.60%, 6.60% Cap), 07/15/2037 IO(2)(5) | 52,158 | 5,888 | ||||||
4.00%, 08/15/2037 IO | 141,844 | 2,540 | ||||||
0.00%, 09/15/2037 PO | 37,029 | 33,815 | ||||||
3.06% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 7.00% Cap), 09/15/2037(2) | 18,403 | 18,526 | ||||||
4.00%, 10/15/2037 IO | 50,267 | 367 | ||||||
3.14% (1 Month LIBOR USD + 0.68%, 0.68% Floor, 7.00% Cap), 11/15/2037(2) | 729,554 | 739,286 | ||||||
3.96%(-1 x 1 Month LIBOR USD + 6.42%, 6.42% Cap), 11/15/2037 IO(2)(5) | 285,436 | 26,742 | ||||||
3.99%(-1 x 1 Month LIBOR USD + 6.45%, 6.45% Cap), 11/15/2037 IO(2)(5) | 197,422 | 20,276 | ||||||
3.54%(-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap), 01/15/2038 IO(2)(5) | 361,760 | 44,189 | ||||||
11.31%(-3 x 1 Month LIBOR USD + 17.45%, 17.45% Cap), 02/15/2038(2)(5) | 13,106 | 14,781 | ||||||
5.50%, 03/15/2038 | 488,615 | 533,923 | ||||||
4.34%(-1 x 1 Month LIBOR USD + 6.80%, 6.80% Cap), 04/15/2038 IO(2)(5) | 152,976 | 19,987 | ||||||
5.50%, 05/15/2038 | 47,819 | 50,612 | ||||||
3.74%(-1 x 1 Month LIBOR USD + 6.20%, 6.20% Cap), 06/15/2038 IO(2)(5) | 155,139 | 19,906 | ||||||
6.00%, 06/15/2038 | 14,852 | 16,298 |
3.39%(-1 x 1 Month LIBOR USD + 5.85%, 5.85% Cap), 08/15/2038 IO(2)(5) | 261,093 | 28,802 | ||||||
5.72%, 10/15/2038(4) | 117,762 | 126,332 | ||||||
5.50%, 01/15/2039 | 212,510 | 231,049 | ||||||
3.54%(-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap), 02/15/2039 IO(2)(5) | 101,993 | 12,487 | ||||||
4.10%, 02/15/2039(4) | 89,020 | 91,247 | ||||||
2.86% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 6.50% Cap), 04/15/2039(2) | 419,301 | 420,712 | ||||||
2.91% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 6.50% Cap), 05/15/2039(2) | 436,334 | 435,053 | ||||||
3.64%(-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap), 05/15/2039 IO(2)(5) | 30,353 | 1,572 | ||||||
3.84%(-1 x 1 Month LIBOR USD + 6.30%, 6.30% Cap), 05/15/2039 IO(2)(5) | 132,856 | 7,402 | ||||||
3.66% (1 Month LIBOR USD + 1.20%, 1.20% Floor, 7.00% Cap), 07/15/2039(2) | 37,468 | 38,358 | ||||||
4.50%, 07/15/2039 | 647,177 | 670,518 | ||||||
2.91% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 6.50% Cap), 08/15/2039(2) | 117,733 | 118,034 | ||||||
3.50%, 08/15/2039 | 523,176 | 531,789 | ||||||
0.00%, 10/15/2039 PO | 121,204 | 100,955 | ||||||
5.00%, 10/15/2039 IO | 332,514 | 40,512 | ||||||
3.79%(-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap), 12/15/2039 IO(2)(5) | 117,311 | 14,760 | ||||||
0.00%, 01/15/2040 PO | 119,002 | 103,030 | ||||||
1.44%, 01/15/2040 IO(4)(5) | 994,552 | 40,647 | ||||||
9.32%(-3 x 1 Month LIBOR USD + 17.50%, 17.50% Cap), 02/15/2040(2)(5) | 380,782 | 447,932 | ||||||
4.00%, 03/15/2040 | 967,558 | 995,468 | ||||||
3.50%, 09/15/2040 | 950,797 | 963,311 | ||||||
2.96% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap), 10/15/2040(2) | 164,413 | 165,316 | ||||||
3.54%(-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap), 10/15/2040 IO(2)(5) | 557,534 | 77,182 | ||||||
3.54%(-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap), 10/15/2040 IO(2)(5) | 404,321 | 48,863 | ||||||
3.01% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.50% Cap), 12/15/2040(2) | 1,588,614 | 1,599,897 | ||||||
5.00%, 12/15/2040 | 1,271,673 | 1,372,043 | ||||||
3.01% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.50% Cap), 03/15/2041(2) | 1,209,258 | 1,223,933 | ||||||
5.00%, 05/15/2041 | 1,239,469 | 1,401,251 | ||||||
5.50%(-4 x 1 Month LIBOR USD + 27.21%, 5.50% Cap), 05/15/2041(2)(5) | 287,803 | 292,845 | ||||||
5.50%(-4 x 1 Month LIBOR USD + 27.50%, 5.50% Cap), 05/15/2041(2)(5) | 874,772 | 942,574 | ||||||
4.00%, 07/15/2041 | 1,082,503 | 1,126,341 | ||||||
2.86% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.00% Cap), 10/15/2041(2) | 796,908 | 800,133 | ||||||
4.00%, 11/15/2041 | 644,292 | 665,543 | ||||||
4.00%, 12/15/2041 | 379,962 | 398,124 | ||||||
2.96% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap), 03/15/2042(2) | 905,009 | 911,656 | ||||||
2.96% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 07/15/2042(2) | 435,200 | 436,228 | ||||||
2.91% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap), 08/15/2042(2) | 2,303,455 | 2,332,227 | ||||||
2.86% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.00% Cap), 09/15/2042(2) | 840,861 | 836,044 | ||||||
3.00%, 06/15/2043 | 206,000 | 194,455 | ||||||
4.50%, 09/15/2043 | 1,000,000 | 1,090,927 | ||||||
4.00%, 05/15/2044 | 5,543,643 | 5,715,748 | ||||||
3.50%, 10/15/2045 | 18,772,803 | 19,066,398 | ||||||
3.75%, 02/15/2046(1) | 838,943 | 846,345 | ||||||
7.35%, 11/15/2046(4) | 743,925 | 850,926 | ||||||
3.50%, 06/15/2048 | 4,429,397 | 4,483,913 | ||||||
0.00%, 10/15/2049 PO | 379,934 | 339,196 | ||||||
3.50%, 10/15/2053 | 9,790,717 | 9,904,222 | ||||||
Freddie Mac Strips | ||||||||
4.50%, 11/15/2020 IO | 5,737 | 75 | ||||||
4.50%, 12/15/2020 IO | 4,640 | 95 | ||||||
9.00%, 04/01/2022 IO | 55 | 5 | ||||||
0.00%, 04/01/2028 PO | 69,668 | 62,647 | ||||||
5.00%, 09/15/2035 IO | 142,716 | 26,482 | ||||||
5.00%, 09/15/2035 IO | 120,423 | 25,794 | ||||||
5.00%, 09/15/2035 IO | 224,576 | 45,775 | ||||||
5.24%(-1 x 1 Month LIBOR USD + 7.70%, 7.70% Cap), 08/01/2036 IO(2)(5) | 418,605 | 69,592 | ||||||
3.01% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.50% Cap), 07/15/2042(2) | 2,618,605 | 2,634,389 |
3.50%, 07/15/2042 | 6,180,778 | 6,248,985 | ||||||
2.96% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 08/15/2042(2) | 1,662,581 | 1,692,122 | ||||||
3.00%, 08/15/2042 | 2,028,099 | 1,993,804 | ||||||
3.01% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.50% Cap), 08/15/2042(2) | 1,484,472 | 1,493,368 | ||||||
3.00%, 01/15/2043 | 513,361 | 511,440 | ||||||
0.00%, 09/15/2043 PO | 1,022,828 | 823,383 | ||||||
Freddie Mac Structured Pass-Through Certificates | ||||||||
5.49%, 07/25/2032(4) | 62,055 | 66,132 | ||||||
4.97%, 07/25/2033(4) | 181,910 | 190,306 | ||||||
2.49%, 10/25/2037(4) | 1,352,690 | 1,415,754 | ||||||
7.50%, 02/25/2042 | 247,688 | 288,274 | ||||||
7.50%, 08/25/2042(4) | 42,239 | 50,046 | ||||||
6.50%, 02/25/2043 | 252,127 | 288,269 | ||||||
7.00%, 02/25/2043 | 81,815 | 93,386 | ||||||
5.23%, 05/25/2043 | 578,023 | 624,601 | ||||||
0.00%, 07/25/2043 PO | 22,577 | 18,941 | ||||||
7.50%, 07/25/2043 | 58,808 | 69,353 | ||||||
0.00%, 09/25/2043 PO | 25,536 | 20,408 | ||||||
7.50%, 09/25/2043 | 325,503 | 375,615 | ||||||
0.00%, 10/25/2043 PO | 29,470 | 15,247 | ||||||
7.00%, 10/25/2043 | 331,689 | 381,723 | ||||||
3.36% (12 Month US Treasury Average + 1.20%, 1.20% Floor), 10/25/2044(2) | 570,490 | 573,831 | ||||||
FREMF2013-K25 Mortgage Trust | ||||||||
3.62%, 11/25/2045(3)(4) | 2,000,000 | 1,964,572 | ||||||
FREMF2013-K35 Mortgage Trust | ||||||||
3.94%, 12/25/2046(3)(4) | 2,951,000 | 2,883,618 | ||||||
FREMF2014-K40 Mortgage Trust | ||||||||
4.07%, 11/25/2047(3)(4) | 2,273,000 | 2,218,722 | ||||||
FREMF2014-K41 Mortgage Trust | ||||||||
3.83%, 11/25/2047(3)(4) | 6,000,000 | 5,707,303 | ||||||
FREMF2015-K44 Mortgage Trust | ||||||||
3.68%, 01/25/2048(3)(4) | 3,510,000 | 3,420,998 | ||||||
FREMF2015-K45 Mortgage Trust | ||||||||
3.59%, 04/25/2048(3)(4) | 2,135,000 | 2,072,290 | ||||||
FREMF2015-K49 Mortgage Trust | ||||||||
3.72%, 10/25/2048(3)(4) | 4,000,000 | 3,810,484 | ||||||
FREMF2015-K51 Mortgage Trust | ||||||||
3.95%, 10/25/2048(3)(4) | 1,500,000 | 1,441,170 | ||||||
FREMF 2015-K720 Mortgage Trust | ||||||||
3.39%, 08/25/2047(3)(4) | 4,000,000 | 3,973,576 | ||||||
FREMF2016-K59 Mortgage Trust | ||||||||
3.58%, 11/25/2049(3)(4) | 2,450,000 | 2,349,972 | ||||||
FREMF 2016-K722 Mortgage Trust | ||||||||
3.84%, 07/25/2049(3)(4) | 1,845,000 | 1,873,673 | ||||||
Ginnie Mae I Pool | ||||||||
9.00%, 02/15/2020 | 13 | 13 | ||||||
7.50%, 11/15/2022 | 57 | 57 | ||||||
7.50%, 03/15/2023 | 203 | 210 | ||||||
7.00%, 08/15/2023 | 238 | 241 | ||||||
7.00%, 09/15/2023 | 9,295 | 9,640 | ||||||
7.00%, 11/15/2023 | 570 | 597 | ||||||
6.50%, 01/15/2024 | 3,032 | 3,264 | ||||||
7.00%, 02/15/2024 | 5,972 | 6,190 | ||||||
9.50%, 10/15/2024 | 10,694 | 11,078 | ||||||
9.00%, 11/15/2024 | 355 | 367 | ||||||
9.50%, 12/15/2025 | 1,104 | 1,130 | ||||||
7.50%, 11/15/2026 | 972 | 986 |
7.50%, 07/15/2027 | 1,576 | 1,610 | ||||||
6.50%, 03/15/2028 | 7,414 | 7,982 | ||||||
7.50%, 07/15/2028 | 688 | 697 | ||||||
8.00%, 08/15/2028 | 1,291 | 1,293 | ||||||
6.50%, 09/15/2028 | 15,667 | 16,868 | ||||||
7.50%, 09/15/2028 | 3,889 | 4,185 | ||||||
6.50%, 10/15/2028 | 1,003 | 1,080 | ||||||
6.00%, 11/15/2028 | 9,807 | 10,526 | ||||||
7.00%, 09/15/2031 | 85,708 | 98,645 | ||||||
6.50%, 01/15/2032 | 63,968 | 72,447 | ||||||
6.50%, 07/15/2032 | 2,410 | 2,595 | ||||||
6.50%, 02/15/2033 | 12,472 | 13,428 | ||||||
7.00%, 02/15/2033 | 5,823 | 6,364 | ||||||
5.50%, 04/15/2033 | 285,631 | 309,039 | ||||||
6.50%, 04/15/2033 | 6,200 | 6,676 | ||||||
5.50%, 06/15/2033 | 3,317 | 3,585 | ||||||
7.00%, 06/15/2033 | 19,145 | 22,278 | ||||||
5.50%, 12/15/2033 | 11,565 | 12,511 | ||||||
5.50%, 07/15/2034 | 7,006 | 7,574 | ||||||
5.50%, 09/15/2034 | 15,833 | 16,856 | ||||||
7.00%, 06/15/2035 | 225,558 | 256,765 | ||||||
6.50%, 12/15/2035 | 76,437 | 86,142 | ||||||
7.00%, 04/15/2037 | 35,665 | 39,938 | ||||||
7.50%, 10/15/2037 | 38,883 | 46,009 | ||||||
4.00%, 06/15/2039 | 491,331 | 503,632 | ||||||
4.50%, 04/15/2040 | 2,783,968 | 2,906,838 | ||||||
4.00%, 10/15/2040 | 284,877 | 293,558 | ||||||
3.50%, 01/15/2042 | 5,475,169 | 5,538,258 | ||||||
3.50%, 03/15/2043 | 1,336,641 | 1,351,919 | ||||||
3.50%, 04/15/2043 | 4,769,245 | 4,838,381 | ||||||
3.00%, 05/15/2043 | 689,816 | 684,239 | ||||||
3.50%, 06/15/2043 | 1,759,595 | 1,779,823 | ||||||
3.50%, 07/15/2043 | 673,565 | 681,211 | ||||||
Ginnie Mae II pool | ||||||||
4.00%, 11/20/2044 | 2,913,570 | 3,005,984 | ||||||
3.00%, 07/20/2045 | 3,289,067 | 3,246,804 | ||||||
Ginnie Mae II Pool | ||||||||
8.50%, 03/20/2025 | 234 | 240 | ||||||
8.50%, 04/20/2025 | 1,523 | 1,634 | ||||||
8.50%, 05/20/2025 | 3,567 | 3,807 | ||||||
8.00%, 12/20/2025 | 621 | 668 | ||||||
8.00%, 06/20/2026 | 1,436 | 1,567 | ||||||
8.00%, 08/20/2026 | 1,112 | 1,249 | ||||||
8.00%, 09/20/2026 | 1,284 | 1,470 | ||||||
8.00%, 11/20/2026 | 1,024 | 1,149 | ||||||
8.00%, 10/20/2027 | 2,686 | 2,977 | ||||||
8.00%, 11/20/2027 | 2,175 | 2,399 | ||||||
8.00%, 12/20/2027 | 993 | 1,084 | ||||||
7.50%, 02/20/2028 | 1,407 | 1,538 | ||||||
6.00%, 03/20/2028 | 6,936 | 7,587 | ||||||
8.00%, 06/20/2028 | 536 | 541 | ||||||
8.00%, 08/20/2028 | 134 | 138 | ||||||
7.50%, 09/20/2028 | 4,824 | 5,361 | ||||||
8.00%, 09/20/2028 | 369 | 377 | ||||||
6.50%, 07/20/2029 | 75,413 | 84,549 | ||||||
6.00%, 11/20/2033 | 5,140 | 5,577 | ||||||
5.00%, 10/20/2037 | 326,091 | 343,659 |
7.00%, 08/20/2038 | 29,327 | 33,145 | ||||||
6.00%, 09/20/2038 | 514,477 | 555,282 | ||||||
6.00%, 11/20/2038 | 5,651 | 5,836 | ||||||
6.00%, 08/20/2039 | 266,518 | 293,240 | ||||||
5.50%, 09/20/2039 | 163,767 | 173,074 | ||||||
4.50%, 06/20/2040 | 923,416 | 969,028 | ||||||
5.00%, 07/20/2040 | 231,821 | 247,215 | ||||||
4.00%, 10/20/2040 | 2,641,279 | 2,728,515 | ||||||
5.00%, 01/15/2041(6) | 10,090,000 | 10,496,958 | ||||||
4.50%, 01/20/2041 | 724,978 | 760,778 | ||||||
4.50%, 03/20/2041 | 687,858 | 721,825 | ||||||
4.50%, 05/20/2041 | 343,001 | 359,915 | ||||||
4.50%, 06/20/2041 | 2,424,434 | 2,543,848 | ||||||
4.50%, 09/20/2041 | 752,693 | 789,706 | ||||||
4.00%, 01/15/2042(6) | 36,030,000 | 36,897,165 | ||||||
4.50%, 01/15/2042(6) | 16,795,000 | 17,379,042 | ||||||
3.00%, 06/20/2042 | 380,665 | 377,696 | ||||||
4.00%, 06/20/2042 | 3,401,368 | 3,512,911 | ||||||
3.00%, 08/20/2042 | 5,161,634 | 5,121,377 | ||||||
3.50%, 10/20/2042 | 5,828,131 | 5,898,181 | ||||||
4.00%, 10/20/2042 | 6,845,369 | 7,066,872 | ||||||
3.00%, 11/20/2042 | 2,857,814 | 2,835,525 | ||||||
3.50%, 11/20/2042 | 2,004,015 | 2,028,112 | ||||||
3.00%, 12/20/2042 | 1,450,863 | 1,439,548 | ||||||
4.00%, 12/20/2042 | 3,301,340 | 3,408,405 | ||||||
3.00%, 01/15/2043(6) | 14,380,000 | 14,148,604 | ||||||
3.50%, 01/15/2043(6) | 27,460,000 | 27,647,268 | ||||||
3.00%, 01/20/2043 | 1,473,543 | 1,462,051 | ||||||
4.00%, 02/20/2043 | 1,552,002 | 1,602,670 | ||||||
3.00%, 04/20/2043 | 3,712,866 | 3,683,907 | ||||||
3.50%, 05/20/2043 | 1,356,269 | 1,372,589 | ||||||
3.00%, 09/20/2043 | 1,123,480 | 1,114,715 | ||||||
4.50%, 09/20/2043 | 1,986,958 | 2,083,607 | ||||||
3.00%, 10/20/2043 | 166,360 | 165,062 | ||||||
4.00%, 10/20/2043 | 5,264,092 | 5,431,053 | ||||||
4.50%, 10/20/2043 | 3,764,894 | 3,948,168 | ||||||
4.50%, 12/20/2043 | 1,970,696 | 2,066,868 | ||||||
3.00%, 01/20/2044 | 1,005,628 | 997,776 | ||||||
5.00%, 06/20/2044 | 966,869 | 1,020,875 | ||||||
3.00%, 07/20/2044 | 468,037 | 463,880 | ||||||
5.00%, 07/20/2044 | 852,408 | 900,137 | ||||||
3.00%, 12/20/2044 | 896,318 | 887,584 | ||||||
4.00%, 12/20/2044 | 714,128 | 736,763 | ||||||
3.50%, 03/20/2045 | 2,033,468 | 2,051,655 | ||||||
4.00%, 03/20/2045 | 404,698 | 417,530 | ||||||
3.00%, 04/20/2045 | 8,359,558 | 8,254,728 | ||||||
3.50%, 04/20/2045 | 16,259,685 | 16,405,110 | ||||||
3.00%, 05/20/2045 | 1,459,925 | 1,441,466 | ||||||
4.00%, 05/20/2045 | 6,916,803 | 7,136,026 | ||||||
3.50%, 07/20/2045 | 6,710,066 | 6,770,082 | ||||||
5.00%, 08/20/2045 | 1,073,090 | 1,132,647 | ||||||
3.00%, 10/20/2045 | 3,704,851 | 3,656,481 | ||||||
3.50%, 10/20/2045 | 13,084,602 | 13,201,638 | ||||||
3.00%, 11/20/2045 | 872,258 | 860,690 | ||||||
4.00%, 11/20/2045 | 5,736,952 | 5,918,695 | ||||||
4.00%, 01/20/2046 | 1,358,631 | 1,396,666 | ||||||
4.50%, 01/20/2046 | 3,352,532 | 3,515,618 |
4.00%, 03/20/2046 | 1,479,199 | 1,522,360 | ||||||
3.00%, 04/20/2046 | 9,007,951 | 8,881,986 | ||||||
3.50%, 04/20/2046 | 40,120,832 | 40,461,169 | ||||||
4.00%, 04/20/2046 | 3,913,669 | 4,015,995 | ||||||
3.00%, 05/20/2046 | 369,958 | 364,841 | ||||||
4.00%, 05/20/2046 | 6,770,974 | 6,960,505 | ||||||
3.50%, 06/20/2046 | 4,728,712 | 4,775,355 | ||||||
4.00%, 06/20/2046 | 3,117,888 | 3,207,140 | ||||||
3.00%, 07/20/2046 | 7,090,693 | 6,988,249 | ||||||
3.50%, 07/20/2046 | 25,026,511 | 25,219,539 | ||||||
4.50%, 07/20/2046 | 1,714,708 | 1,797,875 | ||||||
3.00%, 08/20/2046 | 17,981,196 | 17,718,630 | ||||||
3.00%, 09/20/2046 | 2,404,613 | 2,370,603 | ||||||
4.50%, 09/20/2046 | 3,081,993 | 3,230,472 | ||||||
5.00%, 09/20/2046 | 2,745,116 | 2,895,961 | ||||||
3.50%, 11/20/2046 | 190,139 | 191,524 | ||||||
4.00%, 11/20/2046 | 2,985,226 | 3,077,855 | ||||||
4.50%, 11/20/2046 | 5,381,303 | 5,662,775 | ||||||
2.50%, 12/20/2046 | 3,425,578 | 3,281,856 | ||||||
3.50%, 12/20/2046 | 10,069,024 | 10,142,389 | ||||||
3.00%, 01/20/2047 | 5,418,183 | 5,335,450 | ||||||
3.50%, 01/20/2047 | 1,418,078 | 1,428,410 | ||||||
3.00%, 02/20/2047 | 7,450,321 | 7,336,434 | ||||||
3.50%, 02/20/2047 | 11,343,732 | 11,426,385 | ||||||
4.00%, 02/20/2047 | 5,206,713 | 5,335,664 | ||||||
3.00%, 03/20/2047 | 819,825 | 807,763 | ||||||
3.50%, 03/20/2047 | 11,514,221 | 11,598,117 | ||||||
4.00%, 03/20/2047 | 11,992,450 | 12,312,788 | ||||||
4.50%, 03/20/2047 | 1,230,584 | 1,285,026 | ||||||
3.00%, 04/20/2047 | 11,838,475 | 11,656,362 | ||||||
3.00%, 05/20/2047 | 1,853,067 | 1,824,668 | ||||||
4.00%, 05/20/2047 | 966,211 | 990,141 | ||||||
3.00%, 06/20/2047 | 5,649,400 | 5,562,201 | ||||||
3.00%, 07/20/2047 | 21,405,265 | 21,072,898 | ||||||
4.50%, 07/20/2047 | 12,565,685 | 13,011,031 | ||||||
3.00%, 08/20/2047 | 7,694,409 | 7,574,124 | ||||||
3.50%, 08/20/2047 | 3,613,626 | 3,639,956 | ||||||
4.50%, 08/20/2047 | 3,401,860 | 3,522,427 | ||||||
4.00%, 09/20/2047 | 11,227,826 | 11,531,478 | ||||||
5.00%, 10/20/2047 | 661,181 | 688,453 | ||||||
5.00%, 11/20/2047 | 2,909,498 | 3,029,508 | ||||||
4.25%, 12/20/2047 | 1,893,467 | 1,963,956 | ||||||
4.50%, 01/20/2048 | 3,103,168 | 3,213,149 | ||||||
4.50%, 02/20/2048 | 23,848,566 | 24,748,540 | ||||||
4.50%, 03/20/2048 | 1,629,400 | 1,687,148 | ||||||
4.50%, 04/20/2048 | 4,610,933 | 4,815,962 | ||||||
4.50%, 04/20/2048 | 2,030,261 | 2,109,837 | ||||||
4.50%, 04/20/2048 | 2,900,070 | 3,021,023 | ||||||
4.50%, 05/20/2048 | 6,829,613 | 7,133,304 | ||||||
4.50%, 05/20/2048 | 3,358,173 | 3,498,229 | ||||||
4.50%, 05/20/2048 | 11,358,649 | 11,832,393 | ||||||
5.00%, 06/20/2048 | 5,462,256 | 5,752,392 | ||||||
5.00%, 07/20/2048 | 7,497,367 | 7,895,596 | ||||||
5.00%, 07/20/2048 | 1,437,743 | 1,514,110 | ||||||
4.50%, 09/20/2048 | 993,238 | 1,028,515 | ||||||
4.50%, 10/20/2048 | 16,324,371 | 16,902,931 | ||||||
4.45%, 05/20/2063(4) | 386,776 | 392,099 |
GMACM Mortgage Loan Trust2003-AR2 | ||||||||
4.80%, 12/19/2033(4) | 186,096 | 186,651 | ||||||
GMACM Mortgage Loan Trust2003-J8 | ||||||||
5.25%, 12/25/2033 | 8,310 | 8,406 | ||||||
GMACM Mortgage Loan Trust2005-AR3 | ||||||||
3.91%, 06/19/2035(4) | 107,365 | 104,688 | ||||||
Gosforth Funding2018-1 Plc | ||||||||
3.14% (3 Month LIBOR USD + 0.45%), 08/24/2060(2)(3) | 8,359,682 | 8,331,326 | ||||||
Government National Mortgage Association | ||||||||
5.00%, 04/16/2023 | 53,915 | 53,848 | ||||||
6.50%, 10/16/2024 | 98,857 | 98,718 | ||||||
6.00%, 02/20/2029 | 103,648 | 103,500 | ||||||
6.14%(-1 x 1 Month LIBOR USD + 8.60%, 8.60% Cap), 08/16/2029 IO(2)(5) | 12,055 | 141 | ||||||
5.04%(-1 x 1 Month LIBOR USD + 7.50%, 7.50% Cap), 04/16/2030 IO(2)(5) | 91,470 | 872 | ||||||
9.00%, 10/20/2030 | 20,241 | 23,590 | ||||||
9.00%, 11/16/2030 IO | 1,275 | 0 | ||||||
9.00%, 11/20/2030 | 12,797 | 15,001 | ||||||
6.24%(-1 x 1 Month LIBOR USD + 8.70%, 8.70% Cap), 01/16/2031 IO(2)(5) | 7,516 | 61 | ||||||
6.09%(-1 x 1 Month LIBOR USD + 8.55%, 8.55% Cap), 03/16/2031 IO(2)(5) | 6,430 | 16 | ||||||
14.62%(-3 x 1 Month LIBOR USD + 21.01%, 21.01% Cap), 03/17/2031(2)(5) | 55,390 | 56,546 | ||||||
5.59%(-1 x 1 Month LIBOR USD + 8.05%, 8.05% Cap), 08/16/2031 IO(2)(5) | 14,551 | 156 | ||||||
5.79%(-1 x 1 Month LIBOR USD + 8.25%, 8.25% Cap), 08/16/2031 IO(2)(5) | 15,790 | 174 | ||||||
5.49%(-1 x 1 Month LIBOR USD + 7.95%, 7.95% Cap), 04/16/2032 IO(2)(5) | 54,529 | 570 | ||||||
8.24%(-2 x 1 Month LIBOR USD + 11.93%, 11.93% Cap), 04/16/2032(2)(5) | 5,228 | 5,537 | ||||||
9.00%(-8 x 1 Month LIBOR USD + 66.27%, 9.00% Cap), 06/16/2032(2)(5) | 1,802 | 2,070 | ||||||
6.50%, 06/20/2032 | 217,367 | 218,252 | ||||||
6.50%, 07/16/2032 | 64,437 | 64,721 | ||||||
6.00%, 07/20/2032 | 21,744 | 21,815 | ||||||
6.50%, 07/20/2032 | 75,286 | 75,597 | ||||||
6.50%, 07/20/2032 | 112,245 | 112,702 | ||||||
10.20%(-2 x 1 Month LIBOR USD + 14.70%, 14.70% Cap), 11/17/2032(2)(5) | 14,165 | 15,285 | ||||||
6.00%, 11/20/2032 | 146,000 | 153,659 | ||||||
0.00%, 12/20/2032 PO | 54,850 | 53,259 | ||||||
5.50%, 01/16/2033 | 419,805 | 451,840 | ||||||
6.50%, 01/20/2033 | 112,397 | 123,752 | ||||||
5.24%(-1 x 1 Month LIBOR USD + 7.70%, 7.70% Cap), 02/16/2033 IO(2)(5) | 48,070 | 5,077 | ||||||
0.00%, 02/17/2033 PO | 23,918 | 23,218 | ||||||
5.23%(-1 x 1 Month LIBOR USD + 7.70%, 7.70% Cap), 02/20/2033 IO(2)(5) | 25,202 | 4,380 | ||||||
0.00%, 03/16/2033 PO | 8,402 | 7,654 | ||||||
4.84%(-1 x 1 Month LIBOR USD + 7.67%, 7.67% Cap), 03/17/2033(2)(5) | 3,436 | 3,435 | ||||||
6.50%, 03/20/2033 | 62,654 | 67,612 | ||||||
6.50%, 03/20/2033 | 213,517 | 234,042 | ||||||
5.50%, 04/20/2033 | 239,789 | 255,633 | ||||||
6.50%, 05/20/2033 | 82,993 | 90,933 | ||||||
0.00%, 06/16/2033 PO | 42,403 | 36,150 | ||||||
6.00%, 09/16/2033 | 136,421 | 148,569 | ||||||
0.00%, 10/20/2033 PO | 6,726 | 5,977 | ||||||
5.83%, 10/20/2033(4) | 157,171 | 172,910 | ||||||
4.09%(-1 x 1 Month LIBOR USD + 6.55%, 6.55% Cap), 11/16/2033 IO(2)(5) | 90,886 | 9,759 | ||||||
4.09%(-1 x 1 Month LIBOR USD + 6.55%, 6.55% Cap), 12/16/2033 IO(2)(5) | 87,323 | 11,677 | ||||||
5.50%, 03/16/2034 | 3,503,374 | 3,758,576 | ||||||
12.91%(-3 x 1 Month LIBOR USD + 19.66%, 19.66% Cap), 04/16/2034(2)(5) | 42,571 | 56,763 | ||||||
11.32%(-2 x 1 Month LIBOR USD + 16.72%, 16.72% Cap), 05/18/2034(2)(5) | 4,874 | 5,456 | ||||||
0.00%, 06/20/2034 PO | 75,821 | 67,788 | ||||||
6.00%, 06/20/2034 | 285,560 | 309,896 | ||||||
9.79%(-2 x 1 Month LIBOR USD + 14.86%, 14.86% Cap), 08/17/2034(2)(5) | 31,775 | 34,430 | ||||||
5.72%, 08/20/2034(4) | 84,680 | 92,183 |
4.09%(-1 x 1 Month LIBOR USD + 6.55%, 6.55% Cap), 09/16/2034 IO(2)(5) | 296,872 | 41,848 | ||||||
7.00%(-6 x 1 Month LIBOR USD + 44.50%, 7.00% Cap), 09/20/2034(2)(5) | 33,466 | 35,519 | ||||||
17.33%(-5 x 1 Month LIBOR USD + 29.46%, 29.46% Cap), 09/20/2034(2)(5) | 33,466 | 45,785 | ||||||
8.95%(-2 x 1 Month LIBOR USD + 14.26%, 14.26% Cap), 10/16/2034(2)(5) | 4,623 | 4,931 | ||||||
15.38%(-4 x 1 Month LIBOR USD + 24.38%, 24.38% Cap), 10/16/2034(2)(5) | 28,777 | 37,637 | ||||||
3.63%(-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap), 10/20/2034 IO(2)(5) | 436,402 | 56,064 | ||||||
7.26%(-2 x 1 Month LIBOR USD + 12.20%, 12.20% Cap), 10/20/2034(2)(5) | 5,053 | 5,120 | ||||||
3.61%(-1 x 1 Month LIBOR USD + 6.08%, 6.08% Cap), 11/20/2034 IO(2)(5) | 225,705 | 9,640 | ||||||
4.28%(-1 x 1 Month LIBOR USD + 6.75%, 6.75% Cap), 01/20/2035 IO(2)(5) | 303,028 | 34,323 | ||||||
10.52%(-2 x 1 Month LIBOR USD + 16.43%, 16.43% Cap), 06/17/2035(2)(5) | 115,107 | 129,595 | ||||||
4.33%(-1 x 1 Month LIBOR USD + 6.80%, 6.80% Cap), 06/20/2035(2)(5) | 159,105 | 164,149 | ||||||
5.50%, 07/20/2035 IO | 31,553 | 6,958 | ||||||
12.65%(-3 x 1 Month LIBOR USD + 20.83%, 20.83% Cap), 08/16/2035(2)(5) | 16,921 | 23,055 | ||||||
0.00%, 08/20/2035 PO | 185,007 | 161,573 | ||||||
13.37%(-4 x 1 Month LIBOR USD + 22.73%, 22.73% Cap), 08/20/2035(2)(5) | 3,093 | 3,184 | ||||||
3.83%(-1 x 1 Month LIBOR USD + 6.30%, 6.30% Cap), 09/20/2035 IO(2)(5) | 621,856 | 78,594 | ||||||
5.50%, 09/20/2035 | 191,479 | 203,954 | ||||||
0.00%, 10/20/2035 PO | 39,491 | 33,433 | ||||||
0.00%, 11/20/2035 PO | 57,345 | 49,429 | ||||||
6.00%, 12/20/2035 IO | 60,139 | 11,571 | ||||||
5.75%, 02/20/2036 | 35,440 | 36,856 | ||||||
0.00%, 03/20/2036 PO | 49,833 | 44,956 | ||||||
0.00%, 05/20/2036 PO | 68,482 | 61,711 | ||||||
4.03%(-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap), 06/20/2036 IO(2)(5) | 8,833 | 440 | ||||||
0.00%, 07/20/2036 PO | 9,944 | 8,814 | ||||||
6.50%, 07/20/2036 | 284,643 | 320,697 | ||||||
6.50%, 08/20/2036 | 380,509 | 420,371 | ||||||
4.23%(-1 x 1 Month LIBOR USD + 6.70%, 6.70% Cap), 10/20/2036 IO(2)(5) | 94,117 | 15,115 | ||||||
5.56%, 10/20/2036 | 171,279 | 181,148 | ||||||
4.33%(-1 x 1 Month LIBOR USD + 6.80%, 6.80% Cap), 11/20/2036 IO(2)(5) | 149,552 | 19,579 | ||||||
5.88%, 02/20/2037(4) | 56,044 | 62,163 | ||||||
0.00%, 03/20/2037 PO | 182,032 | 163,544 | ||||||
3.73%(-1 x 1 Month LIBOR USD + 6.20%, 6.20% Cap), 03/20/2037 IO(2)(5) | 161,350 | 20,173 | ||||||
0.00%, 04/16/2037 PO | 89,194 | 76,267 | ||||||
4.35%(-1 x 1 Month LIBOR USD + 6.81%, 6.81% Cap), 04/16/2037 IO(2)(5) | 229,868 | 35,789 | ||||||
3.73%(-1 x 1 Month LIBOR USD + 6.20%, 6.20% Cap), 04/20/2037 IO(2)(5) | 90,556 | 8,842 | ||||||
6.03%, 04/20/2037(4) | 110,582 | 120,020 | ||||||
2.76% (1 Month LIBOR USD + 0.30%, 0.30% Floor, 6.50% Cap), 05/16/2037(2) | 64,538 | 64,500 | ||||||
0.00%, 05/20/2037 PO | 14,452 | 12,290 | ||||||
3.73%(-1 x 1 Month LIBOR USD + 6.20%, 6.20% Cap), 05/20/2037 IO(2)(5) | 176,681 | 17,456 | ||||||
3.73%(-1 x 1 Month LIBOR USD + 6.20%, 6.20% Cap), 05/20/2037 IO(2)(5) | 181,863 | 19,904 | ||||||
0.00%, 06/16/2037 PO | 29,164 | 26,062 | ||||||
0.00%, 06/16/2037 PO | 265,958 | 229,746 | ||||||
4.01%(-1 x 1 Month LIBOR USD + 6.47%, 6.47% Cap), 06/16/2037 IO(2)(5) | 125,057 | 15,311 | ||||||
3.78%(-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap), 06/20/2037 IO(2)(5) | 143,870 | 13,760 | ||||||
4.17%(-1 x 1 Month LIBOR USD + 6.64%, 6.64% Cap), 07/20/2037 IO(2)(5) | 204,722 | 23,750 | ||||||
4.21%(-1 x 1 Month LIBOR USD + 6.68%, 6.68% Cap), 07/20/2037 IO(2)(5) | 203,223 | 25,312 | ||||||
4.28%(-1 x 1 Month LIBOR USD + 6.75%, 6.75% Cap), 07/20/2037 IO(2)(5) | 140,312 | 18,109 | ||||||
4.30%(-1 x 1 Month LIBOR USD + 6.78%, 6.78% Cap), 08/20/2037 IO(2)(5) | 51,239 | 5,640 | ||||||
0.00%, 09/20/2037 PO | 25,645 | 24,364 | ||||||
4.08%(-1 x 1 Month LIBOR USD + 6.55%, 6.55% Cap), 09/20/2037 IO(2)(5) | 139,253 | 17,884 | ||||||
12.79%(-3 x 1 Month LIBOR USD + 20.21%, 20.21% Cap), 09/20/2037(2)(5) | 36,056 | 43,430 | ||||||
5.50%, 10/16/2037 IO | 206,924 | 22,771 | ||||||
8.46%(-2 x 1 Month LIBOR USD + 13.40%, 13.40% Cap), 10/20/2037(2)(5) | 24,865 | 26,989 | ||||||
0.00%, 11/16/2037 PO | 285,374 | 248,196 | ||||||
4.08%(-1 x 1 Month LIBOR USD + 6.54%, 6.54% Cap), 11/16/2037 IO(2)(5) | 154,496 | 15,688 | ||||||
3.53%(-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap), 11/20/2037 IO(2)(5) | 159,862 | 18,213 |
4.03%(-1 x 1 Month LIBOR USD + 6.50%, 6.50% Cap), 11/20/2037 IO(2)(5) | 307,142 | 36,568 | ||||||
4.04%(-1 x 1 Month LIBOR USD + 6.51%, 6.51% Cap), 11/20/2037 IO(2)(5) | 178,167 | 19,529 | ||||||
4.08%(-1 x 1 Month LIBOR USD + 6.55%, 6.55% Cap), 11/20/2037 IO(2)(5) | 139,631 | 16,723 | ||||||
12.54%(-3 x 1 Month LIBOR USD + 19.95%, 19.95% Cap), 11/20/2037(2)(5) | 17,470 | 22,259 | ||||||
4.08%(-1 x 1 Month LIBOR USD + 6.55%, 6.55% Cap), 12/20/2037 IO(2)(5) | 215,010 | 27,796 | ||||||
0.00%, 01/20/2038 PO | 10,087 | 8,779 | ||||||
5.48%, 01/20/2038(4) | 745,802 | 817,835 | ||||||
3.53%(-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap), 02/20/2038 IO(2)(5) | 1,411,177 | 196,934 | ||||||
5.50%, 02/20/2038 IO | 34,779 | 5,408 | ||||||
5.24%(-1 x 1 Month LIBOR USD + 7.70%, 7.70% Cap), 04/16/2038 IO(2)(5) | 82,874 | 12,618 | ||||||
3.83%(-1 x 1 Month LIBOR USD + 6.30%, 6.30% Cap), 04/20/2038 IO(2)(5) | 219,845 | 26,722 | ||||||
3.94%(-1 x 1 Month LIBOR USD + 6.40%, 6.40% Cap), 05/16/2038 IO(2)(5) | 730,963 | 102,172 | ||||||
3.73%(-1 x 1 Month LIBOR USD + 6.20%, 6.20% Cap), 06/20/2038 IO(2)(5) | 52,830 | 5,429 | ||||||
6.00%, 06/20/2038 | 108,964 | 121,914 | ||||||
3.29% (1 Month LIBOR USD + 0.82%, 0.82% Floor, 7.00% Cap), 07/20/2038(2) | 438,831 | 445,915 | ||||||
3.68%(-1 x 1 Month LIBOR USD + 6.15%, 6.15% Cap), 07/20/2038 IO(2)(5) | 190,030 | 19,224 | ||||||
5.75%, 07/20/2038 | 186,910 | 194,675 | ||||||
3.53%(-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap), 08/20/2038 IO(2)(5) | 68,081 | 5,875 | ||||||
5.57%, 08/20/2038(4) | 271,502 | 300,388 | ||||||
3.43%(-1 x 1 Month LIBOR USD + 5.90%, 5.90% Cap), 09/20/2038 IO(2)(5) | 226,500 | 28,703 | ||||||
3.73%(-1 x 1 Month LIBOR USD + 6.20%, 6.20% Cap), 09/20/2038 IO(2)(5) | 462,780 | 45,168 | ||||||
5.13%(-1 x 1 Month LIBOR USD + 7.60%, 7.60% Cap), 09/20/2038 IO(2)(5) | 97,953 | 13,581 | ||||||
6.11%, 11/20/2038(4) | 183,510 | 204,212 | ||||||
3.94%(-1 x 1 Month LIBOR USD + 6.40%, 6.40% Cap), 12/16/2038 IO(2)(5) | 18,468 | 239 | ||||||
3.23%(-1 x 1 Month LIBOR USD + 5.70%, 5.70% Cap), 12/20/2038 IO(2)(5) | 231,475 | 20,965 | ||||||
3.53%(-1 x 1 Month LIBOR USD + 6.00%, 6.00% Cap), 12/20/2038 IO(2)(5) | 129,514 | 10,917 | ||||||
4.83%(-1 x 1 Month LIBOR USD + 7.30%, 7.30% Cap), 12/20/2038 IO(2)(5) | 411,043 | 53,461 | ||||||
5.86%, 12/20/2038(4) | 626,254 | 693,288 | ||||||
6.00%, 12/20/2038 IO | 54,467 | 4,824 | ||||||
5.43%, 01/20/2039(4) | 874,197 | 937,269 | ||||||
3.64%(-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap), 02/16/2039 IO(2)(5) | 111,912 | 13,409 | ||||||
3.69%(-1 x 1 Month LIBOR USD + 6.15%, 6.15% Cap), 02/16/2039 IO(2)(5) | 166,213 | 13,835 | ||||||
3.48%(-1 x 1 Month LIBOR USD + 5.95%, 5.95% Cap), 02/20/2039 IO(2)(5) | 188,055 | 19,675 | ||||||
3.57%(-1 x 1 Month LIBOR USD + 6.04%, 6.04% Cap), 02/20/2039 IO(2)(5) | 114,865 | 9,761 | ||||||
3.83%(-1 x 1 Month LIBOR USD + 6.30%, 6.30% Cap), 03/20/2039 IO(2)(5) | 183,139 | 12,686 | ||||||
3.83%(-1 x 1 Month LIBOR USD + 6.30%, 6.30% Cap), 03/20/2039 IO(2)(5) | 36,531 | 533 | ||||||
6.50%, 03/20/2039 IO | 134,412 | 34,826 | ||||||
6.50%, 03/20/2039 IO | 58,646 | 12,945 | ||||||
3.80%(-1 x 1 Month LIBOR USD + 6.27%, 6.27% Cap), 04/20/2039 IO(2)(5) | 338,380 | 33,430 | ||||||
5.50%, 05/20/2039 IO | 40,374 | 7,783 | ||||||
6.00%, 05/20/2039 IO | 55,140 | 12,188 | ||||||
3.94%(-1 x 1 Month LIBOR USD + 6.40%, 6.40% Cap), 06/16/2039 IO(2)(5) | 175,936 | 5,687 | ||||||
3.48%(-1 x 1 Month LIBOR USD + 5.95%, 5.95% Cap), 06/20/2039 IO(2)(5) | 182,427 | 20,178 | ||||||
3.61%(-1 x 1 Month LIBOR USD + 6.08%, 6.08% Cap), 06/20/2039 IO(2)(5) | 257,816 | 27,955 | ||||||
3.64%(-1 x 1 Month LIBOR USD + 6.10%, 6.10% Cap), 07/16/2039 IO(2)(5) | 296,174 | 28,485 | ||||||
3.79%(-1 x 1 Month LIBOR USD + 6.25%, 6.25% Cap), 08/16/2039 IO(2)(5) | 283,438 | 35,331 | ||||||
7.00%, 08/16/2039 | 160,753 | 174,774 | ||||||
3.62%(-1 x 1 Month LIBOR USD + 6.09%, 6.09% Cap), 09/20/2039 IO(2)(5) | 448,249 | 44,023 | ||||||
5.50%, 09/20/2039 | 317,000 | 366,046 | ||||||
3.94%(-1 x 1 Month LIBOR USD + 6.40%, 6.40% Cap), 11/16/2039 IO(2)(5) | 363,208 | 42,112 | ||||||
5.19%, 06/20/2040(4) | 184,025 | 197,059 | ||||||
5.56%, 07/20/2040(4) | 262,066 | 288,151 | ||||||
7.00%, 10/16/2040 | 523,516 | 590,982 | ||||||
0.00%, 12/20/2040 PO | 695,129 | 569,195 | ||||||
4.13%(-1 x 1 Month LIBOR USD + 6.60%, 6.60% Cap), 05/20/2041 IO(2)(5) | 350,755 | 51,406 | ||||||
4.67%, 09/20/2041(4) | 393,364 | 415,405 | ||||||
4.60%, 10/20/2041(4) | 753,989 | 793,079 |
4.53%, 11/16/2041(4) | 410,159 | 438,513 | ||||||
3.00%, 12/20/2041 | 1,000,000 | 974,557 | ||||||
3.72%, 01/20/2042(4) | 434,438 | 447,739 | ||||||
3.98%, 09/16/2042(4) | 264,908 | 274,434 | ||||||
4.62%, 10/20/2042(4) | 1,388,688 | 1,458,472 | ||||||
4.75%, 11/20/2042(4) | 232,473 | 246,265 | ||||||
4.49%, 04/20/2043(4) | 250,783 | 258,587 | ||||||
2.76% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 5.50% Cap), 03/20/2060(2) | 20,258 | 20,232 | ||||||
2.74% (1 Month LIBOR USD + 0.43%, 0.43% Floor, 5.59% Cap), 04/20/2060(2) | 277,129 | 276,994 | ||||||
5.23%, 07/20/2060(4) | 875,923 | 886,730 | ||||||
2.61% (1 Month LIBOR USD + 0.30%, 0.30% Floor, 5.59% Cap), 08/20/2060(2) | 15,871 | 15,858 | ||||||
2.78% (1 Month LIBOR USD + 0.47%, 0.47% Floor, 5.29% Cap), 01/20/2061(2) | 962,609 | 962,744 | ||||||
2.81% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 10.66% Cap), 03/20/2061(2) | 2,054,829 | 2,059,902 | ||||||
2.96% (1 Month LIBOR USD + 0.65%, 0.65% Floor), 05/20/2061(2) | 156,699 | 157,068 | ||||||
3.01% (1 Month LIBOR USD + 0.70%, 0.70% Floor), 05/20/2061(2) | 153,649 | 154,087 | ||||||
2.78% (1 Month LIBOR USD + 0.47%, 0.47% Floor), 08/20/2061(2) | 572,936 | 573,897 | ||||||
2.86% (1 Month LIBOR USD + 0.55%, 0.55% Floor), 10/20/2061(2) | 223,772 | 223,925 | ||||||
2.86% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 10.50% Cap), 12/20/2061(2) | 5,891,344 | 5,911,272 | ||||||
2.86% (1 Month LIBOR USD + 0.55%, 0.55% Floor), 04/20/2062(2) | 155,531 | 155,612 | ||||||
3.01% (1 Month LIBOR USD + 0.70%, 0.70% Floor, 11.00% Cap), 04/20/2062(2) | 914,525 | 923,830 | ||||||
2.76% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 5.50% Cap), 05/20/2062(2) | 61,729 | 61,734 | ||||||
2.86% (1 Month LIBOR USD + 0.55%, 0.55% Floor), 07/20/2062(2) | 104,043 | 104,194 | ||||||
2.89% (1 Month LIBOR USD + 0.58%, 0.58% Floor), 09/20/2062(2) | 888,073 | 888,981 | ||||||
2.90% (1 Month LIBOR USD + 0.59%, 0.59% Floor, 5.50% Cap), 09/20/2062(2) | 100,824 | 100,828 | ||||||
2.81% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 5.00% Cap), 10/20/2062(2) | 116,601 | 116,625 | ||||||
2.83% (1 Month LIBOR USD + 0.52%, 0.52% Floor, 11.50% Cap), 10/20/2062(2) | 2,641,823 | 2,648,112 | ||||||
2.91% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 4.60% Cap), 10/20/2062(2) | 273,584 | 273,937 | ||||||
2.61% (1 Month LIBOR USD + 0.30%, 0.30% Floor), 11/20/2062(2) | 36,603 | 36,570 | ||||||
2.65% (1 Month LIBOR USD + 0.34%, 0.34% Floor, 11.00% Cap), 12/20/2062(2) | 2,319,764 | 2,316,064 | ||||||
1.65%, 01/20/2063 | 2,057,564 | 2,027,848 | ||||||
2.63% (1 Month LIBOR USD + 0.32%, 0.32% Floor, 10.50% Cap), 01/20/2063(2) | 1,185,197 | 1,182,841 | ||||||
2.81% (1 Month LIBOR USD + 0.50%, 0.50% Floor), 01/20/2063(2) | 81,020 | 81,092 | ||||||
1.65%, 02/20/2063 | 2,704,800 | 2,665,825 | ||||||
2.73% (1 Month LIBOR USD + 0.42%, 0.42% Floor, 10.50% Cap), 02/20/2063(2) | 229,324 | 229,515 | ||||||
2.76% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 11.00% Cap), 02/20/2063(2) | 1,372,732 | 1,374,444 | ||||||
2.72% (1 Month LIBOR USD + 0.41%, 0.41% Floor, 11.00% Cap), 03/20/2063(2) | 1,011,510 | 1,011,772 | ||||||
2.78% (1 Month LIBOR USD + 0.47%, 0.47% Floor, 10.50% Cap), 03/20/2063(2) | 302,028 | 302,542 | ||||||
1.65%, 04/20/2063 | 939,773 | 921,672 | ||||||
2.78% (1 Month LIBOR USD + 0.47%, 0.47% Floor, 11.00% Cap), 06/20/2063(2) | 2,585,695 | 2,590,010 | ||||||
2.96% (1 Month LIBOR USD + 0.65%, 0.65% Floor, 11.00% Cap), 01/20/2064(2) | 2,723,951 | 2,742,004 | ||||||
2.96% (1 Month LIBOR USD + 0.65%, 0.65% Floor, 11.00% Cap), 02/20/2064(2) | 5,829,595 | 5,868,189 | ||||||
3.00% (1 Month LIBOR USD + 0.69%, 0.69% Floor, 11.00% Cap), 02/20/2064(2) | 2,795,573 | 2,827,358 | ||||||
2.96% (1 Month LIBOR USD + 0.65%, 0.65% Floor, 11.00% Cap), 03/20/2064(2) | 2,825,246 | 2,842,339 | ||||||
2.91% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 11.00% Cap), 04/20/2064(2) | 3,491,017 | 3,509,123 | ||||||
2.91% (1 Month LIBOR USD + 0.60%, 0.60% Floor), 04/20/2064(2) | 3,012,113 | 3,035,897 | ||||||
2.91% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 11.00% Cap), 05/20/2064(2) | 5,508,139 | 5,552,205 | ||||||
2.81% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 11.00% Cap), 06/20/2064(2) | 2,316,312 | 2,325,908 | ||||||
2.78% (1 Month LIBOR USD + 0.47%, 0.47% Floor, 11.00% Cap), 07/20/2064(2) | 3,758,908 | 3,765,597 | ||||||
2.81% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 11.00% Cap), 07/20/2064(2) | 1,823,313 | 1,830,735 | ||||||
2.81% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 11.00% Cap), 07/20/2064(2) | 2,421,417 | 2,431,293 | ||||||
2.78% (1 Month LIBOR USD + 0.47%, 0.47% Floor, 11.00% Cap), 09/20/2064(2) | 3,915,062 | 3,925,288 | ||||||
2.91% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 7.00% Cap), 10/20/2064(2) | 1,312,338 | 1,318,418 | ||||||
2.81% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 11.00% Cap), 12/20/2064(2) | 3,401,539 | 3,409,839 | ||||||
2.74% (1 Month LIBOR USD + 0.47%, 11.00% Cap), 02/20/2065(2) | 2,093,812 | 2,098,016 | ||||||
2.79% (1 Month LIBOR USD + 0.48%, 0.48% Floor, 11.00% Cap), 02/20/2065(2) | 3,750,220 | 3,762,068 | ||||||
2.79% (1 Month LIBOR USD + 0.48%, 0.48% Floor, 11.00% Cap), 03/20/2065(2) | 7,558,997 | 7,582,212 | ||||||
2.79% (1 Month LIBOR USD + 0.48%, 11.00% Cap), 04/20/2065(2) | 5,467,950 | 5,485,592 |
2.76% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 11.00% Cap), 06/20/2065(2) | 1,745,625 | 1,748,194 | ||||||
2.75% (1 Month LIBOR USD + 0.44%, 0.44% Floor, 11.00% Cap), 07/20/2065(2) | 3,464,680 | 3,470,572 | ||||||
2.78% (1 Month LIBOR USD + 0.47%, 0.47% Floor, 11.00% Cap), 08/20/2065(2) | 569,328 | 570,966 | ||||||
2.91% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 11.00% Cap), 11/20/2065(2) | 6,513,069 | 6,567,663 | ||||||
3.31% (1 Month LIBOR USD + 1.00%, 1.00% Floor), 12/20/2066(2) | 2,161,508 | 2,209,022 | ||||||
2.87% (1 Month LIBOR USD + 0.56%, 0.56% Floor, 11.00% Cap), 03/20/2067(2) | 6,456,746 | 6,500,950 | ||||||
2.11% (12 Month LIBOR USD + 0.00%), 05/20/2067 IO(2) | 15,096,789 | 1,959,689 | ||||||
1.61% (12 Month LIBOR USD + 0.00%), 06/20/2067 IO(2) | 14,548,657 | 1,359,066 | ||||||
2.81% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 11.00% Cap), 06/20/2067(2) | 6,764,421 | 6,791,192 | ||||||
2.76% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 11.00% Cap), 08/20/2067(2) | 3,695,586 | 3,699,453 | ||||||
GS Mortgage Securities Co. II | ||||||||
2.71%, 12/10/2027(3) | 1,140,727 | 1,133,857 | ||||||
GS Mortgage Securities Co. Trust 2012-ALOHA | ||||||||
3.55%, 04/12/2034(3) | 4,200,000 | 4,231,624 | ||||||
GS Mortgage Securities Co. Trust 2012-SHOP | ||||||||
1.30%, 06/05/2031 IO(3)(4) | 7,793,000 | 16,787 | ||||||
GS Mortgage Securities Trust 2018-GS10 | ||||||||
4.26%, 07/12/2051 | 28,521,000 | 29,674,771 | ||||||
GS Mortgage Securities Trust2006-GG8 | ||||||||
0.87%, 11/14/2039 IO(3)(4) | 1,586,563 | 11,407 | ||||||
GS Mortgage Securities Trust2011-GC5 | ||||||||
5.39%, 08/10/2044(3)(4) | 258,000 | 248,788 | ||||||
GS Mortgage Securities Trust 2012-GCJ9 | ||||||||
2.77%, 11/13/2045 | 13,183,412 | 12,997,230 | ||||||
GS Mortgage Securities Trust 2013-GC13 | ||||||||
3.87%, 07/12/2046(4) | 5,880,000 | 6,002,981 | ||||||
GS Mortgage Securities Trust 2013-GC16 | ||||||||
1.05%, 11/13/2046 IO(4) | 17,086,935 | 723,073 | ||||||
GS Mortgage Securities Trust 2013-GCJ12 | ||||||||
3.14%, 06/12/2046 | 1,260,000 | 1,253,205 | ||||||
GS Mortgage Securities Trust 2014-GC18 | ||||||||
4.07%, 01/10/2047 | 4,338,000 | 4,467,700 | ||||||
3.80%, 01/11/2047 | 4,915,000 | 4,994,150 | ||||||
GS Mortgage Securities Trust 2014-GC26 | ||||||||
3.36%, 11/13/2047 | 8,000,000 | 8,016,588 | ||||||
GS Mortgage Securities Trust 2015-GC28 | ||||||||
3.14%, 02/12/2048 | 9,000,000 | 8,844,586 | ||||||
GS Mortgage Securities Trust2016-GS4 | ||||||||
3.18%, 11/15/2049 | 12,000,000 | 11,660,021 | ||||||
3.44%, 11/15/2049(4) | 1,317,000 | 1,300,405 | ||||||
GSMPS Mortgage Loan Trust2004-4 | ||||||||
2.91% (1 Month LIBOR USD + 0.40%, 0.40% Floor), 06/25/2034(2)(3) | 58,250 | 55,693 | ||||||
GSMPS Mortgage Loan Trust2005-RP2 | ||||||||
2.86% (1 Month LIBOR USD + 0.35%, 0.35% Floor), 03/25/2035(2)(3) | 106,804 | 99,490 | ||||||
GSMPS Mortgage Loan Trust2005-RP3 | ||||||||
2.20%, 09/25/2035 IO(3)(4) | 488,962 | 40,730 | ||||||
2.86% (1 Month LIBOR USD + 0.35%, 0.35% Floor, 9.50% Cap), 09/25/2035(2)(3) | 663,211 | 590,440 | ||||||
GSR Mortgage Loan Trust2003-3F | ||||||||
5.75%, 04/25/2033 | 23,587 | 24,191 | ||||||
GSR Mortgage Loan Trust2003-6F | ||||||||
2.91% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.50% Cap), 09/25/2032(2) | 5,207 | 5,147 | ||||||
GSR Mortgage Loan Trust2004-13F | ||||||||
6.00%, 11/25/2034 | 74,858 | 75,997 | ||||||
GSR Mortgage Loan Trust2004-6F | ||||||||
5.50%, 05/25/2034 | 100,058 | 101,581 | ||||||
6.50%, 05/25/2034 | 60,715 | 64,157 |
GSR Mortgage Loan Trust2005-5F | ||||||||
3.01% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 5.50% Cap), 06/25/2035(2) | 28,677 | 27,214 | ||||||
GSR Mortgage Loan Trust2005-7F | ||||||||
6.00%, 09/25/2035 | 126,290 | 131,226 | ||||||
GSR Mortgage Loan Trust2005-AR6 | ||||||||
3.92%, 09/25/2035(4) | 8,482 | 8,485 | ||||||
GSR Mortgage Loan Trust2006-1F | ||||||||
5.50%, 02/25/2036 | 65,618 | 74,786 | ||||||
6.00%, 02/25/2036 | 355,556 | 293,983 | ||||||
Headlands Residential LLC | ||||||||
3.88%, 08/25/2022(1)(3) | 6,170,000 | 6,087,354 | ||||||
4.25%, 06/26/2023(1)(3) | 8,245,000 | 8,239,795 | ||||||
Home Re2018-1 Ltd. | ||||||||
4.11% (1 Month LIBOR USD + 1.60%), 10/25/2028(2)(3) | 1,880,000 | 1,882,290 | ||||||
HomeBanc Mortgage Trust2005-3 | ||||||||
2.75% (1 Month LIBOR USD + 0.24%, 0.24% Floor, 11.50% Cap), 07/25/2035(2) | 579,001 | 571,513 | ||||||
Impac CMB Trust Series2004-4 | ||||||||
4.67%, 09/25/2034(1) | 9,133 | 9,410 | ||||||
Impac CMB Trust Series2004-7 | ||||||||
3.25% (1 Month LIBOR USD + 0.74%, 11.25% Cap), 11/25/2034(2) | 1,003,485 | 994,867 | ||||||
Impac CMB Trust Series2005-4 | ||||||||
3.11% (1 Month LIBOR USD + 0.60%, 0.30% Floor, 10.25% Cap), 05/25/2035(2) | 119,664 | 117,468 | ||||||
Impac Secured Assets CMN Owner Trust | ||||||||
5.50%, 08/25/2033 | 79,569 | 81,980 | ||||||
Impac Secured Assets Trust2006-1 | ||||||||
2.86% (1 Month LIBOR USD + 0.35%, 0.35% Floor, 11.50% Cap), 05/25/2036(2) | 397,883 | 389,981 | ||||||
Impac Secured Assets Trust2006-2 | ||||||||
2.86% (1 Month LIBOR USD + 0.35%, 0.35% Floor, 11.50% Cap), 08/25/2036(2) | 396,763 | 384,248 | ||||||
Independence Plaza Trust 2018-INDP | ||||||||
3.76%, 07/12/2035(3) | 5,445,000 | 5,488,021 | ||||||
JP Morgan Alternative Loan Trust | ||||||||
3.87%, 03/25/2036(4) | 35,353 | 32,644 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp. | ||||||||
3.46%, 03/17/2050 | 20,000,000 | 19,798,688 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2005-CIBC11 | ||||||||
0.02%, 08/12/2037 IO(3)(4) | 6,674,391 | 1,460 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP5 | ||||||||
0.00%, 12/15/2044 IO(3)(4) | 493,836 | 5 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC15 | ||||||||
0.19%, 06/12/2043 IO(4) | 3,467,646 | 4,285 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9 | ||||||||
2.61% (1 Month LIBOR USD + 0.16%, 0.16% Floor), 05/15/2047(2) | 141,333 | 141,333 | ||||||
5.34%, 05/15/2047 | 413,000 | 412,930 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP12 | ||||||||
0.00%, 02/15/2051 IO(4) | 1,479,567 | 15 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust2012-C8 | ||||||||
2.38%, 10/17/2045 | 6,213,449 | 6,112,417 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust2013-C16 | ||||||||
4.17%, 12/15/2046 | 2,375,000 | 2,455,897 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11 | ||||||||
2.96%, 04/15/2046 | 7,152,087 | 7,039,622 | ||||||
JP Morgan Mortgage Trust2004-A3 | ||||||||
4.52%, 07/25/2034(4) | 20,242 | 20,631 | ||||||
JP Morgan Mortgage Trust2004-A4 | ||||||||
4.64%, 09/25/2034(4) | 46,814 | 47,867 | ||||||
JP Morgan Mortgage Trust2004-S1 | ||||||||
5.00%, 09/25/2034 | 8,386 | 8,416 |
JP Morgan Mortgage Trust2005-A1 | ||||||||
4.36%, 02/25/2035(4) | 115,344 | 117,978 | ||||||
JP Morgan Mortgage Trust2005-A4 | ||||||||
4.31%, 07/25/2035(4) | 134,968 | 135,290 | ||||||
JP Morgan Mortgage Trust2006-A2 | ||||||||
4.61%, 11/25/2033(4) | 348,927 | 357,103 | ||||||
4.48%, 08/25/2034(4) | 667,781 | 672,322 | ||||||
JP Morgan Mortgage Trust2006-A3 | ||||||||
4.09%, 08/25/2034(4) | 87,061 | 86,279 | ||||||
JP Morgan Mortgage Trust2006-A7 | ||||||||
4.22%, 01/25/2037(4) | 73,202 | 69,781 | ||||||
4.22%, 01/25/2037(4) | 128,408 | 122,405 | ||||||
JP Morgan Mortgage Trust2007-A1 | ||||||||
4.33%, 07/25/2035(4) | 79,142 | 80,967 | ||||||
4.33%, 07/25/2035(4) | 1,207,250 | 1,240,144 | ||||||
JP Morgan Mortgage Trust2007-A2 | ||||||||
4.13%, 04/25/2037(4) | 272,982 | 256,571 | ||||||
JPMBB Commercial Mortgage Securities Trust2013-C17 | ||||||||
3.93%, 01/17/2047 | 2,288,937 | 2,338,191 | ||||||
JPMBB Commercial Mortgage Securities Trust2014-C19 | ||||||||
3.67%, 04/17/2047 | 2,010,000 | 2,026,900 | ||||||
JPMBB Commercial Mortgage Securities Trust2014-C24 | ||||||||
3.10%, 11/18/2047 | 13,000,000 | 12,978,627 | ||||||
JPMBB Commercial Mortgage Securities Trust2014-C25 | ||||||||
3.41%, 11/18/2047 | 13,000,000 | 12,989,812 | ||||||
JPMBB Commercial Mortgage Securities Trust2015-C28 | ||||||||
2.77%, 10/19/2048 | 2,774,828 | 2,753,702 | ||||||
JPMBB Commercial Mortgage Securities Trust2016-C1 | ||||||||
3.31%, 03/17/2049 | 10,000,000 | 9,862,388 | ||||||
JPMCC Commercial Mortgage Securities Trust2017-JP7 | ||||||||
3.19%, 09/16/2050 | 20,000,000 | 19,381,530 | ||||||
Ladder Capital Commercial Mortgage2013-GCP Mortgage Trust | ||||||||
3.99%, 02/15/2036(3) | 1,027,000 | 1,030,912 | ||||||
LB-UBS Commercial Mortgage Trust2007-C2 | ||||||||
0.18%, 02/15/2040 IO(4) | 616,622 | 64 | ||||||
LCCM 2017-LC26 | ||||||||
3.29%, 07/12/2050(3) | 20,300,000 | 19,582,994 | ||||||
Lehman Mortgage Trust2006-2 | ||||||||
5.79%, 04/25/2036(4) | 55,496 | 49,748 | ||||||
Lehman Mortgage Trust2007-6 | ||||||||
6.00%, 07/25/2037 | 38,413 | 35,497 | ||||||
Lehman Mortgage Trust2008-2 | ||||||||
6.00%, 03/25/2038 | 341,491 | 239,462 | ||||||
Luminent Mortgage Trust2005-1 | ||||||||
2.77% (1 Month LIBOR USD + 0.26%, 0.26% Floor, 11.50% Cap), 11/25/2035(2) | 1,711,106 | 1,655,680 | ||||||
MASTR Adjustable Rate Mortgages Trust2004-13 | ||||||||
4.67%, 04/21/2034(4) | 162,780 | 166,678 | ||||||
MASTR Adjustable Rate Mortgages Trust2004-15 | ||||||||
4.86%, 12/25/2034(4) | 39,448 | 37,874 | ||||||
MASTR Adjustable Rate Mortgages Trust2004-3 | ||||||||
3.50%, 04/25/2034(4) | 48,417 | 43,715 | ||||||
MASTR Alternative Loan Trust2003-9 | ||||||||
6.00%, 12/25/2033 | 32,433 | 33,148 | ||||||
6.00%, 01/25/2034 | 25,722 | 26,068 | ||||||
MASTR Alternative Loan Trust2004-10 | ||||||||
4.50%, 09/25/2019 | 2,130 | 2,124 | ||||||
MASTR Alternative Loan Trust2004-13 | ||||||||
5.50%, 01/25/2020 | 88,255 | 88,374 |
MASTR Alternative Loan Trust2004-2 | ||||||||
5.00%, 02/25/2019 | 120 | 119 | ||||||
MASTR Alternative Loan Trust2004-3 | ||||||||
6.00%, 04/25/2034 | 208,118 | 215,429 | ||||||
6.25%, 04/25/2034 | 49,022 | 51,174 | ||||||
MASTR Alternative Loan Trust2004-6 | ||||||||
0.00%, 07/25/2034 PO | 30,055 | 24,992 | ||||||
6.00%, 07/25/2034 | 19,427 | 19,718 | ||||||
MASTR Alternative Loan Trust2004-7 | ||||||||
0.00%, 08/25/2034 PO | 24,845 | 20,764 | ||||||
MASTR Alternative Loan Trust2004-8 | ||||||||
5.50%, 09/25/2019 | 5,708 | 5,761 | ||||||
MASTR Alternative Loan Trust2005-6 | ||||||||
5.50%, 11/25/2020 | 34,329 | 32,684 | ||||||
MASTR Asset Securitization Trust2003-12 | ||||||||
0.00%, 12/25/2033 PO | 3,941 | 3,685 | ||||||
5.00%, 12/25/2033 | 10,454 | 10,374 | ||||||
MASTR Asset Securitization Trust2004-1 | ||||||||
0.00%, 02/25/2034 PO | 2,243 | 1,897 | ||||||
MASTR Asset Securitization Trust2004-4 | ||||||||
4.50%, 04/25/2019 | 92 | 92 | ||||||
5.25%, 12/26/2033 | 54,730 | 55,743 | ||||||
MASTR Asset Securitization Trust2004-6 | ||||||||
0.00%, 07/25/2019 PO | 189 | 189 | ||||||
MASTR Asset Securitization Trust2004-8 | ||||||||
0.00%, 08/25/2019 PO | 306 | 292 | ||||||
4.75%, 08/25/2019 | 1,081 | 1,080 | ||||||
MASTR Asset Securitization Trust2004-9 | ||||||||
5.25%, 09/25/2019 | 2,657 | 2,650 | ||||||
MASTR Reperforming Loan Trust2005-2 | ||||||||
2.86% (1 Month LIBOR USD + 0.35%, 0.35% Floor, 9.50% Cap), 05/25/2035(2)(3) | 914,617 | 722,596 | ||||||
MASTR Reperforming Loan Trust2006-2 | ||||||||
4.40%, 05/25/2036(3)(4) | 110,359 | 98,235 | ||||||
MASTR Resecuritization Trust 2005 | ||||||||
0.00%, 05/28/2035 PO(3) | 28,618 | 20,676 | ||||||
Merrill Lynch Mortgage Backed Securities Trust Series2007-3 | ||||||||
3.41%, 06/25/2037(4) | 132,469 | 130,345 | ||||||
Merrill Lynch Mortgage Investors Trust Series2003-A5 | ||||||||
4.43%, 08/25/2033(4) | 47,918 | 49,400 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLCC2003-E | ||||||||
3.13% (1 Month LIBOR USD + 0.62%, 0.31% Floor, 11.75% Cap), 10/25/2028(2) | 101,107 | 100,363 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLCC2003-F | ||||||||
3.15% (1 Month LIBOR USD + 0.64%, 0.32% Floor, 11.75% Cap), 10/25/2028(2) | 122,399 | 120,569 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLCC2004-1 | ||||||||
4.15%, 12/25/2034(4) | 98,430 | 98,211 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLCC2004-A | ||||||||
2.97% (1 Month LIBOR USD + 0.46%, 0.23% Floor, 11.75% Cap), 04/25/2029(2) | 39,251 | 38,496 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLCC2004-C | ||||||||
3.51% (6 Month LIBOR USD + 0.60%, 0.30% Floor, 11.75% Cap), 07/25/2029(2) | 70,436 | 69,179 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLMI2004-A4 | ||||||||
4.09%, 08/25/2034(4) | 95,123 | 97,282 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLMI2005-A2 | ||||||||
3.68%, 02/25/2035(4) | 145,989 | 147,444 | ||||||
MetLife Securitization Trust2018-1 | ||||||||
3.75%, 03/25/2057(3)(4) | 3,556,298 | 3,587,319 | ||||||
ML Trust XLVII | ||||||||
8.99%, 10/20/2020 | 84 | 85 |
ML-CFC Commercial Mortgage Trust2006-4 | ||||||||
0.60%, 12/12/2049 IO(3)(4) | 695,699 | 7 | ||||||
Morgan Stanley | ||||||||
5.63%, 04/25/2034(4) | 207,717 | 220,137 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust2012-C6 | ||||||||
2.86%, 11/15/2045 | 8,131,165 | 8,012,068 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust2013-C10 | ||||||||
4.08%, 07/17/2046(4) | 1,299,000 | 1,341,006 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust2013-C12 | ||||||||
4.26%, 10/17/2046(4) | 2,025,000 | 2,102,907 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust2014-C14 | ||||||||
2.92%, 02/15/2047 | 3,249,603 | 3,244,677 | ||||||
3.67%, 02/15/2047 | 4,400,000 | 4,426,645 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust2015-C20 | ||||||||
3.25%, 02/15/2048 | 3,415,000 | 3,366,959 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust2015-C23 | ||||||||
3.45%, 07/15/2050 | 27,200,000 | 27,126,288 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust2015-C24 | ||||||||
3.48%, 08/15/2047 | 5,000,000 | 4,989,674 | ||||||
3.73%, 08/15/2047 | 6,507,000 | 6,580,808 | ||||||
Morgan Stanley Capital I Trust 2006-IQ12 | ||||||||
0.63%, 12/15/2043 IO(3)(4) | 879,639 | 9 | ||||||
Morgan Stanley Capital I Trust 2007-HQ11 | ||||||||
0.33%, 02/12/2044 IO(3)(4) | 527,043 | 690 | ||||||
Morgan Stanley Capital I Trust 2007-HQ13 | ||||||||
0.00%, 12/16/2044 IO(3)(4) | 468,415 | 5 | ||||||
Morgan Stanley Capital I Trust 2007-IQ13 | ||||||||
0.46%, 03/15/2044 IO(3)(4) | 699,070 | 1,488 | ||||||
Morgan Stanley Capital I Trust2011-C3 | ||||||||
4.05%, 07/16/2049 | 457,612 | 458,804 | ||||||
Morgan Stanley Capital I Trust2012-C4 | ||||||||
2.99%, 03/17/2045 | 413,221 | 412,277 | ||||||
Morgan Stanley Capital I Trust2014-CPT | ||||||||
3.35%, 07/13/2029(3) | 4,241,000 | 4,251,973 | ||||||
Morgan Stanley Capital I Trust 2016-UB11 | ||||||||
2.53%, 08/17/2049 | 20,000,000 | 18,649,070 | ||||||
Morgan Stanley Capital I Trust2018-H4 | ||||||||
4.31%, 12/15/2051 | 1,637,000 | 1,707,167 | ||||||
Morgan Stanley Mortgage Loan Trust2004-9 | ||||||||
3.45%, 10/25/2019(4) | 20,175 | 18,958 | ||||||
Morgan Stanley Reremic Trust | ||||||||
0.25%, 07/28/2049(3) | 47,038 | 46,615 | ||||||
1.00%, 03/27/2051(3) | 12,119 | 12,057 | ||||||
MortgageIT Trust2005-2 | ||||||||
3.03% (1 Month LIBOR USD + 0.52%, 0.26% Floor, 11.50% Cap), 05/25/2035(2) | 892,653 | 889,381 | ||||||
MortgageIT Trust2005-3 | ||||||||
3.11% (1 Month LIBOR USD + 0.60%, 0.30% Floor, 11.50% Cap), 08/25/2035(2) | 2,649,226 | 2,578,975 | ||||||
MRFC Mortgage Pass-Through Trust Series 1999-TBC2 | ||||||||
2.94% (1 Month LIBOR USD + 0.48%, 0.24% Floor, 10.00% Cap), 06/15/2030(2) | 245,314 | 240,935 | ||||||
MRFC Mortgage Pass-Through Trust Series 2000-TBC3 | ||||||||
2.90% (1 Month LIBOR USD + 0.44%, 0.22% Floor, 10.00% Cap), 12/15/2030(2) | 55,032 | 53,033 | ||||||
NACC Reperforming Loan REMIC Trust2004-R2 | ||||||||
6.50%, 10/25/2034(3)(4) | 61,130 | 59,345 | ||||||
NCUA Guaranteed Notes Trust2010-R3 | ||||||||
2.40%, 12/08/2020 | 101,598 | 101,256 | ||||||
2.94% (1 Month LIBOR USD + 0.56%, 0.56% Floor, 8.00% Cap), 12/08/2020(2) | 1,287,554 | 1,291,062 |
New Residential Mortgage Loan Trust2017-2 | ||||||||
4.00%, 03/25/2057(3)(4) | 4,131,131 | 4,167,542 | ||||||
New Residential Mortgage Loan Trust2017-3 | ||||||||
4.00%, 04/25/2057(3)(4) | 7,082,482 | 7,122,705 | ||||||
New Residential Mortgage Loan Trust2017-4 | ||||||||
4.00%, 05/25/2057(3)(4) | 4,781,976 | 4,822,659 | ||||||
New Residential Mortgage Loan Trust 2018-RPL1 | ||||||||
3.50%, 12/25/2057(3)(4) | 28,289,179 | 28,143,691 | ||||||
Nomura Asset Acceptance Co. Alternative Loan Trust Series2003-A1 | ||||||||
7.00%, 04/25/2033 | 7,954 | 8,107 | ||||||
5.50%, 05/25/2033 | 8,988 | 9,044 | ||||||
6.00%, 05/25/2033 | 20,381 | 20,377 | ||||||
Oaktown Re II Ltd. | ||||||||
4.06% (1 Month LIBOR USD + 1.55%), 07/25/2028(2)(3) | 1,600,000 | 1,601,939 | ||||||
PaineWebber CMO Trust Series P | ||||||||
8.50%, 08/01/2019 | 43 | 43 | ||||||
PFP2017-3 Ltd. | ||||||||
4.21% (1 Month LIBOR USD + 1.75%), 01/14/2035(2)(3) | 2,000,000 | 1,993,274 | ||||||
4.96% (1 Month LIBOR USD + 2.50%), 01/14/2035(2)(3) | 2,000,000 | 1,993,078 | ||||||
Prime Mortgage Trust2004-CL1 | ||||||||
6.00%, 02/25/2034 | 80,545 | 84,389 | ||||||
Provident Funding Mortgage Loan Trust2005-1 | ||||||||
3.96%, 05/25/2035(4) | 25,129 | 24,609 | ||||||
Radnor RE2018-1 Ltd. | ||||||||
3.91% (1 Month LIBOR USD + 1.40%), 03/25/2028(2) (3) | 4,890,000 | 4,879,584 | ||||||
RALI Series 2002-QS16 Trust | ||||||||
11.38%(-2 x 1 Month LIBOR USD + 16.62%, 16.62% Cap), 10/25/2019(2)(5) | 118 | 121 | ||||||
RALI Series2002-QS8 Trust | ||||||||
6.25%, 06/25/2019 | 1,520 | 1,310 | ||||||
RALI Series 2003-QS14 Trust | ||||||||
5.00%, 07/25/2019 | 1,147 | 1,141 | ||||||
RALI Series 2003-QS18 Trust | ||||||||
5.00%, 09/25/2019 | 1,389 | 1,390 | ||||||
RALI Series2003-QS9 Trust | ||||||||
5.04%(-1 x 1 Month LIBOR USD + 7.55%, 7.55% Cap), 05/25/2019 IO(2)(5) | 1,070 | 1 | ||||||
RALI Series2004-QS6 Trust | ||||||||
5.00%, 05/25/2019 | 1,607 | 1,598 | ||||||
RALI Series2005-QA6 Trust | ||||||||
5.00%, 05/25/2035(4) | 130,426 | 101,713 | ||||||
RALI Series2007-QS1 Trust | ||||||||
6.00%, 01/25/2037 | 17,795 | 16,316 | ||||||
RBS Commercial Funding, Inc.2013-SMV Trust | ||||||||
3.26%, 03/13/2031(3) | 512,000 | 507,655 | ||||||
RBSSP Resecuritization Trust2009-1 | ||||||||
6.50%, 02/26/2036(3)(4) | 226,097 | 233,879 | ||||||
RBSSP Resecuritization Trust2009-12 | ||||||||
5.53%, 11/25/2033(3)(4) | 224,995 | 229,728 | ||||||
Reperforming Loan REMIC Trust2005-R1 | ||||||||
0.00%, 03/25/2035 PO(3) | 7,694 | 6,571 | ||||||
Residential Asset Securitization Trust2003-A14 | ||||||||
4.75%, 02/25/2019 | 256 | 226 | ||||||
Residential Asset Securitization Trust2003-A8 | ||||||||
4.25%, 10/25/2021 | 3,476 | 3,413 | ||||||
Residential Asset Securitization Trust2004-A7 | ||||||||
5.50%, 10/25/2034 | 1,966,643 | 1,945,042 | ||||||
Residential Asset Securitization Trust2005-A2 | ||||||||
2.54%(-1 x 1 Month LIBOR USD + 5.05%, 5.05% Cap), 03/25/2035 IO(2)(5) | 751,237 | 46,658 |
Residential Asset Securitization Trust 2006-A4IP | ||||||||
6.00%, 05/25/2036 | 71,971 | 68,634 | ||||||
RFMSI Series2005-SA4 Trust | ||||||||
4.00%, 09/25/2035(4) | 39,453 | 35,434 | ||||||
Sequoia Mortgage Trust2004-10 | ||||||||
3.09% (1 Month LIBOR USD + 0.62%, 0.31% Floor, 11.50% Cap), 11/20/2034(2) | 47,756 | 47,140 | ||||||
Sequoia Mortgage Trust2004-11 | ||||||||
3.07% (1 Month LIBOR USD + 0.60%, 0.30% Floor, 11.50% Cap), 12/20/2034(2) | 139,390 | 136,663 | ||||||
Sequoia Mortgage Trust2004-12 | ||||||||
3.20% (6 Month LIBOR USD + 0.32%, 0.32% Floor, 11.50% Cap), 09/20/2034(2) | 121,098 | 112,781 | ||||||
Sequoia Mortgage Trust2004-8 | ||||||||
3.17% (1 Month LIBOR USD + 0.70%, 0.35% Floor, 11.50% Cap), 09/20/2034(2) | 924,914 | 906,106 | ||||||
3.25% (6 Month LIBOR USD + 0.74%, 0.37% Floor, 11.50% Cap), 09/20/2034(2) | 159,427 | 157,859 | ||||||
Series RR2014-1 Trust | ||||||||
0.00%, 05/28/2047(3) | 1,603,000 | 1,219,237 | ||||||
Structured Asset Mortgage Investments II Trust2004-AR5 | ||||||||
3.13% (1 Month LIBOR USD + 0.66%, 0.33% Floor, 11.00% Cap), 10/19/2034(2) | 141,166 | 138,665 | ||||||
Structured Asset Mortgage Investments II Trust2005-AR5 | ||||||||
2.72% (1 Month LIBOR USD + 0.25%, 0.25% Floor, 11.00% Cap), 07/19/2035(2) | 508,024 | 498,760 | ||||||
Structured Asset Mortgage Investments Trust2003-CL1 | ||||||||
2.91% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 8.00% Cap), 07/25/2032(2) | 329,155 | 321,881 | ||||||
Structured Asset Securities Co. | ||||||||
4.36%, 12/25/2033(4) | 1,401,340 | 1,374,610 | ||||||
4.42%, 12/25/2033(4) | 152,404 | 152,831 | ||||||
5.22%, 02/25/2034(1) | 214,426 | 217,326 | ||||||
2.86% (1 Month LIBOR USD + 0.35%, 0.35% Floor), 06/25/2035(2)(3) | 79,862 | 71,499 | ||||||
Structured Asset Securities Co. Mort Pass Thru Ser2004-5H | ||||||||
5.54%, 12/25/2033 | 386,106 | 394,198 | ||||||
Structured Asset Securities Co. Mortgage Pass-Through Ctfs Ser2003-34A | ||||||||
4.28%, 11/25/2033(4) | 42,578 | 42,583 | ||||||
Tharaldson Hotel Portfolio Trust 2018-THPT | ||||||||
3.13% (1 Month LIBOR USD + 0.75%, 0.85% Floor), 11/13/2034(2)(3) | 1,193,637 | 1,184,998 | ||||||
Thornburg Mortgage Securities Trust2003-4 | ||||||||
3.15% (1 Month LIBOR USD + 0.64%, 0.32% Floor, 11.50% Cap), 09/25/2043(2) | 626,993 | 621,501 | ||||||
Thornburg Mortgage Securities Trust2003-5 | ||||||||
4.34%, 10/25/2043(4) | 3,489,358 | 3,533,670 | ||||||
Thornburg Mortgage Securities Trust2004-4 | ||||||||
4.00%, 12/25/2044(4) | 382,495 | 383,146 | ||||||
Thornburg Mortgage Securities Trust2005-1 | ||||||||
3.72%, 04/25/2045(4) | 988,763 | 993,745 | ||||||
UBS Commercial Mortgage Trust | ||||||||
3.26%, 08/17/2050 | 10,114,000 | 10,093,376 | ||||||
UBS Commercial Mortgage Trust2012-C1 | ||||||||
2.07%, 05/12/2045 IO(3)(4) | 1,607,191 | 87,569 | ||||||
UBS Commercial Mortgage Trust2017-C5 | ||||||||
3.21%, 11/17/2050 | 21,500,000 | 20,757,846 | ||||||
UBS Commercial Mortgage Trust2018-C9 | ||||||||
3.85%, 03/17/2051 | 9,650,000 | 9,758,496 | ||||||
UBS-BAMLL Trust | ||||||||
3.66%, 06/12/2030(3) | 1,787,000 | 1,797,525 | ||||||
UBS-Barclays Commercial Mortgage Trust2012-C2 | ||||||||
1.33%, 05/11/2063 IO(3)(4) | 5,407,476 | 203,446 | ||||||
3.53%, 05/11/2063 | 1,073,000 | 1,084,376 | ||||||
UBS-Barclays Commercial Mortgage Trust2013-C6 | ||||||||
3.24%, 04/12/2046 | 271,000 | 271,444 | ||||||
Vendee Mortgage Trust1993-1 | ||||||||
7.25%, 02/15/2023 | 231,005 | 246,732 |
Vendee Mortgage Trust1994-1 | ||||||||
5.36%, 02/15/2024(4) | 73,146 | 76,176 | ||||||
6.50%, 02/15/2024 | 186,084 | 196,860 | ||||||
Vendee Mortgage Trust1996-1 | ||||||||
6.75%, 02/15/2026 | 109,659 | 120,299 | ||||||
Vendee Mortgage Trust1996-2 | ||||||||
6.75%, 06/15/2026 | 50,401 | 55,144 | ||||||
Vendee Mortgage Trust1997-1 | ||||||||
7.50%, 02/15/2027 | 163,178 | 179,559 | ||||||
Vendee Mortgage Trust1998-1 | ||||||||
7.00%, 09/15/2027 | 104,507 | 116,021 | ||||||
VNDO 2012-6AVE Mortgage Trust | ||||||||
3.00%, 11/15/2030(3) | 2,283,000 | 2,262,125 | ||||||
VNDO 2013-PENN Mortgage Trust | ||||||||
3.81%, 12/13/2029(3) | 2,500,000 | 2,522,861 | ||||||
Wachovia Bank Commercial Mortgage Trust Series2006-C24 | ||||||||
0.08%, 03/15/2045 IO(3)(4) | 4,071,553 | 41 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2003-AR11 Trust | ||||||||
4.31%, 10/25/2033(4) | 258,568 | 260,741 | ||||||
WaMu Mortgage Pass-Through Certificates Series2003-AR7 Trust | ||||||||
4.15%, 08/25/2033(4) | 76,115 | 77,941 | ||||||
WaMu Mortgage Pass-Through Certificates Series2003-AR9 Trust | ||||||||
4.33%, 09/25/2033(4) | 445,725 | 455,253 | ||||||
4.39%, 09/25/2033(4) | 77,960 | 78,972 | ||||||
WaMu Mortgage Pass-Through Certificates Series2003-S1 Trust | ||||||||
5.50%, 04/25/2033 | 84,433 | 86,619 | ||||||
WaMu Mortgage Pass-Through Certificates Series2003-S4 | ||||||||
10.57%(-3 x 1 Month LIBOR USD + 17.46%, 17.46% Cap), 06/25/2033(2)(5) | 21,908 | 24,707 | ||||||
WaMu Mortgage Pass-Through Certificates Series2003-S9 Trust | ||||||||
0.00%, 10/25/2033 PO | 3,353 | 2,973 | ||||||
5.25%, 10/25/2033 | 329,729 | 331,942 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2004-AR14 Trust | ||||||||
4.31%, 01/25/2035(4) | 2,673,625 | 2,727,263 | ||||||
WaMu Mortgage Pass-Through Certificates Series2004-AR3 Trust | ||||||||
3.96%, 06/25/2034(4) | 2,767,980 | 2,810,941 | ||||||
3.96%, 06/25/2034(4) | 155,972 | 158,393 | ||||||
WaMu Mortgage Pass-Through Certificates Series2004-CB1 Trust | ||||||||
5.00%, 06/25/2019 | 4,894 | 4,883 | ||||||
WaMu Mortgage Pass-Through Certificates Series2004-CB2 Trust | ||||||||
5.00%, 07/25/2019 | 2,980 | 2,972 | ||||||
5.50%, 08/25/2019 | 7,640 | 7,626 | ||||||
6.00%, 08/25/2034 | 737,639 | 780,048 | ||||||
WaMu Mortgage Pass-Through Certificates Series2004-CB3 Trust | ||||||||
5.50%, 10/25/2019 | 1,204 | 1,202 | ||||||
6.00%, 10/25/2019 | 1,929 | 1,946 | ||||||
6.50%, 10/25/2034 | 2,579,949 | 2,742,944 | ||||||
WaMu Mortgage Pass-Through Certificates Series2004-CB4 Trust | ||||||||
5.50%, 12/25/2019 | 5,228 | 5,245 | ||||||
WaMu Mortgage Pass-Through Certificates Series2004-RS2 | ||||||||
5.00%, 11/25/2033 | 53,744 | 53,849 | ||||||
WaMu Mortgage Pass-Through Certificates Series2004-S2 Trust | ||||||||
5.50%, 06/25/2034 | 335,856 | 347,808 | ||||||
WaMu Mortgage Pass-Through Certificates Series2004-S3 Trust | ||||||||
5.00%, 07/25/2034 | 44,077 | 44,123 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2006-AR10 Trust | ||||||||
3.99%, 09/25/2036(4) | 11,240 | 9,962 | ||||||
WaMu Mortgage Pass-Through Certificates Series2006-AR8 Trust | ||||||||
3.88%, 08/25/2046(4) | 66,585 | 62,521 |
Washington Mutual Mortgage Pass-Through Certificates WMALT Series2005-1 Trust | ||||||||
0.00%, 03/25/2035 PO | 12,013 | 9,502 | ||||||
5.50%, 03/25/2035 | 97,007 | 95,332 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series2005-2 Trust | ||||||||
2.49%(-1 x 1 Month LIBOR USD + 5.00%, 5.00% Cap), 04/25/2035 IO(2)(5) | 241,099 | 23,342 | ||||||
2.54%(-1 x 1 Month LIBOR USD + 5.05%, 5.05% Cap), 04/25/2035 IO(2)(5) | 762,436 | 68,659 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series2005-4 Trust | ||||||||
5.50%, 06/25/2035 | 273,616 | 260,882 | ||||||
5.50%, 06/25/2035 IO | 270,830 | 51,369 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series2005-6 Trust | ||||||||
5.50%, 08/25/2035 | 50,388 | 47,807 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series2006-1 Trust | ||||||||
5.75%, 02/25/2036 | 19,857 | 18,487 | ||||||
Washington Mutual MSC Mortgage Pass-Through Certificates Series2003-MS7 Trust | ||||||||
0.00%, 03/25/2033 PO | 443 | 389 | ||||||
Wells Fargo Alternative Loan2003-1 Trust | ||||||||
0.00%, 09/25/2033 PO | 9,122 | 8,257 | ||||||
Wells Fargo Alternative Loan2007-PA3 Trust | ||||||||
5.75%, 07/25/2037 | 21,796 | 19,948 | ||||||
Wells Fargo Commercial Mortgage Trust | ||||||||
2.64%, 11/18/2049 | 20,000,000 | 18,796,366 | ||||||
Wells Fargo Commercial Mortgage Trust 2013-120B | ||||||||
2.71%, 03/20/2028(3)(4) | 1,548,000 | 1,535,605 | ||||||
Wells Fargo Commercial Mortgage Trust 2014-LC16 | ||||||||
2.82%, 08/17/2050 | 3,115,296 | 3,109,009 | ||||||
Wells Fargo Commercial Mortgage Trust2015-C26 | ||||||||
2.99%, 02/15/2048 | 9,300,000 | 9,213,809 | ||||||
Wells Fargo Commercial Mortgage Trust2015-C29 | ||||||||
3.37%, 06/17/2048 | 10,000,000 | 9,950,444 | ||||||
Wells Fargo Commercial Mortgage Trust2015-C30 | ||||||||
3.66%, 09/17/2058 | 729,000 | 734,408 | ||||||
Wells Fargo Commercial Mortgage Trust2015-C31 | ||||||||
3.70%, 11/18/2048 | 3,280,000 | 3,310,199 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-NXS2 | ||||||||
3.50%, 07/17/2058 | 15,000,000 | 15,010,833 | ||||||
Wells Fargo Commercial Mortgage Trust2015-P2 | ||||||||
3.81%, 12/17/2048 | 1,862,631 | 1,902,854 | ||||||
Wells Fargo Commercial Mortgage Trust2016-C34 | ||||||||
3.10%, 06/17/2049 | 686,000 | 662,176 | ||||||
Wells Fargo Commercial Mortgage Trust 2016-LC25 | ||||||||
3.64%, 12/15/2059 | 2,834,000 | 2,824,723 | ||||||
Wells Fargo Commercial Mortgage Trust2017-C38 | ||||||||
3.19%, 07/15/2050 | 13,800,000 | 13,306,497 | ||||||
Wells Fargo Commercial Mortgage Trust2018-C44 | ||||||||
4.21%, 05/17/2051 | 3,405,000 | 3,516,567 | ||||||
Wells Fargo Mortgage Backed Securities2003-K Trust | ||||||||
4.69%, 11/25/2033(4) | 168,896 | 171,271 | ||||||
4.69%, 11/25/2033(4) | 6,479 | 6,600 | ||||||
Wells Fargo Mortgage Backed Securities2003-L Trust | ||||||||
4.78%, 11/25/2033(4) | 23,545 | 23,316 | ||||||
Wells Fargo Mortgage Backed Securities2004-4 Trust | ||||||||
5.50%, 05/25/2034 | 39,760 | 39,936 | ||||||
Wells Fargo Mortgage Backed Securities2004-B Trust | ||||||||
4.19%, 02/25/2034(4) | 53,343 | 53,700 | ||||||
Wells Fargo Mortgage Backed Securities2004-EE Trust | ||||||||
4.48%, 12/25/2034(4) | 1,740,349 | 1,771,463 | ||||||
4.48%, 12/25/2034(4) | 71,718 | 73,759 |
4.57%, 12/25/2034(4) | 146,579 | 151,720 | ||||||
4.57%, 12/25/2034(4) | 47,845 | 49,523 | ||||||
Wells Fargo Mortgage Backed Securities2004-I Trust | ||||||||
4.77%, 07/25/2034(4) | 235,607 | 240,644 | ||||||
Wells Fargo Mortgage Backed Securities2004-P Trust | ||||||||
4.64%, 09/25/2034(4) | 545,546 | 559,702 | ||||||
Wells Fargo Mortgage Backed Securities2004-V Trust | ||||||||
4.55%, 10/25/2034(4) | 82,854 | 84,047 | ||||||
4.55%, 10/25/2034(4) | 106,268 | 109,592 | ||||||
Wells Fargo Mortgage Backed Securities2005-14 Trust | ||||||||
0.00%, 12/25/2035 PO | 8,831 | 7,823 | ||||||
5.50%, 12/25/2035 | 63,344 | 65,240 | ||||||
Wells Fargo Mortgage Backed Securities 2005-AR10 Trust | ||||||||
4.51%, 06/25/2035(4) | 3,361,337 | 3,452,242 | ||||||
Wells Fargo Mortgage Backed Securities2005-AR3 Trust | ||||||||
4.48%, 03/25/2035(4) | 1,219,310 | 1,253,062 | ||||||
Wells Fargo Mortgage Backed Securities2005-AR8 Trust | ||||||||
4.42%, 03/25/2034(4) | 113,573 | 116,680 | ||||||
Wells Fargo Mortgage Backed Securities2007-11 Trust | ||||||||
6.00%, 08/25/2037 | 133,192 | 129,157 | ||||||
Wells Fargo Mortgage Backed Securities2007-7 Trust | ||||||||
6.00%, 06/25/2037 | 21,883 | 21,590 | ||||||
WFRBS Commercial Mortgage Trust2011-C3 | ||||||||
4.38%, 03/17/2044(3) | 1,059,000 | 1,080,457 | ||||||
WFRBS Commercial Mortgage Trust2012-C6 | ||||||||
3.44%, 04/15/2045 | 9,470,780 | 9,517,110 | ||||||
WFRBS Commercial Mortgage Trust2013-C11 | ||||||||
4.27%, 03/17/2045(3)(4) | 300,000 | 291,985 | ||||||
WFRBS Commercial Mortgage Trust2013-C14 | ||||||||
3.07%, 06/15/2046 | 2,244,000 | 2,225,194 | ||||||
3.34%, 06/15/2046 | 229,750 | 230,084 | ||||||
WFRBS Commercial Mortgage Trust2014-C21 | ||||||||
3.68%, 08/16/2047 | 7,000,000 | 7,104,230 | ||||||
WFRBS Commercial Mortgage Trust2014-C23 | ||||||||
3.64%, 10/17/2057 | 3,500,000 | 3,560,660 | ||||||
WFRBS Commercial Mortgage Trust2014-C24 | ||||||||
3.32%, 11/18/2047 | 5,000,000 | 5,041,388 | ||||||
WFRBS Commercial Mortgage Trust2014-C25 | ||||||||
3.63%, 11/18/2047 | 1,847,000 | 1,862,337 | ||||||
WFRBS Commercial Mortgage Trust 2014-LC14 | ||||||||
3.77%, 03/15/2047 | 10,000,000 | 10,188,024 | ||||||
|
| |||||||
Total Mortgage-Backed Obligations (Cost $5,787,349,651) | $ | 5,759,245,034 | ||||||
|
| |||||||
Total Bonds & Notes (Cost $15,991,212,741) | $ | 15,863,628,925 | ||||||
|
| |||||||
Shares | Value | |||||||
PREFERRED STOCKS—0.01% | ||||||||
Financials—0.01% | ||||||||
State Street Co., 5.35% | 95,000 | $ | 2,268,600 | |||||
|
| |||||||
Total Preferred Stocks (Cost $2,375,000) | $ | 2,268,600 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS—2.45% | ||||||||
Money Market Funds—2.44% | ||||||||
Fidelity Institutional Money Market Government Fund - Class I, 2.25%(7)(8) | 196,352,655 | 196,352,655 | ||||||
Goldman Sachs Financial Square Government Fund - Class I, 2.34%(7)(8) | 196,913,257 | 196,913,257 | ||||||
|
| |||||||
$ | 393,265,912 | |||||||
|
|
Principal Amount | Value | |||||||
U.S. Treasury Bills—0.01% | ||||||||
U.S. Treasury Bill, 0.00%, 03/28/2019(10) | $ | 1,000,000 | $ | 994,291 | ||||
|
| |||||||
Total Short-Term Investments(Cost $394,261,038) | $ | 394,260,203 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES—100.97% | $ | 16,260,157,728 | ||||||
TBA SALE COMMITMENTS—(0.06)% | ||||||||
Mortgage-Backed Obligations—(0.06)% | ||||||||
Fannie Mae | ||||||||
3.50%, 01/15/2026(14) | (1,000,000 | ) | $ | (1,012,197) | ||||
Freddie Mac Gold Pool | ||||||||
4.00%, 01/15/2041(14) | (8,000,000 | ) | (8,155,435) | |||||
|
| |||||||
Total TBA Sale Commitments (Proceeds Received: $9,078,594) | $ | (9,167,632) | ||||||
|
| |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(0.91)% | (146,908,092) | |||||||
|
| |||||||
TOTAL NET ASSETS—100.00% | $ | 16,104,082,004 | ||||||
|
|
Percentages are stated as a percent of net assets.
IO | Interest Only Strip. |
PO | Principal Only Strip. |
(1) | Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. The rate reported is the rate in effect as of December 31, 2018. |
(2) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of December 31, 2018. |
(3) | 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 $2,818,168,509, which represents 17.50% of total net assets. |
(4) | Variable rate security. The coupon is based on an underlying pool of assets. The rate reported is the rate in effect as of December 31, 2018. |
(5) | 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. |
(6) | Delayed delivery purchase commitment security. The value of these securities total $233,265,881, which represents 1.45% of total net assets. |
(7) | Partially assigned as collateral for certain delayed delivery securities. |
(8) | Represents annualizedseven-day yield as of the close of the reporting period. |
(9) | Security is in default as of December 31, 2018. The value of these securities total $607,426, which represents 0.00% of total net assets. |
(10) | Partially assigned as collateral for certain futures contracts. The value of these pledged issues total $5,819,900 which represents 0.04% of total net assets. |
(11) | Inflation protected security. The value of these securities total $38,009,726, which represents 0.24% of total net assets. |
(12) | Security is categorized as Level 3 per the Trust’s fair value hierarchy. These securities represent $87,518,593 or 0.54% of total net assets. |
(13) | Security is restricted at December 31, 2018. The value of the restricted security totals $1,921,368, which represents 0.01% of total net assets. |
(14) | Delayed delivery sale commitment security. The value of these securities total $9,167,632, which represents 0.06% of total net assets. |
Open Futures Contracts
Number of Contracts Purchased | Reference Entity | Counterparty | Expiration Date | Notional Amount | Value | Unrealized Appreciation / (Depreciation) | ||||||||||||
1,213 | U.S. 5 Year Note Future | J.P. Morgan | Mar. 2019 | $ | 137,082,025 | $ | 139,115,937 | $ | 2,033,912 | |||||||||
1,086 | U.S. 2 Year Note Future | J.P. Morgan | Mar. 2019 | 229,377,904 | 230,571,375 | 1,193,471 | ||||||||||||
1,463 | U.S. Ultra Long-Term Bond Future | J.P. Morgan | Mar. 2019 | 223,606,917 | 235,040,094 | 11,433,177 | ||||||||||||
|
| |||||||||||||||||
$ | 14,660,560 | |||||||||||||||||
|
| |||||||||||||||||
Number of Contracts Sold | Reference Entity | Counterparty | Expiration | Notional Amount | Value | Unrealized Appreciation / (Depreciation) | ||||||||||||
(2,042) | U.S. 10 Year Bond Future | J.P. Morgan | Mar. 2019 | $ | (245,877,064 | ) | $ | (249,155,906 | ) | $ | (3,278,842 | ) | ||||||
(184) | U.S. Long Bond Future | J.P. Morgan | Mar. 2019 | (26,091,304 | ) | (26,864,000 | ) | (772,696 | ) | |||||||||
|
| |||||||||||||||||
$ | (4,051,538 | ) | ||||||||||||||||
|
| |||||||||||||||||
$ | 10,609,022 | |||||||||||||||||
|
|
Centrally Cleared Interest Rate Swaps
Fixed Annual Rate | Floating Rate Index | Floating Rate Paid | Payment | Maturity Date | Notional Amount | Upfront Premium Paid / (Received) | Unrealized Appreciation / (Depreciation) | Value | ||||||||||||||||||||
2.49 | % | U.S. Federal Funds Effective Rate | Received | Annually | 10/31/2025 | $ | 95,670,000 | $ | 613 | $ | (972,169 | ) | $ | (971,556) | ||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 613 | $ | (972,169 | ) | $ | (971,556) | ||||||||||||||||||||||
|
|
|
|
|
|
Bridge Builder Core Plus Bond Fund
Schedule of Investments
December 31, 2018 (Unaudited)
Principal Amount | Value | |||||||
BONDS & NOTES—99.07% | ||||||||
Asset-Backed Obligations—13.98% | ||||||||
AASET2018-1 U.S. Ltd. | ||||||||
3.84%, 01/16/2038(1) | $ | 878,718 | $ | 881,546 | ||||
ABFC 2005-WMC1 Trust | ||||||||
3.24% (1 Month LIBOR USD + 0.74%, 0.49% Floor), 06/25/2035(2) | 7,005,762 | 6,791,002 | ||||||
ABFC2007-NC1 Trust | ||||||||
2.81% (1 Month LIBOR USD + 0.30%, 0.30% Floor), 05/25/2037(1)(2) | 7,513,081 | 7,252,275 | ||||||
ACC Trust2018-1 3.70%, 12/21/2020(1) | 318,190 | 318,336 | ||||||
Accredited Mortgage Loan Trust2003-2 | ||||||||
3.21% (1 Month LIBOR USD + 0.70%, 0.35% Floor, 13.00% Cap), 10/25/2033(2) | 2,040,399 | 2,001,682 | ||||||
ACE Securities Corp. Home Equity Loan Trust Series2004-HE3 | ||||||||
3.44% (1 Month LIBOR USD + 0.93%, 0.62% Floor), 11/25/2034(2) | 3,736,325 | 3,709,695 | ||||||
ACE Securities Corp. Home Equity Loan Trust Series2005-HE3 | ||||||||
3.21% (1 Month LIBOR USD + 0.71%, 0.47% Floor), 05/25/2035(2) | 7,185,000 | 7,111,219 | ||||||
Adams Outdoor Advertising LP | ||||||||
5.65%, 11/15/2048(1) | 1,475,000 | 1,519,400 | ||||||
Aegis Asset Backed Securities Trust2005-5 | ||||||||
2.76% (1 Month LIBOR USD + 0.25%, 0.25% Floor), 12/25/2035(2) | 3,805,966 | 3,791,077 | ||||||
Airspeed Ltd. | ||||||||
2.73% (1 Month LIBOR USD + 0.27%), 06/15/2032(1)(2) | 4,618,268 | 4,427,117 | ||||||
2.74% (1 Month LIBOR USD + 0.28%, 0.30% Floor), 06/15/2032(1)(2) | 5,703,956 | 5,467,815 | ||||||
Ajax Mortgage Loan Trust2016-C | ||||||||
4.00%, 10/25/2057(1)(3) | 1,311,289 | 1,309,740 | ||||||
Allegro CLO III Ltd. | ||||||||
3.33% (3 Month LIBOR USD + 0.84%), 07/26/2027(1)(2) | 1,970,000 | 1,959,167 | ||||||
Ally Auto Receivables Trust2015-2 | ||||||||
2.07%, 10/15/2020(1) | 820,000 | 818,408 | ||||||
3.01%, 03/15/2022(1) | 195,000 | 194,973 | ||||||
Ally Auto Receivables Trust2016-1 | ||||||||
1.99%, 03/15/2021 | 790,000 | 786,166 | ||||||
Ally Auto Receivables Trust2017-2 | ||||||||
2.33%, 06/15/2022 | 210,000 | 207,677 | ||||||
Ally Auto Receivables Trust2018-2 | ||||||||
2.92%, 11/15/2022 | 5,510,000 | 5,500,536 | ||||||
Ally Master Owner Trust | ||||||||
2.70%, 01/15/2023 | 3,985,000 | 3,955,130 | ||||||
3.30%, 07/15/2023 | 5,940,000 | 5,977,268 | ||||||
American Credit Acceptance Receivables Trust2018-3 | ||||||||
2.92%, 08/12/2021(1) | 8,984,491 | 8,969,586 | ||||||
American Express Credit Account Master Trust | ||||||||
1.77%, 11/15/2022 | 8,415,000 | 8,294,765 | ||||||
2.04%, 05/15/2023 | 100,000 | 98,459 | ||||||
3.06%, 02/15/2024 | 8,986,000 | 9,016,652 | ||||||
3.04% (1 Month LIBOR USD + 0.58%), 02/18/2025(2) | 1,675,000 | 1,679,529 | ||||||
2.54%, 05/15/2025 | 1,185,000 | 1,162,043 | ||||||
American Homes 4 Rent 2014-SFR2 Trust | ||||||||
6.23%, 10/17/2036(1) | 515,000 | 567,142 | ||||||
American Homes 4 Rent 2015-SFR1 Trust | ||||||||
5.89%, 04/18/2052(1) | 2,378,000 | 2,557,293 | ||||||
AmeriCredit Automobile Receivables2015-4 | ||||||||
3.72%, 12/08/2021 | 2,671,000 | 2,683,885 |
AmeriCredit Automobile Receivables2016-1 | ||||||||
1.81%, 10/08/2020 | 305 | 305 | ||||||
3.59%, 02/08/2022 | 916,000 | 920,339 | ||||||
AmeriCredit Automobile Receivables Trust2014-3 | ||||||||
3.72%, 03/08/2022(1) | 840,000 | 841,152 | ||||||
AmeriCredit Automobile Receivables Trust2014-4 | ||||||||
3.07%, 11/09/2020 | 5,600,000 | 5,598,310 | ||||||
3.66%, 03/08/2022 | 930,000 | 931,434 | ||||||
AmeriCredit Automobile Receivables Trust2015-3 | ||||||||
3.34%, 08/09/2021 | 1,865,000 | 1,871,060 | ||||||
AmeriCredit Automobile Receivables Trust2016-2 | ||||||||
1.60%, 11/09/2020 | 161,150 | 161,026 | ||||||
2.87%, 11/08/2021 | 290,000 | 289,229 | ||||||
3.65%, 05/09/2022 | 605,000 | 609,970 | ||||||
AmeriCredit Automobile Receivables Trust2016-3 | ||||||||
2.24%, 04/08/2022 | 2,000,000 | 1,968,883 | ||||||
2.71%, 09/08/2022 | 3,615,000 | 3,570,435 | ||||||
AmeriCredit Automobile Receivables Trust2016-4 | ||||||||
2.74%, 12/08/2022 | 1,795,000 | 1,772,489 | ||||||
AmeriCredit Automobile Receivables Trust2017-3 | ||||||||
2.24%, 06/19/2023 | 335,000 | 330,760 | ||||||
2.69%, 06/19/2023 | 345,000 | 340,832 | ||||||
AmeriCredit Automobile Receivables Trust2017-4 | ||||||||
2.60%, 09/18/2023 | 705,000 | 693,213 | ||||||
AmeriCredit Automobile Receivables Trust2018-1 | ||||||||
3.82%, 03/18/2024 | 955,000 | 960,582 | ||||||
AmeriCredit Automobile Receivables Trust2018-2 | ||||||||
3.59%, 06/18/2024 | 5,970,000 | 6,018,957 | ||||||
4.01%, 07/18/2024 | 2,940,000 | 2,978,201 | ||||||
AmeriCredit Automobile Receivables Trust2018-3 | ||||||||
4.04%, 11/18/2024 | 4,310,000 | 4,361,479 | ||||||
Ameriquest Mortgage Securities Trust2004-R8 | ||||||||
3.47% (1 Month LIBOR USD + 0.96%, 0.64% Floor), 09/25/2034(2) | 855,155 | 854,742 | ||||||
Ameriquest Mortgage Securities Trust2005-R5 | ||||||||
3.24% (1 Month LIBOR USD + 0.74%, 0.49% Floor), 07/25/2035(2) | 4,284,043 | 4,265,885 | ||||||
Ameriquest Mortgage Securities Trust2006-R2 | ||||||||
2.68% (1 Month LIBOR USD + 0.18%, 0.18% Floor), 04/25/2036(2) | 486,499 | 485,965 | ||||||
Ammc CLO 19 Ltd. | ||||||||
3.94% (3 Month LIBOR USD + 1.50%), 10/16/2028(1)(2) | 4,255,000 | 4,253,706 | ||||||
Argent Securities Inc.2004-W5 | ||||||||
3.41% (1 Month LIBOR USD + 0.90%, 0.45% Floor), 04/25/2034(2) | 2,043,791 | 2,028,413 | ||||||
ARI Fleet Lease Trust2017-A | ||||||||
1.91%, 04/15/2026(1) | 326,379 | 324,024 | ||||||
2.28%, 04/15/2026(1) | 1,305,000 | 1,289,990 | ||||||
Ascentium Equipment Receivables2017-1 Trust | ||||||||
1.87%, 07/10/2019(1) | 7,826 | 7,822 | ||||||
2.29%, 06/10/2021(1) | 170,000 | 168,726 | ||||||
Atlas Senior Loan Fund IV Ltd. | ||||||||
3.30% (3 Month LIBOR USD + 0.68%), 02/17/2026(1)(2) | 6,375,895 | 6,338,762 | ||||||
Atrium XII | ||||||||
3.30% (3 Month LIBOR USD + 0.83%), 04/22/2027(1)(2) | 5,570,000 | 5,500,960 | ||||||
Avis Budget Rental Car Funding AESOP LLC | ||||||||
2.97%, 02/20/2020(1) | 483,333 | 483,126 | ||||||
2.46%, 07/20/2020(1) | 2,630,000 | 2,622,296 | ||||||
2.50%, 02/20/2021(1) | 3,245,000 | 3,230,155 | ||||||
2.50%, 07/20/2021(1) | 1,230,000 | 1,218,324 | ||||||
2.63%, 12/20/2021(1) | 6,270,000 | 6,199,981 | ||||||
2.72%, 11/20/2022(1) | 1,545,000 | 1,520,248 | ||||||
2.97%, 03/20/2024(1) | 19,773,000 | 19,354,036 |
BA Credit Card Trust | ||||||||
3.10%, 12/15/2023 | 16,205,000 | 16,303,633 | ||||||
Babson CLO Ltd.2016-II | ||||||||
3.56% (3 Month LIBOR USD + 1.08%, 1.08% Floor), 07/20/2028(1)(2) | 3,710,000 | 3,705,997 | ||||||
Barclays Dryrock Issuance Trust | ||||||||
2.20%, 12/15/2022 | 1,705,000 | 1,688,775 | ||||||
Barings CLO Ltd.2013-I | ||||||||
3.27% (3 Month LIBOR USD + 0.80%, 0.80% Floor), 01/20/2028(1)(2) | 5,130,000 | 5,081,983 | ||||||
Bayview Opportunity Master Fund IIIa Trust2017-RN8 | ||||||||
3.35%, 11/29/2032(1)(3) | 444,601 | 442,678 | ||||||
Bayview Opportunity Master Fund IV Trust2018-RN2 | ||||||||
3.60%, 02/28/2033(1)(3) | 500,305 | 496,437 | ||||||
Bayview Opportunity Master Fund IVa Trust2017-RT1 | ||||||||
3.00%, 03/28/2057(1)(4) | 200,509 | 196,139 | ||||||
Bayview Opportunity Master Fund IVa Trust 2017-SPL5 | ||||||||
3.50%, 07/28/2057(1)(4) | 343,641 | 340,514 | ||||||
Bayview Opportunity Master Fund IVa Trust2018-RN1 | ||||||||
3.28%, 01/28/2033(1)(3) | 165,193 | 165,238 | ||||||
Bayview Opportunity Master Fund IVa Trust2018-RN3 | ||||||||
3.67%, 03/28/2033(1)(3) | 795,735 | 795,013 | ||||||
Bayview Opportunity Master Fund IVb Trust2017-RT2 | ||||||||
3.50%, 08/28/2057(1)(4) | 1,179,861 | 1,169,278 | ||||||
Bayview Opportunity Master Fund IVb Trust2018-RN9 | ||||||||
4.21%, 10/28/2033(1)(3) | 1,339,057 | 1,339,910 | ||||||
Bayview Opportunity Master Fund Trust2018-RN8 | ||||||||
4.07%, 09/28/2033(1)(3) | 1,022,886 | 1,023,927 | ||||||
Bayview Opportunity Master Fund Trust IIb2018-RN5 | ||||||||
3.82%, 04/28/2033(1)(3) | 483,275 | 482,615 | ||||||
BCMSC Trust1999-B | ||||||||
6.61%, 12/15/2029(4)(12) | 3,594,315 | 1,111,927 | ||||||
Bear Stearns Asset Backed Securities I Trust2007-HE2 | ||||||||
2.67% (1 Month LIBOR USD + 0.16%, 0.16% Floor), 01/25/2037(2) | 17,433,703 | 17,192,592 | ||||||
Betony CLO 2 Ltd. | ||||||||
3.60% (3 Month LIBOR USD + 1.08%), 04/30/2031(1)(2) | 2,680,000 | 2,635,072 | ||||||
Blackbird Capital Aircraft Lease Securitization Ltd. | ||||||||
2016-1 4.21%, 12/16/2041(1)(3) | 1,311,510 | 1,335,258 | ||||||
BlueMountain CLO2015-2 Ltd. | ||||||||
3.37% (3 Month LIBOR USD + 0.93%, 0.93% Floor), 07/19/2027(1)(2) | 3,395,000 | 3,361,291 | ||||||
3.94% (3 Month LIBOR USD + 1.50%, 1.50% Floor), 07/19/2027(1)(2) | 1,915,000 | 1,867,916 | ||||||
4.49% (3 Month LIBOR USD + 2.05%, 2.05% Floor), 07/19/2027(1)(2) | 1,305,000 | 1,265,682 | ||||||
BMW Vehicle Lease Trust2016-2 | ||||||||
1.57%, 02/20/2020 | 960,000 | 956,425 | ||||||
BMW Vehicle Lease Trust2017-2 | ||||||||
2.07%, 10/20/2020 | 1,275,000 | 1,265,549 | ||||||
California Republic Auto Receivables Trust2017-1 | ||||||||
3.76%, 12/15/2023 | 1,300,000 | 1,305,460 | ||||||
California Republic Auto Receivables Trust2018-1 | ||||||||
4.33%, 04/15/2025 | 2,050,000 | 2,074,471 | ||||||
CAM Mortgage Trust2018-1 | ||||||||
3.96%, 12/25/2058(1)(3) | 589,382 | 593,332 | ||||||
Capital Auto Receivables Asset Trust2015-2 | ||||||||
4.50%, 01/22/2024 | 1,545,000 | 1,551,795 | ||||||
Capital Auto Receivables Asset Trust2016-2 | ||||||||
1.63%, 01/20/2021 | 755,000 | 750,620 | ||||||
Capital Auto Receivables Asset Trust2018-1 | ||||||||
3.36%, 11/21/2022(1) | 10,730,000 | 10,760,201 | ||||||
Capital One Multi-Asset Execution Trust | ||||||||
1.99%, 07/17/2023 | 3,135,000 | 3,086,399 | ||||||
2.05%, 08/15/2023 | 12,515,000 | 12,330,784 | ||||||
2.43%, 01/15/2025 | 8,440,000 | 8,345,132 |
Capitalsource Real Estate Loan Trust | ||||||||
2.86% (3 Month LIBOR USD + 0.39%), 01/20/2037(1)(2) | 1,534,326 | 1,530,283 | ||||||
2.98% (3 Month LIBOR USD + 0.65%), 01/20/2037(1)(2) | 3,400,000 | 3,128,000 | ||||||
2.98% (3 Month LIBOR USD + 0.85%), 01/20/2037(1)(2) | 700,000 | 627,208 | ||||||
3.08% (3 Month LIBOR USD + 0.75%), 01/20/2037(1)(2) | 1,200,000 | 1,101,899 | ||||||
Carlyle Global Market Strategies CLO2015-3 Ltd. | ||||||||
3.51% (3 Month LIBOR USD + 1.00%), 07/28/2028(1)(2) | 11,615,000 | 11,515,285 | ||||||
CarMax Auto Owner Trust2016-3 | ||||||||
1.90%, 04/15/2022 | 3,752,000 | 3,683,244 | ||||||
CarMax Auto Owner Trust2016-4 | ||||||||
1.40%, 08/16/2021 | 1,074,089 | 1,061,628 | ||||||
2.26%, 07/15/2022 | 265,000 | 259,708 | ||||||
CarMax Auto Owner Trust2018-2 | ||||||||
3.57%, 12/15/2023 | 1,420,000 | 1,433,740 | ||||||
Castlelake Aircraft Securitization Trust | ||||||||
3.97%, 07/15/2042 | 1,075,278 | 1,065,581 | ||||||
Castlelake Aircraft Securitization Trust2018-1 | ||||||||
4.13%, 06/15/2043(1) | 6,991,175 | 7,098,911 | ||||||
CCG Receivables Trust2016-1 | ||||||||
1.69%, 09/14/2022(1) | 277,183 | 276,159 | ||||||
CCG Receivables Trust2017-1 | ||||||||
1.84%, 11/14/2023(1) | 559,556 | 554,846 | ||||||
Cent CLO 24 Ltd. | ||||||||
3.51% (3 Month LIBOR USD + 1.07%), 10/15/2026(1)(2) | 19,150,000 | 18,970,660 | ||||||
CHEC Loan Trust2004-2 | ||||||||
3.15% (1 Month LIBOR USD + 0.64%, 0.64% Floor), 06/25/2034(2) | 1,821,156 | 1,801,122 | ||||||
Chrysler Capital Auto Receivables Trust2016-B | ||||||||
1.64%, 07/15/2021(1) | 309,377 | 307,850 | ||||||
CIFC Funding2015-IV Ltd. | ||||||||
0.00% (3 Month LIBOR USD + 1.15%, 1.15% Floor), 10/20/2027(1)(2) | 3,920,000 | 3,920,000 | ||||||
CIFC Funding2015-V Ltd. | ||||||||
3.35% (3 Month LIBOR USD + 0.86%), 10/25/2027(1)(2) | 2,990,000 | 2,971,486 | ||||||
Citibank Credit Card Issuance Trust | ||||||||
1.92%, 04/07/2022 | 9,495,000 | 9,374,077 | ||||||
1.86%, 08/08/2022 | 2,060,000 | 2,026,431 | ||||||
Citigroup Mortgage Loan Trust 2007-AHL1 | ||||||||
2.65% (1 Month LIBOR USD + 0.14%, 0.14% Floor), 12/25/2036(2) | 4,014,289 | 3,972,294 | ||||||
Citigroup Mortgage Loan Trust, Inc. | ||||||||
3.14% (1 Month LIBOR USD + 0.63%, 0.42% Floor), 02/25/2035(2) | 3,020,991 | 2,995,330 | ||||||
3.41% (1 Month LIBOR USD + 0.90%, 0.60% Floor), 09/25/2035(2) | 7,900,000 | 7,926,378 | ||||||
3.11% (1 Month LIBOR USD + 0.60%, 0.60% Floor), 10/25/2035(2) | 14,327,000 | 11,540,796 | ||||||
CNH Equipment Trust2017-C | ||||||||
2.08%, 02/15/2023 | 1,245,000 | 1,228,973 | ||||||
2.54%, 05/15/2025 | 60,000 | 59,224 | ||||||
Coinstar Funding LLC Series2017-1 | ||||||||
5.22%, 04/25/2047(1) | 8,663,075 | 8,755,594 | ||||||
Cole Park CLO Ltd2015-1 | ||||||||
0.00% (3 Month LIBOR USD + 1.05%), 10/20/2028(1)(2) | 6,820,000 | 6,812,641 | ||||||
College Ave Student Loans LLC2017-A | ||||||||
4.16% (1 Month LIBOR USD + 1.65%, 1.65% Floor), 11/26/2046(1)(2) | 6,048,088 | 6,132,141 | ||||||
College Ave Student Loans LLC2018-A | ||||||||
3.71% (1 Month LIBOR USD + 1.20%), 12/26/2047(1)(2) | 2,675,925 | 2,665,553 | ||||||
4.13%, 12/26/2047(1) | 3,648,989 | 3,703,141 | ||||||
Colony American Finance2015-1 Ltd. | ||||||||
4.83%, 10/18/2047(1) | 725,000 | 725,707 | ||||||
Colony Starwood Homes2016-2 Trust | ||||||||
5.81% (1 Month LIBOR USD + 3.35%, 3.35% Floor), 12/17/2033(1)(2) | 1,708,473 | 1,717,725 | ||||||
3.71% (1 Month LIBOR USD + 1.25%, 1.25% Floor), 12/19/2033(1)(2) | 1,552,630 | 1,555,849 | ||||||
4.21% (1 Month LIBOR USD + 1.75%, 1.75% Floor), 12/19/2033(1)(2) | 1,435,710 | 1,436,154 |
Conseco Finance Securitizations Corp. | ||||||||
8.06%, 09/01/2029(4) | 13,148,274 | 6,119,093 | ||||||
7.97%, 05/01/2032 | 736,287 | 321,872 | ||||||
8.31%, 05/01/2032(4) | 8,531,764 | 3,885,795 | ||||||
Conseco Financial Corp. | ||||||||
7.70%, 05/15/2027(4) | 9,803,178 | 9,327,772 | ||||||
CoreVest American Finance2018-1 Trust | ||||||||
3.80%, 06/16/2051(1) | 1,921,547 | 1,928,957 | ||||||
Countrywide Asset-Backed Certificates | ||||||||
2.69% (1 Month LIBOR USD + 0.18%, 0.18% Floor), 03/25/2036(2) | 46,836,712 | 44,402,056 | ||||||
2.75% (1 Month LIBOR USD + 0.24%, 0.24% Floor), 03/25/2036(2) | 3,351,339 | 2,969,643 | ||||||
2.90% (1 Month LIBOR USD + 0.39%, 0.39% Floor), 04/25/2036(2) | 1,000,000 | 865,155 | ||||||
2.93% (1 Month LIBOR USD + 0.42%, 0.42% Floor), 05/25/2036(2) | 2,000,000 | 1,834,969 | ||||||
2.68% (1 Month LIBOR USD + 0.17%, 0.17% Floor), 03/25/2037(2) | 6,377,156 | 6,108,262 | ||||||
CPS Auto Receivables Trust2016-C | ||||||||
5.92%, 06/15/2022(1) | 1,985,000 | 2,045,558 | ||||||
CPS Auto Receivables Trust2017-C | ||||||||
3.79%, 06/15/2023(1) | 1,530,000 | 1,531,664 | ||||||
CPS Auto Receivables Trust2017-D | ||||||||
3.73%, 09/15/2023(1) | 645,000 | 643,463 | ||||||
CPS Auto Receivables Trust2018-B | ||||||||
4.26%, 03/15/2024(1) | 1,715,000 | 1,744,893 | ||||||
CPS Auto Trust | ||||||||
4.53%, 01/17/2023(1) | 1,465,000 | 1,489,127 | ||||||
Credit Acceptance Auto Loan Trust2017-3 | ||||||||
3.48%, 10/15/2026(1) | 1,405,000 | 1,398,175 | ||||||
Credit Acceptance Auto Loan Trust2018-1 | ||||||||
3.77%, 06/15/2027(1) | 2,255,000 | 2,253,537 | ||||||
Credit Acceptance Auto Loan Trust2018-2 | ||||||||
4.16%, 09/15/2027(1) | 3,045,000 | 3,088,502 | ||||||
Credit Acceptance Auto Loan Trust2018-3 | ||||||||
4.04%, 12/15/2027(1) | 3,110,000 | 3,142,851 | ||||||
CWABS Asset-Backed Certificates Trust2004-13 | ||||||||
3.36% (1 Month LIBOR USD + 0.85%), 04/25/2035(2) | 497,198 | 498,617 | ||||||
CWABS Asset-Backed Certificates Trust2005-7 | ||||||||
3.09% (1 Month LIBOR USD + 0.58%, 0.58% Floor), 09/25/2035(2) | 3,867,758 | 3,860,880 | ||||||
DB Master Finance LLC | ||||||||
4.03%, 11/20/2047(1) | 1,598,850 | 1,544,297 | ||||||
Denali Capital CLO X LLC | ||||||||
3.56% (3 Month LIBOR USD + 1.05%), 10/26/2027(1)(2) | 6,500,000 | 6,464,913 | ||||||
Discover Card Execution Note Trust | ||||||||
1.90%, 10/17/2022 | 11,715,000 | 11,553,764 | ||||||
3.11%, 01/16/2024 | 8,520,000 | 8,569,805 | ||||||
Domino’s Pizza Master Issuer LLC | ||||||||
4.12%, 07/25/2047(1) | 3,308,125 | 3,241,202 | ||||||
4.12%, 07/25/2048(1) | 1,601,950 | 1,580,436 | ||||||
4.33%, 07/25/2048(1) | 621,875 | 628,504 | ||||||
Drive Auto Receivables Trust | ||||||||
2.45%, 09/16/2019 | 4,776,536 | 4,775,245 | ||||||
2.73% (1 Month LIBOR USD + 0.27%, 0.27% Floor), 10/15/2020(2) | 16,200,000 | 16,190,342 | ||||||
2.78%, 10/15/2020 | 13,000,000 | 12,986,059 | ||||||
4.30%, 09/16/2024 | 3,195,000 | 3,237,341 | ||||||
Drive Auto Receivables Trust2018-1 | ||||||||
3.81%, 05/15/2024 | 3,000,000 | 3,004,646 | ||||||
Drive Auto Receivables Trust2018-2 | ||||||||
4.14%, 08/15/2024 | 3,215,000 | 3,240,415 | ||||||
Drive Auto Receivables Trust2018-5 | ||||||||
4.30%, 04/15/2026 | 2,685,000 | 2,718,651 | ||||||
Driven Brands Funding LLC | ||||||||
4.74%, 04/20/2048(1) | 1,064,650 | 1,083,792 | ||||||
Dryden 30 Senior Loan Fund | ||||||||
3.43% (3 Month LIBOR USD + 0.82%), 11/15/2028(1)(2) | 1,200,000 | 1,181,916 |
Dryden 35 Euro CLO 2014 BV | ||||||||
0.69% (6 Month EURIBOR + 0.95%), 05/17/2027(1)(2) | EUR | 13,350,000 | 15,247,196 | |||||
Dryden 71 CLO Ltd. | ||||||||
0.00% (3 Month LIBOR USD + 1.15%, 1.15% Floor), 01/15/2029(1)(2) | $ | 11,500,000 | 11,500,000 | |||||
Dryden XXVI Senior Loan Fund | ||||||||
3.34% (3 Month LIBOR USD + 0.90%), 04/16/2029(1)(2) | 4,500,000 | 4,443,858 | ||||||
DT Auto Owner Trust2016-4 | ||||||||
3.77%, 10/17/2022(1) | 115,000 | 115,174 | ||||||
DT Auto Owner Trust2017-1 | ||||||||
3.55%, 11/15/2022(1) | 2,595,000 | 2,597,969 | ||||||
DT Auto Owner Trust2017-2 | ||||||||
3.89%, 01/17/2023(1) | 4,825,000 | 4,841,530 | ||||||
DT Auto Owner Trust2017-4 | ||||||||
3.47%, 07/17/2023(1) | 975,000 | 972,080 | ||||||
DT Auto Owner Trust2018-2 | ||||||||
4.15%, 03/15/2024(1) | 1,435,000 | 1,443,506 | ||||||
ECAF I Ltd. | ||||||||
3.47%, 06/15/2040(1) | 930,528 | 921,880 | ||||||
ECMC Group Student Loan Trust2017-2 | ||||||||
3.56% (1 Month LIBOR USD + 1.05%), 05/25/2067(1)(2) | 9,712,950 | 9,848,711 | ||||||
Enterprise Fleet Financing2018-2 LLC | ||||||||
2.55%, 08/20/2019(1) | 4,434,291 | 4,430,302 | ||||||
3.14%, 02/20/2024(1) | 7,080,000 | 7,074,770 | ||||||
Enterprise Fleet Financing LLC | ||||||||
2.08%, 09/20/2021(1) | 510,000 | 508,376 | ||||||
2.04%, 02/22/2022(1) | 2,185,000 | 2,156,528 | ||||||
2.13%, 07/20/2022(1) | 175,222 | 174,186 | ||||||
1.97%, 01/20/2023(1) | 616,540 | 611,778 | ||||||
2.36%, 05/20/2023(1) | 9,435,000 | 9,291,605 | ||||||
Exeter Automobile Receivables Trust2018-1 | ||||||||
3.53%, 11/15/2023(1) | 595,000 | 593,168 | ||||||
Fieldstone Mortgage Investment Trust Series2005-1 | ||||||||
3.63% (1 Month LIBOR USD + 1.13%, 0.75% Floor, 12.25% Cap), 03/25/2035(2) | 5,993,589 | 5,747,975 | ||||||
Fieldstone Mortgage Investment Trust Series2006-3 | ||||||||
2.46% (1 Month LIBOR USD + 0.14%, 0.14% Floor, 12.25% Cap), 11/25/2036(2) | 9,473,343 | 8,562,314 | ||||||
First Franklin Mortgage Loan Trust2004-FF7 | ||||||||
4.68% (1 Month LIBOR USD + 2.18%, 1.45% Floor), 09/25/2034(2) | 854,074 | 834,259 | ||||||
First Franklin Mortgage Loan Trust 2006-FF16 | ||||||||
2.72% (1 Month LIBOR USD + 0.21%, 0.21% Floor), 12/25/2036(2) | 7,420,928 | 4,395,523 | ||||||
First Investors Auto Owner Trust2015-2 | ||||||||
4.22%, 12/15/2021(1) | 270,000 | 271,633 | ||||||
First Investors Auto Owner Trust2016-2 | ||||||||
3.35%, 11/15/2022(1) | 850,000 | 843,692 | ||||||
First Investors Auto Owner Trust2017-2 | ||||||||
1.86%, 10/15/2021(1) | 2,167,576 | 2,157,213 | ||||||
3.56%, 09/15/2023(1) | 975,000 | 970,798 | ||||||
First Investors Auto Owner Trust2018-1 | ||||||||
4.11%, 06/17/2024(1) | 605,000 | 611,267 | ||||||
Five Guys Holdings, Inc. | ||||||||
4.60%, 07/25/2047(1) | 4,198,275 | 4,281,930 | ||||||
Flagship Credit Auto Trust2016-3 | ||||||||
3.89%, 11/15/2022(1) | 810,000 | 813,938 | ||||||
Flagship Credit Auto Trust2017-1 | ||||||||
4.23%, 05/15/2023(1) | 260,000 | 263,453 | ||||||
Flagship Credit Auto Trust2018-1 | ||||||||
3.86%, 04/15/2024(1) | 1,285,000 | 1,284,535 | ||||||
Flagship Credit Auto Trust2018-2 | ||||||||
4.23%, 09/16/2024(1) | 1,580,000 | 1,596,143 | ||||||
Flatiron CLO2015-1 Ltd. | ||||||||
3.33% (3 Month LIBOR USD + 0.89%), 04/15/2027(1)(2) | 5,000,000 | 4,974,055 |
Ford Credit Auto Owner Trust2016-C | ||||||||
1.22%, 03/15/2021 | 2,099,283 | 2,079,768 | ||||||
1.73%, 03/15/2022 | 555,000 | 544,318 | ||||||
1.93%, 04/15/2023 | 370,000 | 362,243 | ||||||
Ford Credit Auto Owner Trust2017-B | ||||||||
1.69%, 11/15/2021 | 4,070,000 | 4,019,906 | ||||||
Ford Credit Auto Owner Trust2017-C | ||||||||
2.01%, 03/15/2022 | 1,505,000 | 1,487,318 | ||||||
Ford Credit Auto Owner Trust2018-A | ||||||||
3.16%, 10/15/2023 | 8,225,000 | 8,270,539 | ||||||
Ford Credit Floorplan Master Owner Trust A | ||||||||
1.55%, 07/15/2021 | 2,660,000 | 2,639,412 | ||||||
2.16%, 11/15/2021 | 385,000 | 381,731 | ||||||
2.25%, 05/15/2022 | 3,795,000 | 3,735,171 | ||||||
Fremont Home Loan Trust2005-C | ||||||||
3.44% (1 Month LIBOR USD + 0.93%, 0.62% Floor), 07/25/2035(2) | 5,252,773 | 4,421,257 | ||||||
Galaxy XXIX CLO Ltd. | ||||||||
3.41% (3 Month LIBOR USD + 0.79%), 11/16/2026(1)(2) | 2,545,000 | 2,530,954 | ||||||
4.02% (3 Month LIBOR USD + 1.40%), 11/16/2026(1)(2) | 985,000 | 957,207 | ||||||
Gallatin CLO IX2018-1 Ltd. | ||||||||
3.49% (3 Month LIBOR USD + 1.05%, 1.05% Floor), 01/21/2028(1)(2) | 11,900,000 | 11,829,314 | ||||||
GCAT2017-2 LLC | ||||||||
3.50%, 04/25/2047(1)(3) | 414,202 | 410,837 | ||||||
GCAT2018-1 LLC | ||||||||
3.84%, 06/25/2048(1)(3) | 963,895 | 956,411 | ||||||
GCAT2018-2 LLC | ||||||||
4.09%, 06/26/2023(1)(3) | 2,502,250 | 2,504,738 | ||||||
GE Business Loan Trust | ||||||||
2.49%, 11/15/2034 | 2,296,677 | 2,255,193 | ||||||
GE Capital Credit Card Master Note Trust | ||||||||
2.21%, 09/15/2022 | 1,700,000 | 1,689,022 | ||||||
GM Financial Automobile Leasing Trust2016-2 | ||||||||
1.76%, 03/20/2020 | 505,446 | 504,926 | ||||||
2.08%, 03/20/2020 | 570,000 | 569,035 | ||||||
2.58%, 03/20/2020 | 350,000 | 349,528 | ||||||
GM Financial Automobile Leasing Trust2018-1 | ||||||||
3.11%, 12/20/2021 | 3,500,000 | 3,488,734 | ||||||
GM Financial Automobile Leasing Trust2018-2 | ||||||||
3.16%, 04/20/2022 | 1,455,000 | 1,458,447 | ||||||
GM Financial Consumer Automobile2017-1 | ||||||||
1.78%, 10/18/2021(1) | 410,000 | 406,333 | ||||||
2.45%, 07/17/2023(1) | 100,000 | 98,601 | ||||||
GM Financial Consumer Automobile Receivables Trust2017-3 | ||||||||
1.97%, 05/16/2022(1) | 7,804,000 | 7,706,963 | ||||||
2.33%, 03/16/2023(1) | 155,000 | 152,615 | ||||||
GM Financial Consumer Automobile Receivables Trust2018-2 | ||||||||
2.81%, 12/16/2022 | 4,300,000 | 4,283,287 | ||||||
3.31%, 12/18/2023 | 1,615,000 | 1,622,358 | ||||||
GM Financial Consumer Automobile Receivables Trust2018-3 | ||||||||
3.02%, 05/16/2023 | 4,420,000 | 4,435,563 | ||||||
GMF Floorplan Owner Revolving Trust | ||||||||
2.41%, 05/17/2021(1) | 145,000 | 144,549 | ||||||
2.85%, 05/17/2021(1) | 100,000 | 99,826 | ||||||
2.26%, 08/16/2021(1) | 855,000 | 850,522 | ||||||
GoldenTree Loan Opportunities IX Ltd. | ||||||||
3.62% (3 Month LIBOR USD + 1.11%, 1.11% Floor), 10/29/2029(1)(2) | 11,000,000 | 10,951,193 | ||||||
Golub Capital Partners CLO 39B Ltd. | ||||||||
3.61% (3 Month LIBOR USD + 1.15%, 1.15% Floor), 10/20/2028(1)(2) | 5,295,000 | 5,248,753 | ||||||
GreatAmerica Leasing Receivables Funding LLC Series2017-1 | ||||||||
2.06%, 06/22/2020(1) | 124,164 | 123,606 |
GreatAmerica Leasing Receivables Funding LLC Series2018-1 | ||||||||||||
2.35%, 05/15/2020(1) | 479,462 | 477,815 | ||||||||||
2.99%, 06/17/2024(1) | 1,685,000 | 1,665,524 | ||||||||||
GSAMP Trust2005-AHL | ||||||||||||
3.48% (1 Month LIBOR USD + 0.98%, 0.65% Floor), 04/25/2035(2) | 6,500,000 | 6,236,332 | ||||||||||
Halcyon Loan Advisors Funding2014-3 Ltd. | ||||||||||||
3.57% (3 Month LIBOR USD + 1.10%), 10/22/2025(1)(2) | 1,585,000 | 1,584,108 | ||||||||||
Hardee’s Funding LLC | ||||||||||||
4.25%, 06/20/2048(1) | 8,364,038 | 8,457,547 | ||||||||||
4.96%, 06/20/2048(1) | 4,299,225 | 4,378,546 | ||||||||||
Harley Marine Financing LLC | ||||||||||||
5.68%, 05/15/2043(1) | 982,500 | 678,583 | ||||||||||
Harvest SBA Loan Trust2018-1 | ||||||||||||
4.75% (1 Month LIBOR USD + 2.25%), 08/25/2044(1)(2) | 10,967,405 | 10,967,317 | ||||||||||
Hilton Grand Vacations Trust2017-A | ||||||||||||
2.66%, 12/26/2028(1) | 258,969 | 256,287 | ||||||||||
2.96%, 12/26/2028(1) | 117,713 | 115,731 | ||||||||||
Holland Park CLO DAC | ||||||||||||
0.61% (3 Month EURIBOR + 0.93%), 05/14/2027(1)(2) | EUR | 6,576,996 | 7,517,333 | |||||||||
Home Equity Asset Trust2006-3 | ||||||||||||
2.71% (1 Month LIBOR USD + 0.20%, 0.20% Floor), 07/25/2036(2) | $ | 4,121,596 | 4,110,272 | |||||||||
Home Equity Asset Trust2007-1 | ||||||||||||
2.62% (1 Month LIBOR USD + 0.11%, 0.11% Floor), 05/25/2037(2) | 8,940,662 | 8,864,959 | ||||||||||
Honda Auto Receivables2016-3 Owner Trust | ||||||||||||
1.16%, 05/18/2020 | 950,247 | 944,767 | ||||||||||
Honda Auto Receivables2017-1 Owner Trust | ||||||||||||
1.72%, 07/21/2021 | 6,851,886 | 6,793,061 | ||||||||||
Honda Auto Receivables2017-2 Owner Trust | ||||||||||||
1.68%, 08/16/2021 | 2,730,000 | 2,701,817 | ||||||||||
Honda Auto Receivables2017-4 Owner Trust | ||||||||||||
2.05%, 11/22/2021 | 9,800,000 | 9,703,169 | ||||||||||
Honda Auto Receivables2018-1 Owner Trust | ||||||||||||
2.64%, 02/15/2022 | 5,140,000 | 5,109,537 | ||||||||||
Honda Auto Receivables2018-3 Owner Trust | ||||||||||||
2.95%, 08/22/2022 | 10,010,000 | 10,016,389 | ||||||||||
Horizon Aircraft Finance I Ltd. | ||||||||||||
4.46%, 12/15/2038(1) | 5,595,000 | 5,702,544 | ||||||||||
House of Europe Funding V Plc | ||||||||||||
0.00% (3 Month EURIBOR + 0.28%), 11/08/2090(2) | EUR | 1,016,385 | 1,160,775 | |||||||||
HSI Asset Securitization Corp. Trust 2006-OPT1 | ||||||||||||
2.73% (1 Month LIBOR USD + 0.22%, 0.22% Floor), 12/25/2035(2) | $ | 601,710 | 600,483 | |||||||||
Hyundai Auto Lease Securitization Trust2016-B | ||||||||||||
1.68%, 04/15/2020(1) | 56,085 | 56,050 | ||||||||||
Hyundai Auto Lease Securitization Trust2016-C | ||||||||||||
1.49%, 02/18/2020(1) | 179,582 | 179,422 | ||||||||||
Hyundai Auto Lease Securitization Trust2017-A 1.88%, | ||||||||||||
08/17/2020(1) | 883,453 | 880,991 | ||||||||||
Hyundai Auto Lease Securitization Trust2017-B | ||||||||||||
1.97%, 07/15/2020(1) | 2,465,000 | 2,451,624 | ||||||||||
Invitation Homes 2018-SFR1 Trust | ||||||||||||
4.46% (1 Month LIBOR USD + 2.00%), 03/19/2037(1)(2) | 2,812,000 | 2,774,992 | ||||||||||
Invitation Homes 2018-SFR2 Trust | ||||||||||||
4.46% (1 Month LIBOR USD + 2.00%, 2.10% Floor), 06/18/2037(1)(2) | 5,355,000 | 5,292,906 | ||||||||||
Invitation Homes 2018-SFR3 Trust | ||||||||||||
4.46% (1 Month LIBOR USD + 2.00%, 2.00% Floor), 07/17/2037(1)(2) | 2,645,000 | 2,618,466 | ||||||||||
Jamestown CLO IV Ltd. | ||||||||||||
3.13% (3 Month LIBOR USD + 0.69%), 07/15/2026(1)(2) | 11,190,955 | 11,152,145 | ||||||||||
Jimmy Johns Funding LLC | ||||||||||||
3.61%, 07/30/2047(1) | 399,938 | 398,806 |
JP Morgan Mortgage Acquisition Corp 2005-FRE1 | ||||||||
2.94% (1 Month LIBOR USD + 0.43%, 0.43% Floor), 10/25/2035(2) | 5,341,328 | 4,516,368 | ||||||
JP Morgan Mortgage Acquisition Corp. 2006-FRE2 | ||||||||
2.87% (1 Month LIBOR USD + 0.36%, 0.36% Floor), 02/25/2036(2) | 8,467,499 | 7,221,760 | ||||||
JP Morgan Mortgage Acquisition Trust 2006-WMC4 | ||||||||
2.63% (1 Month LIBOR USD + 0.12%, 0.12% Floor), 11/25/2036(2) | 25,692,521 | 15,385,933 | ||||||
2.66% (1 Month LIBOR USD + 0.15%, 0.15% Floor), 11/25/2036(2) | 23,399,382 | 14,066,082 | ||||||
JP Morgan Mortgage Acquisition Trust2007-CH3 | ||||||||
2.77% (1 Month LIBOR USD + 0.26%, 0.26% Floor), 03/25/2037(2) | 18,680,000 | 18,278,841 | ||||||
Kestrel Aircraft Funding Ltd. | ||||||||
4.25%, 12/15/2038(1) | 3,620,000 | 3,532,023 | ||||||
KKR CLO 13 Ltd. | ||||||||
3.24% (3 Month LIBOR USD + 0.80%, 0.80% Floor), 01/16/2028(1)(2) | 2,745,000 | 2,722,057 | ||||||
Kubota Credit Owner Trust2016-1 | ||||||||
1.50%, 07/15/2020(1) | 623,538 | 619,603 | ||||||
Lendmark Funding Trust2018-1 | ||||||||
3.81%, 12/21/2026(1) | 1,655,000 | 1,651,344 | ||||||
LP Credit Card ABS Master Trust | ||||||||
3.83% (1 Month LIBOR USD + 1.55%), 08/20/2024(1)(2) | 2,845,554 | 2,848,481 | ||||||
Madison Park Funding XVIII Ltd. | ||||||||
3.66% (3 Month LIBOR USD + 1.19%), 10/21/2030(1)(2) | 4,815,000 | 4,789,923 | ||||||
Magnetite XVI Ltd. | ||||||||
3.64% (3 Month LIBOR USD + 1.20%), 01/18/2028(1)(2) | 2,760,000 | 2,680,678 | ||||||
MAPS2018-1 Ltd. | ||||||||
4.21%, 05/15/2043(1) | 1,271,258 | 1,284,273 | ||||||
Mariner Finance Issuance Trust2018-A | ||||||||
4.20%, 11/20/2030(1) | 5,575,000 | 5,635,702 | ||||||
