UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number: 811-22811
Bridge Builder Trust
(Exact name of registrant as specified in charter)
Bridge Builder Trust
12555 Manchester Road
Des Peres, MO, 63131
(Address of principal executive offices)
Scott K. Richardson, Secretary
Bridge Builder Trust
c/o 12555 Manchester Road
Des Peres, MO 63131
(Name and address of Agent for service)
Registrant’s telephone number, including area code: (314) 515-0790
Date of fiscal year end: June 30
Date of reporting period: June 30, 2021
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
ITEM 1. REPORT TO SHAREHOLDERS
The following is a copy of the Registrant’s annual report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “1940 Act”)(17 CFR 270.30e-1).
Bridge Builder Core Bond Fund Bridge Builder Core Plus Bond Fund Bridge Builder Municipal Bond Fund Bridge Builder Large Cap Growth Fund Bridge Builder Large Cap Value Fund Bridge Builder Small/Mid Cap Growth Fund Bridge Builder Small/Mid Cap Value Fund Bridge Builder International Equity Fund
Table of Contents
| | |
| | | Annual Report • June 30, 2021 |
Bridge Builder Mutual Funds
Letter to Shareholders (Unaudited)
Dear Shareholder,
It is our pleasure to provide you with the Bridge Builder Mutual Funds (“Funds” or individually a “Fund”) annual report for the fiscal year ended June 30, 2021. In this report you will find fund performance information, summaries of portfolio holdings, financial statements and other important information about each of the Funds.
For details about individual fund performance and market commentary, please refer to the Management’s Discussion of Fund Performance section of this report for each Fund.
The Funds are available exclusively through Edward Jones Advisory Solutions®, an asset allocation program providing investment advisory services. Each Fund uses a multi-manager sub-advised structure, where several leading asset management firms are selected to invest a portion of a Fund’s assets. Each manager within a Fund brings a unique perspective and investment approach. The Funds are managed according to the key tenets of our investment philosophy: diversification, high quality and a long-term approach.
All of the 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.
Since the inception of the Funds in 2013, they have provided investors in Edward Jones Advisory Solutions® with several important benefits. These benefits include: manager selection with oversight by Edward Jones’ Portfolio Solutions and Investment Management Research teams, access to certain institutional managers and investment strategies that are not available in the retail mutual fund marketplace, the ability to make changes among managers within the Funds in a cost-efficient manner, and lower gross expense ratios compared to Morningstar@ category medians. As a result, your ownership of the Funds as part of the Edward Jones Advisory Solutions® has played an important role in the performance of your account.
Over the course of the past 12-months, there have been certain changes to the Funds’ lineup of sub-advisers. In January of 2021, MacKay Shields LLC replaced Wells Capital Management, Inc. as a sub-adviser to the Bridge Builder Municipal Bond Fund. In June 2021, Marathon Asset Management LLP replaced Edinburgh Partners Limited as a sub-adviser to the Bridge Builder International Equity Fund and American Century Investment Management, Inc. was added as a sub-adviser to the Bridge Builder Small/Mid Cap Value Fund.
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 Fiala Chairman, Bridge Builder Trust |
|
 |
|
Tom Kersting President, Olive Street Investment Advisers, LLC Principal, Edward Jones Investment, Protection & Retirement Products |
| | |
| Annual Report • June 30, 2021 | | 1 |
Bridge Builder Core Bond Fund
Management’s Discussion of Fund Performance (Unaudited)
Investment Objective
The investment objective of the Bridge Builder Core Bond Fund (the “Fund”) is to provide total return (capital appreciation plus income).
Summary of the 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, corporate bonds, asset-backed securities, privately-issued securities, floating rate securities and mortgage-related and mortgage-backed securities. The Fund may invest in securities issued by foreign entities, including emerging market securities. The Fund employs a multi-manager sub-advised structure.
Investment Commentary
The Fund returned 1.18% during the fiscal year ended June 30, 2021. The Fund outperformed its benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index, which returned -0.33% during the same period.
The second half of 2020 saw a continuation of record levels of monetary and fiscal policy support, while the global economy began to recover from the COVID-19 pandemic and its material impact on the economy and financial markets. To help support the recovery, the U.S. Federal Reserve (the “Fed”) maintained short-term interest rates near zero throughout the fiscal year and the U.S. Government continued to implement a variety of fiscal measures to help stabilize the economy.
Toward the end of 2020, optimism about the availability and efficacy of multiple vaccines and confidence in a continued economic recovery helped to support spread sectors, which performed well throughout the fiscal year. Conversely, accommodative monetary policy, a rebound in inflation measures from extreme lows reached during the depths of the COVID-19 sell-off, and higher growth expectations put upward pressure on interest rates throughout the fiscal year. While interest rates remained anchored in the front-end, long-term yields experienced heightened volatility and moved meaningfully higher, resulting in losses for intermediate and long-term U.S. Treasury bonds for the fiscal year. Higher rates spilled over to other high-quality sectors of the market as well, resulting in modest losses for U.S. agency mortgage-backed securities. As a result, the Bloomberg Barclays U.S. Aggregate Bond Index also generated a modestly negative return for the fiscal year. Rate movements were more subdued in other developed non-U.S. bond markets, and foreign government bonds outperformed U.S. Treasury bonds, while the U.S. dollar depreciated relative to most other developed-markets currencies during the period.
Despite the challenging U.S. rate environment, tighter credit spreads across the quality spectrum meant that most other fixed-income sectors posted positive returns during the fiscal year. Lower quality sectors such as below-investment-grade bonds and loans as well as hard-currency emerging market bonds generated strong gains and outperformed the Index by a wide margin. Meanwhile, a strong recovery in inflation expectations throughout the fiscal year supported gains for U.S. Treasury Inflation-Protected Securities (“U.S. TIPS”) which meaningfully outperformed nominal U.S. Treasuries during the period.
Against this backdrop, the Fund outperformed its benchmark by 1.51% over the fiscal year. The outperformance was primarily driven by an overweight to investment grade bonds, asset-backed securities, and commercial mortgage-backed securities. Security selection within those sectors was also a leading driver of outperformance over the fiscal year. Yield-curve positioning added to performance as well as the Fund maintained lower sensitivity to interest rates compared to the benchmark throughout most of the period amid a sell-off in interest-rate sensitive assets.
Investment Sub-advisers
| | | | | | |
Robert W. Baird & Co. Inc. utilizes a structured, risk-controlled philosophy with a disciplined duration approach to invest its allocated portion of the Fund’s assets. | | J.P. Morgan Investment Management, Inc. incorporates a bottom-up, value-oriented approach in managing its allocated portion of the Fund’s assets. | | Loomis, Sayles & Company, L.P. employs an investment philosophy that focuses on relative value investing on a risk-adjusted basis, seeking to add value for clients primarily through security selection while managing top-down risks in the portfolio. | | PGIM, Inc. uses a team approach to attempt to add value by tilting toward fixed-income sectors that it believes are attractive and by utilizing its extensive research capabilities to choose attractive fixed-income securities within sectors. |
| | |
| 2 | | Annual Report • June 30, 2021 |
Bridge Builder Core Bond Fund
Management’s Discussion of Fund Performance (Unaudited) (Continued)
The following chart compares the value of a hypothetical $10,000 investment in the Bridge Builder Core Bond Fund from its inception (October 28, 2013) to June 30, 2021 as compared with the Bloomberg Barclays U.S. Aggregate Bond Index.
Growth of a Hypothetical $10,000 Investment as of June 30, 2021
vs.
Bloomberg Barclays U.S. Aggregate Bond Index
Average Annual Total Returns as of June 30, 2021
| | | | | | | | | | | | |
| | | 1 Year | | | 5 Years | | | Since Inception (10/28/2013) | |
Bridge Builder Core Bond Fund | | | 1.18 | % | | | 3.63 | % | | | 3.85 | % |
Bloomberg Barclays U.S. Aggregate Bond Index | | | -0.33 | % | | | 3.03 | % | | | 3.37 | % |
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 0.34%(1) and 0.13%(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 | | | 33.2 | % |
Corporate Bonds | | | 31.3 | |
Government Related | | | 18.7 | |
Asset-Backed Obligations | | | 10.3 | |
Short-Term Investments | | | 6.5 | |
Preferred Stocks | | | 0.0 | * |
| * | Amount less than 0.05%. |
| | |
| Annual Report • June 30, 2021 | | 3 |
Bridge Builder Core Plus Bond Fund
Management’s Discussion of Fund Performance (Unaudited)
Investment Objective
The investment objective of the Bridge Builder Core Plus Bond Fund (the “Fund”) is to provide total return (capital appreciation plus income).
Summary of the 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, corporate bonds, asset-backed securities, privately-issued securities, floating rate securities, and mortgage-related and mortgage-backed securities. The Fund may invest in high-yield securities deemed below investment grade, and securities issued by foreign entities, including emerging market securities. The Fund employs a multi-manager sub-advised structure.
Investment Commentary
The Fund returned 3.18% during the fiscal year ended June 30, 2021. The Fund outperformed its benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index, which returned -0.33% during the same period.
The second half of 2020 saw a continuation of record levels of monetary and fiscal policy support, while the global economy began to recover from the COVID-19 pandemic and its material impact on the economy and financial markets. To help support the recovery, the Fed maintained short-term interest rates near zero throughout the fiscal year and the U.S. Government continued to implement a variety of fiscal measures to help stabilize the economy.
Toward the end of 2020, optimism about the availability and efficacy of multiple vaccines and confidence in a continued economic recovery helped to support spread sectors, which performed well throughout the fiscal year. Conversely, accommodative monetary policy, a rebound in inflation measures from extreme lows reached during the depths of the COVID-19 sell-off, and higher growth expectations put upward pressure on interest rates throughout the fiscal year. While interest rates remained anchored in the front-end, long-term yields experienced heightened volatility and moved meaningfully higher, resulting in losses for intermediate- and long-term U.S. Treasury bonds for the fiscal year. Higher rates spilled over to other high-quality sectors of the market as well, resulting in modest losses for U.S. agency mortgage-backed securities. As a result, the Bloomberg Barclays U.S. Aggregate Bond Index also generated a modestly negative return for the fiscal year. Rate movements were more subdued in other developed non-U.S. bond markets, and foreign government bonds outperformed U.S. Treasury bonds, while the U.S. dollar depreciated relative to most other developed-markets currencies during the period.
Despite the challenging U.S. rate environment, tighter credit spreads across the quality spectrum meant that most other fixed-income sectors posted positive returns during the fiscal year. Lower quality sectors such as below-investment-grade bonds and loans as well as hard-currency emerging market bonds generated strong gains and outperformed the Index by a wide margin. Meanwhile, a strong recovery in inflation expectations throughout the fiscal year supported gains for US TIPS, which meaningfully outperformed nominal U.S. Treasuries during the period.
Against this backdrop, the Fund outperformed its benchmark by 3.51% over the fiscal year. The Fund’s overweight to credit sensitive sectors such as investment-grade and below-investment grade corporate bonds, bank loans, emerging market bonds, as well as non-agency mortgage-backed securities and asset-backed securities were strong contributors to performance during the fiscal year as credit spreads compressed across most risky sectors. Security selection within most sectors was also a very strong contributor to the outperformance relative to the benchmark. Also, the Fund’s lower interest-rate sensitivity compared to the benchmark throughout most of the period contributed to the overall performance as interest rates rose and more interest-rate sensitive instruments sold off.
| | |
| 4 | | Annual Report • June 30, 2021 |
Bridge Builder Core Plus Bond Fund
Management’s Discussion of Fund Performance (Unaudited) (Continued)
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, forwards or swap contracts. | | Loomis, Sayles & Company, L.P. generally seeks fixed-income securities of issuers whose credit profiles it believes are improving. Loomis Sayles relies primarily on issue selection as the key driver to investment performance. Loomis Sayles also analyzes different sectors of the economy and differences in the yields of various fixed-income securities in an effort to find securities that it believes may produce attractive returns in comparison to these securities’ risks. | | Metropolitan West Asset Management, LLC employs a value-oriented fixed-income management philosophy and an investment process predicated on a long-term economic outlook. | | T. Rowe Price Associates, Inc. emphasizes the value of in-depth fundamental research, diversification and risk management practices. T. Rowe Price’s strategy integrates top-down sector allocation with bottom-up security selection in pursuit of the Fund’s investment objective. |
The following chart compares the value of a hypothetical $10,000 investment in the Bridge Builder Core Plus Bond
Fund from its inception (July 13, 2015) to June 30, 2021 as compared with the Bloomberg Barclays U.S. Aggregate Bond Index.
Growth of a Hypothetical $10,000 Investment as of June 30, 2021
vs.
Bloomberg Barclays U.S. Aggregate Bond Index
Average Annual Total Returns of June 30, 2021
| | | | | | | | | | | | |
| | | 1 Year | | | 5 Years | | | Since Inception (7/13/2015) | |
Bridge Builder Core Plus Bond Fund | | | 3.18 | % | | | 4.11 | % | | | 4.35 | % |
Bloomberg Barclays U.S. Aggregate Bond Index | | | -0.33 | % | | | 3.03 | % | | | 3.59 | % |
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 0.16%(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.
| | |
| Annual Report • June 30, 2021 | | 5 |
Bridge Builder Core Plus Bond Fund
Management’s Discussion of Fund Performance (Unaudited) (Continued)
Portfolio Characteristics (3)
| | | | |
| Security Type Breakdown | | (% of Investments) | |
Corporate Bonds | | | 30.4 | % |
Government Related | | | 23.2 | |
Mortgage-Backed Obligations | | | 22.3 | |
Short-Term Investments | | | 12.5 | |
Asset-Backed Obligations | | | 8.5 | |
Bank Loans | | | 2.6 | |
Convertible Securities | | | 0.2 | |
Convertible Preferred Stocks | | | 0.1 | |
Common Stocks | | | 0.1 | |
Preferred Stocks | | | 0.1 | |
Warrants | | | 0.0 | * |
| * | Amount less than 0.05%. |
| | |
| 6 | | Annual Report • June 30, 2021 |
Bridge Builder Municipal Bond Fund
Management’s Discussion of Fund Performance (Unaudited)
Investment Objective
The investment objective of the Bridge Builder Municipal Bond Fund (the “Fund”) is to provide current income exempt from federal tax, with a secondary goal of preservation of investment principal.
Summary of the Investment Strategy
The Fund invests, under normal conditions, at least 80% of its net assets (plus the amount of borrowings for investment purposes) in municipal securities of any maturity or duration whose interest is exempt from federal income tax. These municipal securities include debt obligations issued by or on behalf of a state or local entity or other qualifying issuer that pay interest that is, in the opinion of bond counsel to the issuer, generally excludable from gross income for federal income tax purposes. Interest may be includable in taxable income for certain non-corporate taxpayers subject to the federal alternative minimum tax. The Fund employs a multi-manager sub-advised structure.
Investment Commentary
The Fund returned 5.19% during the fiscal year ended June 30, 2021. The Fund outperformed its benchmark, the Bloomberg Barclays Municipal 1-15 Year Index, which returned 3.08% during the same period.
The second half of 2020 saw a continuation of record levels of monetary and fiscal policy support, while the global economy began to recover from the COVID-19 pandemic and its material impact on the economy and financial markets. To help support the recovery, the Fed maintained short-term interest rates near zero throughout the fiscal year and the U.S. Government continued to implement a variety of fiscal measures to help stabilize the economy.
Toward the end of 2020, optimism about the availability and efficacy of multiple vaccines and confidence in a continued economic recovery helped to support spread sectors, which performed well throughout the fiscal year. Conversely, accommodative monetary policy, a rebound in inflation measures from extreme lows reached during the depths of the COVID-19 sell-off, and higher growth expectations put upward pressure on interest rates throughout the fiscal year. While interest rates remained anchored in the front-end, long-term yields experienced heightened volatility and moved meaningfully higher, resulting in losses for intermediate- and long-term U.S. Treasury bonds for the fiscal year. Municipal bond yields were more stable throughout the period amidst a continuation of fiscal aid to municipalities and a supportive technical environment with continued strong investor demand. As a result, investment-grade municipal bonds fared relatively well and generated modest gains. Given the supportive environment for risk assets and the strong technical backdrop, high-yield municipal bonds outperformed the investment-grade market by a significant margin with double-digit gains for the fiscal year.
Against this backdrop, the Fund outperformed its benchmark by 2.11% over the fiscal year. The Fund’s outperformance was driven by favorable credit positioning and security selection over the year. The Fund’s overweight exposures to lower quality investment grade bonds, as well as below investment grade issues drove outperformance versus the index, as BBB-rated and high-yield bonds outperformed higher quality segments of the market. Security selection across general obligation and revenue sectors also contributed meaningfully to performance.
| | |
| Annual Report • June 30, 2021 | | 7 |
Bridge Builder Municipal Bond Fund
Management’s Discussion of Fund Performance (Unaudited) (Continued)
Investment Sub-advisers
| | | | | | |
| FlAM LLC allocates assets across different market sectors and maturities, normally investing in investment-grade municipal securities. When selecting investments, FlAM analyzes issuer credit quality, security-specific features, current and potential future valuation and trading opportunities. | | T. Rowe Price Associates Inc. uses an active investment management approach that emphasizes the value of in-depth fundamental credit research, diversification and risk management practices. By using fundamental research, T. Rowe Price seeks to add value through sector weights and issue selection over a full market cycle. | | MacKay Shields, LLC is a fundamental relative-value bond management boutique that believes strong long-term performance can be achieved through an actively managed, research-driven, relative-value approach. Their investment strategy combines a macroeconomic view coupled with credit research driven security selection. In doing so, the investment process seeks to identify mispricings and opportunities for total return with an emphasis on risk management. | | BlackRock Investment Management, LLC takes 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. |
The following chart compares the value of a hypothetical $10,000 investment in the Bridge Builder Municipal Bond Fund from its inception (September 14, 2015) to June 30, 2021 as compared with the Bloomberg Barclays Municipal 1-15 Year Index.
Growth of a Hypothetical $10,000 Investment as of June 30, 2021
vs.
Bloomberg Barclays Municipal 1-15 Year Index
Average Annual Total Returns as of June 30, 2021
| | | | | | | | | | | | |
| | | 1 Year | | | 5 Years | | | Since Inception (9/14/2015) | |
Bridge Builder Municipal Bond Fund | | | 5.19 | % | | | 3.11 | % | | | 3.63 | % |
Bloomberg Barclays Municipal 1-15 Year Index | | | 3.08 | % | | | 2.82 | % | | | 3.37 | % |
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 0.38%(1) and 0.16%(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 | | Annual Report • June 30, 2021 |
Bridge Builder Municipal Bond Fund
Management’s Discussion of Fund Performance (Unaudited) (Continued)
Portfolio Characteristics (3)
| | | | |
| Security Type Breakdown | | (% of Investments) | |
General Revenue | | | 28.4 | % |
Transportation | | | 17.0 | |
General Obligation | | | 16.0 | |
Healthcare | | | 12.3 | |
Utilities | | | 8.3 | |
Education | | | 7.9 | |
Short-Term Investments | | | 5.4 | |
Housing | | | 4.7 | |
| | | | |
| Breakdown by State | | (% of Long-Term Investments) | |
New York | | | 10.4 | % |
Texas | | | 8.6 | |
Illinois | | | 8.6 | |
California | | | 6.3 | |
Florida | | | 5.5 | |
Pennsylvania | | | 4.9 | |
New Jersey | | | 4.9 | |
Georgia | | | 3.3 | |
Washington | | | 3.2 | |
Michigan | | | 2.8 | |
Other | | | 41.5 | |
| | |
| Annual Report • June 30, 2021 | | 9 |
Bridge Builder Large Cap Growth Fund
Management’s Discussion of Fund Performance (Unaudited)
Investment Objective
The investment objective of the Bridge Builder Large Cap Growth Fund (the “Fund”) is to provide capital appreciation.
Summary of the Investment Strategy
The Fund primarily invests in equity securities of large-capitalization companies, which are defined by the Fund as those companies whose market capitalizations at the time of purchase typically fall within the range of the Russell 1000® Index. The Fund follows an investing style that favors growth investments and employs a multi-manager sub-advised structure.
Investment Commentary
For the fiscal year ended June 30, 2021, the Fund returned 41.44%, underperforming its benchmark, the Russell 1000® Growth Index, which returned 42.50%.
For the year, within large capitalization growth stocks, energy and technology led the broad market. Conversely, utilities and consumer staples were the worst-performing sectors over the trailing year, although all sectors were positive. In addition, within the overall large capitalization portion of the market, value stocks outperformed growth stocks for the one-year period.
Compared to its benchmark, the Fund’s relative underperformance was driven predominantly by the underweight allocation to, and stock selection within, the technology sector. Stock selection within communication services was also another headwind to performance. Given the strong performance over the trailing year, cash drag was a meaningful headwind to relative performance versus the index.
Looking forward, we believe strong GDP and corporate earnings growth may be a tailwind for equities, but inflation fears and the Fed’s pivot toward slightly less aggressive policy stimulus may be potential headwinds. While the first rate hike in the U.S. might be still a way off, we expect global central banks to begin laying out a timeline for tapering monetary policy in late 2021. However, we believe there is still plenty of room for the world economy to expand. Growth will likely be moderate but remain robust, helping extend the economic and market cycles.
Investment Sub-advisers
| | | | | | |
| Lazard Asset Management LLC invests primarily in equity securities of U.S. companies that have strong and/or improving financial productivity and are undervalued based on their earnings, cash flow or asset values. | | Sustainable Growth Advisers, LP seeks to identify large- capitalization companies that exhibit characteristics such as pricing power, repeat revenue streams and global reach that seem to have the potential for long-term earnings growth within the context of low business risk. | | Jennison Associates LLC invests in companies that have strong capital appreciation potential. It follows a highly disciplined investment selection and management process of identifying companies that show superior absolute and relative earnings growth and are believed to be attractively valued. | | BlackRock Investment Management, LLC invests in equity securities with the objective of approximating the capitalization weighted total rate of return of the segment of the United States market for publicly traded equity securities represented by the 1,000 largest capitalized companies. |
| | |
| 10 | | Annual Report • June 30, 2021 |
Bridge Builder Large Cap Growth Fund
Management’s Discussion of Fund Performance (Unaudited) (Continued)
The following chart compares the value of a hypothetical $10,000 investment in the Bridge Builder Large Cap Growth Fund from its inception (April 27, 2015) to June 30, 2021 as compared with the Russell 1000® Growth Index.
Growth of a Hypothetical $10,000 Investment as of June 30, 2021
vs.
Russell 1000® Growth Index
Average Total Annual Returns as of June 30, 2021
| | | | | | | | | | | | |
| | | 1 Year | | | 5 Years | | | Since Inception (4/27/2015) | |
Bridge Builder Large Cap Growth Fund | | | 41.44 | % | | | 21.71 | % | | | 17.13 | % |
Russell 1000® Growth Index | | | 42.50 | % | | | 23.66 | % | | | 18.91 | % |
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 0.46%(1) and 0.22%(2), respectively. Performance data current to the most recent month end may be obtained by calling 1.855.823.3611.
The performance table does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or the redemption of Fund shares. Returns shown for the Fund include the reinvestment of all dividends, if any. Total return calculations reflect the effect of the Adviser’s fee waiver agreement for the Fund. If such fee waivers had not occurred, the quoted performance would be lower.
Portfolio Characteristics (3)
| | | | |
| Sector Breakdown | | (% of Investments) | |
Information Technology | | | 34.5 | % |
Healthcare | | | 15.5 | |
Consumer Discretionary | | | 15.0 | |
Communication Services | | | 11.7 | |
Financials | | | 8.0 | |
Industrials | | | 6.1 | |
Consumer Staples | | | 3.1 | |
Materials | | | 2.1 | |
Real Estate | | | 1.8 | |
Short-Term Investments | | | 1.4 | |
Energy | | | 0.8 | |
Utilities | | | 0.0 | * |
| | | | |
| Top Ten Equity Holdings | | (% of Net Assets) | |
Microsoft Corp. | | | 6.2 | % |
Amazon.com, Inc. | | | 3.9 | |
Visa, Inc. – Class A | | | 3.4 | |
Alphabet, Inc. – Class A | | | 3.3 | |
Apple, Inc. | | | 3.0 | |
Facebook, Inc. – Class A | | | 2.7 | |
Salesforce.com, Inc. | | | 2.2 | |
Alphabet, Inc. – Class C | | | 2.1 | |
PayPal Holdings, Inc. | | | 2.1 | |
UnitedHealth Group, Inc. | | | 2.1 | |
| | |
| Annual Report • June 30, 2021 | | 11 |
Bridge Builder Large Cap Value Fund
Management’s Discussion of Fund Performance (Unaudited)
Investment Objective
The investment objective of the Bridge Builder Large Cap Value Fund (the “Fund”) is to provide capital appreciation.
Summary of the Investment Strategy
The Fund primarily invests in equity securities of large capitalization companies, which are defined by the Fund as those companies whose market capitalizations at the time of purchase typically fall within the range of the Russell 1000® Index. The Fund follows an investing style that favors value investments and employs a multi-manager sub-advised structure.
Investment Commentary
For the fiscal year ended June 30, 2021, the Fund returned 49.10%, outperforming its benchmark, the Russell 1000® Value Index, which returned 43.68%.
For the year, within large-capitalization value stocks, financials and consumer discretionary sectors were the strongest performing sectors over the trailing year. Conversely, utilities and consumer staples were the worst-performing sectors, significantly underperforming the broad market. In addition, within the overall large capitalization portion of the market, value stocks outperformed growth stocks for the one-year period.
Compared to the benchmark, tailwinds for the Fund’s relative performance were driven by strong stock selection in technology, communication services and industrials as well as overweights to consumer discretionary and industrials and an underweight to utilities. Performance detractors for the year included poor stock selection within health care and cash drag.
Looking forward, we believe strong GDP and corporate earnings growth may be a tailwind for equities, but inflation fears and the Fed’s pivot toward slightly less aggressive policy stimulus may be potential headwinds. While the first rate hike in the U.S. might be still a way off, we expect global central banks to begin laying out a timeline for tapering monetary policy in late 2021. However, we believe there is still plenty of room for the world economy to expand. Growth will likely be moderate but remain robust, helping extend the economic and market cycles.
Investment Sub-advisers
| | | | | | |
| Artisan Partners Limited Partnership employs a fundamental investment process to construct a diversified portfolio of equity securities that are undervalued, in solid financial condition and have attractive business economics. | | Barrow, Hanley, Mewhinney & Strauss, LLC believes that equity market inefficiencies can best be exploited through adherence to a value-oriented investment process dedicated to the selection of securities on a bottom-up basis. Barrow Hanley implements this strategy by seeking to construct portfolios of individual stocks that reflect three value characteristics: price/earnings and price/book ratios below the market and dividend yields above the market (as measured by the S&P 500 Index). | | Wellington Management Company, LLP uses substantial proprietary, fundamental research resources to identify companies with superior prospects for dividend growth and capital appreciation that sell at reasonable valuation levels. Wellington Management believes that above-average growth in dividends is an effective and often overlooked indicator of higher quality, shareholder-oriented companies that have the ability to produce consistent, above-average returns over the long-term. | | BlackRock Investment Management, LLC invests in equity securities with the objective of approximating the capitalization weighted total rate of return of the segment of the United States market for publicly traded equity securities represented by the 1,000 largest capitalized companies. |
| LSV Asset Management primarily invests in large and medium capitalization U.S. companies and uses a bottom-up investment style, seeking to identify companies that are trading at prices substantially below their intrinsic value. LSV follows an active investment strategy, focusing on using data and financial information and combining such information with the rigor of a quantitative model. | | T. Rowe Price Associates, Inc. active investment approach emphasizes the value of large capitalization stocks that have a strong track record of paying dividends or that are believed to be undervalued. T. Rowe Price’s in-house research team seeks companies that appear to be undervalued by various measures and may be temporarily out of favor but have good prospects for capital appreciation and dividend growth. | | | | |
| | |
| 12 | | Annual Report • June 30, 2021 |
Bridge Builder Large Cap Value Fund
Management’s Discussion of Fund Performance (Unaudited) (Continued)
The following chart compares the value of a hypothetical $10,000 investment in the Bridge Builder Large Cap Value Fund from its inception (April 27, 2015) to June 30, 2021 as compared with the Russell 1000® Value Index.
Growth of a Hypothetical $10,000 Investment as of June 30, 2021
vs.
Russell 1000® Value Index
Average Annual Total Returns as of June 30, 2021
| | | | | | | | | | | | |
| | | 1 Year | | | 5 Years | | | Since Inception (4/27/2015) | |
Bridge Builder Large Cap Value Fund | | | 49.10 | % | | | 14.34 | % | | | 11.59 | % |
Russell 1000® Value Index | | | 43.68 | % | | | 11.87 | % | | | 9.78 | % |
Performance data quoted represents past performance; past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance of the Fund may be lower or higher than the performance quoted. As of the latest prospectus, the gross and net expense ratios of the Fund were 0.46%(1) and 0.24%(2), respectively. Performance data current to the most recent month end may be obtained by calling 1.855.823.3611.
The performance table does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or the redemption of Fund shares. Returns shown for the Fund include the reinvestment of all dividends, if any. Total return calculations reflect the effect of the Adviser’s fee waiver agreement for the Fund. If such fee waivers had not occurred, the quoted performance would be lower.
Portfolio Characteristics (3)
| | | | |
| Sector Breakdown | | (% of Investments) | |
Financials | | | 19.3 | % |
Industrials | | | 16.1 | |
Healthcare | | | 14.9 | |
Consumer Discretionary | | | 10.1 | |
Information Technology | | | 9.1 | |
Consumer Staples | | | 7.7 | |
Communication Services | | | 6.5 | |
Materials | | | 4.7 | |
Energy | | | 3.9 | |
Real Estate | | | 3.6 | |
Utilities | | | 2.8 | |
Short-Term Investments | | | 1.3 | |
| | | | |
| Top Ten Equity Holdings | | (% of Net Assets) | |
Comcast Corp. – Class A | | | 2.0 | % |
Merck & Co., Inc. | | | 1.8 | |
Medtronic Plc | | | 1.6 | |
Raytheon Technologies Corp. | | | 1.5 | |
Goldman Sachs Group, Inc. | | | 1.4 | |
Alphabet, Inc. – Class C | | | 1.4 | |
Wells Fargo & Co. | | | 1.4 | |
UnitedHealth Group, Inc. | | | 1.3 | |
Northrop Grumman Corp. | | | 1.3 | |
American Express Co. | | | 1.2 | |
| | |
| Annual Report • June 30, 2021 | | 13 |
Bridge Builder Small/Mid Cap Growth Fund
Management’s Discussion of Fund Performance (Unaudited)
Investment Objective
The investment objective of the Bridge Builder Small/Mid Cap Growth Fund (the “Fund”) is to provide capital appreciation.
Summary of the Investment Strategy
The Fund primarily invests in equity securities of small- and mid-capitalization companies, which are defined by the Fund as those companies whose market capitalizations at the time of purchase typically fall within the range of the Russell MidCap® Index and the Russell 2000® Index. The Fund follows an investing style that favors growth investments and employs a multi-manager sub-advised structure.
Investment Commentary
For the fiscal year ended June 30, 2021, the Fund returned 46.08%, while its benchmark, the Russell 2500® Growth Index, returned 49.63% for the period, which resulted in overall underperformance.
For the year, small capitalization stocks outperformed mid capitalization stocks. Within the investment universe, strongest performers included the energy and consumer discretionary sectors. The utilities sector was the weakest performer. Within both mid capitalization and small capitalization segments of the market, value stocks outperformed growth stocks.
Compared to its benchmark, the Fund’s relative overweight to mid cap stocks was a headwind and underperformance was driven by challenging sector allocation and stock selection within certain sectors. An overweight to financials and an underweight to consumer discretionary detracted from performance, which was partially offset by an underweight to health care. Stock selection within consumer discretionary, information technology, and industrial sectors also detracted from performance. Cash exposure was also a headwind to the Fund’s performance over the year.
Looking forward, we believe strong GDP and corporate earnings growth may be a tailwind for equities, but inflation fears and the Fed’s pivot toward slightly less aggressive policy stimulus may be potential headwinds. While the first rate hike in the U.S. might be still a way off, we expect global central banks to begin laying out a timeline for tapering monetary policy in late 2021. However, we believe there is still plenty of room for the world economy to expand. Growth will likely be moderate but remain robust, helping extend the economic and market cycles.
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. | | BlackRock Investment Management, LLC invests in equity securities with the objective of approximating the capitalization-weighted total rate of return of the segments 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. | | Artisan Partners Limited Partnership invests primarily in U.S. mid-capitalization growth companies. The team seeks to identify companies that possess franchise characteristics, are benefiting from an accelerating profit cycle and are trading at a discount to its estimate of private market value. |
| | |
| 14 | | Annual Report • June 30, 2021 |
Bridge Builder Small/Mid Cap Growth Fund
Management’s Discussion of Fund Performance (Unaudited) (Continued)
The following chart compares the value of a hypothetical $10,000 investment in the Bridge Builder Small/Mid Cap Growth Fund from its inception (April 27, 2015) to June 30, 2021 as compared with the Russell 2500® Growth Index.
Growth of a Hypothetical $10,000 Investment as of June 30, 2021
vs.
Russell 2500® Growth Index
Average Annual Total Returns as of June 30, 2021
| | | | | | | | | | | | |
| | | 1 Year | | | 5 Years | | | Since Inception (4/27/2015) | |
Bridge Builder Small/Mid Cap Growth Fund | | | 46.08 | % | | | 20.14 | % | | | 15.34 | % |
Russell 2500® Growth Index | | | 49.63 | % | | | 20.68 | % | | | 14.99 | % |
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 0.38%(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 | | | 25.0 | % |
Healthcare | | | 22.5 | |
Industrials | | | 14.8 | |
Consumer Discretionary | | | 12.3 | |
Financials | | | 10.3 | |
Consumer Staples | | | 4.8 | |
Communication Services | | | 4.6 | |
Materials | | | 2.3 | |
Short-Term Investments | | | 1.5 | |
Real Estate | | | 1.2 | |
Energy | | | 0.7 | |
Utilities | | | 0.0 | * |
| | | | |
| Top Ten Equity Holdings | | (% of Net Assets) | |
Veeva Systems, Inc. – Class A | | | 1.6 | % |
Generac Holdings, Inc. | | | 1.4 | |
Fortive Corp. | | | 1.4 | |
Global Payments, Inc. | | | 1.3 | |
Tradeweb Markets, Inc. – Class A | | | 1.3 | |
HubSpot, Inc. | | | 1.2 | |
SVB Financial Group | | | 1.1 | |
Atlassian Corp. Plc – Class A | | | 1.1 | |
Zscaler, Inc. | | | 1.1 | |
Catalent, Inc. | | | 1.0 | |
| | |
| Annual Report • June 30, 2021 | | 15 |
Bridge Builder Small/Mid Cap Value Fund
Management’s Discussion of Fund Performance (Unaudited)
Investment Objective
The investment objective of the Bridge Builder Small/Mid Cap Value Fund (the “Fund”) is to provide capital appreciation.
Summary of the Investment Strategy
The Fund primarily invests in equity securities of small-and mid-capitalization companies, which are defined by the Fund as those companies whose market capitalizations at the time of purchase typically fall within the range of the Russell MidCap® Index and the Russell 2000® Index. The Fund follows an investing style that favors value investments and employs a multi-manager sub-advised structure.
Investment Commentary
For the fiscal year ended June 30, 2021, the Fund returned 58.63%, underperforming its benchmark, the Russell 2500® Value Index, which returned 63.23% for the period.
For the year, small capitalization stocks outperformed mid capitalization stocks. Within the investment universe, strongest performers included the energy and consumer discretionary sectors. The utilities sector was the weakest performer. Within both mid capitalization and small capitalization segments of the market, value stocks outperformed growth stocks.
Compared to its benchmark, the Fund’s relative overweight to mid cap stocks was a headwind and underperformance was driven by challenging sector allocation and stock selection within certain sectors. An underweight to communication services and an overweight to utilities detracted from performance, which was partially offset by an underweight to real estate. Stock selection within consumer discretionary, materials, and utilities sectors also detracted from performance. Cash exposure was also a headwind to the Fund performance over the year.
Looking forward, we believe strong GDP and corporate earnings growth may be a tailwind for equities, but inflation fears and the Fed’s pivot toward slightly less aggressive policy stimulus may be potential headwinds. While the first rate hike in the U.S. might be still a way off, we expect global central banks to begin laying out a timeline for tapering monetary policy in late 2021. However, we believe there is still plenty of room for the world economy to expand. Growth will likely moderate but remain robust, helping extend the economic and market cycles.
Investment Sub-advisers
| | | | | | |
| Vaughan Nelson Investment Management, L.P. uses a bottom- up value-oriented investment process. Vaughan Nelson seeks companies than typically possess one or more of the following attributes: companies earning a positive return on capital with stable-to-improving returns, valued at a discount to their asset value and/or having an attractive and sustainable dividend level. | | Boston Partners Global Investors, Inc. primarily invests in medium-capitalization companies and uses bottom-up fundamental analysis to make investment decisions. Boston Partners’ strategy seeks to add value through bottom-up stock selection. The strategy is designed to identify companies with attractive valuation, sound business fundamentals and improving business momentum. | | Silvercrest Asset Management Group LLC invests in small- capitalization companies that typically possess one or more of the following attributes: business that results in relatively consistent longer-term earnings and cash flow growth, franchise/asset value that may make the company attractive to potential acquirers, cyclically depressed earnings and/or cash flow that has potential for improvement, or a catalyst that will promote recognition of the company’s undervalued status. | | BlackRock Investment Management, LLC invests in equity securities with the objective of approximating the capitalization-weighted total rate of return of the segments 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. |
| | |
| 16 | | Annual Report • June 30, 2021 |
Bridge Builder Small/Mid Cap Value Fund
Management’s Discussion of Fund Performance (Unaudited) (Continued)
| | | | | | |
| 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. typically invests in U.S. equity securities of small to medium market capitalization companies measured at the time of purchase. Diamond Hill’s objective is to seek long-term capital appreciation by investing in companies selling for less than Diamond Hill’s estimate of intrinsic value. | | MFS Investment Management primarily 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. | | American Century Investment Management, Inc. looks for equity securities of smaller companies whose stock price may not reflect the company’s value. The managers attempt to purchase the stocks of these undervalued companies and hold each stock until the price has increased to, or is higher than, a level the managers believe more accurately reflects the value of the company. |
The following chart compares the value of a hypothetical $10,000 investment in the Bridge Builder Small/Mid Cap Value Fund from its inception (April 27, 2015) to June 30, 2021 as compared with the Russell 2500® Value Index.
Growth of a Hypothetical $10,000 Investment as of June 30, 2021
vs.
Russell 2500® Value Index
Average Annual Total Returns as of June 30, 2021
| | | | | | | | | | | | |
| | | 1 Year | | | 5 Years | | | Since Inception (4/27/2015) | |
Bridge Builder Small/Mid Cap Value Fund | | | 58.63 | % | | | 12.42 | % | | | 9.16 | % |
Russell 2500® Value Index | | | 63.23 | % | | | 12.29 | % | | | 9.66 | % |
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 0.42%(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.
| | |
| Annual Report • June 30, 2021 | | 17 |
Bridge Builder Small/Mid Cap Value Fund
Management’s Discussion of Fund Performance (Unaudited) (Continued)
Portfolio Characteristics (3)
| | | | |
| Sector Breakdown | | (% of Investments) | |
Financials | | | 20.9 | % |
Industrials | | | 18.3 | |
Consumer Discretionary | | | 12.5 | |
Information Technology | | | 9.7 | |
Healthcare | | | 9.1 | |
Materials | | | 7.6 | |
Real Estate | | | 5.8 | |
Energy | | | 5.1 | |
Utilities | | | 4.2 | |
Consumer Staples | | | 3.4 | |
Communication Services | | | 1.8 | |
Short-Term Investments | | | 1.6 | |
| | | | |
| Top Ten Equity Holdings | | (% of Net Assets) | |
Skechers USA, Inc. – Class A | | | 0.8 | % |
Huntington Bancshares, Inc. | | | 0.7 | |
Elanco Animal Health, Inc. | | | 0.7 | |
Oshkosh Corp. | | | 0.7 | |
Ameriprise Financial, Inc. | | | 0.7 | |
Diamondback Energy, Inc. | | | 0.6 | |
AMETEK, Inc. | | | 0.6 | |
Pioneer Natural Resources Co. | | | 0.6 | |
Fifth Third Bancorp | | | 0.6 | |
FMC Corp. | | | 0.6 | |
| | |
| 18 | | Annual Report • June 30, 2021 |
Bridge Builder International Equity Fund
Management’s Discussion of Fund Performance (Unaudited)
Investment Objective
The investment objective of the Bridge Builder International Equity Fund (the “Fund”) is to provide capital appreciation.
Summary of the Investment Strategy
The Fund primarily invests in non-U.S. dollar denominated securities of large-capitalization companies that derive a majority of their revenues or profits from a country or countries other than the United States. The Fund employs a multi-manager sub-advised structure.
Investment Commentary
For the fiscal year ended June 30, 2021, the Fund returned 36.84%, while its benchmark, the MSCI EAFE Index, returned 32.35%, which resulted in relative outperformance of 4.49%.
International markets saw a strong rebound during the fiscal year after the COVID-19 virus had impacted much of the world. As countries implemented plans to slow its spread and increased the pace of vaccine rollouts, it led to a decrease in COVID-19 infections and loosening of restrictions. The U.S. dollar generally depreciated versus the currencies of other developed regions, contributing towards the returns of international securities for U.S. investors. Emerging markets performed stronger than developed markets. In developed markets, value stocks outperformed growth stocks, and small-capitalization stocks outperformed large-capitalization stocks. Health care and utilities struggled over the year, while consumer discretionary, materials, and financials performed the strongest as vaccine rollouts led to loosening of restrictions and an opening of economies coming out of the COVID-19 virus.
Compared to its benchmark, the Fund’s relative return was aided by underweights to consumer staples and utilities, overweights to consumer discretionary and information technology, and an allocation to emerging markets. Cash drag and an underweight to materials was a headwind to performance for the year. Positive stock selection, particularly in health care, industrials, and information technology supported relative returns and offset the negative stock selection in the financials and communication services.
Looking forward, we believe strong GDP and corporate earnings growth may be a tailwind for equities, but inflation fears and the Fed’s pivot toward slightly less aggressive policy stimulus may be potential headwinds. While the first rate hike in the U.S. might be still a way off, we expect global central banks to begin laying out a timeline for tapering monetary policy in late 2021. However, we believe there is still plenty of room for the world economy to expand. Growth will likely moderate but remain robust, helping extend the economic and market cycles.
Investment Sub-advisers
| | | | |
| Baillie Gifford Overseas Limited primarily uses proprietary, fundamental research to identify companies for investment that can exhibit sustained, above-average growth with attractive financial characteristics and sustainable competitive advantages. When evaluating individual companies for investment, Baillie Gifford normally focuses on growth/quality, management, valuation and sell discipline. | | BlackRock Investment Management, LLC’s equity index strategies invest in portfolios of international equity securities with the objective of approximating as closely as practicable the capitalization weighted total rates of return of the markets in certain countries for value and growth equity securities traded outside the United States, as represented by the MSCI EAFE Growth and MSCI EAFE Value Indices. | | Marathon Asset Management LLP invests primarily in equity securities of non-U.S. issuers in developed and emerging market countries. Marathon-London focuses on identifying attractive long-term investment opportunities as a result of certain “capital cycle” conditions to invest in stocks in industries where consolidation has occurred and return on investment is expected to rise and/or where barriers to entry exist that may allow elevated return on investment to persist for longer than the market expects. Marathon-London’s portfolio is expected to have low turnover, to be well-diversified, and to have a bias towards the smaller capitalization segments of the market. |
| | |
| Annual Report • June 30, 2021 | | 19 |
Bridge Builder International Equity Fund
Management’s Discussion of Fund Performance (Unaudited) (Continued)
| | | | |
| Pzena Investment Management, LLC focuses on deep value investing, seeking to identify international securities that are trading at prices substantially below their intrinsic value but have solid long term prospects. | | Mondrian Investment Partners Limited employs a long-only, value investment philosophy. Portfolio construction is primarily driven by detailed bottom-up stock selection, based on rigorous dividend discount valuation analysis. | | 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. |
The following chart compares the value of a hypothetical $10,000 investment in the Bridge Builder International Fund from its inception (July 6, 2015) to June 30, 2021 as compared with the MSCI EAFE Index.
Growth of a Hypothetical $10,000 Investment as of June 30, 2021
vs.
MSCI EAFE Index
Average Annual Total Returns as of June 30, 2021
| | | | | | | | | | | | |
| | | 1 Year | | | 5 Years | | | Since Inception (7/06/2015) | |
Bridge Builder International Equity Fund | | | 36.84 | % | | | 11.71 | % | | | 8.75 | % |
MSCI EAFE Index | | | 32.35 | % | | | 10.28 | % | | | 6.81 | % |
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 0.63%(1) and 0.37%(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.
| | |
| 20 | | Annual Report • June 30, 2021 |
Bridge Builder International Equity Fund
Management’s Discussion of Fund Performance (Unaudited) (Continued)
Portfolio Characteristics (3)
| | | | |
| Sector Breakdown | | (% of Investments) | |
Consumer Discretionary | | | 17.7 | % |
Industrials | | | 15.4 | |
Financials | | | 13.8 | |
Healthcare | | | 12.4 | |
Information Technology | | | 12.1 | |
Consumer Staples | | | 7.6 | |
Communication Services | | | 6.8 | |
Materials | | | 5.2 | |
Energy | | | 3.7 | |
Utilities | | | 3.0 | |
Short-Term Investments | | | 2.1 | |
Real Estate | | | 0.2 | |
| | | | |
| Country Breakdown | | (% of Long-Term Investments) | |
Japan | | | 19.1 | % |
United Kingdom | | | 15.4 | |
France | | | 8.0 | |
Germany | | | 7.1 | |
Switzerland | | | 6.1 | |
Netherlands | | | 4.3 | |
China | | | 4.0 | |
Sweden | | | 3.7 | |
Hong Kong | | | 3.4 | |
Taiwan | | | 2.9 | |
Other | | | 26.0 | |
| | | | |
| Top Ten Equity Holdings | | (% of Net Assets) | |
Taiwan Semiconductor Manufacturing Co. Ltd. – ADR | | | 1.4 | % |
Honda Motor Co. Ltd. | | | 1.3 | |
Sanofi SA | | | 1.1 | |
United Overseas Bank Ltd. | | | 1.1 | |
Lloyds Banking Group Plc | | | 1.0 | |
Shopify, Inc. – Class A | | | 1.0 | |
Novartis AG | | | 1.0 | |
LVMH Moet Hennessy Louis Vuitton SE | | | 1.0 | |
Enel SpA | | | 1.0 | |
FUJIFILM Holdings Corp. | | | 1.0 | |
ADR – American Depositary Receipt
| | |
| Annual Report • June 30, 2021 | | 21 |
Bridge Builder Mutual Funds
Management’s Discussion of Fund Performance (Unaudited)
Disclosures
| (1) | | The Gross Expense Ratio, per the Fund’s prospectus, includes all categories of expenses before any expense reductions or fee waivers. |
| (2) | | Olive Street has contractually agreed, until at least October 28, 2022 to waive its management fees to the extent management fees to be paid to the Adviser exceed the management fees the Fund is required to pay the Fund’s Sub-advisers. This contractual agreement may only be changed or eliminated with the approval of the Board of Trustees. Such waivers are not subject to recoupment by Olive Street. |
| (3) | | Fund holdings, sector and portfolio characteristics are subject to change at any time and are not recommendations to buy or sell any security. |
Mutual fund investing involves risk. The value of your investment in a Fund could go down as well as up. Investing in the bond market is subject to certain risks including market, credit, interest-rate and liquidity. Investments in asset-backed, mortgage-related and mortgage-backed securities may be more sensitive to changes in interest rates, prepayments and impairment of the value of the collateral underlying the security.
Investments in lower-rated and non-rated securities presents a greater risk of loss to principal and interest than higher-rated securities. The risks to the municipal bond market can include unusual volatility, liquidity issues, the inability of the issuer to repay the obligation and a tax risk to the investor if the municipal obligation fails to meet requirements. There is no guarantee that all of the municipal bond income will remain exempt from federal or state income taxes. Investments in municipal securities may be adversely affected by unfavorable legislative or political developments and economic developments that impact the financial condition of municipal issuers. Investments in large cap companies may be unable to respond quickly to new competitive challenges, such as changes in technology. They may also not be able to attain the high growth rate of successful smaller companies. Investments in small-and mid-cap companies may involve additional risks such as limited liquidity and greater volatility than larger companies. Investments in non-U.S. dollar-denominated foreign securities (including emerging market securities) may be more sensitive to currency fluctuations, political and economic instability, differing government regulations and liquidity risk. Multi-manager and multi-style management may lead to overlapping securities transactions and higher transaction expenses compared to single investment management styles. Outcomes depend on the skill of the sub-advisers and adviser and the allocation of assets amongst them.
You cannot invest directly in an index.
DEFINITIONS
Bloomberg Barclays U.S. Aggregate Bond Index measures the performance of the U.S. dollar-denominated investment grade, fixed-rate taxable bond market.
Bloomberg Barclays Municipal 1-15 Year Index (1-17) is a subset of the Bloomberg Barclays Municipal Bond Index covering only maturities between 1 and 17 years. The Bloomberg Barclays Municipal Bond Index is an unmanaged index composed of tax-exempt bonds with maturities greater than one year and a minimum credit rating of Baa.
Duration is a measure of the sensitivity of the price of a fixed-income security (or a portfolio of fixed-income securities) to changes in interest rates.
Free Cash Flow is a measure of financial performance calculated as operating cash flow minus capital expenditures. Free cash flow represents the cash that a company is able to generate after laying out the money required to maintain or expand its asset base. Free cash flow is important because it allows a company to pursue opportunities that enhance shareholder value. Without cash, it’s tough to develop new products, make acquisitions, pay dividends and reduce debt.
The Morgan Stanley Capital International (MSCI) Europe, Australasia, Far East (EAFE) Index is an unmanaged index of over 900 companies, and is a generally accepted benchmark for major overseas markets.
Price to Earnings Ratio is a valuation ratio of a company’s current share price compared to its per-share earnings. It is calculated by dividing the current closing price of the stock by the earnings per share of the last four quarters.
Price to Book Ratio is a ratio used to compare a stock’s market value to its book value. It is calculated by dividing the current closing price of the stock by the latest quarter’s book value per share.
The Russell 1000® Index consists of the largest 1,000 companies in a group of 3,000 U.S. companies in the Russell 3000® Index, as ranked by market capitalization.
The Russell 1000® Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. It includes those Russell 1000® companies with higher price-to-book ratios and higher forecasted growth values.
The Russell 1000® Value Index measures the performance of the large-cap value segment of the U.S. equity universe. It includes those Russell 1000® companies with lower price-to-book ratios and lower expected growth values.
The Russell 2000® Index consists of the smallest 2,000 companies in a group of 3,000 U.S. companies in the Russell 3000® Index, as ranked by market capitalization.
| | |
| 22 | | Annual Report • June 30, 2021 |
Bridge Builder Mutual Funds
Management’s Discussion of Fund Performance (Unaudited) (Continued)
The Russell 2000® Growth Index measures the performance of the small-cap growth segment of the U.S. equity universe. It includes those Russell 2000® companies with higher price-to-book ratios and higher forecasted growth values.
The Russell 2000® Value Index measures the performance of the small-cap value segment of the U.S. equity universe. It includes those Russell 2000® companies with lower price-to-book ratios and lower forecasted growth values.
The Russell 2500® Growth Index measures the performance of the small-to mid-cap growth segment of the U.S. equity universe. It includes those Russell 2500® Index companies with higher price-to-book ratios and higher forecasted growth values.
The Russell 2500® Value Index measures the performance of the small-to mid-cap value segment of the U.S. equity universe. It includes those Russell 2500® Index companies with lower price-to-book and lower forecasted growth values.
The Russell 3000® Index measures the performance of the 3,000 largest publicly held companies incorporated in the U.S. based on market capitalization.
The Russell Midcap® Index measures the performance of the mid-cap segment of the U.S. equity universe.
The Russell Midcap® Growth Index measures the performance of the mid-cap growth segment of the U.S. equity universe. It includes those Russell 1000® companies with higher price-to-book ratios and higher forecasted growth values.
The Russell Midcap® Value Index measures the performance of the mid-cap value segment of the U.S. equity universe. It includes those Russell 1000® companies with lower price-to-book ratios and lower forecasted growth values.
The S&P 500 Index, an unmanaged index, consists of 500 stocks chosen for market size, liquidity, and industry group representation. It is a market-value weighted index (stock price times number of shares outstanding), with each stock’s weight in the Index proportionate to its market value.
| | |
| Annual Report • June 30, 2021 | | 23 |
Bridge Builder Mutual Funds
Fund Expense Examples (Unaudited)
As a shareholder of the Funds, you incur two types of costs: (1) ongoing costs, including management fees and other Fund expenses; and (2) Edward Jones Advisory Solutions® program and administrative fees, which are charged outside of the Funds. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
Actual Expenses
The Examples are based on $1,000 invested at the beginning of the period and held for the entire period from January 1, 2021 to June 30, 2021.
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 equals 8.6), then multiply the result by the number in the applicable line under the heading titled “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs of owning shares of a Fund only and do not reflect annual Edward Jones Advisory Solutions® program and administrative fees. If fees of Edward Jones Advisory Solutions® had been included, your costs would have been higher. The second line of the table for each Fund is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds.
| | | | | | | | | | | | | | | | | | | | |
| | | | | | Beginning
account value | | | Ending
account value | | | Annualized
Expense Ratio | | | Expenses paid
during the period* | |
Bridge Builder Core Bond Fund | | | | | | | | | | | | | | | | | | | | |
| | | Actual | | | $ | 1,000.00 | | | $ | 988.80 | | | | 0.13 | % | | $ | 0.64 | |
| | | Hypothetical | | | | 1,000.00 | | | | 1,024.15 | | | | | | | | 0.65 | |
Bridge Builder Core Plus Bond Fund | | | | | | | | | | | | | | | | | | | | |
| | | Actual | | | | 1,000.00 | | | | 994.50 | | | | 0.15 | | | | 0.74 | |
| | | Hypothetical | | | | 1,000.00 | | | | 1,024.05 | | | | | | | | 0.75 | |
Bridge Builder Municipal Bond Fund | | | | | | | | | | | | | | | | | | | | |
| | | Actual | | | | 1,000.00 | | | | 1,016.40 | | | | 0.16 | | | | 0.80 | |
| | | Hypothetical | | | | 1,000.00 | | | | 1,024.00 | | | | | | | | 0.80 | |
Bridge Builder Large Cap Growth Fund | | | | | | | | | | | | | | | | | | | | |
| | | Actual | | | | 1,000.00 | | | | 1,133.70 | | | | 0.19 | | | | 1.01 | |
| | | Hypothetical | | | | 1,000.00 | | | | 1,023.85 | | | | | | | | 0.95 | |
Bridge Builder Large Cap Value Fund | | | | | | | | | | | | | | | | | | | | |
| | | Actual | | | | 1,000.00 | | | | 1,180.90 | | | | 0.23 | | | | 1.24 | |
| | | Hypothetical | | | | 1,000.00 | | | | 1,023.65 | | | | | | | | 1.15 | |
Bridge Builder Small/Mid Cap Growth Fund | | | | | | | | | | | | | | | | | | | | |
| | | Actual | | | | 1,000.00 | | | | 1,115.50 | | | | 0.36 | | | | 1.89 | |
| | | Hypothetical | | | | 1,000.00 | | | | 1,023.01 | | | | | | | | 1.81 | |
Bridge Builder Small/Mid Cap Value Fund | | | | | | | | | | | | | | | | | | | | |
| | | Actual | | | | 1,000.00 | | | | 1,214.80 | | | | 0.39 | | | | 2.14 | |
| | | Hypothetical | | | | 1,000.00 | | | | 1,022.86 | | | | | | | | 1.96 | |
Bridge Builder International Equity Fund | | | | | | | | | | | | | | | | | | | | |
| | | Actual | | | | 1,000.00 | | | | 1,102.50 | | | | 0.31 | | | | 1.62 | |
| | | Hypothetical | | | | 1,000.00 | | | | 1,023.26 | | | | | | | | 1.56 | |
| * | | Expenses are equal to the Funds’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the six-month period). Expenses do not include Edward Jones Advisory Solutions® program and administrative fees, which are charged outside of the Funds. |
| | |
| 24 | | Annual Report • June 30, 2021 |
Bridge Builder Core Bond Fund
Summary Schedule of Investments
June 30, 2021
| | | | | | | | |
| | | Principal
Amount | | | Value | |
BONDS & NOTES – 97.26% | | | | | | | | |
Asset-Backed Obligations – 10.68% | | | | | | | | |
Zais CLO 8 Ltd., 1.13%, (3 Month LIBOR USD + 0.95%), Apr. 2029, Series 2018-1A, Class A (1)(2) | | $ | 38,682,127 | | | $ | 38,641,666 | |
Other Securities (1)(2)(3)(4)(5)(11) | | | 1,856,693,759 | | | | 1,871,681,618 | |
| | | | | | | | |
Total Asset-Backed Obligations | | | | | | | 1,910,323,284 | |
| | | | | | | | |
Corporate Bonds – 32.58% | | | | | | | | |
| Basic Materials – 1.03% | | | | | | | | |
Various Securities (1)(6) | | | 160,374,000 | | | | 183,567,902 | |
| | | | | | | | |
Total Basic Materials | | | | | | | 183,567,902 | |
| | | | | | | | |
| Communications – 2.89% | | | | | | | | |
T-Mobile USA, Inc., 3.88%, Apr. 2030 | | | 38,285,000 | | | | 42,795,739 | |
Other Securities (1) | | | 426,979,000 | | | | 473,849,347 | |
| | | | | | | | |
Total Communications | | | | | | | 516,645,086 | |
| | | | | | | | |
| Consumer, Cyclical – 1.63% | | | | | | | | |
Various Securities (1) | | | 281,652,785 | | | | 292,642,784 | |
| | | | | | | | |
Total Consumer, Cyclical | | | | | | | 292,642,784 | |
| | | | | | | | |
| Consumer, Non-cyclical – 4.32% | | | | | | | | |
Cigna Corp., 4.38%, Oct. 2028 | | | 30,325,000 | | | | 35,268,953 | |
Other Securities (1) | | | 668,015,120 | | | | 736,881,832 | |
| | | | | | | | |
Total Consumer, Non-cyclical | | | | | | | 772,150,785 | |
| | | | | | | | |
| Diversified – 0.03% | | | | | | | | |
Various Securities (1) | | | 5,213,742 | | | | 5,586,750 | |
| | | | | | | | |
Total Diversified | | | | | | | 5,586,750 | |
| | | | | | | | |
| Energy – 3.38% | | | | | | | | |
Various Securities (1) | | | 546,434,000 | | | | 605,443,144 | |
| | | | | | | | |
Total Energy | | | | | | | 605,443,144 | |
| | | | | | | | |
| Financials – 12.48% | | | | | | | | |
Citigroup, Inc., 1.12%, (Secured Overnight Financing Rate + 0.77%), Jan. 2027 (2) | | | 36,088,000 | | | | 35,577,022 | |
Bank of America Corp., 1.66%-7.75%, Dec. 2023-Jul. 2169 (2) | | | 174,030,000 | | | | 184,643,280 | |
Other Securities (1)(2)(4)(12) | | | 1,887,276,000 | | | | 2,013,517,186 | |
| | | | | | | | |
Total Financials | | | | | | | 2,233,737,488 | |
| | | | | | | | |
| Industrials – 1.89% | | | | | | | | |
Various Securities (1)(3) | | | 314,861,000 | | | | 337,642,287 | |
| | | | | | | | |
Total Industrials | | | | | | | 337,642,287 | |
| | | | | | | | |
| Technology – 1.79% | | | | | | | | |
Microchip Technology, Inc., 0.97%, Feb. 2024 (1) | | | 47,789,000 | | | | 47,765,456 | |
Other Securities (1)(12) | | | 254,051,000 | | | | 272,892,705 | |
| | | | | | | | |
Total Technology | | | | | | | 320,658,161 | |
| | | | | | | | |
| Utilities – 3.14% | | | | | | | | |
Various Securities (1)(2) | | | 512,191,160 | | | | 561,251,141 | |
| | | | | | | | |
Total Utilities | | | | | | | 561,251,141 | |
| | | | | | | | |
Total Corporate Bonds | | | | | | | 5,829,325,528 | |
| | | | | | | | |
Government Related – 19.50% | | | | | | | | |
| Other Government Related – 1.73% | | | | | | | | |
Various Securities (1)(2)(4)(7) | | | 270,532,000 | | | | 309,782,427 | |
| | | | | | | | |
Total Other Government Related | | | | | | | 309,782,427 | |
| | | | | | | | |
| U.S. Treasury Obligations – 17.77% | | | | | | | | |
U.S. Treasury Note/Bond, 0.13%, Apr. 2023 | | | 43,080,000 | | | | 42,999,225 | |
U.S. Treasury Note/Bond, 0.13%, May 2023 | | | 85,361,000 | | | | 85,177,607 | |
U.S. Treasury Note/Bond, 0.13%, Jun. 2023 | | | 35,760,000 | | | | 35,674,791 | |
U.S. Treasury Note/Bond, 0.25%, Sep. 2025 | | | 41,038,000 | | | | 40,173,958 | |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2021 | | 25 |
Bridge Builder Core Bond Fund
Summary Schedule of Investments
June 30, 2021 (Continued)
| | | | | | | | |
| | | Principal
Amount | | | Value | |
| U.S. Treasury Obligations – 17.77% – (continued) | | | | | | | | |
U.S. Treasury Note/Bond, 0.38%, Jan. 2026 | | $ | 41,379,000 | | | $ | 40,549,804 | |
U.S. Treasury Note/Bond, 0.50%, Feb. 2026 | | | 61,713,000 | | | | 60,777,662 | |
U.S. Treasury Note/Bond, 0.63%, Aug. 2030 | | | 108,950,000 | | | | 101,502,246 | |
U.S. Treasury Note/Bond, 0.75%, Mar. 2026 | | | 82,999,000 | | | | 82,626,153 | |
U.S. Treasury Note/Bond, 0.75%, Apr. 2026 | | | 49,879,000 | | | | 49,625,708 | |
U.S. Treasury Note/Bond, 0.75%, May 2026 | | | 35,679,000 | | | | 35,475,518 | |
U.S. Treasury Note/Bond, 0.75%, Jan. 2028 | | | 60,000,000 | | | | 58,413,281 | |
U.S. Treasury Note/Bond, 0.88%, Jun. 2026 | | | 36,860,000 | | | | 36,842,722 | |
U.S. Treasury Note/Bond, 1.25%, Jun. 2028 | | | 37,869,000 | | | | 37,928,170 | |
U.S. Treasury Note/Bond, 1.38%, Nov. 2040 | | | 136,649,000 | | | | 122,749,235 | |
U.S. Treasury Note/Bond, 1.63%, Aug. 2029 | | | 48,630,000 | | | | 49,737,472 | |
U.S. Treasury Note/Bond, 1.63%, May 2031 | | | 62,824,000 | | | | 63,785,993 | |
U.S. Treasury Note/Bond, 1.63%, Nov. 2050 | | | 52,856,000 | | | | 47,471,295 | |
U.S. Treasury Note/Bond, 1.75%, Feb. 2022 | | | 37,900,000 | | | | 38,323,414 | |
U.S. Treasury Note/Bond, 1.75%, Dec. 2024 | | | 36,232,800 | | | | 37,704,758 | |
U.S. Treasury Note/Bond, 1.88%, Feb. 2041 | | | 35,542,000 | | | | 34,792,286 | |
U.S. Treasury Note/Bond, 1.88%, Feb. 2051 | | | 64,742,000 | | | | 61,788,146 | |
U.S. Treasury Note/Bond, 2.00%, Nov. 2026 | | | 71,250,000 | | | | 75,191,016 | |
U.S. Treasury Note/Bond, 2.25%, Nov. 2025 | | | 141,771,000 | | | | 150,831,053 | |
U.S. Treasury Note/Bond, 2.25%, Nov. 2027 | | | 130,750,000 | | | | 139,861,641 | |
U.S. Treasury Note/Bond, 2.25%, May 2041 | | | 46,773,000 | | | | 48,665,845 | |
U.S. Treasury Note/Bond, 2.50%, May 2024 | | | 162,263,000 | | | | 171,878,350 | |
U.S. Treasury Note/Bond, 2.50%, Feb. 2045 | | | 132,575,000 | | | | 143,439,935 | |
U.S. Treasury Note/Bond, 2.88%, May 2043 | | | 133,360,000 | | | | 153,374,418 | |
U.S. Treasury Note/Bond, 2.88%, May 2049 | | | 51,136,000 | | | | 59,879,057 | |
U.S. Treasury Note/Bond, 3.38%, Nov. 2048 | | | 48,630,000 | | | | 62,090,632 | |
U.S. Treasury Strip Coupon, 0.00%, Feb. 2032 | | | 46,250,000 | | | | 38,591,484 | |
U.S. Treasury Note/Bond, 0.25%-8.00%, Aug. 2021-Aug. 2050 | | | 720,770,200 | | | | 760,106,015 | |
U.S. Treasury Strip Coupon, 0.00%, Aug. 2021-Aug. 2041 | | | 209,625,000 | | | | 204,051,200 | |
Other Securities (8) | | | 5,622,443 | | | | 6,588,525 | |
| | | | | | | | |
Total U.S. Treasury Obligations | | | | | | | 3,178,668,615 | |
| | | | | | | | |
Total Government Related | | | | | | | 3,488,451,042 | |
| | | | | | | | |
Mortgage-Backed Obligations – 34.50% | | | | | | | | |
Fannie Mae, 2.00%, Jul. 2036 (9) | | | 43,905,000 | | | | 45,284,749 | |
Fannie Mae, 2.00%, Jul. 2050 (9) | | | 166,850,000 | | | | 168,466,361 | |
Fannie Mae, 2.50%, Jul. 2051 (9) | | | 52,795,000 | | | | 54,605,704 | |
Fannie Mae, 2.50%, Aug. 2051 (9) | | | 73,675,000 | | | | 76,057,926 | |
Fannie Mae, 2.50%, Sep. 2051 (9) | | | 86,690,000 | | | | 89,300,859 | |
Fannie Mae, 3.00%, Jul. 2051 (9) | | | 110,600,000 | | | | 115,285,379 | |
Fannie Mae, 3.50%, Jul. 2051 (9) | | | 58,920,000 | | | | 62,019,054 | |
Fannie Mae Pool, 2.00%, May 2041 | | | 39,572,165 | | | | 40,249,341 | |
Fannie Mae Pool, 2.50%, Oct. 2050 | | | 56,934,349 | | | | 58,942,297 | |
Freddie Mac Pool, 2.50%, Oct. 2050 | | | 39,998,869 | | | | 41,737,206 | |
Ginnie Mae, 2.50%, Jul. 2051 (9) | | | 46,830,000 | | | | 48,461,733 | |
Ginnie Mae II Pool, 2.50%, Dec. 2050 | | | 52,345,792 | | | | 54,214,581 | |
Ginnie Mae II Pool, 2.50%, Jan. 2051 | | | 35,548,703 | | | | 36,886,634 | |
Ginnie Mae II Pool, 2.50%, Mar. 2051 | | | 38,995,685 | | | | 40,418,556 | |
Fannie Mae, 2.00%-4.50%, Sep. 2036-Jul. 2051 (9) | | | 29,120,000 | | | | 30,865,677 | |
Fannie Mae Pool, 0.44%-8.50%, Jul. 2021-Jul. 2060 (2)(5) | | | 1,259,428,827 | | | | 1,340,331,675 | |
Fannie Mae-Aces, 0.67%-3.77%, Aug. 2021-Nov. 2033 (2)(5) | | | 356,225,160 | | | | 216,778,794 | |
Freddie Mac Gold Pool, 2.00%-10.00%, Mar. 2022-Feb. 2048 | | | 308,764,724 | | | | 333,236,756 | |
Freddie Mac Multifamily Structured Pass Through Certificates, 0.79%-4.03%, May 2022-Oct. 2033 (2)(5) | | | 625,844,137 | | | | 352,902,926 | |
Freddie Mac Pool, 1.50%-4.50%, Dec. 2034-Jun. 2051 | | | 243,231,611 | | | | 255,988,065 | |
Ginnie Mae, 3.00%-3.50%, Jul. 2051 (9) | | | 17,000,000 | | | | 17,748,043 | |
Ginnie Mae II Pool, 2.00%-8.50%, Mar. 2025-Dec. 2070 (5)(7) | | | 412,629,977 | | | | 442,632,435 | |
Other Securities (1)(2)(3)(4)(5)(11) | | | 2,244,686,182 | | | | 2,249,610,205 | |
| | | | | | | | |
Total Mortgage-Backed Obligations | | | | | | | 6,172,024,956 | |
| | | | | | | | |
Total Bonds & Notes
(Cost: $16,781,937,887) | | | | | | | 17,400,124,810 | |
| | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| 26 | | Annual Report • June 30, 2021 |
Bridge Builder Core Bond Fund
Summary Schedule of Investments
June 30, 2021 (Continued)
| | | | | | | | |
| | | Shares | | | Value | |
PREFERRED STOCKS – 0.01% | | | | | | | | |
| Financials – 0.01% | | | | | | | | |
State Street Corp., 5.35% | | | 95,000 | | | $ | 2,858,550 | |
| | | | | | | | |
Total Financials | | | | | | | 2,858,550 | |
| | | | | | | | |
Total Preferred Stocks
(Cost: $2,375,000) | | | | | | | 2,858,550 | |
| | | | | | | | |
SHORT-TERM INVESTMENTS – 6.76% | | | | | | | | |
| Money Market Funds – 5.92% | | | | | | | | |
Fidelity Institutional Money Market Government Fund – Class I, 0.01% (10) | | | 1,058,986,391 | | | | 1,058,986,391 | |
| | | | | | | | |
Total Money Market Funds | | | | | | | 1,058,986,391 | |
| | | | | | | | |
| | |
| | | Principal
Amount | | | Value | |
| U.S. Treasury Bills – 0.01% | | | | | | | | |
U.S. Treasury Bill, 0.00%, Dec. 2021 (7) | | $ | 2,250,000 | | | | 2,249,502 | |
| | | | | | | | |
Total U.S. Treasury Bills | | | | | | | 2,249,502 | |
| | | | | | | | |
| Time Deposits – 0.83% | | | | | | | | |
Citibank, New York, 0.01% due 07/01/2021 | | | 98,971,621 | | | | 98,971,621 | |
Skandinaviska Enskilda Banken AB, Stockholm, 0.01% due 07/01/2021 | | | 49,187,729 | | | | 49,187,729 | |
| | | | | | | | |
Total Time Deposits | | | | | | | 148,159,350 | |
| | | | | | | | |
Total Short-Term Investments
(Cost: $1,209,394,768) | | | | | | | 1,209,395,243 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES – 104.03%
(Cost: $17,993,707,655) | | | | | | | 18,612,378,603 | |
LIABILITIES IN EXCESS OF OTHER ASSETS – (4.03)% | | | | | | | (721,527,960 | ) |
| | | | | | | | |
TOTAL NET ASSETS – 100.00% | | | | | | $ | 17,890,850,643 | |
| | | | | | | | |
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 totals $3,751,105,881, which represents 20.97% of total net assets. |
| (2) | | Variable rate security or includes variable rate securities based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2021. |
| (3) | | Includes step-up bonds 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 June 30, 2021. |
| (4) | | Includes inverse floating rate securities whose interest rate moves in the opposite direction of reference interest rates. Reference interest rates are typically based on a negative multiplier or slope. |
| (5) | | Includes variable rate securities. The coupon is based on an underlying pool of assets. The rate reported is the rate in effect as of June 30, 2021. |
| (6) | | Includes securities in default as of June 30, 2021. The value of these securities totals $416,175, which represents 0.00% of total net assets. |
| (7) | | Assigned as collateral for certain futures contracts. The value of these pledged issues totals $41,173,639, which represents 0.23% of total net assets. |
| (8) | | Includes inflation protected securities. The value of these securities totals $6,588,525, which represents 0.04% of total net assets. |
| (9) | | Delayed delivery purchase commitment security or includes delayed delivery purchase commitment securities. The value of these securities totals $708,095,485, which represents 3.96% of total net assets. |
| (10) | | Represents annualized seven-day yield as of the close of the reporting period. |
| (11) | | Includes securities categorized as Level 3 per the Trust’s fair value hierarchy. The value of these securities totals $162,009,009, which represents 0.91% of total net assets. |
| (12) | | Includes securities restricted at June 30, 2021. The value of the restricted securities totals $34,684,108, which represents 0.19% of total net assets. |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2021 | | 27 |
Bridge Builder Core Bond Fund
Summary Schedule of Investments
June 30, 2021 (Continued)
Open Futures Contracts
| | | | | | | | | | | | | | | | | | | | | | |
Number of Contracts
Purchased | | Reference Entity | | Counterparty | | | Expiration
Date | | | Notional
Amount | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
| 1,761 | | U.S. 2 Year Note Future | | | J.P. Morgan | | | | Sep. 2021 | | | $ | 388,553,968 | | | $ | 387,984,069 | | | $ | (569,899 | ) |
| 1,887 | | U.S. 5 Year Note Future | | | J.P. Morgan | | | | Sep. 2021 | | | | 233,636,873 | | | | 232,911,821 | | | | (725,052 | ) |
| 1,135 | | U.S. Long Bond Future | | | J.P. Morgan | | | | Sep. 2021 | | | | 177,733,278 | | | | 182,451,250 | | | | 4,717,972 | |
| 1,584 | | U.S. Ultra Bond Future | | | J.P. Morgan | | | | Sep. 2021 | | | | 292,875,101 | | | | 305,217,000 | | | | 12,341,899 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | 15,764,920 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Number of Contracts
Sold | | Reference Entity | | Counterparty | | | Expiration
Date | | | Notional
Amount | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
| (72) | | U.S. 10 Year Note Future | | | J.P. Morgan | | | | Sep. 2021 | | | $ | (9,523,407 | ) | | $ | (9,540,000 | ) | | $ | (16,593 | ) |
| (487) | | U.S. Ultra 10 Year Note Future | | | J.P. Morgan | | | | Sep. 2021 | | | | (70,319,414 | ) | | | (71,687,922 | ) | | | (1,368,508 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | (1,385,101 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | 14,379,819 | |
| | | | | | | | | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| 28 | | Annual Report • June 30, 2021 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
June 30, 2021
| | | | | | | | |
| | | Principal
Amount | | | Value | |
BONDS & NOTES – 93.06% | | | | | | | | |
Asset-Backed Obligations – 9.36% | | | | | | | | |
Various Securities *(1)(2)(3)(4)(5) | | $ | 3,113,621,532 | | | $ | 3,060,468,136 | |
| | | | | | | | |
Total Asset-Backed Obligations | | | | | | | 3,060,468,136 | |
| | | | | | | | |
Corporate Bonds – 33.46% | | | | | | | | |
| Basic Materials – 0.76% | | | | | | | | |
Various Securities *(2) | | | 227,093,000 | | | | 249,085,158 | |
| | | | | | | | |
Total Basic Materials | | | | 249,085,158 | |
| | | | | |
| Communications – 4.56% | | | | | | | | |
Various Securities *(2)(6) | | | 1,412,911,001 | | | | 1,490,166,554 | |
| | | | | | | | |
Total Communications | | | | 1,490,166,554 | |
| | | | | |
| Consumer, Cyclical – 3.18% | | | | | | | | |
Various Securities *(1)(2)(5) | | | 986,388,027 | | | | 1,041,062,182 | |
| | | | | | | | |
Total Consumer, Cyclical | | | | 1,041,062,182 | |
| | | | | |
| Consumer, Non-cyclical – 5.10% | | | | | | | | |
Various Securities *(2) | | | 1,534,536,387 | | | | 1,666,792,253 | |
| | | | | | | | |
Total Consumer, Non-cyclical | | | | 1,666,792,253 | |
| | | | | |
| Diversified – 0.02% | | | | | | | | |
CVS Pass-Through Trust Series 2013, 4.70%, Jan. 2036 (2) | | | 4,503,127 | | | | 5,103,032 | |
| | | | | | | | |
Total Diversified | | | | 5,103,032 | |
| | | | | |
| Energy – 2.58% | | | | | | | | |
Various Securities *(1)(2)(6)(7) | | | 784,249,400 | | | | 842,962,499 | |
| | | | | | | | |
Total Energy | | | | 842,962,499 | |
| | | | | |
| Financials – 12.09% | | | | | | | | |
Various Securities *(1)(2)(3)(5)(6)(17) | | | 3,717,032,132 | | | | 3,952,311,917 | |
| | | | | | | | |
Total Financials | | | | 3,952,311,917 | |
| | | | | |
| Government – 0.11% | | | | | | | | |
Various Securities * | | | 9,496,645,000 | | | | 36,899,669 | |
| | | | | | | | |
Total Government | | | | 36,899,669 | |
| | | | | |
| Industrials – 1.58% | | | | | | | | |
Various Securities *(1)(2) | | | 480,098,000 | | | | 518,072,297 | |
| | | | | | | | |
Total Industrials | | | | 518,072,297 | |
| | | | | |
| Technology – 1.48% | | | | | | | | |
Various Securities (1)(2)(17) | | | 454,523,000 | | | | 482,641,447 | |
| | | | | | | | |
Total Technology | | | | 482,641,447 | |
| | | | | |
| Utilities – 2.00% | | | | | | | | |
Various Securities (2) | | | 625,061,000 | | | | 653,266,656 | |
| | | | | | | | |
Total Utilities | | | | 653,266,656 | |
| | | | | |
Total Corporate Bonds | | | | | | | 10,938,363,664 | |
| | | | | | | | |
Convertible Securities – 0.21% | | | | | | | | |
| Communications – 0.11% | | | | | | | | |
Various Securities (2) | | | 32,305,000 | | | | 34,600,699 | |
| | | | | | | | |
Total Communications | | | | 34,600,699 | |
| | | | | |
| Consumer, Cyclical – 0.03% | | | | | | | | |
Various Securities (2) | | | 8,045,000 | | | | 9,590,734 | |
| | | | | | | | |
Total Consumer, Cyclical | | | | 9,590,734 | |
| | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2021 | | 29 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
June 30, 2021 (Continued)
| | | | | | | | |
| | | Principal
Amount | | | Value | |
| Consumer, Non-cyclical – 0.07% | | | | | | | | |
Various Securities | | $ | 21,230,000 | | | $ | 23,054,984 | |
| | | | | | | | |
Total Consumer, Non-cyclical | | | | 23,054,984 | |
| | | | | |
Total Convertible Securities | | | | | | | 67,246,417 | |
| | | | | | | | |
Government Related – 25.54% | | | | | | | | |
| Other Government Related – 2.31% | | | | | | | | |
Brazil Letras do Tesouro Nacional, 0.00%, Oct. 2021 | | BRL | 515,000,000 | | | | 102,292,930 | |
Republic of South Africa Government Bond, 10.50%, Dec. 2026 | | ZAR | 1,668,900,000 | | | | 132,845,842 | |
Other Securities *(1)(2)(3)(6)(17) | | $ | 4,644,439,893 | | | | 520,220,018 | |
| | | | | | | | |
Total Other Government Related | | | | 755,358,790 | |
| | | | | |
| U.S. Treasury Obligations – 23.23% | | | | | | | | |
U.S. Treasury Note/Bond, 0.13%, Apr. 2022 | | | 78,405,000 | | | | 78,429,502 | |
U.S. Treasury Note/Bond, 0.13%, Sep. 2022 | | | 78,645,000 | | | | 78,632,712 | |
U.S. Treasury Note/Bond, 0.13%, Feb. 2023 | | | 241,370,000 | | | | 241,068,288 | |
U.S. Treasury Note/Bond, 0.13%, Apr. 2023 | | | 294,000,000 | | | | 293,448,750 | |
U.S. Treasury Note/Bond, 0.13%, May 2023 | | | 706,508,000 | | | | 704,990,110 | |
U.S. Treasury Note/Bond, 0.13%, Jun. 2023 | | | 214,920,000 | | | | 214,407,886 | |
U.S. Treasury Note/Bond, 0.13%, Jan. 2024 (8) | | | 194,040,000 | | | | 192,865,148 | |
U.S. Treasury Note/Bond, 0.13%, Feb. 2024 | | | 92,000,000 | | | | 91,407,031 | |
U.S. Treasury Note/Bond, 0.25%, Mar. 2024 | | | 211,835,000 | | | | 210,990,969 | |
U.S. Treasury Note/Bond, 0.25%, May 2024 | | | 124,515,000 | | | | 123,834,059 | |
U.S. Treasury Note/Bond, 0.25%, Jun. 2024 | | | 81,240,000 | | | | 80,744,944 | |
U.S. Treasury Note/Bond, 0.38%, Mar. 2022 | | | 83,370,000 | | | | 83,552,372 | |
U.S. Treasury Note/Bond, 0.75%, Mar. 2026 | | | 342,476,000 | | | | 340,937,533 | |
U.S. Treasury Note/Bond, 0.75%, Apr. 2026 | | | 743,580,000 | | | | 739,804,012 | |
U.S. Treasury Note/Bond, 0.75%, May 2026 | | | 438,415,000 | | | | 435,914,667 | |
U.S. Treasury Note/Bond, 0.88%, Jun. 2026 | | | 86,875,000 | | | | 86,834,277 | |
U.S. Treasury Note/Bond, 0.88%, Nov. 2030 | | | 417,800,000 | | | | 397,301,687 | |
U.S. Treasury Note/Bond, 1.13%, Aug. 2021 | | | 155,800,000 | | | | 156,078,851 | |
U.S. Treasury Note/Bond, 1.13%, Feb. 2028 | | | 76,082,000 | | | | 75,856,132 | |
U.S. Treasury Note/Bond, 1.13%, Feb. 2031 | | | 698,900,000 | | | | 678,479,016 | |
U.S. Treasury Note/Bond, 1.25%, Mar. 2028 | | | 250,000,000 | | | | 250,986,328 | |
U.S. Treasury Note/Bond, 1.63%, May 2031 | | | 143,662,000 | | | | 145,861,824 | |
U.S. Treasury Note/Bond, 1.88%, Feb. 2041 | | | 266,149,000 | | | | 260,534,920 | |
U.S. Treasury Note/Bond, 1.88%, Feb. 2051 | | | 371,850,000 | | | | 354,884,344 | |
U.S. Treasury Note/Bond, 2.25%, Aug. 2049 | | | 116,300,000 | | | | 120,479,531 | |
U.S. Treasury Note/Bond, 2.38%, May 2051 | | | 434,498,000 | | | | 463,894,505 | |
U.S. Treasury Note/Bond, 2.75%, Aug. 2021 | | | 79,300,000 | | | | 79,566,591 | |
U.S. Treasury Note/Bond, 3.00%, Feb. 2049 | | | 64,740,000 | | | | 77,508,447 | |
U.S. Treasury Note/Bond, 0.13%-3.13%, May 2022-Aug. 2050 (8) | | | 426,820,000 | | | | 434,854,948 | |
Other Securities (8)(9) | | | 84,843,364 | | | | 98,993,844 | |
| | | | | | | | |
Total U.S. Treasury Obligations | | | | 7,593,143,228 | |
| | | | | |
Total Government Related | | | | | | | 8,348,502,018 | |
| | | | | | | | |
Mortgage-Backed Obligations – 24.49% | | | | | | | | |
Extended Stay America Trust, 1.16%, (1 Month LIBOR USD + 1.08%, 1.08% Floor), Jul. 2038 (1)(2) | | | 74,600,000 | | | | 74,809,678 | |
Fannie Mae, 1.50%, Aug. 2051 (10) | | | 90,950,000 | | | | 91,927,137 | |
Fannie Mae, 2.00%, Aug. 2036 (10) | | | 141,775,000 | | | | 146,022,922 | |
Fannie Mae, 2.00%, Jul. 2050 (10) | | | 128,825,000 | | | | 130,072,993 | |
Fannie Mae, 2.00%, Aug. 2051 (10) | | | 696,625,000 | | | | 702,012,962 | |
Fannie Mae, 2.00%, Sep. 2051 (10) | | | 99,000,000 | | | | 99,560,743 | |
Fannie Mae, 2.50%, Jul. 2051 (10) | | | 77,525,000 | | | | 80,183,866 | |
Fannie Mae, 2.50%, Aug. 2051 (10) | | | 770,225,000 | | | | 795,136,965 | |
Fannie Mae, 3.00%, Aug. 2051 (10) | | | 105,100,000 | | | | 109,482,588 | |
Fannie Mae, 4.00%, Jul. 2051 (10) | | | 435,345,000 | | | | 463,574,402 | |
Fannie Mae, 4.00%, Aug. 2051 (10) | | | 110,500,000 | | | | 117,760,196 | |
Fannie Mae Pool, 2.00%, Apr. 2051 | | | 226,464,889 | | | | 228,812,435 | |
The accompanying notes are an integral part of these financial statements.
| | |
| 30 | | Annual Report • June 30, 2021 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
June 30, 2021 (Continued)
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Mortgage-Backed Obligations – 24.49% – (continued) | | | | | | | | |
Fannie Mae Pool, 2.50%, Feb. 2051 | | $ | 77,218,173 | | | $ | 80,210,028 | |
Freddie Mac Pool, 2.00%, Apr. 2051 | | | 93,677,430 | | | | 94,648,507 | |
Ginnie Mae, 2.50%, Jul. 2051 (10) | | | 73,130,000 | | | | 75,678,124 | |
Ginnie Mae, 2.50%, Aug. 2051 (10) | | | 121,075,000 | | | | 125,071,422 | |
Towd Point Mortgage Funding, 0.95%, (3 Month Sterling Overnight Interbank Average Rate + 0.90%), Jul. 2045 (1)(2) | | GBP | 85,837,655 | | | | 119,064,571 | |
Towd Point Mortgage Trust 2019-4, 2.90%, Oct. 2059 (2)(4) | | $ | 85,918,655 | | | | 88,852,167 | |
Fannie Mae, 1.50%-4.50%, Jul. 2036-Sep. 2051 (10) | | | 114,065,000 | | | | 119,374,325 | |
Fannie Mae Pool, 1.50%-6.50%, Nov. 2027-Jul. 2051 | | | 913,687,331 | | | | 970,309,071 | |
Freddie Mac Gold Pool, 2.50%-8.00%, Jul. 2030-Nov. 2048 | | | 309,003,655 | | | | 333,321,349 | |
Freddie Mac Pool, 2.00%-5.00%, May 2031-Jun. 2051 | | | 264,025,745 | | | | 278,704,341 | |
Ginnie Mae, 2.00%-3.50%, Jul. 2051-Aug. 2051 (10) | | | 103,610,000 | | | | 106,631,397 | |
Ginnie Mae II Pool, 2.00%-5.50%, Jul. 2036-Apr. 2051 | | | 363,588,585 | | | | 386,088,257 | |
Other Securities *(1)(2)(3)(4)(5) | | | 2,441,366,566 | | | | 2,187,696,966 | |
| | | | | | | | |
Total Mortgage-Backed Obligations | | | | | | | 8,005,007,412 | |
| | | | | | | | |
Total Bonds & Notes
(Cost: $29,812,234,452) | | | | | | | 30,419,587,647 | |
| | | | | |
BANK LOANS – 2.89% | | | | | | | | |
Various Securities *(1)(17) | | | 942,568,029 | | | | 944,975,895 | |
| | | | | | | | |
Total Bank Loans
(Cost: $942,864,063) | | | | | | | 944,975,895 | |
| | | | | |
| | |
| | | Shares | | | Value | |
COMMON STOCKS – 0.11% | | | | | | | | |
| Communications – 0.09% | | | | | | | | |
Various Securities (11)(16) | | | 2,929,323 | | | | 27,745,164 | |
| | | | | | | | |
Total Communications | | | | 27,745,164 | |
| | | | | |
| Consumer Discretionary – 0.02% | | | | | | | | |
Neiman Marcus Group, Inc. (11)(16)(17) | | | 62,326 | | | | 6,887,023 | |
| | | | | | | | |
Total Consumer Discretionary | | | | 6,887,023 | |
| | | | | |
| Energy – 0.00% (12) | | | | | | | | |
Various Securities (11)(16)(17) | | | 17,432 | | | | 426,476 | |
| | | | | | | | |
Total Energy | | | | 426,476 | |
| | | | | |
| Financials – 0.00% (12) | | | | | | | | |
Voyager Aviation Holdings LLC (2)(11)(13)(16) | | | 31 | | | | — | |
| | | | | | | | |
Total Financials | | | | — | |
| | | | | | | | |
| Industrials – 0.00% (12) | | | | | | | | |
AMI Investments LLC (11)(16)(17) | | | 206,310 | | | | 1,179,062 | |
| | | | | | | | |
Total Industrials | | | | 1,179,062 | |
| | | | | |
Total Common Stocks
(Cost: $29,822,378) | | | | | | | 36,237,725 | |
| | | | | |
CONVERTIBLE PREFERRED STOCKS – 0.15% | | | | | | | | |
| Consumer, Non-cyclical – 0.03% | | | | | | | | |
Bunge Ltd., 4.88% | | | 89,011 | | | | 10,345,748 | |
| | | | | | | | |
Total Consumer, Non-cyclical | | | | 10,345,748 | |
| | | | | |
| Financials – 0.12% | | | | | | | | |
Various Securities | | | 25,982 | | | | 38,144,332 | |
| | | | | | | | |
Total Financials | | | | 38,144,332 | |
| | | | | |
Total Convertible Preferred Stocks
(Cost: $45,616,285) | | | | | | | 48,490,080 | |
| | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2021 | | 31 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
June 30, 2021 (Continued)
| | | | | | | | |
| | |
| | | Shares | | | Value | |
PREFERRED STOCKS – 0.07% | | | | | | | | |
| Communications – 0.07% | | | | | | | | |
AT&T Mobility II LLC, 7.00% (11)(16)(17) | | | 1,036,052 | | | $ | 24,271,694 | |
| | | | | | | | |
Total Communications | | | | 24,271,694 | |
| | | | | |
| Financials – 0.00% (12) | | | | | | | | |
Cayenne Aviation Holdings LLC (16) | | | 186 | | | | 7,400 | |
| | | | | | | | |
Total Financials | | | | 7,400 | |
| | | | | |
Total Preferred Stocks
(Cost: $28,083,994) | | | | | | | 24,279,094 | |
| | | | | |
WARRANTS – 0.00% (12) | | | | | | | | |
Windstream Holdings II LLC, expires 09/21/2055 (11)(16) | | | 9,444 | | | | 80,664 | |
| | | | | | | | |
Total Warrants
(Cost: $91,586) | | | | | | | 80,664 | |
| | | | | |
SHORT-TERM INVESTMENTS – 13.79% | | | | | | | | |
| Money Market Funds – 3.92% | | | | | | | | |
Fidelity Institutional Money Market Government Fund-Class I, 0.01% (14) | | | 1,280,070,132 | | | | 1,280,070,132 | |
| | | | | | | | |
Total Money Market Funds | | | | | | | 1,280,070,132 | |
| | | | | | | | |
| | |
| | | Principal
Amount | | | Value | |
| Government Related – 0.07% | | | | | | | | |
Various Securities* | | $ | 1,408,811,000 | | | | 22,018,261 | |
| | | | | | | | |
Total Government Related | | | | | | | 22,018,261 | |
| | | | | | | | |
| Repurchase Agreements – 1.15% | | | | | | | | |
Bank of America Securities, Inc., 0.04% dated 06/28/2021, due 07/06/2021, repurchase price $150,001,333 (collateralized by U.S. Treasury Bond, value $153,805,419, 4.50%, 05/15/2038) | | | 150,000,000 | | | | 150,000,000 | |
BNP Paribas SA, 0.03% dated 06/30/2021, due 07/01/2021, repurchase price $226,500,189 (collateralized by U.S. Treasury Note, value $231,309,327, 2.75%, 02/15/2028) | | | 226,500,000 | | | | 226,500,000 | |
| | | | | | | | |
Total Repurchase Agreements | | | | | | | 376,500,000 | |
| | | | | | | | |
| U.S. Treasury Bills – 8.56% | | | | | | | | |
U.S. Cash Management Bill, 0.00%-0.03%, Aug. 2021-Oct. 2021 | | | 903,260,000 | | | | 903,157,835 | |
U.S. Treasury Bill, 0.00%, Jul. 2021-Dec. 2021 (8) | | | 1,893,695,000 | | | | 1,893,592,297 | |
| | | | | | | | |
Total U.S. Treasury Bills | | | | | | | 2,796,750,132 | |
| | | | | | | | |
| Time Deposits – 0.09% | | | | | | | | |
Bank of Montreal, London, 0.01% due 07/01/2021 | | | 1,374,027 | | | | 1,374,027 | |
BBVA, Madrid, 0.01% due 07/01/2021 | | | 17,034,139 | | | | 17,034,139 | |
BNP Paribas, Paris, -1.83% due 07/01/2021 | | CHF | 118,248 | | | | 127,801 | |
BNP Paribas, Paris, -0.78% due 07/01/2021 | | EUR | 937,807 | | | | 1,112,005 | |
BNP Paribas, Paris, -0.61% due 07/01/2021 | | SEK | 345 | | | | 40 | |
Brown Brothers Harriman, -0.60% due 07/01/2021 | | NZD | 88,917 | | | | 62,153 | |
Brown Brothers Harriman, -0.44% due 07/01/2021 | | AUD | 1,229,930 | | | | 922,386 | |
Brown Brothers Harriman, 3.90% due 07/01/2021 | | ZAR | 2,861,481 | | | | 200,384 | |
Citibank, London, 0.01% due 07/01/2021 | | GBP | 5,941,467 | | | | 8,218,831 | |
Nordea Bank ABP, Oslo, -1.08% due 07/01/2021 | | NOK | 1,549 | | | | 180 | |
Royal Bank of Canada, Toronto, 0.01% due 07/02/2021 | | CAD | 334,294 | | | | 269,678 | |
Skandinaviska Enskilda Banken AB, Stockholm, -0.61% due 07/01/2021 | | SEK | 386 | | | | 45 | |
Skandinaviska Enskilda Banken AB, Stockholm, 0.01% due 07/01/2021 | | $ | 899,888 | | | | 899,888 | |
Sumitomo, Tokyo, 0.01% due 07/01/2021 | | | 560,188 | | | | 560,188 | |
| | | | | | | | |
Total Time Deposits | | | | | | | 30,781,745 | |
| | | | | | | | |
Total Short-Term Investments
(Cost: $4,504,982,344) | | | | | | | 4,506,120,270 | |
| | | | | |
TOTAL INVESTMENTS IN SECURITIES – 110.07%
(Cost: $35,363,695,102) | | | | | | | 35,979,771,375 | |
The accompanying notes are an integral part of these financial statements.
| | |
| 32 | | Annual Report • June 30, 2021 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
June 30, 2021 (Continued)
| | | | | | | | |
| | |
| | | Principal
Amount | | | Value | |
TBA SALE COMMITMENTS – (1.19)% | | | | | | | | |
| Mortgage-Backed Obligations – (1.19)% | | | | | | | | |
Fannie Mae, 3.00%-4.00%, Jul. 2051-Aug. 2051 (15) | | $ | (364,200,000 | ) | | $ | (387,789,070 | ) |
| | | | | | | | |
Total TBA Sale Commitments
(Proceeds Received: $(388,724,795)) | | | | | | | (387,789,070 | ) |
LIABILITIES IN EXCESS OF OTHER ASSETS – (8.88)% | | | | | | | (2,902,130,212 | ) |
| | | | | | | | |
TOTAL NET ASSETS – 100.00% | | | | | | $ | 32,689,852,093 | |
| | | | | | | | |
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. |
| (1) | | Variable rate security or includes variable rate securities based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2021. |
| (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 totals $7,036,178,680, which represents 21.52% of total net assets. |
| (3) | | Includes step-up bonds 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 June 30, 2021. |
| (4) | | Variable rate security or includes variable rate securities. The coupon is based on an underlying pool of assets. The rate reported is the rate in effect as of June 30, 2021. |
| (5) | | 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) | | Includes securities in default as of June 30, 2021. The value of these securities totals $48,148,298, which represents 0.15% of total net assets. |
| (7) | | Includes payment in-kind security for which part of the income earned may be paid as additional principal. |
| (8) | | Partially assigned as collateral for certain futures contracts, swap contracts and delayed delivery securities. The value of these pledged issues totals $120,933,910, which represents 0.37% of total net assets. |
| (9) | | Includes inflation protected securities. The value of these securities totals $98,993,844, which represents 0.30% of total net assets. |
| (10) | | Delayed delivery purchase commitment security. The value of these securities totals $3,162,490,042, which represents 9.67% of total net assets. |
| (11) | | Non-income producing security or includes securities that are non-income producing. |
| (12) | | Amount calculated is less than 0.005%. |
| (13) | | Amount calculated is less than $0.5. |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2021 | | 33 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
June 30, 2021 (Continued)
| (14) | | Represents annualized seven-day yield as of the close of the reporting period. |
| (15) | | Delayed delivery sale commitment security. The value of these securities totals $(387,789,070), which represents (1.19)% of total net assets. |
| (16) | | Security or includes securities categorized as Level 3 per the Trust’s fair value hierarchy. These securities represent $41,323,088 or 0.13% of the Fund’s net assets. |
| (17) | | Security that is restricted or includes securities restricted at June 30, 2021. The value of the restricted securities totals $138,926,835, which represents 0.42% of total net assets. |
Open Futures Contracts
| | | | | | | | | | | | | | | | | | | | | | |
Number of Contracts
Purchased | | Reference Entity | | Counterparty | | | Expiration
Date | | | Notional
Amount | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
| 275 | | Australian 10 Year Bond Future | | | Goldman Sachs | | | | Sep. 2021 | | | AUD | 38,893,106 | | | $ | 29,118,288 | | | $ | (49,596 | ) |
| 621 | | Euro-Btp Future | | | Goldman Sachs | | | | Sep. 2021 | | | EUR | 93,192,300 | | | | 111,490,865 | | | | 988,097 | |
| 1,932 | | U.S. 2 Year Note Future | | | Citigroup Global Markets | | | | Sep. 2021 | | | $ | 426,443,718 | | | | 425,658,843 | | | | (784,875 | ) |
| 417 | | U.S. 2 Year Note Future | | | Goldman Sachs | | | | Sep. 2021 | | | | 92,003,883 | | | | 91,873,570 | | | | (130,313 | ) |
| 3,117 | | U.S. 5 Year Note Future | | | Citigroup Global Markets | | | | Sep. 2021 | | | | 386,140,096 | | | | 384,730,338 | | | | (1,409,758 | ) |
| 8,287 | | U.S. 10 Year Note Future | | | Goldman Sachs | | | | Sep. 2021 | | | | 1,091,691,297 | | | | 1,098,027,500 | | | | 6,336,203 | |
| 2,693 | | U.S. Long Bond Future | | | Goldman Sachs | | | | Sep. 2021 | | | | 426,251,898 | | | | 432,899,750 | | | | 6,647,852 | |
| 2 | | U.S. Ultra 10 Year Note Future | | | Citigroup Global Markets | | | | Sep. 2021 | | | | 289,250 | | | | 294,406 | | | | 5,156 | |
| 41 | | U.S. Ultra Bond Future | | | Citigroup Global Markets | | | | Sep. 2021 | | | | 7,559,346 | | | | 7,900,188 | | | | 340,842 | |
| 3,590 | | U.S. Ultra Bond Future | | | Goldman Sachs | | | | Sep. 2021 | | | | 662,436,282 | | | | 691,748,125 | | | | 29,311,843 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | 41,255,451 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Number of Contracts
Sold | | Reference Entity | | Counterparty | | | Expiration
Date | | | Notional
Amount | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
| (304) | | Euro-Bund Future | | | Goldman Sachs | | | | Sep. 2021 | | | EUR | (52,134,470) | | | $ | (62,220,380 | ) | | $ | (401,934 | ) |
| (2,143) | | U.S. 5 Year Note Future | | | Goldman Sachs | | | | Sep. 2021 | | | $ | (265,603,639 | ) | | | (264,509,821 | ) | | | 1,093,818 | |
| (330) | | U.S. Long Bond Future | | | Goldman Sachs | | | | Sep. 2021 | | | | (51,445,195 | ) | | | (53,047,500 | ) | | | (1,602,305 | ) |
| (1,080) | | U.S. Ultra 10 Year Note Future | | | Goldman Sachs | | | | Sep. 2021 | | | | (156,827,039 | ) | | | (158,979,375 | ) | | | (2,152,336 | ) |
| (1,845) | | U.S. Ultra 10 Year Note Future | | | J.P. Morgan | | | | Sep. 2021 | | | | (267,602,562 | ) | | | (271,589,766 | ) | | | (3,987,204 | ) |
| (324) | | U.S. Ultra Bond Future | | | Goldman Sachs | | | | Sep. 2021 | | | | (59,388,188 | ) | | | (62,430,750 | ) | | | (3,042,562 | ) |
| (415) | | U.S. Ultra Bond Future | | | J.P. Morgan | | | | Sep. 2021 | | | | (77,020,363 | ) | | | (79,965,313 | ) | | | (2,944,950 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | (13,037,473 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | 28,217,978 | |
| | | | | | | | | | | | | | | | | | | | | | |
Over-the-Counter Forward Foreign Currency Exchange Contracts
| | | | | | | | | | | | | | | | | | |
| Currency Purchased | | | Currency Sold | | | Settlement
Date | | Counterparty | | Unrealized
Appreciation/
(Depreciation) | |
| BRL* | | | 224,611,220 | | | USD | | | 42,308,828 | | | 07/02/21 | | Bank Of America | | $ | 2,850,049 | |
| BRL* | | | 224,611,220 | | | USD | | | 44,902,487 | | | 07/02/21 | | Goldman Sachs | | | 256,390 | |
| BRL* | | | 224,611,220 | | | USD | | | 44,316,876 | | | 08/03/21 | | Goldman Sachs | | | 682,344 | |
| CAD | | | 17,427,500 | | | USD | | | 13,910,729 | | | 07/23/21 | | HSBC | | | 148,095 | |
| CAD | | | 52,282,500 | | | USD | | | 41,712,875 | | | 07/23/21 | | Morgan Stanley | | | 463,595 | |
| MXN | | | 33,876,000 | | | USD | | | 1,612,275 | | | 09/03/21 | | Goldman Sachs | | | 73,551 | |
| MXN | | | 1,040,796,152 | | | USD | | | 49,479,256 | | | 10/05/21 | | J.P. Morgan | | | 2,084,673 | |
| MXN | | | 265,851,000 | | | USD | | | 13,098,044 | | | 10/27/21 | | Goldman Sachs | | | 31,801 | |
| PEN* | | | 28,785,047 | | | USD | | | 7,236,970 | | | 07/19/21 | | Goldman Sachs | | | 249,879 | |
| PEN* | | | 50,751,360 | | | USD | | | 12,816,000 | | | 07/26/21 | | Bank Of America | | | 392,963 | |
| PEN* | | | 48,141,720 | | | USD | | | 12,157,000 | | | 07/26/21 | | Morgan Stanley | | | 372,757 | |
| PEN* | | | 110,306 | | | USD | | | 27,741 | | | 08/18/21 | | Bank Of America | | | 996 | |
| PEN* | | | 3,866,780 | | | USD | | | 974,000 | | | 09/03/21 | | Morgan Stanley | | | 33,650 | |
| RUB* | | | 1,782,049,781 | | | USD | | | 23,091,174 | | | 07/22/21 | | Goldman Sachs | | | 1,195,576 | |
The accompanying notes are an integral part of these financial statements.
| | |
| 34 | | Annual Report • June 30, 2021 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
June 30, 2021 (Continued)
Over-the-Counter Forward Foreign Currency Exchange Contracts (Continued)
| | | | | | | | | | | | | | | | | | |
| Currency Purchased | | | Currency Sold | | | Settlement
Date | | Counterparty | | Unrealized
Appreciation/
(Depreciation) | |
| RUB* | | | 237,546,219 | | | USD | | | 3,100,721 | | | 07/22/21 | | Morgan Stanley | | $ | 136,689 | |
| RUB* | | | 316,270,359 | | | USD | | | 4,206,159 | | | 08/20/21 | | Bank Of America | | | 85,029 | |
| RUB* | | | 1,703,325,641 | | | USD | | | 22,733,135 | | | 08/20/21 | | Goldman Sachs | | | 377,760 | |
| USD | | | 1,710,802 | | | AUD | | | 2,212,000 | | | 07/02/21 | | BNP Paribas | | | 51,912 | |
| USD | | | 490,636,651 | | | EUR | | | 401,059,000 | | | 07/02/21 | | BNP Paribas | | | 15,080,890 | |
| USD | | | 134,405 | | | JPY | | | 14,700,000 | | | 07/02/21 | | BNP Paribas | | | 2,086 | |
| USD | | | 255,017,218 | | | GBP | | | 180,386,492 | | | 07/02/21 | | Goldman Sachs | | | 5,488,589 | |
| USD | | | 237,778,831 | | | GBP | | | 167,992,508 | | | 07/02/21 | | J.P. Morgan | | | 5,394,798 | |
| USD | | | 95,298 | | | TRY | | | 814,711 | | | 07/02/21 | | J.P. Morgan | | | 1,725 | |
| USD | | | 18,615,978 | | | EUR | | | 15,260,000 | | | 07/02/21 | | Morgan Stanley | | | 521,431 | |
| USD | | | 907,683 | | | TRY | | | 7,783,318 | | | 07/07/21 | | BNP Paribas | | | 15,982 | |
| USD | | | 19,679 | | | TRY | | | 168,663 | | | 07/07/21 | | J.P. Morgan | | | 356 | |
| USD | | | 2,314,981 | | | TRY | | | 19,865,548 | | | 07/09/21 | | BNP Paribas | | | 41,351 | |
| USD | | | 264,496 | | | TRY | | | 2,270,568 | | | 07/09/21 | | J.P. Morgan | | | 4,628 | |
| USD | | | 490,307 | | | PEN* | | | 1,843,556 | | | 07/13/21 | | J.P. Morgan | | | 11,081 | |
| USD | | | 1,180,495 | | | TRY | | | 10,143,398 | | | 07/13/21 | | J.P. Morgan | | | 22,143 | |
| USD | | | 1,050,649 | | | MXN | | | 20,757,000 | | | 07/14/21 | | Goldman Sachs | | | 10,936 | |
| USD | | | 7,881,240 | | | PEN* | | | 28,785,047 | | | 07/19/21 | | Goldman Sachs | | | 394,391 | |
| USD | | | 15,468,944 | | | AUD | | | 20,075,000 | | | 07/23/21 | | Barclays Bank | | | 412,091 | |
| USD | | | 8,058,785 | | | CAD | | | 9,900,000 | | | 07/23/21 | | Canadian Imperial Bank of Commerce | | | 72,422 | |
| USD | | | 18,937,512 | | | AUD | | | 24,650,000 | | | 07/23/21 | | Citibank | | | 449,272 | |
| USD | | | 4,345,561 | | | AUD | | | 5,725,000 | | | 07/23/21 | | Credit Suisse International | | | 51,640 | |
| USD | | | 4,089,880 | | | NOK | | | 34,855,000 | | | 07/23/21 | | Credit Suisse International | | | 41,307 | |
| USD | | | 4,368,334 | | | NOK | | | 37,125,000 | | | 07/23/21 | | Deutsche Bank | | | 56,089 | |
| USD | | | 43,024,430 | | | CAD | | | 52,435,000 | | | 07/23/21 | | HSBC | | | 724,938 | |
| USD | | | 25,601,618 | | | NOK | | | 212,855,000 | | | 07/23/21 | | UBS | | | 877,500 | |
| USD | | | 434,218,380 | | | EUR | | | 365,911,000 | | | 08/03/21 | | BNP Paribas | | | 45,402 | |
| USD | | | 132,478 | | | JPY | | | 14,700,000 | | | 08/03/21 | | BNP Paribas | | | 122 | |
| USD | | | 448,490,029 | | | GBP | | | 323,945,000 | | | 08/03/21 | | Morgan Stanley | | | 335,383 | |
| USD | | | 11,080,000 | | | PEN* | | | 40,911,353 | | | 08/04/21 | | BNP Paribas | | | 425,267 | |
| USD | | | 10,486,141 | | | CAD | | | 12,652,000 | | | 08/17/21 | | Bank Of America | | | 279,837 | |
| USD | | | 7,972,153 | | | EUR | | | 6,660,000 | | | 08/20/21 | | Barclays Bank | | | 66,977 | |
| USD | | | 20,370,620 | | | GBP | | | 14,615,000 | | | 08/20/21 | | Citibank | | | 151,313 | |
| USD | | | 31,020,936 | | | GBP | | | 21,965,000 | | | 08/20/21 | | J.P. Morgan | | | 633,179 | |
| USD | | | 12,132,944 | | | EUR | | | 10,165,000 | | | 08/20/21 | | Morgan Stanley | | | 67,462 | |
| USD | | | 31,170,610 | | | EUR | | | 25,635,000 | | | 08/20/21 | | UBS | | | 742,804 | |
| USD | | | 17,422,217 | | | PEN* | | | 66,627,785 | | | 09/03/21 | | BNP Paribas | | | 59,589 | |
| USD | | | 9,194,099 | | | CAD | | | 11,105,000 | | | 09/15/21 | | BNP Paribas | | | 235,838 | |
| USD | | | 61,430,529 | | | ZAR | | | 848,986,374 | | | 09/15/21 | | Goldman Sachs | | | 2,557,975 | |
| USD | | | 13,917,399 | | | ZAR | | | 197,008,912 | | | 09/16/21 | | Bank Of America | | | 257,795 | |
| USD | | | 7,360,701 | | | ZAR | | | 106,384,088 | | | 02/18/22 | | Bank Of America | | | 136,160 | |
| USD | | | 28,172,679 | | | ZAR | | | 413,653,000 | | | 02/25/22 | | Deutsche Bank | | | 107,949 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | Total Unrealized Appreciation | | | 45,266,407 | |
| | | | | | | | | | | | | | | | | | |
| AUD | | | 50,450,000 | | | USD | | | 39,319,233 | | | 07/23/21 | | Citibank | | | (1,480,219 | ) |
| CAD | | | 13,540,000 | | | USD | | | 11,195,866 | | | 07/23/21 | | Canadian Imperial Bank of Commerce | | | (273,102 | ) |
| EUR | | | 1,716,000 | | | USD | | | 2,044,743 | | | 07/02/21 | | Goldman Sachs | | | (9,995 | ) |
| EUR | | | 40,180,000 | | | USD | | | 48,623,633 | | | 07/02/21 | | J.P. Morgan | | | (980,193 | ) |
| EUR | | | 8,512,000 | | | USD | | | 10,354,362 | | | 07/02/21 | | Morgan Stanley | | | (261,257 | ) |
| EUR | | | 13,736,244 | | | USD | | | 16,694,735 | | | 08/20/21 | | Citibank | | | (390,316 | ) |
| EUR | | | 16,200,000 | | | USD | | | 19,673,685 | | | 08/20/21 | | Goldman Sachs | | | (444,879 | ) |
| EUR | | | 3,791,244 | | | USD | | | 4,609,906 | | | 08/20/21 | | Morgan Stanley | | | (109,839 | ) |
| EUR | | | 3,734,658 | | | USD | | | 4,542,222 | | | 08/20/21 | | State Street | | | (109,320 | ) |
| GBP | | | 8,418,000 | | | USD | | | 11,717,267 | | | 07/02/21 | | Bank Of America | | | (72,648 | ) |
| GBP | | | 3,511,000 | | | USD | | | 4,890,927 | | | 07/02/21 | | Goldman Sachs | | | (34,161 | ) |
| GBP | | | 10,897,000 | | | USD | | | 15,218,274 | | | 07/02/21 | | J.P. Morgan | | | (144,454 | ) |
| GBP | | | 1,608,000 | | | USD | | | 2,255,164 | | | 07/02/21 | | Morgan Stanley | | | (30,818 | ) |
| GBP | | | 10,235,000 | | | USD | | | 14,175,438 | | | 08/03/21 | | Bank Of America | | | (16,051 | ) |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2021 | | 35 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
June 30, 2021 (Continued)
Over-the-Counter Forward Foreign Currency Exchange Contracts (Continued)
| | | | | | | | | | | | | | | | | | | | | | |
| Currency Purchased | | | Currency Sold | | | Settlement
Date | | | Counterparty | | Unrealized
Appreciation/
(Depreciation) | |
| GBP | | | 22,405,000 | | | | USD | | | | 31,567,973 | | | | 08/20/21 | | | J.P. Morgan | | $ | (571,492 | ) |
| GBP | | | 14,175,000 | | | | USD | | | | 19,982,852 | | | | 08/20/21 | | | State Street | | | (372,269 | ) |
| IDR* | | | 393,184,139,000 | | | | USD | | | | 27,279,826 | | | | 09/15/21 | | | Bank Of America | | | (532,606 | ) |
| INR* | | | 1,906,559,450 | | | | USD | | | | 25,895,509 | | | | 09/15/21 | | | Bank Of America | | | (492,329 | ) |
| INR* | | | 156,988,000 | | | | USD | | | | 2,081,241 | | | | 12/15/21 | | | J.P. Morgan | | | (13,191 | ) |
| MXN | | | 132,419,000 | | | | USD | | | | 6,559,683 | | | | 11/08/21 | | | BNP Paribas | | | (30,902 | ) |
| NOK | | | 326,110,000 | | | | USD | | | | 39,454,726 | | | | 07/23/21 | | | UBS | | | (1,575,502 | ) |
| NOK | | | 330,585,000 | | | | USD | | | | 39,276,406 | | | | 08/17/21 | | | BNP Paribas | | | (872,635 | ) |
| PEN* | | | 110,306 | | | | USD | | | | 28,782 | | | | 07/06/21 | | | Bank Of America | | | (124 | ) |
| RUB* | | | 915,676,127 | | | | USD | | | | 12,549,834 | | | | 09/20/21 | | | Bank Of America | | | (186,275 | ) |
| RUB* | | | 1,103,920,287 | | | | USD | | | | 15,057,435 | | | | 09/20/21 | | | Goldman Sachs | | | (152,182 | ) |
| SEK | | | 313,210,000 | | | | USD | | | | 37,472,391 | | | | 08/17/21 | | | Morgan Stanley | | | (858,494 | ) |
| TRY | | | 814,711 | | | | USD | | | | 97,025 | | | | 07/02/21 | | | Goldman Sachs | | | (3,453 | ) |
| TRY | | | 7,951,981 | | | | USD | | | | 947,187 | | | | 07/07/21 | | | J.P. Morgan | | | (36,163 | ) |
| TRY | | | 4,929,000 | | | | USD | | | | 584,272 | | | | 07/09/21 | | | Bank Of America | | | (20,143 | ) |
| TRY | | | 12,053,659 | | | | USD | | | | 1,437,235 | | | | 07/09/21 | | | BNP Paribas | | | (57,683 | ) |
| TRY | | | 5,153,457 | | | | USD | | | | 615,822 | | | | 07/09/21 | | | Goldman Sachs | | | (26,004 | ) |
| TRY | | | 10,143,398 | | | | USD | | | | 1,198,629 | | | | 07/13/21 | | | BNP Paribas | | | (40,277 | ) |
| USD | | | 44,902,487 | | | | BRL* | | | | 224,611,220 | | | | 07/02/21 | | | Bank Of America | | | (256,390 | ) |
| USD | | | 44,459,861 | | | | BRL* | | | | 224,611,220 | | | | 07/02/21 | | | Goldman Sachs | | | (699,015 | ) |
| USD | | | 27,690 | | | | PEN* | | | | 110,306 | | | | 07/06/21 | | | Bank Of America | | | (967 | ) |
| USD | | | 16,854,824 | | | | CAD | | | | 20,915,000 | | | | 07/23/21 | | | J.P. Morgan | | | (17,377 | ) |
| USD | | | 4,767,421 | | | | NOK | | | | 41,275,000 | | | | 07/23/21 | | | UBS | | | (26,866 | ) |
| USD | | | 7,243,890 | | | | PEN* | | | | 28,785,047 | | | | 08/31/21 | | | Goldman Sachs | | | (257,392 | ) |
| USD | | | 12,009,812 | | | | BRL* | | | | 64,381,000 | | | | 09/02/21 | | | Bank Of America | | | (834,662 | ) |
| USD | | | 91,579,977 | | | | BRL* | | | | 515,000,000 | | | | 10/04/21 | | | J.P. Morgan | | | (10,713,543 | ) |
| USD | | | 657,013 | | | | ZAR | | | | 10,032,066 | | | | 02/18/22 | | | J.P. Morgan | | | (24,264 | ) |
| USD | | | 323,655 | | | | ZAR | | | | 5,171,000 | | | | 02/25/22 | | | Goldman Sachs | | | (27,177 | ) |
| ZAR | | | 43,770,000 | | | | USD | | | | 3,053,030 | | | | 09/15/21 | | | Morgan Stanley | | | (17,820 | ) |
| ZAR | | | 43,770,000 | | | | USD | | | | 2,986,441 | | | | 02/25/22 | | | Goldman Sachs | | | (16,818 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | Total Unrealized Depreciation | | | (23,091,267 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | Net Unrealized Appreciation | | $ | 22,175,140 | |
| | | | | | | | | | | | | | | | | | | | | | |
| * | | Non-deliverable forward |
The accompanying notes are an integral part of these financial statements.
| | |
| 36 | | Annual Report • June 30, 2021 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
June 30, 2021 (Continued)
Centrally Cleared Credit Default Swaps – Sell Protection
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Entity | | Fixed Annual
Rate Received
by Fund | | Maturity
Date | | | Implied Credit
Spread at
June 30,
2021 | | | Notional
Amount | | | Upfront
Premium
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Value | |
| AT&T Inc. | | 1.00% | | | 12/20/2024 | | | | 0.40% | | | $ | 7,700,000 | | | $ | 51,050 | | | $ | 99,716 | | | $ | 150,766 | |
| AT&T Inc. | | 1.00 | | | 6/20/2026 | | | | 0.62 | | | | 4,400,000 | | | | 72,540 | | | | 9,250 | | | | 81,790 | |
| CDX.EM.28 | | 1.00 | | | 12/20/2022 | | | | 0.87 | | | | 9,588,000 | | | | (201,276 | ) | | | 223,062 | | | | 21,786 | |
| CDX.EM.29 | | 1.00 | | | 6/20/2023 | | | | 0.84 | | | | 1,880,000 | | | | (31,920 | ) | | | 38,261 | | | | 6,341 | |
| CDX.EM.30 | | 1.00 | | | 12/20/2023 | | | | 0.97 | | | | 6,768,000 | | | | (184,726 | ) | | | 192,325 | | | | 7,599 | |
| CDX.EM.31 | | 1.00 | | | 6/20/2024 | | | | 0.95 | | | | 8,178,000 | | | | (283,672 | ) | | | 297,345 | | | | 13,673 | |
| CDX.EM.32 | | 1.00 | | | 12/20/2024 | | | | 1.03 | | | | 12,090,000 | | | | (547,801 | ) | | | 539,579 | | | | (8,222 | ) |
| CDX.EM.34 | | 1.00 | | | 12/20/2025 | | | | 1.82 | | | | 4,300,000 | | | | (244,812 | ) | | | 96,763 | | | | (148,049 | ) |
| CDX.EM.35 | | 1.00 | | | 6/20/2026 | | | | 1.56 | | | | 3,100,000 | | | | (103,901 | ) | | | 23,682 | | | | (80,219 | ) |
| CDX.NA.HY.34 | | 5.00 | | | 6/20/2025 | | | | 2.36 | | | | 736,000 | | | | 53,632 | | | | 20,090 | | | | 73,722 | |
| CDX.NA.HY.35 | | 5.00 | | | 12/20/2025 | | | | 2.56 | | | | 40,900,000 | | | | 3,351,669 | | | | 837,347 | | | | 4,189,016 | |
| CDX.NA.HY.36 | | 5.00 | | | 6/20/2026 | | | | 2.74 | | | | 154,250,000 | | | | 12,632,190 | | | | 5,209,282 | | | | 17,841,472 | |
| CDX.NA.HY.36 | | 5.00 | | | 6/20/2026 | | | | 2.74 | | | | 268,000,000 | | | | 23,451,519 | | | | 4,196,955 | | | | 27,648,474 | |
| CDX.NA.IG | | 1.00 | | | 6/20/2026 | | | | 0.48 | | | | 197,805,000 | | | | 4,456,675 | | | | 1,094,389 | | | | 5,551,064 | |
| General Electric Co. | | 1.00 | | | 12/20/2023 | | | | 0.38 | | | | 700,000 | | | | (18,071 | ) | | | 28,975 | | | | 10,904 | |
Indonesia Government
International | | 1.00 | | | 6/20/2026 | | | | 0.75 | | | | 23,290,000 | | | | 229,605 | | | | 124,272 | | | | 353,877 | |
Mexico Government
International | | 1.00 | | | 6/20/2026 | | | | 0.94 | | | | 121,686,000 | | | | 57,208 | | | | 656,404 | | | | 713,612 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | $ | 42,739,909 | | | $ | 13,687,697 | | | $ | 56,427,606 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Over-the-Counter Credit Default Swaps – Sell Protection
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Reference Entity | | Fixed
Annual
Rate
Received
by Fund | | Payment
Frequency | | Maturity
Date | | | Implied Credit
Spread at
June 30,
2021 | | Notional
Amount | | | Upfront
Premium
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Value | |
| Deutsche Bank | | CMBX.NA.AAA.10 | | 0.50% | | Monthly | | | 11/17/2059 | | | 0.00% | | $ | 16,450,000 | | | $ | (265,483 | ) | | | $ 436,522 | | | $ | 171,039 | |
| Goldman Sachs | | CMBX.NA.AAA.10 | | 0.50 | | Monthly | | | 12/16/2072 | | | 0.00 | | | 154,800,000 | | | | 491,927 | | | | 511,891 | | | | 1,003,818 | |
| Morgan Stanley | | CMBX.NA.AAA.10 | | 0.50 | | Monthly | | | 12/16/2072 | | | 0.00 | | | 157,900,000 | | | | 642,297 | | | | 381,623 | | | | 1,023,920 | |
| J.P. Morgan | | Barclays Bank Plc | | 1.00 | | Quarterly | | | 6/20/2024 | | | 0.30 | | EUR | 1,000,000 | | | | 7,703 | | | | 17,851 | | | | 25,554 | |
| Goldman Sachs | | Brazilian Government
International | | 1.00 | | Quarterly | | | 12/20/2024 | | | 1.20 | | $ | 3,200,000 | | | | (33,524 | ) | | | 12,546 | | | | (20,978 | ) |
| Barclays Bank | | Chile Government
International | | 1.00 | | Quarterly | | | 6/20/2026 | | | 0.59 | | | 10,530,000 | | | | 234,867 | | | | (18,840 | ) | | | 216,027 | |
| Goldman Sachs | | Chile Government
International | | 1.00 | | Quarterly | | | 6/20/2026 | | | 0.59 | | | 4,770,000 | | | | 104,039 | | | | (6,180 | ) | | | 97,859 | |
| Morgan Stanley | | Chile Government
International | | 1.00 | | Quarterly | | | 6/20/2026 | | | 0.59 | | | 31,000,000 | | | | 339,131 | | | | 691,234 | | | | 1,030,365 | |
| Goldman Sachs | | Federative Republic of
Brazil | | 1.00 | | Quarterly | | | 6/20/2024 | | | 1.01 | | | 300,000 | | | | (5,713 | ) | | | 5,681 | | | | (32 | ) |
| Goldman Sachs | | Indonesia Government
International | | 1.00 | | Quarterly | | | 6/20/2026 | | | 0.75 | | | 35,250,000 | | | | 233,518 | | | | 212,978 | | | | 446,496 | |
| Barclays Bank | | Mexico Government
International | | 1.00 | | Quarterly | | | 6/20/2026 | | | 0.94 | | | 1,591,000 | | | | (3,042 | ) | | | 8,263 | | | | 5,221 | |
| Goldman Sachs | | Mexico Government
International | | 1.00 | | Quarterly | | | 6/20/2026 | | | 0.94 | | | 3,800,000 | | | | (4,740 | ) | | | 17,208 | | | | 12,468 | |
| J.P. Morgan | | Mexico Government
International | | 1.00 | | Quarterly | | | 6/20/2026 | | | 0.94 | | | 300,000 | | | | (2,123 | ) | | | 3,099 | | | | 976 | |
| J.P. Morgan | | Mexico Government
International | | 1.00 | | Quarterly | | | 6/20/2026 | | | 0.94 | | | 4,309,000 | | | | (239 | ) | | | 25,509 | | | | 25,270 | |
| Morgan Stanley | | Mexico Government
International | | 1.00 | | Quarterly | | | 12/20/2024 | | | 0.61 | | | 300,000 | | | | (1,724 | ) | | | 5,875 | | | | 4,151 | |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2021 | | 37 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
June 30, 2021 (Continued)
Over-the-Counter Credit Default Swaps – Sell Protection (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Reference Entity | | Fixed Annual
Rate Received
by Fund | | Payment
Frequency | | Maturity
Date | | | Implied Credit
Spread at
June 30,
2021 | | | Notional
Amount | | | Upfront
Premium
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Value | |
Morgan
Stanley | | Mexico
Government
International | | 1.00% | | Quarterly | | | 12/20/2025 | | | | 0.83% | | | $ | 700,000 | | | $ | (8,139) | | | | $ 13,510 | | | $ | 5,371 | |
Morgan
Stanley | | Mexico Government
International | | 1.00 | | Quarterly | | | 6/20/2026 | | | | 0.94 | | | | 1,100,000 | | | | (5,786 | ) | | | 9,365 | | | | 3,579 | |
Goldman
Sachs | | Republic of
South Africa | | 1.00 | | Quarterly | | | 6/20/2024 | | | | 1.20 | | | | 4,700,000 | | | | (118,029 | ) | | | 91,215 | | | | (26,814 | ) |
J.P.
Morgan | | Republic of
South Africa | | 1.00 | | Quarterly | | | 6/20/2023 | | | | 0.81 | | | | 9,400,000 | | | | (300,117 | ) | | | 337,444 | | | | 37,327 | |
Goldman
Sachs | | Russia Emerging
Markets SPMYC | | 1.00 | | Quarterly | | | 12/20/2022 | | | | 0.33 | | | | 1,500,000 | | | | (13,373 | ) | | | 28,871 | | | | 15,498 | |
J.P.
Morgan | | Russia Emerging
Markets SPMYC | | 1.00 | | Quarterly | | | 6/20/2023 | | | | 0.35 | | | | 18,200,000 | | | | (246,180 | ) | | | 485,010 | | | | 238,830 | |
Goldman
Sachs | | Russian Foreign
Bond – Eurobon | | 1.00 | | Quarterly | | | 12/20/2024 | | | | 0.58 | | | | 16,400,000 | | | | 66,122 | | | | 177,977 | | | | 244,099 | |
Goldman
Sachs | | Teva
Pharmaceutical
Finance Ne | | 1.00 | | Quarterly | | | 6/20/2022 | | | | 1.67 | | | | 210,000 | | | | (6,968 | ) | | | 5,663 | | | | (1,305 | ) |
Goldman
Sachs | | United Mexican
States | | 1.00 | | Quarterly | | | 6/20/2023 | | | | 0.35 | | | | 29,900,000 | | | | (112,795 | ) | | | 505,237 | | | | 392,442 | |
Goldman
Sachs | | United Mexican
States | | 1.00 | | Quarterly | | | 12/20/2023 | | | | 0.43 | | | | 9,100,000 | | | | (112,452 | ) | | | 243,276 | | | | 130,824 | |
J.P.
Morgan | | United Mexican
States | | 1.00 | | Quarterly | | | 12/20/2023 | | | | 0.43 | | | | 5,400,000 | | | | (62,153 | ) | | | 139,785 | | | | 77,632 | |
J.P.
Morgan | | United Mexican
States | | 1.00 | | Quarterly | | | 6/20/2024 | | | | 0.49 | | | | 100,000 | | | | (952 | ) | | | 2,514 | | | | 1,562 | |
Morgan
Stanley | | United Mexican
States | | 1.00 | | Quarterly | | | 12/20/2022 | | | | 0.32 | | | | 3,800,000 | | | | 1,877 | | | | 37,756 | | | | 39,633 | |
Morgan
Stanley | | United Mexican
States | | 1.00 | | Quarterly | | | 6/20/2026 | | | | 0.94 | | | | 26,000,000 | | | | (225,003 | ) | | | 641,087 | | | | 416,084 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | 592,946 | | | | $5,023,970 | | | $ | 5,616,916 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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 | |
| (0.45)% | | 6 Month EURIBOR | | | Received | | | | Semi-Annual | | | | 12/29/2023 | | | EUR | 2,800,000 | | | $ | — | | | $ | 6,531 | | | $ | 6,531 | |
| (0.43) | | 6 Month EURIBOR | | | Received | | | | Semi-Annual | | | | 6/28/2024 | | | | 2,700,000 | | | | — | | | | 2,720 | | | | 2,720 | |
| (0.40) | | 6 Month EURIBOR | | | Received | | | | Semi-Annual | | | | 12/30/2024 | | | | 1,200,000 | | | | — | | | | 3,363 | | | | 3,363 | |
| (0.36) | | 6 Month EURIBOR | | | Received | | | | Semi-Annual | | | | 6/30/2025 | | | | 2,300,000 | | | | — | | | | 3,955 | | | | 3,955 | |
| (0.33) | | 6 Month EURIBOR | | | Received | | | | Semi-Annual | | | | 12/30/2025 | | | | 1,400,000 | | | | — | | | | 4,534 | | | | 4,534 | |
| (0.29) | | 6 Month EURIBOR | | | Received | | | | Semi-Annual | | | | 6/30/2026 | | | | 700,000 | | | | — | | | | 1,645 | | | | 1,645 | |
| (0.15) | | 6 Month EURIBOR | | | Received | | | | Semi-Annual | | | | 3/18/2030 | | | | 16,100,000 | | | | 248,856 | | | | 11,059 | | | | 259,915 | |
| — | | BRL-CDI-Compounded | | | Received | | | | Quarterly | | | | 1/3/2022 | | | BRL | 2,400,000 | | | | — | | | | 6,101 | | | | 6,101 | |
| — | | BRL-CDI-Compounded | | | Received | | | | Quarterly | | | | 1/3/2022 | | | | 47,100,000 | | | | (50 | ) | | | 121,008 | | | | 120,958 | |
| — | | BRL-CDI-Compounded | | | Received | | | | Quarterly | | | | 1/3/2022 | | | | 4,400,000 | | | | — | | | | 11,031 | | | | 11,031 | |
| — | | BRL-CDI-Compounded | | | Received | | | | Quarterly | | | | 1/3/2022 | | | | 15,100,000 | | | | — | | | | 37,290 | | | | 37,290 | |
| — | | BRL-CDI-Compounded | | | Paid | | | | Quarterly | | | | 1/3/2022 | | | | 280,700,000 | | | | 3,437 | | | | (575,257 | ) | | | (571,820 | ) |
| — | | BRL-CDI-Compounded | | | Received | | | | Quarterly | | | | 1/3/2022 | | | | 3,000,000 | | | | — | | | | 7,671 | | | | 7,671 | |
| — | | BRL-CDI-Compounded | | | Received | | | | Quarterly | | | | 1/3/2022 | | | | 70,000,000 | | | | (103,494 | ) | | | 214,504 | | | | 111,010 | |
| — | | BRL-CDI-Compounded | | | Received | | | | Quarterly | | | | 1/3/2022 | | | | 57,900,000 | | | | — | | | | 142,696 | | | | 142,696 | |
| — | | BRL-CDI-Compounded | | | Received | | | | Quarterly | | | | 1/3/2022 | | | | 12,200,000 | | | | — | | | | 30,722 | | | | 30,722 | |
| — | | BRL-CDI-Compounded | | | Paid | | | | Quarterly | | | | 1/3/2022 | | | | 46,400,000 | | | | — | | | | (51,520 | ) | | | (51,520 | ) |
| — | | BRL-CDI-Compounded | | | Received | | | | Quarterly | | | | 1/3/2022 | | | | 23,300,000 | | | | — | | | | 58,932 | | | | 58,932 | |
| — | | BRL-CDI-Compounded | | | Paid | | | | Quarterly | | | | 1/3/2022 | | | | 870,300,000 | | | | (149,981 | ) | | | (1,103,393 | ) | | | (1,253,374 | ) |
| — | | BRL-CDI-Compounded | | | Paid | | | | Quarterly | | | | 1/3/2022 | | | | 400,000 | | | | (2 | ) | | | (410 | ) | | | (412 | ) |
The accompanying notes are an integral part of these financial statements.
| | |
| 38 | | Annual Report • June 30, 2021 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
June 30, 2021 (Continued)
Centrally Cleared Interest Rate Swaps (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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 | |
| —% | | BRL-CDI-Compounded | | | Received | | | | Quarterly | | | | 1/3/2022 | | | BRL | 17,900,000 | | | $ | — | | | $ | 43,978 | | | $ | 43,978 | |
| — | | BRL-CDI-Compounded | | | Received | | | | Quarterly | | | | 1/3/2022 | | | | 12,300,000 | | | | — | | | | 30,283 | | | | 30,283 | |
| — | | BRL-CDI-Compounded | | | Received | | | | Quarterly | | | | 1/3/2022 | | | | 15,100,000 | | | | — | | | | 37,593 | | | | 37,593 | |
| — | | 6 Month EURIBOR | | | Received | | | | Semi-Annual | | | | 9/15/2031 | | | EUR | 118,600,000 | | | | 1,950,256 | | | | (100,587 | ) | | | 1,849,669 | |
| 0.50 | | 6 Month EURIBOR | | | Received | | | | Semi-Annual | | | | 6/17/2050 | | | | 9,000,000 | | | | (280,454 | ) | | | 225,153 | | | | (55,301 | ) |
| 0.50 | | 3 Month USD LIBOR | | | Paid | | | | Quarterly | | | | 6/16/2028 | | | $ | 72,004,000 | | | | (3,879,485 | ) | | | 519,274 | | | | (3,360,211 | ) |
| 0.75 | | 3 Month USD LIBOR | | | Paid | | | | Quarterly | | | | 6/16/2031 | | | | 286,950,000 | | | | (24,198,165 | ) | | | 6,118,656 | | | | (18,079,509 | ) |
| 0.75 | | 3 Month USD LIBOR | | | Received | | | | Quarterly | | | | 6/16/2031 | | | | 14,100,000 | | | | 681,353 | | | | 206,956 | | | | 888,309 | |
| 0.75 | | Sterling Overnight Index Average | | | Received | | | | Annual | | | | 9/15/2031 | | | GBP | 17,100,000 | | | | (13,852 | ) | | | (35,571 | ) | | | (49,423 | ) |
| 0.75 | | Sterling Overnight Index Average | | | Received | | | | Annual | | | | 9/15/2051 | | | | 6,000,000 | | | | 374,675 | | | | (200,491 | ) | | | 174,184 | |
| 1.00 | | 3 Month USD LIBOR | | | Received | | | | Quarterly | | | | 12/16/2030 | | | $ | 3,497,000 | | | | 16,638 | | | | 104,223 | | | | 120,861 | |
| 1.25 | | 3 Month USD LIBOR | | | Received | | | | Quarterly | | | | 6/17/2027 | | | | 2,700,000 | | | | (17,152 | ) | | | (11,308 | ) | | | (28,460 | ) |
| 1.25 | | 3 Month USD LIBOR | | | Received | | | | Quarterly | | | | 12/16/2050 | | | | 48,900,000 | | | | 4,876,960 | | | | 979,860 | | | | 5,856,820 | |
| 1.50 | | 3 Month USD LIBOR | | | Received | | | | Quarterly | | | | 6/17/2050 | | | | 81,200,000 | | | | (14,691,221 | ) | | | 19,459,844 | | | | 4,768,623 | |
| 2.25 | | 3 Month USD LIBOR | | | Received | | | | Quarterly | | | | 3/12/2050 | | | | 3,200,000 | | | | (9,657 | ) | | | (391,026 | ) | | | (400,683 | ) |
| 2.50 | | 3 Month USD LIBOR | | | Paid | | | | Quarterly | | | | 12/20/2027 | | | | 107,900,000 | | | | (996,154 | ) | | | 10,372,877 | | | | 9,376,723 | |
| 2.50 | | 3 Month USD LIBOR | | | Paid | | | | Quarterly | | | | 12/20/2027 | | | | 94,300,000 | | | | 1,568,137 | | | | 6,626,719 | | | | 8,194,856 | |
| 3.00 | | 6 Month Australian Bank Bill | | | Paid | | | | Semi-Annual | | | | 3/21/2027 | | | AUD | 109,400,000 | | | | 558,266 | | | | 9,132,175 | | | | 9,690,441 | |
| 3.00 | | 3 Month USD LIBOR | | | Paid | | | | Quarterly | | | | 6/19/2029 | | | $ | 47,200,000 | | | | 3,063,091 | | | | 3,233,585 | | | | 6,296,676 | |
| 4.47 | | Mexico Interbank TIIE 28 Day | | | Paid | | | | Lunar | | | | 2/27/2023 | | | MXN | 65,200,000 | | | | — | | | | (77,015 | ) | | | (77,015 | ) |
| 4.50 | | Mexico Interbank TIIE 28 Day | | | Paid | | | | Lunar | | | | 3/3/2023 | | | | 416,900,000 | | | | (2,390 | ) | | | (484,374 | ) | | | (486,764 | ) |
| 4.52 | | Mexico Interbank TIIE 28 Day | | | Paid | | | | Lunar | | | | 2/27/2023 | | | | 130,500,000 | | | | — | | | | (148,788 | ) | | | (148,788 | ) |
| 4.55 | | Mexico Interbank TIIE 28 Day | | | Paid | | | | Lunar | | | | 2/27/2023 | | | | 551,500,000 | | | | 8,319 | | | | (623,515 | ) | | | (615,196 | ) |
| 4.57 | | Mexico Interbank TIIE 28 Day | | | Paid | | | | Lunar | | | | 2/27/2023 | | | | 65,200,000 | | | | — | | | | (71,927 | ) | | | (71,927 | ) |
| 4.58 | | Mexico Interbank TIIE 28 Day | | | Received | | | | Lunar | | | | 6/10/2022 | | | | 4,000,000 | | | | — | | | | 1,677 | | | | 1,677 | |
| 4.65 | | Mexico Interbank TIIE 28 Day | | | Received | | | | Lunar | | | | 5/10/2022 | | | | 15,400,000 | | | | 208 | | | | 4,581 | | | | 4,789 | |
| 4.74 | | Mexico Interbank TIIE 28 Day | | | Received | | | | Lunar | | | | 6/3/2022 | | | | 3,900,000 | | | | — | | | | 1,255 | | | | 1,255 | |
| 4.83 | | Mexico Interbank TIIE 28 Day | | | Received | | | | Lunar | | | | 5/27/2022 | | | | 1,600,000 | | | | — | | | | 438 | | | | 438 | |
| 4.85 | | 3 Month ZAR SAJIBOR | | | Paid | | | | Quarterly | | | | 1/11/2026 | | | ZAR | 151,700,000 | | | | (42,203 | ) | | | (337,258 | ) | | | (379,461 | ) |
| 4.85 | | 3 Month ZAR SAJIBOR | | | Paid | | | | Quarterly | | | | 1/7/2026 | | | | 41,600,000 | | | | (22 | ) | | | (102,362 | ) | | | (102,384 | ) |
| 4.92 | | 3 Month ZAR SAJIBOR | | | Paid | | | | Quarterly | | | | 2/1/2026 | | | | 103,000,000 | | | | (22,482 | ) | | | (228,893 | ) | | | (251,375 | ) |
| 5.12 | | Mexico Interbank TIIE 28 Day | | | Paid | | | | Lunar | | | | 5/6/2025 | | | MXN | 2,000,000 | | | | (134 | ) | | | (4,372 | ) | | | (4,506 | ) |
| 5.16 | | Mexico Interbank TIIE 28 Day | | | Paid | | | | Lunar | | | | 6/6/2025 | | | | 1,700,000 | | | | — | | | | (3,825 | ) | | | (3,825 | ) |
| 5.28 | | Mexico Interbank TIIE 28 Day | | | Paid | | | | Lunar | | | | 5/23/2025 | | | | 700,000 | | | | — | | | | (1,414 | ) | | | (1,414 | ) |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2021 | | 39 |
Bridge Builder Core Plus Bond Fund
Summary Schedule of Investments
June 30, 2021 (Continued)
Centrally Cleared Interest Rate Swaps (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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 | |
| 5.28 % | | Mexico Interbank TIIE 28 Day | | | Paid | | | | Lunar | | | | 5/30/2025 | | | MXN | 1,600,000 | | | $ | — | | | $ | (3,218 | ) | | $ | (3,218 | ) |
| 5.54 | | Mexico Interbank TIIE 28 Day | | | Paid | | | | Lunar | | | | 5/4/2027 | | | | 3,400,000 | | | | 1 | | | | (9,668 | ) | | | (9,667 | ) |
| 5.97 | | 3 Month ZAR SAJIBOR | | | Received | | | | Quarterly | | | | 3/10/2026 | | | ZAR | 2,100,000 | | | | 9 | | | | (792 | ) | | | (783 | ) |
| 7.15 | | Mexico Interbank TIIE 28 Day | | | Paid | | | | Lunar | | | | 6/11/2027 | | | MXN | 25,800,000 | | | | (15,624 | ) | | | 46,113 | | | | 30,489 | |
| 7.36 | | Mexico Interbank TIIE 28 Day | | | Received | | | | Lunar | | | | 8/21/2037 | | | | 900,000 | | | | 3,106 | | | | (2,918 | ) | | | 188 | |
| 7.37 | | Mexico Interbank TIIE 28 Day | | | Paid | | | | Lunar | | | | 10/11/2027 | | | | 40,300,000 | | | | (1,702 | ) | | | 69,596 | | | | 67,894 | |
| 7.38 | | Mexico Interbank TIIE 28 Day | | | Received | | | | Lunar | | | | 8/14/2037 | | | | 1,300,000 | | | | 4,378 | | | | (4,279 | ) | | | 99 | |
| 7.61 | | Mexico Interbank TIIE 28 Day | | | Received | | | | Lunar | | | | 1/23/2023 | | | | 222,400,000 | | | | 92,932 | | | | (401,449 | ) | | | (308,517 | ) |
| 7.75 | | Mexico Interbank TIIE 28 Day | | | Paid | | | | Lunar | | | | 1/5/2023 | | | | 1,400,000 | | | | — | | | | 1,993 | | | | 1,993 | |
| 7.81 | | Mexico Interbank TIIE 28 Day | | | Paid | | | | Lunar | | | | 2/6/2023 | | | | 2,800,000 | | | | — | | | | 4,167 | | | | 4,167 | |
| 7.82 | | Mexico Interbank TIIE 28 Day | | | Paid | | | | Lunar | | | | 2/6/2023 | | | | 2,800,000 | | | | (251 | ) | | | 4,452 | | | | 4,201 | |
| 7.87 | | Mexico Interbank TIIE 28 Day | | | Paid | | | | Lunar | | | | 12/27/2022 | | | | 3,400,000 | | | | — | | | | 5,240 | | | | 5,240 | |
| 7.88 | | Mexico Interbank TIIE 28 Day | | | Paid | | | | Lunar | | | | 12/16/2022 | | | | 2,000,000 | | | | — | | | | 3,166 | | | | 3,166 | |
| 7.88 | | Mexico Interbank TIIE 28 Day | | | Paid | | | | Lunar | | | | 12/27/2022 | | | | 36,000,000 | | | | 6,747 | | | | 49,147 | | | | 55,894 | |
| 7.91 | | Mexico Interbank TIIE 28 Day | | | Received | | | | Lunar | | | | 12/30/2027 | | | | 800,000 | | | | — | | | | (2,537 | ) | | | (2,537 | ) |
| 7.98 | | Mexico Interbank TIIE 28 Day | | �� | Received | | | | Lunar | | | | 12/10/2027 | | | | 3,300,000 | | | | (19 | ) | | | (11,397 | ) | | | (11,416 | ) |
| 7.99 | | Mexico Interbank TIIE 28 Day | | | Received | | | | Lunar | | | | 12/21/2027 | | | | 100,000 | | | | — | | | | (343 | ) | | | (343 | ) |
| 8.01 | | Mexico Interbank TIIE 28 Day | | | Received | | | | Lunar | | | | 12/21/2027 | | | | 20,200,000 | | | | (7,931 | ) | | | (62,144 | ) | | | (70,075 | ) |
| 8.03 | | Mexico Interbank TIIE 28 Day | | | Received | | | | Lunar | | | | 1/31/2028 | | | | 1,600,000 | | | | 11 | | | | (5,588 | ) | | | (5,577 | ) |
| 8.05 | | Mexico Interbank TIIE 28 Day | | | Received | | | | Lunar | | | | 1/31/2028 | | | | 2,400,000 | | | | 524 | | | | (9,021 | ) | | | (8,497 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | (30,974,521 | ) | | $ | 52,880,103 | | | $ | 21,905,582 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| 40 | | Annual Report • June 30, 2021 |
Bridge Builder Municipal Bond Fund
Summary Schedule of Investments
June 30, 2021
| | | | | | | | |
| | | Principal
Amount | | | Value | |
MUNICIPAL BONDS – 96.03% | | | | | | | | |
| Education – 8.06% | | | | | | | | |
Alabama Public School & College Authority, 5.00%, Nov. 2037 | | $ | 47,500,000 | | | $ | 62,859,928 | |
New Jersey Economic Development Authority, 5.25%, Sep. 2024 (1)(2) | | | 35,925,000 | | | | 41,177,946 | |
Tennessee State School Bond Authority, 5.00%, Nov. 2040 | | | 25,000,000 | | | | 29,837,107 | |
Illinois Finance Authority, 5.00%, Aug. 2021-Aug. 2049 (2) | | | 6,500,000 | | | | 7,858,281 | |
New Jersey Economic Development Authority, 5.00%-5.50%, Jun. 2024-Jun. 2054 (1)(2) | | | 28,715,000 | | | | 32,998,446 | |
New York State Dormitory Authority, 5.00%, Oct. 2021-Oct. 2030 (2) | | | 5,835,000 | | | | 7,244,684 | |
Tender Option Bond Trust Receipts/Certificates, 0.10%, Dec. 2043-Jul. 2059 (1)(2)(3) | | | 3,100,000 | | | | 3,100,000 | |
Other Securities (1)(3) | | | 527,420,000 | | | | 611,726,978 | |
| | | | | | | | |
Total Education | | | | 796,803,370 | |
| | | | | |
| General Obligation – 16.27% | | | | | | | | |
Commonwealth of Pennsylvania, 4.00%, Apr. 2033 | | | 20,000,000 | | | | 21,255,776 | |
Maricopa County Special Health Care District, 4.00%, Jul. 2038 | | | 19,340,000 | | | | 22,489,322 | |
Northside Independent School District, 0.70%, Jun. 2050 (3) | | | 24,595,000 | | | | 24,684,509 | |
State of California, 5.00%, Nov. 2036 | | | 25,000,000 | | | | 33,124,355 | |
State of Hawaii, 5.00%, Jan. 2032 | | | 12,800,000 | | | | 16,413,279 | |
State of Illinois, 5.00%, Nov. 2025 (2) | | | 15,745,000 | | | | 18,544,708 | |
State of New Jersey, 4.00%, Jun. 2030 | | | 15,285,000 | | | | 18,781,520 | |
State of New Jersey, 5.00%, Jun. 2029 | | | 16,450,000 | | | | 21,301,126 | |
Illinois Finance Authority, 3.00%, Jul. 2035 (2) | | | 2,250,000 | | | | 2,352,271 | |
State of California, 4.00%-5.00%, Aug. 2022-Nov. 2041 | | | 67,875,000 | | | | 83,395,660 | |
State of Illinois, 4.00%-5.50%, Sep. 2021-Jul. 2038 (2) | | | 116,525,000 | | | | 132,215,902 | |
Tender Option Bond Trust Receipts/Certificates, 0.10%, Aug. 2055 (1)(2)(3) | | | 1,000,000 | | | | 1,000,000 | |
Other Securities (1)(3)(4) | | | 1,059,016,500 | | | | 1,213,175,009 | |
| | | | | | | | |
Total General Obligation | | | | 1,608,733,437 | |
| | | | | |
| General Revenue – 28.77% | | | | | | | | |
Buckeye Tobacco Settlement Financing Authority, 5.00%, Jun. 2055 | | | 38,820,000 | | | | 45,347,890 | |
California Infrastructure & Economic Development Bank, 0.00%, Jan. 2050 (1)(3) | | | 26,180,000 | | | | 26,178,641 | |
Central Plains Energy Project, 4.00%, Dec. 2049 (3) | | | 32,420,000 | | | | 36,726,229 | |
Chandler Industrial Development Authority, 5.00%, Jun. 2049 (3) | | | 18,960,000 | | | | 21,394,024 | |
City of Whiting IN, 5.00%, Dec. 2044 (3) | | | 21,625,000 | | | | 26,247,387 | |
Indiana Finance Authority, 0.12%, May 2028 (3) | | | 19,250,000 | | | | 19,248,780 | |
Kentucky Public Energy Authority, 4.00%, Dec. 2049 (3) | | | 21,270,000 | | | | 23,940,858 | |
Kentucky Public Energy Authority, 4.00%, Dec. 2050 (3) | | | 16,560,000 | | | | 19,092,246 | |
Lower Alabama Gas District, 4.00%, Dec. 2050 (3) | | | 15,610,000 | | | | 17,753,954 | |
Main Street Natural Gas, Inc., 4.00%, Aug. 2049 (3) | | | 52,070,000 | | | | 58,030,375 | |
Main Street Natural Gas, Inc., 4.00%, Mar. 2050 (3) | | | 20,000,000 | | | | 23,123,208 | |
Metropolitan Pier & Exposition Authority, 5.00%, Jun. 2050 | | | 16,465,000 | | | | 20,563,995 | |
New York State Dormitory Authority, 4.00%, Mar. 2032 (2) | | | 20,000,000 | | | | 22,432,356 | |
Parish of St James LA, 0.09%, Nov. 2040 (3) | | | 16,125,000 | | | | 16,125,000 | |
Patriots Energy Group Financing Agency, 4.00%, Oct. 2048 (3) | | | 34,175,000 | | | | 37,094,769 | |
Port of Port Arthur Navigation District, 0.06%, Apr. 2040 (3) | | | 65,725,000 | | | | 65,725,000 | |
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, 4.33%, Jul. 2040 | | | 31,864,000 | | | | 35,713,477 | |
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, 5.00%, Jul. 2058 | | | 23,235,000 | | | | 26,781,054 | |
Southeast Energy Authority A Cooperative District, 4.00%, Nov. 2051 (3) | | | 15,000,000 | | | | 17,919,185 | |
Tennergy Corp., 4.00%, Dec. 2051 (3) | | | 25,000,000 | | | | 29,994,217 | |
Washington State Convention Center Public Facilities District, 4.00%, Jul. 2031 | | | 15,125,000 | | | | 17,699,304 | |
Illinois Finance Authority, 4.00%-5.25%, May 2023-May 2047 (1)(2)(3) | | | 4,070,000 | | | | 4,323,941 | |
Main Street Natural Gas, Inc., 0.81%-5.00%, Mar. 2023-Aug. 2048 (3)(5) | | | 29,640,000 | | | | 32,895,289 | |
Metropolitan Transportation Authority, 0.48%-5.00%, Nov. 2024-Nov. 2036 (2)(5) | | | 5,850,000 | | | | 6,443,477 | |
New Jersey Economic Development Authority, 3.13%-5.63%, Jun. 2022-Jan. 2052 (2) | | | 47,230,000 | | | | 54,602,767 | |
New Jersey Transportation Trust Fund Authority, 0.00%-5.50%, Dec. 2021-Jun. 2050 (2) | | | 100,895,000 | | | | 116,109,116 | |
New York State Dormitory Authority, 3.00%-5.25%, Jul. 2023-Mar. 2038 (2) | | | 56,955,000 | | | | 68,039,786 | |
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, 0.00%-4.78%, Jul. 2024-Jul. 2058 | | | 61,638,000 | | | | 49,536,990 | |
State of Illinois, 5.00%, Jun. 2024-Jun. 2025 (2) | | | 9,095,000 | | | | 9,875,291 | |
Tender Option Bond Trust Receipts/Certificates, 0.10%-0.25%, Dec. 2028-Oct. 2051 (1)(2)(3) | | | 24,810,000 | | | | 24,810,000 | |
Other Securities (1)(3)(4)(5)(7) | | | 1,680,462,519 | | | | 1,871,232,038 | |
| | | | | | | | |
Total General Revenue | | | | 2,845,000,644 | |
| | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2021 | | 41 |
Bridge Builder Municipal Bond Fund
Summary Schedule of Investments
June 30, 2021 (Continued)
| | | | | | | | |
| | | Principal
Amount | | | Value | |
| Healthcare – 12.45% | | | | | | | | |
Arizona Health Facilities Authority, 4.00%, Jan. 2043 | | $ | 24,000,000 | | | $ | 24,463,951 | |
Illinois Finance Authority, 5.00%, May 2028 (2) | | | 12,620,000 | | | | 16,013,076 | |
Kansas Development Finance Authority, 5.00%, Nov. 2054 (3) | | | 14,000,000 | | | | 18,042,119 | |
Michigan Finance Authority, 1.20%, Oct. 2038 (3) | | | 18,900,000 | | | | 18,964,441 | |
Illinois Finance Authority, 2.25%-5.25%, Dec. 2022-Jul. 2057 (2)(3) | | | 101,685,000 | | | | 120,242,243 | |
New Jersey Economic Development Authority, 5.00%, Oct. 2039-Jan. 2040 (1)(2) | | | 895,000 | | | | 915,122 | |
New York State Dormitory Authority, 5.00%, Dec. 2022-May 2048 (1)(2)(3) | | | 19,560,000 | | | | 22,109,089 | |
Tender Option Bond Trust Receipts/Certificates, 0.10%-0.27%, May 2022-Sep. 2050 (1)(2)(3) | | | 29,040,000 | | | | 29,040,000 | |
Other Securities (1)(3)(4)(5) | | | 858,611,958 | | | | 981,616,595 | |
| | | | | | | | |
Total Healthcare | | | | 1,231,406,636 | |
| | | | | |
| Housing – 4.81% | | | | | | | | |
New York City Housing Development Corp., 0.70%, Nov. 2060 (3) | | | 27,525,000 | | | | 27,552,960 | |
New Jersey Economic Development Authority, 5.00%, Jun. 2026-Jan. 2048 (2) | | | 3,400,000 | | | | 3,728,075 | |
Tender Option Bond Trust Receipts/Certificates, 0.33%, Apr. 2059-Apr. 2065 (1)(2)(3) | | | 29,850,000 | | | | 29,850,000 | |
Other Securities (1)(3)(5) | | | 385,173,773 | | | | 414,598,526 | |
| | | | | | | | |
Total Housing | | | | 475,729,561 | |
| | | | | |
| Transportation – 17.27% | | | | | | | | |
Chicago O’Hare International Airport, 5.00%, Jan. 2032 | | | 13,995,000 | | | | 16,221,141 | |
Illinois State Toll Highway Authority, 5.00%, Jan. 2045 | | | 12,810,000 | | | | 16,533,607 | |
Metropolitan Transportation Authority, 5.00%, Sep. 2021 (2) | | | 25,000,000 | | | | 25,195,010 | |
Metropolitan Washington Airports Authority Aviation Revenue, 5.00%, Oct. 2027 | | | 42,565,000 | | | | 53,015,005 | |
Port of Seattle WA, 5.00%, Aug. 2039 | | | 13,380,000 | | | | 17,357,457 | |
State of Connecticut Special Tax Revenue, 5.00%, Oct. 2031 | | | 26,000,000 | | | | 28,553,452 | |
Metropolitan Transportation Authority, 0.00%-5.25%, Nov. 2021-Nov. 2052 (2)(5) | | | 82,310,000 | | | | 96,286,659 | |
Metropolitan Washington Airports Authority, 5.00%, Oct. 2021-Oct. 2043 | | | 33,130,000 | | | | 40,165,026 | |
Metropolitan Washington Airports Authority Aviation Revenue, 4.00%-5.00%, Oct. 2030-Oct. 2038 | | | 24,545,000 | | | | 32,684,007 | |
New Jersey Transportation Trust Fund Authority, 0.00%-5.00%, Dec. 2028-Jun. 2032 (2) | | | 3,305,000 | | | | 3,325,580 | |
Tender Option Bond Trust Receipts/Certificates, 0.06%-0.28%, Jan. 2024-Oct. 2050 (1)(2)(3) | | | 31,225,000 | | | | 31,225,000 | |
Other Securities (3)(5) | | | 1,165,437,759 | | | | 1,347,693,175 | |
| | | | | | | | |
Total Transportation | | | | 1,708,255,119 | |
| | | | | |
| Utilities – 8.40% | | | | | | | | |
City of Atlanta GA Water & Wastewater Revenue, 5.00%, Nov. 2040 | | | 14,595,000 | | | | 16,963,348 | |
City of San Antonio TX Electric & Gas Systems Revenue, 1.13%, Dec. 2045 (3) | | | 22,440,000 | | | | 22,768,771 | |
County of King WA Sewer Revenue, 5.00%, Jan. 2047 | | | 29,000,000 | | | | 32,446,229 | |
Energy Northwest, 5.00%, Jul. 2028 | | | 15,000,000 | | | | 19,252,107 | |
Illinois Finance Authority, 5.25%, Jul. 2035 (2) | | | 20,085,000 | | | | 26,275,295 | |
Nebraska Public Power District, 0.60%, Jan. 2051 (3) | | | 16,920,000 | | | | 17,023,912 | |
Illinois Finance Authority, 5.00%, Jul. 2022-Jul. 2034 (2) | | | 16,040,000 | | | | 20,753,500 | |
New Jersey Economic Development Authority, 1.20%-5.00%, Nov. 2034-Aug. 2059 (2)(3) | | | 5,755,000 | | | | 6,123,727 | |
Tender Option Bond Trust Receipts/Certificates, 0.11%, Aug. 2050 (1)(2)(3) | | | 4,500,000 | | | | 4,500,000 | |
Other Securities (1)(3)(4)(5) | | | 590,810,000 | | | | 664,545,589 | |
| | | | | | | | |
Total Utilities | | | | 830,652,478 | |
| | | | | |
Total Municipal Bonds
(Cost: $9,079,794,366) | | | | | | | 9,496,581,245 | |
| | | | | |
| | |
| | | Shares | | | Value | |
SHORT-TERM INVESTMENTS – 5.44% | | | | | | | | |
| Money Market Funds – 5.02% | | | | | | | | |
Fidelity Institutional Money Market Government Fund – Class I, 0.01% (6) | | | 496,828,340 | | | | 496,828,340 | |
| | | | | | | | |
Total Money Market Funds | | | | | | | 496,828,340 | |
| | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| 42 | | Annual Report • June 30, 2021 |
Bridge Builder Municipal Bond Fund
Summary Schedule of Investments
June 30, 2021 (Continued)
| | | | | | | | |
| | | Principal
Amount | | | Value | |
| Commercial Paper – 0.18% | | | | | | | | |
California Statewide Communities Development Authority, 0.17%, Dec. 2021 | | $ | 17,335,000 | | | $ | 17,336,536 | |
| | | | | | | | |
Total Commercial Paper | | | | | | | 17,336,536 | |
| | | | | | | | |
| Time Deposits – 0.24% | | | | | | | | |
BBVA, Madrid, 0.01% due 07/01/2021 | | | 3,156,672 | | | | 3,156,672 | |
Citibank, New York, 0.01% due 07/01/2021 | | | 12,136,012 | | | | 12,136,012 | |
Skandinaviska Enskilda Banken AB, Stockholm, 0.01% due 07/01/2021 | | | 290 | | | | 290 | |
Sumitomo, Tokyo, 0.01% due 07/01/2021 | | | 7,929,482 | | | | 7,929,482 | |
| | | | | | | | |
Total Time Deposits | | | | | | | 23,222,456 | |
| | | | | | | | |
Total Short-Term Investments
(Cost: $537,385,796) | | | | | | | 537,387,332 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES – 101.47%
(Cost: $9,617,180,162) | | | | | | | 10,033,968,577 | |
LIABILITIES IN EXCESS OF OTHER ASSETS – (1.47)% | | | | | | | (145,113,130 | ) |
| | | | | | | | |
TOTAL NET ASSETS – 100.00% | | | | | | $ | 9,888,855,447 | |
| | | | | | | | |
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 totals $541,132,460, which represents 5.47% of total net assets. |
| (2) | | Issuer includes securities in multiple categories. The market value of the issuer as a whole is greater than 1% of the Fund’s total net assets. |
| (3) | | Adjustable rate security or includes adjustable rate securities. The rate reported is the rate in effect as of June 30, 2021. |
| (4) | | Includes securities in default as of June 30, 2021. The value of these securities totals $60,325,711, which represents 0.61% of total net assets. |
| (5) | | Includes variable rate securities based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2021. |
| (6) | | Represents annualized seven-day yield as of the close of the reporting period. |
| (7) | | Includes securities restricted at June 30, 2021. The value of the restricted securities totals $15,217,604, which represents 0.15% of total net assets. |
Open Futures Contracts
| | | | | | | | | | | | | | | | | | | | | | |
Number of Contracts
Sold | | Reference Entity | | Counterparty | | | Expiration
Date | | | Notional
Amount | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
| (400) | | U.S. 5 Year Note Future | | | Citigroup Global Markets | | | | Sep. 2021 | | | $ | (49,478,124 | ) | | $ | (49,371,875 | ) | | $ | 106,249 | |
| (332) | | U.S. 5 Year Note Future | | | Bank of America | | | | Sep. 2021 | | | | (40,942,895 | ) | | | (40,978,656 | ) | | | (35,761 | ) |
| (357) | | U.S. 10 Year Note Future | | | Bank of America | | | | Sep. 2021 | | | | (47,123,976 | ) | | | (47,302,500 | ) | | | (178,524 | ) |
| (200) | | U.S. 10 Year Note Future | | | Citigroup Global Markets | | | | Sep. 2021 | | | | (26,347,430 | ) | | | (26,500,000 | ) | | | (152,570 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | (260,606 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2021 | | 43 |
Bridge Builder Municipal Bond Fund
Summary Schedule of Investments
June 30, 2021 (Continued)
| | | | |
State/U.S. Territory | | Percentage of
Net Assets | |
Alabama | | | 1.98 | % |
Alaska | | | 0.12 | |
Arizona | | | 2.34 | |
Arkansas | | | 0.12 | |
California | | | 6.01 | |
Colorado | | | 2.04 | |
Connecticut | | | 2.43 | |
Delaware | | | 0.48 | |
District of Columbia | | | 2.37 | |
Florida | | | 5.24 | |
Georgia | | | 3.16 | |
Guam | | | 0.15 | |
Hawaii | | | 0.73 | |
Idaho | | | 0.14 | |
Illinois | | | 8.27 | |
Indiana | | | 1.88 | |
Iowa | | | 0.36 | |
Kansas | | | 0.27 | |
Kentucky | | | 1.44 | |
Louisiana | | | 1.71 | |
Maine | | | 0.15 | |
Maryland | | | 1.52 | |
Massachusetts | | | 1.78 | |
Michigan | | | 2.67 | |
Minnesota | | | 0.34 | |
Mississippi | | | 0.46 | |
Missouri | | | 0.96 | |
Montana | | | 0.03 | |
Nebraska | | | 0.75 | |
Nevada | | | 1.26 | |
New Hampshire | | | 0.48 | |
| | | | |
State/U.S. Territory (Continued) | | Percentage of
Net Assets | |
New Jersey | | | 4.67 | % |
New Mexico | | | 0.28 | |
New York | | | 9.95 | |
North Carolina | | | 1.20 | |
North Dakota | | | 0.11 | |
Ohio | | | 2.13 | |
Oklahoma | | | 0.67 | |
Oregon | | | 0.63 | |
Pennsylvania | | | 4.71 | |
Puerto Rico | | | 2.43 | |
Rhode Island | | | 0.31 | |
South Carolina | | | 1.05 | |
South Dakota | | | 0.24 | |
Tennessee | | | 1.26 | |
Texas | | | 8.29 | |
Utah | | | 0.39 | |
Vermont | | | 0.06 | |
Virgin Islands | | | 0.03 | |
Virginia | | | 1.22 | |
Washington | | | 3.03 | |
West Virginia | | | 0.12 | |
Wisconsin | | | 1.48 | |
Wyoming | | | 0.13 | |
| | | | |
Total Municipal Bonds | | | 96.03 | |
| | | | |
SHORT-TERM INVESTMENTS | | | 5.44 | |
| | | | |
TOTAL INVESTMENTS IN SECURITIES | | | 101.47 | |
LIABILITIES IN EXCESS OF OTHER ASSETS | | | -1.47 | |
| | | | |
TOTAL NET ASSETS | | | 100.00 | % |
| | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| 44 | | Annual Report • June 30, 2021 |
Bridge Builder Large Cap Growth Fund
Summary Schedule of Investments
June 30, 2021
| | | | | | | | |
| | | Shares | | | Value | |
COMMON STOCKS – 98.52% | | | | | |
| Communication Services – 11.72% | |
Alphabet, Inc. – Class A (1) | | | 239,205 | | | $ | 584,088,377 | |
Alphabet, Inc. – Class C (1) | | | 149,120 | | | | 373,742,438 | |
Facebook, Inc. – Class A(1) | | | 1,364,161 | | | | 474,332,421 | |
Netflix, Inc. (1) | | | 231,616 | | | | 122,341,887 | |
Walt Disney Co. (1) | | | 1,544,006 | | | | 271,389,935 | |
Other Securities (1) | | | 2,256,216 | | | | 237,364,423 | |
| | | | | | | | |
Total Communication Services | | | | 2,063,259,481 | |
| | | | | |
| Consumer Discretionary – 15.01% | |
Amazon.com, Inc. (1) | | | 202,047 | | | | 695,074,007 | |
Lowe’s Companies, Inc. | | | 682,441 | | | | 132,373,081 | |
McDonald’s Corp. | | | 676,635 | | | | 156,295,919 | |
NIKE, Inc. – Class B | | | 1,685,180 | | | | 260,343,458 | |
Tesla, Inc. (1) | | | 345,138 | | | | 234,590,299 | |
Yum! Brands, Inc. | | | 1,910,232 | | | | 219,733,987 | |
Other Securities (1) | | | 5,289,049 | | | | 944,321,029 | |
| | | | | | | | |
Total Consumer Discretionary | | | | 2,642,731,780 | |
| | | | | |
| Consumer Staples – 3.06% | |
Coca-Cola Co. | | | 2,449,730 | | | | 132,554,890 | |
Other Securities (1) | | | 2,874,798 | | | | 406,452,818 | |
| | | | | | | | |
Total Consumer Staples | | | | 539,007,708 | |
| | | | | |
| Energy – 0.85% | |
ConocoPhillips | | | 2,359,484 | | | | 143,692,576 | |
Other Securities (1) | | | 62,893 | | | | 5,689,919 | |
| | | | | | | | |
Total Energy | | | | 149,382,495 | |
| | | | | |
| Financials – 8.01% | |
American Express Co. | | | 2,184,551 | | | | 360,953,362 | |
Bank of America Corp. | | | 5,791,947 | | | | 238,801,975 | |
Intercontinental Exchange, Inc. | | | 1,824,318 | | | | 216,546,547 | |
JPMorgan Chase & Co. | | | 878,765 | | | | 136,683,108 | |
MSCI, Inc. – Class A | | | 389,710 | | | | 207,746,607 | |
Other Securities (1) | | | 1,969,366 | | | | 249,713,639 | |
| | | | | | | | |
Total Financials | | | | 1,410,445,238 | |
| | | | | |
| Healthcare – 15.43% | |
Abbott Laboratories | | | 1,529,249 | | | | 177,285,837 | |
Danaher Corp. | | | 1,305,747 | | | | 350,410,265 | |
Illumina, Inc. (1) | | | 313,354 | | | | 148,282,246 | |
Intuitive Surgical, Inc. (1) | | | 189,861 | | | | 174,603,770 | |
Johnson & Johnson | | | 1,526,089 | | | | 251,407,902 | |
Medtronic Plc | | | 1,729,076 | | | | 214,630,204 | |
Regeneron Pharmaceuticals,
Inc. (1) | | | 330,972 | | | | 184,861,101 | |
Thermo Fisher Scientific, Inc. | | | 568,769 | | | | 286,926,897 | |
UnitedHealth Group, Inc. | | | 910,189 | | | | 364,476,083 | |
Other Securities (1) | | | 4,063,387 | | | | 564,005,120 | |
| | | | | | | | |
Total Healthcare | | | | 2,716,889,425 | |
| | | | | |
| Industrials – 6.10% | | | | | | | | |
Honeywell International, Inc. | | | 901,376 | | | | 197,716,826 | |
IHS Markit Ltd. | | | 1,692,453 | | | | 190,671,755 | |
Union Pacific Corp. | | | 797,885 | | | | 175,478,848 | |
Other Securities (1) | | | 3,844,969 | | | | 509,752,798 | |
| | | | | | | | |
Total Industrials | | | | 1,073,620,227 | |
| | | | | |
| | | | | | | | |
| | | Shares | | | Value | |
| Information Technology – 34.48% | |
Adobe, Inc. (1) | | | 344,734 | | | $ | 201,890,020 | |
Analog Devices, Inc. | | | 706,344 | | | | 121,604,183 | |
Apple, Inc. | | | 3,830,950 | | | | 524,686,912 | |
Autodesk, Inc. (1) | | | 730,899 | | | | 213,349,418 | |
Cisco Systems, Inc. | | | 2,556,379 | | | | 135,488,087 | |
FleetCor Technologies, Inc. (1) | | | 743,936 | | | | 190,492,252 | |
Intuit, Inc. | | | 451,893 | | | | 221,504,392 | |
Microsoft Corp. | | | 4,024,282 | | | | 1,090,177,994 | |
NVIDIA Corp. | | | 241,038 | | | | 192,854,504 | |
PayPal Holdings, Inc. (1) | | | 1,253,141 | | | | 365,265,539 | |
RingCentral, Inc. – Class A (1) | | | 594,091 | | | | 172,630,963 | |
Salesforce.com, Inc. (1) | | | 1,619,058 | | | | 395,487,298 | |
Shopify, Inc. – Class A (1) | | | 119,404 | | | | 174,446,856 | |
Texas Instruments, Inc. | | | 622,521 | | | | 119,710,788 | |
Visa, Inc. – Class A | | | 2,589,923 | | | | 605,575,796 | |
Workday, Inc. – Class A (1) | | | 1,181,534 | | | | 282,079,427 | |
Other Securities (1)(2) | | | 6,235,374 | | | | 1,064,139,521 | |
| | | | | | | | |
Total Information Technology | | | | 6,071,383,950 | |
| | | | | |
| Materials – 2.06% | |
Ball Corp. | | | 2,281,183 | | | | 184,821,447 | |
Linde Plc | | | 398,588 | | | | 115,231,791 | |
Other Securities (1) | | | 358,734 | | | | 61,803,669 | |
| | | | | | | | |
Total Materials | | | | 361,856,907 | |
| | | | | |
| Real Estate – 1.80% | |
Equinix, Inc. | | | 218,659 | | | | 175,495,713 | |
Prologis, Inc. | | | 966,700 | | | | 115,549,651 | |
Other Securities (1) | | | 152,415 | | | | 26,275,240 | |
| | | | | | | | |
Total Real Estate | | | | 317,320,604 | |
| | | | | |
| Utilities – 0.00% (3) | |
Various Securities | | | 11,824 | | | | 480,868 | |
| | | | | | | | |
Total Utilities | | | | 480,868 | |
| | | | | |
Total Common Stocks
(Cost: $10,433,540,993) | | | | 17,346,378,683 | |
| | | | | |
SHORT-TERM INVESTMENTS – 1.36% | |
| Money Market Funds – 1.29% | |
Goldman Sachs Financial Square Government Fund – Class I, 0.03% (4) | | | 226,383,268 | | | | 226,383,268 | |
| | | | | | | | |
Total Money Market Funds | | | | 226,383,268 | |
| | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2021 | | 45 |
Bridge Builder Large Cap Growth Fund
Summary Schedule of Investments
June 30, 2021 (Continued)
| | | | | | | | |
| | | Principal
Amount | | | Value | |
| Time Deposits – 0.07% | | | | | | | | |
Citibank, New York, 0.01% due 07/01/2021 | | $ | 2,299,000 | | | $ | 2,299,000 | |
National Australia Bank, London, 0.01% due 07/01/2021 | | | 9,973,840 | | | | 9,973,840 | |
| | | | | | | | |
Total Time Deposits | | | | 12,272,840 | |
| | | | | | | | |
Total Short-Term Investments
(Cost: $238,656,108) | | | | 238,656,108 | |
| | | | | |
TOTAL INVESTMENTS IN SECURITIES – 99.88%
(Cost: $10,672,197,101) | | | | 17,585,034,791 | |
| OTHER ASSETS IN EXCESS OF LIABILITIES – 0.12% | | | | 20,711,911 | |
| | | | | | | | |
| TOTAL NET ASSETS – 100.00% | | | $ | 17,605,746,702 | |
| | | | | | | | |
Percentages are stated as a percent of net assets.
| (1) | Non-income producing security or includes securities that are non-income producing. |
| (2) | Includes securities purchased exempt from registration in the U.S. pursuant to Rule 144(A) under the Securities Act of 1933. The value of these securities totals $95,998,952, which represents 0.55% 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. |
Open Futures Contracts
| | | | | | | | | | | | | | | | | | | | | | |
Number of Contracts
Purchased | | Reference Entity | | Counterparty | | | Expiration
Date | | | Notional
Amount | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
| 35 | | NASDAQ 100 E-mini Future | | | Morgan Stanley | | | | Sep. 2021 | | | $ | 9,857,234 | | | $ | 10,184,300 | | | $ | 327,066 | |
| 9 | | S&P 500 E-mini Future | | | Morgan Stanley | | | | Sep. 2021 | | | | 1,904,945 | | | | 1,929,825 | | | | 24,880 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | 351,946 | |
| | | | | | | | | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| 46 | | Annual Report • June 30, 2021 |
Bridge Builder Large Cap Value Fund
Summary Schedule of Investments
June 30, 2021
| | | | | | | | |
| | | Shares | | | Value | |
COMMON STOCKS – 98.03% | |
| Communication Services – 6.45% | |
Alphabet, Inc. – Class A (1) | | | 1,753 | | | $ | 4,280,458 | |
Alphabet, Inc. – Class C (1) | | | 95,863 | | | | 240,263,354 | |
Comcast Corp. – Class A | | | 6,186,827 | | | | 352,772,876 | |
Other Securities (1) | | | 9,351,245 | | | | 524,341,696 | |
| | | | | | | | |
Total Communication Services | | | | 1,121,658,384 | |
| | | | | |
| Consumer Discretionary – 9.92% | |
Booking Holdings, Inc. (1) | | | 54,653 | | | | 119,585,683 | |
Compass Group Plc (1) | | | 5,182,900 | | | | 109,192,894 | |
McDonald’s Corp. | | | 620,235 | | | | 143,268,083 | |
NIKE, Inc. – Class B | | | 731,533 | | | | 113,014,533 | |
TJX Companies, Inc. | | | 1,944,029 | | | | 131,066,435 | |
Other Securities (1) | | | 14,756,442 | | | | 1,109,216,249 | |
| | | | | | | | |
Total Consumer Discretionary | | | | 1,725,343,877 | |
| | | | | |
| Consumer Staples – 7.71% | |
Altria Group, Inc. | | | 2,335,596 | | | | 111,361,217 | |
Coca-Cola Co. | | | 2,589,644 | | | | 140,125,637 | |
Colgate-Palmolive Co. | | | 1,432,417 | | | | 116,527,123 | |
Diageo Plc – ADR | | | 526,185 | | | | 100,864,403 | |
Philip Morris International, Inc. | | | 1,676,899 | | | | 166,197,460 | |
Procter & Gamble Co. | | | 889,320 | | | | 119,995,948 | |
Other Securities (1) | | | 13,322,481 | | | | 586,141,059 | |
| | | | | | | | |
Total Consumer Staples | | | | 1,341,212,847 | |
| | | | | |
| Energy – 3.88% | |
EOG Resources, Inc. | | | 1,473,506 | | | | 122,949,341 | |
Hess Corp. | | | 1,163,457 | | | | 101,593,065 | |
Other Securities (1) | | | 8,954,159 | | | | 450,831,825 | |
| | | | | | | | |
Total Energy | | | | 675,374,231 | |
| | | | | |
| Financials – 19.25% | |
American Express Co. | | | 1,240,616 | | | | 204,986,982 | |
American International Group, Inc. | | | 2,660,837 | | | | 126,655,841 | |
Berkshire Hathaway, Inc. –
Class B (1) | | | 393,767 | | | | 109,435,725 | |
Chubb Ltd. | | | 1,165,894 | | | | 185,307,192 | |
Goldman Sachs Group, Inc. | | | 634,350 | | | | 240,754,856 | |
Jefferies Financial Group, Inc. | | | 2,959,092 | | | | 101,200,946 | |
JPMorgan Chase & Co. | | | 784,330 | | | | 121,994,688 | |
Marsh & McLennan Companies, Inc. | | | 853,150 | | | | 120,021,142 | |
Morgan Stanley | | | 2,088,103 | | | | 191,458,164 | |
PNC Financial Services Group, Inc. | | | 523,269 | | | | 99,818,794 | |
Synchrony Financial | | | 2,410,383 | | | | 116,951,783 | |
Wells Fargo & Co. | | | 5,241,882 | | | | 237,404,836 | |
Other Securities (1) | | | 31,027,147 | | | | 1,493,845,754 | |
| | | | | | | | |
Total Financials | | | | 3,349,836,703 | |
| | | | | |
| Healthcare – 14.81% | |
Anthem, Inc. | | | 379,841 | | | | 145,023,294 | |
CVS Health Corp. | | | 1,371,984 | | | | 114,478,345 | |
Johnson & Johnson | | | 1,147,761 | | | | 189,082,147 | |
Medtronic Plc | | | 2,195,558 | | | | 272,534,615 | |
Merck & Co., Inc. | | | 3,930,042 | | | | 305,639,366 | |
Pfizer, Inc. | | | 3,470,394 | | | | 135,900,629 | |
| | | | | | | | |
| | | Shares | | | Value | |
UnitedHealth Group, Inc. | | | 566,862 | | | $ | 226,994,219 | |
Other Securities (1) | | | 10,794,201 | | | | 1,187,263,395 | |
| | | | | | | | |
Total Healthcare | | | | 2,576,916,010 | |
| | | | | |
| Industrials – 16.02% | |
Deere & Co. | | | 397,900 | | | | 140,343,309 | |
FedEx Corp. | | | 513,163 | | | | 153,091,918 | |
General Dynamics Corp. | | | 879,288 | | | | 165,534,759 | |
Honeywell International, Inc. | | | 545,954 | | | | 119,755,010 | |
Northrop Grumman Corp. | | | 605,287 | | | | 219,979,454 | |
Raytheon Technologies Corp. | | | 2,957,043 | | | | 252,265,338 | |
Union Pacific Corp. | | | 530,076 | | | | 116,579,615 | |
United Parcel Service, Inc. – Class B | | | 845,080 | | | | 175,751,288 | |
Other Securities (1) | | | 26,446,162 | | | | 1,444,346,990 | |
| | | | | | | | |
Total Industrials | | | | 2,787,647,681 | |
| | | | | |
| Information Technology – 9.12% | |
Accenture Plc – Class A | | | 326,099 | | | | 96,130,724 | |
Cisco Systems, Inc. | | | 2,720,883 | | | | 144,206,799 | |
Microsoft Corp. | | | 584,801 | | | | 158,422,591 | |
Oracle Corp. | | | 1,606,192 | | | | 125,025,985 | |
QUALCOMM, Inc. | | | 851,343 | | | | 121,682,455 | |
Samsung Electronics Co. Ltd. | | | 1,714,628 | | | | 122,743,628 | |
Other Securities (1) | | | 7,543,627 | | | | 818,661,160 | |
| | | | | | | | |
Total Information Technology | | | | 1,586,873,342 | |
| | | | | |
| Materials – 4.65% | |
International Flavors & Fragrances, Inc. | | | 687,947 | | | | 102,779,282 | |
Linde Plc | | | 370,757 | | | | 107,185,849 | |
Other Securities (1) | | | 11,967,526 | | | | 598,170,922 | |
| | | | | | | | |
Total Materials | | | | 808,136,053 | |
| | | | | |
| Real Estate – 3.62% | |
Various Securities (1) | | | 12,357,132 | | | | 629,550,276 | |
| | | | | | | | |
Total Real Estate | | | | 629,550,276 | |
| | | | | |
| Utilities – 2.60% | |
Various Securities (1) | | | 10,359,503 | | | | 451,916,772 | |
| | | | | | | | |
Total Utilities | | | | 451,916,772 | |
| | | | | |
Total Common Stocks
(Cost: $11,222,731,355) | | | | 17,054,466,176 | |
| | | | | |
CONVERTIBLE PREFERRED STOCKS – 0.25% | |
| Healthcare – 0.06% | |
Becton Dickinson & Co., 6.00% | | | 202,075 | | | | 10,813,033 | |
| | | | | | | | |
Total Healthcare | | | | 10,813,033 | |
| | | | | |
| Utilities – 0.19% | | | | | | | | |
Various Securities | | | 515,755 | | | | 31,759,116 | |
| | | | | | | | |
Total Utilities | | | | 31,759,116 | |
| | | | | |
Total Convertible Preferred Stocks
(Cost: $40,069,708) | | | | 42,572,149 | |
| | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2021 | | 47 |
Bridge Builder Large Cap Value Fund
Summary Schedule of Investments
June 30, 2021 (Continued)
| | | | | | | | |
| | | Shares | | | Value | |
PREFERRED STOCKS – 0.20% | |
| Consumer Discretionary – 0.20% | |
Volkswagen AG | | | 141,499 | | | $ | 35,478,255 | |
| | | | | | | | |
Total Consumer Discretionary | | | | 35,478,255 | |
| | | | | |
Total Preferred Stocks
(Cost: $24,577,761) | | | | 35,478,255 | |
| | | | | |
SHORT-TERM INVESTMENTS – 1.30% | |
| Money Market Funds – 1.08% | |
Goldman Sachs Financial Square Government Fund –Class I, 0.03% (2) | | | 187,295,009 | | | | 187,295,009 | |
| | | | | | | | |
Total Money Market Funds | | | | 187,295,009 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
| Time Deposits – 0.22% | | | | | | | | |
ANZ, London, 0.01% due 07/01/2021 | | $ | 12,162,103 | | | | 12,162,103 | |
Brown Brothers Harriman, -0.78% due 07/01/2021 (3) | | EUR | — | | | | 1 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
BNP Paribas, Paris, -0.78% due 07/01/2021 | | $ | 217,805 | | | $ | 258,262 | |
Citibank, New York, 0.01% due 07/01/2021 | | | 3,411,483 | | | | 3,411,483 | |
Skandinaviska Enskilda Banken, Stockholm, 0.01% due 07/01/2021 | | | 2,043,212 | | | | 2,043,212 | |
Sumitomo, Tokyo, 0.01% due 07/01/2021 | | | 21,169,852 | | | | 21,169,852 | |
| | | | | | | | |
Total Time Deposits | | | | 39,044,913 | |
| | | | | | | | |
Total Short-Term Investments
(Cost: $226,339,922) | | | | 226,339,922 | |
| | | | | |
TOTAL INVESTMENTS IN SECURITIES – 99.78%
(Cost: $11,513,718,746) | | | | 17,358,856,502 | |
| OTHER ASSETS IN EXCESS OF LIABILITIES – 0.22% | | | | 38,585,049 | |
| | | | | |
| TOTAL NET ASSETS – 100.00% | | | $ | 17,397,441,551 | |
| | | | | | | | |
Percentages are stated as a percent of net assets.
Principal amounts are denominated in the currency in which the security was purchased.
ADR American Depositary Receipt
EUR Euro
| (1) | Non-income producing security or includes securities that are non-income producing. |
| (2) | Represents annualized seven-day yield as of the close of the reporting period. |
| (3) | Principal amount calculated is less than EUR 0.5. |
Open Futures Contracts
| | | | | | | | | | | | | | | | | | | | | | |
Number of Contracts
Purchased | | Reference Entity | | Counterparty | | | Expiration
Date | | | Notional
Amount | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
| 30 | | S&P 500 E-mini Future | | | Morgan Stanley | | | | Sep. 2021 | | | $ | 6,404,209 | | | $ | 6,432,750 | | | $ | 28,541 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | 28,541 | |
| | | | | | | | | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| 48 | | Annual Report • June 30, 2021 |
Bridge Builder Small/Mid Cap Growth Fund
Summary Schedule of Investments
June 30, 2021
| | | | | | | | |
| | | Shares | | | Value | |
COMMON STOCKS – 98.51% | |
| Communication Services – 4.61% | |
Match Group, Inc. (1) | | | 373,780 | | | $ | 60,272,025 | |
Roku, Inc. – Class A (1) | | | 96,099 | | | | 44,133,466 | |
Zynga, Inc. – Class A (1) | | | 5,348,010 | | | | 56,849,346 | |
Other Securities (1) | | | 2,278,438 | | | | 114,037,725 | |
| | | | | | | | |
Total Communication Services | | | | 275,292,562 | |
| | | | | |
| Consumer Discretionary – 12.34% | |
Advance Auto Parts, Inc. | | | 232,000 | | | | 47,592,480 | |
Aptiv Plc (1) | | | 204,871 | | | | 32,232,354 | |
Burlington Stores, Inc. (1) | | | 133,083 | | | | 42,851,395 | |
Chegg, Inc. (1) | | | 489,335 | | | | 40,668,632 | |
Chipotle Mexican Grill, Inc. – Class A (1) | | | 23,647 | | | | 36,660,890 | |
Wayfair, Inc. – Class A (1) | | | 116,594 | | | | 36,809,892 | |
Other Securities (1) | | | 7,223,146 | | | | 500,245,139 | |
| | | | | | | | |
Total Consumer Discretionary | | | | 737,060,782 | |
| | | | | |
| Consumer Staples – 4.79% | |
Clorox Co. | | | 197,229 | | | | 35,483,469 | |
Hershey Co. | | | 224,621 | | | | 39,124,486 | |
J.M. Smucker Co. | | | 278,500 | | | | 36,085,245 | |
Other Securities (1) | | | 2,538,462 | | | | 175,662,324 | |
| | | | | | | | |
Total Consumer Staples | | | | 286,355,524 | |
| | | | | |
| Energy – 0.70% | |
Various Securities (1) | | | 2,075,522 | | | | 41,960,496 | |
| | | | | | | | |
Total Energy | | | | 41,960,496 | |
| | | | | |
| Financials – 10.31% | |
Arthur J. Gallagher & Co. | | | 305,000 | | | | 42,724,400 | |
Everest Re Group Ltd. | | | 173,645 | | | | 43,760,276 | |
MSCI, Inc. – Class A | | | 73,357 | | | | 39,105,150 | |
SVB Financial Group (1) | | | 122,154 | | | | 67,970,150 | |
Tradeweb Markets, Inc. – Class A | | | 902,662 | | | | 76,329,099 | |
Other Securities (1) | | | 4,888,813 | | | | 346,002,182 | |
| | | | | | | | |
Total Financials | | | | 615,891,257 | |
| | | | | |
| Healthcare – 22.46% | |
Align Technology, Inc. (1) | | | 67,548 | | | | 41,271,828 | |
Argenx SE – ADR (1) | | | 113,592 | | | | 34,199,143 | |
Ascendis Pharma – ADR (1) | | | 258,970 | | | | 34,067,503 | |
Bio-Techne Corp. | | | 119,775 | | | | 53,929,891 | |
Catalent, Inc. (1) | | | 571,715 | | | | 61,813,826 | |
Dentsply Sirona, Inc. | | | 661,000 | | | | 41,814,860 | |
DexCom, Inc. (1) | | | 130,607 | | | | 55,769,189 | |
Edwards Lifesciences
Corp. (1) | | | 433,000 | | | | 44,845,810 | |
Exact Sciences Corp. (1) | | | 273,887 | | | | 34,046,893 | |
Genmab – ADR (1) | | | 852,501 | | | | 34,807,616 | |
Integra LifeSciences Holdings
Corp. (1) | | | 714,439 | | | | 48,753,317 | |
Veeva Systems, Inc. – Class A (1) | | | 299,856 | | | | 93,240,223 | |
Waters Corp. (1) | | | 142,136 | | | | 49,123,623 | |
West Pharmaceutical Services, Inc. | | | 136,900 | | | | 49,160,790 | |
Other Securities (1)(5) | | | 11,232,944 | | | | 665,259,472 | |
| | | | | | | | |
Total Healthcare | | | | 1,342,103,984 | |
| | | | | |
| | | | | | | | |
| | | Shares | | | Value | |
| Industrials – 14.76% | |
AMETEK, Inc. | | | 403,000 | | | $ | 53,800,500 | |
Clarivate Plc (1) | | | 1,170,000 | | | | 32,210,100 | |
Fortive Corp. | | | 1,207,676 | | | | 84,223,324 | |
Generac Holdings, Inc. (1) | | | 207,369 | | | | 86,089,240 | |
IDEX Corp. | | | 175,327 | | | | 38,580,706 | |
Ingersoll Rand, Inc. (1) | | | 742,574 | | | | 36,245,037 | |
Toro Co. | | | 299,810 | | | | 32,943,123 | |
Other Securities (1) | | | 6,272,304 | | | | 517,964,943 | |
| | | | | | | | |
Total Industrials | | | | 882,056,973 | |
| | | | | |
| Information Technology – 24.97% | |
Asana, Inc. – Class A (1) | | | 899,507 | | | | 55,796,419 | |
Atlassian Corp. Plc – Class A (1) | | | 258,448 | | | | 66,384,953 | |
Datadog, Inc. – Class A (1) | | | 330,546 | | | | 34,403,228 | |
Global Payments, Inc. | | | 410,819 | | | | 77,044,995 | |
HubSpot, Inc. (1) | | | 127,334 | | | | 74,200,068 | |
Lattice Semiconductor Corp. (1) | | | 596,584 | | | | 33,516,089 | |
Medallia, Inc. (1) | | | 1,469,507 | | | | 49,595,861 | |
Palo Alto Networks, Inc. (1) | | | 122,025 | | | | 45,277,376 | |
Synopsys, Inc. (1) | | | 185,779 | | | | 51,235,990 | |
Workday, Inc. – Class A (1) | | | 201,500 | | | | 48,106,110 | |
Zscaler, Inc. (1) | | | 302,479 | | | | 65,353,613 | |
Other Securities (1) | | | 11,464,469 | | | | 891,185,033 | |
| | | | | | | | |
Total Information Technology | | | | 1,492,099,735 | |
| | | | | |
| Materials – 2.31% | |
AptarGroup, Inc. | | | 258,500 | | | | 36,407,140 | |
Other Securities (1) | | | 2,353,259 | | | | 101,677,456 | |
| | | | | | | | |
Total Materials | | | | 138,084,596 | |
| | | | | |
| Real Estate – 1.23% | |
Various Securities (1) | | | 1,512,641 | | | | 73,754,139 | |
| | | | | | | | |
Total Real Estate | | | | 73,754,139 | |
| | | | | |
| Utilities – 0.03% | |
Various Securities (1) | | | 53,834 | | | | 1,982,907 | |
| | | | | | | | |
Total Utilities | | | | 1,982,907 | |
| | | | | |
Total Common Stocks
(Cost: $3,703,352,109) | | | | 5,886,642,955 | |
| | | | | |
| | |
| | | Principal
Amount | | | Value | |
BONDS & NOTES – 0.00% (2) | |
| Corporate Bonds – 0.00% (2) | |
| Financials – 0.00% (2) | |
GAMCO Investors, Inc., 4.00%, Jun. 2023 (3) | | $ | 3,000 | | | | 3,000 | |
| | | | | | | | |
Total Financials | | | | 3,000 | |
| | | | | |
Total Corporate Bonds | | | | 3,000 | |
| | | | | | | | |
Total Bonds & Notes
(Cost: $-) | | | | 3,000 | |
| | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2021 | | 49 |
Bridge Builder Small/Mid Cap Growth Fund
Summary Schedule of Investments
June 30, 2021 (Continued)
| | | | | | | | |
| | |
| | | Shares | | | Value | |
SHORT-TERM INVESTMENTS – 1.48% | | | | | |
| Money Market Funds – 1.06% | | | | | |
Goldman Sachs Financial Square Government Fund – Class I, 0.03% (4) | | | 63,231,943 | | | $ | 63,231,943 | |
| | | | | | | | |
Total Money Market Funds | | | | 63,231,943 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
| Time Deposits – 0.42% | | | | | | | | |
BBVA, Madrid, 0.01% due 07/01/2021 | | $ | 5,029,792 | | | | 5,029,792 | |
National Australia Bank, London, 0.01% due 07/01/2021 | | | 13,873,916 | | | | 13,873,916 | |
Royal Bank of Canada, Toronto, 0.01% due 07/01/2021 | | | 1,557,407 | | | | 1,557,407 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Sumitomo, Tokyo, 0.01% due 07/01/2021 | | $ | 4,530,662 | | | $ | 4,530,662 | |
| | | | | | | | |
Total Time Deposits | | | | 24,991,777 | |
| | | | | | | | |
Total Short-Term Investments
(Cost: $88,223,720) | | | | 88,223,720 | |
| | | | | |
TOTAL INVESTMENTS IN SECURITIES – 99.99%
(Cost: $3,791,575,829) | | | | 5,974,869,675 | |
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.01% | | | | 797,201 | |
| | | | | | | | |
TOTAL NET ASSETS – 100.00% | | | $ | 5,975,666,876 | |
| | | | | | | | |
Percentages are stated as a percent of net assets.
ADR American Depositary Receipt
| (1) | Non-income producing security or includes securities that are non-income producing. |
| (2) | Amount calculated is less than 0.005%. |
| (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 June 30, 2021. |
| (4) | Represents annualized seven-day yield as of the close of the reporting period. |
| (5) | Includes securities categorized as Level 3 per the Trust’s fair value hierarchy. The value of these securities totals $15,953, which represents 0.00% of total net assets. |
Open Futures Contracts
| | | | | | | | | | | | | | | | | | | | |
Number of Contracts
Purchased | | Reference Entity | | Counterparty | | Expiration
Date | | | Notional
Amount | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
| 23 | | E-mini Russell 2000 Future | | Morgan Stanley | | | Sep. 2021 | | | $ | 2,635,660 | | | $ | 2,653,970 | | | $ | 18,310 | |
| 2 | | NASDAQ 100 E-mini Future | | Morgan Stanley | | | Sep. 2021 | | | | 572,397 | | | | 581,960 | | | | 9,563 | |
| 5 | | S&P 500 E-mini Future | | Morgan Stanley | | | Sep. 2021 | | | | 1,067,964 | | | | 1,072,125 | | | | 4,161 | |
| 2 | | S&P MidCap 400 E-mini Future | | Morgan Stanley | | | Sep. 2021 | | | | 547,141 | | | | 538,480 | | | | (8,661 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 23,373 | |
| | | | | | | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| 50 | | Annual Report • June 30, 2021 |
Bridge Builder Small/Mid Cap Value Fund
Summary Schedule of Investments
June 30, 2021
| | | | | | | | |
| | | Shares | | | Value | |
COMMON STOCKS – 98.19% | | | | | |
| Communication Services – 1.80% | | | | | |
Nexstar Media Group, Inc. – Class A | | | 241,704 | | | $ | 35,743,188 | |
Other Securities (1) | | | 3,325,477 | | | | 90,125,476 | |
| | | | | | | | |
Total Communication Services | | | | 125,868,664 | |
| | | | | |
| Consumer Discretionary – 12.48% | | | | | |
Aramark | | | 787,928 | | | | 29,350,318 | |
Grand Canyon Education, Inc. (1) | | | 323,518 | | | | 29,106,914 | |
Red Rock Resorts, Inc. – Class A (1) | | | 575,880 | | | | 24,474,900 | |
Skechers USA, Inc. – Class A (1) | | | 1,084,873 | | | | 54,059,222 | |
Whirlpool Corp. | | | 126,290 | | | | 27,533,746 | |
Other Securities (1) | | | 13,448,455 | | | | 709,918,709 | |
| | | | | | | | |
Total Consumer Discretionary | | | | 874,443,809 | |
| | | | | |
| Consumer Staples – 3.42% | | | | | | | | |
Various Securities (1) | | | 5,209,929 | | | | 239,924,727 | |
| | | | | | | | |
Total Consumer Staples | | | | 239,924,727 | |
| | | | | |
| Energy – 5.07% | | | | | | | | |
ChampionX Corp. (1) | | | 979,282 | | | | 25,118,583 | |
Diamondback Energy, Inc. | | | 480,701 | | | | 45,133,017 | |
Magnolia Oil & Gas Corp. – Class A (1) | | | 1,800,576 | | | | 28,143,003 | |
Matador Resources Co. | | | 731,206 | | | | 26,330,728 | |
Pioneer Natural Resources Co. | | | 266,799 | | | | 43,360,173 | |
Other Securities (1) | | | 8,264,639 | | | | 187,515,618 | |
| | | | | | | | |
Total Energy | | | | 355,601,122 | |
| | | | | |
| Financials – 20.82% | | | | | | | | |
American International Group, Inc. | | | 508,968 | | | | 24,226,877 | |
Ameriprise Financial, Inc. | | | 184,405 | | | | 45,894,716 | |
Discover Financial Services | | | 294,273 | | | | 34,809,553 | |
East West Bancorp, Inc. | | | 378,209 | | | | 27,113,803 | |
Everest Re Group Ltd. | | | 97,743 | | | | 24,632,213 | |
Fifth Third Bancorp | | | 1,131,779 | | | | 43,267,911 | |
Huntington Bancshares, Inc. | | | 3,499,834 | | | | 49,942,631 | |
KeyCorp | | | 1,535,261 | | | | 31,703,140 | |
Selective Insurance Group, Inc. | | | 360,338 | | | | 29,241,429 | |
SLM Corp. | | | 1,351,316 | | | | 28,296,557 | |
Synchrony Financial | | | 686,854 | | | | 33,326,156 | |
Other Securities (1)(5) | | | 29,000,703 | | | | 1,086,696,491 | |
| | | | | | | | |
Total Financials | | | | 1,459,151,477 | |
| | | | | |
| Healthcare – 9.03% | | | | | | | | |
Avantor, Inc. (1) | | | 904,891 | | | | 32,132,679 | |
Elanco Animal Health, Inc. (1) | | | 1,437,995 | | | | 49,884,047 | |
Sotera Health Co. (1) | | | 1,198,275 | | | | 29,034,203 | |
Other Securities (1)(5) | | | 11,057,464 | | | | 521,719,762 | |
| | | | | | | | |
Total Healthcare | | | | 632,770,691 | |
| | | | | |
| Industrials – 18.21% | | | | | | | | |
Altra Industrial Motion Corp. | | | 386,076 | | | | 25,102,662 | |
AMETEK, Inc. | | | 329,069 | | | | 43,930,711 | |
CACI International, Inc. – Class A (1) | | | 135,062 | | | | 34,457,017 | |
Crane Co. | | | 307,786 | | | | 28,430,193 | |
| | | | | | | | |
| | | Shares | | | Value | |
Dover Corp. | | | 164,875 | | | $ | 24,830,175 | |
Hubbell, Inc. – Class B | | | 167,398 | | | | 31,276,642 | |
nVent Electric PLC | | | 1,016,613 | | | | 31,758,990 | |
Oshkosh Corp. | | | 391,023 | | | | 48,737,107 | |
Parker-Hannifin Corp. | | | 105,712 | | | | 32,465,212 | |
Textron, Inc. | | | 376,713 | | | | 25,906,553 | |
Timken Co. | | | 391,586 | | | | 31,557,916 | |
WESCO International, Inc. (1) | | | 248,167 | | | | 25,516,531 | |
WillScot Mobile Mini Holdings Corp. – Class A (1) | | | 1,290,550 | | | | 35,967,629 | |
Other Securities (1)(2) | | | 16,989,450 | | | | 856,300,668 | |
| | | | | | | | |
Total Industrials | | | | 1,276,238,006 | |
| | | | | | | | |
| Information Technology – 9.72% | | | | | |
Alliance Data Systems Corp. | | | 344,781 | | | | 35,922,732 | |
Methode Electronics, Inc. | | | 583,010 | | | | 28,689,922 | |
Motorola Solutions, Inc. | | | 170,602 | | | | 36,995,044 | |
NXP Semiconductors NV | | | 124,473 | | | | 25,606,586 | |
Qorvo, Inc. (1) | | | 145,571 | | | | 28,480,966 | |
SolarWinds Corp. (1) | | | 1,458,815 | | | | 24,639,385 | |
Other Securities (1) | | | 10,779,279 | | | | 501,059,274 | |
| | | | | | | | |
Total Information Technology | | | | 681,393,909 | |
| | | | | | | | |
| Materials – 7.62% | | | | | | | | |
Avient Corp. | | | 506,899 | | | | 24,919,155 | |
Constellium SE – Class A (1) | | | 1,992,645 | | | | 37,760,623 | |
Crown Holdings, Inc. | | | 357,991 | | | | 36,590,260 | |
Element Solutions, Inc. | | | 1,072,004 | | | | 25,063,453 | |
FMC Corp. | | | 376,909 | | | | 40,781,554 | |
Other Securities (1) | | | 8,382,974 | | | | 368,590,894 | |
| | | | | | | | |
Total Materials | | | | 533,705,939 | |
| | | | | | | | |
| Real Estate – 5.82% | | | | | | | | |
Various Securities (1) | | | 14,682,756 | | | | 407,750,059 | |
| | | | | | | | |
Total Real Estate | | | | 407,750,059 | |
| | | | | | | | |
| Utilities – 4.20% | | | | | | | | |
Vistra Corp. | | | 1,671,710 | | | | 31,010,221 | |
Other Securities (1) | | | 6,279,590 | | | | 263,284,353 | |
| | | | | | | | |
Total Utilities | | | | 294,294,574 | |
| | | | | | | | |
Total Common Stocks
(Cost: $4,668,367,695) | | | | 6,881,142,977 | |
| | | | | | | | |
| WARRANTS – 0.00% (3) | | | | | | | | |
Nabors Industries Ltd., expires 06/11/2026 (1) | | | 120 | | | | 1,200 | |
| | | | | | | | |
Total Warrants
(Cost: $309) | | | | 1,200 | |
| | | | | | | | |
SHORT-TERM INVESTMENTS – 1.61% | | | | | |
| Money Market Funds – 0.86% | | | | | | | | |
Goldman Sachs Financial Square Government Fund – Class I, 0.03% (4) | | | 60,192,969 | | | | 60,192,969 | |
| | | | | | | | |
Total Money Market Funds | | | | 60,192,969 | |
| | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2021 | | 51 |
Bridge Builder Small/Mid Cap Value Fund
Summary Schedule of Investments
June 30, 2021 (Continued)
| | | | | | | | |
| | |
| | | Principal
Amount | | | Value | |
| Time Deposits – 0.75% | | | | | | | | |
BBVA, Madrid, 0.01% due 07/01/2021 | | $ | 9,982,075 | | | $ | 9,982,075 | |
China Construction Bank, New York, 0.01% due 07/01/2021 | | | 9,222,410 | | | | 9,222,409 | |
Citibank, New York, 0.01% due 07/01/2021 | | | 8,651,565 | | | | 8,651,565 | |
National Australia Bank, London, 0.01% due 07/01/2021 | | | 1,847,139 | | | | 1,847,139 | |
Royal Bank of Canada, Toronto, 0.01% due 07/01/2021 | | | 12,973,466 | | | | 12,973,466 | |
Royal Bank of Canada, Toronto, 0.01% due 07/02/2021 | | CAD | 17 | | | | 14 | |
Skandinaviska Enskilda Banken, Stockholm, 0.01% due 07/01/2021 | | $ | 2,197,994 | | | | 2,197,994 | |
| | | | | | | | |
| | |
| | | Principal
Amount | | | Value | |
Sumitomo, Tokyo, 0.01% due 07/01/2021 | | $ | 7,916,592 | | | $ | 7,916,592 | |
| | | | | | | | |
Total Time Deposits | | | | 52,791,254 | |
| | | | | | | | |
Total Short-Term Investments
(Cost: $112,984,223) | | | | 112,984,223 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES – 99.80%
(Cost: $4,781,352,227) | | | | 6,994,128,400 | |
| OTHER ASSETS IN EXCESS OF LIABILITIES – 0.20% | | | | 14,159,583 | |
| | | | | | | | |
| TOTAL NET ASSETS – 100.00% | | | $ | 7,008,287,983 | |
| | | | | | | | |
Percentages are stated as a percent of net assets.
Principal amounts are denominated in the currency in which the security was purchased.
CAD Canadian Dollar
| (1) | Non-income producing security or includes securities that are non-income producing. |
| (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 totals $11,871,139, which represents 0.17% of total net assets. |
| (3) | Amount calculated is less than 0.005%. |
| (4) | Represents annualized seven-day yield as of the close of the reporting period. |
| (5) | Includes securities categorized as Level 3 per the Trust’s fair value hierarchy. The value of these securities totals $2,970, which represents 0.00% of total net assets. |
Open Futures Contracts
| | | | | | | | | | | | | | | | | | | | |
Number of Contracts
Purchased | | Reference Entity | | Counterparty | | Expiration
Date | | | Notional
Amount | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
| 18 | | E-mini Russell 2000 Future | | Morgan Stanley | | | Sep. 2021 | | | $ | 2,076,726 | | | $ | 2,077,020 | | | $ | 294 | |
| 1 | | S&P 500 E-mini Future | | Morgan Stanley | | | Sep. 2021 | | | | 211,744 | | | | 214,425 | | | | 2,681 | |
| 4 | | S&P MidCap 400 E-mini Future | | Morgan Stanley | | | Sep. 2021 | | | | 1,093,744 | | | | 1,076,960 | | | | (16,784 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | (13,809 | ) |
| | | | | | | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| 52 | | Annual Report • June 30, 2021 |
Bridge Builder International Equity Fund
Summary Schedule of Investments
June 30, 2021
| | | | | | | | |
| | | Shares | | | Value | |
| | | | | | | | |
COMMON STOCKS – 97.32% | | | | | |
| Communication Services – 6.82% | | | | | |
Nippon Telegraph & Telephone Corp. | | | 5,308,000 | | | $ | 138,778,664 | |
Rightmove Plc | | | 8,717,880 | | | | 78,358,101 | |
Telia Co. AB | | | 22,527,003 | | | | 100,052,875 | |
WPP Plc | | | 7,605,265 | | | | 102,806,953 | |
Other Securities (1)(2) | | | 87,253,489 | | | | 617,668,710 | |
| | | | | | | | |
Total Communication Services | | | | 1,037,665,303 | |
| | | | | | | | |
| Consumer Discretionary – 17.20% | | | | | |
Continental AG | | | 848,405 | | | | 124,818,325 | |
Denso Corp. | | | 1,303,220 | | | | 88,868,539 | |
Honda Motor Co. Ltd. | | | 6,074,399 | | | | 195,372,370 | |
Kingfisher Plc | | | 23,695,554 | | | | 119,593,732 | |
LVMH Moet Hennessy Louis Vuitton SE | | | 193,714 | | | | 152,386,472 | |
MercadoLibre, Inc. (2) | | | 75,048 | | | | 116,909,024 | |
Sony Corp. | | | 1,035,300 | | | | 100,390,208 | |
Zalando SE (1)(2) | | | 746,245 | | | | 90,250,695 | |
Other Securities (1)(2) | | | 81,369,311 | | | | 1,629,131,916 | |
| | | | | | | | |
Total Consumer Discretionary | | | | 2,617,721,281 | |
| | | | | | | | |
| Consumer Staples – 7.59% | | | | | |
Tesco Plc | | | 46,712,531 | | | | 144,303,544 | |
WH Group Ltd. (1) | | | 125,932,000 | | | | 113,036,893 | |
Other Securities (1)(2) | | | 100,562,076 | | | | 896,654,676 | |
| | | | | | | | |
Total Consumer Staples | | | | 1,153,995,113 | |
| | | | | | | | |
| Energy – 3.69% | | | | | | | | |
BP Plc | | | 33,474,609 | | | | 146,799,405 | |
ENI SpA | | | 6,857,306 | | | | 83,601,135 | |
Royal Dutch Shell Plc – Class A | | | 3,521,209 | | | | 71,115,146 | |
Royal Dutch Shell Plc – Class B | | | 5,946,356 | | | | 115,435,396 | |
Other Securities (2) | | | 29,146,650 | | | | 143,755,026 | |
| | | | | | | | |
Total Energy | | | | 560,706,108 | |
| | | | | | | | |
| Financials – 13.79% | | | | | | | | |
AIA Group Ltd. | | | 11,335,127 | | | | 140,618,810 | |
Allianz SE | | | 427,073 | | | | 106,579,036 | |
Banco Santander SA | | | 32,106,557 | | | | 122,809,313 | |
Lloyds Banking Group Plc | | | 245,888,699 | | | | 159,054,912 | |
Tokio Marine Holdings, Inc. | | | 2,068,700 | | | | 95,284,890 | |
United Overseas Bank Ltd. | | | 8,503,734 | | | | 163,759,790 | |
Other Securities (1)(2) | | | 133,380,057 | | | | 1,310,465,036 | |
| | | | | | | | |
Total Financials | | | | 2,098,571,787 | |
| | | | | | | | |
| Healthcare – 12.40% | | | | | | | | |
CSL Ltd. | | | 384,524 | | | | 82,237,579 | |
GlaxoSmithKline Plc | | | 7,113,749 | | | | 139,849,880 | |
Mettler-Toledo International, Inc. (2) | | | 90,228 | | | | 124,996,458 | |
Novartis AG | | | 1,691,545 | | | | 154,313,874 | |
ResMed, Inc. | | | 333,000 | | | | 82,091,160 | |
Roche Holding AG | | | 358,154 | | | | 135,010,789 | |
Sanofi SA | | | 1,654,271 | | | | 173,802,007 | |
Takeda Pharmaceutical Co. Ltd. | | | 3,863,100 | | | | 129,647,856 | |
| | | | | | | | |
| | | Shares | | | Value | |
Other Securities (1)(2) | | | 18,925,674 | | | $ | 864,212,021 | |
| | | | | | | | |
Total Healthcare | | | | 1,886,161,624 | |
| | | | | | | | |
| Industrials – 15.39% | | | | | | | | |
Atlas Copco AB – Class A | | | 1,947,510 | | | | 119,593,430 | |
Canadian Pacific Railway Ltd. | | | 1,170,000 | | | | 89,984,700 | |
Cie de Saint-Gobain | | | 1,864,820 | | | | 123,070,363 | |
CK Hutchison Holdings Ltd. | | | 17,359,500 | | | | 135,140,400 | |
DSV Panalpina | | | 389,763 | | | | 90,985,484 | |
Experian Plc | | | 2,111,814 | | | | 81,535,387 | |
Mitsubishi Electric Corp. | | | 7,548,300 | | | | 109,580,475 | |
Other Securities (1)(2) | | | 79,156,516 | | | | 1,591,235,588 | |
| | | | | | | | |
Total Industrials | | | | 2,341,125,827 | |
| | | | | | | | |
| Information Technology – 12.04% | | | | | |
ASML Holding NV | | | 175,894 | | | | 121,423,004 | |
ASML Holding NV – Class REG | | | 120,000 | | | | 82,900,800 | |
FUJIFILM Holdings Corp. | | | 2,039,000 | | | | 150,821,807 | |
Keyence Corp. | | | 196,662 | | | | 99,043,589 | |
Kyocera Corp. | | | 1,886,100 | | | | 116,523,995 | |
Shopify, Inc. – Class A (2) | | | 107,194 | | | | 156,608,290 | |
Taiwan Semiconductor Manufacturing Co. Ltd. | | | 6,519,860 | | | | 140,424,957 | |
Taiwan Semiconductor Manufacturing Co. Ltd. – ADR | | | 1,732,649 | | | | 208,195,104 | |
Other Securities (1)(2) | | | 42,319,429 | | | | 756,246,046 | |
| | | | | | | | |
Total Information Technology | | | | 1,832,187,592 | |
| | | | | | | | |
| Materials – 5.19% | | | | | | | | |
BASF SE | | | 1,069,768 | | | | 84,447,238 | |
Evonik Industries AG | | | 2,817,584 | | | | 94,595,894 | |
Other Securities (1)(2) | | | 24,265,645 | | | | 610,717,607 | |
| | | | | | | | |
Total Materials | | | | 789,760,739 | |
| | | | | | | | |
| Real Estate – 0.25% | | | | | | | | |
Various Securities (1)(2) | | | 3,961,305 | | | | 37,570,451 | |
| | | | | | | | |
Total Real Estate | | | | 37,570,451 | |
| | | | | | | | |
| Utilities – 2.96% | | | | | | | | |
Enel SpA | | | 16,250,744 | | | | 151,016,142 | |
SSE Plc | | | 6,066,333 | | | | 125,990,327 | |
Other Securities (1)(2) | | | 17,868,446 | | | | 173,548,237 | |
| | | | | | | | |
Total Utilities | | | | 450,554,706 | |
| | | | | | | | |
Total Common Stocks
(Cost: $11,648,819,126) | | | | 14,806,020,531 | |
| | | | | | | | |
PREFERRED STOCKS – 0.46% | | | | | |
| Consumer Discretionary – 0.45% | | | | | |
Various Securities | | | 276,054 | | | | 67,717,681 | |
| | | | | | | | |
Total Consumer Discretionary | | | | 67,717,681 | |
| | | | | | | | |
| Consumer Staples – 0.01% | | | | | |
Various Securities | | | 15,101 | | | | 1,187,520 | |
| | | | | | | | |
Total Consumer Staples | | | | 1,187,520 | |
| | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2021 | | 53 |
Bridge Builder International Equity Fund
Summary Schedule of Investments
June 30, 2021 (Continued)
| | | | | | | | |
| | | Shares | | | Value | |
| Healthcare – 0.00% (3) | | | | | | | | |
Sartorius AG | | | 1,198 | | | $ | 623,569 | |
| | | | | | | | |
Total Healthcare | | | | 623,569 | |
| | | | | | | | |
| Materials – 0.00% (3) | | | | | | | | |
Fuchs Petrolub SE | | | 3,372 | | | | 164,096 | |
| | | | | | | | |
Total Materials | | | | 164,096 | |
| | | | | | | | |
Total Preferred Stocks
(Cost: $54,806,798) | | | | 69,692,866 | |
| | | | | | | | |
RIGHTS – 0.00% (3) | | | | | |
| Industrials – 0.00%(3) | | | | | | | | |
ACS Actividades de Construccion y Servicios SA, expires 07/23/2021 (2) | | | 11,768 | | | | 16,466 | |
| | | | | | | | |
Total Industrials | | | | 16,466 | |
| | | | | | | | |
Total Rights
(Cost: $17,813) | | | | 16,466 | |
| | | | | | | | |
SHORT-TERM INVESTMENTS – 2.09% | |
| Money Market Funds – 1.63% | | | | | |
Goldman Sachs Financial Square Government Fund – Class I, 0.03% (4) | | | 248,534,118 | | | | 248,534,118 | |
| | | | | | | | |
Total Money Market Funds | | | | 248,534,118 | |
| | | | | | | | |
| | |
| | | Principal
Amount | | | Value | |
| Convertible Securities – 0.00% (3) | | | | | |
Credit Suisse Group Guernsey VII Ltd., 3.00%, Nov. 2021 (1) | | CHF | 315,000 | | | | 381,336 | |
| | | | | | | | |
Total Convertible Securities | | | | 381,336 | |
| | | | | | | | |
| Time Deposits – 0.46% | | | | | |
ANZ, London, 0.01% due 07/01/2021 | | $ | 601,426 | | | | 601,426 | |
Bank of Montreal, London, 0.01% due 07/01/2021 | | | 9,445,838 | | | | 9,445,838 | |
BNP Paribas, Paris, -1.83% due 07/01/2021 | | CHF | 222,957 | | | | 240,969 | |
BNP Paribas, Paris, -0.78% due 07/01/2021 | | EUR | 2,803,752 | | | | 3,324,549 | |
BNP Paribas, Paris, -0.61% due 07/01/2021 | | SEK | 93,844 | | | | 10,965 | |
BNP Paribas, Paris, -0.48% due 07/01/2021 | | DKK | 92,184 | | | | 14,699 | |
Brown Brothers Harriman, -0.60% due 07/01/2021 | | NZD | 15,833 | | | | 11,067 | |
Brown Brothers Harriman, -0.44% due 07/01/2021 | | AUD | 167,268 | | | | 125,443 | |
Citibank, London, 0.01% due 07/01/2021 | | GBP | 2,025,868 | | | | 2,802,383 | |
HSBC, Hong Kong, 0.00% due 07/02/2021 | | HKD | 26,387,543 | | | | 3,398,573 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
HSBC, Singapore, 0.00% due 07/01/2021 | | SGD | 510,838 | | | $ | 379,890 | |
National Australia Bank, London, 0.01% due 07/01/2021 | | $ | 8,384,389 | | | | 8,384,389 | |
Nordea Bank ABP, Oslo, -1.08% due 07/01/2021 | | NOK | 85,763 | | | | 9,961 | |
Skandinaviska Enskilda Banken AB, Stockholm, -0.61% due 07/01/2021 | | SEK | 121,665 | | | | 14,216 | |
Skandinaviska Enskilda Banken AB, Stockholm, 0.01% due 07/01/2021 | | $ | 1,226,544 | | | | 1,226,544 | |
Sumitomo, Tokyo, -0.31% due 07/01/2021 | | JPY | 1,135,501,865 | | | | 10,220,999 | |
Sumitomo, Tokyo, 0.01% due 07/01/2021 | | | 29,214,818 | | | | 29,214,818 | |
| | | | | | | | |
Total Time Deposits | | | | 69,426,729 | |
| | | | | | | | |
Total Short-Term Investments
(Cost: $318,309,395) | | | | 318,342,183 | |
| | | | | |
TOTAL INVESTMENTS IN SECURITIES – 99.87%
(Cost: $12,021,953,132) | | | | 15,194,072,046 | |
| OTHER ASSETS IN EXCESS OF LIABILITIES – 0.13% | | | | 19,360,980 | |
| | | | | | | | |
| TOTAL NET ASSETS – 100.00% | | | $ | 15,213,433,026 | |
| | | | | | | | |
Percentages are stated as a percent of net assets.