Marlette Funding Trust2018-3 | ||||||||
3.20%, 09/15/2028(1) | 2,252,273 | 2,249,570 | ||||||
Marlette Funding Trust2018-4 | ||||||||
3.71%, 12/15/2028(1) | 780,138 | 781,916 | ||||||
Mastr Asset Backed Securities Trust 2004-WMC1 | ||||||||
3.29% (1 Month LIBOR USD + 0.78%, 0.52% Floor), 02/25/2034(2) | 1,982,674 | 1,968,247 | ||||||
Mastr Specialized Loan Trust | ||||||||
2.77% (1 Month LIBOR USD + 0.26%, 0.26% Floor), 02/25/2036(1)(2) | 1,150,711 | 1,130,794 | ||||||
Merlin Aviation Holdings DAC | ||||||||
4.50%, 12/15/2032(1)(3) | 861,836 | 868,510 | ||||||
Merrill Lynch First Franklin Mortgage Loan Trust Series2007-2 | ||||||||
2.75% (1 Month LIBOR USD + 0.24%, 0.24% Floor), 05/25/2037(2) | 3,019,858 | 2,019,447 | ||||||
Metal2017-1 LLC | ||||||||
4.58%, 10/15/2042(1) | 4,476,590 | 4,513,356 | ||||||
Mill City Mortgage Loan Trust2016-1 | ||||||||
2.50%, 04/25/2057(1)(4) | 321,076 | 314,157 | ||||||
Mill City Mortgage Loan Trust2017-2 | ||||||||
2.75%, 07/25/2059(1)(4) | 614,722 | 602,979 | ||||||
Mill City Mortgage Loan Trust2018-1 | ||||||||
3.25%, 05/25/2062(1)(4) | 1,379,526 | 1,365,441 | ||||||
Mill City Mortgage Loan Trust2018-3 | ||||||||
3.50%, 08/25/2058(1)(4) | 3,083,129 | 3,057,490 | ||||||
MMAF Equipment Finance LLC2016-A | ||||||||
1.76%, 01/17/2023(1) | 280,000 | 274,661 | ||||||
MMAF Equipment Finance LLC2017-A | ||||||||
1.73%, 05/18/2020(1) | 32,537 | 32,483 | ||||||
2.04%, 02/16/2022(1) | 425,000 | 421,018 | ||||||
MMAF Equipment Finance LLC2017-B | ||||||||
2.21%, 10/17/2022(1) | 1,810,000 | 1,782,036 | ||||||
2.41%, 11/15/2024(1) | 665,000 | 652,492 | ||||||
MMAF Equipment Finance LLC2018-A | ||||||||
3.39%, 01/10/2025(1) | 1,180,000 | 1,194,049 | ||||||
Morgan Stanley ABS Capital I Inc. Trust 2005-WMC2 | ||||||||
3.44% (1 Month LIBOR USD + 0.93%, 0.62% Floor), 02/25/2035(2) | 1,568,504 | 1,514,785 |
Morgan Stanley ABS Capital I Inc. Trust2006-HE8 | ||||||||||||
2.64% (1 Month LIBOR USD + 0.13%, 0.13% Floor), 10/25/2036(2) | 743,868 | 699,361 | ||||||||||
Morgan Stanley Capital I Inc. Trust2006-HE1 | ||||||||||||
2.80% (1 Month LIBOR USD + 0.29%, 0.29% Floor), 01/25/2036(2) | 2,634,870 | 2,577,790 | ||||||||||
Morgan Stanley Mortgage Loan Trust2007-8XS | ||||||||||||
3.04% (1 Month LIBOR USD + 0.53%, 0.53% Floor, 6.25% Cap), 04/25/2037(2) | 25,402,706 | 13,339,126 | ||||||||||
3.05% (1 Month LIBOR USD + 0.54%, 0.54% Floor, 6.26% Cap), 04/25/2037(2) | 2,452,993 | 1,288,076 | ||||||||||
Mountain View CLO2014-1 Ltd. | ||||||||||||
3.24% (3 Month LIBOR USD + 0.80%, 0.80% Floor), 10/15/2026(1)(2) | 10,700,000 | 10,631,199 | ||||||||||
MS MTG LN TR 2006-15XS | ||||||||||||
6.20%, 11/25/2036(3)(12) | 15,066,926 | 7,166,541 | ||||||||||
Munda CLO 1 BV | ||||||||||||
0.79% (6 Month EURIBOR + 0.85%), 12/05/2024(1)(2) | EUR | 8,515,212 | 9,715,219 | |||||||||
MVW Owner Trust2015-1 | ||||||||||||
2.52%, 12/20/2032(1) | $ | 605,550 | 596,319 | |||||||||
MVW Owner Trust2017-1 | ||||||||||||
2.42%, 12/20/2034(1) | 253,308 | 248,221 | ||||||||||
2.75%, 12/20/2034(1) | 171,251 | 167,709 | ||||||||||
National Collegiate Student Loan Trust2004-2 | ||||||||||||
2.99% (1 Month LIBOR USD + 0.48%, 0.48% Floor), 12/25/2033(2) | 12,953,838 | 12,687,444 | ||||||||||
National Collegiate Student Loan Trust2005-2 | ||||||||||||
2.78% (1 Month LIBOR USD + 0.27%, 0.27% Floor), 09/25/2029(2) | 3,193,425 | 3,175,139 | ||||||||||
National Collegiate Student Loan Trust2005-3 | ||||||||||||
2.80% (1 Month LIBOR USD + 0.29%), 10/25/2033(1)(2) | 17,030,336 | 16,475,205 | ||||||||||
National Collegiate Student Loan Trust2006-3 | ||||||||||||
2.78% (1 Month LIBOR USD + 0.27%), 03/26/2029(2) | 5,469,361 | 5,414,480 | ||||||||||
National Collegiate Student Loan Trust2006-4 | ||||||||||||
2.77% (1 Month LIBOR USD + 0.26%, 0.26% Floor), 02/25/2029(2) | 3,496,798 | 3,479,515 | ||||||||||
National Collegiate Student Loan Trust2007-1 | ||||||||||||
2.75% (1 Month LIBOR USD + 0.24%), 07/25/2030(2) | 7,061,912 | 6,957,959 | ||||||||||
Navient Private Education Loan Trust2017-A | ||||||||||||
2.88%, 12/16/2058(1) | 660,000 | 645,519 | ||||||||||
3.91%, 12/16/2058(1) | 440,000 | 435,460 | ||||||||||
Navient Private Education Loan Trust2018-B | ||||||||||||
3.61%, 12/15/2059(1) | 2,115,000 | 2,135,673 | ||||||||||
Navient Private Education Refi Loan Trust2018-A | ||||||||||||
2.53%, 02/18/2042(1) | 1,557,683 | 1,546,403 | ||||||||||
Navient Private Education Refi Loan Trust2018-C | ||||||||||||
3.52%, 06/16/2042(1) | 1,215,000 | 1,224,349 | ||||||||||
Navient Student Loan Trust2014-2 | ||||||||||||
3.15% (1 Month LIBOR USD + 0.64%, 0.64% Floor), 03/25/2043(2) | 869,556 | 864,651 | ||||||||||
Navient Student Loan Trust2014-3 | ||||||||||||
3.13% (1 Month LIBOR USD + 0.62%, 0.62% Floor), 03/25/2043(2) | 328,713 | 325,024 | ||||||||||
Navient Student Loan Trust2015-1 | ||||||||||||
3.11% (1 Month LIBOR USD + 0.60%, 0.60% Floor), 04/25/2040(2) | 5,234,213 | 5,203,489 | ||||||||||
Navient Student Loan Trust2016-1 | ||||||||||||
3.21% (1 Month LIBOR USD + 0.70%), 02/25/2070(1)(2) | 8,217,192 | 8,196,096 | ||||||||||
Navient Student Loan Trust2016-2 | ||||||||||||
4.01% (1 Month LIBOR USD + 1.50%), 06/25/2065(1)(2) | 6,200,000 | 6,406,673 | ||||||||||
Navient Student Loan Trust2017-1 | ||||||||||||
3.66% (1 Month LIBOR USD + 1.15%), 07/26/2066(1)(2) | 4,730,000 | 4,783,060 | ||||||||||
Navient Student Loan Trust2017-3 | ||||||||||||
3.56% (1 Month LIBOR USD + 1.05%), 07/26/2066(1)(2) | 5,000,000 | 5,050,617 | ||||||||||
Navient Student Loan Trust2017-5 | ||||||||||||
3.31% (1 Month LIBOR USD + 0.80%), 07/26/2066(1)(2) | 12,819,162 | 12,840,267 | ||||||||||
Navient Student Loan Trust2018-2 | ||||||||||||
2.89% (1 Month LIBOR USD + 0.38%), 03/25/2067(1)(2) | 3,490,000 | 3,491,073 | ||||||||||
3.26% (1 Month LIBOR USD + 0.75%), 03/25/2067(1)(2) | 15,000,000 | 14,916,852 | ||||||||||
Navient Student Loan Trust2018-4 | ||||||||||||
2.76% (1 Month LIBOR USD + 0.25%), 06/27/2067(1)(2) | 5,166,258 | 5,155,964 | ||||||||||
3.19% (1 Month LIBOR USD + 0.68%), 06/27/2067(1)(2) | 3,215,000 | 3,188,708 |
Navient Student Loan Trust2018-EA | ||||||||
4.00%, 12/15/2059(1) | 2,790,000 | 2,851,360 | ||||||
Nelnet Student Loan Trust2005-4 | ||||||||
3.00% (3 Month LIBOR USD + 0.18%, 0.18% Floor), 03/22/2032(2) | 1,846,946 | 1,807,197 | ||||||
Nelnet Student Loan Trust2007-1 | ||||||||
2.75% (3 Month LIBOR USD + 0.07%), 05/25/2025(2) | 3,811,460 | 3,795,878 | ||||||
Nelnet Student Loan Trust2008-3 | ||||||||
4.33% (3 Month LIBOR USD + 1.65%, 1.65% Floor), 11/25/2024(2) | 1,722,441 | 1,734,513 | ||||||
Nelnet Student Loan Trust2013-1 | ||||||||
3.11% (1 Month LIBOR USD + 0.60%, 0.60% Floor), 06/25/2041(1)(2) | 4,433,052 | 4,452,648 | ||||||
Nelnet Student Loan Trust2014-2 | ||||||||
3.36% (1 Month LIBOR USD + 0.85%), 07/27/2037(1)(2) | 4,250,000 | 4,274,546 | ||||||
Nelnet Student Loan Trust2015-2 | ||||||||
3.11% (1 Month LIBOR USD + 0.60%, 0.60% Floor), 09/25/2042(1)(2) | 2,452,687 | 2,430,696 | ||||||
Nelnet Student Loan Trust2015-3 | ||||||||
3.11% (1 Month LIBOR USD + 0.60%), 02/26/2046(1)(2) | 3,687,094 | 3,673,813 | ||||||
Neuberger Berman CLO XIX Ltd. | ||||||||
3.59% (3 Month LIBOR USD + 1.15%, 1.15% Floor), 04/15/2027(1)(2) | 3,010,000 | 2,885,334 | ||||||
New Century Home Equity Loan Trust2005-1 | ||||||||
3.18% (1 Month LIBOR USD + 0.68%, 0.45% Floor, 12.50% Cap), 03/25/2035(2) | 8,785,440 | 8,739,086 | ||||||
New Century Home Equity Loan Trust2005-3 | ||||||||
3.24% (1 Month LIBOR USD + 0.74%, 0.49% Floor, 12.50% Cap), 07/25/2035(2) | 224,023 | 224,124 | ||||||
3.27% (1 Month LIBOR USD + 0.77%, 0.51% Floor, 12.50% Cap), 07/25/2035(2) | 6,570,000 | 6,567,980 | ||||||
Nissan Auto Receivables2017-B Owner Trust | ||||||||
1.75%, 10/15/2021 | 2,560,000 | 2,530,297 | ||||||
Nissan Auto Receivables2017-C Owner Trust | ||||||||
2.12%, 04/18/2022 | 7,170,000 | 7,080,717 | ||||||
Nissan Auto Receivables2018-A Owner Trust | ||||||||
2.65%, 05/16/2022 | 3,250,000 | 3,234,597 | ||||||
Nissan Auto Receivables2018-B Owner Trust | ||||||||
3.06%, 03/15/2023 | 5,415,000 | 5,435,671 | ||||||
Nissan Master Owner Trust Receivables | ||||||||
2.89% (1 Month LIBOR USD + 0.43%), 04/18/2022(2) | 4,520,000 | 4,518,690 | ||||||
Nomura Home Equity Loan, Inc. / Home Equity Loan Trust Series2006-HE1 | ||||||||
2.92% (1 Month LIBOR USD + 0.41%, 0.41% Floor), 02/25/2036(2) | 5,583,289 | 5,591,294 | ||||||
NYMT Residential2016-RP1 | ||||||||
4.00%, 03/25/2021(1)(3) | 19,092 | 19,046 | ||||||
Oak Hill Advisors Residential Loan Trust 2017-NPL2 | ||||||||
3.00%, 07/25/2057(1)(3) | 1,699,858 | 1,662,176 | ||||||
Oak Hill Advisors Residential Loan Trust 2017-NPLA | ||||||||
3.00%, 06/25/2057(1)(3) | 564,701 | 553,288 | ||||||
OCP CLO2014-7 Ltd. | ||||||||
3.59% (3 Month LIBOR USD + 1.12%), 07/20/2029(1)(2) | 14,635,000 | 14,472,493 | ||||||
Octagon Investment Partners 36 Ltd. | ||||||||
3.41% (3 Month LIBOR USD + 0.97%), 04/15/2031(1)(2) | 8,710,000 | 8,560,954 | ||||||
Octagon Investment Partners XXI Ltd. | ||||||||
3.96% (3 Month LIBOR USD + 1.35%), 11/16/2026(1)(2) | 4,700,000 | 4,698,604 | ||||||
Octagon Investment Partners XXIII Ltd. | ||||||||
3.29% (3 Month LIBOR USD + 0.85%), 07/15/2027(1)(2) | 2,035,000 | 2,025,181 | ||||||
3.64% (3 Month LIBOR USD + 1.20%), 07/15/2027(1)(2) | 1,685,000 | 1,614,672 | ||||||
OFSI Fund VII Ltd. | ||||||||
3.34% (3 Month LIBOR USD + 0.90%), 10/18/2026(1)(2) | 5,387,500 | 5,369,640 | ||||||
OneMain Financial Issuance Trust2015-2 | ||||||||
3.10%, 07/18/2025(1) | 508,725 | 508,465 | ||||||
4.32%, 07/18/2025(1) | 3,000,000 | 3,002,089 | ||||||
5.64%, 07/18/2025(1) | 1,915,000 | 1,928,908 | ||||||
OneMain Financial Issuance Trust2015-3 | ||||||||
4.16%, 11/18/2028(1) | 710,000 | 718,923 | ||||||
OneMain Financial Issuance Trust2016-1 | ||||||||
4.57%, 02/20/2029(1) | 1,125,000 | 1,138,100 | ||||||
OneMain Financial Issuance Trust2016-2 | ||||||||
5.94%, 03/20/2028(1) | 1,440,000 | 1,462,503 | ||||||
OneMain Financial Issuance Trust2017-1 | ||||||||
3.35%, 09/14/2032(1) | 1,645,000 | 1,615,455 | ||||||
Onemain Financial Issuance Trust2018-1 | ||||||||
4.08%, 03/14/2029(1) | 1,220,000 | 1,224,715 | ||||||
Option One Mortgage Loan Trust2005-2 | ||||||||
3.17% (1 Month LIBOR USD + 0.66%, 0.44% Floor), 05/25/2035(2) | 791,865 | 789,683 | ||||||
Option One Mortgage Loan Trust2005-4 | ||||||||
2.95% (1 Month LIBOR USD + 0.44%, 0.44% Floor), 11/25/2035(2) | 4,965,860 | 4,958,770 | ||||||
Option One Mortgage Loan Trust2006-1 | ||||||||
2.73% (1 Month LIBOR USD + 0.22%, 0.22% Floor), 01/25/2036(2) | 8,515,926 | 8,421,841 | ||||||
Option One Mortgage Loan Trust2006-3 | ||||||||
2.65% (1 Month LIBOR USD + 0.14%, 0.14% Floor), 02/25/2037(2) | 22,777,025 | 16,482,706 | ||||||
OSCAR U.S. Funding Trust V | ||||||||
2.73%, 12/15/2020(1) | 509,638 | 508,356 | ||||||
2.99%, 12/15/2023(1) | 540,000 | 537,519 | ||||||
OZLM VII Ltd. | ||||||||
3.46% (3 Month LIBOR USD + 1.01%, 1.01% Floor), 07/17/2029(1)(2) | 9,670,000 | 9,522,407 | ||||||
OZLM VIII Ltd. | ||||||||
3.63% (3 Month LIBOR USD + 1.17%, 1.17% Floor), 10/17/2029(1)(2) | 2,915,000 | 2,885,465 | ||||||
4.26% (3 Month LIBOR USD + 1.80%, 1.80% Floor), 10/17/2029(1)(2) | 3,560,000 | 3,497,262 | ||||||
Palmer Square CLO2018-2 Ltd. | ||||||||
3.36% (3 Month LIBOR USD + 1.10%), 07/16/2031(1)(2) | 10,675,000 | 10,503,656 | ||||||
3.91% (3 Month LIBOR USD + 1.65%), 07/16/2031(1)(2) | 2,670,000 | 2,591,635 | ||||||
Palmer Square Loan Funding2018-4 Ltd. | ||||||||
3.15% (3 Month LIBOR USD + 0.90%), 11/15/2026(1)(2) | 750,000 | 745,709 | ||||||
Penarth Master Issuer Plc | ||||||||
2.91% (1 Month LIBOR USD + 0.45%), 09/18/2022(1)(2) | 4,725,000 | 4,705,401 | ||||||
Planet Fitness Master Issuer LLC | ||||||||
4.26%, 09/05/2048(1) | 10,294,200 | 10,337,024 | ||||||
4.67%, 09/05/2048(1) | 4,234,388 | 4,288,122 | ||||||
Prestige Auto Receivables Trust2018-1 | ||||||||
3.75%, 10/15/2024(1) | 2,765,000 | 2,795,358 | ||||||
Progress Residential 2015-SFR3 Trust | ||||||||
4.67%, 11/15/2032(1) | 505,000 | 511,234 | ||||||
Progress Residential 2018-SFR3 Trust | ||||||||
4.43%, 10/18/2035(1) | 1,500,000 | 1,513,505 | ||||||
Prosper Marketplace Issuance Trust Series2018-2 | ||||||||
3.35%, 10/15/2024(1) | 5,892,248 | 5,881,025 | ||||||
RASC Series 2005-KS10 Trust | ||||||||
2.95% (1 Month LIBOR USD + 0.44%, 0.44% Floor, 14.00% Cap), 11/25/2035(2) | 11,150,000 | 11,077,031 | ||||||
RASC Series2006-KS9 Trust | ||||||||
2.67% (1 Month LIBOR USD + 0.16%, 0.16% Floor, 14.00% Cap), 09/25/2036(2) | 6,766,607 | 6,419,968 | ||||||
RASC Series2007-KS3 Trust | ||||||||
2.85% (1 Month LIBOR USD + 0.34%, 0.34% Floor, 14.00% Cap), 04/25/2037(2) | 31,155,046 | 29,737,719 | ||||||
RCO Mortgage LLC2017-1 | ||||||||
3.38%, 08/25/2022(1)(3) | 1,350,581 | 1,342,651 | ||||||
RCO V Mortgage LLC2018-1 | ||||||||
4.00%, 05/25/2023(1)(3) | 2,810,600 | 2,800,345 | ||||||
RMAT 2018-NPL1 LP | ||||||||
4.09%, 05/25/2048(1)(3) | 13,238,837 | 13,205,786 | ||||||
RMF Buyout Issuance Trust2018-1 | ||||||||
3.44%, 11/25/2028(1)(4) | 11,221,341 | 11,216,336 | ||||||
Santander Drive Auto Receivables Trust2015-2 | ||||||||
4.02%, 09/15/2022(1) | 2,450,000 | 2,459,012 | ||||||
Santander Drive Auto Receivables Trust2015-3 | ||||||||
4.50%, 06/15/2023(1) | 2,125,000 | 2,143,330 | ||||||
Santander Drive Auto Receivables Trust2015-4 | ||||||||
3.53%, 08/16/2021 | 937,000 | 940,191 | ||||||
Santander Drive Auto Receivables Trust2015-5 | ||||||||
3.65%, 12/15/2021 | 275,000 | 275,615 | ||||||
Santander Drive Auto Receivables Trust2016-3 | ||||||||
2.46%, 03/15/2022 | 155,000 | 153,962 | ||||||
Santander Drive Auto Receivables Trust2017-1 | ||||||||
2.10%, 06/15/2021 | 233,226 | 232,662 | ||||||
2.58%, 05/16/2022 | 305,000 | 303,298 | ||||||
Santander Drive Auto Receivables Trust2017-3 | ||||||||
2.19%, 03/15/2022 | 1,100,000 | 1,092,242 | ||||||
Santander Drive Auto Receivables Trust2018-1 | ||||||||
2.96%, 03/15/2024 | 800,000 | 796,374 | ||||||
Santander Drive Auto Receivables Trust2018-2 | ||||||||
3.03%, 09/15/2022 | 1,560,000 | 1,558,254 | ||||||
3.35%, 07/17/2023 | 985,000 | 985,965 | ||||||
3.88%, 02/15/2024 | 2,605,000 | 2,626,028 | ||||||
Santander Drive Auto Receivables Trust2018-3 | ||||||||
4.07%, 08/15/2024 | 3,770,000 | 3,806,618 | ||||||
Santander Drive Auto Receivables Trust2018-4 | ||||||||
3.27%, 01/17/2023 | 4,345,000 | 4,355,658 | ||||||
3.98%, 12/15/2025 | 3,390,000 | 3,425,644 | ||||||
Santander Drive Auto Receivables Trust2018-5 | ||||||||
4.19%, 12/16/2024 | 3,070,000 | 3,103,659 | ||||||
Santander Retail Auto Lease Trust2017-A | ||||||||
2.96%, 11/21/2022(1) | 1,000,000 | 993,248 | ||||||
Saxon Asset Securities Trust2007-3 | ||||||||
2.82% (1 Month LIBOR USD + 0.31%, 0.31% Floor), 09/25/2047(2) | 34,116,869 | 32,705,007 | ||||||
Securitized Asset Backed Receivables LLC Trust2004-OP1 | ||||||||
3.27% (1 Month LIBOR USD + 0.77%, 0.51% Floor), 02/25/2034(2) | 6,908,741 | 6,785,649 | ||||||
Securitized Asset Backed Receivables LLC Trust2006-CB5 | ||||||||
2.65% (1 Month LIBOR USD + 0.14%, 0.14% Floor), 06/25/2036(2) | 5,826,200 | 4,534,766 | ||||||
Shenton Aircraft Investment I Ltd. | ||||||||
4.75%, 10/15/2042(1) | 371,721 | 376,210 | ||||||
Sierra Receivables Funding Co. LLC | ||||||||
2.91%, 03/20/2034(1) | 175,918 | 174,300 | ||||||
Sierra Timeshare2015-2 Receivables Funding LLC | ||||||||
2.43%, 06/20/2032(1) | 274,317 | 270,428 | ||||||
Sierra Timeshare2016-2 Receivables Funding LLC | ||||||||
2.33%, 07/20/2033(1) | 259,498 | 252,406 | ||||||
S-Jets2017-1 Ltd. | ||||||||
3.97%, 08/15/2042(1) | 16,363,556 | 16,508,573 | ||||||
SLC Student Loan Trust2005-2 | ||||||||
2.95% (3 Month LIBOR USD + 0.16%), 12/15/2039(2) | 4,900,000 | 4,747,951 | ||||||
SLC Student Loan Trust2005-3 | ||||||||
2.94% (3 Month LIBOR USD + 0.15%), 12/15/2039(2) | 5,000,000 | 4,722,035 | ||||||
SLM Private Credit Student Loan Trust2003-B | ||||||||
4.75% (28 Day Auction Rate + 0.00%, 18.00% Cap), 03/15/2033(4) | 3,704,000 | 3,711,497 | ||||||
SLM Student Loan Trust2003-7 | ||||||||
3.99% (3 Month LIBOR USD + 1.20%, 1.20% Floor), 12/15/2033(1)(2) | 10,730,241 | 10,787,593 | ||||||
SLM Student Loan Trust2004-3 | ||||||||
3.04% (3 Month LIBOR USD + 0.55%, 0.55% Floor), 10/25/2064(1)(2) | 6,300,000 | 6,321,191 | ||||||
SLM Student Loan Trust2005-4 | ||||||||
2.66% (3 Month LIBOR USD + 0.17%), 07/25/2040(2) | 11,000,000 | 10,426,120 | ||||||
SLM Student Loan Trust2006-2 | ||||||||
2.66% (3 Month LIBOR USD + 0.17%), 01/25/2041(2) | 4,213,552 | 4,087,958 | ||||||
SLM Student Loan Trust2007-2 | ||||||||
2.66% (3 Month LIBOR USD + 0.17%), 07/25/2025(2) | 6,950,000 | 6,278,483 | ||||||
SLM Student Loan Trust2007-3 | ||||||||
2.55% (3 Month LIBOR USD + 0.06%, 0.06% Floor), 01/25/2022(2) | 4,150,000 | 4,057,764 |
SLM Student Loan Trust2007-6 | ||||||||
2.87% (3 Month LIBOR USD + 0.38%), 10/25/2024(2) | 1,988,815 | 1,989,199 | ||||||
SLM Student Loan Trust2007-7 | ||||||||
2.82% (3 Month LIBOR USD + 0.33%), 01/25/2022(2) | 3,116,782 | 3,060,372 | ||||||
SLM Student Loan Trust2008-2 | ||||||||
3.24% (3 Month LIBOR USD + 0.75%), 04/25/2023(2) | 10,063,987 | 9,972,456 | ||||||
SLM Student Loan Trust2008-4 | ||||||||
4.14% (3 Month LIBOR USD + 1.65%), 07/25/2022(2) | 1,051,220 | 1,064,393 | ||||||
SLM Student Loan Trust2008-5 | ||||||||
4.19% (3 Month LIBOR USD + 1.70%, 1.70% Floor), 07/25/2023(2) | 9,649,639 | 9,804,310 | ||||||
4.34% (3 Month LIBOR USD + 1.85%, 1.85% Floor), 07/25/2073(2) | 7,350,000 | 7,513,742 | ||||||
SLM Student Loan Trust2008-6 | ||||||||
3.59% (3 Month LIBOR USD + 1.10%), 07/25/2023(2) | 15,593,975 | 15,709,186 | ||||||
SLM Student Loan Trust2008-9 | ||||||||
3.99% (3 Month LIBOR USD + 1.50%), 04/25/2023(2) | 17,498,109 | 17,589,455 | ||||||
SLM Student Loan Trust2009-3 | ||||||||
3.26% (1 Month LIBOR USD + 0.75%, 0.75% Floor), 01/25/2045(1)(2) | 2,353,169 | 2,339,405 | ||||||
SLM Student Loan Trust2012-1 | ||||||||
3.46% (1 Month LIBOR USD + 0.95%, 0.95% Floor), 09/25/2028(2) | 14,546,414 | 14,569,562 | ||||||
SLM Student Loan Trust2012-2 | ||||||||
3.21% (1 Month LIBOR USD + 0.70%), 01/25/2029(2) | 16,818,778 | 16,715,208 | ||||||
SLM Student Loan Trust2012-3 | ||||||||
3.16% (1 Month LIBOR USD + 0.65%), 12/26/2025(2) | 1,192,777 | 1,191,332 | ||||||
SLM Student Loan Trust2012-7 | ||||||||
3.16% (1 Month LIBOR USD + 0.65%, 0.65% Floor), 05/26/2026(2) | 5,732,028 | 5,662,358 | ||||||
4.31% (1 Month LIBOR USD + 1.80%, 1.80% Floor), 09/25/2043(2) | 2,220,000 | 2,227,594 | ||||||
SLM Student Loan Trust2013-2 | ||||||||
2.96% (1 Month LIBOR USD + 0.45%), 09/25/2026(2) | 2,309,680 | 2,294,742 | ||||||
SLM Student Loan Trust2014-1 | ||||||||
3.11% (1 Month LIBOR USD + 0.60%), 02/26/2029(2) | 3,663,379 | 3,614,476 | ||||||
SMART ABS Series2016-2US Trust | ||||||||
1.71%, 03/15/2021 | 2,481,786 | 2,458,348 | ||||||
2.05%, 12/14/2022 | 2,370,000 | 2,318,659 | ||||||
SMB Private Education Loan Trust2014-A | ||||||||
3.05%, 05/15/2026(1) | 379,492 | 377,527 | ||||||
SMB Private Education Loan Trust2015-B | ||||||||
2.98%, 07/15/2027(1) | 239,447 | 238,974 | ||||||
4.21% (1 Month LIBOR USD + 1.75%), 05/17/2032(1)(2) | 1,685,000 | 1,725,297 | ||||||
SMB Private Education Loan Trust2016-A | ||||||||
2.70%, 05/15/2031(1) | 407,374 | 407,262 | ||||||
SMB Private Education Loan Trust2016-B | ||||||||
2.43%, 02/17/2032(1) | 2,260,860 | 2,213,750 | ||||||
SMB Private Education Loan Trust2016-C | ||||||||
2.34%, 09/15/2034(1) | 755,960 | 730,406 | ||||||
SMB Private Education Loan Trust2017-A | ||||||||
2.88%, 09/15/2034(1) | 1,960,000 | 1,917,021 | ||||||
SMB Private Education Loan Trust2018-B | ||||||||
3.18% (1 Month LIBOR USD + 0.72%), 01/15/2037(1)(2) | 2,030,000 | 2,016,098 | ||||||
3.60%, 01/15/2037(1) | 6,155,000 | 6,232,660 | ||||||
SMB Private Education Loan Trust2018-C | ||||||||
3.63%, 11/15/2035(1) | 6,835,000 | 6,881,394 | ||||||
SoFi Consumer Loan Program2017-3 LLC | ||||||||
2.77%, 05/26/2026(1) | 6,588,582 | 6,530,085 | ||||||
SoFi Consumer Loan Program2017-4 LLC | ||||||||
2.50%, 06/25/2026(1) | 7,679,167 | 7,590,405 | ||||||
SoFi Consumer Loan Program2017-6 LLC | ||||||||
3.52%, 11/25/2026(1) | 1,765,000 | 1,747,072 | ||||||
SoFi Consumer Loan Program2018-2 Trust | ||||||||
3.79%, 04/26/2027(1) | 2,210,000 | 2,214,266 | ||||||
Sofi Consumer Loan Program2018-3 Trust | ||||||||
3.20%, 08/25/2027(1) | 4,208,854 | 4,200,132 |
SoFi Consumer Loan Program2018-3 Trust | ||||||||||||
4.02%, 08/25/2027(1) | 1,375,000 | 1,387,999 | ||||||||||
SoFi Consumer Loan Program2018-4 Trust | ||||||||||||
4.17%, 11/26/2027(1) | 2,745,000 | 2,785,091 | ||||||||||
SoFi Professional Loan Program2015-B LLC | ||||||||||||
3.52%, 03/25/2036(1) | 460,163 | 456,601 | ||||||||||
SoFi Professional Loan Program2015-C LLC | ||||||||||||
3.58%, 08/25/2036(1) | 499,600 | 498,532 | ||||||||||
SoFi Professional Loan Program2015-D LLC | ||||||||||||
3.59%, 10/26/2037(1) | 1,062,337 | 1,053,893 | ||||||||||
SoFi Professional Loan Program2016-B LLC | ||||||||||||
3.80%, 04/25/2037(1) | 195,000 | 196,614 | ||||||||||
SoFi Professional Loan Program2016-C LLC | ||||||||||||
3.35%, 05/25/2037(1)(4) | 310,000 | 305,659 | ||||||||||
SoFi Professional Loan Program2016-D LLC | ||||||||||||
3.23%, 01/25/2039(1)(4) | 490,000 | 478,007 | ||||||||||
SoFi Professional Loan Program2016-E LLC | ||||||||||||
3.44%, 07/25/2040(1)(4) | 1,600,000 | 1,604,193 | ||||||||||
SoFi Professional Loan Program2017-A LLC | ||||||||||||
4.43%, 03/26/2040(1)(4) | 165,000 | 168,581 | ||||||||||
SoFi Professional Loan Program2017-C LLC | ||||||||||||
3.11% (1 Month LIBOR USD + 0.60%), 07/25/2040(1)(2) | 4,943,524 | 4,952,693 | ||||||||||
SoFi Professional Loan Program2017-E LLC | ||||||||||||
4.16%, 11/26/2040(1) | 695,000 | 693,930 | ||||||||||
SoFi Professional Loan Program2017-F LLC | ||||||||||||
3.62%, 01/25/2041(1) | 1,405,000 | 1,380,089 | ||||||||||
SoFi Professional Loan Program2018-C Trust | ||||||||||||
4.13%, 01/25/2048(1) | 1,875,000 | 1,921,663 | ||||||||||
SoFi Professional Loan Program2018-D Trust | ||||||||||||
3.12%, 02/25/2048(1) | 12,181,967 | 12,181,539 | ||||||||||
3.60%, 02/25/2048(1) | 5,525,000 | 5,572,070 | ||||||||||
SpringCastle America Funding LLC | ||||||||||||
3.05%, 11/25/2023(1) | 2,650,728 | 2,625,145 | ||||||||||
Springleaf Funding Trust2017-A | ||||||||||||
2.68%, 07/15/2030(1) | 7,900,000 | 7,763,997 | ||||||||||
3.86%, 07/15/2030(1) | 1,270,000 | 1,268,022 | ||||||||||
Sprite2017-1 Ltd. | ||||||||||||
4.25%, 12/15/2037(1) | 1,304,945 | 1,295,237 | ||||||||||
St Paul’s CLO VI DAC | ||||||||||||
0.85% (3 Month EURIBOR + 0.85%, 0.85% Floor), 08/20/2030(1)(2) | EUR | 38,000,000 | 43,482,677 | |||||||||
Stanwich Mortgage Loan Trust Series 2018-NPB1 | ||||||||||||
4.02%, 05/16/2023(1)(3) | $ | 2,724,924 | 2,711,375 | |||||||||
Structured Asset Securities Corp. Mortgage Loan Trust2007-WF2 | ||||||||||||
3.51% (1 Month LIBOR USD + 1.00%, 1.00% Floor), 08/25/2037(2) | 738,483 | 739,629 | ||||||||||
Symphony CLO XVII Ltd. | ||||||||||||
3.32% (3 Month LIBOR USD + 0.88%), 04/17/2028(1)(2) | 4,030,000 | 4,012,091 | ||||||||||
Synchrony Credit Card Master Note Trust | ||||||||||||
2.37%, 03/15/2023 | 2,215,000 | 2,197,542 | ||||||||||
2.64%, 03/15/2023 | 1,085,000 | 1,077,004 | ||||||||||
2.56%, 06/15/2023 | 1,205,000 | 1,189,957 | ||||||||||
2.62%, 09/15/2023 | 650,000 | 642,905 | ||||||||||
3.36%, 03/15/2024 | 2,835,000 | 2,835,192 | ||||||||||
3.87%, 05/15/2026 | 2,650,000 | 2,670,963 | ||||||||||
Taco Bell Funding LLC | ||||||||||||
4.32%, 11/25/2048(1) | 10,805,000 | 10,938,334 | ||||||||||
THL Credit Wind River2016-1 CLO Ltd. | ||||||||||||
4.09% (3 Month LIBOR USD + 1.65%), 07/17/2028(2) | 1,320,000 | 1,290,308 | ||||||||||
4.54% (3 Month LIBOR USD + 2.10%), 07/17/2028(2) | 2,840,000 | 2,733,693 | ||||||||||
Tidewater Sales Finance Master Trust Series2017-A | ||||||||||||
4.55%, 05/15/2021(1) | 1,816,462 | 1,813,581 |
Towd Point Mortgage Trust2015-3 | ||||||||
3.00%, 03/25/2054(1)(4) | 209,915 | 207,674 | ||||||
Towd Point Mortgage Trust2015-4 | ||||||||
2.75%, 04/25/2055(1)(4) | 266,892 | 263,169 | ||||||
3.75%, 04/25/2055(1)(4) | 960,000 | 964,402 | ||||||
Towd Point Mortgage Trust2015-5 | ||||||||
2.75%, 05/25/2055(1)(4) | 263,075 | 259,094 | ||||||
Towd Point Mortgage Trust2016-1 | ||||||||
2.75%, 02/25/2055(1)(4) | 1,103,079 | 1,087,854 | ||||||
3.00%, 02/25/2055(1)(4) | 304,315 | 300,645 | ||||||
Towd Point Mortgage Trust2016-2 | ||||||||
2.75%, 08/25/2055(1)(4) | 209,843 | 205,598 | ||||||
Towd Point Mortgage Trust2016-3 | ||||||||
2.25%, 08/25/2055(1)(4) | 323,116 | 315,689 | ||||||
Towd Point Mortgage Trust2016-4 | ||||||||
2.25%, 07/25/2056(1)(4) | 668,827 | 649,472 | ||||||
Towd Point Mortgage Trust2016-5 | ||||||||
2.50%, 10/25/2056(1)(4) | 2,302,589 | 2,232,043 | ||||||
Towd Point Mortgage Trust2017-1 | ||||||||
2.75%, 10/25/2056(1)(4) | 535,136 | 523,404 | ||||||
3.75%, 10/25/2056(1)(4) | 6,315,000 | 6,202,463 | ||||||
Towd Point Mortgage Trust2017-2 | ||||||||
2.75%, 04/25/2057(1)(4) | 255,362 | 249,719 | ||||||
Towd Point Mortgage Trust2017-3 | ||||||||
2.75%, 06/25/2057(1)(4) | 1,499,311 | 1,459,532 | ||||||
Towd Point Mortgage Trust2017-4 | ||||||||
2.75%, 06/25/2057(1)(4) | 11,771,557 | 11,450,447 | ||||||
Towd Point Mortgage Trust2017-5 | ||||||||
2.92% (1 Month LIBOR USD + 0.60%), 02/26/2057(1)(2) | 885,901 | 881,064 | ||||||
Towd Point Mortgage Trust2017-6 | ||||||||
2.75%, 10/25/2057(1)(4) | 1,808,510 | 1,765,756 | ||||||
Towd Point Mortgage Trust2018-2 | ||||||||
3.25%, 03/25/2058(1)(4) | 7,994,151 | 7,874,295 | ||||||
Towd Point Mortgage Trust2018-3 | ||||||||
3.75%, 05/25/2058(1)(4) | 7,917,746 | 7,909,663 | ||||||
Towd Point Mortgage Trust2018-5 | ||||||||
3.25%, 07/25/2058(1)(4) | 3,604,139 | 3,559,301 | ||||||
Toyota Auto Receivables2017-B Owner Trust | ||||||||
1.76%, 07/15/2021 | 15,050,000 | 14,911,385 | ||||||
Toyota Auto Receivables2017-C Owner Trust | ||||||||
1.78%, 11/15/2021 | 4,600,000 | 4,534,389 | ||||||
Toyota Auto Receivables2018-A Owner Trust | ||||||||
2.35%, 05/16/2022 | 2,925,000 | 2,896,936 | ||||||
Toyota Auto Receivables2018-C Owner Trust | ||||||||
3.02%, 12/15/2022 | 15,145,000 | 15,169,550 | ||||||
Tralee CLO V Ltd. | ||||||||
3.87% (3 Month LIBOR USD + 1.11%, 1.11% Floor), 10/20/2028(1)(2) | 2,000,000 | 1,980,452 | ||||||
Tricon American Homes 2017-SFR2 Trust | ||||||||
2.93%, 01/18/2036(1) | 4,260,455 | 4,132,005 | ||||||
Verizon Owner Trust2016-2 | ||||||||
2.36%, 05/20/2021(1) | 1,245,000 | 1,232,772 | ||||||
Verizon Owner Trust2017-1 | ||||||||
2.65%, 09/20/2021(1) | 725,000 | 720,325 | ||||||
Verizon Owner Trust2017-3 | ||||||||
2.53%, 04/20/2022(1) | 1,360,000 | 1,345,054 | ||||||
Verizon Owner Trust2018-1 | ||||||||
3.20%, 09/20/2022(1) | 1,105,000 | 1,105,826 | ||||||
Volt LX LLC | ||||||||
3.25%, 06/25/2047(1)(3) | 6,556,139 | 6,524,336 |
Volt LXVIII LLC | ||||||||
4.34%, 08/25/2048(1)(3) | 1,876,519 | 1,876,330 | ||||||
Volt LXX LLC | ||||||||
4.11%, 09/25/2048(1)(3) | 6,065,786 | 6,057,929 | ||||||
VOLT LXXII LLC | ||||||||
4.21%, 10/26/2048(1)(3) | 5,375,846 | 5,365,357 | ||||||
Volvo Financial Equipment LLC Series2016-1 | ||||||||
1.67%, 02/18/2020(1) | 82,550 | 82,385 | ||||||
Volvo Financial Equipment Master Owner Trust | ||||||||
2.96% (1 Month LIBOR USD + 0.50%), 11/15/2022(1)(2) | 475,000 | 476,005 | ||||||
Voya CLO2014-3 Ltd. | ||||||||
3.21% (3 Month LIBOR USD + 0.72%), 07/25/2026(1)(2) | 1,343,709 | 1,337,755 | ||||||
Voya CLO2015-2 Ltd. | ||||||||
3.45% (3 Month LIBOR USD + 0.97%), 07/23/2027(1)(2) | 3,505,000 | 3,480,402 | ||||||
Voya CLO2016-1 Ltd. | ||||||||
3.77% (3 Month LIBOR USD + 1.30%, 1.30% Floor), 01/20/2031(1)(2) | 3,205,000 | 3,058,150 | ||||||
WAVE2017-1 Trust | ||||||||
3.84%, 11/15/2042(1) | 2,566,760 | 2,568,753 | ||||||
Westlake Automobile Receivables Trust2016-2 | ||||||||
2.83%, 05/17/2021(1) | 592,954 | 592,626 | ||||||
Westlake Automobile Receivables Trust2018-2 | ||||||||
4.00%, 01/16/2024(1) | 1,540,000 | 1,553,862 | ||||||
Westlake Automobile Receivables Trust2018-3 | ||||||||
4.00%, 10/16/2023(1) | 1,215,000 | 1,218,875 | ||||||
Wheels SPV 2 LLC | ||||||||
1.87%, 05/20/2025(1) | 910,000 | 902,861 | ||||||
Wingstop Funding2018-1 LLC | ||||||||
4.97%, 12/05/2048(1) | 955,000 | 976,631 | ||||||
World Omni Auto Receivables Trust2018-B | ||||||||
3.17%, 01/15/2025 | 1,250,000 | 1,242,685 | ||||||
World Omni Automobile Lease Securitization Trust2016-A | ||||||||
1.45%, 08/15/2019 | 414,955 | 414,510 | ||||||
Zais CLO 1 Ltd. | ||||||||
3.59% (3 Month LIBOR USD + 1.15%), 04/17/2028(1)(2) | 14,900,000 | 14,778,714 | ||||||
|
| |||||||
Total Asset-Backed Obligations (Cost $2,116,036,991) | $ | 2,103,220,685 | ||||||
|
| |||||||
Corporate Bonds—35.87% | ||||||||
Basic Materials—0.80% | ||||||||
ABJA Investment Co. Pte. Ltd. | ||||||||
5.45%, 01/24/2028 | 4,800,000 | 4,088,021 | ||||||
Anglo American Capital Plc | ||||||||
4.13%, 09/27/2022(1) | 3,883,000 | 3,826,736 | ||||||
4.88%, 05/14/2025(1) | 675,000 | 661,265 | ||||||
4.75%, 04/10/2027(1) | 985,000 | 943,859 | ||||||
4.50%, 03/15/2028(1) | 16,035,000 | 14,883,603 | ||||||
Axalta Coating Systems LLC | ||||||||
4.88%, 08/15/2024(1) | 2,180,000 | 2,060,100 | ||||||
Celulosa Arauco y Constitucion SA | ||||||||
3.88%, 11/02/2027 | 860,000 | 786,479 | ||||||
5.50%, 11/02/2047 | 345,000 | 324,303 | ||||||
CF Industries, Inc. | ||||||||
4.50%, 12/01/2026(1) | 5,145,000 | 5,030,873 | ||||||
Cleveland-Cliffs, Inc. | ||||||||
4.88%, 01/15/2024(1) | 150,000 | 139,500 | ||||||
CNAC HK Finbridge Co. Ltd. | ||||||||
4.63%, 03/14/2023 | 4,545,000 | 4,583,160 | ||||||
Corp. Nacional del Cobre de Chile | ||||||||
3.63%, 08/01/2027(1) | 685,000 | 652,360 | ||||||
CSN Resources SA | ||||||||
6.50%, 07/21/2020 | 170,000 | 163,965 | ||||||
CVR Partners LP / CVR Nitrogen Finance Corp. | ||||||||
9.25%, 06/15/2023(1) | 2,800,000 | 2,912,000 |
DowDuPont, Inc. | ||||||||||||
3.77%, 11/15/2020 | 6,165,000 | 6,222,856 | ||||||||||
Equate Petrochemical BV | ||||||||||||
3.00%, 03/03/2022 | 690,000 | 665,850 | ||||||||||
4.25%, 11/03/2026 | 6,910,000 | 6,682,592 | ||||||||||
First Quantum Minerals Ltd. | ||||||||||||
6.50%, 03/01/2024(1) | 200,000 | 166,000 | ||||||||||
6.88%, 03/01/2026(1) | 200,000 | 160,500 | ||||||||||
FMG Resources August 2006 Pty Ltd. | ||||||||||||
5.13%, 03/15/2023(1) | 1,250,000 | 1,175,000 | ||||||||||
5.13%, 05/15/2024(1) | 460,000 | 423,200 | ||||||||||
Freeport-McMoRan, Inc. | ||||||||||||
5.40%, 11/14/2034 | 1,750,000 | 1,378,125 | ||||||||||
Georgia-Pacific LLC | ||||||||||||
2.54%, 11/15/2019(1) | 7,000,000 | 6,947,089 | ||||||||||
Gerdau Trade, Inc. | ||||||||||||
4.88%, 10/24/2027(1) | 5,240,000 | 4,978,000 | ||||||||||
Glencore Finance Canada Ltd. | ||||||||||||
4.95%, 11/15/2021(1) | 1,170,000 | 1,194,995 | ||||||||||
Glencore Funding LLC | ||||||||||||
4.00%, 04/16/2025(1) | 4,450,000 | 4,189,276 | ||||||||||
3.88%, 10/27/2027(1) | 11,555,000 | 10,329,939 | ||||||||||
Goldcorp, Inc. | ||||||||||||
3.70%, 03/15/2023 | 3,270,000 | 3,248,181 | ||||||||||
Incitec Pivot Finance LLC | ||||||||||||
6.00%, 12/10/2019(1) | 126,000 | 128,784 | ||||||||||
Indonesia Asahan Aluminium Persero PT | ||||||||||||
5.23%, 11/15/2021(1) | 800,000 | 810,450 | ||||||||||
5.71%, 11/15/2023(1) | 600,000 | 610,525 | ||||||||||
6.53%, 11/15/2028(1) | 900,000 | 943,990 | ||||||||||
International Flavors & Fragrances, Inc. | ||||||||||||
5.00%, 09/26/2048 | 2,235,000 | 2,229,182 | ||||||||||
LyondellBasell Industries NV | ||||||||||||
5.00%, 04/15/2019 | 4,000,000 | 4,004,355 | ||||||||||
Methanex Corp. | ||||||||||||
4.25%, 12/01/2024 | 575,000 | 558,038 | ||||||||||
Mexichem SAB de CV | ||||||||||||
4.00%, 10/04/2027(1) | 1,255,000 | 1,140,481 | ||||||||||
Newcrest Finance Pty Ltd. | ||||||||||||
4.45%, 11/15/2021(1) | 1,800,000 | 1,821,560 | ||||||||||
Reliance Steel & Aluminum Co. | ||||||||||||
4.50%, 04/15/2023 | 2,796,000 | 2,825,117 | ||||||||||
Solvay Finance America LLC | ||||||||||||
4.45%, 12/03/2025(1) | 2,400,000 | 2,380,982 | ||||||||||
Starfruit Finco BV / Starfruit U.S. Holdco LLC | ||||||||||||
6.50%, 10/01/2026 | EUR | 400,000 | 422,897 | |||||||||
Syngenta Finance NV | ||||||||||||
3.70%, 04/24/2020(1) | $ | 2,350,000 | 2,332,650 | |||||||||
3.93%, 04/23/2021(1) | 7,742,000 | 7,635,939 | ||||||||||
4.44%, 04/24/2023(1) | 200,000 | 192,734 | ||||||||||
4.89%, 04/24/2025(1) | 200,000 | 189,189 | ||||||||||
5.18%, 04/24/2028(1) | 200,000 | 185,574 | ||||||||||
Valvoline, Inc. | ||||||||||||
5.50%, 07/15/2024 | 1,209,000 | 1,181,797 | ||||||||||
Westlake Chemical Corp. | ||||||||||||
3.60%, 08/15/2026 | 1,925,000 | 1,765,905 | ||||||||||
Yara International ASA | ||||||||||||
4.75%, 06/01/2028(1) | 400,000 | 398,920 | ||||||||||
|
| |||||||||||
120,576,896 | ||||||||||||
|
|
Communications—4.66% | ||||||||
21st Century Fox America, Inc. | ||||||||
3.70%, 09/15/2024 | 1,495,000 | 1,508,652 | ||||||
Alibaba Group Holding Ltd. | ||||||||
3.13%, 11/28/2021 | 4,894,000 | 4,842,447 | ||||||
3.60%, 11/28/2024 | 7,180,000 | 7,022,880 | ||||||
3.40%, 12/06/2027 | 8,360,000 | 7,734,716 | ||||||
Altice Financing SA | ||||||||
5.25%, 02/15/2023 | EUR | 16,785,000 | 19,356,434 | |||||
6.63%, 02/15/2023(1) | $ | 18,627,000 | 17,881,920 | |||||
Altice France SA/France | ||||||||
6.25%, 05/15/2024(1) | 10,330,000 | 9,632,725 | ||||||
7.38%, 05/01/2026(1) | 1,400,000 | 1,284,500 | ||||||
5.88%, 02/01/2027(1) | EUR | 9,500,000 | 10,763,815 | |||||
8.13%, 02/01/2027(1) | $ | 1,100,000 | 1,036,750 | |||||
Altice Luxembourg SA | ||||||||
7.25%, 05/15/2022 | EUR | 2,380,000 | 2,532,733 | |||||
7.75%, 05/15/2022(1) | $ | 1,050,000 | 955,500 | |||||
AT&T Inc. | ||||||||
5.15%, 11/15/2046 | 3,055,000 | 2,842,544 | ||||||
AT&T, Inc. | ||||||||
3.96% (3 Month LIBOR USD + 1.18%), 06/12/2024(2) | 1,935,000 | 1,876,934 | ||||||
3.40%, 05/15/2025 | 3,750,000 | 3,525,056 | ||||||
5.25%, 03/01/2037 | 7,530,000 | 7,402,285 | ||||||
4.80%, 06/15/2044 | 6,560,000 | 5,884,876 | ||||||
4.35%, 06/15/2045 | 2,600,000 | 2,200,015 | ||||||
4.75%, 05/15/2046 | 5,580,000 | 4,966,319 | ||||||
4.50%, 03/09/2048 | 6,525,000 | 5,625,705 | ||||||
Axtel SAB de CV | ||||||||
6.38%, 11/14/2024 | 4,700,000 | 4,457,903 | ||||||
Baidu, Inc. | ||||||||
2.88%, 07/06/2022 | 5,105,000 | 4,959,268 | ||||||
3.88%, 09/29/2023 | 11,855,000 | 11,801,320 | ||||||
4.38%, 03/29/2028 | 1,850,000 | 1,812,358 | ||||||
Booking Holdings, Inc. | ||||||||
3.65%, 03/15/2025 | 2,368,000 | 2,306,989 | ||||||
3.60%, 06/01/2026 | 5,721,000 | 5,561,014 | ||||||
CCO Holdings LLC / CCO Holdings Capital Corp. | ||||||||
5.13%, 05/01/2027(1) | 1,413,000 | 1,316,068 | ||||||
Charter Communications Operating LLC / Charter Communications Operating Capital | ||||||||
3.58%, 07/23/2020 | 6,515,000 | 6,506,912 | ||||||
4.46%, 07/23/2022 | 10,757,000 | 10,859,818 | ||||||
4.19% (3 Month LIBOR USD + 1.65%), 02/01/2024(2) | 7,366,000 | 7,242,212 | ||||||
4.50%, 02/01/2024 | 3,510,000 | 3,504,433 | ||||||
4.91%, 07/23/2025 | 11,997,000 | 11,923,898 | ||||||
3.75%, 02/15/2028 | 665,000 | 601,925 | ||||||
6.48%, 10/23/2045 | 1,000,000 | 1,032,093 | ||||||
Cisco Systems, Inc. | ||||||||
4.45%, 01/15/2020 | 2,125,000 | 2,157,749 | ||||||
2.45%, 06/15/2020 | 14,000,000 | 13,923,557 | ||||||
2.20%, 02/28/2021 | 2,360,000 | 2,328,647 | ||||||
Clear Channel International BV | ||||||||
8.75%, 12/15/2020(1) | 831,000 | 837,232 | ||||||
Clear Channel Worldwide Holdings, Inc. | ||||||||
7.63%, 03/15/2020 | 4,200,000 | 4,126,500 | ||||||
7.63%, 03/15/2020 | 4,238,000 | 4,132,050 | ||||||
6.50%, 11/15/2022 | 1,962,000 | 1,962,000 | ||||||
Comcast Corp. | ||||||||
3.13% (3 Month LIBOR USD + 0.33%), 10/01/2020(2) | 740,000 | 736,586 | ||||||
3.24% (3 Month LIBOR USD + 0.44%), 10/01/2021(2) | 1,154,000 | 1,143,051 | ||||||
3.38%, 08/15/2025 | 9,145,000 | 8,915,162 |
3.95%, 10/15/2025 | 2,500,000 | 2,530,739 | ||||||
3.15%, 03/01/2026 | 4,440,000 | 4,250,360 | ||||||
2.35%, 01/15/2027 | 3,715,000 | 3,324,863 | ||||||
3.30%, 02/01/2027 | 3,855,000 | 3,676,029 | ||||||
4.15%, 10/15/2028 | 2,000,000 | 2,032,110 | ||||||
3.20%, 07/15/2036 | 305,000 | 262,663 | ||||||
4.60%, 10/15/2038 | 5,103,000 | 5,158,712 | ||||||
3.97%, 11/01/2047 | 1,965,000 | 1,758,965 | ||||||
4.70%, 10/15/2048 | 7,262,000 | 7,388,962 | ||||||
Cox Communications, Inc. | ||||||||
3.25%, 12/15/2022(1) | 7,975,000 | 7,790,444 | ||||||
3.15%, 08/15/2024(1) | 3,400,000 | 3,270,562 | ||||||
4.80%, 02/01/2035(1) | 8,725,000 | 7,962,382 | ||||||
4.70%, 12/15/2042(1) | 810,000 | 714,037 | ||||||
4.50%, 06/30/2043(1) | 950,000 | 802,111 | ||||||
Crown Castle Towers LLC | ||||||||
3.66%, 05/15/2025(1) | 1,300,000 | 1,262,898 | ||||||
3.22%, 05/15/2042(1) | 700,000 | 688,359 | ||||||
CSC Holdings LLC | ||||||||
8.63%, 02/15/2019 | 625,000 | 626,562 | ||||||
5.38%, 07/15/2023(1) | 2,732,000 | 2,666,213 | ||||||
7.75%, 07/15/2025(1) | 3,105,000 | 3,159,338 | ||||||
5.50%, 04/15/2027(1) | 2,300,000 | 2,139,000 | ||||||
5.38%, 02/01/2028(1) | 1,400,000 | 1,287,552 | ||||||
Deutsche Telekom International Finance BV | ||||||||
1.95%, 09/19/2021(1) | 800,000 | 767,544 | ||||||
2.82%, 01/19/2022(1) | 2,045,000 | 1,998,892 | ||||||
4.38%, 06/21/2028(1) | 12,445,000 | 12,260,883 | ||||||
Discovery Communications LLC | ||||||||
2.75%, 11/15/2019(1) | 2,355,000 | 2,331,064 | ||||||
2.80%, 06/15/2020(1) | 7,200,000 | 7,122,576 | ||||||
4.38%, 06/15/2021 | 380,000 | 386,683 | ||||||
2.95%, 03/20/2023 | 100,000 | 95,760 | ||||||
3.95%, 03/20/2028 | 9,186,000 | 8,522,657 | ||||||
5.00%, 09/20/2037 | 1,270,000 | 1,179,246 | ||||||
DISH DBS Corp. | ||||||||
7.88%, 09/01/2019 | 10,840,000 | 11,060,052 | ||||||
5.13%, 05/01/2020 | 15,493,000 | 15,299,337 | ||||||
6.75%, 06/01/2021 | 4,250,000 | 4,206,225 | ||||||
5.88%, 07/15/2022 | 200,000 | 184,000 | ||||||
eBay, Inc. | ||||||||
2.60%, 07/15/2022 | 4,276,000 | 4,133,509 | ||||||
2.75%, 01/30/2023 | 5,400,000 | 5,191,208 | ||||||
Expedia Group, Inc. | ||||||||
4.50%, 08/15/2024 | 7,286,000 | 7,294,796 | ||||||
5.00%, 02/15/2026 | 9,320,000 | 9,418,839 | ||||||
3.80%, 02/15/2028 | 11,460,000 | 10,415,587 | ||||||
iHeartCommunications, Inc. | ||||||||
9.00%, 12/15/2019 (12) | 11,004,000 | 7,372,680 | ||||||
9.00%, 03/01/2021 (12) | 18,100,000 | 12,127,000 | ||||||
11.25%, 03/01/2021 (12) | 1,452,000 | 961,950 | ||||||
11.25%, 03/01/2021(1)(12) | 3,368,000 | 2,155,520 | ||||||
9.00%, 09/15/2022 (12) | 7,299,000 | 4,853,835 | ||||||
10.63%, 03/15/2023 (12) | 88,000 | 58,520 | ||||||
Intelsat Connect Finance SA | ||||||||
9.50%, 02/15/2023(1) | 710,000 | 610,600 | ||||||
Intelsat Jackson Holdings SA | ||||||||
9.50%, 09/30/2022(1) | 1,490,000 | 1,698,600 | ||||||
5.50%, 08/01/2023 | 3,067,000 | 2,668,290 | ||||||
8.00%, 02/15/2024(1) | 7,849,000 | 8,084,470 | ||||||
8.50%, 10/15/2024(1) | 3,734,000 | 3,621,980 | ||||||
9.75%, 07/15/2025(1) | 1,722,000 | 1,726,822 |
Intelsat Luxembourg SA | ||||||||
7.75%, 06/01/2021 | 8,455,000 | 7,694,050 | ||||||
Interpublic Group of Cos., Inc. | ||||||||
3.50%, 10/01/2020 | 1,130,000 | 1,131,192 | ||||||
3.75%, 10/01/2021 | 200,000 | 201,180 | ||||||
4.00%, 03/15/2022 | 216,000 | 217,832 | ||||||
Level 3 Financing, Inc. | ||||||||
5.13%, 05/01/2023 | 325,000 | 313,625 | ||||||
5.38%, 01/15/2024 | 600,000 | 571,500 | ||||||
5.38%, 05/01/2025 | 1,531,000 | 1,435,312 | ||||||
5.25%, 03/15/2026 | 550,000 | 503,250 | ||||||
MTN Mauritius Investments Ltd. | ||||||||
6.50%, 10/13/2026 | 4,200,000 | 4,086,079 | ||||||
Netflix, Inc. | ||||||||
4.63%, 05/15/2029(1) | EUR | 4,560,000 | 5,120,759 | |||||
4.63%, 05/15/2029(1) | 1,800,000 | 2,021,352 | ||||||
Nokia OYJ | ||||||||
3.38%, 06/12/2022 | $ | 280,000 | 264,600 | |||||
4.38%, 06/12/2027 | 4,255,000 | 3,957,150 | ||||||
Omnicom Group, Inc. | ||||||||
3.65%, 11/01/2024 | 1,600,000 | 1,549,584 | ||||||
Radiate Holdco LLC / Radiate Finance, Inc. | ||||||||
6.88%, 02/15/2023(1) | 220,000 | 199,650 | ||||||
SES Global Americas Holdings GP | ||||||||
2.50%, 03/25/2019(1) | 500,000 | 498,801 | ||||||
Sirius XM Radio, Inc. | ||||||||
3.88%, 08/01/2022(1) | 1,178,000 | 1,127,523 | ||||||
Sky Plc | ||||||||
3.13%, 11/26/2022(1) | 400,000 | 394,637 | ||||||
3.75%, 09/16/2024(1) | 280,000 | 278,952 | ||||||
SoftBank Group Corp. | ||||||||
4.00%, 04/20/2023 | EUR | 2,350,000 | 2,766,559 | |||||
Sprint Capital Co. | ||||||||
6.90%, 05/01/2019 | $ | 4,095,000 | 4,115,475 | |||||
Sprint Capital Corp. | ||||||||
6.88%, 11/15/2028 | 708,000 | 669,060 | ||||||
Sprint Communications, Inc. | ||||||||
7.00%, 03/01/2020(1) | 7,822,000 | 8,017,550 | ||||||
7.00%, 08/15/2020 | 11,367,000 | 11,637,535 | ||||||
Sprint Corp. | ||||||||
7.25%, 09/15/2021 | 2,138,000 | 2,188,243 | ||||||
7.88%, 09/15/2023 | 1,475,000 | 1,513,719 | ||||||
7.13%, 06/15/2024 | 312,000 | 309,211 | ||||||
7.63%, 03/01/2026 | 1,851,000 | 1,827,862 | ||||||
Sprint Spectrum Co. LLC / Sprint Spectrum Co. II LLC / Sprint Spectrum Co. III LLC | ||||||||
3.36%, 03/20/2023(1) | 6,591,063 | 6,508,674 | ||||||
4.74%, 09/20/2029(1) | 8,555,000 | 8,394,594 | ||||||
5.15%, 09/20/2029(1) | 7,596,000 | 7,463,070 | ||||||
TBG Global Pte. Ltd. | ||||||||
5.25%, 02/10/2022 | 5,300,000 | 5,185,340 | ||||||
Telefonica Emisiones SAU | ||||||||
5.46%, 02/16/2021 | 168,000 | 174,101 | ||||||
Telenet Finance Luxembourg Notes Sarl | ||||||||
5.50%, 03/01/2028(1) | 400,000 | 362,000 | ||||||
Telstra Corp. Ltd. | ||||||||
4.80%, 10/12/2021(1) | 680,000 | 706,481 | ||||||
Tencent Holdings Ltd. | ||||||||
2.99%, 01/19/2023 | 10,000,000 | 9,717,862 | ||||||
3.80%, 02/11/2025 | 7,290,000 | 7,146,427 |
Thomson Reuters Corp. | ||||||||
3.35%, 05/15/2026 | 1,390,000 | 1,290,354 | ||||||
Time Warner Cable LLC | ||||||||
4.00%, 09/01/2021 | 370,000 | 367,736 | ||||||
6.55%, 05/01/2037 | 1,100,000 | 1,129,933 | ||||||
7.30%, 07/01/2038 | 885,000 | 960,297 | ||||||
6.75%, 06/15/2039 | 930,000 | 945,924 | ||||||
5.88%, 11/15/2040 | 2,000,000 | 1,887,151 | ||||||
5.50%, 09/01/2041 | 5,697,000 | 5,040,837 | ||||||
4.50%, 09/15/2042 | 13,140,000 | 10,575,738 | ||||||
T-Mobile USA, Inc. | ||||||||
6.50%, 01/15/2024 | 1,045,000 | 1,073,926 | ||||||
4.50%, 02/01/2026 | 658,000 | 603,715 | ||||||
4.75%, 02/01/2028 | 3,208,000 | 2,903,240 | ||||||
United Group BV | ||||||||
4.38%, 07/01/2022 | EUR | 7,425,000 | 8,418,709 | |||||
4.38%, 07/01/2022(1) | 200,000 | 226,767 | ||||||
4.88%, 07/01/2024 | 9,400,000 | 10,554,227 | ||||||
4.88%, 07/01/2024(1) | 200,000 | 224,558 | ||||||
Univision Communications, Inc. | ||||||||
5.13%, 05/15/2023(1) | $ | 6,215,000 | 5,577,962 | |||||
5.13%, 02/15/2025(1) | 4,465,000 | 3,918,038 | ||||||
UPCB Finance VII Ltd. | ||||||||
3.63%, 06/15/2029 | EUR | 490,000 | 532,645 | |||||
Verizon Communications, Inc. | ||||||||
5.15%, 09/15/2023 | $ | 4,055,000 | 4,318,177 | |||||
3.50%, 11/01/2024 | 2,000,000 | 1,977,419 | ||||||
3.38%, 02/15/2025 | 15,760,000 | 15,290,305 | ||||||
4.50%, 08/10/2033 | 3,470,000 | 3,428,027 | ||||||
5.25%, 03/16/2037 | 2,900,000 | 3,023,987 | ||||||
4.86%, 08/21/2046 | 5,830,000 | 5,737,165 | ||||||
Viacom, Inc. | ||||||||
4.25%, 09/01/2023 | 6,000,000 | 5,976,208 | ||||||
ViaSat, Inc. | ||||||||
5.63%, 09/15/2025(1) | 196,000 | 180,320 | ||||||
Virgin Media Secured Finance Plc | ||||||||
5.25%, 01/15/2026(1) | 1,200,000 | 1,099,500 | ||||||
Vodafone Group Plc | ||||||||
3.75%, 01/16/2024 | 4,000,000 | 3,942,257 | ||||||
4.38%, 05/30/2028 | 14,700,000 | 14,268,496 | ||||||
5.00%, 05/30/2038 | 5,045,000 | 4,732,277 | ||||||
VTR Finance BV | ||||||||
6.88%, 01/15/2024 | 4,476,000 | 4,476,000 | ||||||
Walt Disney Co. | ||||||||
2.30%, 02/12/2021 | 10,415,000 | 10,284,898 | ||||||
3.75%, 06/01/2021 | 460,000 | 468,614 | ||||||
Warner Media LLC | ||||||||
4.00%, 01/15/2022 | 1,000,000 | 1,012,254 | ||||||
3.80%, 02/15/2027 | 3,530,000 | 3,313,989 | ||||||
Wind Tre SpA | ||||||||
2.63%, 01/20/2023(1) | EUR | 600,000 | 619,737 | |||||
2.75% (3 Month EURIBOR + 2.75%, 2.75% Floor), 01/20/2024(1)(2) | 500,000 | 511,291 | ||||||
3.13%, 01/20/2025 | 200,000 | 203,752 | ||||||
5.00%, 01/20/2026(1) | $ | 200,000 | 164,440 | |||||
Zayo Group LLC / Zayo Capital, Inc. | ||||||||
5.75%, 01/15/2027(1) | 1,240,000 | 1,106,700 | ||||||
Ziggo BV | ||||||||
5.50%, 01/15/2027(1) | 6,675,000 | 5,974,125 | ||||||
|
| |||||||
702,200,023 | ||||||||
|
|
Consumer, Cyclical—3.17% | ||||||||
Air Canada 2013-1 Class B Pass Through Trust | ||||||||
5.38%, 11/15/2022(1) | 261,746 | 264,573 | ||||||
Air Canada 2015-2 Class B Pass Through Trust | ||||||||
5.00%, 06/15/2025(1) | 1,882,161 | 1,882,914 | ||||||
Air Canada 2017-1 Class B Pass Through Trust | ||||||||
3.70%, 07/15/2031(1) | 14,862,000 | 14,099,579 | ||||||
Alimentation Couche-Tard, Inc. | ||||||||
3.55%, 07/26/2027(1) | 3,000,000 | 2,802,612 | ||||||
America West Airlines 2001-1 Pass Through Trust | ||||||||
7.10%, 10/02/2022 | 1,302,678 | 1,358,042 | ||||||
American Airlines 2013-1 Class A Pass Through Trust | ||||||||
4.00%, 01/15/2027 | 1,799,460 | 1,785,695 | ||||||
American Airlines 2014-1 Class A Pass Through Trust | ||||||||
3.70%, 04/01/2028 | 1,711,041 | 1,656,630 | ||||||
American Airlines 2015-1 Class B Pass Through Trust | ||||||||
3.70%, 11/01/2024 | 2,178,259 | 2,100,277 | ||||||
American Airlines 2015-2 Class B Pass Through Trust | ||||||||
4.40%, 03/22/2025 | 9,968,222 | 9,775,835 | ||||||
American Airlines 2016-1 Class AA Pass Through Trust | ||||||||
3.58%, 07/15/2029 | 551,669 | 541,774 | ||||||
American Airlines 2016-1 Class B Pass Through Trust | ||||||||
5.25%, 07/15/2025 | 2,323,098 | 2,390,439 | ||||||
American Airlines 2016-2 Class A Pass Through Trust | ||||||||
3.65%, 12/15/2029 | 1,305,175 | 1,239,394 | ||||||
American Airlines 2016-2 Class B Pass Through Trust | ||||||||
4.38%, 12/15/2025(1) | 3,985,200 | 3,908,286 | ||||||
American Airlines 2016-3 Class B Pass Through Trust | ||||||||
3.75%, 04/15/2027 | 7,662,137 | 7,353,323 | ||||||
American Airlines 2017-1 Class B Pass Through Trust | ||||||||
4.95%, 08/15/2026 | 1,039,838 | 1,042,237 | ||||||
American Airlines 2017-2 Class AA Pass Through Trust | ||||||||
3.35%, 04/15/2031 | 797,810 | 754,168 | ||||||
American Airlines 2017-2 Class B Pass Through Trust | ||||||||
3.70%, 04/15/2027 | 6,612,898 | 6,394,320 | ||||||
Aptiv Plc | ||||||||
3.15%, 11/19/2020 | 4,165,000 | 4,133,782 | ||||||
AutoNation, Inc. | ||||||||
3.35%, 01/15/2021 | 770,000 | 764,070 | ||||||
BMW U.S. Capital LLC | ||||||||
3.25%, 08/14/2020(1) | 14,250,000 | 14,243,487 | ||||||
3.10%, 04/12/2021(1) | 5,495,000 | 5,441,596 | ||||||
Choice Hotels International, Inc. | ||||||||
5.75%, 07/01/2022 | 3,000,000 | 3,060,000 | ||||||
Churchill Downs, Inc. | ||||||||
4.75%, 01/15/2028(1) | 402,000 | 363,689 | ||||||
Cintas Corp. No 2 | ||||||||
4.30%, 06/01/2021 | 165,000 | 169,300 | ||||||
Continental Airlines 2000-1 Class A-1 Pass Through Trust | ||||||||
8.05%, 05/01/2022 | 303,780 | 314,618 | ||||||
Continental Airlines 2007-1 Class A Pass Through Trust | ||||||||
5.98%, 10/19/2023 | 4,235,217 | 4,422,414 | ||||||
Continental Airlines 2009-2 Class A Pass Through Trust | ||||||||
7.25%, 05/10/2021 | 882,823 | 906,571 | ||||||
Continental Airlines 2012-2 Class A Pass Through Trust | ||||||||
4.00%, 04/29/2026 | 1,717,684 | 1,696,213 | ||||||
Cumberland Farms, Inc. | ||||||||
6.75%, 05/01/2025(1) | 767,000 | 774,670 | ||||||
D.R. Horton, Inc. | ||||||||
4.38%, 09/15/2022 | 10,658,000 | 10,781,183 |
Daimler Finance North America LLC | ||||||||
2.30%, 01/06/2020(1) | 4,000,000 | 3,956,101 | ||||||
3.00%, 02/22/2021(1) | 2,210,000 | 2,185,822 | ||||||
3.88%, 09/15/2021(1) | 850,000 | 855,251 | ||||||
Dana Financing Luxembourg Sarl | ||||||||
5.75%, 04/15/2025(1) | 925,000 | 862,563 | ||||||
6.50%, 06/01/2026(1) | 1,510,000 | 1,447,712 | ||||||
Delta Air Lines2002-1Class G-1 Pass Through Trust | ||||||||
6.72%, 07/02/2024 | 1,793,089 | 1,898,523 | ||||||
Delta Air Lines, Inc. | ||||||||
2.88%, 03/13/2020 | 1,295,000 | 1,286,234 | ||||||
3.40%, 04/19/2021 | 350,000 | 347,066 | ||||||
3.63%, 03/15/2022 | 11,287,000 | 11,044,852 | ||||||
4.38%, 04/19/2028 | 2,175,000 | 2,085,535 | ||||||
Diamond Resorts International Inc | ||||||||
7.75%, 09/01/2023(1) | 4,294,000 | 4,122,240 | ||||||
Dillard’s, Inc. | ||||||||
7.75%, 07/15/2026 | 135,000 | 145,052 | ||||||
7.75%, 05/15/2027 | 85,000 | 91,569 | ||||||
7.00%, 12/01/2028 | 380,000 | 391,333 | ||||||
Emirates Airline | ||||||||
4.50%, 02/06/2025 | 3,714,240 | 3,632,824 | ||||||
FCE Bank Plc | ||||||||
1.88%, 06/24/2021 | EUR | 300,000 | 342,299 | |||||
Ford Motor Credit Co. LLC | ||||||||
2.94%, 01/08/2019 | $ | 2,250,000 | 2,250,007 | |||||
1.90%, 08/12/2019 | 1,000,000 | 990,175 | ||||||
3.41% (3 Month LIBOR USD + 1.00%), 01/09/2020(2) | 2,575,000 | 2,548,605 | ||||||
8.13%, 01/15/2020 | 2,605,000 | 2,704,161 | ||||||
2.43%, 06/12/2020 | 4,525,000 | 4,405,432 | ||||||
3.57% (3 Month LIBOR USD + 0.79%), 06/12/2020(2) | 400,000 | 394,375 | ||||||
3.16%, 08/04/2020 | 2,420,000 | 2,371,038 | ||||||
2.34%, 11/02/2020 | 7,795,000 | 7,497,994 | ||||||
2.99% (3 Month LIBOR USD + 0.43%), 11/02/2020(2) | 3,110,000 | 3,023,445 | ||||||
3.20%, 01/15/2021 | 3,750,000 | 3,633,514 | ||||||
3.34%, 03/18/2021 | 200,000 | 194,056 | ||||||
0.11% (3 Month EURIBOR + 0.43%), 05/14/2021(2) | EUR | 220,000 | 240,769 | |||||
3.31% (3 Month LIBOR USD + 0.88%), 10/12/2021(2) | $ | 3,390,000 | 3,253,251 | |||||
0.05% (3 Month EURIBOR + 0.37%), 12/01/2021(2) | EUR | 610,000 | 651,074 | |||||
3.34%, 03/28/2022 | $ | 4,740,000 | 4,473,938 | |||||
4.38%, 08/06/2023 | 1,080,000 | 1,022,956 | ||||||
4.13%, 08/04/2025 | 3,670,000 | 3,307,319 | ||||||
General Motors Co. | ||||||||
3.39% (3 Month LIBOR USD + 0.80%), 08/07/2020(2) | 1,400,000 | 1,385,881 | ||||||
6.60%, 04/01/2036 | 975,000 | 949,967 | ||||||
6.25%, 10/02/2043 | 65,000 | 60,993 | ||||||
5.20%, 04/01/2045 | 3,485,000 | 2,893,332 | ||||||
General Motors Financial Co., Inc. | ||||||||
3.10%, 01/15/2019 | 1,868,000 | 1,867,926 | ||||||
2.40%, 05/09/2019 | 4,035,000 | 4,019,847 | ||||||
2.35%, 10/04/2019 | 3,000,000 | 2,973,794 | ||||||
3.15%, 01/15/2020 | 1,000,000 | 993,892 | ||||||
2.65%, 04/13/2020 | 1,500,000 | 1,476,613 | ||||||
3.20%, 07/13/2020 | 7,238,000 | 7,146,997 | ||||||
3.26% (3 Month LIBOR USD + 0.85%), 04/09/2021(2) | 10,085,000 | 9,855,465 | ||||||
3.55%, 04/09/2021 | 31,140,000 | 30,707,748 | ||||||
0.24% (3 Month EURIBOR + 0.55%), 03/26/2022(2) | EUR | 450,000 | 494,139 | |||||
4.35%, 04/09/2025 | $ | 1,530,000 | 1,449,741 | |||||
4.00%, 10/06/2026 | 1,900,000 | 1,706,577 |
Gohl Capital Ltd. | ||||||||
4.25%, 01/24/2027 | 6,600,000 | 6,208,831 | ||||||
Harley-Davidson Financial Services, Inc. | ||||||||
2.85%, 01/15/2021(1) | 3,287,000 | 3,228,976 | ||||||
2.55%, 06/09/2022(1) | 1,875,000 | 1,788,777 | ||||||
Hilton Domestic Operating Co., Inc. | ||||||||
5.13%, 05/01/2026(1) | 429,000 | 411,840 | ||||||
Hyundai Capital America | ||||||||
3.60% (3 Month LIBOR USD + 0.80%), 09/18/2020(1)(2) | 1,170,000 | 1,165,170 | ||||||
IHO Verwaltungs GmbH | ||||||||
4.13% cash or 4.88% PIK, 09/15/2021, 09/15/2021(1) | 745,000 | 707,750 | ||||||
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC | ||||||||
5.25%, 06/01/2026(1) | 956,000 | 924,959 | ||||||
4.75%, 06/01/2027(1) | 1,000,000 | 930,000 | ||||||
Latam Airlines2015-1 Pass Through Trust A | ||||||||
4.20%, 08/15/2029 | 2,911,291 | 2,802,118 | ||||||
Lennar Corp. | ||||||||
4.75%, 11/29/2027 | 4,275,000 | 3,858,187 | ||||||
Magna International, Inc. | ||||||||
4.15%, 10/01/2025 | 665,000 | 676,403 | ||||||
Melco Resorts Finance Ltd. | ||||||||
4.88%, 06/06/2025(1) | 200,000 | 183,658 | ||||||
MGM Resorts International | ||||||||
6.75%, 10/01/2020 | 6,899,000 | 7,088,723 | ||||||
7.75%, 03/15/2022 | 2,870,000 | 3,052,962 | ||||||
Mitchells & Butlers Finance Plc | ||||||||
3.24% (3 Month LIBOR USD + 0.45%), 12/15/2030(2) | 9,820,416 | 8,963,772 | ||||||
6.01%, 12/15/2030 | GBP | 334,955 | 481,674 | |||||
New Red Finance, Inc. | ||||||||
4.63%, 01/15/2022(1) | $ | 3,510,000 | 3,395,925 | |||||
4.25%, 05/15/2024(1) | 1,872,000 | 1,723,756 | ||||||
O’Reilly Automotive, Inc. | ||||||||
4.63%, 09/15/2021 | 1,300,000 | 1,334,418 | ||||||
PetSmart, Inc. | ||||||||
5.88%, 06/01/2025(1) | 206,000 | 148,835 | ||||||
QVC, Inc. | ||||||||
3.13%, 04/01/2019 | 400,000 | 399,089 | ||||||
5.13%, 07/02/2022 | 4,365,000 | 4,410,893 | ||||||
4.38%, 03/15/2023 | 920,000 | 882,720 | ||||||
Rite Aid Corp. | ||||||||
6.13%, 04/01/2023(1) | 3,388,000 | 2,676,520 | ||||||
Sands China Ltd. | ||||||||
4.60%, 08/08/2023(1) | 1,400,000 | 1,390,741 | ||||||
5.13%, 08/08/2025(1) | 1,600,000 | 1,584,979 | ||||||
5.40%, 08/08/2028(1) | 2,200,000 | 2,124,340 | ||||||
Spirit Issuer Plc | ||||||||
6.58%, 12/28/2027 | GBP | 3,465,000 | 4,448,110 | |||||
3.61% (3 Month LIBOR GBP + 2.70%), 12/28/2031(2) | 810,000 | 991,439 | ||||||
Starbucks Corp. | ||||||||
3.80%, 08/15/2025 | $ | 5,465,000 | 5,406,891 | |||||
Tesla, Inc. | ||||||||
5.30%, 08/15/2025(1) | 3,670,000 | 3,188,312 | ||||||
Toyota Motor Credit Co. | ||||||||
1.55%, 10/18/2019 | 9,690,000 | 9,573,323 | ||||||
Toyota Motor Credit Corp. | ||||||||
2.95%, 04/13/2021 | 14,545,000 | 14,515,795 | ||||||
U.S. Airways2011-1 Class A Pass Through Trust | ||||||||
7.13%, 04/22/2025 | 1,698,624 | 1,853,709 | ||||||
U.S. Airways2013-1 Class A Pass Through Trust | ||||||||
3.95%, 05/15/2027 | 1,627,058 | 1,638,608 |
United Airlines2016-1 Class B Pass Through Trust | ||||||||
3.65%, 07/07/2027 | 1,612,841 | 1,576,402 | ||||||
United Airlines2016-2 Class B Pass Through Trust | ||||||||
3.65%, 04/07/2027 | 1,970,428 | 1,878,078 | ||||||
United Airlines2018-1 Class B Pass Through Trust | ||||||||
4.60%, 09/01/2027 | 6,810,000 | 6,812,127 | ||||||
VOC Escrow Ltd. | ||||||||
5.00%, 02/15/2028(1) | 179,000 | 165,128 | ||||||
Volkswagen Bank GmbH | ||||||||
0.11% (3 Month EURIBOR + 0.42%), 06/15/2021(2) | EUR | 1,400,000 | 1,574,129 | |||||
0.63%, 09/08/2021 | 7,500,000 | 8,521,947 | ||||||
Volkswagen Group of America Finance LLC | ||||||||
3.39% (3 Month LIBOR USD + 0.77%), 11/13/2020(1)(2) | $ | 8,300,000 | 8,244,564 | |||||
3.88%, 11/13/2020(1) | 8,300,000 | 8,338,873 | ||||||
3.56% (3 Month LIBOR USD + 0.94%), 11/12/2021(1)(2) | 8,300,000 | 8,218,784 | ||||||
4.00%, 11/12/2021(1) | 8,300,000 | 8,316,637 | ||||||
4.63%, 11/13/2025(1) | 5,120,000 | 5,063,669 | ||||||
Volkswagen International Finance NV | ||||||||
4.00%, 08/12/2020(1) | 230,000 | 231,445 | ||||||
Volkswagen Leasing GmbH | ||||||||
0.13% (3 Month EURIBOR + 0.45%), 07/06/2021(2) | EUR | 400,000 | 450,289 | |||||
Walgreens Boots Alliance, Inc. | ||||||||
2.70%, 11/18/2019 | $ | 3,555,000 | 3,534,761 | |||||
3.80%, 11/18/2024 | 2,550,000 | 2,509,306 | ||||||
4.80%, 11/18/2044 | 926,000 | 848,474 | ||||||
Walmart, Inc. | ||||||||
1.90%, 12/15/2020 | 10,840,000 | 10,667,734 | ||||||
3.13%, 06/23/2021 | 19,375,000 | 19,511,898 | ||||||
3.55%, 06/26/2025 | 8,000,000 | 8,091,786 | ||||||
WestJet Airlines Ltd. | ||||||||
3.50%, 06/16/2021(1) | 4,540,000 | 4,500,317 | ||||||
Wyndham Destinations, Inc. | ||||||||
4.25%, 03/01/2022 | 40,000 | 38,200 | ||||||
3.90%, 03/01/2023 | 1,170,000 | 1,076,400 | ||||||
5.40%, 04/01/2024 | 72,000 | 68,580 | ||||||
6.35%, 10/01/2025 | 1,120,000 | 1,086,400 | ||||||
5.75%, 04/01/2027 | 6,035,000 | 5,537,113 | ||||||
Wynn Macau Ltd. | ||||||||
4.88%, 10/01/2024(1) | 200,000 | 178,000 | ||||||
5.50%, 10/01/2027(1) | 200,000 | 174,000 | ||||||
ZF North America Capital, Inc. | ||||||||
4.00%, 04/29/2020(1) | 1,910,000 | 1,901,076 | ||||||
4.50%, 04/29/2022(1) | 1,050,000 | 1,025,608 | ||||||
|
| |||||||
476,365,616 | ||||||||
|
| |||||||
Consumer,Non-cyclical—5.89% | ||||||||
AA Bond Co. Ltd. | ||||||||
2.88%, 01/31/2022 | GBP | 5,547,000 | 6,570,002 | |||||
4.25%, 07/31/2043 | 10,080,000 | 13,092,745 | ||||||
Abbott Laboratories | ||||||||
2.90%, 11/30/2021 | $ | 8,535,000 | 8,450,134 | |||||
AbbVie, Inc. | ||||||||
2.30%, 05/14/2021 | 4,732,000 | 4,620,962 | ||||||
2.90%, 11/06/2022 | 6,020,000 | 5,857,322 | ||||||
2.85%, 05/14/2023 | 1,000,000 | 963,522 | ||||||
3.60%, 05/14/2025 | 8,963,000 | 8,600,947 | ||||||
4.25%, 11/14/2028 | 2,000,000 | 1,942,803 | ||||||
4.50%, 05/14/2035 | 715,000 | 662,111 | ||||||
4.70%, 05/14/2045 | 750,000 | 682,932 | ||||||
4.88%, 11/14/2048 | 2,000,000 | 1,868,494 | ||||||
Aetna Inc | ||||||||
3.50%, 11/15/2024 | 3,370,000 | 3,258,048 |
Aetna, Inc. | ||||||||
2.80%, 06/15/2023 | 3,388,000 | 3,221,816 | ||||||
Allergan Finance LLC | ||||||||
3.25%, 10/01/2022 | 7,250,000 | 7,088,103 | ||||||
Allergan Funding SCS | ||||||||
0.03% (3 Month EURIBOR + 0.35%), 06/01/2019(2) | 100,000 | 114,525 | ||||||
3.45%, 03/15/2022 | EUR | 380,000 | 374,170 | |||||
Allergan Sales LLC | ||||||||
5.00%, 12/15/2021(1) | $ | 3,000,000 | 3,086,568 | |||||
Amgen, Inc. | ||||||||
2.60%, 08/19/2026 | 3,200,000 | 2,909,385 | ||||||
4.40%, 05/01/2045 | 3,441,000 | 3,226,441 | ||||||
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc. | ||||||||
3.65%, 02/01/2026(1) | 12,290,000 | 11,616,998 | ||||||
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc. | ||||||||
4.90%, 02/01/2046(1) | 3,035,000 | 2,818,210 | ||||||
Anheuser-Busch InBev Finance, Inc. | ||||||||
2.65%, 02/01/2021 | 7,455,000 | 7,327,561 | ||||||
3.30%, 02/01/2023 | 1,000,000 | 973,663 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | ||||||||
3.75%, 01/15/2022 | 695,000 | 695,482 | ||||||
4.00%, 04/13/2028 | 5,025,000 | 4,809,452 | ||||||
Anthem, Inc. | ||||||||
2.25%, 08/15/2019 | 3,000,000 | 2,983,958 | ||||||
2.50%, 11/21/2020 | 19,420,000 | 19,149,453 | ||||||
3.65%, 12/01/2027 | 2,580,000 | 2,466,447 | ||||||
4.65%, 01/15/2043 | 4,400,000 | 4,293,927 | ||||||
4.38%, 12/01/2047 | 1,000,000 | 931,347 | ||||||
Ascension Health | ||||||||
3.95%, 11/15/2046 | 825,000 | 796,384 | ||||||
Ashtead Capital, Inc. | ||||||||
5.25%, 08/01/2026(1) | 4,585,000 | 4,424,525 | ||||||
AstraZeneca Plc | ||||||||
3.38%, 11/16/2025 | 2,475,000 | 2,391,928 | ||||||
B&G Foods, Inc. | ||||||||
5.25%, 04/01/2025 | 1,590,000 | 1,478,700 | ||||||
Bacardi Ltd. | ||||||||
4.70%, 05/15/2028(1) | 2,047,000 | 1,968,283 | ||||||
5.30%, 05/15/2048(1) | 2,730,000 | 2,467,622 | ||||||
BAT Capital Corp. | ||||||||
2.30%, 08/14/2020 | 8,722,000 | 8,514,160 | ||||||
2.76%, 08/15/2022 | 13,374,000 | 12,632,747 | ||||||
BAT International Finance Plc | ||||||||
2.75%, 06/15/2020(1) | 3,619,000 | 3,555,361 | ||||||
3.25%, 06/07/2022(1) | 778,000 | 748,023 | ||||||
3.50%, 06/15/2022(1) | 326,000 | 318,939 | ||||||
Bausch Health Cos., Inc. | ||||||||
7.00%, 03/15/2024(1) | 1,000,000 | 1,010,000 | ||||||
6.13%, 04/15/2025(1) | 1,047,000 | 913,508 | ||||||
5.50%, 11/01/2025(1) | 2,938,000 | 2,739,685 | ||||||
Baxalta, Inc. | ||||||||
2.88%, 06/23/2020 | 298,000 | 295,292 | ||||||
4.00%, 06/23/2025 | 2,331,000 | 2,279,933 | ||||||
Bayer U.S. Finance II LLC | ||||||||
3.45% (3 Month LIBOR USD + 0.63%), 06/25/2021(1)(2) | 1,500,000 | 1,480,020 | ||||||
3.50%, 06/25/2021(1) | 800,000 | 794,306 | ||||||
2.75%, 07/15/2021(1) | 5,312,000 | 5,173,534 | ||||||
3.88%, 12/15/2023(1) | 7,420,000 | 7,284,898 | ||||||
4.38%, 12/15/2028(1) | 6,945,000 | 6,634,870 |
Bayer U.S. Finance LLC | ||||||||
2.38%, 10/08/2019(1) | 5,200,000 | 5,158,497 | ||||||
3.00%, 10/08/2021(1) | 900,000 | 879,953 | ||||||
3.38%, 10/08/2024(1) | 5,000,000 | 4,714,601 | ||||||
Becton Dickinson and Co. | ||||||||
2.68%, 12/15/2019 | 3,780,000 | 3,744,113 | ||||||
3.25%, 11/12/2020 | 2,100,000 | 2,086,894 | ||||||
2.89%, 06/06/2022 | 2,000,000 | 1,936,946 | ||||||
3.36%, 06/06/2024 | 3,870,000 | 3,716,772 | ||||||
3.73%, 12/15/2024 | 1,560,000 | 1,506,834 | ||||||
3.70%, 06/06/2027 | 11,385,000 | 10,763,122 | ||||||
7.00%, 08/01/2027 | 361,000 | 409,207 | ||||||
4.67%, 06/06/2047 | 6,445,000 | 6,070,061 | ||||||
Biogen, Inc. | ||||||||
2.90%, 09/15/2020 | 4,000,000 | 3,974,223 | ||||||
5.20%, 09/15/2045 | 1,175,000 | 1,209,868 | ||||||
Boston Scientific Corp. | ||||||||
6.00%, 01/15/2020 | 4,000,000 | 4,100,610 | ||||||
3.38%, 05/15/2022 | 600,000 | 596,118 | ||||||
BRF GmbH | ||||||||
4.35%, 09/29/2026(1) | 9,295,000 | 8,016,937 | ||||||
BRF SA | ||||||||
3.95%, 05/22/2023(1) | 430,000 | 385,925 | ||||||
4.75%, 05/22/2024(1) | 2,560,000 | 2,352,000 | ||||||
Bunge Ltd. Finance Corp. | ||||||||
3.75%, 09/25/2027 | 3,370,000 | 2,998,633 | ||||||
Campbell Soup Co. | ||||||||
3.29% (3 Month LIBOR USD + 0.50%), 03/16/2020(2) | 420,000 | 416,264 | ||||||
3.30%, 03/15/2021 | 4,280,000 | 4,257,603 | ||||||
3.42% (3 Month LIBOR USD + 0.63%), 03/15/2021(2) | 1,786,000 | 1,751,388 | ||||||
Catalent Pharma Solutions, Inc. | ||||||||
4.88%, 01/15/2026(1) | 1,600,000 | 1,516,000 | ||||||
Celgene Corp. | ||||||||
2.88%, 08/15/2020 | 600,000 | 595,744 | ||||||
3.25%, 08/15/2022 | 350,000 | 343,607 | ||||||
3.55%, 08/15/2022 | 1,275,000 | 1,260,932 | ||||||
3.63%, 05/15/2024 | 1,760,000 | 1,716,420 | ||||||
3.88%, 08/15/2025 | 7,748,000 | 7,462,068 | ||||||
3.45%, 11/15/2027 | 1,600,000 | 1,456,842 | ||||||
3.90%, 02/20/2028 | 2,000,000 | 1,877,060 | ||||||
5.00%, 08/15/2045 | 2,850,000 | 2,638,645 | ||||||
Cencosud SA | ||||||||
5.15%, 02/12/2025 | 200,000 | 192,645 | ||||||
4.38%, 07/17/2027 | 4,300,000 | 3,730,250 | ||||||
Centene Corp. | ||||||||
5.63%, 02/15/2021 | 219,000 | 219,548 | ||||||
4.75%, 05/15/2022 | 383,000 | 378,212 | ||||||
6.13%, 02/15/2024 | 270,000 | 276,413 | ||||||
4.75%, 01/15/2025 | 1,511,000 | 1,443,005 | ||||||
5.38%, 06/01/2026(1) | 1,332,000 | 1,295,370 | ||||||
Central Garden & Pet Co. | ||||||||
6.13%, 11/15/2023 | 880,000 | 877,800 | ||||||
5.13%, 02/01/2028 | 2,232,000 | 1,997,640 | ||||||
Chobani LLC / Chobani Finance Corp., Inc. | ||||||||
7.50%, 04/15/2025(1) | 1,206,000 | 949,725 | ||||||
CHS/Community Health Systems, Inc. | ||||||||
5.13%, 08/01/2021 | 8,567,000 | 7,945,893 | ||||||
6.25%, 03/31/2023 | 13,854,000 | 12,590,515 | ||||||
8.63%, 01/15/2024(1) | 4,104,000 | 4,052,700 |
Cigna Corp. | ||||||||
3.20%, 09/17/2020(1) | 11,060,000 | 11,012,565 | ||||||
4.13%, 11/15/2025(1) | 2,105,000 | 2,103,012 | ||||||
3.05%, 10/15/2027 | 4,920,000 | 4,503,153 | ||||||
4.38%, 10/15/2028(1) | 24,585,000 | 24,737,183 | ||||||
4.90%, 12/15/2048(1) | 9,210,000 | 9,023,392 | ||||||
Coca-Cola Co./The | ||||||||
1.88%, 10/27/2020 | 3,345,000 | 3,286,864 | ||||||
3.15%, 11/15/2020 | 2,949,000 | 2,968,658 | ||||||
3.30%, 09/01/2021 | 15,247,000 | 15,440,444 | ||||||
Covidien International Finance SA | ||||||||
3.20%, 06/15/2022 | 350,000 | 349,000 | ||||||
CVS Health Corp. | ||||||||
2.25%, 08/12/2019 | 2,800,000 | 2,786,322 | ||||||
4.75%, 12/01/2022(1) | 56,000 | 57,776 | ||||||
3.70%, 03/09/2023 | 8,500,000 | 8,408,523 | ||||||
4.00%, 12/05/2023 | 5,000,000 | 5,013,969 | ||||||
4.10%, 03/25/2025 | 15,815,000 | 15,676,204 | ||||||
5.13%, 07/20/2045 | 200,000 | 194,928 | ||||||
5.05%, 03/25/2048 | 6,500,000 | 6,330,364 | ||||||
CVS Pass-Through Trust | ||||||||
6.04%, 12/10/2028 | 1,415,716 | 1,507,076 | ||||||
6.94%, 01/10/2030 | 1,089,300 | 1,210,663 | ||||||
5.77%, 01/10/2033 | 2,552,436 | 2,684,788 | ||||||
4.70%, 01/10/2036(1) | 2,513,763 | 2,461,477 | ||||||
CVS Pass-Through Trust Series 2014 | ||||||||
4.16%, 08/11/2036(1) | 10,902,222 | 10,314,156 | ||||||
Danone SA | ||||||||
2.08%, 11/02/2021(1) | 1,715,000 | 1,656,710 | ||||||
3.00%, 06/15/2022(1) | 11,560,000 | 11,352,716 | ||||||
2.59%, 11/02/2023(1) | 700,000 | 665,438 | ||||||
Diageo Capital Plc | ||||||||
3.00%, 05/18/2020 | 1,915,000 | 1,916,418 | ||||||
DJO Finance LLC / DJO Finance Corp. | ||||||||
8.13%, 06/15/2021(1) | 400,000 | 412,000 | ||||||
DP World Ltd. | ||||||||
2.38%, 09/25/2026(1) | EUR | 600,000 | 676,497 | |||||
4.25%, 09/25/2030(1) | GBP | 300,000 | 376,839 | |||||
Elanco Animal Health, Inc. | ||||||||
4.90%, 08/28/2028(1) | $ | 6,285,000 | 6,399,214 | |||||
Equifax, Inc. | ||||||||
3.60%, 08/15/2021 | 4,485,000 | 4,478,157 | ||||||
ERAC USA Finance LLC | ||||||||
2.60%, 12/01/2021(1) | 1,180,000 | 1,148,063 | ||||||
3.80%, 11/01/2025(1) | 4,605,000 | 4,516,638 | ||||||
Express Scripts Holding Co. | ||||||||
3.05%, 11/30/2022 | 800,000 | 774,198 | ||||||
3.50%, 06/15/2024 | 1,282,000 | 1,244,883 | ||||||
4.50%, 02/25/2026 | 11,123,000 | 11,278,731 | ||||||
3.40%, 03/01/2027 | 1,504,000 | 1,395,957 | ||||||
First Quality Finance Co., Inc. | ||||||||
5.00%, 07/01/2025(1) | 1,694,000 | 1,516,130 | ||||||
Fresenius Medical Care U.S. Finance II, Inc. | ||||||||
5.63%, 07/31/2019(1) | 5,620,000 | 5,683,366 | ||||||
4.13%, 10/15/2020(1) | 114,000 | 114,132 | ||||||
5.75%, 02/15/2021(1) | 570,000 | 587,100 | ||||||
G4S International Finance Plc | ||||||||
1.50%, 01/09/2023 | EUR | 100,000 | 114,227 | |||||
General Mills, Inc. | ||||||||
3.20%, 04/16/2021 | $ | 1,645,000 | 1,636,337 | |||||
4.20%, 04/17/2028 | 5,700,000 | 5,583,613 |
George Washington University | ||||||||
3.55%, 09/15/2046 | 740,000 | 669,538 | ||||||
Gilead Sciences, Inc. | ||||||||
2.55%, 09/01/2020 | 10,810,000 | 10,720,689 | ||||||
3.70%, 04/01/2024 | 1,000,000 | 998,258 | ||||||
3.50%, 02/01/2025 | 1,251,000 | 1,234,993 | ||||||
4.60%, 09/01/2035 | 3,961,000 | 4,003,216 | ||||||
4.75%, 03/01/2046 | 375,000 | 372,533 | ||||||
4.15%, 03/01/2047 | 1,000,000 | 922,446 | ||||||
GlaxoSmithKline Capital Plc | ||||||||
3.13%, 05/14/2021 | 8,775,000 | 8,788,150 | ||||||
Greene King Finance Plc | ||||||||
1.86% (3 Month LIBOR GBP + 0.95%), 06/15/2031(2) | GBP | 641,179 | 752,696 | |||||
5.11%, 03/15/2034 | 450,000 | 653,287 | ||||||
4.06%, 03/15/2035 | 4,014,000 | 5,415,861 | ||||||
Grupo Bimbo SAB de CV | ||||||||
4.70%, 11/10/2047(1) | $ | 8,380,000 | 7,538,313 | |||||
HCA, Inc. | ||||||||
6.50%, 02/15/2020 | 1,319,000 | 1,351,975 | ||||||
5.88%, 03/15/2022 | 2,700,000 | 2,767,500 | ||||||
5.88%, 05/01/2023 | 844,000 | 854,550 | ||||||
5.00%, 03/15/2024 | 1,016,000 | 1,005,840 | ||||||
5.25%, 04/15/2025 | 8,266,000 | 8,224,670 | ||||||
5.25%, 06/15/2026 | 810,000 | 803,925 | ||||||
4.50%, 02/15/2027 | 8,560,000 | 8,089,200 | ||||||
7.50%, 11/06/2033 | 1,035,000 | 1,086,750 | ||||||
Hill-Rom Holdings, Inc. | ||||||||
5.75%, 09/01/2023(1) | 480,000 | 480,000 | ||||||
Hologic, Inc. | ||||||||
4.63%, 02/01/2028(1) | 3,215,000 | 2,893,500 | ||||||
Humana, Inc. | ||||||||
2.63%, 10/01/2019 | 4,000,000 | 3,979,842 | ||||||
3.85%, 10/01/2024 | 6,639,000 | 6,633,107 | ||||||
IHS Markit Ltd. | ||||||||
5.00%, 11/01/2022(1) | 4,806,000 | 4,854,060 | ||||||
4.00%, 03/01/2026(1) | 500,000 | 465,000 | ||||||
4.75%, 08/01/2028 | 3,425,000 | 3,343,759 | ||||||
Imperial Brands Finance Plc | ||||||||
3.75%, 07/21/2022(1) | 3,110,000 | 3,084,805 | ||||||
Japan Tobacco, Inc. | ||||||||
2.00%, 04/13/2021 | 5,230,000 | 5,080,443 | ||||||
JBS USA LUX SA / JBS USA Finance, Inc. | ||||||||
5.75%, 06/15/2025(1) | 3,530,000 | 3,371,150 | ||||||
Johnson & Johnson | ||||||||
2.90%, 01/15/2028 | 3,865,000 | 3,706,665 | ||||||
3.40%, 01/15/2038 | 975,000 | 908,632 | ||||||
Kaiser Foundation Hospitals | ||||||||
3.50%, 04/01/2022 | 1,275,000 | 1,296,203 | ||||||
Keurig Dr. Pepper, Inc. | ||||||||
3.55%, 05/25/2021(1) | 13,505,000 | 13,484,030 | ||||||
2.53%, 11/15/2021 | 970,000 | 938,456 | ||||||
3.20%, 11/15/2021 | 500,000 | 491,255 | ||||||
Kraft Foods Group, Inc. | ||||||||
5.38%, 02/10/2020 | 1,000,000 | 1,022,732 | ||||||
Kraft Heinz Foods Co. | ||||||||
2.80%, 07/02/2020 | 1,006,000 | 997,121 | ||||||
3.19% (3 Month LIBOR USD + 0.57%), 02/10/2021(2) | 450,000 | 446,262 | ||||||
3.38%, 06/15/2021 | 10,130,000 | 10,105,204 | ||||||
3.50%, 07/15/2022 | 8,640,000 | 8,514,235 | ||||||
4.00%, 06/15/2023 | 2,000,000 | 1,994,637 | ||||||
3.95%, 07/15/2025 | 3,750,000 | 3,630,695 |
3.00%, 06/01/2026 | 1,000,000 | 892,537 | ||||||
4.63%, 01/30/2029 | 4,095,000 | 4,051,329 | ||||||
5.20%, 07/15/2045 | 1,000,000 | 914,894 | ||||||
4.38%, 06/01/2046 | 800,000 | 659,915 | ||||||
Life Technologies Corp. | ||||||||
6.00%, 03/01/2020 | 1,200,000 | 1,233,442 | ||||||
Matthews International Corp. | ||||||||
5.25%, 12/01/2025(1) | 1,064,000 | 989,520 | ||||||
Molina Healthcare, Inc. | ||||||||
5.38%, 11/15/2022 | 1,913,000 | 1,846,045 | ||||||
4.88%, 06/15/2025(1) | 750,000 | 684,375 | ||||||
Molson Coors Brewing Co. | ||||||||
2.25%, 03/15/2020 | 3,700,000 | 3,649,116 | ||||||
2.10%, 07/15/2021 | 470,000 | 453,134 | ||||||
Mondelez International Holdings Netherlands BV | ||||||||
1.63%, 10/28/2019(1) | 5,140,000 | 5,068,493 | ||||||
2.00%, 10/28/2021(1) | 3,120,000 | 2,989,244 | ||||||
New York and Presbyterian Hospital | ||||||||
3.56%, 08/01/2036 | 2,630,000 | 2,457,718 | ||||||
NYU Langone Hospitals | ||||||||
4.43%, 07/01/2042 | 2,000,000 | 2,022,054 | ||||||
Ortho-Clinical Diagnostics, Inc. / Ortho-Clinical Diagnostics SA | ||||||||
6.63%, 05/15/2022(1) | 1,434,000 | 1,290,600 | ||||||
Pernod Ricard SA | ||||||||
5.75%, 04/07/2021(1) | 2,280,000 | 2,389,562 | ||||||
4.45%, 01/15/2022(1) | 2,000,000 | 2,039,820 | ||||||
4.25%, 07/15/2022(1) | 1,600,000 | 1,623,019 | ||||||
Pfizer, Inc. | ||||||||
4.40%, 05/15/2044 | 430,000 | 448,392 | ||||||
Pilgrim’s Pride Corp. | ||||||||
5.88%, 09/30/2027(1) | 1,448,000 | 1,314,060 | ||||||
Post Holdings, Inc. | ||||||||
5.00%, 08/15/2026(1) | 2,100,000 | 1,911,000 | ||||||
5.75%, 03/01/2027(1) | 2,455,000 | 2,301,563 | ||||||
5.63%, 01/15/2028(1) | 2,700,000 | 2,484,000 | ||||||
Providence St Joseph Health Obligated Group | ||||||||
2.75%, 10/01/2026 | 1,968,000 | 1,832,488 | ||||||
Reckitt Benckiser Treasury Services Plc | ||||||||
2.38%, 06/24/2022(1) | 13,130,000 | 12,610,290 | ||||||
Refinitiv U.S. Holdings, Inc. | ||||||||
4.50%, 05/15/2026 | EUR | 1,300,000 | 1,448,516 | |||||
6.25%, 05/15/2026(1) | $ | 1,948,000 | 1,879,820 | |||||
6.88%, 11/15/2026 | EUR | 200,000 | 211,391 | |||||
Reynolds American, Inc. | ||||||||
6.88%, 05/01/2020 | $ | 1,000,000 | 1,040,428 | |||||
3.25%, 06/12/2020 | 750,000 | 745,281 | ||||||
4.00%, 06/12/2022 | 900,000 | 890,256 | ||||||
3.25%, 11/01/2022 | 1,215,000 | 1,178,953 | ||||||
4.45%, 06/12/2025 | 680,000 | 655,963 | ||||||
5.85%, 08/15/2045 | 1,020,000 | 948,695 | ||||||
Shire Acquisitions Investments Ireland DAC | ||||||||
1.90%, 09/23/2019 | 895,000 | 882,472 | ||||||
2.40%, 09/23/2021 | 7,182,000 | 6,944,576 | ||||||
2.88%, 09/23/2023 | 7,345,000 | 6,942,900 | ||||||
3.20%, 09/23/2026 | 3,275,000 | 2,965,172 | ||||||
Sigma Alimentos SA de CV | ||||||||
4.13%, 05/02/2026 | 3,300,000 | 3,081,375 | ||||||
Smithfield Foods, Inc. | ||||||||
4.25%, 02/01/2027(1) | 1,290,000 | 1,203,136 |
Spectrum Brands, Inc. | ||||||||
6.13%, 12/15/2024 | 500,000 | 481,250 | ||||||
5.75%, 07/15/2025 | 175,000 | 166,198 | ||||||
Suntory Holdings Ltd. | ||||||||
2.55%, 06/28/2022(1) | 810,000 | 776,302 | ||||||
Takeda Pharmaceutical Co., Ltd. | ||||||||
3.80%, 11/26/2020(1) | 5,150,000 | 5,180,041 | ||||||
4.00%, 11/26/2021(1) | 9,350,000 | 9,477,107 | ||||||
0.78% (3 Month EURIBOR + 1.10%), 11/21/2022(1)(2) | EUR | 3,100,000 | 3,534,076 | |||||
1.13%, 11/21/2022(1) | 1,500,000 | 1,729,674 | ||||||
Teleflex, Inc. | ||||||||
4.63%, 11/15/2027 | $ | 2,272,000 | 2,107,280 | |||||
Tenet Healthcare Corp. | ||||||||
6.00%, 10/01/2020 | 620,000 | 627,750 | ||||||
4.50%, 04/01/2021 | 352,000 | 342,320 | ||||||
4.38%, 10/01/2021 | 300,000 | 290,250 | ||||||
7.50%, 01/01/2022(1) | 10,000 | 10,150 | ||||||
4.63%, 07/15/2024 | 1,271,000 | 1,182,030 | ||||||
Teva Pharmaceutical Finance Netherlands II BV | ||||||||
3.25%, 04/15/2022 | EUR | 1,200,000 | 1,378,466 | |||||
Teva Pharmaceutical Finance Netherlands III BV | ||||||||
1.70%, 07/19/2019 | $ | 80,000 | 78,759 | |||||
2.20%, 07/21/2021 | 38,640,000 | 35,516,920 | ||||||
3.15%, 10/01/2026 | 5,355,000 | 4,089,110 | ||||||
6.75%, 03/01/2028 | 1,310,000 | 1,269,979 | ||||||
Thermo Fisher Scientific, Inc. | ||||||||
4.70%, 05/01/2020 | 110,000 | 112,494 | ||||||
4.50%, 03/01/2021 | 900,000 | 919,806 | ||||||
3.30%, 02/15/2022 | 1,728,000 | 1,720,563 | ||||||
Transurban Finance Co. Pty Ltd. | ||||||||
4.13%, 02/02/2026(1) | 155,000 | 151,239 | ||||||
3.38%, 03/22/2027(1) | 2,635,000 | 2,418,366 | ||||||
Tyson Foods, Inc. | ||||||||
2.25%, 08/23/2021 | 300,000 | 290,509 | ||||||
3.90%, 09/28/2023 | 4,375,000 | 4,368,628 | ||||||
UBM Plc | ||||||||
5.75%, 11/03/2020(1) | 2,925,000 | 2,995,005 | ||||||
Unilever Capital Corp. | ||||||||
3.00%, 03/07/2022 | 5,625,000 | 5,583,323 | ||||||
UnitedHealth Group, Inc. | ||||||||
1.95%, 10/15/2020 | 300,000 | 294,709 | ||||||
3.50%, 02/15/2024 | 1,340,000 | 1,348,482 | ||||||
3.70%, 12/15/2025 | 765,000 | �� | 773,002 | |||||
3.85%, 06/15/2028 | 5,000,000 | 5,057,607 | ||||||
3.88%, 12/15/2028 | 1,150,000 | 1,165,631 | ||||||
4.75%, 07/15/2045 | 1,712,000 | 1,813,758 | ||||||
4.20%, 01/15/2047 | 1,288,000 | 1,281,645 | ||||||
Universal Health Services, Inc. | ||||||||
4.75%, 08/01/2022(1) | 7,595,000 | 7,557,025 | ||||||
5.00%, 06/01/2026(1) | 7,497,000 | 7,272,090 | ||||||
University of Southern California | ||||||||
3.03%, 10/01/2039 | 2,750,000 | 2,496,795 | ||||||
Verisk Analytics, Inc. | ||||||||
4.88%, 01/15/2019 | 540,000 | 540,188 | ||||||
WellCare Health Plans, Inc. | ||||||||
5.38%, 08/15/2026(1) | 1,065,000 | 1,027,725 | ||||||
Zimmer Biomet Holdings, Inc. | ||||||||
2.70%, 04/01/2020 | 2,125,000 | 2,104,443 | ||||||
3.55% (3 Month LIBOR USD + 0.75%), 03/19/2021(2) | 970,000 | 960,917 | ||||||
3.15%, 04/01/2022 | 640,000 | 625,706 | ||||||
3.70%, 03/19/2023 | 3,145,000 | 3,111,252 | ||||||
Zoetis, Inc. | ||||||||
3.45%, 11/13/2020 | 600,000 | 601,543 | ||||||
|
| |||||||
884,003,570 | ||||||||
|
|
Diversified—0.03% | ||||||||
China Merchants Finance Co. Ltd. | ||||||||
3.50%, 08/03/2020 | 700,000 | 695,552 | ||||||
Hutchison Whampoa International 14 Ltd. | ||||||||
3.63%, 10/31/2024 | 4,700,000 | 4,653,898 | ||||||
|
| |||||||
5,349,450 | ||||||||
|
| |||||||
Energy—3.21% | ||||||||
Aker BP ASA | ||||||||
5.88%, 03/31/2025(1) | 4,870,000 | 4,857,825 | ||||||
Anadarko Petroleum Corp. | ||||||||
5.55%, 03/15/2026 | 5,108,000 | 5,352,217 | ||||||
Andeavor Logistics LP / Tesoro Logistics Finance Corp. | ||||||||
4.25%, 12/01/2027 | 5,655,000 | 5,341,391 | ||||||
Antero Resources Corp. | ||||||||
5.00%, 03/01/2025 | 1,212,000 | 1,096,860 | ||||||
APT Pipelines Ltd. | ||||||||
3.88%, 10/11/2022(1) | 1,360,000 | 1,354,754 | ||||||
4.25%, 07/15/2027(1) | 11,420,000 | 11,118,195 | ||||||
BG Energy Capital Plc | ||||||||
4.00%, 10/15/2021(1) | 1,100,000 | 1,115,364 | ||||||
Boardwalk Pipelines LP | ||||||||
3.38%, 02/01/2023 | 330,000 | 320,636 | ||||||
5.95%, 06/01/2026 | 1,610,000 | 1,664,103 | ||||||
4.45%, 07/15/2027 | 600,000 | 554,284 | ||||||
BP Capital Markets America, Inc. | ||||||||
4.74%, 03/11/2021 | 3,025,000 | 3,113,253 | ||||||
2.11%, 09/16/2021 | 5,210,000 | 5,088,316 | ||||||
Canadian Natural Resources Ltd. | ||||||||
3.45%, 11/15/2021 | 1,320,000 | 1,310,437 | ||||||
3.85%, 06/01/2027 | 890,000 | 840,019 | ||||||
6.25%, 03/15/2038 | 1,345,000 | 1,476,847 | ||||||
Cenovus Energy, Inc. | ||||||||
5.70%, 10/15/2019 | 15,385 | 15,660 | ||||||
Centennial Resource Production LLC | ||||||||
5.38%, 01/15/2026(1) | 538,000 | 500,340 | ||||||
Chevron Corp. | ||||||||
2.43%, 06/24/2020 | 1,545,000 | 1,535,689 | ||||||
2.42%, 11/17/2020 | 1,550,000 | 1,535,431 | ||||||
China Shenhua Overseas Capital Co. Ltd. | ||||||||
3.13%, 01/20/2020 | 200,000 | 198,824 | ||||||
Cimarex Energy Co. | ||||||||
4.38%, 06/01/2024 | 894,000 | 888,959 | ||||||
CNOOC Finance 2015 USA LLC | ||||||||
3.75%, 05/02/2023 | 7,500,000 | 7,495,087 | ||||||
Concho Resources, Inc. | ||||||||
3.75%, 10/01/2027 | 3,830,000 | 3,607,491 | ||||||
Continental Resources, Inc./OK | ||||||||
4.50%, 04/15/2023 | 250,000 | 246,030 | ||||||
3.80%, 06/01/2024 | 15,210,000 | 14,397,800 | ||||||
4.38%, 01/15/2028 | 1,235,000 | 1,162,506 | ||||||
CrownRock LP / CrownRock Finance, Inc. | ||||||||
5.63%, 10/15/2025(1) | 525,000 | 472,500 | ||||||
DCP Midstream Operating LP | ||||||||
8.13%, 08/16/2030 | 205,000 | 229,600 | ||||||
6.75%, 09/15/2037(1) | 1,830,000 | 1,802,550 | ||||||
Diamondback Energy, Inc. | ||||||||
4.75%, 11/01/2024(1) | 4,250,000 | 4,101,250 | ||||||
4.75%, 11/01/2024 | 689,000 | 664,885 |
Enable Midstream Partners LP | ||||||||
2.40%, 05/15/2019 | 600,000 | 596,601 | ||||||
Enable Oklahoma Intrastate Transmission LLC | ||||||||
6.25%, 03/15/2020(1) | 3,235,000 | 3,327,395 | ||||||
Enbridge, Inc. | ||||||||
6.00% (3 Month LIBOR USD + 3.89%), 01/15/2077(2) | 4,620,000 | 4,153,594 | ||||||
Energy Transfer Equity LP | ||||||||
5.88%, 01/15/2024 | 666,000 | 679,906 | ||||||
5.50%, 06/01/2027 | 2,105,000 | 2,052,375 | ||||||
Energy Transfer Partners LP | ||||||||
4.15%, 10/01/2020 | 1,504,000 | 1,512,827 | ||||||
4.65%, 06/01/2021 | 860,000 | 874,924 | ||||||
4.05%, 03/15/2025 | 4,555,000 | 4,318,088 | ||||||
4.75%, 01/15/2026 | 5,707,000 | 5,549,383 | ||||||
6.50%, 02/01/2042 | 1,000,000 | 999,171 | ||||||
5.15%, 03/15/2045 | 700,000 | 607,924 | ||||||
Energy Transfer Partners LP / Regency Energy Finance Corp. | ||||||||
5.88%, 03/01/2022 | 1,521,000 | 1,582,490 | ||||||
5.00%, 10/01/2022 | 1,600,000 | 1,632,777 | ||||||
4.50%, 11/01/2023 | 349,000 | 349,114 | ||||||
Eni SpA | ||||||||
4.00%, 09/12/2023(1) | 4,965,000 | 4,888,545 | ||||||
4.75%, 09/12/2028(1) | 4,075,000 | 3,985,865 | ||||||
EnLink Midstream Partners LP | ||||||||
4.40%, 04/01/2024 | 35,000 | 32,981 | ||||||
4.15%, 06/01/2025 | 6,795,000 | 6,128,575 | ||||||
4.85%, 07/15/2026 | 2,215,000 | 1,998,372 | ||||||
Enterprise Products Operating LLC | ||||||||
5.20%, 09/01/2020 | 960,000 | 989,360 | ||||||
3.50%, 02/01/2022 | 284,000 | 284,740 | ||||||
4.05%, 02/15/2022 | 400,000 | 406,138 | ||||||
EQT Corp. | ||||||||
2.50%, 10/01/2020 | 400,000 | 391,063 | ||||||
EQT Midstream Partners LP | ||||||||
5.50%, 07/15/2028 | 16,135,000 | 15,811,655 | ||||||
Exxon Mobil Corp. | ||||||||
1.91%, 03/06/2020 | 2,515,000 | 2,492,076 | ||||||
Florida Gas Transmission Co. LLC | ||||||||
7.90%, 05/15/2019(1) | 4,000,000 | 4,060,108 | ||||||
Gulfport Energy Corp. | ||||||||
6.38%, 05/15/2025 | 215,000 | 190,275 | ||||||
Helmerich & Payne, Inc. | ||||||||
4.65%, 03/15/2025(1) | 1,894,000 | 1,932,006 | ||||||
Hess Corp. | ||||||||
4.30%, 04/01/2027 | 6,690,000 | 6,127,122 | ||||||
5.80%, 04/01/2047 | 6,100,000 | 5,485,314 | ||||||
KazMunayGas National Co. JSC | ||||||||
4.75%, 04/19/2027 | 4,600,000 | 4,473,325 | ||||||
5.38%, 04/24/2030 | 800,000 | 785,219 | ||||||
Kinder Morgan, Inc. | ||||||||
4.30%, 06/01/2025 | 14,500,000 | 14,427,956 | ||||||
5.30%, 12/01/2034 | 2,450,000 | 2,405,511 | ||||||
Marathon Oil Co. | ||||||||
2.80%, 11/01/2022 | 2,990,000 | 2,808,159 | ||||||
Marathon Oil Corp | ||||||||
2.70%, 06/01/2020 | 1,744,000 | 1,717,975 | ||||||
Marathon Petroleum Corp. | ||||||||
4.75%, 12/15/2023(1) | 1,580,000 | 1,621,127 | ||||||
5.13%, 12/15/2026(1) | 14,440,000 | 14,798,575 | ||||||
3.80%, 04/01/2028(1) | 2,245,000 | 2,108,051 |
Matador Resources Co. | ||||||||
5.88%, 09/15/2026 | 2,570,000 | 2,364,400 | ||||||
Newfield Exploration Co. | ||||||||
5.75%, 01/30/2022 | 225,000 | 227,250 | ||||||
5.63%, 07/01/2024 | 7,147,000 | 7,236,337 | ||||||
5.38%, 01/01/2026 | 412,000 | 403,760 | ||||||
Odebrecht Drilling Norbe VIII/IX Ltd. | ||||||||
6.35%, 12/01/2021 | 260,400 | 250,114 | ||||||
Odebrecht Offshore Drilling Finance Ltd. | ||||||||
6.72%, 12/01/2022 | 37,371 | 34,708 | ||||||
ONEOK Partners LP | ||||||||
3.38%, 10/01/2022 | 1,100,000 | 1,079,986 | ||||||
ONEOK, Inc. | ||||||||
4.25%, 02/01/2022 | 470,000 | 474,414 | ||||||
ONGC Videsh Ltd. | ||||||||
3.25%, 07/15/2019 | 500,000 | 499,248 | ||||||
Parsley Energy LLC / Parsley Finance Corp. | ||||||||
5.38%, 01/15/2025(1) | 300,000 | 276,000 | ||||||
5.25%, 08/15/2025(1) | 750,000 | 678,750 | ||||||
5.63%, 10/15/2027(1) | 250,000 | 227,188 | ||||||
Pertamina Persero PT | ||||||||
6.00%, 05/03/2042 | 280,000 | 278,648 | ||||||
6.00%, 05/03/2042 | 200,000 | 199,035 | ||||||
Peru LNG Srl | ||||||||
5.38%, 03/22/2030 | 4,200,000 | 4,063,710 | ||||||
Petrobras Global Finance BV | ||||||||
6.13%, 01/17/2022 | 7,341,000 | 7,533,702 | ||||||
6.25%, 12/14/2026 | GBP | 5,330,000 | 7,009,049 | |||||
7.38%, 01/17/2027 | $ | 5,322,000 | 5,468,355 | |||||
6.00%, 01/27/2028 | 247,000 | 232,553 | ||||||
5.75%, 02/01/2029 | 10,650,000 | 9,851,250 | ||||||
5.63%, 05/20/2043 | 2,715,000 | 2,275,197 | ||||||
Petroleos de Venezuela SA | ||||||||
9.00%, 11/17/2021 (12) | 200,000 | 36,800 | ||||||
6.00%, 05/16/2024 (12) | 2,312,000 | 341,020 | ||||||
6.00%, 11/15/2026 (12) | 4,600,000 | 678,500 | ||||||
5.38%, 04/12/2027 (12) | 2,052,000 | 297,335 | ||||||
9.75%, 05/17/2035 (12) | 830,000 | 153,550 | ||||||
5.50%, 04/12/2037 (12) | 2,500,000 | 375,000 | ||||||
Petroleos del Peru SA | ||||||||
4.75%, 06/19/2032 | 500,000 | 480,000 | ||||||
Petroleos Mexicanos | ||||||||
5.50%, 01/21/2021 | 8,295,000 | 8,259,829 | ||||||
6.38%, 02/04/2021 | 5,240,000 | 5,297,640 | ||||||
4.88%, 01/24/2022 | 7,370,000 | 7,174,695 | ||||||
5.38%, 03/13/2022 | 3,850,000 | 3,771,075 | ||||||
5.13%, 03/15/2023 | EUR | 4,245,000 | 5,024,643 | |||||
4.63%, 09/21/2023 | $ | 2,000,000 | 1,877,000 | |||||
4.50%, 01/23/2026 | 1,105,000 | 952,510 | ||||||
6.50%, 03/13/2027 | 1,410,000 | 1,325,400 | ||||||
5.35%, 02/12/2028 | 4,530,000 | 3,952,425 | ||||||
6.50%, 01/23/2029 | 9,145,000 | 8,527,713 | ||||||
4.75%, 02/26/2029 | EUR | 4,690,000 | 4,911,445 | |||||
6.75%, 09/21/2047 | $ | 150,000 | 124,034 | |||||
Pioneer Natural Resources Co. | ||||||||
3.95%, 07/15/2022 | 220,000 | 220,643 | ||||||
Plains All American Pipeline LP / PAA Finance Corp. | ||||||||
2.85%, 01/31/2023 | 1,265,000 | 1,192,358 | ||||||
3.85%, 10/15/2023 | 4,780,000 | 4,676,455 | ||||||
4.65%, 10/15/2025 | 10,310,000 | 10,143,851 |
Raizen Fuels Finance SA | ||||||||
5.30%, 01/20/2027(1) | 560,000 | 543,620 | ||||||
Range Resources Corp. | ||||||||
5.00%, 03/15/2023 | 1,050,000 | 924,000 | ||||||
4.88%, 05/15/2025 | 1,400,000 | 1,148,000 | ||||||
Reliance Holding USA, Inc. | ||||||||
5.40%, 02/14/2022 | 3,900,000 | 4,038,573 | ||||||
Rio Oil Finance Trust Series2014-1 | ||||||||
9.25%, 07/06/2024 | 325,173 | 346,715 | ||||||
Rio Oil Finance Trust Series2014-3 | ||||||||
9.75%, 01/06/2027 | 261,452 | 285,963 | ||||||
Rio Oil Finance Trust Series2018-1 | ||||||||
8.20%, 04/06/2028(1) | 500,000 | 523,750 | ||||||
Rockies Express Pipeline LLC | ||||||||
6.00%, 01/15/2019(1) | 1,249,000 | 1,249,000 | ||||||
5.63%, 04/15/2020(1) | 5,046,000 | 5,046,000 | ||||||
Ruby Pipeline LLC | ||||||||
6.00%, 04/01/2022(1) | 4,204,545 | 4,354,984 | ||||||
Sabine Pass Liquefaction LLC | ||||||||
5.63%, 02/01/2021 | 5,222,000 | 5,379,113 | ||||||
6.25%, 03/15/2022 | 2,600,000 | 2,733,763 | ||||||
5.75%, 05/15/2024 | 4,565,000 | 4,784,603 | ||||||
5.63%, 03/01/2025 | 9,199,000 | 9,556,534 | ||||||
5.88%, 06/30/2026 | 2,130,000 | 2,256,265 | ||||||
5.00%, 03/15/2027 | 9,654,000 | 9,691,044 | ||||||
Seven Generations Energy Ltd. | ||||||||
5.38%, 09/30/2025(1) | 12,535,000 | 11,218,825 | ||||||
Shelf Drilling Holdings Ltd. | ||||||||
8.25%, 02/15/2025(1) | 60,000 | 51,300 | ||||||
Shell International Finance BV | ||||||||
2.13%, 05/11/2020 | 1,620,000 | 1,603,337 | ||||||
4.38%, 05/11/2045 | 1,000,000 | 1,029,243 | ||||||
Sinopec Group Overseas Development 2016 Ltd. | ||||||||
1.75%, 09/29/2019(1) | 200,000 | 197,898 | ||||||
SM Energy Co. | ||||||||
6.13%, 11/15/2022 | 8,000 | 7,560 | ||||||
5.00%, 01/15/2024 | 115,000 | 100,050 | ||||||
5.63%, 06/01/2025 | 75,000 | 65,250 | ||||||
Southern Natural Gas Co. LLC | ||||||||
4.80%, 03/15/2047(1) | 1,000,000 | 953,005 | ||||||
Sunoco Logistics Partners Operations LP | ||||||||
4.25%, 04/01/2024 | 1,500,000 | 1,455,152 | ||||||
4.00%, 10/01/2027 | 16,730,000 | 15,348,444 | ||||||
5.40%, 10/01/2047 | 9,919,000 | 8,896,800 | ||||||
Sunoco LP / Sunoco Finance Corp. | ||||||||
4.88%, 01/15/2023 | 160,000 | 156,000 | ||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp. | ||||||||
4.13%, 11/15/2019 | 380,000 | 376,675 | ||||||
TC PipeLines LP | ||||||||
4.38%, 03/13/2025 | 3,000,000 | 2,993,489 | ||||||
3.90%, 05/25/2027 | 3,325,000 | 3,175,786 | ||||||
Tesoro Logistics LP / Tesoro Logistics Finance Corp. | ||||||||
5.25%, 01/15/2025 | 390,000 | 397,119 | ||||||
Texas Eastern Transmission LP | ||||||||
2.80%, 10/15/2022(1) | 6,320,000 | 6,077,279 | ||||||
The Williams Cos., Inc. | ||||||||
6.30%, 04/15/2040 | 1,323,000 | 1,403,608 | ||||||
4.85%, 03/01/2048 | 2,300,000 | 2,094,055 |
Transcontinental Gas Pipe Line Co. LLC | ||||||||
4.00%, 03/15/2028 | 5,410,000 | 5,293,261 | ||||||
4.60%, 03/15/2048 | 1,025,000 | 959,710 | ||||||
TransMontaigne Partners LP / TLP Finance Corp. | ||||||||
6.13%, 02/15/2026 | 540,000 | 483,300 | ||||||
Transocean Guardian Ltd. | ||||||||
5.88%, 01/15/2024(1) | 1,639,000 | 1,569,343 | ||||||
Transocean Phoenix 2 Ltd. | ||||||||
7.75%, 10/15/2024(1) | 75,200 | 74,824 | ||||||
Transocean Pontus Ltd. | ||||||||
6.13%, 08/01/2025(1) | 1,706,000 | 1,646,290 | ||||||
Transocean Proteus Ltd. | ||||||||
6.25%, 12/01/2024(1) | 619,200 | 592,884 | ||||||
Valero Energy Partners LP | ||||||||
4.50%, 03/15/2028 | 5,370,000 | 5,261,155 | ||||||
Williams Cos., Inc. | ||||||||
5.25%, 03/15/2020 | 1,000,000 | 1,019,473 | ||||||
3.35%, 08/15/2022 | 1,000,000 | 978,574 | ||||||
3.70%, 01/15/2023 | 1,728,000 | 1,685,588 | ||||||
4.50%, 11/15/2023 | 2,595,000 | 2,608,507 | ||||||
4.30%, 03/04/2024 | 2,000,000 | 1,992,891 | ||||||
4.55%, 06/24/2024 | 4,435,000 | 4,477,752 | ||||||
Woodside Finance Ltd. | ||||||||
3.65%, 03/05/2025(1) | 5,610,000 | 5,330,818 | ||||||
3.70%, 09/15/2026(1) | 2,885,000 | 2,659,845 | ||||||
3.70%, 03/15/2028(1) | 2,659,000 | 2,460,885 | ||||||
|
| |||||||
482,061,242 | ||||||||
|
| |||||||
Financials—12.65% | ||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust | ||||||||
3.75%, 05/15/2019 | 2,000,000 | 1,999,855 | ||||||
4.63%, 10/30/2020 | 1,880,000 | 1,892,760 | ||||||
4.50%, 05/15/2021 | 8,325,000 | 8,348,716 | ||||||
5.00%, 10/01/2021 | 2,200,000 | 2,234,496 | ||||||
3.50%, 05/26/2022 | 2,440,000 | 2,365,609 | ||||||
4.13%, 07/03/2023 | 11,600,000 | 11,278,407 | ||||||
4.45%, 10/01/2025 | 7,600,000 | 7,218,242 | ||||||
3.65%, 07/21/2027 | 2,315,000 | 2,006,356 | ||||||
AerCap Ireland Capital Ltd. / AerCap Global Aviation Trust | ||||||||
3.95%, 02/01/2022 | 14,982,000 | 14,712,781 | ||||||
4.63%, 07/01/2022 | 1,050,000 | 1,053,597 | ||||||
Aetna, Inc. | ||||||||
3.63%, 11/15/2024 | 1,490,000 | 1,488,722 | ||||||
AIA Group Ltd. | ||||||||
3.90%, 04/06/2028(1) | 2,945,000 | 2,948,861 | ||||||
Air Lease Corp. | ||||||||
2.13%, 01/15/2020 | 1,850,000 | 1,823,067 | ||||||
2.50%, 03/01/2021 | 3,748,000 | 3,653,657 | ||||||
3.88%, 04/01/2021 | 2,540,000 | 2,543,147 | ||||||
3.50%, 01/15/2022 | 7,120,000 | 7,006,443 | ||||||
2.63%, 07/01/2022 | 910,000 | 862,550 | ||||||
3.88%, 07/03/2023 | 4,000,000 | 3,936,595 | ||||||
Aircastle Ltd. | ||||||||
7.63%, 04/15/2020 | 580,000 | 606,575 | ||||||
5.13%, 03/15/2021 | 1,060,000 | 1,077,228 | ||||||
5.50%, 02/15/2022 | 2,302,000 | 2,355,414 | ||||||
5.00%, 04/01/2023 | 5,090,000 | 5,109,711 | ||||||
4.13%, 05/01/2024 | 5,440,000 | 5,133,103 | ||||||
Alexandria Real Estate Equities, Inc. | ||||||||
2.75%, 01/15/2020 | 1,827,000 | 1,812,522 | ||||||
4.60%, 04/01/2022 | 4,407,000 | 4,536,595 | ||||||
3.90%, 06/15/2023 | 1,000,000 | 1,005,995 |
4.00%, 01/15/2024 | 1,690,000 | 1,709,318 | ||||||
3.45%, 04/30/2025 | 2,115,000 | 2,036,681 | ||||||
4.30%, 01/15/2026 | 5,995,000 | 5,996,945 | ||||||
3.95%, 01/15/2027 | 3,440,000 | 3,339,692 | ||||||
4.50%, 07/30/2029 | 636,000 | 635,748 | ||||||
Allied World Assurance Co. Holdings Ltd. | ||||||||
4.35%, 10/29/2025 | 2,490,000 | 2,455,776 | ||||||
Ally Financial, Inc. | ||||||||
3.75%, 11/18/2019 | 706,000 | 703,352 | ||||||
4.25%, 04/15/2021 | 168,000 | 164,877 | ||||||
5.13%, 09/30/2024 | 400,000 | 397,000 | ||||||
4.63%, 03/30/2025 | 16,300,000 | 15,790,625 | ||||||
8.00%, 11/01/2031 | 10,552,000 | 11,712,720 | ||||||
8.00%, 11/01/2031 | 8,000 | 8,860 | ||||||
Ambac LSNI LLC | ||||||||
7.80% (3 Month LIBOR USD + 5.00%, 6.00% Floor), 02/12/2023(1)(2) | 4,967,011 | 4,973,219 | ||||||
American Campus Communities Operating Partnership LP | ||||||||
3.35%, 10/01/2020 | 10,990,000 | 10,950,362 | ||||||
3.75%, 04/15/2023 | 2,000,000 | 1,985,439 | ||||||
3.63%, 11/15/2027 | 8,188,000 | 7,700,801 | ||||||
American Homes 4 Rent LP | ||||||||
4.25%, 02/15/2028 | 73,000 | 70,586 | ||||||
American Tower Corp | ||||||||
2.25%, 01/15/2022 | 722,000 | 690,929 | ||||||
American Tower Corp. | ||||||||
3.40%, 02/15/2019 | 2,915,000 | 2,916,648 | ||||||
2.80%, 06/01/2020 | 1,500,000 | 1,488,251 | ||||||
5.05%, 09/01/2020 | 1,500,000 | 1,535,676 | ||||||
3.30%, 02/15/2021 | 3,371,000 | 3,351,550 | ||||||
3.45%, 09/15/2021 | 1,847,000 | 1,846,574 | ||||||
5.90%, 11/01/2021 | 2,200,000 | 2,324,589 | ||||||
3.50%, 01/31/2023 | 717,000 | 704,609 | ||||||
3.00%, 06/15/2023 | 3,010,000 | 2,895,813 | ||||||
4.40%, 02/15/2026 | 1,863,000 | 1,862,427 | ||||||
3.38%, 10/15/2026 | 3,487,000 | 3,245,721 | ||||||
Ardonagh Midco 3 Plc | ||||||||
8.38%, 07/15/2023 | GBP | 1,310,000 | 1,404,173 | |||||
8.38%, 07/15/2023(1) | 600,000 | 643,132 | ||||||
Athene Holding Ltd. | ||||||||
4.13%, 01/12/2028 | $ | 11,794,000 | 10,719,362 | |||||
AXA Equitable Holdings, Inc. | ||||||||
3.90%, 04/20/2023(1) | 6,474,000 | 6,393,401 | ||||||
4.35%, 04/20/2028(1) | 2,266,000 | 2,142,645 | ||||||
5.00%, 04/20/2048(1) | 260,000 | 228,146 | ||||||
Banco Bilbao Vizcaya Argentaria SA | ||||||||
6.75% (5 Year Swap Rate EUR + 6.60%), 05/18/2020(2) | EUR | 1,600,000 | 1,816,519 | |||||
8.88% (5 Year Swap Rate EUR + 9.18%), 07/14/2021(2) | 1,000,000 | 1,240,963 | ||||||
7.00% (5 Year Swap Rate EUR + 6.16%), 12/29/2049(2) | 3,800,000 | 4,342,081 | ||||||
Banco de Bogota SA | ||||||||
4.38%, 08/03/2027 | $ | 4,700,000 | 4,318,172 | |||||
Banco Santander SA | ||||||||
3.50%, 04/11/2022 | 3,800,000 | 3,728,922 | ||||||
3.85%, 04/12/2023 | 200,000 | 194,321 | ||||||
5.18%, 11/19/2025 | 2,400,000 | 2,389,190 | ||||||
Bank of America Corp. | ||||||||
7.63%, 06/01/2019 | 9,000,000 | 9,159,365 | ||||||
2.37% (3 Month LIBOR USD + 0.66%), 07/21/2021(2) | 5,055,000 | 4,964,414 | ||||||
2.74% (3 Month LIBOR USD + 0.37%), 01/23/2022(2) | 8,835,000 | 8,700,640 | ||||||
3.50% (3 Month LIBOR USD + 0.63%), 05/17/2022(2) | 7,500,000 | 7,500,843 | ||||||
3.47% (3 Month LIBOR USD + 0.65%), 06/25/2022(2) | 1,920,000 | 1,895,556 |
3.30%, 01/11/2023 | 9,015,000 | 8,878,007 | ||||||
3.00% (3 Month LIBOR USD + 0.79%), 12/20/2023(2) | 11,033,000 | 10,711,459 | ||||||
3.55% (3 Month LIBOR USD + 0.78%), 03/05/2024(2) | 3,800,000 | 3,753,827 | ||||||
4.00%, 04/01/2024 | 3,955,000 | 3,976,641 | ||||||
3.09% (3 Month LIBOR USD + 1.09%), 10/01/2025(2) | 4,865,000 | 4,612,590 | ||||||
4.25%, 10/22/2026 | 8,975,000 | 8,733,549 | ||||||
3.71% (3 Month LIBOR USD + 1.51%), 04/24/2028(2) | 8,100,000 | 7,774,361 | ||||||
3.59% (3 Month LIBOR USD + 1.37%), 07/21/2028(2) | 670,000 | 635,734 | ||||||
5.88% (3 Month LIBOR USD + 2.93%), 09/15/2028(2) | 7,900,000 | 7,192,318 | ||||||
3.42% (3 Month LIBOR USD + 1.04%), 12/20/2028(2) | 4,632,000 | 4,329,549 | ||||||
4.27% (3 Month LIBOR USD + 1.31%), 07/23/2029(2) | 6,390,000 | 6,363,879 | ||||||
Bank of China Ltd./Hong Kong | ||||||||
1.88%, 03/01/2019 | 5,500,000 | 5,488,472 | ||||||
Bank of East Asia Ltd. | ||||||||
5.63% (5 Year CMT Rate + 3.68%), 05/18/2167(2) | 5,000,000 | 4,737,725 | ||||||
Bank of Ireland | ||||||||
7.38% (5 Year Swap Rate EUR + 6.96%), 06/18/2166(2) | EUR | 1,700,000 | 2,030,845 | |||||
Bank of Montreal | ||||||||
1.50%, 07/18/2019 | $ | 4,000,000 | 3,969,999 | |||||
Bank of New York Mellon Corp. | ||||||||
2.66% (3 Month LIBOR USD + 0.63%), 05/16/2023(2) | 6,000,000 | 5,835,239 | ||||||
3.45%, 08/11/2023 | 5,345,000 | 5,362,121 | ||||||
3.25%, 09/11/2024 | 2,260,000 | 2,230,564 | ||||||
Barclays Bank Plc | ||||||||
5.14%, 10/14/2020 | 665,000 | 672,074 | ||||||
7.63%, 11/21/2022 | 6,150,000 | 6,372,938 | ||||||
14.00% (3 Month LIBOR GBP + 13.40%), 12/15/2166(2) | GBP | 5,550,000 | 7,395,147 | |||||
Barclays Plc | ||||||||
3.20%, 08/10/2021 | $ | 1,500,000 | 1,457,769 | |||||
3.68%, 01/10/2023 | 7,260,000 | 6,975,430 | ||||||
4.05% (3 Month LIBOR USD + 1.43%), 02/15/2023(2) | 500,000 | 481,027 | ||||||
4.61% (3 Month LIBOR USD + 1.40%), 02/15/2023(2) | 7,045,000 | 6,985,247 | ||||||
1.50%, 09/03/2023 | EUR | 2,300,000 | 2,565,059 | |||||
4.34% (3 Month LIBOR USD + 1.36%), 05/16/2024(2) | $ | 8,465,000 | 8,229,582 | |||||
4.38%, 01/12/2026 | 3,170,000 | 3,011,285 | ||||||
3.25%, 02/12/2027 | GBP | 6,200,000 | 7,568,376 | |||||
3.25%, 01/17/2033 | 600,000 | 672,043 | ||||||
6.50% (5 Year Swap Rate EUR + 5.88%), 06/15/2049(2) | EUR | 6,300,000 | 7,028,348 | |||||
8.00% (5 Year Swap Rate EUR + 6.75%), 12/15/2049(2) | 9,400,000 | 11,403,339 | ||||||
7.88% (5 Year Swap Rate GBP + 6.10%), 12/15/2162(2) | GBP | 1,200,000 | 1,529,535 | |||||
7.25% (5 Year Swap Rate GBP + 6.46%), 03/15/2163(2) | 14,283,000 | 18,157,047 | ||||||
7.75% (5 Year Swap Rate USD + 4.84%), 12/15/2163(2) | $ | 4,850,000 | 4,665,312 | |||||
5.88% (5 Year Swap Rate GBP + 4.91%), 12/15/2164(2) | GBP | 2,800,000 | 3,230,721 | |||||
BBVA Bancomer SA/Texas | ||||||||
4.38%, 04/10/2024(1) | $ | 2,800,000 | 2,754,528 | |||||
Berkshire Hathaway Finance Corp. | ||||||||
4.40%, 05/15/2042 | 1,000,000 | 1,021,272 | ||||||
4.20%, 08/15/2048 | 5,420,000 | 5,393,065 | ||||||
Berkshire Hathaway, Inc. | ||||||||
2.20%, 03/15/2021 | 10,840,000 | 10,697,447 | ||||||
BGC Partners, Inc. | ||||||||
5.38%, 07/24/2023 | 380,000 | 385,512 | ||||||
BNP Paribas SA | ||||||||
4.40%, 08/14/2028(1) | 1,200,000 | 1,171,959 | ||||||
7.00% (5 Year Swap Rate USD + 3.98%), 02/16/2164(1)(2) | 400,000 | 380,500 | ||||||
BOC Aviation Ltd. | ||||||||
3.00%, 03/30/2020(1) | 750,000 | 745,785 | ||||||
3.61% (3 Month LIBOR USD + 1.05%), 05/02/2021(1)(2) | 600,000 | 601,776 | ||||||
3.95% (3 Month LIBOR USD + 1.13%), 09/26/2023(1)(2) | 1,100,000 | 1,094,205 |
Boston Properties LP | ||||||||
5.63%, 11/15/2020 | 2,310,000 | 2,394,165 | ||||||
3.85%, 02/01/2023 | 3,245,000 | 3,250,606 | ||||||
3.20%, 01/15/2025 | 12,700,000 | 12,132,038 | ||||||
3.65%, 02/01/2026 | 415,000 | 401,827 | ||||||
2.75%, 10/01/2026 | 5,660,000 | 5,114,932 | ||||||
Brixmor Operating Partnership LP | ||||||||
3.59% (3 Month LIBOR USD + 1.05%), 02/01/2022(2) | 4,860,000 | 4,841,716 | ||||||
3.65%, 06/15/2024 | 3,624,000 | 3,519,088 | ||||||
3.85%, 02/01/2025 | 1,680,000 | 1,624,577 | ||||||
4.13%, 06/15/2026 | 2,980,000 | 2,887,049 | ||||||
3.90%, 03/15/2027 | 2,553,000 | 2,417,928 | ||||||
Brookfield Finance, Inc. | ||||||||
3.90%, 01/25/2028 | 276,000 | 260,700 | ||||||
4.70%, 09/20/2047 | 582,000 | 535,868 | ||||||
Camden Property Trust | ||||||||
4.10%, 10/15/2028 | 880,000 | 891,469 | ||||||
Capital One Bank USA NA | ||||||||
3.38%, 02/15/2023 | 7,443,000 | 7,186,317 | ||||||
Capital One Financial Corp. | ||||||||
3.30%, 10/30/2024 | 4,865,000 | 4,600,697 | ||||||
4.25%, 04/30/2025 | 2,880,000 | 2,859,884 | ||||||
4.20%, 10/29/2025 | 195,000 | 188,423 | ||||||
Carlyle Holdings Finance LLC | ||||||||
3.88%, 02/01/2023(1) | 428,000 | 430,110 | ||||||
CBL & Associates LP | ||||||||
5.95%, 12/15/2026 | 380,000 | 290,700 | ||||||
CBRE Services, Inc. | ||||||||
4.88%, 03/01/2026 | 445,000 | 456,466 | ||||||
CC Holdings GS V LLC / Crown Castle GS III Corp. | ||||||||
3.85%, 04/15/2023 | 5,715,000 | 5,659,161 | ||||||
CIT Group, Inc. | ||||||||
4.13%, 03/09/2021 | 198,000 | 195,030 | ||||||
5.25%, 03/07/2025 | 92,000 | 89,930 | ||||||
Citibank NA | ||||||||
3.05%, 05/01/2020 | 1,640,000 | 1,637,687 | ||||||
3.40%, 07/23/2021 | 5,520,000 | 5,526,798 | ||||||
Citigroup Inc | ||||||||
8.50%, 05/22/2019 | 7,000,000 | 7,142,872 | ||||||
Citigroup, Inc. | ||||||||
2.55%, 04/08/2019 | 1,000,000 | 998,568 | ||||||
2.05%, 06/07/2019 | 2,200,000 | 2,190,734 | ||||||
2.50%, 07/29/2019 | 2,034,000 | 2,027,078 | ||||||
3.19% (90 Day Australian Bank Bill Swap Rate + 1.25%), 08/07/2019(2) | AUD | 13,020,000 | 9,195,793 | |||||
2.40%, 02/18/2020 | $ | 2,260,000 | 2,239,209 | |||||
2.90%, 12/08/2021 | 4,720,000 | 4,643,451 | ||||||
3.14% (3 Month LIBOR USD + 0.72%), 01/24/2023(2) | 4,000,000 | 3,928,833 | ||||||
2.88% (3 Month LIBOR USD + 0.95%), 07/24/2023(2) | 1,290,000 | 1,247,989 | ||||||
3.67% (3 Month LIBOR USD + 1.39%), 07/24/2028(2) | 3,445,000 | 3,256,252 | ||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands | ||||||||
4.38%, 08/04/2025 | 1,225,000 | 1,203,678 | ||||||
Cooperatieve Rabobank | ||||||||
6.63% (5 Year Swap Rate EUR + 6.70%), 06/29/2166(2) | EUR | 5,200,000 | 6,467,663 | |||||
Cooperatieve Rabobank UA | ||||||||
5.50% (5 Year Swap Rate EUR + 5.25%), 12/29/2167(2) | 3,000,000 | 3,518,888 | ||||||
Credit Agricole SA | ||||||||
4.38%, 03/17/2025(1) | $ | 1,717,000 | 1,662,247 | |||||
4.00% (5 Year Swap Rate USD + 1.64%), 01/10/2033(1)(2) | 13,548,000 | 12,413,690 | ||||||
Credit Agricole SA/London | ||||||||
3.51% (3 Month LIBOR USD + 1.02%), 04/24/2023(1)(2) | 250,000 | 246,038 | ||||||
3.75%, 04/24/2023(1) | 250,000 | 244,621 |
Credit Suisse Group AG | ||||||||
7.25% (5 Year Swap Rate USD + 4.33%), 03/12/2166(1)(2) | 600,000 | 566,010 | ||||||
7.50% (5 Year Swap Rate USD + 4.60%), 07/17/2167(1)(2) | 1,400,000 | 1,365,000 | ||||||
Credit Suisse Group Funding Guernsey Ltd. | ||||||||
3.75%, 03/26/2025 | 5,500,000 | 5,261,611 | ||||||
Crown Castle International Corp | ||||||||
2.25%, 09/01/2021 | 1,510,000 | 1,459,836 | ||||||
Crown Castle International Corp. | ||||||||
3.40%, 02/15/2021 | 280,000 | 279,893 | ||||||
4.88%, 04/15/2022 | 1,715,000 | 1,764,626 | ||||||
3.20%, 09/01/2024 | 3,527,000 | 3,338,121 | ||||||
4.45%, 02/15/2026 | 7,275,000 | 7,246,437 | ||||||
3.65%, 09/01/2027 | 8,036,000 | 7,453,944 | ||||||
3.80%, 02/15/2028 | 3,220,000 | 3,021,938 | ||||||
CTR Partnership LP / CareTrust Capital Corp. | ||||||||
5.25%, 06/01/2025 | 194,000 | 186,725 | ||||||
Danske Bank A/S | ||||||||
2.00%, 09/08/2021(1) | 2,085,000 | 1,972,857 | ||||||
2.70%, 03/02/2022(1) | 1,489,000 | 1,426,616 | ||||||
Deutsche Bank AG | ||||||||
1.88%, 02/28/2020 | GBP | 500,000 | 628,500 | |||||
0.18% (3 Month EURIBOR + 0.50%), 12/07/2020(2) | EUR | 4,600,000 | 5,126,202 | |||||
Deutsche Bank AG/New York NY | ||||||||
3.41% (3 Month LIBOR USD + 0.97%), 07/13/2020(2) | $ | 46,000 | 44,790 | |||||
3.77% (3 Month LIBOR USD + 1.29%), 02/04/2021(2) | 1,960,000 | 1,906,200 | ||||||
3.95%, 02/27/2023 | 100,000 | 94,409 | ||||||
Dexia Credit Local SA | ||||||||
2.25%, 02/18/2020(1) | 7,070,000 | 7,027,521 | ||||||
Digital Realty Trust LP | ||||||||
5.88%, 02/01/2020 | 4,240,000 | 4,325,496 | ||||||
3.63%, 10/01/2022 | 4,000,000 | 3,961,889 | ||||||
4.75%, 10/01/2025 | 1,640,000 | 1,676,337 | ||||||
Discover Financial Services | ||||||||
5.20%, 04/27/2022 | 3,670,000 | 3,807,208 | ||||||
3.95%, 11/06/2024 | 3,000,000 | 2,959,862 | ||||||
3.75%, 03/04/2025 | 8,845,000 | 8,461,965 | ||||||
4.10%, 02/09/2027 | 4,000,000 | 3,736,249 | ||||||
Doric Nimrod Air Finance Alpha Ltd.2012-1 Class A Pass Through Trust | ||||||||
5.13%, 11/30/2024(1) | 3,748,151 | 3,890,628 | ||||||
EPR Properties | ||||||||
4.75%, 12/15/2026 | 140,000 | 138,552 | ||||||
4.95%, 04/15/2028 | 414,000 | 409,892 | ||||||
Equinix, Inc. | ||||||||
2.88%, 02/01/2026 | EUR | 200,000 | 216,822 | |||||
ERP Operating LP | ||||||||
3.50%, 03/01/2028 | $ | 138,000 | 134,250 | |||||
Essex Portfolio LP | ||||||||
3.88%, 05/01/2024 | 4,200,000 | 4,211,505 | ||||||
3.63%, 05/01/2027 | 2,785,000 | 2,685,956 | ||||||
Fairfax Financial Holdings Ltd. | ||||||||
4.85%, 04/17/2028(1) | 196,000 | 188,442 | ||||||
Farmers Exchange Capital II | ||||||||
6.15% (3 Month LIBOR USD + 3.74%), 11/01/2053(1)(2) | 280,000 | 302,672 | ||||||
Farmers Exchange Capital III | ||||||||
5.45% (3 Month LIBOR USD + 3.45%), 10/15/2054(1)(2) | 4,000,000 | 3,874,164 | ||||||
Farmers Insurance Exchange | ||||||||
4.75% (3 Month LIBOR USD + 3.23%), 11/01/2057(1)(2) | 3,000,000 | 2,654,384 | ||||||
Fidelity National Financial, Inc. | ||||||||
4.50%, 08/15/2028(1) | 18,980,000 | 18,771,786 |
First Abu Dhabi Bank PJSC | ||||||||
5.25% (5 Year Swap Rate USD + 3.35%), 06/17/2167(2) | 5,500,000 | 5,496,304 | ||||||
FirstRand Bank Ltd. | ||||||||
6.25% (5 Year Swap Rate USD + 3.56%), 04/23/2028(2) | 5,000,000 | 4,906,500 | ||||||
GE Capital European Funding Unlimited Co. | ||||||||
0.00% (3 Month EURIBOR + 0.23%), 05/17/2021(2) | EUR | 550,000 | 598,052 | |||||
GE Capital International Funding Co. Unlimited Co. | ||||||||
2.34%, 11/15/2020 | $ | 24,915,000 | 24,043,489 | |||||
3.37%, 11/15/2025 | 4,385,000 | 3,897,049 | ||||||
4.42%, 11/15/2035 | 11,325,000 | 9,527,804 | ||||||
GE Capital UK Funding Unlimited Co. | ||||||||
4.38%, 07/31/2019 | GBP | 28,000 | 35,971 | |||||
5.88%, 11/04/2020 | 28,000 | 37,166 | ||||||
Global Bank Corp. | ||||||||
4.50%, 10/20/2021(1) | $ | 350,000 | 339,395 | |||||
GLP Capital LP / GLP Financing II, Inc. | ||||||||
4.88%, 11/01/2020 | 3,660,000 | 3,691,110 | ||||||
5.25%, 06/01/2025 | 1,605,000 | 1,593,637 | ||||||
5.38%, 04/15/2026 | 3,425,000 | 3,387,359 | ||||||
5.75%, 06/01/2028 | 4,034,000 | 4,074,340 | ||||||
5.30%, 01/15/2029 | 5,429,000 | 5,309,725 | ||||||
Goldman Sachs Group, Inc. | ||||||||
2.55%, 10/23/2019 | 3,850,000 | 3,825,729 | ||||||
3.20%, 06/05/2020 | 5,640,000 | 5,628,950 | ||||||
2.63%, 04/25/2021 | 3,964,000 | 3,860,621 | ||||||
2.88% (3 Month LIBOR USD + 0.82%), 10/31/2022(2) | 11,078,000 | 10,758,567 | ||||||
2.91% (3 Month LIBOR USD + 1.05%), 06/05/2023(2) | 1,920,000 | 1,843,092 | ||||||
4.31% (3 Month LIBOR USD + 1.60%), 11/29/2023(2) | 100,000 | 99,102 | ||||||
3.50%, 01/23/2025 | 2,622,000 | 2,486,468 | ||||||
3.27% (3 Month LIBOR USD + 1.20%), 09/29/2025(2) | 3,700,000 | 3,468,010 | ||||||
3.69% (3 Month LIBOR USD + 1.51%), 06/05/2028(2) | 3,000,000 | 2,789,661 | ||||||
3.81% (3 Month LIBOR USD + 1.16%), 04/23/2029(2) | 4,100,000 | 3,830,166 | ||||||
4.22% (3 Month LIBOR USD + 1.30%), 05/01/2029(2) | 4,760,000 | 4,583,691 | ||||||
Goodman U.S. Finance Three LLC | ||||||||
3.70%, 03/15/2028(1) | 463,000 | 440,917 | ||||||
Growthpoint Properties International Pty Ltd. | ||||||||
5.87%, 05/02/2023(1) | 200,000 | 199,750 | ||||||
HCP, Inc. | ||||||||
2.63%, 02/01/2020 | 5,635,000 | 5,594,211 | ||||||
4.00%, 12/01/2022 | 3,149,000 | 3,144,244 | ||||||
4.25%, 11/15/2023 | 678,000 | 678,993 | ||||||
4.20%, 03/01/2024 | 1,175,000 | 1,177,837 | ||||||
4.00%, 06/01/2025 | 4,375,000 | 4,284,631 | ||||||
Healthcare Realty Trust, Inc. | ||||||||
3.75%, 04/15/2023 | 1,356,000 | 1,335,093 | ||||||
3.63%, 01/15/2028 | 8,175,000 | 7,680,975 | ||||||
Healthcare Trust of America Holdings LP | ||||||||
2.95%, 07/01/2022 | 3,335,000 | 3,241,370 | ||||||
3.70%, 04/15/2023 | 3,425,000 | 3,372,138 | ||||||
Highwoods Realty LP | ||||||||
4.13%, 03/15/2028 | 4,875,000 | 4,772,626 | ||||||
Hospitality Properties Trust | ||||||||
3.95%, 01/15/2028 | 5,605,000 | 5,054,397 | ||||||
Host Hotels & Resorts LP | ||||||||
6.00%, 10/01/2021 | 2,963,000 | 3,109,697 | ||||||
5.25%, 03/15/2022 | 2,500,000 | 2,586,555 | ||||||
3.75%, 10/15/2023 | 2,175,000 | 2,133,201 | ||||||
4.50%, 02/01/2026 | 1,600,000 | 1,589,956 | ||||||
Howard Hughes Corp. | ||||||||
5.38%, 03/15/2025(1) | 2,182,000 | 2,051,080 |
HSBC Holdings Plc | ||||||||
3.24% (3 Month LIBOR USD + 0.60%), 05/18/2021(2) | 1,200,000 | 1,182,193 | ||||||
2.65%, 01/05/2022 | 1,340,000 | 1,299,916 | ||||||
3.26% (3 Month LIBOR USD + 1.06%), 03/13/2023(2) | 1,585,000 | 1,551,102 | ||||||
3.64% (3 Month LIBOR USD + 1.00%), 05/18/2024(2) | 400,000 | 389,535 | ||||||
3.95% (3 Month LIBOR USD + 0.99%), 05/18/2024(2) | 7,615,000 | 7,573,426 | ||||||
4.29% (3 Month LIBOR USD + 1.35%), 09/12/2026(2) | 10,000,000 | 9,875,357 | ||||||
4.58% (3 Month LIBOR USD + 1.53%), 06/19/2029(2) | 3,200,000 | 3,173,848 | ||||||
5.88% (5 Year Swap Rate GBP + 4.28%), 03/28/2147(2) | GBP | 6,400,000 | 7,797,010 | |||||
6.25% (5 Year Mid Swap Rate USD + 3.45%), 09/23/2163(2) | $ | 1,000,000 | 937,500 | |||||
6.50% (5 Year Mid Swap Rate USD + 3.61%), 09/23/2163(2) | 1,820,000 | 1,653,925 | ||||||
6.00% (5 Year Swap Rate EUR + 5.34%), 03/29/2164(2) | EUR | 600,000 | 726,979 | |||||
Hunt Cos., Inc. | ||||||||
6.25%, 02/15/2026(1) | $ | 82,000 | 70,061 | |||||
ING Bank NV | ||||||||
5.80%, 09/25/2023(1) | 9,795,000 | 10,230,525 | ||||||
ING Groep NV | ||||||||
3.80% (3 Month LIBOR USD + 1.00%), 10/02/2023(2) | 1,500,000 | 1,484,937 | ||||||
4.10%, 10/02/2023 | 2,200,000 | 2,198,522 | ||||||
4.55%, 10/02/2028 | 1,600,000 | 1,582,792 | ||||||
International Lease Finance Corp. | ||||||||
6.25%, 05/15/2019 | 1,500,000 | 1,513,274 | ||||||
8.25%, 12/15/2020 | 2,500,000 | 2,688,928 | ||||||
8.63%, 01/15/2022 | 2,150,000 | 2,390,177 | ||||||
5.88%, 08/15/2022 | 170,000 | 178,059 | ||||||
Intesa Sanpaolo SpA | ||||||||
5.02%, 06/26/2024(1) | 9,075,000 | 8,211,581 | ||||||
5.71%, 01/15/2026(1) | 555,000 | 508,980 | ||||||
Intrepid Aviation Group Holdings LLC / Intrepid Finance Co. | ||||||||
8.50%, 08/15/2021(1) | 200,000 | 197,978 | ||||||
iStar, Inc. | ||||||||
5.25%, 09/15/2022 | 2,665,000 | 2,491,509 | ||||||
Jefferies Finance LLC / JFINCo-Issuer Corp. | ||||||||
7.38%, 04/01/2020(1) | 16,495,000 | 16,453,763 | ||||||
7.25%, 08/15/2024(1) | 200,000 | 185,000 | ||||||
Jefferies Group LLC | ||||||||
4.85%, 01/15/2027 | 1,500,000 | 1,434,116 | ||||||
6.45%, 06/08/2027 | 3,660,000 | 3,828,950 | ||||||
6.25%, 01/15/2036 | 1,430,000 | 1,435,176 | ||||||
Jefferies Group LLC / Jefferies Group Capital Finance, Inc. | ||||||||
4.15%, 01/23/2030 | 7,180,000 | 6,161,040 | ||||||
Jones Lang LaSalle, Inc. | ||||||||
4.40%, 11/15/2022 | 1,270,000 | 1,282,813 | ||||||
JPMorgan Chase & Co. | ||||||||
2.75%, 06/23/2020 | 400,000 | 397,645 | ||||||
3.51% (3 Month LIBOR USD + 0.61%), 06/18/2022(2) | 6,380,000 | 6,394,189 | ||||||
2.70%, 05/18/2023 | 1,850,000 | 1,776,872 | ||||||
3.72% (3 Month LIBOR USD + 1.23%), 10/24/2023(2) | 5,580,000 | 5,578,591 | ||||||
3.22% (3 Month LIBOR USD + 1.16%), 03/01/2025(2) | 3,000,000 | 2,897,741 | ||||||
3.90%, 07/15/2025 | 20,200,000 | 20,025,630 | ||||||
2.95%, 10/01/2026 | 8,285,000 | 7,655,506 | ||||||
3.78% (3 Month LIBOR USD + 1.34%), 02/01/2028(2) | 4,000,000 | 3,884,968 | ||||||
3.54% (3 Month LIBOR USD + 1.38%), 05/01/2028(2) | 11,140,000 | 10,628,011 | ||||||
4.20% (3 Month LIBOR USD + 1.26%), 07/23/2029(2) | 490,000 | 488,809 | ||||||
JPMorgan Chase Bank NA | ||||||||
2.87% (3 Month LIBOR USD + 0.25%), 02/13/2020(2) | 10,500,000 | 10,486,093 | ||||||
2.60% (3 Month LIBOR USD + 0.28%), 02/01/2021(2) | 11,055,000 | 10,965,944 | ||||||
3.09% (3 Month LIBOR USD + 0.35%), 04/26/2021(2) | 9,000,000 | 8,962,373 | ||||||
Kasikornbank PCL/Cayman Islands | ||||||||
3.50%, 10/25/2019 | 1,000,000 | 1,000,853 |
Kennedy-Wilson, Inc. | ||||||||
5.88%, 04/01/2024 | 224,000 | 209,440 | ||||||
Kilroy Realty LP | ||||||||
3.80%, 01/15/2023 | 1,200,000 | 1,194,874 | ||||||
3.45%, 12/15/2024 | 1,845,000 | 1,782,576 | ||||||
4.38%, 10/01/2025 | 2,345,000 | 2,354,265 | ||||||
Kimco Realty Corp. | ||||||||
2.70%, 03/01/2024 | 5,600,000 | 5,276,949 | ||||||
3.30%, 02/01/2025 | 880,000 | 839,106 | ||||||
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp. | ||||||||
5.88%, 08/01/2021(1) | 1,025,000 | 1,022,437 | ||||||
5.25%, 10/01/2025(1) | 4,265,000 | 3,806,513 | ||||||
Lazard Group LLC | ||||||||
4.25%, 11/14/2020 | 1,030,000 | 1,043,500 | ||||||
Liberty Property LP | ||||||||
4.13%, 06/15/2022 | 2,000,000 | 2,037,647 | ||||||
Lloyds Bank Plc | ||||||||
5.80%, 01/13/2020(1) | 2,000,000 | 2,047,022 | ||||||
3.08% (3 Month LIBOR USD + 0.49%), 05/07/2021(2) | 800,000 | 791,935 | ||||||
3.30%, 05/07/2021 | 1,600,000 | 1,595,088 | ||||||
Lloyds Banking Group Plc | ||||||||
4.05%, 08/16/2023 | 2,000,000 | 1,975,725 | ||||||
2.91% (3 Month LIBOR USD + 0.81%), 11/07/2023(2) | 6,140,000 | 5,805,725 | ||||||
4.50%, 11/04/2024 | 2,825,000 | 2,727,685 | ||||||
4.45%, 05/08/2025 | 4,265,000 | 4,236,808 | ||||||
4.58%, 12/10/2025 | 9,925,000 | 9,400,312 | ||||||
4.65%, 03/24/2026 | 8,450,000 | 7,948,334 | ||||||
4.38%, 03/22/2028 | 400,000 | 379,697 | ||||||
4.55%, 08/16/2028 | 1,800,000 | 1,730,500 | ||||||
3.57% (3 Month LIBOR USD + 1.21%), 11/07/2028(2) | 420,000 | 373,816 | ||||||
7.00% (5 Year Swap Rate GBP + 5.06%), 06/27/2164(2) | GBP | 23,620,000 | 30,087,261 | |||||
7.63% (5 Year Swap Rate GBP + 5.01%), 06/27/2164(2) | 1,900,000 | 2,490,759 | ||||||
7.88% (5 Year Swap Rate GBP + 4.83%), 06/27/2164(2) | 900,000 | 1,228,919 | ||||||
6.38% (5 Year Swap Rate EUR + 5.29%), 09/27/2165(2) | EUR | 4,881,000 | 5,522,505 | |||||
7.50% (5 Year Swap Rate USD + 4.50%), 12/27/2165(2) | $ | 3,100,000 | 2,992,120 | |||||
Macquarie Bank Ltd. | ||||||||
2.60%, 06/24/2019(1) | 4,000,000 | 3,988,049 | ||||||
Metropolitan Life Global Funding I | ||||||||
1.55%, 09/13/2019(1) | 6,965,000 | 6,895,288 | ||||||
MGM Growth Properties Operating Partnership LP / MGP FinanceCo-Issuer, Inc. | ||||||||
5.63%, 05/01/2024 | 1,079,000 | 1,068,210 | ||||||
Mid-America Apartments LP | ||||||||
3.60%, 06/01/2027 | 1,400,000 | 1,347,772 | ||||||
Mizuho Financial Group, Inc. | ||||||||
3.77% (3 Month LIBOR USD + 1.00%), 09/11/2024(2) | 12,100,000 | 12,082,392 | ||||||
3.92% (3 Month LIBOR USD + 1.00%), 09/11/2024(2) | 11,100,000 | 11,216,649 | ||||||
Morgan Stanley | ||||||||
7.30%, 05/13/2019 | 9,000,000 | 9,136,633 | ||||||
5.63%, 09/23/2019 | 4,274,000 | 4,337,321 | ||||||
5.50%, 01/26/2020 | 4,000,000 | 4,090,414 | ||||||
3.41% (3 Month LIBOR USD + 0.80%), 02/14/2020(2) | 3,825,000 | 3,825,100 | ||||||
3.40% (3 Month LIBOR USD + 0.93%), 07/22/2022(2) | 1,000,000 | 985,964 | ||||||
3.89% (3 Month LIBOR USD + 1.40%), 10/24/2023(2) | 350,000 | 348,298 | ||||||
3.88%, 04/29/2024 | 14,850,000 | 14,777,970 | ||||||
3.81% (3 Month LIBOR USD + 1.22%), 05/08/2024(2) | 300,000 | 295,530 | ||||||
5.00%, 11/24/2025 | 10,320,000 | 10,527,735 | ||||||
3.13%, 07/27/2026 | 2,030,000 | 1,873,657 | ||||||
3.95%, 04/23/2027 | 2,630,000 | 2,480,899 | ||||||
MPT Operating Partnership LP / MPT Finance Corp. | ||||||||
5.25%, 08/01/2026 | 40,000 | 37,700 | ||||||
5.00%, 10/15/2027 | 5,355,000 | 4,896,478 |
Nationwide Building Society | ||||||||
3.77% (3 Month LIBOR USD + 1.06%), 03/08/2024(1)(2) | 6,600,000 | 6,351,699 | ||||||
4.36% (3 Month LIBOR USD + 1.39%), 08/01/2024(1)(2) | 4,600,000 | 4,506,474 | ||||||
4.30% (3 Month LIBOR USD + 1.45%), 03/08/2029(1)(2) | 8,600,000 | 8,085,694 | ||||||
6.88% (5 Year Swap Rate GBP + 4.88%), 03/11/2049(2) | GBP | 4,600,000 | 5,898,338 | |||||
Nationwide Mutual Insurance Co. | ||||||||
5.08% (3 Month LIBOR USD + 2.29%), 12/15/2024(1)(2) | $ | 1,790,000 | 1,781,065 | |||||
Natwest Markets Plc | ||||||||
0.08% (3 Month EURIBOR + 0.40%), 03/02/2020(2) | EUR | 700,000 | 798,076 | |||||
0.63%, 03/02/2022 | 5,800,000 | 6,450,514 | ||||||
Navient Corp. | ||||||||
4.88%, 06/17/2019 | $ | 5,693,000 | 5,671,651 | |||||
8.00%, 03/25/2020 | 5,303,000 | 5,388,378 | ||||||
5.88%, 03/25/2021 | 9,593,000 | 9,185,298 | ||||||
6.63%, 07/26/2021 | 2,490,000 | 2,402,850 | ||||||
7.25%, 01/25/2022 | 8,200,000 | 7,913,000 | ||||||
6.50%, 06/15/2022 | 242,000 | 225,493 | ||||||
New York Life Global Funding | ||||||||
1.50%, 10/24/2019(1) | 7,230,000 | 7,147,542 | ||||||
1.70%, 09/14/2021(1) | 6,775,000 | 6,528,796 | ||||||
2.35%, 07/14/2026(1) | 1,000,000 | 917,909 | ||||||
3.00%, 01/10/2028(1) | 5,482,000 | 5,246,563 | ||||||
Newmark Group, Inc. | ||||||||
6.13%, 11/15/2023(1) | 602,000 | 592,741 | ||||||
NTT Finance Corp. | ||||||||
1.90%, 07/21/2021 | 5,400,000 | 5,205,001 | ||||||
Nuveen Finance LLC | ||||||||
4.13%, 11/01/2024(1) | 4,775,000 | 4,863,411 | ||||||
Old Republic International Corp. | ||||||||
4.88%, 10/01/2024 | 335,000 | 348,189 | ||||||
3.88%, 08/26/2026 | 5,155,000 | 4,924,914 | ||||||
Omega Healthcare Investors, Inc. | ||||||||
4.50%, 01/15/2025 | 5,050,000 | 4,975,423 | ||||||
Oppenheimer Holdings, Inc. | ||||||||
6.75%, 07/01/2022 | 112,000 | 110,880 | ||||||
Physicians Realty LP | ||||||||
3.95%, 01/15/2028 | 177,000 | 167,263 | ||||||
PNC Bank NA | ||||||||
1.45%, 07/29/2019 | 2,000,000 | 1,982,834 | ||||||
Pricoa Global Funding I | ||||||||
3.45%, 09/01/2023(1) | 11,595,000 | 11,604,056 | ||||||
Principal Financial Group, Inc. | ||||||||
4.70% (3 Month LIBOR USD + 3.04%), 05/15/2055(2) | 1,435,000 | 1,361,456 | ||||||
Prologis LP | ||||||||
3.75%, 11/01/2025 | 1,325,000 | 1,332,245 | ||||||
Protective Life Global Funding | ||||||||
2.70%, 11/25/2020(1) | 1,950,000 | 1,926,529 | ||||||
Provident Funding Associates LP / PFG Finance Corp. | ||||||||
6.38%, 06/15/2025(1) | 93,000 | 83,700 | ||||||
QNB Finance Ltd. | ||||||||
4.01% (3 Month LIBOR USD + 1.57%), 07/18/2021(2) | 2,400,000 | 2,410,308 | ||||||
4.07% (3 Month LIBOR USD + 1.45%), 08/11/2021(2) | 3,400,000 | 3,374,571 | ||||||
Quicken Loans, Inc. | ||||||||
5.75%, 05/01/2025(1) | 570,000 | 532,950 | ||||||
5.25%, 01/15/2028(1) | 2,815,000 | 2,491,275 | ||||||
Raymond James Financial, Inc. | ||||||||
5.63%, 04/01/2024 | 1,617,000 | 1,748,488 | ||||||
4.95%, 07/15/2046 | 6,830,000 | 6,570,474 | ||||||
Realty Income Corp. | ||||||||
3.25%, 10/15/2022 | 6,440,000 | 6,376,912 |
Reckson Operating Partnership LP | ||||||||
7.75%, 03/15/2020 | 1,398,000 | 1,462,685 | ||||||
Regency Centers LP | ||||||||
3.60%, 02/01/2027 | 4,271,000 | 4,085,089 | ||||||
4.13%, 03/15/2028 | 6,280,000 | 6,204,229 | ||||||
Retail Opportunity Investments Partnership LP | ||||||||
4.00%, 12/15/2024 | 895,000 | 845,260 | ||||||
Royal Bank of Scotland Group Plc | ||||||||
6.13%, 12/15/2022 | 3,025,000 | 3,065,555 | ||||||
2.00% (3 Month EURIBOR + 2.04%), 03/08/2023(2) | EUR | 1,100,000 | 1,264,016 | |||||
2.50%, 03/22/2023 | 3,900,000 | 4,554,263 | ||||||
3.50% (3 Month LIBOR USD + 1.48%), 05/15/2023(2) | $ | 855,000 | 822,144 | |||||
4.09% (3 Month LIBOR USD + 1.47%), 05/15/2023(2) | 3,217,000 | 3,120,664 | ||||||
6.10%, 06/10/2023 | 4,035,000 | 4,098,486 | ||||||
3.88%, 09/12/2023 | 10,543,000 | 10,106,800 | ||||||
6.00%, 12/19/2023 | 10,255,000 | 10,378,455 | ||||||
5.13%, 05/28/2024 | 375,000 | 363,562 | ||||||
4.37% (3 Month LIBOR USD + 1.55%), 06/25/2024(2) | 6,245,000 | 5,966,232 | ||||||
4.52% (3 Month LIBOR USD + 1.55%), 06/25/2024(2) | 1,200,000 | 1,177,405 | ||||||
2.00% (3 Month EURIBOR + 1.74%), 03/04/2025(2) | EUR | 400,000 | 449,087 | |||||
5.08% (3 Month LIBOR USD + 1.91%), 01/27/2030(2) | $ | 5,000,000 | 4,824,252 | |||||
7.50% (5 Year Swap Rate USD + 5.80%), 12/29/2049(2) | 3,260,000 | 3,227,400 | ||||||
8.00% (5 Year Swap Rate USD + 5.72%), 12/29/2049(2) | 6,951,000 | 6,933,623 | ||||||
8.63% (5 Year Swap Rate USD + 7.60%), 12/29/2049(2) | 2,500,000 | 2,587,500 | ||||||
Santander Holdings USA, Inc. | ||||||||
4.45%, 12/03/2021 | 6,255,000 | 6,363,091 | ||||||
3.70%, 03/28/2022 | 122,000 | 119,811 | ||||||
3.40%, 01/18/2023 | 184,000 | 176,812 | ||||||
4.40%, 07/13/2027 | 153,000 | 144,850 | ||||||
Santander UK Group Holdings Plc | ||||||||
2.88%, 10/16/2020 | 2,800,000 | 2,751,151 | ||||||
2.88%, 08/05/2021 | 11,450,000 | 11,045,288 | ||||||
3.57%, 01/10/2023 | 4,185,000 | 4,005,607 | ||||||
0.46% (3 Month EURIBOR + 0.78%), 05/18/2023(2) | EUR | 200,000 | 217,344 | |||||
1.13%, 09/08/2023 | 400,000 | 440,468 | ||||||
3.37% (3 Month LIBOR USD + 1.08%), 01/05/2024(2) | $ | 1,000,000 | 948,775 | |||||
0.54% (3 Month EURIBOR + 0.85%), 03/27/2024(2) | EUR | 2,300,000 | 2,472,086 | |||||
4.80% (3 Month LIBOR USD + 1.57%), 11/15/2024(2) | $ | 13,930,000 | 13,830,784 | |||||
4.75%, 09/15/2025(1) | 1,025,000 | 963,709 | ||||||
2.92% (1 Year Swap Rate GBP + 1.38%), 05/08/2026(2) | GBP | 820,000 | 1,004,504 | |||||
3.82% (3 Month LIBOR USD + 1.40%), 11/03/2028(2) | $ | 4,690,000 | 4,240,619 | |||||
7.38% (5 Year Swap Rate GBP + 5.54%), 09/24/2163(2) | GBP | 5,647,000 | 7,215,227 | |||||
6.75% (5 Year Swap Rate GBP + 5.79%), 06/24/2164(2) | 5,800,000 | 7,251,153 | ||||||
Santander UK Plc | ||||||||
2.50%, 03/14/2019 | $ | 3,000,000 | 2,996,664 | |||||
2.35%, 09/10/2019 | 2,000,000 | 1,984,879 | ||||||
2.13%, 11/03/2020 | 370,000 | 361,302 | ||||||
3.36% (3 Month LIBOR USD + 0.62%), 06/01/2021(2) | 200,000 | 197,792 | ||||||
3.40%, 06/01/2021 | 6,795,000 | 6,761,588 | ||||||
SBA Tower Trust | ||||||||
2.90%, 10/15/2044(1) | 1,650,000 | 1,640,301 | ||||||
2.88%, 07/15/2046(1) | 3,000,000 | 2,944,471 | ||||||
3.17%, 04/15/2047(1) | 2,825,000 | 2,776,527 | ||||||
3.45%, 03/15/2048(1) | 600,000 | 596,086 | ||||||
3.87%, 10/15/2049(1) | 10,376,000 | 10,296,212 | ||||||
Siam Commercial Bank PCL/Cayman Islands | ||||||||
3.50%, 04/07/2019(1) | 300,000 | 300,023 | ||||||
Sirius International Group Ltd. | ||||||||
4.60%, 11/01/2026(1) | 1,140,000 | 977,550 |
SITE Centers Corp. | ||||||||
3.63%, 02/01/2025 | 1,914,000 | 1,828,351 | ||||||
4.25%, 02/01/2026 | 2,500,000 | 2,454,321 | ||||||
4.70%, 06/01/2027 | 8,000,000 | 8,048,793 | ||||||
SL Green Operating Partnership LP | ||||||||
3.25%, 10/15/2022 | 6,000,000 | 5,796,884 | ||||||
SL Green Realty Corp. | ||||||||
4.50%, 12/01/2022 | 850,000 | 860,171 | ||||||
Societe Generale SA | ||||||||
4.25%, 04/14/2025(1) | 11,125,000 | 10,652,757 | ||||||
4.25%, 04/14/2025 | 5,185,000 | 4,964,903 | ||||||
4.75%, 11/24/2025(1) | 9,285,000 | 9,176,077 | ||||||
6.75% (5 Year Swap Rate USD + 3.93%), 10/06/2163(1)(2) | 400,000 | 340,100 | ||||||
7.38% (5 Year Swap Rate USD + 4.30%), 04/04/2164(1)(2) | 4,100,000 | 3,818,125 | ||||||
Springleaf Finance Corp. | ||||||||
5.25%, 12/15/2019 | 3,414,000 | 3,422,125 | ||||||
6.00%, 06/01/2020 | 290,000 | 290,725 | ||||||
8.25%, 12/15/2020 | 7,030,000 | 7,276,050 | ||||||
7.75%, 10/01/2021 | 4,360,000 | 4,376,350 | ||||||
6.13%, 05/15/2022 | 3,036,000 | 2,944,040 | ||||||
5.63%, 03/15/2023 | 3,700,000 | 3,413,250 | ||||||
6.88%, 03/15/2025 | 363,000 | 324,885 | ||||||
Standard Chartered Plc | ||||||||
3.56% (3 Month LIBOR USD + 1.15%), 01/20/2023(1)(2) | 6,475,000 | 6,419,639 | ||||||
4.25% (3 Month LIBOR USD + 1.15%), 01/20/2023(1)(2) | 7,295,000 | 7,221,736 | ||||||
Starwood Property Trust Inc | ||||||||
4.75%, 03/15/2025 | 222,000 | 199,800 | ||||||
Stichting AK Rabobank Certificaten | ||||||||
6.50%, 03/29/2166 | EUR | 200,000 | 245,395 | |||||
Store Capital Corp. | ||||||||
4.50%, 03/15/2028 | $ | 128,000 | 123,736 | |||||
Synchrony Financial | ||||||||
3.00%, 08/15/2019 | 1,335,000 | 1,326,206 | ||||||
4.50%, 07/23/2025 | 2,778,000 | 2,534,317 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
4.38% (3 Month LIBOR USD + 2.66%), 09/15/2054(1)(2) | 4,500,000 | 4,563,388 | ||||||
TP ICAP Plc | ||||||||
5.25%, 01/26/2024 | GBP | 100,000 | 118,563 | |||||
Trinity Acquisition Plc | ||||||||
3.50%, 09/15/2021 | $ | 200,000 | 198,048 | |||||
UBS Group Funding Switzerland AG | ||||||||
2.86% (3 Month LIBOR USD + 0.95%), 08/15/2023(1)(2) | 1,110,000 | 1,067,528 | ||||||
UDR, Inc. | ||||||||
3.70%, 10/01/2020 | 3,500,000 | 3,514,284 | ||||||
4.63%, 01/10/2022 | 21,000 | 21,567 | ||||||
UniCredit SpA | ||||||||
7.83%, 12/04/2023(1) | 13,400,000 | 14,005,412 | ||||||
Unique Pub Finance Co. Plc | ||||||||
7.40%, 03/30/2024 | GBP | 3,107,000 | 4,314,503 | |||||
5.66%, 06/30/2027 | 4,004,728 | 5,549,210 | ||||||
Unum Group | ||||||||
3.88%, 11/05/2025 | $ | 4,925,000 | 4,806,349 | |||||
Vanke Real Estate Hong Kong Co. Ltd. | ||||||||
3.95%, 12/23/2019 | 4,620,000 | 4,629,148 | ||||||
Ventas Realty LP | ||||||||
2.70%, 04/01/2020 | 6,000,000 | 5,948,145 | ||||||
3.25%, 10/15/2026 | 7,052,000 | 6,551,052 | ||||||
3.85%, 04/01/2027 | 1,485,000 | 1,432,507 | ||||||
4.40%, 01/15/2029 | 5,710,000 | 5,685,044 |
Vereit Operating Partnership LP | ||||||||
3.00%, 02/06/2019 | 800,000 | 799,520 | ||||||
4.60%, 02/06/2024 | 3,740,000 | 3,780,889 | ||||||
4.88%, 06/01/2026 | 4,800,000 | 4,800,222 | ||||||
3.95%, 08/15/2027 | 4,155,000 | 3,859,466 | ||||||
Voya Financial, Inc. | ||||||||
3.13%, 07/15/2024 | 2,680,000 | 2,526,912 | ||||||
WEA Finance LLC | ||||||||
3.15%, 04/05/2022(1) | 3,000,000 | 2,954,646 | ||||||
WEA Finance LLC / Westfield UK & Europe Finance Plc | ||||||||
2.70%, 09/17/2019(1) | 7,709,000 | 7,674,987 | ||||||
Weingarten Realty Investors | ||||||||
3.25%, 08/15/2026 | 1,665,000 | 1,541,716 | ||||||
Wells Fargo & Co. | ||||||||
2.60%, 07/22/2020 | 310,000 | 306,945 | ||||||
2.63%, 07/22/2022 | 21,825,000 | 21,043,934 | ||||||
3.07%, 01/24/2023 | 640,000 | 623,329 | ||||||
3.76% (3 Month LIBOR USD + 1.23%), 10/31/2023(2) | 5,000,000 | 4,984,535 | ||||||
3.55%, 09/29/2025 | 1,290,000 | 1,250,429 | ||||||
3.00%, 04/22/2026 | 10,757,000 | 10,028,853 | ||||||
3.00%, 10/23/2026 | 770,000 | 713,189 | ||||||
3.58% (3 Month LIBOR USD + 1.31%), 05/22/2028(2) | 10,290,000 | 9,884,707 | ||||||
Wells Fargo Bank NA | ||||||||
2.40%, 01/15/2020 | 15,000,000 | 14,870,766 | ||||||
2.98% (3 Month LIBOR USD + 0.50%), 07/23/2021(2) | 1,200,000 | 1,193,158 | ||||||
3.33% (3 Month LIBOR USD + 0.49%), 07/23/2021(2) | 11,800,000 | 11,788,204 | ||||||
3.63%, 10/22/2021 | 6,000,000 | 6,035,240 | ||||||
Welltower, Inc. | ||||||||
4.13%, 04/01/2019 | 6,000,000 | 6,001,690 | ||||||
5.25%, 01/15/2022 | 950,000 | 987,541 | ||||||
3.95%, 09/01/2023 | 13,776,000 | 13,809,463 | ||||||
4.50%, 01/15/2024 | 650,000 | 666,513 | ||||||
4.00%, 06/01/2025 | 4,690,000 | 4,630,694 | ||||||
4.25%, 04/15/2028 | 321,000 | 317,951 | ||||||
WeWork Cos., Inc. | ||||||||
7.88%, 05/01/2025(1) | 264,000 | 234,300 | ||||||
Willis North America, Inc. | ||||||||
3.60%, 05/15/2024 | 9,380,000 | 9,157,594 | ||||||
WPC Eurobond BV | ||||||||
2.25%, 04/09/2026 | EUR | 1,300,000 | 1,470,226 | |||||
2.13%, 04/15/2027 | 400,000 | 438,714 | ||||||
Yanlord Land HK Co. Ltd. | ||||||||
6.75%, 04/23/2023 | $ | 5,200,000 | 5,098,356 | |||||
|
| |||||||
1,903,638,826 | ||||||||
|
| |||||||
Industrials - 2.14% | ||||||||
3M Co. | ||||||||
3.00%, 09/14/2021 | 4,260,000 | 4,294,250 | ||||||
Amcor Finance USA, Inc. | ||||||||
3.63%, 04/28/2026(1) | 2,990,000 | 2,832,826 | ||||||
4.50%, 05/15/2028(1) | 4,100,000 | 4,077,193 | ||||||
Arconic, Inc. | ||||||||
6.15%, 08/15/2020 | 2,730,000 | 2,784,796 | ||||||
5.87%, 02/23/2022 | 1,320,000 | 1,339,111 | ||||||
Ardagh Packaging Finance Plc / Ardagh Holdings USA, Inc. | ||||||||
7.25%, 05/15/2024(1) | 2,800,000 | 2,793,000 | ||||||
Arrow Electronics, Inc. | ||||||||
3.50%, 04/01/2022 | 480,000 | 473,527 | ||||||
3.25%, 09/08/2024 | 83,000 | 77,276 | ||||||
4.00%, 04/01/2025 | 3,622,000 | 3,529,475 | ||||||
Associated Materials LLC / AMH New Finance Inc. | ||||||||
9.00%, 01/01/2024(1) | 1,400,000 | 1,351,000 |
Autoridad del Canal de Panama | ||||||||
4.95%, 07/29/2035(1) | 200,000 | 203,502 | ||||||
Aviation Capital Group Corp. | ||||||||
2.88%, 01/20/2022(1) | 8,669,000 | 8,387,937 | ||||||
4.88%, 10/01/2025(1) | 2,789,000 | 2,786,807 | ||||||
Avnet, Inc. | ||||||||
3.75%, 12/01/2021 | 2,210,000 | 2,222,767 | ||||||
4.88%, 12/01/2022 | 5,855,000 | 5,979,842 | ||||||
4.63%, 04/15/2026 | 11,320,000 | 11,065,222 | ||||||
Avolon Holdings Funding Ltd. | ||||||||
5.50%, 01/15/2023(1) | 1,830,000 | 1,775,100 | ||||||
5.13%, 10/01/2023(1) | 8,648,000 | 8,258,840 | ||||||
BAE Systems Holdings, Inc. | ||||||||
6.38%, 06/01/2019(1) | 9,333,000 | 9,441,130 | ||||||
Ball Corp. | ||||||||
4.38%, 12/15/2020 | 752,000 | 754,820 | ||||||
4.00%, 11/15/2023 | 750,000 | 729,375 | ||||||
Berry Global, Inc. | ||||||||
4.50%, 02/15/2026(1) | 959,000 | 877,485 | ||||||
Boral Finance Pty Ltd. | ||||||||
3.00%, 11/01/2022(1) | 4,439,000 | 4,288,404 | ||||||
3.75%, 05/01/2028(1) | 3,520,000 | 3,273,833 | ||||||
Brambles USA, Inc. | ||||||||
4.13%, 10/23/2025(1) | 280,000 | 280,500 | ||||||
Canadian Pacific Railway Co. | ||||||||
4.50%, 01/15/2022 | 110,000 | 113,333 | ||||||
Caterpillar Financial Services Corp. | ||||||||
2.95%, 05/15/2020 | 8,590,000 | 8,582,883 | ||||||
3.15%, 09/07/2021 | 3,615,000 | 3,624,371 | ||||||
Caterpillar, Inc. | ||||||||
3.90%, 05/27/2021 | 3,110,000 | 3,166,168 | ||||||
CCCI Treasure Ltd. | ||||||||
3.50% (5 Year CMT Rate + 7.19%), 12/29/2049(2) | 200,000 | 196,558 | ||||||
Clean Harbors, Inc. | ||||||||
5.13%, 06/01/2021 | 930,000 | 927,675 | ||||||
CRCC Yupeng Ltd. | ||||||||
3.95% (5 Year CMT Rate + 7.25%), 02/28/2049(2) | 200,000 | 199,300 | ||||||
Crown Americas LLC / Crown Americas Capital Corp. V | ||||||||
4.25%, 09/30/2026 | 610,000 | 547,475 | ||||||
CSCEC Finance Cayman II Ltd. | ||||||||
2.25%, 06/14/2019 | 1,900,000 | 1,885,193 | ||||||
DAE Funding LLC | ||||||||
4.00%, 08/01/2020(1) | 3,406,000 | 3,320,850 | ||||||
5.25%, 11/15/2021(1) | 3,901,000 | 3,837,609 | ||||||
4.50%, 08/01/2022(1) | 222,000 | 213,120 | ||||||
5.75%, 11/15/2023(1) | 4,150,000 | 4,108,500 | ||||||
5.00%, 08/01/2024(1) | 8,031,000 | 7,769,992 | ||||||
Eastern Creation Investment Holdings Ltd. | ||||||||
3.63%, 03/20/2019 | 200,000 | 199,931 | ||||||
Embraer Netherlands Finance BV | ||||||||
5.40%, 02/01/2027 | 7,085,000 | 7,315,333 | ||||||
Embraer Overseas Ltd. | ||||||||
5.70%, 09/16/2023(1) | 3,575,000 | 3,722,505 | ||||||
Flex Ltd. | ||||||||
4.63%, 02/15/2020 | 280,000 | 281,381 | ||||||
Fortress Transportation & Infrastructure Investors LLC | ||||||||
6.75%, 03/15/2022(1) | 3,400,000 | 3,408,500 | ||||||
6.50%, 10/01/2025(1) | 1,960,000 | 1,832,600 | ||||||
GATX Corp. | ||||||||
4.85%, 06/01/2021 | 220,000 | 227,016 |
General Dynamics Corp. | ||||||||
3.00%, 05/11/2021 | 10,865,000 | 10,888,346 | ||||||
General Electric Capital Co. | ||||||||
2.20%, 01/09/2020 | 6,431,000 | 6,336,668 | ||||||
5.55%, 05/04/2020 | 154,000 | 156,617 | ||||||
4.63%, 01/07/2021 | 9,310,000 | 9,333,745 | ||||||
3.10%, 01/09/2023 | 166,000 | 154,887 | ||||||
3.45%, 05/15/2024 | 62,000 | 58,234 | ||||||
6.88%, 01/10/2039 | 27,000 | 28,270 | ||||||
General Electric Co. | ||||||||
0.00% (3 Month EURIBOR + 0.30%), 05/28/2020(2) | EUR | 150,000 | 168,307 | |||||
4.65%, 10/17/2021 | $ | 2,500,000 | 2,507,390 | |||||
0.38%, 05/17/2022 | EUR | 300,000 | 323,676 | |||||
5.55%, 01/05/2026 | $ | 7,838,000 | 7,669,866 | |||||
6.15%, 08/07/2037 | 36,000 | 35,150 | ||||||
5.00% (3 Month LIBOR USD + 3.33%), 12/29/2049(2) | 6,590,000 | 5,041,350 | ||||||
Graphic Packaging International LLC | ||||||||
4.13%, 08/15/2024 | 50,000 | 47,000 | ||||||
Harris Corp. | ||||||||
3.00% (3 Month LIBOR USD + 0.48%), 04/30/2020(2) | 100,000 | 99,716 | ||||||
Heathrow Funding Ltd. | ||||||||
4.88%, 07/15/2021(1) | 6,920,000 | 7,096,758 | ||||||
ICTSI Treasury BV | ||||||||
5.88%, 09/17/2025 | 5,000,000 | 5,077,500 | ||||||
Itron, Inc. | ||||||||
5.00%, 01/15/2026(1) | 800,000 | 732,000 | ||||||
Jabil, Inc. | ||||||||
4.70%, 09/15/2022 | 3,685,000 | 3,648,150 | ||||||
John Deere Capital Corp. | ||||||||
2.55%, 01/08/2021 | 3,340,000 | 3,309,551 | ||||||
Keysight Technologies, Inc. | ||||||||
4.55%, 10/30/2024 | 2,564,000 | 2,615,192 | ||||||
4.60%, 04/06/2027 | 4,945,000 | 4,966,496 | ||||||
Komatsu Finance America, Inc. | ||||||||
2.12%, 09/11/2020 | 200,000 | 195,819 | ||||||
2.44%, 09/11/2022 | 860,000 | 826,641 | ||||||
L3 Technologies, Inc. | ||||||||
4.40%, 06/15/2028 | 7,324,000 | 7,326,765 | ||||||
Martin Marietta Materials, Inc. | ||||||||
4.25%, 07/02/2024 | 265,000 | 268,182 | ||||||
Masco Corp. | ||||||||
3.50%, 04/01/2021 | 6,563,000 | 6,532,135 | ||||||
Multi-Color Corp. | ||||||||
4.88%, 11/01/2025(1) | 800,000 | 684,000 | ||||||
Norfolk Southern Co. | ||||||||
3.25%, 12/01/2021 | 160,000 | 160,414 | ||||||
Norfolk Southern Corp. | ||||||||
3.00%, 04/01/2022 | 480,000 | 476,740 | ||||||
Northrop Grumman Corp. | ||||||||
3.20%, 02/01/2027 | 2,000,000 | 1,876,419 | ||||||
3.25%, 01/15/2028 | 3,730,000 | 3,487,436 | ||||||
OI European Group BV | ||||||||
4.00%, 03/15/2023(1) | 216,000 | 201,960 | ||||||
Owens Corning | ||||||||
4.20%, 12/15/2022 | 35,000 | 34,749 | ||||||
Park Aerospace Holdings Ltd. | ||||||||
3.63%, 03/15/2021(1) | 261,000 | 251,213 | ||||||
5.25%, 08/15/2022(1) | 5,514,000 | 5,334,795 | ||||||
4.50%, 03/15/2023(1) | 667,000 | 623,645 | ||||||
5.50%, 02/15/2024(1) | 3,540,000 | 3,416,100 |
Pelabuhan Indonesia III Persero PT | ||||||||
4.50%, 05/02/2023(1) | 200,000 | 196,364 | ||||||
Penske Truck Leasing Co. LP / PTL Finance Corp. | ||||||||
3.20%, 07/15/2020(1) | 200,000 | 198,971 | ||||||
3.38%, 02/01/2022(1) | 3,395,000 | 3,356,954 | ||||||
4.88%, 07/11/2022(1) | 8,116,000 | 8,402,547 | ||||||
Republic Services, Inc. | ||||||||
2.90%, 07/01/2026 | 3,000,000 | 2,831,166 | ||||||
Reynolds Group Issuer, Inc. | ||||||||
5.75%, 10/15/2020 | 2,078,736 | 2,073,539 | ||||||
5.94% (3 Month LIBOR USD + 3.50%), 07/15/2021(1)(2) | 1,200,000 | 1,195,500 | ||||||
Sealed Air Corp. | ||||||||
5.25%, 04/01/2023(1) | 1,000,000 | 1,002,500 | ||||||
5.50%, 09/15/2025(1) | 1,545,000 | 1,525,688 | ||||||
SMBC Aviation Capital Finance DAC | ||||||||
2.65%, 07/15/2021(1) | 200,000 | 194,653 | ||||||
4.13%, 07/15/2023(1) | 13,215,000 | 13,274,247 | ||||||
Spirit AeroSystems, Inc. | ||||||||
3.59% (3 Month LIBOR USD + 0.80%), 06/15/2021(2) | 3,080,000 | 3,056,573 | ||||||
Textron, Inc. | ||||||||
3.17% (3 Month LIBOR USD + 0.55%), 11/10/2020(2) | 830,000 | 822,852 | ||||||
Triumph Group, Inc. | ||||||||
4.88%, 04/01/2021 | 1,208,000 | 1,084,180 | ||||||
5.25%, 06/01/2022 | 482,000 | 419,340 | ||||||
Union Pacific Corp. | ||||||||
3.95%, 09/10/2028 | 4,640,000 | 4,636,570 | ||||||
United Technologies Co. | ||||||||
4.50%, 06/01/2042 | 2,250,000 | 2,122,600 | ||||||
United Technologies Corp. | ||||||||
1.90%, 05/04/2020 | 5,360,000 | 5,259,222 | ||||||
3.28% (3 Month LIBOR USD + 0.65%), 08/16/2021(2) | 820,000 | 816,918 | ||||||
3.35%, 08/16/2021 | 10,950,000 | 10,919,919 | ||||||
3.65%, 08/16/2023 | 1,306,000 | 1,300,800 | ||||||
4.13%, 11/16/2028 | 5,400,000 | 5,362,018 | ||||||
Votorantim Cimentos SA | ||||||||
7.25%, 04/05/2041(1) | 7,306,000 | 7,470,385 | ||||||
WRKCo., Inc. | ||||||||
3.00%, 09/15/2024(1) | 4,000,000 | 3,767,925 | ||||||
|
| |||||||
322,641,624 | ||||||||
|
| |||||||
Technology—1.45% | ||||||||
Analog Devices, Inc. | ||||||||
2.85%, 03/12/2020 | 3,925,000 | 3,910,718 | ||||||
Apple, Inc. | ||||||||
1.90%, 02/07/2020 | 5,640,000 | 5,590,375 | ||||||
1.55%, 08/04/2021 | 11,090,000 | 10,752,347 | ||||||
4.65%, 02/23/2046 | 1,250,000 | 1,329,218 | ||||||
Broadcom Corp. / Broadcom Cayman Finance Ltd. | ||||||||
2.38%, 01/15/2020 | 15,514,000 | 15,318,563 | ||||||
2.20%, 01/15/2021 | 115,000 | 111,175 | ||||||
3.00%, 01/15/2022 | 21,072,000 | 20,264,144 | ||||||
3.63%, 01/15/2024 | 19,646,000 | 18,585,832 | ||||||
3.13%, 01/15/2025 | 1,050,000 | 948,298 | ||||||
3.88%, 01/15/2027 | 9,330,000 | 8,375,492 | ||||||
Cadence Design Systems, Inc. | ||||||||
4.38%, 10/15/2024 | 3,153,000 | 3,180,731 | ||||||
Change Healthcare Holdings LLC / Change Healthcare Finance, Inc. | ||||||||
5.75%, 03/01/2025(1) | 780,000 | 727,350 | ||||||
Dell International LLC / EMC Corp. | ||||||||
3.48%, 06/01/2019(1) | 10,545,000 | 10,513,872 | ||||||
4.42%, 06/15/2021(1) | 3,045,000 | 3,041,869 | ||||||
6.02%, 06/15/2026 | 4,100,000 | 4,120,402 |
Diamond 1 Finance Co. / Diamond 2 Finance Co. | ||||||||
6.02%, 06/15/2026(1) | 6,790,000 | 6,823,788 | ||||||
EMC Corp. | ||||||||
2.65%, 06/01/2020 | 6,718,000 | 6,451,155 | ||||||
Exela Intermediate LLC / Exela Finance, Inc. | ||||||||
10.00%, 07/15/2023(1) | 300,000 | 286,500 | ||||||
Hewlett Packard Enterprise Co. | ||||||||
3.06% (3 Month LIBOR USD + 0.72%), 10/05/2021(2) | 2,500,000 | 2,478,244 | ||||||
Intel Corp. | ||||||||
1.70%, 05/19/2021 | 2,215,000 | 2,152,459 | ||||||
3.30%, 10/01/2021 | 4,055,000 | 4,097,312 | ||||||
2.70%, 12/15/2022 | 8,055,000 | 7,933,450 | ||||||
International Business Machines Co. | ||||||||
2.25%, 02/19/2021 | 10,858,000 | 10,638,867 | ||||||
IQVIA, Inc. | ||||||||
2.88%, 09/15/2025(1) | EUR | 100,000 | 108,428 | |||||
5.00%, 10/15/2026(1) | $ | 1,350,000 | 1,289,250 | |||||
Microchip Technology, Inc. | ||||||||
3.92%, 06/01/2021(1) | 1,670,000 | 1,656,557 | ||||||
4.33%, 06/01/2023(1) | 15,130,000 | 14,757,151 | ||||||
Microsoft Corp. | ||||||||
1.85%, 02/06/2020 | 400,000 | 397,051 | ||||||
1.85%, 02/12/2020 | 6,280,000 | 6,225,839 | ||||||
NetApp, Inc. | ||||||||
3.38%, 06/15/2021 | 490,000 | 488,127 | ||||||
3.30%, 09/29/2024 | 62,000 | 59,020 | ||||||
NXP BV / NXP Funding LLC | ||||||||
4.13%, 06/15/2020(1) | 459,000 | 456,865 | ||||||
4.13%, 06/01/2021(1) | 2,828,000 | 2,792,650 | ||||||
3.88%, 09/01/2022(1) | 3,395,000 | 3,259,200 | ||||||
4.88%, 03/01/2024(1) | 2,530,000 | 2,541,107 | ||||||
Oracle Co. | ||||||||
2.80%, 07/08/2021 | 10,685,000 | 10,632,759 | ||||||
Oracle Corp. | ||||||||
1.90%, 09/15/2021 | 15,010,000 | 14,566,195 | ||||||
3.25%, 11/15/2027 | 1,980,000 | 1,910,815 | ||||||
Seagate HDD Cayman | ||||||||
4.75%, 01/01/2025 | 3,297,000 | 2,925,239 | ||||||
4.88%, 06/01/2027 | 855,000 | 726,004 | ||||||
5.75%, 12/01/2034 | 1,022,000 | 795,888 | ||||||
VMware, Inc. | ||||||||
2.30%, 08/21/2020 | 1,230,000 | 1,204,525 | ||||||
2.95%, 08/21/2022 | 2,540,000 | 2,420,922 | ||||||
3.90%, 08/21/2027 | 160,000 | 142,002 | ||||||
Western Digital Corp. | ||||||||
4.75%, 02/15/2026 | 872,000 | 756,460 | ||||||
|
| |||||||
217,744,215 | ||||||||
|
| |||||||
Utilities—1.88% | ||||||||
AEP Texas, Inc. | ||||||||
3.85%, 10/01/2025(1) | 1,500,000 | 1,496,897 | ||||||
AEP Transmission Co. LLC | ||||||||
3.10%, 12/01/2026 | 1,575,000 | 1,522,593 | ||||||
American Electric Power Co., Inc. | ||||||||
2.15%, 11/13/2020 | 330,000 | 323,354 | ||||||
2.95%, 12/15/2022 | 400,000 | 392,204 | ||||||
American Transmission Systems, Inc. | ||||||||
5.25%, 01/15/2022(1) | 100,000 | 105,080 | ||||||
American Water Capital Corp. | ||||||||
4.20%, 09/01/2048 | 1,425,000 | 1,388,229 |
Ausgrid Finance Pty Ltd. | ||||||||
3.85%, 05/01/2023(1) | 9,410,000 | 9,388,543 | ||||||
4.35%, 08/01/2028(1) | 1,725,000 | 1,720,350 | ||||||
Baltimore Gas & Electric Co. | ||||||||
2.80%, 08/15/2022 | 570,000 | 558,659 | ||||||
Black Hills Corp. | ||||||||
4.35%, 05/01/2033 | 6,250,000 | 6,268,969 | ||||||
British Transco International Finance BV | ||||||||
0.00%, 11/04/2021 | 400,000 | 354,416 | ||||||
Chugoku Electric Power Co., Inc. | ||||||||
2.70%, 03/16/2020 | 900,000 | 893,017 | ||||||
Cleco Power LLC | ||||||||
6.00%, 12/01/2040 | 1,000,000 | 1,130,071 | ||||||
Duke Energy Carolinas LLC | ||||||||
4.25%, 12/15/2041 | 1,650,000 | 1,656,349 | ||||||
3.88%, 03/15/2046 | 2,750,000 | 2,582,510 | ||||||
3.70%, 12/01/2047 | 2,500,000 | 2,274,129 | ||||||
Duke Energy Corp. | ||||||||
3.11% (3 Month LIBOR USD + 0.50%), 05/14/2021(1)(2) | 546,000 | 543,403 | ||||||
2.65%, 09/01/2026 | 2,160,000 | 1,967,517 | ||||||
Duke Energy Progress LLC | ||||||||
3.25%, 08/15/2025 | 2,613,000 | 2,543,848 | ||||||
3.70%, 09/01/2028 | 4,050,000 | 4,093,647 | ||||||
4.10%, 03/15/2043 | 900,000 | 873,225 | ||||||
4.20%, 08/15/2045 | 1,000,000 | 984,929 | ||||||
Duquesne Light Holdings, Inc. | ||||||||
6.40%, 09/15/2020(1) | 400,000 | 417,080 | ||||||
5.90%, 12/01/2021(1) | 1,500,000 | 1,586,928 | ||||||
Emera U.S. Finance LP | ||||||||
2.70%, 06/15/2021 | 338,000 | 329,265 | ||||||
Enel Americas SA | ||||||||
4.00%, 10/25/2026 | 2,600,000 | 2,422,056 | ||||||
Enel Chile SA | ||||||||
4.88%, 06/12/2028 | 3,820,000 | 3,810,450 | ||||||
Enel Finance International NV | ||||||||
2.75%, 04/06/2023(1) | 8,060,000 | 7,435,472 | ||||||
3.63%, 05/25/2027(1) | 3,175,000 | 2,802,356 | ||||||
Entergy Corp. | ||||||||
5.13%, 09/15/2020 | 3,022,000 | 3,083,824 | ||||||
4.00%, 07/15/2022 | 925,000 | 933,078 | ||||||
Entergy Texas, Inc. | ||||||||
7.13%, 02/01/2019 | 4,000,000 | 4,011,047 | ||||||
Eskom Holdings SOC Ltd. | ||||||||
6.35%, 08/10/2028(1) | 8,275,000 | 7,961,394 | ||||||
Eversource Energy | ||||||||
2.75%, 03/15/2022 | 2,634,000 | 2,576,858 | ||||||
Exelon Corp. | ||||||||
2.85%, 06/15/2020 | 2,975,000 | 2,950,973 | ||||||
FirstEnergy Corp. | ||||||||
2.85%, 07/15/2022 | 2,075,000 | 2,022,250 | ||||||
3.90%, 07/15/2027 | 11,095,000 | 10,751,914 | ||||||
FirstEnergy Transmission LLC | ||||||||
4.35%, 01/15/2025(1) | 7,535,000 | 7,616,836 | ||||||
Indiana Michigan Power Co. | ||||||||
3.20%, 03/15/2023 | 3,000,000 | 2,969,210 | ||||||
Infraestructura Energetica Nova SAB de CV | ||||||||
3.75%, 01/14/2028(1) | 1,685,000 | 1,463,844 | ||||||
4.88%, 01/14/2048(1) | 1,045,000 | 819,165 | ||||||
IPALCO Enterprises, Inc. | ||||||||
3.45%, 07/15/2020 | 280,000 | 279,599 |
ITC Holdings Corp. | ||||||||
2.70%, 11/15/2022 | 610,000 | 589,580 | ||||||
4.05%, 07/01/2023 | 3,812,000 | 3,873,955 | ||||||
3.25%, 06/30/2026 | 2,000,000 | 1,882,714 | ||||||
Jersey Central Power & Light Co. | ||||||||
4.70%, 04/01/2024(1) | 150,000 | 156,159 | ||||||
4.30%, 01/15/2026(1) | 1,000,000 | 1,007,643 | ||||||
Kansas City Power & Light Co. | ||||||||
3.65%, 08/15/2025 | 3,550,000 | 3,530,529 | ||||||
KeySpan Gas East Corp. | ||||||||
2.74%, 08/15/2026(1) | 4,500,000 | 4,192,010 | ||||||
LG&E & KU Energy LLC | ||||||||
4.38%, 10/01/2021 | 500,000 | 508,098 | ||||||
Metropolitan Edison Co. | ||||||||
4.00%, 04/15/2025(1) | 4,000,000 | 4,032,045 | ||||||
MidAmerican Energy Co. | ||||||||
4.25%, 05/01/2046 | 949,000 | 965,154 | ||||||
NextEra Energy Capital Holdings, Inc. | ||||||||
2.40%, 09/15/2019 | 793,000 | 787,921 | ||||||
3.34%, 09/01/2020 | 3,400,000 | 3,406,150 | ||||||
3.06% (3 Month LIBOR USD + 0.48%), 05/04/2021(2) | 7,000,000 | 6,931,893 | ||||||
3.26% (3 Month LIBOR USD + 0.55%), 08/28/2021(2) | 9,000,000 | 8,885,956 | ||||||
NiSource, Inc. | ||||||||
2.65%, 11/17/2022 | 750,000 | 717,997 | ||||||
Northern States Power Co./MN | ||||||||
4.00%, 08/15/2045 | 1,000,000 | 975,906 | ||||||
3.60%, 09/15/2047 | 1,800,000 | 1,654,783 | ||||||
NRG Energy, Inc. | ||||||||
7.25%, 05/15/2026 | 950,000 | 989,187 | ||||||
5.75%, 01/15/2028 | 230,000 | 220,800 | ||||||
Pacific Gas & Electric Co. | ||||||||
3.50%, 10/01/2020 | 780,000 | 743,114 | ||||||
4.25%, 05/15/2021 | 161,000 | 152,258 | ||||||
3.25%, 09/15/2021 | 92,000 | 84,733 | ||||||
2.45%, 08/15/2022 | 398,000 | 352,709 | ||||||
3.25%, 06/15/2023 | 153,000 | 135,344 | ||||||
3.75%, 02/15/2024 | 31,000 | 27,497 | ||||||
2.95%, 03/01/2026 | 388,000 | 319,164 | ||||||
3.30%, 12/01/2027 | 200,000 | 163,305 | ||||||
6.25%, 03/01/2039 | 11,000 | 10,343 | ||||||
4.45%, 04/15/2042 | 29,000 | 23,196 | ||||||
3.75%, 08/15/2042 | 166,000 | 123,297 | ||||||
Pennsylvania Electric Co. | ||||||||
5.20%, 04/01/2020 | 780,000 | 799,404 | ||||||
Perusahaan Gas Negara Persero Tbk | ||||||||
5.13%, 05/16/2024 | 3,000,000 | 2,997,507 | ||||||
Perusahaan Gas Negara Persero Tbk PT | ||||||||
5.13%, 05/16/2024 | 2,100,000 | 2,098,255 | ||||||
Perusahaan Listrik Negara PT | ||||||||
5.45%, 05/21/2028(1) | 11,800,000 | 11,935,926 | ||||||
PPL WEM Ltd. / Western Power Distribution Ltd. | ||||||||
5.38%, 05/01/2021(1) | 2,615,000 | 2,700,071 | ||||||
Progress Energy, Inc. | ||||||||
4.40%, 01/15/2021 | 1,200,000 | 1,222,864 | ||||||
Public Service Co. of New Mexico | ||||||||
3.85%, 08/01/2025 | 7,000,000 | 6,910,667 | ||||||
Public Service Enterprise Group, Inc. | ||||||||
2.00%, 11/15/2021 | 600,000 | 576,157 | ||||||
2.65%, 11/15/2022 | 1,526,000 | 1,468,203 | ||||||
Puget Energy, Inc. | ||||||||
6.50%, 12/15/2020 | 2,903,000 | 3,066,303 |
Rockpoint Gas Storage Canada Ltd. | ||||||||
7.00%, 03/31/2023(1) | 30,000 | 28,200 | ||||||
Sempra Energy | ||||||||
3.25%, 06/15/2027 | 8,634,000 | 7,936,937 | ||||||
3.40%, 02/01/2028 | 3,037,000 | 2,776,564 | ||||||
3.80%, 02/01/2038 | 5,345,000 | 4,593,801 | ||||||
4.00%, 02/01/2048 | 760,000 | 653,258 | ||||||
SEMPRA ENERGY | ||||||||
2.40%, 03/15/2020 | 3,592,000 | 3,541,096 | ||||||
South Carolina Electric & Gas Co. | ||||||||
4.25%, 08/15/2028 | 5,000,000 | 5,181,009 | ||||||
Southern California Edison Co. | ||||||||
3.65%, 03/01/2028 | 40,000 | 38,911 | ||||||
6.65%, 04/01/2029 | 152,000 | 169,359 | ||||||
6.00%, 01/15/2034 | 20,000 | 22,333 | ||||||
5.75%, 04/01/2035 | 70,000 | 75,803 | ||||||
Southern Co. | ||||||||
3.10% (3 Month LIBOR USD + 0.49%), 02/14/2020(1)(2) | 11,500,000 | 11,480,453 | ||||||
2.35%, 07/01/2021 | 1,425,000 | 1,385,384 | ||||||
3.25%, 07/01/2026 | 8,000,000 | 7,497,866 | ||||||
Southern Co. Gas Capital Corp. | ||||||||
3.50%, 09/15/2021 | 3,700,000 | 3,696,868 | ||||||
4.40%, 05/30/2047 | 1,915,000 | 1,793,237 | ||||||
Southern Power Co. | ||||||||
3.34% (3 Month LIBOR USD + 0.55%), 12/20/2020(1)(2) | 600,000 | 592,599 | ||||||
Southwestern Electric Power Co. | ||||||||
4.10%, 09/15/2028 | 10,000,000 | 10,029,979 | ||||||
Spire, Inc. | ||||||||
3.54%, 02/27/2024 | 5,000,000 | 4,893,098 | ||||||
State Grid Overseas Investment 2014 Ltd. | ||||||||
4.13%, 05/07/2024 | 4,300,000 | 4,380,433 | ||||||
State Grid Overseas Investment 2016 Ltd. | ||||||||
2.75%, 05/04/2022(1) | 3,700,000 | 3,608,315 | ||||||
3.75%, 05/02/2023(1) | 4,235,000 | 4,267,818 | ||||||
Tucson Electric Power Co. | ||||||||
5.15%, 11/15/2021 | 2,515,000 | 2,634,276 | ||||||
3.05%, 03/15/2025 | 3,000,000 | 2,881,026 | ||||||
Vistra Operations Co. LLC | ||||||||
5.50%, 09/01/2026(1) | 2,730,000 | 2,627,625 | ||||||
WEC Energy Group, Inc. | ||||||||
3.38%, 06/15/2021 | 5,175,000 | 5,171,551 | ||||||
|
| |||||||
282,482,134 | ||||||||
|
| |||||||
Total Corporate Bonds (Cost $5,523,142,955) | $ | 5,397,063,596 | ||||||
|
| |||||||
Convertible Securities—0.31% | ||||||||
Communications—0.08% | ||||||||
Ctrip.com International Ltd. | ||||||||
1.25%, 09/15/2022 | 1,925,000 | 1,861,275 | ||||||
DISH Network Corp. | ||||||||
2.38%, 03/15/2024 | 6,330,000 | 5,039,731 | ||||||
3.38%, 08/15/2026 | 60,000 | 48,451 | ||||||
Finisar Corp. | ||||||||
0.50%, 12/15/2036 | 6,040,000 | 5,733,289 | ||||||
Liberty Media Corp. | ||||||||
2.25%, 09/30/2046 | 166,628 | 78,831 | ||||||
|
| |||||||
12,761,577 | ||||||||
|
| |||||||
Consumer, Cyclical—0.01% | ||||||||
Caesars Entertainment Corp. | ||||||||
5.00%, 10/01/2024 | 1,634,430 | 2,028,762 | ||||||
|
|
Consumer,Non-Cyclical—0.03% | ||||||||
BioMarin Pharmaceutical, Inc. | ||||||||
1.50%, 10/15/2020 | 165,000 | 183,563 | ||||||
0.60%, 08/01/2024 | 1,675,000 | 1,665,618 | ||||||
Ionis Pharmaceuticals, Inc. | ||||||||
1.00%, 11/15/2021 | 80,000 | 85,608 | ||||||
Macquarie Infrastructure Corp. | ||||||||
2.00%, 10/01/2023 | 3,485,000 | 3,015,564 | ||||||
|
| |||||||
4,950,353 | ||||||||
|
| |||||||
Diversified—0.01% | ||||||||
RWT Holdings, Inc. | ||||||||
5.63%, 11/15/2019 | 1,460,000 | 1,466,393 | ||||||
|
| |||||||
Energy—0.07% | ||||||||
Chesapeake Energy Corp. | ||||||||
5.50%, 09/15/2026 | 4,090,000 | 3,291,886 | ||||||
Nabors Industries, Inc. | ||||||||
0.75%, 01/15/2024 | 8,365,000 | 5,142,049 | ||||||
SM Energy Co. | ||||||||
1.50%, 07/01/2021 | 285,000 | 264,911 | ||||||
Whiting Petroleum Corp. | ||||||||
1.25%, 04/01/2020 | 900,000 | 850,874 | ||||||
|
| |||||||
9,549,720 | ||||||||
|
| |||||||
Financials—0.03% | ||||||||
iStar, Inc. | ||||||||
3.13%, 09/15/2022 | 5,160,000 | 4,649,366 | ||||||
|
| |||||||
Industrials—0.04% | ||||||||
Greenbrier Cos., Inc. | ||||||||
2.88%, 02/01/2024 | 1,278,000 | 1,255,819 | ||||||
Tutor Perini Corp. | ||||||||
2.88%, 06/15/2021 | 4,060,000 | 3,737,023 | ||||||
|
| |||||||
4,992,842 | ||||||||
|
| |||||||
Technology—0.04% | ||||||||
Nuance Communications, Inc. | ||||||||
1.00%, 12/15/2035 | 5,850,000 | 5,066,943 | ||||||
Rovi Corp. | ||||||||
0.50%, 03/01/2020 | 930,000 | 883,500 | ||||||
|
| |||||||
5,950,443 | ||||||||
|
| |||||||
Total Convertible Securities (Cost $52,515,162) | $ | 46,349,456 | ||||||
|
| |||||||
Government Related—26.62% | ||||||||
Abu Dhabi Government International Bond | ||||||||
2.50%, 10/11/2022(1) | 1,300,000 | 1,261,312 | ||||||
3.13%, 10/11/2027(1) | 2,400,000 | 2,292,096 | ||||||
4.13%, 10/11/2047(1) | 1,900,000 | 1,819,250 | ||||||
Africa Finance Corp. | ||||||||
3.88%, 04/13/2024(1) | 1,085,000 | 1,032,714 | ||||||
Argentina Bocon | ||||||||
41.33% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 0.00%), 10/04/2022(2) | ARS | 3,900,000 | 172,628 | |||||
Argentina Bonar Bonds | ||||||||
50.95% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 2.50%), 03/11/2019(2) | 1,300,000 | 34,452 | ||||||
48.80% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 3.25%), 03/01/2020(2) | 3,000,000 | 76,916 | ||||||
50.23% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 2.00%), 04/03/2022(2) | 163,749,000 | 4,065,463 | ||||||
Argentina POM Politica Monetaria | ||||||||
59.26% (Argentina Blended Historical Policy Rate + 0.00%), 06/21/2020(2) | 211,025,000 | 5,961,378 | ||||||
Argentine Republic Government International Bond | ||||||||
3.88%, 01/15/2022 | EUR | 16,200,000 | 15,582,470 | |||||
5.63%, 01/26/2022 | $ | 445,000 | 375,469 | |||||
4.63%, 01/11/2023 | 9,007,000 | 7,115,530 | ||||||
3.38%, 01/15/2023 | EUR | 1,100,000 | 989,356 |
7.50%, 04/22/2026 | $ | 150,000 | 120,187 | |||||
5.00%, 01/15/2027 | EUR | 1,900,000 | 1,565,236 | |||||
6.88%, 01/26/2027 | $ | 300,000 | 228,750 | |||||
5.25%, 01/15/2028 | EUR | 500,000 | 408,861 | |||||
7.82%, 12/31/2033 | 220,177 | 210,820 | ||||||
7.13%, 07/06/2036 | $ | 200,000 | 143,250 | |||||
2.26%, 12/31/2038(3) | EUR | 179,000 | 112,140 | |||||
2.50%, 12/31/2038(3) | $ | 8,856,000 | 4,853,177 | |||||
6.25%, 11/09/2047 | EUR | 200,000 | 162,005 | |||||
6.88%, 01/11/2048 | $ | 1,600,000 | 1,114,000 | |||||
Autonomous Community of Catalonia | ||||||||
4.95%, 02/11/2020 | EUR | 50,000 | 59,601 | |||||
4.90%, 09/15/2021 | 50,000 | 61,508 | ||||||
Bahamas Government International Bond | ||||||||
6.00%, 11/21/2028(1) | $ | 7,980,000 | 8,099,700 | |||||
City of Houston TX Combined Utility System Revenue | ||||||||
3.83%, 05/15/2028 | 2,540,000 | 2,615,209 | ||||||
City of New York NY | ||||||||
3.55%, 12/01/2028 | 3,645,000 | 3,596,230 | ||||||
Colombia Government International Bond | ||||||||
4.00%, 02/26/2024 | 9,540,000 | 9,444,600 | ||||||
4.50%, 01/28/2026 | 525,000 | 525,000 | ||||||
4.50%, 03/15/2029 | 9,865,000 | 9,751,552 | ||||||
Colombian TES | ||||||||
10.00%, 07/24/2024 | COP | 21,346,100,000 | 7,732,593 | |||||
7.50%, 08/26/2026 | 28,854,400,000 | 9,361,584 | ||||||
Commonwealth of Puerto Rico | ||||||||
5.00%, 07/01/2021 (12) | $ | 240,000 | 128,400 | |||||
4.13%, 07/01/2022 (12) | 100,000 | 52,000 | ||||||
5.70%, 07/01/2023 (12) | 170,000 | 90,525 | ||||||
5.25%, 07/01/2026 (12) | 200,000 | 109,000 | ||||||
5.00%, 07/01/2028 (12) | 20,000 | 10,900 | ||||||
5.13%, 07/01/2028 (12) | 30,000 | 16,200 | ||||||
5.38%, 07/01/2030 (12) | 165,000 | 88,275 | ||||||
5.13%, 07/01/2031 (12) | 2,590,000 | 1,398,600 | ||||||
5.50%, 07/01/2032 (12) | 1,610,000 | 869,400 | ||||||
8.00%, 07/01/2035 (12) | 800,000 | 430,000 | ||||||
5.13%, 07/01/2037 (12) | 190,000 | 101,175 | ||||||
5.25%, 07/01/2037 (12) | 100,000 | 54,500 | ||||||
5.75%, 07/01/2038 (12) | 80,000 | 43,200 | ||||||
6.00%, 07/01/2038 (12) | �� | 610,000 | 332,450 | |||||
5.50%, 07/01/2039 (12) | 520,000 | 278,200 | ||||||
6.00%, 07/01/2039 (12) | 55,000 | 29,700 | ||||||
6.50%, 07/01/2040 (12) | 30,000 | 16,125 | ||||||
5.00%, 07/01/2041 (12) | 395,000 | 210,337 | ||||||
5.75%, 07/01/2041 (12) | 100,000 | 53,500 | ||||||
Dominican Republic International Bond | ||||||||
6.60%, 01/28/2024 | 500,000 | 521,250 | ||||||
Egypt Government International Bond | ||||||||
5.58%, 02/21/2023(1) | 200,000 | 189,532 | ||||||
European Investment Bank | ||||||||
1.75%, 06/17/2019 | 2,850,000 | 2,839,667 | ||||||
2.38%, 05/13/2021 | 20,185,000 | 20,077,433 | ||||||
Hellenic Republic Government Bond | ||||||||
4.75%, 04/17/2019(1) | EUR | 9,230,000 | 10,684,947 | |||||
Indonesia Government International Bond | ||||||||
3.70%, 01/08/2022(1) | $ | 5,010,000 | 4,960,932 | |||||
3.75%, 04/25/2022(1) | 4,495,000 | 4,449,722 | ||||||
2.95%, 01/11/2023 | 1,895,000 | 1,808,943 | ||||||
4.13%, 01/15/2025 | 5,495,000 | 5,406,717 |
Inter-American Development Bank | ||||||||
2.63%, 04/19/2021 | 20,000,000 | 20,019,640 | ||||||
International Bank for Reconstruction & Development | ||||||||
2.75%, 07/23/2021 | 20,000,000 | 20,080,520 | ||||||
Kazakhstan Government International Bond | ||||||||
1.55%, 11/09/2023(1) | EUR | 430,000 | 494,693 | |||||
2.38%, 11/09/2028(1) | 1,600,000 | 1,812,648 | ||||||
Los Angeles Department of Water | ||||||||
6.01%, 07/01/2039 | $ | 675,000 | 819,133 | |||||
Massachusetts Educational Financing Authority | ||||||||
3.85%, 05/25/2033 | 5,180,619 | 5,242,165 | ||||||
Metropolitan Transportation Authority | ||||||||
7.34%, 11/15/2039 | 475,000 | 674,277 | ||||||
Metropolitan Water District of Southern California | ||||||||
6.54%, 07/01/2039 | 935,000 | 952,344 | ||||||
Metropolitan Water Reclamation District of Greater Chicago | ||||||||
5.72%, 12/01/2038 | 1,000,000 | 1,202,110 | ||||||
Mexico Government International Bond | ||||||||
4.00%, 10/02/2023 | 3,516,000 | 3,499,510 | ||||||
3.60%, 01/30/2025 | 1,060,000 | 1,011,240 | ||||||
4.13%, 01/21/2026 | 8,200,000 | 8,015,500 | ||||||
3.75%, 01/11/2028 | 7,650,000 | 7,160,476 | ||||||
New York City Transitional Finance Authority Future Tax Secured Revenue | ||||||||
2.80%, 02/01/2026 | 1,850,000 | 1,777,092 | ||||||
5.27%, 05/01/2027 | 3,500,000 | 3,922,240 | ||||||
3.73%, 08/01/2029 | 2,015,000 | 2,025,760 | ||||||
New York City Water & Sewer System | ||||||||
5.75%, 06/15/2041 | 240,000 | 300,146 | ||||||
5.95%, 06/15/2042 | 810,000 | 1,050,935 | ||||||
New York State Dormitory Authority | ||||||||
5.05%, 09/15/2027 | 1,800,000 | 2,023,308 | ||||||
5.50%, 03/15/2030 | 2,000,000 | 2,290,160 | ||||||
Oman Government International Bond | ||||||||
5.63%, 01/17/2028(1) | 500,000 | 440,188 | ||||||
Peru Government Bond | ||||||||
5.94%, 02/12/2029(1) | PEN | 21,282,000 | 6,396,920 | |||||
6.15%, 08/12/2032(1) | 12,400,000 | 3,734,541 | ||||||
Perusahaan Penerbit SBSN Indonesia III | ||||||||
4.35%, 09/10/2024 | $ | 400,000 | 397,000 | |||||
Peruvian Government International Bond | ||||||||
5.70%, 08/12/2024 | PEN | 8,000,000 | 2,459,967 | |||||
8.20%, 08/12/2026(1) | 5,600,000 | 1,953,558 | ||||||
Provincia de Buenos Aires/Argentina | ||||||||
53.68% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 3.75%, 27.00% Floor), 04/12/2025(1)(2) | ARS | 246,115,000 | 5,505,415 | |||||
Puerto Rico Electric Power Authority | ||||||||
6.05%, 07/01/2032 (12) | $ | 100,000 | 61,875 | |||||
Qatar Government International Bond | ||||||||
3.88%, 04/23/2023(1) | 1,700,000 | 1,719,261 | ||||||
4.50%, 04/23/2028 | 400,000 | 417,500 | ||||||
5.10%, 04/23/2048(1) | 1,000,000 | 1,050,250 | ||||||
Republic of South Africa Government International Bond | ||||||||
4.88%, 04/14/2026 | 700,000 | 665,182 | ||||||
Russian Foreign Bond—Eurobond | ||||||||
4.75%, 05/27/2026 | 600,000 | 594,005 | ||||||
Saudi Government International Bond | ||||||||
2.88%, 03/04/2023(1) | 2,200,000 | 2,114,741 | ||||||
4.00%, 04/17/2025(1) | 10,400,000 | 10,308,209 | ||||||
3.63%, 03/04/2028 | 600,000 | 567,426 | ||||||
4.50%, 04/17/2030(1) | 3,100,000 | 3,079,931 | ||||||
4.63%, 10/04/2047(1) | 1,600,000 | 1,460,048 | ||||||
5.00%, 04/17/2049(1) | 2,200,000 | 2,117,751 |
South Carolina Public Service Authority | ||||||||
2.39%, 12/01/2023 | 960,000 | 910,973 | ||||||
State Board of Administration Finance Corp. | ||||||||
2.16%, 07/01/2019 | 1,220,000 | 1,216,462 | ||||||
State of California | ||||||||
7.95%, 03/01/2036 | 4,085,000 | 4,312,780 | ||||||
State of Illinois | ||||||||
5.10%, 06/01/2033 | 640,000 | 610,195 | ||||||
6.73%, 04/01/2035 | 70,000 | 74,975 | ||||||
7.35%, 07/01/2035 | 55,000 | 60,964 | ||||||
State of Texas | ||||||||
4.68%, 04/01/2040 | 410,000 | 459,995 | ||||||
Svensk Exportkredit AB | ||||||||
1.13%, 08/28/2019 | 6,925,000 | 6,855,251 | ||||||
Texas Public Finance Authority | ||||||||
8.25%, 07/01/2024 | 5,360,000 | 5,447,904 | ||||||
Turkey Government International Bond | ||||||||
5.63%, 03/30/2021 | 800,000 | 799,941 | ||||||
7.25%, 12/23/2023 | 10,800,000 | 11,086,545 | ||||||
U.S. Treasury Inflation Indexed Bonds | ||||||||
0.13%, 04/15/2022(9) | 29,178,638 | 28,227,702 | ||||||
0.13%, 07/15/2024(9) | 11,699,245 | 11,219,560 | ||||||
0.75%, 07/15/2028(9) | 34,640,824 | 33,910,113 | ||||||
0.38%, 07/15/2025(9) | 10,525,171 | 10,147,539 | ||||||
1.00%, 02/15/2048(9) | 29,606,185 | 28,064,568 | ||||||
U.S. Treasury Note/Bond | ||||||||
2.50%, 06/30/2020 | 9,290,000 | 9,281,991 | ||||||
2.63%, 08/31/2020 | 49,120,000 | 49,179,359 | ||||||
2.75%, 09/30/2020 | 101,670,000 | 102,036,911 | ||||||
2.88%, 10/31/2020 | 51,090,000 | 51,400,901 | ||||||
1.38%, 04/30/2021 | 9,300,000 | 9,068,816 | ||||||
1.38%, 05/31/2021 | 19,300,000 | 18,800,880 | ||||||
2.63%, 07/15/2021 | 104,785,000 | 105,142,818 | ||||||
2.88%, 10/15/2021 | 29,680,000 | 29,990,411 | ||||||
2.88%, 10/31/2023 | 150,695,000 | 153,195,175 | ||||||
2.88%, 11/30/2023 | 121,785,000 | 123,899,278 | ||||||
2.00%, 05/31/2024 | 58,440,000 | 56,860,061 | ||||||
2.38%, 08/15/2024(11) | 39,200,000 | 38,841,438 | ||||||
2.88%, 05/31/2025(10) | 467,200,000 | 475,369,912 | ||||||
2.75%, 06/30/2025(10) | 720,000,000 | 727,466,191 | ||||||
2.88%, 07/31/2025(10) | 251,900,000 | 256,390,571 | ||||||
3.00%, 10/31/2025 | 92,550,000 | 94,987,051 | ||||||
2.63%, 12/31/2025 | 58,930,000 | 59,097,511 | ||||||
2.00%, 11/15/2026(11) | 44,737,000 | 42,735,252 | ||||||
2.25%, 02/15/2027(11) | 141,695,000 | 137,690,753 | ||||||
2.75%, 02/15/2028 | 40,500,000 | 40,739,107 | ||||||
2.88%, 05/15/2028 | 35,000,000 | 35,562,874 | ||||||
2.88%, 08/15/2028 | 44,165,000 | 44,879,386 | ||||||
3.13%, 11/15/2028 | 197,320,000 | 204,809,180 | ||||||
4.63%, 02/15/2040 | 18,930,000 | 24,024,737 | ||||||
2.50%, 02/15/2045 | 62,700,000 | 56,928,551 | ||||||
3.00%, 05/15/2045(11) | 36,855,000 | 36,851,118 | ||||||
2.50%, 02/15/2046 | 12,560,000 | 11,360,537 | ||||||
2.50%, 05/15/2046(11) | 11,105,000 | 10,033,575 | ||||||
2.88%, 11/15/2046 | 11,510,000 | 11,211,427 | ||||||
3.00%, 05/15/2047 | 8,820,000 | 8,797,692 | ||||||
2.75%, 08/15/2047 | 21,355,000 | 20,261,047 | ||||||
2.75%, 11/15/2047 | 47,780,000 | 45,290,827 | ||||||
3.00%, 02/15/2048 | 58,795,000 | 58,582,600 |
3.13%, 05/15/2048(10) | 12,780,000 | 13,045,074 | ||||||
3.00%, 08/15/2048(10) | 115,742,000 | 115,394,057 | ||||||
3.38%, 11/15/2048 | 269,080,000 | 288,230,004 | ||||||
University of California | ||||||||
4.60%, 05/15/2031 | 2,800,000 | 3,006,220 | ||||||
4.13%, 05/15/2045 | 190,000 | 190,682 | ||||||
Uruguay Government International Bond | ||||||||
4.38%, 10/27/2027 | 250,000 | 250,102 | ||||||
Venezuela Government International Bond | ||||||||
7.75%, 10/13/2019(12) | 100,000 | 22,720 | ||||||
6.00%, 12/09/2020(12) | 30,000 | 6,787 | ||||||
9.00%, 05/07/2023(12) | 7,515,000 | 1,672,088 | ||||||
8.25%, 10/13/2024(12) | 7,194,000 | 1,654,620 | ||||||
7.65%, 04/21/2025(12) | 534,000 | 121,485 | ||||||
11.75%, 10/21/2026(12) | 120,000 | 29,400 | ||||||
9.25%, 09/15/2027(12) | 1,049,000 | 243,892 | ||||||
9.25%, 05/07/2028(12) | 420,000 | 95,550 | ||||||
11.95%, 08/05/2031(12) | 3,200,000 | 752,000 | ||||||
7.00%, 03/31/2038(12) | 187,000 | 42,075 | ||||||
|
| |||||||
Total Government Related (Cost $3,965,373,857) | $ | 4,004,544,493 | ||||||
|
| |||||||
Mortgage-Backed Obligations—22.29% | ||||||||
225 Liberty Street Trust 2016-225L | ||||||||
3.60%, 02/12/2036(1) | 3,010,000 | 3,003,762 | ||||||
280 Park Avenue 2017-280P Mortgage Trust | ||||||||
3.34% (1 Month LIBOR USD + 0.88%, 0.88% Floor), 09/15/2034(1)(2) | 2,670,000 | 2,643,318 | ||||||
Alternative Loan Trust 2003-22CB | ||||||||
5.75%, 12/25/2033 | 767,882 | 776,835 | ||||||
6.00%, 12/25/2033 | 219,653 | 217,085 | ||||||
Alternative Loan Trust 2004-16CB | ||||||||
5.50%, 07/25/2034 | 522,322 | 535,527 | ||||||
5.50%, 08/25/2034 | 602,884 | 617,177 | ||||||
Alternative Loan Trust2005-56 | ||||||||
3.05% (1 Month LIBOR USD + 0.73%, 0.73% Floor), 11/25/2035(2) | 6,322,268 | 6,341,033 | ||||||
Alternative Loan Trust 2005-74T1 | ||||||||
6.00%, 01/25/2036 | 15,001,687 | 12,256,717 | ||||||
Alternative Loan Trust 2006-HY12 | ||||||||
3.87%, 08/25/2036(4) | 362,306 | 369,589 | ||||||
Alternative Loan Trust 2006-OA17 | ||||||||
2.67% (1 Month LIBOR USD + 0.20%, 0.20% Floor), 12/20/2046(2) | 20,367,002 | 17,839,960 | ||||||
Alternative Loan Trust 2006-OA22 | ||||||||
2.72% (1 Month LIBOR USD + 0.21%, 0.21% Floor), 02/25/2047(2) | 18,731,881 | 17,467,846 | ||||||
Alternative Loan Trust2006-OA3 | ||||||||
2.71% (1 Month LIBOR USD + 0.20%, 0.20% Floor), 05/25/2036(2) | 7,346,015 | 6,447,225 | ||||||
Alternative Loan Trust2006-OA7 | ||||||||
3.10% (12 Month US Treasury Average + 0.94%, 0.94% Floor), 06/25/2046(2) | 15,782,974 | 13,846,551 | ||||||
Alternative Loan Trust 2007-HY7C | ||||||||
2.65% (1 Month LIBOR USD + 0.14%, 0.14% Floor), 08/25/2047(2) | 3,878,882 | 3,511,313 | ||||||
Alternative Loan Trust2007-OA2 | ||||||||
2.64% (1 Month LIBOR USD + 0.13%, 0.13% Floor), 03/25/2047(2) | 14,286,876 | 11,438,641 | ||||||
3.00% (12 Month U.S. Treasury Average + 0.84%, 0.84% Floor), 03/25/2047(2) | 34,006,694 | 28,095,953 | ||||||
AREIT 2018-CRE1 Trust | ||||||||
5.54% (1 Month LIBOR USD + 3.10%, 3.10% Floor), 02/15/2035(1)(2) | 4,800,000 | 4,801,675 | ||||||
Ashford Hospitality Trust 2018-ASHF | ||||||||
3.36% (1 Month LIBOR USD + 0.90%, 0.90% Floor), 04/16/2035(1)(2) | 1,302,512 | 1,292,634 | ||||||
3.71% (1 Month LIBOR USD + 1.25%, 1.25% Floor), 04/16/2035(1)(2) | 1,530,000 | 1,514,213 | ||||||
3.86% (1 Month LIBOR USD + 1.40%, 1.40% Floor), 04/16/2035(1)(2) | 715,000 | 705,666 | ||||||
Ashford Hospitality Trust 2018-KEYS | ||||||||
3.46% (1 Month LIBOR USD + 1.00%, 1.00% Floor), 06/15/2035(1)(2) | 6,850,000 | 6,811,386 | ||||||
Atrium Hotel Portfolio Trust | ||||||||
3.39% (1 Month LIBOR USD + 0.93%), 11/15/2019(1)(2) | 3,120,000 | 3,092,558 | ||||||
3.96% (1 Month LIBOR USD + 1.50%), 12/15/2036(1)(2) | 1,095,000 | 1,085,503 |
Aventura Mall Trust | ||||||||
4.11%, 07/09/2040(1)(4) | 10,180,000 | 10,503,127 | ||||||
BAMLL Commercial Mortgage Securities Trust 2018-PARK | ||||||||
4.09%, 08/12/2038(1)(4) | 16,890,000 | 17,552,411 | ||||||
BAMLLRe-REMIC Trust 2016-RRLD11 | ||||||||
5.93%, 06/17/2019(1)(4) | 100,000 | 42,000 | ||||||
5.93%, 06/17/2050(1)(4) | 4,468,543 | 4,472,244 | ||||||
Banc of America Commercial Mortgage Trust2007-5 | ||||||||
6.03%, 02/10/2051(4) | 9,293,439 | 9,378,397 | ||||||
Banc of America Funding2015-R7 Trust | ||||||||
2.59% (12 Month US Treasury Average + 0.92%), 09/26/2046(1)(2) | 1,589,823 | 1,597,318 | ||||||
Banc of America Funding2015-R8 Trust | ||||||||
2.89%, 11/27/2046(1)(4) | 2,428,985 | 2,444,617 | ||||||
Bank 2017-BNK4 | ||||||||
4.00%, 05/17/2050 | 960,000 | 958,174 | ||||||
Bank 2017-BNK5 | ||||||||
3.90%, 06/17/2060(4) | 1,167,000 | 1,144,145 | ||||||
Bank 2017-BNK9 | ||||||||
4.03%, 11/17/2054(4) | 3,910,000 | 3,898,921 | ||||||
BBCCRE Trust2015-GTP | ||||||||
4.55%, 08/12/2033(1)(4) | 2,715,000 | 2,736,268 | ||||||
BBCMS Trust2018-CBM | ||||||||
3.46% (1 Month LIBOR USD + 1.00%, 1.00% Floor), 07/15/2037(1)(2) | 2,945,000 | 2,931,173 | ||||||
BCAP LLC2014-RR2 | ||||||||
2.55% (1 Month LIBOR USD + 0.24%, 0.24% Floor), 10/28/2036(1)(2) | 17,013,772 | 15,747,211 | ||||||
Bear StearnsALT-A Trust2005-1 | ||||||||
3.63% (1 Month LIBOR USD + 1.13%, 0.75% Floor, 11.50% Cap), 01/25/2035(2) | 6,750,000 | 5,973,944 | ||||||
Bear Stearns ARM Trust2003-3 | ||||||||
4.19%, 05/25/2033(4) | 775,037 | 788,821 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 2006-TOP24 | ||||||||
5.66%, 10/12/2041(1)(4) | 3,794,194 | 3,574,878 | ||||||
BX Trust2017-IMC | ||||||||
4.71% (1 Month LIBOR USD + 2.25%, 2.25% Floor), 10/15/2032(1)(2) | 1,440,000 | 1,418,495 | ||||||
BX Trust2018-GW | ||||||||
3.26% (1 Month LIBOR USD + 0.80%, 0.80% Floor), 05/15/2037(1)(2) | 4,785,000 | 4,681,527 | ||||||
BXP Trust2017-GM | ||||||||
3.38%, 06/15/2039(1) | 6,185,000 | 6,039,932 | ||||||
CD2007-CD5 Mortgage Trust | ||||||||
6.22%, 11/15/2044(1)(4) | 9,680,000 | 9,784,458 | ||||||
CD2017-CD6 Mortgage Trust | ||||||||
3.46%, 11/15/2050 | 1,695,000 | 1,667,986 | ||||||
CD2018-CD7 Mortgage Trust | ||||||||
4.85%, 08/17/2051(4) | 8,190,000 | 8,220,240 | ||||||
CGBAM Commercial Mortgage Trust 2015-SMRT | ||||||||
2.81%, 04/12/2028(1) | 1,500,000 | 1,494,959 | ||||||
CGGS Commercial Mortgage Trust2018-WSS | ||||||||
3.36% (1 Month LIBOR USD + 0.90%, 0.90% Floor), 02/17/2037(1)(2) | 3,950,000 | 3,885,906 | ||||||
3.56%, 02/17/2037 | 1,715,000 | 1,683,478 | ||||||
3.81% (1 Month LIBOR USD + 1.35%, 1.35% Floor), 02/17/2037(1)(2) | 1,580,000 | 1,546,882 | ||||||
4.76% (1 Month LIBOR USD + 2.30%, 2.30% Floor), 02/17/2037(1)(2) | 3,870,000 | 3,794,815 | ||||||
CGRBS Commercial Mortgage Trust 2013-VN05 | ||||||||
3.37%, 03/15/2035(1) | 2,880,000 | 2,910,352 | ||||||
CHL Mortgage Pass-Through Trust Resecuritization2008-3R | ||||||||
6.00%, 08/25/2037(1) | 8,262,381 | 6,721,274 | ||||||
CIM Trust | ||||||||
2.30%, 05/25/2057(1)(4) | 3,164,966 | 3,131,722 | ||||||
4.35% (1 Month LIBOR USD + 2.00%, 2.00% Floor), 10/25/2057(1)(2) | 5,663,946 | 5,678,262 | ||||||
CIM Trust2018-R4 | ||||||||
4.07%, 12/25/2057(1)(4) | 21,635,126 | 21,390,063 |
CIM Trust2018-R5 | ||||||||
3.75%, 07/25/2058(1)(4) | 17,498,680 | 17,492,990 | ||||||
CIM Trust2018-R6 | ||||||||
3.43% (1 Month LIBOR USD + 1.08%, 1.08% Floor), 09/25/2058(1)(2) | 21,173,306 | 21,279,088 | ||||||
Citigroup Commercial Mortgage Trust 2015-GC27 | ||||||||
2.69%, 02/12/2048 | 1,700,000 | 1,689,443 | ||||||
3.57%, 02/12/2048 | 430,000 | 428,568 | ||||||
Citigroup Commercial Mortgage Trust 2015-GC33 | ||||||||
4.11%, 09/12/2058 | 1,350,000 | 1,383,810 | ||||||
Citigroup Commercial Mortgage Trust2016-P3 | ||||||||
3.06%, 04/16/2049 | 1,225,000 | 1,189,532 | ||||||
Citigroup Commercial Mortgage Trust2018-B2 | ||||||||
4.67%, 03/10/2051(4) | 1,195,000 | 1,181,256 | ||||||
Citigroup Mortgage Loan Trust2018-A | ||||||||
4.00%, 01/25/2068(1)(4) | 1,285,117 | 1,286,237 | ||||||
Citigroup Mortgage Loan Trust2018-C | ||||||||
4.13%, 03/25/2059(1)(3) | 4,802,875 | 4,844,831 | ||||||
Civic Mortgage LLC2018-2 | ||||||||
4.35%, 11/25/2022(1)(3) | 476,048 | 476,303 | ||||||
Clavis Securities Plc | ||||||||
1.08% (3 Month LIBOR GBP + 0.17%), 12/15/2032(2) | GBP | 1,211,913 | 1,467,165 | |||||
CLNS Trust 2017-IKPR | ||||||||
3.20% (1 Month LIBOR USD + 0.80%, 0.80% Floor), 06/11/2032(1)(2) | $ | 315,000 | 313,030 | |||||
COLT2017-1 Mortgage Loan Trust | ||||||||
2.61%, 05/27/2047(1)(4) | 184,199 | 183,043 | ||||||
COLT2017-2 Mortgage Loan Trust | ||||||||
2.77%, 10/25/2047(1)(4) | 376,576 | 374,304 | ||||||
COLT2018-1 Mortgage Loan Trust | ||||||||
2.93%, 02/25/2048(1)(4) | 788,629 | 779,542 | ||||||
2.98%, 02/25/2048(1)(4) | 226,111 | 223,636 | ||||||
COLT2018-2 Mortgage Loan Trust | ||||||||
3.47%, 07/27/2048(1)(4) | 4,325,868 | 4,306,481 | ||||||
4.19%, 07/27/2048(1)(4) | 1,095,000 | 1,094,315 | ||||||
COLT2018-3 Mortgage Loan Trust | ||||||||
3.69%, 10/26/2048(1)(4) | 6,914,130 | 6,905,118 | ||||||
COLT2018-4 Mortgage Loan Trust | ||||||||
4.01%, 12/28/2048(1)(4) | 6,337,671 | 6,373,454 | ||||||
4.11%, 12/28/2048(1)(4) | 3,824,120 | 3,845,668 | ||||||
COMM 2013-300P Mortgage Trust | ||||||||
4.35%, 08/12/2030(1) | 720,000 | 756,013 | ||||||
COMM 2013-CCRE12 Mortgage Trust | ||||||||
4.05%, 10/15/2046 | 1,830,000 | 1,889,866 | ||||||
COMM2013-SFS Mortgage Trust | ||||||||
2.99%, 04/13/2035(1)(4) | 1,445,000 | 1,436,075 | ||||||
COMM 2014-277P Mortgage Trust | ||||||||
3.61%, 08/12/2049(1)(4) | 735,000 | 745,215 | ||||||
COMM 2014-CCRE20 Mortgage Trust | ||||||||
3.94%, 11/13/2047 | 1,115,000 | 1,132,122 | ||||||
COMM 2014-LC15 Mortgage Trust | ||||||||
2.84%, 04/12/2047 | 993,841 | 992,716 | ||||||
COMM 2014-UBS2 Mortgage Trust | ||||||||
5.15%, 03/12/2047(4) | 800,000 | 808,419 | ||||||
COMM 2014-UBS4 Mortgage Trust | ||||||||
2.96%, 08/12/2047 | 2,588,416 | 2,584,145 | ||||||
3.69%, 08/12/2047 | 5,250,000 | 5,324,218 | ||||||
COMM 2014-UBS6 Mortgage Trust | ||||||||
4.47%, 12/10/2047(4) | 1,013,000 | 987,146 | ||||||
COMM 2015-CCRE23 Mortgage Trust | ||||||||
2.85%, 05/12/2048 | 6,805,000 | 6,772,972 |
COMM 2015-CCRE24 Mortgage Trust | ||||||||
3.70%, 08/10/2055 | 2,020,000 | 2,043,269 | ||||||
COMM 2015-CCRE25 Mortgage Trust | ||||||||
4.54%, 08/10/2048(4) | 964,000 | 941,971 | ||||||
4.54%, 08/12/2048(4) | 5,470,000 | 5,630,438 | ||||||
COMM 2015-CCRE26 Mortgage Trust | ||||||||
3.63%, 10/13/2048 | 4,055,000 | 4,083,724 | ||||||
COMM2015-DC1 Mortgage Trust | ||||||||
3.72%, 02/12/2048 | 2,495,000 | 2,463,384 | ||||||
COMM 2015-LC23 Mortgage Trust | ||||||||
4.16%, 10/13/2048(4) | 1,135,000 | 1,149,055 | ||||||
COMM2015-PC1 Mortgage Trust | ||||||||
3.90%, 07/10/2050 | 515,000 | 525,419 | ||||||
4.44%, 07/12/2050(4) | 440,000 | 442,606 | ||||||
COMM 2016-787S Mortgage Trust | ||||||||
3.55%, 02/12/2036(1) | 760,000 | 755,493 | ||||||
COMM 2017-COR2 Mortgage Trust | ||||||||
3.51%, 09/12/2050 | 3,110,000 | 3,056,306 | ||||||
COMM 2017-PANW Mortgage Trust | ||||||||
3.41%, 10/12/2029(1)(4) | 1,285,000 | 1,257,579 | ||||||
Commercial Mortgage Asset Trust | ||||||||
6.25%, 01/17/2032(1) | 294,678 | 293,941 | ||||||
Commercial Mortgage Pass Through Certificates | ||||||||
4.64%, 02/12/2047(4) | 5,465,000 | 5,387,401 | ||||||
Connecticut Avenue Securities Trust2018-R07 | ||||||||
3.26% (1 Month LIBOR USD + 0.75%), 04/25/2031(1)(2) | 2,594,234 | 2,590,231 | ||||||
Core Industrial Trust 2015-CALW | ||||||||
3.04%, 02/10/2034(1) | 3,131,564 | 3,120,322 | ||||||
Core Industrial Trust 2015-TEXW | ||||||||
3.08%, 02/10/2034(1) | 2,734,328 | 2,721,898 | ||||||
Countrywide Asset-Backed Certificates | ||||||||
3.31% (1 Month LIBOR USD + 0.80%, 0.40% Floor), 11/25/2035(2) | 71,088 | 71,115 | ||||||
Credit Suisse First Boston Mortgage Securities Co. | ||||||||
5.75%, 11/25/2033 | 116,550 | 118,299 | ||||||
CSAIL2015-C2 Commercial Mortgage Trust | ||||||||
3.85%, 06/15/2057(4) | 8,560,000 | 8,645,500 | ||||||
4.21%, 06/15/2057 | 1,630,000 | 1,642,745 | ||||||
CSAIL2015-C3 Commercial Mortgage Trust | ||||||||
3.72%, 08/17/2048 | 3,013,000 | 3,043,044 | ||||||
CSAIL2016-C6 Commercial Mortgage Trust | ||||||||
3.09%, 01/15/2049 | 840,000 | 812,406 | ||||||
CSAIL2016-C7 Commercial Mortgage Trust | ||||||||
3.96%, 11/18/2049(4) | 6,160,000 | 6,100,626 | ||||||
CSMC2014-USA OA LLC | ||||||||
4.37%, 09/17/2037(1) | 1,265,000 | 1,197,864 | ||||||
CSMC 2015-GLPB Trust | ||||||||
3.81%, 11/17/2034(1)(4) | 560,000 | 562,393 | ||||||
CSMC 2018-RPL2 Trust | ||||||||
4.03%, 08/25/2062(1)(3) | 2,930,110 | 2,917,905 | ||||||
CSMC 2018-RPL7 Trust | ||||||||
4.00%, 08/26/2058(1) | 1,794,421 | 1,791,161 | ||||||
CSMC Trust2013-5R | ||||||||
2.57% (1 Month LIBOR USD + 0.25%, 0.25% Floor), 02/27/2036(1)(2) | 10,481,283 | 10,092,972 | ||||||
CWALT, Inc.2007-OA4 | ||||||||
2.68% (1 Month LIBOR USD + 0.17%, 0.17% Floor), 05/25/2047(2) | 2,524,806 | 2,338,826 | ||||||
DBCG2017-BBG Mortgage Trust | ||||||||
3.16% (1 Month LIBOR USD + 0.70%, 0.70% Floor), 06/15/2034(1)(2) | 2,645,000 | 2,605,301 | ||||||
DBJPM17-C6 Mortgage Trust | ||||||||
3.79%, 06/10/2050(4) | 2,750,000 | 2,654,888 | ||||||
Deephaven Residential Mortgage Trust2018-1 | ||||||||
2.98%, 12/25/2057(1)(4) | 608,253 | 602,369 |
Deephaven Residential Mortgage Trust2018-2 | ||||||||
3.48%, 04/25/2058(1)(4) | 3,160,943 | 3,146,546 | ||||||
DeutscheAlt-A Securities, Inc. Mortgage Loan Trust Series2005-2 | ||||||||
2.91% (1 Month LIBOR USD + 0.40%, 0.40% Floor), 04/25/2035(2) | 5,992,309 | 5,710,454 | ||||||
Eleven Madison Trust 2015-11MD Mortgage Trust | ||||||||
3.55%, 09/12/2035(1)(4) | 3,110,000 | 3,127,869 | ||||||
Eurosail-UK2007-5np Plc | ||||||||
1.67% (3 Month LIBOR GBP + 0.77%), 09/13/2045(2) | GBP | 11,460,342 | 13,808,255 | |||||
Eurosail-UK2007-6nc Plc | ||||||||
1.60% (3 Month LIBOR GBP + 0.70%, 0.70% Floor), 09/13/2045(2) | 279,420 | 337,304 | ||||||
Fannie Mae Connecticut Avenue Securities | ||||||||
7.06% (1 Month LIBOR USD + 4.55%), 02/25/2025(2) | $ | 1,232,297 | 1,314,603 | |||||
3.86% (1 Month LIBOR USD + 1.35%, 1.35% Floor), 01/25/2029(2) | 39,382 | 39,438 | ||||||
3.81% (1 Month LIBOR USD + 1.30%), 05/25/2029(2) | 55,555 | 55,616 | ||||||
3.66% (1 Month LIBOR USD + 1.15%), 09/25/2029(2) | 662,904 | 664,390 | ||||||
5.31% (1 Month LIBOR USD + 2.80%, 2.80% Floor), 02/25/2030(2) | 985,000 | 1,002,395 | ||||||
5.01% (1 Month LIBOR USD + 2.50%, 2.50% Floor), 05/28/2030(2) | 2,445,000 | 2,439,492 | ||||||
4.71% (1 Month LIBOR USD + 2.20%, 2.20% Floor), 08/26/2030(2) | 1,210,000 | 1,177,264 | ||||||
4.66% (1 Month LIBOR USD + 2.15%, 2.15% Floor), 10/25/2030(2) | 2,370,000 | 2,315,793 | ||||||
5.06% (1 Month LIBOR USD + 2.55%, 2.55% Floor), 12/26/2030(2) | 7,075,000 | 6,983,213 | ||||||
3.23% (1 Month LIBOR USD + 0.72%, 0.72% Floor), 01/27/2031(2) | 7,042,044 | 7,025,353 | ||||||
4.86% (1 Month LIBOR USD + 2.35%, 2.35% Floor), 01/27/2031(2) | 3,915,000 | 3,815,907 | ||||||
3.06% (1 Month LIBOR USD + 0.55%, 0.55% Floor), 03/25/2031(2) | 3,992,366 | 3,980,393 | ||||||
4.61% (1 Month LIBOR USD + 2.10%, 2.10% Floor), 03/25/2031(2) | 1,980,000 | 1,906,110 | ||||||
Fannie Mae Pool | ||||||||
2.81%, 04/01/2025 | 980,000 | 971,778 | ||||||
3.89%, 08/01/2025 | 1,443,470 | 1,507,154 | ||||||
3.00%, 01/15/2026(5) | 4,325,000 | 4,315,716 | ||||||
4.19%, 11/01/2026 | 1,143,670 | 1,213,438 | ||||||
3.47%, 12/01/2026 | 2,916,706 | 2,971,165 | ||||||
3.22%, 01/01/2027 | 3,565,000 | 3,541,772 | ||||||
3.22%, 01/01/2027 | 3,565,000 | 3,541,772 | ||||||
2.50%, 01/15/2028(5) | 12,465,000 | 12,173,716 | ||||||
2.91%, 04/01/2028 | 1,967,088 | 1,906,862 | ||||||
2.82%, 05/01/2028 | 2,187,055 | 2,124,641 | ||||||
3.49%, 06/01/2028 | 8,500,000 | 8,581,697 | ||||||
2.68%, 08/01/2028 | 4,220,000 | 3,971,269 | ||||||
3.00%, 10/01/2028 | 437,372 | 437,805 | ||||||
3.24%, 06/01/2029 | 5,580,000 | 5,498,124 | ||||||
3.24%, 06/01/2029 | 5,420,000 | 5,340,472 | ||||||
3.10%, 08/01/2029 | 6,355,000 | 6,149,137 | ||||||
4.24%, 12/01/2029 | 11,715,371 | 12,471,174 | ||||||
3.00%, 05/01/2030 | 228,082 | 228,309 | ||||||
2.50%, 07/01/2030 | 691,099 | 676,730 | ||||||
2.50%, 07/01/2030 | 910,917 | 891,980 | ||||||
2.50%, 08/01/2030 | 1,720,897 | 1,685,141 | ||||||
3.55%, 08/01/2030 | 1,511,415 | 1,530,735 | ||||||
3.00%, 09/01/2030 | 2,577,662 | 2,580,229 | ||||||
3.00%, 12/01/2030 | 1,010,573 | 1,011,579 | ||||||
3.00%, 09/01/2031 | 927,761 | 926,399 | ||||||
2.50%, 11/01/2031 | 2,219,227 | 2,168,250 | ||||||
3.50%, 11/01/2031 | 3,312,430 | 3,365,281 | ||||||
3.00%, 06/01/2032 | 2,138,974 | 2,135,838 | ||||||
3.00%, 07/01/2032 | 1,613,164 | 1,610,798 | ||||||
3.25%, 07/01/2032 | 4,192,951 | 4,096,738 | ||||||
3.50%, 07/01/2032 | 3,114,035 | 3,152,665 | ||||||
3.00%, 08/01/2032 | 783,360 | 782,211 | ||||||
3.00%, 09/01/2032 | 4,238,889 | 4,232,675 | ||||||
3.50%, 11/01/2032 | 2,229,438 | 2,260,798 | ||||||
3.00%, 04/01/2033 | 5,257 | 5,132 |
3.50%, 05/01/2033 | 3,587,098 | 3,631,596 | ||||||
3.00%, 06/01/2033 | 13,536 | 13,195 | ||||||
3.00%, 10/01/2033 | 2,431,336 | 2,421,404 | ||||||
6.00%, 03/01/2034 | 2,312,579 | 2,522,587 | ||||||
5.50%, 05/01/2034 | 1,947,604 | 2,098,588 | ||||||
5.50%, 07/01/2034 | 477,937 | 515,116 | ||||||
3.50%, 02/01/2035 | 180,818 | 183,234 | ||||||
5.00%, 07/01/2035 | 958,528 | 1,019,534 | ||||||
4.50%, 11/01/2035 | 409,928 | 426,870 | ||||||
3.50%, 01/01/2036 | 1,675,603 | 1,707,312 | ||||||
5.00%, 02/01/2036 | 1,532,539 | 1,627,961 | ||||||
6.00%, 06/01/2036 | 14,875 | 16,232 | ||||||
5.50%, 07/01/2036 | 183,924 | 198,172 | ||||||
3.00%, 11/01/2036 | 261,441 | 258,916 | ||||||
3.00%, 11/01/2036 | 2,155,842 | 2,132,462 | ||||||
3.00%, 11/01/2036 | 1,849,025 | 1,831,169 | ||||||
3.00%, 12/01/2036 | 2,363,143 | 2,340,323 | ||||||
3.00%, 12/01/2036 | 335,126 | 331,890 | ||||||
3.00%, 10/01/2037 | 54,425 | 53,899 | ||||||
3.21%, 11/01/2037 | 11,363,982 | 10,730,481 | ||||||
3.50%, 01/01/2038 | 8,796,614 | 8,914,236 | ||||||
3.00%, 03/01/2038 | 3,849,212 | 3,812,021 | ||||||
6.00%, 07/01/2038 | 1,554,574 | 1,696,503 | ||||||
6.00%, 10/01/2038 | 90,295 | 98,777 | ||||||
5.50%, 12/01/2039 | 398,970 | 425,527 | ||||||
5.50%, 03/01/2040 | 2,221,445 | 2,393,714 | ||||||
5.00%, 05/01/2040 | 37,544 | 39,718 | ||||||
6.50%, 05/01/2040 | 544,916 | 621,147 | ||||||
5.00%, 06/01/2040 | 12,127 | 12,860 | ||||||
4.50%, 08/01/2040 | 118,531 | 124,213 | ||||||
4.50%, 09/01/2040 | 45,102 | 47,263 | ||||||
4.00%, 11/01/2040 | 3,282,582 | 3,373,079 | ||||||
4.00%, 11/01/2040 | 415,571 | 427,448 | ||||||
4.00%, 11/01/2040 | 111,773 | 114,968 | ||||||
4.50%, 11/01/2040 | 2,985,361 | 3,128,477 | ||||||
4.00%, 12/01/2040 | 278,653 | 286,617 | ||||||
4.00%, 01/01/2041 | 202,996 | 208,798 | ||||||
4.50%, 01/01/2041 | 30,247 | 31,697 | ||||||
3.50%, 01/15/2041(5) | 800,000 | 800,111 | ||||||
4.00%, 02/01/2041 | 203,432 | 209,247 | ||||||
4.00%, 02/01/2041 | 666,172 | 685,213 | ||||||
4.00%, 02/01/2041 | 897,785 | 924,007 | ||||||
4.50%, 02/01/2041 | 406,177 | 425,646 | ||||||
5.00%, 02/01/2041 | 914,493 | 967,526 | ||||||
5.50%, 06/01/2041 | 415,232 | 448,217 | ||||||
5.00%, 07/01/2041 | 1,116,929 | 1,186,063 | ||||||
6.00%, 07/01/2041 | 7,129,715 | 7,759,562 | ||||||
4.50%, 08/01/2041 | 50,274 | 52,683 | ||||||
5.00%, 08/01/2041 | 412,138 | 437,656 | ||||||
4.00%, 09/01/2041 | 407,594 | 419,236 | ||||||
4.50%, 11/01/2041 | 794,194 | 831,160 | ||||||
3.50%, 12/01/2041 | 81,935 | 82,597 | ||||||
4.00%, 01/01/2042 | 57,922 | 59,577 | ||||||
4.00%, 01/01/2042 | 3,685,654 | 3,791,025 | ||||||
4.00%, 02/01/2042 | 96,042 | 98,785 | ||||||
5.50%, 02/01/2042 | 1,637,997 | 1,743,804 | ||||||
5.50%, 02/01/2042 | 1,002,577 | 1,068,156 | ||||||
4.00%, 03/01/2042 | 3,679,859 | 3,788,663 | ||||||
5.00%, 03/01/2042 | 629,367 | 668,087 | ||||||
3.50%, 06/01/2042 | 74,737 | 75,202 |
3.50%, 06/01/2042 | 113,522 | 114,229 | ||||||
3.48%, 07/01/2042 | 4,208,783 | 4,046,976 | ||||||
3.50%, 07/01/2042 | 101,592 | 102,224 | ||||||
3.50%, 07/01/2042 | 719,466 | 723,941 | ||||||
3.50%, 08/01/2042 | 198,086 | 199,318 | ||||||
3.50%, 09/01/2042 | 223,279 | 224,670 | ||||||
3.50%, 09/01/2042 | 284,569 | 286,339 | ||||||
3.50%, 10/01/2042 | 627,629 | 631,536 | ||||||
2.50%, 12/01/2042 | 294,109 | 278,862 | ||||||
3.50%, 12/01/2042 | 1,374,822 | 1,383,396 | ||||||
3.50%, 12/01/2042 | 2,265,905 | 2,280,017 | ||||||
2.50%, 01/01/2043 | 900,890 | 854,194 | ||||||
2.50%, 01/01/2043 | 672,991 | 638,131 | ||||||
3.00%, 01/01/2043 | 13,856 | 13,623 | ||||||
3.50%, 01/01/2043 | 317,257 | 319,240 | ||||||
2.50%, 02/01/2043 | 549,096 | 520,636 | ||||||
3.00%, 02/01/2043 | 16,523 | 16,245 | ||||||
3.00%, 02/01/2043 | 798,843 | 785,471 | ||||||
3.00%, 03/01/2043 | 16,587 | 16,308 | ||||||
3.00%, 03/01/2043 | 31,559 | 31,030 | ||||||
3.00%, 03/01/2043 | 142,614 | 140,217 | ||||||
3.50%, 03/01/2043 | 1,315,450 | 1,323,637 | ||||||
2.50%, 04/01/2043 | 393,708 | 373,302 | ||||||
3.00%, 04/01/2043 | 15,134 | 14,881 | ||||||
3.00%, 04/01/2043 | 921,257 | 906,749 | ||||||
3.50%, 04/01/2043 | 122,289 | 123,118 | ||||||
3.50%, 05/01/2043 | 522,623 | 525,887 | ||||||
3.00%, 06/01/2043 | 3,620,478 | 3,561,540 | ||||||
3.50%, 06/01/2043 | 164,762 | 166,099 | ||||||
3.50%, 06/01/2043 | 1,961,428 | 1,977,348 | ||||||
3.50%, 06/01/2043 | 1,014,982 | 1,022,870 | ||||||
3.50%, 07/01/2043 | 201,598 | 203,233 | ||||||
3.50%, 07/01/2043 | 137,919 | 138,714 | ||||||
3.00%, 08/01/2043 | 9,442,124 | 9,288,332 | ||||||
3.00%, 08/01/2043 | 340,069 | 334,358 | ||||||
3.00%, 08/01/2043 | 180,553 | 177,474 | ||||||
3.50%, 08/01/2043 | 126,795 | 127,586 | ||||||
3.50%, 08/01/2043 | 143,020 | 144,133 | ||||||
3.50%, 09/01/2043 | 569,828 | 574,447 | ||||||
4.00%, 09/01/2043 | 2,190,753 | 2,248,760 | ||||||
3.50%, 10/01/2043 | 382,148 | 384,526 | ||||||
5.50%, 10/01/2043 | 744,853 | 805,469 | ||||||
4.00%, 12/01/2043 | 4,180,630 | 4,284,526 | ||||||
3.50%, 01/01/2044 | 9,359,777 | 9,418,215 | ||||||
3.50%, 01/01/2044 | 203,359 | 204,627 | ||||||
3.50%, 01/01/2044 | 1,248,324 | 1,260,619 | ||||||
3.00%, 02/01/2044 | 42,533 | 41,806 | ||||||
3.50%, 03/01/2044 | 264,856 | 266,874 | ||||||
5.50%, 05/01/2044 | 7,972,040 | 8,576,999 | ||||||
5.50%, 05/01/2044 | 510,932 | 550,483 | ||||||
4.50%, 06/01/2044 | 637,266 | 663,865 | ||||||
3.50%, 07/01/2044 | 936,569 | 943,542 | ||||||
4.50%, 08/01/2044 | 711,587 | 741,273 | ||||||
3.00%, 09/01/2044 | 71,278 | 70,081 | ||||||
5.00%, 11/01/2044 | 3,748,441 | 3,980,757 | ||||||
4.50%, 02/01/2045 | 689,800 | 718,528 | ||||||
5.00%, 02/01/2045 | 1,539,367 | 1,640,098 | ||||||
3.00%, 04/01/2045 | 35,453 | 34,828 | ||||||
3.50%, 04/01/2045 | 73,353 | 73,653 | ||||||
3.50%, 04/01/2045 | 1,811,613 | 1,818,841 |
3.00%, 05/01/2045 | 1,476,668 | 1,449,445 | ||||||
3.00%, 05/01/2045 | 715,784 | 704,509 | ||||||
3.50%, 05/01/2045 | 2,071,441 | 2,079,706 | ||||||
3.50%, 05/01/2045 | 2,468,174 | 2,477,895 | ||||||
3.50%, 06/01/2045 | 2,644,799 | 2,655,214 | ||||||
3.50%, 06/01/2045 | 3,233,710 | 3,246,112 | ||||||
4.00%, 06/01/2045 | 8,944,176 | 9,138,170 | ||||||
4.50%, 06/01/2045 | 436,785 | 456,769 | ||||||
3.00%, 07/01/2045 | 6,866,757 | 6,717,799 | ||||||
3.00%, 07/01/2045 | 1,106,427 | 1,083,957 | ||||||
3.50%, 07/01/2045 | 3,191,017 | 3,203,585 | ||||||
4.00%, 07/01/2045 | 1,229,688 | 1,255,639 | ||||||
5.00%, 07/01/2045 | 792,022 | 840,914 | ||||||
3.50%, 08/01/2045 | 70,316 | 70,586 | ||||||
4.00%, 09/01/2045 | 146,381 | 149,455 | ||||||
4.00%, 09/01/2045 | 191,905 | 195,946 | ||||||
3.50%, 10/01/2045 | 445,048 | 446,686 | ||||||
4.00%, 10/01/2045 | 3,798,087 | 3,878,052 | ||||||
3.50%, 11/01/2045 | 476,281 | 478,009 | ||||||
3.50%, 11/01/2045 | 8,611,129 | 8,642,380 | ||||||
3.50%, 12/01/2045 | 1,670,564 | 1,676,540 | ||||||
3.50%, 12/01/2045 | 10,066,289 | 10,082,550 | ||||||
4.00%, 12/01/2045 | 188,312 | 192,893 | ||||||
4.00%, 12/01/2045 | 1,305,773 | 1,337,541 | ||||||
4.00%, 12/01/2045 | 767,238 | 783,154 | ||||||
4.00%, 12/01/2045 | 6,407,716 | 6,552,084 | ||||||
3.50%, 01/01/2046 | 40,333 | 40,483 | ||||||
3.50%, 01/01/2046 | 115,735 | 116,143 | ||||||
4.50%, 02/01/2046 | 3,303,840 | 3,441,615 | ||||||
3.00%, 03/01/2046 | 1,137,991 | 1,113,535 | ||||||
4.00%, 03/01/2046 | 1,972,263 | 2,014,400 | ||||||
4.50%, 03/01/2046 | 2,379,390 | 2,478,632 | ||||||
3.50%, 04/01/2046 | 751,529 | 754,024 | ||||||
3.00%, 06/01/2046 | 445,755 | 435,975 | ||||||
3.50%, 06/01/2046 | 3,976,063 | 3,990,284 | ||||||
3.50%, 06/01/2046 | 991,832 | 994,970 | ||||||
3.50%, 06/01/2046 | 2,091,826 | 2,098,223 | ||||||
3.50%, 06/01/2046 | 3,054,744 | 3,084,554 | ||||||
3.50%, 07/01/2046 | 1,987,773 | 1,993,857 | ||||||
3.00%, 08/01/2046 | 141,327 | 138,909 | ||||||
3.50%, 08/01/2046 | 907,126 | 910,136 | ||||||
3.00%, 09/01/2046 | 164,003 | 160,188 | ||||||
3.50%, 09/01/2046 | 8,203,497 | 8,216,745 | ||||||
4.00%, 09/01/2046 | 2,814,731 | 2,877,543 | ||||||
4.00%, 09/01/2046 | 111,880 | 114,236 | ||||||
3.00%, 10/01/2046 | 5,601,078 | 5,470,532 | ||||||
3.00%, 11/01/2046 | 972,410 | 950,650 | ||||||
3.00%, 11/01/2046 | 729,730 | 712,496 | ||||||
3.00%, 11/01/2046 | 1,962,139 | 1,915,796 | ||||||
3.00%, 11/01/2046 | 2,332,183 | 2,279,995 | ||||||
3.00%, 11/01/2046 | 2,263,787 | 2,211,024 | ||||||
3.00%, 11/01/2046 | 1,286,602 | 1,256,954 | ||||||
3.00%, 11/01/2046 | 2,551,760 | 2,494,657 | ||||||
3.00%, 11/01/2046 | 5,949,529 | 5,810,863 | ||||||
3.00%, 12/01/2046 | 2,987,159 | 2,916,610 | ||||||
3.00%, 12/01/2046 | 1,565,897 | 1,528,915 | ||||||
3.00%, 12/01/2046 | 5,042,167 | 4,929,339 | ||||||
3.50%, 12/01/2046 | 4,801,790 | 4,813,513 | ||||||
3.50%, 12/01/2046 | 2,579,096 | 2,586,458 | ||||||
4.00%, 12/01/2046 | 6,782,600 | 6,919,845 |
3.00%, 01/01/2047 | 3,210,199 | 3,141,264 | ||||||
3.00%, 01/01/2047 | 4,292,765 | 4,191,381 | ||||||
3.50%, 01/01/2047 | 27,849,867 | 27,917,906 | ||||||
3.50%, 01/01/2047 | 1,221,086 | 1,224,319 | ||||||
3.50%, 01/01/2047 | 1,910,688 | 1,915,356 | ||||||
3.50%, 01/01/2047 | 5,292,223 | 5,307,874 | ||||||
3.00%, 02/01/2047 | 3,712,861 | 3,625,132 | ||||||
3.00%, 02/01/2047 | 6,697,095 | 6,538,854 | ||||||
3.50%, 02/01/2047 | 1,805,123 | 1,809,532 | ||||||
3.50%, 02/01/2047 | 1,390,097 | 1,393,493 | ||||||
4.00%, 02/01/2047 | 6,172,956 | 6,301,354 | ||||||
3.50%, 03/01/2047 | 263,516 | 264,159 | ||||||
4.00%, 03/01/2047 | 3,377,238 | 3,445,314 | ||||||
3.00%, 04/01/2047 | 2,493,756 | 2,437,928 | ||||||
3.50%, 04/01/2047 | 5,566,406 | 5,578,854 | ||||||
4.00%, 04/01/2047 | 3,813,975 | 3,890,759 | ||||||
4.00%, 05/01/2047 | 5,422,220 | 5,531,239 | ||||||
4.00%, 05/01/2047 | 4,034,799 | 4,128,972 | ||||||
3.50%, 06/01/2047 | 2,008,502 | 2,011,750 | ||||||
4.00%, 06/01/2047 | 6,156,282 | 6,279,906 | ||||||
4.00%, 06/01/2047 | 2,069,616 | 2,111,122 | ||||||
4.00%, 06/01/2047 | 6,169,520 | 6,293,092 | ||||||
4.00%, 07/01/2047 | 5,348,080 | 5,454,923 | ||||||
4.00%, 07/01/2047 | 1,620,545 | 1,653,045 | ||||||
3.00%, 08/01/2047 | 13,788,136 | 13,492,347 | ||||||
4.00%, 08/01/2047 | 3,506,773 | 3,576,922 | ||||||
4.00%, 08/01/2047 | 15,792,290 | 16,108,195 | ||||||
3.50%, 09/01/2047 | 10,826,349 | 10,832,777 | ||||||
3.50%, 09/01/2047 | 4,997,425 | 5,002,408 | ||||||
3.00%, 10/01/2047 | 4,836,715 | 4,722,417 | ||||||
3.00%, 11/01/2047 | 2,150,131 | 2,099,320 | ||||||
3.00%, 11/01/2047 | 7,299,398 | 7,133,457 | ||||||
3.50%, 11/01/2047 | 14,782,894 | 14,791,671 | ||||||
4.50%, 11/01/2047 | 3,847,921 | 4,029,117 | ||||||
3.50%, 12/01/2047 | 14,366,842 | 14,372,357 | ||||||
3.50%, 12/01/2047 | 5,567,751 | 5,581,076 | ||||||
3.00%, 01/01/2048 | 6,586,394 | 6,428,766 | ||||||
3.50%, 01/01/2048 | 4,127,035 | 4,141,391 | ||||||
3.50%, 01/01/2048 | 10,082,824 | 10,106,938 | ||||||
4.00%, 03/01/2048 | 1,872,018 | 1,909,306 | ||||||
3.50%, 04/01/2048 | 27,753,308 | 27,764,253 | ||||||
4.00%, 05/01/2048 | 4,028,230 | 4,108,470 | ||||||
4.50%, 05/01/2048 | 11,701,669 | 12,263,367 | ||||||
4.50%, 05/01/2048 | 2,340,866 | 2,440,331 | ||||||
4.50%, 05/01/2048 | 27,043,496 | 28,028,713 | ||||||
4.50%, 05/01/2048 | 22,032,338 | 22,841,573 | ||||||
4.00%, 06/01/2048 | 43,609,579 | 44,478,263 | ||||||
4.00%, 07/01/2048 | 5,699,895 | 5,813,437 | ||||||
5.00%, 07/01/2048 | 1,640,118 | 1,733,235 | ||||||
4.50%, 08/01/2048 | 8,209,023 | 8,505,570 | ||||||
4.50%, 08/01/2048 | 21,105,995 | 21,874,944 | ||||||
4.50%, 09/01/2048 | 1,874,876 | 1,943,170 | ||||||
3.50%, 08/01/2056 | 2,571,284 | 2,564,685 | ||||||
Fannie Mae REMICS | ||||||||
4.00%, 06/25/2044 | 2,105,245 | 2,162,829 | ||||||
3.50%, 01/25/2047 | 23,514,996 | 23,853,668 | ||||||
4.00%, 05/25/2047 | 10,136,532 | 10,445,305 | ||||||
3.50%, 06/25/2047 | 21,797,701 | 21,962,230 | ||||||
FannieMae-Aces | ||||||||
3.06%, 05/25/2027(4) | 7,700,000 | 7,542,039 | ||||||
3.38%, 07/25/2028(4) | 5,305,000 | 5,300,291 |
Flagstar Mortgage Trust2017-2 | ||||||||
4.14%, 10/25/2047(1)(4) | 1,333,266 | 1,346,280 | ||||||
Freddie Mac Gold Pool | ||||||||
3.50%, 01/15/2026(5) | 42,495,000 | 43,009,345 | ||||||
2.50%, 07/01/2030 | 1,469,029 | 1,436,225 | ||||||
3.00%, 03/01/2031 | 903,477 | 900,249 | ||||||
8.00%, 04/01/2032 | 217,716 | 252,834 | ||||||
3.00%, 12/01/2032 | 3,394,262 | 3,382,133 | ||||||
3.98%, 04/01/2034 | 9,396,580 | 9,564,170 | ||||||
3.00%, 02/01/2038 | 5,672,422 | 5,583,147 | ||||||
4.00%, 01/15/2041(5) | 595,000 | 606,560 | ||||||
4.50%, 01/15/2041(5) | 52,270,000 | 54,120,787 | ||||||
5.50%, 08/01/2041 | 7,683,629 | 8,336,505 | ||||||
5.00%, 11/01/2041 | 1,195,555 | 1,265,327 | ||||||
5.00%, 03/01/2042 | 431,938 | 460,956 | ||||||
4.50%, 07/01/2042 | 784,145 | 821,242 | ||||||
3.50%, 09/01/2042 | 490,669 | 493,530 | ||||||
3.50%, 11/01/2042 | 50,092 | 50,382 | ||||||
3.00%, 02/01/2043 | 863,184 | 848,420 | ||||||
3.00%, 02/01/2043 | 96,720 | 94,896 | ||||||
3.00%, 03/01/2043 | 18,407 | 18,061 | ||||||
3.00%, 03/01/2043 | 32,717 | 32,102 | ||||||
3.50%, 07/01/2043 | 436,068 | 438,596 | ||||||
3.50%, 10/01/2043 | 958,763 | 965,925 | ||||||
3.50%, 01/01/2044 | 1,149,344 | 1,158,165 | ||||||
4.50%, 05/01/2044 | 479,830 | 502,955 | ||||||
4.00%, 01/01/2045 | 2,276,736 | 2,340,062 | ||||||
4.50%, 06/01/2045 | 814,573 | 857,920 | ||||||
4.00%, 07/01/2045 | 732,476 | 748,231 | ||||||
3.50%, 10/01/2045 | 13,215,459 | 13,275,999 | ||||||
4.00%, 12/01/2045 | 4,788,359 | 4,916,675 | ||||||
4.50%, 02/01/2046 | 836,062 | 879,142 | ||||||
3.50%, 03/01/2046 | 1,205,127 | 1,210,647 | ||||||
3.00%, 04/01/2046 | 250,175 | 244,180 | ||||||
4.50%, 05/01/2046 | 903,785 | 950,357 | ||||||
3.00%, 06/01/2046 | 8,528,733 | 8,324,327 | ||||||
3.50%, 06/01/2046 | 8,922,915 | 8,926,055 | ||||||
4.50%, 06/01/2046 | 1,065,401 | 1,118,321 | ||||||
3.00%, 08/01/2046 | 10,231,247 | 9,986,036 | ||||||
3.50%, 08/01/2046 | 23,127,129 | 23,261,782 | ||||||
3.50%, 08/01/2046 | 13,783,291 | 13,786,718 | ||||||
3.00%, 09/01/2046 | 13,040,189 | 12,727,655 | ||||||
3.00%, 10/01/2046 | 6,766,887 | 6,604,707 | ||||||
3.00%, 11/01/2046 | 5,162,569 | 5,037,238 | ||||||
3.50%, 11/01/2046 | 3,025,765 | 3,035,179 | ||||||
3.00%, 12/01/2046 | 6,308,011 | 6,156,827 | ||||||
3.00%, 01/01/2047 | 12,193,907 | 11,891,037 | ||||||
3.00%, 02/01/2047 | 11,130,448 | 10,858,276 | ||||||
3.50%, 02/01/2047 | 1,578,507 | 1,581,707 | ||||||
4.50%, 02/01/2047 | 797,580 | 838,667 | ||||||
3.00%, 03/01/2047 | 6,575,752 | 6,417,056 | ||||||
3.50%, 04/01/2047 | 7,672,648 | 7,685,229 | ||||||
3.50%, 04/01/2047 | 17,709,370 | 17,774,073 | ||||||
3.00%, 08/01/2047 | 29,187,468 | 28,471,683 | ||||||
3.50%, 09/01/2047 | 26,788,959 | 26,801,752 | ||||||
3.50%, 10/01/2047 | 5,704,658 | 5,706,278 | ||||||
3.50%, 11/01/2047 | 3,958,604 | 3,958,960 | ||||||
3.50%, 11/01/2047 | 5,304,309 | 5,304,787 | ||||||
3.00%, 12/01/2047 | 7,429,894 | 7,244,832 |
3.50%, 12/01/2047 | 43,005,876 | 43,136,358 | ||||||
4.50%, 12/01/2047 | 5,990,175 | 6,207,023 | ||||||
3.00%, 01/01/2048 | 370,638 | 361,407 | ||||||
3.50%, 01/01/2048 | 25,290,426 | 25,414,245 | ||||||
3.50%, 01/01/2048 | 4,584,676 | 4,585,000 | ||||||
3.50%, 02/01/2048 | 4,338,604 | 4,338,410 | ||||||
3.50%, 03/01/2048 | 43,041,515 | 43,172,191 | ||||||
3.50%, 03/01/2048 | 41,062,466 | 41,142,572 | ||||||
3.50%, 03/01/2048 | 42,313,645 | 42,356,680 | ||||||
4.00%, 03/01/2048 | 11,519,846 | 11,819,088 | ||||||
4.00%, 06/01/2048 | 27,727,360 | 28,406,672 | ||||||
4.00%, 07/01/2048 | 13,995,465 | 14,357,897 | ||||||
4.00%, 07/01/2048 | 13,976,138 | 14,251,325 | ||||||
5.00%, 07/01/2048 | 3,461,561 | 3,624,251 | ||||||
4.00%, 08/01/2048 | 8,187,622 | 8,348,967 | ||||||
5.00%, 08/01/2048 | 2,135,078 | 2,236,935 | ||||||
5.00%, 09/01/2048 | 1,127,220 | 1,180,981 | ||||||
4.50%, 10/01/2048 | 20,263,751 | 20,990,409 | ||||||
5.00%, 10/01/2048 | 5,604,427 | 5,871,786 | ||||||
5.00%, 11/01/2048 | 8,892,266 | 9,317,343 | ||||||
Freddie Mac Multifamily Structured Pass Through Certificates | ||||||||
3.00%, 03/25/2025 | 19,838,760 | 19,770,364 | ||||||
3.11%, 06/25/2025 | 14,417,647 | 14,595,338 | ||||||
3.78%, 10/25/2028(4) | 12,000,000 | 12,396,180 | ||||||
3.75%, 04/25/2033 | 7,505,000 | 7,564,120 | ||||||
Freddie Mac Stacr Trust 2018-HQA2 | ||||||||
3.26% (1 Month LIBOR USD + 0.75%), 10/26/2048(1)(2) | 3,610,000 | 3,601,415 | ||||||
Freddie Mac Structured Agency Credit Risk Debt Notes | ||||||||
4.71% (1 Month LIBOR USD + 2.20%), 02/26/2024(2) | 378,088 | 385,041 | ||||||
4.16% (1 Month LIBOR USD + 1.65%), 04/25/2024(2) | 1,119,885 | 1,128,206 | ||||||
4.71% (1 Month LIBOR USD + 2.20%), 03/25/2025(2) | 42,242 | 42,317 | ||||||
4.36% (1 Month LIBOR USD + 1.85%), 10/25/2027(2) | 764,241 | 773,664 | ||||||
5.36% (1 Month LIBOR USD + 2.85%), 04/25/2028(2) | 2,876,881 | 2,955,350 | ||||||
5.41% (1 Month LIBOR USD + 2.90%), 07/25/2028(2) | 236,504 | 240,617 | ||||||
4.51% (1 Month LIBOR USD + 2.00%), 12/26/2028(2) | 677,543 | 683,648 | ||||||
3.31% (1 Month LIBOR USD + 0.80%), 03/26/2029(2) | 70,934 | 70,946 | ||||||
3.71% (1 Month LIBOR USD + 1.20%, 1.20% Floor), 07/25/2029(2) | 282,637 | 283,915 | ||||||
3.31% (1 Month LIBOR USD + 0.80%), 12/26/2029(2) | 274,189 | 274,004 | ||||||
5.16% (1 Month LIBOR USD + 2.65%), 12/26/2029(2) | 250,000 | 253,113 | ||||||
3.26% (1 Month LIBOR USD + 0.75%), 03/25/2030(2) | 1,431,486 | 1,427,134 | ||||||
2.96% (1 Month LIBOR USD + 0.45%), 07/25/2030(2) | 1,705,270 | 1,696,797 | ||||||
3.74%, 02/25/2048(1)(4) | 545,000 | 491,042 | ||||||
3.82%, 05/25/2048(1)(4) | 445,000 | 400,078 | ||||||
4.17%, 08/25/2048(1)(4) | 4,290,000 | 4,004,438 | ||||||
4.46%, 11/25/2048(1)(4) | 2,655,000 | 2,651,048 | ||||||
4.46%, 11/25/2048(1)(4) | 4,640,000 | 4,278,381 | ||||||
Freddie Mac Whole Loan Securities Trust | ||||||||
3.60%, 12/25/2046(1)(4) | 4,407,761 | 4,380,438 | ||||||
FREMF 2018-K731 Mortgage Trust | ||||||||
3.91%, 02/25/2025(1) | 1,515,000 | 1,503,764 | ||||||
GAHR Commercial Mortgage Trust2015-NRF | ||||||||
3.38%, 12/15/2019(1)(4) | 1,250,000 | 1,233,946 | ||||||
Galton Funding Mortgage Trust2017-1 | ||||||||
3.50%, 11/25/2057(1)(4) | 2,707,649 | 2,667,851 | ||||||
Ginnie Mae I Pool | ||||||||
7.50%, 08/15/2033 | 341,555 | 384,968 | ||||||
5.00%, 09/15/2039 | 47,758 | 50,640 | ||||||
5.00%, 10/15/2039 | 356,797 | 378,263 | ||||||
5.00%, 12/15/2039 | 571,006 | 605,533 | ||||||
5.00%, 02/15/2040 | 77,649 | 83,109 |
5.00%, 02/15/2040 | 77,649 | 83,109 | ||||||
5.00%, 06/15/2040 | 221,588 | 234,919 | ||||||
4.50%, 05/15/2041 | 592,129 | 623,629 | ||||||
5.00%, 09/15/2041 | 167,557 | 175,455 | ||||||
3.00%, 10/15/2042 | 210,412 | 207,996 | ||||||
3.00%, 12/15/2042 | 35,478 | 35,070 | ||||||
3.50%, 12/15/2042 | 12,350 | 12,492 | ||||||
3.50%, 01/15/2043 | 16,577 | 16,768 | ||||||
3.00%, 05/15/2043 | 118,153 | 117,197 | ||||||
3.00%, 06/15/2043 | 10,436 | 10,352 | ||||||
3.00%, 06/15/2043 | 10,641 | 10,555 | ||||||
3.50%, 10/15/2043 | 71,268 | 72,136 | ||||||
5.00%, 07/15/2044 | 215,006 | 228,309 | ||||||
4.50%, 09/15/2045 | 215,401 | 224,900 | ||||||
Ginnie Mae II Pool | ||||||||
5.50%, 07/20/2036 | 113,426 | 121,130 | ||||||
5.50%, 01/20/2040 | 237,982 | 253,691 | ||||||
5.00%, 05/20/2040 | 223,060 | 237,319 | ||||||
5.00%, 06/20/2040 | 118,678 | 127,585 | ||||||
5.00%, 08/20/2040 | 90,846 | 95,908 | ||||||
5.00%, 09/20/2040 | 77,997 | 82,732 | ||||||
5.00%, 01/15/2041(5) | 8,325,000 | 8,660,770 | ||||||
4.00%, 01/15/2042(5) | 3,430,000 | 3,512,553 | ||||||
4.50%, 01/15/2042(5) | 8,030,000 | 8,309,241 | ||||||
3.00%, 07/20/2042 | 448,188 | 444,692 | ||||||
3.50%, 08/20/2042 | 21,709 | 21,970 | ||||||
3.50%, 09/20/2042 | 3,746,576 | 3,791,660 | ||||||
2.50%, 10/20/2042 | 640,872 | 620,542 | ||||||
2.50%, 12/20/2042 | 2,617,540 | 2,534,552 | ||||||
3.50%, 12/20/2042 | 9,039 | 9,148 | ||||||
3.50%, 01/15/2043(5) | 7,680,000 | 7,732,375 | ||||||
3.00%, 01/20/2043 | 684,190 | 678,854 | ||||||
3.50%, 02/20/2043 | 24,541 | 24,942 | ||||||
3.50%, 05/20/2043 | 11,662 | 11,802 | ||||||
3.50%, 09/20/2043 | 163,052 | 165,013 | ||||||
3.50%, 10/20/2044 | 554,237 | 559,621 | ||||||
3.50%, 10/20/2044 | 73,294 | 73,876 | ||||||
3.00%, 12/20/2044 | 740,957 | 733,736 | ||||||
3.50%, 12/20/2044 | 12,938 | 13,057 | ||||||
5.00%, 12/20/2044 | 335,823 | 356,765 | ||||||
3.50%, 03/20/2045 | 531,650 | 536,405 | ||||||
3.50%, 05/20/2045 | 17,824 | 17,946 | ||||||
5.50%, 06/20/2045 | 305,117 | 324,825 | ||||||
3.50%, 07/20/2045 | 706,962 | 713,286 | ||||||
4.50%, 07/20/2045 | 5,185,804 | 5,412,510 | ||||||
4.00%, 09/20/2045 | 2,886,831 | 2,969,848 | ||||||
3.50%, 10/20/2045 | 135,083 | 136,204 | ||||||
3.50%, 10/20/2045 | 98,623 | 99,444 | ||||||
4.50%, 12/20/2045 | 101,890 | 106,851 | ||||||
3.00%, 01/20/2046 | 956,234 | 944,488 | ||||||
3.50%, 01/20/2046 | 2,660,387 | 2,683,774 | ||||||
4.50%, 01/20/2046 | 862,227 | 904,170 | ||||||
3.50%, 02/20/2046 | 784,691 | 792,491 | ||||||
3.50%, 02/20/2046 | 1,690,413 | 1,703,753 | ||||||
3.50%, 03/20/2046 | 2,580,036 | 2,602,319 | ||||||
3.00%, 04/20/2046 | 721,367 | 711,279 | ||||||
3.50%, 04/20/2046 | 951,040 | 959,108 | ||||||
3.00%, 05/20/2046 | 98,841 | 97,566 | ||||||
3.00%, 05/20/2046 | 36,210 | 35,715 | ||||||
3.50%, 05/20/2046 | 13,524 | 13,629 |
3.50%, 05/20/2046 | 91,816 | 92,447 | ||||||
3.50%, 05/20/2046 | 22,849 | 23,028 | ||||||
4.00%, 05/20/2046 | 1,514,284 | 1,556,671 | ||||||
3.00%, 06/20/2046 | 205,249 | 202,316 | ||||||
3.00%, 06/20/2046 | 7,127,030 | 7,022,978 | ||||||
3.50%, 06/20/2046 | 107,370 | 108,107 | ||||||
3.50%, 06/20/2046 | 669,307 | 674,675 | ||||||
3.00%, 07/20/2046 | 98,473 | 97,203 | ||||||
3.00%, 07/20/2046 | 174,511 | 172,135 | ||||||
3.00%, 07/20/2046 | 259,726 | 256,183 | ||||||
3.00%, 07/20/2046 | 60,037 | 59,217 | ||||||
3.00%, 07/20/2046 | 184,463 | 181,935 | ||||||
3.00%, 07/20/2046 | 332,567 | 328,022 | ||||||
3.00%, 08/20/2046 | 15,268,693 | 15,045,735 | ||||||
3.00%, 08/20/2046 | 83,586 | 82,395 | ||||||
3.00%, 08/20/2046 | 129,720 | 127,951 | ||||||
3.00%, 08/20/2046 | 140,228 | 138,425 | ||||||
2.50%, 09/20/2046 | 4,969,547 | 4,761,143 | ||||||
3.00%, 09/20/2046 | 73,933 | 72,883 | ||||||
3.00%, 09/20/2046 | 82,975 | 81,843 | ||||||
3.00%, 09/20/2046 | 17,618,790 | 17,369,597 | ||||||
3.50%, 09/20/2046 | 1,703,578 | 1,716,455 | ||||||
2.50%, 10/20/2046 | 300,567 | 287,956 | ||||||
3.00%, 10/20/2046 | 3,254,107 | 3,205,584 | ||||||
3.00%, 11/20/2046 | 1,140,875 | 1,123,686 | ||||||
3.00%, 12/20/2046 | 8,070,997 | 7,948,143 | ||||||
3.50%, 12/20/2046 | 6,313,963 | 6,359,968 | ||||||
3.00%, 01/20/2047 | 2,076,314 | 2,044,609 | ||||||
3.50%, 01/20/2047 | 8,536,040 | 8,598,235 | ||||||
3.00%, 03/20/2047 | 1,961,340 | 1,932,482 | ||||||
3.50%, 03/20/2047 | 677,170 | 682,104 | ||||||
4.00%, 03/20/2047 | 4,266,881 | 4,380,856 | ||||||
3.00%, 04/20/2047 | 3,806,758 | 3,748,198 | ||||||
3.50%, 04/20/2047 | 4,351,369 | 4,383,074 | ||||||
4.00%, 04/20/2047 | 9,113,320 | 9,347,133 | ||||||
3.50%, 05/20/2047 | 581,213 | 585,448 | ||||||
4.00%, 05/20/2047 | 7,157,763 | 7,335,034 | ||||||
4.50%, 05/20/2047 | 10,937,249 | 11,374,694 | ||||||
3.50%, 06/20/2047 | 3,501,985 | 3,527,501 | ||||||
4.50%, 06/20/2047 | 14,940,380 | 15,469,889 | ||||||
5.00%, 06/20/2047 | 7,483,049 | 7,808,529 | ||||||
3.00%, 07/20/2047 | 1,397,873 | 1,376,168 | ||||||
4.00%, 07/20/2047 | 1,749,802 | 1,793,633 | ||||||
4.50%, 07/20/2047 | 1,751,479 | 1,813,554 | ||||||
5.00%, 07/20/2047 | 1,088,519 | 1,133,418 | ||||||
3.50%, 08/20/2047 | 8,973,647 | 9,039,031 | ||||||
4.00%, 08/20/2047 | 1,475,115 | 1,511,648 | ||||||
4.50%, 08/20/2047 | 4,879,688 | 5,052,631 | ||||||
5.00%, 08/20/2047 | 720,247 | 749,955 | ||||||
3.00%, 09/20/2047 | 24,581,178 | 24,195,547 | ||||||
3.50%, 09/20/2047 | 8,308,882 | 8,369,422 | ||||||
4.50%, 09/20/2047 | 9,405,442 | 9,738,785 | ||||||
5.00%, 09/20/2047 | 7,585,236 | 7,898,110 | ||||||
3.50%, 10/20/2047 | 1,906,454 | 1,920,345 | ||||||
5.00%, 10/20/2047 | 724,378 | 754,257 | ||||||
5.50%, 10/20/2047 | 1,255,666 | 1,315,092 | ||||||
3.00%, 11/20/2047 | 8,383,300 | 8,250,974 | ||||||
4.00%, 11/20/2047 | 5,434,932 | 5,569,535 | ||||||
4.50%, 11/20/2047 | 1,818,528 | 1,882,979 | ||||||
5.00%, 11/20/2047 | 1,442,708 | 1,502,217 |
4.00%, 12/20/2047 | 5,319,004 | 5,450,736 | ||||||
5.00%, 12/20/2047 | 2,928,523 | 3,049,318 | ||||||
3.00%, 01/20/2048 | 10,321,931 | 10,158,499 | ||||||
3.50%, 01/20/2048 | 33,363,734 | 33,606,831 | ||||||
4.00%, 01/20/2048 | 1,054,953 | 1,080,772 | ||||||
4.50%, 01/20/2048 | 653,779 | 676,949 | ||||||
5.00%, 01/20/2048 | 3,973,702 | 4,137,608 | ||||||
3.00%, 02/20/2048 | 2,204,257 | 2,169,345 | ||||||
3.50%, 02/20/2048 | 7,414,521 | 7,457,721 | ||||||
3.50%, 02/20/2048 | 3,778,550 | 3,799,232 | ||||||
5.00%, 02/20/2048 | 3,857,270 | 4,018,483 | ||||||
3.00%, 05/20/2048 | 7,608,007 | 7,487,609 | ||||||
5.50%, 05/20/2048 | 6,997,763 | 7,328,942 | ||||||
5.00%, 06/20/2048 | 2,633,892 | 2,783,618 | ||||||
5.00%, 07/20/2048 | 1,550,045 | 1,629,496 | ||||||
4.00%, 08/20/2048 | 10,103,053 | 10,353,267 | ||||||
4.50%, 08/20/2048 | 19,423,324 | 20,113,318 | ||||||
5.00%, 08/20/2048 | 12,584,054 | 13,114,664 | ||||||
5.00%, 09/20/2048 | 6,798,673 | 7,091,855 | ||||||
5.00%, 09/20/2048 | 1,105,959 | 1,173,628 | ||||||
4.00%, 10/20/2048 | 726,824 | 744,825 | ||||||
5.00%, 10/20/2048 | 1,882,888 | 1,963,934 | ||||||
4.00%, 11/20/2048 | 8,267,539 | 8,472,295 | ||||||
5.00%, 12/20/2048 | 2,525,000 | 2,635,335 | ||||||
Gosforth Funding2018-1 Plc | ||||||||
3.14% (3 Month LIBOR USD + 0.45%), 08/24/2060(1)(2) | 2,658,573 | 2,649,555 | ||||||
Government National Mortgage Association | ||||||||
3.50%, 03/20/2039 IO | 920,283 | 62,993 | ||||||
3.50%, 05/20/2043 IO | 294,527 | 62,491 | ||||||
3.00%, 11/20/2047 | 1,478,405 | 1,470,306 | ||||||
3.00%, 12/20/2047 | 1,054,200 | 1,053,460 | ||||||
3.50%, 08/20/2048 | 9,884,999 | 10,017,560 | ||||||
3.50%, 09/20/2048 | 5,811,506 | 5,886,524 | ||||||
Grand Avenue Mortgage Loan Trust 2017-RPL1 | ||||||||
3.25%, 08/25/2064(1) | 2,674,957 | 2,655,986 | ||||||
Great Wolf Trust 2017-WOLF | ||||||||
3.46% (1 Month LIBOR USD + 0.85%, 1.00% Floor), 09/15/2034(1)(2) | 3,170,000 | 3,114,743 | ||||||
3.66% (1 Month LIBOR USD + 1.10%, 1.10% Floor), 09/15/2034(1)(2) | 1,625,000 | 1,602,028 | ||||||
GS Mortgage Securities Corp. Trust 2018-FBLU | ||||||||
3.41% (1 Month LIBOR USD + 0.95%, 0.95% Floor), 11/15/2035(1)(2) | 3,540,000 | 3,525,079 | ||||||
GS Mortgage Securities Trust2011-GC3 | ||||||||
5.64%, 03/11/2044(1)(4) | 340,000 | 345,156 | ||||||
GS Mortgage Securities Trust2011-GC5 | ||||||||
5.39%, 08/10/2044(1)(4) | 220,000 | 212,144 | ||||||
GS Mortgage Securities Trust 2013-GC16 | ||||||||
5.16%, 11/10/2046(4) | 7,561,000 | 7,996,935 | ||||||
GS Mortgage Securities Trust 2014-GC18 | ||||||||
4.38%, 01/11/2047 | 905,000 | 926,061 | ||||||
GS Mortgage Securities Trust 2014-GC26 | ||||||||
3.63%, 11/10/2047 | 930,000 | 943,895 | ||||||
GS Mortgage Securities Trust 2014-GSFL | ||||||||
5.73% (1 Month LIBOR USD + 5.95%, 5.95% Floor), 07/15/2031(1)(2) | 800,000 | 799,213 | ||||||
GS Mortgage Securities Trust 2015-GC34 | ||||||||
3.51%, 10/13/2048 | 540,000 | 538,566 | ||||||
3.91%, 10/13/2048 | 170,000 | 171,322 | ||||||
HarborView Mortgage Loan Trust2005-9 | ||||||||
2.92% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 11.00% Cap), 06/20/2035(2) | 9,245,727 | 9,252,900 | ||||||
HarborView Mortgage Loan Trust2006-10 | ||||||||
2.67% (1 Month LIBOR USD + 0.20%, 0.20% Floor), 11/19/2036(2) | 11,934,466 | 10,587,013 |