Principal amounts are denominated in the currency in which the security was purchased.
| ADR | | American Depositary Receipt |
The accompanying notes are an integral part of these financial statements.
| | |
| 54 | | Annual Report • June 30, 2021 |
Bridge Builder International Equity Fund
Summary Schedule of Investments
June 30, 2021 (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 totals $698,089,003, which represents 4.59% of total net assets. |
| (2) | Non-income producing security or includes securities that are non-income producing. |
| (3) | Amount calculated is less than 0.005%. |
| (4) | Represents annualized seven-day yield as of the close of the reporting period. |
Open Futures Contracts
| | | | | | | | | | | | | | | | | | | | |
Number of Contracts
Purchased | | Reference Entity | | Counterparty | | Expiration
Date | | | Notional
Amount | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
| 41 | | Euro Stoxx 50 Future | | Morgan Stanley | | | Sep. 2021 | | | EUR | 1,679,231 | | | $ | 1,971,612 | | | $ | (19,537 | ) |
| 16 | | FTSE 100 INDEX Future | | Morgan Stanley | | | Sep. 2021 | | | GBP | 1,116,804 | | | | 1,544,980 | | | | 105 | |
| 9 | | TOPIX INDEX Future | | Morgan Stanley | | | Sep. 2021 | | | JPY | 176,354,375 | | | | 1,574,058 | | | | (13,361 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | (32,793 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Country | | Percentage of
Net Assets | |
Argentina | | | 0.77 | % |
Australia | | | 2.26 | |
Austria | | | 0.15 | |
Belgium | | | 0.22 | |
Bermuda | | | 0.02 | |
Brazil | | | 0.74 | |
Canada | | | 2.15 | |
China | | | 3.95 | |
Denmark | | | 2.42 | |
Finland | | | 0.85 | |
France | | | 7.86 | |
Germany | | | 6.95 | |
Hong Kong | | | 3.32 | |
India | | | 1.49 | |
Ireland | | | 1.64 | |
Isle of Man | | | 0.18 | |
Israel | | | 0.03 | |
Italy | | | 2.80 | |
Japan | | | 18.66 | |
Luxembourg | | | 0.59 | |
Macau | | | 0.01 | |
Malaysia | | | 0.01 | |
Mexico | | | 0.09 | |
| | | | |
Country (Continued) | | Percentage of
Net Assets | |
Netherlands | | | 4.25 | % |
New Zealand | | | 0.33 | |
Norway | | | 0.28 | |
Portugal | | | 0.19 | |
Singapore | | | 1.82 | |
South Africa | | | 0.30 | |
South Korea | | | 1.01 | |
Spain | | | 2.42 | |
Sweden | | | 3.62 | |
Switzerland | | | 6.01 | |
Taiwan | | | 2.86 | |
Thailand | | | 0.11 | |
United Kingdom | | | 15.06 | |
United States | | | 2.36 | |
Other (individually each country is less than 0.005%) | | | 0.00 | |
| | | | |
Total Country | | | 97.78 | |
| | | | |
SHORT-TERM INVESTMENTS | | | 2.09 | |
| | | | |
TOTAL INVESTMENTS IN SECURITIES | | | 99.87 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | | | 0.13 | |
| | | | |
TOTAL NET ASSETS | | | 100.00 | % |
| | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2021 | | 55 |
Bridge Builder Mutual Funds
Statements of Assets and Liabilities
June 30, 2021
| | | | | | | | | | | | | | | | |
| | | 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) | | $ | 18,612,378,603 | | | $ | 35,979,771,375 | | | $ | 10,033,968,577 | | | $ | 17,585,034,791 | |
Cash and cash equivalents | | | 553,104 | | | | 23,678,997 | | | | 4,852 | | | | 80 | |
Over-the-counter credit default swap contracts, at value | | | — | | | | 5,666,045 | | | | — | | | | — | |
Receivable for foreign currency transactions | | | — | | | | — | | | | — | | | | 7,936 | |
Receivable for investments sold | | | 193,054,985 | | | | 3,498,976,065 | | | | 7,743,208 | | | | 6,317,070 | |
Receivable for fund shares sold | | | 41,417,783 | | | | 90,167,700 | | | | 62,599,576 | | | | 29,999,023 | |
Unrealized appreciation on forward foreign currency exchange contracts | | | — | | | | 45,266,407 | | | | — | | | | — | |
Dividend and interest receivable | | | 74,375,018 | | | | 132,490,966 | | | | 89,208,156 | | | | 3,602,074 | |
Tax reclaim receivable | | | — | | | | 43,642 | | | | — | | | | 1,078,450 | |
Deposits at broker for futures contracts | | | — | | | | 38,000 | | | | — | | | | — | |
Variation margin on futures contracts | | | 2,335,962 | | | | 6,880,989 | | | | 1,071,023 | | | | 672,959 | |
Deposits at broker for centrally cleared swap contracts | | | — | | | | 1,236,000 | | | | — | | | | — | |
Variation margin on centrally cleared swap contracts | | | — | | | | 10,067,362 | | | | — | | | | — | |
Prepaid expenses and other assets | | | 101,537 | | | | 150,868 | | | | 86,074 | | | | 62,971 | |
Total Assets | | | 18,924,216,992 | | | | 39,794,434,416 | | | | 10,194,681,466 | | | | 17,626,775,354 | |
| | | | |
Liabilities | | | | | | | | | | | | | | | | |
TBA sale commitments, at value (2) | | | — | | | | 387,789,070 | | | | — | | | | — | |
Over-the-counter credit default swap contracts, at value | | | — | | | | 49,129 | | | | — | | | | — | |
Due to broker for swap contracts | | | — | | | | 14,410,000 | | | | — | | | | — | |
Due to broker for forward foreign currency exchange contracts | | | — | | | | 16,346,000 | | | | — | | | | — | |
Due to broker for TBA commitments | | | 100,000 | | | | 800,000 | | | | — | | | | — | |
Payable for investments purchased | | | 1,020,372,680 | | | | 6,633,590,857 | | | | 297,152,778 | | | | 1,287,352 | |
Payable for fund shares redeemed | | | 9,303,082 | | | | 17,100,176 | | | | 7,043,295 | | | | 16,968,988 | |
Payable for swap contracts | | | — | | | | 25,901 | | | | — | | | | — | |
Interest payable | | | — | | | | 28,723 | | | | — | | | | — | |
Payable for foreign currency transactions | | | — | | | | 378,948 | | | | — | | | | — | |
Unrealized depreciation on forward foreign currency exchange contracts | | | — | | | | 23,091,267 | | | | — | | | | — | |
Payable to Sub-advisers for Investment Advisory Fee | | | 1,639,716 | | | | 3,402,827 | | | | 1,076,375 | | | | 2,507,749 | |
Payable to Trustees | | | 14,804 | | | | 25,508 | | | | 7,823 | | | | 15,767 | |
Accrued expenses and other liabilities | | | 1,936,067 | | | | 7,543,917 | | | | 545,748 | | | | 248,796 | |
Total Liabilities | | | 1,033,366,349 | | | | 7,104,582,323 | | | | 305,826,019 | | | | 21,028,652 | |
Net Assets | | $ | 17,890,850,643 | | | $ | 32,689,852,093 | | | $ | 9,888,855,447 | | | $ | 17,605,746,702 | |
| | | | |
Net Assets Consist of | | | | | | | | | | | | | | | | |
Paid in capital ($0.00 par value common stock unlimited authorized shares) | | $ | 17,307,027,356 | | | $ | 32,120,222,073 | | | $ | 9,495,517,564 | | | $ | 9,815,014,391 | |
Total distributable earnings/(loss) | | | 583,823,287 | | | | 569,630,020 | | | | 393,337,883 | | | | 7,790,732,311 | |
Net Assets | | $ | 17,890,850,643 | | | $ | 32,689,852,093 | | | $ | 9,888,855,447 | | | $ | 17,605,746,702 | |
Net Assets | | $ | 17,890,850,643 | | | $ | 32,689,852,093 | | | $ | 9,888,855,447 | | | $ | 17,605,746,702 | |
Shares Outstanding | | | 1,696,402,880 | | | | 3,134,556,937 | | | | 914,905,827 | | | | 754,991,599 | |
Net Asset Value | | $ | 10.55 | | | $ | 10.43 | | | $ | 10.81 | | | $ | 23.32 | |
| | | | | | | | | | | | | | | | |
(1) Cost of investments | | | 17,993,707,655 | | | | 35,363,695,102 | | | | 9,617,180,162 | | | | 10,672,197,101 | |
(2) Proceeds from TBA sale commitments | | | — | | | | (388,724,795 | ) | | | — | | | | — | |
The accompanying notes are an integral part of these financial statements.
| | |
| 56 | | Annual Report • June 30, 2021 |
Bridge Builder Mutual Funds
Statements of Assets and Liabilities
June 30, 2021 (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) | | $ | 17,358,856,502 | | | $ | 5,974,869,675 | | | $ | 6,994,128,400 | | | $ | 15,194,072,046 | |
Cash and cash equivalents | | | 154,850 | | | | 138 | | | | 215 | | | | 16,165 | |
Receivable for investments sold | | | 10,158,439 | | | | 1,693,882 | | | | 11,101,456 | | | | 12,566,594 | |
Receivable for fund shares sold | | | 30,674,985 | | | | 11,436,291 | | | | 12,734,477 | | | | 31,759,978 | |
Dividend and interest receivable | | | 22,746,054 | | | | 1,403,591 | | | | 7,292,906 | | | | 22,501,363 | |
Tax reclaim receivable | | | 1,879,545 | | | | 8,045 | | | | 22,766 | | | | 22,187,969 | |
Variation margin on futures contracts | | | 376,750 | | | | 284,907 | | | | 332,412 | | | | 310,334 | |
Prepaid expenses and other assets | | | 8,974 | | | | 60,405 | | | | 54,313 | | | | 54,868 | |
Total Assets | | | 17,424,856,099 | | | | 5,989,756,934 | | | | 7,025,666,945 | | | | 15,283,469,317 | |
| | | | |
Liabilities | | | | | | | | | | | | | | | | |
Payable for investments purchased | | | 10,986,333 | | | | 6,797,745 | | | | 9,179,450 | | | | 50,161,113 | |
Payable for fund shares redeemed | | | 13,016,174 | | | | 5,499,468 | | | | 5,842,083 | | | | 9,733,868 | |
Payable for foreign currency transactions | | | 1,650 | | | | — | | | | — | | | | 51,684 | |
Foreign withholding tax payable | | | — | | | | — | | | | — | | | | 6,085,809 | |
Payable to Sub-advisers for Investment Advisory Fee | | | 3,133,871 | | | | 1,656,861 | | | | 2,179,971 | | | | 3,241,590 | |
Payable to Trustees | | | 10,725 | | | | 5,488 | | | | 20,916 | | | | 14,438 | |
Accrued expenses and other liabilities | | | 265,795 | | | | 130,496 | | | | 156,542 | | | | 747,789 | |
Total Liabilities | | | 27,414,548 | | | | 14,090,058 | | | | 17,378,962 | | | | 70,036,291 | |
Net Assets | | $ | 17,397,441,551 | | | $ | 5,975,666,876 | | | $ | 7,008,287,983 | | | $ | 15,213,433,026 | |
| | | | |
Net Assets Consist of | | | | | | | | | | | | | | | | |
Paid in capital ($0.00 par value common stock unlimited authorized shares) | | $ | 11,117,641,951 | | | $ | 3,370,381,922 | | | $ | 4,435,526,647 | | | $ | 11,204,304,227 | |
Total distributable earnings/(loss) | | | 6,279,799,600 | | | | 2,605,284,954 | | | | 2,572,761,336 | | | | 4,009,128,799 | |
Net Assets | | $ | 17,397,441,551 | | | $ | 5,975,666,876 | | | $ | 7,008,287,983 | | | $ | 15,213,433,026 | |
Net Assets | | $ | 17,397,441,551 | | | $ | 5,975,666,876 | | | $ | 7,008,287,983 | | | $ | 15,213,433,026 | |
Shares Outstanding | | | 1,009,277,457 | | | | 314,116,215 | | | | 450,592,149 | | | | 1,033,079,819 | |
Net Asset Value | | $ | 17.24 | | | $ | 19.02 | | | $ | 15.55 | | | $ | 14.73 | |
| | | | | | | | | | | | | | | | |
(1) Cost of investments | | $ | 11,513,718,746 | | | $ | 3,791,575,829 | | | $ | 4,781,352,227 | | | $ | 12,021,953,132 | |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2021 | | 57 |
Bridge Builder Mutual Funds
Statements of Operations
Year Ended June 30, 2021
| | | | | | | | | | | | | | | | |
| | | 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 | | $ | 345,206 | | | $ | 3,934,108 | | | $ | 72,912 | | | $ | 128,993,741 | |
Less: Foreign taxes withheld and issuance fees | | | – | | | | (1,180 | ) | | | – | | | | (125,371 | ) |
Interest | | | 371,990,463 | | | | 565,757,387 | | | | 180,828,423 | | | | 17,213 | |
Less: Foreign taxes withheld | | | — | | | | (7,912 | ) | | | — | | | | — | |
Other Income | | | 25,896 | | | | 898 | | | | 354 | | | | 26,674 | |
Total investment income | | | 372,361,565 | | | | 569,683,301 | | | | 180,901,689 | | | | 128,912,257 | |
Expenses | | | | | | | | | | | | | | | | |
Investment advisory fee | | | 51,420,595 | | | | 93,123,456 | | | | 29,729,613 | | | | 67,631,491 | |
Professional fees | | | 209,884 | | | | 344,250 | | | | 145,240 | | | | 167,011 | |
Administration fee | | | 10,499 | | | | 10,500 | | | | 10,500 | | | | 10,500 | |
Fund accounting fees | | | 1,143,680 | | | | 1,537,796 | | | | 658,918 | | | | 634,438 | |
Transfer agent fees and expenses | | | 42,572 | | | | 54,391 | | | | 33,071 | | | | 43,864 | |
Trustee fees and expenses | | | 207,521 | | | | 323,998 | | | | 106,932 | | | | 201,155 | |
Printing and mailing expense | | | 50,787 | | | | 43,597 | | | | 21,609 | | | | 32,275 | |
Custody fees | | | 377,742 | | | | 707,709 | | | | 106,294 | | | | 191,684 | |
Insurance expenses | | | 62,864 | | | | 93,205 | | | | 30,798 | | | | 63,527 | |
Interest expense | | | — | | | | 8,802 | | | | — | | | | — | |
Registration fees | | | 702,803 | | | | 1,809,747 | | | | 559,149 | | | | 250,829 | |
Other expenses | | | 183,597 | | | | 273,293 | | | | 83,818 | | | | 156,977 | |
Total expenses before fee waivers | | | 54,412,544 | | | | 98,330,744 | | | | 31,485,942 | | | | 69,383,751 | |
Fee waivers by Adviser | | | (33,299,820 | ) | | | (60,420,086 | ) | | | (18,506,360 | ) | | | (39,637,305 | ) |
Net expenses | | | 21,112,724 | | | | 37,910,658 | | | | 12,979,582 | | | | 29,746,446 | |
Net Investment Income | | | 351,248,841 | | | | 531,772,643 | | | | 167,922,107 | | | | 99,165,811 | |
| | | |
Realized Gain/(Loss) and Change in Unrealized Appreciation/(Depreciation) | | | | | | | | | | | | | |
Net realized gain/(loss) on: | | | | | | | | | | | | | | | | |
Investments | | | 120,238,834 | | | | 152,795,212 | | | | 5,241,929 | | | | 1,229,128,526 | |
TBA sale commitments | | | 19,141 | | | | (1,721,550 | ) | | | — | | | | — | |
Forward foreign currency exchange contracts | | | — | | | | (85,866,807 | ) | | | — | | | | — | |
Foreign currency transactions | | | — | | | | (67,822 | ) | | | — | | | | 12,188 | |
Futures contracts | | | (50,596,144 | ) | | | (76,210,423 | ) | | | 1,497,049 | | | | 904,130 | |
Swap contracts | | | 487,506 | | | | 56,231,245 | | | | — | | | | — | |
Net realized gain/(loss) | | | 70,149,337 | | | | 45,159,855 | | | | 6,738,978 | | | | 1,230,044,844 | |
Net change in net unrealized appreciation/(depreciation) on: | | | | | | | | | | | | | | | | |
Investments | | | (275,843,576 | ) | | | 135,902,000 | | | | 234,965,553 | | | | 3,954,644,194 | |
TBA sale commitments | | | — | | | | 935,725 | | | | — | | | | — | |
Forward foreign currency exchange contracts | | | — | | | | 34,541,896 | | | | — | | | | — | |
Foreign currency transactions | | | — | | | | (3,026,660 | ) | | | — | | | | (33,009 | ) |
Futures contracts | | | 14,619,158 | | | | 23,655,742 | | | | (260,606 | ) | | | 351,946 | |
Swap contracts | | | (487,509 | ) | | | (4,736,854 | ) | | | — | | | | — | |
Unfunded loan commitments | | | — | | | | (53,724 | ) | | | — | | | | — | |
Net change in unrealized appreciation/(depreciation) | | | (261,711,927 | ) | | | 187,218,125 | | | | 234,704,947 | | | | 3,954,963,131 | |
Net realized gain/(loss) and net change in unrealized appreciation/(depreciation) | | | (191,562,590 | ) | | | 232,377,980 | | | | 241,443,925 | | | | 5,185,007,975 | |
Net Increase/(Decrease) in Net Assets Resulting from Operations | | $ | 159,686,251 | | | $ | 764,150,623 | | | $ | 409,366,032 | | | $ | 5,284,173,786 | |
The accompanying notes are an integral part of these financial statements.
| | |
| 58 | | Annual Report • June 30, 2021 |
Bridge Builder Mutual Funds
Statements of Operations
Year Ended June 30, 2021 (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 | | $ | 307,643,155 | | | $ | 26,758,687 | | | $ | 93,629,520 | | | $ | 364,565,031 | |
Less: Foreign taxes withheld and issuance fees | | | (3,756,044 | ) | | | (38,838 | ) | | | (92,879 | ) | | | (28,691,264 | ) |
Interest | | | 821,392 | | | | 7,042 | | | | 7,874 | | | | 25,198 | |
Less: Foreign taxes withheld | | | — | | | | — | | | | — | | | | — | |
Other Income | | | 18,741 | | | | 6,317 | | | | 6,738 | | | | 11,291 | |
Total investment income | | | 304,727,244 | | | | 26,733,208 | | | | 93,551,253 | | | | 335,910,256 | |
Expenses | | | | | | | | | | | | | | | | |
Investment advisory fee | | | 65,884,936 | | | | 34,336,725 | | | | 39,393,998 | | | | 79,692,305 | |
Professional fees | | | 149,484 | | | | 86,646 | | | | 106,255 | | | | 158,007 | |
Administration fee | | | 10,500 | | | | 10,500 | | | | 10,500 | | | | 10,500 | |
Fund accounting fees | | | 605,195 | | | | 245,544 | | | | 277,462 | | | | 640,608 | |
Transfer agent fees and expenses | | | 42,329 | | | | 29,683 | | | | 30,624 | | | | 39,243 | |
Trustee fees and expenses | | | 187,987 | | | | 72,635 | | | | 96,442 | | | | 171,999 | |
Printing and mailing expense | | | 55,422 | | | | 27,677 | | | | 19,586 | | | | 19,752 | |
Custody fees | | | 230,839 | | | | 140,384 | | | | 131,771 | | | | 1,731,371 | |
Insurance expenses | | | 58,048 | | | | 20,292 | | | | 22,706 | | | | 47,555 | |
Registration fees | | | 406,812 | | | | 136,149 | | | | 149,333 | | | | 361,772 | |
Other expenses | | | 408,858 | | | | 59,590 | | | | 66,728 | | | | 297,436 | |
Total expenses before fee waivers | | | 68,040,410 | | | | 35,165,825 | | | | 40,305,405 | | | | 83,170,548 | |
Fee waivers by Adviser | | | (32,546,761 | ) | | | (15,395,075 | ) | | | (15,862,794 | ) | | | (40,802,180 | ) |
Net expenses | | | 35,493,649 | | | | 19,770,750 | | | | 24,442,611 | | | | 42,368,368 | |
Net Investment Income | | | 269,233,595 | | | | 6,962,458 | | | | 69,108,642 | | | | 293,541,888 | |
| | | |
Realized Gain/(Loss) and Change in Unrealized Appreciation/(Depreciation) | | | | | | | | | | | | | |
Net realized gain/(loss) on: | | | | | | | | | | | | | | | | |
Investments | | | 833,504,668 | | | | 658,420,349 | | | | 594,597,035 | | | | 1,176,146,329 | |
Foreign currency transactions | | | 140,961 | | | | — | | | | (16,901 | ) | | | 2,130,431 | |
Futures contracts | | | 706,221 | | | | 305,397 | | | | 237,585 | | | | 346,452 | |
Net realized gain/(loss) | | | 834,351,850 | | | | 658,725,746 | | | | 594,817,719 | | | | 1,178,623,212 | |
Net change in net unrealized appreciation/(depreciation) on: | | | | | | | | | | | | | | | | |
Investments | | | 4,775,047,827 | | | | 1,358,090,296 | | | | 2,139,438,798 | | | | 2,590,229,872 | |
Foreign currency transactions | | | (6,085 | ) | | | — | | | | (331 | ) | | | (258,509 | ) |
Futures contracts | | | 28,541 | | | | 23,373 | | | | (13,809 | ) | | | (32,793 | ) |
Net change in unrealized appreciation/(depreciation) | | | 4,775,070,283 | | | | 1,358,113,669 | | | | 2,139,424,658 | | | | 2,589,938,570 | |
Net realized gain/(loss) and net change in unrealized appreciation/(depreciation) | | | 5,609,422,133 | | | | 2,016,839,415 | | | | 2,734,242,377 | | | | 3,768,561,782 | |
Net Increase/(Decrease) in Net Assets Resulting from Operations | | $ | 5,878,655,728 | | | $ | 2,023,801,873 | | | $ | 2,803,351,019 | | | $ | 4,062,103,670 | |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2021 | | 59 |
Bridge Builder Mutual Funds
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | |
| | | Bridge Builder
Core Bond Fund | | | Bridge Builder Core
Plus Bond Fund | |
| | | Year Ended
June 30, 2021 | | | Year Ended
June 30, 2020 | | | Year Ended
June 30, 2021 | | | Year Ended
June 30, 2020 | |
Operations | | | | | | | | | | | | | | | | |
Net investment income | | $ | 351,248,841 | | | $ | 439,028,731 | | | $ | 531,772,643 | | | $ | 580,385,947 | |
Net realized gain/(loss) | | | 70,149,337 | | | | 385,573,579 | | | | 45,159,855 | | | | 645,127,902 | |
Net change in unrealized appreciation/(depreciation) | | | (261,711,927 | ) | | | 392,276,914 | | | | 187,218,125 | | | | 76,008,602 | |
Net increase/(decrease) in net assets resulting from operations | | | 159,686,251 | | | | 1,216,879,224 | | | | 764,150,623 | | | | 1,301,522,451 | |
Distributions to Shareholders | | | | | | | | | | | | | | | | |
From distributable earnings | | | (723,634,455 | ) | | | (496,869,340 | ) | | | (1,104,123,427 | ) | | | (916,052,109 | ) |
Total distributions | | | (723,634,455 | ) | | | (496,869,340 | ) | | | (1,104,123,427 | ) | | | (916,052,109 | ) |
Capital Transactions | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 5,037,443,160 | | | | 2,639,120,415 | | | | 14,765,776,279 | | | | 5,657,499,290 | |
Reinvestment of dividends | | | 723,634,455 | | | | 496,869,340 | | | | 1,104,123,427 | | | | 916,052,109 | |
Cost of shares redeemed | | | (1,446,409,512 | ) | | | (4,875,422,962 | ) | | | (2,273,740,634 | ) | | | (5,488,699,292 | ) |
Net increase/(decrease) from capital transactions | | | 4,314,668,103 | | | | (1,739,433,207 | ) | | | 13,596,159,072 | | | | 1,084,852,107 | |
Net increase/(decrease) in net assets | | | 3,750,719,899 | | | | (1,019,423,323 | ) | | | 13,256,186,268 | | | | 1,470,322,449 | |
Net Assets | | | | | | | | | | | | | | | | |
Beginning of period | | | 14,140,130,744 | | | | 15,159,554,067 | | | | 19,433,665,825 | | | | 17,963,343,376 | |
End of period | | $ | 17,890,850,643 | | | $ | 14,140,130,744 | | | $ | 32,689,852,093 | | | $ | 19,433,665,825 | |
| | | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | | | | | | | | |
Change in Shares Outstanding | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 1,295,679,187 | | | | 1,465,655,895 | | | | 1,840,216,577 | | | | 1,749,665,169 | |
Shares sold | | | 467,888,391 | | | | 249,438,083 | | | | 1,405,552,129 | | | | 545,952,764 | |
Shares issued to holders in reinvestments of dividends | | | 67,316,573 | | | | 46,958,823 | | | | 104,725,674 | | | | 88,969,424 | |
Shares redeemed | | | (134,481,271 | ) | | | (466,373,614 | ) | | | (215,937,443 | ) | | | (544,370,780 | ) |
Shares outstanding, end of period | | | 1,696,402,880 | | | | 1,295,679,187 | | | | 3,134,556,937 | | | | 1,840,216,577 | |
| | | | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| 60 | | Annual Report • June 30, 2021 |
Bridge Builder Mutual Funds
Statements of Changes in Net Assets (Continued)
| | | | | | | | | | | | | | | | |
| | | Bridge Builder
Municipal Bond Fund | | | Bridge Builder
Large Cap Growth Fund | |
| | | Year Ended
June 30, 2021 | | | Year Ended
June 30, 2020 | | | Year Ended
June 30, 2021 | | | Year Ended
June 30, 2020 | |
Operations | | | | | | | | | | | | | | | | |
Net investment income | | $ | 167,922,107 | | | $ | 147,152,108 | | | $ | 99,165,811 | | | $ | 70,457,004 | |
Net realized gain/(loss) | | | 6,738,978 | | | | (15,719,183 | ) | | | 1,230,044,844 | | | | 240,508,338 | |
Net change in unrealized appreciation/(depreciation) | | | 234,704,947 | | | | (4,354,918 | ) | | | 3,954,963,131 | | | | 1,138,681,250 | |
Net increase/(decrease) in net assets resulting from operations | | | 409,366,032 | | | | 127,078,007 | | | | 5,284,173,786 | | | | 1,449,646,592 | |
Distributions to Shareholders | | | | | | | | | | | | | | | | |
From distributable earnings | | | (168,048,197 | ) | | | (147,458,539 | ) | | | (551,931,872 | ) | | | (159,430,743 | ) |
Total distributions | | | (168,048,197 | ) | | | (147,458,539 | ) | | | (551,931,872 | ) | | | (159,430,743 | ) |
Capital Transactions | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 3,841,023,915 | | | | 2,765,141,283 | | | | 2,085,139,354 | | | | 6,817,284,482 | |
Reinvestment of dividends | | | 168,048,197 | | | | 147,458,539 | | | | 551,931,872 | | | | 159,430,743 | |
Cost of shares redeemed | | | (881,975,845 | ) | | | (1,624,533,291 | ) | | | (3,227,851,326 | ) | | | (1,801,076,796 | ) |
Net increase/(decrease) from capital transactions | | | 3,127,096,267 | | | | 1,288,066,531 | | | | (590,780,100 | ) | | | 5,175,638,429 | |
Net increase/(decrease) in net assets | | | 3,368,414,102 | | | | 1,267,685,999 | | | | 4,141,461,814 | | | | 6,465,854,278 | |
Net Assets | | | | | | | | | | | | | | | | |
Beginning of period | | | 6,520,441,345 | | | | 5,252,755,346 | | | | 13,464,284,888 | | | | 6,998,430,610 | |
End of period | | $ | 9,888,855,447 | | | $ | 6,520,441,345 | | | $ | 17,605,746,702 | | | $ | 13,464,284,888 | |
| | | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | | | | | | | | |
Change in Shares Outstanding | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 621,864,946 | | | | 502,003,522 | | | | 786,808,843 | | | | 478,108,620 | |
Shares sold | | | 359,858,015 | | | | 264,228,716 | | | | 100,774,030 | | | | 418,654,012 | |
Shares issued to holders in reinvestments of dividends | | | 15,714,990 | | | | 14,041,244 | | | | 27,457,026 | | | | 10,118,058 | |
Shares redeemed | | | (82,532,124 | ) | | | (158,408,536 | ) | | | (160,048,300 | ) | | | (120,071,847 | ) |
Shares outstanding, end of period | | | 914,905,827 | | | | 621,864,946 | | | | 754,991,599 | | | | 786,808,843 | |
| | | | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2021 | | 61 |
Bridge Builder Mutual Funds
Statements of Changes in Net Assets (Continued)
| | | | | | | | | | | | | | | | |
| | | Bridge Builder
Large Cap Value Fund | | | Bridge Builder
Small/Mid Cap Growth Fund | |
| | | Year Ended
June 30, 2021 | | | Year Ended
June 30, 2020 | | | Year Ended
June 30, 2021 | | | Year Ended
June 30, 2020 | |
Operations | | | | | | | | | | | | | | | | |
Net investment income | | $ | 269,233,595 | | | $ | 187,702,427 | | | $ | 6,962,458 | | | $ | 14,175,859 | |
Net realized gain/(loss) | | | 834,351,850 | | | | (269,716,341 | ) | | | 658,725,746 | | | | 509,573,835 | |
Net change in unrealized appreciation/(depreciation) | | | 4,775,070,283 | | | | (194,550,695 | ) | | | 1,358,113,669 | | | | (97,483,766 | ) |
Net increase/(decrease) in net assets resulting from operations | | | 5,878,655,728 | | | | (276,564,609 | ) | | | 2,023,801,873 | | | | 426,265,928 | |
Distributions to Shareholders | | | | | | | | | | | | | | | | |
From distributable earnings | | | (271,568,333 | ) | | | (194,762,192 | ) | | | (625,437,454 | ) | | | (167,829,927 | ) |
Total distributions | | | (271,568,333 | ) | | | (194,762,192 | ) | | | (625,437,454 | ) | | | (167,829,927 | ) |
Capital Transactions | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 2,242,789,347 | | | | 5,698,545,768 | | | | 760,521,377 | | | | 1,163,185,513 | |
Reinvestment of dividends | | | 271,568,333 | | | | 194,762,192 | | | | 625,437,454 | | | | 167,829,927 | |
Cost of shares redeemed | | | (3,222,624,457 | ) | | | (1,654,436,523 | ) | | | (1,602,803,471 | ) | | | (819,377,264 | ) |
Net increase/(decrease) from capital transactions | | | (708,266,777 | ) | | | 4,238,871,437 | | | | (216,844,640 | ) | | | 511,638,176 | |
Net increase/(decrease) in net assets | | | 4,898,820,618 | | | | 3,767,544,636 | | | | 1,181,519,779 | | | | 770,074,177 | |
Net Assets | | | | | | | | | | | | | | | | |
Beginning of period | | | 12,498,620,933 | | | | 8,731,076,297 | | | | 4,794,147,097 | | | | 4,024,072,920 | |
End of period | | $ | 17,397,441,551 | | | $ | 12,498,620,933 | | | $ | 5,975,666,876 | | | $ | 4,794,147,097 | |
| | | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | | | | | | | | |
Change in Shares Outstanding | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 1,061,950,724 | | | | 686,911,070 | | | | 325,517,622 | | | | 282,304,411 | |
Shares sold | | | 149,992,027 | | | | 493,237,676 | | | | 43,912,975 | | | | 91,152,877 | |
Shares issued to holders in reinvestments of dividends | | | 18,070,645 | | | | 16,294,653 | | | | 38,175,888 | | | | 11,804,558 | |
Shares redeemed | | | (220,735,939 | ) | | | (134,492,675 | ) | | | (93,490,270 | ) | | | (59,744,224 | ) |
Shares outstanding, end of period | | | 1,009,277,457 | | | | 1,061,950,724 | | | | 314,116,215 | | | | 325,517,622 | |
| | | | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| 62 | | Annual Report • June 30, 2021 |
Bridge Builder Mutual Funds
Statements of Changes in Net Assets (Continued)
| | | | | | | | | | | | | | | | |
| | | Bridge Builder
Small/Mid Cap Value Fund | | | Bridge Builder
International Equity Fund | |
| | | Year Ended
June 30, 2021 | | | Year Ended
June 30, 2020 | | | Year Ended
June 30, 2021 | | | Year Ended
June 30, 2020 | |
Operations | | | | | | | | | | | | | | | | |
Net investment income | | $ | 69,108,642 | | | $ | 71,258,154 | | | $ | 293,541,888 | | | $ | 239,365,355 | |
Net realized gain/(loss) | | | 594,817,719 | | | | (114,065,506 | ) | | | 1,178,623,212 | | | | (301,323,137 | ) |
Net change in unrealized appreciation/(depreciation) | | | 2,139,424,658 | | | | (426,338,185 | ) | | | 2,589,938,570 | | | | 9,470,257 | |
Net increase/(decrease) in net assets resulting from operations | | | 2,803,351,019 | | | | (469,145,537 | ) | | | 4,062,103,670 | | | | (52,487,525 | ) |
Distributions to Shareholders | | | | | | | | | | | | | | | | |
From distributable earnings | | | (73,291,870 | ) | | | (69,918,972 | ) | | | (250,025,369 | ) | | | (282,965,029 | ) |
Total distributions | | | (73,291,870 | ) | | | (69,918,972 | ) | | | (250,025,369 | ) | | | (282,965,029 | ) |
Capital Transactions | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 804,057,442 | | | | 1,667,232,200 | | | | 2,494,131,172 | | | | 4,289,090,074 | |
Reinvestment of dividends | | | 73,291,870 | | | | 69,918,972 | | | | 250,025,369 | | | | 282,965,029 | |
Cost of shares redeemed | | | (1,700,119,260 | ) | | | (906,731,888 | ) | | | (2,687,306,478 | ) | | | (3,537,454,257 | ) |
Net increase/(decrease) from capital transactions | | | (822,769,948 | ) | | | 830,419,284 | | | | 56,850,063 | | | | 1,034,600,846 | |
Net increase/(decrease) in net assets | | | 1,907,289,201 | | | | 291,354,775 | | | | 3,868,928,364 | | | | 699,148,292 | |
Net Assets | | | | | | | | | | | | | | | | |
Beginning of period | | | 5,100,998,782 | | | | 4,809,644,007 | | | | 11,344,504,662 | | | | 10,645,356,370 | |
End of period | | $ | 7,008,287,983 | | | $ | 5,100,998,782 | | | $ | 15,213,433,026 | | | $ | 11,344,504,662 | |
| | | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | | | | | | | | |
Change in Shares Outstanding | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 514,012,905 | | | | 416,449,124 | | | | 1,034,339,075 | | | | 935,579,086 | |
Shares sold | | | 61,991,565 | | | | 178,358,173 | | | | 186,133,918 | | | | 402,936,047 | |
Shares issued to holders in reinvestments of dividends | | | 5,752,894 | | | | 5,661,455 | | | | 18,841,399 | | | | 23,521,615 | |
Shares redeemed | | | (131,165,215 | ) | | | (86,455,847 | ) | | | (206,234,573 | ) | | | (327,697,673 | ) |
Shares outstanding, end of period | | | 450,592,149 | | | | 514,012,905 | | | | 1,033,079,819 | | | | 1,034,339,075 | |
| | | | | | | | | | | | | | | | | |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2021 | | 63 |
Bridge Builder Mutual Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Per Share Operating Performance | |
| | | Change in Net Assets Resulting from
Operations | | | Less Distributions | |
| | | Net asset
value,
beginning of
period | | | Net
investment
income | | | Net realized
and
unrealized
gain/(loss) | | | Net
increase/
(decrease)
in net asset
value from
operations | | | Distributions
from net
investment
income | | | Distributions
from net
realized
gains | | | Total
Distributions | |
Bridge Builder Core Bond Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
For the year ended June 30, 2021(4) | | $ | 10.91 | | | | 0.23 | | | | (0.10 | ) | | | 0.13 | | | | (0.26 | ) | | | (0.23 | ) | | | (0.49 | ) |
For the year ended June 30, 2020(4) | | $ | 10.34 | | | | 0.31 | | | | 0.61 | | | | 0.92 | | | | (0.32 | ) | | | (0.03 | ) | | | (0.35 | ) |
For the year ended June 30, 2019(4) | | $ | 9.87 | | | | 0.31 | | | | 0.48 | | | | 0.79 | | | | (0.32 | ) | | | — | | | | (0.32 | ) |
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 | ) |
Bridge Builder Core Plus Bond Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
For the year ended June 30, 2021(4) | | $ | 10.56 | | | | 0.22 | | | | 0.12 | | | | 0.34 | | | | (0.25 | ) | | | (0.22 | ) | | | (0.47 | ) |
For the year ended June 30, 2020(4) | | $ | 10.27 | | | | 0.32 | | | | 0.47 | | | | 0.79 | | | | (0.36 | ) | | | (0.14 | ) | | | (0.50 | ) |
For the year ended June 30, 2019(4) | | $ | 9.81 | | | | 0.35 | | | | 0.48 | | | | 0.83 | | | | (0.37 | ) | | | — | | | | (0.37 | ) |
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 | ) |
Bridge Builder Municipal Bond Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
For the year ended June 30, 2021(4) | | $ | 10.49 | | | | 0.22 | | | | 0.32 | | | | 0.54 | | | | (0.22 | ) | | | — | | | | (0.22 | ) |
For the year ended June 30, 2020(4) | | $ | 10.46 | | | | 0.26 | | | | 0.03 | | | | 0.29 | | | | (0.26 | ) | | | — | | | | (0.26 | ) |
For the year ended June 30, 2019(4) | | $ | 10.09 | | | | 0.27 | | | | 0.37 | | | | 0.64 | | | | (0.27 | ) | | | — | | | | (0.27 | ) |
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 | ) |
Bridge Builder Large Cap Growth Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
For the year ended June 30, 2021(4) | | $ | 17.11 | | | | 0.13 | | | | 6.83 | | | | 6.96 | | | | (0.11 | ) | | | (0.64 | ) | | | (0.75 | ) |
For the year ended June 30, 2020(4) | | $ | 14.64 | | | | 0.14 | | | | 2.65 | | | | 2.79 | | | | (0.14 | ) | | | (0.18 | ) | | | (0.32 | ) |
For the year ended June 30, 2019(4) | | $ | 13.53 | | | | 0.15 | | | | 1.60 | | | | 1.75 | | | | (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 | ) |
Bridge Builder Large Cap Value Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
For the year ended June 30, 2021(4) | | $ | 11.77 | | | | 0.26 | | | | 5.48 | | | | 5.74 | | | | (0.27 | ) | | | — | | | | (0.27 | ) |
For the year ended June 30, 2020(4) | | $ | 12.71 | | | | 0.24 | | | | (0.94 | ) | | | (0.70 | ) | | | (0.23 | ) | | | (0.01 | ) | | | (0.24 | ) |
For the year ended June 30, 2019(4) | | $ | 12.12 | | | | 0.24 | | | | 0.74 | | | | 0.98 | | | | (0.23 | ) | | | (0.16 | ) | | | (0.39 | ) |
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 | ) |
Bridge Builder Small/Mid Cap Growth Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
For the year ended June 30, 2021(4) | | $ | 14.73 | | | | 0.02 | | | | 6.42 | | | | 6.44 | | | | (0.04 | ) | | | (2.11 | ) | | | (2.15 | ) |
For the year ended June 30, 2020(4) | | $ | 14.25 | | | | 0.05 | | | | 1.01 | | | | 1.06 | | | | (0.05 | ) | | | (0.53 | ) | | | (0.58 | ) |
For the year ended June 30, 2019(4) | | $ | 13.52 | | | | 0.05 | | | | 1.39 | | | | 1.44 | | | | (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 | ) |
Bridge Builder Small/Mid Cap Value Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
For the year ended June 30, 2021(4) | | $ | 9.92 | | | | 0.14 | | | | 5.64 | | | | 5.78 | | | | (0.15 | ) | | | — | | | | (0.15 | ) |
For the year ended June 30, 2020(4) | | $ | 11.55 | | | | 0.16 | | | | (1.63 | ) | | | (1.47 | ) | | | (0.16 | ) | | | — | | | | (0.16 | ) |
For the year ended June 30, 2019(4) | | $ | 11.97 | | | | 0.17 | | | | (0.10 | ) | | | 0.07 | | | | (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 | ) |
Bridge Builder International Equity Fund | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
For the year ended June 30, 2021(4) | | $ | 10.97 | | | | 0.29 | | | | 3.72 | | | | 4.01 | | | | (0.25 | ) | | | — | | | | (0.25 | ) |
For the year ended June 30, 2020(4) | | $ | 11.38 | | | | 0.23 | | | | (0.36 | ) | | | (0.13 | ) | | | (0.28 | ) | | | — | | | | (0.28 | ) |
For the year ended June 30, 2019(4) | | $ | 11.60 | | | | 0.28 | | | | (0.14 | ) | | | 0.14 | | | | (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 | ) |
| (1) | 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. |
| (2) | 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. |
| (3) | Ratios do not include the impact of the expenses of the underlying funds in which the fund invests. |
| (4) | Per share amounts based on average number of shares outstanding during the year. |
| (5) | Portfolio turnover rate does not include securities received as part of an in-kind capital contribution. |
The accompanying notes are an integral part of these financial statements.
| | |
| 64 | | Annual Report • June 30, 2021 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | Ratios/Supplement Data | |
| | | | | | | | | | Ratios to Average Net Assets of: | | | | |
Net asset
value, end of
period | | | Total
return(1)(2) | | | Net assets,
end of period
(millions) | | | Expenses,
before
waivers(3) | | | Expenses, net of
waivers(3) | | | Net investment
income/ (loss) | | | Portfolio
turnover
rate | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 10.55 | | | | 1.18 | % | | $ | 17,891 | | | | 0.34 | % | | | 0.13 | % | | | 2.19 | % | | | 153 | % |
| $ | 10.91 | | | | 9.01 | % | | $ | 14,140 | | | | 0.34 | % | | | 0.13 | % | | | 2.91 | % | | | 137 | % |
| $ | 10.34 | | | | 8.18 | % | | $ | 15,160 | | | | 0.34 | % | | | 0.14 | % | | | 3.15 | % | | | 153 | % |
| $ | 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 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 10.43 | | | | 3.18 | % | | $ | 32,690 | | | | 0.38 | % | | | 0.15 | % | | | 2.06 | % | | | 281 | % |
| $ | 10.56 | | | | 7.94 | % | | $ | 19,434 | | | | 0.39 | % | | | 0.16 | % | | | 3.08 | % | | | 164 | % |
| $ | 10.27 | | | | 8.66 | % | | $ | 17,963 | | | | 0.47 | % | | | 0.24 | % | | | 3.50 | % | | | 242 | % |
| $ | 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 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 10.81 | | | | 5.19 | % | | $ | 9,889 | | | | 0.38 | % | | | 0.16 | % | | | 2.03 | % | | | 18 | % |
| $ | 10.49 | | | | 2.80 | % | | $ | 6,520 | | | | 0.38 | % | | | 0.16 | % | | | 2.47 | % | | | 41 | % |
| $ | 10.46 | | | | 6.42 | % | | $ | 5,253 | | | | 0.39 | % | | | 0.17 | % | | | 2.64 | % | | | 42 | % |
| $ | 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 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 23.32 | | | | 41.44 | % | | $ | 17,606 | | | | 0.45 | % | | | 0.19 | % | | | 0.65 | % | | | 31 | % |
| $ | 17.11 | | | | 19.28 | % | | $ | 13,464 | | | | 0.46 | % | | | 0.22 | % | | | 0.90 | % | | | 42 | % |
| $ | 14.64 | | | | 13.76 | % | | $ | 6,998 | | | | 0.46 | % | | | 0.22 | % | | | 1.07 | % | | | 31 | % |
| $ | 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 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 17.24 | | | | 49.10 | % | | $ | 17,397 | | | | 0.45 | % | | | 0.24 | % | | | 1.80 | % | | | 26 | % |
| $ | 11.77 | | | | (5.55 | )% | | $ | 12,499 | | | | 0.46 | % | | | 0.24 | % | | | 1.94 | % | | | 36 | %(5) |
| $ | 12.71 | | | | 8.46 | % | | $ | 8,731 | | | | 0.46 | % | | | 0.25 | % | | | 1.95 | % | | | 24 | % |
| $ | 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 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 19.02 | | | | 46.08 | % | | $ | 5,976 | | | | 0.66 | % | | | 0.37 | % | | | 0.13 | % | | | 37 | % |
| $ | 14.73 | | | | 7.63 | % | | $ | 4,794 | | | | 0.66 | % | | | 0.38 | % | | | 0.34 | % | | | 65 | % |
| $ | 14.25 | | | | 11.66 | % | | $ | 4,024 | | | | 0.67 | % | | | 0.39 | % | | | 0.41 | % | | | 23 | % |
| $ | 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 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 15.55 | | | | 58.63 | % | | $ | 7,008 | | | | 0.65 | % | | | 0.40 | % | | | 1.12 | % | | | 34 | % |
| $ | 9.92 | | | | (12.98 | )% | | $ | 5,101 | | | | 0.66 | % | | | 0.42 | % | | | 1.44 | % | | | 50 | % |
| $ | 11.55 | | | | 1.22 | % | | $ | 4,810 | | | | 0.67 | % | | | 0.43 | % | | | 1.47 | % | | | 38 | % |
| $ | 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 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 14.73 | | | | 36.84 | % | | $ | 15,213 | | | | 0.63 | % | | | 0.32 | % | | | 2.21 | % | | | 52 | % |
| $ | 10.97 | | | | (1.40 | )% | | $ | 11,345 | | | | 0.63 | % | | | 0.33 | % | | | 2.10 | % | | | 36 | % |
| $ | 11.38 | | | | 1.57 | % | | $ | 10,645 | | | | 0.64 | % | | | 0.36 | % | | | 2.49 | % | | | 16 | % |
| $ | 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 | % |
The accompanying notes are an integral part of these financial statements.
| | |
| Annual Report • June 30, 2021 | | 65 |
Bridge Builder Mutual Funds
Notes to Financial Statements
1. ORGANIZATION
The Bridge Builder Trust (the “Trust”) is a Delaware statutory trust organized under the laws of the State of Delaware on December 19, 2012, and is registered with the Securities and Exchange Commission (the “SEC”) as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). As of June 30, 2021, 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® and to current and former Trustees of the Trust.
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 (“FASB”) 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. Funds may utilize earnings and profits distributed to shareholders on the redemption of shares as part of the dividends paid deduction. As a result, no provision for federal income tax is recorded in the financial statements.
| | |
| 66 | | Annual Report • June 30, 2021 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
The Adviser has reviewed the Funds’ tax positions for all open tax years (the prior three years of tax filings or since inception, if shorter, are considered open for examination) and has concluded that there is no tax liability/benefit resulting from uncertain income tax positions taken or expected to be taken in future tax returns. The Funds are also not aware of any tax position for which it is reasonably possible that the total amounts of unrecognized tax expense will significantly change in the next twelve months.
As of June 30, 2021, the Funds had no tax examinations or audits in progress.
d) Distributions to Shareholders – Distributions to shareholders are recorded on the ex-dividend date. Distributions of net investment income for the Core Bond, Core Plus Bond and Municipal Bond Funds are generally declared daily and paid monthly. The Large Cap Value Fund will generally declare and pay distributions of net investment income quarterly. The Large Cap Growth, Small/Mid Cap Growth, Small/Mid Cap Value and International Equity Funds will generally declare and pay distributions of net investment income annually, as necessary. Realized capital gains, if any, are distributed by each Fund at least annually, as necessary. The amount and timing of distributions are determined in accordance with federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature, these amounts are reclassified within the capital accounts in the financial statements to reflect their tax character.
e) Indemnifications – In the normal course of business, the Trust may enter into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown, as this would involve future claims against the Trust that have not yet occurred.
f) Investment Transactions, Income and Expense Allocation – Investment transactions are recorded on trade date. Securities gains and losses, net of foreign taxes withheld, if any, are calculated on the basis of identified cost. Dividend income (expense), net of foreign taxes withheld, if any, is recognized on ex-dividend date except in the case of foreign securities, in which case dividends are recorded as soon as the information becomes available, which may be after the published ex-dividend date. Non-cash dividend income received in the form of securities in-lieu of cash are recorded at the fair value of the securities received. Issuance fees, if any, are custodial fees on American Depositary Receipts (“ADRs”) charged by ADR agents on ADR dividends and are recorded when paid. Interest income is recognized on an accrual basis, while discounts and premiums on securities purchased are accreted or amortized, 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.
h) Regulatory Updates – In December 2020, the SEC adopted a rule addressing fair valuation of fund investments. The new rule sets forth requirements for good faith determinations of fair value, including related oversight and reporting obligations. The new rule also defines “readily available market quotations” for purposes of determining whether the fund should value a security at its market value (as opposed to fair value) under the 1940 Act, and the SEC noted that this definition would apply in all contexts under the Act. The effective date for the rule was March 8,
| | |
| Annual Report • June 30, 2021 | | 67 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
2021. The SEC adopted an eighteen-month transition period beginning from the effective date for both the new rule and the associated new recordkeeping requirements. At this time, management is evaluating the implications of these changes on the financial statements.
On October 28, 2020, the SEC adopted new regulations governing the use of derivatives by registered investment companies. Once implemented, the rule will impose new limits on the amount of derivatives a fund can enter into, replace the asset segregation framework currently used by funds to comply with Section 18 of the 1940 Act, and require funds whose use of derivatives is more than a limited specified exposure amount to establish and maintain a comprehensive derivatives risk management program and for Boards of such funds to appoint a derivatives risk manager. The effective date for the rule was February 19, 2021. The SEC adopted an eighteen-month transition period beginning from the effective date for the new rule. At this time, management is evaluating the implications of these changes on the financial statements.
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 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 – All 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
| | |
| 68 | | Annual Report • June 30, 2021 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
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. During the period, all Funds participated in futures transactions.
Forward Foreign Currency Exchange Contracts – Core Plus Bond Fund and International Equity Fund may invest in 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. During the period, the Core Plus Bond Fund participated in transactions of forward foreign currency exchange contracts.
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 multiparty 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. Repurchase agreement amounts, if any, 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
| | |
| Annual Report • June 30, 2021 | | 69 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
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 – Core Bond Fund and Core Plus Bond Fund 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. During the period, the Core Plus Bond Fund entered into interest rate swap contracts.
Credit Default Swap Contracts – Core Plus Bond Fund 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, 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. During the period, the Core Plus Bond Fund entered into credit default swap contracts.
Total Return Swap Contracts – Core Plus Bond Fund 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
| | |
| 70 | | Annual Report • June 30, 2021 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
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 Funds to supply additional cash to the borrower on demand. The value of the unfunded 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, a 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. The Funds did not hold any unfunded loan positions as of June 30, 2021.
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. The Funds held the following restricted securities at June 30, 2021.
Core Bond Fund
| | | | | | | | | | | | | | | | |
Issuer Description | | Acquisition Date | | | Acquisition
Cost | | | Market Value at
June 30, 2021 | | | % of Net Assets at
June 30, 2021 | |
Citigroup, Inc. | | | 4/27/2021 | | | $ | 19,270,000 | | | $ | 19,615,931 | | | | 0.11 | % |
Deutsche Bank AG/New York NY | | | 11/17/2020 - 5/25/2021 | | | | 9,162,000 | | | | 9,302,018 | | | | 0.05 | |
Oracle Corp. | | | 3/22/2021 | | | | 5,605,557 | | | | 5,766,159 | | | | 0.03 | |
| | | | | | | | | | | | | | | | |
| | | | | | $ | 34,037,557 | | | $ | 34,684,108 | | | | 0.19 | % |
| | | | | | | | | | | | | | | | |
| | |
| Annual Report • June 30, 2021 | | 71 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
Core Plus Bond Fund
| | | | | | | | | | | | | | | | |
Issuer Description | | Acquisition Date | | | Acquisition
Cost | | | Market Value at
June 30, 2021 | | | % of Net Assets at
June 30, 2021 | |
ABG Intermediate Holdings 2 LLC | | | 1/13/2021 - 2/4/2021 | | | $ | 3,035,556 | | | $ | 2,890,809 | | | | 0.01 | % |
AI Alpine U.S. Bidco, Inc. | | | 10/15/2020 | | | | 1,895,094 | | | | 786,267 | | | | 0.00 | * |
AMI Investments LLC | | | 8/24/2020 | | | | 1,310,069 | | | | 1,179,062 | | | | 0.00 | * |
AT&T Mobility II LLC | | | 9/24/2020 | | | | 28,023,048 | | | | 24,271,694 | | | | 0.07 | |
CCM Merger, Inc. | | | 10/29/2020 | | | | 920,975 | | | | 811,584 | | | | 0.00 | * |
Citigroup, Inc. | | | 4/27/2021 | | | | 25,825,000 | | | | 16,109,087 | | | | 0.05 | |
Deutsche Bank AG/New York NY | | | 11/17/2020 - 6/21/2021 | | | | 18,660,618 | | | | 18,905,075 | | | | 0.06 | |
Export-Import Bank of India | | | 12/19/2019 | | | | 9,520,416 | | | | 9,600,672 | | | | 0.03 | |
Mission Broadcasting, Inc. | | | 5/27/2021 | | | | 2,293,475 | | | | 2,290,594 | | | | 0.01 | |
Morgan Stanley | | | 2/11/2020 | | | | 12,557,800 | | | | 11,956,389 | | | | 0.04 | |
Neiman Marcus Group, Inc. | | | 9/25/2020 | | | | 2,007,193 | | | | 6,887,023 | | | | 0.02 | |
Noble Corp. | | | 2/8/2021 - 2/12/2021 | | | | 226,445 | | | | 384,922 | | | | 0.00 | * |
Oracle Corp. | | | 3/22/2021 - 6/28/2021 | | | | 41,127,457 | | | | 42,263,285 | | | | 0.13 | |
Tacala Investment Corp. | | | 11/13/2020 | | | | 584,100 | | | | 590,372 | | | | 0.00 | * |
| | | | | | | | | | | | | | | | |
| | | | | | $ | 147,987,246 | | | $ | 138,926,835 | | | | 0.42 | % |
| | | | | | | | | | | | | | | | |
| * | Amount less than 0.005%. |
Municipal Bond Fund
| | | | | | | | | | | | | | | | |
Issuer Description | | Acquisition Date | | | Acquisition
Cost | | | Market Value at
June 30, 2021 | | | % of Net Assets at
June 30, 2021 | |
Mizuho Floater/Residual Trust | | | 8/14/2020 | | | $ | 8,800,000 | | | $ | 8,800,000 | | | | 0.09 | % |
Public Finance Authority | | | 5/19/2016 - 4/14/2020 | | | | 6,174,620 | | | | 6,417,604 | | | | 0.06 | |
| | | | | | | | | | | | | | | | |
| | | | | | $ | 14,974,620 | | | $ | 15,217,604 | | | | 0.15 | % |
| | | | | | | | | | | | | | | | |
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.
During the period ended June 30, 2021, the Core Plus Bond Fund participated in sale-buyback transactions. As of June 30, 2021, there were no outstanding sale-buyback transactions. The average amount borrowed was $123,420,044 and incurred interest expense of $24,690 with a weighted average interest rate of 0.14%.
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.
During the period ended June 30, 2021, the Core Plus Bond Fund did not participate in buy-saleback transactions.
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
| | |
| 72 | | Annual Report • June 30, 2021 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
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.
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 |
| | |
| Annual Report • June 30, 2021 | | 73 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
| | 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 days. 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.
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.
| | |
| 74 | | Annual Report • June 30, 2021 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
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 of the fair value hierarchy.
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.
| | |
| Annual Report • June 30, 2021 | | 75 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
Quantitative Information
The following tables represent each Fund’s valuation inputs as presented in the Summary Schedule of Investment as of June 30, 2021.
Core Bond Fund
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Assets | | | | | | | | | | | | | | | | |
Asset-Backed Obligations | | $ | — | | | $ | 1,860,407,378 | | | $ | 49,915,906 | | | $ | 1,910,323,284 | |
Corporate Bonds | | | | | | | | | | | | | | | | |
Basic Materials | | | — | | | | 183,567,902 | | | | — | | | | 183,567,902 | |
Communications | | | — | | | | 516,645,086 | | | | — | | | | 516,645,086 | |
Consumer, Cyclical | | | — | | | | 292,642,784 | | | | — | | | | 292,642,784 | |
Consumer, Non-cyclical | | | — | | | | 772,150,785 | | | | — | | | | 772,150,785 | |
Diversified | | | — | | | | 5,586,750 | | | | — | | | | 5,586,750 | |
Energy | | | — | | | | 605,443,144 | | | | — | | | | 605,443,144 | |
Financials | | | — | | | | 2,233,737,488 | | | | — | | | | 2,233,737,488 | |
Industrials | | | — | | | | 337,642,287 | | | | — | | | | 337,642,287 | |
Technology | | | — | | | | 320,658,161 | | | | — | | | | 320,658,161 | |
Utilities | | | — | | | | 561,251,141 | | | | — | | | | 561,251,141 | |
Government Related | | | | | | | | | | | | | | | | |
Other Government Related | | | — | | | | 309,782,427 | | | | — | | | | 309,782,427 | |
U.S. Treasury Obligations | | | — | | | | 3,178,668,615 | | | | — | | | | 3,178,668,615 | |
Mortgage-Backed Obligations | | | — | | | | 6,059,931,853 | | | | 112,093,103 | | | | 6,172,024,956 | |
Preferred Stocks | | | | | | | | | | | | | | | | |
Financials | | | 2,858,550 | | | | — | | | | — | | | | 2,858,550 | |
Short-Term Investments | | | | | | | | | | | | | | | | |
Money Market Funds | | | 1,058,986,391 | | | | — | | | | — | | | | 1,058,986,391 | |
U.S. Treasury Bills | | | — | | | | 2,249,502 | | | | — | | | | 2,249,502 | |
Time Deposits | | | — | | | | 148,159,350 | | | | — | | | | 148,159,350 | |
Futures Contracts (1) | | | 17,059,871 | | | | — | | | | — | | | | 17,059,871 | |
Total Assets | | $ | 1,078,904,812 | | | $ | 17,388,524,653 | | | $ | 162,009,009 | | | $ | 18,629,438,474 | |
Liabilities | | | | | | | | | | | | | | | | |
Futures Contracts (1) | | $ | (2,680,052 | ) | | $ | — | | | $ | — | | | $ | (2,680,052 | ) |
Total Liabilities | | $ | (2,680,052 | ) | | $ | — | | | $ | — | | | $ | (2,680,052 | ) |
| | |
| 76 | | Annual Report • June 30, 2021 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
Core Plus Bond Fund
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Assets | | | | | | | | | | | | | | | | |
Asset-Backed Obligations | | $ | — | | | $ | 3,060,468,136 | | | $ | — | | | $ | 3,060,468,136 | |
Corporate Bonds | | | | | | | | | | | | | | | | |
Basic Materials | | | — | | | | 249,085,158 | | | | — | | | | 249,085,158 | |
Communications | | | — | | | | 1,490,166,554 | | | | — | | | | 1,490,166,554 | |
Consumer, Cyclical | | | — | | | | 1,041,062,182 | | | | — | | | | 1,041,062,182 | |
Consumer, Non-cyclical | | | — | | | | 1,666,792,253 | | | | — | | | | 1,666,792,253 | |
Diversified | | | — | | | | 5,103,032 | | | | — | | | | 5,103,032 | |
Energy | | | — | | | | 842,962,499 | | | | — | | | | 842,962,499 | |
Financials | | | — | | | | 3,952,311,917 | | | | — | | | | 3,952,311,917 | |
Government | | | — | | | | 36,899,669 | | | | — | | | | 36,899,669 | |
Industrials | | | — | | | | 518,072,297 | | | | — | | | | 518,072,297 | |
Technology | | | — | | | | 482,641,447 | | | | — | | | | 482,641,447 | |
Utilities | | | — | | | | 653,266,656 | | | | — | | | | 653,266,656 | |
Convertible Securities | | | | | | | | | | | | | | | | |
Communications | | | — | | | | 34,600,699 | | | | — | | | | 34,600,699 | |
Consumer, Cyclical | | | — | | | | 9,590,734 | | | | — | | | | 9,590,734 | |
Consumer, Non-cyclical | | | — | | | | 23,054,984 | | | | — | | | | 23,054,984 | |
Government Related | | | | | | | | | | | | | | | | |
Other Government Related | | | — | | | | 755,358,790 | | | | — | | | | 755,358,790 | |
U.S. Treasury Obligations | | | — | | | | 7,593,143,228 | | | | — | | | | 7,593,143,228 | |
Mortgage-Backed Obligations | | | — | | | | 8,005,007,412 | | | | — | | | | 8,005,007,412 | |
Bank Loans | | | — | | | | 944,975,895 | | | | — | | | | 944,975,895 | |
Common Stocks | | | | | | | | | | | | | | | | |
Communications | | | 18,889,473 | | | | — | | | | 8,855,691 | | | | 27,745,164 | |
Consumer Discretionary | | | — | | | | — | | | | 6,887,023 | | | | 6,887,023 | |
Energy | | | 384,922 | | | | — | | | | 41,554 | | | | 426,476 | |
Financials | | | — | | | | — | | | | — | (2) | | | — | |
Industrials | | | — | | | | — | | | | 1,179,062 | | | | 1,179,062 | |
Convertible Preferred Stocks | | | | | | | | | | | | | | | | |
Consumer, Non-cyclical | | | 10,345,748 | | | | — | | | | — | | | | 10,345,748 | |
Financials | | | 38,144,332 | | | | — | | | | — | | | | 38,144,332 | |
Preferred Stocks | | | | | | | | | | | | | | | | |
Communications | | | — | | | | — | | | | 24,271,694 | | | | 24,271,694 | |
Financials | | | — | | | | — | | | | 7,400 | | | | 7,400 | |
Warrants | | | — | | | | — | | | | 80,664 | | | | 80,664 | |
Short-Term Investments | | | | | | | | | | | | | | | | |
Money Market Funds | | | 1,280,070,132 | | | | — | | | | — | | | | 1,280,070,132 | |
Government Related | | | — | | | | 22,018,261 | | | | — | | | | 22,018,261 | |
Repurchase Agreements | | | — | | | | 376,500,000 | | | | — | | | | 376,500,000 | |
U.S. Treasury Bills | | | — | | | | 2,796,750,132 | | | | — | | | | 2,796,750,132 | |
Time Deposits | | | — | | | | 30,781,745 | | | | — | | | | 30,781,745 | |
Futures Contracts (1) | | | 44,723,811 | | | | — | | | | — | | | | 44,723,811 | |
Forward Foreign Currency Exchange Contracts (1) | | | — | | | | 45,266,407 | | | | — | | | | 45,266,407 | |
Swap Contracts (1) | | | — | | | | 110,649,721 | | | | — | | | | 110,649,721 | |
Total Assets | | $ | 1,392,558,418 | | | $ | 34,746,529,808 | | | $ | 41,323,088 | | | $ | 36,180,411,314 | |
Liabilities | | | | | | | | | | | | | | | | |
TBA Sale Commitments | | $ | — | | | $ | (387,789,070 | ) | | $ | — | | | $ | (387,789,070 | ) |
Futures Contracts (1) | | | (16,505,833 | ) | | | — | | | | — | | | | (16,505,833 | ) |
Forward Foreign Currency Exchange Contracts (1) | | | — | | | | (23,091,267 | ) | | | — | | | | (23,091,267 | ) |
Swap Contracts (1) | | | — | | | | (26,699,617 | ) | | | — | | | | (26,699,617 | ) |
Total Liabilities | | $ | (16,505,833 | ) | | $ | (437,579,954 | ) | | $ | — | | | $ | (454,085,787 | ) |
| | |
| Annual Report • June 30, 2021 | | 77 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
Municipal Bond Fund
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Assets | | | | | | | | | | | | | | | | |
Municipal Bonds | | | | | | | | | | | | | | | | |
Education | | $ | — | | | $ | 796,803,370 | | | $ | — | | | $ | 796,803,370 | |
General Obligation | | | — | | | | 1,608,733,437 | | | | — | | | | 1,608,733,437 | |
General Revenue | | | — | | | | 2,845,000,644 | | | | — | | | | 2,845,000,644 | |
Healthcare | | | — | | | | 1,231,406,636 | | | | — | | | | 1,231,406,636 | |
Housing | | | — | | | | 475,729,561 | | | | — | | | | 475,729,561 | |
Transportation | | | — | | | | 1,708,255,119 | | | | — | | | | 1,708,255,119 | |
Utilities | | | — | | | | 830,652,478 | | | | — | | | | 830,652,478 | |
Short-Term Investments | | | | | | | | | | | | | | | | |
Money Market Funds | | | 496,828,340 | | | | — | | | | — | | | | 496,828,340 | |
Commercial Paper | | | — | | | | 17,336,536 | | | | — | | | | 17,336,536 | |
Time Deposits | | | — | | | | 23,222,456 | | | | — | | | | 23,222,456 | |
Futures Contracts (1) | | | 106,249 | | | | — | | | | — | | | | 106,249 | |
Total Assets | | $ | 496,934,589 | | | $ | 9,537,140,237 | | | $ | — | | | $ | 10,034,074,826 | |
Liabilities | | | | | | | | | | | | | | | | |
Futures Contracts (1) | | $ | (366,855 | ) | | $ | — | | | $ | — | | | $ | (366,855 | ) |
Total Liabilities | | $ | (366,855 | ) | | $ | — | | | $ | — | | | $ | (366,855 | ) |
| | | | |
| Large Cap Growth Fund | | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Assets | | | | | | | | | | | | | | | | |
Common Stocks | | | | | | | | | | | | | | | | |
Communication Services | | $ | 2,063,259,481 | | | $ | — | | | $ | — | | | $ | 2,063,259,481 | |
Consumer Discretionary | | | 2,556,577,106 | | | | 86,154,674 | | | | — | | | | 2,642,731,780 | |
Consumer Staples | | | 539,007,708 | | | | — | | | | — | | | | 539,007,708 | |
Energy | | | 149,382,495 | | | | — | | | | — | | | | 149,382,495 | |
Financials | | | 1,410,445,238 | | | | — | | | | — | | | | 1,410,445,238 | |
Healthcare | | | 2,699,611,958 | | | | 17,277,467 | | | | — | | | | 2,716,889,425 | |
Industrials | | | 1,037,758,162 | | | | 35,862,065 | | | | — | | | | 1,073,620,227 | |
Information Technology | | | 5,975,384,998 | | | | 95,998,952 | | | | — | | | | 6,071,383,950 | |
Materials | | | 361,856,907 | | | | — | | | | — | | | | 361,856,907 | |
Real Estate | | | 317,320,604 | | | | — | | | | — | | | | 317,320,604 | |
Utilities | | | 480,868 | | | | — | | | | — | | | | 480,868 | |
Short-Term Investments | | | | | | | | | | | | | | | | |
Money Market Funds | | | 226,383,268 | | | | — | | | | — | | | | 226,383,268 | |
Time Deposits | | | — | | | | 12,272,840 | | | | — | | | | 12,272,840 | |
Futures Contracts (1) | | | 351,946 | | | | — | | | | — | | | | 351,946 | |
Total Assets | | $ | 17,337,820,739 | | | $ | 247,565,998 | | | $ | — | | | $ | 17,585,386,737 | |
| | |
| 78 | | Annual Report • June 30, 2021 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
Large Cap Value Fund
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Assets | | | | | | | | | | | | | | | | |
Common Stocks | | | | | | | | | | | | | | | | |
Communication Services | | $ | 1,121,658,384 | | | $ | — | | | $ | — | | | $ | 1,121,658,384 | |
Consumer Discretionary | | | 1,557,710,992 | | | | 167,632,885 | | | | — | | | | 1,725,343,877 | |
Consumer Staples | | | 1,321,205,693 | | | | 20,007,154 | | | | — | | | | 1,341,212,847 | |
Energy | | | 624,596,035 | | | | 50,778,196 | | | | — | | | | 675,374,231 | |
Financials | | | 3,349,836,703 | | | | — | | | | — | | | | 3,349,836,703 | |
Healthcare | | | 2,405,183,336 | | | | 171,732,674 | | | | — | | | | 2,576,916,010 | |
Industrials | | | 2,762,307,498 | | | | 25,340,183 | | | | — | | | | 2,787,647,681 | |
Information Technology | | | 1,464,129,714 | | | | 122,743,628 | | | | — | | | | 1,586,873,342 | |
Materials | | | 797,301,355 | | | | 10,834,698 | | | | — | | | | 808,136,053 | |
Real Estate | | | 629,550,276 | | | | — | | | | — | | | | 629,550,276 | |
Utilities | | | 451,916,772 | | | | — | | | | — | | | | 451,916,772 | |
Convertible Preferred Stocks | | | | | | | | | | | | | | | | |
Healthcare | | | 10,813,033 | | | | — | | | | — | | | | 10,813,033 | |
Utilities | | | 31,759,116 | | | | — | | | | — | | | | 31,759,116 | |
Preferred Stocks | | | | | | | | | | | | | | | | |
Consumer Discretionary | | | — | | | | 35,478,255 | | | | — | | | | 35,478,255 | |
Short-Term Investments | | | | | | | | | | | | | | | | |
Money Market Funds | | | 187,295,009 | | | | — | | | | — | | | | 187,295,009 | |
Time Deposits | | | — | | | | 39,044,913 | | | | — | | | | 39,044,913 | |
Futures Contracts (1) | | | 28,541 | | | | — | | | | — | | | | 28,541 | |
Total Assets | | $ | 16,715,292,457 | | | $ | 643,592,586 | | | $ | — | | | $ | 17,358,885,043 | |
| | | | |
| Small/Mid Cap Growth Fund | | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Assets | | | | | | | | | | | | | | | | |
Common Stocks | | | | | | | | | | | | | | | | |
Communication Services | | $ | 275,292,562 | | | $ | — | | | $ | — | | | $ | 275,292,562 | |
Consumer Discretionary | | | 737,060,782 | | | | — | | | | — | | | | 737,060,782 | |
Consumer Staples | | | 286,355,524 | | | | — | | | | — | | | | 286,355,524 | |
Energy | | | 41,960,496 | | | | — | | | | — | | | | 41,960,496 | |
Financials | | | 615,891,257 | | | | — | | | | — | | | | 615,891,257 | |
Healthcare | | | 1,342,088,031 | | | | — | | | | 15,953 | | | | 1,342,103,984 | |
Industrials | | | 882,056,973 | | | | — | | | | — | | | | 882,056,973 | |
Information Technology | | | 1,492,099,735 | | | | — | | | | — | | | | 1,492,099,735 | |
Materials | | | 138,084,596 | | | | — | | | | — | | | | 138,084,596 | |
Real Estate | | | 73,754,139 | | | | — | | | | — | | | | 73,754,139 | |
Utilities | | | 1,982,907 | | | | — | | | | — | | | | 1,982,907 | |
Corporate Bonds | | | | | | | | | | | | | | | | |
Financials | | | — | | | | 3,000 | | | | — | | | | 3,000 | |
Short-Term Investments | | | | | | | | | | | | | | | | |
Money Market Funds | | | 63,231,943 | | | | — | | | | — | | | | 63,231,943 | |
Time Deposits | | | — | | | | 24,991,777 | | | | — | | | | 24,991,777 | |
Futures Contracts (1) | | | 32,034 | | | | — | | | | — | | | | 32,034 | |
Total Assets | | $ | 5,949,890,979 | | | $ | 24,994,777 | | | $ | 15,953 | | | $ | 5,974,901,709 | |
Liabilities | | | | | | | | | | | | | | | | |
Futures Contracts (1) | | $ | (8,661 | ) | | $ | — | | | $ | — | | | $ | (8,661 | ) |
Total Liabilities | | $ | (8,661 | ) | | $ | — | | | $ | — | | | $ | (8,661 | ) |
| | |
| Annual Report • June 30, 2021 | | 79 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
Small/Mid Cap Value Fund
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Assets | | | | | | | | | | | | | | | | |
Common Stocks | | | | | | | | | | | | | | | | |
Communication Services | | $ | 125,868,664 | | | $ | — | | | $ | — | | | $ | 125,868,664 | |
Consumer Discretionary | | | 874,443,809 | | | | — | | | | — | | | | 874,443,809 | |
Consumer Staples | | | 239,924,727 | | | | — | | | | — | | | | 239,924,727 | |
Energy | | | 355,601,122 | | | | — | | | | — | | | | 355,601,122 | |
Financials | | | 1,459,151,477 | | | | — | | | | — | (2) | | | 1,459,151,477 | |
Healthcare | | | 632,767,721 | | | | — | | | | 2,970 | | | | 632,770,691 | |
Industrials | | | 1,276,069,950 | | | | 168,056 | | | | — | | | | 1,276,238,006 | |
Information Technology | | | 681,393,909 | | | | — | | | | — | | | | 681,393,909 | |
Materials | | | 533,705,939 | | | | — | | | | — | | | | 533,705,939 | |
Real Estate | | | 407,750,059 | | | | — | | | | — | | | | 407,750,059 | |
Utilities | | | 294,294,574 | | | | — | | | | — | | | | 294,294,574 | |
Warrants | | | — | | | | 1,200 | | | | — | | | | 1,200 | |
Short-Term Investments | | | | | | | | | | | | | | | | |
Money Market Funds | | | 60,192,969 | | | | — | | | | — | | | | 60,192,969 | |
Time Deposits | | | — | | | | 52,791,254 | | | | — | | | | 52,791,254 | |
Futures Contracts (1) | | | 2,975 | | | | — | | | | — | | | | 2,975 | |
Total Assets | | $ | 6,941,167,895 | | | $ | 52,960,510 | | | $ | 2,970 | | | $ | 6,994,131,375 | |
Liabilities | | | | | | | | | | | | | | | | |
Futures Contracts (1) | | $ | (16,784 | ) | | $ | — | | | $ | — | | | $ | (16,784 | ) |
Total Liabilities | | $ | (16,784 | ) | | $ | — | | | $ | — | | | $ | (16,784 | ) |
| | |
| 80 | | Annual Report • June 30, 2021 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
International Equity Fund
| | | | | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Assets | | | | | | | | | | | | | | | | |
Common Stocks | | | | | | | | | | | | | | | | |
Communication Services | | $ | 120,215,172 | | | $ | 917,450,131 | | | $ | — | | | $ | 1,037,665,303 | |
Consumer Discretionary | | | 363,369,726 | | | | 2,254,351,555 | | | | — | | | | 2,617,721,281 | |
Consumer Staples | | | 112,170,175 | | | | 1,041,824,938 | | | | — | | | | 1,153,995,113 | |
Energy | | | 40,100,459 | | | | 520,605,649 | | | | — | | | | 560,706,108 | |
Financials | | | 121,098,278 | | | | 1,977,473,509 | | | | — | | | | 2,098,571,787 | |
Healthcare | | | 345,585,594 | | | | 1,540,576,030 | | | | — | | | | 1,886,161,624 | |
Industrials | | | 117,193,835 | | | | 2,223,931,992 | | | | — | | | | 2,341,125,827 | |
Information Technology | | | 574,559,357 | | | | 1,257,628,235 | | | | — | | | | 1,832,187,592 | |
Materials | | | — | | | | 789,760,739 | | | | — | | | | 789,760,739 | |
Real Estate | | | 351,829 | | | | 37,218,622 | | | | — | | | | 37,570,451 | |
Utilities | | | 339,480 | | | | 450,215,226 | | | | — | | | | 450,554,706 | |
Preferred Stocks | | | | | | | | | | | | | | | | |
Consumer Discretionary | | | — | | | | 67,717,681 | | | | — | | | | 67,717,681 | |
Consumer Staples | | | — | | | | 1,187,520 | | | | — | | | | 1,187,520 | |
Healthcare | | | — | | | | 623,569 | | | | — | | | | 623,569 | |
Materials | | | — | | | | 164,096 | | | | — | | | | 164,096 | |
Rights | | | | | | | | | | | | | | | | |
Industrials | | | 16,466 | | | | — | | | | — | | | | 16,466 | |
Short-Term Investments | | | | | | | | | | | | | | | | |
Money Market Funds | | | 248,534,118 | | | | — | | | | — | | | | 248,534,118 | |
Convertible Securities | | | — | | | | 381,336 | | | | — | | | | 381,336 | |
Time Deposits | | | — | | | | 69,426,729 | | | | — | | | | 69,426,729 | |
Futures Contracts (1) | | | 105 | | | | — | | | | — | | | | 105 | |
Total Assets | | $ | 2,043,534,594 | | | $ | 13,150,537,557 | | | $ | — | | | $ | 15,194,072,151 | |
Liabilities | | | | | | | | | | | | | | | | |
Futures Contracts (1) | | $ | (32,898 | ) | | $ | — | | | $ | — | | | $ | (32,898 | ) |
Total Liabilities | | $ | (32,898 | ) | | $ | — | | | $ | — | | | $ | (32,898 | ) |
| (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. |
| | |
| Annual Report • June 30, 2021 | | 81 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
The Core Bond, Core Plus Bond, Small/Mid Cap Growth, and Small/Mid Cap Value all held Level 3 securities at the end of the period. In the aggregate, securities classified as Level 3 in the Core Plus Bond, Small/Mid Cap Growth, and Small/Mid Cap Value have been deemed immaterial with respect to each Fund.
Quantitative Information about Level 3 Fair Value Measurements*
Core Bond Fund
| | | | | | | | | | | | | | |
| Investment Type | | Fair Value at
6/30/21 | | | Valuation
Methodology | | Unobservable Inputs | | Input Value/Range | | Weighted Average | |
Asset-Backed Obligations | | $ | 5,700,000 | | | Cost Basis | | Purchase Price | | $100.00 | | $ | 100.00 | |
Mortgage-Backed Obligations | | $ | 15,286,056 | | | Cost Basis | | Purchase Price | | $99.90-$100.00 | | $ | 99.96 | |
| * | The table above does not include Level 3 securities that were valued by brokers. At June 30, 2021, the value of these securities was $141,022,953 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. |
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 following is a reconciliation of assets for which significant unobservable inputs (Level 3) were used in determining fair value during the period July 1, 2020 through June 30, 2021:
Core Bond Fund
| | | | | | | | | | | | |
| | | Total
| | | Asset-Backed
Obligations | | | Mortgage-Backed
Obligations | |
Balance as of June 30, 2020 | | $ | 82,060,788 | | | $ | 53,398,294 | | | $ | 28,662,494 | |
Total realized gain/(loss) | | | 21,611 | | | | 5 | | | | 21,606 | |
Accrued discounts/(premiums) | | | 25,979 | | | | 13 | | | | 25,966 | |
Paydown | | | (21,140,791 | ) | | | (12,252,313 | ) | | | (8,888,478 | ) |
Payup | | | 1,029,053 | | | | 1,029,053 | | | | – | |
Change in unrealized appreciation/(depreciation) | | | 1,596,664 | | | | 1,381,265 | | | | 215,399 | |
Purchases | | | 121,166,150 | | | | 17,950,000 | | | | 103,216,150 | |
Sales | | | (26,871,325 | ) | | | (15,711,291 | ) | | | (11,160,034 | ) |
Transfers in* | | | 4,120,880 | | | | 4,120,880 | | | | – | |
Transfers out* | | | – | | | | – | | | | – | |
| | | | | | | | | | | | |
Balance as of June 30, 2021 | | $ | 162,009,009 | | | $ | 49,915,906 | | | $ | 112,093,103 | |
| | | | | | | | | | | | |
Change in unrealized appreciation/(depreciation) from Investments held as of June 30, 2021 | | $ | 1,426,129 | | | $ | 1,372,187 | | | $ | 53,942 | |
| | | | | | | | | | | | |
| * | Transfers are calculated on the ending of period value. For the period ended June 30, 2021, securities with an aggregate market value of $4,120,880 transferred from Level 2 to Level 3 as there were no longer observable inputs available to determine their value. There were no other transfers between Level 1, 2 and 3. |
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.
| | |
| 82 | | Annual Report • June 30, 2021 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
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 | | $ | 17,059,871 | | | $ | — | | | $ | — | | | $ | (2,680,052 | ) | | $ | — | | | $ | — | |
Core Plus Bond Fund | | | 44,723,811 | | | | 48,319,580 | | | | — | | | | (16,505,833 | ) | | | (26,413,998 | ) | | | — | |
Municipal Bond Fund | | | 106,249 | | | | — | | | | — | | | | (366,855 | ) | | | — | | | | — | |
Equity Risk: | | | | | | | | | | | | | | | | | | | | | | | | |
Large Cap Growth Fund | | | 351,946 | | | | — | | | | — | | | | — | | | | — | | | | — | |
Large Cap Value Fund | | | 28,541 | | | | — | | | | — | | | | — | | | | — | | | | — | |
Small/Mid Cap Growth Fund | | | 32,034 | | | | — | | | | — | | | | (8,661 | ) | | | — | | | | — | |
Small/Mid Cap Value Fund | | | 2,975 | | | | — | | | | — | | | | (16,784 | ) | | | — | | | | — | |
International Equity Fund | | | 105 | | | | — | | | | — | | | | (32,898 | ) | | | — | | | | — | |
Foreign Exchange Risk: | | | | | | | | | | | | | | | | | | | | | | | | |
Core Plus Bond Fund | | | — | | | | — | | | | 45,266,407 | | | | — | | | | — | | | | (23,091,267 | ) |
Credit Risk: | | | | | | | | | | | | | | | | | | | | | | | | |
Core Plus Bond Fund | | | — | | | | 62,330,141 | | | | — | | | | — | | | | (285,619 | ) | | | — | |
| * | May include cumulative unrealized appreciation/(deprecation) 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 year ended June 30, 2021
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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 | | $ | (50,596,144 | ) | | $ | — | | | $ | 487,506 | | | $ | 14,619,158 | | | $ | — | | | $ | (487,509 | ) |
Core Plus Bond Fund | | | (76,210,423 | ) | | | — | | | | 15,549,318 | | | | 23,655,742 | | | | — | | | | (10,196,173 | ) |
Municipal Bond Fund | | | 1,497,049 | | | | — | | | | — | | | | (260,606 | ) | | | — | | | | — | |
Equity Risk: | | | | | | | | | | | | | | | | | | | | | | | | |
Large Cap Growth Fund | | | 904,130 | | | | — | | | | — | | | | 351,946 | | | | — | | | | — | |
Large Cap Value Fund | | | 706,221 | | | | — | | | | — | | | | 28,541 | | | | — | | | | — | |
Small/Mid Cap Growth Fund | | | 305,397 | | | | — | | | | — | | | | 23,373 | | | | — | | | | — | |
Small/Mid Cap Value Fund | | | 237,585 | | | | — | | | | — | | | | (13,809 | ) | | | — | | | | — | |
International Equity Fund | | | 346,452 | | | | — | | | | — | | | | (32,793 | ) | | | — | | | | — | |
Foreign Exchange Risk: | | | | | | | | | | | | | | | | | | | | | | | | |
Core Plus Bond Fund | | | — | | | | (85,866,807 | ) | | | — | | | | — | | | | 34,541,896 | | | | — | |
Credit Risk: | | | | | | | | | | | | | | | | | | | | | | | | |
Core Plus Bond Fund | | | — | | | | — | | | | 40,681,927 | | | | — | | | | — | | | | 5,459,319 | |
| | |
| Annual Report • June 30, 2021 | | 83 |
Bridge Builder Mutual Funds
Notes to Financial Statements (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 June 30, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Core Plus Bond Fund | | | | | | | | | | | | | | | | |
| | | | | Gross Amounts of
Recognized Assets
Presented in the
Statements of
Assets & Liabilities | | | | | | | | | Gross Amounts
not offset in the
Statements of
Assets & Liabilities | | | | |
| Counterparty | | Investment
Type | | Gross Amounts
Available for Offset | | | Net
Amounts | | | Financial
Instruments | | | Collateral
Received | | | Net
Amount | |
Bank of America | | Forward
Foreign
Currency
Exchange
Contracts | | $ | 4,002,829 | | | $ | (2,412,195 | ) | | $ | 1,590,634 | | | $ | — | | | $ | — | | | $ | 1,590,634 | |
Barclays Bank | | Credit
Default
Swap
Contracts | | | 221,248 | | | | — | | | | 221,248 | | | | — | | | | — | | | | 221,248 | |
Barclays Bank | | Forward
Foreign
Currency
Exchange
Contracts | | | 479,068 | | | | — | | | | 479,068 | | | | — | | | | — | | | | 479,068 | |
BNP Paribas | | Forward
Foreign
Currency
Exchange
Contracts | | | 15,958,439 | | | | (1,001,497 | ) | | | 14,956,942 | | | | — | | | | (13,280,000 | ) | | | 1,676,942 | |
Canadian Imperial Bank of Commerce | | Forward
Foreign
Currency
Exchange
Contracts | | | 72,422 | | | | (72,422 | ) | | | — | | | | — | | | | — | | | | — | |
Citibank | | Forward
Foreign
Currency
Exchange
Contracts | | | 600,585 | | | | (600,585 | ) | | | — | | | | — | | | | — | | | | — | |
Credit Suisse International | | Forward
Foreign
Currency
Exchange
Contracts | | | 92,947 | | | | — | | | | 92,947 | | | | — | | | | — | | | | 92,947 | |
Deutsche Bank | | Credit
Default
Swap
Contracts | | | 171,039 | | | | — | | | | 171,039 | | | | — | | | | (171,039 | ) | | | — | |
Deutsche Bank | | Forward
Foreign
Currency
Exchange
Contracts | | | 164,038 | | | | — | | | | 164,038 | | | | — | | | | — | | | | 164,038 | |
Goldman Sachs | | Credit
Default
Swap
Contracts | | | 2,343,504 | | | | (49,129 | ) | | | 2,294,375 | | | | — | | | | (2,294,375 | ) | | | — | |
Goldman Sachs | | Forward
Foreign
Currency
Exchange
Contracts | | | 11,319,192 | | | | (1,671,076 | ) | | | 9,648,116 | | | | — | | | | — | | | | 9,648,116 | |
| | |
| 84 | | Annual Report • June 30, 2021 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Core Plus Bond Fund | | | | | | | | | | | | | | | | |
| | | | | | Gross Amounts of
Recognized Assets
Presented in the
Statements of
Assets & Liabilities | | | | | | | | | Gross Amounts
not offset in the
Statements of
Assets & Liabilities | | | | |
| Counterparty | | Investment
Type | | | Gross Amounts
Available for Offset | | | Net
Amounts | | | Financial
Instruments | | | Collateral
Received | | | Net
Amount | |
HSBC | |
| Forward
Foreign
Currency
Exchange
Contracts |
| | | 873,033 | | | | — | | | | 873,033 | | | | — | | | | — | | | | 873,033 | |
J.P. Morgan | |
| Credit
Default
Swap
Contracts |
| | | 407,151 | | | | — | | | | 407,151 | | | | — | | | | — | | | | 407,151 | |
J.P. Morgan | |
| Forward
Foreign
Currency
Exchange
Contracts |
| | | 8,152,583 | | | | (8,152,583 | ) | | | — | | | | — | | | | — | | | | — | |
Morgan Stanley | |
| Credit
Default
Swap
Contracts |
| | | 2,523,103 | | | | — | | |
| 2,523,103
|
| | | — | | | | (930,000 | ) | | | 1,593,103 | |
Morgan Stanley | |
| Forward
Foreign
Currency
Exchange
Contracts |
| | | 1,930,967 | | | | (1,278,228 | ) | | | 652,739 | | | | — | | | | — | | | | 652,739 | |
UBS | |
| Forward
Foreign
Currency
Exchange
Contracts |
| | | 1,620,304 | | | | (1,602,368 | ) | | | 17,936 | | | | — | | | | — | | | | 17,936 | |
Total Financial Instruments Subject to a Master Netting Arrangement or Similar Arrangement | | | | | | | 50,932,452 | | | | (16,840,083 | ) | | | 34,092,369 | | | | — | | | | (16,675,414 | ) | | | 17,416,955 | |
| | |
| Annual Report • June 30, 2021 | | 85 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Core Plus Bond Fund | | | | | | | | | | | | | | | | |
| | | | | | Gross Amounts of
Recognized Liabilities
Presented in the
Statements of
Assets & Liabilities | | | | | | | | | Gross Amounts
not offset in the
Statements of
Assets & Liabilities | | | | |
| Counterparty | | Investment
Type | | | Gross Amounts
Available for Offset | | | Net
Amounts | | | Financial
Instruments | | | Collateral
Pledged(1) | | | Net
Amount | |
Bank Of America | |
| Forward
Foreign
Currency
Exchange
Contracts |
| | $ | 2,412,195 | | | $ | (2,412,195 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
BNP Paribas | |
| Forward
Foreign
Currency
Exchange
Contracts |
| | | 1,001,497 | | | | (1,001,497 | ) | | | — | | | | — | | | | — | | | | — | |
Canadian Imperial Bank of Commerce | |
| Forward
Foreign
Currency
Exchange
Contracts |
| | | 273,102 | | | | (72,422 | ) | | | 200,680 | | | | — | | | | — | | | | 200,680 | |
Citibank | |
| Forward
Foreign
Currency
Exchange
Contracts |
| | | 1,870,535 | | | | (600,585 | ) | | | 1,269,950 | | | | — | | | | — | | | | 1,269,950 | |
Goldman Sachs | |
| Credit
Default
Swap
Contracts |
| | | 49,129 | | | | (49,129 | ) | | | — | | | | — | | | | — | | | | — | |
Goldman Sachs | |
| Forward
Foreign
Currency
Exchange
Contracts |
| | | 1,671,076 | | | | (1,671,076 | ) | | | — | | | | — | | | | — | | | | — | |
J.P. Morgan | |
| Forward
Foreign
Currency
Exchange
Contracts |
| | | 12,500,677 | | | | (8,152,583 | ) | | | 4,348,094 | | | | — | | | | — | | | | 4,348,094 | |
Morgan Stanley | |
| Forward
Foreign
Currency
Exchange
Contracts |
| | | 1,278,228 | | | | (1,278,228 | ) | | | — | | | | — | | | | — | | | | — | |
State Street | |
| Forward
Foreign
Currency
Exchange
Contracts |
| | | 481,589 | | | | — | | | | 481,589 | | | | — | | | | — | | | | 481,589 | |
UBS | |
| Forward
Foreign
Currency
Exchange
Contracts |
| | | 1,602,368 | | | | (1,602,368 | ) | | | — | | | | — | | | | — | | | | — | |
Total Financial Instruments Subject to a Master Netting Arrangement or Similar Arrangement | | | | | | | 23,140,396 | | | | (16,840,083 | ) | | | 6,300,313 | | | | — | | | | — | | | | 6,300,313 | |
| (1) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. |
| | |
| 86 | | Annual Report • June 30, 2021 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
The Funds’ average monthly notional amount of derivatives during the year ended June 30, 2021 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 | |
Futures Contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average Notional Balance – Long | | $ | 856,268,662 | | | $ | 3,027,468,947 | | | $ | — | | | $ | 3,323,371 | | | $ | 1,689,664 | | | $ | 1,387,280 | | | $ | 1,353,713 | | | $ | 1,732,270 | |
Average Notional Balance – Short | | | (115,707,138 | ) | | | (763,298,441 | ) | | | (54,307,792 | ) | | | — | | | | — | | | | — | | | | — | | | | — | |
Forward Foreign Currency Exchange Contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average Amounts – Purchased | | | — | | | | 1,650,105,003 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Average Amounts – Sold | | | — | | | | (756,916,957 | ) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Credit Default Swaps | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average Amounts – Buy Protection | | | — | | | | 363,462 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Average Amounts – Sell Protection | | | — | | | | (979,612,758 | ) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Interest Rate Swaps | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average Amounts – Pays Fixed Rate | | | — | | | | 275,399,872 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Average Amounts – Receives Fixed Rate | | | (2,095,769 | ) | | | (757,157,265 | ) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| * | 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, and monitors the ongoing performance, of the 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. For its advisory services, the investment advisory fee shall be accrued daily by the Fund and paid to the Adviser on the first business day of the succeeding month. 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
| | |
| Annual Report • June 30, 2021 | | 87 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
fees the Fund is required to pay its Sub-advisers. The annual advisory fee and amounts of advisory fees waived by the Adviser during the period ended June 30, 2021 are noted in the table below:
| | | | | | | | |
Fund | | Annual
Management Fee | | | Management Fees
Waived by Adviser | |
Core Bond Fund | | | 0.32 | % | | $ | (33,299,820 | ) |
Core Plus Bond Fund | | | 0.36 | | | | (60,420,086 | ) |
Municipal Bond Fund | | | 0.36 | | | | (18,506,360 | ) |
Large Cap Growth Fund | | | 0.44 | | | | (39,637,305 | ) |
Large Cap Value Fund | | | 0.44 | | | | (32,546,761 | ) |
Small/Mid Cap Growth Fund | | | 0.64 | | | | (15,395,075 | ) |
Small/Mid Cap Value Fund | | | 0.64 | | | | (15,862,794 | ) |
International Equity Fund | | | 0.60 | | | | (40,802,180 | ) |
None of the advisory fees waived by the Adviser pursuant to the agreement described above are subject to recoupment by the Adviser.
The Adviser has selected and the Board has approved the following Sub-advisers to sub-advise discrete portions of each of the Fund’s assets:
| | |
| Fund | | Sub-advisers |
| Core Bond Fund | | Robert W. Baird & Co., Inc. J.P. Morgan Investment Management, Inc. Loomis, Sayles & Company, L.P. PGIM, Inc. |
| Core Plus Bond Fund | | Pacific Investment Management Company LLC Loomis, Sayles & Company, L.P. Metropolitan West Asset Management, LLC T. Rowe Price Associates, Inc. |
| Municipal Bond Fund | | FIAM, LLC T. Rowe Price Associates, Inc. BlackRock Investment Management, LLC MacKay Shields 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
T. Rowe Price Associates, Inc. LSV Asset Management |
| Small/Mid Cap Growth Fund | | Champlain Investment Partners, LLC Eagle Asset Management, Inc. Stephens Investment Management Group, LLC BlackRock Investment Management, LLC Artisan Partners Limited Partnership |
| Small/Mid Cap Value Fund | | Boston Partners Global Investors, Inc. Vaughan Nelson Investment Management, L.P. Silvercrest Asset Management Group LLC BlackRock Investment Management, LLC LSV Asset Management MFS Investment Management Diamond Hill Capital Management, Inc. American Century Investment Management, Inc. |
| International Equity Fund | | Baillie Gifford Overseas Limited Mondrian Investment Partners Limited WCM Investment Management BlackRock Investment Management, LLC
Pzena Investment Management, LLC Marathon Asset Management LLP |
| | |
| 88 | | Annual Report • June 30, 2021 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
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, 2022 (the “Expense Limitation Agreement”), the Adviser has contractually agreed to waive its fees and/or reimburse Fund expenses (excluding acquired fund fees and expenses, portfolio transaction expenses, interest expense in connection with investment activities, taxes and non-routine expenses) to limit total annual fund operating expenses after fee waivers and/or expense reimbursements to each of the amounts listed below (each an “Expense Cap”).
| | |
| Fund | | Expense Cap |
| Core Bond Fund | | 0.48% |
| Core Plus Bond Fund | | 0.42 |
| Municipal Bond Fund | | 0.48 |
| Large Cap Growth Fund | | 0.51 |
| Large Cap Value Fund | | 0.51 |
| Small/Mid Cap Growth Fund | | 0.73 |
| Small/Mid Cap Value Fund | | 0.73 |
| International Equity Fund | | 0.67 |
Any fees waived or Fund expenses paid by the Adviser in connection with the Expense Limitation Agreement are subject to reimbursement by a Fund to the Adviser in the rolling thirty-six (36) month period following such fee waiver and/or expense payment, if (i) requested by the Adviser, and (ii) the aggregate amount actually paid by the Fund toward its aggregate operating expenses (taking into account the reimbursement) does not exceed the applicable Expense Cap (a) at the time of the fee waiver and/or expense payment and (b) at the time of the reimbursement. During the year ended June 30, 2021, the Funds did not exceed their respective Expense Caps, and there are no expense reimbursements currently available for recoupment in future periods.
Administrator – Brown Brothers Harriman & Co. (“BBH”) acts as Administrator to the Trust pursuant to an Administrative Agency Agreement. As Administrator, BBH provides certain services to the Trust, including, among other responsibilities, administrative, tax, legal, accounting services, portfolio compliance monitoring, and financial reporting for the maintenance and operations of the Funds. In addition, BBH makes available the personnel and facilities to provide such services. In its capacity as Administrator, BBH does not have any responsibility or authority for the portfolio management of the Funds, the determination of investment policy, or for any matter pertaining to the distribution of Fund shares. Pursuant to the Administrative Agency Agreement, the Trust has agreed to pay such compensation as is mutually agreed upon from time to time and such out-of-pocket expenses as incurred by BBH 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 – BBH also acts as Custodian to the Trust. In this capacity, BBH holds all cash and, directly or through a book entry system or an agent, securities of each Fund, delivers and receives payment for securities sold by such Fund, collects income from investments of each Fund and performs other duties as set forth in the Custodian Agreement between the Trust, on behalf of the Funds, and BBH. 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.
| | |
| Annual Report • June 30, 2021 | | 89 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
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 year ended June 30, 2021, the aggregate value of purchases and sales cross trades with other Funds or accounts were as follows:
| | | | | | | | | | | | |
| | | Purchases | | | Sales | | | Realized
Gain/(Loss) | |
Core Bond Fund | | $ | — | | | $ | — | | | $ | — | |
Core Plus Bond Fund | | | — | | | | — | | | | — | |
Municipal Bond Fund | | | 5,960 | | | | 10,000,000 | | | | 30,300 | |
Large Cap Growth Fund | | | 145,637,860 | | | | 200,133,160 | | | | 52,734,486 | |
Large Cap Value Fund | | | 75,977,270 | | | | 79,960,067 | | | | 24,682,154 | |
Small/Mid Cap Growth Fund | | | 131,472,455 | | | | 153,626,478 | | | | 40,839,113 | |
Small/Mid Cap Value Fund | | | 87,588,696 | | | | 110,081,237 | | | | 54,068,107 | |
International Equity Fund | | | 40,082,339 | | | | 60,686,115 | | | | 4,980,951 | |
7. 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, in the aggregate, up to 15% of its current net assets at the time of the loan but no more than 5% of its lending Fund’s net assets may be loaned to a single fund. A loan under the agreement will not exceed duration of seven days and interest is charged on borrowings at a rate determined based on current short-term market interest rates and short-term lending rates available to the Funds. As of June 30, 2021, the Funds have yet to lend under this agreement.
8. INVESTMENT TRANSACTIONS
For the year ended June 30, 2021, 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 | | $ | 20,966,658,341 | | | $ | 75,730,989,218 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Other | | | 6,615,157,946 | | | | 12,212,600,378 | | | | 4,474,050,841 | | | | 4,665,568,128 | | | | 3,709,133,443 | | | | 1,915,247,415 | | | | 2,052,778,995 | | | | 6,741,463,013 | |
Sales: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
U.S. Government | | | 18,862,090,031 | | | | 68,278,013,078 | | | | 8,852 | | | | — | | | | — | | | | — | | | | — | | | | — | |
Other | | | 4,879,424,008 | | | | 7,053,124,333 | | | | 1,428,517,962 | | | | 5,695,040,821 | | | | 4,241,616,828 | | | | 2,740,860,064 | | | | 2,891,523,901 | | | | 6,566,521,072 | |
9. 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 differences and permanent reclassifications have no effect on net assets. For the fiscal year ended June 30, 2021, the Funds made permanent book-to-tax reclassifications primarily related to the treatment of foreign currency, partnership taxable income, passive foreign investment company sales adjustments, paydowns, dividend re-designations, utilization of earnings and profits distributed to shareholders on redemption of shares and differences between book and tax accretion methods for market premium.
| | |
| 90 | | Annual Report • June 30, 2021 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
For the fiscal year ended June 30, 2021, the Funds made the following reclassifications between total distributable earnings and paid-in capital:
| | | | | | | | |
| | | Total Distributable
Earnings/(Loss) | | | Paid-in
Capital | |
Core Bond Fund | | $ | — | | | $ | — | |
Core Plus Bond Fund | | | 2 | | | | (2 | ) |
Municipal Bond Fund | | | — | | | | — | |
Large Cap Growth Fund | | | (65,000,000 | ) | | | 65,000,000 | |
Large Cap Value Fund | | | (52,000,000 | ) | | | 52,000,000 | |
Small/Mid Cap Growth Fund | | | (88,000,000 | ) | | | 88,000,000 | |
Small/Mid Cap Value Fund | | | (53,000,000 | ) | | | 53,000,000 | |
International Equity Fund | | | (74,000,000 | ) | | | 74,000,000 | |
At June 30, 2021, 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 | | $ | 18,037,596,733 | | | $ | 35,479,966,796 | | | $ | 9,618,956,127 | | | $ | 10,712,342,012 | | | $ | 11,697,391,015 | | | $ | 3,818,610,395 | | | $ | 4,897,524,402 | | | $ | 12,190,430,648 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Gross Unrealized App | | $ | 706,368,914 | | | $ | 1,044,047,229 | | | $ | 426,240,544 | | | $ | 6,941,749,156 | | | $ | 5,867,715,657 | | | $ | 2,212,352,953 | | | $ | 2,281,353,967 | | | $ | 3,648,553,781 | |
Gross Unrealized Dep | | | (117,207,225 | ) | | | (409,899,428 | ) | | | (11,488,700 | ) | | | (68,704,431 | ) | | | (206,221,629 | ) | | | (56,070,300 | ) | | | (184,763,777 | ) | | | (644,945,176 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Unrealized App/(Dep) | | $ | 589,161,689 | | | $ | 634,147,801 | | | $ | 414,751,844 | | | $ | 6,873,044,725 | | | $ | 5,661,494,028 | | | $ | 2,156,282,653 | | | $ | 2,096,590,190 | | | $ | 3,003,608,605 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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, the amortization of premiums and defaulted bond accrual.
As of June 31, 2021, the components of total distributable 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 Losses (1) | | $ | (3,091,293 | ) | | $ | (36,533,364 | ) | | $ | (22,898,835 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Other (2) | | | (4,775,675 | ) | | | (31,513,488 | ) | | | (18,354 | ) | | | (3,000 | ) | | | (1,894 | ) | | | (185 | ) | | | — | | | | (13,962 | ) |
Undistributed Ordinary Income | | | — | | | | — | | | | — | | | | 615,394,185 | | | | 219,976,023 | | | | 178,479,903 | | | | 249,246,410 | | | | 554,937,512 | |
Undistributed Tax Exempt Income | | | — | | | | — | | | | 1,503,228 | | | | — | | | | — | | | | — | | | | — | | | | — | |
Undistributed Long Term Capital Gain | | | 2,528,566 | | | | 2,575,896 | | | | — | | | | 302,329,188 | | | | 398,345,543 | | | | 270,522,583 | | | | 226,924,843 | | | | 458,690,323 | |
Unrealized Appreciation/ (Depreciation) | | | 589,161,689 | | | | 635,100,976 | | | | 414,751,844 | | | | 6,873,011,938 | | | | 5,661,479,928 | | | | 2,156,282,653 | | | | 2,096,590,083 | | | | 2,995,514,926 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributable Earnings/(Loss) | | $ | 583,823,287 | | | $ | 569,630,020 | | | $ | 393,337,883 | | | $ | 7,790,732,311 | | | $ | 6,279,799,600 | | | $ | 2,605,284,954 | | | $ | 2,572,761,336 | | | $ | 4,009,128,799 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (1) | Includes capital loss carryforwards and late year loss deferrals. |
| (2) | Includes straddle loss deferrals and organizational costs |
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.
| | |
| Annual Report • June 30, 2021 | | 91 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
At June 30, 2021, 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.
As of June 30, 2021, the Funds had the following net capital loss carryforwards remaining:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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 | |
Short-Term | | $ | — | | | $ | — | | | $ | 18,099,241 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Long-Term | | | — | | | | — | | | | 4,799,594 | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | — | | | $ | — | | | $ | 22,898,835 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
At June 30, 2021, the Core Bond Fund and Core Plus Bond Fund deferred, on a tax basis, post-October capital losses of $3,091,293 and $36,533,364, respectively.
The tax character of distributions paid by the Funds during the fiscal periods ended June 30, 2021 and June 30, 2020 were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Core Bond
Fund | | | Core Plus
Bond Fund | | | Municipal
Bond Fund | | | Large Cap
Growth Fund | |
| | | 2021 | | | 2020 | | | 2021 | | | 2020 | | | 2021 | | | 2020 | | | 2021 | | | 2020 | |
Distributions paid from: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ordinary Income (1) | | $ | 503,702,624 | | | $ | 488,061,643 | | | $ | 897,442,706 | | | $ | 873,942,340 | | | $ | 751,189 | | | $ | 1,934,488 | | | $ | 355,404,561 | | | $ | 69,786,448 | |
Tax Exempt Income | | | — | | | | — | | | | — | | | | — | | | | 167,297,008 | | | | 145,524,051 | | | | — | | | | — | |
Long-term Capital Gains | | | 219,931,831 | | | | 8,807,697 | | | | 206,680,721 | | | | 42,109,769 | | | | — | | | | — | | | | 196,527,311 | | | | 89,644,295 | |
Return of Capital | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions Paid | | $ | 723,634,455 | | | $ | 496,869,340 | | | $ | 1,104,123,427 | | | $ | 916,052,109 | | | $ | 168,048,197 | | | $ | 147,458,539 | | | $ | 551,931,872 | | | $ | 159,430,743 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Large Cap
Value Fund | | | Small/Mid Cap
Growth Fund | | | Small/Mid Cap
Value Fund | | | International
Equity Fund | |
| | | 2021 | | | 2020 | | | 2021 | | | 2020 | | | 2021 | | | 2020 | | | 2021 | | | 2020 | |
Distributions paid from: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ordinary Income (1) | | $ | 271,568,333 | | | $ | 194,762,192 | | | $ | 200,473,078 | | | $ | 30,673,688 | | | $ | 73,291,870 | | | $ | 69,918,972 | | | $ | 250,025,369 | | | $ | 282,965,029 | |
Tax Exempt Income | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Long-term Capital Gains | | | — | | | | — | | | | 424,964,376 | | | | 137,156,239 | | | | — | | | | — | | | | — | | | | — | |
Return of Capital | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions Paid | | $ | 271,568,333 | | | $ | 194,762,192 | | | $ | 625,437,454 | | | $ | 167,829,927 | | | $ | 73,291,870 | | | $ | 69,918,972 | | | $ | 250,025,369 | | | $ | 282,965,029 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (1) | Ordinary Income includes net short-term capital gains, if any. |
10. 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. A low interest rate environment may present greater interest rate risk, because there may be a greater likelihood of rates increasing and rates may increase more rapidly. 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
| | |
| 92 | | Annual Report • June 30, 2021 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
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. Interest rate changes can be sudden and unpredictable, and a wide variety of factors can cause interest rates to rise or fall. Recent and potential future changes in monetary policy made by central banks and/or their governments are likely to affect the level of interest rates.
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.
| | |
| Annual Report • June 30, 2021 | | 93 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
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. The interconnection of international markets means that events in one country or region may affect the markets in other countries and regions, increasing the likelihood that regulatory events, inflation, interest rates, government defaults, government shutdowns, wars, regional conflicts, social unrest, natural disasters, acts of terrorism, infectious illness or other public health issues and recessions could affect the securities 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).
As it pertains to infectious illness, the coronavirus (COVID-19) pandemic and the ongoing responses of the U.S. government and various state, local and foreign governments have adversely affected global business activities and have resulted in significant uncertainty in the global economy and volatility in financial markets. Given the significant global health, market, employment and economic impacts of COVID-19 and the uncertainty of its duration, the Funds cannot reliably predict the ultimate impact of COVID-19 on financial markets or its financial results.
g) Equity Risk – Since certain Funds purchase equity securities, those Funds are subject to equity risk. This is the risk that stock prices will fall over short or extended periods of time. Although the stock market has historically outperformed other asset classes over the long term, the stock market tends to move in cycles. Individual stock prices may fluctuate drastically from day-to-day and may underperform other asset classes over an extended period of time. Individual companies may report poor results or be negatively affected by industry and/or economic trends and developments. The prices of securities issued by such companies may suffer a decline in response. These price movements may result from factors affecting individual companies, industries or the securities market as a whole.
h) Multi-Manager and Multi-Style Management Risk – Fund performance is dependent upon the success of the Adviser and the Sub-advisers in implementing a Fund’s investment strategies in pursuit of its objective. To a significant extent, a Fund’s performance will depend on the success of the Adviser’s methodology in allocating the Fund’s assets to Sub-advisers and its selection and oversight of the Sub-advisers and on a Sub-adviser’s skill in 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 and including securities of issuers in emerging market countries, 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
| | |
| 94 | | Annual Report • June 30, 2021 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
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 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.
n) LIBOR Replacement Risk – The U.K. Financial Conduct Authority has announced that it intends to stop compelling or inducing banks to submit London Inter-Bank Offered Rate (“LIBOR”) rates after 2021. The elimination of LIBOR may adversely affect the interest rates on, and value of, certain investments for which the value is tied to LIBOR. On March 5, 2021, the ICE Benchmark Administration (“IBA”) clarified that the publication of LIBOR on representative basis will cease for the one-week and two-month U.S. dollar LIBOR settings immediately after December 31, 2021, and for the remaining U.S. dollar LIBOR settings immediately after June 30, 2023. Alternatives to LIBOR are established or in development in most major currencies, including the Secured Overnight Financing Rate, which is intended to replace U.S. dollar LIBOR. Markets are slowly developing in response to these new rates. Questions around liquidity impacted by these rates, and how to appropriately adjust these rates at the time of transition, remain a concern for the Funds. Accordingly, it is difficult to predict the full impact of the transition away from LIBOR on the Funds until new reference rates and fallbacks for both legacy and new products, instruments and contracts are commercially accepted.
| | |
| Annual Report • June 30, 2021 | | 95 |
Bridge Builder Mutual Funds
Notes to Financial Statements (Continued)
11. RECENT ACCOUNTING PRONOUNCEMENTS
In March 2020, FASB issued Accounting Standards Update (“ASU”) 2020-04, Reference Rate Reform: Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The main objective of the new guidance is to provide relief to companies that will be impacted by the expected change in benchmark interest rates at the end of 2021, when participating banks will no longer be required to submit LIBOR quotes by the UK Financial Conduct Authority (FCA). The new guidance allows companies to, provided the only change to existing contracts are a change to an approved benchmark interest rate, account for modifications as a continuance of the existing contract without additional analysis. In addition, derivative contracts that qualified for hedge accounting prior to modification, will be allowed to continue to receive such treatment, even if critical terms change due to a change in the benchmark interest rate. For new and existing contracts, the Funds may elect to apply the amendments as of March 12, 2020 through December 31, 2022. Management is currently assessing the impact of the ASU’s adoption to the Funds’ financial statements and various filings.
| | |
| 96 | | Annual Report • June 30, 2021 |
Bridge Builder Mutual Funds
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Bridge Builder Trust and Shareholders of Bridge Builder Core Bond Fund, Bridge Builder Core Plus Bond Fund, Bridge Builder Municipal Bond Fund, Bridge Builder Large Cap Growth Fund, Bridge Builder Large Cap Value Fund, Bridge Builder Small/Mid Cap Growth Fund, Bridge Builder Small/Mid Cap Value Fund and Bridge Builder International Equity Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the summary schedules of investments, of Bridge Builder Core Bond Fund, Bridge Builder Core Plus Bond Fund, Bridge Builder Municipal Bond Fund, Bridge Builder Large Cap Growth Fund, Bridge Builder Large Cap Value Fund, Bridge Builder Small/Mid Cap Growth Fund, Bridge Builder Small/Mid Cap Value Fund and Bridge Builder International Equity Fund (eight of the funds constituting Bridge Builder Trust, hereafter collectively referred to as the “Funds”) as of June 30, 2021, the related statements of operations for the year ended June 30, 2021, the statements of changes in net assets for each of the two years in the period ended June 30, 2021, including the related notes, and the financial highlights for each of the five years in the period ended June 30, 2021 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of June 30, 2021 the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended June 30, 2021 and each of the financial highlights for each of the five years in the period ended June 30, 2021 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of June 30, 2021 by correspondence with the custodian, brokers and agent banks; when replies were not received from brokers and agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
Chicago, Illinois
August 26, 2021
We have served as the auditor of one or more investment companies in the Bridge Builder Trust since 2013.
| | |
| Annual Report • June 30, 2021 | | 97 |
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) | | Trustee | | Indefinite Term; Since Inception | | Retired; Director of Investment Management Group for Russell Investment Group (1982-2005) | | 11 | | Trustee, Brandes U.S. registered mutual funds (2008-2020), eight funds as of December 31, 2020. |
Michelle M. Keeley (Born: 1964) | | Trustee, Chair of the Governance and Nominating | | Indefinite Term; Since August 2015 | | Retired; Executive Vice President, Ameriprise Financial Services, Inc. (2002-2010) | | 11 | | Independent Director, Federal Home Loan Bank of Des Moines. Independent Director, American Equity Life. |
William N. Scheffel (Born: 1953) | | Trustee, Chair of the Audit Committee | | Indefinite Term; Since Inception | | Retired; Executive Vice President, Chief Financial Officer and Treasurer, Centene Corporation (2003-2016) | | 11 | | None. |
John M. Tesoro (Born: 1952) | | Lead Independent Trustee | | Indefinite Term; Since Inception | | Retired; Partner, KPMG LLP (2002-2012) | | 11 | | Independent Director; Teton Advisors, Inc. (registered investment adviser). Independent Trustee, BBH Trust (nine U.S. mutual funds). |
| | |
| 98 | | Annual Report • June 30, 2021 |
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 E. Fiala (Born: 1967) | | Trustee, Chairman | | Indefinite Term; Chair Since January 2020; Trustee Since Inception | | Principal, Edward Jones and General Partner, The Jones Financial Companies, LLLP (1994-Present) | | 11 | | None. |
Merry L. Mosbacher (Born: 1958) | | Trustee | | Indefinite Term; Since January 2020 | | Subordinated Limited Partner, The Jones Financial Companies, LLLP (since 2020); Principal, Edward Jones, and General Partner, The Jones Financial Companies, LLLP (1986-2019); Associate, Edward Jones (1982-1985) | | 11 | | None. |
Officers of the Trust
| | | | | | |
| Name | | Role | | Term | | Principal Occupation |
Julius A. Drelick III (Born: 1966) | | President | | Indefinite Term; Since May 2017 | | Director of Fund Administration and Strategic Products, Edward Jones (since 2016); Previously, Vice President of the Trust (2017-2019); 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 2016 | | Director, Finance, Edward Jones (since 2015); Vice President and Treasurer, AQR Funds (2010-2015) |
Paul Felsch (Born: 1982) | | Chief Compliance Officer and Vice President | | Indefinite Term; Since January 2020 | | Senior Compliance Counsel, Edward Jones (since December 2016); Associate Compliance Counsel, Edward Jones (December 2013-November 2016) |
Scott K. Richardson* (Born: 1966) | | Secretary | | Indefinite Term; Since December 2020 | | Associate General Counsel, Edward Jones (since July 2020); Senior Vice President and Chief Legal and Regulatory Officer/General Counsel at Foresters Financial Holding Company, Inc. (September 2018-June 2020); Executive Director at Morgan Stanley Wealth Management (2005-2018) |
Evan S. Posner** (Born: 1979) | | Assistant Secretary | | Indefinite Term; Since February 2019 | | Associate General Counsel at Edward Jones (since October 2018); Previously, Vice President, Counsel at Voya Investment Management (March 2012-September 2018) |
| (1) | The Trustees of the Trust who are not “interested persons” of the Trust as defined under the 1940 Act (“Independent Trustees”). |
| (2) | Mr. Fiala and Ms. Mosbacher 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. |
| | |
| Annual Report • June 30, 2021 | | 99 |
Bridge Builder Mutual Funds
Trustees and Officers (Unaudited) (Continued)
| (3) | The “Fund Complex” is comprised of each Fund offered by the Trust, three of which are 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 July 21, 2021, Scott K. Richardson resigned as Secretary of the Trust. Effective July 22, 2021, Evan S. Posner was appointed Secretary of the Trust. |
| ** | Effective July 21, 2021, Evan S. Posner resigned as Assistant Secretary of the Trust. Effective July 22, 2021, James E. Goundrey was appointed Assistant Secretary of the Trust. |
The business address of the Trustees and Officers is the address of the Trust: 12555 Manchester Road, St. Louis, MO 63131.
The Statement of Additional Information includes additional information about the Trustees and is available upon request, without charge, by calling 1-855-823-3611.
| | |
| 100 | | Annual Report • June 30, 2021 |
Bridge Builder Mutual Funds
Board Considerations of the Investment Advisory Agreement and Investment Sub-advisory Agreements (Unaudited)
Pursuant to Section 15 of the Investment Company Act of 1940 (the “1940 Act”), the Board of Trustees (the “Board” or the “Trustees”) of the Bridge Builder Trust (the “Trust”), including a majority of the Trustees who are not parties to the agreements or “interested persons” of any party, as defined in the 1940 Act (the “Independent Trustees”), must determine annually whether to approve the continuation of the Trust’s investment advisory and sub-advisory agreements.
At a meeting held on May 25-26, 2021 via videoconference (the “May Renewal Meeting”) in reliance on and in compliance with the conditions of an SEC order granting relief from the in-person meeting requirement, the Trustees, including the Independent Trustees, considered and approved the continuance of an investment advisory agreement (the “Advisory Agreement”) with Olive Street Investment Advisers, LLC (“Olive Street” or the “Adviser”) for the Bridge Builder Core Bond Fund (the “Core Bond Fund”), the Bridge Builder Core Plus Bond Fund (the “Core Plus Bond Fund”), the Bridge Builder Municipal Bond Fund (the “Municipal Bond Fund”), the Bridge Builder Large Cap Growth Fund (the “Large Cap Growth Fund”), the Bridge Builder Large Cap Value Fund (the “Large Cap Value Fund”), the Bridge Builder Small/Mid Cap Growth Fund (the “Small/Mid Cap Growth Fund”), the Bridge Builder Small/Mid Cap Value Fund (the “Small/Mid Cap Value Fund”), and the Bridge Builder International Equity Fund (the “International Equity Fund”) (collectively, the “Funds”). The Trustees, including the Independent Trustees, also considered and approved the continuance of an investment sub-advisory agreement (each, a “Sub-advisory Agreement” and collectively, the “Sub-advisory Agreements”) with each of the following Fund subadvisers whose Sub-advisory Agreements were subject to renewal at the May Renewal Meeting (listed next to the Fund(s) for which it serves as subadviser (each a “Subadviser” and collectively, the “Subadvisers”):
| | |
| Bridge Builder Fund | | Subadviser |
| Core Bond Fund | | Robert W. Baird & Co. Inc. (“Baird”) J.P. Morgan Investment Management, Inc. (“J.P. Morgan”) Loomis, Sayles & Company, L.P. (“Loomis”) PGIM, Inc. (“PGIM”) |
| Core Plus Bond Fund | | Pacific Investment Management Company LLC (“PIMCO”) Loomis Metropolitan West Asset Management, LLC (“MetWest”) T. Rowe Price Associates, Inc. (“T. Rowe Price”) |
| Municipal Bond Fund | | Fidelity Institutional Asset Management LLC (“FIAM”) T. Rowe Price MacKay Shields LLC* (“MacKay Shields”) BlackRock Investment Management, LLC (“BlackRock”) |
| Large Cap Growth Fund | | Lazard Asset Management, LLC (“Lazard”) Sustainable Growth Advisers, LP (“SGA”) Jennison Associates LLC (“Jennison”) BlackRock |
| Large Cap Value Fund | | Artisan Partners Limited Partnership (“Artisan Partners”) Barrow, Hanley, Mewhinney & Strauss, LLC* (“Barrow Hanley”) Wellington Management Company, LLP (“Wellington”) BlackRock T. Rowe Price LSV Asset Management (“LSV”) |
| Small/Mid Cap Growth Fund | | Eagle Asset Management, Inc. (“Eagle”) Champlain Investment Partners, LLC (“Champlain”) Artisan Partners BlackRock Stephens Investment Management Group, LLC (“Stephens”) |
| Small/Mid Cap Value Fund | | Vaughan Nelson Investment Management, LP (“Vaughn Nelson”) Boston Partners Global Investors, Inc. (“Boston Partners”) Silvercrest Asset Management Group LLC (“Silvercrest”) BlackRock Diamond Hill Capital Management, Inc. (“Diamond Hill”) MFS Investment Management (“MFS”) LSV |
| International Equity Fund | | Baillie Gifford Overseas Limited (“Baillie Gifford”) BlackRock Edinburgh Partners Limited (“Edinburgh”) Pzena Investment Management, LLC (“Pzena”) Mondrian Investment Partners Limited (“Mondrian”) WCM Investment Management (“WCM”) |
| * | Denotes a Sub-advisory Agreement that was not subject to renewal at the May Renewal Meeting. |
| | |
| Annual Report • June 30, 2021 | | 101 |
Bridge Builder Mutual Funds
Board Considerations of the Investment Advisory Agreement and Investment Sub-advisory Agreements (Unaudited) (Continued)
In connection with the annual review process and in advance of the May Renewal Meeting, the Adviser and the Subadvisers provided information to the Board in response to requests for information by the Independent Trustees to facilitate the Board’s evaluation of the Advisory Agreement and Sub-advisory Agreements (collectively, the “Agreements”). The information furnished by the Adviser and the Subadvisers included materials describing, among other matters: (i) the nature, extent, and quality of the services provided by the Adviser and the Subadvisers; (ii) each Fund’s historical investment performance and the historical investment performance of each Subadviser; (iii) the Adviser’s and the Subadvisers’ personnel, including portfolio managers; (iv) the investment practices and techniques used by the Adviser and the Subadvisers in managing the Funds; (v) the advisory fees payable by the Funds to the Adviser and the Funds’ overall fees and operating expenses, compared with those of a category and a peer group of mutual funds; (vi) the sub-advisory fees payable to each Subadviser; (vii) the Adviser’s and the Subadvisers’ compliance policies and procedures; (viii) the Adviser’s and the Subadvisers’ financial health; and (ix) other “fall-out” benefits the Adviser and/or its affiliates and the Subadvisers may receive based on their relationships with the Funds. At a meeting held via videoconference on May 11, 2021 and at the May Renewal Meeting (collectively, the “May Meetings”), representatives of the Adviser made presentations and responded to questions regarding services, fees, and other aspects of the Agreements.
In addition to the May Meetings, the Board met periodically over the course of the year since the most recent annual renewal of the Agreements. At these meetings, representatives of the Adviser and the Subadvisers furnished reports and other information to the Board regarding the performance of the Funds, the services provided to the Funds by the Adviser and the Subadvisers, and compliance and operations matters related to the Trust, the Funds, the Adviser, and the Subadvisers.
At the May Meetings, the Trustees received advice from Fund counsel, and the Independent Trustees received additional advice from their independent legal counsel, including advice regarding the legal standards applicable to the consideration of the approval of advisory arrangements. The Independent Trustees met in executive session, outside the presence of the interested Trustees, Trust officers, and representatives of the Adviser and the Subadvisers, to discuss the Agreements and the services provided by the Adviser and the Subadvisers.
In considering and approving the Agreements, the Trustees considered information that they deemed relevant, including, but not limited to, the information discussed in further detail below. The Board considered not only the specific information presented in connection with the May Meetings, but also the knowledge gained over time through previous interactions with the Adviser and the Subadvisers. The Board did not identify any particular information or consideration that was all-important or controlling, and each individual Trustee may have attributed different weights to various factors and information.
1. The nature, extent and quality of the services provided by the Adviser and the Subadvisers. The Trustees considered the nature, extent and quality of the services provided to the Funds by the Adviser and each Subadviser, including their respective responsibilities for management of the Funds. In this regard, the Board considered the Adviser’s oversight role and responsibilities with regard to the Subadvisers, and the Subadvisers’ roles in the day-to-day management of each Fund’s portfolio. The Board considered the Adviser’s assumption of business, entrepreneurial and overall managerial risks by advising the Funds. The Board also evaluated the Adviser’s oversight of the Subadvisers, which includes continuous analysis of, and regular discussions with each Subadviser about, the investment strategies and performance of the portion of a Fund’s assets allocated to a particular Subadviser, and periodic on-site or virtual and other meetings with the Subadvisers. The Board also considered the enhanced oversight of the Subadvisers that the Adviser is performing in connection with the novel coronavirus disease (“COVID-19”) pandemic. The Board further considered the Adviser’s processes relating to Subadviser selection, monitoring, termination and allocation adjustments and the impact of the Adviser’s services on each Fund’s investment performance. The Board also took into account the Adviser’s oversight of the Funds’ other service providers, including the enhanced oversight the Adviser is performing in response to the COVID-19 pandemic.
| | |
| 102 | | Annual Report • June 30, 2021 |
Bridge Builder Mutual Funds
Board Considerations of the Investment Advisory Agreement and Investment Sub-advisory Agreements (Unaudited) (Continued)
The Board considered the Adviser’s and each Subadviser’s operations, including resources devoted to supporting such operations, including how the Adviser and each Subadviser continue to service the Funds during the COVID-19 pandemic with no material disruptions. The Board noted key personnel additions and departures from the Adviser and certain Subadvisers. The Board considered the Adviser’s and each Subadviser’s ability to attract and retain qualified investment professionals and the experience and skills of management and investment personnel of the Adviser and the Subadvisers. The Board also noted the compliance programs and compliance experience of the Adviser and the Subadvisers. In addition, the Board considered the administrative and other services that are provided to the Funds by the Adviser, including analytical tools the Adviser employs to help mitigate the Funds’ risks.
Based on the above factors, as well as those discussed below, the Board concluded, within the context of its full deliberations, that the Adviser and the Subadvisers are capable of continuing to provide services of the nature, extent and quality contemplated by the terms of the Agreements.
2. Fees and Other Expenses. The Board received and reviewed reports prepared by Broadridge Financial Solutions (“Broadridge”), an independent provider of mutual fund industry data, comparing each Fund’s advisory fees and gross and net expense ratios (net of fee and expense waivers and reimbursements) to those paid by an independently-selected category and peer group of mutual funds. The Board noted that each of the Funds’ gross and net expenses were below their respective peer group medians. The Board also noted that, except for Core Plus Bond Fund, each Fund’s advisory fee was equal to or below its respective peer group median. The Board noted that the advisory fee before waivers for the Core Plus Bond Fund was higher than the peer group median, but the net expenses were lower than its peer group median. The Board observed that the Adviser had no similarly managed accounts for purposes of comparison. The Board reviewed the information provided by certain of the Subadvisers regarding fees charged to other similarly managed accounts, if any. To the extent provided, the Board reviewed information about structural, operational and other differences, including the amount of assets being managed and the range of services provided, between such similarly managed accounts and the portion of the Fund’s assets allocated to the particular Subadviser.
The Board noted that the Adviser has contractually agreed to waive its advisory fees to the extent advisory fees payable to the Adviser exceed the sub-advisory fees paid to a Subadviser for management of its allocated portion of a Fund or Funds. The Board noted that the Adviser may terminate this waiver arrangement without Board approval effective upon the end of the then current one-year period, by providing the Board written notice of such termination by April 15. The Board further noted that the Adviser has irrevocably agreed not to exercise its right to terminate the waiver arrangement upon the end of the current one-year period, resulting in the arrangement continuing until at least October 28, 2022.
Based on the above factors, as well as those discussed below, the Board concluded, within the context of its full deliberations, that the advisory and sub-advisory fees payable under the Agreements are reasonable in light of the nature, extent and quality of the services rendered by the Adviser and the Subadvisers.
3. The Funds’ Investment Performance Record. The Board reviewed the investment performance of each Fund on an absolute basis and in comparison to appropriate benchmarks and each Fund’s respective Morningstar category and peer group as independently selected by Broadridge. Each performance time period for the performance of the Funds referenced below ended as of February 28, 2021. The performance time period for the performance of the Subadvisers of the Funds referenced below ended as of March 31, 2021.
The Board observed that the Core Bond Fund underperformed its peer group median for the one-year period, outperformed the peer group median for the three-year period and equaled the performance of the peer group for the five-year period. The Board noted that the Core Bond Fund outperformed its benchmark index for the one- and three-year periods and underperformed the benchmark index for the five-year period. The Board also reviewed the investment performance of each Subadviser of the Core Bond Fund. In so doing, the Board observed that Baird, J.P. Morgan, Loomis, and PGIM each outperformed the benchmark index for the one-, three- and five-year periods.
| | |
| Annual Report • June 30, 2021 | | 103 |
Bridge Builder Mutual Funds
Board Considerations of the Investment Advisory Agreement and Investment Sub-advisory Agreements (Unaudited) (Continued)
The Board observed that the Core Plus Bond Fund outperformed its peer group median for the one- and three-year periods and underperformed its peer group median within 10 basis points for the five-year period. The Board observed that the Core Plus Bond Fund outperformed the benchmark index for the one-, three- and five-year periods. The Board also reviewed the investment performance of each Subadviser of the Core Plus Bond Fund. In doing so, the Board observed that: (i) Loomis, T. Rowe Price and MetWest each outperformed the benchmark index for the one-, three- and five-year periods; and (ii) PIMCO outperformed the benchmark index for the one- and three-year periods, but that PIMCO’s performance information for the five-year period was unavailable as PIMCO had not been managing its sleeve of the Fund for five years.
The Board reviewed the performance of the Municipal Bond Fund. The Board observed that the Municipal Bond Fund outperformed its peer group median for the one- and five-year periods and underperformed the peer group median within 3 basis points for the three-year period. The noted that the Municipal Bond Fund underperformed the benchmark index for the one-year period and outperformed the benchmark index for the three- and five-year periods. In reviewing the investment performance of each Subadviser of the Municipal Bond Fund, the Board observed that: (i) BlackRock underperformed its benchmark index for the one-year period, and that BlackRock’s performance information for the three- and five-year periods were unavailable as BlackRock had not been managing its sleeve of the Fund for more than one year; (ii) FIAM outperformed the benchmark index for the one- and five-year periods and underperformed the benchmark index for the three-year period by 3 basis points; and (iii) T. Rowe Price outperformed the benchmark index for the one-, three- and five-year periods.
In reviewing the investment performance of the Large Cap Growth Fund, the Board observed that the Fund outperformed the peer group median for the one- and three-year periods and underperformed its peer group median for the five-year periods. The Board noted that the Large Cap Growth Fund underperformed its benchmark index for the one-, three- and five-year periods. In reviewing the investment performance of each Subadviser of the Large Cap Growth Fund, the Board noted that: (i) Jennison outperformed the benchmark index for the one-, three- and five-year periods; (ii) SGA outperformed the benchmark index for the three- and five-year periods and underperformed the benchmark index for the one-year period; (iii) BlackRock outperformed the benchmark index for the one-year period, equaled the performance of the benchmark index for the three-year period and performed within 3 basis points of its benchmark index for the five-year period; and (iv) Lazard underperformed the benchmark index for the one-, three- and five-year periods.
The Board considered the performance of the Large Cap Value Fund. The Board noted that the Large Cap Value Fund outperformed its peer group median and its benchmark index for the one-, three- and five-year periods. In reviewing the investment performance of each Subadviser of the Large Cap Value Fund, the Board noted that: (i) Artisan Partners and Barrow Hanley each outperformed the benchmark index for the one-, three- and five-year periods; (ii) Wellington underperformed its benchmark index for the one-year period and outperformed the benchmark index for the three- and five-year periods; (iii) BlackRock underperformed its benchmark index for the one-year period, equaled the performance of its benchmark index for the three-year period and performed within 5 basis points of its benchmark index for the five-year period. The Board also observed that neither LSV nor T. Rowe Price had been managing its sleeve of the Fund for an entire one-year period.
In reviewing the investment performance of the Small/Mid Cap Growth Fund, the Board observed that the Fund underperformed its peer group median and its benchmark index for the one- and five-year periods and underperformed its benchmark index, but outperformed its peer group median, for the three-year period. In reviewing the investment performance of each Subadviser of the Small/Mid Cap Growth Fund, the Board observed that: (i) Stephens underperformed the benchmark for the one-year period and outperformed the benchmark index for the three- and five-year periods; (ii) Eagle underperformed its benchmark index for the one-, three- and five-year periods; and (iii) Champlain underperformed the benchmark index for the one-year period, underperformed the benchmark index within 10 basis points for the three-year period and outperformed the benchmark index for the five-year period; and (iv) one BlackRock sleeve underperformed the benchmark index for the one-year period and outperformed the benchmark index for the three- and five-year periods. The other Blackrock sleeve of the Fund underperformed the
| | |
| 104 | | Annual Report • June 30, 2021 |
Bridge Builder Mutual Funds
Board Considerations of the Investment Advisory Agreement and Investment Sub-advisory Agreements (Unaudited) (Continued)
benchmark index for the one-year period and outperformed the benchmark index for the three- and five year periods. The Board also observed that Artisan had not been managing the Fund for an entire one-year period.
The Board reviewed the performance of the Small/Mid Cap Value Fund, observing that it underperformed its peer group median for the one-year period, equaled the performance of the peer group median for the three-year period and underperformed the peer group median by 5 basis points for the five-year period. The Board noted that the Small/Mid Cap Value Fund underperformed its benchmark index for the one-, three- and five-year periods. The Board reviewed the performance of each Subadviser as well, noting that: (i) Silvercrest underperformed the benchmark index for the one-, three- and five-year periods; (ii) Vaughn Nelson underperformed the benchmark index for the one- and five-year periods and outperformed the benchmark index for the three-year period; (iii) Boston Partners underperformed the benchmark index for the one-year period, equaled the performance of the benchmark period for the three-year period and outperformed the benchmark index for the five-year period; (iv) one BlackRock sleeve outperformed the benchmark index for the one-, three- and five-year periods and the other BlackRock sleeve underperformed the benchmark index for the one-, three- and five-year periods; (v) MFS and Diamond Hill underperformed the benchmark index for the one-year period and performance information for the three- and five-year periods were unavailable as neither MFS nor Diamond had been managing its respective sleeve of the Fund for more than one-year; and (vi) LSV outperformed the benchmark index for the one-year period, underperformed the benchmark for the three-year period and had not yet achieved a five-year performance history.
The Board observed that the International Equity Fund outperformed its peer group median and its benchmark index for the one-, three- and five-year periods. In reviewing the performance of each Subadviser of the International Equity Fund, the Board noted that: (i) Baillie Gifford and WCM outperformed their respective benchmark indices for the one-, three- and five-year periods; (ii) Pzena outperformed its benchmark index for the one-year period and underperformed the benchmark index within 10 basis points for the three-year period and had not been managing its sleeve of the Fund for five years; and (iii) one of BlackRock’s sleeve outperformed the benchmark index for the one- and three-year periods and the other BlackRock sleeve outperformed the benchmark index for the one-year period and underperformed the benchmark index for the three-year period. Neither BlackRock sleeve had achieved a five-year performance history; and (iv) Edinburgh and Mondrain each underperformed the benchmark index for the one-, three- and five year periods.
Taking into account the performance information above and other performance information deemed relevant by the Board, including steps being taken to address underperformance as noted above, the Board concluded that the investment performance generated by each Subadviser was generally satisfactory, or that any steps being taken by the Adviser and Subadvisers to address any performance issues were satisfactory.
4. Profitability and Economies of Scale. The Board considered that the Adviser has contractually agreed to waive its advisory fees to the extent advisory fees to be paid to the Adviser exceed the sub-advisory fees to be paid to a Subadviser for management of its allocated portion of a Fund or Funds. Therefore, the Adviser does not profit or receive any differential compensation from allocating assets in any particular manner among the Subadvisers. In addition, the Board did not consider the profitability of the Subadvisers to be a material factor in their determination, given that the Subadvisers are not affiliated with the Adviser and, therefore, the sub-advisory fees are the result of an arms’ length negotiation. Further, the Board was satisfied that the Adviser employed a rigorous sub-advisory fee negotiation process. The Board also considered whether the Funds’ fee structure is designed to share economies of scale with shareholders as the Funds’ assets grow. In this regard, the Board noted that most of the Subadvisers have agreed to contractual breakpoints in their sub-advisory fee schedules, which accrue to the benefit of Fund shareholders in light of the Adviser’s contractual fee waiver.
5. Indirect Benefits. The Board noted that Fund shares are available exclusively to investors participating in Edward Jones Advisory Solutions®, an investment advisory program (asset-based fee program) sponsored by Edward D. Jones & Co., L.P. (“Edward Jones”), an affiliate of the Adviser, as well as current and former Trustees. Accordingly, the Board received and considered information about asset-based fees received by Edward Jones from participants
| | |
| Annual Report • June 30, 2021 | | 105 |
Bridge Builder Mutual Funds
Board Considerations of the Investment Advisory Agreement and Investment Sub-advisory Agreements (Unaudited) (Continued)
in Edward Jones Advisory Solutions® in connection with their investments in the Funds as an indirect or “fall-out” benefit. In addition, the Board considered that the Adviser, Edward Jones and each Subadviser may derive a benefit to their reputations and standing in the investment community from their relationship with the Funds. The Board also noted that certain Subadvisers use soft dollars generated from executing Fund portfolio trades to purchase research, which could be viewed as a fall-out benefit to such Subadvisers to the extent they use the research generated from such trading activities across their client base.
Based on the Board’s deliberations and its evaluation of the information described above and other information it believed relevant, the Board, including all of the Independent Trustees, unanimously approved the continuation of the Agreements for an additional year.
| | |
| 106 | | Annual Report • June 30, 2021 |
Bridge Builder Mutual Funds
Board Considerations of New Investment Sub-advisory Agreements with Marathon (Unaudited)
Pursuant to Section 15 of the Investment Company Act of 1940 (the “1940 Act”), a fund’s advisory and sub-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 at a meeting called for the purpose of voting on such approval.
At a meeting held on May 25-26, 2021 via videoconference (the “May Proposal Meeting”), the Board of Trustees (the “Board” or the “Trustees”) of the Bridge Builder Trust (the “Trust”), including a majority of the Independent Trustees, considered and approved: (i) a proposed sub-advisory agreement among Olive Street Investment Advisers, LLC (the “Adviser” or “Olive Street”), Marathon Asset Management LLP (“Marathon LLP”), and the Trust, on behalf of the Bridge Builder International Equity Fund (the “Fund”) (the “Marathon LLP Sub-advisory Agreement”) for an initial two-year term and (ii) a proposed sub-advisory agreement among Olive Street, Marathon Asset Management Limited (“Marathon Ltd.” and, together with Marathon LLP, “Marathon-London” or the “Subadviser”), and the Trust, on behalf of the Fund (the “Marathon Ltd. Sub-advisory Agreement” and, together with the Marathon LLP Sub-advisory Agreement, the “Sub-advisory Agreements”) for an initial two-year term that will become effective at the time of an anticipated restructuring of Marathon-London’s parent organization and transfer of the operations of Marathon LLP to Marathon Ltd (the “Restructuring”). The Board noted that, because of the expected timing of the Restructuring, the Marathon Ltd. Sub-advisory Agreement would be subject to renewal in May 2023; the same meeting that the Marathon LLP Sub-advisory Agreement would have been subject to renewal if there was no Restructuring.
Pursuant to an exemptive order obtained by the Adviser and the Trust from the SEC, the Adviser is permitted, subject to certain conditions, to select new subadvisers for the Fund with the approval of the Board but without obtaining shareholder approval.
In advance of the May Proposal Meeting, at a meeting held May 13, 2021 (the “May Review Meeting” and, together with the May Proposal Meeting, the “May Meetings”), the Adviser and the Subadviser furnished information to the Board reasonably necessary for the Board to evaluate the terms of the Sub-advisory Agreements. The Board had the opportunity to ask questions and request further information in connection with its consideration.
In connection with the May Meetings, the Adviser and the Subadviser provided information to the Board in response to requests for information by the Independent Trustees to facilitate the Board’s evaluation of the Sub-advisory Agreements. The information furnished by the Adviser and Subadviser included materials describing, among other matters: (i) the nature, extent and quality of the services proposed to be provided by the Subadviser; (ii) the Subadviser’s investment management personnel, including portfolio managers that would be involved in managing the allocated portion of the Fund’s portfolio (“sleeve”); (iii) the Subadviser’s operations; (iv) the Subadviser’s investment philosophy and investment process that would be used to manage the sleeve; (v) the sub-advisory fees proposed to be payable to the Subadviser; (vi) the Subadviser’s policies and compliance procedures; (vii) the investment performance of accounts managed by the Subadviser employing an international equity strategy similar to the Fund’s sleeve proposed to be managed by the Subadviser; and (viii) other “fall out” benefits that the Subadviser may receive based on its relationship with the Fund. The Board also considered information provided for the May Proposal Meeting that detailed the Restructuring and the fact that there is no change of ownership or control of the Subadviser and the operations of the Subadviser are not anticipated to change as a result of the Restructuring. The Board also considered the continuity of services expected to be provided by the Subadviser after the Restructuring. The Board also considered that the terms of the Sub-advisory Agreements were materially the same, including with respect to the services provided by the Subadviser and the fees for those services. The Board further noted that the Marathon Ltd. Sub-advisory Agreement would go into effect at the same time as the consummation of the Restructuring. In addition, at the May Review Meeting, representatives of the Adviser and, at the May Proposal Meeting, representatives of the Adviser and Subadviser made presentations and responded to questions regarding the Subadviser’s proposed services, fees, and other aspects of the proposed sub-advisory relationship.
| | |
| Annual Report • June 30, 2021 | | 107 |
Bridge Builder Mutual Funds
Board Considerations of New Investment Sub-advisory Agreements with Marathon (Unaudited) (Continued)
At the May Meetings, the Trustees received advice from Fund counsel, and the Independent Trustees received separate advice from their independent legal counsel, including advice regarding the legal standards applicable to the consideration of the approval of sub-advisory arrangements. The Independent Trustees met in executive session, outside the presence of the interested Trustees, Trust officers, and representatives of the Adviser and the Subadviser to discuss the Sub-advisory Agreements and the services proposed to be provided by the Subadviser.
In considering and approving the Sub-advisory Agreements, the Trustees considered information that they deemed relevant, including, but not limited to, the information discussed in further detail below. The Board did not identify any particular information or consideration that was all-important or controlling, and each individual Trustee may have attributed different weights to various factors and information.
1. The nature, extent and quality of the services to be provided by the Subadviser under the Sub-advisory Agreements. The Board reviewed the portfolio management services and investment process proposed to be provided to the sleeve of the Fund by the Subadviser, including how the Subadviser’s investment philosophy and process complement those of the other subadvisers that manage other portions of the Fund. The Board also reviewed the background and experience of the Subadviser’s portfolio management personnel that will have a role in the day-to-day management of a sleeve of the Fund. The Board considered the Subadviser’s ability to attract and retain qualified investment professionals, and the experience and skills of management and investment personnel of the Subadviser. The Board also considered other services to be provided to the sleeve of the Fund to be managed by the Subadviser 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. The Board considered the report of the chief compliance officer of the Trust regarding the due diligence review of the Subadviser’s compliance program and other operational matters, and his view that the Subadviser’s compliance program is reasonably designed and effectively implemented to prevent violations of the federal securities laws with respect to its services to be provided to the sleeve of the Fund.
Based on the factors above, as well as those discussed below, the Board concluded, within the context of its full deliberations, that the Subadviser is capable of providing services of the nature, extent and quality contemplated by the Sub-advisory Agreements.
2. Fees and Other Expenses. The Board reviewed the sub-advisory fees proposed to be payable to the Subadviser. The Board considered the potential impact of the Subadviser’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 the sub-advisory fees to be paid to the Fund’s subadvisers, including the Subadviser for the management of its allocated portion of the Fund until at least October 28, 2022.
Based on the factors above, as well as those discussed below, the Board concluded, within the context of its full deliberations, that the proposed sub-advisory fees are reasonable in light of the nature, extent and quality of the services expected to be rendered by the Subadviser.
3. The Subadviser’s Investment Performance Record. Because the Subadviser, if approved, would be new to the Fund, the Board was not able to evaluate the Subadviser’s actual investment performance record for the sleeve of the Fund to be managed by the Subadviser. The Board did consider information about the performance history of the Subadviser’s international equity strategy to be used in managing the sleeve of the Fund over several relevant time periods. The Board also noted that it would have an opportunity to review the Subadviser’s actual performance record for the sleeve of the Fund managed by the Subadviser at future regular meetings of the Board and in connection with future annual reviews of the Sub-advisory Agreements.
4. Profitability and Economies of Scale. The Board did not consider profitability of the Subadviser to be a material factor in its deliberations, given that the Subadviser is not affiliated with the Adviser and, therefore, the proposed
| | |
| 108 | | Annual Report • June 30, 2021 |
Bridge Builder Mutual Funds
Board Considerations of New Investment Sub-advisory Agreements with Marathon (Unaudited) (Continued)
sub-advisory fees were negotiated at arm’s length. Further, the Board was satisfied that the Adviser employed a rigorous sub-advisory fee negotiation process. The Board noted that the sub-advisory fee schedule contains breakpoints that would reduce the fee rate on assets above certain specified asset levels. The Board thus noted that, if the assets of the sleeve of the Fund increase over time, the Fund may benefit from economies of scale.
5. Indirect Benefits. The Board considered that the Subadviser may derive a benefit to its reputation and standing in the investment community from its relationship with the Fund.
CONCLUSION
Based on the Board’s deliberations and its evaluation of the information described above and other factors and information it believed relevant, the full Board, and the Independent Trustees voting separately, unanimously approved the Sub-advisory Agreements. The Board did not identify any particular information or consideration that was all important or controlling, and each individual Trustee may have attributed different weights to various factors and information.
| | |
| Annual Report • June 30, 2021 | | 109 |
Bridge Builder Mutual Funds
Board Considerations of New Investment Sub-advisory Agreement with American Century (Unaudited)
Pursuant to Section 15 of the Investment Company Act of 1940 (the “1940 Act”), a fund’s advisory and sub-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 at a meeting called for the purpose of voting on such approval.
At a meeting held on May 25-26, 2021 via videoconference (the “May Proposal Meeting”), the Board of Trustees (the “Board” or the “Trustees”) of the Bridge Builder Trust (the “Trust”), including a majority of the Independent Trustees, considered and approved a proposed sub-advisory agreement among Olive Street Investment Advisers, LLC (the “Adviser” or “Olive Street”), American Century Investment Management, Inc. (“American Century” or the “Subadviser”), and the Trust, on behalf of the Bridge Builder Small/Mid Cap Value Fund (the “Fund”) (the “Sub-advisory Agreement”) for an initial two-year term.
Pursuant to an exemptive order obtained by the Adviser and the Trust from the SEC, the Adviser is permitted, subject to certain conditions, to select new subadvisers for the Fund with the approval of the Board but without obtaining shareholder approval.
In advance of the May Proposal Meeting, at a meeting held May 13, 2021 (the “May Review Meeting” and, together with the May Proposal Meeting, the “May Meetings”), the Adviser and the Subadviser furnished information to the Board reasonably necessary for the Board to evaluate the terms of the Sub-advisory Agreement. The Board had the opportunity to ask questions and request further information in connection with its consideration.
In connection with the May Meetings, the Adviser and the Subadviser provided information to the Board in response to requests for information by the Independent Trustees to facilitate the Board’s evaluation of the Sub-advisory Agreement. The information furnished by the Adviser and Subadviser included materials describing, among other matters: (i) the nature, extent and quality of the services proposed to be provided by the Subadviser; (ii) the Subadviser’s investment management personnel, including portfolio managers that would be involved in managing the allocated portion of the Fund’s portfolio (“sleeve”); (iii) the Subadviser’s operations; (iv) the Subadviser’s investment philosophy and investment process that would be used to manage the sleeve; (v) the sub-advisory fees proposed to be payable to the Subadviser; (vi) the Subadviser’s policies and compliance procedures; (vii) the investment performance of accounts managed by the Subadviser employing a U.S. small capitalization value strategy similar to the Fund’s sleeve proposed to be managed by the Subadviser; and (viii) other “fall out” benefits that the Subadviser may receive based on its relationship with the Fund. In addition, at the May Review Meeting, representatives of the Adviser and, at the May Proposal Meeting, representatives of the Adviser and Subadviser made presentations and responded to questions regarding the Subadviser’s proposed services, fees, and other aspects of the proposed sub-advisory relationship.
At the May Meetings, the Trustees received advice from Fund counsel, and the Independent Trustees received separate advice from their independent legal counsel, including advice regarding the legal standards applicable to the consideration of the approval of sub-advisory arrangements. The Independent Trustees met in executive session outside the presence of the interested Trustees, Trust officers, and representatives of the Adviser and the Subadviser to discuss the Sub-advisory Agreement and the services proposed to be provided by the Subadviser.
In considering and approving the Sub-advisory Agreement, the Trustees considered information that they deemed relevant, including, but not limited to, the information discussed in further detail below. The Board did not identify any particular information or consideration that was all-important or controlling, and each individual Trustee may have attributed different weights to various factors and information.
1. The nature, extent and quality of the services to be provided by the Subadviser under the Sub-advisory Agreement. The Board reviewed the portfolio management services and investment process proposed to be
| | |
| 110 | | Annual Report • June 30, 2021 |
Bridge Builder Mutual Funds
Board Considerations of New Investment Sub-advisory Agreement with American Century (Unaudited) (Continued)
provided to the sleeve of the Fund by the Subadviser, including how the Subadviser’s investment philosophy and process complement those of the other subadvisers that manage other portions of the Fund. The Board also reviewed the background and experience of the Subadviser’s portfolio management personnel that will have a role in the day-to-day management of a sleeve of the Fund. The Board considered the Subadviser’s ability to attract and retain qualified investment professionals, and the experience and skills of management and investment personnel of the Subadviser. The Board also considered other services to be provided to the sleeve of the Fund to be managed by the Subadviser 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. The Board considered the report of the chief compliance officer of the Trust regarding the due diligence review of the Subadviser’s compliance program and other operational matters, and his view that the Subadviser’s compliance program is reasonably designed and effectively implemented to prevent violations of the federal securities laws with respect to its services to be provided to the sleeve of the Fund.
Based on the factors above, as well as those discussed below, the Board concluded, within the context of its full deliberations, that the Subadviser is capable of providing services of the nature, extent and quality contemplated by the Sub-advisory Agreement.
2. Fees and Other Expenses. The Board reviewed the sub-advisory fees proposed to be payable to the Subadviser. The Board considered the potential impact of the Subadviser’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 the sub-advisory fees to be paid to the Fund’s subadvisers, including the Subadviser for the management of its allocated portion of the Fund until at least October 28, 2022.
Based on the factors above, as well as those discussed below, the Board concluded, within the context of its full deliberations, that the proposed sub-advisory fees are reasonable in light of the nature, extent and quality of the services expected to be rendered by the Subadviser.
3. The Subadviser’s Investment Performance Record. Because the Subadviser, if approved, would be new to the Fund, the Board was not able to evaluate the Subadviser’s actual investment performance record for the sleeve of the Fund to be managed by the Subadviser. The Board did consider information about the performance history of the Subadviser’s U.S. small capitalization value strategy to be used in managing the sleeve of the Fund over several relevant time periods. The Board also noted that it would have an opportunity to review the Subadviser’s actual performance record for the sleeve of the Fund managed by the Subadviser at future regular meetings of the Board and in connection with future annual reviews of the Sub-advisory Agreement.
4. Profitability and Economies of Scale. The Board did not consider profitability of the Subadviser to be a material factor in its deliberations, given that the Subadviser is not affiliated with the Adviser and, therefore, the proposed sub-advisory fees were negotiated at arm’s length. Further, the Board was satisfied that the Adviser employed a rigorous sub-advisory fee negotiation process. The Board noted that the sub-advisory fee schedule contains breakpoints that would reduce the fee rate on assets above certain specified asset levels. The Board thus noted that, if the assets of the sleeve of the Fund increase over time, the Fund may benefit from economies of scale.
5. Indirect Benefits. The Board considered that the Subadviser may derive a benefit to its reputation and standing in the investment community from its relationship with the Fund. The Board also noted that the Subadviser uses soft dollars generated from executing portfolio trades to purchase research, which could be viewed as a fall-out benefit to the extent that the Subadviser uses the research generated from such trading activities across their client base.
| | |
| Annual Report • June 30, 2021 | | 111 |
Bridge Builder Mutual Funds
Board Considerations of New Investment Sub-advisory Agreement with American Century (Unaudited) (Continued)
CONCLUSION
Based on the Board’s deliberations and its evaluation of the information described above and other factors and information it believed relevant, the full Board, and the Independent Trustees voting separately, unanimously approved the Sub-advisory Agreement. The Board did not identify any particular information or consideration that was all important or controlling, and each individual Trustee may have attributed different weights to various factors and information.
| | |
| 112 | | Annual Report • June 30, 2021 |
Bridge Builder Mutual Funds
Liquidity Risk Management Program (Unaudited)
As required by Rule 22e-4 (the “Liquidity Rule”) under the Investment Company Act of 1940, as amended, each of the Bridge Builder mutual funds (the “Funds”) has adopted and implemented a written liquidity risk management program (“LRMP”) including policies and procedures reasonably designed to assess and manage the risk that a Fund may not be able to meet shareholder redemption requests without significantly diluting the interest of shareholders remaining in the Fund.
The Bridge Builder Board of Trustees (the “Board”) designated the Fund’s Investment Adviser, Olive Street Investment Advisers, LLC (the “Adviser”), as the LRMP Administrator (the “Administrator”) for the Funds. The Administrator established a committee made up of representatives from relevant departments within the Adviser and its affiliates (the “Liquidity Committee”) to assist in the implementation and day-to-day administration of the LRMP, and to carry out its liquidity risk management responsibilities.
During the period December 1, 2019 through November 30, 2020 (the “Period”), as required by the LRMP, each Fund classified each of its investments into one of four liquidity categories based on the number of days reasonably needed to sell and convert a reasonably anticipated sized trade of each investment into cash without significantly impacting the price of the investment. The Administrator relied on a third-party data provider to facilitate the classification of each Fund’s investments based on criteria in each Fund’s LRMP. During the Period, the Funds primarily held assets that are classified as highly liquid investments and thus were not required to establish highly liquid investment minimums. During the Period, no Fund held more than 15% of its net assets in illiquid investments that are assets.
During the Period, the Liquidity Committee met monthly or more frequently, as necessary or appropriate in response to relevant market, trading or investment-specific considerations, to, among other things, review and determine liquidity classifications for portfolio investments and monitor the Funds’ liquidity risk. The Liquidity Committee also evaluated the potential influence of ongoing market volatility associated with the COVID-19 pandemic on the Funds’ liquidity classifications, their status as primarily highly liquid funds and each Fund’s ongoing ability to meet shareholder redemption requests without significant dilution of the Fund’s remaining investors.
As required by the LRMP, the Administrator assessed, managed and reviewed each Fund’s liquidity risk (the “Review”) for the Period. As part of this Review, the Administrator considered each Fund’s investment strategy; the liquidity of its investments; long-term cash flow projections during both normal and reasonably foreseeable stressed conditions; and its holdings of cash and cash equivalents, borrowing arrangements and other funding sources, as set forth in more detail below.
A. A Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions: The Liquidity Committee reviewed whether each Fund’s strategy is appropriate for an open-end fund structure. During the Period, none of the Funds changed their strategy, allowed concentrated investments, or relied extensively upon borrowing or derivatives.
B. Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions: The Liquidity Committee reviewed historical shareholder activity. The Liquidity Committee also considered each Fund’s shareholder ownership, and the degree of confidence associated with a Fund’s short-term and long-term cash flow projections.
Further, the Liquidity Committee considered that each Fund may, under highly unusual circumstances, pay all or part of redemption proceeds in securities with a market value equal to the redemption price (redemption in kind) in order to protect the Fund’s remaining shareholders.
C. Holdings of cash and cash equivalents, as well as borrowing arrangements: The Liquidity Committee considered the average and lowest daily cash holdings of each Fund measured against the highest net redemptions during the Period. The Committee also considered other types of borrowing available to the Funds, such as the ability to use interfund lending, as applicable.
| | |
| Annual Report • June 30, 2021 | | 113 |
Bridge Builder Mutual Funds
Liquidity Risk Management Program (Unaudited) (Continued)
The Administrator reflected the results of its Review in a written report to the Board, which addressed the operation, adequacy and effectiveness of the implementation of the LRMP and described any material changes made to the LRMP (the “Report”). At its meeting on May 26, 2021, the Board received the Report covering the Period. The Report concluded that each Fund’s LRMP is operating as intended and is effective in implementing the requirements of the Liquidity Rule. The Report further concluded that, during the Period, the Funds remained primarily highly liquid and each Fund did not encounter significant challenges meeting shareholder redemption requests without diluting the interests of its remaining shareholders.
There can be no assurance that the LRMP will achieve its objectives in the future. Please refer to the prospectus for more information regarding a Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
| | |
| 114 | | Annual Report • June 30, 2021 |
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-PORT 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 as an exhibit to its reports on Form N-PORT. The Trust’s Form N-PORT filings are available on the Securities and Exchange Commission’s website at http://www.sec.gov. Information regarding the Trust’s Form N-PORT filings is also available, without charge, by calling, 1-855-823-3611.
Household Delivery of Shareholder Documents
To reduce expenses the Funds may mail only one copy of the prospectus, Statement of Additional Information and each annual and semiannual report to those addresses shared by two or more accounts. If you wish to receive individual copies of these documents, please call the Trust at 1-855-823-3611. You will begin receiving individual copies thirty days after your request is received.
Schedule of Investments
Each Fund’s complete schedule of investments in securities of unaffiliated issuers is available without charge, upon request, by calling 1-855-823-3611, and on the Securities and Exchange Commission website at http://www.sec.gov as a part of Form N-CSR.
Tax Notice
The following table lists the percentages of dividend income distributed by the Funds for the period ended June 30, 2021, that were designated as qualified dividend income under the Jobs and Growth Tax Relief Reconciliation Act of 2003 and qualify for the corporate dividends received deduction, respectively.
| | | | |
| | | % of Dividend Income Distributed |
| Fund | | Qualified Dividend Income | | Corporate Dividends Received Deduction |
| Core Bond Fund | | — % | | — % |
| Core Plus Bond Fund | | — | | — |
| Municipal Bond Fund | | — | | — |
| Large Cap Growth Fund | | 40.66 | | 36.93 |
| Large Cap Value Fund | | 100.00 | | 90.29 |
| Small/Mid Cap Growth Fund | | 17.84 | | 17.65 |
| Small/Mid Cap Value Fund | | 100.00 | | 100.00 |
| International Equity Fund | | 83.01 | | 0.83 |
| | |
| Annual Report • June 30, 2021 | | 115 |
Bridge Builder Mutual Funds
General Information (Unaudited) (Continued)
The following table lists the percentages of ordinary income distributions paid by the Funds, for the period ended June 30, 2021, that were designated as short-term capital gain distributions under Internal Revenue Code Section 871(k)(2)(c) and qualify as interest related dividends under Internal Revenue Code Section 871(k)(2)(c), respectively.
| | |
| | | % of Ordinary Income Distribution |
| Fund | | Short Term Capital Gain Distribution |
| Core Bond Fund | | 6.00% |
| Core Plus Bond Fund | | 15.66 |
| Municipal Bond Fund | | 0.00 |
| Large Cap Growth Fund | | 84.13 |
| Large Cap Value Fund | | 0.97 |
| Small/Mid Cap Growth Fund | | 95.23 |
| Small/Mid Cap Value Fund | | 0.00 |
| International Equity Fund | | 0.00 |
For the fiscal year ended June 30, 2021, the International Equity Fund earned foreign source income of $363,929,016 which amounts to $0.35 per share, and paid foreign taxes of $27,919,732 which amounts to $0.02 per share, which it intends to pass through to its shareholders pursuant Section 853 of the Internal Revenue Code.
| | |
| 116 | | Annual Report • June 30, 2021 |
Bridge Builder Mutual Funds
Privacy Notice (Unaudited)
June 2021
| | | | |
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 | | * Income and risk tolerance |
| | | * Transaction history | | * Assets and account transactions |
| | |
| | | When you are no longer our customer, we continue to share your information as described in this notice. |
How? | | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Bridge Builder chooses to share; and whether you can limit this sharing. |
| | | | |
| | | |
| REASONS WE CAN SHARE YOUR PERSONAL INFORMATION | | DOES BRIDGE
BUILDER SHARE? | | CAN YOU LIMIT THIS
SHARING? |
| For our everyday business purposes – such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | | Yes | | No |
| For our marketing purposes – to offer our products and services to you | | No | | We don’t share |
| For joint marketing with other financial companies | | No | | We don’t share |
| For our affiliates’ everyday business purposes – information about your transactions and experiences | | Yes | | No |
| For our affiliates’ everyday business purposes – information about your creditworthiness | | No | | We don’t share |
| For nonaffiliates to market to you | | No | | We don’t share |
| | |
WHO WE ARE | | |
| | |
Who is providing this notice? | | Bridge Builder Trust |
| | |
WHAT WE DO | | |
How does Bridge Builder protect my personal information? | | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. |
How does Bridge Builder collect my personal information? | | We collect your personal information, for example, when you deposit money with us, if you ever were to give us your contact information, open an account with us, provide us account information or make a wire transfer. We also collect your personal information from others, such as credit bureaus, affiliates or other companies. |
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. See the Other Important Information section for your rights under state law. |
| | |
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. |
| | |
OTHER IMPORTANT INFORMATION |
| California residents | | We will not share information we collect about you with companies outside of Bridge Builder, unless permitted by law. We also limit sharing among Bridge Builder and our affiliate companies to the extent required by California law. |
| Nevada residents | | We are providing this notice to you pursuant to state law. Nevada law requires us to disclose that you may request to be placed on our internal “Do Not Call” list at any time by calling 800-441-2357, and that you may obtain further information by contacting the Nevada Attorney General, 555 E. Washington Ave., Suite 3900, Las Vegas, NV 89101; phone 702-486-3132; email BCPINFO@ag.state.nv.us. |
|
| |
| Questions? Call 855-823-3611 or go to www.bridgebuildermutualfunds.com |
| | |
| Annual Report • June 30, 2021 | | 117 |
Investment Adviser
Olive Street Investment Advisers, LLC
12555 Manchester Road
St. Louis, MO 63131
Administrator & Fund Accountant
Brown Brothers Harriman & Co.
50 Post Office Square
Boston, MA 02110
Transfer Agent
ALPS Fund Services, Inc.
1290 Broadway, Suite 1100
Denver, CO 80203
Distributor
ALPS Distributors, Inc.
1290 Broadway, Suite 1100
Denver, CO 80203
Custodian
Brown Brothers Harriman & Co.
140 Broadway
New York, NY 10005
Legal Counsel
Morgan Lewis & Bockius, LLP
1701 Market Street
Philadelphia, PA 19103
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
One North Wacker
Chicago, IL 60606
Bridge Builder Mutual Funds Bridge Builder mutual funds, available exclusively through Edward Jones Advisory Solutions®, provide investors diversified expertise from leading asset management firms. The management of Bridge Builder mutual funds is rooted in our investment philosophy of diversification, a long-term approach and high quality. Visit www.bridgebuildermutualfunds.com for more information. Enroll in e-delivery Add convenience and organization to your financial life by signing up for e-delivery. Visit www.edwardjones.com/edelivery to learn more and enroll. This report is authorized for distribution to prospective investors only when preceded or accompanied by the Funds’ prospectus. Investors should carefully consider the investment objectives, risks and charges and expenses of the Funds prior to investing. The prospectus contains this and other important information and should be read carefully before investing.
ITEM 2. CODE OF ETHICS.
The registrant has adopted a code of ethics that applies to the registrant’s principal executive officer and principal financial officer. The registrant has not made any amendments to its code of ethics during the period covered by this report. The registrant has not granted any waivers from any provisions of the code of ethics during the period covered by this report.
Incorporated by reference to the Registrant’s Form N-CSR filed December 16, 2015.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The registrant’s board of trustees has determined that John Tesoro and William Scheffel are the “audit committee financial experts” and are considered to be “independent” as each term is defined in Item 3 of Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
The registrant has engaged its principal accountant to perform audit services, audit-related services, and tax services during the past two fiscal years. “Audit fees” refer to performing an audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years. “Audit-related fees” refer to the assurance and related services by the principal accountant that are reasonably related to the performance of the audit. “Tax fees” refer to professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. The following table details the aggregate fees billed or expected to be billed for the last two fiscal years for audit fees, audit-related fees, tax fees and other fees by the principal accountant.
| | | | | | | | |
| | | FYE 6/30/2021 | | | FYE 6/30/2020 | |
Audit Fees | | $ | 567,000 | | | $ | 535,300 | |
Audit-Related Fees | | | | | | | | |
Tax Fees | | $ | 64,786 | | | $ | 62,675 | |
All Other Fees | | | | | | | | |
The audit committee has adopted pre-approval policies and procedures that require the audit committee to pre-approve all audit and non-audit services of the registrant, including services provided to any entity affiliated with the registrant.
The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X were as follows:
| | | | | | | | |
| | | FYE 6/30/2021 | | | FYE 6/30/2020 | |
Audit-Related Fees | | | 0 | % | | | 0 | % |
Tax Fees | | | 0 | % | | | 0 | % |
All Other Fees | | | 0 | % | | | 0 | % |
All of the principal accountant’s hours spent on auditing the registrant’s financial statements were attributed to work performed by full-time permanent employees of the principal accountant. The following table indicates the non-audit fees billed or expected to be billed by the registrant’s accountant for services to the registrant and to the registrant’s investment adviser (and any entity controlling, controlled by, or under common control with the investment adviser) for the last two years.
| | | | | | | | |
Non-Audit Related Fees | | FYE 6/30/2021 | | | FYE 6/30/2020 | |
Registrant | | $ | 64,786 | | | $ | 62,675 | |
Registrant’s Investment Adviser | | $ | 0 | | | $ | 0 | |
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable to registrants who are not listed issuers (as defined in Rule 10A-3 under the Securities Exchange Act of 1934).
ITEM 6. INVESTMENTS.
Bridge Builder Core Bond Fund
Schedule of Investments
June 30, 2021
| | | | | | | | |
| | | Principal
Amount | | | Value | |
BONDS & NOTES – 97.26% | | | | | | | | |
Asset-Backed Obligations – 10.68% | | | | | | | | |
ABFC 2005-AQ1 Trust | | | | | | | | |
4.59%, 01/25/2034, Series 2005-AQ1, Class A4(1) | | $ | 13,457 | | | $ | 13,450 | |
ABFC 2006-OPT1 Trust | | | | | | | | |
0.39% (1 Month LIBOR USD + 0.30%, 0.30% Floor), 09/25/2036, Series 2006-OPT1, Class A3C2(2) | | | 1,995,392 | | | | 1,975,281 | |
Academic Loan Funding Trust 2013-1 | | | | | | | | |
0.89% (1 Month LIBOR USD + 0.80%), 12/26/2044, Series 2013-1A, Class A(2)(3) | | | 665,737 | | | | 657,429 | |
ACC Trust 2021-1 | | | | | | | | |
1.43%, 07/22/2024, Series 2021-1, Class B(3) | | | 4,350,000 | | | | 4,343,994 | |
Ajax Mortgage Loan Trust 2021-B | | | | | | | | |
2.24%, 06/25/2066, Series 2021-B, Class A(1)(3) | | | 8,667,705 | | | | 8,646,421 | |
Allegro CLO VII Ltd. | | | | | | | | |
1.28% (3 Month LIBOR USD + 1.10%, 1.10% Floor), 06/13/2031, Series 2018-1A, Class A(2)(3) | | | 12,000,000 | | | | 12,005,364 | |
Ally Auto Receivables Trust 2019-4 | | | | | | | | |
1.84%, 06/17/2024, Series 2019-4, Class A3 | | | 5,436,856 | | | | 5,486,154 | |
1.92%, 01/15/2025, Series 2019-4, Class A4 | | | 1,987,000 | | | | 2,036,983 | |
American Credit Acceptance Receivables Trust 2020-2 | | | | | | | | |
1.65%, 12/13/2023, Series 2020-2, Class A(3) | | | 868,121 | | | | 870,343 | |
American Credit Acceptance Receivables Trust 2020-4 | | | | | | | | |
1.31%, 12/14/2026, Series 2020-4, Class C(3) | | | 3,665,000 | | | | 3,699,185 | |
American Credit Acceptance Receivables Trust 2021-2 | | | | | | | | |
0.37%, 10/15/2024, Series 2021-2, Class A(3) | | | 5,947,853 | | | | 5,951,573 | |
American Express Credit Account Master Trust | | | | | | | | |
0.31% (1 Month LIBOR USD + 0.24%), 04/15/2024, Series 2019-4, Class A(2) | | | 8,760,000 | | | | 8,763,934 | |
American Homes 4 Rent 2014-SFR2 Trust | | | | | | | | |
3.79%, 10/17/2036, Series 2014-SFR2, Class A(3) | | | 3,659,625 | | | | 3,889,881 | |
4.29%, 10/17/2036, Series 2014-SFR2, Class B(3) | | | 300,000 | | | | 319,107 | |
6.23%, 10/17/2036, Series 2014-SFR2, Class E(3) | | | 1,000,000 | | | | 1,098,008 | |
American Homes 4 Rent 2014-SFR3 Trust | | | | | | | | |
4.60%, 12/17/2036, Series 2014-SFR3, Class C(3) | | | 600,000 | | | | 644,378 | |
6.42%, 12/17/2036, Series 2014-SFR3, Class E(3) | | | 1,000,000 | | | | 1,094,698 | |
American Homes 4 Rent 2015-SFR1 | | | | | | | | |
3.47%, 04/17/2052, Series 2015-SFR1, Class A(3) | | | 1,993,737 | | | | 2,114,704 | |
5.64%, 04/17/2052, Series 2015-SFR1, Class E(3) | | | 3,900,000 | | | | 4,269,872 | |
American Homes 4 Rent 2015-SFR2 Trust | | | | | | | | |
3.73%, 10/17/2052, Series 2015-SFR2, Class A(3) | | | 1,737,559 | | | | 1,867,640 | |
AmeriCredit Automobile Receivables Trust 2017-1 | | | | | | | | |
2.71%, 08/18/2022, Series 2017-1, Class C | | | 24,441 | | | | 24,466 | |
3.13%, 01/18/2023, Series 2017-1, Class D | | | 1,387,000 | | | | 1,397,661 | |
AmeriCredit Automobile Receivables Trust 2017-2 | | | | | | | | |
3.42%, 04/18/2023, Series 2017-2, Class D | | | 6,000,000 | | | | 6,087,273 | |
AmeriCredit Automobile Receivables Trust 2018-2 | | | | | | | | |
3.45%, 06/18/2024, Series 2018-2, Class B | | | 7,636,000 | | | | 7,724,488 | |
AmeriCredit Automobile Receivables Trust 2019-1 | | | | | | | | |
3.13%, 02/18/2025, Series 2019-1, Class B | | | 3,400,000 | | | | 3,472,685 | |
3.36%, 02/18/2025, Series 2019-1, Class C | | | 3,500,000 | | | | 3,636,219 | |
AmeriCredit Automobile Receivables Trust 2020-1 | | | | | | | | |
1.48%, 01/21/2025, Series 2020-1, Class B | | | 6,100,000 | | | | 6,201,522 | |
AmeriCredit Automobile Receivables Trust 2020-2 | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
0.66%, 12/18/2024, Series 2020-2, Class A3 | | | 3,286,000 | | | | 3,298,005 | |
0.97%, 02/18/2026, Series 2020-2, Class B | | | 1,443,000 | | | | 1,452,592 | |
AmeriCredit Automobile Receivables Trust 2020-3 | | | | | | | | |
1.06%, 08/18/2026, Series 2020-3, Class C | | | 2,950,000 | | | | 2,970,862 | |
AmeriCredit Automobile Receivables Trust 2021-1 | | | | | | | | |
0.37%, 08/18/2025, Series 2021-1, Class A3 | | | 6,331,000 | | | | 6,335,251 | |
AmeriCredit Automobile Receivables Trust 2021-2 | | | | | | | | |
1.01%, 01/19/2027, Series 2021-2, Class C | | | 4,600,000 | | | | 4,627,268 | |
Amortizing Residential Collateral Trust 2002-BC5 | | | | | | | | |
1.13% (1 Month LIBOR USD + 1.04%, 1.04% Floor), 07/25/2032, Series 2002-BC5, Class M1(2) | | | 1,315,145 | | | | 1,315,521 | |
AMSR 2020-SFR3 Trust | | | | | | | | |
2.56%, 09/17/2037, Series 2020-SFR3, Class E1(3) | | | 6,000,000 | | | | 6,015,451 | |
AMSR 2020-SFR4 Trust | | | | | | | | |
1.86%, 11/17/2037, Series 2020-SFR4, Class C(3) | | | 9,000,000 | | | | 8,977,227 | |
Anchorage Capital CLO 2013-1 Ltd. | | | | | | | | |
1.44% (3 Month LIBOR USD + 1.25%), 10/13/2030, Series 2013-1A, Class A1R(2)(3) | | | 2,500,000 | | | | 2,502,250 | |
Apres Static CLO Ltd. | | | | | | | | |
1.25% (3 Month LIBOR USD + 1.07%), 10/15/2028, Series 2019-1A, Class A1R(2)(3) | | | 4,710,249 | | | | 4,710,456 | |
Ares LVI CLO Ltd. | | | | | | | | |
1.46% (3 Month LIBOR USD + 1.28%, 1.28% Floor), 10/25/2031, Series 2020-56A, Class A1(2)(3) | | | 5,000,000 | | | | 5,016,900 | |
Argent Securities, Inc. Asset-Backed Pass-Through Certificates Series 2005-W3 | | | | | | | | |
0.77% (1 Month LIBOR USD + 0.68%, 0.68% Floor), 11/25/2035, Series 2005-W3, Class A2D(2) | | | 499,019 | | | | 498,498 | |
Asset Backed Securities Corp. Home Equity Loan Trust Series 2003-HE6 | | | | | | | | |
0.77% (1 Month LIBOR USD + 0.68%, 0.68% Floor), 11/25/2033, Series 2003-HE6, Class A2(2) | | | 1,862,969 | | | | 1,829,839 | |
Asset-Backed Pass-Through Certificates Series 2004-R2 | | | | | | | | |
0.87% (1 Month LIBOR USD + 0.78%, 0.78% Floor), 04/25/2034, Series 2004-R2, Class A4(2) | | | 49,957 | | | | 49,950 | |
Atlas Senior Loan Fund III Ltd. | | | | | | | | |
0.99% (3 Month LIBOR USD + 0.83%), 11/17/2027, Series 2013-1A, Class AR(2)(3) | | | 3,695,916 | | | | 3,696,519 | |
Avis Budget Rental Car Funding AESOP LLC | | | | | | | | |
1.38%, 08/20/2027, Series 2021-1A, Class A(3) | | | 12,000,000 | | | | 11,981,057 | |
2.33%, 08/20/2026, Series 2020-1A, Class A(3) | | | 6,100,000 | | | | 6,357,046 | |
2.36%, 03/20/2026, Series 2019-3A, Class A(3) | | | 12,000,000 | | | | 12,555,355 | |
3.70%, 09/20/2024, Series 2018-1A, Class A(3) | | | 6,200,000 | | | | 6,587,262 | |
4.00%, 03/20/2025, Series 2018-2A, Class A(3) | | | 5,800,000 | | | | 6,264,687 | |
BA Credit Card Trust | | | | | | | | |
0.34%, 05/15/2026, Series 2020-A1, Class A1 | | | 3,665,000 | | | | 3,652,664 | |
0.44%, 09/15/2026, Series 2021-A1, Class A1 | | | 6,454,000 | | | | 6,436,363 | |
Barings Clo Ltd. 2020-IIII | | | | | | | | |
1.47% (3 Month LIBOR USD + 1.29%, 1.29% Floor), 10/15/2033, Series 2020-2A, Class A1(2)(3) | | | 15,000,000 | | | | 15,023,220 | |
Bayview Financial Mortgage Pass-Through Trust 2007-B | | | | | | | | |
6.83%, 08/28/2047, Series 2007-B, Class 1A2(1) | | | 131,663 | | | | 129,597 | |
Bayview Opportunity Master Fund V Trust 2020-RN3 | | | | | | | | |
3.23%, 09/25/2035, Series 2020-RN3, Class A1(1)(3) | | | 1,572,676 | | | | 1,589,682 | |
Bear Stearns Asset Backed Securities Trust 2003-2 | | | | | | | | |
1.59% (1 Month LIBOR USD + 1.50%, 1.50% Floor, 11.00% Cap), 03/25/2043, Series 2003-2, Class A3(2) | | | 2,582,252 | | | | 2,609,096 | |
BMW Vehicle Owner Trust 2020-A | | | | | | | | |
0.62%, 04/26/2027, Series 2020-A, Class A4 | | | 3,009,000 | | | | 3,021,996 | |
Business Jet Securities 2019-1 LLC | | | | | | | | |
4.21%, 07/15/2034, Series 2019-1, Class A(3) | | | 6,758,614 | | | | 6,951,021 | |
Business Jet Securities 2020-1 LLC | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
2.98%, 11/15/2035, Series 2020-1A, Class A(3) | | | 8,020,378 | | | | 8,165,208 | |
Business Jet Securities 2021-1 LLC | | | | | | | | |
2.16%, 04/15/2036, Series 2021-1A, Class A(3) | | | 5,208,309 | | | | 5,248,344 | |
Camillo Issuer LLC 2016-SFR1 A | | | | | | | | |
5.00%, 12/05/2023(3)(12) | | | 4,853,820 | | | | 4,843,200 | |
Capital One Multi-Asset Execution Trust | | | | | | | | |
1.72%, 08/15/2024, Series 2019-A2, Class A2 | | | 2,808,000 | | | | 2,856,340 | |
2.06%, 08/15/2028, Series 2019-A3, Class A3 | | | 2,000,000 | | | | 2,097,278 | |
Capital One Prime Auto Receivables Trust 2019-2 | | | | | | | | |
1.92%, 05/15/2024, Series 2019-2, Class A3 | | | 3,088,871 | | | | 3,124,629 | |
Carlyle US Clo 2017-1 Ltd. | | | | | | | | |
1.42% (3 Month LIBOR USD + 1.23%), 04/20/2031, Series 2017-1A, Class A1B(2)(3) | | | 5,468,425 | | | | 5,472,478 | |
CarMax Auto Owner Trust 2018-2 | | | | | | | | |
3.16%, 07/17/2023, Series 2018-2, Class A4 | | | 2,635,000 | | | | 2,683,468 | |
CarMax Auto Owner Trust 2019-1 | | | | | | | | |
3.26%, 08/15/2024, Series 2019-1, Class A4 | | | 1,614,000 | | | | 1,682,036 | |
CarMax Auto Owner Trust 2020-3 | | | | | | | | |
0.77%, 03/16/2026, Series 2020-3, Class A4 | | | 2,901,000 | | | | 2,919,567 | |
Carmax Auto Owner Trust 2021-1 | | | | | | | | |
0.34%, 12/15/2025, Series 2021-1, Class A3 | | | 3,816,000 | | | | 3,811,155 | |
0.53%, 10/15/2026, Series 2021-1, Class A4 | | | 4,057,000 | | | | 4,035,460 | |
CarMax Auto Owner Trust 2021-2 | | | | | | | | |
0.52%, 02/17/2026, Series 2021-2, Class A3 | | | 8,900,000 | | | | 8,907,994 | |
0.81%, 12/15/2026, Series 2021-2, Class A4 | | | 3,142,000 | | | | 3,143,011 | |
1.34%, 02/16/2027, Series 2021-2, Class C | | | 4,180,000 | | | | 4,179,733 | |
Carnow Auto Receivables Trust 2019-1 | | | | | | | | |
3.36%, 06/17/2024, Series 2019-1A, Class C(3) | | | 3,710,000 | | | | 3,763,668 | |
Carvana Auto Receivables Trust 2019-3 | | | | | | | | |
3.04%, 04/15/2025, Series 2019-3A, Class D(3) | | | 11,005,000 | | | | 11,376,949 | |
Carvana Auto Receivables Trust 2021-N2 | | | | | | | | |
0.75%, 03/10/2028, Series 2021-N2, Class B | | | 2,300,000 | | | | 2,295,435 | |
Castlelake LP | | | | | | | | |
3.34%, 03/15/2023(4) | | | 15,825,000 | | | | 15,825,000 | |
CBAM 2019-11 Ltd. | | | | | | | | |
1.55% (3 Month LIBOR USD + 1.36%, 1.36% Floor), 10/20/2032, Series 2019-11A, Class A1(2)(3) | | | 22,000,000 | | | | 22,020,522 | |
Chase Funding Trust Series 2003-4 | | | | | | | | |
5.05%, 05/25/2033, Series 2003-4, Class 1A5(1) | | | 95,969 | | | | 98,468 | |
Chase Funding Trust Series 2003-6 | | | | | | | | |
4.96%, 11/25/2034, Series 2003-6, Class 1A5(1) | | | 115,764 | | | | 121,392 | |
4.96%, 11/25/2034, Series 2003-6, Class 1A7(1) | | | 197,104 | | | | 207,090 | |
CIFC Funding 2018-II Ltd. | | | | | | | | |
1.23% (3 Month LIBOR USD + 1.04%), 04/20/2031, Series 2018-2A, Class A1(2)(3) | | | 11,800,000 | | | | 11,800,897 | |
CIFC Funding Ltd. | | | | | | | | |
0.00% (3 Month LIBOR USD + 1.14%, 1.14% Floor), 07/15/2034, Series 2021-5A, Class A(2)(3)(5) | | | 10,000,000 | | | | 10,000,000 | |
CIG Auto Receivables Trust 2020-1 | | | | | | | | |
2.35%, 01/12/2026, Series 2020-1A, Class D(3) | | | 6,200,000 | | | | 6,288,260 | |
Colony American Finance 2016-2 Ltd. | | | | | | | | |
2.55%, 11/15/2048, Series 2016-2, Class A(3) | | | 142,679 | | | | 142,677 | |
Commonbond Student Loan Trust 2017-B-GS | | | | | | | | |
2.68%, 09/25/2042, Series 2017-BGS, Class A1(3) | | | 3,794,557 | | | | 3,868,475 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Commonbond Student Loan Trust 2018-A-GS | | | | | | | | |
3.21%, 02/25/2044, Series 2018-AGS, Class A1(3) | | | 3,172,024 | | | | 3,293,224 | |
Commonbond Student Loan Trust 2018-C-GS | | | | | | | | |
3.87%, 02/25/2046, Series 2018-CGS, Class A1(3) | | | 984,665 | | | | 1,015,938 | |
Conseco Finance Corp. | | | | | | | | |
6.18%, 04/01/2030, Series 1998-4, Class A5 | | | 3,043 | | | | 3,073 | |
6.22%, 03/01/2030, Series 1998-3, Class A5 | | | 2,819 | | | | 2,824 | |
Consumer Loan Underlying Bond Club Certificate Issuer Trust I Series 2019-HP1 | | | | | | | | |
2.59%, 12/15/2026, Series 2019-HP1, Class A(3) | | | 1,313,227 | | | | 1,324,962 | |
Consumer Loan Underlying Bond Credit Trust 2019-P1 | | | | | | | | |
2.94%, 07/15/2026, Series 2019-P1, Class A(3) | | | 66,617 | | | | 66,673 | |
Continental Finance Credit Card ABS Master Trust | | | | | | | | |
2.24%, 12/15/2028, Series 2020-1A, Class A(3) | | | 4,000,000 | | | | 4,031,757 | |
COOF Securitization Trust 2014-1 Ltd. | | | | | | | | |
3.02%, 06/25/2040, Series 2014-1, Class A(3)(4) | | | 564,185 | | | | 63,026 | |
Corevest American Finance 2019-1 Trust | | | | | | | | |
3.88%, 03/15/2052, Series 2019-1, Class B(3) | | | 4,860,000 | | | | 5,353,655 | |
Corevest American Finance 2019-3 Trust | | | | | | | | |
2.71%, 10/15/2052, Series 2019-3, Class A(3) | | | 4,420,797 | | | | 4,626,213 | |
3.16%, 10/15/2052, Series 2019-3, Class B(3) | | | 2,250,000 | | | | 2,392,074 | |
3.27%, 10/15/2052, Series 2019-3, Class C(3) | | | 5,862,000 | | | | 6,121,128 | |
CoreVest American Finance 2020-3 Trust | | | | | | | | |
2.20%, 08/15/2053, Series 2020-3, Class B(3) | | | 6,314,000 | | | | 6,117,892 | |
Countrywide Asset-Backed Certificates | | | | | | | | |
4.17%, 02/25/2036, Series 2005-10, Class AF6(4) | | | 19,109 | | | | 19,675 | |
5.12%, 02/25/2035, Series 2004-S1, Class A3(1) | | | 11,065 | | | | 11,052 | |
5.43%, 02/25/2033, Series 2005-13, Class AF3(4) | | | 1,775 | | | | 1,689 | |
5.97%, 09/25/2046, Series 2006-10, Class 1AF3(4) | | | 33,836 | | | | 32,735 | |
CPS Auto Receivables Trust 2017-B | | | | | | | | |
3.95%, 03/15/2023, Series 2017-B, Class D(3) | | | 166,990 | | | | 167,213 | |
CPS Auto Receivables Trust 2017-C | | | | | | | | |
3.79%, 06/15/2023, Series 2017-C, Class D(3) | | | 295,732 | | | | 298,184 | |
CPS Auto Receivables Trust 2020-A | | | | | | | | |
2.09%, 05/15/2023, Series 2020-A, Class A(3) | | | 725,135 | | | | 725,640 | |
CPS Auto Receivables Trust 2020-B | | | | | | | | |
1.15%, 07/17/2023, Series 2020-B, Class A(3) | | | 402,012 | | | | 402,459 | |
2.11%, 04/15/2026, Series 2020-B, Class B(3) | | | 1,303,000 | | | | 1,311,598 | |
CPS Auto Receivables Trust 2021-A | | | | | | | | |
0.35%, 01/16/2024, Series 2021-A, Class A(3) | | | 2,304,557 | | | | 2,304,812 | |
CPS Auto Receivables Trust 2021-B | | | | | | | | |
0.37%, 03/17/2025, Series 2021-B, Class A(3) | | | 7,119,533 | | | | 7,123,585 | |
Credit Acceptance Auto Loan Trust 2019-1 | | | | | | | | |
3.33%, 02/15/2028, Series 2019-1A, Class A(3) | | | 3,657,972 | | | | 3,686,313 | |
Credit Acceptance Auto Loan Trust 2020-1 | | | | | | | | |
2.39%, 04/16/2029, Series 2020-1A, Class B(3) | | | 6,680,000 | | | | 6,861,323 | |
Credit Acceptance Auto Loan Trust 2020-2 | | | | | | | | |
1.37%, 07/16/2029, Series 2020-2A, Class A(3) | | | 2,850,000 | | | | 2,884,022 | |
2.73%, 11/15/2029, Series 2020-2A, Class C(3) | | | 3,500,000 | | | | 3,630,689 | |
Crossroads Asset Trust 2021-A | | | | | | | | |
2.52%, 01/20/2026, Series 2021-A, Class D(3) | | | 1,500,000 | | | | 1,494,121 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
CWABS Asset-Backed Certificates Trust 2004-15 | | | | | | | | |
4.57%, 04/25/2035, Series 2004-15, Class AF6(4) | | | 23 | | | | 24 | |
CWABS Asset-Backed Certificates Trust 2005-1 | | | | | | | | |
5.03%, 07/25/2035, Series 2005-1, Class AF6(4) | | | 167 | | | | 168 | |
CWABS Asset-Backed Certificates Trust 2005-17 | | | | | | | | |
5.56%, 05/25/2036, Series 2005-17, Class 1AF5(4) | | | 11,699 | | | | 11,987 | |
CWABS, Inc. Asset-Backed Certificates Series 2004-1 | | | | | | | | |
0.65% (1 Month LIBOR USD + 0.56%, 0.56% Floor), 04/25/2034, Series 2004-1, Class 3A(2) | | | 1,112 | | | | 1,029 | |
0.84% (1 Month LIBOR USD + 0.75%, 0.75% Floor), 03/25/2034, Series 2004-1, Class M1(2) | | | 9,931 | | | | 9,903 | |
0.92% (1 Month LIBOR USD + 0.83%, 0.83% Floor), 03/25/2034, Series 2004-1, Class M2(2) | | | 5,700 | | | | 5,682 | |
CWABS, Inc. Asset-Backed Certificates Trust 2004-6 | | | | | | | | |
0.87% (1 Month LIBOR USD + 0.78%, 0.78% Floor), 11/25/2034, Series 2004-6, Class 2A5(2) | | | 355,288 | | | | 353,359 | |
0.99% (1 Month LIBOR USD + 0.90%, 0.90% Floor), 10/25/2034, Series 2004-6, Class M1(2) | | | 9,424 | | | | 9,269 | |
DataBank Issuer | | | | | | | | |
2.06%, 02/27/2051, Series 2021-1A, Class A2(3) | | | 6,150,000 | | | | 6,229,929 | |
Delta Air Lines 2015-1 Class AA Pass Through Trust | | | | | | | | |
3.63%, 07/30/2027 | | | 989,349 | | | | 1,062,344 | |
Diamond Resorts Owner Trust | | | | | | | | |
3.27%, 10/22/2029, Series 2017-1A, Class A(3) | | | 849,855 | | | | 863,544 | |
Diamond Resorts Owner Trust 2018-1 | | | | | | | | |
3.70%, 01/21/2031, Series 2018-1, Class A(3) | | | 1,952,426 | | | | 2,033,949 | |
Diamond Resorts Owner Trust 2019-1 | | | | | | | | |
3.53%, 02/20/2032, Series 2019-1A, Class B(3) | | | 4,531,280 | | | | 4,680,771 | |
Discover Card Execution Note Trust | | | | | | | | |
3.04%, 07/15/2024, Series 2019-A1, Class A1 | | | 3,302,000 | | | | 3,353,456 | |
Drive Auto Receivables Trust | | | | | | | | |
3.66%, 11/15/2024, Series 2018-4, Class C | | | 184,436 | | | | 184,715 | |
Drive Auto Receivables Trust 2017-1 | | | | | | | | |
3.84%, 03/15/2023, Series 2017-1, Class D | | | 637,475 | | | | 640,444 | |
Drive Auto Receivables Trust 2017-3 | | | | | | | | |
3.53%, 12/15/2023, Series 2017-3, Class D(3) | | | 2,929,661 | | | | 2,956,220 | |
Drive Auto Receivables Trust 2019-1 | | | | | | | | |
4.09%, 06/15/2026, Series 2019-1, Class D | | | 2,645,000 | | | | 2,745,130 | |
Drive Auto Receivables Trust 2019-3 | | | | | | | | |
2.65%, 02/15/2024, Series 2019-3, Class B | | | 2,169,115 | | | | 2,176,675 | |
Drive Auto Receivables Trust 2019-4 | | | | | | | | |
2.23%, 01/16/2024, Series 2019-4, Class B | | | 4,081,401 | | | | 4,093,652 | |
Drive Auto Receivables Trust 2020-1 | | | | | | | | |
2.02%, 11/15/2023, Series 2020-1, Class A3 | | | 2,979,604 | | | | 2,984,525 | |
Drive Auto Receivables Trust 2020-2 | | | | | | | | |
1.42%, 03/17/2025, Series 2020-2, Class B | | | 2,260,000 | | | | 2,282,378 | |
2.28%, 08/17/2026, Series 2020-2, Class C | | | 1,611,000 | | | | 1,653,158 | |
Drive Auto Receivables Trust 2021-1 | | | | | | | | |
0.65%, 07/15/2025, Series 2021-1, Class B | | | 3,800,000 | | | | 3,806,324 | |
1.02%, 06/15/2027, Series 2021-1, Class C | | | 2,965,000 | | | | 2,977,729 | |
DT Auto Owner Trust 2019-4 | | | | | | | | |
2.73%, 07/15/2025, Series 2019-4A, Class C(3) | | | 7,080,000 | | | | 7,214,750 | |
DT Auto Owner Trust 2020-1 | | | | | | | | |
1.94%, 09/15/2023, Series 2020-1A, Class A(3) | | | 1,165,380 | | | | 1,168,494 | |
DT Auto Owner Trust 2020-2 | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
1.14%, 01/16/2024, Series 2020-2A, Class A(3) | | | 1,482,562 | | | | 1,487,121 | |
2.08%, 03/16/2026, Series 2020-2A, Class B(3) | | | 951,000 | | | | 966,418 | |
DT Auto Owner Trust 2021-2 | | | | | | | | |
1.10%, 02/16/2027, Series 2021-2A, Class C(3) | | | 1,835,000 | | | | 1,840,675 | |
Elmwood CLO II Ltd. | | | | | | | | |
1.34% (3 Month LIBOR USD + 1.15%, 1.15% Floor), 04/20/2034, Series 2019-2A, Class AR(2)(3) | | | 20,000,000 | | | | 19,994,960 | |
Exeter Automobile Receivables Trust 2017-3 | | | | | | | | |
3.68%, 07/17/2023, Series 2017-3A, Class C(3) | | | 2,539,200 | | | | 2,575,988 | |
Exeter Automobile Receivables Trust 2020-2 | | | | | | | | |
1.13%, 08/15/2023, Series 2020-2A, Class A(3) | | | 1,275,722 | | | | 1,276,719 | |
2.08%, 07/15/2024, Series 2020-2A, Class B(3) | | | 2,615,000 | | | | 2,635,615 | |
First Investors Auto Owner Trust 2017-1 | | | | | | | | |
3.60%, 04/17/2023, Series 2017-1A, Class D(3) | | | 2,847,000 | | | | 2,864,300 | |
First Investors Auto Owner Trust 2019-2 | | | | | | | | |
2.21%, 09/16/2024, Series 2019-2A, Class A(3) | | | 1,528,833 | | | | 1,539,646 | |
FirstKey Homes 2020-SFR1 Trust | | | | | | | | |
1.54%, 08/17/2028, Series 2021-SFR1, Class A(3) | | | 12,500,000 | | | | 12,499,926 | |
FirstKey Homes 2020-SFR2 Trust | | | | | | | | |
2.67%, 10/19/2037, Series 2020-SFR2, Class E(3) | | | 7,948,000 | | | | 8,079,183 | |
FirstKey Homes 2021-SFR1 Trust | | | | | | | | |
2.19%, 08/17/2028, Series 2021-SFR1, Class D(3) | | | 7,500,000 | | | | 7,499,861 | |
Flagship Credit Auto Trust 2017-2 | | | | | | | | |
2.96%, 07/15/2023, Series 2017-2, Class C(3) | | | 521,026 | | | | 521,618 | |
3.62%, 07/15/2023, Series 2017-2, Class D(3) | | | 2,995,000 | | | | 3,034,609 | |
Flagship Credit Auto Trust 2018-3 | | | | | | | | |
3.79%, 12/16/2024, Series 2018-3, Class C(3) | | | 7,710,000 | | | | 7,897,651 | |
Flagship Credit Auto Trust 2019-1 | | | | | | | | |
3.11%, 08/15/2023, Series 2019-1, Class A(3) | | | 895,804 | | | | 899,764 | |
Flagship Credit Auto Trust 2019-2 | | | | | | | | |
2.83%, 10/16/2023, Series 2019-2, Class A(3) | | | 2,325,855 | | | | 2,340,737 | |
Flagship Credit Auto Trust 2019-4 | | | | | | | | |
2.17%, 06/17/2024, Series 2019-4, Class A(3) | | | 4,827,199 | | | | 4,864,119 | |
3.12%, 01/15/2026, Series 2019-4, Class D(3) | | | 9,275,000 | | | | 9,712,970 | |
Flagship Credit Auto Trust 2020-1 | | | | | | | | |
1.90%, 08/15/2024, Series 2020-1, Class A(3) | | | 4,701,052 | | | | 4,745,964 | |
Flagship Credit Auto Trust 2020-2 | | | | | | | | |
1.49%, 07/15/2024, Series 2020-2, Class A(3) | | | 2,190,799 | | | | 2,201,962 | |
Flagship Credit Auto Trust 2020-3 | | | | | | | | |
0.70%, 04/15/2025, Series 2020-3, Class A(3) | | | 1,737,989 | | | | 1,742,650 | |
Flagship Credit Auto Trust 2021-2 | | | | | | | | |
0.37%, 12/15/2026, Series 2021-2, Class A(3) | | | 9,071,701 | | | | 9,068,799 | |
Ford Credit Auto Owner Trust 2018-REV1 | | | | | | | | |
3.19%, 07/15/2031, Series 2018-1, Class A(3) | | | 24,024,000 | | | | 25,917,387 | |
Ford Credit Auto Owner Trust 2020-A | | | | | | | | |
1.03%, 10/15/2022, Series 2020-A, Class A2 | | | 70,195 | | | | 70,263 | |
1.04%, 08/15/2024, Series 2020-A, Class A3 | | | 3,124,000 | | | | 3,147,763 | |
1.35%, 07/15/2025, Series 2020-A, Class A4 | | | 2,163,000 | | | | 2,205,976 | |
Ford Credit Auto Owner Trust 2020-B | | | | | | | | |
0.79%, 11/15/2025, Series 2020-B, Class A4 | | | 3,711,000 | | | | 3,737,387 | |
Ford Credit Auto Owner Trust 2020-C | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
0.51%, 08/15/2026, Series 2020-C, Class A4 | | | 5,576,000 | | | | 5,542,252 | |
Ford Credit Auto Owner Trust 2020-REV1 | | | | | | | | |
2.04%, 08/15/2031, Series 2020-1, Class A(3) | | | 12,300,000 | | | | 12,766,273 | |
Ford Credit Auto Owner Trust 2020-REV2 | | | | | | | | |
1.06%, 04/15/2033, Series 2020-2, Class A(3) | | | 18,800,000 | | | | 18,779,059 | |
Ford Credit Auto Owner Trust 2021-REV1 | | | | | | | | |
1.61%, 10/17/2033, Series 2021-1, Class B(3) | | | 2,320,000 | | | | 2,324,425 | |
Ford Credit Floorplan Master Owner Trust A | | | | | | | | |
1.06%, 09/15/2027, Series 2020-2, Class A | | | 14,747,000 | | | | 14,757,532 | |
FORT CRE 2018-1 LLC | | | | | | | | |
2.93% (1 Month LIBOR USD + 2.83%, 2.83% Floor), 11/16/2035, Series 2018-1A, Class C(2)(3) | | | 11,800,000 | | | | 11,576,201 | |
Foundation Finance Trust 2017-1 | | | | | | | | |
3.30%, 07/15/2033, Series 2017-1A, Class A(3) | | | 758,449 | | | | 769,478 | |
Foundation Finance Trust 2019-1 | | | | | | | | |
3.86%, 11/15/2034, Series 2019-1A, Class A(3) | | | 1,984,635 | | | | 2,049,516 | |
Foursight Capital Automobile Receivables Trust 2021-1 | | | | | | | | |
1.32%, 03/15/2027, Series 2021-1, Class D(3) | | | 900,000 | | | | 892,339 | |
FREED ABS Trust 2019-2 | | | | | | | | |
2.62%, 11/18/2026, Series 2019-2, Class A(3) | | | 243,127 | | | | 243,486 | |
FTF 2019-1 A FRN | | | | | | | | |
5.50%, 08/15/2024(4)(12) | | | 2,174,193 | | | | 1,646,952 | |
GE Capital Mortgage Services, Inc. 1999-HE1 Trust | | | | | | | | |
6.27%, 04/25/2029, Series 1999-HE1, Class A7 | | | 6 | | | | 6 | |
6.71%, 04/25/2029, Series 1999-HE1, Class M(4) | | | 14,011 | | | | 12,647 | |
Genesis Sales Finance Master Trust | | | | | | | | |
1.65%, 09/22/2025, Series 2020-AA, Class A(3) | | | 6,111,000 | | | | 6,153,265 | |
GLS Auto Receivables Issuer Trust 2021-1 | | | | | | | | |
1.68%, 01/15/2027, Series 2021-1A, Class D(3) | | | 1,200,000 | | | | 1,202,605 | |
GLS Auto Receivables Trust | | | | | | | | |
0.77%, 09/15/2025, Series 2021-2A, Class B(3) | | | 2,318,000 | | | | 2,318,489 | |
1.42%, 04/15/2027, Series 2021-2A, Class D(3) | | | 2,250,000 | | | | 2,241,354 | |
GM Financial Automobile Leasing Trust 2020-2 | | | | | | | | |
0.80%, 07/20/2023, Series 2020-2, Class A3 | | | 3,688,000 | | | | 3,707,908 | |
1.01%, 07/22/2024, Series 2020-2, Class A4 | | | 1,000,000 | | | | 1,010,250 | |
GM Financial Consumer Automobile Receivables Trust 2018-4 | | | | | | | | |
3.62%, 06/17/2024, Series 2018-4, Class C | | | 1,400,000 | | | | 1,452,734 | |
GM Financial Consumer Automobile Receivables Trust 2020-1 | | | | | | | | |
1.84%, 09/16/2024, Series 2020-1, Class A3 | | | 8,369,000 | | | | 8,461,809 | |
GM Financial Consumer Automobile Receivables Trust 2020-2 | | | | | | | | |
1.49%, 12/16/2024, Series 2020-2, Class A3 | | | 3,095,000 | | | | 3,133,862 | |
GM Financial Consumer Automobile Receivables Trust 2020-3 | | | | | | | | |
0.45%, 04/16/2025, Series 2020-3, Class A3 | | | 3,775,000 | | | | 3,784,487 | |
GM Financial Consumer Automobile Receivables Trust 2020-4 | | | | | | | | |
0.50%, 02/17/2026, Series 2020-4, Class A4 | | | 5,097,000 | | | | 5,063,360 | |
GM Financial Consumer Automobile Receivables Trust 2021-1 | | | | | | | | |
0.54%, 05/17/2027, Series 2021-1, Class A4 | | | 4,174,000 | | | | 4,168,588 | |
GMF Floorplan Owner Revolving Trust | | | | | | | | |
0.68%, 08/15/2025, Series 2020-1, Class A(3) | | | 4,031,000 | | | | 4,045,766 | |
2.90%, 04/15/2026, Series 2019-2, Class A(3) | | | 17,200,000 | | | | 18,246,672 | |
Gold Key Resorts 2014-A LLC | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
3.22%, 03/17/2031, Series 2014-A, Class A(3) | | | 126,928 | | | | 128,466 | |
Golden Bear 2016-R LLC | | | | | | | | |
5.65%, 09/20/2047, Series 2016-R, Class R(3) | | | 583,259 | | | | 580,505 | |
Goodgreen 2017-1 Trust | | | | | | | | |
3.74%, 10/15/2052, Series 2017-1A, Class A(3) | | | 1,019,696 | | | | 1,077,975 | |
Goodgreen 2017-2 Trust | | | | | | | | |
3.26%, 10/15/2053, Series 2017-2A, Class A(3) | | | 2,834,962 | | | | 2,958,175 | |
Goodgreen 2017-R1 Trust | | | | | | | | |
5.00%, 10/20/2051(3)(12) | | | 4,141,588 | | | | 4,120,880 | |
Goodgreen 2019-2 Trust | | | | | | | | |
2.76%, 04/15/2055, Series 2019-2A, Class A(3) | | | 4,348,142 | | | | 4,454,441 | |
Greenwood Park CLO Ltd. | | | | | | | | |
1.19% (3 Month LIBOR USD + 1.01%), 04/15/2031, Series 2018-1A, Class A2(2)(3) | | | 23,000,000 | | | | 23,016,261 | |
GSAMP Trust 2006-HE7 | | | | | | | | |
0.32% (1 Month LIBOR USD + 0.23%, 0.23% Floor), 10/25/2046, Series 2006-HE7, Class A2D(2) | | | 538,005 | | | | 535,009 | |
Harley-Davidson Motorcycle Trust 2021-A | | | | | | | | |
0.37%, 04/15/2026, Series 2021-A, Class A3 | | | 8,820,000 | | | | 8,812,073 | |
0.53%, 09/15/2028, Series 2021-A, Class A4 | | | 4,288,000 | | | | 4,269,512 | |
Headlands Residential 2018-RPL1 LLC | | | | | | | | |
3.88%, 08/25/2024, Series 2018-RPL1, Class A(1)(3) | | | 8,245,000 | | | | 8,303,411 | |
HERO Funding 2017-3 | | | | | | | | |
3.95%, 09/20/2048, Series 2017-3A, Class A2(3) | | | 2,199,671 | | | | 2,298,472 | |
HERO Funding II 2016-3B | | | | | | | | |
5.24%, 09/20/2042, Series 2016-3B, Class B(3) | | | 261,057 | | | | 261,624 | |
HERO Funding Trust 2016-2 | | | | | | | | |
3.75%, 09/20/2041, Series 2016-2A, Class A(3) | | | 1,212,838 | | | | 1,270,440 | |
HERO Funding Trust 2016-3 | | | | | | | | |
3.08%, 09/20/2042, Series 2016-3A, Class A1(3) | | | 533,560 | | | | 551,729 | |
HERO Funding Trust 2016-4A | | | | | | | | |
3.57%, 09/20/2047, Series 2016-4A, Class A1(3) | | | 1,684,129 | | | | 1,738,171 | |
HERO Funding Trust 2017-1A | | | | | | | | |
4.46%, 09/20/2047, Series 2017-1A, Class A2(3) | | | 3,033,201 | | | | 3,194,254 | |
HERO Funding Trust 2017-2 | | | | | | | | |
3.28%, 09/20/2048, Series 2017-2A, Class A1(3) | | | 2,815,391 | | | | 2,931,630 | |
Hertz Vehicle Financing III LP | | | | | | | | |
1.68%, 12/27/2027, Series 2021-2A, Class A(3) | | | 7,200,000 | | | | 7,190,392 | |
Hertz Vehicle Financing LLC | | | | | | | | |
1.21%, 12/26/2025, Series 2021-1A, Class A(3) | | | 8,200,000 | | | | 8,195,572 | |
Hilton Grand Vacations Trust 2017-A | | | | | | | | |
2.66%, 12/26/2028, Series 2017-AA, Class A(3) | | | 741,938 | | | | 759,600 | |
HIN Timeshare Trust 2020-A | | | | | | | | |
2.23%, 10/09/2039, Series 2020-A, Class B(3) | | | 3,169,108 | | | | 3,213,509 | |
Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2006-A | | | | | | | | |
0.49% (1 Month LIBOR USD + 0.40%, 0.40% Floor), 03/25/2036, Series 2006-A, Class A3(2) | | | 8,230 | | | | 8,204 | |
Honda Auto Receivables 2020-2 Owner Trust | | | | | | | | |
0.74%, 11/15/2022, Series 2020-2, Class A2 | | | 439,888 | | | | 440,434 | |
0.82%, 07/15/2024, Series 2020-2, Class A3 | | | 3,810,000 | | | | 3,834,604 | |
1.09%, 10/15/2026, Series 2020-2, Class A4 | | | 1,022,000 | | | | 1,037,030 | |
Honda Auto Receivables 2020-3 Owner Trust | | | | | | | | |
0.46%, 04/19/2027, Series 2020-3, Class A4 | | | 5,701,000 | | | | 5,686,122 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Hyundai Auto Receivables Trust 2020-A | | | | | | | | |
1.41%, 11/15/2024, Series 2020-A, Class A3 | | | 4,157,000 | | | | 4,216,941 | |
1.72%, 06/15/2026, Series 2020-A, Class A4 | | | 3,308,000 | | | | 3,411,902 | |
Hyundai Auto Receivables Trust 2021-A | | | | | | | | |
0.62%, 05/17/2027, Series 2021-A, Class A4 | | | 3,352,000 | | | | 3,341,741 | |
Imc Home Equity Loan Trust 1997-5 | | | | | | | | |
6.88%, 11/20/2028, Series 1997-5, Class A10 | | | 13 | | | | 13 | |
KGS-Alpha SBA COOF Trust | | | | | | | | |
0.61%, 05/25/2039, Series 2012-6, Class A(3)(4) | | | 1,726,362 | | | | 24,416 | |
KGS-Alpha SBA COOF Trust 2012-2 | | | | | | | | |
0.76%, 08/25/2038, Series 2012-2, Class A(3)(4) | | | 1,873,081 | | | | 38,486 | |
KGS-Alpha SBA COOF Trust 2014-2 | | | | | | | | |
3.57%, 04/25/2040, Series 2014-2, Class A(3)(4) | | | 579,930 | | | | 47,451 | |
KKR CLO 11 Ltd. | | | | | | | | |
1.36% (3 Month LIBOR USD + 1.18%), 01/15/2031, Series 11, Class AR(2)(3) | | | 8,500,000 | | | | 8,503,035 | |
KKR Clo 32 Ltd. | | | | | | | | |
1.50% (3 Month LIBOR USD + 1.32%, 1.32% Floor), 01/15/2032, Series 32A, Class A1(2)(3) | | | 26,000,000 | | | | 26,090,818 | |
KVK CLO 2018-1 Ltd. | | | | | | | | |
1.09% (3 Month LIBOR USD + 0.93%), 05/20/2029, Series 2018-1A, Class A(2)(3) | | | 14,852,565 | | | | 14,859,233 | |
Lakeview 2021-CRT2 LLC | | | | | | | | |
0.00%, 11/10/2032, Series 2021-CRT2(3)(4)(12) | | | 4,525,375 | | | | 4,525,375 | |
Laurel Road Prime Student Loan Trust 2017-C | | | | | | | | |
2.81%, 11/25/2042, Series 2017-C, Class A2B(3) | | | 1,552,233 | | | | 1,574,407 | |
Laurel Road Prime Student Loan Trust 2018-B | | | | | | | | |
3.54%, 05/26/2043, Series 2018-B, Class A2FX(3) | | | 3,117,645 | | | | 3,178,866 | |
Legacy Mortgage Asset Trust 2019-GS4 | | | | | | | | |
3.44%, 05/25/2059, Series 2019-GS4, Class A1(1)(3) | | | 3,464,652 | | | | 3,471,494 | |
LendingPoint 2020-REV1 Asset Securitization Trust | | | | | | | | |
2.73%, 10/15/2028, Series 2020-REV1, Class A(3) | | | 8,400,000 | | | | 8,490,608 | |
LL ABS Trust 2019-1 | | | | | | | | |
2.87%, 03/15/2027, Series 2019-1A, Class A(3) | | | 166,699 | | | | 166,822 | |
LL ABS Trust 2020-1 | | | | | | | | |
2.33%, 01/17/2028, Series 2020-1A, Class A(3) | | | 3,578,502 | | | | 3,603,750 | |
Long Beach Mortgage Loan Trust 2004-1 | | | | | | | | |
0.84% (1 Month LIBOR USD + 0.75%, 0.75% Floor), 02/25/2034, Series 2004-1, Class M1(2) | | | 115,651 | | | | 115,425 | |
Long Beach Mortgage Loan Trust 2004-3 | | | | | | | | |
0.95% (1 Month LIBOR USD + 0.86%, 0.86% Floor), 07/25/2034, Series 2004-3, Class M1(2) | | | 30,250 | | | | 30,023 | |
LP LMS 2021-1 | | | | | | | | |
3.23%, 10/15/2028(3)(12) | | | 10,435,992 | | | | 10,441,283 | |
LV Tower 52 Issuer 2013-1 | | | | | | | | |
5.75%, 02/15/2023, Series 2013-1, Class A(3)(12) | | | 1,787,016 | | | | 1,802,366 | |
7.75%, 02/15/2023, Series 2013-1, Class M(3)(12) | | | 600,161 | | | | 605,316 | |
Man GLG US CLO 2018-2 Ltd. | | | | | | | | |
1.42% (3 Month LIBOR USD + 1.24%, 1.24% Floor), 10/15/2028, Series 2018-2A, Class A1R(2)(3) | | | 7,660,710 | | | | 7,663,827 | |
Mariner Finance Issuance Trust 2019-A | | | | | | | | |
2.96%, 07/20/2032, Series 2019-AA, Class A(3) | | | 6,000,000 | | | | 6,150,827 | |
3.51%, 07/20/2032, Series 2019-AA, Class B(3) | | | 5,235,000 | | | | 5,396,602 | |
Mariner Finance Issuance Trust 2021-A | | | | | | | | |
2.33%, 03/20/2036, Series 2021-AA, Class B(3) | | | 5,700,000 | | | | 5,770,847 | |
Mercury Financial Credit Card Master Trust | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
1.54%, 03/20/2026, Series 2021-1A, Class A(3) | | | 5,365,000 | | | | 5,381,202 | |
MidOcean Credit CLO III | | | | | | | | |
1.31% (3 Month LIBOR USD + 1.12%, 1.12% Floor), 04/21/2031, Series 2014-3A, Class A1R(2)(3) | | | 15,217,777 | | | | 15,248,060 | |
MidOcean Credit CLO IX | | | | | | | | |
1.34% (3 Month LIBOR USD + 1.15%, 1.15% Floor), 07/20/2031, Series 2018-9A, Class A1(2)(3) | | | 4,000,000 | | | | 4,003,076 | |
Mid-State Capital Corp. 2006-1 Trust | | | | | | | | |
6.08%, 10/15/2040, Series 2006-1, Class M1(3) | | | 548,904 | | | | 581,437 | |
Mid-State Capital Trust 2010-1 | | | | | | | | |
3.50%, 12/15/2045, Series 2010-1, Class A(3) | | | 62,887 | | | | 63,675 | |
5.25%, 12/15/2045, Series 2010-1, Class M(3) | | | 113,162 | | | | 115,479 | |
MMAF Equipment Finance LLC 2019-B | | | | | | | | |
2.29%, 11/12/2041, Series 2019-B, Class A5(3) | | | 7,200,000 | | | | 7,508,331 | |
Mountain View CLO IX Ltd. | | | | | | | | |
1.30% (3 Month LIBOR USD + 1.12%), 07/15/2031, Series 2015-9A, Class A1R(2)(3) | | | 20,000,000 | | | | 20,001,800 | |
MRA Issuance Trust 2020-15 | | | | | | | | |
1.59% (1 Month LIBOR USD + 1.50%, 1.50% Floor), 07/15/2021, Series 2020-15, Class A(2)(3) | | | 28,240,000 | | | | 28,241,183 | |
MRA Issuance Trust 2021-EBO7 | | | | | | | | |
0.00% (1 Month LIBOR USD + 2.75%, 2.75% Floor), 02/16/2022, Series 2021-EBO7, Class A1X(2)(3)(5) | | | 16,400,000 | | | | 16,401,279 | |
Nationstar HECM Loan Trust 2020-1 | | | | | | | | |
1.27%, 09/25/2030, Series 2020-1A, Class A1(3)(4) | | | 7,316,514 | | | | 7,334,814 | |
Navient Private Education Refi Loan Trust 2018-A | | | | | | | | |
3.19%, 02/18/2042, Series 2018-A, Class A2(3) | | | 5,865,948 | | | | 5,944,590 | |
Navient Private Education Refi Loan Trust 2018-C | | | | | | | | |
3.52%, 06/16/2042, Series 2018-CA, Class A2(3) | | | 2,873,859 | | | | 2,923,982 | |
Navient Private Education Refi Loan Trust 2019-C | | | | | | | | |
3.13%, 02/15/2068, Series 2019-CA, Class A2(3) | | | 5,429,067 | | | | 5,547,690 | |
Navient Private Education Refi Loan Trust 2020-B | | | | | | | | |
2.12%, 01/15/2069, Series 2020-BA, Class A2(3) | | | 5,254,411 | | | | 5,332,465 | |
New Century Home Equity Loan Trust Series 2003-5 | | | | | | | | |
4.92%, 11/25/2033, Series 2003-5, Class AI6(1) | | | 120,128 | | | | 122,607 | |
New Residential Mortgage Loan Trust 2018-1 | | | | | | | | |
4.00%, 12/25/2057, Series 2018-1A, Class A1A(3)(4) | | | 2,143,848 | | | | 2,295,981 | |
Nissan Auto Receivables 2020-A Owner Trust | | | | | | | | |
1.38%, 12/16/2024, Series 2020-A, Class A3 | | | 3,974,000 | | | | 4,023,519 | |
Nissan Auto Receivables 2021-A Owner Trust | | | | | | | | |
0.33%, 10/15/2025, Series 2021-A, Class A3 | | | 9,768,000 | | | | 9,757,279 | |
Nomura Home Equity Loan, Inc. Home Equity Loan Trust Series 2006-FM1 | | | | | | | | |
0.55% (1 Month LIBOR USD + 0.46%, 0.46% Floor), 11/25/2035, Series 2006-FM1, Class 1A1(2) | | | 5,513,679 | | | | 5,488,115 | |
NRZ Excess Spread-Collateralized Notes | | | | | | | | |
3.23%, 05/25/2026, Series 2021-FNT2, Class A(3) | | | 8,534,056 | | | | 8,515,477 | |
NRZ Excess Spread-Collateralized Notes Series 2020-PLS1 | | | | | | | | |
3.84%, 12/25/2025, Series 2020-PLS1, Class A(3) | | | 8,116,084 | | | | 8,192,536 | |
Oakwood Mortgage Investors, Inc. | | | | | | | | |
6.45%, 12/15/2023, Series 1999-B, Class A3 | | | 747 | | | | 766 | |
Octane Receivables Trust 2021-1 | | | | | | | | |
1.53%, 04/20/2027, Series 2021-1A, Class B(3) | | | 700,000 | | | | 701,334 | |
OL SP 2018-B LLC | | | | | | | | |
4.16%, 02/09/2030, Series 2018, Class A | | | 1,688,119 | | | | 1,755,081 | |
4.61%, 02/09/2030, Series 2018, Class B | | | 366,983 | | | | 378,889 | |
OneMain Direct Auto Receivables Trust 2018-1 | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
3.43%, 12/16/2024, Series 2018-1A, Class A(3) | | | 5,287,970 | | | | 5,310,409 | |
OneMain Direct Auto Receivables Trust 2019-1 | | | | | | | | |
3.63%, 09/14/2027, Series 2019-1A, Class A(3) | | | 14,600,000 | | | | 15,736,223 | |
OneMain Financial Issuance Trust 2020-2 | | | | | | | | |
1.75%, 09/14/2035, Series 2020-2A, Class A(3) | | | 6,100,000 | | | | 6,202,317 | |
OneMain Financial Issuance Trust 2020-A | | | | | | | | |
3.84%, 05/14/2032, Series 2020-1A, Class A(3) | | | 3,400,000 | | | | 3,547,063 | |
OneMain Financial Issuance Trust 2021-1 | | | | | | | | |
0.77% (30-day Average Secured Overnight Financing Rate + 0.76%), 06/16/2036, Series 2021-1A, Class A2(2)(3) | | | 9,900,000 | | | | 10,040,578 | |
Oportun Funding X LLC | | | | | | | | |
4.10%, 10/08/2024, Series 2018-C, Class A(3) | | | 5,900,000 | | | | 5,904,328 | |
Oportun Funding XII LLC | | | | | | | | |
4.15%, 12/09/2024, Series 2018-D, Class A(3) | | | 4,200,000 | | | | 4,220,950 | |
Oportun Funding XIV LLC | | | | | | | | |
1.21%, 03/08/2028, Series 2021-A, Class A(3) | | | 3,000,000 | | | | 3,008,588 | |
1.76%, 03/08/2028, Series 2021-A, Class B(3) | | | 5,625,000 | | | | 5,602,337 | |
Oportun Issuance Trust 2021-B | | | | | | | | |
1.47%, 05/08/2031, Series 2021-B, Class A(3) | | | 5,610,000 | | | | 5,624,001 | |
Option One Mortgage Loan Trust 2004-3 | | | | | | | | |
0.99% (1 Month LIBOR USD + 0.90%, 0.90% Floor), 11/25/2034, Series 2004-3, Class A4(2) | | | 1,691,802 | | | | 1,605,612 | |
OZLM Funding IV Ltd. | | | | | | | | |
1.43% (3 Month LIBOR USD + 1.25%), 10/22/2030, Series 2013-4A, Class A1R(2)(3) | | | 9,811,675 | | | | 9,809,202 | |
OZLM XXII Ltd. | | | | | | | | |
1.26% (3 Month LIBOR USD + 1.07%), 01/17/2031, Series 2018-22A, Class A1(2)(3) | | | 6,991,130 | | | | 6,989,368 | |
P4 SFR 2019-STL | | | | | | | | |
7.25%, 10/11/2022(12) | | | 5,700,000 | | | | 5,700,000 | |
Pagaya AI Debt Selection Trust 2021-1 | | | | | | | | |
1.18%, 11/15/2027, Series 2021-1, Class A(3) | | | 16,492,028 | | | | 16,526,643 | |
Palmer Square CLO 2014-1 Ltd. | | | | | | | | |
1.32% (3 Month LIBOR USD + 1.13%, 1.13% Floor), 01/17/2031, Series 2014-1A, Class A1R2(2)(3) | | | 4,000,000 | | | | 4,002,548 | |
Palmer Square CLO 2018-2 Ltd. | | | | | | | | |
1.28% (3 Month LIBOR USD + 1.10%), 07/16/2031, Series 2018-2A, Class A1A(2)(3) | | | 20,000,000 | | | | 20,021,960 | |
Park Avenue Institutional Advisers CLO Ltd. 2018-1 | | | | | | | | |
1.19% (3 Month LIBOR USD + 1.00%, 1.00% Floor), 10/20/2031, Series 2018-1A, Class A1AR(2)(3) | | | 21,500,000 | | | | 21,494,604 | |
PPM CLO 4 Ltd. | | | | | | | | |
1.61% (3 Month LIBOR USD + 1.42%, 1.42% Floor), 10/18/2031, Series 2020-4A, Class A1(2)(3) | | | 15,000,000 | | | | 15,028,515 | |
Pretium Mortgage Credit Partners I 2020-NPL3 LLC | | | | | | | | |
3.10%, 06/27/2060, Series 2020-NPL3, Class A1(1)(3) | | | 4,706,291 | | | | 4,752,190 | |
Progress Residential 2018-SFR2 Trust | | | | | | | | |
4.34%, 08/17/2035, Series 2018-SFR2, Class D(3) | | | 2,390,000 | | | | 2,386,288 | |
4.66%, 08/17/2035, Series 2018-SFR2, Class E(3) | | | 3,853,000 | | | | 3,874,456 | |
Progress Residential 2020-SFR3 Trust | | | | | | | | |
2.30%, 10/17/2027, Series 2020-SFR3, Class E(3) | | | 6,000,000 | | | | 6,005,314 | |
Progress Residential 2021-SFR1 | | | | | | | | |
1.56%, 04/17/2038, Series 2021-SFR1, Class C(3) | | | 3,500,000 | | | | 3,450,467 | |
Progress Residential 2021-SFR3 | | | | | | | | |
2.54%, 05/17/2026, Series 2021-SFR3, Class E1(3) | | | 6,250,000 | | | | 6,303,578 | |
PRPM 2020-1 LLC | | | | | | | | |
2.98%, 02/25/2025, Series 2020-1A, Class A1(1)(3) | | | 4,502,460 | | | | 4,522,535 | |
RAMP Series 2005-RS1 Trust | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
4.71%, 11/25/2034, Series 2005-RS1, Class AI6 | | | 76 | | | | 77 | |
Regional Management Issuance Trust 2020-1 | | | | | | | | |
3.23%, 10/15/2030, Series 2020-1, Class B(3) | | | 2,590,000 | | | | 2,647,461 | |
Regional Management Issuance Trust 2021-1 | | | | | | | | |
1.68%, 03/17/2031, Series 2021-1, Class A(3) | | | 3,183,000 | | | | 3,179,356 | |
Renaissance Home Equity Loan Trust | | | | | | | | |
5.61%, 04/25/2037, Series 2007-1, Class AF3(1) | | | 298,832 | | | | 121,994 | |
Renew 2017-1 | | | | | | | | |
3.67%, 09/20/2052, Series 2017-1A, Class A(3) | | | 1,301,332 | | | | 1,367,410 | |
Rockford Tower CLO 2020-1 Ltd. | | | | | | | | |
1.53% (3 Month LIBOR USD + 1.28%), 01/20/2032, Series 2020-1A, Class A(2)(3) | | | 12,000,000 | | | | 12,042,684 | |
Santander Consumer Auto Receivables Trust 2020-B | | | | | | | | |
0.46%, 08/15/2024, Series 2020-BA, Class A3(3) | | | 7,527,000 | | | | 7,540,460 | |
Santander Consumer Auto Receivables Trust 2021-A | | | | | | | | |
0.33%, 10/15/2025, Series 2021-AA, Class A3(3) | | | 5,591,000 | | | | 5,586,631 | |
0.48%, 06/15/2026, Series 2021-AA, Class A4(3) | | | 3,258,000 | | | | 3,244,870 | |
Santander Drive Auto Receivables Trust 2017-2 | | | | | | | | |
3.49%, 07/17/2023, Series 2017-2, Class D | | | 535,291 | | | | 537,103 | |
Santander Drive Auto Receivables Trust 2019-3 | | | | | | | | |
2.49%, 10/15/2025, Series 2019-3, Class C | | | 5,800,000 | | | | 5,865,262 | |
Santander Drive Auto Receivables Trust 2020-1 | | | | | | | | |
2.03%, 02/15/2024, Series 2020-1, Class A3 | | | 2,199,457 | | | | 2,210,180 | |
Santander Drive Auto Receivables Trust 2020-2 | | | | | | | | |
0.67%, 04/15/2024, Series 2020-2, Class A3 | | | 3,726,000 | | | | 3,730,650 | |
0.96%, 11/15/2024, Series 2020-2, Class B | | | 2,573,000 | | | | 2,585,544 | |
Santander Drive Auto Receivables Trust 2020-3 | | | | | | | | |
1.12%, 01/15/2026, Series 2020-3, Class C | | | 8,000,000 | | | | 8,070,786 | |
Santander Drive Auto Receivables Trust 2020-4 | | | | | | | | |
1.01%, 01/15/2026, Series 2020-4, Class C | | | 11,568,000 | | | | 11,635,099 | |
Santander Drive Auto Receivables Trust 2021-1 | | | | | | | | |
0.32%, 09/16/2024, Series 2021-1, Class A3 | | | 7,623,000 | | | | 7,629,835 | |
0.75%, 02/17/2026, Series 2021-1, Class C | | | 9,850,000 | | | | 9,844,767 | |
Santander Drive Auto Receivables Trust 2021-2 | | | | | | | | |
0.90%, 06/15/2026, Series 2021-2, Class C | | | 11,577,000 | | | | 11,595,644 | |
1.35%, 07/15/2027, Series 2021-2, Class D | | | 10,700,000 | | | | 10,710,564 | |
SART 2017-1 | | | | | | | | |
4.75%, 07/15/2024(12) | | | 4,171,827 | | | | 4,182,256 | |
SART 2018-1 | | | | | | | | |
4.76%, 06/15/2025(12) | | | 5,043,235 | | | | 5,048,278 | |
SCF Equipment Leasing 2021-1 LLC | | | | | | | | |
1.93%, 09/20/2030, Series 2021-1A, Class D(3) | | | 3,600,000 | | | | 3,580,393 | |
Securitized Asset Backed Receivables LLC Trust 2006-CB1 | | | | | | | | |
3.01%, 01/25/2036, Series 2006-CB1, Class AF2(1) | | | 49,301 | | | | 49,616 | |
Sierra Timeshare 2019-3 Receivables Funding LLC | | | | | | | | |
2.75%, 08/20/2036, Series 2019-3A, Class B(3) | | | 2,411,345 | | | | 2,477,559 | |
Sierra Timeshare 2020-2 Receivables Funding LLC | | | | | | | | |
1.33%, 07/20/2037, Series 2020-2A, Class A(3) | | | 2,540,601 | | | | 2,553,800 | |
Sierra Timeshare 2021-1 Receivables Funding LLC | | | | | | | | |
1.34%, 11/20/2037, Series 2021-1A, Class B(3) | | | 6,873,316 | | | | 6,879,734 | |
Sixth Street CLO XVI Ltd. | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
1.51% (3 Month LIBOR USD + 1.32%, 1.32% Floor), 10/20/2032, Series 2020-16A, Class A1A(2)(3) | | | 20,000,000 | | | | 20,067,680 | |
SoFi Consumer Loan Program 2019-3 Trust | | | | | | | | |
2.90%, 05/25/2028, Series 2019-3, Class A(3) | | | 642,744 | | | | 646,098 | |
SoFi Consumer Loan Program 2020-1 Trust | | | | | | | | |
2.02%, 01/25/2029, Series 2020-1, Class A(3) | | | 3,939,570 | | | | 3,971,987 | |
SoFi Professional Loan Program 2017-F LLC | | | | | | | | |
2.84%, 01/25/2041, Series 2017-F, Class A2FX(3) | | | 8,831,793 | | | | 9,032,023 | |
SoFi Professional Loan Program 2018-B Trust | | | | | | | | |
3.34%, 08/25/2047, Series 2018-B, Class A2FX(3) | | | 3,895,879 | | | | 3,994,337 | |
SoFi Professional Loan Program 2019-C LLC | | | | | | | | |
2.37%, 11/16/2048, Series 2019-C, Class A2FX(3) | | | 7,474,569 | | | | 7,630,628 | |
SoFi Professional Loan Program 2020-ATrust | | | | | | | | |
2.54%, 05/15/2046, Series 2020-A, Class A2FX(3) | | | 7,800,000 | | | | 8,058,845 | |
Sound Point CLO II Ltd. | | | | | | | | |
1.25% (3 Month LIBOR USD + 1.07%, 1.07% Floor), 01/26/2031, Series 2013-1A, Class A1R(2)(3) | | | 9,000,000 | | | | 9,000,522 | |
Springleaf Funding Trust 2017-A | | | | | | | | |
2.68%, 07/15/2030, Series 2017-AA, Class A(3) | | | 2,776,913 | | | | 2,782,902 | |
Structured Asset Securities Corp. Mortgage Loan Trust 2005-7XS | | | | | | | | |
5.94%, 04/25/2035, Series 2005-7XS, Class 1A4B(1) | | | 323 | | | | 341 | |
Structured Asset Securities Corp. Mortgage Pass-Through Ctfs Series 2004-6XS | | | | | | | | |
6.03%, 03/25/2034, Series 2004-6XS, Class A5A(1) | | | 43,476 | | | | 43,930 | |
6.05%, 03/25/2034, Series 2004-6XS, Class A5B(1) | | | 34,770 | | | | 35,132 | |
Structured Asset Securities Corp. Pass-Through Certificates Series 2002-AL1 | | | | | | | | |
3.45%, 02/25/2032, Series 2002-AL1, Class A2 | | | 12,330 | | | | 11,811 | |
3.45%, 02/25/2032, Series 2002-AL1, Class A3 | | | 37,956 | | | | 36,084 | |
Synchrony Card Funding LLC | | | | | | | | |
2.95%, 03/15/2025, Series 2019-A1, Class A | | | 12,384,000 | | | | 12,624,632 | |
Synchrony Card Issuance Trust | | | | | | | | |
3.38%, 09/15/2024, Series 2018-A1, Class A | | | 5,500,000 | | | | 5,535,757 | |
Towd Point Mortgage Trust 2017-2 | | | | | | | | |
2.75%, 04/25/2057, Series 2017-2, Class A1(3)(4) | | | 2,875,857 | | | | 2,915,917 | |
Towd Point Mortgage Trust 2017-6 | | | | | | | | |
2.75%, 10/25/2057, Series 2017-6, Class A1(3)(4) | | | 4,742,745 | | | | 4,857,404 | |
Towd Point Mortgage Trust 2018-1 | | | | | | | | |
3.00%, 01/25/2058, Series 2018-1, Class A1(3)(4) | | | 4,594,907 | | | | 4,716,359 | |
Towd Point Mortgage Trust 2019-1 | | | | | | | | |
3.72%, 03/25/2058, Series 2019-1, Class A1(3)(4) | | | 5,952,903 | | | | 6,269,464 | |
Towd Point Mortgage Trust 2019-HY3 | | | | | | | | |
1.09% (1 Month LIBOR USD + 1.00%, 1.00% Floor), 10/25/2059, Series 2019-HY3, Class A1A(2)(3) | | | 1,591,537 | | | | 1,603,391 | |
Towd Point Mortgage Trust 2020-4 | | | | | | | | |
1.75%, 10/25/2060, Series 2020-4, Class A1(3) | | | 3,630,417 | | | | 3,670,784 | |
Towd Point Mortgage Trust 2020-MH1 | | | | | | | | |
2.25%, 02/25/2060, Series 2020-MH1, Class A1(3)(4) | | | 6,425,970 | | | | 6,502,922 | |
Toyota Auto Loan Extended Note Trust 2019-1 | | | | | | | | |
2.56%, 11/25/2031, Series 2019-1A, Class A(3) | | | 7,675,000 | | | | 8,092,942 | |
Toyota Auto Loan Extended Note Trust 2020-1 | | | | | | | | |
1.35%, 05/25/2033, Series 2020-1A, Class A(3) | | | 7,685,000 | | | | 7,812,676 | |
Toyota Auto Receivables 2020-A Owner Trust | | | | | | | | |
1.68%, 05/15/2025, Series 2020-A, Class A4 | | | 1,196,000 | | | | 1,227,923 | |
Toyota Auto Receivables 2020-B Owner Trust | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
1.36%, 08/15/2024, Series 2020-B, Class A3 | | | 3,481,000 | | | | 3,522,741 | |
1.66%, 09/15/2025, Series 2020-B, Class A4 | | | 3,189,000 | | | | 3,275,164 | |
Toyota Auto Receivables 2020-D Owner Trust | | | | | | | | |
0.47%, 01/15/2026, Series 2020-D, Class A4 | | | 4,856,000 | | | | 4,858,528 | |
Toyota Auto Receivables 2021-B Owner Trust | | | | | | | | |
0.53%, 10/15/2026, Series 2021-B, Class A4 | | | 7,016,000 | | | | 6,979,627 | |
Trafigura Securitisation Finance Plc 2018-1 | | | | | | | | |
3.73%, 03/15/2022, Series 2018-1A, Class A2(3) | | | 12,666,667 | | | | 12,741,001 | |
Tricolor Auto Securitization Trust 2020-1 | | | | | | | | |
4.88%, 11/15/2026, Series 2020-1A, Class A(3) | | | 5,183,579 | | | | 5,192,974 | |
United Auto Credit Securitization Trust | | | | | | | | |
1.14%, 06/10/2026, Series 2021-1, Class D(3) | | | 850,000 | | | | 850,499 | |
US Auto Funding 2018-1 LLC | | | | | | | | |
5.50%, 07/15/2023, Series 2018-1A, Class A(3) | | | 650,909 | | | | 657,315 | |
USAA Auto Owner Trust 2019-1 | | | | | | | | |
2.14%, 11/15/2024, Series 2019-1, Class A4 | | | 4,004,000 | | | | 4,069,092 | |
VCAT 2020-NPL1 LLC | | | | | | | | |
3.67%, 08/25/2050, Series 2020-NPL1, Class A1(1)(3) | | | 2,481,160 | | | | 2,493,170 | |
VCAT 2021-NPL1 LLC | | | | | | | | |
2.29%, 12/26/2050, Series 2021-NPL1, Class A1(1)(3) | | | 3,191,987 | | | | 3,200,360 | |
Venture 32 CLO Ltd. | | | | | | | | |
1.29% (3 Month LIBOR USD + 1.10%, 1.10% Floor), 07/18/2031, Series 2018-32A, Class A1(2)(3) | | | 6,000,000 | | | | 6,000,600 | |
Verizon Master Trust | | | | | | | | |
0.50%, 05/20/2027, Series 2021-1, Class A | | | 10,714,000 | | | | 10,689,249 | |
Verizon Owner Trust 2018-A | | | | | | | | |
3.23%, 04/20/2023, Series 2018-A, Class A1A | | | 2,686,554 | | | | 2,705,044 | |
Verizon Owner Trust 2019-A | | | | | | | | |
2.93%, 09/20/2023, Series 2019-A, Class A1A | | | 3,682,558 | | | | 3,726,502 | |
Verizon Owner Trust 2020-A | | | | | | | | |
1.85%, 07/22/2024, Series 2020-A, Class A1A | | | 9,704,000 | | | | 9,871,397 | |
Veros Auto Receivables Trust 2021-1 | | | | | | | | |
0.92%, 10/15/2026, Series 2021-1, Class A(3) | | | 5,655,344 | | | | 5,655,249 | |
VM DEBT 2019-1 | | | | | | | | |
7.50%, 06/15/2024(12) | | | 7,000,000 | | | | 7,000,000 | |
Volkswagen Auto Loan Enhanced Trust 2020-1 | | | | | | | | |
0.98%, 11/20/2024, Series 2020-1, Class A3 | | | 5,114,000 | | | | 5,151,568 | |
1.26%, 08/20/2026, Series 2020-1, Class A4 | | | 1,923,000 | | | | 1,955,469 | |
VOLT XCIX LLC | | | | | | | | |
2.12%, 04/25/2051, Series 2021-NPL8, Class A1(1)(3) | | | 5,506,177 | | | | 5,519,250 | |
VOLT XCVI LLC | | | | | | | | |
2.12%, 03/27/2051, Series 2021-NPL5, Class A1(1)(3) | | | 14,882,549 | | | | 14,890,438 | |
VOLT XCVII LLC | | | | | | | | |
2.24%, 04/25/2051, Series 2021-NPL6, Class A1(1)(3) | | | 13,172,329 | | | | 13,174,831 | |
Voya CLO 2015-1 Ltd. | | | | | | | | |
1.09% (3 Month LIBOR USD + 0.90%, 0.90% Floor), 01/18/2029, Series 2015-1A, Class A1R(2)(3) | | | 5,663,989 | | | | 5,665,450 | |
VSE 2018-A Voi Mortgage LLC | | | | | | | | |
3.56%, 02/20/2036, Series 2018-A, Class A(3) | | | 1,417,534 | | | | 1,490,648 | |
Westgate Resorts 2017-1 LLC | | | | | | | | |
3.05%, 12/20/2030, Series 2017-1A, Class A(3) | | | 305,617 | | | | 305,383 | |
4.05%, 12/20/2030, Series 2017-1A, Class B(3) | | | 543,931 | | | | 542,456 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Westgate Resorts 2020-1 LLC | | | | | | | | |
3.96%, 03/20/2034, Series 2020-1A, Class B(3) | | | 4,684,859 | | | | 4,835,004 | |
Westlake Automobile Receivables Trust 2019-3 | | | | | | | | |
2.15%, 02/15/2023, Series 2019-3A, Class A2(3) | | | 1,341,859 | | | | 1,344,473 | |
Westlake Automobile Receivables Trust 2020-3 | | | | | | | | |
0.56%, 05/15/2024, Series 2020-3A, Class A2(3) | | | 9,838,656 | | | | 9,856,369 | |
1.65%, 02/17/2026, Series 2020-3A, Class D(3) | | | 1,875,000 | | | | 1,898,528 | |
World Financial Network Credit Card Master Trust | | | | | | | | |
3.14%, 12/15/2025, Series 2019-A, Class A | | | 5,660,000 | | | | 5,763,425 | |
World Omni Auto Receivables Trust 2018-D | | | | | | | | |
3.33%, 04/15/2024, Series 2018-D, Class A3 | | | 8,395,735 | | | | 8,518,371 | |
World Omni Auto Receivables Trust 2019-B | | | | | | | | |
2.59%, 07/15/2024, Series 2019-B, Class A3 | | | 4,045,923 | | | | 4,093,440 | |
World Omni Auto Receivables Trust 2019-C | | | | | | | | |
1.96%, 12/16/2024, Series 2019-C, Class A3 | | | 5,525,000 | | | | 5,590,422 | |
World Omni Auto Receivables Trust 2020-C | | | | | | | | |
0.48%, 11/17/2025, Series 2020-C, Class A3 | | | 2,227,000 | | | | 2,232,965 | |
0.61%, 10/15/2026, Series 2020-C, Class A4 | | | 3,043,000 | | | | 3,051,340 | |
World Omni Select Auto Trust 2020-A | | | | | | | | |
0.47%, 06/17/2024, Series 2020-A, Class A2 | | | 4,511,981 | | | | 4,515,534 | |
0.55%, 07/15/2025, Series 2020-A, Class A3 | | | 3,022,000 | | | | 3,029,162 | |
York CLO 8 Ltd. | | | | | | | | |
1.69% (3 Month LIBOR USD + 1.50%, 1.50% Floor), 04/20/2032, Series 2020-1A, Class A1(2)(3) | | | 25,000,000 | | | | 25,082,450 | |
Zais CLO 7 Ltd. | | | | | | | | |
1.47% (3 Month LIBOR USD + 1.29%), 04/15/2030, Series 2017-2A, Class A(2)(3) | | | 9,382,037 | | | | 9,388,951 | |
Zais CLO 8 Ltd. | | | | | | | | |
1.13% (3 Month LIBOR USD + 0.95%), 04/15/2029, Series 2018-1A, Class A(2)(3) | | | 38,682,127 | | | | 38,641,666 | |
| | | | | | | | |
Total Asset-Backed Obligations (Cost: $1,893,245,863) | | | | | | | 1,910,323,284 | |
| | | | | | | | |
Corporate Bonds – 32.58% | | | | | | | | |
Basic Materials – 1.03% | | | | | | | | |
Air Liquide Finance SA | | | | | | | | |
2.25%, 09/27/2023(3) | | | 550,000 | | | | 569,802 | |
Albemarle Corp. | | | | | | | | |
5.45%, 12/01/2044 | | | 600,000 | | | | 758,607 | |
Anglo American Capital Plc | | | | | | | | |
2.63%, 09/10/2030(3) | | | 1,287,000 | | | | 1,291,868 | |
2.88%, 03/17/2031(3) | | | 6,709,000 | | | | 6,858,405 | |
3.63%, 09/11/2024(3) | | | 630,000 | | | | 678,801 | |
4.00%, 09/11/2027(3) | | | 1,020,000 | | | | 1,130,848 | |
5.63%, 04/01/2030(3) | | | 4,300,000 | | | | 5,261,157 | |
Barrick Gold Corp. | | | | | | | | |
6.45%, 10/15/2035 | | | 203,000 | | | | 280,388 | |
Barrick North America Finance LLC | | | | | | | | |
5.75%, 05/01/2043 | | | 4,480,000 | | | | 6,315,919 | |
CF Industries, Inc. | | | | | | | | |
5.38%, 03/15/2044 | | | 2,040,000 | | | | 2,527,968 | |
Chevron Phillips Chemical Co. LLC | | | | | | | | |
5.13%, 04/01/2025(3) | | | 1,705,000 | | | | 1,951,782 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Dow Chemical Co. | | | | | | | | |
4.55%, 11/30/2025 | | | 6,660,000 | | | | 7,582,204 | |
5.55%, 11/30/2048 | | | 3,005,000 | | | | 4,218,744 | |
DuPont de Nemours, Inc. | | | | | | | | |
5.32%, 11/15/2038 | | | 5,665,000 | | | | 7,492,009 | |
5.42%, 11/15/2048 | | | 1,200,000 | | | | 1,666,142 | |
Ecolab, Inc. | | | | | | | | |
3.25%, 01/14/2023 | | | 452,000 | | | | 470,673 | |
FMC Corp. | | | | | | | | |
3.95%, 02/01/2022 | | | 1,725,000 | | | | 1,744,629 | |
Glencore Finance Canada Ltd. | | | | | | | | |
4.25%, 10/25/2022(3) | | | 5,000,000 | | | | 5,229,850 | |
4.95%, 11/15/2021(3) | | | 2,030,000 | | | | 2,063,219 | |
Glencore Funding LLC | | | | | | | | |
1.63%, 09/01/2025(3) | | | 5,200,000 | | | | 5,259,121 | |
2.50%, 09/01/2030(3) | | | 5,040,000 | | | | 5,027,685 | |
3.88%, 10/27/2027(3) | | | 875,000 | | | | 962,325 | |
3.88%, 04/27/2051(3) | | | 1,000,000 | | | | 1,047,202 | |
4.00%, 03/27/2027(3) | | | 6,300,000 | | | | 6,982,624 | |
4.13%, 05/30/2023(3) | | | 1,055,000 | | | | 1,122,137 | |
4.63%, 04/29/2024(3) | | | 1,500,000 | | | | 1,644,150 | |
Indonesia Asahan Aluminium Persero PT | | | | | | | | |
4.75%, 05/15/2025(3) | | | 2,875,000 | | | | 3,169,486 | |
6.76%, 11/15/2048(3) | | | 937,000 | | | | 1,214,240 | |
International Flavors & Fragrances, Inc. | | | | | | | | |
1.83%, 10/15/2027(3) | | | 2,105,000 | | | | 2,099,020 | |
3.27%, 11/15/2040(3) | | | 1,205,000 | | | | 1,236,919 | |
3.47%, 12/01/2050(3) | | | 930,000 | | | | 966,698 | |
4.45%, 09/26/2028 | | | 720,000 | | | | 832,497 | |
International Paper Co. | | | | | | | | |
8.70%, 06/15/2038 | | | 350,000 | | | | 583,854 | |
LYB International Finance BV | | | | | | | | |
4.88%, 03/15/2044 | | | 300,000 | | | | 373,476 | |
5.25%, 07/15/2043 | | | 610,000 | | | | 788,785 | |
LYB International Finance III LLC | | | | | | | | |
1.25%, 10/01/2025 | | | 705,000 | | | | 703,237 | |
3.38%, 05/01/2030 | | | 2,170,000 | | | | 2,351,304 | |
4.20%, 05/01/2050 | | | 4,711,000 | | | | 5,420,540 | |
LyondellBasell Industries NV | | | | | | | | |
5.75%, 04/15/2024 | | | 2,550,000 | | | | 2,854,082 | |
Mosaic Co. | | | | | | | | |
4.25%, 11/15/2023 | | | 8,533,000 | | | | 9,164,864 | |
5.63%, 11/15/2043 | | | 2,055,000 | | | | 2,682,354 | |
Nucor Corp. | | | | | | | | |
2.98%, 12/15/2055(3) | | | 800,000 | | | | 773,122 | |
Nutrien Ltd. | | | | | | | | |
3.15%, 10/01/2022 | | | 875,000 | | | | 898,154 | |
4.13%, 03/15/2035 | | | 1,960,000 | | | | 2,237,823 | |
4.20%, 04/01/2029 | | | 420,000 | | | | 483,057 | |
5.25%, 01/15/2045 | | | 1,900,000 | | | | 2,530,478 | |
PPG Industries, Inc. | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
1.20%, 03/15/2026 | | | 1,355,000 | | | | 1,351,547 | |
Reliance Steel & Aluminum Co. | | | | | | | | |
2.15%, 08/15/2030 | | | 3,100,000 | | | | 3,054,114 | |
Rio Tinto Alcan, Inc. | | | | | | | | |
5.75%, 06/01/2035 | | | 54,000 | | | | 74,197 | |
Samarco Mineracao SA | | | | | | | | |
5.75%, 10/24/2023(3)(6) | | | 537,000 | | | | 416,175 | |
Sasol Financing USA LLC | | | | | | | | |
5.88%, 03/27/2024 | | | 3,249,000 | | | | 3,469,932 | |
6.50%, 09/27/2028 | | | 1,555,000 | | | | 1,749,375 | |
Solvay Finance America LLC | | | | | | | | |
4.45%, 12/03/2025(3) | | | 11,810,000 | | | | 13,247,377 | |
Southern Copper Corp. | | | | | | | | |
5.25%, 11/08/2042 | | | 1,000,000 | | | | 1,280,000 | |
Steel Dynamics, Inc. | | | | | | | | |
1.65%, 10/15/2027 | | | 1,637,000 | | | | 1,631,509 | |
3.45%, 04/15/2030 | | | 823,000 | | | | 895,299 | |
Teck Resources Ltd. | | | | | | | | |
3.90%, 07/15/2030 | | | 1,200,000 | | | | 1,292,983 | |
6.25%, 07/15/2041 | | | 2,005,000 | | | | 2,620,053 | |
Union Carbide Corp. | | | | | | | | |
7.75%, 10/01/2096 | | | 681,000 | | | | 1,131,328 | |
Vale Overseas Ltd. | | | | | | | | |
3.75%, 07/08/2030 | | | 4,255,000 | | | | 4,530,298 | |
6.25%, 08/10/2026 | | | 15,503,000 | | | | 18,650,109 | |
6.88%, 11/21/2036 | | | 167,000 | | | | 228,909 | |
6.88%, 11/10/2039 | | | 2,107,000 | | | | 2,947,208 | |
8.25%, 01/17/2034 | | | 2,394,000 | | | | 3,495,240 | |
| | | | | | | | |
Total Basic Materials | | | | 183,567,902 | |
| | | | | | | | |
Communications – 2.89% | | | | | | | | |
Amazon.com, Inc. | | | | | | | | |
3.10%, 05/12/2051 | | | 4,236,000 | | | | 4,449,634 | |
3.25%, 05/12/2061 | | | 5,864,000 | | | | 6,179,775 | |
3.88%, 08/22/2037 | | | 1,700,000 | | | | 2,027,166 | |
America Movil SAB de CV | | | | | | | | |
3.13%, 07/16/2022 | | | 374,000 | | | | 384,218 | |
3.63%, 04/22/2029 | | | 6,036,000 | | | | 6,656,320 | |
4.38%, 04/22/2049 | | | 1,214,000 | | | | 1,488,937 | |
AT&T, Inc. | | | | | | | | |
1.65%, 02/01/2028 | | | 2,075,000 | | | | 2,059,548 | |
2.25%, 02/01/2032 | | | 3,510,000 | | | | 3,444,924 | |
2.30%, 06/01/2027 | | | 12,548,000 | | | | 12,978,432 | |
2.55%, 12/01/2033(3) | | | 17,519,000 | | | | 17,355,053 | |
3.10%, 02/01/2043 | | | 5,270,000 | | | | 5,163,812 | |
3.50%, 06/01/2041 | | | 1,353,000 | | | | 1,405,451 | |
3.50%, 09/15/2053(3) | | | 19,761,000 | | | | 19,853,295 | |
3.55%, 09/15/2055(3) | | | 9,196,000 | | | | 9,226,833 | |
3.65%, 09/15/2059(3) | | | 1,685,000 | | | | 1,708,756 | |
3.80%, 12/01/2057(3) | | | 987,000 | | | | 1,028,338 | |
4.50%, 05/15/2035 | | | 5,500,000 | | | | 6,456,008 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
4.65%, 06/01/2044 | | | 2,145,000 | | | | 2,526,677 | |
6.00%, 08/15/2040 | | | 2,275,000 | | | | 3,083,913 | |
6.38%, 03/01/2041 | | | 7,828,000 | | | | 11,237,155 | |
Booking Holdings, Inc. | | | | | | | | |
2.75%, 03/15/2023 | | | 857,000 | | | | 889,843 | |
Charter Communications Operating LLC | | | | | | | | |
2.30%, 02/01/2032 | | | 4,000,000 | | | | 3,845,687 | |
3.50%, 06/01/2041 | | | 7,240,000 | | | | 7,289,013 | |
3.70%, 04/01/2051 | | | 4,320,000 | | | | 4,272,768 | |
3.75%, 02/15/2028 | | | 2,215,000 | | | | 2,442,827 | |
3.85%, 04/01/2061 | | | 3,577,000 | | | | 3,510,814 | |
3.90%, 06/01/2052 | | | 2,310,000 | | | | 2,352,057 | |
4.91%, 07/23/2025 | | | 17,065,000 | | | | 19,333,125 | |
5.05%, 03/30/2029 | | | 9,119,000 | | | | 10,771,282 | |
5.38%, 04/01/2038 | | | 835,000 | | | | 1,026,029 | |
5.38%, 05/01/2047 | | | 4,610,000 | | | | 5,649,141 | |
6.38%, 10/23/2035 | | | 5,867,000 | | | | 7,842,226 | |
6.48%, 10/23/2045 | | | 1,275,000 | | | | 1,755,907 | |
6.83%, 10/23/2055 | | | 690,000 | | | | 1,015,662 | |
Comcast Cable Holdings LLC | | | | | | | | |
10.13%, 04/15/2022 | | | 186,000 | | | | 200,061 | |
Comcast Corp. | | | | | | | | |
1.95%, 01/15/2031 | | | 2,710,000 | | | | 2,671,581 | |
3.15%, 03/01/2026 | | | 1,716,000 | | | | 1,866,931 | |
3.15%, 02/15/2028 | | | 1,500,000 | | | | 1,646,135 | |
3.25%, 11/01/2039 | | | 3,295,000 | | | | 3,504,683 | |
3.55%, 05/01/2028 | | | 886,000 | | | | 990,993 | |
3.60%, 03/01/2024 | | | 542,000 | | | | 585,629 | |
3.75%, 04/01/2040 | | | 2,195,000 | | | | 2,474,380 | |
3.90%, 03/01/2038 | | | 455,000 | | | | 523,562 | |
3.97%, 11/01/2047 | | | 154,000 | | | | 179,292 | |
4.00%, 11/01/2049 | | | 638,000 | | | | 751,309 | |
4.05%, 11/01/2052 | | | 300,000 | | | | 357,080 | |
4.20%, 08/15/2034 | | | 555,000 | | | | 657,289 | |
4.25%, 01/15/2033 | | | 3,107,000 | | | | 3,702,808 | |
4.60%, 10/15/2038 | | | 4,729,000 | | | | 5,861,132 | |
4.95%, 10/15/2058 | | | 2,000,000 | | | | 2,765,627 | |
Corning, Inc. | | | | | | | | |
5.35%, 11/15/2048 | | | 960,000 | | | | 1,289,708 | |
Cox Communications, Inc. | | | | | | | | |
1.80%, 10/01/2030(3) | | | 2,118,000 | | | | 2,018,614 | |
2.60%, 06/15/2031(3) | | | 15,920,000 | | | | 16,158,692 | |
2.95%, 10/01/2050(3) | | | 1,275,000 | | | | 1,207,778 | |
3.35%, 09/15/2026(3) | | | 369,000 | | | | 400,700 | |
3.50%, 08/15/2027(3) | | | 8,245,000 | | | | 9,051,126 | |
3.60%, 06/15/2051(3) | | | 1,250,000 | | | | 1,316,285 | |
3.85%, 02/01/2025(3) | | | 1,250,000 | | | | 1,360,326 | |
4.80%, 02/01/2035(3) | | | 6,000,000 | | | | 7,271,599 | |
Crown Castle Towers LLC | | | | | | | | |
3.22%, 05/15/2022(3) | | | 589,000 | | | | 590,209 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
3.66%, 05/15/2025(3) | | | 955,000 | | | | 1,019,879 | |
Deutsche Telekom International Finance BV | | | | | | | | |
4.88%, 03/06/2042(3) | | | 240,000 | | | | 297,918 | |
8.75%, 06/15/2030 | | | 49,000 | | | | 73,423 | |
Discovery Communications LLC | | | | | | | | |
3.63%, 05/15/2030 | | | 2,500,000 | | | | 2,727,450 | |
5.20%, 09/20/2047 | | | 1,375,000 | | | | 1,708,835 | |
eBay, Inc. | | | | | | | | |
2.60%, 05/10/2031 | | | 8,000,000 | | | | 8,139,691 | |
Grupo Televisa SAB | | | | | | | | |
6.13%, 01/31/2046 | | | 382,000 | | | | 521,128 | |
Level 3 Financing, Inc. | | | | | | | | |
3.40%, 03/01/2027(3) | | | 7,000,000 | | | | 7,421,050 | |
NBCUniversal Media LLC | | | | | | | | |
4.45%, 01/15/2043 | | | 15,000 | | | | 18,399 | |
5.95%, 04/01/2041 | | | 527,000 | | | | 758,787 | |
NBN Co. Ltd. | | | | | | | | |
2.63%, 05/05/2031(3) | | | 14,200,000 | | | | 14,545,486 | |
Qwest Corp. | | | | | | | | |
6.75%, 12/01/2021 | | | 3,866,000 | | | | 3,957,818 | |
Rogers Communications, Inc. | | | | | | | | |
4.35%, 05/01/2049 | | | 1,335,000 | | | | 1,571,295 | |
Sky Ltd. | | | | | | | | |
3.75%, 09/16/2024(3) | | | 287,000 | | | | 313,681 | |
TCI Communications, Inc. | | | | | | | | |
7.13%, 02/15/2028 | | | 138,000 | | | | 184,606 | |
Telecom Italia Capital SA | | | | | | | | |
7.20%, 07/18/2036 | | | 1,644,000 | | | | 2,120,760 | |
Telefonica Emisiones SA | | | | | | | | |
4.10%, 03/08/2027 | | | 4,775,000 | | | | 5,374,518 | |
4.67%, 03/06/2038 | | | 1,175,000 | | | | 1,381,758 | |
4.90%, 03/06/2048 | | | 4,575,000 | | | | 5,478,251 | |
Tencent Holdings Ltd. | | | | | | | | |
3.84%, 04/22/2051(3) | | | 3,088,000 | | | | 3,324,608 | |
Time Warner Cable LLC | | | | | | | | |
5.50%, 09/01/2041 | | | 6,815,000 | | | | 8,447,053 | |
5.88%, 11/15/2040 | | | 1,275,000 | | | | 1,649,275 | |
6.55%, 05/01/2037 | | | 375,000 | | | | 510,837 | |
6.75%, 06/15/2039 | | | 539,000 | | | | 750,350 | |
7.30%, 07/01/2038 | | | 1,418,000 | | | | 2,070,886 | |
Time Warner Entertainment Co. LP | | | | | | | | |
8.38%, 07/15/2033 | | | 529,000 | | | | 801,557 | |
T-Mobile USA, Inc. | | | | | | | | |
1.50%, 02/15/2026 | | | 4,345,000 | | | | 4,378,196 | |
2.05%, 02/15/2028 | | | 5,330,000 | | | | 5,410,856 | |
3.00%, 02/15/2041 | | | 3,230,000 | | | | 3,190,174 | |
3.30%, 02/15/2051 | | | 445,000 | | | | 444,266 | |
3.50%, 04/15/2025 | | | 7,120,000 | | | | 7,716,976 | |
3.75%, 04/15/2027 | | | 8,801,000 | | | | 9,725,105 | |
3.88%, 04/15/2030 | | | 38,285,000 | | | | 42,795,739 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
TWDC Enterprises 18 Corp. | | | | | | | | |
3.00%, 07/30/2046 | | | 160,000 | | | | 164,885 | |
Verizon Communications, Inc. | | | | | | | | |
1.68%, 10/30/2030 | | | 765,000 | | | | 730,462 | |
2.10%, 03/22/2028 | | | 3,415,000 | | | | 3,486,426 | |
2.55%, 03/21/2031 | | | 8,095,000 | | | | 8,274,102 | |
2.65%, 11/20/2040 | | | 2,329,000 | | | | 2,241,237 | |
2.99%, 10/30/2056 | | | 4,507,000 | | | | 4,236,750 | |
3.15%, 03/22/2030 | | | 5,000,000 | | | | 5,398,856 | |
3.40%, 03/22/2041 | | | 1,500,000 | | | | 1,586,764 | |
3.70%, 03/22/2061 | | | 8,818,000 | | | | 9,444,594 | |
4.02%, 12/03/2029 | | | 712,000 | | | | 816,392 | |
4.13%, 03/16/2027 | | | 2,800,000 | | | | 3,188,749 | |
4.27%, 01/15/2036 | | | 7,668,000 | | | | 9,123,579 | |
4.40%, 11/01/2034 | | | 4,843,000 | | | | 5,769,015 | |
4.50%, 08/10/2033 | | | 7,079,000 | | | | 8,459,179 | |
4.52%, 09/15/2048 | | | 1,065,000 | | | | 1,317,471 | |
4.81%, 03/15/2039 | | | 7,941,000 | | | | 10,058,688 | |
4.86%, 08/21/2046 | | | 7,405,000 | | | | 9,580,507 | |
ViacomCBS, Inc. | | | | | | | | |
2.90%, 01/15/2027 | | | 450,000 | | | | 477,784 | |
3.70%, 08/15/2024 | | | 399,000 | | | | 431,013 | |
3.70%, 06/01/2028 | | | 870,000 | | | | 967,641 | |
4.00%, 01/15/2026 | | | 1,000,000 | | | | 1,112,018 | |
4.38%, 03/15/2043 | | | 718,000 | | | | 830,767 | |
4.90%, 08/15/2044 | | | 315,000 | | | | 382,071 | |
5.85%, 09/01/2043 | | | 2,160,000 | | | | 2,959,450 | |
Vodafone Group Plc | | | | | | | | |
5.00%, 05/30/2038 | | | 3,300,000 | | | | 4,153,565 | |
5.25%, 05/30/2048 | | | 3,594,000 | | | | 4,735,690 | |
6.15%, 02/27/2037 | | | 4,600,000 | | | | 6,365,285 | |
Walt Disney Co. | | | | | | | | |
3.70%, 10/15/2025 | | | 380,000 | | | | 420,014 | |
6.20%, 12/15/2034 | | | 150,000 | | | | 212,949 | |
7.63%, 11/30/2028 | | | 310,000 | | | | 429,499 | |
8.88%, 04/26/2023 | | | 108,000 | | | | 124,122 | |
9.50%, 07/15/2024 | | | 175,000 | | | | 220,796 | |
| | | | | | | | |
Total Communications | | | | 516,645,086 | |
| | | | | | | | |
Consumer, Cyclical – 1.63% | | | | | | | | |
7-Eleven, Inc. | | | | | | | | |
0.95%, 02/10/2026(3) | | | 3,971,000 | | | | 3,899,579 | |
1.30%, 02/10/2028(3) | | | 1,274,000 | | | | 1,230,657 | |
2.50%, 02/10/2041(3) | | | 1,298,000 | | | | 1,208,485 | |
Air Canada 2013-1 Class A Pass Through Trust | | | | | | | | |
4.13%, 05/15/2025(3) | | | 1,459,931 | | | | 1,503,357 | |
Air Canada 2015-1 Class A Pass Through Trust | | | | | | | | |
3.60%, 03/15/2027(3) | | | 668,811 | | | | 679,904 | |
Air Canada 2015-2 Class AA Pass Through Trust | | | | | | | | |
3.75%, 12/15/2027(3) | | | 1,081,421 | | | | 1,123,135 | |
Air Canada 2017-1 Class A Pass Through Trust | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
3.55%, 01/15/2030(3) | | | 2,575,016 | | | | 2,505,676 | |
Air Canada 2017-1 Class AA Pass Through Trust | | | | | | | | |
3.30%, 01/15/2030(3) | | | 1,470,192 | | | | 1,487,374 | |
Alimentation Couche-Tard, Inc. | | | | | | | | |
2.95%, 01/25/2030(3) | | | 1,100,000 | | | | 1,141,356 | |
3.44%, 05/13/2041(3) | | | 2,460,000 | | | | 2,539,861 | |
3.63%, 05/13/2051(3) | | | 3,500,000 | | | | 3,657,364 | |
3.80%, 01/25/2050(3) | | | 2,100,000 | | | | 2,250,680 | |
American Airlines 2014-1 Class A Pass Through Trust | | | | | | | | |
3.70%, 10/01/2026 | | | 325,476 | | | | 330,783 | |
American Airlines 2015-1 Class A Pass Through Trust | | | | | | | | |
3.38%, 05/01/2027 | | | 2,971,455 | | | | 2,950,842 | |
American Airlines 2015-2 Class AA Pass Through Trust | | | | | | | | |
3.60%, 09/22/2027 | | | 541,848 | | | | 560,485 | |
American Airlines 2016-2 Class AA Pass Through Trust | | | | | | | | |
3.20%, 06/15/2028 | | | 1,196,240 | | | | 1,219,623 | |
American Airlines 2016-3 Class AA Pass Through Trust | | | | | | | | |
3.00%, 10/15/2028 | | | 2,221,005 | | | | 2,256,424 | |
American Airlines 2017-1 Class AA Pass Through Trust | | | | | | | | |
3.65%, 02/15/2029 | | | 1,873,235 | | | | 1,929,439 | |
American Honda Finance Corp. | | | | | | | | |
2.30%, 09/09/2026 | | | 185,000 | | | | 194,452 | |
2.90%, 02/16/2024 | | | 300,000 | | | | 317,239 | |
AutoZone, Inc. | | | | | | | | |
1.65%, 01/15/2031 | | | 3,800,000 | | | | 3,615,037 | |
BMW US Capital LLC | | | | | | | | |
2.25%, 09/15/2023(3) | | | 894,000 | | | | 925,836 | |
British Airways 2018-1 Class A Pass Through Trust | | | | | | | | |
4.13%, 09/20/2031(3) | | | 2,269,557 | | | | 2,307,549 | |
British Airways 2018-1 Class AA Pass Through Trust | | | | | | | | |
3.80%, 09/20/2031(3) | | | 1,071,636 | | | | 1,119,820 | |
British Airways 2019-1 Class AA Pass Through Trust | | | | | | | | |
3.30%, 12/15/2032(3) | | | 1,510,090 | | | | 1,536,101 | |
CK Hutchison International 21 Ltd. | | | | | | | | |
3.13%, 04/15/2041(3) | | | 4,291,000 | | | | 4,394,384 | |
Continental Airlines 2007-1 Class A Pass Through Trust | | | | | | | | |
5.98%, 04/19/2022 | | | 2,709,220 | | | | 2,770,399 | |
Continental Airlines 2012-1 Class A Pass Through Trust | | | | | | | | |
4.15%, 04/11/2024 | | | 1,000,312 | | | | 1,062,575 | |
Continental Airlines 2012-2 Class A Pass Through Trust | | | | | | | | |
4.00%, 10/29/2024 | | | 4,156,505 | | | | 4,395,228 | |
Daimler Finance North America LLC | | | | | | | | |
3.35%, 02/22/2023(3) | | | 1,000,000 | | | | 1,045,552 | |
Delta Air Lines 2015-1 Class B Pass Through Trust | | | | | | | | |
4.25%, 07/30/2023 | | | 1,790,136 | | | | 1,825,608 | |
Dollar General Corp. | | | | | | | | |
4.13%, 05/01/2028 | | | 835,000 | | | | 956,233 | |
Dollar Tree, Inc. | | | | | | | | |
4.20%, 05/15/2028 | | | 3,695,000 | | | | 4,215,117 | |
Ford Motor Co. | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.29%, 12/08/2046 | | | 280,000 | | | | 312,726 | |
Ford Motor Credit Co. LLC | | | | | | | | |
3.34%, 03/28/2022 | | | 3,000,000 | | | | 3,044,100 | |
3.35%, 11/01/2022 | | | 620,000 | | | | 635,438 | |
3.81%, 10/12/2021 | | | 6,200,000 | | | | 6,246,500 | |
4.25%, 09/20/2022 | | | 3,800,000 | | | | 3,923,766 | |
5.88%, 08/02/2021 | | | 4,100,000 | | | | 4,120,910 | |
General Motors Co. | | | | | | | | |
5.00%, 04/01/2035 | | | 4,591,000 | | | | 5,545,337 | |
5.20%, 04/01/2045 | | | 2,750,000 | | | | 3,398,915 | |
5.95%, 04/01/2049 | | | 3,028,000 | | | | 4,121,968 | |
6.13%, 10/01/2025 | | | 1,205,000 | | | | 1,426,482 | |
6.25%, 10/02/2043 | | | 3,100,000 | | | | 4,279,528 | |
6.60%, 04/01/2036 | | | 685,000 | | | | 940,194 | |
General Motors Financial Co., Inc. | | | | | | | | |
1.25%, 01/08/2026 | | | 4,283,000 | | | | 4,254,457 | |
1.50%, 06/10/2026 | | | 9,557,000 | | | | 9,494,659 | |
2.35%, 01/08/2031 | | | 2,862,000 | | | | 2,823,935 | |
2.70%, 08/20/2027 | | | 2,585,000 | | | | 2,686,135 | |
2.70%, 06/10/2031 | | | 2,395,000 | | | | 2,403,610 | |
3.15%, 06/30/2022 | | | 1,120,000 | | | | 1,146,834 | |
3.45%, 01/14/2022 | | | 6,500,000 | | | | 6,590,619 | |
3.45%, 04/10/2022 | | | 4,820,000 | | | | 4,908,747 | |
3.70%, 05/09/2023 | | | 4,180,000 | | | | 4,388,328 | |
3.95%, 04/13/2024 | | | 5,535,000 | | | | 5,954,579 | |
4.00%, 01/15/2025 | | | 2,231,000 | | | | 2,430,516 | |
4.30%, 07/13/2025 | | | 1,765,000 | | | | 1,950,565 | |
4.35%, 01/17/2027 | | | 1,035,000 | | | | 1,163,642 | |
4.38%, 09/25/2021 | | | 5,000,000 | | | | 5,046,458 | |
Home Depot, Inc. | | | | | | | | |
4.40%, 03/15/2045 | | | 268,000 | | | | 339,967 | |
Hyundai Capital America | | | | | | | | |
1.15%, 11/10/2022(3) | | | 5,552,000 | | | | 5,588,971 | |
1.30%, 01/08/2026(3) | | | 1,005,000 | | | | 993,189 | |
1.50%, 06/15/2026(3) | | | 20,760,000 | | | | 20,597,370 | |
1.80%, 10/15/2025(3) | | | 1,190,000 | | | | 1,207,407 | |
1.80%, 01/10/2028(3) | | | 2,170,000 | | | | 2,150,584 | |
2.38%, 10/15/2027(3) | | | 1,200,000 | | | | 1,226,815 | |
3.00%, 02/10/2027(3) | | | 675,000 | | | | 715,099 | |
3.10%, 04/05/2022(3) | | | 2,500,000 | | | | 2,547,591 | |
3.40%, 06/20/2024(3) | | | 1,500,000 | | | | 1,599,061 | |
Hyundai Capital Services, Inc. | | | | | | | | |
3.00%, 03/06/2022(3) | | | 3,725,000 | | | | 3,787,058 | |
Kia Corp. | | | | | | | | |
1.75%, 10/16/2026(3) | | | 1,620,000 | | | | 1,634,489 | |
Kohl’s Corp. | | | | | | | | |
3.38%, 05/01/2031 | | | 2,500,000 | | | | 2,588,166 | |
Lennar Corp. | | | | | | | | |
4.50%, 04/30/2024 | | | 880,000 | | | | 962,500 | |
Lowe’s Companies, Inc. | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
1.70%, 10/15/2030 | | | 2,300,000 | | | | 2,204,841 | |
2.63%, 04/01/2031 | | | 19,141,000 | | | | 19,777,897 | |
3.65%, 04/05/2029 | | | 1,701,000 | | | | 1,902,671 | |
McDonald’s Corp. | | | | | | | | |
4.45%, 03/01/2047 | | | 360,000 | | | | 440,736 | |
4.70%, 12/09/2035 | | | 216,000 | | | | 267,742 | |
6.30%, 10/15/2037 | | | 394,000 | | | | 563,744 | |
MDC Holdings, Inc. | | | | | | | | |
2.50%, 01/15/2031 | | | 1,595,000 | | | | 1,553,753 | |
Nissan Motor Co. Ltd. | | | | | | | | |
4.35%, 09/17/2027(3) | | | 4,222,000 | | | | 4,640,972 | |
4.81%, 09/17/2030(3) | | | 2,686,000 | | | | 3,032,602 | |
Nordstrom, Inc. | | | | | | | | |
4.00%, 03/15/2027 | | | 2,511,000 | | | | 2,605,514 | |
4.25%, 08/01/2031(3) | | | 2,871,000 | | | | 2,990,143 | |
O’Reilly Automotive, Inc. | | | | | | | | |
3.55%, 03/15/2026 | | | 500,000 | | | | 551,118 | |
3.60%, 09/01/2027 | | | 802,000 | | | | 897,741 | |
Ross Stores, Inc. | | | | | | | | |
1.88%, 04/15/2031 | | | 11,995,000 | | | | 11,614,109 | |
Spirit Airlines Pass Through Trust 2017-1AA | | | | | | | | |
3.38%, 02/15/2030 | | | 822,302 | | | | 834,615 | |
Starbucks Corp. | | | | | | | | |
2.55%, 11/15/2030 | | | 1,480,000 | | | | 1,533,504 | |
Toll Brothers Finance Corp. | | | | | | | | |
4.88%, 11/15/2025 | | | 1,705,000 | | | | 1,913,632 | |
United Airlines 2013-1 Class A Pass Through Trust | | | | | | | | |
4.30%, 08/15/2025 | | | 542,306 | | | | 573,553 | |
United Airlines 2014-1 Class A Pass Through Trust | | | | | | | | |
4.00%, 04/11/2026 | | | 751,898 | | | | 792,688 | |
United Airlines 2016-1 Class A Pass Through Trust | | | | | | | | |
3.45%, 07/07/2028 | | | 1,447,196 | | | | 1,471,263 | |
United Airlines 2016-1 Class AA Pass Through Trust | | | | | | | | |
3.10%, 07/07/2028 | | | 6,514,394 | | | | 6,863,053 | |
United Airlines 2016-1 Class B Pass Through Trust | | | | | | | | |
3.65%, 01/07/2026 | | | 1,851,694 | | | | 1,838,591 | |
United Airlines 2016-2 Class A Pass Through Trust | | | | | | | | |
3.10%, 10/07/2028 | | | 2,444,949 | | | | 2,467,580 | |
United Airlines 2016-2 Class AA Pass Through Trust | | | | | | | | |
2.88%, 10/07/2028 | | | 1,466,970 | | | | 1,497,349 | |
United Airlines 2016-2 Class B Pass Through Trust | | | | | | | | |
3.65%, 10/07/2025 | | | 2,240,741 | | | | 2,240,192 | |
United Airlines 2018-1 Class A Pass Through Trust | | | | | | | | |
3.70%, 03/01/2030 | | | 3,414,578 | | | | 3,477,630 | |
United Airlines 2018-1 Class AA Pass Through Trust | | | | | | | | |
3.50%, 03/01/2030 | | | 2,233,390 | | | | 2,335,845 | |
United Airlines 2018-1 Class B Pass Through Trust | | | | | | | | |
4.60%, 03/01/2026 | | | 455,393 | | | | 470,140 | |
United Airlines 2019-1 Class A Pass Through Trust | | | | | | | | |
4.55%, 08/25/2031 | | | 1,939,636 | | | | 2,080,973 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
United Airlines 2019-1 Class AA Pass Through Trust | | | | | | | | |
4.15%, 08/25/2031 | | | 2,220,202 | | | | 2,428,317 | |
United Airlines 2019-2 Class AA Pass Through Trust | | | | | | | | |
2.70%, 05/01/2032 | | | 2,791,050 | | | | 2,797,272 | |
Volkswagen Group of America Finance LLC | | | | | | | | |
1.63%, 11/24/2027(3) | | | 1,670,000 | | | | 1,649,635 | |
| | | | | | | | |
Total Consumer, Cyclical | | | | 292,642,784 | |
| | | | | | | | |
Consumer, Non-cyclical – 4.32% | | | | | | | | |
Abbott Laboratories | | | | | | | | |
1.15%, 01/30/2028 | | | 1,390,000 | | | | 1,363,692 | |
4.75%, 11/30/2036 | | | 5,000,000 | | | | 6,438,362 | |
AbbVie, Inc. | | | | | | | | |
2.60%, 11/21/2024 | | | 8,919,000 | | | | 9,404,613 | |
2.80%, 03/15/2023 | | | 971,000 | | | | 1,003,187 | |
2.85%, 05/14/2023 | | | 4,900,000 | | | | 5,099,052 | |
3.25%, 10/01/2022 | | | 4,000,000 | | | | 4,112,625 | |
3.45%, 03/15/2022 | | | 1,238,000 | | | | 1,258,876 | |
3.60%, 05/14/2025 | | | 12,060,000 | | | | 13,159,833 | |
3.80%, 03/15/2025 | | | 3,000,000 | | | | 3,281,539 | |
3.85%, 06/15/2024 | | | 1,198,000 | | | | 1,299,297 | |
4.05%, 11/21/2039 | | | 9,038,000 | | | | 10,496,965 | |
4.25%, 11/21/2049 | | | 11,691,000 | | | | 14,011,831 | |
4.40%, 11/06/2042 | | | 1,700,000 | | | | 2,064,243 | |
4.45%, 05/14/2046 | | | 425,000 | | | | 513,239 | |
4.55%, 03/15/2035 | | | 6,025,000 | | | | 7,312,603 | |
4.70%, 05/14/2045 | | | 4,415,000 | | | | 5,497,759 | |
4.88%, 11/14/2048 | | | 2,353,000 | | | | 3,030,897 | |
5.00%, 12/15/2021 | | | 3,500,000 | | | | 3,533,692 | |
Aetna, Inc. | | | | | | | | |
4.50%, 05/15/2042 | | | 4,205,000 | | | | 5,023,896 | |
4.75%, 03/15/2044 | | | 1,800,000 | | | | 2,229,764 | |
6.75%, 12/15/2037 | | | 341,000 | | | | 503,035 | |
Ahold Finance USA LLC | | | | | | | | |
6.88%, 05/01/2029 | | | 3,280,000 | | | | 4,418,949 | |
AHS Hospital Corp. | | | | | | | | |
2.78%, 07/01/2051 | | | 2,730,000 | | | | 2,697,103 | |
Altria Group, Inc. | | | | | | | | |
2.45%, 02/04/2032 | | | 3,845,000 | | | | 3,718,429 | |
3.40%, 02/04/2041 | | | 8,495,000 | | | | 8,099,486 | |
AmerisourceBergen Corp. | | | | | | | | |
4.30%, 12/15/2047 | | | 1,080,000 | | | | 1,258,779 | |
Amgen, Inc. | | | | | | | | |
2.20%, 02/21/2027 | | | 1,155,000 | | | | 1,199,250 | |
2.70%, 05/01/2022 | | | 5,600,000 | | | | 5,675,989 | |
3.15%, 02/21/2040 | | | 2,000,000 | | | | 2,084,003 | |
Anheuser-Busch InBev Finance, Inc. | | | | | | | | |
4.63%, 02/01/2044 | | | 455,000 | | | | 552,563 | |
Anheuser-Busch InBev Worldwide, Inc. | | | | | | | | |
4.35%, 06/01/2040 | | | 4,110,000 | | | | 4,891,886 | |
4.38%, 04/15/2038 | | | 2,240,000 | | | | 2,678,078 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
4.44%, 10/06/2048 | | | 590,000 | | | | 706,166 | |
4.50%, 06/01/2050 | | | 5,390,000 | | | | 6,559,578 | |
4.60%, 06/01/2060 | | | 1,910,000 | | | | 2,351,154 | |
4.70%, 02/01/2036 | | | 12,693,000 | | | | 15,578,670 | |
4.75%, 01/23/2029 | | | 1,150,000 | | | | 1,369,954 | |
4.75%, 04/15/2058 | | | 93,000 | | | | 116,607 | |
4.90%, 02/01/2046 | | | 9,520,000 | | | | 12,049,940 | |
4.95%, 01/15/2042 | | | 2,735,000 | | | | 3,464,515 | |
5.45%, 01/23/2039 | | | 7,035,000 | | | | 9,278,253 | |
Anthem, Inc. | | | | | | | | |
3.13%, 05/15/2022 | | | 484,000 | | | | 495,885 | |
3.30%, 01/15/2023 | | | 271,000 | | | | 282,674 | |
3.50%, 08/15/2024 | | | 694,000 | | | | 747,509 | |
3.60%, 03/15/2051 | | | 4,420,000 | | | | 4,858,284 | |
4.10%, 03/01/2028 | | | 920,000 | | | | 1,051,475 | |
4.38%, 12/01/2047 | | | 4,500,000 | | | | 5,488,454 | |
4.63%, 05/15/2042 | | | 400,000 | | | | 495,926 | |
4.65%, 01/15/2043 | | | 391,000 | | | | 487,144 | |
4.65%, 08/15/2044 | | | 395,000 | | | | 492,914 | |
5.10%, 01/15/2044 | | | 1,690,000 | | | | 2,223,058 | |
Ascension Health | | | | | | | | |
2.53%, 11/15/2029 | | | 1,740,000 | | | | 1,828,996 | |
3.11%, 11/15/2039 | | | 2,670,000 | | | | 2,849,872 | |
AstraZeneca Plc | | | | | | | | |
2.13%, 08/06/2050 | | | 1,040,000 | | | | 908,282 | |
4.00%, 09/18/2042 | | | 540,000 | | | | 642,773 | |
6.45%, 09/15/2037 | | | 500,000 | | | | 747,427 | |
Baptist Healthcare System Obligated Group | | | | | | | | |
3.54%, 08/15/2050 | | | 2,280,000 | | | | 2,455,137 | |
BAT Capital Corp. | | | | | | | | |
2.26%, 03/25/2028 | | | 2,000,000 | | | | 1,984,997 | |
2.73%, 03/25/2031 | | | 6,820,000 | | | | 6,733,231 | |
3.22%, 08/15/2024 | | | 7,145,000 | | | | 7,589,131 | |
3.73%, 09/25/2040 | | | 1,240,000 | | | | 1,211,619 | |
3.98%, 09/25/2050 | | | 2,500,000 | | | | 2,434,847 | |
4.54%, 08/15/2047 | | | 635,000 | | | | 675,273 | |
BAT International Finance Plc | | | | | | | | |
1.67%, 03/25/2026 | | | 1,390,000 | | | | 1,389,221 | |
Baxalta, Inc. | | | | | | | | |
3.60%, 06/23/2022 | | | 110,000 | | | | 112,879 | |
5.25%, 06/23/2045 | | | 50,000 | | | | 66,233 | |
Becton Dickinson & Co. | | | | | | | | |
3.73%, 12/15/2024 | | | 1,972,000 | | | | 2,147,406 | |
Bimbo Bakeries USA, Inc. | | | | | | | | |
4.00%, 05/17/2051(3) | | | 3,755,000 | | | | 4,032,129 | |
Biogen, Inc. | | | | | | | | |
2.25%, 05/01/2030 | | | 2,577,000 | | | | 2,584,022 | |
3.15%, 05/01/2050 | | | 650,000 | | | | 638,360 | |
Bon Secours Mercy Health, Inc. | | | | | | | | |
3.21%, 06/01/2050 | | | 1,730,000 | | | | 1,791,534 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Boston Scientific Corp. | | | | | | | | |
4.00%, 03/01/2029 | | | 2,317,000 | | | | 2,635,199 | |
4.55%, 03/01/2039 | | | 725,000 | | | | 885,588 | |
Bristol-Myers Squibb Co. | | | | | | | | |
0.54%, 11/13/2023 | | | 5,103,000 | | | | 5,109,111 | |
2.35%, 11/13/2040 | | | 3,651,000 | | | | 3,516,059 | |
4.13%, 06/15/2039 | | | 4,294,000 | | | | 5,181,986 | |
4.35%, 11/15/2047 | | | 7,950,000 | | | | 10,043,345 | |
4.55%, 02/20/2048 | | | 1,770,000 | | | | 2,308,884 | |
4.63%, 05/15/2044 | | | 2,640,000 | | | | 3,438,224 | |
5.00%, 08/15/2045 | | | 653,000 | | | | 892,501 | |
Bunge Ltd. Finance Corp. | | | | | | | | |
2.75%, 05/14/2031 | | | 3,900,000 | | | | 3,942,787 | |
Campbell Soup Co. | | | | | | | | |
2.38%, 04/24/2030 | | | 895,000 | | | | 901,634 | |
3.13%, 04/24/2050 | | | 494,000 | | | | 480,222 | |
Cargill, Inc. | | | | | | | | |
2.13%, 04/23/2030(3) | | | 2,783,000 | | | | 2,818,269 | |
3.25%, 03/01/2023(3) | | | 345,000 | | | | 361,642 | |
Centene Corp. | | | | | | | | |
2.45%, 07/15/2028 | | | 4,940,000 | | | | 5,006,690 | |
2.50%, 03/01/2031 | | | 1,618,000 | | | | 1,595,752 | |
Children’s Health System of Texas | | | | | | | | |
2.51%, 08/15/2050 | | | 2,270,000 | | | | 2,104,359 | |
Children’s Hospital | | | | | | | | |
2.93%, 07/15/2050 | | | 1,340,000 | | | | 1,330,847 | |
Children’s Hospital Corp. | | | | | | | | |
2.59%, 02/01/2050 | | | 1,290,000 | | | | 1,232,570 | |
Cigna Corp. | | | | | | | | |
3.05%, 11/30/2022 | | | 9,105,000 | | | | 9,423,937 | |
3.25%, 04/15/2025 | | | 970,000 | | | | 1,045,747 | |
4.38%, 10/15/2028 | | | 30,325,000 | | | | 35,268,953 | |
4.50%, 02/25/2026 | | | 755,000 | | | | 859,267 | |
4.80%, 07/15/2046 | | | 218,000 | | | | 276,448 | |
Coca-Cola Femsa SAB de CV | | | | | | | | |
1.85%, 09/01/2032 | | | 1,500,000 | | | | 1,449,525 | |
2.75%, 01/22/2030 | | | 1,370,000 | | | | 1,426,280 | |
CommonSpirit Health | | | | | | | | |
1.55%, 10/01/2025 | | | 1,290,000 | | | | 1,301,043 | |
2.78%, 10/01/2030 | | | 5,925,000 | | | | 6,148,388 | |
3.91%, 10/01/2050 | | | 1,265,000 | | | | 1,390,396 | |
Conagra Brands, Inc. | | | | | | | | |
1.38%, 11/01/2027 | | | 1,755,000 | | | | 1,712,617 | |
5.40%, 11/01/2048 | | | 1,902,000 | | | | 2,553,234 | |
7.00%, 10/01/2028 | | | 3,250,000 | | | | 4,329,991 | |
Constellation Brands, Inc. | | | | | | | | |
2.88%, 05/01/2030 | | | 3,620,000 | | | | 3,796,125 | |
4.40%, 11/15/2025 | | | 760,000 | | | | 857,152 | |
4.65%, 11/15/2028 | | | 4,780,000 | | | | 5,614,867 | |
Cottage Health Obligated Group | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
3.30%, 11/01/2049 | | | 3,560,000 | | | | 3,843,710 | |
CVS Health Corp. | | | | | | | | |
2.70%, 08/21/2040 | | | 2,500,000 | | | | 2,423,292 | |
4.30%, 03/25/2028 | | | 2,017,000 | | | | 2,317,345 | |
4.78%, 03/25/2038 | | | 7,088,000 | | | | 8,719,985 | |
4.88%, 07/20/2035 | | | 2,515,000 | | | | 3,062,866 | |
5.05%, 03/25/2048 | | | 6,313,000 | | | | 8,199,802 | |
5.13%, 07/20/2045 | | | 4,430,000 | | | | 5,761,879 | |
5.30%, 12/05/2043 | | | 3,260,000 | | | | 4,323,997 | |
CVS Pass-Through Trust | | | | | | | | |
5.77%, 01/10/2033(3) | | | 717,242 | | | | 850,130 | |
5.93%, 01/10/2034(3) | | | 537,795 | | | | 650,227 | |
7.51%, 01/10/2032(3) | | | 793,759 | | | | 1,005,557 | |
CVS Pass-Through Trust Series 2009 | | | | | | | | |
8.35%, 07/10/2031(3) | | | 801,324 | | | | 1,050,329 | |
DENTSPLY SIRONA, Inc. | | | | | | | | |
3.25%, 06/01/2030 | | | 3,000,000 | | | | 3,208,647 | |
DH Europe Finance II Sarl | | | | | | | | |
3.25%, 11/15/2039 | | | 431,000 | | | | 461,512 | |
Diageo Investment Corp. | | | | | | | | |
8.00%, 09/15/2022 | | | 516,000 | | | | 563,329 | |
Element Fleet Management Corp. | | | | | | | | |
1.60%, 04/06/2024(3) | | | 1,405,000 | | | | 1,427,858 | |
3.85%, 06/15/2025(3) | | | 3,000,000 | | | | 3,227,188 | |
ERAC USA Finance LLC | | | | | | | | |
4.50%, 08/16/2021(3) | | | 400,000 | | | | 402,051 | |
4.50%, 02/15/2045(3) | | | 300,000 | | | | 365,897 | |
5.63%, 03/15/2042(3) | | | 357,000 | | | | 486,698 | |
Experian Finance Plc | | | | | | | | |
2.75%, 03/08/2030(3) | | | 9,240,000 | | | | 9,549,392 | |
Fomento Economico Mexicano SAB de CV | | | | | | | | |
3.50%, 01/16/2050 | | | 2,290,000 | | | | 2,408,530 | |
4.38%, 05/10/2043 | | | 526,000 | | | | 625,183 | |
Ford Foundation | | | | | | | | |
2.82%, 06/01/2070 | | | 4,835,000 | | | | 4,851,151 | |
Fresenius Medical Care US Finance III, Inc. | | | | | | | | |
3.00%, 12/01/2031(3) | | | 8,000,000 | | | | 8,160,762 | |
General Mills, Inc. | | | | | | | | |
3.00%, 02/01/2051(3) | | | 3,007,000 | | | | 3,030,323 | |
Gilead Sciences, Inc. | | | | | | | | |
0.75%, 09/29/2023 | | | 6,637,000 | | | | 6,640,275 | |
1.65%, 10/01/2030 | | | 1,700,000 | | | | 1,643,252 | |
2.60%, 10/01/2040 | | | 1,855,000 | | | | 1,785,783 | |
4.60%, 09/01/2035 | | | 4,225,000 | | | | 5,169,560 | |
Global Payments, Inc. | | | | | | | | |
3.20%, 08/15/2029 | | | 2,300,000 | | | | 2,461,830 | |
Grupo Bimbo SAB de CV | | | | | | | | |
3.88%, 06/27/2024(3) | | | 5,000,000 | | | | 5,389,437 | |
4.70%, 11/10/2047(3) | | | 4,500,000 | | | | 5,289,231 | |
Hackensack Meridian Health, Inc. | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
2.68%, 09/01/2041 | | | 3,780,000 | | | | 3,705,403 | |
2.88%, 09/01/2050 | | | 2,000,000 | | | | 1,972,197 | |
Hartford HealthCare Corp. | | | | | | | | |
3.45%, 07/01/2054 | | | 3,370,000 | | | | 3,537,939 | |
HCA, Inc. | | | | | | | | |
3.50%, 07/15/2051 | | | 245,000 | | | | 244,888 | |
4.50%, 02/15/2027 | | | 7,000,000 | | | | 7,910,525 | |
5.13%, 06/15/2039 | | | 1,715,000 | | | | 2,142,253 | |
5.25%, 06/15/2026 | | | 4,200,000 | | | | 4,861,751 | |
5.50%, 06/15/2047 | | | 1,825,000 | | | | 2,376,920 | |
Hormel Foods Corp. | | | | | | | | |
3.05%, 06/03/2051 | | | 2,564,000 | | | | 2,658,433 | |
Johnson & Johnson | | | | | | | | |
4.38%, 12/05/2033 | | | 1,070,000 | | | | 1,338,836 | |
Keurig Dr Pepper, Inc. | | | | | | | | |
3.13%, 12/15/2023 | | | 925,000 | | | | 981,595 | |
3.43%, 06/15/2027 | | | 1,802,000 | | | | 1,986,449 | |
4.06%, 05/25/2023 | | | 2,299,000 | | | | 2,450,759 | |
4.42%, 05/25/2025 | | | 447,000 | | | | 501,466 | |
4.42%, 12/15/2046 | | | 4,032,000 | | | | 4,836,576 | |
4.99%, 05/25/2038 | | | 646,000 | | | | 823,383 | |
5.09%, 05/25/2048 | | | 500,000 | | | | 659,943 | |
Kimberly-Clark de Mexico SAB de CV | | | | | | | | |
2.43%, 07/01/2031(3) | | | 7,500,000 | | | | 7,425,675 | |
Kraft Heinz Foods Co. | | | | | | | | |
3.00%, 06/01/2026 | | | 3,353,000 | | | | 3,570,725 | |
4.38%, 06/01/2046 | | | 4,425,000 | | | | 5,014,404 | |
4.88%, 10/01/2049 | | | 3,375,000 | | | | 4,097,086 | |
Kroger Co. | | | | | | | | |
3.95%, 01/15/2050 | | | 1,600,000 | | | | 1,820,673 | |
4.45%, 02/01/2047 | | | 1,010,000 | | | | 1,202,319 | |
5.40%, 07/15/2040 | | | 95,000 | | | | 124,248 | |
Laboratory Corp. of America Holdings | | | | | | | | |
2.95%, 12/01/2029 | | | 2,190,000 | | | | 2,305,867 | |
Mars, Inc. | | | | | | | | |
3.95%, 04/01/2049(3) | | | 3,482,000 | | | | 4,174,341 | |
Massachusetts Institute of Technology | | | | | | | | |
3.89%, 07/01/2116 | | | 2,906,000 | | | | 3,565,643 | |
4.68%, 07/01/2114 | | | 1,645,000 | | | | 2,392,036 | |
McKesson Corp. | | | | | | | | |
0.90%, 12/03/2025 | | | 2,410,000 | | | | 2,374,613 | |
Mead Johnson Nutrition Co. | | | | | | | | |
4.13%, 11/15/2025 | | | 891,000 | | | | 1,002,385 | |
Memorial Health Services | | | | | | | | |
3.45%, 11/01/2049 | | | 3,040,000 | | | | 3,291,936 | |
MidMichigan Health | | | | | | | | |
3.41%, 06/01/2050 | | | 3,480,000 | | | | 3,737,792 | |
Mondelez International, Inc. | | | | | | | | |
1.50%, 05/04/2025 | | | 700,000 | | | | 712,348 | |
Moody’s Corp. | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
2.55%, 08/18/2060 | | | 705,000 | | | | 624,728 | |
Mount Sinai Hospitals Group, Inc. | | | | | | | | |
3.98%, 07/01/2048 | | | 999,000 | | | | 1,113,101 | |
MultiCare Health System | | | | | | | | |
2.80%, 08/15/2050 | | | 3,003,000 | | | | 2,952,727 | |
Mylan, Inc. | | | | | | | | |
3.13%, 01/15/2023(3) | | | 5,000,000 | | | | 5,180,209 | |
4.55%, 04/15/2028 | | | 700,000 | | | | 803,886 | |
5.20%, 04/15/2048 | | | 7,550,000 | | | | 9,290,690 | |
5.40%, 11/29/2043 | | | 3,770,000 | | | | 4,652,936 | |
NYU Langone Hospitals | | | | | | | | |
3.38%, 07/01/2055 | | | 1,270,000 | | | | 1,345,227 | |
Orlando Health Obligated Group | | | | | | | | |
4.09%, 10/01/2048 | | | 2,605,000 | | | | 3,179,396 | |
Pepperdine University | | | | | | | | |
3.30%, 12/01/2059 | | | 1,440,000 | | | | 1,439,353 | |
PerkinElmer, Inc. | | | | | | | | |
3.63%, 03/15/2051 | | | 3,400,000 | | | | 3,703,572 | |
Philip Morris International, Inc. | | | | | | | | |
2.50%, 11/02/2022 | | | 1,300,000 | | | | 1,334,792 | |
President & Fellows of Harvard College | | | | | | | | |
2.52%, 10/15/2050 | | | 3,480,000 | | | | 3,481,649 | |
3.30%, 07/15/2056 | | | 4,420,000 | | | | 5,068,550 | |
Providence St Joseph Health Obligated Group | | | | | | | | |
2.75%, 10/01/2026 | | | 1,200,000 | | | | 1,283,069 | |
Quest Diagnostics, Inc. | | | | | | | | |
3.45%, 06/01/2026 | | | 223,000 | | | | 244,875 | |
3.50%, 03/30/2025 | | | 4,820,000 | | | | 5,230,263 | |
Reckitt Benckiser Treasury Services Plc | | | | | | | | |
2.38%, 06/24/2022(3) | | | 1,200,000 | | | | 1,223,008 | |
Regeneron Pharmaceuticals, Inc. | | | | | | | | |
1.75%, 09/15/2030 | | | 2,800,000 | | | | 2,653,037 | |
2.80%, 09/15/2050 | | | 1,655,000 | | | | 1,506,967 | |
Reynolds American, Inc. | | | | | | | | |
4.45%, 06/12/2025 | | | 5,000,000 | | | | 5,538,881 | |
Royalty Pharma Plc | | | | | | | | |
0.75%, 09/02/2023(3) | | | 7,105,000 | | | | 7,125,865 | |
1.20%, 09/02/2025(3) | | | 2,080,000 | | | | 2,061,064 | |
1.75%, 09/02/2027(3) | | | 2,080,000 | | | | 2,047,108 | |
3.30%, 09/02/2040(3) | | | 1,720,000 | | | | 1,732,016 | |
3.55%, 09/02/2050(3) | | | 1,765,000 | | | | 1,755,550 | |
Shire Acquisitions Investments Ireland DAC | | | | | | | | |
2.88%, 09/23/2023 | | | 668,000 | | | | 699,048 | |
3.20%, 09/23/2026 | | | 3,626,000 | | | | 3,936,158 | |
Smithfield Foods, Inc. | | | | | | | | |
3.35%, 02/01/2022(3) | | | 14,000,000 | | | | 14,196,791 | |
Takeda Pharmaceutical Co. Ltd. | | | | | | | | |
3.03%, 07/09/2040 | | | 1,785,000 | | | | 1,801,839 | |
3.18%, 07/09/2050 | | | 1,920,000 | | | | 1,940,433 | |
3.38%, 07/09/2060 | | | 1,210,000 | | | | 1,241,817 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Texas Health Resources | | | | | | | | |
2.33%, 11/15/2050 | | | 970,000 | | | | 879,202 | |
4.33%, 11/15/2055 | | | 1,000,000 | | | | 1,306,544 | |
Thermo Fisher Scientific, Inc. | | | | | | | | |
2.95%, 09/19/2026 | | | 476,000 | | | | 513,299 | |
Triton Container International Ltd. | | | | | | | | |
1.15%, 06/07/2024(3) | | | 2,755,000 | | | | 2,749,551 | |
Tyson Foods, Inc. | | | | | | | | |
4.88%, 08/15/2034 | | | 400,000 | | | | 496,715 | |
5.15%, 08/15/2044 | | | 588,000 | | | | 756,855 | |
Unilever Capital Corp. | | | | | | | | |
3.38%, 03/22/2025 | | | 800,000 | | | | 871,138 | |
UnitedHealth Group, Inc. | | | | | | | | |
2.30%, 05/15/2031 | | | 15,160,000 | | | | 15,525,135 | |
3.10%, 03/15/2026 | | | 550,000 | | | | 599,852 | |
3.25%, 05/15/2051 | | | 4,430,000 | | | | 4,725,779 | |
3.50%, 08/15/2039 | | | 1,675,000 | | | | 1,871,964 | |
4.63%, 07/15/2035 | | | 427,000 | | | | 539,372 | |
Universal Health Services, Inc. | | | | | | | | |
2.65%, 10/15/2030(3) | | | 1,520,000 | | | | 1,528,406 | |
University of Chicago | | | | | | | | |
2.76%, 04/01/2045 | | | 1,575,000 | | | | 1,597,547 | |
University of Southern California | | | | | | | | |
3.23%, 10/01/2120 | | | 1,370,000 | | | | 1,358,235 | |
Utah Acquisition Sub, Inc. | | | | | | | | |
3.95%, 06/15/2026 | | | 532,000 | | | | 586,017 | |
5.25%, 06/15/2046 | | | 275,000 | | | | 334,919 | |
Verisk Analytics, Inc. | | | | | | | | |
4.00%, 06/15/2025 | | | 7,000,000 | | | | 7,744,154 | |
Viatris, Inc. | | | | | | | | |
2.30%, 06/22/2027(3) | | | 3,525,000 | | | | 3,598,117 | |
3.85%, 06/22/2040(3) | | | 4,820,000 | | | | 5,125,981 | |
4.00%, 06/22/2050(3) | | | 4,000,000 | | | | 4,230,116 | |
Viterra Finance BV | | | | | | | | |
3.20%, 04/21/2031(3) | | | 10,250,000 | | | | 10,330,005 | |
Yale-New Haven Health Services Corp. | | | | | | | | |
2.50%, 07/01/2050 | | | 1,530,000 | | | | 1,405,407 | |
Zimmer Biomet Holdings, Inc. | | | | | | | | |
3.55%, 04/01/2025 | | | 6,000,000 | | | | 6,509,426 | |
3.55%, 03/20/2030 | | | 9,400,000 | | | | 10,288,431 | |
3.70%, 03/19/2023 | | | 407,000 | | | | 427,818 | |
Zoetis, Inc. | | | | | | | | |
2.00%, 05/15/2030 | | | 1,590,000 | | | | 1,582,655 | |
3.00%, 09/12/2027 | | | 4,685,000 | | | | 5,046,442 | |
| | | | | | | | |
Total Consumer, Non-cyclical | | | | 772,150,785 | |
| | | | | | | | |
Diversified – 0.03% | | | | | | | | |
CK Hutchison International 16 Ltd. | | | | | | | | |
1.88%, 10/03/2021(3) | | | 402,000 | | | | 403,359 | |
2.75%, 10/03/2026(3) | | | 600,000 | | | | 636,560 | |
CK Hutchison International 17 II Ltd. | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
2.75%, 03/29/2023(3) | | | 500,000 | | | | 518,305 | |
CK Hutchison International 17 Ltd. | | | | | | | | |
2.88%, 04/05/2022(3) | | | 800,000 | | | | 813,848 | |
CK Hutchison International 19 Ltd. | | | | | | | | |
3.63%, 04/11/2029(3) | | | 1,615,000 | | | | 1,788,402 | |
CVS Pass-Through Trust Series 2013 | | | | | | | | |
4.70%, 01/10/2036(3) | | | 846,742 | | | | 959,544 | |
Hutchison Whampoa International 12 II Ltd. | | | | | | | | |
3.25%, 11/08/2022(3) | | | 450,000 | | | | 466,732 | |
| | | | | | | | |
Total Diversified | | | | | | | 5,586,750 | |
| | | | | | | | |
Energy – 3.38% | | | | | | | | |
Abu Dhabi Crude Oil Pipeline LLC | | | | | | | | |
4.60%, 11/02/2047(3) | | | 3,856,000 | | | | 4,545,067 | |
Aker BP ASA | | | | | | | | |
2.88%, 01/15/2026(3) | | | 2,326,000 | | | | 2,449,932 | |
ANR Pipeline Co. | | | | | | | | |
9.63%, 11/01/2021 | | | 337,000 | | | | 347,170 | |
Baker Hughes a GE Co. LLC / Baker Hughes Co.-Obligor, Inc. | | | | | | | | |
4.49%, 05/01/2030 | | | 1,365,000 | | | | 1,609,901 | |
Baker Hughes Holdings LLC | | | | | | | | |
5.13%, 09/15/2040 | | | 600,000 | | | | 765,992 | |
Boardwalk Pipelines LP | | | | | | | | |
3.40%, 02/15/2031 | | | 1,145,000 | | | | 1,215,349 | |
4.80%, 05/03/2029 | | | 960,000 | | | | 1,104,741 | |
5.95%, 06/01/2026 | | | 3,000,000 | | | | 3,556,647 | |
BP Capital Markets America, Inc. | | | | | | | | |
2.94%, 06/04/2051 | | | 3,935,000 | | | | 3,767,277 | |
3.02%, 01/16/2027 | | | 1,052,000 | | | | 1,135,211 | |
3.06%, 06/17/2041 | | | 7,448,000 | | | | 7,504,332 | |
3.25%, 05/06/2022 | | | 262,000 | | | | 268,555 | |
3.79%, 02/06/2024 | | | 9,145,000 | | | | 9,864,880 | |
BP Capital Markets Plc | | | | | | | | |
3.28%, 09/19/2027 | | | 2,309,000 | | | | 2,528,657 | |
3.51%, 03/17/2025 | | | 45,000 | | | | 49,226 | |
3.54%, 11/04/2024 | | | 700,000 | | | | 762,312 | |
Buckeye Partners LP | | | | | | | | |
5.60%, 10/15/2044 | | | 2,000,000 | | | | 1,940,000 | |
5.85%, 11/15/2043 | | | 591,000 | | | | 586,568 | |
Canadian Natural Resources Ltd. | | | | | | | | |
6.25%, 03/15/2038 | | | 5,000,000 | | | | 6,683,809 | |
6.50%, 02/15/2037 | | | 118,000 | | | | 158,512 | |
Cenovus Energy, Inc. | | | | | | | | |
5.25%, 06/15/2037 | | | 5,270,000 | | | | 6,309,485 | |
5.38%, 07/15/2025 | | | 10,441,000 | | | | 11,944,847 | |
5.40%, 06/15/2047 | | | 3,590,000 | | | | 4,442,353 | |
6.80%, 09/15/2037 | | | 2,100,000 | | | | 2,748,443 | |
Cheniere Corpus Christi Holdings LLC | | | | | | | | |
5.13%, 06/30/2027 | | | 377,000 | | | | 438,371 | |
5.88%, 03/31/2025 | | | 5,900,000 | | | | 6,761,808 | |
Chevron USA, Inc. | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
3.25%, 10/15/2029 | | | 1,155,000 | | | | 1,278,936 | |
5.05%, 11/15/2044 | | | 3,740,000 | | | | 5,015,180 | |
5.25%, 11/15/2043 | | | 3,975,000 | | | | 5,403,338 | |
6.00%, 03/01/2041 | | | 386,000 | | | | 564,681 | |
Cimarex Energy Co. | | | | | | | | |
3.90%, 05/15/2027 | | | 3,045,000 | | | | 3,356,324 | |
CNOOC Finance 2013 Ltd. | | | | | | | | |
2.88%, 09/30/2029 | | | 2,245,000 | | | | 2,319,467 | |
Columbia Pipeline Group, Inc. | | | | | | | | |
5.80%, 06/01/2045 | | | 2,700,000 | | | | 3,644,455 | |
ConocoPhillips | | | | | | | | |
2.40%, 02/15/2031(3) | | | 1,310,000 | | | | 1,340,836 | |
3.75%, 10/01/2027(3) | | | 1,000,000 | | | | 1,123,650 | |
ConocoPhillips Co. | | | | | | | | |
4.95%, 03/15/2026 | | | 598,000 | | | | 696,281 | |
Continental Resources, Inc. | | | | | | | | |
4.38%, 01/15/2028 | | | 5,065,000 | | | | 5,603,156 | |
4.50%, 04/15/2023 | | | 3,444,000 | | | | 3,583,758 | |
Devon Energy Corp. | | | | | | | | |
4.75%, 05/15/2042 | | | 722,000 | | | | 814,675 | |
5.60%, 07/15/2041 | | | 1,705,000 | | | | 2,108,188 | |
Diamondback Energy, Inc. | | | | | | | | |
3.25%, 12/01/2026 | | | 10,490,000 | | | | 11,244,247 | |
4.75%, 05/31/2025 | | | 2,000,000 | | | | 2,251,889 | |
Ecopetrol SA | | | | | | | | |
4.13%, 01/16/2025 | | | 383,000 | | | | 403,571 | |
5.38%, 06/26/2026 | | | 537,000 | | | | 592,096 | |
5.88%, 09/18/2023 | | | 395,000 | | | | 426,580 | |
Enable Midstream Partners LP | | | | | | | | |
4.40%, 03/15/2027 | | | 900,000 | | | | 992,228 | |
4.95%, 05/15/2028 | | | 1,615,000 | | | | 1,849,115 | |
5.00%, 05/15/2044 | | | 2,000,000 | | | | 2,179,200 | |
Enbridge Energy Partners LP | | | | | | | | |
7.50%, 04/15/2038 | | | 1,000,000 | | | | 1,483,199 | |
Energy Transfer LP | | | | | | | | |
3.60%, 02/01/2023 | | | 1,245,000 | | | | 1,291,877 | |
4.05%, 03/15/2025 | | | 2,250,000 | | | | 2,439,622 | |
4.75%, 01/15/2026 | | | 2,367,000 | | | | 2,664,792 | |
4.95%, 01/15/2043 | | | 1,482,000 | | | | 1,638,097 | |
5.00%, 05/15/2050 | | | 5,545,000 | | | | 6,408,988 | |
5.25%, 04/15/2029 | | | 5,631,000 | | | | 6,651,167 | |
5.30%, 04/01/2044 | | | 200,000 | | | | 230,605 | |
5.40%, 10/01/2047 | | | 1,500,000 | | | | 1,777,121 | |
5.50%, 06/01/2027 | | | 277,000 | | | | 324,861 | |
6.05%, 06/01/2041 | | | 2,000,000 | | | | 2,536,079 | |
6.13%, 12/15/2045 | | | 810,000 | | | | 1,032,441 | |
6.25%, 04/15/2049 | | | 7,273,000 | | | | 9,543,967 | |
6.50%, 02/01/2042 | | | 3,200,000 | | | | 4,154,642 | |
ENI SpA | | | | | | | | |
4.25%, 05/09/2029(3) | | | 2,825,000 | | | | 3,213,683 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.70%, 10/01/2040(3) | | | 557,000 | | | | 716,376 | |
ENI USA, Inc. | | | | | | | | |
7.30%, 11/15/2027 | | | 400,000 | | | | 521,836 | |
Enterprise Products Operating LLC | | | | | | | | |
3.70%, 02/15/2026 | | | 304,000 | | | | 336,292 | |
3.90%, 02/15/2024 | | | 3,400,000 | | | | 3,656,872 | |
4.85%, 08/15/2042 | | | 4,000,000 | | | | 4,893,922 | |
4.95%, 10/15/2054 | | | 177,000 | | | | 219,337 | |
5.75%, 03/01/2035 | | | 1,075,000 | | | | 1,387,960 | |
5.95%, 02/01/2041 | | | 201,000 | | | | 277,122 | |
EOG Resources, Inc. | | | | | | | | |
2.63%, 03/15/2023 | | | 249,000 | | | | 257,021 | |
EQM Midstream Partners LP | | | | | | | | |
4.00%, 08/01/2024 | | | 2,000,000 | | | | 2,055,000 | |
4.75%, 07/15/2023 | | | 1,684,000 | | | | 1,757,675 | |
EQT Corp. | | | | | | | | |
3.90%, 10/01/2027 | | | 805,000 | | | | 862,356 | |
Equinor ASA | | | | | | | | |
2.88%, 04/06/2025 | | | 665,000 | | | | 710,639 | |
3.25%, 11/10/2024 | | | 508,000 | | | | 549,760 | |
Exxon Mobil Corp. | | | | | | | | |
2.99%, 03/19/2025 | | | 2,800,000 | | | | 3,003,246 | |
3.00%, 08/16/2039 | | | 3,535,000 | | | | 3,627,059 | |
3.10%, 08/16/2049 | | | 2,040,000 | | | | 2,076,182 | |
3.45%, 04/15/2051 | | | 2,645,000 | | | | 2,878,724 | |
Flex Intermediate Holdco LLC | | | | | | | | |
3.36%, 06/30/2031(3) | | | 1,930,000 | | | | 1,953,690 | |
4.32%, 12/30/2039(3) | | | 1,365,000 | | | | 1,388,014 | |
Galaxy Pipeline Assets Bidco Ltd. | | | | | | | | |
2.94%, 09/30/2040(3) | | | 2,450,000 | | | | 2,431,897 | |
Gazprom PJSC Via Gaz Capital SA | | | | | | | | |
4.95%, 07/19/2022(3) | | | 610,000 | | | | 634,400 | |
6.51%, 03/07/2022(3) | | | 1,140,000 | | | | 1,184,551 | |
Gray Oak Pipeline LLC | | | | | | | | |
2.00%, 09/15/2023(3) | | | 1,220,000 | | | | 1,244,332 | |
2.60%, 10/15/2025(3) | | | 5,580,000 | | | | 5,732,049 | |
Halliburton Co. | | | | | | | | |
3.25%, 11/15/2021 | | | 12,079,000 | | | | 12,120,685 | |
4.75%, 08/01/2043 | | | 565,000 | | | | 659,464 | |
4.85%, 11/15/2035 | | | 200,000 | | | | 235,404 | |
7.60%, 08/15/2096(3) | | | 258,000 | | | | 332,683 | |
Helmerich & Payne, Inc. | | | | | | | | |
4.65%, 03/15/2025 | | | 4,710,000 | | | | 5,238,646 | |
Hess Corp. | | | | | | | | |
5.80%, 04/01/2047 | | | 3,358,000 | | | | 4,375,576 | |
6.00%, 01/15/2040 | | | 513,000 | | | | 657,964 | |
HollyFrontier Corp. | | | | | | | | |
2.63%, 10/01/2023 | | | 250,000 | | | | 258,495 | |
5.88%, 04/01/2026 | | | 4,573,000 | | | | 5,289,953 | |
KazMunayGas National Co. JSC | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
4.75%, 04/24/2025(3) | | | 1,590,000 | | | | 1,780,895 | |
Kinder Morgan Energy Partners LP | | | | | | | | |
4.30%, 05/01/2024 | | | 3,700,000 | | | | 4,031,655 | |
5.00%, 10/01/2021 | | | 4,875,000 | | | | 4,875,000 | |
6.95%, 01/15/2038 | | | 2,242,000 | | | | 3,204,395 | |
7.30%, 08/15/2033 | | | 1,650,000 | | | | 2,329,568 | |
7.50%, 11/15/2040 | | | 483,000 | | | | 712,825 | |
Kinder Morgan, Inc. | | | | | | | | |
2.00%, 02/15/2031 | | | 1,290,000 | | | | 1,240,081 | |
3.25%, 08/01/2050 | | | 1,430,000 | | | | 1,382,869 | |
5.05%, 02/15/2046 | | | 600,000 | | | | 728,582 | |
7.80%, 08/01/2031 | | | 4,600,000 | | | | 6,582,586 | |
Lundin Energy Finance BV | | | | | | | | |
2.00%, 07/15/2026(3) | | | 1,255,000 | | | | 1,257,009 | |
3.10%, 07/15/2031(3) | | | 3,795,000 | | | | 3,833,466 | |
Magellan Midstream Partners LP | | | | | | | | |
3.20%, 03/15/2025 | | | 386,000 | | | | 408,206 | |
4.20%, 03/15/2045 | | | 5,725,000 | | | | 6,096,267 | |
Marathon Petroleum Corp. | | | | | | | | |
3.63%, 09/15/2024 | | | 1,241,000 | | | | 1,335,244 | |
4.50%, 05/01/2023 | | | 1,919,000 | | | | 2,046,525 | |
4.50%, 04/01/2048 | | | 3,000,000 | | | | 3,424,461 | |
4.70%, 05/01/2025 | | | 11,119,000 | | | | 12,539,788 | |
4.75%, 12/15/2023 | | | 5,537,000 | | | | 6,041,808 | |
5.13%, 12/15/2026 | | | 5,979,000 | | | | 7,030,281 | |
MPLX LP | | | | | | | | |
2.65%, 08/15/2030 | | | 7,390,000 | | | | 7,458,678 | |
4.50%, 04/15/2038 | | | 6,723,000 | | | | 7,714,343 | |
4.88%, 06/01/2025 | | | 3,000,000 | | | | 3,386,493 | |
5.20%, 03/01/2047 | | | 1,018,000 | | | | 1,253,375 | |
5.20%, 12/01/2047 | | | 1,275,000 | | | | 1,554,905 | |
5.50%, 02/15/2049 | | | 950,000 | | | | 1,229,621 | |
NGPL PipeCo LLC | | | | | | | | |
3.25%, 07/15/2031(3) | | | 2,055,000 | | | | 2,117,943 | |
Occidental Petroleum Corp. | | | | | | | | |
0.00%, 10/10/2036 | | | 4,000,000 | | | | 2,080,000 | |
3.20%, 08/15/2026 | | | 3,000,000 | | | | 3,022,500 | |
6.45%, 09/15/2036 | | | 2,685,000 | | | | 3,210,186 | |
ONEOK Partners LP | | | | | | | | |
3.38%, 10/01/2022 | | | 151,000 | | | | 155,131 | |
5.00%, 09/15/2023 | | | 3,923,000 | | | | 4,234,974 | |
6.20%, 09/15/2043 | | | 2,500,000 | | | | 3,279,935 | |
6.65%, 10/01/2036 | | | 1,050,000 | | | | 1,414,712 | |
ONEOK, Inc. | | | | | | | | |
2.75%, 09/01/2024 | | | 8,370,000 | | | | 8,811,486 | |
3.10%, 03/15/2030 | | | 13,970,000 | | | | 14,605,682 | |
3.40%, 09/01/2029 | | | 925,000 | | | | 984,631 | |
4.50%, 03/15/2050 | | | 915,000 | | | | 1,018,372 | |
4.95%, 07/13/2047 | | | 1,850,000 | | | | 2,171,143 | |
Petroleos Mexicanos | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
6.35%, 02/12/2048 | | | 4,537,000 | | | | 3,866,431 | |
6.49%, 01/23/2027 | | | 1,185,000 | | | | 1,251,656 | |
6.50%, 03/13/2027 | | | 1,090,000 | | | | 1,150,495 | |
6.50%, 01/23/2029 | | | 970,000 | | | | 997,252 | |
6.75%, 09/21/2047 | | | 4,518,000 | | | | 3,998,430 | |
6.88%, 08/04/2026 | | | 2,390,000 | | | | 2,612,031 | |
Phillips 66 | | | | | | | | |
4.88%, 11/15/2044 | | | 70,000 | | | | 87,029 | |
5.88%, 05/01/2042 | | | 3,000,000 | | | | 4,096,312 | |
Phillips 66 Partners LP | | | | | | | | |
3.15%, 12/15/2029 | | | 655,000 | | | | 687,954 | |
3.55%, 10/01/2026 | | | 190,000 | | | | 206,442 | |
3.61%, 02/15/2025 | | | 560,000 | | | | 603,179 | |
4.90%, 10/01/2046 | | | 412,000 | | | | 491,039 | |
Pioneer Natural Resources Co. | | | | | | | | |
1.90%, 08/15/2030 | | | 2,330,000 | | | | 2,244,825 | |
2.15%, 01/15/2031 | | | 13,863,000 | | | | 13,583,904 | |
Plains All American Pipeline LP | | | | | | | | |
3.55%, 12/15/2029 | | | 2,800,000 | | | | 2,948,465 | |
4.70%, 06/15/2044 | | | 8,487,000 | | | | 8,991,142 | |
5.15%, 06/01/2042 | | | 2,380,000 | | | | 2,667,679 | |
Qatar Petroleum | | | | | | | | |
1.38%, 09/12/2026(3) | | | 9,238,000 | | | | 9,229,224 | |
2.25%, 07/12/2031(3) | | | 3,240,000 | | | | 3,205,559 | |
3.13%, 07/12/2041(3) | | | 4,183,000 | | | | 4,167,565 | |
Reliance Industries Ltd. | | | | | | | | |
5.40%, 02/14/2022(3) | | | 1,115,000 | | | | 1,145,685 | |
S.A. Global Sukuk Ltd. | | | | | | | | |
0.95%, 06/17/2024(3) | | | 1,430,000 | | | | 1,428,170 | |
1.60%, 06/17/2026(3) | | | 9,473,000 | | | | 9,466,369 | |
SA Global Sukuk Ltd. | | | | | | | | |
2.69%, 06/17/2031(3) | | | 3,001,000 | | | | 3,038,212 | |
Sabal Trail Transmission LLC | | | | | | | | |
4.68%, 05/01/2038(3) | | | 10,000,000 | | | | 11,922,611 | |
Sabine Pass Liquefaction LLC | | | | | | | | |
5.00%, 03/15/2027 | | | 1,700,000 | | | | 1,963,061 | |
5.63%, 03/01/2025 | | | 505,000 | | | | 577,183 | |
5.88%, 06/30/2026 | | | 10,000,000 | | | | 11,837,567 | |
Saudi Arabian Oil Co. | | | | | | | | |
1.25%, 11/24/2023(3) | | | 352,000 | | | | 355,548 | |
1.63%, 11/24/2025(3) | | | 653,000 | | | | 659,204 | |
3.25%, 11/24/2050(3) | | | 1,948,000 | | | | 1,889,560 | |
Schlumberger Finance Canada Ltd. | | | | | | | | |
1.40%, 09/17/2025 | | | 2,640,000 | | | | 2,669,008 | |
Schlumberger Holdings Corp. | | | | | | | | |
3.75%, 05/01/2024(3) | | | 780,000 | | | | 839,427 | |
3.90%, 05/17/2028(3) | | | 852,000 | | | | 951,373 | |
Shell International Finance BV | | | | | | | | |
2.75%, 04/06/2030 | | | 3,300,000 | | | | 3,517,590 | |
Sinopec Group Overseas Development 2018 Ltd. | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
3.68%, 08/08/2049(3) | | | 4,318,000 | | | | 4,615,970 | |
Southern Natural Gas Co. LLC | | | | | | | | |
4.80%, 03/15/2047(3) | | | 428,000 | | | | 527,159 | |
8.00%, 03/01/2032 | | | 446,000 | | | | 636,484 | |
Spectra Energy Partners LP | | | | | | | | |
4.50%, 03/15/2045 | | | 3,000,000 | | | | 3,514,157 | |
5.95%, 09/25/2043 | | | 207,000 | | | | 281,963 | |
Suncor Energy, Inc. | | | | | | | | |
5.95%, 12/01/2034 | | | 1,048,000 | | | | 1,390,181 | |
5.95%, 05/15/2035 | | | 350,000 | | | | 460,444 | |
6.80%, 05/15/2038 | | | 423,000 | | | | 607,245 | |
7.88%, 06/15/2026 | | | 543,000 | | | | 688,399 | |
TC PipeLines LP | | | | | | | | |
3.90%, 05/25/2027 | | | 5,457,000 | | | | 6,014,376 | |
4.38%, 03/13/2025 | | | 8,465,000 | | | | 9,319,364 | |
Tennessee Gas Pipeline Co. LLC | | | | | | | | |
2.90%, 03/01/2030(3) | | | 1,705,000 | | | | 1,768,887 | |
Texas Eastern Transmission LP | | | | | | | | |
2.80%, 10/15/2022(3) | | | 714,000 | | | | 728,767 | |
3.50%, 01/15/2028(3) | | | 450,000 | | | | 489,431 | |
TotalEnergies Capital International SA | | | | | | | | |
2.99%, 06/29/2041 | | | 4,000,000 | | | | 4,073,490 | |
3.13%, 05/29/2050 | | | 2,465,000 | | | | 2,498,713 | |
3.46%, 07/12/2049 | | | 1,905,000 | | | | 2,063,852 | |
TransCanada PipeLines Ltd. | | | | | | | | |
4.75%, 05/15/2038 | | | 1,000,000 | | | | 1,202,370 | |
6.20%, 10/15/2037 | | | 573,000 | | | | 785,229 | |
Valero Energy Corp. | | | | | | | | |
1.20%, 03/15/2024 | | | 2,070,000 | | | | 2,087,909 | |
2.15%, 09/15/2027 | | | 6,870,000 | | | | 6,978,739 | |
2.70%, 04/15/2023 | | | 1,455,000 | | | | 1,508,453 | |
6.63%, 06/15/2037 | | | 5,000,000 | | | | 6,854,418 | |
7.50%, 04/15/2032 | | | 175,000 | | | | 245,779 | |
Williams Companies, Inc. | | | | | | | | |
3.90%, 01/15/2025 | | | 700,000 | | | | 765,454 | |
4.30%, 03/04/2024 | | | 2,500,000 | | | | 2,715,530 | |
4.85%, 03/01/2048 | | | 3,538,000 | | | | 4,299,862 | |
4.90%, 01/15/2045 | | | 7,000,000 | | | | 8,456,066 | |
5.40%, 03/04/2044 | | | 2,750,000 | | | | 3,475,238 | |
5.75%, 06/24/2044 | | | 2,500,000 | | | | 3,279,080 | |
6.30%, 04/15/2040 | | | 333,000 | | | | 456,443 | |
Woodside Finance Ltd. | | | | | | | | |
3.65%, 03/05/2025(3) | | | 3,300,000 | | | | 3,523,271 | |
| | | | | | | | |
Total Energy | | | | 605,443,144 | |
| | | | | | | | |
Financials – 12.48% | | | | | | | | |
ABN AMRO Bank NV | | | | | | | | |
1.54% (1 Year CMT Index + 0.80%), 06/16/2027(2)(3) | | | 8,400,000 | | | | 8,343,363 | |
4.75%, 07/28/2025(3) | | | 6,031,000 | | | | 6,760,365 | |
AerCap Ireland Capital DAC | | | | | | | | |
1.75%, 01/30/2026 | | | 1,140,000 | | | | 1,126,622 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
2.88%, 08/14/2024 | | | 1,060,000 | | | | 1,108,505 | |
3.50%, 01/15/2025 | | | 333,000 | | | | 352,902 | |
4.45%, 12/16/2021 | | | 1,260,000 | | | | 1,279,132 | |
4.45%, 10/01/2025 | | | 3,500,000 | | | | 3,852,716 | |
4.50%, 09/15/2023 | | | 5,280,000 | | | | 5,661,615 | |
6.50%, 07/15/2025 | | | 493,000 | | | | 578,246 | |
AIA Group Ltd. | | | | | | | | |
3.20%, 03/11/2025(3) | | | 5,545,000 | | | | 5,893,392 | |
3.20%, 09/16/2040(3) | | | 915,000 | | | | 943,727 | |
3.60%, 04/09/2029(3) | | | 795,000 | | | | 880,216 | |
3.90%, 04/06/2028(3) | | | 1,000,000 | | | | 1,121,670 | |
AIB Group Plc | | | | | | | | |
4.26% (3 Month LIBOR USD + 1.87%), 04/10/2025(2)(3) | | | 1,265,000 | | | | 1,362,792 | |
4.75%, 10/12/2023(3) | | | 3,500,000 | | | | 3,801,718 | |
AIG SunAmerica Global Financing X | | | | | | | | |
6.90%, 03/15/2032(3) | | | 955,000 | | | | 1,362,373 | |
Air Lease Corp. | | | | | | | | |
1.88%, 08/15/2026 | | | 3,070,000 | | | | 3,072,373 | |
2.88%, 01/15/2026 | | | 1,300,000 | | | | 1,365,823 | |
3.25%, 03/01/2025 | | | 710,000 | | | | 756,814 | |
3.25%, 10/01/2029 | | | 3,950,000 | | | | 4,116,683 | |
3.38%, 07/01/2025 | | | 1,835,000 | | | | 1,971,032 | |
3.88%, 07/03/2023 | | | 2,500,000 | | | | 2,651,989 | |
Alexandria Real Estate Equities, Inc. | | | | | | | | |
1.88%, 02/01/2033 | | | 1,190,000 | | | | 1,124,914 | |
2.00%, 05/18/2032 | | | 2,180,000 | | | | 2,123,608 | |
3.00%, 05/18/2051 | | | 3,480,000 | | | | 3,404,402 | |
3.80%, 04/15/2026 | | | 338,000 | | | | 376,353 | |
4.00%, 02/01/2050 | | | 1,451,000 | | | | 1,662,748 | |
American Express Co. | | | | | | | | |
4.20%, 11/06/2025 | | | 1,400,000 | | | | 1,586,004 | |
American Financial Group, Inc. | | | | | | | | |
3.50%, 08/15/2026 | | | 1,435,000 | | | | 1,558,304 | |
American International Group, Inc. | | | | | | | | |
3.88%, 01/15/2035 | | | 376,000 | | | | 425,221 | |
3.90%, 04/01/2026 | | | 1,370,000 | | | | 1,528,839 | |
4.13%, 02/15/2024 | | | 107,000 | | | | 116,512 | |
4.50%, 07/16/2044 | | | 5,506,000 | | | | 6,682,858 | |
American Tower Corp. | | | | | | | | |
1.50%, 01/31/2028 | | | 2,660,000 | | | | 2,586,514 | |
1.88%, 10/15/2030 | | | 2,485,000 | | | | 2,397,183 | |
2.10%, 06/15/2030 | | | 1,300,000 | | | | 1,278,409 | |
2.25%, 01/15/2022 | | | 600,000 | | | | 606,204 | |
2.95%, 01/15/2051 | | | 875,000 | | | | 835,403 | |
3.10%, 06/15/2050 | | | 1,340,000 | | | | 1,309,157 | |
3.38%, 10/15/2026 | | | 506,000 | | | | 551,205 | |
3.70%, 10/15/2049 | | | 2,065,000 | | | | 2,241,217 | |
3.80%, 08/15/2029 | | | 2,500,000 | | | | 2,785,550 | |
American Tower Trust | | | | | | | | |
3.07%, 03/15/2023(3) | | | 2,900,000 | | | | 2,914,107 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
AmFam Holdings, Inc. | | | | | | | | |
2.81%, 03/11/2031(3) | | | 5,000,000 | | | | 5,118,825 | |
AmSouth Bancorp | | | | | | | | |
6.75%, 11/01/2025 | | | 527,000 | | | | 637,474 | |
ANZ New Zealand Int’l Ltd. | | | | | | | | |
3.45%, 01/21/2028(3) | | | 500,000 | | | | 553,194 | |
Aon Corp. | | | | | | | | |
2.80%, 05/15/2030 | | | 6,234,000 | | | | 6,544,576 | |
Aon Plc | | | | | | | | |
3.50%, 06/14/2024 | | | 815,000 | | | | 875,132 | |
4.00%, 11/27/2023 | | | 5,000,000 | | | | 5,358,934 | |
Arthur J Gallagher & Co. | | | | | | | | |
3.50%, 05/20/2051 | | | 3,000,000 | | | | 3,141,921 | |
ASB Bank Ltd. | | | | | | | | |
3.13%, 05/23/2024(3) | | | 2,050,000 | | | | 2,187,242 | |
Assurant, Inc. | | | | | | | | |
4.20%, 09/27/2023 | | | 1,210,000 | | | | 1,297,471 | |
Athene Global Funding | | | | | | | | |
0.95%, 01/08/2024(3) | | | 3,000,000 | | | | 3,002,406 | |
1.61%, 06/29/2026(3) | | | 7,691,000 | | | | 7,691,851 | |
2.67%, 06/07/2031(3) | | | 6,369,000 | | | | 6,450,833 | |
2.95%, 11/12/2026(3) | | | 8,370,000 | | | | 8,911,021 | |
Australia & New Zealand Banking Group Ltd. | | | | | | | | |
2.57% (5 Year CMT Index + 1.70%), 11/25/2035(2)(3) | | | 4,590,000 | | | | 4,458,634 | |
4.40%, 05/19/2026(3) | | | 1,816,000 | | | | 2,046,540 | |
4.50%, 03/19/2024(3) | | | 9,000,000 | | | | 9,846,956 | |
Aviation Capital Group LLC | | | | | | | | |
3.88%, 05/01/2023(3) | | | 780,000 | | | | 817,217 | |
5.50%, 12/15/2024(3) | | | 1,745,000 | | | | 1,972,425 | |
Avolon Holdings Funding Ltd. | | | | | | | | |
2.13%, 02/21/2026(3) | | | 1,430,000 | | | | 1,424,078 | |
2.88%, 02/15/2025(3) | | | 1,000,000 | | | | 1,029,601 | |
3.63%, 05/01/2022(3) | | | 1,000,000 | | | | 1,023,095 | |
3.95%, 07/01/2024(3) | | | 3,700,000 | | | | 3,945,984 | |
4.25%, 04/15/2026(3) | | | 1,710,000 | | | | 1,853,086 | |
4.38%, 05/01/2026(3) | | | 790,000 | | | | 858,722 | |
5.13%, 10/01/2023(3) | | | 970,000 | | | | 1,048,672 | |
5.25%, 05/15/2024(3) | | | 2,790,000 | | | | 3,068,522 | |
5.50%, 01/15/2023(3) | | | 5,969,000 | | | | 6,339,742 | |
5.50%, 01/15/2026(3) | | | 3,000,000 | | | | 3,402,789 | |
Banco Nacional de Panama | | | | | | | | |
2.50%, 08/11/2030(3) | | | 2,750,000 | | | | 2,663,457 | |
Banco Santander SA | | | | | | | | |
1.31% (3 Month LIBOR USD + 1.12%), 04/12/2023(2) | | | 1,000,000 | | | | 1,013,660 | |
1.85%, 03/25/2026 | | | 3,400,000 | | | | 3,436,262 | |
2.75%, 05/28/2025 | | | 1,600,000 | | | | 1,686,077 | |
2.75%, 12/03/2030 | | | 1,400,000 | | | | 1,386,865 | |
3.13%, 02/23/2023 | | | 2,200,000 | | | | 2,291,700 | |
3.50%, 04/11/2022 | | | 5,000,000 | | | | 5,121,361 | |
3.85%, 04/12/2023 | | | 2,400,000 | | | | 2,539,709 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.18%, 11/19/2025 | | | 1,500,000 | | | | 1,714,264 | |
Bank of America Corp. | | | | | | | | |
1.66% (Secured Overnight Financing Rate + 0.91%), 03/11/2027(2) | | | 950,000 | | | | 957,548 | |
1.73% (Secured Overnight Financing Rate + 0.96%), 07/22/2027(2) | | | 3,131,000 | | | | 3,155,081 | |
1.90% (Secured Overnight Financing Rate + 1.53%), 07/23/2031(2) | | | 1,285,000 | | | | 1,249,338 | |
2.09% (Secured Overnight Financing Rate + 1.06%), 06/14/2029(2) | | | 15,630,000 | | | | 15,756,473 | |
2.46% (3 Month LIBOR USD + 0.87%), 10/22/2025(2) | | | 2,000,000 | | | | 2,092,190 | |
2.50% (3 Month LIBOR USD + 0.99%), 02/13/2031(2) | | | 2,965,000 | | | | 3,027,246 | |
2.59% (Secured Overnight Financing Rate + 2.15%), 04/29/2031(2) | | | 11,813,000 | | | | 12,178,461 | |
2.68% (Secured Overnight Financing Rate + 1.93%), 06/19/2041(2) | | | 13,584,000 | | | | 13,183,261 | |
2.69% (Secured Overnight Financing Rate + 1.32%), 04/22/2032(2) | | | 17,025,000 | | | | 17,515,227 | |
2.88% (3 Month LIBOR USD + 1.19%), 10/22/2030(2) | | | 5,130,000 | | | | 5,403,894 | |
3.00% (3 Month LIBOR USD + 0.79%), 12/20/2023(2) | | | 15,679,000 | | | | 16,248,902 | |
3.09% (3 Month LIBOR USD + 1.09%), 10/01/2025(2) | | | 5,000,000 | | | | 5,326,338 | |
3.25%, 10/21/2027 | | | 2,668,000 | | | | 2,894,085 | |
3.37% (3 Month LIBOR USD + 0.81%), 01/23/2026(2) | | | 1,500,000 | | | | 1,617,293 | |
3.42% (3 Month LIBOR USD + 1.04%), 12/20/2028(2) | | | 1,640,000 | | | | 1,786,139 | |
3.55% (3 Month LIBOR USD + 0.78%), 03/05/2024(2) | | | 4,105,000 | | | | 4,313,028 | |
3.56% (3 Month LIBOR USD + 1.06%), 04/23/2027(2) | | | 6,509,000 | | | | 7,128,811 | |
3.59% (3 Month LIBOR USD + 1.37%), 07/21/2028(2) | | | 7,800,000 | | | | 8,587,379 | |
3.71% (3 Month LIBOR USD + 1.51%), 04/24/2028(2) | | | 4,500,000 | | | | 4,976,018 | |
3.82% (3 Month LIBOR USD + 1.58%), 01/20/2028(2) | | | 10,000,000 | | | | 11,096,273 | |
3.86% (3 Month LIBOR USD + 0.94%), 07/23/2024(2) | | | 8,174,000 | | | | 8,715,596 | |
3.95%, 04/21/2025 | | | 5,201,000 | | | | 5,707,834 | |
3.97% (3 Month LIBOR USD + 1.21%), 02/07/2030(2) | | | 2,820,000 | | | | 3,197,826 | |
4.00%, 01/22/2025 | | | 5,349,000 | | | | 5,870,329 | |
4.20%, 08/26/2024 | | | 4,140,000 | | | | 4,538,414 | |
4.27% (3 Month LIBOR USD + 1.31%), 07/23/2029(2) | | | 1,500,000 | | | | 1,723,184 | |
4.30% (3 Month LIBOR USD + 2.66%), 07/28/2169(2) | | | 3,075,000 | | | | 3,179,550 | |
4.45%, 03/03/2026 | | | 7,140,000 | | | | 8,109,575 | |
6.11%, 01/29/2037 | | | 3,580,000 | | | | 4,891,757 | |
7.75%, 05/14/2038 | | | 137,000 | | | | 216,230 | |
Bank of Montreal | | | | | | | | |
1.85%, 05/01/2025 | | | 1,950,000 | | | | 2,011,416 | |
3.30%, 02/05/2024 | | | 1,200,000 | | | | 1,285,019 | |
3.80% (5 Year Swap Rate USD + 1.43%), 12/15/2032(2) | | | 7,167,000 | | | | 7,901,542 | |
4.34% (5 Year Swap Rate USD + 1.28%), 10/05/2028(2) | | | 2,070,000 | | | | 2,223,286 | |
Bank of New York Mellon Corp. | | | | | | | | |
2.95%, 01/29/2023 | | | 1,000,000 | | | | 1,039,554 | |
3.00%, 02/24/2025 | | | 5,360,000 | | | | 5,765,861 | |
3.30%, 08/23/2029 | | | 241,000 | | | | 267,382 | |
Bank of New Zealand | | | | | | | | |
3.50%, 02/20/2024(3) | | | 950,000 | | | | 1,018,364 | |
Bank of Nova Scotia | | | | | | | | |
1.63%, 05/01/2023 | | | 4,092,000 | | | | 4,181,839 | |
2.20%, 02/03/2025 | | | 2,478,000 | | | | 2,582,168 | |
Banque Federative du Credit Mutuel SA | | | | | | | | |
3.75%, 07/20/2023(3) | | | 1,650,000 | | | | 1,758,195 | |
Barclays Plc | | | | | | | | |
1.01% (1 Year CMT Index + 0.80%), 12/10/2024(2) | | | 3,434,000 | | | | 3,446,248 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
3.65%, 03/16/2025 | | | 2,522,000 | | | | 2,730,771 | |
3.68%, 01/10/2023 | | | 10,650,000 | | | | 10,832,174 | |
3.81% (1 Year CMT Index + 1.70%), 03/10/2042(2) | | | 3,458,000 | | | | 3,648,134 | |
3.93% (3 Month LIBOR USD + 1.61%), 05/07/2025(2) | | | 4,500,000 | | | | 4,857,765 | |
4.34%, 01/10/2028 | | | 2,360,000 | | | | 2,638,784 | |
4.61% (3 Month LIBOR USD + 1.40%), 02/15/2023(2) | | | 2,300,000 | | | | 2,358,886 | |
4.97% (3 Month LIBOR USD + 1.90%), 05/16/2029(2) | | | 2,450,000 | | | | 2,868,892 | |
5.20%, 05/12/2026 | | | 500,000 | | | | 571,070 | |
BBVA USA | | | | | | | | |
2.50%, 08/27/2024 | | | 1,615,000 | | | | 1,699,476 | |
3.88%, 04/10/2025 | | | 7,840,000 | | | | 8,637,949 | |
Berkshire Hathaway Finance Corp. | | | | | | | | |
2.85%, 10/15/2050 | | | 5,473,000 | | | | 5,463,149 | |
4.30%, 05/15/2043 | | | 322,000 | | | | 401,238 | |
4.40%, 05/15/2042 | | | 1,524,000 | | | | 1,913,305 | |
Blackstone Holdings Finance Co. LLC | | | | | | | | |
4.45%, 07/15/2045(3) | | | 170,000 | | | | 209,275 | |
Blackstone Secured Lending Fund | | | | | | | | |
3.65%, 07/14/2023(3) | | | 2,110,000 | | | | 2,199,441 | |
BNP Paribas SA | | | | | | | | |
1.32% (Secured Overnight Financing Rate + 1.00%), 01/13/2027(2)(3) | | | 8,178,000 | | | | 8,078,925 | |
1.68% (Secured Overnight Financing Rate + 0.91%), 06/30/2027(2)(3) | | | 2,660,000 | | | | 2,657,536 | |
1.90% (Secured Overnight Financing Rate + 1.61%), 09/30/2028(2)(3) | | | 6,280,000 | | | | 6,237,228 | |
2.22% (Secured Overnight Financing Rate + 2.07%), 06/09/2026(2)(3) | | | 782,000 | | | | 805,935 | |
2.59% (5 Year CMT Index + 2.05%), 08/12/2035(2)(3) | | | 5,764,000 | | | | 5,630,926 | |
2.82% (3 Month LIBOR USD + 1.11%), 11/19/2025(2)(3) | | | 4,000,000 | | | | 4,208,566 | |
2.82%, 01/26/2041(3) | | | 1,136,000 | | | | 1,074,288 | |
2.87% (Secured Overnight Financing Rate + 1.39%), 04/19/2032(2)(3) | | | 3,560,000 | | | | 3,656,015 | |
3.38%, 01/09/2025(3) | | | 10,725,000 | | | | 11,503,232 | |
3.50%, 03/01/2023(3) | | | 430,000 | | | | 451,056 | |
3.80%, 01/10/2024(3) | | | 1,600,000 | | | | 1,716,152 | |
BNZ International Funding Ltd. | | | | | | | | |
2.65%, 11/03/2022(3) | | | 1,516,000 | | | | 1,564,179 | |
3.38%, 03/01/2023(3) | | | 6,000,000 | | | | 6,296,127 | |
BOC Aviation Ltd. | | | | | | | | |
2.38%, 09/15/2021(3) | | | 3,550,000 | | | | 3,555,183 | |
2.75%, 09/18/2022(3) | | | 780,000 | | | | 793,933 | |
BOC Aviation USA Corp. | | | | | | | | |
1.63%, 04/29/2024(3) | | | 2,170,000 | | | | 2,187,073 | |
Boston Properties LP | | | | | | | | |
3.13%, 09/01/2023 | | | 300,000 | | | | 314,567 | |
3.20%, 01/15/2025 | | | 1,139,000 | | | | 1,220,223 | |
3.65%, 02/01/2026 | | | 557,000 | | | | 613,751 | |
BPCE SA | | | | | | | | |
1.00%, 01/20/2026(3) | | | 3,225,000 | | | | 3,180,335 | |
1.65% (Secured Overnight Financing Rate + 1.52%), 10/06/2026(2)(3) | | | 1,566,000 | | | | 1,572,911 | |
2.28% (Secured Overnight Financing Rate + 1.31%), 01/20/2032(2)(3) | | | 10,100,000 | | | | 9,907,579 | |
2.75%, 01/11/2023(3) | | | 1,000,000 | | | | 1,036,384 | |
3.25%, 01/11/2028(3) | | | 7,815,000 | | | | 8,485,640 | |
4.50%, 03/15/2025(3) | | | 2,000,000 | | | | 2,203,596 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
4.63%, 07/11/2024(3) | | | 1,300,000 | | | | 1,428,789 | |
5.15%, 07/21/2024(3) | | | 2,800,000 | | | | 3,119,735 | |
5.70%, 10/22/2023(3) | | | 3,645,000 | | | | 4,035,255 | |
Brixmor Operating Partnership LP | | | | | | | | |
2.25%, 04/01/2028 | | | 1,930,000 | | | | 1,927,693 | |
3.85%, 02/01/2025 | | | 1,100,000 | | | | 1,196,482 | |
4.05%, 07/01/2030 | | | 2,286,000 | | | | 2,557,709 | |
Brookfield Finance, Inc. | | | | | | | | |
3.90%, 01/25/2028 | | | 770,000 | | | | 859,300 | |
4.70%, 09/20/2047 | | | 769,000 | | | | 938,192 | |
4.85%, 03/29/2029 | | | 875,000 | | | | 1,030,281 | |
Brown & Brown, Inc. | | | | | | | | |
2.38%, 03/15/2031 | | | 4,150,000 | | | | 4,146,454 | |
Canadian Imperial Bank of Commerce | | | | | | | | |
1.25%, 06/22/2026 | | | 17,574,000 | | | | 17,488,659 | |
Capital One Bank USA N.A. | | | | | | | | |
3.38%, 02/15/2023 | | | 6,000,000 | | | | 6,278,008 | |
Capital One Financial Corp. | | | | | | | | |
3.20%, 02/05/2025 | | | 726,000 | | | | 780,287 | |
3.75%, 04/24/2024 | | | 824,000 | | | | 890,201 | |
3.75%, 07/28/2026 | | | 960,000 | | | | 1,059,002 | |
3.90%, 01/29/2024 | | | 8,512,000 | | | | 9,186,321 | |
3.95% (5 Year CMT Index + 3.16%), 09/01/2169(2) | | | 2,435,000 | | | | 2,486,744 | |
4.20%, 10/29/2025 | | | 400,000 | | | | 446,673 | |
Cboe Global Markets, Inc. | | | | | | | | |
1.63%, 12/15/2030 | | | 10,880,000 | | | | 10,474,925 | |
Charles Schwab Corp. | | | | | | | | |
1.65%, 03/11/2031 | | | 11,130,000 | | | | 10,804,267 | |
3.20%, 03/02/2027 | | | 1,700,000 | | | | 1,854,943 | |
3.23%, 09/01/2022 | | | 165,000 | | | | 170,372 | |
4.00% (10 year CMT Index + 3.08%), 03/01/2170(2) | | | 1,190,000 | | | | 1,217,370 | |
4.00% (5 Year CMT Index + 3.17%), 06/01/2170(2) | | | 3,225,000 | | | | 3,362,063 | |
Citigroup, Inc. | | | | | | | | |
1.12% (Secured Overnight Financing Rate + 0.77%), 01/28/2027(2) | | | 36,088,000 | | | | 35,577,022 | |
2.56% (Secured Overnight Financing Rate + 1.17%), 05/01/2032(2)(13) | | | 19,270,000 | | | | 19,615,931 | |
2.57% (Secured Overnight Financing Rate + 2.11%), 06/03/2031(2) | | | 6,311,000 | | | | 6,487,848 | |
2.88% (3 Month LIBOR USD + 0.95%), 07/24/2023(2) | | | 2,500,000 | | | | 2,564,187 | |
3.14% (3 Month LIBOR USD + 0.72%), 01/24/2023(2) | | | 2,276,000 | | | | 2,310,439 | |
3.20%, 10/21/2026 | | | 905,000 | | | | 980,351 | |
3.52% (3 Month LIBOR USD + 1.15%), 10/27/2028(2) | | | 3,846,000 | | | | 4,211,700 | |
3.67% (3 Month LIBOR USD + 1.39%), 07/24/2028(2) | | | 4,625,000 | | | | 5,100,823 | |
3.70%, 01/12/2026 | | | 9,150,000 | | | | 10,118,649 | |
3.88% (5 Year CMT Index + 3.42%), 05/18/2170(2) | | | 3,970,000 | | | | 4,054,362 | |
3.89% (3 Month LIBOR USD + 1.56%), 01/10/2028(2) | | | 14,855,000 | | | | 16,532,811 | |
3.98% (3 Month LIBOR USD + 1.34%), 03/20/2030(2) | | | 3,490,000 | | | | 3,952,937 | |
4.08% (3 Month LIBOR USD + 1.19%), 04/23/2029(2) | | | 1,111,000 | | | | 1,260,036 | |
4.30%, 11/20/2026 | | | 5,442,000 | | | | 6,143,246 | |
4.40%, 06/10/2025 | | | 12,181,000 | | | | 13,603,975 | |
4.45%, 09/29/2027 | | | 10,467,000 | | | | 11,958,506 | |
6.63%, 01/15/2028 | | | 387,000 | | | | 495,628 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Citizens Bank N.A. | | | | | | | | |
3.70%, 03/29/2023 | | | 1,370,000 | | | | 1,442,012 | |
Citizens Financial Group, Inc. | | | | | | | | |
2.64%, 09/30/2032 | | | 343,000 | | | | 343,007 | |
3.25%, 04/30/2030 | | | 5,000,000 | | | | 5,417,283 | |
CNA Financial Corp. | | | | | | | | |
3.45%, 08/15/2027 | | | 820,000 | | | | 898,663 | |
3.95%, 05/15/2024 | | | 303,000 | | | | 327,847 | |
7.25%, 11/15/2023 | | | 7,470,000 | | | | 8,584,050 | |
Comerica, Inc. | | | | | | | | |
4.00%, 02/01/2029 | | | 1,900,000 | | | | 2,179,889 | |
Commonwealth Bank of Australia | | | | | | | | |
3.74%, 09/12/2039(3) | | | 5,000,000 | | | | 5,508,872 | |
Cooperatieve Rabobank UA | | | | | | | | |
4.38%, 08/04/2025 | | | 570,000 | | | | 636,456 | |
4.63%, 12/01/2023 | | | 5,635,000 | | | | 6,161,762 | |
Credit Agricole SA | | | | | | | | |
1.25% (Secured Overnight Financing Rate + 0.89%), 01/26/2027(2)(3) | | | 27,806,000 | | | | 27,375,941 | |
1.91% (Secured Overnight Financing Rate + 1.68%), 06/16/2026(2)(3) | | | 6,715,000 | | | | 6,846,217 | |
2.81%, 01/11/2041(3) | | | 1,485,000 | | | | 1,408,975 | |
4.00% (5 Year Swap Rate USD + 1.64%), 01/10/2033(2)(3) | | | 5,000,000 | | | | 5,428,755 | |
4.38%, 03/17/2025(3) | | | 305,000 | | | | 335,394 | |
Credit Suisse AG/New York NY | | | | | | | | |
0.50%, 02/02/2024 | | | 3,100,000 | | | | 3,087,221 | |
Credit Suisse Group AG | | | | | | | | |
1.31% (Secured Overnight Financing Rate + 0.98%), 02/02/2027(2)(3) | | | 4,075,000 | | | | 3,991,261 | |
2.19% (Secured Overnight Financing Rate + 2.04%), 06/05/2026(2)(3) | | | 1,020,000 | | | | 1,044,389 | |
2.59% (Secured Overnight Financing Rate + 1.56%), 09/11/2025(2)(3) | | | 1,450,000 | | | | 1,508,543 | |
3.09% (Secured Overnight Financing Rate + 1.73%), 05/14/2032(2)(3) | | | 2,915,000 | | | | 3,003,184 | |
3.57%, 01/09/2023(3) | | | 3,216,000 | | | | 3,266,927 | |
3.80%, 06/09/2023 | | | 8,500,000 | | | | 9,008,098 | |
3.87% (3 Month LIBOR USD + 1.41%), 01/12/2029(2)(3) | | | 2,000,000 | | | | 2,202,348 | |
4.28%, 01/09/2028(3) | | | 3,973,000 | | | | 4,419,513 | |
4.55%, 04/17/2026 | | | 1,500,000 | | | | 1,698,918 | |
Crown Castle International Corp. | | | | | | | | |
2.25%, 01/15/2031 | | | 2,585,000 | | | | 2,551,468 | |
2.50%, 07/15/2031 | | | 6,359,000 | | | | 6,404,267 | |
4.00%, 03/01/2027 | | | 261,000 | | | | 292,082 | |
Dai-ichi Life Insurance Co. Ltd. | | | | | | | | |
4.00% (3 Month LIBOR USD + 3.66%), 01/24/2170(2)(3) | | | 1,179,000 | | | | 1,274,794 | |
Daiwa Securities Group, Inc. | | | | | | | | |
3.13%, 04/19/2022(3) | | | 854,000 | | | | 872,956 | |
Danske Bank | | | | | | | | |
1.17% (1 Year CMT Index + 1.03%), 12/08/2023(2)(3) | | | 4,448,000 | | | | 4,470,315 | |
2.70%, 03/02/2022(3) | | | 542,000 | | | | 550,592 | |
Deutsche Bank AG | | | | | | | | |
3.30%, 11/16/2022 | | | 3,000,000 | | | | 3,107,910 | |
3.70%, 05/30/2024 | | | 850,000 | | | | 910,641 | |
3.70%, 05/30/2024 | | | 2,063,000 | | | | 2,214,891 | |
4.25%, 10/14/2021 | | | 4,165,000 | | | | 4,210,163 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Deutsche Bank AG/New York NY | | | | | | | | |
0.90%, 05/28/2024 | | | 2,826,000 | | | | 2,813,132 | |
2.13% (Secured Overnight Financing Rate + 1.87%), 11/24/2026(2)(13) | | | 6,700,000 | | | | 6,798,538 | |
2.22% (Secured Overnight Financing Rate + 2.16%), 09/18/2024(2) | | | 2,835,000 | | | | 2,911,604 | |
3.04% (Secured Overnight Financing Rate + 1.72%), 05/28/2032(2)(13) | | | 2,462,000 | | | | 2,503,480 | |
3.95%, 02/27/2023 | | | 5,000,000 | | | | 5,250,288 | |
Dexia Credit Local SA | | | | | | | | |
3.25%, 09/26/2023(3) | | | 500,000 | | | | 530,603 | |
Digital Realty Trust LP | | | | | | | | |
3.70%, 08/15/2027 | | | 462,000 | | | | 517,113 | |
Discover Bank | | | | | | | | |
3.35%, 02/06/2023 | | | 2,000,000 | | | | 2,083,511 | |
3.45%, 07/27/2026 | | | 4,802,000 | | | | 5,242,119 | |
4.20%, 08/08/2023 | | | 6,305,000 | | | | 6,788,965 | |
4.65%, 09/13/2028 | | | 4,000,000 | | | | 4,694,191 | |
Discover Financial Services | | | | | | | | |
3.75%, 03/04/2025 | | | 2,920,000 | | | | 3,191,704 | |
4.10%, 02/09/2027 | | | 3,471,000 | | | | 3,883,913 | |
DNB Bank ASA | | | | | | | | |
1.13% (1 Year CMT Index + 0.85%), 09/16/2026(2)(3) | | | 4,000,000 | | | | 3,969,031 | |
Duke Realty LP | | | | | | | | |
2.88%, 11/15/2029 | | | 800,000 | | | | 841,540 | |
3.25%, 06/30/2026 | | | 203,000 | | | | 219,971 | |
3.63%, 04/15/2023 | | | 7,744,000 | | | | 8,102,259 | |
Equinix, Inc. | | | | | | | | |
2.00%, 05/15/2028 | | | 4,467,000 | | | | 4,486,223 | |
2.90%, 11/18/2026 | | | 2,580,000 | | | | 2,759,793 | |
Essex Portfolio LP | | | | | | | | |
1.65%, 01/15/2031 | | | 910,000 | | | | 852,293 | |
1.70%, 03/01/2028 | | | 10,042,000 | | | | 9,860,749 | |
2.65%, 03/15/2032 | | | 1,740,000 | | | | 1,765,324 | |
F&G Global Funding | | | | | | | | |
1.75%, 06/30/2026(3) | | | 1,905,000 | | | | 1,912,839 | |
Federation des Caisses Desjardins du Quebec | | | | | | | | |
2.05%, 02/10/2025(3) | | | 5,000,000 | | | | 5,164,636 | |
Fifth Third Bancorp | | | | | | | | |
3.65%, 01/25/2024 | | | 1,420,000 | | | | 1,520,952 | |
FMR LLC | | | | | | | | |
4.95%, 02/01/2033(3) | | | 250,000 | | | | 313,891 | |
6.45%, 11/15/2039(3) | | | 258,000 | | | | 376,543 | |
GAIF Bond Issuer Pty Ltd. | | | | | | | | |
3.40%, 09/30/2026(3) | | | 1,000,000 | | | | 1,088,181 | |
GE Capital Funding LLC | | | | | | | | |
4.05%, 05/15/2027 | | | 4,000,000 | | | | 4,527,147 | |
4.40%, 05/15/2030 | | | 9,673,000 | | | | 11,272,261 | |
GE Capital International Funding Co. Unlimited Co. | | | | | | | | |
4.42%, 11/15/2035 | | | 23,743,000 | | | | 28,455,546 | |
Globe Life, Inc. | | | | | | | | |
4.55%, 09/15/2028 | | | 3,000,000 | | | | 3,512,488 | |
Goldman Sachs Capital I | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
6.35%, 02/15/2034 | | | 127,000 | | | | 177,993 | |
Goldman Sachs Group, Inc. | | | | | | | | |
0.86% (Secured Overnight Financing Rate + 0.61%), 02/12/2026(2) | | | 2,395,000 | | | | 2,377,425 | |
1.43% (Secured Overnight Financing Rate + 0.80%), 03/09/2027(2) | | | 5,125,000 | | | | 5,110,551 | |
1.54% (Secured Overnight Financing Rate + 0.82%), 09/10/2027(2) | | | 6,340,000 | | | | 6,322,155 | |
1.99% (Secured Overnight Financing Rate + 1.09%), 01/27/2032(2) | | | 7,395,000 | | | | 7,181,983 | |
2.62% (Secured Overnight Financing Rate + 1.28%), 04/22/2032(2) | | | 9,805,000 | | | | 10,016,466 | |
2.88% (3 Month LIBOR USD + 0.82%), 10/31/2022(2) | | | 6,425,000 | | | | 6,475,562 | |
2.91% (3 Month LIBOR USD + 0.99%), 07/24/2023(2) | | | 6,350,000 | | | | 6,509,336 | |
3.27% (3 Month LIBOR USD + 1.20%), 09/29/2025(2) | | | 5,590,000 | | | | 5,980,090 | |
3.50%, 01/23/2025 | | | 6,509,000 | | | | 7,037,503 | |
3.50%, 11/16/2026 | | | 1,700,000 | | | | 1,848,583 | |
3.69% (3 Month LIBOR USD + 1.51%), 06/05/2028(2) | | | 9,911,000 | | | | 10,942,820 | |
3.75%, 05/22/2025 | | | 1,305,000 | | | | 1,427,599 | |
3.75%, 02/25/2026 | | | 9,005,000 | | | | 9,962,159 | |
3.80% (5 Year CMT Index + 2.97%), 11/10/2169(2) | | | 1,845,000 | | | | 1,877,841 | |
4.22% (3 Month LIBOR USD + 1.30%), 05/01/2029(2) | | | 6,655,000 | | | | 7,589,998 | |
4.41% (3 Month LIBOR USD + 1.43%), 04/23/2039(2) | | | 8,453,000 | | | | 10,291,827 | |
5.15%, 05/22/2045 | | | 4,000,000 | | | | 5,348,556 | |
6.75%, 10/01/2037 | | | 2,170,000 | | | | 3,159,894 | |
Goodman US Finance Four LLC | | | | | | | | |
4.50%, 10/15/2037(3) | | | 200,000 | | | | 230,376 | |
Goodman US Finance Three LLC | | | | | | | | |
3.70%, 03/15/2028(3) | | | 862,000 | | | | 934,151 | |
Great-West Lifeco Finance 2018 LP | | | | | | | | |
4.58%, 05/17/2048(3) | | | 650,000 | | | | 818,353 | |
GTP Acquisition Partners I LLC | | | | | | | | |
3.48%, 06/16/2025(3) | | | 1,824,000 | | | | 1,937,299 | |
Guardian Life Insurance Co. of America | | | | | | | | |
4.85%, 01/24/2077(3) | | | 5,610,000 | | | | 7,183,756 | |
Hanover Insurance Group, Inc. | | | | | | | | |
2.50%, 09/01/2030 | | | 5,610,000 | | | | 5,612,117 | |
Hartford Financial Services Group, Inc. | | | | | | | | |
3.60%, 08/19/2049 | | | 1,000,000 | | | | 1,096,437 | |
4.30%, 04/15/2043 | | | 1,080,000 | | | | 1,274,277 | |
Healthcare Trust of America Holdings LP | | | | | | | | |
2.00%, 03/15/2031 | | | 1,380,000 | | | | 1,332,706 | |
3.75%, 07/01/2027 | | | 1,734,000 | | | | 1,926,869 | |
Healthpeak Properties, Inc. | | | | | | | | |
1.35%, 02/01/2027 | | | 3,776,000 | | | | 3,771,356 | |
3.40%, 02/01/2025 | | | 41,000 | | | | 44,036 | |
3.50%, 07/15/2029 | | | 1,742,000 | | | | 1,923,537 | |
HSBC Holdings Plc | | | | | | | | |
1.59% (Secured Overnight Financing Rate + 1.29%), 05/24/2027(2) | | | 2,500,000 | | | | 2,504,819 | |
2.01% (Secured Overnight Financing Rate + 1.73%), 09/22/2028(2) | | | 3,585,000 | | | | 3,597,213 | |
2.36% (Secured Overnight Financing Rate + 1.95%), 08/18/2031(2) | | | 2,580,000 | | | | 2,581,760 | |
2.80% (Secured Overnight Financing Rate + 1.19%), 05/24/2032(2) | | | 4,708,000 | | | | 4,831,581 | |
3.60%, 05/25/2023 | | | 1,000,000 | | | | 1,058,836 | |
3.80% (3 Month LIBOR USD + 1.21%), 03/11/2025(2) | | | 11,147,000 | | | | 11,986,194 | |
3.95% (3 Month LIBOR USD + 0.99%), 05/18/2024(2) | | | 1,301,000 | | | | 1,382,031 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
3.97% (3 Month LIBOR USD + 1.61%), 05/22/2030(2) | | | 1,000,000 | | | | 1,119,276 | |
4.04% (3 Month LIBOR USD + 1.55%), 03/13/2028(2) | | | 3,161,000 | | | | 3,505,736 | |
4.25%, 03/14/2024 | | | 1,000,000 | | | | 1,083,257 | |
4.25%, 08/18/2025 | | | 1,009,000 | | | | 1,117,931 | |
4.29% (3 Month LIBOR USD + 1.35%), 09/12/2026(2) | | | 7,000,000 | | | | 7,790,174 | |
4.30%, 03/08/2026 | | | 1,000,000 | | | | 1,127,937 | |
6.10%, 01/14/2042 | | | 1,060,000 | | | | 1,544,240 | |
Industrial & Commercial Bank of China Ltd. | | | | | | | | |
2.45%, 10/20/2021 | | | 1,150,000 | | | | 1,155,509 | |
ING Groep NV | | | | | | | | |
1.40% (1 Year CMT Index + 1.10%), 07/01/2026(2)(3) | | | 1,940,000 | | | | 1,944,751 | |
1.73% (Secured Overnight Financing Rate + 1.01%), 04/01/2027(2) | | | 705,000 | | | | 711,020 | |
4.10%, 10/02/2023 | | | 3,175,000 | | | | 3,423,977 | |
Intact US Holdings, Inc. | | | | | | | | |
4.60%, 11/09/2022 | | | 1,500,000 | | | | 1,572,254 | |
International Lease Finance Corp. | | | | | | | | |
5.88%, 08/15/2022 | | | 438,000 | | | | 463,502 | |
8.63%, 01/15/2022 | | | 1,200,000 | | | | 1,251,077 | |
Intesa Sanpaolo SpA | | | | | | | | |
4.00%, 09/23/2029(3) | | | 10,590,000 | | | | 11,619,384 | |
Invesco Finance Plc | | | | | | | | |
3.75%, 01/15/2026 | | | 4,249,000 | | | | 4,697,040 | |
4.00%, 01/30/2024 | | | 2,489,000 | | | | 2,694,441 | |
Jackson National Life Global Funding | | | | | | | | |
2.50%, 06/27/2022(3) | | | 800,000 | | | | 817,144 | |
3.05%, 04/29/2026(3) | | | 473,000 | | | | 508,016 | |
3.25%, 01/30/2024(3) | | | 460,000 | | | | 489,797 | |
Jefferies Group LLC | | | | | | | | |
5.13%, 01/20/2023 | | | 9,100,000 | | | | 9,723,900 | |
6.25%, 01/15/2036 | | | 155,000 | | | | 207,151 | |
6.45%, 06/08/2027 | | | 428,000 | | | | 532,996 | |
John Hancock Life Insurance Co. | | | | | | | | |
7.38%, 02/15/2024(3) | | | 731,000 | | | | 850,529 | |
JP Morgan Chase & Co. | | | | | | | | |
0.97% (Secured Overnight Financing Rate + 0.58%), 06/23/2025(2) | | | 11,993,000 | | | | 12,007,172 | |
1.58% (Secured Overnight Financing Rate + 0.89%), 04/22/2027(2) | | | 5,000,000 | | | | 5,025,905 | |
1.95% (Secured Overnight Financing Rate + 1.07%), 02/04/2032(2) | | | 12,266,000 | | | | 11,912,723 | |
2.07% (Secured Overnight Financing Rate + 1.02%), 06/01/2029(2) | | | 13,527,000 | | | | 13,633,336 | |
2.18% (Secured Overnight Financing Rate + 1.89%), 06/01/2028(2) | | | 3,244,000 | | | | 3,321,796 | |
2.58% (Secured Overnight Financing Rate + 1.25%), 04/22/2032(2) | | | 6,390,000 | | | | 6,558,311 | |
2.95%, 10/01/2026 | | | 5,000,000 | | | | 5,380,385 | |
3.11% (Secured Overnight Financing Rate + 2.44%), 04/22/2051(2) | | | 1,474,000 | | | | 1,520,735 | |
3.13%, 01/23/2025 | | | 13,475,000 | | | | 14,460,154 | |
3.16% (Secured Overnight Financing Rate + 1.46%), 04/22/2042(2) | | | 1,506,000 | | | | 1,567,641 | |
3.20%, 06/15/2026 | | | 3,989,000 | | | | 4,342,326 | |
3.30%, 04/01/2026 | | | 1,870,000 | | | | 2,045,384 | |
3.38%, 05/01/2023 | | | 3,800,000 | | | | 4,000,086 | |
3.56% (3 Month LIBOR USD + 0.73%), 04/23/2024(2) | | | 8,000,000 | | | | 8,435,670 | |
3.96% (3 Month LIBOR USD + 1.38%), 11/15/2048(2) | | | 5,770,000 | | | | 6,771,006 | |
4.00% (Secured Overnight Financing Rate + 2.75%), 10/01/2169(2) | | | 4,275,000 | | | | 4,331,430 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
4.01% (3 Month LIBOR USD + 1.12%), 04/23/2029(2) | | | 2,320,000 | | | | 2,622,849 | |
4.26% (3 Month LIBOR USD + 1.58%), 02/22/2048(2) | | | 5,140,000 | | | | 6,238,589 | |
4.45% (3 Month LIBOR USD + 1.33%), 12/05/2029(2) | | | 9,660,000 | | | | 11,295,976 | |
4.60% (Secured Overnight Financing Rate + 3.13%), 08/01/2169(2) | | | 1,985,000 | | | | 2,057,056 | |
5.00% (Secured Overnight Financing Rate + 3.38%), 02/01/2170(2) | | | 5,010,000 | | | | 5,295,320 | |
KeyBank N.A. | | | | | | | | |
3.18%, 05/22/2022 | | | 567,000 | | | | 581,643 | |
KeyCorp | | | | | | | | |
4.15%, 10/29/2025 | | | 950,000 | | | | 1,069,528 | |
LeasePlan Corp. NV | | | | | | | | |
2.88%, 10/24/2024(3) | | | 5,500,000 | | | | 5,776,194 | |
Liberty Mutual Group, Inc. | | | | | | | | |
3.95%, 10/15/2050(3) | | | 6,769,000 | | | | 7,540,012 | |
4.25%, 06/15/2023(3) | | | 72,000 | | | | 76,901 | |
4.57%, 02/01/2029(3) | | | 2,301,000 | | | | 2,687,908 | |
Liberty Mutual Insurance Co. | | | | | | | | |
7.70%, 10/15/2097(3) | | | 100,000 | | | | 155,459 | |
8.50%, 05/15/2025(3) | | | 700,000 | | | | 860,852 | |
Life Storage LP | | | | | | | | |
2.20%, 10/15/2030 | | | 2,630,000 | | | | 2,597,378 | |
4.00%, 06/15/2029 | | | 1,831,000 | | | | 2,050,822 | |
Lincoln National Corp. | | | | | | | | |
7.00%, 06/15/2040 | | | 1,715,000 | | | | 2,620,364 | |
Lloyds Banking Group Plc | | | | | | | | |
1.63% (1 Year CMT Index + 0.85%), 05/11/2027(2) | | | 2,280,000 | | | | 2,281,178 | |
2.91% (3 Month LIBOR USD + 0.81%), 11/07/2023(2) | | | 8,950,000 | | | | 9,228,447 | |
3.57% (3 Month LIBOR USD + 1.21%), 11/07/2028(2) | | | 1,000,000 | | | | 1,093,774 | |
3.75%, 01/11/2027 | | | 2,000,000 | | | | 2,208,967 | |
4.05%, 08/16/2023 | | | 3,000,000 | | | | 3,216,276 | |
4.38%, 03/22/2028 | | | 949,000 | | | | 1,089,873 | |
4.45%, 05/08/2025 | | | 855,000 | | | | 959,454 | |
4.50%, 11/04/2024 | | | 2,010,000 | | | | 2,223,515 | |
4.58%, 12/10/2025 | | | 550,000 | | | | 618,000 | |
LSEGA Financing Plc | | | | | | | | |
2.00%, 04/06/2028(3) | | | 4,565,000 | | | | 4,616,391 | |
Macquarie Bank Ltd. | | | | | | | | |
3.05% (5 Year CMT Index + 1.70%), 03/03/2036(2)(3) | | | 2,090,000 | | | | 2,077,010 | |
4.00%, 07/29/2025(3) | | | 500,000 | | | | 555,014 | |
Macquarie Group Ltd. | | | | | | | | |
3.19% (3 Month LIBOR USD + 1.02%), 11/28/2023(2)(3) | | | 6,000,000 | | | | 6,214,257 | |
4.15% (3 Month LIBOR USD + 1.33%), 03/27/2024(2)(3) | | | 2,000,000 | | | | 2,116,873 | |
5.03% (3 Month LIBOR USD + 1.75%), 01/15/2030(2)(3) | | | 4,445,000 | | | | 5,271,684 | |
Manulife Financial Corp. | | | | | | | | |
4.06% (5 Year 1100 Run ICE Swap Rate USD + 1.65%), 02/24/2032(2) | | | 1,910,000 | | | | 2,107,585 | |
Markel Corp. | | | | | | | | |
3.63%, 03/30/2023 | | | 400,000 | | | | 420,160 | |
4.15%, 09/17/2050 | | | 655,000 | | | | 756,689 | |
5.00%, 04/05/2046 | | | 1,265,000 | | | | 1,626,210 | |
Massachusetts Mutual Life Insurance Co. | | | | | | | | |
3.73%, 10/15/2070(3) | | | 2,690,000 | | | | 2,853,171 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
4.90%, 04/01/2077(3) | | | 5,000,000 | | | | 6,488,829 | |
7.63%, 11/15/2023(3) | | | 550,000 | | | | 608,323 | |
MassMutual Global Funding II | | | | | | | | |
2.75%, 06/22/2024(3) | | | 700,000 | | | | 742,312 | |
MBIA Insurance Corp. | | | | | | | | |
11.44% (3 Month LIBOR USD + 11.26%), 01/15/2033(2)(3) | | | 86,000 | | | | 25,263 | |
MetLife, Inc. | | | | | | | | |
4.88%, 11/13/2043 | | | 3,000,000 | | | | 3,953,116 | |
6.40%, 12/15/2036 | | | 3,530,000 | | | | 4,533,659 | |
Metropolitan Life Global Funding I | | | | | | | | |
3.00%, 01/10/2023(3) | | | 407,000 | | | | 423,161 | |
3.00%, 09/19/2027(3) | | | 1,180,000 | | | | 1,272,060 | |
3.88%, 04/11/2022(3) | | | 1,480,000 | | | | 1,522,332 | |
Mid-America Apartments LP | | | | | | | | |
1.70%, 02/15/2031 | | | 1,330,000 | | | | 1,263,286 | |
4.00%, 11/15/2025 | | | 1,500,000 | | | | 1,665,245 | |
Mitsubishi HC Capital, Inc. | | | | | | | | |
2.65%, 09/19/2022(3) | | | 764,000 | | | | 781,306 | |
3.96%, 09/19/2023(3) | | | 2,730,000 | | | | 2,910,767 | |
Mitsubishi UFJ Financial Group, Inc. | | | | | | | | |
0.85% (1 Year CMT Index + 0.68%), 09/15/2024(2) | | | 16,402,000 | | | | 16,488,804 | |
2.05%, 07/17/2030 | | | 2,940,000 | | | | 2,929,776 | |
2.19%, 02/25/2025 | | | 5,000,000 | | | | 5,203,667 | |
2.53%, 09/13/2023 | | | 481,000 | | | | 502,575 | |
2.67%, 07/25/2022 | | | 800,000 | | | | 819,843 | |
3.00%, 02/22/2022 | | | 206,000 | | | | 209,652 | |
3.41%, 03/07/2024 | | | 2,520,000 | | | | 2,700,495 | |
3.46%, 03/02/2023 | | | 4,000,000 | | | | 4,201,262 | |
3.75%, 07/18/2039 | | | 1,615,000 | | | | 1,839,079 | |
Mizuho Bank Ltd. | | | | | | | | |
3.60%, 09/25/2024(3) | | | 1,250,000 | | | | 1,355,826 | |
Mizuho Financial Group, Inc. | | | | | | | | |
1.23% (1 Year CMT Index + 0.67%), 05/22/2027(2) | | | 2,378,000 | | | | 2,343,089 | |
1.24% (Secured Overnight Financing Rate + 1.25%), 07/10/2024(2)(5) | | | 1,480,000 | | | | 1,500,396 | |
2.17% (1 Year CMT Index + 0.87%), 05/22/2032(2) | | | 9,000,000 | | | | 8,939,262 | |
2.23% (3 Month LIBOR USD + 0.83%), 05/25/2026(2) | | | 1,740,000 | | | | 1,800,238 | |
2.60%, 09/11/2022 | | | 3,500,000 | | | | 3,594,337 | |
2.87% (Secured Overnight Financing Rate + 1.57%), 09/13/2030(2) | | | 1,620,000 | | | | 1,700,617 | |
2.95%, 02/28/2022 | | | 2,000,000 | | | | 2,035,775 | |
Morgan Stanley | | | | | | | | |
0.53% (Secured Overnight Financing Rate + 0.46%), 01/25/2024(2) | | | 3,170,000 | | | | 3,168,393 | |
1.59% (Secured Overnight Financing Rate + 0.88%), 05/04/2027(2) | | | 8,112,000 | | | | 8,169,395 | |
1.79% (Secured Overnight Financing Rate + 1.03%), 02/13/2032(2) | | | 2,440,000 | | | | 2,344,381 | |
1.93% (Secured Overnight Financing Rate + 1.02%), 04/28/2032(2) | | | 13,945,000 | | | | 13,554,934 | |
2.19% (Secured Overnight Financing Rate + 1.99%), 04/28/2026(2) | | | 9,020,000 | | | | 9,365,481 | |
2.72% (Secured Overnight Financing Rate + 1.15%), 07/22/2025(2) | | | 873,000 | | | | 918,201 | |
3.22% (Secured Overnight Financing Rate + 1.49%), 04/22/2042(2) | | | 7,010,000 | | | | 7,430,913 | |
3.59% (3 Month LIBOR USD + 1.34%), 07/22/2028(2) | | | 5,882,000 | | | | 6,515,794 | |
3.63%, 01/20/2027 | | | 9,380,000 | | | | 10,400,731 | |
3.70%, 10/23/2024 | | | 2,029,000 | | | | 2,213,638 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
3.74% (3 Month LIBOR USD + 0.85%), 04/24/2024(2) | | | 1,468,000 | | | | 1,552,565 | |
3.77% (3 Month LIBOR USD + 1.14%), 01/24/2029(2) | | | 4,371,000 | | | | 4,905,694 | |
3.88%, 04/29/2024 | | | 2,050,000 | | | | 2,229,628 | |
3.88%, 01/27/2026 | | | 3,125,000 | | | | 3,493,736 | |
3.95%, 04/23/2027 | | | 14,190,000 | | | | 15,855,455 | |
4.10%, 05/22/2023 | | | 3,460,000 | | | | 3,684,171 | |
4.35%, 09/08/2026 | | | 930,000 | | | | 1,053,008 | |
4.43% (3 Month LIBOR USD + 1.63%), 01/23/2030(2) | | | 2,304,000 | | | | 2,697,732 | |
5.00%, 11/24/2025 | | | 4,959,000 | | | | 5,717,112 | |
MUFG Bank Ltd. | | | | | | | | |
3.75%, 03/10/2024(3) | | | 3,215,000 | | | | 3,474,490 | |
4.10%, 09/09/2023(3) | | | 239,000 | | | | 257,854 | |
National Australia Bank Ltd. | | | | | | | | |
2.33%, 08/21/2030(3) | | | 7,300,000 | | | | 7,085,094 | |
2.65%, 01/14/2041(3) | | | 1,255,000 | | | | 1,173,894 | |
3.93% (5 Year CMT Index + 1.88%), 08/02/2034(2)(3) | | | 2,330,000 | | | | 2,524,252 | |
National Retail Properties, Inc. | | | | | | | | |
3.50%, 10/15/2027 | | | 400,000 | | | | 432,152 | |
3.60%, 12/15/2026 | | | 700,000 | | | | 764,162 | |
3.90%, 06/15/2024 | | | 1,310,000 | | | | 1,414,262 | |
Nationwide Building Society | | | | | | | | |
1.00%, 08/28/2025(3) | | | 1,085,000 | | | | 1,074,866 | |
4.00%, 09/14/2026(3) | | | 9,650,000 | | | | 10,637,194 | |
Nationwide Mutual Insurance Co. | | | | | | | | |
9.38%, 08/15/2039(3) | | | 7,150,000 | | | | 12,454,136 | |
Natwest Group Plc | | | | | | | | |
1.64% (1 Year CMT Index + 0.90%), 06/14/2027(2) | | | 11,094,000 | | | | 11,092,612 | |
3.75% (5 Year CMT Index + 2.10%), 11/01/2029(2) | | | 1,833,000 | | | | 1,947,563 | |
3.88%, 09/12/2023 | | | 1,300,000 | | | | 1,388,719 | |
4.45% (3 Month LIBOR USD + 1.87%), 05/08/2030(2) | | | 1,500,000 | | | | 1,717,073 | |
4.52% (3 Month LIBOR USD + 1.55%), 06/25/2024(2) | | | 555,000 | | | | 595,837 | |
4.80%, 04/05/2026 | | | 3,017,000 | | | | 3,454,268 | |
4.89% (3 Month LIBOR USD + 1.75%), 05/18/2029(2) | | | 5,490,000 | | | | 6,429,390 | |
5.08% (3 Month LIBOR USD + 1.91%), 01/27/2030(2) | | | 7,000,000 | | | | 8,298,278 | |
NatWest Markets Plc | | | | | | | | |
0.80%, 08/12/2024(3) | | | 2,195,000 | | | | 2,184,940 | |
New York Life Global Funding | | | | | | | | |
3.00%, 01/10/2028(3) | | | 2,022,000 | | | | 2,197,702 | |
New York Life Insurance Co. | | | | | | | | |
4.45%, 05/15/2069(3) | | | 4,225,000 | | | | 5,283,632 | |
Nomura Holdings, Inc. | | | | | | | | |
1.85%, 07/16/2025 | | | 5,000,000 | | | | 5,110,981 | |
2.65%, 01/16/2025 | | | 2,597,000 | | | | 2,728,317 | |
2.68%, 07/16/2030 | | | 1,550,000 | | | | 1,574,254 | |
Nordea Bank Abp | | | | | | | | |
3.75%, 08/30/2023(3) | | | 4,000,000 | | | | 4,269,862 | |
4.25%, 09/21/2022(3) | | | 12,865,000 | | | | 13,437,033 | |
Northern Trust Corp. | | | | | | | | |
3.38% (3 Month LIBOR USD + 1.13%), 05/08/2032(2) | | | 411,000 | | | | 446,902 | |
Northwestern Mutual Global Funding | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
1.70%, 06/01/2028(3) | | | 1,995,000 | | | | 1,996,906 | |
Office Properties Income Trust | | | | | | | | |
4.00%, 07/15/2022 | | | 1,255,000 | | | | 1,295,902 | |
Ontario Teachers’ Cadillac Fairview Properties Trust | | | | | | | | |
3.13%, 03/20/2022(3) | | | 1,003,000 | | | | 1,021,594 | |
3.88%, 03/20/2027(3) | | | 1,044,000 | | | | 1,150,329 | |
ORIX Corp. | | | | | | | | |
3.25%, 12/04/2024 | | | 1,500,000 | | | | 1,617,086 | |
Pacific Life Insurance Co. | | | | | | | | |
4.30% (3 Month LIBOR USD + 2.80%), 10/24/2067(2)(3) | | | 743,000 | | | | 853,685 | |
Park Aerospace Holdings Ltd. | | | | | | | | |
4.50%, 03/15/2023(3) | | | 655,000 | | | | 688,521 | |
5.25%, 08/15/2022(3) | | | 9,135,000 | | | | 9,558,978 | |
5.50%, 02/15/2024(3) | | | 1,960,000 | | | | 2,154,635 | |
People’s United Bank N.A. | | | | | | | | |
4.00%, 07/15/2024 | | | 4,350,000 | | | | 4,683,998 | |
PNC Bank N.A. | | | | | | | | |
4.20%, 11/01/2025 | | | 322,000 | | | | 364,654 | |
Principal Life Global Funding II | | | | | | | | |
3.00%, 04/18/2026(3) | | | 2,000,000 | | | | 2,159,767 | |
Private Export Funding Corp. | | | | | | | | |
2.80%, 05/15/2022 | | | 1,200,000 | | | | 1,227,820 | |
3.25%, 06/15/2025 | | | 1,280,000 | | | | 1,391,836 | |
3.55%, 01/15/2024 | | | 2,489,000 | | | | 2,680,098 | |
Progressive Corp. | | | | | | | | |
5.38% (3 Month LIBOR USD + 2.54%), 09/15/2169(2) | | | 780,000 | | | | 817,822 | |
Prologis LP | | | | | | | | |
1.25%, 10/15/2030 | | | 10,115,000 | | | | 9,517,178 | |
2.25%, 04/15/2030 | | | 305,000 | | | | 311,527 | |
Protective Life Corp. | | | | | | | | |
4.30%, 09/30/2028(3) | | | 4,500,000 | | | | 5,042,569 | |
Prudential Financial, Inc. | | | | | | | | |
3.91%, 12/07/2047 | | | 1,231,000 | | | | 1,429,780 | |
6.63%, 06/21/2040 | | | 5,995,000 | | | | 9,035,580 | |
Prudential Insurance Co. of America | | | | | | | | |
8.30%, 07/01/2025(3) | | | 1,691,000 | | | | 2,124,575 | |
Realty Income Corp. | | | | | | | | |
1.80%, 03/15/2033 | | | 1,320,000 | | | | 1,254,938 | |
3.25%, 01/15/2031 | | | 1,740,000 | | | | 1,895,623 | |
Regency Centers LP | | | | | | | | |
2.95%, 09/15/2029 | | | 2,200,000 | | | | 2,316,745 | |
Safehold Operating Partnership LP | | | | | | | | |
2.80%, 06/15/2031 | | | 7,000,000 | | | | 6,997,388 | |
Sammons Financial Group, Inc. | | | | | | | | |
3.35%, 04/16/2031(3) | | | 7,000,000 | | | | 7,204,565 | |
Santander UK Group Holdings Plc | | | | | | | | |
1.67% (Secured Overnight Financing Rate + 0.99%), 06/14/2027(2) | | | 2,290,000 | | | | 2,286,497 | |
3.82% (3 Month LIBOR USD + 1.40%), 11/03/2028(2) | | | 800,000 | | | | 879,713 | |
4.75%, 09/15/2025(3) | | | 1,810,000 | | | | 2,030,963 | |
Santander UK Plc | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.00%, 11/07/2023(3) | | | 4,150,000 | | | | 4,524,247 | |
Scentre Group Trust 1 / Scentre Group Trust 2 | | | | | | | | |
3.50%, 02/12/2025(3) | | | 1,390,000 | | | | 1,493,479 | |
Scentre Group Trust 2 | | | | | | | | |
4.75% (5 Year CMT Index + 4.38%), 09/24/2080(2)(3) | | | 1,865,000 | | | | 1,990,888 | |
SITE Centers Corp. | | | | | | | | |
4.70%, 06/01/2027 | | | 368,000 | | | | 407,515 | |
Societe Generale SA | | | | | | | | |
1.49% (1 Year CMT Index + 1.10%), 12/14/2026(2)(3) | | | 19,302,000 | | | | 19,126,642 | |
1.79% (1 Year CMT Index + 1.00%), 06/09/2027(2)(3) | | | 7,100,000 | | | | 7,082,740 | |
2.63%, 01/22/2025(3) | | | 9,980,000 | | | | 10,411,295 | |
2.89% (1 Year CMT Index + 1.30%), 06/09/2032(2)(3) | | | 8,975,000 | | | | 9,081,982 | |
3.00%, 01/22/2030(3) | | | 1,689,000 | | | | 1,759,237 | |
3.25%, 01/12/2022(3) | | | 7,000,000 | | | | 7,108,611 | |
3.63%, 03/01/2041(3) | | | 6,000,000 | | | | 6,091,425 | |
4.25%, 04/14/2025(3) | | | 2,880,000 | | | | 3,127,379 | |
5.00%, 01/17/2024(3) | | | 860,000 | | | | 935,981 | |
SouthTrust Bank | | | | | | | | |
7.69%, 05/15/2025 | | | 253,000 | | | | 307,549 | |
Standard Chartered Plc | | | | | | | | |
1.21% (1 Year CMT Index + 0.88%), 03/23/2025(2)(3) | | | 1,789,000 | | | | 1,795,384 | |
1.46% (1 Year CMT Index + 1.00%), 01/14/2027(2)(3) | | | 8,645,000 | | | | 8,562,301 | |
2.74% (3 Month LIBOR USD + 1.20%), 09/10/2022(2)(3) | | | 800,000 | | | | 803,326 | |
2.82% (3 Month LIBOR USD + 1.21%), 01/30/2026(2)(3) | | | 1,360,000 | | | | 1,427,370 | |
4.25% (3 Month LIBOR USD + 1.15%), 01/20/2023(2)(3) | | | 3,230,000 | | | | 3,295,843 | |
4.87% (5 Year 1100 Run ICE Swap Rate USD + 1.97%), 03/15/2033(2)(3) | | | 800,000 | | | | 887,337 | |
5.20%, 01/26/2024(3) | | | 609,000 | | | | 667,687 | |
State Bank of India | | | | | | | | |
4.38%, 01/24/2024(3) | | | 6,475,000 | | | | 6,956,436 | |
State Street Corp. | | | | | | | | |
2.20%, 03/03/2031 | | | 14,130,000 | | | | 14,243,511 | |
Sumitomo Life Insurance Co. | | | | | | | | |
4.00% (3 Month LIBOR USD + 2.99%), 09/14/2077(2)(3) | | | 1,000,000 | | | | 1,078,750 | |
Sumitomo Mitsui Banking Corp. | | | | | | | | |
3.95%, 07/19/2023 | | | 250,000 | | | | 267,866 | |
Sumitomo Mitsui Financial Group, Inc. | | | | | | | | |
1.47%, 07/08/2025 | | | 3,668,000 | | | | 3,704,040 | |
2.13%, 07/08/2030 | | | 2,650,000 | | | | 2,664,347 | |
2.63%, 07/14/2026 | | | 644,000 | | | | 684,294 | |
2.78%, 10/18/2022 | | | 5,650,000 | | | | 5,826,027 | |
3.04%, 07/16/2029 | | | 5,005,000 | | | | 5,371,313 | |
3.10%, 01/17/2023 | | | 1,033,000 | | | | 1,076,647 | |
Sumitomo Mitsui Trust Bank Ltd. | | | | | | | | |
1.55%, 03/25/2026(3) | | | 3,871,000 | | | | 3,923,423 | |
SVB Financial Group | | | | | | | | |
4.00% (5 Year CMT Index + 3.20%), 08/15/2169(2) | | | 4,330,000 | | | | 4,407,074 | |
Svenska Handelsbanken AB | | | | | | | | |
1.42% (1 Year CMT Index + 0.63%), 06/11/2027(2)(3) | | | 18,040,000 | | | | 17,978,686 | |
Synchrony Financial | | | | | | | | |
3.95%, 12/01/2027 | | | 1,500,000 | | | | 1,672,064 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
4.50%, 07/23/2025 | | | 4,000,000 | | | | 4,473,244 | |
Teachers Insurance & Annuity Association of America | | | | | | | | |
4.27%, 05/15/2047(3) | | | 3,360,000 | | | | 4,016,962 | |
4.90%, 09/15/2044(3) | | | 200,000 | | | | 259,261 | |
6.85%, 12/16/2039(3) | | | 218,000 | | | | 330,571 | |
Trinity Acquisition Plc | | | | | | | | |
4.40%, 03/15/2026 | | | 2,300,000 | | | | 2,599,283 | |
6.13%, 08/15/2043 | | | 5,000,000 | | | | 7,025,484 | |
Truist Bank | | | | | | | | |
3.30%, 05/15/2026 | | | 1,000,000 | | | | 1,095,511 | |
Truist Financial Corp. | | | | | | | | |
2.85%, 10/26/2024 | | | 1,000,000 | | | | 1,069,258 | |
4.00%, 05/01/2025 | | | 424,000 | | | | 471,427 | |
4.80% (5 Year CMT Index + 3.00%), 12/31/2099(2) | | | 5,630,000 | | | | 5,911,500 | |
UBS Group AG | | | | | | | | |
1.36% (1 Year CMT Index + 1.08%), 01/30/2027(2)(3) | | | 6,550,000 | | | | 6,504,148 | |
2.10% (1 Year CMT Index + 1.00%), 02/11/2032(2)(3) | | | 6,420,000 | | | | 6,289,236 | |
2.86% (3 Month LIBOR USD + 0.95%), 08/15/2023(2)(3) | | | 7,367,000 | | | | 7,559,976 | |
3.49%, 05/23/2023(3) | | | 9,790,000 | | | | 10,054,803 | |
4.13%, 09/24/2025(3) | | | 2,510,000 | | | | 2,800,231 | |
4.25%, 03/23/2028(3) | | | 3,000,000 | | | | 3,394,231 | |
UDR, Inc. | | | | | | | | |
1.90%, 03/15/2033 | | | 2,025,000 | | | | 1,891,213 | |
2.10%, 08/01/2032 | | | 1,430,000 | | | | 1,372,911 | |
2.95%, 09/01/2026 | | | 276,000 | | | | 294,815 | |
3.00%, 08/15/2031 | | | 415,000 | | | | 436,551 | |
3.20%, 01/15/2030 | | | 1,565,000 | | | | 1,691,681 | |
UniCredit SpA | | | | | | | | |
1.98% (1 Year CMT Index + 1.20%), 06/03/2027(2)(3) | | | 1,135,000 | | | | 1,130,756 | |
2.57% (1 Year CMT Index + 2.30%), 09/22/2026(2)(3) | | | 2,330,000 | | | | 2,362,259 | |
5.86% (5 Year 1100 Run ICE Swap Rate USD + 3.70%), 06/19/2032(2)(3) | | | 1,400,000 | | | | 1,545,866 | |
6.57%, 01/14/2022(3) | | | 2,500,000 | | | | 2,577,155 | |
7.30% (5 Year 1100 Run ICE Swap Rate USD + 4.91%), 04/02/2034(2)(3) | | | 715,000 | | | | 859,659 | |
Ventas Realty LP | | | | | | | | |
3.25%, 10/15/2026 | | | 323,000 | | | | 350,103 | |
3.50%, 02/01/2025 | | | 251,000 | | | | 270,868 | |
3.75%, 05/01/2024 | | | 382,000 | | | | 409,834 | |
3.85%, 04/01/2027 | | | 677,000 | | | | 756,656 | |
4.13%, 01/15/2026 | | | 126,000 | | | | 140,796 | |
Vornado Realty LP | | | | | | | | |
3.50%, 01/15/2025 | | | 800,000 | | | | 851,674 | |
WEA Finance LLC | | | | | | | | |
3.15%, 04/05/2022(3) | | | 1,243,000 | | | | 1,261,403 | |
Wells Fargo & Co. | | | | | | | | |
2.16% (3 Month LIBOR USD + 0.75%), 02/11/2026(2) | | | 4,525,000 | | | | 4,696,564 | |
2.57% (Secured Overnight Financing Rate + 1.26%), 02/11/2031(2) | | | 12,110,000 | | | | 12,532,194 | |
3.00%, 04/22/2026 | | | 5,000,000 | | | | 5,376,288 | |
3.07% (Secured Overnight Financing Rate + 2.53%), 04/30/2041(2) | | | 3,900,000 | | | | 4,000,164 | |
3.20% (3 Month LIBOR USD + 1.17%), 06/17/2027(2) | | | 11,319,000 | | | | 12,215,733 | |
3.55%, 09/29/2025 | | | 700,000 | | | | 769,372 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
3.58% (3 Month LIBOR USD + 1.31%), 05/22/2028(2) | | | 7,238,000 | | | | 7,974,032 | |
3.90% (5 Year CMT Index + 3.45%), 03/15/2170(2) | | | 2,240,000 | | | | 2,319,072 | |
4.10%, 06/03/2026 | | | 3,749,000 | | | | 4,210,090 | |
4.30%, 07/22/2027 | | | 729,000 | | | | 831,126 | |
4.40%, 06/14/2046 | | | 626,000 | | | | 754,588 | |
4.65%, 11/04/2044 | | | 675,000 | | | | 831,628 | |
4.75%, 12/07/2046 | | | 1,343,000 | | | | 1,699,489 | |
4.90%, 11/17/2045 | | | 3,064,000 | | | | 3,929,674 | |
5.38%, 11/02/2043 | | | 317,000 | | | | 422,763 | |
Welltower, Inc. | | | | | | | | |
2.70%, 02/15/2027 | | | 497,000 | | | | 527,406 | |
3.10%, 01/15/2030 | | | 1,085,000 | | | | 1,155,489 | |
6.50%, 03/15/2041 | | | 700,000 | | | | 990,585 | |
Westpac Banking Corp. | | | | | | | | |
4.42%, 07/24/2039 | | | 1,010,000 | | | | 1,194,910 | |
Weyerhaeuser Co. | | | | | | | | |
7.38%, 03/15/2032 | | | 500,000 | | | | 721,518 | |
Willis North America, Inc. | | | | | | | | |
5.05%, 09/15/2048 | | | 7,500,000 | | | | 9,828,264 | |
WP Carey, Inc. | | | | | �� | | | |
2.40%, 02/01/2031 | | | 1,800,000 | | | | 1,790,559 | |
4.25%, 10/01/2026 | | | 3,404,000 | | | | 3,823,667 | |
WR Berkley Corp. | | | | | | | | |
4.75%, 08/01/2044 | | | 3,445,000 | | | | 4,318,649 | |
XLIT Ltd. | | | | | | | | |
5.25%, 12/15/2043 | | | 2,700,000 | | | | 3,733,325 | |
| | | | | | | | |
Total Financials | | | | | | | 2,233,737,488 | |
| | | | | | | | |
Industrials – 1.89% | | | | | | | | |
Airbus SE | | | | | | | | |
3.15%, 04/10/2027(3) | | | 736,000 | | | | 791,178 | |
3.95%, 04/10/2047(3) | | | 150,000 | | | | 170,208 | |
Allegion US Holding Co., Inc. | | | | | | | | |
3.20%, 10/01/2024 | | | 2,000,000 | | | | 2,126,129 | |
Amphenol Corp. | | | | | | | | |
3.20%, 04/01/2024 | | | 8,135,000 | | | | 8,630,834 | |
Arrow Electronics, Inc. | | | | | | | | |
3.25%, 09/08/2024 | | | 219,000 | | | | 233,083 | |
3.50%, 04/01/2022 | | | 965,000 | | | | 980,940 | |
3.88%, 01/12/2028 | | | 221,000 | | | | 247,456 | |
4.50%, 03/01/2023 | | | 183,000 | | | | 192,458 | |
BAE Systems Plc | | | | | | | | |
1.90%, 02/15/2031(3) | | | 6,886,000 | | | | 6,636,280 | |
3.00%, 09/15/2050(3) | | | 754,000 | | | | 737,648 | |
5.80%, 10/11/2041(3) | | | 400,000 | | | | 555,759 | |
Berry Global, Inc. | | | | | | | | |
1.57%, 01/15/2026(3) | | | 17,410,000 | | | | 17,415,223 | |
Boeing Co. | | | | | | | | |
1.17%, 02/04/2023 | | | 2,040,000 | | | | 2,048,457 | |
1.43%, 02/04/2024 | | | 4,150,000 | | | | 4,160,983 | |
1.95%, 02/01/2024 | | | 2,080,000 | | | | 2,129,845 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
2.20%, 02/04/2026 | | | 19,535,000 | | | | 19,721,720 | |
2.75%, 02/01/2026 | | | 2,010,000 | | | | 2,099,557 | |
2.85%, 10/30/2024 | | | 3,650,000 | | | | 3,842,015 | |
3.10%, 05/01/2026 | | | 1,529,000 | | | | 1,616,399 | |
3.25%, 03/01/2028 | | | 2,061,000 | | | | 2,162,463 | |
3.30%, 03/01/2035 | | | 1,410,000 | | | | 1,426,735 | |
3.63%, 02/01/2031 | | | 4,745,000 | | | | 5,103,381 | |
3.95%, 08/01/2059 | | | 4,825,000 | | | | 5,048,081 | |
4.51%, 05/01/2023 | | | 4,899,000 | | | | 5,222,798 | |
4.88%, 05/01/2025 | | | 1,165,000 | | | | 1,305,346 | |
5.04%, 05/01/2027 | | | 1,185,000 | | | | 1,367,286 | |
5.15%, 05/01/2030 | | | 10,544,000 | | | | 12,485,730 | |
5.71%, 05/01/2040 | | | 1,555,000 | | | | 2,002,658 | |
5.81%, 05/01/2050 | | | 3,525,000 | | | | 4,746,874 | |
Burlington Northern Santa Fe LLC | | | | | | | | |
3.30%, 09/15/2051 | | | 5,056,000 | | | | 5,521,366 | |
3.55%, 02/15/2050 | | | 517,000 | | | | 584,634 | |
4.38%, 09/01/2042 | | | 462,000 | | | | 575,362 | |
5.15%, 09/01/2043 | | | 389,000 | | | | 533,310 | |
5.40%, 06/01/2041 | | | 542,000 | | | | 743,814 | |
5.75%, 05/01/2040 | | | 373,000 | | | | 529,989 | |
6.15%, 05/01/2037 | | | 320,000 | | | | 462,513 | |
7.29%, 06/01/2036 | | | 134,000 | | | | 207,055 | |
Canadian National Railway Co. | | | | | | | | |
2.45%, 05/01/2050 | | | 1,500,000 | | | | 1,348,565 | |
Canadian Pacific Railway Co. | | | | | | | | |
2.90%, 02/01/2025 | | | 644,000 | | | | 683,516 | |
Carlisle Companies, Inc. | | | | | | | | |
3.50%, 12/01/2024 | | | 3,025,000 | | | | 3,264,504 | |
CH Robinson Worldwide, Inc. | | | | | | | | |
4.20%, 04/15/2028 | | | 6,000,000 | | | | 6,851,458 | |
CNH Industrial Capital LLC | | | | | | | | |
1.45%, 07/15/2026 | | | 8,831,000 | | | | 8,773,303 | |
CRH America Finance, Inc. | | | | | | | | |
3.40%, 05/09/2027(3) | | | 200,000 | | | | 219,643 | |
CRH America, Inc. | | | | | | | | |
3.88%, 05/18/2025(3) | | | 354,000 | | | | 387,945 | |
5.13%, 05/18/2045(3) | | | 230,000 | | | | 299,686 | |
CSX Corp. | | | | | | | | |
3.35%, 09/15/2049 | | | 305,000 | | | | 323,413 | |
4.65%, 03/01/2068 | | | 2,000,000 | | | | 2,617,856 | |
4.75%, 05/30/2042 | | | 175,000 | | | | 220,500 | |
4.75%, 11/15/2048 | | | 1,280,000 | | | | 1,655,662 | |
5.50%, 04/15/2041 | | | 402,000 | | | | 546,371 | |
Eaton Corp. | | | | | | | | |
4.00%, 11/02/2032 | | | 143,000 | | | | 166,544 | |
5.80%, 03/15/2037 | | | 500,000 | | | | 633,436 | |
7.63%, 04/01/2024 | | | 206,000 | | | | 242,839 | |
Embraer Netherlands Finance BV | | | | | | | | |
5.05%, 06/15/2025 | | | 2,202,000 | | | | 2,325,642 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Embraer Overseas Ltd. | | | | | | | | |
5.70%, 09/16/2023(3) | | | 4,000,000 | | | | 4,264,920 | |
Empresa de Transporte de Pasajeros Metro SA | | | | | | | | |
4.70%, 05/07/2050(3) | | | 1,179,000 | | | | 1,332,270 | |
FedEx Corp. | | | | | | | | |
4.95%, 10/17/2048 | | | 3,000,000 | | | | 3,869,360 | |
Flex Ltd. | | | | | | | | |
3.75%, 02/01/2026 | | | 4,000,000 | | | | 4,374,529 | |
General Electric Co. | | | | | | | | |
3.63%, 05/01/2030 | | | 1,535,000 | | | | 1,711,647 | |
Graphic Packaging International LLC | | | | | | | | |
0.82%, 04/15/2024(3) | | | 6,170,000 | | | | 6,124,337 | |
1.51%, 04/15/2026(3) | | | 11,485,000 | | | | 11,426,720 | |
JB Hunt Transport Services, Inc. | | | | | | | | |
3.85%, 03/15/2024 | | | 650,000 | | | | 696,614 | |
3.88%, 03/01/2026 | | | 1,380,000 | | | | 1,534,827 | |
Johnson Controls International Plc | | | | | | | | |
3.75%, 12/01/2021 | | | 12,000 | | | | 12,062 | |
4.95%, 07/02/2064(1) | | | 928,000 | | | | 1,262,671 | |
Keysight Technologies, Inc. | | | | | | | | |
4.60%, 04/06/2027 | | | 13,000,000 | | | | 15,105,166 | |
L3Harris Technologies, Inc. | | | | | | | | |
1.80%, 01/15/2031 | | | 1,970,000 | | | | 1,910,299 | |
3.83%, 04/27/2025 | | | 1,820,000 | | | | 1,992,881 | |
4.85%, 04/27/2035 | | | 1,000,000 | | | | 1,252,476 | |
Lennox International, Inc. | | | | | | | | |
1.70%, 08/01/2027 | | | 2,000,000 | | | | 1,999,641 | |
Martin Marietta Materials, Inc. | | | | | | | | |
3.45%, 06/01/2027 | | | 811,000 | | | | 885,745 | |
3.50%, 12/15/2027 | | | 6,165,000 | | | | 6,786,389 | |
4.25%, 07/02/2024 | | | 1,705,000 | | | | 1,858,470 | |
6.25%, 05/01/2037 | | | 107,000 | | | | 140,646 | |
Masco Corp. | | | | | | | | |
2.00%, 10/01/2030 | | | 760,000 | | | | 741,098 | |
6.50%, 08/15/2032 | | | 1,240,000 | | | | 1,649,455 | |
Mexico City Airport Trust | | | | | | | | |
3.88%, 04/30/2028(3) | | | 3,950,000 | | | | 4,127,750 | |
5.50%, 07/31/2047(3) | | | 3,902,000 | | | | 3,955,848 | |
Norfolk Southern Corp. | | | | | | | | |
3.95%, 10/01/2042 | | | 332,000 | | | | 381,437 | |
4.05%, 08/15/2052 | | | 1,100,000 | | | | 1,300,567 | |
4.80%, 08/15/2043 | | | 1,273,000 | | | | 1,521,740 | |
5.59%, 05/17/2025 | | | 6,000 | | | | 7,024 | |
7.80%, 05/15/2027 | | | 1,705,000 | | | | 2,289,517 | |
Northrop Grumman Corp. | | | | | | | | |
3.20%, 02/01/2027 | | | 849,000 | | | | 924,083 | |
3.25%, 01/15/2028 | | | 250,000 | | | | 273,062 | |
3.85%, 04/15/2045 | | | 195,000 | | | | 224,210 | |
nVent Finance Sarl | | | | | | | | |
4.55%, 04/15/2028 | | | 3,625,000 | | | | 3,981,532 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Otis Worldwide Corp. | | | | | | | | |
2.57%, 02/15/2030 | | | 3,430,000 | | | | 3,552,272 | |
Pactiv LLC | | | | | | | | |
7.95%, 12/15/2025 | | | 34,000 | | | | 38,250 | |
Parker-Hannifin Corp. | | | | | | | | |
4.10%, 03/01/2047 | | | 583,000 | | | | 690,882 | |
4.45%, 11/21/2044 | | | 333,000 | | | | 410,506 | |
Penske Truck Leasing Co. LP | | | | | | | | |
1.20%, 11/15/2025(3) | | | 7,300,000 | | | | 7,230,411 | |
2.70%, 03/14/2023(3) | | | 220,000 | | | | 227,116 | |
3.95%, 03/10/2025(3) | | | 7,000,000 | | | | 7,654,227 | |
Precision Castparts Corp. | | | | | | | | |
4.20%, 06/15/2035 | | | 75,000 | | | | 88,962 | |
4.38%, 06/15/2045 | | | 415,000 | | | | 499,807 | |
Raytheon Technologies Corp. | | | | | | | | |
3.20%, 03/15/2024 | | | 409,000 | | | | 435,088 | |
3.75%, 11/01/2046 | | | 1,130,000 | | | | 1,273,791 | |
4.15%, 05/15/2045 | | | 1,683,000 | | | | 2,002,308 | |
4.35%, 04/15/2047 | | | 970,000 | | | | 1,192,242 | |
4.50%, 06/01/2042 | | | 1,823,000 | | | | 2,269,689 | |
Republic Services, Inc. | | | | | | | | |
1.45%, 02/15/2031 | | | 1,970,000 | | | | 1,845,607 | |
Siemens Financieringsmaatschappij NV | | | | | | | | |
2.35%, 10/15/2026(3) | | | 700,000 | | | | 734,986 | |
3.13%, 03/16/2024(3) | | | 800,000 | | | | 853,721 | |
4.40%, 05/27/2045(3) | | | 513,000 | | | | 655,138 | |
Teledyne Technologies, Inc. | | | | | | | | |
2.75%, 04/01/2031 | | | 21,360,000 | | | | 21,939,871 | |
Textron, Inc. | | | | | | | | |
3.65%, 03/15/2027 | | | 4,975,000 | | | | 5,511,168 | |
Timken Co. | | | | | | | | |
3.88%, 09/01/2024 | | | 1,000,000 | | | | 1,070,494 | |
TTX Co. | | | | | | | | |
3.60%, 01/15/2025(3) | | | 2,000,000 | | | | 2,183,706 | |
Union Pacific Corp. | | | | | | | | |
2.97%, 09/16/2062 | | | 3,668,000 | | | | 3,524,911 | |
4.10%, 09/15/2067 | | | 200,000 | | | | 231,208 | |
Vontier Corp. | | | | | | | | |
2.40%, 04/01/2028(3) | | | 8,000,000 | | | | 7,946,400 | |
Vulcan Materials Co. | | | | | | | | |
4.70%, 03/01/2048 | | | 2,054,000 | | | | 2,588,538 | |
Weir Group Plc | | | | | | | | |
2.20%, 05/13/2026(3) | | | 4,874,000 | | | | 4,893,914 | |
Westinghouse Air Brake Technologies Corp. | | | | | | | | |
3.45%, 11/15/2026 | | | 5,000,000 | | | | 5,366,381 | |
4.38%, 08/15/2023 | | | 322,000 | | | | 341,062 | |
WestRock MWV LLC | | | | | | | | |
8.20%, 01/15/2030 | | | 537,000 | | | | 759,710 | |
WRKCo, Inc. | | | | | | | | |
3.75%, 03/15/2025 | | | 1,300,000 | | | | 1,418,205 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Xylem, Inc. | | | | | | | | |
1.95%, 01/30/2028 | | | 2,170,000 | | | | 2,189,587 | |
2.25%, 01/30/2031 | | | 960,000 | | | | 966,401 | |
3.25%, 11/01/2026 | | | 192,000 | | | | 210,285 | |
| | | | | | | | |
Total Industrials | | | | 337,642,287 | |
| | | | | | | | |
Technology – 1.79% | | | | | | | | |
Analog Devices, Inc. | | | | | | | | |
3.13%, 12/05/2023 | | | 476,000 | | | | 503,499 | |
4.50%, 12/05/2036 | | | 1,020,000 | | | | 1,201,883 | |
Apple, Inc. | | | | | | | | |
2.45%, 08/04/2026 | | | 1,111,000 | | | | 1,181,740 | |
3.00%, 06/20/2027 | | | 1,462,000 | | | | 1,607,419 | |
3.20%, 05/13/2025 | | | 1,010,000 | | | | 1,101,549 | |
3.45%, 02/09/2045 | | | 1,357,000 | | | | 1,515,613 | |
3.85%, 08/04/2046 | | | 776,000 | | | | 923,315 | |
Broadcom Cayman Finance Ltd. | | | | | | | | |
3.13%, 01/15/2025 | | | 7,000,000 | | | | 7,472,036 | |
Broadcom, Inc. | | | | | | | | |
2.45%, 02/15/2031(3) | | | 4,393,000 | | | | 4,316,977 | |
3.46%, 09/15/2026 | | | 4,111,000 | | | | 4,476,868 | |
3.50%, 02/15/2041(3) | | | 5,589,000 | | | | 5,717,708 | |
4.11%, 09/15/2028 | | | 2,092,000 | | | | 2,353,369 | |
4.15%, 11/15/2030 | | | 5,085,000 | | | | 5,702,395 | |
4.25%, 04/15/2026 | | | 2,300,000 | | | | 2,578,382 | |
4.75%, 04/15/2029 | | | 24,765,000 | | | | 28,808,058 | |
Citrix Systems, Inc. | | | | | | | | |
1.25%, 03/01/2026 | | | 855,000 | | | | 844,265 | |
Dell International LLC / EMC Corp. | | | | | | | | |
4.90%, 10/01/2026 | | | 6,591,000 | | | | 7,606,566 | |
5.30%, 10/01/2029 | | | 1,100,000 | | | | 1,327,295 | |
5.45%, 06/15/2023 | | | 6,070,000 | | | | 6,585,121 | |
6.02%, 06/15/2026 | | | 8,889,000 | | | | 10,671,479 | |
8.35%, 07/15/2046 | | | 3,268,000 | | | | 5,345,152 | |
DXC Technology Co. | | | | | | | | |
4.25%, 04/15/2024 | | | 9,435,000 | | | | 10,233,741 | |
4.75%, 04/15/2027 | | | 4,500,000 | | | | 5,181,185 | |
Fidelity National Information Services, Inc. | | | | | | | | |
2.25%, 03/01/2031 | | | 10,715,000 | | | | 10,695,830 | |
Fiserv, Inc. | | | | | | | | |
3.20%, 07/01/2026 | | | 890,000 | | | | 963,138 | |
3.85%, 06/01/2025 | | | 5,000,000 | | | | 5,500,775 | |
4.40%, 07/01/2049 | | | 2,850,000 | | | | 3,437,563 | |
Genpact Luxembourg Sarl | | | | | | | | |
3.38%, 12/01/2024 | | | 7,000,000 | | | | 7,478,141 | |
Hewlett Packard Enterprise Co. | | | | | | | | |
4.40%, 10/15/2022 | | | 7,500,000 | | | | 7,826,062 | |
HP, Inc. | | | | | | | | |
3.00%, 06/17/2027 | | | 1,380,000 | | | | 1,477,832 | |
Leidos, Inc. | | | | | | | | |
2.30%, 02/15/2031 | | | 1,075,000 | | | | 1,048,792 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
3.63%, 05/15/2025 | | | 3,500,000 | | | | 3,803,450 | |
Microchip Technology, Inc. | | | | | | | | |
0.97%, 02/15/2024(3) | | | 47,789,000 | | | | 47,765,456 | |
0.98%, 09/01/2024(3) | | | 3,000,000 | | | | 2,985,455 | |
2.67%, 09/01/2023 | | | 5,353,000 | | | | 5,575,254 | |
Microsoft Corp. | | | | | | | | |
2.40%, 08/08/2026 | | | 600,000 | | | | 639,524 | |
2.53%, 06/01/2050 | | | 9,330,000 | | | | 9,166,547 | |
2.68%, 06/01/2060 | | | 1,180,000 | | | | 1,168,605 | |
2.92%, 03/17/2052 | | | 231,000 | | | | 245,171 | |
3.04%, 03/17/2062 | | | 589,000 | | | | 628,317 | |
3.50%, 02/12/2035 | | | 318,000 | | | | 369,010 | |
NVIDIA Corp. | | | | | | | | |
1.55%, 06/15/2028 | | | 10,176,000 | | | | 10,134,516 | |
2.00%, 06/15/2031 | | | 11,502,000 | | | | 11,514,265 | |
NXP BV / NXP Funding LLC / NXP USA, Inc. | | | | | | | | |
2.50%, 05/11/2031(3) | | | 3,495,000 | | | | 3,529,570 | |
3.25%, 05/11/2041(3) | | | 10,011,000 | | | | 10,293,007 | |
4.30%, 06/18/2029(3) | | | 7,077,000 | | | | 8,113,924 | |
Oracle Corp. | | | | | | | | |
2.30%, 03/25/2028(13) | | | 5,620,000 | | | | 5,766,159 | |
2.40%, 09/15/2023 | | | 757,000 | | | | 784,924 | |
3.60%, 04/01/2040 | | | 4,953,000 | | | | 5,224,216 | |
3.60%, 04/01/2050 | | | 3,353,000 | | | | 3,443,036 | |
3.80%, 11/15/2037 | | | 600,000 | | | | 657,989 | |
3.85%, 07/15/2036 | | | 1,065,000 | | | | 1,170,800 | |
3.90%, 05/15/2035 | | | 936,000 | | | | 1,042,328 | |
3.95%, 03/25/2051 | | | 1,928,000 | | | | 2,104,390 | |
4.30%, 07/08/2034 | | | 221,000 | | | | 256,200 | |
4.38%, 05/15/2055 | | | 400,000 | | | | 460,514 | |
Roper Technologies, Inc. | | | | | | | | |
1.40%, 09/15/2027 | | | 3,050,000 | | | | 2,999,646 | |
2.00%, 06/30/2030 | | | 1,150,000 | | | | 1,132,463 | |
salesforce.com, Inc. | | | | | | | | |
2.70%, 07/15/2041 | | | 5,841,000 | | | | 5,865,143 | |
2.90%, 07/15/2051 | | | 2,429,000 | | | | 2,452,675 | |
Seagate HDD Cayman | | | | | | | | |
4.75%, 06/01/2023 | | | 1,500,000 | | | | 1,595,985 | |
ServiceNow, Inc. | | | | | | | | |
1.40%, 09/01/2030 | | | 6,530,000 | | | | 6,126,571 | |
SK Hynix, Inc. | | | | | | | | |
1.50%, 01/19/2026(3) | | | 2,000,000 | | | | 1,972,840 | |
VMware, Inc. | | | | | | | | |
2.95%, 08/21/2022 | | | 2,321,000 | | | | 2,381,129 | |
4.65%, 05/15/2027 | | | 1,370,000 | | | | 1,572,317 | |
Xilinx, Inc. | | | | | | | | |
2.38%, 06/01/2030 | | | 2,000,000 | | | | 2,033,017 | |
| | | | | | | | |
Total Technology | | | | 320,658,161 | |
| | | | | | | | |
Utilities – 3.14% | | | | | | | | |
Abu Dhabi National Energy Co. PJSC | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
2.00%, 04/29/2028(3) | | | 2,015,000 | | | | 2,026,284 | |
AEP Texas, Inc. | | | | | | | | |
3.80%, 10/01/2047 | | | 3,715,000 | | | | 4,065,471 | |
AEP Transmission Co. LLC | | | | | | | | |
3.15%, 09/15/2049 | | | 580,000 | | | | 604,096 | |
3.75%, 12/01/2047 | | | 2,600,000 | | | | 2,952,013 | |
4.00%, 12/01/2046 | | | 2,020,000 | | | | 2,377,755 | |
4.25%, 09/15/2048 | | | 4,790,000 | | | | 5,897,049 | |
Alabama Power Co. | | | | | | | | |
2.80%, 04/01/2025 | | | 2,025,000 | | | | 2,140,465 | |
3.75%, 03/01/2045 | | | 182,000 | | | | 205,919 | |
4.10%, 01/15/2042 | | | 233,000 | | | | 267,358 | |
4.15%, 08/15/2044 | | | 205,000 | | | | 245,748 | |
6.13%, 05/15/2038 | | | 219,000 | | | | 312,951 | |
Alexander Funding Trust | | | | | | | | |
1.84%, 11/15/2023(3) | | | 2,000,000 | | | | 2,036,535 | |
Ameren Corp. | | | | | | | | |
2.50%, 09/15/2024 | | | 3,468,000 | | | | 3,646,802 | |
Ameren Illinois Co. | | | | | | | | |
3.25%, 03/15/2050 | | | 617,000 | | | | 666,960 | |
American Electric Power Co., Inc. | | | | | | | | |
0.75%, 11/01/2023 | | | 3,032,000 | | | | 3,033,578 | |
American Water Capital Corp. | | | | | | | | |
3.45%, 06/01/2029 | | | 590,000 | | | | 653,761 | |
3.85%, 03/01/2024 | | | 500,000 | | | | 537,920 | |
4.00%, 12/01/2046 | | | 2,350,000 | | | | 2,745,602 | |
6.59%, 10/15/2037 | | | 386,000 | | | | 569,838 | |
Appalachian Power Co. | | | | | | | | |
6.70%, 08/15/2037 | | | 430,000 | | | | 609,095 | |
APT Pipelines Ltd. | | | | | | | | |
4.20%, 03/23/2025(3) | | | 2,100,000 | | | | 2,302,917 | |
4.25%, 07/15/2027(3) | | | 1,098,000 | | | | 1,239,987 | |
Arizona Public Service Co. | | | | | | | | |
3.35%, 06/15/2024 | | | 676,000 | | | | 722,120 | |
3.75%, 05/15/2046 | | | 2,290,000 | | | | 2,589,873 | |
5.05%, 09/01/2041 | | | 349,000 | | | | 455,116 | |
Atmos Energy Corp. | | | | | | | | |
0.63%, 03/09/2023 | | | 990,000 | | | | 990,304 | |
4.13%, 10/15/2044 | | | 1,860,000 | | | | 2,182,520 | |
4.15%, 01/15/2043 | | | 830,000 | | | | 973,984 | |
Ausgrid Finance Pty Ltd. | | | | | | | | |
4.35%, 08/01/2028(3) | | | 10,275,000 | | | | 11,563,074 | |
Avangrid, Inc. | | | | | | | | |
3.15%, 12/01/2024 | | | 610,000 | | | | 652,162 | |
Baltimore Gas & Electric Co. | | | | | | | | |
2.90%, 06/15/2050 | | | 950,000 | | | | 945,792 | |
3.20%, 09/15/2049 | | | 1,105,000 | | | | 1,155,978 | |
3.50%, 08/15/2046 | | | 375,000 | | | | 413,979 | |
Berkshire Hathaway Energy Co. | | | | | | | | |
2.85%, 05/15/2051 | | | 7,650,000 | | | | 7,401,221 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
3.50%, 02/01/2025 | | | 625,000 | | | | 675,140 | |
6.13%, 04/01/2036 | | | 366,000 | | | | 514,624 | |
Boston Gas Co. | | | | | | | | |
4.49%, 02/15/2042(3) | | | 253,000 | | | | 297,182 | |
Brooklyn Union Gas Co. | | | | | | | | |
3.87%, 03/04/2029(3) | | | 1,125,000 | | | | 1,243,333 | |
4.27%, 03/15/2048(3) | | | 1,100,000 | | | | 1,251,660 | |
4.50%, 03/10/2046(3) | | | 2,000,000 | | | | 2,364,910 | |
CenterPoint Energy Houston Electric LLC | | | | | | | | |
3.95%, 03/01/2048 | | | 151,000 | | | | 180,309 | |
China Southern Power Grid International Finance BVI Co. Ltd. | | | | | | | | |
3.50%, 05/08/2027(3) | | | 1,910,000 | | | | 2,093,047 | |
Cleveland Electric Illuminating Co. | | | | | | | | |
3.50%, 04/01/2028(3) | | | 1,333,000 | | | | 1,424,577 | |
CMS Energy Corp. | | | | | | | | |
2.95%, 02/15/2027 | | | 348,000 | | | | 367,130 | |
3.00%, 05/15/2026 | | | 110,000 | | | | 117,629 | |
3.45%, 08/15/2027 | | | 350,000 | | | | 386,644 | |
Comision Federal de Electricidad | | | | | | | | |
4.88%, 01/15/2024(3) | | | 322,000 | | | | 350,178 | |
Commonwealth Edison Co. | | | | | | | | |
3.65%, 06/15/2046 | | | 364,000 | | | | 413,891 | |
3.75%, 08/15/2047 | | | 1,000,000 | | | | 1,157,880 | |
4.00%, 03/01/2048 | | | 4,615,000 | | | | 5,535,711 | |
Connecticut Light & Power Co. | | | | | | | | |
3.20%, 03/15/2027 | | | 600,000 | | | | 659,333 | |
Consolidated Edison Co. of New York, Inc. | | | | | | | | |
3.85%, 06/15/2046 | | | 2,940,000 | | | | 3,245,183 | |
4.13%, 05/15/2049 | | | 4,293,000 | | | | 5,003,535 | |
4.30%, 12/01/2056 | | | 3,050,000 | | | | 3,590,065 | |
4.50%, 05/15/2058 | | | 538,000 | | | | 649,570 | |
4.65%, 12/01/2048 | | | 1,607,000 | | | | 1,984,752 | |
5.70%, 06/15/2040 | | | 318,000 | | | | 428,567 | |
Consolidated Edison, Inc. | | | | | | | | |
0.65%, 12/01/2023 | | | 7,561,000 | | | | 7,562,036 | |
Consumers Energy Co. | | | | | | | | |
3.25%, 08/15/2046 | | | 190,000 | | | | 203,653 | |
4.35%, 08/31/2064 | | | 191,000 | | | | 241,806 | |
Delmarva Power & Light Co. | | | | | | | | |
4.00%, 06/01/2042 | | | 170,000 | | | | 192,767 | |
Dominion Energy, Inc. | | | | | | | | |
2.45%, 01/15/2023(3) | | | 7,054,000 | | | | 7,262,811 | |
2.85%, 08/15/2026 | | | 304,000 | | | | 323,552 | |
3.30%, 04/15/2041 | | | 4,036,000 | | | | 4,237,444 | |
3.38%, 04/01/2030 | | | 2,570,000 | | | | 2,798,500 | |
4.90%, 08/01/2041 | | | 212,000 | | | | 267,430 | |
5.25%, 08/01/2033 | | | 1,161,000 | | | | 1,457,834 | |
7.00%, 06/15/2038 | | | 124,000 | | | | 184,246 | |
DTE Electric Co. | | | | | | | | |
2.65%, 06/15/2022 | | | 194,000 | | | | 197,218 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
3.25%, 04/01/2051 | | | 3,047,000 | | | | 3,299,290 | |
DTE Energy Co. | | | | | | | | |
1.05%, 06/01/2025 | | | 5,110,000 | | | | 5,108,582 | |
2.53%, 10/01/2024 | | | 6,316,000 | | | | 6,648,625 | |
Duke Energy Carolinas LLC | | | | | | | | |
3.70%, 12/01/2047 | | | 878,000 | | | | 989,776 | |
4.25%, 12/15/2041 | | | 141,000 | | | | 171,073 | |
6.00%, 12/01/2028 | | | 235,000 | | | | 300,087 | |
Duke Energy Corp. | | | | | | | | |
3.75%, 09/01/2046 | | | 10,300,000 | | | | 11,001,196 | |
3.95%, 08/15/2047 | | | 3,432,000 | | | | 3,769,116 | |
Duke Energy Florida LLC | | | | | | | | |
4.20%, 07/15/2048 | | | 3,636,000 | | | | 4,464,604 | |
Duke Energy Indiana LLC | | | | | | | | |
3.75%, 05/15/2046 | | | 600,000 | | | | 671,947 | |
Duke Energy Progress LLC | | | | | | | | |
3.70%, 10/15/2046 | | | 506,000 | | | | 571,276 | |
4.10%, 05/15/2042 | | | 217,000 | | | | 254,544 | |
4.10%, 03/15/2043 | | | 181,000 | | | | 214,551 | |
4.15%, 12/01/2044 | | | 129,000 | | | | 155,703 | |
4.20%, 08/15/2045 | | | 325,000 | | | | 391,755 | |
4.38%, 03/30/2044 | | | 132,000 | | | | 162,894 | |
Duquesne Light Holdings, Inc. | | | | | | | | |
2.53%, 10/01/2030(3) | | | 2,500,000 | | | | 2,455,997 | |
3.62%, 08/01/2027(3) | | | 1,675,000 | | | | 1,816,743 | |
Eastern Energy Gas Holdings LLC | | | | | | | | |
4.60%, 12/15/2044 | | | 1,300,000 | | | | 1,516,615 | |
Edison International | | | | | | | | |
3.13%, 11/15/2022 | | | 4,014,000 | | | | 4,134,325 | |
3.55%, 11/15/2024 | | | 3,606,000 | | | | 3,832,661 | |
5.75%, 06/15/2027 | | | 15,522,000 | | | | 17,661,432 | |
EDP Finance BV | | | | | | | | |
3.63%, 07/15/2024(3) | | | 700,000 | | | | 752,546 | |
Electricite de France SA | | | | | | | | |
4.75%, 10/13/2035(3) | | | 5,000,000 | | | | 6,098,554 | |
Emera US Finance LP | | | | | | | | |
3.55%, 06/15/2026 | | | 3,895,000 | | | | 4,254,119 | |
4.75%, 06/15/2046 | | | 900,000 | | | | 1,068,867 | |
Enel Finance International NV | | | | | | | | |
2.65%, 09/10/2024(3) | | | 1,440,000 | | | | 1,513,647 | |
3.50%, 04/06/2028(3) | | | 5,845,000 | | | | 6,399,707 | |
3.63%, 05/25/2027(3) | | | 12,505,000 | | | | 13,736,192 | |
4.63%, 09/14/2025(3) | | | 1,787,000 | | | | 2,026,718 | |
4.75%, 05/25/2047(3) | | | 5,575,000 | | | | 6,844,717 | |
4.88%, 06/14/2029(3) | | | 215,000 | | | | 256,584 | |
6.00%, 10/07/2039(3) | | | 307,000 | | | | 429,359 | |
Engie Energia Chile SA | | | | | | | | |
3.40%, 01/28/2030(3) | | | 1,600,000 | | | | 1,640,000 | |
Entergy Arkansas LLC | | | | | | | | |
2.65%, 06/15/2051 | | | 960,000 | | | | 908,386 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
3.50%, 04/01/2026 | | | 307,000 | | | | 337,217 | |
Entergy Corp. | | | | | | | | |
2.95%, 09/01/2026 | | | 310,000 | | | | 330,628 | |
Entergy Louisiana LLC | | | | | | | | |
2.40%, 10/01/2026 | | | 650,000 | | | | 679,855 | |
2.90%, 03/15/2051 | | | 1,570,000 | | | | 1,546,381 | |
3.05%, 06/01/2031 | | | 440,000 | | | | 476,510 | |
3.12%, 09/01/2027 | | | 370,000 | | | | 403,345 | |
4.00%, 03/15/2033 | | | 2,610,000 | | | | 3,058,070 | |
Entergy Texas, Inc. | | | | | | | | |
4.50%, 03/30/2039 | | | 11,000,000 | | | | 13,057,285 | |
Evergy Kansas Central, Inc. | | | | | | | | |
4.13%, 03/01/2042 | | | 4,175,000 | | | | 4,921,492 | |
Evergy Metro, Inc. | | | | | | | | |
3.15%, 03/15/2023 | | | 375,000 | | | | 389,619 | |
4.20%, 03/15/2048 | | | 500,000 | | | | 603,412 | |
5.30%, 10/01/2041 | | | 1,032,000 | | | | 1,352,748 | |
Evergy, Inc. | | | | | | | | |
2.90%, 09/15/2029 | | | 2,190,000 | | | | 2,320,779 | |
Exelon Corp. | | | | | | | | |
3.50%, 06/01/2022 | | | 10,180,000 | | | | 10,436,997 | |
4.05%, 04/15/2030 | | | 6,026,000 | | | | 6,863,233 | |
4.70%, 04/15/2050 | | | 2,827,000 | | | | 3,570,828 | |
4.95%, 06/15/2035 | | | 1,500,000 | | | | 1,841,909 | |
Exelon Generation Co. LLC | | | | | | | | |
3.40%, 03/15/2022 | | | 1,180,000 | | | | 1,201,098 | |
5.75%, 10/01/2041 | | | 192,000 | | | | 225,977 | |
6.25%, 10/01/2039 | | | 300,000 | | | | 369,657 | |
FirstEnergy Corp. | | | | | | | | |
4.75%, 03/15/2023 | | | 3,810,000 | | | | 4,021,650 | |
FirstEnergy Transmission LLC | | | | | | | | |
2.87%, 09/15/2028(3) | | | 1,550,000 | | | | 1,604,432 | |
4.35%, 01/15/2025(3) | | | 6,061,000 | | | | 6,649,646 | |
5.45%, 07/15/2044(3) | | | 1,702,000 | | | | 2,123,682 | |
Florida Power & Light Co. | | | | | | | | |
3.70%, 12/01/2047 | | | 2,538,000 | | | | 2,985,092 | |
5.40%, 09/01/2035 | | | 700,000 | | | | 927,544 | |
Fortis, Inc. | | | | | | | | |
3.06%, 10/04/2026 | | | 2,291,000 | | | | 2,456,692 | |
Indiana Michigan Power Co. | | | | | | | | |
3.20%, 03/15/2023 | | | 991,000 | | | | 1,029,335 | |
3.25%, 05/01/2051 | | | 1,570,000 | | | | 1,645,270 | |
Israel Electric Corp. Ltd. | | | | | | | | |
4.25%, 08/14/2028(3) | | | 7,000,000 | | | | 7,836,640 | |
5.00%, 11/12/2024(3) | | | 3,288,000 | | | | 3,674,373 | |
6.88%, 06/21/2023(3) | | | 2,340,000 | | | | 2,610,378 | |
ITC Holdings Corp. | | | | | | | | |
2.70%, 11/15/2022 | | | 10,512,000 | | | | 10,806,586 | |
2.95%, 05/14/2030(3) | | | 890,000 | | | | 936,694 | |
Jersey Central Power & Light Co. | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
2.75%, 03/01/2032(3) | | | 3,990,000 | | | | 4,050,214 | |
4.30%, 01/15/2026(3) | | | 740,000 | | | | 819,006 | |
6.15%, 06/01/2037 | | | 400,000 | | | | 517,151 | |
John Sevier Combined Cycle Generation LLC | | | | | | | | |
4.63%, 01/15/2042 | | | 419,772 | | | | 507,188 | |
KeySpan Gas East Corp. | | | | | | | | |
2.74%, 08/15/2026(3) | | | 538,000 | | | | 564,081 | |
Massachusetts Electric Co. | | | | | | | | |
4.00%, 08/15/2046(3) | | | 624,000 | | | | 694,123 | |
MidAmerican Energy Co. | | | | | | | | |
3.50%, 10/15/2024 | | | 317,000 | | | | 342,782 | |
Mid-Atlantic Interstate Transmission LLC | | | | | | | | |
4.10%, 05/15/2028(3) | | | 9,900,000 | | | | 11,141,212 | |
Monongahela Power Co. | | | | | | | | |
5.40%, 12/15/2043(3) | | | 1,650,000 | | | | 2,159,609 | |
National Rural Utilities Cooperative Finance Corp. | | | | | | | | |
8.00%, 03/01/2032 | | | 791,000 | | | | 1,195,052 | |
Nevada Power Co. | | | | | | | | |
5.38%, 09/15/2040 | | | 261,000 | | | | 339,742 | |
5.45%, 05/15/2041 | | | 386,000 | | | | 511,875 | |