HarborView Mortgage Loan Trust2006-7 | ||||||||
2.50% (1 Month LIBOR USD + 0.20%, 0.20% Floor), 09/19/2036(2) | 5,550,102 | 4,940,729 | ||||||
HarborView Mortgage Loan Trust2007-6 | ||||||||
2.67% (1 Month LIBOR USD + 0.20%, 10.50% Cap), 08/19/2037(2) | 10,735,934 | 9,688,934 | ||||||
Hilton Orlando Trust2018-ORL | ||||||||
3.23% (1 Month LIBOR USD + 0.77%), 12/15/2034(1)(2) | 2,085,000 | 2,068,964 | ||||||
3.51% (1 Month LIBOR USD + 1.05%), 12/15/2034(1)(2) | 350,000 | 346,571 | ||||||
Holmes Master Issuer Plc | ||||||||
2.80% (3 Month LIBOR USD + 0.36%), 10/15/2054(1)(2) | 6,010,000 | 5,986,147 | ||||||
2.86% (3 Month LIBOR USD + 0.42%), 10/15/2054(1)(2) | 6,275,000 | 6,249,197 | ||||||
Homeward Opportunities Fund I Trust2018-1 | ||||||||
3.77%, 06/25/2048(1)(4) | 7,916,483 | 7,906,042 | ||||||
4.00%, 06/25/2048(1)(4) | 6,909,813 | 6,939,042 | ||||||
Hospitality Mortgage Trust | ||||||||
3.24% (1 Month LIBOR USD + 0.85%), 05/08/2030(1)(2) | 510,000 | 502,486 | ||||||
3.57% (1 Month LIBOR USD + 1.18%), 05/10/2030(1)(2) | 405,000 | 397,438 | ||||||
Hudsons Bay Simon JV Trust2015-HBS | ||||||||
4.15%, 08/07/2034(1) | 3,540,000 | 3,510,554 | ||||||
Impac CMB Trust Series2004-7 | ||||||||
3.15% (1 Month LIBOR USD + 0.64%, 11.25% Cap), 11/25/2034(2) | 7,506,538 | 7,425,045 | ||||||
Independence Plaza Trust 2018-INDP | ||||||||
3.76%, 07/12/2035(1) | 3,265,000 | 3,290,797 | ||||||
3.91%, 07/12/2035(1) | 2,780,000 | 2,800,190 | ||||||
IndyMac INDX Mortgage Loan Trust 2006-AR19 | ||||||||
3.94%, 08/25/2036(4) | 13,133,308 | 12,103,206 | ||||||
IndyMac INDX Mortgage Loan Trust 2007-AR15 | ||||||||
3.82%, 08/25/2037(4) | 5,792,022 | 4,980,734 | ||||||
InTown Hotel Portfolio Trust 2018-STAY | ||||||||
3.51% (1 Month LIBOR USD + 1.05%, 1.05% Floor), 01/18/2033(1)(2) | 430,000 | 426,480 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2005-CIBC13 | ||||||||
5.59%, 01/12/2043(4) | 2,018,226 | 2,015,864 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust2011-C5 | ||||||||
4.17%, 08/15/2046 | 7,749,314 | 7,903,890 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2012-HSBC | ||||||||
3.09%, 07/08/2032(1) | 2,510,064 | 2,500,052 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust2014-C20 | ||||||||
2.87%, 07/17/2047 | 1,773,652 | 1,768,635 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust2015-UES | ||||||||
3.62%, 09/05/2032(1)(4) | 590,000 | 577,768 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust2016-JP2 | ||||||||
3.06%, 08/17/2049 | 1,993,000 | 1,870,399 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust2016-JP3 | ||||||||
3.40%, 08/15/2049(4) | 565,000 | 533,895 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2016-NINE | ||||||||
2.85%, 09/09/2038(1)(4) | 3,597,500 | 3,418,681 | ||||||
2.85%, 09/09/2038(1)(4) | 910,000 | 837,255 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2016-WIKI | ||||||||
4.01%, 10/05/2031(1)(4) | 602,000 | 589,809 | ||||||
3.55%, 10/07/2031(1) | 394,000 | 387,332 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust2018-WPT | ||||||||
4.25%, 07/08/2033(1) | 965,000 | 1,001,662 | ||||||
JP Morgan Resecuritization Trust Series2014-6 | ||||||||
2.53% (1 Month LIBOR USD + 0.21%, 0.21% Floor), 07/27/2046(1)(2) | 1,277,919 | 1,270,495 | ||||||
JP Morgan Seasoned Mortgage Trust2010-1 | ||||||||
3.47%, 03/25/2050(1)(4) | 14,489,157 | 13,524,651 | ||||||
JPMBB Commercial Mortgage Securities Trust2014-C22 | ||||||||
3.80%, 09/17/2047 | 1,945,000 | 1,977,228 | ||||||
JPMBB Commercial Mortgage Securities Trust2014-C24 | ||||||||
2.94%, 11/18/2047 | 2,376,345 | 2,366,859 | ||||||
JPMBB Commercial Mortgage Securities Trust2015-C28 | ||||||||
3.99%, 10/19/2048 | 1,200,000 | 1,180,719 |
JPMBB Commercial Mortgage Securities Trust2015-C30 | ||||||||
3.82%, 07/15/2048 | 2,780,000 | 2,832,401 | ||||||
JPMBB Commercial Mortgage Securities Trust2015-C31 | ||||||||
3.80%, 08/17/2048 | 5,065,000 | 5,154,860 | ||||||
JPMCC Commercial Mortgage Securities Trust2017-JP5 | ||||||||
3.88%, 03/17/2050(4) | 4,990,000 | 4,939,344 | ||||||
JPMDB Commercial Mortgage Securities Trust2016-C4 | ||||||||
3.38%, 12/17/2049 | 4,040,000 | 3,870,911 | ||||||
JPMDB Commercial Mortgage Securities Trust2017-C5 | ||||||||
4.51%, 03/17/2050(4) | 2,365,000 | 2,306,399 | ||||||
JPMDB Commercial Mortgage Securities Trust2018-C8 | ||||||||
4.75%, 06/16/2051(4) | 1,474,000 | 1,447,697 | ||||||
Merrill Lynch Mortgage Investors Trust Series MLCC2004-HB1 | ||||||||
4.03%, 04/25/2029(4) | 946,647 | 931,720 | ||||||
MetLife Securitization Trust2018-1 | ||||||||
3.75%, 03/25/2057(1)(4) | 19,521,192 | 19,691,473 | ||||||
Monarch Beach Resort Trust2018-MBR MZ | ||||||||
3.38% (1 Month LIBOR USD + 0.92%, 0.92% Floor), 07/16/2035(1)(2) | 8,985,000 | 8,946,212 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust2013-C9 | ||||||||
3.46%, 05/17/2046 | 3,750,000 | 3,741,821 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust2014-C14 | ||||||||
2.92%, 02/15/2047 | 141,358 | 141,143 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust2014-C17 | ||||||||
3.74%, 08/16/2047 | 974,000 | 987,977 | ||||||
4.46%, 08/16/2047(4) | 1,655,000 | 1,680,884 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust2014-C18 | ||||||||
4.00%, 08/15/2031 | 310,000 | 313,466 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust2015-C22 | ||||||||
3.31%, 04/17/2048 | 965,000 | 953,615 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust2015-C24 | ||||||||
4.04%, 08/16/2047(4) | 190,000 | 192,860 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust2016-C28 | ||||||||
4.59%, 01/15/2049(4) | 2,033,000 | 2,036,352 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust2016-C30 | ||||||||
2.86%, 09/17/2049 | 3,220,000 | 3,057,427 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust2017-C34 | ||||||||
4.19%, 11/18/2052(4) | 845,000 | 804,811 | ||||||
Morgan Stanley Capital I Trust2011-C2 | ||||||||
5.48%, 06/15/2044(1)(4) | 1,415,000 | 1,357,081 | ||||||
Morgan Stanley Capital I Trust2014-MP | ||||||||
3.47%, 08/11/2033(1) | 10,000,000 | 10,117,310 | ||||||
Morgan Stanley Capital I Trust2017-H1 | ||||||||
4.28%, 06/17/2050(4) | 2,805,000 | 2,701,036 | ||||||
Morgan Stanley Capital I Trust 2017-JWDR | ||||||||
3.31% (1 Month LIBOR USD + 0.85%, 0.85% Floor), 11/15/2034(1)(2) | 4,090,000 | 4,043,858 | ||||||
3.66% (1 Month LIBOR USD + 1.20%, 1.20% Floor), 11/15/2034(1)(2) | 2,830,000 | 2,801,306 | ||||||
Morgan Stanley Resecuritization Trust2013-R10 | ||||||||
4.00%, 01/26/2051(1)(4) | 287,525 | 286,140 | ||||||
Motel 6 Trust 2017-MTL6 | ||||||||
3.38% (1 Month LIBOR USD + 0.92%, 0.92% Floor), 08/15/2034(1)(2) | 8,325,012 | 8,184,370 | ||||||
3.65% (1 Month LIBOR USD + 1.19%, 1.19% Floor), 08/15/2034(1)(2) | 7,368,114 | 7,237,055 | ||||||
4.61% (1 Month LIBOR USD + 2.15%, 2.15% Floor), 08/15/2034(1)(2) | 765,518 | 754,099 | ||||||
MSCG Trust 2018-SELF | ||||||||
3.36% (1 Month LIBOR USD + 0.90%, 0.90% Floor), 10/15/2037(1)(2) | 4,110,000 | 4,058,601 | ||||||
Nomura Resecuritization Trust2015-7R | ||||||||
3.67%, 08/26/2036(1)(4) | 877,054 | 869,325 | ||||||
OBX 2018-EXP1 Trust | ||||||||
4.00%, 04/25/2048(1)(4) | 2,399,339 | 2,393,004 | ||||||
3.36% (1 Month LIBOR USD + 0.85%, 0.85% Floor), 04/27/2048(1)(2) | 3,881,299 | 3,865,162 |
One Market Plaza Trust 2017-1MKT | ||||||||
3.61%, 02/10/2032(1) | 1,980,000 | 1,988,262 | ||||||
Palisades Center Trust 2016-PLSD | ||||||||
2.71%, 04/14/2033(1) | 640,000 | 629,046 | ||||||
Queens Center Mortgage Trust2013-QC | 3,915,000 | 3,855,323 | ||||||
3.28%, 01/13/2037(1) | ||||||||
RALI Series2006-QS9 Trust | 5,776,200 | 5,157,400 | ||||||
6.00%, 07/25/2036 | ||||||||
RBS Commercial Funding, Inc.2013-GSP Trust | 1,565,000 | 1,605,313 | ||||||
3.83%, 01/13/2032(1)(4) | ||||||||
RESIMAC Bastille Trust Series2018-1NC | 4,944,000 | 4,945,083 | ||||||
3.23% (1 Month LIBOR USD + 0.85%), 12/05/2059(1)(2) | ||||||||
Resource Capital Corp. 2017-CRE5 Ltd. | ||||||||
3.26% (1 Month LIBOR USD + 0.80%), 07/15/2034(1)(2) | 4,227,662 | 4,229,000 | ||||||
4.46% (1 Month LIBOR USD + 2.00%), 07/15/2034(1)(2) | 3,224,282 | 3,206,394 | ||||||
RETL2018-RVP | ||||||||
4.21% (1 Month LIBOR USD + 1.75%, 1.75% Floor), 03/15/2033(1)(2) | 5,437,500 | 5,428,232 | ||||||
Rosslyn Portfolio Trust 2017-ROSS | ||||||||
3.41% (1 Month LIBOR USD + 0.95%, 1.94% Floor), 06/15/2033(1)(2) | 15,800,000 | 15,734,171 | ||||||
Seasoned Credit Risk Transfer Trust | ||||||||
3.00%, 09/25/2055(1)(4) | 375,000 | 361,132 | ||||||
Seasoned Credit Risk Transfer Trust Series2017-2 | ||||||||
4.00%, 08/25/2056(1)(4) | 910,000 | 869,449 | ||||||
Sequoia Mortgage Trust2003-2 | ||||||||
3.13% (1 Month LIBOR USD + 0.66%, 0.33% Floor, 11.50% Cap), 06/20/2033(2) | 764,515 | 764,382 | ||||||
Sequoia Mortgage Trust2004-9 | ||||||||
3.29% (6 Month LIBOR USD + 0.72%, 0.36% Floor, 11.50% Cap), 10/20/2034(2) | 1,547,839 | 1,529,222 | ||||||
Sequoia Mortgage Trust2013-4 | ||||||||
3.49%, 04/25/2043(4) | 2,812,632 | 2,773,904 | ||||||
Sequoia Mortgage Trust2017-CH2 | ||||||||
4.00%, 12/25/2047(1)(4) | 1,486,470 | 1,501,805 | ||||||
4.00%, 12/25/2047(1)(4) | 2,297,804 | 2,290,450 | ||||||
Sequoia Mortgage Trust2018-CH1 | ||||||||
3.50%, 03/25/2048(1)(4) | 727,319 | 725,318 | ||||||
4.00%, 03/25/2048(1)(4) | 2,390,957 | 2,412,700 | ||||||
Sequoia Mortgage Trust2018-CH2 | ||||||||
4.00%, 06/25/2048(1)(4) | 2,240,284 | 2,244,653 | ||||||
Sequoia Mortgage Trust2018-CH3 | ||||||||
4.00%, 08/25/2048(1)(4) | 13,198,702 | 13,236,494 | ||||||
4.50%, 08/25/2048(1)(4) | 3,728,148 | 3,787,521 | ||||||
Sequoia Mortgage Trust2018-CH4 | ||||||||
4.00%, 10/25/2048(1)(4) | 3,408,541 | 3,454,973 | ||||||
SFAVE Commercial Mortgage Securities Trust 2015-5AVE | ||||||||
3.87%, 01/08/2043(1)(4) | 1,375,000 | 1,273,128 | ||||||
SLIDE2018-FUN | ||||||||
4.76% (1 Month LIBOR USD + 2.30%, 2.30% Floor), 06/16/2031(1)(2) | 5,284,295 | 5,226,219 | ||||||
Southern Pacific Securities06-1 Plc | ||||||||
1.21% (3 Month LIBOR GBP + 0.30%), 03/10/2044(2) | GBP | 2,612,066 | 3,291,647 | |||||
STACR Trust 2018-DNA2 | ||||||||
3.31% (1 Month LIBOR USD + 0.80%), 12/26/2030(1)(2) | $ | 5,600,000 | 5,593,520 | |||||
4.66% (1 Month LIBOR USD + 2.15%), 12/26/2030(1)(2) | 2,760,000 | 2,679,422 | ||||||
STACR Trust 2018-HRP2 | ||||||||
3.36% (1 Month LIBOR USD + 0.85%), 02/25/2047(1)(2) | 1,980,000 | 1,977,217 | ||||||
3.76% (1 Month LIBOR USD + 1.25%), 02/25/2047(1)(2) | 3,985,000 | 3,986,225 | ||||||
Starwood Mortgage Residential Trust 2018-IMC2 | ||||||||
4.12%, 10/26/2048(1)(4) | 7,274,665 | 7,332,942 | ||||||
Starwood Retail Property Trust 2014-STAR | ||||||||
4.96% (1 Month LIBOR USD + 2.50%, 2.50% Floor), 11/15/2027(1)(2) | 2,206,000 | 2,115,207 | ||||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||||
4.11%, 02/25/2035(4) | 8,240,032 | 8,168,490 |
Structured Asset Mortgage Investments II Trust2007-AR3 | ||||||||
2.70% (1 Month LIBOR USD + 0.19%, 0.19% Floor, 10.50% Cap), 09/25/2047(2) | 14,391,913 | 13,726,117 | ||||||
Sutherland Commercial Mortgage Loans 2017-SBC6 | ||||||||
3.19%, 04/25/2023(1)(4) | 7,723,511 | 7,669,331 | ||||||
UBS Commercial Mortgage Trust2018-C9 | ||||||||
4.32%, 03/17/2051(4) | 1,718,000 | 1,749,732 | ||||||
UBS-Barclays Commercial Mortgage Trust2012-C2 | ||||||||
4.89%, 05/11/2063(1)(4) | 1,135,000 | 1,060,977 | ||||||
4.89%, 05/11/2063(1)(4) | 2,750,000 | 2,319,923 | ||||||
Verus Securitization Trust2018-1 | ||||||||
2.93%, 01/25/2058(1)(4) | 832,658 | 824,284 | ||||||
Verus Securitization Trust2018-2 | ||||||||
3.68%, 07/25/2058(1)(4) | 2,564,137 | 2,559,625 | ||||||
3.78%, 07/25/2058(1)(4) | 1,366,672 | 1,366,415 | ||||||
Verus Securitization Trust2018-3 | ||||||||
4.11%, 10/25/2058(1)(4) | 6,956,234 | 6,911,559 | ||||||
4.18%, 10/25/2058(1)(4) | 5,157,634 | 5,124,509 | ||||||
Verus Securitization Trust 2018-INV1 | ||||||||
3.63%, 03/25/2058(1)(4) | 1,116,765 | 1,115,258 | ||||||
Verus Securitization Trust 2018-INV2 | ||||||||
4.15%, 10/25/2058(1)(4) | 5,120,000 | 5,118,152 | ||||||
VNDO 2012-6AVE Mortgage Trust | ||||||||
3.00%, 11/15/2030(1) | 2,755,000 | 2,729,809 | ||||||
Wachovia Bank Commercial Mortgage Trust Series2006-C29 | ||||||||
5.44%, 11/18/2048(4) | 8,817,860 | 8,906,039 | ||||||
Wachovia Bank Commercial Mortgage Trust Series2007-C32 | ||||||||
5.86%, 06/15/2049(4) | 4,582,927 | 4,624,265 | ||||||
Wachovia Bank Commercial Mortgage Trust Series2007-C33 | ||||||||
5.77%, 02/15/2051(4) | 6,368,781 | 6,289,108 | ||||||
Wachovia Bank Commercial Mortgage Trust Series2007-C34 | ||||||||
6.14%, 05/15/2046(4) | 204,307 | 205,516 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2005-AR11 Trust | ||||||||
2.83% (1 Month LIBOR USD + 0.32%, 0.32% Floor, 10.50% Cap), 08/25/2045(2) | 3,897,703 | 3,868,491 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2005-AR13 Trust | ||||||||
2.80% (1 Month LIBOR USD + 0.29%, 0.29% Floor, 10.50% Cap), 10/25/2045(2) | 2,434,670 | 2,407,990 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2005-AR15 Trust | ||||||||
2.77% (1 Month LIBOR USD + 0.26%, 0.26% Floor, 10.50% Cap), 11/25/2045(2) | 7,241,427 | 7,166,990 | ||||||
WaMu Mortgage Pass-Through Certificates Series2005-AR2 Trust | ||||||||
2.84% (1 Month LIBOR USD + 0.33%, 0.33% Floor, 10.50% Cap), 01/25/2045(2) | 6,344,394 | 6,329,982 | ||||||
WaMu Mortgage Pass-Through Certificates Series2007-HY1 Trust | ||||||||
3.60%, 05/25/2036(4) | 12,456,060 | 11,963,019 | ||||||
WaMu Mortgage Pass-Through Certificates Series2007-OA5 Trust | ||||||||
2.91% (12 Month US Treasury Average + 0.75%, 0.75% Floor), 06/25/2047(2) | 15,763,392 | 15,015,978 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series2007-2 Trust | ||||||||
5.50%, 04/25/2037 | 12,557,736 | 12,275,610 | ||||||
Wells Fargo Commercial Mortgage Trust2015-C30 | ||||||||
3.66%, 09/17/2058 | 1,280,000 | 1,289,495 | ||||||
Wells Fargo Commercial Mortgage Trust2016-C33 | ||||||||
3.16%, 03/17/2059 | 1,225,000 | 1,194,693 | ||||||
4.51%, 03/17/2059(4) | 4,317,000 | 4,378,287 | ||||||
Wells Fargo Commercial Mortgage Trust2016-C34 | ||||||||
3.10%, 06/17/2049 | 1,135,000 | 1,095,582 | ||||||
Wells Fargo Commercial Mortgage Trust2016-C35 | ||||||||
3.18%, 07/17/2048 | 3,155,000 | 3,043,802 | ||||||
Wells Fargo Commercial Mortgage Trust 2016-LC24 | ||||||||
3.37%, 10/18/2049 | 7,433,705 | 7,088,826 | ||||||
Wells Fargo Commercial Mortgage Trust2017-C38 | ||||||||
3.45%, 07/15/2050 | 1,695,000 | 1,662,767 | ||||||
3.67%, 07/15/2050(4) | 1,315,000 | 1,293,314 | ||||||
Wells Fargo Commercial Mortgage Trust 2017-HSDB | ||||||||
3.28% (1 Month LIBOR USD + 0.85%, 0.85% Floor), 12/15/2031(1)(2) | 8,100,000 | 8,061,638 |
3.53% (1 Month LIBOR USD + 1.10%, 1.10% Floor), 12/15/2031(1)(2) | 6,700,000 | 6,653,141 | ||||||
4.28% (1 Month LIBOR USD + 1.84%, 1.84% Floor), 12/15/2031(1)(2) | 100,000 | 98,575 | ||||||
Wells Fargo Mortgage Backed Securities2005-AR2 Trust | ||||||||
3.99%, 03/25/2035(4) | 1,137,935 | 1,157,100 | ||||||
WFRBS Commercial Mortgage Trust2011-C2 | ||||||||
5.65%, 02/18/2044(1)(4) | 2,130,000 | 2,146,095 | ||||||
WFRBS Commercial Mortgage Trust2011-C5 | ||||||||
5.67%, 11/18/2044(1)(4) | 115,000 | 117,708 | ||||||
WFRBS Commercial Mortgage Trust2012-C7 | ||||||||
4.82%, 06/16/2045(1)(4) | 690,000 | 574,276 | ||||||
WFRBS Commercial Mortgage Trust2014-C19 | ||||||||
4.72%, 03/15/2047(4) | 329,000 | 339,877 | ||||||
WFRBS Commercial Mortgage Trust2014-C22 | ||||||||
4.07%, 09/17/2057(4) | 4,250,000 | 4,353,987 | ||||||
Worldwide Plaza Trust2017-WWP | ||||||||
3.53%, 11/12/2036(1) | 1,740,000 | 1,715,646 | ||||||
3.60%, 11/12/2036(1)(4) | 320,000 | 305,722 | ||||||
|
| |||||||
Total Mortgage-Backed Obligations (Cost $3,372,747,634) | $ | 3,354,045,206 | ||||||
|
| |||||||
Total Bonds & Notes (Cost $15,027,816,458) | $ | 14,905,223,436 | ||||||
|
| |||||||
BANK LOANS - 2.29% | ||||||||
1011778 BC ULC | ||||||||
4.59% (LIBOR USD), 02/16/2024(2) | 398,815 | 379,205 | ||||||
ABG Intermediate Holdings 2 LLC | ||||||||
5.85% (1 Month LIBOR + 3.50%), 09/26/2024(2) | 2,404,291 | 2,284,076 | ||||||
Advanz Pharma Corp. | ||||||||
7.89% (1 Month LIBOR + 5.50%), 09/06/2024(2) | 1,900,000 | 1,807,641 | ||||||
Agiliti Health, Inc. | ||||||||
3.00% (LIBOR USD), 10/18/2025(2) | 995,000 | 960,175 | ||||||
AI Alpine U.S. Bidco, Inc. | ||||||||
5.81% (3 Month LIBOR + 3.25%), 11/30/2025(2) | 1,445,000 | 1,379,975 | ||||||
Alliant Holdings Intermediate LLC | ||||||||
5.21% (1 Month LIBOR + 2.75%), 04/27/2025(2) | 5,532,200 | 5,217,197 | ||||||
Altice Financing SA | ||||||||
5.22% (1 Month LIBOR + 2.75%), 07/15/2025(2) | 2,413,790 | 2,277,579 | ||||||
Altice France SA/France | ||||||||
6.46% (1 Month LIBOR + 4.00%), 07/13/2026(2) | 1,400,000 | 1,319,500 | ||||||
Altra Industrial Motion Corp. | ||||||||
4.34% (1 Month LIBOR + 2.00%), 10/01/2025(2) | 738,806 | 700,019 | ||||||
American Axle & Manufacturing, Inc. | ||||||||
4.75% (1 Month LIBOR + 2.25%), 04/08/2024(2) | 2,198,180 | 2,074,533 | ||||||
Amneal Pharmaceuticals LLC | ||||||||
5.88% (1 Month LIBOR + 3.50%), 05/05/2025(2) | 2,541,933 | 2,404,237 | ||||||
Ancestry.com Operations, Inc. | ||||||||
5.60% (1 Month LIBOR + 3.25%), 10/19/2023(2) | 5,467,778 | 5,214,893 | ||||||
Aramark Services, Inc. | ||||||||
4.09% (1 Month LIBOR + 1.75%), 03/28/2024(2) | 2,219,465 | 2,146,644 | ||||||
4.09% (1 Month LIBOR + 1.75%), 03/11/2025(2) | 186,533 | 180,782 | ||||||
Argon Medical Devices, Inc. | ||||||||
6.09% (1 Month LIBOR + 3.75%), 10/28/2024(2) | 3,191,646 | 3,141,122 | ||||||
Asurion LLC | ||||||||
5.34% (1 Month LIBOR + 3.00%), 08/04/2022(2) | 3,541,462 | 3,394,740 | ||||||
5.34% (1 Month LIBOR + 3.00%), 11/03/2023(2) | 444,578 | 425,128 | ||||||
5.34% (1 Month LIBOR + 3.00%), 11/30/2024(2) | 3,283,500 | 3,134,724 | ||||||
8.84% (1 Month LIBOR + 6.50%), 07/14/2025(2) | 2,485,000 | 2,452,397 | ||||||
Auris Luxembourg III Sarl | ||||||||
6.09% (LIBOR USD), 07/25/2025(2) | 4,230,000 | 4,105,765 | ||||||
Avantor, Inc. | ||||||||
6.57% (3 Month LIBOR + 3.75%), 09/16/2024(2) | 197,976 | 191,378 |
Avolon TLB Borrower 1 U.S. LLC | ||||||||
4.47% (1 Month LIBOR + 2.00%), 01/15/2025(2) | 4,601,385 | 4,413,511 | ||||||
Axalta Coating Systems U.S. Holdings, Inc. | ||||||||
4.14% (3 Month LIBOR + 1.75%), 06/21/2024(2) | 79,600 | 74,824 | ||||||
Beacon Roofing Supply, Inc. | ||||||||
4.68% (1 Month LIBOR + 2.25%), 10/11/2024(2) | 119,400 | 113,311 | ||||||
Brand Energy & Infrastructure Services, Inc. | ||||||||
6.73% (3 Month LIBOR + 4.25%), 07/30/2024(2) | 3,906,725 | 3,701,075 | ||||||
Brightview Landscapes LLC | ||||||||
4.94% (1 Month LIBOR + 2.50%), 09/30/2025(2) | 736,300 | 701,326 | ||||||
Brookfield WEC Holdings, Inc. | ||||||||
6.09% (1 Month LIBOR + 3.75%), 07/31/2025(2) | 2,275,000 | 2,199,038 | ||||||
BWAY Holding Co. | ||||||||
5.66% (3 Month LIBOR + 3.25%), 04/03/2024(2) | 5,507,045 | 5,167,426 | ||||||
Caesars Resort Collection LLC | ||||||||
5.09% (1 Month LIBOR + 2.75%), 12/23/2024(2) | 5,109,318 | 4,897,639 | ||||||
CenturyLink, Inc. | ||||||||
5.09% (1 Month LIBOR + 2.75%), 01/31/2025(2) | 762,574 | 709,956 | ||||||
CEOC LLC | ||||||||
4.34% (1 Month LIBOR + 2.00%), 09/30/2024(2) | 616,637 | 584,263 | ||||||
Change Healthcare Holdings LLC | ||||||||
5.09% (1 Month LIBOR + 2.75%), 03/01/2024(2) | 6,578,037 | 6,224,467 | ||||||
Charter Communications Operating LLC | ||||||||
4.35% (1 Month LIBOR + 2.00%), 04/30/2025(2) | 7,085,554 | 6,776,482 | ||||||
CHI Doors Holdings Corp. | ||||||||
5.59% (1 Month LIBOR + 3.25%), 07/29/2022(2) | 2,378,292 | 2,295,051 | ||||||
CHS/Community Health Systems, Inc. | ||||||||
5.96% (3 Month LIBOR + 3.25%), 01/27/2021(2) | 5,140,901 | 4,931,615 | ||||||
Churchill Downs, Inc. | ||||||||
4.35% (LIBOR USD), 12/31/2024(2) | 497,487 | 478,210 | ||||||
Clean Harbors, Inc. | ||||||||
4.09% (LIBOR USD), 06/28/2024(2) | 497,475 | 480,685 | ||||||
Columbus McKinnon Corp./NY | ||||||||
4.89% (3 Month LIBOR + 2.50%), 01/31/2024(2) | 160,903 | 156,679 | ||||||
CommScope, Inc. | ||||||||
4.35% (1 Month LIBOR + 2.00%), 12/29/2022(2) | 1,952,083 | 1,844,718 | ||||||
Core & Main Gp, LLC | ||||||||
5.72% (3 Month LIBOR + 3.00%), 08/01/2024(2) | 99,000 | 95,453 | ||||||
Crown Americas LLC | ||||||||
4.48% (1 Month LIBOR + 2.00%), 04/03/2025(2) | 38,571 | 38,318 | ||||||
CSC Holdings LLC | ||||||||
4.71% (1 Month LIBOR + 2.25%), 07/17/2025(2) | 3,990,994 | 3,777,476 | ||||||
4.75% (3 Month LIBOR + 2.25%), 01/15/2026(2) | 7,425,000 | 7,016,625 | ||||||
4.96% (1 Month LIBOR + 2.50%), 01/26/2026(2) | 298,500 | 285,688 | ||||||
Dell International LLC | ||||||||
4.10% (LIBOR USD), 09/07/2021(2) | 3,050,000 | 2,957,859 | ||||||
4.35% (1 Month LIBOR + 2.00%), 09/07/2023(2) | 99,000 | 94,958 | ||||||
Delos Finance Sarl | ||||||||
4.14% (LIBOR USD), 10/06/2023(2) | 700,000 | 679,350 | ||||||
Diamond Resorts International, Inc. | ||||||||
6.09% (1 Month LIBOR + 3.75%), 09/01/2023(2) | 1,586,516 | 1,472,493 | ||||||
Dubai World Corp. | ||||||||
2.00% (Fixed), 09/30/2022 | 7,194,308 | 6,678,692 | ||||||
Duff & Phelps LLC | ||||||||
5.59% (1 Month LIBOR + 3.25%), 02/13/2025(2) | 3,615,934 | 3,413,297 | ||||||
Edelman Financial Center LLC | ||||||||
5.69% (3 Month LIBOR + 3.25%), 07/21/2025(2) | 905,000 | 869,443 | ||||||
Encapsys LLC | ||||||||
5.59% (1 Month LIBOR + 3.25%), 11/30/2024(2) | 560,763 | 544,405 | ||||||
Energizer Holdings, Inc. | ||||||||
12.30% (LIBOR USD), 05/18/2019(2) | 600,000 | 595,500 |
4.58% (LIBOR USD), 06/20/2025(2) | 2,025,000 | 1,951,594 | ||||||
Energy Transfer LP | ||||||||
4.34%, 02/02/2024 | 1,750,000 | 1,703,117 | ||||||
Envision Healthcare Corp. | ||||||||
6.09% (1 Month LIBOR + 3.75%), 10/10/2025(2) | 3,350,000 | 3,114,294 | ||||||
ExamWorks Group, Inc. | ||||||||
5.59% (1 Month LIBOR + 3.25%), 07/27/2023(2) | 1,323,448 | 1,284,738 | ||||||
Filtration Group Corp. | ||||||||
5.34% (1 Month LIBOR + 3.00%), 03/31/2025 | 3,927,427 | 3,776,889 | ||||||
First Data Corp. | ||||||||
4.50% (1 Month LIBOR + 2.00%), 07/08/2022(2) | 1,683,189 | 1,613,757 | ||||||
4.50% (1 Month LIBOR + 2.00%), 04/26/2024(2) | 3,570,000 | 3,402,210 | ||||||
Forest City Enterprises LP | ||||||||
6.40% (1 Month LIBOR + 4.00%), 12/08/2025(2) | 800,000 | 778,664 | ||||||
Formula One Management Ltd. | ||||||||
4.84% (1 Month LIBOR + 2.50%), 02/01/2024(2) | 5,595,000 | 5,277,931 | ||||||
Gentiva Health Services, Inc. | ||||||||
6.13% (LIBOR USD), 07/02/2025(2) | 319,200 | 308,826 | ||||||
Genworth Holdings, Inc. | ||||||||
6.96% (1 Month LIBOR + 4.50%), 02/28/2023(2) | 49,750 | 48,755 | ||||||
GGP Nimbus LP | ||||||||
4.85% (1 Month LIBOR + 2.50%), 05/04/2025(2) | 2,350,000 | 2,209,728 | ||||||
Global Business Travel Holdings Ltd. | ||||||||
5.11% (3 Month LIBOR + 2.50%), 07/21/2025(2) | 892,763 | 883,835 | ||||||
Go Daddy Operating Co. LLC | ||||||||
4.59% (1 Month LIBOR + 2.25%), 02/15/2024(2) | 2,029,375 | 1,933,994 | ||||||
Gray Television, Inc. | ||||||||
4.90% (LIBOR USD), 11/03/2025(2) | 600,000 | 578,574 | ||||||
HB Fuller Co. | ||||||||
4.47% (1 Month LIBOR + 2.00%), 10/21/2024(2) | 3,104,187 | 2,913,279 | ||||||
HCA, Inc. | ||||||||
4.34% (1 Month LIBOR + 2.00%), 03/13/2025(2) | 3,244,342 | 3,171,344 | ||||||
Hilton Worldwide Finance LLC | ||||||||
4.26% (1 Month LIBOR + 1.75%), 10/25/2023(2) | 7,631,741 | 7,345,550 | ||||||
HUB International Ltd. | ||||||||
5.24% (3 Month LIBOR + 2.75%), 04/18/2025(2) | 2,109,400 | 1,987,456 | ||||||
Hyland Software, Inc. | ||||||||
5.84% (1 Month LIBOR + 3.50%), 07/01/2024(2) | 3,395,387 | 3,283,339 | ||||||
iHeartCommunications, Inc. | ||||||||
9.84% (1 Month LIBOR + 7.50%), 07/30/2019(2)(12) | 2,940,000 | 1,964,537 | ||||||
9.09% (1 Month LIBOR + 6.75%), 08/31/2019(2)(12) | 28,309,000 | 18,912,111 | ||||||
Intelsat Jackson Holdings SA | ||||||||
6.26% (1 Month LIBOR + 3.75%), 11/30/2023(2) | 250,000 | 241,517 | ||||||
7.01% (1 Month LIBOR + 4.50%), 01/15/2024(2) | 1,565,000 | 1,550,915 | ||||||
IQVIA, Inc. | ||||||||
4.39% (LIBOR USD), 01/17/2025(2) | 746,222 | 722,589 | ||||||
IRB Holding Corp. | ||||||||
5.68% (1 Month LIBOR + 3.25%), 02/05/2025(2) | 99,500 | 94,674 | ||||||
Jaguar Holding Co. II | ||||||||
4.84% (1 Month LIBOR + 2.50%), 08/18/2022(2) | 4,755,361 | 4,505,704 | ||||||
KFC Holding Co. | ||||||||
4.22% (1 Month LIBOR + 1.75%), 04/03/2025(2) | 7,306,851 | 7,119,649 | ||||||
Kloeckner Pentaplast of America, Inc. | ||||||||
4.75% (3 Month EURIBOR + 4.75%), 07/31/2022(2) | EUR | 100,000 | 97,770 | |||||
Kronos, Inc./MA | ||||||||
5.54% (3 Month LIBOR + 3.00%), 11/01/2023(2) | $ | 6,552,034 | 6,213,491 | |||||
Las Vegas Sands LLC | ||||||||
4.09% (1 Month LIBOR + 1.75%), 03/27/2025(2) | 2,438,375 | 2,322,894 | ||||||
Level 3 Financing, Inc. | ||||||||
4.75% (1 Month LIBOR + 2.25%), 02/22/2024(2) | 14,305,000 | 13,553,987 |
MacDonald Dettwiler & Associates Ltd. | ||||||||||||
5.15% (3 Month LIBOR + 2.75%), 07/05/2024(2) | 1,784,850 | 1,637,600 | ||||||||||
Marriott Ownership Resorts, Inc. | ||||||||||||
4.59% (1 Month LIBOR + 2.25%), 08/29/2025(2) | 300,000 | 292,500 | ||||||||||
McDermott Technology Americas, Inc. | ||||||||||||
7.34% (1 Month LIBOR + 5.00%), 05/12/2025(2) | 3,667,086 | 3,413,434 | ||||||||||
MedPlast Holdings, Inc. | ||||||||||||
6.15% (3 Month LIBOR + 3.75%), 06/26/2025(2) | 1,700,738 | 1,673,101 | ||||||||||
Meredith Corp. | ||||||||||||
5.09% (1 Month LIBOR + 2.75%), 01/31/2025(2) | 77,528 | 75,138 | ||||||||||
Messer Industries USA, Inc. | ||||||||||||
4.82% (LIBOR USD), 10/01/2025(2) | 780,000 | 738,403 | ||||||||||
Micro Holdings Corp. | ||||||||||||
6.25% (1 Month LIBOR + 3.75%), 12/31/2024(2) | 1,491,900 | 1,411,710 | ||||||||||
Mission Broadcasting, Inc. | ||||||||||||
4.76% (1 Month LIBOR + 2.25%), 01/17/2024(2) | 302,100 | 285,333 | ||||||||||
MPH Acquisition Holdings LLC | ||||||||||||
5.14% (3 Month LIBOR + 2.75%), 06/07/2023(2) | 7,061,919 | 6,673,514 | ||||||||||
Multi-Color Corp. | ||||||||||||
4.34% (1 Month LIBOR + 2.00%), 09/20/2024(2) | 46,648 | 44,228 | ||||||||||
Nature’s Bounty Co. | ||||||||||||
5.84% (1 Month LIBOR + 3.50%), 08/15/2024(2) | 99,000 | 88,605 | ||||||||||
NCI Building Systems, Inc. | ||||||||||||
6.18% (3 Month LIBOR + 3.75%), 04/12/2025(2) | 1,228,500 | 1,117,935 | ||||||||||
Neiman Marcus Group LLC Ltd. | ||||||||||||
5.63% (1 Month LIBOR + 3.25%), 10/23/2020(2) | 7,639,586 | 6,433,983 | ||||||||||
Nexstar Broadcasting, Inc. | ||||||||||||
4.76% (1 Month LIBOR + 2.25%), 01/17/2024(2) | 1,743,086 | 1,646,345 | ||||||||||
PAREXEL International | ||||||||||||
5.09% (1 Month LIBOR + 2.75%), 09/27/2024(2) | 1,111,188 | 1,001,458 | ||||||||||
Penn National Gaming, Inc. | ||||||||||||
4.71% (LIBOR USD), 10/15/2025(2) | 500,000 | 481,565 | ||||||||||
PetSmart, Inc. | ||||||||||||
5.38% (1 Month LIBOR + 3.00%), 03/10/2022(2) | 775,979 | 611,084 | ||||||||||
PharMerica Corp. | ||||||||||||
5.96% (1 Month LIBOR + 3.50%), 09/26/2024(2) | 3,654,154 | 3,477,548 | ||||||||||
PODS LLC | ||||||||||||
5.18% (LIBOR USD), 12/06/2024(2) | 761,147 | 727,528 | ||||||||||
Post Holdings, Inc. | ||||||||||||
4.51% (1 Month LIBOR + 2.00%), 05/24/2024(2) | 2,764,109 | 2,658,161 | ||||||||||
PQ Corp. | ||||||||||||
5.03% (3 Month LIBOR + 2.50%), 02/08/2025(2) | 4,049,635 | 3,826,905 | ||||||||||
Prime Security Services Borrower LLC | ||||||||||||
5.09% (1 Month LIBOR + 2.75%), 05/02/2022 | 2,223,783 | 2,114,817 | ||||||||||
Qatar National Bank SAQ TL | ||||||||||||
3.23%, 12/22/2020 | 2,650,000 | 2,623,500 | ||||||||||
Refinitiv U.S. Holdings, Inc. | ||||||||||||
4.00% (6 Month EURIBOR + 4.00%), 10/01/2025(2) | EUR | 6,000,000 | 6,735,297 | |||||||||
6.09% (1 Month LIBOR + 3.75%), 10/01/2025(2) | $ | 5,950,000 | 5,652,500 | |||||||||
Resideo Funding, Inc. | ||||||||||||
4.49% (3 Month LIBOR + 2.00%), 11/30/2025(2) | 785,000 | 757,525 | ||||||||||
Reynolds Group Holdings, Inc. | ||||||||||||
5.09% (1 Month LIBOR + 2.75%), 02/05/2023(2) | 1,895,819 | 1,801,028 | ||||||||||
Sabre GLBL, Inc. | ||||||||||||
4.34% (1 Month LIBOR + 2.00%), 02/22/2024(2) | 1,621,809 | 1,566,392 | ||||||||||
SBA Senior Finance II LLC | ||||||||||||
4.35% (1 Month LIBOR + 2.00%), 04/30/2025(2) | 1,592,250 | 1,523,337 | ||||||||||
Scientific Games International, Inc. | ||||||||||||
5.22% (2 Month LIBOR + 2.75%), 08/14/2024(2) | 2,151,404 | 2,013,865 |
Sequa Mezzanine Holdings LLC | ||||||||||||
7.41% (3 Month LIBOR + 5.00%), 11/26/2021(2) | 8,785,537 | 8,357,242 | ||||||||||
11.52% (3 Month LIBOR + 9.00%), 04/28/2022(2) | 660,000 | 623,700 | ||||||||||
Sigma Bidco BV | ||||||||||||
3.50% (3 Month EURIBOR + 3.50%), 03/07/2025(2) | EUR | 1,000,000 | 1,110,668 | |||||||||
Sprint Communications, Inc. | ||||||||||||
4.88% (LIBOR USD), 02/02/2024(2) | $ | 744,318 | 706,484 | |||||||||
5.38% (LIBOR USD), 02/02/2024(2) | 375,000 | 361,875 | ||||||||||
SS&C European Holdings Sarl | ||||||||||||
4.59% (1 Month LIBOR + 2.25%), 02/28/2025(2) | 966,972 | 910,337 | ||||||||||
SS&C Technologies, Inc. | ||||||||||||
4.59% (1 Month LIBOR + 2.25%), 02/28/2025(2) | 2,521,126 | 2,373,463 | ||||||||||
4.59% (1 Month LIBOR + 2.25%), 04/16/2025(2) | 1,311,693 | 1,235,458 | ||||||||||
StandardAero Aviation Holdings, Inc. | ||||||||||||
6.09% (1 Month LIBOR + 3.75%), 06/24/2022(2) | 4,708,600 | 4,643,857 | ||||||||||
Starfruit Finco BV | ||||||||||||
3.75% (6 Month EURIBOR + 3.75%), 09/18/2025(2) | EUR | 1,300,000 | 1,463,783 | |||||||||
Starfruit U.S. Holdco LLC | ||||||||||||
5.60% (1 Month LIBOR + 3.25%), 10/01/2025(2) | $ | 1,700,000 | 1,623,500 | |||||||||
Station Casinos LLC | ||||||||||||
4.85% (1 Month LIBOR + 2.50%), 06/08/2023(2) | 1,210,606 | 1,159,591 | ||||||||||
Syniverse Holdings, Inc. | ||||||||||||
7.46% (1 Month LIBOR + 5.00%), 04/30/2023(2) | 69,500 | 61,971 | ||||||||||
Tanzania (REP OF) Term Loan | ||||||||||||
5.50%, 12/10/2019(14) | 200,000 | 200,000 | ||||||||||
Telenet Financing USD LLC | ||||||||||||
4.71% (LIBOR USD), 08/17/2026(2) | 1,250,000 | 1,186,650 | ||||||||||
Tenaska Co. | ||||||||||||
6.09% (1 Month LIBOR + 3.75%), 09/24/2021(2) | 995,082 | 971,031 | ||||||||||
TEX Operations Company LLC | ||||||||||||
4.34% (1 Month LIBOR + 2.00%), 08/04/2023(2) | 2,701,340 | 2,598,527 | ||||||||||
Trans Union LLC | ||||||||||||
4.34% (1 Month LIBOR + 2.00%), 06/19/2025(2) | 2,457,650 | 2,365,488 | ||||||||||
Tronox Ltd. | ||||||||||||
5.34% (1 Month LIBOR + 3.00%), 09/13/2024(2) | 45,009 | 43,594 | ||||||||||
5.34% (1 Month LIBOR + 3.00%), 09/14/2024(2) | 103,866 | 100,602 | ||||||||||
Uber Technologies, Inc. | ||||||||||||
5.81% (1 Month LIBOR + 3.50%), 07/13/2023(2) | 3,956,825 | 3,786,206 | ||||||||||
6.39% (1 Month LIBOR + 4.00%), 03/26/2025(2) | 1,029,825 | 1,001,505 | ||||||||||
UFC Holdings LLC | ||||||||||||
5.60% (1 Month LIBOR + 3.25%), 08/18/2023(2) | 1,835,306 | 1,783,918 | ||||||||||
UnityMedia Finance LLC | ||||||||||||
4.46%, 05/24/2023 | 1,500,000 | 1,452,615 | ||||||||||
4.71% (1 Month LIBOR + 2.25%), 01/20/2026(2) | 200,000 | 192,666 | ||||||||||
Unitymedia Hessen GmbH & Co. KG | ||||||||||||
2.75% (6 Month EURIBOR + 2.75%), 01/01/2027(2) | EUR | 700,000 | 796,091 | |||||||||
Univision Communications, Inc. | ||||||||||||
5.09% (1 Month LIBOR + 2.75%), 03/15/2024(2) | $ | 1,989,369 | 1,796,241 | |||||||||
Valeant Pharmaceuticals International | ||||||||||||
5.38% (1 Month LIBOR + 3.00%), 06/02/2025(2) | 4,038,368 | 3,848,807 | ||||||||||
5.13% (1 Month LIBOR + 2.75%), 11/27/2025(2) | 898,625 | 850,890 | ||||||||||
Vantiv LLC | ||||||||||||
4.19% (1 Month LIBOR + 1.75%), 08/09/2024(2) | 1,017,313 | 973,649 | ||||||||||
Vistra Operations Co. LLC | ||||||||||||
4.43% (1 Month LIBOR + 2.00%), 12/15/2025(2) | 1,837,072 | 1,763,846 | ||||||||||
West Corp. | ||||||||||||
6.53% (3 Month LIBOR + 4.00%), 10/10/2024(2) | 77,264 | 70,745 | ||||||||||
WideOpenWest Finance LLC | ||||||||||||
5.72% (1 Month LIBOR + 3.25%), 08/18/2023(2) | 984,778 | 909,688 | ||||||||||
Wink Holdco, Inc. | ||||||||||||
5.34% (1 Month LIBOR + 3.00%), 12/02/2024(2) | 3,305,250 | 3,125,114 |
WR Grace & Co.-Conn | ||||||||
4.14% (3 Month LIBOR + 1.75%), 04/03/2025(2) | 152,513 | 147,175 | ||||||
4.14% (3 Month LIBOR + 1.75%), 04/03/2025(2) | 261,450 | 252,299 | ||||||
Wyndham Hotels & Resorts, Inc. | ||||||||
4.09% (1 Month LIBOR + 1.75%), 05/30/2025(2) | 200,000 | 192,000 | ||||||
Zayo Group LLC | ||||||||
4.34% (1 Month LIBOR + 2.00%), 01/19/2021(2) | 1,603,580 | 1,558,487 | ||||||
4.59% (1 Month LIBOR + 2.25%), 01/19/2024(2) | 785,000 | 749,958 | ||||||
|
| |||||||
Total Bank Loans (Cost $364,038,276) | $ | 344,783,315 | ||||||
|
| |||||||
Shares | Value | |||||||
COMMON STOCKS—0.02% | ||||||||
Communications—0.00%(13) | ||||||||
T-Mobile USA, Inc. Escrow(6)(14) | 1,200,000 | $ | 6,218 | |||||
T-Mobile USA, Inc. Escrow(6)(14) | 658,000 | 1,354 | ||||||
T-Mobile USA, Inc. Escrow(6)(14) | 1,053,000 | 2,016 | ||||||
|
| |||||||
9,588 | ||||||||
|
| |||||||
Consumer, Cyclical—0.02% | ||||||||
Caesars Entertainment Corp.(6) | 338,983 | 2,301,695 | ||||||
|
| |||||||
Total Common Stocks (Cost $4,048,657) | $ | 2,311,283 | ||||||
|
| |||||||
CONVERTIBLE PREFERRED STOCKS—0.04% | ||||||||
Consumer,Non-Cyclical—0.04% | ||||||||
Bunge Ltd., 4.88% | 68,719 | 6,665,743 | ||||||
|
| |||||||
Total Convertible Preferred Stocks (Cost $7,282,070) | $ | 6,665,743 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS—5.42% | ||||||||
Money Market Funds—1.72% | ||||||||
Fidelity Institutional Money Market Government Funds—Class I, 2.25%(7) (8) | 129,127,659 | 129,127,659 | ||||||
Goldman Sachs Financial Square Government Fund—Class I, 2.34%(7) (8) | 128,765,462 | 128,765,462 | ||||||
|
| |||||||
Total Money Market Funds | 257,893,121 | |||||||
|
| |||||||
Principal Amount | Value | |||||||
Banker’s Acceptances—0.58% | ||||||||
HSBC Bank, 2.04%, 01/10/2019 | CAD | 54,400,000 | $ | 39,824,131 | ||||
Royal Bank of Canada, 2.01%, 01/10/2019 | 65,400,000 | 47,876,805 | ||||||
|
| |||||||
Total Banker’s Acceptances | 87,700,936 | |||||||
|
| |||||||
Certificate of Deposit—0.00%(13) | ||||||||
Barclays Bank, 2.89% (3 Month LIBOR + 0.40%), 10/25/2019(2) | $ | 250,000 | 250,118 | |||||
|
| |||||||
Total Certificate of Deposit | 250,118 | |||||||
|
| |||||||
Commercial Paper—0.19% | ||||||||
Campbell Soup Co., 2.79%, 01/15/2019 | 3,100,000 | 3,096,422 | ||||||
Campbell Soup Co., 2.52%, 02/13/2019 | 5,320,000 | 5,301,085 | ||||||
Entergy Corp., 2.89%, 02/04/2019 | 5,320,000 | 5,304,933 | ||||||
Entergy Corp., 2.86%, 02/07/2019 | 7,980,000 | 7,955,295 | ||||||
Ford Motor Credit Co. LLC, 3.84%, 02/06/2019 | 800,000 | 797,391 | ||||||
Ford Motor Credit Co. LLC, 3.05%, 04/04/2019 | 6,660,000 | 6,601,865 | ||||||
|
| |||||||
Total Commercial Paper | 29,056,991 | |||||||
|
| |||||||
Foreign Treasury Bills—2.78% | ||||||||
Japan Treasury Discount Bill, 0.00%, 02/04/2019 | JPY | 1,800,000,000 | 16,424,908 | |||||
Japan Treasury Discount Bill, 0.00%, 03/25/2019 | 44,050,000,000 | 402,040,397 | ||||||
|
| |||||||
Total Foreign Treasury Bills | 418,465,305 | |||||||
|
|
Repurchase Agreements—0.10% | ||||||||
J.P. Morgan Securities, 2.95%, dated 12/28/2018, due 01/02/2019, repurchase price $12,201,999 (collateralized by U.S. Treasury Note value, $12,368,367, 1.88%, 02/28/2022) | $ | 12,200,000 | 12,200,000 | |||||
Merrill Lynch Pierce Fenner & Smith, Inc., 3.13%, dated 12/31/2018, due 01/02/2019, repurchase price $3,000,522 (collateralized by U.S. Treasury Bond value, $3,029,633, 2.75%, 08/15/2047) | 3,000,000 | 3,000,000 | ||||||
|
| |||||||
Total Repurchase Agreements | 15,200,000 | |||||||
|
| |||||||
U.S. Treasury Bills—0.05% | ||||||||
U.S. Treasury Bill, 0.00%, 03/28/2019(11) | 6,915,000 | 6,875,526 | ||||||
|
| |||||||
Total Short-Term Investments (Cost $803,458,561) | $ | 815,441,997 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES—106.84% | $ | 16,074,425,774 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS—(6.84)% | (1,029,206,955 | ) | ||||||
|
| |||||||
TOTAL NET ASSETS—100.00% | $ | 15,045,218,819 | ||||||
|
|
Percentages are stated as a percent of net assets.
Principal amounts are denominated in the currency in which the security was purchased.
ARS | Argentine Peso |
AUD | Australian Dollar |
CAD | Canadian Dollar |
COP | Colombian Peso |
EUR | Euro |
GBP | British Pound |
JPY | Japanese Yen |
PEN | Peruvian Sol |
PIK | Payment in Kind |
(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 $3,122,355,166, which represents 20.75% 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 December 31, 2018. |
(3) | Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. The rate reported is the rate in effect as of December 31, 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 December 31, 2018. |
(5) | Delayed delivery purchase commitment security. The value of these securities total $143,241,174, which represents 0.95% of total net assets. |
(6) | Non-income producing security. |
(7) | Partially assigned as collateral for certain delayed delivery securities. |
(8) | Represents annualizedseven-day yield as of the close of the reporting period. |
(9) | Inflation protected security. The value of these securities total $111,569,482, which represents 0.74% of total net assets. |
(10) | A portion of these U.S. Treasuries were purchased in a sale-buyback transaction. The value of these securities total $905,178,156, which represents 6.02% of total net assets. |
(11) | Partially assigned as collateral for certain future and swap contracts. The value of these pledged issues total $47,760,480, which represents 0.32% of total net assets. |
(12) | Security is in default as of December 31, 2018. The value of these securities total $67,581,805, which represents 0.45% of total net assets. |
(13) | Amount calculated is less than 0.005%. |
(14) | Security is categorized as Level 3 per the Trust’s fair value hierarchy. These securities represent $209,588 or 0.00% of the Fund’s net assets. |
Open Futures Contracts
Number of Contracts Purchased | Reference Entity | Counterparty | Expiration Date | Notional Amount | Value | Unrealized Appreciation / (Depreciation) | ||||||||||||||
408 | Australian 10 Year Bond Future | Goldman Sachs | Mar. 2019 | AUD | 53,581,632 | $ | 38,127,408 | $ | 387,218 | |||||||||||
2,176 | U.S. 2 Year Note Future | Citigroup Global Markets | Mar. 2019 | $ | 458,929,565 | 461,992,000 | 3,062,435 | |||||||||||||
1,779 | U.S. 2 Year Note Future | Goldman Sachs | Mar. 2019 | 375,232,544 | 377,703,938 | 2,471,394 | ||||||||||||||
3,431 | U.S. 5 Year Note Future | Citigroup Global Markets | Mar. 2019 | 387,192,758 | 393,492,812 | 6,300,054 | ||||||||||||||
7,277 | U.S. 10 Year Note Future | Goldman Sachs | Mar. 2019 | 867,614,176 | 887,907,703 | 20,293,527 | ||||||||||||||
3 | U.S. Ultra Long-Term Bond Future | Citigroup Global Markets | Mar. 2019 | 457,718 | 481,969 | 24,251 | ||||||||||||||
1,665 | U.S. Ultra Long-Term Bond Future | Goldman Sachs | Mar. 2019 | 253,836,817 | 267,492,656 | 13,655,839 | ||||||||||||||
|
| |||||||||||||||||||
46,194,718 | ||||||||||||||||||||
|
| |||||||||||||||||||
Number of Contracts Sold | Reference Entity | Counterparty | Expiration Date | Notional Amount | Value | Unrealized Appreciation / (Depreciation) | ||||||||||||||
(264) | Euro-Bobl Future | Citigroup Global Markets | Mar. 2019 | EUR | (34,889,507) | $ | (40,084,419) | $ | (109,732 | ) | ||||||||||
(634) | U.S. 5 Year Note Future | Goldman Sachs | Mar. 2019 | $ (72,058,596) | (72,711,875) | (653,279 | ) | |||||||||||||
(55) | U.S. Ultra 10 Year Note Future | Goldman Sachs | Mar. 2019 | (6,930,961) | (7,154,297) | (223,336 | ) | |||||||||||||
|
| |||||||||||||||||||
(986,347 | ) | |||||||||||||||||||
|
| |||||||||||||||||||
$ 45,208,371 | ||||||||||||||||||||
|
|
Over-the-Counter Forward Foreign Currency Exchange Contracts
Currency Purchased | Currency Sold | Settlement Date | Counterparty | Unrealized Appreciation / (Depreciation) | ||||||||||||
ARS* | 340,379,586 | USD | 8,661,058 | 01/04/19 | Deutsche Bank | $ | 323,094 | |||||||||
ARS* | 50,667,768 | USD | 1,289,256 | 01/04/19 | J.P. Morgan | 48,095 | ||||||||||
ARS* | 62,906,889 | USD | 1,620,059 | 01/11/19 | J.P. Morgan | 23,134 | ||||||||||
ARS* | 318,633,208 | USD | 7,801,033 | 01/16/19 | J.P. Morgan | 460,847 | ||||||||||
ARS* | 391,047,354 | USD | 9,319,527 | 03/13/19 | J.P. Morgan | 144,344 | ||||||||||
ARS* | 54,265,962 | USD | 1,365,869 | 01/22/19 | Morgan Stanley | 28,904 | ||||||||||
CHF | 4,063,000 | USD | 4,125,673 | 02/22/19 | J.P. Morgan | 28,222 | ||||||||||
CHF | 19,072,000 | USD | 19,302,137 | 02/15/19 | Morgan Stanley | 184,512 | ||||||||||
EUR | 4,274,000 | USD | 4,909,027 | 02/22/19 | Goldman Sachs | 9,781 | ||||||||||
EUR | 7,318,000 | USD | 8,386,623 | 01/11/19 | J.P. Morgan | 5,794 | ||||||||||
GBP | 4,876,000 | USD | 6,181,555 | 01/11/19 | J.P. Morgan | 36,838 | ||||||||||
IDR* | 1,475,948,000 | USD | 100,398 | 03/20/19 | Deutsche Bank | 1,347 | ||||||||||
JPY | 453,293,000 | USD | 4,034,679 | 01/25/19 | Citigroup Global Markets | 109,575 | ||||||||||
MXN | 844,663,000 | USD | 42,720,388 | 01/25/19 | J.P. Morgan | 83,553 | ||||||||||
RON | 2,048,384 | USD | 502,189 | 01/18/19 | Goldman Sachs | 1,854 | ||||||||||
SEK | 36,890,000 | USD | 4,121,235 | 02/22/19 | Merrill Lynch | 58,920 | ||||||||||
TRY | 26,087,000 | USD | 3,967,655 | 01/15/19 | J.P. Morgan | 917,953 | ||||||||||
TRY | 221,714,090 | USD | 37,186,856 | 02/19/19 | J.P. Morgan | 3,553,309 | ||||||||||
USD | 4,077,860 | AUD | 5,660,000 | 01/25/19 | Citigroup Global Markets | 89,089 | ||||||||||
USD | 67,125,681 | AUD | 91,432,000 | 01/11/19 | J.P. Morgan | 2,710,292 | ||||||||||
USD | 4,080,409 | CAD | 5,350,000 | 01/25/19 | Goldman Sachs | 158,852 | ||||||||||
USD | 89,622,051 | CAD | 119,605,000 | 02/15/19 | J.P. Morgan | 1,910,129 | ||||||||||
USD | 9,035,409 | CAD | 11,942,000 | 02/15/19 | Morgan Stanley | 277,783 | ||||||||||
USD | 1,739,058 | COP* | 5,583,041,086 | 02/08/19 | Goldman Sachs | 23,319 | ||||||||||
USD | 3,477,393 | COP* | 11,166,082,172 | 02/08/19 | J.P. Morgan | 45,916 | ||||||||||
USD | 12,216,297 | COP* | 39,081,287,602 | 02/08/19 | Morgan Stanley | 206,126 | ||||||||||
USD | 4,100,445 | GBP | 3,174,000 | 02/22/19 | Goldman Sachs | 44,293 | ||||||||||
USD | 178,431,210 | GBP | 139,709,000 | 01/11/19 | J.P. Morgan | 259,461 | ||||||||||
USD | 4,068,482 | NOK | 34,392,000 | 02/22/19 | Goldman Sachs | 81,237 | ||||||||||
USD | 22,571,400 | NZD | 33,217,000 | 02/15/19 | J.P. Morgan | 257,670 | ||||||||||
USD | 4,104,683 | NZD | 6,050,000 | 02/22/19 | Merrill Lynch | 40,079 | ||||||||||
USD | 8,856,569 | PEN* | 29,614,597 | 01/22/19 | Morgan Stanley | 72,652 | ||||||||||
|
| |||||||||||||||
Total Unrealized Appreciation | 12,196,974 | |||||||||||||||
|
|
ARS* | 86,555,140 | USD | 2,276,868 | 01/15/19 | J.P. Morgan | (29,266 | ) | |||||||||
ARS* | 345,899,999 | USD | 6,221,223 | 02/27/20 | J.P. Morgan | (11,309 | ) | |||||||||
AUD | 5,660,000 | USD | 4,116,009 | 01/25/19 | Citigroup Global Markets | (127,237 | ) | |||||||||
AUD | 1,858,000 | USD | 1,324,544 | 01/11/19 | J.P. Morgan | (15,552 | ) | |||||||||
AUD | 1,910,000 | USD | 1,393,790 | 01/11/19 | Morgan Stanley | (48,163 | ) | |||||||||
CAD | 5,350,000 | USD | 4,039,443 | 01/25/19 | Merrill Lynch | (117,886 | ) | |||||||||
CAD | 12,800,000 | USD | 9,647,210 | 02/15/19 | Morgan Stanley | (260,373 | ) | |||||||||
EUR | 3,398,000 | USD | 3,910,928 | 02/22/19 | Merrill Lynch | (281 | ) | |||||||||
GBP | 3,174,000 | USD | 4,077,066 | 02/22/19 | Citigroup Global Markets | (20,914 | ) | |||||||||
NOK | 34,392,000 | USD | 4,052,793 | 02/22/19 | Merrill Lynch | (65,548 | ) | |||||||||
NZD | 6,050,000 | USD | 4,141,122 | 02/22/19 | J.P. Morgan | (76,519 | ) | |||||||||
RUB* | 249,817,460 | USD | 3,680,092 | 01/30/19 | J.P. Morgan | (110,863 | ) | |||||||||
RUB* | 2,523,317,626 | USD | 37,839,359 | 02/15/19 | Morgan Stanley | (1,858,580 | ) | |||||||||
USD | 10,065,569 | ARS* | 391,047,354 | 01/04/19 | J.P. Morgan | (255,934 | ) | |||||||||
USD | 6,221,223 | ARS* | 244,494,064 | 01/16/19 | J.P. Morgan | (118,295 | ) | |||||||||
USD | 18,990,565 | CHF | 18,951,000 | 02/15/19 | J.P. Morgan | (372,454 | ) | |||||||||
USD | 4,072,162 | CHF | 4,063,000 | 02/22/19 | Merrill Lynch | (81,733 | ) | |||||||||
USD | 5,679,290 | EUR | 4,965,000 | 02/22/19 | Citigroup Global Markets | (34,767 | ) | |||||||||
USD | 9,809,264 | EUR | 8,605,000 | 01/11/19 | J.P. Morgan | (59,109 | ) | |||||||||
USD | 5,676,350 | EUR | 4,965,000 | 02/22/19 | Merrill Lynch | (37,706 | ) | |||||||||
USD | 274,019,238 | EUR | 240,590,000 | 01/11/19 | Morgan Stanley | (1,893,810 | ) | |||||||||
USD | 1,105,970 | EUR | 967,565 | 02/22/19 | State Street | (7,568 | ) | |||||||||
USD | 11,428,626 | EUR | 9,931,181 | 02/22/19 | UBS | (846 | ) | |||||||||
USD | 2,556,085 | GBP | 2,011,000 | 01/11/19 | Morgan Stanley | (8,556 | ) | |||||||||
USD | 4,086,065 | JPY | 453,293,000 | 01/25/19 | Citigroup Global Markets | (58,190 | ) | |||||||||
USD | 391,485,958 | JPY | 44,050,000,000 | 03/25/19 | J.P. Morgan | (13,209,390 | ) | |||||||||
USD | 15,943,595 | JPY | 1,800,000,000 | 02/04/19 | Morgan Stanley | (525,500 | ) | |||||||||
USD | 498,257 | RON | 2,048,384 | 01/18/19 | Goldman Sachs | (5,786 | ) | |||||||||
USD | 2,067,943 | SEK | 18,445,000 | 02/22/19 | Citigroup Global Markets | (22,134 | ) | |||||||||
USD | 2,069,588 | SEK | 18,445,000 | 02/22/19 | State Street | (20,489 | ) | |||||||||
USD | 13,510,588 | TRY | 72,449,000 | 01/15/19 | J.P. Morgan | (57,759 | ) | |||||||||
|
| |||||||||||||||
Total Unrealized Depreciation | (19,512,517 | ) | ||||||||||||||
|
| |||||||||||||||
Net Unrealized Depreciation | $ | (7,315,543 | ) | |||||||||||||
|
|
* | Non-deliverable forward (See Note 3). | |||||
ARS | Argentine Peso | MXN | Mexican Peso | |||
AUD | Australian Dollar | NOK | Norwegian Krone | |||
CAD | Canadian Dollar | NZD | New Zealand Dollar | |||
CHF | Swiss Franc | PEN | Peruvian Sol | |||
COP | Columbian Peso | RON | Romanian Leu | |||
EUR | Euro | RUB | Russian Ruble | |||
GBP | British Pound | SEK | Swedish Krona | |||
IDR | Indonesian Rupiah | TRY | Turkish Lira | |||
JPY | Japanese Yen |
Centrally Cleared Credit Default Swaps - Buy Protection
Reference | Fixed Annual Rate Paid by Fund | Maturity Date | Implied Credit Spread at December 31, 2018 | Notional Amount | Upfront Premium Paid / (Received) | Unrealized Appreciation / (Depreciation) | Value | |||||||||||||||||||||
CDX.HY.31 | 5.00 | % | 12/20/2023 | 5.10 | % | $ | 54,600,000 | $ (1,610,244) | $ | 501,818 | $ (1,108,426 | ) | ||||||||||||||||
CDX.HY.31 | 5.00 | 12/20/2023 | 5.10 | 19,300,000 | (940,957 | ) | 549,151 | (391,806 | ) | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ (2,551,201) | $ | 1,050,969 | $ (1,500,232 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
Centrally Cleared Credit Default Swaps - Sell Protection
Reference Entity | Fixed Annual Rate Received by Fund | Maturity Date | Implied Credit Spread at December 31, 2018 | Notional Amount | Upfront Premium Paid / (Received) | Unrealized Appreciation / (Depreciation) | Value | |||||||||||||||||||||
CDX.EM.28 | 1.00 | % | 12/20/2022 | 1.68 | % | $ | 9,894,000 | $ | (312,566 | ) | $ | 73,958 | $ (238,608 | ) | ||||||||||||||
CDX.EM.29 | 1.00 | 06/20/2023 | 1.61 | 2,000,000 | (36,557 | ) | (37,437 | ) | (73,994 | ) | ||||||||||||||||||
CDX.EM.30 | 1.00 | 12/20/2023 | 2.15 | 10,800,000 | (490,770 | ) | (17,870 | ) | (508,640 | ) | ||||||||||||||||||
Deutsche Bank | 1.00 | 06/20/2019 | 1.14 | EUR | 3,400,000 | (4,807 | ) | 2,110 | (2,697 | ) | ||||||||||||||||||
Deutsche Bank | 1.00 | 12/20/2019 | 1.46 | 5,100,000 | (39,641 | ) | 14,050 | (25,591 | ) | |||||||||||||||||||
General Electric Company | 1.00 | 12/20/2023 | 2.04 | $ | 700,000 | (32,361 | ) | 524 | (31,837 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | (916,702) | $ | 35,335 | $ (881,367) | ||||||||||||||||||||||||
|
|
|
|
|
|
Over-the-Counter Credit Default Swaps-Sell Protection
Counterparty | Reference Entity | Fixed Annual Rate Received by Fund | Maturity Date | Implied Credit Spread at December 31, 2018 | Notional Amount | Upfront Premium Paid / (Received) | Unrealized Appreciation / (Depreciation) | Value | ||||||||||||||||||||||
Goldman Sachs | Argentine Republic | 5.00 | % | 06/20/2019 | 2.23 | % | $ | 150,000 | $ | 1,044 | $ | (486 | ) | $ | 558 | |||||||||||||||
J.P. Morgan | Argentine Republic | 5.00 | 06/20/2023 | 6.61 | 200,000 | 1,306 | (21,777 | ) | (20,471 | ) | ||||||||||||||||||||
Deutsche Bank | CMBX.NA.AAA.10 | 0.50 | 11/17/2059 | 0.34 | 16,450,000 | (275,676 | ) | 95,149 | (180,527 | ) | ||||||||||||||||||||
Goldman Sachs | Federative Republic of Brazil | 1.00 | 06/20/2023 | 0.13 | 4,600,000 | (226,869 | ) | 57,303 | (169,566 | ) | ||||||||||||||||||||
Merrill Lynch | Penerbangan Malaysia BHD | 1.00 | 12/20/2023 | 1.08 | 9,300,000 | (18,584 | ) | (21,085 | ) | (39,669 | ) | |||||||||||||||||||
Merrill Lynch | Republic of Colombia | 1.00 | 12/20/2023 | 1.56 | 10,335,000 | (69,791 | ) | (196,358 | ) | (266,149 | ) | |||||||||||||||||||
Morgan Stanley | Republic of Colombia | 1.00 | 12/20/2023 | 1.56 | 18,785,000 | (112,294 | ) | (371,461 | ) | (483,755 | ) | |||||||||||||||||||
J.P. Morgan | Republic of Indonesia | 1.00 | 12/20/2023 | 1.36 | 8,895,000 | (164,810 | ) | 16,498 | (148,312 | ) | ||||||||||||||||||||
Merrill Lynch | Republic of Indonesia | 1.00 | 12/20/2023 | 1.36 | 9,980,000 | (172,159 | ) | 5,756 | (166,403 | ) | ||||||||||||||||||||
Morgan Stanley | Republic of Indonesia | 1.00 | 12/20/2023 | 1.36 | 9,425,000 | (124,361 | ) | (32,788 | ) | (157,149 | ) | |||||||||||||||||||
J.P. Morgan | Republic of South Africa | 1.00 | 06/20/2023 | 2.06 | 9,400,000 | (582,489 | ) | 158,746 | (423,743 | ) | ||||||||||||||||||||
J.P. Morgan | Republic of South Africa | 1.00 | 12/20/2023 | 2.21 | 16,320,000 | (872,804 | ) | (16,640 | ) | (889,444 | ) | |||||||||||||||||||
J.P. Morgan | Republic of South Africa | 1.00 | 12/20/2023 | 2.21 | 4,700,000 | (244,385 | ) | (11,766 | ) | (256,151 | ) | |||||||||||||||||||
Goldman Sachs | Russia Emerging Markets SPMYC | 1.00 | 12/20/2022 | 0.65 | 1,500,000 | (24,788 | ) | 4,964 | (19,824 | ) | ||||||||||||||||||||
Goldman Sachs | Russia Emerging Markets SPMYC | 1.00 | 12/20/2023 | 0.48 | 26,600,000 | (407,042 | ) | (230,721 | ) | (637,763 | ) | |||||||||||||||||||
J.P. Morgan | Russia Emerging Markets SPMYC | 1.00 | 06/20/2023 | 0.56 | 18,200,000 | (473,538 | ) | 133,970 | (339,568 | ) | ||||||||||||||||||||
Deutsche Bank | United Mexican States | 1.00 | 12/20/2023 | 0.46 | 1,700,000 | (32,955 | ) | (9,359 | ) | (42,314 | ) | |||||||||||||||||||
Goldman Sachs | United Mexican States | 1.00 | 06/20/2023 | 0.57 | 29,900,000 | (208,552 | ) | (326,269 | ) | (534,821 | ) | |||||||||||||||||||
Goldman Sachs | United Mexican States | 1.00 | 12/20/2023 | 0.46 | 10,200,000 | (191,907 | ) | (61,978 | ) | (253,885 | ) | |||||||||||||||||||
J.P. Morgan | United Mexican States | 1.00 | 12/20/2023 | 0.46 | 6,300,000 | (119,568 | ) | (37,243 | ) | (156,811 | ) | |||||||||||||||||||
Morgan Stanley | United Mexican States | 1.00 | 12/20/2022 | 0.72 | 3,800,000 | 3,503 | (44,165 | ) | (40,662 | ) | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | (4,316,719 | ) | $ | (909,710 | ) | $ | (5,226,429 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
Centrally Cleared Interest Rate Swaps
Fixed Annual | Floating Rate Index | Floating Rate Paid or Received | Payment | Maturity Date | Notional Amount | Upfront Premium Paid / (Received) | Unrealized Appreciation / (Depreciation) | Value | ||||||||||||||||
2.50% | 3 Month LIBOR | Paid | Quarterly | 12/20/2024 | $ | 84,500,000 | $ | 1,272,053 | $ | (1,715,828 | ) | $ | (443,775 | ) | ||||||||||
2.50 | 3 Month LIBOR | Paid | Quarterly | 12/20/2027 | 94,300,000 | 2,017,926 | (3,482,990 | ) | (1,465,064 | ) | ||||||||||||||
2.50 | 3 Month LIBOR | Paid | Quarterly | 12/20/2027 | 107,900,000 | (1,281,113 | ) | (274,716 | ) | (1,555,829 | ) | |||||||||||||
3.00 | 3 Month LIBOR | Received | Quarterly | 12/19/2048 | 73,800,000 | (1,363,241 | ) | (1,136,047 | ) | (2,499,288 | ) | |||||||||||||
3.00 | 6 Month AUD BBSW | Paid | Semi-Annual | 03/21/2027 | AUD | 109,400,000 | 727,158 | 2,437,002 | 3,164,160 | |||||||||||||||
1.00 | 6 Month EURIBOR | Received | Semi-Annual | 03/20/2029 | EUR | 16,100,000 | 64,261 | (327,289 | ) | (263,028 | ) | |||||||||||||
1.50 | 6 Month GBP LIBOR | Received | Semi-Annual | 03/20/2029 | GBP | 18,700,000 | 292,289 | (414,922 | ) | (122,633 | ) | |||||||||||||
1.75 | 6 Month GBP LIBOR | Received | Semi-Annual | 03/20/2049 | 1,500,000 | (9,126 | ) | (88,471 | ) | (97,597 | ) | |||||||||||||
7.15 | Mexico Interbank TIIE 28 Day | Paid | Lunar | 06/11/2027 | MXN | 25,800,000 | (20,444 | ) | (109,109 | ) | (129,553 | ) | ||||||||||||
7.36 | Mexico Interbank TIIE 28 Day | Received | Lunar | 08/21/2037 | 900,000 | 3,468 | 4,277 | 7,745 | ||||||||||||||||
7.37 | Mexico Interbank TIIE 28 Day | Paid | Lunar | 10/11/2027 | 40,300,000 | (2,223 | ) | (179,271 | ) | (181,494 | ) | |||||||||||||
7.38 | Mexico Interbank TIIE 28 Day | Received | Lunar | 08/14/2037 | 1,300,000 | 4,901 | 6,156 | 11,057 | ||||||||||||||||
7.61 | Mexico Interbank TIIE 28 Day | Received | Lunar | 01/23/2023 | 222,400,000 | 178,725 | 207,899 | 386,624 | ||||||||||||||||
7.75 | Mexico Interbank TIIE 28 Day | Paid | Lunar | 01/05/2023 | 1,400,000 | — | (2,072 | ) | (2,072 | ) | ||||||||||||||
7.81 | Mexico Interbank TIIE 28 Day | Paid | Lunar | 02/06/2023 | 2,800,000 | — | (3,920 | ) | (3,920 | ) | ||||||||||||||
7.82 | Mexico Interbank TIIE 28 Day | Paid | Lunar | 02/06/2023 | 2,800,000 | (481 | ) | (3,364 | ) | (3,845 | ) | |||||||||||||
7.87 | Mexico Interbank TIIE 28 Day | Paid | Lunar | 12/27/2022 | 3,400,000 | — | (4,302 | ) | (4,302 | ) | ||||||||||||||
7.88 | Mexico Interbank TIIE 28 Day | Paid | Lunar | 12/16/2022 | 2,000,000 | — | (2,470 | ) | (2,470 | ) | ||||||||||||||
7.88 | Mexico Interbank TIIE 28 Day | Paid | Lunar | 12/27/2022 | 36,000,000 | 13,008 | (57,615 | ) | (44,607 | ) | ||||||||||||||
7.91 | Mexico Interbank TIIE 28 Day | Received | Lunar | 12/30/2027 | 800,000 | — | 2,288 | 2,288 | ||||||||||||||||
7.98 | Mexico Interbank TIIE 28 Day | Received | Lunar | 12/10/2027 | 3,300,000 | (25 | ) | 8,594 | 8,569 | |||||||||||||||
7.99 | Mexico Interbank TIIE 28 Day | Received | Lunar | 12/21/2027 | 100,000 | — | 259 | 259 | ||||||||||||||||
8.01 | Mexico Interbank TIIE 28 Day | Received | Lunar | 12/21/2027 | 20,200,000 | (9,971 | ) | 61,351 | 51,380 | |||||||||||||||
8.03 | Mexico Interbank TIIE 28 Day | Received | Lunar | 01/31/2028 | 1,600,000 | 15 | 3,982 | 3,997 | ||||||||||||||||
8.05 | Mexico Interbank TIIE 28 Day | Received | Lunar | 01/31/2028 | 2,400,000 | 682 | 5,156 | 5,838 | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 1,887,862 | $ | (5,065,422 | ) | $ | (3,177,560 | ) | |||||||||||||||||
|
|
|
|
|
|
Over-the-Counter Total Return Swap Contracts - Long
Counterparty | Reference Entity | Floating Rate Paid by Fund | Payment Fequency | Maturity Date | Notional Amount | Upfront Premium Paid / (Received) | Unrealized Appreciation / (Depreciation) | Value | ||||||||||||||||||||||
J.P. Morgan | IBOXX USD Liquid High Yield Index Series 1 | 3-Month LIBOR Paid | Quarterly | 03/20/2019 | $62,000,000 | $ | — | $ | (1,871,140 | ) | $ | (1,871,140 | ) | |||||||||||||||||
Goldman Sachs | IBOXX USD Liquid High Yield Index Series 1 | 3-Month LIBOR Paid | Quarterly | 03/20/2019 | 40,000,000 | — | (541,589 | ) | (541,589 | ) | ||||||||||||||||||||
J.P. Morgan | IBOXX USD Liquid High Yield Index Series 1 | 3-Month LIBOR Paid | Quarterly | 06/20/2019 | 50,000,000 | — | (1,682,595 | ) | (1,682,595 | ) | ||||||||||||||||||||
Goldman Sachs | IBOXX USD Liquid High Yield Index Series 1 | 3-Month LIBOR Paid | Quarterly | 06/20/2019 | 50,000,000 | — | (1,584,715 | ) | (1,584,715 | ) | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | — | $ | (5,680,039 | ) | $ | (5,680,039 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
Sale-Buyback Transactions
Counterparty | Borrowing Date | Maturity Date | Borrowing Rate | Amount Borrowed | ||||||||||||
BNP Paribas | 12/06/18 | 02/07/19 | 2.70 | % | $ | 79,237,567 | ||||||||||
Goldman Sachs | 11/20/18 | 01/02/19 | 2.65 | 246,049,085 | ||||||||||||
Goldman Sachs | 12/10/18 | 01/10/19 | 2.85 | 57,961,569 | ||||||||||||
Goldman Sachs | 12/13/18 | 01/24/19 | 2.50 | 6,149,115 | ||||||||||||
Morgan Stanley | 11/27/18 | 01/09/19 | 2.69 | 9,593,072 | ||||||||||||
Morgan Stanley | 12/11/18 | 01/14/19 | 2.60 | 8,989,217 | ||||||||||||
Morgan Stanley | 12/13/18 | 01/03/19 | 2.94 | 83,718,083 | ||||||||||||
Morgan Stanley | 12/17/18 | 01/02/19 | 3.08 | 203,016,431 | ||||||||||||
Morgan Stanley | 12/18/18 | 01/02/19 | 3.12 | 173,036,304 | ||||||||||||
Morgan Stanley | 12/27/18 | 01/03/19 | 3.40 | 23,445,664 | ||||||||||||
|
| |||||||||||||||
$ | 891,196,107 | |||||||||||||||
|
|
Bridge Builder Municipal Bond Fund
Schedule of Investments
December 31, 2018 (Unaudited)
Principal Amount | Value | |||||||
MUNICIPAL BONDS—98.25% | ||||||||
Alabama—1.01% | ||||||||
Alabama Federal Aid Highway Finance Authority | ||||||||
5.00%, 09/01/2031 | $ | 4,845,000 | $ | 5,494,230 | ||||
Alabama Public School & College Authority | ||||||||
5.00%, 06/01/2035 | 4,000,000 | 4,497,120 | ||||||
County of Jefferson AL | ||||||||
5.00%, 04/01/2021 | 1,085,000 | 1,154,831 | ||||||
5.00%, 04/01/2023 | 1,550,000 | 1,723,569 | ||||||
County of Jefferson AL Sewer Revenue | ||||||||
5.00%, 10/01/2044 | 1,500,000 | 1,625,685 | ||||||
5.25%, 10/01/2048 | 1,650,000 | 1,803,879 | ||||||
5.50%, 10/01/2053 | 715,000 | 788,767 | ||||||
Industrial Development Board of the City of Mobile Alabama | ||||||||
1.85%, 06/01/2034(1) | 1,025,000 | 1,018,348 | ||||||
Montgomery Medical Clinic Board | ||||||||
5.00%, 03/01/2019 | 1,500,000 | 1,505,520 | ||||||
5.00%, 03/01/2029 | 1,000,000 | 1,100,890 | ||||||
Selma Industrial Development Board | ||||||||
5.80%, 05/01/2034 | 2,900,000 | 3,024,091 | ||||||
5.38%, 12/01/2035 | 215,000 | 231,430 | ||||||
Southeast Alabama Gas Supply District | ||||||||
4.00%, 04/01/2049(1) | 4,410,000 | 4,607,127 | ||||||
4.00%, 06/01/2049(1) | 11,010,000 | 11,511,065 | ||||||
Water Works Board of the City of Birmingham | ||||||||
5.00%, 01/01/2023 | 430,000 | 477,364 | ||||||
5.00%, 01/01/2040 | 3,000,000 | 3,307,920 | ||||||
|
| |||||||
43,871,836 | ||||||||
|
| |||||||
Alaska—0.10% | ||||||||
Borough of North Slope AK | ||||||||
5.00%, 06/30/2021 | 305,000 | 319,347 | ||||||
City of Valdez AK | ||||||||
5.00%, 01/01/2021 | 4,000,000 | 4,214,960 | ||||||
|
| |||||||
4,534,307 | ||||||||
|
| |||||||
Arizona—2.26% | ||||||||
Arizona Health Facilities Authority | ||||||||
5.00%, 02/01/2042 | 2,000,000 | 2,110,080 | ||||||
City of Glendale AZ | ||||||||
5.00%, 07/01/2030 | 1,780,000 | 2,081,550 | ||||||
City of Mesa AZ | ||||||||
4.00%, 07/01/2028 | 1,265,000 | 1,399,204 | ||||||
City of Phoenix AZ | ||||||||
4.00%, 07/01/2022 | 900,000 | 963,612 | ||||||
City of Phoenix Civic Improvement Corp. | ||||||||
5.00%, 07/01/2022 | 275,000 | 300,570 | ||||||
5.00%, 07/01/2029 | 12,865,000 | 14,143,781 | ||||||
5.00%, 07/01/2032 | 800,000 | 917,896 | ||||||
5.00%, 07/01/2036 | 3,000,000 | 3,434,880 | ||||||
County of Pima AZ | ||||||||
4.00%, 07/01/2022 | 13,160,000 | 14,066,987 | ||||||
County of Pima AZ Sewer System Revenue | ||||||||
5.00%, 07/01/2022 | 10,000,000 | 11,025,500 |
Glendale Industrial Development Authority | ||||||||
4.00%, 07/01/2028 | 300,000 | 295,341 | ||||||
5.00%, 07/01/2033 | 435,000 | 451,147 | ||||||
5.00%, 07/01/2038 | 450,000 | 459,050 | ||||||
5.00%, 07/01/2048 | 915,000 | 922,558 | ||||||
Industrial Development Authority of the City of Phoenix | ||||||||
2.15%, 12/01/2035(1) | 13,000,000 | 12,997,010 | ||||||
5.00%, 07/01/2037 | 4,750,000 | 5,141,685 | ||||||
Maricopa County Industrial Development Authority | ||||||||
5.75%, 01/01/2036(2) | 100,000 | 99,678 | ||||||
5.00%, 01/01/2048(1) | 1,300,000 | 1,432,678 | ||||||
5.00%, 01/01/2048(1) | 1,000,000 | 1,143,260 | ||||||
6.00%, 01/01/2048(2) | 635,000 | 636,994 | ||||||
Maricopa County Special Health Care District | ||||||||
5.00%, 07/01/2025 | 5,000,000 | 5,806,800 | ||||||
5.00%, 07/01/2026 | 7,000,000 | 8,215,340 | ||||||
McAllister Academic Village LLC | ||||||||
5.00%, 07/01/2021 | 200,000 | 214,782 | ||||||
Peoria Industrial Development Authority | ||||||||
5.00%, 11/15/2019 | 60,000 | 61,033 | ||||||
Salt River Project Agricultural Improvement & Power District | ||||||||
5.00%, 01/01/2022 | 1,200,000 | 1,309,980 | ||||||
5.00%, 01/01/2024 | 1,600,000 | 1,827,888 | ||||||
5.00%, 01/01/2033 | 1,000,000 | 1,186,970 | ||||||
Salt Verde Financial Corp. | ||||||||
5.00%, 12/01/2037 | 3,500,000 | 4,001,375 | ||||||
Tempe Industrial Development Authority | ||||||||
4.00%, 10/01/2023(2) | 1,250,000 | 1,250,987 | ||||||
6.00%, 10/01/2037(2) | 40,000 | 43,125 | ||||||
6.13%, 10/01/2047(2) | 80,000 | 85,953 | ||||||
6.13%, 10/01/2052(2) | 80,000 | 85,662 | ||||||
|
| |||||||
98,113,356 | ||||||||
|
| |||||||
Arkansas—0.02% | ||||||||
Arkansas State University | ||||||||
4.00%, 03/01/2019 | 500,000 | 501,725 | ||||||
4.00%, 03/01/2020 | 525,000 | 537,589 | ||||||
|
| |||||||
1,039,314 | ||||||||
|
| |||||||
California—4.03% | ||||||||
ABAG Finance Authority for Nonprofit Corp. | ||||||||
5.00%, 08/01/2033 | 1,300,000 | 1,448,668 | ||||||
Alameda Corridor Transportation Authority | ||||||||
5.00%, 10/01/2036 | 2,500,000 | 2,761,250 | ||||||
5.00%, 10/01/2037 | 2,000,000 | 2,201,860 | ||||||
Alisal Union School District | ||||||||
5.25%, 08/01/2042 | 740,000 | 860,220 | ||||||
Bay Area Toll Authority | ||||||||
2.96% (SIFMA Municipal Swap Index + 1.25%), 04/01/2036(3) | 1,000,000 | 1,034,780 | ||||||
2.10%, 04/01/2045(1) | 2,790,000 | 2,795,161 | ||||||
2.85%, 04/01/2047(1) | 1,000,000 | 1,031,050 | ||||||
2.95%, 04/01/2047(1) | 1,170,000 | 1,209,827 | ||||||
California Health Facilities Financing Authority | ||||||||
5.63%, 07/01/2025 | 2,130,000 | 2,167,275 | ||||||
5.00%, 11/01/2032(1) | 1,400,000 | 1,555,624 | ||||||
5.00%, 07/01/2034(1) | 1,710,000 | 1,896,373 | ||||||
1.25%, 10/01/2036(1) | 2,500,000 | 2,474,350 | ||||||
California Municipal Finance Authority | ||||||||
5.00%, 08/15/2029 | 1,000,000 | 1,202,140 | ||||||
5.00%, 12/31/2029 | 2,300,000 | 2,620,413 | ||||||
5.00%, 08/15/2034 | 1,065,000 | 1,235,283 | ||||||
4.00%, 08/15/2037 | 1,560,000 | 1,567,862 | ||||||
4.00%, 08/15/2042 | 1,000,000 | 990,910 |
5.00%, 12/31/2043 | 6,835,000 | 7,443,657 | ||||||
5.00%, 12/31/2047 | 555,000 | 602,586 | ||||||
California Pollution Control Financing Authority | ||||||||
2.15%, 08/01/2023(1) (2) | 17,655,000 | 17,650,939 | ||||||
California Public Finance Authority | ||||||||
5.00%, 10/15/2047 | 1,775,000 | 1,893,836 | ||||||
California State Public Works Board | ||||||||
5.00%, 03/01/2024 | 2,500,000 | 2,860,700 | ||||||
5.00%, 03/01/2025 | 3,280,000 | 3,816,641 | ||||||
5.00%, 11/01/2033 | 5,230,000 | 6,049,489 | ||||||
5.00%, 11/01/2037 | 235,000 | 256,131 | ||||||
5.00%, 09/01/2039 | 5,705,000 | 6,335,573 | ||||||
California Statewide Communities Development Authority | ||||||||
5.00%, 10/01/2028 | 1,100,000 | 1,164,515 | ||||||
5.00%, 11/01/2032(2) | 1,135,000 | 1,250,157 | ||||||
5.00%, 01/01/2038 | 750,000 | 824,018 | ||||||
5.00%, 05/15/2040 | 400,000 | 436,748 | ||||||
5.00%, 11/01/2041(2) | 875,000 | 942,191 | ||||||
5.00%, 04/01/2042 | 2,000,000 | 2,134,200 | ||||||
5.00%, 01/01/2043 | 1,000,000 | 1,089,900 | ||||||
5.00%, 01/01/2048 | 2,840,000 | 3,059,447 | ||||||
5.25%, 12/01/2048(2) | 800,000 | 844,960 | ||||||
5.38%, 11/01/2049(2) | 100,000 | 104,539 | ||||||
5.50%, 12/01/2054 | 1,960,000 | 2,091,026 | ||||||
5.25%, 12/01/2056(2) | 1,000,000 | 1,046,140 | ||||||
Centinela Valley Union High School District | ||||||||
4.00%, 08/01/2019 | 415,000 | 420,387 | ||||||
City of Los Angeles Department of Airports | ||||||||
5.25%, 05/15/2031 | 4,805,000 | 5,720,881 | ||||||
5.25%, 05/15/2032 | 3,210,000 | 3,804,492 | ||||||
5.00%, 05/15/2033 | 1,250,000 | 1,448,363 | ||||||
County of Sacramento CA Airport System Revenue | ||||||||
5.00%, 07/01/2034 | 3,000,000 | 3,441,780 | ||||||
Cucamonga Valley Water District | ||||||||
5.38%, 09/01/2035 | 3,320,000 | 3,608,873 | ||||||
Foothill-De Anza Community College District | ||||||||
5.00%, 04/01/2035 | 250,000 | 281,530 | ||||||
5.00%, 04/01/2036 | 200,000 | 224,658 | ||||||
Golden State Tobacco Securitization Corp. | ||||||||
5.00%, 06/01/2021 | 285,000 | 303,841 | ||||||
5.00%, 06/01/2022 | 400,000 | 434,408 | ||||||
5.00%, 06/01/2023 | 455,000 | 501,219 | ||||||
0.00%, 06/01/2024 | 1,000,000 | 879,360 | ||||||
5.00%, 06/01/2024 | 255,000 | 279,891 | ||||||
5.30%, 06/01/2037 | 1,000,000 | 1,004,590 | ||||||
5.00%, 06/01/2040 | 2,000,000 | 2,207,120 | ||||||
5.00%, 06/01/2047 | 925,000 | 889,295 | ||||||
5.25%, 06/01/2047 | 2,500,000 | 2,486,975 | ||||||
Irvine Unified School District | ||||||||
5.00%, 03/01/2057 | 800,000 | 854,408 | ||||||
Los Angeles County Public Works Financing Authority | ||||||||
5.00%, 12/01/2029 | 1,200,000 | 1,402,572 | ||||||
5.00%, 12/01/2030 | 2,520,000 | 2,914,078 | ||||||
Mendocino-Lake Community College District | ||||||||
5.00%, 08/01/2027 | 1,700,000 | 1,976,420 | ||||||
5.00%, 08/01/2028 | 1,000,000 | 1,156,000 | ||||||
5.00%, 08/01/2029 | 775,000 | 890,312 | ||||||
5.00%, 08/01/2030 | 2,530,000 | 2,893,258 | ||||||
Norman Y Mineta San Jose International Airport SJC | ||||||||
5.00%, 03/01/2028 | 1,250,000 | 1,457,288 |
5.00%, 03/01/2030 | 1,700,000 | 1,964,401 | ||||||
Orange County Community Facilities District | ||||||||
5.25%, 08/15/2045 | 1,000,000 | 1,079,230 | ||||||
Orchard School District | ||||||||
0.00%, 08/01/2022 | 2,940,000 | 2,725,380 | ||||||
Sacramento City Financing Authority | ||||||||
5.00%, 12/01/2033 | 875,000 | 1,002,864 | ||||||
San Francisco City & County Airport Comm-San Francisco International Airport | ||||||||
5.00%, 05/01/2023 | 225,000 | 252,250 | ||||||
5.00%, 05/01/2023 | 225,000 | 252,250 | ||||||
5.00%, 05/01/2025 | 1,330,000 | 1,536,908 | ||||||
State of California | ||||||||
5.00%, 08/01/2022 | 1,535,000 | 1,704,449 | ||||||
5.00%, 09/01/2022 | 2,000,000 | 2,224,980 | ||||||
5.00%, 09/01/2022 | 3,140,000 | 3,493,219 | ||||||
5.00%, 08/01/2023 | 3,000,000 | 3,407,280 | ||||||
5.63%, 04/01/2026 | 1,625,000 | 1,640,519 | ||||||
5.00%, 09/01/2026 | 2,000,000 | 2,402,140 | ||||||
5.00%, 08/01/2027 | 620,000 | 724,520 | ||||||
5.00%, 08/01/2029 | 935,000 | 1,099,672 | ||||||
5.00%, 09/01/2029 | 370,000 | 435,812 | ||||||
5.00%, 08/01/2030 | 3,500,000 | 4,092,655 | ||||||
5.75%, 04/01/2031 | 1,530,000 | 1,544,413 | ||||||
2.40% (1 Month LIBOR USD + 0.76%), 12/01/2031(3) | 750,000 | 755,677 | ||||||
6.00%, 04/01/2035 | 425,000 | 429,709 | ||||||
6.00%, 04/01/2035 | 575,000 | 580,738 | ||||||
4.00%, 09/01/2035 | 3,625,000 | 3,833,147 | ||||||
Tobacco Securitization Authority of Northern California | ||||||||
4.75%, 06/01/2023 | 5,510,000 | 5,540,360 | ||||||
|
| |||||||
175,155,011 | ||||||||
|
| |||||||
Colorado—2.33% | ||||||||
Adams 12 Five Star Schools | ||||||||
5.00%, 12/15/2028 | 2,050,000 | 2,428,758 | ||||||
Amber Creek Metropolitan District | ||||||||
5.00%, 12/01/2037 | 750,000 | 733,815 | ||||||
5.13%, 12/01/2047 | 1,075,000 | 1,042,632 | ||||||
Belleview Station Metropolitan District No 2 | ||||||||
5.00%, 12/01/2036 | 500,000 | 505,840 | ||||||
Brighton Crossing Metropolitan District No 4 | ||||||||
5.00%, 12/01/2037 | 525,000 | 532,324 | ||||||
Canyons Metropolitan District No 5 | ||||||||
6.00%, 12/01/2037 | 500,000 | 503,055 | ||||||
Centerra Metropolitan District No 1 | ||||||||
2.70%, 12/01/2019(2) | 273,000 | 272,948 | ||||||
City & County of Denver CO | ||||||||
5.00%, 10/01/2032 | 10,345,000 | 10,878,699 | ||||||
5.00%, 08/01/2041 | 3,080,000 | 3,463,583 | ||||||
City & County of Denver CO Airport System Revenue | ||||||||
4.00%, 11/15/2023 | 4,465,000 | 4,786,927 | ||||||
5.00%, 11/15/2029 | 3,070,000 | 3,570,778 | ||||||
5.00%, 12/01/2031 | 7,000,000 | 8,133,790 | ||||||
Colorado Health Facilities Authority | ||||||||
4.00%, 01/01/2019 | 225,000 | 225,000 | ||||||
0.00%, 07/15/2022 | 980,000 | 906,461 | ||||||
5.00%, 12/01/2022 | 1,855,000 | 2,025,289 | ||||||
5.00%, 01/01/2024 | 125,000 | 133,937 | ||||||
5.00%, 01/01/2026 | 100,000 | 107,925 | ||||||
5.00%, 01/01/2031 | 100,000 | 105,799 | ||||||
5.25%, 02/01/2031 | 2,250,000 | 2,363,715 | ||||||
5.00%, 11/15/2036(1) | 6,770,000 | 7,646,850 |
5.00%, 01/01/2037 | 250,000 | 259,403 | ||||||
5.25%, 05/15/2037 | 475,000 | 508,473 | ||||||
5.00%, 10/01/2038(1) | 630,000 | 672,090 | ||||||
2.85% (1 Month LIBOR USD + 1.25%), 10/01/2039(3) | 2,000,000 | 2,006,120 | ||||||
5.25%, 01/01/2040 | 540,000 | 577,228 | ||||||
2.80%, 05/15/2042(1) | 3,105,000 | 3,134,498 | ||||||
5.25%, 01/01/2045 | 510,000 | 543,395 | ||||||
6.13%, 12/01/2045(2) | 375,000 | 387,431 | ||||||
5.00%, 09/01/2046 | 1,000,000 | 1,085,990 | ||||||
6.25%, 12/01/2050(2) | 205,000 | 212,657 | ||||||
Colorado High Performance Transportation Enterprise | ||||||||
5.00%, 12/31/2047 | 645,000 | 682,952 | ||||||
5.00%, 12/31/2051 | 550,000 | 580,255 | ||||||
5.00%, 12/31/2056 | 1,925,000 | 2,026,698 | ||||||
Colorado International Center Metropolitan District No 14 | ||||||||
5.88%, 12/01/2046 | 635,000 | 659,975 | ||||||
Cornerstar Metropolitan District | ||||||||
5.13%, 12/01/2037 | 500,000 | 509,440 | ||||||
Denver City & County School District No 1 | ||||||||
5.25%, 12/01/2038 | 3,595,000 | 3,814,870 | ||||||
Denver Convention Center Hotel Authority | ||||||||
5.00%, 12/01/2022 | 4,950,000 | 5,339,218 | ||||||
Denver Gateway Center Metropolitan District | ||||||||
5.50%, 12/01/2038 | 1,360,000 | 1,380,835 | ||||||
5.63%, 12/01/2048 | 2,130,000 | 2,165,891 | ||||||
Denver Health & Hospital Authority | ||||||||
5.00%, 12/01/2048 | 1,800,000 | 1,950,624 | ||||||
Denver Urban Renewal Authority | ||||||||
5.25%, 12/01/2039(2) | 1,000,000 | 1,000,590 | ||||||
E-470 Public Highway Authority | ||||||||
0.00%, 09/01/2020 | 730,000 | 701,983 | ||||||
2.58% (1 Month LIBOR USD + 0.90%), 09/01/2039(3) | 325,000 | 325,192 | ||||||
2.73% (1 Month LIBOR USD + 1.05%), 09/01/2039(3) | 275,000 | 276,911 | ||||||
Mesa County Valley School District No 51 Grand Junction CO | ||||||||
5.25%, 12/01/2033 | 2,000,000 | 2,401,480 | ||||||
Painted Prairie Metropolitain District No 2 | ||||||||
5.25%, 12/01/2048 | 500,000 | 494,025 | ||||||
Park Creek Metropolitan District | ||||||||
5.00%, 12/01/2045 | 1,775,000 | 1,914,533 | ||||||
Rampart Range Metropolitan District No 1 | ||||||||
5.00%, 12/01/2047 | 650,000 | 723,541 | ||||||
Serenity Ridge Metropolitan District No 2 | ||||||||
5.13%, 12/01/2037 | 1,290,000 | 1,303,726 | ||||||
Sierra Ridge Metropolitan District No 2 | ||||||||
4.50%, 12/01/2031 | 750,000 | 725,700 | ||||||
5.50%, 12/01/2046 | 1,500,000 | 1,515,735 | ||||||
Solaris Metropolitan District No 3 | ||||||||
5.00%, 12/01/2036 | 850,000 | 861,246 | ||||||
5.00%, 12/01/2046 | 1,880,000 | 1,890,415 | ||||||
Southglenn Metropolitan District | ||||||||
5.00%, 12/01/2046 | 500,000 | 488,935 | ||||||
Southlands Metropolitan District No 1 | ||||||||
3.00%, 12/01/2022 | 238,000 | 235,653 | ||||||
3.50%, 12/01/2027 | 500,000 | 489,850 | ||||||
St Vrain Lakes Metropolitan District No 2 | ||||||||
5.00%, 12/01/2037 | 500,000 | 482,780 | ||||||
University of Colorado | ||||||||
5.00%, 06/01/2047 | 500,000 | 564,225 | ||||||
University of Colorado Hospital Authority | ||||||||
5.00%, 11/15/2038(1) | 1,020,000 | 1,093,675 | ||||||
4.00%, 11/15/2047(1) | 5,000,000 | 5,060,300 | ||||||
|
| |||||||
101,416,663 | ||||||||
|
|
Connecticut—2.77% | ||||||||
City of Hartford CT | ||||||||
5.00%, 08/15/2019 | 1,700,000 | 1,730,328 | ||||||
5.00%, 07/15/2021 | 3,300,000 | 3,523,080 | ||||||
5.00%, 07/15/2022 | 2,250,000 | 2,451,015 | ||||||
5.00%, 07/15/2023 | 2,000,000 | 2,218,460 | ||||||
5.00%, 07/15/2026 | 2,430,000 | 2,764,246 | ||||||
City of New Britain CT | ||||||||
5.00%, 03/01/2027 | 1,260,000 | 1,485,086 | ||||||
5.00%, 03/01/2028 | 1,490,000 | 1,745,401 | ||||||
5.00%, 03/01/2033 | 1,900,000 | 2,161,402 | ||||||
City of New Haven CT | ||||||||
5.25%, 08/01/2023 | 1,115,000 | 1,259,192 | ||||||
5.00%, 08/15/2023 | 900,000 | 1,017,639 | ||||||
5.00%, 08/15/2029 | 2,000,000 | 2,280,720 | ||||||
5.00%, 08/15/2031 | 1,000,000 | 1,130,890 | ||||||
City of West Haven CT | ||||||||
5.00%, 08/01/2021 | 2,495,000 | 2,649,091 | ||||||
Connecticut Housing Finance Authority | ||||||||
2.25%, 11/15/2023 | 1,250,000 | 1,234,050 | ||||||
Connecticut State Health & Educational Facilities Authority | ||||||||
5.00%, 07/01/2029 | 1,000,000 | 1,174,110 | ||||||
2.05%, 07/01/2035(1) | 6,570,000 | 6,589,316 | ||||||
1.00%, 07/01/2042(1) | 10,000,000 | 9,958,800 | ||||||
1.00%, 07/01/2042(1) | 18,000,000 | 17,925,840 | ||||||
2.00%, 07/01/2042(1) | 1,870,000 | 1,728,628 | ||||||
5.00%, 07/01/2043 | 1,750,000 | 1,814,155 | ||||||
4.00%, 07/01/2046 | 880,000 | 865,568 | ||||||
1.80%, 07/01/2049(1) | 5,280,000 | 5,264,846 | ||||||
Harbor Point Infrastructure Improvement District | ||||||||
7.88%, 04/01/2039 | 2,153,000 | 2,310,643 | ||||||
Mohegan Tribe of Indians of Connecticut | ||||||||
5.25%, 02/01/2022(2) | 955,000 | 983,793 | ||||||
State of Connecticut | ||||||||
5.00%, 08/01/2019 | 20,380,000 | 20,747,044 | ||||||
5.00%, 09/01/2022 | 5,725,000 | 6,226,739 | ||||||
5.00%, 06/15/2027 | 1,680,000 | 1,854,955 | ||||||
5.00%, 09/15/2027 | 1,000,000 | 1,147,160 | ||||||
5.00%, 03/01/2029 | 1,500,000 | 1,630,425 | ||||||
5.00%, 11/15/2032 | 200,000 | 218,036 | ||||||
State of Connecticut Special Tax Revenue | ||||||||
5.00%, 09/01/2023 | 900,000 | 1,000,899 | ||||||
5.00%, 01/01/2038 | 4,400,000 | 4,841,320 | ||||||
Town of Hamden CT | ||||||||
5.00%, 08/15/2026 | 500,000 | 560,655 | ||||||
5.00%, 08/15/2026 | 1,335,000 | 1,535,157 | ||||||
University of Connecticut | ||||||||
5.25%, 11/15/2034 | 3,705,000 | 4,309,063 | ||||||
|
| |||||||
120,337,752 | ||||||||
|
| |||||||
Delaware—0.31% | ||||||||
County of Kent DE | ||||||||
5.00%, 07/01/2040 | 645,000 | 685,306 | ||||||
5.00%, 07/01/2048 | 2,155,000 | 2,273,116 | ||||||
County of Sussex DE | ||||||||
5.00%, 01/01/2036 | 2,515,000 | 2,680,311 | ||||||
Delaware State Economic Development Authority | ||||||||
5.40%, 02/01/2031 | 500,000 | 521,915 | ||||||
5.00%, 09/01/2036 | 1,225,000 | 1,319,325 |
5.00%, 09/01/2046 | 700,000 | 740,551 | ||||||
5.00%, 11/15/2048 | 2,000,000 | 2,154,880 | ||||||
Delaware State Health Facilities Authority | ||||||||
5.00%, 06/01/2037 | 1,385,000 | 1,506,825 | ||||||
5.00%, 06/01/2043 | 1,000,000 | 1,074,350 | ||||||
5.00%, 06/01/2048 | 500,000 | 533,390 | ||||||
|
| |||||||
13,489,969 | ||||||||
|
| |||||||
District of Columbia—2.20% | ||||||||
District of Columbia | ||||||||
5.00%, 12/01/2022 | 2,000,000 | 2,231,000 | ||||||
5.00%, 12/01/2027 | 6,770,000 | 7,052,986 | ||||||
5.00%, 06/01/2031 | 2,500,000 | 2,938,225 | ||||||
5.00%, 06/01/2032 | 8,285,000 | 9,703,227 | ||||||
5.00%, 06/01/2033 | 3,795,000 | 4,380,379 | ||||||
5.00%, 06/01/2034 | 10,000,000 | 11,171,800 | ||||||
5.00%, 06/01/2034 | 1,000,000 | 1,134,540 | ||||||
5.00%, 06/01/2034 | 2,100,000 | 2,438,919 | ||||||
5.00%, 06/01/2035 | 3,000,000 | 3,343,530 | ||||||
5.00%, 12/01/2036 | 670,000 | 716,538 | ||||||
5.00%, 07/01/2042 | 730,000 | 724,014 | ||||||
5.00%, 06/01/2046 | 1,600,000 | 1,702,736 | ||||||
5.00%, 07/01/2052 | 815,000 | 794,315 | ||||||
District of Columbia Housing Finance Agency | ||||||||
2.45%, 11/01/2021(1) | 13,750,000 | 13,825,762 | ||||||
District of Columbia Tobacco Settlement Financing Corp. | ||||||||
0.00%, 06/15/2046 | 2,000,000 | 177,520 | ||||||
Metropolitan Washington Airports Authority | ||||||||
5.00%, 10/01/2023 | 850,000 | 950,538 | ||||||
5.00%, 10/01/2024 | 1,325,000 | 1,504,975 | ||||||
5.00%, 10/01/2027 | 500,000 | 587,315 | ||||||
5.00%, 10/01/2029 | 1,000,000 | 1,161,970 | ||||||
5.00%, 10/01/2030 | 1,480,000 | 1,600,398 | ||||||
5.00%, 10/01/2030 | 5,250,000 | 6,065,220 | ||||||
5.00%, 10/01/2031 | 5,335,000 | 6,210,900 | ||||||
5.00%, 10/01/2037 | 1,000,000 | 1,121,710 | ||||||
Metropolitan Washington Airports Authority Dulles Toll Road Revenue | ||||||||
0.00%, 10/01/2037 | 1,000,000 | 468,170 | ||||||
6.50%, 10/01/2041 | 2,000,000 | 2,489,820 | ||||||
5.00%, 10/01/2053 | 4,890,000 | 5,049,121 | ||||||
Washington Convention & Sports Authority | ||||||||
5.00%, 10/01/2023 | 1,330,000 | 1,498,138 | ||||||
5.00%, 10/01/2024 | 1,030,000 | 1,180,607 | ||||||
Washington Metropolitan Area Transit Authority | ||||||||
5.00%, 07/01/2032 | 2,965,000 | 3,467,301 | ||||||
|
| |||||||
95,691,674 | ||||||||
|
| |||||||
Florida—6.14% | ||||||||
Alachua County Health Facilities Authority | ||||||||
5.00%, 12/01/2036 | 1,000,000 | 1,090,590 | ||||||
5.00%, 12/01/2044 | 3,350,000 | 3,592,071 | ||||||
6.38%, 11/15/2049 | 300,000 | 312,072 | ||||||
Brevard County Health Facilities Authority | ||||||||
5.00%, 04/01/2039 | 1,335,000 | 1,436,740 | ||||||
Celebration Pointe Community Development District | ||||||||
4.00%, 05/01/2022(2) | 350,000 | 353,720 | ||||||
Citizens Property Insurance Corp. | ||||||||
5.00%, 06/01/2021 | 355,000 | 380,375 | ||||||
5.00%, 06/01/2022 | 2,150,000 | 2,361,625 | ||||||
City of Cape Coral FL Water & Sewer Revenue | ||||||||
1.65%, 09/01/2019 | 1,040,000 | 1,036,599 |
City of Jacksonville FL | ||||||||
5.00%, 06/01/2053(2) | 1,015,000 | 1,039,451 | ||||||
City of Miami Gardens FL | ||||||||
5.00%, 07/01/2034 | 1,725,000 | 1,922,599 | ||||||
City of Orlando FL | ||||||||
5.00%, 11/01/2029 | 2,000,000 | 2,326,660 | ||||||
5.00%, 10/01/2031 | 1,120,000 | 1,336,193 | ||||||
5.00%, 10/01/2032 | 1,300,000 | 1,505,673 | ||||||
5.00%, 10/01/2032 | 1,680,000 | 1,996,378 | ||||||
5.00%, 10/01/2035 | 1,200,000 | 1,406,964 | ||||||
5.00%, 10/01/2036 | 1,000,000 | 1,166,940 | ||||||
City of Tallahassee FL | ||||||||
5.00%, 12/01/2026 | 1,380,000 | 1,562,119 | ||||||
City of Tampa FL | ||||||||
5.00%, 04/01/2040 | 1,115,000 | 1,217,836 | ||||||
County of Broward FL Airport System Revenue | ||||||||
5.00%, 10/01/2022 | 1,185,000 | 1,299,115 | ||||||
5.00%, 10/01/2022 | 1,500,000 | 1,656,945 | ||||||
5.00%, 10/01/2022 | 125,000 | 137,037 | ||||||
5.00%, 10/01/2023 | 3,040,000 | 3,390,877 | ||||||
5.00%, 10/01/2023 | 125,000 | 139,428 | ||||||
5.00%, 10/01/2029 | 500,000 | 559,330 | ||||||
5.00%, 10/01/2030 | 405,000 | 464,195 | ||||||
5.00%, 10/01/2040 | 10,000,000 | 10,887,400 | ||||||
5.00%, 10/01/2042 | 110,000 | 117,170 | ||||||
County of Hillsborough FL Community Investment Tax Revenue | ||||||||
5.00%, 11/01/2025 | 1,775,000 | 2,076,164 | ||||||
County of Miami-Dade FL | ||||||||
5.00%, 07/01/2023 | 1,000,000 | 1,127,420 | ||||||
5.00%, 10/01/2024 | 1,785,000 | 2,058,462 | ||||||
County of Miami-Dade FL Aviation Revenue | ||||||||
5.00%, 10/01/2020 | 1,000,000 | 1,046,750 | ||||||
5.00%, 10/01/2022 | 485,000 | 510,234 | ||||||
5.00%, 10/01/2031 | 3,000,000 | 3,213,090 | ||||||
5.00%, 10/01/2034 | 5,520,000 | 6,022,210 | ||||||
5.00%, 10/01/2035 | 1,000,000 | 1,088,790 | ||||||
5.00%, 10/01/2037 | 2,990,000 | 3,294,980 | ||||||
County of Miami-Dade FL Water & Sewer System Revenue | ||||||||
5.00%, 10/01/2031 | 4,000,000 | 4,566,280 | ||||||
5.00%, 10/01/2032 | 1,275,000 | 1,450,453 | ||||||
County of Miami-Dade Seaport Department | ||||||||
6.00%, 10/01/2038 | 7,000,000 | 7,965,020 | ||||||
6.25%, 10/01/2038 | 2,000,000 | 2,283,440 | ||||||
1.70%, 10/01/2050(1) | 4,000,000 | 4,000,000 | ||||||
County of Palm Beach FL | ||||||||
5.00%, 05/01/2029 | 1,915,000 | 2,242,063 | ||||||
Florida Development Finance Corp. | ||||||||
5.00%, 02/15/2031 | 750,000 | 796,777 | ||||||
5.00%, 02/15/2038 | 600,000 | 627,228 | ||||||
5.00%, 02/15/2048 | 1,600,000 | 1,659,200 | ||||||
Florida Higher Educational Facilities Financial Authority | ||||||||
5.00%, 06/01/2048(2) | 1,110,000 | 1,145,265 | ||||||
Florida Municipal Power Agency | ||||||||
5.00%, 10/01/2025 | 3,475,000 | 4,065,055 | ||||||
Florida’s Turnpike Enterprise | ||||||||
5.00%, 07/01/2022 | 3,250,000 | 3,589,072 | ||||||
Greater Orlando Aviation Authority | ||||||||
5.00%, 10/01/2022 | 1,000,000 | 1,095,170 | ||||||
5.00%, 10/01/2030 | 1,000,000 | 1,150,290 | ||||||
5.00%, 10/01/2031 | 2,000,000 | 2,246,400 | ||||||
5.00%, 10/01/2033 | 2,000,000 | 2,232,160 | ||||||
5.00%, 10/01/2046 | 1,000,000 | 1,099,510 |
Halifax Hospital Medical Center | ||||||||
5.00%, 06/01/2036 | 3,000,000 | 3,242,610 | ||||||
Hernando County School District | ||||||||
5.00%, 07/01/2024 | 805,000 | 917,032 | ||||||
Highlands County Health Facilities Authority | ||||||||
1.71%, 11/15/2035(1) | 2,200,000 | 2,200,000 | ||||||
Hillsborough County Aviation Authority | ||||||||
5.00%, 10/01/2032 | 375,000 | 441,416 | ||||||
5.00%, 10/01/2033 | 465,000 | 545,199 | ||||||
5.00%, 10/01/2034 | 2,150,000 | 2,508,921 | ||||||
5.00%, 10/01/2035 | 2,275,000 | 2,646,439 | ||||||
5.00%, 10/01/2036 | 2,650,000 | 3,068,144 | ||||||
5.00%, 10/01/2040 | 12,500,000 | 13,685,250 | ||||||
JEA Electric System Revenue | ||||||||
5.00%, 10/01/2026 | 1,120,000 | 1,289,590 | ||||||
JEA Water & Sewer System Revenue | ||||||||
5.00%, 10/01/2022 | 250,000 | 274,170 | ||||||
Lakewood Ranch Stewardship District | ||||||||
4.00%, 05/01/2022 | 465,000 | 466,656 | ||||||
4.35%, 05/01/2024(2) | 1,565,000 | 1,567,410 | ||||||
4.55%, 05/01/2024(2) | 1,175,000 | 1,176,633 | ||||||
Lee County Industrial Development Authority/FL | ||||||||
5.63%, 12/01/2037(2) | 250,000 | 250,767 | ||||||
5.75%, 12/01/2052(2) | 750,000 | 750,473 | ||||||
Manatee County School District | ||||||||
5.00%, 10/01/2025 | 520,000 | 607,584 | ||||||
Marion County School Board | ||||||||
5.00%, 06/01/2026 | 1,455,000 | 1,649,839 | ||||||
Martin County Health Facilities Authority | ||||||||
5.00%, 11/15/2023 | 800,000 | 890,696 | ||||||
Miami-Dade County Educational Facilities Authority | ||||||||
5.00%, 04/01/2040 | 2,855,000 | 3,111,579 | ||||||
Miami-Dade County Expressway Authority | ||||||||
5.00%, 07/01/2030 | 1,225,000 | 1,411,420 | ||||||
Miami-Dade County Health Facilities Authority | ||||||||
5.00%, 08/01/2025 | 110,000 | 126,294 | ||||||
5.00%, 08/01/2026 | 155,000 | 179,625 | ||||||
5.00%, 08/01/2027 | 345,000 | 402,228 | ||||||
5.00%, 08/01/2028 | 400,000 | 463,376 | ||||||
5.00%, 08/01/2029 | 480,000 | 552,514 | ||||||
5.00%, 08/01/2030 | 680,000 | 778,852 | ||||||
5.00%, 08/01/2032 | 750,000 | 851,152 | ||||||
Miami-Dade County Industrial Development Authority | ||||||||
4.00%, 09/15/2019 | 140,000 | 140,997 | ||||||
Monroe County School District/FL | ||||||||
5.00%, 06/01/2033 | 500,000 | 577,055 | ||||||
5.00%, 06/01/2035 | 500,000 | 572,640 | ||||||
Orange County Convention Center/Orlando | ||||||||
5.00%, 10/01/2023 | 1,510,000 | 1,709,637 | ||||||
Orange County School Board | ||||||||
5.00%, 08/01/2029 | 1,000,000 | 1,143,580 | ||||||
Palm Beach County Health Facilities Authority | ||||||||
5.00%, 12/01/2023 | 50,000 | 55,401 | ||||||
5.00%, 12/01/2024 | 105,000 | 118,049 | ||||||
7.50%, 06/01/2049 | 100,000 | 112,491 | ||||||
7.50%, 06/01/2049 | 1,875,000 | 2,110,200 | ||||||
Palm Beach County School District | ||||||||
5.00%, 08/01/2023 | 500,000 | 564,365 | ||||||
5.00%, 08/01/2024 | 220,000 | 252,413 |
5.00%, 08/01/2026 | 3,750,000 | 4,427,512 | ||||||
5.00%, 08/01/2026 | 1,065,000 | 1,257,414 | ||||||
5.00%, 08/01/2029 | 8,000,000 | 9,595,920 | ||||||
5.00%, 08/01/2030 | 4,520,000 | 5,139,692 | ||||||
5.00%, 08/01/2032 | 3,000,000 | 3,384,330 | ||||||
Reedy Creek Improvement District | ||||||||
5.00%, 06/01/2023 | 2,740,000 | 3,076,746 | ||||||
Sarasota County Health Facilities Authority | ||||||||
5.00%, 01/01/2042 | 750,000 | 767,858 | ||||||
5.00%, 01/01/2047 | 875,000 | 892,911 | ||||||
School Board of Miami-Dade County | ||||||||
5.00%, 05/01/2025 | 3,000,000 | 3,464,820 | ||||||
5.00%, 05/01/2026 | 1,000,000 | 1,134,790 | ||||||
5.00%, 02/01/2029 | 8,000,000 | 9,117,200 | ||||||
5.00%, 02/01/2030 | 500,000 | 567,425 | ||||||
5.00%, 05/01/2031(1) | 5,000,000 | 5,638,350 | ||||||
5.00%, 05/01/2031 | 5,000,000 | 5,667,750 | ||||||
School District of Broward County/FL | ||||||||
5.00%, 07/01/2022 | 1,000,000 | 1,099,700 | ||||||
5.00%, 07/01/2028 | 1,500,000 | 1,772,805 | ||||||
5.00%, 07/01/2029 | 2,545,000 | 2,982,460 | ||||||
5.00%, 07/01/2030 | 5,500,000 | 6,238,430 | ||||||
South Miami Health Facilities Authority | ||||||||
5.00%, 08/15/2023 | 250,000 | 279,633 | ||||||
5.00%, 08/15/2024 | 400,000 | 455,008 | ||||||
5.00%, 08/15/2025 | 700,000 | 807,940 | ||||||
State of Florida | ||||||||
5.00%, 07/01/2022 | 1,175,000 | 1,299,268 | ||||||
5.00%, 06/01/2023 | 2,425,000 | 2,741,608 | ||||||
5.00%, 07/01/2023 | 2,630,000 | 2,978,422 | ||||||
5.00%, 06/01/2024 | 2,415,000 | 2,788,794 | ||||||
5.00%, 06/01/2024 | 4,500,000 | 5,196,510 | ||||||
5.00%, 07/01/2024 | 2,460,000 | 2,843,588 | ||||||
5.00%, 06/01/2025 | 1,500,000 | 1,764,540 | ||||||
4.00%, 06/01/2030 | 9,390,000 | 9,844,476 | ||||||
State of Florida Lottery Revenue | ||||||||
5.00%, 07/01/2024 | 1,400,000 | 1,620,668 | ||||||
5.00%, 07/01/2024 | 4,000,000 | 4,630,480 | ||||||
Tampa Bay Water | ||||||||
5.50%, 10/01/2022 | 1,000,000 | 1,127,560 | ||||||
Town of Davie FL | ||||||||
5.00%, 04/01/2048 | 1,440,000 | 1,577,088 | ||||||
|
| |||||||
266,941,978 | ||||||||
|
| |||||||
Georgia—1.88% | ||||||||
Atlanta Development Authority | ||||||||
6.75%, 01/01/2035 | 1,500,000 | 1,446,120 | ||||||
Atlanta Urban Residential Finance Authority | ||||||||
1.40%, 05/01/2020(1) | 3,000,000 | 2,995,260 | ||||||
Burke County Development Authority | ||||||||
3.25%, 11/01/2045(1) | 3,000,000 | 2,988,450 | ||||||
City of Atlanta GA Water & Wastewater Revenue | ||||||||
5.00%, 11/01/2040 | 14,595,000 | 16,220,883 | ||||||
City of East Point GA | ||||||||
5.00%, 08/01/2019 | 955,000 | 970,862 | ||||||
5.00%, 08/01/2020 | 415,000 | 432,982 | ||||||
5.00%, 08/01/2021 | 250,000 | 267,185 | ||||||
Cobb County Kennestone Hospital Authority | ||||||||
5.00%, 04/01/2047 | 1,150,000 | 1,239,228 | ||||||
DeKalb County Hospital Authority/GA | ||||||||
6.13%, 09/01/2040 | 550,000 | 586,866 |
Fulton County Development Authority | ||||||||
5.00%, 04/01/2023 | 300,000 | 332,823 | ||||||
5.00%, 04/01/2047 | 1,000,000 | 1,077,590 | ||||||
Gainesville & Hall County Hospital Authority | ||||||||
5.00%, 02/15/2025 | 300,000 | 341,010 | ||||||
5.50%, 02/15/2042 | 650,000 | 759,642 | ||||||
Glynn-Brunswick Memorial Hospital Authority | ||||||||
5.00%, 08/01/2022 | 1,220,000 | 1,318,954 | ||||||
Griffin-Spalding County Hospital Authority | ||||||||
3.00%, 04/01/2027 | 635,000 | 649,929 | ||||||
LaGrange-Troup County Hospital Authority | ||||||||
5.00%, 04/01/2024 | 500,000 | 564,740 | ||||||
Macon-Bibb County Housing Authority | ||||||||
2.04%, 04/01/2021(1) | 15,000,000 | 14,992,500 | ||||||
Macon-Bibb County Urban Development Authority | ||||||||
5.75%, 06/15/2037(2) | 1,000,000 | 997,710 | ||||||
Main Street Natural Gas, Inc. | ||||||||
4.00%, 04/01/2048(1) | 10,000,000 | 10,534,100 | ||||||
2.40% (1 Month LIBOR USD + 0.83%), 08/01/2048(3) | 1,700,000 | 1,684,513 | ||||||
4.00%, 08/01/2048(1) | 9,600,000 | 10,136,832 | ||||||
Marietta Development Authority | ||||||||
5.00%, 11/01/2037(2) | 625,000 | 653,081 | ||||||
5.00%, 11/01/2047(2) | 500,000 | 517,650 | ||||||
Monroe County Development Authority | ||||||||
2.00%, 07/01/2025(1) | 5,000,000 | 4,992,900 | ||||||
2.35%, 10/01/2048(1) | 500,000 | 495,870 | ||||||
Private Colleges & Universities Authority | ||||||||
5.00%, 04/01/2027 | 1,900,000 | 2,106,397 | ||||||
5.00%, 04/01/2044 | 1,000,000 | 1,064,340 | ||||||
Savannah Economic Development Authority | ||||||||
7.25%, 01/01/2049 | 120,000 | 132,472 | ||||||
State of Georgia | ||||||||
5.00%, 07/01/2023 | 1,000,000 | 1,132,940 | ||||||
|
| |||||||
81,633,829 | ||||||||
|
| |||||||
Guam—0.04% | ||||||||
Guam Government Waterworks Authority | ||||||||
5.00%, 07/01/2035 | 1,550,000 | 1,635,157 | ||||||
|
| |||||||
Hawaii—0.78% | ||||||||
City & County of Honolulu HI | ||||||||
2.01% (SIFMA Municipal Swap Index + 0.30%), 09/01/2023(3) | 1,000,000 | 999,610 | ||||||
5.00%, 09/01/2024 | 1,275,000 | 1,475,035 | ||||||
2.03% (SIFMA Municipal Swap Index + 0.32%), 09/01/2027(3) | 5,000,000 | 4,998,050 | ||||||
5.00%, 10/01/2029 | 2,000,000 | 2,316,540 | ||||||
State of Hawaii | ||||||||
5.00%, 08/01/2023 | 1,925,000 | 2,180,005 | ||||||
5.00%, 01/01/2030 | 15,500,000 | 18,521,260 | ||||||
State of Hawaii Airports System Revenue | ||||||||
5.00%, 07/01/2031 | 1,275,000 | 1,472,931 | ||||||
5.00%, 07/01/2032 | 1,500,000 | 1,727,520 | ||||||
|
| |||||||
33,690,951 | ||||||||
|
| |||||||
Idaho—0.08% | ||||||||
Idaho Health Facilities Authority | ||||||||
5.00%, 03/01/2034 | 3,155,000 | 3,426,204 | ||||||
|
| |||||||
Illinois—10.48% | ||||||||
Chicago Board of Education | ||||||||
5.00%, 12/01/2021 | 1,000,000 | 1,038,330 | ||||||
5.00%, 12/01/2023 | 2,000,000 | 2,090,120 | ||||||
5.00%, 12/01/2024 | 2,175,000 | 2,283,750 | ||||||
0.00%, 12/01/2025 | 265,000 | 202,778 | ||||||
5.00%, 12/01/2025 | 1,160,000 | 1,220,100 |
5.00%, 12/01/2025 | 2,500,000 | 2,793,400 | ||||||
5.00%, 12/01/2026 | 145,000 | 152,834 | ||||||
5.00%, 12/01/2026 | 3,660,000 | 3,857,750 | ||||||
5.00%, 12/01/2027 | 850,000 | 894,268 | ||||||
5.00%, 12/01/2028 | 1,270,000 | 1,334,795 | ||||||
6.75%, 12/01/2030(2) | 1,500,000 | 1,763,520 | ||||||
5.00%, 12/01/2033 | 300,000 | 308,490 | ||||||
5.00%, 12/01/2034 | 250,000 | 275,662 | ||||||
5.00%, 12/01/2041 | 785,000 | 785,173 | ||||||
5.25%, 12/01/2041 | 3,000,000 | 3,020,760 | ||||||
5.00%, 12/01/2042 | 200,000 | 199,992 | ||||||
5.00%, 12/01/2046 | 1,455,000 | 1,444,102 | ||||||
6.50%, 12/01/2046 | 100,000 | 111,284 | ||||||
7.00%, 12/01/2046(2) | 400,000 | 464,116 | ||||||
Chicago Midway International Airport | ||||||||
5.00%, 01/01/2021 | 5,000,000 | 5,268,700 | ||||||
5.00%, 01/01/2027 | 1,800,000 | 2,030,454 | ||||||
5.50%, 01/01/2028 | 5,000,000 | 5,514,800 | ||||||
5.00%, 01/01/2032 | 2,000,000 | 2,164,940 | ||||||
5.00%, 01/01/2034 | 1,000,000 | 1,077,690 | ||||||
5.00%, 01/01/2046 | 300,000 | 323,841 | ||||||
Chicago O’Hare International Airport | ||||||||
5.00%, 01/01/2022 | 520,000 | 558,215 | ||||||
5.00%, 01/01/2023 | 1,000,000 | 1,110,560 | ||||||
5.00%, 01/01/2024 | 865,000 | 959,510 | ||||||
5.00%, 01/01/2025 | 415,000 | 465,792 | ||||||
5.00%, 01/01/2027 | 385,000 | 440,255 | ||||||
5.00%, 01/01/2028 | 1,000,000 | 1,137,420 | ||||||
5.00%, 01/01/2030 | 2,000,000 | 2,202,980 | ||||||
5.00%, 01/01/2030 | 520,000 | 598,083 | ||||||
5.00%, 01/01/2030 | 2,000,000 | 2,235,400 | ||||||
5.00%, 01/01/2031 | 660,000 | 739,259 | ||||||
5.00%, 01/01/2031 | 835,000 | 955,015 | ||||||
5.00%, 01/01/2031 | 700,000 | 768,635 | ||||||
5.00%, 01/01/2032 | 1,140,000 | 1,295,530 | ||||||
5.00%, 01/01/2032 | 10,225,000 | 11,327,459 | ||||||
5.00%, 01/01/2032 | 1,300,000 | 1,423,006 | ||||||
5.00%, 01/01/2033 | 1,200,000 | 1,358,280 | ||||||
5.00%, 01/01/2033 | 345,000 | 385,475 | ||||||
5.00%, 01/01/2033 | 2,520,000 | 2,782,987 | ||||||
5.00%, 07/01/2033 | 550,000 | 617,573 | ||||||
5.00%, 01/01/2034 | 400,000 | 445,332 | ||||||
5.00%, 01/01/2035 | 1,285,000 | 1,442,914 | ||||||
5.00%, 01/01/2036 | 430,000 | 475,890 | ||||||
5.00%, 01/01/2042 | 500,000 | 542,465 | ||||||
Chicago Park District | ||||||||
4.00%, 01/01/2022 | 500,000 | 516,100 | ||||||
5.00%, 01/01/2025 | 500,000 | 520,400 | ||||||
5.00%, 01/01/2029 | 3,000,000 | 3,274,920 | ||||||
5.00%, 01/01/2036 | 480,000 | 496,982 | ||||||
Chicago Transit Authority | ||||||||
5.00%, 06/01/2022 | 265,000 | 286,799 | ||||||
5.00%, 06/01/2023 | 240,000 | 264,274 | ||||||
5.00%, 06/01/2024 | 200,000 | 223,330 | ||||||
5.25%, 06/01/2024 | 2,000,000 | 2,129,800 | ||||||
5.00%, 06/01/2025 | 200,000 | 225,654 | ||||||
5.00%, 06/01/2026 | 8,275,000 | 9,402,551 | ||||||
5.00%, 06/01/2026 | 160,000 | 181,802 |
City of Chicago IL | ||||||||
4.25%, 01/01/2020 | 465,000 | 475,900 | ||||||
5.00%, 01/01/2022 | 460,000 | 500,618 | ||||||
5.00%, 01/01/2023 | 1,535,000 | 1,582,278 | ||||||
5.00%, 01/01/2026 | 425,000 | 492,783 | ||||||
5.00%, 01/01/2027 | 500,000 | 579,745 | ||||||
5.25%, 01/01/2027 | 2,435,000 | 2,585,142 | ||||||
5.00%, 01/01/2028 | 865,000 | 891,642 | ||||||
5.75%, 01/01/2034 | 2,000,000 | 2,197,280 | ||||||
5.00%, 01/01/2035 | 750,000 | 777,750 | ||||||
5.50%, 01/01/2035 | 1,000,000 | 1,054,710 | ||||||
City of Chicago IL Motor Fuel Tax Revenue | ||||||||
5.00%, 01/01/2025 | 2,000,000 | 2,106,380 | ||||||
City of Chicago IL Wastewater Transmission Revenue | ||||||||
5.00%, 01/01/2019 | 200,000 | 200,000 | ||||||
5.00%, 01/01/2023 | 450,000 | 491,260 | ||||||
5.00%, 01/01/2024 | 500,000 | 552,655 | ||||||
5.00%, 01/01/2028 | 2,900,000 | 3,171,382 | ||||||
5.00%, 01/01/2029 | 1,300,000 | 1,421,030 | ||||||
5.00%, 01/01/2030 | 1,310,000 | 1,449,738 | ||||||
5.00%, 01/01/2030 | 1,000,000 | 1,132,110 | ||||||
5.00%, 01/01/2033 | 2,000,000 | 2,175,600 | ||||||
5.00%, 01/01/2039 | 1,000,000 | 1,067,660 | ||||||
City of Chicago IL Waterworks Revenue | ||||||||
5.00%, 11/01/2020 | 1,030,000 | 1,080,604 | ||||||
5.00%, 11/01/2021 | 1,525,000 | 1,634,891 | ||||||
5.00%, 11/01/2022 | 1,000,000 | 1,092,210 | ||||||
4.00%, 11/01/2023 | 1,025,000 | 1,082,687 | ||||||
5.00%, 11/01/2023 | 650,000 | 719,706 | ||||||
5.00%, 11/01/2024 | 1,150,000 | 1,286,436 | ||||||
5.00%, 11/01/2024 | 250,000 | 279,660 | ||||||
5.00%, 11/01/2024 | 1,000,000 | 1,118,640 | ||||||
5.00%, 11/01/2025 | 1,000,000 | 1,119,210 | ||||||
5.00%, 11/01/2026 | 1,000,000 | 1,114,660 | ||||||
5.00%, 11/01/2033 | 500,000 | 545,540 | ||||||
City of Springfield IL | ||||||||
5.00%, 12/01/2024 | 340,000 | 379,501 | ||||||
5.00%, 12/01/2025 | 395,000 | 443,707 | ||||||
5.00%, 12/01/2026 | 160,000 | 177,669 | ||||||
City of Waukegan IL | ||||||||
4.00%, 12/30/2024 | 540,000 | 579,523 | ||||||
Cook County Community College District No 508 | ||||||||
5.25%, 12/01/2028 | 1,150,000 | 1,206,154 | ||||||
Cook County School District No 63 East Maine | ||||||||
2.38%, 12/01/2028(1)(2) | 10,970,000 | 11,207,720 | ||||||
Cook Kane Lake & McHenry Counties Community College District No 512 | ||||||||
5.00%, 12/01/2024 | 850,000 | 985,320 | ||||||
County of Cook IL | ||||||||
5.25%, 11/15/2022 | 405,000 | 425,785 | ||||||
5.00%, 11/15/2023 | 2,500,000 | 2,791,925 | ||||||
5.00%, 11/15/2025 | 2,500,000 | 2,727,950 | ||||||
5.00%, 11/15/2026 | 1,000,000 | 1,038,780 | ||||||
5.00%, 11/15/2026 | 1,450,000 | 1,642,052 | ||||||
5.25%, 11/15/2028 | 1,035,000 | 1,097,887 | ||||||
5.00%, 11/15/2029 | 1,000,000 | 1,108,860 | ||||||
5.00%, 11/15/2029 | 1,085,000 | 1,173,102 | ||||||
5.00%, 11/15/2030 | 500,000 | 552,250 | ||||||
5.00%, 11/15/2033 | 2,795,000 | 3,180,598 | ||||||
5.00%, 11/15/2034 | 1,200,000 | 1,309,860 | ||||||
County of Cook IL Sales Tax Revenue | ||||||||
5.25%, 11/15/2035 | 1,000,000 | 1,148,810 |
County of Kendall IL | ||||||||
5.00%, 12/15/2024 | 2,190,000 | 2,492,220 | ||||||
Illinois Finance Authority | ||||||||
5.00%, 08/01/2021 | 445,000 | 473,858 | ||||||
5.00%, 02/15/2022 | 215,000 | 234,187 | ||||||
5.00%, 07/01/2022 | 1,000,000 | 1,101,120 | ||||||
5.00%, 12/01/2022 | 325,000 | 352,531 | ||||||
4.00%, 05/15/2023 | 500,000 | 511,450 | ||||||
5.00%, 11/15/2023 | 1,680,000 | 1,886,018 | ||||||
5.00%, 12/01/2023 | 1,880,000 | 2,082,156 | ||||||
5.00%, 01/01/2024 | 250,000 | 276,575 | ||||||
5.00%, 02/15/2024 | 215,000 | 243,866 | ||||||
5.00%, 05/15/2024 | 350,000 | 395,181 | ||||||
5.00%, 07/15/2025 | 230,000 | 266,713 | ||||||
5.00%, 08/01/2025 | 1,605,000 | 1,812,671 | ||||||
5.00%, 02/15/2026 | 360,000 | 420,376 | ||||||
5.00%, 03/01/2028 | 15,000 | 17,159 | ||||||
5.00%, 05/15/2028 | 12,620,000 | 14,734,607 | ||||||
5.00%, 01/01/2029 | 1,650,000 | 1,936,786 | ||||||
5.00%, 02/15/2029 | 1,445,000 | 1,684,610 | ||||||
5.00%, 12/01/2029 | 340,000 | 382,231 | ||||||
5.00%, 02/15/2030 | 1,240,000 | 1,435,821 | ||||||
5.00%, 07/01/2030 | 275,000 | 311,077 | ||||||
5.00%, 07/15/2030 | 710,000 | 829,578 | ||||||
5.00%, 08/01/2030 | 870,000 | 986,641 | ||||||
5.00%, 11/15/2030 | 2,000,000 | 2,242,500 | ||||||
5.00%, 01/01/2031 | 3,545,000 | 3,978,660 | ||||||
5.00%, 02/15/2031 | 300,000 | 345,498 | ||||||
5.00%, 05/15/2031 | 5,000,000 | 5,756,150 | ||||||
5.00%, 07/01/2031 | 1,420,000 | 1,642,386 | ||||||
5.25%, 08/15/2031 | 500,000 | 561,595 | ||||||
3.63%, 02/15/2032 | 355,000 | 357,354 | ||||||
4.00%, 09/01/2032 | 40,000 | 40,888 | ||||||
4.75%, 05/15/2033 | 960,000 | 965,587 | ||||||
5.00%, 05/15/2033 | 795,000 | 787,726 | ||||||
5.00%, 08/15/2033 | 250,000 | 273,475 | ||||||
3.75%, 02/15/2034 | 200,000 | 199,994 | ||||||
5.00%, 02/15/2034 | 1,890,000 | 2,141,540 | ||||||
5.00%, 07/01/2034 | 300,000 | 331,938 | ||||||
5.00%, 08/15/2034 | 2,500,000 | 2,838,475 | ||||||
5.00%, 11/15/2034 | 3,000,000 | 3,319,620 | ||||||
5.00%, 11/15/2034 | 300,000 | 331,962 | ||||||
5.00%, 08/15/2035 | 100,000 | 108,788 | ||||||
5.00%, 08/15/2035 | 600,000 | 652,170 | ||||||
4.00%, 02/15/2036 | 800,000 | 817,232 | ||||||
5.00%, 02/15/2036 | 905,000 | 1,017,166 | ||||||
5.00%, 07/01/2036 | 830,000 | 912,593 | ||||||
5.00%, 08/15/2036 | 1,000,000 | 1,082,800 | ||||||
5.00%, 01/01/2037 | 2,785,000 | 3,037,599 | ||||||
5.25%, 02/15/2037 | 380,000 | 396,553 | ||||||
5.00%, 05/15/2037 | 1,050,000 | 1,064,794 | ||||||
5.00%, 05/15/2037 | 395,000 | 406,080 | ||||||
4.13%, 08/15/2037 | 900,000 | 905,931 | ||||||
5.00%, 08/15/2037 | 1,000,000 | 1,079,360 | ||||||
5.13%, 05/15/2038 | 1,000,000 | 974,180 | ||||||
6.00%, 08/15/2038 | 1,500,000 | 1,567,425 | ||||||
5.00%, 11/15/2038 | 3,795,000 | 4,158,030 | ||||||
8.00%, 05/15/2040 | 785,000 | 847,714 | ||||||
4.00%, 02/15/2041 | 2,895,000 | 2,916,886 | ||||||
5.00%, 02/15/2041 | 1,535,000 | 1,702,131 | ||||||
5.00%, 08/01/2042 | 120,000 | 128,548 |
1.75%, 11/15/2042(1) | 1,770,000 | 1,749,946 | ||||||
5.00%, 01/01/2044 | 4,145,000 | 4,465,284 | ||||||
5.00%, 08/15/2044 | 200,000 | 213,554 | ||||||
5.00%, 11/15/2045 | 2,565,000 | 2,747,782 | ||||||
8.00%, 05/15/2046 | 1,595,000 | 1,722,424 | ||||||
5.00%, 12/01/2046 | 5,950,000 | 6,336,036 | ||||||
5.00%, 05/15/2047 | 100,000 | 101,972 | ||||||
5.25%, 05/15/2047 | 280,000 | 287,000 | ||||||
5.00%, 08/01/2049 | 140,000 | 148,926 | ||||||
5.25%, 05/15/2054 | 1,000,000 | 950,710 | ||||||
5.00%, 07/15/2057(1) | 10,905,000 | 12,071,399 | ||||||
Illinois Municipal Electric Agency | ||||||||
5.00%, 02/01/2023 | 275,000 | 303,174 | ||||||
5.00%, 02/01/2031 | 470,000 | 530,211 | ||||||
Illinois Sports Facilities Authority | ||||||||
5.25%, 06/15/2032 | 1,735,000 | 1,903,364 | ||||||
Illinois State Toll Highway Authority | ||||||||
5.00%, 01/01/2024 | 935,000 | 1,058,663 | ||||||
1.71%, 01/01/2031(1) | 3,470,000 | 3,470,000 | ||||||
5.00%, 12/01/2031 | 235,000 | 265,404 | ||||||
5.00%, 12/01/2032 | 425,000 | 479,128 | ||||||
5.00%, 01/01/2034 | 1,300,000 | 1,492,582 | ||||||
5.00%, 01/01/2038 | 2,700,000 | 2,983,338 | ||||||
5.00%, 01/01/2041 | 7,000,000 | 7,735,490 | ||||||
Illinois State University | ||||||||
5.00%, 04/01/2032 | 1,370,000 | 1,533,331 | ||||||
Kane & DeKalb Counties Community Unit School District No 302 Kaneland | ||||||||
5.00%, 02/01/2025 | 4,125,000 | 4,680,637 | ||||||
5.00%, 02/01/2026 | 1,930,000 | 2,215,544 | ||||||
Kendall Kane & Will Counties Community Unit School District No 308 | ||||||||
5.00%, 02/01/2029 | 4,000,000 | 4,201,160 | ||||||
Lake County Community Unit School District No 60 Waukegan | ||||||||
5.00%, 01/01/2026 | 1,000,000 | 1,122,030 | ||||||
5.00%, 01/01/2027 | 100,000 | 115,949 | ||||||
5.00%, 01/01/2027 | 2,100,000 | 2,344,125 | ||||||
McHenry County Community Unit School District No 200 Woodstock | ||||||||
0.00%, 01/15/2024 | 1,000,000 | 871,990 | ||||||
0.00%, 01/15/2025 | 1,000,000 | 842,540 | ||||||
0.00%, 01/15/2026 | 1,000,000 | 811,610 | ||||||
Metropolitan Pier & Exposition Authority | ||||||||
5.00%, 12/15/2026 | 2,000,000 | 2,079,500 | ||||||
0.00%, 06/15/2028 | 14,270,000 | 9,661,503 | ||||||
5.00%, 12/15/2028 | 2,815,000 | 2,912,146 | ||||||
5.00%, 12/15/2028 | 1,000,000 | 1,083,200 | ||||||
0.00%, 06/15/2029 | 2,500,000 | 1,615,900 | ||||||
0.00%, 12/15/2030 | 11,000,000 | 6,585,150 | ||||||
5.00%, 12/15/2032 | 550,000 | 585,910 | ||||||
0.00%, 12/15/2034 | 550,000 | 267,107 | ||||||
5.25%, 06/15/2050 | 3,275,000 | 3,292,128 | ||||||
5.00%, 06/15/2057 | 550,000 | 562,738 | ||||||
Metropolitan Water Reclamation District of Greater Chicago | ||||||||
5.00%, 12/01/2031 | 5,700,000 | 6,082,698 | ||||||
Peoria Metropolitan Airport Authority | ||||||||
5.00%, 12/01/2026 | 1,375,000 | 1,602,081 | ||||||
Peoria Public Building Commission | ||||||||
5.00%, 12/01/2022 | 1,500,000 | 1,633,020 | ||||||
Railsplitter Tobacco Settlement Authority | ||||||||
5.00%, 06/01/2023 | 2,265,000 | 2,496,075 | ||||||
5.50%, 06/01/2023 | 1,240,000 | 1,343,776 | ||||||
5.00%, 06/01/2024 | 5,275,000 | 5,904,413 |
Regional Transportation Authority | ||||||||
5.00%, 07/01/2020 | 400,000 | 417,400 | ||||||
5.00%, 07/01/2021 | 400,000 | 426,336 | ||||||
Sales Tax Securitization Corp. | ||||||||
5.00%, 01/01/2025 | 4,000,000 | 4,447,520 | ||||||
State of Illinois | ||||||||
4.00%, 06/15/2019 | 315,000 | 317,422 | ||||||
4.50%, 06/15/2019 | 1,710,000 | 1,726,946 | ||||||
5.00%, 06/15/2019 | 1,435,000 | 1,452,421 | ||||||
5.00%, 11/01/2019 | 2,625,000 | 2,678,996 | ||||||
5.00%, 11/01/2020 | 610,000 | 629,868 | ||||||
5.00%, 10/01/2021 | 2,000,000 | 2,088,420 | ||||||
5.00%, 01/01/2022 | 700,000 | 712,376 | ||||||
5.00%, 08/01/2022 | 3,000,000 | 3,217,860 | ||||||
4.00%, 01/01/2023 | 330,000 | 333,716 | ||||||
5.00%, 02/01/2023 | 235,000 | 247,916 | ||||||
5.00%, 11/01/2023 | 1,000,000 | 1,061,940 | ||||||
5.00%, 06/15/2024 | 2,305,000 | 2,464,921 | ||||||
5.50%, 07/01/2024 | 1,000,000 | 1,082,940 | ||||||
5.00%, 02/01/2025 | 455,000 | 480,416 | ||||||
5.00%, 05/01/2025 | 3,050,000 | 3,224,857 | ||||||
5.00%, 06/01/2025 | 880,000 | 939,558 | ||||||
5.00%, 06/15/2025 | 4,090,000 | 4,361,535 | ||||||
5.50%, 07/01/2025 | 400,000 | 431,968 | ||||||
5.00%, 11/01/2025 | 2,040,000 | 2,180,842 | ||||||
5.00%, 11/01/2025 | 8,510,000 | 9,097,530 | ||||||
5.00%, 06/01/2026 | 125,000 | 133,855 | ||||||
5.00%, 10/01/2026 | 2,270,000 | 2,433,826 | ||||||
5.00%, 11/01/2026 | 3,360,000 | 3,602,390 | ||||||
5.00%, 02/01/2027 | 1,130,000 | 1,212,151 | ||||||
5.00%, 11/01/2027 | 10,000,000 | 10,737,100 | ||||||
5.00%, 02/01/2028 | 1,000,000 | 1,066,280 | ||||||
5.00%, 05/01/2028 | 265,000 | 276,941 | ||||||
5.00%, 11/01/2028 | 5,000,000 | 5,337,850 | ||||||
5.00%, 02/01/2029 | 1,000,000 | 1,059,910 | ||||||
5.25%, 02/01/2029 | 3,720,000 | 3,910,724 | ||||||
5.00%, 04/01/2029 | 605,000 | 629,557 | ||||||
5.25%, 02/01/2030 | 100,000 | 104,660 | ||||||
5.25%, 02/01/2031 | 760,000 | 793,296 | ||||||
5.00%, 10/01/2031 | 800,000 | 843,496 | ||||||
5.00%, 05/01/2032 | 800,000 | 824,448 | ||||||
5.50%, 07/01/2038 | 1,500,000 | 1,569,105 | ||||||
Sugar Grove Public Library District | ||||||||
3.00%, 02/01/2020 | 390,000 | 394,469 | ||||||
Upper Illinois River Valley Development Authority | ||||||||
5.25%, 12/01/2037(2) | 2,005,000 | 1,988,298 | ||||||
Village of Bedford Park IL | ||||||||
4.00%, 12/01/2020 | 1,180,000 | 1,205,488 | ||||||
Village of Bolingbrook IL | ||||||||
4.00%, 03/01/2023 | 500,000 | 530,060 | ||||||
4.00%, 03/01/2025 | 500,000 | 536,065 | ||||||
4.00%, 03/01/2027 | 1,000,000 | 1,072,630 | ||||||
Village of Hillside IL | ||||||||
5.00%, 01/01/2024 | 925,000 | 948,606 | ||||||
Will County Community Unit School District No 365 Valley View | ||||||||
5.00%, 11/01/2023 | 420,000 | 470,098 | ||||||
5.00%, 11/01/2024 | 2,390,000 | 2,720,418 | ||||||
0.00%, 11/01/2025 | 520,000 | 425,474 | ||||||
0.00%, 11/01/2026 | 905,000 | 712,977 | ||||||
5.00%, 11/01/2026 | 1,800,000 | 2,098,584 | ||||||
|
| |||||||
455,453,524 | ||||||||
|
|
Indiana—1.81% | ||||||||
Ball State University | ||||||||
5.00%, 07/01/2033 | 955,000 | 1,107,370 | ||||||
City of Whiting IN | ||||||||
5.25%, 01/01/2021 | 1,145,000 | 1,212,086 | ||||||
5.00%, 11/01/2045(1) | 2,600,000 | 2,821,910 | ||||||
Indiana Finance Authority | ||||||||
5.00%, 12/01/2024 | 3,000,000 | 3,484,830 | ||||||
5.00%, 05/01/2026 | 1,100,000 | 1,265,528 | ||||||
5.00%, 11/01/2026 | 1,200,000 | 1,406,460 | ||||||
6.00%, 12/01/2026 | 2,035,000 | 2,089,945 | ||||||
5.00%, 05/01/2027 | 700,000 | 811,594 | ||||||
5.00%, 05/01/2029 | 685,000 | 801,135 | ||||||
5.00%, 11/01/2029 | 2,350,000 | 2,743,790 | ||||||
5.00%, 09/01/2031 | 440,000 | 496,923 | ||||||
5.00%, 06/01/2032 | 2,750,000 | 2,747,222 | ||||||
5.25%, 02/01/2033 | 2,500,000 | 2,898,125 | ||||||
5.00%, 03/01/2036 | 4,000,000 | 4,366,800 | ||||||
5.00%, 09/01/2036 | 1,000,000 | 1,104,940 | ||||||
2.35%, 12/01/2037(1) | 3,100,000 | 3,099,473 | ||||||
5.25%, 10/01/2038 | 15,010,000 | 16,093,572 | ||||||
5.00%, 06/01/2039 | 1,000,000 | 971,310 | ||||||
5.00%, 07/01/2048 | 3,600,000 | 3,786,048 | ||||||
5.25%, 01/01/2051 | 3,450,000 | 3,657,828 | ||||||
Indiana Health & Educational Facilities Financing Authority | ||||||||
1.75%, 11/15/2031(1) | 3,000,000 | 2,955,000 | ||||||
Indiana Health Facility Financing Authority | ||||||||
2.00%, 10/01/2026(1) | 3,275,000 | 3,272,544 | ||||||
1.25%, 11/01/2027(1) | 1,020,000 | 1,006,985 | ||||||
1.35%, 11/01/2027(1) | 1,205,000 | 1,187,443 | ||||||
Indianapolis Local Public Improvement Bond Bank | ||||||||
5.00%, 01/01/2021 | 370,000 | 390,180 | ||||||
5.00%, 01/01/2022 | 755,000 | 814,117 | ||||||
5.00%, 01/01/2023 | 285,000 | 313,178 | ||||||
5.00%, 07/15/2023 | 300,000 | 337,293 | ||||||
5.00%, 07/15/2024 | 1,000,000 | 1,143,440 | ||||||
5.00%, 07/15/2025 | 750,000 | 869,715 | ||||||
5.00%, 01/15/2026 | 720,000 | 838,454 | ||||||
5.00%, 01/15/2027 | 700,000 | 825,531 | ||||||
5.00%, 01/15/2028 | 500,000 | 594,280 | ||||||
5.00%, 01/01/2029 | 1,000,000 | 1,143,440 | ||||||
5.00%, 01/01/2031 | 1,000,000 | 1,134,060 | ||||||
Lebanon Middle School Building Corp. | ||||||||
5.00%, 01/10/2023 | 1,065,000 | 1,183,449 | ||||||
5.00%, 07/10/2023 | 1,740,000 | 1,954,072 | ||||||
Westfield-Washington Multi-School Building Corp. | ||||||||
5.00%, 01/15/2028 | 390,000 | 445,228 | ||||||
5.00%, 01/15/2029 | 540,000 | 614,255 | ||||||
5.00%, 01/15/2030 | 700,000 | 792,911 | ||||||
|
| |||||||
78,782,464 | ||||||||
|
| |||||||
Iowa—0.21% | ||||||||
Iowa Finance Authority | ||||||||
3.25%, 03/01/2023 | 3,300,000 | 3,298,647 | ||||||
5.25%, 12/01/2025 | 3,000,000 | 3,177,930 | ||||||
4.75%, 08/01/2042 | 980,000 | 1,001,482 | ||||||
5.00%, 05/15/2043 | 270,000 | 278,931 | ||||||
5.00%, 05/15/2048 | 475,000 | 489,046 | ||||||
Iowa Student Loan Liquidity Corp. | ||||||||
5.00%, 12/01/2025 | 775,000 | 868,511 | ||||||
|
| |||||||
9,114,547 | ||||||||
|
|
Kansas—0.21% | ||||||||
City of Lenexa KS | ||||||||
5.00%, 05/15/2021 | 500,000 | 520,340 | ||||||
5.00%, 05/15/2039 | 325,000 | 332,550 | ||||||
Johnson County Unified School District No 232 De Soto | ||||||||
5.00%, 09/01/2022 | 350,000 | 386,879 | ||||||
Kansas Development Finance Authority | ||||||||
5.00%, 11/15/2032 | 7,325,000 | 7,878,184 | ||||||
|
| |||||||
9,117,953 | ||||||||
|
| |||||||
Kentucky—2.03% | ||||||||
City of Ashland KY | ||||||||
5.00%, 02/01/2030 | 555,000 | 610,428 | ||||||
City of Russell KY | ||||||||
5.00%, 11/01/2022 | 3,200,000 | 3,532,064 | ||||||
Kentucky Asset Liability Commission | ||||||||
5.00%, 09/01/2024 | 1,000,000 | 1,139,100 | ||||||
5.00%, 09/01/2025 | 1,250,000 | 1,445,600 | ||||||
Kentucky Economic Development Finance Authority | ||||||||
5.00%, 06/01/2024 | 1,000,000 | 1,095,000 | ||||||
5.00%, 05/15/2031 | 100,000 | 104,503 | ||||||
5.00%, 06/01/2037 | 325,000 | 344,906 | ||||||
6.38%, 06/01/2040 | 2,550,000 | 2,708,457 | ||||||
5.00%, 06/01/2041 | 225,000 | 236,660 | ||||||
5.25%, 06/01/2041 | 725,000 | 772,625 | ||||||
6.50%, 03/01/2045 | 1,000,000 | 1,063,730 | ||||||
5.00%, 06/01/2045 | 1,000,000 | 1,050,370 | ||||||
5.00%, 12/01/2045 | 300,000 | 328,413 | ||||||
5.00%, 05/15/2046 | 500,000 | 510,470 | ||||||
6.25%, 11/15/2046 | 750,000 | 721,275 | ||||||
5.00%, 12/01/2047 | 620,000 | 664,714 | ||||||
5.00%, 05/15/2051 | 325,000 | 330,792 | ||||||
Kentucky Higher Education Student Loan Corp. | ||||||||
5.00%, 06/01/2020 | 600,000 | 620,406 | ||||||
5.00%, 06/01/2021 | 610,000 | 643,257 | ||||||
Kentucky Housing Corp. | ||||||||
2.45%, 04/01/2021(1) | 13,000,000 | 13,061,750 | ||||||
Kentucky Public Energy Authority | ||||||||
4.00%, 04/01/2048(1) | 10,590,000 | 11,068,562 | ||||||
4.00%, 01/01/2049(1) | 10,000,000 | 10,571,300 | ||||||
4.00%, 12/01/2049(1) | 20,000,000 | 20,975,200 | ||||||
Kentucky Public Transportation Infrastructure Authority | ||||||||
5.75%, 07/01/2049 | 1,000,000 | 1,073,040 | ||||||
6.00%, 07/01/2053 | 530,000 | 574,684 | ||||||
Kentucky State Property & Building Commission | ||||||||
5.00%, 05/01/2021 | 500,000 | 531,000 | ||||||
3.00%, 05/01/2025 | 525,000 | 534,324 | ||||||
5.00%, 05/01/2029 | 1,000,000 | 1,140,840 | ||||||
5.00%, 05/01/2029 | 1,025,000 | 1,184,357 | ||||||
5.00%, 05/01/2032 | 270,000 | 309,150 | ||||||
Louisville/Jefferson County Metropolitan Government | ||||||||
5.00%, 10/01/2020 | 1,140,000 | 1,195,096 | ||||||
5.00%, 10/01/2023 | 1,565,000 | 1,745,633 | ||||||
5.00%, 12/01/2028 | 120,000 | 128,005 | ||||||
5.00%, 10/01/2030 | 2,500,000 | 2,817,350 | ||||||
5.00%, 12/01/2030 | 130,000 | 137,977 | ||||||
5.00%, 10/01/2032 | 430,000 | 480,198 | ||||||
1.50%, 10/01/2033(1) | 1,705,000 | 1,702,272 | ||||||
University of Louisville | ||||||||
3.00%, 09/01/2021 | 1,230,000 | 1,258,167 | ||||||
|
| |||||||
88,411,675 | ||||||||
|
|
Louisiana—1.13% | ||||||||
City of New Orleans LA | ||||||||
5.00%, 12/01/2019 | 2,450,000 | 2,514,190 | ||||||
Greater New Orleans Expressway Commission | ||||||||
5.00%, 11/01/2034 | 1,000,000 | 1,129,860 | ||||||
Jefferson Parish Economic Development & Port District | ||||||||
5.50%, 06/15/2038(2) | 600,000 | 602,172 | ||||||
5.63%, 06/15/2048(2) | 700,000 | 702,786 | ||||||
Jefferson Parish Hospital Service District No 1 | ||||||||
5.50%, 01/01/2026 | 3,000,000 | 3,207,330 | ||||||
Louisiana Local Government Environmental Facilities & Community Development Authority | ||||||||
5.00%, 10/01/2028 | 1,045,000 | 1,232,995 | ||||||
6.50%, 08/01/2029 | 2,200,000 | 2,337,368 | ||||||
Louisiana Public Facilities Authority | ||||||||
5.00%, 06/01/2021 | 7,695,000 | 8,228,110 | ||||||
5.00%, 12/15/2022 | 230,000 | 254,877 | ||||||
5.00%, 12/15/2023 | 335,000 | 378,259 | ||||||
5.00%, 12/15/2024 | 330,000 | 378,487 | ||||||
5.00%, 12/15/2025 | 275,000 | 319,368 | ||||||
5.00%, 12/15/2026 | 300,000 | 352,113 | ||||||
0.00%, 10/01/2027 | 2,000,000 | 1,771,540 | ||||||
5.00%, 12/15/2028 | 250,000 | 293,272 | ||||||
5.00%, 12/15/2029 | 200,000 | 232,212 | ||||||
5.00%, 12/15/2030 | 150,000 | 172,756 | ||||||
5.00%, 05/15/2031 | 1,250,000 | 1,410,050 | ||||||
5.00%, 12/15/2031 | 390,000 | 447,521 | ||||||
5.00%, 05/15/2032 | 1,000,000 | 1,121,040 | ||||||
Louisiana State Citizens Property Insurance Corp. | ||||||||
5.00%, 06/01/2021 | 4,000,000 | 4,287,880 | ||||||
New Orleans Aviation Board | ||||||||
5.00%, 01/01/2023 | 50,000 | 54,743 | ||||||
5.00%, 01/01/2024 | 1,400,000 | 1,557,122 | ||||||
5.00%, 01/01/2024 | 55,000 | 61,173 | ||||||
5.00%, 01/01/2025 | 50,000 | 56,296 | ||||||
5.00%, 01/01/2027 | 850,000 | 945,591 | ||||||
5.00%, 01/01/2028 | 155,000 | 177,126 | ||||||
5.00%, 01/01/2029 | 810,000 | 892,669 | ||||||
5.00%, 01/01/2030 | 275,000 | 310,293 | ||||||
5.00%, 01/01/2033 | 2,600,000 | 2,958,904 | ||||||
5.00%, 01/01/2033 | 740,000 | 825,566 | ||||||
5.00%, 01/01/2034 | 750,000 | 833,385 | ||||||
5.00%, 01/01/2034 | 2,750,000 | 3,115,832 | ||||||
5.00%, 01/01/2034 | 170,000 | 188,901 | ||||||
5.00%, 01/01/2036 | 500,000 | 551,905 | ||||||
5.00%, 01/01/2037 | 500,000 | 549,710 | ||||||
5.00%, 01/01/2040 | 1,000,000 | 1,074,880 | ||||||
5.00%, 01/01/2040 | 1,540,000 | 1,676,968 | ||||||
State of Louisiana | ||||||||
5.00%, 07/15/2021 | 1,695,000 | 1,823,922 | ||||||
|
| |||||||
49,029,172 | ||||||||
|
| |||||||
Maine—0.14% | ||||||||
Maine Health & Higher Educational Facilities Authority | ||||||||
4.00%, 07/01/2041 | 1,470,000 | 1,421,240 | ||||||
5.00%, 07/01/2041 | 1,235,000 | 1,306,914 | ||||||
5.00%, 07/01/2043 | 390,000 | 406,548 | ||||||
4.00%, 07/01/2046 | 330,000 | 313,104 | ||||||
5.00%, 07/01/2046 | 1,735,000 | 1,830,303 | ||||||
Maine Municipal Bond Bank | ||||||||
5.00%, 11/01/2033 | 650,000 | 764,471 | ||||||
|
| |||||||
6,042,580 | ||||||||
|
|
Maryland—2.95% | ||||||||
City of Baltimore MD | ||||||||
5.00%, 09/01/2023 | 1,000,000 | 1,096,850 | ||||||
5.00%, 07/01/2026 | 720,000 | 852,581 | ||||||
5.00%, 07/01/2029 | 4,770,000 | 5,606,610 | ||||||
5.00%, 09/01/2030 | 3,000,000 | 3,374,430 | ||||||
5.00%, 09/01/2032 | 1,000,000 | 1,118,830 | ||||||
5.00%, 09/01/2036 | 1,000,000 | 1,091,420 | ||||||
5.00%, 09/01/2039 | 775,000 | 838,046 | ||||||
5.00%, 09/01/2046 | 1,500,000 | 1,606,545 | ||||||
City of Gaithersburg MD | ||||||||
5.00%, 01/01/2027 | 1,335,000 | 1,476,817 | ||||||
5.00%, 01/01/2033 | 130,000 | 141,219 | ||||||
5.00%, 01/01/2036 | 85,000 | 91,634 | ||||||
City of Rockville MD | ||||||||
4.00%, 11/01/2021 | 200,000 | 204,776 | ||||||
2.50%, 11/01/2024 | 245,000 | 233,926 | ||||||
3.00%, 11/01/2025 | 580,000 | 562,507 | ||||||
5.00%, 11/01/2030 | 65,000 | 69,741 | ||||||
5.00%, 11/01/2042 | 1,250,000 | 1,288,613 | ||||||
5.00%, 11/01/2047 | 1,230,000 | 1,263,493 | ||||||
City of Westminster MD | ||||||||
6.25%, 07/01/2044 | 1,100,000 | 1,166,968 | ||||||
County of Baltimore MD | ||||||||
5.00%, 10/01/2023 | 2,495,000 | 2,824,864 | ||||||
County of Montgomery MD | ||||||||
5.00%, 10/01/2024 | 1,210,000 | 1,406,746 | ||||||
5.38%, 07/01/2048 | 625,000 | 632,863 | ||||||
County of Prince George’s MD | ||||||||
4.00%, 08/01/2027 | 3,000,000 | 3,225,750 | ||||||
4.00%, 08/01/2029 | 4,035,000 | 4,309,622 | ||||||
4.00%, 08/01/2030 | 9,865,000 | 10,466,075 | ||||||
Maryland Community Development Administration | ||||||||
2.60%, 09/01/2022 | 2,630,000 | �� | 2,653,828 | |||||
2.70%, 03/01/2023 | 3,195,000 | 3,230,145 | ||||||
2.75%, 09/01/2023 | 1,010,000 | 1,022,807 | ||||||
2.85%, 03/01/2024 | 2,560,000 | 2,600,602 | ||||||
2.95%, 03/01/2025 | 3,025,000 | 3,083,110 | ||||||
3.10%, 03/01/2026 | 1,445,000 | 1,479,535 | ||||||
3.25%, 03/01/2027 | 2,325,000 | 2,393,936 | ||||||
Maryland Economic Development Corp. | ||||||||
5.00%, 06/01/2023 | 215,000 | 236,650 | ||||||
5.00%, 03/31/2024 | 2,500,000 | 2,635,350 | ||||||
5.00%, 09/30/2027 | 50,000 | 55,188 | ||||||
5.00%, 06/01/2028 | 2,000,000 | 2,315,140 | ||||||
5.00%, 09/30/2030 | 905,000 | 984,151 | ||||||
5.00%, 06/01/2035 | 1,415,000 | 1,586,314 | ||||||
5.00%, 03/31/2046 | 1,680,000 | 1,762,270 | ||||||
5.00%, 03/31/2051 | 1,365,000 | 1,427,271 | ||||||
5.00%, 06/01/2058 | 500,000 | 530,815 | ||||||
Maryland Health & Higher Educational Facilities Authority | ||||||||
4.00%, 07/01/2022 | 1,000,000 | 1,063,000 | ||||||
5.00%, 07/01/2022 | 870,000 | 947,526 | ||||||
5.00%, 07/01/2024 | 535,000 | 601,805 | ||||||
5.00%, 07/01/2024 | 745,000 | 839,250 | ||||||
5.25%, 07/01/2026 | 500,000 | 563,070 | ||||||
5.50%, 01/01/2029 | 1,500,000 | 1,758,975 | ||||||
5.50%, 01/01/2030 | 1,750,000 | 2,041,340 | ||||||
5.00%, 07/01/2030 | 600,000 | 658,482 |
5.00%, 07/01/2032 | 750,000 | 834,045 | ||||||
5.00%, 07/01/2035 | 75,000 | 82,308 | ||||||
5.00%, 08/15/2038 | 1,945,000 | 2,123,337 | ||||||
4.00%, 07/01/2042 | 120,000 | 118,379 | ||||||
5.00%, 07/01/2043 | 500,000 | 531,055 | ||||||
5.00%, 07/01/2045 | 2,000,000 | 2,140,540 | ||||||
5.50%, 01/01/2046 | 1,290,000 | 1,428,727 | ||||||
5.00%, 07/01/2048 | 1,000,000 | 1,058,090 | ||||||
Maryland Stadium Authority | ||||||||
5.00%, 06/15/2021 | 900,000 | 965,574 | ||||||
5.00%, 05/01/2032 | 765,000 | 876,315 | ||||||
Maryland State Transportation Authority | ||||||||
5.00%, 07/01/2030 | 4,655,000 | 5,513,289 | ||||||
Prince George’s County Revenue Authority | ||||||||
5.00%, 05/01/2030 | 1,085,000 | 1,290,510 | ||||||
State of Maryland | ||||||||
5.00%, 03/01/2020 | 6,000,000 | 6,223,020 | ||||||
4.00%, 03/15/2021 | 1,170,000 | 1,200,818 | ||||||
5.00%, 08/01/2022 | 3,000,000 | 3,324,540 | ||||||
5.00%, 08/01/2024 | 1,450,000 | 1,679,317 | ||||||
5.00%, 08/01/2025 | 5,670,000 | 6,690,487 | ||||||
State of Maryland Department of Transportation | ||||||||
4.00%, 09/01/2026 | 5,000,000 | 5,619,950 | ||||||
Washington Suburban Sanitary Commission | ||||||||
3.00%, 06/01/2026 | 5,000,000 | 5,199,050 | ||||||
|
| |||||||
128,320,837 | ||||||||
|
| |||||||
Massachusetts—2.39% | ||||||||
City of Boston MA | ||||||||
5.00%, 04/01/2023 | 2,095,000 | 2,363,139 | ||||||
Commonwealth of Massachusetts | ||||||||
5.00%, 07/01/2022 | 485,000 | 536,119 | ||||||
5.50%, 12/01/2022 | 1,195,000 | 1,356,875 | ||||||
5.00%, 09/01/2025 | 2,245,000 | 2,489,952 | ||||||
5.00%, 07/01/2027 | 2,620,000 | 2,894,288 | ||||||
5.00%, 09/01/2028 | 2,000,000 | 2,323,640 | ||||||
5.00%, 12/01/2030 | 1,500,000 | 1,760,580 | ||||||
5.00%, 01/01/2032 | 5,400,000 | 6,381,180 | ||||||
5.00%, 07/01/2036 | 12,630,000 | 14,181,848 | ||||||
1.05%, 08/01/2043(1) | 10,515,000 | 10,354,962 | ||||||
1.70%, 08/01/2043(1) | 1,750,000 | 1,724,205 | ||||||
5.25%, 09/01/2043 | 1,250,000 | 1,469,412 | ||||||
5.00%, 03/01/2046 | 205,000 | 225,180 | ||||||
Commonwealth of Massachusetts Transportation Fund Revenue | ||||||||
5.00%, 06/01/2025 | 2,490,000 | 2,675,306 | ||||||
Massachusetts Development Finance Agency | ||||||||
5.00%, 07/01/2019 | 1,000,000 | 1,014,090 | ||||||
5.00%, 07/15/2022 | 355,000 | 393,461 | ||||||
5.00%, 07/01/2023 | 900,000 | 1,012,203 | ||||||
5.00%, 07/01/2025 | 1,090,000 | 1,248,900 | ||||||
5.00%, 10/01/2025 | 905,000 | 1,026,551 | ||||||
5.00%, 07/01/2026 | 1,140,000 | 1,320,177 | ||||||
5.00%, 10/01/2026 | 955,000 | 1,092,463 | ||||||
5.00%, 07/01/2030 | 590,000 | 692,577 | ||||||
5.00%, 01/01/2031 | 475,000 | 528,162 | ||||||
5.00%, 01/01/2032 | 635,000 | 702,786 | ||||||
5.00%, 01/01/2033 | 540,000 | 595,663 | ||||||
5.00%, 01/01/2034 | 710,000 | 779,552 | ||||||
5.00%, 01/01/2035 | 745,000 | 815,812 | ||||||
5.00%, 01/01/2036 | 1,100,000 | 1,199,770 | ||||||
5.00%, 10/01/2037(2) | 500,000 | 517,875 |
5.00%, 07/01/2038(1) | 8,525,000 | 9,631,715 | ||||||
5.13%, 11/15/2046(2) | 800,000 | 812,024 | ||||||
5.00%, 10/01/2047(2) | 375,000 | 382,425 | ||||||
2.19% (SIFMA Municipal Swap Index + 0.48%), 07/01/2050(3) | 4,000,000 | 4,003,320 | ||||||
5.00%, 10/01/2057(2) | 1,535,000 | 1,550,043 | ||||||
Massachusetts Educational Financing Authority | ||||||||
4.00%, 07/01/2019 | 2,000,000 | 2,017,800 | ||||||
5.00%, 07/01/2026 | 5,000,000 | 5,684,700 | ||||||
Massachusetts Housing Finance Agency | ||||||||
2.26% (SIFMA Municipal Swap Index + 0.55%), 11/01/2048(3) | 10,000,000 | 10,000,000 | ||||||
Massachusetts Port Authority | ||||||||
5.00%, 07/01/2024 | 800,000 | 910,448 | ||||||
5.00%, 07/01/2025 | 295,000 | 341,253 | ||||||
Massachusetts School Building Authority | ||||||||
5.00%, 01/15/2028 | 1,500,000 | 1,726,020 | ||||||
5.00%, 10/15/2032 | 1,000,000 | 1,074,600 | ||||||
Massachusetts Water Resources Authority | ||||||||
5.00%, 08/01/2040 | 1,900,000 | 2,139,362 | ||||||
|
| |||||||
103,950,438 | ||||||||
|
| |||||||
Michigan—3.10% | ||||||||
Avondale School District | ||||||||
5.00%, 11/01/2022 | 600,000 | 659,244 | ||||||
5.00%, 11/01/2023 | 680,000 | 761,437 | ||||||
5.00%, 11/01/2024 | 800,000 | 912,000 | ||||||
5.00%, 11/01/2025 | 785,000 | 907,986 | ||||||
5.00%, 11/01/2026 | 765,000 | 896,029 | ||||||
Calhoun County Hospital Finance Authority | ||||||||
5.00%, 02/15/2037 | 1,695,000 | 1,760,190 | ||||||
City of Detroit MI | ||||||||
5.00%, 04/01/2021 | 1,000,000 | 1,036,880 | ||||||
5.00%, 04/01/2022 | 835,000 | 875,932 | ||||||
5.00%, 04/01/2023 | 750,000 | 793,672 | ||||||
5.00%, 04/01/2024 | 900,000 | 957,906 | ||||||
5.00%, 04/01/2025 | 900,000 | 962,577 | ||||||
5.00%, 04/01/2034 | 1,000,000 | 1,048,200 | ||||||
City of Detroit MI Sewage Disposal System Revenue | ||||||||
5.25%, 07/01/2039 | 4,050,000 | 4,346,014 | ||||||
City of Detroit MI Water Supply System Revenue | ||||||||
5.25%, 07/01/2041 | 1,000,000 | 1,063,600 | ||||||
City of Royal Oak MI | ||||||||
5.00%, 04/01/2029 | 500,000 | 588,580 | ||||||
5.00%, 04/01/2031 | 1,045,000 | 1,217,185 | ||||||
City of Wyandotte MI Electric System Revenue | ||||||||
5.00%, 10/01/2021 | 750,000 | 797,970 | ||||||
5.00%, 10/01/2022 | 800,000 | 868,048 | ||||||
5.00%, 10/01/2023 | 500,000 | 552,510 | ||||||
5.00%, 10/01/2024 | 765,000 | 858,445 | ||||||
Clarkston Community Schools | ||||||||
5.00%, 05/01/2022 | 445,000 | 486,105 | ||||||
County of Kent MI | ||||||||
5.00%, 06/01/2028 | 700,000 | 826,000 | ||||||
Detroit Downtown Development Authority | ||||||||
5.00%, 07/01/2037 | 540,000 | 574,614 | ||||||
Grand Rapids Public Schools | ||||||||
5.00%, 05/01/2025 | 1,075,000 | 1,240,872 | ||||||
Great Lakes Water Authority Sewage Disposal System Revenue | ||||||||
5.00%, 07/01/2030 | 3,000,000 | 3,432,480 | ||||||
5.00%, 07/01/2036 | 1,000,000 | 1,112,760 | ||||||
Great Lakes Water Authority Water Supply System Revenue | ||||||||
5.00%, 07/01/2023 | 1,000,000 | 1,121,480 |
Karegnondi Water Authority | ||||||||
5.25%, 11/01/2040 | 130,000 | 142,927 | ||||||
Lake Orion Community School District | ||||||||
5.00%, 05/01/2020 | 1,390,000 | 1,447,324 | ||||||
5.00%, 05/01/2021 | 1,385,000 | 1,477,698 | ||||||
5.00%, 05/01/2025 | 3,275,000 | 3,797,035 | ||||||
Michigan Finance Authority | ||||||||
5.00%, 11/15/2022 | 275,000 | 302,420 | ||||||
5.00%, 10/01/2023 | 1,000,000 | 1,090,290 | ||||||
5.00%, 10/01/2024 | 3,000,000 | 3,477,180 | ||||||
5.00%, 11/01/2024 | 750,000 | 861,600 | ||||||
5.00%, 10/01/2025 | 5,000,000 | 5,896,900 | ||||||
5.00%, 11/01/2025 | 1,000,000 | 1,164,180 | ||||||
5.00%, 12/01/2026 | 1,190,000 | 1,398,583 | ||||||
5.00%, 12/01/2029 | 500,000 | 587,500 | ||||||
5.00%, 07/01/2030 | 600,000 | 671,460 | ||||||
5.00%, 10/01/2030 | 800,000 | 888,720 | ||||||
5.00%, 07/01/2033 | 350,000 | 387,762 | ||||||
Michigan State Building Authority | ||||||||
5.00%, 10/15/2021 | 1,750,000 | 1,897,332 | ||||||
Michigan State Hospital Finance Authority | ||||||||
5.00%, 12/01/2022 | 125,000 | 138,441 | ||||||
5.00%, 12/01/2023 | 1,150,000 | 1,297,384 | ||||||
5.00%, 12/01/2024 | 275,000 | 315,486 | ||||||
5.00%, 12/01/2025 | 700,000 | 813,316 | ||||||
1.63%, 11/01/2027(1) | 2,745,000 | 2,732,538 | ||||||
5.00%, 12/01/2027 | 415,000 | 492,671 | ||||||
1.90%, 11/15/2047(1) | 3,000,000 | 2,975,790 | ||||||
2.40%, 11/15/2047(1) | 850,000 | 848,632 | ||||||
4.00%, 11/15/2047(1) | 9,750,000 | 10,462,530 | ||||||
4.00%, 11/15/2047(1) | 4,505,000 | 4,890,898 | ||||||
Michigan Strategic Fund | ||||||||
5.00%, 06/30/2025 | 2,000,000 | 2,250,680 | ||||||
5.00%, 12/31/2025 | 2,595,000 | 2,934,245 | ||||||
5.00%, 06/30/2026 | 2,800,000 | 3,167,220 | ||||||
1.45%, 09/01/2030(1) | 1,260,000 | 1,211,326 | ||||||
Michigan Tobacco Settlement Finance Authority | ||||||||
6.00%, 06/01/2048 | 7,025,000 | 6,945,196 | ||||||
0.00%, 06/01/2052 | 7,500,000 | 358,500 | ||||||
Portage Public Schools | ||||||||
5.00%, 11/01/2028 | 1,000,000 | 1,164,230 | ||||||
Royal Oak Hospital Finance Authority | ||||||||
5.00%, 09/01/2039 | 10,320,000 | 11,145,806 | ||||||
Royal Oak School District | ||||||||
5.00%, 05/01/2023 | 600,000 | 671,076 | ||||||
5.00%, 05/01/2024 | 600,000 | 682,068 | ||||||
State of Michigan | ||||||||
5.00%, 03/15/2020 | 1,670,000 | 1,731,890 | ||||||
5.00%, 03/15/2021 | 1,000,000 | 1,064,890 | ||||||
5.00%, 03/15/2022 | 1,170,000 | 1,277,476 | ||||||
5.00%, 03/15/2023 | 2,000,000 | 2,234,500 | ||||||
Wayne County Airport Authority | ||||||||
5.00%, 12/01/2022 | 200,000 | 221,824 | ||||||
5.00%, 12/01/2022 | 300,000 | 328,593 | ||||||
5.00%, 12/01/2023 | 400,000 | 452,060 | ||||||
5.00%, 12/01/2023 | 250,000 | 281,792 | ||||||
5.00%, 12/01/2023 | 550,000 | 611,820 | ||||||
5.00%, 12/01/2024 | 375,000 | 430,654 | ||||||
5.00%, 12/01/2024 | 500,000 | 563,595 | ||||||
5.00%, 12/01/2025 | 600,000 | 683,616 |
5.00%, 12/01/2027 | 4,055,000 | 4,609,197 | ||||||
5.00%, 12/01/2031 | 350,000 | 403,781 | ||||||
5.00%, 12/01/2033 | 300,000 | 345,591 | ||||||
5.00%, 12/01/2040 | 4,000,000 | 4,474,720 | ||||||
5.00%, 12/01/2042 | 1,000,000 | 1,087,520 | ||||||
5.00%, 12/01/2042 | 900,000 | 987,381 | ||||||
5.00%, 12/01/2047 | 1,000,000 | 1,093,920 | ||||||
|
| |||||||
134,530,480 | ||||||||
|
| |||||||
Minnesota—0.66% | ||||||||
City of Deephaven MN | ||||||||
5.00%, 10/01/2037 | 1,250,000 | 1,224,587 | ||||||
5.00%, 10/01/2049 | 2,200,000 | 2,093,828 | ||||||
City of Minneapolis MN/St Paul Housing & Redevelopment Authority | ||||||||
5.00%, 11/15/2022 | 1,100,000 | 1,220,010 | ||||||
City of Moorhead MN | ||||||||
5.00%, 12/01/2025 | 775,000 | 854,399 | ||||||
City of North Oaks MN | ||||||||
5.00%, 10/01/2047 | 1,000,000 | �� | 1,053,710 | |||||
City of Rochester MN | ||||||||
5.00%, 12/01/2025 | 850,000 | 908,795 | ||||||
5.25%, 12/01/2038 | 1,000,000 | 1,039,270 | ||||||
City of St Paul Park MN | ||||||||
5.00%, 05/01/2053 | 400,000 | 410,660 | ||||||
Duluth Economic Development Authority | ||||||||
5.00%, 02/15/2033 | 500,000 | 560,995 | ||||||
5.00%, 02/15/2034 | 750,000 | 837,757 | ||||||
5.00%, 02/15/2037 | 1,250,000 | 1,379,813 | ||||||
Roseville Independent School District No 623 | ||||||||
5.00%, 02/01/2025 | 3,895,000 | 4,493,038 | ||||||
5.00%, 02/01/2026 | 2,315,000 | 2,706,258 | ||||||
Shakopee Independent School District No 720 | ||||||||
5.00%, 02/01/2024 | 3,185,000 | 3,588,348 | ||||||
State of Minnesota | ||||||||
5.00%, 03/01/2020 | 1,040,000 | 1,078,532 | ||||||
5.00%, 06/01/2020 | 2,345,000 | 2,449,728 | ||||||
5.00%, 08/01/2023 | 1,465,000 | 1,661,134 | ||||||
5.00%, 08/01/2026 | 1,000,000 | 1,197,520 | ||||||
|
| |||||||
28,758,382 | ||||||||
|
| |||||||
Mississippi—0.25% | ||||||||
State of Mississippi | ||||||||
5.00%, 10/15/2019 | 4,545,000 | 4,649,217 | ||||||
5.00%, 10/15/2020 | 1,750,000 | 1,838,637 | ||||||
5.00%, 10/15/2021 | 1,300,000 | 1,400,997 | ||||||
5.00%, 10/15/2022 | 1,750,000 | 1,926,225 | ||||||
5.00%, 10/01/2030 | 1,000,000 | 1,183,170 | ||||||
|
| |||||||
10,998,246 | ||||||||
|
| |||||||
Missouri—0.69% | ||||||||
Belton School District No 124 | ||||||||
5.00%, 03/01/2028 | 250,000 | 302,247 | ||||||
5.50%, 03/01/2030 | 500,000 | 610,925 | ||||||
5.50%, 03/01/2033 | 500,000 | 603,130 | ||||||
5.50%, 03/01/2036 | 500,000 | 597,460 | ||||||
Cape Girardeau County Industrial Development Authority | ||||||||
5.00%, 03/01/2032 | 500,000 | 548,355 | ||||||
City of Kansas City MO Sanitary Sewer System Revenue | ||||||||
5.00%, 01/01/2026 | 285,000 | 336,471 | ||||||
5.00%, 01/01/2031 | 135,000 | 160,003 | ||||||
City of St Louis MO Airport Revenue | ||||||||
5.00%, 07/01/2025 | 400,000 | 457,028 |
Hannibal Industrial Development Authority | ||||||||
5.00%, 10/01/2047 | 1,580,000 | 1,717,397 | ||||||
Health & Educational Facilities Authority of the State of Missouri | ||||||||
5.00%, 06/01/2025 | 7,000,000 | 8,057,420 | ||||||
5.00%, 02/01/2029 | 1,000,000 | 1,136,450 | ||||||
5.00%, 02/01/2035 | 1,000,000 | 1,045,400 | ||||||
5.00%, 02/01/2036 | 200,000 | 221,822 | ||||||
4.00%, 02/01/2040 | 100,000 | 101,501 | ||||||
5.00%, 08/01/2040 | 1,145,000 | 1,190,663 | ||||||
Industrial Development Authority of the City of St Louis Missouri | ||||||||
3.88%, 11/15/2029 | 95,000 | 96,707 | ||||||
4.38%, 11/15/2035 | 230,000 | 231,741 | ||||||
4.75%, 11/15/2047 | 250,000 | 252,438 | ||||||
Kirkwood Industrial Development Authority | ||||||||
5.00%, 05/15/2021 | 1,500,000 | 1,562,760 | ||||||
Missouri State Health & Educational Facilities Authority | ||||||||
5.00%, 04/01/2027 | 1,500,000 | 1,693,065 | ||||||
St Louis County Industrial Development Authority | ||||||||
5.00%, 12/01/2025 | 985,000 | 1,035,235 | ||||||
5.50%, 09/01/2033 | 1,000,000 | 1,039,860 | ||||||
5.00%, 09/01/2038 | 930,000 | 932,762 | ||||||
5.13%, 08/15/2045 | 200,000 | 203,296 | ||||||
5.13%, 09/01/2048 | 2,755,000 | 2,757,920 | ||||||
St Louis Land Clearance for Redevelopment Authority | ||||||||
5.00%, 06/01/2029 | 1,000,000 | 1,108,680 | ||||||
5.38%, 06/01/2043 | 2,000,000 | 2,159,500 | ||||||
|
| |||||||
30,160,236 | ||||||||
|
| |||||||
Montana—0.03% | ||||||||
City of Kalispell MT | ||||||||
5.25%, 05/15/2037 | 765,000 | 785,793 | ||||||
5.25%, 05/15/2047 | 500,000 | 510,145 | ||||||
|
| |||||||
1,295,938 | ||||||||
|
| |||||||
Nebraska—0.24% | ||||||||
Central Plains Energy Project | ||||||||
5.00%, 09/01/2035 | 930,000 | 1,061,818 | ||||||
5.00%, 09/01/2042 | 1,175,000 | 1,255,441 | ||||||
5.00%, 03/01/2050(1) | 5,000,000 | 5,450,800 | ||||||
City of Omaha NE | ||||||||
5.00%, 01/15/2026 | 1,700,000 | 2,001,325 | ||||||
Omaha Airport Authority | ||||||||
5.00%, 12/15/2031 | 515,000 | 586,971 | ||||||
|
| |||||||
10,356,355 | ||||||||
|
| |||||||
Nevada—1.07% | ||||||||
City of Carson City NV | ||||||||
5.00%, 09/01/2026 | 550,000 | 627,599 | ||||||
City of Reno NV | ||||||||
5.00%, 06/01/2038 | 150,000 | 168,569 | ||||||
0.00%, 07/01/2058(2) | 2,000,000 | 226,540 | ||||||
Clark County Nevada School District | ||||||||
5.00%, 06/15/2029 | 4,080,000 | 4,780,046 | ||||||
Clark County School District | ||||||||
5.00%, 06/15/2021 | 420,000 | 448,312 | ||||||
5.00%, 06/15/2023 | 370,000 | 411,692 | ||||||
5.00%, 06/15/2023 | 1,650,000 | 1,835,922 | ||||||
5.00%, 06/15/2024 | 4,500,000 | 5,086,935 | ||||||
5.00%, 06/15/2025 | 6,060,000 | 6,937,791 | ||||||
County of Clark Department of Aviation | ||||||||
5.00%, 07/01/2021 | 830,000 | 885,693 | ||||||
5.00%, 07/01/2021 | 1,000,000 | 1,065,840 | ||||||
5.00%, 07/01/2022 | 400,000 | 435,500 | ||||||
5.00%, 07/01/2024 | 3,320,000 | 3,736,361 |
5.00%, 07/01/2024 | 1,250,000 | 1,406,763 | ||||||
5.00%, 07/01/2025 | 2,220,000 | 2,536,505 | ||||||
County of Clark NV | ||||||||
5.00%, 11/01/2028 | 3,000,000 | 3,537,120 | ||||||
5.00%, 11/01/2032 | 3,000,000 | 3,406,260 | ||||||
County of Washoe NV | ||||||||
1.50%, 08/01/2031(1) | 1,000,000 | 996,600 | ||||||
3.00%, 03/01/2036(1) | 700,000 | 714,133 | ||||||
Las Vegas Convention & Visitors Authority | ||||||||
5.00%, 07/01/2033 | 1,140,000 | 1,257,739 | ||||||
Las Vegas Redevelopment Agency | ||||||||
5.00%, 06/15/2030 | 1,000,000 | 1,119,160 | ||||||
5.00%, 06/15/2040 | 685,000 | 740,656 | ||||||
Las Vegas Valley Water District | ||||||||
4.00%, 06/01/2028 | 1,000,000 | 1,087,710 | ||||||
5.00%, 06/01/2039 | 2,815,000 | 3,145,284 | ||||||
|
| |||||||
46,594,730 | ||||||||
|
| |||||||
New Hampshire—0.53% | ||||||||
New Hampshire Business Finance Authority | ||||||||
4.00%, 01/01/2019 | 565,000 | 565,000 | ||||||
5.00%, 01/01/2024 | 720,000 | 790,531 | ||||||
New Hampshire Health and Education Facilities Authority Act | ||||||||
3.50%, 07/01/2022(2) | 100,000 | 100,014 | ||||||
5.00%, 07/01/2023 | 500,000 | 562,335 | ||||||
4.13%, 07/01/2024(2) | 255,000 | 255,464 | ||||||
5.25%, 07/01/2027(2) | 1,250,000 | 1,251,112 | ||||||
5.00%, 08/01/2027 | 750,000 | 889,485 | ||||||
5.00%, 10/01/2028 | 1,580,000 | 1,765,603 | ||||||
5.00%, 07/01/2030 | 390,000 | 457,805 | ||||||
5.00%, 10/01/2032 | 2,825,000 | 3,102,104 | ||||||
4.00%, 10/01/2038 | 115,000 | 112,837 | ||||||
5.00%, 10/01/2038 | 425,000 | 456,552 | ||||||
6.25%, 07/01/2042(2) | 700,000 | 732,830 | ||||||
5.00%, 07/01/2044 | 1,970,000 | 2,143,242 | ||||||
6.13%, 07/01/2052(2) | 495,000 | 512,375 | ||||||
New Hampshire Solid Waste Disposal Authority | ||||||||
2.46% (SIFMA Municipal Swap Index + 0.75%), 10/01/2033(3) | 9,500,000 | 9,474,730 | ||||||
|
| |||||||
23,172,019 | ||||||||
|
| |||||||
New Jersey—3.24% | ||||||||
Burlington County Bridge Commission | ||||||||
5.63%, 01/01/2038 | 750,000 | 710,250 | ||||||
Camden County Improvement Authority | ||||||||
5.00%, 01/15/2028 | 500,000 | 593,260 | ||||||
5.00%, 01/15/2029 | 1,000,000 | 1,178,530 | ||||||
5.00%, 01/15/2033 | 500,000 | 579,030 | ||||||
City of Jersey City NJ | ||||||||
2.50%, 01/18/2019 | 3,000,000 | 3,000,900 | ||||||
County of Union NJ | ||||||||
3.00%, 03/01/2026 | 3,000,000 | 3,100,770 | ||||||
New Brunswick Parking Authority | ||||||||
5.00%, 09/01/2039 | 2,000,000 | 2,241,360 | ||||||
New Jersey Economic Development Authority | ||||||||
5.00%, 06/15/2019 | 4,500,000 | 4,555,845 | ||||||
4.00%, 01/01/2020 | 115,000 | 115,100 | ||||||
5.00%, 10/01/2022 | 810,000 | 874,695 | ||||||
5.00%, 01/01/2023 | 400,000 | 433,352 | ||||||
5.00%, 03/01/2023 | 4,045,000 | 4,387,126 | ||||||
5.00%, 03/01/2024 | 2,405,000 | 2,588,670 | ||||||
5.00%, 06/15/2024 | 2,000,000 | 2,198,640 | ||||||
5.00%, 06/15/2025 | 5,190,000 | 5,752,804 |
5.00%, 06/01/2026 | 900,000 | 1,030,365 | ||||||
5.50%, 01/01/2027 | 500,000 | 553,910 | ||||||
5.00%, 06/15/2028 | 605,000 | 640,090 | ||||||
5.00%, 06/15/2029 | 1,000,000 | 1,056,330 | ||||||
3.13%, 07/01/2029 | 1,000,000 | 1,000,070 | ||||||
5.50%, 06/15/2030 | 2,000,000 | 2,263,600 | ||||||
5.63%, 11/15/2030 | 2,095,000 | 2,349,878 | ||||||
5.00%, 01/01/2031 | 500,000 | 540,760 | ||||||
5.13%, 01/01/2034 | 590,000 | 628,851 | ||||||
5.00%, 10/01/2037 | 4,225,000 | 4,501,822 | ||||||
5.25%, 01/01/2044 | 190,000 | 189,476 | ||||||
5.00%, 10/01/2047 | 2,450,000 | 2,575,562 | ||||||
5.63%, 01/01/2052 | 2,000,000 | 2,159,900 | ||||||
New Jersey Educational Facilities Authority | ||||||||
5.00%, 06/01/2023 | 930,000 | 1,012,714 | ||||||
5.00%, 07/01/2023 | 3,390,000 | 3,714,898 | ||||||
5.00%, 07/01/2032 | 4,920,000 | 5,533,819 | ||||||
New Jersey Health Care Facilities Financing Authority | ||||||||
5.00%, 07/01/2019 | 1,225,000 | 1,240,557 | ||||||
5.00%, 07/01/2021 | 40,000 | 42,553 | ||||||
5.00%, 07/01/2022 | 540,000 | 586,980 | ||||||
5.00%, 07/01/2023 | 140,000 | 154,791 | ||||||
5.00%, 07/01/2023 | 530,000 | 594,867 | ||||||
5.00%, 07/01/2024 | 110,000 | 123,197 | ||||||
5.00%, 07/01/2024 | 2,500,000 | 2,733,325 | ||||||
5.00%, 07/01/2025 | 120,000 | 135,882 | ||||||
5.00%, 07/01/2025 | 1,580,000 | 1,724,112 | ||||||
5.00%, 07/01/2026 | 40,000 | 45,622 | ||||||
5.00%, 07/01/2027 | 60,000 | 68,130 | ||||||
5.00%, 07/01/2028 | 155,000 | 180,297 | ||||||
5.00%, 07/01/2030 | 165,000 | 184,186 | ||||||
5.00%, 07/01/2031 | 430,000 | 443,244 | ||||||
5.63%, 07/01/2032 | 380,000 | 414,132 | ||||||
5.00%, 07/01/2033 | 500,000 | 562,030 | ||||||
5.00%, 07/01/2041 | 815,000 | 866,239 | ||||||
5.00%, 07/01/2046 | 2,375,000 | 2,591,885 | ||||||
New Jersey Higher Education Student Assistance Authority | ||||||||
5.00%, 12/01/2019 | 500,000 | 511,500 | ||||||
5.50%, 12/01/2021 | 2,260,000 | 2,446,518 | ||||||
5.00%, 12/01/2044 | 1,000,000 | 1,047,790 | ||||||
New Jersey Housing & Mortgage Finance Agency | ||||||||
2.02%, 08/01/2021(1) | 3,000,000 | 2,995,800 | ||||||
2.41%, 10/01/2021(1) | 5,000,000 | 5,022,900 | ||||||
3.55%, 04/01/2027 | 2,190,000 | 2,218,098 | ||||||
3.65%, 04/01/2028 | 1,580,000 | 1,600,034 | ||||||
New Jersey Transportation Trust Fund Authority | ||||||||
5.25%, 12/15/2022 | 1,760,000 | 1,927,746 | ||||||
5.00%, 12/15/2023 | 2,700,000 | 2,960,955 | ||||||
5.25%, 12/15/2023 | 3,940,000 | 4,365,953 | ||||||
5.50%, 12/15/2023 | 190,000 | 212,716 | ||||||
5.00%, 06/15/2024 | 1,035,000 | 1,147,680 | ||||||
5.00%, 06/15/2025 | 450,000 | 488,592 | ||||||
0.00%, 12/15/2026 | 2,600,000 | 1,921,530 | ||||||
5.00%, 06/15/2027 | 235,000 | 263,499 | ||||||
5.00%, 06/15/2029 | 1,200,000 | 1,332,072 | ||||||
0.00%, 12/15/2030 | 2,000,000 | 1,235,740 | ||||||
5.00%, 12/15/2030 | 2,000,000 | 2,211,240 | ||||||
5.00%, 06/15/2031 | 1,125,000 | 1,236,353 | ||||||
5.00%, 12/15/2032 | 1,340,000 | 1,468,680 | ||||||
5.00%, 12/15/2033 | 14,340,000 | 15,630,313 | ||||||
5.00%, 12/15/2035 | 1,340,000 | 1,449,076 |
New Jersey Turnpike Authority | ||||||||
5.00%, 01/01/2033 | 5,000,000 | 5,582,700 | ||||||
State of New Jersey Healthcare Facilities, Tender Option Bond Trust, Series 2017-ZM0546 | ||||||||
1.86%, 07/01/2025(1) (2) | 600,000 | 600,000 | ||||||
Tobacco Settlement Financing Corp./NJ | ||||||||
5.00%, 06/01/2023 | 570,000 | 623,170 | ||||||
5.00%, 06/01/2046 | 1,800,000 | 1,870,506 | ||||||
5.25%, 06/01/2046 | 2,300,000 | 2,451,961 | ||||||
Township of Montclair NJ | ||||||||
4.00%, 03/01/2023 | 800,000 | 865,888 | ||||||
4.00%, 03/01/2027 | 325,000 | 366,922 | ||||||
|
| |||||||
140,810,338 | ||||||||
|
| |||||||
New Mexico—0.30% | ||||||||
Albuquerque Bernalillo County Water Utility Authority | ||||||||
5.00%, 07/01/2027 | 2,400,000 | 2,843,760 | ||||||
5.00%, 07/01/2028 | 1,700,000 | 2,004,079 | ||||||
Albuquerque Municipal School District No 12 | ||||||||
5.00%, 08/01/2025 | 800,000 | 938,072 | ||||||
Farmington Municipal School District No 5/NM | ||||||||
5.00%, 09/01/2024 | 490,000 | 566,028 | ||||||
New Mexico Mortgage Finance Authority | ||||||||
1.35%, 06/01/2020(1) | 3,000,000 | 2,990,550 | ||||||
Town of Clayton NM | ||||||||
4.00%, 11/01/2020 | 3,545,000 | 3,646,387 | ||||||
|
| |||||||
12,988,876 | ||||||||
|
| |||||||
New York—10.38% | ||||||||
Build NYC Resource Corp. | ||||||||
5.00%, 08/01/2022 | 200,000 | 220,032 | ||||||
5.00%, 08/01/2023 | 230,000 | 258,428 | ||||||
4.88%, 05/01/2031(2) | 750,000 | 754,140 | ||||||
5.00%, 01/01/2035(2) | 3,900,000 | 4,114,539 | ||||||
5.50%, 05/01/2048(2) | 1,350,000 | 1,377,526 | ||||||
City of Ithaca NY | ||||||||
2.75%, 02/15/2019 | 2,800,000 | 2,802,884 | ||||||
City of New York NY | ||||||||
5.00%, 08/01/2021 | 6,000,000 | 6,465,660 | ||||||
5.00%, 08/01/2022 | 1,065,000 | 1,176,708 | ||||||
5.00%, 08/01/2025 | 1,600,000 | 1,872,928 | ||||||
5.00%, 08/01/2027 | 2,975,000 | 3,460,698 | ||||||
5.00%, 08/01/2027 | 400,000 | 460,680 | ||||||
5.00%, 08/01/2028 | 400,000 | 464,776 | ||||||
5.00%, 08/01/2028 | 3,975,000 | 4,597,723 | ||||||
5.00%, 08/01/2028 | 700,000 | 820,638 | ||||||
5.00%, 08/01/2029 | 1,500,000 | 1,792,080 | ||||||
5.00%, 08/01/2029 | 1,305,000 | 1,559,110 | ||||||
5.00%, 08/01/2032 | 1,745,000 | 2,035,909 | ||||||
1.72%, 04/01/2042(1) | 2,500,000 | 2,500,000 | ||||||
City of Troy NY | ||||||||
2.75%, 02/08/2019 | 6,500,000 | 6,504,680 | ||||||
City of Yonkers NY | ||||||||
5.00%, 09/01/2022 | 2,350,000 | 2,595,880 | ||||||
5.00%, 09/01/2025 | 1,015,000 | 1,181,968 | ||||||
County of Broome NY | ||||||||
3.00%, 05/03/2019 | 8,000,000 | 8,027,760 | ||||||
County of Erie NY | ||||||||
5.00%, 06/01/2019 | 1,000,000 | 1,013,360 | ||||||
5.00%, 09/15/2019 | 500,000 | 511,245 | ||||||
5.00%, 06/01/2020 | 500,000 | 522,115 | ||||||
5.00%, 09/15/2020 | 350,000 | 368,540 |
5.00%, 06/01/2021 | 750,000 | 805,260 | ||||||
5.00%, 09/15/2021 | 225,000 | 243,452 | ||||||
5.00%, 06/01/2025 | 1,000,000 | 1,163,310 | ||||||
County of Nassau NY | ||||||||
5.00%, 10/01/2024 | 5,000,000 | 5,713,700 | ||||||
County of Rockland NY | ||||||||
4.00%, 01/01/2021 | 1,100,000 | 1,145,001 | ||||||
County of Suffolk NY | ||||||||
4.00%, 02/01/2028 | 1,865,000 | 2,032,328 | ||||||
Erie County Fiscal Stability Authority | ||||||||
5.00%, 09/01/2033 | 525,000 | 616,350 | ||||||
Genesee Valley Central School District | ||||||||
4.00%, 08/28/2019 | 1,400,000 | 1,418,116 | ||||||
Glen Cove Local Economic Assistance Corp. | ||||||||
0.00%, 01/01/2045 | 530,000 | 128,695 | ||||||
0.00%, 01/01/2055 | 710,000 | 566,040 | ||||||
5.00%, 01/01/2056 | 485,000 | 487,537 | ||||||
Hempstead Town Local Development Corp. | ||||||||
5.89%, 02/01/2032 | 1,250,000 | 1,168,825 | ||||||
6.47%, 02/01/2033 | 1,000,000 | 980,960 | ||||||
6.24%, 02/01/2047 | 1,000,000 | 905,960 | ||||||
Hudson Yards Infrastructure Corp. | ||||||||
5.00%, 02/15/2035 | 1,700,000 | 1,948,540 | ||||||
Long Island Power Authority | ||||||||
5.00%, 09/01/2022 | 1,000,000 | 1,106,120 | ||||||
5.00%, 09/01/2023 | 550,000 | 622,023 | ||||||
5.00%, 09/01/2024 | 2,735,000 | 2,999,857 | ||||||
5.00%, 09/01/2024 | 565,000 | 649,733 | ||||||
5.00%, 09/01/2025 | 1,000,000 | 1,166,510 | ||||||
5.00%, 09/01/2026 | 2,000,000 | 2,360,320 | ||||||
5.00%, 09/01/2027 | 6,500,000 | 7,724,795 | ||||||
2.39% (1 Month LIBOR USD + 0.75%), 05/01/2033(3) | 10,000,000 | 9,995,500 | ||||||
5.00%, 09/01/2039 | 1,725,000 | 1,961,239 | ||||||
Metropolitan Transportation Authority | ||||||||
5.00%, 05/15/2020 | 1,400,000 | 1,454,292 | ||||||
5.00%, 09/01/2021 | 25,000,000 | 26,792,250 | ||||||
5.00%, 11/15/2021 | 640,000 | 690,618 | ||||||
5.00%, 11/15/2021 | 500,000 | 539,545 | ||||||
5.00%, 11/15/2023 | 3,225,000 | 3,611,033 | ||||||
2.16% (SIFMA Municipal Swap Index + 0.45%), 11/01/2026(3) | 2,910,000 | 2,892,103 | ||||||
0.00%, 11/15/2033 | 1,600,000 | 931,776 | ||||||
2.22% (1 Month LIBOR USD + 0.65%), 11/01/2035(3) | 8,675,000 | 8,675,000 | ||||||
5.00%, 11/15/2036 | 10,000,000 | 10,944,600 | ||||||
5.25%, 11/15/2036 | 1,015,000 | 1,183,997 | ||||||
5.00%, 11/15/2045(1) | 4,470,000 | 4,696,718 | ||||||
MTA Hudson Rail Yards Trust Obligations | ||||||||
5.00%, 11/15/2051 | 1,500,000 | 1,582,605 | ||||||
5.00%, 11/15/2056 | 4,380,000 | 4,653,356 | ||||||
Nassau County Industrial Development Agency | ||||||||
6.50%, 01/01/2034 | 672,500 | 687,631 | ||||||
6.70%, 01/01/2049 | 793,750 | 820,968 | ||||||
New York City Housing Development Corp. | ||||||||
2.75%, 05/01/2050(1) | 6,500,000 | 6,514,300 | ||||||
New York City Transitional Finance Authority Building Aid Revenue | ||||||||
5.00%, 07/15/2024 | 200,000 | 230,148 | ||||||
5.00%, 07/15/2032 | 2,000,000 | 2,325,320 | ||||||
New York City Transitional Finance Authority Future Tax Secured Revenue | ||||||||
1.94%, 11/01/2022(1) | 2,035,000 | 2,035,000 | ||||||
5.00%, 11/01/2028 | 1,500,000 | 1,741,140 | ||||||
5.00%, 11/01/2029 | 2,000,000 | 2,289,620 |
5.00%, 02/01/2030 | 4,480,000 | 5,158,407 | ||||||
5.00%, 05/01/2033 | 2,535,000 | 2,978,574 | ||||||
5.00%, 08/01/2034 | 700,000 | 821,506 | ||||||
5.00%, 08/01/2035 | 1,600,000 | 1,871,904 | ||||||
5.00%, 02/01/2041 | 200,000 | 219,968 | ||||||
New York City Water & Sewer System | ||||||||
5.00%, 06/15/2031 | 6,075,000 | 6,962,740 | ||||||
5.00%, 06/15/2032 | 5,000,000 | 5,329,600 | ||||||
5.00%, 06/15/2035 | 9,025,000 | 10,307,633 | ||||||
5.00%, 06/15/2036 | 5,000,000 | 5,683,500 | ||||||
5.00%, 06/15/2037 | 6,000,000 | 6,728,760 | ||||||
5.00%, 06/15/2039 | 8,320,000 | 9,273,638 | ||||||
New York Convention Center Development Corp. | ||||||||
5.00%, 11/15/2033 | 3,000,000 | 3,405,600 | ||||||
New York Liberty Development Corp. | ||||||||
5.25%, 10/01/2035 | 2,285,000 | 2,768,826 | ||||||
5.38%, 11/15/2040(2) | 3,500,000 | 3,670,870 | ||||||
5.00%, 11/15/2044(2) | 1,500,000 | 1,538,985 | ||||||
5.75%, 11/15/2051 | 2,000,000 | 2,190,880 | ||||||
New York State Dormitory Authority | ||||||||
4.00%, 12/01/2019(2) | 500,000 | 506,975 | ||||||
5.00%, 12/01/2022(2) | 900,000 | 979,461 | ||||||
5.00%, 07/01/2023 | 250,000 | 282,085 | ||||||
5.00%, 12/15/2023 | 1,000,000 | 1,112,180 | ||||||
5.00%, 03/15/2024 | 3,700,000 | 4,241,569 | ||||||
5.00%, 05/01/2024 | 4,870,000 | 5,564,998 | ||||||
5.00%, 07/01/2024 | 250,000 | 287,297 | ||||||
5.00%, 07/01/2025 | 250,000 | 291,818 | ||||||
5.00%, 03/15/2027 | 2,500,000 | 2,886,300 | ||||||
5.00%, 10/01/2028 | 1,735,000 | 2,067,721 | ||||||
5.00%, 10/01/2029 | 1,430,000 | 1,695,608 | ||||||
5.00%, 10/01/2030 | 1,910,000 | 2,251,680 | ||||||
5.25%, 03/15/2033 | 6,000,000 | 6,943,680 | ||||||
5.00%, 03/15/2035 | 18,190,000 | 21,331,777 | ||||||
New York State Thruway Authority | ||||||||
5.00%, 05/01/2019 | 18,800,000 | 19,000,032 | ||||||
5.00%, 01/01/2032 | 2,835,000 | 3,191,983 | ||||||
New York State Urban Development Corp. | ||||||||
5.00%, 03/15/2022 | 360,000 | 394,834 | ||||||
5.00%, 03/15/2023 | 700,000 | 784,476 | ||||||
5.00%, 03/15/2024 | 400,000 | 457,272 | ||||||
5.00%, 03/15/2032 | 9,500,000 | 11,103,505 | ||||||
5.00%, 03/15/2035 | 2,800,000 | 3,129,112 | ||||||
New York Transportation Development Corp. | ||||||||
5.00%, 08/01/2019 | 2,000,000 | 2,025,920 | ||||||
5.00%, 08/01/2021 | 2,410,000 | 2,539,682 | ||||||
5.00%, 01/01/2023 | 270,000 | 294,540 | ||||||
5.00%, 08/01/2026 | 1,000,000 | 1,043,420 | ||||||
5.00%, 08/01/2031 | 5,105,000 | 5,285,666 | ||||||
5.00%, 01/01/2034 | 5,500,000 | 6,082,725 | ||||||
5.00%, 07/01/2041 | 2,300,000 | 2,424,039 | ||||||
5.00%, 07/01/2046 | 800,000 | 841,120 | ||||||
Port Authority of New York & New Jersey | ||||||||
5.00%, 09/15/2024 | 5,115,000 | 5,831,049 | ||||||
5.00%, 09/15/2026 | 4,160,000 | 4,852,473 | ||||||
5.00%, 10/15/2028 | 4,000,000 | 4,548,000 | ||||||
5.25%, 07/15/2030 | 9,705,000 | 10,312,339 | ||||||
5.00%, 10/15/2033 | 3,500,000 | 3,896,480 | ||||||
5.00%, 10/15/2034 | 4,005,000 | 4,551,042 |
Ravena Coeymans Selkirk Central School District | ||||||||
4.00%, 08/16/2019 | 200,000 | 202,594 | ||||||
State of New York Mortgage Agency | ||||||||
3.45%, 04/01/2026 | 2,185,000 | 2,231,366 | ||||||
Suffolk County Economic Development Corp. | ||||||||
5.00%, 07/01/2028 | 300,000 | 323,010 | ||||||
5.00%, 07/01/2028 | 1,750,000 | 1,861,283 | ||||||
Tompkins County Development Corp. | ||||||||
5.00%, 07/01/2044 | 115,000 | 120,506 | ||||||
Town of Hempstead NY | ||||||||
4.00%, 06/15/2028 | 3,665,000 | 4,018,233 | ||||||
Triborough Bridge & Tunnel Authority | ||||||||
5.00%, 11/15/2030 | 4,000,000 | 4,960,840 | ||||||
2.12% (Secured Overnight Financing Rate + 0.50%), 11/15/2038(3) | 20,000,000 | 20,036,800 | ||||||
Utility Debt Securitization Authority | ||||||||
5.00%, 12/15/2032 | 640,000 | 715,315 | ||||||
5.00%, 12/15/2033 | 12,000,000 | 13,746,360 | ||||||
Westchester County Local Development Corp. | ||||||||
5.50%, 05/01/2042 | 150,000 | 161,586 | ||||||
|
| |||||||
450,984,340 | ||||||||
|
| |||||||
North Carolina—1.08% | ||||||||
Charlotte-Mecklenburg Hospital Authority | ||||||||
5.00%, 01/15/2031 | 1,500,000 | 1,627,635 | ||||||
1.70%, 01/15/2037(1) | 2,220,000 | 2,220,000 | ||||||
5.00%, 01/15/2048(1) | 5,000,000 | 5,431,500 | ||||||
City of Charlotte NC Airport Revenue | ||||||||
5.00%, 07/01/2022 | 1,310,000 | 1,432,721 | ||||||
County of New Hanover NC | ||||||||
5.00%, 10/01/2022 | 1,000,000 | 1,102,350 | ||||||
5.00%, 10/01/2023 | 1,125,000 | 1,262,903 | ||||||
5.00%, 10/01/2034 | 1,000,000 | 1,127,360 | ||||||
County of Wake NC | ||||||||
5.00%, 03/01/2023 | 1,900,000 | 2,136,151 | ||||||
Mecklenburg County Public Facilities Corp. | ||||||||
5.00%, 02/01/2023 | 2,160,000 | 2,420,604 | ||||||
North Carolina Capital Facilities Finance Agency | ||||||||
5.00%, 06/01/2019 | 500,000 | 505,455 | ||||||
5.00%, 06/01/2021 | 500,000 | 532,570 | ||||||
2.35%, 06/01/2038(1) | 810,000 | 809,838 | ||||||
North Carolina Eastern Municipal Power Agency | ||||||||
5.00%, 01/01/2021 | 1,965,000 | 2,087,636 | ||||||
North Carolina Medical Care Commission | ||||||||
5.00%, 10/01/2022 | 40,000 | 42,360 | ||||||
5.00%, 10/01/2023 | 30,000 | 32,031 | ||||||
5.00%, 10/01/2023 | 110,000 | 119,962 | ||||||
3.55%, 10/01/2024 | 1,110,000 | 1,110,089 | ||||||
5.00%, 10/01/2024 | 300,000 | 330,099 | ||||||
5.00%, 10/01/2024 | 35,000 | 37,539 | ||||||
5.00%, 10/01/2025 | 25,000 | 26,938 | ||||||
5.00%, 10/01/2025 | 250,000 | 269,383 | ||||||
5.00%, 10/01/2026 | 250,000 | 274,700 | ||||||
1.73%, 10/01/2028(1) | 1,940,000 | 1,940,000 | ||||||
5.00%, 10/01/2030 | 220,000 | 229,229 | ||||||
5.00%, 10/01/2030 | 460,000 | 495,107 | ||||||
5.00%, 10/01/2030 | 2,100,000 | 2,185,995 | ||||||
5.00%, 10/01/2031 | 2,950,000 | 3,098,503 | ||||||
5.00%, 10/01/2031 | 245,000 | 262,005 | ||||||
6.25%, 07/01/2035 | 1,000,000 | 1,092,150 | ||||||
5.00%, 10/01/2036 | 130,000 | 133,795 | ||||||
5.00%, 09/01/2037 | 2,000,000 | 2,078,740 | ||||||
5.00%, 10/01/2037 | 250,000 | 257,257 |
4.88%, 07/01/2040 | 550,000 | 558,096 | ||||||
5.00%, 09/01/2041 | 440,000 | 450,657 | ||||||
5.00%, 10/01/2043 | 2,000,000 | 1,999,840 | ||||||
North Carolina Turnpike Authority | ||||||||
5.00%, 01/01/2027 | 530,000 | 619,618 | ||||||
5.00%, 01/01/2032 | 1,000,000 | 1,111,180 | ||||||
5.00%, 07/01/2051 | 1,700,000 | 1,809,140 | ||||||
State of North Carolina | ||||||||
5.00%, 03/01/2022 | 1,000,000 | 1,091,430 | ||||||
5.00%, 03/01/2023 | 2,335,000 | 2,606,350 | ||||||
|
| |||||||
46,958,916 | ||||||||
|
| |||||||
Ohio—1.97% | ||||||||
Akron Bath Copley Joint Township Hospital District | ||||||||
5.25%, 11/15/2031 | 530,000 | 597,548 | ||||||
5.25%, 11/15/2032 | 645,000 | 725,309 | ||||||
5.25%, 11/15/2033 | 1,770,000 | 1,983,905 | ||||||
American Municipal Power, Inc. | ||||||||
5.00%, 02/15/2034(1) | 4,770,000 | 4,789,462 | ||||||
Buckeye Tobacco Settlement Financing Authority | ||||||||
5.88%, 06/01/2047 | 3,600,000 | 3,415,464 | ||||||
6.50%, 06/01/2047 | 3,000,000 | 2,992,530 | ||||||
City of Cleveland OH Airport System Revenue | ||||||||
5.00%, 01/01/2024 | 2,450,000 | 2,759,190 | ||||||
Clermont County Port Authority | ||||||||
5.00%, 12/01/2029 | 750,000 | 857,565 | ||||||
5.00%, 12/01/2030 | 850,000 | 967,886 | ||||||
5.00%, 12/01/2031 | 650,000 | 739,713 | ||||||
Cleveland-Cuyahoga County Port Authority | ||||||||
5.50%, 12/01/2053 | 900,000 | 975,780 | ||||||
County of Allen OH Hospital Facilities Revenue | ||||||||
5.00%, 08/01/2047(1) | 500,000 | 547,015 | ||||||
County of Cuyahoga OH | ||||||||
5.00%, 12/01/2026 | 2,500,000 | 2,794,300 | ||||||
5.00%, 02/15/2042 | 525,000 | 547,008 | ||||||
5.50%, 02/15/2052 | 1,790,000 | 1,926,882 | ||||||
5.50%, 02/15/2057 | 1,245,000 | 1,335,810 | ||||||
County of Fairfield OH | ||||||||
4.25%, 06/15/2024 | 1,470,000 | 1,517,496 | ||||||
County of Franklin OH | ||||||||
5.00%, 11/15/2033(1) | 12,790,000 | 14,267,245 | ||||||
County of Hamilton OH | ||||||||
4.00%, 01/01/2021 | 450,000 | 456,381 | ||||||
5.00%, 01/01/2022 | 465,000 | 486,418 | ||||||
County of Muskingum OH | ||||||||
4.00%, 02/15/2023 | 1,700,000 | 1,743,435 | ||||||
5.00%, 02/15/2048 | 2,080,000 | 2,117,024 | ||||||
County of Wood OH | ||||||||
5.00%, 12/01/2032 | 115,000 | 120,011 | ||||||
5.00%, 12/01/2042 | 145,000 | 149,032 | ||||||
Miami University/Oxford OH | ||||||||
5.00%, 09/01/2034 | 700,000 | 801,346 | ||||||
Ohio Air Quality Development Authority | ||||||||
4.25%, 01/15/2038(2) | 250,000 | 248,062 | ||||||
4.50%, 01/15/2048(2) | 275,000 | 276,620 | ||||||
Ohio Housing Finance Agency | ||||||||
2.50%, 10/01/2021(1) | 2,850,000 | 2,865,476 | ||||||
2.45%, 11/01/2021(1) | 2,385,000 | 2,397,712 | ||||||
Ohio Water Development Authority | ||||||||
5.00%, 06/01/2028 | 9,290,000 | 11,257,065 |
Southeastern Ohio Port Authority | ||||||||
5.75%, 12/01/2032 | 445,000 | 475,745 | ||||||
6.00%, 12/01/2042 | 550,000 | 579,057 | ||||||
5.50%, 12/01/2043 | 1,000,000 | 1,042,400 | ||||||
State of Ohio | ||||||||
4.00%, 09/01/2021 | 3,980,000 | 4,200,054 | ||||||
5.00%, 08/01/2024 | 2,500,000 | 2,888,225 | ||||||
5.00%, 01/01/2030 | 1,170,000 | 1,390,814 | ||||||
University of Akron | ||||||||
5.00%, 01/01/2037 | 6,675,000 | 7,441,757 | ||||||
University of Cincinnati | ||||||||
5.00%, 06/01/2028 | 250,000 | 296,100 | ||||||
5.00%, 06/01/2029 | 400,000 | 471,436 | ||||||
|
| |||||||
85,444,278 | ||||||||
|
| |||||||
Oklahoma—1.08% | ||||||||
Cache Educational Facilities Authority | ||||||||
5.00%, 09/01/2026 | 3,220,000 | 3,758,448 | ||||||
Canadian County Educational Facilities Authority | ||||||||
4.00%, 09/01/2025 | 1,500,000 | 1,638,195 | ||||||
5.00%, 09/01/2028 | 1,000,000 | 1,152,950 | ||||||
Canadian County Oklahoma Educational Facilities | ||||||||
5.00%, 09/01/2026 | 1,725,000 | 2,017,370 | ||||||
Cleveland County Educational Facilities Authority | ||||||||
5.00%, 09/01/2024 | 365,000 | 414,735 | ||||||
5.00%, 09/01/2025 | 300,000 | 345,549 | ||||||
5.00%, 09/01/2026 | 375,000 | 436,290 | ||||||
Dewey County Educational Facilities Authority | ||||||||
5.00%, 09/01/2030 | 2,470,000 | 2,794,953 | ||||||
Garvin County Educational Facilities Authority | ||||||||
5.00%, 12/01/2024 | 515,000 | 581,708 | ||||||
5.00%, 12/01/2025 | 545,000 | 623,534 | ||||||
5.00%, 12/01/2026 | 320,000 | 370,378 | ||||||
Grady County School Finance Authority | ||||||||
5.00%, 09/01/2028 | 375,000 | 434,078 | ||||||
5.00%, 09/01/2030 | 1,235,000 | 1,417,335 | ||||||
Grand River Dam Authority | ||||||||
5.00%, 06/01/2023 | 1,000,000 | 1,126,040 | ||||||
Norman Regional Hospital Authority | ||||||||
5.00%, 09/01/2022 | 325,000 | 354,796 | ||||||
Oklahoma City Airport Trust | ||||||||
5.00%, 07/01/2025 | 2,040,000 | 2,328,211 | ||||||
5.00%, 07/01/2026 | 2,195,000 | 2,527,433 | ||||||
5.00%, 07/01/2030 | 1,350,000 | 1,559,574 | ||||||
5.00%, 07/01/2032 | 2,960,000 | 3,393,285 | ||||||
5.00%, 07/01/2035 | 3,240,000 | 3,666,060 | ||||||
Oklahoma County Finance Authority | ||||||||
5.70%, 04/01/2025 | 540,000 | 540,081 | ||||||
5.13%, 04/01/2042 | 1,900,000 | 1,631,321 | ||||||
Oklahoma Department of Transportation | ||||||||
5.00%, 09/01/2030 | 1,015,000 | 1,214,234 | ||||||
Oklahoma Development Finance Authority | ||||||||
3.00%, 06/01/2022 | 1,015,000 | 1,042,547 | ||||||
4.00%, 12/01/2022 | 530,000 | 565,558 | ||||||
4.00%, 06/01/2023 | 1,305,000 | 1,399,808 | ||||||
5.00%, 08/15/2026 | 1,600,000 | 1,812,896 | ||||||
5.00%, 08/15/2029 | 420,000 | 478,040 | ||||||
5.00%, 08/15/2033 | 200,000 | 221,040 | ||||||
5.25%, 08/15/2048 | 1,500,000 | 1,621,020 | ||||||
5.50%, 08/15/2052 | 830,000 | 909,788 | ||||||
5.50%, 08/15/2057 | 1,000,000 | 1,095,300 |
Tulsa Airports Improvement Trust | ||||||||
5.00%, 06/01/2031 | 1,120,000 | 1,276,811 | ||||||
5.00%, 06/01/2033 | 1,240,000 | 1,402,874 | ||||||
Tulsa County Industrial Authority | ||||||||
5.00%, 11/15/2023 | 230,000 | 248,405 | ||||||
5.00%, 11/15/2029 | 400,000 | 432,400 | ||||||
|
| |||||||
46,833,045 | ||||||||
|
| |||||||
Oregon—0.70% | ||||||||
Clackamas County Hospital Facility Authority | ||||||||
3.00%, 11/15/2022 | 120,000 | 120,079 | ||||||
County of Washington OR | ||||||||
5.00%, 03/01/2022 | 3,000,000 | 3,286,860 | ||||||
Klamath Falls Intercommunity Hospital Authority | ||||||||
5.00%, 09/01/2031 | 200,000 | 226,750 | ||||||
5.00%, 09/01/2032 | 270,000 | 305,324 | ||||||
5.00%, 09/01/2046 | 1,000,000 | 1,095,770 | ||||||
Oregon State Lottery | ||||||||
5.00%, 04/01/2036 | 2,500,000 | 2,880,450 | ||||||
Port of Portland OR Airport Revenue | ||||||||
5.00%, 07/01/2032 | 1,000,000 | 1,095,310 | ||||||
5.00%, 07/01/2033 | 3,485,000 | 3,807,955 | ||||||
Washington & Multnomah Counties School District No 48J Beaverton | ||||||||
5.00%, 06/15/2035 | 12,780,000 | 14,799,112 | ||||||
Washington County School District No 1 West Union | ||||||||
5.00%, 06/15/2028 | 1,525,000 | 1,825,318 | ||||||
Yamhill County Hospital Authority | ||||||||
5.00%, 11/15/2051 | 1,005,000 | 1,035,240 | ||||||
|
| |||||||
30,478,168 | ||||||||
|
| |||||||
Pennsylvania—4.77% | ||||||||
Allentown Neighborhood Improvement Zone Development Authority | ||||||||
5.00%, 05/01/2022(2) | 2,000,000 | 2,076,160 | ||||||
5.00%, 05/01/2025 | 1,000,000 | 1,055,060 | ||||||
5.00%, 05/01/2032(2) | 2,025,000 | 2,142,106 | ||||||
Capital Region Water | ||||||||
5.00%, 07/15/2023 | 1,750,000 | 1,962,712 | ||||||
5.00%, 07/15/2025 | 1,000,000 | 1,154,380 | ||||||
Capital Region Water Sewer Revenue | ||||||||
5.00%, 07/15/2024 | 430,000 | 487,844 | ||||||
5.00%, 07/15/2028 | 350,000 | 406,931 | ||||||
Chester County Industrial Development Authority | ||||||||
4.38%, 03/01/2028(2) | 175,000 | 171,817 | ||||||
5.00%, 03/01/2038(2) | 525,000 | 525,346 | ||||||
5.13%, 03/01/2048(2) | 1,050,000 | 1,051,827 | ||||||
City of Philadelphia PA | ||||||||
5.00%, 08/01/2023 | 4,000,000 | 4,459,280 | ||||||
5.00%, 07/15/2026 | 2,475,000 | 2,747,349 | ||||||
5.00%, 08/01/2027 | 1,500,000 | 1,745,085 | ||||||
5.00%, 08/01/2028 | 6,000,000 | 6,760,980 | ||||||
5.00%, 08/01/2031 | 8,000,000 | 9,195,440 | ||||||
5.00%, 08/01/2033 | 2,000,000 | 2,244,220 | ||||||
City of Philadelphia PA Airport Revenue | ||||||||
5.00%, 07/01/2030 | 1,000,000 | 1,139,340 | ||||||
City of Philadelphia PA Water & Wastewater Revenue | ||||||||
5.00%, 11/01/2026 | 1,165,000 | 1,374,490 | ||||||
5.00%, 11/01/2027 | 1,540,000 | 1,833,832 | ||||||
5.00%, 11/01/2032 | 1,000,000 | 1,157,420 | ||||||
City of Reading PA | ||||||||
5.00%, 11/01/2027 | 2,330,000 | 2,692,874 | ||||||
Coatesville School District | ||||||||
5.00%, 08/01/2025 | 875,000 | 985,976 |
Commonwealth Financing Authority | ||||||||
5.00%, 06/01/2023 | 750,000 | 830,482 | ||||||
5.00%, 06/01/2027 | 1,500,000 | 1,736,010 | ||||||
5.00%, 06/01/2028 | 2,500,000 | 2,909,475 | ||||||
5.00%, 06/01/2035 | 325,000 | 364,348 | ||||||
Commonwealth of Pennsylvania | ||||||||
5.00%, 02/01/2020 | 2,050,000 | 2,117,671 | ||||||
5.00%, 11/01/2020 | 2,800,000 | 2,943,220 | ||||||
5.00%, 08/15/2021 | 1,015,000 | 1,092,231 | ||||||
5.00%, 11/01/2021 | 2,000,000 | 2,152,080 | ||||||
5.00%, 09/15/2022 | 1,750,000 | 1,929,043 | ||||||
5.00%, 02/01/2023 | 895,000 | 992,949 | ||||||
5.00%, 03/15/2023 | 9,970,000 | 11,092,223 | ||||||
5.00%, 03/15/2031 | 430,000 | 483,483 | ||||||
County of Luzerne PA | ||||||||
5.00%, 12/15/2029 | 750,000 | 851,827 | ||||||
Cumberland County Municipal Authority | ||||||||
5.25%, 01/01/2041 | 170,000 | 172,251 | ||||||
Dauphin County General Authority | ||||||||
5.00%, 06/01/2020 | 815,000 | 847,559 | ||||||
Delaware County Authority | ||||||||
5.00%, 08/01/2030 | 1,150,000 | 1,316,612 | ||||||
Delaware River Joint Toll Bridge Commission | ||||||||
5.00%, 07/01/2042 | 1,100,000 | 1,237,544 | ||||||
Doylestown Hospital Authority | ||||||||
5.00%, 07/01/2046 | 3,700,000 | 3,828,464 | ||||||
Easton Area School District | ||||||||
5.00%, 04/01/2029 | 1,000,000 | 1,155,360 | ||||||
5.00%, 04/01/2030 | 2,805,000 | 3,224,824 | ||||||
Franklin County Industrial Development Authority/PA | ||||||||
5.00%, 12/01/2053 | 500,000 | 500,750 | ||||||
Hospitals & Higher Education Facilities Authority of Philadelphia | ||||||||
5.00%, 07/01/2021 | 275,000 | 289,547 | ||||||
5.00%, 07/01/2022 | 325,000 | 347,750 | ||||||
5.00%, 07/01/2023 | 325,000 | 352,710 | ||||||
5.00%, 07/01/2030 | 780,000 | 855,122 | ||||||
5.00%, 07/01/2034 | 2,000,000 | 2,156,280 | ||||||
Lancaster County Hospital Authority/PA | ||||||||
5.00%, 07/01/2023 | 775,000 | 821,632 | ||||||
5.00%, 07/01/2031 | 450,000 | 469,935 | ||||||
5.00%, 12/01/2032 | 250,000 | 253,070 | ||||||
5.00%, 12/01/2037 | 820,000 | 820,525 | ||||||
5.00%, 07/01/2045 | 1,970,000 | 2,014,916 | ||||||
5.00%, 12/01/2047 | 2,010,000 | 1,982,684 | ||||||
Lehigh County Industrial Development Authority | ||||||||
1.80%, 02/15/2027(1) | 1,000,000 | 969,180 | ||||||
1.80%, 09/01/2029(1) | 670,000 | 649,103 | ||||||
Luzerne County Industrial Development Authority | ||||||||
5.00%, 12/15/2027 | 1,000,000 | 1,116,630 | ||||||
Montgomery County Higher Education & Health Authority | ||||||||
5.00%, 09/01/2022 | 525,000 | 576,035 | ||||||
5.00%, 09/01/2023 | 460,000 | 515,232 | ||||||
5.00%, 10/01/2023 | 50,000 | 54,714 | ||||||
5.00%, 09/01/2024 | 410,000 | 467,031 | ||||||
5.00%, 10/01/2028 | 1,000,000 | 1,128,410 | ||||||
5.00%, 10/01/2036 | 1,320,000 | 1,437,348 | ||||||
Montgomery County Industrial Development Authority/PA | ||||||||
5.25%, 01/15/2036 | 2,500,000 | 2,706,375 | ||||||
5.25%, 01/01/2040 | 1,510,000 | 1,479,891 | ||||||
5.38%, 01/01/2050 | 500,000 | 493,680 |
Northampton County General Purpose Authority | ||||||||
5.00%, 08/15/2036 | 455,000 | 504,440 | ||||||
2.68% (1 Month LIBOR USD + 1.04%), 08/15/2048(3) | 1,625,000 | 1,624,578 | ||||||
4.00%, 08/15/2048 | 470,000 | 471,476 | ||||||
Pennsylvania Economic Development Financing Authority | ||||||||
4.00%, 03/15/2020 | 1,000,000 | 1,024,660 | ||||||
1.70%, 08/01/2037(1) | 1,000,000 | 985,660 | ||||||
2.15%, 08/01/2045(1) | 3,100,000 | 3,099,287 | ||||||
Pennsylvania Higher Educational Facilities Authority | ||||||||
5.00%, 06/15/2022 | 2,000,000 | 2,193,420 | ||||||
5.00%, 06/15/2024 | 3,005,000 | 3,419,990 | ||||||
5.00%, 06/15/2025 | 1,855,000 | 2,140,392 | ||||||
5.00%, 08/15/2029 | 1,600,000 | 1,871,792 | ||||||
Pennsylvania State University | ||||||||
5.00%, 09/01/2020 | 2,440,000 | 2,567,563 | ||||||
5.00%, 09/01/2021 | 1,400,000 | 1,513,582 | ||||||
5.00%, 09/01/2022 | 2,295,000 | 2,541,965 | ||||||
Pennsylvania Turnpike Commission | ||||||||
5.00%, 06/01/2028 | 2,000,000 | 2,254,080 | ||||||
5.00%, 06/01/2032 | 2,000,000 | 2,229,220 | ||||||
5.00%, 06/01/2033 | 3,155,000 | 3,504,416 | ||||||
5.00%, 12/01/2034 | 1,000,000 | 1,131,940 | ||||||
5.00%, 06/01/2036 | 5,000,000 | 5,465,250 | ||||||
Philadelphia Authority for Industrial Development | ||||||||
5.00%, 07/01/2031 | 205,000 | 212,755 | ||||||
5.00%, 07/01/2032 | 600,000 | 620,130 | ||||||
5.00%, 07/01/2037 | 150,000 | 152,387 | ||||||
Philadelphia Gas Works Co. | ||||||||
5.00%, 08/01/2022 | 750,000 | 821,048 | ||||||
Pittsburgh Housing Authority | ||||||||
1.40%, 10/01/2021(1) | 1,500,000 | 1,491,285 | ||||||
Reading School District | ||||||||
5.00%, 02/01/2019 | 1,660,000 | 1,663,835 | ||||||
5.00%, 02/01/2020 | 1,000,000 | 1,031,160 | ||||||
5.00%, 02/01/2020 | 1,000,000 | 1,031,160 | ||||||
5.00%, 02/01/2021 | 1,000,000 | 1,055,290 | ||||||
5.00%, 02/01/2022 | 1,920,000 | 2,072,563 | ||||||
5.00%, 03/01/2035 | 1,100,000 | 1,245,398 | ||||||
5.00%, 03/01/2036 | 1,250,000 | 1,409,475 | ||||||
Redevelopment Authority of the City of Philadelphia | ||||||||
5.00%, 04/15/2023 | 1,335,000 | 1,444,871 | ||||||
School District of Philadelphia | ||||||||
5.25%, 09/01/2023 | 1,750,000 | 1,828,645 | ||||||
5.00%, 09/01/2026 | 1,580,000 | 1,808,752 | ||||||
5.00%, 09/01/2030 | 15,000 | 17,853 | ||||||
5.00%, 09/01/2030 | 3,985,000 | 4,483,165 | ||||||
5.00%, 09/01/2031 | 1,000,000 | 1,120,680 | ||||||
5.00%, 09/01/2031 | 1,200,000 | 1,367,532 | ||||||
5.00%, 09/01/2032 | 1,200,000 | 1,362,216 | ||||||
Scranton School District/PA | ||||||||
5.00%, 06/01/2033 | 530,000 | 597,336 | ||||||
5.00%, 06/01/2035 | 515,000 | 575,595 | ||||||
Southeastern Pennsylvania Transportation Authority | ||||||||
5.00%, 03/01/2026 | 875,000 | 1,027,609 | ||||||
St Mary Hospital Authority | ||||||||
5.00%, 11/15/2022 | 1,900,000 | 2,101,324 | ||||||
State Public School Building Authority | ||||||||
4.00%, 12/01/2020 | 1,590,000 | 1,644,458 | ||||||
5.00%, 12/01/2022 | 7,370,000 | 8,089,828 | ||||||
5.00%, 04/01/2023 | 2,500,000 | 2,690,275 | ||||||
5.00%, 06/15/2025 | 3,000,000 | 3,421,140 |
5.00%, 06/01/2026 | 180,000 | 202,750 | ||||||
5.00%, 06/01/2029 | 500,000 | 583,485 | ||||||
5.25%, 09/15/2030 | 1,000,000 | 1,134,240 | ||||||
5.00%, 12/01/2032 | 3,060,000 | 3,471,937 | ||||||
Susquehanna Area Regional Airport Authority | ||||||||
5.00%, 01/01/2035 | 1,000,000 | 1,085,940 | ||||||
5.00%, 01/01/2038 | 2,125,000 | 2,292,535 | ||||||
Upper Merion Area School District/PA | ||||||||
5.00%, 01/15/2030 | 600,000 | 696,192 | ||||||
York County School of Technology Authority | ||||||||
5.00%, 02/15/2023 | 1,200,000 | 1,330,524 | ||||||
5.00%, 02/15/2028 | 400,000 | 450,300 | ||||||
|
| |||||||
207,286,054 | ||||||||
|
| |||||||
Puerto Rico—0.09% | ||||||||
Puerto Rico Commonwealth Aqueduct & Sewer Authority | ||||||||
5.00%, 07/01/2019 | 600,000 | 576,000 | ||||||
6.13%, 07/01/2024 | 330,000 | 315,975 | ||||||
5.13%, 07/01/2047 | 1,000,000 | 1,011,550 | ||||||
Puerto Rico Electric Power Authority | ||||||||
5.00%, 07/01/2019 | 1,500,000 | 1,507,515 | ||||||
5.50%, 07/01/2019 | 500,000 | 505,030 | ||||||
5.25%, 07/01/2027 | 145,000 | 156,713 | ||||||
|
| |||||||
4,072,783 | ||||||||
|
| |||||||
Rhode Island—0.21% | ||||||||
Providence Redevelopment Agency | ||||||||
5.00%, 04/01/2028 | 1,200,000 | 1,308,552 | ||||||
Rhode Island Commerce Corp. | ||||||||
5.00%, 06/15/2019 | 865,000 | 877,300 | ||||||
5.00%, 06/15/2020 | 3,000,000 | 3,133,230 | ||||||
Rhode Island Health & Educational Building Corp. | ||||||||
5.00%, 09/01/2031 | 710,000 | 762,228 | ||||||
5.00%, 09/01/2036 | 100,000 | 105,323 | ||||||
5.00%, 05/15/2039 | 700,000 | 753,970 | ||||||
Rhode Island Student Loan Authority | ||||||||
5.00%, 12/01/2024 | 600,000 | 665,916 | ||||||
5.00%, 12/01/2025 | 750,000 | 840,000 | ||||||
3.50%, 12/01/2034 | 675,000 | 678,699 | ||||||
|
| |||||||
9,125,218 | ||||||||
|
| |||||||
South Carolina—2.05% | ||||||||
City of Charleston SC Waterworks & Sewer System Revenue | ||||||||
5.00%, 01/01/2040 | 10,000,000 | 11,194,600 | ||||||
Lancaster County School District/SC | ||||||||
5.00%, 03/01/2023 | 445,000 | 498,605 | ||||||
Lexington County Health Services District, Inc. | ||||||||
5.00%, 11/01/2022 | 250,000 | 274,107 | ||||||
5.00%, 11/01/2023 | 300,000 | 334,911 | ||||||
5.00%, 11/01/2024 | 780,000 | 883,756 | ||||||
Patriots Energy Group Financing Agency | ||||||||
4.00%, 10/01/2048(1) | 38,245,000 | 40,402,400 | ||||||
Scago Educational Facilities Corp. for Sumter County School 17 | ||||||||
4.00%, 12/01/2019 | 630,000 | 639,192 | ||||||
4.00%, 12/01/2021 | 1,895,000 | 1,975,386 | ||||||
Scago Educational Facilities Corp. for Union School District | ||||||||
5.00%, 12/01/2023 | 1,060,000 | 1,184,338 | ||||||
South Carolina Jobs-Economic Development Authority | ||||||||
2.25%, 05/01/2019(2) | 2,000,000 | 1,994,740 | ||||||
5.00%, 11/01/2028 | 700,000 | 773,997 | ||||||
6.00%, 02/01/2035(2) | 525,000 | 521,231 | ||||||
5.00%, 05/01/2037 | 500,000 | 500,980 | ||||||
5.00%, 05/01/2042 | 500,000 | 493,190 |
5.00%, 05/01/2043 | 4,675,000 | 5,096,545 | ||||||
6.25%, 02/01/2045(2) | 995,000 | 996,811 | ||||||
5.00%, 04/01/2047 | 2,000,000 | 1,996,840 | ||||||
5.00%, 04/01/2052 | 1,750,000 | 1,721,982 | ||||||
South Carolina Ports Authority | ||||||||
5.00%, 07/01/2022 | 2,000,000 | 2,188,060 | ||||||
South Carolina Public Service Authority | ||||||||
5.00%, 12/01/2022 | 1,185,000 | 1,294,707 | ||||||
5.00%, 12/01/2032 | 1,500,000 | 1,647,765 | ||||||
5.00%, 12/01/2035 | 1,500,000 | 1,638,015 | ||||||
5.00%, 12/01/2041 | 3,000,000 | 3,210,030 | ||||||
5.75%, 12/01/2043 | 2,000,000 | 2,347,080 | ||||||
5.00%, 12/01/2049 | 1,900,000 | 1,979,363 | ||||||
5.00%, 12/01/2050 | 2,665,000 | 2,791,268 | ||||||
South Carolina Transportation Infrastructure Bank | ||||||||
5.00%, 10/01/2025 | 305,000 | 356,789 | ||||||
|
| |||||||
88,936,688 | ||||||||
|
| |||||||
South Dakota—0.10% | ||||||||
City of Sioux Falls SD | ||||||||
5.00%, 11/01/2042 | 750,000 | 750,908 | ||||||
South Dakota Health & Educational Facilities Authority | ||||||||
5.00%, 11/01/2029 | 800,000 | 907,600 | ||||||
5.00%, 11/01/2030 | 1,000,000 | 1,127,870 | ||||||
5.00%, 11/01/2042 | 145,000 | 155,624 | ||||||
5.00%, 11/01/2045 | 1,500,000 | 1,611,945 | ||||||
|
| |||||||
4,553,947 | ||||||||
|
| |||||||
Tennessee—1.12% | ||||||||
Blount County Health & Educational Facilities Board | ||||||||
5.00%, 01/01/2037 | 1,240,000 | 1,269,524 | ||||||
Chattanooga Health Educational & Housing Facility Board | ||||||||
3.00%, 10/01/2019 | 600,000 | 604,536 | ||||||
5.00%, 10/01/2021 | 1,000,000 | 1,070,270 | ||||||
5.00%, 10/01/2022 | 325,000 | 354,468 | ||||||
5.00%, 10/01/2030 | 500,000 | 548,460 | ||||||
5.00%, 10/01/2032 | 1,215,000 | 1,319,781 | ||||||
5.00%, 10/01/2035 | 2,260,000 | 2,419,895 | ||||||
County of Monroe TN | ||||||||
1.20%, 06/15/2019 | 1,500,000 | 1,496,685 | ||||||
Greeneville Health & Educational Facilities Board | ||||||||
5.00%, 07/01/2022 | 500,000 | 544,375 | ||||||
5.00%, 07/01/2025 | 1,850,000 | 2,044,638 | ||||||
5.00%, 07/01/2035 | 1,275,000 | 1,439,348 | ||||||
Johnson City Health & Educational Facilities Board | ||||||||
6.50%, 07/01/2038 | 735,000 | 784,473 | ||||||
5.00%, 08/15/2042 | 2,000,000 | 2,101,000 | ||||||
Knox County Health Educational & Housing Facility Board | ||||||||
5.00%, 04/01/2023 | 1,825,000 | 1,981,494 | ||||||
5.00%, 04/01/2024 | 1,000,000 | 1,099,910 | ||||||
5.00%, 04/01/2027 | 1,740,000 | 1,939,943 | ||||||
Memphis-Shelby County Industrial Development Board | ||||||||
4.75%, 07/01/2027 | 300,000 | 311,469 | ||||||
5.50%, 07/01/2037 | 600,000 | 630,726 | ||||||
Nashville Metropolitan Development & Housing Agency | ||||||||
4.50%, 06/01/2028(2) | 1,050,000 | 1,076,418 | ||||||
5.13%, 06/01/2036(2) | 3,290,000 | 3,400,281 | ||||||
Shelby County Health Educational & Housing Facilities Board | ||||||||
5.00%, 09/01/2037(2) | 1,590,000 | 1,447,711 | ||||||
Tennessee Energy Acquisition Corp. | ||||||||
5.00%, 02/01/2027 | 2,725,000 | 3,046,959 | ||||||
4.00%, 05/01/2048(1) | 7,485,000 | 7,777,139 | ||||||
4.00%, 11/01/2049(1) | 7,070,000 | 7,414,168 | ||||||
The Health and Educational Facilities Board of The Metropolitan Government of Nashville and Davidson County | ||||||||
1.88%, 07/01/2021(1) | 2,400,000 | 2,396,664 | ||||||
|
| |||||||
48,520,335 | ||||||||
|
|
Texas—11.94% | ||||||||
Alamito Public Facility Corp. | ||||||||
2.25%, 06/01/2021(1) | 3,000,000 | 3,003,300 | ||||||
2.50%, 11/01/2021(1) | 15,000,000 | 15,108,150 | ||||||
Alamo Community College District | ||||||||
4.00%, 02/15/2020 | 1,000,000 | 1,024,760 | ||||||
4.00%, 02/15/2021 | 715,000 | 746,603 | ||||||
3.00%, 08/15/2021 | 7,695,000 | 7,913,923 | ||||||
4.00%, 02/15/2022 | 665,000 | 707,054 | ||||||
4.00%, 02/15/2023 | 1,000,000 | 1,079,050 | ||||||
3.00%, 11/01/2046(1) | 2,100,000 | 2,114,532 | ||||||
Austin Community College District Public Facility Corp. | ||||||||
5.00%, 08/01/2024 | 430,000 | 488,996 | ||||||
5.00%, 08/01/2028 | 310,000 | 363,227 | ||||||
5.00%, 08/01/2031 | 565,000 | 652,665 | ||||||
5.00%, 08/01/2031 | 300,000 | 346,548 | ||||||
Austin Convention Enterprises, Inc. | ||||||||
5.00%, 01/01/2023 | 250,000 | 272,425 | ||||||
5.00%, 01/01/2025 | 150,000 | 166,693 | ||||||
5.00%, 01/01/2028 | 400,000 | 445,768 | ||||||
5.00%, 01/01/2029 | 425,000 | 472,477 | ||||||
5.00%, 01/01/2030 | 720,000 | 781,668 | ||||||
5.00%, 01/01/2032 | 1,700,000 | 1,872,754 | ||||||
5.00%, 01/01/2034 | 730,000 | 781,071 | ||||||
Austin-Bergstrom Landhost Enterprises, Inc. | ||||||||
5.00%, 10/01/2023 | 1,425,000 | 1,587,450 | ||||||
5.00%, 10/01/2025 | 1,780,000 | 2,040,272 | ||||||
5.00%, 10/01/2026 | 1,400,000 | 1,622,558 | ||||||
5.00%, 10/01/2028 | 1,925,000 | 2,240,026 | ||||||
5.00%, 10/01/2030 | 2,175,000 | 2,507,296 | ||||||
5.00%, 10/01/2033 | 2,000,000 | 2,282,440 | ||||||
5.00%, 10/01/2034 | 2,000,000 | 2,272,600 | ||||||
5.00%, 10/01/2036 | 1,000,000 | 1,127,360 | ||||||
Baytown Area Water Authority | ||||||||
5.00%, 05/01/2023 | 1,000,000 | 1,117,590 | ||||||
5.00%, 05/01/2024 | 1,000,000 | 1,139,470 | ||||||
5.00%, 05/01/2025 | 1,000,000 | 1,160,040 | ||||||
Board of Managers Joint Guadalupe County-City of Seguin Hospital | ||||||||
5.25%, 12/01/2035 | 525,000 | 559,697 | ||||||
Central Texas Regional Mobility Authority | ||||||||
4.00%, 01/01/2022 | 5,000,000 | 5,181,500 | ||||||
5.00%, 01/01/2022 | 500,000 | 536,445 | ||||||
5.00%, 01/01/2024 | 175,000 | 194,120 | ||||||
5.00%, 01/01/2025 | 225,000 | 252,934 | ||||||
5.00%, 01/01/2026 | 350,000 | 398,129 | ||||||
5.00%, 01/01/2028 | 300,000 | 338,208 | ||||||
5.75%, 01/01/2031 | 2,210,000 | 2,371,242 | ||||||
5.00%, 01/01/2034 | 1,475,000 | 1,615,995 | ||||||
6.00%, 01/01/2041 | 2,925,000 | 3,152,653 | ||||||
5.00%, 01/01/2042 | 1,335,000 | 1,414,659 | ||||||
5.00%, 01/01/2046 | 1,600,000 | 1,727,152 | ||||||
Central Texas Turnpike System | ||||||||
5.00%, 08/15/2037 | 2,500,000 | 2,673,825 | ||||||
City of Arlington TX | ||||||||
5.00%, 02/15/2045 | 530,000 | 553,564 |
City of Austin TX | ||||||||
5.00%, 09/01/2033 | 2,920,000 | 3,342,144 | ||||||
City of Austin TX Airport System Revenue | ||||||||
5.00%, 11/15/2044 | 255,000 | 279,508 | ||||||
City of Dallas TX | ||||||||
5.00%, 02/15/2023 | 1,000,000 | 1,086,080 | ||||||
5.00%, 02/15/2024 | 1,055,000 | 1,198,828 | ||||||
City of Dallas TX Waterworks & Sewer System Revenue | ||||||||
5.00%, 10/01/2027 | 530,000 | 615,314 | ||||||
5.00%, 10/01/2031 | 800,000 | 932,032 | ||||||
City of El Paso TX | ||||||||
5.00%, 08/15/2025 | 2,245,000 | 2,610,531 | ||||||
City of Fort Worth TX | ||||||||
5.00%, 03/01/2023 | 1,000,000 | 1,112,410 | ||||||
City of Garland TX Water & Sewer System Revenue | ||||||||
5.00%, 03/01/2028 | 700,000 | 826,182 | ||||||
City of Houston TX | ||||||||
5.00%, 03/01/2023 | 1,975,000 | 2,207,872 | ||||||
5.00%, 03/01/2025 | 750,000 | 869,888 | ||||||
5.00%, 03/01/2029 | 1,000,000 | 1,177,030 | ||||||
City of Houston TX Airport System Revenue | ||||||||
4.75%, 07/01/2024 | 1,000,000 | 1,069,940 | ||||||
5.00%, 07/01/2027 | 3,000,000 | 3,580,920 | ||||||
5.00%, 07/01/2029 | 1,000,000 | 1,168,680 | ||||||
5.00%, 07/01/2031 | 1,750,000 | 2,024,785 | ||||||
5.00%, 07/01/2032 | 1,750,000 | 2,012,342 | ||||||
City of Houston TX Combined Utility System Revenue | ||||||||
5.00%, 11/15/2022 | 200,000 | 222,372 | ||||||
5.00%, 11/15/2023 | 225,000 | 255,589 | ||||||
5.00%, 05/15/2028 | 410,000 | 464,690 | ||||||
5.00%, 11/15/2030 | 2,005,000 | 2,394,371 | ||||||
5.00%, 11/15/2033 | 6,220,000 | 6,693,902 | ||||||
5.00%, 11/15/2033 | 1,325,000 | 1,425,951 | ||||||
5.00%, 11/15/2033 | 400,000 | 459,604 | ||||||
City of San Antonio TX | ||||||||
5.00%, 08/01/2036 | 5,000,000 | 5,849,700 | ||||||
City of San Antonio TX Electric & Gas Systems Revenue | ||||||||
5.00%, 02/01/2023 | 4,000,000 | 4,469,280 | ||||||
5.00%, 02/01/2030 | 1,000,000 | 1,184,290 | ||||||
2.00%, 02/01/2033(1) | 1,115,000 | 1,105,623 | ||||||
3.00%, 12/01/2045(1) | 5,150,000 | 5,234,408 | ||||||
City of Waco TX | ||||||||
5.00%, 02/01/2025 | 1,710,000 | 1,940,576 | ||||||
Clifton Higher Education Finance Corp. | ||||||||
6.13%, 08/15/2048 | 2,250,000 | 2,273,535 | ||||||
Coppell Independent School District | ||||||||
4.00%, 08/15/2021 | 3,250,000 | 3,422,510 | ||||||
County of Comal TX | ||||||||
4.00%, 02/01/2023 | 1,000,000 | 1,073,460 | ||||||
County of Dallas TX | ||||||||
5.00%, 08/15/2024 | 1,400,000 | 1,611,610 | ||||||
County of El Paso TX | ||||||||
5.00%, 02/15/2029 | 1,500,000 | 1,766,130 | ||||||
5.00%, 02/15/2031 | 1,280,000 | 1,471,206 | ||||||
County of Williamson TX | ||||||||
5.00%, 02/15/2021 | 1,000,000 | 1,064,640 | ||||||
1.85%, 08/15/2034(1) | 5,000,000 | 4,991,400 | ||||||
Cypress-Fairbanks Independent School District | ||||||||
5.00%, 02/15/2027 | 470,000 | 551,507 | ||||||
1.40%, 02/15/2040(1) | 1,000,000 | 989,360 |
2.13%, 02/15/2040(1) | 10,000,000 | 9,983,400 | ||||||
1.40%, 02/15/2044(1) | 1,000,000 | 989,360 | ||||||
5.00%, 02/15/2044 | 585,000 | 641,552 | ||||||
Dallas County Community College District | ||||||||
5.00%, 02/15/2021 | 7,610,000 | 8,098,638 | ||||||
5.00%, 02/15/2022 | 7,665,000 | 8,368,417 | ||||||
Dallas County Utility & Reclamation District | ||||||||
5.00%, 02/15/2024 | 1,125,000 | 1,274,287 | ||||||
Dallas Independent School District | ||||||||
5.00%, 02/15/2023 | 3,855,000 | 4,306,536 | ||||||
5.00%, 02/15/2036(1) | 85,000 | 92,774 | ||||||
5.00%, 02/15/2036(1) | 5,400,000 | 5,869,908 | ||||||
Dallas Love Field | ||||||||
5.00%, 11/01/2035 | 1,000,000 | 1,118,580 | ||||||
Dallas Performing Arts Cultural Facilities Corp. | ||||||||
1.80%, 09/01/2041(1) | 1,695,000 | 1,695,000 | ||||||
Dallas/Fort Worth International Airport | ||||||||
5.00%, 11/01/2032 | 7,200,000 | 7,474,824 | ||||||
5.00%, 11/01/2037 | 10,100,000 | 10,578,942 | ||||||
5.00%, 11/01/2038 | 3,110,000 | 3,254,926 | ||||||
5.00%, 11/01/2044 | 300,000 | 320,523 | ||||||
Del Rio Housing Facility Corp. | ||||||||
1.35%, 06/01/2021(1) | 3,000,000 | 2,993,850 | ||||||
Denton Independent School District | ||||||||
0.00%, 08/15/2025 | 500,000 | 428,385 | ||||||
El Paso County Hospital District | ||||||||
5.00%, 08/15/2027 | 1,260,000 | 1,361,077 | ||||||
Fort Bend Independent School District | ||||||||
1.35%, 08/01/2042(1) | 495,000 | 489,496 | ||||||
1.50%, 08/01/2042(1) | 980,000 | 962,409 | ||||||
Fort Worth Independent School District | ||||||||
5.00%, 02/15/2022 | 450,000 | 491,868 | ||||||
5.00%, 02/15/2024 | 3,140,000 | 3,584,436 | ||||||
5.00%, 02/15/2026 | 1,365,000 | 1,609,567 | ||||||
Grand Parkway Transportation Corp. | ||||||||
5.00%, 02/01/2023 | 1,580,000 | 1,745,758 | ||||||
5.00%, 10/01/2031 | 2,630,000 | 3,098,271 | ||||||
5.00%, 10/01/2033 | 1,205,000 | 1,407,789 | ||||||
5.00%, 10/01/2034 | 1,500,000 | 1,744,515 | ||||||
5.00%, 10/01/2052(1) | 9,610,000 | 10,769,639 | ||||||
Gregg County Health Facilities Development Corp. | ||||||||
4.50%, 07/01/2032 | 635,000 | 687,426 | ||||||
5.00%, 07/01/2032 | 2,595,000 | 2,852,813 | ||||||
5.00%, 07/01/2042 | 25,000 | 27,484 | ||||||
Harlandale Independent School District | ||||||||
5.00%, 08/01/2030 | 1,305,000 | 1,507,484 | ||||||
Harris County Cultural Education Facilities Finance Corp. | ||||||||
5.00%, 01/01/2043 | 180,000 | 182,142 | ||||||
7.00%, 01/01/2048 | 1,550,000 | 1,838,238 | ||||||
Hays Consolidated Independent School District | ||||||||
2.70%, 08/15/2042(1) | 2,900,000 | 2,939,991 | ||||||
Houston Independent School District | ||||||||
3.00%, 02/15/2022 | 7,085,000 | 7,317,530 | ||||||
5.00%, 02/15/2025 | 1,000,000 | 1,162,510 | ||||||
5.00%, 02/15/2030 | 1,000,000 | 1,159,210 | ||||||
2.40%, 06/01/2030(1) | 7,000,000 | 7,040,810 | ||||||
1.38%, 06/01/2037(1) | 1,575,000 | 1,570,590 | ||||||
Love Field Airport Modernization Corp. | ||||||||
5.00%, 11/01/2028 | 850,000 | 915,153 | ||||||
5.25%, 11/01/2040 | 3,015,000 | 3,136,293 |
Lower Colorado River Authority | ||||||||
5.00%, 05/15/2020 | 1,070,000 | 1,114,662 | ||||||
5.00%, 05/15/2021 | 800,000 | 855,576 | ||||||
5.00%, 05/15/2022 | 1,025,000 | 1,121,452 | ||||||
Metropolitan Transit Authority of Harris County | ||||||||
5.00%, 11/01/2022 | 3,000,000 | 3,338,190 | ||||||
Midlothian Independent School District | ||||||||
2.50%, 08/01/2052(1) | 8,280,000 | 8,334,896 | ||||||
Mission Economic Development Corp. | ||||||||
2.50%, 08/01/2020 | 3,000,000 | 2,996,280 | ||||||
2.15%, 01/01/2026(1) | 2,200,000 | 2,199,494 | ||||||
4.63%, 10/01/2031(2) | 4,055,000 | 4,124,746 | ||||||
Montgomery County Toll Road Authority | ||||||||
5.00%, 09/15/2032 | 50,000 | 53,915 | ||||||
5.00%, 09/15/2033 | 55,000 | 59,138 | ||||||
5.00%, 09/15/2034 | 55,000 | 58,936 | ||||||
5.00%, 09/15/2035 | 55,000 | 58,802 | ||||||
5.00%, 09/15/2036 | 75,000 | 80,184 | ||||||
5.00%, 09/15/2038 | 125,000 | 133,107 | ||||||
5.00%, 09/15/2043 | 380,000 | 402,808 | ||||||
5.00%, 09/15/2048 | 1,070,000 | 1,130,990 | ||||||
New Hope Cultural Education Facilities Finance Corp. | ||||||||
5.00%, 08/15/2024 | 730,000 | 835,763 | ||||||
5.00%, 08/15/2026 | 200,000 | 235,234 | ||||||
5.00%, 08/15/2027 | 375,000 | 445,339 | ||||||
5.00%, 08/15/2030 | 3,500,000 | 4,091,640 | ||||||
5.00%, 04/01/2031 | 335,000 | 334,672 | ||||||
5.00%, 10/01/2031 | 160,000 | 161,958 | ||||||
5.00%, 11/01/2031 | 1,000,000 | 1,073,850 | ||||||
5.00%, 10/01/2034 | 185,000 | 185,268 | ||||||
5.00%, 07/01/2035 | 2,100,000 | 1,899,324 | ||||||
5.00%, 04/01/2036 | 355,000 | 345,376 | ||||||
5.00%, 10/01/2039 | 250,000 | 243,990 | ||||||
5.00%, 11/01/2040 | 1,100,000 | 1,166,418 | ||||||
5.00%, 07/01/2047 | 1,075,000 | 971,972 | ||||||
5.00%, 04/01/2048 | 1,250,000 | 1,161,225 | ||||||
5.25%, 10/01/2049 | 500,000 | 496,935 | ||||||
5.50%, 11/15/2052 | 250,000 | 245,090 | ||||||
5.00%, 07/01/2058 | 275,000 | 295,050 | ||||||
Newark Higher Education Finance Corp. | ||||||||
5.00%, 04/01/2029 | 505,000 | 567,504 | ||||||
North East Independent School District/TX | ||||||||
1.42%, 08/01/2040(1) | 475,000 | 465,880 | ||||||
North Texas Municipal Water District | ||||||||
5.00%, 06/01/2027 | 1,025,000 | 1,225,142 | ||||||
5.00%, 06/01/2028 | 1,050,000 | 1,248,870 | ||||||
5.00%, 06/01/2029 | 600,000 | 711,138 | ||||||
North Texas Tollway Authority | ||||||||
5.00%, 01/01/2023 | 235,000 | 260,601 | ||||||
5.00%, 01/01/2030 | 6,250,000 | 6,923,625 | ||||||
5.00%, 01/01/2030 | 75,000 | 85,517 | ||||||
5.00%, 01/01/2031 | 1,900,000 | 2,097,296 | ||||||
5.00%, 01/01/2031 | 1,100,000 | 1,279,839 | ||||||
5.00%, 01/01/2031 | 500,000 | 569,435 | ||||||
5.00%, 01/01/2031 | 105,000 | 119,153 | ||||||
5.00%, 01/01/2032 | 1,100,000 | 1,271,369 | ||||||
5.00%, 01/01/2033 | 3,150,000 | 3,493,287 | ||||||
5.00%, 01/01/2033 | 1,250,000 | 1,437,300 | ||||||
5.00%, 01/01/2033 | 500,000 | 569,090 | ||||||
5.00%, 01/01/2034 | 1,400,000 | 1,601,488 |
5.00%, 01/01/2035 | 1,500,000 | 1,709,580 | ||||||
5.00%, 01/01/2036 | 550,000 | 615,257 | ||||||
5.00%, 01/01/2039 | 170,000 | 187,920 | ||||||
6.25%, 01/01/2039 | 275,000 | 275,000 | ||||||
6.25%, 01/01/2039 | 65,000 | 65,206 | ||||||
5.00%, 01/01/2040 | 2,000,000 | 2,143,280 | ||||||
Northside Independent School District | ||||||||
2.75%, 08/01/2048(1) | 4,325,000 | 4,414,744 | ||||||
Permanent University Fund—University of Texas System | ||||||||
5.00%, 07/01/2029 | 235,000 | 275,451 | ||||||
Plano Independent School District | ||||||||
5.00%, 02/15/2022 | 1,000,000 | 1,093,680 | ||||||
Rockwall Independent School District | ||||||||
0.00%, 02/15/2024 | 1,005,000 | 893,566 | ||||||
State of Texas | ||||||||
4.00%, 08/29/2019 | 39,400,000 | 39,963,814 | ||||||
4.00%, 08/01/2021 | 1,240,000 | 1,301,988 | ||||||
2.00%, 08/01/2025(1) | 415,000 | 414,830 | ||||||
5.00%, 08/01/2025 | 2,035,000 | 2,290,311 | ||||||
5.00%, 08/01/2026 | 1,000,000 | 1,133,840 | ||||||
5.00%, 04/01/2027 | 5,000,000 | 5,895,950 | ||||||
5.00%, 10/01/2030 | 10,000,000 | 11,352,600 | ||||||
5.50%, 08/01/2032 | 1,000,000 | 1,174,970 | ||||||
5.00%, 10/01/2036 | 800,000 | 924,224 | ||||||
5.00%, 04/01/2039 | 20,000,000 | 22,008,400 | ||||||
2.01% (SIFMA Municipal Swap Index + 0.30%), 10/01/2041(3) | 10,000,000 | 9,973,300 | ||||||
Tarrant County Cultural Education Facilities Finance Corp. | ||||||||
5.00%, 11/15/2021 | 300,000 | 318,903 | ||||||
5.00%, 11/15/2022 | 300,000 | 323,904 | ||||||
5.00%, 07/01/2026 | 1,775,000 | 2,054,225 | ||||||
5.00%, 11/15/2035 | 1,015,000 | 1,023,150 | ||||||
5.00%, 11/15/2035 | 1,750,000 | 1,790,723 | ||||||
5.00%, 11/15/2040 | 1,800,000 | 1,837,638 | ||||||
8.25%, 11/15/2044 | 500,000 | 450,000 | ||||||
5.00%, 11/15/2046 | 1,615,000 | 1,708,476 | ||||||
Texas A&M University | ||||||||
5.00%, 05/15/2023 | 1,005,000 | 1,130,002 | ||||||
3.00%, 05/15/2028 | 2,300,000 | 2,348,852 | ||||||
Texas Municipal Gas Acquisition & Supply Corp. I | ||||||||
5.25%, 12/15/2022 | 450,000 | 496,085 | ||||||
5.25%, 12/15/2025 | 3,000,000 | 3,471,480 | ||||||
6.25%, 12/15/2026 | 8,075,000 | 9,226,737 | ||||||
Texas Municipal Gas Acquisition & Supply Corp. III | ||||||||
5.00%, 12/15/2032 | 3,000,000 | 3,226,530 | ||||||
Texas Municipal Power Agency | ||||||||
5.00%, 09/01/2033 | 920,000 | 960,995 | ||||||
5.00%, 09/01/2034 | 945,000 | 986,164 | ||||||
5.00%, 09/01/2035 | 1,200,000 | 1,251,276 | ||||||
Texas Private Activity Bond Surface Transportation Corp. | ||||||||
5.00%, 12/31/2050 | 2,410,000 | 2,534,742 | ||||||
5.00%, 12/31/2055 | 2,000,000 | 2,097,340 | ||||||
Texas State University System | ||||||||
5.00%, 03/15/2026 | 800,000 | 940,224 | ||||||
5.00%, 03/15/2029 | 610,000 | 719,440 | ||||||
5.00%, 03/15/2032 | 1,325,000 | 1,535,092 | ||||||
Texas Transportation Commission State Highway Fund | ||||||||
5.00%, 10/01/2023 | 5,020,000 | 5,690,973 | ||||||
Texas Water Development Board | ||||||||
5.00%, 04/15/2030 | 7,000,000 | 8,456,140 | ||||||
5.00%, 10/15/2031 | 2,000,000 | 2,378,140 | ||||||
4.00%, 10/15/2032 | 2,000,000 | 2,157,580 |
The University of Texas System | ||||||||
5.00%, 08/15/2021 | 505,000 | 545,173 | ||||||
5.00%, 08/15/2022 | 1,000,000 | 1,107,100 | ||||||
5.00%, 08/15/2022 | 1,000,000 | 1,107,100 | ||||||
5.00%, 08/15/2022 | 490,000 | 542,479 | ||||||
Travis County Health Facilities Development Corp. | ||||||||
7.00%, 11/01/2030 | 105,000 | 110,186 | ||||||
University of Houston | ||||||||
5.00%, 02/15/2030 | 860,000 | 992,681 | ||||||
Uptown Development Authority | ||||||||
5.00%, 09/01/2033 | 715,000 | 783,476 | ||||||
|
| |||||||
519,121,221 | ||||||||
|
| |||||||
U.S. Virgin Islands—0.07% | ||||||||
Virgin Islands Public Finance Authority | ||||||||
5.00%, 10/01/2032 | 3,000,000 | 3,219,690 | ||||||
|
| |||||||
Utah—0.63% | ||||||||
City of Murray UT | ||||||||
1.70%, 05/15/2037(1) | 14,720,000 | 14,720,000 | ||||||
Salt Lake City Corp. Airport Revenue | ||||||||
5.00%, 07/01/2022 | 1,500,000 | 1,637,355 | ||||||
5.00%, 07/01/2025 | 1,000,000 | 1,144,490 | ||||||
5.00%, 07/01/2026 | 1,700,000 | 1,967,427 | ||||||
5.00%, 07/01/2026 | 3,000,000 | 3,471,930 | ||||||
5.25%, 07/01/2048 | 3,000,000 | 3,397,680 | ||||||
Utah Charter School Finance Authority | ||||||||
4.50%, 06/15/2027(2) | 1,000,000 | 982,740 | ||||||
|
| |||||||
27,321,622 | ||||||||
|
| |||||||
Vermont—0.10% | ||||||||
Vermont Educational & Health Buildings Financing Agency | ||||||||
5.00%, 10/15/2027 | 1,000,000 | 1,124,570 | ||||||
5.00%, 10/15/2029 | 890,000 | 991,131 | ||||||
Vermont Student Assistance Corp. | ||||||||
5.00%, 06/15/2025 | 800,000 | 884,288 | ||||||
5.00%, 06/15/2026 | 500,000 | 555,030 | ||||||
5.00%, 06/15/2027 | 700,000 | 772,184 | ||||||
|
| |||||||
4,327,203 | ||||||||
|
| |||||||
Virginia—1.95% | ||||||||
Chesapeake Bay Bridge & Tunnel District | ||||||||
5.00%, 07/01/2046 | 1,500,000 | 1,629,675 | ||||||
5.00%, 07/01/2051 | 1,095,000 | 1,182,961 | ||||||
Chesterfield County Economic Development Authority | ||||||||
5.00%, 05/01/2023 | 200,000 | 201,824 | ||||||
City of Norfolk VA Water Revenue | ||||||||
5.00%, 11/01/2022 | 1,645,000 | 1,829,799 | ||||||
County of Arlington VA | ||||||||
5.00%, 08/15/2023 | 1,850,000 | 2,097,918 | ||||||
County of Botetourt VA | ||||||||
4.75%, 07/01/2023 | 100,000 | 101,972 | ||||||
6.00%, 07/01/2034 | 1,500,000 | 1,609,200 | ||||||
County of Loudoun VA | ||||||||
5.00%, 12/01/2023 | 825,000 | 941,869 | ||||||
Fairfax County Industrial Development Authority | ||||||||
5.00%, 05/15/2035 | 1,175,000 | 1,275,592 | ||||||
5.00%, 05/15/2044 | 975,000 | 1,065,909 | ||||||
Franklin County Industrial Development Authority/VA | ||||||||
3.00%, 10/15/2023 | 2,000,000 | 2,026,040 | ||||||
Fredericksburg Economic Development Authority | ||||||||
5.00%, 06/15/2031 | 500,000 | 550,985 |
Hanover County Economic Development Authority | ||||||||
5.00%, 07/01/2042 | 1,000,000 | 1,010,200 | ||||||
5.00%, 07/01/2047 | 2,000,000 | 2,017,200 | ||||||
Henrico County Economic Development Authority | ||||||||
5.00%, 12/01/2047 | 1,250,000 | 1,288,012 | ||||||
Newport News Economic Development Authority | ||||||||
5.00%, 12/01/2038 | 1,000,000 | 1,031,770 | ||||||
Norfolk Redevelopment & Housing Authority | ||||||||
5.00%, 01/01/2046 | 240,000 | 241,356 | ||||||
Prince William County Industrial Development Authority | ||||||||
1.35%, 07/01/2019(1) | 2,000,000 | 2,000,000 | ||||||
Stafford County Economic Development Authority | ||||||||
5.00%, 06/15/2025 | 375,000 | 425,025 | ||||||
5.00%, 06/15/2030 | 150,000 | 168,615 | ||||||
5.00%, 06/15/2033 | 150,000 | 166,822 | ||||||
5.00%, 06/15/2034 | 500,000 | 553,985 | ||||||
4.00%, 06/15/2037 | 50,000 | 50,288 | ||||||
Tobacco Settlement Financing Corp./VA | ||||||||
0.00%, 06/01/2047 | 3,000,000 | 278,880 | ||||||
Virginia College Building Authority | ||||||||
5.00%, 02/01/2023 | 700,000 | 784,168 | ||||||
5.00%, 09/01/2023 | 1,000,000 | 1,134,760 | ||||||
5.00%, 02/01/2024 | 2,475,000 | 2,833,058 | ||||||
5.00%, 02/01/2026 | 1,000,000 | 1,184,010 | ||||||
5.00%, 02/01/2030 | 1,500,000 | 1,801,485 | ||||||
5.00%, 07/01/2030(2) | 500,000 | 525,720 | ||||||
5.25%, 07/01/2035(2) | 1,000,000 | 1,052,180 | ||||||
5.00%, 07/01/2045(2) | 500,000 | 511,400 | ||||||
5.00%, 07/01/2045(2) | 1,000,000 | 1,022,800 | ||||||
Virginia Commonwealth Transportation Board | ||||||||
5.00%, 09/15/2022 | 1,000,000 | 1,097,410 | ||||||
5.00%, 09/15/2023 | 2,500,000 | 2,837,175 | ||||||
5.00%, 05/15/2026 | 3,000,000 | 3,575,040 | ||||||
5.00%, 05/15/2029 | 2,955,000 | 3,560,007 | ||||||
Virginia Port Authority | ||||||||
5.00%, 07/01/2023 | 1,000,000 | 1,111,050 | ||||||
Virginia Public Building Authority | ||||||||
5.00%, 08/01/2022 | 1,490,000 | 1,651,739 | ||||||
5.00%, 08/01/2022 | 1,050,000 | 1,163,978 | ||||||
Virginia Public School Authority | ||||||||
5.00%, 08/01/2022 | 2,505,000 | 2,773,260 | ||||||
5.00%, 08/01/2022 | 3,275,000 | 3,623,329 | ||||||
5.00%, 08/01/2022 | 1,000,000 | 1,106,360 | ||||||
Virginia Small Business Financing Authority | ||||||||
5.00%, 07/01/2034 | 1,000,000 | 1,042,000 | ||||||
5.00%, 01/01/2040 | 3,500,000 | 3,637,305 | ||||||
5.00%, 01/01/2040 | 4,135,000 | 4,297,216 | ||||||
5.50%, 01/01/2042 | 6,590,000 | 6,983,423 | ||||||
5.00%, 01/01/2048(1) (2) | 500,000 | 507,630 | ||||||
5.00%, 12/31/2049 | 500,000 | 534,215 | ||||||
5.00%, 12/31/2052 | 700,000 | 745,311 | ||||||
5.00%, 12/31/2056 | 4,455,000 | 4,726,933 | ||||||
Wise County Industrial Development Authority | ||||||||
1.88%, 11/01/2040(1) | 5,000,000 | 4,969,950 | ||||||
|
| |||||||
84,538,809 | ||||||||
|
| |||||||
Washington—2.29% | ||||||||
Adams County Public Hospital District No 2 | ||||||||
5.13%, 12/01/2044 | 1,000,000 | 1,054,360 | ||||||
Auburn School District No 408 of King & Pierce Counties | ||||||||
5.00%, 12/01/2033 | 2,000,000 | 2,350,000 |
Central Puget Sound Regional Transit Authority | ||||||||
5.00%, 11/01/2035 | 960,000 | 1,091,674 | ||||||
City of Kent WA | ||||||||
5.00%, 12/01/2027 | 695,000 | 820,100 | ||||||
City of Seattle WA Municipal Light & Power Revenue | ||||||||
4.00%, 01/01/2032 | 3,385,000 | 3,650,113 | ||||||
2.20% (SIFMA Municipal Swap Index + 0.49%), 11/01/2046(3) | 5,000,000 | 4,987,750 | ||||||
City of Tacoma WA Electric System Revenue | ||||||||
5.00%, 01/01/2039 | 675,000 | 762,649 | ||||||
City of Tacoma WA Solid Waste Utility Revenue | ||||||||
5.00%, 12/01/2031 | 460,000 | 524,980 | ||||||
Clark County Public Utility District No 1 | ||||||||
5.00%, 01/01/2022 | 425,000 | 462,787 | ||||||
5.00%, 01/01/2023 | 750,000 | 835,965 | ||||||
East Pierce Fire & Rescue | ||||||||
5.00%, 12/01/2029 | 635,000 | 759,416 | ||||||
5.00%, 12/01/2031 | 925,000 | 1,093,017 | ||||||
King County Public Hospital District No 1 | ||||||||
5.00%, 12/01/2032 | 4,500,000 | 5,062,050 | ||||||
King County School District No 414 Lake Washington | ||||||||
5.00%, 12/01/2035 | 1,600,000 | 1,879,280 | ||||||
5.00%, 12/01/2036 | 3,205,000 | 3,744,273 | ||||||
5.00%, 12/01/2037 | 1,425,000 | 1,657,133 | ||||||
5.00%, 12/01/2038 | 865,000 | 1,002,068 | ||||||
Pierce County School District No 10 Tacoma | ||||||||
5.00%, 12/01/2034 | 2,800,000 | 3,169,236 | ||||||
Port of Seattle WA | ||||||||
5.00%, 08/01/2023 | 1,855,000 | 2,038,775 | ||||||
Skagit County Public Hospital District No 1 | ||||||||
5.00%, 12/01/2020 | 1,750,000 | 1,831,778 | ||||||
State of Washington | ||||||||
5.00%, 09/01/2021 | 2,670,000 | 2,884,454 | ||||||
5.00%, 08/01/2027 | 550,000 | 639,793 | ||||||
5.00%, 08/01/2027 | 235,000 | 278,350 | ||||||
5.00%, 08/01/2028 | 235,000 | 276,564 | ||||||
5.00%, 08/01/2030 | 235,000 | 274,264 | ||||||
5.00%, 07/01/2031 | 5,000,000 | 5,662,100 | ||||||
5.00%, 08/01/2032 | 1,505,000 | 1,792,591 | ||||||
5.00%, 08/01/2033 | 4,335,000 | 5,139,273 | ||||||
5.00%, 06/01/2034 | 660,000 | 776,992 | ||||||
5.00%, 02/01/2036 | 1,800,000 | 2,064,852 | ||||||
Tobacco Settlement Authority | ||||||||
5.00%, 06/01/2023 | 500,000 | 544,035 | ||||||
5.00%, 06/01/2024 | 1,000,000 | 1,086,340 | ||||||
Washington Health Care Facilities Authority | ||||||||
5.00%, 08/15/2022 | 1,200,000 | 1,324,980 | ||||||
5.00%, 08/15/2023 | 650,000 | 732,511 | ||||||
5.00%, 07/01/2025 | 360,000 | 410,400 | ||||||
5.00%, 07/01/2029 | 115,000 | 133,900 | ||||||
5.00%, 07/01/2030 | 410,000 | 473,521 | ||||||
5.00%, 08/15/2030 | 1,000,000 | 1,115,440 | ||||||
5.00%, 07/01/2034 | 105,000 | 118,358 | ||||||
5.00%, 10/01/2038 | 11,320,000 | 12,362,346 | ||||||
2.76% (SIFMA Municipal Swap Index + 1.05%), 01/01/2042(3) | 5,000,000 | 5,087,800 | ||||||
5.00%, 07/01/2042 | 1,160,000 | 1,277,276 | ||||||
Washington Higher Education Facilities Authority | ||||||||
5.00%, 10/01/2029 | 1,855,000 | 2,055,507 | ||||||
Washington State Housing Finance Commission | ||||||||
4.00%, 07/01/2026(2) | 1,230,000 | 1,229,213 | ||||||
5.00%, 07/01/2031(2) | 1,000,000 | 1,037,300 |
2.26% (SIFMA Municipal Swap Index + 0.55%), 12/01/2048(3) | 10,000,000 | 10,000,000 | ||||||
5.00%, 07/01/2053(2) | 400,000 | 400,300 | ||||||
Washington State University | ||||||||
5.00%, 04/01/2029 | 1,285,000 | 1,440,588 | ||||||
|
| |||||||
99,396,452 | ||||||||
|
| |||||||
West Virginia—0.23% | ||||||||
Monongalia County Commission Special District | ||||||||
5.50%, 06/01/2037(2) | 200,000 | 203,354 | ||||||
5.75%, 06/01/2043(2) | 200,000 | 204,400 | ||||||
State of West Virginia | ||||||||
5.00%, 12/01/2036 | 2,910,000 | 3,381,449 | ||||||
West Virginia Economic Development Authority | ||||||||
5.38%, 12/01/2038 | 885,000 | 929,126 | ||||||
1.70%, 01/01/2041(1) | 1,515,000 | 1,484,503 | ||||||
West Virginia Hospital Finance Authority | ||||||||
5.00%, 01/01/2031 | 620,000 | 710,818 | ||||||
West Virginia State School Building Authority Lottery Revenue | ||||||||
5.00%, 07/01/2020 | 500,000 | 522,960 | ||||||
5.00%, 07/01/2022 | 695,000 | 764,785 | ||||||
5.00%, 07/01/2024 | 500,000 | 573,195 | ||||||
5.00%, 07/01/2032 | 940,000 | 1,075,510 | ||||||
|
| |||||||
9,850,100 | ||||||||
|
| |||||||
Wisconsin—2.08% | ||||||||
Milwaukee Redevelopment Authority | ||||||||
5.00%, 11/15/2031 | 570,000 | 648,478 | ||||||
5.00%, 11/15/2032 | 500,000 | 568,090 | ||||||
Public Finance Authority | ||||||||
5.00%, 05/15/2021(2) | 185,000 | 192,998 | ||||||
3.00%, 11/15/2022(2) | 90,000 | 90,006 | ||||||
3.50%, 11/15/2023(2) | 65,000 | 65,010 | ||||||
3.95%, 11/15/2024(2) | 50,000 | 50,252 | ||||||
2.15%, 10/01/2025(1) | 3,000,000 | 2,999,310 | ||||||
5.00%, 12/01/2025(2) | 1,000,000 | 1,086,230 | ||||||
4.13%, 05/01/2026(2) | 800,000 | 778,000 | ||||||
5.00%, 05/15/2028(2) | 200,000 | 213,214 | ||||||
5.00%, 07/01/2035 | 5,000,000 | 5,648,850 | ||||||
4.00%, 08/01/2035 | 2,750,000 | 2,578,235 | ||||||
5.25%, 05/15/2037(2) | 500,000 | 521,980 | ||||||
5.20%, 06/01/2037 | 500,000 | 476,625 | ||||||
5.00%, 06/15/2037(2) | 1,130,000 | 1,112,575 | ||||||
5.00%, 07/01/2037 | 825,000 | 846,541 | ||||||
6.25%, 01/01/2038(2) | 1,200,000 | 1,240,824 | ||||||
5.00%, 01/01/2042 | 600,000 | 615,450 | ||||||
5.25%, 05/15/2042(2) | 60,000 | 62,174 | ||||||
5.25%, 10/01/2043 | 2,105,000 | 2,235,110 |
5.25%, 05/15/2047(2) | 60,000 | 61,964 | ||||||
5.30%, 06/01/2047 | 500,000 | 470,655 | ||||||
6.38%, 01/01/2048(2) | 800,000 | 823,976 | ||||||
5.25%, 10/01/2048 | 2,105,000 | 2,219,786 | ||||||
5.25%, 05/15/2052(2) | 115,000 | 118,126 | ||||||
Public Finance Authority Wisconsin Retirement Facility | ||||||||
5.00%, 10/01/2043(2) | 170,000 | 171,030 | ||||||
5.00%, 10/01/2048(2) | 705,000 | 706,565 | ||||||
5.00%, 10/01/2053(2) | 875,000 | 872,069 | ||||||
State of Wisconsin | ||||||||
5.00%, 11/01/2022 | 2,545,000 | 2,835,868 | ||||||
5.00%, 05/01/2023 | 2,000,000 | 2,254,600 | ||||||
5.00%, 05/01/2023 | 4,000,000 | 4,488,520 | ||||||
5.00%, 05/01/2024 | 7,470,000 | 8,557,856 | ||||||
5.00%, 05/01/2025 | 5,335,000 | 6,226,745 | ||||||
4.00%, 05/01/2030 | 5,000,000 | 5,239,550 | ||||||
4.00%, 05/01/2032 | 2,000,000 | 2,085,400 | ||||||
5.00%, 05/01/2034 | 2,400,000 | 2,749,224 | ||||||
Village of Mukwonago WI Waterworks System & Sewer System Revenue | ||||||||
3.38%, 06/01/2021 | 3,190,000 | 3,245,315 | ||||||
Wisconsin Health & Educational Facilities Authority | ||||||||
5.00%, 05/01/2022 | 550,000 | 591,256 | ||||||
5.00%, 12/01/2022 | 560,000 | 617,339 | ||||||
4.00%, 02/15/2025 | 270,000 | 296,692 | ||||||
5.00%, 04/01/2025 | 2,000,000 | 2,313,620 | ||||||
4.00%, 02/15/2026 | 510,000 | 562,591 | ||||||
5.00%, 04/01/2026 | 1,000,000 | 1,169,740 | ||||||
5.00%, 02/15/2027 | 300,000 | 349,245 | ||||||
5.00%, 04/01/2027 | 1,700,000 | 2,007,853 | ||||||
5.00%, 04/01/2028 | 900,000 | 1,068,309 | ||||||
5.00%, 04/01/2030 | 1,670,000 | 1,976,662 | ||||||
4.00%, 02/15/2031 | 460,000 | 507,435 | ||||||
4.00%, 02/15/2033 | 550,000 | 606,716 | ||||||
5.00%, 09/01/2036 | 335,000 | 364,932 | ||||||
5.00%, 09/15/2037 | 650,000 | 662,474 | ||||||
4.00%, 11/15/2043(1) | 7,275,000 | 7,335,237 | ||||||
5.00%, 09/15/2050 | 645,000 | 654,391 | ||||||
2.36% (SIFMA Municipal Swap Index + 0.65%), 08/15/2054(3) | 4,000,000 | 3,990,280 | ||||||
|
| |||||||
90,231,973 | ||||||||
|
| |||||||
Total Municipal Bonds (Cost $4,245,026,357) | $ | 4,270,067,633 | ||||||
|
| |||||||
Shares | Value | |||||||
SHORT-TERM INVESTMENTS—1.09% | ||||||||
Money Market Funds—1.09% | ||||||||
Fidelity Institutional Money Market Government Funds—Class I, 2.25%(4) | 23,685,972 | $ | 23,685,972 | |||||
Goldman Sachs Financial Square Government Fund—Class I, 2.34%(4) | 23,685,972 | 23,685,972 | ||||||
|
| |||||||
Total Short-Term Investments (Cost $47,371,944) | $ | 47,371,944 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES—99.34% | ||||||||
(Cost $4,292,398,301) | $ | 4,317,439,577 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES—0.66% | 28,696,408 | |||||||
|
| |||||||
TOTAL NET ASSETS—100.00% | $ | 4,346,135,985 | ||||||
|
|
Percentages are stated as a percent of net assets.
(1) | Adjustable rate security. The rate reported is the rate in effect as of December 31, 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 $107,860,620, which represents 2.48% of total net assets. |
(3) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of December 31, 2018. |
(4) | Represents annualizedseven-day yield as of the close of the reporting period. |
MUNICIPAL BONDS | ||||
Education | 7.81 | % | ||
General Obligation | 23.21 | % | ||
General Revenue | 23.53 | % | ||
Healthcare | 15.01 | % | ||
Housing | 3.75 | % | ||
Transportation | 16.36 | % | ||
Utilities | 8.58 | % | ||
|
| |||
Total Municipal Bonds | 98.25 | % | ||
|
| |||
SHORT-TERM INVESTMENTS | 1.09 | % | ||
|
| |||
TOTAL INVESTMENTS | 99.34 | % | ||
Other Assets in Excess of Other Liabilities | 0.66 | % | ||
|
| |||
TOTAL NET ASSETS | 100.00 | % | ||
|
|
The accompanying notes are an integral part of this Schedule of Investments.