New England Power Co. | | | | | | | | |
3.80%, 12/05/2047(3) | | | 5,108,000 | | | | 5,541,176 | |
New York State Electric & Gas Corp. | | | | | | | | |
3.25%, 12/01/2026(3) | | | 804,000 | | | | 874,972 | |
NextEra Energy Capital Holdings, Inc. | | | | | | | | |
0.65%, 03/01/2023 | | | 7,671,000 | | | | 7,702,306 | |
2.80%, 01/15/2023 | | | 3,671,000 | | | | 3,793,999 | |
Niagara Mohawk Power Corp. | | | | | | | | |
1.96%, 06/27/2030(3) | | | 2,150,000 | | | | 2,115,247 | |
3.51%, 10/01/2024(3) | | | 258,000 | | | | 277,451 | |
NiSource, Inc. | | | | | | | | |
1.70%, 02/15/2031 | | | 1,640,000 | | | | 1,549,685 | |
2.95%, 09/01/2029 | | | 1,520,000 | | | | 1,610,051 | |
3.95%, 03/30/2048 | | | 4,480,000 | | | | 5,106,126 | |
5.80%, 02/01/2042 | | | 774,000 | | | | 1,048,275 | |
Northern States Power Co. | | | | | | | | |
3.60%, 09/15/2047 | | | 2,395,000 | | | | 2,710,268 | |
4.13%, 05/15/2044 | | | 1,480,000 | | | | 1,805,112 | |
NRG Energy, Inc. | | | | | | | | |
2.00%, 12/02/2025(3) | | | 2,685,000 | | | | 2,723,592 | |
2.45%, 12/02/2027(3) | | | 6,215,000 | | | | 6,254,972 | |
4.45%, 06/15/2029(3) | | | 1,155,000 | | | | 1,274,865 | |
OGE Energy Corp. | | | | | | | | |
0.70%, 05/26/2023 | | | 1,300,000 | | | | 1,300,348 | |
Ohio Power Co. | | | | | | | | |
4.15%, 04/01/2048 | | | 1,190,000 | | | | 1,423,567 | |
Oklahoma Gas & Electric Co. | | | | | | | | |
0.55%, 05/26/2023 | | | 1,690,000 | | | | 1,690,054 | |
Oncor Electric Delivery Co. LLC | | | | | | | | |
3.10%, 09/15/2049 | | | 1,895,000 | | | | 1,992,205 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.75%, 03/15/2029 | | | 124,000 | | | | 155,812 | |
Pacific Gas & Electric Co. | | | | | | | | |
1.37%, 03/10/2023 | | | 3,235,000 | | | | 3,235,150 | |
1.53% (3 Month LIBOR USD + 1.38%), 11/15/2021(2) | | | 3,645,000 | | | | 3,652,468 | |
1.75%, 06/16/2022 | | | 7,041,000 | | | | 7,037,116 | |
2.95%, 03/01/2026 | | | 990,000 | | | | 1,012,326 | |
3.45%, 07/01/2025 | | | 1,570,000 | | | | 1,645,645 | |
3.75%, 02/15/2024 | | | 676,000 | | | | 708,627 | |
3.75%, 08/15/2042 | | | 376,000 | | | | 342,078 | |
4.00%, 12/01/2046 | | | 2,043,000 | | | | 1,912,091 | |
4.25%, 08/01/2023 | | | 2,482,000 | | | | 2,629,570 | |
4.30%, 03/15/2045 | | | 638,000 | | | | 612,227 | |
4.45%, 04/15/2042 | | | 1,905,000 | | | | 1,886,040 | |
4.50%, 07/01/2040 | | | 1,233,000 | | | | 1,233,597 | |
PECO Energy Co. | | | | | | | | |
2.80%, 06/15/2050 | | | 860,000 | | | | 857,578 | |
3.70%, 09/15/2047 | | | 2,120,000 | | | | 2,423,716 | |
3.90%, 03/01/2048 | | | 5,235,000 | | | | 6,257,765 | |
4.15%, 10/01/2044 | | | 353,000 | | | | 427,176 | |
Pennsylvania Electric Co. | | | | | | | | |
3.25%, 03/15/2028(3) | | | 2,386,000 | | | | 2,505,425 | |
Pepco Holdings LLC | | | | | | | | |
7.45%, 08/15/2032 | | | 222,000 | | | | 312,167 | |
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | | | | | | | | |
4.13%, 05/15/2027(3) | | | 2,756,000 | | | | 2,988,882 | |
4.88%, 07/17/2049(3) | | | 1,541,000 | | | | 1,677,841 | |
5.50%, 11/22/2021(3) | | | 1,959,000 | | | | 1,989,756 | |
Potomac Electric Power Co. | | | | | | | | |
6.50%, 11/15/2037 | | | 136,000 | | | | 200,689 | |
PPL Electric Utilities Corp. | | | | | | | | |
3.00%, 10/01/2049 | | | 2,105,000 | | | | 2,172,069 | |
4.13%, 06/15/2044 | | | 208,000 | | | | 247,680 | |
Progress Energy, Inc. | | | | | | | | |
3.15%, 04/01/2022 | | | 389,000 | | | | 394,593 | |
Public Service Co. of Colorado | | | | | | | | |
3.55%, 06/15/2046 | | | 353,000 | | | | 383,015 | |
4.10%, 06/15/2048 | | | 2,515,000 | | | | 3,067,040 | |
Public Service Co. of Oklahoma | | | | | | | | |
6.63%, 11/15/2037 | | | 649,000 | | | | 925,670 | |
Public Service Electric & Gas Co. | | | | | | | | |
3.15%, 08/15/2024 | | | 1,000,000 | | | | 1,067,993 | |
3.60%, 12/01/2047 | | | 1,605,000 | | | | 1,823,602 | |
5.38%, 11/01/2039 | | | 117,000 | | | | 156,475 | |
Public Service Enterprise Group, Inc. | | | | | | | | |
1.60%, 08/15/2030 | | | 8,395,000 | | | | 7,955,381 | |
Puget Energy, Inc. | | | | | | | | |
2.38%, 06/15/2028(3) | | | 4,023,000 | | | | 4,064,142 | |
3.65%, 05/15/2025 | | | 1,200,000 | | | | 1,291,242 | |
RGS I&M Funding Corp. | | | | | | | | |
9.82%, 06/07/2022 | | | 12,388 | | | | 12,567 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
San Diego Gas & Electric Co. | | | | | | | | |
3.75%, 06/01/2047 | | | 3,506,000 | | | | 4,000,755 | |
3.95%, 11/15/2041 | | | 310,000 | | | | 347,800 | |
4.15%, 05/15/2048 | | | 1,693,000 | | | | 2,051,481 | |
5.35%, 05/15/2040 | | | 3,430,000 | | | | 4,565,025 | |
6.00%, 06/01/2026 | | | 213,000 | | | | 258,652 | |
Sempra Energy | | | | | | | | |
4.05%, 12/01/2023 | | | 5,000,000 | | | | 5,368,705 | |
6.00%, 10/15/2039 | | | 752,000 | | | | 1,040,746 | |
Southern California Edison Co. | | | | | | | | |
1.85%, 02/01/2022 | | | 48,000 | | | | 48,025 | |
2.95%, 02/01/2051 | | | 6,220,000 | | | | 5,632,268 | |
3.50%, 10/01/2023 | | | 328,000 | | | | 346,683 | |
3.65%, 03/01/2028 | | | 1,200,000 | | | | 1,319,151 | |
3.90%, 12/01/2041 | | | 392,000 | | | | 403,487 | |
4.05%, 03/15/2042 | | | 800,000 | | | | 858,786 | |
4.13%, 03/01/2048 | | | 1,880,000 | | | | 2,003,488 | |
6.05%, 03/15/2039 | | | 253,000 | | | | 340,075 | |
Southern California Gas Co. | | | | | | | | |
2.55%, 02/01/2030 | | | 2,621,000 | | | | 2,707,255 | |
Southern Co. | | | | | | | | |
3.25%, 07/01/2026 | | | 218,000 | | | | 236,588 | |
Southern Co. Gas Capital Corp. | | | | | | | | |
2.45%, 10/01/2023 | | | 230,000 | | | | 239,056 | |
3.25%, 06/15/2026 | | | 225,000 | | | | 243,771 | |
3.95%, 10/01/2046 | | | 282,000 | | | | 313,559 | |
4.40%, 06/01/2043 | | | 160,000 | | | | 189,924 | |
5.88%, 03/15/2041 | | | 1,210,000 | | | | 1,668,558 | |
Southern Power Co. | | | | | | | | |
4.95%, 12/15/2046 | | | 3,064,000 | | | | 3,678,488 | |
5.15%, 09/15/2041 | | | 746,000 | | | | 909,780 | |
Southwest Gas Corp. | | | | | | | | |
3.80%, 09/29/2046 | | | 508,000 | | | | 549,376 | |
Southwestern Public Service Co. | | | | | | | | |
4.50%, 08/15/2041 | | | 350,000 | | | | 431,599 | |
Talent Yield Investments Ltd. | | | | | | | | |
4.50%, 04/25/2022(3) | | | 715,000 | | | | 733,740 | |
Toledo Edison Co. | | | | | | | | |
2.65%, 05/01/2028(3) | | | 1,450,000 | | | | 1,490,681 | |
6.15%, 05/15/2037 | | | 680,000 | | | | 931,857 | |
Tri-State Generation & Transmission Association, Inc. | | | | | | | | |
4.25%, 06/01/2046 | | | 371,000 | | | | 398,910 | |
Union Electric Co. | | | | | | | | |
2.95%, 06/15/2027 | | | 715,000 | | | | 772,922 | |
3.65%, 04/15/2045 | | | 1,370,000 | | | | 1,532,207 | |
Virginia Electric & Power Co. | | | | | | | | |
3.45%, 02/15/2024 | | | 191,000 | | | | 203,363 | |
3.50%, 03/15/2027 | | | 4,955,000 | | | | 5,485,920 | |
4.45%, 02/15/2044 | | | 126,000 | | | | 156,179 | |
4.65%, 08/15/2043 | | | 3,500,000 | | | | 4,439,967 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Vistra Operations Co. LLC | | | | | | | | |
3.55%, 07/15/2024(3) | | | 8,460,000 | | | | 8,932,666 | |
WEC Energy Group, Inc. | | | | | | | | |
3.55%, 06/15/2025 | | | 726,000 | | | | 793,480 | |
Wisconsin Electric Power Co. | | | | | | | | |
3.10%, 06/01/2025 | | | 285,000 | | | | 306,306 | |
Xcel Energy, Inc. | | | | | | | | |
3.35%, 12/01/2026 | | | 5,105,000 | | | | 5,552,729 | |
| | | | | | | | |
Total Utilities | | | | 561,251,141 | |
| | | | | | | | |
Total Corporate Bonds (Cost: $5,490,268,862) | | | | | | | 5,829,325,528 | |
| | | | | | | | |
Government Related – 19.50% | | | | | | | | |
Other Government Related – 1.73% | | | | | | | | |
Alabama Economic Settlement Authority | | | | | | | | |
4.26%, 09/15/2032 | | | 610,000 | | | | 705,327 | |
American Municipal Power, Inc. | | | | | | | | |
7.50%, 02/15/2050 | | | 1,350,000 | | | | 2,199,992 | |
Atlanta Independent School System | | | | | | | | |
5.56%, 03/01/2026 | | | 535,000 | | | | 634,033 | |
Bay Area Toll Authority | | | | | | | | |
2.57%, 04/01/2031 | | | 6,700,000 | | | | 7,066,826 | |
6.26%, 04/01/2049 | | | 1,650,000 | | | | 2,676,899 | |
Bermuda Government International Bond | | | | | | | | |
2.38%, 08/20/2030(3) | | | 1,765,000 | | | | 1,760,587 | |
California Qualified School Bond Joint Powers Authority | | | | | | | | |
7.16%, 03/01/2027 | | | 805,000 | | | | 946,725 | |
Chile Government International Bond | | | | | | | | |
2.55%, 01/27/2032 | | | 1,398,000 | | | | 1,428,756 | |
City of Houston TX Combined Utility System Revenue | | | | | | | | |
3.83%, 05/15/2028 | | | 1,850,000 | | | | 2,104,006 | |
City of Los Angeles Department of Airports | | | | | | | | |
6.58%, 05/15/2039 | | | 1,650,000 | | | | 2,215,697 | |
Clark County School District | | | | | | | | |
5.51%, 06/15/2024 | | | 2,350,000 | | | | 2,572,800 | |
Colombia Government International Bond | | | | | | | | |
3.88%, 02/15/2061 | | | 1,500,000 | | | | 1,342,125 | |
4.00%, 02/26/2024 | | | 737,000 | | | | 780,630 | |
4.50%, 01/28/2026 | | | 1,192,000 | | | | 1,301,020 | |
5.00%, 06/15/2045 | | | 2,872,000 | | | | 3,050,638 | |
5.63%, 02/26/2044 | | | 200,000 | | | | 226,460 | |
7.38%, 09/18/2037 | | | 2,150,000 | | | | 2,824,627 | |
Corp. Andina de Fomento | | | | | | | | |
2.13%, 09/27/2021 | | | 2,630,000 | | | | 2,640,546 | |
2.75%, 01/06/2023 | | | 1,125,000 | | | | 1,161,371 | |
3.25%, 02/11/2022 | | | 1,230,000 | | | | 1,250,824 | |
4.38%, 06/15/2022 | | | 2,735,000 | | | | 2,833,241 | |
County of Cuyahoga OH | | | | | | | | |
9.13%, 10/01/2023 | | | 105,000 | | | | 113,758 | |
Curators of the University of Missouri | | | | | | | | |
5.96%, 11/01/2039 | | | 3,445,000 | | | | 4,606,314 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
District of Columbia Water & Sewer Authority | | | | | | | | |
4.81%, 10/01/2114 | | | 875,000 | | | | 1,240,246 | |
Eaton Community City School District | | | | | | | | |
5.39%, 08/25/2027 | | | 275,000 | | | | 275,523 | |
Export-Import Bank of India | | | | | | | | |
3.88%, 02/01/2028(3) | | | 3,480,000 | | | | 3,764,868 | |
Fannie Mae | | | | | | | | |
0.88%, 08/05/2030 | | | 3,585,000 | | | | 3,394,333 | |
1.63%, 01/07/2025 | | | 6,247,000 | | | | 6,467,431 | |
1.88%, 09/24/2026 | | | 425,000 | | | | 445,576 | |
2.25%, 04/12/2022 | | | 6,542,000 | | | | 6,650,604 | |
2.63%, 09/06/2024 | | | 5,221,000 | | | | 5,579,098 | |
6.25%, 05/15/2029 | | | 630,000 | | | | 857,880 | |
6.63%, 11/15/2030(7) | | | 2,300,000 | | | | 3,327,659 | |
7.13%, 01/15/2030 | | | 1,500,000 | | | | 2,191,288 | |
Federal Home Loan Banks | | | | | | | | |
4.00%, 10/24/2029 | | | 2,000,000 | | | | 2,405,741 | |
Federal Home Loan Mortgage Corp. | | | | | | | | |
6.25%, 07/15/2032 | | | 3,709,000 | | | | 5,448,518 | |
Finnvera OYJ | | | | | | | | |
2.38%, 06/04/2025(3) | | | 600,000 | | | | 636,320 | |
Hydro-Quebec | | | | | | | | |
8.05%, 07/07/2024 | | | 638,000 | | | | 774,495 | |
8.40%, 01/15/2022 | | | 826,000 | | | | 861,054 | |
Idaho Energy Resources Authority | | | | | | | | |
2.86%, 09/01/2046 | | | 3,175,000 | | | | 3,270,898 | |
Indonesia Government International Bond | | | | | | | | |
4.13%, 01/15/2025(3) | | | 1,325,000 | | | | 1,462,143 | |
4.45%, 02/11/2024 | | | 1,130,000 | | | | 1,236,482 | |
5.88%, 01/15/2024(3) | | | 1,300,000 | | | | 1,467,135 | |
Israel Government AID Bond | | | | | | | | |
0.00%, 09/15/2023 | | | 1,837,000 | | | | 1,809,309 | |
0.00%, 11/01/2024 | | | 1,000,000 | | | | 969,811 | |
5.50%, 09/18/2033 | | | 619,000 | | | | 873,120 | |
Japan Finance Organization for Municipalities | | | | | | | | |
1.75%, 09/05/2024(3) | | | 200,000 | | | | 206,162 | |
2.13%, 10/25/2023(3) | | | 3,400,000 | | | | 3,520,938 | |
2.63%, 04/20/2022(3) | | | 6,000,000 | | | | 6,112,359 | |
3.25%, 04/24/2023(3) | | | 1,000,000 | | | | 1,049,851 | |
Los Angeles Department of Water & Power Power System Revenue | | | | | | | | |
6.60%, 07/01/2050 | | | 2,400,000 | | | | 4,088,790 | |
Mexico Government International Bond | | | | | | | | |
2.66%, 05/24/2031 | | | 2,579,000 | | | | 2,519,399 | |
3.60%, 01/30/2025 | | | 868,000 | | | | 953,533 | |
3.75%, 01/11/2028 | | | 3,517,000 | | | | 3,828,923 | |
3.77%, 05/24/2061 | | | 3,240,000 | | | | 3,011,580 | |
4.13%, 01/21/2026 | | | 1,014,000 | | | | 1,144,177 | |
4.28%, 08/14/2041 | | | 7,480,000 | | | | 7,851,307 | |
4.35%, 01/15/2047 | | | 42,000 | | | | 43,817 | |
4.50%, 01/31/2050 | | | 1,275,000 | | | | 1,355,070 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
4.60%, 01/23/2046 | | | 1,494,000 | | | | 1,604,989 | |
4.60%, 02/10/2048 | | | 1,482,000 | | | | 1,588,956 | |
4.75%, 03/08/2044 | | | 450,000 | | | | 496,665 | |
5.75%, 10/12/2110 | | | 588,000 | | | | 702,319 | |
New Hampshire Housing Finance Authority | | | | | | | | |
3.75%, 07/01/2034 | | | 40,000 | | | | 41,139 | |
New Jersey Transportation Trust Fund Authority | | | | | | | | |
5.75%, 12/15/2028 | | | 5,100,000 | | | | 6,076,690 | |
New Jersey Turnpike Authority | | | | | | | | |
7.10%, 01/01/2041 | | | 5,870,000 | | | | 9,392,185 | |
New York State Dormitory Authority | | | | | | | | |
2.20%, 03/15/2034 | | | 4,165,000 | | | | 4,206,173 | |
5.60%, 03/15/2040 | | | 260,000 | | | | 351,185 | |
New York State Urban Development Corp. | | | | | | | | |
5.84%, 03/15/2040 | | | 2,000,000 | | | | 2,628,965 | |
North American Development Bank | | | | | | | | |
2.40%, 10/26/2022 | | | 684,000 | | | | 697,246 | |
North Carolina Housing Finance Agency | | | | | | | | |
3.00%, 01/01/2033 | | | 890,000 | | | | 906,227 | |
North Carolina State Education Assistance Authority | | | | | | | | |
0.00% (3 Month LIBOR USD + 0.80%), 07/25/2036(2)(5) | | | 8,600,000 | | | | 8,615,279 | |
Ohio State University | | | | | | | | |
4.05%, 12/01/2056 | | | 406,000 | | | | 516,982 | |
4.80%, 06/01/2111 | | | 1,102,000 | | | | 1,562,565 | |
Panama Government International Bond | | | | | | | | |
4.50%, 04/16/2050 | | | 1,610,000 | | | | 1,825,982 | |
Peruvian Government International Bond | | | | | | | | |
5.63%, 11/18/2050 | | | 190,000 | | | | 261,229 | |
Philippine Government International Bond | | | | | | | | |
3.20%, 07/06/2046 | | | 4,951,000 | | | | 4,944,770 | |
Port Authority of New York & New Jersey | | | | | | | | |
4.46%, 10/01/2062 | | | 2,065,000 | | | | 2,709,124 | |
5.65%, 11/01/2040 | | | 435,000 | | | | 612,933 | |
5.65%, 11/01/2040 | | | 1,260,000 | | | | 1,775,392 | |
Province of Manitoba Canada | | | | | | | | |
2.13%, 06/22/2026 | | | 400,000 | | | | 419,924 | |
Qatar Government International Bond | | | | | | | | |
4.40%, 04/16/2050(3) | | | 2,951,000 | | | | 3,591,804 | |
4.82%, 03/14/2049(3) | | | 1,200,000 | | | | 1,543,500 | |
5.10%, 04/23/2048(3) | | | 3,140,000 | | | | 4,168,664 | |
Regents of the University of California Medical Center Pooled Revenue | | | | | | | | |
3.71%, 05/15/2120 | | | 3,270,000 | | | | 3,531,552 | |
Republic of South Africa Government International Bond | | | | | | | | |
5.88%, 09/16/2025 | | | 403,000 | | | | 454,866 | |
Resolution Funding Corp. Principal Strip | | | | | | | | |
0.00%, 04/15/2030 | | | 929,000 | | | | 803,534 | |
Romanian Government International Bond | | | | | | | | |
5.13%, 06/15/2048(3) | | | 5,000,000 | | | | 6,113,540 | |
6.75%, 02/07/2022 | | | 250,000 | | | | 259,425 | |
Saudi Government International Bond | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
2.25%, 02/02/2033(3) | | | 1,533,000 | | | | 1,489,233 | |
2.88%, 03/04/2023(3) | | | 5,560,000 | | | | 5,766,832 | |
3.45%, 02/02/2061(3) | | | 3,338,000 | | | | 3,330,256 | |
4.00%, 04/17/2025(3) | | | 3,200,000 | | | | 3,532,000 | |
St Johns County Industrial Development Authority | | | | | | | | |
2.54%, 10/01/2030 | | | 10,000,000 | | | | 10,249,742 | |
State of California | | | | | | | | |
7.30%, 10/01/2039 | | | 3,685,000 | | | | 5,897,503 | |
7.50%, 04/01/2034 | | | 5,540,000 | | | | 8,729,998 | |
State of Illinois | | | | | | | | |
5.00%, 10/01/2022 | | | 685,000 | | | | 725,145 | |
5.00%, 11/01/2022 | | | 10,340,000 | | | | 10,984,382 | |
5.10%, 06/01/2033 | | | 8,755,000 | | | | 10,294,500 | |
Tennessee Valley Authority | | | | | | | | |
0.75%, 05/15/2025 | | | 5,562,000 | | | | 5,595,238 | |
2.88%, 02/01/2027 | | | 805,000 | | | | 884,306 | |
4.25%, 09/15/2065 | | | 1,720,000 | | | | 2,412,517 | |
4.63%, 09/15/2060 | | | 1,308,000 | | | | 1,922,647 | |
5.50%, 06/15/2038 | | | 57,000 | | | | 83,026 | |
5.88%, 04/01/2036 | | | 2,967,000 | | | | 4,410,072 | |
7.13%, 05/01/2030 | | | 1,615,000 | | | | 2,350,016 | |
Tennessee Valley Authority Generic Strip | | | | | | | | |
0.00%, 07/15/2028 | | | 2,000,000 | | | | 1,814,196 | |
0.00%, 03/15/2032 | | | 1,514,000 | | | | 1,257,055 | |
Tennessee Valley Authority Principal Strip | | | | | | | | |
0.00%, 11/01/2025 | | | 1,847,000 | | | | 1,776,374 | |
0.00%, 06/15/2035 | | | 258,000 | | | | 190,127 | |
Texas Private Activity Bond Surface Transportation Corp. | | | | | | | | |
3.92%, 12/31/2049 | | | 1,810,000 | | | | 2,016,403 | |
Three Rivers Local School District | | | | | | | | |
5.21%, 09/15/2027 | | | 285,000 | | | | 285,763 | |
Tokyo Metropolitan Government | | | | | | | | |
2.50%, 06/08/2022(3) | | | 5,000,000 | | | | 5,087,301 | |
3.25%, 06/01/2023(3) | | | 1,200,000 | | | | 1,258,879 | |
University of Virginia | | | | | | | | |
4.18%, 09/01/2117 | | | 1,540,000 | | | | 1,931,081 | |
Uruguay Government International Bond | | | | | | | | |
4.98%, 04/20/2055 | | | 2,590,000 | | | | 3,338,510 | |
5.10%, 06/18/2050 | | | 1,150,000 | | | | 1,504,695 | |
West Contra Costa Unified School District | | | | | | | | |
6.25%, 08/01/2030 | | | 215,000 | | | | 290,910 | |
Westlake City School District | | | | | | | | |
5.23%, 12/01/2026 | | | 430,000 | | | | 431,276 | |
| | | | | | | | |
Total Other Government Related | | | | 309,782,427 | |
| | | | | | | | |
U.S. Treasury Obligations – 17.77% | | | | | | | | |
U.S. Treasury Inflation Indexed Bonds | | | | | | | | |
0.13%, 01/15/2022(8) | | | 2,621,760 | | | | 2,680,750 | |
1.75%, 01/15/2028(8) | | | 764,844 | | | | 924,286 | |
2.50%, 01/15/2029(8) | | | 513,710 | | | | 661,643 | |
3.63%, 04/15/2028(8) | | | 1,722,129 | | | | 2,321,846 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
U.S. Treasury Note/Bond | | | | | | | | |
0.13%, 04/30/2023 | | | 43,080,000 | | | | 42,999,225 | |
0.13%, 05/31/2023 | | | 85,361,000 | | | | 85,177,607 | |
0.13%, 06/30/2023 | | | 35,760,000 | | | | 35,674,791 | |
0.25%, 05/15/2024 | | | 100,000 | | | | 99,453 | |
0.25%, 06/15/2024 | | | 34,476,000 | | | | 34,265,912 | |
0.25%, 07/31/2025 | | | 23,299,000 | | | | 22,858,503 | |
0.25%, 08/31/2025 | | | 14,022,000 | | | | 13,740,465 | |
0.25%, 09/30/2025 | | | 41,038,000 | | | | 40,173,958 | |
0.38%, 11/30/2025 | | | 34,650,000 | | | | 34,026,029 | |
0.38%, 12/31/2025 | | | 16,736,000 | | | | 16,418,931 | |
0.38%, 01/31/2026 | | | 41,379,000 | | | | 40,549,804 | |
0.50%, 02/28/2026 | | | 61,713,000 | | | | 60,777,662 | |
0.63%, 08/15/2030 | | | 108,950,000 | | | | 101,502,246 | |
0.75%, 03/31/2026 | | | 82,999,000 | | | | 82,626,153 | |
0.75%, 04/30/2026 | | | 49,879,000 | | | | 49,625,708 | |
0.75%, 05/31/2026 | | | 35,679,000 | | | | 35,475,518 | |
0.75%, 01/31/2028 | | | 60,000,000 | | | | 58,413,281 | |
0.88%, 06/30/2026 | | | 36,860,000 | | | | 36,842,722 | |
0.88%, 11/15/2030 | | | 21,490,000 | | | | 20,435,647 | |
1.13%, 02/15/2031 | | | 1,404,000 | | | | 1,362,977 | |
1.13%, 05/15/2040 | | | 6,910,000 | | | | 5,965,273 | |
1.13%, 08/15/2040 | | | 9,056,000 | | | | 7,790,990 | |
1.25%, 03/31/2028 | | | 22,075,000 | | | | 22,162,093 | |
1.25%, 04/30/2028 | | | 15,086,000 | | | | 15,133,144 | |
1.25%, 06/30/2028 | | | 37,869,000 | | | | 37,928,170 | |
1.25%, 05/15/2050 | | | 20,092,000 | | | | 16,405,589 | |
1.38%, 08/31/2023 | | | 12,000,000 | | | | 12,283,594 | |
1.38%, 11/15/2040 | | | 136,649,000 | | | | 122,749,235 | |
1.38%, 08/15/2050 | | | 21,271,000 | | | | 17,931,619 | |
1.50%, 01/31/2022 | | | 1,250,000 | | | | 1,260,547 | |
1.50%, 09/30/2024 | | | 26,000,000 | | | | 26,823,672 | |
1.63%, 10/31/2023 | | | 25,000,000 | | | | 25,759,766 | |
1.63%, 05/15/2026 | | | 20,000,000 | | | | 20,730,469 | |
1.63%, 08/15/2029 | | | 48,630,000 | | | | 49,737,472 | |
1.63%, 05/15/2031 | | | 62,824,000 | | | | 63,785,993 | |
1.63%, 11/15/2050 | | | 52,856,000 | | | | 47,471,295 | |
1.75%, 02/28/2022 | | | 37,900,000 | | | | 38,323,414 | |
1.75%, 01/31/2023 | | | 12,000,000 | | | | 12,293,906 | |
1.75%, 05/15/2023 | | | 17,221,000 | | | | 17,705,341 | |
1.75%, 12/31/2024 | | | 36,232,800 | | | | 37,704,758 | |
1.75%, 12/31/2026 | | | 2,230,000 | | | | 2,324,252 | |
1.88%, 11/30/2021 | | | 11,500,000 | | | | 11,587,148 | |
1.88%, 04/30/2022 | | | 2,000,000 | | | | 2,029,688 | |
1.88%, 02/15/2041 | | | 35,542,000 | | | | 34,792,286 | |
1.88%, 02/15/2051 | | | 64,742,000 | | | | 61,788,146 | |
2.00%, 06/30/2024 | | | 543,000 | | | | 567,859 | |
2.00%, 08/15/2025 | | | 150,100 | | | | 157,957 | |
2.00%, 11/15/2026 | | | 71,250,000 | | | | 75,191,016 | |
2.00%, 02/15/2050 | | | 34,679,000 | | | | 34,069,408 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
2.13%, 08/15/2021 | | | 2,805,000 | | | | 2,812,251 | |
2.13%, 12/31/2022 | | | 20,000,000 | | | | 20,581,250 | |
2.13%, 02/29/2024 | | | 10,842,000 | | | | 11,343,866 | |
2.25%, 11/15/2024 | | | 20,529,000 | | | | 21,701,398 | |
2.25%, 11/15/2025 | | | 141,771,000 | | | | 150,831,053 | |
2.25%, 11/15/2027 | | | 130,750,000 | | | | 139,861,641 | |
2.25%, 05/15/2041 | | | 46,773,000 | | | | 48,665,845 | |
2.25%, 08/15/2046 | | | 26,502,100 | | | | 27,402,757 | |
2.25%, 08/15/2049 | | | 9,259,000 | | | | 9,591,745 | |
2.38%, 11/15/2049 | | | 20,832,000 | | | | 22,182,825 | |
2.50%, 05/15/2024 | | | 162,263,000 | | | | 171,878,350 | |
2.50%, 02/15/2045 | | | 132,575,000 | | | | 143,439,935 | |
2.63%, 01/31/2026 | | | 25,000,000 | | | | 27,042,969 | |
2.75%, 05/31/2023 | | | 1,737,000 | | | | 1,820,322 | |
2.75%, 02/15/2024 | | | 1,000,000 | | | | 1,061,992 | |
2.75%, 11/15/2042 | | | 13,300,000 | | | | 14,976,527 | |
2.75%, 08/15/2047 | | | 6,887,000 | | | | 7,833,963 | |
2.75%, 11/15/2047 | | | 6,648,000 | | | | 7,567,813 | |
2.88%, 04/30/2025 | | | 840,000 | | | | 911,072 | |
2.88%, 05/31/2025 | | | 5,392,000 | | | | 5,853,690 | |
2.88%, 05/15/2043 | | | 133,360,000 | | | | 153,374,418 | |
2.88%, 08/15/2045 | | | 7,800,000 | | | | 9,016,922 | |
2.88%, 05/15/2049 | | | 51,136,000 | | | | 59,879,057 | |
3.00%, 11/15/2044 | | | 1,585,000 | | | | 1,865,966 | |
3.00%, 05/15/2047 | | | 3,861,000 | | | | 4,591,121 | |
3.00%, 02/15/2048 | | | 870,000 | | | | 1,037,067 | |
3.00%, 02/15/2049 | | | 2,144,000 | | | | 2,566,854 | |
3.13%, 11/15/2028 | | | 11,575,000 | | | | 13,094,671 | |
3.13%, 02/15/2043 | | | 18,100,000 | | | | 21,626,672 | |
3.13%, 05/15/2048 | | | 24,938,000 | | | | 30,413,644 | |
3.38%, 11/15/2048 | | | 48,630,000 | | | | 62,090,632 | |
3.63%, 08/15/2043 | | | 16,350,000 | | | | 21,058,289 | |
3.63%, 02/15/2044 | | | 10,150,000 | | | | 13,119,272 | |
3.75%, 11/15/2043 | | | 14,450,000 | | | | 18,967,883 | |
4.38%, 11/15/2039 | | | 11,454,000 | | | | 15,934,035 | |
4.38%, 05/15/2041 | | | 1,500,000 | | | | 2,107,441 | |
4.75%, 02/15/2037 | | | 6,162,000 | | | | 8,747,152 | |
5.00%, 05/15/2037 | | | 8,604,000 | | | | 12,539,658 | |
8.00%, 11/15/2021 | | | 4,414,000 | | | | 4,544,696 | |
U.S. Treasury Strip Coupon | | | | | | | | |
0.00%, 08/15/2021 | | | 9,469,000 | | | | 9,468,470 | |
0.00%, 11/15/2021 | | | 4,679,000 | | | | 4,678,405 | |
0.00%, 02/15/2022 | | | 25,367,000 | | | | 25,357,735 | |
0.00%, 05/15/2022 | | | 18,154,000 | | | | 18,143,214 | |
0.00%, 08/15/2022 | | | 4,975,000 | | | | 4,968,951 | |
0.00%, 11/15/2022 | | | 25,950,000 | | | | 25,888,364 | |
0.00%, 08/15/2023 | | | 22,550,000 | | | | 22,417,891 | |
0.00%, 11/15/2023 | | | 23,218,000 | | | | 23,033,197 | |
0.00%, 02/15/2024 | | | 12,206,000 | | | | 12,080,857 | |
0.00%, 05/15/2024 | | | 21,322,000 | | | | 21,040,449 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
0.00%, 08/15/2024 | | | 1,834,000 | | | | 1,804,615 | |
0.00%, 11/15/2024 | | | 6,105,000 | | | | 5,990,092 | |
0.00%, 02/15/2025 | | | 799,000 | | | | 779,965 | |
0.00%, 05/15/2025 | | | 3,279,000 | | | | 3,189,063 | |
0.00%, 08/15/2027 | | | 4,314,000 | | | | 4,009,506 | |
0.00%, 11/15/2027 | | | 4,607,000 | | | | 4,261,404 | |
0.00%, 02/15/2031 | | | 12,590,000 | | | | 10,775,177 | |
0.00%, 02/15/2032 | | | 46,250,000 | | | | 38,591,484 | |
0.00%, 11/15/2034 | | | 2,487,000 | | | | 1,938,981 | |
0.00%, 02/15/2035 | | | 1,824,000 | | | | 1,414,094 | |
0.00%, 05/15/2035 | | | 1,920,000 | | | | 1,479,188 | |
0.00%, 08/15/2035 | | | 175,000 | | | | 133,857 | |
0.00%, 05/15/2036 | | | 121,000 | | | | 90,757 | |
0.00%, 05/15/2039 | | | 455,000 | | | | 314,130 | |
0.00%, 08/15/2041 | | | 1,225,000 | | | | 792,838 | |
| | | | | | | | |
Total U.S. Treasury Obligations | | | | 3,178,668,615 | |
| | | | | | | | |
Total Government Related (Cost: $3,399,445,465) | | | | | | | 3,488,451,042 | |
| | | | | | | | |
Mortgage-Backed Obligations – 34.50% | | | | | | | | |
20 Times Square Trust 2018-20TS | | | | | | | | |
3.20%, 05/15/2035, Series 2018-20TS, Class D(3)(4) | | | 5,204,000 | | | | 5,124,901 | |
510 Asset Backed 2021-NPL1 Trust | | | | | | | | |
2.24%, 06/25/2061, Series 2021-NPL1, Class A1(1)(3) | | | 2,200,000 | | | | 2,200,000 | |
ACRC Holdings LLC | | | | | | | | |
7.08% (1 Month LIBOR USD + 4.60%), 12/22/2021(2)(12) | | | 3,553,636 | | | | 3,553,636 | |
ACRE Commercial Mortgage 2021-FL4 Ltd. | | | | | | | | |
1.18% (1 Month LIBOR USD + 1.10%, 1.10% Floor), 12/18/2037, Series 2021-FL4, Class AS(2)(3) | | | 3,990,000 | | | | 3,970,206 | |
Alternative Loan Trust 2003-22CB | | | | | | | | |
6.00%, 12/25/2033, Series 2003-22CB, Class 3A1 | | | 1,620,509 | | | | 1,685,422 | |
Alternative Loan Trust 2004-2CB | | | | | | | | |
5.75%, 03/25/2034, Series 2004-2CB, Class 1A9 | | | 384,517 | | | | 386,854 | |
Alternative Loan Trust 2005-1CB | | | | | | | | |
7.01% (1 Month LIBOR USD + 7.10%, 7.10% Cap), 03/25/2035, Series 2005-1CB, Class 1A6(2)(5) | | | 115,103 | | | | 17,422 | |
Alternative Loan Trust 2005-20CB | | | | | | | | |
4.66% (1 Month LIBOR USD + 4.75%, 4.75% Cap), 07/25/2035, Series 2005-20CB, Class 3A8(2)(5) | | | 388,884 | | | | 51,413 | |
Alternative Loan Trust 2005-22T1 | | | | | | | | |
4.98% (1 Month LIBOR USD + 5.07%, 5.07% Cap), 06/25/2035, Series 2005-22T1, Class A2(2)(5) | | | 491,309 | | | | 75,675 | |
Alternative Loan Trust 2005-28CB | | | | | | | | |
5.50%, 08/25/2035, Series 2005-28CB, Class 1A4 | | | 167,911 | | | | 167,803 | |
6.00%, 08/25/2035, Series 2005-28CB, Class 3A5 | | | 6,196 | | | | 4,178 | |
Alternative Loan Trust 2005-37T1 | | | | | | | | |
4.96% (1 Month LIBOR USD + 5.05%, 5.05% Cap), 09/25/2035, Series 2005-37T1, Class A2(2)(5) | | | 1,632,495 | | | | 243,729 | |
Alternative Loan Trust 2005-54CB | | | | | | | | |
4.76% (1 Month LIBOR USD + 4.85%, 4.85% Cap), 11/25/2035, Series 2005-54CB, Class 1A2(2)(5) | | | 562,332 | | | | 82,115 | |
5.50%, 11/25/2035, Series 2005-54CB, Class 1A7 | | | 1,995 | | | | 1,937 | |
5.50%, 11/25/2035, Series 2005-54CB, Class 1A11 | | | 142,319 | | | | 134,012 | |
Alternative Loan Trust 2005-64CB | | | | | | | | |
5.50%, 12/25/2035, Series 2005-64CB, Class 1A9 | | | 64,363 | | | | 63,800 | |
Alternative Loan Trust 2006-28CB | | | | | | | | |
6.00%, 10/25/2036, Series 2006-28CB, Class A17 | | | 56,236 | | | | 40,802 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Alternative Loan Trust 2006-43CB | | | | | | | | |
6.00%, 02/25/2022, Series 2006-43CB, Class 2A1 | | | 1,591 | | | | 1,594 | |
American General Mortgage Loan Trust 2006-1 | | | | | | | | |
5.75%, 12/25/2035, Series 2006-1, Class A5(3)(4) | | | 1,198 | | | | 1,258 | |
Anchor Mortgage Trust 2021-RTL1 | | | | | | | | |
2.60%, 10/25/2026, Series 2021-1, Class A1(3) | | | 13,200,000 | | | | 13,224,585 | |
ASG Resecuritization Trust 2011-1 | | | | | | | | |
6.00%, 09/28/2036, Series 2011-1, Class 2A35(3)(4) | | | 89,924 | | | | 82,713 | |
Assurant Commercial Mortgage Trust 2016-1 | | | | | | | | |
3.17%, 05/15/2049, Series 2016-1A, Class AS(3) | | | 9,100,000 | | | | 9,571,335 | |
BAMLL Commercial Mortgage Securities Trust 2012-PARK | | | | | | | | |
2.96%, 12/10/2030, Series 2012-PARK, Class A(3) | | | 809,000 | | | | 834,651 | |
BAMLL Commercial Mortgage Securities Trust 2014-520M | | | | | | | | |
4.35%, 08/15/2046, Series 2014-520M, Class C(3)(4) | | | 1,200,000 | | | | 1,283,675 | |
BAMLL Re-REMIC Trust 2013-FRR2 | | | | | | | | |
0.00%, 09/26/2022, Series 2013-FRR2, Class A(3) | | | 4,000,000 | | | | 3,880,531 | |
BAMLL Re-REMIC Trust 2014-FRR5 | | | | | | | | |
0.00%, 06/27/2045, Series 2014-FRR5, Class AK30(3) | | | 6,300,000 | | | | 6,083,752 | |
Banc of America Alternative Loan Trust 2004-6 | | | | | | | | |
0.00%, 07/25/2049, Series 2004-6, Class 15PO | | | 944 | | | | 624 | |
Banc of America Alternative Loan Trust 2005-11 | | | | | | | | |
5.50%, 12/25/2035, Series 2005-11, Class 1CB4 | | | 6,299 | | | | 6,240 | |
Banc of America Alternative Loan Trust 2006-5 | | | | | | | | |
6.00%, 06/25/2046, Series 2006-5, Class CB7 | | | 25,860 | | | | 25,354 | |
Banc of America Alternative Loan Trust 2007-1 | | | | | | | | |
4.42%, 04/25/2022, Series 2007-1, Class 1A1(4) | | | 11,239 | | | | 11,025 | |
Banc of America Commercial Mortgage Trust 2006-5 | | | | | | | | |
0.92%, 09/10/2047, Series 2006-5, Class XC(3)(4) | | | 115,666 | | | | 1,222 | |
Banc of America Funding 2004-1 Trust | | | | | | | | |
0.00%, 03/25/2034, Series 2004-1, Class PO | | | 16,706 | | | | 13,278 | |
Banc of America Funding 2004-2 Trust | | | | | | | | |
5.75%, 09/20/2034, Series 2004-2, Class 1CB1 | | | 1,216,697 | | | | 1,310,213 | |
Banc of America Funding 2004-C Trust | | | | | | | | |
3.23%, 12/20/2034, Series 2004-C, Class 1A1(4) | | | 32,416 | | | | 33,581 | |
Banc of America Funding 2005-6 Trust | | | | | | | | |
5.50%, 10/25/2035, Series 2005-6, Class 2A7 | | | 18,841 | | | | 19,019 | |
Banc of America Funding 2005-7 Trust | | | | | | | | |
0.00%, 11/25/2035, Series 2005-7, Class 30PO | | | 16,820 | | | | 16,131 | |
Banc of America Funding 2005-8 Trust | | | | | | | | |
0.00%, 01/25/2036, Series 2005-8, Class 30PO | | | 5,800 | | | | 4,320 | |
Banc of America Funding 2005-C Trust | | | | | | | | |
0.33% (1 Month LIBOR USD + 0.24%, 0.24% Floor, 11.00% Cap), 05/20/2035, Series 2005-C, Class A1(2) | | | 1,070,222 | | | | 1,083,410 | |
Banc of America Funding 2005-E Trust | | | | | | | | |
2.98%, 03/20/2035, Series 2005-E, Class 4A1(4) | | | 309 | | | | 309 | |
Banc of America Funding 2006-1 Trust | | | | | | | | |
0.00%, 01/25/2036, Series 2006-1, Class XPO | | | 5,257 | | | | 3,759 | |
Banc of America Mortgage 2003-C Trust | | | | | | | | |
2.37%, 04/25/2033, Series 2003-C, Class 3A1(4) | | | 10,664 | | | | 10,893 | |
BANK 2017-BNK4 | | | | | | | | |
3.63%, 05/15/2050, Series 2017-BNK4, Class A4 | | | 6,790,000 | | | | 7,537,631 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
BANK 2017-BNK8 | | | | | | | | |
3.49%, 11/15/2050, Series 2017-BNK8, Class A4 | | | 12,745,000 | | | | 14,115,404 | |
BANK 2017-BNK9 | | | | | | | | |
3.54%, 11/15/2054, Series 2017-BNK9, Class A4 | | | 6,100,000 | | | | 6,775,210 | |
BANK 2018-BNK10 | | | | | | | | |
3.69%, 02/15/2061, Series 2018-BN10, Class A5 | | | 4,000,000 | | | | 4,476,204 | |
BANK 2019-BNK21 | | | | | | | | |
2.85%, 10/17/2052, Series 2019-BN21, Class A5 | | | 2,742,000 | | | | 2,929,320 | |
BANK 2020-BNK27 | | | | | | | | |
2.14%, 04/15/2063, Series 2020-BN27, Class A5 | | | 1,538,000 | | | | 1,557,521 | |
BANK 2020-BNK28 | | | | | | | | |
1.84%, 03/15/2063, Series 2020-BN28, Class A4 | | | 2,047,000 | | | | 2,020,602 | |
BANK 2020-BNK29 | | | | | | | | |
2.00%, 11/15/2053, Series 2020-BN29, Class A4 | | | 10,775,000 | | | | 10,751,704 | |
BANK 2021-BNK33 | | | | | | | | |
2.56%, 05/15/2064, Series 2021-BN33, Class A5 | | | 1,967,000 | | | | 2,053,359 | |
BANK 2021-BNK34 | | | | | | | | |
2.44%, 06/15/2063, Series 2021-BN34, Class A5 | | | 5,471,000 | | | | 5,652,735 | |
Bayview Financing Trust | | | | | | | | |
3.15%, 11/10/2022, Series 2020-3F, Class A(3)(4)(12) | | | 8,884,294 | | | | 8,884,294 | |
BBCMS Mortgage Trust 2018-C2 | | | | | | | | |
4.05%, 12/15/2051, Series 2018-C2, Class A4 | | | 20,000,000 | | | | 22,852,436 | |
BB-UBS Trust 2012-SHOW | | | | | | | | |
3.43%, 11/05/2036, Series 2012-SHOW, Class A(3) | | | 4,602,000 | | | | 4,874,444 | |
Bear Stearns ARM Trust 2003-2 | | | | | | | | |
2.55%, 01/25/2033, Series 2003-2, Class A5(3)(4) | | | 80,621 | | | | 83,286 | |
Bear Stearns ARM Trust 2003-7 | | | | | | | | |
2.19%, 10/25/2033, Series 2003-7, Class 3A(4) | | | 2,534 | | | | 2,518 | |
Bear Stearns ARM Trust 2004-2 | | | | | | | | |
2.78%, 05/25/2034, Series 2004-2, Class 14A(4) | | | 36,462 | | | | 35,967 | |
Bear Stearns ARM Trust 2006-1 | | | | | | | | |
2.37% (1 Year CMT Index + 2.25%, 2.25% Floor, 9.90% Cap), 02/25/2036, Series 2006-1, Class A1(2) | | | 94,087 | | | | 95,509 | |
Bear Stearns Asset Backed Securities I Trust 2004-AC2 | | | | | | | | |
5.00%, 05/25/2034, Series 2004-AC2, Class 2A | | | 13,381 | | | | 13,004 | |
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR14 | | | | | | | | |
0.76%, 12/11/2038, Series 2006-PW14, Class X1(3)(4) | | | 292,333 | | | | 4 | |
Bear Stearns Commercial Mortgage Securities Trust 2007-TOP26 | | | | | | | | |
0.01%, 01/12/2045, Series 2007-T26, Class X1(3)(4) | | | 10,604,177 | | | | 1,714 | |
Bellemeade Re 2018-1 Ltd. | | | | | | | | |
1.69% (1 Month LIBOR USD + 1.60%), 04/25/2028, Series 2018-1A, Class M1B(2)(3) | | | 1,650,270 | | | | 1,651,332 | |
Bellemeade Re 2018-3 Ltd. | | | | | | | | |
1.94% (1 Month LIBOR USD + 1.85%, 1.85% Floor), 10/25/2028, Series 2018-3A, Class M1B(2)(3) | | | 1,833,624 | | | | 1,838,470 | |
Bellemeade Re 2019-3 Ltd. | | | | | | | | |
1.19% (1 Month LIBOR USD + 1.10%, 1.10% Floor), 07/25/2029, Series 2019-3A, Class M1A(2)(3) | | | 1,211,147 | | | | 1,212,677 | |
1.69% (1 Month LIBOR USD + 1.60%, 1.60% Floor), 07/25/2029, Series 2019-3A, Class M1B(2)(3) | | | 3,600,000 | | | | 3,609,176 | |
Bellemeade Re 2020-1 Ltd. | | | | | | | | |
3.49% (1 Month LIBOR USD + 3.40%), 06/25/2030, Series 2020-1A, Class M1B(2)(3) | | | 117,702 | | | | 117,747 | |
Bellemeade Re 2020-2 Ltd. | | | | | | | | |
2.39% (1 Month LIBOR USD + 2.30%, 2.30% Floor), 08/26/2030, Series 2020-2A, Class M1A(2)(3) | | | 84,759 | | | | 84,795 | |
3.29% (1 Month LIBOR USD + 3.20%, 3.20% Floor), 08/26/2030, Series 2020-2A, Class M1B(2)(3) | | | 625,000 | | | | 629,116 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Benchmark 2018-B6 Mortgage Trust | | | | | | | | |
4.26%, 10/10/2051, Series 2018-B6, Class A4 | | | 6,230,000 | | | | 7,212,159 | |
Benchmark 2019-B15 Mortgage Trust | | | | | | | | |
2.67%, 12/15/2072, Series 2019-B15, Class A4 | | | 30,000,000 | | | | 31,500,675 | |
Benchmark 2020-B16 Mortgage Trust | | | | | | | | |
2.73%, 02/15/2053, Series 2020-B16, Class A5 | | | 511,000 | | | | 540,675 | |
Benchmark 2020-B17 Mortgage Trust | | | | | | | | |
2.29%, 03/15/2053, Series 2020-B17, Class A5 | | | 3,637,000 | | | | 3,724,735 | |
Benchmark 2020-B19 Mortgage Trust | | | | | | | | |
1.55%, 09/15/2053, Series 2020-B19, Class A4 | | | 21,500,000 | | | | 20,976,658 | |
1.85%, 09/15/2053, Series 2020-B19, Class A5 | | | 9,420,000 | | | | 9,304,720 | |
Benchmark 2020-B20 Mortgage Trust | | | | | | | | |
2.03%, 10/15/2053, Series 2020-B20, Class A5 | | | 3,735,000 | | | | 3,736,782 | |
Benchmark 2020-B21 Mortgage Trust | | | | | | | | |
1.98%, 12/17/2053, Series 2020-B21, Class A5 | | | 8,664,000 | | | | 8,619,321 | |
Benchmark 2020-B22 Mortgage Trust | | | | | | | | |
1.97%, 01/15/2054, Series 2020-B22, Class A5 | | | 4,844,000 | | | | 4,818,786 | |
Benchmark 2021-B24 Mortgage Trust | | | | | | | | |
2.01%, 03/15/2054, Series 2021-B24, Class A3 | | | 10,000,000 | | | | 10,155,857 | |
2.26%, 03/15/2054, Series 2021-B24, Class A4 | | | 20,000,000 | | | | 20,309,124 | |
2.58%, 03/15/2054, Series 2021-B24, Class A5 | | | 3,000,000 | | | | 3,136,988 | |
Benchmark 2021-B25 Mortgage Trust | | | | | | | | |
2.58%, 04/15/2054, Series 2021-B25, Class A5 | | | 2,119,000 | | | | 2,216,321 | |
Benchmark 2021-B26 Mortgage Trust | | | | | | | | |
2.61%, 06/15/2054, Series 2021-B26, Class A5 | | | 2,650,000 | | | | 2,779,869 | |
Benchmark 2021-B27 Mortgage Trust | | | | | | | | |
2.10%, 07/15/2054, Series 2021-B27, Class A4 | | | 22,500,000 | | | | 22,714,533 | |
2.39%, 07/15/2054, Series 2021-B27, Class A5 | | | 3,309,000 | | | | 3,404,554 | |
BX Commercial Mortgage Trust 2020-BXLP | | | | | | | | |
0.87% (1 Month LIBOR USD + 0.80%, 0.80% Floor), 12/15/2036, Series 2020-BXLP, Class A(2)(3) | | | 13,101,593 | | | | 13,118,012 | |
CD 2006-CD3 Mortgage Trust | | | | | | | | |
0.89%, 10/15/2048, Series 2006-CD3, Class XS(3)(4) | | | 666,649 | | | | 1,587 | |
CD 2019-CD8 Mortgage Trust | | | | | | | | |
2.66%, 08/15/2057, Series 2019-CD8, Class A3 | | | 20,000,000 | | | | 20,640,726 | |
Central Park Funding Trust 2021-1 | | | | | | | | |
2.85% (1 Month LIBOR USD + 2.75%, 2.75% Floor), 08/29/2022, Series 2021-1, Class PT(2)(3) | | | 11,937,507 | | | | 12,211,010 | |
Chase Mortgage Finance Trust Series 2006-A1 | | | | | | | | |
3.06%, 09/25/2036, Series 2006-A1, Class 2A3(4) | | | 87,434 | | | | 80,755 | |
Chase Mortgage Finance Trust Series 2007-A1 | | | | | | | | |
2.48%, 02/25/2037, Series 2007-A1, Class 2A1(4) | | | 41,072 | | | | 41,560 | |
2.48%, 02/25/2037, Series 2007-A1, Class 1A3(4) | | | 20,237 | | | | 20,515 | |
2.68%, 02/25/2037, Series 2007-A1, Class 9A1(4) | | | 25,315 | | | | 25,741 | |
2.86%, 02/25/2037, Series 2007-A1, Class 7A1(4) | | | 7,001 | | | | 7,177 | |
Chase Mortgage Finance Trust Series 2007-A2 | | | | | | | | |
2.28%, 06/25/2035, Series 2007-A2, Class 1A1(4) | | | 14,688 | | | | 14,339 | |
2.77%, 06/25/2035, Series 2007-A2, Class 2A1(4) | | | 32,696 | | | | 33,226 | |
CHL Mortgage Pass-Through Trust 2002-18 | | | | | | | | |
0.00%, 11/25/2032, Series 2002-18, Class PO | | | 5,357 | | | | 4,864 | |
CHL Mortgage Pass-Through Trust 2004-3 | | | | | | | | |
5.50%, 04/25/2034, Series 2004-3, Class A26 | | | 20,007 | | | | 20,790 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.75%, 04/25/2034, Series 2004-3, Class A4 | | | 13,631 | | | | 14,190 | |
CHL Mortgage Pass-Through Trust 2004-5 | | | | | | | | |
5.50%, 06/25/2034, Series 2004-5, Class 1A4 | | | 85,654 | | | | 87,939 | |
CHL Mortgage Pass-Through Trust 2004-7 | | | | | | | | |
2.45%, 06/25/2034, Series 2004-7, Class 2A1(4) | | | 5,626 | | | | 5,695 | |
CHL Mortgage Pass-Through Trust 2004-8 | | | | | | | | |
4.50%, 06/25/2022, Series 2004-8, Class 2A1 | | | 1,517 | | | | 1,600 | |
CHL Mortgage Pass-Through Trust 2004-HYB1 | | | | | | | | |
2.59%, 05/20/2034, Series 2004-HYB1, Class 2A(4) | | | 7,581 | | | | 7,780 | |
CHL Mortgage Pass-Through Trust 2004-HYB3 | | | | | | | | |
2.10%, 06/20/2034, Series 2004-HYB3, Class 2A(4) | | | 45,722 | | | | 46,862 | |
CHL Mortgage Pass-Through Trust 2004-HYB6 | | | | | | | | |
2.76%, 11/20/2034, Series 2004-HYB6, Class A3(4) | | | 28,493 | | | | 29,389 | |
CHL Mortgage Pass-Through Trust 2005-14 | | | | | | | | |
5.50%, 07/25/2035, Series 2005-14, Class A2 | | | 14,575 | | | | 11,800 | |
CHL Mortgage Pass-Through Trust 2005-16 | | | | | | | | |
5.50%, 09/25/2035, Series 2005-16, Class A23 | | | 6,480 | | | | 5,635 | |
CHL Mortgage Pass-Through Trust 2005-22 | | | | | | | | |
2.61%, 11/25/2035, Series 2005-22, Class 2A1(4) | | | 107,071 | | | | 101,965 | |
Citicorp Mortgage Securities Trust Series 2006-1 | | | | | | | | |
5.00%, 02/25/2022, Series 2006-1, Class 2A1 | | | 1,372 | | | | 1,373 | |
Citicorp Mortgage Securities Trust Series 2006-4 | | | | | | | | |
6.00%, 08/25/2036, Series 2006-4, Class 1A2 | | | 31,652 | | | | 32,270 | |
Citigroup Commercial Mortgage Trust 2014-GC19 | | | | | | | | |
3.75%, 03/10/2047, Series 2014-GC19, Class A3 | | | 3,833,033 | | | | 4,072,355 | |
Citigroup Commercial Mortgage Trust 2014-GC21 | | | | | | | | |
3.58%, 05/10/2047, Series 2014-GC21, Class A4 | | | 2,828,555 | | | | 2,963,147 | |
Citigroup Commercial Mortgage Trust 2014-GC23 | | | | | | | | |
3.36%, 07/10/2047, Series 2014-GC23, Class A3 | | | 6,873,866 | | | | 7,247,018 | |
Citigroup Commercial Mortgage Trust 2015-GC29 | | | | | | | | |
2.94%, 04/10/2048, Series 2015-GC29, Class A3 | | | 9,951,564 | | | | 10,464,356 | |
Citigroup Commercial Mortgage Trust 2015-GC33 | | | | | | | | |
3.78%, 09/10/2058, Series 2015-GC33, Class A4 | | | 717,000 | | | | 787,956 | |
Citigroup Commercial Mortgage Trust 2016-C1 | | | | | | | | |
2.94%, 05/10/2049, Series 2016-C1, Class A3 | | | 10,100,000 | | | | 10,662,508 | |
Citigroup Commercial Mortgage Trust 2016-C3 | | | | | | | | |
3.15%, 11/15/2049, Series 2016-C3, Class A4 | | | 2,764,000 | | | | 2,998,187 | |
Citigroup Commercial Mortgage Trust 2016-GC37 | | | | | | | | |
3.05%, 04/10/2049, Series 2016-GC37, Class A3 | | | 10,676,882 | | | | 11,154,931 | |
Citigroup Commercial Mortgage Trust 2016-P6 | | | | | | | | |
3.72%, 12/10/2049, Series 2016-P6, Class A5(4) | | | 2,783,000 | | | | 3,099,339 | |
Citigroup Commercial Mortgage Trust 2017-P7 | | | | | | | | |
3.44%, 04/14/2050, Series 2017-P7, Class A3 | | | 16,000,000 | | | | 17,509,854 | |
Citigroup Commercial Mortgage Trust 2017-P8 | | | | | | | | |
3.20%, 09/15/2050, Series 2017-P8, Class A3 | | | 21,000,000 | | | | 22,494,478 | |
Citigroup Commercial Mortgage Trust 2018-B2 | | | | | | | | |
3.74%, 03/10/2051, Series 2018-B2, Class A3 | | | 22,000,000 | | | | 24,387,040 | |
Citigroup Commercial Mortgage Trust 2019-C7 | | | | | | | | |
2.86%, 12/15/2072, Series 2019-C7, Class A3 | | | 7,850,000 | | | | 8,364,648 | |
3.10%, 12/15/2072, Series 2019-C7, Class A4 | | | 5,196,000 | | | | 5,649,984 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Citigroup Commercial Mortgage Trust 2020-GC46 | | | | | | | | |
2.72%, 02/15/2053, Series 2020-GC46, Class A5 | | | 13,520,000 | | | | 14,278,669 | |
Citigroup Global Markets Mortgage Securities VII, Inc. | | | | | | | | |
0.00%, 06/25/2033, Series 2003-UP2, Class PO1 | | | 140 | | | | 128 | |
2.59%, 09/25/2033, Series 2003-HYB1, Class A(4) | | | 32,248 | | | | 33,622 | |
Citigroup Mortgage Loan Trust 2009-10 | | | | | | | | |
2.75%, 09/25/2033, Series 2009-10, Class 1A1(3)(4) | | | 100,990 | | | | 101,989 | |
Citigroup Mortgage Loan Trust 2015-A | | | | | | | | |
4.50%, 06/25/2058, Series 2015-A, Class B2(3)(4) | | | 364,871 | | | | 382,784 | |
Citigroup Mortgage Loan Trust 2018-A | | | | | | | | |
4.00%, 01/25/2068, Series 2018-A, Class A1(3)(4) | | | 2,005,507 | | | | 2,007,349 | |
Citigroup Mortgage Loan Trust, Inc. | | | | | | | | |
0.00%, 09/25/2033, Series 2003-1, Class PO3 | | | 3,741 | | | | 3,387 | |
0.00%, 10/25/2033, Series 2003-1, Class PO2 | | | 449 | | | | 395 | |
1.95%, 08/25/2034, Series 2004-UST1, Class A6(4) | | | 5,691 | | | | 5,514 | |
2.38%, 02/25/2035, Series 2005-1, Class 2A1A(4) | | | 19,311 | | | | 18,528 | |
2.82%, 08/25/2035, Series 2005-5, Class 1A2(4) | | | 54,348 | | | | 43,974 | |
5.25%, 10/25/2033, Series 2003-1, Class 2A5 | | | 8,793 | | | | 8,974 | |
5.50%, 05/25/2035, Series 2005-2, Class 2A11 | | | 81,079 | | | | 83,250 | |
5.50%, 11/25/2035, Series 2005-9, Class 2A2 | | | 1,145 | | | | 1,037 | |
6.00%, 11/25/2035, Series 2005-9, Class 22A2 | | | 1,591,716 | | | | 1,613,676 | |
7.00%, 09/25/2033, Series 2003-UP3, Class A3 | | | 2,615 | | | | 2,654 | |
COMM 2012-CCRE1 Mortgage Trust | | | | | | | | |
3.39%, 05/15/2045, Series 2012-CR1, Class A3 | | | 3,284,087 | | | | 3,330,775 | |
COMM 2012-CCRE2 Mortgage Trust | | | | | | | | |
1.78%, 08/15/2045, Series 2012-CR2, Class XA(4) | | | 2,580,399 | | | | 25,250 | |
3.15%, 08/15/2045, Series 2012-CR2, Class A4 | | | 9,614,464 | | | | 9,797,393 | |
COMM 2013-300P Mortgage Trust | | | | | | | | |
4.35%, 08/10/2030, Series 2013-300P, Class A1(3) | | | 516,000 | | | | 546,570 | |
COMM 2013-CCRE10 Mortgage Trust | | | | | | | | |
3.92%, 08/10/2046, Series 2013-CR10, Class A3 | | | 1,952,547 | | | | 2,063,531 | |
COMM 2013-CCRE11 Mortgage Trust | | | | | | | | |
4.26%, 08/10/2050, Series 2013-CR11, Class A4 | | | 8,100,000 | | | | 8,688,577 | |
COMM 2013-CCRE12 Mortgage Trust | | | | | | | | |
3.77%, 10/10/2046, Series 2013-CR12, Class A3 | | | 9,308,032 | | | | 9,764,598 | |
COMM 2013-CCRE7 Mortgage Trust | | | | | | | | |
3.21%, 03/10/2046, Series 2013-CR7, Class A4 | | | 1,225,913 | | | | 1,271,887 | |
COMM 2013-CCRE9 Mortgage Trust | | | | | | | | |
4.02%, 07/10/2045, Series 2013-CR9, Class A3 | | | 862,477 | | | | 893,200 | |
COMM 2013-SFS Mortgage Trust | | | | | | | | |
3.09%, 04/12/2035, Series 2013-SFS, Class A2(3)(4) | | | 708,000 | | | | 725,467 | |
COMM 2014-CCRE15 Mortgage Trust | | | | | | | | |
2.93%, 02/10/2047, Series 2014-CR15, Class A2 | | | 148,038 | | | | 147,246 | |
COMM 2014-CCRE19 Mortgage Trust | | | | | | | | |
3.80%, 08/10/2047, Series 2014-CR19, Class A5 | | | 17,769,300 | | | | 19,233,151 | |
COMM 2014-CCRE20 Mortgage Trust | | | | | | | | |
3.33%, 11/10/2047, Series 2014-CR20, Class A3 | | | 11,066,592 | | | | 11,703,748 | |
COMM 2015-CCRE24 Mortgage Trust | | | | | | | | |
3.43%, 08/10/2048, Series 2015-CR24, Class A4 | | | 7,114,134 | | | | 7,556,920 | |
3.70%, 08/10/2048, Series 2015-CR24, Class A5 | | | 770,833 | | | | 842,849 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
COMM 2015-CCRE25 Mortgage Trust | | | | | | | | |
3.51%, 08/10/2048, Series 2015-CR25, Class A3 | | | 10,328,327 | | | | 10,975,909 | |
3.76%, 08/10/2048, Series 2015-CR25, Class A4 | | | 2,437,000 | | | | 2,678,235 | |
COMM 2015-LC23 Mortgage Trust | | | | | | | | |
3.77%, 10/10/2048, Series 2015-LC23, Class A4 | | | 4,039,090 | | | | 4,443,998 | |
COMM 2018-HOME Mortgage Trust | | | | | | | | |
3.94%, 04/10/2033, Series 2018-HOME, Class A(3)(4) | | | 10,975,000 | | | | 12,025,707 | |
COMM 2020-CBM Mortgage Trust | | | | | | | | |
3.40%, 02/10/2037, Series 2020-CBM, Class C(3) | | | 6,090,000 | | | | 6,028,487 | |
Credit Suisse Commercial Mortgage Trust Series 2007-C2 | | | | | | | | |
0.05%, 01/15/2049, Series 2007-C2, Class AX(3)(4) | | | 1,814,042 | | | | 1 | |
Credit Suisse First Boston Mortgage Securities Corp. | | | | | | | | |
0.00%, 10/25/2033, Series 2003-23, Class 1P | | | 31,932 | | | | 26,861 | |
2.30%, 06/25/2033, Series 2003-AR15, Class 3A1(4) | | | 14,992 | | | | 15,446 | |
5.25%, 09/25/2033, Series 2003-21, Class 1A4 | | | 34,572 | | | | 35,510 | |
5.25%, 09/25/2034, Series 2004-5, Class 3A1 | | | 9,388 | | | | 8,653 | |
6.70%, 02/25/2033, Series 2003-1, Class DB1(4) | | | 58,899 | | | | 59,571 | |
CSAIL 2015-C4 Commercial Mortgage Trust | | | | | | | | |
3.54%, 11/15/2048, Series 2015-C4, Class A3 | | | 7,447,431 | | | | 8,027,079 | |
CSAIL 2016-C7 Commercial Mortgage Trust | | | | | | | | |
3.50%, 11/15/2049, Series 2016-C7, Class A5 | | | 1,882,000 | | | | 2,052,274 | |
CSAIL 2017-C8 Commercial Mortgage Trust | | | | | | | | |
3.13%, 06/15/2050, Series 2017-C8, Class A3 | | | 15,525,000 | | | | 16,403,909 | |
CSAIL 2019-C16 Commercial Mortgage Trust | | | | | | | | |
3.33%, 06/15/2052, Series 2019-C16, Class A3 | | | 1,299,000 | | | | 1,418,897 | |
CSAIL 2021-C20 Commercial Mortgage Trust | | | | | | | | |
2.49%, 03/15/2054, Series 2021-C20, Class A2 | | | 22,125,000 | | | | 22,924,655 | |
2.80%, 03/15/2054, Series 2021-C20, Class A3 | | | 1,700,000 | | | | 1,798,003 | |
CSFB Mortgage-Backed Pass-Through Certificates Series 2003-27 | | | | | | | | |
5.25%, 11/25/2033, Series 2003-27, Class 5A4 | | | 16,347 | | | | 16,563 | |
CSFB Mortgage-Backed Pass-Through Certificates Series 2004-4 | | | | | | | | |
5.50%, 09/25/2034, Series 2004-4, Class 2A4 | | | 26,679 | | | | 27,868 | |
CSFB Mortgage-Backed Pass-Through Certificates Series 2004-8 | | | | | | | | |
5.50%, 12/25/2034, Series 2004-8, Class 1A4 | | | 73,769 | | | | 74,978 | |
CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10 | | | | | | | | |
0.00%, 11/25/2035, Series 2005-10, Class AP | | | 6,766 | | | | 4,740 | |
CSFB Mortgage-Backed Pass-Through Certificates Series 2005-9 | | | | | | | | |
0.00%, 10/25/2035, Series 2005-9, Class AP | | | 11,353 | | | | 9,443 | |
5.50%, 10/25/2035, Series 2005-9, Class DX | | | 145,685 | | | | 16,964 | |
CSMA SFR Holdings II A-1 | | | | | | | | |
3.50%, 07/25/2023(12) | | | 6,408,170 | | | | 6,401,762 | |
CSMC 2014-USA OA LLC | | | | | | | | |
4.37%, 09/15/2037, Series 2014-USA, Class D(3) | | | 3,000,000 | | | | 2,877,688 | |
CSMC 2018-RPL9 Trust | | | | | | | | |
3.85%, 09/25/2057, Series 2018-RPL9, Class A(3)(4) | | | 5,811,385 | | | | 6,071,415 | |
CSMC 2020-RPL3 Trust | | | | | | | | |
2.69%, 03/25/2060, Series 2020-RPL3, Class A1(3)(4) | | | 3,093,507 | | | | 3,133,359 | |
CSMC 2020-RPL6 Trust | | | | | | | | |
2.69%, 03/25/2059, Series 2020-RPL6, Class A1(3)(4) | | | 4,735,577 | | | | 4,794,625 | |
CSMC SER 2020-11R | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
0.00%, 04/28/2038(3)(4) | | | 4,620,092 | | | | 4,709,438 | |
CSMCM 2018-RPL4 Trust | | | | | | | | |
0.00%, 05/25/2058(3)(4) | | | 2,456,528 | | | | 2,512,780 | |
CSMCM 2018-RPL9 Trust | | | | | | | | |
4.52%, 09/25/2057, Series 2018-RPL9, Class CERT(3)(4)(12) | | | 2,495,325 | | | | 2,495,325 | |
DBJPM 16-C1 Mortgage Trust | | | | | | | | |
3.02%, 05/10/2049, Series 2016-C1, Class A3A | | | 13,367,513 | | | | 13,989,772 | |
DBJPM 20-C9 Mortgage Trust | | | | | | | | |
1.64%, 09/15/2053, Series 2020-C9, Class A4 | | | 20,600,000 | | | | 20,215,964 | |
Deutsche Alternative-A Securities, Inc. Mortgage Loan Trust Series 2005-1 | | | | | | | | |
4.35%, 02/25/2022, Series 2005-1, Class 2A1(4) | | | 5,601 | | | | 5,563 | |
Deutsche Mortgage Securities, Inc. Mortgage Loan Trust 2004-4 | | | | | | | | |
6.15%, 04/25/2034, Series 2004-4, Class 1A6(1) | | | 48 | | | | 48 | |
Eagle RE 2018-1 Ltd. | | | | | | | | |
1.79% (1 Month LIBOR USD + 1.70%, 1.70% Floor), 11/25/2028, Series 2018-1, Class M1(2)(3) | | | 1,514,166 | | | | 1,515,184 | |
Eagle RE 2019-1 Ltd. | | | | | | | | |
1.89% (1 Month LIBOR USD + 1.80%), 04/25/2029, Series 2019-1, Class M1B(2)(3) | | | 866,253 | | | | 869,112 | |
Eagle RE 2021-1 Ltd. | | | | | | | | |
1.72% (30-day Average Secured Overnight Financing Rate + 1.70%, 1.70% Floor), 10/25/2033, Series 2021-1, Class M1A(2)(3) | | | 16,710,000 | | | | 16,761,801 | |
Fannie Mae | | | | | | | | |
2.00%, 07/01/2036(9) | | | 43,905,000 | | | | 45,284,749 | |
2.00%, 09/01/2036(9) | | | 8,310,000 | | | | 8,547,302 | |
2.00%, 07/01/2050(9) | | | 166,850,000 | | | | 168,466,361 | |
2.50%, 07/01/2051(9) | | | 52,795,000 | | | | 54,605,704 | |
2.50%, 08/01/2051(9) | | | 73,675,000 | | | | 76,057,926 | |
2.50%, 09/01/2051(9) | | | 86,690,000 | | | | 89,300,859 | |
3.00%, 07/01/2051(9) | | | 110,600,000 | | | | 115,285,379 | |
3.50%, 07/01/2051(9) | | | 58,920,000 | | | | 62,019,054 | |
4.00%, 07/01/2051(9) | | | 6,275,000 | | | | 6,681,895 | |
4.50%, 07/01/2051(9) | | | 14,535,000 | | | | 15,636,480 | |
Fannie Mae Grantor Trust 1999-T2 | | | | | | | | |
7.50%, 01/19/2039, Series 1999-T2, Class A1(4) | | | 49,526 | | | | 53,606 | |
Fannie Mae Grantor Trust 2001-T3 | | | | | | | | |
7.50%, 11/25/2040, Series 2001-T3, Class A1 | | | 80,992 | | | | 90,862 | |
Fannie Mae Grantor Trust 2002-T16 | | | | | | | | |
7.00%, 07/25/2042, Series 2002-T16, Class A2 | | | 93,436 | | | | 112,370 | |
Fannie Mae Grantor Trust 2004-T1 | | | | | | | | |
6.50%, 01/25/2044, Series 2004-T1, Class 1A2 | | | 18,221 | | | | 21,281 | |
Fannie Mae Grantor Trust 2004-T2 | | | | | | | | |
3.61%, 07/25/2043, Series 2004-T2, Class 2A(4) | | | 77,650 | | | | 81,353 | |
7.50%, 11/25/2043, Series 2004-T2, Class 1A4 | | | 157,078 | | | | 183,424 | |
Fannie Mae Grantor Trust 2004-T3 | | | | | | | | |
6.50%, 02/25/2044, Series 2004-T3, Class 1A2 | | | 236,872 | | | | 276,918 | |
7.00%, 02/25/2044, Series 2004-T3, Class 1A3 | | | 101,302 | | | | 120,348 | |
10.24%, 01/25/2044, Series 2004-T3, Class PT1(4) | | | 19,176 | | | | 23,206 | |
Fannie Mae Grantor Trust 2017-T1 | | | | | | | | |
2.90%, 06/25/2027, Series 2017-T1, Class A | | | 6,521,327 | | | | 7,096,166 | |
Fannie Mae Interest Strip | | | | | | | | |
0.00%, 09/25/2024, Series 300, Class 1 | | | 21,456 | | | | 21,089 | |
0.00%, 01/25/2033, Series 329, Class 1 | | | 5,928 | | | | 5,624 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
0.59% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 08/25/2042, Series 412, Class F2(2) | | | 397,692 | | | | 401,212 | |
0.64% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.50% Cap), 08/25/2042, Series 411, Class F1(2) | | | 905,117 | | | | 909,594 | |
5.00%, 12/25/2033, Series 345, Class 6(4) | | | 8,084 | | | | 1,076 | |
5.50%, 05/25/2036, Series 365, Class 8 | | | 30,336 | | | | 6,050 | |
5.50%, 08/25/2036, Series 374, Class 5 | | | 21,796 | | | | 3,815 | |
5.50%, 04/25/2037, Series 393, Class 6 | | | 8,952 | | | | 1,261 | |
6.00%, 01/25/2038, Series 383, Class 33 | | | 20,902 | | | | 4,000 | |
7.50%, 04/25/2023, Series 218, Class 2 | | | 204 | | | | 10 | |
9.00%, 03/25/2024, Series 265, Class 2 | | | 183 | | | | 194 | |
Fannie Mae Pool | | | | | | | | |
0.44% (1 Month LIBOR USD + 0.35%, 0.35% Floor, 97.76% Cap), 01/01/2023(2) | | | 1,308,704 | | | | 1,307,145 | |
0.57% (1 Month LIBOR USD + 0.48%, 0.48% Floor, 98.56% Cap), 09/01/2024(2) | | | 3,364,704 | | | | 3,363,310 | |
0.89% (1 Month LIBOR USD + 0.80%, 0.80% Floor, 98.04% Cap), 03/01/2022(2) | | | 841,421 | | | | 840,914 | |
1.45% (6 Month LIBOR USD + 1.20%, 1.20% Floor, 10.34% Cap), 08/01/2034(2) | | | 19,996 | | | | 20,112 | |
1.48% (6 Month LIBOR USD + 1.23%, 1.23% Floor, 12.61% Cap), 09/01/2036(2) | | | 76,119 | | | | 78,214 | |
1.50%, 01/01/2031 | | | 10,000,000 | | | | 9,965,656 | |
1.50%, 10/01/2050 | | | 2,284,078 | | | | 2,240,177 | |
1.50%, 11/01/2050 | | | 5,215,293 | | | | 5,115,032 | |
1.50%, 12/01/2050 | | | 16,137,118 | | | | 15,826,497 | |
1.52% (1 Year LIBOR USD + 1.27%, 1.27% Floor, 9.89% Cap), 05/01/2035(2) | | | 8,568 | | | | 8,606 | |
1.55% (6 Month LIBOR USD + 1.30%, 1.30% Floor, 11.97% Cap), 07/01/2037(2) | | | 42,165 | | | | 43,526 | |
1.56%, 01/01/2031 | | | 2,275,000 | | | | 2,279,408 | |
1.66% (6 Month LIBOR USD + 1.41%, 1.41% Floor, 9.28% Cap), 09/01/2033(2) | | | 26,970 | | | | 27,106 | |
1.71% (6 Month LIBOR USD + 1.46%, 1.48% Floor, 12.68% Cap), 02/01/2037(2) | | | 40,123 | | | | 41,662 | |
1.74% (6 Month LIBOR USD + 1.49%, 1.49% Floor, 12.66% Cap), 01/01/2037(2) | | | 29,846 | | | | 31,025 | |
1.76% (6 Month LIBOR USD + 1.51%, 1.51% Floor, 10.88% Cap), 01/01/2035(2) | | | 103,767 | | | | 107,667 | |
1.80% (6 Month LIBOR USD + 1.55%, 1.55% Floor, 10.98% Cap), 02/01/2035(2) | | | 2,989 | | | | 3,105 | |
1.85% (6 Month LIBOR USD + 1.60%, 1.60% Floor, 10.27% Cap), 09/01/2036(2) | | | 26,210 | | | | 27,343 | |
1.88% (1 Year LIBOR USD + 1.51%, 1.51% Floor, 9.70% Cap), 03/01/2035(2) | | | 14,425 | | | | 14,539 | |
1.88% (1 Year LIBOR USD + 1.51%, 1.51% Floor, 10.24% Cap), 01/01/2035(2) | | | 6,885 | | | | 6,951 | |
1.95% (1 Year LIBOR USD + 1.70%, 1.70% Floor, 11.41% Cap), 05/01/2036(2) | | | 4,524 | | | | 4,572 | |
1.97% (1 Year LIBOR USD + 1.60%, 1.60% Floor, 10.91% Cap), 05/01/2035(2) | | | 5,347 | | | | 5,406 | |
1.98% (1 Year LIBOR USD + 1.60%, 1.60% Floor, 10.89% Cap), 04/01/2037(2) | | | 11,027 | | | | 11,200 | |
1.99% (1 Year LIBOR USD + 1.49%, 1.49% Floor, 10.29% Cap), 11/01/2033(2) | | | 28,024 | | | | 28,194 | |
2.00%, 08/01/2031 | | | 1,811,073 | | | | 1,875,270 | |
2.00%, 01/01/2036 | | | 15,417,871 | | | | 15,958,861 | |
2.00%, 06/01/2040 | | | 3,791,783 | | | | 3,849,650 | |
2.00%, 07/01/2040 | | | 3,668,992 | | | | 3,739,646 | |
2.00%, 09/01/2040 | | | 2,030,163 | | | | 2,057,487 | |
2.00%, 02/01/2041 | | | 9,079,738 | | | | 9,269,295 | |
2.00%, 05/01/2041 | | | 39,572,165 | | | | 40,249,341 | |
2.00%, 09/01/2050 | | | 7,995,935 | | | | 8,078,697 | |
2.00%, 10/01/2050 | | | 30,053,816 | | | | 30,364,829 | |
2.00%, 11/01/2050 | | | 17,828,079 | | | | 18,012,897 | |
2.00%, 01/01/2051 | | | 4,392,652 | | | | 4,438,187 | |
2.00%, 01/01/2051 | | | 15,575,657 | | | | 15,736,974 | |
2.00%, 02/01/2051 | | | 8,212,931 | | | | 8,318,431 | |
2.01% (1 Year LIBOR USD + 1.47%, 1.47% Floor, 9.99% Cap), 10/01/2034(2) | | | 6,798 | | | | 7,118 | |
2.05% (1 Year CMT Index + 1.86%, 2.04% Floor, 10.05% Cap), 07/01/2035(2) | | | 6,044 | | | | 6,015 | |
2.06% (1 Year LIBOR USD + 1.36%, 1.36% Floor, 11.27% Cap), 11/01/2037(2) | | | 69,562 | | | | 72,711 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
2.06% (1 Year LIBOR USD + 1.71%, 1.71% Floor, 8.87% Cap), 01/01/2034(2) | | | 5,317 | | | | 5,405 | |
2.08% (1 Year LIBOR USD + 1.58%, 1.58% Floor, 10.45% Cap), 09/01/2035(2) | | | 13,155 | | | | 13,432 | |
2.09% (1 Year LIBOR USD + 1.49%, 1.49% Floor, 10.60% Cap), 09/01/2037(2) | | | 16,468 | | | | 16,745 | |
2.11% (1 Year LIBOR USD + 1.49%, 1.49% Floor, 11.86% Cap), 09/01/2037(2) | | | 3,410 | | | | 3,392 | |
2.12% (1 Year CMT Index + 2.00%, 2.00% Floor, 9.11% Cap), 11/01/2034(2) | | | 3,911 | | | | 3,923 | |
2.13% (12 Month U.S. Treasury Average + 1.93%, 1.93% Floor, 8.54% Cap), 01/01/2036(2) | | | 56,660 | | | | 59,911 | |
2.13% (1 Year LIBOR USD + 1.60%, 1.60% Floor, 9.34% Cap), 08/01/2033(2) | | | 17,643 | | | | 18,519 | |
2.14% (1 Year LIBOR USD + 1.64%, 1.64% Floor, 9.94% Cap), 08/01/2034(2) | | | 10,495 | | | | 10,644 | |
2.16% (1 Year LIBOR USD + 1.57%, 1.57% Floor, 11.38% Cap), 09/01/2036(2) | | | 27,766 | | | | 28,934 | |
2.16% (1 Year LIBOR USD + 1.79%, 1.79% Floor, 10.19% Cap), 01/01/2038(2) | | | 16,787 | | | | 16,792 | |
2.17% (1 Year CMT Index + 2.05%, 2.05% Floor, 9.42% Cap), 07/01/2034(2) | | | 385 | | | | 387 | |
2.22% (1 Year LIBOR USD + 1.47%, 1.47% Floor, 10.72% Cap), 07/01/2037(2) | | | 7,565 | | | | 7,604 | |
2.23% (1 Year LIBOR USD + 1.82%, 1.82% Floor, 10.94% Cap), 12/01/2036(2) | | | 43,187 | | | | 43,843 | |
2.23% (1 Year LIBOR USD + 1.73%, 1.73% Floor, 9.88% Cap), 11/01/2034(2) | | | 5,577 | | | | 5,596 | |
2.25% (11th District Cost of Funds Index + 1.25%, 1.95% Floor, 12.65% Cap), 09/01/2027(2) | | | 2,299 | | | | 2,338 | |
2.26% (1 Year CMT Index + 2.03%, 2.03% Floor, 10.72% Cap), 11/01/2037(2) | | | 39,697 | | | | 42,492 | |
2.27% (1 Year LIBOR USD + 1.64%, 1.64% Floor, 10.97% Cap), 09/01/2034(2) | | | 750 | | | | 755 | |
2.28% (6 Month LIBOR USD + 2.03%, 2.03% Floor, 10.79% Cap), 02/01/2037(2) | | | 37,320 | | | | 39,365 | |
2.29%, 10/01/2026 | | | 9,780,805 | | | | 10,304,048 | |
2.29% (1 Year LIBOR USD + 1.94%, 1.94% Floor, 10.91% Cap), 01/01/2037(2) | | | 12,514 | | | | 12,764 | |
2.31% (1 Year LIBOR USD + 1.94%, 1.94% Floor, 10.31% Cap), 12/01/2036(2) | | | 10,970 | | | | 10,996 | |
2.32% (1 Year LIBOR USD + 1.69%, 1.67% Floor, 10.95% Cap), 09/01/2036(2) | | | 66,001 | | | | 68,491 | |
2.32%, 12/01/2022 | | | 337,046 | | | | 343,303 | |
2.32% (1 Year LIBOR USD + 1.82%, 1.82% Floor, 11.20% Cap), 09/01/2036(2) | | | 13,414 | | | | 13,550 | |
2.32% (1 Year LIBOR USD + 1.95%, 1.95% Floor, 12.32% Cap), 11/01/2036(2) | | | 387 | | | | 387 | |
2.32% (1 Year LIBOR USD + 1.86%, 1.86% Floor, 10.47% Cap), 06/01/2036(2) | | | 19,881 | | | | 20,233 | |
2.34% (1 Year LIBOR USD + 1.65%, 1.66% Floor, 10.86% Cap), 07/01/2037(2) | | | 79,341 | | | | 83,772 | |
2.34%, 12/01/2022 | | | 1,982,923 | | | | 2,020,206 | |
2.34%, 01/01/2023 | | | 1,231,132 | | | | 1,256,125 | |
2.36% (1 Year CMT Index + 2.23%, 2.23% Floor, 9.68% Cap), 01/01/2036(2) | | | 19,571 | | | | 20,751 | |
2.37%, 01/01/2023 | | | 979,821 | | | | 999,621 | |
2.38% (1 Year LIBOR USD + 1.77%, 1.77% Floor, 11.62% Cap), 10/01/2036(2) | | | 26,932 | | | | 27,021 | |
2.38%, 11/01/2022 | | | 777,219 | | | | 790,978 | |
2.39% (1 Year LIBOR USD + 1.81%, 1.81% Floor, 9.16% Cap), 09/01/2033(2) | | | 7,704 | | | | 8,125 | |
2.40% (1 Year LIBOR USD + 1.77%, 1.77% Floor, 10.84% Cap), 08/01/2036(2) | | | 39,163 | | | | 41,101 | |
2.40% (1 Year CMT Index + 2.23%, 2.23% Floor, 9.63% Cap), 04/01/2035(2) | | | 22,450 | | | | 22,798 | |
2.41%, 11/01/2022 | | | 140,041 | | | | 142,558 | |
2.42%, 12/01/2022 | | | 1,055,023 | | | | 1,075,711 | |
2.42%, 06/01/2023 | | | 807,348 | | | | 830,339 | |
2.42% (1 Year CMT Index + 2.30%, 2.30% Floor, 9.19% Cap), 06/01/2034(2) | | | 23,610 | | | | 25,133 | |
2.43% (1 Year CMT Index + 2.12%, 2.12% Floor, 10.49% Cap), 08/01/2036(2) | | | 9,820 | | | | 9,927 | |
2.44% (1 Year LIBOR USD + 1.75%, 1.75% Floor, 10.00% Cap), 08/01/2034(2) | | | 4,272 | | | | 4,321 | |
2.45%, 11/01/2022 | | | 1,357,341 | | | | 1,382,340 | |
2.45%, 02/01/2023 | | | 1,290,000 | | | | 1,320,231 | |
2.46% (1 Year CMT Index + 2.26%, 2.26% Floor, 10.76% Cap), 12/01/2037(2) | | | 63,603 | | | | 67,101 | |
2.49%, 03/01/2023 | | | 726,891 | | | | 744,640 | |
2.50%, 04/01/2023 | | | 1,445,000 | | | | 1,485,362 | |
2.50%, 09/01/2027 | | | 241,902 | | | | 253,438 | |
2.50%, 04/01/2028 | | | 2,347,720 | | | | 2,459,938 | |
2.50%, 04/01/2030 | | | 1,384,009 | | | | 1,458,147 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
2.50%, 05/01/2030 | | | 1,604,494 | | | | 1,684,620 | |
2.50%, 11/01/2031 | | | 2,299,777 | | | | 2,414,743 | |
2.50%, 12/01/2034 | | | 12,539,163 | | | | 13,177,119 | |
2.50%, 08/01/2035 | | | 2,493,155 | | | | 2,624,781 | |
2.50%, 08/01/2035 | | | 5,665,403 | | | | 5,969,840 | |
2.50%, 09/01/2035 | | | 7,739,186 | | | | 8,150,869 | |
2.50%, 12/01/2036 | | | 2,051,287 | | | | 2,129,173 | |
2.50%, 05/01/2041 | | | 18,052,665 | | | | 18,787,147 | |
2.50%, 01/01/2043 | | | 1,676,559 | | | | 1,751,147 | |
2.50%, 02/01/2043 | | | 757,605 | | | | 791,311 | |
2.50%, 10/01/2043 | | | 1,571,052 | | | | 1,640,922 | |
2.50%, 05/01/2046 | | | 720,502 | | | | 748,018 | |
2.50%, 07/01/2046 | | | 1,869,652 | | | | 1,943,423 | |
2.50%, 08/01/2046 | | | 682,327 | | | | 708,505 | |
2.50%, 10/01/2046 | | | 553,649 | | | | 574,898 | |
2.50%, 11/01/2049 | | | 289,209 | | | | 299,409 | |
2.50%, 03/01/2050 | | | 934,470 | | | | 968,796 | |
2.50%, 06/01/2050 | | | 1,292,631 | | | | 1,343,596 | |
2.50%, 06/01/2050 | | | 2,925,538 | | | | 3,040,877 | |
2.50%, 06/01/2050 | | | 4,968,489 | | | | 5,164,425 | |
2.50%, 06/01/2050 | | | 18,848,358 | | | | 19,513,098 | |
2.50%, 07/01/2050 | | | 2,855,733 | | | | 2,968,317 | |
2.50%, 07/01/2050 | | | 7,593,880 | | | | 7,893,284 | |
2.50%, 08/01/2050 | | | 3,110,260 | | | | 3,232,882 | |
2.50%, 08/01/2050 | | | 23,537,429 | | | | 24,367,542 | |
2.50%, 09/01/2050 | | | 70,937 | | | | 73,439 | |
2.50%, 09/01/2050 | | | 3,782,026 | | | | 3,949,224 | |
2.50%, 09/01/2050 | | | 7,897,199 | | | | 8,153,725 | |
2.50%, 10/01/2050 | | | 56,934,349 | | | | 58,942,297 | |
2.50%, 11/01/2050 | | | 2,397,328 | | | | 2,485,195 | |
2.50%, 11/01/2050 | | | 7,822,655 | | | | 8,098,543 | |
2.50%, 12/01/2050 | | | 14,395,620 | | | | 14,919,127 | |
2.50%, 03/01/2051 | | | 2,727,730 | | | | 2,834,643 | |
2.50%, 04/01/2051 | | | 19,597,716 | | | | 20,288,884 | |
2.50%, 05/01/2051 | | | 3,684,723 | | | | 3,829,156 | |
2.52% (1 Year CMT Index + 2.32%, 2.32% Floor, 11.02% Cap), 09/01/2037(2) | | | 13,854 | | | | 14,843 | |
2.52%, 05/01/2023 | | | 3,302,000 | | | | 3,397,906 | |
2.52%, 11/01/2029 | | | 14,602,209 | | | | 15,668,219 | |
2.52% (1 Year LIBOR USD + 1.77%, 1.77% Floor, 11.10% Cap), 07/01/2036(2) | | | 22,457 | | | | 22,839 | |
2.53% (1 Year LIBOR USD + 1.88%, 1.88% Floor, 11.53% Cap), 08/01/2036(2) | | | 15,347 | | | | 15,501 | |
2.54% (1 Year LIBOR USD + 1.91%, 1.91% Floor, 12.16% Cap), 09/01/2037(2) | | | 4,283 | | | | 4,249 | |
2.55%, 11/01/2022 | | | 360,027 | | | | 366,963 | |
2.55%, 11/01/2022 | | | 1,127,076 | | | | 1,148,790 | |
2.55%, 10/01/2028 | | | 9,193,678 | | | | 9,876,716 | |
2.56% (1 Year LIBOR USD + 1.80%, 1.80% Floor, 10.20% Cap), 07/01/2037(2) | | | 30,937 | | | | 31,099 | |
2.58% (1 Year LIBOR USD + 2.08%, 2.08% Floor, 10.93% Cap), 10/01/2036(2) | | | 48,244 | | | | 51,666 | |
2.58%, 09/01/2028 | | | 3,830,000 | | | | 4,122,943 | |
2.59%, 09/01/2028 | | | 7,552,000 | | | | 8,137,757 | |
2.60%, 06/01/2022 | | | 742,019 | | | | 750,134 | |
2.62% (1 Year LIBOR USD + 2.08%, 2.08% Floor, 11.15% Cap), 10/01/2036(2) | | | 32,288 | | | | 33,088 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
2.62%, 10/01/2028 | | | 9,132,686 | | | | 9,789,711 | |
2.63% (1 Year CMT Index + 2.38%, 2.38% Floor, 10.19% Cap), 10/01/2034(2) | | | 23,266 | | | | 24,848 | |
2.64% (1 Year LIBOR USD + 1.86%, 1.86% Floor, 11.11% Cap), 06/01/2036(2) | | | 70,686 | | | | 75,069 | |
2.64%, 04/01/2023 | | | 322,926 | | | | 331,944 | |
2.64%, 07/01/2023 | | | 413,000 | | | | 427,059 | |
2.65%, 08/01/2022 | | | 1,032,000 | | | | 1,047,337 | |
2.67%, 07/01/2022 | | | 624,000 | | | | 632,309 | |
2.68%, 05/01/2025 | | | 1,777,587 | | | | 1,893,963 | |
2.70%, 04/01/2023(4) | | | 374,032 | | | | 384,985 | |
2.70%, 04/01/2025 | | | 4,698,021 | | | | 5,006,725 | |
2.71% (1 Year CMT Index + 2.47%, 2.47% Floor, 10.44% Cap), 10/01/2035(2) | | | 37,521 | | | | 37,761 | |
2.75%, 03/01/2022 | | | 153,068 | | | | 154,860 | |
2.75% (6 Month LIBOR USD + 2.50%, 2.50% Floor, 10.63% Cap), 02/01/2036(2) | | | 4,361 | | | | 4,402 | |
2.75% (6 Month LIBOR USD + 2.50%, 2.50% Floor, 11.25% Cap), 03/01/2036(2) | | | 148,705 | | | | 159,147 | |
2.77%, 06/01/2023 | | | 881,863 | | | | 911,772 | |
2.78% (1 Year LIBOR USD + 2.28%, 2.28% Floor, 10.53% Cap), 11/01/2036(2) | | | 8,198 | | | | 8,292 | |
2.79%, 06/01/2023(4) | | | 1,405,028 | | | | 1,450,537 | |
2.81%, 04/01/2025 | | | 2,900,000 | | | | 3,107,103 | |
2.81%, 05/01/2027 | | | 1,886,908 | | | | 2,043,237 | |
2.83%, 05/01/2027 | | | 8,000,000 | | | | 8,683,024 | |
2.90%, 12/01/2024 | | | 2,000,000 | | | | 2,138,145 | |
2.90%, 10/01/2029 | | | 3,364,597 | | | | 3,703,503 | |
2.91%, 03/01/2027 | | | 9,605,671 | | | | 10,443,209 | |
2.93%, 01/01/2025 | | | 1,820,406 | | | | 1,827,749 | |
2.97%, 01/01/2022 | | | 671,150 | | | | 672,508 | |
3.00%, 01/01/2027 | | | 1,870,806 | | | | 1,968,068 | |
3.00%, 06/01/2027 | | | 2,000,000 | | | | 2,189,559 | |
3.00%, 10/01/2027 | | | 1,473,121 | | | | 1,556,136 | |
3.00%, 08/01/2028 | | | 716,973 | | | | 758,504 | |
3.00%, 09/01/2028 | | | 1,237,677 | | | | 1,309,207 | |
3.00%, 12/01/2028 | | | 428,147 | | | | 452,907 | |
3.00%, 05/01/2030 | | | 1,117,010 | | | | 1,179,579 | |
3.00%, 09/01/2030 | | | 4,972,009 | | | | 5,260,295 | |
3.00%, 04/01/2032 | | | 8,405,069 | | | | 8,879,441 | |
3.00%, 02/01/2034 | | | 3,838,848 | | | | 4,051,056 | |
3.00%, 04/01/2036 | | | 895,195 | | | | 941,910 | |
3.00%, 08/01/2036 | | | 817,757 | | | | 861,480 | |
3.00%, 05/01/2038 | | | 11,209,758 | | | | 11,772,429 | |
3.00%, 05/01/2042 | | | 299,243 | | | | 317,080 | |
3.00%, 10/01/2042 | | | 2,677,703 | | | | 2,834,444 | |
3.00%, 11/01/2042 | | | 1,539,700 | | | | 1,637,456 | |
3.00%, 12/01/2042 | | | 62,662 | | | | 66,386 | |
3.00%, 12/01/2042 | | | 584,805 | | | | 618,922 | |
3.00%, 12/01/2042 | | | 921,214 | | | | 980,466 | |
3.00%, 01/01/2043 | | | 581,616 | | | | 616,128 | |
3.00%, 01/01/2043 | | | 892,914 | | | | 945,084 | |
3.00%, 01/01/2043 | | | 993,120 | | | | 1,052,086 | |
3.00%, 01/01/2043 | | | 1,062,329 | | | | 1,133,496 | |
3.00%, 02/01/2043 | | | 590,696 | | | | 630,267 | |
3.00%, 04/01/2043 | | | 1,281,482 | | | | 1,357,461 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
3.00%, 04/01/2043 | | | 2,142,744 | | | | 2,278,526 | |
3.00%, 04/01/2043 | | | 2,837,055 | | | | 3,014,506 | |
3.00%, 05/01/2043 | | | 62,834 | | | | 66,074 | |
3.00%, 05/01/2043 | | | 182,484 | | | | 193,081 | |
3.00%, 05/01/2043 | | | 1,609,916 | | | | 1,706,707 | |
3.00%, 05/01/2043 | | | 5,945,413 | | | | 6,297,374 | |
3.00%, 06/01/2043 | | | 56,433 | | | | 59,675 | |
3.00%, 06/01/2043 | | | 265,877 | | | | 282,661 | |
3.00%, 06/01/2043 | | | 280,958 | | | | 297,298 | |
3.00%, 06/01/2043 | | | 1,856,825 | | | | 1,984,018 | |
3.00%, 06/01/2043 | | | 3,456,237 | | | | 3,657,027 | |
3.00%, 07/01/2043 | | | 45,286 | | | | 47,844 | |
3.00%, 07/01/2043 | | | 186,296 | | | | 197,086 | |
3.00%, 07/01/2043 | | | 258,796 | | | | 275,026 | |
3.00%, 07/01/2043 | | | 751,901 | | | | 804,829 | |
3.00%, 07/01/2043 | | | 1,114,434 | | | | 1,183,726 | |
3.00%, 07/01/2043 | | | 5,223,016 | | | | 5,569,510 | |
3.00%, 08/01/2043 | | | 47,967 | | | | 51,000 | |
3.00%, 08/01/2043 | | | 921,493 | | | | 979,635 | |
3.00%, 08/01/2043 | | | 2,843,619 | | | | 3,024,043 | |
3.00%, 08/01/2043 | | | 3,686,559 | | | | 3,902,922 | |
3.00%, 10/01/2043 | | | 69,391 | | | | 73,644 | |
3.00%, 10/01/2043 | | | 9,677,505 | | | | 10,336,286 | |
3.00%, 02/01/2044 | | | 4,304,057 | | | | 4,575,435 | |
3.00%, 03/01/2044 | | | 464,277 | | | | 495,371 | |
3.00%, 04/01/2045 | | | 4,997,031 | | | | 5,310,646 | |
3.00%, 05/01/2046 | | | 4,623,674 | | | | 4,870,954 | |
3.00%, 09/01/2046 | | | 648,013 | | | | 686,636 | |
3.00%, 11/01/2046 | | | 1,456,842 | | | | 1,529,306 | |
3.00%, 11/01/2046 | | | 4,227,689 | | | | 4,481,818 | |
3.00%, 11/01/2046 | | | 5,178,276 | | | | 5,476,956 | |
3.00%, 01/01/2047 | | | 3,037,321 | | | | 3,184,434 | |
3.00%, 02/01/2047 | | | 1,146,960 | | | | 1,219,208 | |
3.00%, 02/01/2047 | | | 1,430,932 | | | | 1,520,503 | |
3.00%, 03/01/2047 | | | 506,127 | | | | 532,824 | |
3.00%, 08/01/2049 | | | 17,608,451 | | | | 18,707,985 | |
3.00%, 12/01/2049 | | | 308,415 | | | | 327,308 | |
3.00%, 12/01/2049 | | | 1,094,081 | | | | 1,159,172 | |
3.00%, 12/01/2049 | | | 6,543,845 | | | | 6,871,210 | |
3.00%, 02/01/2050 | | | 7,685,079 | | | | 8,015,065 | |
3.00%, 03/01/2050 | | | 2,328,905 | | | | 2,428,134 | |
3.00%, 03/01/2050 | | | 3,419,565 | | | | 3,604,249 | |
3.00%, 06/01/2050 | | | 905,141 | | | | 945,005 | |
3.00%, 06/01/2050 | | | 3,631,157 | | | | 3,787,308 | |
3.00%, 08/01/2050 | | | 8,202,822 | | | | 8,546,911 | |
3.00%, 09/01/2050 | | | 7,222,857 | | | | 7,657,013 | |
3.00%, 12/01/2050 | | | 15,889,242 | | | | 17,120,753 | |
3.00%, 07/01/2060 | | | 11,335,581 | | | | 12,027,533 | |
3.02%, 05/01/2022 | | | 596,531 | | | | 603,028 | |
3.02%, 07/01/2029 | | | 8,200,000 | | | | 9,104,436 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
3.03%, 12/01/2021 | | | 835,111 | | | | 834,950 | |
3.03%, 01/01/2022 | | | 726,502 | | | | 728,009 | |
3.07%, 02/01/2025 | | | 4,995,000 | | | | 5,367,873 | |
3.08%, 04/01/2022 | | | 927,304 | | | | 935,429 | |
3.08%, 12/01/2024 | | | 1,807,201 | | | | 1,939,458 | |
3.08%, 01/01/2028 | | | 8,000,000 | | | | 8,798,407 | |
3.09%, 09/01/2029 | | | 7,484,000 | | | | 8,349,311 | |
3.10%, 09/01/2025 | | | 4,790,326 | | | | 5,201,084 | |
3.10%, 01/01/2028 | | | 6,703,277 | | | | 7,404,817 | |
3.11%, 12/01/2024 | | | 2,436,279 | | | | 2,617,954 | |
3.12%, 11/01/2026 | | | 939,000 | | | | 1,028,198 | |
3.12%, 06/01/2035 | | | 3,400,000 | | | | 3,835,890 | |
3.13%, 03/01/2027 | | | 6,835,000 | | | | 7,533,439 | |
3.14%, 03/01/2022 | | | 263,119 | | | | 264,907 | |
3.14%, 12/01/2026 | | | 1,751,531 | | | | 1,919,101 | |
3.19%, 01/01/2033 | | | 4,210,430 | | | | 4,653,936 | |
3.19%, 03/01/2036 | | | 2,408,723 | | | | 2,670,434 | |
3.20%, 01/01/2022 | | | 764,007 | | | | 765,711 | |
3.20% (1 Year LIBOR USD + 2.37%, 2.37% Floor, 11.23% Cap), 08/01/2037(2) | | | 48,708 | | | | 49,894 | |
3.21%, 03/01/2022 | | | 310,000 | | | | 312,075 | |
3.22%, 09/01/2032 | | | 6,000,000 | | | | 6,306,173 | |
3.24%, 10/01/2026 | | | 1,755,692 | | | | 1,929,086 | |
3.25%, 09/01/2026 | | | 1,427,795 | | | | 1,570,093 | |
3.25%, 02/01/2027 | | | 5,525,197 | | | | 6,084,373 | |
3.26%, 12/01/2026 | | | 921,179 | | | | 1,012,007 | |
3.29%, 08/01/2026 | | | 2,957,311 | | | | 3,241,238 | |
3.31%, 12/01/2021 | | | 342,987 | | | | 342,912 | |
3.34%, 02/01/2027 | | | 1,500,000 | | | | 1,659,375 | |
3.38%, 12/01/2023 | | | 2,354,634 | | | | 2,515,003 | |
3.40%, 10/01/2021 | | | 309,018 | | | | 308,951 | |
3.45%, 01/01/2024 | | | 1,672,323 | | | | 1,782,681 | |
3.45%, 04/01/2035 | | | 1,795,233 | | | | 2,065,506 | |
3.50%, 12/01/2023 | | | 2,150,892 | | | | 2,292,102 | |
3.50%, 11/01/2029 | | | 329,567 | | | | 353,276 | |
3.50%, 12/01/2029 | | | 1,938,436 | | | | 2,086,009 | |
3.50%, 05/01/2030 | | | 376,780 | | | | 405,983 | |
3.50%, 08/01/2030 | | | 1,153,543 | | | | 1,250,461 | |
3.50%, 12/01/2030 | | | 1,175,713 | | | | 1,269,978 | |
3.50%, 07/01/2032 | | | 88,024 | | | | 94,809 | |
3.50%, 11/01/2032 | | | 586,078 | | | | 632,942 | |
3.50%, 12/01/2032 | | | 227,183 | | | | 243,845 | |
3.50%, 12/01/2032 | | | 9,404,151 | | | | 10,230,103 | |
3.50%, 02/01/2033 | | | 323,707 | | | | 348,419 | |
3.50%, 02/01/2033 | | | 357,539 | | | | 383,771 | |
3.50%, 03/01/2033 | | | 1,859,728 | | | | 2,005,918 | |
3.50%, 04/01/2033 | | | 1,442,167 | | | | 1,545,523 | |
3.50%, 06/01/2033 | | | 147,573 | | | | 158,391 | |
3.50%, 10/01/2033 | | | 6,323,783 | | | | 6,812,915 | |
3.50%, 06/01/2040 | | | 1,289,098 | | | | 1,382,475 | |
3.50%, 12/01/2040 | | | 57,964 | | | | 62,422 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
3.50%, 02/01/2041 | | | 4,883,709 | | | | 5,258,642 | |
3.50%, 06/01/2041 | | | 10,677,785 | | | | 11,508,332 | |
3.50%, 11/01/2041 | | | 202,146 | | | | 218,406 | |
3.50%, 11/01/2041 | | | 1,963,708 | | | | 2,122,175 | |
3.50%, 12/01/2041 | | | 149,185 | | | | 160,766 | |
3.50%, 12/01/2041 | | | 308,804 | | | | 331,255 | |
3.50%, 12/01/2041 | | | 3,829,883 | | | | 4,127,171 | |
3.50%, 02/01/2042 | | | 5,387 | | | | 5,821 | |
3.50%, 02/01/2042 | | | 169,155 | | | | 183,326 | |
3.50%, 02/01/2042 | | | 263,407 | | | | 284,582 | |
3.50%, 04/01/2042 | | | 137,456 | | | | 148,126 | |
3.50%, 05/01/2042 | | | 4,173,759 | | | | 4,497,783 | |
3.50%, 06/01/2042 | | | 954,049 | | | | 1,028,115 | |
3.50%, 07/01/2042 | | | 771,549 | | | | 836,113 | |
3.50%, 07/01/2042 | | | 2,343,488 | | | | 2,525,453 | |
3.50%, 07/01/2042 | | | 12,693,188 | | | | 13,767,263 | |
3.50%, 08/01/2042 | | | 436,501 | | | | 472,944 | |
3.50%, 09/01/2042 | | | 392,396 | | | | 424,069 | |
3.50%, 09/01/2042 | | | 426,112 | | | | 459,193 | |
3.50%, 09/01/2042 | | | 536,272 | | | | 578,709 | |
3.50%, 09/01/2042 | | | 2,985,035 | | | | 3,225,962 | |
3.50%, 10/01/2042 | | | 198,010 | | | | 213,383 | |
3.50%, 10/01/2042 | | | 229,887 | | | | 247,735 | |
3.50%, 10/01/2042 | | | 439,642 | | | | 476,433 | |
3.50%, 10/01/2042 | | | 725,409 | | | | 783,956 | |
3.50%, 11/01/2042 | | | 1,860,807 | | | | 2,016,003 | |
3.50%, 11/01/2042 | | | 4,722,282 | | | | 5,103,452 | |
3.50%, 01/01/2043 | | | 459,547 | | | | 495,915 | |
3.50%, 01/01/2043 | | | 576,406 | | | | 622,894 | |
3.50%, 02/01/2043 | | | 37,293 | | | | 40,286 | |
3.50%, 02/01/2043 | | | 46,770 | | | | 50,687 | |
3.50%, 03/01/2043 | | | 348,868 | | | | 376,477 | |
3.50%, 03/01/2043 | | | 991,108 | | | | 1,072,412 | |
3.50%, 03/01/2043 | | | 2,490,048 | | | | 2,672,783 | |
3.50%, 04/01/2043 | | | 1,124,371 | | | | 1,211,517 | |
3.50%, 04/01/2043 | | | 2,553,927 | | | | 2,759,661 | |
3.50%, 05/01/2043 | | | 47,792 | | | | 51,500 | |
3.50%, 05/01/2043 | | | 356,234 | | | | 381,654 | |
3.50%, 05/01/2043 | | | 1,064,865 | | | | 1,149,132 | |
3.50%, 05/01/2043 | | | 1,236,631 | | | | 1,334,506 | |
3.50%, 07/01/2043 | | | 5,834,261 | | | | 6,322,737 | |
3.50%, 06/01/2044 | | | 4,112,054 | | | | 4,437,432 | |
3.50%, 06/01/2044 | | | 4,489,091 | | | | 4,840,897 | |
3.50%, 02/01/2045 | | | 4,513,859 | | | | 4,861,418 | |
3.50%, 04/01/2045 | | | 6,867,026 | | | | 7,369,685 | |
3.50%, 06/01/2045 | | | 1,160,021 | | | | 1,237,432 | |
3.50%, 06/01/2045 | | | 4,577,844 | | | | 4,899,491 | |
3.50%, 11/01/2045 | | | 1,915,477 | | | | 2,053,790 | |
3.50%, 12/01/2045 | | | 333,737 | | | | 356,956 | |
3.50%, 01/01/2046 | | | 5,372,482 | | | | 5,794,694 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
3.50%, 04/01/2046 | | | 776,110 | | | | 841,500 | |
3.50%, 08/01/2046 | | | 3,284,515 | | | | 3,495,712 | |
3.50%, 09/01/2046 | | | 2,707,302 | | | | 2,920,929 | |
3.50%, 11/01/2046 | | | 7,234,179 | | | | 7,742,588 | |
3.50%, 12/01/2046 | | | 2,397,755 | | | | 2,545,986 | |
3.50%, 12/01/2046 | | | 4,974,972 | | | | 5,357,516 | |
3.50%, 02/01/2047 | | | 4,579,068 | | | | 4,915,407 | |
3.50%, 06/01/2047 | | | 408,285 | | | | 437,044 | |
3.50%, 11/01/2047 | | | 4,509,169 | | | | 4,769,986 | |
3.50%, 12/01/2047 | | | 3,087,708 | | | | 3,258,177 | |
3.50%, 10/01/2048 | | | 3,842,358 | | | | 4,100,221 | |
3.50%, 05/01/2049 | | | 10,628,870 | | | | 11,480,379 | |
3.50%, 01/01/2050 | | | 10,249,517 | | | | 11,039,613 | |
3.50%, 03/01/2060 | | | 9,638,104 | | | | 10,472,979 | |
3.55%, 02/01/2030 | | | 1,500,000 | | | | 1,695,567 | |
3.57%, 06/01/2028 | | | 8,361,000 | | | | 9,515,749 | |
3.59%, 08/01/2023 | | | 1,135,000 | | | | 1,192,345 | |
3.61%, 04/01/2028 | | | 2,915,348 | | | | 3,303,254 | |
3.64%, 01/01/2025 | | | 525,576 | | | | 572,821 | |
3.66%, 03/01/2027 | | | 2,264,055 | | | | 2,538,951 | |
3.67%, 07/01/2023 | | | 4,850,000 | | | | 5,091,266 | |
3.68%, 09/01/2026 | | | 3,375,467 | | | | 3,770,539 | |
3.74%, 07/01/2023 | | | 527,686 | | | | 554,142 | |
3.76%, 03/01/2024 | | | 1,265,000 | | | | 1,364,095 | |
3.77%, 12/01/2025 | | | 3,359,841 | | | | 3,729,073 | |
3.81%, 12/01/2028 | | | 7,000,000 | | | | 8,127,549 | |
3.85%, 09/01/2021 | | | 768,292 | | | | 768,134 | |
3.91% (11th District Cost of Funds Index + 1.25%, 3.83% Floor, 13.49% Cap), 03/01/2029(2) | | | 1,411 | | | | 1,437 | |
3.92%, 09/01/2021 | | | 588,236 | | | | 588,117 | |
3.94%, 07/01/2021 | | | 1,032,000 | | | | 1,032,018 | |
4.00%, 11/01/2031 | | | 2,876,670 | | | | 3,134,257 | |
4.00%, 06/01/2033 | | | 641,008 | | | | 685,261 | |
4.00%, 12/01/2033 | | | 43,397 | | | | 47,122 | |
4.00%, 03/01/2035 | | | 4,984,631 | | | | 5,365,586 | |
4.00%, 05/01/2037 | | | 5,698,045 | | | | 6,170,908 | |
4.00%, 10/01/2037 | | | 1,114,402 | | | | 1,199,574 | |
4.00%, 07/01/2040 | | | 2,866,951 | | | | 3,134,659 | |
4.00%, 08/01/2040 | | | 93,562 | | | | 102,395 | |
4.00%, 09/01/2040 | | | 699,858 | | | | 764,187 | |
4.00%, 12/01/2040 | | | 136,086 | | | | 148,651 | |
4.00%, 12/01/2040 | | | 686,054 | | | | 749,672 | |
4.00%, 01/01/2041 | | | 125,168 | | | | 136,737 | |
4.00%, 01/01/2041 | | | 289,225 | | | | 316,055 | |
4.00%, 01/01/2041 | | | 565,964 | | | | 618,451 | |
4.00%, 01/01/2041 | | | 580,184 | | | | 637,944 | |
4.00%, 01/01/2041 | | | 772,053 | | | | 843,666 | |
4.00%, 01/01/2041 | | | 967,132 | | | | 1,058,512 | |
4.00%, 01/01/2041 | | | 969,774 | | | | 1,061,400 | |
4.00%, 02/01/2041 | | | 25,487 | | | | 27,738 | |
4.00%, 02/01/2041 | | | 1,265,561 | | | | 1,385,247 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
4.00%, 03/01/2041 | | | 4,421,392 | | | | 4,861,312 | |
4.00%, 04/01/2041 | | | 336,144 | | | | 366,354 | |
4.00%, 05/01/2041 | | | 268,287 | | | | 292,726 | |
4.00%, 09/01/2041 | | | 134,309 | | | | 146,741 | |
4.00%, 10/01/2041 | | | 457,349 | | | | 502,760 | |
4.00%, 10/01/2041 | | | 720,165 | | | | 791,826 | |
4.00%, 12/01/2041 | | | 849,595 | | | | 929,887 | |
4.00%, 12/01/2041 | | | 1,160,123 | | | | 1,267,526 | |
4.00%, 01/01/2042 | | | 937,428 | | | | 1,025,814 | |
4.00%, 01/01/2042 | | | 1,625,007 | | | | 1,786,808 | |
4.00%, 03/01/2042 | | | 51,030 | | | | 53,383 | |
4.00%, 07/01/2042 | | | 253,960 | | | | 276,995 | |
4.00%, 07/01/2042 | | | 281,292 | | | | 309,485 | |
4.00%, 07/01/2042 | | | 291,639 | | | | 320,589 | |
4.00%, 07/01/2042 | | | 359,076 | | | | 391,641 | |
4.00%, 08/01/2042 | | | 3,765,051 | | | | 4,140,117 | |
4.00%, 11/01/2042 | | | 474,121 | | | | 520,547 | |
4.00%, 12/01/2042 | | | 327,055 | | | | 359,512 | |
4.00%, 04/01/2043 | | | 5,064,082 | | | | 5,645,727 | |
4.00%, 07/01/2043 | | | 621,228 | | | | 678,644 | |
4.00%, 11/01/2043 | | | 1,734,493 | | | | 1,889,460 | |
4.00%, 12/01/2043 | | | 75,308 | | | | 82,037 | |
4.00%, 12/01/2043 | | | 1,044,005 | | | | 1,147,859 | |
4.00%, 02/01/2044 | | | 632,849 | | | | 695,664 | |
4.00%, 06/01/2044 | | | 2,638,968 | | | | 2,882,008 | |
4.00%, 07/01/2044 | | | 1,342,575 | | | | 1,469,167 | |
4.00%, 08/01/2044 | | | 3,001,846 | | | | 3,283,733 | |
4.00%, 09/01/2044 | | | 621,710 | | | | 676,853 | |
4.00%, 01/01/2045 | | | 4,947,297 | | | | 5,385,593 | |
4.00%, 07/01/2045 | | | 4,191,281 | | | | 4,579,511 | |
4.00%, 10/01/2045 | | | 477,180 | | | | 517,973 | |
4.00%, 12/01/2045 | | | 679,179 | | | | 734,671 | |
4.00%, 12/01/2045 | | | 2,689,527 | | | | 2,916,865 | |
4.00%, 01/01/2046 | | | 1,560,923 | | | | 1,690,359 | |
4.00%, 08/01/2046 | | | 2,400,701 | | | | 2,586,631 | |
4.00%, 09/01/2046 | | | 1,490,888 | | | | 1,627,702 | |
4.00%, 03/01/2047 | | | 431,958 | | | | 466,977 | |
4.00%, 03/01/2047 | | | 4,467,466 | | | | 4,841,438 | |
4.00%, 03/01/2047 | | | 4,538,954 | | | | 4,903,265 | |
4.00%, 05/01/2047 | | | 588,924 | | | | 637,852 | |
4.00%, 05/01/2047 | | | 955,094 | | | | 1,034,312 | |
4.00%, 05/01/2047 | | | 2,413,896 | | | | 2,608,653 | |
4.00%, 06/01/2047 | | | 2,362,901 | | | | 2,579,782 | |
4.00%, 08/01/2047 | | | 5,302,268 | | | | 5,713,332 | |
4.00%, 11/01/2047 | | | 4,521,082 | | | | 4,846,529 | |
4.00%, 01/01/2048 | | | 4,611,525 | | | | 4,923,800 | |
4.00%, 01/01/2048 | | | 6,847,883 | | | | 7,473,565 | |
4.00%, 02/01/2048 | | | 755,275 | | | | 819,572 | |
4.00%, 03/01/2048 | | | 2,070,250 | | | | 2,211,571 | |
4.00%, 03/01/2048 | | | 8,144,838 | | | | 8,924,542 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
4.00%, 09/01/2048 | | | 614,821 | | | | 654,812 | |
4.00%, 10/01/2048 | | | 507,207 | | | | 540,740 | |
4.00%, 10/01/2048 | | | 1,655,227 | | | | 1,797,715 | |
4.00%, 03/01/2049 | | | 6,616,385 | | | | 7,033,058 | |
4.00%, 07/01/2049 | | | 2,728,389 | | | | 2,932,114 | |
4.00%, 10/01/2049 | | | 5,280,432 | | | | 5,704,859 | |
4.03%, 09/01/2022 | | | 1,122,921 | | | | 1,152,460 | |
4.05%, 08/01/2021 | | | 147,070 | | | | 147,041 | |
4.06%, 07/01/2021 | | | 918,881 | | | | 918,685 | |
4.11%, 07/01/2021(4) | | | 80,779 | | | | 80,768 | |
4.18%, 09/01/2021(4) | | | 308,708 | | | | 308,768 | |
4.50%, 08/01/2029 | | | 90,837 | | | | 97,696 | |
4.50%, 09/01/2029 | | | 104,433 | | | | 112,607 | |
4.50%, 01/01/2030 | | | 164,621 | | | | 178,681 | |
4.50%, 10/01/2033 | | | 2,863,547 | | | | 3,150,680 | |
4.50%, 11/01/2033 | | | 7,871 | | | | 8,637 | |
4.50%, 09/01/2034 | | | 20,183 | | | | 22,082 | |
4.50%, 04/01/2039 | | | 4,437,254 | | | | 4,926,816 | |
4.50%, 11/01/2039 | | | 13,239 | | | | 14,711 | |
4.50%, 08/01/2040 | | | 1,991,585 | | | | 2,210,442 | |
4.50%, 08/01/2040 | | | 2,033,349 | | | | 2,259,454 | |
4.50%, 12/01/2040 | | | 926,965 | | | | 1,030,345 | |
4.50%, 12/01/2040 | | | 2,918,823 | | | | 3,217,630 | |
4.50%, 03/01/2041 | | | 689,931 | | | | 761,364 | |
4.50%, 04/01/2041 | | | 496,756 | | | | 548,056 | |
4.50%, 05/01/2041 | | | 1,119,177 | | | | 1,248,038 | |
4.50%, 05/01/2041 | | | 4,563,100 | | | | 5,090,936 | |
4.50%, 07/01/2041 | | | 200,043 | | | | 220,767 | |
4.50%, 08/01/2041 | | | 1,657,631 | | | | 1,848,592 | |
4.50%, 01/01/2042 | | | 1,463,115 | | | | 1,628,171 | |
4.50%, 11/01/2042 | | | 4,436,897 | | | | 4,892,724 | |
4.50%, 02/01/2046 | | | 5,011,881 | | | | 5,562,986 | |
4.50%, 08/01/2047 | | | 622,454 | | | | 675,266 | |
4.50%, 05/01/2048 | | | 1,970,153 | | | | 2,146,562 | |
4.50%, 08/01/2048 | | | 6,496,327 | | | | 7,086,852 | |
4.50%, 03/01/2049 | | | 4,260,037 | | | | 4,657,035 | |
4.50%, 07/01/2049 | | | 5,710,394 | | | | 6,220,313 | |
4.50%, 09/01/2050 | | | 3,080,999 | | | | 3,351,057 | |
4.55%, 08/01/2026 | | | 799,347 | | | | 889,996 | |
4.63%, 12/01/2026(4) | | | 854,383 | | | | 957,170 | |
4.76%, 08/01/2026 | | | 950,948 | | | | 1,085,105 | |
4.77%, 08/01/2026 | | | 604,985 | | | | 688,116 | |
5.00%, 11/01/2021 | | | 7 | | | | 7 | |
5.00%, 05/01/2023 | | | 1,464 | | | | 1,524 | |
5.00%, 08/01/2024 | | | 10,456 | | | | 10,898 | |
5.00%, 05/01/2028 | | | 11,515 | | | | 12,612 | |
5.00%, 04/01/2031 | | | 72,087 | | | | 79,310 | |
5.00%, 12/01/2032 | | | 543 | | | | 558 | |
5.00%, 06/01/2033 | | | 9,629 | | | | 10,834 | |
5.00%, 07/01/2033 | | | 10,095 | | | | 11,450 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.00%, 07/01/2033 | | | 11,346 | | | | 12,877 | |
5.00%, 11/01/2033 | | | 3,161 | | | | 3,605 | |
5.00%, 11/01/2033 | | | 27,672 | | | | 31,546 | |
5.00%, 11/01/2033 | | | 2,135,933 | | | | 2,433,198 | |
5.00%, 04/01/2034 | | | 74,403 | | | | 84,797 | |
5.00%, 05/01/2034 | | | 23,977 | | | | 27,421 | |
5.00%, 12/01/2034 | | | 18,453 | | | | 21,045 | |
5.00%, 01/01/2035 | | | 10,720 | | | | 11,770 | |
5.00%, 02/01/2035 | | | 355,905 | | | | 405,577 | |
5.00%, 02/01/2035 | | | 1,876,087 | | | | 2,143,207 | |
5.00%, 06/01/2035 | | | 332,440 | | | | 380,039 | |
5.00%, 07/01/2035 | | | 9,330 | | | | 10,595 | |
5.00%, 07/01/2035 | | | 1,579,504 | | | | 1,803,024 | |
5.00%, 07/01/2035 | | | 1,790,938 | | | | 2,047,387 | |
5.00%, 09/01/2035 | | | 37,841 | | | | 43,338 | |
5.00%, 10/01/2035 | | | 158,543 | | | | 181,514 | |
5.00%, 11/01/2035 | | | 358,637 | | | | 410,291 | |
5.00%, 01/01/2036 | | | 30,013 | | | | 34,362 | |
5.00%, 02/01/2036 | | | 24,107 | | | | 27,607 | |
5.00%, 07/01/2037 | | | 464,908 | | | | 528,634 | |
5.00%, 01/01/2039 | | | 1,419,401 | | | | 1,601,967 | |
5.00%, 09/01/2039 | | | 89,200 | | | | 102,155 | |
5.00%, 04/01/2040 | | | 171,172 | | | | 194,836 | |
5.00%, 08/01/2040 | | | 162,089 | | | | 183,741 | |
5.00%, 05/01/2041 | | | 86,158 | | | | 98,576 | |
5.00%, 05/01/2042 | | | 1,284,675 | | | | 1,469,813 | |
5.00%, 09/01/2043 | | | 628,305 | | | | 699,989 | |
5.00%, 01/01/2048 | | | 793,588 | | | | 876,936 | |
5.00%, 05/01/2048 | | | 2,185,264 | | | | 2,414,048 | |
5.00%, 01/01/2049 | | | 6,076,907 | | | | 6,801,803 | |
5.50%, 07/01/2025 | | | 15,377 | | | | 17,108 | |
5.50%, 11/01/2032 | | | 42,150 | | | | 48,619 | |
5.50%, 02/01/2033 | | | 1,135 | | | | 1,308 | |
5.50%, 03/01/2033 | | | 51,995 | | | | 59,984 | |
5.50%, 04/01/2033 | | | 34,598 | | | | 39,906 | |
5.50%, 07/01/2033 | | | 8,054 | | | | 9,242 | |
5.50%, 09/01/2033 | | | 136,782 | | | | 157,636 | |
5.50%, 11/01/2033 | | | 2,179 | | | | 2,461 | |
5.50%, 12/01/2033 | | | 59,245 | | | | 68,866 | |
5.50%, 01/01/2034 | | | 6,148 | | | | 7,153 | |
5.50%, 03/01/2034 | | | 6,069 | | | | 6,859 | |
5.50%, 09/01/2034 | | | 11,716 | | | | 13,561 | |
5.50%, 10/01/2034 | | | 12,580 | | | | 13,079 | |
5.50%, 02/01/2035 | | | 39,387 | | | | 45,621 | |
5.50%, 12/01/2035 | | | 15,806 | | | | 17,493 | |
5.50%, 04/01/2036 | | | 43,418 | | | | 50,300 | |
5.50%, 05/01/2036 | | | 37,748 | | | | 43,721 | |
5.50%, 05/01/2036 | | | 59,070 | | | | 68,411 | |
5.50%, 11/01/2036 | | | 14,477 | | | | 16,767 | |
5.50%, 03/01/2037 | | | 292,005 | | | | 339,171 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.50%, 04/01/2037 | | | 96,072 | | | | 110,724 | |
5.50%, 05/01/2037 | | | 106,911 | | | | 123,253 | |
5.50%, 01/01/2038 | | | 78,594 | | | | 90,819 | |
5.50%, 05/01/2038 | | | 11,901 | | | | 13,487 | |
5.50%, 06/01/2038 | | | 1,143 | | | | 1,330 | |
5.50%, 06/01/2038 | | | 82,921 | | | | 96,453 | |
5.50%, 06/01/2038 | | | 605,797 | | | | 704,935 | |
5.50%, 09/01/2038 | | | 515,123 | | | | 591,733 | |
5.50%, 06/01/2039 | | | 16,597 | | | | 18,149 | |
5.50%, 09/01/2039 | | | 51,322 | | | | 57,984 | |
5.50%, 12/01/2039 | | | 35,147 | | | | 39,466 | |
5.50%, 01/01/2040 | | | 383,100 | | | | 443,356 | |
6.00%, 08/01/2021 | | | 85 | | | | 85 | |
6.00%, 12/01/2021 | | | 147 | | | | 147 | |
6.00%, 02/01/2023 | | | 16,487 | | | | 16,853 | |
6.00%, 01/01/2024 | | | 7,951 | | | | 8,226 | |
6.00%, 01/01/2024 | | | 21,392 | | | | 22,092 | |
6.00%, 07/01/2024 | | | 6,677 | | | | 6,921 | |
6.00%, 07/01/2026 | | | 16,569 | | | | 18,558 | |
6.00%, 07/01/2027 | | | 22,770 | | | | 25,510 | |
6.00%, 11/01/2027 | | | 10,719 | | | | 12,010 | |
6.00%, 12/01/2027 | | | 31,718 | | | | 35,541 | |
6.00%, 01/01/2028 | | | 58,482 | | | | 65,530 | |
6.00%, 10/01/2028 | | | 41,358 | | | | 46,338 | |
6.00%, 12/01/2028 | | | 1,319 | | | | 1,478 | |
6.00%, 01/01/2029 | | | 2,087 | | | | 2,379 | |
6.00%, 09/01/2029 | | | 27,562 | | | | 30,881 | |
6.00%, 12/01/2032 | | | 11,725 | | | | 13,200 | |
6.00%, 12/01/2032 | | | 94,755 | | | | 111,723 | |
6.00%, 03/01/2033 | | | 750 | | | | 840 | |
6.00%, 03/01/2033 | | | 1,369 | | | | 1,536 | |
6.00%, 03/01/2033 | | | 3,029 | | | | 3,447 | |
6.00%, 03/01/2033 | | | 3,168 | | | | 3,664 | |
6.00%, 03/01/2033 | | | 5,163 | | | | 5,805 | |
6.00%, 05/01/2033 | | | 13,571 | | | | 16,102 | |
6.00%, 08/01/2033 | | | 3,060 | | | | 3,441 | |
6.00%, 09/01/2033 | | | 7,669 | | | | 8,889 | |
6.00%, 09/01/2033 | | | 12,772 | | | | 14,176 | |
6.00%, 11/01/2034 | | | 3,278 | | | | 3,885 | |
6.00%, 04/01/2035 | | | 60,997 | | | | 70,374 | |
6.00%, 02/01/2036 | | | 3,788 | | | | 4,287 | |
6.00%, 09/01/2036 | | | 211,639 | | | | 248,064 | |
6.00%, 11/01/2036 | | | 30,718 | | | | 36,451 | |
6.00%, 03/01/2037 | | | 51,332 | | | | 57,645 | |
6.00%, 09/01/2037 | | | 53,515 | | | | 63,454 | |
6.00%, 04/01/2038 | | | 10,149 | | | | 11,382 | |
6.00%, 05/01/2038 | | | 151,661 | | | | 179,829 | |
6.00%, 11/01/2038 | | | 41,810 | | | | 48,440 | |
6.00%, 12/01/2039 | | | 759,088 | | | | 897,432 | |
6.00%, 10/01/2040 | | | 992,036 | | | | 1,174,325 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
6.00%, 07/01/2041 | | | 2,554,331 | | | | 2,988,368 | |
6.00%, 11/01/2048 | | | 30,830 | | | | 33,524 | |
6.50%, 04/01/2022 | | | 53 | | | | 53 | |
6.50%, 05/01/2022 | | | 378 | | | | 423 | |
6.50%, 12/01/2022 | | | 933 | | | | 1,044 | |
6.50%, 02/01/2024 | | | 12,626 | | | | 13,051 | |
6.50%, 07/01/2024 | | | 2,624 | | | | 2,938 | |
6.50%, 04/01/2025 | | | 522 | | | | 584 | |
6.50%, 08/01/2026 | | | 29,223 | | | | 32,719 | |
6.50%, 03/01/2029 | | | 9,184 | | | | 10,156 | |
6.50%, 11/01/2029 | | | 288,696 | | | | 326,628 | |
6.50%, 08/01/2031 | | | 8,445 | | | | 9,949 | |
6.50%, 02/01/2032 | | | 40,638 | | | | 45,499 | |
6.50%, 01/01/2036 | | | 179,389 | | | | 201,522 | |
6.50%, 04/01/2036 | | | 930 | | | | 940 | |
6.50%, 07/01/2036 | | | 3,897 | | | | 4,494 | |
6.50%, 08/01/2036 | | | 113,549 | | | | 130,354 | |
6.50%, 10/01/2036 | | | 25,073 | | | | 30,976 | |
6.50%, 01/01/2037 | | | 53,862 | | | | 63,289 | |
6.50%, 08/01/2037 | | | 24,693 | | | | 29,331 | |
6.50%, 08/01/2037 | | | 25,997 | | | | 29,615 | |
6.50%, 10/01/2037 | | | 44,912 | | | | 53,386 | |
6.50%, 10/01/2038 | | | 53,951 | | | | 62,435 | |
6.50%, 10/01/2038 | | | 213,499 | | | | 248,373 | |
7.00%, 01/01/2024 | | | 103 | | | | 109 | |
7.00%, 04/01/2026 | | | 605 | | | | 607 | |
7.00%, 09/01/2027 | | | 401 | | | | 445 | |
7.00%, 01/01/2029 | | | 754 | | | | 757 | |
7.00%, 06/01/2032 | | | 4,417 | | | | 4,762 | |
7.00%, 02/01/2033 | | | 1,141 | | | | 1,197 | |
7.00%, 06/01/2033 | | | 56,615 | | | | 66,359 | |
7.00%, 02/01/2036 | | | 7,365 | | | | 7,655 | |
7.00%, 03/01/2036 | | | 1,452 | | | | 1,630 | |
7.00%, 12/01/2036 | | | 7,190 | | | | 8,150 | |
7.00%, 03/01/2037 | | | 5,088 | | | | 5,616 | |
7.00%, 04/01/2037 | | | 7,468 | | | | 8,533 | |
7.00%, 09/01/2037 | | | 25,294 | | | | 27,135 | |
7.00%, 09/01/2038 | | | 37,132 | | | | 46,018 | |
7.00%, 10/01/2038 | | | 63,235 | | | | 77,820 | |
7.00%, 11/01/2038 | | | 47,096 | | | | 55,840 | |
7.00%, 12/01/2038 | | | 117,393 | | | | 141,239 | |
7.00%, 01/01/2039 | | | 175,550 | | | | 212,981 | |
7.50%, 11/01/2022 | | | 201 | | | | 202 | |
7.50%, 10/01/2024 | | | 190 | | | | 202 | |
7.50%, 01/01/2035 | | | 25,170 | | | | 29,523 | |
7.50%, 03/01/2035 | | | 28,322 | | | | 33,915 | |
7.50%, 05/01/2037 | | | 24,900 | | | | 30,837 | |
7.50%, 10/01/2037 | | | 109,641 | | | | 132,658 | |
7.50%, 11/01/2037 | | | 35,104 | | | | 41,176 | |
7.50%, 11/01/2038 | | | 30,860 | | | | 37,618 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
7.50%, 04/01/2039 | | | 113,563 | | | | 141,875 | |
8.00%, 05/01/2024 | | | 71 | | | | 75 | |
8.00%, 03/01/2027 | | | 4,421 | | | | 4,840 | |
8.00%, 06/01/2027 | | | 3,854 | | | | 4,241 | |
8.00%, 06/01/2028 | | | 623 | | | | 668 | |
8.00%, 09/01/2028 | | | 5,153 | | | | 5,668 | |
8.00%, 11/01/2028 | | | 13,383 | | | | 15,236 | |
8.00%, 11/01/2037 | | | 9,043 | | | | 9,952 | |
8.00%, 01/01/2038 | | | 3,935 | | | | 4,620 | |
8.50%, 07/01/2024 | | | 464 | | | | 498 | |
8.50%, 05/01/2025 | | | 43 | | | | 43 | |
Fannie Mae REMIC Trust 2003-W1 | | | | | | | | |
5.11%, 12/25/2042, Series 2003-W1, Class 1A1(4) | | | 82,480 | | | | 89,961 | |
5.58%, 12/25/2042, Series 2003-W1, Class 2A(4) | | | 22,180 | | | | 24,560 | |
Fannie Mae REMIC Trust 2003-W4 | | | | | | | | |
5.63%, 10/25/2042, Series 2003-W4, Class 2A(4) | | | 11,358 | | | | 12,969 | |
Fannie Mae REMIC Trust 2004-W10 | | | | | | | | |
5.75%, 08/25/2034, Series 2004-W10, Class A6 | | | 373,733 | | | | 408,450 | |
Fannie Mae REMIC Trust 2004-W11 | | | | | | | | |
6.00%, 05/25/2044, Series 2004-W11, Class 1A1 | | | 65,368 | | | | 77,969 | |
Fannie Mae REMIC Trust 2005-W1 | | | | | | | | |
6.50%, 10/25/2044, Series 2005-W1, Class 1A2 | | | 115,300 | | | | 137,057 | |
Fannie Mae REMIC Trust 2006-W3 | | | | | | | | |
6.00%, 09/25/2046, Series 2006-W3, Class 2A | | | 85,957 | | | | 96,845 | |
Fannie Mae REMIC Trust 2007-W1 | | | | | | | | |
6.30%, 08/25/2047, Series 2007-W10, Class 2A(4) | | | 9,559 | | | | 10,887 | |
Fannie Mae REMIC Trust 2007-W3 | | | | | | | | |
6.75%, 04/25/2037, Series 2007-W3, Class 1A3 | | | 21,862 | | | | 24,038 | |
Fannie Mae REMIC Trust 2007-W5 | | | | | | | | |
0.00%, 06/25/2037, Series 2007-W5, Class PO | | | 14,443 | | | | 13,372 | |
Fannie Mae REMIC Trust 2007-W7 | | | | | | | | |
38.63% (1 Month LIBOR USD + 39.18%, 39.18% Cap), 07/25/2037, Series 2007-W7, Class 1A4(2)(5) | | | 13,450 | | | | 23,443 | |
Fannie Mae REMIC Trust 2009-W1 | | | | | | | | |
6.00%, 12/25/2049, Series 2009-W1, Class A | | | 362,462 | | | | 418,957 | |
Fannie Mae REMICS | | | | | | | | |
0.00%, 03/25/2022, Series 2007-15, Class NO | | | 622 | | | | 621 | |
0.00%, 10/25/2022, Series G92-62, Class B | | | 200 | | | | 200 | |
0.00%, 04/25/2023, Series 1998-4, Class C | | | 269 | | | | 268 | |
0.00%, 09/25/2023, Series G93-37, Class H | | | 160 | | | | 159 | |
0.00%, 09/25/2023, Series 1993-205, Class H | | | 660 | | | | 654 | |
0.00%, 11/25/2023, Series 1994-9, Class E | | | 65 | | | | 65 | |
0.00%, 01/25/2032, Series 2001-81, Class LO | | | 1,258 | | | | 1,222 | |
0.00%, 04/25/2032, Series 2002-21, Class LO | | | 1,123 | | | | 1,092 | |
0.00%, 12/25/2032, Series 2004-59, Class BG | | | 7,223 | | | | 6,785 | |
0.00%, 05/25/2033, Series 2003-35, Class EA | | | 4,517 | | | | 4,223 | |
0.00%, 08/25/2033, Series 2003-132, Class OA | | | 2,205 | | | | 2,150 | |
0.00%, 12/25/2033, Series 2006-44, Class P | | | 60,991 | | | | 57,039 | |
0.00%, 03/25/2034, Series 2004-46, Class EP | | | 56,900 | | | | 56,025 | |
0.00%, 09/25/2035, Series 2005-90, Class PO | | | 6,439 | | | | 6,348 | |
0.00%, 10/25/2035, Series 2010-39, Class OT | | | 16,142 | | | | 15,511 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
0.00%, 03/25/2036, Series 2006-16, Class OA | | | 12,769 | | | | 11,951 | |
0.00%, 03/25/2036, Series 2006-8, Class WQ | | | 131,992 | | | | 118,942 | |
0.00%, 04/25/2036, Series 2006-23, Class KO | | | 14,191 | | | | 13,736 | |
0.00%, 04/25/2036, Series 2006-27, Class OH | | | 27,856 | | | | 26,142 | |
0.00%, 04/25/2036, Series 2006-22, Class AO | | | 43,919 | | | | 41,061 | |
0.00%, 06/25/2036, Series 2006-43, Class PO | | | 11,229 | | | | 10,817 | |
0.00%, 06/25/2036, Series 2006-44, Class GO | | | 22,553 | | | | 21,125 | |
0.00%, 06/25/2036, Series 2006-43, Class DO | | | 35,488 | | | | 32,690 | |
0.00%, 06/25/2036, Series 2006-50, Class JO | | | 81,628 | | | | 75,738 | |
0.00%, 06/25/2036, Series 2006-50, Class PS | | | 98,611 | | | | 94,927 | |
0.00%, 07/25/2036, Series 2006-58, Class AP | | | 6,497 | | | | 5,999 | |
0.00%, 07/25/2036, Series 2006-58, Class PO | | | 13,402 | | | | 12,500 | |
0.00%, 07/25/2036, Series 2006-65, Class QO | | | 25,923 | | | | 24,401 | |
0.00%, 08/25/2036, Series 2006-72, Class TO | | | 8,547 | | | | 7,826 | |
0.00%, 08/25/2036, Series 2006-79, Class DO | | | 18,833 | | | | 18,138 | |
0.00%, 08/25/2036, Series 2006-79, Class OP | | | 27,126 | | | | 24,565 | |
0.00%, 08/25/2036, Series 2006-72, Class GO | | | 46,415 | | | | 44,725 | |
0.00%, 09/25/2036, Series 2008-42, Class AO | | | 10,456 | | | | 9,603 | |
0.00%, 09/25/2036, Series 2006-90, Class AO | | | 20,664 | | | | 19,492 | |
0.00%, 09/25/2036, Series 2006-86, Class OB | | | 26,541 | | | | 24,673 | |
0.00%, 11/25/2036, Series 2006-109, Class PO | | | 6,789 | | | | 6,223 | |
0.00%, 11/25/2036, Series 2006-111, Class EO | | | 19,598 | | | | 17,907 | |
0.00%, 11/25/2036, Series 2006-110, Class PO | | | 39,227 | | | | 36,604 | |
0.00%, 12/25/2036, Series 2006-119, Class PO | | | 10,179 | | | | 9,689 | |
0.00%, 12/25/2036, Series 2006-115, Class OK | | | 23,930 | | | | 21,842 | |
0.00%, 01/25/2037, Series 2006-128, Class PO | | | 23,582 | | | | 21,775 | |
0.00%, 01/25/2037, Series 2009-70, Class CO | | | 64,483 | | | | 59,699 | |
0.00%, 03/25/2037, Series 2007-14, Class OP | | | 18,792 | | | | 17,708 | |
0.00%, 04/25/2037, Series 2007-28, Class EO | | | 62,050 | | | | 56,881 | |
0.00%, 05/25/2037, Series 2007-42, Class AO | | | 5,335 | | | | 4,934 | |
0.00%, 07/25/2037, Series 2007-67, Class PO | | | 42,332 | | | | 39,170 | |
0.00%, 10/25/2037, Series 2009-86, Class OT | | | 392,520 | | | | 358,097 | |
0.00%, 05/25/2038, Series 2008-44, Class PO | | | 1,431 | | | | 1,293 | |
0.00%, 01/25/2040, Series 2009-113, Class AO | | | 33,863 | | | | 29,920 | |
0.00%, 06/25/2040, Series 2010-63, Class AP | | | 53,676 | | | | 50,083 | |
0.00%, 09/25/2043, Series 2013-92, Class PO | | | 865,501 | | | | 787,657 | |
0.00%, 10/25/2043, Series 2013-101, Class DO | | | 655,664 | | | | 570,279 | |
0.00%, 12/25/2043, Series 2013-128, Class PO | | | 1,546,679 | | | | 1,374,021 | |
0.11% (1 Month LIBOR USD + 0.02%, 0.02% Floor, 9.32% Cap), 09/25/2022, Series G92-52, Class FD(2) | | | 59 | | | | 58 | |
0.15% (1 Month LIBOR USD + 0.06%, 0.06% Floor), 12/25/2036, Series 2006-118, Class A1(2) | | | 41,488 | | | | 41,252 | |
0.15% (1 Month LIBOR USD + 0.06%, 0.06% Floor), 12/25/2036, Series 2006-118, Class A2(2) | | | 183,079 | | | | 181,431 | |
0.34% (1 Month LIBOR USD + 0.25%, 0.25% Floor, 7.00% Cap), 08/25/2034, Series 2005-93, Class MF(2) | | | 20,168 | | | | 20,210 | |
0.34% (1 Month LIBOR USD + 0.25%, 0.25% Floor, 7.00% Cap), 04/25/2036, Series 2006-23, Class FK(2) | | | 68,663 | | | | 68,775 | |
0.34% (1 Month LIBOR USD + 0.25%, 0.25% Floor, 6.50% Cap), 02/25/2037, Series 2007-10, Class FD(2) | | | 47,344 | | | | 47,473 | |
0.35% (1 Month LIBOR USD + 0.25%, 0.25% Floor), 06/27/2036, Series 2007-101, Class A2(2) | | | 277,030 | | | | 272,988 | |
0.38% (1 Month LIBOR USD + 0.29%, 0.29% Floor, 7.50% Cap), 07/25/2036, Series 2006-56, Class FC(2) | | | 221,274 | | | | 222,170 | |
0.39% (1 Month LIBOR USD + 0.30%, 0.30% Floor, 6.75% Cap), 05/25/2037, Series 2007-43, Class FL(2) | | | 30,444 | | | | 30,566 | |
0.44% (1 Month LIBOR USD + 0.35%, 0.35% Floor, 6.75% Cap), 04/25/2035, Series 2005-25, Class PF(2) | | | 78,074 | | | | 78,596 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
0.44% (1 Month LIBOR USD + 0.35%, 0.35% Floor, 7.50% Cap), 08/25/2036, Series 2006-79, Class DF(2) | | | 79,453 | | | | 79,914 | |
0.46% (1 Month LIBOR USD + 0.37%, 0.37% Floor, 7.50% Cap), 07/25/2037, Series 2007-64, Class FB(2) | | | 44,243 | | | | 44,760 | |
0.49% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.50% Cap), 03/25/2034, Series 2004-28, Class PF(2) | | | 52,188 | | | | 52,408 | |
0.49% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.50% Cap), 05/25/2034, Series 2004-36, Class FA(2) | | | 161,977 | | | | 162,819 | |
0.49% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.00% Cap), 06/25/2036, Series 2006-46, Class FW(2) | | | 25,472 | | | | 25,606 | |
0.49% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.00% Cap), 06/25/2037, Series 2007-54, Class FA(2) | | | 162,875 | | | | 165,435 | |
0.54% (1 Month LIBOR USD + 0.45%, 6.50% Cap), 06/25/2037, Series 2007-98, Class FB(2) | | | 16,072 | | | | 16,706 | |
0.54% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 6.50% Cap), 04/25/2039, Series 2012-89, Class FD(2) | | | 4,959 | | | | 4,960 | |
0.54% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 6.50% Cap), 09/25/2042, Series 2012-99, Class FA(2) | | | 245,661 | | | | 248,113 | |
0.55% (1 Month LIBOR USD + 0.46%, 0.46% Floor, 7.00% Cap), 07/25/2036, Series 2006-58, Class FL(2) | | | 21,636 | | | | 21,828 | |
0.59% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap), 03/25/2037, Series 2007-77, Class FG(2) | | | 43,214 | | | | 43,901 | |
0.59% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap), 07/25/2037, Series 2007-97, Class FC(2) | | | 26,062 | | | | 26,488 | |
0.59% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 07/25/2041, Series 2011-149, Class EF(2) | | | 38,280 | | | | 38,546 | |
0.59% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 11/25/2041, Series 2011-149, Class MF(2) | | | 128,897 | | | | 130,027 | |
0.59% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 09/25/2042, Series 2012-101, Class FC(2) | | | 109,093 | | | | 107,110 | |
0.59% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 09/25/2042, Series 2012-97, Class FB(2) | | | 855,826 | | | | 868,155 | |
0.59% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 10/25/2042, Series 2012-108, Class F(2) | | | 327,970 | | | | 331,858 | |
0.64% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 7.00% Cap), 01/25/2041, Series 2011-101, Class FM(2) | | | 28,111 | | | | 28,223 | |
0.64% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.50% Cap), 08/25/2041, Series 2011-75, Class FA(2) | | | 84,945 | | | | 85,697 | |
0.69% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 7.00% Cap), 04/25/2040, Series 2010-40, Class FJ(2) | | | 30,872 | | | | 31,143 | |
0.69% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 7.00% Cap), 05/25/2040, Series 2010-43, Class FD(2) | | | 50,022 | | | | 50,857 | |
0.69% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 9.00% Cap), 12/25/2023, Series 1993-230, Class FA(2) | | | 431 | | | | 429 | |
0.84% (1 Month LIBOR USD + 0.75%, 0.75% Floor, 8.00% Cap), 01/25/2034, Series 2004-87, Class F(2) | | | 89,442 | | | | 91,266 | |
0.84% (1 Month LIBOR USD + 0.75%, 6.50% Cap), 03/25/2037, Series 2007-16, Class FC(2) | | | 27,847 | | | | 28,990 | |
0.89% (1 Month LIBOR USD + 0.80%, 0.80% Floor, 8.00% Cap), 11/25/2032, Series 2004-61, Class FH(2) | | | 191,995 | | | | 195,849 | |
0.97% (1 Month LIBOR USD + 0.88%, 0.88% Floor, 9.50% Cap), 08/25/2023, Series G93-27, Class FD(2) | | | 715 | | | | 715 | |
0.99% (1 Month LIBOR USD + 0.90%, 0.90% Floor, 6.75% Cap), 03/25/2038, Series 2008-18, Class FA(2) | | | 29,298 | | | | 30,009 | |
1.04% (11th District Cost of Funds Index + 0.70%, 0.70% Floor, 10.00% Cap), 10/25/2022, Series G92-59, Class F(2) | | | 66 | | | | 66 | |
1.09% (1 Month LIBOR USD + 1.00%, 1.00% Floor, 9.50% Cap), 12/25/2023, Series 1993-247, Class FE(2) | | | 1,028 | | | | 1,036 | |
1.45%, 01/25/2038, Series 2007-116, Class HI(4) | | | 244,696 | | | | 10,349 | |
1.60% (1 Month LIBOR USD + 8.10%, 1.60% Cap), 03/25/2032, Series 2002-13, Class SJ(2)(5) | | | 32,651 | | | | 1,149 | |
1.61%, 04/25/2041, Series 2011-30, Class LS(4) | | | 401,192 | | | | 26,095 | |
1.72%, 06/25/2038, Series 2008-46, Class HI(4) | | | 85,558 | | | | 6,076 | |
1.84%, 03/25/2027, Series 1997-20, Class IB(4) | | | 1,116 | | | | 19 | |
1.84%, 03/25/2027, Series 1997-20, Class IO(4) | | | 2,782 | | | | 45 | |
2.12%, 12/25/2039, Series 2009-103, Class MB(4) | | | 122,071 | | | | 127,813 | |
2.50%, 12/25/2042, Series 2012-134, Class ZC | | | 6,527,414 | | | | 6,942,178 | |
3.00%, 12/25/2028, Series 2013-118, Class YL | | | 1,237,521 | | | | 1,303,460 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
3.00%, 10/25/2033, Series 2013-100, Class WB | | | 908,000 | | | | 963,708 | |
3.00%, 02/25/2043, Series 2013-81, Class TA | | | 904,246 | | | | 933,211 | |
3.00%, 01/25/2046, Series 2016-38, Class NA | | | 1,491,433 | | | | 1,603,441 | |
3.00%, 02/25/2047, Series 2017-51, Class CP | | | 1,675,530 | | | | 1,762,678 | |
3.50%, 04/25/2031, Series 2011-31, Class DB | | | 582,155 | | | | 627,872 | |
3.50%, 09/25/2033, Series 2013-90, Class DL | | | 1,500,000 | | | | 1,679,400 | |
3.50%, 03/25/2042, Series 2013-136, Class QB | | | 950,567 | | | | 1,028,414 | |
3.50%, 02/25/2043, Series 2013-4, Class AJ | | | 245,758 | | | | 259,072 | |
3.50%, 11/25/2057, Series 2019-7, Class CA | | | 5,423,052 | | | | 5,782,357 | |
4.00%, 04/25/2033, Series 2003-22, Class UD | | | 138,650 | | | | 152,252 | |
4.00%, 05/25/2033, Series 2003-42, Class GB | | | 9,177 | | | | 10,188 | |
4.35% (1 Month LIBOR USD + 4.44%, 4.44% Cap), 11/25/2040, Series 2010-125, Class SA(2)(5) | | | 281,679 | | | | 34,924 | |
4.50%, 07/25/2023, Series 2008-61, Class BH | | | 14,527 | | | | 14,903 | |
4.50%, 10/25/2036, Series 2009-19, Class PW | | | 116,841 | | | | 130,843 | |
4.50%, 02/25/2039, Series 2009-4, Class BD | | | 4,338 | | | | 4,842 | |
4.50%, 12/25/2040, Series 2010-134, Class DB | | | 5,359,402 | | | | 6,180,523 | |
4.50%, 01/25/2042, Series 2011-141, Class MZ | | | 1,831,302 | | | | 2,048,546 | |
4.50%, 04/25/2042, Series 2014-11, Class VB | | | 1,500,000 | | | | 1,695,788 | |
5.00%, 11/25/2024, Series 2004-81, Class JG | | | 71,899 | | | | 75,319 | |
5.00%, 03/25/2029, Series 2009-11, Class NB | | | 96,328 | | | | 102,225 | |
5.00%, 11/25/2032, Series 2002-71, Class AP | | | 8,219 | | | | 8,975 | |
5.00%, 03/25/2033, Series 2003-14, Class TI | | | 12,484 | | | | 621 | |
5.00%, 03/25/2037, Series 2009-63, Class P | | | 2,662 | | | | 3,006 | |
5.00%, 07/25/2038, Series 2008-56, Class AC | | | 27,264 | | | | 30,832 | |
5.00%, 07/25/2038, Series 2008-60, Class JC | | | 33,517 | | | | 38,096 | |
5.00%, 07/25/2039, Series 2009-52, Class PI | | | 57,651 | | | | 8,553 | |
5.00%, 08/25/2039, Series 2009-59, Class HB | | | 213,738 | | | | 242,512 | |
5.00%, 09/25/2039, Series 2009-65, Class MT | | | 68,904 | | | | 74,812 | |
5.00%, 06/25/2040, Series 2010-64, Class DM | | | 363,594 | | | | 409,149 | |
5.00%, 09/25/2040, Series 2010-102, Class PN | | | 206,000 | | | | 234,464 | |
5.50%, 07/25/2051, Series 2011-58, Class WA(4) | | | 19,837 | | | | 23,162 | |
5.50%, 09/25/2022, Series 1992-143, Class MA | | | 150 | | | | 153 | |
5.50%, 03/25/2023, Series 2003-17, Class EQ | | | 25,098 | | | | 25,843 | |
5.50%, 04/25/2023, Series 1993-58, Class H | | | 1,798 | | | | 1,853 | |
5.50%, 04/25/2023, Series 2003-23, Class EQ | | | 48,797 | | | | 50,332 | |
5.50%, 05/25/2023, Series 2003-39, Class LW | | | 12,361 | | | | 12,734 | |
5.50%, 07/25/2024, Series 2004-53, Class NC | | | 3,588 | | | | 3,725 | |
5.50%, 08/25/2024, Series 2004-65, Class EY | | | 43,903 | | | | 45,911 | |
5.50%, 08/25/2025, Series 2005-67, Class EY | | | 58,725 | | | | 62,968 | |
5.50%, 01/25/2026, Series 2005-121, Class DX | | | 34,021 | | | | 36,174 | |
5.50%, 04/18/2029, Series 1999-18, Class Z | | | 6,203 | | | | 6,748 | |
5.50%, 12/25/2032, Series 2002-78, Class Z | | | 84,926 | | | | 98,075 | |
5.50%, 08/25/2033, Series 2003-72, Class IE | | | 138,207 | | | | 22,671 | |
5.50%, 08/25/2033, Series 2003-73, Class HC | | | 69,694 | | | | 80,358 | |
5.50%, 10/25/2033, Series 2003-105, Class AZ | | | 507,931 | | | | 585,586 | |
5.50%, 04/25/2034, Series 2004-17, Class H | | | 158,939 | | | | 185,305 | |
5.50%, 07/25/2034, Series 2004-50, Class VZ | | | 264,184 | | | | 300,626 | |
5.50%, 08/25/2035, Series 2005-68, Class PG | | | 63,688 | | | | 72,505 | |
5.50%, 08/25/2035, Series 2005-73, Class ZB | | | 445,105 | | | | 513,520 | |
5.50%, 12/25/2035, Series 2006-46, Class UC | | | 23,476 | | | | 25,160 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.50%, 12/25/2035, Series 2005-110, Class GL | | | 340,049 | | | | 387,652 | |
5.50%, 01/25/2036, Series 2006-39, Class WC | | | 15,279 | | | | 16,218 | |
5.50%, 03/25/2036, Series 2006-16, Class HZ | | | 41,095 | | | | 47,150 | |
5.50%, 03/25/2036, Series 2006-12, Class BZ | | | 148,519 | | | | 170,113 | |
5.50%, 03/25/2036, Series 2006-8, Class JZ | | | 173,036 | | | | 202,294 | |
5.50%, 01/25/2037, Series 2006-128, Class BP | | | 11,912 | | | | 13,045 | |
5.50%, 07/25/2037, Series 2007-70, Class Z | | | 92,929 | | | | 106,698 | |
5.50%, 08/25/2037, Series 2007-76, Class AZ | | | 35,203 | | | | 40,403 | |
5.50%, 07/25/2038, Series 2011-47, Class ZA | | | 134,719 | | | | 156,185 | |
5.50%, 10/25/2039, Series 2009-86, Class IP | | | 133,472 | | | | 22,902 | |
5.50%, 06/25/2040, Series 2010-58, Class MB | | | 620,952 | | | | 698,603 | |
5.50%, 07/25/2040, Series 2010-71, Class HJ | | | 212,534 | | | | 246,185 | |
5.50%, 10/25/2040, Series 2010-111, Class AM | | | 729,764 | | | | 863,428 | |
5.69% (1 Month LIBOR USD + 5.78%, 5.78% Cap), 06/25/2037, Series 2007-92, Class YS(2)(5) | | | 29,466 | | | | 5,141 | |
5.75%, 06/25/2033, Series 2003-47, Class PE | | | 43,659 | | | | 49,909 | |
5.75%, 07/25/2035, Series 2005-66, Class ZH | | | 1,294,254 | | | | 1,529,801 | |
5.75%, 10/25/2035, Series 2005-84, Class XM | | | 53,440 | | | | 60,418 | |
5.76% (1 Month LIBOR USD + 5.85%, 5.85% Cap), 09/25/2038, Series 2008-81, Class SB(2)(5) | | | 111,803 | | | | 18,642 | |
5.76% (1 Month LIBOR USD + 5.85%, 5.85% Cap), 09/25/2038, Series 2008-80, Class SA(2)(5) | | | 146,048 | | | | 26,549 | |
5.81% (1 Month LIBOR USD + 5.90%, 5.90% Cap), 10/25/2039, Series 2009-84, Class WS(2)(5) | | | 35,608 | | | | 5,638 | |
5.82% (1 Month LIBOR USD + 5.91%, 5.91% Cap), 02/25/2038, Series 2008-1, Class BI(2)(5) | | | 118,704 | | | | 22,988 | |
5.85%, 02/25/2051, Series 2011-2, Class WA(4) | | | 67,626 | | | | 77,438 | |
5.91% (1 Month LIBOR USD + 6.00%, 6.00% Cap), 02/25/2038, Series 2008-4, Class SD(2)(5) | | | 305,807 | | | | 49,161 | |
5.99% (1 Month LIBOR USD + 6.08%, 6.08% Cap), 03/25/2037, Series 2007-22, Class SC(2)(5) | | | 2,921 | | | | 110 | |
6.00%, 02/25/2022, Series 2002-5, Class PK | | | 3,050 | | | | 3,078 | |
6.00%, 08/25/2022, Series 1992-136, Class PK | | | 374 | | | | 383 | |
6.00%, 09/25/2022, Series 2002-54, Class PG | | | 10,800 | | | | 11,035 | |
6.00% (1 Month LIBOR USD + 28.70%, 6.00% Cap), 04/25/2023, Series G93-17, Class SI(2)(5) | | | 928 | | | | 961 | |
6.00%, 07/25/2023, Series 1993-136, Class ZB(4) | | | 8,519 | | | | 8,922 | |
6.00%, 07/18/2028, Series 1998-36, Class ZB | | | 4,638 | | | | 5,169 | |
6.00%, 12/25/2028, Series 1998-66, Class C | | | 1,576 | | | | 1,667 | |
6.00%, 07/25/2031, Series 2001-33, Class ID | | | 20,241 | | | | 2,788 | |
6.00%, 11/25/2031, Series 2001-60, Class PX | | | 34,040 | | | | 39,187 | |
6.00%, 04/25/2032, Series 2002-15, Class ZA | | | 92,506 | | | | 105,074 | |
6.00%, 11/25/2032, Series 2011-39, Class ZA | | | 263,075 | | | | 304,124 | |
6.00%, 05/25/2033, Series 2003-39, Class IO(4) | | | 6,332 | | | | 1,027 | |
6.00%, 05/25/2033, Series 2003-34, Class AX | | | 20,760 | | | | 24,185 | |
6.00%, 05/25/2033, Series 2003-34, Class GE | | | 53,174 | | | | 61,285 | |
6.00%, 05/25/2033, Series 2003-34, Class ED | | | 108,776 | | | | 126,544 | |
6.00%, 12/25/2035, Series 2005-109, Class PC | | | 8,937 | | | | 10,020 | |
6.00%, 12/25/2035, Series 2005-109, Class YE | | | 43,865 | | | | 43,929 | |
6.00%, 07/25/2036, Series 2006-71, Class ZL | | | 289,500 | | | | 338,938 | |
6.00%, 03/25/2037, Series 2007-18, Class MZ | | | 181,041 | | | | 204,729 | |
6.00%, 05/25/2037, Series 2007-42, Class B | | | 92,117 | | | | 108,009 | |
6.00%, 08/25/2037, Series 2007-78, Class CB | | | 10,628 | | | | 12,513 | |
6.00%, 08/25/2037, Series 2007-76, Class ZG | | | 34,289 | | | | 40,267 | |
6.00%, 08/25/2037, Series 2007-78, Class PE | | | 38,778 | | | | 45,801 | |
6.00%, 08/25/2037, Series 2007-81, Class GE | | | 51,626 | | | | 59,831 | |
6.00%, 08/25/2039, Series 2009-60, Class HT | | | 277,002 | | | | 324,743 | |
6.01% (1 Month LIBOR USD + 6.10%, 6.10% Cap), 04/25/2037, Series 2007-35, Class SI(2)(5) | | | 50,359 | | | | 5,517 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
6.01% (1 Month LIBOR USD + 6.10%, 6.10% Cap), 06/25/2037, Series 2007-54, Class WI(2)(5) | | | 33,136 | | | | 6,522 | |
6.01% (1 Month LIBOR USD + 6.10%, 6.10% Cap), 06/25/2037, Series 2007-53, Class SH(2)(5) | | | 90,816 | | | | 14,059 | |
6.01% (1 Month LIBOR USD + 6.10%, 6.10% Cap), 11/25/2049, Series 2010-103, Class SB(2)(5) | | | 74,613 | | | | 9,129 | |
6.02%, 09/25/2039, Series 2009-69, Class WA(4) | | | 98,083 | | | | 111,772 | |
6.09% (1 Month LIBOR USD + 6.18%, 6.18% Cap), 12/25/2039, Series 2009-99, Class SC(2)(5) | | | 42,791 | | | | 6,792 | |
6.11% (1 Month LIBOR USD + 6.20%, 6.20% Cap), 03/25/2038, Series 2008-16, Class IS(2)(5) | | | 35,677 | | | | 5,938 | |
6.14% (1 Month LIBOR USD + 6.23%, 6.23% Cap), 03/25/2038, Series 2008-10, Class XI(2)(5) | | | 45,100 | | | | 8,398 | |
6.16% (1 Month LIBOR USD + 6.25%, 6.25% Cap), 01/25/2040, Series 2009-112, Class ST(2)(5) | | | 98,024 | | | | 17,739 | |
6.18%, 03/25/2040, Series 2010-16, Class WB(4) | | | 163,732 | | | | 187,573 | |
6.22%, 02/25/2040, Series 2010-1, Class WA(4) | | | 42,528 | | | | 48,415 | |
6.25%, 10/25/2037, Series 2007-106, Class A7(4) | | | 37,961 | | | | 44,511 | |
6.27% (1 Month LIBOR USD + 6.36%, 6.36% Cap), 12/25/2037, Series 2007-108, Class SA(2)(5) | | | 5,198 | | | | 736 | |
6.29%, 12/25/2039, Series 2009-99, Class WA(4) | | | 226,973 | | | | 260,187 | |
6.31% (1 Month LIBOR USD + 6.40%, 6.40% Cap), 07/25/2037, Series 2007-72, Class EK(2)(5) | | | 290,093 | | | | 56,133 | |
6.31% (1 Month LIBOR USD + 6.40%, 6.40% Cap), 12/25/2037, Series 2007-109, Class AI(2)(5) | | | 129,117 | | | | 18,812 | |
6.31% (1 Month LIBOR USD + 6.40%, 6.40% Cap), 05/25/2040, Series 2010-42, Class S(2)(5) | | | 45,249 | | | | 7,502 | |
6.33% (1 Month LIBOR USD + 6.42%, 6.42% Cap), 04/25/2040, Series 2010-35, Class SB(2)(5) | | | 80,007 | | | | 12,882 | |
6.35% (1 Month LIBOR USD + 6.44%, 6.44% Cap), 03/25/2037, Series 2007-14, Class ES(2)(5) | | | 154,983 | | | | 28,124 | |
6.35%, 04/25/2029, Series 1999-17, Class C | | | 3,039 | | | | 3,423 | |
6.36% (1 Month LIBOR USD + 6.45%, 6.45% Cap), 10/25/2037, Series 2007-100, Class SM(2)(5) | | | 101,463 | | | | 20,619 | |
6.36% (1 Month LIBOR USD + 6.45%, 6.45% Cap), 12/25/2037, Series 2007-112, Class SA(2)(5) | | | 147,853 | | | | 32,765 | |
6.37% (1 Month LIBOR USD + 6.46%, 6.46% Cap), 10/25/2037, Series 2007-91, Class ES(2)(5) | | | 148,178 | | | | 31,493 | |
6.41% (1 Month LIBOR USD + 6.50%, 6.50% Cap), 06/25/2023, Series 2008-47, Class SI(2)(5) | | | 404 | | | | 3 | |
6.41% (1 Month LIBOR USD + 6.50%, 6.50% Cap), 08/25/2036, Series 2007-7, Class SG(2)(5) | | | 93,197 | | | | 25,516 | |
6.43% (1 Month LIBOR USD + 6.52%, 6.52% Cap), 07/25/2036, Series 2006-58, Class IG(2)(5) | | | 48,609 | | | | 8,713 | |
6.44%, 03/25/2040, Series 2010-16, Class WA(4) | | | 160,820 | | | | 182,533 | |
6.44% (1 Month LIBOR USD + 6.53%, 6.53% Cap), 01/25/2041, Series 2010-147, Class SA(2)(5) | | | 483,116 | | | | 105,311 | |
6.45% (1 Month LIBOR USD + 6.54%, 6.54% Cap), 09/25/2037, Series 2007-88, Class VI(2)(5) | | | 144,031 | | | | 31,129 | |
6.46% (1 Month LIBOR USD + 6.55%, 6.55% Cap), 02/25/2039, Series 2009-6, Class GS(2)(5) | | | 88,861 | | | | 19,905 | |
6.49% (1 Month LIBOR USD + 6.58%, 6.58% Cap), 06/25/2036, Series 2006-53, Class US(2)(5) | | | 95,185 | | | | 18,317 | |
6.50%, 09/25/2021, Series 2001-48, Class Z | | | 382 | | | | 383 | |
6.50%, 02/25/2022, Series 2002-1, Class HC | | | 314 | | | | 316 | |
6.50%, 08/25/2022, Series 1996-59, Class J | | | 375 | | | | 384 | |
6.50%, 02/25/2023, Series G93-5, Class Z | | | 568 | | | | 586 | |
6.50%, 03/25/2023, Series G93-14, Class J | | | 418 | | | | 432 | |
6.50%, 07/25/2023, Series 1993-122, Class M | | | 351 | | | | 368 | |
6.50%, 09/25/2023, Series 1993-178, Class PK | | | 823 | | | | 866 | |
6.50%, 10/25/2023, Series 1993-189, Class PL | | | 4,276 | | | | 4,514 | |
6.50%, 10/25/2023, Series 1993-183, Class KA | | | 12,076 | | | | 12,746 | |
6.50%, 11/25/2023, Series 1995-19, Class Z | | | 4,868 | | | | 5,205 | |
6.50%, 12/25/2023, Series 1993-225, Class UB | | | 1,377 | | | | 1,461 | |
6.50%, 03/25/2024, Series 1994-37, Class L | | | 4,200 | | | | 4,451 | |
6.50%, 03/25/2024, Series 1994-40, Class Z | | | 26,513 | | | | 28,247 | |
6.50%, 04/25/2027, Series 1997-32, Class PG | | | 9,785 | | | | 10,949 | |
6.50%, 07/18/2027, Series 1997-42, Class ZC | | | 774 | | | | 857 | |
6.50%, 09/25/2031, Series 2001-49, Class Z | | | 5,036 | | | | 5,862 | |
6.50%, 10/25/2031, Series 2001-52, Class KB | | | 3,748 | | | | 4,298 | |
6.50%, 04/25/2032, Series 2002-21, Class PE | | | 15,873 | | | | 18,646 | |
6.50%, 05/25/2032, Series 2002-28, Class PK | | | 31,486 | | | | 36,721 | |
6.50%, 06/25/2032, Series 2002-37, Class Z | | | 14,374 | | | | 16,497 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
6.50%, 07/25/2032, Series 2006-130, Class GI | | | 59,399 | | | | 8,335 | |
6.50%, 08/25/2032, Series 2002-48, Class GH | | | 39,465 | | | | 46,640 | |
6.50%, 02/25/2033, Series 2003-9, Class NZ | | | 13,777 | | | | 16,122 | |
6.50%, 05/25/2033, Series 2003-33, Class IA | | | 60,937 | | | | 12,573 | |
6.50%, 07/25/2036, Series 2006-63, Class ZH | | | 133,960 | | | | 160,289 | |
6.50%, 07/25/2036, Series 2011-19, Class ZY | | | 177,553 | | | | 212,020 | |
6.50%, 08/25/2036, Series 2006-78, Class BZ | | | 14,030 | | | | 16,701 | |
6.50%, 08/25/2036, Series 2006-77, Class PC | | | 76,047 | | | | 87,732 | |
6.50%, 09/25/2036, Series 2006-85, Class MZ | | | 7,509 | | | | 8,916 | |
6.50%, 06/25/2037, Series 2007-92, Class YA | | | 17,674 | | | | 20,945 | |
6.50%, 12/25/2037, Series 2007-112, Class MJ | | | 112,765 | | | | 135,049 | |
6.50%, 06/25/2042, Series 2002-90, Class A1 | | | 46,783 | | | | 54,729 | |
6.53% (1 Month LIBOR USD + 6.62%, 6.62% Cap), 07/25/2037, Series 2007-65, Class KI(2)(5) | | | 108,221 | | | | 19,441 | |
6.56% (1 Month LIBOR USD + 6.65%, 6.65% Cap), 12/25/2036, Series 2006-117, Class GS(2)(5) | | | 83,566 | | | | 12,797 | |
6.56% (1 Month LIBOR USD + 6.65%, 6.65% Cap), 03/25/2039, Series 2009-17, Class QS(2)(5) | | | 33,452 | | | | 5,401 | |
6.61% (1 Month LIBOR USD + 6.70%, 6.70% Cap), 03/25/2036, Series 2006-8, Class WN(2)(5) | | | 483,971 | | | | 101,391 | |
6.62% (1 Month LIBOR USD + 6.71%, 6.71% Cap), 07/25/2035, Series 2005-56, Class S(2)(5) | | | 44,225 | | | | 8,818 | |
6.76% (1 Month LIBOR USD + 6.85%, 6.85% Cap), 04/25/2038, Series 2008-32, Class SA(2)(5) | | | 27,224 | | | | 4,489 | |
6.81% (1 Month LIBOR USD + 6.90%, 6.90% Cap), 04/25/2038, Series 2008-27, Class SN(2)(5) | | | 56,672 | | | | 9,982 | |
6.88%, 08/25/2023, Series 2002-83, Class CS | | | 8,818 | | | | 9,215 | |
6.90% (1 Month LIBOR USD + 6.99%, 6.99% Cap), 03/25/2038, Series 2008-20, Class SA(2)(5) | | | 59,226 | | | | 12,123 | |
7.00%, 07/25/2022, Series G92-42, Class Z | | | 20 | | | | 20 | |
7.00%, 10/25/2022, Series G92-61, Class Z | | | 173 | | | | 177 | |
7.00%, 02/25/2023, Series 1997-61, Class ZC | | | 6,150 | | | | 6,364 | |
7.00%, 03/25/2023, Series 1993-37, Class PX | | | 4,728 | | | | 4,890 | |
7.00%, 04/25/2023, Series 1993-54, Class Z | | | 1,454 | | | | 1,505 | |
7.00%, 05/25/2023, Series 1993-56, Class PZ | | | 18,475 | | | | 19,340 | |
7.00%, 07/25/2023, Series 2002-1, Class G | | | 5,813 | | | | 6,063 | |
7.00%, 07/25/2023, Series 1993-99, Class Z | | | 9,269 | | | | 9,707 | |
7.00%, 08/25/2023, Series 1993-141, Class Z | | | 14,821 | | | | 15,519 | |
7.00%, 04/25/2024, Series 1994-63, Class PK | | | 16,832 | | | | 17,959 | |
7.00%, 04/25/2024, Series 1994-62, Class PK | | | 41,546 | | | | 43,925 | |
7.00%, 11/25/2026, Series 1996-48, Class Z | | | 10,998 | | | | 11,892 | |
7.00%, 12/18/2027, Series 1997-81, Class PI | | | 4,143 | | | | 302 | |
7.00%, 03/25/2031, Series 2001-7, Class PF | | | 3,443 | | | | 4,085 | |
7.00%, 07/25/2031, Series 2001-30, Class PM | | | 10,730 | | | | 12,801 | |
7.00%, 08/25/2031, Series 2001-36, Class DE | | | 21,872 | | | | 25,716 | |
7.00%, 09/25/2031, Series 2001-44, Class PU | | | 3,861 | | | | 4,601 | |
7.00%, 09/25/2031, Series 2001-44, Class PD | | | 5,894 | | | | 6,920 | |
7.00%, 09/25/2031, Series 2001-44, Class MY | | | 28,905 | | | | 34,417 | |
7.00%, 11/25/2031, Series 2001-61, Class Z | | | 40,854 | | | | 48,782 | |
7.00%, 05/25/2033, Series 2007-97, Class KI | | | 107,817 | | | | 10,952 | |
7.00%, 07/25/2039, Series 2009-47, Class MT | | | 1,675 | | | | 1,990 | |
7.00%, 11/25/2041, Series 2011-118, Class LB | | | 655,468 | | | | 798,352 | |
7.00%, 11/25/2041, Series 2011-118, Class NT | | | 685,713 | | | | 826,365 | |
7.00%, 11/25/2041, Series 2011-118, Class MT | | | 815,610 | | | | 988,926 | |
7.01% (1 Month LIBOR USD + 7.10%, 7.10% Cap), 06/25/2033, Series 2004-4, Class QI(2)(5) | | | 15,765 | | | | 521 | |
7.06% (1 Month LIBOR USD + 7.15%, 7.15% Cap), 07/25/2037, Series 2007-60, Class AX(2)(5) | | | 463,266 | | | | 117,126 | |
7.11% (1 Month LIBOR USD + 7.20%, 7.20% Cap), 07/25/2038, Series 2008-53, Class CI(2)(5) | | | 33,428 | | | | 6,231 | |
7.34% (1 Month LIBOR USD + 7.47%, 7.47% Cap), 08/25/2033, Series 2003-71, Class DS(2)(5) | | | 69,612 | | | | 77,228 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
7.50%, 06/25/2022, Series 1992-101, Class J | | | 17 | | | | 18 | |
7.50%, 07/25/2022, Series G92-35, Class E | | | 604 | | | | 618 | |
7.50%, 09/25/2022, Series G92-54, Class ZQ | | | 203 | | | | 207 | |
7.50%, 10/25/2022, Series 1992-188, Class PZ | | | 1,335 | | | | 1,377 | |
7.50%, 03/25/2023, Series 1993-25, Class J | | | 1,494 | | | | 1,560 | |
7.50%, 04/18/2027, Series 1997-27, Class J | | | 2,961 | | | | 3,406 | |
7.50%, 04/20/2027, Series 1997-29, Class J | | | 4,430 | | | | 5,053 | |
7.50%, 05/20/2027, Series 1997-39, Class PD | | | 15,081 | | | | 17,069 | |
7.50%, 12/18/2029, Series 1999-62, Class PB | | | 4,803 | | | | 5,505 | |
7.50%, 02/25/2030, Series 2000-2, Class ZE | | | 25,851 | | | | 30,129 | |
7.51% (1 Month LIBOR USD + 7.60%, 7.60% Cap), 07/25/2028, Series 2008-55, Class S(2)(5) | | | 142,231 | | | | 18,076 | |
7.51% (1 Month LIBOR USD + 7.60%, 7.60% Cap), 11/25/2033, Series 2003-116, Class SB(2)(5) | | | 76,844 | | | | 14,789 | |
7.70%, 03/25/2023, Series 1993-21, Class KA | | | 650 | | | | 677 | |
7.75%, 09/25/2022, Series 1992-163, Class M | | | 490 | | | | 505 | |
7.90%, 01/25/2023, Series G93-1, Class KA | | | 888 | | | | 920 | |
7.96% (1 Month LIBOR USD + 8.05%, 8.05% Cap), 08/25/2023, Series 1999-38, Class SK(2)(5) | | | 218 | | | | 12 | |
8.00%, 07/25/2022, Series G92-44, Class ZQ | | | 9 | | | | 9 | |
8.00%, 07/25/2022, Series 1992-117, Class MA | | | 1,816 | | | | 1,868 | |
8.00%, 09/25/2022, Series 1992-150, Class M | | | 1,974 | | | | 2,031 | |
8.06% (1 Month LIBOR USD + 8.15%, 8.15% Cap), 12/25/2028, Series 1998-66, Class SB(2)(5) | | | 1,316 | | | | 60 | |
8.50%, 01/25/2025, Series 1995-2, Class Z | | | 909 | | | | 999 | |
8.50%, 01/25/2031, Series 2000-52, Class IO | | | 1,474 | | | | 252 | |
8.50% (1 Month LIBOR USD + 51.00%, 8.50% Cap), 11/25/2032, Series 2004-61, Class SK(2)(5) | | | 12,535 | | | | 14,615 | |
8.80%, 01/25/2025, Series G95-1, Class C | | | 2,094 | | | | 2,340 | |
9.01% (1 Month LIBOR USD + 9.10%, 9.10% Cap), 07/25/2030, Series 2000-20, Class SA(2)(5) | | | 6,874 | | | | 758 | |
9.11% (10 year CMT Index + 10.75%, 10.00% Cap), 08/25/2023, Series 1996-14, Class SE(2)(5) | | | 8,007 | | | | 537 | |
10.00% (1 Month LIBOR USD + 54.00%, 10.00% Cap), 03/25/2032, Series 2002-13, Class ST(2)(5) | | | 441 | | | | 534 | |
10.01% (1 Month LIBOR USD + 10.17%, 10.17% Cap), 08/25/2033, Series 2003-74, Class SH(2)(5) | | | 9,385 | | | | 10,863 | |
10.50% (11th District Cost of Funds Index + 63.39%, 10.50% Cap), 10/25/2023, Series 1993-179, Class SC(2)(5) | | | 277 | | | | 300 | |
11.38% (1 Month LIBOR USD + 11.52%, 11.52% Cap), 01/25/2034, Series 2003-130, Class SX(2)(5) | | | 1,905 | | | | 2,174 | |
12.35% (1 Month LIBOR USD + 12.50%, 12.50% Cap), 09/25/2033, Series 2003-91, Class SD(2)(5) | | | 10,996 | | | | 13,230 | |
12.48% (1 Month LIBOR USD + 12.66%, 12.66% Cap), 03/25/2040, Series 2010-49, Class SC(2)(5) | | | 167,244 | | | | 213,674 | |
12.50% (1 Month LIBOR USD + 77.31%, 12.50% Cap), 09/25/2023, Series 1993-165, Class SK(2)(5) | | | 568 | | | | 605 | |
12.61% (11th District Cost of Funds Index + 12.95%, 4.00% Floor, 12.95% Cap), 12/25/2023, Series 1993-247, Class SU(2)(5) | | | 478 | | | | 515 | |
13.52% (1 Month LIBOR USD + 13.75%, 13.75% Cap), 07/25/2033, Series 2003-64, Class SX(2)(5) | | | 16,135 | | | | 20,224 | |
13.82% (1 Month LIBOR USD + 14.00%, 14.00% Cap), 03/25/2038, Series 2008-18, Class SP(2)(5) | | | 17,856 | | | | 21,278 | |
14.02% (1 Month LIBOR USD + 14.20%, 14.20% Cap), 06/25/2033, Series 2004-4, Class QM(2)(5) | | | 11,727 | | | | 12,315 | |
14.06% (1 Month LIBOR USD + 14.24%, 14.24% Cap), 07/25/2034, Series 2004-51, Class SY(2)(5) | | | 9,961 | | | | 11,971 | |
14.13% (11th District Cost of Funds Index + 14.86%, 14.86% Cap), 09/25/2023, Series 1993-165, Class SD(2)(5) | | | 458 | | | | 482 | |
14.32% (1 Month LIBOR USD + 14.48%, 14.48% Cap), 12/25/2032, Series 2002-77, Class S(2)(5) | | | 5,930 | | | | 7,354 | |
15.34% (1 Month LIBOR USD + 15.50%, 15.50% Cap), 11/25/2031, Series 2004-74, Class SW(2)(5) | | | 11,776 | | | | 15,061 | |
15.50% (1 Month LIBOR USD + 58.37%, 15.50% Cap), 02/25/2023, Series 1993-27, Class SA(2)(5) | | | 230 | | | | 258 | |
15.92% (1 Month LIBOR USD + 16.15%, 16.15% Cap), 09/25/2037, Series 2007-85, Class SL(2)(5) | | | 8,779 | | | | 11,689 | |
16.02% (1 Month LIBOR USD + 16.20%, 16.20% Cap), 01/25/2034, Series 2003-131, Class SK(2)(5) | | | 5,184 | | | | 5,696 | |
16.25% (1 Month LIBOR USD + 16.50%, 16.50% Cap), 05/25/2034, Series 2004-46, Class SK(2)(5) | | | 8,290 | | | | 10,905 | |
16.27% (1 Month LIBOR USD + 16.50%, 16.50% Cap), 07/25/2037, Series 2007-62, Class SE(2)(5) | | | 21,927 | | | | 28,403 | |
16.47% (1 Month LIBOR USD + 16.70%, 16.70% Cap), 08/25/2035, Series 2005-73, Class PS(2)(5) | | | 25,576 | | | | 33,488 | |
16.65% (1 Month LIBOR USD + 16.88%, 16.88% Cap), 08/25/2035, Series 2005-72, Class SB(2)(5) | | | 20,147 | | | | 26,887 | |
16.65% (1 Month LIBOR USD + 16.88%, 16.88% Cap), 10/25/2035, Series 2005-90, Class ES(2)(5) | | | 25,050 | | | | 34,234 | |
16.77% (1 Month LIBOR USD + 17.00%, 17.00% Cap), 05/25/2035, Series 2005-42, Class PS(2)(5) | | | 3,299 | | | | 4,122 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
17.15% (1 Month LIBOR USD + 17.38%, 17.38% Cap), 07/25/2035, Series 2005-66, Class SG(2)(5) | | | 22,110 | | | | 31,790 | |
17.25% (1 Month LIBOR USD + 17.47%, 17.47% Cap), 12/25/2031, Series 2001-72, Class SX(2)(5) | | | 1,065 | | | | 1,413 | |
17.36% (1 Month LIBOR USD + 17.67%, 17.67% Cap), 04/25/2040, Series 2010-35, Class SJ(2)(5) | | | 94,046 | | | | 125,427 | |
17.88% (1 Month LIBOR USD + 18.15%, 18.15% Cap), 08/25/2033, Series 2005-56, Class TP(2)(5) | | | 14,490 | | | | 17,791 | |
19.27% (7 year CMT Index + 22.30%, 21.83% Cap), 04/25/2023, Series 1998-43, Class SA(2)(5) | | | 1,190 | | | | 134 | |
19.27% (1 Month LIBOR USD + 19.53%, 19.53% Cap), 04/25/2034, Series 2004-25, Class SA(2)(5) | | | 30,559 | | | | 43,426 | |
19.27% (1 Month LIBOR USD + 19.53%, 19.53% Cap), 05/25/2034, Series 2004-36, Class SA(2)(5) | | | 69,253 | | | | 100,890 | |
19.73% (11th District Cost of Funds Index + 20.53%, 20.53% Cap), 04/25/2023, Series 1993-62, Class SA(2)(5) | | | 697 | | | | 755 | |
19.77% (1 Month LIBOR USD + 20.02%, 20.02% Cap), 05/25/2035, Series 2005-74, Class CS(2)(5) | | | 57,781 | | | | 71,462 | |
19.88% (1 Month LIBOR USD + 20.13%, 20.13% Cap), 05/25/2035, Series 2005-74, Class SK(2)(5) | | | 39,722 | | | | 49,346 | |
20.43% (1 Month LIBOR USD + 20.70%, 20.70% Cap), 04/25/2038, Series 2008-28, Class QS(2)(5) | | | 20,048 | | | | 28,414 | |
22.36% (1 Month LIBOR USD + 22.67%, 22.67% Cap), 04/25/2037, Series 2007-29, Class SG(2)(5) | | | 30,868 | | | | 47,958 | |
22.68% (1 Month LIBOR USD + 22.95%, 22.95% Cap), 10/25/2031, Series 2003-52, Class SX(2)(5) | | | 8,854 | | | | 12,742 | |
23.12% (1 Month LIBOR USD + 23.38%, 23.38% Cap), 10/25/2023, Series 1999-52, Class NS(2)(5) | | | 771 | | | | 932 | |
23.63% (1 Month LIBOR USD + 24.00%, 24.00% Cap), 05/25/2034, Series 2004-46, Class QB(2)(5) | | | 13,257 | | | | 19,613 | |
23.68% (1 Month LIBOR USD + 24.02%, 24.02% Cap), 08/25/2037, Series 2007-79, Class SB(2)(5) | | | 40,870 | | | | 67,197 | |
23.83% (1 Month LIBOR USD + 24.20%, 24.20% Cap), 09/25/2035, Series 2005-75, Class SV(2)(5) | | | 5,560 | | | | 7,993 | |
23.86% (1 Month LIBOR USD + 24.20%, 24.20% Cap), 06/25/2036, Series 2006-46, Class SW(2)(5) | | | 4,068 | | | | 6,539 | |
24.18% (1 Month LIBOR USD + 24.50%, 24.50% Cap), 12/25/2023, Series 2002-1, Class UD(2)(5) | | | 1,028 | | | | 1,266 | |
24.18% (1 Month LIBOR USD + 24.50%, 24.50% Cap), 09/25/2031, Series 2001-60, Class QS(2)(5) | | | 15,315 | | | | 20,747 | |
24.23% (1 Month LIBOR USD + 24.57%, 24.57% Cap), 11/25/2035, Series 2005-106, Class US(2)(5) | | | 116,299 | | | | 166,973 | |
24.23% (1 Month LIBOR USD + 24.57%, 24.57% Cap), 03/25/2036, Series 2006-11, Class PS(2)(5) | | | 12,270 | | | | 19,896 | |
24.41% (1 Month LIBOR USD + 24.75%, 24.75% Cap), 05/25/2035, Series 2005-74, Class CP(2)(5) | | | 13,264 | | | | 16,737 | |
24.89% (1 Month LIBOR USD + 25.19%, 25.19% Cap), 02/25/2032, Series 2002-1, Class SA(2)(5) | | | 2,690 | | | | 4,003 | |
25.04% (1 Month LIBOR USD + 25.50%, 25.50% Cap), 06/25/2035, Series 2005-59, Class SU(2)(5) | | | 21,212 | | | | 33,194 | |
25.83% (1 Month LIBOR USD + 26.20%, 26.20% Cap), 10/25/2036, Series 2006-95, Class SG(2)(5) | | | 15,079 | | | | 24,655 | |
26.19% (1 Month LIBOR USD + 26.56%, 26.56% Cap), 12/25/2036, Series 2006-115, Class ES(2)(5) | | | 3,041 | | | | 4,644 | |
26.49% (7 year CMT Index + 30.01%, 29.59% Cap), 12/25/2021, Series G-51, Class SA(2)(5) | | | 2 | | | | 2 | |
28.25% (11th District Cost of Funds Index + 29.75%, 29.75% Cap), 10/25/2023, Series 1993-179, Class SB(2)(5) | | | 415 | | | | 464 | |
28.43% (1 Month LIBOR USD + 28.80%, 28.80% Cap), 07/25/2036, Series 2006-60, Class AK(2)(5) | | | 13,753 | | | | 20,211 | |
29.49% (11th District Cost of Funds Index + 31.01%, 31.01% Cap), 12/25/2023, Series 1993-247, Class SA(2)(5) | | | 1,264 | | | | 1,425 | |
29.74% (1 Month LIBOR USD + 30.15%, 30.15% Cap), 05/25/2036, Series 2006-33, Class LS(2)(5) | | | 13,119 | | | | 20,837 | |
32.79% (1 Month LIBOR USD + 33.25%, 33.25% Cap), 10/25/2026, Series 2006-94, Class GK(2)(5) | | | 8,681 | | | | 12,099 | |
38.45% (1 Month LIBOR USD + 39.00%, 39.00% Cap), 02/25/2037, Series 2007-1, Class SD(2)(5) | | | 8,374 | | | | 24,833 | |
39.35% (1 Month LIBOR USD + 39.90%, 39.90% Cap), 07/25/2036, Series 2006-62, Class PS(2)(5) | | | 9,682 | | | | 19,317 | |
1184.78%, 07/25/2022, Series G92-35, Class G | | | 2 | | | | 8 | |
Fannie Mae Trust 2003-W2 | | | | | | | | |
5.90%, 07/25/2042, Series 2003-W2, Class 2A9 | | | 44,044 | | | | 50,794 | |
6.50%, 07/25/2042, Series 2003-W2, Class 1A1 | | | 75,796 | | | | 88,416 | |
Fannie Mae Trust 2003-W6 | | | | | | | | |
5.20%, 09/25/2042, Series 2003-W6, Class 2A4 | | | 272,708 | | | | 302,454 | |
6.50%, 09/25/2042, Series 2003-W6, Class 3A | | | 99,585 | | | | 115,841 | |
Fannie Mae Trust 2003-W8 | | | | | | | | |
0.49% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 8.00% Cap), 05/25/2042, Series 2003-W8, Class 3F1(2) | | | 23,137 | | | | 23,112 | |
7.00%, 10/25/2042, Series 2003-W8, Class 2A | | | 106,146 | | | | 123,013 | |
Fannie Mae Trust 2004-W1 | | | | | | | | |
7.00%, 12/25/2033, Series 2004-W1, Class 2A2 | | | 173,643 | | | | 204,173 | |
Fannie Mae Trust 2004-W15 | | | | | | | | |
0.34% (1 Month LIBOR USD + 0.25%, 0.25% Floor), 08/25/2044, Series 2004-W15, Class 2AF(2) | | | 96,485 | | | | 95,973 | |
Fannie Mae Trust 2004-W2 | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
7.00%, 02/25/2044, Series 2004-W2, Class 2A2 | | | 33,098 | | | | 38,868 | |
Fannie Mae Trust 2004-W8 | | | | | | | | |
7.50%, 06/25/2044, Series 2004-W8, Class 3A | | | 32,143 | | | | 38,319 | |
Fannie Mae Trust 2005-W3 | | | | | | | | |
0.31% (1 Month LIBOR USD + 0.22%, 0.22% Floor, 9.50% Cap), 03/25/2045, Series 2005-W3, Class 2AF(2) | | | 816,143 | | | | 813,204 | |
Fannie Mae Trust 2005-W4 | | | | | | | | |
6.00%, 08/25/2045, Series 2005-W4, Class 1A1 | | | 45,126 | | | | 51,747 | |
Fannie Mae Trust 2006-W2 | | | | | | | | |
0.31% (1 Month LIBOR USD + 0.22%, 0.22% Floor, 9.50% Cap), 02/25/2046, Series 2006-W2, Class 1AF1(2) | | | 357,527 | | | | 357,511 | |
2.72%, 11/25/2045, Series 2006-W2, Class 2A(4) | | | 108,690 | | | | 114,845 | |
Fannie Mae Whole Loan | | | | | | | | |
0.35% (1 Month LIBOR USD + 0.26%, 0.26% Floor, 9.50% Cap), 11/25/2046, Series 2007-W1, Class 1AF1(2) | | | 841,842 | | | | 835,555 | |
Fannie Mae-Aces | | | | | | | | |
0.67%, 10/25/2030, Series 2020-M50, Class A1 | | | 3,046,164 | | | | 2,986,522 | |
0.75%, 09/25/2028, Series 2020-M39, Class 1A1 | | | 24,407,602 | | | | 23,970,869 | |
1.00%, 11/25/2033, Series 2021-M3, Class 1A1 | | | 6,891,526 | | | | 6,819,315 | |
1.03% (1 Month LIBOR USD + 0.93%, 0.93% Floor), 11/25/2022, Series 2015-M17, Class FA(2) | | | 479,667 | | | | 480,316 | |
1.20%, 10/25/2030, Series 2020-M50, Class A2 | | | 1,055,000 | | | | 1,042,876 | |
1.59%, 11/25/2028, Series 2020-M38, Class 2A1 | | | 2,970,000 | | | | 2,982,575 | |
1.99%, 12/25/2029, Series 2019-M30, Class 2A1 | | | 25,253,961 | | | | 25,948,715 | |
2.02%, 10/25/2030, Series 2020-M50, Class X1(4) | | | 17,846,182 | | | | 1,984,788 | |
2.10%, 08/25/2029, Series 2019-M22, Class A1 | | | 20,285,530 | | | | 21,264,364 | |
2.11%, 11/25/2028, Series 2020-M38, Class X2(4) | | | 12,600,000 | | | | 1,565,177 | |
2.12%, 07/25/2030, Series 2020-M39, Class X1(4) | | | 111,554,919 | | | | 14,471,339 | |
2.12%, 11/25/2033, Series 2021-M3, Class X1(4) | | | 30,766,567 | | | | 4,224,360 | |
2.28%, 12/27/2022, Series 2013-M7, Class A2 | | | 628,502 | | | | 642,705 | |
2.39%, 01/25/2023, Series 2013-M9, Class A2(4) | | | 516,988 | | | | 528,974 | |
2.53%, 09/25/2024, Series 2015-M1, Class A2 | | | 1,258,801 | | | | 1,314,472 | |
2.56%, 12/25/2026, Series 2017-M3, Class A2(4) | | | 1,512,023 | | | | 1,614,785 | |
2.59%, 12/25/2024, Series 2015-M7, Class A2 | | | 1,350,393 | | | | 1,422,123 | |
2.67%, 12/25/2026, Series 2017-M4, Class A2(4) | | | 8,654,202 | | | | 9,278,231 | |
2.90%, 01/25/2025, Series 2015-M8, Class A2(4) | | | 2,000,000 | | | | 2,128,045 | |
2.92%, 08/25/2021, Series 2011-M8, Class A2 | | | 59,032 | | | | 59,085 | |
2.96%, 02/25/2027, Series 2017-M7, Class A2(4) | | | 3,535,000 | | | | 3,838,446 | |
2.98%, 08/25/2029, Series 2017-M11, Class A2 | | | 2,200,000 | | | | 2,441,541 | |
3.02%, 08/25/2024, Series 2014-M13, Class A2(4) | | | 1,122,786 | | | | 1,193,616 | |
3.06%, 05/25/2027, Series 2017-M8, Class A2(4) | | | 5,130,000 | | | | 5,631,453 | |
3.09%, 04/25/2027, Series 2015-M10, Class A2(4) | | | 13,183,167 | | | | 14,454,483 | |
3.10%, 07/25/2024, Series 2014-M9, Class A2(4) | | | 946,498 | | | | 1,007,469 | |
3.15%, 03/25/2028, Series 2018-M4, Class A2(4) | | | 3,891,000 | | | | 4,317,948 | |
3.18%, 06/25/2027, Series 2017-M12, Class A2(4) | | | 5,319,800 | | | | 5,870,815 | |
3.19%, 02/25/2030, Series 2018-M3, Class A2(4) | | | 2,791,000 | | | | 3,138,647 | |
3.28%, 04/25/2029, Series 2017-M5, Class A2(4) | | | 4,540,000 | | | | 5,094,127 | |
3.44%, 06/25/2028, Series 2018-M8, Class A2(4) | | | 5,160,000 | | | | 5,810,139 | |
3.48%, 07/25/2028, Series 2018-M10, Class A1(4) | | | 4,503,993 | | | | 4,895,658 | |
3.48%, 07/25/2028, Series 2018-M10, Class A2(4) | | | 6,977,000 | | | | 7,876,642 | |
3.50%, 01/25/2024, Series 2014-M3, Class A2(4) | | | 9,078,209 | | | | 9,646,436 | |
3.51%, 12/25/2023, Series 2014-M2, Class A2(4) | | | 1,788,307 | | | | 1,900,419 | |
3.67%, 09/25/2028, Series 2019-M1, Class A2(4) | | | 7,310,000 | | | | 8,351,957 | |
3.77%, 08/25/2030, Series 2018-M12, Class A2(4) | | | 5,611,341 | | | | 6,579,362 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
FHLMC-Ginnie Mae | | | | | | | | |
6.25%, 11/25/2023, Series 24, Class ZE | | | 1,921 | | | | 2,019 | |
7.00%, 03/25/2023, Series 8, Class ZA | | | 1,530 | | | | 1,571 | |
7.50%, 04/25/2024, Series 29, Class L | | | 13,825 | | | | 14,644 | |
First Horizon Alternative Mortgage Securities Trust 2005-FA8 | | | | | | | | |
5.50%, 11/25/2035, Series 2005-FA8, Class 1A19 | | | 67,495 | | | | 48,821 | |
First Horizon Alternative Mortgage Securities Trust 2006-FA6 | | | | | | | | |
5.75%, 11/25/2021, Series 2006-FA6, Class 3A1 | | | 758 | | | | 602 | |
First Horizon Alternative Mortgage Securities Trust 2006-FA8 | | | | | | | | |
5.75%, 02/25/2037, Series 2006-FA8, Class 2A1 | | | 5,835 | | | | 1,684 | |
First Horizon Alternative Mortgage Securities Trust 2007-FA4 | | | | | | | | |
5.56% (1 Month LIBOR USD + 5.65%, 5.65% Cap), 08/25/2037, Series 2007-FA4, Class 1A2(2)(5) | | | 661,323 | | | | 147,678 | |
FMC GMSR Issuer Trust | | | | | | | | |
3.69%, 02/25/2024, Series 2021-SAT1(3)(12) | | | 16,000,000 | | | | 16,001,936 | |
4.45%, 01/25/2026, Series 2020-GT1, Class A(3)(4) | | | 9,700,000 | | | | 9,745,453 | |
Freddie Mac Gold Pool | | | | | | | | |
2.00%, 01/01/2032 | | | 3,757,357 | | | | 3,890,923 | |
2.50%, 04/01/2028 | | | 1,196,774 | | | | 1,254,246 | |
2.50%, 06/01/2028 | | | 475,401 | | | | 500,054 | |
2.50%, 03/01/2030 | | | 992,531 | | | | 1,043,546 | |
2.50%, 07/01/2030 | | | 2,334,143 | | | | 2,458,039 | |
2.50%, 07/01/2031 | | | 2,051,994 | | | | 2,157,840 | |
2.50%, 08/01/2031 | | | 1,282,635 | | | | 1,348,685 | |
2.50%, 11/01/2046 | | | 1,739,463 | | | | 1,809,856 | |
3.00%, 07/01/2028 | | | 914,257 | | | | 966,400 | |
3.00%, 08/01/2028 | | | 554,852 | | | | 588,109 | |
3.00%, 09/01/2028 | | | 1,918,165 | | | | 2,030,516 | |
3.00%, 10/01/2028 | | | 765,063 | | | | 811,450 | |
3.00%, 05/01/2029 | | | 753,826 | | | | 799,463 | |
3.00%, 04/01/2031 | | | 3,832,920 | | | | 4,063,453 | |
3.00%, 09/01/2031 | | | 817,978 | | | | 864,972 | |
3.00%, 02/01/2032 | | | 4,093,815 | | | | 4,339,052 | |
3.00%, 02/01/2032 | | | 6,248,805 | | | | 6,637,069 | |
3.00%, 07/01/2035 | | | 5,258,162 | | | | 5,574,448 | |
3.00%, 09/01/2036 | | | 2,063,703 | | | | 2,173,498 | |
3.00%, 08/01/2042 | | | 1,036,789 | | | | 1,098,981 | |
3.00%, 10/01/2042 | | | 2,667,362 | | | | 2,827,269 | |
3.00%, 11/01/2042 | | | 404,046 | | | | 429,955 | |
3.00%, 11/01/2042 | | | 4,333,672 | | | | 4,620,472 | |
3.00%, 02/01/2043 | | | 231,957 | | | | 245,828 | |
3.00%, 03/01/2043 | | | 1,543,123 | | | | 1,641,781 | |
3.00%, 03/01/2043 | | | 3,120,027 | | | | 3,319,504 | |
3.00%, 04/01/2043 | | | 56,741 | | | | 60,129 | |
3.00%, 04/01/2043 | | | 8,524,376 | | | | 9,071,936 | |
3.00%, 06/01/2043 | | | 20,881 | | | | 22,094 | |
3.00%, 07/01/2043 | | | 17,065 | | | | 18,151 | |
3.00%, 07/01/2043 | | | 201,674 | | | | 213,717 | |
3.00%, 08/01/2043 | | | 349,338 | | | | 371,388 | |
3.00%, 08/01/2043 | | | 4,190,413 | | | | 4,457,055 | |
3.00%, 05/01/2045 | | | 694,047 | | | | 732,790 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
3.00%, 05/01/2045 | | | 1,734,873 | | | | 1,849,336 | |
3.00%, 06/01/2045 | | | 374,983 | | | | 395,547 | |
3.00%, 10/01/2045 | | | 2,943,417 | | | | 3,130,091 | |
3.00%, 10/01/2046 | | | 4,875,409 | | | | 5,134,282 | |
3.00%, 10/01/2046 | | | 14,509,908 | | | | 15,530,113 | |
3.00%, 01/01/2047 | | | 1,274,588 | | | | 1,348,244 | |
3.00%, 02/01/2047 | | | 7,034,364 | | | | 7,452,410 | |
3.00%, 03/01/2047 | | | 886,504 | | | | 931,876 | |
3.00%, 05/01/2047 | | | 10,614,891 | | | | 11,282,341 | |
3.50%, 01/01/2032 | | | 327,962 | | | | 349,817 | |
3.50%, 03/01/2032 | | | 128,698 | | | | 137,275 | |
3.50%, 02/01/2033 | | | 140,401 | | | | 150,749 | |
3.50%, 05/01/2033 | | | 168,430 | | | | 180,842 | |
3.50%, 05/01/2033 | | | 502,933 | | | | 540,049 | |
3.50%, 01/01/2034 | | | 4,743,893 | | | | 5,058,080 | |
3.50%, 04/01/2037 | | | 5,366,278 | | | | 5,751,359 | |
3.50%, 11/01/2037 | | | 1,461,621 | | | | 1,550,095 | |
3.50%, 05/01/2042 | | | 519,231 | | | | 561,264 | |
3.50%, 06/01/2042 | | | 228,114 | | | | 245,918 | |
3.50%, 06/01/2042 | | | 1,668,980 | | | | 1,801,823 | |
3.50%, 08/01/2042 | | | 471,319 | | | | 510,821 | |
3.50%, 09/01/2042 | | | 2,095,282 | | | | 2,271,289 | |
3.50%, 09/01/2042 | | | 3,109,976 | | | | 3,352,741 | |
3.50%, 10/01/2042 | | | 1,549,826 | | | | 1,675,575 | |
3.50%, 10/01/2042 | | | 7,555,199 | | | | 8,191,673 | |
3.50%, 11/01/2042 | | | 87,082 | | | | 93,411 | |
3.50%, 11/01/2042 | | | 666,826 | | | | 720,930 | |
3.50%, 11/01/2042 | | | 1,732,717 | | | | 1,867,977 | |
3.50%, 12/01/2042 | | | 1,903,386 | | | | 2,051,665 | |
3.50%, 01/01/2043 | | | 4,635,117 | | | | 4,996,683 | |
3.50%, 03/01/2043 | | | 440,434 | | | | 476,049 | |
3.50%, 05/01/2043 | | | 192,242 | | | | 207,547 | |
3.50%, 06/01/2043 | | | 514,622 | | | | 552,253 | |
3.50%, 06/01/2043 | | | 925,142 | | | | 997,309 | |
3.50%, 07/01/2043 | | | 331,522 | | | | 357,384 | |
3.50%, 10/01/2043 | | | 166,799 | | | | 180,491 | |
3.50%, 05/01/2044 | | | 10,405,800 | | | | 11,298,651 | |
3.50%, 01/01/2045 | | | 8,536,518 | | | | 9,251,130 | |
3.50%, 06/01/2045 | | | 843,147 | | | | 908,255 | |
3.50%, 12/01/2045 | | | 2,435,202 | | | | 2,604,782 | |
3.50%, 01/01/2046 | | | 5,262,814 | | | | 5,679,287 | |
3.50%, 05/01/2046 | | | 1,503,072 | | | | 1,607,364 | |
3.50%, 07/01/2046 | | | 2,432,911 | | | | 2,596,108 | |
3.50%, 08/01/2046 | | | 4,850,012 | | | | 5,266,484 | |
3.50%, 08/01/2046 | | | 5,172,192 | | | | 5,572,163 | |
3.50%, 12/01/2046 | | | 4,689,847 | | | | 5,051,892 | |
3.50%, 01/01/2047 | | | 1,903,098 | | | | 2,023,642 | |
3.50%, 10/01/2047 | | | 4,846,978 | | | | 5,136,784 | |
4.00%, 09/01/2040 | | | 355,375 | | | | 387,273 | |
4.00%, 11/01/2040 | | | 21,652 | | | | 23,668 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
4.00%, 11/01/2040 | | | 958,340 | | | | 1,044,310 | |
4.00%, 12/01/2040 | | | 270,832 | | | | 297,937 | |
4.00%, 12/01/2040 | | | 535,888 | | | | 586,763 | |
4.00%, 12/01/2040 | | | 648,614 | | | | 710,177 | |
4.00%, 12/01/2040 | | | 719,182 | | | | 786,121 | |
4.00%, 12/01/2040 | | | 767,081 | | | | 839,808 | |
4.00%, 01/01/2041 | | | 514,485 | | | | 563,431 | |
4.00%, 10/01/2041 | | | 2,397,046 | | | | 2,624,313 | |
4.00%, 11/01/2041 | | | 6,371 | | | | 6,974 | |
4.00%, 01/01/2042 | | | 120,382 | | | | 131,783 | |
4.00%, 05/01/2042 | | | 9,562 | | | | 10,516 | |
4.00%, 06/01/2042 | | | 1,183,191 | | | | 1,301,164 | |
4.00%, 10/01/2042 | | | 41,107 | | | | 43,182 | |
4.00%, 01/01/2043 | | | 165,068 | | | | 181,681 | |
4.00%, 09/01/2043 | | | 54,016 | | | | 57,922 | |
4.00%, 09/01/2043 | | | 4,152,106 | | | | 4,566,022 | |
4.00%, 11/01/2043 | | | 44,345 | | | | 48,479 | |
4.00%, 11/01/2043 | | | 87,201 | | | | 95,031 | |
4.00%, 12/01/2043 | | | 121,340 | | | | 132,164 | |
4.00%, 12/01/2043 | | | 166,034 | | | | 176,885 | |
4.00%, 12/01/2043 | | | 793,941 | | | | 865,232 | |
4.00%, 01/01/2044 | | | 89,795 | | | | 98,742 | |
4.00%, 01/01/2044 | | | 265,387 | | | | 289,216 | |
4.00%, 03/01/2044 | | | 1,373,171 | | | | 1,496,256 | |
4.00%, 10/01/2044 | | | 4,198,922 | | | | 4,588,821 | |
4.00%, 01/01/2045 | | | 228,507 | | | | 248,840 | |
4.00%, 10/01/2045 | | | 308,224 | | | | 334,176 | |
4.00%, 10/01/2045 | | | 4,326,154 | | | | 4,699,695 | |
4.00%, 11/01/2045 | | | 6,179,028 | | | | 6,700,125 | |
4.00%, 01/01/2046 | | | 2,703,292 | | | | 2,973,588 | |
4.00%, 05/01/2046 | | | 161,901 | | | | 174,910 | |
4.00%, 06/01/2046 | | | 6,176,497 | | | | 6,722,139 | |
4.00%, 08/01/2046 | | | 1,525,750 | | | | 1,650,892 | |
4.00%, 01/01/2047 | | | 8,699,488 | | | | 9,543,344 | |
4.00%, 04/01/2047 | | | 293,874 | | | | 318,668 | |
4.00%, 06/01/2047 | | | 2,454,827 | | | | 2,635,147 | |
4.00%, 09/01/2047 | | | 4,653,615 | | | | 5,057,098 | |
4.50%, 11/01/2035 | | | 9,292 | | | | 10,209 | |
4.50%, 07/01/2039 | | | 127,676 | | | | 142,494 | |
4.50%, 10/01/2039 | | | 929,788 | | | | 1,034,110 | |
4.50%, 11/01/2039 | | | 997,791 | | | | 1,101,892 | |
4.50%, 11/01/2039 | | | 1,395,022 | | | | 1,551,537 | |
4.50%, 05/01/2040 | | | 497,673 | | | | 553,516 | |
4.50%, 08/01/2040 | | | 209,735 | | | | 231,898 | |
4.50%, 09/01/2040 | | | 181,041 | | | | 201,341 | |
4.50%, 09/01/2040 | | | 664,819 | | | | 734,064 | |
4.50%, 03/01/2041 | | | 138,105 | | | | 153,569 | |
4.50%, 05/01/2041 | | | 1,220,051 | | | | 1,361,580 | |
4.50%, 08/01/2041 | | | 330,531 | | | | 364,938 | |
4.50%, 12/01/2043 | | | 4,073,997 | | | | 4,527,469 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
4.50%, 03/01/2044 | | | 335,792 | | | | 370,099 | |
4.50%, 05/01/2044 | | | 478,393 | | | | 527,251 | |
4.50%, 07/01/2044 | | | 22,962 | | | | 24,825 | |
4.50%, 07/01/2044 | | | 175,807 | | | | 194,229 | |
4.50%, 09/01/2044 | | | 1,033,419 | | | | 1,136,763 | |
4.50%, 09/01/2046 | | | 2,194,089 | | | | 2,391,216 | |
4.50%, 10/01/2046 | | | 1,872,099 | | | | 2,040,593 | |
4.50%, 11/01/2046 | | | 7,519,440 | | | | 8,351,747 | |
4.50%, 07/01/2047 | | | 880,988 | | | | 956,796 | |
4.50%, 07/01/2047 | | | 1,289,444 | | | | 1,404,713 | |
4.50%, 11/01/2047 | | | 650,126 | | | | 705,210 | |
5.00%, 01/01/2034 | | | 18,436 | | | | 21,026 | |
5.00%, 06/01/2034 | | | 51,828 | | | | 58,360 | |
5.00%, 09/01/2034 | | | 63,351 | | | | 72,591 | |
5.00%, 03/01/2035 | | | 17,673 | | | | 19,593 | |
5.00%, 08/01/2035 | | | 835,056 | | | | 951,660 | |
5.00%, 03/01/2036 | | | 1,734,025 | | | | 1,985,833 | |
5.00%, 07/01/2036 | | | 1,640 | | | | 1,878 | |
5.00%, 11/01/2036 | | | 42,843 | | | | 48,739 | |
5.00%, 03/01/2037 | | | 139,469 | | | | 159,839 | |
5.00%, 06/01/2037 | | | 145,054 | | | | 166,204 | |
5.00%, 08/01/2037 | | | 128,712 | | | | 147,489 | |
5.00%, 02/01/2038 | | | 192,051 | | | | 220,108 | |
5.00%, 03/01/2038 | | | 44,929 | | | | 51,459 | |
5.00%, 03/01/2038 | | | 148,891 | | | | 170,634 | |
5.00%, 03/01/2038 | | | 164,622 | | | | 188,454 | |
5.00%, 03/01/2038 | | | 189,801 | | | | 217,531 | |
5.00%, 04/01/2038 | | | 94,248 | | | | 107,303 | |
5.00%, 09/01/2038 | | | 20,369 | | | | 23,324 | |
5.00%, 09/01/2038 | | | 117,419 | | | | 134,460 | |
5.00%, 11/01/2038 | | | 884 | | | | 1,012 | |
5.00%, 11/01/2038 | | | 43,180 | | | | 49,488 | |
5.00%, 12/01/2038 | | | 471 | | | | 540 | |
5.00%, 12/01/2038 | | | 140,857 | | | | 161,315 | |
5.00%, 02/01/2039 | | | 284,368 | | | | 325,476 | |
5.00%, 05/01/2039 | | | 5,789 | | | | 6,635 | |
5.00%, 10/01/2039 | | | 320,811 | | | | 367,187 | |
5.00%, 01/01/2040 | | | 78,487 | | | | 89,877 | |
5.00%, 03/01/2040 | | | 130,283 | | | | 148,690 | |
5.00%, 03/01/2040 | | | 1,395,287 | | | | 1,588,934 | |
5.00%, 08/01/2040 | | | 179,408 | | | | 203,601 | |
5.00%, 04/01/2041 | | | 600,345 | | | | 687,176 | |
5.00%, 06/01/2041 | | | 285,953 | | | | 327,319 | |
5.00%, 12/01/2047 | | | 2,688,048 | | | | 2,944,666 | |
5.00%, 02/01/2048 | | | 1,137,361 | | | | 1,259,717 | |
5.50%, 02/01/2024 | | | 1,020 | | | | 1,043 | |
5.50%, 01/01/2033 | | | 33,631 | | | | 38,513 | |
5.50%, 10/01/2033 | | | 26,335 | | | | 30,632 | |
5.50%, 07/01/2035 | | | 58,520 | | | | 67,527 | |
5.50%, 01/01/2036 | | | 12,736 | | | | 14,763 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.50%, 12/01/2036 | | | 23,627 | | | | 27,407 | |
5.50%, 05/01/2038 | | | 36,050 | | | | 41,968 | |
5.50%, 08/01/2038 | | | 47,992 | | | | 55,829 | |
5.50%, 01/01/2039 | | | 1,839,420 | | | | 2,122,688 | |
5.50%, 03/01/2040 | | | 18,126 | | | | 21,068 | |
5.50%, 05/01/2040 | | | 1,193,847 | | | | 1,389,313 | |
5.50%, 08/01/2040 | | | 502,107 | | | | 583,661 | |
6.00%, 10/01/2029 | | | 7,400 | | | | 8,342 | |
6.00%, 12/01/2033 | | | 10,533 | | | | 11,850 | |
6.00%, 01/01/2034 | | | 5,697 | | | | 5,980 | |
6.00%, 01/01/2034 | | | 20,325 | | | | 23,998 | |
6.00%, 11/01/2036 | | | 6,792 | | | | 7,348 | |
6.00%, 12/01/2036 | | | 4,711 | | | | 5,570 | |
6.00%, 12/01/2036 | | | 11,565 | | | | 13,730 | |
6.50%, 03/01/2022 | | | 81 | | | | 81 | |
6.50%, 01/01/2028 | | | 21,793 | | | | 23,760 | |
6.50%, 06/01/2029 | | | 8,289 | | | | 9,424 | |
6.50%, 08/01/2029 | | | 69,724 | | | | 79,833 | |
6.50%, 11/01/2034 | | | 5,839 | | | | 6,823 | |
6.50%, 01/01/2035 | | | 68,655 | | | | 77,050 | |
6.50%, 12/01/2035 | | | 10,913 | | | | 11,432 | |
6.50%, 12/01/2035 | | | 43,326 | | | | 49,635 | |
6.50%, 11/01/2036 | | | 12,619 | | | | 14,815 | |
6.50%, 11/01/2036 | | | 100,652 | | | | 116,347 | |
6.50%, 11/01/2036 | | | 143,865 | | | | 166,428 | |
6.50%, 12/01/2036 | | | 76,610 | | | | 91,268 | |
6.50%, 12/01/2036 | | | 177,169 | | | | 211,352 | |
6.50%, 01/01/2037 | | | 5,886 | | | | 6,098 | |
6.50%, 01/01/2037 | | | 11,869 | | | | 12,846 | |
6.50%, 02/01/2037 | | | 8,072 | | | | 8,415 | |
6.50%, 06/01/2037 | | | 5,143 | | | | 5,368 | |
6.50%, 11/01/2037 | | | 32,197 | | | | 38,242 | |
6.50%, 03/01/2038 | | | 43,474 | | | | 51,857 | |
7.00%, 04/01/2026 | | | 637 | | | | 701 | |
7.00%, 12/01/2028 | | | 23,266 | | | | 26,033 | |
7.00%, 07/01/2029 | | | 791 | | | | 876 | |
7.00%, 01/01/2031 | | | 22,409 | | | | 25,185 | |
7.00%, 07/01/2032 | | | 2,786 | | | | 3,126 | |
7.00%, 08/01/2032 | | | 3,876 | | | | 4,487 | |
7.00%, 02/01/2037 | | | 5,817 | | | | 6,847 | |
7.50%, 08/01/2025 | | | 569 | | | | 616 | |
7.50%, 01/01/2032 | | | 57,483 | | | | 65,877 | |
7.50%, 12/01/2036 | | | 182,179 | | | | 206,001 | |
7.50%, 01/01/2038 | | | 30,333 | | | | 36,584 | |
7.50%, 01/01/2038 | | | 46,689 | | | | 54,768 | |
7.50%, 09/01/2038 | | | 24,520 | | | | 28,279 | |
8.00%, 08/01/2024 | | | 264 | | | | 283 | |
8.00%, 11/01/2024 | | | 181 | | | | 193 | |
8.50%, 07/01/2028 | | | 1,469 | | | | 1,655 | |
10.00%, 03/17/2026 | | | 15 | | | | 15 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
10.00%, 10/01/2030 | | | 5,295 | | | | 5,736 | |
Freddie Mac Multifamily Structured Pass Through Certificates | | | | | | | | |
0.79% (1 Month LIBOR USD + 0.70%, 0.70% Floor), 09/25/2022, Series KF12, Class A(2) | | | 61,371 | | | | 61,435 | |
0.81%, 12/25/2030, Series K124, Class X1(4) | | | 40,682,526 | | | | 2,457,001 | |
0.91%, 10/25/2022, Series K025, Class X1(4) | | | 20,203,752 | | | | 179,133 | |
1.31%, 10/25/2030, Series K120, Class XAM(4) | | | 31,375,053 | | | | 3,232,735 | |
1.47%, 05/25/2022, Series K020, Class X1(4) | | | 47,361,070 | | | | 405,908 | |
1.48%, 01/25/2030, Series K106, Class X1(4) | | | 134,761,668 | | | | 13,802,843 | |
1.49%, 03/25/2026, Series K055, Class X1(4) | | | 26,972,634 | | | | 1,502,066 | |
1.64%, 01/25/2030, Series K107, Class A2 | | | 1,890,000 | | | | 1,914,018 | |
1.68%, 05/25/2030, Series K111, Class X1(4) | | | 28,156,187 | | | | 3,425,603 | |
2.31%, 12/25/2022, Series KJ07, Class A2 | | | 3,226,959 | | | | 3,299,801 | |
2.36%, 08/25/2022, Series KJ08, Class A2 | | | 1,471,936 | | | | 1,486,107 | |
2.52%, 01/25/2023, Series KS01, Class A2 | | | 1,616,383 | | | | 1,649,337 | |
2.57%, 07/25/2026, Series K057, Class A2 | | | 10,075,000 | | | | 10,772,492 | |
2.77%, 05/25/2025, Series KPLB, Class A | | | 4,250,000 | | | | 4,557,523 | |
2.81%, 09/25/2024, Series KJ14, Class A2 | | | 6,287,000 | | | | 6,656,209 | |
2.84%, 09/25/2022, Series KJ09, Class A2 | | | 704,537 | | | | 719,292 | |
2.86%, 08/25/2022, Series KJ13, Class A2 | | | 3,423,073 | | | | 3,486,703 | |
2.91%, 04/25/2024, Series K726, Class A2 | | | 8,538,947 | | | | 8,970,562 | |
3.04%, 07/25/2024, Series K727, Class AM | | | 10,000,000 | | | | 10,596,453 | |
3.07%, 08/25/2022, Series KJ18, Class A2 | | | 1,037,913 | | | | 1,057,741 | |
3.08%, 01/25/2031, Series K152, Class A2 | | | 4,126,000 | | | | 4,622,191 | |
3.10%, 02/25/2024, Series K725, Class AM(4) | | | 11,250,000 | | | | 11,951,205 | |
3.11%, 02/25/2023, Series K028, Class A2 | | | 2,950,000 | | | | 3,068,399 | |
3.12%, 06/25/2027, Series K066, Class A2 | | | 4,263,000 | | | | 4,704,411 | |
3.19%, 09/25/2027, Series K069, Class A2(4) | | | 11,650,000 | | | | 12,944,717 | |
3.19%, 07/25/2027, Series K067, Class A2 | | | 9,215,128 | | | | 10,224,163 | |
3.22%, 03/25/2027, Series K064, Class A2 | | | 14,175,000 | | | | 15,693,711 | |
3.24%, 04/25/2027, Series K065, Class A2 | | | 7,030,000 | | | | 7,798,776 | |
3.24%, 08/25/2027, Series K068, Class A2 | | | 2,846,000 | | | | 3,168,010 | |
3.30%, 11/25/2027, Series K070, Class A2(4) | | | 4,589,000 | | | | 5,134,478 | |
3.33%, 05/25/2027, Series K065, Class AM | | | 1,779,000 | | | | 1,979,256 | |
3.33%, 08/25/2025, Series K050, Class A2(4) | | | 10,000,000 | | | | 10,916,125 | |
3.34%, 04/25/2028, Series W5FX, Class AFX(4) | | | 3,315,000 | | | | 3,691,947 | |
3.35%, 11/25/2026, Series K061, Class A2(4) | | | 14,450,000 | | | | 16,049,421 | |
3.36%, 11/25/2027, Series K071, Class AM(4) | | | 18,922,000 | | | | 21,071,587 | |
3.36%, 12/25/2026, Series KW02, Class A2(4) | | | 27,000,000 | | | | 29,909,763 | |
3.39%, 03/25/2024, Series K038, Class A2 | | | 4,286,000 | | | | 4,585,179 | |
3.41%, 12/25/2026, Series K062, Class A2 | | | 15,125,000 | | | | 16,863,932 | |
3.49%, 01/25/2024, Series K037, Class A2 | | | 18,300,000 | | | | 19,538,357 | |
3.51%, 03/25/2029, Series K091, Class A2 | | | 2,527,000 | | | | 2,891,767 | |
3.76%, 01/25/2029, Series K088, Class AM(4) | | | 11,600,000 | | | | 13,402,431 | |
3.85%, 05/25/2028, Series K077, Class AM(4) | | | 3,550,000 | | | | 4,108,589 | |
3.85%, 06/25/2028, Series K078, Class A2 | | | 7,875,000 | | | | 9,122,391 | |
3.90%, 04/25/2028, Series K076, Class AM | | | 4,125,000 | | | | 4,771,979 | |
3.90%, 10/25/2033, Series K158, Class A3(4) | | | 6,500,000 | | | | 7,891,502 | |
3.99%, 05/25/2033, Series K157, Class A2(4) | | | 16,700,000 | | | | 20,014,516 | |
4.03%, 10/25/2028, Series K083, Class AM(4) | | | 5,600,000 | | | | 6,551,161 | |
Freddie Mac Non Gold Pool | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
1.83% (6 Month LIBOR USD + 1.55%, 1.55% Floor, 11.83% Cap), 05/01/2037(2) | | | 52,076 | | | | 54,258 | |
1.92% (6 Month LIBOR USD + 1.67%, 1.67% Floor, 10.58% Cap), 01/01/2037(2) | | | 10,567 | | | | 10,619 | |
1.95% (6 Month LIBOR USD + 1.70%, 1.70% Floor, 12.39% Cap), 10/01/2036(2) | | | 28,761 | | | | 29,215 | |
1.96% (6 Month LIBOR USD + 1.71%, 1.71% Floor, 13.03% Cap), 08/01/2036(2) | | | 74,046 | | | | 77,191 | |
1.97% (6 Month LIBOR USD + 1.72%, 1.72% Floor, 12.79% Cap), 08/01/2036(2) | | | 31,228 | | | | 32,556 | |
1.98% (6 Month LIBOR USD + 1.73%, 1.74% Floor, 13.12% Cap), 10/01/2036(2) | | | 69,568 | | | | 72,552 | |
2.02% (1 Year LIBOR USD + 1.64%, 1.64% Floor, 10.90% Cap), 11/01/2036(2) | | | 36,081 | | | | 37,707 | |
2.02% (6 Month LIBOR USD + 1.77%, 1.77% Floor, 12.55% Cap), 07/01/2036(2) | | | 29,501 | | | | 30,776 | |
2.04% (1 Year LIBOR USD + 1.58%, 1.58% Floor, 11.23% Cap), 12/01/2036(2) | | | 110,847 | | | | 116,814 | |
2.07% (1 Year LIBOR USD + 1.69%, 1.69% Floor, 11.32% Cap), 12/01/2036(2) | | | 4,065 | | | | 4,083 | |
2.07% (1 Year LIBOR USD + 1.67%, 1.67% Floor, 11.05% Cap), 11/01/2036(2) | | | 12,080 | | | | 12,236 | |
2.07% (1 Year LIBOR USD + 1.75%, 1.75% Floor, 9.19% Cap), 04/01/2034(2) | | | 12,301 | | | | 12,480 | |
2.07% (1 Year LIBOR USD + 1.70%, 1.70% Floor, 11.06% Cap), 02/01/2037(2) | | | 8,691 | | | | 9,183 | |
2.09% (6 Month LIBOR USD + 1.84%, 1.88% Floor, 12.42% Cap), 10/01/2036(2) | | | 28,394 | | | | 29,715 | |
2.14% (6 Month LIBOR USD + 1.89%, 1.89% Floor, 12.24% Cap), 03/01/2037(2) | | | 63,206 | | | | 66,273 | |
2.15% (1 Year LIBOR USD + 1.60%, 1.60% Floor, 11.32% Cap), 10/01/2036(2) | | | 13,051 | | | | 13,143 | |
2.16% (1 Year LIBOR USD + 1.78%, 1.78% Floor, 10.73% Cap), 01/01/2037(2) | | | 19,179 | | | | 19,520 | |
2.20% (1 Year LIBOR USD + 1.71%, 1.71% Floor, 10.10% Cap), 02/01/2036(2) | | | 9,211 | | | | 9,739 | |
2.21% (1 Year LIBOR USD + 1.87%, 1.87% Floor, 10.72% Cap), 05/01/2038(2) | | | 9,301 | | | | 9,480 | |
2.24% (1 Year CMT Index + 2.11%, 2.11% Floor, 12.20% Cap), 01/01/2027(2) | | | 2,406 | | | | 2,408 | |
2.24% (1 Year LIBOR USD + 1.87%, 1.87% Floor, 11.71% Cap), 07/01/2037(2) | | | 11,425 | | | | 11,554 | |
2.26% (1 Year LIBOR USD + 1.88%, 1.88% Floor, 10.80% Cap), 02/01/2037(2) | | | 4,165 | | | | 4,212 | |
2.26% (6 Month LIBOR USD + 2.01%, 2.01% Floor, 12.12% Cap), 05/01/2037(2) | | | 14,528 | | | | 15,316 | |
2.26% (6 Month LIBOR USD + 2.01%, 2.01% Floor, 12.45% Cap), 05/01/2037(2) | | | 45,367 | | | | 45,730 | |
2.26% (1 Year LIBOR USD + 1.93%, 1.93% Floor, 10.96% Cap), 06/01/2036(2) | | | 121,281 | | | | 129,119 | |
2.27% (1 Year LIBOR USD + 1.99%, 1.99% Floor, 10.89% Cap), 06/01/2036(2) | | | 58,464 | | | | 58,505 | |
2.27% (1 Year LIBOR USD + 1.67%, 1.67% Floor, 11.99% Cap), 12/01/2036(2) | | | 132,499 | | | | 140,086 | |
2.28% (1 Year LIBOR USD + 1.90%, 1.90% Floor, 11.34% Cap), 02/01/2037(2) | | | 15,453 | | | | 15,657 | |
2.29% (1 Year LIBOR USD + 1.91%, 1.91% Floor, 10.91% Cap), 04/01/2037(2) | | | 1,640 | | | | 1,642 | |
2.29% (1 Year LIBOR USD + 1.67%, 1.67% Floor, 11.29% Cap), 08/01/2035(2) | | | 5,572 | | | | 5,584 | |
2.31% (1 Year LIBOR USD + 1.93%, 1.93% Floor, 11.12% Cap), 12/01/2036(2) | | | 43,773 | | | | 45,788 | |
2.33% (1 Year LIBOR USD + 1.78%, 1.78% Floor, 11.39% Cap), 11/01/2036(2) | | | 28,763 | | | | 29,157 | |
2.35% (1 Year LIBOR USD + 1.98%, 1.98% Floor, 10.62% Cap), 04/01/2037(2) | | | 26,425 | | | | 26,521 | |
2.36% (1 Year CMT Index + 2.23%, 2.23% Floor, 9.36% Cap), 12/01/2033(2) | | | 13,520 | | | | 13,690 | |
2.36% (6 Month LIBOR USD + 2.11%, 2.11% Floor, 12.44% Cap), 02/01/2037(2) | | | 26,960 | | | | 27,591 | |
2.37% (1 Year CMT Index + 2.25%, 2.25% Floor, 10.66% Cap), 05/01/2036(2) | | | 43,340 | | | | 46,337 | |
2.37% (6 Month LIBOR USD + 2.12%, 2.12% Floor, 11.05% Cap), 05/01/2037(2) | | | 2,609 | | | | 2,632 | |
2.37% (1 Year CMT Index + 2.25%, 2.25% Floor, 10.29% Cap), 05/01/2033(2) | | | 72,039 | | | | 76,471 | |
2.38% (1 Year CMT Index + 2.25%, 2.25% Floor, 9.98% Cap), 01/01/2035(2) | | | 22,580 | | | | 23,739 | |
2.38% (1 Year CMT Index + 2.25%, 2.25% Floor, 10.07% Cap), 01/01/2035(2) | | | 82,412 | | | | 87,741 | |
2.38% (1 Year CMT Index + 2.25%, 2.25% Floor, 10.57% Cap), 05/01/2036(2) | | | 25,103 | | | | 26,616 | |
2.38% (1 Year LIBOR USD + 1.75%, 1.75% Floor, 11.75% Cap), 11/01/2037(2) | | | 5,068 | | | | 5,078 | |
2.38% (6 Month LIBOR USD + 2.14%, 2.14% Floor, 12.14% Cap), 12/01/2035(2) | | | 17,706 | | | | 17,998 | |
2.40% (1 Year CMT Index + 2.24%, 2.24% Floor, 9.78% Cap), 11/01/2036(2) | | | 19,886 | | | | 20,891 | |
2.41% (1 Year LIBOR USD + 2.04%, 2.04% Floor, 10.90% Cap), 05/01/2037(2) | | | 44,534 | | | | 45,105 | |
2.41% (1 Year CMT Index + 2.26%, 2.26% Floor, 11.74% Cap), 04/01/2030(2) | | | 813 | | | | 812 | |
2.41% (1 Year LIBOR USD + 2.05%, 2.05% Floor, 10.98% Cap), 04/01/2038(2) | | | 32,237 | | | | 34,477 | |
2.41% (1 Year CMT Index + 2.25%, 2.25% Floor, 10.01% Cap), 02/01/2036(2) | | | 31,200 | | | | 32,846 | |
2.42% (1 Year LIBOR USD + 2.04%, 2.04% Floor, 10.75% Cap), 03/01/2036(2) | | | 48,265 | | | | 51,558 | |
2.43% (1 Year LIBOR USD + 2.18%, 2.18% Floor, 11.07% Cap), 05/01/2037(2) | | | 37,372 | | | | 40,114 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
2.47% (1 Year CMT Index + 2.25%, 2.25% Floor, 10.29% Cap), 07/01/2036(2) | | | 22,364 | | | | 23,794 | |
2.47% (1 Year LIBOR USD + 1.88%, 1.88% Floor, 11.07% Cap), 09/01/2036(2) | | | 77,619 | | | | 82,539 | |
2.48% (1 Year LIBOR USD + 2.10%, 2.10% Floor, 10.23% Cap), 02/01/2037(2) | | | 2,630 | | | | 2,615 | |
2.48% (1 Year CMT Index + 2.36%, 2.36% Floor, 11.29% Cap), 10/01/2036(2) | | | 22,697 | | | | 22,871 | |
2.48% (1 Year LIBOR USD + 1.85%, 1.85% Floor, 9.14% Cap), 07/01/2040(2) | | | 26,953 | | | | 28,523 | |
2.50% (1 Year CMT Index + 2.25%, 2.25% Floor, 11.30% Cap), 11/01/2036(2) | | | 74,037 | | | | 78,920 | |
2.50% (1 Year CMT Index + 2.13%, 2.13% Floor, 12.13% Cap), 07/01/2026(2) | | | 2,548 | | | | 2,556 | |
2.52% (1 Year CMT Index + 2.37%, 2.37% Floor, 10.24% Cap), 09/01/2032(2) | | | 3,228 | | | | 3,242 | |
2.55% (1 Year LIBOR USD + 1.74%, 1.74% Floor, 11.44% Cap), 09/01/2036(2) | | | 39,921 | | | | 42,291 | |
2.56% (1 Year CMT Index + 2.37%, 2.37% Floor, 10.67% Cap), 09/01/2034(2) | | | 63,447 | | | | 67,591 | |
2.58% (1 Year LIBOR USD + 2.13%, 2.13% Floor, 11.20% Cap), 12/01/2036(2) | | | 1,822 | | | | 1,840 | |
2.61% (1 Year CMT Index + 2.25%, 2.25% Floor, 10.87% Cap), 07/01/2036(2) | | | 15,167 | | | | 16,182 | |
2.61% (1 Year LIBOR USD + 2.33%, 2.33% Floor, 11.00% Cap), 05/01/2036(2) | | | 6,786 | | | | 7,201 | |
2.74% (1 Year LIBOR USD + 2.20%, 2.20% Floor, 10.78% Cap), 10/01/2036(2) | | | 22,918 | | | | 23,084 | |
2.80% (1 Year LIBOR USD + 2.36%, 2.36% Floor, 11.99% Cap), 03/01/2037(2) | | | 3,969 | | | | 4,026 | |
2.89% (1 Year LIBOR USD + 2.47%, 2.47% Floor, 11.94% Cap), 03/01/2036(2) | | | 23,617 | | | | 25,274 | |
Freddie Mac Pool | | | | | | | | |
1.50%, 11/01/2050 | | | 8,874,512 | | | | 8,703,498 | |
2.00%, 06/01/2040 | | | 1,962,957 | | | | 2,006,568 | |
2.00%, 09/01/2050 | | | 6,087,392 | | | | 6,150,421 | |
2.00%, 10/01/2050 | | | 4,738,490 | | | | 4,799,309 | |
2.00%, 12/01/2050 | | | 1,942,945 | | | | 1,963,088 | |
2.00%, 04/01/2051 | | | 4,162,277 | | | | 4,206,466 | |
2.50%, 07/01/2050 | | | 1,777,453 | | | | 1,834,851 | |
2.50%, 09/01/2050 | | | 982,870 | | | | 1,023,592 | |
2.50%, 10/01/2050 | | | 9,047,582 | | | | 9,370,827 | |
2.50%, 10/01/2050 | | | 30,951,287 | | | | 32,366,379 | |
2.50%, 11/01/2050 | | | 3,076,877 | | | | 3,185,392 | |
2.50%, 02/01/2051 | | | 15,223,804 | | | | 15,835,526 | |
2.50%, 02/01/2051 | | | 15,231,883 | | | | 15,965,390 | |
2.50%, 03/01/2051 | | | 894,684 | | | | 928,714 | |
2.50%, 04/01/2051 | | | 32,483,319 | | | | 33,641,047 | |
2.50%, 05/01/2051 | | | 524,856 | | | | 543,564 | |
2.50%, 05/01/2051 | | | 1,395,599 | | | | 1,445,343 | |
2.50%, 06/01/2051 | | | 1,596,500 | | | | 1,654,620 | |
3.00%, 12/01/2034 | | | 414,822 | | | | 441,826 | |
3.00%, 11/01/2042 | | | 407,136 | | | | 433,091 | |
3.00%, 01/01/2046 | | | 10,537,818 | | | | 11,320,758 | |
3.00%, 08/01/2048 | | | 3,244,394 | | | | 3,419,221 | |
3.00%, 10/01/2049 | | | 2,446,050 | | | | 2,588,346 | |
3.00%, 11/01/2049 | | | 1,569,944 | | | | 1,661,310 | |
3.00%, 12/01/2049 | | | 685,571 | | | | 726,676 | |
3.00%, 01/01/2050 | | | 2,207,752 | | | | 2,326,882 | |
3.00%, 01/01/2050 | | | 2,361,510 | | | | 2,506,665 | |
3.00%, 01/01/2050 | | | 3,058,013 | | | | 3,230,741 | |
3.00%, 02/01/2050 | | | 11,718,552 | | | | 12,350,201 | |
3.00%, 02/01/2050 | | | 16,115,510 | | | | 16,822,811 | |
3.00%, 06/01/2050 | | | 867,993 | | | | 905,976 | |
3.00%, 06/01/2050 | | | 11,405,176 | | | | 12,109,864 | |
3.00%, 07/01/2050 | | | 7,084,910 | | | | 7,545,203 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
3.50%, 08/01/2035 | | | 5,668,950 | | | | 6,041,217 | |
3.50%, 02/01/2042 | | | 1,294,574 | | | | 1,395,064 | |
3.50%, 07/01/2045 | | | 6,316,722 | | | | 6,821,721 | |
3.50%, 08/01/2046 | | | 316,362 | | | | 340,694 | |
3.50%, 10/01/2047 | | | 297,360 | | | | 320,518 | |
3.50%, 03/01/2048 | | | 6,507,788 | | | | 7,018,733 | |
3.50%, 10/01/2049 | | | 2,122,442 | | | | 2,234,341 | |
4.00%, 02/01/2046 | | | 6,234,913 | | | | 6,805,862 | |
4.00%, 04/01/2047 | | | 477,893 | | | | 518,679 | |
4.00%, 05/01/2047 | | | 2,775,113 | | | | 3,009,352 | |
4.00%, 01/01/2048 | | | 154,632 | | | | 167,541 | |
4.00%, 06/01/2048 | | | 127,763 | | | | 138,410 | |
4.00%, 01/01/2049 | | | 5,993,098 | | | | 6,387,678 | |
4.00%, 07/01/2049 | | | 11,571,688 | | | | 12,640,314 | |
4.00%, 02/01/2051 | | | 6,339,709 | | | | 6,900,785 | |
4.50%, 06/01/2048 | | | 4,726,687 | | | | 5,197,324 | |
4.50%, 12/01/2048 | | | 6,818,275 | | | | 7,328,371 | |
4.50%, 04/01/2049 | | | 406,073 | | | | 444,501 | |
Freddie Mac Reference REMIC | | | | | | | | |
6.00%, 04/15/2036, Series R006, Class ZA | | | 218,467 | | | | 258,507 | |
6.00%, 05/15/2036, Series R007, Class ZA | | | 289,119 | | | | 340,927 | |
Freddie Mac REMICS | | | | | | | | |
0.00%, 02/15/2024, Series 1700, Class GA | | | 172 | | | | 171 | |
0.00%, 02/15/2024, Series 1865, Class D | | | 3,831 | | | | 3,806 | |
0.00%, 05/15/2024, Series 2306, Class K | | | 1,709 | | | | 1,693 | |
0.00%, 09/15/2032, Series 3393, Class JO | | | 755,747 | | | | 701,071 | |
0.00%, 12/15/2032, Series 2835, Class QO | | | 14,177 | | | | 13,252 | |
0.00%, 07/15/2034, Series 3611, Class PO | | | 76,543 | | | | 71,819 | |
0.00%, 02/15/2035, Series 2990, Class GO | | | 24,374 | | | | 22,383 | |
0.00%, 04/15/2035, Series 3077, Class TO | | | 27,993 | | | | 27,301 | |
0.00%, 08/15/2035, Series 3014, Class OD | | | 5,862 | | | | 5,263 | |
0.00%, 09/15/2035, Series 3029, Class SO | | | 17,418 | | | | 16,927 | |
0.00%, 02/15/2036, Series 3117, Class OG | | | 15,388 | | | | 14,444 | |
0.00%, 02/15/2036, Series 3117, Class OK | | | 17,860 | | | | 16,563 | |
0.00%, 02/15/2036, Series 3117, Class EO | | | 20,325 | | | | 18,840 | |
0.00%, 02/15/2036, Series 3117, Class AO | | | 48,085 | | | | 46,761 | |
0.00%, 03/15/2036, Series 3134, Class PO | | | 4,856 | | | | 4,614 | |
0.00%, 03/15/2036, Series 3122, Class OP | | | 27,565 | | | | 26,808 | |
0.00%, 03/15/2036, Series 3122, Class OH | | | 29,667 | | | | 27,572 | |
0.00%, 04/15/2036, Series 3138, Class PO | | | 22,748 | | | | 20,982 | |
0.00%, 04/15/2036, Series 3607, Class AO | | | 47,878 | | | | 43,539 | |
0.00%, 04/15/2036, Series 3147, Class PO | | | 56,080 | | | | 54,530 | |
0.00%, 04/15/2036, Series 3607, Class BO | | | 87,843 | | | | 82,097 | |
0.00%, 05/15/2036, Series 3233, Class OP | | | 6,642 | | | | 6,157 | |
0.00%, 05/15/2036, Series 3149, Class SO | | | 12,620 | | | | 11,320 | |
0.00%, 05/15/2036, Series 3151, Class PO | | | 28,356 | | | | 26,386 | |
0.00%, 05/15/2036, Series 3153, Class EO | | | 37,730 | | | | 34,385 | |
0.00%, 06/15/2036, Series 3171, Class MO | | | 60,681 | | | | 58,692 | |
0.00%, 07/15/2036, Series 3179, Class OA | | | 15,564 | | | | 14,090 | |
0.00%, 08/15/2036, Series 3200, Class PO | | | 24,472 | | | | 22,792 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
0.00%, 09/15/2036, Series 3218, Class AO | | | 12,070 | | | | 10,261 | |
0.00%, 09/15/2036, Series 3213, Class OA | | | 15,224 | | | | 13,846 | |
0.00%, 10/15/2036, Series 3225, Class EO | | | 29,990 | | | | 27,866 | |
0.00%, 12/15/2036, Series 3256, Class PO | | | 15,775 | | | | 14,566 | |
0.00%, 01/15/2037, Series 3261, Class OA | | | 16,032 | | | | 14,700 | |
0.00%, 02/15/2037, Series 3274, Class JO | | | 3,696 | | | | 3,523 | |
0.00%, 02/15/2037, Series 3510, Class OD | | | 44,812 | | | | 43,191 | |
0.00%, 03/15/2037, Series 3286, Class PO | | | 4,627 | | | | 3,958 | |
0.00%, 04/15/2037, Series 3373, Class TO | | | 16,789 | | | | 15,543 | |
0.00%, 05/15/2037, Series 3318, Class AO | | | 925 | | | | 868 | |
0.00%, 05/15/2037, Series 3316, Class PO | | | 29,400 | | | | 26,417 | |
0.00%, 05/15/2037, Series 3607, Class PO | | | 162,926 | | | | 148,190 | |
0.00%, 06/15/2037, Series 3326, Class JO | | | 2,642 | | | | 2,460 | |
0.00%, 06/15/2037, Series 3331, Class PO | | | 16,352 | | | | 15,250 | |
0.00%, 07/15/2037, Series 3607, Class OP | | | 232,068 | | | | 208,564 | |
0.00%, 09/15/2037, Series 3365, Class PO | | | 22,339 | | | | 20,071 | |
0.00%, 10/15/2039, Series 3607, Class TO | | | 79,143 | | | | 72,137 | |
0.00%, 01/15/2040, Series 3621, Class BO | | | 71,934 | | | | 66,938 | |
0.00%, 10/15/2049, Series 3582, Class PO | | | 282,358 | | | | 271,044 | |
0.37% (1 Month LIBOR USD + 0.30%, 0.30% Floor, 6.50% Cap), 06/15/2035, Series 2988, Class AF(2) | | | 57,356 | | | | 57,548 | |
0.47% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 6.50% Cap), 05/15/2035, Series 2981, Class FA(2) | | | 37,638 | | | | 37,948 | |
0.47% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 6.50% Cap), 04/15/2039, Series 4095, Class FB(2) | | | 68,895 | | | | 68,996 | |
0.47% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.00% Cap), 10/15/2041, Series 4048, Class FB(2) | | | 365,386 | | | | 367,234 | |
0.47% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.00% Cap), 09/15/2042, Series 4106, Class DF(2) | | | 417,101 | | | | 418,534 | |
0.51% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 9999.00% Cap), 07/15/2037, Series 4048, Class FJ(2) | | | 452,900 | | | | 452,940 | |
0.51% (1 Month LIBOR USD + 0.44%, 0.44% Floor, 6.50% Cap), 02/15/2037, Series 3275, Class FL(2) | | | 27,855 | | | | 28,136 | |
0.52% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap), 05/15/2036, Series 3998, Class GF(2) | | | 18,648 | | | | 18,655 | |
0.52% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap), 08/15/2042, Series 4091, Class TF(2) | | | 1,357,361 | | | | 1,371,875 | |
0.57% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap), 10/15/2040, Series 3966, Class BF(2) | | | 42,628 | | | | 42,781 | |
0.57% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap), 03/15/2042, Series 4012, Class FN(2) | | | 561,273 | | | | 566,938 | |
0.57% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 07/15/2042, Series 4077, Class FB(2) | | | 241,249 | | | | 244,390 | |
0.62% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.50% Cap), 12/15/2040, Series 3996, Class XF(2) | | | 650,089 | | | | 654,074 | |
0.62% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.50% Cap), 03/15/2041, Series 4013, Class QF(2) | | | 430,361 | | | | 433,332 | |
0.67% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 8.50% Cap), 01/15/2029, Series 2388, Class FB(2) | | | 8,667 | | | | 8,736 | |
0.67% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 9.50% Cap), 12/15/2033, Series 2722, Class PF(2) | | | 111,852 | | | | 113,514 | |
0.67% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 7.00% Cap), 09/15/2037, Series 3371, Class FA(2) | | | 11,676 | | | | 11,882 | |
0.70% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 9.00% Cap), 03/15/2024, Series 1699, Class FC(2) | | | 350 | | | | 351 | |
0.75% (1 Month LIBOR USD + 0.68%, 0.68% Floor, 7.00% Cap), 11/15/2037, Series 3386, Class KF(2) | | | 433,775 | | | | 442,501 | |
0.77% (1 Month LIBOR USD + 0.70%, 0.70% Floor, 9.00% Cap), 02/15/2027, Series 1935, Class FL(2) | | | 302 | | | | 305 | |
0.79% (10 year CMT Index + -0.85%, 10.00% Cap), 03/15/2024, Series 1709, Class FA(2) | | | 137 | | | | 135 | |
0.82% (1 Month LIBOR USD + 0.75%, 0.75% Floor, 8.50% Cap), 12/15/2032, Series 2571, Class FY(2) | | | 29,186 | | | | 29,786 | |
0.87% (1 Month LIBOR USD + 0.80%, 0.80% Floor, 7.50% Cap), 08/15/2035, Series 3085, Class WF(2) | | | 37,407 | | | | 38,210 | |
0.90% (10 year CMT Index + -0.70%, 10.00% Cap), 07/15/2023, Series 1541, Class O(2) | | | 1,983 | | | | 1,959 | |
0.97% (1 Month LIBOR USD + 0.90%, 0.90% Floor, 9.00% Cap), 02/15/2032, Series 2418, Class FO(2) | | | 44,259 | | | | 44,804 | |
1.22% (1 Month LIBOR USD + 1.15%, 1.15% Floor, 10.00% Cap), 09/15/2022, Series 1370, Class JA(2) | | | 323 | | | | 323 | |
1.22% (1 Month LIBOR USD + 1.15%, 1.15% Floor, 10.00% Cap), 04/15/2023, Series 1498, Class I(2) | | | 2,632 | | | | 2,649 | |
1.27% (1 Month LIBOR USD + 1.20%, 1.20% Floor, 7.00% Cap), 07/15/2039, Series 3549, Class FA(2) | | | 17,100 | | | | 17,448 | |
1.38% (11th District Cost of Funds Index + 1.00%, 1.00% Floor, 10.00% Cap), 02/15/2023, Series 1470, Class F(2) | | | 59 | | | | 60 | |
1.79%, 01/15/2040, Series 3802, Class LS(4) | | | 407,609 | | | | 18,884 | |
1.84% (11th District Cost of Funds Index + 1.50%, 1.50% Floor, 9.00% Cap), 08/15/2023, Series 1570, Class F(2) | | | 103 | | | | 104 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
1.88%, 02/15/2039, Series 3546, Class A(4) | | | 48,696 | | | | 50,508 | |
2.29% (1 Month LIBOR USD + 2.22%, 8.32% Cap), 07/15/2034, Series 3305, Class MG(2) | | | 30,478 | | | | 31,993 | |
3.00%, 08/15/2033, Series 4238, Class WY | | | 439,406 | | | | 470,785 | |
3.00%, 06/15/2043, Series 4217, Class KY | | | 206,000 | | | | 221,456 | |
3.00%, 12/15/2047, Series 4740, Class P | | | 1,705,119 | | | | 1,791,686 | |
3.50%, 01/15/2026, Series 3793, Class AB | | | 849,292 | | | | 892,774 | |
3.50%, 08/15/2039, Series 4219, Class JA | | | 77,809 | | | | 78,545 | |
3.50%, 01/15/2042, Series 3989, Class JW | | | 1,700,000 | | | | 1,847,976 | |
3.50%, 12/15/2046, Series 4640, Class CZ | | | 6,568,299 | | | | 7,116,133 | |
3.50%, 02/15/2047, Series 4661, Class KZ | | | 11,582,443 | | | | 12,569,106 | |
3.50%, 08/15/2047, Series 4710, Class KZ | | | 15,315,672 | | | | 16,628,737 | |
3.50%, 11/15/2047, Series 4739, Class Z | | | 1,774,926 | | | | 1,921,530 | |
3.50%, 12/15/2047, Series 4746, Class ZN | | | 5,650,588 | | | | 6,101,126 | |
3.50%, 06/15/2048, Series 4305, Class A | | | 667,514 | | | | 672,460 | |
3.50%, 10/15/2053, Series 4821, Class MA | | | 4,274,256 | | | | 4,486,582 | |
4.00%, 12/15/2024, Series 3614, Class QB | | | 81,482 | | | | 85,146 | |
4.00%, 11/15/2041, Series 3957, Class B | | | 274,225 | | | | 301,922 | |
4.00%, 12/15/2041, Series 3966, Class NA | | | 206,304 | | | | 229,133 | |
4.50%, 06/15/2025, Series 3684, Class CY | | | 286,996 | | | | 303,338 | |
4.50%, 07/15/2039, Series 3680, Class MA | | | 185,619 | | | | 193,979 | |
4.50%, 12/15/2039, Series 3610, Class CA | | | 2,300,559 | | | | 2,580,210 | |
4.50%, 05/15/2041, Series 3852, Class CE | | | 582,864 | | | | 654,138 | |
4.50%, 09/15/2043, Series 4247, Class AY | | | 1,000,000 | | | | 1,206,150 | |
4.62% (1 Month LIBOR USD + 4.68%, 4.68% Cap), 12/15/2022, Series 1455, Class WB(2)(5) | | | 374 | | | | 383 | |
5.00%, 05/15/2023, Series 1798, Class F | | | 4,151 | | | | 4,269 | |
5.00%, 11/15/2023, Series 2709, Class PG | | | 61,052 | | | | 63,526 | |
5.00%, 12/15/2023, Series 2720, Class PC | | | 6,102 | | | | 6,344 | |
5.00%, 12/15/2024, Series 2903, Class Z | | | 19,475 | | | | 21,054 | |
5.00%, 04/15/2030, Series 3654, Class DC | | | 702,000 | | | | 794,256 | |
5.00%, 07/15/2033, Series 2653, Class PZ | | | 298,721 | | | | 331,500 | |
5.00%, 01/15/2034, Series 3920, Class LP | | | 180,408 | | | | 203,936 | |
5.00%, 10/15/2039, Series 3795, Class EI | | | 106,068 | | | | 5,758 | |
5.00%, 12/15/2040, Series 3770, Class ZB | | | 899,467 | | | | 1,024,835 | |
5.00%, 05/15/2041, Series 3860, Class PZ | | | 1,404,137 | | | | 1,629,067 | |
5.50%, 10/15/2022, Series 2512, Class PG | | | 8,585 | | | | 8,779 | |
5.50%, 12/15/2022, Series 2535, Class BK | | | 2,399 | | | | 2,439 | |
5.50%, 03/15/2023, Series 2586, Class HD | | | 39,181 | | | | 40,473 | |
5.50%, 04/15/2023, Series 2595, Class HC | | | 43,337 | | | | 44,853 | |
5.50%, 11/15/2023, Series 2710, Class HB | | | 12,221 | | | | 12,605 | |
5.50%, 02/15/2034, Series 2744, Class PE | | | 1,545 | | | | 1,643 | |
5.50%, 08/15/2036, Series 3645, Class KZ | | | 39,471 | | | | 45,670 | |
5.50%, 08/15/2036, Series 3200, Class AY | | | 110,701 | | | | 128,988 | |
5.50%, 03/15/2038, Series 3423, Class PB | | | 316,839 | | | | 366,415 | |
5.50%, 05/15/2038, Series 3453, Class B | | | 15,372 | | | | 17,679 | |
5.50%, 01/15/2039, Series 3501, Class CB | | | 121,375 | | | | 139,899 | |
5.50% (1 Month LIBOR USD + 27.21%, 5.50% Cap), 05/15/2041, Series 3852, Class QN(2)(5) | | | 142,095 | | | | 153,835 | |
5.50% (1 Month LIBOR USD + 27.50%, 5.50% Cap), 05/15/2041, Series 3852, Class TP(2)(5) | | | 370,161 | | | | 398,454 | |
5.60%, 06/15/2023, Series 2033, Class J | | | 7,099 | | | | 7,366 | |
5.70%, 10/15/2038, Series 3895, Class WA(4) | | | 67,494 | | | | 78,072 | |
5.78% (1 Month LIBOR USD + 5.85%, 5.85% Cap), 08/15/2038, Series 3481, Class SJ(2)(5) | | | 150,819 | | | | 28,460 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.93% (1 Month LIBOR USD + 6.00%, 6.00% Cap), 01/15/2038, Series 3404, Class SC(2)(5) | | | 231,454 | | | | 45,247 | |
5.93% (1 Month LIBOR USD + 6.00%, 6.00% Cap), 02/15/2039, Series 3511, Class SA(2)(5) | | | 68,096 | | | | 10,455 | |
5.93% (1 Month LIBOR USD + 6.00%, 6.00% Cap), 10/15/2040, Series 3740, Class SB(2)(5) | | | 218,700 | | | | 33,308 | |
5.93% (1 Month LIBOR USD + 6.00%, 6.00% Cap), 10/15/2040, Series 3740, Class SC(2)(5) | | | 184,249 | | | | 35,636 | |
6.00%, 11/15/2023, Series 1642, Class PJ | | | 5,525 | | | | 5,798 | |
6.00%, 06/15/2024, Series 1737, Class L | | | 6,354 | | | | 6,745 | |
6.00%, 05/15/2027, Series 1981, Class Z | | | 8,671 | | | | 9,427 | |
6.00%, 07/15/2028, Series 2070, Class C | | | 6,553 | | | | 7,360 | |
6.00%, 09/15/2028, Series 2086, Class GB | | | 3,969 | | | | 4,457 | |
6.00%, 11/15/2028, Series 2095, Class PE | | | 17,875 | | | | 20,108 | |
6.00%, 12/15/2028, Series 2106, Class ZD | | | 35,420 | | | | 39,863 | |
6.00%, 01/15/2029, Series 2110, Class PG | | | 49,029 | | | | 55,346 | |
6.00%, 02/15/2029, Series 2125, Class JZ | | | 10,595 | | | | 11,774 | |
6.00%, 09/15/2032, Series 2500, Class MC | | | 29,873 | | | | 34,678 | |
6.00%, 12/15/2032, Series 2544, Class HC | | | 24,293 | | | | 29,051 | |
6.00%, 12/15/2032, Series 2543, Class YX | | | 56,567 | | | | 65,285 | |
6.00%, 01/15/2033, Series 2552, Class ME | | | 35,651 | | | | 41,580 | |
6.00%, 02/15/2033, Series 2567, Class QD | | | 35,222 | | | | 41,236 | |
6.00%, 02/15/2033, Series 2575, Class ME | | | 142,243 | | | | 164,687 | |
6.00%, 03/15/2033, Series 2596, Class QG | | | 22,315 | | | | 25,220 | |
6.00%, 05/15/2034, Series 2802, Class OH | | | 82,847 | | | | 92,617 | |
6.00%, 04/15/2035, Series 2968, Class EH | | | 906,995 | | | | 1,030,919 | |
6.00%, 01/15/2036, Series 3101, Class UZ | | | 91,576 | | | | 107,279 | |
6.00%, 03/15/2036, Series 3122, Class ZB | | | 2,786 | | | | 4,145 | |
6.00%, 04/15/2036, Series 3219, Class DI | | | 45,613 | | | | 9,495 | |
6.00%, 04/15/2036, Series 3137, Class XP | | | 55,934 | | | | 66,096 | |
6.00%, 04/15/2036, Series 3819, Class ZQ | | | 474,084 | | | | 560,320 | |
6.00%, 06/15/2036, Series 3164, Class MG | | | 13,403 | | | | 14,659 | |
6.00%, 02/15/2037, Series 3274, Class B | | | 31,391 | | | | 35,742 | |
6.00%, 04/15/2037, Series 3302, Class UT | | | 45,558 | | | | 53,828 | |
6.00%, 05/15/2037, Series 3315, Class HZ | | | 42,839 | | | | 49,509 | |
6.00%, 06/15/2038, Series 3461, Class LZ | | | 12,707 | | | | 14,898 | |
6.00%, 06/15/2038, Series 3461, Class Z | | | 258,675 | | | | 298,742 | |
6.03% (1 Month LIBOR USD + 6.10%, 6.10% Cap), 05/15/2039, Series 3531, Class SM(2)(5) | | | 11,695 | | | | 1,995 | |
6.07% (1 Month LIBOR USD + 6.14%, 6.14% Cap), 01/15/2037, Series 3260, Class CS(2)(5) | | | 25,415 | | | | 5,023 | |
6.13% (1 Month LIBOR USD + 6.20%, 6.20% Cap), 06/15/2038, Series 3455, Class SE(2)(5) | | | 87,545 | | | | 13,760 | |
6.18% (1 Month LIBOR USD + 6.25%, 6.25% Cap), 12/15/2039, Series 3608, Class SC(2)(5) | | | 70,227 | | | | 11,374 | |
6.23% (1 Month LIBOR USD + 6.30%, 6.30% Cap), 05/15/2039, Series 3531, Class SA(2)(5) | | | 75,760 | | | | 6,502 | |
6.25%, 10/15/2023, Series 1591, Class PV | | | 1,949 | | | | 2,050 | |
6.25%, 08/15/2028, Series 2075, Class PM | | | 23,011 | | | | 25,771 | |
6.25%, 02/15/2029, Series 2126, Class CB | | | 50,601 | | | | 56,262 | |
6.35% (1 Month LIBOR USD + 6.42%, 6.42% Cap), 11/15/2037, Series 3387, Class SA(2)(5) | | | 177,913 | | | | 32,820 | |
6.38%, 02/15/2032, Series 2410, Class OE | | | 8,742 | | | | 9,409 | |
6.38% (1 Month LIBOR USD + 6.45%, 6.45% Cap), 03/15/2037, Series 3290, Class SB(2)(5) | | | 46,377 | | | | 8,155 | |
6.38% (1 Month LIBOR USD + 6.45%, 6.45% Cap), 11/15/2037, Series 3383, Class SA(2)(5) | | | 122,409 | | | | 24,322 | |
6.50%, 09/15/2023, Series 1608, Class L | | | 14,024 | | | | 14,857 | |
6.50%, 12/15/2023, Series 1983, Class Z | | | 3,638 | | | | 3,856 | |
6.50%, 12/15/2023, Series 2283, Class K | | | 4,006 | | | | 4,219 | |
6.50%, 03/15/2026, Series 1829, Class ZB | | | 966 | | | | 1,025 | |
6.50%, 07/15/2026, Series 1863, Class Z | | | 7,062 | | | | 7,484 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
6.50%, 01/15/2027, Series 1927, Class ZA | | | 6,614 | | | | 7,404 | |
6.50%, 12/15/2027, Series 2019, Class Z | | | 5,700 | | | | 6,399 | |
6.50%, 06/15/2028, Series 2063, Class PG | | | 9,843 | | | | 11,176 | |
6.50%, 08/15/2028, Series 2075, Class PH | | | 21,496 | | | | 24,382 | |
6.50%, 05/15/2031, Series 2313, Class LA | | | 3,555 | | | | 4,066 | |
6.50%, 08/15/2031, Series 2345, Class NE | | | 8,484 | | | | 9,926 | |
6.50%, 08/15/2031, Series 2351, Class PZ | | | 10,402 | | | | 11,967 | |
6.50%, 08/15/2031, Series 2344, Class ZJ | | | 12,609 | | | | 14,889 | |
6.50%, 08/15/2031, Series 2344, Class ZD | | | 116,425 | | | | 134,638 | |
6.50%, 10/15/2031, Series 2367, Class ME | | | 10,897 | | | | 12,332 | |
6.50%, 01/15/2032, Series 2399, Class OH | | | 14,596 | | | | 16,545 | |
6.50%, 01/15/2032, Series 2399, Class TH | | | 17,226 | | | | 20,173 | |
6.50%, 02/15/2032, Series 2410, Class NG | | | 19,464 | | | | 22,795 | |
6.50%, 02/15/2032, Series 2420, Class XK | | | 24,380 | | | | 28,506 | |
6.50%, 03/15/2032, Series 2430, Class WF | | | 29,176 | | | | 34,383 | |
6.50%, 03/15/2032, Series 2423, Class TB | | | 32,345 | | | | 36,781 | |
6.50%, 04/15/2032, Series 2441, Class GF | | | 6,902 | | | | 8,078 | |
6.50%, 04/15/2032, Series 2435, Class CJ | | | 47,907 | | | | 55,856 | |
6.50%, 04/15/2032, Series 2434, Class ZA | | | 60,438 | | | | 68,361 | |
6.50%, 05/15/2032, Series 2455, Class GK | | | 21,566 | | | | 24,507 | |
6.50%, 06/15/2032, Series 2466, Class DH | | | 10,166 | | | | 11,964 | |
6.50%, 06/15/2032, Series 2458, Class ZM | | | 18,736 | | | | 21,220 | |
6.50%, 06/15/2032, Series 2466, Class PH | | | 25,860 | | | | 30,256 | |
6.50%, 07/15/2032, Series 2474, Class NR | | | 23,021 | | | | 26,618 | |
6.50%, 07/15/2032, Series 2484, Class LZ | | | 31,884 | | | | 38,046 | |
6.50%, 03/15/2033, Series 2586, Class WI | | | 14,802 | | | | 2,814 | |
6.50%, 07/15/2036, Series 3195, Class PD | | | 49,876 | | | | 56,892 | |
6.50%, 07/15/2036, Series 3181, Class AZ | | | 67,326 | | | | 80,318 | |
6.53% (1 Month LIBOR USD + 6.60%, 6.60% Cap), 07/15/2037, Series 3344, Class SL(2)(5) | | | 33,571 | | | | 5,757 | |
6.58% (1 Month LIBOR USD + 6.65%, 6.65% Cap), 08/15/2036, Series 3202, Class HI(2)(5) | | | 384,536 | | | | 80,208 | |
6.61%, 11/15/2021, Series 3688, Class CU(4) | | | 407 | | | | 408 | |
6.63% (1 Month LIBOR USD + 6.70%, 6.70% Cap), 10/15/2036, Series 3232, Class ST(2)(5) | | | 44,913 | | | | 9,161 | |
6.73% (1 Month LIBOR USD + 6.80%, 6.80% Cap), 04/15/2038, Series 3424, Class PI(2)(5) | | | 107,318 | | | | 25,571 | |
6.75% (1 Month LIBOR USD + 6.80%, 4.00% Floor, 6.80% Cap), 07/15/2033, Series 2642, Class SL(2)(5) | | | 462 | | | | 505 | |
7.00%, 03/15/2022, Series 1206, Class IA | | | 45 | | | | 46 | |
7.00%, 05/15/2022, Series 1250, Class J | | | 96 | | | | 98 | |
7.00%, 04/15/2023, Series 1502, Class PX | | | 4,008 | | | | 4,175 | |
7.00%, 05/15/2023, Series 1505, Class Q | | | 510 | | | | 534 | |
7.00%, 09/15/2023, Series 1573, Class PZ | | | 3,281 | | | | 3,457 | |
7.00%, 01/15/2024, Series 1658, Class GZ | | | 2,081 | | | | 2,204 | |
7.00%, 02/15/2024, Series 1671, Class L | | | 1,064 | | | | 1,117 | |
7.00%, 03/15/2024, Series 1695, Class EB | | | 1,809 | | | | 1,916 | |
7.00%, 03/15/2024, Series 1706, Class K | | | 9,912 | | | | 10,477 | |
7.00%, 03/15/2028, Series 2038, Class PN | | | 6,481 | | | | 885 | |
7.00%, 06/15/2028, Series 2064, Class TE | | | 1,379 | | | | 1,588 | |
7.00%, 10/15/2028, Series 2089, Class PJ | | | 8,652 | | | | 826 | |
7.00%, 04/15/2029, Series 2141, Class IO | | | 674 | | | | 62 | |
7.00%, 06/15/2029, Series 2169, Class TB | | | 45,456 | | | | 52,093 | |
7.00%, 07/15/2029, Series 2172, Class QC | | | 25,589 | | | | 29,777 | |
7.00%, 08/15/2029, Series 2176, Class OJ | | | 11,790 | | | | 13,741 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
7.00%, 01/15/2030, Series 2208, Class PG | | | 22,824 | | | | 26,775 | |
7.00%, 10/15/2030, Series 2259, Class ZM | | | 16,270 | | | | 19,099 | |
7.00%, 03/15/2031, Series 2296, Class PD | | | 9,870 | | | | 11,601 | |
7.00%, 06/15/2031, Series 2325, Class PM | | | 8,581 | | | | 10,163 | |
7.00%, 07/15/2031, Series 2332, Class ZH | | | 19,577 | | | | 23,115 | |
7.00%, 03/15/2032, Series 2423, Class MC | | | 18,416 | | | | 21,781 | |
7.00%, 03/15/2032, Series 2423, Class MT | | | 22,432 | | | | 26,646 | |
7.00%, 04/15/2032, Series 2436, Class MC | | | 10,843 | | | | 12,363 | |
7.00%, 04/15/2032, Series 2434, Class TC | | | 38,818 | | | | 46,026 | |
7.00%, 05/15/2032, Series 2450, Class GZ | | | 20,511 | | | | 24,558 | |
7.00%, 12/15/2036, Series 3704, Class CT | | | 896,306 | | | | 1,083,036 | |
7.03% (1 Month LIBOR USD + 7.10%, 7.10% Cap), 07/15/2036, Series 3194, Class SA(2)(5) | | | 6,998 | | | | 1,429 | |
7.25%, 07/15/2027, Series 1970, Class PG | | | 407 | | | | 464 | |
7.25%, 09/15/2030, Series 2256, Class MC | | | 13,056 | | | | 15,519 | |
7.25%, 12/15/2030, Series 2271, Class PC | | | 17,323 | | | | 20,510 | |
7.41%, 11/15/2046, Series 3688, Class GT(4) | | | 456,805 | | | | 542,746 | |
7.50%, 08/15/2022, Series 1343, Class LB | | | 170 | | | | 175 | |
7.50%, 02/15/2023, Series 1466, Class PZ | | | 3,788 | | | | 3,944 | |
7.50%, 04/15/2023, Series 1491, Class I | | | 808 | | | | 844 | |
7.50%, 04/15/2024, Series 1720, Class PL | | | 6,146 | | | | 6,491 | |
7.50%, 08/15/2024, Series 1745, Class D | | | 2,945 | | | | 3,185 | |
7.50%, 09/15/2026, Series 1890, Class H | | | 1,466 | | | | 1,637 | |
7.50%, 01/15/2027, Series 1963, Class Z | | | 4,180 | | | | 4,769 | |
7.50%, 01/15/2027, Series 1927, Class PH | | | 10,949 | | | | 12,438 | |
7.50%, 09/15/2027, Series 1987, Class PE | | | 3,995 | | | | 4,533 | |
7.50%, 03/15/2028, Series 2040, Class PE | | | 19,720 | | | | 22,767 | |
7.50%, 05/15/2028, Series 2054, Class PV | | | 6,941 | | | | 7,957 | |
7.50%, 06/15/2029, Series 2163, Class PC | | | 3,525 | | | | 357 | |
7.50%, 11/15/2029, Series 2196, Class TL | | | 64 | | | | 76 | |
7.50%, 05/15/2030, Series 2234, Class PZ | | | 5,100 | | | | 6,061 | |
7.50%, 08/15/2030, Series 2247, Class Z | | | 5,494 | | | | 6,461 | |
7.50%, 10/15/2030, Series 2262, Class Z | | | 1,261 | | | | 1,511 | |
7.50%, 11/15/2036, Series 3704, Class DT | | | 372,695 | | | | 454,740 | |
7.50%, 12/15/2036, Series 3704, Class ET | | | 318,964 | | | | 393,171 | |
7.88% (1 Month LIBOR USD + 7.95%, 7.95% Cap), 03/15/2032, Series 2444, Class ES(2)(5) | | | 19,931 | | | | 3,441 | |
7.93% (1 Month LIBOR USD + 8.00%, 8.00% Cap), 02/15/2032, Series 2475, Class S(2)(5) | | | 46,561 | | | | 9,168 | |
7.93% (1 Month LIBOR USD + 8.00%, 8.00% Cap), 03/15/2032, Series 2450, Class SW(2)(5) | | | 13,002 | | | | 2,240 | |
7.94% (1 Month LIBOR USD + 8.01%, 8.01% Cap), 10/15/2033, Series 2733, Class SB(2)(5) | | | 387,623 | | | | 445,007 | |
8.00%, 08/15/2022, Series 1343, Class LA | | | 427 | | | | 440 | |
8.00%, 09/15/2026, Series 1899, Class ZE | | | 4,424 | | | | 5,065 | |
8.00%, 11/15/2029, Series 2201, Class C | | | 9,085 | | | | 10,391 | |
8.00%, 01/15/2030, Series 2209, Class TC | | | 6,281 | | | | 7,440 | |
8.00%, 01/15/2030, Series 2210, Class Z | | | 22,140 | | | | 26,548 | |
8.00%, 03/15/2030, Series 2224, Class CB | | | 5,441 | | | | 6,490 | |
8.00%, 04/15/2030, Series 2230, Class Z | | | 7,215 | | | | 8,529 | |
8.50%, 09/15/2021, Series 1144, Class KB | | | 59 | | | | 59 | |
8.50%, 06/15/2031, Series 2359, Class ZB | | | 19,307 | | | | 23,497 | |
8.53% (1 Month LIBOR USD + 8.60%, 3.00% Floor, 8.60% Cap), 07/15/2023, Series 2638, Class DS(2)(5) | | | 2,701 | | | | 2,826 | |
8.58% (1 Month LIBOR USD + 8.65%, 8.65% Cap), 02/15/2032, Series 2410, Class QX(2)(5) | | | 9,343 | | | | 1,848 | |
8.88% (3 Month CMT Index + 8.90%, 8.90% Cap), 05/15/2023, Series 1518, Class G(2)(5) | | | 1,838 | | | | 1,937 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
8.96% (10 year CMT Index + 10.60%, 10.00% Cap), 05/15/2024, Series 2306, Class SE(2)(5) | | | 4,093 | | | | 408 | |
9.00% (1 Month LIBOR USD + 70.64%, 9.00% Cap), 03/15/2037, Series 3443, Class SY(2)(5) | | | 14,732 | | | | 17,770 | |
10.00% (11th District Cost of Funds Index + 44.15%, 10.00% Cap), 02/15/2024, Series 1671, Class QC(2)(5) | | | 1,392 | | | | 1,513 | |
13.14% (1 Month LIBOR USD + 13.29%, 13.29% Cap), 07/15/2033, Series 2692, Class SC(2)(5) | | | 17,536 | | | | 23,006 | |
14.62% (1 Month LIBOR USD + 14.76%, 14.76% Cap), 09/15/2033, Series 2671, Class S(2)(5) | | | 14,712 | | | | 19,500 | |
14.72% (1 Month LIBOR USD + 14.85%, 14.85% Cap), 06/15/2033, Series 2631, Class SA(2)(5) | | | 52,723 | | | | 67,409 | |
15.95% (1 Month LIBOR USD + 16.10%, 16.10% Cap), 02/15/2032, Series 2412, Class SP(2)(5) | | | 25,476 | | | | 33,249 | |
16.34% (1 Month LIBOR USD + 16.50%, 16.50% Cap), 11/15/2033, Series 2780, Class SY(2)(5) | | | 7,263 | | | | 9,637 | |
16.69% (1 Month LIBOR USD + 16.88%, 16.88% Cap), 08/15/2025, Series 3022, Class SX(2)(5) | | | 2,778 | | | | 3,296 | |
16.77% (1 Month LIBOR USD + 17.03%, 17.03% Cap), 06/15/2035, Series 2990, Class WP(2)(5) | | | 1,003 | | | | 1,327 | |
17.26% (1 Month LIBOR USD + 17.50%, 17.50% Cap), 02/15/2040, Series 3632, Class BS(2)(5) | | | 229,629 | | | | 315,935 | |
17.27% (1 Month LIBOR USD + 17.45%, 17.45% Cap), 02/15/2038, Series 3422, Class SE(2)(5) | | | 9,096 | | | | 13,146 | |
18.43% (1 Month LIBOR USD + 18.60%, 18.60% Cap), 12/15/2032, Series 2571, Class SY(2)(5) | | | 17,207 | | | | 23,973 | |
19.01% (1 Month LIBOR USD + 10.13%, 19.24% Cap), 02/15/2024, Series 1686, Class SH(2) | | | 227 | | | | 258 | |
19.31% (1 Month LIBOR USD + 19.50%, 19.50% Cap), 02/15/2032, Series 2410, Class QS(2)(5) | | | 23,934 | | | | 34,575 | |
19.46% (1 Month LIBOR USD + 19.66%, 19.66% Cap), 06/15/2036, Series 3523, Class SD(2)(5) | | | 16,060 | | | | 20,931 | |
19.76% (1 Month LIBOR USD + 20.00%, 20.00% Cap), 11/15/2035, Series 3064, Class SG(2)(5) | | | 25,155 | | | | 35,664 | |
22.42% (1 Month LIBOR USD + 22.75%, 22.75% Cap), 10/15/2023, Series 1602, Class SA(2)(5) | | | 1,572 | | | | 1,847 | |
24.23% (1 Month LIBOR USD + 24.49%, 24.49% Cap), 06/15/2034, Series 2990, Class SL(2)(5) | | | 19,545 | | | | 23,391 | |
24.30% (1 Month LIBOR USD + 24.57%, 24.57% Cap), 01/15/2036, Series 3102, Class HS(2)(5) | | | 4,636 | | | | 6,649 | |
25.99% (11th District Cost of Funds Index + 27.47%, 27.47% Cap), 07/15/2023, Series 1541, Class M(2)(5) | | | 416 | | | | 463 | |
27.71% (1 Month LIBOR USD + 28.03%, 28.03% Cap), 10/15/2025, Series 3051, Class DP(2)(5) | | | 8,908 | | | | 11,841 | |
27.84% (1 Month LIBOR USD + 28.16%, 28.16% Cap), 02/15/2035, Series 2929, Class MS(2)(5) | | | 32,721 | | | | 45,989 | |
29.89% (11th District Cost of Funds Index + 31.43%, 31.43% Cap), 03/15/2024, Series 2033, Class SN(2)(5) | | | 1,185 | | | | 178 | |
30.15% (1 Month LIBOR USD + 30.55%, 30.55% Cap), 03/15/2029, Series 2132, Class SB(2)(5) | | | 1,311 | | | | 2,002 | |
33.42% (1 Month LIBOR USD + 33.83%, 33.83% Cap), 04/15/2025, Series 2967, Class S(2)(5) | | | 6,503 | | | | 8,064 | |
34.19% (1 Month LIBOR USD + 34.50%, 34.50% Cap), 09/15/2023, Series 2571, Class SK(2)(5) | | | 1,503 | | | | 1,897 | |
Freddie Mac STACR REMIC Trust 2021-DNA3 | | | | | | | | |
2.12% (30-day Average Secured Overnight Financing Rate + 2.10%), 10/25/2033, Series 2021-DNA3, Class M2(2)(3) | | | 10,610,000 | | | | 10,837,136 | |
Freddie Mac Strips | | | | | | | | |
0.00%, 04/01/2028, Series 197, Class PO | | | 36,690 | | | | 35,449 | |
0.00%, 09/15/2043, Series 310, Class PO | | | 582,292 | | | | 506,971 | |
0.57% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 08/15/2042, Series 270, Class F1(2) | | | 761,194 | | | | 773,530 | |
0.62% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.50% Cap), 07/15/2042, Series 264, Class F1(2) | | | 1,219,376 | | | | 1,237,693 | |
0.62% (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.50% Cap), 08/15/2042, Series 272, Class F2(2) | | | 631,582 | | | | 643,764 | |
3.00%, 08/15/2042, Series 267, Class 30 | | | 933,820 | | | | 965,170 | |
3.00%, 01/15/2043, Series 299, Class 300 | | | 226,752 | | | | 235,471 | |
3.50%, 07/15/2042, Series 262, Class 35 | | | 3,425,312 | | | | 3,702,568 | |
5.00%, 09/15/2035, Series 233, Class 12 | | | 68,558 | | | | 10,116 | |
5.00%, 09/15/2035, Series 233, Class 11 | | | 80,813 | | | | 14,935 | |
5.00%, 09/15/2035, Series 233, Class 13 | | | 127,388 | | | | 23,346 | |
7.63% (1 Month LIBOR USD + 7.70%, 7.70% Cap), 08/15/2036, Series 239, Class S30(2)(5) | | | 242,318 | | | | 59,980 | |
Freddie Mac Structured Pass-Through Certificates | | | | | | | | |
0.00%, 07/25/2043, Series T-57, Class 1AP | | | 16,800 | | | | 14,602 | |
0.00%, 09/25/2043, Series T-58, Class APO | | | 18,212 | | | | 15,450 | |
0.00%, 10/25/2043, Series T-59, Class 1AP | | | 21,461 | | | | 14,956 | |
1.32% (12 Month U.S. Treasury Average + 1.20%, 1.20% Floor), 10/25/2044, Series T-62, Class 1A1(2) | | | 345,732 | | | | 355,056 | |
1.70%, 10/25/2037, Series T-76, Class 2A(4) | | | 915,412 | | | | 928,292 | |
4.70%, 07/25/2033, Series T-48, Class 1A(4) | | | 139,701 | | | | 154,328 | |
5.05%, 07/25/2032, Series T-41, Class 3A(4) | | | 46,670 | | | | 52,237 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.23%, 05/25/2043, Series T-56, Class A5 | | | 449,077 | | | | 512,129 | |
6.50%, 02/25/2043, Series T-54, Class 2A | | | 204,976 | | | | 243,727 | |
7.00%, 02/25/2043, Series T-54, Class 3A | | | 65,623 | | | | 78,811 | |
7.00%, 10/25/2043, Series T-59, Class 1A2 | | | 246,672 | | | | 292,399 | |
7.50%, 02/25/2042, Series T-42, Class A5 | | | 191,127 | | | | 233,188 | |
7.50%, 08/25/2042, Series T-51, Class 2A(4) | | | 34,336 | | | | 44,324 | |
7.50%, 07/25/2043, Series T-57, Class 1A3 | | | 44,531 | | | | 56,312 | |
7.50%, 09/25/2043, Series T-58, Class 4A | | | 246,648 | | | | 289,560 | |
FREMF 2013-K25 Mortgage Trust | | | | | | | | |
3.74%, 11/25/2045, Series 2013-K25, Class C(3)(4) | | | 2,000,000 | | | | 2,066,767 | |
FREMF 2013-K35 Mortgage Trust | | | | | | | | |
4.07%, 12/25/2046, Series 2013-K35, Class C(3)(4) | | | 2,951,000 | | | | 3,122,400 | |
FREMF 2014-K40 Mortgage Trust | | | | | | | | |
4.21%, 11/25/2047, Series 2014-K40, Class C(3)(4) | | | 2,273,000 | | | | 2,446,585 | |
FREMF 2014-K41 Mortgage Trust | | | | | | | | |
3.96%, 11/25/2047, Series 2014-K41, Class C(3)(4) | | | 6,000,000 | | | | 6,459,343 | |
FREMF 2015-K44 Mortgage Trust | | | | | | | | |
3.81%, 01/25/2048, Series 2015-K44, Class B(3)(4) | | | 3,510,000 | | | | 3,787,143 | |
FREMF 2015-K45 Mortgage Trust | | | | | | | | |
3.71%, 04/25/2048, Series 2015-K45, Class B(3)(4) | | | 2,135,000 | | | | 2,302,973 | |
FREMF 2015-K49 Mortgage Trust | | | | | | | | |
3.85%, 10/25/2048, Series 2015-K49, Class C(3)(4) | | | 4,000,000 | | | | 4,220,567 | |
FREMF 2015-K51 Mortgage Trust | | | | | | | | |
4.09%, 10/25/2048, Series 2015-K51, Class C(3)(4) | | | 1,500,000 | | | | 1,600,005 | |
FREMF 2015-K720 Mortgage Trust | | | | | | | | |
3.51%, 07/25/2022, Series 2015-K720, Class C(3)(4) | | | 4,000,000 | | | | 4,097,802 | |
FREMF 2016-K52 Mortgage Trust | | | | | | | | |
4.06%, 01/25/2049, Series 2016-K52, Class B(3)(4) | | | 4,750,000 | | | | 5,221,712 | |
FREMF 2016-K59 Mortgage Trust | | | | | | | | |
3.70%, 11/25/2049, Series 2016-K59, Class B(3)(4) | | | 2,450,000 | | | | 2,662,969 | |
FREMF 2016-K722 Mortgage Trust | | | | | | | | |
3.99%, 07/25/2049, Series 2016-K722, Class B(3)(4) | | | 1,845,000 | | | | 1,942,358 | |
GCAT 2020-4 LLC | | | | | | | | |
2.61%, 12/25/2025, Series 2020-4, Class A1(1)(3) | | | 5,495,974 | | | | 5,523,659 | |
Ginnie Mae | | | | | | | | |
0.00%, 03/16/2033, Series 2003-24, Class PO | | | 5,138 | | | | 5,083 | |
0.00%, 06/16/2033, Series 2003-52, Class AP | | | 27,165 | | | | 25,877 | |
0.00%, 10/20/2033, Series 2003-90, Class PO | | | 4,104 | | | | 4,004 | |
0.00%, 06/20/2034, Series 2004-46, Class PO | | | 45,885 | | | | 44,965 | |
0.00%, 08/20/2035, Series 2010-14, Class CO | | | 105,579 | | | | 98,604 | |
0.00%, 10/20/2035, Series 2005-82, Class PO | | | 23,457 | | | | 21,166 | |
0.00%, 11/20/2035, Series 2010-14, Class BO | | | 34,747 | | | | 32,434 | |
0.00%, 03/20/2036, Series 2006-16, Class OP | | | 30,073 | | | | 28,051 | |
0.00%, 05/20/2036, Series 2006-22, Class AO | | | 41,714 | | | | 40,597 | |
0.00%, 07/20/2036, Series 2006-34, Class PO | | | 5,763 | | | | 5,543 | |
0.00%, 03/20/2037, Series 2007-57, Class PO | | | 76,561 | | | | 74,156 | |
0.00%, 04/16/2037, Series 2007-17, Class JO | | | 56,584 | | | | 51,157 | |
0.00%, 05/20/2037, Series 2007-28, Class BO | | | 8,495 | | | | 7,899 | |
0.00%, 06/16/2037, Series 2007-36, Class HO | | | 14,557 | | | | 13,599 | |
0.00%, 06/16/2037, Series 2007-35, Class PO | | | 147,419 | | | | 140,162 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
0.00%, 09/20/2037, Series 2008-20, Class PO | | | 5,750 | | | | 5,732 | |
0.00%, 11/16/2037, Series 2009-79, Class OK | | | 152,940 | | | | 144,213 | |
0.00%, 01/20/2038, Series 2008-1, Class PO | | | 5,938 | | | | 5,592 | |
0.00%, 12/20/2040, Series 2010-157, Class OP | | | 334,342 | | | | 316,255 | |
0.37% (1 Month LIBOR USD + 0.30%, 0.30% Floor, 6.50% Cap), 05/16/2037, Series 2007-25, Class FN(2) | | | 43,439 | | | | 43,503 | |
0.41% (1 Month LIBOR USD + 0.30%, 0.30% Floor, 5.59% Cap), 08/20/2060, Series 2013-H03, Class FA(2) | | | 782 | | | | 783 | |
0.41% (1 Month LIBOR USD + 0.30%, 0.30% Floor), 11/20/2062, Series 2013-H02, Class HF(2) | | | 4,420 | | | | 4,423 | |
0.43% (1 Month LIBOR USD + 0.32%, 0.32% Floor, 10.50% Cap), 01/20/2063, Series 2013-H01, Class JA(2) | | | 734,360 | | | | 734,946 | |
0.45% (1 Month LIBOR USD + 0.34%, 0.34% Floor, 11.00% Cap), 12/20/2062, Series 2012-H31, Class FD(2) | | | 1,547,949 | | | | 1,550,323 | |
0.52% (1 Month LIBOR USD + 0.41%, 0.41% Floor, 11.00% Cap), 03/20/2063, Series 2013-H07, Class HA(2) | | | 606,364 | | | | 608,106 | |
0.53% (1 Month LIBOR USD + 0.42%, 0.42% Floor, 10.50% Cap), 02/20/2063, Series 2013-H04, Class SA(2) | | | 168,117 | | | | 168,885 | |
0.54% (1 Month LIBOR USD + 0.43%, 0.43% Floor, 5.59% Cap), 04/20/2060, Series 2012-H24, Class FG(2) | | | 8,582 | | | | 8,622 | |
0.55% (1 Month LIBOR USD + 0.44%, 0.44% Floor, 11.00% Cap), 07/20/2065, Series 2015-H16, Class FL(2) | | | 2,819,279 | | | | 2,834,632 | |
0.56% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 5.50% Cap), 03/20/2060, Series 2012-H24, Class FA(2) | | | 18,725 | | | | 18,828 | |
0.56% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 5.50% Cap), 05/20/2062, Series 2012-H15, Class FA(2) | | | 91 | | | | 91 | |
0.56% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 11.00% Cap), 06/20/2065, Series 2015-H18, Class FA(2) | | | 1,150,705 | | | | 1,155,421 | |
0.56% (1 Month LIBOR USD + 0.45%, 0.45% Floor, 11.00% Cap), 08/20/2067, Series 2017-H19, Class FA(2) | | | 2,187,258 | | | | 2,193,403 | |
0.58% (1 Month LIBOR USD + 0.47%, 0.47% Floor), 08/20/2061, Series 2011-H19, Class FA(2) | | | 374,632 | | | | 376,100 | |
0.58% (1 Month LIBOR USD + 0.47%, 0.47% Floor, 10.50% Cap), 03/20/2063, Series 2013-H07, Class GA(2) | | | 200,958 | | | | 201,654 | |
0.58% (1 Month LIBOR USD + 0.47%, 0.47% Floor, 11.00% Cap), 06/20/2063, Series 2013-H14, Class FD(2) | | | 1,476,800 | | | | 1,482,245 | |
0.58% (1 Month LIBOR USD + 0.47%, 0.47% Floor, 11.00% Cap), 07/20/2064, Series 2014-H14, Class GF(2) | | | 2,439,323 | | | | 2,448,599 | |
0.58% (1 Month LIBOR USD + 0.47%, 0.47% Floor, 11.00% Cap), 09/20/2064, Series 2014-H19, Class FE(2) | | | 3,198,949 | | | | 3,217,644 | |
0.58% (1 Month LIBOR USD + 0.47%, 0.47% Floor, 11.00% Cap), 08/20/2065, Series 2015-H20, Class FA(2) | | | 461,245 | | | | 464,197 | |
0.58% (1 Month LIBOR USD + 0.47%, 11.00% Cap), 02/20/2065, Series 2015-H07, Class ES(2) | | | 1,346,460 | | | | 1,349,488 | |
0.59% (1 Month LIBOR USD + 0.48%, 0.48% Floor, 11.00% Cap), 02/20/2065, Series 2015-H05, Class FC(2) | | | 3,073,006 | | | | 3,066,530 | |
0.59% (1 Month LIBOR USD + 0.48%, 0.48% Floor, 11.00% Cap), 03/20/2065, Series 2015-H08, Class FC(2) | | | 5,935,929 | | | | 5,973,114 | |
0.59% (1 Month LIBOR USD + 0.48%, 11.00% Cap), 04/20/2065, Series 2015-H10, Class FC(2) | | | 4,607,592 | | | | 4,638,424 | |
0.61% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 10.66% Cap), 03/20/2061, Series 2011-H11, Class FA(2) | | | 1,311,795 | | | | 1,318,538 | |
0.61% (1 Month LIBOR USD + 0.50%, 0.50% Floor), 01/20/2063, Series 2013-H01, Class TA(2) | | | 9,243 | | | | 9,288 | |
0.61% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 11.00% Cap), 06/20/2064, Series 2014-H11, Class VA(2) | | | 1,857,617 | | | | 1,871,928 | |
0.61% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 11.00% Cap), 07/20/2064, Series 2014-H15, Class FA(2) | | | 1,473,813 | | | | 1,484,887 | |
0.61% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 11.00% Cap), 07/20/2064, Series 2014-H17, Class FC(2) | | | 1,772,908 | | | | 1,777,326 | |
0.61% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 11.00% Cap), 12/20/2064, Series 2015-H03, Class FA(2) | | | 2,053,167 | | | | 2,062,409 | |
0.61% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 11.00% Cap), 06/20/2067, Series 2017-H14, Class FV(2) | | | 4,966,100 | | | | 5,001,781 | |
0.62% (1 Month LIBOR USD + 0.52%, 0.52% Floor, 11.50% Cap), 10/20/2062, Series 2012-H29, Class FA(2) | | | 1,356,564 | | | | 1,362,303 | |
0.66% (1 Month LIBOR USD + 0.55%, 0.55% Floor), 10/20/2061, Series 2012-H26, Class JA(2) | | | 2,295 | | | | 2,305 | |
0.66% (1 Month LIBOR USD + 0.55%, 0.55% Floor), 04/20/2062, Series 2013-H07, Class MA(2) | | | 1,061 | | | | 1,065 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
0.66% (1 Month LIBOR USD + 0.55%, 0.55% Floor), 07/20/2062, Series 2012-H26, Class MA(2) | | | 4,739 | | | | 4,773 | |
0.67% (1 Month LIBOR USD + 0.56%, 0.56% Floor, 11.00% Cap), 03/20/2067, Series 2017-H09, Class DF(2) | | | 4,937,364 | | | | 4,984,915 | |
0.69% (1 Month LIBOR USD + 0.58%, 0.58% Floor), 09/20/2062, Series 2012-H28, Class FA(2) | | | 14,838 | | | | 14,910 | |
0.71% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 4.60% Cap), 10/20/2062, Series 2012-H24, Class FE(2) | | | 9,681 | | | | 9,764 | |
0.71% (1 Month LIBOR USD + 0.60%, 0.60% Floor), 04/20/2064, Series 2014-H10, Class TA(2) | | | 2,409,546 | | | | 2,435,582 | |
0.71% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 11.00% Cap), 04/20/2064, Series 2014-H09, Class TA(2) | | | 2,714,456 | | | | 2,731,346 | |
0.71% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 11.00% Cap), 05/20/2064, Series 2014-H07, Class FA(2) | | | 4,571,804 | | | | 4,622,576 | |
0.71% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 7.00% Cap), 10/20/2064, Series 2014-H20, Class LF(2) | | | 1,186,423 | | | | 1,199,758 | |
0.76% (1 Month LIBOR USD + 0.65%, 0.65% Floor), 05/20/2061, Series 2012-H21, Class DF(2) | | | 13,373 | | | | 13,505 | |
0.76% (1 Month LIBOR USD + 0.65%, 0.65% Floor, 11.00% Cap), 01/20/2064, Series 2014-H01, Class FD(2) | | | 2,128,200 | | | | 2,144,014 | |
0.76% (1 Month LIBOR USD + 0.65%, 0.65% Floor, 11.00% Cap), 02/20/2064, Series 2014-H04, Class FB(2) | | | 4,259,923 | | | | 4,291,944 | |
0.76% (1 Month LIBOR USD + 0.65%, 0.65% Floor, 11.00% Cap), 03/20/2064, Series 2014-H06, Class HB(2) | | | 1,726,924 | | | | 1,740,441 | |
0.80% (1 Month LIBOR USD + 0.69%, 0.69% Floor, 11.00% Cap), 02/20/2064, Series 2014-H05, Class FA(2) | | | 2,320,521 | | | | 2,352,275 | |
0.81% (1 Month LIBOR USD + 0.70%, 0.70% Floor), 05/20/2061, Series 2012-H21, Class CF(2) | | | 13,116 | | | | 13,263 | |
0.81% (1 Month LIBOR USD + 0.70%, 0.70% Floor, 11.00% Cap), 04/20/2062, Series 2012-H08, Class FS(2) | | | 724,447 | | | | 733,248 | |
0.91% (1 Month LIBOR USD + 0.82%, 0.82% Floor, 7.00% Cap), 07/20/2038, Series 2008-58, Class FA(2) | | | 251,872 | | | | 256,364 | |
1.37% (1 Month LIBOR USD + 1.28%, 1.28% Floor), 02/20/2071, Series 2021-H03, Class LF(2) | | | 15,094,328 | | | | 16,101,142 | |
1.45%, 06/20/2067, Series 2017-H14, Class XI(4) | | | 11,318,908 | | | | 853,447 | |
1.65%, 01/20/2063, Series 2013-H01, Class FA | | | 92,816 | | | | 93,000 | |
1.65%, 02/20/2063, Series 2013-H04, Class BA | | | 94,183 | | | | 94,679 | |
1.65%, 04/20/2063, Series 2013-H09, Class HA | | | 34,272 | | | | 34,510 | |
2.18%, 05/20/2067, Series 2017-H11, Class LI(4) | | | 11,293,919 | | | | 1,251,502 | |
2.50%, 07/20/2047, Series 2017-101, Class AB | | | 3,229,857 | | | | 3,377,292 | |
2.50%, 07/01/2051(9) | | | 46,830,000 | | | | 48,461,733 | |
3.00%, 12/20/2041, Series 2011-157, Class UY | | | 1,000,000 | | | | 1,076,737 | |
3.00%, 10/20/2045, Series 2015-144, Class HP | | | 990,414 | | | | 1,060,275 | |
3.00%, 02/20/2047, Series 2018-7, Class GA | | | 1,727,134 | | | | 1,784,438 | |
3.00%, 09/20/2047, Series 2017-139, Class BA | | | 1,359,292 | | | | 1,441,144 | |
3.00%, 11/20/2047, Series 2017-163, Class PT | | | 5,295,842 | | | | 5,619,992 | |
3.00%, 07/01/2051(9) | | | 15,335,000 | | | | 16,000,216 | |
3.50%, 07/20/2046, Series 2018-160, Class PA | | | 2,547,454 | | | | 2,647,930 | |
3.50%, 09/20/2046, Series 2018-34, Class DL | | | 1,266,381 | | | | 1,368,071 | |
3.50%, 07/01/2051(9) | | | 1,665,000 | | | | 1,747,827 | |
3.66%, 01/20/2042, Series 2012-141, Class WC(4) | | | 218,428 | | | | 238,598 | |
3.99%, 09/16/2042, Series 2012-141, Class WB(4) | | | 142,353 | | | | 158,554 | |
4.48%, 04/20/2043, Series 2013-91, Class WA(4) | | | 173,086 | | | | 191,117 | |
4.53%, 11/16/2041, Series 2012-141, Class WA(4) | | | 253,679 | | | | 282,981 | |
4.60%, 10/20/2041, Series 2014-188, Class W(4) | | | 387,663 | | | | 430,963 | |
4.69%, 10/20/2042, Series 2014-41, Class W(4) | | | 776,040 | | | | 872,418 | |
4.70%, 09/20/2041, Series 2013-26, Class AK(4) | | | 226,081 | | | | 256,587 | |
4.76%, 03/20/2048, Series 2020-30, Class PT(4) | | | 8,991,088 | | | | 10,174,476 | |
4.86%, 11/20/2042, Series 2013-54, Class WA(4) | | | 145,828 | | | | 165,610 | |
5.14%, 06/20/2040, Series 2013-75, Class WA(4) | | | 111,013 | | | | 126,389 | |
5.21%, 07/20/2060, Series 2010-H17, Class XQ(4) | | | 4,984 | | | | 5,253 | |
5.40%, 01/20/2039, Series 2014-6, Class W(4) | | | 488,197 | | | | 558,738 | |
5.50%, 01/16/2033, Series 2011-43, Class ZQ | | | 257,911 | | | | 275,469 | |
5.50%, 04/20/2033, Series 2003-25, Class PZ | | | 140,828 | | | | 149,858 | |
5.50%, 03/16/2034, Series 2004-17, Class MZ | | | 2,054,926 | | | | 2,277,313 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.50%, 07/20/2035, Series 2005-56, Class IC | | | 18,142 | | | | 2,984 | |
5.50%, 09/20/2035, Series 2005-72, Class AZ | | | 99,390 | | | | 112,433 | |
5.50%, 10/16/2037, Series 2008-32, Class PI | | | 67,487 | | | | 3,066 | |
5.50%, 02/20/2038, Series 2008-17, Class IO | | | 19,996 | | | | 1,096 | |
5.50%, 05/20/2039, Series 2009-33, Class CI | | | 23,077 | | | | 3,115 | |
5.50%, 09/20/2039, Series 2009-75, Class MN | | | 317,000 | | | | 375,247 | |
5.50%, 10/20/2039, Series 2009-87, Class BE | | | 583,317 | | | | 668,825 | |
5.52%, 01/20/2038, Series 2015-137, Class WA(4) | | | 453,717 | | | | 531,362 | |
5.56%, 10/20/2036, Series 2006-57, Class PZ | | | 105,173 | | | | 114,675 | |
5.58%, 08/20/2038, Series 2012-59, Class WA(4) | | | 168,193 | | | | 193,214 | |
5.58%, 07/20/2040, Series 2011-137, Class WA(4) | | | 164,474 | | | | 192,280 | |
5.61% (1 Month LIBOR USD + 5.70%, 5.70% Cap), 12/20/2038, Series 2008-93, Class AS(2)(5) | | | 143,236 | | | | 18,272 | |
5.70%, 08/20/2034, Series 2010-103, Class WA(4) | | | 53,453 | | | | 61,046 | |
5.75%, 02/20/2036, Series 2006-20, Class QA | | | 11,090 | | | | 11,526 | |
5.75%, 07/20/2038, Series 2008-69, Class QD | | | 76,717 | | | | 81,867 | |
5.80% (1 Month LIBOR USD + 6.55%, 6.55% Cap), 12/16/2033, Series 2003-112, Class SA(2)(5) | | | 52,638 | | | | 5,522 | |
5.81% (1 Month LIBOR USD + 5.90%, 5.90% Cap), 09/20/2038, Series 2008-76, Class US(2)(5) | | | 134,270 | | | | 21,497 | |
5.83%, 10/20/2033, Series 2010-41, Class WA(4) | | | 96,954 | | | | 108,921 | |
5.86% (1 Month LIBOR USD + 5.95%, 5.95% Cap), 02/20/2039, Series 2009-10, Class SA(2)(5) | | | 109,138 | | | | 15,308 | |
5.86% (1 Month LIBOR USD + 5.95%, 5.95% Cap), 06/20/2039, Series 2009-43, Class SA(2)(5) | | | 104,962 | | | | 13,273 | |
5.87%, 02/20/2037, Series 2011-22, Class WA(4) | | | 36,075 | | | | 41,424 | |
5.88%, 12/20/2038, Series 2011-163, Class WA(4) | | | 394,860 | | | | 458,931 | |
5.91% (1 Month LIBOR USD + 6.00%, 6.00% Cap), 11/20/2037, Series 2007-73, Class MI(2)(5) | | | 98,794 | | | | 11,859 | |
5.91% (1 Month LIBOR USD + 6.00%, 6.00% Cap), 02/20/2038, Series 2009-106, Class ST(2)(5) | | | 830,530 | | | | 130,764 | |
5.91% (1 Month LIBOR USD + 6.00%, 6.00% Cap), 08/20/2038, Series 2008-71, Class SC(2)(5) | | | 38,606 | | | | 5,127 | |
5.91% (1 Month LIBOR USD + 6.00%, 6.00% Cap), 12/20/2038, Series 2008-96, Class SL(2)(5) | | | 80,167 | | | | 7,110 | |
5.94%, 04/20/2037, Series 2010-129, Class AW(4) | | | 67,059 | | | | 77,019 | |
5.95% (1 Month LIBOR USD + 6.04%, 6.04% Cap), 02/20/2039, Series 2009-6, Class SH(2)(5) | | | 65,963 | | | | 9,334 | |
5.99% (1 Month LIBOR USD + 6.08%, 6.08% Cap), 11/20/2034, Series 2004-96, Class SC(2)(5) | | | 150,890 | | | | 537 | |
5.99% (1 Month LIBOR USD + 6.08%, 6.08% Cap), 06/20/2039, Series 2009-42, Class SC(2)(5) | | | 146,492 | | | | 21,135 | |
6.00% (1 Month LIBOR USD + 6.09%, 6.09% Cap), 09/20/2039, Series 2009-81, Class SB(2)(5) | | | 277,124 | | | | 52,660 | |
6.00%, 02/20/2029, Series 1999-4, Class ZB | | | 54,021 | | | | 54,025 | |
6.00%, 11/20/2032, Series 2002-75, Class PB | | | 90,647 | | | | 90,568 | |
6.00%, 09/16/2033, Series 2003-75, Class ZX | | | 80,155 | | | | 90,157 | |
6.00%, 06/20/2034, Series 2004-49, Class Z | | | 180,538 | | | | 204,033 | |
6.00%, 12/20/2035, Series 2005-91, Class PI | | | 36,852 | | | | 5,410 | |
6.00%, 06/20/2038, Series 2008-50, Class KB | | | 67,575 | | | | 77,701 | |
6.00%, 12/20/2038, Series 2009-65, Class IQ | | | 15,459 | | | | 477 | |
6.00%, 05/20/2039, Series 2009-33, Class TI | | | 31,907 | | | | 5,636 | |
6.01% (1 Month LIBOR USD + 6.10%, 6.10% Cap), 10/20/2034, Series 2004-90, Class SI(2)(5) | | | 268,374 | | | | 40,990 | |
6.03% (1 Month LIBOR USD + 6.10%, 6.10% Cap), 02/16/2039, Series 2009-6, Class SA(2)(5) | | | 59,715 | | | | 5,733 | |
6.03% (1 Month LIBOR USD + 6.10%, 6.10% Cap), 07/16/2039, Series 2009-64, Class SN(2)(5) | | | 163,312 | | | | 21,142 | |
6.06% (1 Month LIBOR USD + 6.15%, 6.15% Cap), 07/20/2038, Series 2008-60, Class CS(2)(5) | | | 108,232 | | | | 13,173 | |
6.08% (1 Month LIBOR USD + 6.15%, 6.15% Cap), 02/16/2039, Series 2009-11, Class SC(2)(5) | | | 85,322 | | | | 7,685 | |
6.11% (1 Month LIBOR USD + 6.20%, 6.20% Cap), 03/20/2037, Series 2007-9, Class CI(2)(5) | | | 105,643 | | | | 16,063 | |
6.11% (1 Month LIBOR USD + 6.20%, 6.20% Cap), 04/20/2037, Series 2007-19, Class SD(2)(5) | | | 55,741 | | | | 5,479 | |
6.11% (1 Month LIBOR USD + 6.20%, 6.20% Cap), 05/20/2037, Series 2007-27, Class SD(2)(5) | | | 105,999 | | | | 15,498 | |
6.11% (1 Month LIBOR USD + 6.20%, 6.20% Cap), 05/20/2037, Series 2007-26, Class SC(2)(5) | | | 98,354 | | | | 15,943 | |
6.11% (1 Month LIBOR USD + 6.20%, 6.20% Cap), 06/20/2038, Series 2008-55, Class SA(2)(5) | | | 31,011 | | | | 4,828 | |
6.11% (1 Month LIBOR USD + 6.20%, 6.20% Cap), 09/20/2038, Series 2008-81, Class S(2)(5) | | | 278,407 | | | | 25,680 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
6.12%, 11/20/2038, Series 2011-97, Class WA(4) | | | 110,377 | | | | 129,009 | |
6.16% (1 Month LIBOR USD + 6.25%, 6.25% Cap), 06/20/2037, Series 2007-36, Class SJ(2)(5) | | | 83,440 | | | | 8,487 | |
6.18% (1 Month LIBOR USD + 6.25%, 6.25% Cap), 08/16/2039, Series 2009-72, Class SM(2)(5) | | | 163,275 | | | | 24,244 | |
6.18% (1 Month LIBOR USD + 6.27%, 6.27% Cap), 04/20/2039, Series 2009-22, Class SA(2)(5) | | | 191,830 | | | | 29,662 | |
6.21% (1 Month LIBOR USD + 6.30%, 6.30% Cap), 09/20/2035, Series 2005-68, Class KI(2)(5) | | | 369,700 | | | | 74,702 | |
6.21% (1 Month LIBOR USD + 6.30%, 6.30% Cap), 04/20/2038, Series 2008-36, Class SH(2)(5) | | | 130,023 | | | | 509 | |
6.21% (1 Month LIBOR USD + 6.30%, 6.30% Cap), 03/20/2039, Series 2009-31, Class TS(2)(5) | | | 88,793 | | | | 6,512 | |
6.33% (1 Month LIBOR USD + 6.40%, 6.40% Cap), 05/16/2038, Series 2008-40, Class SA(2)(5) | | | 441,898 | | | | 78,516 | |
6.33% (1 Month LIBOR USD + 6.40%, 6.40% Cap), 11/16/2039, Series 2009-106, Class AS(2)(5) | | | 221,230 | | | | 39,943 | |
6.40% (1 Month LIBOR USD + 6.47%, 6.47% Cap), 06/16/2037, Series 2007-36, Class SE(2)(5) | | | 62,420 | | | | 7,462 | |
6.41% (1 Month LIBOR USD + 6.50%, 6.50% Cap), 06/20/2036, Series 2006-38, Class SW(2)(5) | | | 3,132 | | | | 165 | |
6.41% (1 Month LIBOR USD + 6.50%, 6.50% Cap), 11/20/2037, Series 2007-76, Class SB(2)(5) | | | 191,666 | | | | 19,741 | |
6.42% (1 Month LIBOR USD + 6.51%, 6.51% Cap), 11/20/2037, Series 2007-67, Class SI(2)(5) | | | 105,629 | | | | 18,961 | |
6.46% (1 Month LIBOR USD + 6.55%, 6.55% Cap), 09/20/2037, Series 2007-53, Class ES(2)(5) | | | 88,807 | | | | 12,309 | |
6.46% (1 Month LIBOR USD + 6.55%, 6.55% Cap), 11/20/2037, Series 2007-72, Class US(2)(5) | | | 86,612 | | | | 11,008 | |
6.46% (1 Month LIBOR USD + 6.55%, 6.55% Cap), 12/20/2037, Series 2007-79, Class SY(2)(5) | | | 127,685 | | | | 17,846 | |
6.47% (1 Month LIBOR USD + 6.54%, 6.54% Cap), 11/16/2037, Series 2007-74, Class SL(2)(5) | | | 99,822 | | | | 11,934 | |
6.48% (1 Month LIBOR USD + 6.55%, 6.55% Cap), 11/16/2033, Series 2003-97, Class SA(2)(5) | | | 51,256 | | | | 4,885 | |
6.48% (1 Month LIBOR USD + 6.55%, 6.55% Cap), 09/16/2034, Series 2004-73, Class JL(2)(5) | | | 187,137 | | | | 35,677 | |
6.50%, 07/20/2032, Series 2002-52, Class GH | | | 46,704 | | | | 46,708 | |
6.50%, 01/20/2033, Series 2003-58, Class BE | | | 65,964 | | | | 70,708 | |
6.50%, 03/20/2033, Series 2003-46, Class TC | | | 38,373 | | | | 41,740 | |
6.50%, 03/20/2033, Series 2003-40, Class TJ | | | 130,771 | | | | 141,087 | |
6.50%, 05/20/2033, Series 2003-46, Class MG | | | 50,964 | | | | 56,612 | |
6.50%, 07/20/2036, Series 2006-33, Class Z | | | 178,404 | | | | 206,238 | |
6.50%, 08/20/2036, Series 2006-38, Class ZK | | | 237,900 | | | | 266,238 | |
6.50%, 03/20/2039, Series 2009-14, Class KI | | | 36,819 | | | | 6,572 | |
6.50%, 03/20/2039, Series 2009-14, Class NI | | | 82,099 | | | | 18,109 | |
6.51% (1 Month LIBOR USD + 6.60%, 6.60% Cap), 05/20/2041, Series 2011-75, Class SM(2)(5) | | | 202,564 | | | | 27,305 | |
6.55% (1 Month LIBOR USD + 6.64%, 6.64% Cap), 07/20/2037, Series 2007-45, Class QA(2)(5) | | | 124,287 | | | | 17,888 | |
6.59% (1 Month LIBOR USD + 6.68%, 6.68% Cap), 07/20/2037, Series 2007-40, Class SN(2)(5) | | | 121,158 | | | | 21,561 | |
6.61% (1 Month LIBOR USD + 6.70%, 6.70% Cap), 10/20/2036, Series 2006-59, Class SD(2)(5) | | | 54,430 | | | | 7,673 | |
6.66% (1 Month LIBOR USD + 6.75%, 6.75% Cap), 01/20/2035, Series 2005-3, Class SK(2)(5) | | | 178,134 | | | | 38,330 | |
6.66% (1 Month LIBOR USD + 6.75%, 6.75% Cap), 07/20/2037, Series 2007-40, Class SD(2)(5) | | | 84,377 | | | | 13,369 | |
6.68% (1 Month LIBOR USD + 6.78%, 6.78% Cap), 08/20/2037, Series 2007-50, Class AI(2)(5) | | | 29,262 | | | | 830 | |
6.71% (1 Month LIBOR USD + 6.80%, 6.80% Cap), 06/20/2035, Series 2008-79, Class CS(2)(5) | | | 91,290 | | | | 98,628 | |
6.71% (1 Month LIBOR USD + 6.80%, 6.80% Cap), 11/20/2036, Series 2006-65, Class SA(2)(5) | | | 94,714 | | | | 11,711 | |
6.74% (1 Month LIBOR USD + 6.81%, 6.81% Cap), 04/16/2037, Series 2007-17, Class JI(2)(5) | | | 145,827 | | | | 31,793 | |
6.77% (1 Month LIBOR USD + 7.70%, 7.70% Cap), 02/20/2033, Series 2003-12, Class SP(2)(5) | | | 15,415 | | | | 1,742 | |
7.00% (1 Month LIBOR USD + 44.50%, 7.00% Cap), 09/20/2034, Series 2004-71, Class ST(2)(5) | | | 19,613 | | | | 21,190 | |
7.00%, 08/16/2039, Series 2009-104, Class AB | | | 62,877 | | | | 67,861 | |
7.00%, 10/16/2040, Series 2010-130, Class CP | | | 291,665 | | | | 348,044 | |
7.21% (1 Month LIBOR USD + 7.30%, 7.30% Cap), 12/20/2038, Series 2008-95, Class DS(2)(5) | | | 246,570 | | | | 37,377 | |
7.51% (1 Month LIBOR USD + 7.60%, 7.60% Cap), 09/20/2038, Series 2009-25, Class SE(2)(5) | | | 58,046 | | | | 9,047 | |
7.63% (1 Month LIBOR USD + 7.70%, 7.70% Cap), 04/16/2038, Series 2008-33, Class XS(2)(5) | | | 56,003 | | | | 9,392 | |
8.18% (1 Month LIBOR USD + 8.25%, 8.25% Cap), 08/16/2031, Series 2001-35, Class SA(2)(5) | | | 10,789 | | | | 46 | |
13.21% (1 Month LIBOR USD + 13.40%, 13.40% Cap), 10/20/2037, Series 2008-7, Class SP(2)(5) | | | 14,742 | | | | 16,813 | |
14.09% (1 Month LIBOR USD + 14.26%, 14.26% Cap), 10/16/2034, Series 2004-83, Class AP(2)(5) | | | 1,007 | | | | 1,097 | |
14.70% (1 Month LIBOR USD + 14.86%, 14.86% Cap), 08/17/2034, Series 2004-73, Class AE(2)(5) | | | 3,186 | | | | 3,262 | |
16.25% (1 Month LIBOR USD + 16.43%, 16.43% Cap), 06/17/2035, Series 2005-68, Class DP(2)(5) | | | 57,636 | | | | 71,722 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
16.56% (1 Month LIBOR USD + 16.72%, 16.72% Cap), 05/18/2034, Series 2005-7, Class JM(2)(5) | | | 1,412 | | | | 1,728 | |
19.46% (1 Month LIBOR USD + 19.66%, 19.66% Cap), 04/16/2034, Series 2004-28, Class S(2)(5) | | | 27,718 | | | | 38,994 | |
19.67% (1 Month LIBOR USD + 19.95%, 19.95% Cap), 11/20/2037, Series 2008-7, Class SK(2)(5) | | | 10,391 | | | | 13,251 | |
19.92% (1 Month LIBOR USD + 20.21%, 20.21% Cap), 09/20/2037, Series 2007-53, Class SW(2)(5) | | | 20,591 | | | | 26,873 | |
20.58% (1 Month LIBOR USD + 20.83%, 20.83% Cap), 08/16/2035, Series 2005-66, Class SP(2)(5) | | | 10,422 | | | | 15,440 | |
22.38% (1 Month LIBOR USD + 22.73%, 22.73% Cap), 08/20/2035, Series 2005-65, Class SA(2)(5) | | | 3,093 | | | | 4,984 | |
24.11% (1 Month LIBOR USD + 24.38%, 24.38% Cap), 10/16/2034, Series 2004-89, Class LS(2)(5) | | | 15,601 | | | | 24,483 | |
29.01% (1 Month LIBOR USD + 29.46%, 29.46% Cap), 09/20/2034, Series 2004-71, Class SB(2)(5) | | | 19,613 | | | | 30,379 | |
Ginnie Mae I Pool | | | | | | | | |
3.00%, 05/15/2043 | | | 358,153 | | | | 380,678 | |
3.00%, 07/15/2045 | | | 971,688 | | | | 1,018,408 | |
3.50%, 01/15/2042 | | | 2,896,305 | | | | 3,109,081 | |
3.50%, 03/15/2043 | | | 906,355 | | | | 1,005,625 | |
3.50%, 04/15/2043 | | | 2,350,006 | | | | 2,525,845 | |
3.50%, 06/15/2043 | | | 1,350,582 | | | | 1,451,738 | |
3.50%, 07/15/2043 | | | 411,271 | | | | 456,328 | |
4.00%, 06/15/2039 | | | 273,048 | | | | 300,380 | |
4.00%, 10/15/2040 | | | 133,951 | | | | 148,344 | |
4.50%, 04/15/2040 | | | 1,077,217 | | | | 1,209,550 | |
5.50%, 04/15/2033 | | | 192,288 | | | | 224,002 | |
5.50%, 06/15/2033 | | | 1,728 | | | | 1,973 | |
5.50%, 12/15/2033 | | | 7,739 | | | | 9,017 | |
5.50%, 07/15/2034 | | | 2,731 | | | | 3,071 | |
5.50%, 09/15/2034 | | | 2,970 | | | | 3,313 | |
6.00%, 11/15/2028 | | | 4,576 | | | | 5,123 | |
6.50%, 01/15/2024 | | | 1,620 | | | | 1,805 | |
6.50%, 03/15/2028 | | | 5,856 | | | | 6,525 | |
6.50%, 09/15/2028 | | | 12,422 | | | | 13,842 | |
6.50%, 10/15/2028 | | | 522 | | | | 581 | |
6.50%, 01/15/2032 | | | 40,158 | | | | 46,960 | |
6.50%, 07/15/2032 | | | 2,066 | | | | 2,302 | |
6.50%, 02/15/2033 | | | 7,836 | | | | 8,820 | |
6.50%, 04/15/2033 | | | 5,464 | | | | 6,159 | |
6.50%, 12/15/2035 | | | 46,056 | | | | 53,845 | |
7.00%, 08/15/2023 | | | 83 | | | | 84 | |
7.00%, 09/15/2023 | | | 3,238 | | | | 3,338 | |
7.00%, 11/15/2023 | | | 195 | | | | 204 | |
7.00%, 02/15/2024 | | | 655 | | | | 657 | |
7.00%, 09/15/2031 | | | 51,573 | | | | 60,073 | |
7.00%, 02/15/2033 | | | 5,100 | | | | 5,788 | |
7.00%, 06/15/2033 | | | 13,852 | | | | 16,671 | |
7.00%, 06/15/2035 | | | 126,058 | | | | 147,617 | |
7.00%, 04/15/2037 | | | 12,731 | | | | 14,061 | |
7.50%, 03/15/2023 | | | 59 | | | | 60 | |
7.50%, 11/15/2026 | | | 295 | | | | 297 | |
7.50%, 07/15/2027 | | | 706 | | | | 709 | �� |
7.50%, 07/15/2028 | | | 508 | | | | 515 | |
7.50%, 09/15/2028 | | | 2,143 | | | | 2,338 | |
7.50%, 10/15/2037 | | | 26,493 | | | | 31,035 | |
8.00%, 08/15/2028 | | | 751 | | | | 754 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
9.00%, 11/15/2024 | | | 2 | | | | 2 | |
9.50%, 10/15/2024 | | | 137 | | | | 139 | |
9.50%, 12/15/2025 | | | 2 | | | | 2 | |
Ginnie Mae II Pool | | | | | | | | |
2.00%, 03/20/2051 | | | 5,848,203 | | | | 5,959,032 | |
2.50%, 12/20/2046 | | | 1,626,087 | | | | 1,695,595 | |
2.50%, 01/20/2050 | | | 4,203,803 | | | | 4,352,008 | |
2.50%, 09/20/2050 | | | 3,908,231 | | | | 4,048,356 | |
2.50%, 09/20/2050 | | | 6,232,020 | | | | 6,514,404 | |
2.50%, 12/20/2050 | | | 10,577,389 | | | | 10,958,651 | |
2.50%, 12/20/2050 | | | 41,768,403 | | | | 43,255,930 | |
2.50%, 01/20/2051 | | | 35,548,703 | | | | 36,886,634 | |
2.50%, 03/20/2051 | | | 17,125,471 | | | | 17,764,268 | |
2.50%, 03/20/2051 | | | 21,870,214 | | | | 22,654,288 | |
2.93%, 10/20/2070(4) | | | 8,694,211 | | | | 9,287,028 | |
3.00%, 06/20/2042 | | | 202,003 | | | | 214,568 | |
3.00%, 08/20/2042 | | | 2,649,972 | | | | 2,816,318 | |
3.00%, 11/20/2042 | | | 1,484,260 | | | | 1,578,910 | |
3.00%, 12/20/2042 | | | 758,183 | | | | 808,863 | |
3.00%, 01/20/2043 | | | 754,910 | | | | 804,964 | |
3.00%, 04/20/2043 | | | 1,881,442 | | | | 1,999,651 | |
3.00%, 09/20/2043 | | | 585,394 | | | | 622,651 | |
3.00%, 10/20/2043 | | | 90,714 | | | | 96,484 | |
3.00%, 01/20/2044 | | | 509,209 | | | | 541,571 | |
3.00%, 07/20/2044 | | | 206,749 | | | | 219,480 | |
3.00%, 12/20/2044 | | | 348,498 | | | | 368,842 | |
3.00%, 04/20/2045 | | | 3,226,166 | | | | 3,423,907 | |
3.00%, 05/20/2045 | | | 578,115 | | | | 612,115 | |
3.00%, 07/20/2045 | | | 1,360,303 | | | | 1,442,265 | |
3.00%, 10/20/2045 | | | 1,541,379 | | | | 1,631,622 | |
3.00%, 11/20/2045 | | | 369,722 | | | | 391,482 | |
3.00%, 02/20/2046 | | | 542,492 | | | | 574,937 | |
3.00%, 04/20/2046 | | | 3,382,396 | | | | 3,563,600 | |
3.00%, 05/20/2046 | | | 143,149 | | | | 151,328 | |
3.00%, 07/20/2046 | | | 2,801,160 | | | | 2,956,124 | |
3.00%, 08/20/2046 | | | 3,228,182 | | | | 3,404,675 | |
3.00%, 09/20/2046 | | | 975,187 | | | | 1,028,559 | |
3.00%, 01/20/2047 | | | 2,217,408 | | | | 2,337,714 | |
3.00%, 02/20/2047 | | | 3,181,179 | | | | 3,343,564 | |
3.00%, 03/20/2047 | | | 344,321 | | | | 364,873 | |
3.00%, 12/20/2049(7) | | | 13,189,628 | | | | 13,767,263 | |
3.00%, 01/20/2050 | | | 1,552,717 | | | | 1,628,548 | |
3.00%, 04/20/2050 | | | 2,161,879 | | | | 2,264,055 | |
3.00%, 06/20/2050 | | | 2,380,963 | | | | 2,485,753 | |
3.00%, 09/20/2050 | | | 3,508,480 | | | | 3,720,298 | |
3.00%, 09/20/2050 | | | 9,574,698 | | | | 10,372,313 | |
3.00%, 12/20/2070(4) | | | 3,811,560 | | | | 4,115,317 | |
3.05%, 09/20/2070(4) | | | 5,025,754 | | | | 5,434,867 | |
3.08%, 06/20/2070(4) | | | 5,616,050 | | | | 6,078,834 | |
3.50%, 10/20/2042 | | | 2,986,698 | | | | 3,203,098 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
3.50%, 11/20/2042 | | | 1,028,696 | | | | 1,104,352 | |
3.50%, 05/20/2043 | | | 712,666 | | | | 764,891 | |
3.50%, 03/20/2045 | | | 822,129 | | | | 876,365 | |
3.50%, 04/20/2045 | | | 6,355,450 | | | | 6,776,164 | |
3.50%, 10/20/2045 | | | 5,351,852 | | | | 5,702,442 | |
3.50%, 01/20/2046 | | | 3,232,422 | | | | 3,444,149 | |
3.50%, 02/20/2046 | | | 11,573,015 | | | | 12,335,790 | |
3.50%, 03/20/2046 | | | 944,008 | | | | 1,005,826 | |
3.50%, 04/20/2046 | | | 20,924,115 | | | | 22,214,942 | |
3.50%, 05/20/2046 | | | 6,230,244 | | | | 6,640,325 | |
3.50%, 06/20/2046 | | | 2,869,374 | | | | 3,054,555 | |
3.50%, 07/20/2046(7) | | | 6,158,850 | | | | 6,554,545 | |
3.50%, 08/20/2046 | | | 906,066 | | | | 964,659 | |
3.50%, 09/20/2046 | | | 711,618 | | | | 756,798 | |
3.50%, 11/20/2046 | | | 1,089,658 | | | | 1,158,026 | |
3.50%, 12/20/2046 | | | 4,707,617 | | | | 5,011,994 | |
3.50%, 01/20/2047 | | | 344,762 | | | | 367,397 | |
3.50%, 02/20/2047 | | | 3,757,812 | | | | 3,994,629 | |
3.50%, 03/20/2047 | | | 2,951,191 | | | | 3,130,507 | |
3.50%, 04/20/2047 | | | 505,950 | | | | 532,798 | |
3.50%, 05/20/2047 | | | 5,075,802 | | | | 5,385,951 | |
3.50%, 06/20/2047 | | | 2,694,442 | | | | 2,853,986 | |
3.50%, 08/20/2047 | | | 463,436 | | | | 491,431 | |
3.50%, 11/20/2047 | | | 9,327,472 | | | | 9,899,509 | |
3.50%, 12/20/2047 | | | 1,558,622 | | | | 1,648,362 | |
3.50%, 04/20/2048 | | | 4,373,353 | | | | 4,635,328 | |
3.50%, 06/20/2049 | | | 1,681,272 | | | | 1,766,056 | |
3.50%, 11/20/2049 | | | 4,927,603 | | | | 5,225,284 | |
3.50%, 08/20/2050 | | | 9,518,308 | | | | 10,434,763 | |
3.50%, 01/20/2051 | | | 10,924,797 | | | | 12,002,389 | |
4.00%, 10/20/2040 | | | 1,277,478 | | | | 1,397,705 | |
4.00%, 06/20/2042 | | | 1,706,241 | | | | 1,880,797 | |
4.00%, 10/20/2042 | | | 3,985,677 | | | | 4,367,799 | |
4.00%, 12/20/2042 | | | 1,929,731 | | | | 2,114,741 | |
4.00%, 02/20/2043 | | | 828,117 | | | | 907,388 | |
4.00%, 10/20/2043 | | | 2,413,262 | | | | 2,606,387 | |
4.00%, 11/20/2044 | | | 1,366,021 | | | | 1,490,452 | |
4.00%, 12/20/2044 | | | 995,803 | | | | 1,085,860 | |
4.00%, 03/20/2045 | | | 261,334 | | | | 285,709 | |
4.00%, 05/20/2045 | | | 3,195,798 | | | | 3,465,022 | |
4.00%, 06/20/2045 | | | 654,994 | | | | 708,439 | |
4.00%, 08/20/2045 | | | 7,770,093 | | | | 8,391,564 | |
4.00%, 10/20/2045 | | | 2,055,633 | | | | 2,221,759 | |
4.00%, 11/20/2045 | | | 2,926,133 | | | | 3,172,070 | |
4.00%, 12/20/2045 | | | 75,934 | | | | 82,095 | |
4.00%, 01/20/2046 | | | 965,580 | | | | 1,044,329 | |
4.00%, 02/20/2046 | | | 326,289 | | | | 353,438 | |
4.00%, 03/20/2046 | | | 630,500 | | | | 683,221 | |
4.00%, 04/20/2046 | | | 1,654,126 | | | | 1,790,499 | |
4.00%, 05/20/2046 | | | 2,798,904 | | | | 3,011,496 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
4.00%, 06/20/2046 | | | 1,336,885 | | | | 1,445,123 | |
4.00%, 11/20/2046 | | | 1,204,260 | | | | 1,301,146 | |
4.00%, 02/20/2047 | | | 1,873,021 | | | | 2,010,050 | |
4.00%, 03/20/2047 | | | 3,819,684 | | | | 4,097,583 | |
4.00%, 05/20/2047 | | | 305,591 | | | | 327,047 | |
4.00%, 05/20/2047 | | | 319,333 | | | | 341,787 | |
4.00%, 06/20/2047 | | | 1,169,382 | | | | 1,252,655 | |
4.00%, 07/20/2047 | | | 5,691,166 | | | | 6,072,428 | |
4.00%, 09/20/2047 | | | 1,794,138 | | | | 1,913,270 | |
4.00%, 12/20/2047 | | | 2,592,724 | | | | 2,767,544 | |
4.00%, 01/20/2048 | | | 1,421,523 | | | | 1,512,721 | |
4.00%, 06/20/2048 | | | 4,544,167 | | | | 4,836,846 | |
4.00%, 01/20/2050 | | | 6,001,143 | | | | 6,348,266 | |
4.25%, 12/20/2047 | | | 1,438,737 | | | | 1,612,031 | |
4.39%, 05/20/2063(4) | | | 1,366 | | | | 1,406 | |
4.50%, 06/20/2040 | | | 442,633 | | | | 489,520 | |
4.50%, 01/20/2041 | | | 381,338 | | | | 427,335 | |
4.50%, 03/20/2041 | | | 338,148 | | | | 373,972 | |
4.50%, 05/20/2041 | | | 168,216 | | | | 186,037 | |
4.50%, 06/20/2041 | | | 1,199,100 | | | | 1,326,141 | |
4.50%, 09/20/2041 | | | 400,124 | | | | 442,517 | |
4.50%, 09/20/2043 | | | 974,355 | | | | 1,077,543 | |
4.50%, 10/20/2043 | | | 1,872,515 | | | | 2,070,920 | |
4.50%, 12/20/2043 | | | 1,022,131 | | | | 1,130,420 | |
4.50%, 10/20/2045 | | | 11,526,083 | | | | 12,682,967 | |
4.50%, 01/20/2046 | | | 1,556,234 | | | | 1,720,471 | |
4.50%, 07/20/2046 | | | 821,726 | | | | 908,327 | |
4.50%, 09/20/2046 | | | 1,360,105 | | | | 1,503,998 | |
4.50%, 11/20/2046 | | | 2,308,695 | | | | 2,547,953 | |
4.50%, 03/20/2047 | | | 441,089 | | | | 477,882 | |
4.50%, 07/20/2047 | | | 4,392,415 | | | | 4,753,960 | |
4.50%, 08/20/2047 | | | 1,118,975 | | | | 1,208,459 | |
4.50%, 09/20/2047 | | | 5,744,448 | | | | 6,186,879 | |
4.50%, 01/20/2048 | | | 879,008 | | | | 949,707 | |
4.50%, 02/20/2048 | | | 4,140,180 | | | | 4,413,695 | |
4.50%, 03/20/2048 | | | 435,923 | | | | 468,633 | |
4.50%, 04/20/2048 | | | 379,489 | | | | 407,039 | |
4.50%, 04/20/2048 | | | 1,775,793 | | | | 1,938,759 | |
4.50%, 04/20/2048 | | | 2,577,808 | | | | 2,794,707 | |
4.50%, 04/20/2048 | | | 2,591,129 | | | | 2,854,856 | |
4.50%, 05/20/2048 | | | 1,580,373 | | | | 1,698,379 | |
4.50%, 05/20/2048 | | | 4,211,977 | | | | 4,502,749 | |
4.50%, 05/20/2048 | | | 4,470,394 | | | | 4,931,058 | |
4.50%, 09/20/2048 | | | 945,194 | | | | 1,015,599 | |
4.50%, 11/20/2049 | | | 8,250,418 | | | | 9,005,634 | |
5.00%, 10/20/2037 | | | 197,002 | | | | 222,110 | |
5.00%, 07/20/2040 | | | 114,480 | | | | 129,214 | |
5.00%, 06/20/2044 | | | 508,948 | | | | 576,327 | |
5.00%, 07/20/2044 | | | 444,666 | | | | 503,548 | |
5.00%, 08/20/2045 | | | 539,093 | | | | 606,104 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.00%, 09/20/2046 | | | 1,248,212 | | | | 1,413,451 | |
5.00%, 10/20/2047 | | | 224,713 | | | | 245,548 | |
5.00%, 11/20/2047 | | | 1,085,583 | | | | 1,188,210 | |
5.00%, 06/20/2048 | | | 1,691,693 | | | | 1,849,047 | |
5.00%, 07/20/2048 | | | 636,264 | | | | 702,832 | |
5.00%, 07/20/2048 | | | 3,244,475 | | | | 3,516,811 | |
5.00%, 02/20/2049 | | | 8,201,400 | | | | 8,850,993 | |
5.00%, 07/20/2049 | | | 515,125 | | | | 572,594 | |
5.00%, 08/20/2049 | | | 8,353,498 | | | | 9,233,549 | |
5.50%, 09/20/2039 | | | 80,693 | | | | 93,501 | |
6.00%, 03/20/2028 | | | 4,029 | | | | 4,547 | |
6.00%, 11/20/2033 | | | 3,112 | | | | 3,644 | |
6.00%, 09/20/2038 | | | 290,518 | | | | 331,272 | |
6.00%, 11/20/2038 | | | 1,408 | | | | 1,565 | |
6.00%, 08/20/2039 | | | 130,457 | | | | 149,110 | |
6.50%, 07/20/2029 | | | 47,027 | | | | 53,620 | |
7.00%, 08/20/2038 | | | 12,524 | | | | 14,635 | |
7.50%, 02/20/2028 | | | 814 | | | | 902 | |
7.50%, 09/20/2028 | | | 2,201 | | | | 2,445 | |
8.00%, 12/20/2025 | | | 296 | | | | 321 | |
8.00%, 06/20/2026 | | | 702 | | | | 769 | |
8.00%, 08/20/2026 | | | 535 | | | | 595 | |
8.00%, 09/20/2026 | | | 645 | | | | 720 | |
8.00%, 11/20/2026 | | | 571 | | | | 641 | |
8.00%, 10/20/2027 | | | 1,337 | | | | 1,485 | |
8.00%, 11/20/2027 | | | 1,263 | | | | 1,399 | |
8.00%, 12/20/2027 | | | 744 | | | | 834 | |
8.00%, 06/20/2028 | | | 432 | | | | 436 | |
8.00%, 08/20/2028 | | | 32 | | | | 32 | |
8.00%, 09/20/2028 | | | 216 | | | | 217 | |
8.50%, 03/20/2025 | | | 149 | | | | 152 | |
8.50%, 04/20/2025 | | | 584 | | | | 608 | |
8.50%, 05/20/2025 | | | 1,675 | | | | 1,809 | |
GMACM Mortgage Loan Trust 2005-AR3 | | | | | | | | |
3.11%, 06/19/2035, Series 2005-AR3, Class 3A4(4) | | | 53,547 | | | | 51,781 | |
GS Mortgage Securities Corp. II | | | | | | | | |
4.26%, 07/10/2051, Series 2018-GS10, Class A3(4) | | | 28,521,000 | | | | 31,294,254 | |
GS Mortgage Securities Corp. Trust 2012-ALOHA | | | | | | | | |
3.55%, 04/10/2034, Series 2012-ALOH, Class A(3) | | | 4,200,000 | | | | 4,246,159 | |
GS Mortgage Securities Corp. Trust 2021-RENT | | | | | | | | |
0.79% (1 Month LIBOR USD + 0.70%, 0.70% Floor), 11/21/2035, Series 2021-RENT, Class A(2)(3) | | | 5,125,000 | | | | 5,127,456 | |
GS Mortgage Securities Trust 2006-GG8 | | | | | | | | |
1.27%, 11/10/2039, Series 2006-GG8, Class X(3)(4) | | | 1,200,464 | | | | 2,967 | |
GS Mortgage Securities Trust 2012-GCJ9 | | | | | | | | |
2.77%, 11/10/2045, Series 2012-GCJ9, Class A3 | | | 12,826,934 | | | | 13,103,919 | |
GS Mortgage Securities Trust 2013-GC13 | | | | | | | | |
3.87%, 07/10/2046, Series 2013-GC13, Class A4(4) | | | 5,880,000 | | | | 6,139,790 | |
GS Mortgage Securities Trust 2013-GC16 | | | | | | | | |
1.19%, 11/10/2046, Series 2013-GC16, Class XA(4) | | | 15,886,288 | | | | 315,966 | |
GS Mortgage Securities Trust 2013-GCJ12 | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
3.14%, 06/10/2046, Series 2013-GC12, Class A4 | | | 1,260,000 | | | | 1,310,468 | |
GS Mortgage Securities Trust 2014-GC18 | | | | | | | | |
4.07%, 01/10/2047, Series 2014-GC18, Class A4 | | | 8,419,000 | | | | 9,011,278 | |
GS Mortgage Securities Trust 2014-GC26 | | | | | | | | |
3.36%, 11/10/2047, Series 2014-GC26, Class A4 | | | 7,918,981 | | | | 8,399,123 | |
GS Mortgage Securities Trust 2015-GC28 | | | | | | | | |
3.14%, 02/10/2048, Series 2015-GC28, Class A4 | | | 8,722,029 | | | | 9,205,957 | |
GS Mortgage Securities Trust 2016-GS4 | | | | | | | | |
3.18%, 11/10/2049, Series 2016-GS4, Class A3 | | | 12,000,000 | | | | 12,647,539 | |
3.44%, 11/10/2049, Series 2016-GS4, Class A4(4) | | | 1,317,000 | | | | 1,443,033 | |
GS Mortgage Securities Trust 2020-GC45 | | | | | | | | |
2.91%, 02/13/2053, Series 2020-GC45, Class A5 | | | 2,550,000 | | | | 2,733,635 | |
GSMPS Mortgage Loan Trust 2004-4 | | | | | | | | |
0.49% (1 Month LIBOR USD + 0.40%, 0.40% Floor), 06/25/2034, Series 2004-4, Class 1AF(2)(3) | | | 45,096 | | | | 40,752 | |
GSMPS Mortgage Loan Trust 2005-RP2 | | | | | | | | |
0.44% (1 Month LIBOR USD + 0.35%, 0.35% Floor), 03/25/2035, Series 2005-RP2, Class 1AF(2)(3) | | | 77,973 | | | | 72,743 | |
GSMPS Mortgage Loan Trust 2005-RP3 | | | | | | | | |
0.44% (1 Month LIBOR USD + 0.35%, 0.35% Floor, 9.50% Cap), 09/25/2035, Series 2005-RP3, Class 1AF(2)(3) | | | 516,397 | | | | 441,687 | |
4.25%, 09/25/2035, Series 2005-RP3, Class 1AS(3)(4) | | | 380,722 | | | | 44,108 | |
GSR Mortgage Loan Trust 2003-3F | | | | | | | | |
5.75%, 04/25/2033, Series 2003-3F, Class 4A3 | | | 7,084 | | | | 7,326 | |
GSR Mortgage Loan Trust 2004-13F | | | | | | | | |
6.00%, 11/25/2034, Series 2004-13F, Class 3A3 | | | 39,960 | | | | 41,576 | |
GSR Mortgage Loan Trust 2004-6F | | | | | | | | |
5.50%, 05/25/2034, Series 2004-6F, Class 2A4 | | | 41,621 | | | | 43,238 | |
6.50%, 05/25/2034, Series 2004-6F, Class 3A4 | | | 27,899 | | | | 30,096 | |
GSR Mortgage Loan Trust 2005-5F | | | | | | | | |
0.59% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 5.50% Cap), 06/25/2035, Series 2005-5F, Class 8A3(2) | | | 13,832 | | | | 13,387 | |
GSR Mortgage Loan Trust 2005-7F | | | | | | | | |
6.00%, 09/25/2035, Series 2005-7F, Class 3A9 | | | 67,439 | | | | 70,055 | |
GSR Mortgage Loan Trust 2005-AR6 | | | | | | | | |
2.75%, 09/25/2035, Series 2005-AR6, Class 3A1(4) | | | 4,278 | | | | 4,246 | |
GSR Mortgage Loan Trust 2006-1F | | | | | | | | |
5.50%, 02/25/2036, Series 2006-1F, Class 1A3 | | | 25,218 | | | | 38,522 | |
6.00%, 02/25/2036, Series 2006-1F, Class 2A4 | | | 234,797 | | | | 169,276 | |
Headlands Residential 2019-RPL1 LLC | | | | | | | | |
3.97%, 06/25/2024, Series 2019-RPL1(1)(3) | | | 9,000,000 | | | | 9,034,568 | |
Headlands Residential LLC | | | | | | | | |
3.88%, 11/25/2024, Series 2017-RPL1, Class A(1)(3) | | | 6,170,000 | | | | 6,219,884 | |
Home Re 2018-1 Ltd. | | | | | | | | |
1.69% (1 Month LIBOR USD + 1.60%), 10/25/2028, Series 2018-1, Class M1(2)(3) | | | 556,358 | | | | 556,549 | |
Home RE 2019-1 Ltd. | | | | | | | | |
1.74% (1 Month LIBOR USD + 1.65%), 05/25/2029, Series 2019-1, Class M1(2)(3) | | | 513,119 | | | | 513,476 | |
HomeBanc Mortgage Trust 2005-3 | | | | | | | | |
0.57% (1 Month LIBOR USD + 0.48%, 0.48% Floor, 11.50% Cap), 07/25/2035, Series 2005-3, Class A1(2) | | | 47,392 | | | | 47,442 | |
Impac CMB Trust Series 2004-4 | | | | | | | | |
5.18%, 09/25/2034, Series 2004-4, Class 2A2(1) | | | 7,292 | | | | 7,586 | |
Impac CMB Trust Series 2004-7 | | | | | | | | |
0.83% (1 Month LIBOR USD + 0.74%, 11.25% Cap), 11/25/2034, Series 2004-7, Class 1A1(2) | | | 553,898 | | | | 559,429 | |
Impac CMB Trust Series 2005-4 | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
0.69% (1 Month LIBOR USD + 0.30%, 0.60% Floor, 10.25% Cap), 05/25/2035, Series 2005-4, Class 2A1(2) | | | 83,501 | | | | 83,403 | |
Impac Secured Assets CMN Owner Trust | | | | | | | | |
5.50%, 08/25/2033, Series 2003-2, Class A1 | | | 51,222 | | | | 50,279 | |
Impac Secured Assets Trust 2006-1 | | | | | | | | |
0.79% (1 Month LIBOR USD + 0.70%, 0.70% Floor, 11.50% Cap), 05/25/2036, Series 2006-1, Class 2A1(2) | | | 67,321 | | | | 67,105 | |
Independence Plaza Trust 2018-INDP | | | | | | | | |
3.76%, 07/10/2035, Series 2018-INDP, Class A(3) | | | 5,445,000 | | | | 5,771,012 | |
JP Morgan Alternative Loan Trust | | | | | | | | |
3.17%, 03/25/2036, Series 2006-A1, Class 2A1(4) | | | 20,733 | | | | 19,888 | |
JP Morgan Chase Commercial Mortgage Securities Trust 2005-CIBC11 | | | | | | | | |
0.22%, 08/12/2037, Series 2005-CB11, Class X1(3)(4) | | | 862,442 | | | | 165 | |
JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC15 | | | | | | | | |
7.69%, 06/12/2043, Series 2006-CB15, Class X1(4) | | | 1,472,399 | | | | 461 | |
JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP12 | | | | | | | | |
0.00%, 02/15/2051, Series 2007-LD12, Class X(4) | | | 853,777 | | | | 9 | |
JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11 | | | | | | | | |
2.96%, 04/15/2046, Series 2013-LC11, Class A5 | | | 7,152,087 | | | | 7,414,582 | |
JP Morgan Chase Commercial Mortgage Securities Trust 2019-BKWD | | | | | | | | |
1.07% (1 Month LIBOR USD + 1.00%, 1.00% Floor), 09/15/2029, Series 2019-BKWD, Class A(2)(3) | | | 9,200,000 | | | | 9,211,778 | |
JP Morgan Mortgage Trust 2004-A3 | | | | | | | | |
2.30%, 07/25/2034, Series 2004-A3, Class 4A1(4) | | | 3,558 | | | | 3,675 | |
JP Morgan Mortgage Trust 2004-A4 | | | | | | | | |
2.53%, 09/25/2034, Series 2004-A4, Class 1A1(4) | | | 13,708 | | | | 13,502 | |
JP Morgan Mortgage Trust 2004-S1 | | | | | | | | |
5.00%, 09/25/2034, Series 2004-S1, Class 1A7 | | | 4,197 | | | | 4,355 | |
JP Morgan Mortgage Trust 2005-A1 | | | | | | | | |
2.70%, 02/25/2035, Series 2005-A1, Class 3A4(4) | | | 51,149 | | | | 50,595 | |
JP Morgan Mortgage Trust 2005-A4 | | | | | | | | |
2.70%, 07/25/2035, Series 2005-A4, Class 1A1(4) | | | 44,934 | | | | 46,572 | |
JP Morgan Mortgage Trust 2006-A2 | | | | | | | | |
2.47%, 08/25/2034, Series 2006-A2, Class 4A1(4) | | | 288,735 | | | | 303,138 | |
2.51%, 11/25/2033, Series 2006-A2, Class 5A3(4) | | | 146,861 | | | | 148,320 | |
JP Morgan Mortgage Trust 2006-A3 | | | | | | | | |
2.80%, 08/25/2034, Series 2006-A3, Class 6A1(4) | | | 44,670 | | | | 44,911 | |
JP Morgan Mortgage Trust 2006-A7 | | | | | | | | |
3.09%, 01/25/2037, Series 2006-A7, Class 2A2(4) | | | 38,742 | | | | 36,217 | |
3.09%, 01/25/2037, Series 2006-A7, Class 2A4R(4) | | | 67,959 | | | | 63,530 | |
JP Morgan Mortgage Trust 2007-A1 | | | | | | | | |
2.58%, 07/25/2035, Series 2007-A1, Class 5A1(4) | | | 35,367 | | | | 36,127 | |
2.58%, 07/25/2035, Series 2007-A1, Class 5A2(4) | | | 539,491 | | | | 551,097 | |
JP Morgan Mortgage Trust 2007-A2 | | | | | | | | |
3.08%, 04/25/2037, Series 2007-A2, Class 2A3(4) | | | 139,853 | | | | 125,486 | |
JPMBB Commercial Mortgage Securities Trust 2013-C17 | | | | | | | | |
3.93%, 01/15/2047, Series 2013-C17, Class A3 | | | 2,138,291 | | | | 2,217,564 | |
JPMBB Commercial Mortgage Securities Trust 2014-C19 | | | | | | | | |
3.67%, 04/15/2047, Series 2014-C19, Class A3 | | | 669,544 | | | | 674,451 | |
JPMBB Commercial Mortgage Securities Trust 2014-C25 | | | | | | | | |
3.41%, 11/15/2047, Series 2014-C25, Class A4A1 | | | 7,391,436 | | | | 7,848,495 | |
JPMCC Commercial Mortgage Securities Trust 2017-JP5 | | | | | | | | |
3.46%, 03/15/2050, Series 2017-JP5, Class A4 | | | 12,460,000 | | | | 13,548,296 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
JPMCC Commercial Mortgage Securities Trust 2017-JP7 | | | | | | | | |
3.19%, 09/15/2050, Series 2017-JP7, Class A4 | | | 20,000,000 | | | | 21,503,846 | |
Ladder Capital Commercial Mortgage 2013-GCP Mortgage Trust | | | | | | | | |
3.99%, 02/15/2036, Series 2013-GCP, Class A2(3) | | | 1,027,000 | | | | 1,149,202 | |
LB-UBS Commercial Mortgage Trust 2007-C2 | | | | | | | | |
0.34%, 02/15/2040, Series 2007-C2, Class XW(4) | | | 285,872 | | | | 12 | |
LCCM 2017-LC26 | | | | | | | | |
3.29%, 07/12/2050, Series 2017-LC26, Class A3(3) | | | 20,300,000 | | | | 21,617,032 | |
Legacy Mortgage Asset Trust 2019-GS6 | | | | | | | | |
3.00%, 06/25/2059, Series 2019-GS6, Class A1(1)(3) | | | 818,783 | | | | 821,169 | |
Legacy Mortgage Asset Trust 2019-PR1 | | | | | | | | |
3.86%, 09/25/2059, Series 2019-PR1, Class A1(1)(3) | | | 14,851,484 | | | | 14,934,836 | |
Legacy Mortgage Asset Trust 2020-GS1 | | | | | | | | |
2.88%, 10/25/2059, Series 2020-GS1, Class A1(1)(3) | | | 5,203,279 | | | | 5,240,705 | |
Legacy Mortgage Asset Trust 2021-GS1 | | | | | | | | |
1.89%, 10/25/2066, Series 2021-GS1, Class A1(1)(3) | | | 6,226,037 | | | | 6,237,922 | |
Legacy Mortgage Asset Trust 2021-GS2 | | | | | | | | |
1.75%, 04/25/2061, Series 2021-GS2, Class A1(1)(3) | | | 6,596,251 | | | | 6,602,972 | |
Lehman Mortgage Trust 2006-2 | | | | | | | | |
5.95%, 04/25/2036, Series 2006-2, Class 1A1(4) | | | 43,033 | | | | 36,346 | |
Lehman Mortgage Trust 2007-6 | | | | | | | | |
6.00%, 07/25/2037, Series 2007-6, Class 1A8 | | | 14,620 | | | | 14,457 | |
Lehman Mortgage Trust 2008-2 | | | | | | | | |
6.00%, 03/25/2038, Series 2008-2, Class 1A6 | | | 253,890 | | | | 135,945 | |
LHOME Mortgage Trust 2019-RTL3 | | | | | | | | |
3.87%, 07/25/2024, Series 2019-RTL3, Class A1(3) | | | 9,210,000 | | | | 9,288,230 | |
LHOME Mortgage Trust 2021-RTL1 | | | | | | | | |
2.09%, 09/25/2026, Series 2021-RTL1, Class A1(3)(4) | | | 4,790,000 | | | | 4,782,562 | |
MASTR Adjustable Rate Mortgages Trust 2004-13 | | | | | | | | |
2.70%, 04/21/2034, Series 2004-13, Class 2A1(4) | | | 77,293 | | | | 77,459 | |
MASTR Adjustable Rate Mortgages Trust 2004-15 | | | | | | | | |
2.62%, 12/25/2034, Series 2004-15, Class 3A1(4) | | | 8,891 | | | | 8,726 | |
MASTR Adjustable Rate Mortgages Trust 2004-3 | | | | | | | | |
2.26%, 04/25/2034, Series 2004-3, Class 4A2(4) | | | 19,187 | | | | 19,281 | |
MASTR Alternative Loan Trust 2003-9 | | | | | | | | |
6.00%, 12/25/2033, Series 2003-9, Class 2A1 | | | 23,631 | | | | 24,476 | |
6.00%, 01/25/2034, Series 2003-9, Class 8A1 | | | 15,451 | | | | 15,982 | |
MASTR Alternative Loan Trust 2004-10 | | | | | | | | |
4.50%, 09/25/2021, Series 2004-10, Class 1A1 | | | 747 | | | | 748 | |
MASTR Alternative Loan Trust 2004-13 | | | | | | | | |
5.50%, 01/25/2025, Series 2004-13, Class 2A1 | | | 1,059 | | | | 617 | |
MASTR Alternative Loan Trust 2004-3 | | | | | | | | |
6.00%, 04/25/2034, Series 2004-3, Class 3A1 | | | 154,767 | | | | 156,756 | |
6.25%, 04/25/2034, Series 2004-3, Class 2A1 | | | 32,034 | | | | 32,483 | |
MASTR Alternative Loan Trust 2004-6 | | | | | | | | |
0.00%, 07/25/2034, Series 2004-6, Class 30PO | | | 23,430 | | | | 19,766 | |
6.00%, 07/25/2034, Series 2004-6, Class 7A1 | | | 16,060 | | | | 16,731 | |
MASTR Alternative Loan Trust 2004-7 | | | | | | | | |
0.00%, 08/25/2034, Series 2004-7, Class 30PO | | | 14,023 | | | | 11,876 | |
MASTR Alternative Loan Trust 2004-8 | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.50%, 09/25/2021, Series 2004-8, Class 6A1 | | | 291 | | | | 303 | |
MASTR Alternative Loan Trust 2005-6 | | | | | | | | |
5.50%, 12/25/2035, Series 2005-6, Class 3A1 | | | 13,614 | | | | 13,003 | |
MASTR Asset Securitization Trust 2003-12 | | | | | | | | |
0.00%, 12/25/2033, Series 2003-12, Class 30PO | | | 1,703 | | | | 1,542 | |
5.00%, 12/25/2033, Series 2003-12, Class 6A1 | | | 8,041 | | | | 8,104 | |
MASTR Asset Securitization Trust 2004-1 | | | | | | | | |
0.00%, 02/25/2034, Series 2004-1, Class 30PO | | | 1,337 | | | | 1,112 | |
MASTR Asset Securitization Trust 2004-4 | | | | | | | | |
5.25%, 12/26/2033, Series 2004-4, Class 1A6 | | | 27,549 | | | | 28,418 | |
MASTR Asset Securitization Trust 2004-6 | | | | | | | | |
0.00%, 07/25/2021, Series 2004-6, Class 15PO | | | 37 | | | | 37 | |
MASTR Reperforming Loan Trust 2005-2 | | | | | | | | |
0.44% (1 Month LIBOR USD + 0.35%, 0.35% Floor, 9.50% Cap), 05/25/2035, Series 2005-2, Class 1A1F(2)(3) | | | 746,145 | | | | 403,682 | |
MASTR Reperforming Loan Trust 2006-2 | | | | | | | | |
4.23%, 05/25/2036, Series 2006-2, Class 1A1(3)(4) | | | 85,570 | | | | 78,918 | |
MASTR Resecuritization Trust 2005-PO | | | | | | | | |
0.00%, 05/28/2035, Series 2005-PO, Class 3PO(3) | | | 15,041 | | | | 11,268 | |
Mello Warehouse Securitization Trust 2020-1 | | | | | | | | |
0.99% (1 Month LIBOR USD + 0.90%, 0.90% Floor), 10/25/2053, Series 2020-1, Class A(2)(3) | | | 5,585,000 | | | | 5,584,851 | |
Mello Warehouse Securitization Trust 2021-1 | | | | | | | | |
0.81% (1 Month LIBOR USD + 0.70%, 0.70% Floor), 02/25/2055, Series 2021-1, Class A(2)(3) | | | 8,500,000 | | | | 8,499,999 | |
Merrill Lynch Mortgage Backed Securities Trust Series 2007-3 | | | | | | | | |
1.26%, 06/25/2037, Series 2007-3, Class 1A3(4) | | | 55,585 | | | | 52,940 | |
Merrill Lynch Mortgage Investors Trust Series 2003-A5 | | | | | | | | |
2.20%, 08/25/2033, Series 2003-A5, Class 2A6(4) | | | 18,605 | | | | 18,704 | |
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E | | | | | | | | |
0.71% (1 Month LIBOR USD + 0.62%, 0.62% Floor, 11.75% Cap), 10/25/2028, Series 2003-E, Class A1(2) | | | 48,774 | | | | 49,322 | |
Merrill Lynch Mortgage Investors Trust Series MLCC 2003-F | | | | | | | | |
0.73% (1 Month LIBOR USD + 0.64%, 0.64% Floor, 11.75% Cap), 10/25/2028, Series 2003-F, Class A1(2) | | | 50,881 | | | | 51,143 | |
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-1 | | | | | | | | |
2.12%, 12/25/2034, Series 2004-1, Class 2A1(4) | | | 50,885 | | | | 51,722 | |
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A | | | | | | | | |
0.55% (1 Month LIBOR USD + 0.46%, 0.46% Floor, 11.75% Cap), 04/25/2029, Series 2004-A, Class A1(2) | | | 19,859 | | | | 19,718 | |
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C | | | | | | | | |
0.76% (6 Month LIBOR USD + 0.60%, 0.60% Floor, 11.75% Cap), 07/25/2029, Series 2004-C, Class A2(2) | | | 36,334 | | | | 36,142 | |
Merrill Lynch Mortgage Investors Trust Series MLMI 2004-A4 | | | | | | | | |
2.73%, 08/25/2034, Series 2004-A4, Class A2(4) | | | 42,740 | | | | 44,262 | |
Merrill Lynch Mortgage Investors Trust Series MLMI 2005-A2 | | | | | | | | |
2.81%, 02/25/2035, Series 2005-A2, Class A1(4) | | | 81,444 | | | | 82,103 | |
MFA 2021-RPL1 Trust | | | | | | | | |
1.13%, 07/25/2060, Series 2021-RPL1, Class A1(3)(4) | | | 15,365,731 | | | | 15,315,938 | |
MHC Commercial Mortgage Trust 2021-MHC | | | | | | | | |
1.42% (1 Month LIBOR USD + 1.35%, 1.35% Floor), 04/15/2038, Series 2021-MHC, Class C(2)(3) | | | 11,300,000 | | | | 11,310,646 | |
Mill City Mortgage Loan Trust 2021-NMR1 | | | | | | | | |
1.13%, 11/25/2060, Series 2021-NMR1, Class A1(3)(4) | | | 3,317,907 | | | | 3,330,847 | |
ML-CFC Commercial Mortgage Trust 2006-4 | | | | | | | | |
1.39%, 12/12/2049, Series 2006-4, Class XC(3)(4) | | | 25,227 | | | | 1 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6 | | | | | | | | |
2.86%, 11/15/2045, Series 2012-C6, Class A4 | | | 6,874,059 | | | | 7,014,131 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20 | | | | | | | | |
3.25%, 02/15/2048, Series 2015-C20, Class A4 | | | 3,652,000 | | | | 3,903,611 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23 | | | | | | | | |
3.45%, 07/15/2050, Series 2015-C23, Class A3 | | | 17,606,533 | | | | 18,978,883 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24 | | | | | | | | |
3.48%, 05/15/2048, Series 2015-C24, Class A3 | | | 4,921,008 | | | | 5,279,511 | |
3.73%, 05/15/2048, Series 2015-C24, Class A4 | | | 6,507,000 | | | | 7,120,006 | |
Morgan Stanley Capital I Trust 2006-IQ12 | | | | | | | | |
0.29%, 12/15/2043, Series 2006-IQ12, Class X1(3)(4) | | | 184,417 | | | | 1 | |
Morgan Stanley Capital I Trust 2007-IQ13 | | | | | | | | |
0.65%, 03/15/2044, Series 2007-IQ13, Class X(3)(4) | | | 419,401 | | | | 640 | |
Morgan Stanley Capital I Trust 2016-UB11 | | | | | | | | |
2.53%, 08/15/2049, Series 2016-UB11, Class A3 | | | 20,000,000 | | | | 21,040,120 | |
Morgan Stanley Capital I Trust 2018-H4 | | | | | | | | |
4.31%, 12/15/2051, Series 2018-H4, Class A4 | | | 2,552,000 | | | | 2,939,642 | |
Morgan Stanley Capital I Trust 2021-L5 | | | | | | | | |
2.73%, 05/15/2054, Series 2021-L5, Class A4 | | | 4,023,000 | | | | 4,253,450 | |
Morgan Stanley Mortgage Loan Trust 2004-3 | | | | | | | | |
5.64%, 04/25/2034, Series 2004-3, Class 4A(4) | | | 120,742 | | | | 127,801 | |
Morgan Stanley Mortgage Loan Trust 2004-9 | | | | | | | | |
3.23%, 10/25/2021, Series 2004-9, Class 4A(4) | | | 7,698 | | | | 7,571 | |
Mortgage Repurchase Agreement Financing Trust | | | | | | | | |
0.58% (1 Month LIBOR USD + 0.50%), 03/10/2022, Series 2021-1, Class A2(2)(3) | | | 13,800,000 | | | | 13,801,994 | |
Mortgage Repurchase Agreement Financing Trust Series 2020-4 | | | | | | | | |
1.43% (1 Month LIBOR USD + 1.35%), 04/23/2023, Series 2020-4, Class A1(2)(3) | | | 1,605,000 | | | | 1,605,769 | |
1.43% (1 Month LIBOR USD + 1.35%), 04/23/2023, Series 2020-4, Class A2(2)(3) | | | 3,110,000 | | | | 3,111,490 | |
Mortgage Repurchase Agreement Financing Trust Series 2020-5 | | | | | | | | |
1.08% (1 Month LIBOR USD + 1.00%), 08/10/2023, Series 2020-5, Class A1(2)(3) | | | 4,890,000 | | | | 4,893,050 | |
1.08% (1 Month LIBOR USD + 1.00%), 08/10/2023, Series 2020-5, Class A2(2)(3) | | | 10,000,000 | | | | 10,006,238 | |
MortgageIT Trust 2005-2 | | | | | | | | |
0.61% (1 Month LIBOR USD + 0.52%, 0.52% Floor, 11.50% Cap), 05/25/2035, Series 2005-2, Class 1A1(2) | | | 345,022 | | | | 346,986 | |
MRA Issuance Trust 2020-7 | | | | | | | | |
1.69% (1 Month LIBOR USD + 1.60%, 1.60% Floor), 12/11/2021, Series 2020-7, Class A(2)(3) | | | 30,440,000 | | | | 30,460,349 | |
MRA Issuance Trust 2021-10 | | | | | | | | |
0.00% (1 Month LIBOR USD + 1.50%, 1.50% Floor), 02/22/2023, Series 2021-10, Class A1X(2)(3)(5)(12) | | | 13,860,000 | | | | 13,860,000 | |
MRA Issuance Trust 2021-9 | | | | | | | | |
1.29% (1 Month LIBOR USD + 1.20%, 1.20% Floor), 11/15/2021, Series 2021-9, Class A1X(2)(3)(12) | | | 9,000,000 | | | | 8,976,150 | |
MRA Issuance Trust 2021-EBO2 | | | | | | | | |
0.00%, 04/01/2022, Series 2021-EBO2(3)(4)(12) | | | 14,100,000 | | | | 14,100,000 | |
MRA Issuance Trust 2021-EBO3 | | | | | | | | |
1.86% (1 Month LIBOR USD + 1.75%, 1.75% Floor), 03/31/2023, Series 2021-EBO3, Class A1X(2)(3)(12) | | | 11,810,000 | | | | 11,810,000 | |
2.86% (1 Month LIBOR USD + 2.75%, 2.75% Floor), 03/31/2023, Series 2021-EBO3, Class A2(2)(3)(12) | | | 12,910,000 | | | | 12,910,000 | |
MRA Issuance Trust 2021-EBO5 | | | | | | | | |
1.84% (1 Month LIBOR USD + 1.75%, 1.75% Floor), 02/16/2022, Series 2021-EBO5, Class A1X(2)(3) | | | 16,400,000 | | | | 16,406,937 | |
MRCD 2019-MARK Mortgage Trust | | | | | | | | |
2.72%, 12/15/2036, Series 2019-PARK, Class D(3) | | | 6,108,000 | | | | 6,154,049 | |
2.72%, 12/15/2036, Series 2019-PARK, Class A(3) | | | 9,990,000 | | | | 10,407,599 | |
MRFC Mortgage Pass-Through Trust Series 1999-TBC2 | | | | | | | | |
0.55% (1 Month LIBOR USD + 0.48%, 0.24% Floor, 10.00% Cap), 06/15/2030, Series 2000-TBC2, Class A1(2) | | | 115,416 | | | | 115,848 | |
MRFC Mortgage Pass-Through Trust Series 2000-TBC3 | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
0.51% (1 Month LIBOR USD + 0.44%, 0.22% Floor, 10.00% Cap), 12/15/2030, Series 2000-TBC3, Class A1(2) | | | 29,619 | | | | 29,019 | |
MSG III Securitization Trust 2021-1 | | | | | | | | |
0.84% (1 Month LIBOR USD + 0.75%, 0.75% Floor), 06/25/2054, Series 2021-1, Class A(2)(3) | | | 9,535,000 | | | | 9,533,246 | |
0.99% (1 Month LIBOR USD + 0.90%, 0.90% Floor), 06/25/2054, Series 2021-1, Class B(2)(3) | | | 1,480,000 | | | | 1,479,728 | |
1.19% (1 Month LIBOR USD + 1.10%, 1.10% Floor), 06/25/2054, Series 2021-1, Class C(2)(3) | | | 1,255,000 | | | | 1,254,759 | |
1.39% (1 Month LIBOR USD + 1.30%, 1.30% Floor), 06/25/2054, Series 2021-1, Class D(2)(3) | | | 520,000 | | | | 519,896 | |
NACC Reperforming Loan REMIC Trust 2004-R2 | | | | | | | | |
6.50%, 10/25/2034, Series 2004-R2, Class A1(3)(4) | | | 42,874 | | | | 42,393 | |
New Residential Mortgage Loan Trust 2017-2 | | | | | | | | |
4.00%, 03/25/2057, Series 2017-2A, Class A3(3)(4) | | | 2,268,362 | | | | 2,421,607 | |
New Residential Mortgage Loan Trust 2017-3 | | | | | | | | |
4.00%, 04/25/2057, Series 2017-3A, Class A1(3)(4) | | | 3,844,346 | | | | 4,114,479 | |
New Residential Mortgage Loan Trust 2017-4 | | | | | | | | |
4.00%, 05/25/2057, Series 2017-4A, Class A1(3)(4) | | | 2,378,902 | | | | 2,532,259 | |
New Residential Mortgage Loan Trust 2020-RPL2 | | | | | | | | |
3.58%, 08/25/2025, Series 2020-RPL2, Class A1(3)(4) | | | 316,219 | | | | 322,095 | |
Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2003-A1 | | | | | | | | |
5.50%, 05/25/2033, Series 2003-A1, Class A1 | | | 2,308 | | | | 2,366 | |
6.00%, 05/25/2033, Series 2003-A1, Class A2 | | | 8,884 | | | | 8,964 | |
7.00%, 04/25/2033, Series 2003-A1, Class A5 | | | 7,930 | | | | 8,132 | |
Oaktown Re II Ltd. | | | | | | | | |
1.64% (1 Month LIBOR USD + 1.55%), 07/25/2028, Series 2018-1A, Class M1(2)(3) | | | 547,366 | | | | 547,495 | |
Oaktown Re III Ltd. | | | | | | | | |
1.49% (1 Month LIBOR USD + 1.40%, 1.40% Floor), 07/25/2029, Series 2019-1A, Class M1A(2)(3) | | | 145,680 | | | | 145,722 | |
PMT Credit Risk Transfer Trust 2020-2R | | | | | | | | |
3.91% (1 Month LIBOR USD + 3.82%, 3.82% Floor), 12/25/2022, Series 2020-2R, Class A(2)(3) | | | 9,472,322 | | | | 9,600,047 | |
PMT Credit Risk Transfer Trust 2021-1R | | | | | | | | |
3.01% (1 Month LIBOR USD + 2.90%, 2.90% Floor), 02/27/2024, Series 2021-1R, Class A(2)(3) | | | 17,998,605 | | | | 18,163,474 | |
Pretium Mortgage Credit Partners I 2021-NPL1 LLC | | | | | | | | |
2.24%, 09/27/2060, Series 2021-NPL1, Class A1(1)(3) | | | 11,884,426 | | | | 11,881,800 | |
Prime Mortgage Trust 2004-CL1 | | | | | | | | |
6.00%, 02/25/2034, Series 2004-CL1, Class 1A1 | | | 40,925 | | | | 41,519 | |
Provident Funding Mortgage Warehouse Securitization Trust 2021-1 | | | | | | | | |
0.79% (1 Month LIBOR USD + 0.70%, 0.70% Floor), 02/25/2055, Series 2021-1, Class A(2)(3) | | | 11,710,000 | | | | 11,673,603 | |
PRPM 2020-3 LLC | | | | | | | | |
2.86%, 09/25/2025, Series 2020-3, Class A1(1)(3) | | | 2,242,609 | | | | 2,254,516 | |
PRPM 2020-5 LLC | | | | | | | | |
3.10%, 11/25/2025, Series 2020-5, Class A1(1)(3) | | | 2,240,714 | | | | 2,255,571 | |
PRPM 2021-1 LLC | | | | | | | | |
2.12%, 01/25/2026, Series 2021-1, Class A1(3)(4) | | | 8,936,739 | | | | 8,952,884 | |
PRPM 2021-2 LLC | | | | | | | | |
2.12%, 03/25/2026, Series 2021-2, Class A1(3)(4) | | | 9,675,843 | | | | 9,693,056 | |
PRPM 2021-3 LLC | | | | | | | | |
1.87%, 04/25/2026, Series 2021-3, Class A1(1)(3) | | | 2,619,156 | | | | 2,632,011 | |
PRPM 2021-5 LLC | | | | | | | | |
1.79%, 06/25/2026, Series 2021-5, Class A1(1)(3) | | | 3,000,000 | | | | 3,000,521 | |
Radnor Re 2018-1 Ltd. | | | | | | | | |
1.49% (1 Month LIBOR USD + 1.40%), 03/25/2028, Series 2018-1, Class M1(2)(3) | | | 191,943 | | | | 191,984 | |
Radnor RE 2020-1 Ltd. | | | | | | | | |
1.04% (1 Month LIBOR USD + 0.95%, 0.95% Floor), 01/25/2030, Series 2020-1, Class M1A(2)(3) | | | 1,100,000 | | | | 1,100,116 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
RALI Series 2002-QS16 Trust | | | | | | | | |
16.43% (1 Month LIBOR USD + 16.62%, 16.62% Cap), 10/25/2049, Series 2002-QS16, Class A3(2)(5) | | | 102 | | | | 80 | |
RALI Series 2003-QS14 Trust | | | | | | | | |
5.00%, 07/25/2021, Series 2003-QS14, Class A1 | | | 995 | | | | 988 | |
RALI Series 2003-QS9 Trust | | | | | | | | |
0.00% (1 Month LIBOR USD + 7.55%, 7.55% Cap), 05/25/2049, Series 2003-QS9, Class A3(2)(5)(10) | | | 712 | | | | 0 | |
RALI Series 2004-QS6 Trust | | | | | | | | |
5.00%, 05/25/2023, Series 2004-QS6, Class A1 | | | 956 | | | | 900 | |
RALI Series 2005-QA6 Trust | | | | | | | | |
3.60%, 05/25/2035, Series 2005-QA6, Class A32(4) | | | 85,998 | | | | 58,363 | |
RALI Series 2007-QS1 Trust | | | | | | | | |
6.00%, 01/25/2037, Series 2007-QS1, Class 1A1 | | | 11,816 | | | | 11,512 | |
RBS Commercial Funding, Inc. 2013-SMV Trust | | | | | | | | |
3.26%, 03/11/2031, Series 2013-SMV, Class A(3) | | | 512,000 | | | | 523,886 | |
RBSSP Resecuritization Trust 2009-1 | | | | | | | | |
6.50%, 02/26/2036, Series 2009-1, Class 1A1(3)(4) | | | 38,959 | | | | 39,322 | |
RBSSP Resecuritization Trust 2009-12 | | | | | | | | |
5.21%, 11/25/2033, Series 2009-12, Class 1A1(3)(4) | | | 25,708 | | | | 25,642 | |
RCO V Mortgage LLC 2020-1 | | | | | | | | |
3.10%, 09/25/2025, Series 2020-1, Class A1(1)(3) | | | 10,221,948 | | | | 10,303,826 | |
Reperforming Loan REMIC Trust 2005-R1 | | | | | | | | |
0.00%, 03/25/2035, Series 2005-R1, Class 2APO(3) | | | 5,602 | | | | 3,859 | |
Residential Asset Securitization Trust 2003-A8 | | | | | | | | |
4.25%, 10/25/2021, Series 2003-A8, Class A5 | | | 1,399 | | | | 1,356 | |
Residential Asset Securitization Trust 2004-A7 | | | | | | | | |
5.50%, 10/25/2034, Series 2004-A7, Class A6 | | | 1,356,699 | | | | 1,400,526 | |
Residential Asset Securitization Trust 2005-A2 | | | | | | | | |
4.96% (1 Month LIBOR USD + 5.05%, 5.05% Cap), 03/25/2035, Series 2005-A2, Class A4(2)(5) | | | 537,336 | | | | 96,703 | |
Residential Asset Securitization Trust 2006-A4IP | | | | | | | | |
6.00%, 05/25/2036, Series 2006-A4, Class 2A5 | | | 43,432 | | | | 42,474 | |
RFMSI Series 2005-SA4 Trust | | | | | | | | |
2.80%, 09/25/2035, Series 2005-SA4, Class 1A1(4) | | | 18,061 | | | | 16,207 | |
Seasoned Credit Risk Transfer Trust 2017-4 | | | | | | | | |
3.50%, 06/25/2057, Series 2017-4, Class MT | | | 3,371,407 | | | | 3,675,947 | |
Seasoned Credit Risk Transfer Trust Series 2018-1 | | | | | | | | |
3.50%, 05/25/2057, Series 2018-1, Class M60C | | | 14,350,074 | | | | 15,276,993 | |
Seasoned Credit Risk Transfer Trust Series 2018-4 | | | | | | | | |
3.50%, 03/25/2058, Series 2018-4, Class MZ | | | 8,781,428 | | | | 10,178,836 | |
Seasoned Credit Risk Transfer Trust Series 2019-1 | | | | | | | | |
3.50%, 07/25/2058, Series 2019-1, Class MT | | | 8,816,315 | | | | 9,613,444 | |
Seasoned Credit Risk Transfer Trust Series 2019-3 | | | | | | | | |
3.50%, 10/25/2058, Series 2019-3, Class MB | | | 3,880,000 | | | | 4,428,173 | |
Seasoned Credit Risk Transfer Trust Series 2019-4 | | | | | | | | |
4.00%, 02/25/2059, Series 2019-4, Class M55D | | | 6,346,641 | | | | 6,974,484 | |
Seasoned Credit Risk Transfer Trust Series 2020-1 | | | | | | | | |
3.00%, 08/25/2059, Series 2020-1, Class M55G | | | 7,462,455 | | | | 7,900,437 | |
Seasoned Credit Risk Transfer Trust Series 2020-3 | | | | | | | | |
2.00%, 05/25/2060, Series 2020-3, Class MT | | | 6,524,182 | | | | 6,599,997 | |
3.00%, 05/25/2060, Series 2020-3, Class M5TW | | | 8,250,331 | | | | 8,754,208 | |
Sequoia Mortgage Trust 2004-10 | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
0.71% (1 Month LIBOR USD + 0.62%, 0.62% Floor, 11.50% Cap), 11/20/2034, Series 2004-10, Class A1A(2) | | | 30,679 | | | | 30,312 | |
Sequoia Mortgage Trust 2004-11 | | | | | | | | |
0.69% (1 Month LIBOR USD + 0.60%, 0.60% Floor, 11.50% Cap), 12/20/2034, Series 2004-11, Class A1(2) | | | 82,228 | | | | 84,257 | |
Sequoia Mortgage Trust 2004-12 | | | | | | | | |
0.48% (6 Month LIBOR USD + 0.32%, 0.32% Floor, 11.50% Cap), 01/20/2035, Series 2004-12, Class A3(2) | | | 76,490 | | | | 74,144 | |
Sequoia Mortgage Trust 2004-8 | | | | | | | | |
0.79% (1 Month LIBOR USD + 0.70%, 0.70% Floor, 11.50% Cap), 09/20/2034, Series 2004-8, Class A1(2) | | | 494,837 | | | | 490,352 | |
0.94% (6 Month LIBOR USD + 0.74%, 0.74% Floor, 11.50% Cap), 09/20/2034, Series 2004-8, Class A2(2) | | | 87,148 | | | | 88,599 | |
Series RR 2014-1 Trust | | | | | | | | |
0.00%, 05/25/2047, Series 2014-1, Class A(3) | | | 1,603,000 | | | | 1,503,637 | |
SLG Office Trust 2021-OVA | | | | | | | | |
2.59%, 07/15/2041, Series 2021-OVA, Class A(3) | | | 11,326,000 | | | | 11,797,602 | |
Station Place Securitization Trust 2021-WL1 | | | | | | | | |
0.74% (1 Month LIBOR USD + 0.65%, 0.65% Floor), 01/26/2054, Series 2021-WL1, Class A(2)(3) | | | 11,000,000 | | | | 11,005,891 | |
Station Place Securitization Trust Series 2021-4 | | | | | | | | |
0.99% (1 Month LIBOR USD + 0.90%, 0.90% Floor), 04/11/2022, Series 2021-4, Class A(2)(3)(12) | | | 13,100,000 | | | | 13,100,000 | |
Station Place Securitization Trust Series 2021-8 | | | | | | | | |
0.90% (1 Month LIBOR USD + 0.80%, 0.80% Floor), 06/20/2022, Series 2021-8, Class A(2)(3) | | | 11,010,000 | | | | 11,014,955 | |
Structured Asset Mortgage Investments II Trust 2004-AR5 | | | | | | | | |
0.75% (1 Month LIBOR USD + 0.66%, 0.66% Floor, 11.00% Cap), 10/19/2034, Series 2004-AR5, Class 1A1(2) | | | 89,570 | | | | 88,014 | |
Structured Asset Mortgage Investments II Trust 2005-AR5 | | | | | | | | |
0.59% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 11.00% Cap), 07/19/2035, Series 2005-AR5, Class A3(2) | | | 289,847 | | | | 293,728 | |
Structured Asset Mortgage Investments Trust 2003-CL1 | | | | | | | | |
0.49% (1 Month LIBOR USD + 0.40%, 0.40% Floor, 8.00% Cap), 07/25/2032, Series 2003-CL1, Class 1F1(2) | | | 188,888 | | | | 186,491 | |
Structured Asset Securities Corp. | | | | | | | | |
0.44% (1 Month LIBOR USD + 0.35%, 0.35% Floor), 06/25/2035, Series 2005-RF3, Class 1A(2)(3) | | | 58,842 | | | | 52,513 | |
2.24%, 12/25/2033, Series 2003-37A, Class 2A(4) | | | 100,969 | | | | 101,189 | |
2.68%, 12/25/2033, Series 2003-37A, Class 8A2(4) | | | 966,929 | | | | 982,542 | |
5.15%, 02/25/2034, Series 2004-4XS, Class 1A5(1) | | | 143,062 | | | | 145,729 | |
Structured Asset Securities Corp. Mortgage Pass-Through Ctfs Series 2003-34A | | | | | | | | |
2.74%, 11/25/2033, Series 2003-34A, Class 3A3(4) | | | 16,519 | | | | 16,793 | |
Thornburg Mortgage Securities Trust 2003-4 | | | | | | | | |
0.73% (1 Month LIBOR USD + 0.64%, 0.64% Floor, 11.50% Cap), 09/25/2043, Series 2003-4, Class A1(2) | | | 347,456 | | | | 353,727 | |
Thornburg Mortgage Securities Trust 2003-5 | | | | | | | | |
2.23%, 10/25/2043, Series 2003-5, Class 3A(4) | | | 1,667,642 | | | | 1,680,314 | |
Thornburg Mortgage Securities Trust 2004-4 | | | | | | | | |
1.94%, 12/25/2044, Series 2004-4, Class 3A(4) | | | 156,043 | | | | 155,914 | |
Thornburg Mortgage Securities Trust 2005-1 | | | | | | | | |
2.18%, 04/25/2045, Series 2005-1, Class A3(4) | | | 403,842 | | | | 410,722 | |
Toorak Mortgage Corp. 2019-2 Ltd. | | | | | | | | |
3.72%, 09/25/2022, Series 2019-2, Class A1(1) | | | 6,665,000 | | | | 6,747,103 | |
Towd Point Mortgage Trust 2021-R1 | | | | | | | | |
2.92%, 11/30/2060, Series 2021-R1, Class A1(3)(4) | | | 14,843,822 | | | | 15,191,761 | |
UBS Commercial Mortgage Trust 2012-C1 | | | | | | | | |
2.24%, 05/10/2045, Series 2012-C1, Class XA(3)(4) | | | 1,256,633 | | | | 8,310 | |
UBS Commercial Mortgage Trust 2017-C2 | | | | | | | | |
3.26%, 08/15/2050, Series 2017-C2, Class ASB | | | 10,114,000 | | | | 10,844,427 | |
UBS Commercial Mortgage Trust 2017-C5 | | | | | | | | |
3.21%, 11/15/2050, Series 2017-C5, Class A4 | | | 21,500,000 | | | | 23,046,392 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
UBS Commercial Mortgage Trust 2018-C9 | | | | | | | | |
3.85%, 03/15/2051, Series 2018-C9, Class A3 | | | 9,650,000 | | | | 10,641,681 | |
UBS-BAMLL Trust | | | | | | | | |
3.66%, 06/10/2030, Series 2012-WRM, Class A(3) | | | 1,787,000 | | | | 1,799,244 | |
UBS-Barclays Commercial Mortgage Trust 2012-C2 | | | | | | | | |
1.44%, 05/10/2063, Series 2012-C2, Class XA(3)(4) | | | 4,990,512 | | | | 45,639 | |
3.53%, 05/10/2063, Series 2012-C2, Class A4 | | | 1,073,000 | | | | 1,094,994 | |
UBS-Barclays Commercial Mortgage Trust 2013-C6 | | | | | | | | |
3.24%, 04/10/2046, Series 2013-C6, Class A4 | | | 271,000 | | | | 280,518 | |
Vendee Mortgage Trust 1993-1 | | | | | | | | |
7.25%, 02/15/2023, Series 1993-1, Class ZB | | | 51,367 | | | | 53,506 | |
Vendee Mortgage Trust 1994-1 | | | | | | | | |
5.14%, 02/15/2024, Series 1994-1, Class 1(4) | | | 22,277 | | | | 23,242 | |
6.50%, 02/15/2024, Series 1994-1, Class 2ZB | | | 67,591 | | | | 71,559 | |
Vendee Mortgage Trust 1996-1 | | | | | | | | |
6.75%, 02/15/2026, Series 1996-1, Class 1Z | | | 57,735 | | | | 64,583 | |
Vendee Mortgage Trust 1996-2 | | | | | | | | |
6.75%, 06/15/2026, Series 1996-2, Class 1Z | | | 25,835 | | | | 28,785 | |
Vendee Mortgage Trust 1997-1 | | | | | | | | |
7.50%, 02/15/2027, Series 1997-1, Class 2Z | | | 88,279 | | | | 99,193 | |
Vendee Mortgage Trust 1998-1 | | | | | | | | |
7.00%, 03/15/2028, Series 1998-1, Class 2E | | | 59,240 | | | | 65,684 | |
VNDO 2012-6AVE Mortgage Trust | | | | | | | | |
3.00%, 11/15/2030, Series 2012-6AVE, Class A(3) | | | 2,283,000 | | | | 2,345,174 | |
VOLT XCII LLC | | | | | | | | |
1.89%, 02/27/2051, Series 2021-NPL1, Class A1(1)(3) | | | 7,777,377 | | | | 7,777,838 | |
VOLT XCIII LLC | | | | | | | | |
1.89%, 02/27/2051, Series 2021-NPL2, Class A1(1)(3) | | | 15,379,286 | | | | 15,361,691 | |
VOLT XCIV LLC | | | | | | | | |
2.24%, 02/27/2051, Series 2021-NPL3, Class A1(1)(3) | | | 14,939,296 | | | | 14,953,972 | |
Wachovia Bank Commercial Mortgage Trust Series 2006-C24 | | | | | | | | |
0.00%, 03/15/2045, Series 2006-C24, Class XC(3)(4) | | | 335,600 | | | | 3 | |
WaMu Mortgage Pass-Through Certificates Series 2003-AR11 Trust | | | | | | | | |
2.81%, 10/25/2033, Series 2003-AR11, Class A6(4) | | | 125,544 | | | | 126,948 | |
WaMu Mortgage Pass-Through Certificates Series 2003-AR7 Trust | | | | | | | | |
2.66%, 08/25/2033, Series 2003-AR7, Class A7(4) | | | 41,452 | | | | 42,389 | |
WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust | | | | | | | | |
2.75%, 09/25/2033, Series 2003-AR9, Class 1A6(4) | | | 232,838 | | | | 236,822 | |
2.79%, 09/25/2033, Series 2003-AR9, Class 2A(4) | | | 33,387 | | | | 33,290 | |
WaMu Mortgage Pass-Through Certificates Series 2003-S1 Trust | | | | | | | | |
5.50%, 04/25/2033, Series 2003-S1, Class A5 | | | 42,522 | | | | 43,669 | |
WaMu Mortgage Pass-Through Certificates Series 2003-S4 | | | | | | | | |
17.21% (1 Month LIBOR USD + 17.46%, 17.46% Cap), 06/25/2033, Series 2003-S4, Class 2A10(2)(5) | | | 13,269 | | | | 15,745 | |
WaMu Mortgage Pass-Through Certificates Series 2003-S9 Trust | | | | | | | | |
0.00%, 10/25/2033, Series 2003-S9, Class P | | | 2,807 | | | | 2,474 | |
5.25%, 10/25/2033, Series 2003-S9, Class A8 | | | 175,753 | | | | 179,974 | |
WaMu Mortgage Pass-Through Certificates Series 2004-AR14 Trust | | | | | | | | |
2.79%, 01/25/2035, Series 2004-AR14, Class A1(4) | | | 1,377,445 | | | | 1,395,698 | |
WaMu Mortgage Pass-Through Certificates Series 2004-AR3 Trust | | | | | | | | |
2.58%, 06/25/2034, Series 2004-AR3, Class A2(4) | | | 68,725 | | | | 70,616 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
2.58%, 06/25/2034, Series 2004-AR3, Class A1(4) | | | 1,219,637 | | | | 1,256,078 | |
WaMu Mortgage Pass-Through Certificates Series 2004-CB2 Trust | | | | | | | | |
6.00%, 08/25/2034, Series 2004-CB2, Class 3A | | | 504,117 | | | | 546,115 | |
WaMu Mortgage Pass-Through Certificates Series 2004-CB3 Trust | | | | | | | | |
6.50%, 10/25/2034, Series 2004-CB3, Class 2A | | | 1,534,434 | | | | 1,597,702 | |
WaMu Mortgage Pass-Through Certificates Series 2004-RS2 | | | | | | | | |
5.00%, 11/25/2033, Series 2004-RS2, Class A4 | | | 23,928 | | | | 24,573 | |
WaMu Mortgage Pass-Through Certificates Series 2004-S2 Trust | | | | | | | | |
5.50%, 06/25/2034, Series 2004-S2, Class 2A4 | | | 141,360 | | | | 145,263 | |
WaMu Mortgage Pass-Through Certificates Series 2004-S3 Trust | | | | | | | | |
5.00%, 07/25/2034, Series 2004-S3, Class 1A5 | | | 12,419 | | | | 12,529 | |
WaMu Mortgage Pass-Through Certificates Series 2006-AR10 Trust | | | | | | | | |
3.08%, 09/25/2036, Series 2006-AR10, Class 2P(4) | | | 6,036 | | | | 5,087 | |
WaMu Mortgage Pass-Through Certificates Series 2006-AR8 Trust | | | | | | | | |
3.08%, 08/25/2046, Series 2006-AR8, Class 1A2(4) | | | 36,696 | | | | 36,486 | |
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-1 Trust | | | | | | | | |
0.00%, 03/25/2035, Series 2005-1, Class CP | | | 6,663 | | | | 5,279 | |
5.50%, 03/25/2035, Series 2005-1, Class 1A1 | | | 61,729 | | | | 62,708 | |
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-2 Trust | | | | | | | | |
4.91% (1 Month LIBOR USD + 5.00%, 5.00% Cap), 04/25/2035, Series 2005-2, Class 2A3(2)(5) | | | 131,214 | | | | 18,626 | |
4.96% (1 Month LIBOR USD + 5.05%, 5.05% Cap), 04/25/2035, Series 2005-2, Class 1A4(2)(5) | | | 469,890 | | | | 61,801 | |
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-4 Trust | | | | | | | | |
5.50%, 06/25/2035, Series 2005-4, Class CX | | | 166,020 | | | | 28,302 | |
5.50%, 06/25/2035, Series 2005-4, Class CB7 | | | 164,176 | | | | 165,341 | |
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-6 Trust | | | | | | | | |
5.50%, 08/25/2035, Series 2005-6, Class 2A4 | | | 26,713 | | | | 26,450 | |
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-1 Trust | | | | | | | | |
5.75%, 02/25/2036, Series 2006-1, Class 3A2 | | | 13,416 | | | | 12,889 | |
Washington Mutual MSC Mortgage Pass-Through Certificates Series 2003-MS7 Trust | | | | | | | | |
0.00%, 03/25/2033, Series 2003-MS7, Class P | | | 65 | | | | 57 | |
Wells Fargo Alternative Loan 2003-1 Trust | | | | | | | | |
0.00%, 09/25/2033, Series 2003-1, Class APO | | | 3,743 | | | | 3,218 | |
Wells Fargo Alternative Loan 2007-PA3 Trust | | | | | | | | |
5.75%, 07/25/2037, Series 2007-PA3, Class 1A2 | | | 14,677 | | | | 14,654 | |
Wells Fargo Commercial Mortgage Trust 2015-C26 | | | | | | | | |
2.99%, 02/15/2048, Series 2015-C26, Class ASB | | | 6,864,173 | | | | 7,133,527 | |
Wells Fargo Commercial Mortgage Trust 2015-C29 | | | | | | | | |
3.37%, 06/15/2048, Series 2015-C29, Class A3 | | | 9,481,249 | | | | 10,237,324 | |
Wells Fargo Commercial Mortgage Trust 2015-C30 | | | | | | | | |
3.66%, 09/15/2058, Series 2015-C30, Class A4 | | | 729,000 | | | | 797,747 | |
Wells Fargo Commercial Mortgage Trust 2015-C31 | | | | | | | | |
3.70%, 11/15/2048, Series 2015-C31, Class A4 | | | 3,280,000 | | | | 3,602,418 | |
Wells Fargo Commercial Mortgage Trust 2015-NXS2 | | | | | | | | |
3.50%, 07/15/2058, Series 2015-NXS2, Class A4 | | | 15,000,000 | | | | 16,013,343 | |
Wells Fargo Commercial Mortgage Trust 2015-P2 | | | | | | | | |
3.81%, 12/15/2048, Series 2015-P2, Class A4 | | | 7,272,631 | | | | 8,032,537 | |
Wells Fargo Commercial Mortgage Trust 2016-C34 | | | | | | | | |
3.10%, 06/15/2049, Series 2016-C34, Class A4 | | | 3,698,000 | | | | 3,888,467 | |
Wells Fargo Commercial Mortgage Trust 2016-NXS6 | | | | | | | | |
2.64%, 11/15/2049, Series 2016-NXS6, Class A3 | | | 20,000,000 | | | | 21,104,988 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Wells Fargo Commercial Mortgage Trust 2017-C38 | | | | | | | | |
3.19%, 07/15/2050, Series 2017-C38, Class A4 | | | 13,800,000 | | | | 14,987,144 | |
Wells Fargo Commercial Mortgage Trust 2017-RC1 | | | | | | | | |
3.63%, 01/15/2060, Series 2017-RC1, Class A4 | | | 10,000,000 | | | | 11,059,275 | |
Wells Fargo Commercial Mortgage Trust 2018-C47 | | | | | | | | |
4.44%, 09/15/2061, Series 2018-C47, Class A4 | | | 8,850,000 | | | | 10,347,125 | |
Wells Fargo Commercial Mortgage Trust 2019-C54 | | | | | | | | |
3.15%, 12/15/2052, Series 2019-C54, Class A4 | | | 3,079,000 | | | | 3,349,937 | |
Wells Fargo Commercial Mortgage Trust 2020-C57 | | | | | | | | |
1.86%, 08/15/2053, Series 2020-C57, Class A3 | | | 19,500,000 | | | | 19,327,002 | |
2.12%, 08/15/2053, Series 2020-C57, Class A4 | | | 1,003,000 | | | | 1,011,176 | |
Wells Fargo Commercial Mortgage Trust 2020-C58 | | | | | | | | |
1.81%, 07/15/2053, Series 2020-C58, Class A3 | | | 23,000,000 | | | | 22,733,011 | |
Wells Fargo Commercial Mortgage Trust 2021-SAVE | | | | | | | | |
1.22% (1 Month LIBOR USD + 1.15%, 1.15% Floor), 02/15/2040, Series 2021-SAVE, Class A(2)(3) | | | 4,981,440 | | | | 5,001,975 | |
Wells Fargo Mortgage Backed Securities 2007-7 Trust | | | | | | | | |
6.00%, 06/25/2037, Series 2007-7, Class A7 | | | 9,728 | | | | 9,689 | |
WFRBS Commercial Mortgage Trust 2012-C6 | | | | | | | | |
3.44%, 04/15/2045, Series 2012-C6, Class A4 | | | 4,093,147 | | | | 4,103,321 | |
WFRBS Commercial Mortgage Trust 2013-C11 | | | | | | | | |
4.38%, 03/15/2045, Series 2013-C11, Class D(3)(4) | | | 300,000 | | | | 294,754 | |
WFRBS Commercial Mortgage Trust 2013-C14 | | | | | | | | |
3.34%, 06/15/2046, Series 2013-C14, Class A5 | | | 229,750 | | | | 240,657 | |
WFRBS Commercial Mortgage Trust 2014-C21 | | | | | | | | |
3.68%, 08/15/2047, Series 2014-C21, Class A5 | | | 7,000,000 | | | | 7,547,564 | |
WFRBS Commercial Mortgage Trust 2014-C23 | | | | | | | | |
3.64%, 10/15/2057, Series 2014-C23, Class ASB | | | 2,324,782 | | | | 2,435,559 | |
WFRBS Commercial Mortgage Trust 2014-C25 | | | | | | | | |
3.63%, 11/15/2047, Series 2014-C25, Class A5 | | | 3,846,000 | | | | 4,161,189 | |
WFRBS Commercial Mortgage Trust 2014-LC14 | | | | | | | | |
3.77%, 03/15/2047, Series 2014-LC14, Class A4 | | | 9,613,677 | | | | 10,168,960 | |
| | | | | | | | |
Total Mortgage-Backed Obligations (Cost: $5,998,977,697) | | | | | | | 6,172,024,956 | |
| | | | | | | | |
Total Bonds & Notes (Cost: $16,781,937,887) | | | | 17,400,124,810 | |
| | | | | | | | |
| | |
| | | Shares | | | Value | |
PREFERRED STOCKS – 0.01% | | | | | | | | |
Financials – 0.01% | | | | | | | | |
State Street Corp., 5.35% | | | 95,000 | | | | 2,858,550 | |
| | | | | | | | |
Total Financials | | | | 2,858,550 | |
| | | | | | | | |
Total Preferred Stocks (Cost: $2,375,000) | | | | 2,858,550 | |
| | | | | | | | |
SHORT-TERM INVESTMENTS – 6.76% | | | | | | | | |
Money Market Funds – 5.92% | | | | | | | | |
Fidelity Institutional Money Market Government Fund—Class I, 0.01%(11) | | | 1,058,986,391 | | | | 1,058,986,391 | |
| | | | | | | | |
Total Money Market Funds (Cost: $1,058,986,391) | | | | | | | 1,058,986,391 | |
| | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
U.S. Treasury Bills – 0.01% | | | | | | | | |
U.S. Treasury Bill, 0.00%, 12/02/2021(7) | | $ | 2,250,000 | | | | 2,249,502 | |
| | | | | | | | |
Total U.S. Treasury Bills (Cost: $2,249,027) | | | | | | | 2,249,502 | |
| | | | | | | | |
Time Deposits – 0.83% | | | | | | | | |
Citibank, New York, 0.01% due 07/01/2021 | | | 98,971,621 | | | | 98,971,621 | |
Skandinaviska Enskilda Banken AB, Stockholm, 0.01% due 07/01/2021 | | | 49,187,729 | | | | 49,187,729 | |
| | | | | | | | |
Total Time Deposits (Cost: $148,159,350) | | | | | | | 148,159,350 | |
| | | | | | | | |
Total Short-Term Investments (Cost: $1,209,394,768) | | | | 1,209,395,243 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES – 104.03%
(Cost: $17,993,707,655) | | | | | | | 18,612,378,603 | |
| | | | | | | | |
LIABILITIES IN EXCESS OF OTHER ASSETS – (4.03)% | | | | | | | (721,527,960 | ) |
| | | | | | | | |
TOTAL NET ASSETS – 100.00% | | | | | | $ | 17,890,850,643 | |
| | | | | | | | |
Percentages are stated as a percent of net assets.
| (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 June 30, 2021. |
| (2) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2021. |
| (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 totals $3,751,105,881, which represents 20.97% 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 June 30, 2021. |
| (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) | Security in default as of June 30, 2021. The value of these securities totals $416,175, which represents 0.00% of total net assets. |
| (7) | Assigned as collateral for certain futures contracts. The value of these pledged issues totals $41,173,639, which represents 0.23% of total net assets. |
| (8) | Inflation protected security. The value of these securities totals $6,588,525, which represents 0.04% of total net assets. |
| (9) | Delayed delivery purchase commitment security. The value of these securities totals $708,095,485, which represents 3.96% of total net assets. |
| (10) | Amount calculated is less than $0.5. |
| (11) | Represents annualized seven-day yield as of the close of the reporting period. |
| (12) | Security is categorized as Level 3 per the Trust’s fair value hierarchy. The value of these securities totals $162,009,009, which represents 0.91% of total net assets. |
| (13) | Security that is restricted at June 30, 2021. The value of the restricted securities totals $34,684,108, which represents 0.19% of total net assets. |
The accompanying notes are an integral part of this Schedule of Investments.
Open Futures Contracts
| | | | | | | | | | | | | | | | | | | | | | |
Number of Contracts
Purchased | | Reference Entity | | Counterparty | | | Expiration Date | | | Notional
Amount | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
| 1,761 | | U.S. 2 Year Note Future | | | J.P. Morgan | | | | Sep. 2021 | | | $ | 388,553,968 | | | $ | 387,984,069 | | | $ | (569,899 | ) |
| 1,887 | | U.S. 5 Year Note Future | | | J.P. Morgan | | | | Sep. 2021 | | | | 233,636,873 | | | | 232,911,821 | | | | (725,052 | ) |
| 1,135 | | U.S. Long Bond Future | | | J.P. Morgan | | | | Sep. 2021 | | | | 177,733,278 | | | | 182,451,250 | | | | 4,717,972 | |
| 1,584 | | U.S. Ultra Bond Future | | | J.P. Morgan | | | | Sep. 2021 | | | | 292,875,101 | | | | 305,217,000 | | | | 12,341,899 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | 15,764,920 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Number of Contracts Sold | | Reference Entity | | Counterparty | | | Expiration Date | | | Notional
Amount | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
| (72) | | U.S. 10 Year Note Future | | | J.P. Morgan | | | | Sep. 2021 | | | $ | (9,523,407 | ) | | $ | (9,540,000 | ) | | $ | (16,593 | ) |
| (487) | | U.S. Ultra 10 Year Note Future | | | J.P. Morgan | | | | Sep. 2021 | | | | (70,319,414 | ) | | | (71,687,922 | ) | | | (1,368,508 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | (1,385,101 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | 14,379,819 | |
| | | | | | | | | | | | | | | | | | | | | | |
Bridge Builder Core Plus Bond Fund
Schedule of Investments
June 30, 2021
| | | | | | | | |
| | | Principal
Amount | | | Value | |
BONDS & NOTES – 93.06% | | | | | | | | |
Asset-Backed Obligations – 9.36% | | | | | | | | |
ABFC 2005-WMC1 Trust | | | | | | | | |
0.83% (1 Month LIBOR USD + 0.74%, 0.74% Floor), 06/25/2035, Series 2005-WMC1, Class M3(1) | | $ | 6,613,901 | | | $ | 6,535,337 | |
ABFC 2007-NC1 Trust | | | | | | | | |
0.39% (1 Month LIBOR USD + 0.30%, 0.30% Floor), 05/25/2037, Series 2007-NC1, Class A2(1)(2) | | | 5,753,059 | | | | 5,528,605 | |
Accredited Mortgage Loan Trust 2003-2 | | | | | | | | |
0.79% (1 Month LIBOR USD + 0.35%, 0.70% Floor, 13.00% Cap), 10/25/2033, Series 2003-2, Class A2(1) | | | 985,710 | | | | 981,426 | |
Accredited Mortgage Loan Trust 2006-2 | | | | | | | | |
0.35% (1 Month LIBOR USD + 0.26%, 0.26% Floor), 09/25/2036, Series 2006-2, Class A4(1) | | | 368,027 | | | | 362,319 | |
ACE Securities Corp. Home Equity Loan Trust Series 2004-HE3 | | | | | | | | |
1.02% (1 Month LIBOR USD + 0.93%, 0.93% Floor), 11/25/2034, Series 2004-HE3, Class M1(1) | | | 6,220,476 | | | | 6,227,013 | |
ACE Securities Corp. Home Equity Loan Trust Series 2005-HE3 | | | | | | | | |
0.80% (1 Month LIBOR USD + 0.71%, 0.71% Floor), 05/25/2035, Series 2005-HE3, Class M3(1) | | | 6,186,265 | | | | 6,164,304 | |
Adams Outdoor Advertising LP | | | | | | | | |
5.65%, 11/15/2048, Series 2018-1, Class B(2) | | | 1,475,000 | | | | 1,529,502 | |
Aegis Asset Backed Securities Trust 2005-5 | | | | | | | | |
0.59% (1 Month LIBOR USD + 0.50%, 0.50% Floor), 12/25/2035, Series 2005-5, Class 2A(1) | | | 456,064 | | | | 456,107 | |
Aimco CLO 11 Ltd. | | | | | | | | |
1.56% (3 Month LIBOR USD + 1.38%, 1.38% Floor), 10/15/2031, Series 2020-11A, Class A1(1)(2) | | | 2,900,000 | | | | 2,904,628 | |
Ajax Mortgage Loan Trust 2019-F | | | | | | | | |
2.86%, 07/25/2059, Series 2019-F, Class A1(2)(3) | | | 19,548,016 | | | | 19,734,617 | |
Ally Auto Receivables Trust 2018-2 | | | | | | | | |
2.92%, 11/15/2022, Series 2018-2, Class A3 | | | 385,493 | | | | 386,307 | |
Ally Auto Receivables Trust 2019-2 | | | | | | | | |
2.23%, 01/16/2024, Series 2019-2, Class A3 | | | 8,536,163 | | | | 8,621,629 | |
ALME Loan Funding II DAC | | | | | | | | |
0.75% (3 Month EURIBOR + 0.75%), 01/15/2031, Series 2A, Class ARR(1)(2) | | EUR | 23,695,722 | | | | 27,995,040 | |
Ambac LSNI LLC | | | | | | | | |
6.00% (3 Month LIBOR USD + 5.00%), 02/12/2023(1)(2) | | $ | 4,161,208 | | | | 4,161,208 | |
American Credit Acceptance Receivables Trust 2019-3 | | | | | | | | |
2.89%, 09/12/2025, Series 2019-3, Class D(2) | | | 3,810,000 | | | | 3,905,735 | |
American Credit Acceptance Receivables Trust 2020-3 | | | | | | | | |
2.40%, 06/15/2026, Series 2020-3, Class D(2) | | | 105,000 | | | | 108,183 | |
American Credit Acceptance Receivables Trust 2020-4 | | | | | | | | |
1.77%, 12/14/2026, Series 2020-4, Class D(2) | | | 2,785,000 | | | | 2,826,360 | |
American Express Credit Account Master Trust | | | | | | | | |
2.87%, 10/15/2024, Series 2019-1, Class A | | | 805,000 | | | | 820,244 | |
3.18%, 04/15/2024, Series 2018-8, Class A | | | 2,420,000 | | | | 2,435,180 | |
American Homes 4 Rent 2014-SFR2 Trust | | | | | | | | |
6.23%, 10/17/2036, Series 2014-SFR2, Class E(2) | | | 515,000 | | | | 565,474 | |
American Homes 4 Rent 2015-SFR1 | | | | | | | | |
5.64%, 04/17/2052, Series 2015-SFR1, Class E(2) | | | 6,400,000 | | | | 7,006,969 | |
5.89%, 04/17/2052, Series 2015-SFR1, Class F(2) | | | 2,378,000 | | | | 2,609,177 | |
Americredit Automobile Receivables Trust 2018-2 | | | | | | | | |
4.01%, 07/18/2024, Series 2018-2, Class D | | | 2,940,000 | | | | 3,079,740 | |
Americredit Automobile Receivables Trust 2018-3 | | | | | | | | |
4.04%, 11/18/2024, Series 2018-3, Class D | | | 4,310,000 | | | | 4,539,956 | |
AmeriCredit Automobile Receivables Trust 2019-3 | | | | | | | | |
2.58%, 09/18/2025, Series 2019-3, Class D | | | 1,330,000 | | | | 1,381,931 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
AmeriCredit Automobile Receivables Trust 2020-1 | | | | | | | | |
1.59%, 10/20/2025, Series 2020-1, Class C | | | 5,410,000 | | | | 5,501,935 | |
1.80%, 12/18/2025, Series 2020-1, Class D | | | 8,440,000 | | | | 8,615,034 | |
AmeriCredit Automobile Receivables Trust 2020-2 | | | | | | | | |
2.13%, 03/18/2026, Series 2020-2, Class D | | | 5,720,000 | | | | 5,865,501 | |
AmeriCredit Automobile Receivables Trust 2020-3 | | | | | | | | |
1.49%, 09/18/2026, Series 2020-3, Class D | | | 7,135,000 | | | | 7,192,421 | |
AmeriCredit Automobile Receivables Trust 2021-1 | | | | | | | | |
0.89%, 10/19/2026, Series 2021-1, Class C | | | 4,735,000 | | | | 4,727,299 | |
1.21%, 12/18/2026, Series 2021-1, Class D | | | 5,425,000 | | | | 5,409,361 | |
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Ctfs Series 2005-R5 | | | | | | | | |
0.83% (1 Month LIBOR USD + 0.74%, 0.74% Floor), 07/25/2035, Series 2005-R5, Class M3(1) | | | 1,578,962 | | | | 1,579,447 | |
Ammc Clo 19 Ltd. | | | | | | | | |
1.32% (3 Month LIBOR USD + 1.14%, 1.14% Floor), 10/16/2028, Series 2016-19A, Class AR(1)(2) | | | 5,727,547 | | | | 5,733,166 | |
Applebee’s Funding LLC / IHOP Funding LLC | | | | | | | | |
4.19%, 06/07/2049, Series 2019-1A, Class A2I(2) | | | 6,689,450 | | | | 6,856,218 | |
Arbor Realty Commercial Real Estate Notes 2019-FL1 Ltd. | | | | | | | | |
1.22% (1 Month LIBOR USD + 1.15%), 05/15/2037, Series 2019-FL1, Class A(1)(2) | | | 5,000,000 | | | | 5,001,560 | |
Ares European CLO | | | | | | | | |
0.66% (3 Month EURIBOR + 0.66%), 10/15/2030, Series 7A, Class A1RR(1)(2) | | EUR | 26,500,000 | | | | 31,279,560 | |
Ares LIX CLO Ltd. | | | | | | | | |
1.21% (3 Month LIBOR USD + 1.03%, 1.03% Floor), 04/25/2034, Series 2021-59A, Class A(1)(2) | | $ | 6,590,000 | | | | 6,588,287 | |
1.58% (3 Month LIBOR USD + 1.40%, 1.40% Floor), 04/25/2034, Series 2021-59A, Class B1(1)(2) | | | 4,500,000 | | | | 4,497,673 | |
Ares LVII CLO Ltd. | | | | | | | | |
1.50% (3 Month LIBOR USD + 1.32%, 1.32% Floor), 10/25/2031, Series 2020-57A, Class A(1)(2) | | | 7,630,000 | | | | 7,634,577 | |
Ares LVIII CLO Ltd. | | | | | | | | |
1.46% (3 Month LIBOR USD + 1.22%, 1.22% Floor), 01/15/2033, Series 2020-58A, Class A(1)(2) | | | 3,170,000 | | | | 3,169,195 | |
Asset Backed Securities Corp. Home Equity Loan Trust Series OOMC 2006-HE3 | | | | | | | | |
0.26% (1 Month LIBOR USD + 0.17%, 0.17% Floor), 03/25/2036, Series 2006-HE3, Class A4(1) | | | 6,537 | | | | 6,536 | |
Aurium CLO III DAC | | | | | | | | |
0.67% (3 Month EURIBOR + 0.67%), 04/16/2030, Series 3A, Class AR(1)(2) | | EUR | 900,000 | | | | 1,068,039 | |
Avis Budget Rental Car Funding AESOP LLC | | | | | | | | |
2.02%, 02/20/2027, Series 2020-2A, Class A(2) | | $ | 9,740,000 | | | | 10,029,461 | |
2.33%, 08/20/2026, Series 2020-1A, Class A(2) | | | 2,585,000 | | | | 2,693,929 | |
2.36%, 03/20/2026, Series 2019-3A, Class A(2) | | | 11,675,000 | | | | 12,215,314 | |
2.68%, 08/20/2026, Series 2020-1A, Class B(2) | | | 1,410,000 | | | | 1,464,870 | |
3.35%, 09/22/2025, Series 2019-2A, Class A(2) | | | 1,245,000 | | | | 1,335,228 | |
Bain Capital Credit CLO 2017-2 Ltd. | | | | | | | | |
1.43% (3 Month LIBOR USD + 1.25%), 07/25/2030, Series 2017-2A, Class AR(1)(2) | | | 2,498,890 | | | | 2,498,265 | |
Bain Capital Euro 2018-2 DAC | | | | | | | | |
0.74% (3 Month EURIBOR + 0.74%), 01/20/2032, Series 2018-2A, Class AR(1)(2) | | EUR | 24,900,000 | | | | 29,367,746 | |
Ballyrock CLO 15 Ltd. | | | | | | | | |
1.23% (3 Month LIBOR USD + 1.06%, 1.06% Floor), 04/15/2034, Series 2021-1A, Class A1(1)(2) | | $ | 10,050,000 | | | | 10,047,407 | |
Barings CLO Ltd. 2013-I | | | | | | | | |
0.99% (3 Month LIBOR USD + 0.80%, 0.80% Floor), 01/20/2028, Series 2013-IA, Class AR(1)(2) | | | 4,576,730 | | | | 4,579,170 | |
Barings CLO Ltd. 2016-II | | | | | | | | |
1.27% (3 Month LIBOR USD + 1.08%, 1.08% Floor), 07/20/2028, Series 2016-2A, Class AR(1)(2) | | | 2,880,399 | | | | 2,880,808 | |
Bayview Opportunity Master Fund IVa Trust 2017-RT1 | | | | | | | | |
3.00%, 03/28/2057, Series 2017-RT1, Class A1(2)(4) | | | 82,869 | | | | 84,061 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Bayview Opportunity Master Fund IVb Trust 2017-RT2 | | | | | | | | |
3.50%, 08/28/2057, Series 2017-RT2, Class A(2)(4) | | | 632,061 | | | | 632,775 | |
Bayview Opportunity Master Fund IVb Trust 2017-SPL4 | | | | | | | | |
4.75%, 01/28/2055, Series 2017-SPL4, Class B2(2)(4) | | | 655,000 | | | | 700,656 | |
Bayview Opportunity Master Fund IVb Trust 2019-RN4 | | | | | | | | |
3.28%, 10/28/2034, Series 2019-RN4, Class A1(2)(3) | | | 221,507 | | | | 222,301 | |
Bayview Opportunity Master Fund V Trust 2020-RN3 | | | | | | | | |
3.23%, 09/25/2035, Series 2020-RN3, Class A1(2)(3) | | | 1,563,845 | | | | 1,580,756 | |
BCMSC Trust 1999-B | | | | | | | | |
6.61%, 12/15/2029, Series 1999-B, Class A1B(4) | | | 3,594,315 | | | | 721,657 | |
Bear Stearns Asset Backed Securities I Trust 2005-EC1 | | | | | | | | |
0.87% (1 Month LIBOR USD + 0.78%, 0.78% Floor), 11/25/2035, Series 2005-EC1, Class M3(1) | | | 11,482,281 | | | | 11,456,587 | |
Bear Stearns Asset Backed Securities I Trust 2007-HE2 | | | | | | | | |
0.25% (1 Month LIBOR USD + 0.16%, 0.16% Floor), 02/25/2037, Series 2007-HE2, Class 2A3(1) | | | 8,576,475 | | | | 8,475,846 | |
Benefit Street Partners CLO IV Ltd. | | | | | | | | |
1.74% (3 Month LIBOR USD + 1.55%, 1.55% Floor), 01/20/2032, Series 2014-IVA, Class A2AR(1)(2) | | | 9,595,000 | | | | 9,590,174 | |
Benefit Street Partners CLO X Ltd. | | | | | | | | |
1.40% (3 Month LIBOR USD + 1.21%, 1.21% Floor), 04/20/2034, Series 2016-10A, Class A1RR(1)(2) | | | 12,795,000 | | | | 12,791,776 | |
Blackbird Capital Aircraft Lease Securitization Ltd. 2016-1 | | | | | | | | |
4.21%, 12/16/2041, Series 2016-1A, Class A(2)(3) | | | 1,078,698 | | | | 1,076,469 | |
BlueMountain CLO 2012-2 Ltd. | | | | | | | | |
1.21% (3 Month LIBOR USD + 1.05%, 1.05% Floor), 11/20/2028, Series 2012-2A, Class AR2(1)(2) | | | 5,547,601 | | | | 5,553,098 | |
BlueMountain CLO 2013-1 Ltd. | | | | | | | | |
1.42% (3 Month LIBOR USD + 1.23%, 1.23% Floor), 01/20/2029, Series 2013-1A, Class A1R2(1)(2) | | | 2,456,589 | | | | 2,461,055 | |
BlueMountain CLO 2015-2 Ltd. | | | | | | | | |
1.12% (3 Month LIBOR USD + 0.93%, 0.93% Floor), 07/18/2027, Series 2015-2A, Class A1R(1)(2) | | | 1,711,018 | | | | 1,711,896 | |
1.69% (3 Month LIBOR USD + 1.50%, 1.50% Floor), 07/18/2027, Series 2015-2A, Class BR(1)(2) | | | 490,397 | | | | 493,247 | |
BMW Vehicle Owner Trust 2018-A | | | | | | | | |
2.51%, 06/25/2024, Series 2018-A, Class A4 | | | 2,636,602 | | | | 2,656,343 | |
BRE Grand Islander Timeshare Issuer 2019-A LLC | | | | | | | | |
3.28%, 09/26/2033, Series 2019-A, Class A(2) | | | 1,943,571 | | | | 2,037,924 | |
Brex Commercial Charge Card Master Trust | | | | | | | | |
2.09%, 07/15/2024, Series 2021-1, Class A(2) | | | 3,335,000 | | | | 3,356,259 | |
BSPRT 2018-FL4 Issuer Ltd. | | | | | | | | |
1.12% (1 Month LIBOR USD + 1.05%, 1.05% Floor), 09/15/2035, Series 2018-FL4, Class A(1)(2) | | | 8,810,616 | | | | 8,810,616 | |
Business Jet Securities 2021-1 LLC | | | | | | | | |
2.16%, 04/15/2036, Series 2021-1A, Class A(2) | | | 3,478,577 | | | | 3,505,316 | |
California Republic Auto Receivables Trust 2017-1 | | | | | | | | |
3.76%, 12/15/2023, Series 2017-1, Class C | | | 1,300,000 | | | | 1,301,853 | |
California Republic Auto Receivables Trust 2018-1 | | | | | | | | |
4.33%, 04/15/2025, Series 2018-1, Class D | | | 2,050,000 | | | | 2,122,979 | |
Capital One Multi-Asset Execution Trust | | | | | | | | |
2.43%, 01/15/2025, Series 2017-A3, Class A3 | | | 8,440,000 | | | | 8,574,139 | |
2.84%, 12/15/2024, Series 2019-A1, Class A1 | | | 1,290,000 | | | | 1,311,692 | |
Capitalsource Real Estate Loan Trust | | | | | | | | |
0.58% (3 Month LIBOR USD + 0.39%), 01/20/2037, Series 2006-1A, Class B(1)(2) | | | 83,954 | | | | 83,859 | |
0.84% (3 Month LIBOR USD + 0.65%), 01/20/2037, Series 2006-1A, Class C(1)(2) | | | 3,400,000 | | | | 3,112,754 | |
0.94% (3 Month LIBOR USD + 0.75%), 01/20/2037, Series 2006-1A, Class D(1)(2) | | | 1,200,000 | | | | 1,011,596 | |
1.04% (3 Month LIBOR USD + 0.85%), 01/20/2037, Series 2006-1A, Class E(1)(2) | | | 700,000 | | | | 413,102 | |
Carlyle Euro CLO 2019-2 DAC | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
1.11% (3 Month EURIBOR + 1.11%), 08/15/2032, Series 2019-2A, Class A1A(1)(2) | | EUR | 2,000,000 | | | | 2,369,321 | |
Carlyle Global Market Strategies CLO 2015-3 Ltd. | | | | | | | | |
1.18% (3 Month LIBOR USD + 1.00%), 07/28/2028, Series 2015-3A, Class A1R(1)(2) | | $ | 5,659,274 | | | | 5,661,452 | |
Carmax Auto Owner Trust 2019-2 | | | | | | | | |
3.41%, 10/15/2025, Series 2019-2, Class D | | | 2,055,000 | | | | 2,143,354 | |
Carmax Auto Owner Trust 2019-3 | | | | | | | | |
2.85%, 01/15/2026, Series 2019-3, Class D | | | 1,120,000 | | | | 1,160,598 | |
Carmax Auto Owner Trust 2020-1 | | | | | | | | |
2.64%, 07/15/2026, Series 2020-1, Class D | | | 2,622,000 | | | | 2,704,737 | |
CarMax Auto Owner Trust 2020-3 | | | | | | | | |
2.53%, 01/15/2027, Series 2020-3, Class D | | | 1,510,000 | | | | 1,558,253 | |
CarMax Auto Owner Trust 2020-4 | | | | | | | | |
1.75%, 04/15/2027, Series 2020-4, Class D | | | 1,875,000 | | | | 1,896,542 | |
Carmax Auto Owner Trust 2021-1 | | | | | | | | |
1.28%, 07/15/2027, Series 2021-1, Class D | | | 825,000 | | | | 820,171 | |
Castlelake Aircraft Securitization Trust | | | | | | | | |
3.97%, 07/15/2042, Series 2017-1, Class A | | | 652,320 | | | | 651,850 | |
Castlelake Aircraft Securitization Trust 2018-1 | | | | | | | | |
4.13%, 06/15/2043, Series 2018-1, Class A(2) | | | 4,975,081 | | | | 4,956,842 | |
CBAM 2017-3 Ltd. | | | | | | | | |
1.42% (3 Month LIBOR USD + 1.23%), 10/17/2029, Series 2017-3A, Class A(1)(2) | | | 8,900,000 | | | | 8,897,775 | |
CBAM 2019-9 Ltd. | | | | | | | | |
1.46% (3 Month LIBOR USD + 1.28%, 1.28% Floor), 02/12/2030, Series 2019-9A, Class A(1)(2) | | | 12,395,000 | | | | 12,403,205 | |
Centex Home Equity Loan Trust 2005-B | | | | | | | | |
0.74% (1 Month LIBOR USD + 0.65%, 0.65% Floor), 03/25/2035, Series 2005-B, Class M2(1) | | | 5,182,714 | | | | 5,167,434 | |
Centex Home Equity Loan Trust 2005-D | | | | | | | | |
1.05% (1 Month LIBOR USD + 0.96%, 0.96% Floor), 10/25/2035, Series 2005-D, Class M5(1) | | | 2,131,000 | | | | 2,128,812 | |
CHEC Loan Trust 2004-2 | | | | | | | | |
1.05% (1 Month LIBOR USD + 0.96%, 0.96% Floor), 06/25/2034, Series 2004-2, Class M1(1) | | | 1,094,779 | | | | 1,096,444 | |
CIFC Funding 2015-IV Ltd. | | | | | | | | |
1.18% (3 Month LIBOR USD + 1.07%, 1.07% Floor), 04/20/2034, Series 2015-4A, Class A1A2(1)(2) | | | 19,600,000 | | | | 19,619,698 | |
CIFC Funding 2015-V Ltd. | | | | | | | | |
1.04% (3 Month LIBOR USD + 0.86%), 10/25/2027, Series 2015-5A, Class A1R(1)(2) | | | 2,520,988 | | | | 2,513,289 | |
CIFC Funding 2020-III Ltd. | | | | | | | | |
1.54% (3 Month LIBOR USD + 1.35%, 1.35% Floor), 10/20/2031, Series 2020-3A, Class A1(1)(2) | | | 5,945,000 | | | | 5,949,839 | |
Citibank Credit Card Issuance Trust | | | | | | | | |
2.19%, 11/20/2023, Series 2016-A2, Class A2 | | | 3,010,000 | | | | 3,033,358 | |
Citigroup Mortgage Loan Trust 2007-AHL1 | | | | | | | | |
0.23% (1 Month LIBOR USD + 0.14%, 0.14% Floor), 12/25/2036, Series 2007-AHL1, Class A2B(1) | | | 1,216,909 | | | | 1,210,828 | |
Citigroup Mortgage Loan Trust, Inc. | | | | | | | | |
0.72% (1 Month LIBOR USD + 0.63%, 0.63% Floor), 02/25/2035, Series 2005-OPT1, Class M1(1) | | | 2,227,635 | | | | 2,180,686 | |
0.99% (1 Month LIBOR USD + 0.90%, 0.90% Floor), 09/25/2035, Series 2005-HE3, Class M4(1) | | | 7,900,000 | | | | 7,715,260 | |
0.99% (1 Month LIBOR USD + 0.90%, 0.90% Floor), 10/25/2035, Series 2005-HE4, Class M4(1) | | | 14,327,000 | | | | 13,702,422 | |
CLI Funding VI LLC | | | | | | | | |
2.07%, 10/18/2045, Series 2020-3A, Class A(2) | | | 4,228,021 | | | | 4,261,078 | |
CLI Funding VIII LLC | | | | | | | | |
1.64%, 02/18/2046, Series 2021-1A, Class A(2) | | | 4,379,971 | | | | 4,341,684 | |
College Ave Student Loans 2021-A LLC | | | | | | | | |
2.92%, 07/25/2051, Series 2021-A, Class C(2) | | | 480,000 | | | | 489,347 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
College Avenue Student Loans 2018-A LLC | | | | | | | | |
1.29% (1 Month LIBOR USD + 1.20%), 12/26/2047, Series 2018-A, Class A1(1)(2) | | | 1,697,222 | | | | 1,708,299 | |
4.13%, 12/26/2047, Series 2018-A, Class A2(2) | | | 2,314,394 | | | | 2,436,791 | |
College Avenue Student Loans LLC | | | | | | | | |
1.74% (1 Month LIBOR USD + 1.65%, 1.65% Floor), 11/26/2046, Series 2017-A, Class A1(1)(2) | | | 3,196,790 | | | | 3,256,732 | |
Commonbond Student Loan Trust 2020-1 | | | | | | | | |
1.69%, 10/25/2051, Series 2020-1, Class A(2) | | | 3,063,719 | | | | 3,060,875 | |
Conseco Finance Securitizations Corp. | | | | | | | | |
7.97%, 05/01/2032, Series 2000-4, Class A5 | | | 733,953 | | | | 212,548 | |
8.06%, 09/01/2029, Series 2000-1, Class A5(4) | | | 13,032,095 | | | | 4,053,301 | |
8.31%, 05/01/2032, Series 2000-4, Class A6(4) | | | 8,504,715 | | | | 2,567,974 | |
Conseco Financial Corp. | | | | | | | | |
7.70%, 05/15/2027(4) | | | 4,877,095 | | | | 4,780,394 | |
CoreVest American Finance 2018-1 Trust | | | | | | | | |
3.80%, 06/15/2051, Series 2018-1, Class A(2) | | | 897,475 | | | | 933,009 | |
CoreVest American Finance 2018-2 Trust | | | | | | | | |
4.03%, 11/15/2052, Series 2018-2, Class A(2) | | | 18,470,606 | | | | 19,408,484 | |
Corevest American Finance 2019-3 Trust | | | | | | | | |
2.71%, 10/15/2052, Series 2019-3, Class A(2) | | | 2,184,765 | | | | 2,286,282 | |
3.16%, 10/15/2052, Series 2019-3, Class B(2) | | | 1,470,000 | | | | 1,562,822 | |
Corevest American Finance 2021-1 Trust | | | | | | | | |
2.80%, 04/15/2053, Series 2021-1, Class C(2) | | | 1,525,000 | | | | 1,550,531 | |
Countrywide Asset-Backed Certificates | | | | | | | | |
0.27% (1 Month LIBOR USD + 0.18%, 0.18% Floor), 06/25/2047, Series 2007-10, Class 1A1(1) | | | 33,653,448 | | | | 32,086,621 | |
0.31% (1 Month LIBOR USD + 0.22%, 0.22% Floor), 08/25/2037, Series 2007-2, Class 2A4(1) | | | 25,730,000 | | | | 24,042,781 | |
0.31% (1 Month LIBOR USD + 0.22%, 0.22% Floor), 05/25/2047, Series 2006-22, Class 2A4(1) | | | 10,860,853 | | | | 10,459,252 | |
0.34% (1 Month LIBOR USD + 0.25%, 0.25% Floor), 02/25/2036, Series 2007-9, Class 2A4(1) | | | 990,000 | | | | 958,366 | |
0.34% (1 Month LIBOR USD + 0.25%, 0.25% Floor), 01/25/2046, Series 2006-8, Class 2A4(1) | | | 22,393,946 | | | | 21,592,104 | |
0.38% (1 Month LIBOR USD + 0.29%, 0.29% Floor), 06/25/2037, Series 2007-BC2, Class 2A4(1) | | | 8,265,343 | | | | 8,110,210 | |
0.43% (1 Month LIBOR USD + 0.34%, 0.34% Floor), 03/25/2037, Series 2006-BC5, Class 2A3(1) | | | 902,353 | | | | 901,285 | |
0.57% (1 Month LIBOR USD + 0.48%, 0.48% Floor), 03/25/2036, Series 2005-AB4, Class 1A(1) | | | 2,299,947 | | | | 2,226,017 | |
0.68% (1 Month LIBOR USD + 0.59%, 0.59% Floor), 04/25/2036, Series 2006-BC1, Class M3(1) | | | 1,000,000 | | | | 887,376 | |
0.72% (1 Month LIBOR USD + 0.63%, 0.63% Floor), 06/25/2036, Series 2006-2, Class M2(1) | | | 23,500,000 | | | | 22,810,461 | |
0.83% (1 Month LIBOR USD + 0.74%, 0.74% Floor), 02/25/2036, Series 2005-12, Class M2(1) | | | 2,588,103 | | | | 2,585,456 | |
1.52% (1 Month LIBOR USD + 1.43%, 1.43% Floor), 06/25/2035, Series 2004-14, Class M4(1) | | | 5,735,523 | | | | 5,780,099 | |
CPS Auto Receivables Trust 2017-C | | | | | | | | |
3.79%, 06/15/2023, Series 2017-C, Class D(2) | �� | | 572,022 | | | | 576,766 | |
CPS Auto Receivables Trust 2017-D | | | | | | | | |
3.73%, 09/15/2023, Series 2017-D, Class D(2) | | | 432,128 | | | | 436,533 | |
CPS Auto Receivables Trust 2018-B | | | | | | | | |
4.26%, 03/15/2024, Series 2018-B, Class D(2) | | | 1,715,000 | | | | 1,749,570 | |
CPS Auto Receivables Trust 2020-C | | | | | | | | |
1.71%, 08/17/2026, Series 2020-C, Class C(2) | | | 1,070,000 | | | | 1,087,176 | |
Credit Acceptance Auto Loan Trust 2018-2 | | | | | | | | |
4.16%, 09/15/2027, Series 2018-2A, Class C(2) | | | 3,045,000 | | | | 3,072,809 | |
Credit Acceptance Auto Loan Trust 2018-3 | | | | | | | | |
4.04%, 12/15/2027, Series 2018-3A, Class C(2) | | | 3,110,000 | | | | 3,167,748 | |
Credit Acceptance Auto Loan Trust 2019-1 | | | | | | | | |
3.94%, 06/15/2028, Series 2019-1A, Class C(2) | | | 9,810,000 | | | | 10,114,824 | |
Credit Acceptance Auto Loan Trust 2020-2 | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
2.73%, 11/15/2029, Series 2020-2A, Class C(2) | | | 1,935,000 | | | | 2,007,252 | |
Credit Acceptance Auto Loan Trust 2021-3 | | | | | | | | |
1.63%, 09/16/2030, Series 2021-3A, Class C(2) | | | 2,360,000 | | | | 2,359,203 | |
Crown City CLO II | | | | | | | | |
1.63% (3 Month LIBOR USD + 1.38%, 1.38% Floor), 01/20/2032, Series 2020-2A, Class A1A(1)(2) | | | 1,000,000 | | | | 999,743 | |
CVS Pass-Through Trust | | | | | | | | |
6.94%, 01/10/2030 | | | 910,680 | | | | 1,107,678 | |
CWABS Asset-Backed Certificates Trust 2005-7 | | | | | | | | |
1.14% (1 Month LIBOR USD + 1.05%, 1.05% Floor), 11/25/2035, Series 2005-7, Class MV4(1) | | | 356,656 | | | | 356,796 | |
CWABS Asset-Backed Certificates Trust 2007-12 | | | | | | | | |
0.83% (1 Month LIBOR USD + 0.74%, 0.74% Floor), 08/25/2047, Series 2007-12, Class 1A1(1) | | | 4,626,685 | | | | 4,545,022 | |
CWABS Revolving Home Equity Loan Trust Series 2004-T | | | | | | | | |
0.31% (1 Month LIBOR USD + 0.24%, 0.24% Floor, 16.00% Cap), 02/15/2030, Series 2004-T, Class 2A(1) | | | 4,775,348 | | | | 4,720,489 | |
DB Master Finance LLC | | | | | | | | |
4.03%, 11/20/2047, Series 2017-1A, Class A2II(2) | | | 1,562,513 | | | | 1,664,310 | |
4.35%, 05/20/2049, Series 2019-1A, Class A23(2) | | | 3,698,130 | | | | 4,084,659 | |
Dell Equipment Finance Trust 2020-2 | | | | | | | | |
1.37%, 01/22/2024, Series 2020-2, Class C(2) | | | 500,000 | | | | 506,405 | |
1.92%, 03/23/2026, Series 2020-2, Class D(2) | | | 500,000 | | | | 508,174 | |
Denali Capital CLO X LLC | | | | | | | | |
1.23% (3 Month LIBOR USD + 1.05%), 10/26/2027, Series 2013-1A, Class A1LR(1)(2) | | | 3,342,883 | | | | 3,344,223 | |
Domino’s Pizza Master Issuer LLC | | | | | | | | |
2.66%, 04/25/2051, Series 2021-1A, Class A2I(2) | | | 11,625,000 | | | | 12,028,271 | |
3.67%, 10/25/2049, Series 2019-1A, Class A2(2) | | | 2,066,838 | | | | 2,235,574 | |
4.12%, 07/25/2047, Series 2017-1A, Class A23(2) | | | 4,208,625 | | | | 4,541,275 | |
4.33%, 07/25/2048, Series 2018-1A, Class A2II(2) | | | 2,427,750 | | | | 2,640,639 | |
Drive Auto Receivables Trust | | | | | | | | |
4.30%, 09/16/2024, Series 2018-3, Class D | | | 2,621,283 | | | | 2,682,108 | |
Drive Auto Receivables Trust 2018-5 | | | | | | | | |
4.30%, 04/15/2026, Series 2018-5, Class D | | | 2,685,000 | | | | 2,802,608 | |
Drive Auto Receivables Trust 2019-1 | | | | | | | | |
4.09%, 06/15/2026, Series 2019-1, Class D | | | 3,590,000 | | | | 3,725,904 | |
Drive Auto Receivables Trust 2021-1 | | | | | | | | |
1.45%, 01/16/2029, Series 2021-1, Class D | | | 6,530,000 | | | | 6,568,481 | |
Driven Brands Funding LLC | | | | | | | | |
3.24%, 01/20/2051, Series 2020-2A, Class A2(2) | | | 6,379,013 | | | | 6,559,794 | |
4.64%, 04/20/2049, Series 2019-1A, Class A2(2) | | | 2,258,025 | | | | 2,430,967 | |
Dryden 30 Senior Loan Fund | | | | | | | | |
0.98% (3 Month LIBOR USD + 0.82%), 11/15/2028, Series 2013-30A, Class AR(1)(2) | | | 1,151,794 | | | | 1,152,255 | |
Dryden 36 Senior Loan Fund | | | | | | | | |
1.20% (3 Month LIBOR USD + 1.02%, 1.02% Floor), 04/15/2029, Series 2014-36A, Class AR3(1)(2) | | | 10,100,000 | | | | 10,110,787 | |
Dryden 86 CLO Ltd. | | | | | | | | |
0.00% (3 Month LIBOR USD + 1.10%, 1.10% Floor), 07/17/2034, Series 2020-86A, Class A1R(1)(2)(5) | | | 8,050,000 | | | | 8,050,000 | |
1.84% (3 Month LIBOR USD + 1.65%, 1.65% Floor), 07/17/2030, Series 2020-86A, Class A(1)(2) | | | 12,585,000 | | | | 12,581,854 | |
Dryden XXVI Senior Loan Fund | | | | | | | | |
1.08% (3 Month LIBOR USD + 0.90%), 04/15/2029, Series 2013-26A, Class AR(1)(2) | | | 4,500,000 | | | | 4,499,631 | |
DT Auto Owner Trust 2018-2 | | | | | | | | |
4.15%, 03/15/2024, Series 2018-2A, Class D(2) | | | 1,110,722 | | | | 1,129,647 | |
DT Auto Owner Trust 2019-3 | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
2.96%, 04/15/2025, Series 2019-3A, Class D(2) | | | 1,635,000 | | | | 1,690,140 | |
DT Auto Owner Trust 2020-3 | | | | | | | | |
1.47%, 06/15/2026, Series 2020-3A, Class C(2) | | | 1,650,000 | | | | 1,664,140 | |
DT Auto Owner Trust 2021-1 | | | | | | | | |
1.16%, 11/16/2026, Series 2021-1A, Class D(2) | | | 2,650,000 | | | | 2,640,142 | |
DT Auto Owner Trust 2021-2 | | | | | | | | |
1.50%, 02/16/2027, Series 2021-2A, Class D(2) | | | 2,250,000 | | | | 2,261,605 | |
Earnest Student Loan Program 2017-A LLC | | | | | | | | |
2.65%, 01/25/2041, Series 2017-A, Class A2(2) | | | 1,207,173 | | | | 1,212,531 | |
Eaton Vance CLO 2019-1 Ltd. | | | | | | | | |
1.22% (3 Month LIBOR USD + 1.10%, 1.10% Floor), 04/15/2031, Series 2019-1A, Class AR(1)(2) | | | 23,000,000 | | | | 22,994,227 | |
ECAF I Ltd. | | | | | | | | |
3.47%, 06/15/2040, Series 2015-1A, Class A1(2) | | | 304,932 | | | | 293,293 | |
ECMC Group Student Loan Trust | | | | | | | | |
1.09% (1 Month LIBOR USD + 1.00%), 07/25/2069, Series 2019-1A, Class A1B(1)(2) | | | 950,529 | | | | 963,558 | |
ECMC Group Student Loan Trust 2017-2 | | | | | | | | |
1.14% (1 Month LIBOR USD + 1.05%), 05/25/2067, Series 2017-2A, Class A(1)(2) | | | 7,605,225 | | | | 7,733,946 | |
ELFI Graduate Loan Program 2019-A LLC | | | | | | | | |
2.54%, 03/25/2044, Series 2019-A, Class A(2) | | | 2,713,261 | | | | 2,764,072 | |
Ellington Loan Acquisition Trust 2007-1 | | | | | | | | |
1.19% (1 Month LIBOR USD + 1.10%, 1.10% Floor), 05/25/2037, Series 2007-1, Class A1(1)(2) | | | 842,740 | | | | 844,177 | |
Exeter Automobile Receivables Trust 2020-2 | | | | | | | | |
4.73%, 04/15/2026, Series 2020-2A, Class D(2) | | | 3,090,000 | | | | 3,311,508 | |
Exeter Automobile Receivables Trust 2020-3 | | | | | | | | |
1.73%, 07/15/2026, Series 2020-3A, Class D | | | 1,175,000 | | | | 1,194,908 | |
Exeter Automobile Receivables Trust 2021-2 | | | | | | | | |
1.08%, 11/16/2026, Series 2021-1A, Class D | | | 2,515,000 | | | | 2,500,709 | |
Fieldstone Mortgage Investment Trust Series 2005-1 | | | | | | | | |
1.22% (1 Month LIBOR USD + 1.13%, 1.13% Floor, 12.25% Cap), 03/25/2035, Series 2005-1, Class M5(1) | | | 1,663,003 | | | | 1,658,399 | |
Fieldstone Mortgage Investment Trust Series 2006-3 | | | | | | | | |
0.37% (1 Month LIBOR USD + 0.28%, 0.28% Floor, 12.25% Cap), 11/25/2036, Series 2006-3, Class 1A(1) | | | 5,917,521 | | | | 5,554,280 | |
First Franklin Mortgage Loan Trust 2002-FF4 | | | | | | | | |
1.22% (1 Month LIBOR USD + 1.13%, 1.13% Floor), 02/25/2033, Series 2002-FF4, Class 1A2(1) | | | 4,625,909 | | | | 4,633,583 | |
First Franklin Mortgage Loan Trust 2003-FFH2 | | | | | | | | |
1.74% (1 Month LIBOR USD + 1.65%, 1.65% Floor), 02/25/2034, Series 2003-FFH2, Class M1A(1) | | | 6,528,109 | | | | 6,511,513 | |
First Franklin Mortgage Loan Trust 2004-FF7 | | | | | | | | |
2.27% (1 Month LIBOR USD + 2.18%, 2.18% Floor), 09/25/2034, Series 2004-FF7, Class M5(1) | | | 854,074 | | | | 901,467 | |
First Franklin Mortgage Loan Trust 2006-FF16 | | | | | | | | |
0.30% (1 Month LIBOR USD + 0.21%, 0.21% Floor), 12/25/2036, Series 2006-FF16, Class 2A4(1) | | | 6,022,089 | | | | 3,530,104 | |
First Franklin Mortgage Loan Trust 2006-FF17 | | | | | | | | |
0.24% (1 Month LIBOR USD + 0.15%, 0.15% Floor), 12/25/2036, Series 2006-FF17, Class A5(1) | | | 4,122,885 | | | | 3,865,881 | |
First Franklin Mortgage Loan Trust 2006-FF2 | | | | | | | | |
0.69% (1 Month LIBOR USD + 0.60%, 0.60% Floor), 02/25/2036, Series 2006-FF2, Class A5(1) | | | 11,526,047 | | | | 11,048,487 | |
First Investors Auto Owner Trust 2018-1 | | | | | | | | |
4.11%, 06/17/2024, Series 2018-1A, Class D(2) | | | 605,000 | | | | 618,052 | |
First Investors Auto Owner Trust 2019-2 | | | | | | | | |
2.71%, 12/15/2025, Series 2019-2A, Class C(2) | | | 1,254,000 | | | | 1,287,228 | |
FirstKey Homes 2020-SFR1 Trust | | | | | | | | |
2.24%, 09/17/2025, Series 2020-SFR1, Class D(2) | | | 1,590,000 | | | | 1,604,049 | |
2.39%, 08/17/2028, Series 2021-SFR1, Class E1(2) | | | 4,795,000 | | | | 4,794,914 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
2.49%, 08/17/2028, Series 2021-SFR1, Class E2(2) | | | 4,055,000 | | | | 4,054,915 | |
2.79%, 08/17/2037, Series 2020-SFR1, Class E(2) | | | 805,000 | | | | 820,675 | |
Flagship Credit Auto Trust 2017-1 | | | | | | | | |
4.23%, 05/15/2023, Series 2017-1, Class D(2) | | | 174,642 | | | | 176,701 | |
Flagship Credit Auto Trust 2018-1 | | | | | | | | |
3.86%, 04/15/2024, Series 2018-1, Class D(2) | | | 1,285,000 | | | | 1,327,086 | |
Flagship Credit Auto Trust 2018-2 | | | | | | | | |
4.23%, 09/16/2024, Series 2018-2, Class D(2) | | | 1,580,000 | | | | 1,658,320 | |
Flagship Credit Auto Trust 2019-3 | | | | | | | | |
2.86%, 12/15/2025, Series 2019-3, Class D(2) | | | 2,235,000 | | | | 2,319,574 | |
Flagship Credit Auto Trust 2020-4 | | | | | | | | |
2.18%, 02/16/2027, Series 2020-4, Class D(2) | | | 8,135,000 | | | | 8,301,696 | |
Flagship Credit Auto Trust 2021-1 | | | | | | | | |
1.27%, 03/15/2027, Series 2021-1, Class D(2) | | | 1,480,000 | | | | 1,463,723 | |
Flagship Credit Auto Trust 2021-2 | | | | | | | | |
1.59%, 06/15/2027, Series 2021-2, Class D(2) | | | 3,085,000 | | | | 3,095,112 | |
Ford Auto Securitization Trust | | | | | | | | |
2.47%, 02/15/2025, Series 2019-BA, Class A3(2) | | CAD | 4,925,000 | | | | 4,077,706 | |
2.55%, 09/15/2024, Series 2019-AA, Class A3(2) | | | 5,725,000 | | | | 4,725,721 | |
2.76%, 04/15/2028, Series 2020-AA, Class C(2) | | | 290,000 | | | | 239,007 | |
Ford Credit Auto Owner Trust 2018-A | | | | | | | | |
3.16%, 10/15/2023, Series 2018-A, Class A4 | | $ | 8,225,000 | | | | 8,343,612 | |
Ford Credit Auto Owner Trust 2020-B | | | | | | | | |
0.56%, 10/15/2024, Series 2020-B, Class A3 | | | 10,520,000 | | | | 10,557,524 | |
Ford Credit Auto Owner Trust 2020-C | | | | | | | | |
0.41%, 07/15/2025, Series 2020-C, Class A3 | | | 9,560,000 | | | | 9,570,483 | |
Ford Credit Auto Owner Trust 2021-A | | | | | | | | |
0.30%, 08/15/2025, Series 2021-A, Class A3 | | | 17,415,000 | | | | 17,401,186 | |
Ford Credit Floorplan Master Owner Trust A | | | | | | | | |
1.32%, 09/15/2027, Series 2020-2, Class B | | | 4,235,000 | | | | 4,238,227 | |
Foursight Capital Automobile Receivables Trust 2021-1 | | | | | | | | |
1.32%, 03/15/2027, Series 2021-1, Class D(2) | | | 4,230,000 | | | | 4,193,996 | |
FREED ABS Trust 2021-2 | | | | | | | | |
1.94%, 06/19/2028, Series 2021-2, Class C(2) | | | 885,000 | | | | 883,802 | |
Fremont Home Loan Trust 2004-4 | | | | | | | | |
0.89% (1 Month LIBOR USD + 0.80%, 0.80% Floor), 03/25/2035, Series 2004-4, Class M1(1) | | | 26,846,377 | | | | 26,472,909 | |
Fremont Home Loan Trust 2004-C | | | | | | | | |
1.07% (1 Month LIBOR USD + 0.98%, 0.98% Floor), 08/25/2034, Series 2004-C, Class M1(1) | | | 8,613,329 | | | | 8,567,733 | |
Fremont Home Loan Trust 2005-1 | | | | | | | | |
1.25% (1 Month LIBOR USD + 1.16%, 1.16% Floor), 06/25/2035, Series 2005-1, Class M6(1) | | | 3,072,000 | | | | 2,909,147 | |
Fremont Home Loan Trust 2005-2 | | | | | | | | |
0.84% (1 Month LIBOR USD + 0.75%, 0.75% Floor), 06/25/2035, Series 2005-2, Class M3(1) | | | 3,699,915 | | | | 3,683,736 | |
Fremont Home Loan Trust 2005-C | | | | | | | | |
1.02% (1 Month LIBOR USD + 0.93%, 0.93% Floor), 07/25/2035, Series 2005-C, Class M4(1) | | | 6,748,528 | | | | 6,355,820 | |
Gallatin CLO IX 2018-1 Ltd. | | | | | | | | |
1.24% (3 Month LIBOR USD + 1.05%, 1.05% Floor), 01/21/2028, Series 2018-1A, Class A(1)(2) | | | 9,915,436 | | | | 9,920,612 | |
GLS Auto Receivables Issuer Trust 2019-3 | | | | | | | | |
2.58%, 07/17/2023, Series 2019-3A, Class A(2) | | | 1,829,620 | | | | 1,836,318 | |
GLS Auto Receivables Issuer Trust 2020-1 | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
2.17%, 02/15/2024, Series 2020-1A, Class A(2) | | | 3,910,562 | | | | 3,932,731 | |
GLS Auto Receivables Trust | | | | | | | | |
1.42%, 04/15/2027, Series 2021-2A, Class D(2) | | | 5,235,000 | | | | 5,214,884 | |
GM Financial Automobile Leasing Trust 2020-3 | | | | | | | | |
1.11%, 10/21/2024, Series 2020-3, Class C | | | 2,675,000 | | | | 2,694,935 | |
GM Financial Consumer Automobile Receivables Trust 2017-3 | | | | | | | | |
2.33%, 03/16/2023, Series 2017-3A, Class B(2) | | | 155,000 | | | | 155,160 | |
GM Financial Consumer Automobile Receivables Trust 2019-4 | | | | | | | | |
1.75%, 07/16/2024, Series 2019-4, Class A3 | | | 4,850,531 | | | | 4,897,065 | |
GM Financial Consumer Automobile Receivables Trust 2021-1 | | | | | | | | |
0.35%, 10/16/2025, Series 2021-1, Class A3 | | | 6,540,000 | | | | 6,543,449 | |
GM Financial Consumer Automobile Receivables Trust 2021-2 | | | | | | | | |
0.51%, 04/16/2026, Series 2021-2, Class A3 | | | 16,035,000 | | | | 16,059,678 | |
GM Financial Leasing Trust | | | | | | | | |
1.01%, 07/21/2025, Series 2021-1, Class D | | | 3,055,000 | | | | 3,050,073 | |
GMF Floorplan Owner Revolving Trust | | | | | | | | |
1.31%, 10/15/2025, Series 2020-2, Class C(2) | | | 3,040,000 | | | | 3,063,709 | |
1.48%, 08/15/2025, Series 2020-1, Class C(2) | | | 735,000 | | | | 746,105 | |
3.06%, 04/15/2024, Series 2019-1, Class C(2) | | | 3,180,000 | | | | 3,243,421 | |
3.30%, 04/15/2026, Series 2019-2, Class C(2) | | | 6,875,000 | | | | 7,287,388 | |
GoldenTree Loan Opportunities IX Ltd. | | | | | | | | |
1.29% (3 Month LIBOR USD + 1.11%, 1.11% Floor), 10/29/2029, Series 2014-9A, Class AR2(1)(2) | | | 11,000,000 | | | | 11,012,331 | |
Golub Capital Partners CLO 39B Ltd. | | | | | | | | |
1.34% (3 Month LIBOR USD + 1.15%, 1.15% Floor), 10/20/2028, Series 2018-39A, Class A1(1)(2) | | | 4,723,124 | | | | 4,725,131 | |
Golub Capital Partners CLO Ltd. | | | | | | | | |
0.00% (3 Month LIBOR USD + 1.55%, 1.55% Floor), 05/05/2034, Series 2021-51A, Class A(1)(2)(5) | | | 25,300,000 | | | | 25,293,093 | |
Greystone Commercial Real Estate Notes 2019-FL2 Ltd. | | | | | | | | |
1.25% (1 Month LIBOR USD + 1.18%, 1.18% Floor), 09/15/2037, Series 2019-FL2, Class A(1)(2) | | | 1,900,000 | | | | 1,900,000 | |
GSAMP Trust 2005-AHL | | | | | | | | |
1.07% (1 Month LIBOR USD + 0.98%, 0.98% Floor), 04/25/2035, Series 2005-AHL, Class M2(1) | | | 4,910,651 | | | | 4,879,293 | |
GSAMP Trust 2007-FM2 | | | | | | | | |
0.15% (1 Month LIBOR USD + 0.06%, 0.06% Floor), 01/25/2037, Series 2007-FM2, Class A2A(1) | | | 1,810,507 | | | | 1,301,208 | |
Hardee’s Funding LLC | | | | | | | | |
2.87%, 06/20/2051, Series 2021-1A, Class A2(2) | | | 3,970,000 | | | | 3,977,036 | |
3.98%, 12/20/2050, Series 2020-1A, Class A2(2) | | | 179,100 | | | | 189,527 | |
4.96%, 06/20/2048, Series 2018-1A, Class A2II(2) | | | 4,191,475 | | | | 4,444,347 | |
Harley Marine Financing LLC | | | | | | | | |
5.68%, 05/15/2043, Series 2018-1A, Class A2(2) | | | 901,973 | | | | 875,577 | |
Harvest CLO XXI DAC | | | | | | | | |
0.76% (3 Month EURIBOR + 0.76%), 07/15/2031, Series 21A, Class A1R(1)(2) | | | EUR 34,400,000 | | | | 40,824,022 | |
1.04%, 07/15/2031, Series 21A, Class A2R(2) | | | 4,100,000 | | | | 4,862,275 | |
Harvest SBA Loan Trust 2018-1 | | | | | | | | |
2.34% (1 Month LIBOR USD + 2.25%), 08/25/2044, Series 2018-1, Class A(1)(2) | | $ | 6,281,071 | | | | 6,090,740 | |
Hilton Grand Vacations Trust 2017-A | | | | | | | | |
2.66%, 12/26/2028, Series 2017-AA, Class A(2) | | | 108,818 | | | | 111,408 | |
2.96%, 12/26/2028, Series 2017-AA, Class B(2) | | | 49,463 | | | | 50,475 | |
Home Partners of America 2019-1 Trust | | | | | | | | |
3.41%, 09/17/2039, Series 2019-1, Class D(2) | | | 1,303,112 | | | | 1,305,395 | |
Home Partners of America 2019-2 Trust | | | | | | | | |
3.12%, 10/19/2039, Series 2019-2, Class D(2) | | | 1,237,420 | | | | 1,219,155 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Honda Auto Receivables 2019-4 Owner Trust | | | | | | | | |
1.83%, 01/18/2024, Series 2019-4, Class A3 | | | 1,775,000 | | | | 1,795,869 | |
Honda Auto Receivables 2020-1 Owner Trust | | | | | | | | |
1.61%, 04/22/2024, Series 2020-1, Class A3 | | | 9,675,000 | | | | 9,810,100 | |
Honda Auto Receivables 2020-3 Owner Trust | | | | | | | | |
0.37%, 10/18/2024, Series 2020-3, Class A3 | | | 7,490,000 | | | | 7,500,216 | |
Honda Auto Receivables 2021-1 Owner Trust | | | | | | | | |
0.27%, 04/21/2025, Series 2021-1, Class A3 | | | 10,365,000 | | | | 10,358,367 | |
Horizon Aircraft Finance II Ltd. | | | | | | | | |
3.72%, 07/15/2039, Series 2019-1, Class A(2) | | | 1,276,186 | | | | 1,254,474 | |
HPEFS Equipment Trust | | | | | | | | |
2.00%, 07/22/2030, Series 2020-2A, Class C(2) | | | 1,030,000 | | | | 1,050,816 | |
HPEFS Equipment Trust 2019-1 | | | | | | | | |
2.49%, 09/20/2029, Series 2019-1A, Class C(2) | | | 970,000 | | | | 985,631 | |
HPEFS Equipment Trust 2020-1 | | | | | | | | |
2.26%, 02/20/2030, Series 2020-1A, Class D(2) | | | 1,900,000 | | | | 1,940,348 | |
HPEFS Equipment Trust 2021-1 | | | | | | | | |
1.03%, 03/20/2031, Series 2021-1A, Class D(2) | | | 1,775,000 | | | | 1,769,948 | |
Huntington CDO Ltd. | | | | | | | | |
0.75% (3 Month LIBOR USD + 0.50%), 11/05/2040, Series 2005-1A, Class A2(1)(2) | | | 13,882,402 | | | | 13,491,113 | |
Hyundai Auto Receivables Trust 2020-C | | | | | | | | |
1.08%, 12/15/2027, Series 2020-C, Class C | | | 4,960,000 | | | | 4,926,385 | |
Invitation Homes 2018-SFR2 Trust | | | | | | | | |
1.15% (1 Month LIBOR USD + 1.08%, 1.08% Floor), 06/17/2037, Series 2018-SFR2, Class B(1)(2) | | | 1,740,000 | | | | 1,743,851 | |
Invitation Homes 2018-SFR3 Trust | | | | | | | | |
1.23% (1 Month LIBOR USD + 1.15%, 1.15% Floor), 07/17/2037, Series 2018-SFR3, Class B(1)(2) | | | 860,000 | | | | 862,540 | |
Invitation Homes 2018-SFR4 Trust | | | | | | | | |
1.73% (1 Month LIBOR USD + 1.65%, 1.65% Floor), 01/17/2038, Series 2018-SFR4, Class D(1)(2) | | | 614,342 | | | | 615,490 | |
IXIS Real Estate Capital Trust 2005-HE2 | | | | | | | | |
1.07% (1 Month LIBOR USD + 0.98%, 0.98% Floor), 09/25/2035, Series 2005-HE2, Class M5(1) | | | 7,042,277 | | | | 6,907,094 | |
Jack In The Box Funding LLC | | | | | | | | |
3.98%, 08/25/2049, Series 2019-1A, Class A2I(2) | | | 4,992,275 | | | | 5,108,096 | |
JP Morgan Mortgage Acquisition Corp. 2005-FRE1 | | | | | | | | |
0.74% (1 Month LIBOR USD + 0.65%, 0.65% Floor), 10/25/2035, Series 2005-FRE1, Class M2(1) | | | 7,044,106 | | | | 6,478,249 | |
JP Morgan Mortgage Acquisition Corp. 2006-FRE2 | | | | | | | | |
0.63% (1 Month LIBOR USD + 0.54%, 0.54% Floor), 02/25/2036, Series 2006-FRE2, Class M2(1) | | | 8,467,499 | | | | 7,827,006 | |
JP Morgan Mortgage Acquisition Trust 2006-CW1 | | | | | | | | |
0.53% (1 Month LIBOR USD + 0.44%, 0.44% Floor), 05/25/2036, Series 2006-CW1, Class M2(1) | | | 11,322,000 | | | | 10,206,649 | |
JP Morgan Mortgage Acquisition Trust 2006-WMC4 | | | | | | | | |
0.21% (1 Month LIBOR USD + 0.12%, 0.12% Floor), 12/25/2036, Series 2006-WMC4, Class A3(1) | | | 21,786,381 | | | | 13,817,540 | |
0.24% (1 Month LIBOR USD + 0.15%, 0.15% Floor), 12/25/2036, Series 2006-WMC4, Class A4(1) | | | 19,841,877 | | | | 12,648,086 | |
JP Morgan Mortgage Acquisition Trust 2007-CH3 | | | | | | | | |
0.35% (1 Month LIBOR USD + 0.26%, 0.26% Floor), 03/25/2037, Series 2007-CH3, Class A5(1) | | | 23,235,564 | | | | 23,061,365 | |
JPMorgan Chase Bank N.A.—CACLN | | | | | | | | |
1.17%, 09/25/2028, Series 2021-1, Class D(2) | | | 2,185,000 | | | | 2,185,485 | |
Kestrel Aircraft Funding Ltd. | | | | | | | | |
4.25%, 12/15/2038, Series 2018-1A, Class A(2) | | | 3,044,249 | | | | 3,029,322 | |
KKR CLO 13 Ltd. | | | | | | | | |
0.98% (3 Month LIBOR USD + 0.80%, 0.80% Floor), 01/16/2028, Series 13, Class A1R(1)(2) | | | 1,974,686 | | | | 1,969,455 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
KKR CLO 29 Ltd. | | | | | | | | |
1.64% (3 Month LIBOR USD + 1.50%, 1.50% Floor), 01/15/2032, Series 29A, Class B(1)(2) | | | 8,540,000 | | | | 8,535,696 | |
Laurel Road Prime Student Loan Trust 2020-A | | | | | | | | |
1.40%, 11/25/2050, Series 2020-A, Class A2FX(2) | | | 4,680,000 | | | | 4,670,047 | |
Legacy Mortgage Asset Trust 2019-GS2 | | | | | | | | |
3.75%, 01/25/2059, Series 2019-GS2, Class A1(2)(3) | | | 221,775 | | | | 222,161 | |
Legacy Mortgage Asset Trust 2019-GS3 | | | | | | | | |
3.75%, 04/25/2059, Series 2019-GS3, Class A1(2)(3) | | | 2,254,134 | | | | 2,272,882 | |
Legacy Mortgage Asset Trust 2019-GS4 | | | | | | | | |
3.44%, 05/25/2059, Series 2019-GS4, Class A1(2)(3) | | | 4,605,727 | | | | 4,614,824 | |
Lehman XS Trust 2007-6 | | | | | | | | |
0.51% (1 Month LIBOR USD + 0.42%, 0.42% Floor), 05/25/2037, Series 2007-6, Class 2A1(1) | | | 9,734,271 | | | | 8,550,224 | |
LoanCore 2019-CRE2 Issuer Ltd. | | | | | | | | |
1.20% (1 Month LIBOR USD + 1.13%, 1.13% Floor), 05/15/2036, Series 2019-CRE2, Class A(1)(2) | | | 3,600,000 | | | | 3,598,884 | |
Long Beach Mortgage Loan Trust 2004-6 | | | | | | | | |
1.29% (1 Month LIBOR USD + 1.20%, 1.20% Floor), 11/25/2034, Series 2004-6, Class M1(1) | | | 23,036,995 | | | | 22,248,913 | |
Long Beach Mortgage Loan Trust 2005-WL2 | | | | | | | | |
0.87% (1 Month LIBOR USD + 0.78%, 0.78% Floor), 08/25/2035, Series 2005-WL2, Class M3(1) | | | 10,000,000 | | | | 9,884,344 | |
Long Beach Mortgage Loan Trust 2006-WL1 | | | | | | | | |
0.72% (1 Month LIBOR USD + 0.63%, 0.63% Floor), 01/25/2046, Series 2006-WL1, Class M1(1) | | | 15,000,000 | | | | 14,530,101 | |
LP Credit Card ABS Master Trust | | | | | | | | |
1.66% (1 Month LIBOR USD + 1.55%), 08/20/2024, Series 2018-1, Class A(1)(2) | | | 3,799,029 | | | | 3,795,063 | |
Madison Park Funding XVIII Ltd. | | | | | | | | |
1.38% (3 Month LIBOR USD + 1.19%), 10/21/2030, Series 2015-18A, Class A1R(1)(2) | | | 4,815,000 | | | | 4,817,740 | |
Madison Park Funding XXXIII Ltd. | | | | | | | | |
1.51% (3 Month LIBOR USD + 1.33%, 1.33% Floor), 10/15/2032, Series 2019-33A, Class A(1)(2) | | | 4,180,000 | | | | 4,201,669 | |
Madison Park Funding XXXVII Ltd. | | | | | | | | |
1.48% (3 Month LIBOR USD + 1.30%), 07/15/2032, Series 2019-37A, Class A1(1)(2) | | | 1,185,000 | | | | 1,185,384 | |
Magnetite XXIII Ltd. | | | | | | | | |
1.48% (3 Month LIBOR USD + 1.30%, 1.30% Floor), 10/25/2032, Series 2019-23A, Class A(1)(2) | | | 1,255,000 | | | | 1,254,682 | |
Magnetite XXV Ltd. | | | | | | | | |
1.45% (3 Month LIBOR USD + 1.20%, 1.20% Floor), 01/25/2032, Series 2020-25A, Class A(1)(2) | | | 18,000,000 | | | | 18,033,313 | |
1.80% (3 Month LIBOR USD + 1.55%, 1.55% Floor), 01/25/2032, Series 2020-25A, Class B(1)(2) | | | 3,170,000 | | | | 3,168,380 | |
MAPS 2018-1 Ltd. | | | | | | | | |
4.21%, 05/15/2043, Series 2018-1A, Class A(2) | | | 6,234,050 | | | | 6,243,284 | |
MAPS 2019-1 Ltd. | | | | | | | | |
4.46%, 03/15/2044, Series 2019-1A, Class A(2) | | | 1,556,631 | | | | 1,560,550 | |
MAPS 2021-1 Trust | | | | | | | | |
2.52%, 06/15/2046, Series 2021-1A, Class A(2) | | | 14,050,000 | | | | 14,084,198 | |
Marlette Funding Trust 2019-4 | | | | | | | | |
2.39%, 12/17/2029, Series 2019-4A, Class A(2) | | | 740,084 | | | | 743,822 | |
MASTR Asset Backed Securities Trust 2004-WMC1 | | | | | | | | |
0.87% (1 Month LIBOR USD + 0.78%, 0.78% Floor), 02/25/2034, Series 2004-WMC1, Class M1(1) | | | 1,288,830 | | | | 1,286,901 | |
MASTR Specialized Loan Trust | | | | | | | | |
0.61% (1 Month LIBOR USD + 0.52%, 0.52% Floor), 02/25/2036, Series 2006-2, Class A(1)(2) | | | 702,925 | | | | 681,781 | |
Mercury Financial Credit Card Master Trust | | | | | | | | |
1.54%, 03/20/2026, Series 2021-1A, Class A(2) | | | 4,880,000 | | | | 4,894,737 | |
Merlin Aviation Holdings DAC | | | | | | | | |
4.50%, 12/15/2032, Series 2016-1, Class A(2)(3) | | | 1,556,325 | | | | 1,495,005 | |
Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-2 | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
0.33% (1 Month LIBOR USD + 0.24%, 0.24% Floor), 05/25/2037, Series 2007-2, Class A2C(1) | | | 2,513,234 | | | | 1,960,441 | |
Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-5 | | | | | | | | |
1.09% (1 Month LIBOR USD + 1.00%, 1.00% Floor), 10/25/2037, Series 2007-5, Class 2A2(1) | | | 18,881,054 | | | | 18,282,559 | |
Merrill Lynch Mortgage Investors Trust Series 2006-OPT1 | | | | | | | | |
0.24% (1 Month LIBOR USD + 0.15%, 0.15% Floor), 08/25/2037, Series 2006-OPT1, Class A1(1) | | | 15,702,527 | | | | 15,138,902 | |
METAL 2017-1 LLC | | | | | | | | |
4.58%, 10/15/2042, Series 2017-1, Class A(2) | | | 3,212,691 | | | | 2,861,929 | |
MF1 2020-FL4 Ltd. | | | | | | | | |
1.82% (1 Month LIBOR USD + 1.70%, 1.70% Floor), 11/15/2035, Series 2020-FL4, Class A(1)(2) | | | 29,500,000 | | | | 29,739,186 | |
Midocean Credit Clo VIII | | | | | | | | |
1.21% (3 Month LIBOR USD + 1.05%, 1.05% Floor), 02/20/2031, Series 2018-8A, Class A1R(1)(2) | | | 27,400,000 | | | | 27,376,628 | |
Mill City Mortgage Loan Trust 2016-1 | | | | | | | | |
2.50%, 04/25/2057, Series 2016-1, Class A1(2)(4) | | | 65,310 | | | | 65,653 | |
Mill City Mortgage Loan Trust 2017-2 | | | | | | | | |
2.75%, 07/25/2059, Series 2017-2, Class A1(2)(4) | | | 225,589 | | | | 228,755 | |
Mill City Mortgage Loan Trust 2018-1 | | | | | | | | |
3.25%, 05/25/2062, Series 2018-1, Class A1(2)(4) | | | 3,047,090 | | | | 3,126,056 | |
Mill City Mortgage Loan Trust 2018-2 | | | | | | | | |
3.75%, 05/25/2058, Series 2018-2, Class M1(2)(4) | | | 494,254 | | | | 525,449 | |
Mill City Mortgage Loan Trust 2018-3 | | | | | | | | |
3.47%, 08/25/2058, Series 2018-3, Class A1(2)(4) | | | 1,764,094 | | | | 1,835,104 | |
Morgan Stanley ABS Capital I, Inc. Trust 2005-WMC2 | | | | | | | | |
1.02% (1 Month LIBOR USD + 0.93%, 0.93% Floor), 02/25/2035, Series 2005-WMC2, Class M4(1) | | | 1,568,504 | | | | 1,562,874 | |
Morgan Stanley ABS Capital I, Inc. Trust 2006-HE8 | | | | | | | | |
0.22% (1 Month LIBOR USD + 0.13%, 0.13% Floor), 10/25/2036, Series 2006-HE8, Class A1(1) | | | 583,506 | | | | 552,837 | |
Morgan Stanley Capital I, Inc. Trust 2006-HE1 | | | | | | | | |
0.67% (1 Month LIBOR USD + 0.58%, 0.58% Floor), 01/25/2036, Series 2006-HE1, Class A4(1) | | | 8,445,139 | | | | 8,311,748 | |
Morgan Stanley Mortgage Loan Trust 2006-15XS | | | | | | | | |
6.20%, 11/25/2036, Series 2006-15XS, Class A4A(3) | | | 13,201,302 | | | | 4,669,276 | |
Morgan Stanley Mortgage Loan Trust 2007-8XS | | | | | | | | |
0.62% (1 Month LIBOR USD + 0.53%, 0.53% Floor, 6.25% Cap), 04/25/2037, Series 2007-8XS, Class A5(1) | | | 21,493,158 | | | | 9,543,996 | |
0.63% (1 Month LIBOR USD + 0.54%, 0.54% Floor, 6.26% Cap), 04/25/2037, Series 2007-8XS, Class A9(1) | | | 2,075,470 | | | | 922,395 | |
Mountain View CLO 2014-1 Ltd. | | | | | | | | |
0.98% (3 Month LIBOR USD + 0.80%, 0.80% Floor), 10/15/2026, Series 2014-1A, Class ARR(1)(2) | | | 807,641 | | | | 807,408 | |
Mountain View CLO 2017-1 LLC | | | | | | | | |
1.27% (3 Month LIBOR USD + 1.09%, 1.09% Floor), 10/16/2029, Series 2017-1A, Class AR(1)(2) | | | 13,900,000 | | | | 13,904,893 | |
Mountain View CLO X Ltd. | | | | | | | | |
1.01% (3 Month LIBOR USD + 0.82%, 0.82% Floor), 10/13/2027, Series 2015-10A, Class AR(1)(2) | | | 830,747 | | | | 831,123 | |
MVW 2020-1 LLC | | | | | | | | |
4.21%, 10/20/2037, Series 2020-1A, Class C(2) | | | 545,095 | | | | 577,207 | |
MVW 2021-1W LLC | | | | | | | | |
1.94%, 01/22/2041, Series 2021-1WA, Class C(2) | | | 666,346 | | | | 667,264 | |
MVW Owner Trust 2017-1 | | | | | | | | |
2.75%, 12/20/2034, Series 2017-1A, Class B(2) | | | 57,847 | | | | 58,943 | |
MVW Owner Trust 2019-1 | | | | | | | | |
3.33%, 11/20/2036, Series 2019-1A, Class C(2) | | | 315,804 | | | | 323,208 | |
Nassau 2017-I Ltd. | | | | | | | | |
1.33% (3 Month LIBOR USD + 1.15%), 10/15/2029, Series 2017-IA, Class A1AS(1)(2) | | | 15,200,000 | | | | 15,227,877 | |
National Collegiate Student Loan Trust 2004-2 | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
0.57% (1 Month LIBOR USD + 0.48%), 12/26/2033, Series 2004-2, Class A51(1) | | | 2,949,972 | | | | 2,945,024 | |
National Collegiate Student Loan Trust 2005-3 | | | | | | | | |
0.47% (1 Month LIBOR USD + 0.29%), 10/25/2033, Series 2005-3W, Class A51(1)(2) | | | 7,660,135 | | | | 7,541,700 | |
Navient Private Education Loan Trust 2017-A | | | | | | | | |
2.88%, 12/16/2058, Series 2017-A, Class A2A(2) | | | 333,561 | | | | 338,381 | |
3.91%, 12/16/2058, Series 2017-A, Class B(2) | | | 440,000 | | | | 448,649 | |
Navient Private Education Loan Trust 2018-B | | | | | | | | |
3.61%, 12/15/2059, Series 2018-BA, Class A2A(2) | | | 1,441,470 | | | | 1,504,571 | |
Navient Private Education Loan Trust 2020-I | | | | | | | | |
1.07% (1 Month LIBOR USD + 1.00%, 1.00% Floor), 04/15/2069, Series 2020-IA, Class A1B(1)(2) | | | 20,091,450 | | | | 20,224,032 | |
1.33%, 04/15/2069, Series 2020-IA, Class A1A(2) | | | 11,653,904 | | | | 11,629,982 | |
Navient Private Education Refi Loan Trust 2018-A | | | | | | | | |
3.19%, 02/18/2042, Series 2018-A, Class A2(2) | | | 1,659,446 | | | | 1,681,693 | |
Navient Private Education Refi Loan Trust 2018-C | | | | | | | | |
3.52%, 06/16/2042, Series 2018-CA, Class A2(2) | | | 655,441 | | | | 666,873 | |
Navient Private Education Refi Loan Trust 2019-F | | | | | | | | |
2.60%, 08/15/2068, Series 2019-FA, Class A2(2) | | | 5,336,845 | | | | 5,439,681 | |
Navient Private Education Refi Loan Trust 2019-G | | | | | | | | |
2.40%, 10/15/2068, Series 2019-GA, Class A(2) | | | 5,873,971 | | | | 5,993,826 | |
Navient Private Education Refi Loan Trust 2020-B | | | | | | | | |
2.12%, 01/15/2069, Series 2020-BA, Class A2(2) | | | 5,483,075 | | | | 5,564,526 | |
Navient Private Education Refi Loan Trust 2020-C | | | | | | | | |
2.15%, 11/15/2068, Series 2020-CA, Class A2A(2) | | | 4,795,000 | | | | 4,926,137 | |
2.83%, 11/15/2068, Series 2020-CA, Class B(2) | | | 4,665,000 | | | | 4,734,819 | |
Navient Private Education Refi Loan Trust 2020-D | | | | | | | | |
1.69%, 05/15/2069, Series 2020-DA, Class A(2) | | | 9,606,545 | | | | 9,702,933 | |
Navient Private Education Refi Loan Trust 2020-G | | | | | | | | |
1.17%, 09/16/2069, Series 2020-GA, Class A(2) | | | 6,502,469 | | | | 6,529,495 | |
Navient Private Education Refi Loan Trust 2020-H | | | | | | | | |
1.31%, 01/15/2069, Series 2020-HA, Class A(2) | | | 4,948,856 | | | | 4,981,761 | |
Navient Private Education Refi Loan Trust 2021-A | | | | | | | | |
0.84%, 05/15/2069, Series 2021-A, Class A(2) | | | 5,559,997 | | | | 5,549,828 | |
2.24%, 05/15/2069, Series 2021-A, Class B(2) | | | 360,000 | | | | 362,205 | |
Navient Student Loan Trust 2014-3 | | | | | | | | |
0.71% (1 Month LIBOR USD + 0.62%), 03/25/2083, Series 2014-3, Class A(1) | | | 260,462 | | | | 257,339 | |
Navient Student Loan Trust 2016-2 | | | | | | | | |
1.59% (1 Month LIBOR USD + 1.50%), 06/25/2065, Series 2016-2A, Class A3(1)(2) | | | 6,200,000 | | | | 6,428,663 | |
Navient Student Loan Trust 2018-2 | | | | | | | | |
0.84% (1 Month LIBOR USD + 0.75%), 03/25/2067, Series 2018-2A, Class A3(1)(2) | | | 15,000,000 | | | | 15,159,579 | |
Nelnet Student Loan Trust 2014-2 | | | | | | | | |
0.94% (1 Month LIBOR USD + 0.85%), 07/27/2037, Series 2014-2A, Class A3(1)(2) | | | 4,250,000 | | | | 4,276,889 | |
Nelnet Student Loan Trust 2020-1 | | | | | | | | |
0.83% (1 Month LIBOR USD + 0.74%, 0.74% Floor), 03/26/2068, Series 2020-1A, Class A(1)(2) | | | 2,318,700 | | | | 2,312,753 | |
Neuberger Berman CLO XVI-S Ltd. | | | | | | | | |
1.24% (3 Month LIBOR USD + 1.04%, 1.04% Floor), 04/15/2034, Series 2017-16SA, Class AR(1)(2) | | | 18,770,000 | | | | 18,787,437 | |
Neuberger Berman Loan Advisers CLO 32 Ltd. | | | | | | | | |
1.18% (3 Month LIBOR USD + 0.99%, 0.99% Floor), 01/20/2032, Series 2019-32A, Class AR(1)(2) | | | 15,740,000 | | | | 15,753,804 | |
Neuberger Berman Loan Advisers CLO 38 Ltd. | | | | | | | | |
1.49% (3 Month LIBOR USD + 1.30%, 1.30% Floor), 10/20/2032, Series 2020-38A, Class A(1)(2) | | | 6,440,000 | | | | 6,442,299 | |
Neuberger Berman Loan Advisers Clo 43 Ltd. | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
0.00% (3 Month LIBOR USD + 1.13%, 1.13% Floor), 07/17/2035, Series 2021-43A, Class A(1)(2)(5) | | | 29,715,000 | | | | 29,715,000 | |
New Century Home Equity Loan Trust 2005-1 | | | | | | | | |
0.77% (1 Month LIBOR USD + 0.68%, 0.68% Floor, 12.50% Cap), 03/25/2035, Series 2005-1, Class M1(1) | | | 8,757,903 | | | | 8,719,076 | |
Nissan Auto Receivables 2018-B Owner Trust | | | | | | | | |
3.06%, 03/15/2023, Series 2018-B, Class A3 | | | 1,741,586 | | | | 1,760,713 | |
Nissan Auto Receivables 2019-C Owner Trust | | | | | | | | |
1.93%, 07/15/2024, Series 2019-C, Class A3 | | | 5,940,000 | | | | 6,014,029 | |
Nissan Auto Receivables 2020-A Owner Trust | | | | | | | | |
1.38%, 12/16/2024, Series 2020-A, Class A3 | | | 7,765,000 | | | | 7,861,757 | |
Nissan Auto Receivables 2020-B Owner Trust | | | | | | | | |
0.55%, 07/15/2024, Series 2020-B, Class A3 | | | 5,470,000 | | | | 5,487,739 | |
Nomura Home Equity Loan, Inc. Home Equity Loan Trust Series 2006-HE1 | | | | | | | | |
0.71% (1 Month LIBOR USD + 0.62%, 0.62% Floor), 02/25/2036, Series 2006-HE1, Class M1(1) | | | 2,096,297 | | | | 2,089,997 | |
OAK Hill European Credit Partners V Designated Activity Co. | | | | | | | | |
0.72% (3 Month EURIBOR + 0.72%), 02/21/2030, Series 2016-5A, Class A1R(1)(2) | |
| EUR
30,947,179 |
| | | 36,653,086 | |
OCP CLO 2014-7 Ltd. | | | | | | | | |
1.31% (3 Month LIBOR USD + 1.12%), 07/20/2029, Series 2014-7A, Class A1RR(1)(2) | | $ | 14,635,000 | | | | 14,631,312 | |
OCP CLO 2020-19 Ltd. | | | | | | | | |
1.94% (3 Month LIBOR USD + 1.75%, 1.75% Floor), 07/20/2031, Series 2020-19A, Class A1(1)(2) | | | 3,735,000 | | | | 3,736,389 | |
Octagon Investment Partners 29 Ltd. | | | | | | | | |
1.36% (3 Month LIBOR USD + 1.18%), 01/24/2033, Series 2016-1A, Class AR(1)(2) | | | 7,880,000 | | | | 7,929,486 | |
OHA Credit Funding 3 LTD | | | | | | | | |
0.00% (3 Month LIBOR USD + 1.14%, 1.14% Floor), 07/02/2035, Series 2019-3A, Class AR(1)(2)(5) | | | 8,770,000 | | | | 8,767,807 | |
OneMain Financial Issuance Trust 2015-3 | | | | | | | | |
4.16%, 11/20/2028, Series 2015-3A, Class B(2) | | | 710,000 | | | | 710,716 | |
OneMain Financial Issuance Trust 2016-3 | | | | | | | | |
3.83%, 06/18/2031, Series 2016-3A, Class A(2) | | | 997,164 | | | | 1,005,549 | |
Onemain Financial Issuance Trust 2018-1 | | | | | | | | |
4.08%, 03/14/2029, Series 2018-1A, Class D(2) | | | 1,220,000 | | | | 1,250,251 | |
OneMain Financial Issuance Trust 2019-1 | | | | | | | | |
4.22%, 02/14/2031, Series 2019-1A, Class D(2) | | | 3,360,000 | | | | 3,379,381 | |
OneMain Financial Issuance Trust 2020-2 | | | | | | | | |
1.75%, 09/14/2035, Series 2020-2A, Class A(2) | | | 3,465,000 | | | | 3,523,119 | |
OneMain Financial Issuance Trust 2020-A | | | | | | | | |
4.83%, 05/14/2032, Series 2020-1A, Class B(2) | | | 2,425,000 | | | | 2,592,007 | |
OneMain Financial Issuance Trust 2021-1 | | | | | | | | |
2.47%, 06/16/2036, Series 2021-1A, Class D(2) | | | 2,470,000 | | | | 2,486,758 | |
Option One Mortgage Loan Trust 2004-2 | | | | | | | | |
0.89% (1 Month LIBOR USD + 0.80%, 0.80% Floor), 05/25/2034, Series 2004-2, Class M1(1) | | | 6,262,238 | | | | 6,218,118 | |
Option One Mortgage Loan Trust 2005-2 | | | | | | | | |
0.75% (1 Month LIBOR USD + 0.66%, 0.66% Floor), 05/25/2035, Series 2005-2, Class M1(1) | | | 339,472 | | | | 339,156 | |
Option One Mortgage Loan Trust 2006-1 | | | | | | | | |
0.53% (1 Month LIBOR USD + 0.44%, 0.44% Floor), 01/25/2036, Series 2006-1, Class 1A1(1) | | | 2,930,831 | | | | 2,924,528 | |
0.69% (1 Month LIBOR USD + 0.60%, 0.60% Floor), 01/25/2036, Series 2006-1, Class 2A4(1) | | | 12,988,112 | | | | 12,928,479 | |
Option One Mortgage Loan Trust 2006-3 | | | | | | | | |
0.23% (1 Month LIBOR USD + 0.14%, 0.14% Floor), 02/25/2037, Series 2006-3, Class 1A1(1) | | | 19,131,954 | | | | 14,555,874 | |
Option One Mortgage Loan Trust 2007-4 | | | | | | | | |
0.27% (1 Month LIBOR USD + 0.18%, 0.18% Floor), 04/25/2037, Series 2007-4, Class 2A2(1) | | | 16,874,746 | | | | 11,646,769 | |
OSAT 2020-RPL1 Trust | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
3.07%, 12/26/2059, Series 2020-RPL1, Class A1(2)(3) | | | 2,623,411 | | | | 2,643,377 | |
Oscar US Funding XI LLC | | | | | | | | |
2.49%, 08/10/2022, Series 2019-2A, Class A2(2) | | | 20,736 | | | | 20,782 | |
OZLM VII Ltd. | | | | | | | | |
1.20% (3 Month LIBOR USD + 1.01%, 1.01% Floor), 07/17/2029, Series 2014-7RA, Class A1R(1)(2) | | | 7,030,173 | | | | 7,033,597 | |
OZLM VIII Ltd. | | | | | | | | |
1.36% (3 Month LIBOR USD + 1.17%, 1.17% Floor), 10/17/2029, Series 2014-8A, Class A1RR(1)(2) | | | 2,892,237 | | | | 2,893,310 | |
1.99% (3 Month LIBOR USD + 1.80%, 1.80% Floor), 10/17/2029, Series 2014-8A, Class A2RR(1)(2) | | | 2,955,000 | | | | 2,957,231 | |
Palmer Square CLO 2020-2 Ltd. | | | | | | | | |
1.88% (3 Month LIBOR USD + 1.70%, 1.70% Floor), 07/15/2031, Series 2020-2A, Class A1A(1)(2) | | | 2,380,000 | | | | 2,380,002 | |
Palmer Square CLO 2020-3 Ltd. | | | | | | | | |
1.53% (3 Month LIBOR USD + 1.37%, 1.37% Floor), 11/15/2031, Series 2020-3A, Class A1A(1)(2) | | | 23,860,000 | | | | 23,934,061 | |
Palmer Square CLO Ltd. | | | | | | | | |
1.26% (3 Month LIBOR USD + 1.15%, 1.15% Floor), 07/15/2034, Series 2021-2A, Class A(1)(2) | | | 9,020,000 | | | | 9,017,700 | |
Palmer Square Loan Funding 2019-4 Ltd. | | | | | | | | |
1.08% (3 Month LIBOR USD + 0.90%, 0.90% Floor), 10/24/2027, Series 2019-4A, Class A1(1)(2) | | | 1,007,549 | | | | 1,005,703 | |
Park Place Securities, Inc. Asset-Backed Pass-Through Ctfs Series 2005-WHQ4 | | | | | | | | |
0.87% (1 Month LIBOR USD + 0.78%, 0.78% Floor), 09/25/2035, Series 2005-WHQ4, Class M3(1) | | | 8,000,000 | | | | 7,701,097 | |
Planet Fitness Master Issuer LLC | | | | | | | | |
3.86%, 12/05/2049, Series 2019-1A, Class A2(2) | | | 783,075 | | | | 791,673 | |
4.26%, 09/05/2048, Series 2018-1A, Class A2I(2) | | | 5,538,388 | | | | 5,558,880 | |
Prestige Auto Receivables Trust 2018-1 | | | | | | | | |
3.75%, 10/15/2024, Series 2018-1A, Class C(2) | | | 2,765,000 | | | | 2,794,658 | |
Prestige Auto Receivables Trust 2020-1 | | | | | | | | |
3.67%, 02/15/2028, Series 2020-1A, Class E(2) | | | 3,270,000 | | | | 3,376,522 | |
Progress Residential 2018-SFR2 Trust | | | | | | | | |
4.66%, 08/17/2035, Series 2018-SFR2, Class E(2) | | | 2,890,000 | | | | 2,906,093 | |
Progress Residential 2018-SFR3 Trust | | | | | | | | |
4.43%, 10/17/2035, Series 2018-SFR3, Class D(2) | | | 2,430,000 | | | | 2,446,081 | |
4.87%, 10/17/2035, Series 2018-SFR3, Class E(2) | | | 1,340,000 | | | | 1,355,590 | |
Progress Residential 2019-SFR1 Trust | | | | | | | | |
4.17%, 08/17/2035, Series 2019-SFR1, Class D(2) | | | 1,190,000 | | | | 1,207,590 | |
Progress Residential 2019-SFR2 Trust | | | | | | | | |
3.79%, 05/17/2036, Series 2019-SFR2, Class D(2) | | | 2,165,000 | | | | 2,198,500 | |
Progress Residential 2019-SFR4 Trust | | | | | | | | |
3.14%, 10/17/2036, Series 2019-SFR4, Class D(2) | | | 1,915,000 | | | | 1,943,459 | |
Progress Residential 2020-SFR3 Trust | | | | | | | | |
1.50%, 10/17/2027, Series 2020-SFR3, Class B(2) | | | 345,000 | | | | 343,060 | |
2.30%, 10/17/2027, Series 2020-SFR3, Class E(2) | | | 545,000 | | | | 545,483 | |
Progress Residential 2021-SFR3 | | | | | | | | |
2.54%, 05/17/2026, Series 2021-SFR3, Class E1(2) | | | 1,815,000 | | | | 1,830,559 | |
2.69%, 05/17/2026, Series 2021-SFR3, Class E2(2) | | | 1,510,000 | | | | 1,519,449 | |
Progress Residential 2021-SFR4 | | | | | | | | |
2.41%, 05/17/2038, Series 2021-SFR4, Class E1(2) | | | 955,000 | | | | 953,206 | |
2.56%, 05/17/2038, Series 2021-SFR4, Class E2(2) | | | 640,000 | | | | 638,803 | |
Progress Residential 2021-SFR2 Trust | | | | | | | | |
2.55%, 04/19/2038, Series 2021-SFR2, Class E1(2) | | | 4,365,000 | | | | 4,406,284 | |
Progress Residential 2021-SFR5 Trust | | | | | | | | |
2.21%, 07/17/2038, Series 2021-SFR5, Class E1(2) | | | 2,185,000 | | | | 2,183,186 | |
2.36%, 07/17/2038, Series 2021-SFR5, Class E2(2) | | | 545,000 | | | | 544,544 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Progress Residential Trust | | | | | | | | |
2.43%, 07/17/2038, Series 2021-SFR6, Class E1(2) | | | 2,730,000 | | | | 2,729,888 | |
2.53%, 07/17/2038, Series 2021-SFR6, Class E2(2) | | | 1,375,000 | | | | 1,374,796 | |
PRPM 2020-1 LLC | | | | | | | | |
2.98%, 02/25/2025, Series 2020-1A, Class A1(2)(3) | | | 4,168,527 | | | | 4,187,114 | |
PRPM 2020-4 LLC | | | | | | | | |
2.95%, 10/25/2025, Series 2020-4, Class A1(2)(3) | | | 3,149,126 | | | | 3,162,442 | |
RAMP Series 2005-RS5 Trust | | | | | | | | |
1.11% (1 Month LIBOR USD + 0.68%, 1.02% Floor, 14.00% Cap), 05/25/2035, Series 2005-RS5, Class M5(1) | | | 500,000 | | | | 498,159 | |
RASC Series 2005-KS10 Trust | | | | | | | | |
0.75% (1 Month LIBOR USD + 0.66%, 0.66% Floor, 14.00% Cap), 11/25/2035, Series 2005-KS10, Class M2(1) | | | 6,331,349 | | | | 6,310,890 | |
RASC Series 2006-KS9 Trust | | | | | | | | |
0.25% (1 Month LIBOR USD + 0.16%, 0.16% Floor, 14.00% Cap), 11/25/2036, Series 2006-KS9, Class AI3(1) | | | 1,082,867 | | | | 1,174,359 | |
RASC Series 2007-KS3 Trust | | | | | | | | |
0.43% (1 Month LIBOR USD + 0.34%, 0.34% Floor, 14.00% Cap), 04/25/2037, Series 2007-KS3, Class AI4(1) | | | 31,155,046 | | | | 30,030,626 | |
Reese Park CLO Ltd. | | | | | | | | |
1.50% (3 Month LIBOR USD + 1.32%, 1.32% Floor), 10/15/2032, Series 2020-1A, Class A1(1)(2) | | | 6,435,000 | | | | 6,444,659 | |
Rockford Tower CLO 2019-2 Ltd. | | | | | | | | |
1.49% (3 Month LIBOR USD + 1.33%, 1.33% Floor), 08/20/2032, Series 2019-2A, Class A(1)(2) | | | 13,850,000 | | | | 13,865,166 | |
Rockford Tower CLO 2021-1 Ltd. | | | | | | | | |
1.25% (3 Month LIBOR USD + 1.17%, 1.17% Floor), 07/20/2034, Series 2021-1A, Class A1(1)(2) | | | 25,790,000 | | | | 25,786,518 | |
Santander Drive Auto Receivables Trust 2018-4 | | | | | | | | |
3.98%, 12/15/2025, Series 2018-4, Class D | | | 3,390,000 | | | | 3,484,036 | |
Santander Drive Auto Receivables Trust 2018-5 | | | | | | | | |
4.19%, 12/16/2024, Series 2018-5, Class D | | | 3,070,000 | | | | 3,138,795 | |
Santander Drive Auto Receivables Trust 2019-1 | | | | | | | | |
3.65%, 04/15/2025, Series 2019-1, Class D | | | 11,435,000 | | | | 11,761,236 | |
Santander Drive Auto Receivables Trust 2019-3 | | | | | | | | |
2.68%, 10/15/2025, Series 2019-3, Class D | | | 4,095,000 | | | | 4,195,227 | |
Santander Drive Auto Receivables Trust 2020-1 | | | | | | | | |
4.11%, 12/15/2025, Series 2020-1, Class C | | | 840,000 | | | | 881,313 | |
5.35%, 03/15/2028, Series 2020-1, Class D | | | 7,195,000 | | | | 7,856,765 | |
Santander Drive Auto Receivables Trust 2020-4 | | | | | | | | |
1.48%, 01/15/2027, Series 2020-4, Class D | | | 3,345,000 | | | | 3,386,361 | |
Santander Drive Auto Receivables Trust 2021-1 | | | | | | | | |
1.13%, 11/16/2026, Series 2021-1, Class D | | | 3,280,000 | | | | 3,284,979 | |
Santander Drive Auto Receivables Trust 2021-2 | | | | | | | | |
1.35%, 07/15/2027, Series 2021-2, Class D | | | 7,115,000 | | | | 7,122,025 | |
Santander Retail Auto Lease Trust 2019-B | | | | | | | | |
3.31%, 06/20/2024, Series 2019-B, Class D(2) | | | 6,610,000 | | | | 6,809,503 | |
Santander Retail Auto Lease Trust 2019-C | | | | | | | | |
2.88%, 06/20/2024, Series 2019-C, Class D(2) | | | 10,280,000 | | | | 10,566,347 | |
Santander Retail Auto Lease Trust 2021-A | | | | | | | | |
1.38%, 03/22/2027, Series 2021-A, Class D(2) | | | 8,685,000 | | | | 8,669,066 | |
Saxon Asset Securities Trust 2006-1 | | | | | | | | |
0.56% (1 Month LIBOR USD + 0.47%, 0.47% Floor, 12.25% Cap), 03/25/2036, Series 2006-1, Class M1(1) | | | 1,563,408 | | | | 1,554,699 | |
Saxon Asset Securities Trust 2007-2 | | | | | | | | |
0.29% (1 Month LIBOR USD + 0.20%, 0.20% Floor), 05/25/2047, Series 2007-2, Class A1(1) | | | 22,789,250 | | | | 21,144,639 | |
Saxon Asset Securities Trust 2007-3 | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
0.40% (1 Month LIBOR USD + 0.31%, 0.31% Floor), 09/25/2037, Series 2007-3, Class 1A(1) | | | 22,798,243 | | | | 22,419,061 | |
SCF Equipment Leasing 2021-1 LLC | | | | | | | | |
1.93%, 09/20/2030, Series 2021-1A, Class D(2) | | | 340,000 | | | | 338,148 | |
Securitized Asset Backed Receivables LLC Trust 2004-OP1 | | | | | | | | |
0.86% (1 Month LIBOR USD + 0.77%, 0.77% Floor), 02/25/2034, Series 2004-OP1, Class M1(1) | | | 12,563,819 | | | | 12,425,254 | |
Securitized Asset Backed Receivables LLC Trust 2005-HE1 | | | | | | | | |
0.74% (1 Month LIBOR USD + 0.65%, 0.65% Floor), 10/25/2035, Series 2005-HE1, Class M1(1) | | | 3,384,936 | | | | 3,109,586 | |
Securitized Asset Backed Receivables LLC Trust 2006-CB5 | | | | | | | | |
0.37% (1 Month LIBOR USD + 0.28%, 0.28% Floor), 06/25/2036, Series 2006-CB5, Class A3(1) | | | 4,820,950 | | | | 3,720,332 | |
ServiceMaster Funding LLC | | | | | | | | |
2.84%, 01/30/2051, Series 2020-1, Class A2I(2) | | | 8,782,988 | | | | 9,082,400 | |
Shackleton 2016-IX CLO Ltd. | | | | | | | | |
1.32% (3 Month LIBOR USD + 1.13%, 1.13% Floor), 10/20/2028, Series 2016-9A, Class AR(1)(2) | | | 1,300,553 | | | | 1,301,641 | |
Sierra Timeshare 2019-1 Receivables Funding LLC | | | | | | | | |
3.20%, 01/20/2036, Series 2019-1A, Class A(2) | | | 1,105,394 | | | | 1,143,159 | |
Sierra Timeshare 2019-2 Receivables Funding LLC | | | | | | | | |
3.12%, 05/20/2036, Series 2019-2A, Class C(2) | | | 2,089,807 | | | | 2,138,797 | |
Sierra Timeshare 2019-3 Receivables Funding LLC | | | | | | | | |
3.00%, 08/20/2036, Series 2019-3A, Class C(2) | | | 1,441,835 | | | | 1,472,869 | |
Sierra Timeshare 2021-1 Receivables Funding LLC | | | | | | | | |
1.34%, 11/20/2037, Series 2021-1A, Class B(2) | | | 4,579,341 | | | | 4,583,617 | |
1.79%, 11/20/2037, Series 2021-1A, Class C(2) | | | 1,269,648 | | | | 1,273,989 | |
Sierra Timeshare Conduit Receivables Funding LLC | | | | | | | | |
2.91%, 03/20/2034, Series 2017-1A, Class A(2) | | | 62,220 | | | | 62,944 | |
S-Jets 2017-1 Ltd. | | | | | | | | |
3.97%, 08/15/2042, Series 2017-1, Class A(2) | | | 16,227,249 | | | | 16,048,539 | |
Slam 2021-1 Ltd. | | | | | | | | |
2.43%, 06/15/2046, Series 2021-1A, Class A(2) | | | 9,930,000 | | | | 9,924,913 | |
SLM Private Credit Student Loan Trust 2003-B | | | | | | | | |
0.00%, 03/15/2033, Series 2003-B, Class A3(4) | | | 1,954,000 | | | | 1,901,205 | |
SLM Student Loan Trust 2003-7 | | | | | | | | |
1.32% (3 Month LIBOR USD + 1.20%, 1.20% Floor), 12/15/2033, Series 2003-7A, Class A5A(1)(2) | | | 8,089,643 | | | | 8,094,569 | |
SLM Student Loan Trust 2005-4 | | | | | | | | |
0.35% (3 Month LIBOR USD + 0.17%), 07/25/2040, Series 2005-4, Class A4(1) | | | 11,000,000 | | | | 10,628,732 | |
SLM Student Loan Trust 2006-10 | | | | | | | | |
0.40% (3 Month LIBOR USD + 0.22%), 03/25/2044, Series 2006-10, Class B(1) | | | 1,828,677 | | | | 1,700,806 | |
SLM Student Loan Trust 2007-2 | | | | | | | | |
0.35% (3 Month LIBOR USD + 0.17%), 07/25/2025, Series 2007-2, Class B(1) | | | 6,950,000 | | | | 6,244,950 | |
SLM Student Loan Trust 2007-3 | | | | | | | | |
0.24% (3 Month LIBOR USD + 0.06%), 01/25/2022, Series 2007-3, Class A4(1) | | | 3,018,412 | | | | 2,939,451 | |
SLM Student Loan Trust 2007-7 | | | | | | | | |
0.51% (3 Month LIBOR USD + 0.33%), 01/25/2022, Series 2007-7, Class A4(1) | | | 2,237,309 | | | | 2,193,998 | |
SLM Student Loan Trust 2008-2 | | | | | | | | |
0.93% (3 Month LIBOR USD + 0.75%), 04/25/2023, Series 2008-2, Class A3(1) | | | 7,463,263 | | | | 7,375,017 | |
SLM Student Loan Trust 2008-5 | | | | | | | | |
1.88% (3 Month LIBOR USD + 1.70%, 1.70% Floor), 07/25/2023, Series 2008-5, Class A4(1) | | | 3,369,469 | | | | 3,401,438 | |
2.03% (3 Month LIBOR USD + 1.85%, 1.85% Floor), 07/25/2073, Series 2008-5, Class B(1) | | | 7,350,000 | | | | 7,254,416 | |
SLM Student Loan Trust 2008-6 | | | | | | | | |
1.28% (3 Month LIBOR USD + 1.10%), 07/25/2023, Series 2008-6, Class A4(1) | | | 11,391,709 | | | | 11,420,192 | |
SLM Student Loan Trust 2008-7 | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
1.08% (3 Month LIBOR USD + 0.90%), 07/25/2023, Series 2008-7, Class A4(1) | | | 8,857,458 | | | | 8,778,244 | |
SLM Student Loan Trust 2012-1 | | | | | | | | |
1.04% (1 Month LIBOR USD + 0.95%, 0.95% Floor), 09/25/2028, Series 2012-1, Class A3(1) | | | 11,105,442 | | | | 10,979,759 | |
SLM Student Loan Trust 2012-2 | | | | | | | | |
0.79% (1 Month LIBOR USD + 0.70%), 01/25/2029, Series 2012-2, Class A(1) | | | 12,997,134 | | | | 12,771,327 | |
SLM Student Loan Trust 2012-7 | | | | | | | | |
0.74% (1 Month LIBOR USD + 0.65%, 0.65% Floor), 05/26/2026, Series 2012-7, Class A3(1) | | | 4,355,226 | | | | 4,267,858 | |
1.89% (1 Month LIBOR USD + 1.80%, 1.80% Floor), 09/25/2043, Series 2012-7, Class B(1) | | | 2,220,000 | | | | 2,219,999 | |
SLM Student Loan Trust 2014-1 | | | | | | | | |
0.69% (1 Month LIBOR USD + 0.60%), 02/26/2029, Series 2014-1, Class A3(1) | | | 2,656,764 | | | | 2,573,956 | |
SMB Private Education Loan Trust 2014-A | | | | | | | | |
3.05%, 05/15/2026, Series 2014-A, Class A2A(2) | | | 20,887 | | | | 20,924 | |
SMB Private Education Loan Trust 2015-B | | | | | | | | |
1.82% (1 Month LIBOR USD + 1.75%), 05/17/2032, Series 2015-B, Class A3(1)(2) | | | 1,685,000 | | | | 1,706,550 | |
2.98%, 07/15/2027, Series 2015-B, Class A2A(2) | | | 56,487 | | | | 57,121 | |
SMB Private Education Loan Trust 2015-C | | | | | | | | |
3.50%, 09/15/2043, Series 2015-C, Class B(2) | | | 1,295,000 | | | | 1,349,407 | |
SMB Private Education Loan Trust 2016-A | | | | | | | | |
2.70%, 05/15/2031, Series 2016-A, Class A2A(2) | | | 208,447 | | | | 213,690 | |
SMB Private Education Loan Trust 2016-B | | | | | | | | |
2.43%, 02/17/2032, Series 2016-B, Class A2A(2) | | | 1,192,861 | | | | 1,222,163 | |
SMB Private Education Loan Trust 2016-C | | | | | | | | |
2.34%, 09/15/2034, Series 2016-C, Class A2A(2) | | | 369,526 | | | | 377,696 | |
SMB Private Education Loan Trust 2017-A | | | | | | | | |
2.88%, 09/15/2034, Series 2017-A, Class A2A(2) | | | 1,054,257 | | | | 1,084,797 | |
SMB Private Education Loan Trust 2017-B | | | | | | | | |
2.82%, 10/15/2035, Series 2017-B, Class A2A(2) | | | 2,091,491 | | | | 2,164,495 | |
SMB Private Education Loan Trust 2018-A | | | | | | | | |
3.50%, 02/15/2036, Series 2018-A, Class A2A(2) | | | 10,654,769 | | | | 11,217,153 | |
SMB Private Education Loan Trust 2018-B | | | | | | | | |
0.82% (1 Month LIBOR USD + 0.72%), 01/15/2037, Series 2018-B, Class A2B(1)(2) | | | 1,483,742 | | | | 1,488,078 | |
3.60%, 01/15/2037, Series 2018-B, Class A2A(2) | | | 4,498,736 | | | | 4,762,267 | |
4.00%, 07/15/2042, Series 2018-B, Class B(2) | | | 285,000 | | | | 303,364 | |
SMB Private Education Loan Trust 2018-C | | | | | | | | |
3.63%, 11/15/2035, Series 2018-C, Class A2A(2) | | | 10,616,931 | | | | 11,179,175 | |
4.00%, 11/17/2042, Series 2018-C, Class B(2) | | | 770,000 | | | | 820,247 | |
SMB Private Education Loan Trust 2019-A | | | | | | | | |
3.44%, 07/15/2036, Series 2019-A, Class A2A(2) | | | 7,189,106 | | | | 7,536,779 | |
SMB Private Education Loan Trust 2019-B | | | | | | | | |
2.84%, 06/15/2037, Series 2019-B, Class A2A(2) | | | 6,909,752 | | | | 7,205,824 | |
SMB Private Education Loan Trust 2020-A | | | | | | | | |
2.23%, 09/15/2037, Series 2020-A, Class A2A(2) | | | 12,400,000 | | | | 12,745,879 | |
SMB Private Education Loan Trust 2020-PTB | | | | | | | | |
1.60%, 09/15/2054, Series 2020-PTB, Class A2A(2) | | | 8,385,000 | | | | 8,447,672 | |
SMB Private Education Loan Trust 2021-A | | | | | | | | |
1.07%, 01/15/2053, Series 2021-A, Class APT1(2) | | | 12,108,599 | | | | 11,926,411 | |
SoFi Consumer Loan Program 2017-6 LLC | | | | | | | | |
3.52%, 11/25/2026, Series 2017-6, Class B(2) | | | 1,300,028 | | | | 1,313,781 | |
SoFi Consumer Loan Program 2018-2 Trust | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
3.79%, 04/26/2027, Series 2018-2, Class B(2) | | | 1,191,114 | | | | 1,204,329 | |
SoFi Consumer Loan Program 2018-3 Trust | | | | | | | | |
4.02%, 08/25/2027, Series 2018-3, Class B(2) | | | 1,076,828 | | | | 1,090,713 | |
SoFi Consumer Loan Program 2018-4 Trust | | | | | | | | |
4.17%, 11/26/2027, Series 2018-4, Class C(2) | | | 2,745,000 | | | | 2,800,705 | |
SoFi Consumer Loan Program 2019-1 Trust | | | | | | | | |
3.73%, 02/25/2028, Series 2019-1, Class C(2) | | | 5,690,000 | | | | 5,812,922 | |
SoFi Consumer Loan Program 2019-2 Trust | | | | | | | | |
3.01%, 04/25/2028, Series 2019-2, Class A(2) | | | 639,400 | | | | 641,130 | |
3.46%, 04/25/2028, Series 2019-2, Class C(2) | | | 3,145,000 | | | | 3,223,061 | |
SoFi Consumer Loan Program 2019-3 Trust | | | | | | | | |
3.35%, 05/25/2028, Series 2019-3, Class C(2) | | | 5,965,000 | | | | 6,110,917 | |
SoFi Consumer Loan Program 2020-1 Trust | | | | | | | | |
2.02%, 01/25/2029, Series 2020-1, Class A(2) | | | 2,504,223 | | | | 2,524,829 | |
SoFi Professional Loan Program 2015-D LLC | | | | | | | | |
3.59%, 10/26/2037, Series 2015-D, Class B(2) | | | 371,230 | | | | 374,567 | |
SoFi Professional Loan Program 2016-B LLC | | | | | | | | |
3.80%, 04/25/2037, Series 2016-B, Class B(2) | | | 195,000 | | | | 199,313 | |
SoFi Professional Loan Program 2016-C LLC | | | | | | | | |
3.35%, 05/25/2037, Series 2016-C, Class B(2)(4) | | | 310,000 | | | | 314,770 | |
SoFi Professional Loan Program 2016-D LLC | | | | | | | | |
3.23%, 01/25/2039, Series 2016-D, Class B(2)(4) | | | 490,000 | | | | 500,745 | |
SoFi Professional Loan Program 2016-E LLC | | | | | | | | |
3.44%, 07/25/2040, Series 2016-E, Class B(2)(4) | | | 1,600,000 | | | | 1,648,057 | |
SoFi Professional Loan Program 2017-A LLC | | | | | | | | |
4.43%, 03/26/2040, Series 2017-A, Class C(2)(4) | | | 165,000 | | | | 174,612 | |
SoFi Professional Loan Program 2017-C LLC | | | | | | | | |
0.69% (1 Month LIBOR USD + 0.60%), 07/25/2040, Series 2017-C, Class A1(1)(2) | | | 1,260,711 | | | | 1,261,503 | |
SoFi Professional Loan Program 2017-D LLC | | | | | | | | |
2.65%, 09/25/2040, Series 2017-D, Class A2FX(2) | | | 1,870,322 | | | | 1,910,658 | |
SoFi Professional Loan Program 2017-E LLC | | | | | | | | |
4.16%, 11/26/2040, Series 2017-E, Class C(2) | | | 695,000 | | | | 727,435 | |
SoFi Professional Loan Program 2017-F LLC | | | | | | | | |
3.62%, 01/25/2041, Series 2017-F, Class BFX(2) | | | 1,405,000 | | | | 1,465,621 | |
SoFi Professional Loan Program 2018-C Trust | | | | | | | | |
4.13%, 01/25/2048, Series 2018-C, Class BFX(2) | | | 1,875,000 | | | | 1,985,026 | |
Sound Point Clo XIV Ltd. | | | | | | | | |
1.16% (3 Month LIBOR USD + 0.99%, 0.99% Floor), 01/23/2029, Series 2016-3A, Class AR2(1)(2) | | | 3,347,550 | | | | 3,348,176 | |
Sound Point Clo XV Ltd. | | | | | | | | |
1.07% (3 Month LIBOR USD + 0.90%, 0.90% Floor), 01/23/2029, Series 2017-1A, Class ARR(1)(2) | | | 2,750,000 | | | | 2,750,305 | |
Southwick Park CLO LLC | | | | | | | | |
1.49% (3 Month LIBOR USD + 1.30%), 07/20/2032, Series 2019-4A, Class A1(1)(2) | | | 11,400,000 | | | | 11,416,678 | |
Specialty Underwriting & Residential Finance Trust Series 2006-BC2 | | | | | | | | |
3.64%, 02/25/2037, Series 2006-BC2, Class A2C(3) | | | 12,271,196 | | | | 6,427,451 | |
Specialty Underwriting & Residential Finance Trust Series 2006-BC5 | | | | | | | | |
0.23% (1 Month LIBOR USD + 0.14%, 0.14% Floor), 11/25/2037, Series 2006-BC5, Class A1(1) | | | 12,733,581 | | | | 11,418,825 | |
Springleaf Funding Trust 2017-A | | | | | | | | |
2.68%, 07/15/2030, Series 2017-AA, Class A(2) | | | 2,215,921 | | | | 2,220,700 | |
3.86%, 07/15/2030, Series 2017-AA, Class C(2) | | | 1,270,000 | | | | 1,272,493 | |
Sprite 2017-1 Ltd. | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
4.25%, 12/15/2037, Series 2017-1, Class A(2) | | | 896,499 | | | | 890,741 | |
Stack Infrastructure Issuer LLC Series 2019-1 | | | | | | | | |
4.54%, 02/25/2044, Series 2019-1A, Class A2(2) | | | 7,271,283 | | | | 7,697,358 | |
Structured Adjustable Rate Mortgage Loan Trust | | | | | | | | |
2.82%, 02/25/2035, Series 2005-1, Class 1A1(4) | | | 5,234,306 | | | | 5,318,000 | |
Structured Asset Investment Loan Trust 2004-8 | | | | | | | | |
0.99% (1 Month LIBOR USD + 0.90%, 0.90% Floor), 09/25/2034, Series 2004-8, Class M1(1) | | | 768,628 | | | | 750,773 | |
Structured Asset Investment Loan Trust 2005-HE2 | | | | | | | | |
0.84% (1 Month LIBOR USD + 0.75%, 0.75% Floor), 07/25/2035, Series 2005-HE2, Class M2(1) | | | 3,656,857 | | | | 3,617,582 | |
Structured Asset Mortgage Investments II Trust 2007-AR3 | | | | | | | | |
0.28% (1 Month LIBOR USD + 0.19%, 0.19% Floor, 10.50% Cap), 09/25/2047, Series 2007-AR3, Class 2A1(1) | | | 22,666,856 | | | | 21,651,009 | |
Structured Asset Securities Corp. Mortgage Loan Trust 2007-WF2 | | | | | | | | |
1.09% (1 Month LIBOR USD + 1.00%, 1.00% Floor), 08/25/2037, Series 2007-WF2, Class A1(1) | | | 396,686 | | | | 400,496 | |
STWD 2019-FL1 Ltd. | | | | | | | | |
1.20% (1 Month LIBOR USD + 1.08%, 1.08% Floor), 07/15/2038, Series 2019-FL1, Class A(1)(2) | | | 22,600,000 | | | | 22,600,000 | |
Symphony CLO XVII Ltd. | | | | | | | | |
1.06% (3 Month LIBOR USD + 0.88%), 04/15/2028, Series 2016-17A, Class AR(1)(2) | | | 3,447,527 | | | | 3,443,400 | |
Symphony CLO XX Ltd. | | | | | | | | |
1.83% (3 Month LIBOR USD + 1.65%, 1.65% Floor), 01/16/2032, Series 2018-20A, Class BR(1)(2) | | | 11,220,000 | | | | 11,214,356 | |
Symphony CLO XXIII Ltd. | | | | | | | | |
1.50% (3 Month LIBOR USD + 1.32%, 1.32% Floor), 01/15/2034, Series 2020-23A, Class A(1)(2) | | | 14,200,000 | | | | 14,236,909 | |
Symphony CLO XXVI Ltd. | | | | | | | | |
1.19% (3 Month LIBOR USD + 1.08%, 1.08% Floor), 04/20/2033, Series 2021-26A, Class AR(1)(2) | | | 4,650,000 | | | | 4,648,828 | |
TCI-Flatiron CLO 2016-1 Ltd. | | | | | | | | |
1.34% (3 Month LIBOR USD + 1.15%, 1.15% Floor), 01/17/2032, Series 2016-1A, Class AR2(1)(2) | | | 10,000,000 | | | | 10,003,470 | |
Textainer Marine Containers VII Ltd. | | | | | | | | |
1.68%, 02/20/2046, Series 2021-1A, Class A(2) | | | 4,044,200 | | | | 4,000,178 | |
TIF Funding II LLC | | | | | | | | |
1.65%, 02/20/2046, Series 2021-1A, Class A(2) | | | 4,243,401 | | | | 4,177,215 | |
Tikehau CLO II BV | | | | | | | | |