Open Futures Contracts
Number of Contracts (Sold) | Description | Counterparty | Expiration Date | Notional Amount | Value | Unrealized Appreciation / (Depreciation) | ||||||||||||
(400) | U.S. 10 Year Bond Future | Merrill Lynch | Mar. 2019 | $ | (47,936,887 | ) | $ | (48,806,250 | ) | $ | (869,363 | ) | ||||||
(100) | U.S. Long Bond Future | Merrill Lynch | Mar. 2019 | (14,015,490 | ) | (14,600,000 | ) | (584,510 | ) | |||||||||
|
| |||||||||||||||||
$ | (1,453,873 | ) | ||||||||||||||||
|
|
Bridge Builder Large Cap Growth Fund
Schedule of Investments
December 31, 2018 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS - 96.99% |
| |||||||
Communication Services - 10.60% |
| |||||||
Activision Blizzard, Inc. | 352,571 | $ | 16,419,231 | |||||
Alphabet, Inc. - Class A(1) | 163,191 | 170,528,067 | ||||||
Alphabet, Inc. - Class C(1) | 129,029 | 133,623,723 | ||||||
AMC Networks, Inc.(1) | 2,077 | 113,986 | ||||||
Cable One, Inc. | 198 | 162,380 | ||||||
CBS Corp. | 16,207 | 708,570 | ||||||
Charter Communications, Inc.(1) | 6,020 | 1,715,519 | ||||||
Electronic Arts, Inc.(1) | 197,271 | 15,566,655 | ||||||
Facebook, Inc.(1) | 745,014 | 97,663,885 | ||||||
InterActiveCorp(1) | 3,658 | 669,560 | ||||||
Interpublic Group of Companies, Inc. | 1,838 | 37,918 | ||||||
Lions Gate Entertainment Corp. - Class A | 136 | 2,182 | ||||||
Lions Gate Entertainment Corp. - Class B | 376 | 5,587 | ||||||
Live Nation Entertainment, Inc.(1) | 6,852 | 337,461 | ||||||
Match Group, Inc. | 2,427 | 103,803 | ||||||
Netflix, Inc.(1) | 189,319 | 50,673,124 | ||||||
Omnicom Group, Inc. | 7,308 | 535,238 | ||||||
Sirius XM Holdings, Inc. | 61,583 | 351,639 | ||||||
Take-Two Interactive Software, Inc.(1) | 3,254 | 334,967 | ||||||
Tencent Holdings Ltd. - ADR | 1,013,229 | 39,992,149 | ||||||
The Madison Square Garden Co.(1) | 111 | 29,715 | ||||||
T-Mobile U.S., Inc.(1) | 9,849 | 626,495 | ||||||
TripAdvisor, Inc.(1) | 5,213 | 281,189 | ||||||
Twitter, Inc.(1) | 35,023 | 1,006,561 | ||||||
Walt Disney Co. | 778,285 | 85,338,950 | ||||||
Zayo Group Holdings, Inc.(1) | 11,238 | 256,676 | ||||||
Zillow Group, Inc. - Class A(1) | 1,887 | 59,308 | ||||||
Zillow Group, Inc. - Class C(1) | 4,207 | 132,857 | ||||||
|
| |||||||
617,277,395 | ||||||||
|
| |||||||
Consumer Discretionary - 16.57% |
| |||||||
Advance Auto Parts, Inc. | 1,057 | 166,435 | ||||||
Alibaba Group Holding Ltd. - ADR(1) | 277,151 | 37,989,088 | ||||||
Amazon.com, Inc.(1) | 119,326 | 179,224,072 | ||||||
Aptiv Plc | 281,888 | 17,355,844 | ||||||
AutoZone, Inc.(1) | 1,090 | 913,791 | ||||||
Best Buy, Inc. | 2,893 | 153,213 | ||||||
Booking Holdings, Inc.(1) | 32,214 | 55,486,038 | ||||||
Bright Horizons Family Solutions, Inc.(1) | 2,435 | 271,381 | ||||||
Brunswick Corp. | 405 | 18,812 | ||||||
Burlington Stores, Inc.(1) | 3,320 | 540,064 | ||||||
CarMax, Inc.(1) | 5,220 | 327,451 | ||||||
Carter’s, Inc. | 2,240 | 182,829 | ||||||
Chipotle Mexican Grill, Inc.(1) | 1,184 | 511,239 |
Choice Hotels International, Inc. | 1,867 | 133,640 | ||||||
Columbia Sportswear Co. | 200 | 16,818 | ||||||
D. R. Horton, Inc. | 9,833 | 340,812 | ||||||
Darden Restaurants, Inc. | 2,989 | 298,482 | ||||||
Dollar General Corp. | 13,094 | 1,415,200 | ||||||
Dollar Tree, Inc.(1) | 238,993 | 21,585,848 | ||||||
Domino’s Pizza, Inc. | 2,075 | 514,579 | ||||||
Dunkin’ Brands Group, Inc. | 4,091 | 262,315 | ||||||
eBay, Inc.(1) | 751,055 | 21,082,114 | ||||||
Expedia Group, Inc. | 5,975 | 673,084 | ||||||
Extended Stay America, Inc. | 5,379 | 83,375 | ||||||
Floor & Decor Holdings, Inc.(1) | 2,417 | 62,600 | ||||||
Frontdoor, Inc.(1) | 3,252 | 86,536 | ||||||
Gap, Inc. | 888 | 22,875 | ||||||
Garrett Motion, Inc.(1) | 2,218 | 27,370 | ||||||
Gentex Corp. | 9,019 | 182,274 | ||||||
Grand Canyon Education, Inc.(1) | 2,254 | 216,700 | ||||||
GrubHub, Inc.(1) | 4,299 | 330,206 | ||||||
H&R Block, Inc. | 1,669 | 42,343 | ||||||
Hanesbrands, Inc. | 18,153 | 227,457 | ||||||
Hasbro, Inc. | 4,356 | 353,925 | ||||||
Hilton Grand Vacations, Inc.(1) | 4,532 | 119,599 | ||||||
Hilton Worldwide Holdings, Inc. | 13,706 | 984,091 | ||||||
Home Depot, Inc. | 186,064 | 31,969,516 | ||||||
Kering SA | 34,364 | 16,098,467 | ||||||
L Brands, Inc. | 1,944 | 49,902 | ||||||
Las Vegas Sands Corp. | 10,719 | 557,924 | ||||||
Lear Corp. | 323 | 39,684 | ||||||
Lennar Corp. - Class A | 7,237 | 283,329 | ||||||
Lennar Corp. - Class B | 440 | 13,785 | ||||||
LKQ Corp.(1) | 2,508 | 59,515 | ||||||
Lowes Companies, Inc. | 1,169,471 | 108,012,342 | ||||||
Lululemon Athletica, Inc.(1) | 4,668 | 567,675 | ||||||
Marriott International, Inc. | 142,674 | 15,488,689 | ||||||
Mattel, Inc.(1) | 3,570 | 35,664 | ||||||
McDonald’s Corp. | 379,999 | 67,476,422 | ||||||
MGM Resorts International | 2,196 | 53,275 | ||||||
Michael Kors Holdings Ltd.(1) | 3,612 | 136,967 | ||||||
Nike, Inc. | 1,071,304 | 79,426,479 | ||||||
Nordstrom, Inc. | 5,656 | 263,626 | ||||||
NVR, Inc.(1) | 158 | 385,044 | ||||||
O’Reilly Automotive, Inc.(1) | 3,875 | 1,334,279 | ||||||
Polaris Industries, Inc. | 2,808 | 215,317 | ||||||
Pool Corp. | 1,894 | 281,543 | ||||||
Pulte Group, Inc. | 3,774 | 98,086 | ||||||
Ross Stores, Inc. | 275,381 | 22,911,699 | ||||||
Service Corp. International | 3,942 | 158,705 | ||||||
ServiceMaster Global Holdings, Inc.(1) | 6,504 | 238,957 | ||||||
Six Flags Entertainment Corp. | 3,706 | 206,165 | ||||||
Skechers USA, Inc.(1) | 2,954 | 67,617 | ||||||
Starbucks Corp. | 378,771 | 24,392,852 | ||||||
Tapestry, Inc. | 2,668 | 90,045 |
Tempur Sealy International, Inc.(1) | 2,174 | 90,004 | ||||||
Tesla, Inc.(1) | 111,184 | 37,002,035 | ||||||
The Michaels Companies, Inc.(1) | 810 | 10,967 | ||||||
Thor Industries, Inc. | 1,909 | 99,268 | ||||||
Tiffany & Co. | 1,013 | 81,557 | ||||||
TJX Companies, Inc. | 1,554,097 | 69,530,300 | ||||||
Toll Brothers, Inc. | 3,465 | 114,102 | ||||||
Tractor Supply Co. | 6,061 | 505,730 | ||||||
Ulta Beauty, Inc.(1) | 150,566 | 36,864,579 | ||||||
Under Armour, Inc. - Class A(1) | 6,906 | 122,029 | ||||||
Under Armour, Inc. - Class C(1) | 7,485 | 121,032 | ||||||
Urban Outfitters, Inc.(1) | 3,448 | 114,474 | ||||||
Vail Resorts, Inc. | 1,930 | 406,883 | ||||||
VF Corp. | 12,207 | 870,847 | ||||||
Visteon Corp.(1) | 869 | 52,383 | ||||||
Wayfair, Inc.(1) | 2,735 | 246,369 | ||||||
Wendy’s Co. | 9,907 | 154,648 | ||||||
Williams-Sonoma, Inc. | 898 | 45,304 | ||||||
Wyndham Destinations, Inc. | 4,732 | 169,595 | ||||||
Wyndham Hotels & Resorts, Inc. | 4,636 | 210,335 | ||||||
Wynn Resorts Ltd. | 4,970 | 491,583 | ||||||
Yum China Holdings, Inc. | 1,469 | 49,256 | ||||||
Yum! Brands, Inc. | 1,133,753 | 104,214,576 | ||||||
|
| |||||||
964,683,926 | ||||||||
|
| |||||||
Consumer Staples - 6.62% |
| |||||||
Altria Group, Inc. | 92,745 | 4,580,676 | ||||||
Brown Forman Corp. - Class A | 2,827 | 134,056 | ||||||
Brown Forman Corp. - Class B | 13,616 | 647,849 | ||||||
Campbell Soup Co. | 5,789 | 190,979 | ||||||
Church & Dwight Co., Inc. | 10,240 | 673,383 | ||||||
Clorox Co. | 5,456 | 840,988 | ||||||
Coca Cola Co. | 1,930,722 | 91,419,687 | ||||||
Colgate Palmolive Co. | 7,639 | 454,673 | ||||||
Constellation Brands, Inc. | 7,639 | 1,228,504 | ||||||
Costco Wholesale Corp. | 175,613 | 35,774,124 | ||||||
CVS Health Corp. | 335,541 | 21,984,675 | ||||||
Energizer Holdings, Inc. | 1,600 | 72,240 | ||||||
General Mills, Inc. | 1,451 | 56,502 | ||||||
Herbalife Ltd.(1) | 978 | 57,653 | ||||||
Kellogg Co. | 6,166 | 351,524 | ||||||
Keurig Dr. Pepper, Inc. | 9,134 | 234,196 | ||||||
Kimberly-Clark Corp. | 14,897 | 1,697,364 | ||||||
Lauder Estee Companies, Inc. | 675,632 | 87,899,723 | ||||||
McCormick & Co., Inc. | 349 | 48,595 | ||||||
Mondelez International, Inc. | 1,586,959 | 63,525,969 | ||||||
Monster Beverage Corp.(1) | 19,468 | 958,215 | ||||||
Nu Skin Enterprises, Inc. | 786 | 48,205 | ||||||
PepsiCo, Inc. | 61,516 | 6,796,288 | ||||||
Post Holdings, Inc.(1) | 1,775 | 158,206 | ||||||
Procter & Gamble Co. | 690,486 | 63,469,473 | ||||||
Spectrum Brands Holdings, Inc. | 897 | 37,898 | ||||||
Sprouts Farmers Market, Inc.(1) | 5,989 | 140,801 |
Sysco Corp. | 23,143 | 1,450,140 | ||||||
The Hershey Co. | 6,227 | 667,410 | ||||||
U.S. Foods Holding Corp.(1) | 552 | 17,465 | ||||||
|
| |||||||
385,617,461 | ||||||||
|
| |||||||
Energy - 2.30% |
| |||||||
Anadarko Petroleum Corp. | 8,227 | 360,672 | ||||||
Antero Resources Corp.(1) | 6,293 | 59,091 | ||||||
Apache Corp. | 1,127 | 29,584 | ||||||
Cabot Oil & Gas Corp. | 16,148 | 360,908 | ||||||
Cheniere Energy, Inc.(1) | 7,678 | 454,461 | ||||||
Chevron Corp. | 481,950 | 52,431,340 | ||||||
Cimarex Energy Co. | 551 | 33,969 | ||||||
Concho Resources, Inc.(1) | 1,191 | 122,423 | ||||||
ConocoPhillips | 546,105 | 34,049,647 | ||||||
Continental Resources, Inc.(1) | 2,075 | 83,394 | ||||||
Diamondback Energy, Inc. | 1,205 | 111,703 | ||||||
EOG Resources, Inc. | 327,667 | 28,575,839 | ||||||
Halliburton Co. | 595,634 | 15,831,952 | ||||||
Kosmos Energy Ltd.(1) | 2,287 | 9,308 | ||||||
Newfield Exploration Co.(1) | 3,423 | 50,181 | ||||||
ONEOK, Inc. | 8,339 | 449,889 | ||||||
Parsley Energy, Inc.(1) | 9,281 | 148,310 | ||||||
Pioneer Natural Resources Co. | 4,505 | 592,498 | ||||||
RPC, Inc. | 1,002 | 9,890 | ||||||
|
| |||||||
133,765,059 | ||||||||
|
| |||||||
Financials - 6.48% |
| |||||||
Alleghany Corp. | 77 | 47,996 | ||||||
American Express Co. | 23,556 | 2,245,358 | ||||||
American International Group, Inc. | 6,087 | 239,889 | ||||||
Ameriprise Financial, Inc. | 1,110 | 115,851 | ||||||
Aon Plc | 251,262 | 36,523,444 | ||||||
Arch Capital Group Ltd.(1) | 2,962 | 79,145 | ||||||
Axis Capital Holdings Ltd. | 404 | 20,863 | ||||||
Bank of America Corp. | 1,695,260 | 41,771,206 | ||||||
Berkshire Hathaway, Inc.(1) | 11,949 | 2,439,747 | ||||||
BOK Financial Corp. | 223 | 16,353 | ||||||
Brown & Brown, Inc. | 660 | 18,190 | ||||||
Capital One Financial Corp. | 1,766 | 133,492 | ||||||
CBOE Holdings, Inc. | 5,101 | 499,031 | ||||||
Charles Schwab Corp. | 58,896 | 2,445,951 | ||||||
Citizens Financial Group, Inc. | 729,835 | 21,697,995 | ||||||
CME Group, Inc. | 2,043 | 384,329 | ||||||
Comerica, Inc. | 300,997 | 20,675,484 | ||||||
Commerce Bancshares, Inc. | 504,355 | 28,430,494 | ||||||
Credit Acceptance Corp.(1) | 505 | 192,789 | ||||||
Discover Financial Services | 7,788 | 459,336 | ||||||
E*TRADE Financial Corp. | 2,798 | 122,776 | ||||||
East West Bancorp, Inc. | 585 | 25,465 | ||||||
Eaton Vance Corp. | 5,664 | 199,259 | ||||||
Erie Indemnity Co. | 914 | 121,845 | ||||||
Evercore Partners, Inc. | 1,883 | 134,747 | ||||||
Everest Re Group Ltd. | 827 | 180,088 |
Interactive Brokers Group, Inc. | 3,233 | 176,683 | ||||||
Intercontinental Exchange, Inc. | 894,033 | 67,347,506 | ||||||
JPMorgan Chase & Co. | 146,939 | 14,344,185 | ||||||
Lazard Ltd. | 5,261 | 194,183 | ||||||
LPL Financial Holdings, Inc. | 4,284 | 261,667 | ||||||
Markel Corp.(1) | 55 | 57,093 | ||||||
MarketAxess Holdings, Inc. | 1,811 | 382,682 | ||||||
Marsh & McLennan Companies, Inc. | 11,639 | 928,210 | ||||||
Moody’s Corp. | 8,101 | 1,134,464 | ||||||
Morningstar, Inc. | 851 | 93,474 | ||||||
MSCI, Inc. | 4,306 | 634,834 | ||||||
Northern Trust Corp. | 2,858 | 238,900 | ||||||
OneMain Holdings, Inc.(1) | 523 | 12,704 | ||||||
Pinnacle Financial Partners, Inc. | 1,525 | 70,302 | ||||||
Raymond James Financial, Inc. | 1,819 | 135,352 | ||||||
RenaissanceRe Holdings Ltd. | 263 | 35,163 | ||||||
S&P Global, Inc. | 99,036 | 16,830,178 | ||||||
Santander Consumer USA Holdings, Inc. | 974 | 17,133 | ||||||
SEI Investments Co. | 6,282 | 290,228 | ||||||
Signature Bank | 1,596 | 164,085 | ||||||
State Street Corp. | 1,073 | 67,674 | ||||||
SunTrust Banks, Inc. | 892,125 | 44,998,785 | ||||||
SVB Financial Group(1) | 1,973 | 374,712 | ||||||
Synchrony Financial | 12,381 | 290,458 | ||||||
Synovus Financial Corp. | 2,257 | 72,201 | ||||||
T. Rowe Price Group, Inc. | 10,694 | 987,270 | ||||||
TD Ameritrade Holding Corp. | 13,850 | 678,096 | ||||||
Texas Capital Bancshares, Inc.(1) | 1,477 | 75,460 | ||||||
The Goldman Sachs Group, Inc. | 72,035 | 12,033,447 | ||||||
The Progressive Corp. | 28,343 | 1,709,933 | ||||||
Travelers Companies, Inc. | 2,533 | 303,327 | ||||||
Virtu Financial, Inc. | 1,961 | 50,515 | ||||||
Voya Financial, Inc. | 752 | 30,185 | ||||||
Wells Fargo & Co. | 1,145,610 | 52,789,709 | ||||||
Western Alliance Bancorp(1) | 2,981 | 117,720 | ||||||
|
| |||||||
377,149,641 | ||||||||
|
| |||||||
Healthcare - 16.72% |
| |||||||
Abbott Laboratories | 1,194,129 | 86,371,351 | ||||||
AbbVie, Inc. | 74,198 | 6,840,314 | ||||||
ABIOMED, Inc.(1) | 2,095 | 680,959 | ||||||
Agios Pharmaceuticals, Inc.(1) | 2,318 | 106,883 | ||||||
Alexion Pharmaceuticals, Inc.(1) | 171,728 | 16,719,438 | ||||||
Align Technology, Inc.(1) | 3,890 | 814,683 | ||||||
Alkermes Plc(1) | 7,740 | 228,407 | ||||||
Alnylam Pharmaceuticals, Inc.(1) | 3,946 | 287,703 | ||||||
AmerisourceBergen Corp. | 7,765 | 577,716 | ||||||
Amgen, Inc. | 29,330 | 5,709,671 | ||||||
AstraZeneca Plc - ADR | 691,469 | 26,261,993 | ||||||
Athenahealth, Inc.(1) | 2,040 | 269,137 | ||||||
Baxter International, Inc. | 2,944 | 193,774 | ||||||
Becton Dickinson and Co. | 323,987 | 73,000,751 | ||||||
Biogen, Inc.(1) | 49,714 | 14,959,937 |
BioMarin Pharmaceutical, Inc.(1) | 262,025 | 22,311,429 | ||||||
Bio-Techne Corp. | 1,773 | 256,589 | ||||||
Bluebird Bio, Inc.(1) | 1,909 | 189,373 | ||||||
Boston Scientific Corp.(1) | 51,766 | 1,829,410 | ||||||
Bristol Myers Squibb Co. | 42,425 | 2,205,251 | ||||||
Bruker Corp. | 2,015 | 59,987 | ||||||
Cantel Medical Corp. | 1,727 | 128,575 | ||||||
Catalent, Inc.(1) | 1,948 | 60,739 | ||||||
Celgene Corp.(1) | 34,413 | 2,205,529 | ||||||
Centene Corp.(1) | 96,404 | 11,115,381 | ||||||
Cerner Corp.(1) | 6,878 | 360,682 | ||||||
Charles River Laboratories International, Inc.(1) | 1,729 | 195,688 | ||||||
Chemed Corp. | 729 | 206,511 | ||||||
Cigna Corp. | 5,164 | 980,719 | ||||||
Danaher Corp. | 313,801 | 32,359,159 | ||||||
DaVita, Inc.(1) | 3,321 | 170,899 | ||||||
DexCom, Inc.(1) | 4,353 | 521,489 | ||||||
Edwards Lifesciences Corp.(1) | 56,752 | 8,692,704 | ||||||
Elanco Animal Health, Inc.(1) | 1,725 | 54,389 | ||||||
Eli Lilly & Co. | 28,349 | 3,280,546 | ||||||
Encompass Health Corp. | 4,608 | 284,314 | ||||||
Exact Sciences Corp.(1) | 5,726 | 361,311 | ||||||
Exelixis, Inc.(1) | 13,984 | 275,065 | ||||||
Gilead Sciences, Inc. | 47,176 | 2,950,859 | ||||||
HCA Healthcare, Inc. | 9,562 | 1,189,991 | ||||||
Henry Schein, Inc.(1) | 1,066 | 83,702 | ||||||
Hill-Rom Holdings, Inc. | 2,215 | 196,138 | ||||||
Humana, Inc. | 89,013 | 25,500,444 | ||||||
ICU Medical, Inc.(1) | 791 | 181,637 | ||||||
IDEXX Laboratories, Inc.(1) | 4,227 | 786,307 | ||||||
Illumina, Inc.(1) | 97,495 | 29,241,675 | ||||||
Incyte Corp.(1) | 8,567 | 544,776 | ||||||
Insulet Corp.(1) | 2,967 | 235,342 | ||||||
Integra LifeSciences Holdings Corp.(1) | 2,623 | 118,297 | ||||||
Intuitive Surgical, Inc.(1) | 33,432 | 16,011,253 | ||||||
Ionis Pharmaceuticals, Inc.(1) | 6,190 | 334,631 | ||||||
Jazz Pharmaceuticals Plc(1) | 2,700 | 334,692 | ||||||
Johnson & Johnson | 627,541 | 80,984,166 | ||||||
Laboratory Corp. of America Holdings(1) | 118,691 | 14,997,795 | ||||||
Masimo Corp.(1) | 2,285 | 245,340 | ||||||
McKesson Corp. | 1,198 | 132,343 | ||||||
Medtronic Plc | 813,625 | 74,007,330 | ||||||
Merck & Co., Inc. | 245,576 | 18,764,462 | ||||||
Mettler-Toledo International, Inc.(1) | 1,215 | 687,180 | ||||||
Molina Healthcare, Inc.(1) | 2,443 | 283,925 | ||||||
Nektar Therapeutics(1) | 7,417 | 243,797 | ||||||
Neurocrine Biosciences, Inc.(1) | 4,297 | 306,849 | ||||||
Novo Nordisk A/S - ADR | 1,535,044 | 70,719,477 | ||||||
Penumbra, Inc.(1) | 1,438 | 175,724 | ||||||
Pfizer, Inc. | 1,367,950 | 59,711,018 | ||||||
PRA Health Sciences, Inc.(1) | 2,858 | 262,822 | ||||||
Premier, Inc.(1) | 1,047 | 39,105 |
Regeneron Pharmaceuticals, Inc.(1) | 211,981 | 79,174,904 | ||||||
ResMed, Inc. | 6,794 | 773,633 | ||||||
SAGE Therapeutics, Inc.(1) | 2,300 | 220,317 | ||||||
Sarepta Therapeutics, Inc.(1) | 3,318 | 362,093 | ||||||
Seattle Genetics, Inc.(1) | 5,296 | 300,071 | ||||||
Stryker Corp. | 16,674 | 2,613,650 | ||||||
Teleflex, Inc. | 406 | 104,943 | ||||||
TESARO, Inc.(1) | 1,931 | 143,377 | ||||||
The Cooper Companies, Inc. | 364 | 92,638 | ||||||
Thermo Fisher Scientific, Inc. | 91,547 | 20,487,303 | ||||||
UnitedHealth Group, Inc. | 394,359 | 98,242,714 | ||||||
Varian Medical Systems, Inc.(1) | 4,507 | 510,688 | ||||||
Veeva Systems, Inc.(1) | 5,868 | 524,130 | ||||||
Vertex Pharmaceuticals, Inc.(1) | 120,283 | 19,932,096 | ||||||
Waters Corp.(1) | 3,442 | 649,333 | ||||||
WellCare Health Plans, Inc.(1) | 2,226 | 525,536 | ||||||
West Pharmaceutical Services, Inc. | 795 | 77,934 | ||||||
Zoetis, Inc. | 333,364 | 28,515,957 | ||||||
|
| |||||||
973,650,850 | ||||||||
|
| |||||||
Industrials - 5.81% |
| |||||||
3M Co. | 23,232 | 4,426,625 | ||||||
A.O. Smith Corp. | 6,926 | 295,740 | ||||||
Air Lease Corp. | 401 | 12,114 | ||||||
Allegion Plc | 3,925 | 312,862 | ||||||
Allison Transmission Holdings, Inc. | 5,484 | 240,802 | ||||||
AMETEK, Inc. | 2,127 | 143,998 | ||||||
Armstrong World Industries, Inc. | 2,384 | 138,773 | ||||||
Boeing Co. | 138,020 | 44,511,450 | ||||||
BWX Technologies, Inc. | 4,750 | 181,593 | ||||||
C.H. Robinson Worldwide, Inc. | 6,725 | 565,505 | ||||||
Caterpillar, Inc. | 25,852 | 3,285,014 | ||||||
Cintas Corp. | 4,206 | 706,566 | ||||||
Copart, Inc.(1) | 10,039 | 479,663 | ||||||
CoStar Group, Inc.(1) | 1,732 | 584,273 | ||||||
CSX Corp. | 18,536 | 1,151,642 | ||||||
Cummins, Inc. | 2,682 | 358,423 | ||||||
Curtiss-Wright Corp. | 154 | 15,726 | ||||||
Deere & Co. | 167,267 | 24,951,218 | ||||||
Delta Air Lines, Inc. | 7,930 | 395,707 | ||||||
Donaldson Co., Inc. | 5,876 | 254,960 | ||||||
Dun & Bradstreet Corp. | 792 | 113,050 | ||||||
Eaton Corp. Plc | 447,790 | 30,745,261 | ||||||
Emerson Electric Co. | 21,856 | 1,305,896 | ||||||
Equifax, Inc. | 1,527 | 142,210 | ||||||
Expeditors International of Washington, Inc. | 8,434 | 574,271 | ||||||
Fastenal Co. | 14,199 | 742,466 | ||||||
FedEx Corp. | 12,062 | 1,945,962 | ||||||
Fortive Corp. | 13,209 | 893,721 | ||||||
Fortune Brands Home & Security, Inc. | 2,863 | 108,765 | ||||||
Gardner Denver Holdings, Inc.(1) | 2,418 | 49,448 | ||||||
General Dynamics Corp. | 5,706 | 897,040 | ||||||
Genesee & Wyoming, Inc.(1) | 572 | 42,339 |
Graco, Inc. | 7,926 | 331,703 | ||||||
Harris Corp. | 5,812 | 782,586 | ||||||
HD Supply Holdings, Inc.(1) | 2,627 | 98,565 | ||||||
Heico Corp. | 1,868 | 144,733 | ||||||
Heico Corp. - Class A | 3,611 | 227,493 | ||||||
Hexcel Corp. | 896 | 51,377 | ||||||
Honeywell International, Inc. | 355,594 | 46,981,079 | ||||||
Hubbell, Inc. | 1,745 | 173,348 | ||||||
Huntington Ingalls Industries, Inc. | 1,737 | 330,568 | ||||||
IDEX Corp. | 3,448 | 435,344 | ||||||
Illinois Tool Works, Inc. | 16,302 | 2,065,300 | ||||||
Ingersoll-Rand Plc | 6,487 | 591,809 | ||||||
J.B. Hunt Transportation Services, Inc. | 4,243 | 394,769 | ||||||
KAR Auction Services, Inc. | 6,060 | 289,183 | ||||||
Landstar System, Inc. | 1,951 | 186,652 | ||||||
Lennox International, Inc. | 1,620 | 354,553 | ||||||
Lincoln Electric Holdings, Inc. | 2,966 | 233,869 | ||||||
Lockheed Martin Corp. | 11,059 | 2,895,689 | ||||||
Masco Corp. | 10,498 | 306,962 | ||||||
MSC Industrial Direct Co., Inc. | 1,008 | 77,535 | ||||||
Nordson Corp. | 2,572 | 306,968 | ||||||
Norfolk Southern Corp. | 152,325 | 22,778,681 | ||||||
Northrop Grumman Corp. | 7,890 | 1,932,261 | ||||||
Old Dominion Freight Line, Inc. | 3,268 | 403,565 | ||||||
Parker-Hannifin Corp. | 1,131 | 168,677 | ||||||
Quanta Services, Inc.(1) | 2,112 | 63,571 | ||||||
Raytheon Co. | 190,494 | 29,212,255 | ||||||
Republic Services, Inc. | 850 | 61,277 | ||||||
Resideo Technologies, Inc.(1) | 3,696 | 75,953 | ||||||
Robert Half International, Inc. | 6,003 | 343,372 | ||||||
Rockwell Automation, Inc. | 106,547 | 16,033,193 | ||||||
Rollins, Inc. | 7,038 | 254,072 | ||||||
Roper Technologies, Inc. | 953 | 253,994 | ||||||
Safran SA | 31,072 | 3,726,624 | ||||||
Schneider National, Inc. | 637 | 11,893 | ||||||
Sensata Technologies Holding Plc(1) | 4,308 | 193,171 | ||||||
Southwest Airlines Co. | 17,905 | 832,224 | ||||||
Spirit AeroSystems Holdings, Inc. | 5,304 | 382,365 | ||||||
Stanley Black & Decker, Inc. | 103,180 | 12,354,773 | ||||||
Textron, Inc. | 1,996 | 91,796 | ||||||
The Middleby Corp.(1) | 1,675 | 172,073 | ||||||
The Toro Co. | 5,208 | 291,023 | ||||||
TransDigm Group, Inc.(1) | 2,385 | 811,043 | ||||||
TransUnion | 8,817 | 500,806 | ||||||
Union Pacific Corp. | 113,368 | 15,670,859 | ||||||
United Parcel Service, Inc. | 33,694 | 3,286,176 | ||||||
United Rentals, Inc.(1) | 3,931 | 403,045 | ||||||
United Technologies Corp. | 431,065 | 45,899,801 | ||||||
Univar, Inc.(1) | 886 | 15,718 | ||||||
Verisk Analytics, Inc.(1) | 7,877 | 858,908 | ||||||
W.W. Grainger, Inc. | 2,245 | 633,898 | ||||||
WABCO Holdings, Inc.(1) | 2,507 | 269,101 |
Wabtec Corp. | 1,451 | 101,933 | ||||||
Waste Management, Inc. | 17,704 | 1,575,479 | ||||||
Watsco, Inc. | 1,202 | 167,246 | ||||||
Welbilt, Inc.(1) | 6,353 | 70,582 | ||||||
XPO Logistics, Inc.(1) | 5,988 | 341,556 | ||||||
Xylem, Inc. | 4,783 | 319,122 | ||||||
|
| |||||||
338,395,254 | ||||||||
|
| |||||||
Information Technology - 26.77% |
| |||||||
2U, Inc.(1) | 2,699 | 134,194 | ||||||
Accenture Plc | 145,249 | 20,481,561 | ||||||
Adobe Systems, Inc.(1) | 194,599 | 44,026,078 | ||||||
Advanced Micro Devices, Inc.(1) | 45,809 | 845,634 | ||||||
Adyen NV(1)(5) | 9,527 | 5,146,866 | ||||||
Akamai Technologies, Inc.(1) | 7,324 | 447,350 | ||||||
Alliance Data Systems Corp. | 277,533 | 41,652,153 | ||||||
Amphenol Corp. | 14,419 | 1,168,227 | ||||||
Analog Devices, Inc. | 481,572 | 41,333,325 | ||||||
ANSYS, Inc.(1) | 4,066 | 581,194 | ||||||
Apple, Inc. | 1,010,835 | 159,449,113 | ||||||
Applied Materials, Inc. | 48,222 | 1,578,788 | ||||||
Arista Networks, Inc.(1) | 2,789 | 587,642 | ||||||
Aspen Technology, Inc.(1) | 3,268 | 268,564 | ||||||
Atlassian Corp. Plc(1) | 4,871 | 433,422 | ||||||
Autodesk, Inc.(1) | 619,926 | 79,728,683 | ||||||
Automatic Data Processing, Inc. | 523,082 | 68,586,512 | ||||||
Black Knight, Inc.(1) | 7,105 | 320,151 | ||||||
Booz Allen Hamilton Holding Corp. | 6,451 | 290,747 | ||||||
Broadcom, Inc. | 73,415 | 18,667,966 | ||||||
Broadridge Financial Solutions, Inc. | 5,722 | 550,743 | ||||||
Cadence Design Systems, Inc.(1) | 13,553 | 589,284 | ||||||
CDK Global, Inc. | 6,184 | 296,090 | ||||||
CDW Corp. | 7,189 | 582,668 | ||||||
Ceridian HCM Holding, Inc.(1) | 1,611 | 55,563 | ||||||
Cisco Systems, Inc. | 1,691,433 | 73,289,792 | ||||||
Citrix Systems, Inc. | 6,543 | 670,396 | ||||||
Cognex Corp. | 7,950 | 307,427 | ||||||
Cognizant Technology Solutions - Class A | 25,666 | 1,629,278 | ||||||
Coherent, Inc.(1) | 837 | 88,479 | ||||||
CoreLogic, Inc.(1) | 2,418 | 80,810 | ||||||
Cypress Semiconductor Corp. | 11,574 | 147,221 | ||||||
Dell Technologies, Inc. - Class C(1) | 447 | 21,846 | ||||||
DocuSign, Inc.(1) | 3,615 | 144,889 | ||||||
DXC Technology Co. | 183,208 | 9,741,169 | ||||||
Elastic NV(1) | 349 | 24,947 | ||||||
EPAM Systems, Inc.(1) | 2,471 | 286,661 | ||||||
Euronet Worldwide, Inc.(1) | 1,170 | 119,785 | ||||||
F5 Networks, Inc.(1) | 2,941 | 476,530 | ||||||
FactSet Research Systems, Inc. | 1,783 | 356,832 | ||||||
Fair Isaac Corp.(1) | 1,370 | 256,190 | ||||||
Fidelity National Information Services, Inc. | 1,324 | 135,776 | ||||||
FireEye, Inc.(1) | 6,926 | 112,270 | ||||||
First Data Corp.(1) | 26,927 | 455,336 |
Fiserv, Inc.(1) | 19,811 | 1,455,910 | ||||||
FleetCor Technologies, Inc.(1) | 431,882 | 80,209,125 | ||||||
FLIR Systems, Inc. | 566 | 24,644 | ||||||
Fortinet, Inc.(1) | 6,800 | 478,924 | ||||||
Gartner, Inc.(1) | 4,253 | 543,704 | ||||||
Genpact Ltd. | 2,453 | 66,206 | ||||||
Global Payments, Inc. | 7,651 | 789,048 | ||||||
GoDaddy, Inc.(1) | 7,663 | 502,846 | ||||||
Guidewire Software, Inc.(1) | 3,881 | 311,373 | ||||||
International Business Machines Corp. | 32,391 | 3,681,885 | ||||||
Intuit, Inc. | 327,472 | 64,462,863 | ||||||
IPG Photonics Corp.(1) | 1,725 | 195,425 | ||||||
Jack Henry & Associates, Inc. | 3,781 | 478,372 | ||||||
KLA-Tencor Corp. | 7,467 | 668,222 | ||||||
Lam Research Corp. | 7,555 | 1,028,764 | ||||||
Littelfuse, Inc. | 941 | 161,363 | ||||||
LogMeIn, Inc. | 1,595 | 130,104 | ||||||
Manhattan Associates, Inc.(1) | 3,239 | 137,236 | ||||||
Marvell Technology Group Ltd. | 7,105 | 115,030 | ||||||
Mastercard, Inc. | 257,281 | 48,536,061 | ||||||
Maxim Integrated Products, Inc. | 13,418 | 682,305 | ||||||
Microchip Technology, Inc. | 11,301 | 812,768 | ||||||
Micron Technology, Inc.(1) | 43,460 | 1,378,986 | ||||||
Microsoft Corp. | 2,628,600 | 266,986,902 | ||||||
MKS Instruments, Inc. | 2,538 | 163,980 | ||||||
Monolithic Power Systems, Inc. | 1,993 | 231,686 | ||||||
Motorola Solutions, Inc. | 172,841 | 19,883,629 | ||||||
National Instruments Corp. | 4,277 | 194,090 | ||||||
NCR Corp.(1) | 4,995 | 115,285 | ||||||
NetApp, Inc. | 12,832 | 765,685 | ||||||
Nutanix, Inc.(1) | 6,880 | 286,139 | ||||||
NVIDIA Corp. | 156,348 | 20,872,458 | ||||||
NXP Semiconductors NV | 862 | 63,167 | ||||||
Okta, Inc.(1) | 4,313 | 275,169 | ||||||
ON Semiconductor Corp.(1) | 20,909 | 345,208 | ||||||
Oracle Corp. | 12,181 | 549,972 | ||||||
Palo Alto Networks, Inc.(1) | 129,223 | 24,339,152 | ||||||
Paychex, Inc. | 15,631 | 1,018,360 | ||||||
Paycom Software, Inc.(1) | 2,497 | 305,758 | ||||||
PayPal Holdings, Inc.(1) | 283,503 | 23,839,767 | ||||||
Pegasystems, Inc. | 1,765 | 84,420 | ||||||
Pluralsight, Inc. - Class A(1) | 923 | 21,737 | ||||||
Proofpoint, Inc.(1) | 2,358 | 197,624 | ||||||
PTC, Inc.(1) | 5,786 | 479,659 | ||||||
Pure Storage, Inc.(1) | 7,746 | 124,556 | ||||||
RealPage, Inc.(1) | 3,296 | 158,834 | ||||||
Red Hat, Inc.(1) | 89,452 | 15,711,349 | ||||||
RingCentral, Inc.(1) | 3,268 | 269,414 | ||||||
Sabre Corp. | 10,739 | 232,392 | ||||||
Salesforce.com, Inc.(1) | 941,213 | 128,917,945 | ||||||
ServiceNow, Inc.(1) | 8,733 | 1,554,911 | ||||||
Skyworks Solutions, Inc. | 189,645 | 12,710,008 |
SolarWinds Corp.(1) | 1,198 | 16,568 | ||||||
Splunk, Inc.(1) | 7,196 | 754,501 | ||||||
Square, Inc.(1) | 227,370 | 12,753,183 | ||||||
SS&C Technologies Holdings, Inc. | 9,418 | 424,846 | ||||||
Switch, Inc. | 1,727 | 12,089 | ||||||
Synopsys, Inc.(1) | 666 | 56,104 | ||||||
Tableau Software, Inc.(1) | 3,503 | 420,360 | ||||||
Teradata Corp.(1) | 4,006 | 153,670 | ||||||
Teradyne, Inc. | 1,452 | 45,564 | ||||||
Texas Instruments, Inc. | 47,099 | 4,450,856 | ||||||
The Western Union Co. | 6,036 | 102,974 | ||||||
Total System Services, Inc. | 8,878 | 721,693 | ||||||
Twilio, Inc.(1) | 3,563 | 318,176 | ||||||
Tyler Technologies, Inc.(1) | 1,823 | 338,750 | ||||||
Ubiquiti Networks, Inc. | 739 | 73,464 | ||||||
Ultimate Software Group, Inc.(1) | 1,454 | 356,041 | ||||||
Universal Display Corp. | 2,181 | 204,076 | ||||||
VeriSign, Inc.(1) | 5,086 | 754,203 | ||||||
Versum Materials, Inc. | 5,077 | 140,734 | ||||||
Visa, Inc. | 1,352,336 | 178,427,212 | ||||||
VMware, Inc.(1) | 3,485 | 477,898 | ||||||
WEX, Inc.(1) | 2,004 | 280,680 | ||||||
Workday, Inc.(1) | 223,751 | 35,728,560 | ||||||
Worldpay, Inc.(1) | 208,772 | 15,956,444 | ||||||
Xilinx, Inc. | 12,444 | 1,059,855 | ||||||
Zebra Technologies Corp.(1) | 2,555 | 406,833 | ||||||
Zendesk, Inc.(1) | 5,204 | 303,757 | ||||||
|
| |||||||
1,558,437,663 | ||||||||
|
| |||||||
Materials - 3.11% |
| |||||||
Avery Dennison Corp. | 4,203 | 377,555 | ||||||
Axalta Coating Systems Ltd.(1) | 4,073 | 95,390 | ||||||
Berry Global Group, Inc.(1) | 3,118 | 148,199 | ||||||
Celanese Corp. | 4,294 | 386,331 | ||||||
Chemours Co. | 8,623 | 243,341 | ||||||
Crown Holdings, Inc.(1) | 6,488 | 269,706 | ||||||
Eagle Materials, Inc. | 1,934 | 118,032 | ||||||
Ecolab, Inc. | 624,140 | 91,967,029 | ||||||
FMC Corp. | 2,577 | 190,595 | ||||||
Graphic Packaging Holding Co. | 2,552 | 27,153 | ||||||
International Flavors & Fragrances, Inc. | 2,400 | 322,248 | ||||||
International Paper Co. | 2,222 | 89,680 | ||||||
Linde Plc | 432,691 | 67,517,104 | ||||||
Lyondellbasell Industries NV | 7,565 | 629,105 | ||||||
Martin Marietta Materials, Inc. | 2,776 | 477,111 | ||||||
NewMarket Corp. | 350 | 144,231 | ||||||
Packaging Corp. of America | 4,639 | 387,171 | ||||||
Platform Specialty Products Corp.(1) | 5,220 | 53,923 | ||||||
PPG Industries, Inc. | 776 | 79,330 | ||||||
Royal Gold, Inc. | 1,263 | 108,176 | ||||||
RPM International, Inc. | 1,304 | 76,649 | ||||||
Scotts Miracle-Gro Co. | 935 | 57,465 | ||||||
Sealed Air Corp. | 4,295 | 149,638 |
Silgan Holdings, Inc. | 1,258 | 29,714 | ||||||
Southern Copper Corp. | 3,880 | 119,388 | ||||||
Steel Dynamics, Inc. | 1,637 | 49,175 | ||||||
The Sherwin-Williams Co. | 4,075 | 1,603,350 | ||||||
Vulcan Materials Co. | 150,725 | 14,891,630 | ||||||
W.R. Grace & Co. | 2,326 | 150,981 | ||||||
Westlake Chemical Corp. | 1,583 | 104,747 | ||||||
|
| |||||||
180,864,147 | ||||||||
|
| |||||||
Real Estate - 2.01% |
| |||||||
Alexandria Real Estate Equities, Inc. | 352 | 40,565 | ||||||
American Tower Corp. | 21,401 | 3,385,424 | ||||||
CBRE Group, Inc.(1) | 7,464 | 298,859 | ||||||
Colony Capital, Inc. | 3,149 | 14,737 | ||||||
CoreSite Realty Corp. | 1,761 | 153,612 | ||||||
Crown Castle International Corp. | 15,390 | 1,671,816 | ||||||
Equinix, Inc. | 219,581 | 77,415,477 | ||||||
Equity Lifestyle Properties, Inc. | 4,232 | 411,054 | ||||||
Extra Space Storage, Inc. | 5,196 | 470,134 | ||||||
Gaming and Leisure Properties, Inc. | 3,354 | 108,368 | ||||||
Hudson Pacific Properties, Inc. | 1,076 | 31,269 | ||||||
Lamar Advertising Co. | 3,634 | 251,400 | ||||||
Life Storage, Inc. | 196 | 18,226 | ||||||
Omega Healthcare Investors, Inc. | 738 | 25,941 | ||||||
Prologis, Inc. | 478,570 | 28,101,630 | ||||||
Public Storage | 7,277 | 1,472,938 | ||||||
SBA Communications Corp.(1) | 5,489 | 888,614 | ||||||
Simon Property Group, Inc. | 13,783 | 2,315,406 | ||||||
Taubman Centers, Inc. | 2,772 | 126,098 | ||||||
The Howard Hughes Corp.(1) | 728 | 71,067 | ||||||
|
| |||||||
117,272,635 | ||||||||
|
| |||||||
Total Common Stocks (Cost $4,967,004,703) |
| $ | 5,647,114,031 | |||||
|
| |||||||
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 - 2.78% |
| |||||||
Money Market Funds - 2.78% |
| |||||||
Goldman Sachs Financial Square Government Fund - Class I, 2.34%(3) | 80,794,904 | $ | 80,794,904 | |||||
JPMorgan U.S. Government Money Market Fund - Class I, 2.31%(3) | 80,794,905 | 80,794,905 | ||||||
|
| |||||||
Total Short-Term Investments (Cost $161,589,809) |
| $ | 161,589,809 | |||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES - 99.77% |
| $ | 5,808,703,840 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.23% |
| 13,175,692 | ||||||
|
| |||||||
TOTAL NET ASSETS - 100.00% |
| $ | 5,821,879,532 | |||||
|
|
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. The value of this security totals $0, which represents 0.00% of total net assets. |
(5) | 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 $5,146,866, which represents 0.09% of total 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 Financial Services LLC (“S&P”).
The accompanying notes are an integral part of these financial statements.
Bridge Builder Large Cap Value Fund
Schedule of Investments
December 31, 2018 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS - 95.64% |
| |||||||
Communication Services - 4.67% |
| |||||||
Alphabet, Inc. - Class C(1) | 80,761 | $ | 83,636,899 | |||||
AT&T, Inc. | 440,032 | 12,558,513 | ||||||
CBS Corp. | 1,022,972 | 44,724,336 | ||||||
CenturyLink, Inc. | 57,521 | 871,443 | ||||||
Charter Communications, Inc.(1) | 3,095 | 881,982 | ||||||
Cinemark Holdings, Inc. | 6,579 | 235,528 | ||||||
Comcast Corp. - Class A | 3,125,123 | 106,410,438 | ||||||
Discovery Communications, Inc. - Class A(1) | 9,295 | 229,958 | ||||||
Discovery Communications, Inc. - Class C(1) | 20,862 | 481,495 | ||||||
DISH Network Corp.(1) | 13,421 | 335,122 | ||||||
Facebook, Inc.(1) | 341,349 | 44,747,441 | ||||||
GCI Liberty, Inc.(1) | 358,421 | 14,752,608 | ||||||
Interpublic Group of Companies, Inc. | 20,544 | 423,823 | ||||||
John Wiley & Sons, Inc. | 2,751 | 129,215 | ||||||
Liberty Broadband Corp. - Class A(1) | 1,502 | 107,859 | ||||||
Liberty Broadband Corp. - Class C(1) | 6,410 | 461,712 | ||||||
Liberty Media Group LLC - Class A(1) | 1,332 | 39,587 | ||||||
Liberty Media Group LLC - Class C(1) | 11,869 | 364,378 | ||||||
Liberty SiriusXM Group - Class A(1) | 5,056 | 186,061 | ||||||
Liberty SiriusXM Group - Class C(1) | 9,859 | 364,586 | ||||||
Lions Gate Entertainment Corp. - Class A | 2,447 | 39,389 | ||||||
Lions Gate Entertainment Corp. - Class B | 5,778 | 85,969 | ||||||
News Corp. - Class A | 24,279 | 275,567 | ||||||
News Corp. - Class B | 7,329 | 84,650 | ||||||
Omnicom Group, Inc. | 4,463 | 326,870 | ||||||
Sprint Corp.(1) | 38,418 | 223,593 | ||||||
Take-Two Interactive Software, Inc.(1) | 2,881 | 296,570 | ||||||
Telephone & Data Systems, Inc. | 6,100 | 198,494 | ||||||
The Madison Square Garden Co.(1) | 1,002 | 268,235 | ||||||
T-Mobile U.S., Inc.(1) | 6,447 | 410,094 | ||||||
Tribune Media Co. | 5,157 | 234,025 | ||||||
Twenty-First Century Fox, Inc. - Class A | 63,079 | 3,035,362 | ||||||
Twenty-First Century Fox, Inc. - Class B | 29,560 | 1,412,377 | ||||||
United States Cellular Corp.(1) | 756 | 39,289 | ||||||
Verizon Communications, Inc. | 250,419 | 14,078,556 | ||||||
Viacom, Inc. - Class A | 447 | 12,431 | ||||||
Viacom, Inc. - Class B | 21,538 | 553,527 | ||||||
Walt Disney Co. | 25,588 | 2,805,724 | ||||||
Zillow Group, Inc. - Class A(1) | 823 | 25,867 | ||||||
Zillow Group, Inc. - Class C(1) | 2,230 | 70,423 | ||||||
Zynga, Inc.(1) | 47,755 | 187,677 | ||||||
|
| |||||||
336,607,673 | ||||||||
|
| |||||||
Consumer Discretionary - 10.80% |
| |||||||
Adient Plc | 5,568 | 83,854 | ||||||
Advance Auto Parts, Inc. | 297,190 | 46,795,537 | ||||||
Aptiv Plc | 2,126 | 130,898 | ||||||
Aramark | 809,984 | 23,465,236 | ||||||
AutoNation, Inc.(1) | 1,236,180 | 44,131,626 | ||||||
AutoZone, Inc.(1) | 195 | 163,476 | ||||||
Best Buy, Inc. | 10,675 | 565,348 | ||||||
Booking Holdings, Inc.(1) | 26,561 | 45,749,198 | ||||||
Borgwarner, Inc. | 12,476 | 433,416 | ||||||
Bright Horizons Family Solutions, Inc.(1) | 475 | 52,939 | ||||||
Brunswick Corp. | 4,646 | 215,807 | ||||||
Caesars Entertainment Corp.(1) | 34,825 | 236,462 | ||||||
CarMax, Inc.(1) | 4,067 | 255,123 | ||||||
Carnival Corp. | 24,369 | 1,201,392 | ||||||
Columbia Sportswear Co. | 1,578 | 132,694 |
D. R. Horton, Inc. | 8,495 | 294,437 | ||||||
Darden Restaurants, Inc. | 3,707 | 370,181 | ||||||
Dick’s Sporting Goods, Inc. | 4,449 | 138,809 | ||||||
Dollar General Corp. | 484,590 | 52,374,487 | ||||||
Dollar Tree, Inc.(1) | 11,826 | 1,068,124 | ||||||
eBay, Inc.(1) | 42,788 | 1,201,059 | ||||||
Extended Stay America, Inc. | 4,573 | 70,881 | ||||||
Foot Locker, Inc. | 6,828 | 363,250 | ||||||
Ford Motor Co. | 235,635 | 1,802,608 | ||||||
Gap, Inc. | 12,248 | 315,508 | ||||||
Garmin Ltd. | 6,883 | 435,832 | ||||||
Garrett Motion, Inc.(1) | 1,666 | 20,558 | ||||||
General Motors Co. | 79,259 | 2,651,214 | ||||||
Gentex Corp. | 5,766 | 116,531 | ||||||
Genuine Parts Co. | 8,646 | 830,189 | ||||||
Goodyear Tire & Rubber Co. | 14,262 | 291,087 | ||||||
Graham Holdings Co. | 264 | 169,113 | ||||||
H&R Block, Inc. | 10,112 | 256,541 | ||||||
Hanesbrands, Inc. | 935,212 | 11,718,206 | ||||||
Harley-Davidson, Inc. | 9,708 | 331,237 | ||||||
Hasbro, Inc. | 1,564 | 127,075 | ||||||
Hyatt Hotels Corp. | 2,501 | 169,068 | ||||||
International Game Technology Plc | 5,479 | 80,158 | ||||||
Kohl’s Corp. | 10,180 | 675,341 | ||||||
L Brands, Inc. | 10,990 | 282,113 | ||||||
Las Vegas Sands Corp. | 8,559 | 445,496 | ||||||
Lear Corp. | 3,498 | 429,764 | ||||||
Leggett & Platt, Inc. | 8,219 | 294,569 | ||||||
Lennar Corp. - Class A | 637,360 | 24,952,644 | ||||||
Lennar Corp. - Class B | 389 | 12,187 | ||||||
LKQ Corp.(1) | 15,961 | 378,755 | ||||||
Lowes Companies, Inc. | 474,635 | 43,837,289 | ||||||
Macy’s, Inc. | 18,611 | 554,236 | ||||||
Mattel, Inc.(1) | 15,985 | 159,690 | ||||||
McDonald’s Corp. | 508,897 | 90,364,840 | ||||||
MGM Resorts International | 721,529 | 17,504,294 | ||||||
Michael Kors Holdings Ltd.(1) | 3,918 | 148,571 | ||||||
Michelin | 534,458 | 52,605,143 | ||||||
Mohawk Industries, Inc.(1) | 3,824 | 447,255 | ||||||
Newell Brands, Inc. | 26,273 | 488,415 | ||||||
Nike, Inc. | 843,948 | 62,570,305 | ||||||
Norwegian Cruise Line Holdings Ltd.(1) | 751,274 | 31,846,505 | ||||||
O’Reilly Automotive, Inc.(1) | 58,427 | 20,118,169 | ||||||
Penske Automotive Group, Inc. | 2,086 | 84,107 | ||||||
Pulte Group, Inc. | 10,290 | 267,437 | ||||||
PVH Corp. | 4,629 | 430,266 | ||||||
Qurate Retail, Inc.(1) | 2,269,254 | 44,295,838 | ||||||
Ralph Lauren Corp. | 3,330 | 344,522 | ||||||
Royal Caribbean Cruises Ltd. | 362,970 | 35,494,836 | ||||||
Service Corp. International | 5,653 | 227,590 | ||||||
Skechers USA, Inc.(1) | 4,128 | 94,490 | ||||||
Starbucks Corp. | 366,251 | 23,586,564 | ||||||
Tapestry, Inc. | 13,990 | 472,162 | ||||||
Target Corp. | 31,877 | 2,106,751 | ||||||
The Michaels Companies, Inc.(1) | 4,919 | 66,603 | ||||||
Thor Industries, Inc. | 468 | 24,336 | ||||||
Tiffany & Co. | 6,036 | 485,958 | ||||||
TJX Companies, Inc. | 1,165,064 | 52,124,963 | ||||||
Toll Brothers, Inc. | 4,082 | 134,420 | ||||||
Under Armour, Inc. - Class A(1) | 2,637 | 46,596 | ||||||
Under Armour, Inc. - Class C(1) | 2,455 | 39,697 | ||||||
VF Corp. | 406,081 | 28,969,819 | ||||||
Visteon Corp.(1) | 583 | 35,143 | ||||||
Whirlpool Corp. | 3,884 | 415,083 | ||||||
Williams-Sonoma, Inc. | 3,837 | 193,577 | ||||||
Yum China Holdings, Inc. | 20,154 | 675,764 | ||||||
Yum! Brands, Inc. | 13,388 | 1,230,625 | ||||||
|
| |||||||
778,771,887 | ||||||||
|
|
Consumer Staples - 7.58% |
| |||||||
Altria Group, Inc. | 472,900 | 23,356,531 | ||||||
Archer-Daniels-Midland Co. | 33,777 | 1,383,844 | ||||||
Bunge Ltd. | 8,663 | 462,951 | ||||||
Campbell Soup Co. | 3,237 | 106,789 | ||||||
Casey’s General Stores, Inc. | 2,227 | 285,368 | ||||||
Church & Dwight Co., Inc. | 2,189 | 143,949 | ||||||
Clorox Co. | 984 | 151,674 | ||||||
Coca Cola Co. | 1,750,664 | 82,893,940 | ||||||
Coca-Cola European Partners Plc | 806,981 | 37,000,079 | ||||||
Colgate Palmolive Co. | 1,086,300 | 64,656,576 | ||||||
Conagra Brands, Inc. | 28,999 | 619,408 | ||||||
Costco Wholesale Corp. | 261,088 | 53,186,237 | ||||||
Coty, Inc. | 27,432 | 179,954 | ||||||
CVS Health Corp. | 654,037 | 42,852,486 | ||||||
Diageo Plc - ADR | 391,056 | 55,451,741 | ||||||
Energizer Holdings, Inc. | 1,746 | 78,832 | ||||||
Flowers Foods, Inc. | 10,825 | 199,938 | ||||||
General Mills, Inc. | 34,034 | 1,325,284 | ||||||
Herbalife Ltd.(1) | 5,374 | 316,797 | ||||||
Hormel Foods Corp. | 16,356 | 698,074 | ||||||
Ingredion, Inc. | 4,276 | 390,826 | ||||||
Kellogg Co. | 7,651 | 436,184 | ||||||
Kimberly-Clark Corp. | 2,740 | 312,196 | ||||||
Kraft Heinz Co. | 36,485 | 1,570,314 | ||||||
Kroger Co. | 47,761 | 1,313,428 | ||||||
Lamb Weston Holdings, Inc. | 8,840 | 650,270 | ||||||
McCormick & Co., Inc. | 6,927 | 964,515 | ||||||
Molson Coors Brewing Co. | 10,577 | 594,004 | ||||||
Mondelez International, Inc. | 86,396 | 3,458,432 | ||||||
Nu Skin Enterprises, Inc. | 2,328 | 142,776 | ||||||
PepsiCo, Inc. | 673,946 | 74,457,554 | ||||||
Philip Morris International, Inc. | 428,482 | 28,605,458 | ||||||
Pilgrim’s Pride Corp.(1) | 2,838 | 44,017 | ||||||
Post Holdings, Inc.(1) | 1,734 | 154,551 | ||||||
Procter & Gamble Co. | 591,063 | 54,330,511 | ||||||
Seaboard Corp. | 15 | 53,070 | ||||||
Spectrum Brands Holdings, Inc. | 1,309 | 55,305 | ||||||
The Hain Celestial Group, Inc.(1) | 5,930 | 94,050 | ||||||
The Hershey Co. | 744 | 79,742 | ||||||
The J. M. Smucker Co. | 6,675 | 624,046 | ||||||
TreeHouse Foods, Inc.(1) | 3,427 | 173,783 | ||||||
Tyson Foods, Inc. | 17,626 | 941,228 | ||||||
U.S. Foods Holding Corp.(1) | 12,250 | 387,590 | ||||||
Walgreens Boots Alliance, Inc. | 49,013 | 3,349,058 | ||||||
Walmart, Inc. | 86,364 | 8,044,807 | ||||||
|
| |||||||
546,578,167 | ||||||||
|
| |||||||
Energy - 7.51% |
| |||||||
Anadarko Petroleum Corp. | 20,167 | 884,121 | ||||||
Antero Resources Corp.(1) | 6,639 | 62,340 | ||||||
Apache Corp. | 833,779 | 21,886,699 | ||||||
Apergy Corp.(1) | 4,765 | 129,036 | ||||||
Baker Hughes a GE Co. | 30,746 | 661,039 | ||||||
BP Plc - ADR | 989,166 | 37,509,175 | ||||||
Cabot Oil & Gas Corp. | 6,776 | 151,444 | ||||||
Centennial Resource Development, Inc.(1) | 10,660 | 117,473 | ||||||
Cheniere Energy, Inc.(1) | 4,149 | 245,579 | ||||||
Chesapeake Energy Corp.(1) | 53,935 | 113,264 | ||||||
Chevron Corp. | 464,725 | 50,557,433 | ||||||
Cimarex Energy Co. | 4,902 | 302,208 | ||||||
CNX Resources Corp.(1) | 13,134 | 149,990 | ||||||
Concho Resources, Inc.(1) | 10,236 | 1,052,159 | ||||||
ConocoPhillips | 659,923 | 41,146,199 | ||||||
Continental Resources, Inc.(1) | 2,794 | 112,291 | ||||||
Devon Energy Corp. | 1,098,187 | 24,753,135 | ||||||
Diamondback Energy, Inc. | 7,923 | 734,462 |
EOG Resources, Inc. | 352,282 | 30,722,513 | ||||||
EQT Corp. | 15,564 | 294,004 | ||||||
Equitrans Midstream Corp.(1) | 12,451 | 249,269 | ||||||
Extraction Oil & Gas, Inc.(1) | 5,932 | 25,448 | ||||||
Exxon Mobil Corp. | 694,084 | 47,329,588 | ||||||
Helmerich & Payne, Inc. | 6,415 | 307,535 | ||||||
Hess Corp. | 1,288,921 | 52,201,301 | ||||||
HollyFrontier Corp. | 9,751 | 498,471 | ||||||
Kinder Morgan, Inc. | 114,682 | 1,763,809 | ||||||
Kosmos Energy Ltd.(1) | 4,670,636 | 19,009,489 | ||||||
Marathon Oil Corp. | 50,120 | 718,721 | ||||||
Marathon Petroleum Corp. | 40,470 | 2,388,135 | ||||||
Murphy Oil Corp. | 9,722 | 227,398 | ||||||
Nabors Industries Ltd. | 21,414 | 42,828 | ||||||
National Oilwell Varco, Inc. | 23,141 | 594,724 | ||||||
Newfield Exploration Co.(1) | 7,700 | 112,882 | ||||||
Noble Energy, Inc. | 28,896 | 542,089 | ||||||
Occidental Petroleum Corp. | 1,076,535 | 66,077,718 | ||||||
ONEOK, Inc. | 14,525 | 783,624 | ||||||
Parsley Energy, Inc.(1) | 1,337,180 | 21,368,136 | ||||||
Patterson-UTI Energy, Inc. | 12,871 | 133,215 | ||||||
PBF Energy, Inc. | 6,993 | 228,461 | ||||||
Phillips 66 | 444,089 | 38,258,267 | ||||||
Pioneer Natural Resources Co. | 4,595 | 604,334 | ||||||
QEP Resources, Inc.(1) | 13,903 | 78,274 | ||||||
Range Resources Corp. | 12,990 | 124,314 | ||||||
RPC, Inc. | 1,929 | 19,039 | ||||||
Schlumberger Ltd. | 349,234 | 12,600,363 | ||||||
SM Energy Co. | 6,915 | 107,044 | ||||||
Targa Resources Corp. | 13,617 | 490,484 | ||||||
The Williams Companies, Inc. | 73,550 | 1,621,778 | ||||||
Transocean Ltd.(1) | 32,145 | 223,086 | ||||||
Valero Energy Corp. | 468,182 | 35,099,605 | ||||||
Vermilion Energy, Inc. | 1,217,526 | 25,653,273 | ||||||
Weatherford International Plc(1) | 61,299 | 34,266 | ||||||
Whiting Petroleum Corp.(1) | 5,304 | 120,348 | ||||||
WPX Energy, Inc.(1) | 24,332 | 276,168 | ||||||
|
| |||||||
541,498,048 | ||||||||
|
| |||||||
Financials - 17.80% |
| |||||||
Affiliated Managers Group, Inc. | 3,302 | 321,747 | ||||||
Aflac, Inc. | 46,238 | 2,106,603 | ||||||
AGNC Investment Corp. | 30,865 | 541,372 | ||||||
Alleghany Corp. | 780 | 486,190 | ||||||
Allstate Corp. | 20,959 | 1,731,842 | ||||||
Ally Financial, Inc. | 25,793 | 584,469 | ||||||
American Express Co. | 996,296 | 94,966,935 | ||||||
American Financial Group, Inc. | 4,401 | 398,423 | ||||||
American International Group, Inc. | 874,330 | 34,457,345 | ||||||
American National Insurance Co. | 397 | 50,514 | ||||||
Ameriprise Financial, Inc. | 7,072 | 738,105 | ||||||
Annaly Capital Management, Inc. | 78,908 | 774,877 | ||||||
Arch Capital Group Ltd.(1) | 19,430 | 519,170 | ||||||
Arthur J. Gallagher & Co. | 10,907 | 803,846 | ||||||
Aspen Insurance Holdings Ltd. | 3,478 | 146,041 | ||||||
Associated Banc Corp. | 9,993 | 197,761 | ||||||
Assurant, Inc. | 3,264 | 291,932 | ||||||
Assured Guaranty Ltd. | 6,518 | 249,509 | ||||||
Athene Holding Ltd.(1) | 9,599 | 382,328 | ||||||
AXA Equitable Holdings, Inc. | 11,465 | 190,663 | ||||||
Axis Capital Holdings Ltd. | 4,351 | 224,686 | ||||||
Bank of America Corp. | 553,773 | 13,644,967 | ||||||
Bank of Hawaii Corp. | 2,600 | 175,032 | ||||||
Bank of New York Mellon Corp. | 889,570 | 41,872,060 | ||||||
Bank OZK | 7,259 | 165,723 | ||||||
BankUnited, Inc. | 6,175 | 184,879 | ||||||
BB&T Corp. | 46,406 | 2,010,308 | ||||||
Berkshire Hathaway, Inc.(1) | 735,039 | 150,080,263 |
BGC Partners, Inc. | 16,315 | 84,349 | ||||||
BlackRock, Inc. | 109,324 | 42,944,654 | ||||||
BOK Financial Corp. | 1,526 | 111,902 | ||||||
Brighthouse Financial, Inc.(1) | 7,033 | 214,366 | ||||||
Brown & Brown, Inc. | 13,231 | 364,646 | ||||||
Capital One Financial Corp. | 26,619 | 2,012,130 | ||||||
CBOE Holdings, Inc. | 479 | 46,861 | ||||||
Chimera Investment Corp. | 11,246 | 200,404 | ||||||
Chubb Ltd. | 878,648 | 113,503,749 | ||||||
Cincinnati Financial Corp. | 9,383 | 726,432 | ||||||
CIT Group, Inc. | 6,664 | 255,031 | ||||||
Citigroup, Inc. | 1,267,056 | 65,962,935 | ||||||
Citizens Financial Group, Inc. | 28,266 | 840,348 | ||||||
CME Group, Inc. | 18,900 | 3,555,468 | ||||||
CNA Financial Corp. | 1,707 | 75,364 | ||||||
Comerica, Inc. | 9,213 | 632,841 | ||||||
Commerce Bancshares, Inc. | 6,021 | 339,429 | ||||||
Credit Acceptance Corp.(1) | 44 | 16,797 | ||||||
Cullen/Frost Bankers, Inc. | 3,453 | 303,657 | ||||||
Discover Financial Services | 10,992 | 648,308 | ||||||
E*TRADE Financial Corp. | 660,298 | 28,973,876 | ||||||
East West Bancorp, Inc. | 8,051 | 350,460 | ||||||
Erie Indemnity Co. | 313 | 41,726 | ||||||
Everest Re Group Ltd. | 1,480 | 322,285 | ||||||
F.N.B. Corp. | 19,020 | 187,157 | ||||||
Fifth Third Bancorp | 39,621 | 932,282 | ||||||
First American Financial Corp. | 6,233 | 278,241 | ||||||
First Citizens Bancshares, Inc. | 477 | 179,853 | ||||||
First Hawaiian, Inc. | 6,932 | 156,039 | ||||||
First Horizon National Corp. | 18,998 | 250,014 | ||||||
First Republic Bank | 9,859 | 856,747 | ||||||
FNF Group | 567,264 | 17,834,780 | ||||||
Franklin Resources, Inc. | 18,569 | 550,757 | ||||||
Hanover Insurance Group, Inc. | 2,548 | 297,530 | ||||||
Harford Financial Services Group, Inc. | 21,585 | 959,453 | ||||||
Huntington Bancshares, Inc. | 64,553 | 769,472 | ||||||
Interactive Brokers Group, Inc. | 339 | 18,526 | ||||||
Intercontinental Exchange, Inc. | 16,413 | 1,236,391 | ||||||
Invesco Ltd. | 24,520 | 410,465 | ||||||
Jefferies Financial Group, Inc. | 1,535,859 | 26,662,512 | ||||||
JPMorgan Chase & Co. | 673,546 | 65,751,560 | ||||||
KeyCorp | 1,918,006 | 28,348,129 | ||||||
Lazard Ltd. | 494 | 18,234 | ||||||
Legg Mason, Inc. | 5,227 | 133,341 | ||||||
Lincoln National Corp. | 13,145 | 674,470 | ||||||
Loews Corp. | 16,824 | 765,828 | ||||||
M&T Bank Corp. | 8,459 | 1,210,737 | ||||||
Markel Corp.(1) | 751 | 779,576 | ||||||
Marsh & McLennan Companies, Inc. | 682,366 | 54,418,688 | ||||||
Mercury General Corp. | 1,797 | 92,923 | ||||||
MetLife, Inc. | 51,127 | 2,099,275 | ||||||
MFA Financial, Inc. | 26,783 | 178,910 | ||||||
Morgan Stanley | 73,390 | 2,909,913 | ||||||
Nasdaq OMX Group, Inc. | 6,984 | 569,685 | ||||||
Navient Corp. | 2,066,713 | 18,207,742 | ||||||
New Residential Investment Corp. | 21,704 | 308,414 | ||||||
New York Community Bancorp, Inc. | 2,794,361 | 26,294,937 | ||||||
Northern Trust Corp. | 8,885 | 742,697 | ||||||
Oaktree Capital Group LLC | 1,115,219 | 44,329,955 | ||||||
Old Republic International Corp. | 17,171 | 353,207 | ||||||
OneMain Holdings, Inc.(1) | 4,535 | 110,155 | ||||||
PacWest Bancorp | 7,220 | 240,282 | ||||||
People’s United Financial, Inc. | 22,379 | 322,929 | ||||||
Pinnacle Financial Partners, Inc. | 2,507 | 115,573 | ||||||
PNC Financial Services Group, Inc. | 451,458 | 52,779,955 | ||||||
Popular, Inc. | 5,856 | 276,520 | ||||||
Principal Financial Group, Inc. | 17,009 | 751,288 |
Prosperity Bancshares, Inc. | 3,959 | 246,646 | ||||||
Prudential Financial, Inc. | 24,982 | 2,037,282 | ||||||
Raymond James Financial, Inc. | 5,507 | 409,776 | ||||||
Regions Financial Corp. | 62,706 | 839,006 | ||||||
Reinsurance Group of America, Inc. | 3,744 | 525,021 | ||||||
RenaissanceRe Holdings Ltd. | 2,144 | 286,653 | ||||||
Santander Consumer USA Holdings, Inc. | 5,925 | 104,221 | ||||||
Signature Bank | 1,290 | 132,625 | ||||||
SLM Corp.(1) | 4,134,311 | 34,356,124 | ||||||
Starwood Property Trust, Inc. | 16,353 | 322,318 | ||||||
State Street Corp. | 529,035 | 33,366,237 | ||||||
Sterling Bancorp | 13,152 | 217,139 | ||||||
SunTrust Banks, Inc. | 347,235 | 17,514,533 | ||||||
SVB Financial Group(1) | 733 | 139,211 | ||||||
Synchrony Financial | 1,907,933 | 44,760,108 | ||||||
Synovus Financial Corp. | 6,497 | 207,839 | ||||||
T. Rowe Price Group, Inc. | 974 | 89,920 | ||||||
TCF Financial Corp. | 10,053 | 195,933 | ||||||
Texas Capital Bancshares, Inc.(1) | 971 | 49,608 | ||||||
TFS Financial Corp. | 2,652 | 42,777 | ||||||
The Goldman Sachs Group, Inc. | 251,174 | 41,958,617 | ||||||
Torchmark Corp. | 6,210 | 462,831 | ||||||
Travelers Companies, Inc. | 12,963 | 1,552,319 | ||||||
Two Harbors Investment Corp. | 15,856 | 203,591 | ||||||
U.S. Bancorp | 91,568 | 4,184,658 | ||||||
Umpqua Holdings Corp. | 12,919 | 205,412 | ||||||
Unum Group | 12,512 | 367,603 | ||||||
Voya Financial, Inc. | 8,727 | 350,302 | ||||||
W.R. Berkley Corp. | 5,742 | 424,391 | ||||||
Webster Financial Corp. | 5,718 | 281,840 | ||||||
Wells Fargo & Co. | 1,966,319 | 90,607,980 | ||||||
Western Alliance Bancorp(1) | 2,463 | 97,264 | ||||||
White Mountains Insurance Group Ltd. | 192 | 164,676 | ||||||
Willis Towers Watson Plc | 268,213 | 40,730,826 | ||||||
Wintrust Financial Corp. | 3,559 | 236,638 | ||||||
Zions Bancorp | 11,464 | 467,043 | ||||||
|
| |||||||
1,283,329,718 | ||||||||
|
| |||||||
Healthcare - 13.40% |
| |||||||
Abbott Laboratories | 103,567 | 7,491,001 | ||||||
Acadia Healthcare Co., Inc.(1) | 5,305 | 136,392 | ||||||
Agilent Technologies, Inc. | 19,373 | 1,306,903 | ||||||
Agios Pharmaceuticals, Inc.(1) | 176 | 8,115 | ||||||
Alexion Pharmaceuticals, Inc.(1) | 2,153 | 209,616 | ||||||
Allergan Plc | 322,373 | 43,088,375 | ||||||
Alnylam Pharmaceuticals, Inc.(1) | 571 | 41,632 | ||||||
Amgen, Inc. | 178,526 | 34,753,656 | ||||||
Anthem, Inc. | 206,175 | 54,147,740 | ||||||
Baxter International, Inc. | 838,122 | 55,165,190 | ||||||
Becton Dickinson and Co. | 14,573 | 3,283,588 | ||||||
Biogen, Inc.(1) | 617 | 185,668 | ||||||
Bio-Rad Laboratories, Inc.(1) | 1,309 | 303,976 | ||||||
Bluebird Bio, Inc.(1) | 999 | 99,101 | ||||||
Boston Scientific Corp.(1) | 19,401 | 685,631 | ||||||
Bristol Myers Squibb Co. | 46,331 | 2,408,285 | ||||||
Bruker Corp. | 3,526 | 104,969 | ||||||
Cardinal Health, Inc. | 716,469 | 31,954,517 | ||||||
Catalent, Inc.(1) | 6,636 | 206,911 | ||||||
Centene Corp.(1) | 1,433 | 165,225 | ||||||
Cerner Corp.(1) | 10,668 | 559,430 | ||||||
Charles River Laboratories International, Inc.(1) | 788 | 89,186 | ||||||
Cigna Corp. | 293,232 | 55,690,563 | ||||||
Danaher Corp. | 613,964 | 63,311,968 | ||||||
DaVita, Inc.(1) | 3,664 | 188,549 | ||||||
Dentsply Sirona, Inc. | 13,061 | 486,000 | ||||||
Elanco Animal Health, Inc.(1) | 2,346 | 73,969 | ||||||
Eli Lilly & Co. | 21,815 | 2,524,432 | ||||||
Gilead Sciences, Inc. | 19,978 | 1,249,624 |
HCA Healthcare, Inc. | 4,739 | 589,769 | ||||||
Henry Schein, Inc.(1) | 7,906 | 620,779 | ||||||
Hill-Rom Holdings, Inc. | 1,367 | 121,048 | ||||||
Hologic, Inc.(1) | 16,548 | 680,123 | ||||||
Humana, Inc. | 413 | 118,316 | ||||||
Integra LifeSciences Holdings Corp.(1) | 878 | 39,598 | ||||||
IQVIA Holdings, Inc.(1) | 9,790 | 1,137,304 | ||||||
Jazz Pharmaceuticals Plc(1) | 255 | 31,610 | ||||||
Johnson & Johnson | 655,632 | 84,609,310 | ||||||
Laboratory Corp. of America Holdings(1) | 5,788 | 731,372 | ||||||
McKesson Corp. | 10,295 | 1,137,289 | ||||||
MEDNAX, Inc.(1) | 5,515 | 181,995 | ||||||
Medtronic Plc | 1,750,865 | 159,258,680 | ||||||
Merck & Co., Inc. | 1,037,740 | 79,293,713 | ||||||
Molina Healthcare, Inc.(1) | 561 | 65,199 | ||||||
Mylan(1) | 30,962 | 848,359 | ||||||
PerkinElmer, Inc. | 6,573 | 516,309 | ||||||
Perrigo Co. Plc | 7,678 | 297,523 | ||||||
Pfizer, Inc. | 1,384,246 | 60,422,338 | ||||||
Premier, Inc.(1) | 1,928 | 72,011 | ||||||
QIAGEN NV(1) | 13,251 | 456,497 | ||||||
Quest Diagnostics, Inc. | 8,279 | 689,392 | ||||||
Sanofi - ADR | 2,063,583 | 89,580,138 | ||||||
STERIS Plc | 5,060 | 540,661 | ||||||
Teleflex, Inc. | 2,230 | 576,410 | ||||||
Teva Pharmaceutical Industries Ltd. - ADR(1) | 899,046 | 13,863,289 | ||||||
The Cooper Companies, Inc. | 2,484 | 632,178 | ||||||
Thermo Fisher Scientific, Inc. | 22,838 | 5,110,916 | ||||||
United Therapeutics Corp.(1) | 2,669 | 290,654 | ||||||
UnitedHealth Group, Inc. | 406,911 | 101,369,668 | ||||||
Universal Health Services, Inc. | 5,055 | 589,211 | ||||||
Waters Corp.(1) | 301 | 56,784 | ||||||
WellCare Health Plans, Inc.(1) | 200 | 47,218 | ||||||
West Pharmaceutical Services, Inc. | 3,437 | 336,929 | ||||||
Zimmer Holdings, Inc. | 12,357 | 1,281,668 | ||||||
|
| |||||||
966,114,470 | ||||||||
|
| |||||||
Industrials - 12.26% |
| |||||||
3M Co. | 240,759 | 45,874,220 | ||||||
Acuity Brands, Inc. | 2,370 | 272,431 | ||||||
ADT, Inc. | 5,960 | 35,820 | ||||||
AECOM(1) | 9,386 | 248,729 | ||||||
AGCO Corp. | 3,975 | 221,288 | ||||||
Air Lease Corp. | 1,710,741 | 51,681,486 | ||||||
Alaska Air Group, Inc. | 7,204 | 438,363 | ||||||
Allegion Plc | 1,131 | 90,152 | ||||||
AMERCO | 101,391 | 33,267,401 | ||||||
American Airlines Group, Inc. | 24,880 | 798,897 | ||||||
AMETEK, Inc. | 11,265 | 762,641 | ||||||
Arconic, Inc. | 26,154 | 440,956 | ||||||
Arcosa, Inc.(1) | 2,849 | 78,889 | ||||||
Canadian National Railway Co. | 688,025 | 50,989,533 | ||||||
Carlisle Companies, Inc. | 3,529 | 354,735 | ||||||
Caterpillar, Inc. | 2,755 | 350,078 | ||||||
Clean Harbors, Inc.(1) | 3,174 | 156,637 | ||||||
Colfax Corp.(1) | 5,052 | 105,587 | ||||||
Copa Holdings SA | 1,943 | 152,934 | ||||||
Crane Co. | 2,982 | 215,241 | ||||||
CSX Corp. | 25,816 | 1,603,948 | ||||||
Cummins, Inc. | 5,761 | 769,900 | ||||||
Curtiss-Wright Corp. | 2,392 | 244,271 | ||||||
Delta Air Lines, Inc. | 28,900 | 1,442,110 | ||||||
Donaldson Co., Inc. | 388 | 16,835 | ||||||
Dover Corp. | 8,826 | 626,205 | ||||||
Dun & Bradstreet Corp. | 1,233 | 175,998 | ||||||
Eaton Corp. Plc | 26,393 | 1,812,143 | ||||||
Emerson Electric Co. | 11,012 | 657,967 | ||||||
Equifax, Inc. | 5,216 | 485,766 |
FedEx Corp. | 293,611 | 47,368,263 | ||||||
Flowserve Corp. | 8,033 | 305,415 | ||||||
Fluor Corp. | 8,475 | 272,895 | ||||||
Fortive Corp. | 1,486 | 100,543 | ||||||
Fortune Brands Home & Security, Inc. | 4,889 | 185,733 | ||||||
Gardner Denver Holdings, Inc.(1) | 5,128 | 104,868 | ||||||
Gates Industrial Corp. Plc(1) | 2,382 | 31,538 | ||||||
General Dynamics Corp. | 344,455 | 54,151,771 | ||||||
General Electric Co. | 4,737,516 | 35,862,996 | ||||||
Genesee & Wyoming, Inc.(1) | 2,837 | 209,995 | ||||||
GrafTech International Ltd. | 3,363 | 38,473 | ||||||
HD Supply Holdings, Inc.(1) | 7,858 | 294,832 | ||||||
Hexcel Corp. | 4,150 | 237,961 | ||||||
Honeywell International, Inc. | 351,785 | 46,477,834 | ||||||
Hubbell, Inc. | 1,038 | 103,115 | ||||||
Huntington Ingalls Industries, Inc. | 337 | 64,134 | ||||||
IDEX Corp. | 269 | 33,964 | ||||||
IHS Markit Ltd.(1) | 23,167 | 1,111,321 | ||||||
Ingersoll-Rand Plc | 6,799 | 620,273 | ||||||
ITT, Inc. | 5,345 | 258,003 | ||||||
Jacobs Engineering Group, Inc. | 623,219 | 36,433,383 | ||||||
JetBlue Airways Corp.(1) | 18,352 | 294,733 | ||||||
Johnson Controls International Plc | 942,874 | 27,956,204 | ||||||
Kansas City Southern | 6,234 | 595,035 | ||||||
KAR Auction Services, Inc. | 462 | 22,047 | ||||||
Kirby Corp.(1) | 3,564 | 240,071 | ||||||
Knight-Swift Transportation Holdings, Inc. | 7,669 | 192,262 | ||||||
L3 Technologies, Inc. | 4,716 | 818,981 | ||||||
Lennox International, Inc. | 121 | 26,482 | ||||||
Lockheed Martin Corp. | 177,626 | 46,509,592 | ||||||
Macquarie Infrastructure Corp. | 4,805 | 175,671 | ||||||
ManpowerGroup, Inc. | 3,820 | 247,536 | ||||||
Masco Corp. | 5,781 | 169,036 | ||||||
MSC Industrial Direct Co., Inc. | 1,445 | 111,149 | ||||||
Nielsen Holdings Plc | 1,073,329 | 25,040,766 | ||||||
Nordson Corp. | 205 | 24,467 | ||||||
Norfolk Southern Corp. | 16,452 | 2,460,232 | ||||||
Northrop Grumman Corp. | 171,427 | 41,982,472 | ||||||
nVent Electric Plc | 9,455 | 212,359 | ||||||
Oshkosh Corp. | 4,279 | 262,345 | ||||||
Owens Corning | 638,690 | 28,089,586 | ||||||
PACCAR, Inc. | 20,761 | 1,186,284 | ||||||
Parker-Hannifin Corp. | 6,528 | 973,586 | ||||||
Pentair Plc | 9,628 | 363,746 | ||||||
Quanta Services, Inc.(1) | 6,468 | 194,687 | ||||||
Regal-Beloit Corp. | 2,543 | 178,137 | ||||||
Republic Services, Inc. | 12,372 | 891,897 | ||||||
Resideo Technologies, Inc.(1) | 2,805 | 57,643 | ||||||
Roper Technologies, Inc. | 4,987 | 1,329,135 | ||||||
Ryder System, Inc. | 3,127 | 150,565 | ||||||
Schneider National, Inc. | 2,128 | 39,730 | ||||||
Sensata Technologies Holding Plc(1) | 4,646 | 208,327 | ||||||
Snap-on, Inc. | 3,355 | 487,448 | ||||||
Southwest Airlines Co. | 8,953 | 416,135 | ||||||
Spirit AeroSystems Holdings, Inc. | 468,672 | 33,786,564 | ||||||
Stanley Black & Decker, Inc. | 313,677 | 37,559,684 | ||||||
Stericycle, Inc.(1) | 4,804 | 176,259 | ||||||
Teledyne Technologies, Inc.(1) | 2,160 | 447,271 | ||||||
Terex Corp. | 3,881 | 106,999 | ||||||
Textron, Inc. | 12,122 | 557,491 | ||||||
The Middleby Corp.(1) | 1,332 | 136,836 | ||||||
The Timken Co. | 4,209 | 157,080 | ||||||
Trinity Industries, Inc. | 8,547 | 175,983 | ||||||
Union Pacific Corp. | 430,589 | 59,520,317 | ||||||
United Continental Holdings, Inc.(1) | 14,791 | 1,238,450 | ||||||
United Parcel Service, Inc. | 455,401 | 44,415,260 | ||||||
United Technologies Corp. | 648,717 | 69,075,423 |
Univar, Inc.(1) | 5,769 | 102,342 | ||||||
USG Corp. | 4,955 | 211,380 | ||||||
Valmont Industries, Inc. | 1,355 | 150,337 | ||||||
Wabtec Corp. | 499,384 | 35,081,726 | ||||||
Waste Management, Inc. | 3,854 | 342,967 | ||||||
Watsco, Inc. | 463 | 64,422 | ||||||
WESCO International, Inc.(1) | 2,965 | 142,320 | ||||||
Xylem, Inc. | 4,778 | 318,788 | ||||||
|
| |||||||
884,314,716 | ||||||||
|
| |||||||
Information Technology - 10.54% |
| |||||||
Accenture Plc | 368,763 | 51,999,271 | ||||||
Akamai Technologies, Inc.(1) | 561 | 34,266 | ||||||
Amdocs Ltd. | 8,637 | 505,956 | ||||||
Analog Devices, Inc. | 18,824 | 1,615,664 | ||||||
Apple, Inc. | 388,011 | 61,204,855 | ||||||
ARRIS International Plc(1) | 9,703 | 296,621 | ||||||
Arrow Electronics, Inc.(1) | 5,258 | 362,539 | ||||||
Aspen Technology, Inc.(1) | 207 | 17,011 | ||||||
Autodesk, Inc.(1) | 2,074 | 266,737 | ||||||
Automatic Data Processing, Inc. | 204,874 | 26,863,079 | ||||||
Avnet, Inc. | 6,854 | 247,429 | ||||||
Booz Allen Hamilton Holding Corp. | 388 | 17,487 | ||||||
Broadcom, Inc. | 208,687 | 53,064,930 | ||||||
Cisco Systems, Inc. | 1,476,245 | 63,965,696 | ||||||
Cognizant Technology Solutions - Class A | 3,378 | 214,435 | ||||||
Coherent, Inc.(1) | 376 | 39,747 | ||||||
CommScope Holding Co., Inc.(1) | 10,997 | 180,241 | ||||||
Conduent, Inc.(1) | 11,394 | 121,118 | ||||||
CoreLogic, Inc.(1) | 1,633 | 54,575 | ||||||
Corning, Inc. | 47,724 | 1,441,742 | ||||||
Cypress Semiconductor Corp. | 6,539 | 83,176 | ||||||
Dell Technologies, Inc. - Class C(1) | 7,226 | 353,119 | ||||||
Dolby Laboratories, Inc. | 3,668 | 226,829 | ||||||
DXC Technology Co. | 16,928 | 900,062 | ||||||
EchoStar Corp.(1) | 2,927 | 107,479 | ||||||
Euronet Worldwide, Inc.(1) | 1,556 | 159,303 | ||||||
Fidelity National Information Services, Inc. | 18,000 | 1,845,900 | ||||||
FireEye, Inc.(1) | 4,348 | 70,481 | ||||||
First Solar, Inc.(1) | 4,865 | 206,544 | ||||||
FLIR Systems, Inc. | 7,395 | 321,978 | ||||||
Genpact Ltd. | 5,972 | 161,184 | ||||||
Hewlett Packard Enterprise Co. | 1,446,210 | 19,104,434 | ||||||
HP, Inc. | 95,829 | 1,960,661 | ||||||
Intel Corp. | 276,594 | 12,980,556 | ||||||
International Business Machines Corp. | 15,603 | 1,773,593 | ||||||
Jabil, Inc. | 9,871 | 244,702 | ||||||
Juniper Networks, Inc. | 20,628 | 555,100 | ||||||
Keysight Technologies, Inc.(1) | 11,390 | 707,091 | ||||||
Leidos Holdings, Inc. | 8,499 | 448,067 | ||||||
Littelfuse, Inc. | 218 | 37,383 | ||||||
LogMeIn, Inc. | 1,153 | 94,050 | ||||||
Marvell Technology Group Ltd. | 24,426 | 395,457 | ||||||
Microchip Technology, Inc. | 389,711 | 28,028,015 | ||||||
Micron Technology, Inc.(1) | 14,827 | 470,461 | ||||||
Microsoft Corp. | 1,028,321 | 104,446,564 | ||||||
Motorola Solutions, Inc. | 8,645 | 994,521 | ||||||
National Instruments Corp. | 1,114 | 50,553 | ||||||
NCR Corp.(1) | 1,126 | 25,988 | ||||||
Nuance Communications, Inc.(1) | 17,363 | 229,713 | ||||||
NXP Semiconductors NV | 729,329 | 53,445,229 | ||||||
Oracle Corp. | 1,962,413 | 88,602,947 | ||||||
Pluralsight, Inc. - Class A(1) | 270 | 6,359 | ||||||
Qorvo, Inc.(1) | 7,678 | 466,285 | ||||||
QUALCOMM, Inc. | 579,840 | 32,998,694 | ||||||
Sabre Corp. | 2,887 | 62,475 | ||||||
Samsung Electronic Co. Ltd. | 1,298,341 | 45,197,481 | ||||||
Skyworks Solutions, Inc. | 3,110 | 208,432 |
SS&C Technologies Holdings, Inc. | 763 | 34,419 | ||||||
Symantec Corp. | 38,294 | 723,565 | ||||||
Synopsys, Inc.(1) | 8,142 | 685,882 | ||||||
Teradata Corp.(1) | 2,506 | 96,130 | ||||||
Teradyne, Inc. | 9,179 | 288,037 | ||||||
Texas Instruments, Inc. | 323,881 | 30,606,755 | ||||||
The Western Union Co. | 19,577 | 333,984 | ||||||
Trimble, Inc.(1) | 15,074 | 496,085 | ||||||
Versum Materials, Inc. | 330,936 | 9,173,546 | ||||||
Visa, Inc. | 418,605 | 55,230,744 | ||||||
Western Digital Corp. | 17,712 | 654,813 | ||||||
Worldpay, Inc.(1) | 16,490 | 1,260,331 | ||||||
Xerox Corp. | 12,614 | 249,253 | ||||||
|
| |||||||
760,317,809 | ||||||||
|
| |||||||
Materials - 6.13% |
| |||||||
Air Products & Chemicals, Inc. | 284,018 | 45,457,081 | ||||||
Albemarle Corp. | 6,411 | 494,096 | ||||||
Alcoa Corp.(1) | 11,074 | 294,347 | ||||||
AptarGroup, Inc. | 3,757 | 353,421 | ||||||
Ardagh Group SA | 991 | 10,980 | ||||||
Ashland Global Holdings, Inc. | 3,766 | 267,235 | ||||||
Axalta Coating Systems Ltd.(1) | 7,772 | 182,020 | ||||||
Ball Corp. | 20,391 | 937,578 | ||||||
Bemis, Inc. | 5,325 | 244,417 | ||||||
Berry Global Group, Inc.(1) | 3,867 | 183,799 | ||||||
Cabot Corp. | 3,655 | 156,946 | ||||||
Celanese Corp. | 444,399 | 39,982,578 | ||||||
CF Industries Holdings, Inc. | 14,190 | 617,407 | ||||||
Domtar Corp. | 3,852 | 135,321 | ||||||
DowDuPont, Inc. | 1,686,475 | 90,192,683 | ||||||
Eagle Materials, Inc. | 306 | 18,675 | ||||||
Eastman Chemical Co. | 8,581 | 627,357 | ||||||
Ecolab, Inc. | 408,831 | 60,241,248 | ||||||
FMC Corp. | 4,806 | 355,452 | ||||||
Freeport-McMoRan, Inc. | 87,763 | 904,837 | ||||||
Graphic Packaging Holding Co. | 15,584 | 165,814 | ||||||
Huntsman Corp. | 13,184 | 254,319 | ||||||
International Flavors & Fragrances, Inc. | 3,245 | 435,706 | ||||||
International Paper Co. | 21,968 | 886,628 | ||||||
Linde Plc | 572,324 | 89,305,437 | ||||||
Lyondellbasell Industries NV | 718,846 | 59,779,233 | ||||||
Martin Marietta Materials, Inc. | 277 | 47,608 | ||||||
NewMarket Corp. | 13 | 5,357 | ||||||
Newmont Mining Corp. | 32,127 | 1,113,201 | ||||||
Nucor Corp. | 19,158 | 992,576 | ||||||
Nutrien Ltd. | 885,881 | 41,636,407 | ||||||
Olin Corp. | 9,814 | 197,360 | ||||||
Owens-Illinois, Inc.(1) | 9,377 | 161,659 | ||||||
Platform Specialty Products Corp.(1) | 6,261 | 64,676 | ||||||
PPG Industries, Inc. | 13,685 | 1,399,018 | ||||||
Reliance Steel & Aluminum Co. | 4,075 | 290,018 | ||||||
Royal Gold, Inc. | 2,366 | 202,648 | ||||||
RPM International, Inc. | 6,474 | 380,542 | ||||||
Scotts Miracle-Gro Co. | 1,234 | 75,842 | ||||||
Sealed Air Corp. | 4,470 | 155,735 | ||||||
Silgan Holdings, Inc. | 3,099 | 73,198 | ||||||
Sonoco Products Co. | 5,942 | 315,698 | ||||||
Steel Dynamics, Inc. | 11,059 | 332,212 | ||||||
The Mosaic Co. | 21,433 | 626,058 | ||||||
United States Steel Corp. | 10,655 | 194,347 | ||||||
Valvoline, Inc. | 11,620 | 224,847 | ||||||
Vulcan Materials Co. | 450 | 44,460 | ||||||
W.R. Grace & Co. | 912 | 59,198 | ||||||
Westlake Chemical Corp. | 150 | 9,925 | ||||||
WestRock Co. | 15,517 | 585,922 | ||||||
|
| |||||||
441,673,127 | ||||||||
|
|
Real Estate - 3.13% |
| |||||||
Alexandria Real Estate Equities, Inc. | 5,886 | 678,303 | ||||||
American Campus Communities, Inc. | 8,232 | 340,722 | ||||||
American Homes 4 Rent | 15,585 | 309,362 | ||||||
American Tower Corp. | 489,626 | 77,453,937 | ||||||
Apartment Investment & Management Co. | 9,596 | 421,072 | ||||||
Apple Hospitality REIT, Inc. | 12,756 | 181,901 | ||||||
AvalonBay Communities, Inc. | 8,349 | 1,453,143 | ||||||
Boston Properties, Inc. | 9,320 | 1,048,966 | ||||||
Brandywine Realty Trust | 10,338 | 133,050 | ||||||
Brixmor Property Group, Inc. | 18,229 | 267,784 | ||||||
Brookfield Property REIT, Inc. - Class A | 7,718 | 124,260 | ||||||
Camden Property Trust | 5,366 | 472,476 | ||||||
CBRE Group, Inc.(1) | 9,852 | 394,474 | ||||||
Colony Capital, Inc. | 28,895 | 135,229 | ||||||
Columbia Property Trust, Inc. | 7,444 | 144,041 | ||||||
Corporate Office Properties Trust | 6,076 | 127,778 | ||||||
Crown Castle International Corp. | 6,201 | 673,615 | ||||||
CubeSmart | 11,203 | 321,414 | ||||||
CyrusOne, Inc. | 6,478 | 342,557 | ||||||
Digital Realty Trust, Inc. | 12,431 | 1,324,523 | ||||||
Douglas Emmett, Inc. | 9,705 | 331,232 | ||||||
Duke Realty Corp. | 21,564 | 558,508 | ||||||
Empire State Realty Trust, Inc. | 8,056 | 114,637 | ||||||
EPR Properties | 4,407 | 282,180 | ||||||
Equity Commonwealth | 6,910 | 207,369 | ||||||
Equity Residential | 21,704 | 1,432,681 | ||||||
Essex Property Trust, Inc. | 3,960 | 971,032 | ||||||
Extra Space Storage, Inc. | 1,172 | 106,043 | ||||||
Federal Realty Investment Trust | 4,450 | 525,278 | ||||||
Gaming and Leisure Properties, Inc. | 7,634 | 246,655 | ||||||
HCP, Inc. | 28,497 | 795,921 | ||||||
Healthcare Trust of America, Inc. | 12,464 | 315,464 | ||||||
Highwoods Properties, Inc. | 6,167 | 238,601 | ||||||
Hospitality Properties Trust | 9,834 | 234,836 | ||||||
Host Hotels & Resorts, Inc. | 44,124 | 735,547 | ||||||
Hudson Pacific Properties, Inc. | 8,054 | 234,049 | ||||||
Invitation Homes, Inc. | 18,053 | 362,504 | ||||||
Iron Mountain, Inc. | 17,241 | 558,781 | ||||||
JBG SMITH Properties | 6,136 | 213,594 | ||||||
Jones Lang LaSalle, Inc. | 2,740 | 346,884 | ||||||
Kilroy Realty Corp. | 6,067 | 381,493 | ||||||
Kimco Realty Corp. | 24,574 | 360,009 | ||||||
Lamar Advertising Co. | 416 | 28,779 | ||||||
Liberty Property Trust | 635,823 | 26,628,267 | ||||||
Life Storage, Inc. | 2,563 | 238,333 | ||||||
Medical Properties Trust, Inc. | 21,928 | 352,602 | ||||||
MGM Growth Properties LLC - Class A | 986,362 | 26,049,820 | ||||||
Mid-America Apartment Communities, Inc. | 6,984 | 668,369 | ||||||
National Retail Properties, Inc. | 9,739 | 472,439 | ||||||
Omega Healthcare Investors, Inc. | 10,972 | 385,666 | ||||||
Outfront Media, Inc. | 8,162 | 147,895 | ||||||
Paramount Group, Inc. | 12,208 | 153,332 | ||||||
Park Hotels & Resorts, Inc. | 12,258 | 318,463 | ||||||
Prologis, Inc. | 37,842 | 2,222,082 | ||||||
Public Storage | 298,553 | 60,430,113 | ||||||
Rayonier, Inc. | 7,634 | 211,385 | ||||||
Realogy Holdings Corp. | 7,266 | 106,665 | ||||||
Realty Income Corp. | 17,916 | 1,129,425 | ||||||
Regency Centers Corp. | 9,335 | 547,778 | ||||||
Retail Properties of America, Inc. | 12,899 | 139,954 | ||||||
Retail Value, Inc. | 818 | 20,933 | ||||||
Senior Housing Properties Trust | 13,847 | 162,287 | ||||||
Simon Property Group, Inc. | 1,500 | 251,985 | ||||||
SITE Centers Corp. | 9,893 | 109,515 | ||||||
SL Green Realty Corp. | 5,139 | 406,392 | ||||||
Spirit Realty Capital, Inc. | 5,218 | 183,934 |
STORE Capital Corp. | 11,866 | 335,926 | ||||||
Sun Communities, Inc. | 5,281 | 537,131 | ||||||
The Howard Hughes Corp.(1) | 1,442 | 140,768 | ||||||
The Macerich Co. | 8,220 | 355,762 | ||||||
UDR, Inc. | 16,156 | 640,101 | ||||||
Uniti Group, Inc. | 10,054 | 156,541 | ||||||
Ventas, Inc. | 21,443 | 1,256,345 | ||||||
VEREIT, Inc. | 58,612 | 419,076 | ||||||
VICI Properties, Inc. | 24,232 | �� | 455,077 | |||||
Vornado Realty Trust | 10,422 | 646,477 | ||||||
W.P. Carey, Inc. | 9,721 | 635,170 | ||||||
Weingarten Realty Investors | 7,031 | 174,439 | ||||||
Welltower, Inc. | 22,512 | 1,562,558 | ||||||
Weyerhaeuser Co. | 45,251 | 989,187 | ||||||
|
| |||||||
225,572,876 | ||||||||
|
| |||||||
Utilities - 1.82% |
| |||||||
AES Corp. | 39,970 | 577,966 | ||||||
Alliant Energy Corp. | 14,218 | 600,710 | ||||||
Ameren Corp. | 14,747 | 961,947 | ||||||
American Electric Power Co., Inc. | 29,848 | 2,230,840 | ||||||
American Water Works Co., Inc. | 10,857 | 985,490 | ||||||
Aqua America, Inc. | 10,938 | 373,970 | ||||||
Atmos Energy Corp. | 6,635 | 615,197 | ||||||
Avangrid, Inc. | 3,542 | 177,419 | ||||||
CenterPoint Energy, Inc. | 30,110 | 850,005 | ||||||
CMS Energy Corp. | 17,105 | 849,263 | ||||||
Consolidated Edison, Inc. | 18,746 | 1,433,319 | ||||||
Dominion Energy, Inc. | 632,900 | 45,227,034 | ||||||
DTE Energy Co. | 10,935 | 1,206,130 | ||||||
Duke Energy Corp. | 43,156 | 3,724,363 | ||||||
Edison International | 19,131 | 1,086,067 | ||||||
Entergy Corp. | 10,845 | 933,429 | ||||||
Evergy, Inc. | 16,045 | 910,875 | ||||||
Eversource Energy | 19,150 | 1,245,516 | ||||||
Exelon Corp. | 1,002,557 | 45,215,321 | ||||||
FirstEnergy Corp. | 29,315 | 1,100,778 | ||||||
Hawaiian Electric Industries, Inc. | 6,370 | 233,269 | ||||||
MDU Resources Group, Inc. | 11,724 | 279,500 | ||||||
National Fuel Gas Co. | 4,837 | 247,558 | ||||||
NextEra Energy, Inc. | 28,897 | 5,022,877 | ||||||
NiSource, Inc. | 22,168 | 561,959 | ||||||
NRG Energy, Inc. | 17,469 | 691,772 | ||||||
OGE Energy Corp. | 12,199 | 478,079 | ||||||
PG&E Corp.(1) | 31,268 | 742,615 | ||||||
Pinnacle West Capital Corp. | 6,744 | 574,589 | ||||||
PPL Corp. | 43,409 | 1,229,777 | ||||||
Public Service Enterprise Group, Inc. | 30,558 | 1,590,544 | ||||||
SCANA Corp. | 8,614 | 411,577 | ||||||
Sempra Energy | 16,509 | 1,786,109 | ||||||
The Southern Co. | 62,321 | 2,737,138 | ||||||
UGI Corp. | 10,441 | 557,027 | ||||||
Vectren Corp. | 5,165 | 371,777 | ||||||
Vistra Energy Corp.(1) | 23,832 | 545,514 | ||||||
WEC Energy Group, Inc. | 19,087 | 1,321,966 | ||||||
Xcel Energy, Inc. | 30,767 | 1,515,890 | ||||||
|
| |||||||
131,205,176 | ||||||||
|
| |||||||
Total Common Stocks (Cost $6,895,897,110) |
| $ | 6,895,983,667 | |||||
|
| |||||||
SHORT-TERM INVESTMENTS - 4.04% |
| |||||||
Money Market Funds - 4.04% |
| |||||||
Goldman Sachs Financial Square Government Fund - Class I, 2.34%(2) | 145,720,969 | $ | 145,720,969 | |||||
JPMorgan U.S. Government Money Market Fund - Class I, 2.31%(2) | 145,720,968 | 145,720,968 | ||||||
|
| |||||||
Total Short-Term Investments (Cost $291,441,937) |
| $ | 291,441,937 | |||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES - 99.68% |
| $ | 7,187,425,604 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.32% |
| 23,123,092 | ||||||
|
| |||||||
TOTAL NET ASSETS - 100.00% |
| $ | 7,210,548,696 | |||||
|
|
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”).
The accompanying notes are an integral part of this Schedule of Investments.
Bridge Builder Small/Mid Cap Growth Fund
Schedule of Investments
December 31, 2018 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS - 97.59% |
| |||||||
Communication Services - 2.50% |
| |||||||
AMC Networks, Inc.(1) | 2,675 | $ | 146,804 | |||||
ANGI Homeservices, Inc.(1) | 204,080 | 3,279,566 | ||||||
Boingo Wireless, Inc.(1) | 13,434 | 276,337 | ||||||
Cable One, Inc. | 262 | 214,866 | ||||||
Cardlytics, Inc.(1) | 1,910 | 20,685 | ||||||
Care.com, Inc.(1) | 6,465 | 124,839 | ||||||
Cargurus, Inc.(1) | 16,506 | 556,747 | ||||||
CBS Corp. | 19,881 | 869,197 | ||||||
Central European Media Enterprises Ltd.(1) | 29,370 | 81,649 | ||||||
Cogent Communications Holdings, Inc. | 13,743 | 621,321 | ||||||
Electronic Arts, Inc.(1) | 25,604 | 2,020,412 | ||||||
Entravision Communications Corp. | 4,280 | 12,455 | ||||||
Eros International Plc(1) | 5,912 | 49,011 | ||||||
Glu Mobile, Inc.(1) | 36,647 | 295,741 | ||||||
Gogo, Inc.(1) | 19,300 | 57,707 | ||||||
Hemisphere Media Group, Inc.(1) | 2,975 | 36,117 | ||||||
IMAX Corp.(1) | 17,641 | 331,827 | ||||||
InterActiveCorp(1) | 4,554 | 833,564 | ||||||
Interpublic Group of Companies, Inc. | 2,334 | 48,150 | ||||||
John Wiley & Sons, Inc. | 460,555 | 21,632,268 | ||||||
Liberty Braves Group - Class A(1) | 3,429 | 85,519 | ||||||
Liberty Braves Group - Class C(1) | 11,805 | 293,826 | ||||||
Liberty TripAdvisor Holdings, Inc.(1) | 23,826 | 378,595 | ||||||
Lions Gate Entertainment Corp. - Class A | 191 | 3,067 | ||||||
Lions Gate Entertainment Corp. - Class B | 448 | 6,659 | ||||||
Live Nation Entertainment, Inc.(1) | 652,979 | 32,159,216 | ||||||
LiveXLive Media, Inc.(1) | 9,765 | 48,337 | ||||||
Loral Space and Communications, Inc.(1) | 4,210 | 156,823 | ||||||
Match Group, Inc. | 44,078 | 1,885,216 | ||||||
MDC Partners, Inc.(1) | 18,368 | 47,941 | ||||||
New York Times Co. | 35,206 | 784,742 | ||||||
Nexstar Media Group, Inc. | 14,760 | 1,160,726 | ||||||
Omnicom Group, Inc. | 8,996 | 658,867 | ||||||
Ooma, Inc.(1) | 6,115 | 84,876 | ||||||
ORBCOMM, Inc.(1) | 24,286 | 200,602 | ||||||
Pandora Media, Inc.(1) | 85,359 | 690,554 | ||||||
QuinStreet, Inc.(1) | 14,603 | 237,007 | ||||||
Rosetta Stone, Inc.(1) | 1,165 | 19,106 | ||||||
Shenandoah Telecommunications Co. | 15,370 | 680,123 | ||||||
Sinclair Broadcast Group, Inc. | 10,377 | 273,330 | ||||||
Sirius XM Holdings, Inc. | 78,415 | 447,750 | ||||||
Take-Two Interactive Software, Inc.(1) | 44,058 | 4,535,331 | ||||||
TechTarget, Inc.(1) | 6,746 | 82,369 | ||||||
The Madison Square Garden Co.(1) | 108 | 28,912 | ||||||
Travelzoo, Inc.(1) | 1,515 | 14,892 | ||||||
Tribune Publishing Co.(1) | 5,455 | 61,860 |
TripAdvisor, Inc.(1) | 6,376 | 343,921 | ||||||
TrueCar, Inc.(1) | 30,505 | 276,375 | ||||||
Twitter, Inc.(1) | 43,761 | 1,257,691 | ||||||
Vonage Holdings Corp.(1) | 72,605 | 633,842 | ||||||
World Wrestling Entertainment, Inc. | 14,157 | 1,057,811 | ||||||
Yelp, Inc.(1) | 26,696 | 934,093 | ||||||
Zayo Group Holdings, Inc.(1) | 13,852 | 316,380 | ||||||
Zillow Group, Inc. - Class A(1) | 2,438 | 76,626 | ||||||
Zillow Group, Inc. - Class C(1) | 5,365 | 169,427 | ||||||
|
| |||||||
81,601,675 | ||||||||
|
| |||||||
Consumer Discretionary - 12.74% |
| |||||||
1-800-Flowers.com, Inc.(1) | 2,456 | 30,037 | ||||||
Aaron’s, Inc. | 97,963 | 4,119,344 | ||||||
Advance Auto Parts, Inc. | 224,459 | 35,343,314 | ||||||
American Eagle Outfitters, Inc. | 47,957 | 927,009 | ||||||
American Public Education, Inc.(1) | 284 | 8,083 | ||||||
America’s Car-Mart, Inc.(1) | 652 | 47,237 | ||||||
Aptiv Plc | 261,012 | 16,070,509 | ||||||
Asbury Automotive Group, Inc.(1) | 6,394 | 426,224 | ||||||
At Home Group, Inc.(1) | 14,804 | 276,243 | ||||||
AutoZone, Inc.(1) | 1,361 | 1,140,981 | ||||||
Belmond Ltd.(1) | 3,749 | 93,837 | ||||||
Best Buy, Inc. | 3,671 | 194,416 | ||||||
Big Lots, Inc. | 3,047 | 88,119 | ||||||
BJ’s Restaurants, Inc. | 6,793 | 343,522 | ||||||
Bloomin Brands, Inc. | 27,267 | 487,807 | ||||||
Bluegreen Vacations Corp. | 2,355 | 30,450 | ||||||
Boot Barn Holdings, Inc.(1) | 9,308 | 158,515 | ||||||
Boyd Gaming Corp. | 24,584 | 510,856 | ||||||
Bright Horizons Family Solutions, Inc.(1) | 104,131 | 11,605,400 | ||||||
Brinker International, Inc. | 9,609 | 422,604 | ||||||
Brunswick Corp. | 496 | 23,039 | ||||||
Buckle, Inc. | 1,886 | 36,475 | ||||||
Burlington Stores, Inc.(1) | 41,116 | 6,688,340 | ||||||
Callaway Golf Co. | 20,648 | 315,914 | ||||||
Camping World Holdings, Inc. | 10,736 | 123,142 | ||||||
Career Education Corp.(1) | 22,132 | 252,747 | ||||||
CarMax, Inc.(1) | 6,441 | 404,044 | ||||||
Carriage Services, Inc. | 2,036 | 31,558 | ||||||
Carrols Restaurant Group, Inc.(1) | 9,862 | 97,042 | ||||||
Carter’s, Inc. | 2,756 | 224,945 | ||||||
Carvana Co.(1) | 10,680 | 349,343 | ||||||
Cavco Industries, Inc.(1) | 2,807 | 365,977 | ||||||
Century Communities, Inc.(1) | 760 | 13,118 | ||||||
Cheesecake Factory, Inc. | 13,894 | 604,528 | ||||||
Chegg, Inc.(1) | 35,685 | 1,014,168 | ||||||
Children’s Place, Inc. | 5,229 | 471,081 | ||||||
Chipotle Mexican Grill, Inc.(1) | 1,491 | 643,799 | ||||||
Choice Hotels International, Inc. | 2,096 | 150,032 | ||||||
Churchill Downs, Inc. | 3,882 | 946,975 | ||||||
Chuy’s Holdings, Inc.(1) | 4,379 | 77,683 | ||||||
Columbia Sportswear Co. | 216 | 18,163 | ||||||
Conn’s, Inc.(1) | 3,026 | 57,070 | ||||||
Core Mark Holding Company, Inc. | 1,257 | 29,225 | ||||||
Cracker Barrel Old Country Store, Inc. | 6,360 | 1,016,710 |
Crocs, Inc.(1) | 21,718 | 564,234 | ||||||
D. R. Horton, Inc. | 12,325 | 427,184 | ||||||
Dana, Inc. | 44,580 | 607,625 | ||||||
Darden Restaurants, Inc. | 3,824 | 381,865 | ||||||
Dave & Buster’s Entertainment, Inc. | 13,087 | 583,157 | ||||||
Deckers Outdoor Corp.(1) | 9,612 | 1,229,855 | ||||||
Denny’s Corp.(1) | 15,062 | 244,155 | ||||||
Dine Brands Global, Inc. | 3,264 | 219,798 | ||||||
Dollar General Corp. | 16,257 | 1,757,057 | ||||||
Dollar Tree, Inc.(1) | 2,440 | 220,381 | ||||||
Domino’s Pizza, Inc. | 16,064 | 3,983,711 | ||||||
Dorman Products, Inc.(1) | 8,847 | 796,407 | ||||||
Drive Shack, Inc.(1) | 18,607 | 72,939 | ||||||
Duluth Holdings, Inc.(1) | 2,650 | 66,859 | ||||||
Dunkin’ Brands Group, Inc. | 5,040 | 323,165 | ||||||
Eldorado Resorts, Inc.(1) | 21,686 | 785,250 | ||||||
Empire Resorts, Inc.(1) | 598 | 6,056 | ||||||
Etsy, Inc.(1) | 39,302 | 1,869,596 | ||||||
Expedia Group, Inc. | 250,816 | 28,254,422 | ||||||
Extended Stay America, Inc. | 6,961 | 107,895 | ||||||
Fiesta Restaurant Group, Inc.(1) | 6,126 | 95,014 | ||||||
Five Below, Inc.(1) | 17,976 | 1,839,304 | ||||||
Floor & Decor Holdings, Inc.(1) | 2,938 | 76,094 | ||||||
Fossil Group, Inc.(1) | 3,446 | 54,206 | ||||||
Fox Factory Holding Corp.(1) | 11,889 | 699,905 | ||||||
frontdoor, Inc.(1) | 4,111 | 109,394 | ||||||
Funko, Inc.(1) | 3,498 | 45,999 | ||||||
Gaia, Inc.(1) | 2,192 | 22,709 | ||||||
Gap, Inc. | 800 | 20,608 | ||||||
Gentex Corp. | 11,166 | 225,665 | ||||||
Gentherm, Inc.(1) | 161,015 | 6,437,380 | ||||||
G-III Apparel Group Ltd.(1) | 3,984 | 111,114 | ||||||
Golden Entertainment, Inc.(1) | 5,823 | 93,284 | ||||||
GoPro, Inc.(1) | 38,047 | 161,319 | ||||||
Grand Canyon Education, Inc.(1) | 15,977 | 1,536,029 | ||||||
Green Brick Partners, Inc.(1) | 729 | 5,278 | ||||||
Groupon, Inc.(1) | 146,890 | 470,048 | ||||||
GrubHub, Inc.(1) | 331,639 | 25,473,192 | ||||||
H&R Block, Inc. | 2,251 | 57,108 | ||||||
Hamilton Beach Brands Holding Co. | 2,149 | 50,416 | ||||||
Hanesbrands, Inc. | 21,895 | 274,344 | ||||||
Hasbro, Inc. | 5,573 | 452,806 | ||||||
Helen of Troy Ltd.(1) | 64,673 | 8,483,804 | ||||||
Hilton Grand Vacations, Inc.(1) | 5,943 | 156,836 | ||||||
Hilton Worldwide Holdings, Inc. | 17,074 | 1,225,913 | ||||||
Hooker Furniture Corp. | 1,658 | 43,672 | ||||||
Houghton Mifflin Harcourt Co.(1) | 3,088 | 27,360 | ||||||
Hovnanian Enterprises, Inc.(1) | 7,071 | 4,836 | ||||||
Hudson Ltd.(1) | 13,201 | 226,397 | ||||||
Installed Building Products, Inc.(1) | 7,260 | 244,589 | ||||||
International Game Technology Plc | 319 | 4,667 | ||||||
iRobot Corp.(1) | 8,879 | 743,527 | ||||||
Jack in the Box, Inc. | 1,477 | 114,659 | ||||||
Johnson Outdoors, Inc. | 1,003 | 58,916 | ||||||
KB Home | 5,872 | 112,155 |
Kirkland’s, Inc.(1) | 1,260 | 12,008 | ||||||
L Brands, Inc. | 2,667 | 68,462 | ||||||
La-Z-Boy, Inc. | 6,543 | 181,307 | ||||||
LCI Industries | 8,058 | 538,274 | ||||||
Leaf Group Ltd.(1) | 4,148 | 28,414 | ||||||
Lear Corp. | 410 | 50,373 | ||||||
Lennar Corp. - Class A | 9,438 | 369,498 | ||||||
Lennar Corp. - Class B | 467 | 14,631 | ||||||
LGI Homes, Inc.(1) | 6,107 | 276,159 | ||||||
Liberty Expedia Holdings, Inc.(1) | 1,206 | 47,167 | ||||||
Lindblad Expeditions Holdings, Inc.(1) | 7,239 | 97,437 | ||||||
Lithia Motors, Inc. | 4,511 | 344,325 | ||||||
LKQ Corp.(1) | 85,200 | 2,021,796 | ||||||
Lovesac Co.(1) | 906 | 20,784 | ||||||
Lululemon Athletica, Inc.(1) | 45,091 | 5,483,517 | ||||||
Lumber Liquidators Holdings, Inc.(1) | 7,336 | 69,839 | ||||||
M/I Homes, Inc.(1) | 1,664 | 34,977 | ||||||
Malibu Boats, Inc.(1) | 6,687 | 232,708 | ||||||
Marine Products Corp. | 2,528 | 42,748 | ||||||
MarineMax, Inc.(1) | 3,876 | 70,970 | ||||||
Marriott International, Inc. | 210,902 | 22,895,521 | ||||||
Marriott Vacations Worldwide Corp. | 10,627 | 749,310 | ||||||
MasterCraft Boat Holdings, Inc.(1) | 6,111 | 114,276 | ||||||
Mattel, Inc.(1) | 4,675 | 46,703 | ||||||
MercadoLibre, Inc. | 98,176 | 28,750,842 | ||||||
Meritage Homes Corp.(1) | 753 | 27,650 | ||||||
MGM Resorts International | 2,673 | 64,847 | ||||||
Michael Kors Holdings Ltd.(1) | 4,587 | 173,939 | ||||||
Modine Manufacturing Co.(1) | 2,339 | 25,285 | ||||||
Mohawk Industries, Inc.(1) | 94,600 | 11,064,416 | ||||||
Monarch Casino & Resort, Inc.(1) | 2,958 | 112,818 | ||||||
Monro, Inc. | 10,458 | 718,987 | ||||||
Movado Group, Inc. | 290 | 9,170 | ||||||
Murphy USA, Inc.(1) | 1,823 | 139,715 | ||||||
Nathan’s Famous, Inc. | 955 | 63,460 | ||||||
National Vision Holdings, Inc.(1) | 20,658 | 581,936 | ||||||
Nautilus, Inc.(1) | 8,664 | 94,438 | ||||||
Noodles & Co.(1) | 4,810 | 33,622 | ||||||
Nordstrom, Inc. | 7,201 | 335,639 | ||||||
Nutrisystem, Inc. | 9,668 | 424,232 | ||||||
NVR, Inc.(1) | 193 | 470,339 | ||||||
Ollie’s Bargain Outlet Holdings, Inc.(1) | 145,684 | 9,689,443 | ||||||
O’Reilly Automotive, Inc.(1) | 4,831 | 1,663,458 | ||||||
Overstock.com, Inc.(1) | 7,622 | 103,507 | ||||||
Oxford Industries, Inc. | 5,523 | 392,354 | ||||||
Papa John’s International, Inc. | 3,400 | 135,354 | ||||||
Party City Holdings, Inc.(1) | 1,366 | 13,633 | ||||||
Penn National Gaming, Inc.(1) | 10,935 | 205,906 | ||||||
PetMed Express, Inc. | 6,634 | 154,307 | ||||||
Planet Fitness, Inc.(1) | 29,118 | 1,561,307 | ||||||
PlayAGS, Inc.(1) | 7,127 | 163,921 | ||||||
Polaris Industries, Inc. | 3,593 | 275,511 | ||||||
Pool Corp. | 80,873 | 12,021,771 | ||||||
Potbelly Corp.(1) | 7,341 | 59,095 | ||||||
Pulte Group, Inc. | 5,039 | 130,964 |
Purple Innovation, Inc.(1) | 1,352 | 7,963 | ||||||
Quotient Technology, Inc.(1) | 26,332 | 281,226 | ||||||
RCI Hospitality Holdings, Inc. | 2,121 | 47,362 | ||||||
Red Rock Resorts, Inc. | 22,904 | 465,180 | ||||||
Remark Holdings, Inc.(1) | 8,745 | 10,581 | ||||||
RH(1) | 6,559 | 785,899 | ||||||
Roku, Inc.(1) | 14,229 | 435,977 | ||||||
Ross Stores, Inc. | 425,080 | 35,366,656 | ||||||
RTW RetailWinds, Inc.(1) | 5,546 | 15,695 | ||||||
Ruth’s Hospitality Group, Inc. | 9,413 | 213,957 | ||||||
Sally Beauty Holdings, Inc.(1) | 694,429 | 11,840,014 | ||||||
Scientific Games Corp.(1) | 18,318 | 327,526 | ||||||
SeaWorld Entertainment, Inc.(1) | 18,032 | 398,327 | ||||||
Service Corp. International | 4,975 | 200,293 | ||||||
ServiceMaster Global Holdings, Inc.(1) | 8,309 | 305,273 | ||||||
Shake Shack, Inc.(1) | 8,106 | 368,175 | ||||||
Shiloh Industries, Inc.(1) | 789 | 4,600 | ||||||
Shutterfly, Inc.(1) | 11,031 | 444,108 | ||||||
Shutterstock, Inc. | 6,186 | 222,758 | ||||||
Six Flags Entertainment Corp. | 4,407 | 245,161 | ||||||
Skechers USA, Inc.(1) | 3,831 | 87,692 | ||||||
Skyline Champion Corp. | 9,543 | 140,187 | ||||||
Sleep Number Corp.(1) | 10,746 | 340,971 | ||||||
Sonos, Inc.(1) | 2,527 | 24,815 | ||||||
Sotheby’s(1) | 11,618 | 461,699 | ||||||
Sportsman’s Warehouse Holdings, Inc.(1) | 12,383 | 54,238 | ||||||
Stamps.com, Inc.(1) | 20,642 | 3,212,721 | ||||||
Steven Madden Ltd. | 258,011 | 7,807,413 | ||||||
Stoneridge, Inc.(1) | 8,080 | 199,172 | ||||||
Strategic Education, Inc. | 6,890 | 781,464 | ||||||
Sturm, Ruger & Company, Inc. | 5,444 | 289,730 | ||||||
Superior Group of Cos, Inc. | 3,031 | 53,497 | ||||||
Tailored Brands, Inc. | 16,308 | 222,441 | ||||||
Tapestry, Inc. | 3,486 | 117,652 | ||||||
Taylor Morrison Home Corp.(1) | 6,012 | 95,591 | ||||||
Tempur Sealy International, Inc.(1) | 2,835 | 117,369 | ||||||
Tenneco, Inc. | 13,747 | 376,530 | ||||||
Texas Roadhouse, Inc. | 119,990 | 7,163,403 | ||||||
The Michaels Companies, Inc.(1) | 1,026 | 13,892 | ||||||
Thor Industries, Inc. | 2,559 | 133,068 | ||||||
Tiffany & Co. | 1,296 | 104,341 | ||||||
Tile Shop Holdings, Inc. | 6,792 | 37,220 | ||||||
Tilly’s, Inc. | 1,064 | 11,555 | ||||||
Toll Brothers, Inc. | 4,252 | 140,018 | ||||||
TopBuild Corp.(1) | 11,672 | 525,240 | ||||||
Town Sports International Holdings, Inc.(1) | 243 | 1,555 | ||||||
Tractor Supply Co. | 268,471 | 22,401,220 | ||||||
Travelport Worldwide Ltd. | 7,713 | 120,477 | ||||||
TRI Pointe Group, Inc.(1) | 2,470 | 26,997 | ||||||
Turtle Beach Corp.(1) | 2,488 | 35,504 | ||||||
Ulta Beauty, Inc.(1) | 100,479 | 24,601,278 | ||||||
Under Armour, Inc. - Class A(1) | 8,638 | 152,633 | ||||||
Under Armour, Inc. - Class C(1) | 8,773 | 141,859 | ||||||
Urban Outfitters, Inc.(1) | 4,541 | 150,761 | ||||||
Vail Resorts, Inc. | 2,443 | 515,033 |
VF Corp. | 15,235 | 1,086,865 | ||||||
Visteon Corp.(1) | 1,092 | 65,826 | ||||||
Vuzix Corp.(1) | 6,649 | 31,982 | ||||||
Wayfair, Inc.(1) | 3,479 | 313,388 | ||||||
Weight Watchers International, Inc.(1) | 11,929 | 459,863 | ||||||
Wendy’s Co. | 11,319 | 176,690 | ||||||
William Lyon Homes(1) | 1,735 | 18,547 | ||||||
Williams-Sonoma, Inc. | 1,110 | 55,999 | ||||||
Wingstop, Inc. | 84,302 | 5,411,345 | ||||||
Winmark Corp. | 839 | 133,401 | ||||||
Winnebago Industries, Inc. | 10,191 | 246,724 | ||||||
Wolverine World Wide, Inc. | 30,407 | 969,679 | ||||||
Wyndham Destinations, Inc. | 5,845 | 209,485 | ||||||
Wyndham Hotels & Resorts, Inc. | 5,997 | 272,084 | ||||||
Wynn Resorts Ltd. | 6,277 | 620,858 | ||||||
YETI Holdings, Inc.(1) | 3,269 | 48,512 | ||||||
Yum China Holdings, Inc. | 1,851 | 62,064 | ||||||
ZAGG, Inc.(1) | 9,075 | 88,753 | ||||||
Zumiez, Inc.(1) | 1,749 | 33,528 | ||||||
|
| |||||||
414,964,413 | ||||||||
|
| |||||||
Consumer Staples - 5.84% |
| |||||||
22nd Century Group, Inc.(1) | 36,677 | 91,326 | ||||||
B&G Foods, Inc. | 2,302 | 66,551 | ||||||
BJ’s Wholesale Club Holdings, Inc.(1) | 13,793 | 305,653 | ||||||
Boston Beer, Inc.(1) | 2,720 | 655,085 | ||||||
Brown Forman Corp. - Class A | 3,111 | 147,524 | ||||||
Brown Forman Corp. - Class B | 254,250 | 12,097,215 | ||||||
Calavo Growers, Inc. | 107,792 | 7,864,504 | ||||||
Cal-Maine Foods, Inc. | 4,190 | 177,237 | ||||||
Campbell Soup Co. | 318,499 | 10,507,282 | ||||||
Casey’s General Stores, Inc. | 101,670 | 13,027,994 | ||||||
Castle Brands, Inc.(1) | 31,608 | 26,883 | ||||||
Celsius Holdings, Inc.(1) | 7,068 | 24,526 | ||||||
Central Garden & Pet Co.(1) | 2,560 | 88,192 | ||||||
Central Garden & Pet Co. - Class A(1) | 10,148 | 317,125 | ||||||
Church & Dwight Co., Inc. | 12,667 | 832,982 | ||||||
Clorox Co. | 6,820 | 1,051,235 | ||||||
Coca-Cola Bottling Co. Consolidated | 1,547 | 274,407 | ||||||
Craft Brew Alliance, Inc.(1) | 3,995 | 57,168 | ||||||
Diplomat Pharmacy, Inc.(1) | 14,992 | 201,792 | ||||||
elf Beauty, Inc.(1) | 7,394 | 64,032 | ||||||
Energizer Holdings, Inc. | 2,076 | 93,731 | ||||||
Flowers Foods, Inc. | 1,040,000 | 19,208,800 | ||||||
Freshpet, Inc.(1) | 8,610 | 276,898 | ||||||
Herbalife Ltd.(1) | 1,224 | 72,155 | ||||||
Hormel Foods Corp. | 435,000 | 18,565,800 | ||||||
Inter Parfums, Inc. | 5,289 | 346,800 | ||||||
J & J Snack Foods Corp. | 4,941 | 714,419 | ||||||
John B. Sanfilippo & Son, Inc. | 2,817 | 156,794 | ||||||
Kellogg Co. | 7,565 | 431,281 | ||||||
Keurig Dr. Pepper, Inc. | 10,956 | 280,912 | ||||||
Lancaster Colony Corp. | 4,526 | 800,468 | ||||||
Limoneira Co. | 1,483 | 28,993 | ||||||
McCormick & Co., Inc. | 119,427 | 16,629,015 | ||||||
Medifast, Inc. | 3,831 | 478,952 |
MGP Ingredients, Inc. | 49,322 | 2,813,820 | ||||||
Molson Coors Brewing Co. | 295,000 | 16,567,200 | ||||||
Monster Beverage Corp.(1) | 75,377 | 3,710,056 | ||||||
National Beverage Corp. | 3,891 | 279,257 | ||||||
Natural Health Trends Corp. | 2,193 | 40,549 | ||||||
Nu Skin Enterprises, Inc. | 1,042 | 63,906 | ||||||
Performance Food Group Co.(1) | 33,505 | 1,081,206 | ||||||
Post Holdings, Inc.(1) | 2,294 | 204,464 | ||||||
PriceSmart, Inc. | 7,295 | 431,134 | ||||||
Primo Water Corp.(1) | 10,815 | 151,518 | ||||||
Revlon, Inc.(1) | 2,331 | 58,718 | ||||||
Spectrum Brands Holdings, Inc. | 1,141 | 48,207 | ||||||
Sprouts Farmers Market, Inc.(1) | 7,628 | 179,334 | ||||||
The Chefs’ Warehouse, Inc.(1) | 7,073 | 226,194 | ||||||
The Hershey Co. | 7,806 | 836,647 | ||||||
The J. M. Smucker Co. | 198,000 | 18,511,020 | ||||||
Tootsie Roll Industries, Inc. | 807 | 26,954 | ||||||
TreeHouse Foods, Inc.(1) | 326,000 | 16,531,460 | ||||||
Turning Point Brands, Inc. | 2,615 | 71,180 | ||||||
U.S. Foods Holding Corp.(1) | 373,220 | 11,808,681 | ||||||
USANA Health Sciences, Inc.(1) | 4,173 | 491,287 | ||||||
Vector Group Ltd. | 14,901 | 144,987 | ||||||
WD-40 Co. | 53,699 | 9,840,879 | ||||||
|
| |||||||
190,082,389 | ||||||||
|
| |||||||
Energy - 1.04% |
| |||||||
Abraxas Petroleum Corp.(1) | 47,890 | 52,200 | ||||||
Antero Resources Corp.(1) | 7,909 | 74,266 | ||||||
Apache Corp. | 1,426 | 37,432 | ||||||
Apergy Corp.(1) | 116,384 | 3,151,679 | ||||||
Berry Petroleum Corp. | 1,759 | 15,391 | ||||||
Cabot Oil & Gas Corp. | 162,426 | 3,630,221 | ||||||
Cactus, Inc.(1) | 12,527 | 343,365 | ||||||
Callon Petroleum Co.(1) | 170,448 | 1,106,208 | ||||||
Carrizo Oil & Gas, Inc.(1) | 99,937 | 1,128,289 | ||||||
Cheniere Energy, Inc.(1) | 9,830 | 581,838 | ||||||
Cimarex Energy Co. | 746 | 45,991 | ||||||
Concho Resources, Inc.(1) | 1,537 | 157,988 | ||||||
CONSOL Energy, Inc.(1) | 3,920 | 124,303 | ||||||
Continental Resources, Inc.(1) | 2,577 | 103,570 | ||||||
Core Laboratories NV | 211,316 | 12,607,113 | ||||||
Covia Holdings Corp.(1) | 10,342 | 35,370 | ||||||
CVR Energy, Inc. | 5,701 | 196,570 | ||||||
Delek US Holdings, Inc. | 24,789 | 805,890 | ||||||
Denbury Resources, Inc.(1) | 69,465 | 118,785 | ||||||
Diamondback Energy, Inc. | 1,605 | 148,783 | ||||||
Eclipse Resources Corp.(1) | 13,585 | 14,264 | ||||||
Evolution Petroleum Corp. | 8,242 | 56,210 | ||||||
Forum Energy Technologies, Inc.(1) | 454,315 | 1,876,321 | ||||||
Goodrich Petroleum Corp.(1) | 1,800 | 24,300 | ||||||
Independence Contract Drilling, Inc.(1) | 6,465 | 20,171 | ||||||
ION Geophysical Corp.(1) | 3,360 | 17,405 | ||||||
Isramco, Inc.(1) | 70 | 8,295 | ||||||
Jagged Peak Energy, Inc.(1) | 20,953 | 191,091 | ||||||
Keane Group, Inc.(1) | 16,309 | 133,408 | ||||||
Key Energy Services, Inc.(1) | 3,183 | 6,589 |
Kosmos Energy Ltd.(1) | 2,664 | 10,842 | ||||||
Laredo Petroleum, Inc.(1) | 15,611 | 56,512 | ||||||
Liberty Oilfield Services, Inc. | 14,541 | 188,306 | ||||||
Lilis Energy, Inc.(1) | 14,109 | 19,329 | ||||||
Mammoth Energy Services, Inc. | 4,042 | 72,675 | ||||||
Matador Resources Co.(1) | 31,895 | 495,329 | ||||||
Newfield Exploration Co.(1) | 4,440 | 65,090 | ||||||
NextDecade Corp.(1) | 2,377 | 12,836 | ||||||
Northern Oil & Gas, Inc.(1) | 15,856 | 35,835 | ||||||
ONEOK, Inc. | 10,389 | 560,487 | ||||||
Panhandle Oil and Gas, Inc. | 2,931 | 45,430 | ||||||
Par Petroleum Corp.(1) | 850 | 12,053 | ||||||
Parsley Energy, Inc.(1) | 11,156 | 178,273 | ||||||
Penn Virginia Corp.(1) | 4,075 | 220,294 | ||||||
Pioneer Energy Services Corp.(1) | 2,286 | 2,812 | ||||||
Profire Energy, Inc.(1) | 7,366 | 10,681 | ||||||
ProPetro Holding Corp.(1) | 23,294 | 286,982 | ||||||
Range Resources Corp. | 117,173 | 1,121,346 | ||||||
Renewable Energy Group, Inc.(1) | 998 | 25,649 | ||||||
Resolute Energy Corp.(1) | 339 | 9,824 | ||||||
RigNet, Inc.(1) | 363 | 4,588 | ||||||
Ring Energy, Inc.(1) | 17,499 | 88,895 | ||||||
RPC, Inc. | 1,184 | 11,686 | ||||||
Sanchez Energy Corp.(1) | 25,899 | 6,993 | ||||||
Select Energy Services, Inc.(1) | 3,349 | 21,166 | ||||||
Solaris Oilfield Infrastructure, Inc. | 8,909 | 107,710 | ||||||
SRC Energy, Inc.(1) | 560,923 | 2,636,338 | ||||||
Tellurian, Inc.(1) | 28,152 | 195,656 | ||||||
TETRA Technologies, Inc.(1) | 33,871 | 56,903 | ||||||
Uranium Energy Corp.(1) | 58,883 | 73,604 | ||||||
US Silica Holdings, Inc. | 15,369 | 156,456 | ||||||
WildHorse Resource Development Corp.(1) | 8,407 | 118,623 | ||||||
Zion Oil & Gas, Inc.(1) | 16,796 | 7,011 | ||||||
|
| |||||||
33,729,520 | ||||||||
|
| |||||||
Financials - 9.48% |
| |||||||
Alleghany Corp. | 102 | 63,579 | ||||||
Allegiance Bancshares, Inc.(1) | 772 | 24,990 | ||||||
Amalgamated Bank | 669 | 13,045 | ||||||
Ambac Financial Group, Inc.(1) | 1,125 | 19,395 | ||||||
Ameriprise Financial, Inc. | 1,371 | 143,091 | ||||||
Ameris Bancorp | 14,015 | 443,855 | ||||||
Arch Capital Group Ltd.(1) | 3,696 | 98,757 | ||||||
Argo Group International Holdings Ltd. | 207,725 | 13,969,506 | ||||||
Arthur J. Gallagher & Co. | 363,000 | 26,753,100 | ||||||
Artisan Partners Asset Management, Inc. | 15,919 | 351,969 | ||||||
Ashford, Inc.(1) | 259 | 13,442 | ||||||
Atlantic Capital Bancshares, Inc.(1) | 6,002 | 98,253 | ||||||
Axis Capital Holdings Ltd. | 567 | 29,280 | ||||||
Axos Financial, Inc.(1) | 19,486 | 490,657 | ||||||
BancFirst Corp. | 1,454 | 72,555 | ||||||
Bank of NT Butterfield & Son Ltd. | 17,946 | 562,607 | ||||||
Bankwell Financial Group, Inc. | 275 | 7,895 | ||||||
Blucora, Inc.(1) | 11,282 | 300,552 | ||||||
Blue Hills Bancorp, Inc. | 3,663 | 78,168 | ||||||
BOK Financial Corp. | 377 | 27,645 |
BrightSphere Investment Group Plc | 22,763 | 243,109 | ||||||
Brown & Brown, Inc. | 769 | 21,194 | ||||||
Bryn Mawr Bank Corp. | 105,507 | 3,629,441 | ||||||
BSB Bancorp, Inc.(1) | 767 | 21,522 | ||||||
Cadence Bancorp | 8,255 | 138,519 | ||||||
Cambridge Bancorp | 327 | 27,223 | ||||||
Camden National Corp. | 101,487 | 3,650,487 | ||||||
Capital Bancorp, Inc.(1) | 478 | 5,454 | ||||||
Capstar Financial Holdings, Inc. | 619 | 9,118 | ||||||
Carolina Financial Corp. | 4,893 | 144,784 | ||||||
CBOE Holdings, Inc. | 6,337 | 619,949 | ||||||
Central Pacific Financial Corp. | 157,539 | 3,836,075 | ||||||
City Holding Company | 535 | 36,161 | ||||||
Civista Bancshares, Inc. | 1,033 | 17,995 | ||||||
CNB Financial Corporation, Inc. | 342 | 7,849 | ||||||
Coastal Financial Corp.(1) | 468 | 7,128 | ||||||
Cohen & Steers, Inc. | 198,220 | 6,802,910 | ||||||
Columbia Banking System, Inc. | 344,383 | 12,497,659 | ||||||
Comerica, Inc. | 559 | 38,398 | ||||||
Commerce Bancshares, Inc. | 197,400 | 11,127,438 | ||||||
Community Bank System, Inc. | 48,981 | 2,855,592 | ||||||
ConnectOne Bancorp, Inc. | 2,630 | 48,576 | ||||||
Cowen, Inc.(1) | 4,430 | 59,096 | ||||||
Credit Acceptance Corp.(1) | 627 | 239,364 | ||||||
Cullen/Frost Bankers, Inc. | 153,000 | 13,454,820 | ||||||
Curo Group Holdings Corp.(1) | 3,803 | 36,090 | ||||||
Customers Bancorp, Inc.(1) | 3,069 | 55,856 | ||||||
Diamond Hill Investment Group, Inc. | 1,086 | 162,303 | ||||||
Discover Financial Services | 9,391 | 553,881 | ||||||
Donnelley Financial Solutions, Inc.(1) | 5,234 | 73,433 | ||||||
E*TRADE Financial Corp. | 3,518 | 154,370 | ||||||
Eagle Bancorp, Inc.(1) | 68,043 | 3,314,375 | ||||||
East West Bancorp, Inc. | 632 | 27,511 | ||||||
Eaton Vance Corp. | 6,952 | 244,571 | ||||||
Elevate Credit, Inc.(1) | 6,539 | 29,295 | ||||||
Enova International, Inc.(1) | 11,171 | 217,388 | ||||||
Enterprise Bancorp, Inc. | 265 | 8,522 | ||||||
Enterprise Financial Services Corp. | 2,545 | 95,768 | ||||||
Equity Bancshares, Inc.(1) | 1,359 | 47,905 | ||||||
Erie Indemnity Co. | 1,158 | 154,373 | ||||||
Esquire Financial Holdings, Inc.(1) | 799 | 17,338 | ||||||
Essent Group Ltd.(1) | 16,158 | 552,280 | ||||||
Evercore Partners, Inc. | 99,365 | 7,110,559 | ||||||
Everest Re Group Ltd. | 141,481 | 30,808,903 | ||||||
Farmers & Merchants Bancorp, Inc. | 2,618 | 100,767 | ||||||
FB Financial Corp. | 2,657 | 93,048 | ||||||
Federal Agricultural Mortgage Corp. | 901 | 54,456 | ||||||
Federated Investors, Inc. | 23,455 | 622,730 | ||||||
FedNat Holding Co. | 1,993 | 39,701 | ||||||
First Financial Bankshares, Inc. | 21,331 | 1,230,585 | ||||||
First Financial Northwest, Inc. | 301 | 4,656 | ||||||
First Foundation, Inc.(1) | 4,018 | 51,671 | ||||||
First Republic Bank | 176,720 | 15,356,968 | ||||||
FirstCash, Inc. | 57,688 | 4,173,727 | ||||||
Focus Financial Partners, Inc.(1) | 3,635 | 95,710 |
FS Bancorp, Inc. | 562 | 24,099 | ||||||
GAMCO Investors, Inc. | 451 | 7,617 | ||||||
German American Bancorp, Inc. | 1,619 | 44,960 | ||||||
Glacier Bancorp, Inc. | 4,287 | 169,851 | ||||||
Global Indemnity Ltd. | 576 | 20,868 | ||||||
Granite Point Mortgage Trust, Inc. | 2,879 | 51,908 | ||||||
Great Western Bancorp, Inc. | 243,409 | 7,606,531 | ||||||
Green Bancorp, Inc. | 1,607 | 27,544 | ||||||
Green Dot Corp.(1) | 69,990 | 5,565,605 | ||||||
Greene County Bancorp, Inc. | 938 | 29,191 | ||||||
Greenhill & Co, Inc. | 5,202 | 126,929 | ||||||
Guaranty Bancorp | 7,048 | 146,246 | ||||||
Hamilton Lane, Inc. | 5,491 | 203,167 | ||||||
Hanmi Financial Corp. | 1,216 | 23,955 | ||||||
HarborOne Bancorp, Inc.(1) | 2,411 | 38,311 | ||||||
Health Insurance Innovations, Inc.(1) | 4,378 | 117,024 | ||||||
Heritage Commerce Corp. | 11,543 | 130,898 | ||||||
Heritage Insurance Holdings, Inc. | 823 | 12,115 | ||||||
Hingham Institution for Savings | 217 | 42,910 | ||||||
Home Bancshares, Inc. | 12,211 | 199,528 | ||||||
HomeTrust Bancshares, Inc. | 1,799 | 47,098 | ||||||
Houlihan Lokey, Inc. | 11,262 | 414,442 | ||||||
Howard Bancorp, Inc.(1) | 1,010 | 14,443 | ||||||
Independent Bank Corp. | 950 | 66,794 | ||||||
Independent Bank Corp. MI | 2,030 | 42,671 | ||||||
Independent Bank Group, Inc. | 1,776 | 81,288 | ||||||
Interactive Brokers Group, Inc. | 4,095 | 223,792 | ||||||
Investar Holding Corp. | 915 | 22,692 | ||||||
Investment Technology Group, Inc. | 1,446 | 43,727 | ||||||
Investors Title Co. | 86 | 15,194 | ||||||
James River Group Holdings Ltd. | 4,087 | 149,339 | ||||||
Kearny Financial Corp. | 9,837 | 126,110 | ||||||
Kemper Corp. | 9,849 | 653,777 | ||||||
Kingstone Cos, Inc. | 827 | 14,630 | ||||||
Kinsale Capital Group, Inc. | 6,472 | 359,584 | ||||||
Ladenburg Thalmann Financial Services, Inc. | 29,994 | 69,886 | ||||||
Lakeland Financial Corp. | 5,870 | 235,739 | ||||||
Lazard Ltd. | 245,678 | 9,067,975 | ||||||
LegacyTexas Financial Group, Inc. | 6,363 | 204,189 | ||||||
LendingTree, Inc.(1) | 2,617 | 574,615 | ||||||
Live Oak Bancshares, Inc. | 4,395 | 65,090 | ||||||
LPL Financial Holdings, Inc. | 5,255 | 320,975 | ||||||
Macatawa Bank Corp. | 873 | 8,398 | ||||||
Malvern Bancorp, Inc.(1) | 416 | 8,208 | ||||||
Markel Corp.(1) | 74 | 76,816 | ||||||
MarketAxess Holdings, Inc. | 26,366 | 5,571,399 | ||||||
Marlin Business Services Corp. | 843 | 18,824 | ||||||
MB Financial, Inc. | 2,321 | 91,981 | ||||||
MBIA, Inc.(1) | 2,873 | 25,627 | ||||||
Merchants Bancorp | 1,518 | 30,299 | ||||||
Meridian Bancorp, Inc. | 2,615 | 37,447 | ||||||
Meta Financial Group, Inc. | 9,278 | 179,900 | ||||||
Midland States Bancorp, Inc. | 3,622 | 80,915 | ||||||
Moelis & Co. | 14,725 | 506,245 | ||||||
Moody’s Corp. | 10,192 | 1,427,288 |
Morningstar, Inc. | 47,116 | 5,175,221 | ||||||
MSCI, Inc. | 5,310 | 782,853 | ||||||
National Bank Holdings Corp. | 3,097 | 95,604 | ||||||
National Commerce Corp.(1) | 2,526 | 90,936 | ||||||
National General Holdings Corp. | 12,854 | 311,195 | ||||||
Navigators Group, Inc. | 689 | 47,879 | ||||||
NMI Holdings, Inc.(1) | 17,344 | 309,590 | ||||||
Northern Trust Corp. | 278,506 | 23,280,317 | ||||||
Old Line Bancshares, Inc. | 583 | 15,345 | ||||||
On Deck Capital, Inc.(1) | 14,404 | 84,984 | ||||||
OneMain Holdings, Inc.(1) | 320 | 7,773 | ||||||
Origin Bancorp, Inc. | 2,048 | 69,796 | ||||||
Pacific City Financial Corp. | 466 | 7,293 | ||||||
Pacific Premier Bancorp, Inc.(1) | 4,934 | 125,916 | ||||||
PCSB Financial Corp. | 580 | 11,345 | ||||||
People’s Utah Bancorp | 5,048 | 152,197 | ||||||
Pinnacle Financial Partners, Inc. | 1,988 | 91,647 | ||||||
Piper Jaffray Cos. | 265 | 17,448 | ||||||
PJT Partners, Inc. | 6,197 | 240,196 | ||||||
PRA Group, Inc.(1) | 95,876 | 2,336,498 | ||||||
Preferred Bank Los Angeles | 4,507 | 195,378 | ||||||
Primerica, Inc. | 12,733 | 1,244,141 | ||||||
Prosperity Bancshares, Inc. | 188,000 | 11,712,400 | ||||||
Pzena Investment Management, Inc. | 6,117 | 52,912 | ||||||
Raymond James Financial, Inc. | 2,378 | 176,947 | ||||||
Regional Management Corp.(1) | 1,549 | 37,253 | ||||||
Reliant Bancorp, Inc. | 377 | 8,686 | ||||||
RenaissanceRe Holdings Ltd. | 204 | 27,275 | ||||||
Republic First Bancorp, Inc.(1) | 2,760 | 16,477 | ||||||
RLI Corp. | 10,835 | 747,507 | ||||||
Santander Consumer USA Holdings, Inc. | 886 | 15,585 | ||||||
Seacoast Banking Corp. of Florida(1) | 2,583 | 67,210 | ||||||
SEI Investments Co. | 8,023 | 370,663 | ||||||
ServisFirst Bancshares, Inc. | 15,417 | 491,340 | ||||||
Siebert Financial Corp.(1) | 2,140 | 30,944 | ||||||
Signature Bank | 2,076 | 213,434 | ||||||
Silvercrest Asset Management Group, Inc. | 2,844 | 37,626 | ||||||
South State Corp. | 140,425 | 8,418,479 | ||||||
Southern First Bancshares, Inc.(1) | 244 | 7,825 | ||||||
Southern Missouri Bancorp, Inc. | 156 | 5,288 | ||||||
Spirit of Texas Bancshares, Inc.(1) | 287 | 6,538 | ||||||
State Bank Financial Corp. | 4,440 | 95,860 | ||||||
Sterling Bancorp Inc. | 4,574 | 31,789 | ||||||
Stewart Information Services Corp. | 401 | 16,601 | ||||||
Stock Yards Bancorp, Inc. | 1,599 | 52,447 | ||||||
SVB Financial Group(1) | 60,481 | 11,486,552 | ||||||
Synchrony Financial | 15,767 | 369,894 | ||||||
Synovus Financial Corp. | 2,919 | 93,379 | ||||||
T. Rowe Price Group, Inc. | 13,423 | 1,239,211 | ||||||
Texas Capital Bancshares, Inc.(1) | 95,804 | 4,894,626 | ||||||
The Progressive Corp. | 334,730 | 20,194,261 | ||||||
Tompkins Financial Corp. | 306 | 22,953 | ||||||
TriCo Bancshares | 506 | 17,098 | ||||||
TriState Capital Holdings, Inc.(1) | 1,996 | 38,842 | ||||||
Triumph Bancorp, Inc.(1) | 7,929 | 235,491 |
Trupanion, Inc.(1) | 8,435 | 214,755 | ||||||
UMB Financial Corp. | 113,629 | 6,927,960 | ||||||
Union Bankshares, Inc. | 1,214 | 57,969 | ||||||
United Community Banks, Inc. | 2,341 | 50,238 | ||||||
United Fire Group, Inc. | 738 | 40,922 | ||||||
United Insurance Holdings Corp. | 5,258 | 87,388 | ||||||
Unity Bancorp, Inc. | 290 | 6,020 | ||||||
Universal Insurance Holdings, Inc. | 10,485 | 397,591 | ||||||
Value Line, Inc. | 389 | 10,118 | ||||||
Veritex Holdings, Inc.(1) | 2,199 | 47,015 | ||||||
Virtu Financial, Inc. | 2,559 | 65,920 | ||||||
Virtus Investment Partners, Inc. | 305 | 24,226 | ||||||
Voya Financial, Inc. | 693 | 27,817 | ||||||
Walker & Dunlop, Inc. | 1,167 | 50,473 | ||||||
Washington Trust Bancorp, Inc. | 1,466 | 69,679 | ||||||
Waterstone Financial, Inc. | 821 | 13,760 | ||||||
West Bancorporation, Inc. | 1,299 | 24,798 | ||||||
Western Alliance Bancorp(1) | 3,643 | 143,862 | ||||||
Westwood Holdings Group, Inc. | 2,726 | 92,684 | ||||||
WisdomTree Investments, Inc. | 38,793 | 257,973 | ||||||
WSFS Financial Corp. | 2,576 | 97,656 | ||||||
|
| |||||||
308,693,365 | ||||||||
|
| |||||||
Healthcare - 19.65% |
| |||||||
AAC Holdings, Inc.(1) | 2,251 | 3,151 | ||||||
Abeona Therapeutics, Inc.(1) | 9,456 | 67,516 | ||||||
ABIOMED, Inc.(1) | 17,137 | 5,570,210 | ||||||
Acadia Healthcare Co., Inc.(1) | 82,815 | 2,129,174 | ||||||
ACADIA Pharmaceuticals, Inc.(1) | 32,332 | 522,808 | ||||||
Accelerate Diagnostics, Inc.(1) | 8,663 | 99,624 | ||||||
Acceleron Pharma, Inc.(1) | 10,556 | 459,714 | ||||||
Accuray, Inc.(1) | 27,232 | 92,861 | ||||||
Achaogen, Inc.(1) | 8,882 | 10,925 | ||||||
Aclaris Therapeutics, Inc.(1) | 10,032 | 74,136 | ||||||
Acorda Therapeutics, Inc.(1) | 1,893 | 29,493 | ||||||
Adamas Pharmaceuticals, Inc.(1) | 3,560 | 30,402 | ||||||
Addus HomeCare Corp.(1) | 3,191 | 216,605 | ||||||
ADMA Biologics, Inc.(1) | 5,890 | 14,077 | ||||||
Aduro Biotech, Inc.(1) | 20,389 | 53,827 | ||||||
Adverum Biotechnologies, Inc.(1) | 1,829 | 5,761 | ||||||
Aeglea BioTherapeutics, Inc.(1) | 5,542 | 41,510 | ||||||
Aerie Pharmaceuticals, Inc.(1) | 11,702 | 422,442 | ||||||
Agenus, Inc.(1) | 28,964 | 68,934 | ||||||
AgeX Therapeutics, Inc.(1) | 764 | 2,284 | ||||||
Agios Pharmaceuticals, Inc.(1) | 2,915 | 134,411 | ||||||
Aimmune Therapeutics, Inc.(1) | 14,364 | 343,587 | ||||||
Akcea Therapeutics, Inc.(1) | 4,141 | 124,810 | ||||||
Akebia Therapeutics, Inc.(1) | 25,686 | 142,044 | ||||||
Akorn, Inc.(1) | 3,874 | 13,133 | ||||||
Albireo Pharma, Inc.(1) | 651 | 15,969 | ||||||
Alder Biopharmaceuticals, Inc.(1) | 15,657 | 160,484 | ||||||
Aldeyra Therapeutics, Inc.(1) | 7,015 | 58,224 | ||||||
Alexion Pharmaceuticals, Inc.(1) | 154,987 | 15,089,534 | ||||||
Align Technology, Inc.(1) | 10,814 | 2,264,776 | ||||||
Alkermes Plc(1) | 9,392 | 277,158 | ||||||
Allakos, Inc.(1) | 2,321 | 121,319 |
Allena Pharmaceuticals, Inc.(1) | 3,656 | 19,925 | ||||||
Allogene Therapeutics, Inc.(1) | 5,894 | 158,725 | ||||||
Allscripts Healthcare Solutions, Inc.(1) | 6,944 | 66,940 | ||||||
Alnylam Pharmaceuticals, Inc.(1) | 4,826 | 351,864 | ||||||
Amedisys, Inc.(1) | 8,800 | 1,030,568 | ||||||
American Renal Associates Holdings, Inc.(1) | 3,689 | 42,497 | ||||||
AmerisourceBergen Corp. | 215,821 | 16,057,082 | ||||||
Amicus Therapeutics, Inc.(1) | 62,353 | 597,342 | ||||||
AMN Healthcare Services, Inc.(1) | 15,231 | 862,988 | ||||||
Amneal Pharmaceuticals, Inc.(1) | 28,567 | 386,512 | ||||||
Amphastar Pharmaceuticals, Inc.(1) | 4,509 | 89,729 | ||||||
Ampio Pharmaceuticals, Inc.(1) | 38,516 | 15,206 | ||||||
AnaptysBio, Inc.(1) | 6,940 | 442,703 | ||||||
ANI Pharmaceuticals, Inc.(1) | 2,588 | 116,512 | ||||||
Antares Pharma, Inc.(1) | 47,610 | 129,499 | ||||||
Apellis Pharmaceuticals, Inc.(1) | 11,801 | 155,655 | ||||||
Apollo Medical Holdings, Inc.(1) | 1,095 | 21,736 | ||||||
Aptinyx, Inc.(1) | 3,617 | 59,825 | ||||||
Aquestive Therapeutics, Inc.(1) | 1,359 | 8,562 | ||||||
Aratana Therapeutics, Inc.(1) | 7,201 | 44,142 | ||||||
Arbutus Biopharma Corp.(1) | 2,966 | 11,360 | ||||||
Arcus Biosciences, Inc.(1) | 7,230 | 77,867 | ||||||
Arena Pharmaceuticals, Inc.(1) | 13,083 | 509,583 | ||||||
ArQule, Inc.(1) | 31,885 | 88,321 | ||||||
Array BioPharma, Inc.(1) | 67,951 | 968,302 | ||||||
Arrowhead Pharmaceuticals, Inc.(1) | 28,568 | 354,815 | ||||||
Arsanis, Inc.(1) | 1,627 | 3,775 | ||||||
Arvinas, Inc.(1) | 2,176 | 27,962 | ||||||
Assembly Biosciences, Inc.(1) | 6,820 | 154,268 | ||||||
Assertio Therapeutics, Inc.(1) | 16,508 | 59,594 | ||||||
Atara Biotherapeutics, Inc.(1) | 13,766 | 478,231 | ||||||
Athenahealth, Inc.(1) | 2,442 | 322,173 | ||||||
Athenex, Inc.(1) | 14,298 | 181,442 | ||||||
Athersys, Inc.(1) | 34,177 | 49,215 | ||||||
AtriCure, Inc.(1) | 12,145 | 371,637 | ||||||
Atrion Corp. | 469 | 347,567 | ||||||
Audentes Therapeutics, Inc.(1) | 11,301 | 240,937 | ||||||
AVEO Pharmaceuticals, Inc.(1) | 22,374 | 35,798 | ||||||
Avid Bioservices, Inc.(1) | 17,177 | 70,426 | ||||||
Avrobio, Inc.(1) | 1,656 | 27,572 | ||||||
AxoGen, Inc.(1) | 11,084 | 226,446 | ||||||
Axonics Modulation Technologies, Inc.(1) | 1,753 | 26,488 | ||||||
Bellicum Pharmaceuticals, Inc.(1) | 8,687 | 25,366 | ||||||
BioCryst Pharmaceuticals, Inc.(1) | 30,615 | 247,063 | ||||||
Biohaven Pharmaceutical Holding Co. Ltd.(1) | 9,337 | 345,282 | ||||||
BioMarin Pharmaceutical, Inc.(1) | 235,389 | 20,043,373 | ||||||
BioScrip, Inc.(1) | 4,516 | 16,122 | ||||||
BioSpecifics Technologies Corp.(1) | 1,858 | 112,595 | ||||||
Bio-Techne Corp. | 157,836 | 22,842,026 | ||||||
BioTelemetry, Inc.(1) | 49,325 | 2,945,689 | ||||||
BioTime, Inc.(1) | 7,638 | 6,973 | ||||||
Bluebird Bio, Inc.(1) | 2,268 | 224,986 | ||||||
Blueprint Medicines Corp.(1) | 13,591 | 732,691 | ||||||
Bruker Corp. | 2,537 | 75,526 | ||||||
Calyxt, Inc.(1) | 2,159 | 22,367 |
Cambrex Corp.(1) | 4,825 | 182,192 | ||||||
Cantel Medical Corp. | 182,099 | 13,557,271 | ||||||
Capital Senior Living Corp.(1) | 7,886 | 53,625 | ||||||
Cara Therapeutics, Inc.(1) | 9,162 | 119,106 | ||||||
Cardiovascular Systems, Inc.(1) | 11,185 | 318,661 | ||||||
CareDx, Inc.(1) | 10,865 | 273,146 | ||||||