0.88% (3 Month EURIBOR + 0.88%), 12/07/2029, Series 2A, Class AR(1)(2) | | EUR | 1,822,787 | | | | 2,162,803 | |
Towd Point Mortgage Trust 2015-4 | | | | | | | | |
3.75%, 04/25/2055, Series 2015-4, Class M1(2)(4) | | $ | 960,000 | | | | 986,619 | |
Towd Point Mortgage Trust 2015-5 | | | | | | | | |
2.75%, 05/25/2055, Series 2015-5, Class A1B(2)(4) | | | 8,267 | | | | 8,266 | |
Towd Point Mortgage Trust 2016-1 | | | | | | | | |
2.75%, 02/25/2055, Series 2016-1, Class A1B(2)(4) | | | 113,553 | | | | 113,739 | |
3.00%, 02/25/2055, Series 2016-1, Class A3B(2)(4) | | | 85,885 | | | | 86,576 | |
Towd Point Mortgage Trust 2016-2 | | | | | | | | |
2.75%, 08/25/2055, Series 2016-2, Class A1A(2)(4) | | | 56,181 | | | | 56,675 | |
Towd Point Mortgage Trust 2016-3 | | | | | | | | |
2.25%, 04/25/2056, Series 2016-3, Class A1(2)(4) | | | 61,682 | | | | 61,906 | |
Towd Point Mortgage Trust 2016-4 | | | | | | | | |
2.25%, 07/25/2056, Series 2016-4, Class A1(2)(4) | | | 221,026 | | | | 222,683 | |
Towd Point Mortgage Trust 2017-1 | | | | | | | | |
2.75%, 10/25/2056, Series 2017-1, Class A1(2)(4) | | | 208,511 | | | | 211,702 | |
3.75%, 10/25/2056, Series 2017-1, Class M1(2)(4) | | | 6,315,000 | | | | 6,671,154 | |
Towd Point Mortgage Trust 2017-2 | | | | | | | | |
2.75%, 04/25/2057, Series 2017-2, Class A1(2)(4) | | | 99,574 | | | | 100,961 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Towd Point Mortgage Trust 2017-4 | | | | | | | | |
3.25%, 06/25/2057, Series 2017-4, Class M2(2)(4) | | | 2,465,000 | | | | 2,613,542 | |
Towd Point Mortgage Trust 2017-5 | | | | | | | | |
0.69% (1 Month LIBOR USD + 0.60%), 02/25/2057, Series 2017-5, Class A1(1)(2) | | | 304,885 | | | | 304,900 | |
1.59% (1 Month LIBOR USD + 1.50%), 02/25/2057, Series 2017-5, Class M2(1)(2) | | | 3,310,000 | | | | 3,357,246 | |
Towd Point Mortgage Trust 2018-3 | | | | | | | | |
3.75%, 05/25/2058, Series 2018-3, Class A1(2)(4) | | | 4,816,455 | | | | 5,076,810 | |
Towd Point Mortgage Trust 2018-4 | | | | | | | | |
3.00%, 06/25/2058, Series 2018-4, Class A2(2)(4) | | | 1,015,000 | | | | 1,072,849 | |
Towd Point Mortgage Trust 2018-5 | | | | | | | | |
3.25%, 07/25/2058, Series 2018-5, Class M1(2)(4) | | | 1,515,000 | | | | 1,580,608 | |
Towd Point Mortgage Trust 2019-1 | | | | | | | | |
3.72%, 03/25/2058, Series 2019-1, Class A1(2)(4) | | | 8,571,563 | | | | 9,027,378 | |
Towd Point Mortgage Trust 2019-2 | | | | | | | | |
3.75%, 12/25/2058, Series 2019-2, Class M1(2)(4) | | | 9,810,000 | | | | 10,380,337 | |
Towd Point Mortgage Trust 2019-MH1 | | | | | | | | |
3.00%, 11/25/2058, Series 2019-MH1, Class A1(2)(4) | | | 367,572 | | | | 374,203 | |
Towd Point Mortgage Trust 2019-SJ1 | | | | | | | | |
4.17%, 11/25/2058, Series 2019-SJ1, Class A2(2)(4) | | | 5,327,165 | | | | 5,341,445 | |
5.50%, 11/25/2058, Series 2019-SJ1, Class B2(2)(4) | | | 9,826,000 | | | | 10,354,012 | |
Towd Point Mortgage Trust 2019-SJ2 | | | | | | | | |
4.50%, 11/25/2058, Series 2019-SJ2, Class M1(2)(4) | | | 12,971,000 | | | | 13,174,349 | |
Towd Point Mortgage Trust 2019-SJ3 | | | | | | | | |
3.00%, 11/25/2059, Series 2019-SJ3, Class A1(2)(4) | | | 2,908,330 | | | | 2,926,871 | |
Toyota Auto Receivables 2020-C Owner Trust | | | | | | | | |
0.44%, 10/15/2024, Series 2020-C, Class A3 | | | 9,070,000 | | | | 9,092,322 | |
Toyota Auto Receivables 2021-A Owner Trust | | | | | | | | |
0.16%, 07/17/2023, Series 2021-A, Class A2 | | | 6,110,000 | | | | 6,110,045 | |
Tralee CLO V Ltd. | | | | | | | | |
1.30% (3 Month LIBOR USD + 1.11%, 1.11% Floor), 10/20/2028, Series 2018-5A, Class A1(1)(2) | | | 1,970,891 | | | | 1,970,654 | |
Tricon American Homes 2019-SFR1 Trust | | | | | | | | |
3.20%, 03/17/2038, Series 2019-SFR1, Class D(2) | | | 1,270,000 | | | | 1,313,403 | |
Tricon American Homes 2020-SFR1 | | | | | | | | |
2.55%, 07/17/2038, Series 2020-SFR1, Class D(2) | | | 1,220,000 | | | | 1,235,656 | |
Tricon American Homes 2020-SFR2 Trust | | | | | | | | |
2.73%, 11/17/2039, Series 2020-SFR2, Class E1(2) | | | 1,855,000 | | | | 1,842,672 | |
Triton Container Finance VIII LLC | | | | | | | | |
1.86%, 03/20/2046, Series 2021-1A, Class A(2) | | | 8,456,400 | | | | 8,402,472 | |
Upstart Securitization Trust 2019-2 | | | | | | | | |
2.90%, 09/20/2029, Series 2019-2, Class A(2) | | | 34,593 | | | | 34,662 | |
Upstart Securitization Trust 2019-3 | | | | | | | | |
2.68%, 01/21/2030, Series 2019-3, Class A(2) | | | 1,369,065 | | | | 1,376,801 | |
Upstart Securitization Trust 2020-1 | | | | | | | | |
2.32%, 04/22/2030, Series 2020-1, Class A(2) | | | 1,157,588 | | | | 1,165,365 | |
VCAT 2021-NPL1 LLC | | | | | | | | |
2.29%, 12/26/2050, Series 2021-NPL1, Class A1(2)(3) | | | 3,362,657 | | | | 3,371,477 | |
Venture XIV CLO Ltd. | | | | | | | | |
1.17% (3 Month LIBOR USD + 1.03%, 1.03% Floor), 08/28/2029, Series 2013-14A, Class ARR(1)(2) | | | 15,300,000 | | | | 15,294,660 | |
Venture Xxv Clo Ltd. | | | | | | | | |
1.21% (3 Month LIBOR USD + 1.02%, 1.02% Floor), 04/20/2029, Series 2016-25A, Class ARR(1)(2) | | | 36,499,849 | | | | 36,490,687 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
VOLT XCVI LLC | | | | | | | | |
2.12%, 03/27/2051, Series 2021-NPL5, Class A1(2)(3) | | | 4,104,786 | | | | 4,106,962 | |
VOLT XCVII LLC | | | | | | | | |
2.24%, 04/25/2051, Series 2021-NPL6, Class A1(2)(3) | | | 7,976,102 | | | | 7,977,617 | |
WaMu Mortgage Pass-Through Certificates Series 2007-HY1 Trust | | | | | | | | |
3.03%, 02/25/2037, Series 2007-HY1, Class 4A1(4) | | | 7,748,385 | | | | 7,673,693 | |
WAVE 2017-1 Trust | | | | | | | | |
3.84%, 11/15/2042, Series 2017-1A, Class A(2) | | | 2,087,291 | | | | 2,045,815 | |
Wellfleet CLO 2017-2A Ltd. | | | | | | | | |
1.25% (3 Month LIBOR USD + 1.06%), 10/20/2029, Series 2017-2A, Class A1R(1)(2) | | | 6,900,000 | | | | 6,900,628 | |
Wells Fargo Home Equity Asset-Backed Securities 2004-2 Trust | | | | | | | | |
0.99% (1 Month LIBOR USD + 0.90%, 0.90% Floor), 10/25/2034, Series 2004-2, Class M1(1) | | | 1,368,769 | | | | 1,346,874 | |
Wendy’s Funding LLC | | | | | | | | |
2.37%, 06/15/2051, Series 2021-1A, Class A2I(2) | | | 4,975,000 | | | | 5,018,233 | |
Westlake Automobile Receivables Trust 2018-2 | | | | | | | | |
4.00%, 01/16/2024, Series 2018-2A, Class D(2) | | | 992,189 | | | | 1,000,793 | |
Westlake Automobile Receivables Trust 2018-3 | | | | | | | | |
4.00%, 10/16/2023, Series 2018-3A, Class D(2) | | | 1,215,000 | | | | 1,235,433 | |
Westlake Automobile Receivables Trust 2019-1 | | | | | | | | |
3.67%, 03/15/2024, Series 2019-1A, Class D(2) | | | 6,545,000 | | | | 6,715,918 | |
Westlake Automobile Receivables Trust 2020-3 | | | | | | | | |
1.24%, 11/17/2025, Series 2020-3A, Class C(2) | | | 1,030,000 | | | | 1,039,550 | |
Westlake Automobile Receivables Trust 2021-2 | | | | | | | | |
1.23%, 12/15/2026, Series 2021-2A, Class D(2) | | | 5,075,000 | | | | 5,074,567 | |
Wind River 2016-1 CLO Ltd. | | | | | | | | |
1.83% (3 Month LIBOR USD + 1.65%), 07/15/2028, Series 2016-1A, Class BR(1)(2) | | | 1,320,000 | | | | 1,325,173 | |
2.28% (3 Month LIBOR USD + 2.10%), 07/15/2028, Series 2016-1A, Class CR(1)(2) | | | 1,395,000 | | | | 1,382,259 | |
Wingstop Funding LLC | | | | | | | | |
2.84%, 12/05/2050, Series 2020-1A, Class A2(2) | | | 1,012,463 | | | | 1,050,035 | |
World Omni Auto Receivables Trust | | | | | | | | |
1.64%, 08/17/2026, Series 2020-A, Class C | | | 3,190,000 | | | | 3,241,473 | |
World Omni Select Auto Trust 2019-A | | | | | | | | |
2.17%, 12/15/2025, Series 2019-A, Class B | | | 4,785,000 | | | | 4,880,288 | |
Zais CLO 1 Ltd. | | | | | | | | |
1.33% (3 Month LIBOR USD + 1.15%), 04/15/2028, Series 2014-1A, Class A1AR(1)(2) | | | 6,575,818 | | | | 6,572,793 | |
| | | | | | | | |
Total Asset-Backed Obligations (Cost: $3,058,910,068) | | | | | | | 3,060,468,136 | |
| | | | | | | | |
Corporate Bonds – 33.46% | | | | | | | | |
Basic Materials – 0.76% | | | | | | | | |
Alcoa Nederland Holding BV | | | | | | | | |
5.50%, 12/15/2027(2) | | $ | 2,745,000 | | | $ | 2,977,776 | |
Alpek SAB de CV | | | | | | | | |
3.25%, 02/25/2031(2) | | | 2,835,000 | | | | 2,869,048 | |
Anglo American Capital Plc | | | | | | | | |
2.63%, 09/10/2030(2) | | | 23,410,000 | | | | 23,498,545 | |
4.00%, 09/11/2027(2) | | | 1,000,000 | | | | 1,108,675 | |
4.13%, 09/27/2022(2) | | | 3,883,000 | | | | 4,042,546 | |
4.50%, 03/15/2028(2) | | | 19,220,000 | | | | 21,965,093 | |
Antofagasta Plc | | | | | | | | |
2.38%, 10/14/2030(2) | | | 9,085,000 | | | | 8,753,397 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Arconic Corp. | | | | | | | | |
6.13%, 02/15/2028(2) | | | 1,275,000 | | | | 1,367,718 | |
Braskem Netherlands Finance BV | | | | | | | | |
4.50%, 01/31/2030(2) | | | 5,210,000 | | | | 5,428,403 | |
5.88%, 01/31/2050(2) | | | 4,160,000 | | | | 4,555,242 | |
Celulosa Arauco y Constitucion SA | | | | | | | | |
3.88%, 11/02/2027 | | | 860,000 | | | | 924,500 | |
CF Industries, Inc. | | | | | | | | |
4.50%, 12/01/2026(2) | | | 5,145,000 | | | | 5,905,560 | |
Corp. Nacional del Cobre de Chile | | | | | | | | |
3.15%, 01/14/2030 | | | 4,005,000 | | | | 4,200,939 | |
4.50%, 09/16/2025 | | | 203,000 | | | | 228,775 | |
Equate Petrochemical BV | | | | | | | | |
4.25%, 11/03/2026 | | | 1,060,000 | | | | 1,176,600 | |
First Quantum Minerals Ltd. | | | | | | | | |
6.88%, 10/15/2027(2) | | | 3,530,000 | | | | 3,846,641 | |
FMC Corp. | | | | | | | | |
3.45%, 10/01/2029 | | | 1,850,000 | | | | 2,011,225 | |
4.50%, 10/01/2049 | | | 1,025,000 | | | | 1,245,049 | |
FMG Resources August 2006 Pty Ltd. | | | | | | | | |
4.38%, 04/01/2031(2) | | | 4,760,000 | | | | 5,092,391 | |
Freeport-McMoRan, Inc. | | | | | | | | |
4.38%, 08/01/2028 | | | 1,505,000 | | | | 1,589,656 | |
4.63%, 08/01/2030 | | | 1,010,000 | | | | 1,105,950 | |
5.40%, 11/14/2034 | | | 5,945,000 | | | | 7,180,401 | |
5.45%, 03/15/2043 | | | 1,215,000 | | | | 1,485,119 | |
Glencore Finance Canada Ltd. | | | | | | | | |
4.95%, 11/15/2021(2) | | | 1,170,000 | | | | 1,189,146 | |
Glencore Funding LLC | | | | | | | | |
2.85%, 04/27/2031(2) | | | 9,525,000 | | | | 9,686,304 | |
3.88%, 10/27/2027(2) | | | 11,555,000 | | | | 12,708,189 | |
4.00%, 04/16/2025(2) | | | 4,450,000 | | | | 4,858,332 | |
4.00%, 03/27/2027(2) | | | 1,000,000 | | | | 1,108,353 | |
4.13%, 03/12/2024(2) | | | 4,920,000 | | | | 5,303,993 | |
4.88%, 03/12/2029(2) | | | 8,160,000 | | | | 9,489,528 | |
Hudbay Minerals, Inc. | | | | | | | | |
4.50%, 04/01/2026(2) | | | 1,345,000 | | | | 1,350,044 | |
6.13%, 04/01/2029(2) | | | 1,890,000 | | | | 2,012,850 | |
Huntsman International LLC | | | | | | | | |
2.95%, 06/15/2031 | | | 1,800,000 | | | | 1,825,702 | |
ICL Group Ltd. | | | | | | | | |
6.38%, 05/31/2038(2) | | | 10,200,000 | | | | 12,954,000 | |
IMCD NV | | | | | | | | |
2.50%, 03/26/2025 | | EUR | 1,000,000 | | | | 1,236,476 | |
Indonesia Asahan Aluminium Persero PT | | | | | | | | |
5.45%, 05/15/2030(2) | | $ | 1,400,000 | | | | 1,626,632 | |
6.53%, 11/15/2028 | | | 200,000 | | | | 245,000 | |
6.53%, 11/15/2028(2) | | | 1,800,000 | | | | 2,205,000 | |
International Flavors & Fragrances, Inc. | | | | | | | | |
3.47%, 12/01/2050(2) | | | 5,860,000 | | | | 6,091,237 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.00%, 09/26/2048 | | | 9,965,000 | | | | 12,887,074 | |
LYB International Finance III LLC | | | | | | | | |
4.20%, 10/15/2049 | | | 4,050,000 | | | | 4,602,806 | |
Methanex Corp. | | | | | | | | |
5.13%, 10/15/2027 | | | 4,150,000 | | | | 4,482,000 | |
Newcrest Finance Pty Ltd. | | | | | | | | |
3.25%, 05/13/2030(2) | | | 2,260,000 | | | | 2,428,660 | |
Newmont Corp. | | | | | | | | |
3.70%, 03/15/2023 | | | 430,000 | | | | 448,882 | |
Orbia Advance Corp. SAB de CV | | | | | | | | |
2.88%, 05/11/2031(2) | | | 9,280,000 | | | | 9,338,000 | |
4.00%, 10/04/2027(2) | | | 1,255,000 | | | | 1,375,794 | |
Reliance Steel & Aluminum Co. | | | | | | | | |
2.15%, 08/15/2030 | | | 960,000 | | | | 945,790 | |
Steel Dynamics, Inc. | | | | | | | | |
3.25%, 01/15/2031 | | | 200,000 | | | | 214,592 | |
3.45%, 04/15/2030 | | | 7,590,000 | | | | 8,256,764 | |
Suzano Austria GmbH | | | | | | | | |
3.75%, 01/15/2031 | | | 6,505,000 | | | | 6,822,119 | |
Syngenta Finance NV | | | | | | | | |
4.44%, 04/24/2023(2) | | | 200,000 | | | | 211,139 | |
4.89%, 04/24/2025(2) | | | 550,000 | | | | 609,442 | |
5.18%, 04/24/2028(2) | | | 500,000 | | | | 571,399 | |
Vale Overseas Ltd. | | | | | | | | |
6.25%, 08/10/2026 | | | 1,299,000 | | | | 1,562,697 | |
6.88%, 11/21/2036 | | | 1,132,000 | | | | 1,551,644 | |
6.88%, 11/10/2039 | | | 316,000 | | | | 442,011 | |
Volcan Compania Minera SAA | | | | | | | | |
4.38%, 02/11/2026(2) | | | 1,290,000 | | | | 1,277,100 | |
Westlake Chemical Corp. | | | | | | | | |
1.63%, 07/17/2029 | | EUR | 2,025,000 | | | | 2,509,195 | |
3.60%, 08/15/2026 | | $ | 1,925,000 | | | | 2,098,015 | |
| | | | | | | | |
Total Basic Materials | | | | 249,085,158 | |
| | | | | | | | |
Communications – 4.56% | | | | | | | | |
Alibaba Group Holding Ltd. | | | | | | | | |
3.40%, 12/06/2027 | | | 2,590,000 | | | | 2,830,128 | |
Altice Financing SA | | | | | | | | |
2.25%, 01/15/2025 | | EUR | 2,700,000 | | | | 3,105,511 | |
3.00%, 01/15/2028 | | | 4,600,000 | | | | 5,185,393 | |
5.00%, 01/15/2028(2) | | $ | 700,000 | | | | 686,119 | |
Altice France SA | | | | | | | | |
5.50%, 01/15/2028(2) | | | 3,615,000 | | | | 3,751,285 | |
7.38%, 05/01/2026(2) | | | 643,000 | | | | 668,675 | |
8.13%, 02/01/2027(2) | | | 700,000 | | | | 762,650 | |
Amazon.com, Inc. | | | | | | | | |
2.88%, 05/12/2041 | | | 10,000,000 | | | | 10,317,561 | |
AT&T, Inc. | | | | | | | | |
1.65%, 02/01/2028 | | | 1,610,000 | | | | 1,598,010 | |
2.25%, 02/01/2032 | | | 9,366,000 | | | | 9,192,353 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
2.30%, 06/01/2027 | | | 12,975,000 | | | | 13,420,079 | |
2.55%, 12/01/2033(2) | | | 42,476,000 | | | | 42,078,500 | |
2.75%, 06/01/2031 | | | 11,655,000 | | | | 12,115,239 | |
3.10%, 02/01/2043 | | | 5,980,000 | | | | 5,859,506 | |
3.30%, 02/01/2052 | | | 6,550,000 | | | | 6,372,538 | |
3.50%, 06/01/2041 | | | 6,608,000 | | | | 6,864,170 | |
3.50%, 09/15/2053(2) | | | 24,964,000 | | | | 25,080,595 | |
3.50%, 02/01/2061 | | | 7,324,000 | | | | 7,225,099 | |
3.65%, 06/01/2051 | | | 6,235,000 | | | | 6,472,875 | |
3.80%, 12/01/2057(2) | | | 26,047,000 | | | | 27,137,912 | |
3.85%, 06/01/2060 | | | 6,797,000 | | | | 7,163,718 | |
4.30%, 02/15/2030 | | | 9,630,000 | | | | 11,130,598 | |
4.30%, 12/15/2042 | | | 2,000,000 | | | | 2,277,206 | |
4.35%, 03/01/2029 | | | 7,181,000 | | | | 8,314,571 | |
4.50%, 05/15/2035 | | | 1,637,000 | | | | 1,921,543 | |
4.50%, 03/09/2048 | | | 6,420,000 | | | | 7,571,441 | |
4.75%, 05/15/2046 | | | 1,950,000 | | | | 2,368,325 | |
5.25%, 03/01/2037 | | | 6,052,000 | | | | 7,624,188 | |
Baidu, Inc. | | | | | | | | |
2.88%, 07/06/2022 | | | 5,105,000 | | | | 5,213,535 | |
3.88%, 09/29/2023 | | | 11,655,000 | | | | 12,384,807 | |
4.38%, 03/29/2028 | | | 2,500,000 | | | | 2,840,685 | |
Bharti Airtel Ltd. | | | | | | | | |
3.25%, 06/03/2031(2) | | | 4,410,000 | | | | 4,374,831 | |
Booking Holdings, Inc. | | | | | | | | |
4.63%, 04/13/2030 | | | 18,790,000 | | | | 22,421,654 | |
C&W Senior Financing DAC | | | | | | | | |
6.88%, 09/15/2027(2) | | | 600,000 | | | | 640,290 | |
CCO Holdings LLC | | | | | | | | |
4.25%, 02/01/2031(2) | | | 12,100,000 | | | | 12,326,875 | |
4.50%, 08/15/2030(2) | | | 1,660,000 | | | | 1,728,415 | |
4.50%, 05/01/2032 | | | 185,000 | | | | 191,706 | |
4.50%, 06/01/2033(2) | | | 7,428,000 | | | | 7,600,775 | |
5.38%, 06/01/2029(2) | | | 1,370,000 | | | | 1,497,547 | |
Charter Communications Operating LLC | | | | | | | | |
2.30%, 02/01/2032 | | | 10,000,000 | | | | 9,614,219 | |
2.80%, 04/01/2031 | | | 9,935,000 | | | | 10,156,665 | |
3.70%, 04/01/2051 | | | 36,255,000 | | | | 35,858,608 | |
3.75%, 02/15/2028 | | | 19,855,000 | | | | 21,897,218 | |
3.85%, 04/01/2061 | | | 29,795,000 | | | | 29,243,693 | |
3.90%, 06/01/2052 | | | 8,900,000 | | | | 9,062,038 | |
4.20%, 03/15/2028 | | | 10,000,000 | | | | 11,316,784 | |
4.40%, 12/01/2061 | | | 12,000,000 | | | | 12,893,824 | |
4.80%, 03/01/2050 | | | 7,125,000 | | | | 8,183,411 | |
5.38%, 04/01/2038 | | | 980,000 | | | | 1,204,202 | |
5.38%, 05/01/2047 | | | 6,800,000 | | | | 8,332,790 | |
5.75%, 04/01/2048 | | | 6,670,000 | | | | 8,489,181 | |
6.48%, 10/23/2045 | | | 1,015,000 | | | | 1,397,839 | |
Clear Channel Worldwide Holdings, Inc. | | | | | | | | |
5.13%, 08/15/2027(2) | | | 1,335,000 | | | | 1,368,669 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Comcast Corp. | | | | | | | | |
3.25%, 11/01/2039 | | | 5,115,000 | | | | 5,440,501 | |
CommScope Technologies LLC | | | | | | | | |
5.00%, 03/15/2027(2) | | | 835,000 | | | | 854,831 | |
CommScope, Inc. | | | | | | | | |
6.00%, 03/01/2026(2) | | | 2,205,000 | | | | 2,327,818 | |
7.13%, 07/01/2028(2) | | | 3,740,000 | | | | 4,053,225 | |
Connect Finco SARL | | | | | | | | |
6.75%, 10/01/2026(2) | | | 646,000 | | | | 683,145 | |
Crown Castle Towers LLC | | | | | | | | |
3.22%, 05/15/2022(2) | | | 700,000 | | | | 701,437 | |
3.66%, 05/15/2025(2) | | | 1,300,000 | | | | 1,388,317 | |
CSC Holdings LLC | | | | | | | | |
5.38%, 02/01/2028(2) | | | 530,000 | | | | 560,713 | |
5.50%, 04/15/2027(2) | | | 2,300,000 | | | | 2,415,115 | |
6.50%, 02/01/2029(2) | | | 660,000 | | | | 731,016 | |
Diamond Sports Group LLC | | | | | | | | |
5.38%, 08/15/2026(2) | | | 13,000,000 | | | | 8,417,500 | |
Expedia Group, Inc. | | | | | | | | |
2.95%, 03/15/2031 | | | 27,370,000 | | | | 27,734,401 | |
3.25%, 02/15/2030 | | | 8,125,000 | | | | 8,486,943 | |
4.63%, 08/01/2027 | | | 1,800,000 | | | | 2,034,262 | |
6.25%, 05/01/2025(2) | | | 6,780,000 | | | | 7,886,868 | |
Frontier Communications Holdings LLC | | | | | | | | |
5.00%, 05/01/2028(2) | | | 3,600,000 | | | | 3,721,788 | |
HKT Capital No 2 Ltd. | | | | | | | | |
3.63%, 04/02/2025 | | | 605,000 | | | | 646,624 | |
HKT Capital No 4 Ltd. | | | | | | | | |
3.00%, 07/14/2026 | | | 12,895,000 | | | | 13,664,335 | |
iHeartCommunications, Inc. | | | | | | | | |
4.75%, 01/15/2028(2) | | | 785,000 | | | | 807,569 | |
5.25%, 08/15/2027(2) | | | 3,710,000 | | | | 3,878,434 | |
6.38%, 05/01/2026 | | | 5,266,000 | | | | 5,601,707 | |
8.38%, 05/01/2027 | | | 8,029,000 | | | | 8,601,066 | |
Informa Plc | | | | | | | | |
2.13%, 10/06/2025 | | EUR | 6,700,000 | | | | 8,460,093 | |
Intelsat Connect Finance SA | | | | | | | | |
9.50%, 02/15/2023(2)(6) | | $ | 710,000 | | | | 234,300 | |
Intelsat Jackson Holdings SA | | | | | | | | |
5.50%, 08/01/2023(6) | | | 12,702,000 | | | | 7,271,895 | |
8.00%, 02/15/2024(2)(6) | | | 10,156,000 | | | | 10,488,812 | |
8.50%, 10/15/2024(2)(6) | | | 18,280,000 | | | | 10,785,200 | |
9.75%, 07/15/2025(2)(6) | | | 15,687,000 | | | | 9,137,677 | |
Intelsat Luxembourg SA | | | | | | | | |
7.75%, 06/01/2049(6) | | | 8,455,000 | | | | 279,015 | |
Level 3 Financing, Inc. | | | | | | | | |
3.88%, 11/15/2029(2) | | | 13,170,000 | | | | 14,105,465 | |
4.63%, 09/15/2027(2) | | | 510,000 | | | | 529,339 | |
Lumen Technologies, Inc. | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
4.00%, 02/15/2027(2) | | | 1,158,000 | | | | 1,181,160 | |
Motorola Solutions, Inc. | | | | | | | | |
2.30%, 11/15/2030 | | | 7,753,000 | | | | 7,613,702 | |
NBN Co. Ltd. | | | | | | | | |
2.63%, 05/05/2031(2) | | | 6,460,000 | | | | 6,617,172 | |
Netflix, Inc. | | | | | | | | |
3.63%, 05/15/2027 | | EUR | 15,245,000 | | | | 20,785,308 | |
3.63%, 06/15/2030 | | | 12,461,000 | | | | 17,553,449 | |
3.88%, 11/15/2029 | | | 2,000,000 | | | | 2,854,693 | |
4.63%, 05/15/2029 | | | 5,400,000 | | | | 7,995,809 | |
4.88%, 04/15/2028 | | $ | 1,445,000 | | | | 1,679,812 | |
4.88%, 06/15/2030(2) | | | 8,430,000 | | | | 10,025,799 | |
5.38%, 11/15/2029(2) | | | 1,056,000 | | | | 1,282,614 | |
5.88%, 11/15/2028 | | | 1,385,000 | | | | 1,699,991 | |
6.38%, 05/15/2029 | | | 1,635,000 | | | | 2,088,304 | |
Nokia OYJ | | | | | | | | |
3.38%, 06/12/2022 | | | 280,000 | | | | 285,347 | |
4.38%, 06/12/2027 | | | 4,255,000 | | | | 4,700,116 | |
NTT Finance Corp. | | | | | | | | |
1.59%, 04/03/2028(2) | | | 8,740,000 | | | | 8,714,956 | |
2.07%, 04/03/2031(2) | | | 1,170,000 | | | | 1,185,901 | |
Ooredoo International Finance Ltd. | | | | | | | | |
2.63%, 04/08/2031(2) | | | 7,865,000 | | | | 7,957,178 | |
SES GLOBAL Americas Holdings GP | | | | | | | | |
5.30%, 03/25/2044(2) | | | 10,000,000 | | | | 11,662,706 | |
Sinclair Television Group, Inc. | | | | | | | | |
4.13%, 12/01/2030(2) | | | 5,050,000 | | | | 4,961,625 | |
Sirius XM Radio, Inc. | | | | | | | | |
4.00%, 07/15/2028(2) | | | 1,175,000 | | | | 1,210,250 | |
4.63%, 07/15/2024(2) | | | 275,000 | | | | 282,260 | |
5.00%, 08/01/2027(2) | | | 1,385,000 | | | | 1,451,134 | |
5.38%, 07/15/2026(2) | | | 510,000 | | | | 526,575 | |
5.50%, 07/01/2029(2) | | | 115,000 | | | | 125,315 | |
Sprint Capital Corp. | | | | | | | | |
6.88%, 11/15/2028 | | | 3,445,000 | | | | 4,418,212 | |
Sprint Communications, Inc. | | | | | | | | |
6.00%, 11/15/2022 | | | 4,570,000 | | | | 4,838,487 | |
11.50%, 11/15/2021 | | | 700,000 | | | | 726,101 | |
Sprint Corp. | | | | | | | | |
7.13%, 06/15/2024 | | | 11,500,000 | | | | 13,268,125 | |
7.25%, 09/15/2021 | | | 19,338,000 | | | | 19,623,816 | |
7.63%, 02/15/2025 | | | 11,900,000 | | | | 14,138,747 | |
7.63%, 03/01/2026 | | | 137,000 | | | | 167,140 | |
7.88%, 09/15/2023 | | | 28,058,000 | | | | 31,876,020 | |
Sprint Spectrum Co. LLC | | | | | | | | |
3.36%, 09/20/2021(2) | | | 1,112,938 | | | | 1,119,081 | |
4.74%, 03/20/2025(2) | | | 40,079,063 | | | | 42,999,223 | |
5.15%, 03/20/2028(2) | | | 38,628,000 | | | | 44,410,612 | |
Telefonica Emisiones SA | | | | | | | | |
5.21%, 03/08/2047 | | | 8,450,000 | | | | 10,547,921 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.52%, 03/01/2049 | | | 10,675,000 | | | | 13,890,443 | |
Tencent Holdings Ltd. | | | | | | | | |
1.81%, 01/26/2026 | | | 5,757,000 | | | | 5,846,061 | |
3.58%, 04/11/2026 | | | 5,678,000 | | | | 6,197,423 | |
3.84%, 04/22/2051(2) | | | 16,095,000 | | | | 17,328,226 | |
3.94%, 04/22/2061(2) | | | 15,200,000 | | | | 16,789,312 | |
Time Warner Cable LLC | | | | | | | | |
4.50%, 09/15/2042 | | | 13,975,000 | | | | 15,533,865 | |
5.50%, 09/01/2041 | | | 11,204,000 | | | | 13,887,129 | |
T-Mobile USA, Inc. | | | | | | | | |
2.05%, 02/15/2028 | | | 2,720,000 | | | | 2,761,262 | |
2.25%, 02/15/2026 | | | 10,909,000 | | | | 10,990,818 | |
2.25%, 02/15/2026(2) | | | 13,200,000 | | | | 13,299,000 | |
2.55%, 02/15/2031 | | | 10,666,000 | | | | 10,785,459 | |
3.38%, 04/15/2029(2) | | | 5,800,000 | | | | 5,985,563 | |
3.38%, 04/15/2029 | | | 18,720,000 | | | | 19,318,920 | |
3.50%, 04/15/2025 | | | 11,245,000 | | | | 12,187,837 | |
3.50%, 04/15/2031(2) | | | 5,800,000 | | | | 6,000,390 | |
3.50%, 04/15/2031 | | | 13,495,000 | | | | 13,961,252 | |
3.75%, 04/15/2027 | | | 41,685,000 | | | | 46,061,925 | |
3.88%, 04/15/2030 | | | 36,925,000 | | | | 41,275,503 | |
4.50%, 02/01/2026 | | | 1,238,000 | | | | 1,261,671 | |
4.50%, 04/15/2050 | | | 2,613,000 | | | | 3,111,386 | |
4.75%, 02/01/2028 | | | 3,143,000 | | | | 3,366,939 | |
Uber Technologies, Inc. | | | | | | | | |
6.25%, 01/15/2028(2) | | | 7,305,000 | | | | 7,861,714 | |
7.50%, 09/15/2027(2) | | | 1,395,000 | | | | 1,533,077 | |
United Group BV | | | | | | | | |
4.88%, 07/01/2024 | | EUR | 8,500,000 | | | | 10,187,223 | |
Univision Communications, Inc. | | | | | | | | |
5.13%, 02/15/2025(2) | | $ | 7,686,000 | | | | 7,841,257 | |
6.63%, 06/01/2027(2) | | | 6,678,000 | | | | 7,235,947 | |
Verizon Communications, Inc. | | | | | | | | |
1.75%, 01/20/2031 | | | 30,000,000 | | | | 28,750,144 | |
2.10%, 03/22/2028 | | | 10,040,000 | | | | 10,249,989 | |
2.55%, 03/21/2031 | | | 25,540,000 | | | | 26,105,074 | |
2.65%, 11/20/2040 | | | 5,480,000 | | | | 5,273,498 | |
2.88%, 11/20/2050 | | | 2,071,000 | | | | 1,967,279 | |
2.99%, 10/30/2056 | | | 14,710,000 | | | | 13,827,954 | |
3.00%, 11/20/2060 | | | 13,329,000 | | | | 12,441,143 | |
3.55%, 03/22/2051 | | | 15,330,000 | | | | 16,378,062 | |
4.52%, 09/15/2048 | | | 895,000 | | | | 1,107,170 | |
4.75%, 11/01/2041 | | | 685,000 | | | | 864,157 | |
4.86%, 08/21/2046 | | | 1,175,000 | | | | 1,520,202 | |
ViacomCBS, Inc. | | | | | | | | |
4.20%, 05/19/2032 | | | 2,355,000 | | | | 2,717,964 | |
4.95%, 01/15/2031 | | | 10,430,000 | | | | 12,571,473 | |
Virgin Media Secured Finance Plc | | | | | | | | |
4.50%, 08/15/2030(2) | | | 8,680,000 | | | | 8,745,100 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.50%, 08/15/2026(2) | | | 1,285,000 | | | | 1,325,156 | |
5.50%, 05/15/2029(2) | | | 6,899,000 | | | | 7,416,425 | |
Vmed O2 UK Financing I Plc | | | | | | | | |
4.25%, 01/31/2031(2) | | | 2,915,000 | | | | 2,863,879 | |
Vodafone Group Plc | | | | | | | | |
4.25%, 09/17/2050 | | | 3,955,000 | | | | 4,619,462 | |
4.38%, 05/30/2028 | | | 8,820,000 | | | | 10,260,044 | |
4.88%, 06/19/2049 | | | 6,963,000 | | | | 8,782,115 | |
5.25%, 05/30/2048 | | | 15,065,000 | | | | 19,850,632 | |
Walt Disney Co. | | | | | | | | |
3.60%, 01/13/2051 | | | 7,500,000 | | | | 8,501,304 | |
Windstream Escrow LLC | | | | | | | | |
7.75%, 08/15/2028(2) | | | 222,000 | | | | 228,660 | |
Ziggo BV | | | | | | | | |
5.50%, 01/15/2027(2) | | | 5,255,000 | | | | 5,459,945 | |
| | | | | | | | |
Total Communications | | | | 1,490,166,554 | |
| | | | | |
Consumer, Cyclical – 3.18% | | | | | | | | |
7-Eleven, Inc. | | | | | | | | |
0.80%, 02/10/2024(2) | | | 24,535,000 | | | | 24,474,252 | |
Air Canada 2015-2 Class B Pass Through Trust | | | | | | | | |
5.00%, 12/15/2023(2) | | | 1,309,334 | | | | 1,325,981 | |
Air Canada 2017-1 Class B Pass Through Trust | | | | | | | | |
3.70%, 01/15/2026(2) | | | 11,170,754 | | | | 10,890,077 | |
Alaska Airlines 2020-1 Class A Pass Through Trust | | | | | | | | |
4.80%, 08/15/2027(2) | | | 1,484,445 | | | | 1,642,415 | |
Alimentation Couche-Tard, Inc. | | | | | | | | |
3.55%, 07/26/2027(2) | | | 3,000,000 | | | | 3,297,097 | |
3.80%, 01/25/2050(2) | | | 4,513,000 | | | | 4,836,819 | |
American Airlines 2015-1 Class A Pass Through Trust | | | | | | | | |
3.38%, 05/01/2027 | | | 491,150 | | | | 487,742 | |
American Airlines 2015-2 Class B Pass Through Trust | | | | | | | | |
4.40%, 09/22/2023 | | | 7,496,454 | | | | 7,335,381 | |
American Airlines 2016-1 Class B Pass Through Trust | | | | | | | | |
5.25%, 01/15/2024 | | | 363,225 | | | | 356,899 | |
American Airlines 2016-2 Class B Pass Through Trust | | | | | | | | |
4.38%, 06/15/2024(2) | | | 2,891,700 | | | | 2,834,512 | |
American Airlines 2016-3 Class B Pass Through Trust | | | | | | | | |
3.75%, 10/15/2025 | | | 2,448,382 | | | | 2,363,569 | |
American Airlines 2017-2 Class A Pass Through Trust | | | | | | | | |
3.60%, 10/15/2029 | | | 196,844 | | | | 194,468 | |
American Airlines 2017-2 Class B Pass Through Trust | | | | | | | | |
3.70%, 10/15/2025 | | | 1,313,244 | | | | 1,273,460 | |
American Airlines 2019-1 Class B Pass Through Trust | | | | | | | | |
3.85%, 02/15/2028 | | | 10,568,445 | | | | 10,075,983 | |
American Airlines, Inc. | | | | | | | | |
5.50%, 04/20/2026(2) | | | 2,130,000 | | | | 2,255,137 | |
5.75%, 04/20/2029(2) | | | 3,898,000 | | | | 4,214,712 | |
American Honda Finance Corp. | | | | | | | | |
0.55%, 07/12/2024 | | | 47,945,000 | | | | 47,789,665 | |
AutoNation, Inc. | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
4.75%, 06/01/2030 | | | 1,030,000 | | | | 1,218,185 | |
AutoZone, Inc. | | | | | | | | |
3.63%, 04/15/2025 | | | 5,645,000 | | | | 6,178,000 | |
4.00%, 04/15/2030 | | | 8,465,000 | | | | 9,621,032 | |
British Airways 2018-1 Class AA Pass Through Trust | | | | | | | | |
3.80%, 09/20/2031(2) | | | 1,996,838 | | | | 2,086,622 | |
British Airways 2019-1 Class A Pass Through Trust | | | | | | | | |
3.35%, 06/15/2029(2) | | | 2,951,158 | | | | 2,954,449 | |
British Airways 2019-1 Class AA Pass Through Trust | | | | | | | | |
3.30%, 12/15/2032(2) | | | 385,966 | | | | 392,614 | |
Caesars Entertainment, Inc. | | | | | | | | |
6.25%, 07/01/2025(2) | | | 5,600,000 | | | | 5,936,000 | |
Caesars Resort Collection LLC | | | | | | | | |
5.75%, 07/01/2025(2) | | | 1,100,000 | | | | 1,159,125 | |
Carnival Corp. | | | | | | | | |
11.50%, 04/01/2023(2) | | | 2,025,000 | | | | 2,278,935 | |
Continental Airlines 2007-1 Class A Pass Through Trust | | | | | | | | |
5.98%, 04/19/2022 | | | 2,222,572 | | | | 2,272,762 | |
Daimler Finance North America LLC | | | | | | | | |
1.06% (3 Month LIBOR USD + 0.90%), 02/15/2022(1)(2) | | | 4,620,000 | | | | 4,644,234 | |
1.45%, 03/02/2026(2) | | | 7,990,000 | | | | 8,025,742 | |
2.45%, 03/02/2031(2) | | | 3,005,000 | | | | 3,078,777 | |
Delta Air Lines, Inc. | | | | | | | | |
3.63%, 03/15/2022 | | | 3,757,000 | | | | 3,809,881 | |
7.00%, 05/01/2025(2) | | | 6,960,000 | | | | 8,122,239 | |
Diamond Resorts International, Inc. | | | | | | | | |
7.75%, 09/01/2023(2) | | | 4,234,000 | | | | 4,352,552 | |
Dillard’s, Inc. | | | | | | | | |
7.00%, 12/01/2028 | | | 380,000 | | | | 454,445 | |
7.75%, 07/15/2026 | | | 135,000 | | | | 163,605 | |
7.75%, 05/15/2027 | | | 85,000 | | | | 102,737 | |
Dollar General Corp. | | | | | | | | |
3.50%, 04/03/2030 | | | 3,125,000 | | | | 3,433,043 | |
Ferguson Finance Plc | | | | | | | | |
3.25%, 06/02/2030(2) | | | 1,720,000 | | | | 1,856,319 | |
Ford Motor Co. | | | | | | | | |
9.00%, 04/22/2025 | | | 445,000 | | | | 548,627 | |
9.63%, 04/22/2030 | | | 175,000 | | | | 251,125 | |
Ford Motor Credit Co. LLC | | | | | | | | |
0.00% (3 Month EURIBOR + 0.37%), 12/01/2021(1)(5) | | EUR | 610,000 | | | | 722,228 | |
0.00% (3 Month EURIBOR + 0.42%), 12/07/2022(1)(5) | | | 2,600,000 | | | | 3,062,541 | |
0.16% (3 Month EURIBOR + 0.70%), 12/01/2024(1)(5) | | | 2,000,000 | | | | 2,306,284 | |
0.19% (3 Month EURIBOR + 0.73%), 11/15/2023(1)(5) | | | 1,600,000 | | | | 1,869,144 | |
1.07% (3 Month LIBOR USD + 0.88%), 10/12/2021(1) | | $ | 3,390,000 | | | | 3,385,672 | |
1.39% (3 Month LIBOR USD + 1.24%), 02/15/2023(1) | | | 500,000 | | | | 498,125 | |
1.42% (3 Month LIBOR USD + 1.27%), 03/28/2022(1) | | | 350,000 | | | | 349,155 | |
1.51%, 02/17/2023 | | EUR
|
1,400,000 |
| | | 1,684,951 | |
1.74%, 07/19/2024 | | | 2,200,000 | | | | 2,644,597 | |
2.33%, 11/25/2025 | | | 1,400,000 | | | | 1,714,885 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
2.39%, 02/17/2026 | | | 300,000 | | | | 368,914 | |
2.75%, 06/14/2024 | | GBP | 200,000 | | | | 280,458 | |
2.98%, 08/03/2022 | | $ | 800,000 | | | | 811,000 | |
3.02%, 03/06/2024 | | EUR | 4,400,000 | | | | 5,467,856 | |
3.09%, 01/09/2023 | | $ | 22,700,000 | | | | 23,154,000 | |
3.10%, 05/04/2023 | | | 3,600,000 | | | | 3,672,000 | |
3.22%, 01/09/2022 | | | 8,485,000 | | | | 8,575,789 | |
3.25%, 09/15/2025 | | EUR | 3,090,000 | | | | 3,925,025 | |
3.34%, 03/28/2022 | | $ | 33,362,000 | | | | 33,852,421 | |
3.35%, 11/01/2022 | | | 4,100,000 | | | | 4,202,090 | |
3.37%, 11/17/2023 | | | 1,000,000 | | | | 1,036,682 | |
3.38%, 11/13/2025 | | | 1,800,000 | | | | 1,866,510 | |
3.55%, 10/07/2022 | | | 4,200,000 | | | | 4,310,250 | |
3.66%, 09/08/2024 | | | 5,850,000 | | | | 6,131,619 | |
3.81%, 01/09/2024 | | | 2,900,000 | | | | 3,032,327 | |
3.81%, 10/12/2021 | | | 4,810,000 | | | | 4,846,075 | |
4.25%, 09/20/2022 | | | 2,100,000 | | | | 2,168,397 | |
4.38%, 08/06/2023 | | | 2,000,000 | | | | 2,112,000 | |
4.39%, 01/08/2026 | | | 3,400,000 | | | | 3,672,000 | |
4.54%, 03/06/2025 | | GBP | 1,800,000 | | | | 2,667,348 | |
5.13%, 06/16/2025 | | $ | 2,500,000 | | | | 2,753,125 | |
5.58%, 03/18/2024 | | | 3,000,000 | | | | 3,285,600 | |
5.60%, 01/07/2022 | | | 18,964,000 | | | | 19,353,141 | |
5.88%, 08/02/2021 | | | 8,300,000 | | | | 8,342,330 | |
Gap, Inc. | | | | | | | | |
8.38%, 05/15/2023(2) | | | 1,225,000 | | | | 1,380,207 | |
8.63%, 05/15/2025(2) | | | 5,413,000 | | | | 5,938,061 | |
8.88%, 05/15/2027(2) | | | 2,759,000 | | | | 3,192,715 | |
General Motors Co. | | | | | | | | |
1.03% (3 Month LIBOR USD + 0.90%), 09/10/2021(1) | | | 3,000,000 | | | | 3,003,996 | |
5.20%, 04/01/2045 | | | 28,550,000 | | | | 35,286,921 | |
5.40%, 04/01/2048 | | | 1,330,000 | | | | 1,694,066 | |
6.25%, 10/02/2043 | | | 65,000 | | | | 89,732 | |
General Motors Financial Co., Inc. | | | | | | | | |
1.05%, 03/08/2024 | | | 5,995,000 | | | | 6,029,381 | |
3.15%, 06/30/2022 | | | 3,715,000 | | | | 3,804,008 | |
3.45%, 04/10/2022 | | | 1,470,000 | | | | 1,497,066 | |
4.00%, 10/06/2026 | | | 1,590,000 | | | | 1,755,389 | |
4.20%, 11/06/2021 | | | 2,110,000 | | | | 2,137,635 | |
4.30%, 07/13/2025 | | | 540,000 | | | | 596,773 | |
4.35%, 04/09/2025 | | | 4,495,000 | | | | 4,966,943 | |
4.38%, 09/25/2021 | | | 8,020,000 | | | | 8,094,518 | |
5.10%, 01/17/2024 | | | 13,185,000 | | | | 14,515,409 | |
Genm Capital Labuan Ltd. | | | | | | | | |
3.88%, 04/19/2031(2) | | | 10,990,000 | | | | 10,940,105 | |
Goodyear Tire & Rubber Co. | | | | | | | | |
5.00%, 07/15/2029(2) | | | 1,500,000 | | | | 1,570,500 | |
Hasbro, Inc. | | | | | | | | |
3.55%, 11/19/2026 | | | 5,270,000 | | | | 5,776,530 | |
Hilton Domestic Operating Co., Inc. | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
3.63%, 02/15/2032(2) | | | 7,388,000 | | | | 7,295,650 | |
3.75%, 05/01/2029(2) | | | 18,012,000 | | | | 18,192,120 | |
4.00%, 05/01/2031(2) | | | 16,300,000 | | | | 16,444,581 | |
Hyatt Hotels Corp. | | | | | | | | |
3.13% (3 Month LIBOR USD + 3.00%), 09/01/2022(1) | | | 5,000,000 | | | | 5,018,930 | |
Hyundai Capital America | | | | | | | | |
0.80%, 04/03/2023(2) | | | 27,900,000 | | | | 27,894,886 | |
1.15%, 11/10/2022(2) | | | 30,000,000 | | | | 30,199,772 | |
1.80%, 10/15/2025(2) | | | 5,395,000 | | | | 5,473,916 | |
2.38%, 02/10/2023(2) | | | 4,575,000 | | | | 4,696,009 | |
InterContinental Hotels Group Plc | | | | | | | | |
2.13%, 08/24/2026 | | GBP | 400,000 | | | | 562,652 | |
2.13%, 05/15/2027 | | EUR | 200,000 | | | | 255,218 | |
JetBlue 2019-1 Class AA Pass Through Trust | | | | | | | | |
2.75%, 05/15/2032 | | $ | 657,325 | | | | 675,014 | |
JetBlue 2020-1 Class A Pass Through Trust | | | | | | | | |
4.00%, 11/15/2032 | | | 3,385,485 | | | | 3,732,219 | |
JMH Co. Ltd. | | | | | | | | |
2.50%, 04/09/2031 | | | 7,704,000 | | | | 7,797,292 | |
L Brands, Inc. | | | | | | | | |
6.63%, 10/01/2030(2) | | | 3,790,000 | | | | 4,386,925 | |
Las Vegas Sands Corp. | | | | | | | | |
3.20%, 08/08/2024 | | | 1,200,000 | | | | 1,259,436 | |
3.50%, 08/18/2026 | | | 1,965,000 | | | | 2,089,279 | |
Lennar Corp. | | | | | | | | |
4.75%, 11/29/2027 | | | 4,275,000 | | | | 4,941,336 | |
4.88%, 12/15/2023 | | | 510,000 | | | | 555,130 | |
Lithia Motors, Inc. | | | | | | | | |
3.88%, 06/01/2029(2) | | | 3,540,000 | | | | 3,669,387 | |
Magic Mergeco, Inc. | | | | | | | | |
5.25%, 05/01/2028(2) | | | 8,945,000 | | | | 9,176,944 | |
Magna International, Inc. | | | | | | | | |
4.15%, 10/01/2025 | | | 665,000 | | | | 742,857 | |
Marriott International, Inc. | | | | | | | | |
2.85%, 04/15/2031 | | | 7,650,000 | | | | 7,768,503 | |
3.13%, 02/15/2023 | | | 1,360,000 | | | | 1,396,544 | |
3.50%, 10/15/2032 | | | 6,200,000 | | | | 6,586,273 | |
4.63%, 06/15/2030 | | | 11,174,000 | | | | 12,869,120 | |
5.75%, 05/01/2025 | | | 13,280,000 | | | | 15,329,095 | |
Marriott International, Inc./MD | | | | | | | | |
3.75%, 10/01/2025 | | | 880,000 | | | | 948,050 | |
Marriott Ownership Resorts, Inc. | | | | | | | | |
4.50%, 06/15/2029(2) | | | 745,000 | | | | 755,244 | |
6.13%, 09/15/2025(2) | | | 590,000 | | | | 627,436 | |
MDC Holdings, Inc. | | | | | | | | |
6.00%, 01/15/2043 | | | 7,970,000 | | | | 10,270,939 | |
Melco Resorts Finance Ltd. | | | | | | | | |
5.38%, 12/04/2029(2) | | | 2,900,000 | | | | 3,059,500 | |
Meritage Homes Corp. | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
3.88%, 04/15/2029(2) | | | 4,635,000 | | | | 4,797,225 | |
MGM China Holdings Ltd. | | | | | | | | |
5.25%, 06/18/2025(2) | | | 2,100,000 | | | | 2,181,375 | |
5.88%, 05/15/2026(2) | | | 700,000 | | | | 735,000 | |
MGM Resorts International | | | | | | | | |
7.75%, 03/15/2022 | | | 9,879,000 | | | | 10,325,531 | |
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd. | | | | | | | | |
6.50%, 06/20/2027(2) | | | 9,040,000 | | | | 9,953,040 | |
Mitchells & Butlers Finance Plc | | | | | | | | |
0.57% (3 Month LIBOR USD + 0.45%), 12/15/2030(1) | | | 8,193,451 | | | | 7,669,070 | |
6.01%, 12/15/2028 | | GBP | 296,658 | | | | 450,386 | |
NCL Corp. Ltd. | | | | | | | | |
5.88%, 03/15/2026(2) | | $ | 1,420,000 | | | | 1,487,450 | |
New Red Finance, Inc. | | | | | | | | |
4.25%, 05/15/2024(2) | | | 66,000 | | | | 66,726 | |
Nissan Motor Acceptance Corp. | | | | | | | | |
1.08% (3 Month LIBOR USD + 0.89%), 01/13/2022(1)(2) | | | 791,000 | | | | 792,893 | |
1.90%, 09/14/2021(2) | | | 650,000 | | | | 651,784 | |
2.00%, 03/09/2026(2) | | | 20,300,000 | | | | 20,428,268 | |
2.75%, 03/09/2028(2) | | | 14,600,000 | | | | 14,731,355 | |
3.65%, 09/21/2021(2) | | | 300,000 | | | | 301,991 | |
Nissan Motor Co. Ltd. | | | | | | | | |
3.52%, 09/17/2025(2) | | | 1,400,000 | | | | 1,494,955 | |
4.35%, 09/17/2027(2) | | | 10,500,000 | | | | 11,541,972 | |
4.81%, 09/17/2030(2) | | | 53,700,000 | | | | 60,629,459 | |
PetSmart, Inc. / PetSmart Finance Corp. | | | | | | | | |
4.75%, 02/15/2028(2) | | | 2,840,000 | | | | 2,950,050 | |
QVC, Inc. | | | | | | | | |
4.38%, 03/15/2023 | | | 920,000 | | | | 970,131 | |
Ross Stores, Inc. | | | | | | | | |
1.88%, 04/15/2031 | | | 5,120,000 | | | | 4,957,419 | |
Royal Caribbean Cruises Ltd. | | | | | | | | |
5.50%, 04/01/2028(2) | | | 2,075,000 | | | | 2,173,148 | |
9.13%, 06/15/2023(2) | | | 370,000 | | | | 406,075 | |
10.88%, 06/01/2023(2) | | | 5,469,000 | | | | 6,227,824 | |
11.50%, 06/01/2025(2) | | | 5,306,000 | | | | 6,115,165 | |
Sands China Ltd. | | | | | | | | |
3.80%, 01/08/2026 | | | 2,000,000 | | | | 2,135,940 | |
4.38%, 06/18/2030 | | | 1,000,000 | | | | 1,081,170 | |
4.60%, 08/08/2023 | | | 4,200,000 | | | | 4,460,820 | |
5.13%, 08/08/2025 | | | 10,423,000 | | | | 11,645,931 | |
5.40%, 08/08/2028 | | | 2,000,000 | | | | 2,321,540 | |
Shea Homes LP | | | | | | | | |
4.75%, 04/01/2029(2) | | | 1,415,000 | | | | 1,453,035 | |
Southwest Airlines Co. | | | | | | | | |
5.13%, 06/15/2027 | | | 1,458,000 | | | | 1,715,295 | |
Southwest Airlines Co. 2007-1 Pass Through Trust | | | | | | | | |
6.65%, 08/01/2022 | | | 41,960 | | | | 42,719 | |
Tenneco, Inc. | | | | | | | | |
5.13%, 04/15/2029(2) | | | 130,000 | | | | 133,587 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Toyota Motor Credit Corp. | | | | | | | | |
2.65%, 04/12/2022 | | | 17,580,000 | | | | 17,915,801 | |
Travel + Leisure Co. | | | | | | | | |
4.25%, 03/01/2022 | | | 40,000 | | | | 40,450 | |
6.00%, 04/01/2027 | | | 6,035,000 | | | | 6,629,870 | |
6.60%, 10/01/2025 | | | 1,120,000 | | | | 1,258,869 | |
United Airlines 2016-1 Class AA Pass Through Trust | | | | | | | | |
3.10%, 07/07/2028 | | | 163,064 | | | | 171,791 | |
United Airlines 2018-1 Class A Pass Through Trust | | | | | | | | |
3.70%, 03/01/2030 | | | 565,415 | | | | 575,856 | |
United Airlines 2018-1 Class B Pass Through Trust | | | | | | | | |
4.60%, 03/01/2026 | | | 5,283,184 | | | | 5,454,267 | |
United Airlines 2019-1 Class AA Pass Through Trust | | | | | | | | |
4.15%, 08/25/2031 | | | 589,807 | | | | 645,094 | |
United Airlines 2019-2 Class A Pass Through Trust | | | | | | | | |
2.90%, 05/01/2028 | | | 1,428,747 | | | | 1,422,584 | |
United Airlines 2019-2 Class AA Pass Through Trust | | | | | | | | |
2.70%, 05/01/2032 | | | 893,828 | | | | 895,820 | |
United Airlines 2020-1 Class A Pass Through Trust | | | | | | | | |
5.88%, 10/15/2027 | | | 14,560,245 | | | | 16,155,784 | |
United Airlines, Inc. | | | | | | | | |
4.38%, 04/15/2026(2) | | | 775,000 | | | | 802,265 | |
4.63%, 04/15/2029(2) | | | 5,850,000 | | | | 6,054,750 | |
US Airways 2011-1 Class A Pass Through Trust | | | | | | | | |
7.13%, 10/22/2023 | | | 1,228,172 | | | | 1,296,263 | |
US Airways 2013-1 Class A Pass Through Trust | | | | | | | | |
3.95%, 11/15/2025 | | | 1,235,175 | | | | 1,244,039 | |
Vail Resorts, Inc. | | | | | | | | |
6.25%, 05/15/2025(2) | | | 330,000 | | | | 353,225 | |
Volkswagen Group of America Finance LLC | | | | | | | | |
0.88%, 11/22/2023(2) | | | 35,590,000 | | | | 35,684,495 | |
1.63%, 11/24/2027(2) | | | 4,030,000 | | | | 3,980,857 | |
2.50%, 09/24/2021(2) | | | 2,350,000 | | | | 2,361,671 | |
2.70%, 09/26/2022(2) | | | 6,040,000 | | | | 6,207,442 | |
2.85%, 09/26/2024(2) | | | 2,640,000 | | | | 2,787,735 | |
3.20%, 09/26/2026(2) | | | 2,970,000 | | | | 3,211,266 | |
3.35%, 05/13/2025(2) | | | 16,230,000 | | | | 17,513,914 | |
4.63%, 11/13/2025(2) | | | 6,525,000 | | | | 7,432,663 | |
Wynn Las Vegas LLC | | | | | | | | |
5.25%, 05/15/2027(2) | | | 900,000 | | | | 966,690 | |
Wynn Macau Ltd. | | | | | | | | |
5.13%, 12/15/2029(2) | | | 600,000 | | | | 618,000 | |
5.50%, 01/15/2026(2) | | | 2,600,000 | | | | 2,725,164 | |
5.50%, 10/01/2027(2) | | | 2,000,000 | | | | 2,080,000 | |
Wynn Resorts Finance LLC | | | | | | | | |
7.75%, 04/15/2025(2) | | | 1,800,000 | | | | 1,939,500 | |
Yum! Brands, Inc. | | | | | | | | |
4.75%, 01/15/2030(2) | | | 750,000 | | | | 811,883 | |
7.75%, 04/01/2025(2) | | | 1,050,000 | | | | 1,141,875 | |
| | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Total Consumer, Cyclical | | | | 1,041,062,182 | |
| | | | | |
Consumer, Non-cyclical – 5.10% | | | | | | | | |
AA Bond Co. Ltd. | | | | | | | | |
2.88%, 01/31/2022 | | GBP | 5,547,000 | | | | 7,705,469 | |
4.88%, 07/31/2024 | | | 1,000,000 | | | | 1,471,040 | |
AbbVie, Inc. | | | | | | | | |
2.85%, 05/14/2023 | | $ | 1,000,000 | | | | 1,040,623 | |
2.95%, 11/21/2026 | | | 27,000,000 | | | | 29,023,552 | |
3.20%, 11/21/2029 | | | 8,770,000 | | | | 9,524,609 | |
3.45%, 03/15/2022 | | | 29,820,000 | | | | 30,322,844 | |
3.80%, 03/15/2025 | | | 3,618,000 | | | | 3,957,536 | |
4.05%, 11/21/2039 | | | 8,254,000 | | | | 9,586,407 | |
4.25%, 11/14/2028 | | | 4,500,000 | | | | 5,210,898 | |
4.25%, 11/21/2049 | | | 11,305,000 | | | | 13,549,205 | |
4.40%, 11/06/2042 | | | 7,147,000 | | | | 8,678,319 | |
4.45%, 05/14/2046 | | | 2,355,000 | | | | 2,843,947 | |
4.50%, 05/14/2035 | | | 2,925,000 | | | | 3,523,153 | |
4.55%, 03/15/2035 | | | 3,300,000 | | | | 4,005,243 | |
4.70%, 05/14/2045 | | | 5,020,000 | | | | 6,251,132 | |
4.88%, 11/14/2048 | | | 8,355,000 | | | | 10,762,066 | |
Adani Ports & Special Economic Zone Ltd. | | | | | | | | |
4.20%, 08/04/2027(2) | | | 4,985,000 | | | | 5,193,271 | |
Aetna, Inc. | | | | | | | | |
2.80%, 06/15/2023 | | | 2,000,000 | | | | 2,081,528 | |
3.50%, 11/15/2024 | | | 3,370,000 | | | | 3,645,680 | |
Albertsons Companies, Inc. | | | | | | | | |
7.50%, 03/15/2026(2) | | | 1,640,000 | | | | 1,799,900 | |
Anheuser-Busch InBev Worldwide, Inc. | | | | | | | | |
4.50%, 06/01/2050 | | | 17,795,000 | | | | 21,656,343 | |
4.60%, 04/15/2048 | | | 7,200,000 | | | | 8,790,073 | |
4.90%, 02/01/2046 | | | 4,455,000 | | | | 5,638,916 | |
Anthem, Inc. | | | | | | | | |
1.50%, 03/15/2026 | | | 11,000,000 | | | | 11,123,594 | |
2.55%, 03/15/2031 | | | 2,000,000 | | | | 2,061,066 | |
3.65%, 12/01/2027 | | | 2,580,000 | | | | 2,887,569 | |
Ascension Health | | | | | | | | |
3.95%, 11/15/2046 | | | 825,000 | | | | 1,007,378 | |
Ashtead Capital, Inc. | | | | | | | | |
5.25%, 08/01/2026(2) | | | 4,585,000 | | | | 4,780,046 | |
Astrazeneca Finance LLC | | | | | | | | |
1.75%, 05/28/2028 | | | 5,860,000 | | | | 5,854,339 | |
2.25%, 05/28/2031 | | | 1,895,000 | | | | 1,922,200 | |
AstraZeneca Plc | | | | | | | | |
3.00%, 05/28/2051 | | | 4,610,000 | | | | 4,752,722 | |
Bacardi Ltd. | | | | | | | | |
4.45%, 05/15/2025(2) | | | 13,995,000 | | | | 15,554,559 | |
4.70%, 05/15/2028(2) | | | 2,047,000 | | | | 2,381,444 | |
5.30%, 05/15/2048(2) | | | 2,730,000 | | | | 3,559,128 | |
Baptist Healthcare System Obligated Group | | | | | | | | |
3.54%, 08/15/2050 | | | 8,700,000 | | | | 9,368,288 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
BAT Capital Corp. | | | | | | | | |
2.73%, 03/25/2031 | | | 29,370,000 | | | | 28,996,333 | |
3.56%, 08/15/2027 | | | 17,990,000 | | | | 19,264,633 | |
4.39%, 08/15/2037 | | | 1,020,000 | | | | 1,099,848 | |
4.54%, 08/15/2047 | | | 10,555,000 | | | | 11,224,413 | |
4.70%, 04/02/2027 | | | 4,000,000 | | | | 4,520,012 | |
BAT International Finance Plc | | | | | | | | |
1.67%, 03/25/2026 | | | 1,870,000 | | | | 1,868,952 | |
Bausch Health Americas, Inc. | | | | | | | | |
8.50%, 01/31/2027(2) | | | 1,395,000 | | | | 1,516,226 | |
Bausch Health Companies, Inc. | | | | | | | | |
4.88%, 06/01/2028(2) | | | 570,000 | | | | 583,395 | |
7.25%, 05/30/2029(2) | | | 2,120,000 | | | | 2,166,449 | |
Bayer US Finance II LLC | | | | | | | | |
2.75%, 07/15/2021(2) | | | 3,100,000 | | | | 3,102,435 | |
2.85%, 04/15/2025(2) | | | 8,635,000 | | | | 8,969,954 | |
3.38%, 07/15/2024(2) | | | 915,000 | | | | 974,917 | |
4.25%, 12/15/2025(2) | | | 5,060,000 | | | | 5,638,593 | |
4.38%, 12/15/2028(2) | | | 6,085,000 | | | | 6,971,330 | |
4.40%, 07/15/2044(2) | | | 4,200,000 | | | | 4,791,527 | |
4.88%, 06/25/2048(2) | | | 11,025,000 | | | | 13,842,851 | |
Bayer US Finance LLC | | | | | | | | |
3.38%, 10/08/2024(2) | | | 5,000,000 | | | | 5,370,850 | |
Becton Dickinson & Co. | | | | | | | | |
1.96%, 02/11/2031 | | | 7,035,000 | | | | 6,864,003 | |
2.82%, 05/20/2030 | | | 31,645,000 | | | | 33,144,176 | |
3.36%, 06/06/2024 | | | 1,907,000 | | | | 2,043,140 | |
3.70%, 06/06/2027 | | | 9,547,000 | | | | 10,608,442 | |
3.73%, 12/15/2024 | | | 1,560,000 | | | | 1,698,760 | |
3.79%, 05/20/2050 | | | 5,285,000 | | | | 5,909,311 | |
4.67%, 06/06/2047 | | | 3,490,000 | | | | 4,347,854 | |
7.00%, 08/01/2027 | | | 361,000 | | | | 466,807 | |
Block Financial LLC | | | | | | | | |
2.50%, 07/15/2028 | | | 9,800,000 | | | | 9,839,881 | |
Bon Secours Mercy Health, Inc. | | | | | | | | |
3.21%, 06/01/2050 | | | 4,000,000 | | | | 4,142,274 | |
Cardinal Health, Inc. | | | | | | | | |
3.75%, 09/15/2025 | | | 3,935,000 | | | | 4,327,935 | |
4.37%, 06/15/2047 | | | 4,120,000 | | | | 4,613,406 | |
4.50%, 11/15/2044 | | | 905,000 | | | | 1,035,722 | |
4.90%, 09/15/2045 | | | 960,000 | | | | 1,147,158 | |
Centene Corp. | | | | | | | | |
2.45%, 07/15/2028 | | | 34,638,000 | | | | 35,105,613 | |
2.50%, 03/01/2031 | | | 17,385,000 | | | | 17,145,956 | |
3.00%, 10/15/2030 | | | 18,908,000 | | | | 19,423,810 | |
3.38%, 02/15/2030 | | | 7,485,000 | | | | 7,824,220 | |
4.25%, 12/15/2027 | | | 9,430,000 | | | | 9,936,863 | |
4.63%, 12/15/2029 | | | 4,275,000 | | | | 4,701,517 | |
5.38%, 06/01/2026(2) | | | 3,100,000 | | | | 3,239,500 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.38%, 08/15/2026(2) | | | 5,000,000 | | | | 5,225,000 | |
China Mengniu Dairy Co. Ltd. | | | | | | | | |
2.50%, 06/17/2030 | | | 1,870,000 | | | | 1,863,002 | |
Chobani LLC | | | | | | | | |
4.63%, 11/15/2028(2) | | | 4,020,000 | | | | 4,165,725 | |
Cigna Corp. | | | | | | | | |
2.38%, 03/15/2031 | | | 5,735,000 | | | | 5,815,367 | |
3.40%, 03/01/2027 | | | 6,858,000 | | | | 7,520,812 | |
3.40%, 03/15/2051 | | | 2,368,000 | | | | 2,472,311 | |
4.38%, 10/15/2028 | | | 24,030,000 | | | | 27,947,665 | |
4.50%, 02/25/2026 | | | 16,415,000 | | | | 18,681,955 | |
4.80%, 08/15/2038 | | | 2,350,000 | | | | 2,926,757 | |
CommonSpirit Health | | | | | | | | |
1.55%, 10/01/2025 | | | 3,450,000 | | | | 3,479,532 | |
2.78%, 10/01/2030 | | | 7,175,000 | | | | 7,445,516 | |
3.35%, 10/01/2029 | | | 3,390,000 | | | | 3,671,460 | |
3.91%, 10/01/2050 | | | 8,700,000 | | | | 9,562,409 | |
Community Health Systems, Inc. | | | | | | | | |
4.75%, 02/15/2031(2) | | | 6,600,000 | | | | 6,624,750 | |
5.63%, 03/15/2027(2) | | | 17,710,000 | | | | 18,905,425 | |
6.00%, 01/15/2029(2) | | | 3,730,000 | | | | 3,991,100 | |
6.63%, 02/15/2025(2) | | | 3,869,000 | | | | 4,091,429 | |
8.00%, 03/15/2026(2) | | | 4,312,000 | | | | 4,646,180 | |
Constellation Brands, Inc. | | | | | | | | |
3.75%, 05/01/2050 | | | 5,000,000 | | | | 5,533,059 | |
CoStar Group, Inc. | | | | | | | | |
2.80%, 07/15/2030(2) | | | 11,000,000 | | | | 11,174,466 | |
CVS Health Corp. | | | | | | | | |
1.30%, 08/21/2027 | | | 14,125,000 | | | | 13,855,294 | |
1.88%, 02/28/2031 | | | 4,335,000 | | | | 4,204,766 | |
2.70%, 08/21/2040 | | | 1,640,000 | | | | 1,589,680 | |
3.25%, 08/15/2029 | | | 6,270,000 | | | | 6,803,208 | |
4.30%, 03/25/2028 | | | 10,000,000 | | | | 11,489,067 | |
4.75%, 12/01/2022(2) | | | 56,000 | | | | 58,722 | |
5.05%, 03/25/2048 | | | 35,290,000 | | | | 45,837,323 | |
5.13%, 07/20/2045 | | | 2,250,000 | | | | 2,926,463 | |
CVS Pass-Through Trust | | | | | | | | |
5.77%, 01/10/2033(2) | | | 60,898 | | | | 72,181 | |
5.77%, 01/10/2033 | | | 2,236,289 | | | | 2,650,620 | |
6.04%, 12/10/2028 | | | 1,193,895 | | | | 1,398,126 | |
CVS Pass-Through Trust Series 2014 | | | | | | | | |
4.16%, 08/11/2036(2) | | | 9,992,070 | | | | 11,129,607 | |
DP World Crescent Ltd. | | | | | | | | |
4.85%, 09/26/2028 | | | 1,250,000 | | | | 1,436,830 | |
Elanco Animal Health, Inc. | | | | | | | | |
5.27%, 08/28/2023 | | | 2,840,000 | | | | 3,054,676 | |
Element Fleet Management Corp. | | | | | | | | |
1.60%, 04/06/2024(2) | | | 2,195,000 | | | | 2,230,710 | |
Equifax, Inc. | | | | | | | | |
3.60%, 08/15/2021 | | | 2,285,000 | | | | 2,294,084 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
ERAC USA Finance LLC | | | | | | | | |
3.80%, 11/01/2025(2) | | | 4,605,000 | | | | 5,083,175 | |
Fomento Economico Mexicano SAB de CV | | | | | | | | |
3.50%, 01/16/2050 | | | 8,105,000 | | | | 8,524,515 | |
Ford Foundation | | | | | | | | |
2.82%, 06/01/2070 | | | 880,000 | | | | 882,940 | |
Fresenius Medical Care US Finance III, Inc. | | | | | | | | |
1.88%, 12/01/2026(2) | | | 18,645,000 | | | | 18,645,534 | |
2.38%, 02/16/2031(2) | | | 20,000,000 | | | | 19,512,300 | |
3.00%, 12/01/2031(2) | | | 8,600,000 | | | | 8,772,819 | |
Gilead Sciences, Inc. | | | | | | | | |
4.60%, 09/01/2035 | | | 9,201,000 | | | | 11,258,017 | |
GlaxoSmithKline Capital Plc | | | | | | | | |
0.53%, 10/01/2023 | | | 35,910,000 | | | | 36,039,513 | |
Greene King Finance Plc | | | | | | | | |
4.06%, 03/15/2035 | | GBP | 3,491,235 | | | | 5,264,430 | |
5.11%, 03/15/2034 | | | 450,000 | | | | 717,994 | |
Hackensack Meridian Health, Inc. | | | | | | | | |
2.88%, 09/01/2050 | | $ | 5,750,000 | | | | 5,670,067 | |
HCA, Inc. | | | | | | | | |
3.50%, 09/01/2030 | | | 8,364,000 | | | | 8,910,755 | |
4.13%, 06/15/2029 | | | 26,998,000 | | | | 30,401,806 | |
4.50%, 02/15/2027 | | | 5,000,000 | | | | 5,650,375 | |
5.00%, 03/15/2024 | | | 9,880,000 | | | | 10,916,658 | |
5.25%, 04/15/2025 | | | 6,314,000 | | | | 7,223,649 | |
5.25%, 06/15/2049 | | | 29,940,000 | | | | 38,164,276 | |
5.88%, 05/01/2023 | | | 844,000 | | | | 917,175 | |
7.58%, 09/15/2025 | | | 1,322,000 | | | | 1,593,010 | |
7.69%, 06/15/2025 | | | 840,000 | | | | 1,020,558 | |
Hologic, Inc. | | | | | | | | |
4.63%, 02/01/2028(2) | | | 3,215,000 | | | | 3,375,750 | |
Humana, Inc. | | | | | | | | |
3.15%, 12/01/2022 | | | 1,302,000 | | | | 1,342,539 | |
3.85%, 10/01/2024 | | | 4,014,000 | | | | 4,353,846 | |
3.95%, 03/15/2027 | | | 6,255,000 | | | | 7,013,469 | |
4.88%, 04/01/2030 | | | 14,535,000 | | | | 17,535,770 | |
IHS Markit Ltd. | | | | | | | | |
4.00%, 03/01/2026(2) | | | 6,401,000 | | | | 7,095,509 | |
4.25%, 05/01/2029 | | | 2,585,000 | | | | 2,991,362 | |
4.75%, 02/15/2025(2) | | | 5,920,000 | | | | 6,627,440 | |
4.75%, 08/01/2028 | | | 3,425,000 | | | | 4,038,418 | |
5.00%, 11/01/2022(2) | | | 10,211,000 | | | | 10,696,419 | |
Illumina, Inc. | | | | | | | | |
2.55%, 03/23/2031 | | | 11,640,000 | | | | 11,815,743 | |
Imperial Brands Finance Plc | | | | | | | | |
3.13%, 07/26/2024(2) | | | 10,790,000 | | | | 11,357,875 | |
3.50%, 07/26/2026(2) | | | 8,675,000 | | | | 9,286,691 | |
4.25%, 07/21/2025(2) | | | 4,170,000 | | | | 4,593,871 | |
Integris Baptist Medical Center, Inc. | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
3.88%, 08/15/2050 | | | 7,000,000 | | | | 7,895,306 | |
IQVIA, Inc. | | | | | | | | |
2.88%, 09/15/2025(2) | | EUR | 100,000 | | | | 120,057 | |
2.88%, 06/15/2028 | | | 4,000,000 | | | | 4,885,669 | |
JBS USA LUX SA | | | | | | | | |
3.75%, 12/01/2031(2) | | $ | 3,090,000 | | | | 3,161,843 | |
5.50%, 01/15/2030(2) | | | 5,532,000 | | | | 6,186,878 | |
6.50%, 04/15/2029(2) | | | 6,985,000 | | | | 7,849,464 | |
6.75%, 02/15/2028(2) | | | 2,130,000 | | | | 2,340,338 | |
Kimberly-Clark de Mexico SAB de CV | | | | | | | | |
2.43%, 07/01/2031(2) | | | 8,765,000 | | | | 8,678,139 | |
Kraft Heinz Foods Co. | | | | | | | | |
3.00%, 06/01/2026 | | | 1,691,000 | | | | 1,800,804 | |
3.88%, 05/15/2027 | | | 23,873,000 | | | | 26,231,018 | |
4.25%, 03/01/2031 | | | 11,316,000 | | | | 12,854,849 | |
4.38%, 06/01/2046 | | | 21,930,000 | | | | 24,851,048 | |
4.88%, 10/01/2049 | | | 7,855,000 | | | | 9,535,588 | |
5.00%, 06/04/2042 | | | 7,936,000 | | | | 9,690,637 | |
5.50%, 06/01/2050 | | | 1,086,000 | | | | 1,409,359 | |
Kroger Co. | | | | | | | | |
5.40%, 01/15/2049 | | | 3,561,000 | | | | 4,857,248 | |
Mass General Brigham, Inc. | | | | | | | | |
3.34%, 07/01/2060 | | | 3,500,000 | | | | 3,835,712 | |
Massachusetts Institute of Technology | | | | | | | | |
4.68%, 07/01/2114 | | | 45,000 | | | | 65,436 | |
5.60%, 07/01/2111 | | | 72,000 | | | | 122,653 | |
Molina Healthcare, Inc. | | | | | | | | |
3.88%, 11/15/2030(2) | | | 2,706,000 | | | | 2,817,623 | |
4.38%, 06/15/2028(2) | | | 4,418,000 | | | | 4,605,765 | |
5.38%, 11/15/2022 | | | 1,913,000 | | | | 2,001,476 | |
Mylan, Inc. | | | | | | | | |
5.20%, 04/15/2048 | | | 1,145,000 | | | | 1,408,985 | |
Natura Cosmeticos SA | | | | | | | | |
4.13%, 05/03/2028(2) | | | 5,270,000 | | | | 5,401,750 | |
NBM US Holdings, Inc. | | | | | | | | |
7.00%, 05/14/2026(2) | | | 8,095,000 | | | | 8,726,491 | |
Nestle Holdings, Inc. | | | | | | | | |
0.38%, 01/15/2024(2) | | | 48,380,000 | | | | 48,144,810 | |
New York & Presbyterian Hospital | | | | | | | | |
3.56%, 08/01/2036 | | | 2,630,000 | | | | 2,975,959 | |
Organon & Co. | | | | | | | | |
4.13%, 04/30/2028(2) | | | 6,785,000 | | | | 6,919,343 | |
Ortho-Clinical Diagnostics, Inc. | | | | | | | | |
7.25%, 02/01/2028(2) | | | 566,000 | | | | 618,214 | |
7.38%, 06/01/2025(2) | | | 230,000 | | | | 246,963 | |
PepsiCo, Inc. | | | | | | | | |
0.40%, 10/07/2023 | | | 2,043,000 | | | | 2,044,993 | |
PerkinElmer, Inc. | | | | | | | | |
2.55%, 03/15/2031 | | | 12,115,000 | | | | 12,422,799 | |
3.30%, 09/15/2029 | | | 1,865,000 | | | | 2,017,045 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Perrigo Finance Unlimited Co. | | | | | | | | |
3.15%, 06/15/2030 | | | 7,590,000 | | | | 7,755,468 | |
3.90%, 12/15/2024 | | | 9,225,000 | | | | 9,935,373 | |
4.38%, 03/15/2026 | | | 13,577,000 | | | | 14,941,075 | |
Pilgrim’s Pride Corp. | | | | | | | | |
5.88%, 09/30/2027(2) | | | 530,000 | | | | 564,450 | |
Pomona College | | | | | | | | |
2.89%, 01/01/2051 | | | 3,570,000 | | | | 3,680,791 | |
Post Holdings, Inc. | | | | | | | | |
4.50%, 09/15/2031(2) | | | 2,500,000 | | | | 2,495,875 | |
4.63%, 04/15/2030(2) | | | 2,710,000 | | | | 2,755,609 | |
5.75%, 03/01/2027(2) | | | 3,220,000 | | | | 3,368,925 | |
Prime Security Services Borrower LLC | | | | | | | | |
5.75%, 04/15/2026(2) | | | 1,360,000 | | | | 1,502,351 | |
Reynolds American, Inc. | | | | | | | | |
4.45%, 06/12/2025 | | | 10,905,000 | | | | 12,080,299 | |
5.70%, 08/15/2035 | | | 6,650,000 | | | | 8,030,756 | |
5.85%, 08/15/2045 | | | 9,235,000 | | | | 11,307,846 | |
Rockefeller Foundation | | | | | | | | |
2.49%, 10/01/2050 | | | 7,900,000 | | | | 7,690,645 | |
Shanghai Port Group BVI Development 2 Co. Ltd. | | | | | | | | |
2.38%, 07/13/2030 | | | 1,910,000 | | | | 1,917,717 | |
Shanghai Port Group BVI Development Co. Ltd. | | | | | | | | |
2.85%, 09/11/2029 | | | 3,765,000 | | | | 3,933,766 | |
3.38%, 06/18/2029 | | | 4,690,000 | | | | 5,073,457 | |
Shift4 Payments LLC | | | | | | | | |
4.63%, 11/01/2026(2) | | | 1,140,000 | | | | 1,189,875 | |
Smithfield Foods, Inc. | | | | | | | | |
3.00%, 10/15/2030(2) | | | 925,000 | | | | 932,609 | |
4.25%, 02/01/2027(2) | | | 1,290,000 | | | | 1,410,096 | |
Sutter Health | | | | | | | | |
3.16%, 08/15/2040 | | | 4,700,000 | | | | 4,933,430 | |
3.36%, 08/15/2050 | | | 11,400,000 | | | | 12,098,326 | |
Tenet Healthcare Corp. | | | | | | | | |
4.63%, 07/15/2024 | | | 61,000 | | | | 61,897 | |
4.63%, 09/01/2024(2) | | | 4,500,000 | | | | 4,618,620 | |
7.50%, 04/01/2025(2) | | | 2,325,000 | | | | 2,511,302 | |
Teva Pharmaceutical Finance Co. BV | | | | | | | | |
2.95%, 12/18/2022 | | | 1,350,000 | | | | 1,356,750 | |
Teva Pharmaceutical Finance Netherlands II BV | | | | | | | | |
1.25%, 03/31/2023 | | EUR | 300,000 | | | | 347,721 | |
3.25%, 04/15/2022 | | | 1,300,000 | | | | 1,554,886 | |
Teva Pharmaceutical Finance Netherlands III BV | | | | | | | | |
2.20%, 07/21/2021 | | $ | 11,174,000 | | | | 11,169,530 | |
2.80%, 07/21/2023 | | | 4,490,000 | | | | 4,474,240 | |
3.15%, 10/01/2026 | | | 10,685,000 | | | | 10,164,106 | |
4.10%, 10/01/2046 | | | 7,075,000 | | | | 6,199,469 | |
7.13%, 01/31/2025 | | | 745,000 | | | | 821,363 | |
Transurban Finance Co. Pty Ltd. | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
2.45%, 03/16/2031(2) | | | 2,915,000 | | | | 2,931,597 | |
3.38%, 03/22/2027(2) | | | 2,635,000 | | | | 2,855,419 | |
Unilever Capital Corp. | | | | | | | | |
2.60%, 05/05/2024 | | | 28,544,000 | | | | 30,097,559 | |
3.00%, 03/07/2022 | | | 5,625,000 | | | | 5,733,782 | |
UnitedHealth Group, Inc. | | | | | | | | |
2.00%, 05/15/2030 | | | 17,695,000 | | | | 17,826,691 | |
3.05%, 05/15/2041 | | | 5,225,000 | | | | 5,472,315 | |
3.88%, 12/15/2028 | | | 1,070,000 | | | | 1,230,540 | |
3.88%, 08/15/2059 | | | 1,367,000 | | | | 1,621,256 | |
4.20%, 01/15/2047 | | | 1,288,000 | | | | 1,571,110 | |
Universal Health Services, Inc. | | | | | | | | |
5.00%, 06/01/2026(2) | | | 7,497,000 | | | | 7,684,425 | |
US Renal Care, Inc. | | | | | | | | |
10.63%, 07/15/2027(2) | | | 558,000 | | | | 585,203 | |
Utah Acquisition Sub, Inc. | | | | | | | | |
5.25%, 06/15/2046 | | | 4,075,000 | | | | 4,962,891 | |
Verisk Analytics, Inc. | | | | | | | | |
4.13%, 03/15/2029 | | | 3,835,000 | | | | 4,349,904 | |
Viatris, Inc. | | | | | | | | |
4.00%, 06/22/2050(2) | | | 4,035,000 | | | | 4,267,130 | |
Yili Holding Investment Ltd. | | | | | | | | |
1.63%, 11/19/2025 | | | 14,000,000 | | | | 13,946,848 | |
| | | | | | | | |
Total Consumer, Non-cyclical | | | | 1,666,792,253 | |
| | | | | |
Diversified – 0.02% | | | | | | | | |
CVS Pass-Through Trust Series 2013 | | | | | | | | |
4.70%, 01/10/2036(2) | | | 4,503,127 | | | | 5,103,032 | |
| | | | | | | | |
Total Diversified | | | | 5,103,032 | |
| | | | | |
Energy – 2.58% | | | | | | | | |
Aker BP ASA | | | | | | | | |
2.88%, 01/15/2026(2) | | | 1,685,000 | | | | 1,774,778 | |
3.00%, 01/15/2025(2) | | | 1,645,000 | | | | 1,726,637 | |
3.75%, 01/15/2030(2) | | | 15,485,000 | | | | 16,709,633 | |
4.00%, 01/15/2031(2) | | | 14,110,000 | | | | 15,498,208 | |
Antero Resources Corp. | | | | | | | | |
8.38%, 07/15/2026(2) | | | 1,250,000 | | | | 1,421,875 | |
Boardwalk Pipelines LP | | | | | | | | |
3.38%, 02/01/2023 | | | 330,000 | | | | 340,581 | |
3.40%, 02/15/2031 | | | 8,651,000 | | | | 9,182,516 | |
4.95%, 12/15/2024 | | | 2,655,000 | | | | 2,967,632 | |
5.95%, 06/01/2026 | | | 8,415,000 | | | | 9,976,394 | |
BP Capital Markets America, Inc. | | | | | | | | |
2.11%, 09/16/2021 | | | 5,210,000 | | | | 5,221,733 | |
Cameron LNG LLC | | | | | | | | |
2.90%, 07/15/2031(2) | | | 1,630,000 | | | | 1,737,048 | |
3.30%, 01/15/2035(2) | | | 1,785,000 | | | | 1,916,709 | |
3.40%, 01/15/2038(2) | | | 500,000 | | | | 528,035 | |
3.70%, 01/15/2039(2) | | | 1,330,000 | | | | 1,479,591 | |
Canadian Natural Resources Ltd. | | | | | | | | |
6.25%, 03/15/2038 | | | 1,345,000 | | | | 1,797,945 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Cheniere Corpus Christi Holdings LLC | | | | | | | | |
3.70%, 11/15/2029 | | | 16,815,000 | | | | 18,366,723 | |
5.13%, 06/30/2027 | | | 1,300,000 | | | | 1,511,623 | |
5.88%, 03/31/2025 | | | 3,220,000 | | | | 3,690,343 | |
7.00%, 06/30/2024 | | | 2,800,000 | | | | 3,207,490 | |
Cheniere Energy, Inc. | | | | | | | | |
4.63%, 10/15/2028(2) | | | 5,005,000 | | | | 5,280,275 | |
Continental Resources, Inc. | | | | | | | | |
3.80%, 06/01/2024 | | | 4,910,000 | | | | 5,192,325 | |
5.75%, 01/15/2031(2) | | | 5,720,000 | | | | 6,849,700 | |
DCP Midstream Operating LP | | | | | | | | |
6.75%, 09/15/2037(2) | | | 1,830,000 | | | | 2,200,575 | |
8.13%, 08/16/2030 | | | 205,000 | | | | 272,137 | |
Diamondback Energy, Inc. | | | | | | | | |
3.13%, 03/24/2031 | | | 3,525,000 | | | | 3,653,155 | |
3.25%, 12/01/2026 | | | 4,940,000 | | | | 5,295,193 | |
Energean Israel Finance Ltd. | | | | | | | | |
5.38%, 03/30/2028(2) | | | 4,950,000 | | | | 5,086,125 | |
5.88%, 03/30/2031(2) | | | 6,495,000 | | | | 6,673,613 | |
Energy Transfer LP | | | | | | | | |
2.90%, 05/15/2025 | | | 6,950,000 | | | | 7,314,730 | |
4.00%, 10/01/2027 | | | 6,885,000 | | | | 7,574,692 | |
4.05%, 03/15/2025 | | | 415,000 | | | | 449,975 | |
4.50%, 04/15/2024 | | | 985,000 | | | | 1,072,399 | |
4.75%, 01/15/2026 | | | 4,720,000 | | | | 5,313,823 | |
4.95%, 06/15/2028 | | | 7,845,000 | | | | 9,063,946 | |
5.00%, 05/15/2050 | | | 10,034,000 | | | | 11,597,437 | |
5.15%, 03/15/2045 | | | 2,700,000 | | | | 3,122,729 | |
5.25%, 04/15/2029 | | | 2,155,000 | | | | 2,545,421 | |
5.30%, 04/01/2044 | | | 600,000 | | | | 691,814 | |
5.35%, 05/15/2045 | | | 2,250,000 | | | | 2,603,539 | |
5.40%, 10/01/2047 | | | 19,719,000 | | | | 23,362,032 | |
5.50%, 06/01/2027 | | | 4,105,000 | | | | 4,814,281 | |
5.88%, 01/15/2024 | | | 3,180,000 | | | | 3,523,771 | |
6.00%, 06/15/2048 | | | 3,990,000 | | | | 5,043,391 | |
6.25%, 04/15/2049 | | | 7,520,000 | | | | 9,868,092 | |
6.50%, 02/01/2042 | | | 1,000,000 | | | | 1,298,326 | |
Energy Transfer Partners LP | | | | | | | | |
4.50%, 11/01/2023 | | | 20,385,000 | | | | 21,877,963 | |
5.88%, 03/01/2022 | | | 1,521,000 | | | | 1,553,538 | |
ENI SpA | | | | | | | | |
4.75%, 09/12/2028(2) | | | 4,075,000 | | | | 4,771,526 | |
EQT Corp. | | | | | | | | |
3.13%, 05/15/2026(2) | | | 700,000 | | | | 717,297 | |
3.63%, 05/15/2031(2) | | | 1,490,000 | | | | 1,553,325 | |
5.00%, 01/15/2029 | | | 1,355,000 | | | | 1,510,784 | |
8.50%, 02/01/2030 | | | 1,175,000 | | | | 1,530,919 | |
Exxon Mobil Corp. | | | | | | | | |
3.45%, 04/15/2051 | | | 640,000 | | | | 696,553 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
4.23%, 03/19/2040 | | | 2,505,000 | | | | 2,990,957 | |
4.33%, 03/19/2050 | | | 12,045,000 | | | | 14,950,448 | |
Galaxy Pipeline Assets Bidco Ltd. | | | | | | | | |
2.16%, 03/31/2034(2) | | | 1,711,000 | | | | 1,679,002 | |
2.94%, 09/30/2040(2) | | | 9,830,000 | | | | 9,757,367 | |
Gazprom Neft OAO Via GPN Capital SA | | | | | | | | |
4.38%, 09/19/2022 | | | 3,400,000 | | | | 3,525,487 | |
Gazprom PJSC Via Gaz Capital SA | | | | | | | | |
4.95%, 07/19/2022 | | | 3,000,000 | | | | 3,120,000 | |
4.95%, 03/23/2027 | | | 20,900,000 | | | | 23,324,400 | |
6.51%, 03/07/2022 | | | 4,045,000 | | | | 4,203,079 | |
Gazprom PJSC via Gaz Finance Plc | | | | | | | | |
2.95%, 04/15/2025 | | EUR | 15,000,000 | | | | 18,876,547 | |
2.95%, 01/27/2029(2) | | $ | 28,600,000 | | | | 28,028,000 | |
3.00%, 06/29/2027 | | | 10,000,000 | | | | 10,146,680 | |
Gray Oak Pipeline LLC | | | | | | | | |
2.00%, 09/15/2023(2) | | | 510,000 | | | | 520,172 | |
2.60%, 10/15/2025(2) | | | 1,575,000 | | | | 1,617,917 | |
3.45%, 10/15/2027(2) | | | 1,420,000 | | | | 1,492,466 | |
Greenko Dutch BV | | | | | | | | |
3.85%, 03/29/2026(2) | | | 7,800,000 | | | | 7,979,400 | |
Hess Corp. | | | | | | | | |
4.30%, 04/01/2027 | | | 4,305,000 | | | | 4,791,313 | |
5.60%, 02/15/2041 | | | 11,125,000 | | | | 13,887,061 | |
KazMunayGas National Co. JSC | | | | | | | | |
3.50%, 04/14/2033(2) | | | 600,000 | | | | 621,989 | |
3.50%, 04/14/2033 | | | 1,621,000 | | | | 1,680,406 | |
5.38%, 04/24/2030 | | | 1,367,000 | | | | 1,634,112 | |
5.75%, 04/19/2047 | | | 934,000 | | | | 1,166,062 | |
KazTransGas JSC | | | | | | | | |
4.38%, 09/26/2027 | | | 600,000 | | | | 666,060 | |
Kinder Morgan Energy Partners LP | | | | | | | | |
5.00%, 08/15/2042 | | | 30,000 | | | | 35,914 | |
Kinder Morgan, Inc. | | | | | | | | |
4.30%, 06/01/2025 | | | 14,500,000 | | | | 16,144,254 | |
5.05%, 02/15/2046 | | | 150,000 | | | | 182,145 | |
5.30%, 12/01/2034 | | | 2,450,000 | | | | 3,026,162 | |
5.55%, 06/01/2045 | | | 960,000 | | | | 1,242,835 | |
Leviathan Bond Ltd. | | | | | | | | |
6.13%, 06/30/2025(2) | | | 8,515,000 | | | | 9,355,856 | |
Lundin Energy Finance BV | | | | | | | | |
2.00%, 07/15/2026(2) | | | 7,715,000 | | | | 7,727,347 | |
3.10%, 07/15/2031(2) | | | 5,635,000 | | | | 5,692,116 | |
MPLX LP | | | | | | | | |
4.25%, 12/01/2027 | | | 5,655,000 | | | | 6,408,133 | |
NGL Energy Operating LLC | | | | | | | | |
7.50%, 02/01/2026(2) | | | 3,760,000 | | | | 3,948,000 | |
NGPL PipeCo LLC | | | | | | | | |
4.88%, 08/15/2027(2) | | | 4,268,000 | | | | 4,888,307 | |
Noble Finance Co. | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
11.00%, 02/15/2028(2)(7) | | | 24,887 | | | | 27,376 | |
11.00%, 02/15/2028(7) | | | 34,836 | | | | 38,320 | |
NuStar Logistics LP | | | | | | | | |
5.75%, 10/01/2025 | | | 2,345,000 | | | | 2,550,187 | |
Occidental Petroleum Corp. | | | | | | | | |
1.61% (3 Month LIBOR USD + 1.45%), 08/15/2022(1) | | | 313,000 | | | | 311,446 | |
2.90%, 08/15/2024 | | | 4,145,000 | | | | 4,238,262 | |
5.55%, 03/15/2026 | | | 2,820,000 | | | | 3,116,100 | |
8.00%, 07/15/2025 | | | 2,830,000 | | | | 3,388,925 | |
8.50%, 07/15/2027 | | | 1,705,000 | | | | 2,146,936 | |
8.88%, 07/15/2030 | | | 640,000 | | | | 855,930 | |
Odebrecht Drilling Norbe VIII/IX Ltd. | | | | | | | | |
6.35%, 12/01/2021 | | | 12,608 | | | | 12,482 | |
Odebrecht Offshore Drilling Finance Ltd. | | | | | | | | |
6.72%, 12/01/2022 | | | 22,691 | | | | 22,407 | |
ONEOK, Inc. | | | | | | | | |
4.25%, 02/01/2022 | | | 470,000 | | | | 475,987 | |
Pertamina Persero PT | | | | | | | | |
3.10%, 08/27/2030(2) | | | 3,663,000 | | | | 3,755,668 | |
Petrobras Global Finance BV | | | | | | | | |
6.25%, 12/14/2026 | | GBP | 4,359,000 | | | | 6,897,373 | |
Petroleos de Venezuela SA | | | | | | | | |
5.38%, 04/12/2027(6) | | $ | 2,052,000 | | | | 87,210 | |
5.50%, 04/12/2037(6) | | | 2,500,000 | | | | 106,250 | |
6.00%, 05/16/2024(6) | | | 2,312,000 | | | | 98,260 | |
6.00%, 11/15/2026(6) | | | 4,600,000 | | | | 195,500 | |
9.00%, 11/17/2021(6) | | | 200,000 | | | | 8,600 | |
9.75%, 05/17/2035(6) | | | 830,000 | | | | 35,275 | |
Petroleos Mexicanos | | | | | | | | |
5.35%, 02/12/2028 | | | 274,000 | | | | 269,465 | |
5.95%, 01/28/2031 | | | 8,650,000 | | | | 8,403,475 | |
6.49%, 01/23/2027 | | | 1,540,000 | | | | 1,626,625 | |
6.50%, 03/13/2027 | | | 1,566,000 | | | | 1,652,913 | |
6.50%, 01/23/2029 | | | 21,083,000 | | | | 21,675,327 | |
6.63%, 06/15/2035 | | | 940,000 | | | | 907,805 | |
6.75%, 09/21/2047 | | | 13,741,000 | | | | 12,160,785 | |
6.84%, 01/23/2030 | | | 7,010,000 | | | | 7,223,805 | |
6.95%, 01/28/2060 | | | 3,895,000 | | | | 3,446,685 | |
7.69%, 01/23/2050 | | | 3,502,000 | | | | 3,370,675 | |
Petronas Capital Ltd. | | | | | | | | |
2.48%, 01/28/2032(2) | | | 1,700,000 | | | | 1,708,197 | |
3.50%, 04/21/2030(2) | | | 2,900,000 | | | | 3,176,570 | |
4.55%, 04/21/2050(2) | | | 1,400,000 | | | | 1,723,091 | |
Plains All American Pipeline LP | | | | | | | | |
3.55%, 12/15/2029 | | | 800,000 | | | | 842,418 | |
3.80%, 09/15/2030 | | | 4,120,000 | | | | 4,408,639 | |
4.30%, 01/31/2043 | | | 4,600,000 | | | | 4,646,933 | |
4.70%, 06/15/2044 | | | 4,880,000 | | | | 5,169,880 | |
4.90%, 02/15/2045 | | | 390,000 | | | | 423,844 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
PTTEP Treasury Center Co. Ltd. | | | | | | | | |
2.59%, 06/10/2027 | | | 5,600,000 | | | | 5,799,413 | |
Reliance Industries Ltd. | | | | | | | | |
3.67%, 11/30/2027 | | | 8,195,000 | | | | 8,942,794 | |
4.13%, 01/28/2025 | | | 1,385,000 | | | | 1,512,323 | |
Rio Oil Finance Trust Series 2014-1 | | | | | | | | |
9.25%, 07/06/2024 | | | 218,717 | | | | 241,683 | |
Rio Oil Finance Trust Series 2014-3 | | | | | | | | |
9.75%, 01/06/2027 | | | 205,033 | | | | 241,685 | |
Rio Oil Finance Trust Series 2018-1 | | | | | | | | |
8.20%, 04/06/2028(2) | | | 480,000 | | | | 553,440 | |
Rockies Express Pipeline LLC | | | | | | | | |
4.95%, 07/15/2029(2) | | | 5,700,000 | | | | 5,878,410 | |
6.88%, 04/15/2040(2) | | | 3,535,000 | | | | 3,738,263 | |
Ruby Pipeline LLC | | | | | | | | |
8.00%, 04/01/2022(2) | | | 2,878,788 | | | | 2,621,412 | |
SA Global Sukuk Ltd. | | | | | | | | |
2.69%, 06/17/2031(2) | | | 11,400,000 | | | | 11,541,360 | |
Sabine Pass Liquefaction LLC | | | | | | | | |
4.50%, 05/15/2030 | | | 10,255,000 | | | | 11,834,803 | |
5.00%, 03/15/2027 | | | 6,865,000 | | | | 7,927,303 | |
5.63%, 03/01/2025 | | | 15,539,000 | | | | 17,760,103 | |
5.75%, 05/15/2024 | | | 1,982,000 | | | | 2,224,171 | |
5.88%, 06/30/2026 | | | 6,040,000 | | | | 7,149,890 | |
6.25%, 03/15/2022 | | | 1,125,000 | | | | 1,153,961 | |
Santos Finance Ltd. | | | | | | | | |
3.65%, 04/29/2031(2) | | | 10,000,000 | | | | 10,235,439 | |
Saudi Arabian Oil Co. | | | | | | | | |
1.63%, 11/24/2025 | | | 400,000 | | | | 403,800 | |
2.25%, 11/24/2030(2) | | | 1,800,000 | | | | 1,766,466 | |
3.25%, 11/24/2050(2) | | | 12,530,000 | | | | 12,154,100 | |
3.50%, 04/16/2029(2) | | | 6,300,000 | | | | 6,819,750 | |
Southern Gas Corridor CJSC | | | | | | | | |
6.88%, 03/24/2026 | | | 1,584,000 | | | | 1,893,197 | |
Southern Natural Gas Co. LLC | | | | | | | | |
4.80%, 03/15/2047(2) | | | 1,000,000 | | | | 1,231,680 | |
Tallgrass Energy Partners LP | | | | | | | | |
7.50%, 10/01/2025(2) | | | 2,785,000 | | | | 3,049,575 | |
Targa Resources Partners LP | | | | | | | | |
4.88%, 02/01/2031(2) | | | 325,000 | | | | 351,813 | |
6.88%, 01/15/2029 | | | 2,170,000 | | | | 2,444,787 | |
Targa Resources Partners LP / Targa Resources Partners Finance Corp. | | | | | | | | |
4.00%, 01/15/2032(2) | | | 1,685,000 | | | | 1,733,275 | |
TC PipeLines LP | | | | | | | | |
4.38%, 03/13/2025 | | | 3,330,000 | | | | 3,666,094 | |
Tengizchevroil Finance Co. International Ltd. | | | | | | | | |
4.00%, 08/15/2026 | | | 5,100,000 | | | | 5,535,336 | |
Texas Eastern Transmission LP | | | | | | | | |
2.80%, 10/15/2022(2) | | | 6,320,000 | | | | 6,450,709 | |
Thaioil Treasury Center Co. Ltd. | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
4.63%, 11/20/2028 | | | 1,020,000 | | | | 1,163,473 | |
Topaz Solar Farms LLC | | | | | | | | |
4.88%, 09/30/2039(2) | | | 463,589 | | | | 502,869 | |
5.75%, 09/30/2039(2) | | | 3,550,251 | | | | 4,108,433 | |
TransCanada PipeLines Ltd. | | | | | | | | |
4.10%, 04/15/2030 | | | 8,355,000 | | | | 9,601,148 | |
Transcontinental Gas Pipe Line Co. LLC | | | | | | | | |
3.25%, 05/15/2030 | | | 1,610,000 | | | | 1,741,924 | |
4.00%, 03/15/2028 | | | 5,410,000 | | | | 6,121,030 | |
4.60%, 03/15/2048 | | | 3,995,000 | | | | 4,867,745 | |
TransMontaigne Partners LP | | | | | | | | |
6.13%, 02/15/2026 | | | 2,540,000 | | | | 2,597,150 | |
Transocean Phoenix 2 Ltd. | | | | | | | | |
7.75%, 10/15/2024(2) | | | 1,151,700 | | | | 1,192,010 | |
Transocean Pontus Ltd. | | | | | | | | |
6.13%, 08/01/2025(2) | | | 1,802,350 | | | | 1,823,465 | |
Transocean Poseidon Ltd. | | | | | | | | |
6.88%, 02/01/2027(2) | | | 2,280,000 | | | | 2,291,400 | |
Transocean Proteus Ltd. | | | | | | | | |
6.25%, 12/01/2024(2) | | | 3,139,950 | | | | 3,171,350 | |
Transocean, Inc. | | | | | | | | |
7.25%, 11/01/2025(2) | | | 100,000 | | | | 87,000 | |
8.00%, 02/01/2027(2) | | | 70,000 | | | | 58,936 | |
USA Compression Partners LP | | | | | | | | |
6.88%, 09/01/2027 | | | 1,310,000 | | | | 1,399,447 | |
Valero Energy Corp. | | | | | | | | |
2.15%, 09/15/2027 | | | 1,915,000 | | | | 1,945,311 | |
Valero Energy Partners LP | | | | | | | | |
4.50%, 03/15/2028 | | | 5,370,000 | | | | 6,108,722 | |
Williams Companies, Inc. | | | | | | | | |
2.60%, 03/15/2031 | | | 13,680,000 | | | | 13,853,377 | |
3.35%, 08/15/2022 | | | 1,000,000 | | | | 1,023,992 | |
3.90%, 01/15/2025 | | | 125,000 | | | | 136,688 | |
4.00%, 09/15/2025 | | | 420,000 | | | | 465,012 | |
4.55%, 06/24/2024 | | | 6,990,000 | | | | 7,700,958 | |
4.85%, 03/01/2048 | | | 5,361,000 | | | | 6,515,422 | |
6.30%, 04/15/2040 | | | 1,323,000 | | | | 1,813,437 | |
Woodside Finance Ltd. | | | | | | | | |
3.65%, 03/05/2025(2) | | | 5,610,000 | | | | 5,989,561 | |
3.70%, 09/15/2026(2) | | | 2,885,000 | | | | 3,117,848 | |
3.70%, 03/15/2028(2) | | | 2,659,000 | | | | 2,853,598 | |
4.50%, 03/04/2029(2) | | | 3,845,000 | | | | 4,307,643 | |
| | | | | | | | |
Total Energy | | | | | | | 842,962,499 | |
| | | | | | | | |
Financials – 12.09% | | | | | | | | |
AerCap Ireland Capital DAC | | | | | | | | |
3.50%, 05/26/2022 | | | 1,687,000 | | | | 1,727,407 | |
3.50%, 01/15/2025 | | | 6,586,000 | | | | 6,979,624 | |
3.65%, 07/21/2027 | | | 5,120,000 | | | | 5,469,607 | |
3.88%, 01/23/2028 | | | 10,445,000 | | | | 11,179,975 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
3.95%, 02/01/2022 | | | 12,762,000 | | | | 12,977,572 | |
4.13%, 07/03/2023 | | | 8,300,000 | | | | 8,806,093 | |
4.63%, 07/01/2022 | | | 450,000 | | | | 467,928 | |
4.88%, 01/16/2024 | | | 4,345,000 | | | | 4,730,140 | |
6.50%, 07/15/2025 | | | 740,000 | | | | 867,956 | |
AIA Group Ltd. | | | | | | | | |
3.90%, 04/06/2028(2) | | | 2,945,000 | | | | 3,303,318 | |
AIB Group Plc | | | | | | | | |
4.26% (3 Month LIBOR USD + 1.87%), 04/10/2025(1)(2) | | | 2,400,000 | | | | 2,585,534 | |
Air Lease Corp. | | | | | | | | |
3.00%, 02/01/2030 | | | 4,635,000 | | | | 4,701,397 | |
3.13%, 12/01/2030 | | | 14,900,000 | | | | 15,136,990 | |
3.25%, 10/01/2029 | | | 1,250,000 | | | | 1,302,748 | |
3.38%, 07/01/2025 | | | 5,360,000 | | | | 5,757,347 | |
3.50%, 01/15/2022 | | | 6,690,000 | | | | 6,800,623 | |
3.88%, 07/03/2023 | | | 4,000,000 | | | | 4,243,182 | |
4.63%, 10/01/2028 | | | 30,000 | | | | 33,798 | |
Aircastle Ltd. | | | | | | | | |
4.13%, 05/01/2024 | | | 5,440,000 | | | | 5,800,378 | |
5.00%, 04/01/2023 | | | 5,090,000 | | | | 5,444,543 | |
Alexandria Real Estate Equities, Inc. | | | | | | | | |
3.80%, 04/15/2026 | | | 2,215,000 | | | | 2,466,335 | |
3.95%, 01/15/2027 | | | 3,440,000 | | | | 3,832,639 | |
3.95%, 01/15/2028 | | | 4,952,000 | | | | 5,592,293 | |
4.30%, 01/15/2026 | | | 5,995,000 | | | | 6,715,574 | |
4.70%, 07/01/2030 | | | 575,000 | | | | 684,087 | |
Allied World Assurance Co. Holdings Ltd. | | | | | | | | |
4.35%, 10/29/2025 | | | 2,490,000 | | | | 2,733,707 | |
Ally Financial, Inc. | | | | | | | | |
3.88%, 05/21/2024 | | | 15,000 | | | | 16,163 | |
4.63%, 03/30/2025 | | | 16,915,000 | | | | 18,938,998 | |
5.13%, 09/30/2024 | | | 400,000 | | | | 450,629 | |
5.75%, 11/20/2025 | | | 1,315,000 | | | | 1,509,827 | |
5.80%, 05/01/2025 | | | 9,805,000 | | | | 11,394,211 | |
8.00%, 11/01/2031 | | | 5,000 | | | | 7,026 | |
8.00%, 11/01/2031 | | | 13,313,000 | | | | 19,131,424 | |
American Campus Communities Operating Partnership LP | | | | | | | | |
2.85%, 02/01/2030 | | | 7,225,000 | | | | 7,435,178 | |
3.30%, 07/15/2026 | | | 19,400,000 | | | | 20,803,227 | |
3.63%, 11/15/2027 | | | 3,733,000 | | | | 4,061,766 | |
3.75%, 04/15/2023 | | | 2,000,000 | | | | 2,095,588 | |
4.13%, 07/01/2024 | | | 2,750,000 | | | | 2,993,460 | |
American Homes 4 Rent LP | | | | | | | | |
2.38%, 07/15/2031 | | | 1,690,000 | | | | 1,664,870 | |
American International Group, Inc. | | | | | | | | |
3.90%, 04/01/2026 | | | 5,715,000 | | | | 6,377,601 | |
4.20%, 04/01/2028 | | | 2,522,000 | | | | 2,899,240 | |
American Tower Corp. | | | | | | | | |
1.60%, 04/15/2026 | | | 3,690,000 | | | | 3,728,973 | |
2.10%, 06/15/2030 | | | 4,100,000 | | | | 4,031,905 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
2.70%, 04/15/2031 | | | 30,000,000 | | | | 30,939,146 | |
AmFam Holdings, Inc. | | | | | | | | |
2.81%, 03/11/2031(2) | | | 5,500,000 | | | | 5,630,707 | |
Ares Capital Corp. | | | | | | | | |
2.88%, 06/15/2028 | | | 18,340,000 | | | | 18,615,467 | |
Athene Global Funding | | | | | | | | |
0.74% (Secured Overnight Financing Rate + 0.70%), 05/24/2024(1)(2) | | | 14,300,000 | | | | 14,415,401 | |
1.61%, 06/29/2026(2) | | | 9,100,000 | | | | 9,101,007 | |
2.55%, 11/19/2030(2) | | | 3,300,000 | | | | 3,318,222 | |
Athene Holding Ltd. | | | | | | | | |
3.50%, 01/15/2031 | | | 1,835,000 | | | | 1,956,382 | |
4.13%, 01/12/2028 | | | 11,630,000 | | | | 12,970,655 | |
Athora Netherlands NV | | | | | | | | |
2.38%, 05/17/2024 | | EUR | 500,000 | | | | 618,808 | |
Aviation Capital Group LLC | | | | | | | | |
1.95%, 01/30/2026(2) | | $ | 2,130,000 | | | | 2,130,575 | |
2.88%, 01/20/2022(2) | | | 8,869,000 | | | | 8,959,123 | |
3.88%, 05/01/2023(2) | | | 100,000 | | | | 104,771 | |
4.13%, 08/01/2025(2) | | | 168,000 | | | | 181,436 | |
4.88%, 10/01/2025(2) | | | 3,007,000 | | | | 3,338,890 | |
5.50%, 12/15/2024(2) | | | 3,900,000 | | | | 4,408,286 | |
Avolon Holdings Funding Ltd. | | | | | | | | |
2.88%, 02/15/2025(2) | | | 8,154,000 | | | | 8,395,370 | |
3.95%, 07/01/2024(2) | | | 2,449,000 | | | | 2,611,815 | |
4.25%, 04/15/2026(2) | | | 1,525,000 | | | | 1,652,606 | |
4.38%, 05/01/2026(2) | | | 3,202,000 | | | | 3,480,540 | |
5.13%, 10/01/2023(2) | | | 19,938,000 | | | | 21,555,077 | |
5.50%, 01/15/2023(2) | | | 6,425,000 | | | | 6,824,065 | |
5.50%, 01/15/2026(2) | | | 3,165,000 | | | | 3,589,942 | |
Banco Bradesco SA | | | | | | | | |
3.20%, 01/27/2025(2) | | | 1,600,000 | | | | 1,643,488 | |
Banco de Bogota SA | | | | | | | | |
4.38%, 08/03/2027 | | | 4,700,000 | | | | 4,955,210 | |
Banco Nacional de Comercio Exterior SNC/Cayman Islands | | | | | | | | |
3.80% (5 Year CMT Index + 3.00%), 08/11/2026(1)(2) | | | 500,000 | | | | 498,750 | |
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand | | | | | | | | |
5.38%, 04/17/2025(2) | | | 5,395,000 | | | | 6,121,383 | |
Banco Santander SA | | | | | | | | |
0.70% (1 Year CMT Index + 0.45%), 06/30/2024(1) | | | 20,600,000 | | | | 20,641,135 | |
2.75%, 12/03/2030 | | | 3,200,000 | | | | 3,169,977 | |
3.49%, 05/28/2030 | | | 2,000,000 | | | | 2,159,623 | |
5.18%, 11/19/2025 | | | 2,400,000 | | | | 2,742,822 | |
6.75% (5 Year Swap Rate EUR + 6.80%), 07/25/2169(1)(5) | | EUR | 500,000 | | | | 618,072 | |
Bangkok Bank PCL | | | | | | | | |
4.45%, 09/19/2028 | | $ | 1,260,000 | | | | 1,451,295 | |
Bank of America Corp. | | | | | | | | |
1.66% (Secured Overnight Financing Rate + 0.91%), 03/11/2027(1) | | | 32,940,000 | | | | 33,201,727 | |
1.73% (Secured Overnight Financing Rate + 0.96%), 07/22/2027(1) | | | 24,835,000 | | | | 25,026,011 | |
1.90% (Secured Overnight Financing Rate + 1.53%), 07/23/2031(1) | | | 11,605,000 | | | | 11,282,936 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
1.92% (Secured Overnight Financing Rate + 1.37%), 10/24/2031(1) | | | 9,000,000 | | | | 8,770,998 | |
2.09% (Secured Overnight Financing Rate + 1.06%), 06/14/2029(1) | | | 16,210,000 | | | | 16,341,167 | |
2.50% (3 Month LIBOR USD + 0.99%), 02/13/2031(1) | | | 25,075,000 | | | | 25,601,418 | |
2.59% (Secured Overnight Financing Rate + 2.15%), 04/29/2031(1) | | | 6,285,000 | | | | 6,479,440 | |
2.65% (Secured Overnight Financing Rate + 1.22%), 03/11/2032(1) | | | 5,000,000 | | | | 5,134,746 | |
2.69% (Secured Overnight Financing Rate + 1.32%), 04/22/2032(1) | | | 20,000,000 | | | | 20,575,890 | |
2.88% (3 Month LIBOR USD + 1.19%), 10/22/2030(1) | | | 4,100,000 | | | | 4,318,902 | |
4.18%, 11/25/2027 | | | 16,659,000 | | | | 18,664,700 | |
4.20%, 08/26/2024 | | | 9,485,000 | | | | 10,397,790 | |
4.25%, 10/22/2026 | | | 21,015,000 | | | | 23,729,370 | |
4.27% (3 Month LIBOR USD + 1.31%), 07/23/2029(1) | | | 17,970,000 | | | | 20,643,744 | |
4.45%, 03/03/2026 | | | 855,000 | | | | 971,105 | |
Barclays Bank Plc | | | | | | | | |
7.63%, 11/21/2022 | | | 3,311,000 | | | | 3,610,778 | |
Barclays Plc | | | | | | | | |
2.85% (Secured Overnight Financing Rate + 2.71%), 05/07/2026(1) | | | 5,450,000 | | | | 5,757,777 | |
3.25%, 02/12/2027 | | GBP | 6,200,000 | | | | 9,327,518 | |
3.56% (5 Year CMT Index + 2.90%), 09/23/2035(1) | | $ | 29,545,000 | | | | 30,781,163 | |
3.93% (3 Month LIBOR USD + 1.61%), 05/07/2025(1) | | | 16,730,000 | | | | 18,060,092 | |
4.38%, 01/12/2026 | | | 2,670,000 | | | | 2,989,575 | |
4.97% (3 Month LIBOR USD + 1.90%), 05/16/2029(1) | | | 3,700,000 | | | | 4,332,613 | |
5.09% (3 Month LIBOR USD + 3.05%), 06/20/2030(1) | | | 1,570,000 | | | | 1,829,815 | |
5.88% (5 Year Swap Rate GBP + 4.91%), 12/15/2169(1) | | GBP | 2,400,000 | | | | 3,560,614 | |
6.13% (5 Year CMT Index + 5.87%), 12/15/2169(1) | | $ | 4,700,000 | | | | 5,208,164 | |
6.38% (UK Government Bonds 5 Year Note Generic Bid Yield + 6.02%), 03/15/2169(1) | | GBP | 4,100,000 | | | | 6,344,548 | |
7.13% (UK Government Bonds 5 Year Note Generic Bid Yield + 6.58%), 09/15/2169(1) | | | 3,200,000 | | | | 5,057,345 | |
7.25% (5 Year Swap Rate GBP + 6.46%), 06/15/2169(1) | | | 18,283,000 | | | | 27,282,530 | |
7.75% (5 Year Swap Rate USD + 4.84%), 12/15/2169(1) | | $ | 5,150,000 | | | | 5,658,562 | |
7.88% (5 Year Swap Rate GBP + 6.10%), 12/15/2169(1) | | GBP | 1,600,000 | | | | 2,373,486 | |
7.88% (5 Year Swap Rate USD + 6.77%), 12/15/2169(1) | | $ | 7,895,000 | | | | 8,230,537 | |
BBVA Bancomer SA | | | | | | | | |
1.88%, 09/18/2025(2) | | | 9,010,000 | | | | 9,112,263 | |
Berkshire Hathaway Finance Corp. | | | | | | | | |
4.40%, 05/15/2042 | | | 1,000,000 | | | | 1,255,450 | |
BGC Partners, Inc. | | | | | | | | |
5.38%, 07/24/2023 | | | 380,000 | | | | 411,443 | |
BNP Paribas SA | | | | | | | | |
1.32% (Secured Overnight Financing Rate + 1.00%), 01/13/2027(1)(2) | | | 20,205,000 | | | | 19,960,220 | |
1.68% (Secured Overnight Financing Rate + 0.91%), 06/30/2027(1)(2) | | | 17,105,000 | | | | 17,089,157 | |
2.87% (Secured Overnight Financing Rate + 1.39%), 04/19/2032(1)(2) | | | 16,200,000 | | | | 16,636,923 | |
BOC Aviation Ltd. | | | | | | | | |
1.27% (3 Month LIBOR USD + 1.13%), 09/26/2023(1)(2) | | | 500,000 | | | | 499,184 | |
2.75%, 09/18/2022(2) | | | 300,000 | | | | 305,359 | |
Boston Properties LP | | | | | | | | |
3.25%, 01/30/2031 | | | 14,015,000 | | | | 15,007,870 | |
3.85%, 02/01/2023 | | | 3,245,000 | | | | 3,388,439 | |
Brixmor Operating Partnership LP | | | | | | | | |
1.23% (3 Month LIBOR USD + 1.05%), 02/01/2022(1) | | | 4,860,000 | | | | 4,878,795 | |
2.25%, 04/01/2028 | | | 925,000 | | | | 923,895 | |
3.65%, 06/15/2024 | | | 3,624,000 | | | | 3,903,865 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
3.85%, 02/01/2025 | | | 1,680,000 | | | | 1,827,355 | |
3.90%, 03/15/2027 | | | 7,198,000 | | | | 7,897,780 | |
4.05%, 07/01/2030 | | | 5,460,000 | | | | 6,108,964 | |
4.13%, 06/15/2026 | | | 2,980,000 | | | | 3,316,458 | |
4.13%, 05/15/2029 | | | 12,860,000 | | | | 14,407,459 | |
Brookfield Finance, Inc. | | | | | | | | |
2.72%, 04/15/2031 | | | 2,900,000 | | | | 2,985,353 | |
Capital One Financial Corp. | | | | | | | | |
3.65%, 05/11/2027 | | | 9,310,000 | | | | 10,333,871 | |
4.20%, 10/29/2025 | | | 195,000 | | | | 217,753 | |
4.25%, 04/30/2025 | | | 2,880,000 | | | | 3,209,014 | |
CBL & Associates LP | | | | | | | | |
5.95%, 12/15/2026(6) | | | 132,000 | | | | 74,250 | |
CBRE Services, Inc. | | | | | | | | |
2.50%, 04/01/2031 | | | 4,900,000 | | | | 4,962,390 | |
4.88%, 03/01/2026 | | | 445,000 | | | | 514,514 | |
CDBL Funding 2 | | | | | | | | |
3.00%, 08/01/2022 | | | 1,700,000 | | | | 1,729,057 | |
Charles Schwab Corp. | | | | | | | | |
2.00%, 03/20/2028 | | | 9,305,000 | | | | 9,545,256 | |
4.00% (10 year CMT Index + 3.08%), 03/01/2170(1) | | | 700,000 | | | | 716,100 | |
4.00% (5 Year CMT Index + 3.17%), 06/01/2170(1) | | | 16,600,000 | | | | 17,305,500 | |
5.38% (5 Year CMT Index + 4.97%), 09/01/2169(1) | | | 1,049,000 | | | | 1,159,460 | |
China Construction Bank New Zealand Ltd. | | | | | | | | |
0.88% (3 Month LIBOR USD + 0.75%), 12/20/2021(1) | | | 7,100,000 | | | | 7,111,608 | |
CIT Bank N.A. | | | | | | | | |
2.97% (Secured Overnight Financing Rate + 1.72%), 09/27/2025(1) | | | 1,700,000 | | | | 1,778,625 | |
CIT Group, Inc. | | | | | | | | |
5.00%, 08/15/2022 | | | 250,000 | | | | 261,250 | |
Citigroup, Inc. | | | | | | | | |
0.98% (Secured Overnight Financing Rate + 0.67%), 05/01/2025(1) | | | 6,840,000 | | | | 6,856,278 | |
1.46% (Secured Overnight Financing Rate + 0.77%), 06/09/2027(1) | | | 20,615,000 | | | | 20,526,247 | |
2.56% (Secured Overnight Financing Rate + 1.17%), 05/01/2032(1)(17) | | | 15,825,000 | | | | 16,109,087 | |
2.88% (3 Month LIBOR USD + 0.95%), 07/24/2023(1) | | | 1,290,000 | | | | 1,323,120 | |
3.11% (Secured Overnight Financing Rate + 2.84%), 04/08/2026(1) | | | 5,200,000 | | | | 5,565,003 | |
4.13%, 07/25/2028 | | | 1,675,000 | | | | 1,886,958 | |
4.41% (Secured Overnight Financing Rate + 3.91%), 03/31/2031(1) | | | 6,395,000 | | | | 7,467,233 | |
CNO Financial Group, Inc. | | | | | | | | |
5.25%, 05/30/2025 | | | 1,718,000 | | | | 1,948,282 | |
5.25%, 05/30/2029 | | | 3,840,000 | | | | 4,563,761 | |
Cooperatieve Rabobank UA | | | | | | | | |
4.38%, 08/04/2025 | | | 1,225,000 | | | | 1,367,821 | |
Corporate Office Properties LP | | | | | | | | |
2.75%, 04/15/2031 | | | 3,155,000 | | | | 3,178,807 | |
CPI Property Group SA | | | | | | | | |
1.63%, 04/23/2027 | | EUR | 100,000 | | | | 121,895 | |
4.75%, 03/08/2023 | | $ | 800,000 | | | | 852,666 | |
Credit Agricole SA | | | | | | | | |
4.00% (5 Year Swap Rate USD + 1.64%), 01/10/2033(1)(2) | | | 21,168,000 | | | | 22,983,179 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
4.38%, 03/17/2025(2) | | | 1,717,000 | | | | 1,888,102 | |
Credit Suisse AG | | | | | | | | |
6.50%, 08/08/2023(2) | | | 1,400,000 | | | | 1,546,496 | |
Credit Suisse AG/New York NY | | | | | | | | |
0.50%, 02/02/2024 | | | 10,025,000 | | | | 9,983,676 | |
Credit Suisse Group AG | | | | | | | | |
1.31% (Secured Overnight Financing Rate + 0.98%), 02/02/2027(1)(2) | | | 22,465,000 | | | | 22,003,357 | |
2.19% (Secured Overnight Financing Rate + 2.04%), 06/05/2026(1)(2) | | | 9,550,000 | | | | 9,778,344 | |
3.09% (Secured Overnight Financing Rate + 1.73%), 05/14/2032(1)(2) | | | 20,870,000 | | | | 21,501,352 | |
3.75%, 03/26/2025 | | | 830,000 | | | | 900,306 | |
4.19% (Secured Overnight Financing Rate + 3.73%), 04/01/2031(1)(2) | | | 18,725,000 | | | | 21,043,691 | |
4.28%, 01/09/2028(2) | | | 3,290,000 | | | | 3,659,753 | |
4.55%, 04/17/2026 | | | 1,015,000 | | | | 1,149,601 | |
5.25% (5 Year CMT Index + 4.89%), 02/11/2170(1)(2) | | | 1,100,000 | | | | 1,163,250 | |
6.25% (5 Year Swap Rate USD + 3.46%), 12/18/2169(1)(2) | | | 700,000 | | | | 766,500 | |
7.13% (5 Year Swap Rate USD + 5.11%), 07/29/2169(1) | | | 1,800,000 | | | | 1,878,750 | |
7.25% (5 Year 1100 Run ICE Swap Rate USD + 4.33%), 03/12/2170(1)(2) | | | 1,100,000 | | | | 1,243,550 | |
7.50% (5 Year Swap Rate USD + 4.60%), 01/17/2170(1)(2) | | | 2,900,000 | | | | 3,153,750 | |
7.50% (5 Year Swap Rate USD + 4.60%), 06/11/2170(1) | | | 1,400,000 | | | | 1,553,076 | |
7.50% (5 Year Swap Rate USD + 4.60%), 06/11/2170(1)(2) | | | 1,800,000 | | | | 1,996,812 | |
Crown Castle International Corp. | | | | | | | | |
2.50%, 07/15/2031 | | | 25,000,000 | | | | 25,177,964 | |
3.30%, 07/01/2030 | | | 1,085,000 | | | | 1,162,353 | |
3.65%, 09/01/2027 | | | 7,580,000 | | | | 8,357,656 | |
3.80%, 02/15/2028 | | | 3,220,000 | | | | 3,577,678 | |
4.15%, 07/01/2050 | | | 215,000 | | | | 245,473 | |
4.30%, 02/15/2029 | | | 11,875,000 | | | | 13,657,363 | |
4.45%, 02/15/2026 | | | 7,275,000 | | | | 8,220,176 | |
CTR Partnership LP | | | | | | | | |
5.25%, 06/01/2025 | | | 194,000 | | | | 199,092 | |
CyrusOne LP | | | | | | | | |
1.45%, 01/22/2027 | | EUR | 1,300,000 | | | | 1,570,516 | |
2.15%, 11/01/2030 | | $ | 10,250,000 | | | | 9,724,331 | |
CyrusOne LP / CyrusOne Finance Corp. | | | | | | | | |
2.90%, 11/15/2024 | | | 3,525,000 | | | | 3,722,506 | |
Danske Bank | | | | | | | | |
1.62% (1 Year CMT Index + 1.35%), 09/11/2026(1)(2) | | | 10,000,000 | | | | 10,009,361 | |
3.00% (3 Month LIBOR USD + 1.25%), 09/20/2022(1)(2) | | | 8,535,000 | | | | 8,576,760 | |
3.24% (3 Month LIBOR USD + 1.59%), 12/20/2025(1)(2) | | | 9,618,000 | | | | 10,236,381 | |
3.88%, 09/12/2023(2) | | | 2,003,000 | | | | 2,131,475 | |
5.00%, 01/12/2022(2) | | | 7,540,000 | | | | 7,714,938 | |
5.38%, 01/12/2024(2) | | | 9,455,000 | | | | 10,484,219 | |
Deutsche Bank AG | | | | | | | | |
0.11% (3 Month EURIBOR + 0.65%), 09/10/2021(1)(5) | | EUR | 1,700,000 | | | | 2,017,351 | |
1.00% (3 Month EURIBOR + 1.60%), 11/19/2025(1)(5) | | | 10,400,000 | | | | 12,585,624 | |
1.75% (3 Month EURIBOR + 2.05%), 11/19/2030(1)(5) | | | 2,500,000 | | | | 3,130,605 | |
2.63%, 12/16/2024 | | GBP | 900,000 | | | | 1,299,714 | |
5.63% (5 Year Swap Rate EUR + 6.00%), 05/19/2031(1)(5) | | EUR | 1,800,000 | | | | 2,524,936 | |
Deutsche Bank AG/New York NY | | | | | | | | |
1.35% (3 Month LIBOR USD + 1.19%), 11/16/2022(1) | | $ | 100,000 | | | | 100,842 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
2.13% (Secured Overnight Financing Rate + 1.87%), 11/24/2026(1)(17) | | | 11,000,000 | | | | 11,161,778 | |
2.22% (Secured Overnight Financing Rate + 2.16%), 09/18/2024(1) | | | 4,895,000 | | | | 5,027,267 | |
3.04% (Secured Overnight Financing Rate + 1.72%), 05/28/2032(1)(17) | | | 7,615,000 | | | | 7,743,297 | |
3.55% (Secured Overnight Financing Rate + 3.04%), 09/18/2031(1) | | | 16,820,000 | | | | 17,904,343 | |
3.96% (Secured Overnight Financing Rate + 2.58%), 11/26/2025(1) | | | 15,420,000 | | | | 16,670,441 | |
Digital Realty Trust LP | | | | | | | | |
4.75%, 10/01/2025 | | | 1,640,000 | | | | 1,864,242 | |
Discover Bank | | | | | | | | |
4.65%, 09/13/2028 | | | 2,640,000 | | | | 3,098,166 | |
Discover Financial Services | | | | | | | | |
3.75%, 03/04/2025 | | | 8,845,000 | | | | 9,668,021 | |
3.95%, 11/06/2024 | | | 6,058,000 | | | | 6,602,393 | |
4.10%, 02/09/2027 | | | 18,075,000 | | | | 20,225,216 | |
Doric Nimrod Air Finance Alpha Ltd. 2012-1 Class A Pass Through Trust | | | | | | | | |
5.13%, 11/30/2022(2) | | | 1,517,260 | | | | 1,524,229 | |
EPR Properties | | | | | | | | |
4.75%, 12/15/2026 | | | 140,000 | | | | 151,729 | |
4.95%, 04/15/2028 | | | 414,000 | | | | 447,138 | |
Equinix, Inc. | | | | | | | | |
2.15%, 07/15/2030 | | | 17,645,000 | | | | 17,532,359 | |
2.50%, 05/15/2031 | | | 13,224,000 | | | | 13,449,181 | |
3.20%, 11/18/2029 | | | 8,645,000 | | | | 9,272,665 | |
Equitable Financial Life Global Funding | | | | | | | | |
1.80%, 03/08/2028(2) | | | 13,720,000 | | | | 13,648,723 | |
Equitable Holdings, Inc. | | | | | | | | |
4.35%, 04/20/2028 | | | 1,820,000 | | | | 2,086,699 | |
Erste Group Bank AG | | | | | | | | |
4.25% (5 Year Swap Rate EUR + 4.65%), 04/15/2170(1)(5) | | EUR | 600,000 | | | | 761,251 | |
8.88% (5 Year Swap Rate EUR + 9.02%), 10/15/2169(1)(5) | | | 1,600,000 | | | | 1,942,619 | |
Essential Properties LP | | | | | | | | |
2.95%, 07/15/2031 | | $ | 2,800,000 | | | | 2,797,569 | |
Essex Portfolio LP | | | | | | | | |
3.63%, 05/01/2027 | | | 2,785,000 | | | | 3,074,468 | |
4.00%, 03/01/2029 | | | 8,860,000 | | | | 9,996,733 | |
Fairfax Financial Holdings Ltd. | | | | | | | | |
2.75%, 03/29/2028 | | EUR | 800,000 | | | | 1,040,447 | |
4.63%, 04/29/2030 | | $ | 4,361,000 | | | | 4,996,343 | |
4.70%, 12/16/2026 | | CAD | 2,300,000 | | | | 2,057,791 | |
4.85%, 04/17/2028 | | $ | 138,000 | | | | 158,745 | |
Farmers Exchange Capital II | | | | | | | | |
6.15% (3 Month LIBOR USD + 3.74%), 11/01/2053(1)(2) | | | 280,000 | | | | 361,835 | |
Farmers Exchange Capital III | | | | | | | | |
5.45% (3 Month LIBOR USD + 3.45%), 10/15/2054(1)(2) | | | 5,000,000 | | | | 6,257,157 | |
Farmers Insurance Exchange | | | | | | | | |
4.75% (3 Month LIBOR USD + 3.23%), 11/01/2057(1)(2) | | | 3,000,000 | | | | 3,381,693 | |
8.63%, 05/01/2024(2) | | | 4,480,000 | | | | 5,366,202 | |
Fidelity & Guaranty Life Holdings, Inc. | | | | | | | | |
5.50%, 05/01/2025(2) | | | 2,360,000 | | | | 2,717,304 | |
Fidelity National Financial, Inc. | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
2.45%, 03/15/2031 | | | 6,840,000 | | | | 6,810,801 | |
3.40%, 06/15/2030 | | | 5,874,000 | | | | 6,323,197 | |
4.50%, 08/15/2028 | | | 15,455,000 | | | | 17,729,911 | |
Fifth Third Bancorp | | | | | | | | |
2.55%, 05/05/2027 | | | 6,835,000 | | | | 7,225,631 | |
GE Capital Funding LLC | | | | | | | | |
4.05%, 05/15/2027 | | | 2,225,000 | | | | 2,518,225 | |
4.40%, 05/15/2030 | | | 24,770,000 | | | | 28,865,286 | |
GE Capital International Funding Co. Unlimited Co. | | | | | | | | |
3.37%, 11/15/2025 | | | 3,985,000 | | | | 4,348,146 | |
4.42%, 11/15/2035 | | | 46,410,000 | | | | 55,621,525 | |
Global Atlantic Finance Co. | | | | | | | | |
4.40%, 10/15/2029(2) | | | 2,987,000 | | | | 3,296,283 | |
Global Bank Corp. | | | | | | | | |
5.25% (3 Month LIBOR USD + 3.30%), 04/16/2029(1) | | | 750,000 | | | | 785,625 | |
GLP Capital LP | | | | | | | | |
4.00%, 01/15/2030 | | | 2,665,000 | | | | 2,860,371 | |
5.25%, 06/01/2025 | | | 2,536,000 | | | | 2,854,648 | |
5.30%, 01/15/2029 | | | 5,325,000 | | | | 6,203,625 | |
5.38%, 11/01/2023 | | | 6,254,000 | | | | 6,795,847 | |
5.38%, 04/15/2026 | | | 4,285,000 | | | | 4,932,078 | |
5.75%, 06/01/2028 | | | 4,034,000 | | | | 4,799,890 | |
GLP Capital LP / GLP Financing II, Inc. | | | | | | | | |
3.35%, 09/01/2024 | | | 11,085,000 | | | | 11,742,528 | |
Goldman Sachs Group, Inc. | | | | | | | | |
0.48%, 01/27/2023 | | | 15,315,000 | | | | 15,323,445 | |
0.63% (Secured Overnight Financing Rate + 0.54%), 11/17/2023(1) | | | 21,965,000 | | | | 21,971,536 | |
1.43% (Secured Overnight Financing Rate + 0.80%), 03/09/2027(1) | | | 28,015,000 | | | | 27,936,019 | |
1.54% (Secured Overnight Financing Rate + 0.82%), 09/10/2027(1) | | | 18,755,000 | | | | 18,702,210 | |
2.62% (Secured Overnight Financing Rate + 1.28%), 04/22/2032(1) | | | 20,000,000 | | | | 20,431,344 | |
3.27% (3 Month LIBOR USD + 1.20%), 09/29/2025(1) | | | 1,011,000 | | | | 1,081,551 | |
Goodman US Finance Three LLC | | | | | | | | |
3.70%, 03/15/2028(2) | | | 463,000 | | | | 501,754 | |
Growthpoint Properties International Pty Ltd. | | | | | | | | |
5.87%, 05/02/2023(2) | | | 200,000 | | | | 214,068 | |
Healthcare Realty Trust, Inc. | | | | | | | | |
2.05%, 03/15/2031 | | | 6,095,000 | | | | 5,891,750 | |
3.63%, 01/15/2028 | | | 8,955,000 | | | | 9,812,285 | |
Healthcare Trust of America Holdings LP | | | | | | | | |
2.00%, 03/15/2031 | | | 4,500,000 | | | | 4,345,782 | |
Healthpeak Properties, Inc. | | | | | | | | |
2.88%, 01/15/2031 | | | 5,865,000 | | | | 6,136,234 | |
3.25%, 07/15/2026 | | | 610,000 | | | | 661,788 | |
3.40%, 02/01/2025 | | | 160,000 | | | | 171,850 | |
3.50%, 07/15/2029 | | | 685,000 | | | | 756,385 | |
Highwoods Realty LP | | | | | | | | |
4.13%, 03/15/2028 | | | 4,875,000 | | | | 5,460,872 | |
Howard Hughes Corp. | | | | | | | | |
4.13%, 02/01/2029(2) | | | 2,635,000 | | | | 2,635,053 | |
5.38%, 08/01/2028(2) | | | 455,000 | | | | 483,042 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
HSBC Holdings Plc | | | | | | | | |
0.98% (Secured Overnight Financing Rate + 0.71%), 05/24/2025(1) | | | 12,680,000 | | | | 12,669,350 | |
1.59% (Secured Overnight Financing Rate + 1.29%), 05/24/2027(1) | | | 8,510,000 | | | | 8,526,403 | |
1.65% (Secured Overnight Financing Rate + 1.54%), 04/18/2026(1) | | | 8,240,000 | | | | 8,350,479 | |
1.75% (Sterling Overnight Index Average + 1.31%), 07/24/2027(1) | | GBP | 13,200,000 | | | | 18,458,662 | |
2.01% (Secured Overnight Financing Rate + 1.73%), 09/22/2028(1) | | $ | 16,010,000 | | | | 16,064,541 | |
2.10% (Secured Overnight Financing Rate + 1.93%), 06/04/2026(1) | | | 4,570,000 | | | | 4,696,437 | |
2.36% (Secured Overnight Financing Rate + 1.95%), 08/18/2031(1) | | | 2,300,000 | | | | 2,301,569 | |
2.63% (Secured Overnight Financing Rate + 1.40%), 11/07/2025(1) | | | 4,085,000 | | | | 4,287,343 | |
2.85% (Secured Overnight Financing Rate + 2.39%), 06/04/2031(1) | | | 34,320,000 | | | | 35,629,942 | |
3.00% (1 Year Swap Rate GBP + 1.77%), 05/29/2030(1) | | GBP | 2,400,000 | | | | 3,582,194 | |
3.97% (3 Month LIBOR USD + 1.61%), 05/22/2030(1) | | $ | 13,200,000 | | | | 14,774,449 | |
4.29% (3 Month LIBOR USD + 1.35%), 09/12/2026(1) | | | 13,975,000 | | | | 15,552,526 | |
4.58% (3 Month LIBOR USD + 1.53%), 06/19/2029(1) | | | 3,200,000 | | | | 3,698,430 | |
4.95%, 03/31/2030 | | | 9,900,000 | | | | 11,947,431 | |
5.88% (5 Year Swap Rate GBP + 4.28%), 03/28/2170(1) | | GBP | 6,400,000 | | | | 9,925,976 | |
6.00% (5 Year Swap Rate EUR + 5.34%), 03/29/2170(1) | | EUR | 600,000 | | | | 779,479 | |
6.50% (5 Year 1100 Run ICE Swap Rate USD + 3.61%), 09/23/2169(1) | | $ | 3,420,000 | | | | 3,922,330 | |
Hudson Pacific Properties LP | | | | | | | | |
3.25%, 01/15/2030 | | | 1,300,000 | | | | 1,371,883 | |
3.95%, 11/01/2027 | | | 7,907,000 | | | | 8,660,217 | |
Icahn Enterprises LP / Icahn Enterprises Finance Corp. | | | | | | | | |
4.38%, 02/01/2029(2) | | | 2,375,000 | | | | 2,363,125 | |
5.25%, 05/15/2027 | | | 4,930,000 | | | | 5,090,200 | |
IMMOFINANZ AG | | | | | | | | |
2.63%, 01/27/2023 | | EUR | 4,200,000 | | | | 5,133,748 | |
Industrial & Commercial Bank of China Ltd. | | | | | | | | |
0.88% (3 Month LIBOR USD + 0.75%), 12/21/2021(1) | | $ | 3,500,000 | | | | 3,501,321 | |
ING Groep NV | | | | | | | | |
1.73% (Secured Overnight Financing Rate + 1.01%), 04/01/2027(1) | | | 3,490,000 | | | | 3,519,799 | |
2.73% (Secured Overnight Financing Rate + 1.32%), 04/01/2032(1) | | | 6,100,000 | | | | 6,273,372 | |
6.88% (5 Year 1100 Run ICE Swap Rate USD + 5.12%), 04/16/2170(1) | | | 1,400,000 | | | | 1,454,600 | |
Intercontinental Exchange, Inc. | | | | | | | | |
1.85%, 09/15/2032 | | | 35,404,000 | | | | 33,505,177 | |
2.10%, 06/15/2030 | | | 11,715,000 | | | | 11,609,670 | |
2.65%, 09/15/2040 | | | 4,200,000 | | | | 4,025,154 | |
3.00%, 09/15/2060 | | | 9,700,000 | | | | 9,351,993 | |
International Lease Finance Corp. | | | | | | | | |
8.63%, 01/15/2022 | | | 1,056,000 | | | | 1,100,947 | |
Itau Unibanco Holding SA | | | | | | | | |
2.90%, 01/24/2023(2) | | | 5,500,000 | | | | 5,616,050 | |
3.25%, 01/24/2025(2) | | | 3,800,000 | | | | 3,908,300 | |
JAB Holdings BV | | | | | | | | |
2.20%, 11/23/2030(2) | | | 9,100,000 | | | | 8,836,985 | |
Jefferies Group LLC | | | | | | | | |
4.15%, 01/23/2030 | | | 7,180,000 | | | | 8,040,593 | |
4.85%, 01/15/2027 | | | 1,500,000 | | | | 1,744,765 | |
6.25%, 01/15/2036 | | | 1,430,000 | | | | 1,911,130 | |
6.45%, 06/08/2027 | | | 3,660,000 | | | | 4,557,865 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
6.50%, 01/20/2043 | | | 1,125,000 | | | | 1,551,667 | |
JP Morgan Chase & Co. | | | | | | | | |
0.97% (Secured Overnight Financing Rate + 0.58%), 06/23/2025(1) | | | 24,260,000 | | | | 24,288,668 | |
1.58% (Secured Overnight Financing Rate + 0.89%), 04/22/2027(1) | | | 36,775,000 | | | | 36,965,533 | |
1.76% (Secured Overnight Financing Rate + 1.11%), 11/19/2031(1) | | | 6,670,000 | | | | 6,396,607 | |
1.95% (Secured Overnight Financing Rate + 1.07%), 02/04/2032(1) | | | 15,000,000 | | | | 14,567,980 | |
2.01% (Secured Overnight Financing Rate + 1.59%), 03/13/2026(1) | | | 8,481,000 | | | | 8,755,783 | |
2.08% (Secured Overnight Financing Rate + 1.85%), 04/22/2026(1) | | | 8,375,000 | | | | 8,660,120 | |
2.18% (Secured Overnight Financing Rate + 1.89%), 06/01/2028(1) | | | 7,115,000 | | | | 7,285,627 | |
2.52% (Secured Overnight Financing Rate + 2.04%), 04/22/2031(1) | | | 29,710,000 | | | | 30,571,382 | |
2.58% (Secured Overnight Financing Rate + 1.25%), 04/22/2032(1) | | | 40,000,000 | | | | 41,053,588 | |
2.74% (Secured Overnight Financing Rate + 1.51%), 10/15/2030(1) | | | 4,350,000 | | | | 4,552,737 | |
2.95%, 10/01/2026 | | | 2,340,000 | | | | 2,518,020 | |
2.96% (Secured Overnight Financing Rate + 2.52%), 05/13/2031(1) | | | 13,240,000 | | | | 13,908,708 | |
4.49% (Secured Overnight Financing Rate + 3.79%), 03/24/2031(1) | | | 13,825,000 | | | | 16,372,623 | |
Kilroy Realty LP | | | | | | | | |
2.50%, 11/15/2032 | | | 3,600,000 | | | | 3,546,312 | |
3.05%, 02/15/2030 | | | 200,000 | | | | 208,310 | |
3.45%, 12/15/2024 | | | 1,845,000 | | | | 1,967,879 | |
4.38%, 10/01/2025 | | | 2,345,000 | | | | 2,598,852 | |
Kookmin Bank | | | | | | | | |
2.50%, 11/04/2030(2) | | | 4,800,000 | | | | 4,773,648 | |
2.50%, 11/04/2030 | | | 7,100,000 | | | | 7,061,022 | |
Lloyds Banking Group Plc | | | | | | | | |
1.63% (1 Year CMT Index + 0.85%), 05/11/2027(1) | | | 14,105,000 | | | | 14,112,286 | |
2.91% (3 Month LIBOR USD + 0.81%), 11/07/2023(1) | | | 12,390,000 | | | | 12,775,471 | |
3.57% (3 Month LIBOR USD + 1.21%), 11/07/2028(1) | | | 420,000 | | | | 459,385 | |
3.87% (1 Year CMT Index + 3.50%), 07/09/2025(1) | | | 1,675,000 | | | | 1,814,647 | |
4.45%, 05/08/2025 | | | 3,665,000 | | | | 4,112,749 | |
4.95% (CMS 5 Year Rate EUR + 5.29%), 06/27/2170(1)(5) | | EUR | 7,781,000 | | | | 10,172,314 | |
7.50% (5 Year Swap Rate USD + 4.76%), 06/27/2169(1) | | $ | 3,330,000 | | | | 3,787,875 | |
7.50% (5 Year Swap Rate USD + 4.50%), 12/27/2169(1) | | | 4,300,000 | | | | 5,031,000 | |
7.63% (5 Year Swap Rate GBP + 5.01%), 06/27/2170(1) | | GBP | 1,900,000 | | | | 2,874,775 | |
7.88% (5 Year Swap Rate GBP + 4.83%), 06/27/2170(1) | | | 900,000 | | | | 1,585,780 | |
LSEGA Financing Plc | | | | | | | | |
2.00%, 04/06/2028(2) | | $ | 61,565,000 | | | | 62,258,074 | |
2.50%, 04/06/2031(2) | | | 47,960,000 | | | | 49,144,637 | |
3.20%, 04/06/2041(2) | | | 6,070,000 | | | | 6,362,213 | |
Macquarie Group Ltd. | | | | | | | | |
1.34% (Secured Overnight Financing Rate + 1.07%), 01/12/2027(1)(2) | | | 10,480,000 | | | | 10,391,998 | |
1.63% (Secured Overnight Financing Rate + 0.91%), 09/23/2027(1)(2) | | | 4,085,000 | | | | 4,053,981 | |
Marsh & McLennan Companies, Inc. | | | | | | | | |
2.25%, 11/15/2030 | | | 1,965,000 | | | | 1,990,255 | |
MGIC Investment Corp. | | | | | | | | |
5.25%, 08/15/2028 | | | 875,000 | | | | 927,500 | |
MGM Growth Properties Operating Partnership LP | | | | | | | | |
5.75%, 02/01/2027 | | | 400,000 | | | | 445,048 | |
Morgan Stanley | | | | | | | | |
0.53% (Secured Overnight Financing Rate + 0.46%), 01/25/2024(1) | | | 19,380,000 | | | | 19,370,176 | |
1.59% (Secured Overnight Financing Rate + 0.88%), 05/04/2027(1) | | | 22,995,000 | | | | 23,157,698 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
1.79% (Secured Overnight Financing Rate + 1.03%), 02/13/2032(1) | | | 11,405,000 | | | | 10,958,061 | |
2.70% (Secured Overnight Financing Rate + 1.14%), 01/22/2031(1) | | | 10,000,000 | | | | 10,468,026 | |
3.22% (Secured Overnight Financing Rate + 1.49%), 04/22/2042(1) | | | 2,225,000 | | | | 2,358,599 | |
3.95%, 04/23/2027 | | | 31,330,000 | | | | 35,007,146 | |
4.00%, 07/23/2025 | | | 8,000,000 | | | | 8,898,046 | |
4.35%, 09/08/2026 | | | 8,350,000 | | | | 9,454,423 | |
5.00%, 11/24/2025 | | | 10,320,000 | | | | 11,897,680 | |
7.50%, 04/02/2032(3)(17) | | | 14,800,000 | | | | 11,956,389 | |
MPT Operating Partnership LP | | | | | | | | |
3.50%, 03/15/2031 | | | 17,400,000 | | | | 17,573,826 | |
Nasdaq, Inc. | | | | | | | | |
0.45%, 12/21/2022 | | | 5,405,000 | | | | 5,403,234 | |
National General Holdings Corp. | | | | | | | | |
6.75%, 05/15/2024(2) | | | 12,910,000 | | | | 15,021,852 | |
National Securities Clearing Corp. | | | | | | | | |
0.40%, 12/07/2023(2) | | | 18,840,000 | | | | 18,859,329 | |
Nationwide Building Society | | | | | | | | |
0.55%, 01/22/2024(2) | | | 16,400,000 | | | | 16,333,993 | |
3.62% (3 Month LIBOR USD + 1.18%), 04/26/2023(1)(2) | | | 4,250,000 | | | | 4,358,083 | |
3.77% (3 Month LIBOR USD + 1.06%), 03/08/2024(1)(2) | | | 9,627,000 | | | | 10,109,691 | |
3.96% (3 Month LIBOR USD + 1.86%), 07/18/2030(1)(2) | | | 5,650,000 | | | | 6,343,296 | |
4.30% (3 Month LIBOR USD + 1.45%), 03/08/2029(1)(2) | | | 8,600,000 | | | | 9,707,430 | |
4.36% (3 Month LIBOR USD + 1.39%), 08/01/2024(1)(2) | | | 4,000,000 | | | | 4,290,632 | |
Nationwide Mutual Insurance Co. | | | | | | | | |
2.41% (3 Month LIBOR USD + 2.29%), 12/15/2024(1)(2) | | | 6,180,000 | | | | 6,185,110 | |
Natwest Group Plc | | | | | | | | |
1.64% (1 Year CMT Index + 0.90%), 06/14/2027(1) | | | 12,170,000 | | | | 12,168,477 | |
3.88%, 09/12/2023 | | | 8,643,000 | | | | 9,232,845 | |
4.27% (3 Month LIBOR USD + 1.76%), 03/22/2025(1) | | | 9,095,000 | | | | 9,865,199 | |
4.45% (3 Month LIBOR USD + 1.87%), 05/08/2030(1) | | | 4,390,000 | | | | 5,025,300 | |
4.60% (5 Year CMT Index + 3.10%), 09/30/2169(1) | | | 3,600,000 | | | | 3,616,920 | |
4.89% (3 Month LIBOR USD + 1.75%), 05/18/2029(1) | | | 2,900,000 | | | | 3,396,217 | |
5.08% (3 Month LIBOR USD + 1.91%), 01/27/2030(1) | | | 6,600,000 | | | | 7,824,091 | |
6.00% (5 Year CMT Index + 5.63%), 09/30/2169(1) | | | 8,300,000 | | | | 9,251,014 | |
8.00% (5 Year Swap Rate USD + 5.72%), 09/30/2169(1) | | | 7,151,000 | | | | 8,456,558 | |
8.63% (5 Year Swap Rate USD + 7.60%), 09/30/2169(1) | | | 6,100,000 | | | | 6,144,042 | |
Navient Corp. | | | | | | | | |
5.00%, 03/15/2027 | | | 1,997,000 | | | | 2,066,396 | |
5.50%, 01/25/2023 | | | 3,000,000 | | | | 3,164,100 | |
5.88%, 10/25/2024 | | | 30,000 | | | | 32,362 | |
6.13%, 03/25/2024 | | | 14,000 | | | | 15,110 | |
6.50%, 06/15/2022 | | | 3,941,000 | | | | 4,109,281 | |
6.75%, 06/15/2026 | | | 5,089,000 | | | | 5,680,596 | |
7.25%, 01/25/2022 | | | 15,500,000 | | | | 16,076,600 | |
7.25%, 09/25/2023 | | | 221,000 | | | | 243,929 | |
NE Property BV | | | | | | | | |
1.88%, 10/09/2026 | | EUR | 1,200,000 | | | | 1,461,461 | |
New York Life Global Funding | | | | | | | | |
0.85%, 01/15/2026(2) | | $ | 12,430,000 | | | | 12,284,430 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
1.70%, 09/14/2021(2) | | | 6,775,000 | | | | 6,796,024 | |
2.35%, 07/14/2026(2) | | | 1,000,000 | | | | 1,046,828 | |
New York Life Insurance Co. | | | | | | | | |
3.75%, 05/15/2050(2) | | | 8,801,000 | | | | 9,827,893 | |
Newmark Group, Inc. | | | | | | | | |
6.13%, 11/15/2023 | | | 602,000 | | | | 662,238 | |
Nomura Holdings, Inc. | | | | | | | | |
2.68%, 07/16/2030 | | | 16,300,000 | | | | 16,555,060 | |
Northwestern Mutual Life Insurance Co. | | | | | | | | |
3.45%, 03/30/2051(2) | | | 2,760,000 | | | | 2,955,218 | |
Oaktree Specialty Lending Corp. | | | | | | | | |
2.70%, 01/15/2027 | | | 5,960,000 | | | | 5,962,458 | |
Old Republic International Corp. | | | | | | | | |
3.88%, 08/26/2026 | | | 5,155,000 | | | | 5,758,083 | |
4.88%, 10/01/2024 | | | 335,000 | | | | 374,086 | |
Omega Healthcare Investors, Inc. | | | | | | | | |
3.25%, 04/15/2033 | | | 8,700,000 | | | | 8,681,483 | |
4.50%, 01/15/2025 | | | 5,050,000 | | | | 5,515,247 | |
OneAmerica Financial Partners, Inc. | | | | | | | | |
4.25%, 10/15/2050(2) | | | 1,000,000 | | | | 1,036,864 | |
OneMain Finance Corp. | | | | | | | | |
5.63%, 03/15/2023 | | | 3,658,000 | | | | 3,900,342 | |
6.13%, 05/15/2022 | | | 3,548,000 | | | | 3,685,485 | |
6.13%, 03/15/2024 | | | 2,400,000 | | | | 2,583,000 | |
Owl Rock Capital Corp. | | | | | | | | |
2.63%, 01/15/2027 | | | 9,165,000 | | | | 9,188,602 | |
2.88%, 06/11/2028 | | | 9,375,000 | | | | 9,304,657 | |
Owl Rock Technology Finance Corp. | | | | | | | | |
2.50%, 01/15/2027 | | | 10,635,000 | | | | 10,499,529 | |
Park Aerospace Holdings Ltd. | | | | | | | | |
4.50%, 03/15/2023(2) | | | 6,564,000 | | | | 6,899,927 | |
5.25%, 08/15/2022(2) | | | 6,248,000 | | | | 6,537,985 | |
5.50%, 02/15/2024(2) | | | 4,459,000 | | | | 4,901,796 | |
Physicians Realty LP | | | | | | | | |
3.95%, 01/15/2028 | | | 177,000 | | | | 194,294 | |
Prologis LP | | | | | | | | |
1.25%, 10/15/2030 | | | 1,985,000 | | | | 1,867,681 | |
QNB Finance Ltd. | | | | | | | | |
1.61% (3 Month LIBOR USD + 1.45%), 08/11/2021(1) | | | 3,400,000 | | | | 3,405,099 | |
1.76% (3 Month LIBOR USD + 1.57%), 07/19/2021(1) | | | 2,400,000 | | | | 2,400,888 | |
2.63%, 05/12/2025 | | | 2,450,000 | | | | 2,560,078 | |
2.75%, 02/12/2027 | | | 4,950,000 | | | | 5,180,838 | |
Quicken Loans LLC | | | | | | | | |
3.63%, 03/01/2029(2) | | | 4,010,000 | | | | 3,959,875 | |
3.88%, 03/01/2031(2) | | | 13,355,000 | | | | 13,455,029 | |
5.25%, 01/15/2028(2) | | | 3,595,000 | | | | 3,774,750 | |
Raymond James Financial, Inc. | | | | | | | | |
4.95%, 07/15/2046 | | | 4,420,000 | | | | 5,712,437 | |
Rayonier LP | | | | | | | | |
2.75%, 05/17/2031 | | | 3,900,000 | | | | 3,937,111 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Regency Centers LP | | | | | | | | |
3.60%, 02/01/2027 | | | 4,271,000 | | | | 4,731,425 | |
3.70%, 06/15/2030 | | | 4,025,000 | | | | 4,452,462 | |
4.13%, 03/15/2028 | | | 970,000 | | | | 1,089,952 | |
Retail Opportunity Investments Partnership LP | | | | | | | | |
4.00%, 12/15/2024 | | | 895,000 | | | | 966,276 | |
Royal Bank of Canada | | | | | | | | |
0.50%, 10/26/2023 | | | 15,460,000 | | | | 15,478,178 | |
Sabra Health Care LP | | | | | | | | |
3.90%, 10/15/2029 | | | 200,000 | | | | 211,362 | |
Santander Holdings USA, Inc. | | | | | | | | |
3.24%, 10/05/2026 | | | 6,255,000 | | | | 6,681,094 | |
3.50%, 06/07/2024 | | | 50,000 | | | | 53,486 | |
4.40%, 07/13/2027 | | | 153,000 | | | | 171,943 | |
Santander UK Group Holdings Plc | | | | | | | | |
1.09% (Secured Overnight Financing Rate + 0.79%), 03/15/2025(1) | | | 31,335,000 | | | | 31,435,188 | |
1.53% (1 Year CMT Index + 1.25%), 08/21/2026(1) | | | 10,900,000 | | | | 10,918,617 | |
1.67% (Secured Overnight Financing Rate + 0.99%), 06/14/2027(1) | | | 10,625,000 | | | | 10,608,747 | |
2.90% (Secured Overnight Financing Rate + 1.48%), 03/15/2032(1) | | | 24,900,000 | | | | 25,656,565 | |
3.57%, 01/10/2023 | | | 7,450,000 | | | | 7,569,319 | |
3.82% (3 Month LIBOR USD + 1.40%), 11/03/2028(1) | | | 4,990,000 | | | | 5,487,212 | |
4.75%, 09/15/2025(2) | | | 1,025,000 | | | | 1,150,131 | |
4.80% (3 Month LIBOR USD + 1.57%), 11/15/2024(1) | | | 13,465,000 | | | | 14,722,492 | |
6.75% (5 Year Swap Rate GBP + 5.79%), 06/24/2169(1) | | GBP | 5,800,000 | | | | 8,945,801 | |
7.38% (5 Year Swap Rate GBP + 5.54%), 09/24/2169(1) | | | 5,647,000 | | | | 8,240,893 | |
SBA Communications Corp. | | | | | | | | |
3.13%, 02/01/2029(2) | | $ | 14,200,000 | | | | 13,689,739 | |
SBA Tower Trust | | | | | | | | |
1.63%, 11/15/2026(2) | | | 4,185,000 | | | | 4,183,989 | |
2.33%, 01/15/2028(2) | | | 1,555,000 | | | | 1,611,327 | |
2.84%, 01/15/2025(2) | | | 3,250,000 | | | | 3,409,470 | |
3.45%, 03/15/2023(2) | | | 430,000 | | | | 438,239 | |
3.72%, 04/11/2023(2) | | | 3,515,000 | | | | 3,553,094 | |
3.87%, 10/08/2024(2) | | | 10,196,000 | | | | 10,711,557 | |
Sberbank of Russia Via SB Capital SA | | | | | | | | |
5.13%, 10/29/2022 | | | 1,300,000 | | | | 1,357,590 | |
Shimao Group Holdings Ltd. | | | | | | | | |
4.75%, 07/03/2022 | | | 8,900,000 | | | | 8,993,454 | |
Shinhan Bank Co. Ltd. | | | | | | | | |
3.88%, 03/24/2026 | | | 1,385,000 | | | | 1,522,170 | |
4.00%, 04/23/2029 | | | 4,574,000 | | | | 5,103,635 | |
Simon Property Group LP | | | | | | | | |
2.65%, 07/15/2030 | | | 7,550,000 | | | | 7,819,886 | |
3.30%, 01/15/2026 | | | 1,515,000 | | | | 1,646,912 | |
3.80%, 07/15/2050 | | | 2,570,000 | | | | 2,839,589 | |
Sirius International Group Ltd. | | | | | | | | |
4.60%, 11/01/2026(2) | | | 2,520,000 | | | | 2,585,495 | |
SITE Centers Corp. | | | | | | | | |
3.63%, 02/01/2025 | | | 1,914,000 | | | | 2,022,079 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
4.25%, 02/01/2026 | | | 2,500,000 | | | | 2,707,077 | |
4.70%, 06/01/2027 | | | 8,000,000 | | | | 8,859,029 | |
Sitka Holdings LLC | | | | | | | | |
4.64% (3 Month LIBOR USD + 4.50%), 07/06/2026(1)(2) | | | 4,167,000 | | | | 4,167,000 | |
SL Green Operating Partnership LP | | | | | | | | |
3.25%, 10/15/2022 | | | 6,000,000 | | | | 6,175,678 | |
SL Green Realty Corp. | | | | | | | | |
4.50%, 12/01/2022 | | | 850,000 | | | | 885,152 | |
Societe Generale SA | | | | | | | | |
2.89% (1 Year CMT Index + 1.30%), 06/09/2032(1)(2) | | | 10,400,000 | | | | 10,523,968 | |
3.65% (5 Year CMT Index + 3.00%), 07/08/2035(1)(2) | | | 7,705,000 | | | | 7,994,708 | |
4.25%, 04/14/2025(2) | | | 2,340,000 | | | | 2,540,995 | |
4.75%, 11/24/2025(2) | | | 9,285,000 | | | | 10,353,258 | |
6.75% (5 Year Swap Rate USD + 3.93%), 10/06/2169(1)(2) | | | 400,000 | | | | 452,752 | |
7.38% (5 Year Swap Rate USD + 6.24%), 03/13/2170(1)(2) | | | 2,100,000 | | | | 2,118,480 | |
7.38% (5 Year Swap Rate USD + 4.30%), 04/04/2170(1)(2) | | | 4,300,000 | | | | 4,697,750 | |
Standard Chartered Plc | | | | | | | | |
1.21% (1 Year CMT Index + 0.88%), 03/23/2025(1)(2) | | | 2,500,000 | | | | 2,508,921 | |
1.34% (3 Month LIBOR USD + 1.15%), 01/20/2023(1)(2) | | | 5,565,000 | | | | 5,594,196 | |
2.68% (1 Year CMT Index + 1.20%), 06/29/2032(1)(2) | | | 50,000,000 | | | | 50,165,536 | |
2.82% (3 Month LIBOR USD + 1.21%), 01/30/2026(1)(2) | | | 3,241,000 | | | | 3,401,548 | |
3.27% (5 Year CMT Index + 2.30%), 02/18/2036(1)(2) | | | 24,180,000 | | | | 24,253,817 | |
4.64% (1 Year CMT Index + 3.85%), 04/01/2031(1)(2) | | | 22,853,000 | | | | 26,725,557 | |
Stichting AK Rabobank Certificaten | | | | | | | | |
2.19%, 03/29/2170(3) | | EUR | 3,876,300 | | | | 6,184,812 | |
STORE Capital Corp. | | | | | | | | |
2.75%, 11/18/2030 | | $ | 2,500,000 | | | | 2,516,538 | |
Sumitomo Mitsui Financial Group, Inc. | | | | | | | | |
0.51%, 01/12/2024 | | | 3,125,000 | | | | 3,112,073 | |
Sun Hung Kai Properties Capital Market Ltd. | | | | | | | | |
2.75%, 05/13/2030 | | | 1,000,000 | | | | 1,035,964 | |
2.88%, 01/21/2030 | | | 11,350,000 | | | | 11,865,114 | |
Synchrony Financial | | | | | | | | |
2.85%, 07/25/2022 | | | 3,720,000 | | | | 3,807,807 | |
4.25%, 08/15/2024 | | | 6,100,000 | | | | 6,665,647 | |
4.38%, 03/19/2024 | | | 10,823,000 | | | | 11,779,788 | |
Teachers Insurance & Annuity Association of America | | | | | | | | |
3.30%, 05/15/2050(2) | | | 7,205,000 | | | | 7,432,117 | |
4.27%, 05/15/2047(2) | | | 515,000 | | | | 615,695 | |
4.38% (3 Month LIBOR USD + 2.66%), 09/15/2054(1)(2) | | | 7,500,000 | | | | 7,922,693 | |
4.90%, 09/15/2044(2) | | | 1,505,000 | | | | 1,950,941 | |
Toronto-Dominion Bank | | | | | | | | |
0.25%, 01/06/2023 | | | 19,175,000 | | | | 19,156,199 | |
UBS AG | | | | | | | | |
5.13%, 05/15/2024 | | | 200,000 | | | | 220,500 | |
UBS Group AG | | | | | | | | |
2.10% (1 Year CMT Index + 1.00%), 02/11/2032(1)(2) | | | 6,800,000 | | | | 6,661,496 | |
5.75% (5 Year Swap Rate EUR + 5.29%), 02/19/2170(1) | | EUR | 4,100,000 | | | | 5,007,422 | |
7.00% (5 Year Swap Rate USD + 4.87%), 02/19/2170(1) | | $ | 200,000 | | | | 230,500 | |
7.13% (5 Year Swap Rate USD + 5.88%), 08/10/2169(1) | | | 300,000 | | | | 301,500 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
UniCredit SpA | | | | | | | | |
2.57% (1 Year CMT Index + 2.30%), 09/22/2026(1)(2) | | | 2,600,000 | | | | 2,635,997 | |
6.75% (5 Year Swap Rate EUR + 6.10%), 03/10/2170(1) | | EUR | 4,200,000 | | | | 5,035,181 | |
7.83%, 12/04/2023(2) | | $ | 13,400,000 | | | | 15,453,684 | |
Unique Pub Finance Co. Plc | | | | | | | | |
5.66%, 06/30/2027 | | GBP | 2,893,393 | | | | 4,453,029 | |
7.40%, 03/28/2024 | | | 2,873,354 | | | | 4,195,035 | |
Uniti Group LP | | | | | | | | |
7.13%, 12/15/2024(2) | | $ | 3,000,000 | | | | 3,101,250 | |
Ventas Realty LP | | | | | | | | |
3.00%, 01/15/2030 | | | 1,765,000 | | | | 1,844,705 | |
3.25%, 10/15/2026 | | | 7,052,000 | | | | 7,643,735 | |
3.85%, 04/01/2027 | | | 1,485,000 | | | | 1,659,726 | |
4.40%, 01/15/2029 | | | 3,000,000 | | | | 3,441,468 | |
4.88%, 04/15/2049 | | | 1,895,000 | | | | 2,338,227 | |
VEREIT Operating Partnership LP | | | | | | | | |
2.20%, 06/15/2028 | | | 1,250,000 | | | | 1,268,295 | |
2.85%, 12/15/2032 | | | 11,498,000 | | | | 12,011,012 | |
3.40%, 01/15/2028 | | | 4,060,000 | | | | 4,415,339 | |
3.95%, 08/15/2027 | | | 4,155,000 | | | | 4,680,189 | |
4.60%, 02/06/2024 | | | 6,215,000 | | | | 6,771,890 | |
4.63%, 11/01/2025 | | | 14,740,000 | | | | 16,688,706 | |
4.88%, 06/01/2026 | | | 4,800,000 | | | | 5,531,390 | |
Voyager Aviation Holdings LLC | | | | | | | | |
8.50%, 05/09/2026(2) | | | 66,825 | | | | 60,894 | |
WEA Finance LLC | | | | | | | | |
3.15%, 04/05/2022(2) | | | 3,000,000 | | | | 3,044,417 | |
Weingarten Realty Investors | | | | | | | | |
3.25%, 08/15/2026 | | | 1,665,000 | | | | 1,772,450 | |
Wells Fargo & Co. | | | | | | | | |
2.16% (3 Month LIBOR USD + 0.75%), 02/11/2026(1) | | | 31,720,000 | | | | 32,922,654 | |
2.19% (Secured Overnight Financing Rate + 2.00%), 04/30/2026(1) | | | 13,760,000 | | | | 14,285,540 | |
2.39% (Secured Overnight Financing Rate + 2.10%), 06/02/2028(1) | | | 19,655,000 | | | | 20,384,110 | |
2.57% (Secured Overnight Financing Rate + 1.26%), 02/11/2031(1) | | | 14,225,000 | | | | 14,720,930 | |
2.88% (Secured Overnight Financing Rate + 1.43%), 10/30/2030(1) | | | 32,492,000 | | | | 34,407,979 | |
3.07% (Secured Overnight Financing Rate + 2.53%), 04/30/2041(1) | | | 12,455,000 | | | | 12,774,884 | |
3.20% (3 Month LIBOR USD + 1.17%), 06/17/2027(1) | | | 17,000,000 | | | | 18,346,803 | |
3.75%, 01/24/2024 | | | 2,905,000 | | | | 3,124,180 | |
3.90% (5 Year CMT Index + 3.45%), 03/15/2170(1) | | | 14,500,000 | | | | 15,011,850 | |
4.30%, 07/22/2027 | | | 3,980,000 | | | | 4,537,559 | |
Welltower, Inc. | | | | | | | | |
4.00%, 06/01/2025 | | | 4,690,000 | | | | 5,169,373 | |
4.50%, 01/15/2024 | | | 650,000 | | | | 704,417 | |
Weyerhaeuser Co. | | | | | | | | |
4.00%, 04/15/2030 | | | 9,630,000 | | | | 10,957,887 | |
| | | | | | | | |
Total Financials | | | | | | | 3,952,311,917 | |
| | | | | | | | |
Government – 0.11% | | | | | | | | |
Asian Development Bank | | | | | | | | |
4.70%, 03/12/2024 | | MXN | 12,200,000 | | | | 611,900 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
European Investment Bank | | | | | | | | |
0.25%, 09/15/2023 | | $ | 30,865,000 | | | | 30,803,887 | |
International Finance Corp. | | | | | | | | |
5.85%, 11/25/2022 | | INR | 353,580,000 | | | | 4,818,735 | |
8.00%, 10/09/2023 | | IDR | 9,100,000,000 | | | | 665,147 | |
| | | | | | | | |
Total Government | | | | 36,899,669 | |
| | | | | | | | |
Industrials – 1.58% | | | | | | | | |
Amcor Finance USA, Inc. | | | | | | | | |
3.63%, 04/28/2026 | | $ | 2,990,000 | | | | 3,277,227 | |
Arrow Electronics, Inc. | | | | | | | | |
4.00%, 04/01/2025 | | | 3,622,000 | | | | 3,929,192 | |
Associated Materials LLC | | | | | | | | |
9.00%, 09/01/2025(2) | | | 540,000 | | | | 572,400 | |
Avnet, Inc. | | | | | | | | |
4.63%, 04/15/2026 | | | 10,485,000 | | | | 11,785,201 | |
4.88%, 12/01/2022 | | | 5,855,000 | | | | 6,192,998 | |
BAE Systems Plc | | | | | | | | |
3.40%, 04/15/2030(2) | | | 7,045,000 | | | | 7,657,242 | |
Berry Global, Inc. | | | | | | | | |
1.57%, 01/15/2026(2) | | | 3,800,000 | | | | 3,801,140 | |
4.88%, 07/15/2026(2) | | | 7,385,000 | | | | 7,814,512 | |
Boeing Co. | | | | | | | | |
1.43%, 02/04/2024 | | | 16,015,000 | | | | 16,057,382 | |
2.20%, 02/04/2026 | | | 19,000,000 | | | | 19,181,606 | |
2.25%, 06/15/2026 | | | 2,170,000 | | | | 2,215,354 | |
2.95%, 02/01/2030 | | | 2,790,000 | | | | 2,856,677 | |
3.10%, 05/01/2026 | | | 370,000 | | | | 391,150 | |
3.20%, 03/01/2029 | | | 1,855,000 | | | | 1,946,819 | |
3.25%, 02/01/2035 | | | 600,000 | | | | 606,674 | |
3.38%, 06/15/2046 | | | 9,940,000 | | | | 9,566,759 | |
3.63%, 03/01/2048 | | | 1,941,000 | | | | 1,939,377 | |
3.75%, 02/01/2050 | | | 11,354,000 | | | | 11,711,084 | |
3.83%, 03/01/2059 | | | 1,023,000 | | | | 1,043,858 | |
3.85%, 11/01/2048 | | | 1,840,000 | | | | 1,888,191 | |
3.90%, 05/01/2049 | | | 3,893,000 | | | | 4,099,511 | |
3.95%, 08/01/2059 | | | 4,835,000 | | | | 5,058,543 | |
4.88%, 05/01/2025 | | | 4,424,000 | | | | 4,956,952 | |
5.04%, 05/01/2027 | | | 6,560,000 | | | | 7,569,111 | |
5.15%, 05/01/2030 | | | 7,103,000 | | | | 8,411,053 | |
5.71%, 05/01/2040 | | | 7,091,000 | | | | 9,132,378 | |
5.81%, 05/01/2050 | | | 30,234,000 | | | | 40,714,043 | |
5.93%, 05/01/2060 | | | 8,416,000 | | | | 11,621,306 | |
Bombardier, Inc. | | | | | | | | |
6.00%, 10/15/2022(2) | | | 248,000 | | | | 248,310 | |
6.13%, 01/15/2023(2) | | | 4,600,000 | | | | 4,844,375 | |
7.88%, 04/15/2027(2) | | | 1,492,000 | | | | 1,547,950 | |
Boral Finance Pty Ltd. | | | | | | | | |
3.00%, 11/01/2022(2) | | | 4,439,000 | | | | 4,549,317 | |
3.75%, 05/01/2028(2) | | | 3,520,000 | | | | 3,796,253 | |
Carrier Global Corp. | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
2.72%, 02/15/2030 | | | 7,345,000 | | | | 7,614,682 | |
Cemex SAB de CV | | | | | | | | |
3.88%, 07/11/2031(2) | | | 23,050,000 | | | | 23,430,325 | |
5.13% (5 Year CMT Index + 4.53%), 09/08/2169(1)(2) | | | 5,670,000 | | | | 5,852,574 | |
5.20%, 09/17/2030(2) | | | 8,900,000 | | | | 9,786,440 | |
5.45%, 11/19/2029(2) | | | 3,460,000 | | | | 3,804,270 | |
DAE Funding LLC | | | | | | | | |
4.50%, 08/01/2022(2) | | | 183,000 | | | | 183,275 | |
5.00%, 08/01/2024(2) | | | 8,307,000 | | | | 8,530,458 | |
5.25%, 11/15/2021(2) | | | 6,844,000 | | | | 6,888,075 | |
Embraer Netherlands Finance BV | | | | | | | | |
5.05%, 06/15/2025 | | | 1,630,000 | | | | 1,721,525 | |
5.40%, 02/01/2027 | | | 960,000 | | | | 1,023,014 | |
Empresa de los Ferrocarriles del Estado | | | | | | | | |
3.07%, 08/18/2050(2) | | | 2,075,000 | | | | 1,791,057 | |
Empresa de Transporte de Pasajeros Metro SA | | | | | | | | |
4.70%, 05/07/2050(2) | | | 1,400,000 | | | | 1,582,000 | |
Fortress Transportation & Infrastructure Investors LLC | | | | | | | | |
6.50%, 10/01/2025(2) | | | 1,561,000 | | | | 1,621,489 | |
General Electric Co. | | | | | | | | |
3.45% (3 Month LIBOR USD + 3.33%), 06/15/2170(1) | | | 6,184,000 | | | | 6,060,320 | |
3.63%, 05/01/2030 | | | 6,765,000 | | | | 7,543,511 | |
5.55%, 01/05/2026 | | | 3,610,000 | | | | 4,277,591 | |
6.75%, 03/15/2032 | | | 5,231,000 | | | | 7,250,888 | |
6.88%, 01/10/2039 | | | 1,004,000 | | | | 1,502,041 | |
Graphic Packaging International LLC | | | | | | | | |
4.13%, 08/15/2024 | | | 50,000 | | | | 53,625 | |
4.75%, 07/15/2027(2) | | | 1,500,000 | | | | 1,620,570 | |
Guangzhou Metro Investment Finance Ltd. | | | | | | | | |
2.31%, 09/17/2030 | | | 6,650,000 | | | | 6,325,953 | |
Heathrow Funding Ltd. | | | | | | | | |
4.88%, 07/15/2021(2) | | | 7,220,000 | | | | 7,230,480 | |
Huntington Ingalls Industries, Inc. | | | | | | | | |
3.84%, 05/01/2025 | | | 3,995,000 | | | | 4,353,436 | |
4.20%, 05/01/2030 | | | 2,465,000 | | | | 2,815,305 | |
Indian Railway Finance Corp. Ltd. | | | | | | | | |
2.80%, 02/10/2031(2) | | | 7,545,000 | | | | 7,292,164 | |
Jabil, Inc. | | | | | | | | |
1.70%, 04/15/2026 | | | 4,870,000 | | | | 4,906,076 | |
3.00%, 01/15/2031 | | | 2,470,000 | | | | 2,542,487 | |
4.70%, 09/15/2022 | | | 3,685,000 | | | | 3,865,374 | |
John Deere Capital Corp. | | | | | | | | |
0.61% (3 Month LIBOR USD + 0.48%), 09/08/2022(1) | | | 10,000,000 | | | | 10,050,482 | |
0.70%, 01/15/2026 | | | 1,350,000 | | | | 1,336,956 | |
2.95%, 04/01/2022 | | | 7,475,000 | | | | 7,630,706 | |
Keysight Technologies, Inc. | | | | | | | | |
3.00%, 10/30/2029 | | | 5,800,000 | | | | 6,132,122 | |
4.60%, 04/06/2027 | | | 585,000 | | | | 679,732 | |
Madison IAQ LLC | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
4.13%, 06/30/2028(2) | | | 385,000 | | | | 388,850 | |
Mauser Packaging Solutions Holding Co. | | | | | | | | |
5.50%, 04/15/2024(2) | | | 510,000 | | | | 515,100 | |
OI European Group BV | | | | | | | | |
4.00%, 03/15/2023(2) | | | 216,000 | | | | 222,556 | |
Pelabuhan Indonesia III Persero PT | | | | | | | | |
4.50%, 05/02/2023 | | | 200,000 | | | | 212,400 | |
PowerTeam Services LLC | | | | | | | | |
9.03%, 12/04/2025(2) | | | 2,000,000 | | | | 2,200,000 | |
Rolls-Royce Plc | | | | | | | | |
1.63%, 05/09/2028 | | EUR | 16,946,000 | | | | 18,712,276 | |
5.75%, 10/15/2027 | | GBP | 1,700,000 | | | | 2,573,790 | |
Sealed Air Corp. | | | | | | | | |
4.00%, 12/01/2027(2) | | $ | 505,000 | | | | 537,194 | |
5.25%, 04/01/2023(2) | | | 1,000,000 | | | | 1,056,885 | |
SF Holding Investment Ltd. | | | | | | | | |
2.88%, 02/20/2030 | | | 6,170,000 | | | | 6,291,796 | |
Siemens Financieringsmaatschappij NV | | | | | | | | |
0.73% (3 Month LIBOR USD + 0.61%), 03/16/2022(1)(2) | | | 13,690,000 | | | | 13,746,368 | |
1.70%, 03/11/2028(2) | | | 2,625,000 | | | | 2,640,407 | |
2.15%, 03/11/2031(2) | | | 9,365,000 | | | | 9,468,878 | |
SMBC Aviation Capital Finance DAC | | | | | | | | |
2.65%, 07/15/2021(2) | | | 200,000 | | | | 200,148 | |
4.13%, 07/15/2023(2) | | | 10,715,000 | | | | 11,394,540 | |
Spirit AeroSystems, Inc. | | | | | | | | |
4.60%, 06/15/2028 | | | 2,125,000 | | | | 2,082,500 | |
Standard Industries, Inc. | | | | | | | | |
2.25%, 11/21/2026 | | EUR | 2,000,000 | | | | 2,358,796 | |
3.38%, 01/15/2031(2) | | $ | 3,500,000 | | | | 3,350,235 | |
4.38%, 07/15/2030(2) | | | 5,114,000 | | | | 5,273,813 | |
5.00%, 02/15/2027(2) | | | 2,500,000 | | | | 2,589,063 | |
Textron, Inc. | | | | | | | | |
3.00%, 06/01/2030 | | | 23,695,000 | | | | 24,923,327 | |
TK Elevator US Newco, Inc. | | | | | | | | |
5.25%, 07/15/2027(2) | | | 3,445,000 | | | | 3,630,169 | |
TransDigm, Inc. | | | | | | | | |
6.25%, 03/15/2026(2) | | | 2,115,000 | | | | 2,231,325 | |
8.00%, 12/15/2025(2) | | | 1,470,000 | | | | 1,588,335 | |
Triumph Group, Inc. | | | | | | | | |
6.25%, 09/15/2024(2) | | | 751,000 | | | | 762,265 | |
Vulcan Materials Co. | | | | | | | | |
3.50%, 06/01/2030 | | | 1,400,000 | | | | 1,543,221 | |
Wabtec Transportation Netherlands BV | | | | | | | | |
1.25%, 12/03/2027 | | EUR | 300,000 | | | | 358,585 | |
Waste Pro USA, Inc. | | | | | | | | |
5.50%, 02/15/2026(2) | | $ | 567,000 | | | | 585,286 | |
Weekley Homes LLC / Weekley Finance Corp. | | | | | | | | |
4.88%, 09/15/2028(2) | | | 1,115,000 | | | | 1,154,025 | |
Westinghouse Air Brake Technologies Corp. | | | | | | | | |
4.40%, 03/15/2024 | | | 1,000,000 | | | | 1,083,488 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
4.95%, 09/15/2028 | | | 3,200,000 | | | | 3,711,957 | |
WRKCo, Inc. | | | | | | | | |
3.00%, 06/15/2033 | | | 1,445,000 | | | | 1,512,666 | |
3.75%, 03/15/2025 | | | 815,000 | | | | 889,105 | |
| | | | | | | | |
Total Industrials | | | | 518,072,297 | |
| | | | | | | | |
Technology – 1.48% | | | | | | | | |
Amdocs Ltd. | | | | | | | | |
2.54%, 06/15/2030 | | | 15,503,000 | | | | 15,501,224 | |
Apple, Inc. | | | | | | | | |
3.85%, 05/04/2043 | | | 1,250,000 | | | | 1,485,422 | |
4.65%, 02/23/2046 | | | 1,250,000 | | | | 1,658,659 | |
Broadcom Corp. / Broadcom Cayman Finance Ltd. | | | | | | | | |
3.88%, 01/15/2027 | | | 4,327,000 | | | | 4,781,239 | |
Broadcom, Inc. | | | | | | | | |
2.45%, 02/15/2031(2) | | | 7,100,000 | | | | 6,977,131 | |
2.60%, 02/15/2033(2) | | | 11,395,000 | | | | 11,142,814 | |
3.46%, 09/15/2026 | | | 8,340,000 | | | | 9,082,237 | |
3.47%, 04/15/2034(2) | | | 23,723,000 | | | | 25,093,111 | |
4.11%, 09/15/2028 | | | 3,068,000 | | | | 3,451,308 | |
4.15%, 11/15/2030 | | | 7,207,000 | | | | 8,082,038 | |
4.30%, 11/15/2032 | | | 19,722,000 | | | | 22,457,945 | |
4.75%, 04/15/2029 | | | 1,392,000 | | | | 1,619,254 | |
5.00%, 04/15/2030 | | | 8,892,000 | | | | 10,490,530 | |
Change Healthcare Holdings LLC / Change Healthcare Finance, Inc. | | | | | | | | |
5.75%, 03/01/2025(2) | | | 248,000 | | | | 252,030 | |
Citrix Systems, Inc. | | | | | | | | |
3.30%, 03/01/2030 | | | 2,300,000 | | | | 2,419,778 | |
Clarivate Science Holdings Corp. | | | | | | | | |
3.88%, 06/30/2028(2) | | | 1,365,000 | | | | 1,377,435 | |
Dell International LLC / EMC Corp. | | | | | | | | |
5.30%, 10/01/2029 | | | 3,695,000 | | | | 4,458,503 | |
6.02%, 06/15/2026 | | | 8,100,000 | | | | 9,724,264 | |
6.20%, 07/15/2030 | | | 1,900,000 | | | | 2,443,116 | |
Exela Intermediate LLC / Exela Finance, Inc. | | | | | | | | |
10.00%, 07/15/2023(2) | | | 300,000 | | | | 196,500 | |
Hewlett Packard Enterprise Co. | | | | | | | | |
0.91% (3 Month LIBOR USD + 0.72%), 10/05/2021(1) | | | 2,500,000 | | | | 2,500,581 | |
Leidos, Inc. | | | | | | | | |
2.30%, 02/15/2031 | | | 8,800,000 | | | | 8,585,456 | |
4.38%, 05/15/2030 | | | 212,000 | | | | 240,732 | |
Marvell Technology, Inc. | | | | | | | | |
2.45%, 04/15/2028(2) | | | 46,622,000 | | | | 47,517,606 | |
2.95%, 04/15/2031(2) | | | 53,202,000 | | | | 55,137,008 | |
Microchip Technology, Inc. | | | | | | | | |
0.98%, 09/01/2024(2) | | | 4,290,000 | | | | 4,269,201 | |
4.33%, 06/01/2023 | | | 22,025,000 | | | | 23,487,507 | |
Micron Technology, Inc. | | | | | | | | |
4.19%, 02/15/2027 | | | 8,539,000 | | | | 9,631,814 | |
4.64%, 02/06/2024 | | | 6,512,000 | | | | 7,138,259 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
4.66%, 02/15/2030 | | | 15,005,000 | | | | 17,441,069 | |
5.33%, 02/06/2029 | | | 7,324,000 | | | | 8,846,428 | |
NXP BV | | | | | | | | |
5.35%, 03/01/2026(2) | | | 1,945,000 | | | | 2,269,509 | |
NXP BV / NXP Funding LLC / NXP USA, Inc. | | | | | | | | |
2.70%, 05/01/2025(2) | | | 500,000 | | | | 527,311 | |
3.15%, 05/01/2027(2) | | | 15,705,000 | | | | 16,800,064 | |
4.30%, 06/18/2029(2) | | | 566,000 | | | | 648,930 | |
Open Text Corp. | | | | | | | | |
3.88%, 02/15/2028(2) | | | 445,000 | | | | 451,141 | |
Open Text Holdings, Inc. | | | | | | | | |
4.13%, 02/15/2030(2) | | | 1,715,000 | | | | 1,748,957 | |
Oracle Corp. | | | | | | | | |
2.30%, 03/25/2028(17) | | | 39,355,000 | | | | 40,378,506 | |
2.88%, 03/25/2031 | | | 8,595,000 | | | | 8,939,473 | |
3.60%, 04/01/2050 | | | 14,135,000 | | | | 14,514,559 | |
3.85%, 07/15/2036 | | | 6,000,000 | | | | 6,596,057 | |
3.85%, 04/01/2060 | | | 6,563,000 | | | | 6,968,146 | |
3.95%, 03/25/2051 | | | 9,505,000 | | | | 10,374,600 | |
4.00%, 07/15/2046 | | | 1,909,000 | | | | 2,070,068 | |
4.10%, 03/25/2061(17) | | | 1,700,000 | | | | 1,884,779 | |
Roper Technologies, Inc. | | | | | | | | |
2.95%, 09/15/2029 | | | 1,930,000 | | | | 2,063,545 | |
Seagate HDD Cayman | | | | | | | | |
3.13%, 07/15/2029(2) | | | 6,000,000 | | | | 5,813,490 | |
4.09%, 06/01/2029(2) | | | 4,079,000 | | | | 4,176,080 | |
4.13%, 01/15/2031(2) | | | 11,000,000 | | | | 11,220,000 | |
4.88%, 06/01/2027 | | | 431,000 | | | | 475,177 | |
5.75%, 12/01/2034 | | | 1,122,000 | | | | 1,290,300 | |
Skyworks Solutions, Inc. | | | | | | | | |
1.80%, 06/01/2026 | | | 3,440,000 | | | | 3,483,337 | |
3.00%, 06/01/2031 | | | 1,500,000 | | | | 1,533,164 | |
TSMC Global Ltd. | | | | | | | | |
1.00%, 09/28/2027(2) | | | 5,575,000 | | | | 5,362,927 | |
VMware, Inc. | | | | | | | | |
4.70%, 05/15/2030 | | | 4,700,000 | | | | 5,561,128 | |
| | | | | | | | |
Total Technology | | | | 482,641,447 | |
| | | | | | | | |
Utilities – 2.00% | | | | | | | | |
AEP Transmission Co. LLC | | | | | | | | |
3.75%, 12/01/2047 | | | 2,190,000 | | | | 2,486,503 | |
AES Corp. | | | | | | | | |
2.45%, 01/15/2031(2) | | | 4,485,000 | | | | 4,437,508 | |
3.95%, 07/15/2030(2) | | | 2,040,000 | | | | 2,230,740 | |
Alliant Energy Finance LLC | | | | | | | | |
1.40%, 03/15/2026(2) | | | 925,000 | | | | 911,123 | |
American Transmission Systems, Inc. | | | | | | | | |
5.25%, 01/15/2022(2) | | | 100,000 | | | | 102,395 | |
American Water Capital Corp. | | | | | | | | |
3.45%, 05/01/2050 | | | 1,148,000 | | | | 1,240,452 | |
4.15%, 06/01/2049 | | | 1,425,000 | | | | 1,728,471 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Appalachian Power Co. | | | | | | | | |
2.70%, 04/01/2031 | | | 21,700,000 | | | | 22,431,356 | |
APT Pipelines Ltd. | | | | | | | | |
4.25%, 07/15/2027(2) | | | 11,420,000 | | | | 12,896,763 | |
Ausgrid Finance Pty Ltd. | | | | | | | | |
3.85%, 05/01/2023(2) | | | 9,410,000 | | | | 9,826,298 | |
Black Hills Corp. | | | | | | | | |
4.35%, 05/01/2033 | | | 6,250,000 | | | | 7,277,904 | |
Calpine Corp. | | | | | | | | |
3.75%, 03/01/2031(2) | | | 9,495,000 | | | | 9,042,563 | |
China Southern Power Grid International Finance BVI 2018 Co. Ltd. | | | | | | | | |
4.25%, 09/18/2028 | | | 1,180,000 | | | | 1,343,281 | |
Cleco Power LLC | | | | | | | | |
6.00%, 12/01/2040 | | | 1,000,000 | | | | 1,349,702 | |
CLP Power Hong Kong Financing Ltd. | | | | | | | | |
3.38%, 10/26/2027 | | | 5,000,000 | | | | 5,458,503 | |
DPL, Inc. | | | | | | | | |
4.13%, 07/01/2025 | | | 1,525,000 | | | | 1,635,562 | |
Duke Energy Carolinas LLC | | | | | | | | |
2.55%, 04/15/2031 | | | 4,610,000 | | | | 4,786,060 | |
3.70%, 12/01/2047 | | | 2,500,000 | | | | 2,818,268 | |
3.88%, 03/15/2046 | | | 2,750,000 | | | | 3,171,799 | |
4.25%, 12/15/2041 | | | 1,650,000 | | | | 2,001,917 | |
Duke Energy Corp. | | | | | | | | |
2.55%, 06/15/2031 | | | 46,855,000 | | | | 47,413,668 | |
Duke Energy Progress LLC | | | | | | | | |
4.10%, 03/15/2043 | | | 900,000 | | | | 1,066,827 | |
4.20%, 08/15/2045 | | | 1,000,000 | | | | 1,205,399 | |
Duquesne Light Holdings, Inc. | | | | | | | | |
5.90%, 12/01/2021(2) | | | 1,500,000 | | | | 1,533,098 | |
Edison International | | | | | | | | |
4.95%, 04/15/2025 | | | 13,131,000 | | | | 14,537,785 | |
Empresas Publicas de Medellin ESP | | | | | | | | |
4.38%, 02/15/2031 | | | 1,400,000 | | | | 1,381,688 | |
Enel Finance International NV | | | | | | | | |
3.50%, 04/06/2028(2) | | | 1,505,000 | | | | 1,647,829 | |
3.63%, 05/25/2027(2) | | | 16,020,000 | | | | 17,597,265 | |
4.63%, 09/14/2025(2) | | | 7,000,000 | | | | 7,939,020 | |
FirstEnergy Corp. | | | | | | | | |
3.35%, 07/15/2022 | | | 2,075,000 | | | | 2,109,237 | |
3.40%, 03/01/2050 | | | 6,330,000 | | | | 6,187,575 | |
FirstEnergy Transmission LLC | | | | | | | | |
2.87%, 09/15/2028(2) | | | 16,876,000 | | | | 17,468,641 | |
4.35%, 01/15/2025(2) | | | 7,535,000 | | | | 8,266,802 | |
IPALCO Enterprises, Inc. | | | | | | | | |
4.25%, 05/01/2030 | | | 1,245,000 | | | | 1,398,209 | |
ITC Holdings Corp. | | | | | | | | |
3.25%, 06/30/2026 | | | 2,000,000 | | | | 2,166,232 | |
4.05%, 07/01/2023 | | | 3,812,000 | | | | 4,032,841 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Jersey Central Power & Light Co. | | | | | | | | |
2.75%, 03/01/2032(2) | | | 2,000,000 | | | | 2,030,182 | |
4.30%, 01/15/2026(2) | | | 2,000,000 | | | | 2,213,531 | |
4.70%, 04/01/2024(2) | | | 150,000 | | | | 163,196 | |
KeySpan Gas East Corp. | | | | | | | | |
2.74%, 08/15/2026(2) | | | 4,500,000 | | | | 4,718,146 | |
Metropolitan Edison Co. | | | | | | | | |
4.00%, 04/15/2025(2) | | | 4,000,000 | | | | 4,235,502 | |
4.30%, 01/15/2029(2) | | | 5,000,000 | | | | 5,598,045 | |
Mid-Atlantic Interstate Transmission LLC | | | | | | | | |
4.10%, 05/15/2028(2) | | | 700,000 | | | | 787,762 | |
Mong Duong Finance Holdings BV | | | | | | | | |
5.13%, 05/07/2029 | | | 1,150,000 | | | | 1,152,875 | |
NextEra Energy Capital Holdings, Inc. | | | | | | | | |
0.65%, 03/01/2023 | | | 5,370,000 | | | | 5,391,915 | |
Northern States Power Co. | | | | | | | | |
3.60%, 09/15/2047 | | | 1,800,000 | | | | 2,036,944 | |
4.00%, 08/15/2045 | | | 1,000,000 | | | | 1,192,770 | |
NRG Energy, Inc. | | | | | | | | |
4.45%, 06/15/2029(2) | | | 7,405,000 | | | | 8,173,485 | |
5.25%, 06/15/2029(2) | | | 2,120,000 | | | | 2,255,150 | |
5.75%, 01/15/2028 | | | 1,990,000 | | | | 2,119,350 | |
Pacific Gas & Electric Co. | | | | | | | | |
2.10%, 08/01/2027 | | | 13,063,000 | | | | 12,686,570 | |
2.50%, 02/01/2031 | | | 6,150,000 | | | | 5,765,911 | |
2.95%, 03/01/2026 | | | 3,312,000 | | | | 3,386,691 | |
3.00%, 06/15/2028 | | | 13,949,000 | | | | 14,011,743 | |
3.15%, 01/01/2026 | | | 6,569,000 | | | | 6,775,463 | |
3.25%, 06/15/2023 | | | 2,670,000 | | | | 2,759,418 | |
3.25%, 06/01/2031 | | | 2,300,000 | | | | 2,261,646 | |
3.30%, 03/15/2027 | | | 2,052,000 | | | | 2,123,234 | |
3.30%, 12/01/2027 | | | 3,700,000 | | | | 3,803,234 | |
3.30%, 08/01/2040 | | | 4,970,000 | | | | 4,488,273 | |
3.40%, 08/15/2024 | | | 2,476,000 | | | | 2,598,639 | |
3.45%, 07/01/2025 | | | 7,759,500 | | | | 8,133,365 | |
3.50%, 06/15/2025 | | | 10,754,000 | | | | 11,276,632 | |
3.50%, 08/01/2050 | | | 9,498,000 | | | | 8,465,195 | |
3.75%, 02/15/2024 | | | 2,914,000 | | | | 3,054,642 | |
3.75%, 07/01/2028 | | | 18,443,500 | | | | 19,309,568 | |
3.75%, 08/15/2042 | | | 1,883,000 | | | | 1,713,119 | |
3.85%, 11/15/2023 | | | 1,259,000 | | | | 1,319,349 | |
3.95%, 12/01/2047 | | | 4,606,000 | | | | 4,283,876 | |
4.00%, 12/01/2046 | | | 13,182,000 | | | | 12,337,336 | |
4.25%, 08/01/2023 | | | 15,600,000 | | | | 16,527,512 | |
4.25%, 03/15/2046 | | | 409,000 | | | | 388,876 | |
4.30%, 03/15/2045 | | | 12,052,000 | | | | 11,565,144 | |
4.45%, 04/15/2042 | | | 7,667,000 | | | | 7,590,692 | |
4.50%, 07/01/2040 | | | 11,103,000 | | | | 11,108,375 | |
4.50%, 12/15/2041 | | | 3,353,000 | | | | 3,263,143 | |
4.55%, 07/01/2030 | | | 40,929,500 | | | | 43,776,527 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
4.60%, 06/15/2043 | | | 1,248,000 | | | | 1,236,766 | |
4.65%, 08/01/2028 | | | 100,000 | | | | 110,049 | |
4.75%, 02/15/2044 | | | 11,506,000 | | | | 11,616,964 | |
4.95%, 07/01/2050 | | | 4,972,500 | | | | 5,114,547 | |
Pennsylvania Electric Co. | | | | | | | | |
3.25%, 03/15/2028(2) | | | 200,000 | | | | 210,011 | |
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | | | | | | | | |
5.45%, 05/21/2028(2) | | | 11,800,000 | | | | 13,747,000 | |
Piedmont Natural Gas Co., Inc. | | | | | | | | |
2.50%, 03/15/2031 | | | 25,000,000 | | | | 25,391,675 | |
Public Service Co. of New Mexico | | | | | | | | |
3.85%, 08/01/2025 | | | 7,000,000 | | | | 7,572,404 | |
San Diego Gas & Electric Co. | | | | | | | | |
3.75%, 06/01/2047 | | | 24,000 | | | | 27,387 | |
Sempra Energy | | | | | | | | |
3.25%, 06/15/2027 | | | 8,634,000 | | | | 9,365,460 | |
Southern California Edison Co. | | | | | | | | |
3.65%, 02/01/2050 | | | 1,595,000 | | | | 1,595,135 | |
4.00%, 04/01/2047 | | | 455,000 | | | | 478,615 | |
4.13%, 03/01/2048 | | | 570,000 | | | | 607,440 | |
6.65%, 04/01/2029 | | | 192,000 | | | | 239,728 | |
Southern California Gas Co. | | | | | | | | |
5.13%, 11/15/2040 | | | 12,000 | | | | 15,617 | |
Southern Co. | | | | | | | | |
3.25%, 07/01/2026 | | | 8,000,000 | | | | 8,682,114 | |
Southern Co. Gas Capital Corp. | | | | | | | | |
4.40%, 05/30/2047 | | | 1,915,000 | | | | 2,253,737 | |
5.88%, 03/15/2041 | | | 1,920,000 | | | | 2,647,629 | |
Southwestern Electric Power Co. | | | | | | | | |
4.10%, 09/15/2028 | | | 10,000,000 | | | | 11,370,289 | |
Spire, Inc. | | | | | | | | |
3.54%, 02/27/2024 | | | 5,000,000 | | | | 5,162,863 | |
State Grid Overseas Investment 2016 Ltd. | | | | | | | | |
2.75%, 05/04/2022(2) | | | 404,000 | | | | 410,157 | |
3.50%, 05/04/2027 | | | 5,330,000 | | | | 5,863,351 | |
3.75%, 05/02/2023(2) | | | 4,235,000 | | | | 4,456,321 | |
TNB Global Ventures Capital Bhd | | | | | | | | |
3.24%, 10/19/2026 | | | 4,030,000 | | | | 4,309,360 | |
Tucson Electric Power Co. | | | | | | | | |
3.05%, 03/15/2025 | | | 3,000,000 | | | | 3,207,724 | |
5.15%, 11/15/2021 | | | 678,000 | | | | 681,861 | |
Vistra Operations Co. LLC | | | | | | | | |
3.55%, 07/15/2024(2) | | | 8,385,000 | | | | 8,853,476 | |
3.70%, 01/30/2027(2) | | | 14,530,000 | | | | 15,524,016 | |
4.38%, 05/01/2029(2) | | | 2,530,000 | | | | 2,542,650 | |
| | | | | | | | |
Total Utilities | | | | 653,266,656 | |
| | | | | | | | |
Total Corporate Bonds (Cost: $10,490,212,975) | | | | | | | 10,938,363,664 | |
| | | | | | | | |
Convertible Securities – 0.21% | | | | | | | | |
Communications – 0.11% | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
DISH Network Corp. | | | | | | | | |
2.38%, 03/15/2024 | | | 7,520,000 | | | | 7,289,700 | |
3.38%, 08/15/2026 | | | 10,045,000 | | | | 10,250,923 | |
Expedia Group, Inc. | | | | | | | | |
0.00%, 02/15/2026(2) | | | 2,735,000 | | | | 2,953,800 | |
Palo Alto Networks, Inc. | | | | | | | | |
0.38%, 06/01/2025 | | | 6,175,000 | | | | 8,398,000 | |
Twitter, Inc. | | | | | | | | |
0.00%, 03/15/2026(2) | | | 3,375,000 | | | | 3,218,906 | |
Uber Technologies, Inc. | | | | | | | | |
0.00%, 12/15/2025(2) | | | 2,455,000 | | | | 2,489,370 | |
| | | | | | | | |
Total Communications | | | | 34,600,699 | |
| | | | | | | | |
Consumer, Cyclical – 0.03% | | | | | | | | |
Peloton Interactive, Inc. | | | | | | | | |
0.00%, 02/15/2026(2) | | | 4,735,000 | | | | 4,578,153 | |
Southwest Airlines Co. | | | | | | | | |
1.25%, 05/01/2025 | | | 3,310,000 | | | | 5,012,581 | |
| | | | | | | | |
Total Consumer, Cyclical | | | | 9,590,734 | |
| | | | | | | | |
Consumer, Non-cyclical – 0.07% | | | | | | | | |
BioMarin Pharmaceutical, Inc. | | | | | | | | |
0.60%, 08/01/2024 | | | 2,545,000 | | | | 2,637,384 | |
1.25%, 05/15/2027 | | | 10,100,000 | | | | 10,119,464 | |
Livongo Health, Inc. | | | | | | | | |
0.88%, 06/01/2025 | | | 950,000 | | | | 1,499,217 | |
Neurocrine Biosciences, Inc. | | | | | | | | |
2.25%, 05/15/2024 | | | 1,160,000 | | | | 1,550,804 | |
Teladoc Health, Inc. | | | | | | | | |
1.25%, 06/01/2027 | | | 6,475,000 | | | | 7,248,115 | |
| | | | | | | | |
Total Consumer, Non-cyclical | | | | 23,054,984 | |
| | | | | | | | |
Total Convertible Securities (Cost: $65,107,214) | | | | | | | 67,246,417 | |
| | | | | | | | |
Government Related – 25.54% | | | | | | | | |
Other Government Related – 2.31% | | | | | | | | |
Abu Dhabi Government International Bond | | | | | | | | |
2.50%, 09/30/2029 | | | 2,541,000 | | | | 2,653,160 | |
2.70%, 09/02/2070(2) | | | 6,469,000 | | | | 5,858,326 | |
3.88%, 04/16/2050 | | | 200,000 | | | | 230,250 | |
3.88%, 04/16/2050(2) | | | 5,400,000 | | | | 6,216,750 | |
Africa Finance Corp. | | | | | | | | |
3.88%, 04/13/2024(2) | | | 1,085,000 | | | | 1,150,100 | |
Argentina Bocon | | | | | | | | |
34.07% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 0.00%), 10/04/2022(1) | | ARS | 3,284,783 | | | | 29,945 | |
Argentina Treasury Bond BONCER | | | | | | | | |
1.00%, 08/05/2021 | | | 135,001,300 | | | | 2,335,186 | |
Argentine Bonos del Tesoro | | | | | | | | |
15.50%, 10/17/2026 | | | 110,804,000 | | | | 504,773 | |
Argentine Republic Government International Bond | | | | | | | | |
0.13%, 07/09/2030(3) | | $ | 25,483,672 | | | | 9,128,506 | |
0.13%, 07/09/2035(3) | | | 4,446,707 | | | | 1,407,427 | |
0.13%, 01/09/2038(3) | | | 261,019 | | | | 98,360 | |
0.13%, 07/09/2041(3) | | | 12,427,204 | | | | 4,430,298 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
0.13%, 07/09/2046(3) | | | 114,993 | | | | 36,913 | |
1.00%, 07/09/2029 | | | 1,108,815 | | | | 419,886 | |
Bonos del Tesoro Nacional en Pesos Badlar | | | | | | | | |
36.10% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 2.00%), 04/03/2022(1) | | ARS | 219,181,000 | | | | 2,436,682 | |
Brazil Letras do Tesouro Nacional | | | | | | | | |
0.00%, 10/01/2021 | | BRL | 515,000,000 | | | | 102,292,930 | |
Brazil Notas do Tesouro Nacional Serie F | | | | | | | | |
10.00%, 01/01/2025 | | | 119,192,000 | | | | 25,274,900 | |
Brazilian Government International Bond | | | | | | | | |
2.88%, 06/06/2025 | | $ | 500,000 | | | | 513,835 | |
3.88%, 06/12/2030 | | | 4,400,000 | | | | 4,436,960 | |
Chile Government International Bond | | | | | | | | |
2.45%, 01/31/2031 | | | 2,500,000 | | | | 2,544,125 | |
2.55%, 01/27/2032 | | | 1,770,000 | | | | 1,808,940 | |
City of New York NY | | | | | | | | |
1.92%, 08/01/2031 | | | 4,350,000 | | | | 4,319,457 | |
2.05%, 03/01/2032 | | | 2,480,000 | | | | 2,502,721 | |
3.55%, 12/01/2028 | | | 3,645,000 | | | | 4,074,962 | |
City of San Francisco CA Public Utilities Commission Water Revenue | | | | | | | | |
2.19%, 11/01/2032 | | | 1,610,000 | | | | 1,647,395 | |
2.83%, 11/01/2041 | | | 6,510,000 | | | | 6,605,200 | |
Ciudad Autonoma de Buenos Aires/Government Bonds | | | | | | | | |
37.37% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 3.25%), 03/29/2024(1) | | ARS | 314,346,000 | | | | 2,918,231 | |
37.88% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 3.75%), 02/22/2028(1) | | | 401,380,000 | | | | 3,738,792 | |
39.12% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 5.00%), 01/23/2022(1) | | | 566,081,000 | | | | 6,370,134 | |
Colombia Government International Bond | | | | | | | | |
3.00%, 01/30/2030 | | $ | 5,200,000 | | | | 5,094,128 | |
4.50%, 01/28/2026 | | | 1,892,000 | | | | 2,065,042 | |
Commonwealth of Puerto Rico | | | | | | | | |
5.00%, 07/01/2021(6) | | | 240,000 | | | | 210,600 | |
4.13%, 07/01/2022(6) | | | 100,000 | | | | 85,375 | |
5.00%, 07/01/2028(6) | | | 20,000 | | | | 18,350 | |
5.00%, 07/01/2041(6) | | | 395,000 | | | | 331,306 | |
5.13%, 07/01/2028(6) | | | 30,000 | | | | 27,450 | |
5.13%, 07/01/2031(6) | | | 2,590,000 | | | | 2,369,850 | |
5.13%, 07/01/2037(6) | | | 190,000 | | | | 163,162 | |
5.25%, 07/01/2026(6) | | | 200,000 | | | | 184,000 | |
5.25%, 07/01/2037(6) | | | 100,000 | | | | 92,000 | |
5.38%, 07/01/2030(6) | | | 165,000 | | | | 147,056 | |
5.50%, 07/01/2032(6) | | | 1,610,000 | | | | 1,465,100 | |
5.50%, 07/01/2039(6) | | | 520,000 | | | | 457,600 | |
5.70%, 07/01/2023(6) | | | 170,000 | | | | 151,725 | |
5.75%, 07/01/2038(6) | | | 80,000 | | | | 72,000 | |
5.75%, 07/01/2041(6) | | | 100,000 | | | | 89,250 | |
6.00%, 07/01/2038(6) | | | 610,000 | | | | 565,775 | |
6.00%, 07/01/2039(6) | | | 55,000 | | | | 49,981 | |
6.50%, 07/01/2040(6) | | | 30,000 | | | | 27,412 | |
8.00%, 07/01/2035(6) | | | 800,000 | | | | 662,000 | |
County of Miami-Dade FL Aviation Revenue | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
2.61%, 10/01/2032 | | | 900,000 | | | | 932,800 | |
2.71%, 10/01/2033 | | | 1,290,000 | | | | 1,341,051 | |
3.45%, 10/01/2030 | | | 600,000 | | | | 655,333 | |
Croatia Government International Bond | | | | | | | | |
6.00%, 01/26/2024 | | | 1,253,000 | | | | 1,420,175 | |
Dominican Republic International Bond | | | | | | | | |
4.50%, 01/30/2030(2) | | | 3,330,000 | | | | 3,404,958 | |
4.88%, 09/23/2032 | | | 2,500,000 | | | | 2,575,000 | |
Egypt Government International Bond | | | | | | | | |
5.25%, 10/06/2025 | | | 400,000 | | | | 421,520 | |
7.60%, 03/01/2029(2) | | | 1,550,000 | | | | 1,701,435 | |
Export Credit Bank of Turkey | | | | | | | | |
8.25%, 01/24/2024(2) | | | 1,000,000 | | | | 1,085,000 | |
Export Import Bank of Thailand | | | | | | | | |
1.46%, 10/15/2025 | | | 3,184,000 | | | | 3,184,518 | |
Export-Import Bank of India | | | | | | | | |
1.17% (3 Month LIBOR USD + 1.02%), 03/28/2022(1)(17) | | | 9,600,000 | | | | 9,600,672 | |
Export-Import Bank of Korea | | | | | | | | |
6.75%, 08/09/2022 | | INR | 306,900,000 | | | | 4,196,617 | |
Guatemala Government Bond | | | | | | | | |
5.38%, 04/24/2032(2) | | $ | 600,000 | | | | 696,000 | |
6.13%, 06/01/2050(2) | | | 800,000 | | | | 978,000 | |
Hazine Mustesarligi Varlik Kiralama AS | | | | | | | | |
5.80%, 02/21/2022(2) | | | 7,960,000 | | | | 8,105,350 | |
Indonesia Government International Bond | | | | | | | | |
2.85%, 02/14/2030 | | | 3,000,000 | | | | 3,110,390 | |
Israel Government International Bond | | | | | | | | |
3.88%, 07/03/2050 | | | 3,000,000 | | | | 3,469,662 | |
4.50%, 04/03/2120 | | | 1,400,000 | | | | 1,767,500 | |
Korea Electric Power Corp. | | | | | | | | |
7.00%, 02/01/2027 | | | 1,335,000 | | | | 1,703,113 | |
Korea National Oil Corp. | | | | | | | | |
1.63%, 10/05/2030(2) | | | 4,180,000 | | | | 3,989,694 | |
Korea South-East Power Co. Ltd. | | | | | | | | |
1.00%, 02/03/2026 | | | 1,260,000 | | | | 1,243,485 | |
Los Angeles Department of Water & Power Water System Revenue | | | | | | | | |
6.01%, 07/01/2039 | | | 675,000 | | | | 924,188 | |
Metropolitan Transportation Authority | | | | | | | | |
5.18%, 11/15/2049 | | | 2,065,000 | | | | 2,787,680 | |
Mexican Bonos | | | | | | | | |
6.75%, 03/09/2023 | | MXN | 436,703,400 | | | | 22,299,170 | |
Mexico Government International Bond | | | | | | | | |
2.66%, 05/24/2031 | | $ | 7,776,000 | | | | 7,596,297 | |
3.75%, 01/11/2028 | | | 2,000,000 | | | | 2,177,380 | |
3.77%, 05/24/2061 | | | 19,008,000 | | | | 17,667,936 | |
4.28%, 08/14/2041 | | | 17,695,000 | | | | 18,573,380 | |
4.50%, 04/22/2029 | | | 773,000 | | | | 873,444 | |
4.75%, 04/27/2032 | | | 1,100,000 | | | | 1,259,500 | |
New Jersey Turnpike Authority | | | | | | | | |
1.86%, 01/01/2031 | | | 2,370,000 | | | | 2,352,858 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
New York City Transitional Finance Authority Future Tax Secured Revenue | | | | | | | | |
2.40%, 11/01/2032 | | | 2,580,000 | | | | 2,644,169 | |
2.69%, 05/01/2033 | | | 1,275,000 | | | | 1,333,259 | |
2.80%, 02/01/2026 | | | 1,850,000 | | | | 1,989,832 | |
3.95%, 08/01/2032 | | | 1,900,000 | | | | 2,147,522 | |
5.27%, 05/01/2027 | | | 5,820,000 | | | | 7,049,293 | |
New York State Dormitory Authority | | | | | | | | |
5.05%, 09/15/2027 | | | 1,800,000 | | | | 2,143,293 | |
5.29%, 03/15/2033 | | | 830,000 | | | | 1,011,030 | |
Panama Government International Bond | | | | | | | | |
2.25%, 09/29/2032 | | | 2,200,000 | | | | 2,108,810 | |
3.16%, 01/23/2030 | | | 6,109,000 | | | | 6,406,875 | |
3.88%, 03/17/2028 | | | 800,000 | | | | 877,200 | |
Paraguay Government International Bond | | | | | | | | |
4.70%, 03/27/2027 | | | 2,030,000 | | | | 2,301,025 | |
4.95%, 04/28/2031(2) | | | 1,200,000 | | | | 1,377,012 | |
Peru Government Bond | | | | | | | | |
5.94%, 02/12/2029 | | PEN | 21,282,000 | | | | 6,042,981 | |
6.15%, 08/12/2032 | | | 17,826,000 | | | | 4,853,855 | |
6.95%, 08/12/2031 | | | 5,192,000 | | | | 1,514,133 | |
Peruvian Government International Bond | | | | | | | | |
2.84%, 06/20/2030 | | $ | 1,370,000 | | | | 1,409,004 | |
4.13%, 08/25/2027 | | | 1,541,000 | | | | 1,723,115 | |
5.94%, 02/12/2029 | | PEN | 11,140,000 | | | | 3,163,180 | |
5.94%, 02/12/2029(2) | | | 11,637,000 | | | | 3,304,303 | |
6.15%, 08/12/2032(2) | | | 2,151,000 | | | | 583,815 | |
6.35%, 08/12/2028(2) | | | 12,544,000 | | | | 3,646,471 | |
6.90%, 08/12/2037(2) | | | 780,000 | | | | 214,765 | |
6.95%, 08/12/2031 | | | 1,183,000 | | | | 344,996 | |
6.95%, 08/12/2031(2) | | | 10,939,000 | | | | 3,190,119 | |
8.20%, 08/12/2026(2) | | | 15,908,000 | | | | 5,131,649 | |
Philippine Government International Bond | | | | | | | | |
1.65%, 06/10/2031 | | $ | 563,000 | | | | 543,366 | |
1.95%, 01/06/2032 | | | 1,000,000 | | | | 986,815 | |
2.46%, 05/05/2030 | | | 887,000 | | | | 921,603 | |
Province of Quebec Canada | | | | | | | | |
0.60%, 07/23/2025 | | | 7,535,000 | | | | 7,461,428 | |
Provincia de Buenos Aires/Government Bonds | | | | | | | | |
37.85% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 3.75%), 04/12/2025(1)(2) | | ARS | 1,284,476,000 | | | | 12,528,370 | |
37.95% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days + 3.83%), 05/31/2022(1) | | | 52,056,000 | | | | 535,749 | |
Puerto Rico Electric Power Authority | | | | | | | | |
6.05%, 07/01/2032(6) | | $ | 100,000 | | | | 95,125 | |
Qatar Government International Bond | | | | | | | | |
3.75%, 04/16/2030 | | | 2,700,000 | | | | 3,054,915 | |
4.50%, 04/23/2028 | | | 2,759,000 | | | | 3,255,620 | |
4.63%, 06/02/2046 | | | 257,000 | | | | 318,513 | |
5.10%, 04/23/2048 | | | 600,000 | | | | 796,560 | |
Regents of the University of California Medical Center Pooled Revenue | | | | | | | | |
3.26%, 05/15/2060 | | | 15,790,000 | | | | 16,774,135 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Republic of South Africa Government Bond | | | | | | | | |
8.00%, 01/31/2030 | | ZAR | 43,000,000 | | | | 2,855,460 | |
8.25%, 03/31/2032 | | | 60,400,000 | | | | 3,862,649 | |
8.75%, 02/28/2048 | | | 16,700,000 | | | | 989,838 | |
8.88%, 02/28/2035 | | | 43,200,000 | | | | 2,745,973 | |
10.50%, 12/21/2026 | | | 1,668,900,000 | | | | 132,845,842 | |
Republic of South Africa Government International Bond | | | | | | | | |
4.30%, 10/12/2028 | | $ | 1,534,000 | | | | 1,583,855 | |
4.85%, 09/30/2029 | | | 11,735,000 | | | | 12,443,794 | |
4.88%, 04/14/2026 | | | 700,000 | | | | 759,724 | |
5.75%, 09/30/2049 | | | 5,200,000 | | | | 5,314,088 | |
Romanian Government International Bond | | | | | | | | |
2.75%, 04/14/2041(2) | | EUR | 8,300,000 | | | | 9,768,581 | |
3.00%, 02/14/2031 | | $ | 2,700,000 | | | | 2,795,634 | |
Saudi Government International Bond | | | | | | | | |
2.38%, 10/26/2021 | | | 17,900,000 | | | | 18,007,400 | |
2.75%, 02/03/2032(2) | | | 1,900,000 | | | | 1,949,636 | |
3.25%, 10/26/2026 | | | 900,000 | | | | 980,359 | |
3.25%, 10/22/2030 | | | 700,000 | | | | 753,375 | |
3.63%, 03/04/2028 | | | 2,780,000 | | | | 3,071,622 | |
3.75%, 01/21/2055(2) | | | 300,000 | | | | 316,651 | |
4.00%, 04/17/2025 | | | 10,900,000 | | | | 12,030,875 | |
4.50%, 10/26/2046 | | | 275,000 | | | | 322,094 | |
5.00%, 04/17/2049 | | | 1,000,000 | | | | 1,261,900 | |
Serbia International Bond | | | | | | | | |
1.65%, 03/03/2033(2) | | EUR | 3,200,000 | | | | 3,711,227 | |
3.13%, 05/15/2027(2) | | | 1,998,000 | | | | 2,634,542 | |
State of Illinois | | | | | | | | |
5.10%, 06/01/2033 | | $ | 225,000 | | | | 264,565 | |
6.73%, 04/01/2035 | | | 70,000 | | | | 88,163 | |
7.35%, 07/01/2035 | | | 55,000 | | | | 71,051 | |
State of Israel | | | | | | | | |
3.38%, 01/15/2050 | | | 8,400,000 | | | | 8,973,384 | |
3.80%, 05/13/2060 | | | 16,900,000 | | | | 19,236,898 | |
Texas Public Finance Authority | | | | | | | | |
8.25%, 07/01/2024 | | | 3,300,000 | | | | 3,330,902 | |
Turkey Government International Bond | | | | | | | | |
3.25%, 03/23/2023 | | | 2,050,000 | | | | 2,045,408 | |
4.63%, 03/31/2025 | | EUR | 6,300,000 | | | | 7,754,870 | |
5.75%, 03/22/2024 | | $ | 600,000 | | | | 622,003 | |
5.75%, 05/11/2047 | | | 2,800,000 | | | | 2,390,360 | |
6.35%, 08/10/2024 | | | 1,782,000 | | | | 1,868,445 | |
7.25%, 12/23/2023 | | | 4,000,000 | | | | 4,313,120 | |
7.63%, 04/26/2029 | | | 11,900,000 | | | | 13,026,930 | |
Uruguay Government International Bond | | | | | | | | |
4.38%, 01/23/2031 | | | 1,800,000 | | | | 2,094,318 | |
Venezuela Government International Bond | | | | | | | | |
6.00%, 12/09/2049(6) | | | 30,000 | | | | 2,895 | |
7.00%, 03/31/2038(6) | | | 187,000 | | | | 19,541 | |
7.65%, 04/21/2025(6) | | | 534,000 | | | | 53,400 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
7.75%, 04/13/2022(6) | | | 100,000 | | | | 10,250 | |
8.25%, 10/13/2024(6) | | | 7,294,000 | | | | 751,282 | |
9.00%, 05/07/2023(6) | | | 110,000 | | | | 10,945 | |
9.00%, 05/07/2023(6) | | | 7,405,000 | | | | 736,798 | |
9.25%, 09/15/2027(6) | | | 1,049,000 | | | | 109,096 | |
9.25%, 05/07/2028(6) | | | 420,000 | | | | 43,050 | |
11.75%, 10/21/2026(6) | | | 120,000 | | | | 12,480 | |
11.95%, 08/05/2031(6) | | | 3,200,000 | | | | 331,200 | |
| | | | | | | | |
Total Other Government Related | | | | 755,358,790 | |
| | | | | | | | |
U.S. Treasury Obligations – 23.23% | | | | | | | | |
U.S. Treasury Inflation Indexed Bond | | | | | | | | |
0.13%, 07/15/2030(8) | | | 10,728,377 | | | | 11,834,182 | |
0.25%, 07/15/2029(8)(9) | | | 45,728,076 | | | | 50,868,912 | |
0.25%, 02/15/2050(8) | | | 4,570,456 | | | | 5,169,555 | |
0.63%, 02/15/2043(8) | | | 348,465 | | | | 416,007 | |
0.75%, 02/15/2042(8) | | | 590,930 | | | | 719,426 | |
0.75%, 02/15/2045(8) | | | 4,309,504 | | | | 5,312,137 | |
0.88%, 02/15/2047(8) | | | 4,867,764 | | | | 6,259,133 | |
1.00%, 02/15/2046(8) | | | 2,254,140 | | | | 2,944,441 | |
1.00%, 02/15/2048(8) | | | 3,573,768 | | | | 4,763,628 | |
1.00%, 02/15/2049(8) | | | 6,686,001 | | | | 8,996,937 | |
1.38%, 02/15/2044(8) | | | 572,930 | | | | 790,203 | |
2.13%, 02/15/2040(8) | | | 247,112 | | | | 368,216 | |
2.13%, 02/15/2041(8) | | | 365,841 | | | | 551,067 | |
U.S. Treasury Note/Bond | | | | | | | | |
0.13%, 04/30/2022 | | | 78,405,000 | | | | 78,429,502 | |
0.13%, 05/31/2022 | | | 57,150,000 | | | | 57,167,859 | |
0.13%, 08/31/2022 | | | 61,755,000 | | | | 61,757,412 | |
0.13%, 09/30/2022 | | | 78,645,000 | | | | 78,632,712 | |
0.13%, 12/31/2022(9) | | | 57,430,000 | | | | 57,380,646 | |
0.13%, 02/28/2023 | | | 241,370,000 | | | | 241,068,288 | |
0.13%, 04/30/2023 | | | 294,000,000 | | | | 293,448,750 | |
0.13%, 05/31/2023 | | | 706,508,000 | | | | 704,990,110 | |
0.13%, 06/30/2023 | | | 214,920,000 | | | | 214,407,886 | |
0.13%, 01/15/2024(9) | | | 194,040,000 | | | | 192,865,148 | |
0.13%, 02/15/2024 | | | 92,000,000 | | | | 91,407,031 | |
0.25%, 03/15/2024 | | | 211,835,000 | | | | 210,990,969 | |
0.25%, 05/15/2024 | | | 124,515,000 | | | | 123,834,059 | |
0.25%, 06/15/2024 | | | 81,240,000 | | | | 80,744,944 | |
0.38%, 03/31/2022 | | | 83,370,000 | | | | 83,552,372 | |
0.75%, 03/31/2026 | | | 342,476,000 | | | | 340,937,533 | |
0.75%, 04/30/2026 | | | 743,580,000 | | | | 739,804,012 | |
0.75%, 05/31/2026 | | | 438,415,000 | | | | 435,914,667 | |
0.88%, 06/30/2026 | | | 86,875,000 | | | | 86,834,277 | |
0.88%, 11/15/2030 | | | 417,800,000 | | | | 397,301,687 | |
1.13%, 08/31/2021 | | | 155,800,000 | | | | 156,078,851 | |
1.13%, 02/29/2028 | | | 76,082,000 | | | | 75,856,132 | |
1.13%, 02/15/2031 | | | 698,900,000 | | | | 678,479,016 | |
1.25%, 03/31/2028 | | | 250,000,000 | | | | 250,986,328 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
1.38%, 08/15/2050 | | | 73,900,000 | | | | 62,298,277 | |
1.63%, 05/15/2031 | | | 143,662,000 | | | | 145,861,824 | |
1.88%, 02/15/2041 | | | 266,149,000 | | | | 260,534,920 | |
1.88%, 02/15/2051 | | | 371,850,000 | | | | 354,884,344 | |
2.25%, 05/15/2041 | | | 57,950,000 | | | | 60,295,164 | |
2.25%, 08/15/2049 | | | 116,300,000 | | | | 120,479,531 | |
2.38%, 05/15/2051 | | | 434,498,000 | | | | 463,894,505 | |
2.50%, 02/15/2045 | | | 49,400,000 | | | | 53,448,484 | |
2.75%, 08/15/2021 | | | 79,300,000 | | | | 79,566,591 | |
2.75%, 11/15/2047 | | | 250,000 | | | | 284,590 | |
3.00%, 05/15/2045 | | | 30,000,000 | | | | 35,378,906 | |
3.00%, 02/15/2048 | | | 15,800,000 | | | | 18,834,094 | |
3.00%, 08/15/2048(9) | | | 10,405,000 | | | | 12,423,407 | |
3.00%, 02/15/2049 | | | 64,740,000 | | | | 77,508,447 | |
3.13%, 05/15/2048 | | | 12,780,000 | | | | 15,586,109 | |
| | | | | | | | |
Total U.S. Treasury Obligations | | | | 7,593,143,228 | |
| | | | | | | | |
Total Government Related (Cost: $8,280,554,363) | | | | | | | 8,348,502,018 | |
| | | | | | | | |
Mortgage-Backed Obligations – 24.49% | | | | | | | | |
280 Park Avenue 2017-280P Mortgage Trust | | | | | | | | |
0.95% (1 Month LIBOR USD + 0.88%, 0.88% Floor), 09/15/2034, Series 2017-280P, Class A(1)(2) | | | 1,315,632 | | | | 1,315,633 | |
Alen 2021-ACEN Mortgage Trust | | | | | | | | |
1.22% (1 Month LIBOR USD + 1.15%, 1.15% Floor), 04/15/2034, Series 2021-ACEN, Class A(1)(2) | | | 11,160,000 | | | | 11,163,320 | |
Alternative Loan Trust 2003-22CB | | | | | | | | |
5.75%, 12/25/2033, Series 2003-22CB, Class 1A1 | | | 466,759 | | | | 482,044 | |
6.00%, 12/25/2033, Series 2003-22CB, Class 3A1 | | | 146,675 | | | | 152,550 | |
Alternative Loan Trust 2004-16CB | | | | | | | | |
5.50%, 07/25/2034, Series 2004-16CB, Class 1A1 | | | 248,110 | | | | 254,582 | |
5.50%, 08/25/2034, Series 2004-16CB, Class 3A1 | | | 285,635 | | | | 293,277 | |
Alternative Loan Trust 2005-56 | | | | | | | | |
1.55% (1 Month LIBOR USD + 1.46%, 1.46% Floor), 11/25/2035, Series 2005-56, Class 1A1(1) | | | 4,187,695 | | | | 4,165,829 | |
Alternative Loan Trust 2005-74T1 | | | | | | | | |
6.00%, 01/25/2036, Series 2005-74T1, Class A1 | | | 10,015,262 | | | | 7,882,422 | |
Alternative Loan Trust 2006-HY12 | | | | | | | | |
3.06%, 08/25/2036, Series 2006-HY12, Class A5(4) | | | 197,557 | | | | 197,852 | |
Alternative Loan Trust 2006-OA17 | | | | | | | | |
0.29% (1 Month LIBOR USD + 0.20%, 0.20% Floor), 12/20/2046, Series 2006-OA17, Class 1A1A(1) | | | 13,973,064 | | | | 12,163,998 | |
Alternative Loan Trust 2006-OA22 | | | | | | | | |
0.30% (1 Month LIBOR USD + 0.21%, 0.21% Floor), 02/25/2047, Series 2006-OA22, Class A2(1) | | | 12,348,300 | | | | 11,479,334 | |
Alternative Loan Trust 2006-OA3 | | | | | | | | |
0.49% (1 Month LIBOR USD + 0.40%, 0.40% Floor), 05/25/2036, Series 2006-OA3, Class 1A1(1) | | | 4,806,214 | | | | 4,264,279 | |
Alternative Loan Trust 2006-OA7 | | | | | | | | |
1.06% (12 Month U.S. Treasury Average + 0.94%, 0.94% Floor), 06/25/2046, Series 2006-OA7, Class 2A1(1) | | | 10,207,861 | | | | 9,140,415 | |
Alternative Loan Trust 2006-OC5 | | | | | | | | |
0.61% (1 Month LIBOR USD + 0.52%, 0.52% Floor), 06/25/2046, Series 2006-OC5, Class 2A3(1) | | | 7,839,685 | | | | 7,324,808 | |
Alternative Loan Trust 2007-5CB | | | | | | | | |
6.00%, 04/25/2037, Series 2007-5CB, Class 1A4 | | | 15,226,135 | | | | 12,012,788 | |
Alternative Loan Trust 2007-HY7C | | | | | | | | |
0.23% (1 Month LIBOR USD + 0.14%, 0.14% Floor), 08/25/2037, Series 2007-HY7C, Class A1(1) | | | 2,447,192 | | | | 2,398,334 | |
Alternative Loan Trust 2007-OA2 | | | | | | | | |
0.22% (1 Month LIBOR USD + 0.13%, 0.13% Floor), 03/25/2047, Series 2007-OA2, Class 2A1(1) | | | 11,596,583 | | | | 9,837,652 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
0.96% (12 Month U.S. Treasury Average + 0.84%, 0.84% Floor), 03/25/2047, Series 2007-OA2, Class 1A1(1) | | | 22,344,949 | | | | 19,584,602 | |
Alternative Loan Trust 2007-OA4 | | | | | | | | |
0.26% (1 Month LIBOR USD + 0.17%, 0.17% Floor), 05/25/2047, Series 2007-OA4, Class A1(1) | | | 1,693,099 | | | | 1,602,776 | |
Angel Oak Mortgage Trust 2019-3 | | | | | | | | |
3.24%, 05/25/2059, Series 2019-3, Class A3(2)(4) | | | 1,822,916 | | | | 1,829,075 | |
Angel Oak Mortgage Trust 2021-1 | | | | | | | | |
1.22%, 01/25/2066, Series 2021-1, Class A3(2)(4) | | | 7,286,922 | | | | 7,271,547 | |
Angel Oak Mortgage Trust I LLC 2019-1 | | | | | | | | |
3.92%, 11/25/2048, Series 2019-1, Class A1(2)(4) | | | 2,681,969 | | | | 2,718,343 | |
4.02%, 11/25/2048, Series 2019-1, Class A2(2)(4) | | | 702,841 | | | | 711,158 | |
Angel Oak Mortgage Trust I LLC 2019-2 | | | | | | | | |
3.63%, 03/25/2049, Series 2019-2, Class A1(2)(4) | | | 997,675 | | | | 1,009,379 | |
3.78%, 03/25/2049, Series 2019-2, Class A2(2)(4) | | | 1,164,899 | | | | 1,182,627 | |
4.07%, 03/25/2049, Series 2019-2, Class M1(2)(4) | | | 3,460,000 | | | | 3,504,156 | |
Angel Oak Mortgage Trust 2020-3 | | | | | | | | |
1.69%, 04/25/2065, Series 2020-3, Class A1(2)(4) | | | 3,333,720 | | | | 3,366,374 | |
Angel Oak Mortgage Trust LLC 2020-5 | | | | | | | | |
2.04%, 05/25/2065, Series 2020-5, Class A3(2)(4) | | | 1,763,342 | | | | 1,775,454 | |
2.97%, 05/25/2065, Series 2020-5, Class M1(2)(4) | | | 2,480,000 | | | | 2,535,815 | |
Ashford Hospitality Trust 2018-ASHF | | | | | | | | |
1.32% (1 Month LIBOR USD + 1.25%, 1.25% Floor), 04/15/2035, Series 2018-ASHF, Class B(1)(2) | | | 1,530,000 | | | | 1,527,066 | |
Ashford Hospitality Trust 2018-KEYS | | | | | | | | |
1.52% (1 Month LIBOR USD + 1.45%, 1.45% Floor), 06/15/2035, Series 2018-KEYS, Class B(1)(2) | | | 3,000,000 | | | | 2,999,425 | |
Austin Fairmont Hotel Trust 2019-FAIR | | | | | | | | |
1.32% (1 Month LIBOR USD + 1.25%, 1.25% Floor), 09/15/2032, Series 2019-FAIR, Class B(1)(2) | | | 2,155,000 | | | | 2,154,999 | |
1.52% (1 Month LIBOR USD + 1.45%, 1.45% Floor), 09/15/2032, Series 2019-FAIR, Class C(1)(2) | | | 5,500,000 | | | | 5,498,279 | |
Aventura Mall Trust | | | | | | | | |
4.25%, 07/05/2040, Series 2018-AVM, Class A(2)(4) | | | 5,325,000 | | | | 6,048,735 | |
BAMLL Commercial Mortgage Securities Trust 2018-PARK | | | | | | | | |
4.23%, 08/10/2038, Series 2018-PARK, Class A(2)(4) | | | 6,575,000 | | | | 7,528,198 | |
BAMLL Re-REMIC Trust 2016-RRLD11 | | | | | | | | |
6.01%, 06/17/2050, Series 2016-LD11, Class AJB(2)(4) | | | 100,000 | | | | 48,728 | |
6.01%, 06/17/2050, Series 2016-LD11, Class AJA(2)(4) | | | 229,739 | | | | 229,638 | |
Banc of America Commercial Mortgage Trust 2007-5 | | | | | | | | |
6.02%, 02/10/2051, Series 2007-5, Class AJ(4) | | | 5,803,744 | | | | 5,993,783 | |
Banc of America Funding 2015-R7 Trust | | | | | | | | |
1.05% (12 Month U.S. Treasury Average + 0.92%), 09/26/2046, Series 2015-R7, Class 1A1(1)(2) | | | 700,960 | | | | 712,441 | |
Banc of America Funding 2015-R8 Trust | | | | | | | | |
0.97%, 11/26/2046, Series 2015-R8, Class 1A1(2)(4) | | | 888,373 | | | | 905,358 | |
Banc of America Funding 2015-R9 Trust | | | | | | | | |
0.30% (1 Month LIBOR USD + 0.21%, 0.21% Floor), 02/26/2037, Series 2015-R9, Class 2A1(1)(2) | | | 9,848,262 | | | | 9,600,033 | |
BBCCRE Trust 2015-GTP | | | | | | | | |
4.70%, 08/10/2033, Series 2015-GTP, Class C(2)(4) | | | 2,715,000 | | | | 2,836,466 | |
BBCMS 2019-BWAY Mortgage Trust | | | | | | | | |
2.23% (1 Month LIBOR USD + 2.16%, 2.16% Floor), 11/15/2034, Series 2019-BWAY, Class D(1)(2) | | | 2,025,000 | | | | 1,964,309 | |
BBCMS Trust 2013-TYSN | | | | | | | | |
3.76%, 09/05/2032, Series 2013-TYSN, Class A2(2) | | | 101,347 | | | | 101,463 | |
BBCMS Trust 2018-CBM | | | | | | | | |
1.07% (1 Month LIBOR USD + 1.00%, 1.00% Floor), 07/15/2037, Series 2018-CBM, Class A(1)(2) | | | 2,305,000 | | | | 2,304,963 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
BB-UBS Trust | | | | | | | | |
2.89%, 06/05/2030, Series 2012-TFT, Class A(2) | | | 932,733 | | | | 933,121 | |
BCAP LLC 2014-RR2 | | | | | | | | |
0.57% (1 Month LIBOR USD + 0.24%, 0.24% Floor), 10/26/2036, Series 2014-RR2, Class 6A8(1)(2) | | | 16,314,782 | | | | 15,975,737 | |
Bear Stearns ALT-A Trust 2005-1 | | | | | | | | |
1.22% (1 Month LIBOR USD + 1.13%, 1.13% Floor, 11.50% Cap), 01/25/2035, Series 2005-1, Class M2(1) | | | 6,013,434 | | | | 6,360,793 | |
Bear Stearns ARM Trust 2003-3 | | | | | | | | |
2.86%, 05/25/2033, Series 2003-3, Class 3A1(4) | | | 413,545 | | | | 417,374 | |
Bear Stearns Commercial Mortgage Securities Trust 2006-TOP24 | | | | | | | | |
5.66%, 10/12/2041, Series 2006-T24, Class B(2)(4) | | | 7,839,709 | | | | 7,868,338 | |
Bear Stearns Mortgage Funding Trust 2007-AR4 | | | | | | | | |
0.30% (1 Month LIBOR USD + 0.21%, 0.21% Floor, 10.50% Cap), 06/25/2037, Series 2007-AR4, Class 2A1(1) | | | 12,411,764 | | | | 12,105,164 | |
Benchmark 2018-B1 Mortgage Trust | | | | | | | | |
3.88%, 01/15/2051, Series 2018-B1, Class AM(4) | | | 3,095,000 | | | | 3,444,152 | |
BFLD 2019-DPLO | | | | | | | | |
1.61% (1 Month LIBOR USD + 1.54%, 1.54% Floor), 10/15/2034, Series 2019-DPLO, Class C(1)(2) | | | 4,650,000 | | | | 4,648,541 | |
BFLD Trust 2020-OBRK | | | | | | | | |
2.12% (1 Month LIBOR USD + 2.05%, 2.05% Floor), 11/15/2028, Series 2020-OBRK, Class A(1)(2) | | | 13,350,000 | | | | 13,517,843 | |
Braemar Hotels & Resorts Trust 2018-Prime | | | | | | | | |
1.12% (1 Month LIBOR USD + 1.05%, 1.05% Floor), 06/15/2035, Series 2018-PRME, Class B(1)(2) | | | 3,000,000 | | | | 2,985,161 | |
Brass NO 8 Plc | | | | | | | | |
0.86% (3 Month LIBOR USD + 0.70%), 11/16/2066, Series 8A, Class A1(1)(2) | | | 1,321,424 | | | | 1,326,831 | |
BX Commercial Mortgage Trust 2019-IMC | | | | | | | | |
1.37% (1 Month LIBOR USD + 1.30%, 1.30% Floor), 04/15/2034, Series 2019-IMC, Class B(1)(2) | | | 4,870,000 | | | | 4,867,070 | |
2.22% (1 Month LIBOR USD + 2.15%, 2.15% Floor), 04/15/2034, Series 2019-IMC, Class E(1)(2) | | | 4,215,000 | | | | 4,193,855 | |
BX Trust 2018-GW | | | | | | | | |
0.87% (1 Month LIBOR USD + 0.80%, 0.80% Floor), 05/15/2035, Series 2018-GW, Class A(1)(2) | | | 2,485,000 | | | | 2,489,625 | |
BX Trust 2019-CALM | | | | | | | | |
0.95% (1 Month LIBOR USD + 0.88%, 0.88% Floor), 11/15/2032, Series 2019-CALM, Class A(1)(2) | | | 10,000,000 | | | | 10,008,976 | |
BX Trust 2019-OC11 | | | | | | | | |
3.20%, 12/09/2041, Series 2019-OC11, Class A(2) | | | 2,755,000 | | | | 2,967,860 | |
BXP Trust 2017-GM | | | | | | | | |
3.38%, 06/13/2039, Series 2017-GM, Class A(2) | | | 3,800,000 | | | | 4,153,408 | |
CALI Mortgage Trust 2019-101C | | | | | | | | |
3.96%, 03/10/2039, Series 2019-101C, Class A(2) | | | 5,010,000 | | | | 5,702,890 | |
Cantor Commercial Real Estate Lending 2019-CF2 | | | | | | | | |
3.27%, 11/15/2052, Series 2019-CF2, Class B | | | 2,780,000 | | | | 2,917,935 | |
Century Plaza Towers 2019-CPT | | | | | | | | |
2.87%, 11/13/2039, Series 2019-CPT, Class A(2) | | | 5,185,000 | | | | 5,522,991 | |
CHL Mortgage Pass-Through Trust Resecuritization 2008-3R | | | | | | | | |
6.00%, 08/25/2037, Series 2008-3R, Class 1A1(2) | | | 5,322,836 | | | | 3,923,928 | |
CIM Trust | | | | | | | | |
2.57%, 07/25/2059, Series 2021-NR2, Class A1(2)(3) | | | 9,826,569 | | | | 9,870,367 | |
CIM Trust 2018-R5 | | | | | | | | |
3.75%, 07/25/2058, Series 2018-R5, Class A1(2)(4) | | | 8,829,296 | | | | 8,828,019 | |
CIM Trust 2018-R6 | | | | | | | | |
1.17% (1 Month LIBOR USD + 1.08%, 1.08% Floor), 09/25/2058, Series 2018-R6, Class A1(1)(2) | | | 11,432,760 | | | | 11,344,711 | |
CIM Trust 2019-R3 | | | | | | | | |
2.63%, 06/25/2058, Series 2019-R3, Class A(2)(4) | | | 17,445,108 | | | | 17,179,205 | |
CIM Trust 2019-R4 | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
3.00%, 10/25/2059, Series 2019-R4, Class A1(2)(4) | | | 20,941,057 | | | | 20,441,935 | |
CIM Trust 2020-R1 | | | | | | | | |
2.85%, 10/27/2059, Series 2020-R1, Class A1(2)(4) | | | 26,096,265 | | | | 22,216,453 | |
CIM Trust 2020-R6 | | | | | | | | |
2.25%, 12/25/2060, Series 2020-R6, Class A1A(2)(4) | | | 16,353,456 | | | | 16,234,520 | |
CIM Trust 2020-R7 | | | | | | | | |
2.25%, 12/27/2061, Series 2020-R7, Class A1A(2)(4) | | | 28,073,004 | | | | 28,046,250 | |
CIM Trust 2021-NR3 | | | | | | | | |
2.57%, 06/25/2057, Series 2021-NR3, Class A1(2)(3) | | | 18,458,449 | | | | 18,452,975 | |
CIM Trust 2021-R1 | | | | | | | | |
2.40%, 08/25/2056, Series 2021-R1, Class A2(2)(4) | | | 29,094,501 | | | | 29,082,325 | |
CIM Trust 2021-R2 | | | | | | | | |
2.50%, 01/25/2057, Series 2021-R2, Class A2(2)(4) | | | 13,406,965 | | | | 13,432,208 | |
CIM Trust 2021-R3 | | | | | | | | |
1.95%, 06/25/2057, Series 2021-R3, Class A1A(2)(4) | | | 44,319,596 | | | | 44,761,338 | |
CIM Trust 2021-R4 | | | | | | | | |
0.00%, 05/01/2061, Series 2021-R4, Class A1A(2)(4) | | | 43,750,000 | | | | 43,968,750 | |
Citigroup Commercial Mortgage Trust 2013-375P | | | | | | | | |
3.63%, 05/10/2035, Series 2013-375P, Class D(2)(4) | | | 3,120,000 | | | | 3,164,472 | |
3.63%, 05/10/2035, Series 2013-375P, Class C(2)(4) | | | 4,250,000 | | | | 4,356,964 | |
Citigroup Commercial Mortgage Trust 2015-GC27 | | | | | | | | |
3.57%, 02/10/2048, Series 2015-GC27, Class AS | | | 430,000 | | | | 454,873 | |
Citigroup Commercial Mortgage Trust 2015-GC33 | | | | | | | | |
4.11%, 09/10/2058, Series 2015-GC33, Class AS | | | 1,350,000 | | | | 1,473,263 | |
Citigroup Commercial Mortgage Trust 2017-P7 | | | | | | | | |
3.92%, 04/14/2050, Series 2017-P7, Class AS | | | 2,140,000 | | | | 2,358,665 | |
Citigroup Commercial Mortgage Trust 2018-B2 | | | | | | | | |
4.83%, 03/10/2051, Series 2018-B2, Class C(4) | | | 1,195,000 | | | | 1,227,577 | |
Citigroup Commercial Mortgage Trust 2020-555 | | | | | | | | |
2.83%, 12/10/2041, Series 2020-555, Class B(2) | | | 2,150,000 | | | | 2,157,434 | |
3.03%, 12/10/2041, Series 2020-555, Class C(2) | | | 1,530,000 | | | | 1,502,183 | |
Citigroup Mortgage Loan Trust 2018-A | | | | | | | | |
4.00%, 01/25/2068, Series 2018-A, Class A1(2)(4) | | | 1,305,917 | | | | 1,307,116 | |
Citigroup Mortgage Loan Trust 2019-B | | | | | | | | |
3.26%, 04/25/2066, Series 2019-B, Class A1(2)(4) | | | 2,942,005 | | | | 2,966,837 | |
Citigroup Mortgage Loan Trust 2019-RP1 | | | | | | | | |
3.50%, 01/25/2066, Series 2019-RP1, Class A1(2)(4) | | | 2,527,228 | | | | 2,621,502 | |
Citigroup Mortgage Loan Trust, Inc. | | | | | | | | |
2.50%, 08/25/2050, Series 2020-EXP2, Class A4(2)(4) | | | 2,102,127 | | | | 2,133,405 | |
Clavis Securities Plc | | | | | | | | |
0.25% (3 Month LIBOR GBP + 0.17%), 12/15/2032, Series 2007-1, Class A3A(1) | | GBP | 871,960 | | | | 1,181,174 | |
Cold Storage Trust 2020-ICE5 | | | | | | | | |
1.72% (1 Month LIBOR USD + 1.65%, 1.43% Floor), 11/15/2037, Series 2020-ICE5, Class C(1)(2) | | $ | 3,533,851 | | | | 3,544,926 | |
COLT 2019-3 Mortgage Loan Trust | | | | | | | | |
2.76%, 08/25/2049, Series 2019-3, Class A1(2)(4) | | | 1,190,180 | | | | 1,190,125 | |
COLT 2020-3 Mortgage Loan Trust | | | | | | | | |
1.51%, 04/27/2065, Series 2020-3, Class A1(2)(4) | | | 1,778,948 | | | | 1,785,826 | |
COMM 2012-CCRE3 Mortgage Trust | | | | | | | | |
3.42%, 10/15/2045, Series 2012-CR3, Class AM(2) | | | 4,535,000 | | | | 4,570,860 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Comm 2013-CCRE13 Mortgage Trust | | | | | | | | |
5.05%, 11/10/2046, Series 2013-CR13, Class C(4) | | | 7,470,000 | | | | 8,035,749 | |
COMM 2014-CR14 Mortgage Trust | | | | | | | | |
4.76%, 02/10/2047, Series 2014-CR14, Class C(4) | | | 6,770,000 | | | | 7,119,825 | |
COMM 2014-UBS2 Mortgage Trust | | | | | | | | |
5.14%, 03/10/2047, Series 2014-UBS2, Class C(4) | | | 800,000 | | | | 835,833 | |
COMM 2015-CCRE24 Mortgage Trust | | | | | | | | |
3.70%, 08/10/2048, Series 2015-CR24, Class A5 | | | 1,990,000 | | | | 2,175,917 | |
COMM 2015-DC1 Mortgage Trust | | | | | | | | |
3.72%, 02/10/2048, Series 2015-DC1, Class AM | | | 2,495,000 | | | | 2,676,050 | |
COMM 2017-COR2 Mortgage Trust | | | | | | | | |
3.51%, 09/10/2050, Series 2017-COR2, Class A3 | | | 3,110,000 | | | | 3,430,538 | |
COMM 2017-PANW Mortgage Trust | | | | | | | | |
3.53%, 10/10/2029, Series 2017-PANW, Class B(2)(4) | | | 1,285,000 | | | | 1,334,830 | |
COMM 2020-CBM Mortgage Trust | | | | | | | | |
3.40%, 02/10/2037, Series 2020-CBM, Class C(2) | | | 5,150,000 | | | | 5,097,982 | |
Commercial Mortgage Pass Through Certificates | | | | | | | | |
3.40%, 10/05/2030, Series 2012-LTRT, Class A2(2) | | | 770,000 | | | | 768,189 | |
CRSNT Trust 2021-MOON | | | | | | | | |
1.28% (1 Month LIBOR USD + 1.20%, 1.20% Floor), 04/15/2036, Series 2021-MOON, Class B(1)(2) | | | 20,000,000 | | | | 19,999,994 | |
1.63% (1 Month LIBOR USD + 1.55%, 1.55% Floor), 04/15/2036, Series 2021-MOON, Class C(1)(2) | | | 12,000,000 | | | | 11,999,994 | |
Csail 2015-C2 Commercial Mortgage Trust | | | | | | | | |
3.85%, 06/15/2057, Series 2015-C2, Class AS(4) | | | 8,560,000 | | | | 8,986,265 | |
CSAIL 2016-C6 Commercial Mortgage Trust | | | | | | | | |
3.09%, 01/15/2049, Series 2016-C6, Class A5 | | | 840,000 | | | | 898,446 | |
CSAIL 2016-C7 Commercial Mortgage Trust | | | | | | | | |
3.96%, 11/15/2049, Series 2016-C7, Class AS(4) | | | 6,160,000 | | | | 6,807,104 | |
CSAIL 2019-C17 Commercial Mortgage Trust | | | | | | | | |
2.76%, 09/15/2052, Series 2019-C17, Class A4 | | | 6,050,000 | | | | 6,353,205 | |
3.28%, 09/15/2052, Series 2019-C17, Class AS | | | 2,625,000 | | | | 2,819,318 | |
3.48%, 09/15/2052, Series 2019-C17, Class B | | | 3,015,000 | | | | 3,175,484 | |
CSFB Mortgage-Backed Pass-Through Certificates Series 2003-27 | | | | | | | | |
5.75%, 11/25/2033, Series 2003-27, Class 4A4 | | | 79,837 | | | | 85,148 | |
CSMC 2014-USA OA LLC | | | | | | | | |
4.37%, 09/15/2037, Series 2014-USA, Class D(2) | | | 6,175,000 | | | | 5,923,240 | |
CSMC 2020-NET | | | | | | | | |
2.26%, 08/15/2037, Series 2020-NET, Class A(2) | | | 2,800,000 | | | | 2,890,627 | |
3.53%, 08/15/2037, Series 2020-NET, Class C(2) | | | 4,405,000 | | | | 4,655,560 | |
CSMC 2020-RPL3 Trust | | | | | | | | |
2.69%, 03/25/2060, Series 2020-RPL3, Class A1(2)(4) | | | 10,991,729 | | | | 11,133,329 | |
CSMC 2020-RPL5 Trust | | | | | | | | |
3.02%, 08/25/2060, Series 2020-RPL5, Class A1(2)(4) | | | 3,411,902 | | | | 3,463,884 | |
CSMC 2021-RPL3 Trust | | | | | | | | |
3.75%, 01/25/2060, Series 2021-RPL3, Class M2(2) | | | 995,000 | | | | 1,076,376 | |
CSMC 2021-RPL4 Trust | | | | | | | | |
1.80%, 12/27/2060, Series 2021-RPL4, Class A1(2)(4) | | | 11,780,365 | | | | 11,796,846 | |
CSMC Trust 2013-5R | | | | | | | | |
0.59% (1 Month LIBOR USD + 0.25%, 0.25% Floor), 02/27/2036, Series 2013-5R, Class 1A6(1)(2) | | | 3,026,791 | | | | 2,909,700 | |
DBCG 2017-BBG Mortgage Trust | | | | | | | | |
0.77% (1 Month LIBOR USD + 0.70%, 0.70% Floor), 06/15/2034, Series 2017-BBG, Class A(1)(2) | | | 2,645,000 | | | | 2,645,000 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
DBJPM 17-C6 Mortgage Trust | | | | | | | | |
3.79%, 06/10/2050, Series 2017-C6, Class B(4) | | | 2,750,000 | | | | 2,981,711 | |
DBUBS 2017-BRBK Mortgage Trust | | | | | | | | |
3.65%, 10/10/2034, Series 2017-BRBK, Class D(2)(4) | | | 2,540,000 | | | | 2,648,745 | |
DC Office Trust 2019-MTC | | | | | | | | |
2.97%, 09/15/2045, Series 2019-MTC, Class A(2) | | | 5,545,000 | | | | 5,920,889 | |
3.17%, 09/15/2045, Series 2019-MTC, Class D(2)(4) | | | 4,450,000 | | | | 4,434,727 | |
Deephaven Residential Mortgage Trust 2021-2 | | | | | | | | |
1.21%, 04/25/2066, Series 2021-2, Class A2(2)(4) | | | 3,685,000 | | | | 3,681,563 | |
Deutsche Alternative-A Securities, Inc. Mortgage Loan Trust Series 2005-2 | | | | | | | | |
0.49% (1 Month LIBOR USD + 0.40%, 0.40% Floor), 04/25/2035, Series 2005-2, Class 1A1(1) | | | 3,872,267 | | | | 3,490,229 | |
Durham Mortgages Plc | | | | | | | | |
0.69% (3 Month LIBOR GBP + 0.60%), 03/31/2054, Series 2018-BX, Class A(1) | | GBP | 18,266,161 | | | | 25,263,259 | |
Eleven Madison Trust 2015-11MD Mortgage Trust | | | | | | | | |
3.67%, 09/10/2035, Series 2015-11MD, Class A(2)(4) | | $ | 3,110,000 | | | | 3,370,046 | |
Ellington Financial Mortgage Trust 2019-2 | | | | | | | | |
2.74%, 11/25/2059, Series 2019-2, Class A1(2)(4) | | | 3,404,284 | | | | 3,463,758 | |
3.05%, 11/25/2059, Series 2019-2, Class A3(2)(4) | | | 2,089,178 | | | | 2,122,112 | |
Ellington Financial Mortgage Trust 2020-2 | | | | | | | | |
1.18%, 10/25/2065, Series 2020-2, Class A1(2)(4) | | | 8,283,170 | | | | 8,298,697 | |
Ellington Financial Mortgage Trust 2021-2 | | | | | | | | |
0.93%, 06/25/2066, Series 2021-2, Class A1(2)(4) | | | 5,215,000 | | | | 5,202,708 | |
1.09%, 06/25/2066, Series 2021-2, Class A2(2)(4) | | | 6,836,000 | | | | 6,819,890 | |
EOS European Loan Conduit No 35 DAC | | | | | | | | |
1.00% (3 Month EURIBOR + 1.00%), 04/23/2029(1)(2) | | EUR | 686,188 | | | | 816,230 | |
Eurosail-UK 2007-5np Plc | | | | | | | | |
0.85% (3 Month LIBOR GBP + 0.77%), 09/13/2045, Series 2007-5X, Class A1A(1) | | GBP | 8,915,687 | | | | 11,856,914 | |
Eurosail-UK 2007-6nc Plc | | | | | | | | |
0.78% (3 Month LIBOR GBP + 0.70%, 0.70% Floor), 09/13/2045, Series 2007-6NCX, Class A3A(1) | | | 213,228 | | | | 290,459 | |
Extended Stay America Trust | | | | | | | | |
1.16% (1 Month LIBOR USD + 1.08%, 1.08% Floor), 07/15/2038, Series 2021-ESH, Class A(1)(2) | | $ | 74,600,000 | | | | 74,809,678 | |
2.33% (1 Month LIBOR USD + 2.25%, 2.25% Floor), 07/15/2038, Series 2021-ESH, Class D(1)(2) | | | 1,860,000 | | | | 1,873,363 | |
Fannie Mae | | | | | | | | |
1.50%, 07/01/2036(10) | | | 17,715,000 | | | | 17,928,480 | |
1.50%, 08/01/2051(10) | | | 90,950,000 | | | | 91,927,137 | |
2.00%, 08/01/2036(10) | | | 141,775,000 | | | | 146,022,922 | |
2.00%, 07/01/2050(10) | | | 128,825,000 | | | | 130,072,993 | |
2.00%, 08/01/2051(10) | | | 696,625,000 | | | | 702,012,962 | |
2.00%, 09/01/2051(10) | | | 99,000,000 | | | | 99,560,743 | |
2.50%, 07/01/2051(10) | | | 77,525,000 | | | | 80,183,866 | |
2.50%, 08/01/2051(10) | | | 770,225,000 | | | | 795,136,965 | |
3.00%, 07/01/2051(10) | | | 34,475,000 | | | | 35,935,474 | |
3.00%, 08/01/2051(10) | | | 105,100,000 | | | | 109,482,588 | |
3.00%, 09/01/2051(10) | | | 23,000,000 | | | | 23,937,520 | |
3.50%, 08/01/2051(10) | | | 11,000,000 | | | | 11,585,449 | |
4.00%, 07/01/2051(10) | | | 435,345,000 | | | | 463,574,402 | |
4.00%, 08/01/2051(10) | | | 110,500,000 | | | | 117,760,196 | |
4.50%, 07/01/2051(10) | | | 27,875,000 | | | | 29,987,402 | |
Fannie Mae Connecticut Avenue Securities | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
0.94% (1 Month LIBOR USD + 0.85%, 0.85% Floor), 07/25/2030, Series 2018-C01, Class 1ED2(1) | | | 5,668,184 | | | | 5,668,184 | |
0.99% (1 Month LIBOR USD + 0.90%, 0.90% Floor), 08/25/2030, Series 2018-C02, Class 2EB2(1) | | | 2,850,211 | | | | 2,802,523 | |
1.09% (1 Month LIBOR USD + 1.00%, 1.00% Floor), 02/25/2030, Series 2017-C06, Class 2ED1(1) | | | 3,531,773 | | | | 3,515,888 | |
1.19% (1 Month LIBOR USD + 1.10%), 11/25/2029, Series 2017-C04, Class 2ED2(1) | | | 6,687,340 | | | | 6,604,728 | |
1.44% (1 Month LIBOR USD + 1.35%), 09/25/2029, Series 2017-C02, Class 2ED3(1) | | | 5,823,844 | | | | 5,861,586 | |
3.64% (1 Month LIBOR USD + 3.55%), 07/25/2029, Series 2017-C01, Class 1M2(1) | | | 2,246,557 | | | | 2,332,297 | |
4.64% (1 Month LIBOR USD + 4.55%), 02/25/2025, Series 2015-C01, Class 2M2(1) | | | 65,622 | | | | 66,015 | |
Fannie Mae Pool | | | | | | | | |
1.50%, 04/01/2036 | | | 17,322,296 | | | | 17,541,953 | |
2.00%, 04/01/2036 | | | 16,729,763 | | | | 17,269,641 | |
2.00%, 05/01/2036 | | | 15,146,880 | | | | 15,684,561 | |
2.00%, 10/01/2040 | | | 7,915,654 | | | | 8,080,752 | |
2.00%, 11/01/2040 | | | 24,147,399 | | | | 24,569,796 | |
2.00%, 05/01/2041 | | | 7,614,455 | | | | 7,744,757 | |
2.00%, 06/01/2041 | | | 29,890,703 | | | | 30,337,828 | |
2.00%, 04/01/2051 | | | 226,464,889 | | | | 228,812,435 | |
2.46%, 04/01/2040 | | | 8,775,000 | | | | 9,269,882 | |
2.50%, 07/01/2030 | | | 388,297 | | | | 408,320 | |
2.50%, 07/01/2030 | | | 516,719 | | | | 543,346 | |
2.50%, 08/01/2030 | | | 949,675 | | | | 998,595 | |
2.50%, 11/01/2031 | | | 1,318,056 | | | | 1,385,577 | |
2.50%, 01/01/2032 | | | 1,360,237 | | | | 1,427,358 | |
2.50%, 02/01/2035 | | | 3,971,474 | | | | 4,174,977 | |
2.50%, 11/01/2050 | | | 6,580,230 | | | | 6,812,300 | |
2.50%, 11/01/2050 | | | 8,024,747 | | | | 8,307,762 | |
2.50%, 11/01/2050 | | | 10,961,619 | | | | 11,348,211 | |
2.50%, 12/01/2050 | | | 289,111 | | | | 299,307 | |
2.50%, 12/01/2050 | | | 9,343,437 | | | | 9,672,959 | |
2.50%, 02/01/2051 | | | 5,574,110 | | | | 5,792,511 | |
2.50%, 02/01/2051 | | | 8,889,177 | | | | 9,202,679 | |
2.50%, 02/01/2051 | | | 26,311,323 | | | | 27,342,706 | |
2.50%, 02/01/2051 | | | 36,443,563 | | | | 37,872,132 | |
2.50%, 04/01/2051 | | | 9,614,710 | | | | 9,953,799 | |
2.50%, 06/01/2051 | | | 4,960,000 | | | | 5,145,231 | |
2.50%, 07/01/2051 | | | 8,935,400 | | | | 9,269,091 | |
3.00%, 11/01/2027 | | | 175,942 | | | | 186,151 | |
3.00%, 06/01/2028 | | | 16,437 | | | | 17,372 | |
3.00%, 09/01/2028 | | | 12,222 | | | | 12,928 | |
3.00%, 10/01/2028 | | | 218,068 | | | | 230,682 | |
3.00%, 11/01/2028 | | | 350,296 | | | | 370,545 | |
3.00%, 02/01/2030 | | | 5,953,631 | | | | 6,253,535 | |
3.00%, 03/01/2030 | | | 6,280,987 | | | | 6,600,093 | |
3.00%, 05/01/2030 | | | 116,421 | | | | 123,080 | |
3.00%, 09/01/2030 | | | 1,648,260 | | | | 1,744,470 | |
3.00%, 12/01/2030 | | | 538,728 | | | | 569,969 | |
3.00%, 09/01/2031 | | | 432,530 | | | | 456,546 | |
3.00%, 06/01/2032 | | | 906,118 | | | | 957,552 | |
3.00%, 09/01/2032 | | | 1,800,329 | | | | 1,896,977 | |
3.00%, 10/01/2032 | | | 6,691,447 | | | | 7,066,708 | |
3.00%, 12/01/2032 | | | 1,752,851 | | | | 1,865,379 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
3.00%, 12/01/2032 | | | 3,800,071 | | | | 4,014,893 | |
3.00%, 02/01/2033 | | | 9,618 | | | | 10,151 | |
3.00%, 06/01/2033 | | | 3,750 | | | | 3,887 | |
3.00%, 10/01/2033 | | | 1,459,307 | | | | 1,548,443 | |
3.00%, 11/01/2033 | | | 4,928,840 | | | | 5,254,965 | |
3.00%, 02/01/2034 | | | 2,958,032 | | | | 3,121,550 | |
3.00%, 07/01/2034 | | | 268,075 | | | | 283,080 | |
3.00%, 12/01/2034 | | | 3,995,876 | | | | 4,249,557 | |
3.00%, 01/01/2035 | | | 1,324,322 | | | | 1,413,669 | |
3.00%, 01/01/2035 | | | 2,655,232 | | | | 2,818,105 | |
3.00%, 02/01/2035 | | | 2,289,837 | | | | 2,430,560 | |
3.00%, 11/01/2036 | | | 175,184 | | | | 186,371 | |
3.00%, 11/01/2036 | | | 1,123,478 | | | | 1,192,080 | |
3.00%, 11/01/2036 | | | 1,427,285 | | | | 1,518,424 | |
3.00%, 12/01/2036 | | | 204,425 | | | | 217,479 | |
3.00%, 12/01/2036 | | | 1,521,322 | | | | 1,614,275 | |
3.00%, 10/01/2037 | | | 18,760 | | | | 19,613 | |
3.00%, 03/01/2038 | | | 1,391,255 | | | | 1,451,110 | |
3.00%, 04/01/2040 | | | 3,579,042 | | | | 3,801,550 | |
3.00%, 04/01/2040 | | | 3,774,495 | | | | 4,012,212 | |
3.00%, 04/01/2040 | | | 4,570,147 | | | | 4,821,460 | |
3.00%, 01/01/2043 | | | 1,624,390 | | | | 1,726,801 | |
3.00%, 02/01/2043 | | | 2,551,003 | | | | 2,711,477 | |
3.00%, 04/01/2043 | | | 1,839,259 | | | | 1,957,086 | |
3.00%, 05/01/2043 | | | 710,887 | | | | 753,177 | |
3.00%, 06/01/2043 | | | 2,032,446 | | | | 2,160,877 | |
3.00%, 07/01/2043 | | | 196,694 | | | | 209,743 | |
3.00%, 08/01/2043 | | | 121,509 | | | | 130,309 | |
3.00%, 08/01/2043 | | | 5,655,012 | | | | 6,017,306 | |
3.00%, 09/01/2043 | | | 982,177 | | | | 1,051,639 | |
3.00%, 02/01/2044 | | | 32,297 | | | | 34,632 | |
3.00%, 05/01/2045 | | | 409,229 | | | | 434,902 | |
3.00%, 05/01/2045 | | | 850,112 | | | | 904,369 | |
3.00%, 07/01/2045 | | | 3,896,666 | | | | 4,157,713 | |
3.00%, 05/01/2046 | | | 5,650,852 | | | | 5,951,870 | |
3.00%, 06/01/2046 | | | 273,065 | | | | 290,491 | |
3.00%, 07/01/2046 | | | 1,294,696 | | | | 1,359,963 | |
3.00%, 08/01/2046 | | | 80,517 | | | | 84,273 | |
3.00%, 09/01/2046 | | | 3,980,149 | | | | 4,229,750 | |
3.00%, 10/01/2046 | | | 1,402,970 | | | | 1,492,976 | |
3.00%, 11/01/2046 | | | 319,679 | | | | 338,118 | |
3.00%, 11/01/2046 | | | 349,673 | | | | 371,901 | |
3.00%, 11/01/2046 | | | 631,406 | | | | 670,344 | |
3.00%, 11/01/2046 | | | 1,106,009 | | | | 1,164,386 | |
3.00%, 11/01/2046 | | | 1,324,799 | | | | 1,404,684 | |
3.00%, 11/01/2046 | | | 1,392,466 | | | | 1,474,606 | |
3.00%, 11/01/2046 | | | 1,521,501 | | | | 1,614,534 | |
3.00%, 11/01/2046 | | | 3,441,463 | | | | 3,644,395 | |
3.00%, 12/01/2046 | | | 28,052 | | | | 29,514 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
3.00%, 01/01/2047 | | | 1,711,542 | | | | 1,800,232 | |
3.00%, 01/01/2047 | | | 11,156,283 | | | | 11,696,637 | |
3.00%, 04/01/2047 | | | 1,414,686 | | | | 1,490,794 | |
3.00%, 04/01/2047 | | | 1,850,096 | | | | 1,940,693 | |
3.00%, 06/01/2047 | | | 1,816,438 | | | | 1,940,712 | |
3.00%, 08/01/2047 | | | 8,402,853 | | | | 8,938,717 | |
3.00%, 11/01/2047 | | | 3,455,861 | | | | 3,661,199 | |
3.00%, 04/01/2048 | | | 15,811,736 | | | | 16,773,025 | |
3.00%, 09/01/2048 | | | 549,917 | | | | 577,892 | |
3.00%, 09/01/2048 | | | 1,150,977 | | | | 1,211,510 | |
3.00%, 02/01/2049 | | | 1,770,176 | | | | 1,867,494 | |
3.00%, 08/01/2049 | | | 1,491,731 | | | | 1,591,263 | |
3.00%, 09/01/2049 | | | 26,672,769 | | | | 28,162,963 | |
3.00%, 10/01/2049 | | | 42,372,506 | | | | 44,752,130 | |
3.00%, 11/01/2049 | | | 30,996,187 | | | | 32,762,907 | |
3.00%, 03/01/2050 | | | 1,983,431 | | | | 2,067,939 | |
3.00%, 03/01/2050 | | | 11,790,061 | | | | 12,465,451 | |
3.00%, 04/01/2050 | | | 258,093 | | | | 273,957 | |
3.00%, 07/01/2050 | | | 2,930,465 | | | | 3,106,521 | |
3.00%, 07/01/2050 | | | 36,015,771 | | | | 38,073,347 | |
3.00%, 08/01/2050 | | | 1,645,126 | | | | 1,738,949 | |
3.00%, 08/01/2050 | | | 3,079,298 | | | | 3,256,857 | |
3.00%, 09/01/2050 | | | 296,285 | | | | 313,188 | |
3.00%, 10/01/2050 | | | 5,383,986 | | | | 5,710,321 | |
3.50%, 11/01/2032 | | | 1,176,587 | | | | 1,267,136 | |
3.50%, 09/01/2033 | | | 4,837,540 | | | | 5,166,885 | |
3.50%, 12/01/2033 | | | 3,913,615 | | | | 4,187,673 | |
3.50%, 07/01/2034 | | | 3,710,923 | | | | 3,984,017 | |
3.50%, 02/01/2035 | | | 86,488 | | | | 93,140 | |
3.50%, 01/01/2036 | | | 774,332 | | | | 829,194 | |
3.50%, 01/01/2038 | | | 3,316,457 | | | | 3,507,091 | |
3.50%, 12/01/2041 | | | 48,913 | | | | 53,398 | |
3.50%, 06/01/2042 | | | 32,781 | | | | 35,162 | |
3.50%, 06/01/2042 | | | 61,267 | | | | 66,116 | |
3.50%, 07/01/2042 | | | 38,732 | | | | 41,546 | |
3.50%, 07/01/2042 | | | 275,608 | | | | 295,276 | |
3.50%, 08/01/2042 | | | 92,718 | | | | 99,695 | |
3.50%, 09/01/2042 | | | 112,617 | | | | 121,529 | |
3.50%, 09/01/2042 | | | 148,897 | | | | 160,680 | |
3.50%, 12/01/2042 | | | 738,419 | | | | 796,854 | |
3.50%, 12/01/2042 | | | 1,106,996 | | | | 1,187,387 | |
3.50%, 01/01/2043 | | | 64,182 | | | | 69,261 | |
3.50%, 01/01/2043 | | | 184,566 | | | | 199,173 | |
3.50%, 03/01/2043 | | | 741,005 | | | | 799,650 | |
3.50%, 04/01/2043 | | | 44,412 | | | | 47,638 | |
3.50%, 06/01/2043 | | | 110,031 | | | | 119,970 | |
3.50%, 06/01/2043 | | | 637,845 | | | | 691,254 | |
3.50%, 06/01/2043 | | | 1,056,974 | | | | 1,141,818 | |
3.50%, 06/01/2043 | | | 1,565,524 | | | | 1,689,432 | |
3.50%, 07/01/2043 | | | 73,199 | | | | 78,769 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
3.50%, 07/01/2043 | | | 129,097 | | | | 140,758 | |
3.50%, 08/01/2043 | | | 69,248 | | | | 74,115 | |
3.50%, 08/01/2043 | | | 72,902 | | | | 78,672 | |
3.50%, 09/01/2043 | | | 355,201 | | | | 386,226 | |
3.50%, 01/01/2044 | | | 354,341 | | | | 382,379 | |
3.50%, 01/01/2044 | | | 501,344 | | | | 541,007 | |
3.50%, 01/01/2044 | | | 739,832 | | | | 802,830 | |
3.50%, 01/01/2044 | | | 3,559,985 | | | | 3,841,727 | |
3.50%, 03/01/2044 | | | 171,350 | | | | 187,420 | |
3.50%, 07/01/2044 | | | 431,499 | | | | 464,502 | |
3.50%, 12/01/2044 | | | 250,915 | | | | 270,761 | |
3.50%, 02/01/2045 | | | 310,131 | | | | 334,650 | |
3.50%, 04/01/2045 | | | 37,333 | | | | 40,334 | |
3.50%, 04/01/2045 | | | 722,451 | | | | 773,485 | |
3.50%, 05/01/2045 | | | 908,354 | | | | 972,570 | |
3.50%, 06/01/2045 | | | 1,098,541 | | | | 1,171,881 | |
3.50%, 06/01/2045 | | | 1,342,676 | | | | 1,448,649 | |
3.50%, 07/01/2045 | | | 1,592,604 | | | | 1,715,020 | |
3.50%, 08/01/2045 | | | 30,291 | | | | 32,427 | |
3.50%, 09/01/2045 | | | 2,496,274 | | | | 2,688,234 | |
3.50%, 10/01/2045 | | | 201,627 | | | | 218,522 | |
3.50%, 11/01/2045 | | | 211,551 | | | | 227,534 | |
3.50%, 11/01/2045 | | | 3,088,726 | | | | 3,304,009 | |
3.50%, 12/01/2045 | | | 636,235 | | | | 681,323 | |
3.50%, 01/01/2046 | | | 20,793 | | | | 22,479 | |
3.50%, 01/01/2046 | | | 43,954 | | | | 47,011 | |
3.50%, 02/01/2046 | | | 6,086,533 | | | | 6,508,616 | |
3.50%, 04/01/2046 | | | 261,905 | | | | 279,191 | |
3.50%, 05/01/2046 | | | 401,157 | | | | 432,857 | |
3.50%, 06/01/2046 | | | 312,673 | | | | 333,938 | |
3.50%, 06/01/2046 | | | 799,482 | | | | 852,344 | |
3.50%, 06/01/2046 | | | 1,751,326 | | | | 1,900,518 | |
3.50%, 06/01/2046 | | | 2,150,143 | | | | 2,321,073 | |
3.50%, 06/01/2046 | | | 2,478,978 | | | | 2,648,799 | |
3.50%, 07/01/2046 | | | 593,709 | | | | 631,161 | |
3.50%, 09/01/2046 | | | 2,853,090 | | | | 3,039,233 | |
3.50%, 12/01/2046 | | | 1,022,940 | | | | 1,086,917 | |
3.50%, 01/01/2047 | | | 497,925 | | | | 530,599 | |
3.50%, 01/01/2047 | | | 803,909 | | | | 852,959 | |
3.50%, 01/01/2047 | | | 2,971,011 | | | | 3,213,917 | |
3.50%, 01/01/2047 | | | 10,056,835 | | | | 10,669,618 | |
3.50%, 02/01/2047 | | | 526,801 | | | | 558,964 | |
3.50%, 02/01/2047 | | | 627,585 | | | | 664,866 | |
3.50%, 03/01/2047 | | | 95,847 | | | | 101,699 | |
3.50%, 07/01/2047 | | | 4,738,872 | | | | 5,010,512 | |
3.50%, 08/01/2047 | | | 8,897,662 | | | | 9,599,765 | |
3.50%, 11/01/2047 | | | 4,892,363 | | | | 5,175,345 | |
3.50%, 12/01/2047 | | | 2,589,514 | | | | 2,789,706 | |
3.50%, 12/01/2047 | | | 2,646,115 | | | | 2,798,759 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
3.50%, 12/01/2047 | | | 2,917,621 | | | | 3,147,132 | |
3.50%, 01/01/2048 | | | 2,573,890 | | | | 2,787,547 | |
3.50%, 01/01/2048 | | | 5,334,382 | | | | 5,746,779 | |
3.50%, 01/01/2048 | | | 7,806,475 | | | | 8,253,434 | |
3.50%, 02/01/2048 | | | 1,179,211 | | | | 1,259,426 | |
3.50%, 02/01/2048 | | | 7,511,054 | | | | 7,937,319 | |
3.50%, 06/01/2049 | | | 8,269,756 | | | | 8,946,090 | |
3.50%, 07/01/2049 | | | 6,899,442 | | | | 7,262,754 | |
3.50%, 08/01/2049 | | | 191,347 | | | | 201,399 | |
3.50%, 09/01/2049 | | | 2,583,712 | | | | 2,719,516 | |
3.50%, 09/01/2049 | | | 3,432,077 | | | | 3,694,733 | |
3.50%, 10/01/2049 | | | 1,351,551 | | | | 1,422,667 | |
3.50%, 10/01/2049 | | | 2,356,324 | | | | 2,480,105 | |
3.50%, 02/01/2050 | | | 494,581 | | | | 520,648 | |
3.50%, 07/01/2050 | | | 7,282,576 | | | | 7,707,890 | |
4.00%, 02/01/2039 | | | 153,453 | | | | 163,686 | |
4.00%, 11/01/2040 | | | 52,991 | | | | 57,901 | |
4.00%, 11/01/2040 | | | 192,838 | | | | 210,726 | |
4.00%, 11/01/2040 | | | 1,680,288 | | | | 1,828,908 | |
4.00%, 12/01/2040 | | | 122,247 | | | | 133,167 | |
4.00%, 01/01/2041 | | | 98,291 | | | | 107,406 | |
4.00%, 02/01/2041 | | | 103,913 | | | | 113,740 | |
4.00%, 02/01/2041 | | | 335,465 | | | | 368,763 | |
4.00%, 02/01/2041 | | | 425,940 | | | | 465,169 | |
4.00%, 09/01/2041 | | | 190,985 | | | | 208,470 | |
4.00%, 01/01/2042 | | | 28,889 | | | | 31,613 | |
4.00%, 01/01/2042 | | | 1,664,374 | | | | 1,818,684 | |
4.00%, 02/01/2042 | | | 44,824 | | | | 48,931 | |
4.00%, 03/01/2042 | | | 1,964,593 | | | | 2,162,063 | |
4.00%, 06/01/2042 | | | 7,191,419 | | | | 7,919,962 | |
4.00%, 08/01/2042 | | | 1,691,148 | | | | 1,855,280 | |
4.00%, 09/01/2043 | | | 869,591 | | | | 947,280 | |
4.00%, 12/01/2043 | | | 1,710,062 | | | | 1,862,850 | |
4.00%, 06/01/2045 | | | 3,571,116 | | | | 3,880,565 | |
4.00%, 07/01/2045 | | | 467,629 | | | | 507,445 | |
4.00%, 09/01/2045 | | | 54,022 | | | | 58,621 | |
4.00%, 09/01/2045 | | | 83,622 | | | | 91,275 | |
4.00%, 10/01/2045 | | | 1,749,005 | | | | 1,906,548 | |
4.00%, 12/01/2045 | | | 185,999 | | | | 200,922 | |
4.00%, 12/01/2045 | | | 3,029,372 | | | | 3,302,283 | |
4.00%, 03/01/2046 | | | 8,274,034 | | | | 8,990,864 | |
4.00%, 09/01/2046 | | | 42,865 | | | | 46,436 | |
4.00%, 09/01/2046 | | | 1,006,298 | | | | 1,084,683 | |
4.00%, 12/01/2046 | | | 3,074,903 | | | | 3,315,043 | |
4.00%, 02/01/2047 | | | 1,183,468 | | | | 1,284,274 | |
4.00%, 02/01/2047 | | | 2,501,173 | | | | 2,700,176 | |
4.00%, 03/01/2047 | | | 1,090,370 | | | | 1,172,808 | |
4.00%, 04/01/2047 | | | 365,903 | | | | 392,067 | |
4.00%, 04/01/2047 | | | 1,165,168 | | | | 1,252,116 | |
4.00%, 05/01/2047 | | | 25,910 | | | | 27,784 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
4.00%, 05/01/2047 | | | 1,238,862 | | | | 1,329,837 | |
4.00%, 06/01/2047 | | | 621,814 | | | | 665,710 | |
4.00%, 06/01/2047 | | | 1,318,382 | | | | 1,414,099 | |
4.00%, 07/01/2047 | | | 1,287,368 | | | | 1,379,390 | |
4.00%, 08/01/2047 | | | 84,954 | | | | 90,962 | |
4.00%, 08/01/2047 | | | 1,206,884 | | | | 1,290,497 | |
4.00%, 08/01/2047 | | | 1,844,145 | | | | 1,987,114 | |
4.00%, 08/01/2047 | | | 10,503,259 | | | | 11,224,122 | |
4.00%, 10/01/2047 | | | 5,588,610 | | | | 5,999,772 | |
4.00%, 12/01/2047 | | | 741,875 | | | | 794,972 | |
4.00%, 01/01/2048 | | | 86,162 | | | | 92,359 | |
4.00%, 03/01/2048 | | | 195,356 | | | | 208,483 | |
4.00%, 04/01/2048 | | | 88,931 | | | | 94,828 | |
4.00%, 06/01/2048 | | | 6,380,055 | | | | 6,810,168 | |
4.00%, 07/01/2048 | | | 283,966 | | | | 302,621 | |
4.00%, 07/01/2048 | | | 6,065,674 | | | | 6,456,986 | |
4.00%, 08/01/2048 | | | 18,956 | | | | 20,194 | |
4.00%, 08/01/2048 | | | 80,807 | | | | 86,114 | |
4.00%, 08/01/2048 | | | 348,311 | | | | 371,983 | |
4.00%, 09/01/2048 | | | 44,901 | | | | 47,866 | |
4.00%, 09/01/2048 | | | 15,808,045 | | | | 17,406,260 | |
4.00%, 10/01/2048 | | | 266,363 | | | | 293,288 | |
4.00%, 12/01/2048 | | | 1,141,835 | | | | 1,216,514 | |
4.00%, 01/01/2049 | | | 5,175,616 | | | | 5,740,947 | |
4.00%, 02/01/2049 | | | 578,154 | | | | 615,633 | |
4.00%, 02/01/2049 | | | 5,279,580 | | | | 5,727,208 | |
4.00%, 11/01/2049 | | | 1,458,588 | | | | 1,555,223 | |
4.00%, 12/01/2049 | | | 256,658 | | | | 273,308 | |
4.00%, 12/01/2049 | | | 357,271 | | | | 380,703 | |
4.00%, 12/01/2049 | | | 979,509 | | | | 1,043,222 | |
4.00%, 02/01/2050 | | | 7,685,092 | | | | 8,240,463 | |
4.00%, 05/01/2050 | | | 1,271,130 | | | | 1,354,975 | |
4.00%, 06/01/2050 | | | 1,377,645 | | | | 1,467,682 | |
4.50%, 11/01/2035 | | | 207,235 | | | | 227,223 | |
4.50%, 08/01/2040 | | | 53,350 | | | | 59,296 | |
4.50%, 09/01/2040 | | | 21,177 | | | | 23,371 | |
4.50%, 11/01/2040 | | | 1,436,419 | | | | 1,596,018 | |
4.50%, 01/01/2041 | | | 15,185 | | | | 16,762 | |
4.50%, 02/01/2041 | | | 187,755 | | | | 207,026 | |
4.50%, 05/01/2041 | | | 2,167,399 | | | | 2,409,431 | |
4.50%, 05/01/2041 | | | 3,630,249 | | | | 4,031,292 | |
4.50%, 08/01/2041 | | | 25,962 | | | | 28,935 | |
4.50%, 11/01/2041 | | | 401,408 | | | | 446,204 | |
4.50%, 02/01/2045 | | | 341,897 | | | | 380,880 | |
4.50%, 06/01/2045 | | | 253,940 | | | | 281,868 | |
4.50%, 02/01/2046 | | | 1,523,606 | | | | 1,676,305 | |
4.50%, 03/01/2046 | | | 1,144,850 | | | | 1,269,578 | |
4.50%, 09/01/2046 | | | 1,500,741 | | | | 1,665,756 | |
4.50%, 02/01/2047 | | | 5,290,886 | | | | 5,870,975 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
4.50%, 05/01/2047 | | | 3,084,418 | | | | 3,420,817 | |
4.50%, 11/01/2047 | | | 2,134,365 | | | | 2,361,839 | |
4.50%, 04/01/2048 | | | 1,719,314 | | | | 1,844,777 | |
4.50%, 05/01/2048 | | | 3,626,078 | | | | 3,915,696 | |
4.50%, 05/01/2048 | | | 8,458,364 | | | | 9,117,720 | |
4.50%, 08/01/2048 | | | 548,381 | | | | 591,031 | |
4.50%, 08/01/2048 | | | 969,262 | | | | 1,039,992 | |
4.50%, 08/01/2048 | | | 6,819,934 | | | | 7,355,150 | |
4.50%, 09/01/2048 | | | 2,262,565 | | | | 2,438,168 | |
4.50%, 11/01/2048 | | | 1,243,179 | | | | 1,342,160 | |
4.50%, 12/01/2048 | | | 2,913,436 | | | | 3,136,655 | |
4.50%, 03/01/2049 | | | 13,864,751 | | | | 14,876,498 | |
4.50%, 05/01/2049 | | | 4,194,241 | | | | 4,557,988 | |
4.50%, 01/01/2050 | | | 351,357 | | | | 379,474 | |
4.50%, 01/01/2050 | | | 6,693,187 | | | | 7,181,607 | |
4.50%, 05/01/2050 | | | 2,198,956 | | | | 2,381,055 | |
5.00%, 07/01/2035 | | | 554,199 | | | | 632,163 | |
5.00%, 02/01/2036 | | | 875,272 | | | | 1,002,362 | |
5.00%, 05/01/2040 | | | 19,970 | | | | 22,701 | |
5.00%, 06/01/2040 | | | 6,491 | | | | 7,394 | |
5.00%, 06/01/2040 | | | 528,250 | | | | 600,094 | |
5.00%, 02/01/2041 | | | 442,036 | | | | 503,594 | |
5.00%, 07/01/2041 | | | 652,212 | | | | 745,363 | |
5.00%, 08/01/2041 | | | 209,402 | | | | 239,584 | |
5.00%, 03/01/2042 | | | 343,925 | | | | 393,502 | |
5.00%, 11/01/2044 | | | 2,151,340 | | | | 2,456,955 | |
5.00%, 02/01/2045 | | | 722,225 | | | | 803,412 | |
5.00%, 07/01/2045 | | | 402,238 | | | | 457,273 | |
5.00%, 12/01/2047 | | | 801,041 | | | | 906,223 | |
5.50%, 05/01/2034 | | | 1,171,612 | | | | 1,352,385 | |
5.50%, 07/01/2034 | | | 283,773 | | | | 328,384 | |
5.50%, 07/01/2036 | | | 109,209 | | | | 126,518 | |
5.50%, 12/01/2039 | | | 220,176 | | | | 255,270 | |
5.50%, 03/01/2040 | | | 1,294,185 | | | | 1,494,958 | |
5.50%, 06/01/2041 | | | 209,572 | | | | 240,453 | |
5.50%, 02/01/2042 | | | 492,920 | | | | 565,835 | |
5.50%, 02/01/2042 | | | 837,148 | | | | 965,108 | |
5.50%, 10/01/2043 | | | 417,016 | | | | 481,011 | |
5.50%, 05/01/2044 | | | 307,942 | | | | 356,238 | |
5.50%, 05/01/2044 | | | 4,720,509 | | | | 5,460,845 | |
6.00%, 03/01/2034 | | | 1,396,056 | | | | 1,651,112 | |
6.00%, 06/01/2036 | | | 9,242 | | | | 10,967 | |
6.00%, 07/01/2038 | | | 991,907 | | | | 1,175,015 | |
6.00%, 10/01/2038 | | | 55,156 | | | | 65,454 | |
6.00%, 07/01/2041 | | | 4,403,555 | | | | 5,216,738 | |
6.50%, 05/01/2040 | | | 315,988 | | | | 363,579 | |
Fannie Mae REMICS | | | | | | | | |
0.59% (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.50% Cap), 01/25/2050, Series 2019-79, Class FA(1) | | | 3,073,207 | | | | 3,108,186 | |
3.00%, 09/25/2049, Series 2019-52, Class PA | | | 837,162 | | | | 870,996 | |
3.50%, 03/25/2042, Series 2012-20, Class ZT | | | 3,912,959 | | | | 4,128,757 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
3.50%, 01/25/2047, Series 2018-55, Class PA | | | 7,387,844 | | | | 7,698,392 | |
3.50%, 06/25/2047, Series 2018-38, Class PA | | | 7,357,454 | | | | 7,660,721 | |
4.00%, 06/25/2044, Series 2018-44, Class PC | | | 252,612 | | | | 255,903 | |
4.00%, 05/25/2047, Series 2018-86, Class JA | | | 3,056,804 | | | | 3,176,053 | |
Feldspar 2016-1 Plc | | | | | | | | |
0.78% (3 Month LIBOR GBP + 0.70%), 09/15/2045, Series 2016-1, Class A(1) | | GBP | 604,120 | | | | 836,174 | |
Finsbury Square 2018-2 Plc | | | | | | | | |
1.03% (3 Month LIBOR GBP + 0.95%), 09/12/2068, Series 2018-2, Class A(1) | | | 1,147,677 | | | | 1,592,224 | |
Finsbury Square 2019-1 Plc | | | | | | | | |
1.05% (3 Month LIBOR GBP + 0.97%), 06/16/2069, Series 2019-1, Class A(1) | | | 2,612,058 | | | | 3,624,118 | |
Flagstar Mortgage Trust | | | | | | | | |
2.50%, 12/31/2049, Series 2021-5INV, Class A2(2)(4) | | $ | 6,675,000 | | | | 6,755,743 | |
2.50%, 06/25/2051, Series 2021-5INV, Class A16(2)(4) | | | 4,615,000 | | | | 4,646,094 | |
Flagstar Mortgage Trust 2017-2 | | | | | | | | |
4.11%, 10/25/2047, Series 2017-2, Class B1(2)(4) | | | 1,257,720 | | | | 1,288,324 | |
Flagstar Mortgage Trust 2018-6RR | | | | | | | | |
4.00%, 09/25/2048, Series 2018-6RR, Class 2A4(2)(4) | | | 615,575 | | | | 624,879 | |
Flagstar Mortgage Trust 2020-1NV | | | | | | | | |
0.94% (1 Month LIBOR USD + 0.85%), 03/25/2050, Series 2020-1INV, Class A11(1)(2) | | | 1,407,724 | | | | 1,407,774 | |
Fontainebleau Miami Beach Trust 2019-FBLU | | | | | | | | |
3.75%, 12/10/2036, Series 2019-FBLU, Class C(2) | | | 7,500,000 | | | | 7,904,240 | |
Freddie Mac Gold Pool | | | | | | | | |
2.50%, 07/01/2030 | | | 761,732 | | | | 798,325 | |
2.50%, 02/01/2032 | | | 6,016,486 | | | | 6,341,039 | |
3.00%, 03/01/2031 | | | 442,126 | | | | 467,558 | |
3.00%, 12/01/2032 | | | 1,465,294 | | | | 1,549,371 | |
3.00%, 06/01/2033 | | | 615,094 | | | | 648,430 | |
3.00%, 02/01/2038 | | | 2,147,503 | | | | 2,239,169 | |
3.00%, 02/01/2043 | | | 510,375 | | | | 543,025 | |
3.00%, 04/01/2046 | | | 93,111 | | | | 98,107 | |
3.00%, 06/01/2046 | | | 3,435,825 | | | | 3,621,283 | |
3.00%, 08/01/2046 | | | 4,185,050 | | | | 4,407,742 | |
3.00%, 09/01/2046 | | | 12,782,474 | | | | 13,460,834 | |
3.00%, 10/01/2046 | | | 4,112,710 | | | | 4,353,462 | |
3.00%, 11/01/2046 | | | 4,556,323 | | | | 4,824,561 | |
3.00%, 12/01/2046 | | | 3,012,211 | | | | 3,174,511 | |
3.00%, 01/01/2047 | | | 5,513,536 | | | | 5,832,152 | |
3.00%, 02/01/2047 | | | 5,402,219 | | | | 5,723,268 | |
3.00%, 03/01/2047 | | | 3,139,706 | | | | 3,300,399 | |
3.00%, 04/01/2047 | | | 1,946,982 | | | | 2,043,955 | |
3.50%, 05/01/2033 | | | 326,204 | | | | 349,782 | |
3.50%, 08/01/2033 | | | 2,708,922 | | | | 2,900,685 | |
3.50%, 08/01/2033 | | | 7,964,972 | | | | 8,525,310 | |
3.50%, 11/01/2033 | | | 5,019,304 | | | | 5,371,685 | |
3.50%, 09/01/2042 | | | 199,362 | | | | 213,939 | |
3.50%, 11/01/2042 | | | 29,123 | | | | 31,441 | |
3.50%, 07/01/2043 | | | 244,278 | | | | 263,722 | |
3.50%, 10/01/2043 | | | 446,403 | | | | 480,864 | |
3.50%, 01/01/2044 | | | 597,302 | | | | 645,583 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
3.50%, 10/01/2045 | | | 7,210,334 | | | | 7,829,461 | |
3.50%, 03/01/2046 | | | 652,059 | | | | 708,042 | |
3.50%, 06/01/2046 | | | 3,246,706 | | | | 3,442,931 | |
3.50%, 08/01/2046 | | | 5,159,429 | | | | 5,530,141 | |
3.50%, 08/01/2046 | | | 12,951,613 | | | | 14,063,771 | |
3.50%, 11/01/2046 | | | 1,199,996 | | | | 1,277,389 | |
3.50%, 02/01/2047 | | | 586,089 | | | | 622,984 | |
3.50%, 04/01/2047 | | | 2,328,149 | | | | 2,466,502 | |
3.50%, 04/01/2047 | | | 10,042,119 | | | | 10,902,346 | |
3.50%, 09/01/2047 | | | 8,293,933 | | | | 8,749,893 | |
3.50%, 10/01/2047 | | | 1,776,932 | | | | 1,881,429 | |
3.50%, 11/01/2047 | | | 1,225,870 | | | | 1,293,386 | |
3.50%, 11/01/2047 | | | 1,926,834 | | | | 2,040,262 | |
3.50%, 12/01/2047 | | | 23,778,241 | | | | 25,815,252 | |
3.50%, 01/01/2048 | | | 1,478,558 | | | | 1,563,945 | |
3.50%, 01/01/2048 | | | 15,736,376 | | | | 17,201,260 | |
3.50%, 02/01/2048 | | | 1,342,956 | | | | 1,421,396 | |
3.50%, 03/01/2048 | | | 20,248,558 | | | | 21,846,773 | |
3.50%, 03/01/2048 | | | 21,226,164 | | | | 22,879,618 | |
3.50%, 03/01/2048 | | | 24,919,365 | | | | 26,999,250 | |
4.00%, 01/01/2045 | | | 1,209,119 | | | | 1,335,674 | |
4.00%, 07/01/2045 | | | 299,357 | | | | 326,194 | |
4.00%, 12/01/2045 | | | 2,554,584 | | | | 2,813,721 | |
4.00%, 03/01/2048 | | | 6,174,119 | | | | 6,758,918 | |
4.00%, 07/01/2048 | | | 6,826,435 | | | | 7,432,531 | |
4.00%, 11/01/2048 | | | 26,478,587 | | | | 28,975,679 | |
4.50%, 07/01/2042 | | | 401,126 | | | | 447,106 | |
4.50%, 05/01/2044 | | | 247,675 | | | | 275,029 | |
4.50%, 06/01/2045 | | | 524,009 | | | | 589,116 | |
4.50%, 02/01/2046 | | | 573,162 | | | | 644,380 | |
4.50%, 05/01/2046 | | | 598,802 | | | | 673,209 | |
4.50%, 06/01/2046 | | | 639,924 | | | | 714,025 | |
4.50%, 02/01/2047 | | | 505,622 | | | | 568,931 | |
4.50%, 12/01/2047 | | | 2,135,923 | | | | 2,315,962 | |
4.50%, 10/01/2048 | | | 5,316,950 | | | | 5,736,003 | |
5.00%, 11/01/2041 | | | 644,171 | | | | 734,119 | |
5.00%, 07/01/2048 | | | 1,173,524 | | | | 1,290,706 | |
5.00%, 08/01/2048 | | | 535,073 | | | | 587,926 | |
5.00%, 09/01/2048 | | | 356,823 | | | | 392,353 | |
5.00%, 10/01/2048 | | | 1,527,308 | | | | 1,675,998 | |
5.00%, 11/01/2048 | | | 2,411,301 | | | | 2,648,005 | |
5.50%, 08/01/2041 | | | 4,719,397 | | | | 5,463,232 | |
8.00%, 04/01/2032 | | | 145,756 | | | | 176,299 | |
Freddie Mac Multifamily Structured Pass Through Certificates | | | | | | | | |
0.86%, 01/25/2031, Series KLU1, Class X1(4) | | | 290,489,411 | | | | 8,723,746 | |
1.05%, 04/25/2034, Series K-1512, Class X1(4) | | | 18,931,569 | | | | 1,661,404 | |
3.04%, 12/25/2047, Series Q010, Class APT2(4) | | | 374,593 | | | | 385,320 | |
3.04%, 10/25/2046, Series Q010, Class APT3(4) | | | 292,273 | | | | 297,936 | |
3.75%, 04/25/2033, Series K155, Class A3 | | | 5,505,000 | | | | 6,585,930 | |
Freddie Mac Pool | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
2.00%, 01/01/2036 | | | 14,143,477 | | | | 14,626,632 | |
2.00%, 09/01/2040 | | | 12,895,663 | | | | 13,143,818 | |
2.00%, 10/01/2040 | | | 9,852,338 | | | | 10,002,739 | |
2.00%, 04/01/2051 | | | 93,677,430 | | | | 94,648,507 | |
2.50%, 04/01/2051 | | | 8,385,067 | | | | 8,683,916 | |
2.50%, 06/01/2051 | | | 2,320,000 | | | | 2,406,641 | |
3.00%, 05/01/2031 | | | 5,596,138 | | | | 5,900,225 | |
3.00%, 02/01/2033 | | | 201,198 | | | | 212,110 | |
3.00%, 11/01/2034 | | | 1,393,581 | | | | 1,484,367 | |
3.00%, 09/01/2046 | | | 10,881,457 | | | | 11,490,065 | |
3.00%, 12/01/2046 | | | 764,898 | | | | 804,794 | |
3.00%, 05/01/2047 | | | 3,904,426 | | | | 4,163,955 | |
3.00%, 09/01/2049 | | | 1,695,969 | | | | 1,809,124 | |
3.00%, 11/01/2049 | | | 12,245,335 | | | | 13,009,994 | |
3.00%, 01/01/2050 | | | 9,493,661 | | | | 10,030,810 | |
3.00%, 01/01/2050 | | | 37,733,654 | | | | 39,988,550 | |
3.00%, 02/01/2050 | | | 6,515,211 | | | | 6,637,758 | |
3.00%, 02/01/2050 | | | 10,541,415 | | | | 11,171,880 | |
3.00%, 03/01/2050 | | | 1,492,230 | | | | 1,558,752 | |
3.00%, 04/01/2050 | | | 6,688,599 | | | | 6,987,013 | |
3.00%, 04/01/2050 | | | 7,622,778 | | | | 8,057,734 | |
3.00%, 07/01/2050 | | | 30,876,019 | | | | 32,881,976 | |
3.00%, 08/01/2050 | | | 6,406,812 | | | | 6,809,746 | |
3.00%, 12/01/2050 | | | 10,886,988 | | | | 11,591,831 | |
3.50%, 06/01/2033 | | | 5,928,236 | | | | 6,383,095 | |
3.50%, 06/01/2046 | | | 468,766 | | | | 501,760 | |
3.50%, 11/01/2047 | | | 15,140,156 | | | | 16,225,453 | |
3.50%, 12/01/2047 | | | 312,068 | | | | 329,967 | |
3.50%, 03/01/2048 | | | 5,446,928 | | | | 5,874,581 | |
3.50%, 01/01/2050 | | | 698,125 | | | | 752,570 | |
4.00%, 08/01/2038 | | | 583,602 | | | | 624,910 | |
4.00%, 04/01/2048 | | | 386,541 | | | | 413,876 | |
4.00%, 08/01/2048 | | | 683,474 | | | | 728,614 | |
4.00%, 08/01/2048 | | | 7,006,997 | | | | 7,457,769 | |
4.00%, 12/01/2049 | | | 2,549,062 | | | | 2,766,224 | |
4.00%, 01/01/2050 | | | 4,231,377 | | | | 4,501,362 | |
4.00%, 02/01/2050 | | | 2,313,174 | | | | 2,470,499 | |
4.00%, 03/01/2050 | | | 290,808 | | | | 309,758 | |
4.00%, 05/01/2050 | | | 191,424 | | | | 204,336 | |
4.00%, 12/01/2050 | | | 2,185,835 | | | | 2,326,418 | |
4.50%, 04/01/2049 | | | 646,162 | | | | 705,548 | |
4.50%, 05/01/2050 | | | 1,190,316 | | | | 1,287,452 | |
5.00%, 12/01/2041 | | | 991,316 | | | | 1,100,636 | |
5.00%, 03/01/2042 | | | 244,464 | | | | 285,083 | |
Freddie Mac REMICS | | | | | | | | |
3.00%, 01/15/2049, Series 4896, Class DA | | | 1,690,525 | | | | 1,790,622 | |
3.00%, 04/15/2049, Series 4879, Class BC | | | 5,097,740 | | | | 5,265,538 | |
4.50%, 05/25/2050, Series 4977, Class IO | | | 3,881,280 | | | | 631,482 | |
Freddie Mac STACR REMIC Trust 2020-DNA5 | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
2.82% (30-day Average Secured Overnight Financing Rate + 2.80%), 10/25/2050, Series 2020-DNA5, Class M2(1)(2) | | | 8,895,000 | | | | 9,028,063 | |
Freddie Mac STACR REMIC Trust 2020-DNA6 | | | | | | | | |
0.92% (30-day Average Secured Overnight Financing Rate + 0.90%), 12/25/2050, Series 2020-DNA6, Class M1(1)(2) | | | 2,132,658 | | | | 2,133,329 | |
Freddie Mac STACR Remic Trust 2020-HQA2 | | | | | | | | |
1.19% (1 Month LIBOR USD + 1.10%), 03/25/2050, Series 2020-HQA2, Class M1(1)(2) | | | 1,019,686 | | | | 1,020,005 | |
Freddie Mac STACR REMIC Trust 2021-DNA1 | | | | | | | | |
0.67% (30-day Average Secured Overnight Financing Rate + 0.65%), 01/25/2051, Series 2021-DNA1, Class M1(1)(2) | | | 3,482,905 | | | | 3,482,905 | |
Freddie Mac STACR REMIC Trust 2021-HQA1 | | | | | | | | |
0.72% (30-day Average Secured Overnight Financing Rate + 0.70%), 08/25/2033, Series 2021-HQA1, Class M1(1)(2) | | | 12,745,000 | | | | 12,744,999 | |
Freddie Mac STACR Trust 2018-DNA2 | | | | | | | | |
0.89% (1 Month LIBOR USD + 0.80%), 12/25/2030, Series 2018-DNA2, Class M1(1)(2) | | | 497,685 | | | | 497,685 | |
1.04% (1 Month LIBOR USD + 0.95%), 12/25/2030, Series 2018-DNA2, Class M2AS(1)(2) | | | 6,800,000 | | | | 6,806,242 | |
Freddie Mac STACR Trust 2018-HQA2 | | | | | | | | |
0.84% (1 Month LIBOR USD + 0.75%), 10/25/2048, Series 2018-HQA2, Class M1(1)(2) | | | 257,540 | | | | 257,540 | |
Freddie Mac STACR Trust 2019-HRP1 | | | | | | | | |
1.49% (1 Month LIBOR USD + 1.40%), 02/25/2049, Series 2019-HRP1, Class M2(1)(2) | | | 3,730,536 | | | | 3,754,543 | |
Freddie Mac Strips | | | | | | | | |
3.00%, 09/15/2044, Series 337, Class 300 | | | 61,359,543 | | | | 64,171,473 | |
Freddie Mac Structured Agency Credit Risk Debt Notes | | | | | | | | |
0.82% (30-day Average Secured Overnight Financing Rate + 0.80%), 08/25/2033, Series 2021-DNA2, Class M1(1)(2) | | | 8,720,000 | | | | 8,746,280 | |
0.84% (1 Month LIBOR USD + 0.75%), 03/25/2030, Series 2017-DNA3, Class M1(1) | | | 151,910 | | | | 151,910 | |
1.12% (30-day Average Secured Overnight Financing Rate + 1.10%), 11/25/2050, Series 2020-HQA5, Class M1(1)(2) | | | 1,800,743 | | | | 1,801,313 | |
1.14% (1 Month LIBOR USD + 1.05%), 07/25/2030, Series 2018-DNA1, Class M2AT(1) | | | 4,186,948 | | | | 4,170,482 | |
1.29% (1 Month LIBOR USD + 1.20%), 10/25/2029, Series 2017-DNA2, Class M1(1) | | | 848,526 | | | | 849,188 | |
4.79% (1 Month LIBOR USD + 4.70%, 4.70% Floor), 04/25/2028, Series 2015-DNA3, Class M3(1) | | | 3,723,110 | | | | 3,852,709 | |
Freddie Mac Whole Loan Securities Trust | | | | | | | | |
3.61%, 12/25/2046, Series 2017-SC01, Class M1(2)(4) | | | 2,525,177 | | | | 2,550,596 | |
FREMF 2018-K731 Mortgage Trust | | | | | | | | |
4.06%, 02/25/2025, Series 2018-K731, Class B(2)(4) | | | 4,525,000 | | | | 4,903,930 | |
FREMF 2019-K736 Mortgage Trust | | | | | | | | |
3.88%, 07/25/2026, Series 2019-K736, Class B(2)(4) | | | 5,440,000 | | | | 5,896,128 | |
FREMF 2019-K94 Mortgage Trust | | | | | | | | |
4.10%, 07/25/2052, Series 2019-K94, Class B(2)(4) | | | 2,800,000 | | | | 3,126,297 | |
FREMF 2019-K98 Mortgage Trust | | | | | | | | |
3.86%, 10/25/2052, Series 2019-K98, Class B(2)(4) | | | 2,895,000 | | | | 3,185,908 | |
FREMF K-100 Mortgage Trust | | | | | | | | |
3.61%, 11/25/2052, Series 2019-K100, Class B(2)(4) | | | 6,980,000 | | | | 7,530,675 | |
Galton Funding Mortgage Trust 2017-1 | | | | | | | | |
3.50%, 11/25/2057, Series 2018-1, Class A23(2)(4) | | | 796,556 | | | | 808,328 | |
Galton Funding Mortgage Trust 2018-2 | | | | | | | | |
4.00%, 10/25/2058, Series 2018-2, Class A22(2)(4) | | | 1,717,858 | | | | 1,752,615 | |
Galton Funding Mortgage Trust 2019-1 | | | | | | | | |
4.00%, 02/25/2059, Series 2019-1, Class A42(2)(4) | | | 22,539 | | | | 22,525 | |
4.00%, 02/25/2059, Series 2019-1, Class A22(2)(4) | | | 1,668,856 | | | | 1,692,047 | |
Galton Funding Mortgage Trust 2019-2 | | | | | | | | |
3.50%, 06/25/2059, Series 2019-2, Class A42(2)(4) | | | 269,711 | | | | 270,008 | |
Galton Funding Mortgage Trust 2019-H1 | | | | | | | | |
2.66%, 10/25/2059, Series 2019-H1, Class A1(2)(4) | | | 1,452,984 | | | | 1,478,275 | |
2.96%, 10/25/2059, Series 2019-H1, Class A3(2)(4) | | | 4,332,573 | | | | 4,378,381 | |
Galton Funding Mortgage Trust 2020-H1 | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
2.31%, 01/25/2060, Series 2020-H1, Class A1(2)(4) | | | 3,917,835 | | | | 3,988,299 | |
GCAT 2019-RPL1 Trust | | | | | | | | |
2.65%, 10/25/2068, Series 2019-RPL1, Class A1(2)(4) | | | 3,174,666 | | | | 3,270,307 | |
GCT Commercial Mortgage Trust 2021-GCT | | | | | | | | |
1.77% (1 Month LIBOR USD + 1.70%, 1.70% Floor), 02/15/2038, Series 2021-GCT, Class C(1)(2) | | | 3,000,000 | | | | 2,999,999 | |
Ginnie Mae | | | | | | | | |
2.00%, 08/01/2051(10) | | | 59,175,000 | | | | 60,157,398 | |
2.50%, 07/01/2051(10) | | | 73,130,000 | | | | 75,678,124 | |
2.50%, 08/01/2051(10) | | | 121,075,000 | | | | 125,071,422 | |
3.00%, 11/20/2047, Series 2018-8, Class DA | | | 302,303 | | | | 313,945 | |
3.00%, 12/20/2047, Series 2017-184, Class JH | | | 195,227 | | | | 199,964 | |
3.00%, 07/20/2049, Series 2019-90, Class HE | | | 407,020 | | | | 423,691 | |
3.00%, 09/20/2049, Series 2019-119, Class JE | | | 3,613,533 | | | | 3,730,634 | |
3.00%, 07/01/2051(10) | | | 26,930,000 | | | | 28,098,194 | |
3.50%, 05/20/2043, Series 2013-82, Class IG | | | 179,287 | | | | 28,343 | |
3.50%, 08/20/2048, Series 2018-115, Class DE | | | 4,439,622 | | | | 4,743,100 | |
3.50%, 09/20/2048, Series 2018-124, Class NW | | | 3,031,230 | | | | 3,249,370 | |
3.50%, 12/20/2048, Series 2019-44, Class CA | | | 297,946 | | | | 308,566 | |
3.50%, 07/01/2051(10) | | | 17,505,000 | | | | 18,375,805 | |
Ginnie Mae I Pool | | | | | | | | |
3.00%, 10/15/2042 | | | 103,402 | | | | 109,888 | |
3.00%, 11/15/2042 | | | 67,681 | | | | 71,842 | |
3.00%, 12/15/2042 | | | 22,043 | | | | 23,397 | |
3.00%, 04/15/2043 | | | 592,952 | | | | 629,433 | |
3.00%, 05/15/2043 | | | 66,192 | | | | 70,260 | |
3.00%, 06/15/2043 | | | 4,507 | | | | 4,778 | |
3.00%, 06/15/2043 | | | 5,060 | | | | 5,379 | |
3.50%, 12/15/2042 | | | 5,900 | | | | 6,313 | |
3.50%, 01/15/2043 | | | 62,777 | | | | 67,182 | |
3.50%, 10/15/2043 | | | 41,714 | | | | 44,227 | |
3.50%, 02/15/2045 | | | 390,445 | | | | 418,002 | |
4.50%, 05/15/2041 | | | 363,553 | | | | 409,280 | |
4.50%, 09/15/2045 | | | 129,079 | | | | 145,497 | |
5.00%, 09/15/2039 | | | 23,217 | | | | 26,793 | |
5.00%, 10/15/2039 | | | 139,472 | | | | 159,816 | |
5.00%, 12/15/2039 | | | 313,448 | | | | 362,638 | |
5.00%, 02/15/2040 | | | 47,255 | | | | 54,695 | |
5.00%, 02/15/2040 | | | 47,255 | | | | 54,695 | |
5.00%, 06/15/2040 | | | 117,286 | | | | 135,332 | |
5.00%, 09/15/2041 | | | 126,683 | | | | 146,722 | |
5.00%, 07/15/2044 | | | 116,317 | | | | 132,316 | |
7.50%, 08/15/2033 | | | 158,130 | | | | 180,600 | |
Ginnie Mae II Pool | | | | | | | | |
2.00%, 03/20/2051 | | | 21,539,249 | | | | 21,947,439 | |
3.00%, 02/20/2043 | | | 1,606,969 | | | | 1,719,216 | |
3.00%, 03/20/2043 | | | 143,882 | | | | 153,239 | |
3.00%, 12/20/2044 | | | 288,092 | | | | 304,910 | |
3.00%, 06/20/2045 | | | 21,036,186 | | | | 22,297,349 | |
3.00%, 05/20/2046 | | | 23,571 | | | | 25,234 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
3.00%, 05/20/2046 | | | 64,701 | | | | 69,428 | |
3.00%, 05/20/2046 | | | 6,777,584 | | | | 7,164,839 | |
3.00%, 06/20/2046 | | | 143,032 | | | | 151,865 | |
3.00%, 07/20/2046 | | | 40,969 | | | | 43,860 | |
3.00%, 07/20/2046 | | | 66,914 | | | | 71,813 | |
3.00%, 07/20/2046 | | | 91,963 | | | | 98,140 | |
3.00%, 07/20/2046 | | | 118,069 | | | | 126,394 | |
3.00%, 07/20/2046 | | | 191,380 | | | | 203,945 | |
3.00%, 07/20/2046 | | | 192,763 | | | | 206,352 | |
3.00%, 07/20/2046 | | | 8,429,106 | | | | 8,895,417 | |
3.00%, 08/20/2046 | | | 27,681 | | | | 29,194 | |
3.00%, 08/20/2046 | | | 61,693 | | | | 65,928 | |
3.00%, 08/20/2046 | | | 85,196 | | | | 91,419 | |
3.00%, 08/20/2046 | | | 88,162 | | | | 94,413 | |
3.00%, 09/20/2046 | | | 43,798 | | | | 46,801 | |
3.00%, 09/20/2046 | | | 50,720 | | | | 54,324 | |
3.00%, 10/20/2046 | | | 1,325,297 | | | | 1,392,772 | |
3.00%, 11/20/2046 | | | 97,945 | | | | 103,422 | |
3.00%, 12/20/2046 | | | 3,161,819 | | | | 3,335,326 | |
3.00%, 03/20/2047 | | | 823,750 | | | | 872,916 | |
3.00%, 09/20/2047 | | | 8,716,949 | | | | 9,188,016 | |
3.00%, 11/20/2047 | | | 3,101,016 | | | | 3,261,555 | |
3.00%, 01/20/2048 | | | 3,861,345 | | | | 4,059,277 | |
3.00%, 09/20/2049 | | | 1,099,512 | | | | 1,129,856 | |
3.00%, 10/20/2049 | | | 10,828,573 | | | | 11,127,451 | |
3.00%, 12/20/2049 | | | 849,866 | | | | 873,307 | |
3.00%, 03/20/2050 | | | 6,059,678 | | | | 6,226,893 | |
3.00%, 04/20/2051 | | | 18,845,114 | | | | 19,751,024 | |
3.50%, 05/20/2042 | | | 6,600 | | | | 7,066 | |
3.50%, 08/20/2042 | | | 33,765 | | | | 36,149 | |
3.50%, 12/20/2042 | | | 4,790 | | | | 5,128 | |
3.50%, 02/20/2043 | | | 13,307 | | | | 14,274 | |
3.50%, 04/20/2043 | | | 4,116 | | | | 4,414 | |
3.50%, 05/20/2043 | | | 52,142 | | | | 55,963 | |
3.50%, 06/20/2043 | | | 1,768,101 | | | | 1,898,326 | |
3.50%, 07/20/2043 | | | 1,183,969 | | | | 1,271,302 | |
3.50%, 08/20/2043 | | | 29,504 | | | | 31,645 | |
3.50%, 09/20/2043 | | | 82,034 | | | | 88,177 | |
3.50%, 10/20/2044 | | | 40,087 | | | | 43,334 | |
3.50%, 10/20/2044 | | | 238,939 | | | | 256,027 | |
3.50%, 12/20/2044 | | | 5,419 | | | | 5,808 | |
3.50%, 01/20/2045 | | | 1,495,002 | | | | 1,606,290 | |
3.50%, 03/20/2045 | | | 214,945 | | | | 229,126 | |
3.50%, 05/20/2045 | | | 9,225 | | | | 9,889 | |
3.50%, 07/20/2045 | | | 293,694 | | | | 314,176 | |
3.50%, 10/20/2045 | | | 59,634 | | | | 63,721 | |
3.50%, 10/20/2045 | | | 89,411 | | | | 95,719 | |
3.50%, 12/20/2045 | | | 1,559,950 | | | | 1,668,747 | |
3.50%, 01/20/2046 | | | 1,080,618 | | | | 1,151,400 | |
3.50%, 02/20/2046 | | | 428,634 | | | | 458,835 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
3.50%, 03/20/2046 | | | 10,350,036 | | | | 11,027,797 | |
3.50%, 04/20/2046 | | | 4,021,795 | | | | 4,269,903 | |
3.50%, 05/20/2046 | | | 3,623 | | | | 3,805 | |
3.50%, 05/20/2046 | | | 18,841 | | | | 20,247 | |
3.50%, 05/20/2046 | | | 46,448 | | | | 49,505 | |
3.50%, 05/20/2046 | | | 1,872,826 | | | | 1,996,097 | |
3.50%, 06/20/2046 | | | 58,522 | | | | 62,659 | |
3.50%, 06/20/2046 | | | 2,686,444 | | | | 2,858,568 | |
3.50%, 07/20/2046 | | | 377,434 | | | | 401,683 | |
3.50%, 09/20/2046 | | | 706,684 | | | | 751,551 | |
3.50%, 10/20/2046 | | | 924,304 | | | | 985,755 | |
3.50%, 12/20/2046 | | | 2,735,532 | | | | 2,912,401 | |
3.50%, 01/20/2047 | | | 3,405,635 | | | | 3,629,232 | |
3.50%, 04/20/2047 | | | 4,626,932 | | | | 4,872,449 | |
3.50%, 05/20/2047 | | | 203,331 | | | | 215,755 | |
3.50%, 06/20/2047 | | | 12,420,971 | | | | 13,156,447 | |
3.50%, 07/20/2047 | | | 3,625,397 | | | | 3,842,133 | |
3.50%, 08/20/2047 | | | 3,225,735 | | | | 3,420,592 | |
3.50%, 09/20/2047 | | | 8,888,846 | | | | 9,405,932 | |
3.50%, 10/20/2047 | | | 662,035 | | | | 704,114 | |
3.50%, 11/20/2047 | | | 11,426,227 | | | | 12,126,977 | |
3.50%, 12/20/2047 | | | 7,610,627 | | | | 8,048,819 | |
3.50%, 01/20/2048 | | | 5,336,913 | | | | 5,653,051 | |
3.50%, 02/20/2048 | | | 2,212,543 | | | | 2,374,240 | |
3.50%, 02/20/2048 | | | 5,833,562 | | | | 6,336,506 | |
3.50%, 04/20/2048 | | | 310,805 | | | | 333,566 | |
3.50%, 05/20/2048 | | | 5,897,646 | | | | 6,249,647 | |
3.50%, 01/20/2049 | | | 2,093 | | | | 2,216 | |
3.50%, 06/20/2049 | | | 874,135 | | | | 898,874 | |
3.50%, 07/20/2049 | | | 3,970,381 | | | | 4,096,595 | |
3.50%, 03/20/2050 | | | 1,359,585 | | | | 1,444,901 | |
4.00%, 09/20/2045 | | | 1,178,654 | | | | 1,274,824 | |
4.00%, 05/20/2046 | | | 625,957 | | | | 673,501 | |
4.00%, 11/20/2046 | | | 17,132 | | | | 18,510 | |
4.00%, 03/20/2047 | | | 1,434,655 | | | | 1,539,033 | |
4.00%, 04/20/2047 | | | 3,081,978 | | | | 3,296,416 | |
4.00%, 05/20/2047 | | | 2,365,645 | | | | 2,531,982 | |
4.00%, 06/20/2047 | | | 2,679,864 | | | | 2,870,700 | |
4.00%, 07/20/2047 | | | 589,931 | | | | 629,452 | |
4.00%, 08/20/2047 | | | 501,230 | | | | 536,340 | |
4.00%, 09/20/2047 | | | 2,637,094 | | | | 2,812,199 | |
4.00%, 11/20/2047 | | | 2,000,265 | | | | 2,136,497 | |
4.00%, 12/20/2047 | | | 1,735,482 | | | | 1,852,501 | |
4.00%, 01/20/2048 | | | 556,221 | | | | 603,728 | |
4.00%, 01/20/2048 | | | 2,396,043 | | | | 2,549,762 | |
4.00%, 06/20/2048 | | | 9,693,406 | | | | 10,317,736 | |
4.00%, 08/20/2048 | | | 4,016,204 | | | | 4,271,114 | |
4.00%, 09/20/2048 | | | 2,021,014 | | | | 2,153,704 | |
4.00%, 10/20/2048 | | | 795,647 | | | | 847,591 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
4.00%, 10/20/2050 | | | 17,253,311 | | | | 18,267,227 | |
4.50%, 07/20/2045 | | | 2,385,874 | | | | 2,637,906 | |
4.50%, 12/20/2045 | | | 46,421 | | | | 51,324 | |
4.50%, 01/20/2046 | | | 400,243 | | | | 442,482 | |
4.50%, 09/20/2046 | | | 2,869,691 | | | | 3,173,289 | |
4.50%, 01/20/2047 | | | 2,010,608 | | | | 2,201,888 | |
4.50%, 05/20/2047 | | | 3,805,187 | | | | 4,123,316 | |
4.50%, 06/20/2047 | | | 5,228,520 | | | | 5,653,020 | |
4.50%, 07/20/2047 | | | 612,240 | | | | 662,635 | |
4.50%, 08/20/2047 | | | 1,538,102 | | | | 1,661,102 | |
4.50%, 09/20/2047 | | | 1,493,824 | | | | 1,608,876 | |
4.50%, 11/20/2047 | | | 572,483 | | | | 618,845 | |
4.50%, 08/20/2048 | | | 7,013,713 | | | | 7,546,551 | |
4.50%, 09/20/2048 | | | 619,090 | | | | 659,978 | |
4.50%, 09/20/2048 | | | 772,934 | | | | 830,508 | |
4.50%, 06/20/2050 | | | 771,501 | | | | 820,966 | |
5.00%, 05/20/2040 | | | 111,548 | | | | 126,315 | |
5.00%, 06/20/2040 | | | 61,063 | | | | 69,147 | |
5.00%, 08/20/2040 | | | 46,926 | | | | 53,139 | |
5.00%, 09/20/2040 | | | 41,679 | | | | 47,197 | |
5.00%, 12/20/2044 | | | 210,598 | | | | 237,658 | |
5.00%, 06/20/2047 | | | 3,006,105 | | | | 3,297,044 | |
5.00%, 07/20/2047 | | | 410,357 | | | | 450,027 | |
5.00%, 08/20/2047 | | | 271,231 | | | | 297,689 | |
5.00%, 09/20/2047 | | | 2,752,474 | | | | 3,007,958 | |
5.00%, 10/20/2047 | | | 246,192 | | | | 269,018 | |
5.00%, 11/20/2047 | | | 538,299 | | | | 589,188 | |
5.00%, 12/20/2047 | | | 1,052,264 | | | | 1,149,688 | |
5.00%, 01/20/2048 | | | 1,335,018 | | | | 1,458,120 | |
5.00%, 02/20/2048 | | | 1,124,879 | | | | 1,226,389 | |
5.00%, 06/20/2048 | | | 444,897 | | | | 483,621 | |
5.00%, 08/20/2048 | | | 2,761,322 | | | | 2,983,071 | |
5.00%, 10/20/2048 | | | 2,445,703 | | | | 2,641,693 | |
5.00%, 11/20/2048 | | | 2,959,297 | | | | 3,190,268 | |
5.00%, 12/20/2048 | | | 5,035,832 | | | | 5,426,182 | |
5.00%, 05/20/2049 | | | 5,934,168 | | | | 6,393,348 | |
5.50%, 07/20/2036 | | | 66,006 | | | | 77,209 | |
5.50%, 01/20/2040 | | | 141,053 | | | | 164,382 | |
5.50%, 06/20/2045 | | | 170,017 | | | | 199,415 | |
5.50%, 10/20/2047 | | | 502,741 | | | | 572,598 | |
5.50%, 03/20/2048 | | | 1,035,199 | | | | 1,142,920 | |
5.50%, 04/20/2048 | | | 766,816 | | | | 845,313 | |
5.50%, 05/20/2048 | | | 2,068,204 | | | | 2,279,921 | |
5.50%, 09/20/2048 | | | 10,324 | | | | 11,449 | |
5.50%, 10/20/2048 | | | 254,555 | | | | 280,613 | |
5.50%, 11/20/2048 | | | 1,114,525 | | | | 1,228,616 | |
5.50%, 12/20/2048 | | | 4,209,064 | | | | 4,639,936 | |
5.50%, 01/20/2049 | | | 829,179 | | | | 913,314 | |
5.50%, 03/20/2049 | | | 1,638,568 | | | | 1,809,441 | |
Gosforth Funding 2018-1 Plc | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
0.60% (3 Month LIBOR USD + 0.45%), 08/25/2060, Series 2018-1A, Class A1(1)(2) | | | 737,237 | | | | 738,576 | |
Great Wolf Trust 2019-WOLF | | | | | | | | |
1.11% (1 Month LIBOR USD + 1.03%, 1.03% Floor), 12/15/2036, Series 2019-WOLF, Class A(1)(2) | | | 13,655,000 | | | | 13,663,461 | |
2.01% (1 Month LIBOR USD + 1.93%, 1.93% Floor), 12/15/2036, Series 2019-WOLF, Class D(1)(2) | | | 3,400,000 | | | | 3,378,815 | |
Grifonas Finance No 1 Plc | | | | | | | | |
0.00% (6 Month EURIBOR + 0.28%), 08/28/2039, Series 1, Class A(1)(5) | | EUR | 4,049,654 | | | | 4,717,993 | |
GS Mortgage Securities Corp. Trust 2013-PEMB | | | | | | | | |
3.67%, 03/05/2033, Series 2013-PEMB, Class A(2)(4) | | $ | 3,430,000 | | | | 3,579,110 | |
3.67%, 03/05/2033, Series 2013-PEMB, Class D(2)(4) | | | 5,150,000 | | | | 4,379,650 | |
GS Mortgage Securities Corp. Trust 2017-SLP | | | | | | | | |
3.92%, 10/10/2032, Series 2017-SLP, Class C(2) | | | 8,029,000 | | | | 8,202,723 | |
GS Mortgage Securities Corp. Trust 2019-SOHO | | | | | | | | |
1.37% (1 Month LIBOR USD + 1.30%, 1.30% Floor), 06/15/2036, Series 2019-SOHO, Class C(1)(2) | | | 7,090,000 | | | | 7,076,523 | |
GS Mortgage Securities Trust 2011-GC3 | | | | | | | | |
5.58%, 03/10/2044, Series 2011-GC3, Class D(2)(4) | | | 1,487,510 | | | | 1,486,233 | |
GS Mortgage Securities Trust 2011-GC5 | | | | | | | | |
5.43%, 08/10/2044, Series 2011-GC5, Class D(2)(4) | | | 265,912 | | | | 146,257 | |
GS Mortgage Securities Trust 2013-GC16 | | | | | | | | |
5.16%, 11/10/2046, Series 2013-GC16, Class B(4) | | | 7,561,000 | | | | 8,089,604 | |
GS Mortgage Securities Trust 2014-GC18 | | | | | | | | |
3.80%, 01/10/2047, Series 2014-GC18, Class A3 | | | 18,500,626 | | | | 19,281,778 | |
4.38%, 01/10/2047, Series 2014-GC18, Class AS | | | 2,355,000 | | | | 2,478,416 | |
4.89%, 01/10/2047, Series 2014-GC18, Class B(4) | | | 9,523,000 | | | | 9,333,805 | |
GS Mortgage Securities Trust 2017-GS6 | | | | | | | | |
3.87%, 05/10/2050, Series 2017-GS6, Class B | | | 5,840,000 | | | | 6,380,577 | |
GS Mortgage Securities Trust 2017-GS8 | | | | | | | | |
4.48%, 11/10/2050, Series 2017-GS8, Class C(4) | | | 5,365,000 | | | | 5,840,562 | |
GS Mortgage-Backed Securities Corp. Trust 2019-PJ1 | | | | | | | | |
4.00%, 08/25/2049, Series 2019-PJ1, Class A8(2)(4) | | | 1,854,489 | | | | 1,878,093 | |
GS Mortgage-Backed Securities Trust 2020-INV1 | | | | | | | | |
2.99%, 10/25/2050, Series 2020-INV1, Class A14(2)(4) | | | 6,323,853 | | | | 6,422,575 | |
GS Mortgage-Backed Securities Trust 2021-GR1 | | | | | | | | |
2.50%, 11/25/2051, Series 2021-GR1, Class A4(2)(4) | | | 6,736,000 | | | | 6,790,696 | |
HarborView Mortgage Loan Trust 2005-9 | | | | | | | | |
0.99% (1 Month LIBOR USD + 0.90%, 0.90% Floor, 11.00% Cap), 06/20/2035, Series 2005-9, Class 2A1C(1) | | | 6,284,340 | | | | 6,221,518 | |
HarborView Mortgage Loan Trust 2006-10 | | | | | | | | |
0.29% (1 Month LIBOR USD + 0.20%, 0.20% Floor), 11/19/2036, Series 2006-10, Class 1A1A(1) | | | 8,647,965 | | | | 8,043,292 | |
HarborView Mortgage Loan Trust 2006-12 | | | | | | | | |
0.30% (1 Month LIBOR USD + 0.21%, 0.21% Floor), 12/19/2036, Series 2006-12, Class 1A1A(1) | | | 29,571,831 | | | | 27,673,112 | |
HarborView Mortgage Loan Trust 2006-7 | | | | | | | | |
0.49% (1 Month LIBOR USD + 0.40%, 0.40% Floor), 09/19/2046, Series 2006-7, Class 2A1A(1) | | | 3,334,731 | | | | 3,054,154 | |
HarborView Mortgage Loan Trust 2007-6 | | | | | | | | |
0.29% (1 Month LIBOR USD + 0.20%, 10.50% Cap), 08/19/2037, Series 2007-6, Class 1A1A(1) | | | 8,048,636 | | | | 7,575,181 | |
Harvest Commercial Capital Loan Trust 2019-1 | | | | | | | | |
3.29%, 09/25/2046, Series 2019-1, Class A(2)(4) | | | 7,291,775 | | | | 7,328,113 | |
Hawksmoor Mortgages | | | | | | | | |
1.10% (3 Month Sterling Overnight Interbank Average Rate + 1.05%), 05/25/2053, Series 2019-1A, Class A(1)(2) | | GBP | 18,315,480 | | | | 25,443,379 | |
Hilton Orlando Trust 2018-ORL | | | | | | | | |
1.27% (1 Month LIBOR USD + 1.20%, 1.05% Floor), 12/15/2034, Series 2018-ORL, Class B(1)(2) | | $ | 350,000 | | | | 350,209 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Homeward Opportunities Fund I Trust 2019-2 | | | | | | | | |
2.70%, 09/25/2059, Series 2019-2, Class A1(2)(4) | | | 2,734,494 | | | | 2,743,282 | |
Homeward Opportunities Fund I Trust 2019-3 | | | | | | | | |
3.03%, 11/25/2059, Series 2019-3, Class A3(2)(4) | | | 3,277,761 | | | | 3,299,428 | |
Homeward Opportunities Fund I Trust 2020-2 | | | | | | | | |
1.66%, 05/25/2065, Series 2020-2, Class A1(2)(4) | | | 3,005,194 | | | | 3,023,092 | |
HSI Asset Securitization Corp. Trust 2005-NC1 | | | | | | | | |
1.05% (1 Month LIBOR USD + 0.96%, 0.96% Floor), 07/25/2035, Series 2005-NC1, Class M3(1) | | | 6,336,000 | | | | 6,304,397 | |
Hudson Yards 2019-30HY Mortgage Trust | | | | | | | | |
3.23%, 07/10/2039, Series 2019-30HY, Class A(2) | | | 6,570,000 | | | | 7,151,844 | |
Hudson Yards 2019-55HY Mortgage Trust | | | | | | | | |
3.04%, 12/10/2041, Series 2019-55HY, Class A(2)(4) | | | 5,545,000 | | | | 5,969,399 | |
Hudsons Bay Simon JV Trust 2015-HBS | | | | | | | | |
4.15%, 08/05/2034, Series 2015-HB10, Class A10(2) | | | 3,540,000 | | | | 3,204,461 | |
ILPT Trust 2019-SURF | | | | | | | | |
4.15%, 02/11/2041, Series 2019-SURF, Class A(2) | | | 7,575,000 | | | | 8,681,455 | |
Impac CMB Trust Series 2004-7 | | | | | | | | |
0.73% (1 Month LIBOR USD + 0.64%, 11.25% Cap), 11/25/2034, Series 2004-7, Class 2A(1) | | | 3,971,025 | | | | 4,040,324 | |
Independence Plaza Trust 2018-INDP | | | | | | | | |
3.76%, 07/10/2035, Series 2018-INDP, Class A(2) | | | 3,265,000 | | | | 3,460,487 | |
3.91%, 07/10/2035, Series 2018-INDP, Class B(2) | | | 2,780,000 | | | | 2,929,461 | |
IndyMac INDX Mortgage Loan Trust 2006-AR19 | | | | | | | | |
3.23%, 08/25/2036, Series 2006-AR19, Class 5A2(4) | | | 18,815,662 | | | | 16,812,692 | |
IndyMac INDX Mortgage Loan Trust 2007-AR15 | | | | | | | | |
2.95%, 08/25/2037, Series 2007-AR15, Class 1A1(4) | | | 4,048,597 | | | | 3,592,048 | |
InTown Hotel Portfolio Trust 2018-STAY | | | | | | | | |
1.37% (1 Month LIBOR USD + 1.30%, 1.05% Floor), 01/15/2033, Series 2018-STAY, Class B(1)(2) | | | 430,000 | | | | 431,309 | |
JP Morgan Chase Commercial Mortgage Securities Trust 2012-LC9 | | | | | | | | |
4.57%, 12/15/2047, Series 2012-LC9, Class D(2)(4) | | | 215,000 | | | | 211,593 | |
4.57%, 12/15/2047, Series 2012-LC9, Class C(2)(4) | | | 6,150,000 | | | | 6,274,952 | |
JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP2 | | | | | | | | |
3.06%, 08/15/2049, Series 2016-JP2, Class AS | | | 1,993,000 | | | | 2,092,759 | |
JP Morgan Chase Commercial Mortgage Securities Trust 2016-NINE | | | | | | | | |
2.95%, 09/06/2038, Series 2016-NINE, Class B(2)(4) | | | 910,000 | | | | 956,358 | |
2.95%, 09/06/2038, Series 2016-NINE, Class A(2)(4) | | | 3,597,500 | | | | 3,835,527 | |
JP Morgan Chase Commercial Mortgage Securities Trust 2018-ASH8 | | | | | | | | |
1.02% (1 Month LIBOR USD + 0.95%, 0.84% Floor), 02/15/2035, Series 2018-ASH8, Class A(1)(2) | | | 7,500,000 | | | | 7,514,613 | |
JP Morgan Chase Commercial Mortgage Securities Trust 2018-LAQ | | | | | | | | |
1.67% (1 Month LIBOR USD + 1.60%, 1.60% Floor), 06/15/2032, Series 2018-LAQ, Class C(1)(2) | | | 1,600,000 | | | | 1,601,985 | |
2.17% (1 Month LIBOR USD + 2.10%, 2.10% Floor), 06/15/2032, Series 2018-LAQ, Class D(1)(2) | | | 14,480,000 | | | | 14,502,490 | |
JP Morgan Chase Commercial Mortgage Securities Trust 2018-WPT | | | | | | | | |
4.25%, 07/05/2033, Series 2018-WPT, Class AFX(2) | | | 965,000 | | | | 1,016,610 | |
JP Morgan Chase Commercial Mortgage Securities Trust 2019-OSB | | | | | | | | |
3.40%, 06/05/2039, Series 2019-OSB, Class A(2) | | | 8,012,500 | | | | 8,827,997 | |
JP Morgan Chase Commercial Mortgage Securities Trust 2021-1440 | | | | | | | | |
1.37% (1 Month LIBOR USD + 1.30%, 1.30% Floor), 03/15/2036, Series 2021-1440, Class A(1)(2) | | | 5,000,000 | | | | 5,002,278 | |
JP Morgan Mortgage Trust 2019-INV3 | | | | | | | | |
3.50%, 05/25/2050, Series 2019-INV3, Class A15(2)(4) | | | 1,910,821 | | | | 1,945,475 | |
3.50%, 05/25/2050, Series 2019-INV3, Class A3(2)(4) | | | 2,236,585 | | | | 2,279,914 | |
JP Morgan Mortgage Trust 2020-7 | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
3.00%, 01/25/2051, Series 2020-7, Class A15(2)(4) | | | 5,770,807 | | | | 5,826,731 | |
JP Morgan Mortgage Trust 2020-INV1 | | | | | | | | |
0.92% (1 Month LIBOR USD + 0.83%, 6.00% Cap), 08/25/2050, Series 2020-INV1, Class A11(1)(2) | | | 1,104,414 | | | | 1,112,736 | |
3.50%, 08/25/2050, Series 2020-INV1, Class A3(2)(4) | | | 1,833,664 | | | | 1,874,476 | |
JP Morgan Mortgage Trust 2020-INV2 | | | | | | | | |
3.00%, 10/25/2050, Series 2020-INV2, Class A15(2)(4) | | | 2,447,733 | | | | 2,478,234 | |
JP Morgan Seasoned Mortgage Trust 2010-1 | | | | | | | | |
0.00%, 03/25/2050, Series 2010-1, Class B(2)(4) | | | 9,632,093 | | | | 8,799,783 | |
JPMBB Commercial Mortgage Securities Trust 2014-C24 | | | | | | | | |
2.94%, 11/15/2047, Series 2014-C24, Class A2 | | | 584,332 | | | | 584,122 | |
JPMBB Commercial Mortgage Securities Trust 2015-C30 | | | | | | | | |
3.82%, 07/15/2048, Series 2015-C30, Class A5 | | | 2,780,000 | | | | 3,053,355 | |
JPMBB Commercial Mortgage Securities Trust 2015-C31 | | | | | | | | |
3.80%, 08/15/2048, Series 2015-C31, Class A3 | | | 5,065,000 | | | | 5,522,487 | |
JPMCC Commercial Mortgage Securities Trust 2017-JP5 | | | | | | | | |
3.88%, 03/15/2050, Series 2017-JP5, Class AS(4) | | | 4,990,000 | | | | 5,510,310 | |
JPMDB Commercial Mortgage Securities Trust 2016-C4 | | | | | | | | |
3.38%, 12/15/2049, Series 2016-C4, Class AS | | | 4,040,000 | | | | 4,365,443 | |
Lanark Master Issuer Plc | | | | | | | | |
2.28%, 12/22/2069, Series 2020-1A, Class 1A(2)(4) | | | 695,000 | | | | 709,089 | |
2.71%, 12/22/2069, Series 2019-2A, Class 1A(2)(3) | | | 3,285,000 | | | | 3,329,900 | |
Legacy Mortgage Asset Trust 2019-GS7 | | | | | | | | |
3.25%, 11/25/2059, Series 2019-GS7, Class A1(2)(3) | | | 5,208,749 | | | | 5,238,990 | |
Legacy Mortgage Asset Trust 2020-GS1 | | | | | | | | |
2.88%, 10/25/2059, Series 2020-GS1, Class A1(2)(3) | | | 3,889,230 | | | | 3,917,205 | |
Legacy Mortgage Asset Trust 2020-GS5 | | | | | | | | |
3.25%, 06/25/2060, Series 2020-GS5, Class A1(2) | | | 1,000,990 | | | | 1,019,857 | |
Legacy Mortgage Asset Trust 2020-SL1 | | | | | | | | |
2.73%, 01/25/2060, Series 2020-SL1, Class A(2)(3) | | | 1,835,804 | | | | 1,851,410 | |
Legacy Mortgage Asset Trust 2021-GS2 | | | | | | | | |
1.75%, 04/25/2061, Series 2021-GS2, Class A1(2)(3) | | | 5,701,678 | | | | 5,707,487 | |
Legacy Mortgage Asset Trust 2021-GS3 | | | | | | | | |
1.75%, 07/25/2061, Series 2021-GS3, Class A1(2)(3) | | | 11,082,732 | | | | 11,055,011 | |
Lehman XS Trust Series 2005-5N | | | | | | | | |
0.45% (1 Month LIBOR USD + 0.36%, 0.36% Floor), 11/25/2035, Series 2005-5N, Class 3A2(1) | | | 9,083,533 | | | | 8,721,373 | |
Mansard Mortgages 2007-1 Plc | | | | | | | | |
0.38% (3 Month LIBOR GBP + 0.30%), 04/15/2049, Series 2007-1X, Class M1(1) | | GBP | 5,402,759 | | | | 7,082,825 | |
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-HB1 | | | | | | | | |
1.93%, 04/25/2029, Series 2004-HB1, Class A3(4) | | $ | 478,275 | | | | 468,358 | |
Metlife Securitization Trust 2018-1 | | | | | | | | |
3.75%, 03/25/2057, Series 2018-1A, Class A(2)(4) | | | 10,832,024 | | | | 11,288,629 | |
MF1 Multifamily Housing Mortgage Loan Trust | | | | | | | | |
1.32% (1 Month LIBOR USD + 1.20%, 1.20% Floor), 07/15/2036, Series 2021-FL5, Class AS(1)(2) | | | 15,000,000 | | | | 14,985,945 | |
Mill City Mortgage Loan Trust 2019-1 | | | | | | | | |
3.25%, 10/25/2069, Series 2019-1, Class A1(2)(4) | | | 1,758,346 | | | | 1,854,426 | |
3.50%, 10/25/2069, Series 2019-1, Class M1(2)(4) | | | 1,187,812 | | | | 1,290,497 | |
Mill City Mortgage Loan Trust 2019-GS1 | | | | | | | | |
2.75%, 07/25/2059, Series 2019-GS1, Class A1(2)(4) | | | 4,384,935 | | | | 4,512,359 | |
Mill City Mortgage Loan Trust 2019-GS2 | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
2.75%, 08/25/2059, Series 2019-GS2, Class A1(2)(4) | | | 10,578,101 | | | | 10,960,314 | |
Mill City Mortgage Loan Trust 2021-NMR1 | | | | | | | | |
2.50%, 11/25/2060, Series 2021-NMR1, Class M2(2)(4) | | | 1,000,000 | | | | 1,009,370 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12 | | | | | | | | |
4.92%, 10/15/2046, Series 2013-C12, Class C(4) | | | 900,000 | | | | 904,645 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15 | | | | | | | | |
4.26%, 04/15/2047, Series 2014-C15, Class AS | | | 1,940,000 | | | | 2,087,493 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C17 | | | | | | | | |
3.74%, 08/15/2047, Series 2014-C17, Class A5 | | | 974,000 | | | | 1,046,570 | |
4.46%, 08/15/2047, Series 2014-C17, Class B(4) | | | 1,655,000 | | | | 1,782,414 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24 | | | | | | | | |
3.73%, 05/15/2048, Series 2015-C24, Class A4 | | | 6,000,000 | | | | 6,565,243 | |
4.04%, 05/15/2048, Series 2015-C24, Class AS(4) | | | 190,000 | | | | 207,562 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2016-C30 | | | | | | | | |
2.86%, 09/15/2049, Series 2016-C30, Class A5 | | | 3,220,000 | | | | 3,419,008 | |
Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34 | | | | | | | | |
4.32%, 11/15/2052, Series 2017-C34, Class C(4) | | | 845,000 | | | | 907,919 | |
Morgan Stanley Capital I Trust 2011-C2 | | | | | | | | |
5.42%, 06/15/2044, Series 2011-C2, Class E(2)(4) | | | 1,415,000 | | | | 1,075,126 | |
Morgan Stanley Capital I Trust 2018-H4 | | | | | | | | |
4.31%, 12/15/2051, Series 2018-H4, Class A4 | | | 4,030,000 | | | | 4,642,146 | |
Morgan Stanley Resecuritization Trust 2013-R7 | | | | | | | | |
0.63% (1 Month LIBOR USD + 0.27%, 0.27% Floor, 11.50% Cap), 12/26/2046, Series 2013-R7, Class 4B(1)(2) | | | 4,178,802 | | | | 4,182,072 | |
Motel 6 Trust 2017-MTL6 | | | | | | | | |
2.22% (1 Month LIBOR USD + 2.15%, 2.15% Floor), 08/15/2034, Series 2017-MTL6, Class D(1)(2) | | | 336,389 | | | | 337,017 | |
MSBAM Commercial Mortgage Securities Trust 2012-CKSV | | | | | | | | |
3.28%, 10/15/2030, Series 2012-CKSV, Class A2(2) | | | 605,000 | | | | 601,603 | |
MSCG Trust 2018-SELF | | | | | | | | |
0.97% (1 Month LIBOR USD + 0.90%, 0.90% Floor), 10/15/2037, Series 2018-SELF, Class A(1)(2) | | | 4,110,000 | | | | 4,112,559 | |
Mulcair Securities DAC | | | | | | | | |
0.46% (3 Month EURIBOR + 1.00%), 04/24/2071, Series 1, Class A | | EUR | 1,637,813 | | | | 1,951,341 | |
Natixis Commercial Mortgage Securities Trust 2020-2PAC | | | | | | | | |
2.97%, 12/15/2038, Series 2020-2PAC, Class A(2) | | $ | 6,668,500 | | | | 6,973,417 | |
New Orleans Hotel Trust 2019-HNLA | | | | | | | | |
1.06% (1 Month LIBOR USD + 0.99%, 0.99% Floor), 04/15/2032, Series 2019-HNLA, Class A(1)(2) | | | 5,000,000 | | | | 4,987,448 | |
1.36% (1 Month LIBOR USD + 1.29%, 1.29% Floor), 04/15/2032, Series 2019-HNLA, Class B(1)(2) | | | 6,425,000 | | | | 6,388,853 | |
New Residential Mortgage Loan Trust 2019-NQM5 | | | | | | | | |
2.71%, 11/25/2059, Series 2019-NQM5, Class A1(2)(4) | | | 2,251,656 | | | | 2,277,957 | |
New Residential Mortgage Loan Trust 2019-RPL3 | | | | | | | | |
2.75%, 07/25/2059, Series 2019-RPL3, Class A1(2)(4) | | | 29,354,846 | | | | 30,585,915 | |
New Residential Mortgage Loan Trust 2020-NQM1 | | | | | | | | |
2.46%, 01/26/2060, Series 2020-NQM1, Class A1(2)(4) | | | 2,704,114 | | | | 2,731,903 | |
New Residential Mortgage Loan Trust 2021-NQM1R | | | | | | | | |
1.10%, 07/25/2055, Series 2021-NQ1R, Class A2(2)(4) | | | 2,443,169 | | | | 2,444,555 | |
1.20%, 07/25/2055, Series 2021-NQ1R, Class A3(2)(4) | | | 3,001,608 | | | | 3,003,277 | |
OBX 2018-EXP1 Trust | | | | | | | | |
0.94% (1 Month LIBOR USD + 0.85%, 0.85% Floor), 04/25/2048, Series 2018-EXP1, Class 2A1(1)(2) | | | 942,704 | | | | 948,807 | |
4.00%, 04/25/2048, Series 2018-EXP1, Class 1A3(2)(4) | | | 675,366 | | | | 688,889 | |
OBX 2019-EXP2 Trust | | | | | | | | |
4.00%, 06/25/2059, Series 2019-EXP2, Class 1A3(2)(4) | | | 1,857,095 | | | | 1,926,628 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
OBX 2019-EXP3 Trust | | | | | | | | |
3.50%, 10/25/2059, Series 2019-EXP3, Class 1A8(2)(4) | | | 1,389,057 | | | | 1,415,462 | |
OBX 2020-EXP1 Trust | | | | | | | | |
0.84% (1 Month LIBOR USD + 0.75%), 02/25/2060, Series 2020-EXP1, Class 2A1(1)(2) | | | 673,489 | | | | 674,036 | |
3.50%, 02/25/2060, Series 2020-EXP1, Class 1A8(2)(4) | | | 2,001,267 | | | | 2,058,103 | |
OBX 2020-EXP2 Trust | | | | | | | | |
3.00%, 05/25/2060, Series 2020-EXP2, Class A8(2)(4) | | | 5,836,944 | | | | 5,951,749 | |
OBX 2020-EXP3 Trust | | | | | | | | |
3.00%, 01/25/2060, Series 2020-EXP3, Class 1A9(2)(4) | | | 4,392,775 | | | | 4,446,794 | |
OBX 2020-INV1 Trust | | | | | | | | |
3.50%, 12/25/2049, Series 2020-INV1, Class A5(2)(4) | | | 2,726,893 | | | | 2,766,122 | |
OBX 2021-NQM1 Trust | | | | | | | | |
1.33%, 02/25/2066, Series 2021-NQM1, Class A3(2)(4) | | | 9,767,996 | | | | 9,743,691 | |
One Bryant Park Trust 2019-OBP | | | | | | | | |
2.52%, 09/15/2054, Series 2019-OBP, Class A(2) | | | 7,390,000 | | | | 7,652,058 | |
Precise Mortgage Funding 2018-2B Plc | | | | | | | | |
0.76% (3 Month LIBOR GBP + 0.68%), 03/12/2055, Series 2018-2B, Class A(1) | | GBP | 3,136,239 | | | | 4,346,650 | |
PRPM 2020-2 LLC | | | | | | | | |
3.67%, 08/25/2025, Series 2020-2, Class A1(2)(3) | | $ | 1,021,090 | | | | 1,028,004 | |
PRPM 2020-3 LLC | | | | | | | | |
2.86%, 09/25/2025, Series 2020-3, Class A1(2)(3) | | | 3,275,901 | | | | 3,293,296 | |
PRPM 2020-5 LLC | | | | | | | | |
3.10%, 11/25/2025, Series 2020-5, Class A1(2)(3) | | | 7,484,055 | | | | 7,533,680 | |
PRPM 2021-1 LLC | | | | | | | | |
2.12%, 01/25/2026, Series 2021-1, Class A1(2)(4) | | | 7,413,650 | | | | 7,427,043 | |
PRPM 2021-2 LLC | | | | | | | | |
2.12%, 03/25/2026, Series 2021-2, Class A1(2)(4) | | | 3,629,035 | | | | 3,635,491 | |
PRPM 2021-3 LLC | | | | | | | | |
1.87%, 04/25/2026, Series 2021-3, Class A1(2)(3) | | | 6,979,566 | | | | 7,013,823 | |
Queens Center Mortgage Trust 2013-QC | | | | | | | | |
3.28%, 01/11/2037, Series 2013-QCA, Class A(2) | | | 3,915,000 | | | | 4,136,240 | |
RALI Series 2006-QS9 Trust | | | | | | | | |
6.00%, 07/25/2036, Series 2006-QS9, Class 1A3 | | | 3,535,127 | | | | 3,364,397 | |
RALI Series 2007-QH8 Trust | | | | | | | | |
1.02%, 10/25/2037, Series 2007-QH8, Class A(4) | | | 1,074,046 | | | | 1,031,799 | |
RALI Series 2007-QS2 Trust | | | | | | | | |
6.25%, 01/25/2037, Series 2007-QS2, Class A4 | | | 20,280,188 | | | | 19,387,570 | |
RBS Commercial Funding, Inc. 2013-GSP Trust | | | | | | | | |
3.96%, 01/15/2032, Series 2013-GSP, Class A(2)(4) | | | 4,490,000 | | | | 4,759,138 | |
RCO V Mortgage LLC 2020-1 | | | | | | | | |
3.10%, 09/25/2025, Series 2020-1, Class A1(2)(3) | | | 1,665,892 | | | | 1,679,236 | |
Real Estate Asset Liquidity Trust | | | | | | | | |
2.42%, 06/12/2054, Series 2019-1A, Class A1(2)(4) | | CAD | 10,109,502 | | | | 8,346,578 | |
RESIMAC Bastille Trust Series 2018-1NC | | | | | | | | |
0.93% (1 Month LIBOR USD + 0.85%), 12/05/2059, Series 2018-1NCA, Class A1(1)(2) | | $ | 896,501 | | | | 897,754 | |
Seasoned Credit Risk Transfer Trust Series 2016-1 | | | | | | | | |
3.00%, 09/25/2055, Series 2016-1, Class M1(2)(4) | | | 81,677 | | | | 81,748 | |
Sequoia Mortgage Trust 2003-2 | | | | | | | | |
0.75% (1 Month LIBOR USD + 0.66%, 0.66% Floor, 11.50% Cap), 06/20/2033, Series 2003-2, Class A1(1) | | | 375,454 | | | | 373,793 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Sequoia Mortgage Trust 2004-9 | | | | | | | | |
0.92% (6 Month LIBOR USD + 0.72%, 0.72% Floor, 11.50% Cap), 10/20/2034, Series 2004-9, Class A2(1) | | | 933,113 | | | | 914,941 | |
Sequoia Mortgage Trust 2013-4 | | | | | | | | |
3.47%, 04/25/2043, Series 2013-4, Class B1(4) | | | 1,304,032 | | | | 1,330,262 | |
Sequoia Mortgage Trust 2017-CH1 | | | | | | | | |
4.00%, 08/25/2047, Series 2017-CH1, Class A1(2)(4) | | | 2,931,595 | | | | 2,974,638 | |
Sequoia Mortgage Trust 2017-CH2 | | | | | | | | |
4.00%, 12/25/2047, Series 2017-CH2, Class A1(2)(4) | | | 578,957 | | | | 588,322 | |
4.00%, 12/25/2047, Series 2017-CH2, Class A19(2)(4) | | | 599,989 | | | | 609,104 | |
Sequoia Mortgage Trust 2018-CH1 | | | | | | | | |
3.50%, 02/25/2048, Series 2018-CH1, Class A2(2)(4) | | | 165,287 | | | | 166,669 | |
Sequoia Mortgage Trust 2018-CH2 | | | | | | | | |
4.00%, 06/25/2048, Series 2018-CH2, Class A21(2)(4) | | | 492,970 | | | | 499,198 | |
Sequoia Mortgage Trust 2018-CH3 | | | | | | | | |
4.00%, 08/25/2048, Series 2018-CH3, Class A2(2)(4) | | | 1,536,080 | | | | 1,567,035 | |
4.50%, 08/25/2048, Series 2018-CH3, Class A19(2)(4) | | | 643,720 | | | | 659,406 | |
4.50%, 08/25/2048, Series 2018-CH3, Class A13(2)(4) | | | 3,813,506 | | | | 3,877,816 | |
Sequoia Mortgage Trust 2018-CH4 | | | | | | | | |
4.00%, 10/25/2048, Series 2018-CH4, Class A2(2)(4) | | | 501,224 | | | | 506,224 | |
Sequoia Mortgage Trust 2019-CH2 | | | | | | | | |
4.50%, 08/25/2049, Series 2019-CH2, Class A1(2)(4) | | | 732,731 | | | | 738,692 | |
SFAVE Commercial Mortgage Securities Trust 2015-5AVE | | | | | | | | |
4.14%, 01/05/2043, Series 2015-5AVE, Class A2B(2)(4) | | | 295,000 | | | | 322,657 | |
SG Residential Mortgage Trust 2019-3 | | | | | | | | |
2.70%, 09/25/2059, Series 2019-3, Class A1(2)(4) | | | 1,290,376 | | | | 1,296,030 | |
SLM Student Loan Trust 2008-9 | | | | | | | | |
1.68% (3 Month LIBOR USD + 1.50%), 04/25/2023, Series 2008-9, Class A(1) | | | 6,436,372 | | | | 6,490,714 | |
Southern Pacific Securities 06-1 Plc | | | | | | | | |
0.38% (3 Month LIBOR GBP + 0.30%), 03/10/2044, Series 2006-1X, Class B1C(1) | | GBP | 826,146 | | | | 1,139,181 | |
STACR Trust 2018-DNA3 | | | | | | | | |
0.99% (1 Month LIBOR USD + 0.90%), 09/25/2048, Series 2018-DNA3, Class M2AS(1)(2) | | $ | 4,965,000 | | | | 4,966,590 | |
STACR Trust 2018-HRP2 | | | | | | | | |
1.34% (1 Month LIBOR USD + 1.25%), 02/25/2047, Series 2018-HRP2, Class M2(1)(2) | | | 2,653,673 | | | | 2,653,672 | |
Starwood Mortgage Residential Trust 2018-IMC2 | | | | | | | | |
4.12%, 10/25/2048, Series 2018-IMC2, Class A1(2)(4) | | | 2,482,437 | | | | 2,515,400 | |
Starwood Mortgage Residential Trust 2019-1 | | | | | | | | |
2.94%, 06/25/2049, Series 2019-1, Class A1(2)(4) | | | 2,981,136 | | | | 2,997,401 | |
Starwood Mortgage Residential Trust 2019-INV1 | | | | | | | | |
2.61%, 09/27/2049, Series 2019-INV1, Class A1(2)(4) | | | 2,497,715 | | | | 2,528,783 | |
Starwood Mortgage Residential Trust 2020-INV | | | | | | | | |
1.59%, 11/25/2055, Series 2020-INV1, Class A3(2)(4) | | | 2,369,065 | | | | 2,368,977 | |
2.50%, 11/25/2055, Series 2020-INV1, Class M1(2) | | | 1,545,000 | | | | 1,550,007 | |
Stratton Mortgage Funding | | | | | | | | |
0.95% (3 Month Sterling Overnight Interbank Average Rate + 0.90%), 07/20/2060, Series 2021-2A, Class A(1)(2) | | GBP | 19,205,629 | | | | 26,627,586 | |
Sutherland Commercial Mortgage Loans 2017-SBC6 | | | | | | | | |
3.19%, 05/25/2037, Series 2017-SBC6, Class A(2)(4) | | $ | 1,807,277 | | | | 1,798,860 | |
Toorak Mortgage Corp. 2021-1 Ltd. | | | | | | | | |
2.24%, 06/25/2024, Series 2021-1, Class A1(2)(3) | | | 7,160,000 | | | | 7,163,763 | |
Towd Point Mortgage Funding | | | | | | | | |
0.95% (3 Month Sterling Overnight Interbank Average Rate + 0.90%), 07/20/2045, Series 2019-A13A, Class A1(1)(2) | | GBP | 85,837,655 | | | | 119,064,571 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Towd Point Mortgage Funding 2018—Auburn 12 Plc | | | | | | | | |
0.88% (3 Month LIBOR GBP + 0.80%), 02/20/2045, Series 2018-A12X, Class A(1) | | | 2,246,725 | | | | 3,111,434 | |
Towd Point Mortgage Funding 2019—Granite4 Plc | | | | | | | | |
1.11% (3 Month LIBOR GBP + 1.03%), 10/20/2051, Series 2019-GR4A, Class A1(1)(2) | | | 23,168,774 | | | | 32,229,866 | |
Towd Point Mortgage Trust 2019-4 | | | | | | | | |
2.90%, 10/25/2059, Series 2019-4, Class A1(2)(4) | | $ | 85,918,655 | | | | 88,852,167 | |
Trinity Square 2021-1 Plc | | | | | | | | |
(3 Month Sterling Overnight Interbank Average Rate + 2.75%), 07/15/2059, Series 2021-1A, Class E(1)(2)(5) | | GBP | 1,143,000 | | | | 1,587,356 | |
(3 Month Sterling Overnight Interbank Average Rate + 2.00%), 07/15/2059, Series 2021-1A, Class D(1)(2)(5) | | | 2,364,000 | | | | 3,285,020 | |
(3 Month Sterling Overnight Interbank Average Rate + 1.70%), 07/15/2059, Series 2021-1A, Class C(1)(2)(5) | | | 3,286,000 | | | | 4,556,960 | |
(3 Month Sterling Overnight Interbank Average Rate + 1.40%), 07/15/2059, Series 2021-1A, Class B(1)(2)(5) | | | 11,459,000 | | | | 15,891,132 | |
UBS Commercial Mortgage Trust 2018-C9 | | | | | | | | |
4.32%, 03/15/2051, Series 2018-C9, Class AS(4) | | $ | 1,718,000 | | | | 1,962,838 | |
UBS-Barclays Commercial Mortgage Trust 2012-C2 | | | | | | | | |
5.04%, 05/10/2063, Series 2012-C2, Class E(2)(4) | | | 3,235,000 | | | | 485,250 | |
5.04%, 05/10/2063, Series 2012-C2, Class D(2)(4) | | | 1,135,000 | | | | 658,242 | |
VASA Trust 2021-VASA | | | | | | | | |
1.32% (1 Month LIBOR USD + 1.25%, 1.25% Floor), 07/15/2039, Series 2021-VASA, Class B(1)(2) | | | 10,000,000 | | | | 10,003,013 | |
1.82% (1 Month LIBOR USD + 1.75%, 1.75% Floor), 07/15/2039, Series 2021-VASA, Class C(1)(2) | | | 12,000,000 | | | | 12,003,624 | |
Verus Securitization Trust 2019-3 | | | | | | | | |
3.04%, 07/25/2059, Series 2019-3, Class A3(2)(3) | | | 2,302,370 | | | | 2,327,864 | |
Verus Securitization Trust 2019-4 | | | | | | | | |
2.64%, 11/25/2059, Series 2019-4, Class A1(2)(3) | | | 3,091,134 | | | | 3,142,813 | |
2.85%, 11/25/2059, Series 2019-4, Class A2(2)(3) | | | 2,074,390 | | | | 2,108,873 | |
3.00%, 11/25/2059, Series 2019-4, Class A3(2)(3) | | | 3,603,999 | | | | 3,661,717 | |
Verus Securitization Trust 2019-INV2 | | | | | | | | |
3.12%, 07/25/2059, Series 2019-INV2, Class A2(2)(4) | | | 4,954,854 | | | | 5,041,638 | |
Verus Securitization Trust 2019-INV3 | | | | | | | | |
2.69%, 11/25/2059, Series 2019-INV3, Class A1(2)(4) | | | 5,194,047 | | | | 5,289,879 | |
Verus Securitization Trust 2020-1 | | | | | | | | |
2.72%, 01/25/2060, Series 2020-1, Class A3(2)(3) | | | 4,383,330 | | | | 4,433,799 | |
Verus Securitization Trust 2020-INV1 | | | | | | | | |
3.89%, 03/25/2060, Series 2020-INV1, Class A3(2)(4) | | | 805,000 | | | | 840,893 | |
Verus Securitization Trust 2021-1 | | | | | | | | |
1.16%, 01/25/2066, Series 2021-1, Class A3(2)(4) | | | 5,363,098 | | | | 5,356,826 | |
Verus Securitization Trust 2021-R1 | | | | | | | | |
1.26%, 10/25/2063, Series 2021-R1, Class A3(2)(4) | | | 4,617,843 | | | | 4,610,369 | |
Verus Securitization Trust 2021-R2 | | | | | | | | |
1.23%, 02/25/2064, Series 2021-R2, Class A3(2)(4) | | | 5,528,450 | | | | 5,546,391 | |
Vista Point Securitization Trust 2020-1 | | | | | | | | |
1.76%, 03/25/2065, Series 2020-1, Class A1(2)(4) | | | 2,164,741 | | | | 2,185,066 | |
3.20%, 03/25/2065, Series 2020-1, Class A3(2)(4) | | | 3,765,000 | | | | 3,865,428 | |
Vista Point Securitization Trust 2020-2 | | | | | | | | |
1.48%, 04/25/2065, Series 2020-2, Class A1(2)(4) | | | 2,937,976 | | | | 2,953,747 | |
VOLT XCII LLC | | | | | | | | |
1.89%, 02/27/2051, Series 2021-NPL1, Class A1(2)(3) | | | 1,992,085 | | | | 1,992,203 | |
VOLT XCIII LLC | | | | | | | | |
1.89%, 02/27/2051, Series 2021-NPL2, Class A1(2)(3) | | | 5,374,526 | | | | 5,368,377 | |
VOLT XCIV LLC | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
2.24%, 02/27/2051, Series 2021-NPL3, Class A1(2)(3) | | | 4,764,287 | | | | 4,768,967 | |
Wachovia Bank Commercial Mortgage Trust Series 2006-C29 | | | | | | | | |
5.44%, 11/15/2048, Series 2006-C29, Class C(4) | | | 283,572 | | | | 284,537 | |
Wachovia Bank Commercial Mortgage Trust Series 2007-C33 | | | | | | | | |
5.84%, 02/15/2051, Series 2007-C33, Class AJ(4) | | | 2,626,518 | | | | 1,972,663 | |
WaMu Mortgage Pass-Through Certificates Series 2005-AR11 Trust | | | | | | | | |
0.73% (1 Month LIBOR USD + 0.64%, 0.64% Floor, 10.50% Cap), 08/25/2045, Series 2005-AR11, Class A1A(1) | | | 2,059,965 | | | | 2,043,419 | |
WaMu Mortgage Pass-Through Certificates Series 2005-AR13 Trust | | | | | | | | |
0.67% (1 Month LIBOR USD + 0.58%, 0.58% Floor, 10.50% Cap), 10/25/2045, Series 2005-AR13, Class A1A1(1) | | | 2,964,837 | | | | 2,962,607 | |
WaMu Mortgage Pass-Through Certificates Series 2005-AR15 Trust | | | | | | | | |
0.61% (1 Month LIBOR USD + 0.52%, 0.52% Floor, 10.50% Cap), 11/25/2045, Series 2005-AR15, Class A1A1(1) | | | 4,142,312 | | | | 4,075,632 | |
WaMu Mortgage Pass-Through Certificates Series 2005-AR2 Trust | | | | | | | | |
0.75% (1 Month LIBOR USD + 0.66%, 0.66% Floor, 10.50% Cap), 01/25/2045, Series 2005-AR2, Class 1A1A(1) | | | 4,327,021 | | | | 4,303,928 | |
WaMu Mortgage Pass-Through Certificates Series 2007-OA5 Trust | | | | | | | | |
0.87% (12 Month U.S. Treasury Average + 0.75%, 0.75% Floor), 06/25/2047, Series 2007-OA5, Class 1A(1) | | | 10,638,298 | | | | 10,116,138 | |
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-2 Trust | | | | | | | | |
5.50%, 04/25/2037, Series 2007-2, Class 2A1 | | | 6,687,608 | | | | 6,889,234 | |
Wells Fargo Commercial Mortgage Trust 2013-LC12 | | | | | | | | |
4.43%, 07/15/2046, Series 2013-LC12, Class B(4) | | | 1,940,000 | | | | 1,947,745 | |
Wells Fargo Commercial Mortgage Trust 2014-LC16 | | | | | | | | |
4.02%, 08/15/2050, Series 2014-LC16, Class AS | | | 3,015,000 | | | | 3,151,999 | |
Wells Fargo Commercial Mortgage Trust 2016-C33 | | | | | | | | |
3.16%, 03/15/2059, Series 2016-C33, Class A3 | | | 1,075,367 | | | | 1,143,609 | |
4.51%, 03/15/2059, Series 2016-C33, Class B(4) | | | 4,317,000 | | | | 4,770,110 | |
Wells Fargo Commercial Mortgage Trust 2016-C35 | | | | | | | | |
3.18%, 07/15/2048, Series 2016-C35, Class AS | | | 3,155,000 | | | | 3,355,966 | |
Wells Fargo Commercial Mortgage Trust 2016-LC24 | | | | | | | | |
3.37%, 10/15/2049, Series 2016-LC24, Class AS | | | 6,000,000 | | | | 6,415,981 | |
Wells Fargo Commercial Mortgage Trust 2017-C38 | | | | | | | | |
3.45%, 07/15/2050, Series 2017-C38, Class A5 | | | 1,695,000 | | | | 1,867,332 | |
Wells Fargo Commercial Mortgage Trust 2017-HSDB | | | | | | | | |
0.92% (1 Month LIBOR USD + 0.85%, 0.85% Floor), 12/13/2031, Series 2017-HSDB, Class A(1)(2) | | | 8,100,000 | | | | 7,983,949 | |
1.17% (1 Month LIBOR USD + 1.10%, 1.10% Floor), 12/13/2031, Series 2017-HSDB, Class B(1)(2) | | | 6,700,000 | | | | 6,503,561 | |
1.92% (1 Month LIBOR USD + 1.84%, 1.85% Floor), 12/13/2031, Series 2017-HSDB, Class D(1)(2) | | | 100,000 | | | | 94,156 | |
Wells Fargo Commercial Mortgage Trust 2019-C50 | | | | | | | | |
4.19%, 05/15/2052, Series 2019-C50, Class B | | | 2,085,000 | | | | 2,353,603 | |
Wells Fargo Commercial Mortgage Trust 2019-C54 | | | | | | | | |
3.67%, 12/15/2052, Series 2019-C54, Class B | | | 4,420,000 | | | | 4,842,093 | |
Wells Fargo Commercial Mortgage Trust 2019-JWDR | | | | | | | | |
2.58%, 09/15/2031, Series 2019-JWDR, Class A(2)(4) | | | 6,560,000 | | | | 6,669,755 | |
Wells Fargo Commercial Mortgage Trust 2020-C55 | | | | | | | | |
2.73%, 02/15/2053, Series 2020-C55, Class A5 | | | 11,075,000 | | | | 11,712,218 | |
3.14%, 02/15/2053, Series 2020-C55, Class B | | | 1,177,018 | | | | 1,238,563 | |
Wells Fargo Commercial Mortgage Trust 2021-SAVE | | | | | | | | |
1.52% (1 Month LIBOR USD + 1.45%, 1.45% Floor), 02/15/2040, Series 2021-SAVE, Class B(1)(2) | | | 1,499,886 | | | | 1,505,573 | |
Wells Fargo Mortgage Backed Securities 2021-RR1 Trust | | | | | | | | |
2.50%, 12/25/2050, Series 2021-RR1, Class A1(2)(4) | | | 7,010,000 | | | | 7,115,150 | |
WFRBS Commercial Mortgage Trust 2011-C5 | | | | | | | | |
5.90%, 11/15/2044, Series 2011-C5, Class D(2)(4) | | | 115,000 | | | | 114,555 | |
WFRBS Commercial Mortgage Trust 2012-C6 | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
3.84%, 04/15/2045, Series 2012-C6, Class AS | | | 1,945,000 | | | | 1,970,449 | |
WFRBS Commercial Mortgage Trust 2012-C7 | | | | | | | | |
3.43%, 06/15/2045, Series 2012-C7, Class A2 | | | 11,699,619 | | | | 11,885,955 | |
4.96%, 06/15/2045, Series 2012-C7, Class E(2)(4) | | | 690,000 | | | | 155,250 | |
WFRBS Commercial Mortgage Trust 2013-C15 | | | | | | | | |
4.65%, 08/15/2046, Series 2013-C15, Class B(4) | | | 1,525,000 | | | | 1,522,832 | |
WFRBS Commercial Mortgage Trust 2014-C20 | | | | | | | | |
4.38%, 05/15/2047, Series 2014-C20, Class B | | | 2,365,000 | | | | 2,482,155 | |
WFRBS Commercial Mortgage Trust 2014-C22 | | | | | | | | |
4.07%, 09/15/2057, Series 2014-C22, Class AS(4) | | | 4,250,000 | | | | 4,595,964 | |
WFRBS Commercial Mortgage Trust 2014-C24 | | | | | | | | |
4.20%, 11/15/2047, Series 2014-C24, Class B(4) | | | 825,000 | | | | 836,988 | |
Worldwide Plaza Trust 2017-WWP | | | | | | | | |
3.53%, 11/10/2036, Series 2017-WWP, Class A(2) | | | 1,740,000 | | | | 1,899,213 | |
3.72%, 11/10/2036, Series 2017-WWP, Class C(2)(4) | | | 320,000 | | | | 333,242 | |
| | | | | | | | |
Total Mortgage-Backed Obligations (Cost: $7,917,449,832) | | | | | | | 8,005,007,412 | |
| | | | | | | | |
Total Bonds & Notes (Cost: $29,812,234,452) | | | | 30,419,587,647 | |
| | | | | | | | |
BANK LOANS – 2.89% | | | | | | | | |
1011778 BC ULC | | | | | | | | |
1.85% (LIBOR + 1.75%), 11/19/2026(1) | | $ | 1,567,446 | | | $ | 1,544,671 | |
AAdvantage Loyality IP Ltd. | | | | | | | | |
5.50% (LIBOR + 4.75%), 04/20/2028(1) | | | 7,731,000 | | | | 8,053,769 | |
ABG Intermediate Holdings 2 LLC | | | | | | | | |
4.00% (LIBOR + 3.25%), 09/27/2024(1)(17) | | | 2,894,427 | | | | 2,890,809 | |
Acrisure LLC | | | | | | | | |
3.60% (LIBOR + 3.50%), 02/15/2027(1) | | | 2,468,750 | | | | 2,439,940 | |
Acuity Specialty Products, Inc. | | | | | | | | |
5.00% (LIBOR + 4.00%), 08/12/2024(1) | | | 6,542,309 | | | | 6,440,642 | |
ADMI Corp. | | | | | | | | |
0.00%, 12/23/2027 | | | 800,000 | | | | 798,504 | |
3.25% (LIBOR + 2.75%), 12/23/2027(1) | | | 2,763,075 | | | | 2,730,277 | |
AI Alpine U.S. Bidco, Inc. | | | | | | | | |
3.20% (LIBOR + 3.00%), 10/31/2025(1)(17) | | | 810,585 | | | | 786,267 | |
Aldevron LLC | | | | | | | | |
4.25% (LIBOR + 3.25%), 10/12/2026(1) | | | 4,496,015 | | | | 4,494,621 | |
Alliant Holdings Intermediate LLC | | | | | | | | |
3.35% (LIBOR + 3.25%), 05/09/2025(1) | | | 4,833,864 | | | | 4,778,951 | |
4.25% (LIBOR + 3.75%), 11/05/2027(1) | | | 5,546,750 | | | | 5,551,354 | |
Alphabet Holding Co., Inc. | | | | | | | | |
3.60% (LIBOR + 3.50%), 09/26/2024(1) | | | 96,250 | | | | 96,096 | |
Altice France SA | | | | | | | | |
4.15% (LIBOR + 4.00%), 08/14/2026(1) | | | 1,365,000 | | | | 1,361,342 | |
American Airlines, Inc. | | | | | | | | |
1.85% (LIBOR + 1.75%), 01/29/2027(1) | | | 350,000 | | | | 334,131 | |
AmWINS Group, Inc. | | | | | | | | |
3.00% (LIBOR + 2.25%), 02/19/2028(1) | | | 8,333,125 | | | | 8,277,543 | |
Apex Tool Group LLC | | | | | | | | |
6.50% (LIBOR + 5.25%), 08/01/2024(1) | | | 4,082,891 | | | | 4,095,915 | |
Applied Systems, Inc. | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
3.75% (LIBOR + 3.25%), 09/19/2024(1) | | | 16,408,572 | | | | 16,365,581 | |
Aramark Intermediate HoldCo Corp. | | | | | | | | |
1.85% (LIBOR + 1.75%), 03/11/2025(1) | | | 186,533 | | | | 184,356 | |
2.60% (LIBOR + 2.50%), 04/06/2028(1) | | | 2,771,055 | | | | 2,755,814 | |
Ascend Learning LLC | | | | | | | | |
4.00% (LIBOR + 3.00%), 07/12/2024(1) | | | 11,429,990 | | | | 11,418,103 | |
4.75% (LIBOR + 3.75%), 07/12/2024(1) | | | 2,034,625 | | | | 2,034,625 | |
Asurion LLC | | | | | | | | |
3.10% (LIBOR + 3.00%), 11/03/2023(1) | | | 293,670 | | | | 292,020 | |
3.10% (LIBOR + 3.00%), 11/03/2024(1) | | | 9,484,681 | | | | 9,380,919 | |
3.35% (LIBOR + 3.25%), 12/23/2026(1) | | | 3,781,000 | | | | 3,736,120 | |
5.35% (LIBOR + 5.25%), 01/31/2028(1) | | | 452,394 | | | | 455,597 | |
athenahealth, Inc. | | | | | | | | |
4.41% (LIBOR + 4.25%), 02/11/2026(1) | | | 3,710,700 | | | | 3,718,826 | |
Avantor Funding, Inc. | | | | | | | | |
3.00% (LIBOR + 2.00%), 11/21/2024(1) | | | 38,366 | | | | 38,334 | |
3.25% (LIBOR + 2.25%), 11/08/2027(1) | | | 5,422,750 | | | | 5,420,472 | |
Avolon TLB Borrower 1 U.S. LLC | | | | | | | | |
2.25% (LIBOR + 1.50%), 02/12/2027(1) | | | 702,113 | | | | 692,788 | |
2.50% (LIBOR + 1.75%), 01/15/2025(1) | | | 281,300 | | | | 280,450 | |
Axalta Coating Systems Dutch Holding B BV | | | | | | | | |
1.90% (LIBOR + 1.75%), 06/01/2024(1) | | | 67,523 | | | | 67,054 | |
Azalea TopCo, Inc. | | | | | | | | |
0.00%, 07/24/2026 | | | 3,940,000 | | | | 3,944,925 | |
3.69% (LIBOR + 3.50%), 07/24/2026(1) | | | 1,606,003 | | | | 1,595,965 | |
Bausch Health Companies, Inc. | | | | | | | | |
2.85% (LIBOR + 2.75%), 11/27/2025(1) | | | 1,274,605 | | | | 1,264,447 | |
3.10% (LIBOR + 3.00%), 06/02/2025(1) | | | 2,527,021 | | | | 2,515,346 | |
Berry Global, Inc. | | | | | | | | |
1.83% (LIBOR + 1.75%), 07/01/2026(1) | | | 1,371,682 | | | | 1,360,393 | |
Brookfield WEC Holdings, Inc. | | | | | | | | |
3.25% (LIBOR + 2.75%), 08/01/2025(1) | | | 8,583,442 | | | | 8,495,205 | |
Buckeye Partners LP | | | | | | | | |
2.35% (LIBOR + 2.25%), 11/01/2026(1) | | | 3,569,948 | | | | 3,543,173 | |
Caesars Resort Collection LLC | | | | | | | | |
2.85% (LIBOR + 2.75%), 12/23/2024(1) | | | 25,683,430 | | | | 25,449,454 | |
4.60% (LIBOR + 4.50%), 07/21/2025(1) | | | 9,021,825 | | | | 9,044,380 | |
Camelot U.S. Acquisition 1 Co. | | | | | | | | |
3.10% (LIBOR + 3.00%), 10/30/2026(1) | | | 5,806,028 | | | | 5,776,998 | |
4.00% (LIBOR + 3.00%), 10/30/2026(1) | | | 2,735,979 | | | | 2,735,979 | |
Carnival Corp. | | | | | | | | |
0.00%, 06/30/2025 | | EUR | 4,950,000 | | | | 5,875,743 | |
0.00%, 06/30/2025 | | $ | 10,692,000 | | | | 10,681,308 | |
3.75% (EURIBOR + 3.75%), 06/30/2025(1) | | EUR | 4,950,000 | | | | 5,990,608 | |
CCC Information Services, Inc. | | | | | | | | |
4.00% (LIBOR + 3.00%), 04/29/2024(1) | | $ | 9,205,744 | | | | 9,200,681 | |
CCI Buyer, Inc. | | | | | | | | |
4.75% (LIBOR + 4.00%), 12/17/2027(1) | | | 2,453,850 | | | | 2,456,476 | |
CCM Merger, Inc. | | | | | | | | |
4.50% (LIBOR + 3.75%), 11/04/2025(1)(17) | | | 812,600 | | | | 811,584 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
CenturyLink, Inc. | | | | | | | | |
2.10% (LIBOR + 2.00%), 01/31/2025(1) | | | 1,387,500 | | | | 1,375,706 | |
2.35% (LIBOR + 2.25%), 03/15/2027(1) | | | 5,457,298 | | | | 5,379,531 | |
Change Healthcare Holdings LLC | | | | | | | | |
3.50% (LIBOR + 2.50%), 03/01/2024(1) | | | 1,804,527 | | | | 1,802,181 | |
Charter Communications Operating LLC | | | | | | | | |
1.86% (LIBOR + 1.75%), 02/01/2027(1) | | | 7,383,897 | | | | 7,328,518 | |
Charter Nex U.S., Inc. | | | | | | | | |
0.00%, 12/01/2027 | | | 125,000 | | | | 125,156 | |
0.00%, 12/01/2027 | | | 9,464,381 | | | | 9,476,211 | |
Chobani LLC | | | | | | | | |
4.50% (LIBOR + 3.50%), 10/25/2027(1) | | | 1,588,000 | | | | 1,590,652 | |
Churchill Downs, Inc. | | | | | | | | |
2.11% (LIBOR + 2.00%), 12/27/2024(1) | | | 484,925 | | | | 480,832 | |
2.11% (LIBOR + 2.00%), 03/17/2028(1) | | | 6,877,763 | | | | 6,808,985 | |
CityCenter Holdings LLC | | | | | | | | |
3.00% (LIBOR + 2.25%), 04/18/2024 | | | 3,775,169 | | | | 3,742,136 | |
Clarios Global LP | | | | | | | | |
3.35% (LIBOR + 3.25%), 04/30/2026(1) | | | 7,135,308 | | | | 7,063,955 | |
Clean Harbors, Inc. | | | | | | | | |
1.85% (LIBOR + 1.75%), 06/28/2024(1) | | | 484,848 | | | | 485,353 | |
Clear Channel Outdoor Holdings, Inc. | | | | | | | | |
3.69% (LIBOR + 3.50%), 08/21/2026(1) | | | 5,076,977 | | | | 4,952,185 | |
CNT Holdings I Corp. | | | | | | | | |
4.50% (LIBOR + 3.75%), 11/08/2027(1) | | | 3,591,000 | | | | 3,591,000 | |
CommScope, Inc. | | | | | | | | |
3.35% (LIBOR + 3.25%), 04/06/2026(1) | | | 5,841,636 | | | | 5,808,280 | |
Core & Main LP | | | | | | | | |
3.75% (LIBOR + 2.75%), 08/01/2024(1) | | | 96,500 | | | | 96,349 | |
CoreLogic, Inc. | | | | | | | | |
4.00% (LIBOR + 3.50%), 06/02/2028(1) | | | 4,330,000 | | | | 4,314,845 | |
Cornerstone Building Brands, Inc. | | | | | | | | |
3.75% (LIBOR + 3.25%), 04/12/2028(1) | | | 1,135,924 | | | | 1,134,220 | |
CPI Holdco LLC | | | | | | | | |
3.85% (LIBOR + 3.75%), 11/04/2026(1) | | | 6,421,307 | | | | 6,424,774 | |
CSC Holdings LLC | | | | | | | | |
2.32% (LIBOR + 2.25%), 07/17/2025(1) | | | 3,730,570 | | | | 3,674,611 | |
Dell International LLC | | | | | | | | |
2.00% (LIBOR + 1.75%), 09/19/2025(1) | | | 62,705 | | | | 62,677 | |
Delta Topco, Inc. | | | | | | | | |
4.50% (LIBOR + 3.75%), 12/01/2027(1) | | | 4,640,000 | | | | 4,648,723 | |
Diamond (BC) BV | | | | | | | | |
3.19% (LIBOR + 3.00%), 09/06/2024(1) | | | 3,294,383 | | | | 3,274,485 | |
Diamond Resorts International, Inc. | | | | | | | | |
4.75% (LIBOR + 3.75%), 09/02/2023(1) | | | 6,254,252 | | | | 6,252,938 | |
Diamond Sports Group LLC | | | | | | | | |
3.36% (LIBOR + 3.25%), 08/24/2026(1) | | | 1,745,558 | | | | 1,045,380 | |
Dun & Bradstreet Corp. | | | | | | | | |
3.35% (LIBOR + 3.25%), 02/06/2026(1) | | | 5,412,551 | | | | 5,384,622 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Dynasty Acquisition Co., Inc. | | | | | | | | |
3.65% (LIBOR + 3.50%), 04/06/2026(1) | | | 1,352,902 | | | | 1,316,820 | |
3.65% (LIBOR + 3.50%), 04/06/2026(1) | | | 2,516,398 | | | | 2,449,285 | |
E.W. Scripps Co. | | | | | | | | |
0.00%, 01/07/2028 | | | 2,363,888 | | | | 2,360,933 | |
Eagle Broadband Investments LLC | | | | | | | | |
3.75% (LIBOR + 3.00%), 11/12/2027(1) | | | 3,855,313 | | | | 3,851,689 | |
Elanco Animal Health, Inc. | | | | | | | | |
1.84% (LIBOR + 1.75%), 08/01/2027(1) | | | 6,536,694 | | | | 6,433,218 | |
Envision Healthcare Corp. | | | | | | | | |
3.85% (LIBOR + 3.75%), 10/10/2025(1) | | | 4,666,615 | | | | 3,983,656 | |
Epicor Software Corp. | | | | | | | | |
4.00% (LIBOR + 3.25%), 07/30/2027(1) | | | 9,409,844 | | | | 9,395,353 | |
ExamWorks Group, Inc. | | | | | | | | |
4.25% (LIBOR + 3.25%), 07/27/2023(1) | | | 3,065,430 | | | | 3,066,381 | |
Filtration Group Corp. | | | | | | | | |
3.10% (LIBOR + 3.00%), 03/31/2025(1) | | | 11,079,189 | | | | 10,979,919 | |
4.50% (LIBOR + 3.75%), 03/29/2025(1) | | | 908,138 | | | | 908,138 | |
Forest City Enterprises LP | | | | | | | | |
3.60% (LIBOR + 3.50%), 12/08/2025(1) | | | 560,000 | | | | 546,235 | |
Formula One Management Ltd. | | | | | | | | |
3.50% (LIBOR + 2.50%), 02/01/2024(1) | | | 11,855,000 | | | | 11,782,803 | |
Four Seasons Holdings, Inc. | | | | | | | | |
2.10% (LIBOR + 2.00%), 11/30/2023(1) | | | 3,989,556 | | | | 3,974,595 | |
Gentiva Health Services, Inc. | | | | | | | | |
2.88% (LIBOR + 2.75%), 07/02/2025(1) | | | 6,734,436 | | | | 6,715,512 | |
GFL Environmental, Inc. | | | | | | | | |
3.50% (LIBOR + 3.00%), 05/30/2025(1) | | | 3,762,552 | | | | 3,763,079 | |
Grifols Worldwide Operations Ltd. | | | | | | | | |
2.09% (LIBOR + 2.00%), 11/15/2027(1) | | | 6,462,197 | | | | 6,395,959 | |
Harbor Freight Tools USA, Inc. | | | | | | | | |
3.75% (LIBOR + 3.00%), 10/19/2027(1) | | | 4,825,750 | | | | 4,822,517 | |
HCA, Inc. | | | | | | | | |
0.00%, 06/23/2028 | | | 2,020,000 | | | | 2,023,535 | |
HIG Finance 2 Ltd. | | | | | | | | |
4.75% (LIBOR + 3.75%), 11/12/2027(1) | | | 3,260,636 | | | | 3,268,787 | |
Hilton Worldwide Finance LLC | | | | | | | | |
1.84% (LIBOR + 1.75%), 06/22/2026(1) | | | 7,631,741 | | | | 7,563,589 | |
Horizon Therapeutics USA, Inc. | | | | | | | | |
2.50% (LIBOR + 2.00%), 03/15/2028(1) | | | 7,301,700 | | | | 7,249,201 | |
Hostess Brands LLC | | | | | | | | |
3.00% (LIBOR + 2.25%), 08/03/2025(1) | | | 1,674,436 | | | | 1,666,064 | |
Hub International Ltd. | | | | | | | | |
4.00% (LIBOR + 3.25%), 04/25/2025(1) | | | 9,393,944 | | | | 9,387,368 | |
HUB International Ltd. | | | | | | | | |
2.93% (LIBOR + 2.75%), 04/25/2025(1) | | | 6,320,212 | | | | 6,246,834 | |
Hyland Software, Inc. | | | | | | | | |
4.25% (LIBOR + 3.50%), 07/01/2024(1) | | | 5,471,005 | | | | 5,475,545 | |
ICON Luxembourg SARL | | | | | | | | |
0.00%, 06/16/2028 | | | 968,359 | | | | 969,724 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
0.00%, 06/16/2028 | | | 7,301,641 | | | | 7,311,936 | |
Ineos Finance Plc | | | | | | | | |
2.50% (EURIBOR + 2.00%), 04/01/2024(1) | | EUR | 21,705,632 | | | | 25,594,868 | |
Intelsat Jackson Holdings SA | | | | | | | | |
0.00%, 01/02/2024 | | $ | 1,500,000 | | | | 1,524,105 | |
6.50% (LIBOR + 5.50%), 07/13/2022(1) | | | 5,261,520 | | | | 5,291,142 | |
8.00% (LIBOR + 5.75%), 11/27/2023(1) | | | 17,270,000 | | | | 17,514,716 | |
8.75% (LIBOR + 6.50%), 01/02/2024(1) | | | 880,000 | | | | 894,854 | |
IPS Acquisition LLC | | | | | | | | |
4.25% (LIBOR + 3.25%), 11/07/2024(1) | | | 3,094,664 | | | | 3,089,836 | |
IQVIA, Inc. | | | | | | | | |
1.85% (LIBOR + 1.75%), 01/17/2025(1) | | | 727,330 | | | | 722,420 | |
1.90% (LIBOR + 1.75%), 06/11/2025(1) | | | 1,230,964 | | | | 1,222,606 | |
IRB Holding Corp. | | | | | | | | |
3.75% (LIBOR + 2.75%), 02/05/2025(1) | | | 96,750 | | | | 96,518 | |
4.25% (LIBOR + 3.25%), 12/15/2027(1) | | | 6,852,071 | | | | 6,847,823 | |
Iridium Satellite LLC | | | | | | | | |
3.75% (LIBOR + 2.75%), 11/04/2026(1) | | | 3,737,250 | | | | 3,740,875 | |
Jazz Pharmaceuticals Public Ltd. Co. | | | | | | | | |
4.00% (LIBOR + 3.50%), 05/05/2028(1) | | | 4,500,000 | | | | 4,512,645 | |
KFC Holding Co. | | | | | | | | |
1.83% (LIBOR + 1.75%), 03/15/2028(1) | | | 6,655,202 | | | | 6,652,806 | |
Lamar Media Corp. | | | | | | | | |
1.58% (LIBOR + 1.50%), 02/05/2027(1) | | | 2,815,000 | | | | 2,765,738 | |
Lealand Finance Co. BV | | | | | | | | |
1.10% (LIBOR + 1.00%), 06/30/2025(1) | | | 602,859 | | | | 267,772 | |
3.10% (LIBOR + 3.00%), 06/28/2024(1) | | | 148,837 | | | | 89,302 | |
Level 3 Financing, Inc. | | | | | | | | |
1.85% (LIBOR + 1.75%), 03/01/2027(1) | | | 17,499,795 | | | | 17,220,848 | |
LifePoint Health, Inc. | | | | | | | | |
3.85% (LIBOR + 3.75%), 11/16/2025(1) | | | 6,575,581 | | | | 6,556,644 | |
LogMeIn, Inc. | | | | | | | | |
4.83% (LIBOR + 4.75%), 08/31/2027(1) | | | 4,581,975 | | | | 4,573,407 | |
Loire UK Midco 3 Ltd. | | | | | | | | |
3.10% (LIBOR + 3.00%), 04/21/2027(1) | | | 3,728,696 | | | | 3,663,444 | |
LS Group Opco Acquisition LLC | | | | | | | | |
4.25% (LIBOR + 3.50%), 11/02/2027(1) | | | 2,656,650 | | | | 2,653,329 | |
Madison IAQ LLC | | | | | | | | |
3.75% (LIBOR + 3.25%), 06/21/2028(1) | | | 275,000 | | | | 275,000 | |
Maravai Intermediate Holdings LLC | | | | | | | | |
4.75% (LIBOR + 3.75%), 10/19/2027(1) | | | 3,528,150 | | | | 3,541,381 | |
Marriott Ownership Resorts, Inc. | | | | | | | | |
1.85% (LIBOR + 1.75%), 08/29/2025(1) | | | 261,439 | | | | 257,191 | |
MH Sub I LLC | | | | | | | | |
3.60% (LIBOR + 3.50%), 09/13/2024(1) | | | 3,988,790 | | | | 3,967,729 | |
Milano Acquisition Corp. | | | | | | | | |
4.75% (LIBOR + 4.00%), 10/01/2027(1) | | | 10,563,459 | | | | 10,587,226 | |
Mileage Plus Holdings LLC | | | | | | | | |
6.25% (LIBOR + 5.25%), 06/21/2027(1) | | | 10,923,738 | | | | 11,657,377 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Mission Broadcasting, Inc. | | | | | | | | |
0.00%, 06/02/2028(17) | | | 2,305,000 | | | | 2,290,594 | |
NASCAR Holdings LLC | | | | | | | | |
2.85% (LIBOR + 2.75%), 10/19/2026(1) | | | 607,604 | | | | 604,566 | |
Navistar, Inc. | | | | | | | | |
3.60% (LIBOR + 3.50%), 11/06/2024(1) | | | 7,665,193 | | | | 7,665,193 | |
Nouryon Finance BV | | | | | | | | |
3.13% (LIBOR + 2.75%), 10/01/2025(1) | | | 2,448,016 | | | | 2,428,138 | |
Option Care Health, Inc. | | | | | | | | |
3.85% (LIBOR + 3.75%), 08/06/2026(1) | | | 3,283,333 | | | | 3,282,644 | |
Organon & Co. | | | | | | | | |
3.50% (LIBOR + 3.00%), 06/02/2028(1) | | | 12,485,000 | | | | 12,492,866 | |
Parexel International Corp. | | | | | | | | |
2.85% (LIBOR + 2.75%), 09/27/2024(1) | | | 27,485,552 | | | | 27,318,165 | |
Penn National Gaming, Inc. | | | | | | | | |
3.00% (LIBOR + 2.25%), 10/15/2025(1) | | | 436,559 | | | | 434,978 | |
Peraton Corp. | | | | | | | | |
4.50% (LIBOR + 3.75%), 02/01/2028(1) | | | 5,815,425 | | | | 5,827,521 | |
PetSmart LLC | | | | | | | | |
4.50% (LIBOR + 3.75%), 02/11/2028(1) | | | 18,300,000 | | | | 18,304,575 | |
PetVet Care Centers LLC | | | | | | | | |
4.25% (LIBOR + 3.50%), 02/14/2025(1) | | | 3,781,265 | | | | 3,786,936 | |
PG&E Corp. | | | | | | | | |
3.50% (LIBOR + 3.00%), 06/23/2025(1) | | | 5,472,362 | | | | 5,393,724 | |
Pike Corp. | | | | | | | | |
3.11% (LIBOR + 3.00%), 01/21/2028(1) | | | 1,764,384 | | | | 1,759,726 | |
Polaris Newco LLC | | | | | | | | |
4.50% (LIBOR + 4.00%), 06/02/2028(1) | | | 585,000 | | | | 586,392 | |
RealPage, Inc. | | | | | | | | |
3.75% (LIBOR + 3.25%), 04/24/2028(1) | | | 11,835,000 | | | | 11,793,578 | |
Ryan Specialty Group LLC | | | | | | | | |
3.75% (LIBOR + 3.00%), 09/01/2027(1) | | | 5,486,784 | | | | 5,481,626 | |
SBA Senior Finance II LLC | | | | | | | | |
1.86% (LIBOR + 1.75%), 04/11/2025(1) | | | 1,552,000 | | | | 1,537,458 | |
Scientific Games International, Inc. | | | | | | | | |
2.85% (LIBOR + 2.75%), 08/14/2024(1) | | | 3,979,434 | | | | 3,949,589 | |
Seaworld Parks & Entertainment, Inc. | | | | | | | | |
3.75% (LIBOR + 3.00%), 04/01/2024(1) | | | 518,646 | | | | 514,756 | |
Sequa Mezzanine Holdings LLC | | | | | | | | |
7.75% (LIBOR + 6.75%), 11/28/2023(1) | | | 12,051,018 | | | | 12,121,275 | |
11.75% (LIBOR + 10.75%), 04/28/2024(1) | | | 688,043 | | | | 675,575 | |
Sigma Holdco BV | | | | | | | | |
3.50% (EURIBOR + 3.50%), 07/02/2025(1) | | EUR | 7,690,000 | | | | 8,875,229 | |
Simply Good Foods USA, Inc. | | | | | | | | |
4.75% (LIBOR + 3.75%), 07/07/2024(1) | | $ | 1,180,811 | | | | 1,185,487 | |
Sinclair Television Group, Inc. | | | | | | | | |
3.11% (LIBOR + 3.00%), 04/01/2028(1) | | | 3,750,000 | | | | 3,712,500 | |
Sotera Health Holdings LLC | | | | | | | | |
3.25% (LIBOR + 2.75%), 12/11/2026(1) | | | 12,000,000 | | | | 11,945,040 | |
Spin Holdco, Inc. | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
4.75% (LIBOR + 4.00%), 03/04/2028(1) | | | 3,640,875 | | | | 3,641,348 | |
SS&C Technologies Holdings, Inc. | | | | | | | | |
1.85% (LIBOR + 1.75%), 04/16/2025(1) | | | 364,914 | | | | 360,353 | |
1.85% (LIBOR + 1.75%), 04/16/2025(1) | | | 471,932 | | | | 466,033 | |
Staples, Inc. | | | | | | | | |
5.18% (LIBOR + 5.00%), 04/16/2026(1) | | | 3,978,227 | | | | 3,871,332 | |
Sunshine Luxembourg VII SARL | | | | | | | | |
4.50% (LIBOR + 3.75%), 10/01/2026(1) | | | 11,141,681 | | | | 11,175,775 | |
Surgery Center Holdings, Inc. | | | | | | | | |
4.50% (LIBOR + 3.75%), 08/31/2026(1) | | | 3,791,142 | | | | 3,804,752 | |
Syniverse Holdings, Inc. | | | | | | | | |
6.00% (LIBOR + 5.00%), 03/09/2023(1) | | | 456,283 | | | | 451,323 | |
Tacala Investment Corp. | | | | | | | | |
4.50% (LIBOR + 3.75%), 02/05/2027(1) | | | 3,934,832 | | | | 3,932,983 | |
8.25% (LIBOR + 7.50%), 02/04/2028(1)(17) | | | 590,000 | | | | 590,372 | |
Telenet Financing USD LLC | | | | | | | | |
2.07% (LIBOR + 2.00%), 04/30/2028(1) | | | 1,250,000 | | | | 1,231,875 | |
TransDigm, Inc. | | | | | | | | |
2.35% (LIBOR + 2.25%), 08/22/2024(1) | | | 9,816,599 | | | | 9,687,314 | |
2.35% (LIBOR + 2.25%), 12/09/2025(1) | | | 20,740,051 | | | | 20,417,750 | |
2.35% (LIBOR + 2.25%), 05/30/2025(1) | | | 26,160,516 | | | | 25,772,817 | |
U.S. Renal Care, Inc. | | | | | | | | |
0.00%, 06/26/2026 | | | 3,304,647 | | | | 3,316,346 | |
Uber Technologies, Inc. | | | | | | | | |
3.60% (LIBOR + 3.50%), 04/04/2025(1) | | | 17,122,551 | | | | 17,107,312 | |
3.60% (LIBOR + 3.50%), 02/25/2027(1) | | | 10,472,513 | | | | 10,462,669 | |
UFC Holdings LLC | | | | | | | | |
3.75% (LIBOR + 3.00%), 04/29/2026(1) | | | 14,539,445 | | | | 14,514,438 | |
UKG, Inc. | | | | | | | | |
4.00% (LIBOR + 3.25%), 05/04/2026(1) | | | 19,088,428 | | | | 19,099,500 | |
7.50% (LIBOR + 6.75%), 05/03/2027(1) | | | 605,000 | | | | 614,577 | |
United AirLines, Inc. | | | | | | | | |
4.50% (LIBOR + 3.75%), 04/21/2028(1) | | | 3,890,250 | | | | 3,937,789 | |
Univision Communications, Inc. | | | | | | | | |
0.00%, 05/05/2028 | | | 3,400,000 | | | | 3,384,428 | |
3.75% (LIBOR + 2.75%), 03/15/2024(1) | | | 3,779,266 | | | | 3,772,652 | |
USI, Inc. | | | | | | | | |
3.15% (LIBOR + 3.00%), 05/16/2024(1) | | | 3,096,875 | | | | 3,066,402 | |
3.40% (LIBOR + 3.25%), 12/02/2026(1) | | | 3,591,135 | | | | 3,555,870 | |
Vertical Midco GmbH | | | | | | | | |
0.00%, 07/29/2027 | | | 795,000 | | | | 795,334 | |
4.48% (LIBOR + 4.25%), 07/30/2027(1) | | | 8,487,391 | | | | 8,490,956 | |
VICI Properties 1 LLC | | | | | | | | |
1.84% (LIBOR + 1.75%), 12/20/2024 | | | 10,500,000 | | | | 10,406,970 | |
Western Digital Corp. | | | | | | | | |
1.84% (LIBOR + 1.75%), 04/29/2023(1) | | | 2,113,006 | | | | 2,109,984 | |
Whatabrands LLC | | | | | | | | |
2.83% (LIBOR + 2.75%), 07/31/2026(1) | | | 213,156 | | | | 212,139 | |
Windstream Services LLC | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
7.25% (LIBOR + 6.25%), 09/21/2027(1) | | | 73,257 | | | | 73,386 | |
Woof Holdings, Inc. | | | | | | | | |
4.50% (LIBOR + 3.75%), 12/21/2027(1) | | | 3,705,713 | | | | 3,702,637 | |
Wyndham Hotels & Resorts, Inc. | | | | | | | | |
1.85% (LIBOR + 1.75%), 05/30/2025(1) | | | 194,500 | | | | 192,798 | |
Zayo Group Holdings, Inc. | | | | | | | | |
3.10% (LIBOR + 3.00%), 03/09/2027(1) | | | 8,610,592 | | | | 8,514,412 | |
| | | | | | | | |
Total Bank Loans (Cost: $942,864,063) | | | | 944,975,895 | |
| | | | | | | | |
| | |
| | | Shares | | | Value | |
COMMON STOCKS – 0.11% | | | | | | | | |
Communications – 0.09% | | | | | | | | |
Clear Channel Outdoor Holdings, Inc. - Class A(11) | | | 2,064,946 | | | | 5,451,457 | |
iHeartMedia, Inc. - Class A(11) | | | 498,998 | | | | 13,438,016 | |
iHeartMedia, Inc. - Class B(11)(16) | | | 365,379 | | | | 8,855,691 | |
| | | | | | | | |
Total Communications | | | | 27,745,164 | |
| | | | | | | | |
Consumer Discretionary – 0.02% | | | | | | | | |
Neiman Marcus Group, Inc.(11)(16)(17) | | | 62,326 | | | | 6,887,023 | |
| | | | | | | | |
Total Consumer Discretionary | | | | 6,887,023 | |
| | | | | | | | |
Energy – 0.00%(12) | | | | | | | | |
Noble Corp.(11)(16) | | | 1,867 | | | | 41,554 | |
Noble Corp.(11)(17) | | | 15,565 | | | | 384,922 | |
| | | | | | | | |
Total Energy | | | | 426,476 | |
| | | | | | | | |
Financials – 0.00%(12) | | | | | | | | |
Voyager Aviation Holdings LLC(2)(11)(13)(16) | | | 31 | | | | – | |
| | | | | | | | |
Total Financials | | | | – | |
| | | | | | | | |
Industrials – 0.00%(12) | | | | | | | | |
AMI Investments LLC(11)(16)(17) | | | 206,310 | | | | 1,179,062 | |
Total Industrials | | | | 1,179,062 | |
| | | | | | | | |
Total Common Stocks (Cost: $29,822,378) | | | | 36,237,725 | |
| | | | | | | | |
CONVERTIBLE PREFERRED STOCKS – 0.15% | | | | | | | | |
Consumer, Non-cyclical – 0.03% | | | | | | | | |
Bunge Ltd., 4.88% | | | 89,011 | | | | 10,345,748 | |
| | | | | | | | |
Total Consumer, Non-cyclical | | | | 10,345,748 | |
| | | | | | | | |
Financials – 0.12% | | | | | | | | |
Bank of America Corp., 7.25% | | | 13,698 | | | | 19,396,368 | |
Wells Fargo & Co., 7.50% | | | 12,284 | | | | 18,747,964 | |
Total Financials | | | | 38,144,332 | |
| | | | | | | | |
Total Convertible Preferred Stocks (Cost: $45,616,285) | | | | 48,490,080 | |
| | | | | | | | |
PREFERRED STOCKS – 0.07% | | | | | | | | |
Communications – 0.07% | | | | | | | | |
AT&T Mobility II LLC, 7.00%(11)(16)(17) | | | 1,036,052 | | | | 24,271,694 | |
| | | | | | | | |
Total Communications | | | | 24,271,694 | |
| | | | | | | | |
Financials – 0.00%(12) | | | | | | | | |
Cayenne Aviation Holdings LLC(2)(11)(16) | | | 186 | | | | 7,400 | |
| | | | | | | | |
Total Financials | | | | 7,400 | |
| | | | | | | | |
Total Preferred Stocks (Cost: $28,083,994) | | | | 24,279,094 | |
| | | | | | | | |
WARRANTS – 0.00%(12) | | | | | | | | |
Communications – 0.00%(12) | | | | | | | | |
Windstream Holdings II LLC, expires 09/21/2055(11)(16) | | | 9,444 | | | | 80,664 | |
| | | | | | | | |
Total Communications | | | | 80,664 | |
| | | | | | | | |
Total Warrants (Cost: $91,586) | | | | 80,664 | |
| | | | | | | | |
| | | | | | | | |
| | | Shares | | | Value | |
SHORT-TERM INVESTMENTS – 13.79% | | | | | | | | |
Money Market Funds – 3.92% | | | | | | | | |
Fidelity Institutional Money Market Government Fund—Class I, 0.01%(14) | | | 1,280,070,132 | | | | 1,280,070,132 | |
| | | | | | | | |
Total Money Market Funds (Cost: $1,280,070,132) | | | | | | | 1,280,070,132 | |
| | | | | | | | |
| | |
| | | Principal
Amount | | | Value | |
Government Related – 0.07% | | | | | | | | |
Federal Home Loan Bank Discount Notes, 0.00%, 08/25/2021 | | | 4,300,000 | | | | 4,299,737 | |
Republic of Argentina, -11.79%, 03/31/2022 | | ARS | 297,048,000 | | | | 3,454,334 | |
Republic of Argentina, -10.45%, 02/28/2022 | | | 439,700,000 | | | | 5,179,971 | |
Republic of Argentina, -3.49%, 09/13/2021 | | | 667,763,000 | | | | 9,084,219 | |
| | | | | | | | |
Total Government Related (Cost: $20,823,945) | | | | | | | 22,018,261 | |
| | | | | | | | |
Repurchase Agreements – 1.15% | | | | | | | | |
Bank of America Securities, Inc., 0.04% dated 06/28/2021, due 07/06/2021, repurchase price $150,001,333 (collateralized by U.S. Treasury Bond, value $153,805,419, 4.50%, 05/15/2038) | | $ | 150,000,000 | | | | 150,000,000 | |
BNP Paribas SA, 0.03% dated 06/30/2021, due 07/01/2021, repurchase price $226,500,189 (collateralized by U.S. Treasury Note, value $231,309,327, 2.75%, 02/15/2028) | | | 226,500,000 | | | | 226,500,000 | |
| | | | | | | | |
Total Repurchase Agreements (Cost: $376,500,000) | | | | | | | 376,500,000 | |
| | | | | | | | |
U.S. Treasury Bills – 8.56% | | | | | | | | |
U.S. Cash Management Bill, 0.00%, 08/31/2021 | | | 200,000,000 | | | | 199,982,226 | |
U.S. Cash Management Bill, 0.00%, 10/05/2021 | | | 703,260,000 | | | | 703,175,609 | |
U.S. Treasury Bill, 0.00%, 07/01/2021 | | | 25,135,000 | | | | 25,135,000 | |
U.S. Treasury Bill, 0.00%, 07/08/2021 | | | 326,660,000 | | | | 326,657,540 | |
U.S. Treasury Bill, 0.00%, 07/20/2021(9) | | | 395,105,000 | | | | 395,094,573 | |
U.S. Treasury Bill, 0.00%, 07/29/2021 | | | 70,700,000 | | | | 70,697,374 | |
U.S. Treasury Bill, 0.00%, 08/03/2021(9) | | | 17,178,000 | | | | 17,177,263 | |
U.S. Treasury Bill, 0.00%, 08/05/2021 | | | 27,170,000 | | | | 27,168,763 | |
U.S. Treasury Bill, 0.00%, 08/12/2021(9) | | | 350,087,000 | | | | 350,063,516 | |
U.S. Treasury Bill, 0.00%, 08/19/2021 | | | 184,100,000 | | | | 184,088,724 | |
U.S. Treasury Bill, 0.00%, 08/24/2021(9) | | | 48,060,000 | | | | 48,056,756 | |
U.S. Treasury Bill, 0.00%, 09/02/2021 | | | 338,100,000 | | | | 338,068,936 | |
U.S. Treasury Bill, 0.00%, 09/23/2021(9) | | | 800,000 | | | | 799,907 | |
U.S. Treasury Bill, 0.00%, 09/30/2021(9) | | | 96,600,000 | | | | 96,587,180 | |
U.S. Treasury Bill, 0.00%, 12/09/2021 | | | 14,000,000 | | | | 13,996,765 | |
| | | | | | | | |
Total U.S. Treasury Bills (Cost: $2,796,806,522) | | | | | | | 2,796,750,132 | |
| | | | | | | | |
Time Deposits – 0.09% | | | | | | | | |
Bank of Montreal, London, 0.01% due 07/01/2021 | | | 1,374,027 | | | | 1,374,027 | |
BBVA, Madrid, 0.01% due 07/01/2021 | | | 17,034,139 | | | | 17,034,139 | |
BNP Paribas, Paris, -1.83% due 07/01/2021 | | CHF | 118,248 | | | | 127,801 | |
BNP Paribas, Paris, -0.78% due 07/01/2021 | | EUR | 937,807 | | | | 1,112,005 | |
BNP Paribas, Paris, -0.61% due 07/01/2021 | | SEK | 345 | | | | 40 | |
Brown Brothers Harriman, -0.60% due 07/01/2021 | | NZD | 88,917 | | | | 62,153 | |
Brown Brothers Harriman, -0.44% due 07/01/2021 | | AUD | 1,229,930 | | | | 922,386 | |
Brown Brothers Harriman, 3.90% due 07/01/2021 | | ZAR | 2,861,481 | | | | 200,384 | |
Citibank, London, 0.01% due 07/01/2021 | | GBP | 5,941,467 | | | | 8,218,831 | |
Nordea Bank ABP, Oslo, -1.08% due 07/01/2021 | | NOK | 1,549 | | | | 180 | |
Royal Bank of Canada, Toronto, 0.01% due 07/02/2021 | | CAD | 334,294 | | | | 269,678 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Skandinaviska Enskilda Banken AB, Stockholm, -0.61% due 07/01/2021 | | SEK | 386 | | | | 45 | |
Skandinaviska Enskilda Banken AB, Stockholm, 0.01% due 07/01/2021 | | $ | 899,888 | | | | 899,888 | |
Sumitomo, Tokyo, 0.01% due 07/01/2021 | | | 560,188 | | | | 560,188 | |
| | | | | | | | |
Total Time Deposits (Cost: $30,781,745) | | | | | | | 30,781,745 | |
| | | | | | | | |
Total Short-Term Investments (Cost: $4,504,982,344) | | | | 4,506,120,270 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES – 110.07% | | | | | | | | |
(Cost: $35,363,695,102) | | | | | | | 35,979,771,375 | |
| | | | | | | | |
TBA SALE COMMITMENTS – (1.19)% | | | | | | | | |
Mortgage-Backed Obligations – (1.19)% | | | | | | | | |
Fannie Mae | | | | | | | | |
3.00%, 07/01/2051(15) | | | (13,500,000 | ) | | | (14,071,904 | ) |
4.00%, 07/01/2051(15) | | | (29,000,000 | ) | | | (30,880,469 | ) |
4.00%, 08/01/2051(15) | | | (321,700,000 | ) | | | (342,836,697 | ) |
| | | | | | | | |
Total TBA Sale Commitments (Proceeds Received: $(388,724,795)) | | | | (387,789,070 | ) |
| | | | | | | | |
LIABILITIES IN EXCESS OF OTHER ASSETS – (8.88)% | | | | | | | (2,902,130,212 | ) |
| | | | | | | | |
TOTAL NET ASSETS – 100.00% | | | | | | $ | 32,689,852,093 | |
| | | | | | | | |
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
BRL Brazilian Real
CAD Canadian Dollar
CHF Swiss Franc
EUR Euro
GBP British Pound
IDR Indonesian Rupiah
INR Indian Rupee
MXN Mexican Peso
NOK Norwegian Krone
NZD New Zealand Dollar
PEN Peruvian Sol
SEK Swedish Krona
ZAR South African Rand
| (1) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2021. |
| (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 totals $7,036,178,680, which represents 21.52% of total net assets. |
| (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 June 30, 2021. |
| (4) | Variable rate security. The coupon is based on an underlying pool of assets. The rate reported is the rate in effect as of June 30, 2021. |
| (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) | Security in default as of June 30, 2021. The value of these securities totals $48,148,298, which represents 0.15% of total net assets. |
| (7) | Payment in-kind security for which part of the income earned may be paid as additional principal. |
| (8) | Inflation protected security. The value of these securities totals $98,993,844, which represents 0.30% of total net assets. |
| (9) | Partially assigned as collateral for certain futures contracts, swap contracts and delayed delivery securities. The value of these pledged issues totals $120,933,910, which represents 0.37% of total net assets. |
| (10) | Delayed delivery purchase commitment security. The value of these securities totals $3,162,490,042, which represents 9.67% of total net assets. |
| (11) | Non-income producing security. |
| (12) | Amount calculated is less than 0.005%. |
| (13) | Amount calculated is less than $0.5. |
| (14) | Represents annualized seven-day yield as of the close of the reporting period. |
| (15) | Delayed delivery sale commitment security. The value of these securities totals $(387,789,070), which represents (1.19)% of total net assets. |
| (16) | Security that is categorized as Level 3 per the Trust’s fair value hierarchy. The value of these securities totals $41,323,088, which represents 0.13% of total net assets. |
| (17) | Security that is restricted at June 30, 2021. The value of the restricted securities totals $138,926,835, which represents 0.42% of total net assets. |
| The | accompanying notes are an integral part of this Schedule of Investments. |
Open Futures Contracts
| | | | | | | | | | | | | | | | | | | | | | |
Number of
Contracts
Purchased | | | Reference Entity | | Counterparty | | Expiration
Date | | | Notional
Amount | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
| | 275 | | | Australian 10 Year Bond Future | | Goldman Sachs | | | Sep. 2021 | | | AUD | 38,893,106 | | | $ | 29,118,288 | | | $ | (49,596 | ) |
| | 621 | | | Euro-Btp Future | | Goldman Sachs | | | Sep. 2021 | | | EUR | 93,192,300 | | | | 111,490,865 | | | | 988,097 | |
| | 1,932 | | | U.S. 2 Year Note Future | | Citigroup Global Markets | | | Sep. 2021 | | | $ | 426,443,718 | | | | 425,658,843 | | | | (784,875 | ) |
| | 417 | | | U.S. 2 Year Note Future | | Goldman Sachs | | | Sep. 2021 | | | | 92,003,883 | | | | 91,873,570 | | | | (130,313 | ) |
| | 3,117 | | | U.S. 5 Year Note Future | | Citigroup Global Markets | | | Sep. 2021 | | | | 386,140,096 | | | | 384,730,338 | | | | (1,409,758 | ) |
| | 8,287 | | | U.S. 10 Year Note Future | | Goldman Sachs | | | Sep. 2021 | | | | 1,091,691,297 | | | | 1,098,027,500 | | | | 6,336,203 | |
| | 2,693 | | | U.S. Long Bond Future | | Goldman Sachs | | | Sep. 2021 | | | | 426,251,898 | | | | 432,899,750 | | | | 6,647,852 | |
| | 2 | | | U.S. Ultra 10 Year Note Future | | Citigroup Global Markets | | | Sep. 2021 | | | | 289,250 | | | | 294,406 | | | | 5,156 | |
| | 41 | | | U.S. Ultra Bond Future | | Citigroup Global Markets | | | Sep. 2021 | | | | 7,559,346 | | | | 7,900,188 | | | | 340,842 | |
| | 3,590 | | | U.S. Ultra Bond Future | | Goldman Sachs | | | Sep. 2021 | | | | 662,436,282 | | | | 691,748,125 | | | | 29,311,843 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | 41,255,451 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Number of
Contracts Sold | | Reference Entity | | Counterparty | | Expiration
Date | | | Notional
Amount | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
| (304) | | Euro-Bund Future | | Goldman Sachs | | | Sep. 2021 | | | EUR | (52,134,470 | ) | | $ | (62,220,380 | ) | | $ | (401,934 | ) |
| (2,143) | | U.S. 5 Year Note Future | | Goldman Sachs | | | Sep. 2021 | | | $ | (265,603,639 | ) | | | (264,509,821 | ) | | | 1,093,818 | |
| (330) | | U.S. Long Bond Future | | Goldman Sachs | | | Sep. 2021 | | | | (51,445,195 | ) | | | (53,047,500 | ) | | | (1,602,305 | ) |
| (1,080) | | U.S. Ultra 10 Year Note Future | | Goldman Sachs | | | Sep. 2021 | | | | (156,827,039 | ) | | | (158,979,375 | ) | | | (2,152,336 | ) |
| (1,845) | | U.S. Ultra 10 Year Note Future | | J.P. Morgan | | | Sep. 2021 | | | | (267,602,562 | ) | | | (271,589,766 | ) | | | (3,987,204 | ) |
| (324) | | U.S. Ultra Bond Future | | Goldman Sachs | | | Sep. 2021 | | | | (59,388,188 | ) | | | (62,430,750 | ) | | | (3,042,562 | ) |
| (415) | | U.S. Ultra Bond Future | | J.P. Morgan | | | Sep. 2021 | | | | (77,020,363 | ) | | | (79,965,313 | ) | | | (2,944,950 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (13,037,473 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 28,217,978 | |
| | | | | | | | | | | | | | | | | | | | |
Over-the-Counter Forward Foreign Currency Exchange Contracts
| | | | | | | | | | | | | | | | | | | | | | |
Currency Purchased | | | Currency Sold | | | Settlement
Date | | | Counterparty | | Unrealized
Appreciation/
(Depreciation) | |
BRL* | | | 224,611,220 | | | | USD | | | | 42,308,828 | | | | 07/02/21 | | | Bank Of America | | $ | 2,850,049 | |
BRL* | | | 224,611,220 | | | | USD | | | | 44,902,487 | | | | 07/02/21 | | | Goldman Sachs | | | 256,390 | |
BRL* | | | 224,611,220 | | | | USD | | | | 44,316,876 | | | | 08/03/21 | | | Goldman Sachs | | | 682,344 | |
CAD | | | 17,427,500 | | | | USD | | | | 13,910,729 | | | | 07/23/21 | | | HSBC | | | 148,095 | |
CAD | | | 52,282,500 | | | | USD | | | | 41,712,875 | | | | 07/23/21 | | | Morgan Stanley | | | 463,595 | |
MXN | | | 33,876,000 | | | | USD | | | | 1,612,275 | | | | 09/03/21 | | | Goldman Sachs | | | 73,551 | |
MXN | | | 1,040,796,152 | | | | USD | | | | 49,479,256 | | | | 10/05/21 | | | J.P. Morgan | | | 2,084,673 | |
MXN | | | 265,851,000 | | | | USD | | | | 13,098,044 | | | | 10/27/21 | | | Goldman Sachs | | | 31,801 | |
PEN* | | | 28,785,047 | | | | USD | | | | 7,236,970 | | | | 07/19/21 | | | Goldman Sachs | | | 249,879 | |
PEN* | | | 50,751,360 | | | | USD | | | | 12,816,000 | | | | 07/26/21 | | | Bank Of America | | | 392,963 | |
PEN* | | | 48,141,720 | | | | USD | | | | 12,157,000 | | | | 07/26/21 | | | Morgan Stanley | | | 372,757 | |
PEN* | | | 110,306 | | | | USD | | | | 27,741 | | | | 08/18/21 | | | Bank Of America | | | 996 | |
PEN* | | | 3,866,780 | | | | USD | | | | 974,000 | | | | 09/03/21 | | | Morgan Stanley | | | 33,650 | |
RUB* | | | 1,782,049,781 | | | | USD | | | | 23,091,174 | | | | 07/22/21 | | | Goldman Sachs | | | 1,195,576 | |
RUB* | | | 237,546,219 | | | | USD | | | | 3,100,721 | | | | 07/22/21 | | | Morgan Stanley | | | 136,689 | |
RUB* | | | 316,270,359 | | | | USD | | | | 4,206,159 | | | | 08/20/21 | | | Bank Of America | | | 85,029 | |
RUB* | | | 1,703,325,641 | | | | USD | | | | 22,733,135 | | | | 08/20/21 | | | Goldman Sachs | | | 377,760 | |
USD | | | 1,710,802 | | | | AUD | | | | 2,212,000 | | | | 07/02/21 | | | BNP Paribas | | | 51,912 | |
USD | | | 490,636,651 | | | | EUR | | | | 401,059,000 | | | | 07/02/21 | | | BNP Paribas | | | 15,080,890 | |
USD | | | 134,405 | | | | JPY | | | | 14,700,000 | | | | 07/02/21 | | | BNP Paribas | | | 2,086 | |
USD | | | 255,017,218 | | | | GBP | | | | 180,386,492 | | | | 07/02/21 | | | Goldman Sachs | | | 5,488,589 | |
USD | | | 237,778,831 | | | | GBP | | | | 167,992,508 | | | | 07/02/21 | | | J.P. Morgan | | | 5,394,798 | |
USD | | | 95,298 | | | | TRY | | | | 814,711 | | | | 07/02/21 | | | J.P. Morgan | | | 1,725 | |
USD | | | 18,615,978 | | | | EUR | | | | 15,260,000 | | | | 07/02/21 | | | Morgan Stanley | | | 521,431 | |
USD | | | 907,683 | | | | TRY | | | | 7,783,318 | | | | 07/07/21 | | | BNP Paribas | | | 15,982 | |
USD | | | 19,679 | | | | TRY | | | | 168,663 | | | | 07/07/21 | | | J.P. Morgan | | | 356 | |
USD | | | 2,314,981 | | | | TRY | | | | 19,865,548 | | | | 07/09/21 | | | BNP Paribas | | | 41,351 | |
USD | | | 264,496 | | | | TRY | | | | 2,270,568 | | | | 07/09/21 | | | J.P. Morgan | | | 4,628 | |
USD | | | 490,307 | | | | PEN | * | | | 1,843,556 | | | | 07/13/21 | | | J.P. Morgan | | | 11,081 | |
USD | | | 1,180,495 | | | | TRY | | | | 10,143,398 | | | | 07/13/21 | | | J.P. Morgan | | | 22,143 | |
USD | | | 1,050,649 | | | | MXN | | | | 20,757,000 | | | | 07/14/21 | | | Goldman Sachs | | | 10,936 | |
USD | | | 7,881,240 | | | | PEN | * | | | 28,785,047 | | | | 07/19/21 | | | Goldman Sachs | | | 394,391 | |
USD | | | 15,468,944 | | | | AUD | | | | 20,075,000 | | | | 07/23/21 | | | Barclays Bank | | | 412,091 | |
USD | | | 8,058,785 | | | | CAD | | | | 9,900,000 | | | | 07/23/21 | | | Canadian Imperial Bank of Commerce | | | 72,422 | |
USD | | | 18,937,512 | | | | AUD | | | | 24,650,000 | | | | 07/23/21 | | | Citibank | | | 449,272 | |
USD | | | 4,345,561 | | | | AUD | | | | 5,725,000 | | | | 07/23/21 | | | Credit Suisse International | | | 51,640 | |
USD | | | 4,089,880 | | | | NOK | | | | 34,855,000 | | | | 07/23/21 | | | Credit Suisse International | | | 41,307 | |
USD | | | 4,368,334 | | | | NOK | | | | 37,125,000 | | | | 07/23/21 | | | Deutsche Bank | | | 56,089 | |
USD | | | 43,024,430 | | | | CAD | | | | 52,435,000 | | | | 07/23/21 | | | HSBC | | | 724,938 | |
USD | | | 25,601,618 | | | | NOK | | | | 212,855,000 | | | | 07/23/21 | | | UBS | | | 877,500 | |
USD | | | 434,218,380 | | | | EUR | | | | 365,911,000 | | | | 08/03/21 | | | BNP Paribas | | | 45,402 | |
USD | | | 132,478 | | | | JPY | | | | 14,700,000 | | | | 08/03/21 | | | BNP Paribas | | | 122 | |
USD | | | 448,490,029 | | | | GBP | | | | 323,945,000 | | | | 08/03/21 | | | Morgan Stanley | | | 335,383 | |
USD | | | 11,080,000 | | | | PEN | * | | | 40,911,353 | | | | 08/04/21 | | | BNP Paribas | | | 425,267 | |
USD | | | 10,486,141 | | | | CAD | | | | 12,652,000 | | | | 08/17/21 | | | Bank Of America | | | 279,837 | |
USD | | | 7,972,153 | | | | EUR | | | | 6,660,000 | | | | 08/20/21 | | | Barclays Bank | | | 66,977 | |
USD | | | 20,370,620 | | | | GBP | | | | 14,615,000 | | | | 08/20/21 | | | Citibank | | | 151,313 | |
| | | | | | | | | | | | | | | | | | | | | | |
Currency Purchased | | | Currency Sold | | | Settlement
Date | | | Counterparty | | Unrealized
Appreciation/
(Depreciation) | |
USD | | | 31,020,936 | | | | GBP | | | | 21,965,000 | | | | 08/20/21 | | | J.P. Morgan | | | 633,179 | |
USD | | | 12,132,944 | | | | EUR | | | | 10,165,000 | | | | 08/20/21 | | | Morgan Stanley | | | 67,462 | |
USD | | | 31,170,610 | | | | EUR | | | | 25,635,000 | | | | 08/20/21 | | | UBS | | | 742,804 | |
USD | | | 17,422,217 | | | | PEN | * | | | 66,627,785 | | | | 09/03/21 | | | BNP Paribas | | | 59,589 | |
USD | | | 9,194,099 | | | | CAD | | | | 11,105,000 | | | | 09/15/21 | | | BNP Paribas | | | 235,838 | |
USD | | | 61,430,529 | | | | ZAR | | | | 848,986,374 | | | | 09/15/21 | | | Goldman Sachs | | | 2,557,975 | |
USD | | | 13,917,399 | | | | ZAR | | | | 197,008,912 | | | | 09/16/21 | | | Bank Of America | | | 257,795 | |
USD | | | 7,360,701 | | | | ZAR | | | | 106,384,088 | | | | 02/18/22 | | | Bank Of America | | | 136,160 | |
USD | | | 28,172,679 | | | | ZAR | | | | 413,653,000 | | | | 02/25/22 | | | Deutsche Bank | | | 107,949 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | Total Unrealized Appreciation | | | 45,266,407 | |
| | | | | | | | | | | | | | | | | | | | | | |
AUD | | | 50,450,000 | | | | USD | | | | 39,319,233 | | | | 07/23/21 | | | Citibank | | | (1,480,219 | ) |
CAD | | | 13,540,000 | | | | USD | | | | 11,195,866 | | | | 07/23/21 | | | Canadian Imperial Bank of Commerce | | | (273,102 | ) |
EUR | | | 1,716,000 | | | | USD | | | | 2,044,743 | | | | 07/02/21 | | | Goldman Sachs | | | (9,995 | ) |
EUR | | | 40,180,000 | | | | USD | | | | 48,623,633 | | | | 07/02/21 | | | J.P. Morgan | | | (980,193 | ) |
EUR | | | 8,512,000 | | | | USD | | | | 10,354,362 | | | | 07/02/21 | | | Morgan Stanley | | | (261,257 | ) |
EUR | | | 13,736,244 | | | | USD | | | | 16,694,735 | | | | 08/20/21 | | | Citibank | | | (390,316 | ) |
EUR | | | 16,200,000 | | | | USD | | | | 19,673,685 | | | | 08/20/21 | | | Goldman Sachs | | | (444,879 | ) |
EUR | | | 3,791,244 | | | | USD | | | | 4,609,906 | | | | 08/20/21 | | | Morgan Stanley | | | (109,839 | ) |
EUR | | | 3,734,658 | | | | USD | | | | 4,542,222 | | | | 08/20/21 | | | State Street | | | (109,320 | ) |
GBP | | | 8,418,000 | | | | USD | | | | 11,717,267 | | | | 07/02/21 | | | Bank Of America | | | (72,648 | ) |
GBP | | | 3,511,000 | | | | USD | | | | 4,890,927 | | | | 07/02/21 | | | Goldman Sachs | | | (34,161 | ) |
GBP | | | 10,897,000 | | | | USD | | | | 15,218,274 | | | | 07/02/21 | | | J.P. Morgan | | | (144,454 | ) |
GBP | | | 1,608,000 | | | | USD | | | | 2,255,164 | | | | 07/02/21 | | | Morgan Stanley | | | (30,818 | ) |
GBP | | | 10,235,000 | | | | USD | | | | 14,175,438 | | | | 08/03/21 | | | Bank Of America | | | (16,051 | ) |
GBP | | | 22,405,000 | | | | USD | | | | 31,567,973 | | | | 08/20/21 | | | J.P. Morgan | | | (571,492 | ) |
GBP | | | 14,175,000 | | | | USD | | | | 19,982,852 | | | | 08/20/21 | | | State Street | | | (372,269 | ) |
IDR* | | | 393,184,139,000 | | | | USD | | | | 27,279,826 | | | | 09/15/21 | | | Bank Of America | | | (532,606 | ) |
INR* | | | 1,906,559,450 | | | | USD | | | | 25,895,509 | | | | 09/15/21 | | | Bank Of America | | | (492,329 | ) |
INR* | | | 156,988,000 | | | | USD | | | | 2,081,241 | | | | 12/15/21 | | | J.P. Morgan | | | (13,191 | ) |
MXN | | | 132,419,000 | | | | USD | | | | 6,559,683 | | | | 11/08/21 | | | BNP Paribas | | | (30,902 | ) |
NOK | | | 326,110,000 | | | | USD | | | | 39,454,726 | | | | 07/23/21 | | | UBS | | | (1,575,502 | ) |
NOK | | | 330,585,000 | | | | USD | | | | 39,276,406 | | | | 08/17/21 | | | BNP Paribas | | | (872,635 | ) |
PEN* | | | 110,306 | | | | USD | | | | 28,782 | | | | 07/06/21 | | | Bank Of America | | | (124 | ) |
RUB* | | | 915,676,127 | | | | USD | | | | 12,549,834 | | | | 09/20/21 | | | Bank Of America | | | (186,275 | ) |
RUB* | | | 1,103,920,287 | | | | USD | | | | 15,057,435 | | | | 09/20/21 | | | Goldman Sachs | | | (152,182 | ) |
SEK | | | 313,210,000 | | | | USD | | | | 37,472,391 | | | | 08/17/21 | | | Morgan Stanley | | | (858,494 | ) |
TRY | | | 814,711 | | | | USD | | | | 97,025 | | | | 07/02/21 | | | Goldman Sachs | | | (3,453 | ) |
TRY | | | 7,951,981 | | | | USD | | | | 947,187 | | | | 07/07/21 | | | J.P. Morgan | | | (36,163 | ) |
TRY | | | 4,929,000 | | | | USD | | | | 584,272 | | | | 07/09/21 | | | Bank Of America | | | (20,143 | ) |
TRY | | | 12,053,659 | | | | USD | | | | 1,437,235 | | | | 07/09/21 | | | BNP Paribas | | | (57,683 | ) |
TRY | | | 5,153,457 | | | | USD | | | | 615,822 | | | | 07/09/21 | | | Goldman Sachs | | | (26,004 | ) |
TRY | | | 10,143,398 | | | | USD | | | | 1,198,629 | | | | 07/13/21 | | | BNP Paribas | | | (40,277 | ) |
USD | | | 44,902,487 | | | | BRL | * | | | 224,611,220 | | | | 07/02/21 | | | Bank Of America | | | (256,390 | ) |
USD | | | 44,459,861 | | | | BRL | * | | | 224,611,220 | | | | 07/02/21 | | | Goldman Sachs | | | (699,015 | ) |
USD | | | 27,690 | | | | PEN | * | | | 110,306 | | | | 07/06/21 | | | Bank Of America | | | (967 | ) |
USD | | | 16,854,824 | | | | CAD | | | | 20,915,000 | | | | 07/23/21 | | | J.P. Morgan | | | (17,377 | ) |
USD | | | 4,767,421 | | | | NOK | | | | 41,275,000 | | | | 07/23/21 | | | UBS | | | (26,866 | ) |
USD | | | 7,243,890 | | | | PEN | * | | | 28,785,047 | | | | 08/31/21 | | | Goldman Sachs | | | (257,392 | ) |
USD | | | 12,009,812 | | | | BRL | * | | | 64,381,000 | | | | 09/02/21 | | | Bank Of America | | | (834,662 | ) |
USD | | | 91,579,977 | | | | BRL | * | | | 515,000,000 | | | | 10/04/21 | | | J.P. Morgan | | | (10,713,543 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
Currency Purchased | | | Currency Sold | | | Settlement
Date | | | Counterparty | | Unrealized
Appreciation/
(Depreciation) | |
USD | | | 657,013 | | | | ZAR | | | | 10,032,066 | | | | 02/18/22 | | | J.P. Morgan | | | (24,264 | ) |
USD | | | 323,655 | | | | ZAR | | | | 5,171,000 | | | | 02/25/22 | | | Goldman Sachs | | | (27,177 | ) |
ZAR | | | 43,770,000 | | | | USD | | | | 3,053,030 | | | | 09/15/21 | | | Morgan Stanley | | | (17,820 | ) |
ZAR | | | 43,770,000 | | | | USD | | | | 2,986,441 | | | | 02/25/22 | | | Goldman Sachs | | | (16,818 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | Total Unrealized Depreciation | | | (23,091,267 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | Net Unrealized Appreciation | | $ | 22,175,140 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | |
| AUD | | Australian Dollar |
| BRL | | Brazilian Real |
| CAD | | Canadian Dollar |
| EUR | | Euro |
| GBP | | British Pound |
| IDR | | Indonesian Rupiah |
| INR | | Indian Rupee |
| JPY | | Japanese Yen |
| MXN | | Mexican Peso |
| NOK | | Norwegian Krone |
| PEN | | Peruvian Sol |
| RUB | | Russian Ruble |
| SEK | | Swedish Krona |
| TRY | | Turkish Lira |
| USD | | United States Dollar |
| ZAR | | South African Rand |
Centrally Cleared Credit Default Swaps – Sell Protection
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Reference Entity | | Fixed
Annual
Rate
Received
by Fund | | | Maturity
Date | | | Implied
Credit
Spread
at
June 30,
2021 | | | Notional
Amount | | | Upfront
Premium
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Value | |
AT&T Inc. | | | 1.00 | % | | | 12/20/2024 | | | | 0.40 | % | | $ | 7,700,000 | | | $ | 51,050 | | | $ | 99,716 | | | $ | 150,766 | |
AT&T Inc. | | | 1.00 | | | | 6/20/2026 | | | | 0.62 | | | | 4,400,000 | | | | 72,540 | | | | 9,250 | | | | 81,790 | |
CDX.EM.28 | | | 1.00 | | | | 12/20/2022 | | | | 0.87 | | | | 9,588,000 | | | | (201,276 | ) | | | 223,062 | | | | 21,786 | |
CDX.EM.29 | | | 1.00 | | | | 6/20/2023 | | | | 0.84 | | | | 1,880,000 | | | | (31,920 | ) | | | 38,261 | | | | 6,341 | |
CDX.EM.30 | | | 1.00 | | | | 12/20/2023 | | | | 0.97 | | | | 6,768,000 | | | | (184,726 | ) | | | 192,325 | | | | 7,599 | |
CDX.EM.31 | | | 1.00 | | | | 6/20/2024 | | | | 0.95 | | | | 8,178,000 | | | | (283,672 | ) | | | 297,345 | | | | 13,673 | |
CDX.EM.32 | | | 1.00 | | | | 12/20/2024 | | | | 1.03 | | | | 12,090,000 | | | | (547,801 | ) | | | 539,579 | | | | (8,222 | ) |
CDX.EM.34 | | | 1.00 | | | | 12/20/2025 | | | | 1.82 | | | | 4,300,000 | | | | (244,812 | ) | | | 96,763 | | | | (148,049 | ) |
CDX.EM.35 | | | 1.00 | | | | 6/20/2026 | | | | 1.56 | | | | 3,100,000 | | | | (103,901 | ) | | | 23,682 | | | | (80,219 | ) |
CDX.NA.HY.34 | | | 5.00 | | | | 6/20/2025 | | | | 2.36 | | | | 736,000 | | | | 53,632 | | | | 20,090 | | | | 73,722 | |
CDX.NA.HY.35 | | | 5.00 | | | | 12/20/2025 | | | | 2.56 | | | | 40,900,000 | | | | 3,351,669 | | | | 837,347 | | | | 4,189,016 | |
CDX.NA.HY.36 | | | 5.00 | | | | 6/20/2026 | | | | 2.74 | | | | 154,250,000 | | | | 12,632,190 | | | | 5,209,282 | | | | 17,841,472 | |
CDX.NA.HY.36 | | | 5.00 | | | | 6/20/2026 | | | | 2.74 | | | | 268,000,000 | | | | 23,451,519 | | | | 4,196,955 | | | | 27,648,474 | |
CDX.NA.IG | | | 1.00 | | | | 6/20/2026 | | | | 0.48 | | | | 197,805,000 | | | | 4,456,675 | | | | 1,094,389 | | | | 5,551,064 | |
General Electric Co. | | | 1.00 | | | | 12/20/2023 | | | | 0.38 | | | | 700,000 | | | | (18,071 | ) | | | 28,975 | | | | 10,904 | |
Indonesia Government International | | | 1.00 | | | | 6/20/2026 | | | | 0.75 | | | | 23,290,000 | | | | 229,605 | | | | 124,272 | | | | 353,877 | |
Mexico Government International | | | 1.00 | | | | 6/20/2026 | | | | 0.94 | | | | 121,686,000 | | | | 57,208 | | | | 656,404 | | | | 713,612 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 42,739,909 | | | $ | 13,687,697 | | | $ | 56,427,606 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Over-the-Counter Credit Default Swaps – Sell Protection
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Counterparty | | Reference Entity | | | Fixed
Annual
Rate
Received
by Fund | | | Payment
Frequency | | | Maturity
Date | | | Implied
Credit
Spread
at
June 30,
2021 | | | Notional
Amount | | | Upfront
Premium
Paid/
(Received) | | | Unrealized
Appreciation/
(Depreciation) | | | Value | |
Deutsche Bank | | | CMBX.NA.AAA.10 | | | | 0.50 | % | | | Monthly | | | | 11/17/2059 | | | | 0.00 | % | | $ | 16,450,000 | | | $ | (265,483 | ) | | $ | 436,522 | | | $ | 171,039 | |
Goldman Sachs | | | CMBX.NA.AAA.10 | | | | 0.50 | | | | Monthly | | | | 12/16/2072 | | | | 0.00 | | | | 154,800,000 | | | | 491,927 | | | | 511,891 | | | | 1,003,818 | |
Morgan Stanley | | | CMBX.NA.AAA.10 | | | | 0.50 | | | | Monthly | | | | 12/16/2072 | | | | 0.00 | | | | 157,900,000 | | | | 642,297 | | | | 381,623 | | | | 1,023,920 | |
J.P. Morgan | | | Barclays Bank Plc | | | | 1.00 | | | | Quarterly | | | | 6/20/2024 | | | | 0.30 | | | EUR | 1,000,000 | | | | 7,703 | | | | 17,851 | | | | 25,554 | |
Goldman Sachs | |
| Brazilian
Government
International |
| | | 1.00 | | | | Quarterly | | | | 12/20/2024 | | | | 1.20 | | | $ | 3,200,000 | | | | (33,524 | ) | | | 12,546 | | | | (20,978 | ) |
Barclays Bank | |
| Chile Government
International |
| | | 1.00 | | | | Quarterly | | | | 6/20/2026 | | | | 0.59 | | | | 10,530,000 | | | | 234,867 | | | | (18,840 | ) | | | 216,027 | |
Goldman Sachs | |
| Chile Government
International |
| | | 1.00 | | | | Quarterly | | | | 6/20/2026 | | | | 0.59 | | | | 4,770,000 | | | | 104,039 | | | | (6,180 | ) | | | 97,859 | |
Morgan Stanley | |
| Chile Government
International |
| | | 1.00 | | | | Quarterly | | | | 6/20/2026 | | | | 0.59 | | | | 31,000,000 | | | | 339,131 | | | | 691,234 | | | | 1,030,365 | |
Goldman Sachs | |
| Federative Republic
of Brazil |
| | | 1.00 | | | | Quarterly | | | | 6/20/2024 | | | | 1.01 | | | | 300,000 | | | | (5,713 | ) | | | 5,681 | | | | (32 | ) |
Goldman Sachs | |
| Indonesia
Government
International |
| | | 1.00 | | | | Quarterly | | | | 6/20/2026 | | | | 0.75 | | | | 35,250,000 | | | | 233,518 | | | | 212,978 | | | | 446,496 | |
Barclays Bank | |
| Mexico
Government
International |
| | | 1.00 | | | | Quarterly | | | | 6/20/2026 | | | | 0.94 | | | | 1,591,000 | | | | (3,042 | ) | | | 8,263 | | | | 5,221 | |
Goldman Sachs | |
| Mexico
Government
International |
| | | 1.00 | | | | Quarterly | | | | 6/20/2026 | | | | 0.94 | | | | 3,800,000 | | | | (4,740 | ) | | | 17,208 | | | | 12,468 | |
J.P. Morgan | |
| Mexico
Government
International |
| | | 1.00 | | | | Quarterly | | | | 6/20/2026 | | | | 0.94 | | | | 300,000 | | | | (2,123 | ) | | | 3,099 | | | | 976 | |
J.P. Morgan | |
| Mexico
Government
International |
| | | 1.00 | | | | Quarterly | | | | 6/20/2026 | | | | 0.94 | | | | 4,309,000 | | | | (239 | ) | | | 25,509 | | | | 25,270 | |
Morgan Stanley | |
| Mexico
Government
International |
| | | 1.00 | | | | Quarterly | | | | 12/20/2024 | | | | 0.61 | | | | 300,000 | | | | (1,724 | ) | | | 5,875 | | | | 4,151 | |
Morgan Stanley | |
| Mexico
Government
International |
| | | 1.00 | | | | Quarterly | | | | 12/20/2025 | | | | 0.83 | | | | 700,000 | | | | (8,139 | ) | | | 13,510 | | | | 5,371 | |
Morgan Stanley | |
| Mexico
Government
International |
| | | 1.00 | | | | Quarterly | | | | 6/20/2026 | | | | 0.94 | | | | 1,100,000 | | | | (5,786 | ) | | | 9,365 | | | | 3,579 | |
Goldman Sachs | |
| Republic of South
Africa |
| | | 1.00 | | | | Quarterly | | | | 6/20/2024 | | | | 1.20 | | | | 4,700,000 | | | | (118,029 | ) | | | 91,215 | | | | (26,814 | ) |
J.P. Morgan | |
| Republic of South
Africa |
| | | 1.00 | | | | Quarterly | | | | 6/20/2023 | | | | 0.81 | | | | 9,400,000 | | | | (300,117 | ) | | | 337,444 | | | | 37,327 | |
Goldman Sachs | |
| Russia Emerging
Markets SPMYC |
| | | 1.00 | | | | Quarterly | | | | 12/20/2022 | | | | 0.33 | | | | 1,500,000 | | | | (13,373 | ) | | | 28,871 | | | | 15,498 | |
J.P. Morgan | |
| Russia Emerging
Markets SPMYC |
| | | 1.00 | | | | Quarterly | | | | 6/20/2023 | | | | 0.35 | | | | 18,200,000 | | | | (246,180 | ) | | | 485,010 | | | | 238,830 | |
Goldman Sachs | |
| Russian Foreign
Bond—Eurobon |
| | | 1.00 | | | | Quarterly | | | | 12/20/2024 | | | | 0.58 | | | | 16,400,000 | | | | 66,122 | | | | 177,977 | | | | 244,099 | |
Goldman Sachs | |
| Teva
Pharmaceutical
Finance Ne |
| | | 1.00 | | | | Quarterly | | | | 6/20/2022 | | | | 1.67 | | | | 210,000 | | | | (6,968 | ) | | | 5,663 | | | | (1,305 | ) |
Goldman Sachs | |
| United Mexican
States |
| | | 1.00 | | | | Quarterly | | | | 6/20/2023 | | | | 0.35 | | | | 29,900,000 | | | | (112,795 | ) | | | 505,237 | | | | 392,442 | |
Goldman Sachs | |
| United Mexican
States |
| | | 1.00 | | | | Quarterly | | | | 12/20/2023 | | | | 0.43 | | | | 9,100,000 | | | | (112,452 | ) | | | 243,276 | | | | 130,824 | |
J.P. Morgan | |
| United Mexican
States |
| | | 1.00 | | | | Quarterly | | | | 12/20/2023 | | | | 0.43 | | | | 5,400,000 | | | | (62,153 | ) | | | 139,785 | | | | 77,632 | |
J.P. Morgan | |
| United Mexican
States |
| | | 1.00 | | | | Quarterly | | | | 6/20/2024 | | | | 0.49 | | | | 100,000 | | | | (952 | ) | | | 2,514 | | | | 1,562 | |
Morgan Stanley | |
| United Mexican
States |
| | | 1.00 | | | | Quarterly | | | | 12/20/2022 | | | | 0.32 | | | | 3,800,000 | | | | 1,877 | | | | 37,756 | | | | 39,633 | |
Morgan Stanley | |
| United Mexican
States |
| | | 1.00 | | | | Quarterly | | | | 6/20/2026 | | | | 0.94 | | | | 26,000,000 | | | | (225,003 | ) | | | 641,087 | | | | 416,084 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | $ | 592,946 | | | $ | 5,023,970 | | | $ | 5,616,916 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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 | |
(0.45)% | | 6 Month EURIBOR | | Received | | | Semi-Annual | | | | 12/29/2023 | | | EUR | 2,800,000 | | | $ | — | | | $ | 6,531 | | | $ | 6,531 | |
(0.43) | | 6 Month EURIBOR | | Received | | | Semi-Annual | | | | 6/28/2024 | | | | 2,700,000 | | | | — | | | | 2,720 | | | | 2,720 | |
(0.40) | | 6 Month EURIBOR | | Received | | | Semi-Annual | | | | 12/30/2024 | | | | 1,200,000 | | | | — | | | | 3,363 | | | | 3,363 | |
(0.36) | | 6 Month EURIBOR | | Received | | | Semi-Annual | | | | 6/30/2025 | | | | 2,300,000 | | | | — | | | | 3,955 | | | | 3,955 | |
(0.33) | | 6 Month EURIBOR | | Received | | | Semi-Annual | | | | 12/30/2025 | | | | 1,400,000 | | | | — | | | | 4,534 | | | | 4,534 | |
(0.29) | | 6 Month EURIBOR | | Received | | | Semi-Annual | | | | 6/30/2026 | | | | 700,000 | | | | — | | | | 1,645 | | | | 1,645 | |
(0.15) | | 6 Month EURIBOR | | Received | | | Semi-Annual | | | | 3/18/2030 | | | | 16,100,000 | | | | 248,856 | | | | 11,059 | | | | 259,915 | |
– | | BRL-CDI-Compounded | | Received | | | Quarterly | | | | 1/3/2022 | | | BRL | 2,400,000 | | | | — | | | | 6,101 | | | | 6,101 | |
– | | BRL-CDI-Compounded | | Received | | | Quarterly | | | | 1/3/2022 | | | | 47,100,000 | | | | (50 | ) | | | 121,008 | | | | 120,958 | |
– | | BRL-CDI-Compounded | | Received | | | Quarterly | | | | 1/3/2022 | | | | 4,400,000 | | | | — | | | | 11,031 | | | | 11,031 | |
– | | BRL-CDI-Compounded | | Received | | | Quarterly | | | | 1/3/2022 | | | | 15,100,000 | | | | — | | | | 37,290 | | | | 37,290 | |
– | | BRL-CDI-Compounded | | Paid | | | Quarterly | | | | 1/3/2022 | | | | 280,700,000 | | | | 3,437 | | | | (575,257 | ) | | | (571,820 | ) |
– | | BRL-CDI-Compounded | | Received | | | Quarterly | | | | 1/3/2022 | | | | 3,000,000 | | | | — | | | | 7,671 | | | | 7,671 | |
– | | BRL-CDI-Compounded | | Received | | | Quarterly | | | | 1/3/2022 | | | | 70,000,000 | | | | (103,494 | ) | | | 214,504 | | | | 111,010 | |
– | | BRL-CDI-Compounded | | Received | | | Quarterly | | | | 1/3/2022 | | | | 57,900,000 | | | | — | | | | 142,696 | | | | 142,696 | |
– | | BRL-CDI-Compounded | | Received | | | Quarterly | | | | 1/3/2022 | | | | 12,200,000 | | | | — | | | | 30,722 | | | | 30,722 | |
– | | BRL-CDI-Compounded | | Paid | | | Quarterly | | | | 1/3/2022 | | | | 46,400,000 | | | | — | | | | (51,520 | ) | | | (51,520 | ) |
– | | BRL-CDI-Compounded | | Received | | | Quarterly | | | | 1/3/2022 | | | | 23,300,000 | | | | — | | | | 58,932 | | | | 58,932 | |
– | | BRL-CDI-Compounded | | Paid | | | Quarterly | | | | 1/3/2022 | | | | 870,300,000 | | | | (149,981 | ) | | | (1,103,393 | ) | | | (1,253,374 | ) |
– | | BRL-CDI-Compounded | | Paid | | | Quarterly | | | | 1/3/2022 | | | | 400,000 | | | | (2 | ) | | | (410 | ) | | | (412 | ) |
– | | BRL-CDI-Compounded | | Received | | | Quarterly | | | | 1/3/2022 | | | BRL | 17,900,000 | | | | — | | | | 43,978 | | | | 43,978 | |
– | | BRL-CDI-Compounded | | Received | | | Quarterly | | | | 1/3/2022 | | | | 12,300,000 | | | | — | | | | 30,283 | | | | 30,283 | |
– | | BRL-CDI-Compounded | | Received | | | Quarterly | | | | 1/3/2022 | | | | 15,100,000 | | | | — | | | | 37,593 | | | | 37,593 | |
– | | 6 Month EURIBOR | | Received | | | Semi-Annual | | | | 9/15/2031 | | | EUR | 118,600,000 | | | | 1,950,256 | | | | (100,587 | ) | | | 1,849,669 | |
0.50 | | 6 Month EURIBOR | | Received | | | Semi-Annual | | | | 6/17/2050 | | | | 9,000,000 | | | | (280,454 | ) | | | 225,153 | | | | (55,301 | ) |
0.50 | | 3 Month USD LIBOR | | Paid | | | Quarterly | | | | 6/16/2028 | | | $ | 72,004,000 | | | | (3,879,485 | ) | | | 519,274 | | | | (3,360,211 | ) |
0.75 | | 3 Month USD LIBOR | | Paid | | | Quarterly | | | | 6/16/2031 | | | | 286,950,000 | | | | (24,198,165 | ) | | | 6,118,656 | | | | (18,079,509 | ) |
0.75 | | 3 Month USD LIBOR | | Received | | | Quarterly | | | | 6/16/2031 | | | | 14,100,000 | | | | 681,353 | | | | 206,956 | | | | 888,309 | |
0.75 | | Sterling Overnight Index
Average | | Received | | | Annual | | | | 9/15/2031 | | | GBP | 17,100,000 | | | | (13,852 | ) | | | (35,571 | ) | | | (49,423 | ) |
0.75 | | Sterling Overnight Index
Average | | Received | | | Annual | | | | 9/15/2051 | | | | 6,000,000 | | | | 374,675 | | | | (200,491 | ) | | | 174,184 | |
1.00 | | 3 Month USD LIBOR | | Received | | | Quarterly | | | | 12/16/2030 | | | $ | 3,497,000 | | | | 16,638 | | | | 104,223 | | | | 120,861 | |
1.25 | | 3 Month USD LIBOR | | Received | | | Quarterly | | | | 6/17/2027 | | | | 2,700,000 | | | | (17,152 | ) | | | (11,308 | ) | | | (28,460 | ) |
1.25 | | 3 Month USD LIBOR | | Received | | | Quarterly | | | | 12/16/2050 | | | | 48,900,000 | | | | 4,876,960 | | | | 979,860 | | | | 5,856,820 | |
1.50 | | 3 Month USD LIBOR | | Received | | | Quarterly | | | | 6/17/2050 | | | | 81,200,000 | | | | (14,691,221 | ) | | | 19,459,844 | | | | 4,768,623 | |
2.25 | | 3 Month USD LIBOR | | Received | | | Quarterly | | | | 3/12/2050 | | | | 3,200,000 | | | | (9,657 | ) | | | (391,026 | ) | | | (400,683 | ) |
2.50 | | 3 Month USD LIBOR | | Paid | | | Quarterly | | | | 12/20/2027 | | | | 107,900,000 | | | | (996,154 | ) | | | 10,372,877 | | | | 9,376,723 | |
2.50 | | 3 Month USD LIBOR | | Paid | | | Quarterly | | | | 12/20/2027 | | | | 94,300,000 | | | | 1,568,137 | | | | 6,626,719 | | | | 8,194,856 | |
3.00 | | 6 Month Australian Bank Bill | | Paid | | | Semi-Annual | | | | 3/21/2027 | | | AUD | 109,400,000 | | | | 558,266 | | | | 9,132,175 | | | | 9,690,441 | |
3.00 | | 3 Month USD LIBOR | | Paid | | | Quarterly | | | | 6/19/2029 | | | $ | 47,200,000 | | | | 3,063,091 | | | | 3,233,585 | | | | 6,296,676 | |
4.47 | | Mexico Interbank TIIE 28 Day | | Paid | | | Lunar | | | | 2/27/2023 | | | MXN | 65,200,000 | | | | — | | | | (77,015 | ) | | | (77,015 | ) |
4.50 | | Mexico Interbank TIIE 28 Day | | Paid | | | Lunar | | | | 3/3/2023 | | | | 416,900,000 | | | | (2,390 | ) | | | (484,374 | ) | | | (486,764 | ) |
4.52 | | Mexico Interbank TIIE 28 Day | | Paid | | | Lunar | | | | 2/27/2023 | | | | 130,500,000 | | | | — | | | | (148,788 | ) | | | (148,788 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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 | |
4.55 | | Mexico Interbank TIIE 28 Day | | Paid | | | Lunar | | | | 2/27/2023 | | | | 551,500,000 | | | | 8,319 | | | | (623,515 | ) | | | (615,196 | ) |
4.57 | | Mexico Interbank TIIE 28 Day | | Paid | | | Lunar | | | | 2/27/2023 | | | | 65,200,000 | | | | — | | | | (71,927 | ) | | | (71,927 | ) |
4.58 | | Mexico Interbank TIIE 28 Day | | Received | | | Lunar | | | | 6/10/2022 | | | | 4,000,000 | | | | — | | | | 1,677 | | | | 1,677 | |
4.65 | | Mexico Interbank TIIE 28 Day | | Received | | | Lunar | | | | 5/10/2022 | | | | 15,400,000 | | | | 208 | | | | 4,581 | | | | 4,789 | |
4.74 | | Mexico Interbank TIIE 28 Day | | Received | | | Lunar | | | | 6/3/2022 | | | | 3,900,000 | | | | — | | | | 1,255 | | | | 1,255 | |
4.83 | | Mexico Interbank TIIE 28 Day | | Received | | | Lunar | | | | 5/27/2022 | | | | 1,600,000 | | | | — | | | | 438 | | | | 438 | |
4.85 | | 3 Month ZAR SAJIBOR | | Paid | | | Quarterly | | | | 1/11/2026 | | | ZAR | 151,700,000 | | | | (42,203 | ) | | | (337,258 | ) | | | (379,461 | ) |
4.85 | | 3 Month ZAR SAJIBOR | | Paid | | | Quarterly | | | | 1/7/2026 | | | | 41,600,000 | | | | (22 | ) | | | (102,362 | ) | | | (102,384 | ) |
4.92 | | 3 Month ZAR SAJIBOR | | Paid | | | Quarterly | | | | 2/1/2026 | | | | 103,000,000 | | | | (22,482 | ) | | | (228,893 | ) | | | (251,375 | ) |
5.12 | | Mexico Interbank TIIE 28 Day | | Paid | | | Lunar | | | | 5/6/2025 | | | MXN | 2,000,000 | | | | (134 | ) | | | (4,372 | ) | | | (4,506 | ) |
5.16 | | Mexico Interbank TIIE 28 Day | | Paid | | | Lunar | | | | 6/6/2025 | | | | 1,700,000 | | | | — | | | | (3,825 | ) | | | (3,825 | ) |
5.28 | | Mexico Interbank TIIE 28 Day | | Paid | | | Lunar | | | | 5/23/2025 | | | | 700,000 | | | | — | | | | (1,414 | ) | | | (1,414 | ) |
5.28 | | Mexico Interbank TIIE 28 Day | | Paid | | | Lunar | | | | 5/30/2025 | | | | 1,600,000 | | | | — | | | | (3,218 | ) | | | (3,218 | ) |
5.54 | | Mexico Interbank TIIE 28 Day | | Paid | | | Lunar | | | | 5/4/2027 | | | | 3,400,000 | | | | 1 | | | | (9,668 | ) | | | (9,667 | ) |
5.97 | | 3 Month ZAR SAJIBOR | | Received | | | Quarterly | | | | 3/10/2026 | | | ZAR | 2,100,000 | | | | 9 | | | | (792 | ) | | | (783 | ) |
7.15 | | Mexico Interbank TIIE 28 Day | | Paid | | | Lunar | | | | 6/11/2027 | | | MXN | 25,800,000 | | | | (15,624 | ) | | | 46,113 | | | | 30,489 | |
7.36 | | Mexico Interbank TIIE 28 Day | | Received | | | Lunar | | | | 8/21/2037 | | | | 900,000 | | | | 3,106 | | | | (2,918 | ) | | | 188 | |
7.37 | | Mexico Interbank TIIE 28 Day | | Paid | | | Lunar | | | | 10/11/2027 | | | | 40,300,000 | | | | (1,702 | ) | | | 69,596 | | | | 67,894 | |
7.38 | | Mexico Interbank TIIE 28 Day | | Received | | | Lunar | | | | 8/14/2037 | | | | 1,300,000 | | | | 4,378 | | | | (4,279 | ) | | | 99 | |
7.61 | | Mexico Interbank TIIE 28 Day | | Received | | | Lunar | | | | 1/23/2023 | | | MXN | 222,400,000 | | | | 92,932 | | | | (401,449 | ) | | | (308,517 | ) |
7.75 | | Mexico Interbank TIIE 28 Day | | Paid | | | Lunar | | | | 1/5/2023 | | | | 1,400,000 | | | | — | | | | 1,993 | | | | 1,993 | |
7.81 | | Mexico Interbank TIIE 28 Day | | Paid | | | Lunar | | | | 2/6/2023 | | | | 2,800,000 | | | | — | | | | 4,167 | | | | 4,167 | |
7.82 | | Mexico Interbank TIIE 28 Day | | Paid | | | Lunar | | | | 2/6/2023 | | | | 2,800,000 | | | | (251 | ) | | | 4,452 | | | | 4,201 | |
7.87 | | Mexico Interbank TIIE 28 Day | | Paid | | | Lunar | | | | 12/27/2022 | | | | 3,400,000 | | | | — | | | | 5,240 | | | | 5,240 | |
7.88 | | Mexico Interbank TIIE 28 Day | | Paid | | | Lunar | | | | 12/16/2022 | | | | 2,000,000 | | | | — | | | | 3,166 | | | | 3,166 | |
7.88 | | Mexico Interbank TIIE 28 Day | | Paid | | | Lunar | | | | 12/27/2022 | | | | 36,000,000 | | | | 6,747 | | | | 49,147 | | | | 55,894 | |
7.91 | | Mexico Interbank TIIE 28 Day | | Received | | | Lunar | | | | 12/30/2027 | | | | 800,000 | | | | — | | | | (2,537 | ) | | | (2,537 | ) |
7.98 | | Mexico Interbank TIIE 28 Day | | Received | | | Lunar | | | | 12/10/2027 | | | | 3,300,000 | | | | (19 | ) | | | (11,397 | ) | | | (11,416 | ) |
7.99 | | Mexico Interbank TIIE 28 Day | | Received | | | Lunar | | | | 12/21/2027 | | | | 100,000 | | | | — | | | | (343 | ) | | | (343 | ) |
8.01 | | Mexico Interbank TIIE 28 Day | | Received | | | Lunar | | | | 12/21/2027 | | | | 20,200,000 | | | | (7,931 | ) | | | (62,144 | ) | | | (70,075 | ) |
8.03 | | Mexico Interbank TIIE 28 Day | | Received | | | Lunar | | | | 1/31/2028 | | | | 1,600,000 | | | | 11 | | | | (5,588 | ) | | | (5,577 | ) |
8.05 | | Mexico Interbank TIIE 28 Day | | Received | | | Lunar | | | | 1/31/2028 | | | | 2,400,000 | | | | 524 | | | | (9,021 | ) | | | (8,497 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | $ | (30,974,521 | ) | | $ | 52,880,103 | | | $ | 21,905,582 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Bridge Builder Municipal Bond Fund
Schedule of Investments
June 30, 2021
| | | | | | | | |
| | | Principal
Amount | | | Value | |
MUNICIPAL BONDS – 96.03% | | | | | | | | |
Alabama – 1.98% | | | | | | | | |
Alabama Federal Aid Highway Finance Authority | | | | | | | | |
5.00%, 09/01/2031 | | $ | 4,845,000 | | | $ | 5,532,216 | |
5.00%, 09/01/2036 | | | 10,000,000 | | | | 12,108,205 | |
Alabama Public School & College Authority | | | | | | | | |
5.00%, 11/01/2025 | | | 5,000,000 | | | | 5,976,095 | |
5.00%, 06/01/2035 | | | 4,000,000 | | | | 4,632,124 | |
5.00%, 11/01/2037 | | | 47,500,000 | | | | 62,859,928 | |
Birmingham Airport Authority | | | | | | | | |
5.00%, 07/01/2028 | | | 700,000 | | | | 894,602 | |
5.00%, 07/01/2030 | | | 1,000,000 | | | | 1,331,658 | |
5.00%, 07/01/2031 | | | 350,000 | | | | 464,043 | |
5.00%, 07/01/2032 | | | 300,000 | | | | 396,663 | |
5.00%, 07/01/2034 | | | 800,000 | | | | 1,051,494 | |
Black Belt Energy Gas District | | | | | | | | |
4.00%, 10/01/2049(1) | | | 2,000,000 | | | | 2,330,292 | |
Butler County Board of Education | | | | | | | | |
3.00%, 07/01/2021 | | | 150,000 | | | | 150,000 | |
City of Montgomery AL | | | | | | | | |
4.00%, 12/01/2036 | | | 400,000 | | | | 490,571 | |
4.00%, 12/01/2037 | | | 500,000 | | | | 610,476 | |
County of Jefferson AL | | | | | | | | |
5.00%, 04/01/2023 | | | 1,550,000 | | | | 1,676,881 | |
County of Jefferson AL Sewer Revenue | | | | | | | | |
5.00%, 10/01/2044 | | | 1,500,000 | | | | 1,674,633 | |
5.25%, 10/01/2048 | | | 1,650,000 | | | | 1,850,822 | |
5.50%, 10/01/2053 | | | 715,000 | | | | 805,505 | |
Health Care Authority of the City of Huntsville | | | | | | | | |
4.00%, 06/01/2045 | | | 2,500,000 | | | | 2,927,162 | |
5.00%, 06/01/2036 | | | 2,600,000 | | | | 3,361,211 | |
5.00%, 06/01/2037 | | | 3,300,000 | | | | 4,248,472 | |
Homewood Educational Building Authority | | | | | | | | |
4.00%, 12/01/2038 | | | 1,385,000 | | | | 1,595,440 | |
5.00%, 12/01/2041 | | | 2,750,000 | | | | 2,934,648 | |
Industrial Development Board of the City of Mobile Alabama | | | | | | | | |
1.00%, 06/01/2034(1) | | | 3,870,000 | | | | 3,922,526 | |
2.90%, 07/15/2034(1) | | | 200,000 | | | | 212,033 | |
Lower Alabama Gas District | | | | | | | | |
4.00%, 12/01/2050(1) | | | 15,610,000 | | | | 17,753,954 | |
5.00%, 09/01/2027 | | | 2,710,000 | | | | 3,330,070 | |
Mobile County Board of School Commissioners | | | | | | | | |
5.00%, 03/01/2028 | | | 1,030,000 | | | | 1,225,901 | |
Montgomery Medical Clinic Board | | | | | | | | |
5.00%, 03/01/2029 | | | 1,000,000 | | | | 1,141,553 | |
Southeast Alabama Gas Supply District | | | | | | | | |
0.91% (1 Month LIBOR USD + 0.85%), 06/01/2049(2) | | | 5,365,000 | | | | 5,415,393 | |
4.00%, 06/01/2049(1) | | | 11,010,000 | | | | 12,082,671 | |
Southeast Energy Authority A Cooperative District | | | | | | | | |
4.00%, 11/01/2051(1) | | | 15,000,000 | | | | 17,919,185 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Tuscaloosa County Industrial Development Authority | | | | | | | | |
4.50%, 05/01/2032(3) | | | 2,787,000 | | | | 3,028,045 | |
5.25%, 05/01/2044(3) | | | 6,700,000 | | | | 7,851,931 | |
University of Alabama | | | | | | | | |
4.00%, 06/01/2033 | | | 1,070,000 | | | | 1,278,163 | |
Water Works Board of the City of Birmingham | | | | | | | | |
5.00%, 01/01/2023 | | | 430,000 | | | | 460,175 | |
| | | | | | | | |
Total Alabama | | | | 195,524,741 | |
| | | | | | | | |
Alaska – 0.12% | | | | | | | | |
Alaska Industrial Development & Export Authority | | | | | | | | |
5.00%, 10/01/2030 | | | 1,385,000 | | | | 1,758,473 | |
Northern Tobacco Securitization Corp. | | | | | | | | |
0.50%, 06/01/2031 | | | 965,000 | | | | 966,866 | |
4.00%, 06/01/2034 | | | 1,000,000 | | | | 1,227,886 | |
4.00%, 06/01/2050 | | | 3,570,000 | | | | 4,188,125 | |
5.00%, 06/01/2030 | | | 500,000 | | | | 662,642 | |
5.00%, 06/01/2031 | | | 875,000 | | | | 1,181,015 | |
5.00%, 06/01/2032 | | | 875,000 | | | | 1,167,880 | |
5.00%, 06/01/2033 | | | 750,000 | | | | 996,061 | |
| | | | | | | | |
Total Alaska | | | | 12,148,948 | |
| | | | | | | | |
Arizona – 2.34% | | | | | | | | |
Apache County Industrial Development Authority | | | | | | | | |
4.50%, 03/01/2030 | | | 1,000,000 | | | | 1,026,405 | |
Arizona Health Facilities Authority | | | | | | | | |
4.00%, 01/01/2043 | | | 24,000,000 | | | | 24,463,951 | |
5.00%, 02/01/2042 | | | 2,000,000 | | | | 2,054,730 | |
Arizona Industrial Development Authority | | | | | | | | |
3.00%, 12/15/2031(3) | | | 400,000 | | | | 423,289 | |
4.00%, 07/01/2031 | | | 310,000 | | | | 367,508 | |
4.00%, 12/15/2041(3) | | | 600,000 | | | | 662,889 | |
4.00%, 07/15/2050(3) | | | 1,500,000 | | | | 1,605,309 | |
4.00%, 12/15/2051(3) | | | 925,000 | | | | 1,007,297 | |
5.00%, 07/15/2040(3) | | | 835,000 | | | | 960,360 | |
5.00%, 07/01/2049(3) | | | 650,000 | | | | 725,023 | |
5.00%, 07/15/2049(3) | | | 500,000 | | | | 568,726 | |
5.00%, 07/15/2050(3) | | | 2,365,000 | | | | 2,688,656 | |
5.50%, 07/01/2052(3) | | | 655,000 | | | | 712,281 | |
Arizona State University | | | | | | | | |
5.00%, 07/01/2023 | | | 735,000 | | | | 770,584 | |
Chandler Industrial Development Authority | | | | | | | | |
5.00%, 06/01/2049(1) | | | 18,960,000 | | | | 21,394,024 | |
City of Glendale AZ | | | | | | | | |
5.00%, 07/01/2030 | | | 1,780,000 | | | | 2,205,680 | |
City of Mesa AZ | | | | | | | | |
4.00%, 07/01/2028 | | | 1,265,000 | | | | 1,506,253 | |
City of Phoenix AZ | | | | | | | | |
4.00%, 07/01/2022 | | | 900,000 | | | | 934,890 | |
City of Phoenix Civic Improvement Corp. | | | | | | | | |
4.00%, 07/01/2045 | | | 5,000,000 | | | | 5,443,539 | |
5.00%, 07/01/2025 | | | 1,295,000 | | | | 1,528,977 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.00%, 07/01/2026 | | | 1,675,000 | | | | 2,020,830 | |
5.00%, 07/01/2027 | | | 4,600,000 | | | | 5,694,160 | |
5.00%, 07/01/2028 | | | 1,070,000 | | | | 1,288,492 | |
5.00%, 07/01/2028 | | | 4,440,000 | | | | 5,626,113 | |
5.00%, 07/01/2029 | | | 725,000 | | | | 935,856 | |
5.00%, 07/01/2029 | | | 12,865,000 | | | | 13,960,551 | |
5.00%, 07/01/2030 | | | 1,000,000 | | | | 1,212,841 | |
5.00%, 07/01/2030 | | | 1,500,000 | | | | 1,627,423 | |
5.00%, 07/01/2031 | | | 725,000 | | | | 875,876 | |
5.00%, 07/01/2032 | | | 120,000 | | | | 144,618 | |
5.00%, 07/01/2032 | | | 800,000 | | | | 982,703 | |
5.00%, 07/01/2036 | | | 3,000,000 | | | | 3,674,967 | |
5.00%, 07/01/2042 | | | 540,000 | | | | 656,809 | |
5.00%, 07/01/2045 | | | 635,000 | | | | 745,082 | |
County of Pima AZ Sewer System Revenue | | | | | | | | |
5.00%, 07/01/2022 | | | 10,000,000 | | | | 10,487,310 | |
Glendale Industrial Development Authority | | | | | | | | |
4.00%, 07/01/2028 | | | 300,000 | | | | 317,070 | |
5.00%, 07/01/2033 | | | 435,000 | | | | 471,995 | |
5.00%, 07/01/2038 | | | 450,000 | | | | 484,388 | |
5.00%, 07/01/2048 | | | 915,000 | | | | 972,865 | |
5.00%, 05/15/2056 | | | 1,375,000 | | | | 1,557,270 | |
Industrial Development Authority of the City of Phoenix | | | | | | | | |
5.00%, 07/01/2030 | | | 700,000 | | | | 851,785 | |
5.00%, 07/01/2033 | | | 415,000 | | | | 509,341 | |
5.00%, 07/01/2034 | | | 765,000 | | | | 936,365 | |
5.00%, 07/01/2037 | | | 4,750,000 | | | | 5,669,325 | |
5.00%, 07/01/2038 | | | 1,295,000 | | | | 1,566,965 | |
5.00%, 07/01/2049 | | | 525,000 | | | | 622,949 | |
Industrial Development Authority of the County of Pima | | | | | | | | |
4.75%, 06/15/2037(3) | | | 2,250,000 | | | | 2,289,232 | |
Industrial Development Authority of the County of Yavapai | | | | | | | | |
0.12%, 04/01/2029(1) | | | 3,125,000 | | | | 3,124,802 | |
2.20%, 03/01/2028(1) | | | 2,100,000 | | | | 2,210,229 | |
Maricopa County Industrial Development Authority | | | | | | | | |
5.00%, 01/01/2046(1) | | | 3,210,000 | | | | 3,880,779 | |
5.00%, 07/01/2047 | | | 1,000,000 | | | | 1,249,439 | |
5.00%, 01/01/2048(1) | | | 1,300,000 | | | | 1,378,328 | |
5.75%, 01/01/2036(3) | | | 600,000 | | | | 626,666 | |
6.00%, 01/01/2048(3) | | | 635,000 | | | | 658,099 | |
Maricopa County Special Health Care District | | | | | | | | |
4.00%, 07/01/2038 | | | 19,340,000 | | | | 22,489,322 | |
5.00%, 07/01/2025 | | | 5,000,000 | | | | 5,894,667 | |
5.00%, 07/01/2026 | | | 7,000,000 | | | | 8,487,375 | |
5.00%, 07/01/2033 | | | 6,555,000 | | | | 8,799,611 | |
McAllister Academic Village LLC | | | | | | | | |
5.00%, 07/01/2021 | | | 200,000 | | | | 200,000 | |
Salt River Project Agricultural Improvement & Power District | | | | | | | | |
5.00%, 01/01/2022 | | | 1,200,000 | | | | 1,229,229 | |
5.00%, 01/01/2024 | | | 1,600,000 | | | | 1,790,005 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.00%, 01/01/2033 | | | 1,000,000 | | | | 1,250,300 | |
Salt Verde Financial Corp. | | | | | | | | |
5.00%, 12/01/2032 | | | 5,020,000 | | | | 6,654,442 | |
5.00%, 12/01/2037 | | | 3,500,000 | | | | 4,934,534 | |
State of Arizona | | | | | | | | |
5.00%, 10/01/2021 | | | 740,000 | | | | 748,831 | |
5.00%, 10/01/2024 | | | 1,075,000 | | | | 1,236,360 | |
Tempe Industrial Development Authority | | | | | | | | |
5.00%, 12/01/2050 | | | 500,000 | | | | 541,072 | |
5.00%, 12/01/2054 | | | 750,000 | | | | 810,066 | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
0.13%, 03/01/2029(1)(3) | | | 1,515,000 | | | | 1,515,000 | |
0.18%, 07/01/2049(1)(3) | | | 2,950,000 | | | | 2,950,000 | |
0.33%, 01/01/2061(1)(3) | | | 1,000,000 | | | | 1,000,000 | |
University of Arizona | | | | | | | | |
5.00%, 06/01/2038 | | | 1,955,000 | | | | 2,491,135 | |
5.00%, 06/01/2039 | | | 860,000 | | | | 1,093,558 | |
Western Maricopa Education Center District No 402 | | | | | | | | |
5.00%, 07/01/2022 | | | 2,000,000 | | | | 2,096,430 | |
5.00%, 07/01/2024 | | | 320,000 | | | | 364,453 | |
5.00%, 07/01/2025 | | | 1,410,000 | | | | 1,662,296 | |
Yuma & La Paz Counties Community College District | | | | | | | | |
4.00%, 07/01/2031 | | | 345,000 | | | | 429,381 | |
4.00%, 07/01/2032 | | | 355,000 | | | | 440,471 | |
4.00%, 07/01/2033 | | | 370,000 | | | | 457,490 | |
4.00%, 07/01/2034 | | | 375,000 | | | | 462,192 | |
4.00%, 07/01/2035 | | | 350,000 | | | | 430,691 | |
4.00%, 07/01/2036 | | | 315,000 | | | | 386,493 | |
| | | | | | | | |
Total Arizona | | | | 231,207,298 | |
| | | | | | | | |
Arkansas – 0.12% | | | | | | | | |
Arkansas Development Finance Authority | | | | | | | | |
1.20%, 03/01/2024(1) | | | 5,000,000 | | | | 5,051,310 | |
4.50%, 09/01/2049(3) | | | 2,900,000 | | | | 3,245,212 | |
4.75%, 09/01/2049(3) | | | 2,500,000 | | | | 2,872,841 | |
Arkansas Development Finance Authority Public Safety Charges Revenue | | | | | | | | |
4.00%, 06/01/2029 | | | 930,000 | | | | 1,109,990 | |
| | | | | | | | |
Total Arkansas | | | | 12,279,353 | |
| | | | | | | | |
California – 6.01% | | | | | | | | |
Abag Finance Authority for Nonprofit Corps | | | | | | | | |
5.00%, 08/01/2033 | | | 1,300,000 | | | | 1,413,072 | |
Alameda Corridor Transportation Authority | | | | | | | | |
5.00%, 10/01/2036 | | | 2,500,000 | | | | 2,950,741 | |
5.00%, 10/01/2037 | | | 2,000,000 | | | | 2,354,433 | |
Alisal Union School District | | | | | | | | |
5.25%, 08/01/2042 | | | 740,000 | | | | 930,276 | |
Anaheim Public Financing Authority | | | | | | | | |
5.00%, 09/01/2029 | | | 1,860,000 | | | | 2,359,018 | |
Apple Valley Public Financing Authority | | | | | | | | |
4.00%, 06/01/2031 | | | 585,000 | | | | 715,408 | |
Bay Area Toll Authority | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
0.48% (SIFMA Municipal Swap Index Yield + 0.45%), 04/01/2056(2) | | | 10,000,000 | | | | 10,012,501 | |
1.28% (SIFMA Municipal Swap Index Yield + 1.25%), 04/01/2036(2) | | | 1,000,000 | | | | 1,037,680 | |
2.10%, 04/01/2045(1) | | | 2,790,000 | | | | 2,803,240 | |
2.85%, 04/01/2047(1) | | | 1,000,000 | | | | 1,079,391 | |
2.95%, 04/01/2047(1) | | | 1,170,000 | | | | 1,283,884 | |
California Community Housing Agency | | | | | | | | |
4.00%, 02/01/2056(3) | | | 7,400,000 | | | | 8,032,767 | |
5.00%, 02/01/2050(3) | | | 1,600,000 | | | | 1,856,217 | |
California County Tobacco Securitization Agency | | | | | | | | |
4.00%, 06/01/2034 | | | 400,000 | | | | 494,586 | |
4.00%, 06/01/2036 | | | 275,000 | | | | 337,432 | |
4.00%, 06/01/2037 | | | 275,000 | | | | 336,184 | |
4.00%, 06/01/2038 | | | 275,000 | | | | 335,142 | |
5.00%, 06/01/2025 | | | 175,000 | | | | 206,637 | |
5.00%, 06/01/2026 | | | 215,000 | | | | 262,442 | |
5.00%, 06/01/2026 | | | 1,090,000 | | | | 1,329,868 | |
5.00%, 06/01/2027 | | | 325,000 | | | | 408,366 | |
California Health Facilities Financing Authority | | | | | | | | |
4.00%, 04/01/2035 | | | 1,930,000 | | | | 2,327,208 | |
5.00%, 11/01/2032(1) | | | 1,400,000 | | | | 1,489,198 | |
5.00%, 07/01/2034(1) | | | 1,710,000 | | | | 1,815,797 | |
5.00%, 08/15/2034 | | | 125,000 | | | | 151,396 | |
California Housing Finance | | | | | | | | |
3.50%, 11/20/2035 | | | 1,285,435 | | | | 1,504,855 | |
4.00%, 03/20/2033 | | | 3,419,637 | | | | 4,031,228 | |
4.25%, 01/15/2035 | | | 515,989 | | | | 632,799 | |
California Infrastructure & Economic Development Bank | | | | | | | | |
0.00%, 01/01/2050(1)(3) | | | 26,180,000 | | | | 26,178,641 | |
0.45%, 01/01/2050(1)(3) | | | 16,000,000 | | | | 16,000,000 | |
California Municipal Finance Authority | | | | | | | | |
0.00%, 07/01/2051(1) | | | 5,000,000 | | | | 5,000,029 | |
0.16%, 09/01/2021 | | | 6,450,000 | | | | 6,450,000 | |
0.70%, 12/01/2044(1) | | | 3,550,000 | | | | 3,580,696 | |
4.00%, 05/15/2032 | | | 750,000 | | | | 924,107 | |
4.00%, 05/15/2036 | | | 1,750,000 | | | | 2,124,606 | |
4.00%, 08/15/2037 | | | 1,560,000 | | | | 1,734,354 | |
4.00%, 08/15/2042 | | | 1,635,000 | | | | 1,804,034 | |
5.00%, 08/15/2029 | | | 1,000,000 | | | | 1,236,736 | |
5.00%, 05/15/2031 | | | 200,000 | | | | 267,761 | |
5.00%, 08/15/2034 | | | 1,065,000 | | | | 1,306,559 | |
5.00%, 12/31/2043 | | | 12,725,000 | | | | 15,492,551 | |
5.00%, 12/31/2047 | | | 555,000 | | | | 673,728 | |
5.00%, 05/15/2049 | | | 1,000,000 | | | | 1,218,921 | |
5.00%, 10/01/2049(3) | | | 515,000 | | | | 555,586 | |
5.00%, 10/01/2057(3) | | | 1,000,000 | | | | 1,074,173 | |
California Pollution Control Financing Authority | | | | | | | | |
0.15%, 08/01/2024(1)(3) | | | 15,655,000 | | | | 15,655,017 | |
5.00%, 07/01/2037(3) | | | 5,000,000 | | | | 5,286,072 | |
California Public Finance Authority | | | | | | | | |
2.13%, 11/15/2027(3) | | | 1,875,000 | | | | 1,899,983 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
2.38%, 11/15/2028(3) | | | 500,000 | | | | 506,919 | |
5.00%, 07/01/2027(3) | | | 180,000 | | | | 162,122 | |
5.00%, 11/15/2036(3) | | | 250,000 | | | | 297,012 | |
5.00%, 07/01/2047(3) | | | 140,000 | | | | 126,096 | |
5.00%, 10/15/2047 | | | 1,775,000 | | | | 2,090,680 | |
California School Finance Authority | | | | | | | | |
2.00%, 10/01/2024(3) | | | 285,000 | | | | 292,999 | |
3.00%, 10/01/2031(3) | | | 215,000 | | | | 232,320 | |
California State Public Works Board | | | | | | | | |
4.00%, 05/01/2036 | | | 350,000 | | | | 432,517 | |
4.00%, 05/01/2037 | | | 500,000 | | | | 613,992 | |
4.00%, 05/01/2038 | | | 525,000 | | | | 643,114 | |
5.00%, 03/01/2024 | | | 2,500,000 | | | | 2,812,600 | |
5.00%, 03/01/2025 | | | 3,340,000 | | | | 3,898,735 | |
5.00%, 11/01/2037 | | | 235,000 | | | | 249,159 | |
5.00%, 09/01/2039 | | | 10,705,000 | | | | 12,129,305 | |
California Statewide Communities Development Authority | | | | | | | | |
4.00%, 09/02/2022 | | | 500,000 | | | | 518,086 | |
4.00%, 09/02/2025 | | | 375,000 | | | | 410,732 | |
4.00%, 09/02/2029 | | | 200,000 | | | | 227,825 | |
4.00%, 09/02/2029 | | | 300,000 | | | | 339,271 | |
4.00%, 09/02/2031 | | | 300,000 | | | | 341,917 | |
4.00%, 04/01/2036 | | | 675,000 | | | | 807,243 | |
4.00%, 04/01/2037 | | | 700,000 | | | | 834,899 | |
4.00%, 09/02/2051 | | | 1,000,000 | | | | 1,104,828 | |
5.00%, 10/01/2028 | | | 1,100,000 | | | | 1,164,736 | |
5.00%, 11/01/2032(3) | | | 1,135,000 | | | | 1,374,033 | |
5.00%, 04/01/2035 | | | 1,300,000 | | | | 1,683,708 | |
5.00%, 01/01/2038 | | | 750,000 | | | | 893,674 | |
5.00%, 09/02/2039 | | | 745,000 | | | | 909,004 | |
5.00%, 05/15/2040 | | | 400,000 | | | | 464,681 | |
5.00%, 11/01/2041(3) | | | 875,000 | | | | 1,037,770 | |
5.00%, 04/01/2042 | | | 2,000,000 | | | | 2,071,806 | |
5.00%, 01/01/2043 | | | 1,000,000 | | | | 1,185,278 | |
5.00%, 09/02/2044 | | | 500,000 | | | | 603,828 | |
5.00%, 09/02/2044 | | | 700,000 | | | | 845,359 | |
5.00%, 09/02/2044 | | | 1,350,000 | | | | 1,639,331 | |
5.00%, 02/01/2045 | | | 1,175,000 | | | | 1,234,307 | |
5.00%, 04/01/2046(1) | | | 4,300,000 | | | | 5,669,759 | |
5.00%, 01/01/2048 | | | 2,840,000 | | | | 3,349,398 | |
5.00%, 09/02/2049 | | | 700,000 | | | | 840,868 | |
5.25%, 12/01/2048(3) | | | 800,000 | | | | 943,967 | |
5.25%, 12/01/2056(3) | | | 6,635,000 | | | | 7,490,923 | |
5.38%, 11/01/2049(3) | | | 100,000 | | | | 107,832 | |
5.50%, 12/01/2054 | | | 2,270,000 | | | | 2,577,767 | |
5.50%, 12/01/2058(3) | | | 6,315,000 | | | | 7,512,112 | |
City of Long Beach CA Harbor Revenue | | | | | | | | |
4.00%, 07/15/2021 | | | 6,000,000 | | | | 6,008,498 | |
City of Los Angeles Department of Airports | | | | | | | | |
4.75%, 05/15/2035 | | | 8,340,000 | | | | 9,452,438 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.00%, 05/15/2022 | | | 200,000 | | | | 208,480 | |
5.00%, 05/15/2025 | | | 2,000,000 | | | | 2,339,370 | |
5.00%, 05/15/2026 | | | 520,000 | | | | 626,997 | |
5.00%, 05/15/2026 | | | 1,455,000 | | | | 1,755,937 | |
5.00%, 05/15/2027 | | | 1,325,000 | | | | 1,639,991 | |
5.00%, 05/15/2028 | | | 1,150,000 | | | | 1,455,698 | |
5.00%, 05/15/2031 | | | 10,000,000 | | | | 12,753,832 | |
5.00%, 05/15/2033 | | | 1,325,000 | | | | 1,660,463 | |
5.00%, 05/15/2037 | | | 9,795,000 | | | | 12,587,722 | |
5.00%, 05/15/2038 | | | 2,000,000 | | | | 2,612,855 | |
5.00%, 05/15/2039 | | | 2,150,000 | | | | 2,801,772 | |
5.00%, 05/15/2040 | | | 1,095,000 | | | | 1,260,344 | |
5.25%, 05/15/2031 | | | 4,805,000 | | | | 6,104,016 | |
5.25%, 05/15/2032 | | | 3,210,000 | | | | 4,080,509 | |
County of Sacramento CA Airport System Revenue | | | | | | | | |
5.00%, 07/01/2034 | | | 3,000,000 | | | | 3,706,598 | |
CSCDA Community Improvement Authority | | | | | | | | |
4.00%, 08/01/2056(3) | | | 1,240,000 | | | | 1,374,467 | |
4.00%, 09/01/2056(3) | | | 825,000 | | | | 914,331 | |
4.00%, 10/01/2056(3) | | | 5,125,000 | | | | 5,621,489 | |
4.00%, 12/01/2056(3) | | | 3,750,000 | | | | 4,090,215 | |
Cucamonga Valley Water District | | | | | | | | |
5.38%, 09/01/2035 | | | 3,320,000 | | | | 3,348,408 | |
Deutsche Bank Spears/Lifers Trust | | | | | | | | |
0.49%, 12/01/2052(1)(3) | | | 10,000,000 | | | | 10,000,000 | |
Elk Grove Unified School District | | | | | | | | |
5.00%, 08/01/2021 | | | 150,000 | | | | 150,592 | |
Foothill-de Anza Community College District | | | | | | | | |
5.00%, 04/01/2035 | | | 250,000 | | | | 288,468 | |
5.00%, 04/01/2036 | | | 200,000 | | | | 230,774 | |
Foothill-Eastern Transportation Corridor Agency | | | | | | | | |
4.00%, 01/15/2046 | | | 9,975,000 | | | | 11,815,252 | |
Fresno Unified School District | | | | | | | | |
0.00%, 08/01/2034 | | | 500,000 | | | | 205,169 | |
Golden State Tobacco Securitization Corp. | | | | | | | | |
0.00%, 06/01/2024 | | | 1,000,000 | | | | 984,710 | |
5.00%, 06/01/2022 | | | 400,000 | | | | 417,599 | |
5.00%, 06/01/2023 | | | 455,000 | | | | 496,255 | |
5.00%, 06/01/2024 | | | 255,000 | | | | 289,228 | |
5.00%, 06/01/2047 | | | 1,160,000 | | | | 1,199,177 | |
5.25%, 06/01/2047 | | | 3,935,000 | | | | 4,080,475 | |
5.30%, 06/01/2037 | | | 6,000,000 | | | | 6,240,031 | |
Huntington Beach Union High School District | | | | | | | | |
5.00%, 08/01/2022 | | | 200,000 | | | | 210,575 | |
Irvine Unified School District | | | | | | | | |
5.00%, 03/01/2057 | | | 800,000 | | | | 946,284 | |
Los Angeles County Public Works Financing Authority | | | | | | | | |
5.00%, 12/01/2029 | | | 1,200,000 | | | | 1,431,212 | |
5.00%, 12/01/2030 | | | 2,520,000 | | | | 3,001,900 | |
Los Angeles Regional Airports Improvement Corp. | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
4.50%, 01/01/2027 | | | 845,000 | | | | 862,111 | |
Los Angeles Unified School District | | | | | | | | |
4.00%, 07/01/2033 | | | 5,000,000 | | | | 6,152,053 | |
4.00%, 07/01/2036 | | | 1,190,000 | | | | 1,451,645 | |
4.00%, 07/01/2037 | | | 3,000,000 | | | | 3,643,897 | |
5.00%, 07/01/2021 | | | 200,000 | | | | 200,000 | |
5.00%, 07/01/2027 | | | 2,385,000 | | | | 2,996,661 | |
Mendocino-Lake Community College District | | | | | | | | |
5.00%, 08/01/2027 | | | 1,700,000 | | | | 2,001,439 | |
5.00%, 08/01/2028 | | | 1,000,000 | | | | 1,174,662 | |
5.00%, 08/01/2029 | | | 775,000 | | | | 910,363 | |
5.00%, 08/01/2030 | | | 2,530,000 | | | | 2,971,896 | |
Merced Union High School District | | | | | | | | |
0.00%, 08/01/2051 | | | 1,000,000 | | | | 112,385 | |
Metropolitan Water District of Southern California | | | | | | | | |
0.17% (SIFMA Municipal Swap Index Yield + 0.14%), 07/01/2037(2) | | | 6,650,000 | | | | 6,650,011 | |
0.28% (SIFMA Municipal Swap Index Yield + 0.14%), 07/01/2037(2) | | | 2,530,000 | | | | 2,530,004 | |
Mizuho Floater/Residual Trust | | | | | | | | |
0.28%, 12/01/2039(1)(3)(6) | | | 8,800,000 | | | | 8,800,000 | |
Municipal Improvement Corp. of Los Angeles | | | | | | | | |
5.00%, 11/01/2021 | | | 300,000 | | | | 304,848 | |
Natomas Unified School District | | | | | | | | |
4.00%, 08/01/2045 | | | 4,000,000 | | | | 4,555,388 | |
Norman Y Mineta San Jose International Airport SJC | | | | | | | | |
4.00%, 03/01/2034 | | | 4,000,000 | | | | 4,870,021 | |
5.00%, 03/01/2022 | | | 1,675,000 | | | | 1,727,738 | |
5.00%, 03/01/2028 | | | 1,340,000 | | | | 1,639,920 | |
5.00%, 03/01/2030 | | | 1,700,000 | | | | 2,067,247 | |
Ontario International Airport Authority | | | | | | | | |
4.00%, 05/15/2037 | | | 695,000 | | | | 839,160 | |
4.00%, 05/15/2039 | | | 850,000 | | | | 1,021,160 | |
4.00%, 05/15/2040 | | | 635,000 | | | | 761,486 | |
4.00%, 05/15/2041 | | | 400,000 | | | | 478,382 | |
Orange County Community Facilities District | | | | | | | | |
5.25%, 08/15/2045 | | | 975,000 | | | | 1,109,356 | |
Orchard School District | | | | | | | | |
0.00%, 08/01/2022 | | | 2,940,000 | | | | 2,930,093 | |
Port of Los Angeles | | | | | | | | |
5.00%, 08/01/2027 | | | 1,810,000 | | | | 2,046,491 | |
Port of Oakland | | | | | | | | |
5.00%, 05/01/2022 | | | 2,400,000 | | | | 2,489,199 | |
5.00%, 05/01/2023 | | | 2,420,000 | | | | 2,615,293 | |
5.00%, 05/01/2024 | | | 2,070,000 | | | | 2,324,533 | |
5.00%, 05/01/2025 | | | 9,600,000 | | | | 11,147,201 | |
5.00%, 05/01/2026 | | | 1,170,000 | | | | 1,399,283 | |
5.00%, 05/01/2026 | | | 4,450,000 | | | | 4,627,159 | |
5.00%, 05/01/2027 | | | 3,970,000 | | | | 4,875,858 | |
5.00%, 05/01/2028 | | | 1,875,000 | | | | 2,354,449 | |
5.00%, 05/01/2029 | | | 1,875,000 | | | | 2,402,863 | |
5.00%, 11/01/2029 | | | 1,875,000 | | | | 2,425,445 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Riverside County Community Facilities Districts | | | | | | | | |
4.00%, 09/01/2040 | | | 1,500,000 | | | | 1,790,305 | |
Sacramento City Financing Authority | | | | | | | | |
5.00%, 12/01/2033 | | | 875,000 | | | | 1,032,269 | |
San Diego County Regional Airport Authority | | | | | | | | |
5.00%, 07/01/2030 | | | 205,000 | | | | 267,276 | |
San Francisco City & County Airport Comm-San Francisco International Airport | | | | | | | | |
5.00%, 05/01/2027 | | | 3,000,000 | | | | 3,117,913 | |
5.00%, 05/01/2037 | | | 945,000 | | | | 1,188,709 | |
San Mateo Foster City Public Financing Authority | | | | | | | | |
5.00%, 08/01/2025 | | | 890,000 | | | | 1,052,556 | |
Santa Ana Unified School District | | | | | | | | |
5.50%, 08/01/2022 | | | 200,000 | | | | 211,632 | |
Santa Monica-Malibu Unified School District | | | | | | | | |
4.00%, 08/01/2021 | | | 300,000 | | | | 300,945 | |
Southern California Public Power Authority | | | | | | | | |
4.00%, 07/01/2021 | | | 250,000 | | | | 250,000 | |
State of California | | | | | | | | |
4.00%, 12/01/2022 | | | 2,485,000 | | | | 2,620,592 | |
4.00%, 03/01/2025 | | | 3,500,000 | | | | 3,963,793 | |
4.00%, 03/01/2026 | | | 375,000 | | | | 435,778 | |
4.00%, 11/01/2035 | | | 1,750,000 | | | | 2,172,800 | |
4.00%, 03/01/2036 | | | 2,385,000 | | | | 2,915,015 | |
4.00%, 11/01/2036 | | | 2,735,000 | | | | 3,386,838 | |
4.00%, 11/01/2037 | | | 1,625,000 | | | | 2,006,568 | |
4.00%, 11/01/2041 | | | 2,000,000 | | | | 2,262,592 | |
5.00%, 08/01/2022 | | | 1,535,000 | | | | 1,615,819 | |
5.00%, 12/01/2022 | | | 1,115,000 | | | | 1,191,583 | |
5.00%, 08/01/2023 | | | 3,000,000 | | | | 3,300,997 | |
5.00%, 12/01/2023 | | | 2,980,000 | | | | 3,324,267 | |
5.00%, 05/01/2024 | | | 1,945,000 | | | | 2,204,750 | |
5.00%, 12/01/2024 | | | 1,255,000 | | | | 1,453,940 | |
5.00%, 09/01/2026 | | | 2,000,000 | | | | 2,453,795 | |
5.00%, 08/01/2027 | | | 620,000 | | | | 734,070 | |
5.00%, 11/01/2028 | | | 8,000,000 | | | | 10,353,661 | |
5.00%, 08/01/2029 | | | 935,000 | | | | 1,142,179 | |
5.00%, 09/01/2029 | | | 370,000 | | | | 453,106 | |
5.00%, 11/01/2029 | | | 3,170,000 | | | | 3,987,063 | |
5.00%, 04/01/2030 | | | 5,130,000 | | | | 6,824,862 | |
5.00%, 08/01/2030 | | | 3,500,000 | | | | 4,271,606 | |
5.00%, 08/01/2030 | | | 3,910,000 | | | | 4,880,024 | |
5.00%, 11/01/2032 | | | 11,555,000 | | | | 15,439,962 | |
5.00%, 11/01/2036 | | | 25,000,000 | | | | 33,124,355 | |
State of California Department of Water Resources Power Supply Revenue | | | | | | | | |
5.00%, 05/01/2022 | | | 215,000 | | | | 223,744 | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
0.10%, 08/01/2055(1)(3) | | | 1,000,000 | | | | 1,000,000 | |
0.11%, 10/01/2049(1)(3) | | | 1,060,000 | | | | 1,060,000 | |
Tobacco Securitization Authority of Southern California | | | | | | | | |
5.00%, 06/01/2023 | | | 1,000,000 | | | | 1,092,551 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Transbay Joint Powers Authority | | | | | | | | |
5.00%, 10/01/2033 | | | 250,000 | | | | 320,529 | |
5.00%, 10/01/2034 | | | 250,000 | | | | 319,753 | |
5.00%, 10/01/2035 | | | 240,000 | | | | 306,449 | |
5.00%, 10/01/2038 | | | 600,000 | | | | 761,038 | |
Tustin Unified School District | | | | | | | | |
4.00%, 09/01/2034 | | | 125,000 | | | | 138,627 | |
4.00%, 09/01/2035 | | | 255,000 | | | | 282,236 | |
| | | | | | | | |
Total California | | | | 594,726,210 | |
| | | | | | | | |
Colorado – 2.04% | | | | | | | | |
Adams 12 Five Star Schools | | | | | | | | |
5.00%, 12/15/2028 | | | 2,050,000 | | | | 2,522,989 | |
Amber Creek Metropolitan District | | | | | | | | |
5.00%, 12/01/2037 | | | 750,000 | | | | 792,631 | |
5.13%, 12/01/2047 | | | 1,050,000 | | | | 1,106,543 | |
Arapahoe County School District No 6 Littleton | | | | | | | | |
5.50%, 12/01/2033 | | | 1,150,000 | | | | 1,524,077 | |
Aurora Crossroads Metropolitan District No 2 | | | | | | | | |
5.00%, 12/01/2040 | | | 500,000 | | | | 551,754 | |
5.00%, 12/01/2050 | | | 1,000,000 | | | | 1,092,591 | |
Belleview Station Metropolitan District No 2 | | | | | | | | |
5.00%, 12/01/2036 | | | 500,000 | | | | 519,062 | |
Berthoud-Heritage Metropolitan District No 1 | | | | | | | | |
5.63%, 12/01/2048 | | | 1,400,000 | | | | 1,533,639 | |
Brighton Crossing Metropolitan District No 4 | | | | | | | | |
5.00%, 12/01/2037 | | | 525,000 | | | | 556,937 | |
Brighton Crossing Metropolitan District No 6 | | | | | | | | |
5.00%, 12/01/2040 | | | 515,000 | | | | 574,812 | |
5.00%, 12/01/2050 | | | 1,340,000 | | | | 1,481,693 | |
Broadway Station Metropolitan District No 2 | | | | | | | | |
5.00%, 12/01/2035 | | | 730,000 | | | | 803,742 | |
5.13%, 12/01/2048 | | | 1,450,000 | | | | 1,584,644 | |
Canyons Metropolitan District No 5 | | | | | | | | |
6.00%, 12/01/2037 | | | 500,000 | | | | 529,207 | |
City & County of Denver CO | | | | | | | | |
5.00%, 10/01/2032 | | | 9,405,000 | | | | 10,049,161 | |
City & County of Denver CO Airport System Revenue | | | | | | | | |
4.00%, 11/15/2023 | | | 4,465,000 | | | | 4,837,483 | |
5.00%, 11/15/2025 | | | 4,390,000 | | | | 5,209,606 | |
5.00%, 11/15/2029 | | | 3,105,000 | | | | 3,852,500 | |
5.00%, 12/01/2029 | | | 1,130,000 | | | | 1,427,030 | |
5.00%, 11/15/2031(1) | | | 1,000,000 | | | | 1,186,698 | |
5.00%, 12/01/2031 | | | 7,045,000 | | | | 8,837,188 | |
5.00%, 11/15/2032 | | | 2,175,000 | | | | 2,899,673 | |
5.00%, 12/01/2032 | | | 385,000 | | | | 482,687 | |
5.00%, 12/01/2035 | | | 5,520,000 | | | | 6,878,826 | |
City of Colorado Springs CO Utilities System Revenue | | | | | | | | |
5.00%, 11/15/2035 | | | 1,500,000 | | | | 1,992,722 | |
Colorado Educational & Cultural Facilities Authority | | | | | | | | |
4.00%, 08/01/2023 | | | 135,000 | | | | 145,185 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
4.00%, 08/01/2024 | | | 165,000 | | | | 182,698 | |
4.00%, 05/01/2026 | | | 80,000 | | | | 89,521 | |
4.00%, 05/01/2029 | | | 70,000 | | | | 80,432 | |
4.00%, 05/01/2030 | | | 65,000 | | | | 74,565 | |
4.00%, 05/01/2036 | | | 75,000 | | | | 85,137 | |
4.00%, 07/01/2036 | | | 1,295,000 | | | | 1,559,645 | |
Colorado Health Facilities Authority | | | | | | | | |
0.00%, 07/15/2022 | | | 980,000 | | | | 977,264 | |
2.80%, 05/15/2042(1) | | | 3,695,000 | | | | 3,814,221 | |
4.00%, 11/01/2039 | | | 3,775,000 | | | | 4,495,961 | |
4.00%, 08/01/2044 | | | 1,520,000 | | | | 1,732,757 | |
5.00%, 12/01/2022 | | | 1,855,000 | | | | 1,980,923 | |
5.00%, 11/01/2023 | | | 1,350,000 | | | | 1,496,846 | |
5.00%, 11/01/2024 | | | 1,125,000 | | | | 1,293,328 | |
5.00%, 11/01/2025 | | | 1,715,000 | | | | 2,037,611 | |
5.00%, 11/01/2026 | | | 1,330,000 | | | | 1,626,534 | |
5.00%, 01/01/2031 | | | 100,000 | | | | 108,277 | |
5.00%, 11/15/2036(1) | | | 6,770,000 | | | | 7,535,024 | |
5.00%, 01/01/2037 | | | 250,000 | | | | 268,535 | |
5.00%, 10/01/2038(1) | | | 630,000 | | | | 640,516 | |
5.00%, 08/01/2044 | | | 6,110,000 | | | | 7,591,373 | |
5.00%, 09/01/2046 | | | 1,000,000 | | | | 1,150,816 | |
5.00%, 08/01/2049(1) | | | 3,830,000 | | | | 4,591,335 | |
5.00%, 11/15/2049(1) | | | 2,585,000 | | | | 3,170,315 | |
5.25%, 01/01/2040 | | | 540,000 | | | | 579,817 | |
6.13%, 12/01/2045(3) | | | 375,000 | | | | 406,305 | |
6.25%, 12/01/2050(3) | | | 205,000 | | | | 222,706 | |
Colorado High Performance Transportation Enterprise | | | | | | | | |
5.00%, 12/31/2047 | | | 645,000 | | | | 739,133 | |
5.00%, 12/31/2051 | | | 2,150,000 | | | | 2,459,767 | |
5.00%, 12/31/2056 | | | 4,790,000 | | | | 5,471,216 | |
Colorado Housing & Finance Authority | | | | | | | | |
4.25%, 11/01/2049 | | | 535,000 | | | | 599,266 | |
4.25%, 11/01/2049 | | | 1,000,000 | | | | 1,119,230 | |
Colorado International Center Metropolitan District No 14 | | | | | | | | |
5.88%, 12/01/2046 | | | 635,000 | | | | 689,985 | |
Copperleaf Metropolitan District No 4 | | | | | | | | |
5.00%, 12/01/2039 | | | 775,000 | | | | 851,533 | |
5.00%, 12/01/2049 | | | 1,500,000 | | | | 1,634,282 | |
Cornerstar Metropolitan District | | | | | | | | |
5.13%, 12/01/2037 | | | 500,000 | | | | 529,226 | |
Cottonwood Highlands Metropolitan District No 1 | | | | | | | | |
5.00%, 12/01/2049 | | | 900,000 | | | | 970,214 | |
County of El Paso CO | | | | | | | | |
4.00%, 12/01/2033 | | | 800,000 | | | | 954,302 | |
4.00%, 12/01/2035 | | | 910,000 | | | | 1,077,225 | |
5.00%, 12/01/2031 | | | 600,000 | | | | 782,033 | |
Denver Convention Center Hotel Authority | | | | | | | | |
5.00%, 12/01/2022 | | | 4,950,000 | | | | 5,266,639 | |
Denver Gateway Center Metropolitan District | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.50%, 12/01/2038 | | | 1,360,000 | | | | 1,475,168 | |
5.63%, 12/01/2048 | | | 2,130,000 | | | | 2,303,500 | |
Denver Health & Hospital Authority | | | | | | | | |
5.00%, 12/01/2048 | | | 1,800,000 | | | | 2,178,825 | |
Denver International Business Center Metropolitan District No 1 | | | | | | | | |
6.00%, 12/01/2048 | | | 500,000 | | | | 543,801 | |
Denver Urban Renewal Authority | | | | | | | | |
5.25%, 12/01/2039(3) | | | 1,000,000 | | | | 1,099,758 | |
E-470 Public Highway Authority | | | | | | | | |
0.38% (Secured Overnight Financing Rate + 0.35%), 09/01/2039(2) | | | 2,195,000 | | | | 2,196,792 | |
5.00%, 09/01/2040 | | | 5,165,000 | | | | 5,843,222 | |
Eagle County Airport Terminal Corp. | | | | | | | | |
5.00%, 05/01/2033 | | | 2,000,000 | | | | 2,370,487 | |
Lewis Pointe Metropolitan District | | | | | | | | |
4.00%, 12/01/2029 | | | 270,000 | | | | 326,650 | |
Mesa County Valley School District No 51 Grand Junction CO | | | | | | | | |
5.25%, 12/01/2033 | | | 2,000,000 | | | | 2,541,538 | |
Mirabelle Metropolitan District No 2 | | | | | | | | |
5.00%, 12/01/2039 | | | 700,000 | | | | 766,335 | |
Mizuho Floater/Residual Trust | | | | | | | | |
0.28%, 07/01/2034(1)(3) | | | 300,000 | | | | 300,000 | |
Painted Prairie Metropolitan District No 2 | | | | | | | | |
5.25%, 12/01/2048 | | | 500,000 | | | | 528,321 | |
Park Creek Metropolitan District | | | | | | | | |
5.00%, 12/01/2045 | | | 1,775,000 | | | | 2,030,934 | |
Peak Metropolitan District No 1 | | | | | | | | |
4.00%, 12/01/2035(3) | | | 500,000 | | | | 539,223 | |
5.00%, 12/01/2041(3) | | | 1,000,000 | | | | 1,112,979 | |
Pueblo Urban Renewal Authority | | | | | | | | |
0.00%, 12/01/2025(3) | | | 250,000 | | | | 217,029 | |
4.75%, 12/01/2045(3) | | | 900,000 | | | | 1,032,979 | |
Rampart Range Metropolitan District No 1 | | | | | | | | |
5.00%, 12/01/2047 | | | 650,000 | | | | 788,236 | |
Regional Transportation District | | | | | | | | |
4.00%, 01/15/2033 | | | 850,000 | | | | 1,032,122 | |
4.00%, 07/15/2033 | | | 270,000 | | | | 338,601 | |
4.00%, 07/15/2034 | | | 750,000 | | | | 904,994 | |
5.00%, 06/01/2031 | | | 1,315,000 | | | | 1,685,621 | |