CASI Pharmaceuticals, Inc.(1) | 14,957 | 60,127 | ||||||
Castlight Health, Inc.(1) | 24,686 | 53,569 | ||||||
Catalent, Inc.(1) | 654,360 | 20,402,945 | ||||||
Catalyst Pharmaceuticals, Inc.(1) | 32,304 | 62,024 | ||||||
Celcuity, Inc.(1) | 1,952 | 46,828 | ||||||
Cellular Biomedicine Group, Inc.(1) | 2,819 | 49,784 | ||||||
Centene Corp.(1) | 10,966 | 1,264,380 | ||||||
Cerner Corp.(1) | 63,564 | 3,333,296 | ||||||
Cerus Corp.(1) | 39,073 | 198,100 | ||||||
Charles River Laboratories International, Inc.(1) | 2,064 | 233,604 | ||||||
Chemed Corp. | 950 | 269,116 | ||||||
ChemoCentryx, Inc.(1) | 7,634 | 83,287 | ||||||
ChromaDex Corp.(1) | 12,948 | 44,412 | ||||||
Civitas Solutions, Inc.(1) | 3,753 | 65,715 | ||||||
Clearside Biomedical, Inc.(1) | 8,852 | 9,472 | ||||||
Clovis Oncology, Inc.(1) | 15,720 | 282,331 | ||||||
Codexis, Inc.(1) | 16,740 | 279,558 | ||||||
Cohbar, Inc.(1) | 8,032 | 24,980 | ||||||
Coherus Biosciences, Inc.(1) | 17,191 | 155,579 | ||||||
Collegium Pharmaceutical, Inc.(1) | 9,722 | 166,927 | ||||||
Computer Programs & Systems, Inc. | 1,994 | 50,049 | ||||||
CONMED Corp. | 3,053 | 196,003 | ||||||
Constellation Pharmaceuticals, Inc.(1) | 1,631 | 6,540 | ||||||
Corbus Pharmaceuticals Holdings, Inc.(1) | 15,874 | 92,704 | ||||||
Corcept Therapeutics, Inc.(1) | 32,028 | 427,894 | ||||||
CorVel Corp.(1) | 3,008 | 185,654 | ||||||
Corvus Pharmaceuticals, Inc.(1) | 3,941 | 14,463 | ||||||
Crinetics Pharmaceuticals, Inc.(1) | 1,904 | 57,101 | ||||||
CryoLife, Inc.(1) | 7,986 | 226,643 | ||||||
CryoPort, Inc.(1) | 8,568 | 94,505 | ||||||
CTI BioPharma Corp.(1) | 16,045 | 11,771 | ||||||
Cue Biopharma, Inc.(1) | 5,579 | 26,221 | ||||||
Cutera, Inc.(1) | 4,503 | 76,641 | ||||||
Cymabay Therapeutics, Inc.(1) | 15,027 | 118,262 | ||||||
Cytokinetics, Inc.(1) | 13,509 | 85,377 | ||||||
CytomX Therapeutics, Inc.(1) | 14,727 | 222,378 | ||||||
CytoSorbents Corp.(1) | 9,680 | 78,214 | ||||||
DaVita, Inc.(1) | 4,139 | 212,993 | ||||||
Deciphera Pharmaceuticals, Inc.(1) | 2,857 | 59,968 | ||||||
Denali Therapeutics, Inc.(1) | 14,971 | 309,301 | ||||||
Dentsply Sirona, Inc. | 462,000 | 17,191,020 | ||||||
Dermira, Inc.(1) | 11,359 | 81,671 | ||||||
DexCom, Inc.(1) | 40,437 | 4,844,353 | ||||||
Dicerna Pharmaceuticals, Inc.(1) | 17,682 | 189,021 | ||||||
Dova Pharmaceuticals, Inc.(1) | 3,699 | 28,038 | ||||||
Durect Corp.(1) | 49,629 | 23,976 | ||||||
Dynavax Technologies Corp.(1) | 18,210 | 166,621 | ||||||
Eagle Pharmaceuticals, Inc.(1) | 3,503 | 141,136 | ||||||
Editas Medicine, Inc.(1) | 15,185 | 345,459 |
Edwards Lifesciences Corp.(1) | 124,838 | 19,121,436 | ||||||
Eidos Therapeutics, Inc.(1) | 1,994 | 27,437 | ||||||
Elanco Animal Health, Inc.(1) | 2,079 | 65,551 | ||||||
ElectroCore, Inc.(1) | 1,852 | 11,594 | ||||||
Eloxx Pharmaceuticals, Inc.(1) | 7,476 | 89,787 | ||||||
Emergent BioSolutions, Inc.(1) | 15,016 | 890,148 | ||||||
Enanta Pharmaceuticals, Inc.(1) | 5,490 | 388,857 | ||||||
Encompass Health Corp. | 5,988 | 369,460 | ||||||
Endo International Plc(1) | 4,509 | 32,916 | ||||||
Endologix, Inc.(1) | 36,503 | 26,136 | ||||||
Ensign Group, Inc. | 16,397 | 636,040 | ||||||
Enzo Biochem, Inc.(1) | 14,800 | 41,144 | ||||||
Epizyme, Inc.(1) | 14,627 | 90,102 | ||||||
Equillium, Inc.(1) | 1,476 | 12,044 | ||||||
Esperion Therapeutics, Inc.(1) | 7,520 | 345,920 | ||||||
Evelo Biosciences, Inc.(1) | 4,575 | 59,521 | ||||||
Evolent Health, Inc.(1) | 5,337 | 106,473 | ||||||
Evolus, Inc.(1) | 2,975 | 35,402 | ||||||
Exact Sciences Corp.(1) | 7,298 | 460,504 | ||||||
Exelixis, Inc.(1) | 120,062 | 2,361,620 | ||||||
Fate Therapeutics, Inc.(1) | 19,914 | 255,497 | ||||||
Fennec Pharmaceuticals, Inc.(1) | 3,523 | 22,477 | ||||||
FibroGen, Inc.(1) | 25,046 | 1,159,129 | ||||||
Flexion Therapeutics, Inc.(1) | 10,879 | 123,150 | ||||||
Fluidigm Corp.(1) | 8,505 | 73,313 | ||||||
FONAR Corp.(1) | 402 | 8,136 | ||||||
Fortress Biotech, Inc.(1) | 10,002 | 8,602 | ||||||
Forty Seven, Inc.(1) | 2,243 | 35,260 | ||||||
G1 Therapeutics, Inc.(1) | 7,494 | 143,510 | ||||||
Genesis Healthcare, Inc.(1) | 18,382 | 21,691 | ||||||
GenMark Diagnostics, Inc.(1) | 16,735 | 81,332 | ||||||
Genomic Health, Inc.(1) | 6,897 | 444,236 | ||||||
Geron Corp.(1) | 54,745 | 54,745 | ||||||
Glaukos Corp.(1) | 11,226 | 630,564 | ||||||
Global Blood Therapeutics, Inc.(1) | 16,397 | 673,097 | ||||||
Globus Medical, Inc.(1) | 152,171 | 6,585,961 | ||||||
GlycoMimetics, Inc.(1) | 11,373 | 107,702 | ||||||
Gritstone Oncology, Inc.(1) | 1,930 | 29,818 | ||||||
GTx, Inc.(1) | 1,452 | 1,133 | ||||||
Guardant Health, Inc.(1) | 4,000 | 150,360 | ||||||
Haemonetics Corp.(1) | 17,114 | 1,712,256 | ||||||
Halozyme Therapeutics, Inc.(1) | 41,162 | 602,200 | ||||||
HealthEquity, Inc.(1) | 66,577 | 3,971,318 | ||||||
HealthStream, Inc. | 8,546 | 206,386 | ||||||
Helius Medical Technologies, Inc.(1) | 6,047 | 55,391 | ||||||
Henry Schein, Inc.(1) | 100,356 | 7,879,953 | ||||||
Heron Therapeutics, Inc.(1) | 22,636 | 587,178 | ||||||
Heska Corp.(1) | 2,171 | 186,923 | ||||||
Hill-Rom Holdings, Inc. | 2,620 | 232,001 | ||||||
HMS Holdings Corp.(1) | 129,913 | 3,654,453 | ||||||
Hologic, Inc.(1) | 82,505 | 3,390,955 | ||||||
Homology Medicines, Inc.(1) | 5,652 | 126,379 | ||||||
Horizon Pharma Plc(1) | 55,189 | 1,078,393 | ||||||
ICON Plc(1) | 39,102 | 5,052,369 | ||||||
ICU Medical, Inc.(1) | 36,041 | 8,276,095 |
Idera Pharmaceuticals, Inc.(1) | 6,060 | 16,786 | ||||||
IDEXX Laboratories, Inc.(1) | 130,415 | 24,259,798 | ||||||
Illumina, Inc.(1) | 50,168 | 15,046,888 | ||||||
Immune Design Corp.(1) | 546 | 710 | ||||||
ImmunoGen, Inc.(1) | 47,416 | 227,597 | ||||||
Immunomedics, Inc.(1) | 43,959 | 627,295 | ||||||
Incyte Corp.(1) | 105,360 | 6,699,842 | ||||||
Innovate Biopharmaceuticals, Inc.(1) | 7,150 | 16,516 | ||||||
Innoviva, Inc.(1) | 22,659 | 395,400 | ||||||
Inogen, Inc.(1) | 5,887 | 730,989 | ||||||
Inovalon Holdings, Inc.(1) | 22,617 | 320,709 | ||||||
Inovio Pharmaceuticals, Inc.(1) | 26,849 | 107,396 | ||||||
Insmed, Inc.(1) | 25,264 | 331,464 | ||||||
Inspire Medical Systems, Inc.(1) | 3,901 | 164,817 | ||||||
Insulet Corp.(1) | 3,582 | 284,124 | ||||||
Insys Therapeutics, Inc.(1) | 8,551 | 29,928 | ||||||
Integer Holdings Corp.(1) | 7,497 | 571,721 | ||||||
Integra LifeSciences Holdings Corp.(1) | 684,500 | 30,870,950 | ||||||
Intellia Therapeutics, Inc.(1) | 10,767 | 146,970 | ||||||
Intercept Pharmaceuticals, Inc.(1) | 7,189 | 724,579 | ||||||
Intersect ENT, Inc.(1) | 9,837 | 277,207 | ||||||
Intra-Cellular Therapies, Inc.(1) | 7,189 | 81,883 | ||||||
Intrexon Corp.(1) | 23,918 | 156,424 | ||||||
IntriCon Corp.(1) | 2,558 | 67,480 | ||||||
Intuitive Surgical, Inc.(1) | 9,485 | 4,542,556 | ||||||
InVitae Corp.(1) | 21,536 | 238,188 | ||||||
Ionis Pharmaceuticals, Inc.(1) | 7,643 | 413,181 | ||||||
Iovance Biotherapeutics, Inc.(1) | 34,773 | 307,741 | ||||||
iRadimed Corp.(1) | 1,095 | 26,784 | ||||||
iRhythm Technologies, Inc.(1) | 7,948 | 552,227 | ||||||
Ironwood Pharmaceuticals, Inc.(1) | 46,434 | 481,056 | ||||||
Jazz Pharmaceuticals Plc(1) | 3,298 | 408,820 | ||||||
Jounce Therapeutics, Inc.(1) | 5,493 | 18,511 | ||||||
Kadmon Holdings, Inc.(1) | 32,493 | 67,585 | ||||||
Kala Pharmaceuticals, Inc.(1) | 5,481 | 26,802 | ||||||
Karyopharm Therapeutics, Inc.(1) | 14,548 | 136,315 | ||||||
Kezar Life Sciences, Inc.(1) | 1,421 | 33,536 | ||||||
Kindred Biosciences, Inc.(1) | 10,128 | 110,902 | ||||||
Kiniksa Pharmaceuticals Ltd.(1) | 1,833 | 51,489 | ||||||
Kodiak Sciences, Inc.(1) | 2,687 | 19,078 | ||||||
Kura Oncology, Inc.(1) | 9,173 | 128,789 | ||||||
La Jolla Pharmaceutical Co.(1) | 6,982 | 65,840 | ||||||
Laboratory Corp. of America Holdings(1) | 118,366 | 14,956,728 | ||||||
Lantheus Holdings, Inc.(1) | 11,161 | 174,670 | ||||||
LeMaitre Vascular, Inc. | 5,327 | 125,930 | ||||||
Lexicon Pharmaceuticals, Inc.(1) | 14,572 | 96,758 | ||||||
LHC Group, Inc.(1) | 9,534 | 895,052 | ||||||
Ligand Pharmaceuticals, Inc.(1) | 41,345 | 5,610,516 | ||||||
Liquidia Technologies, Inc.(1) | 1,247 | 27,010 | ||||||
LivaNova Plc(1) | 12,681 | 1,159,931 | ||||||
LogicBio Therapeutics, Inc.(1) | 2,294 | 23,858 | ||||||
Loxo Oncology, Inc.(1) | 8,855 | 1,240,320 | ||||||
Luminex Corp. | 5,820 | 134,500 | ||||||
MacroGenics, Inc.(1) | 12,720 | 161,544 | ||||||
Madrigal Pharmaceuticals, Inc.(1) | 2,275 | 256,438 |
Magenta Therapeutics, Inc.(1) | 1,130 | 6,441 | ||||||
MannKind Corp.(1) | 44,391 | 47,054 | ||||||
Marinus Pharmaceuticals, Inc.(1) | 11,490 | 32,976 | ||||||
Masimo Corp.(1) | 119,513 | 12,832,111 | ||||||
Medicines Co.(1) | 21,046 | 402,820 | ||||||
MediciNova, Inc.(1) | 13,211 | 107,934 | ||||||
Medidata Solutions, Inc.(1) | 355,012 | 23,934,909 | ||||||
Medpace Holdings, Inc.(1) | 7,146 | 378,238 | ||||||
MeiraGTx Holdings Plc(1) | 1,070 | 10,315 | ||||||
Meridian Bioscience, Inc. | 11,909 | 206,740 | ||||||
Merit Medical Systems, Inc.(1) | 167,921 | 9,371,671 | ||||||
Mersana Therapeutics, Inc.(1) | 3,940 | 16,075 | ||||||
Mettler-Toledo International, Inc.(1) | 46,160 | 26,107,173 | ||||||
Minerva Neurosciences, Inc.(1) | 8,711 | 58,712 | ||||||
Miragen Therapeutics, Inc.(1) | 6,763 | 20,492 | ||||||
Mirati Therapeutics, Inc.(1) | 6,600 | 279,972 | ||||||
Molina Healthcare, Inc.(1) | 3,210 | 373,066 | ||||||
Momenta Pharmaceuticals, Inc.(1) | 25,618 | 282,823 | ||||||
Mustang Bio, Inc.(1) | 4,998 | 14,694 | ||||||
MyoKardia, Inc.(1) | 11,163 | 545,424 | ||||||
Myriad Genetics, Inc.(1) | 20,306 | 590,295 | ||||||
NanoString Technologies, Inc.(1) | 7,411 | 109,905 | ||||||
NantHealth, Inc.(1) | 3,540 | 1,926 | ||||||
Natera, Inc.(1) | 10,817 | 151,005 | ||||||
National Research Corp. | 3,309 | 126,205 | ||||||
Natus Medical, Inc.(1) | 10,769 | 366,469 | ||||||
Nektar Therapeutics(1) | 9,533 | 313,350 | ||||||
Neogen Corp.(1) | 87,287 | 4,975,359 | ||||||
NeoGenomics, Inc.(1) | 21,318 | 268,820 | ||||||
Neon Therapeutics, Inc.(1) | 1,761 | 8,858 | ||||||
Neos Therapeutics, Inc.(1) | 15,018 | 24,780 | ||||||
Neurocrine Biosciences, Inc.(1) | 5,426 | 387,471 | ||||||
Neuronetics, Inc.(1) | 1,903 | 36,823 | ||||||
Nevro Corp.(1) | 9,577 | 372,450 | ||||||
NewLink Genetics Corp.(1) | 713 | 1,084 | ||||||
NextGen Healthcare, Inc.(1) | 11,346 | 171,892 | ||||||
Novavax, Inc.(1) | 47,625 | 87,630 | ||||||
Novocure Ltd.(1) | 24,239 | 811,522 | ||||||
NuVasive, Inc.(1) | 383,550 | 19,008,738 | ||||||
Nuvectra Corp.(1) | 5,700 | 93,138 | ||||||
NxStage Medical, Inc.(1) | 21,713 | 621,426 | ||||||
Nymox Pharmaceutical Corp.(1) | 2,679 | 3,509 | ||||||
Ocular Therapeutix, Inc.(1) | 11,508 | 45,802 | ||||||
Odonate Therapeutics, Inc.(1) | 2,139 | 30,117 | ||||||
Omeros Corp.(1) | 15,145 | 168,715 | ||||||
Omnicell, Inc.(1) | 134,044 | 8,208,855 | ||||||
Optinose, Inc.(1) | 6,246 | 38,725 | ||||||
OraSure Technologies, Inc.(1) | 18,809 | 219,689 | ||||||
Organovo Holdings, Inc.(1) | 36,884 | 35,302 | ||||||
Orthofix Medical, Inc.(1) | 4,328 | 227,177 | ||||||
OrthoPediatrics Corp.(1) | 2,362 | 82,387 | ||||||
Osmotica Pharmaceuticals Plc(1) | 2,480 | 19,220 | ||||||
Ovid therapeutics, Inc.(1) | 3,545 | 8,579 | ||||||
Oxford Immunotec Global Plc(1) | 8,255 | 105,499 | ||||||
Pacific Biosciences of California, Inc.(1) | 44,893 | 332,208 |
Pacira Pharmaceuticals, Inc.(1) | 110,162 | 4,739,169 | ||||||
Palatin Technologies, Inc.(1) | 64,954 | 46,013 | ||||||
Paratek Pharmaceuticals, Inc.(1) | 10,008 | 51,341 | ||||||
Penumbra, Inc.(1) | 22,524 | 2,752,433 | ||||||
PetIQ, Inc.(1) | 4,927 | 115,637 | ||||||
Pfenex, Inc.(1) | 8,687 | 27,712 | ||||||
Phibro Animal Health Corp. | 6,337 | 203,798 | ||||||
Pieris Pharmaceuticals, Inc.(1) | 16,441 | 43,733 | ||||||
PolarityTE, Inc.(1) | 3,332 | 44,949 | ||||||
Portola Pharmaceuticals, Inc.(1) | 19,939 | 389,209 | ||||||
PRA Health Sciences, Inc.(1) | 33,169 | 3,050,221 | ||||||
Premier, Inc.(1) | 993 | 37,089 | ||||||
Prestige Consumer Healthcare, Inc.(1) | 169,914 | 5,246,944 | ||||||
Principia Biopharma, Inc.(1) | 1,593 | 43,632 | ||||||
Progenics Pharmaceuticals, Inc.(1) | 27,552 | 115,718 | ||||||
Proteostasis Therapeutics, Inc.(1) | 9,503 | 30,790 | ||||||
PTC Therapeutics, Inc.(1) | 14,874 | 510,476 | ||||||
Pulse Biosciences, Inc.(1) | 3,359 | 38,494 | ||||||
Puma Biotechnology, Inc.(1) | 9,571 | 194,770 | ||||||
Quanterix Corp.(1) | 2,795 | 51,176 | ||||||
Quidel Corp.(1) | 11,219 | 547,712 | ||||||
Quorum Health Corp.(1) | 9,817 | 28,371 | ||||||
R1 RCM, Inc.(1) | 30,956 | 246,100 | ||||||
Ra Pharmaceuticals, Inc.(1) | 365 | 6,643 | ||||||
Radius Health, Inc.(1) | 13,217 | 217,948 | ||||||
RadNet, Inc.(1) | 12,929 | 131,488 | ||||||
Reata Pharmaceuticals, Inc.(1) | 6,138 | 344,342 | ||||||
Recro Pharma, Inc.(1) | 5,909 | 41,954 | ||||||
REGENXBIO, Inc.(1) | 10,568 | 443,328 | ||||||
Repligen Corp.(1) | 78,483 | 4,139,193 | ||||||
Replimune Group, Inc.(1) | 2,052 | 20,520 | ||||||
ResMed, Inc. | 49,359 | 5,620,509 | ||||||
resTORbio, Inc.(1) | 252 | 2,172 | ||||||
Retrophin, Inc.(1) | 13,655 | 309,013 | ||||||
Revance Therapeutics, Inc.(1) | 10,674 | 214,868 | ||||||
Rhythm Pharmaceuticals, Inc.(1) | 4,948 | 133,002 | ||||||
Rigel Pharmaceuticals, Inc.(1) | 51,092 | 117,512 | ||||||
Rocket Pharmaceuticals, Inc.(1) | 6,932 | 102,732 | ||||||
Rockwell Medical, Inc.(1) | 14,481 | 32,727 | ||||||
RTI Surgical, Inc.(1) | 2,499 | 9,246 | ||||||
Rubius Therapeutics, Inc.(1) | 3,314 | 53,289 | ||||||
SAGE Therapeutics, Inc.(1) | 2,776 | 265,913 | ||||||
Sangamo Therapeutics, Inc.(1) | 33,384 | 383,248 | ||||||
Sarepta Therapeutics, Inc.(1) | 4,039 | 440,776 | ||||||
Savara, Inc.(1) | 9,331 | 70,636 | ||||||
Scholar Rock Holding Corp.(1) | 1,734 | 39,830 | ||||||
Seattle Genetics, Inc.(1) | 6,630 | 375,656 | ||||||
Select Medical Holdings Corp.(1) | 35,612 | 546,644 | ||||||
Selecta Biosciences, Inc.(1) | 5,693 | 15,143 | ||||||
Senseonics Holdings, Inc.(1) | 27,720 | 71,795 | ||||||
Seres Therapeutics, Inc.(1) | 6,650 | 30,058 | ||||||
SI-BONE, Inc.(1) | 2,516 | 52,559 | ||||||
Sienna Biopharmaceuticals, Inc.(1) | 4,875 | 11,310 | ||||||
Sientra, Inc.(1) | 7,692 | 97,765 | ||||||
SIGA Technologies, Inc.(1) | 17,105 | 135,129 |
Simulations Plus, Inc. | 3,810 | 75,819 | ||||||
Solid Biosciences, Inc.(1) | 3,952 | 105,914 | ||||||
Sorrento Therapeutics, Inc.(1) | 35,450 | 85,080 | ||||||
Spark Therapeutics, Inc.(1) | 10,344 | 404,864 | ||||||
Spectrum Pharmaceuticals, Inc.(1) | 30,530 | 267,137 | ||||||
Spero Therapeutics, Inc.(1) | 178 | 1,095 | ||||||
Spring Bank Pharmaceuticals, Inc.(1) | 4,541 | 47,181 | ||||||
STAAR Surgical Co.(1) | 14,465 | 461,578 | ||||||
Stemline Therapeutics, Inc.(1) | 9,451 | 89,784 | ||||||
Supernus Pharmaceuticals, Inc.(1) | 16,076 | 534,045 | ||||||
Surface Oncology, Inc.(1) | 3,913 | 16,591 | ||||||
Surgery Partners, Inc.(1) | 626 | 6,129 | ||||||
SurModics, Inc.(1) | 4,242 | 200,477 | ||||||
Sutro Biopharma, Inc.(1) | 1,821 | 16,425 | ||||||
Syndax Pharmaceuticals, Inc.(1) | 1,685 | 7,498 | ||||||
Syneos Health, Inc.(1) | 359,057 | 14,128,893 | ||||||
Synergy Pharmaceuticals, Inc.(1) | 80,121 | 9,126 | ||||||
Syros Pharmaceuticals, Inc.(1) | 8,605 | 47,930 | ||||||
T2 Biosystems, Inc.(1) | 10,125 | 30,476 | ||||||
Tabula Rasa HealthCare, Inc.(1) | 5,825 | 371,402 | ||||||
Tactile Systems Technology, Inc.(1) | 5,748 | 261,821 | ||||||
Tandem Diabetes Care, Inc.(1) | 16,801 | 637,934 | ||||||
Teladoc Health, Inc.(1) | 22,062 | 1,093,613 | ||||||
Teleflex, Inc. | 527 | 136,219 | ||||||
Teligent, Inc.(1) | 14,020 | 19,207 | ||||||
Tenet Healthcare Corp.(1) | 27,506 | 471,453 | ||||||
TESARO, Inc.(1) | 2,351 | 174,562 | ||||||
TG Therapeutics, Inc.(1) | 20,441 | 83,808 | ||||||
The Cooper Companies, Inc. | 65,469 | 16,661,860 | ||||||
The Providence Service Corp.(1) | 3,680 | 220,874 | ||||||
TherapeuticsMD, Inc.(1) | 60,332 | 229,865 | ||||||
Theravance Biopharma, Inc.(1) | 14,301 | 365,963 | ||||||
Tivity Health, Inc.(1) | 13,141 | 326,028 | ||||||
Tocagen, Inc.(1) | 4,995 | 41,009 | ||||||
TransEnterix, Inc.(1) | 52,692 | 119,084 | ||||||
Translate Bio, Inc.(1) | 2,740 | 20,550 | ||||||
Tricida, Inc.(1) | 3,180 | 74,984 | ||||||
Twist Bioscience Corp.(1) | 1,417 | 32,719 | ||||||
Tyme Technologies, Inc.(1) | 34,293 | 126,541 | ||||||
Ultragenyx Pharmaceutical, Inc.(1) | 15,672 | 681,419 | ||||||
UNITY Biotechnology, Inc.(1) | 8,184 | 133,072 | ||||||
Universal Health Services, Inc. | 111,887 | 13,041,549 | ||||||
Unum Therapeutics, Inc.(1) | 6,408 | 28,195 | ||||||
US Physical Therapy, Inc. | 4,113 | 420,966 | ||||||
Utah Medical Products, Inc. | 978 | 81,252 | ||||||
Vanda Pharmaceuticals, Inc.(1) | 16,855 | 440,421 | ||||||
Vapotherm, Inc.(1) | 1,422 | 28,369 | ||||||
Varex Imaging Corp.(1) | 12,615 | 298,723 | ||||||
Varian Medical Systems, Inc.(1) | 102,049 | 11,563,172 | ||||||
Veeva Systems, Inc.(1) | 197,426 | 17,634,090 | ||||||
Veracyte, Inc.(1) | 9,303 | 117,032 | ||||||
Verastem, Inc.(1) | 22,288 | 74,888 | ||||||
Vericel Corp.(1) | 14,099 | 245,323 | ||||||
Verrica Pharmaceuticals, Inc.(1) | 1,630 | 13,285 | ||||||
ViewRay, Inc.(1) | 20,799 | 126,250 |
Viking Therapeutics, Inc.(1) | 19,737 | 150,988 | ||||||
Vital Therapies, Inc.(1) | 9,598 | 1,788 | ||||||
Vocera Communications, Inc.(1) | 9,912 | 390,037 | ||||||
Voyager Therapeutics, Inc.(1) | 7,150 | 67,210 | ||||||
Waters Corp.(1) | 143,266 | 27,027,131 | ||||||
WaVe Life Sciences Ltd.(1) | 5,762 | 242,234 | ||||||
WellCare Health Plans, Inc.(1) | 65,440 | 15,449,730 | ||||||
West Pharmaceutical Services, Inc. | 94,046 | 9,219,329 | ||||||
Wright Medical Group NV(1) | 40,947 | 1,114,577 | ||||||
Xencor, Inc.(1) | 15,358 | 555,345 | ||||||
Xeris Pharmaceuticals, Inc.(1) | 1,815 | 30,855 | ||||||
XOMA Corp.(1) | 983 | 12,435 | ||||||
Y-mAbs Therapeutics, Inc.(1) | 1,947 | 39,602 | ||||||
Zafgen, Inc.(1) | 9,227 | 45,674 | ||||||
ZIOPHARM Oncology, Inc.(1) | 42,438 | 79,359 | ||||||
Zogenix, Inc.(1) | 10,324 | 376,413 | ||||||
Zomedica Pharmaceuticals Corp.(1) | 14,068 | 17,304 | ||||||
|
| |||||||
640,061,508 | ||||||||
|
| |||||||
Industrials - 14.83% |
| |||||||
A.O. Smith Corp. | 267,643 | 11,428,356 | ||||||
AAON, Inc. | 184,289 | 6,461,172 | ||||||
Actuant Corp. | 9,757 | 204,799 | ||||||
Advanced Disposal Services, Inc.(1) | 174,180 | 4,169,869 | ||||||
Advanced Drainage Systems, Inc. | 11,912 | 288,866 | ||||||
Aerojet Rocketdyne Holdings, Inc.(1) | 23,868 | 840,870 | ||||||
AeroVironment, Inc.(1) | 6,962 | 473,068 | ||||||
Air Lease Corp. | 446 | 13,474 | ||||||
Air Transport Services Group, Inc.(1) | 19,217 | 438,340 | ||||||
Alamo Group, Inc. | 2,745 | 212,243 | ||||||
Alaska Air Group, Inc. | 199,003 | 12,109,333 | ||||||
Albany International Corp. | 9,432 | 588,840 | ||||||
Allegiant Travel Co. | 4,237 | 424,632 | ||||||
Allegion Plc | 4,804 | 382,927 | ||||||
Allied Motion Technologies, Inc. | 2,291 | 102,385 | ||||||
Allison Transmission Holdings, Inc. | 6,983 | 306,624 | ||||||
Altra Industrial Motion Corp. | 149,970 | 3,771,745 | ||||||
American Woodmark Corp.(1) | 4,658 | 259,357 | ||||||
AMETEK, Inc. | 264,690 | 17,919,513 | ||||||
Apogee Enterprises, Inc. | 7,677 | 229,158 | ||||||
Applied Industrial Technologies, Inc. | 12,546 | 676,731 | ||||||
ArcBest Corp. | 1,056 | 36,179 | ||||||
Armstrong Flooring, Inc.(1) | 757 | 8,963 | ||||||
Armstrong World Industries, Inc. | 2,636 | 153,442 | ||||||
ASGN, Inc.(1) | 16,712 | 910,804 | ||||||
Astec Industries, Inc. | 3,576 | 107,959 | ||||||
Astronics Corp.(1) | 6,986 | 212,724 | ||||||
Atkore International Group, Inc.(1) | 12,860 | 255,142 | ||||||
Avis Budget Group, Inc.(1) | 21,961 | 493,683 | ||||||
Axon Enterprise, Inc.(1) | 73,323 | 3,207,881 | ||||||
AZZ, Inc. | 2,682 | 108,246 | ||||||
Barnes Group, Inc. | 2,044 | 109,599 | ||||||
Barrett Business Services, Inc. | 2,350 | 134,538 | ||||||
Beacon Roofing Supply, Inc.(1) | 278,428 | 8,831,736 | ||||||
BG Staffing, Inc. | 2,887 | 59,617 | ||||||
Blue Bird Corp.(1) | 2,308 | 41,983 |
BlueLinx Holdings, Inc.(1) | 2,953 | 72,969 | ||||||
BMC Stock Holdings, Inc.(1) | 1,119 | 17,322 | ||||||
BrightView Holdings, Inc.(1) | 4,488 | 45,822 | ||||||
Builders FirstSource, Inc.(1) | 37,303 | 406,976 | ||||||
BWX Technologies, Inc. | 6,045 | 231,100 | ||||||
C.H. Robinson Worldwide, Inc. | 8,352 | 702,320 | ||||||
CAI International, Inc.(1) | 2,622 | 60,909 | ||||||
Casella Waste Systems, Inc.(1) | 2,534 | 72,194 | ||||||
Charah Solutions, Inc.(1) | 1,309 | 10,930 | ||||||
Chart Industries, Inc.(1) | 4,399 | 286,067 | ||||||
Cimpress(1) | 7,263 | 751,139 | ||||||
Cintas Corp. | 5,340 | 897,067 | ||||||
Columbus Mckinnon Corp. | 4,481 | 135,057 | ||||||
Comfort Systems USA, Inc. | 12,033 | 525,601 | ||||||
Commercial Vehicle Group, Inc.(1) | 10,101 | 57,576 | ||||||
Continental Building Products, Inc.(1) | 12,262 | 312,068 | ||||||
Copart, Inc.(1) | 209,491 | 10,009,480 | ||||||
CoStar Group, Inc.(1) | 48,521 | 16,368,074 | ||||||
Covanta Holding Corp. | 38,741 | 519,904 | ||||||
CRA International, Inc. | 686 | 29,189 | ||||||
CSW Industrials, Inc.(1) | 5,103 | 246,730 | ||||||
Cubic Corp. | 6,100 | 327,814 | ||||||
Cummins, Inc. | 3,286 | 439,141 | ||||||
Curtiss-Wright Corp. | 201 | 20,526 | ||||||
Deluxe Corp. | 15,264 | 586,748 | ||||||
DMC Global, Inc. | 4,704 | 165,204 | ||||||
Donaldson Co., Inc. | 7,314 | 317,354 | ||||||
Douglas Dynamics, Inc. | 7,291 | 261,674 | ||||||
Dun & Bradstreet Corp. | 991 | 141,455 | ||||||
DXP Enterprises, Inc.(1) | 3,947 | 109,884 | ||||||
Dycom Industries, Inc.(1) | 9,942 | 537,266 | ||||||
Echo Global Logistics, Inc.(1) | 8,684 | 176,546 | ||||||
EMCOR Group, Inc. | 14,205 | 847,896 | ||||||
Energous Corp.(1) | 7,485 | 43,338 | ||||||
Energy Recovery, Inc.(1) | 11,558 | 77,785 | ||||||
EnerSys, Inc. | 9,089 | 705,397 | ||||||
EnPro Industries, Inc. | 630 | 37,863 | ||||||
Equifax, Inc. | 1,992 | 185,515 | ||||||
EVI Industries, Inc. | 1,274 | 42,488 | ||||||
Evoqua Water Technologies Corp.(1) | 25,022 | 240,211 | ||||||
Expeditors International of Washington, Inc. | 10,522 | 716,443 | ||||||
Exponent, Inc. | 16,996 | 861,867 | ||||||
Fastenal Co. | 17,563 | 918,369 | ||||||
Federal Signal Corp. | 18,464 | 367,434 | ||||||
Forrester Research, Inc. | 3,387 | 151,399 | ||||||
Fortive Corp. | 323,475 | 21,886,319 | ||||||
Fortune Brands Home & Security, Inc. | 3,607 | 137,030 | ||||||
Forward Air Corp. | 9,659 | 529,796 | ||||||
Foundation Building Materials, Inc.(1) | 1,276 | 10,604 | ||||||
Franklin Covey Co.(1) | 3,243 | 72,416 | ||||||
Franklin Electric Company, Inc. | 14,549 | 623,861 | ||||||
Gardner Denver Holdings, Inc.(1) | 2,542 | 51,984 | ||||||
Gates Industrial Corp. Plc(1) | 911,000 | 12,061,640 | ||||||
Gencor Industries, Inc.(1) | 565 | 6,198 | ||||||
Generac Holdings, Inc.(1) | 19,975 | 992,758 |
General Finance Corp.(1) | 1,896 | 19,169 | ||||||
Genesee & Wyoming, Inc.(1) | 76,119 | 5,634,328 | ||||||
Global Brass and Copper Holdings, Inc. | 6,654 | 167,348 | ||||||
GMS, Inc.(1) | 10,089 | 149,923 | ||||||
Gorman Rupp Co. | 1,195 | 38,730 | ||||||
Graco, Inc. | 10,066 | 421,262 | ||||||
Graham Corp. | 286 | 6,532 | ||||||
Granite Construction, Inc. | 11,392 | 458,870 | ||||||
Griffon Corp. | 612 | 6,395 | ||||||
H&E Equipment Services, Inc. | 8,196 | 167,362 | ||||||
Harris Corp. | 32,603 | 4,389,994 | ||||||
Harsco Corp.(1) | 26,437 | 525,039 | ||||||
HC2 Holdings, Inc.(1) | 13,523 | �� | 35,701 | |||||
HD Supply Holdings, Inc.(1) | 3,399 | 127,530 | ||||||
Healthcare Services Group, Inc. | 197,209 | 7,923,858 | ||||||
Heartland Express, Inc. | 15,362 | 281,125 | ||||||
Heico Corp. | 2,368 | 183,473 | ||||||
Heico Corp. - Class A | 77,670 | 4,893,210 | ||||||
Heidrick & Struggles International, Inc. | 6,160 | 192,130 | ||||||
Herc Holdings, Inc.(1) | 7,962 | 206,932 | ||||||
Heritage Crystal Clean, Inc.(1) | 265 | 6,098 | ||||||
Herman Miller, Inc. | 16,743 | 506,476 | ||||||
Hexcel Corp. | 1,130 | 64,794 | ||||||
Hillenbrand, Inc. | 20,706 | 785,379 | ||||||
HNI Corp. | 14,304 | 506,791 | ||||||
Hub Group, Inc.(1) | 6,829 | 253,151 | ||||||
Hubbell, Inc. | 2,261 | 224,608 | ||||||
Huntington Ingalls Industries, Inc. | 2,217 | 421,917 | ||||||
ICF International, Inc. | 656 | 42,496 | ||||||
IDEX Corp. | 355,572 | 44,894,521 | ||||||
IHS Markit Ltd.(1) | 45,338 | 2,174,864 | ||||||
Ingersoll-Rand Plc | 8,107 | 739,602 | ||||||
InnerWorkings, Inc.(1) | 661 | 2,472 | ||||||
Insperity, Inc. | 12,623 | 1,178,483 | ||||||
Insteel Industries, Inc. | 5,375 | 130,505 | ||||||
Interface, Inc. | 17,355 | 247,309 | ||||||
J.B. Hunt Transportation Services, Inc. | 24,033 | 2,236,030 | ||||||
JELD-WEN Holding, Inc.(1) | 22,428 | 318,702 | ||||||
John Bean Technologies Corp. | 10,318 | 740,936 | ||||||
Kadant, Inc. | 3,582 | 291,790 | ||||||
Kaman Corp. | 9,093 | 510,026 | ||||||
KAR Auction Services, Inc. | 7,703 | 367,587 | ||||||
Kennametal, Inc. | 16,486 | 548,654 | ||||||
Kforce, Inc. | 7,597 | 234,899 | ||||||
Kimball International, Inc. | 10,284 | 145,930 | ||||||
Knoll, Inc. | 14,972 | 246,739 | ||||||
Korn/Ferry International | 18,919 | 748,057 | ||||||
Kornit Digital Ltd.(1) | 96,646 | 1,809,213 | ||||||
Kratos Defense & Security Solutions, Inc.(1) | 10,627 | 149,734 | ||||||
Landstar System, Inc. | 44,565 | 4,263,534 | ||||||
Lawson Products, Inc.(1) | 442 | 13,967 | ||||||
Lennox International, Inc. | 2,045 | 447,569 | ||||||
Lincoln Electric Holdings, Inc. | 3,847 | 303,336 | ||||||
Lindsay Corp. | 3,526 | 339,378 | ||||||
Lydall, Inc.(1) | 907 | 18,421 |
Manitex International, Inc.(1) | 3,491 | 19,829 | ||||||
Marten Transport Ltd. | 5,702 | 92,315 | ||||||
Masco Corp. | 12,740 | 372,518 | ||||||
Masonite International Corp.(1) | 8,235 | 369,175 | ||||||
MasTec, Inc.(1) | 20,884 | 847,055 | ||||||
Matson, Inc. | 6,308 | 201,982 | ||||||
McGrath RentCorp | 7,886 | 405,971 | ||||||
Mercury Systems, Inc.(1) | 75,214 | 3,556,870 | ||||||
Meritor, Inc.(1) | 26,751 | 452,359 | ||||||
Mesa Air Group, Inc.(1) | 790 | 6,091 | ||||||
Milacron Holdings Corp.(1) | 2,534 | 30,129 | ||||||
Miller Industries, Inc. | 188 | 5,076 | ||||||
Mistras Group, Inc.(1) | 4,518 | 64,969 | ||||||
Mobile Mini, Inc. | 12,977 | 412,020 | ||||||
Moog, Inc. | 973 | 75,388 | ||||||
MRC Global, Inc.(1) | 14,815 | 181,187 | ||||||
MSA Safety, Inc. | 11,241 | 1,059,689 | ||||||
MSC Industrial Direct Co., Inc. | 26,471 | 2,036,149 | ||||||
Mueller Industries, Inc. | 18,670 | 436,131 | ||||||
Mueller Water Products, Inc. | 30,586 | 278,333 | ||||||
MYR Group, Inc.(1) | 5,293 | 149,104 | ||||||
National Presto Industries, Inc. | 162 | 18,941 | ||||||
Navistar International Corp.(1) | 971 | 25,197 | ||||||
NCI Building Systems, Inc.(1) | 14,175 | 102,769 | ||||||
Nordson Corp. | 215,299 | 25,695,936 | ||||||
NV5 Global, Inc.(1) | 3,088 | 186,978 | ||||||
Old Dominion Freight Line, Inc. | 4,020 | 496,430 | ||||||
Omega Flex, Inc. | 963 | 52,069 | ||||||
Orion Group Holdings, Inc.(1) | 4,359 | 18,700 | ||||||
P.A.M. Transportation Services, Inc.(1) | 475 | 18,720 | ||||||
Parker-Hannifin Corp. | 1,453 | 216,700 | ||||||
Patrick Industries, Inc.(1) | 7,563 | 223,940 | ||||||
Paylocity Holding Corp.(1) | 9,520 | 573,199 | ||||||
PGT Innovations, Inc.(1) | 18,597 | 294,762 | ||||||
Pitney Bowes, Inc. | 31,182 | 184,286 | ||||||
Plug Power, Inc.(1) | 70,450 | 87,358 | ||||||
Primoris Services Corp. | 300,742 | 5,753,194 | ||||||
Proto Labs, Inc.(1) | 54,639 | 6,162,733 | ||||||
Quanta Services, Inc.(1) | 2,574 | 77,477 | ||||||
Raven Industries, Inc. | 11,788 | 426,608 | ||||||
RBC Bearings, Inc.(1) | 62,847 | 8,239,242 | ||||||
Republic Services, Inc. | 858 | 61,853 | ||||||
Resources Connection, Inc. | 3,027 | 42,983 | ||||||
REV Group, Inc. | 1,792 | 13,458 | ||||||
Rexnord Corp.(1) | 4,013 | 92,098 | ||||||
Ritchie Bros Auctioneers, Inc. | 568,000 | 18,584,960 | ||||||
Robert Half International, Inc. | 7,223 | 413,156 | ||||||
Rockwell Automation, Inc. | 277,727 | 41,792,359 | ||||||
Rollins, Inc. | 8,868 | 320,135 | ||||||
Roper Technologies, Inc. | 1,156 | 308,097 | ||||||
Rush Enterprises, Inc. - Class A | 4,565 | 157,401 | ||||||
Rush Enterprises, Inc. - Class B | 606 | 21,574 | ||||||
Saia, Inc.(1) | 8,433 | 470,730 | ||||||
Schneider National, Inc. | 487 | 9,092 | ||||||
Sensata Technologies Holding Plc(1) | 5,398 | 242,046 |
Simpson Manufacturing Company, Inc. | 13,653 | 739,037 | ||||||
SiteOne Landscape Supply, Inc.(1) | 56,426 | 3,118,665 | ||||||
SP Plus Corp.(1) | 2,117 | 62,536 | ||||||
Spartan Motors, Inc. | 10,956 | 79,212 | ||||||
Sparton Corp.(1) | 1,430 | 26,012 | ||||||
Spirit AeroSystems Holdings, Inc. | 6,455 | 465,341 | ||||||
SPX Corp.(1) | 11,664 | 326,709 | ||||||
Standex International Corp. | 3,300 | 221,694 | ||||||
Stericycle, Inc.(1) | 243,000 | 8,915,670 | ||||||
Sterling Construction Company, Inc.(1) | 2,002 | 21,802 | ||||||
Sun Hydraulics Corp. | 9,494 | 315,106 | ||||||
Systemax, Inc. | 3,016 | 72,052 | ||||||
Team, Inc.(1) | 563 | 8,248 | ||||||
Tennant Co. | 5,901 | 307,501 | ||||||
Tetra Tech, Inc. | 17,104 | 885,474 | ||||||
Textron, Inc. | 2,475 | 113,825 | ||||||
The Brink’s Co. | 16,569 | 1,071,186 | ||||||
The Middleby Corp.(1) | 16,192 | 1,663,404 | ||||||
The Toro Co. | 95,165 | 5,317,820 | ||||||
Thermon Group Holdings, Inc.(1) | 3,157 | 64,024 | ||||||
TPI Composites, Inc.(1) | 4,813 | 118,304 | ||||||
TransDigm Group, Inc.(1) | 2,966 | 1,008,618 | ||||||
TransUnion | 11,256 | 639,341 | ||||||
Trex Company, Inc.(1) | 19,454 | 1,154,789 | ||||||
TriNet Group, Inc.(1) | 14,407 | 604,374 | ||||||
TrueBlue, Inc.(1) | 770 | 17,133 | ||||||
Twin Disc, Inc.(1) | 369 | 5,443 | ||||||
UniFirst Corp. | 51,171 | 7,321,035 | ||||||
United Rentals, Inc.(1) | 139,587 | 14,311,855 | ||||||
Univar, Inc.(1) | 1,017 | 18,042 | ||||||
Universal Forest Products, Inc. | 17,506 | 454,456 | ||||||
Universal Logistics Holdings, Inc. | 2,620 | 47,396 | ||||||
Upwork, Inc.(1) | 3,490 | 63,204 | ||||||
US Ecology, Inc. | 7,231 | 455,408 | ||||||
US Xpress Enterprises, Inc.(1) | 3,919 | 21,986 | ||||||
USA Truck, Inc.(1) | 2,322 | 34,760 | ||||||
Verisk Analytics, Inc.(1) | 239,562 | 26,121,840 | ||||||
Viad Corp. | 3,917 | 196,203 | ||||||
Vicor Corp.(1) | 5,264 | 198,927 | ||||||
Vivint Solar, Inc.(1) | 2,584 | 9,845 | ||||||
VSE Corp. | 222 | 6,640 | ||||||
W.W. Grainger, Inc. | 2,778 | 784,396 | ||||||
Wabash National Corp. | 4,894 | 64,014 | ||||||
WABCO Holdings, Inc.(1) | 160,031 | 17,177,728 | ||||||
Wabtec Corp. | 1,901 | 133,545 | ||||||
WageWorks, Inc.(1) | 45,583 | 1,238,034 | ||||||
Watsco, Inc. | 41,609 | 5,789,476 | ||||||
Watts Water Technologies, Inc. | 5,219 | 336,782 | ||||||
Welbilt, Inc.(1) | 414,087 | 4,600,507 | ||||||
Werner Enterprises, Inc. | 6,884 | 203,353 | ||||||
Wesco Aircraft Holdings, Inc.(1) | 4,676 | 36,940 | ||||||
Willdan Group, Inc.(1) | 3,191 | 111,621 | ||||||
Willis Lease Finance Corp.(1) | 68 | 2,353 | ||||||
Willscot Corp.(1) | 8,110 | 76,396 | ||||||
Woodward, Inc. | 17,668 | 1,312,556 |
XPO Logistics, Inc.(1) | 132,419 | 7,553,180 | ||||||
Xylem, Inc. | 6,106 | 407,392 | ||||||
YRC Worldwide, Inc.(1) | 2,020 | 6,363 | ||||||
|
| |||||||
483,005,468 | ||||||||
|
| |||||||
Information Technology - 23.90% |
| |||||||
2U, Inc.(1) | 38,822 | 1,930,230 | ||||||
3D Systems Corp.(1) | 1,799 | 18,296 | ||||||
8x8, Inc.(1) | 124,041 | 2,237,700 | ||||||
A10 Networks, Inc.(1) | 16,727 | 104,376 | ||||||
Acacia Communications, Inc.(1) | 1,227 | 46,626 | ||||||
ACI Worldwide, Inc.(1) | 35,677 | 987,183 | ||||||
ACM Research, Inc.(1) | 2,800 | 30,464 | ||||||
Adesto Technologies Corp.(1) | 8,047 | 35,407 | ||||||
Advanced Energy Industries, Inc.(1) | 12,643 | 542,764 | ||||||
Advanced Micro Devices, Inc.(1) | 57,254 | 1,056,909 | ||||||
Aerohive Networks, Inc.(1) | 11,236 | 36,629 | ||||||
Agilysys, Inc.(1) | 2,180 | 31,261 | ||||||
Akamai Technologies, Inc.(1) | 107,071 | 6,539,897 | ||||||
Alarm.com Holdings, Inc.(1) | 10,286 | 533,535 | ||||||
Alliance Data Systems Corp. | 77,350 | 11,608,688 | ||||||
Altair Engineering, Inc.(1) | 8,206 | 226,321 | ||||||
Alteryx, Inc.(1) | 9,639 | 573,231 | ||||||
Ambarella, Inc.(1) | 4,102 | 143,488 | ||||||
Amber Road, Inc.(1) | 7,779 | 64,021 | ||||||
American Software, Inc. | 5,483 | 57,297 | ||||||
Amphenol Corp. | 18,042 | 1,461,763 | ||||||
Analog Devices, Inc. | 3,565 | 305,984 | ||||||
Anaplan, Inc.(1) | 4,919 | 130,550 | ||||||
ANSYS, Inc.(1) | 83,157 | 11,886,462 | ||||||
Appfolio, Inc.(1) | 5,143 | 304,568 | ||||||
Applied Optoelectronics, Inc.(1) | 4,617 | 71,240 | ||||||
Apptio, Inc.(1) | 11,429 | 433,845 | ||||||
Aquantia Corp.(1) | 7,375 | 64,679 | ||||||
Arista Networks, Inc.(1) | 50,274 | 10,592,732 | ||||||
Arlo Technologies, Inc.(1) | 1,807 | 18,034 | ||||||
Aspen Technology, Inc.(1) | 357,898 | 29,412,058 | ||||||
Asure Software, Inc.(1) | 3,093 | 15,712 | ||||||
Atlassian Corp. Plc(1) | 448,654 | 39,921,233 | ||||||
Autodesk, Inc.(1) | 11,266 | 1,448,920 | ||||||
Avalara, Inc.(1) | 2,368 | 73,763 | ||||||
Avid Technology, Inc.(1) | 6,485 | 30,804 | ||||||
Badger Meter, Inc. | 9,370 | 461,098 | ||||||
Benefitfocus, Inc.(1) | 7,356 | 336,316 | ||||||
Black Knight, Inc.(1) | 8,677 | 390,986 | ||||||
Blackbaud, Inc. | 212,897 | 13,391,221 | ||||||
Blackline, Inc.(1) | 12,098 | 495,413 | ||||||
Booz Allen Hamilton Holding Corp. | 8,048 | 362,723 | ||||||
Bottomline Technologies, Inc.(1) | 13,866 | 665,568 | ||||||
Box, Inc.(1) | 40,572 | 684,855 | ||||||
Brightcove, Inc.(1) | 11,845 | 83,389 | ||||||
Broadridge Financial Solutions, Inc. | 7,057 | 679,236 | ||||||
Brooks Automation, Inc. | 22,800 | 596,904 | ||||||
Cabot Microelectronics Corp. | 74,920 | 7,143,641 | ||||||
Cadence Design Systems, Inc.(1) | 106,116 | 4,613,924 | ||||||
CalAmp Corp.(1) | 11,248 | 146,336 |
Calix, Inc.(1) | 7,678 | 74,861 | ||||||
Carbon Black, Inc.(1) | 12,689 | 170,286 | ||||||
Carbonite, Inc.(1) | 10,570 | 266,998 | ||||||
Cardtronics Plc(1) | 10,476 | 272,376 | ||||||
Casa Systems, Inc.(1) | 7,934 | 104,173 | ||||||
Cass Information Systems, Inc. | 4,727 | 250,153 | ||||||
CDK Global, Inc. | 7,954 | 380,838 | ||||||
CDW Corp. | 8,953 | 725,641 | ||||||
Ceridian HCM Holding, Inc.(1) | 2,109 | 72,739 | ||||||
CEVA, Inc.(1) | 6,788 | 149,947 | ||||||
ChannelAdvisor Corp.(1) | 8,047 | 91,333 | ||||||
Cirrus Logic, Inc.(1) | 1,013 | 33,611 | ||||||
Cision Ltd.(1) | 22,006 | 257,470 | ||||||
Citrix Systems, Inc. | 126,341 | 12,944,899 | ||||||
Clearfield, Inc.(1) | 2,216 | 21,983 | ||||||
Cloudera, Inc.(1) | 34,886 | 385,839 | ||||||
Cognex Corp. | 83,017 | 3,210,267 | ||||||
Coherent, Inc.(1) | 1,063 | 112,370 | ||||||
Cohu, Inc. | 4,775 | 76,734 | ||||||
CommVault Systems, Inc.(1) | 13,172 | 778,333 | ||||||
Control4 Corp.(1) | 3,507 | 61,723 | ||||||
ConvergeOne Holdings, Inc. | 7,299 | 90,362 | ||||||
CoreLogic, Inc.(1) | 3,057 | 102,165 | ||||||
Cornerstone OnDemand, Inc.(1) | 17,935 | 904,462 | ||||||
Coupa Software, Inc.(1) | 17,938 | 1,127,583 | ||||||
Cray, Inc.(1) | 2,185 | 47,174 | ||||||
CSG Systems International, Inc. | 8,990 | 285,612 | ||||||
CyberArk Software Ltd.(1) | 28,205 | 2,091,119 | ||||||
Cypress Semiconductor Corp. | 15,161 | 192,848 | ||||||
Dell Technologies, Inc. - Class C(1) | 576 | 28,147 | ||||||
Digimarc Corp.(1) | 3,363 | 48,764 | ||||||
Diodes, Inc.(1) | 3,235 | 104,361 | ||||||
DocuSign, Inc.(1) | 60,727 | 2,433,938 | ||||||
Dolby Laboratories, Inc. | 76,708 | 4,743,623 | ||||||
Domo, Inc.(1) | 2,129 | 41,792 | ||||||
Eastman Kodak Co.(1) | 5,915 | 15,083 | ||||||
Ebix, Inc. | 7,942 | 338,012 | ||||||
eGain Corp.(1) | 4,765 | 31,306 | ||||||
Elastic NV(1) | 399 | 28,521 | ||||||
Ellie Mae, Inc.(1) | 87,076 | 5,470,985 | ||||||
Endurance International Group Holdings, Inc.(1) | 22,895 | 152,252 | ||||||
Entegris, Inc. | 46,762 | 1,304,426 | ||||||
Envestnet, Inc.(1) | 91,423 | 4,497,097 | ||||||
EPAM Systems, Inc.(1) | 3,136 | 363,807 | ||||||
ePlus, Inc.(1) | 4,408 | 313,717 | ||||||
Euronet Worldwide, Inc.(1) | 42,600 | 4,361,388 | ||||||
Everbridge, Inc.(1) | 8,797 | 499,318 | ||||||
Everi Holdings, Inc.(1) | 21,001 | 108,155 | ||||||
EVERTEC, Inc. | 16,722 | 479,921 | ||||||
Evo Payments, Inc.(1) | 6,180 | 152,461 | ||||||
Exela Technologies, Inc.(1) | 12,495 | 48,606 | ||||||
ExlService Holdings, Inc.(1) | 204,875 | 10,780,523 | ||||||
Extreme Networks, Inc.(1) | 37,229 | 227,097 | ||||||
F5 Networks, Inc.(1) | 3,736 | 605,344 | ||||||
FactSet Research Systems, Inc. | 2,288 | 457,897 |
Fair Isaac Corp.(1) | 1,745 | 326,315 | ||||||
FARO Technologies, Inc.(1) | 5,354 | 217,587 | ||||||
Fidelity National Information Services, Inc. | 1,680 | 172,284 | ||||||
FireEye, Inc.(1) | 7,849 | 127,232 | ||||||
First Data Corp.(1) | 33,181 | 561,091 | ||||||
Fiserv, Inc.(1) | 24,385 | 1,792,054 | ||||||
Fitbit, Inc.(1) | 15,651 | 77,785 | ||||||
Five9, Inc.(1) | 18,875 | 825,215 | ||||||
FleetCor Technologies, Inc.(1) | 5,366 | 996,574 | ||||||
FLIR Systems, Inc. | 186,872 | 8,136,407 | ||||||
ForeScout Technologies, Inc.(1) | 9,874 | 256,625 | ||||||
FormFactor, Inc.(1) | 2,032 | 28,631 | ||||||
Fortinet, Inc.(1) | 473,038 | 33,316,066 | ||||||
Gartner, Inc.(1) | 5,416 | 692,381 | ||||||
Genpact Ltd. | 3,224 | 87,016 | ||||||
Global Payments, Inc. | 9,718 | 1,002,217 | ||||||
GoDaddy, Inc.(1) | 9,791 | 642,485 | ||||||
GTT Communications, Inc.(1) | 13,948 | 330,010 | ||||||
Guidewire Software, Inc.(1) | 206,872 | 16,597,341 | ||||||
Hackett Group, Inc. | 7,295 | 116,793 | ||||||
Hortonworks, Inc.(1) | 23,909 | 344,768 | ||||||
HubSpot, Inc.(1) | 12,190 | 1,532,649 | ||||||
I3 Verticals, Inc.(1) | 2,029 | 48,899 | ||||||
Ichor Holdings Ltd.(1) | 7,456 | 121,533 | ||||||
II-VI, Inc.(1) | 20,701 | 671,954 | ||||||
Immersion Corp.(1) | 8,409 | 75,345 | ||||||
Imperva, Inc.(1) | 11,637 | 648,065 | ||||||
Impinj, Inc.(1) | 5,308 | 77,231 | ||||||
Information Services Group, Inc.(1) | 6,974 | 29,570 | ||||||
Inphi Corp.(1) | 14,269 | 458,748 | ||||||
Insight Enterprises, Inc.(1) | 4,303 | 175,347 | ||||||
Instructure, Inc.(1) | 10,402 | 390,179 | ||||||
Integrated Device Technology, Inc.(1) | 42,644 | 2,065,249 | ||||||
InterDigital, Inc. | 5,028 | 334,010 | ||||||
Internap Corp.(1) | 8,112 | 33,665 | ||||||
IPG Photonics Corp.(1) | 91,535 | 10,370,000 | ||||||
Iteris, Inc.(1) | 9,034 | 33,697 | ||||||
Itron, Inc.(1) | 11,192 | 529,270 | ||||||
J2 Global, Inc. | 83,900 | 5,820,982 | ||||||
Jack Henry & Associates, Inc. | 76,117 | 9,630,323 | ||||||
KLA-Tencor Corp. | 9,363 | 837,895 | ||||||
Kopin Corp.(1) | 19,225 | 19,206 | ||||||
Lam Research Corp. | 9,485 | 1,291,572 | ||||||
Lattice Semiconductor Corp.(1) | 38,269 | 264,821 | ||||||
Limelight Networks, Inc.(1) | 36,194 | 84,694 | ||||||
Littelfuse, Inc. | 44,924 | 7,703,568 | ||||||
LivePerson, Inc.(1) | 19,443 | 366,695 | ||||||
LiveRamp Holdings, Inc.(1) | 12,881 | 497,593 | ||||||
LogMeIn, Inc. | 258,630 | 21,096,449 | ||||||
Lumentum Holdings, Inc.(1) | 20,837 | 875,362 | ||||||
Majesco, Inc.(1) | 1,936 | 13,726 | ||||||
Manhattan Associates, Inc.(1) | 53,840 | 2,281,201 | ||||||
Marvell Technology Group Ltd. | 9,261 | 149,936 | ||||||
Maxim Integrated Products, Inc. | 17,006 | 864,755 | ||||||
MAXIMUS, Inc. | 21,038 | 1,369,363 |
MaxLinear, Inc.(1) | 20,921 | 368,210 | ||||||
Mesa Laboratories, Inc. | 1,108 | 230,896 | ||||||
Methode Electronics, Inc. | 5,509 | 128,305 | ||||||
Microchip Technology, Inc. | 63,917 | 4,596,911 | ||||||
MINDBODY, Inc.(1) | 14,332 | 521,685 | ||||||
Mitek Systems, Inc.(1) | 10,557 | 114,121 | ||||||
MKS Instruments, Inc. | 3,271 | 211,339 | ||||||
MobileIron, Inc.(1) | 24,334 | 111,693 | ||||||
Model N, Inc.(1) | 8,376 | 110,814 | ||||||
MoneyGram International, Inc.(1) | 723 | 1,446 | ||||||
Monolithic Power Systems, Inc. | 53,985 | 6,275,756 | ||||||
Monotype Imaging Holdings, Inc. | 6,342 | 98,428 | ||||||
Motorola Solutions, Inc. | 1,120 | 128,845 | ||||||
Nanometrics, Inc.(1) | 7,469 | 204,128 | ||||||
Napco Security Technologies, Inc.(1) | 3,969 | 62,512 | ||||||
National Instruments Corp. | 54,041 | 2,452,381 | ||||||
NCR Corp.(1) | 5,946 | 137,234 | ||||||
NetApp, Inc. | 16,020 | 955,913 | ||||||
NETGEAR, Inc.(1) | 2,305 | 119,929 | ||||||
New Relic, Inc.(1) | 114,844 | 9,298,919 | ||||||
NIC, Inc. | 20,989 | 261,943 | ||||||
Nice Ltd. - ADR(1) | 106,402 | 11,513,760 | ||||||
nLight, Inc.(1) | 7,465 | 132,728 | ||||||
Novanta, Inc.(1) | 10,789 | 679,707 | ||||||
Nutanix, Inc.(1) | 401,553 | 16,700,589 | ||||||
NVE Corp. | 1,439 | 125,970 | ||||||
Okta, Inc.(1) | 233,238 | 14,880,584 | ||||||
ON Semiconductor Corp.(1) | 82,890 | 1,368,514 | ||||||
OneSpan, Inc.(1) | 10,383 | 134,460 | ||||||
OSI Systems, Inc.(1) | 2,053 | 150,485 | ||||||
Palo Alto Networks, Inc.(1) | 250,287 | 47,141,556 | ||||||
PAR Technology Corp.(1) | 3,073 | 66,838 | ||||||
Park City Group, Inc.(1) | 4,729 | 28,232 | ||||||
Park Electrochemical Corp. | 3,557 | 64,275 | ||||||
Paychex, Inc. | 19,628 | 1,278,764 | ||||||
Paycom Software, Inc.(1) | 69,226 | 8,476,724 | ||||||
PDF Solutions, Inc.(1) | 919 | 7,747 | ||||||
Pegasystems, Inc. | 2,292 | 109,626 | ||||||
Perficient, Inc.(1) | 4,004 | 89,129 | ||||||
PFSweb, Inc.(1) | 4,693 | 24,075 | ||||||
Plantronics, Inc. | 10,892 | 360,525 | ||||||
Pluralsight, Inc. - Class A(1) | 1,153 | 27,153 | ||||||
Power Integrations, Inc. | 97,032 | 5,917,011 | ||||||
PRGX Global, Inc.(1) | 6,989 | 66,186 | ||||||
Progress Software Corp. | 14,697 | 521,597 | ||||||
Proofpoint, Inc.(1) | 52,854 | 4,429,694 | ||||||
PROS Holdings, Inc.(1) | 63,074 | 1,980,524 | ||||||
PTC, Inc.(1) | 45,499 | 3,771,867 | ||||||
Pure Storage, Inc.(1) | 641,073 | 10,308,454 | ||||||
Q2 Holdings, Inc.(1) | 62,070 | 3,075,569 | ||||||
QAD, Inc. | 3,421 | 134,548 | ||||||
Qualys, Inc.(1) | 154,530 | 11,549,572 | ||||||
Quantenna Communications, Inc.(1) | 11,115 | 159,500 | ||||||
Rapid7, Inc.(1) | 12,079 | 376,382 | ||||||
RealPage, Inc.(1) | 4,336 | 208,952 |
Red Hat, Inc.(1) | 167,825 | 29,476,783 | ||||||
Rimini Street, Inc.(1) | 3,958 | 20,384 | ||||||
RingCentral, Inc.(1) | 4,172 | 343,940 | ||||||
Rogers Corp.(1) | 3,175 | 314,516 | ||||||
Rudolph Technologies, Inc.(1) | 10,363 | 212,131 | ||||||
Sabre Corp. | 13,529 | 292,768 | ||||||
SailPoint Technologies Holding, Inc.(1) | 22,893 | 537,757 | ||||||
Science Applications International Corp. | 13,956 | 888,997 | ||||||
SecureWorks Corp.(1) | 391 | 6,604 | ||||||
Semtech Corp.(1) | 114,398 | 5,247,436 | ||||||
SendGrid, Inc.(1) | 9,731 | 420,087 | ||||||
ServiceNow, Inc.(1) | 168,806 | 30,055,908 | ||||||
ServiceSource International, Inc.(1) | 26,678 | 28,812 | ||||||
Shopify, Inc.(1) | 20,967 | 2,902,881 | ||||||
ShotSpotter, Inc.(1) | 2,455 | 76,547 | ||||||
Silicon Laboratories, Inc.(1) | 48,979 | 3,860,035 | ||||||
Skyworks Solutions, Inc. | 7,710 | 516,724 | ||||||
SMART Global Holdings, Inc.(1) | 3,352 | 99,554 | ||||||
SolarWinds Corp.(1) | 1,237 | 17,108 | ||||||
Splunk, Inc.(1) | 552,953 | 57,977,122 | ||||||
SPS Commerce, Inc.(1) | 5,646 | 465,117 | ||||||
Square, Inc.(1) | 78,876 | 4,424,155 | ||||||
SS&C Technologies Holdings, Inc. | 11,762 | 530,584 | ||||||
SunPower Corp.(1) | 6,665 | 33,125 | ||||||
SVMK, Inc.(1) | 4,961 | 60,871 | ||||||
Switch, Inc. | 2,049 | 14,343 | ||||||
Synaptics, Inc.(1) | 1,054 | 39,219 | ||||||
Synopsys, Inc.(1) | 144,861 | 12,203,091 | ||||||
Tableau Software, Inc.(1) | 108,422 | 13,010,640 | ||||||
Telaria, Inc.(1) | 4,608 | 12,580 | ||||||
Telenav, Inc.(1) | 5,639 | 22,894 | ||||||
Tenable Holdings, Inc.(1) | 3,407 | 75,601 | ||||||
Teradata Corp.(1) | 5,151 | 197,592 | ||||||
Teradyne, Inc. | 1,704 | 53,472 | ||||||
The Western Union Co. | 7,479 | 127,592 | ||||||
Total System Services, Inc. | 11,006 | 894,678 | ||||||
Trade Desk, Inc.(1) | 10,960 | 1,272,018 | ||||||
TTEC Holdings, Inc. | 4,681 | 133,736 | ||||||
Tucows, Inc.(1) | 3,135 | 188,288 | ||||||
Twilio, Inc.(1) | 4,507 | 402,475 | ||||||
Tyler Technologies, Inc.(1) | 17,557 | 3,262,442 | ||||||
Ubiquiti Networks, Inc. | 918 | 91,258 | ||||||
Ultimate Software Group, Inc.(1) | 18,498 | 4,529,605 | ||||||
Unisys Corp.(1) | 11,532 | 134,117 | ||||||
Universal Display Corp. | 2,598 | 243,095 | ||||||
Upland Software, Inc.(1) | 5,247 | 142,613 | ||||||
USA Technologies, Inc.(1) | 18,813 | 73,183 | ||||||
Varonis Systems, Inc.(1) | 9,310 | 492,499 | ||||||
VeriSign, Inc.(1) | 6,436 | 954,394 | ||||||
Veritone, Inc.(1) | 2,969 | 11,282 | ||||||
Versum Materials, Inc. | 6,666 | 184,782 | ||||||
Viavi Solutions, Inc.(1) | 26,809 | 269,430 | ||||||
VirnetX Holding Corp.(1) | 18,050 | 43,320 | ||||||
Virtusa Corp.(1) | 9,342 | 397,876 | ||||||
Vishay Precision Group, Inc.(1) | 2,541 | 76,814 |
WEX, Inc.(1) | 31,051 | 4,349,003 | ||||||
Workday, Inc.(1) | 384,827 | 61,449,175 | ||||||
Workiva, Inc.(1) | 9,400 | 337,366 | ||||||
Worldpay, Inc.(1) | 62,839 | 4,802,785 | ||||||
Xilinx, Inc. | 15,570 | 1,326,097 | ||||||
Xperi Corp. | 3,387 | 62,287 | ||||||
Yext, Inc.(1) | 27,411 | 407,053 | ||||||
Zebra Technologies Corp.(1) | 3,218 | 512,402 | ||||||
Zendesk, Inc.(1) | 6,429 | 375,261 | ||||||
Zix Corp.(1) | 17,166 | 98,361 | ||||||
Zscaler, Inc.(1) | 20,003 | 784,318 | ||||||
|
| |||||||
778,480,837 | ||||||||
|
| |||||||
Materials - 4.81% |
| |||||||
Advanced Emissions Solutions, Inc. | 898 | 9,474 | ||||||
AdvanSix, Inc.(1) | 3,474 | 84,557 | ||||||
Albemarle Corp. | 7,089 | 546,349 | ||||||
Amyris, Inc.(1) | 1,643 | 5,488 | ||||||
AptarGroup, Inc. | 321,661 | 30,258,650 | ||||||
Avery Dennison Corp. | 5,281 | 474,392 | ||||||
Axalta Coating Systems Ltd.(1) | 5,142 | 120,426 | ||||||
Balchem Corp. | 103,564 | 8,114,239 | ||||||
Berry Global Group, Inc.(1) | 558,732 | 26,556,532 | ||||||
Boise Cascade Co. | 12,043 | 287,226 | ||||||
Celanese Corp. | 5,177 | 465,775 | ||||||
Century Aluminum Co.(1) | 765 | 5,592 | ||||||
Chase Corp. | 2,381 | 238,219 | ||||||
Chemours Co. | 10,469 | 295,435 | ||||||
Cleveland-Cliffs, Inc.(1) | 15,463 | 118,910 | ||||||
Coeur Mining, Inc.(1) | 9,504 | 42,483 | ||||||
Compass Minerals International, Inc. | 10,281 | 428,615 | ||||||
Crown Holdings, Inc.(1) | 7,862 | 326,823 | ||||||
Eagle Materials, Inc. | 2,513 | 153,368 | ||||||
Ferro Corp.(1) | 27,382 | 429,350 | ||||||
FMC Corp. | 3,337 | 246,804 | ||||||
Forterra, Inc.(1) | 6,374 | 23,966 | ||||||
GCP Applied Technologies, Inc.(1) | 23,694 | 581,688 | ||||||
Gold Resource Corp. | 15,162 | 60,648 | ||||||
Graphic Packaging Holding Co. | 698,018 | 7,426,912 | ||||||
Greif, Inc. - Class A | 697 | 25,866 | ||||||
Greif, Inc. - Class B | 217 | 9,635 | ||||||
HB Fuller Co. | 12,474 | 532,266 | ||||||
Hecla Mining Co. | 11,546 | 27,249 | ||||||
Ingevity Corp.(1) | 97,672 | 8,174,170 | ||||||
Innophos Holdings, Inc. | 900 | 22,077 | ||||||
Innospec, Inc. | 71,494 | 4,415,469 | ||||||
International Flavors & Fragrances, Inc. | 139,935 | 18,789,072 | ||||||
International Paper Co. | 2,791 | 112,645 | ||||||
Kaiser Aluminum Corp. | 2,749 | 245,458 | ||||||
Koppers Holdings, Inc.(1) | 4,790 | 81,622 | ||||||
Kraton Corp.(1) | 9,408 | 205,471 | ||||||
Kronos Worldwide, Inc. | 7,405 | 85,306 | ||||||
Livent Corp.(1) | 3,620 | 49,956 | ||||||
Louisiana-Pacific Corp. | 6,967 | 154,807 | ||||||
Marrone Bio Innovations, Inc.(1) | 17,715 | 26,041 | ||||||
Martin Marietta Materials, Inc. | 127,292 | 21,877,676 |
Myers Industries, Inc. | 11,611 | 175,442 | ||||||
Neenah, Inc. | 4,550 | 268,086 | ||||||
NewMarket Corp. | 448 | 184,616 | ||||||
OMNOVA Solutions, Inc.(1) | 14,525 | 106,468 | ||||||
Packaging Corp. of America | 5,698 | 475,555 | ||||||
Platform Specialty Products Corp.(1) | 6,859 | 70,853 | ||||||
PolyOne Corp. | 24,924 | 712,826 | ||||||
Quaker Chemical Corp. | 4,305 | 765,042 | ||||||
Ramaco Resources, Inc.(1) | 1,718 | 8,504 | ||||||
Reliance Steel & Aluminum Co. | 74,302 | 5,288,073 | ||||||
Royal Gold, Inc. | 1,632 | 139,781 | ||||||
RPM International, Inc. | 1,601 | 94,107 | ||||||
Ryerson Holding Corp.(1) | 4,974 | 31,535 | ||||||
Schweitzer-Mauduit International, Inc. | 1,936 | 48,497 | ||||||
Scotts Miracle-Gro Co. | 1,212 | 74,490 | ||||||
Sealed Air Corp. | 5,226 | 182,074 | ||||||
Sensient Technologies Corp. | 7,404 | 413,513 | ||||||
Silgan Holdings, Inc. | 1,646 | 38,879 | ||||||
Steel Dynamics, Inc. | 2,127 | 63,895 | ||||||
Summit Materials, Inc.(1) | 36,996 | 458,750 | ||||||
Tahoe Resources, Inc.(1) | 47,934 | 174,959 | ||||||
Trinseo SA | 9,746 | 446,172 | ||||||
Tronox Ltd. | 13,986 | 108,811 | ||||||
United States Lime & Minerals, Inc. | 34 | 2,414 | ||||||
US Concrete, Inc.(1) | 5,306 | 187,196 | ||||||
Valhi, Inc. | 368 | 710 | ||||||
Valvoline, Inc. | 653,000 | 12,635,550 | ||||||
Verso Corp.(1) | 841 | 18,838 | ||||||
Vulcan Materials Co. | 7,554 | 746,335 | ||||||
W.R. Grace & Co. | 3,036 | 197,067 | ||||||
Westlake Chemical Corp. | 2,030 | 134,325 | ||||||
Worthington Industries, Inc. | 12,733 | 443,618 | ||||||
|
| |||||||
156,833,688 | ||||||||
|
| |||||||
Real Estate - 2.75% |
| |||||||
Alexander’s, Inc. | 700 | 213,318 | ||||||
Alexandria Real Estate Equities, Inc. | 505 | 58,196 | ||||||
Altisource Portfolio Solutions SA(1) | 222 | 4,993 | ||||||
Americold Realty Trust | 28,476 | 727,277 | ||||||
Armada Hoffler Properties, Inc. | 4,902 | 68,922 | ||||||
CBRE Group, Inc.(1) | 9,332 | 373,653 | ||||||
City Office REIT, Inc. | 2,243 | 22,991 | ||||||
Clipper Realty, Inc. | 4,969 | 64,945 | ||||||
Colony Capital, Inc. | 1,456 | 6,814 | ||||||
Consolidated-Tomoka Land Co. | 418 | 21,945 | ||||||
CoreSite Realty Corp. | 56,082 | 4,892,033 | ||||||
Corporate Office Properties Trust | 145,048 | 3,050,359 | ||||||
Cushman & Wakefield Plc(1) | 11,540 | 166,984 | ||||||
Easterly Government Properties, Inc. | 4,537 | 71,140 | ||||||
EastGroup Properties, Inc. | 11,580 | 1,062,233 | ||||||
Equity Lifestyle Properties, Inc. | 5,248 | 509,738 | ||||||
Essential Properties Realty Trust, Inc. | 1,516 | 20,981 | ||||||
Extra Space Storage, Inc. | 6,480 | 586,310 | ||||||
First Industrial Realty Trust, Inc. | 8,935 | 257,864 | ||||||
FirstService Corp. | 51,863 | 3,551,578 | ||||||
Four Corners Property Trust, Inc. | 15,130 | 396,406 |
FRP Holdings, Inc.(1) | 339 | 15,597 | ||||||
Gaming and Leisure Properties, Inc. | 4,419 | 142,778 | ||||||
HFF, Inc. | 12,324 | 408,664 | ||||||
Hudson Pacific Properties, Inc. | 135,129 | 3,926,849 | ||||||
Jones Lang LaSalle, Inc. | 153,994 | 19,495,640 | ||||||
Kennedy-Wilson Holdings, Inc. | 21,130 | 383,932 | ||||||
Lamar Advertising Co. | 4,682 | 323,901 | ||||||
Life Storage, Inc. | 148 | 13,763 | ||||||
Marcus & Millichap, Inc.(1) | 6,409 | 220,021 | ||||||
Maui Land & Pineapple Co, Inc.(1) | 2,263 | 22,449 | ||||||
Monmouth Real Estate Investment Corp. | 4,652 | 57,685 | ||||||
National Health Investors, Inc. | 5,912 | 446,593 | ||||||
National Storage Affiliates Trust Co. | 1,742 | 46,093 | ||||||
Newmark Group, Inc. | 49,124 | 393,974 | ||||||
NexPoint Residential Trust, Inc. | 277 | 9,709 | ||||||
Omega Healthcare Investors, Inc. | 1,024 | 35,994 | ||||||
Pennsylvania Real Estate Investment Trust | 10,478 | 62,239 | ||||||
PS Business Parks, Inc. | 4,516 | 591,596 | ||||||
QTS Realty Trust, Inc. | 7,746 | 286,989 | ||||||
Redfin Corp.(1) | 26,047 | 375,077 | ||||||
RMR Group, Inc. | 2,332 | 123,783 | ||||||
Ryman Hospitality Properties, Inc. | 14,751 | 983,744 | ||||||
Saul Centers, Inc. | 3,544 | 167,348 | ||||||
SBA Communications Corp.(1) | 211,111 | 34,176,760 | ||||||
Tanger Factory Outlet Centers, Inc. | 30,198 | 610,604 | ||||||
Taubman Centers, Inc. | 3,633 | 165,265 | ||||||
Terreno Realty Corp. | 265,661 | 9,343,297 | ||||||
The GEO Group, Inc. | 8,292 | 163,352 | ||||||
The Howard Hughes Corp.(1) | 961 | 93,813 | ||||||
Trinity Place Holdings, Inc.(1) | 6,146 | 26,674 | ||||||
UMH Properties, Inc. | 9,403 | 111,332 | ||||||
Universal Health Realty Income Trust | 3,796 | 232,961 | ||||||
Urban Edge Properties | 5,757 | 95,681 | ||||||
|
| |||||||
89,682,837 | ||||||||
|
| |||||||
Utilities - 0.05% |
| |||||||
American States Water Co. | 8,254 | 553,348 | ||||||
California Water Service Group | 1,385 | 66,009 | ||||||
Chesapeake Utilities Corp. | 555 | 45,121 | ||||||
Global Water Resources, Inc. | 3,770 | 38,228 | ||||||
Middlesex Water Co. | 4,519 | 241,089 | ||||||
New Jersey Resources Corp. | 2,188 | 99,926 | ||||||
Pure Cycle Corp.(1) | 3,048 | 30,267 | ||||||
SJW Group | 3,692 | 205,349 | ||||||
South Jersey Industries, Inc. | 4,165 | 115,787 | ||||||
Spark Energy, Inc. | 3,947 | 29,326 | ||||||
TerraForm Power, Inc. | 4,141 | 46,462 | ||||||
York Water Co. | 3,719 | 119,231 | ||||||
|
| |||||||
1,590,143 | ||||||||
|
| |||||||
Total Common Stocks (Cost $2,881,648,346) |
| $ | 3,178,725,843 | |||||
|
| |||||||
RIGHTS - 0.00%(2) |
| |||||||
Healthcare - 0.00%(2) |
| |||||||
Corium International, Inc., expires 3/31/2020 - CVR(1)(4) | 7,613 | $ | 1,370 | |||||
|
| |||||||
Materials - 0.00%(2) |
| |||||||
A. Schulman, Inc. - CVR(1)(4) | �� | 9,002 | 15,475 | |||||
|
| |||||||
Total Rights (Cost $0) |
| $ | 16,845 | |||||
|
|
SHORT-TERM INVESTMENTS - 2.21% |
| |||||||
Money Market Funds - 2.21% |
| |||||||
Goldman Sachs Financial Square Government Fund - Class I, 2.34%(3) | 35,920,640 | $ | 35,920,640 | |||||
JPMorgan U.S. Government Money Market Fund - Class I, 2.31%(3) | 35,920,640 | 35,920,640 | ||||||
|
| |||||||
Total Short-Term Investments (Cost $71,841,280) |
| $ | 71,841,280 | |||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES - 99.80% |
| $ | 3,250,583,968 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.20% |
| 6,647,837 | ||||||
|
| |||||||
TOTAL NET ASSETS - 100.00% |
| $ | 3,257,231,805 | |||||
|
|
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. The value of these securities total $16,845, which represents 0.00% of total 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 this Schedule of Investments.
Bridge Builder Small/Mid Cap Value Fund
Schedule of Investments
December 31, 2018 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS - 95.82% |
| |||||||
Communication Services - 2.09% |
| |||||||
Activision Blizzard, Inc. | 122,475 | $ | 5,703,661 | |||||
AMC Entertainment Holdings, Inc. | 14,796 | 181,695 | ||||||
AMC Networks, Inc.(1) | 65,900 | 3,616,592 | ||||||
ATN International, Inc. | 2,974 | 212,730 | ||||||
Beasley Broadcast Group, Inc. | 1,865 | 6,994 | ||||||
Boston Omaha Corp.(1) | 1,501 | 35,123 | ||||||
Cable One, Inc. | 16,710 | 13,703,871 | ||||||
Cars.com, Inc.(1) | 19,747 | 424,560 | ||||||
CBS Corp. | 63,500 | 2,776,220 | ||||||
CenturyLink, Inc. | 33,339 | 505,086 | ||||||
Cincinnati Bell, Inc.(1) | 12,706 | 98,853 | ||||||
Cinemark Holdings, Inc. | 3,733 | 133,641 | ||||||
Clear Channel Outdoor Holdings, Inc. | 10,046 | 52,139 | ||||||
Consolidated Communications Holdings, Inc. | 20,153 | 199,112 | ||||||
Daily Journal Corp.(1) | 320 | 74,880 | ||||||
Discovery Communications, Inc. - Class A(1) | 5,345 | 132,235 | ||||||
Discovery Communications, Inc. - Class C(1) | 12,039 | 277,860 | ||||||
DISH Network Corp.(1) | 7,755 | 193,642 | ||||||
E.W. Scripps Co. | 13,105 | 206,142 | ||||||
Emerald Expositions Events, Inc. | 586,685 | 7,239,693 | ||||||
Entercom Communications Corp. | 36,768 | 209,945 | ||||||
Entravision Communications Corp. | 14,792 | 43,045 | ||||||
Eros International Plc(1) | 5,131 | 42,536 | ||||||
Fluent, Inc.(1) | 9,868 | 35,525 | ||||||
Frontier Communications Corp.(1) | 28,931 | 68,856 | ||||||
Gannett Co., Inc. | 32,629 | 278,325 | ||||||
GCI Liberty, Inc.(1) | 3,477 | 143,113 | ||||||
Gray Television, Inc.(1) | 22,975 | 338,651 | ||||||
Hemisphere Media Group, Inc.(1) | 2,564 | 31,127 | ||||||
Intelsat S.A.(1) | 15,828 | 338,561 | ||||||
InterActiveCorp(1) | 21,742 | 3,979,656 | ||||||
Interpublic Group of Companies, Inc. | 11,938 | 246,281 | ||||||
Iridium Communications, Inc.(1) | 27,454 | 506,526 | ||||||
John Wiley & Sons, Inc. | 1,558 | 73,179 | ||||||
Liberty Broadband Corp. - Class A(1) | 865 | 62,116 | ||||||
Liberty Broadband Corp. - Class C(1) | 3,654 | 263,198 | ||||||
Liberty Latin America Ltd. - Class A(1) | 12,495 | 180,928 | ||||||
Liberty Latin America Ltd. - Class C(1) | 32,476 | 473,175 | ||||||
Liberty Media Group LLC - Class A(1) | 892 | 26,510 | ||||||
Liberty Media Group LLC - Class C(1) | 6,850 | 210,295 | ||||||
Liberty SiriusXM Group - Class A(1) | 2,943 | 108,302 | ||||||
Liberty SiriusXM Group - Class C(1) | 5,771 | 213,412 | ||||||
Lions Gate Entertainment Corp. - Class A | 1,640 | 26,396 | ||||||
Lions Gate Entertainment Corp. - Class B | 3,093 | 46,016 | ||||||
Marcus Corp. | 5,584 | 220,568 | ||||||
Meet Group, Inc.(1) | 20,367 | 94,299 |
Meredith Corp. | 11,269 | 585,312 | ||||||
MSG Networks, Inc.(1) | 16,962 | 399,625 | ||||||
National CineMedia, Inc. | 21,807 | 141,309 | ||||||
NetEase, Inc. - ADR | 24,423 | 5,748,441 | ||||||
New Media Investment Group, Inc. | 17,091 | 197,743 | ||||||
New York Times Co. | 6,979 | 155,562 | ||||||
News Corp. - Class A | 13,436 | 152,499 | ||||||
News Corp. - Class B | 4,133 | 47,736 | ||||||
Nexstar Media Group, Inc. | 278,850 | 21,928,764 | ||||||
NII Holdings, Inc.(1) | 24,854 | 109,606 | ||||||
Omnicom Group, Inc. | 47,466 | 3,476,410 | ||||||
pdvWireless, Inc.(1) | 2,669 | 99,794 | ||||||
Reading International, Inc.(1) | 4,766 | 69,298 | ||||||
Rosetta Stone, Inc.(1) | 4,830 | 79,212 | ||||||
Saga Communications, Inc. | 1,068 | 35,490 | ||||||
Scholastic Corp. | 8,152 | 328,200 | ||||||
Sinclair Broadcast Group, Inc. | 10,413 | 274,278 | ||||||
Spok Holdings, Inc. | 5,480 | 72,665 | ||||||
Sprint Corp.(1) | 22,689 | 132,050 | ||||||
Take-Two Interactive Software, Inc.(1) | 1,601 | 164,807 | ||||||
TEGNA, Inc. | 61,853 | 672,342 | ||||||
Telephone & Data Systems, Inc. | 3,478 | 113,174 | ||||||
The Madison Square Garden Co.(1) | 578 | 154,731 | ||||||
Tribune Media Co. | 3,032 | 137,592 | ||||||
United States Cellular Corp.(1) | 449 | 23,335 | ||||||
Viacom, Inc. - Class A | 329 | 9,149 | ||||||
Viacom, Inc. - Class B | 95,130 | 2,444,841 | ||||||
WideOpenWest, Inc.(1) | 8,261 | 58,901 | ||||||
Windstream Holdings, Inc.(1) | 11,862 | 24,792 | ||||||
Zillow Group, Inc. - Class A(1) | 574 | 18,041 | ||||||
Zillow Group, Inc. - Class C(1) | 1,123 | 35,464 | ||||||
Zynga, Inc.(1) | 26,610 | 104,577 | ||||||
|
| |||||||
82,031,010 | ||||||||
|
| |||||||
Consumer Discretionary - 9.56% |
| |||||||
1-800-Flowers.com, Inc.(1) | 5,471 | 66,910 | ||||||
Aaron’s, Inc. | 70,711 | 2,973,398 | ||||||
Abercrombie & Fitch Co. | 19,049 | 381,932 | ||||||
Acushnet Holdings Corp. | 352,922 | 7,436,067 | ||||||
Adient Plc | 3,326 | 50,090 | ||||||
Adtalem Global Education, Inc.(1) | 16,710 | 790,717 | ||||||
Advance Auto Parts, Inc. | 1,694 | 266,737 | ||||||
American Axle & Manufacturing Holdings, Inc.(1) | 171,209 | 1,900,420 | ||||||
American Eagle Outfitters, Inc. | 118,484 | 2,290,296 | ||||||
American Outdoor Brands Corp.(1) | 15,192 | 195,369 | ||||||
American Public Education, Inc.(1) | 4,254 | 121,069 | ||||||
America’s Car-Mart, Inc.(1) | 1,144 | 82,883 | ||||||
Aptiv Plc | 1,215 | 74,808 | ||||||
Aramark | 322,012 | 9,328,688 | ||||||
Ascena Retail Group, Inc.(1) | 50,896 | 127,749 | ||||||
AutoNation, Inc.(1) | 1,873 | 66,866 | ||||||
AutoZone, Inc.(1) | 111 | 93,056 | ||||||
Barnes & Noble Education, Inc.(1) | 10,374 | 41,600 | ||||||
Barnes & Noble, Inc. | 17,438 | 123,635 | ||||||
Bassett Furniture Industries, Inc. | 2,804 | 56,192 | ||||||
BBX Capital Corp. | 16,974 | 97,261 |
Beazer Homes USA, Inc.(1) | 9,054 | 85,832 | ||||||
Bed Bath & Beyond, Inc. | 119,196 | 1,349,299 | ||||||
Belmond Ltd.(1) | 22,313 | 558,494 | ||||||
Best Buy, Inc. | 61,217 | 3,242,052 | ||||||
Big 5 Sporting Goods Corp. | 5,332 | 13,810 | ||||||
Big Lots, Inc. | 53,058 | 1,534,437 | ||||||
Biglari Holdings, Inc. - Class A(1) | 26 | 15,279 | ||||||
Biglari Holdings, Inc. - Class B(1) | 266 | 30,212 | ||||||
Bojangles, Inc.(1) | 335,040 | 5,387,443 | ||||||
Borgwarner, Inc. | 231,797 | 8,052,628 | ||||||
Boyd Gaming Corp. | 2,154 | 44,760 | ||||||
Bright Horizons Family Solutions, Inc.(1) | 33,958 | 3,784,619 | ||||||
Brinker International, Inc. | 2,690 | 118,306 | ||||||
Brunswick Corp. | 221,360 | 10,282,172 | ||||||
Buckle, Inc. | 6,662 | 128,843 | ||||||
Caesars Entertainment Corp.(1) | 20,161 | 136,893 | ||||||
Caleres, Inc. | 12,087 | 336,381 | ||||||
Callaway Golf Co. | 8,999 | 137,685 | ||||||
CarMax, Inc.(1) | 2,398 | 150,427 | ||||||
Carriage Services, Inc. | 3,099 | 48,034 | ||||||
Carrols Restaurant Group, Inc.(1) | 1,470 | 14,465 | ||||||
Carter’s, Inc. | 61,550 | 5,023,711 | ||||||
Cato Corp. | 6,371 | 90,914 | ||||||
Century Casinos, Inc.(1) | 8,133 | 60,103 | ||||||
Century Communities, Inc.(1) | 6,756 | 116,609 | ||||||
Chicos FAS, Inc. | 35,274 | 198,240 | ||||||
Chuy’s Holdings, Inc.(1) | 846 | 15,008 | ||||||
Citi Trends, Inc. | 3,469 | 70,733 | ||||||
Clarus Corp. | 5,801 | 58,706 | ||||||
Columbia Sportswear Co. | 931 | 78,288 | ||||||
Conn’s, Inc.(1) | 2,891 | 54,524 | ||||||
Container Store Group, Inc.(1) | 4,654 | 22,200 | ||||||
Cooper Tire & Rubber Co. | 14,496 | 468,656 | ||||||
Cooper-Standard Holdings, Inc.(1) | 22,998 | 1,428,636 | ||||||
Core Mark Holding Company, Inc. | 745,653 | 17,336,432 | ||||||
Culp, Inc. | �� | 3,207 | 60,612 | |||||
D. R. Horton, Inc. | 4,931 | 170,908 | ||||||
Dana, Inc. | 565,785 | 7,711,650 | ||||||
Darden Restaurants, Inc. | 2,154 | 215,098 | ||||||
Del Frisco’s Restaurant Group, Inc.(1) | 9,233 | 66,016 | ||||||
Del Taco Restaurants, Inc.(1) | 8,819 | 88,102 | ||||||
Denny’s Corp.(1) | 4,403 | 71,373 | ||||||
Dick’s Sporting Goods, Inc. | 113,804 | 3,550,685 | ||||||
Dillard’s, Inc. | 3,352 | 202,159 | ||||||
Dine Brands Global, Inc. | 1,970 | 132,660 | ||||||
Dollar General Corp. | 36,950 | 3,993,556 | ||||||
Dollar Tree, Inc.(1) | 79,344 | 7,166,350 | ||||||
Drive Shack, Inc.(1) | 1,917 | 7,515 | ||||||
DSW, Inc. | 19,663 | 485,676 | ||||||
eBay, Inc.(1) | 309,564 | 8,689,461 | ||||||
El Pollo Loco Holdings, Inc.(1) | 5,954 | 90,322 | ||||||
Empire Resorts, Inc.(1) | 370 | 3,750 | ||||||
Escalade, Inc. | 2,814 | 32,220 | ||||||
Ethan Allen Interiors, Inc. | 6,745 | 118,645 | ||||||
Expedia Group, Inc. | 85,046 | 9,580,432 |
Express, Inc.(1) | 20,054 | 102,476 | ||||||
Extended Stay America, Inc. | 249,887 | 3,873,248 | ||||||
Fiesta Restaurant Group, Inc.(1) | 1,283 | 19,899 | ||||||
Flexsteel Industries, Inc. | 2,003 | 44,226 | ||||||
Foot Locker, Inc. | 70,776 | 3,765,283 | ||||||
Fossil Group, Inc.(1) | 10,042 | 157,961 | ||||||
Francesca’s Holdings Corp.(1) | 8,993 | 8,730 | ||||||
Gaia, Inc.(1) | 1,060 | 10,982 | ||||||
GameStop Corp. | 28,618 | 361,159 | ||||||
Gap, Inc. | 7,077 | 182,304 | ||||||
Garmin Ltd. | 3,954 | 250,367 | ||||||
Genesco, Inc.(1) | 5,704 | 252,687 | ||||||
Gentex Corp. | 3,015 | 60,933 | ||||||
Gentherm, Inc.(1) | 10,021 | 400,640 | ||||||
Genuine Parts Co. | 4,979 | 478,084 | ||||||
G-III Apparel Group Ltd.(1) | 8,920 | 248,779 | ||||||
Gildan Activewear, Inc. | 311,850 | 9,467,766 | ||||||
GNC Holdings, Inc.(1) | 22,882 | 54,230 | ||||||
Goodyear Tire & Rubber Co. | 153,464 | 3,132,200 | ||||||
Graham Holdings Co. | 21,097 | 13,514,316 | ||||||
Green Brick Partners, Inc.(1) | 6,398 | 46,322 | ||||||
Group 1 Automotive, Inc. | 33,417 | 1,761,744 | ||||||
Guess, Inc. | 16,478 | 342,248 | ||||||
H&R Block, Inc. | 5,873 | 148,998 | ||||||
Harley-Davidson, Inc. | 72,335 | 2,468,070 | ||||||
Hasbro, Inc. | 70,761 | 5,749,331 | ||||||
Haverty Furniture, Inc. | 5,283 | 99,215 | ||||||
Helen of Troy Ltd.(1) | 7,026 | 921,671 | ||||||
Hibbett Sports, Inc.(1) | 5,449 | 77,921 | ||||||
Hooker Furniture Corp. | 1,775 | 46,753 | ||||||
Houghton Mifflin Harcourt Co.(1) | 27,384 | 242,622 | ||||||
Hovnanian Enterprises, Inc.(1) | 25,645 | 17,539 | ||||||
Hyatt Hotels Corp. | 1,453 | 98,223 | ||||||
International Game Technology Plc | 3,230 | 47,255 | ||||||
International Speedway Corp. | 6,996 | 306,845 | ||||||
J. Alexander’s Holdings, Inc.(1) | 3,895 | 32,056 | ||||||
J. Jill, Inc.(1) | 4,243 | 22,615 | ||||||
J.C. Penney Co., Inc.(1) | 87,912 | 91,428 | ||||||
Jack in the Box, Inc. | 200,414 | 15,558,139 | ||||||
Johnson Outdoors, Inc. | 547 | 32,131 | ||||||
K12, Inc.(1) | 10,646 | 263,914 | ||||||
KB Home | 19,333 | 369,260 | ||||||
Kirkland’s, Inc.(1) | 3,057 | 29,133 | ||||||
Kohl’s Corp. | 86,325 | 5,726,800 | ||||||
L Brands, Inc. | 6,510 | 167,112 | ||||||
Lands End, Inc.(1) | 3,087 | 43,866 | ||||||
Laureate Education, Inc.(1) | 896,629 | 13,664,626 | ||||||
La-Z-Boy, Inc. | 333,736 | 9,247,825 | ||||||
Leaf Group Ltd.(1) | 1,149 | 7,871 | ||||||
Lear Corp. | 94,279 | 11,583,118 | ||||||
Leggett & Platt, Inc. | 4,549 | 163,036 | ||||||
Lennar Corp. - Class A | 4,648 | 181,969 | ||||||
Lennar Corp. - Class B | 236 | 7,394 | ||||||
Liberty Expedia Holdings, Inc.(1) | 14,563 | 569,559 | ||||||
Lifetime Brands, Inc. | 3,279 | 32,888 |
Liquidity Services, Inc.(1) | 7,750 | 47,817 | ||||||
Lithia Motors, Inc. | 50,738 | 3,872,832 | ||||||
LKQ Corp.(1) | 9,184 | 217,936 | ||||||
Lovesac Co.(1) | 881 | 20,210 | ||||||
Lumber Liquidators Holdings, Inc.(1) | 1,461 | 13,909 | ||||||
M.D.C. Holdings, Inc. | 117,654 | 3,307,254 | ||||||
M/I Homes, Inc.(1) | 6,289 | 132,195 | ||||||
Macy’s, Inc. | 79,659 | 2,372,245 | ||||||
MarineMax, Inc.(1) | 2,517 | 46,086 | ||||||
Marriott Vacations Worldwide Corp. | 1,876 | 132,277 | ||||||
Mattel, Inc.(1) | 9,337 | 93,277 | ||||||
Meritage Homes Corp.(1) | 10,241 | 376,050 | ||||||
MGM Resorts International | 15,605 | 378,577 | ||||||
Michael Kors Holdings Ltd.(1) | 2,285 | 86,647 | ||||||
Modine Manufacturing Co.(1) | 12,092 | 130,715 | ||||||
Mohawk Industries, Inc.(1) | 74,768 | 8,744,865 | ||||||
Monarch Casino & Resort, Inc.(1) | 679 | 25,897 | ||||||
Motorcar Parts of America, Inc.(1) | 5,318 | 88,492 | ||||||
Movado Group, Inc. | 4,196 | 132,678 | ||||||
Murphy USA, Inc.(1) | 109,574 | 8,397,751 | ||||||
Nautilus, Inc.(1) | 728 | 7,935 | ||||||
New Home Company, Inc.(1) | 3,717 | 19,440 | ||||||
Newell Brands, Inc. | 352,745 | 6,557,530 | ||||||
Nordstrom, Inc. | 204,125 | 9,514,266 | ||||||
Norwegian Cruise Line Holdings Ltd.(1) | 7,615 | 322,800 | ||||||
Office Depot, Inc. | 660,911 | 1,705,150 | ||||||
Oxford Industries, Inc. | 83,330 | 5,919,763 | ||||||
Papa John’s International, Inc. | 3,454 | 137,504 | ||||||
Party City Holdings, Inc.(1) | 15,405 | 153,742 | ||||||
Penn National Gaming, Inc.(1) | 21,951 | 413,337 | ||||||
Penske Automotive Group, Inc. | 44,354 | 1,788,353 | ||||||
Pier 1 Imports, Inc. | 23,305 | 7,127 | ||||||
Pulte Group, Inc. | 6,035 | 156,850 | ||||||
PVH Corp. | 2,670 | 248,176 | ||||||
Qurate Retail, Inc.(1) | 14,504 | 283,118 | ||||||
Ralph Lauren Corp. | 1,895 | 196,057 | ||||||
RCI Hospitality Holdings, Inc. | 642 | 14,336 | ||||||
Red Lion Hotels Corp.(1) | 4,448 | 36,474 | ||||||
Red Robin Gourmet Burgers, Inc.(1) | 3,649 | 97,501 | ||||||
Regis Corp.(1) | 9,829 | 166,602 | ||||||
Rent-A-Center, Inc.(1) | 12,855 | 208,122 | ||||||
Rocky Brands, Inc. | 1,957 | 50,882 | ||||||
Ross Stores, Inc. | 66,339 | 5,519,405 | ||||||
Royal Caribbean Cruises Ltd. | 31,092 | 3,040,487 | ||||||
RTW RetailWinds, Inc.(1) | 2,674 | 7,567 | ||||||
Sally Beauty Holdings, Inc.(1) | 25,243 | 430,393 | ||||||
Service Corp. International | 3,170 | 127,624 | ||||||
ServiceMaster Global Holdings, Inc.(1) | 177,375 | 6,516,757 | ||||||
Shiloh Industries, Inc.(1) | 3,241 | 18,895 | ||||||
Shoe Carnival, Inc. | 3,075 | 103,043 | ||||||
Signet Jewelers Ltd. | 121,288 | 3,853,320 | ||||||
Six Flags Entertainment Corp. | 105,450 | 5,866,183 | ||||||
Skechers USA, Inc.(1) | 2,429 | 55,600 | ||||||
Sonic Automotive, Inc. | 6,796 | 93,513 | ||||||
Sonos, Inc.(1) | 2,393 | 23,499 |
Speedway Motorsports, Inc. | 3,290 | 53,528 | ||||||
Standard Motor Products, Inc. | 6,106 | 295,714 | ||||||
Stoneridge, Inc.(1) | 193,796 | 4,777,071 | ||||||
Sturm, Ruger & Company, Inc. | 3,094 | 164,663 | ||||||
Superior Industries International, Inc. | 6,933 | 33,348 | ||||||
Tapestry, Inc. | 8,074 | 272,497 | ||||||
Taylor Morrison Home Corp.(1) | 28,597 | 454,692 | ||||||
Tenneco, Inc. | 50,501 | 1,383,222 | ||||||
The Habit Restaurants, Inc.(1) | 5,866 | 61,593 | ||||||
The Michaels Companies, Inc.(1) | 2,974 | 40,268 | ||||||
Thor Industries, Inc. | 46,820 | 2,434,640 | ||||||
Tiffany & Co. | 3,508 | 282,429 | ||||||
Tile Shop Holdings, Inc. | 5,877 | 32,206 | ||||||
Tilly’s, Inc. | 4,961 | 53,876 | ||||||
Toll Brothers, Inc. | 102,869 | 3,387,476 | ||||||
Tower International, Inc. | 5,571 | 132,590 | ||||||
Town Sports International Holdings, Inc.(1) | 3,372 | 21,581 | ||||||
Tractor Supply Co. | 32,400 | 2,703,456 | ||||||
Travelport Worldwide Ltd. | 163,464 | 2,553,308 | ||||||
TRI Pointe Group, Inc.(1) | 38,665 | 422,608 | ||||||
Tupperware Brands Corp. | 13,978 | 441,285 | ||||||
Under Armour, Inc. - Class A(1) | 1,549 | 27,371 | ||||||
Under Armour, Inc. - Class C(1) | 1,663 | 26,891 | ||||||
Unifi, Inc.(1) | 4,508 | 102,963 | ||||||
Universal Electronics, Inc.(1) | 3,927 | 99,275 | ||||||
Vera Bradley, Inc.(1) | 6,506 | 55,756 | ||||||
VF Corp. | 2,590 | 184,771 | ||||||
Vista Outdoor, Inc.(1) | 16,445 | 186,651 | ||||||
Visteon Corp.(1) | 40,331 | 2,431,153 | ||||||
Vuzix Corp.(1) | 207 | 996 | ||||||
Weight Watchers International, Inc.(1) | 662 | 25,520 | ||||||
Weyco Group, Inc. | 1,663 | 48,510 | ||||||
Whirlpool Corp. | 44,278 | 4,731,990 | ||||||
William Lyon Homes(1) | 7,790 | 83,275 | ||||||
Williams-Sonoma, Inc. | 55,385 | 2,794,173 | ||||||
Wingstop, Inc. | 633 | 40,632 | ||||||
Wolverine World Wide, Inc. | 348,800 | 11,123,232 | ||||||
Wyndham Destinations, Inc. | 149,121 | 5,344,497 | ||||||
Wyndham Hotels & Resorts, Inc. | 180,360 | 8,182,933 | ||||||
YETI Holdings, Inc.(1) | 2,151 | 31,921 | ||||||
Yum China Holdings, Inc. | 11,604 | 389,082 | ||||||
Zumiez, Inc.(1) | 3,789 | 72,635 | ||||||
|
| |||||||
374,298,870 | ||||||||
|
| |||||||
Consumer Staples - 2.24% |
| |||||||
Alico, Inc. | 881 | 25,989 | ||||||
Archer-Daniels-Midland Co. | 19,465 | 797,481 | ||||||
B&G Foods, Inc. | 16,738 | 483,896 | ||||||
BJ’s Wholesale Club Holdings, Inc.(1) | 8,893 | 197,069 | ||||||
Bunge Ltd. | 4,918 | 262,818 | ||||||
Cal-Maine Foods, Inc. | 5,346 | 226,136 | ||||||
Campbell Soup Co. | 1,895 | 62,516 | ||||||
Casey’s General Stores, Inc. | 85,607 | 10,969,681 | ||||||
Central Garden & Pet Co.(1) | 610 | 21,014 | ||||||
Central Garden & Pet Co. - Class A(1) | 2,811 | 87,844 | ||||||
Church & Dwight Co., Inc. | 1,287 | 84,633 |
Clorox Co. | 575 | 88,630 | ||||||
Coca-Cola European Partners Plc | 191,605 | 8,785,089 | ||||||
Conagra Brands, Inc. | 16,807 | 358,988 | ||||||
Coty, Inc. | 16,179 | 106,134 | ||||||
Darling Ingredients, Inc.(1) | 46,961 | 903,530 | ||||||
Dean Foods Co. | 98,094 | 373,738 | ||||||
Diplomat Pharmacy, Inc.(1) | 3,293 | 44,324 | ||||||
Edgewell Personal Care Co.(1) | 15,472 | 577,879 | ||||||
Energizer Holdings, Inc. | 884 | 39,913 | ||||||
Farmer Brothers Co.(1) | 2,968 | 69,243 | ||||||
Flowers Foods, Inc. | 6,159 | 113,757 | ||||||
Fresh Del Monte Produce, Inc. | 21,921 | 619,707 | ||||||
General Mills, Inc. | 64,600 | 2,515,524 | ||||||
Herbalife Ltd.(1) | 3,074 | 181,212 | ||||||
Hormel Foods Corp. | 9,458 | 403,667 | ||||||
Hostess Brands, Inc.(1) | 28,208 | 308,596 | ||||||
Ingles Markets, Inc. | 4,075 | 110,922 | ||||||
Ingredion, Inc. | 24,868 | 2,272,935 | ||||||
Inter Parfums, Inc. | 340 | 22,294 | ||||||
J & J Snack Foods Corp. | 63,070 | 9,119,291 | ||||||
Kellogg Co. | 4,338 | 247,309 | ||||||
Kroger Co. | 354,461 | 9,747,678 | ||||||
Lamb Weston Holdings, Inc. | 5,104 | 375,450 | ||||||
Lancaster Colony Corp. | 45,916 | 8,120,704 | ||||||
Landec Corp.(1) | 7,989 | 94,590 | ||||||
Limoneira Co. | 2,885 | 56,402 | ||||||
McCormick & Co., Inc. | 3,991 | 555,707 | ||||||
MGP Ingredients, Inc. | 428 | 24,417 | ||||||
Molson Coors Brewing Co. | 74,351 | 4,175,552 | ||||||
Natural Grocers by Vitamin Cottage, Inc.(1) | 2,708 | 41,514 | ||||||
Nature’s Sunshine Products, Inc.(1) | 2,679 | 21,834 | ||||||
Nomad Foods Ltd.(1) | 388,870 | 6,501,906 | ||||||
Nu Skin Enterprises, Inc. | 1,325 | 81,262 | ||||||
Oil-Dri Corp. of America | 1,348 | 35,722 | ||||||
Pilgrim’s Pride Corp.(1) | 113,481 | 1,760,090 | ||||||
Post Holdings, Inc.(1) | 946 | 84,317 | ||||||
Pyxus International, Inc.(1) | 2,466 | 29,247 | ||||||
Revlon, Inc.(1) | 347 | 8,741 | ||||||
Rite Aid Corp.(1) | 298,593 | 211,493 | ||||||
Sanderson Farms, Inc. | 5,860 | 581,839 | ||||||
Seaboard Corp. | 9 | 31,842 | ||||||
Seneca Foods Corp.(1) | 1,986 | 56,045 | ||||||
Simply Good Foods Co./The(1) | 17,152 | 324,173 | ||||||
Smart & Final Stores, Inc.(1) | 6,674 | 31,635 | ||||||
SpartanNash Co. | 10,109 | 173,673 | ||||||
Spectrum Brands Holdings, Inc. | 781 | 32,997 | ||||||
The Andersons, Inc. | 7,845 | 234,487 | ||||||
The Hain Celestial Group, Inc.(1) | 3,208 | 50,879 | ||||||
The Hershey Co. | 466 | 49,946 | ||||||
The J. M. Smucker Co. | 35,645 | 3,332,451 | ||||||
Tootsie Roll Industries, Inc. | 3,985 | 133,099 | ||||||
TreeHouse Foods, Inc.(1) | 1,899 | 96,298 | ||||||
Tyson Foods, Inc. | 117,197 | 6,258,320 | ||||||
U.S. Foods Holding Corp.(1) | 7,083 | 224,106 | ||||||
United Natural Foods, Inc.(1) | 43,295 | 458,494 |
Universal Corp. | 51,413 | 2,784,014 | ||||||
Vector Group Ltd. | 16,040 | 156,069 | ||||||
Village Super Market, Inc. | 2,289 | 61,208 | ||||||
Weis Markets, Inc. | 2,770 | 132,351 | ||||||
|
| |||||||
87,612,311 | ||||||||
|
| |||||||
Energy - 4.39% |
| |||||||
Abraxas Petroleum Corp.(1) | 2,676 | 2,917 | ||||||
Adams Resources & Energy, Inc. | 603 | 23,342 | ||||||
Alta Mesa Resources, Inc.(1) | 28,061 | 28,061 | ||||||
Antero Resources Corp.(1) | 3,895 | 36,574 | ||||||
Apache Corp. | 12,517 | 328,571 | ||||||
Apergy Corp.(1) | 154,594 | 4,186,406 | ||||||
Approach Resources, Inc.(1) | 11,164 | 9,735 | ||||||
Arch Coal, Inc. | 5,007 | 415,531 | ||||||
Archrock, Inc. | 36,301 | 271,894 | ||||||
Ardmore Shipping Corp.(1) | 9,255 | 43,221 | ||||||
Baker Hughes a GE Co. | 206,250 | 4,434,375 | ||||||
Basic Energy Services, Inc.(1) | 5,332 | 20,475 | ||||||
Berry Petroleum Corp. | 2,254 | 19,722 | ||||||
Bonanza Creek Energy, Inc.(1) | 5,309 | 109,737 | ||||||
Bristow Group, Inc.(1) | 9,771 | 23,744 | ||||||
C&J Energy Services, Inc.(1) | 18,321 | 247,333 | ||||||
Cabot Oil & Gas Corp. | 3,956 | 88,417 | ||||||
California Resources Corp.(1) | 12,998 | 221,486 | ||||||
Callon Petroleum Co.(1) | 863,522 | 5,604,258 | ||||||
CARBO Ceramics, Inc.(1) | 5,668 | 19,725 | ||||||
Carrizo Oil & Gas, Inc.(1) | 151,000 | 1,704,790 | ||||||
Centennial Resource Development, Inc.(1) | 6,306 | 69,492 | ||||||
Cheniere Energy, Inc.(1) | 2,445 | 144,720 | ||||||
Chesapeake Energy Corp.(1) | 31,745 | 66,664 | ||||||
Cimarex Energy Co. | 145,796 | 8,988,323 | ||||||
Clean Energy Fuels Corp.(1) | 39,062 | 67,187 | ||||||
Cloud Peak Energy, Inc.(1) | 20,226 | 7,409 | ||||||
CNX Resources Corp.(1) | 7,145 | 81,596 | ||||||
Concho Resources, Inc.(1) | 5,908 | 607,283 | ||||||
CONSOL Energy, Inc.(1) | 4,575 | 145,073 | ||||||
Continental Resources, Inc.(1) | 288,683 | 11,602,170 | ||||||
CVR Energy, Inc. | 260 | 8,965 | ||||||
Dawson Geophysical Co.(1) | 6,335 | 21,412 | ||||||
Delek US Holdings, Inc. | 85,367 | 2,775,281 | ||||||
Denbury Resources, Inc.(1) | 70,964 | 121,348 | ||||||
Devon Energy Corp. | 16,328 | 368,033 | ||||||
DHT Holdings, Inc. | 26,250 | 102,900 | ||||||
Diamond Offshore Drilling, Inc.(1) | 18,509 | 174,725 | ||||||
Diamondback Energy, Inc. | 108,181 | 10,028,379 | ||||||
Dorian LPG Ltd.(1) | 7,583 | 44,209 | ||||||
Dril-Quip, Inc.(1) | 10,283 | 308,798 | ||||||
Earthstone Energy, Inc.(1) | 5,425 | 24,521 | ||||||
Eclipse Resources Corp.(1) | 12,754 | 13,392 | ||||||
Energy Fuels, Inc.(1) | 25,045 | 71,378 | ||||||
EP Energy Corp.(1) | 11,834 | 8,284 | ||||||
EQT Corp. | 8,794 | 166,119 | ||||||
Equitrans Midstream Corp.(1) | 7,416 | 148,468 | ||||||
Era Group, Inc.(1) | 5,585 | 48,813 | ||||||
Exterran Corp.(1) | 9,357 | 165,619 |
Extraction Oil & Gas, Inc.(1) | 3,694 | 15,847 | ||||||
Forum Energy Technologies, Inc.(1) | 22,558 | 93,165 | ||||||
Franks International(1) | 20,557 | 107,308 | ||||||
Frontline Ltd./Bermuda(1) | 21,910 | 121,162 | ||||||
FTS International, Inc.(1) | 9,028 | 64,189 | ||||||
GasLog Ltd. | 11,724 | 192,977 | ||||||
Golar LNG Ltd. | 27,089 | 589,457 | ||||||
Goodrich Petroleum Corp.(1) | 761 | 10,273 | ||||||
Green Plains, Inc. | 11,163 | 146,347 | ||||||
Gulfport Energy Corp.(1) | 435,380 | 2,851,739 | ||||||
Halcon Resources Corp.(1) | 37,289 | 63,391 | ||||||
Hallador Energy Co. | 4,975 | 25,223 | ||||||
Helix Energy Solutions Group, Inc.(1) | 40,612 | 219,711 | ||||||
Helmerich & Payne, Inc. | 3,715 | 178,097 | ||||||
Hess Corp. | 9,122 | 369,441 | ||||||
HighPoint Resources Corp.(1) | 30,289 | 75,420 | ||||||
HollyFrontier Corp. | 75,546 | 3,861,912 | ||||||
Independence Contract Drilling, Inc.(1) | 8,752 | 27,306 | ||||||
International Seaways, Inc.(1) | 6,248 | 105,216 | ||||||
Isramco, Inc.(1) | 152 | 18,012 | ||||||
Keane Group, Inc.(1) | 1,090 | 8,916 | ||||||
KLX Energy Services Holdings, Inc.(1) | 5,821 | 136,502 | ||||||
Kosmos Energy Ltd.(1) | 6,552 | 26,667 | ||||||
Laredo Petroleum, Inc.(1) | 191,933 | 694,797 | ||||||
Magnolia Oil & Gas Corp.(1) | 487,620 | 5,466,220 | ||||||
Marathon Oil Corp. | 28,993 | 415,760 | ||||||
Marathon Petroleum Corp. | 274,682 | 16,208,985 | ||||||
Matador Resources Co.(1) | 489,693 | 7,604,932 | ||||||
Matrix Service Co.(1) | 7,636 | 136,990 | ||||||
McDermott International, Inc.(1) | 203,544 | 1,331,178 | ||||||
Midstates Petroleum Co, Inc.(1) | 4,012 | 30,130 | ||||||
Murphy Oil Corp. | 5,747 | 134,422 | ||||||
Nabors Industries Ltd. | 11,901 | 23,802 | ||||||
NACCO Industries, Inc. | 1,033 | 35,019 | ||||||
National Oilwell Varco, Inc. | 13,257 | 340,705 | ||||||
Natural Gas Services Group, Inc.(1) | 3,480 | 57,211 | ||||||
NCS Multistage Holdings, Inc.(1) | 2,522 | 12,837 | ||||||
Newfield Exploration Co.(1) | 182,561 | 2,676,344 | ||||||
Newpark Resources, Inc.(1) | 25,639 | 176,140 | ||||||
Nine Energy Service, Inc.(1) | 4,329 | 97,576 | ||||||
Noble Corp. Plc(1) | 69,772 | 182,803 | ||||||
Noble Energy, Inc. | 371,211 | 6,963,918 | ||||||
Nordic American Tankers Ltd. | 40,430 | 80,860 | ||||||
Northern Oil & Gas, Inc.(1) | 42,877 | 96,902 | ||||||
Nuverra Environmental Solutions, Inc.(1) | 566 | 4,641 | ||||||
Oasis Petroleum, Inc.(1) | 77,433 | 428,204 | ||||||
Oceaneering International, Inc.(1) | 28,293 | 342,345 | ||||||
Oil States International, Inc.(1) | 16,940 | 241,903 | ||||||
ONEOK, Inc. | 8,383 | 452,263 | ||||||
Overseas Shipholding Group, Inc.(1) | 15,928 | 26,440 | ||||||
Panhandle Oil and Gas, Inc. | 2,038 | 31,589 | ||||||
Par Petroleum Corp.(1) | 8,502 | 120,558 | ||||||
Parsley Energy, Inc.(1) | 2,741 | 43,801 | ||||||
Patterson-UTI Energy, Inc. | 7,473 | 77,346 | ||||||
PBF Energy, Inc. | 95,119 | 3,107,538 |
PDC Energy, Inc.(1) | 18,996 | 565,321 | ||||||
Peabody Energy Corp. | 22,429 | 683,636 | ||||||
PHI, Inc.(1) | 2,985 | 5,522 | ||||||
Pioneer Energy Services Corp.(1) | 20,233 | 24,887 | ||||||
Pioneer Natural Resources Co. | 82,284 | 10,821,992 | ||||||
QEP Resources, Inc.(1) | 1,370,929 | 7,718,330 | ||||||
Quintana Energy Services, Inc.(1) | 1,552 | 5,370 | ||||||
Range Resources Corp. | 7,319 | 70,043 | ||||||
Renewable Energy Group, Inc.(1) | 9,751 | 250,601 | ||||||
Resolute Energy Corp.(1) | 5,933 | 171,938 | ||||||
REX American Resources Corp.(1) | 1,626 | 110,747 | ||||||
RigNet, Inc.(1) | 3,642 | 46,035 | ||||||
Ring Energy, Inc.(1) | 601 | 3,053 | ||||||
Rowan Co. Plc(1) | 36,638 | 307,393 | ||||||
RPC, Inc. | 1,363 | 13,453 | ||||||
SandRidge Energy, Inc.(1) | 8,700 | 66,207 | ||||||
Scorpio Tankers, Inc. | 130,822 | 230,247 | ||||||
SEACOR Holdings, Inc.(1) | 4,940 | 182,780 | ||||||
SEACOR Marine Holdings, Inc.(1) | 4,577 | 53,826 | ||||||
Select Energy Services, Inc.(1) | 434,236 | 2,744,372 | ||||||
SemGroup Corp. | 22,687 | 312,627 | ||||||
Ship Finance International Ltd. | 23,358 | 245,960 | ||||||
SilverBow Resources, Inc.(1) | 2,052 | 48,509 | ||||||
SM Energy Co. | 3,886 | 60,155 | ||||||
Smart Sand, Inc.(1) | 5,753 | 12,772 | ||||||
Southwestern Energy Co.(1) | 168,218 | 573,623 | ||||||
SRC Energy, Inc.(1) | 366,900 | 1,724,430 | ||||||
Superior Energy Services, Inc.(1) | 43,307 | 145,078 | ||||||
Talos Energy, Inc.(1) | 5,645 | 92,126 | ||||||
Targa Resources Corp. | 7,894 | 284,342 | ||||||
Teekay Corp. | 20,173 | 67,378 | ||||||
Teekay Tankers Ltd. | 56,942 | 52,842 | ||||||
TETRA Technologies, Inc.(1) | 4,488 | 7,540 | ||||||
The Williams Companies, Inc. | 42,406 | 935,052 | ||||||
Tidewater, Inc.(1) | 7,951 | 152,103 | ||||||
Transocean Ltd.(1) | 17,771 | 123,330 | ||||||
U.S. Silica Holdings, Inc. | 8,693 | 88,495 | ||||||
Ultra Petroleum Corp.(1) | 46,468 | 35,320 | ||||||
Unit Corp.(1) | 14,962 | 213,657 | ||||||
Valero Energy Corp. | 60,900 | 4,565,673 | ||||||
W&T Offshore, Inc.(1) | 26,282 | 108,282 | ||||||
Weatherford International Plc(1) | 34,331 | 19,191 | ||||||
Whiting Petroleum Corp.(1) | 3,136 | 71,156 | ||||||
WildHorse Resource Development Corp.(1) | 579 | 8,170 | ||||||
World Fuel Services Corp. | 19,182 | 410,687 | ||||||
WPX Energy, Inc.(1) | 2,301,071 | 26,117,156 | ||||||
|
| |||||||
171,724,719 | ||||||||
|
| |||||||
Financials - 24.49% |
| |||||||
1st Constitution Bancorp | 2,141 | 42,670 | ||||||
1st Source Corp. | 4,688 | 189,114 | ||||||
Access National Corp. | 4,466 | 95,260 | ||||||
ACNB Corp. | 1,896 | 74,418 | ||||||
Affiliated Managers Group, Inc. | 1,835 | 178,802 | ||||||
Aflac, Inc. | 121,559 | 5,538,228 | ||||||
AG Mortgage Investment Trust, Inc. | 8,229 | 131,088 |
AGNC Investment Corp. | 18,007 | 315,843 | ||||||
Alleghany Corp. | 42,481 | 26,479,257 | ||||||
Allegiance Bancshares, Inc.(1) | 141,482 | 4,579,772 | ||||||
Allstate Corp. | 193,996 | 16,029,889 | ||||||
Ally Financial, Inc. | 195,946 | 4,440,136 | ||||||
Amalgamated Bank | 2,960 | 57,720 | ||||||
Ambac Financial Group, Inc.(1) | 12,181 | 210,000 | ||||||
American Equity Investment Life Holding Co. | 25,611 | 715,571 | ||||||
American Financial Group, Inc. | 28,378 | 2,569,060 | ||||||
American National Bankshares, Inc. | 2,544 | 74,565 | ||||||
American National Insurance Co. | 259 | 32,955 | ||||||
Ameriprise Financial, Inc. | 47,264 | 4,932,944 | ||||||
AMERISAFE, Inc. | 4,913 | 278,518 | ||||||
Ames National Corp. | 2,538 | 64,516 | ||||||
Annaly Capital Management, Inc. | 333,789 | 3,277,808 | ||||||
Anworth Mortgage Asset Corp. | 29,065 | 117,423 | ||||||
Aon Plc | 113,753 | 16,535,136 | ||||||
Apollo Commercial Real Estate Finance, Inc. | 35,206 | 586,532 | ||||||
Arbor Realty Trust, Inc. | 16,294 | 164,081 | ||||||
Arch Capital Group Ltd.(1) | 11,366 | 303,700 | ||||||
Ares Capital Corp. | 1,308,475 | 20,386,041 | ||||||
Ares Commercial Real Estate Corp. | 7,584 | 98,895 | ||||||
Argo Group International Holdings Ltd. | 9,300 | 625,425 | ||||||
Arlington Asset Investment Corp. | 8,633 | 62,503 | ||||||
ARMOUR Residential REIT, Inc. | 12,086 | 247,763 | ||||||
Arrow Financial Corp. | 3,653 | 116,969 | ||||||
Arthur J. Gallagher & Co. | 227,391 | 16,758,717 | ||||||
Aspen Insurance Holdings Ltd. | 2,085 | 87,549 | ||||||
Associated Banc Corp. | 5,807 | 114,921 | ||||||
Associated Capital Group, Inc. | 734 | 25,859 | ||||||
Assurant, Inc. | 1,817 | 162,512 | ||||||
Assured Guaranty Ltd. | 77,319 | 2,959,771 | ||||||
Athene Holding Ltd.(1) | 393,938 | 15,690,551 | ||||||
Atlantic Capital Bancshares, Inc.(1) | 535,206 | 8,761,322 | ||||||
Auburn National Bancorporation, Inc. | 682 | 21,592 | ||||||
AXA Equitable Holdings, Inc. | 6,902 | 114,780 | ||||||
Axis Capital Holdings Ltd. | 2,548 | 131,579 | ||||||
B. Riley Financial, Inc. | 5,716 | 81,167 | ||||||
Banc of California, Inc. | 168,954 | 2,248,778 | ||||||
BancFirst Corp. | 3,903 | 194,760 | ||||||
Banco Latinoamericano De Comerico | 46,658 | 807,183 | ||||||
BancorpSouth Bank | 614,058 | 16,051,476 | ||||||
Bank of Commerce Holdings | 4,111 | 45,057 | ||||||
Bank of Hawaii Corp. | 1,433 | 96,470 | ||||||
Bank of Marin Bancorp | 3,998 | 164,878 | ||||||
Bank of NT Butterfield & Son Ltd. | 616,275 | 19,320,221 | ||||||
Bank of Princeton/The | 1,558 | 43,468 | ||||||
Bank OZK | 4,195 | 95,772 | ||||||
Bank7 Corp.(1) | 870 | 11,614 | ||||||
BankFinancial Corp. | 3,674 | 54,926 | ||||||
BankUnited, Inc. | 358,124 | 10,722,233 | ||||||
Bankwell Financial Group, Inc. | 1,492 | 42,835 | ||||||
Banner Corp. | 8,610 | 460,463 | ||||||
Bar Harbor Bankshares | 4,292 | 96,270 | ||||||
Baycom Corp.(1) | 2,929 | 67,631 |
BCB Bancorp, Inc. | 3,905 | 40,885 | ||||||
Beneficial Bancorp, Inc. | 19,708 | 281,627 | ||||||
Berkshire Hills Bancorp, Inc. | 11,792 | 318,030 | ||||||
BGC Partners, Inc. | 9,635 | 49,813 | ||||||
Blackstone Mortgage Trust, Inc. | 31,999 | 1,019,488 | ||||||
Blucora, Inc.(1) | 3,739 | 99,607 | ||||||
Blue Hills Bancorp, Inc. | 3,369 | 71,894 | ||||||
BOK Financial Corp. | 920 | 67,464 | ||||||
Boston Private Financial Holdings, Inc. | 23,214 | 245,372 | ||||||
Boxwood Merger Corp.(1) | 511,130 | 5,075,521 | ||||||
Bridge Bancorp, Inc. | 4,684 | 119,395 | ||||||
Bridgewater Bancshares, Inc.(1) | 6,712 | 70,812 | ||||||
Brighthouse Financial, Inc.(1) | 4,211 | 128,351 | ||||||
BrightSphere Investment Group Plc | 3,131 | 33,439 | ||||||
Brookline Bancorp, Inc. | 22,591 | 312,208 | ||||||
Brown & Brown, Inc. | 7,643 | 210,641 | ||||||
Bryn Mawr Bank Corp. | 5,768 | 198,419 | ||||||
BSB Bancorp, Inc.(1) | 1,887 | 52,949 | ||||||
Business First Bancshares, Inc. | 3,088 | 74,822 | ||||||
Byline Bancorp, Inc.(1) | 4,793 | 79,851 | ||||||
C&F Financial Corp. | 905 | 48,155 | ||||||
Cadence Bancorp | 13,855 | 232,487 | ||||||
Cambridge Bancorp | 788 | 65,601 | ||||||
Camden National Corp. | 4,515 | 162,405 | ||||||
Cannae Holdings, Inc.(1) | 1,388,270 | 23,767,182 | ||||||
Capital Bancorp, Inc.(1) | 1,532 | 17,480 | ||||||
Capital City Bank Group, Inc. | 3,323 | 77,127 | ||||||
Capitol Federal Financial, Inc. | 37,022 | 472,771 | ||||||
Capstar Financial Holdings, Inc. | 1,676 | 24,687 | ||||||
Capstead Mortgage Corp. | 25,560 | 170,485 | ||||||
Carolina Financial Corp. | 1,785 | 52,818 | ||||||
Cathay General Bancorp | 110,032 | 3,689,373 | ||||||
CB Financial Services, Inc. | 1,278 | 31,669 | ||||||
CBOE Holdings, Inc. | 297 | 29,056 | ||||||
CBTX, Inc. | 5,433 | 159,730 | ||||||
CenterState Bank Corp. | 629,173 | 13,237,800 | ||||||
Central Pacific Financial Corp. | 5,987 | 145,783 | ||||||
Central Valley Community Bancorp | 3,349 | 63,196 | ||||||
Century Bancorp, Inc. | 817 | 55,335 | ||||||
Chemical Financial Corp. | 479,116 | 17,540,437 | ||||||
Chemung Financial Corp. | 924 | 38,170 | ||||||
Cherry Hill Mortgage Investment Corp. | 4,358 | 76,439 | ||||||
Chimera Investment Corp. | 118,481 | 2,111,331 | ||||||
Cincinnati Financial Corp. | 5,360 | 414,971 | ||||||
CIT Group, Inc. | 65,997 | 2,525,705 | ||||||
Citizens & Northern Corp. | 3,297 | 87,140 | ||||||
Citizens Financial Group, Inc. | 214,631 | 6,380,980 | ||||||
Citizens, Inc.(1) | 14,096 | 106,002 | ||||||
City Holding Company | 4,066 | 274,821 | ||||||
Civista Bancshares, Inc. | 3,005 | 52,347 | ||||||
CNA Financial Corp. | 106,104 | 4,684,492 | ||||||
CNB Financial Corporation, Inc. | 3,925 | 90,079 | ||||||
CNO Financial Group, Inc. | 47,087 | 700,655 | ||||||
Coastal Financial Corp.(1) | 1,536 | 23,393 | ||||||
Codorus Valley Bancorp, Inc. | 2,666 | 56,652 |
Colony Credit Real Estate, Inc. | 24,081 | 380,239 | ||||||
Columbia Banking System, Inc. | 20,907 | 758,715 | ||||||
Columbia Financial, Inc.(1) | 14,374 | 219,778 | ||||||
Comerica, Inc. | 5,305 | 364,400 | ||||||
Commerce Bancshares, Inc. | 3,489 | 196,658 | ||||||
Community Bank System, Inc. | 14,360 | 837,188 | ||||||
Community Bankers Trust Corp.(1) | 5,657 | 40,844 | ||||||
Community Financial Corp. | 1,261 | 36,872 | ||||||
Community Trust Bancorp, Inc. | 4,540 | 179,829 | ||||||
ConnectOne Bancorp, Inc. | 6,643 | 122,696 | ||||||
County Bancorp, Inc. | 1,353 | 23,502 | ||||||
Cowen, Inc.(1) | 4,191 | 55,908 | ||||||
Crawford & Co. | 3,541 | 31,869 | ||||||
Credit Acceptance Corp.(1) | 36 | 13,743 | ||||||
Cullen/Frost Bankers, Inc. | 2,001 | 175,968 | ||||||
Customers Bancorp, Inc.(1) | 5,674 | 103,267 | ||||||
CVB Financial Corp. | 665,153 | 13,456,045 | ||||||
Dime Community Bancshares, Inc. | 9,104 | 154,586 | ||||||
Discover Financial Services | 465,309 | 27,443,925 | ||||||
Donegal Group, Inc. | 2,862 | 39,052 | ||||||
Donnelley Financial Solutions, Inc.(1) | 5,195 | 72,886 | ||||||
Dynex Capital, Inc. | 16,370 | 93,636 | ||||||
E*TRADE Financial Corp. | 245,261 | 10,762,053 | ||||||
Eagle Bancorp, Inc.(1) | 1,690 | 82,320 | ||||||
East West Bancorp, Inc. | 273,008 | 11,884,038 | ||||||
eHealth, Inc.(1) | 5,323 | 204,510 | ||||||
EMC Insurance Group, Inc. | 2,666 | 84,912 | ||||||
Employers Holdings, Inc. | 8,980 | 376,891 | ||||||
Encore Capital Group, Inc.(1) | 7,502 | 176,297 | ||||||
Enstar Group Ltd.(1) | 91,946 | 15,407,391 | ||||||
Entegra Financial Corp.(1) | 1,732 | 35,939 | ||||||
Enterprise Bancorp, Inc. | 2,575 | 82,812 | ||||||
Enterprise Financial Services Corp. | 4,379 | 164,782 | ||||||
Equity Bancshares, Inc.(1) | 2,732 | 96,303 | ||||||
Erie Indemnity Co. | 210 | 27,995 | ||||||
Esquire Financial Holdings, Inc.(1) | 995 | 21,591 | ||||||
ESSA Bancorp, Inc. | 2,643 | 41,257 | ||||||
Essent Group Ltd.(1) | 119,891 | 4,097,874 | ||||||
Evans Bancorp, Inc. | 1,414 | 45,969 | ||||||
Everest Re Group Ltd. | 76,369 | 16,630,113 | ||||||
Exantas Capital Corp. | 8,618 | 86,352 | ||||||
EZCORP, Inc.(1) | 14,307 | 110,593 | ||||||
F.N.B. Corp. | 492,003 | 4,841,310 | ||||||
Farmers & Merchants Bancorp, Inc. | 249 | 9,584 | ||||||
Farmers National Banc Corp. | 7,637 | 97,295 | ||||||
FB Financial Corp. | 2,391 | 83,733 | ||||||
FBL Financial Group, Inc. | 2,846 | 186,840 | ||||||
FCB Financial Holdings, Inc.(1) | 238,800 | 8,018,904 | ||||||
Federal Agricultural Mortgage Corp. | 1,763 | 106,556 | ||||||
Federated Investors, Inc. | 7,384 | 196,045 | ||||||
FedNat Holding Co. | 1,481 | 29,502 | ||||||
Ferroglobe Representation & Warranty Insurance Trust(1)(4) | 11,189 | — | ||||||
FGL Holdings(1) | 42,585 | 283,616 | ||||||
Fidelity D&D Bancorp, Inc. | 716 | 45,953 | ||||||
Fidelity Southern Corp. | 6,282 | 163,458 |
Fifth Third Bancorp | 684,082 | 16,096,449 | ||||||
Financial Institutions, Inc. | 4,625 | 118,862 | ||||||
First American Financial Corp. | 82,567 | 3,685,791 | ||||||
First Bancorp NC | 8,576 | 280,092 | ||||||
First Bancorp PR | 61,115 | 525,589 | ||||||
First Bancorp, Inc. | 2,843 | 74,771 | ||||||
First Bancshares, Inc. | 3,588 | 108,537 | ||||||
First Bank/Hamilton NJ | 4,789 | 58,043 | ||||||
First Busey Corp. | 12,706 | 311,805 | ||||||
First Business Financial Services, Inc. | 2,342 | 45,692 | ||||||
First Choice Bancorp | 2,558 | 57,811 | ||||||
First Citizens Bancshares, Inc. | 272 | 102,558 | ||||||
First Commonwealth Financial Corp. | 27,814 | 335,993 | ||||||
First Community Bancshares, Inc. | 4,618 | 145,375 | ||||||
First Community Corp/SC | 1,963 | 38,141 | ||||||
First Defiance Financial Corp. | 5,976 | 146,472 | ||||||
First Financial Bancorp | 27,305 | 647,675 | ||||||
First Financial Corp. | 3,523 | 141,448 | ||||||
First Financial Northwest, Inc. | 1,987 | 30,739 | ||||||
First Foundation, Inc.(1) | 7,136 | 91,769 | ||||||
First Guaranty Bancshares, Inc. | 1,327 | 30,800 | ||||||
First Hawaiian, Inc. | 3,728 | 83,917 | ||||||
First Horizon National Corp. | 11,180 | 147,129 | ||||||
First Internet Bancorp | 2,723 | 55,658 | ||||||
First Interstate BancSystem, Inc. | 9,557 | 349,404 | ||||||
First Merchants Corp. | 14,262 | 488,759 | ||||||
First Mid-Illinois Bancshares, Inc. | 3,812 | 121,679 | ||||||
First Midwest Bancorp, Inc. | 29,292 | 580,275 | ||||||
First Northwest Bancorp | 2,672 | 39,626 | ||||||
First of Long Island Corp. | 7,016 | 139,959 | ||||||
First Republic Bank | 5,702 | 495,504 | ||||||
First Savings Financial Group, Inc. | 488 | 25,347 | ||||||
First United Corp. | 2,004 | 31,904 | ||||||
Flagstar Bancorp, Inc.(1) | 8,580 | 226,512 | ||||||
Flushing Financial Corp. | 8,087 | 174,113 | ||||||
FNF Group | 9,218 | 289,814 | ||||||
Focus Financial Partners, Inc.(1) | 2,228 | 58,663 | ||||||
Franklin Financial Network, Inc.(1) | 3,617 | 95,380 | ||||||
Franklin Resources, Inc. | 10,495 | 311,282 | ||||||
FS Bancorp, Inc. | 580 | 24,870 | ||||||
Fulton Financial Corp. | 49,579 | 767,483 | ||||||
FVCBankcorp, Inc.(1) | 480 | 8,453 | ||||||
GAIN Capital Holdings, Inc. | 8,016 | 49,379 | ||||||
GAMCO Investors, Inc. | 1,452 | 24,524 | ||||||
Genworth Financial, Inc.(1) | 144,053 | 671,287 | ||||||
German American Bancorp, Inc. | 4,779 | 132,713 | ||||||
Glacier Bancorp, Inc. | 360,053 | 14,265,300 | ||||||
Global Indemnity Ltd. | 1,947 | 70,540 | ||||||
Goosehead Insurance, Inc.(1) | 2,777 | 73,007 | ||||||
Granite Point Mortgage Trust, Inc. | 9,910 | 178,677 | ||||||
Great Ajax Corp. | 4,673 | 56,310 | ||||||
Great Southern Bancorp, Inc. | 3,287 | 151,301 | ||||||
Great Western Bancorp, Inc. | 16,715 | 522,344 | ||||||
Green Bancorp, Inc. | 6,289 | 107,793 | ||||||
Greene County Bancorp, Inc. | 160 | 4,979 |
Greenhill & Co, Inc. | 473 | 11,541 | ||||||
Greenlight Capital Re Ltd.(1) | 8,256 | 71,167 | ||||||
Guaranty Bancorp | 1,263 | 26,207 | ||||||
Guaranty Bancshares, Inc. | 2,229 | 66,469 | ||||||
Hallmark Financial Services, Inc.(1) | 4,206 | 44,962 | ||||||
Hancock Whitney Corp. | 24,335 | 843,208 | ||||||
Hanmi Financial Corp. | 7,825 | 154,153 | ||||||
Hanover Insurance Group, Inc. | 91,913 | 10,732,681 | ||||||
HarborOne Bancorp, Inc.(1) | 2,044 | 32,479 | ||||||
Harford Financial Services Group, Inc. | 70,843 | 3,148,971 | ||||||
HCI Group, Inc. | 2,070 | 105,177 | ||||||
Heartland Financial USA, Inc. | 8,497 | 373,443 | ||||||
Heritage Commerce Corp. | 1,066 | 12,088 | ||||||
Heritage Financial Corp. | 233,723 | 6,946,248 | ||||||
Heritage Insurance Holdings, Inc. | 5,166 | 76,044 | ||||||
Hilltop Holdings, Inc. | 683,199 | 12,181,438 | ||||||
Hingham Institution for Savings | 227 | 44,887 | ||||||
Home Bancorp, Inc. | 2,208 | 78,163 | ||||||
Home Bancshares, Inc. | 35,631 | 582,211 | ||||||
HomeStreet, Inc.(1) | 6,943 | 147,400 | ||||||
HomeTrust Bancshares, Inc. | 3,591 | 94,012 | ||||||
Hope Bancorp, Inc. | 35,604 | 422,263 | ||||||
Horace Mann Educators Corp. | 226,315 | 8,475,497 | ||||||
Horizon Bancorp | 919,476 | 14,509,331 | ||||||
Howard Bancorp, Inc.(1) | 2,995 | 42,829 | ||||||
Huntington Bancshares, Inc. | 1,215,339 | 14,486,841 | ||||||
IBERIABANK Corp. | 242,268 | 15,572,987 | ||||||
Impac Mortgage Holdings, Inc.(1) | 2,960 | 11,189 | ||||||
Independence Holding Co. | 1,402 | 49,350 | ||||||
Independent Bank Corp. | 222,046 | 15,612,054 | ||||||
Independent Bank Corp. MI | 4,742 | 99,677 | ||||||
Independent Bank Group, Inc. | 4,612 | 211,091 | ||||||
Interactive Brokers Group, Inc. | 249 | 13,608 | ||||||
International Bancshares Corp. | 15,862 | 545,653 | ||||||
INTL FCStone, Inc.(1) | 4,403 | 161,062 | ||||||
Invesco Ltd. | 14,168 | 237,172 | ||||||
Invesco Mortgage Capital, Inc. | 32,668 | 473,033 | ||||||
Investar Holding Corp. | 1,673 | 41,490 | ||||||
Investment Technology Group, Inc. | 8,170 | 247,061 | ||||||
Investors Bancorp, Inc. | 69,746 | 725,358 | ||||||
Investors Title Co. | 338 | 59,718 | ||||||
James River Group Holdings Ltd. | 3,743 | 136,769 | ||||||
Jefferies Financial Group, Inc. | 10,080 | 174,989 | ||||||
Kearny Financial Corp. | 17,937 | 229,952 | ||||||
Kemper Corp. | 6,032 | 400,404 | ||||||
KeyCorp | 794,641 | 11,744,794 | ||||||
Kingstone Cos, Inc. | 1,887 | 33,381 | ||||||
KKR Real Estate Finance Trust, Inc. | 6,134 | 117,466 | ||||||
Ladder Capital Corp. | 26,304 | 406,923 | ||||||
Ladenburg Thalmann Financial Services, Inc. | 1,842 | 4,292 | ||||||
Lakeland Bancorp, Inc. | 13,576 | 201,061 | ||||||
Lakeland Financial Corp. | 2,033 | 81,645 | ||||||
Lazard Ltd. | 71,818 | 2,650,802 | ||||||
LCNB Corp. | 2,559 | 38,769 | ||||||
LegacyTexas Financial Group, Inc. | 130,168 | 4,177,091 |
Legg Mason, Inc. | 107,465 | 2,741,432 | ||||||
LendingClub Corp.(1) | 92,310 | 242,775 | ||||||
Level One Bancorp, Inc. | 1,532 | 34,363 | ||||||
Lincoln National Corp. | 88,743 | 4,553,403 | ||||||
Live Oak Bancshares, Inc. | 3,424 | 50,709 | ||||||
Loews Corp. | 202,688 | 9,226,358 | ||||||
Luther Burbank Corp. | 5,917 | 53,371 | ||||||
M&T Bank Corp. | 4,886 | 699,333 | ||||||
Macatawa Bank Corp. | 6,596 | 63,454 | ||||||
Maiden Holdings Ltd. | 15,685 | 25,880 | ||||||
Malvern Bancorp, Inc.(1) | 1,828 | 36,066 | ||||||
Markel Corp.(1) | 433 | 449,476 | ||||||
Marlin Business Services Corp. | 1,617 | 36,108 | ||||||
Marsh & McLennan Companies, Inc. | 80,084 | 6,386,699 | ||||||
MB Financial, Inc. | 21,858 | 866,233 | ||||||
MBIA, Inc.(1) | 23,048 | 205,588 | ||||||
MBT Financial Corp. | 5,006 | 46,556 | ||||||
Mercantile Bank Corp. | 4,797 | 135,563 | ||||||
Merchants Bancorp | 3,117 | 62,215 | ||||||
Mercury General Corp. | 975 | 50,417 | ||||||
Meridian Bancorp, Inc. | 12,049 | 172,542 | ||||||
Metropolitan Bank Holding Corp.(1) | 1,915 | 59,078 | ||||||
MFA Financial, Inc. | 15,510 | 103,607 | ||||||
MGIC Investment Corp.(1) | 593,578 | 6,208,826 | ||||||
Mid Penn Bancorp, Inc. | 1,243 | 28,614 | ||||||
Middlefield Banc Corp. | 824 | 34,962 | ||||||
Midland States Bancorp, Inc. | 3,054 | 68,226 | ||||||
MidSouth Bancorp, Inc. | 4,298 | 45,559 | ||||||
MidWestOne Financial Group, Inc. | 3,286 | 81,591 | ||||||
Moody’s Corp. | 37,435 | 5,242,397 | ||||||
Mr Cooper Group, Inc.(1) | 1,050,212 | 12,255,974 | ||||||
MutualFirst Financial, Inc. | 1,657 | 44,026 | ||||||
MVB Financial Corp. | 2,290 | 41,312 | ||||||
Nasdaq OMX Group, Inc. | 156,655 | 12,778,348 | ||||||
National Bank Holdings Corp. | 5,606 | 173,057 | ||||||
National Bankshares, Inc. | 1,913 | 69,691 | ||||||
National Commerce Corp.(1) | 2,897 | 104,292 | ||||||
National General Holdings Corp. | 80,527 | 1,949,559 | ||||||
National Western Life Group, Inc. - Class A | 665 | 199,966 | ||||||
Navient Corp. | 511,375 | 4,505,214 | ||||||
Navigators Group, Inc. | 127,769 | 8,878,668 | ||||||
NBT Bancorp, Inc. | 12,185 | 421,479 | ||||||
Nelnet, Inc. | 5,370 | 281,066 | ||||||
New Residential Investment Corp. | 1,312,051 | 18,644,245 | ||||||
New York Community Bancorp, Inc. | 16,605 | 156,253 | ||||||
New York Mortgage Trust, Inc. | 169,075 | 995,852 | ||||||
NI Holdings, Inc.(1) | 3,171 | 49,880 | ||||||
Nicolet Bankshares, Inc.(1) | 2,348 | 114,582 | ||||||
NMI Holdings, Inc.(1) | 3,064 | 54,692 | ||||||
Northeast Bancorp | 1,941 | 32,473 | ||||||
Northern Trust Corp. | 5,112 | 427,312 | ||||||
Northfield Bancorp, Inc. | 11,935 | 161,719 | ||||||
Northrim BanCorp, Inc. | 1,997 | 65,641 | ||||||
Northwest Bancshares, Inc. | 26,848 | 454,805 | ||||||
Norwood Financial Corp. | 1,572 | 51,876 |
Oak Valley Bancorp | 1,737 | 31,787 | ||||||
OceanFirst Financial Corp. | 13,643 | 307,104 | ||||||
Oconee Federal Financial Corp. | 445 | 11,081 | ||||||
Ocwen Financial Corp.(1) | 34,546 | 46,292 | ||||||
OFG Bancorp | 12,622 | 207,758 | ||||||
Ohio Valley Banc Corp. | 1,130 | 39,991 | ||||||
Old Line Bancshares, Inc. | 4,254 | 111,965 | ||||||
Old National Bancorp | 43,209 | 665,419 | ||||||
Old Republic International Corp. | 142,918 | 2,939,823 | ||||||
Old Second Bancorp, Inc. | 8,569 | 111,397 | ||||||
On Deck Capital, Inc.(1) | 2,025 | 11,948 | ||||||
OneMain Holdings, Inc.(1) | 2,428 | 58,976 | ||||||
OP Bancorp(1) | 3,317 | 29,422 | ||||||
Oppenheimer Holdings, Inc. | 2,715 | 69,368 | ||||||
Opus Bank | 5,542 | 108,568 | ||||||
Orchid Island Capital, Inc. | 15,065 | 96,265 | ||||||
Origin Bancorp, Inc. | 3,361 | 114,543 | ||||||
Oritani Financial Corp. | 11,656 | 171,926 | ||||||
Orrstown Financial Services, Inc. | 2,001 | 36,438 | ||||||
Pacific City Financial Corp. | 2,827 | 44,243 | ||||||
Pacific Mercantile Bancorp(1) | 4,189 | 29,951 | ||||||
Pacific Premier Bancorp, Inc.(1) | 8,721 | 222,560 | ||||||
PacWest Bancorp | 297,120 | 9,888,154 | ||||||
Park National Corp. | 3,933 | 334,108 | ||||||
Parke Bancorp, Inc. | 1,883 | 35,240 | ||||||
PCSB Financial Corp. | 4,394 | 85,947 | ||||||
PDL Community Bancorp(1) | 2,458 | 31,315 | ||||||
Peapack Gladstone Financial Corp. | 5,304 | 133,555 | ||||||
PennantPark Investment Corp. | 163,500 | 1,041,495 | ||||||
Penns Woods Bancorp, Inc. | 1,228 | 49,415 | ||||||
PennyMac Mortgage Investment Trust | 17,084 | 318,104 | ||||||
Peoples Bancorp of North Carolina, Inc. | 1,204 | 29,450 | ||||||
Peoples Bancorp, Inc. | 5,128 | 154,353 | ||||||
Peoples Financial Services Corp. | 2,005 | 88,340 | ||||||
People’s United Financial, Inc. | 12,793 | 184,603 | ||||||
Pinnacle Financial Partners, Inc. | 1,502 | 69,242 | ||||||
Piper Jaffray Cos. | 3,930 | 258,751 | ||||||
PJT Partners, Inc. | 422 | 16,357 | ||||||
Popular, Inc. | 43,936 | 2,074,658 | ||||||
PRA Group, Inc.(1) | 12,827 | 312,594 | ||||||
Premier Financial Bancorp, Inc. | 3,438 | 51,261 | ||||||
Principal Financial Group, Inc. | 82,549 | 3,646,189 | ||||||
ProAssurance Corp. | 15,179 | 615,660 | ||||||
Prospect Capital Corp. | 136,400 | 860,684 | ||||||
Prosperity Bancshares, Inc. | 2,301 | 143,352 | ||||||
Protective Insurance Corp. | 3,044 | 50,683 | ||||||
Provident Bancorp, Inc.(1) | 1,087 | 23,566 | ||||||
Provident Financial Services, Inc. | 17,926 | 432,554 | ||||||
Prudential Bancorp, Inc. | 2,609 | 45,918 | ||||||
QCR Holdings, Inc. | 3,909 | 125,440 | ||||||
Radian Group, Inc. | 307,592 | 5,032,205 | ||||||
Raymond James Financial, Inc. | 106,928 | 7,956,512 | ||||||
RBB Bancorp | 4,136 | 72,670 | ||||||
Ready Capital Corp. | 5,026 | 69,510 | ||||||
Redwood Trust, Inc. | 23,200 | 349,624 |
Regional Management Corp.(1) | 1,445 | 34,752 | ||||||
Regions Financial Corp. | 1,117,975 | 14,958,506 | ||||||
Reinsurance Group of America, Inc. | 286,765 | 40,213,056 | ||||||
Reliant Bancorp, Inc. | 2,551 | 58,775 | ||||||
RenaissanceRe Holdings Ltd. | 1,260 | 168,462 | ||||||
Renasant Corp. | 13,896 | 419,381 | ||||||
Republic Bancorp, Inc. | 2,808 | 108,726 | ||||||
Republic First Bancorp, Inc.(1) | 9,781 | 58,393 | ||||||
Riverview Bancorp, Inc. | 6,079 | 44,255 | ||||||
RLI Corp. | 1,838 | 126,804 | ||||||
S & T Bancorp, Inc. | 9,842 | 372,421 | ||||||
Safety Insurance Group, Inc. | 4,222 | 345,402 | ||||||
Sandy Spring Bancorp, Inc. | 10,065 | 315,437 | ||||||
Santander Consumer USA Holdings, Inc. | 142,496 | 2,506,505 | ||||||
SB One Bancorp | 1,936 | 39,572 | ||||||
Seacoast Banking Corp. of Florida(1) | 10,542 | 274,303 | ||||||
SEI Investments Co. | 101,475 | 4,688,145 | ||||||
Select Bancorp, Inc.(1) | 4,331 | 53,618 | ||||||
Selective Insurance Group, Inc. | 232,407 | 14,162,883 | ||||||
Shore Bancshares, Inc. | 3,914 | 56,910 | ||||||
SI Financial Group, Inc. | 3,119 | 39,705 | ||||||
Sierra Bancorp | 3,959 | 95,135 | ||||||
Signature Bank | 694 | 71,350 | ||||||
Simmons First National Corp. | 25,880 | 624,484 | ||||||
SLM Corp.(1) | 534,652 | 4,442,958 | ||||||
SmartFinancial, Inc.(1) | 3,074 | 56,162 | ||||||
South State Corp. | 95,136 | 5,703,403 | ||||||
Southern First Bancshares, Inc.(1) | 1,720 | 55,160 | ||||||
Southern Missouri Bancorp, Inc. | 1,905 | 64,580 | ||||||
Southern National Bancorp of Virginia, Inc. | 5,824 | 76,993 | ||||||
Southside Bancshares, Inc. | 9,611 | 305,157 | ||||||
Spirit of Texas Bancshares, Inc.(1) | 2,505 | 57,064 | ||||||
Starwood Property Trust, Inc. | 89,675 | 1,767,494 | ||||||
State Auto Financial Corp. | 4,826 | 164,277 | ||||||
State Bank Financial Corp. | 7,000 | 151,130 | ||||||
State Street Corp. | 63,116 | 3,980,726 | ||||||
Sterling Bancorp | 573,680 | 9,471,457 | ||||||
Sterling Bancorp Inc. | 2,358 | 16,388 | ||||||
Stewart Information Services Corp. | 6,349 | 262,849 | ||||||
Stifel Financial Corp. | 19,897 | 824,134 | ||||||
Stock Yards Bancorp, Inc. | 4,829 | 158,391 | ||||||
Summit Financial Group, Inc. | 3,208 | 61,946 | ||||||
SunTrust Banks, Inc. | 374,394 | 18,884,433 | ||||||
SVB Financial Group(1) | 420 | 79,766 | ||||||
Synchrony Financial | 436,709 | 10,245,193 | ||||||
Synovus Financial Corp. | 3,937 | 125,945 | ||||||
T. Rowe Price Group, Inc. | 581 | 53,638 | ||||||
TCF Financial Corp. | 174,870 | 3,408,216 | ||||||
TD Ameritrade Holding Corp. | 349,118 | 17,092,817 | ||||||
Territorial Bancorp, Inc. | 2,179 | 56,610 | ||||||
Texas Capital Bancshares, Inc.(1) | 292,592 | 14,948,525 | ||||||
TFS Financial Corp. | 1,688 | 27,227 | ||||||
The Bancorp, Inc.(1) | 14,669 | 116,765 | ||||||
Third Point Reinsurance Ltd.(1) | 21,820 | 210,345 | ||||||
Timberland Bancorp, Inc. | 1,807 | 40,296 |
Tiptree, Inc. | 8,024 | 44,854 | ||||||
Tompkins Financial Corp. | 4,024 | 301,840 | ||||||
Torchmark Corp. | 64,560 | 4,811,657 | ||||||
Towne Bank | 19,061 | 456,511 | ||||||
TPG RE Finance Trust, Inc. | 10,179 | 186,072 | ||||||
Travelers Companies, Inc. | 77,673 | 9,301,342 | ||||||
TriCo Bancshares | 6,963 | 235,280 | ||||||
TriState Capital Holdings, Inc.(1) | 5,268 | 102,515 | ||||||
TrustCo Bank Corp. | 26,428 | 181,296 | ||||||
Trustmark Corp. | 19,002 | 540,227 | ||||||
Two Harbors Investment Corp. | 8,636 | 110,886 | ||||||
UMB Financial Corp. | 12,992 | 792,122 | ||||||
Umpqua Holdings Corp. | 7,643 | 121,524 | ||||||
Union Bankshares Corp. | 18,866 | 532,587 | ||||||
Union Bankshares, Inc. | 117 | 5,587 | ||||||
United Bankshares, Inc. | 28,623 | 890,462 | ||||||
United Community Banks, Inc. | 18,870 | 404,950 | ||||||
United Community Financial Corp. | 13,491 | 119,395 | ||||||
United Financial Bancorp, Inc. | 14,626 | 215,002 | ||||||
United Fire Group, Inc. | 241,301 | 13,380,140 | ||||||
United Insurance Holdings Corp. | 1,626 | 27,024 | ||||||
United Security Bancshares | 3,715 | 35,590 | ||||||
Unity Bancorp, Inc. | 2,062 | 42,807 | ||||||
Universal Insurance Holdings, Inc. | 63,100 | 2,392,752 | ||||||
Univest Corp. of Pennsylvania | 8,580 | 185,071 | ||||||
Unum Group | 104,788 | 3,078,671 | ||||||
Valley National Bancorp | 92,389 | 820,414 | ||||||
Value Line, Inc. | 83 | 2,159 | ||||||
Veritex Holdings, Inc.(1) | 4,619 | 98,754 | ||||||
Virtus Investment Partners, Inc. | 1,720 | 136,620 | ||||||
Voya Financial, Inc. | 75,195 | 3,018,327 | ||||||
W.R. Berkley Corp. | 154,086 | 11,388,496 | ||||||
Waddell & Reed Financial, Inc. | 22,303 | 403,238 | ||||||
Walker & Dunlop, Inc. | 6,951 | 300,631 | ||||||
Washington Federal, Inc. | 23,873 | 637,648 | ||||||
Washington Trust Bancorp, Inc. | 3,090 | 146,868 | ||||||
Waterstone Financial, Inc. | 6,814 | 114,203 | ||||||
Webster Financial Corp. | 3,207 | 158,073 | ||||||
WesBanco, Inc. | 15,117 | 554,643 | ||||||
West Bancorporation, Inc. | 3,802 | 72,580 | ||||||
Westamerica Bancorporation | 7,367 | 410,195 | ||||||
Western Alliance Bancorp(1) | 1,371 | 54,141 | ||||||
Western Asset Mortgage Capital Corp. | 13,700 | 114,258 | ||||||
Western New England Bancorp, Inc. | 7,273 | 73,021 | ||||||
White Mountains Insurance Group Ltd. | 107 | 91,773 | ||||||
Willis Towers Watson Plc | 4,523 | 686,863 | ||||||
Wintrust Financial Corp. | 1,926 | 128,060 | ||||||
World Acceptance Corp.(1) | 1,769 | 180,898 | ||||||
WSFS Financial Corp. | 6,512 | 246,870 | ||||||
Zions Bancorp | 102,411 | 4,172,224 | ||||||
|
| |||||||
958,781,404 | ||||||||
|
| |||||||
Healthcare - 4.70% |
| |||||||
AAC Holdings, Inc.(1) | 1,613 | 2,258 | ||||||
Abeona Therapeutics, Inc.(1) | 786 | 5,612 | ||||||
Acadia Healthcare Co., Inc.(1) | 2,965 | 76,230 |
Acceleron Pharma, Inc.(1) | 1,851 | 80,611 | ||||||
Achaogen, Inc.(1) | 959 | 1,180 | ||||||
Achillion Pharmaceuticals, Inc.(1) | 37,740 | 60,007 | ||||||
Aclaris Therapeutics, Inc.(1) | 1,189 | 8,787 | ||||||
Acorda Therapeutics, Inc.(1) | 10,770 | 167,797 | ||||||
Adamas Pharmaceuticals, Inc.(1) | 3,130 | 26,730 | ||||||
Adverum Biotechnologies, Inc.(1) | 13,873 | 43,700 | ||||||
AgeX Therapeutics, Inc.(1) | 1,833 | 5,481 | ||||||
Agilent Technologies, Inc. | 11,106 | 749,211 | ||||||
Agios Pharmaceuticals, Inc.(1) | 130 | 5,994 | ||||||
Akebia Therapeutics, Inc.(1) | 1,801 | 9,960 | ||||||
Akorn, Inc.(1) | 39,730 | 134,685 | ||||||
Albireo Pharma, Inc.(1) | 2,005 | 49,183 | ||||||
Alder Biopharmaceuticals, Inc.(1) | 2,908 | 29,807 | ||||||
Allakos, Inc.(1) | 394 | 20,594 | ||||||
Allogene Therapeutics, Inc.(1) | 1,013 | 27,280 | ||||||
Allscripts Healthcare Solutions, Inc.(1) | 755,786 | 7,285,777 | ||||||
Alnylam Pharmaceuticals, Inc.(1) | 360 | 26,248 | ||||||
AMAG Pharmaceuticals, Inc.(1) | 9,931 | 150,852 | ||||||
American Renal Associates Holdings, Inc.(1) | 522 | 6,013 | ||||||
AMN Healthcare Services, Inc.(1) | 164,520 | 9,321,703 | ||||||
Amphastar Pharmaceuticals, Inc.(1) | 6,410 | 127,559 | ||||||
AngioDynamics, Inc.(1) | 10,400 | 209,352 | ||||||
Anika Therapeutics, Inc.(1) | 4,000 | 134,440 | ||||||
Aptinyx, Inc.(1) | 624 | 10,321 | ||||||
Aquestive Therapeutics, Inc.(1) | 385 | 2,425 | ||||||
Aratana Therapeutics, Inc.(1) | 6,848 | 41,978 | ||||||
Arbutus Biopharma Corp.(1) | 7,233 | 27,702 | ||||||
Arcus Biosciences, Inc.(1) | 2,765 | 29,779 | ||||||
Ardelyx, Inc.(1) | 12,248 | 21,924 | ||||||
Arena Pharmaceuticals, Inc.(1) | 2,872 | 111,864 | ||||||
ArQule, Inc.(1) | 3,301 | 9,144 | ||||||
Arvinas, Inc.(1) | 392 | 5,037 | ||||||
Assertio Therapeutics, Inc.(1) | 2,090 | 7,545 | ||||||
Audentes Therapeutics, Inc.(1) | 893 | 19,039 | ||||||
Avanos Medical, Inc.(1) | 13,448 | 602,336 | ||||||
AVEO Pharmaceuticals, Inc.(1) | 12,968 | 20,749 | ||||||
Avrobio, Inc.(1) | 294 | 4,895 | ||||||
Axonics Modulation Technologies, Inc.(1) | 515 | 7,782 | ||||||
Bellicum Pharmaceuticals, Inc.(1) | 3,254 | 9,502 | ||||||
BioCryst Pharmaceuticals, Inc.(1) | 5,054 | 40,786 | ||||||
Bio-Rad Laboratories, Inc.(1) | 736 | 170,914 | ||||||
BioScrip, Inc.(1) | 32,532 | 116,139 | ||||||
BioTime, Inc.(1) | 18,332 | 16,737 | ||||||
Bluebird Bio, Inc.(1) | 597 | 59,222 | ||||||
Boston Scientific Corp.(1) | 144,536 | 5,107,902 | ||||||
Brookdale Senior Living, Inc.(1) | 53,202 | 356,453 | ||||||
Bruker Corp. | 2,082 | 61,981 | ||||||
Calithera Biosciences, Inc.(1) | 9,260 | 37,133 | ||||||
Cambrex Corp.(1) | 5,437 | 205,301 | ||||||
Cara Therapeutics, Inc.(1) | 1,231 | 16,003 | ||||||
Cardinal Health, Inc. | 38,491 | 1,716,699 | ||||||
CareDx, Inc.(1) | 653 | 16,416 | ||||||
CASI Pharmaceuticals, Inc.(1) | 1,689 | 6,790 | ||||||
Castlight Health, Inc.(1) | 1,900 | 4,123 |
Catalent, Inc.(1) | 3,851 | 120,074 | ||||||
Catalyst Biosciences, Inc.(1) | 3,647 | 28,775 | ||||||
Cellular Biomedicine Group, Inc.(1) | 1,009 | 17,819 | ||||||
Centene Corp.(1) | 156,708 | 18,068,432 | ||||||
Cerner Corp.(1) | 6,105 | 320,146 | ||||||
Cerus Corp.(1) | 4,138 | 20,980 | ||||||
Charles River Laboratories International, Inc.(1) | 468 | 52,968 | ||||||
Chimerix, Inc.(1) | 12,021 | 30,894 | ||||||
Civitas Solutions, Inc.(1) | 1,283 | 22,465 | ||||||
Community Health Systems, Inc.(1) | 24,263 | 68,422 | ||||||
Computer Programs & Systems, Inc. | 1,566 | 39,307 | ||||||
Concert Pharmaceuticals, Inc.(1) | 5,897 | 74,007 | ||||||
CONMED Corp. | 4,556 | 292,495 | ||||||
Corvus Pharmaceuticals, Inc.(1) | 394 | 1,446 | ||||||
Crinetics Pharmaceuticals, Inc.(1) | 330 | 9,897 | ||||||
Cross Country Healthcare, Inc.(1) | 10,367 | 75,990 | ||||||
CryoLife, Inc.(1) | 3,301 | 93,682 | ||||||
Cymabay Therapeutics, Inc.(1) | 4,045 | 31,834 | ||||||
Cytokinetics, Inc.(1) | 1,146 | 7,243 | ||||||
DaVita, Inc.(1) | 78,689 | 4,049,336 | ||||||
Dentsply Sirona, Inc. | 7,634 | 284,061 | ||||||
Dynavax Technologies Corp.(1) | 1,810 | 16,561 | ||||||
Eidos Therapeutics, Inc.(1) | 497 | 6,839 | ||||||
Elanco Animal Health, Inc.(1) | 1,325 | 41,777 | ||||||
Endo International Plc(1) | 59,869 | 437,044 | ||||||
Epizyme, Inc.(1) | 4,607 | 28,379 | ||||||
Evolent Health, Inc.(1) | 15,096 | 301,165 | ||||||
Five Prime Therapeutics, Inc.(1) | 9,837 | 91,484 | ||||||
FONAR Corp.(1) | 1,558 | 31,534 | ||||||
Forty Seven, Inc.(1) | 459 | 7,215 | ||||||
Gritstone Oncology, Inc.(1) | 326 | 5,037 | ||||||
Guardant Health, Inc.(1) | 685 | 25,749 | ||||||
Harvard Bioscience, Inc.(1) | 9,382 | 29,835 | ||||||
HCA Healthcare, Inc. | 48,800 | 6,073,160 | ||||||
Henry Schein, Inc.(1) | 4,523 | 355,146 | ||||||
Hill-Rom Holdings, Inc. | 804 | 71,194 | ||||||
HMS Holdings Corp.(1) | 3,046 | 85,684 | ||||||
Hologic, Inc.(1) | 106,631 | 4,382,534 | ||||||
Humana, Inc. | 7,907 | 2,265,197 | ||||||
ICON Plc(1) | 67,105 | 8,670,637 | ||||||
ICU Medical, Inc.(1) | 28,507 | 6,546,062 | ||||||
Immune Design Corp.(1) | 8,395 | 10,913 | ||||||
Immunomedics, Inc.(1) | 4,025 | 57,437 | ||||||
Integer Holdings Corp.(1) | 120,920 | 9,221,359 | ||||||
Integra LifeSciences Holdings Corp.(1) | 570 | 25,707 | ||||||
Intra-Cellular Therapies, Inc.(1) | 6,628 | 75,493 | ||||||
Invacare Corp. | 9,263 | 39,831 | ||||||
IQVIA Holdings, Inc.(1) | 204,560 | 23,763,735 | ||||||
Jazz Pharmaceuticals Plc(1) | 65,857 | 8,163,634 | ||||||
Karyopharm Therapeutics, Inc.(1) | 1,250 | 11,712 | ||||||
Kezar Life Sciences, Inc.(1) | 308 | 7,269 | ||||||
Kiniksa Pharmaceuticals Ltd.(1) | 269 | 7,556 | ||||||
Kodiak Sciences, Inc.(1) | 755 | 5,360 | ||||||
Laboratory Corp. of America Holdings(1) | 69,564 | 8,790,107 | ||||||
Lannet, Inc.(1) | 66,007 | 327,395 |
Lantheus Holdings, Inc.(1) | 775 | 12,129 | ||||||
Liquidia Technologies, Inc.(1) | 321 | 6,953 | ||||||
LivaNova Plc(1) | 2,912 | 266,361 | ||||||
LogicBio Therapeutics, Inc.(1) | 645 | 6,708 | ||||||
Luminex Corp. | 6,752 | 156,039 | ||||||
Magellan Health, Inc.(1) | 41,858 | 2,381,302 | ||||||
Mallinckrodt Plc(1) | 158,686 | 2,507,239 | ||||||
McKesson Corp. | 93,420 | 10,320,107 | ||||||
Medicines Co.(1) | 1,364 | 26,107 | ||||||
MEDNAX, Inc.(1) | 3,028 | 99,924 | ||||||
Melinta Therapeutics, Inc.(1) | 9,771 | 7,745 | ||||||
Menlo Therapeutics, Inc.(1) | 2,698 | 11,116 | ||||||
Meridian Bioscience, Inc. | 1,544 | 26,804 | ||||||
Minerva Neurosciences, Inc.(1) | 1,354 | 9,126 | ||||||
Miragen Therapeutics, Inc.(1) | 1,376 | 4,169 | ||||||
Molecular Templates, Inc.(1) | 3,548 | 14,334 | ||||||
Molina Healthcare, Inc.(1) | 332 | 38,585 | ||||||
Mylan(1) | 17,896 | 490,350 | ||||||
Myriad Genetics, Inc.(1) | 2,370 | 68,896 | ||||||
NanoString Technologies, Inc.(1) | 587 | 8,705 | ||||||
NantHealth, Inc.(1) | 3,740 | 2,035 | ||||||
NantKwest, Inc.(1) | 9,703 | 11,255 | ||||||
National HealthCare Corp. | 3,468 | 272,065 | ||||||
National Research Corp. | 243 | 9,268 | ||||||
Natus Medical, Inc.(1) | 248,620 | 8,460,539 | ||||||
Neos Therapeutics, Inc.(1) | 538 | 888 | ||||||
Neuronetics, Inc.(1) | 199 | 3,851 | ||||||
NewLink Genetics Corp.(1) | 7,117 | 10,818 | ||||||
NextGen Healthcare, Inc.(1) | 5,527 | 83,734 | ||||||
Novavax, Inc.(1) | 68,660 | 126,334 | ||||||
Nymox Pharmaceutical Corp.(1) | 4,590 | 6,013 | ||||||
OPKO Health, Inc.(1) | 91,850 | 276,469 | ||||||
OraSure Technologies, Inc.(1) | 716 | 8,363 | ||||||
Orthofix Medical, Inc.(1) | 1,188 | 62,358 | ||||||
Osmotica Pharmaceuticals Plc(1) | 685 | 5,309 | ||||||
Ovid Therapeutics, Inc.(1) | 1,107 | 2,679 | ||||||
Owens & Minor, Inc. | 17,121 | 108,376 | ||||||
Patterson Companies, Inc. | 23,547 | 462,934 | ||||||
PDL BioPharma, Inc.(1) | 42,012 | 121,835 | ||||||
PerkinElmer, Inc. | 3,813 | 299,511 | ||||||
Perrigo Co. Plc | 4,471 | 173,251 | ||||||
PetIQ, Inc.(1) | 208 | 4,882 | ||||||
Phibro Animal Health Corp. | 377 | 12,124 | ||||||
Portola Pharmaceuticals, Inc.(1) | 1,251 | 24,420 | ||||||
Premier, Inc.(1) | 1,209 | 45,156 | ||||||
Prestige Consumer Healthcare, Inc.(1) | 14,957 | 461,872 | ||||||
Principia Biopharma, Inc.(1) | 276 | 7,560 | ||||||
Proteostasis Therapeutics, Inc.(1) | 1,980 | 6,415 | ||||||
Prothena Corporation Plc(1) | 11,550 | 118,965 | ||||||
QIAGEN NV(1) | 7,725 | 266,126 | ||||||
Quest Diagnostics, Inc. | 4,733 | 394,117 | ||||||
R1 RCM, Inc.(1) | 2,404 | 19,112 | ||||||
Ra Pharmaceuticals, Inc.(1) | 3,962 | 72,108 | ||||||
Replimune Group, Inc.(1) | 364 | 3,640 | ||||||
resTORbio, Inc.(1) | 2,001 | 17,249 |
Rigel Pharmaceuticals, Inc.(1) | 4,089 | 9,405 | ||||||
Rockwell Medical, Inc.(1) | 854 | 1,930 | ||||||
RTI Surgical, Inc.(1) | 13,214 | 48,892 | ||||||
Rubius Therapeutics, Inc.(1) | 598 | 9,616 | ||||||
Scholar Rock Holding Corp.(1) | 264 | 6,064 | ||||||
scPharmaceuticals, Inc.(1) | 2,254 | 8,475 | ||||||
SeaSpine Holdings Corp.(1) | 4,202 | 76,644 | ||||||
SI-BONE, Inc.(1) | 258 | 5,390 | ||||||
Spectrum Pharmaceuticals, Inc.(1) | 2,382 | 20,843 | ||||||
Spero Therapeutics, Inc.(1) | 2,252 | 13,850 | ||||||
STERIS Plc | 2,915 | 311,468 | ||||||
Surgery Partners, Inc.(1) | 4,944 | 48,402 | ||||||
Sutro Biopharma, Inc.(1) | 528 | 4,763 | ||||||
Syndax Pharmaceuticals, Inc.(1) | 2,317 | 10,311 | ||||||
Syneos Health, Inc.(1) | 16,367 | 644,041 | ||||||
Synlogic, Inc.(1) | 4,444 | 31,152 | ||||||
Teleflex, Inc. | 1,284 | 331,888 | ||||||
Tetraphase Pharmaceuticals, Inc.(1) | 15,411 | 17,414 | ||||||
The Cooper Companies, Inc. | 12,167 | 3,096,501 | ||||||
Tocagen, Inc.(1) | 282 | 2,315 | ||||||
Translate Bio, Inc.(1) | 597 | 4,478 | ||||||
Tricida, Inc.(1) | 552 | 13,016 | ||||||
Triple-S Management Corp.(1) | 6,264 | 108,931 | ||||||
Twist Bioscience Corp.(1) | 269 | 6,211 | ||||||
United Therapeutics Corp.(1) | 23,197 | 2,526,153 | ||||||
Universal Health Services, Inc. | 67,984 | 7,924,215 | ||||||
Utah Medical Products, Inc. | 158 | 13,127 | ||||||
Verrica Pharmaceuticals, Inc.(1) | 375 | 3,056 | ||||||
Waters Corp.(1) | 201 | 37,919 | ||||||
WellCare Health Plans, Inc.(1) | 112 | 26,442 | ||||||
West Pharmaceutical Services, Inc. | 1,962 | 192,335 | ||||||
Xeris Pharmaceuticals, Inc.(1) | 316 | 5,372 | ||||||
XOMA Corp.(1) | 875 | 11,069 | ||||||
Y-mAbs Therapeutics, Inc.(1) | 332 | 6,753 | ||||||
Zafgen, Inc.(1) | 644 | 3,188 | ||||||
Zimmer Holdings, Inc. | 81,532 | 8,456,499 | ||||||
Zogenix, Inc.(1) | 2,982 | 108,724 | ||||||
|
| |||||||
183,892,868 | ||||||||
|
| |||||||
Industrials - 15.01% |
| |||||||
AAR Corp. | 9,408 | 351,295 | ||||||
ABM Industries, Inc. | 18,961 | 608,838 | ||||||
Acacia Research Corp.(1) | 2,169 | 6,464 | ||||||
ACCO Brands Corp. | 30,153 | 204,437 | ||||||
Actuant Corp. | 8,901 | 186,832 | ||||||
Acuity Brands, Inc. | 19,379 | 2,227,616 | ||||||
ADT, Inc. | 3,816 | 22,934 | ||||||
Advanced Disposal Services, Inc.(1) | 427,642 | 10,237,749 | ||||||
AECOM(1) | 5,501 | 145,776 | ||||||
Aegion Corp.(1) | 9,207 | 150,258 | ||||||
AGCO Corp. | 2,266 | 126,148 | ||||||
Air Lease Corp. | 161,499 | 4,878,885 | ||||||
Aircastle Ltd. | 15,681 | 270,340 | ||||||
Alamo Group, Inc. | 385 | 29,768 | ||||||
Alaska Air Group, Inc. | 4,199 | 255,509 | ||||||
Allegion Plc | 124,315 | 9,909,149 |
Allison Transmission Holdings, Inc. | 435,390 | 19,117,975 | ||||||
Altra Industrial Motion Corp. | 283,652 | 7,133,848 | ||||||
AMERCO | 244 | 80,059 | ||||||
Ameresco, Inc.(1) | 5,336 | 75,238 | ||||||
American Airlines Group, Inc. | 106,524 | 3,420,486 | ||||||
AMETEK, Inc. | 295,989 | 20,038,455 | ||||||
Apogee Enterprises, Inc. | 1,234 | 36,835 | ||||||
ArcBest Corp. | 6,421 | 219,983 | ||||||
Arconic, Inc. | 15,087 | 254,367 | ||||||
Arcosa, Inc.(1) | 1,670 | 46,242 | ||||||
Argan, Inc. | 4,210 | 159,306 | ||||||
Armstrong Flooring, Inc.(1) | 5,387 | 63,782 | ||||||
Armstrong World Industries, Inc. | 196,455 | 11,435,646 | ||||||
Astec Industries, Inc. | 3,272 | 98,782 | ||||||
Atlas Air Worldwide Holdings, Inc.(1) | 50,548 | 2,132,620 | ||||||
AZZ, Inc. | 5,072 | 204,706 | ||||||
Babcock & Wilcox Enterprises, Inc.(1) | 8,525 | 3,328 | ||||||
Barnes Group, Inc. | 11,910 | 638,614 | ||||||
Beacon Roofing Supply, Inc.(1) | 5,110 | 162,089 | ||||||
Blue Bird Corp.(1) | 2,104 | 38,272 | ||||||
BMC Stock Holdings, Inc.(1) | 385,208 | �� | 5,963,020 | |||||
Brady Corp. | 13,607 | 591,360 | ||||||
Briggs & Stratton Corp. | 12,003 | 156,999 | ||||||
BrightView Holdings, Inc.(1) | 3,129 | 31,947 | ||||||
Caesarstone Ltd. | 6,483 | 88,039 | ||||||
CAI International, Inc.(1) | 2,650 | 61,559 | ||||||
Carlisle Companies, Inc. | 2,038 | 204,860 | ||||||
Casella Waste Systems, Inc.(1) | 9,280 | 264,387 | ||||||
CBIZ, Inc.(1) | 14,810 | 291,757 | ||||||
CECO Environmental Corp.(1) | 8,681 | 58,597 | ||||||
Charah Solutions, Inc.(1) | 1,003 | 8,375 | ||||||
Chart Industries, Inc.(1) | 4,955 | 322,224 | ||||||
CIRCOR International, Inc.(1) | 4,711 | 100,344 | ||||||
Clean Harbors, Inc.(1) | 1,787 | 88,188 | ||||||
Colfax Corp.(1) | 2,876 | 60,108 | ||||||
Columbus Mckinnon Corp. | 2,478 | 74,687 | ||||||
CompX International, Inc. | 351 | 4,777 | ||||||
Copa Holdings SA | 1,064 | 83,747 | ||||||
Costamare, Inc. | 13,942 | 61,205 | ||||||
Covenant Transportation Group, Inc. - Class A(1) | 3,498 | 67,162 | ||||||
CRA International, Inc. | 1,602 | 68,165 | ||||||
Crane Co. | 7,031 | 507,498 | ||||||
Cubic Corp. | 1,954 | 105,008 | ||||||
Cummins, Inc. | 126,370 | 16,888,087 | ||||||
Curtiss-Wright Corp. | 74,408 | 7,598,545 | ||||||
Daseke, Inc.(1) | 11,252 | 41,407 | ||||||
Delta Air Lines, Inc. | 148,396 | 7,404,960 | ||||||
Deluxe Corp. | 50,290 | 1,933,148 | ||||||
Donaldson Co., Inc. | 321 | 13,928 | ||||||
Dover Corp. | 178,906 | 12,693,381 | ||||||
Ducommun, Inc.(1) | 3,051 | 110,812 | ||||||
Dun & Bradstreet Corp. | 59,576 | 8,503,878 | ||||||
DXP Enterprises, Inc.(1) | 1,076 | 29,956 | ||||||
Eagle Bulk Shipping, Inc.(1) | 13,643 | 62,894 | ||||||
Eastern Co. | 1,563 | 37,793 |
Eaton Corp. Plc | 142,609 | 9,791,534 | ||||||
Echo Global Logistics, Inc.(1) | 427 | 8,681 | ||||||
EMCOR Group, Inc. | 65,961 | 3,937,212 | ||||||
Encore Wire Corp. | 5,881 | 295,109 | ||||||
EnerSys, Inc. | 104,765 | 8,130,812 | ||||||
Engility Holdings, Inc.(1) | 5,240 | 149,130 | ||||||
Ennis, Inc. | 7,389 | 142,238 | ||||||
Enphase Energy, Inc.(1) | 24,659 | 116,637 | ||||||
EnPro Industries, Inc. | 5,318 | 319,612 | ||||||
Equifax, Inc. | 3,040 | 283,115 | ||||||
ESCO Technologies, Inc. | 170,532 | 11,246,585 | ||||||
Essendant, Inc. | 10,813 | 136,028 | ||||||
Esterline Technologies Corp.(1) | 68,636 | 8,335,842 | ||||||
Federal Signal Corp. | 972 | 19,343 | ||||||
Flowserve Corp. | 4,568 | 173,675 | ||||||
Fluor Corp. | 4,914 | 158,231 | ||||||
Fortive Corp. | 827 | 55,955 | ||||||
Fortune Brands Home & Security, Inc. | 2,854 | 108,423 | ||||||
Forward Air Corp. | 108,680 | 5,961,098 | ||||||
Foundation Building Materials, Inc.(1) | 2,954 | 24,548 | ||||||
Franklin Electric Company, Inc. | 736 | 31,560 | ||||||
FreightCar America, Inc.(1) | 3,312 | 22,157 | ||||||
FTI Consulting, Inc.(1) | 10,878 | 724,910 | ||||||
FuelCell Energy, Inc.(1) | 20,864 | 11,486 | ||||||
Gardner Denver Holdings, Inc.(1) | 2,918 | 59,673 | ||||||
Gates Industrial Corp. Plc(1) | 1,625 | 21,515 | ||||||
GATX Corp. | 10,771 | 762,694 | ||||||
Genco Shipping & Trading Ltd.(1) | 2,748 | 21,682 | ||||||
Gencor Industries, Inc.(1) | 1,980 | 21,721 | ||||||
General Finance Corp.(1) | 1,743 | 17,622 | ||||||
Genesee & Wyoming, Inc.(1) | 1,592 | 117,840 | ||||||
Gibraltar Industries, Inc.(1) | 203,774 | 7,252,317 | ||||||
Global Brass and Copper Holdings, Inc. | 59,597 | 1,498,865 | ||||||
GMS, Inc.(1) | 503 | 7,475 | ||||||
Gorman Rupp Co. | 4,000 | 129,640 | ||||||
GP Strategies Corp.(1) | 3,512 | 44,286 | ||||||
GrafTech International Ltd. | 2,020 | 23,109 | ||||||
Graham Corp. | 2,566 | 58,607 | ||||||
Granite Construction, Inc. | 2,703 | 108,877 | ||||||
Great Lakes Dredge & Dock Corp.(1) | 16,145 | 106,880 | ||||||
Greenbrier Companies, Inc. | 50,109 | 1,981,310 | ||||||
Griffon Corp. | 9,542 | 99,714 | ||||||
H&E Equipment Services, Inc. | 1,971 | 40,248 | ||||||
Harris Corp. | 95,441 | 12,851,131 | ||||||
Hawaiian Holdings, Inc. | 14,115 | 372,777 | ||||||
HD Supply Holdings, Inc.(1) | 220,581 | 8,276,199 | ||||||
Heritage Crystal Clean, Inc.(1) | 3,972 | 91,396 | ||||||
Herman Miller, Inc. | 71,133 | 2,151,773 | ||||||
Hertz Global Holdings, Inc.(1) | 15,852 | 216,380 | ||||||
Hexcel Corp. | 2,358 | 135,208 | ||||||
Hub Group, Inc.(1) | 3,422 | 126,854 | ||||||
Hubbell, Inc. | 63,309 | 6,289,116 | ||||||
Huntington Ingalls Industries, Inc. | 61,084 | 11,624,896 | ||||||
Hurco Companies, Inc. | 1,769 | 63,153 | ||||||
Huron Consulting Group, Inc.(1) | 6,361 | 326,383 |
Hyster-Yale Materials Handling, Inc. | 2,955 | 183,092 | ||||||
ICF International, Inc. | 4,581 | 296,757 | ||||||
IDEX Corp. | 175 | 22,095 | ||||||
IES Holdings, Inc.(1) | 2,353 | 36,589 | ||||||
IHS Markit Ltd.(1) | 13,334 | 639,632 | ||||||
Infrastructure and Energy Alternatives, Inc.(1) | 5,008 | 41,016 | ||||||
Ingersoll-Rand Plc | 3,920 | 357,622 | ||||||
InnerWorkings, Inc.(1) | 11,125 | 41,607 | ||||||
Insteel Industries, Inc. | 535 | 12,990 | ||||||
Interface, Inc. | 1,643 | 23,413 | ||||||
ITT, Inc. | 130,415 | 6,295,132 | ||||||
Jacobs Engineering Group, Inc. | 4,456 | 260,498 | ||||||
JetBlue Airways Corp.(1) | 255,148 | 4,097,677 | ||||||
Kansas City Southern | 3,572 | 340,947 | ||||||
KAR Auction Services, Inc. | 447,035 | 21,332,510 | ||||||
KBR, Inc. | 40,289 | 611,587 | ||||||
Kelly Services, Inc. | 8,991 | 184,136 | ||||||
Kennametal, Inc. | 9,009 | 299,820 | ||||||
KeyW Holding Corp.(1) | 13,626 | 91,158 | ||||||
Kimball International, Inc. | 1,347 | 19,114 | ||||||
Kirby Corp.(1) | 2,051 | 138,155 | ||||||
Knight-Swift Transportation Holdings, Inc. | 227,218 | 5,696,355 | ||||||
Knoll, Inc. | 339,699 | 5,598,240 | ||||||
Kratos Defense & Security Solutions, Inc.(1) | 15,850 | 223,326 | ||||||
L.B. Foster Co.(1) | 2,862 | 45,506 | ||||||
L3 Technologies, Inc. | 2,729 | 473,918 | ||||||
Lawson Products, Inc.(1) | 1,507 | 47,621 | ||||||
Lennox International, Inc. | 74 | 16,196 | ||||||
LSC Communications, Inc. | 9,140 | 63,980 | ||||||
Lydall, Inc.(1) | 4,220 | 85,708 | ||||||
Macquarie Infrastructure Corp. | 2,794 | 102,149 | ||||||
Manitex International, Inc.(1) | 826 | 4,692 | ||||||
ManpowerGroup, Inc. | 131,462 | 8,518,738 | ||||||
Marten Transport Ltd. | 5,946 | 96,266 | ||||||
Masco Corp. | 275,501 | 8,055,649 | ||||||
Masonite International Corp.(1) | 351,661 | 15,764,963 | ||||||
Matson, Inc. | 6,591 | 211,044 | ||||||
Matthews International Corp. | 8,981 | 364,808 | ||||||
Maxar Technologies Ltd. | 16,395 | 196,084 | ||||||
Mercury Systems, Inc.(1) | 6,587 | 311,499 | ||||||
Mesa Air Group, Inc.(1) | 2,130 | 16,422 | ||||||
Milacron Holdings Corp.(1) | 17,592 | 209,169 | ||||||
Miller Industries, Inc. | 2,983 | 80,541 | ||||||
Mistras Group, Inc.(1) | 1,244 | 17,889 | ||||||
Mobile Mini, Inc. | 1,487 | 47,212 | ||||||
Moog, Inc. | 8,378 | 649,127 | ||||||
MRC Global, Inc.(1) | 11,228 | 137,318 | ||||||
MSC Industrial Direct Co., Inc. | 857 | 65,920 | ||||||
Mueller Water Products, Inc. | 737,017 | 6,706,855 | ||||||
Multi-Color Corp. | 3,970 | 139,307 | ||||||
National Presto Industries, Inc. | 1,306 | 152,698 | ||||||
Navigant Consulting, Inc. | 12,167 | 292,616 | ||||||
Navistar International Corp.(1) | 13,301 | 345,161 | ||||||
Nexeo Solutions, Inc.(1) | 9,079 | 77,989 | ||||||
Nielsen Holdings Plc | 12,435 | 290,109 |
NL Industries, Inc.(1) | 2,045 | 7,178 | ||||||
NN, Inc. | 12,110 | 81,258 | ||||||
Nordson Corp. | 142 | 16,948 | ||||||
Northwest Pipe Co.(1) | 2,802 | 65,259 | ||||||
NOW, Inc.(1) | 30,918 | 359,886 | ||||||
nVent Electric Plc | 194,508 | 4,368,650 | ||||||
Orion Group Holdings, Inc.(1) | 4,025 | 17,267 | ||||||
Oshkosh Corp. | 166,971 | 10,236,992 | ||||||
Owens Corning | 196,506 | 8,642,334 | ||||||
P.A.M. Transportation Services, Inc.(1) | 227 | 8,946 | ||||||
PACCAR, Inc. | 127,276 | 7,272,551 | ||||||
Parker-Hannifin Corp. | 100,204 | 14,944,425 | ||||||
Park-Ohio Holdings Corp. | 2,543 | 78,045 | ||||||
Pentair Plc | 5,460 | 206,279 | ||||||
PICO Holdings, Inc.(1) | 4,448 | 40,655 | ||||||
Pitney Bowes, Inc. | 144,946 | 856,631 | ||||||
Powell Industries, Inc. | 2,441 | 61,049 | ||||||
Preformed Line Products Co. | 911 | 49,422 | ||||||
Primoris Services Corp. | 3,923 | 75,047 | ||||||
Quad/Graphics, Inc. | 9,076 | 111,816 | ||||||
Quanex Building Products Corp. | 10,049 | 136,566 | ||||||
Quanta Services, Inc.(1) | 3,692 | 111,129 | ||||||
Radiant Logistics, Inc.(1) | 10,853 | 46,125 | ||||||
Regal-Beloit Corp. | 57,092 | 3,999,295 | ||||||
Republic Services, Inc. | 7,102 | 511,983 | ||||||
Resources Connection, Inc. | 6,000 | 85,200 | ||||||
REV Group, Inc. | 6,938 | 52,104 | ||||||
Rexnord Corp.(1) | 26,553 | 609,391 | ||||||
Robert Half International, Inc. | 237,177 | 13,566,524 | ||||||
Roper Technologies, Inc. | 2,875 | 766,245 | ||||||
RR Donnelley & Sons Co. | 20,520 | 81,259 | ||||||
Rush Enterprises, Inc. - Class A | 4,786 | 165,021 | ||||||
Rush Enterprises, Inc. - Class B | 624 | 22,214 | ||||||
Ryder System, Inc. | 40,923 | 1,970,442 | ||||||
Safe Bulkers, Inc.(1) | 14,417 | 25,662 | ||||||
Schneider National, Inc. | 1,361 | 25,410 | ||||||
Scorpio Bulkers, Inc. | 16,953 | 93,750 | ||||||
Sensata Technologies Holding Plc(1) | 2,540 | 113,894 | ||||||
SkyWest, Inc. | 14,551 | 647,083 | ||||||
Snap-on, Inc. | 1,957 | 284,333 | ||||||
Southwest Airlines Co. | 238,783 | 11,098,634 | ||||||
SP Plus Corp.(1) | 4,698 | 138,779 | ||||||
Sparton Corp.(1) | 1,312 | 23,865 | ||||||
Spirit AeroSystems Holdings, Inc. | 120,037 | 8,653,467 | ||||||
Spirit Airlines, Inc.(1) | 19,650 | 1,138,128 | ||||||
SPX Corp.(1) | 2,303 | 64,507 | ||||||
SPX FLOW, Inc.(1) | 12,042 | 366,318 | ||||||
Standex International Corp. | 75,735 | 5,087,877 | ||||||
Stanley Black & Decker, Inc. | 5,274 | 631,509 | ||||||
Steelcase, Inc. | 202,888 | 3,008,829 | ||||||
Stericycle, Inc.(1) | 2,898 | 106,328 | ||||||
Sterling Construction Company, Inc.(1) | 6,101 | 66,440 | ||||||
Sunrun, Inc.(1) | 27,841 | 303,188 | ||||||
Systemax, Inc. | 812 | 19,399 | ||||||
Team, Inc.(1) | 7,830 | 114,709 |
Teledyne Technologies, Inc.(1) | 1,233 | 255,317 | ||||||
Terex Corp. | 2,289 | 63,108 | ||||||
Tetra Tech, Inc. | 980 | 50,735 | ||||||
Textainer Group Holdings Ltd.(1) | 7,979 | 79,471 | ||||||
Textron, Inc. | 135,150 | 6,215,548 | ||||||
The Brink’s Co. | 473,768 | 30,629,101 | ||||||
The Manitowoc Co., Inc.(1) | 10,204 | 150,713 | ||||||
The Middleby Corp.(1) | 773 | 79,410 | ||||||
The Timken Co. | 489,905 | 18,283,255 | ||||||
Thermon Group Holdings, Inc.(1) | 6,451 | 130,826 | ||||||
Titan International, Inc. | 14,544 | 67,775 | ||||||
Titan Machinery, Inc.(1) | 5,371 | 70,629 | ||||||
TriMas Corp.(1) | 991,739 | 27,064,557 | ||||||
Trinity Industries, Inc. | 5,010 | 103,156 | ||||||
Triton International Ltd. | 14,823 | 460,551 | ||||||
Triumph Group, Inc. | 13,629 | 156,733 | ||||||
TrueBlue, Inc.(1) | 11,011 | 244,995 | ||||||
Tutor Perini Corp.(1) | 10,845 | 173,195 | ||||||
Twin Disc, Inc.(1) | 2,488 | 36,698 | ||||||
U.S. Xpress Enterprises, Inc.(1) | 2,470 | 13,857 | ||||||
UniFirst Corp. | 3,801 | 543,809 | ||||||
United Continental Holdings, Inc.(1) | 107,340 | 8,987,578 | ||||||
United Rentals, Inc.(1) | 25,100 | 2,573,503 | ||||||
Univar, Inc.(1) | 3,458 | 61,345 | ||||||
Universal Forest Products, Inc. | 1,831 | 47,533 | ||||||
Upwork, Inc.(1) | 659 | 11,934 | ||||||
US Ecology, Inc. | 183,510 | 11,557,460 | ||||||
USA Truck, Inc.(1) | 277 | 4,147 | ||||||
USG Corp. | 2,858 | 121,922 | ||||||
Valmont Industries, Inc. | 743 | 82,436 | ||||||
Vectrus, Inc.(1) | 3,076 | 66,380 | ||||||
Veritiv Corp.(1) | 3,350 | 83,649 | ||||||
Viad Corp. | 2,371 | 118,763 | ||||||
Vicor Corp.(1) | 388 | 14,663 | ||||||
Vivint Solar, Inc.(1) | 6,137 | 23,382 | ||||||
VSE Corp. | 2,301 | 68,823 | ||||||
Wabash National Corp. | 78,610 | 1,028,219 | ||||||
WABCO Holdings, Inc.(1) | 76,335 | 8,193,799 | ||||||
Wabtec Corp. | 1,905 | 133,826 | ||||||
Watsco, Inc. | 217 | 30,193 | ||||||
Watts Water Technologies, Inc. | 3,438 | 221,854 | ||||||
Werner Enterprises, Inc. | 7,452 | 220,132 | ||||||
Wesco Aircraft Holdings, Inc.(1) | 11,362 | 89,760 | ||||||
WESCO International, Inc.(1) | 67,542 | 3,242,016 | ||||||
Willis Lease Finance Corp.(1) | 888 | 30,725 | ||||||
Willscot Corp.(1) | 925,239 | 8,715,751 | ||||||
Xylem, Inc. | 2,731 | 182,212 | ||||||
YRC Worldwide, Inc.(1) | 7,184 | 22,630 | ||||||
|
| |||||||
587,513,636 | ||||||||
|
| |||||||
Information Technology - 12.41% |
| |||||||
3D Systems Corp.(1) | 29,770 | 302,761 | ||||||
Acacia Communications, Inc.(1) | 6,743 | 256,234 | ||||||
ACI Worldwide, Inc.(1) | 351,346 | 9,721,744 | ||||||
ADTRAN, Inc. | 13,766 | 147,847 | ||||||
Advanced Energy Industries, Inc.(1) | 28,100 | 1,206,333 |
Agilysys, Inc.(1) | 2,171 | 31,132 | ||||||
Akamai Technologies, Inc.(1) | 389 | 23,760 | ||||||
Alliance Data Systems Corp. | 96,014 | 14,409,781 | ||||||
Alpha & Omega Semiconductor Ltd.(1) | 5,808 | 59,184 | ||||||
Ambarella, Inc.(1) | 5,290 | 185,044 | ||||||
Amdocs Ltd. | 170,947 | 10,014,075 | ||||||
American Software, Inc. | 3,176 | 33,189 | ||||||
Amkor Technology, Inc.(1) | 234,971 | 1,541,410 | ||||||
Analog Devices, Inc. | 102,771 | 8,820,835 | ||||||
Anaplan, Inc.(1) | 892 | 23,674 | ||||||
Anixter International, Inc.(1) | 8,443 | 458,539 | ||||||
Applied Materials, Inc. | 80,700 | 2,642,118 | ||||||
Applied Optoelectronics, Inc.(1) | 1,154 | 17,806 | ||||||
Arlo Technologies, Inc.(1) | 1,856 | 18,523 | ||||||
ARRIS International Plc(1) | 5,648 | 172,659 | ||||||
Arrow Electronics, Inc.(1) | 126,725 | 8,737,689 | ||||||
Aspen Technology, Inc.(1) | 119 | 9,779 | ||||||
Autodesk, Inc.(1) | 1,231 | 158,319 | ||||||
Avalara, Inc.(1) | 448 | 13,955 | ||||||
Avaya Holdings Corp.(1) | 29,835 | 434,398 | ||||||
Avid Technology, Inc.(1) | 2,842 | 13,499 | ||||||
Avnet, Inc. | 639,087 | 23,071,041 | ||||||
AVX Corp. | 13,411 | 204,518 | ||||||
Axcelis Technologies, Inc.(1) | 9,045 | 161,001 | ||||||
AXT, Inc.(1) | 10,275 | 44,696 | ||||||
Bel Fuse, Inc. | 2,626 | 48,371 | ||||||
Belden, Inc. | 11,554 | 482,611 | ||||||
Benchmark Electronics, Inc. | 12,666 | 268,266 | ||||||
Booz Allen Hamilton Holding Corp. | 223 | 10,051 | ||||||
Brooks Automation, Inc. | 405,290 | 10,610,492 | ||||||
CACI International, Inc.(1) | 118,388 | 17,051,424 | ||||||
Calix, Inc.(1) | 6,356 | 61,971 | ||||||
Cardtronics Plc(1) | 2,196 | 57,096 | ||||||
Casa Systems, Inc.(1) | 801 | 10,517 | ||||||
CDK Global, Inc. | 157,622 | 7,546,941 | ||||||
CDW Corp. | 47,700 | 3,866,085 | ||||||
CEVA, Inc.(1) | 446 | 9,852 | ||||||
ChannelAdvisor Corp.(1) | 216 | 2,452 | ||||||
Check Point Software Technologies Ltd.(1) | 122,925 | 12,618,251 | ||||||
Ciena Corp.(1) | 41,023 | 1,391,090 | ||||||
Cirrus Logic, Inc.(1) | 70,856 | 2,351,002 | ||||||
Clearfield, Inc.(1) | 964 | 9,563 | ||||||
Cognizant Technology Solutions - Class A | 41,889 | 2,659,114 | ||||||
Coherent, Inc.(1) | 12,940 | 1,367,887 | ||||||
Cohu, Inc. | 7,210 | 115,865 | ||||||
CommScope Holding Co., Inc.(1) | 6,596 | 108,108 | ||||||
Comtech Telecommunications Corp. | 6,509 | 158,429 | ||||||
Conduent, Inc.(1) | 6,518 | 69,286 | ||||||
Control4 Corp.(1) | 4,198 | 73,885 | ||||||
ConvergeOne Holdings, Inc. | 1,741 | 21,554 | ||||||
CoreLogic, Inc.(1) | 1,044 | 34,890 | ||||||
Corning, Inc. | 158,586 | 4,790,883 | ||||||
Cray, Inc.(1) | 9,690 | 209,207 | ||||||
Cree, Inc.(1) | 28,851 | 1,234,102 | ||||||
CSG Systems International, Inc. | 1,646 | 52,293 |
CTS Corp. | 9,396 | 243,262 | ||||||
Cypress Semiconductor Corp. | 3,908 | 49,710 | ||||||
Daktronics, Inc. | 10,254 | 75,880 | ||||||
DASAN Zhone Solutions, Inc.(1) | 1,771 | 24,635 | ||||||
Dell Technologies, Inc. - Class C(1) | 4,845 | 236,786 | ||||||
Diebold Nixdorf, Inc. | 21,647 | 53,901 | ||||||
Digi International, Inc.(1) | 7,390 | 74,565 | ||||||
Digimarc Corp.(1) | 109 | 1,580 | ||||||
Diodes, Inc.(1) | 8,635 | 278,565 | ||||||
Dolby Laboratories, Inc. | 2,165 | 133,884 | ||||||
Domo, Inc.(1) | 433 | 8,500 | ||||||
DXC Technology Co. | 77,993 | 4,146,888 | ||||||
EchoStar Corp.(1) | 1,676 | 61,543 | ||||||
eGain Corp.(1) | 746 | 4,901 | ||||||
Elastic NV(1) | 49 | 3,503 | ||||||
Electro Scientific Industries, Inc.(1) | 9,323 | 279,317 | ||||||
Electronics For Imaging, Inc.(1) | 12,580 | 311,984 | ||||||
Entegris, Inc. | 147,810 | 4,123,160 | ||||||
Euronet Worldwide, Inc.(1) | 842 | 86,204 | ||||||
EVERTEC, Inc. | 2,794 | 80,188 | ||||||
Evo Payments, Inc.(1) | 1,531 | 37,770 | ||||||
Exela Technologies, Inc.(1) | 2,530 | 9,842 | ||||||
F5 Networks, Inc.(1) | 20,800 | 3,370,224 | ||||||
Fabrinet(1) | 10,336 | 530,340 | ||||||
FARO Technologies, Inc.(1) | 244 | 9,916 | ||||||
Fidelity National Information Services, Inc. | 390,880 | 40,084,744 | ||||||
Finisar Corp.(1) | 33,674 | 727,358 | ||||||
FireEye, Inc.(1) | 2,265 | 36,716 | ||||||
First Data Corp.(1) | 303,854 | 5,138,171 | ||||||
First Solar, Inc.(1) | 2,838 | 120,487 | ||||||
Fiserv, Inc.(1) | 158,400 | 11,640,816 | ||||||
Fitbit, Inc.(1) | 48,186 | 239,484 | ||||||
Flex Ltd.(1) | 385,465 | 2,933,389 | ||||||
FLIR Systems, Inc. | 4,255 | 185,263 | ||||||
FormFactor, Inc.(1) | 19,351 | 272,656 | ||||||
Fusion Connect, Inc.(1) | 4,674 | 7,852 | ||||||
Genpact Ltd. | 3,298 | 89,013 | ||||||
Global Payments, Inc. | 194,831 | 20,092,921 | ||||||
Hackett Group, Inc. | 586 | 9,382 | ||||||
Harmonic, Inc.(1) | 23,305 | 110,000 | ||||||
Hewlett Packard Enterprise Co. | 432,700 | 5,715,967 | ||||||
HP, Inc. | 923,807 | 18,901,091 | ||||||
I3 Verticals, Inc.(1) | 522 | 12,580 | ||||||
Infinera Corp.(1) | 42,895 | 171,151 | ||||||
Information Services Group, Inc.(1) | 3,306 | 14,017 | ||||||
Insight Enterprises, Inc.(1) | 6,304 | 256,888 | ||||||
InterDigital, Inc. | 5,547 | 368,487 | ||||||
Jabil, Inc. | 99,304 | 2,461,746 | ||||||
Juniper Networks, Inc. | 261,299 | 7,031,556 | ||||||
KEMET Corp. | 127,677 | 2,239,455 | ||||||
Keysight Technologies, Inc.(1) | 286,206 | 17,767,668 | ||||||
Kimball Electronics, Inc.(1) | 7,506 | 116,268 | ||||||
KLA-Tencor Corp. | 46,490 | 4,160,390 | ||||||
Knowles Corp.(1) | 24,802 | 330,115 | ||||||
Kopin Corp.(1) | 1,173 | 1,172 |
KVH Industries, Inc.(1) | 4,584 | 47,169 | ||||||
Lam Research Corp. | 52,500 | 7,148,925 | ||||||
Leidos Holdings, Inc. | 193,610 | 10,207,119 | ||||||
Littelfuse, Inc. | 25,782 | 4,421,097 | ||||||
LiveRamp Holdings, Inc.(1) | 11,193 | 432,386 | ||||||
LogMeIn, Inc. | 613 | 50,002 | ||||||
Lumentum Holdings, Inc.(1) | 3,094 | 129,982 | ||||||
MACOM Technology Solutions Holdings, Inc.(1) | 12,875 | 186,816 | ||||||
Mantech International Corp. | 7,567 | 395,716 | ||||||
Marvell Technology Group Ltd. | 583,269 | 9,443,125 | ||||||
Maxwell Technologies, Inc.(1) | 11,500 | 23,805 | ||||||
Methode Electronics, Inc. | 325,018 | 7,569,669 | ||||||
MicroStrategy, Inc.(1) | 2,718 | 347,224 | ||||||
MKS Instruments, Inc. | 72,570 | 4,688,748 | ||||||
MoneyGram International, Inc.(1) | 7,894 | 15,788 | ||||||
Monotype Imaging Holdings, Inc. | 6,134 | 95,200 | ||||||
Motorola Solutions, Inc. | �� | 5,013 | 576,696 | |||||
MTS Systems Corp. | 5,098 | 204,583 | ||||||
National Instruments Corp. | 734 | 33,309 | ||||||
NCR Corp.(1) | 50,742 | 1,171,125 | ||||||
NeoPhotonics Corp.(1) | 10,290 | 66,679 | ||||||
NetApp, Inc. | 170,380 | 10,166,575 | ||||||
NETGEAR, Inc.(1) | 6,850 | 356,406 | ||||||
NetScout Systems, Inc.(1) | 21,499 | 508,021 | ||||||
Nuance Communications, Inc.(1) | 9,979 | 132,022 | ||||||
NVE Corp. | 59 | 5,165 | ||||||
ON Semiconductor Corp.(1) | 157,500 | 2,600,325 | ||||||
OSI Systems, Inc.(1) | 3,022 | 221,513 | ||||||
PAR Technology Corp.(1) | 579 | 12,593 | ||||||
Park Electrochemical Corp. | 2,087 | 37,712 | ||||||
PC Connection, Inc. | 3,260 | 96,920 | ||||||
PDF Solutions, Inc.(1) | 7,147 | 60,249 | ||||||
Perficient, Inc.(1) | 5,624 | 125,190 | ||||||
Perspecta, Inc. | 41,163 | 708,827 | ||||||
Photronics, Inc.(1) | 19,230 | 186,146 | ||||||
Plexus Corp.(1) | 164,853 | 8,420,691 | ||||||
Pluralsight, Inc.(1) | 155 | 3,650 | ||||||
Presidio, Inc. | 279,833 | 3,651,821 | ||||||
Qorvo, Inc.(1) | 97,975 | 5,950,022 | ||||||
Rambus, Inc.(1) | 30,893 | 236,949 | ||||||
Ribbon Communications, Inc.(1) | 15,541 | 74,908 | ||||||
RingCentral, Inc.(1) | 67,025 | 5,525,541 | ||||||
Rogers Corp.(1) | 59,086 | 5,853,059 | ||||||
Sabre Corp. | 1,840 | 39,818 | ||||||
Sanmina Corp.(1) | 74,868 | 1,801,324 | ||||||
ScanSource, Inc.(1) | 7,216 | 248,086 | ||||||
Seagate Technology Plc | 55,900 | 2,157,181 | ||||||
SecureWorks Corp.(1) | 2,277 | 38,459 | ||||||
Semtech Corp.(1) | 193,089 | 8,856,992 | ||||||
Skyworks Solutions, Inc. | 59,223 | 3,969,125 | ||||||
SolarWinds Corp.(1) | 187 | 2,586 | ||||||
SS&C Technologies Holdings, Inc. | 504 | 22,735 | ||||||
Stratasys Ltd.(1) | 14,428 | 259,848 | ||||||
SunPower Corp.(1) | 11,393 | 56,623 | ||||||
SVMK, Inc.(1) | 947 | 11,620 |
Sykes Enterprises, Inc.(1) | 11,351 | 280,710 | ||||||
Symantec Corp. | 22,159 | 418,694 | ||||||
Synaptics, Inc.(1) | 9,016 | 335,485 | ||||||
SYNNEX Corp. | 148,842 | 12,032,393 | ||||||
Synopsys, Inc.(1) | 4,668 | 393,232 | ||||||
TE Connectivity Ltd. | 210,630 | 15,929,947 | ||||||
Tech Data Corp.(1) | 169,713 | 13,884,221 | ||||||
Telaria, Inc.(1) | 7,307 | 19,948 | ||||||
Telenav, Inc.(1) | 3,679 | 14,937 | ||||||
Tenable Holdings, Inc.(1) | 646 | 14,335 | ||||||
Teradata Corp.(1) | 1,210 | 46,416 | ||||||
Teradyne, Inc. | 5,192 | 162,925 | ||||||
The Western Union Co. | 196,093 | 3,345,347 | ||||||
TiVo Corp. | 34,565 | 325,257 | ||||||
Trimble, Inc.(1) | 8,635 | 284,178 | ||||||
TTM Technologies, Inc.(1) | 132,361 | 1,287,873 | ||||||
Ultra Clean Holdings, Inc.(1) | 10,786 | 91,357 | ||||||
Unisys Corp.(1) | 4,671 | 54,324 | ||||||
Veeco Instruments, Inc.(1) | 13,785 | 102,147 | ||||||
Verint Systems, Inc.(1) | 18,454 | 780,789 | ||||||
Versum Materials, Inc. | 195,603 | 5,422,115 | ||||||
ViaSat, Inc.(1) | 15,844 | 934,004 | ||||||
Viavi Solutions, Inc.(1) | 41,990 | 422,000 | ||||||
Vishay Intertechnology, Inc. | 112,274 | 2,022,055 | ||||||
Vishay Precision Group, Inc.(1) | 687 | 20,768 | ||||||
Western Digital Corp. | 64,755 | 2,393,992 | ||||||
Worldpay, Inc.(1) | 9,507 | 726,620 | ||||||
Xerox Corp. | 429,650 | 8,489,884 | ||||||
Xperi Corp. | 11,044 | 203,099 | ||||||
|
| |||||||
485,793,849 | ||||||||
|
| |||||||
Materials - 5.29% |
| |||||||
Advanced Emissions Solutions, Inc. | 684 | 7,216 | ||||||
AdvanSix, Inc.(1) | 5,552 | 135,136 | ||||||
AgroFresh Solutions, Inc.(1) | 9,044 | 34,277 | ||||||
AK Steel Holding Corp.(1) | 90,917 | 204,563 | ||||||
Albemarle Corp. | 3,688 | 284,234 | ||||||
Alcoa Corp.(1) | 6,495 | 172,637 | ||||||
Allegheny Technologies, Inc.(1) | 35,977 | 783,219 | ||||||
American Vanguard Corp. | 8,144 | 123,707 | ||||||
Amyris, Inc.(1) | 7,471 | 24,953 | ||||||
AptarGroup, Inc. | 2,170 | 204,132 | ||||||
Ardagh Group SA | 559 | 6,194 | ||||||
Ashland Global Holdings, Inc. | 2,175 | 154,338 | ||||||
Avery Dennison Corp. | 162,958 | 14,638,517 | ||||||
Axalta Coating Systems Ltd.(1) | 4,400 | 103,048 | ||||||
Ball Corp. | 11,643 | 535,345 | ||||||
Bemis, Inc. | 3,132 | 143,759 | ||||||
Berry Global Group, Inc.(1) | 116,128 | 5,519,564 | ||||||
Boise Cascade Co. | 720 | 17,172 | ||||||
Cabot Corp. | 45,170 | 1,939,600 | ||||||
Carpenter Technology Corp. | 13,391 | 476,854 | ||||||
Celanese Corp. | 56,990 | 5,127,390 | ||||||
Century Aluminum Co.(1) | 13,734 | 100,396 | ||||||
CF Industries Holdings, Inc. | 8,019 | 348,907 | ||||||
Chemours Co. | 101,400 | 2,861,508 |
Clearwater Paper Corp.(1) | 4,570 | 111,371 | ||||||
Cleveland-Cliffs, Inc.(1) | 71,781 | 551,996 | ||||||
Coeur Mining, Inc.(1) | 45,455 | 203,184 | ||||||
Commercial Metals Co. | 33,318 | 533,754 | ||||||
Compass Minerals International, Inc. | 783 | 32,643 | ||||||
Constellium(1) | 1,454,500 | 10,166,955 | ||||||
Crown Holdings, Inc.(1) | 512,966 | 21,323,997 | ||||||
Domtar Corp. | 45,680 | 1,604,738 | ||||||
Eagle Materials, Inc. | 177 | 10,802 | ||||||
Eastman Chemical Co. | 74,821 | 5,470,163 | ||||||
Flotek Industries, Inc.(1) | 14,751 | 16,079 | ||||||
FMC Corp. | 287,585 | 21,269,787 | ||||||
Freeport-McMoRan, Inc. | 50,458 | 520,222 | ||||||
FutureFuel Corp. | 7,395 | 117,285 | ||||||
Gold Resource Corp. | 1,691 | 6,764 | ||||||
Graphic Packaging Holding Co. | 548,670 | 5,837,849 | ||||||
Greif, Inc. - Class A | 6,786 | 251,828 | ||||||
Greif, Inc. - Class B | 1,406 | 62,426 | ||||||
Hawkins, Inc. | 2,780 | 113,841 | ||||||
Haynes International, Inc. | 3,471 | 91,634 | ||||||
HB Fuller Co. | 232,495 | 9,920,562 | ||||||
Hecla Mining Co. | 120,912 | 285,352 | ||||||
Huntsman Corp. | 161,262 | 3,110,744 | ||||||
Ingevity Corp.(1) | 61,420 | 5,140,240 | ||||||
Innophos Holdings, Inc. | 4,637 | 113,746 | ||||||
Innospec, Inc. | 6,926 | 427,750 | ||||||
International Flavors & Fragrances, Inc. | 1,851 | 248,534 | ||||||
International Paper Co. | 92,245 | 3,723,008 | ||||||
Intrepid Potash, Inc.(1) | 27,639 | 71,861 | ||||||
Kaiser Aluminum Corp. | 2,220 | 198,224 | ||||||
Koppers Holdings, Inc.(1) | 1,638 | 27,912 | ||||||
Kraton Corp.(1) | 696 | 15,201 | ||||||
Kronos Worldwide, Inc. | 145,893 | 1,680,687 | ||||||
Livent Corp.(1) | 3,577 | 49,363 | ||||||
Louisiana-Pacific Corp. | 34,674 | 770,456 | ||||||
LSB Industries, Inc.(1) | 5,982 | 33,021 | ||||||
Martin Marietta Materials, Inc. | 182 | 31,280 | ||||||
Materion Corp. | 5,705 | 256,668 | ||||||
Minerals Technologies, Inc. | 153,254 | 7,868,060 | ||||||
Neenah, Inc. | 784 | 46,193 | ||||||
NewMarket Corp. | 20 | 8,242 | ||||||
Newmont Mining Corp. | 18,593 | 644,247 | ||||||
Nucor Corp. | 10,938 | 566,698 | ||||||
Nutrien Ltd. | 192,494 | 9,047,218 | ||||||
Olin Corp. | 5,852 | 117,684 | ||||||
Olympic Steel, Inc. | 2,621 | 37,402 | ||||||
Owens-Illinois, Inc.(1) | 156,678 | 2,701,129 | ||||||
Packaging Corp. of America | 16,300 | 1,360,398 | ||||||
PH Glatfelter Co. | 370,654 | 3,617,583 | ||||||
Platform Specialty Products Corp.(1) | 470,843 | 4,863,808 | ||||||
PolyOne Corp. | 140,524 | 4,018,986 | ||||||
PQ Group Holdings, Inc.(1) | 10,557 | 156,349 | ||||||
Ramaco Resources, Inc.(1) | 206 | 1,020 | ||||||
Rayonier Advanced Materials, Inc. | 14,644 | 155,959 | ||||||
Reliance Steel & Aluminum Co. | 46,442 | 3,305,277 |
Royal Gold, Inc. | 1,331 | 114,000 | ||||||
RPM International, Inc. | 3,657 | 214,958 | ||||||
Schnitzer Steel Industries, Inc. | 7,470 | 160,979 | ||||||
Schweitzer-Mauduit International, Inc. | 35,411 | 887,046 | ||||||
Scotts Miracle-Gro Co. | 714 | 43,882 | ||||||
Sealed Air Corp. | 2,425 | 84,487 | ||||||
Sensient Technologies Corp. | 5,679 | 317,172 | ||||||
Silgan Holdings, Inc. | 1,742 | 41,146 | ||||||
Sonoco Products Co. | 3,414 | 181,386 | ||||||
Steel Dynamics, Inc. | 86,129 | 2,587,315 | ||||||
Stepan Co. | 5,778 | 427,572 | ||||||
SunCoke Energy, Inc.(1) | 18,728 | 160,124 | ||||||
Synalloy Corp. | 2,311 | 38,339 | ||||||
Tahoe Resources, Inc.(1) | 47,356 | 172,849 | ||||||
The Mosaic Co. | 313,708 | 9,163,411 | ||||||
TimkenSteel Corp.(1) | 11,093 | 96,953 | ||||||
Trecora Resources(1) | 5,861 | 45,716 | ||||||
Tredegar Corp. | 7,456 | 118,252 | ||||||
Trinseo SA | 112,607 | 5,155,148 | ||||||
Tronox Ltd. | 14,683 | 114,234 | ||||||
UFP Technologies, Inc.(1) | 1,872 | 56,235 | ||||||
United States Lime & Minerals, Inc. | 534 | 37,914 | ||||||
United States Steel Corp. | 6,149 | 112,158 | ||||||
Universal Stainless & Alloy Products, Inc.(1) | 2,307 | 37,396 | ||||||
Valhi, Inc. | 5,911 | 11,408 | ||||||
Valvoline, Inc. | 969,040 | 18,750,924 | ||||||
Verso Corp.(1) | 9,108 | 204,019 | ||||||
Vulcan Materials Co. | 286 | 28,257 | ||||||
W.R. Grace & Co. | 590 | 38,297 | ||||||
Warrior Met Coal, Inc. | 12,408 | 299,157 | ||||||
Westlake Chemical Corp. | 88 | 5,823 | ||||||
WestRock Co. | 8,776 | 331,382 | ||||||
Worthington Industries, Inc. | 922 | 32,122 | ||||||
|
| |||||||
206,934,907 | ||||||||
|
| |||||||
Real Estate - 8.11% |
| |||||||
Acadia Realty Trust | 23,049 | 547,644 | ||||||
Agree Realty Corp. | 9,557 | 565,010 | ||||||
Alexander & Baldwin, Inc.(1) | 349,065 | 6,415,815 | ||||||
Alexandria Real Estate Equities, Inc. | 3,417 | 393,775 | ||||||
Altisource Portfolio Solutions SA(1) | 2,603 | 58,541 | ||||||
American Assets Trust, Inc. | 11,047 | 443,758 | ||||||
American Campus Communities, Inc. | 4,719 | 195,319 | ||||||
American Homes 4 Rent | 295,323 | 5,862,162 | ||||||
American Realty Investors, Inc.(1) | 613 | 7,399 | ||||||
Apartment Investment & Management Co. | 5,373 | 235,767 | ||||||
Apple Hospitality REIT, Inc. | 7,578 | 108,062 | ||||||
Armada Hoffler Properties, Inc. | 9,408 | 132,276 | ||||||
Ashford Hospitality Trust, Inc. | 25,040 | 100,160 | ||||||
AvalonBay Communities, Inc. | 4,811 | 837,355 | ||||||
Bluerock Resident Growth REIT, Inc. - Class A | 6,808 | 61,408 | ||||||
Boston Properties, Inc. | 167,230 | 18,821,736 | ||||||
Braemar Hotels & Resorts, Inc. | 8,471 | 75,646 | ||||||
Brandywine Realty Trust | 6,087 | 78,340 | ||||||
Brixmor Property Group, Inc. | 134,356 | 1,973,690 | ||||||
Brookfield Property REIT, Inc. | 4,349 | 70,019 |
BRT Apartments Corp. | 2,621 | 29,984 | ||||||
Camden Property Trust | 3,098 | 272,779 | ||||||
CareTrust REIT, Inc. | 22,799 | 420,870 | ||||||
CatchMark Timber Trust, Inc. | 13,937 | 98,953 | ||||||
CBL & Associates Properties, Inc. | 139,150 | 267,168 | ||||||
CBRE Group, Inc.(1) | 5,721 | 229,069 | ||||||
Cedar Realty Trust, Inc. | 24,371 | 76,525 | ||||||
Chatham Lodging Trust | 118,423 | 2,093,719 | ||||||
Chesapeake Lodging Trust | 17,001 | 413,974 | ||||||
City Office REIT, Inc. | 9,148 | 93,767 | ||||||
Colony Capital, Inc. | 16,078 | 75,245 | ||||||
Columbia Property Trust, Inc. | 4,147 | 80,244 | ||||||
Community Healthcare Trust, Inc. | 4,921 | 141,872 | ||||||
Consolidated-Tomoka Land Co. | 791 | 41,527 | ||||||
CoreCivic, Inc. | 33,956 | 605,435 | ||||||
CorEnergy Infrastructure Trust, Inc. | 3,512 | 116,177 | ||||||
CorePoint Lodging, Inc. | 11,910 | 145,897 | ||||||
Corporate Office Properties Trust | 3,547 | 74,593 | ||||||
Cousins Properties, Inc. | 120,245 | 949,935 | ||||||
CubeSmart | 6,416 | 184,075 | ||||||
Cushman & Wakefield Plc(1) | 3,348 | 48,446 | ||||||
CyrusOne, Inc. | 333,619 | 17,641,773 | ||||||
DiamondRock Hospitality Co. | 449,064 | 4,077,501 | ||||||
Digital Realty Trust, Inc. | 7,166 | 763,537 | ||||||
Douglas Emmett, Inc. | 352,668 | 12,036,559 | ||||||
Duke Realty Corp. | 524,334 | 13,580,251 | ||||||
Easterly Government Properties, Inc. | 12,890 | 202,115 | ||||||
EastGroup Properties, Inc. | 68,690 | 6,300,934 | ||||||
Empire State Realty Trust, Inc. | 4,901 | 69,741 | ||||||
EPR Properties | 2,577 | 165,005 | ||||||
Equity Commonwealth | 272,311 | 8,172,053 | ||||||
Equity Residential | 231,847 | 15,304,220 | ||||||
Essential Properties Realty Trust, Inc. | 8,670 | 119,993 | ||||||
Essex Property Trust, Inc. | 2,293 | 562,267 | ||||||
Extra Space Storage, Inc. | 576 | 52,116 | ||||||
Farmland Partners, Inc. | 8,997 | 40,846 | ||||||
Federal Realty Investment Trust | 2,543 | 300,176 | ||||||
First Industrial Realty Trust, Inc. | 27,988 | 807,734 | ||||||
Forestar Group, Inc.(1) | 2,914 | 40,359 | ||||||
Four Corners Property Trust, Inc. | 6,003 | 157,279 | ||||||
Franklin Street Properties Corp. | 191,588 | 1,193,593 | ||||||
Front Yard Residential Corp. | 14,303 | 124,865 | ||||||
FRP Holdings, Inc.(1) | 1,730 | 79,597 | ||||||
Gaming and Leisure Properties, Inc. | 4,511 | 145,750 | ||||||
Getty Realty Corp. | 28,692 | 843,832 | ||||||
Gladstone Commercial Corp. | 8,072 | 144,650 | ||||||
Gladstone Land Corp. | 3,832 | 43,991 | ||||||
Global Medical REIT, Inc. | 5,119 | 45,508 | ||||||
Global Net Lease, Inc. | 20,723 | 365,139 | ||||||
Government Properties Income Trust | 164,534 | 1,130,349 | ||||||
Griffin Industrial Realty, Inc. | 134 | 4,275 | ||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 14,764 | 281,254 | ||||||
HCP, Inc. | 16,391 | 457,801 | ||||||
Healthcare Realty Trust, Inc. | 35,418 | 1,007,288 | ||||||
Healthcare Trust of America, Inc. | 7,212 | 182,536 |
Hersha Hospitality Trust | 10,400 | 182,416 | ||||||
Highwoods Properties, Inc. | 3,557 | 137,620 | ||||||
Hospitality Properties Trust | 122,307 | 2,920,691 | ||||||
Host Hotels & Resorts, Inc. | 253,298 | 4,222,478 | ||||||
Hudson Pacific Properties, Inc. | 4,680 | 136,001 | ||||||
Independence Realty Trust, Inc. | 24,946 | 229,004 | ||||||
Industrial Logistics Properties Trust | 89,302 | 1,756,578 | ||||||
InfraREIT, Inc. | 12,649 | 265,882 | ||||||
Innovative Industrial Properties, Inc. | 1,791 | 81,293 | ||||||
Investors Real Estate Trust | 3,440 | 168,796 | ||||||
Invitation Homes, Inc. | 10,437 | 209,575 | ||||||
Iron Mountain, Inc. | 9,918 | 321,442 | ||||||
iStar, Inc. | 19,160 | 175,697 | ||||||
JBG SMITH Properties | 3,623 | 126,117 | ||||||
Jernigan Capital, Inc. | 5,017 | 99,437 | ||||||
Jones Lang LaSalle, Inc. | 1,583 | 200,408 | ||||||
Kennedy-Wilson Holdings, Inc. | 17,448 | 317,030 | ||||||
Kilroy Realty Corp. | 83,534 | 5,252,618 | ||||||
Kimco Realty Corp. | 14,119 | 206,843 | ||||||
Kite Realty Group Trust | 23,857 | 336,145 | ||||||
Lamar Advertising Co. | 285 | 19,716 | ||||||
Lexington Realty Trust | 308,862 | 2,535,757 | ||||||
Liberty Property Trust | 5,125 | 214,635 | ||||||
Life Storage, Inc. | 1,498 | 139,299 | ||||||
LTC Properties, Inc. | 11,258 | 469,233 | ||||||
Mack Cali Realty Corp. | 153,722 | 3,011,414 | ||||||
MedEquities Realty Trust, Inc. | 7,847 | 53,673 | ||||||
Medical Properties Trust, Inc. | 281,779 | 4,531,006 | ||||||
Mid-America Apartment Communities, Inc. | 3,958 | 378,781 | ||||||
Monmouth Real Estate Investment Corp. | 20,952 | 259,805 | ||||||
National Health Investors, Inc. | 34,247 | 2,587,018 | ||||||
National Retail Properties, Inc. | 5,531 | 268,309 | ||||||
National Storage Affiliates Trust Co. | 14,660 | 387,904 | ||||||
New Senior Investment Group, Inc. | 21,063 | 86,780 | ||||||
NexPoint Residential Trust, Inc. | 5,002 | 175,320 | ||||||
NorthStar Realty Europe Corp. | 12,656 | 184,018 | ||||||
Omega Healthcare Investors, Inc. | 166,252 | 5,843,758 | ||||||
One Liberty Properties, Inc. | 4,364 | 105,696 | ||||||
Outfront Media, Inc. | 127,801 | 2,315,754 | ||||||
Paramount Group, Inc. | 7,131 | 89,565 | ||||||
Park Hotels & Resorts, Inc. | 6,960 | 180,821 | ||||||
Pebblebrook Hotel Trust | 450,431 | 12,751,702 | ||||||
Pennsylvania Real Estate Investment Trust | 10,233 | 60,784 | ||||||
Physicians Realty Trust | 587,614 | 9,419,452 | ||||||
Piedmont Office Realty Trust, Inc. | 181,980 | 3,100,939 | ||||||
PotlatchDeltic Corp. | 18,901 | 598,028 | ||||||
Preferred Apartment Communities, Inc. | 11,409 | 160,411 | ||||||
Prologis, Inc. | 140,297 | 8,238,240 | ||||||
PS Business Parks, Inc. | 1,763 | 230,953 | ||||||
QTS Realty Trust, Inc. | 302,250 | 11,198,362 | ||||||
Rayonier, Inc. | 4,516 | 125,048 | ||||||
Re/Max Holdings, Inc. | 5,103 | 156,917 | ||||||
Realogy Holdings Corp. | 4,071 | 59,762 | ||||||
Realty Income Corp. | 10,291 | 648,745 | ||||||
Regency Centers Corp. | 194,239 | 11,397,945 |
Retail Opportunity Investments Corp. | 32,163 | 510,748 | ||||||
Retail Properties of America, Inc. | 379,983 | 4,122,816 | ||||||
Retail Value, Inc. | 13,081 | 334,743 | ||||||
Rexford Industrial Realty, Inc. | 26,391 | 777,743 | ||||||
RLJ Lodging Trust | 49,857 | 817,655 | ||||||
RPT Realty | 22,605 | 270,130 | ||||||
Sabra Health Care REIT, Inc. | 178,515 | 2,941,927 | ||||||
Safety Income & Growth, Inc. | 2,201 | 41,401 | ||||||
Saul Centers, Inc. | 388 | 18,321 | ||||||
Select Income REIT | 166,149 | 1,222,857 | ||||||
Senior Housing Properties Trust | 236,610 | 2,773,069 | ||||||
Seritage Growth Properties | 9,294 | 300,475 | ||||||
SITE Centers Corp. | 131,351 | 1,454,056 | ||||||
SL Green Realty Corp. | 195,760 | 15,480,701 | ||||||
Spirit MTA REIT | 63,714 | 454,281 | ||||||
Spirit Realty Capital, Inc. | 105,979 | �� | 3,735,760 | |||||
STAG Industrial, Inc. | 28,246 | 702,760 | ||||||
STORE Capital Corp. | 544,951 | 15,427,563 | ||||||
Stratus Properties, Inc.(1) | 1,579 | 37,864 | ||||||
Summit Hotel Properties, Inc. | 142,558 | 1,387,089 | ||||||
Sun Communities, Inc. | 2,941 | 299,129 | ||||||
Sunstone Hotel Investors, Inc. | 65,373 | 850,503 | ||||||
Tejon Ranch Co.(1) | 5,954 | 98,721 | ||||||
Terreno Realty Corp. | 16,618 | 584,455 | ||||||
The GEO Group, Inc. | 27,312 | 538,046 | ||||||
The Howard Hughes Corp.(1) | 159,917 | 15,611,098 | ||||||
The Macerich Co. | 4,737 | 205,017 | ||||||
The St. Joe Co.(1) | 10,110 | 133,149 | ||||||
Tier REIT, Inc. | 15,487 | 319,497 | ||||||
Transcontinental Realty Investors, Inc.(1) | 515 | 14,585 | ||||||
UDR, Inc. | 9,267 | 367,159 | ||||||
UMH Properties, Inc. | 1,353 | 16,020 | ||||||
Uniti Group, Inc. | 162,277 | 2,526,653 | ||||||
Universal Health Realty Income Trust | 380 | 23,321 | ||||||
Urban Edge Properties | 26,273 | 436,657 | ||||||
Urstadt Biddle Properties, Inc. | 8,699 | 167,195 | ||||||
Ventas, Inc. | 12,408 | 726,985 | ||||||
VEREIT, Inc. | 624,613 | 4,465,983 | ||||||
VICI Properties, Inc. | 13,969 | 262,338 | ||||||
Vornado Realty Trust | 6,009 | 372,738 | ||||||
W.P. Carey, Inc. | 5,549 | 362,572 | ||||||
Washington Prime Group, Inc. | 332,437 | 1,615,644 | ||||||
Washington Real Estate Investment Trust | 22,752 | 523,296 | ||||||
Weingarten Realty Investors | 4,117 | 102,143 | ||||||
Welltower, Inc. | 12,974 | 900,525 | ||||||
Weyerhaeuser Co. | 26,166 | 571,989 | ||||||
Whitestone REIT | 10,636 | 130,397 | ||||||
Xenia Hotels & Resorts, Inc. | 201,067 | 3,458,352 | ||||||
|
| |||||||
317,716,770 | ||||||||
|
| |||||||
Utilities - 7.53% |
| |||||||
AES Corp. | 23,052 | 333,332 | ||||||
ALLETE, Inc. | 14,726 | 1,122,416 | ||||||
Alliant Energy Corp. | 120,029 | 5,071,225 | ||||||
Ameren Corp. | 272,476 | 17,773,609 | ||||||
American Electric Power Co., Inc. | 75,286 | 5,626,876 |
American States Water Co. | 3,329 | 223,176 | ||||||
American Water Works Co., Inc. | 6,299 | 571,760 | ||||||
Aqua America, Inc. | 6,204 | 212,115 | ||||||
AquaVenture Holdings Ltd.(1) | 3,086 | 58,295 | ||||||
Artesian Resources Corp. | 2,317 | 80,794 | ||||||
Atlantic Power Corp.(1) | 33,704 | 73,138 | ||||||
Atlantica Yield Plc | 928,150 | 18,191,740 | ||||||
Atmos Energy Corp. | 3,801 | 352,429 | ||||||
Avangrid, Inc. | 1,965 | 98,427 | ||||||
Avista Corp. | 18,734 | 795,820 | ||||||
Black Hills Corp. | 15,330 | 962,417 | ||||||
Cadiz, Inc.(1) | 6,395 | 65,868 | ||||||
California Water Service Group | 12,651 | 602,947 | ||||||
CenterPoint Energy, Inc. | 17,477 | 493,376 | ||||||
Chesapeake Utilities Corp. | 4,028 | 327,476 | ||||||
Clearway Energy, Inc. - Class A | 9,784 | 165,545 | ||||||
Clearway Energy, Inc. - Class C | 21,251 | 366,580 | ||||||
CMS Energy Corp. | 350,555 | 17,405,056 | ||||||
Connecticut Water Services, Inc. | 3,409 | 227,960 | ||||||
Consolidated Edison, Inc. | 10,854 | 829,897 | ||||||
Consolidated Water Co., Inc. | 4,071 | 47,468 | ||||||
DTE Energy Co. | 118,186 | 13,035,916 | ||||||
Edison International | 127,488 | 7,237,494 | ||||||
El Paso Electric Co. | 11,633 | 583,162 | ||||||
Entergy Corp. | 297,510 | 25,606,686 | ||||||
Evergy, Inc. | 148,809 | 8,447,887 | ||||||
Eversource Energy | 286,582 | 18,639,293 | ||||||
Exelon Corp. | 88,500 | 3,991,350 | ||||||
FirstEnergy Corp. | 298,140 | 11,195,157 | ||||||
Hawaiian Electric Industries, Inc. | 3,789 | 138,753 | ||||||
IDACORP, Inc. | 14,418 | 1,341,739 | ||||||
MDU Resources Group, Inc. | 6,762 | 161,206 | ||||||
MGE Energy, Inc. | 98,246 | 5,890,830 | ||||||
Middlesex Water Co. | 661 | 35,264 | ||||||
National Fuel Gas Co. | 71,819 | 3,675,696 | ||||||
New Jersey Resources Corp. | 23,103 | 1,055,114 | ||||||
NiSource, Inc. | 12,629 | 320,145 | ||||||
Northwest Natural Holding Co. | 8,158 | 493,233 | ||||||
NorthWestern Corp. | 14,428 | 857,600 | ||||||
NRG Energy, Inc. | 10,095 | 399,762 | ||||||
OGE Energy Corp. | 6,971 | 273,193 | ||||||
ONE Gas, Inc. | 131,789 | 10,490,404 | ||||||
Ormat Technologies, Inc. | 11,358 | 594,023 | ||||||
Otter Tail Corp. | 11,326 | 562,223 | ||||||
Pattern Energy Group, Inc. | 23,204 | 432,058 | ||||||
PG&E Corp.(1) | 18,022 | 428,023 | ||||||
Pinnacle West Capital Corp. | 250,029 | 21,302,471 | ||||||
PNM Resources, Inc. | 22,755 | 935,003 | ||||||
Portland General Electric Co. | 93,728 | 4,297,429 | ||||||
PPL Corp. | 25,143 | 712,301 | ||||||
Public Service Enterprise Group, Inc. | 205,979 | 10,721,207 | ||||||
Pure Cycle Corp.(1) | 2,456 | 24,388 | ||||||
RGC Resources, Inc. | 2,024 | 60,639 | ||||||
SCANA Corp. | 96,500 | 4,610,770 | ||||||
Sempra Energy | 9,540 | 1,032,133 |
SJW Group | 1,690 | 93,998 | ||||||
South Jersey Industries, Inc. | 20,909 | 581,270 | ||||||
Southwest Gas Holdings, Inc. | 14,038 | 1,073,907 | ||||||
Spire, Inc. | 14,111 | 1,045,343 | ||||||
TerraForm Power, Inc. | 17,248 | 193,523 | ||||||
UGI Corp. | 6,020 | 321,167 | ||||||
Unitil Corp. | 4,103 | 207,776 | ||||||
Vectren Corp. | 2,907 | 209,246 | ||||||
Vistra Energy Corp.(1) | 907,336 | 20,768,921 | ||||||
WEC Energy Group, Inc. | 259,312 | 17,959,949 | ||||||
Xcel Energy, Inc. | 416,479 | 20,519,920 | ||||||
York Water Co. | 393 | 12,600 | ||||||
|
| |||||||
294,649,914 | ||||||||
|
| |||||||
Total Common Stocks (Cost $3,947,137,976) |
| $ | 3,750,950,258 | |||||
|
| |||||||
RIGHTS - 0.00%(2) |
| |||||||
Healthcare - 0.00%(2) |
| |||||||
Corium International, Inc., expires 3/31/2020 - CVR(1)(4) | 1,051 | $ | 189 | |||||
|
| |||||||
Total Rights (Cost $0) |
| $ | 189 | |||||
|
| |||||||
SHORT-TERM INVESTMENTS - 4.05% |
| |||||||
Money Market Funds - 4.05% |
| |||||||
Goldman Sachs Financial Square Government Fund - Class I, 2.34% (3) | 79,359,210 | $ | 79,359,210 | |||||
JPMorgan U.S. Government Money Market Fund - Class I, 2.31%(3) | 79,359,211 | 79,359,211 | ||||||
|
| |||||||
Total Short-Term Investments (Cost $158,718,421) |
| $ | 158,718,421 | |||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES - 99.87% |
| $ | 3,909,668,868 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.13% |
| 5,164,366 | ||||||
|
| |||||||
TOTAL NET ASSETS - 100.00% |
| $ | 3,914,833,234 | |||||
|
|
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. The value of this security totals $189, which represents 0.00% of total 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 this Schedule of Investments.
Bridge Builder International Equity Fund
Schedule of Investments
December 31, 2018 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS - 95.69% | ||||||||
Australia - 2.21% | ||||||||
AGL Energy Ltd. | 21,183 | $ | 307,624 | |||||
Alumina Ltd. | 80,530 | 130,443 | ||||||
Amcor Ltd. | 37,174 | 347,110 | ||||||
AMP Ltd. | 94,205 | 162,623 | ||||||
APA Group - Stapled Security | 35,950 | 215,346 | ||||||
Aristocrat Leisure Ltd. | 18,403 | 283,292 | ||||||
ASX Ltd. | 6,101 | 257,797 | ||||||
Aurizon Holdings Ltd. | 60,815 | 183,479 | ||||||
AusNet Services | 55,224 | 60,521 | ||||||
Australia & New Zealand Banking Group Ltd. | 90,222 | 1,558,916 | ||||||
Bank of Queensland Ltd. | 11,258 | 76,949 | ||||||
Bendigo & Adelaide Bank Ltd. | 15,569 | 118,292 | ||||||
BHP Group Ltd.(1) | 92,362 | 2,232,486 | ||||||
BHP Group Plc | 65,706 | 1,388,434 | ||||||
BlueScope Steel Ltd. | 17,394 | 134,179 | ||||||
Boral Ltd. | 35,824 | 124,668 | ||||||
Brambles Ltd. | 49,381 | 353,303 | ||||||
Caltex Australia Ltd. | 8,163 | 146,455 | ||||||
Challenger Ltd. | 16,854 | 112,679 | ||||||
CIMIC Group Ltd. | 3,090 | 94,492 | ||||||
Coca-Cola Amatil Ltd. | 16,037 | 92,495 | ||||||
Cochlear Ltd. | 307,557 | 37,684,524 | ||||||
Coles Group Ltd.(1) | 36,228 | 299,572 | ||||||
Commonwealth Bank of Australia | 55,117 | 2,811,388 | ||||||
Computershare Ltd. | 14,174 | 171,778 | ||||||
Crown Resorts Ltd. | 11,682 | 97,630 | ||||||
CSL Ltd. | 424,463 | 55,442,431 | ||||||
Dexus Property Group | 31,092 | 232,712 | ||||||
Domino’s Pizza Enterprises Ltd. | 2,053 | 58,813 | ||||||
Flight Centre Travel Group Ltd. | 1,617 | 48,901 | ||||||
Fortescue Metals Group Ltd. | 49,585 | 146,216 | ||||||
Goodman Group | 52,480 | 393,120 | ||||||
GPT Group | 58,950 | 221,831 | ||||||
Harvey Norman Holdings Ltd. | 15,956 | 35,516 | ||||||
Incitec Pivot Ltd. | 50,863 | 117,571 | ||||||
Insurance Australia Group Ltd. | 73,850 | 364,244 | ||||||
LendLease Group - Stapled Security | 18,135 | 148,566 | ||||||
Macquarie Group Ltd. | 10,171 | 779,057 | ||||||
Medibank Pvt Ltd. | 85,997 | 155,687 | ||||||
Mirvac Group | 113,563 | 179,353 | ||||||
National Australia Bank Ltd. | 85,933 | 1,458,225 | ||||||
Newcrest Mining Ltd. | 24,546 | 377,249 | ||||||
Oil Search Ltd. | 42,529 | 214,219 | ||||||
Orica Ltd. | 13,368 | 162,481 | ||||||
Origin Energy Ltd.(1) | 56,047 | 255,666 | ||||||
QBE Insurance Group Ltd. | 3,007,106 | 21,412,418 | ||||||
Ramsay Health Care Ltd. | 4,238 | 172,387 | ||||||
REA Group Ltd. | 1,559 | 81,337 | ||||||
Santos Ltd. | 58,099 | 224,066 | ||||||
Scentre Group | 165,349 | 454,572 | ||||||
Seek Ltd. | 1,450,722 | 17,307,355 | ||||||
Sonic Healthcare Ltd. | 13,700 | 213,722 | ||||||
South32 Ltd. | 162,169 | 385,770 | ||||||
Stockland | 73,274 | 181,777 | ||||||
Suncorp Group Ltd. | 41,452 | 368,913 | ||||||
Sydney Airport - Stapled Security | 33,508 | 158,889 | ||||||
Tabcorp Holdings Ltd. | 58,791 | 177,739 | ||||||
Telstra Corp. Ltd. | 130,545 | 261,985 | ||||||
TPG Telecom Ltd. | 11,515 | 52,233 |
Transurban Group - Stapled Security | 82,686 | 678,645 | ||||||
Treasury Wine Estates Ltd. | 1,907,747 | 19,893,575 | ||||||
Vicinity Centres | 100,563 | 184,269 | ||||||
Washington H Soul Pattinson & Co. Ltd. | 3,330 | 58,397 | ||||||
Wesfarmers Ltd. | 35,609 | 808,988 | ||||||
Westpac Banking Corp. | 107,657 | 1,902,286 | ||||||
Woodside Petroleum Ltd. | 29,636 | 652,804 | ||||||
Woolworths Group Ltd. | 41,205 | 854,756 | ||||||
WorleyParsons Ltd. | 9,812 | 78,809 | ||||||
|
| |||||||
176,804,025 | ||||||||
|
| |||||||
Austria - 0.01% |
| |||||||
Andritz AG | 2,206 | 101,313 | ||||||
Erste Group Bank AG | 9,247 | 306,608 | ||||||
OMV AG | 4,720 | 206,137 | ||||||
Raiffeisen Bank International AG | 4,523 | 115,413 | ||||||
Verbund AG | 2,105 | 90,119 | ||||||
voestalpine AG | 3,922 | 116,972 | ||||||
|
| |||||||
936,562 | ||||||||
|
| |||||||
Belgium - 0.76% |
| |||||||
Ageas | 5,584 | 251,367 | ||||||
Anheuser-Busch InBev SA/NV | 506,647 | 33,377,443 | ||||||
Colruyt SA | 1,850 | 131,944 | ||||||
Groupe Bruxelles Lambert SA | 2,618 | 228,140 | ||||||
KBC Groep NV | 77,814 | 5,006,474 | ||||||
Proximus | 4,951 | 133,968 | ||||||
Solvay SA | 209,359 | 20,936,410 | ||||||
Telenet Group Holding NV | 1,719 | 79,955 | ||||||
UCB SA | 4,065 | 332,016 | ||||||
Umicore SA | 6,497 | 259,263 | ||||||
|
| |||||||
60,736,980 | ||||||||
|
| |||||||
Bermuda - 0.10% |
| |||||||
Bank of NT Butterfield & Son Ltd. | 257,935 | 8,086,262 | ||||||
|
| |||||||
Brazil - 0.44% |
| |||||||
Ambev SA - ADR | 3,819,790 | 14,973,577 | ||||||
Raia Drogasil SA | 1,389,675 | 20,469,540 | ||||||
|
| |||||||
35,443,117 | ||||||||
|
| |||||||
Canada - 2.57% |
| |||||||
Cameco Corp. | 883,087 | 10,023,037 | ||||||
Canadian Pacific Railway Ltd. | 263,831 | 46,861,662 | ||||||
Dollarama, Inc. | 623,867 | 14,838,091 | ||||||
Fairfax Financial Holdings Ltd. | 37,737 | 16,612,351 | ||||||
First Quantum Minerals Ltd. | 483,055 | 3,906,334 | ||||||
Lululemon Athletica, Inc.(1) | 140,290 | 17,060,667 | ||||||
Lundin Mining Corp. | 955,554 | 3,947,645 | ||||||
Quebecor, Inc. - Class B | 543,340 | 11,438,318 | ||||||
Restaurant Brands International, Inc. | 142,220 | 7,438,106 | ||||||
Shaw Communications, Inc. - Class B | 560,740 | 10,149,345 | ||||||
Shopify, Inc.(1) | 453,535 | 62,791,921 | ||||||
|
| |||||||
205,067,477 | ||||||||
|
| |||||||
Chile - 0.06% |
| |||||||
Antofagasta Plc | 438,375 | 4,384,416 | ||||||
|
| |||||||
China - 3.82% |
| |||||||
Alibaba Group Holding Ltd. - ADR(1) | 340,548 | 46,678,914 | ||||||
Baidu, Inc. - ADR(1) | 132,079 | 20,947,729 | ||||||
BeiGene Ltd. - ADR(1) | 1,004 | 140,821 | ||||||
Ctrip.com International Ltd. - ADR(1) | 458,975 | 12,419,864 | ||||||
JD.com, Inc. - ADR(1) | 830,156 | 17,375,165 | ||||||
Lenovo Group Ltd. | 111,660,000 | 75,430,540 | ||||||
Minth Group Ltd. | 22,000 | 70,993 | ||||||
NetEase, Inc. - ADR | 17,315 | 4,075,432 | ||||||
Shandong Weigao Group Medical Polymer Co. Ltd. - Class H | 9,204,000 | 7,435,205 | ||||||
Shanghai Fosun Pharmaceutical Group Ltd. | 10,227,000 | 29,897,120 | ||||||
Tencent Holdings Ltd. | 1,735,116 | 69,544,058 | ||||||
Tencent Music Entertainment - ADR(1) | 445 | 5,882 | ||||||
Tsingtao Brewery Co. Ltd. | 5,099,000 | 20,579,575 | ||||||
Yangzijiang Shipbuilding Holdings Ltd. | 72,900 | 66,984 | ||||||
|
| |||||||
304,668,282 | ||||||||
|
|
Denmark - 1.53% |
| |||||||
A.P. Moller-Maersk A/S - Class A | 115 | 136,443 | ||||||
A.P. Moller-Maersk A/S - Class B | 15,844 | 19,930,676 | ||||||
Carlsberg A/S | 3,329 | 354,136 | ||||||
CHR Hansen Holding A/S | 403,350 | 35,804,065 | ||||||
Coloplast A/S | 3,802 | 353,645 | ||||||
Danske Bank A/S | 431,561 | 8,567,526 | ||||||
DSV A/S | 6,029 | 398,170 | ||||||
FLSmidth & Co. A/S | 43,230 | 1,949,882 | ||||||
Genmab A/S(1) | 1,934 | 317,989 | ||||||
H Lundbeck A/S | 2,419 | 106,467 | ||||||
ISS A/S | 5,232 | 146,479 | ||||||
Novo Nordisk A/S - Class B | 440,987 | 20,253,246 | ||||||
Novozymes A/S | 733,162 | 32,759,455 | ||||||
Orsted A/S(2) | 5,841 | 390,867 | ||||||
Pandora A/S | 3,375 | 137,784 | ||||||
Tryg A/S | 3,708 | 93,519 | ||||||
Vestas Wind Systems A/S | 6,061 | 458,810 | ||||||
William Demant Holding A/S(1) | 3,390 | 96,520 | ||||||
|
| |||||||
122,255,679 | ||||||||
|
| |||||||
Finland - 1.02% |
| |||||||
Elisa OYJ | 4,597 | 190,405 | ||||||
Fortum OYJ | 13,652 | 298,834 | ||||||
Kone OYJ | 433,818 | 20,711,092 | ||||||
Metso OYJ | 78,288 | 2,056,806 | ||||||
Neste OYJ | 3,963 | 306,826 | ||||||
Nokia OYJ | 9,544,989 | 55,409,876 | ||||||
Nokian Renkaat OYJ | 3,586 | 110,139 | ||||||
Nordea Bank Abp | 94,767 | 797,767 | ||||||
Orion OYJ - Class B | 3,195 | 111,151 | ||||||
Sampo OYJ | 13,936 | 617,639 | ||||||
Stora Enso OYJ | 17,920 | 207,759 | ||||||
UPM-Kymmene OYJ | 16,580 | 419,704 | ||||||
Wartsila OYJ Abp | 13,924 | 222,269 | ||||||
|
| |||||||
81,460,267 | ||||||||
|
| |||||||
France - 6.57% |
| |||||||
Accor SA | 5,835 | 248,130 | ||||||
Aeroports de Paris | 946 | 179,388 | ||||||
Air Liquide SA | 13,515 | 1,678,236 | ||||||
Airbus SE | 18,320 | 1,746,627 | ||||||
Alstom | 4,815 | 194,499 | ||||||
Amundi(2) | 1,849 | 97,759 | ||||||
Arkema SA | 2,137 | 183,458 | ||||||
Atos SE | 3,093 | 253,427 | ||||||
AXA SA | 60,999 | 1,316,476 | ||||||
BioMerieux | 1,423 | 93,862 | ||||||
BNP Paribas SA | 35,312 | 1,594,718 | ||||||
Bollore SA | 29,994 | 120,254 | ||||||
Bouygues SA | 166,244 | 5,969,633 | ||||||
Bureau Veritas SA | 8,194 | 166,972 | ||||||
Capgemini SE | 4,957 | 493,049 | ||||||
Carrefour SA | 19,030 | 325,164 | ||||||
Casino Guichard Perrachon SA | 1,674 | 69,711 | ||||||
Cie de Saint-Gobain | 967,281 | 32,110,372 | ||||||
CNP Assurances | 5,109 | 108,446 | ||||||
Covivio | 1,104 | 106,518 | ||||||
Credit Agricole SA | 810,487 | 8,722,818 | ||||||
Danone SA | 294,347 | 20,746,367 | ||||||
Dassault Aviation SA | 78 | 108,136 | ||||||
Dassault Systemes | 4,133 | 490,918 | ||||||
Edenred | 7,708 | 283,878 | ||||||
Eiffage SA | 2,384 | 199,320 | ||||||
Electricite de France SA | 19,496 | 308,561 | ||||||
Engie | 57,048 | 819,663 |
EssilorLuxottica International SA | 224,792 | 28,494,196 | ||||||
EssilorLuxottica SA | 175,227 | 21,813,281 | ||||||
Eurazeo SA | 1,430 | 101,239 | ||||||
Eutelsat Communications SA | 5,092 | 100,318 | ||||||
Faurecia SA | 2,797 | 105,535 | ||||||
Gecina SA | 1,437 | 186,020 | ||||||
Getlink SE | 14,311 | 192,302 | ||||||
Hermes International | 1,009 | 560,561 | ||||||
ICADE | 1,112 | 84,748 | ||||||
Iliad SA | 865 | 121,396 | ||||||
Imerys SA | 1,112 | 53,440 | ||||||
Ingenico Group | 1,909 | 108,293 | ||||||
Ipsen SA | 1,185 | 153,323 | ||||||
JCDecaux SA | 2,204 | 61,922 | ||||||
Kering SA | 2,400 | 1,124,325 | ||||||
Klepierre | 6,636 | 205,080 | ||||||
Legrand SA | 382,540 | 21,625,952 | ||||||
L’Oreal SA | 7,939 | 1,816,639 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 155,898 | 45,643,226 | ||||||
Michelin | 5,364 | 527,963 | ||||||
Natixis SA | 28,286 | 133,411 | ||||||
Orange SA | 62,021 | 1,005,099 | ||||||
Pernod Ricard SA | 244,462 | 40,121,284 | ||||||
Peugeot SA | 18,106 | 386,162 | ||||||
Publicis Groupe SA | 364,982 | 20,824,670 | ||||||
Remy Cointreau SA | 654 | 74,130 | ||||||
Renault SA | 6,033 | 375,815 | ||||||
Rexel SA | 1,928,866 | 20,546,497 | ||||||
Safran SA | 10,581 | 1,269,033 | ||||||
Sanofi SA | 1,276,887 | 110,769,952 | ||||||
Sartorius Stedim Biotech | 855 | 85,602 | ||||||
Schneider Electric SE | 294,731 | 19,991,996 | ||||||
SCOR SE | 215,507 | 9,688,421 | ||||||
SEB SA | 718 | 92,794 | ||||||
Societe BIC SA | 848 | 86,627 | ||||||
Societe Generale SA | 23,924 | 758,500 | ||||||
Sodexo SA | 2,892 | 296,591 | ||||||
Suez Environnement Co. | 12,127 | 160,204 | ||||||
Teleperformance | 1,780 | 284,747 | ||||||
Thales SA | 3,429 | 400,704 | ||||||
TOTAL SA | 1,189,499 | 62,740,327 | ||||||
Ubisoft Entertainment SA(1) | 2,401 | 193,429 | ||||||
Unibail-Rodamco-Westfield(1) | 75,301 | 11,652,430 | ||||||
Valeo SA | 7,371 | 214,980 | ||||||
Vallourec SA(1) | 1,236,240 | 2,303,093 | ||||||
Veolia Environnement SA | 16,448 | 336,842 | ||||||
Vinci SA | 209,403 | 17,219,648 | ||||||
Vivendi SA | 32,740 | 793,530 | ||||||
Wendel SA | 853 | 102,322 | ||||||
|
| |||||||
524,724,959 | ||||||||
|
| |||||||
Germany - 5.06% |
| |||||||
1&1 Drillisch AG | 1,575 | 80,437 | ||||||
Adidas AG | 337,925 | 70,622,697 | ||||||
Allianz SE | 170,108 | 34,184,136 | ||||||
Axel Springer SE | 1,560 | 88,384 | ||||||
BASF SE | 28,791 | 2,005,400 | ||||||
Bayer AG | 540,960 | 37,623,146 | ||||||
Bayer Motoren Werke AG | 10,330 | 837,817 | ||||||
Bechtle AG | 155,945 | 12,147,334 | ||||||
Beiersdorf AG | 146,268 | 15,256,124 | ||||||
Brenntag AG | 4,651 | 203,013 | ||||||
Commerzbank AG(1) | 6,466,471 | 42,938,022 | ||||||
Continental AG | 3,478 | 484,263 | ||||||
Covestro AG(2) | 6,180 | 306,062 | ||||||
Daimler AG | 609,688 | 32,139,686 | ||||||
Delivery Hero SE(1)(2) | 2,839 | 105,991 |
Deutsche Bank AG | 61,786 | 492,755 | ||||||
Deutsche Boerse AG | 69,021 | 8,251,837 | ||||||
Deutsche Lufthansa AG | 7,237 | 163,437 | ||||||
Deutsche Post AG | 30,515 | 833,342 | ||||||
Deutsche Telekom AG | 1,503,936 | 25,562,017 | ||||||
Deutsche Wohnen SE | 11,374 | 519,801 | ||||||
E.ON SE | 4,011,303 | 39,596,918 | ||||||
Evonik Industries AG | 5,321 | 132,819 | ||||||
Fraport AG Frankfurt Airport Services Worldwide | 1,330 | 95,186 | ||||||
Fresenius Medical Care AG & Co. KGaA | 6,682 | 433,136 | ||||||
Fresenius SE & Co. KGaA | 13,131 | 634,676 | ||||||
GEA Group AG | 5,486 | 141,241 | ||||||
Hannover Rueck SE | 1,946 | 262,263 | ||||||
HeidelbergCement AG | 4,864 | 298,153 | ||||||
Henkel AG & Co. KGaA | 3,246 | 319,481 | ||||||
HOCHTIEF AG | 732 | 98,858 | ||||||
HUGO BOSS AG | 2,026 | 124,891 | ||||||
Infineon Technologies AG | 1,191,413 | 23,854,102 | ||||||
Innogy SE - Tender Offer(1) | 3,719 | 158,170 | ||||||
Innogy SE(2) | 512 | 23,908 | ||||||
KION Group AG | 2,165 | 110,098 | ||||||
LANXESS AG | 2,598 | 119,447 | ||||||
Merck KGaA | 66,934 | 6,889,696 | ||||||
METRO AG | 5,502 | 84,660 | ||||||
MTU Aero Engines AG | 1,643 | 298,372 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 4,751 | 1,036,188 | ||||||
OSRAM Licht AG | 3,045 | 132,514 | ||||||
ProSiebenSat.1 Media SE | 7,491 | 133,292 | ||||||
Puma SE | 277 | 135,518 | ||||||
RWE AG | 16,585 | 361,220 | ||||||
SAP SE | 30,964 | 3,073,170 | ||||||
Siemens AG | 120,742 | 13,475,014 | ||||||
Siemens Healthineers AG(2) | 4,832 | 201,913 | ||||||
Symrise AG | 3,938 | 291,779 | ||||||
Telefonica Deutschland Holding AG | 22,724 | 89,440 | ||||||
ThyssenKrupp AG | 14,051 | 241,368 | ||||||
TUI AG | 14,013 | 201,405 | ||||||
Uniper SE | 6,066 | 156,476 | ||||||
United Internet AG | 4,017 | 175,818 | ||||||
Volkswagen AG | 30,448 | 4,870,901 | ||||||
Vonovia SE | 15,301 | 689,753 | ||||||
Wirecard AG | 3,733 | 562,759 | ||||||
Zalando SE(1)(2) | 747,020 | 19,301,869 | ||||||
|
| |||||||
403,652,173 | ||||||||
|
| |||||||
Hong Kong - 5.39% |
| |||||||
AIA Group Ltd. | 9,707,585 | 80,639,104 | ||||||
ASM Pacific Technology Ltd. | 10,400 | 100,404 | ||||||
Bank Of East Asia Ltd. | 40,400 | 128,131 | ||||||
BOC Hong Kong Holdings Ltd. | 117,500 | 436,128 | ||||||
China Mobile Ltd. | 11,777,500 | 113,966,121 | ||||||
China Resources Power Holdings Co. Ltd. | 7,438,000 | 14,306,508 | ||||||
CK Asset Holdings Ltd. | 81,500 | 596,301 | ||||||
CK Hutchison Holdings Ltd. | 8,201,000 | 78,714,927 | ||||||
CK Infrastructure Holdings Ltd. | 21,000 | 158,922 | ||||||
CLP Holdings Ltd. | 51,000 | 576,346 | ||||||
Dairy Farm International Holdings Ltd. | 9,900 | 89,736 | ||||||
Galaxy Entertainment Group Ltd. | 6,839,000 | 43,199,589 | ||||||
Hang Lung Group Ltd. | 31,000 | 79,040 | ||||||
Hang Lung Properties Ltd. | 65,000 | 123,547 | ||||||
Hang Seng Bank Ltd. | 24,200 | 542,110 | ||||||
Henderson Land Development Co. Ltd. | 38,780 | 193,010 | ||||||
HK Electric Investments & HK Electric Investments Ltd. - Stapled Security | 79,500 | 80,127 | ||||||
HKT Trust & HKT Ltd. - Stapled Security | 118,000 | 169,983 | ||||||
Hong Kong & China Gas Co. Ltd. | 293,811 | 607,028 | ||||||
Hong Kong Exchanges & Clearing Ltd. | 37,299 | 1,078,260 | ||||||
Hongkong Land Holdings Ltd. | 37,300 | 235,144 |
Hysan Development Co. Ltd. | 19,000 | 90,352 | ||||||
Jardine Matheson Holdings Ltd. | 291,200 | 20,275,891 | ||||||
Jardine Strategic Holdings Ltd. | 298,300 | 10,936,917 | ||||||
Kerry Properties Ltd. | 23,000 | 78,501 | ||||||
Link Real Estate Investment Trust | 67,500 | 684,296 | ||||||
Melco Crown Entertainment Ltd. - ADR | 7,317 | 128,926 | ||||||
MTR Corp. Ltd. | 47,250 | 248,668 | ||||||
New World Development Co. Ltd. | 194,413 | 256,775 | ||||||
NWS Holdings Ltd. | 47,613 | 97,767 | ||||||
PCCW Ltd. | 139,000 | 80,039 | ||||||
Power Assets Holdings Ltd. | 42,500 | 295,265 | ||||||
Shangri-La Asia Ltd. | 44,000 | 64,956 | ||||||
Sino Land Co. Ltd. | 108,490 | 185,874 | ||||||
SJM Holdings Ltd. | 60,000 | 55,747 | ||||||
Sun Hung Kai Properties Ltd. | 50,000 | 713,581 | ||||||
Swire Pacific Ltd. - Class A | 4,079,500 | 43,071,345 | ||||||
Swire Properties Ltd. | 36,200 | 127,194 | ||||||
Techtronic Industries Co. Ltd. | 43,500 | 230,840 | ||||||
WH Group Ltd.(2) | 21,368,000 | 16,411,631 | ||||||
Wharf Holdings Ltd. | 35,000 | 91,249 | ||||||
Wharf Real Estate Investment Co. Ltd. | 37,000 | 221,294 | ||||||
Wheelock & Co. Ltd. | 25,000 | 143,124 | ||||||
Yue Yuen Industrial Holdings Ltd. | 24,000 | 76,831 | ||||||
|
| |||||||
430,587,529 | ||||||||
|
| |||||||
India - 1.76% |
| |||||||
Asian Paints Ltd. | 1,474,657 | 28,974,148 | ||||||
HDFC Bank Ltd. - ADR | 442,286 | 45,816,407 | ||||||
Housing Development Finance Corp. Ltd. | 810,656 | 22,839,658 | ||||||
Mahindra & Mahindra Ltd. - GDR | 1,791,155 | 20,317,429 | ||||||
MakeMyTrip Ltd.(1) | 328,000 | 7,980,240 | ||||||
United Spirits Ltd.(1) | 1,576,845 | 14,347,208 | ||||||
|
| |||||||
140,275,090 | ||||||||
|
| |||||||
Indonesia - 0.51% |
| |||||||
Bank Negara Indonesia Persero Tbk PT | 66,565,800 | 40,830,429 | ||||||
|
| |||||||
Ireland - 2.05% |
| |||||||
Accenture Plc | 330,399 | 46,589,563 | ||||||
AerCap Holdings NV(1) | 3,855 | 152,658 | ||||||
AIB Group Plc | 26,587 | 112,110 | ||||||
Bank of Ireland Group Plc | 29,292 | 162,917 | ||||||
CRH Plc | 26,048 | 689,929 | ||||||
DCC Plc | 3,179 | 242,495 | ||||||
ICON Plc(1) | 266,403 | 34,421,931 | ||||||
James Hardie Industries Plc | 13,480 | 146,862 | ||||||
Kerry Group Plc | 4,904 | 485,608 | ||||||
Kingspan Group Plc | 406,572 | 17,428,724 | ||||||
Medtronic Plc | 270,875 | 24,638,790 | ||||||
Paddy Power Plc | 2,514 | 206,462 | ||||||
Perrigo Co. Plc | 353,540 | 13,699,675 | ||||||
Ryanair Holdings Plc - ADR(1) | 339,247 | 24,201,881 | ||||||
Smurfit Kappa Group Plc | 7,429 | 197,668 | ||||||
|
| |||||||
163,377,273 | ||||||||
|
| |||||||
Isle Of Man - 0.00%(3) |
| |||||||
GVC Holdings Plc | 16,660 | 143,025 | ||||||
|
| |||||||
Israel - 0.03% |
| |||||||
Azrieli Group Ltd. | 1,257 | 60,137 | ||||||
Bank Hapoalim BM | 34,419 | 217,671 | ||||||
Bank Leumi Le-Israel BM | 46,043 | 278,331 | ||||||
Bezeq The Israeli telecommunication Corp. Ltd. | 64,108 | 62,558 | ||||||
Check Point Software Technologies Ltd.(1) | 4,030 | 413,679 | ||||||
Elbit Systems Ltd. | 737 | 84,599 | ||||||
Israel Chemicals Ltd. | 21,763 | 123,746 | ||||||
Mizrahi Tefahot Bank Ltd. | 4,391 | 74,161 | ||||||
Nice Ltd.(1) | 2,017 | 218,525 | ||||||
Teva Pharmaceutical Industries Ltd. - ADR(1) | 30,369 | 468,290 | ||||||
Wix.Com Ltd.(1) | 1,344 | 121,417 | ||||||
|
| |||||||
2,123,114 | ||||||||
|
|
Italy - 2.38% |
| |||||||
Assicurazioni Generali SpA | 36,853 | 615,961 | ||||||
Atlantia SpA | 15,926 | 329,591 | ||||||
Davide Campari-Milano SpA | 18,623 | 157,707 | ||||||
Enel SpA | 11,676,151 | 67,689,582 | ||||||
Eni SpA | 5,568,697 | 87,969,940 | ||||||
Ferrari NV | 3,842 | 382,295 | ||||||
FinecoBank Banca Fineco SpA | 938,970 | 9,447,392 | ||||||
Intesa Sanpaolo SpA | 462,603 | 1,030,043 | ||||||
Leonardo SpA | 7,613 | 67,072 | ||||||
Mediobanca Banca di Credito Finanziario SpA | 20,194 | 170,871 | ||||||
Moncler SpA | 6,052 | 201,397 | ||||||
Pirelli & C SpA(1)(2) | 12,328 | 79,222 | ||||||
Poste Italiane SpA(2) | 15,520 | 124,450 | ||||||
Prysmian SpA | 7,884 | 153,399 | ||||||
Recordati SpA | 3,224 | 111,648 | ||||||
Saipem SpA(1) | 2,826,223 | 10,590,945 | ||||||
Snam SpA | 72,928 | 319,306 | ||||||
Telecom Italia SpA(1) | 9,664,662 | 5,350,451 | ||||||
Telecom Italia SpA - Savings Share | 198,568 | 95,238 | ||||||
Terna Rete Elettrica Nazionale SpA | 44,735 | 254,057 | ||||||
UniCredit SpA | 459,884 | 5,209,067 | ||||||
|
| |||||||
190,349,634 | ||||||||
|
| |||||||
Japan - 14.97% |
| |||||||
ABC-Mart, Inc. | 900 | 49,841 | ||||||
Acom Co. Ltd. | 12,300 | 40,012 | ||||||
Advantest Corp. | 805,800 | 16,487,183 | ||||||
Aeon Co. Ltd. | 18,700 | 365,511 | ||||||
Aeon Financial Service Co. Ltd. | 4,000 | 70,963 | ||||||
Aeon Mall Co. Ltd. | 3,200 | 50,982 | ||||||
Air Water, Inc. | 4,400 | 66,314 | ||||||
Aisin Seiki Co. | 5,000 | 171,880 | ||||||
Ajinomoto Co., Inc. | 13,965 | 248,145 | ||||||
Alfresa Holdings Corp. | 5,800 | 147,840 | ||||||
Alps Electric Co. | 1,927,500 | 37,374,994 | ||||||
Amada Holdings Co. | 10,700 | 96,053 | ||||||
ANA Holdings, Inc. | 3,400 | 122,057 | ||||||
Aozora Bank Ltd. | 4,100 | 122,200 | ||||||
Asahi Glass Co. Ltd. | 5,700 | 177,173 | ||||||
Asahi Group Holdings Ltd. | 11,300 | 437,918 | ||||||
Asahi Intecc Co. Ltd. | 3,000 | 126,916 | ||||||
Asahi Kasei Corp. | 39,900 | 409,509 | ||||||
Asics Corp. | 4,900 | 62,233 | ||||||
Astellas Pharma, Inc. | 59,100 | 755,099 | ||||||
Bandai Namco Holdings | 6,100 | 273,885 | ||||||
Bank of Kyoto Ltd. | 1,800 | 73,971 | ||||||
Benesse Holdings, Inc. | 2,200 | 55,965 | ||||||
Bridgestone Corp. | 19,100 | 732,787 | ||||||
Brother Industries Ltd. | 7,400 | 109,530 | ||||||
Calbee, Inc. | 2,300 | 71,839 | ||||||
Canon, Inc. | 31,300 | 861,241 | ||||||
Casio Computer Co. Ltd. | 6,100 | 72,323 | ||||||
Central Japan Railway Co. | 4,500 | 949,443 | ||||||
Century Tokyo Leasing Corp. | 1,200 | 52,851 | ||||||
Chiba Bank Ltd. | 18,400 | 102,497 | ||||||
Chubu Electric Power Co., Inc. | 18,700 | 265,716 | ||||||
Chugai Pharmaceutical Co. Ltd. | 7,000 | 405,995 | ||||||
Chugoku Electric Power Co., Inc. | 9,400 | 122,160 | ||||||
Coca-Cola Bottlers Japan Holdings, Inc. | 4,100 | 122,266 | ||||||
Concordia Financial Group Ltd. | 35,000 | 133,740 | ||||||
Credit Saison Co. Ltd. | 4,200 | 49,209 | ||||||
CyberAgent, Inc. | 3,100 | 119,839 | ||||||
Dai Nippon Printing Co. Ltd. | 7,400 | 154,468 | ||||||
Daicel Corp. | 8,100 | 83,152 |
Daifuku Co. Ltd. | 3,100 | 140,556 | ||||||
Dai-ichi Life Holdings, Inc. | 480,400 | 7,460,438 | ||||||
Daiichi Sankyo Co. Ltd. | 17,900 | 572,544 | ||||||
Daikin Industries Ltd. | 7,900 | 839,418 | ||||||
Daito Trust Construction Co. Ltd. | 2,200 | 301,188 | ||||||
Daiwa House Industry Co. Ltd. | 17,900 | 570,982 | ||||||
Daiwa House REIT Investment Corp. | 58 | 129,927 | ||||||
Daiwa Securities Group, Inc. | 51,000 | 258,858 | ||||||
DeNA Co. Ltd. | 3,500 | 58,379 | ||||||
Denso Corp. | 333,400 | 14,758,847 | ||||||
Dentsu, Inc. | 6,600 | 294,761 | ||||||
Disco Corp. | 900 | 104,642 | ||||||
Don Quijote Holdings Co. Ltd. | 3,700 | 228,758 | ||||||
East Japan Railway Co. | 594,600 | 52,509,212 | ||||||
Eisai Co. Ltd. | 8,000 | 619,359 | ||||||
Electric Power Development Co. Ltd. | 4,800 | 113,903 | ||||||
FamilyMart UNY Holdings Co. Ltd. | 1,950 | 245,416 | ||||||
FANUC Corp. | 6,100 | 925,734 | ||||||
Fast Retailing Co. Ltd. | 1,900 | 970,408 | ||||||
Fuji Electric Co. Ltd. | 4,000 | 117,810 | ||||||
FUJIFILM Holdings Corp. | 810,500 | 31,418,641 | ||||||
Fujitsu Ltd. | 361,800 | 22,553,221 | ||||||
Fukuoka Financial Group, Inc. | 4,300 | 87,176 | ||||||
Hakuhodo DY Holdings, Inc. | 7,400 | 105,601 | ||||||
Hamamatsu Photonics KK | 4,300 | 144,104 | ||||||
Hankyu Hanshin Holdings, Inc. | 7,000 | 232,734 | ||||||
Hikari Tsushin, Inc. | 700 | 109,414 | ||||||
Hino Motors Ltd. | 8,000 | 75,332 | ||||||
Hirose Electric Co. Ltd. | 915 | 89,518 | ||||||
Hisamitsu Pharmaceutical Co., Inc. | 1,700 | 93,844 | ||||||
Hitachi Chemical Co. Ltd. | 3,215 | 48,366 | ||||||
Hitachi Construction Machinery Co. Ltd. | 3,400 | 79,564 | ||||||
Hitachi High-Technologies Corp. | 2,080 | 65,134 | ||||||
Hitachi Ltd. | 30,200 | 800,610 | ||||||
Hitachi Metals Ltd. | 1,440,600 | 14,983,004 | ||||||
Honda Motor Co. Ltd. | 2,201,300 | 57,993,398 | ||||||
Hoshizaki Corp. | 1,700 | 103,154 | ||||||
Hoya Corp. | 12,000 | 723,600 | ||||||
Hulic Co. Ltd. | 9,600 | 85,789 | ||||||
Idemitsu Kosan Co. Ltd. | 4,300 | 139,865 | ||||||
IHI Corp. | 4,600 | 126,692 | ||||||
Iida Group Holdings Co. Ltd. | 456,500 | 7,907,094 | ||||||
Inpex Corp. | 2,201,500 | 19,507,094 | ||||||
Isetan Mitsukoshi Holdings Ltd. | 10,300 | 113,802 | ||||||
Isuzu Motors Ltd. | 1,788,500 | 25,087,476 | ||||||
ITOCHU Corp. | 44,200 | 750,639 | ||||||
J Front Retailing Co. Ltd. | 6,600 | 75,541 | ||||||
Japan Airlines Co. Ltd. | 3,800 | 134,676 | ||||||
Japan Airport Terminal Co. Ltd. | 1,200 | 41,483 | ||||||
Japan Exchange Group, Inc. | 16,300 | 262,917 | ||||||
Japan Post Bank Co. | 13,200 | 145,329 | ||||||
Japan Post Holdings Co. | 49,000 | 565,755 | ||||||
Japan Prime Realty Investment Corp. | 24 | 91,137 | ||||||
Japan Real Estate Investment Corp. | 43 | 241,431 | ||||||
Japan Retail Fund Investment Corp. | 79 | 157,650 | ||||||
Japan Tobacco, Inc. | 1,452,200 | 34,505,866 | ||||||
JFE Holdings, Inc. | 15,500 | 246,889 | ||||||
JGC Corp. | 6,400 | 90,075 | ||||||
JSR Corp. | 6,100 | 91,564 | ||||||
JTEKT Corp. | 5,800 | 64,147 | ||||||
JXTG Holdings, Inc. | 102,250 | 531,038 | ||||||
Kajima Corp. | 14,300 | 192,093 | ||||||
Kakaku.com, Inc. | 960,900 | 16,997,134 | ||||||
Kamigumi Co. Ltd. | 3,500 | 71,606 | ||||||
Kaneka Corp. | 1,500 | 53,719 | ||||||
Kansai Electric Power Co., Inc. | 22,400 | 335,927 |
Kansai Paint Co. Ltd. | 5,200 | 99,878 | ||||||
Kao Corp. | 277,300 | 20,525,091 | ||||||
Kawasaki Heavy Industries Ltd. | 4,275 | 91,227 | ||||||
KDDI Corp. | 55,800 | 1,333,337 | ||||||
Keihan Holdings Co. Ltd. | 3,100 | 126,315 | ||||||
Keikyu Corp. | 7,300 | 119,292 | ||||||
Keio Corp. | 3,200 | 186,218 | ||||||
Keisei Electric Railway Co. Ltd. | 4,200 | 131,590 | ||||||
Keyence Corp. | 159,854 | 80,797,545 | ||||||
Kikkoman Corp. | 4,500 | 240,816 | ||||||
Kintetsu Group Holdings Co. Ltd. | 5,200 | 225,956 | ||||||
Kirin Holdings Co. Ltd. | 26,200 | 546,311 | ||||||
Kobayashi Pharmaceutical Co. Ltd. | 1,700 | 115,287 | ||||||
Kobe Steel Ltd. | 9,100 | 63,074 | ||||||
Koito Manufacturing Co. Ltd. | 3,300 | 170,259 | ||||||
Komatsu Ltd. | 29,300 | 629,655 | ||||||
Konami Holdings Corp. | 3,100 | 136,220 | ||||||
Konica Minolta, Inc. | 14,500 | 130,521 | ||||||
Kose Corp. | 1,000 | 157,078 | ||||||
Kubota Corp. | 30,400 | 432,097 | ||||||
Kuraray Co. Ltd. | 10,500 | 147,678 | ||||||
Kurita Water Industries Ltd. | 3,200 | 77,475 | ||||||
Kyocera Corp. | 10,300 | 514,846 | ||||||
Kyowa Hakko Kirin Co. Ltd. | 7,900 | 149,279 | ||||||
Kyushu Electric Power Co., Inc. | 11,500 | 136,938 | ||||||
Kyushu Railway Co. | 5,100 | 172,547 | ||||||
Lawson, Inc. | 1,600 | 101,207 | ||||||
LINE Corp.(1) | 2,100 | 71,721 | ||||||
Lion Corp. | 6,900 | 142,606 | ||||||
LIXIL Group Corp. | 8,800 | 109,094 | ||||||
M3, Inc. | 13,500 | 181,862 | ||||||
Makita Corp. | 6,900 | 245,061 | ||||||
Marubeni Corp. | 49,600 | 348,019 | ||||||
Marui Group Co. Ltd. | 6,600 | 127,907 | ||||||
Maruichi Steel Tube Ltd. | 1,500 | 47,055 | ||||||
Mazda Motor Corp. | 18,800 | 193,271 | ||||||
McDonald’s Holdings Co. Japan Ltd. | 2,150 | 91,328 | ||||||
Mebuki Financial Group, Inc. | 28,540 | 75,477 | ||||||
Medipal Holdings Corp. | 5,740 | 122,803 | ||||||
MEIJI Holdings Co. Ltd. | 4,000 | 325,990 | ||||||
Minebea Co. Ltd. | 11,700 | 168,714 | ||||||
MISUMI Group, Inc. | 8,800 | 185,388 | ||||||
Mitsubishi Chemical Holdings Corp. | 40,750 | 307,865 | ||||||
Mitsubishi Corp. | 1,194,600 | 32,751,820 | ||||||
Mitsubishi Electric Corp. | 2,682,800 | 29,584,836 | ||||||
Mitsubishi Estate Co. Ltd. | 37,300 | 586,860 | ||||||
Mitsubishi Gas Chemical Co., Inc. | 5,000 | 74,898 | ||||||
Mitsubishi Heavy Industries Ltd. | 9,640 | 345,906 | ||||||
Mitsubishi Materials Corp. | 3,400 | 89,592 | ||||||
Mitsubishi Motors Corp. | 20,500 | 111,637 | ||||||
Mitsubishi Tanabe Pharma Corp. | 7,690 | 111,010 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 2,283,300 | 11,205,649 | ||||||
Mitsubishi UFJ Lease & Finance Co. Ltd. | 13,300 | 63,747 | ||||||
Mitsui & Co. Ltd. | 569,600 | 8,750,943 | ||||||
Mitsui Chemicals, Inc. | 5,500 | 124,169 | ||||||
Mitsui Fudosan Co. Ltd. | 27,200 | 604,164 | ||||||
Mitsui OSK Lines Ltd. | 3,500 | 75,739 | ||||||
Mizuho Financial Group, Inc. | 760,000 | 1,175,900 | ||||||
Monotaro Co. Ltd. | 3,900 | 96,140 | ||||||
MS&AD Insurance Group Holdings, Inc. | 1,367,340 | 38,867,035 | ||||||
Murata Manufacturing Co. Ltd. | 114,800 | 15,469,280 | ||||||
Nabtesco Corp. | 3,500 | 75,778 | ||||||
Nagoya Railroad Co. Ltd. | 5,900 | 155,385 | ||||||
NEC Corp. | 7,985 | 237,425 | ||||||
Nexon Co. Ltd.(1) | 1,362,600 | 17,590,526 | ||||||
NGK Insulators Ltd. | 8,000 | 108,432 |
NGK Spark Plug Co. Ltd. | 4,800 | 95,016 | ||||||
NH Foods Ltd. | 2,800 | 105,258 | ||||||
Nidec Corp. | 129,500 | 14,652,533 | ||||||
Nikon Corp. | 9,900 | 147,462 | ||||||
Nintendo Co. Ltd. | 3,600 | 955,941 | ||||||
Nippon Building Fund, Inc. | 41 | 258,170 | ||||||
Nippon Electric Glass Co. Ltd. | 2,500 | 61,249 | ||||||
Nippon Express Co. Ltd. | 2,300 | 127,773 | ||||||
Nippon Paint Holdings Co. Ltd. | 4,800 | 163,543 | ||||||
Nippon Prologis Real Estate Investment Trust, Inc. | 58 | 122,407 | ||||||
Nippon Steel & Sumitomo Metal Corp. | 25,300 | 434,677 | ||||||
Nippon Telegraph & Telephone Corp. | 21,600 | 881,265 | ||||||
Nippon Yusen KK | 5,200 | 79,514 | ||||||
Nissan Chemical Corp. | 4,100 | 213,950 | ||||||
Nissan Motor Co. Ltd. | 73,000 | 583,950 | ||||||
Nisshin Seifun Group, Inc. | 5,900 | 121,519 | ||||||
Nissin Foods Holdings Co. Ltd. | 1,900 | 119,048 | ||||||
Nitori Holdings Co. Ltd. | 2,500 | 313,101 | ||||||
Nitto Denko Corp. | 5,400 | 270,834 | ||||||
Nomura Holdings, Inc. | 8,392,800 | 31,805,422 | ||||||
Nomura Real Estate Holdings, Inc. | 4,100 | 75,184 | ||||||
Nomura Real Estate Master Fund, Inc. | 121 | 159,200 | ||||||
Nomura Research Institute Ltd. | 3,538 | 131,198 | ||||||
NSK Ltd. | 10,900 | 93,519 | ||||||
NTT Data Corp. | 19,900 | 217,501 | ||||||
NTT DOCOMO, Inc. | 41,300 | 927,979 | ||||||
Obayashi Corp. | 20,900 | 189,248 | ||||||
Obic Co. Ltd. | 2,100 | 162,096 | ||||||
Odakyu Electric Railway Co. Ltd. | 9,100 | 200,115 | ||||||
Oji Holdings Corp. | 26,450 | 135,145 | ||||||
Olympus Corp. | 571,700 | 17,485,311 | ||||||
Omron Corp. | 747,400 | 27,094,665 | ||||||
Ono Pharmaceutical Co. Ltd. | 11,800 | 240,964 | ||||||
Oracle Corp. | 1,100 | 69,826 | ||||||
Oriental Land Co. Ltd. | 6,400 | 643,645 | ||||||
ORIX Corp. | 41,600 | 607,856 | ||||||
Osaka Gas Co. Ltd. | 12,100 | 220,728 | ||||||
Otsuka Corp. | 3,600 | 99,077 | ||||||
Otsuka Holdings Co. Ltd. | 12,030 | 491,597 | ||||||
Panasonic Corp. | 5,403,265 | 48,539,820 | ||||||
Park24 Co. Ltd. | 3,600 | 79,276 | ||||||
Persol Holdings Co. Ltd. | 5,600 | 83,067 | ||||||
Pigeon Corp. | 457,200 | 19,500,814 | ||||||
Pola Orbis Holdings, Inc. | 2,900 | 78,150 | ||||||
Rakuten, Inc. | 26,400 | 177,108 | ||||||
Recruit Holdings Co. Ltd. | 34,500 | 833,476 | ||||||
Renesas Electronics Corp.(1) | 25,200 | 114,457 | ||||||
Resona Holdings, Inc. | 66,800 | 320,405 | ||||||
Ricoh Co. Ltd. | 20,500 | 200,324 | ||||||
Rinnai Corp. | 1,200 | 79,015 | ||||||
Rohm Co. Ltd. | 2,900 | 185,093 | ||||||
Ryohin Keikaku Co. Ltd. | 800 | 194,226 | ||||||
Sankyo Co. Ltd. | 1,300 | 49,440 | ||||||
Santen Pharmaceutical Co. Ltd. | 11,500 | 165,925 | ||||||
SBI Holdings, Inc. | 6,925 | 135,052 | ||||||
Secom Co. Ltd. | 6,600 | 547,474 | ||||||
Sega Sammy Holdings, Inc. | 5,300 | 73,886 | ||||||
Seibu Holdings, Inc. | 6,800 | 118,276 | ||||||
Seiko Epson Corp. | 9,100 | 127,097 | ||||||
Sekisui Chemical Co. Ltd. | 11,400 | 169,468 | ||||||
Sekisui House Ltd. | 19,800 | 290,765 | ||||||
Seven & i Holdings Co. Ltd. | 23,600 | 1,025,541 | ||||||
Seven Bank Ltd. | 20,100 | 57,378 | ||||||
SG Holdings Co. Ltd. | 3,400 | 88,408 | ||||||
Sharp Corp. | 6,605 | 66,128 | ||||||
Shimadzu Corp. | 7,300 | 143,955 |
Shimamura Co. Ltd. | 800 | 61,260 | ||||||
Shimano, Inc. | 152,300 | 21,469,325 | ||||||
Shimizu Corp. | 17,000 | 138,294 | ||||||
Shin-Etsu Chemical Co. Ltd. | 11,395 | 875,510 | ||||||
Shinsei Bank Ltd. | 5,400 | 64,197 | ||||||
Shionogi & Co. Ltd. | 8,700 | 496,557 | ||||||
Shiseido Co. Ltd. | 617,600 | 38,679,028 | ||||||
Shizuoka Bank Ltd. | 13,200 | 102,895 | ||||||
Showa Denko KK | 4,400 | 130,656 | ||||||
Showa Shell Sekiyu KK | 5,300 | 73,427 | ||||||
SMC Corp. | 81,000 | 24,386,884 | ||||||
SoftBank Group Corp. | 237,100 | 15,529,859 | ||||||
Sohgo Security Services Co. Ltd. | 2,100 | 98,118 | ||||||
Sompo Holdings, Inc. | 10,250 | 348,194 | ||||||
Sony Corp. | 94,500 | 4,555,809 | ||||||
Sony Financial Holdings, Inc. | 5,400 | 100,638 | ||||||
Stanley Electric Co. Ltd. | 4,400 | 123,088 | ||||||
Subaru Corp. | 19,580 | 418,295 | ||||||
Sugi Holdings Co. Ltd. | 187,800 | 7,422,475 | ||||||
Sumco Corp. | 7,200 | 80,186 | ||||||
Sumitomo Chemical Co. Ltd. | 45,500 | 220,343 | ||||||
Sumitomo Corp. | 35,000 | 496,607 | ||||||
Sumitomo Dainippon Pharma Co. Ltd. | 4,900 | 156,263 | ||||||
Sumitomo Electric Industries Ltd. | 2,725,900 | 36,100,025 | ||||||
Sumitomo Heavy Industries Ltd. | 3,400 | 100,814 | ||||||
Sumitomo Metal Mining Co. Ltd. | 7,000 | 187,456 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 1,834,900 | 60,487,601 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 1,401,100 | 51,023,810 | ||||||
Sumitomo Realty & Development Co. Ltd. | 11,300 | 413,677 | ||||||
Sumitomo Rubber Industries Ltd. | 5,900 | 69,460 | ||||||
Sundrug Co. Ltd. | 2,300 | 68,492 | ||||||
Suntory Beverage & Food Ltd. | 4,510 | 203,638 | ||||||
Suzuken Co. Ltd. | 2,155 | 109,738 | ||||||
Suzuki Motor Corp. | 10,900 | 549,485 | ||||||
Sysmex Corp. | 5,100 | 242,205 | ||||||
T&D Holdings, Inc. | 18,100 | 209,372 | ||||||
Taiheiyo Cement Corp. | 3,800 | 116,946 | ||||||
Taisei Corp. | 6,600 | 282,667 | ||||||
Taisho Pharmaceutical Holdings Co. Ltd. | 1,160 | 116,427 | ||||||
Taiyo Nippon Sanso Corp. | 4,500 | 73,156 | ||||||
Takashimaya Co. Ltd. | 5,000 | 63,842 | ||||||
Takeda Pharmaceutical Co. Ltd. | 1,191,500 | 40,385,294 | ||||||
TDK Corp. | 4,100 | 287,022 | ||||||
Teijin Ltd. | 5,400 | 86,183 | ||||||
Terumo Corp. | 9,700 | 547,130 | ||||||
THK Co. Ltd. | 3,700 | 69,123 | ||||||
Tobu Railway Co. Ltd. | 5,900 | 159,301 | ||||||
Toho Co. Ltd. | 3,800 | 137,685 | ||||||
Toho Gas Co. Ltd. | 2,300 | 96,748 | ||||||
Tohoku Electric Power Co., Inc. | 13,000 | 171,157 | ||||||
Tokio Marine Holdings, Inc. | 937,400 | 44,534,677 | ||||||
Tokyo Electric Power Co., Inc.(1) | 44,100 | 261,956 | ||||||
Tokyo Electron Ltd. | 5,100 | 574,129 | ||||||
Tokyo Gas Co. Ltd. | 11,700 | 295,918 | ||||||
Tokyu Corp. | 15,300 | 250,017 | ||||||
Tokyu Fudosan Holdings Corp. | 20,100 | 99,073 | ||||||
Toppan Printing Co. Ltd. | 7,300 | 107,305 | ||||||
Toray Industries, Inc. | 42,900 | 303,308 | ||||||
Toshiba Corp. | 20,300 | 573,209 | ||||||
Tosoh Corp. | 8,000 | 103,769 | ||||||
TOTO Ltd. | 4,300 | 148,738 | ||||||
Toyo Seikan Group Holdings Ltd. | 4,700 | 107,574 | ||||||
Toyo Suisan Kaisha Ltd. | 3,150 | 109,693 | ||||||
Toyoda Gosei Co. Ltd. | 2,000 | 39,374 | ||||||
Toyota Industries Corp. | 4,500 | 207,224 | ||||||
Toyota Motor Corp. | 139,594 | 8,080,621 |
Toyota Tsusho Corp. | 6,935 | 203,767 | ||||||
Trend Micro, Inc. | 3,700 | 199,931 | ||||||
Tsuruha Holdings, Inc. | 1,100 | 94,195 | ||||||
Unicharm Corp. | 13,000 | 420,446 | ||||||
United Urban Investment Corp. | 89 | 137,836 | ||||||
USS Co. Ltd. | 6,700 | 112,415 | ||||||
Welcia Holdings Co. Ltd. | 1,500 | 67,800 | ||||||
West Japan Railway Co. | 46,000 | 3,249,955 | ||||||
Yahoo Japan Corp. | 87,500 | 217,676 | ||||||
Yakult Honsha Co. Ltd. | 3,700 | 259,014 | ||||||
Yamada Denki Co. Ltd. | 17,740 | 85,200 | ||||||
Yamaguchi Financial Group, Inc. | 7,000 | 66,912 | ||||||
Yamaha Corp. | 4,100 | 174,411 | ||||||
Yamaha Motor Co. Ltd. | 8,600 | 167,904 | ||||||
Yamato Holdings Co. Ltd. | 9,900 | 271,425 | ||||||
Yamazaki Baking Co. Ltd. | 4,100 | 85,863 | ||||||
Yaskawa Electric Corp. | 7,400 | 180,887 | ||||||
Yokogawa Electric Corp. | 7,100 | 122,563 | ||||||
Yokohama Rubber Co. Ltd. | 3,600 | 67,329 | ||||||
ZOZO, Inc. | 6,100 | 111,758 | ||||||
|
| |||||||
1,194,978,196 | ||||||||
|
| |||||||
Luxembourg - 0.02% |
| |||||||
ArcelorMittal | 21,067 | 436,095 | ||||||
Aroundtown SA | 23,898 | 198,257 | ||||||
Eurofins Scientific SE | 358 | 133,706 | ||||||
Millicom International Cellular SA | 2,029 | 128,387 | ||||||
RTL Group SA | 1,330 | 71,275 | ||||||
SES SA | 11,825 | 226,403 | ||||||
Tenaris SA | 14,513 | 155,983 | ||||||
|
| |||||||
1,350,106 | ||||||||
|
| |||||||
Macau - 0.01% |
| |||||||
MGM China Holdings Ltd. | 34,000 | 56,762 | ||||||
Sands China Ltd. | 76,400 | 333,181 | ||||||
Wynn Macau Ltd. | 49,200 | 107,102 | ||||||
|
| |||||||
497,045 | ||||||||
|
| |||||||
Malaysia - 0.25% |
| |||||||
Public Bank Bhd | 3,281,100 | 19,643,133 | ||||||
|
| |||||||
Mexico - 0.81% |
| |||||||
Fresnillo Plc | 6,303 | 69,258 | ||||||
Grupo Aeroportuario del Centro Norte SAB de CV | 1,409,000 | 6,724,597 | ||||||
Grupo Aeroportuario del Pacifico SAB de CV - ADR | 83,285 | 6,791,892 | ||||||
Mexichem SAB de CV | 3,494,200 | 8,874,300 | ||||||
Wal-Mart de Mexico SAB de CV | 16,481,312 | 41,916,673 | ||||||
|
| |||||||
64,376,720 | ||||||||
|
| |||||||
Netherlands - 4.91% |
| |||||||
ABN AMRO Group NV (2) | 13,459 | 316,716 | ||||||
Aegon NV | 56,020 | 262,378 | ||||||
Akzo Nobel NV | 302,704 | 24,378,000 | ||||||
ASML Holding NV | 159,296 | 24,955,273 | ||||||
ASML Holding NV - REG | 142,690 | 22,205,418 | ||||||
Core Laboratories NV | 264,032 | 15,752,149 | ||||||
EXOR NV | 3,314 | 179,908 | ||||||
Heineken Holding NV | 3,742 | 316,149 | ||||||
Heineken NV | 8,153 | 720,618 | ||||||
ING Groep NV | 5,494,235 | 59,099,339 | ||||||
InterXion Holding NV(1) | 224,035 | 12,133,736 | ||||||
Koninklijke Ahold Delhaize NV | 2,926,856 | 73,938,890 | ||||||
Koninklijke DSM NV | 5,801 | 470,611 | ||||||
Koninklijke KPN NV | 4,219,205 | 12,324,300 | ||||||
Koninklijke Philips NV | 30,197 | 1,058,693 | ||||||
Koninklijke Vopak NV | 2,173 | 98,542 | ||||||
NN Group NV | 9,404 | 373,890 | ||||||
NXP Semiconductors NV | 10,855 | 795,454 | ||||||
PostNL NV | 8,475,022 | 19,381,970 | ||||||
QIAGEN NV(1) | 223,193 | 7,688,999 |
QIAGEN NV - Aquis Listed(1) | 325,037 | 11,106,770 | ||||||
Randstad Holding NV | 3,641 | 166,940 | ||||||
Royal Dutch Shell Plc | 268,654 | 7,907,250 | ||||||
Royal Dutch Shell Plc - Class A | 1,834,083 | 54,059,411 | ||||||
Royal Dutch Shell Plc - Class B | 1,401,163 | 41,891,263 | ||||||
Wolters Kluwer NV | 9,056 | 532,558 | ||||||
|
| |||||||
392,115,225 | ||||||||
|
| |||||||
New Zealand - 0.01% | ||||||||
a2 Milk Co. Ltd.(1) | 24,118 | 181,188 | ||||||
Auckland International Airport Ltd. | 29,517 | 142,462 | ||||||
Fisher & Paykel Healthcare Corp. Ltd. | 17,569 | 153,529 | ||||||
Fletcher Building Ltd.(1) | 27,314 | 89,553 | ||||||
Meridian Energy Ltd. | 43,743 | 100,091 | ||||||
Ryman Healthcare Ltd. | 14,960 | 107,963 | ||||||
Spark New Zealand Ltd. | 59,187 | 165,098 | ||||||
|
| |||||||
939,884 | ||||||||
|
| |||||||
Norway - 0.50% |
| |||||||
Aker BP ASA | 3,358 | 84,665 | ||||||
DNB ASA | 2,332,290 | 37,437,139 | ||||||
Equinor ASA | 36,459 | 773,374 | ||||||
Gjensidige Forsikring ASA | 6,769 | 105,893 | ||||||
Marine Harvest ASA | 12,878 | 271,436 | ||||||
Norsk Hydro ASA | 41,261 | 186,956 | ||||||
Orkla ASA | 24,544 | 192,177 | ||||||
Schibsted ASA - Class B | 3,284 | 99,900 | ||||||
Telenor ASA | 23,267 | 451,852 | ||||||
Yara International ASA | 5,805 | 223,779 | ||||||
|
| |||||||
39,827,171 | ||||||||
|
| |||||||
Philippines - 0.01% |
| |||||||
Puregold Price Club, Inc.(1) | 1,124,220 | 918,382 | ||||||
|
| |||||||
Portugal - 0.23% |
| |||||||
EDP - Energias de Portugal SA | 80,683 | 282,253 | ||||||
Galp Energia SGPS SA | 15,482 | 243,777 | ||||||
Jeronimo Martins SGPS SA | 1,494,015 | 17,704,852 | ||||||
|
| |||||||
18,230,882 | ||||||||
|
| |||||||
Republic of Korea - 1.05% |
| |||||||
Hana Financial Group, Inc. | 249,331 | 8,108,949 | ||||||
NAVER Corp. | 79,602 | 8,724,054 | ||||||
POSCO | 53,229 | 11,642,870 | ||||||
Samsung Fire & Marine Insurance Co. Ltd. | 98,540 | 23,694,854 | ||||||
Samsung SDI Co. Ltd. | 162,096 | 31,861,258 | ||||||
|
| |||||||
84,031,985 | ||||||||
|
| |||||||
Singapore - 2.71% |
| |||||||
Ascendas Real Estate Investment Trust | 86,000 | 162,298 | ||||||
CapitaLand Commercial Trust | 89,551 | 115,022 | ||||||
CapitaLand Ltd. | 86,900 | 198,169 | ||||||
CapitaLand Mall Trust | 82,300 | 136,477 | ||||||
City Developments Ltd. | 14,000 | 83,464 | ||||||
ComfortDelGro Corp. Ltd. | 66,700 | 105,356 | ||||||
DBS Group Holdings Ltd. | 3,099,100 | 53,892,891 | ||||||
Genting Singapore Ltd. | 208,900 | 149,535 | ||||||
Golden Agri-Resources Ltd. | 175,300 | 31,473 | ||||||
Jardine Cycle & Carriage Ltd. | 3,100 | 80,256 | ||||||
Keppel Corp. Ltd. | 46,300 | 200,998 | ||||||
Oversea-Chinese Banking Corp. Ltd. | 96,700 | 799,863 | ||||||
SATS Ltd. | 22,600 | 77,406 | ||||||
Sea Ltd. - ADR(1) | 703,780 | 7,966,790 | ||||||
Sembcorp Industries Ltd. | 34,000 | 63,346 | ||||||
Singapore Airlines Ltd. | 16,500 | 113,989 | ||||||
Singapore Exchange Ltd. | 25,000 | 131,020 | ||||||
Singapore Press Holdings Ltd. | 19,200 | 33,086 | ||||||
Singapore Technologies Engineering Ltd. | 54,600 | 139,967 | ||||||
Singapore Telecommunications Ltd. | 30,950,500 | 66,612,734 | ||||||
Suntec Real Estate Investment Trust | 71,100 | 92,746 | ||||||
United Overseas Bank Ltd. | 3,902,925 | 70,603,866 |
UOL Group Ltd. | 15,519 | 70,579 | ||||||
Venture Corp. Ltd. | 9,300 | 95,481 | ||||||
Wilmar International Ltd. | 6,388,100 | 14,629,061 | ||||||
|
| |||||||
216,585,873 | ||||||||
|
| |||||||
South Africa - 0.89% |
| |||||||
Clicks Group Ltd. | 1,932,015 | 25,685,018 | ||||||
Investec Plc | 22,319 | 125,471 | ||||||
Naspers Ltd. | 225,400 | 45,128,788 | ||||||
|
| |||||||
70,939,277 | ||||||||
|
| |||||||
Spain - 3.85% |
| |||||||
ACS Actividades Co. | 7,955 | 307,917 | ||||||
Aena SA(2) | 2,171 | 337,312 | ||||||
Amadeus IT Group SA | 346,887 | 24,135,581 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 5,417,722 | 28,777,980 | ||||||
Banco de Sabadell SA | 182,505 | 208,826 | ||||||
Banco Santander | 6,434,007 | 29,216,830 | ||||||
Bankia SA | 7,221,543 | 21,128,955 | ||||||
Bankinter SA | 1,687,086 | 13,537,385 | ||||||
CaixaBank SA | 3,738,033 | 13,537,060 | ||||||
Enagas SA | 3,508 | 94,829 | ||||||
Endesa SA | 10,255 | 236,488 | ||||||
Ferrovial SA | 15,200 | 307,839 | ||||||
Grifols SA | 9,678 | 254,065 | ||||||
Iberdrola SA | 5,580,085 | 44,807,488 | ||||||
Industria de Diseno Textil SA | 1,906,428 | 48,661,031 | ||||||
Mapfre SA | 32,937 | 87,478 | ||||||
Naturgy Energy Group SA | 11,269 | 287,481 | ||||||
Red Electrica Corp. SA | 12,996 | 289,814 | ||||||
Repsol SA | 43,013 | 691,523 | ||||||
Siemens Gamesa Renewable Energy SA(1) | 8,215 | 100,021 | ||||||
Telefonica SA | 9,528,129 | 80,202,154 | ||||||
|
| |||||||
307,208,057 | ||||||||
|
| |||||||
Sweden - 2.99% |
| |||||||
Alfa Laval AB | 9,303 | 199,989 | ||||||
Assa Abloy AB | 31,878 | 570,833 | ||||||
Atlas Copco AB - Class A | 1,964,959 | 46,880,066 | ||||||
Atlas Copco AB - Class B | 12,061 | 264,278 | ||||||
Boliden AB | 8,372 | 181,413 | ||||||
Electrolux AB | 7,127 | 150,228 | ||||||
Epiroc AB - Class A(1) | 2,193,723 | 20,850,492 | ||||||
Epiroc AB - Class B(1) | 12,231 | 109,179 | ||||||
Essity AB | 19,416 | 477,274 | ||||||
Hennes & Mauritz AB | 27,664 | 393,412 | ||||||
Hexagon AB | 693,587 | 32,062,827 | ||||||
Husqvarna AB - Class B | 13,668 | 101,470 | ||||||
ICA Gruppen AB | 2,517 | 89,918 | ||||||
Industrivarden AB | 5,104 | 103,336 | ||||||
Investor AB | 584,875 | 24,853,876 | ||||||
Kinnevik AB | 7,477 | 180,939 | ||||||
L E Lundbergforetagen AB | 2,533 | 74,802 | ||||||
Lundin Petroleum AB | 5,922 | 147,897 | ||||||
Sandvik AB | 35,574 | 509,714 | ||||||
Securitas AB | 9,409 | 151,578 | ||||||
Skandinaviska Enskilda Banken AB | 50,668 | 492,538 | ||||||
Skanska AB | 11,116 | 177,247 | ||||||
SKF AB | 11,757 | 178,691 | ||||||
Spotify Technology SA(1) | 153,157 | 17,383,320 | ||||||
Svenska Handelsbanken AB | 2,164,207 | 24,078,267 | ||||||
Swedbank AB | 28,103 | 628,135 | ||||||
Swedish Match AB | 5,505 | 216,718 | ||||||
Tele2 AB | 15,343 | 195,681 | ||||||
Telefonaktiebolaget LM Ericsson - Class B | 2,224,669 | 19,692,692 | ||||||
TeliaSonera AB | 9,861,641 | 46,910,750 | ||||||
Volvo AB | 49,419 | 647,095 | ||||||
|
| |||||||
238,954,655 | ||||||||
|
|
Switzerland - 7.98% |
| |||||||
ABB Ltd. | 1,844,283 | 35,218,621 | ||||||
Adecco SA | 848,563 | 39,884,509 | ||||||
Baloise Holding AG | 1,571 | 216,893 | ||||||
Barry Callebaut AG | 69 | 107,686 | ||||||
Chocoladefabriken Lindt & Spruengli AG | 34 | 211,271 | ||||||
Chocoladefabriken Lindt & Spruengli AG - REG | 4 | 298,529 | ||||||
Chubb Ltd. | 335,993 | 43,403,576 | ||||||
Cie Financiere Richemont SA | 424,145 | 27,352,106 | ||||||
Clariant AG | 6,323 | 116,607 | ||||||
Coca-Cola HBC AG | 6,324 | 197,927 | ||||||
Credit Suisse Group AG | 1,100,675 | 12,032,238 | ||||||
Dufry AG | 965 | 91,890 | ||||||
EMS-Chemie Holding AG | 264 | 125,695 | ||||||
Ferguson Plc | 7,324 | 467,991 | ||||||
Geberit AG | 66,625 | 25,945,150 | ||||||
Givaudan SA | 292 | 677,052 | ||||||
Glencore Plc | 359,177 | 1,335,444 | ||||||
Julius Baer Group Ltd. | 438,321 | 15,620,236 | ||||||
Kuehne & Nagel International AG | 1,630 | 209,824 | ||||||
LafargeHolcim Ltd. | 15,222 | 628,190 | ||||||
Lonza Group AG | 2,341 | 608,554 | ||||||
Nestle SA | 988,606 | 80,238,018 | ||||||
Novartis AG | 1,331,438 | 114,030,031 | ||||||
Novartis AG - ADR | 397,810 | 34,136,076 | ||||||
Pargesa Holding SA | 1,180 | 85,104 | ||||||
Partners Group Holding AG | 536 | 326,074 | ||||||
Roche Holding AG | 394,031 | 97,821,688 | ||||||
Schindler Holding AG | 628 | 122,059 | ||||||
Schindler Holding AG - Participation Certificate | 130,683 | 25,947,514 | ||||||
SGS SA | 168 | 378,172 | ||||||
Sika AG | 203,813 | 25,889,058 | ||||||
Sonova Holding AG | 1,746 | 287,123 | ||||||
STMicroelectronics NV | 21,799 | 308,971 | ||||||
Straumann Holding AG | 320 | 202,100 | ||||||
Swatch Group AG - BR | 945 | 275,806 | ||||||
Swatch Group AG - REG | 1,706 | 98,678 | ||||||
Swiss Life Holding AG | 1,074 | 414,531 | ||||||
Swiss Prime Site | 2,365 | 191,568 | ||||||
Swiss Re AG | 9,505 | 874,463 | ||||||
Swisscom AG | 822 | 392,897 | ||||||
Temenos AG | 1,848 | 222,061 | ||||||
u-blox Holding AG | 44,366 | 3,570,119 | ||||||
UBS Group AG | 1,015,965 | 12,672,379 | ||||||
Vifor Pharma AG | 1,449 | 157,674 | ||||||
Zurich Insurance Group AG | 112,414 | 33,509,359 | ||||||
|
| |||||||
636,901,512 | ||||||||
|
| |||||||
Taiwan - 1.73% |
| |||||||
Hon Hai Precision Industry Co. Ltd. - GDR | 2,270,752 | 10,583,975 | ||||||
Hon Hai Precision Industry Co. Ltd. | 3,522,400 | 8,106,582 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 4,327,000 | 31,419,357 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. - ADR | 2,391,380 | 88,265,836 | ||||||
|
| |||||||
138,375,750 | ||||||||
|
| |||||||
Thailand - 0.10% |
| |||||||
Thai Beverage Plc | 17,244,800 | 7,730,521 | ||||||
|
| |||||||
United Arab Emirates - 0.00%(3) |
| |||||||
NMC Health Plc | 3,084 | 107,635 | ||||||
|
| |||||||
United Kingdom - 14.25% |
| |||||||
3I Group Plc | 29,731 | 293,362 | ||||||
Admiral Group Plc | 6,155 | 160,607 | ||||||
Anglo American Plc | 33,048 | 738,976 | ||||||
Ashtead Group Plc | 15,146 | 315,936 | ||||||
ASOS Plc(1) | 257,531 | 7,476,309 | ||||||
Associated British Foods Plc | 11,171 | 291,156 | ||||||
AstraZeneca Plc | 872,865 | 65,155,859 |
Auto Trader Group Plc(2) | 4,645,407 | 26,959,122 | ||||||
Aviva Plc | 2,037,109 | 9,749,606 | ||||||
Babcock International Group Plc | 7,162 | 44,671 | ||||||
BAE Systems Plc | 2,761,128 | 16,149,442 | ||||||
Barclays Plc | 5,296,737 | 10,134,087 | ||||||
Barratt Developments Plc | 30,117 | 177,652 | ||||||
Berkeley Group Holdings Plc | 3,773 | 167,344 | ||||||
BP Plc | 15,180,935 | 95,969,124 | ||||||
British American Tobacco Plc | 71,838 | 2,285,815 | ||||||
British American Tobacco Plc - ADR | 231,055 | 7,361,412 | ||||||
British Land Co. Plc | 29,291 | 199,187 | ||||||
BT Group Plc | 262,960 | 799,555 | ||||||
Bunzl Plc | 10,395 | 313,917 | ||||||
Burberry Group Plc | 792,942 | 17,412,224 | ||||||
Centrica Plc | 176,779 | 304,939 | ||||||
CNH Industrial NV | 32,023 | 289,337 | ||||||
Coca-Cola European Partners Plc | 6,735 | 308,800 | ||||||
Compass Group Plc | 2,075,492 | 43,678,385 | ||||||
ConvaTec Group Plc(2) | 42,818 | 75,844 | ||||||
Croda International Plc | 4,082 | 243,781 | ||||||
Diageo Plc | 900,611 | 32,182,797 | ||||||
Direct Line Insurance Group Plc | 44,058 | 179,093 | ||||||
easyJet Plc | 6,180 | 87,081 | ||||||
Experian Plc | 2,032,804 | 49,279,086 | ||||||
Fiat Chrysler Automobiles NV(1) | 34,593 | 498,775 | ||||||
G4S Plc | 50,046 | 126,332 | ||||||
GlaxoSmithKline Plc | 2,029,314 | 38,674,709 | ||||||
Hammerson Plc | 23,729 | 99,897 | ||||||
Hargreaves Lansdown Plc | 1,854,701 | 43,743,096 | ||||||
HomeServe Plc | 1,236,043 | 13,653,199 | ||||||
HSBC Holdings Plc | 6,217,647 | 51,293,947 | ||||||
Imperial Tobacco Group Plc | 293,484 | 8,907,748 | ||||||
Informa Plc | 39,562 | 317,553 | ||||||
InterContinental Hotels Group Plc | 5,782 | 312,765 | ||||||
International Consolidated Airlines Group SA | 20,264 | 160,648 | ||||||
Intertek Group Plc | 356,680 | 21,829,839 | ||||||
ITV Plc | 108,048 | 171,976 | ||||||
J Sainsbury Plc | 3,093,463 | 10,457,455 | ||||||
John Wood Group Plc | 4,268,320 | 27,462,180 | ||||||
Johnson Matthey Plc | 551,801 | 19,702,414 | ||||||
Jupiter Fund Management Plc | 2,765,068 | 10,399,660 | ||||||
Kingfisher Plc | 10,141,601 | 26,665,226 | ||||||
Land Securities Group Plc | 22,220 | 228,152 | ||||||
Legal & General Group Plc | 187,680 | 552,974 | ||||||
Lloyds Banking Group Plc | 59,365,051 | 39,132,310 | ||||||
London Stock Exchange Group Plc | 163,965 | 8,506,596 | ||||||
Marks & Spencer Group Plc | 51,829 | 162,556 | ||||||
Meggitt Plc | 23,642 | 142,018 | ||||||
Melrose Industries Plc | 150,162 | 313,703 | ||||||
Merlin Entertainments Plc(2) | 22,985 | 93,102 | ||||||
Micro Focus International Plc | 14,003 | 245,313 | ||||||
Mondi Plc | 11,577 | 241,123 | ||||||
National Grid Plc | 1,683,245 | 16,467,730 | ||||||
Next Plc | 4,269 | 217,364 | ||||||
Pearson Plc | 23,964 | 287,086 | ||||||
Persimmon Plc | 9,936 | 244,682 | ||||||
Prudential Plc | 81,470 | 1,454,766 | ||||||
Reckitt Benckiser Group Plc | 21,169 | 1,621,044 | ||||||
RELX Plc | 62,711 | 1,293,126 | ||||||
Rightmove Plc | 5,657,620 | 31,179,684 | ||||||
Rio Tinto Ltd. | 11,670 | 645,888 | ||||||
Rio Tinto Plc | 36,829 | 1,763,830 | ||||||
Rolls-Royce Holdings Plc(1) | 53,625 | 564,940 | ||||||
Royal Bank of Scotland Group Plc | 4,675,015 | 12,968,757 | ||||||
Royal Mail Plc | 28,768 | 99,850 | ||||||
RSA Insurance Group Plc | 33,387 | 219,111 |
Sage Group Plc | 33,135 | 254,127 | ||||||
Schroders Plc | 3,799 | 118,315 | ||||||
Segro Plc | 31,639 | 237,519 | ||||||
Severn Trent Plc | 7,244 | 167,921 | ||||||
Smith & Nephew Plc | 27,054 | 506,415 | ||||||
Smiths Group Plc | 12,044 | 209,674 | ||||||
Sophos Group Plc(2) | 1,771,095 | 8,539,748 | ||||||
SSE Plc | 1,869,252 | 25,813,587 | ||||||
St James’s Place Plc | 16,333 | 196,712 | ||||||
Standard Chartered Plc | 1,986,584 | 15,439,067 | ||||||
Standard Life Aberdeen Plc | 73,595 | 240,976 | ||||||
Taylor Wimpey Plc | 105,781 | 183,938 | ||||||
Tesco Plc | 46,334,442 | 112,368,522 | ||||||
Travis Perkins Plc | 1,468,564 | 20,021,196 | ||||||
Unilever NV | 48,668 | 2,636,459 | ||||||
Unilever Plc | 35,624 | 1,870,360 | ||||||
Unilever Plc - ADR | 624,520 | 32,631,170 | ||||||
United Utilities Group Plc | 21,899 | 205,905 | ||||||
Vodafone Group Plc | 36,750,000 | 71,452,650 | ||||||
Weir Group Plc | 1,309,780 | 21,688,978 | ||||||
Whitbread Plc | 5,713 | 333,621 | ||||||
Willis Towers Watson Plc | 48,335 | 7,340,153 | ||||||
WM Morrison Supermarkets Plc | 68,993 | 187,561 | ||||||
WPP Plc | 3,008,866 | 32,745,468 | ||||||
|
| |||||||
1,137,297,672 | ||||||||
|
| |||||||
United States - 2.16% |
| |||||||
Amdocs Ltd. | 472,587 | 27,684,146 | ||||||
Carnival Plc | 5,616 | 269,690 | ||||||
Mettler-Toledo International, Inc.(1) | 117,371 | 66,382,690 | ||||||
Mylan(1) | 586,902 | 16,081,115 | ||||||
News Corp. - Class A | 616,617 | 6,998,603 | ||||||
ResMed, Inc. | 241,809 | 27,534,791 | ||||||
Schlumberger Ltd. | 748,720 | 27,013,818 | ||||||
Shire Plc | 14,278 | 830,803 | ||||||
|
| |||||||
172,795,656 | ||||||||
|
| |||||||
Total Common Stocks (Cost $8,142,237,960) |
| $ | 7,639,711,630 | |||||
|
| |||||||
PREFERRED STOCKS - 0.23% |
| |||||||
Germany - 0.23% |
| |||||||
Bayerische Motoren Werke AG | 1,691 | $ | 120,588 | |||||
Fuchs Petrolub SE | 2,097 | 86,694 | ||||||
Henkel AG & Co. KGaA | 5,506 | 601,416 | ||||||
Porsche Automobil Holding SE | 4,620 | 271,713 | ||||||
Sartorius AG | 1,037 | 129,062 | ||||||
Volkswagen AG | 109,193 | 17,411,456 | ||||||
|
| |||||||
18,620,929 | ||||||||
|
| |||||||
Total Preferred Stocks (Cost $17,764,973) |
| $ | 18,620,929 | |||||
|
| |||||||
SHORT-TERM INVESTMENTS - 3.56% |
| |||||||
Money Market Funds - 3.56% |
| |||||||
Goldman Sachs Financial Square Government Fund - Class I, 2.34%(4) | 141,942,825 | $ | 141,942,825 | |||||
JPMorgan U.S. Government Money Market Fund - Class I, 2.31%(4) | 141,942,825 | 141,942,825 | ||||||
|
| |||||||
Total Short-Term Investments (Cost $283,885,650) |
| $ | 283,885,650 | |||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES - 99.48% |
| $ | 7,942,218,209 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.52% |
| 41,905,708 | ||||||
|
| |||||||
TOTAL NET ASSETS - 100.00% |
| $ | 7,984,123,917 | |||||
|
|
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 $73,365,516, which represents 0.92% 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. |
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.
(b) | Not Applicable |
Item 7. Disclosure of Proxy Voting Policies and Procedures forClosed-End Management Investment Companies.
Not applicable toopen-end investment companies.
Item 8. Portfolio Managers ofClosed-End Management Investment Companies.
Not applicable toopen-end investment companies.
Item 9. Purchases of Equity Securities byClosed-End Management Investment Company and Affiliated Purchasers.
Not applicable toopen-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 Rule30a-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 Rule30a-3(b) under the Act and Rules13a-15(b) or15d-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 Rule30a-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 forClosed-End Management Investment Companies.
Not applicable toopen-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 toopen-end investment companies.
(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 2/22/2019 |
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 2/22/2019 | ||||
By (Signature and Title)* | /s/ Aaron Masek | |||
Aaron Masek, Principal Financial Officer | ||||
Date 2/22/2019 |
* | Print the name and title of each signing officer under his or her signature. |