5.00%, 07/15/2032 | | | 600,000 | | | | 784,005 | |
Reunion Metropolitan District | | | | | | | | |
3.63%, 12/01/2044 | | | 1,205,000 | | | | 1,199,317 | |
Serenity Ridge Metropolitan District No 2 | | | | | | | | |
5.13%, 12/01/2037 | | | 1,290,000 | | | | 1,393,073 | |
Sierra Ridge Metropolitan District No 2 | | | | | | | | |
4.50%, 12/01/2031 | | | 749,000 | | | | 777,123 | |
5.50%, 12/01/2046 | | | 1,500,000 | | | | 1,558,697 | |
Solaris Metropolitan District No 3 | | | | | | | | |
5.00%, 12/01/2036 | | | 850,000 | | | | 887,008 | |
5.00%, 12/01/2046 | | | 1,880,000 | | | | 1,960,153 | |
Southglenn Metropolitan District | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.00%, 12/01/2046 | | | 500,000 | | | | 518,601 | |
Southlands Metropolitan District No 1 | | | | | | | | |
3.00%, 12/01/2022 | | | 219,000 | | | | 222,899 | |
3.50%, 12/01/2027 | | | 500,000 | | | | 542,357 | |
St Vrain Lakes Metropolitan District No 2 | | | | | | | | |
5.00%, 12/01/2037 | | | 500,000 | | | | 533,918 | |
STC Metropolitan District No 2 | | | | | | | | |
3.00%, 12/01/2025 | | | 555,000 | | | | 583,997 | |
5.00%, 12/01/2038 | | | 500,000 | | | | 549,553 | |
University of Colorado | | | | | | | | |
2.00%, 06/01/2054(1) | | | 5,955,000 | | | | 6,249,351 | |
5.00%, 06/01/2047 | | | 500,000 | | | | 608,264 | |
University of Colorado Hospital Authority | | | | | | | | |
5.00%, 11/15/2038(1) | | | 1,020,000 | | | | 1,027,984 | |
5.00%, 11/15/2047(1) | | | 9,530,000 | | | | 10,766,197 | |
Vauxmont Metropolitan District | | | | | | | | |
5.00%, 12/15/2021 | | | 100,000 | | | | 102,023 | |
5.00%, 12/01/2024 | | | 200,000 | | | | 228,910 | |
5.00%, 12/15/2024 | | | 135,000 | | | | 154,671 | |
5.00%, 12/01/2025 | | | 180,000 | | | | 212,524 | |
5.00%, 12/15/2025 | | | 85,000 | | | | 99,822 | |
5.00%, 12/01/2026 | | | 195,000 | | | | 236,721 | |
5.00%, 12/01/2027 | | | 205,000 | | | | 255,040 | |
5.00%, 12/01/2028 | | | 210,000 | | | | 266,939 | |
5.00%, 12/15/2028 | | | 130,000 | | | | 151,935 | |
5.00%, 12/01/2029 | | | 210,000 | | | | 272,062 | |
5.00%, 12/15/2029 | | | 5,000 | | | | 5,823 | |
5.00%, 12/15/2030 | | | 500,000 | | | | 580,651 | |
5.00%, 12/01/2031 | | | 230,000 | | | | 296,167 | |
5.00%, 12/01/2032 | | | 250,000 | | | | 321,045 | |
5.00%, 12/01/2035 | | | 100,000 | | | | 127,554 | |
Willow Bend Metropolitan District | | | | | | | | |
5.00%, 12/01/2039 | | | 600,000 | | | | 652,704 | |
5.00%, 12/01/2049 | | | 1,000,000 | | | | 1,082,112 | |
| | | | | | | | |
Total Colorado | | | | 201,275,908 | |
| | | | | | | | |
Connecticut – 2.43% | | | | | | | | |
City of Bridgeport CT | | | | | | | | |
4.00%, 06/01/2037 | | | 2,460,000 | | | | 2,853,917 | |
5.00%, 09/15/2029 | | | 2,600,000 | | | | 3,381,180 | |
5.00%, 09/15/2030 | | | 2,250,000 | | | | 2,906,327 | |
5.00%, 06/01/2033 | | | 1,985,000 | | | | 2,525,202 | |
City of Hartford CT | | | | | | | | |
5.00%, 07/15/2021 | | | 3,300,000 | | | | 3,305,767 | |
5.00%, 07/15/2022 | | | 2,250,000 | | | | 2,362,671 | |
5.00%, 07/15/2023 | | | 2,000,000 | | | | 2,194,845 | |
5.00%, 07/15/2026 | | | 2,430,000 | | | | 2,854,230 | |
City of New Britain CT | | | | | | | | |
5.00%, 03/01/2027 | | | 1,260,000 | | | | 1,532,464 | |
5.00%, 03/01/2028 | | | 1,490,000 | | | | 1,802,434 | |
5.00%, 03/01/2033 | | | 1,900,000 | | | | 2,255,572 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
City of New Haven CT | | | | | | | | |
5.00%, 08/15/2023 | | | 900,000 | | | | 990,510 | |
5.00%, 08/15/2029 | | | 2,000,000 | | | | 2,400,065 | |
5.00%, 08/15/2031 | | | 1,000,000 | | | | 1,193,960 | |
5.25%, 08/01/2023 | | | 1,115,000 | | | | 1,227,735 | |
City of Norwalk CT | | | | | | | | |
4.00%, 07/01/2024 | | | 250,000 | | | | 250,000 | |
City of West Haven CT | | | | | | | | |
5.00%, 08/01/2021 | | | 2,495,000 | | | | 2,504,414 | |
Connecticut Housing Finance Authority | | | | | | | | |
2.25%, 11/15/2023 | | | 1,250,000 | | | | 1,291,676 | |
3.00%, 11/15/2050 | | | 7,335,000 | | | | 7,948,183 | |
3.40%, 11/15/2042 | | | 760,000 | | | | 767,708 | |
Connecticut State Health & Educational Facilities Authority | | | | | | | | |
0.38%, 07/01/2035(1) | | | 5,885,000 | | | | 5,887,356 | |
0.55%, 07/01/2037(1) | | | 4,500,000 | | | | 4,518,201 | |
1.10%, 07/01/2048(1) | | | 9,000,000 | | | | 9,127,197 | |
1.80%, 07/01/2049(1) | | | 2,005,000 | | | | 2,077,307 | |
2.00%, 07/01/2042(1) | | | 4,370,000 | | | | 4,666,431 | |
2.05%, 07/01/2035(1) | | | 6,570,000 | | | | 6,573,435 | |
4.00%, 07/01/2021(3) | | | 875,000 | | | | 875,000 | |
4.00%, 07/01/2022(3) | | | 1,010,000 | | | | 1,021,147 | |
4.00%, 07/01/2044 | | | 710,000 | | | | 796,779 | |
4.00%, 07/01/2046 | | | 880,000 | | | | 957,710 | |
4.00%, 07/01/2049 | | | 3,370,000 | | | | 3,766,887 | |
5.00%, 07/01/2021 | | | 250,000 | | | | 250,000 | |
5.00%, 07/01/2022 | | | 150,000 | | | | 157,047 | |
5.00%, 07/01/2023 | | | 325,000 | | | | 354,922 | |
5.00%, 11/01/2023 | | | 695,000 | | | | 770,083 | |
5.00%, 07/01/2024 | | | 365,000 | | | | 414,179 | |
5.00%, 11/01/2024 | | | 475,000 | | | | 545,561 | |
5.00%, 07/01/2025 | | | 150,000 | | | | 176,058 | |
5.00%, 07/01/2025(3) | | | 435,000 | | | | 465,078 | |
5.00%, 06/01/2027 | | | 200,000 | | | | 248,747 | |
5.00%, 06/01/2028 | | | 400,000 | | | | 510,524 | |
5.00%, 11/01/2028 | | | 1,245,000 | | | | 1,589,940 | |
5.00%, 06/01/2029 | | | 250,000 | | | | 326,150 | |
5.00%, 07/01/2029(3) | | | 440,000 | | | | 482,203 | |
5.00%, 07/01/2029 | | | 1,000,000 | | | | 1,255,182 | |
5.00%, 06/01/2031 | | | 600,000 | | | | 789,312 | |
5.00%, 07/01/2032 | | | 700,000 | | | | 909,617 | |
5.00%, 07/01/2032 | | | 2,000,000 | | | | 2,569,456 | |
5.00%, 07/01/2033 | | | 600,000 | | | | 777,268 | |
5.00%, 07/01/2034 | | | 700,000 | | | | 904,238 | |
5.00%, 07/01/2035 | | | 525,000 | | | | 677,217 | |
5.00%, 07/01/2036 | | | 1,000,000 | | | | 1,286,599 | |
5.00%, 07/01/2043 | | | 1,750,000 | | | | 1,981,570 | |
5.00%, 07/01/2049(3) | | | 1,550,000 | | | | 1,627,647 | |
5.00%, 07/01/2053(1) | | | 2,625,000 | | | | 3,206,539 | |
5.00%, 07/01/2053(1) | | | 3,445,000 | | | | 3,967,077 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Mattabassett District | | | | | | | | |
5.00%, 08/01/2021 | | | 245,000 | | | | 245,935 | |
5.00%, 08/01/2022 | | | 195,000 | | | | 204,874 | |
Mohegan Tribe of Indians of Connecticut | | | | | | | | |
5.25%, 02/01/2022(3) | | | 450,000 | | | | 458,266 | |
State of Connecticut | | | | | | | | |
3.00%, 01/15/2022 | | | 475,000 | | | | 482,332 | |
3.00%, 01/15/2023 | | | 525,000 | | | | 548,026 | |
3.00%, 01/15/2024 | | | 450,000 | | | | 481,001 | |
4.00%, 01/15/2024 | | | 290,000 | | | | 317,303 | |
5.00%, 07/15/2022 | | | 1,455,000 | | | | 1,522,381 | |
5.00%, 09/01/2022 | | | 5,725,000 | | | | 6,049,425 | |
5.00%, 11/01/2022 | | | 315,000 | | | | 320,046 | |
5.00%, 04/15/2023 | | | 3,200,000 | | | �� | 3,476,690 | |
5.00%, 07/15/2023 | | | 1,160,000 | | | | 1,269,196 | |
5.00%, 01/15/2026 | | | 850,000 | | | | 1,021,041 | |
5.00%, 04/15/2026 | | | 1,500,000 | | | | 1,816,000 | |
5.00%, 06/15/2027 | | | 1,680,000 | | | | 1,974,074 | |
5.00%, 09/15/2027 | | | 1,000,000 | | | | 1,258,516 | |
5.00%, 03/01/2029 | | | 1,500,000 | | | | 1,677,967 | |
5.00%, 04/15/2030 | | | 565,000 | | | | 729,800 | |
5.00%, 06/15/2032 | | | 710,000 | | | | 826,458 | |
5.00%, 11/15/2032 | | | 200,000 | | | | 236,044 | |
5.00%, 04/15/2034 | | | 645,000 | | | | 823,332 | |
5.00%, 09/15/2034 | | | 1,000,000 | | | | 1,258,910 | |
5.00%, 10/15/2034 | | | 1,620,000 | | | | 1,958,964 | |
5.00%, 04/15/2035 | | | 3,250,000 | | | | 4,142,293 | |
State of Connecticut Special Tax Revenue | | | | | | | | |
4.00%, 05/01/2036 | | | 3,260,000 | | | | 3,940,165 | |
4.00%, 05/01/2038 | | | 2,070,000 | | | | 2,544,189 | |
4.00%, 05/01/2039 | | | 4,600,000 | | | | 5,564,451 | |
5.00%, 09/01/2023 | | | 900,000 | | | | 992,704 | |
5.00%, 05/01/2030 | | | 2,000,000 | | | | 2,653,115 | |
5.00%, 10/01/2031 | | | 26,000,000 | | | | 28,553,452 | |
5.00%, 05/01/2033 | | | 3,000,000 | | | | 3,942,519 | |
5.00%, 05/01/2034 | | | 3,400,000 | | | | 4,455,472 | |
5.00%, 05/01/2035 | | | 10,715,000 | | | | 14,241,338 | |
5.00%, 05/01/2037 | | | 5,000,000 | | | | 6,506,019 | |
5.00%, 01/01/2038 | | | 4,400,000 | | | | 5,399,926 | |
Town of Hamden CT | | | | | | | | |
5.00%, 08/15/2026 | | | 500,000 | | | | 567,181 | |
5.00%, 08/15/2026 | | | 1,335,000 | | | | 1,604,263 | |
5.00%, 08/01/2028 | | | 500,000 | | | | 624,660 | |
5.00%, 08/01/2030 | | | 500,000 | | | | 643,128 | |
5.00%, 08/01/2032 | | | 500,000 | | | | 637,660 | |
5.00%, 01/01/2040 | | | 1,875,000 | | | | 2,045,815 | |
University of Connecticut | | | | | | | | |
5.00%, 11/01/2028 | | | 1,290,000 | | | | 1,664,230 | |
5.00%, 02/15/2036 | | | 1,000,000 | | | | 1,288,373 | |
5.00%, 02/15/2037 | | | 1,500,000 | | | | 1,927,569 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.25%, 11/15/2034 | | | 3,705,000 | | | | 4,722,640 | |
| | | | | | | | |
Total Connecticut | | | | 240,676,267 | |
| | | | | | | | |
Delaware – 0.48% | | | | | | | | |
County of Kent DE | | | | | | | | |
5.00%, 07/01/2040 | | | 1,020,000 | | | | 1,168,100 | |
5.00%, 07/01/2048 | | | 2,305,000 | | | | 2,610,186 | |
County of Sussex DE | | | | | | | | |
5.00%, 01/01/2036 | | | 2,330,000 | | | | 2,550,250 | |
Delaware Municipal Electric Corp. | | | | | | | | |
4.00%, 07/01/2036 | | | 365,000 | | | | 441,451 | |
5.00%, 07/01/2032 | | | 235,000 | | | | 314,197 | |
Delaware State Economic Development Authority | | | | | | | | |
1.05%, 01/01/2031(1) | | | 4,630,000 | | | | 4,726,133 | |
4.00%, 09/01/2030 | | | 180,000 | | | | 207,515 | |
5.00%, 09/01/2036 | | | 1,225,000 | | | | 1,404,963 | |
5.00%, 08/01/2039 | | | 715,000 | | | | 828,738 | |
5.00%, 09/01/2040 | | | 250,000 | | | | 304,115 | |
5.00%, 09/01/2046 | | | 700,000 | | | | 791,585 | |
5.00%, 11/15/2048 | | | 2,000,000 | | | | 2,313,984 | |
5.00%, 08/01/2049 | | | 900,000 | | | | 1,029,374 | |
5.00%, 09/01/2050 | | | 250,000 | | | | 299,361 | |
5.00%, 08/01/2054 | | | 835,000 | | | | 952,274 | |
Delaware State Health Facilities Authority | | | | | | | | |
5.00%, 06/01/2037 | | | 1,385,000 | | | | 1,676,623 | |
5.00%, 06/01/2043 | | | 1,000,000 | | | | 1,197,363 | |
5.00%, 06/01/2048 | | | 500,000 | | | | 595,338 | |
Delaware Transportation Authority | | | | | | | | |
5.00%, 07/01/2032 | | | 3,210,000 | | | | 4,279,761 | |
5.00%, 09/01/2032 | | | 3,245,000 | | | | 4,276,932 | |
5.00%, 09/01/2033 | | | 2,750,000 | | | | 3,613,294 | |
5.00%, 09/01/2034 | | | 6,750,000 | | | | 8,845,515 | |
5.00%, 09/01/2035 | | | 2,200,000 | | | | 2,878,244 | |
| | | | | | | | |
Total Delaware | | | | 47,305,296 | |
| | | | | | | | |
District of Columbia – 2.37% | | | | | | | | |
District of Columbia | | | | | | | | |
5.00%, 10/01/2022 | | | 3,730,000 | | | | 3,957,305 | |
5.00%, 03/01/2024 | | | 455,000 | | | | 511,893 | |
5.00%, 10/01/2029 | | | 5,000,000 | | | | 6,595,486 | |
5.00%, 12/01/2033 | | | 5,000,000 | | | | 6,453,167 | |
5.00%, 06/01/2034 | | | 1,000,000 | | | | 1,167,589 | |
5.00%, 06/01/2034 | | | 2,100,000 | | | | 2,594,063 | |
5.00%, 06/01/2035 | | | 3,000,000 | | | | 3,377,968 | |
5.00%, 12/01/2036 | | | 250,000 | | | | 255,015 | |
5.00%, 12/01/2036 | | | 420,000 | | | | 428,018 | |
5.00%, 07/01/2042 | | | 780,000 | | | | 840,396 | |
5.00%, 06/01/2046 | | | 3,370,000 | | | | 3,831,072 | |
5.00%, 07/01/2052 | | | 1,230,000 | | | | 1,319,351 | |
District of Columbia Housing Finance Agency | | | | | | | | |
0.70%, 06/01/2024(1) | | | 10,000,000 | | | | 10,033,732 | |
District of Columbia Tobacco Settlement Financing Corp. | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
0.00%, 06/15/2046 | | | 2,000,000 | | | | 358,563 | |
0.00%, 06/15/2046 | | | 10,000,000 | | | | 2,153,427 | |
District of Columbia Water & Sewer Authority | | | | | | | | |
1.75%, 10/01/2054(1) | | | 9,340,000 | | | | 9,730,164 | |
Metropolitan Washington Airports Authority | | | | | | | | |
5.00%, 10/01/2021 | | | 420,000 | | | | 424,970 | |
5.00%, 10/01/2022 | | | 1,000,000 | | | | 1,060,160 | |
5.00%, 10/01/2023 | | | 850,000 | | | | 940,344 | |
5.00%, 10/01/2024 | | | 1,325,000 | | | | 1,521,564 | |
5.00%, 10/01/2024 | | | 1,500,000 | | | | 1,725,154 | |
5.00%, 10/01/2025 | | | 1,185,000 | | | | 1,410,792 | |
5.00%, 10/01/2027 | | | 500,000 | | | | 623,072 | |
5.00%, 10/01/2030 | | | 1,735,000 | | | | 1,834,426 | |
5.00%, 10/01/2030 | | | 5,280,000 | | | | 6,570,379 | |
5.00%, 10/01/2031 | | | 5,335,000 | | | | 6,753,947 | |
5.00%, 10/01/2032 | | | 5,000,000 | | | | 6,042,648 | |
5.00%, 10/01/2037 | | | 1,000,000 | | | | 1,235,691 | |
5.00%, 10/01/2043 | | | 8,000,000 | | | | 10,021,879 | |
Metropolitan Washington Airports Authority Aviation Revenue | | | | | | | | |
4.00%, 10/01/2037 | | | 570,000 | | | | 694,581 | |
4.00%, 10/01/2038 | | | 635,000 | | | | 771,833 | |
5.00%, 10/01/2027 | | | 42,565,000 | | | | 53,015,005 | |
5.00%, 10/01/2030 | | | 2,530,000 | | | | 3,341,729 | |
5.00%, 10/01/2031 | | | 4,305,000 | | | | 5,795,640 | |
5.00%, 10/01/2032 | | | 6,330,000 | | | | 8,495,030 | |
5.00%, 10/01/2033 | | | 6,230,000 | | | | 8,332,636 | |
5.00%, 10/01/2034 | | | 1,520,000 | | | | 2,027,374 | |
5.00%, 10/01/2035 | | | 1,350,000 | | | | 1,797,187 | |
5.00%, 10/01/2036 | | | 1,075,000 | | | | 1,427,997 | |
Metropolitan Washington Airports Authority Dulles Toll Road Revenue | | | | | | | | |
0.00%, 10/01/2035 | | | 6,025,000 | | | | 4,572,394 | |
0.00%, 10/01/2037 | | | 1,000,000 | | | | 717,110 | |
4.00%, 10/01/2038 | | | 415,000 | | | | 484,795 | |
5.00%, 10/01/2033 | | | 1,250,000 | | | | 1,584,844 | |
5.00%, 10/01/2034 | | | 1,500,000 | | | | 1,897,432 | |
5.00%, 10/01/2053 | | | 4,890,000 | | | | 5,042,744 | |
6.50%, 10/01/2041 | | | 2,000,000 | | | | 2,564,654 | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
0.06%, 10/01/2050(1)(3) | | | 7,305,000 | | | | 7,305,000 | |
0.13%, 07/01/2042(1)(3) | | | 1,765,000 | | | | 1,765,000 | |
Washington Convention & Sports Authority | | | | | | | | |
5.00%, 10/01/2023 | | | 1,330,000 | | | | 1,468,825 | |
5.00%, 10/01/2024 | | | 1,030,000 | | | | 1,180,639 | |
Washington Metropolitan Area Transit Authority | | | | | | | | |
4.00%, 07/15/2034 | | | 2,935,000 | | | | 3,656,771 | |
4.00%, 07/15/2035 | | | 2,190,000 | | | | 2,724,039 | |
5.00%, 07/15/2023 | | | 1,665,000 | | | | 1,828,644 | |
5.00%, 07/01/2024 | | | 2,115,000 | | | | 2,407,444 | |
5.00%, 07/15/2024 | | | 1,100,000 | | | | 1,257,486 | |
5.00%, 07/01/2032 | | | 3,250,000 | | | | 4,009,243 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.00%, 07/15/2035 | | | 3,675,000 | | | | 4,838,570 | |
5.00%, 07/15/2037 | | | 1,530,000 | | | | 2,049,588 | |
5.00%, 07/15/2037 | | | 2,500,000 | | | | 3,274,472 | |
| | | | | | | | |
Total District of Columbia | | | | 234,100,941 | |
| | | | | | | | |
Florida – 5.24% | | | | | | | | |
Alachua County Health Facilities Authority | | | | | | | | |
4.00%, 12/01/2049 | | | 5,000,000 | | | | 5,827,884 | |
5.00%, 12/01/2036 | | | 1,000,000 | | | | 1,137,280 | |
5.00%, 12/01/2044 | | | 3,350,000 | | | | 3,755,763 | |
6.00%, 11/15/2034 | | | 35,000 | | | | 35,294 | |
6.25%, 11/15/2044 | | | 400,000 | | | | 401,526 | |
6.38%, 11/15/2049 | | | 300,000 | | | | 301,637 | |
Alachua County School Board | | | | | | | | |
5.00%, 07/01/2021 | | | 1,000,000 | | | | 1,000,000 | |
5.00%, 07/01/2027 | | | 1,155,000 | | | | 1,430,490 | |
5.00%, 07/01/2030 | | | 2,140,000 | | | | 2,811,231 | |
Artisan Lakes East Community Development District | | | | | | | | |
2.75%, 05/01/2031(3) | | | 250,000 | | | | 249,567 | |
2.75%, 05/01/2031(3) | | | 270,000 | | | | 269,533 | |
Babcock Ranch Community Independent Special District | | | | | | | | |
2.38%, 05/01/2026 | | | 125,000 | | | | 125,120 | |
2.88%, 05/01/2031 | | | 250,000 | | | | 250,786 | |
Berry Bay Community Development District | | | | | | | | |
2.63%, 05/01/2026 | | | 250,000 | | | | 252,987 | |
Brevard County Health Facilities Authority | | | | | | | | |
5.00%, 04/01/2039 | | | 1,335,000 | | | | 1,476,525 | |
Capital Projects Finance Authority | | | | | | | | |
5.00%, 10/01/2024 | | | 550,000 | | | | 620,488 | |
5.00%, 10/01/2025 | | | 2,630,000 | | | | 3,053,245 | |
5.00%, 10/01/2026 | | | 1,275,000 | | | | 1,520,652 | |
5.00%, 10/01/2027 | | | 1,750,000 | | | | 2,134,926 | |
5.00%, 10/01/2034 | | | 500,000 | | | | 627,970 | |
5.00%, 10/01/2035 | | | 500,000 | | | | 625,570 | |
Capital Trust Agency, Inc. | | | | | | | | |
3.38%, 07/01/2031(3) | | | 1,440,000 | | | | 1,550,066 | |
5.25%, 12/01/2058(3) | | | 2,150,000 | | | | 2,519,238 | |
Celebration Pointe Community Development District | | | | | | | | |
4.00%, 05/01/2022(3) | | | 90,000 | | | | 91,578 | |
Central Florida Expressway Authority | | | | | | | | |
4.00%, 07/01/2038 | | | 2,000,000 | | | | 2,452,900 | |
4.00%, 07/01/2039 | | | 1,755,000 | | | | 2,146,797 | |
5.00%, 07/01/2026 | | | 1,375,000 | | | | 1,671,696 | |
5.00%, 07/01/2035 | | | 5,000,000 | | | | 6,419,606 | |
CFM Community Development District | | | | | | | | |
2.88%, 05/01/2031 | | | 420,000 | | | | 422,802 | |
Citizens Property Insurance, Inc. | | | | | | | | |
5.00%, 06/01/2022 | | | 2,150,000 | | | | 2,244,600 | |
City of Jacksonville FL | | | | | | | | |
5.00%, 10/01/2021 | | | 450,000 | | | | 455,393 | |
5.00%, 08/15/2028 | | | 3,045,000 | | | | 3,875,866 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.00%, 08/15/2029 | | | 2,500,000 | | | | 3,248,151 | |
5.00%, 08/15/2030 | | | 1,700,000 | | | | 2,193,373 | |
5.00%, 08/15/2031 | | | 2,250,000 | | | | 2,891,927 | |
5.00%, 08/15/2032 | | | 1,200,000 | | | | 1,538,439 | |
5.00%, 08/15/2033 | | | 1,200,000 | | | | 1,534,130 | |
5.00%, 06/01/2053(3) | | | 1,485,000 | | | | 1,755,529 | |
City of Miami Gardens FL | | | | | | | | |
5.00%, 07/01/2034 | | | 1,725,000 | | | | 1,965,061 | |
City of Orlando FL | | | | | | | | |
5.00%, 10/01/2031 | | | 1,120,000 | | | | 1,435,811 | |
5.00%, 10/01/2032 | | | 1,300,000 | | | | 1,586,120 | |
5.00%, 10/01/2032 | | | 1,680,000 | | | | 2,148,654 | |
5.00%, 10/01/2035 | | | 1,200,000 | | | | 1,517,887 | |
5.00%, 10/01/2036 | | | 1,000,000 | | | | 1,261,277 | |
City of Orlando FL Tourist Development Tax Revenue | | | | | | | | |
5.00%, 11/01/2029 | | | 2,000,000 | | | | 2,512,687 | |
City Of South Miami Health Facilities Authority, Inc. | | | | | | | | |
5.00%, 08/15/2023 | | | 250,000 | | | | 274,631 | |
5.00%, 08/15/2024 | | | 400,000 | | | | 456,549 | |
5.00%, 08/15/2025 | | | 700,000 | | | | 825,459 | |
City of Tallahassee FL | | | | | | | | |
5.00%, 12/01/2026 | | | 1,380,000 | | | | 1,638,289 | |
City of Tampa FL | | | | | | | | |
0.00%, 09/01/2036 | | | 800,000 | | | | 524,526 | |
0.00%, 09/01/2037 | | | 800,000 | | | | 501,549 | |
5.00%, 04/01/2040 | | | 1,115,000 | | | | 1,274,668 | |
County of Broward FL | | | | | | | | |
5.00%, 04/01/2028 | | | 560,000 | | | | 600,732 | |
County of Broward FL Airport System Revenue | | | | | | | | |
5.00%, 10/01/2022 | | | 1,185,000 | | | | 1,255,981 | |
5.00%, 10/01/2022 | | | 1,500,000 | | | | 1,590,824 | |
5.00%, 10/01/2023 | | | 3,620,000 | | | | 3,998,718 | |
5.00%, 10/01/2025 | | | 2,125,000 | | | | 2,512,180 | |
5.00%, 10/01/2026 | | | 1,000,000 | | | | 1,214,914 | |
5.00%, 10/01/2026 | | | 3,665,000 | | | | 4,452,658 | |
5.00%, 10/01/2027 | | | 1,650,000 | | | | 2,055,005 | |
5.00%, 10/01/2027 | | | 3,500,000 | | | | 4,359,101 | |
5.00%, 10/01/2028 | | | 1,500,000 | | | | 1,911,000 | |
5.00%, 10/01/2029 | | | 500,000 | | | | 585,367 | |
5.00%, 10/01/2029 | | | 1,150,000 | | | | 1,491,593 | |
5.00%, 10/01/2030 | | | 405,000 | | | | 499,828 | |
5.00%, 10/01/2031 | | | 1,525,000 | | | | 1,961,807 | |
5.00%, 10/01/2036 | | | 1,350,000 | | | | 1,719,839 | |
5.00%, 10/01/2036 | | | 1,500,000 | | | | 1,834,815 | |
5.00%, 10/01/2040 | | | 10,000,000 | | | | 11,634,620 | |
5.00%, 10/01/2042 | | | 110,000 | | | | 116,659 | |
County of Broward FL Port Facilities Revenue | | | | | | | | |
5.00%, 09/01/2030 | | | 310,000 | | | | 403,442 | |
5.00%, 09/01/2030 | | | 1,780,000 | | | | 2,310,096 | |
5.00%, 09/01/2032 | | | 265,000 | | | | 342,694 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.00%, 09/01/2034 | | | 1,925,000 | | | | 2,469,555 | |
5.00%, 09/01/2035 | | | 2,000,000 | | | | 2,561,948 | |
County of Clay FL Sales Surtax Revenue | | | | | | | | |
5.00%, 10/01/2026 | | | 1,170,000 | | | | 1,427,508 | |
5.00%, 10/01/2030 | | | 1,680,000 | | | | 2,196,745 | |
5.00%, 10/01/2031 | | | 1,375,000 | | | | 1,795,096 | |
5.00%, 10/01/2035 | | | 1,805,000 | | | | 2,332,874 | |
County of Hillsborough FL Community Investment Tax Revenue | | | | | | | | |
5.00%, 11/01/2025 | | | 1,800,000 | | | | 2,128,430 | |
County of Lee FL Solid Waste System Revenue | | | | | | | | |
5.00%, 10/01/2025 | | | 3,045,000 | | | | 3,587,187 | |
County of Miami-Dade FL | | | | | | | | |
5.00%, 07/01/2023 | | | 1,000,000 | | | | 1,095,439 | |
5.00%, 07/01/2023 | | | 7,135,000 | | | | 7,815,960 | |
5.00%, 10/01/2024 | | | 1,785,000 | | | | 2,046,683 | |
County of Miami-Dade FL Aviation Revenue | | | | | | | | |
4.00%, 10/01/2034 | | | 3,200,000 | | | | 3,865,893 | |
4.00%, 10/01/2039 | | | 300,000 | | | | 358,313 | |
4.00%, 10/01/2040 | | | 1,450,000 | | | | 1,728,880 | |
4.00%, 10/01/2041 | | | 1,500,000 | | | | 1,783,929 | |
5.00%, 10/01/2021 | | | 690,000 | | | | 698,112 | |
5.00%, 10/01/2024 | | | 2,510,000 | | | | 2,883,238 | |
5.00%, 10/01/2029 | | | 625,000 | | | | 709,028 | |
5.00%, 10/01/2030 | | | 250,000 | | | | 331,114 | |
5.00%, 10/01/2031 | | | 3,000,000 | | | | 3,177,719 | |
5.00%, 10/01/2031 | | | 7,500,000 | | | | 8,487,667 | |
5.00%, 10/01/2033 | | | 7,000,000 | | | | 7,907,387 | |
5.00%, 10/01/2034 | | | 5,520,000 | | | | 6,235,539 | |
5.00%, 10/01/2035 | | | 1,000,000 | | | | 1,130,657 | |
5.00%, 10/01/2037 | | | 2,990,000 | | | | 3,404,401 | |
County of Miami-Dade FL Transit System | | | | | | | | |
4.00%, 07/01/2036 | | | 1,755,000 | | | | 2,005,339 | |
County of Miami-Dade FL Water & Sewer System Revenue | | | | | | | | |
4.00%, 10/01/2035 | | | 1,540,000 | | | | 1,909,022 | |
4.00%, 10/01/2038 | | | 1,250,000 | | | | 1,531,546 | |
4.00%, 10/01/2039 | | | 4,535,000 | | | | 5,478,666 | |
4.00%, 10/01/2040 | | | 8,880,000 | | | | 10,707,781 | |
4.00%, 10/01/2048 | | | 3,670,000 | | | | 4,392,963 | |
5.00%, 10/01/2031 | | | 4,000,000 | | | | 4,754,730 | |
5.00%, 10/01/2032 | | | 1,275,000 | | | | 1,514,978 | |
County of Miami-Dade Seaport Department | | | | | | | | |
6.00%, 10/01/2038 | | | 7,000,000 | | | | 7,783,407 | |
6.25%, 10/01/2038 | | | 2,000,000 | | | | 2,238,732 | |
County of Palm Beach FL | | | | | | | | |
5.00%, 05/01/2029 | | | 1,915,000 | | | | 2,313,500 | |
Crossings At Fleming Island Community Development District | | | | | | | | |
4.50%, 05/01/2030 | | | 180,000 | | | | 187,329 | |
East Nassau Stewardship District | | | | | | | | |
2.40%, 05/01/2026 | | | 195,000 | | | | 196,134 | |
3.00%, 05/01/2031 | | | 245,000 | | | | 247,749 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Epperson North Community Development District | | | | | | | | |
2.50%, 05/01/2026 | | | 140,000 | | | | 141,202 | |
3.00%, 05/01/2031 | | | 215,000 | | | | 218,939 | |
Escambia County Health Facilities Authority | | | | | | | | |
4.00%, 08/15/2045 | | | 1,305,000 | | | | 1,514,443 | |
Esplanade Lake Club Community Development District | | | | | | | | |
3.25%, 11/01/2025 | | | 150,000 | | | | 154,732 | |
3.25%, 11/01/2025 | | | 250,000 | | | | 257,896 | |
Florida Department of Environmental Protection | | | | | | | | |
5.00%, 07/01/2021 | | | 610,000 | | | | 610,000 | |
Florida Development Finance Corp. | | | | | | | | |
3.00%, 06/01/2032 | | | 2,085,000 | | | | 2,200,926 | |
4.00%, 06/01/2024 | | | 105,000 | | | | 112,892 | |
4.00%, 06/01/2026 | | | 110,000 | | | | 121,877 | |
5.00%, 04/01/2028 | | | 315,000 | | | | 392,508 | |
5.00%, 04/01/2029 | | | 250,000 | | | | 317,754 | |
5.00%, 05/01/2029(3) | | | 2,625,000 | | | | 2,832,914 | |
5.00%, 02/15/2031 | | | 710,000 | | | | 790,460 | |
5.00%, 06/01/2031 | | | 140,000 | | | | 166,422 | |
5.00%, 06/01/2035 | | | 125,000 | | | | 147,269 | |
5.00%, 02/15/2038 | | | 600,000 | | | | 665,446 | |
5.00%, 02/15/2048 | | | 1,600,000 | | | | 1,767,920 | |
Florida Higher Educational Facilities Financial Authority | | | | | | | | |
5.00%, 10/01/2029 | | | 1,000,000 | | | | 1,277,667 | |
5.00%, 10/01/2033 | | | 1,000,000 | | | | 1,244,211 | |
5.00%, 06/01/2048(3) | | | 2,310,000 | | | | 2,738,976 | |
Florida Housing Finance Corp. | | | | | | | | |
3.50%, 07/01/2051 | | | 2,750,000 | | | | 3,041,661 | |
Florida Municipal Power Agency | | | | | | | | |
3.00%, 10/01/2032 | | | 750,000 | | | | 829,155 | |
3.00%, 10/01/2033 | | | 700,000 | | | | 770,829 | |
5.00%, 10/01/2025 | | | 3,475,000 | | | | 4,125,834 | |
Greater Orlando Aviation Authority | | | | | | | | |
5.00%, 10/01/2021 | | | 535,000 | | | | 541,357 | |
5.00%, 10/01/2022 | | | 1,000,000 | | | | 1,059,121 | |
5.00%, 10/01/2024 | | | 8,935,000 | | | | 10,241,757 | |
5.00%, 10/01/2026 | | | 500,000 | | | | 607,457 | |
5.00%, 10/01/2030 | | | 1,000,000 | | | | 1,234,143 | |
5.00%, 10/01/2031 | | | 2,000,000 | | | | 2,336,001 | |
5.00%, 10/01/2033 | | | 2,020,000 | | | | 2,359,361 | |
5.00%, 10/01/2033 | | | 6,705,000 | | | | 8,608,851 | |
Halifax Hospital Medical Center | | | | | | | | |
5.00%, 06/01/2036 | | | 3,000,000 | | | | 3,526,714 | |
Harbor Bay Community Development District | | | | | | | | |
3.10%, 05/01/2024 | | | 90,000 | | | | 92,338 | |
3.10%, 05/01/2024 | | | 300,000 | | | | 307,769 | |
3.10%, 05/01/2024 | | | 355,000 | | | | 364,207 | |
Hernando County School District | | | | | | | | |
5.00%, 07/01/2024 | | | 805,000 | | | | 911,658 | |
Hillsborough County Aviation Authority | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.00%, 10/01/2032 | | | 375,000 | | | | 479,610 | |
5.00%, 10/01/2033 | | | 465,000 | | | | 593,963 | |
5.00%, 10/01/2034 | | | 2,150,000 | | | | 2,740,591 | |
5.00%, 10/01/2035 | | | 2,275,000 | | | | 2,895,781 | |
5.00%, 10/01/2036 | | | 2,650,000 | | | | 3,367,647 | |
5.00%, 10/01/2040 | | | 12,500,000 | | | | 14,228,114 | |
Hillsborough County Port District | | | | | | | | |
5.00%, 06/01/2038 | | | 900,000 | | | | 1,089,257 | |
Hillsborough County School Board | | | | | | | | |
5.00%, 07/01/2029 | | | 1,795,000 | | | | 2,326,573 | |
JEA Electric System Revenue | | | | | | | | |
5.00%, 10/01/2026 | | | 1,120,000 | | | | 1,352,376 | |
5.00%, 10/01/2031 | | | 1,360,000 | | | | 1,767,918 | |
5.00%, 10/01/2033 | | | 2,130,000 | | | | 2,745,002 | |
5.00%, 10/01/2034 | | | 1,215,000 | | | | 1,560,867 | |
Lakes of Sarasota Community Development District | | | | | | | | |
3.63%, 05/01/2031 | | | 130,000 | | | | 133,005 | |
3.88%, 05/01/2031 | | | 1,700,000 | | | | 1,741,187 | |
3.90%, 05/01/2041 | | | 285,000 | | | | 294,163 | |
4.10%, 05/01/2051 | | | 265,000 | | | | 272,996 | |
4.13%, 05/01/2031 | | | 2,000,000 | | | | 2,057,788 | |
4.13%, 05/01/2041 | | | 200,000 | | | | 205,945 | |
4.30%, 05/01/2051 | | | 325,000 | | | | 333,377 | |
Lakewood Ranch Stewardship District | | | | | | | | |
2.50%, 05/01/2025(3) | | | 510,000 | | | | 518,548 | |
3.13%, 05/01/2025 | | | 260,000 | | | | 271,584 | |
3.13%, 05/01/2030(3) | | | 310,000 | | | | 324,052 | |
3.40%, 05/01/2030 | | | 370,000 | | | | 393,541 | |
4.00%, 05/01/2022 | | | 155,000 | | | | 157,964 | |
4.00%, 05/01/2040 | | | 600,000 | | | | 652,002 | |
4.00%, 05/01/2050 | | | 1,000,000 | | | | 1,061,874 | |
4.35%, 05/01/2024 | | | 975,000 | | | | 1,016,087 | |
4.55%, 05/01/2024(3) | | | 595,000 | | | | 620,499 | |
Lee County Industrial Development Authority | | | | | | | | |
5.00%, 11/15/2039 | | | 1,850,000 | | | | 2,182,107 | |
5.63%, 12/01/2037(3) | | | 250,000 | | | | 263,373 | |
5.75%, 12/01/2052(3) | | | 750,000 | | | | 780,105 | |
Lee County School Board | | | | | | | | |
5.00%, 08/01/2028 | | | 3,275,000 | | | | 4,159,998 | |
Lee Memorial Health System | | | | | | | | |
5.00%, 04/01/2033(1) | | | 2,850,000 | | | | 3,349,620 | |
5.00%, 04/01/2035 | | | 6,575,000 | | | | 8,305,619 | |
5.00%, 04/01/2037 | | | 2,060,000 | | | | 2,589,350 | |
Live Oak Lake Community Development District | | | | | | | | |
3.80%, 05/01/2030 | | | 1,745,000 | | | | 1,860,580 | |
LT Ranch Community Development District | | | | | | | | |
3.00%, 05/01/2025 | | | 625,000 | | | | 639,677 | |
Manatee County School District | | | | | | | | |
5.00%, 10/01/2025 | | | 520,000 | | | | 615,465 | |
Marion County School Board | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.00%, 06/01/2026 | | | 1,455,000 | | | | 1,699,457 | |
Martin County Health Facilities Authority | | | | | | | | |
5.00%, 11/15/2023 | | | 800,000 | | | | 889,916 | |
Miami-Dade County Educational Facilities Authority | | | | | | | | |
5.00%, 04/01/2040 | | | 2,855,000 | | | | 3,272,905 | |
5.00%, 04/01/2045 | | | 1,010,000 | | | | 1,151,942 | |
Miami-Dade County Expressway Authority | | | | | | | | |
5.00%, 07/01/2030 | | | 1,225,000 | | | | 1,469,265 | |
Miami-Dade County Health Facilities Authority | | | | | | | | |
5.00%, 08/01/2025 | | | 110,000 | | | | 129,456 | |
5.00%, 08/01/2026 | | | 155,000 | | | | 188,045 | |
5.00%, 08/01/2027 | | | 345,000 | | | | 430,022 | |
5.00%, 08/01/2028 | | | 400,000 | | | | 498,104 | |
5.00%, 08/01/2029 | | | 480,000 | | | | 594,031 | |
5.00%, 08/01/2030 | | | 680,000 | | | | 836,899 | |
5.00%, 08/01/2032 | | | 750,000 | | | | 918,461 | |
Mirada II Community Development District | | | | | | | | |
2.50%, 05/01/2026 | | | 500,000 | | | | 504,573 | |
Monroe County School District | | | | | | | | |
5.00%, 06/01/2033 | | | 540,000 | | | | 662,786 | |
5.00%, 06/01/2035 | | | 500,000 | | | | 612,455 | |
North AR-1 Pasco Community Development District | | | | | | | | |
2.63%, 05/01/2026 | | | 350,000 | | | | 351,156 | |
Orange County Convention Center | | | | | | | | |
5.00%, 10/01/2023 | | | 1,510,000 | | | | 1,665,817 | |
Orange County Health Facilities Authority | | | | | | | | |
5.00%, 10/01/2039 | | | 750,000 | | | | 901,771 | |
Orange County School Board | | | | | | | | |
5.00%, 08/01/2029 | | | 1,000,000 | | | | 1,173,338 | |
Orlando Utilities Commission | | | | | | | | |
1.25%, 10/01/2046(1) | | | 1,190,000 | | | | 1,206,402 | |
Palm Beach County Health Facilities Authority | | | | | | | | |
5.00%, 12/01/2023 | | | 105,000 | | | | 116,860 | |
5.00%, 05/15/2024 | | | 615,000 | | | | 689,990 | |
5.00%, 12/01/2024 | | | 105,000 | | | | 121,399 | |
5.00%, 06/01/2055 | | | 2,500,000 | | | | 2,721,732 | |
7.50%, 06/01/2049 | | | 100,000 | | | | 106,755 | |
7.50%, 06/01/2049 | | | 1,875,000 | | | | 2,001,934 | |
Palm Beach County School District | | | | | | | | |
5.00%, 08/01/2023 | | | 500,000 | | | | 549,174 | |
5.00%, 08/01/2024 | | | 220,000 | | | | 251,262 | |
5.00%, 08/01/2026 | | | 1,065,000 | | | | 1,296,806 | |
5.00%, 08/01/2026 | | | 3,750,000 | | | | 4,566,217 | |
5.00%, 08/01/2030 | | | 4,520,000 | | | | 5,313,470 | |
5.00%, 08/01/2032 | | | 3,000,000 | | | | 3,520,014 | |
Pasco County School Board | | | | | | | | |
5.00%, 08/01/2030 | | | 450,000 | | | | 598,962 | |
5.00%, 08/01/2033 | | | 1,000,000 | | | | 1,317,564 | |
Portico Community Development District | | | | | | | | |
2.80%, 05/01/2025 | | | 810,000 | | | | 825,426 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Rivers Edge II Community Development District | | | | | | | | |
2.40%, 05/01/2026 | | | 350,000 | | | | 352,035 | |
3.00%, 05/01/2031 | | | 300,000 | | | | 304,644 | |
Sarasota County Health Facilities Authority | | | | | | | | |
5.00%, 01/01/2042 | | | 750,000 | | | | 813,003 | |
5.00%, 01/01/2047 | | | 875,000 | | | | 946,052 | |
School Board of Miami-Dade County | | | | | | | | |
5.00%, 05/01/2025 | | | 3,000,000 | | | | 3,503,337 | |
5.00%, 05/01/2026 | | | 1,000,000 | | | | 1,168,609 | |
5.00%, 05/01/2028 | | | 2,785,000 | | | | 3,231,556 | |
5.00%, 02/01/2030 | | | 500,000 | | | | 590,505 | |
5.00%, 05/01/2031(1) | | | 5,000,000 | | | | 5,632,891 | |
5.00%, 05/01/2031 | | | 5,000,000 | | | | 5,787,335 | |
School District of Broward County | | | | | | | | |
5.00%, 07/01/2022 | | | 1,000,000 | | | | 1,048,628 | |
5.00%, 07/01/2028 | | | 1,500,000 | | | | 1,867,916 | |
5.00%, 07/01/2029 | | | 2,545,000 | | | | 3,159,828 | |
5.00%, 07/01/2030 | | | 3,955,000 | | | | 5,227,021 | |
5.00%, 07/01/2030 | | | 5,500,000 | | | | 6,426,946 | |
5.00%, 07/01/2031 | | | 1,000,000 | | | | 1,315,854 | |
5.00%, 07/01/2033 | | | 5,000,000 | | | | 6,541,031 | |
Seminole County Industrial Development Authority | | | | | | | | |
3.75%, 11/15/2025 | | | 2,690,000 | | | | 2,709,422 | |
Southern Groves Community Development District No 5 | | | | | | | | |
2.40%, 05/01/2026 | | | 215,000 | | | | 215,204 | |
2.80%, 05/01/2031 | | | 300,000 | | | | 299,226 | |
St Johns County Industrial Development Authority | | | | | | | | |
4.00%, 12/15/2025 | | | 170,000 | | | | 188,316 | |
4.00%, 12/15/2026 | | | 185,000 | | | | 207,581 | |
4.00%, 12/15/2027 | | | 215,000 | | | | 243,973 | |
St Johns County School Board | | | | | | | | |
5.00%, 07/01/2029 | | | 1,250,000 | | | | 1,616,856 | |
5.00%, 07/01/2030 | | | 1,500,000 | | | | 1,940,636 | |
5.00%, 07/01/2031 | | | 1,000,000 | | | | 1,288,649 | |
State of Florida | | | | | | | | |
5.00%, 06/01/2023 | | | 2,425,000 | | | | 2,648,928 | |
5.00%, 06/01/2024 | | | 2,415,000 | | | | 2,746,357 | |
5.00%, 07/01/2024 | | | 2,460,000 | | | | 2,807,287 | |
State of Florida Lottery Revenue | | | | | | | | |
5.00%, 07/01/2024 | | | 1,400,000 | | | | 1,597,191 | |
5.00%, 07/01/2024 | | | 4,000,000 | | | | 4,563,403 | |
Stillwater Community Development District | | | | | | | | |
2.38%, 06/15/2026(3) | | | 300,000 | | | | 302,212 | |
Sunshine Skyway Bridge | | | | | | | | |
4.00%, 07/01/2037 | | | 2,355,000 | | | | 2,791,836 | |
Tampa Bay Water | | | | | | | | |
5.50%, 10/01/2022 | | | 1,000,000 | | | | 1,067,039 | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
0.10%, 10/01/2051(1)(3) | | | 3,200,000 | | | | 3,200,000 | |
0.15%, 01/01/2028(1)(3) | | | 6,300,000 | | | | 6,300,000 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Tolomato Community Development District | | | | | | | | |
2.00%, 05/01/2022 | | | 605,000 | | | | 612,465 | |
2.00%, 05/01/2023 | | | 1,250,000 | | | | 1,282,220 | |
2.00%, 05/01/2024 | | | 1,300,000 | | | | 1,347,232 | |
2.10%, 05/01/2025 | | | 1,345,000 | | | | 1,406,879 | |
3.50%, 05/01/2024 | | | 370,000 | | | | 384,296 | |
Town of Davie FL | | | | | | | | |
5.00%, 04/01/2048 | | | 1,440,000 | | | | 1,712,513 | |
V-Dana Community Development District | | | | | | | | |
2.60%, 05/01/2026 | | | 125,000 | | | | 126,370 | |
3.13%, 05/01/2031 | | | 125,000 | | | | 127,500 | �� |
Verano No 3 Community Development District | | | | | | | | |
2.38%, 05/01/2026 | | | 100,000 | | | | 100,945 | |
3.00%, 05/01/2031 | | | 120,000 | | | | 122,883 | |
Village Community Development District No 13 | | | | | | | | |
3.00%, 05/01/2029 | | | 990,000 | | | | 1,062,346 | |
3.38%, 05/01/2034 | | | 995,000 | | | | 1,085,199 | |
Volusia County Educational Facility Authority | | | | | | | | |
4.00%, 10/15/2037 | | | 740,000 | | | | 864,339 | |
5.00%, 10/15/2044 | | | 390,000 | | | | 483,731 | |
5.00%, 10/15/2049 | | | 730,000 | | | | 900,555 | |
Volusia County School Board | | | | | | | | |
5.00%, 08/01/2024 | | | 2,100,000 | | | | 2,397,014 | |
West Villages Improvement District | | | | | | | | |
4.00%, 05/01/2024 | | | 305,000 | | | | 316,581 | |
Westside Community Development District | | | | | | | | |
3.50%, 05/01/2024(3) | | | 465,000 | | | | 477,188 | |
| | | | | | | | |
Total Florida | | | | 518,313,585 | |
| | | | | | | | |
Georgia – 3.16% | | | | | | | | |
Athens-Clarke County Unified Government Development Authority | | | | | | | | |
5.25%, 07/01/2027 | | | 190,000 | | | | 190,000 | |
Atlanta Development Authority | | | | | | | | |
6.75%, 01/01/2035 | | | 2,200,000 | | | | 1,542,776 | |
7.00%, 01/01/2040 | | | 985,000 | | | | 690,627 | |
Augusta GA Airport Revenue | | | | | | | | |
5.00%, 01/01/2027 | | | 370,000 | | | | 414,671 | |
Bartow County Development Authority | | | | | | | | |
1.55%, 08/01/2043(1) | | | 3,000,000 | | | | 3,041,789 | |
Brookhaven Development Authority | | | | | | | | |
5.00%, 07/01/2025 | | | 1,400,000 | | | | 1,652,948 | |
5.00%, 07/01/2031 | | | 650,000 | | | | 848,577 | |
5.00%, 07/01/2032 | | | 1,000,000 | | | | 1,302,269 | |
5.00%, 07/01/2033 | | | 1,135,000 | | | | 1,473,937 | |
5.00%, 07/01/2037 | | | 1,800,000 | | | | 2,314,213 | |
City of Atlanta GA Airport Passenger Facility Charge | | | | | | | | |
5.00%, 07/01/2021 | | | 450,000 | | | | 450,000 | |
City of Atlanta GA Department of Aviation | | | | | | | | |
5.00%, 07/01/2021 | | | 300,000 | | | | 300,000 | |
5.00%, 07/01/2024 | | | 1,530,000 | | | | 1,738,111 | |
5.00%, 07/01/2025 | | | 2,580,000 | | | | 3,030,436 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.00%, 07/01/2025 | | | 5,735,000 | | | | 6,768,680 | |
5.00%, 07/01/2026 | | | 6,945,000 | | | | 8,462,719 | |
5.00%, 07/01/2027 | | | 2,635,000 | | | | 3,296,685 | |
City of Atlanta GA Water & Wastewater Revenue | | | | | | | | |
5.00%, 11/01/2040 | | | 14,595,000 | | | | 16,963,348 | |
City of East Point GA | | | | | | | | |
5.00%, 08/01/2021 | | | 250,000 | | | | 250,896 | |
Cobb County Kennestone Hospital Authority | | | | | | | | |
4.00%, 04/01/2033 | | | 500,000 | | | | 603,454 | |
5.00%, 04/01/2047 | | | 1,150,000 | | | | 1,373,018 | |
Columbus Medical Center Hospital Authority | | | | | | | | |
5.00%, 07/01/2054(1) | | | 2,700,000 | | | | 3,437,825 | |
5.00%, 07/01/2054(1) | | | 3,330,000 | | | | 3,951,057 | |
DeKalb Private Hospital Authority | | | | | | | | |
5.00%, 07/01/2027 | | | 1,235,000 | | | | 1,547,599 | |
Development Authority for Fulton County | | | | | | | | |
5.00%, 04/01/2023 | | | 300,000 | | | | 324,558 | |
5.00%, 06/15/2044 | | | 580,000 | | | | 728,337 | |
5.00%, 04/01/2047 | | | 1,750,000 | | | | 2,089,375 | |
Development Authority of Burke County | | | | | | | | |
0.04%, 07/01/2049(1) | | | 12,000,000 | | | | 12,000,000 | |
0.06%, 11/01/2052(1) | | | 12,195,000 | | | | 12,195,000 | |
1.50%, 01/01/2040(1) | | | 4,000,000 | | | | 4,094,842 | |
1.70%, 12/01/2049(1) | | | 2,400,000 | | | | 2,482,377 | |
2.25%, 10/01/2032(1) | | | 2,800,000 | | | | 2,895,380 | |
2.93%, 11/01/2053(1) | | | 2,940,000 | | | | 3,129,096 | |
3.25%, 11/01/2045(1) | | | 3,000,000 | | | | 3,256,251 | |
Development Authority Of The City Of Marietta | | | | | | | | |
5.00%, 11/01/2037(3) | | | 625,000 | | | | 705,010 | |
5.00%, 11/01/2047(3) | | | 500,000 | | | | 554,813 | |
Fayette County Hospital Authority | | | | | | | | |
5.00%, 07/01/2054(1) | | | 1,300,000 | | | | 1,446,433 | |
Fulton County Residential Care Facilities for the Elderly Authority | | | | | | | | |
5.00%, 04/01/2047(3) | | | 700,000 | | | | 743,799 | |
5.00%, 04/01/2054(3) | | | 550,000 | | | | 579,923 | |
Gainesville & Hall County Hospital Authority | | | | | | | | |
5.50%, 02/15/2042 | | | 650,000 | | | | 792,130 | |
George L Smith II Congress Center Authority | | | | | | | | |
2.38%, 01/01/2031 | | | 1,250,000 | | | | 1,335,676 | |
4.00%, 01/01/2036 | | | 1,500,000 | | | | 1,789,558 | |
4.00%, 01/01/2054 | | | 2,115,000 | | | | 2,465,851 | |
5.00%, 01/01/2054(3) | | | 5,500,000 | | | | 6,590,574 | |
Georgia State Road & Tollway Authority | | | | | | | | |
5.00%, 06/01/2022 | | | 1,500,000 | | | | 1,566,709 | |
5.00%, 06/01/2022 | | | 3,500,000 | | | | 3,654,992 | |
5.00%, 06/01/2023 | | | 1,000,000 | | | | 1,091,937 | |
5.00%, 06/01/2023 | | | 3,250,000 | | | | 3,548,796 | |
5.00%, 06/01/2031 | | | 2,000,000 | | | | 2,650,852 | |
5.00%, 06/01/2032 | | | 2,000,000 | | | | 2,641,326 | |
Griffin-Spalding County Hospital Authority | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
3.00%, 04/01/2027 | | | 635,000 | | | | 713,844 | |
LaGrange-Troup County Hospital Authority | | | | | | | | |
5.00%, 04/01/2024 | | | 500,000 | | | | 562,877 | |
Macon-Bibb County Urban Development Authority | | | | | | | | |
5.75%, 06/15/2037(3) | | | 1,000,000 | | | | 1,170,866 | |
Main Street Natural Gas, Inc. | | | | | | | | |
0.81% (1 Month LIBOR USD + 0.75%), 04/01/2048(2) | | | 6,400,000 | | | | 6,431,885 | |
0.89% (1 Month LIBOR USD + 0.83%), 08/01/2048(2) | | | 1,700,000 | | | | 1,713,145 | |
4.00%, 03/01/2023 | | | 545,000 | | | | 579,236 | |
4.00%, 04/01/2048(1) | | | 3,000,000 | | | | 3,218,177 | |
4.00%, 08/01/2048(1) | | | 7,975,000 | | | | 8,612,124 | |
4.00%, 08/01/2049(1) | | | 52,070,000 | | | | 58,030,375 | |
4.00%, 03/01/2050(1) | | | 20,000,000 | | | | 23,123,208 | |
5.00%, 05/15/2027 | | | 3,000,000 | | | | 3,697,709 | |
5.00%, 05/15/2028 | | | 2,500,000 | | | | 3,151,308 | |
5.00%, 05/15/2043 | | | 4,520,000 | | | | 5,491,705 | |
Municipal Electric Authority of Georgia | | | | | | | | |
3.00%, 11/01/2021 | | | 730,000 | | | | 736,753 | |
3.00%, 11/01/2022 | | | 600,000 | | | | 622,210 | |
4.00%, 11/01/2023 | | | 805,000 | | | | 873,493 | |
4.00%, 01/01/2034 | | | 1,800,000 | | | | 2,158,275 | |
4.00%, 01/01/2035 | | | 1,500,000 | | | | 1,794,462 | |
5.00%, 01/01/2024 | | | 830,000 | | | | 922,833 | |
5.00%, 01/01/2025 | | | 350,000 | | | | 402,998 | |
5.00%, 01/01/2025 | | | 900,000 | | | | 1,036,280 | |
5.00%, 01/01/2025 | | | 950,000 | | | | 1,093,852 | |
5.00%, 01/01/2026 | | | 300,000 | | | | 356,536 | |
5.00%, 01/01/2026 | | | 320,000 | | | | 380,306 | |
5.00%, 01/01/2026 | | | 1,000,000 | | | | 1,188,455 | |
5.00%, 01/01/2027 | | | 300,000 | | | | 366,779 | |
5.00%, 01/01/2027 | | | 1,500,000 | | | | 1,833,895 | |
5.00%, 11/01/2027 | | | 200,000 | | | | 250,708 | |
5.00%, 01/01/2028 | | | 25,000 | | | | 31,251 | |
5.00%, 01/01/2028 | | | 750,000 | | | | 937,524 | |
5.00%, 11/01/2028 | | | 275,000 | | | | 352,755 | |
5.00%, 11/01/2029 | | | 300,000 | | | | 392,770 | |
5.00%, 01/01/2030 | | | 1,000,000 | | | | 1,258,736 | |
5.00%, 01/01/2031 | | | 685,000 | | | | 861,349 | |
5.00%, 01/01/2034 | | | 1,080,000 | | | | 1,403,507 | |
5.00%, 01/01/2049 | | | 3,610,000 | | | | 4,402,251 | |
Private Colleges & Universities Authority | | | | | | | | |
4.00%, 09/01/2037 | | | 8,350,000 | | | | 10,189,119 | |
4.00%, 09/01/2038 | | | 4,665,000 | | | | 5,679,360 | |
5.00%, 10/01/2023 | | | 300,000 | | | | 331,231 | |
5.00%, 09/01/2025 | | | 1,810,000 | | | | 2,148,962 | |
5.00%, 04/01/2027 | | | 1,900,000 | | | | 2,127,649 | |
5.00%, 04/01/2044 | | | 1,000,000 | | | | 1,094,770 | |
Savannah Economic Development Authority | | | | | | | | |
7.25%, 01/01/2049 | | | 120,000 | | | | 140,208 | |
State of Georgia | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
4.00%, 08/01/2034 | | | 6,455,000 | | | | 7,986,827 | |
5.00%, 07/01/2023 | | | 1,000,000 | | | | 1,096,707 | |
5.00%, 07/01/2029 | | | 125,000 | | | | 125,000 | |
| | | | | | | | |
Total Georgia | | | | 312,073,500 | |
| | | | | | | | |
Guam – 0.15% | | | | | | | | |
Guam Department of Education | | | | | | | | |
3.63%, 02/01/2025 | | | 750,000 | | | | 790,399 | |
Guam Government Waterworks Authority | | | | | | | | |
5.00%, 07/01/2035 | | | 1,550,000 | | | | 1,693,752 | |
Territory of Guam | | | | | | | | |
4.00%, 01/01/2042 | | | 2,040,000 | | | | 2,324,133 | |
5.00%, 11/01/2027 | | | 430,000 | | | | 526,255 | |
5.00%, 01/01/2028 | | | 375,000 | | | | 456,711 | |
5.00%, 11/01/2028 | | | 485,000 | | | | 603,886 | |
5.00%, 01/01/2029 | | | 850,000 | | | | 1,053,147 | |
5.00%, 11/01/2029 | | | 485,000 | | | | 612,939 | |
5.00%, 01/01/2030 | | | 750,000 | | | | 943,189 | |
5.00%, 11/01/2030 | | | 250,000 | | | | 320,284 | |
5.00%, 01/01/2031 | | | 625,000 | | | | 797,814 | |
5.00%, 11/15/2031 | | | 2,260,000 | | | | 2,637,229 | |
5.00%, 11/01/2035 | | | 875,000 | | | | 1,111,889 | |
5.00%, 11/01/2040 | | | 1,000,000 | | | | 1,251,389 | |
| | | | | | | | |
Total Guam | | | | 15,123,016 | |
| | | | | | | | |
Hawaii – 0.73% | | | | | | | | |
City & County of Honolulu HI | | | | | | | | |
5.00%, 09/01/2024 | | | 1,275,000 | | | | 1,463,666 | |
5.00%, 10/01/2029 | | | 2,000,000 | | | | 2,370,874 | |
5.00%, 07/01/2034 | | | 810,000 | | | | 1,066,247 | |
5.00%, 07/01/2035 | | | 1,345,000 | | | | 1,767,978 | |
State of Hawaii | | | | | | | | |
5.00%, 08/01/2023 | | | 1,925,000 | | | | 2,116,866 | |
5.00%, 01/01/2030 | | | 2,330,000 | | | | 3,012,859 | |
5.00%, 01/01/2032 | | | 12,800,000 | | | | 16,413,279 | |
5.00%, 01/01/2033 | | | 9,500,000 | | | | 12,151,345 | |
State of Hawaii Airports System Revenue | | | | | | | | |
5.00%, 07/01/2031 | | | 1,275,000 | | | | 1,598,916 | |
5.00%, 07/01/2032 | | | 1,500,000 | | | | 1,879,222 | |
State of Hawaii Department of Budget & Finance | | | | | | | | |
4.00%, 03/01/2037 | | | 1,090,000 | | | | 1,208,806 | |
State of Hawaii Harbor System Revenue | | | | | | | | |
4.00%, 07/01/2034 | | | 2,000,000 | | | | 2,397,341 | |
4.00%, 07/01/2035 | | | 2,320,000 | | | | 2,776,871 | |
4.00%, 07/01/2036 | | | 545,000 | | | | 663,287 | |
4.00%, 07/01/2039 | | | 1,000,000 | | | | 1,208,050 | |
University of Hawaii | | | | | | | | |
5.00%, 10/01/2028 | | | 4,015,000 | | | | 5,183,105 | |
5.00%, 10/01/2028 | | | 4,445,000 | | | | 5,738,207 | |
5.00%, 10/01/2029 | | | 1,225,000 | | | | 1,613,622 | |
5.00%, 10/01/2030 | | | 5,350,000 | | | | 7,168,599 | |
| | | | | | | | |
Total Hawaii | | | | 71,799,140 | |
| | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Idaho – 0.14% | | | | | | | | |
Idaho Health Facilities Authority | | | | | | | | |
5.00%, 03/01/2034 | | | 3,155,000 | | | | 3,489,866 | |
Idaho Housing & Finance Association | | | | | | | | |
4.00%, 07/15/2036 | | | 500,000 | | | | 609,732 | |
4.00%, 07/15/2037 | | | 645,000 | | | | 784,185 | |
4.00%, 07/15/2038 | | | 2,500,000 | | | | 3,031,922 | |
4.00%, 07/15/2039 | | | 2,750,000 | | | | 3,326,390 | |
4.00%, 01/01/2050 | | | 250,000 | | | | 278,247 | |
5.00%, 07/15/2034 | | | 600,000 | | | | 800,317 | |
5.00%, 07/15/2035 | | | 875,000 | | | | 1,165,250 | |
| | | | | | | | |
Total Idaho | | | | 13,485,909 | |
| | | | | | | | |
Illinois – 8.27% | | | | | | | | |
Champaign County Community Unit School District No 4 Champaign | | | | | | | | |
0.00%, 01/01/2025 | | | 485,000 | | | | 471,207 | |
Chicago Board of Education | | | | | | | | |
0.00%, 12/01/2025 | | | 265,000 | | | | 251,999 | |
0.00%, 12/01/2025 | | | 345,000 | | | | 325,922 | |
5.00%, 12/01/2021 | | | 1,000,000 | | | | 1,019,092 | |
5.00%, 12/01/2022 | | | 500,000 | | | | 531,756 | |
5.00%, 12/01/2023 | | | 2,000,000 | | | | 2,210,724 | |
5.00%, 12/01/2024 | | | 130,000 | | | | 148,858 | |
5.00%, 12/01/2024 | | | 2,175,000 | | | | 2,490,511 | |
5.00%, 12/01/2025 | | | 2,500,000 | | | | 2,957,687 | |
5.00%, 12/01/2026 | | | 145,000 | | | | 176,137 | |
5.00%, 12/01/2026 | | | 3,660,000 | | | | 4,445,950 | |
5.00%, 12/01/2028 | | | 310,000 | | | | 394,358 | |
5.00%, 12/01/2028 | | | 1,270,000 | | | | 1,615,595 | |
5.00%, 12/01/2029 | | | 540,000 | | | | 700,166 | |
5.00%, 12/01/2030 | | | 2,000,000 | | | | 2,582,971 | |
5.00%, 12/01/2030 | | | 2,430,000 | | | | 3,138,310 | |
5.00%, 12/01/2031 | | | 2,185,000 | | | | 2,812,527 | |
5.00%, 12/01/2031 | | | 5,000,000 | | | | 6,546,198 | |
5.00%, 12/01/2032 | | | 710,000 | | | | 925,929 | |
5.00%, 12/01/2033 | | | 300,000 | | | | 376,979 | |
5.00%, 12/01/2033 | | | 3,400,000 | | | | 4,423,424 | |
5.00%, 12/01/2034 | | | 250,000 | | | | 311,450 | |
5.00%, 12/01/2034 | | | 5,990,000 | | | | 7,775,350 | |
5.00%, 12/01/2035 | | | 1,380,000 | | | | 1,787,597 | |
5.00%, 12/01/2036 | | | 500,000 | | | | 645,915 | |
5.00%, 12/01/2036 | | | 1,300,000 | | | | 1,679,379 | |
5.00%, 12/01/2037 | | | 1,380,000 | | | | 1,778,188 | |
5.00%, 12/01/2038 | | | 400,000 | | | | 514,205 | |
5.00%, 12/01/2040 | | | 500,000 | | | | 640,070 | |
5.00%, 12/01/2041 | | | 785,000 | | | | 798,888 | |
5.00%, 12/01/2042 | | | 200,000 | | | | 210,274 | |
5.00%, 12/01/2046 | | | 1,455,000 | | | | 1,792,668 | |
5.25%, 12/01/2041 | | | 3,000,000 | | | | 3,056,167 | |
6.50%, 12/01/2046 | | | 100,000 | | | | 125,474 | |
6.75%, 12/01/2030(3) | | | 1,500,000 | | | | 2,018,050 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
7.00%, 12/01/2046(3) | | | 400,000 | | | | 531,374 | |
Chicago Midway International Airport | | | | | | | | |
5.00%, 01/01/2027 | | | 1,800,000 | | | | 2,124,801 | |
5.00%, 01/01/2030 | | | 865,000 | | | | 953,551 | |
5.00%, 01/01/2032 | | | 2,000,000 | | | | 2,204,219 | |
5.00%, 01/01/2034 | | | 1,000,000 | | | | 1,102,109 | |
5.00%, 01/01/2041 | | | 835,000 | | | | 983,072 | |
5.00%, 01/01/2046 | | | 300,000 | | | | 353,107 | |
5.50%, 01/01/2028 | | | 5,000,000 | | | | 5,374,865 | |
Chicago O’Hare International Airport | | | | | | | | |
4.00%, 01/01/2035 | | | 4,060,000 | | | | 4,839,198 | |
4.00%, 01/01/2036 | | | 3,285,000 | | | | 3,902,851 | |
5.00%, 01/01/2022 | | | 520,000 | | | | 532,107 | |
5.00%, 01/01/2023 | | | 1,000,000 | | | | 1,070,643 | |
5.00%, 01/01/2024 | | | 1,865,000 | | | | 2,074,088 | |
5.00%, 01/01/2025 | | | 415,000 | | | | 477,529 | |
5.00%, 01/01/2026 | | | 1,500,000 | | | | 1,793,709 | |
5.00%, 01/01/2027 | | | 520,000 | | | | 634,187 | |
5.00%, 01/01/2028 | | | 1,000,000 | | | | 1,212,610 | |
5.00%, 01/01/2028 | | | 1,500,000 | | | | 1,889,020 | |
5.00%, 01/01/2030 | | | 520,000 | | | | 658,203 | |
5.00%, 01/01/2030 | | | 2,000,000 | | | | 2,302,845 | |
5.00%, 01/01/2030 | | | 3,105,000 | | | | 3,541,543 | |
5.00%, 01/01/2031 | | | 660,000 | | | | 792,085 | |
5.00%, 01/01/2031 | | | 700,000 | | | | 797,896 | |
5.00%, 01/01/2031 | | | 835,000 | | | | 1,052,677 | |
5.00%, 01/01/2032 | | | 1,140,000 | | | | 1,435,610 | |
5.00%, 01/01/2032 | | | 1,300,000 | | | | 1,480,842 | |
5.00%, 01/01/2032 | | | 11,555,000 | | | | 13,304,689 | |
5.00%, 01/01/2033 | | | 345,000 | | | | 408,041 | |
5.00%, 01/01/2033 | | | 1,200,000 | | | | 1,507,410 | |
5.00%, 01/01/2033 | | | 2,520,000 | | | | 2,901,585 | |
5.00%, 07/01/2033 | | | 550,000 | | | | 674,934 | |
5.00%, 01/01/2034 | | | 400,000 | | | | 473,103 | |
5.00%, 01/01/2035 | | | 1,285,000 | | | | 1,607,165 | |
5.00%, 01/01/2036 | | | 430,000 | | | | 508,541 | |
5.00%, 01/01/2037 | | | 1,200,000 | | | | 1,493,195 | |
5.00%, 01/01/2042 | | | 500,000 | | | | 595,049 | |
5.00%, 01/01/2048 | | | 1,025,000 | | | | 1,254,200 | |
5.00%, 01/01/2053 | | | 615,000 | | | | 756,940 | |
Chicago Park District | | | | | | | | |
4.00%, 01/01/2022 | | | 500,000 | | | | 508,960 | |
5.00%, 01/01/2029 | | | 3,000,000 | | | | 3,246,367 | |
5.00%, 01/01/2036 | | | 480,000 | | | | 487,758 | |
Chicago Transit Authority | | | | | | | | |
5.00%, 06/01/2022 | | | 265,000 | | | | 276,510 | |
5.00%, 06/01/2023 | | | 240,000 | | | | 261,484 | |
5.00%, 06/01/2024 | | | 200,000 | | | | 226,628 | |
5.00%, 06/01/2025 | | | 200,000 | | | | 234,450 | |
5.00%, 06/01/2026 | | | 160,000 | | | | 193,262 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.00%, 06/01/2026 | | | 8,275,000 | | | | 9,995,261 | |
Chicago Transit Authority Capital Grant Receipts Revenue | | | | | | | | |
5.00%, 06/01/2029 | | | 1,500,000 | | | | 1,939,721 | |
City of Chicago IL | | | | | | | | |
5.00%, 01/01/2022 | | | 460,000 | | | | 471,061 | |
5.00%, 01/01/2023 | | | 1,000,000 | | | | 1,065,428 | |
5.00%, 01/01/2027 | | | 500,000 | | | | 579,797 | |
5.00%, 01/01/2027 | | | 2,000,000 | | | | 2,431,215 | |
5.00%, 01/01/2031 | | | 1,000,000 | | | | 1,283,767 | |
5.00%, 01/01/2035 | | | 750,000 | | | | 863,700 | |
5.00%, 01/01/2035 | | | 2,650,000 | | | | 2,880,498 | |
5.00%, 01/01/2039 | | | 1,200,000 | | | | 1,482,078 | |
5.25%, 01/01/2027 | | | 2,435,000 | | | | 2,797,620 | |
5.50%, 01/01/2035 | | | 1,000,000 | | | | 1,143,230 | |
5.63%, 01/01/2031 | | | 1,500,000 | | | | 1,861,551 | |
5.75%, 01/01/2034 | | | 2,000,000 | | | | 2,480,267 | |
City of Chicago IL Motor Fuel Tax Revenue | | | | | | | | |
5.00%, 01/01/2025 | | | 2,000,000 | | | | 2,134,244 | |
City of Chicago IL Wastewater Transmission Revenue | | | | | | | | |
5.00%, 01/01/2023 | | | 450,000 | | | | 480,665 | |
5.00%, 01/01/2024 | | | 500,000 | | | | 555,791 | |
5.00%, 01/01/2028 | | | 3,000,000 | | | | 3,071,393 | |
5.00%, 01/01/2028 | | | 2,900,000 | | | | 3,220,522 | |
5.00%, 01/01/2029 | | | 1,300,000 | | | | 1,440,252 | |
5.00%, 01/01/2030 | | | 1,000,000 | | | | 1,221,099 | |
5.00%, 01/01/2030 | | | 1,310,000 | | | | 1,510,333 | |
5.00%, 01/01/2033 | | | 2,000,000 | | | | 2,297,595 | |
5.00%, 01/01/2039 | | | 1,000,000 | | | | 1,141,708 | |
5.00%, 01/01/2044 | | | 5,000,000 | | | | 5,521,029 | |
City of Chicago IL Waterworks Revenue | | | | | | | | |
4.00%, 11/01/2023 | | | 1,025,000 | | | | 1,076,843 | |
5.00%, 11/01/2021 | | | 1,525,000 | | | | 1,548,096 | |
5.00%, 11/01/2022 | | | 1,000,000 | | | | 1,060,666 | |
5.00%, 11/01/2023 | | | 650,000 | | | | 717,975 | |
5.00%, 11/01/2024 | | | 250,000 | | | | 286,332 | |
5.00%, 11/01/2024 | | | 1,000,000 | | | | 1,145,329 | |
5.00%, 11/01/2024 | | | 1,150,000 | | | | 1,317,129 | |
5.00%, 11/01/2025 | | | 1,000,000 | | | | 1,146,528 | |
5.00%, 11/01/2026 | | | 1,000,000 | | | | 1,144,942 | |
5.00%, 11/01/2033 | | | 500,000 | | | | 564,764 | |
City of Springfield IL | | | | | | | | |
5.00%, 12/01/2024 | | | 340,000 | | | | 388,280 | |
5.00%, 12/01/2025 | | | 395,000 | | | | 464,119 | |
5.00%, 12/01/2026 | | | 160,000 | | | | 184,359 | |
City of Sterling IL | | | | | | | | |
4.00%, 11/01/2031 | | | 500,000 | | | | 612,575 | |
4.00%, 11/01/2032 | | | 500,000 | | | | 610,727 | |
City of Waukegan IL | | | | | | | | |
4.00%, 12/30/2024 | | | 540,000 | | | | 597,138 | |
City of Waukegan IL Water & Sewer System Revenue | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
4.00%, 12/30/2036 | | | 500,000 | | | | 575,168 | |
5.00%, 12/30/2031 | | | 635,000 | | | | 833,426 | |
Community Unit School District Number 427 DeKalb & Kane Counties Illinois | | | | | | | | |
4.00%, 02/01/2032 | | | 700,000 | | | | 828,984 | |
4.00%, 02/01/2035 | | | 350,000 | | | | 410,682 | |
4.00%, 02/01/2037 | | | 535,000 | | | | 623,231 | |
4.00%, 02/01/2039 | | | 415,000 | | | | 480,939 | |
4.00%, 02/01/2041 | | | 475,000 | | | | 547,069 | |
Cook County Community College District No 508 | | | | | | | | |
5.25%, 12/01/2028 | | | 1,150,000 | | | | 1,270,052 | |
Cook County School District No 87 Berkeley | | | | | | | | |
3.00%, 12/01/2034 | | | 1,000,000 | | | | 1,114,839 | |
3.00%, 12/01/2037 | | | 1,000,000 | | | | 1,104,648 | |
3.00%, 12/01/2038 | | | 1,000,000 | | | | 1,101,972 | |
Cook Kane Lake & McHenry Counties Community College District No 512 | | | | | | | | |
5.00%, 12/01/2024 | | | 850,000 | | | | 978,470 | |
County of Cook IL | | | | | | | | |
3.00%, 11/15/2021 | | | 175,000 | | | | 176,822 | |
5.00%, 11/15/2022 | | | 1,200,000 | | | | 1,279,002 | |
5.00%, 11/15/2023 | | | 350,000 | | | | 388,580 | |
5.00%, 11/15/2023 | | | 3,090,000 | | | | 3,434,499 | |
5.00%, 11/15/2024 | | | 375,000 | | | | 431,149 | |
5.00%, 11/15/2025 | | | 375,000 | | | | 444,300 | |
5.00%, 11/15/2026 | | | 750,000 | | | | 914,224 | |
5.00%, 11/15/2026 | | | 1,450,000 | | | | 1,767,500 | |
5.00%, 11/15/2029 | | | 1,000,000 | | | | 1,217,440 | |
5.00%, 11/15/2030 | | | 500,000 | | | | 608,177 | |
5.00%, 11/15/2032 | | | 2,000,000 | | | | 2,653,882 | |
5.00%, 11/15/2033 | | | 2,350,000 | | | | 3,096,511 | |
5.00%, 11/15/2034 | | | 1,200,000 | | | | 1,454,837 | |
5.25%, 11/15/2028 | | | 1,035,000 | | | | 1,053,679 | |
County of Cook IL Sales Tax Revenue | | | | | | | | |
5.00%, 11/15/2029 | | | 1,085,000 | | | | 1,155,501 | |
5.00%, 11/15/2033 | | | 2,795,000 | | | | 3,490,101 | |
5.25%, 11/15/2035 | | | 3,000,000 | | | | 3,803,894 | |
County of Kendall IL | | | | | | | | |
5.00%, 12/15/2024 | | | 2,190,000 | | | | 2,508,133 | |
Illinois Finance Authority | | | | | | | | |
2.25%, 11/15/2042(1) | | | 500,000 | | | | 508,574 | |
3.00%, 07/01/2035 | | | 2,250,000 | | | | 2,352,271 | |
3.63%, 02/15/2032 | | | 355,000 | | | | 401,312 | |
3.75%, 02/15/2034 | | | 200,000 | | | | 226,535 | |
4.00%, 05/15/2023 | | | 20,000 | | | | 21,367 | |
4.00%, 05/15/2023 | | | 170,000 | | | | 178,448 | |
4.00%, 11/01/2030 | | | 2,500,000 | | | | 2,822,842 | |
4.00%, 09/01/2032 | | | 40,000 | | | | 41,420 | |
4.00%, 02/15/2036 | | | 800,000 | | | | 917,071 | |
4.00%, 08/15/2037 | | | 4,350,000 | | | | 5,313,935 | |
4.00%, 08/15/2038 | | | 4,100,000 | | | | 4,995,993 | |
4.00%, 02/15/2041 | | | 5,000 | | | | 5,862 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
4.00%, 02/15/2041 | | | 130,000 | | | | 152,423 | |
4.13%, 08/15/2037 | | | 1,090,000 | | | | 1,206,190 | |
4.75%, 05/15/2033 | | | 125,000 | | | | 135,288 | |
4.75%, 05/15/2033 | | | 835,000 | | | | 874,239 | |
4.75%, 10/15/2040(1)(3) | | | 2,625,000 | | | | 2,801,638 | |
5.00%, 08/01/2021 | | | 445,000 | | | | 446,492 | |
5.00%, 07/01/2022 | | | 1,000,000 | | | | 1,048,421 | |
5.00%, 12/01/2022 | | | 325,000 | | | | 331,588 | |
5.00%, 11/15/2023 | | | 1,680,000 | | | | 1,864,338 | |
5.00%, 12/01/2023 | | | 1,880,000 | | | | 2,084,164 | |
5.00%, 01/01/2024 | | | 250,000 | | | | 278,624 | |
5.00%, 02/15/2024 | | | 215,000 | | | | 241,822 | |
5.00%, 05/15/2024 | | | 350,000 | | | | 395,723 | |
5.00%, 02/15/2025 | | | 695,000 | | | | 809,715 | |
5.00%, 07/15/2025 | | | 230,000 | | | | 271,707 | |
5.00%, 08/01/2025 | | | 1,605,000 | | | | 1,826,865 | |
5.00%, 02/15/2026 | | | 360,000 | | | | 434,305 | |
5.00%, 02/15/2026 | | | 1,345,000 | | | | 1,617,827 | |
5.00%, 08/15/2026 | | | 1,500,000 | | | | 1,834,481 | |
5.00%, 08/15/2027 | | | 2,000,000 | | | | 2,508,879 | |
5.00%, 03/01/2028 | | | 15,000 | | | | 17,853 | |
5.00%, 05/15/2028 | | | 12,620,000 | | | | 16,013,076 | |
5.00%, 09/01/2028 | | | 500,000 | | | | 638,324 | |
5.00%, 01/01/2029 | | | 1,650,000 | | | | 2,033,905 | |
5.00%, 02/15/2029 | | | 1,445,000 | | | | 1,774,664 | |
5.00%, 10/01/2029 | | | 505,000 | | | | 656,846 | |
5.00%, 12/01/2029 | | | 340,000 | | | | 408,433 | |
5.00%, 02/15/2030 | | | 1,240,000 | | | | 1,520,580 | |
5.00%, 07/01/2030 | | | 275,000 | | | | 328,646 | |
5.00%, 07/15/2030 | | | 710,000 | | | | 888,856 | |
5.00%, 08/01/2030 | | | 870,000 | | | | 1,012,748 | |
5.00%, 09/01/2030 | | | 430,000 | | | | 555,930 | |
5.00%, 10/01/2030 | | | 565,000 | | | | 730,023 | |
5.00%, 11/01/2030 | | | 1,455,000 | | | | 1,738,124 | |
5.00%, 11/15/2030 | | | 2,000,000 | | | | 2,335,182 | |
5.00%, 01/01/2031 | | | 3,545,000 | | | | 4,269,106 | |
5.00%, 02/15/2031 | | | 300,000 | | | | 367,216 | |
5.00%, 05/15/2031 | | | 5,000,000 | | | | 6,309,587 | |
5.00%, 07/01/2031 | | | 1,420,000 | | | | 1,741,553 | |
5.00%, 08/15/2031 | | | 1,525,000 | | | | 2,026,034 | |
5.00%, 08/15/2032 | | | 730,000 | | | | 984,943 | |
5.00%, 05/15/2033 | | | 795,000 | | | | 847,033 | |
5.00%, 08/15/2033 | | | 250,000 | | | | 304,669 | |
5.00%, 10/01/2033 | | | 500,000 | | | | 638,660 | |
5.00%, 10/01/2033 | | | 700,000 | | | | 896,247 | |
5.00%, 01/01/2034 | | | 605,000 | | | | 724,120 | |
5.00%, 02/15/2034 | | | 1,890,000 | | | | 2,303,907 | |
5.00%, 07/01/2034 | | | 300,000 | | | | 355,144 | |
5.00%, 07/01/2034 | | | 11,970,000 | | | | 15,929,621 | |
5.00%, 08/15/2034 | | | 2,310,000 | | | | 3,097,053 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.00%, 08/15/2034 | | | 2,500,000 | | | | 3,097,055 | |
5.00%, 10/01/2034 | | | 430,000 | | | | 547,857 | |
5.00%, 11/15/2034 | | | 300,000 | | | | 349,275 | |
5.00%, 11/15/2034 | | | 3,000,000 | | | | 3,492,751 | |
5.00%, 08/15/2035 | | | 100,000 | | | | 116,368 | |
5.00%, 08/15/2035 | | | 600,000 | | | | 731,205 | |
5.00%, 10/01/2035 | | | 400,000 | | | | 508,743 | |
5.00%, 02/15/2036 | | | 905,000 | | | | 1,099,476 | |
5.00%, 07/01/2036 | | | 830,000 | | | | 979,470 | |
5.00%, 08/15/2036 | | | 1,000,000 | | | | 1,218,675 | |
5.00%, 10/01/2036 | | | 620,000 | | | | 789,300 | |
5.00%, 01/01/2037 | | | 2,785,000 | | | | 3,398,400 | |
5.00%, 05/15/2037 | | | 395,000 | | | | 453,467 | |
5.00%, 05/15/2037 | | | 1,050,000 | | | | 1,226,440 | |
5.00%, 08/15/2037 | | | 1,000,000 | | | | 1,218,675 | |
5.00%, 11/15/2038 | | | 3,795,000 | | | | 4,405,693 | |
5.00%, 02/15/2041 | | | 1,075,000 | | | | 1,300,133 | |
5.00%, 05/15/2041 | | | 400,000 | | | | 477,941 | |
5.00%, 08/01/2042 | | | 120,000 | | | | 141,525 | |
5.00%, 01/01/2044 | | | 4,145,000 | | | | 5,000,903 | |
5.00%, 08/15/2044 | | | 200,000 | | | | 230,981 | |
5.00%, 12/01/2046 | | | 5,950,000 | | | | 7,035,738 | |
5.00%, 05/15/2047 | | | 100,000 | | | | 112,867 | |
5.00%, 08/01/2049 | | | 140,000 | | | | 163,981 | |
5.00%, 05/15/2050(1) | | | 1,625,000 | | | | 1,833,299 | |
5.00%, 05/15/2050(1) | | | 2,170,000 | | | | 2,602,673 | |
5.00%, 05/15/2051 | | | 1,000,000 | | | | 1,174,489 | |
5.00%, 05/15/2056 | | | 1,630,000 | | | | 1,903,125 | |
5.00%, 07/15/2057(1) | | | 11,305,000 | | | | 12,087,095 | |
5.13%, 05/15/2038 | | | 1,000,000 | | | | 1,064,565 | |
5.25%, 08/15/2031 | | | 500,000 | | | | 615,621 | |
5.25%, 07/01/2035 | | | 20,085,000 | | | | 26,275,295 | |
5.25%, 02/15/2037 | | | 380,000 | | | | 412,523 | |
5.25%, 05/15/2047 | | | 35,000 | | | | 38,206 | |
5.25%, 05/15/2047 | | | 245,000 | | | | 256,902 | |
5.25%, 05/15/2054 | | | 1,000,000 | | | | 1,059,453 | |
Illinois Housing Development Authority | | | | | | | | |
3.75%, 04/01/2050 | | | 715,000 | | | | 793,047 | |
Illinois Municipal Electric Agency | | | | | | | | |
5.00%, 02/01/2022 | | | 1,280,000 | | | | 1,315,408 | |
5.00%, 02/01/2023 | | | 285,000 | | | | 306,330 | |
5.00%, 02/01/2031 | | | 470,000 | | | | 551,676 | |
Illinois Sports Facilities Authority | | | | | | | | |
5.25%, 06/15/2032 | | | 1,735,000 | | | | 1,922,030 | |
Illinois State Toll Highway Authority | | | | | | | | |
5.00%, 01/01/2024 | | | 935,000 | | | | 1,042,303 | |
5.00%, 01/01/2025 | | | 1,250,000 | | | | 1,445,396 | |
5.00%, 01/01/2026 | | | 1,550,000 | | | | 1,851,975 | |
5.00%, 01/01/2028 | | | 3,000,000 | | | | 3,788,852 | |
5.00%, 12/01/2031 | | | 235,000 | | | | 279,516 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.00%, 12/01/2032 | | | 425,000 | | | | 504,886 | |
5.00%, 01/01/2034 | | | 1,300,000 | | | | 1,616,201 | |
5.00%, 01/01/2036 | | | 1,000,000 | | | | 1,324,155 | |
5.00%, 01/01/2037 | | | 1,260,000 | | | | 1,471,269 | |
5.00%, 01/01/2041 | | | 2,190,000 | | | | 2,865,786 | |
5.00%, 01/01/2044 | | | 2,270,000 | | | | 2,851,686 | |
5.00%, 01/01/2045 | | | 12,810,000 | | | | 16,533,607 | |
Illinois State University | | | | | | | | |
5.00%, 04/01/2032 | | | 1,745,000 | | | | 2,170,886 | |
Kane & DeKalb Counties Community Unit School District No 302 Kaneland | | | | | | | | |
5.00%, 02/01/2025 | | | 4,125,000 | | | | 4,731,126 | |
5.00%, 02/01/2026 | | | 1,930,000 | | | | 2,280,300 | |
Lake County Community Unit School District No 60 Waukegan | | | | | | | | |
5.00%, 01/01/2026 | | | 1,000,000 | | | | 1,134,457 | |
5.00%, 01/01/2027 | | | 100,000 | | | | 115,770 | |
5.00%, 01/01/2027 | | | 2,100,000 | | | | 2,372,723 | |
Macon County School District No 61 Decatur | | | | | | | | |
4.00%, 01/01/2029 | | | 1,240,000 | | | | 1,430,551 | |
4.00%, 01/01/2033 | | | 1,950,000 | | | | 2,203,010 | |
4.00%, 01/01/2034 | | | 1,750,000 | | | | 1,963,372 | |
McHenry County Community Unit School District No 12 Johnsburg | | | | | | | | |
5.00%, 01/01/2026 | | | 925,000 | | | | 1,030,173 | |
McHenry County Community Unit School District No 200 Woodstock | | | | | | | | |
0.00%, 01/15/2024 | | | 1,000,000 | | | | 977,427 | |
0.00%, 01/15/2025 | | | 1,000,000 | | | | 961,566 | |
0.00%, 01/15/2026 | | | 1,000,000 | | | | 943,891 | |
Metropolitan Pier & Exposition Authority | | | | | | | | |
0.00%, 12/15/2023 | | | 165,000 | | | | 161,232 | |
0.00%, 06/15/2028 | | | 14,270,000 | | | | 12,661,233 | |
0.00%, 06/15/2029 | | | 2,540,000 | | | | 2,189,879 | |
0.00%, 12/15/2030 | | | 11,000,000 | | | | 9,069,523 | |
0.00%, 12/15/2034 | | | 550,000 | | | | 402,902 | |
0.00%, 12/15/2035 | | | 10,000,000 | | | | 7,100,893 | |
5.00%, 12/15/2026 | | | 2,000,000 | | | | 2,088,773 | |
5.00%, 12/15/2028 | | | 1,000,000 | | | | 1,243,907 | |
5.00%, 12/15/2028 | | | 2,815,000 | | | | 2,939,395 | |
5.00%, 12/15/2032 | | | 550,000 | | | | 678,767 | |
5.00%, 06/15/2042 | | | 4,090,000 | | | | 4,269,129 | |
5.00%, 06/15/2042 | | | 4,500,000 | | | | 5,773,507 | |
5.00%, 06/15/2050 | | | 16,465,000 | | | | 20,563,995 | |
5.00%, 06/15/2057 | | | 3,275,000 | | | | 3,931,042 | |
Metropolitan Water Reclamation District of Greater Chicago | | | | | | | | |
5.00%, 12/01/2031 | | | 5,700,000 | | | | 5,815,328 | |
5.25%, 12/01/2032 | | | 1,800,000 | | | | 2,515,586 | |
Northern Illinois University | | | | | | | | |
4.00%, 10/01/2032 | | | 515,000 | | | | 617,777 | |
4.00%, 10/01/2034 | | | 1,000,000 | | | | 1,188,427 | |
4.00%, 10/01/2039 | | | 875,000 | | | | 1,030,126 | |
4.00%, 10/01/2040 | | | 800,000 | | | | 940,923 | |
4.00%, 10/01/2041 | | | 800,000 | | | | 939,965 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
4.00%, 10/01/2043 | | | 975,000 | | | | 1,141,025 | |
Peoria Metropolitan Airport Authority | | | | | | | | |
5.00%, 12/01/2026 | | | 1,375,000 | | | | 1,697,001 | |
Peoria Public Building Commission | | | | | | | | |
5.00%, 12/01/2022 | | | 1,500,000 | | | | 1,594,849 | |
Railsplitter Tobacco Settlement Authority | | | | | | | | |
5.00%, 06/01/2023 | | | 2,265,000 | | | | 2,469,122 | |
5.00%, 06/01/2024 | | | 5,275,000 | | | | 5,977,319 | |
Regional Transportation Authority | | | | | | | | |
5.00%, 07/01/2021 | | | 400,000 | | | | 400,000 | |
Sales Tax Securitization Corp. | | | | | | | | |
5.00%, 01/01/2025 | | | 1,000,000 | | | | 1,152,174 | |
5.00%, 01/01/2025 | | | 4,000,000 | | | | 4,608,696 | |
5.00%, 01/01/2026 | | | 2,000,000 | | | | 2,376,910 | |
5.00%, 01/01/2029 | | | 1,000,000 | | | | 1,281,526 | |
Sangamon Logan & Menard Counties Community Unit School Distributors No 15 Williamsville | | | | | | | | |
5.00%, 12/01/2027 | | | 325,000 | | | | 403,192 | |
5.00%, 12/01/2029 | | | 710,000 | | | | 916,557 | |
5.00%, 12/01/2031 | | | 600,000 | | | | 764,405 | |
5.00%, 12/01/2032 | | | 400,000 | | | | 508,220 | |
5.00%, 12/01/2033 | | | 375,000 | | | | 475,116 | |
Southern Illinois University | | | | | | | | |
4.00%, 04/01/2029 | | | 200,000 | | | | 238,703 | |
4.00%, 04/01/2030 | | | 525,000 | | | | 631,788 | |
4.00%, 04/01/2035 | | | 300,000 | | | | 357,503 | |
4.00%, 04/01/2039 | | | 500,000 | | | | 589,728 | |
5.00%, 04/01/2032 | | | 240,000 | | | | 311,596 | |
5.00%, 04/01/2033 | | | 300,000 | | | | 388,876 | |
Southwestern Illinois Development Authority | | | | | | | | |
4.00%, 04/15/2031 | | | 1,000,000 | | | | 1,208,595 | |
State of Illinois | | | | | | | | |
4.00%, 03/01/2022 | | | 7,665,000 | | | | 7,857,349 | |
4.00%, 01/01/2023 | | | 330,000 | | | | 336,179 | |
4.00%, 03/01/2023 | | | 5,000,000 | | | | 5,301,688 | |
4.00%, 03/01/2024 | | | 4,000,000 | | | | 4,364,415 | |
5.00%, 09/01/2021 | | | 1,365,000 | | | | 1,375,788 | |
5.00%, 10/01/2021 | | | 2,000,000 | | | | 2,023,791 | |
5.00%, 11/01/2021 | | | 1,930,000 | | | | 1,960,644 | |
5.00%, 03/01/2022 | | | 590,000 | | | | 608,717 | |
5.00%, 08/01/2022 | | | 3,000,000 | | | | 3,157,027 | |
5.00%, 09/01/2022 | | | 1,340,000 | | | | 1,413,522 | |
5.00%, 11/01/2022 | | | 570,000 | | | | 605,522 | |
5.00%, 02/01/2023 | | | 200,000 | | | | 214,661 | |
5.00%, 02/01/2023 | | | 235,000 | | | | 252,227 | |
5.00%, 03/01/2023 | | | 2,320,000 | | | | 2,498,434 | |
5.00%, 09/01/2023 | | | 1,365,000 | | | | 1,498,250 | |
5.00%, 06/15/2024 | | | 4,905,000 | | | | 5,325,355 | |
5.00%, 09/01/2024 | | | 1,365,000 | | | | 1,552,018 | |
5.00%, 11/01/2024 | | | 4,825,000 | | | | 5,517,096 | |
5.00%, 02/01/2025 | | | 455,000 | | | | 507,388 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.00%, 05/01/2025 | | | 3,050,000 | | | | 3,413,506 | |
5.00%, 06/01/2025 | | | 880,000 | | | | 1,023,719 | |
5.00%, 06/15/2025 | | | 4,190,000 | | | | 4,549,936 | |
5.00%, 10/01/2025 | | | 355,000 | | | | 417,076 | |
5.00%, 10/01/2025 | | | 10,000,000 | | | | 11,748,614 | |
5.00%, 11/01/2025 | | | 2,040,000 | | | | 2,402,711 | |
5.00%, 11/01/2025 | | | 13,705,000 | | | | 16,141,997 | |
5.00%, 06/01/2026 | | | 125,000 | | | | 149,388 | |
5.00%, 10/01/2026 | | | 2,270,000 | | | | 2,734,291 | |
5.00%, 01/01/2027 | | | 2,000,000 | | | | 2,349,765 | |
5.00%, 02/01/2027 | | | 1,635,000 | | | | 1,983,715 | |
5.00%, 11/01/2027 | | | 1,040,000 | | | | 1,280,207 | |
5.00%, 02/01/2028 | | | 1,000,000 | | | | 1,204,893 | |
5.00%, 05/01/2028 | | | 265,000 | | | | 295,267 | |
5.00%, 11/01/2028 | | | 3,000,000 | | | | 3,674,408 | |
5.00%, 02/01/2029 | | | 1,000,000 | | | | 1,197,298 | |
5.00%, 04/01/2029 | | | 605,000 | | | | 670,338 | |
5.00%, 11/01/2029 | | | 2,290,000 | | | | 2,794,708 | |
5.00%, 10/01/2030 | | | 3,575,000 | | | | 4,644,990 | |
5.00%, 01/01/2031 | | | 11,000,000 | | | | 11,258,356 | |
5.00%, 10/01/2031 | | | 1,750,000 | | | | 2,258,882 | |
5.00%, 10/01/2031 | | | 7,300,000 | | | | 9,012,297 | |
5.00%, 05/01/2032 | | | 800,000 | | | | 881,280 | |
5.00%, 05/01/2034 | | | 2,500,000 | | | | 2,749,339 | |
5.00%, 05/01/2038 | | | 1,200,000 | | | | 1,443,344 | |
5.13%, 05/01/2022 | | | 325,000 | | | | 338,206 | |
5.25%, 02/01/2029 | | | 3,720,000 | | | | 4,122,820 | |
5.25%, 02/01/2030 | | | 100,000 | | | | 110,653 | |
5.25%, 12/01/2030 | | | 11,685,000 | | | | 14,418,764 | |
5.25%, 02/01/2031 | | | 760,000 | | | | 839,474 | |
5.50%, 07/01/2024 | | | 1,000,000 | | | | 1,102,301 | |
5.50%, 05/01/2025 | | | 840,000 | | | | 990,823 | |
5.50%, 07/01/2025 | | | 400,000 | | | | 439,835 | |
5.50%, 07/01/2038 | | | 1,500,000 | | | | 1,622,629 | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
0.10%, 08/15/2048(1)(3) | | | 2,900,000 | | | | 2,900,000 | |
0.15%, 01/01/2037(1)(3) | | | 3,900,000 | | | | 3,900,000 | |
0.15%, 12/01/2049(1)(3) | | | 1,900,000 | | | | 1,900,000 | |
0.15%, 12/01/2049(1)(3) | | | 5,700,000 | | | | 5,700,000 | |
0.18%, 06/15/2036(1)(3) | | | 2,100,000 | | | | 2,100,000 | |
0.18%, 06/15/2048(1)(3) | | | 700,000 | | | | 700,000 | |
University of Illinois | | | | | | | | |
3.00%, 04/01/2034 | | | 3,400,000 | | | | 3,788,701 | |
4.00%, 04/01/2036 | | | 1,500,000 | | | | 1,742,726 | |
Upper Illinois River Valley Development Authority | | | | | | | | |
5.25%, 12/01/2037(3) | | | 2,005,000 | | | | 2,179,885 | |
Village of Bolingbrook IL | | | | | | | | |
4.00%, 03/01/2023 | | | 500,000 | | | | 529,254 | |
4.00%, 03/01/2025 | | | 500,000 | | | | 558,686 | |
4.00%, 03/01/2027 | | | 1,000,000 | | | | 1,160,809 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Village of Hillside IL | | | | | | | | |
5.00%, 01/01/2024 | | | 625,000 | | | | 653,117 | |
Will County Community Unit School District No 365 Valley View | | | | | | | | |
0.00%, 11/01/2025 | | | 1,520,000 | | | | 1,461,806 | |
0.00%, 11/01/2026 | | | 905,000 | | | | 859,599 | |
5.00%, 11/01/2023 | | | 420,000 | | | | 463,095 | |
5.00%, 11/01/2024 | | | 2,390,000 | | | | 2,728,817 | |
5.00%, 11/01/2026 | | | 1,800,000 | | | | 2,179,287 | |
Woodford Lasalle Livingston Etc Counties Community Unit Distributors No 6 Fieldcrest | | | | | | | | |
4.00%, 12/01/2034 | | | 1,000,000 | | | | 1,175,642 | |
4.00%, 12/01/2036 | | | 1,095,000 | | | | 1,283,079 | |
| | | | | | | | |
Total Illinois | | | | 818,011,921 | |
| | | | | | | | |
Indiana – 1.88% | | | | | | | | |
Ball State University | | | | | | | | |
5.00%, 07/01/2033 | | | 955,000 | | | | 1,173,664 | |
City of Whiting IN | | | | | | | | |
5.00%, 12/01/2044(1) | | | 21,625,000 | | | | 26,247,387 | |
5.00%, 11/01/2045(1) | | | 3,000,000 | | | | 3,194,575 | |
County of St Joseph IN | | | | | | | | |
5.00%, 04/01/2033 | | | 1,245,000 | | | | 1,552,250 | |
Indiana Finance Authority | | | | | | | | |
0.12%, 05/01/2028(1) | | | 19,250,000 | | | | 19,248,780 | |
0.65%, 08/01/2025 | | | 2,250,000 | | | | 2,249,553 | |
0.70%, 12/01/2046(1) | | | 8,525,000 | | | | 8,522,835 | |
0.75%, 12/01/2038(1) | | | 500,000 | | | | 499,615 | |
0.95%, 12/01/2038(1) | | | 900,000 | | | | 901,394 | |
1.40%, 08/01/2029 | | | 1,000,000 | | | | 1,000,605 | |
1.65%, 12/01/2042(1) | | | 2,145,000 | | | | 2,160,771 | |
2.25%, 12/01/2058(1) | | | 1,285,000 | | | | 1,363,451 | |
4.00%, 10/01/2035 | | | 1,550,000 | | | | 1,918,756 | |
4.00%, 10/01/2036 | | | 1,100,000 | | | | 1,356,318 | |
4.13%, 12/01/2026 | | | 7,055,000 | | | | 7,714,298 | |
5.00%, 12/01/2024 | | | 3,000,000 | | | | 3,474,442 | |
5.00%, 05/01/2026 | | | 1,100,000 | | | | 1,330,655 | |
5.00%, 11/01/2026 | | | 1,200,000 | | | | 1,473,192 | |
5.00%, 05/01/2027 | | | 700,000 | | | | 871,409 | |
5.00%, 05/01/2029 | | | 685,000 | | | | 893,314 | |
5.00%, 11/01/2029 | | | 2,350,000 | | | | 2,884,058 | |
5.00%, 09/01/2031 | | | 440,000 | | | | 520,096 | |
5.00%, 06/01/2032 | | | 2,750,000 | | | | 2,830,725 | |
5.00%, 03/01/2036 | | | 4,000,000 | | | | 4,491,684 | |
5.00%, 09/01/2036 | | | 1,000,000 | | | | 1,185,208 | |
5.00%, 06/01/2039 | | | 1,200,000 | | | | 1,232,227 | |
5.00%, 07/01/2048 | | | 3,840,000 | | | | 4,163,839 | |
5.25%, 02/01/2033 | | | 2,500,000 | | | | 2,956,408 | |
5.25%, 10/01/2038 | | | 15,010,000 | | | | 15,199,106 | |
5.25%, 01/01/2051 | | | 5,450,000 | | | | 5,934,439 | |
Indiana Health & Educational Facilities Financing Authority | | | | | | | | |
1.75%, 11/15/2031(1) | | | 45,000 | | | | 45,193 | |
1.75%, 11/15/2031(1) | | | 2,765,000 | | | | 2,779,654 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Indiana Health Facility Financing Authority | | | | | | | | |
2.00%, 11/15/2036(1) | | | 2,070,000 | | | | 2,123,708 | |
Indiana Housing & Community Development Authority | | | | | | | | |
3.00%, 07/01/2050 | | | 915,000 | | | | 1,003,200 | |
3.00%, 07/01/2051 | | | 1,000,000 | | | | 1,093,809 | |
3.50%, 01/01/2049 | | | 1,170,000 | | | | 1,280,576 | |
5.00%, 01/01/2022 | | | 655,000 | | | | 670,721 | |
5.00%, 07/01/2022 | | | 560,000 | | | | 586,942 | |
5.00%, 01/01/2023 | | | 575,000 | | | | 616,250 | |
5.00%, 01/01/2024 | | | 285,000 | | | | 318,389 | |
5.00%, 01/01/2024 | | | 500,000 | | | | 558,311 | |
5.00%, 07/01/2024 | | | 295,000 | | | | 335,790 | |
5.00%, 07/01/2024 | | | 500,000 | | | | 568,814 | |
5.00%, 01/01/2025 | | | 300,000 | | | | 347,122 | |
5.00%, 01/01/2025 | | | 1,245,000 | | | | 1,440,555 | |
5.00%, 01/01/2026 | | | 300,000 | | | | 357,711 | |
5.00%, 01/01/2026 | | | 600,000 | | | | 715,421 | |
5.00%, 07/01/2026 | | | 320,000 | | | | 386,768 | |
5.00%, 07/01/2026 | | | 400,000 | | | | 483,460 | |
5.00%, 01/01/2027 | | | 300,000 | | | | 367,683 | |
5.00%, 01/01/2027 | | | 575,000 | | | | 704,726 | |
5.00%, 07/01/2027 | | | 300,000 | | | | 371,951 | |
5.00%, 07/01/2027 | | | 400,000 | | | | 496,199 | |
5.00%, 01/01/2028 | | | 600,000 | | | | 751,734 | |
5.00%, 07/01/2028 | | | 500,000 | | | | 633,185 | |
Indianapolis Local Public Improvement Bond Bank | | | | | | | | |
5.00%, 01/01/2022 | | | 755,000 | | | | 772,315 | |
5.00%, 06/01/2022 | | | 250,000 | | | | 260,811 | |
5.00%, 01/01/2023 | | | 285,000 | | | | 304,421 | |
5.00%, 06/01/2023 | | | 435,000 | | | | 473,676 | |
5.00%, 07/15/2023 | | | 300,000 | | | | 328,581 | |
5.00%, 07/15/2024 | | | 1,000,000 | | | | 1,139,900 | |
5.00%, 01/01/2025 | | | 1,195,000 | | | | 1,378,646 | |
5.00%, 06/01/2025 | | | 3,600,000 | | | | 4,179,061 | |
5.00%, 07/15/2025 | | | 750,000 | | | | 882,376 | |
5.00%, 01/15/2026 | | | 720,000 | | | | 858,097 | |
5.00%, 06/01/2026 | | | 3,300,000 | | | | 3,934,905 | |
5.00%, 01/15/2027 | | | 700,000 | | | | 857,119 | |
5.00%, 01/15/2028 | | | 500,000 | | | | 626,645 | |
5.00%, 01/01/2029 | | | 1,000,000 | | | | 1,192,853 | |
5.00%, 01/01/2030 | | | 3,000,000 | | | | 3,306,329 | |
5.00%, 01/01/2031 | | | 1,000,000 | | | | 1,193,187 | |
5.00%, 01/01/2032 | | | 5,000,000 | | | | 5,691,841 | |
5.00%, 02/01/2054 | | | 2,020,000 | | | | 2,494,270 | |
Lebanon Middle School Building Corp. | | | | | | | | |
5.00%, 01/10/2023 | | | 1,065,000 | | | | 1,140,116 | |
5.00%, 07/10/2023 | | | 1,740,000 | | | | 1,901,726 | |
Muncie Sanitary District | | | | | | | | |
5.00%, 07/01/2029 | | | 525,000 | | | | 672,617 | |
5.00%, 01/01/2030 | | | 665,000 | | | | 859,114 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
0.10%, 12/01/2028(1)(3) | | | 1,700,000 | | | | 1,700,000 | |
Westfield-Washington Multi-School Building Corp. | | | | | | | | |
5.00%, 01/15/2028 | | | 390,000 | | | | 463,236 | |
5.00%, 01/15/2029 | | | 540,000 | | | | 639,899 | |
5.00%, 01/15/2030 | | | 700,000 | | | | 829,119 | |
| | | | | | | | |
Total Indiana | | | | 185,663,786 | |
| | | | | | | | |
Iowa – 0.36% | | | | | | | | |
City of Coralville IA | | | | | | | | |
4.00%, 05/01/2030 | | | 905,000 | | | | 932,889 | |
Dubuque Community School District | | | | | | | | |
3.00%, 07/01/2036 | | | 600,000 | | | | 656,065 | |
3.00%, 07/01/2037 | | | 675,000 | | | | 735,150 | |
3.00%, 07/01/2038 | | | 500,000 | | | | 542,641 | |
Iowa Finance Authority | | | | | | | | |
1.50%, 01/01/2042(1) | | | 1,370,000 | | | | 1,384,514 | |
2.88%, 05/15/2049 | | | 895,000 | | | | 904,384 | |
3.13%, 12/01/2022 | | | 4,060,000 | | | | 4,143,314 | |
4.75%, 08/01/2042 | | | 1,180,000 | | | | 1,217,197 | |
5.00%, 05/15/2043 | | | 270,000 | | | | 313,505 | |
5.00%, 05/15/2048 | | | 335,000 | | | | 387,175 | |
5.25%, 12/01/2025 | | | 3,000,000 | | | | 3,283,678 | |
Iowa Student Loan Liquidity Corp. | | | | | | | | |
5.00%, 12/01/2025 | | | 1,000,000 | | | | 1,175,934 | |
5.00%, 12/01/2025 | | | 1,775,000 | | | | 2,072,189 | |
5.00%, 12/01/2028 | | | 1,640,000 | | | | 2,032,091 | |
Iowa Tobacco Settlement Authority | | | | | | | | |
0.38%, 06/01/2030 | | | 215,000 | | | | 215,176 | |
PEFA, Inc. | | | | | | | | |
5.00%, 09/01/2049(1) | | | 13,000,000 | | | | 15,629,988 | |
| | | | | | | | |
Total Iowa | | | | 35,625,890 | |
| | | | | | | | |
Kansas – 0.27% | | | | | | | | |
City of Lenexa KS | | | | | | | | |
5.00%, 05/15/2039 | | | 325,000 | | | | 360,558 | |
Johnson County Unified School District No 232 de Soto | | | | | | | | |
5.00%, 09/01/2022 | | | 350,000 | | | | 369,791 | |
Kansas Development Finance Authority | | | | | | | | |
5.00%, 11/15/2032 | | | 7,325,000 | | | | 7,628,345 | |
5.00%, 11/15/2054(1) | | | 14,000,000 | | | | 18,042,119 | |
| | | | | | | | |
Total Kansas | | | | 26,400,813 | |
| | | | | | | | |
Kentucky – 1.44% | | | | | | | | |
City of Ashland KY | | | | | | | | |
4.00%, 02/01/2034 | | | 500,000 | | | | 574,121 | |
4.00%, 02/01/2038 | | | 620,000 | | | | 704,924 | |
5.00%, 02/01/2028 | | | 255,000 | | | | 312,091 | |
5.00%, 02/01/2032 | | | 395,000 | | | | 492,428 | |
City of Berea KY | | | | | | | | |
0.03%, 06/01/2032(1) | | | 1,700,000 | | | | 1,700,000 | |
City of Russell KY | | | | | | | | |
5.00%, 11/01/2022 | | | 3,200,000 | | | | 3,399,997 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
County of Carroll KY | | | | | | | | |
1.55%, 09/01/2042(1) | | | 10,750,000 | | | | 10,821,682 | |
1.75%, 10/01/2034(1) | | | 1,045,000 | | | | 1,053,094 | |
County of Trimble KY | | | | | | | | |
1.30%, 09/01/2044(1) | | | 3,000,000 | | | | 3,025,460 | |
Kentucky Asset Liability Commission | | | | | | | | |
5.00%, 09/01/2024 | | | 1,000,000 | | | | 1,143,200 | |
5.00%, 09/01/2025 | | | 1,250,000 | | | | 1,477,841 | |
Kentucky Economic Development Finance Authority | | | | | | | | |
5.00%, 08/01/2030 | | | 2,160,000 | | | | 2,772,988 | |
5.00%, 05/15/2031 | | | 350,000 | | | | 368,814 | |
5.00%, 06/01/2037 | | | 325,000 | | | | 375,643 | |
5.00%, 06/01/2041 | | | 225,000 | | | | 258,924 | |
5.00%, 06/01/2045 | | | 1,000,000 | | | | 1,143,930 | |
5.00%, 12/01/2045 | | | 300,000 | | | | 365,895 | |
5.00%, 05/15/2046 | | | 500,000 | | | | 511,895 | |
5.00%, 12/01/2047 | | | 375,000 | | | | 397,982 | |
5.00%, 05/15/2051 | | | 325,000 | | | | 332,018 | |
5.25%, 06/01/2041 | | | 725,000 | | | | 849,545 | |
6.00%, 11/15/2036 | | | 275,000 | | | | 290,572 | |
6.25%, 11/15/2046 | | | 2,325,000 | | | | 2,463,580 | |
6.38%, 11/15/2051 | | | 250,000 | | | | 266,358 | |
Kentucky Housing Corp. | | | | | | | | |
1.16%, 02/01/2023(1) | | | 3,000,000 | | | | 3,017,594 | |
Kentucky Public Energy Authority | | | | | | | | |
4.00%, 04/01/2048(1) | | | 5,000,000 | | | | 5,463,401 | |
4.00%, 01/01/2049(1) | | | 12,500,000 | | | | 13,883,942 | |
4.00%, 12/01/2049(1) | | | 10,000,000 | | | | 11,250,508 | |
4.00%, 12/01/2049(1) | | | 11,270,000 | | | | 12,690,350 | |
4.00%, 02/01/2050(1) | | | 6,500,000 | | | | 7,745,031 | |
4.00%, 12/01/2050(1) | | | 16,560,000 | | | | 19,092,246 | |
Kentucky Public Transportation Infrastructure Authority | | | | | | | | |
5.75%, 07/01/2049 | | | 1,000,000 | | | | 1,102,091 | |
6.00%, 07/01/2053 | | | 970,000 | | | | 1,073,015 | |
Kentucky State Property & Building Commission | | | | | | | | |
5.00%, 11/01/2026 | | | 1,495,000 | | | | 1,828,322 | |
5.00%, 04/01/2027 | | | 1,000,000 | | | | 1,231,270 | |
5.00%, 11/01/2027 | | | 2,435,000 | | | | 2,972,723 | |
5.00%, 05/01/2029 | | | 1,000,000 | | | | 1,222,866 | |
5.00%, 05/01/2029 | | | 1,025,000 | | | | 1,286,627 | |
5.00%, 11/01/2031 | | | 1,685,000 | | | | 2,130,929 | |
5.00%, 05/01/2032 | | | 270,000 | | | | 337,420 | |
Louisville & Jefferson County Metropolitan Government | | | | | | | | |
5.00%, 10/01/2023 | | | 1,565,000 | | | | 1,729,100 | |
5.00%, 12/01/2028 | | | 430,000 | | | | 448,713 | |
5.00%, 12/01/2029 | | | 1,250,000 | | | | 1,304,400 | |
5.00%, 10/01/2030 | | | 2,500,000 | | | | 3,001,418 | |
5.00%, 10/01/2032 | | | 430,000 | | | | 515,031 | |
Louisville/Jefferson County Metropolitan Government | | | | | | | | |
5.00%, 10/01/2037 | | | 1,200,000 | | | | 1,521,751 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.00%, 10/01/2047(1) | | | 740,000 | | | | 903,261 | |
5.00%, 10/01/2047(1) | | | 1,100,000 | | | | 1,427,924 | |
5.00%, 10/01/2047(1) | | | 2,165,000 | | | | 2,393,337 | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
0.11%, 07/01/2037(1)(3) | | | 800,000 | | | | 800,000 | |
0.13%, 02/15/2026(1)(3) | | | 2,400,000 | | | | 2,400,000 | |
0.33%, 11/01/2060(1)(3) | | | 2,900,000 | | | | 2,900,000 | |
University of Louisville | | | | | | | | |
3.00%, 09/01/2021 | | | 1,230,000 | | | | 1,235,498 | |
| | | | | | | | |
Total Kentucky | | | | 142,011,750 | |
| | | | | | | | |
Louisiana – 1.71% | | | | | | | | |
City of Youngsville LA | | | | | | | | |
4.00%, 05/01/2036 | | | 250,000 | | | | 300,305 | |
4.00%, 05/01/2038 | | | 250,000 | | | | 298,687 | |
4.00%, 05/01/2040 | | | 250,000 | | | | 296,891 | |
East Baton Rouge Sewerage Commission | | | | | | | | |
5.00%, 02/01/2031 | | | 1,000,000 | | | | 1,314,735 | |
Greater New Orleans Expressway Commission | | | | | | | | |
5.00%, 11/01/2034 | | | 1,000,000 | | | | 1,181,003 | |
Greater Ouachita Water Co. | | | | | | | | |
5.00%, 09/01/2027 | | | 1,000,000 | | | | 1,247,017 | |
5.00%, 09/01/2028 | | | 960,000 | | | | 1,225,428 | |
5.00%, 09/01/2029 | | | 365,000 | | | | 475,640 | |
Jefferson Parish Economic Development & Port District | | | | | | | | |
5.50%, 06/15/2038(3) | | | 600,000 | | | | 689,435 | |
5.63%, 06/15/2048(3) | | | 700,000 | | | | 796,173 | |
Louisiana Local Government Environmental Facilities & Community Development Auth | | | | | | | | |
0.88%, 02/01/2046(1) | | | 7,420,000 | | | | 7,439,626 | |
3.50%, 11/01/2032 | | | 6,000,000 | | | | 6,683,648 | |
5.00%, 10/01/2028 | | | 1,045,000 | | | | 1,332,167 | |
Louisiana Offshore Terminal Authority | | | | | | | | |
1.65%, 09/01/2027(1) | | | 2,500,000 | | | | 2,536,848 | |
1.65%, 09/01/2034(1) | | | 4,500,000 | | | | 4,566,326 | |
Louisiana Public Facilities Authority | | | | | | | | |
0.00%, 10/01/2027 | | | 2,000,000 | | | | 2,077,091 | |
4.00%, 10/01/2036 | | | 765,000 | | | | 927,880 | |
4.00%, 10/01/2037 | | | 1,005,000 | | | | 1,216,297 | |
4.00%, 10/01/2038 | | | 310,000 | | | | 374,229 | |
4.00%, 10/01/2039 | | | 725,000 | | | | 872,138 | |
4.00%, 10/01/2040 | | | 400,000 | | | | 480,282 | |
4.00%, 10/01/2041 | | | 375,000 | | | | 449,013 | |
5.00%, 12/15/2022 | | | 230,000 | | | | 245,668 | |
5.00%, 12/15/2023 | | | 335,000 | | | | 372,801 | |
5.00%, 12/15/2024 | | | 330,000 | | | | 380,996 | |
5.00%, 12/15/2025 | | | 275,000 | | | | 328,118 | |
5.00%, 12/15/2026 | | | 300,000 | | | | 368,135 | |
5.00%, 12/15/2028 | | | 250,000 | | | | 313,659 | |
5.00%, 12/15/2029 | | | 200,000 | | | | 250,048 | |
5.00%, 12/15/2030 | | | 150,000 | | | | 187,170 | |
5.00%, 05/15/2031 | | | 1,250,000 | | | | 1,521,097 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.00%, 12/15/2031 | | | 390,000 | | | | 485,320 | |
5.00%, 05/15/2032 | | | 1,000,000 | | | | 1,214,415 | |
5.00%, 10/01/2032 | | | 275,000 | | | | 365,072 | |
5.00%, 10/01/2035 | | | 760,000 | | | | 999,162 | |
5.00%, 05/15/2050(1) | | | 7,500,000 | | | | 8,774,504 | |
Louisiana State Citizens Property Insurance Corp. | | | | | | | | |
5.00%, 06/01/2022 | | | 2,635,000 | | | | 2,750,940 | |
Mizuho Floater/Residual Trust | | | | | | | | |
0.28%, 06/01/2033(1)(3) | | | 1,200,000 | | | | 1,200,000 | |
New Orleans Aviation Board | | | | | | | | |
5.00%, 01/01/2023 | | | 50,000 | | | | 53,275 | |
5.00%, 01/01/2024 | | | 55,000 | | | | 61,166 | |
5.00%, 01/01/2024 | | | 1,525,000 | | | | 1,695,970 | |
5.00%, 01/01/2027 | | | 850,000 | | | | 978,390 | |
5.00%, 01/01/2028 | | | 155,000 | | | | 187,955 | |
5.00%, 01/01/2029 | | | 810,000 | | | | 927,498 | |
5.00%, 01/01/2030 | | | 275,000 | | | | 330,560 | |
5.00%, 01/01/2033 | | | 740,000 | | | | 890,906 | |
5.00%, 01/01/2033 | | | 2,600,000 | | | | 3,213,920 | |
5.00%, 01/01/2034 | | | 170,000 | | | | 204,272 | |
5.00%, 01/01/2034 | | | 750,000 | | | | 901,201 | |
5.00%, 01/01/2034 | | | 2,750,000 | | | | 3,391,722 | |
5.00%, 01/01/2036 | | | 500,000 | | | | 598,677 | |
5.00%, 01/01/2037 | | | 500,000 | | | | 597,633 | |
5.00%, 01/01/2040 | | | 1,540,000 | | | | 1,764,541 | |
5.00%, 01/01/2040 | | | 9,890,000 | | | | 11,269,459 | |
Parish of St James LA | | | | | | | | |
0.09%, 11/01/2040(1) | | | 16,125,000 | | | | 16,125,000 | |
6.10%, 06/01/2038(1)(3) | | | 1,000,000 | | | | 1,320,744 | |
6.10%, 12/01/2040(1)(3) | | | 1,930,000 | | | | 2,549,036 | |
6.35%, 07/01/2040(3) | | | 3,015,000 | | | | 4,042,942 | |
6.35%, 10/01/2040(3) | | | 440,000 | | | | 590,015 | |
Parish of St John the Baptist LA | | | | | | | | |
2.00%, 06/01/2037(1) | | | 5,785,000 | | | | 5,917,384 | |
2.10%, 06/01/2037(1) | | | 5,995,000 | | | | 6,203,656 | |
2.13%, 06/01/2037(1) | | | 8,175,000 | | | | 8,465,559 | |
2.20%, 06/01/2037(1) | | | 2,475,000 | | | | 2,587,333 | |
2.38%, 06/01/2037(1) | | | 1,000,000 | | | | 1,053,837 | |
Port New Orleans Board of Commissioners | | | | | | | | |
5.00%, 04/01/2034 | | | 750,000 | | | | 950,434 | |
5.00%, 04/01/2035 | | | 420,000 | | | | 530,937 | |
5.00%, 04/01/2037 | | | 500,000 | | | | 627,694 | |
Regional Transit Authority Sales Tax Revenue | | | | | | | | |
5.00%, 01/01/2035 | | | 6,080,000 | | | | 7,964,826 | |
State of Louisiana | | | | | | | | |
4.00%, 05/01/2032 | | | 5,000,000 | | | | 5,615,761 | |
4.00%, 05/01/2034 | | | 10,685,000 | | | | 11,971,367 | |
5.00%, 07/15/2021 | | | 1,695,000 | | | | 1,697,975 | |
5.00%, 09/01/2030 | | | 1,200,000 | | | | 1,600,089 | |
5.00%, 09/01/2031 | | | 1,475,000 | | | | 1,970,670 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.00%, 09/01/2032 | | | 1,480,000 | | | | 1,970,215 | |
5.00%, 09/01/2033 | | | 1,300,000 | | | | 1,718,616 | |
| | | | | | | | |
Total Louisiana | | | | 169,079,199 | |
| | | | | | | | |
Maine – 0.15% | | | | | | | | |
Maine Health & Higher Educational Facilities Authority | | | | | | | | |
4.00%, 07/01/2035 | | | 250,000 | | | | 305,560 | |
4.00%, 07/01/2036 | | | 250,000 | | | | 304,671 | |
4.00%, 07/01/2041 | | | 1,480,000 | | | | 1,614,832 | |
4.00%, 07/01/2046 | | | 330,000 | | | | 357,999 | |
5.00%, 07/01/2030 | | | 110,000 | | | | 145,709 | |
5.00%, 07/01/2031 | | | 115,000 | | | | 155,110 | |
5.00%, 07/01/2032 | | | 550,000 | | | | 740,226 | |
5.00%, 07/01/2034 | | | 850,000 | | | | 1,136,576 | |
5.00%, 07/01/2034 | | | 1,000,000 | | | | 1,304,486 | |
5.00%, 07/01/2041 | | | 1,235,000 | | | | 1,415,963 | |
5.00%, 07/01/2043 | | | 610,000 | | | | 667,175 | |
5.00%, 07/01/2046 | | | 1,735,000 | | | | 1,978,001 | |
Maine Municipal Bond Bank | | | | | | | | |
5.00%, 11/01/2033 | | | 650,000 | | | | 809,408 | |
Maine Turnpike Authority | | | | | | | | |
5.00%, 07/01/2032 | | | 885,000 | | | | 1,170,156 | |
5.00%, 07/01/2034 | | | 900,000 | | | | 1,182,931 | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
0.13%, 07/01/2028(1)(3) | | | 1,900,000 | | | | 1,900,000 | |
| | | | | | | | |
Total Maine | | | | 15,188,803 | |
| | | | | | | | |
Maryland – 1.52% | | | | | | | | |
City of Baltimore MD | | | | | | | | |
5.00%, 09/01/2023 | | | 1,000,000 | | | | 1,025,795 | |
5.00%, 07/01/2026 | | | 720,000 | | | | 876,154 | |
5.00%, 07/01/2029 | | | 4,770,000 | | | | 5,834,265 | |
5.00%, 09/01/2030 | | | 3,000,000 | | | | 3,141,407 | |
5.00%, 09/01/2032 | | | 1,000,000 | | | | 1,048,728 | |
5.00%, 09/01/2036 | | | 1,790,000 | | | | 1,881,683 | |
5.00%, 09/01/2046 | | | 2,500,000 | | | | 2,634,142 | |
City of Gaithersburg MD | | | | | | | | |
5.00%, 01/01/2027 | | | 1,335,000 | | | | 1,517,740 | |
5.00%, 01/01/2033 | | | 130,000 | | | | 146,052 | |
5.00%, 01/01/2036 | | | 85,000 | | | | 95,156 | |
City of Rockville MD | | | | | | | | |
5.00%, 11/01/2042 | | | 1,250,000 | | | | 1,341,400 | |
5.00%, 11/01/2047 | | | 1,230,000 | | | | 1,315,492 | |
City of Westminster MD | | | | | | | | |
6.25%, 07/01/2044 | | | 1,100,000 | | | | 1,220,759 | |
County of Baltimore MD | | | | | | | | |
4.00%, 03/01/2033 | | | 2,000,000 | | | | 2,393,416 | |
5.00%, 10/01/2023 | | | 2,495,000 | | | | 2,763,166 | |
5.00%, 03/01/2024 | | | 1,100,000 | | | | 1,239,742 | |
County of Montgomery MD | | | | | | | | |
5.00%, 10/01/2024 | | | 1,210,000 | | | | 1,394,599 | |
5.38%, 07/01/2048 | | | 625,000 | | | | 665,818 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
County of Prince George’s MD | | | | | | | | |
4.00%, 08/01/2029 | | | 4,035,000 | | | | 4,354,063 | |
5.13%, 07/01/2039(3) | | | 1,500,000 | | | | 1,685,740 | |
Deutsche Bank Spears/Lifers Trust | | | | | | | | |
0.10%, 03/01/2023(1)(3) | | | 2,880,000 | | | | 2,880,000 | |
Maryland Community Development Administration | | | | | | | | |
2.06%, 09/01/2021 | | | 3,000,000 | | | | 3,009,043 | |
2.60%, 09/01/2022 | | | 2,630,000 | | | | 2,700,351 | |
2.70%, 03/01/2023 | | | 3,195,000 | | | | 3,318,601 | |
2.75%, 09/01/2023 | | | 1,010,000 | | | | 1,061,188 | |
2.85%, 03/01/2024 | | | 2,560,000 | | | | 2,712,347 | |
2.95%, 03/01/2025 | | | 3,025,000 | | | | 3,255,220 | |
3.00%, 09/01/2051 | | | 2,500,000 | | | | 2,735,965 | |
3.10%, 03/01/2026 | | | 1,445,000 | | | | 1,569,056 | |
3.25%, 03/01/2027 | | | 2,325,000 | | | | 2,569,563 | |
3.50%, 03/01/2050 | | | 1,190,000 | | | | 1,301,591 | |
4.00%, 09/01/2049 | | | 1,380,000 | | | | 1,527,384 | |
Maryland Economic Development Corp. | | | | | | | | |
3.25%, 09/01/2030 | | | 1,225,000 | | | | 1,389,300 | |
4.00%, 06/01/2038 | | | 350,000 | | | | 344,072 | |
4.00%, 09/01/2040 | | | 410,000 | | | | 480,293 | |
4.00%, 09/01/2050 | | | 2,245,000 | | | | 2,587,775 | |
5.00%, 07/01/2021 | | | 500,000 | | | | 500,000 | |
5.00%, 06/01/2023 | | | 215,000 | | | | 232,521 | |
5.00%, 03/31/2024 | | | 3,305,000 | | | | 3,368,207 | |
5.00%, 07/01/2027 | | | 1,100,000 | | | | 1,140,195 | |
5.00%, 09/30/2027 | | | 50,000 | | | | 59,894 | |
5.00%, 06/01/2028 | | | 2,000,000 | | | | 2,465,025 | |
5.00%, 07/01/2028 | | | 100,000 | | | | 114,082 | |
5.00%, 07/01/2029 | | | 75,000 | | | | 85,025 | |
5.00%, 09/30/2030 | | | 905,000 | | | | 1,078,750 | |
5.00%, 06/01/2035 | | | 1,415,000 | | | | 1,691,288 | |
5.00%, 07/01/2036 | | | 100,000 | | | | 110,614 | |
5.00%, 03/31/2046 | | | 1,680,000 | | | | 1,971,746 | |
5.00%, 06/01/2049 | | | 1,000,000 | | | | 1,174,992 | |
5.00%, 03/31/2051 | | | 2,600,000 | | | | 3,046,162 | |
5.00%, 06/01/2058 | | | 600,000 | | | | 649,845 | |
Maryland Health & Higher Educational Facilities Authority | | | | | | | | |
4.00%, 07/01/2042 | | | 120,000 | | | | 131,926 | |
4.00%, 06/01/2046 | | | 860,000 | | | | 980,103 | |
4.00%, 06/01/2051 | | | 1,435,000 | | | | 1,630,068 | |
4.00%, 06/01/2055 | | | 895,000 | | | | 1,013,294 | |
5.00%, 07/01/2024 | | | 535,000 | | | | 608,593 | |
5.00%, 07/01/2024 | | | 745,000 | | | | 846,335 | |
5.00%, 07/01/2030 | | | 600,000 | | | | 703,291 | |
5.00%, 07/01/2032 | | | 750,000 | | | | 892,667 | |
5.00%, 07/01/2035 | | | 75,000 | | | | 88,755 | |
5.00%, 08/15/2038 | | | 1,945,000 | | | | 2,237,969 | |
5.00%, 07/01/2043 | | | 500,000 | | | | 573,509 | |
5.00%, 07/01/2045 | | | 2,000,000 | | | | 2,261,754 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.00%, 07/01/2045(1) | | | 2,075,000 | | | | 2,518,231 | �� |
5.00%, 07/01/2048 | | | 1,000,000 | | | | 1,143,241 | |
5.50%, 01/01/2029 | | | 1,500,000 | | | | 1,828,688 | |
5.50%, 01/01/2030 | | | 1,750,000 | | | | 2,121,951 | |
5.50%, 01/01/2046 | | | 1,290,000 | | | | 1,523,356 | |
Maryland Stadium Authority | | | | | | | | |
5.00%, 05/01/2032 | | | 765,000 | | | | 917,602 | |
5.00%, 05/01/2041 | | | 5,000,000 | | | | 6,064,497 | |
Maryland State Transportation Authority | | | | | | | | |
5.00%, 07/01/2023 | | | 500,000 | | | | 548,036 | |
5.00%, 07/01/2024 | | | 1,000,000 | | | | 1,140,851 | |
5.00%, 07/01/2030 | | | 4,655,000 | | | | 5,752,901 | |
5.00%, 07/01/2031 | | | 1,665,000 | | | | 2,277,525 | |
5.00%, 07/01/2034 | | | 1,550,000 | | | | 2,054,277 | |
Prince George’s County Revenue Authority | | | | | | | | |
5.00%, 05/01/2030 | | | 1,085,000 | | | | 1,376,769 | |
State of Maryland | | | | | | | | |
5.00%, 08/01/2024 | | | 1,450,000 | | | | 1,660,858 | |
State of Maryland Department of Transportation | | | | | | | | |
5.00%, 10/01/2026 | | | 11,570,000 | | | | 14,243,953 | |
Washington Suburban Sanitary Commission | | | | | | | | |
3.00%, 06/01/2026 | | | 5,000,000 | | | | 5,587,944 | |
| | | | | | | | |
Total Maryland | | | | 150,434,356 | |
| | | | | | | | |
Massachusetts – 1.78% | | | | | | | | |
Boston Water & Sewer Commission | | | | | | | | |
3.75%, 11/01/2037 | | | 13,450,000 | | | | 14,089,656 | |
Bridgewater-Raynham Regional School District/MA | | | | | | | | |
4.00%, 02/01/2027 | | | 1,655,000 | | | | 1,952,712 | |
City of Boston MA | | | | | | | | |
5.00%, 04/01/2023 | | | 2,095,000 | | | | 2,273,427 | |
City of Worcester MA | | | | | | | | |
3.00%, 02/15/2031 | | | 1,655,000 | | | | 1,880,085 | |
Commonwealth of Massachusetts | | | | | | | | |
1.70%, 08/01/2043(1) | | | 1,750,000 | | | | 1,778,651 | |
4.00%, 11/01/2037 | | | 2,500,000 | | | | 3,079,629 | |
5.00%, 07/01/2022 | | | 485,000 | | | | 508,584 | |
5.00%, 11/01/2022 | | | 1,900,000 | | | | 2,022,901 | |
5.00%, 07/01/2028 | | | 350,000 | | | | 424,497 | |
5.00%, 12/01/2030 | | | 1,500,000 | | | | 1,842,999 | |
5.00%, 07/01/2036 | | | 12,630,000 | | | | 14,798,930 | |
5.00%, 03/01/2046 | | | 205,000 | | | | 229,450 | |
5.00%, 05/01/2049 | | | 2,665,000 | | | | 3,375,414 | |
5.50%, 01/01/2022 | | | 1,000,000 | | | | 1,025,670 | |
5.50%, 12/01/2022 | | | 1,195,000 | | | | 1,285,515 | |
Commonwealth of Massachusetts Transportation Fund Revenue | | | | | | | | |
5.00%, 06/01/2034 | | | 4,930,000 | | | | 6,242,181 | |
5.00%, 06/01/2035 | | | 4,000,000 | | | | 5,058,443 | |
5.00%, 06/01/2036 | | | 3,845,000 | | | | 4,851,874 | |
5.00%, 06/01/2040 | | | 7,435,000 | | | | 9,338,248 | |
Massachusetts Bay Transportation Authority | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
4.00%, 07/01/2051 | | | 1,865,000 | | | | 2,258,364 | |
Massachusetts Development Finance Agency | | | | | | | | |
5.00%, 07/15/2022 | | | 355,000 | | | | 373,006 | |
5.00%, 07/01/2023 | | | 900,000 | | | | 985,895 | |
5.00%, 10/01/2024 | | | 2,020,000 | | | | 2,316,840 | |
5.00%, 07/01/2025 | | | 1,090,000 | | | | 1,278,412 | |
5.00%, 10/01/2025 | | | 905,000 | | | | 1,067,808 | |
5.00%, 07/01/2026 | | | 1,140,000 | | | | 1,378,483 | |
5.00%, 10/01/2026 | | | 955,000 | | | | 1,160,791 | |
5.00%, 10/01/2028 | | | 475,000 | | | | 599,856 | |
5.00%, 10/01/2029 | | | 405,000 | | | | 521,264 | |
5.00%, 07/01/2030 | | | 590,000 | | | | 739,137 | |
5.00%, 01/01/2031 | | | 475,000 | | | | 566,437 | |
5.00%, 10/01/2031 | | | 355,000 | | | | 463,959 | |
5.00%, 01/01/2032 | | | 635,000 | | | | 755,864 | |
5.00%, 07/01/2032 | | | 500,000 | | | | 633,160 | |
5.00%, 01/01/2033 | | | 540,000 | | | | 641,566 | |
5.00%, 07/15/2033(3) | | | 315,000 | | | | 382,540 | |
5.00%, 01/01/2034 | | | 710,000 | | | | 842,327 | |
5.00%, 07/01/2034 | | | 500,000 | | | | 629,347 | |
5.00%, 07/15/2034(3) | | | 270,000 | | | | 326,987 | |
5.00%, 01/01/2035 | | | 745,000 | | | | 882,196 | |
5.00%, 07/15/2035(3) | | | 275,000 | | | | 332,558 | |
5.00%, 01/01/2036 | | | 1,100,000 | | | | 1,299,775 | |
5.00%, 07/15/2036(3) | | | 465,000 | | | | 560,939 | |
5.00%, 07/15/2037(3) | | | 490,000 | | | | 589,530 | |
5.00%, 10/01/2037(3) | | | 500,000 | | | | 549,210 | |
5.00%, 07/01/2038(1) | | | 8,525,000 | | | | 9,548,740 | |
5.00%, 01/01/2040 | | | 755,000 | | | | 909,236 | |
5.00%, 10/01/2041 | | | 825,000 | | | | 937,981 | |
5.00%, 07/15/2046(3) | | | 1,000,000 | | | | 1,185,266 | |
5.00%, 10/01/2047(3) | | | 1,375,000 | | | | 1,506,461 | |
5.00%, 10/01/2048 | | | 1,750,000 | | | | 1,914,648 | |
5.00%, 10/01/2057(3) | | | 1,000,000 | | | | 1,094,272 | |
5.13%, 11/15/2046(3) | | | 800,000 | | | | 891,230 | |
Massachusetts Educational Financing Authority | | | | | | | | |
2.00%, 07/01/2037 | | | 2,700,000 | | | | 2,698,442 | |
5.00%, 01/01/2022 | | | 2,000,000 | | | | 2,047,595 | |
5.00%, 07/01/2023 | | | 200,000 | | | | 218,245 | |
5.00%, 07/01/2024 | | | 575,000 | | | | 650,449 | |
5.00%, 07/01/2024 | | | 2,190,000 | | | | 2,477,361 | |
5.00%, 07/01/2025 | | | 825,000 | | | | 961,878 | |
5.00%, 07/01/2025 | | | 850,000 | | | | 992,889 | |
5.00%, 07/01/2026 | | | 5,000,000 | | | | 5,996,999 | |
5.00%, 07/01/2027 | | | 1,500,000 | | | | 1,841,064 | |
5.00%, 07/01/2028 | | | 1,250,000 | | | | 1,565,719 | |
5.00%, 07/01/2029 | | | 1,600,000 | | | | 2,035,946 | |
5.00%, 07/01/2030 | | | 1,425,000 | | | | 1,841,168 | |
Massachusetts Housing Finance Agency | | | | | | | | |
0.58% (SIFMA Municipal Swap Index Yield + 0.55%), 11/01/2048(2) | | | 9,670,000 | | | | 9,670,000 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Massachusetts Port Authority | | | | | | | | |
5.00%, 07/01/2024 | | | 835,000 | | | | 948,309 | |
Massachusetts School Building Authority | | | | | | | | |
5.00%, 08/15/2021 | | | 275,000 | | | | 276,609 | |
5.00%, 01/15/2028 | | | 1,500,000 | | | | 1,736,376 | |
5.00%, 08/15/2030 | | | 2,000,000 | | | | 2,108,684 | |
5.00%, 10/15/2032 | | | 1,000,000 | | | | 1,014,012 | |
5.00%, 08/15/2037 | | | 10,000,000 | | | | 11,788,889 | |
Massachusetts Transportation Trust Fund Metropolitan Highway System Revenue | | | | | | | | |
5.00%, 01/01/2039(1) | | | 4,055,000 | | | | 4,343,995 | |
Metropolitan Boston Transit Parking Corp. | | | | | | | | |
5.00%, 07/01/2041 | | | 5,000,000 | | | | 5,000,000 | |
| | | | | | | | |
Total Massachusetts | | | | 176,397,580 | |
| | | | | | | | |
Michigan – 2.67% | | | | | | | | |
Avondale School District | | | | | | | | |
5.00%, 11/01/2022 | | | 600,000 | | | | 638,145 | |
5.00%, 11/01/2023 | | | 680,000 | | | | 753,967 | |
5.00%, 11/01/2024 | | | 800,000 | | | | 920,849 | |
5.00%, 11/01/2025 | | | 785,000 | | | | 934,151 | |
5.00%, 11/01/2026 | | | 765,000 | | | | 938,259 | |
Calhoun County Hospital Finance Authority | | | | | | | | |
5.00%, 02/15/2028 | | | 750,000 | | | | 864,328 | |
5.00%, 02/15/2037 | | | 1,695,000 | | | | 1,897,218 | |
City of Detroit MI | | | | | | | | |
5.00%, 04/01/2022 | | | 835,000 | | | | 859,859 | |
5.00%, 04/01/2023 | | | 750,000 | | | | 801,565 | |
5.00%, 04/01/2024 | | | 900,000 | | | | 994,635 | |
5.00%, 04/01/2025 | | | 900,000 | | | | 1,022,588 | |
5.00%, 04/01/2034 | | | 1,000,000 | | | | 1,186,438 | |
5.00%, 04/01/2035 | | | 1,700,000 | | | | 2,118,463 | |
5.00%, 04/01/2036 | | | 300,000 | | | | 372,679 | |
5.50%, 04/01/2031 | | | 560,000 | | | | 719,200 | |
5.50%, 04/01/2033 | | | 470,000 | | | | 600,078 | |
5.50%, 04/01/2035 | | | 350,000 | | | | 444,870 | |
5.50%, 04/01/2037 | | | 465,000 | | | | 587,866 | |
5.50%, 04/01/2039 | | | 645,000 | | | | 811,898 | |
5.50%, 04/01/2045 | | | 750,000 | | | | 940,747 | |
5.50%, 04/01/2050 | | | 605,000 | | | | 756,071 | |
City of Detroit MI Sewage Disposal System Revenue | | | | | | | | |
5.25%, 07/01/2039 | | | 4,050,000 | | | | 4,256,164 | |
City of Detroit MI Water Supply System Revenue | | | | | | | | |
5.25%, 07/01/2041 | | | 1,000,000 | | | | 1,000,000 | |
City of Greenville MI | | | | | | | | |
4.00%, 06/01/2025 | | | 245,000 | | | | 276,000 | |
4.00%, 06/01/2029 | | | 285,000 | | | | 341,767 | |
4.00%, 06/01/2035 | | | 715,000 | | | | 865,494 | |
City of Royal Oak MI | | | | | | | | |
5.00%, 04/01/2029 | | | 500,000 | | | | 636,923 | |
5.00%, 04/01/2031 | | | 1,045,000 | | | | 1,319,476 | |
City of Saginaw MI Water Supply System Revenue | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
4.00%, 07/01/2034 | | | 355,000 | | | | 439,027 | |
4.00%, 07/01/2035 | | | 185,000 | | | | 228,230 | |
4.00%, 07/01/2036 | | | 195,000 | | | | 239,663 | |
City of Taylor MI | | | | | | | | |
4.00%, 03/01/2030 | | | 490,000 | | | | 601,672 | |
4.00%, 03/01/2031 | | | 390,000 | | | | 484,769 | |
4.00%, 03/01/2034 | | | 570,000 | | | | 695,692 | |
City of Wyandotte MI Electric System Revenue | | | | | | | | |
5.00%, 10/01/2021 | | | 750,000 | | | | 758,286 | |
5.00%, 10/01/2022 | | | 800,000 | | | | 844,397 | |
5.00%, 10/01/2023 | | | 500,000 | | | | 547,453 | |
5.00%, 10/01/2024 | | | 765,000 | | | | 864,427 | |
Clarkston Community Schools | | | | | | | | |
5.00%, 05/01/2022 | | | 445,000 | | | | 462,796 | |
County of Jackson MI | | | | | | | | |
4.00%, 05/01/2034 | | | 610,000 | | | | 728,125 | |
County of Kent MI | | | | | | | | |
5.00%, 06/01/2028 | | | 700,000 | | | | 853,476 | |
Detroit City School District | | | | | | | | |
5.25%, 05/01/2030 | | | 3,345,000 | | | | 4,530,935 | |
Detroit Downtown Development Authority | | | | | | | | |
5.00%, 07/01/2037 | | | 540,000 | | | | 605,706 | |
5.00%, 07/01/2038 | | | 1,000,000 | | | | 1,121,361 | |
Grand Rapids Public Schools | | | | | | | | |
5.00%, 05/01/2025 | | | 1,075,000 | | | | 1,259,829 | |
5.00%, 11/01/2037 | | | 1,750,000 | | | | 2,229,489 | |
5.00%, 11/01/2038 | | | 1,000,000 | | | | 1,269,789 | |
Great Lakes Water Authority Sewage Disposal System Revenue | | | | | | | | |
5.00%, 07/01/2030 | | | 3,000,000 | | | | 3,629,229 | |
5.00%, 07/01/2036 | | | 1,000,000 | | | | 1,201,026 | |
Great Lakes Water Authority Water Supply System Revenue | | | | | | | | |
5.00%, 07/01/2023 | | | 1,000,000 | | | | 1,094,174 | |
Karegnondi Water Authority | | | | | | | | |
5.00%, 11/01/2036 | | | 1,300,000 | | | | 1,607,263 | |
5.25%, 11/01/2040 | | | 130,000 | | | | 144,283 | |
Kentwood Economic Development Corp. | | | | | | | | |
4.00%, 11/15/2043 | | | 1,000,000 | | | | 1,076,920 | |
4.00%, 11/15/2045 | | | 750,000 | | | | 830,803 | |
Lake Orion Community School District | | | | | | | | |
5.00%, 05/01/2025 | | | 3,275,000 | | | | 3,835,359 | |
Lansing Board of Water & Light | | | | | | | | |
2.00%, 07/01/2051(1) | | | 2,450,000 | | | | 2,612,409 | |
Michigan Finance Authority | | | | | | | | |
1.20%, 10/15/2038(1) | | | 18,900,000 | | | | 18,964,441 | |
1.25%, 06/01/2030 | | | 395,000 | | | | 397,750 | |
3.50%, 11/01/2023 | | | 5,500,000 | | | | 5,696,668 | |
3.75%, 11/01/2024 | | | 5,500,000 | | | | 5,703,643 | |
3.75%, 11/15/2049(1) | | | 3,600,000 | | | | 4,097,858 | |
4.00%, 06/01/2023 | | | 1,000,000 | | | | 1,074,241 | |
4.00%, 12/01/2035 | | | 1,500,000 | | | | 1,812,284 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.00%, 07/01/2022 | | | 1,235,000 | | | | 1,294,035 | |
5.00%, 11/15/2022 | | | 275,000 | | | | 292,869 | |
5.00%, 10/01/2023 | | | 1,000,000 | | | | 1,059,712 | |
5.00%, 10/01/2024 | | | 3,000,000 | | | | 3,455,575 | |
5.00%, 11/01/2024 | | | 750,000 | | | | 859,801 | |
5.00%, 11/01/2025 | | | 400,000 | | | | 473,736 | |
5.00%, 11/01/2025 | | | 1,000,000 | | | | 1,184,341 | |
5.00%, 06/01/2026 | | | 2,000,000 | | | | 2,441,362 | |
5.00%, 11/01/2026 | | | 500,000 | | | | 609,723 | |
5.00%, 12/01/2026 | | | 1,190,000 | | | | 1,467,962 | |
5.00%, 06/01/2027 | | | 690,000 | | | | 867,187 | |
5.00%, 11/01/2027 | | | 500,000 | | | | 625,721 | |
5.00%, 06/01/2028 | | | 2,380,000 | | | | 3,069,526 | |
5.00%, 06/01/2029 | | | 1,500,000 | | | | 1,974,290 | |
5.00%, 12/01/2029 | | | 500,000 | | | | 629,499 | |
5.00%, 06/01/2030 | | | 1,725,000 | | | | 2,314,200 | |
5.00%, 07/01/2030 | | | 600,000 | | | | 703,713 | |
5.00%, 10/01/2030 | | | 800,000 | | | | 914,972 | |
5.00%, 06/01/2031 | | | 2,895,000 | | | | 3,908,092 | |
5.00%, 06/01/2032 | | | 280,000 | | | | 375,362 | |
5.00%, 11/15/2032 | | | 1,445,000 | | | | 1,757,164 | |
5.00%, 06/01/2033 | | | 510,000 | | | | 679,415 | |
5.00%, 07/01/2033 | | | 350,000 | | | | 408,987 | |
5.00%, 12/01/2044(1) | | | 2,550,000 | | | | 2,956,059 | |
5.00%, 06/01/2049 | | | 2,500,000 | | | | 3,051,811 | |
Michigan Mathematics & Science Initiative | | | | | | | | |
4.00%, 01/01/2031 | | | 500,000 | | | | 571,034 | |
Michigan State Building Authority | | | | | | | | |
5.00%, 10/15/2021 | | | 1,750,000 | | | | 1,774,374 | |
5.00%, 04/15/2022 | | | 1,250,000 | | | | 1,297,720 | |
5.00%, 04/15/2035 | | | 1,250,000 | | | | 1,622,059 | |
Michigan State Hospital Finance Authority | | | | | | | | |
2.40%, 11/15/2047(1) | | | 850,000 | | | | 881,221 | |
4.00%, 11/15/2047(1) | | | 4,505,000 | | | | 4,998,012 | |
4.00%, 11/15/2047(1) | | | 9,750,000 | | | | 10,460,205 | |
5.00%, 12/01/2022 | | | 125,000 | | | | 133,530 | |
5.00%, 12/01/2023 | | | 1,150,000 | | | | 1,281,375 | |
5.00%, 12/01/2024 | | | 275,000 | | | | 318,287 | |
5.00%, 12/01/2025 | | | 700,000 | | | | 838,258 | |
5.00%, 12/01/2027 | | | 415,000 | | | | 524,827 | |
Michigan State Housing Development Authority | | | | | | | | |
3.50%, 12/01/2050 | | | 1,065,000 | | | | 1,178,320 | |
Michigan Strategic Fund | | | | | | | | |
1.45%, 09/01/2030(1) | | | 1,260,000 | | | | 1,262,477 | |
1.80%, 10/01/2049(1) | | | 2,075,000 | | | | 2,143,781 | |
5.00%, 06/30/2025 | | | 2,000,000 | | | | 2,333,425 | |
5.00%, 12/31/2025 | | | 2,595,000 | | | | 3,073,923 | |
5.00%, 06/30/2026 | | | 2,800,000 | | | | 3,362,615 | |
5.00%, 12/31/2026 | | | 355,000 | | | | 432,103 | |
5.00%, 06/30/2032 | | | 150,000 | | | | 186,983 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Michigan Technological University | | | | | | | | |
4.00%, 10/01/2051 | | | 1,255,000 | | | | 1,477,726 | |
5.00%, 10/01/2025 | | | 400,000 | | | | 473,426 | |
5.00%, 10/01/2026 | | | 270,000 | | | | 329,052 | |
5.00%, 10/01/2027 | | | 595,000 | | | | 742,987 | |
5.00%, 10/01/2028 | | | 890,000 | | | | 1,137,083 | |
5.00%, 10/01/2029 | | | 2,000,000 | | | | 2,601,590 | |
5.00%, 10/01/2030 | | | 355,000 | | | | 469,662 | |
Michigan Tobacco Settlement Finance Authority | | | | | | | | |
0.00%, 06/01/2052 | | | 2,300,000 | | | | 254,524 | |
Milan Area Schools | | | | | | | | |
5.00%, 05/01/2023 | | | 245,000 | | | | 265,805 | |
Oakland University | | | | | | | | |
5.00%, 03/01/2041 | | | 2,190,000 | | | | 2,567,256 | |
Portage Public Schools | | | | | | | | |
5.00%, 11/01/2028 | | | 1,000,000 | | | | 1,209,156 | |
Richfield Public School Academy | | | | | | | | |
2.50%, 09/01/2025 | | | 250,000 | | | | 249,755 | |
Royal Oak Hospital Finance Authority | | | | | | | | |
5.00%, 09/01/2039 | | | 10,320,000 | | | | 11,478,951 | |
Royal Oak School District | | | | | | | | |
5.00%, 05/01/2023 | | | 600,000 | | | | 652,918 | |
5.00%, 05/01/2024 | | | 600,000 | | | | 676,853 | |
Saginaw City School District | | | | | | | | |
4.00%, 05/01/2028 | | | 1,035,000 | | | | 1,246,850 | |
4.00%, 05/01/2031 | | | 1,290,000 | | | | 1,624,828 | |
4.00%, 05/01/2034 | | | 1,035,000 | | | | 1,285,396 | |
Saginaw Hospital Finance Authority | | | | | | | | |
5.00%, 07/01/2027 | | | 825,000 | | | | 1,017,981 | |
5.00%, 07/01/2028 | | | 435,000 | | | | 548,529 | |
State of Michigan | | | | | | | | |
5.00%, 03/15/2022 | | | 1,170,000 | | | | 1,209,087 | |
5.00%, 03/15/2023 | | | 2,000,000 | | | | 2,159,625 | |
5.00%, 03/15/2025 | | | 1,145,000 | | | | 1,337,880 | |
State of Michigan Trunk Line Revenue | | | | | | | | |
5.00%, 11/15/2036 | | | 7,550,000 | | | | 10,036,713 | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
0.13%, 11/15/2024(1)(3) | | | 1,400,000 | | | | 1,400,000 | |
University of Michigan | | | | | | | | |
5.00%, 04/01/2024 | | | 1,670,000 | | | | 1,888,364 | |
Wayne County Airport Authority | | | | | | | | |
5.00%, 12/01/2022 | | | 200,000 | | | | 213,501 | |
5.00%, 12/01/2023 | | | 250,000 | | | | 278,495 | |
5.00%, 12/01/2023 | | | 400,000 | | | | 445,593 | |
5.00%, 12/01/2023 | | | 550,000 | | | | 609,729 | |
5.00%, 12/01/2024 | | | 375,000 | | | | 433,889 | |
5.00%, 12/01/2024 | | | 500,000 | | | | 574,653 | |
5.00%, 12/01/2025 | | | 600,000 | | | | 710,419 | |
5.00%, 12/01/2025 | | | 1,000,000 | | | | 1,185,467 | |
5.00%, 12/01/2027 | | | 4,055,000 | | | | 4,799,307 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.00%, 12/01/2031 | | | 350,000 | | | | 431,417 | |
5.00%, 12/01/2032 | | | 1,400,000 | | | | 1,589,660 | |
5.00%, 12/01/2033 | | | 325,000 | | | | 403,368 | |
5.00%, 12/01/2034 | | | 1,310,000 | | | | 1,737,719 | |
5.00%, 12/01/2039 | | | 1,675,000 | | | | 2,187,928 | |
5.00%, 12/01/2040 | | | 2,000,000 | | | | 2,663,642 | |
5.00%, 12/01/2040 | | | 4,000,000 | | | | 4,713,233 | |
5.00%, 12/01/2041 | | | 1,000,000 | | | | 1,328,154 | |
5.00%, 12/01/2041 | | | 1,845,000 | | | | 2,396,924 | |
5.00%, 12/01/2042 | | | 1,000,000 | | | | 1,063,527 | |
5.00%, 12/01/2042 | | | 900,000 | | | | 1,089,139 | |
5.00%, 12/01/2046 | | | 4,250,000 | | | | 5,584,332 | |
5.00%, 12/01/2047 | | | 1,000,000 | | | | 1,206,559 | |
Wayne-Westland Community Schools | | | | | | | | |
5.00%, 11/01/2022 | | | 190,000 | | | | 202,105 | |
5.00%, 11/01/2023 | | | 80,000 | | | | 88,742 | |
5.00%, 11/01/2024 | | | 185,000 | | | | 213,146 | |
5.00%, 11/01/2025 | | | 95,000 | | | | 113,230 | |
5.00%, 11/01/2026 | | | 1,000,000 | | | | 1,228,839 | |
5.00%, 11/01/2027 | | | 600,000 | | | | 757,608 | |
5.00%, 11/01/2029 | | | 585,000 | | | | 756,012 | |
| | | | | | | | |
Total Michigan | | | | 263,801,148 | |
| | | | | | | | |
Minnesota – 0.34% | | | | | | | | |
City of Deephaven MN | | | | | | | | |
5.00%, 10/01/2037 | | | 1,250,000 | | | | 1,308,972 | |
5.00%, 10/01/2049 | | | 2,200,000 | | | | 2,287,313 | |
City of Minneapolis MN/St Paul Housing & Redevelopment Authority | | | | | | | | |
5.00%, 11/15/2022 | | | 1,100,000 | | | | 1,172,419 | |
City of Moorhead MN | | | | | | | | |
5.00%, 12/01/2025 | | | 775,000 | | | | 866,465 | |
City of Rochester MN | | | | | | | | |
5.00%, 12/01/2025 | | | 900,000 | | | | 957,777 | |
5.25%, 12/01/2038 | | | 1,000,000 | | | | 1,049,647 | |
City of Shakopee MN Senior Housing Revenue | | | | | | | | |
5.85%, 11/01/2058(1)(3) | | | 2,280,000 | | | | 2,474,654 | |
Duluth Economic Development Authority | | | | | | | | |
5.00%, 02/15/2033 | | | 500,000 | | | | 613,576 | |
5.00%, 02/15/2034 | | | 750,000 | | | | 918,292 | |
5.00%, 02/15/2037 | | | 1,250,000 | | | | 1,521,418 | |
Minnesota Housing Finance Agency | | | | | | | | |
3.00%, 07/01/2051 | | | 780,000 | | | | 854,552 | |
3.00%, 01/01/2052 | | | 2,915,000 | | | | 3,202,969 | |
Minnesota Rural Water Finance Authority, Inc. | | | | | | | | |
0.25%, 08/01/2022 | | | 1,500,000 | | | | 1,500,235 | |
Roseville Independent School District No 623 | | | | | | | | |
5.00%, 02/01/2025 | | | 3,895,000 | | | | 4,519,757 | |
5.00%, 02/01/2026 | | | 2,315,000 | | | | 2,775,466 | |
Shakopee Independent School District No 720 | | | | | | | | |
5.00%, 02/01/2024 | | | 3,185,000 | | | | 3,561,050 | |
State of Minnesota | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.00%, 08/01/2023 | | | 1,465,000 | | | | 1,611,017 | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
0.15%, 11/15/2026(1)(3) | | | 2,025,000 | | | | 2,025,000 | |
| | | | | | | | |
Total Minnesota | | | | 33,220,579 | |
| | | | | | | | |
Mississippi – 0.46% | | | | | | | | |
Mississippi Business Finance Corp. | | | | | | | | |
0.01%, 12/01/2030(1) | | | 16,000,000 | | | | 16,000,000 | |
0.01%, 11/01/2035(1) | | | 12,500,000 | | | | 12,500,000 | |
Mississippi Hospital Equipment & Facilities Authority | | | | | | | | |
0.65%, 09/01/2036(1) | | | 1,720,000 | | | | 1,720,169 | |
5.00%, 01/01/2029 | | | 910,000 | | | | 1,145,291 | |
5.00%, 01/01/2033 | | | 1,750,000 | | | | 2,206,690 | |
5.00%, 10/01/2035 | | | 700,000 | | | | 880,979 | |
5.00%, 10/01/2036 | | | 2,000,000 | | | | 2,512,553 | |
5.00%, 10/01/2040(1) | | | 4,215,000 | | | | 5,011,303 | |
5.00%, 09/01/2044(1) | | | 2,000,000 | | | | 2,292,766 | |
State of Mississippi | | | | | | | | |
5.00%, 10/01/2030 | | | 1,000,000 | | | | 1,253,351 | |
| | | | | | | | |
Total Mississippi | | | | 45,523,102 | |
| | | | | | | | |
Missouri – 0.96% | | | | | | | | |
Belton School District No 124 | | | | | | | | |
5.00%, 03/01/2028 | | | 250,000 | | | | 318,870 | |
5.50%, 03/01/2033 | | | 500,000 | | | | 629,653 | |
5.50%, 03/01/2036 | | | 500,000 | | | | 630,137 | |
Cape Girardeau County Industrial Development Authority | | | | | | | | |
5.00%, 03/01/2032 | | | 500,000 | | | | 592,064 | |
City of Kansas City MO Sanitary Sewer System Revenue | | | | | | | | |
5.00%, 01/01/2026 | | | 285,000 | | | | 341,506 | |
5.00%, 01/01/2031 | | | 135,000 | | | | 169,231 | |
City of St Louis MO Airport Revenue | | | | | | | | |
5.00%, 07/01/2025 | | | 400,000 | | | | 468,969 | |
Hannibal Industrial Development Authority | | | | | | | | |
5.00%, 10/01/2047 | | | 1,580,000 | | | | 1,877,593 | |
Health & Educational Facilities Authority of the State of Missouri | | | | | | | | |
4.00%, 08/01/2031 | | | 310,000 | | | | 379,329 | |
4.00%, 07/01/2035 | | | 1,500,000 | | | | 1,858,371 | |
4.00%, 02/01/2040 | | | 100,000 | | | | 109,946 | |
5.00%, 06/01/2025 | | | 7,000,000 | | | | 8,208,712 | |
5.00%, 04/01/2027 | | | 1,705,000 | | | | 2,039,651 | |
5.00%, 02/01/2029 | | | 1,000,000 | | | | 1,164,990 | |
5.00%, 02/01/2035 | | | 1,000,000 | | | | 1,148,148 | |
5.00%, 02/01/2036 | | | 200,000 | | | | 228,158 | |
5.00%, 08/01/2040 | | | 1,145,000 | | | | 1,266,650 | |
5.00%, 10/01/2042 | | | 6,370,000 | | | | 7,672,757 | |
5.00%, 10/01/2046 | | | 6,000,000 | | | | 7,383,484 | |
Industrial Development Authority of the City of St Louis Missouri | | | | | | | | |
3.88%, 11/15/2029 | | | 90,000 | | | | 91,661 | |
4.38%, 11/15/2035 | | | 230,000 | | | | 234,185 | |
4.75%, 11/15/2047 | | | 1,250,000 | | | | 1,286,620 | |
Kansas City Industrial Development Authority | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
4.00%, 03/01/2050 | | | 3,750,000 | | | | 4,296,342 | |
4.00%, 03/01/2057 | | | 6,250,000 | | | | 7,182,182 | |
5.00%, 03/01/2025 | | | 1,250,000 | | | | 1,455,628 | |
5.00%, 03/01/2025 | | | 2,000,000 | | | | 2,313,186 | |
5.00%, 03/01/2026 | | | 4,395,000 | | | | 5,238,025 | |
5.00%, 03/01/2027 | | | 2,955,000 | | | | 3,648,927 | |
5.00%, 03/01/2028 | | | 3,350,000 | | | | 4,203,513 | |
Missouri Development Finance Board | | | | | | | | |
0.01%, 06/01/2037(1) | | | 13,275,000 | | | | 13,275,000 | |
Missouri Housing Development Commission | | | | | | | | |
3.25%, 05/01/2051 | | | 3,680,000 | | | | 4,057,572 | |
4.00%, 05/01/2050 | | | 295,000 | | | | 328,139 | |
Mizuho Floater/Residual Trust | | | | | | | | |
0.28%, 06/01/2033(1)(3) | | | 405,000 | | | | 405,000 | |
St Louis County Industrial Development Authority | | | | | | | | |
5.00%, 12/01/2025 | | | 745,000 | | | | 802,383 | |
5.00%, 09/01/2038 | | | 500,000 | | | | 567,581 | |
5.13%, 08/15/2045 | | | 200,000 | | | | 209,309 | |
5.13%, 09/01/2048 | | | 2,590,000 | | | | 2,926,139 | |
5.50%, 09/01/2033 | | | 1,000,000 | | | | 1,082,153 | |
St Louis Land Clearance for Redevelopment Authority | | | | | | | | |
5.00%, 06/01/2029 | | | 1,000,000 | | | | 1,155,475 | |
5.38%, 06/01/2043 | | | 2,000,000 | | | | 2,298,154 | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
0.16%, 05/15/2041(1)(3) | | | 1,100,000 | | | | 1,100,000 | |
| | | | | | | | |
Total Missouri | | | | 94,645,393 | |
| | | | | | | | |
Montana – 0.03% | | | | | | | | |
City of Kalispell MT | | | | | | | | |
5.25%, 05/15/2037 | | | 765,000 | | | | 844,609 | |
5.25%, 05/15/2047 | | | 500,000 | | | | 546,043 | |
Mizuho Floater/Residual Trust | | | | | | | | |
0.28%, 06/01/2034(1)(3) | | | 1,000,000 | | | | 1,000,000 | |
Montana Board of Housing | | | | | | | | |
4.00%, 12/01/2047 | | | 270,000 | | | | 285,910 | |
4.00%, 06/01/2050 | | | 155,000 | | | | 175,572 | |
| | | | | | | | |
Total Montana | | | | 2,852,134 | |
| | | | | | | | |
Nebraska – 0.75% | | | | | | | | |
Central Plains Energy Project | | | | | | | | |
4.00%, 12/01/2049(1) | | | 32,420,000 | | | | 36,726,229 | |
5.00%, 09/01/2033 | | | 1,500,000 | | | | 2,040,481 | |
5.00%, 09/01/2035 | | | 930,000 | | | | 1,301,594 | |
5.00%, 03/01/2050(1) | | | 5,000,000 | | | | 5,532,141 | |
City of Omaha NE | | | | | | | | |
5.00%, 01/15/2026 | | | 1,700,000 | | | | 2,040,390 | |
Douglas County Hospital Authority No 2 | | | | | | | | |
4.00%, 11/15/2036 | | | 425,000 | | | | 511,711 | |
Lincoln County Hospital Authority No 1 | | | | | | | | |
5.00%, 11/01/2024 | | | 1,000,000 | | | | 1,015,851 | |
Nebraska Investment Finance Authority | | | | | | | | |
3.00%, 09/01/2045 | | | 2,120,000 | | | | 2,319,933 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
3.50%, 09/01/2050 | | | 940,000 | | | | 1,038,621 | |
3.75%, 09/01/2049 | | | 990,000 | | | | 1,065,949 | |
4.00%, 09/01/2049 | | | 810,000 | | | | 887,009 | |
Nebraska Public Power District | | | | | | | | |
0.60%, 01/01/2051(1) | | | 16,920,000 | | | | 17,023,912 | |
Omaha Airport Authority | | | | | | | | |
5.00%, 12/15/2031 | | | 515,000 | | | | 624,055 | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
0.10%, 07/15/2059(1)(3) | | | 2,500,000 | | | | 2,500,000 | |
| | | | | | | | |
Total Nebraska | | | | 74,627,876 | |
| | | | | | | | |
Nevada – 1.26% | | | | | | | | |
City of Carson City NV | | | | | | | | |
5.00%, 09/01/2026 | | | 550,000 | | | | 662,334 | |
City of Henderson NV | | | | | | | | |
4.00%, 06/01/2035 | | | 900,000 | | | | 1,096,662 | |
4.00%, 06/01/2036 | | | 925,000 | | | | 1,124,008 | |
4.00%, 06/01/2038 | | | 3,540,000 | | | | 4,263,839 | |
5.00%, 06/01/2037 | | | 3,230,000 | | | | 4,198,959 | |
City of Las Vegas NV Special Improvement District No 814 | | | | | | | | |
4.00%, 06/01/2039 | | | 450,000 | | | | 494,863 | |
4.00%, 06/01/2049 | | | 1,100,000 | | | | 1,189,362 | |
City of Las Vegas NV Special Improvement District No 815 | | | | | | | | |
4.75%, 12/01/2040 | | | 900,000 | | | | 1,034,919 | |
City of North Las Vegas NV | | | | | | | | |
4.00%, 06/01/2029 | | | 665,000 | | | | 809,152 | |
4.00%, 06/01/2030 | | | 695,000 | | | | 856,617 | |
5.00%, 06/01/2027 | | | 605,000 | | | | 749,694 | |
5.00%, 06/01/2028 | | | 635,000 | | | | 803,640 | |
City of Reno NV | | | | | | | | |
0.00%, 07/01/2058(3) | | | 2,000,000 | | | | 344,970 | |
5.00%, 06/01/2038 | | | 150,000 | | | | 181,016 | |
City of Sparks NV | | | | | | | | |
2.50%, 06/15/2024(3) | | | 1,300,000 | | | | 1,323,549 | |
Clark County School District | | | | | | | | |
4.00%, 06/15/2034 | | | 5,000,000 | | | | 5,765,692 | |
4.00%, 06/15/2038 | | | 775,000 | | | | 926,958 | |
5.00%, 06/15/2023 | | | 370,000 | | | | 404,160 | |
5.00%, 06/15/2023 | | | 1,665,000 | | | | 1,818,719 | |
5.00%, 06/15/2024 | | | 4,500,000 | | | | 5,110,775 | |
5.00%, 06/15/2025 | | | 25,000 | | | | 29,365 | |
5.00%, 06/15/2025 | | | 6,060,000 | | | | 7,118,025 | |
5.00%, 06/15/2026 | | | 3,670,000 | | | | 4,437,943 | |
5.00%, 06/15/2029 | | | 4,080,000 | | | | 5,162,932 | |
5.00%, 06/15/2035 | | | 500,000 | | | | 651,629 | |
County of Clark Department of Aviation | | | | | | | | |
5.00%, 07/01/2021 | | | 845,000 | | | | 845,000 | |
5.00%, 07/01/2024 | | | 3,320,000 | | | | 3,773,721 | |
5.00%, 07/01/2028 | | | 475,000 | | | | 541,444 | |
5.00%, 07/01/2035 | | | 7,000,000 | | | | 9,376,384 | |
5.00%, 07/01/2036 | | | 2,250,000 | | | | 3,002,812 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
County of Clark NV | | | | | | | | |
1.65%, 01/01/2036(1) | | | 1,560,000 | | | | 1,594,771 | |
5.00%, 11/01/2028 | | | 3,000,000 | | | | 3,682,980 | |
5.00%, 06/01/2032 | | | 3,000,000 | | | | 3,757,216 | |
5.00%, 12/01/2032 | | | 5,385,000 | | | | 6,860,127 | |
5.00%, 06/01/2035 | | | 2,070,000 | | | | 2,577,084 | |
County of Clark NV Passenger Facility Charge Revenue | | | | | | | | |
5.00%, 07/01/2024 | | | 1,370,000 | | | | 1,557,228 | |
5.00%, 07/01/2025 | | | 2,220,000 | | | | 2,607,585 | |
County of Washoe NV | | | | | | | | |
2.05%, 03/01/2036(1) | | | 4,500,000 | | | | 4,560,025 | |
2.05%, 03/01/2036(1) | | | 5,000,000 | | | | 5,066,695 | |
3.00%, 03/01/2036(1) | | | 700,000 | | | | 717,240 | |
Las Vegas Convention & Visitors Authority | | | | | | | | |
5.00%, 07/01/2031 | | | 600,000 | | | | 723,708 | |
5.00%, 07/01/2043 | | | 2,500,000 | | | | 3,042,087 | |
Las Vegas Redevelopment Agency | | | | | | | | |
5.00%, 06/15/2030 | | | 1,000,000 | | | | 1,158,113 | |
5.00%, 06/15/2040 | | | 685,000 | | | | 779,386 | |
Las Vegas Valley Water District | | | | | | | | |
4.00%, 06/01/2028 | | | 1,000,000 | | | | 1,132,033 | |
5.00%, 06/01/2039 | | | 2,815,000 | | | | 3,210,634 | |
Nevada Housing Division | | | | | | | | |
4.00%, 10/01/2049 | | | 485,000 | | | | 538,126 | |
State of Nevada Department of Business & Industry | | | | | | | | |
0.25%, 12/01/2026(1)(3) | | | 700,000 | | | | 700,090 | |
0.50%, 01/01/2050(1)(3) | | | 10,000,000 | | | | 10,000,000 | |
Tahoe-Douglas Visitors Authority | | | | | | | | |
4.00%, 07/01/2025 | | | 500,000 | | | | 547,393 | |
4.00%, 07/01/2026 | | | 1,540,000 | | | | 1,709,053 | |
| | | | | | | | |
Total Nevada | | | | 124,620,717 | |
| | | | | | | | |
New Hampshire – 0.48% | | | | | | | | |
New Hampshire Business Finance Authority | | | | | | | | |
0.20%, 09/01/2021(1) | | | 9,700,000 | | | | 9,700,020 | |
0.78% (SIFMA Municipal Swap Index Yield + 0.75%), 10/01/2033(2) | | | 9,500,000 | | | | 9,503,718 | |
3.75%, 07/01/2045(1)(3) | | | 1,000,000 | | | | 1,072,084 | |
4.00%, 01/01/2041 | | | 2,000,000 | | | | 2,239,038 | |
4.00%, 01/01/2051 | | | 3,000,000 | | | | 3,325,321 | |
4.13%, 01/20/2034 | | | 5,022,745 | | | | 6,045,874 | |
5.00%, 01/01/2024 | | | 720,000 | | | | 800,307 | |
5.25%, 07/01/2039(3) | | | 240,000 | | | | 253,355 | |
5.63%, 07/01/2046(3) | | | 125,000 | | | | 133,041 | |
5.75%, 07/01/2054(3) | | | 315,000 | | | | 335,729 | |
New Hampshire Health & Education Facilities Authority Act | | | | | | | | |
4.00%, 10/01/2038 | | | 115,000 | | | | 128,182 | |
5.00%, 07/01/2023 | | | 500,000 | | | | 547,720 | |
5.00%, 08/01/2027 | | | 1,575,000 | | | | 1,968,445 | |
5.00%, 10/01/2028 | | | 1,580,000 | | | | 1,907,508 | |
5.00%, 07/01/2030 | | | 390,000 | | | | 488,582 | |
5.00%, 08/01/2030 | | | 305,000 | | | | 380,082 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.00%, 10/01/2032 | | | 2,825,000 | | | | 3,362,976 | |
5.00%, 10/01/2038 | | | 425,000 | | | | 500,097 | |
5.00%, 07/01/2044 | | | 3,040,000 | | | | 3,547,977 | |
5.25%, 07/01/2027(3)(4) | | | 550,000 | | | | 407,000 | |
6.13%, 07/01/2052(3)(4) | | | 245,000 | | | | 181,300 | |
6.25%, 07/01/2042(3)(4) | | | 700,000 | | | | 518,000 | |
| | | | | | | | |
Total New Hampshire | | | | 47,346,356 | |
| | | | | | | | |
New Jersey – 4.67% | | | | | | | | |
Atlantic County Improvement Authority | | | | | | | | |
4.00%, 07/01/2037 | | | 460,000 | | | | 558,440 | |
Borough of Morris Plains NJ | | | | | | | | |
1.50%, 11/01/2021 | | | 4,000,000 | | | | 4,017,200 | |
Borough of Mountainside NJ | | | | | | | | |
2.00%, 04/29/2022 | | | 2,400,000 | | | | 2,433,919 | |
Borough of Roseland NJ | | | | | | | | |
1.50%, 07/20/2022 | | | 2,345,519 | | | | 2,374,249 | |
2.00%, 04/29/2022 | | | 3,300,000 | | | | 3,348,294 | |
Camden County Improvement Authority | | | | | | | | |
5.00%, 01/15/2028 | | | 500,000 | | | | 614,150 | |
5.00%, 01/15/2029 | | | 1,000,000 | | | | 1,226,066 | |
5.00%, 01/15/2033 | | | 500,000 | | | | 607,699 | |
City of Millville NJ | | | | | | | | |
2.00%, 05/04/2022 | | | 5,300,000 | | | | 5,379,766 | |
City of Newark NJ | | | | | | | | |
5.00%, 10/01/2026 | | | 700,000 | | | | 842,448 | |
5.00%, 10/01/2027 | | | 750,000 | | | | 924,871 | |
County of Hudson NJ | | | | | | | | |
3.00%, 11/15/2025 | | | 4,000,000 | | | | 4,431,982 | |
County of Union NJ | | | | | | | | |
3.00%, 03/01/2026 | | | 3,000,000 | | | | 3,308,483 | |
Essex County Improvement Authority | | | | | | | | |
4.00%, 08/01/2038 | | | 305,000 | | | | 368,586 | |
4.00%, 08/01/2039 | | | 320,000 | | | | 385,043 | |
4.00%, 08/01/2040 | | | 335,000 | | | | 402,350 | |
4.00%, 08/01/2041 | | | 350,000 | | | | 419,211 | |
Garden State Preservation Trust | | | | | | | | |
5.75%, 11/01/2028 | | | 2,000,000 | | | | 2,465,215 | |
Gloucester County Improvement Authority | | | | | | | | |
4.00%, 07/01/2039 | | | 750,000 | | | | 893,529 | |
4.00%, 07/01/2040 | | | 525,000 | | | | 624,424 | |
5.00%, 07/01/2037 | | | 1,130,000 | | | | 1,458,725 | |
Hudson County Improvement Authority | | | | | | | | |
4.00%, 01/01/2036 | | | 1,125,000 | | | | 1,336,753 | |
4.00%, 01/01/2037 | | | 855,000 | | | | 1,013,549 | |
5.00%, 10/01/2026 | | | 1,500,000 | | | | 1,832,737 | |
5.00%, 10/01/2027 | | | 1,000,000 | | | | 1,255,120 | |
New Brunswick Parking Authority | | | | | | | | |
5.00%, 09/01/2039 | | | 2,000,000 | | | | 2,395,084 | |
New Jersey Economic Development Authority | | | | | | | | |
1.20%, 11/01/2034(1) | | | 3,000,000 | | | | 3,034,458 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
2.20%, 10/01/2039(1) | | | 1,400,000 | | | | 1,490,095 | |
3.13%, 07/01/2029 | | | 445,000 | | | | 449,077 | |
4.00%, 06/15/2035 | | | 500,000 | | | | 596,682 | |
4.00%, 06/15/2037 | | | 600,000 | | | | 712,603 | |
4.00%, 06/15/2038 | | | 600,000 | | | | 711,608 | |
4.00%, 11/01/2038 | | | 825,000 | | | | 961,136 | |
4.00%, 06/15/2040 | | | 1,000,000 | | | | 1,181,072 | |
4.00%, 11/01/2044 | | | 1,000,000 | | | | 1,152,862 | |
4.00%, 08/01/2059 | | | 355,000 | | | | 393,538 | |
5.00%, 06/15/2022 | | | 200,000 | | | | 208,997 | |
5.00%, 06/15/2022 | | | 1,200,000 | | | | 1,253,509 | |
5.00%, 01/01/2023 | | | 400,000 | | | | 428,041 | |
5.00%, 03/01/2023 | | | 4,160,000 | | | | 4,483,121 | |
5.00%, 03/01/2024 | | | 2,405,000 | | | | 2,535,691 | |
5.00%, 06/15/2024 | | | 2,000,000 | | | | 2,267,371 | |
5.00%, 06/15/2025 | | | 5,190,000 | | | | 6,076,760 | |
5.00%, 06/01/2026 | | | 900,000 | | | | 1,085,162 | |
5.00%, 06/15/2026 | | | 470,000 | | | | 549,457 | |
5.00%, 06/15/2028 | | | 605,000 | | | | 624,089 | |
5.00%, 06/15/2029 | | | 1,000,000 | | | | 1,030,435 | |
5.00%, 06/15/2029 | | | 1,000,000 | | | | 1,277,621 | |
5.00%, 01/01/2030 | | | 500,000 | | | | 535,537 | |
5.00%, 06/15/2030 | | | 4,000,000 | | | | 5,044,739 | |
5.00%, 11/01/2030 | | | 1,315,000 | | | | 1,681,246 | |
5.00%, 01/01/2031 | | | 500,000 | | | | 559,487 | |
5.00%, 11/01/2031 | | | 2,200,000 | | | | 2,801,268 | |
5.00%, 06/15/2033 | | | 5,000,000 | | | | 6,360,910 | |
5.00%, 07/01/2033 | | | 2,875,000 | | | | 3,413,165 | |
5.00%, 06/15/2034 | | | 1,000,000 | | | | 1,268,544 | |
5.00%, 06/15/2035 | | | 1,595,000 | | | | 1,991,584 | |
5.00%, 10/01/2037 | | | 3,185,000 | | | | 3,749,562 | |
5.00%, 06/15/2038 | | | 10,200,000 | | | | 11,145,316 | |
5.00%, 10/01/2039(3) | | | 355,000 | | | | 363,650 | |
5.00%, 01/01/2040(3) | | | 540,000 | | | | 551,472 | |
5.00%, 10/01/2047 | | | 3,450,000 | | | | 3,991,227 | |
5.00%, 01/01/2048 | | | 2,000,000 | | | | 2,107,376 | |
5.00%, 06/15/2054(3) | | | 3,250,000 | | | | 3,542,355 | |
5.00%, 08/01/2059 | | | 1,000,000 | | | | 1,205,636 | |
5.13%, 01/01/2034 | | | 705,000 | | | | 786,005 | |
5.13%, 06/15/2043 | | | 2,450,000 | | | | 2,532,263 | |
5.25%, 09/01/2024(3) | | | 35,925,000 | | | | 41,177,946 | |
5.25%, 09/01/2025(3) | | | 1,605,000 | | | | 1,898,738 | |
5.25%, 01/01/2044 | | | 190,000 | | | | 195,464 | |
5.50%, 01/01/2027 | | | 500,000 | | | | 564,771 | |
5.50%, 06/15/2030 | | | 2,000,000 | | | | 2,473,710 | |
5.63%, 11/15/2030 | | | 2,095,000 | | | | 2,350,016 | |
5.63%, 11/15/2030 | | | 2,230,000 | | | | 2,501,449 | |
5.63%, 01/01/2052 | | | 2,000,000 | | | | 2,249,262 | |
New Jersey Educational Facilities Authority | | | | | | | | |
5.00%, 06/01/2023 | | | 930,000 | | | | 1,014,187 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.00%, 07/01/2023 | | | 3,390,000 | | | | 3,685,054 | |
5.00%, 07/01/2029 | | | 1,500,000 | | | | 1,744,875 | |
5.00%, 07/01/2032 | | | 4,920,000 | | | | 5,716,647 | |
New Jersey Health Care Facilities Financing Authority | | | | | | | | |
5.00%, 07/01/2021 | | | 40,000 | | | | 40,000 | |
5.00%, 07/01/2022 | | | 540,000 | | | | 564,035 | |
5.00%, 07/01/2023 | | | 140,000 | | | | 152,097 | |
5.00%, 07/01/2023 | | | 530,000 | | | | 580,695 | |
5.00%, 07/01/2024 | | | 110,000 | | | | 123,908 | |
5.00%, 07/01/2024 | | | 3,970,000 | | | | 4,159,774 | |
5.00%, 07/01/2025 | | | 120,000 | | | | 139,554 | |
5.00%, 07/01/2026 | | | 40,000 | | | | 47,868 | |
5.00%, 07/01/2027 | | | 60,000 | | | | 71,557 | |
5.00%, 07/01/2028 | | | 155,000 | | | | 188,873 | |
5.00%, 07/01/2030 | | | 165,000 | | | | 193,612 | |
5.00%, 07/01/2033 | | | 500,000 | | | | 596,999 | |
5.00%, 07/01/2041 | | | 815,000 | | | | 950,066 | |
5.00%, 07/01/2042(1) | | | 2,755,000 | | | | 3,233,533 | |
5.00%, 07/01/2043(1) | | | 2,250,000 | | | | 2,555,621 | |
5.00%, 07/01/2045(1) | | | 3,705,000 | | | | 4,476,986 | |
5.00%, 07/01/2046 | | | 2,375,000 | | | | 2,746,360 | |
New Jersey Higher Education Student Assistance Authority | | | | | | | | |
3.35%, 12/01/2029 | | | 1,290,000 | | | | 1,349,142 | |
5.00%, 12/01/2021 | | | 660,000 | | | | 673,242 | |
5.00%, 12/01/2023 | | | 300,000 | | | | 332,349 | |
5.00%, 12/01/2023 | | | 460,000 | | | | 511,133 | |
5.00%, 12/01/2024 | | | 745,000 | | | | 856,780 | |
5.00%, 12/01/2024 | | | 1,000,000 | | | | 1,147,108 | |
5.00%, 12/01/2025 | | | 490,000 | | | | 579,707 | |
5.00%, 12/01/2025 | | | 535,000 | | | | 630,395 | |
5.00%, 12/01/2025 | | | 1,000,000 | | | | 1,180,689 | |
5.00%, 12/01/2025 | | | 2,600,000 | | | | 3,063,602 | |
5.00%, 12/01/2026 | | | 1,330,000 | | | | 1,607,522 | |
5.00%, 12/01/2026 | | | 1,550,000 | | | | 1,873,428 | |
5.00%, 12/01/2027 | | | 1,455,000 | | | | 1,793,907 | |
5.00%, 12/01/2027 | | | 1,470,000 | | | | 1,812,401 | |
5.00%, 12/01/2044 | | | 1,000,000 | | | | 1,058,427 | |
5.50%, 12/01/2021 | | | 2,260,000 | | | | 2,308,290 | |
New Jersey Housing & Mortgage Finance Agency | | | | | | | | |
3.55%, 04/01/2027 | | | 1,925,000 | | | | 2,106,697 | |
3.65%, 04/01/2028 | | | 1,390,000 | | | | 1,528,155 | |
New Jersey Infrastructure Bank | | | | | | | | |
5.00%, 09/01/2025 | | | 1,665,000 | | | | 1,981,365 | |
New Jersey Transportation Trust Fund Authority | | | | | | | | |
0.00%, 12/15/2026 | | | 2,600,000 | | | | 2,410,567 | |
0.00%, 12/15/2026 | | | 3,000,000 | | | | 2,798,045 | |
0.00%, 12/15/2027 | | | 3,260,000 | | | | 2,949,199 | |
0.00%, 12/15/2028 | | | 780,000 | | | | 687,262 | |
0.00%, 12/15/2028 | | | 1,020,000 | | | | 898,727 | |
0.00%, 12/15/2030 | | | 2,000,000 | | | | 1,662,952 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
0.00%, 12/15/2030 | | | 2,000,000 | | | | 1,686,476 | |
0.00%, 12/15/2031 | | | 2,075,000 | | | | 1,701,095 | |
4.00%, 06/15/2037 | | | 2,250,000 | | | | 2,672,262 | |
4.00%, 06/15/2038 | | | 2,000,000 | | | | 2,372,025 | |
4.00%, 06/15/2039 | | | 1,050,000 | | | | 1,194,214 | |
4.00%, 06/15/2040 | | | 1,820,000 | | | | 2,149,725 | |
4.00%, 06/15/2040 | | | 6,000,000 | | | | 6,801,053 | |
4.00%, 06/15/2042 | | | 1,140,000 | | | | 1,284,595 | |
4.00%, 06/15/2050 | | | 4,030,000 | | | | 4,679,032 | |
5.00%, 06/15/2022 | | | 700,000 | | | | 731,627 | |
5.00%, 06/15/2023 | | | 900,000 | | | | 981,054 | |
5.00%, 12/15/2023 | | | 2,720,000 | | | | 3,030,187 | |
5.00%, 06/15/2024 | | | 2,500,000 | | | | 2,726,688 | |
5.00%, 12/15/2024 | | | 1,335,000 | | | | 1,541,569 | |
5.00%, 06/15/2025 | | | 450,000 | | | | 490,738 | |
5.00%, 12/15/2025 | | | 1,255,000 | | | | 1,494,058 | |
5.00%, 12/15/2026 | | | 2,000,000 | | | | 2,443,254 | |
5.00%, 06/15/2027 | | | 235,000 | | | | 281,819 | |
5.00%, 12/15/2028 | | | 5,510,000 | | | | 7,006,853 | |
5.00%, 06/15/2029 | | | 665,000 | | | | 694,844 | |
5.00%, 06/15/2029 | | | 1,200,000 | | | | 1,424,107 | |
5.00%, 12/15/2029 | | | 820,000 | | | | 1,056,832 | |
5.00%, 12/15/2030 | | | 2,000,000 | | | | 2,515,911 | |
5.00%, 06/15/2031 | | | 4,545,000 | | | | 5,353,632 | |
5.00%, 06/15/2032 | | | 235,000 | | | | 269,427 | |
5.00%, 06/15/2032 | | | 1,860,000 | | | | 1,943,474 | |
5.00%, 06/15/2032 | | | 2,725,000 | | | | 3,426,493 | |
5.00%, 06/15/2032 | | | 7,440,000 | | | | 9,781,169 | |
5.00%, 12/15/2032 | | | 1,340,000 | | | | 1,682,512 | |
5.00%, 06/15/2033 | | | 4,210,000 | | | | 5,337,954 | |
5.00%, 12/15/2033 | | | 2,200,000 | | | | 2,758,257 | |
5.00%, 06/15/2034 | | | 4,040,000 | | | | 5,098,390 | |
5.00%, 06/15/2037 | | | 1,780,000 | | | | 2,283,673 | |
5.00%, 06/15/2038 | | | 1,675,000 | | | | 2,076,036 | |
5.00%, 06/15/2040 | | | 2,040,000 | | | | 2,601,171 | |
5.00%, 06/15/2050 | | | 905,000 | | | | 1,135,119 | |
5.25%, 12/15/2021 | | | 3,000,000 | | | | 3,067,569 | |
5.25%, 12/15/2022 | | | 1,760,000 | | | | 1,887,067 | |
5.25%, 12/15/2023 | | | 3,940,000 | | | | 4,413,390 | |
5.25%, 06/15/2043 | | | 3,000,000 | | | | 3,738,605 | |
5.50%, 12/15/2023 | | | 190,000 | | | | 213,988 | |
New Jersey Turnpike Authority | | | | | | | | |
4.00%, 01/01/2042 | | | 6,565,000 | | | | 7,886,951 | |
4.00%, 01/01/2051 | | | 725,000 | | | | 860,382 | |
5.00%, 01/01/2028 | | | 1,540,000 | | | | 1,887,041 | |
5.00%, 01/01/2033 | | | 5,000,000 | | | | 5,755,236 | |
State of New Jersey | | | | | | | | |
4.00%, 06/01/2030 | | | 15,285,000 | | | | 18,781,520 | |
4.00%, 06/01/2031 | | | 3,845,000 | | | | 4,788,043 | |
4.00%, 06/01/2032 | | | 2,370,000 | | | | 2,989,833 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.00%, 06/01/2025 | | | 2,635,000 | | | | 3,092,233 | |
5.00%, 06/01/2026 | | | 3,420,000 | | | | 4,136,498 | |
5.00%, 06/01/2027 | | | 5,000,000 | | | | 6,208,866 | |
5.00%, 06/01/2029 | | | 16,450,000 | | | | 21,301,126 | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
0.18%, 01/01/2024(1)(3) | | | 2,800,000 | | | | 2,800,000 | |
0.18%, 12/15/2028(1)(3) | | | 900,000 | | | | 900,000 | |
0.25%, 12/15/2034(1)(3) | | | 1,600,000 | | | | 1,600,000 | |
Tobacco Settlement Financing Corp. | | | | | | | | |
5.00%, 06/01/2023 | | | 570,000 | | | | 621,242 | |
5.00%, 06/01/2024 | | | 1,000,000 | | | | 1,133,388 | |
5.00%, 06/01/2026 | | | 1,050,000 | | | | 1,271,342 | |
Township of Lacey NJ | | | | | | | | |
1.50%, 05/19/2022 | | | 2,231,000 | | | | 2,255,208 | |
Township of Montclair NJ | | | | | | | | |
4.00%, 03/01/2023 | | | 800,000 | | | | 851,224 | |
4.00%, 03/01/2027 | | | 325,000 | | | | 385,915 | |
Township of Saddle Brook NJ | | | | | | | | |
1.50%, 05/13/2022 | | | 1,715,000 | | | | 1,733,707 | |
Village of Ridgewood NJ | | | | | | | | |
1.50%, 01/26/2022 | | | 7,100,000 | | | | 7,153,321 | |
| | | | | | | | |
Total New Jersey | | | | 461,668,388 | |
| | | | | | | | |
New Mexico – 0.28% | | | | | | | | |
Albuquerque Bernalillo County Water Utility Authority | | | | | | | | |
5.00%, 07/01/2027 | | | 2,400,000 | | | | 2,921,835 | |
5.00%, 07/01/2028 | | | 1,700,000 | | | | 2,064,020 | |
Albuquerque Municipal School District No 12 | | | | | | | | |
5.00%, 08/01/2025 | | | 800,000 | | | | 945,405 | |
City of Farmington NM | | | | | | | | |
1.88%, 04/01/2033(1) | | | 10,500,000 | | | | 10,537,712 | |
City of Santa Fe NM | | | | | | | | |
2.25%, 05/15/2024 | | | 555,000 | | | | 557,198 | |
2.63%, 05/15/2025 | | | 995,000 | | | | 1,000,089 | |
Farmington Municipal School District No 5 | | | | | | | | |
5.00%, 09/01/2024 | | | 490,000 | | | | 561,503 | |
New Mexico Hospital Equipment Loan Council | | | | | | | | |
5.00%, 08/01/2049(1) | | | 2,360,000 | | | | 2,772,155 | |
New Mexico Mortgage Finance Authority | | | | | | | | |
3.75%, 01/01/2050 | | | 685,000 | | | | 757,035 | |
New Mexico Municipal Energy Acquisition Authority | | | | | | | | |
5.00%, 11/01/2039(1) | | | 5,140,000 | | | | 5,977,369 | |
| | | | | | | | |
Total New Mexico | | | | 28,094,321 | |
| | | | | | | | |
New York – 9.95% | | | | | | | | |
Albany County Airport Authority | | | | | | | | |
5.00%, 12/15/2021 | | | 800,000 | | | | 816,226 | |
Broome County Local Development Corp. | | | | | | | | |
4.00%, 04/01/2034 | | | 1,000,000 | | | | 1,191,659 | |
Buffalo Sewer Authority | | | | | | | | |
4.00%, 06/15/2034 | | | 175,000 | | | | 207,121 | |
4.00%, 06/15/2036 | | | 265,000 | | | | 312,579 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.00%, 06/15/2030 | | | 150,000 | | | | 190,767 | |
5.00%, 06/15/2032 | | | 150,000 | | | | 189,534 | |
Build NYC Resource Corp. | | | | | | | | |
4.88%, 05/01/2031(3) | | | 750,000 | | | | 867,615 | |
5.00%, 08/01/2022 | | | 200,000 | | | | 208,083 | |
5.00%, 08/01/2023 | | | 515,000 | | | | 554,899 | |
5.00%, 01/01/2035(3) | | | 3,900,000 | | | | 4,398,925 | |
5.00%, 12/01/2041(3) | | | 1,250,000 | | | | 1,455,865 | |
5.00%, 12/01/2055(3) | | | 430,000 | | | | 490,431 | |
5.50%, 05/01/2048(3) | | | 1,350,000 | | | | 1,577,871 | |
City of Geneva NY | | | | | | | | |
1.50%, 05/05/2022 | | | 10,140,500 | | | | 10,251,731 | |
City of Long Beach NY | | | | | | | | |
5.00%, 09/01/2028 | | | 2,000,000 | | | | 2,465,797 | |
5.00%, 09/01/2029 | | | 2,800,000 | | | | 3,468,316 | |
City of New York NY | | | | | | | | |
5.00%, 03/01/2023 | | | 505,000 | | | | 545,106 | |
5.00%, 08/01/2025 | | | 1,600,000 | | | | 1,892,948 | |
5.00%, 08/01/2026 | | | 2,575,000 | | | | 3,139,794 | |
5.00%, 08/01/2027 | | | 400,000 | | | | 464,625 | |
5.00%, 08/01/2027 | | | 2,975,000 | | | | 3,514,402 | |
5.00%, 08/01/2028 | | | 400,000 | | | | 478,961 | |
5.00%, 08/01/2028 | | | 700,000 | | | | 852,361 | |
5.00%, 08/01/2028 | | | 3,975,000 | | | | 4,688,648 | |
5.00%, 08/01/2029 | | | 1,305,000 | | | | 1,643,507 | |
5.00%, 08/01/2029 | | | 1,500,000 | | | | 1,889,088 | |
5.00%, 08/01/2031 | | | 1,000,000 | | | | 1,247,892 | |
5.00%, 08/01/2032 | | | 1,745,000 | | | | 2,163,559 | |
5.00%, 11/01/2032 | | | 9,070,000 | | | | 12,062,890 | |
5.00%, 08/01/2034 | | | 1,690,000 | | | | 2,218,873 | |
5.00%, 12/01/2036 | | | 1,300,000 | | | | 1,640,828 | |
5.00%, 12/01/2037 | | | 1,880,000 | | | | 2,367,501 | |
5.00%, 12/01/2037 | | | 7,360,000 | | | | 8,960,760 | |
5.00%, 04/01/2039 | | | 5,000,000 | | | | 6,170,371 | |
5.00%, 03/01/2050 | | | 575,000 | | | | 737,655 | |
City of Yonkers NY | | | | | | | | |
5.00%, 09/01/2022 | | | 2,350,000 | | | | 2,480,610 | |
5.00%, 09/01/2025 | | | 1,015,000 | | | | 1,200,007 | |
County of Broome NY | | | | | | | | |
1.50%, 04/29/2022 | | | 10,300,000 | | | | 10,410,752 | |
County of Erie NY | | | | | | | | |
5.00%, 09/15/2021 | | | 225,000 | | | | 227,226 | |
5.00%, 06/01/2025 | | | 1,000,000 | | | | 1,176,504 | |
County of Nassau NY | | | | | | | | |
5.00%, 10/01/2024 | | | 3,000,000 | | | | 3,439,803 | |
County of Suffolk NY | | | | | | | | |
4.00%, 02/01/2028 | | | 1,865,000 | | | | 2,231,795 | |
Erie County Fiscal Stability Authority | | | | | | | | |
5.00%, 09/01/2033 | | | 525,000 | | | | 651,753 | |
Glen Cove Local Economic Assistance Corp. | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
0.00%, 01/01/2045 | | | 3,550,000 | | | | 1,390,167 | |
0.00%, 01/01/2055 | | | 710,000 | | | | 753,661 | |
5.00%, 01/01/2056 | | | 1,485,000 | | | | 1,644,776 | |
Hempstead Town Local Development Corp. | | | | | | | | |
4.00%, 07/01/2039 | | | 575,000 | | | | 703,962 | |
4.00%, 07/01/2041 | | | 620,000 | | | | 755,590 | |
5.00%, 07/01/2022 | | | 1,230,000 | | | | 1,290,066 | |
5.00%, 07/01/2023 | | | 1,160,000 | | | | 1,272,671 | |
5.53%, 02/01/2040 | | | 3,500,000 | | | | 4,005,727 | |
5.89%, 02/01/2032 | | | 1,250,000 | | | | 1,432,939 | |
6.24%, 02/01/2047 | | | 1,000,000 | | | | 1,141,634 | |
6.47%, 02/01/2033 | | | 1,000,000 | | | | 1,203,593 | |
Hempstead Union Free School District | | | | | | | | |
1.00%, 06/30/2022 | | | 1,000,000 | | | | 1,006,740 | |
1.00%, 07/13/2022 | | | 2,875,000 | | | | 2,895,096 | |
Hudson Yards Infrastructure Corp. | | | | | | | | |
5.00%, 02/15/2032 | | | 12,325,000 | | | | 15,030,387 | |
5.00%, 02/15/2035 | | | 1,700,000 | | | | 2,060,295 | |
5.00%, 02/15/2037 | | | 1,335,000 | | | | 1,611,702 | |
Long Island Power Authority | | | | | | | | |
0.85%, 09/01/2050(1) | | | 6,125,000 | | | | 6,132,424 | |
1.00%, 09/01/2025 | | | 9,250,000 | | | | 9,358,514 | |
1.65%, 09/01/2049(1) | | | 4,395,000 | | | | 4,535,108 | |
5.00%, 09/01/2023 | | | 550,000 | | | | 606,905 | |
5.00%, 09/01/2024 | | | 565,000 | | | | 648,412 | |
5.00%, 09/01/2025 | | | 1,000,000 | | | | 1,188,184 | |
5.00%, 09/01/2026 | | | 2,000,000 | | | | 2,449,219 | |
5.00%, 09/01/2027 | | | 6,500,000 | | | | 8,176,715 | |
5.00%, 09/01/2039 | | | 1,725,000 | | | | 2,180,767 | |
Madrid-Waddington Central School District | | | | | | | | |
1.50%, 06/24/2022 | | | 1,250,000 | | | | 1,265,426 | |
Metropolitan Transportation Authority | | | | | | | | |
0.00%, 11/15/2033 | | | 1,600,000 | | | | 1,236,451 | |
0.48% (SIFMA Municipal Swap Index Yield + 0.45%), 11/01/2026(2) | | | 2,485,000 | | | | 2,484,843 | |
0.83% (Secured Overnight Financing Rate + 0.80%), 11/01/2032(2) | | | 2,700,000 | | | | 2,751,009 | |
4.00%, 02/01/2022 | | | 5,455,000 | | | | 5,572,787 | |
4.00%, 11/15/2045 | | | 3,375,000 | | | | 3,939,710 | |
4.00%, 11/15/2047 | | | 3,610,000 | | | | 4,204,662 | |
4.00%, 11/15/2052 | | | 4,455,000 | | | | 5,124,894 | |
5.00%, 09/01/2021 | | | 25,000,000 | | | | 25,195,010 | |
5.00%, 11/15/2021 | | | 500,000 | | | | 508,612 | |
5.00%, 11/15/2021 | | | 640,000 | | | | 651,033 | |
5.00%, 09/01/2022 | | | 1,900,000 | | | | 2,004,109 | |
5.00%, 11/15/2022 | | | 200,000 | | | | 212,665 | |
5.00%, 11/15/2022 | | | 3,830,000 | | | | 4,075,618 | |
5.00%, 02/01/2023 | | | 4,915,000 | | | | 5,274,111 | |
5.00%, 11/15/2024 | | | 1,500,000 | | | | 1,731,107 | |
5.00%, 11/15/2024 | | | 1,885,000 | | | | 2,091,050 | |
5.00%, 11/15/2025 | | | 1,155,000 | | | | 1,371,098 | |
5.00%, 11/15/2026 | | | 1,600,000 | | | | 1,955,310 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.00%, 11/15/2026 | | | 2,350,000 | | | | 2,871,475 | |
5.00%, 11/15/2028 | | | 2,970,000 | | | | 3,745,537 | |
5.00%, 11/15/2028 | | | 4,000,000 | | | | 5,111,624 | |
5.00%, 11/15/2029 | | | 2,220,000 | | | | 2,596,316 | |
5.00%, 11/15/2029 | | | 6,190,000 | | | | 8,088,098 | |
5.00%, 11/15/2030 | | | 5,000,000 | | | | 6,648,821 | |
5.00%, 11/15/2031 | | | 1,055,000 | | | | 1,263,279 | |
5.00%, 11/15/2033 | | | 1,025,000 | | | | 1,189,864 | |
5.00%, 11/15/2033 | | | 1,715,000 | | | | 2,125,525 | |
5.00%, 11/15/2033 | | | 3,645,000 | | | | 4,517,515 | |
5.00%, 11/15/2034 | | | 4,000,000 | | | | 4,948,684 | |
5.00%, 11/15/2035 | | | 1,750,000 | | | | 2,030,214 | |
5.00%, 11/15/2036 | | | 1,865,000 | | | | 2,227,527 | |
5.00%, 11/15/2039 | | | 2,000,000 | | | | 2,245,984 | |
5.25%, 11/15/2030 | | | 1,570,000 | | | | 1,857,479 | |
5.25%, 11/15/2036 | | | 5,000,000 | | | | 6,073,125 | |
Monroe County Industrial Development Corp. | | | | | | | | |
5.00%, 07/01/2025 | | | 885,000 | | | | 1,046,058 | |
5.00%, 12/01/2032 | | | 1,000,000 | | | | 1,292,317 | |
5.00%, 12/01/2033 | | | 1,000,000 | | | | 1,287,316 | |
5.00%, 12/01/2034 | | | 1,100,000 | | | | 1,414,961 | |
5.00%, 01/01/2050 | | | 490,000 | | | | 552,696 | |
MTA Hudson Rail Yards Trust Obligations | | | | | | | | |
5.00%, 11/15/2051 | | | 1,500,000 | | | | 1,522,507 | |
5.00%, 11/15/2056 | | | 4,380,000 | | | | 4,722,055 | |
Nassau County Industrial Development Agency | | | | | | | | |
6.50%, 01/01/2034(4) | | | 672,500 | | | | 538,000 | |
6.70%, 01/01/2049(4) | | | 793,750 | | | | 635,000 | |
New York City Health & Hospitals Corp. | | | | | | | | |
4.00%, 02/15/2025 | | | 1,060,000 | | | | 1,194,463 | |
New York City Housing Development Corp. | | | | | | | | |
0.60%, 05/01/2061(1) | | | 9,915,000 | | | | 9,881,609 | |
0.70%, 11/01/2060(1) | | | 7,205,000 | | | | 7,205,634 | |
0.70%, 11/01/2060(1) | | | 20,320,000 | | | | 20,347,326 | |
1.13%, 05/01/2060(1) | | | 7,500,000 | | | | 7,542,096 | |
2.75%, 05/01/2050(1) | | | 6,500,000 | | | | 6,721,902 | |
5.00%, 05/01/2026 | | | 110,000 | | | | 130,924 | |
5.00%, 05/01/2027 | | | 600,000 | | | | 730,819 | |
5.00%, 11/01/2027 | | | 855,000 | | | | 1,053,404 | |
5.00%, 05/01/2028 | | | 875,000 | | | | 1,090,917 | |
5.00%, 11/01/2028 | | | 600,000 | | | | 755,628 | |
5.00%, 05/01/2029 | | | 300,000 | | | | 381,378 | |
5.00%, 11/01/2029 | | | 875,000 | | | | 1,116,785 | |
5.00%, 11/01/2030 | | | 500,000 | | | | 646,554 | |
New York City Industrial Development Agency | | | | | | | | |
4.00%, 03/01/2045 | | | 3,500,000 | | | | 4,097,316 | |
5.00%, 01/01/2024 | | | 2,250,000 | | | | 2,511,801 | |
5.00%, 01/01/2028 | | | 1,250,000 | | | | 1,573,284 | |
5.00%, 03/01/2028 | | | 850,000 | | | | 1,061,597 | |
5.00%, 01/01/2029 | | | 1,500,000 | | | | 1,929,766 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
New York City Transitional Finance Authority Building Aid Revenue | | | | | | | | |
5.00%, 07/15/2024 | | | 200,000 | | | | 228,468 | |
5.00%, 07/15/2025 | | | 1,695,000 | | | | 2,004,946 | |
5.00%, 07/15/2026 | | | 1,995,000 | | | | 2,434,316 | |
5.00%, 07/15/2027 | | | 1,940,000 | | | | 2,431,550 | |
5.00%, 07/15/2032 | | | 2,000,000 | | | | 2,487,183 | |
New York City Transitional Finance Authority Future Tax Secured Revenue | | | | | | | | |
4.00%, 05/01/2036 | | | 2,000,000 | | | | 2,437,384 | |
4.00%, 11/01/2038 | | | 4,000,000 | | | | 4,830,275 | |
4.00%, 02/01/2040 | | | 9,900,000 | | | | 11,905,999 | |
4.00%, 11/01/2040 | | | 5,000,000 | | | | 5,912,436 | |
5.00%, 11/01/2023 | | | 2,165,000 | | | | 2,405,864 | |
5.00%, 11/01/2024 | | | 4,215,000 | | | | 4,866,895 | |
5.00%, 11/01/2025 | | | 5,355,000 | | | | 6,395,307 | |
5.00%, 11/01/2028 | | | 1,500,000 | | | | 1,783,584 | |
5.00%, 11/01/2029 | | | 2,000,000 | | | | 2,338,878 | |
5.00%, 02/01/2030 | | | 4,480,000 | | | | 5,375,592 | |
5.00%, 02/01/2031 | | | 2,720,000 | | | | 2,920,419 | |
5.00%, 11/01/2032 | | | 6,750,000 | | | | 9,005,388 | |
5.00%, 05/01/2033 | | | 2,535,000 | | | | 3,200,224 | |
5.00%, 08/01/2034 | | | 700,000 | | | | 887,656 | |
5.00%, 08/01/2035 | | | 1,600,000 | | | | 2,026,412 | |
5.00%, 08/01/2036 | | | 1,000,000 | | | | 1,264,051 | |
5.00%, 11/01/2036 | | | 7,000,000 | | | | 9,217,226 | |
5.00%, 11/01/2037 | | | 10,000,000 | | | | 13,120,856 | |
5.00%, 08/01/2038 | | | 1,975,000 | | | | 2,488,082 | |
5.00%, 02/01/2041 | | | 200,000 | | | | 229,923 | |
New York City Water & Sewer System | | | | | | | | |
4.00%, 06/15/2039 | | | 5,290,000 | | | | 6,337,397 | |
5.00%, 06/15/2031 | | | 6,075,000 | | | | 7,117,413 | |
5.00%, 06/15/2032 | | | 10,000,000 | | | | 13,646,717 | |
5.00%, 06/15/2034 | | | 4,800,000 | | | | 5,021,124 | |
5.00%, 06/15/2035 | | | 9,025,000 | | | | 10,698,295 | |
5.00%, 06/15/2036 | | | 5,000,000 | | | | 5,919,799 | |
5.00%, 06/15/2037 | | | 6,000,000 | | | | 6,988,592 | |
5.00%, 06/15/2039 | | | 8,320,000 | | | | 9,676,713 | |
5.00%, 06/15/2046 | | | 9,785,000 | | | | 10,614,133 | |
New York Convention Center Development Corp. | | | | | | | | |
5.00%, 11/15/2033 | | | 3,000,000 | | | | 3,538,784 | |
5.00%, 11/15/2040 | | | 1,085,000 | | | | 1,274,242 | |
New York Liberty Development Corp. | | | | | | | | |
2.63%, 09/15/2069 | | | 400,000 | | | | 413,381 | |
2.80%, 09/15/2069 | | | 1,025,000 | | | | 1,051,703 | |
5.00%, 09/15/2031 | | | 4,000,000 | | | | 4,131,894 | |
5.00%, 11/15/2044(3) | | | 1,300,000 | | | | 1,439,433 | |
5.25%, 10/01/2035 | | | 2,285,000 | | | | 3,291,060 | |
5.38%, 11/15/2040(3) | | | 6,200,000 | | | | 6,995,129 | |
5.75%, 11/15/2051 | | | 2,000,000 | | | | 2,038,550 | |
New York State Dormitory Authority | | | | | | | | |
3.00%, 03/15/2038 | | | 3,860,000 | | | | 4,231,745 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
4.00%, 03/15/2032 | | | 20,000,000 | | | | 22,432,356 | |
4.00%, 02/15/2037 | | | 5,000,000 | | | | 5,977,107 | |
5.00%, 10/01/2021 | | | 300,000 | | | | 303,633 | |
5.00%, 12/01/2022(3) | | | 900,000 | | | | 958,232 | |
5.00%, 07/01/2023 | | | 5,000 | | | | 5,464 | |
5.00%, 07/01/2023 | | | 245,000 | | | | 268,383 | |
5.00%, 07/01/2023 | | | 1,000,000 | | | | 1,095,439 | |
5.00%, 12/15/2023 | | | 430,000 | | | | 460,270 | |
5.00%, 12/15/2023 | | | 570,000 | | | | 609,843 | |
5.00%, 03/15/2024 | | | 3,700,000 | | | | 4,172,591 | |
5.00%, 05/01/2024 | | | 4,870,000 | | | | 5,502,637 | |
5.00%, 07/01/2024 | | | 5,000 | | | | 5,681 | |
5.00%, 07/01/2024 | | | 345,000 | | | | 392,926 | |
5.00%, 03/15/2025 | | | 500,000 | | | | 584,927 | |
5.00%, 07/01/2025 | | | 5,000 | | | | 5,878 | |
5.00%, 07/01/2025 | | | 255,000 | | | | 300,406 | |
5.00%, 12/01/2026(3) | | | 300,000 | | | | 346,601 | |
5.00%, 12/01/2026(3) | | | 1,500,000 | | | | 1,832,462 | |
5.00%, 03/15/2027 | | | 2,500,000 | | | | 2,917,114 | |
5.00%, 07/01/2027 | | | 200,000 | | | | 239,308 | |
5.00%, 12/01/2027(3) | | | 500,000 | | | | 577,950 | |
5.00%, 07/01/2028 | | | 110,000 | | | | 133,992 | |
5.00%, 10/01/2028 | | | 1,735,000 | | | | 2,188,820 | |
5.00%, 12/01/2028(3) | | | 600,000 | | | | 692,614 | |
5.00%, 03/15/2029 | | | 3,700,000 | | | | 4,159,325 | |
5.00%, 10/01/2029 | | | 1,430,000 | | | | 1,798,703 | |
5.00%, 12/01/2029(3) | | | 450,000 | | | | 519,233 | |
5.00%, 07/01/2030 | | | 150,000 | | | | 187,650 | |
5.00%, 10/01/2030 | | | 1,910,000 | | | | 2,392,578 | |
5.00%, 12/01/2030(3) | | | 1,000,000 | | | | 1,153,165 | |
5.00%, 03/15/2031 | | | 6,090,000 | | | | 8,152,911 | |
5.00%, 02/15/2032 | | | 8,610,000 | | | | 8,867,947 | |
5.00%, 12/01/2033(3) | | | 700,000 | | | | 848,459 | |
5.00%, 03/15/2036 | | | 10,000,000 | | | | 13,242,962 | |
5.00%, 05/01/2048(1) | | | 1,145,000 | | | | 1,162,728 | |
5.00%, 05/01/2048(1) | | | 1,040,000 | | | | 1,230,248 | |
5.00%, 05/01/2048(1) | | | 5,695,000 | | | | 6,306,022 | |
5.25%, 03/15/2033 | | | 6,000,000 | | | | 7,150,837 | |
5.25%, 03/15/2037 | | | 3,065,000 | | | | 3,939,244 | |
5.25%, 03/15/2038 | | | 1,930,000 | | | | 2,477,524 | |
New York State Environmental Facilities Corp. | | | | | | | | |
5.00%, 05/15/2026 | | | 335,000 | | | | 364,766 | |
New York State Housing Finance Agency | | | | | | | | |
0.55%, 11/01/2024 | | | 4,015,000 | | | | 4,027,172 | |
0.65%, 11/01/2056(1) | | | 7,645,000 | | | | 7,643,854 | |
0.75%, 05/01/2025 | | | 10,450,000 | | | | 10,483,664 | |
0.75%, 11/01/2025 | | | 2,785,000 | | | | 2,789,512 | |
0.75%, 11/01/2025 | | | 4,870,000 | | | | 4,877,889 | |
New York State Thruway Authority | | | | | | | | |
5.00%, 01/01/2032 | | | 2,835,000 | | | | 3,254,718 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
New York State Urban Development Corp. | | | | | | | | |
3.00%, 03/15/2048 | | | 1,000,000 | | | | 1,073,337 | |
4.00%, 03/15/2034 | | | 4,475,000 | | | | 5,413,996 | |
4.00%, 03/15/2039 | | | 10,000,000 | | | | 11,899,923 | |
5.00%, 03/15/2022 | | | 360,000 | | | | 372,339 | |
5.00%, 03/15/2023 | | | 700,000 | | | | 757,747 | |
5.00%, 03/15/2024 | | | 400,000 | | | | 450,975 | |
5.00%, 03/15/2035 | | | 2,800,000 | | | | 3,130,683 | |
5.00%, 03/15/2035 | | | 3,000,000 | | | | 3,944,084 | |
5.00%, 03/15/2036 | | | 8,560,000 | | | | 11,227,854 | |
5.00%, 03/15/2047 | | | 12,160,000 | | | | 15,578,543 | |
New York Transportation Development Corp. | | | | | | | | |
2.25%, 08/01/2026 | | | 1,175,000 | | | | 1,205,146 | |
4.00%, 10/01/2030 | | | 3,860,000 | | | | 4,664,342 | |
4.00%, 12/01/2039 | | | 450,000 | | | | 542,397 | |
4.00%, 12/01/2040 | | | 500,000 | | | | 601,132 | |
4.00%, 12/01/2041 | | | 450,000 | | | | 540,048 | |
4.00%, 12/01/2042 | | | 500,000 | | | | 588,910 | |
4.00%, 12/01/2042 | | | 500,000 | | | | 596,981 | |
5.00%, 01/01/2023 | | | 270,000 | | | | 287,769 | |
5.00%, 12/01/2023 | | | 1,350,000 | | | | 1,497,298 | |
5.00%, 08/01/2026 | | | 1,000,000 | | | | 1,003,617 | |
5.00%, 12/01/2028 | | | 300,000 | | | | 386,011 | |
5.00%, 12/01/2028 | | | 400,000 | | | | 509,106 | |
5.00%, 12/01/2029 | | | 300,000 | | | | 394,533 | |
5.00%, 12/01/2030 | | | 250,000 | | | | 334,861 | |
5.00%, 01/01/2031 | | | 1,015,000 | | | | 1,249,588 | |
5.00%, 08/01/2031 | | | 5,105,000 | | | | 5,123,127 | |
5.00%, 12/01/2031 | | | 300,000 | | | | 400,923 | |
5.00%, 12/01/2032 | | | 1,775,000 | | | | 2,352,057 | |
5.00%, 01/01/2033 | | | 5,500,000 | | | | 6,737,667 | |
5.00%, 12/01/2033 | | | 400,000 | | | | 528,395 | |
5.00%, 12/01/2033 | | | 700,000 | | | | 908,188 | |
5.00%, 12/01/2034 | | | 400,000 | | | | 517,756 | |
5.00%, 12/01/2034 | | | 500,000 | | | | 656,888 | |
5.00%, 10/01/2035 | | | 9,000,000 | | | | 11,665,169 | |
5.00%, 12/01/2035 | | | 500,000 | | | | 655,582 | |
5.00%, 12/01/2035 | | | 800,000 | | | | 1,033,459 | |
5.00%, 12/01/2036 | | | 550,000 | | | | 720,009 | |
5.00%, 12/01/2037 | | | 500,000 | | | | 643,112 | |
5.00%, 12/01/2037 | | | 600,000 | | | | 783,280 | |
5.00%, 12/01/2038 | | | 500,000 | | | | 651,236 | |
5.00%, 10/01/2040 | | | 2,200,000 | | | | 2,805,788 | |
5.00%, 07/01/2041 | | | 2,300,000 | | | | 2,586,872 | |
5.00%, 07/01/2046 | | | 800,000 | | | | 898,859 | |
5.25%, 08/01/2031 | | | 500,000 | | | | 602,058 | |
5.38%, 08/01/2036 | | | 800,000 | | | | 1,025,466 | |
Oneida County Local Development Corp. | | | | | | | | |
5.00%, 12/01/2025 | | | 320,000 | | | | 354,483 | |
5.00%, 12/01/2027 | | | 1,425,000 | | | | 1,571,260 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.00%, 12/01/2028 | | | 1,000,000 | | | | 1,099,674 | |
Onondaga Civic Development Corp. | | | | | | | | |
5.00%, 12/01/2033 | | | 1,000,000 | | | | 1,318,707 | |
Port Authority of New York & New Jersey | | | | | | | | |
4.00%, 07/15/2034 | | | 2,000,000 | | | | 2,462,343 | |
4.00%, 07/15/2037 | | | 2,500,000 | | | | 3,001,247 | |
5.00%, 09/15/2024 | | | 5,115,000 | | | | 5,848,496 | |
5.00%, 09/15/2026 | | | 1,000,000 | | | | 1,213,975 | |
5.00%, 10/15/2028 | | | 4,000,000 | | | | 4,708,536 | |
5.00%, 09/15/2029 | | | 1,500,000 | | | | 1,879,095 | |
5.00%, 10/15/2029 | | | 1,000,000 | | | | 1,219,309 | |
5.00%, 09/15/2032 | | | 1,500,000 | | | | 1,856,416 | |
5.00%, 07/15/2033 | | | 2,500,000 | | | | 3,309,119 | |
5.00%, 10/15/2033 | | | 3,500,000 | | | | 3,963,337 | |
5.00%, 10/15/2033 | | | 6,000,000 | | | | 7,232,854 | |
5.00%, 12/01/2033 | | | 5,070,000 | | | | 5,605,068 | |
5.00%, 10/15/2037 | | | 4,665,000 | | | | 5,259,888 | |
State of New York Mortgage Agency | | | | | | | | |
2.20%, 10/01/2029 | | | 1,000,000 | | | | 1,050,332 | |
3.45%, 04/01/2026 | | | 2,185,000 | | | | 2,399,407 | |
5.00%, 04/01/2022 | | | 355,000 | | | | 367,609 | |
5.00%, 10/01/2023 | | | 920,000 | | | | 1,014,497 | |
Suffolk County Economic Development Corp. | | | | | | | | |
5.00%, 07/01/2028 | | | 1,750,000 | | | | 1,750,000 | |
5.38%, 11/01/2054(3) | | | 2,210,000 | | | | 2,306,209 | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
0.10%, 11/15/2044(1)(3) | | | 1,700,000 | | | | 1,700,000 | |
0.13%, 11/15/2026(1)(3) | | | 1,600,000 | | | | 1,600,000 | |
0.13%, 01/01/2028(1)(3) | | | 500,000 | | | | 500,000 | |
0.18%, 01/01/2028(1)(3) | | | 2,900,000 | | | | 2,900,000 | |
0.18%, 01/01/2044(1)(3) | | | 3,700,000 | | | | 3,700,000 | |
0.28%, 05/15/2028(1)(3) | | | 700,000 | | | | 700,000 | |
Tompkins County Development Corp. | | | | | | | | |
5.00%, 07/01/2044 | | | 115,000 | | | | 125,409 | |
Town of Hempstead NY | | | | | | | | |
4.00%, 06/15/2028 | | | 3,665,000 | | | | 4,253,153 | |
Town of Oyster Bay NY | | | | | | | | |
2.00%, 03/01/2022 | | | 950,000 | | | | 959,437 | |
4.00%, 03/01/2023 | | | 875,000 | | | | 924,842 | |
Triborough Bridge & Tunnel Authority | | | | | | | | |
0.06%, 01/01/2032(1) | | | 2,100,000 | | | | 2,100,000 | |
2.00%, 05/15/2045(1) | | | 2,425,000 | | | | 2,616,350 | |
2.00%, 05/15/2045(1) | | | 6,375,000 | | | | 6,804,250 | |
5.00%, 11/15/2030 | | | 4,000,000 | | | | 5,377,926 | |
5.00%, 11/15/2033 | | | 8,000,000 | | | | 10,699,088 | |
5.00%, 11/15/2035 | | | 5,270,000 | | | | 6,716,655 | |
5.00%, 05/15/2051 | | | 3,100,000 | | | | 4,043,108 | |
TSASC, Inc. | | | | | | | | |
5.00%, 06/01/2028 | | | 2,025,000 | | | | 2,505,172 | |
Utility Debt Securitization Authority | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.00%, 12/15/2032 | | | 640,000 | | | | 713,719 | |
5.00%, 12/15/2041 | | | 5,000,000 | | | | 6,263,967 | |
Westchester County Local Development Corp. | | | | | | | | |
5.50%, 05/01/2042 | | | 150,000 | | | | 165,090 | |
| | | | | | | | |
Total New York | | | | 984,163,478 | |
| | | | | | | | |
North Carolina – 1.20% | | | | | | | | |
Charlotte-Mecklenburg Hospital Authority | | | | | | | | |
5.00%, 01/15/2031 | | | 1,500,000 | | | | 1,538,733 | |
5.00%, 01/15/2048(1) | | | 5,000,000 | | | | 5,155,414 | |
5.00%, 01/15/2050(1) | | | 8,500,000 | | | | 10,986,195 | |
City of Charlotte NC Airport Special Facilities Revenue | | | | | | | | |
4.00%, 07/01/2038 | | | 1,525,000 | | | | 1,842,092 | |
4.00%, 07/01/2039 | | | 1,670,000 | | | | 2,011,986 | |
4.00%, 07/01/2040 | | | 2,030,000 | | | | 2,441,233 | |
4.00%, 07/01/2041 | | | 1,500,000 | | | | 1,798,945 | |
County of New Hanover NC | | | | | | | | |
5.00%, 10/01/2023 | | | 1,125,000 | | | | 1,240,918 | |
5.00%, 10/01/2027 | | | 100,000 | | | | 124,989 | |
5.00%, 10/01/2034 | | | 1,000,000 | | | | 1,249,890 | |
5.00%, 10/01/2047 | | | 840,000 | | | | 1,049,908 | |
Mecklenburg County Public Facilities Corp. | | | | | | | | |
5.00%, 02/01/2023 | | | 2,160,000 | | | | 2,322,729 | |
North Carolina Capital Facilities Finance Agency | | | | | | | | |
0.12%, 07/01/2034(1) | | | 6,275,000 | | | | 6,274,602 | |
4.00%, 05/01/2023 | | | 265,000 | | | | 282,672 | |
4.00%, 05/01/2024 | | | 190,000 | | | | 208,377 | |
5.00%, 05/01/2031 | | | 1,000,000 | | | | 1,318,375 | |
North Carolina Medical Care Commission | | | | | | | | |
2.20%, 12/01/2048(1) | | | 2,285,000 | | | | 2,323,974 | |
2.55%, 06/01/2048(1) | | | 3,955,000 | | | | 4,234,452 | |
4.00%, 03/01/2024 | | | 110,000 | | | | 118,200 | |
4.00%, 03/01/2025 | | | 135,000 | | | | 147,846 | |
4.00%, 03/01/2029 | | | 140,000 | | | | 160,015 | |
4.00%, 03/01/2030 | | | 145,000 | | | | 165,438 | |
4.00%, 03/01/2031 | | | 145,000 | | | | 164,366 | |
4.00%, 09/01/2033 | | | 180,000 | | | | 214,624 | |
4.00%, 03/01/2041 | | | 2,225,000 | | | | 2,458,983 | |
4.00%, 03/01/2042 | | | 1,500,000 | | | | 1,606,476 | |
4.88%, 07/01/2040 | | | 550,000 | | | | 593,523 | |
5.00%, 10/01/2023 | | | 110,000 | | | | 120,969 | |
5.00%, 10/01/2024 | | | 300,000 | | | | 338,224 | |
5.00%, 10/01/2025 | | | 250,000 | | | | 269,199 | |
5.00%, 03/01/2026 | | | 125,000 | | | | 144,634 | |
5.00%, 03/01/2027 | | | 150,000 | | | | 176,884 | |
5.00%, 03/01/2028 | | | 155,000 | | | | 185,582 | |
5.00%, 10/01/2030 | | | 420,000 | | | | 452,810 | |
5.00%, 10/01/2030 | | | 2,100,000 | | | | 2,310,470 | |
5.00%, 01/01/2031 | | | 625,000 | | | | 719,742 | |
5.00%, 10/01/2031 | | | 2,950,000 | | | | 3,238,816 | |
5.00%, 02/01/2032 | | | 500,000 | | | | 670,692 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.00%, 09/01/2037 | | | 3,000,000 | | | | 3,246,673 | |
5.00%, 10/01/2037 | | | 250,000 | | | | 272,089 | |
5.00%, 01/01/2039 | | | 1,225,000 | | | | 1,389,591 | |
5.00%, 07/01/2039 | | | 800,000 | | | | 905,254 | |
5.00%, 10/01/2040 | | | 900,000 | | | | 1,104,437 | |
5.00%, 09/01/2041 | | | 440,000 | | | | 476,308 | |
5.00%, 10/01/2043 | | | 2,000,000 | | | | 2,221,416 | |
5.00%, 07/01/2049 | | | 900,000 | | | | 1,007,120 | |
5.00%, 02/01/2051(1) | | | 1,000,000 | | | | 1,200,411 | |
6.25%, 07/01/2035 | | | 1,000,000 | | | | 1,079,325 | |
North Carolina Turnpike Authority | | | | | | | | |
4.00%, 01/01/2055 | | | 3,550,000 | | | | 4,025,928 | |
5.00%, 02/01/2024 | | | 11,390,000 | | | | 12,741,066 | |
5.00%, 01/01/2027 | | | 530,000 | | | | 649,574 | |
5.00%, 01/01/2032 | | | 1,000,000 | | | | 1,190,336 | |
5.00%, 07/01/2051 | | | 1,700,000 | | | | 1,939,891 | |
Raleigh Durham Airport Authority | | | | | | | | |
5.00%, 05/01/2024 | | | 2,000,000 | | | | 2,257,993 | |
5.00%, 05/01/2025 | | | 3,000,000 | | | | 3,507,071 | |
State of North Carolina | | | | | | | | |
5.00%, 03/01/2022 | | | 1,000,000 | | | | 1,032,449 | |
5.00%, 03/01/2023 | | | 2,335,000 | | | | 2,517,589 | |
5.00%, 05/01/2026 | | | 4,750,000 | | | | 5,761,172 | |
5.00%, 05/01/2027 | | | 7,500,000 | | | | 9,365,694 | |
| | | | | | | | |
Total North Carolina | | | | 118,554,364 | |
| | | | | | | | |
North Dakota – 0.11% | | | | | | | | |
Cass County Joint Water Resource District | | | | | | | | |
0.48%, 05/01/2024 | | | 2,065,000 | | | | 2,060,872 | |
North Dakota Housing Finance Agency | | | | | | | | |
3.00%, 07/01/2051 | | | 6,500,000 | | | | 7,092,439 | |
3.00%, 01/01/2052 | | | 1,500,000 | | | | 1,647,496 | |
| | | | | | | | |
Total North Dakota | | | | 10,800,807 | |
| | | | | | | | |
Ohio – 2.13% | | | | | | | | |
Akron Bath Copley Joint Township Hospital District | | | | | | | | |
4.00%, 11/15/2033 | | | 425,000 | | | | 508,729 | |
4.00%, 11/15/2034 | | | 500,000 | | | | 597,042 | |
4.00%, 11/15/2036 | | | 2,000,000 | | | | 2,379,370 | |
4.00%, 11/15/2037 | | | 1,600,000 | | | | 1,898,100 | |
5.25%, 11/15/2031 | | | 530,000 | | | | 636,493 | |
5.25%, 11/15/2032 | | | 645,000 | | | | 773,193 | |
5.25%, 11/15/2033 | | | 1,770,000 | | | | 2,117,755 | |
5.25%, 11/15/2046 | | | 1,255,000 | | | | 1,480,709 | |
American Municipal Power, Inc. | | | | | | | | |
1.00%, 02/15/2048(1) | | | 2,015,000 | | | | 2,045,493 | |
2.30%, 02/15/2038(1) | | | 2,900,000 | | | | 2,906,955 | |
Buckeye Tobacco Settlement Financing Authority | | | | | | | | |
4.00%, 06/01/2038 | | | 1,000,000 | | | | 1,201,092 | |
5.00%, 06/01/2055 | | | 38,820,000 | | | | 45,347,890 | |
City of Cleveland OH Airport System Revenue | | | | | | | | |
5.00%, 01/01/2024 | | | 2,450,000 | | | | 2,738,333 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.00%, 01/01/2048 | | | 2,000,000 | | | | 2,468,045 | |
City of Columbus OH | | | | | | | | |
5.00%, 04/01/2033 | | | 1,345,000 | | | | 1,736,930 | |
City of Dayton OH Airport Revenue | | | | | | | | |
5.00%, 12/01/2021 | | | 1,050,000 | | | | 1,068,360 | |
City of Hamilton OH Electric System Revenue | | | | | | | | |
4.00%, 10/01/2037 | | | 1,000,000 | | | | 1,175,668 | |
Clermont County Port Authority | | | | | | | | |
5.00%, 12/01/2029 | | | 750,000 | | | | 883,731 | |
5.00%, 12/01/2030 | | | 850,000 | | | | 1,000,350 | |
5.00%, 12/01/2031 | | | 650,000 | | | | 764,974 | |
Cleveland-Cuyahoga County Port Authority | | | | | | | | |
5.50%, 12/01/2043 | | | 125,000 | | | | 151,077 | |
5.50%, 12/01/2053 | | | 900,000 | | | | 1,080,991 | |
County of Allen OH Hospital Facilities Revenue | | | | | | | | |
4.00%, 05/01/2033 | | | 9,620,000 | | | | 9,929,750 | |
5.00%, 12/01/2029 | | | 585,000 | | | | 767,691 | |
5.00%, 12/01/2030 | | | 585,000 | | | | 774,152 | |
5.00%, 08/01/2047(1) | | | 500,000 | | | | 519,438 | |
County of Cuyahoga OH | | | | | | | | |
5.00%, 12/01/2026 | | | 2,500,000 | | | | 2,784,203 | |
5.00%, 02/15/2042 | | | 2,525,000 | | | | 2,940,930 | |
5.50%, 02/15/2052 | | | 1,790,000 | | | | 2,125,864 | |
5.50%, 02/15/2057 | | | 1,245,000 | | | | 1,475,690 | |
County of Fairfield OH | | | | | | | | |
4.25%, 06/15/2024 | | | 1,470,000 | | | | 1,547,977 | |
County of Franklin OH | | | | | | | | |
5.00%, 11/15/2033(1) | | | 12,880,000 | | | | 13,988,951 | |
County of Hamilton OH | | | | | | | | |
5.00%, 01/01/2022 | | | 465,000 | | | | 474,766 | |
5.00%, 09/15/2034 | | | 1,050,000 | | | | 1,344,598 | |
5.25%, 06/01/2026 | | | 660,000 | | | | 684,898 | |
County of Marion OH | | | | | | | | |
5.13%, 12/01/2049 | | | 575,000 | | | | 630,787 | |
County of Montgomery OH | | | | | | | | |
5.00%, 08/01/2025 | | | 515,000 | | | | 608,376 | |
County of Muskingum OH | | | | | | | | |
4.00%, 02/15/2023 | | | 1,700,000 | | | | 1,772,348 | |
5.00%, 02/15/2048 | | | 2,080,000 | | | | 2,156,304 | |
County of Scioto OH | | | | | | | | |
5.00%, 02/15/2029 | | | 1,300,000 | | | | 1,525,973 | |
County of Wood OH | | | | | | | | |
5.00%, 12/01/2032 | | | 40,000 | | | | 40,760 | |
5.00%, 12/01/2032 | | | 75,000 | | | | 79,981 | |
5.00%, 12/01/2042 | | | 50,000 | | | | 50,538 | |
5.00%, 12/01/2042 | | | 95,000 | | | | 101,309 | |
Franklin County Convention Facilities Authority | | | | | | | | |
5.00%, 12/01/2044 | | | 1,550,000 | | | | 1,836,302 | |
5.00%, 12/01/2051 | | | 2,135,000 | | | | 2,511,609 | |
Lancaster Port Authority | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.00%, 08/01/2049(1) | | | 2,000,000 | | | | 2,303,388 | |
Miami University/Oxford OH | | | | | | | | |
5.00%, 09/01/2030 | | | 475,000 | | | | 636,787 | |
5.00%, 09/01/2032 | | | 1,000,000 | | | | 1,329,183 | |
5.00%, 09/01/2034 | | | 700,000 | | | | 844,823 | |
Mizuho Floater/Residual Trust | | | | | | | | |
0.28%, 04/01/2034(1)(3) | | | 700,000 | | | | 700,000 | |
Ohio Air Quality Development Authority | | | | | | | | |
2.10%, 12/01/2027(1) | | | 5,000,000 | | | | 5,220,384 | |
2.10%, 07/01/2028(1) | | | 12,500,000 | | | | 13,055,603 | |
2.10%, 10/01/2028(1) | | | 15,000,000 | | | | 15,667,236 | |
2.88%, 02/01/2026 | | | 5,400,000 | | | | 5,714,680 | |
3.25%, 09/01/2029 | | | 2,995,000 | | | | 3,278,869 | |
4.50%, 01/15/2048(3) | | | 2,000,000 | | | | 2,346,374 | |
5.00%, 07/01/2049(3) | | | 2,800,000 | | | | 3,187,015 | |
Ohio Higher Educational Facility Commission | | | | | | | | |
5.00%, 05/01/2028 | | | 1,535,000 | | | | 1,935,571 | |
5.00%, 10/01/2032 | | | 1,000,000 | | | | 1,262,587 | |
5.00%, 05/01/2033 | | | 995,000 | | | | 1,291,189 | |
Ohio Housing Finance Agency | | | | | | | | |
4.50%, 03/01/2050 | | | 220,000 | | | | 247,184 | |
Ohio Turnpike & Infrastructure Commission | | | | | | | | |
5.00%, 02/15/2051 | | | 795,000 | | | | 1,034,494 | |
Port of Greater Cincinnati Development Authority | | | | | | | | |
3.75%, 12/01/2031(3) | | | 485,000 | | | | 497,849 | |
Southeastern Ohio Port Authority | | | | | | | | |
5.50%, 12/01/2043 | | | 1,000,000 | | | | 1,089,000 | |
5.75%, 12/01/2032 | | | 445,000 | | | | 467,523 | |
6.00%, 12/01/2042 | | | 550,000 | | | | 576,521 | |
State of Ohio | | | | | | | | |
4.00%, 01/15/2050 | | | 450,000 | | | | 519,620 | |
5.00%, 10/01/2022 | | | 1,000,000 | | | | 1,060,419 | |
5.00%, 08/01/2024 | | | 2,500,000 | | | | 2,861,054 | |
5.00%, 01/01/2030 | | | 1,170,000 | | | | 1,474,427 | |
5.00%, 10/01/2035 | | | 1,410,000 | | | | 1,731,934 | |
5.00%, 01/15/2050 | | | 1,000,000 | | | | 1,246,076 | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
0.10%, 12/01/2043(1)(3) | | | 600,000 | | | | 600,000 | |
United Local School District | | | | | | | | |
4.00%, 12/01/2026 | | | 165,000 | | | | 191,707 | |
4.00%, 12/01/2029 | | | 120,000 | | | | 144,966 | |
4.00%, 12/01/2030 | | | 175,000 | | | | 213,797 | |
4.00%, 12/01/2032 | | | 320,000 | | | | 386,970 | |
University of Akron | | | | | | | | |
4.00%, 01/01/2027 | | | 2,780,000 | | | | 3,261,237 | |
5.00%, 01/01/2037 | | | 6,675,000 | | | | 7,977,921 | |
University of Cincinnati | | | | | | | | |
5.00%, 06/01/2028 | | | 250,000 | | | | 308,692 | |
5.00%, 06/01/2029 | | | 400,000 | | | | 492,974 | |
| | | | | | | | |
Total Ohio | | | | 210,792,529 | |
| | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Oklahoma – 0.67% | | | | | | | | |
Cache Educational Facilities Authority | | | | | | | | |
5.00%, 09/01/2023 | | | 500,000 | | | | 547,503 | |
Canadian County Educational Facilities Authority | | | | | | | | |
4.00%, 09/01/2025 | | | 1,500,000 | | | | 1,713,766 | |
5.00%, 09/01/2026 | | | 1,725,000 | | | | 2,102,623 | |
5.00%, 09/01/2028 | | | 1,120,000 | | | | 1,353,569 | |
Cleveland County Educational Facilities Authority | | | | | | | | |
5.00%, 09/01/2024 | | | 440,000 | | | | 499,431 | |
5.00%, 09/01/2025 | | | 300,000 | | | | 350,898 | |
5.00%, 09/01/2026 | | | 375,000 | | | | 451,171 | |
Dewey County Educational Facilities Authority | | | | | | | | |
5.00%, 09/01/2030 | | | 2,470,000 | | | | 2,965,299 | |
Garvin County Educational Facilities Authority | | | | | | | | |
5.00%, 12/01/2024 | | | 515,000 | | | | 586,633 | |
5.00%, 12/01/2025 | | | 545,000 | | | | 639,077 | |
5.00%, 12/01/2026 | | | 820,000 | | | | 986,310 | |
Grady County School Finance Authority | | | | | | | | |
5.00%, 09/01/2028 | | | 375,000 | | | | 477,196 | |
5.00%, 09/01/2030 | | | 1,235,000 | | | | 1,557,654 | |
Grand River Dam Authority | | | | | | | | |
5.00%, 06/01/2023 | | | 1,000,000 | | | | 1,090,524 | |
Muskogee Industrial Trust | | | | | | | | |
4.00%, 09/01/2030 | | | 2,000,000 | | | | 2,320,270 | |
Norman Regional Hospital Authority | | | | | | | | |
4.00%, 09/01/2045 | | | 1,750,000 | | | | 1,994,500 | |
Oklahoma City Airport Trust | | | | | | | | |
5.00%, 07/01/2025 | | | 2,040,000 | | | | 2,392,624 | |
5.00%, 07/01/2026 | | | 2,195,000 | | | | 2,648,192 | |
5.00%, 07/01/2030 | | | 1,350,000 | | | | 1,695,845 | |
5.00%, 07/01/2032 | | | 2,960,000 | | | | 3,708,331 | |
5.00%, 07/01/2035 | | | 3,240,000 | | | | 4,035,120 | |
5.00%, 07/01/2043 | | | 1,065,000 | | | | 1,303,798 | |
Oklahoma County Finance Authority | | | | | | | | |
5.13%, 04/01/2042 | | | 1,900,000 | | | | 1,720,725 | |
5.70%, 04/01/2025 | | | 335,000 | | | | 335,247 | |
Oklahoma Department of Transportation | | | | | | | | |
5.00%, 09/01/2030 | | | 1,015,000 | | | | 1,303,476 | |
Oklahoma Development Finance Authority | | | | | | | | |
3.00%, 06/01/2022 | | | 1,015,000 | | | | 1,041,226 | |
4.00%, 12/01/2022 | | | 530,000 | | | | 558,531 | |
4.00%, 06/01/2023 | | | 1,305,000 | | | | 1,398,234 | |
5.00%, 08/01/2023 | | | 515,000 | | | | 556,006 | |
5.00%, 08/01/2026 | | | 75,000 | | | | 87,758 | |
5.00%, 08/15/2029 | | | 420,000 | | | | 521,410 | |
5.00%, 08/01/2030 | | | 1,010,000 | | | | 1,236,694 | |
5.00%, 02/15/2042 | | | 400,000 | | | | 411,981 | |
5.25%, 08/15/2048 | | | 2,500,000 | | | | 3,055,455 | |
5.50%, 08/15/2052 | | | 830,000 | | | | 1,025,752 | |
5.50%, 08/15/2057 | | | 1,000,000 | | | | 1,232,853 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Oklahoma State University | | | | | | | | |
5.00%, 09/01/2031 | | | 1,500,000 | | | | 1,994,851 | |
Oklahoma Turnpike Authority | | | | | | | | |
5.00%, 01/01/2025 | | | 700,000 | | | | 812,069 | |
5.00%, 01/01/2026 | | | 2,500,000 | | | | 2,998,136 | |
5.00%, 01/01/2027 | | | 3,000,000 | | | | 3,705,947 | |
5.00%, 01/01/2028 | | | 2,905,000 | | | | 3,683,588 | |
Tulsa Airports Improvement Trust | | | | | | | | |
5.00%, 06/01/2031 | | | 1,120,000 | | | | 1,399,151 | |
5.00%, 06/01/2033 | | | 1,240,000 | | | | 1,546,399 | |
Tulsa County Industrial Authority | | | | | | | | |
5.00%, 11/15/2023 | | | 230,000 | | | | 251,828 | |
5.00%, 11/15/2029 | | | 400,000 | | | | 462,229 | |
| | | | | | | | |
Total Oklahoma | | | | 66,759,880 | |
| | | | | | | | |
Oregon – 0.63% | | | | | | | | |
City of Eugene OR Electric Utility System Revenue | | | | | | | | |
4.00%, 08/01/2036 | | | 300,000 | | | | 365,674 | |
Hillsboro School District No 1J | | | | | | | | |
5.00%, 06/15/2028 | | | 1,525,000 | | | | 1,914,993 | |
Klamath Falls Intercommunity Hospital Authority | | | | | | | | |
5.00%, 09/01/2031 | | | 200,000 | | | | 237,066 | |
5.00%, 09/01/2032 | | | 270,000 | | | | 319,490 | |
5.00%, 09/01/2046 | | | 1,000,000 | | | | 1,163,649 | |
Medford Hospital Facilities Authority | | | | | | | | |
4.00%, 08/15/2045 | | | 2,500,000 | | | | 2,959,140 | |
5.00%, 08/15/2036 | | | 1,145,000 | | | | 1,498,829 | |
Oregon State Business Development Commission | | | | | | | | |
5.00%, 03/01/2049(1) | | | 10,000,000 | | | | 10,303,330 | |
Oregon State Lottery | | | | | | | | |
5.00%, 04/01/2036 | | | 2,500,000 | | | | 3,045,948 | |
Port of Portland OR Airport Revenue | | | | | | | | |
4.00%, 07/01/2040 | | | 5,800,000 | | | | 6,813,882 | |
5.00%, 07/01/2026 | | | 1,700,000 | | | | 2,045,437 | |
5.00%, 07/01/2027 | | | 1,000,000 | | | | 1,235,230 | |
5.00%, 07/01/2027 | | | 2,000,000 | | | | 2,470,460 | |
5.00%, 07/01/2028 | | | 2,000,000 | | | | 2,528,119 | |
5.00%, 07/01/2028 | | | 2,190,000 | | | | 2,768,290 | |
5.00%, 07/01/2029 | | | 750,000 | | | | 946,486 | |
5.00%, 07/01/2031 | | | 1,000,000 | | | | 1,201,372 | |
5.00%, 07/01/2032 | | | 1,000,000 | | | | 1,120,729 | |
5.00%, 07/01/2033 | | | 3,485,000 | | | | 3,905,742 | |
State of Oregon | | | | | | | | |
4.00%, 05/01/2039 | | | 2,000,000 | | | | 2,474,451 | |
4.00%, 05/01/2040 | | | 1,000,000 | | | | 1,233,952 | |
State of Oregon Housing & Community Services Department | | | | | | | | |
3.50%, 01/01/2051 | | | 1,325,000 | | | | 1,469,058 | |
Yamhill County Hospital Authority | | | | | | | | |
1.75%, 11/15/2026 | | | 2,000,000 | | | | 2,002,567 | |
2.13%, 11/15/2027 | | | 1,000,000 | | | | 1,002,074 | |
2.50%, 11/15/2028 | | | 1,000,000 | | | | 1,002,714 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.00%, 11/15/2046 | | | 1,540,000 | | | | 1,804,043 | |
5.00%, 11/15/2051 | | | 1,005,000 | | | | 1,099,012 | |
5.00%, 11/15/2051 | | | 1,100,000 | | | | 1,282,954 | |
5.00%, 11/15/2056 | | | 1,940,000 | | | | 2,244,316 | |
| | | | | | | | |
Total Oregon | | | | 62,459,007 | |
| | | | | | | | |
Pennsylvania – 4.71% | | | | | | | | |
Allegheny County Hospital Development Authority | | | | | | | | |
5.00%, 07/15/2025 | | | 2,370,000 | | | | 2,791,427 | |
5.00%, 07/15/2034 | | | 5,100,000 | | | | 6,540,346 | |
Allentown City School District | | | | | | | | |
1.00%, 03/31/2022 | | | 1,375,000 | | | | 1,375,004 | |
5.00%, 02/01/2031 | | | 500,000 | | | | 647,271 | |
5.00%, 02/01/2033 | | | 470,000 | | | | 604,913 | |
Allentown Neighborhood Improvement Zone Development Authority | | | | | | | | |
5.00%, 05/01/2022(3) | | | 1,525,000 | | | | 1,576,922 | |
5.00%, 05/01/2025 | | | 1,000,000 | | | | 1,038,390 | |
5.00%, 05/01/2027(3) | | | 1,250,000 | | | | 1,497,986 | |
5.00%, 05/01/2032(3) | | | 2,025,000 | | | | 2,388,239 | |
5.00%, 05/01/2042(3) | | | 1,750,000 | | | | 2,087,281 | |
5.00%, 05/01/2042(3) | | | 4,345,000 | | | | 5,051,098 | |
6.00%, 05/01/2042(3) | | | 450,000 | | | | 568,281 | |
Bucks County Industrial Development Authority | | | | | | | | |
5.00%, 07/01/2025 | | | 375,000 | | | | 427,372 | |
5.00%, 07/01/2026 | | | 475,000 | | | | 554,520 | |
5.00%, 07/01/2027 | | | 475,000 | | | | 566,256 | |
5.00%, 07/01/2028 | | | 925,000 | | | | 1,122,669 | |
5.00%, 07/01/2029 | | | 500,000 | | | | 616,226 | |
5.00%, 07/01/2030 | | | 675,000 | | | | 843,163 | |
5.00%, 07/01/2033 | | | 640,000 | | | | 806,544 | |
5.00%, 07/01/2034 | | | 1,580,000 | | | | 1,985,035 | |
5.00%, 07/01/2035 | | | 435,000 | | | | 545,673 | |
5.00%, 07/01/2036 | | | 665,000 | | | | 831,852 | |
5.00%, 07/01/2037 | | | 1,410,000 | | | | 1,758,673 | |
5.00%, 07/01/2038 | | | 1,460,000 | | | | 1,816,691 | |
5.00%, 07/01/2039 | | | 1,510,000 | | | | 1,874,186 | |
Capital Region Water Revenue | | | | | | | | |
5.00%, 07/15/2023 | | | 1,750,000 | | | | 1,906,976 | |
5.00%, 07/15/2025 | | | 1,000,000 | | | | 1,158,694 | |
Capital Region Water Sewer Revenue | | | | | | | | |
5.00%, 07/15/2024 | | | 430,000 | | | | 483,200 | |
5.00%, 07/15/2028 | | | 350,000 | | | | 438,860 | |
Chester County Industrial Development Authority | | | | | | | | |
4.38%, 03/01/2028(3) | | | 175,000 | | | | 197,026 | |
5.00%, 03/01/2038(3) | | | 425,000 | | | | 508,848 | |
5.13%, 03/01/2048(3) | | | 1,047,000 | | | | 1,242,237 | |
City of Philadelphia PA | | | | | | | | |
5.00%, 08/01/2022 | | | 2,940,000 | | | | 3,093,145 | |
5.00%, 08/01/2023 | | | 4,000,000 | | | | 4,384,602 | |
5.00%, 07/15/2026 | | | 2,475,000 | | | | 2,763,836 | |
5.00%, 08/01/2027 | | | 1,500,000 | | | | 1,885,869 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.00%, 08/01/2028 | | | 6,000,000 | | | | 7,053,279 | |
5.00%, 02/01/2029 | | | 3,175,000 | | | | 4,075,782 | |
5.00%, 08/01/2031 | | | 500,000 | | | | 673,896 | |
5.00%, 08/01/2031 | | | 8,000,000 | | | | 9,895,760 | |
5.00%, 08/01/2033 | | | 2,000,000 | | | | 2,453,087 | |
City of Philadelphia PA Airport Revenue | | | | | | | | |
5.00%, 07/01/2024 | | | 10,745,000 | | | | 12,209,992 | |
5.00%, 07/01/2025 | | | 10,000,000 | | | | 11,715,570 | |
5.00%, 07/01/2026 | | | 1,155,000 | | | | 1,402,319 | |
5.00%, 06/15/2027 | | | 2,315,000 | | | | 2,335,331 | |
5.00%, 07/01/2027 | | | 1,520,000 | | | | 1,893,605 | |
5.00%, 07/01/2029 | | | 230,000 | | | | 295,073 | |
5.00%, 07/01/2030 | | | 1,000,000 | | | | 1,226,040 | |
5.00%, 07/01/2031 | | | 2,000,000 | | | | 2,444,554 | |
5.00%, 07/01/2032 | | | 1,745,000 | | | | 2,128,775 | |
5.00%, 07/01/2033 | | | 1,000,000 | | | | 1,220,512 | |
City of Philadelphia PA Water & Wastewater Revenue | | | | | | | | |
5.00%, 11/01/2026 | | | 1,165,000 | | | | 1,435,037 | |
5.00%, 11/01/2027 | | | 1,540,000 | | | | 1,941,269 | |
5.00%, 07/01/2030 | | | 4,000,000 | | | | 4,691,419 | |
5.00%, 11/01/2032 | | | 1,000,000 | | | | 1,248,020 | |
City of Reading PA | | | | | | | | |
5.00%, 11/01/2027 | | | 2,330,000 | | | | 2,854,743 | |
Coatesville School District | | | | | | | | |
5.00%, 08/01/2025 | | | 875,000 | | | | 1,029,765 | |
Commonwealth Financing Authority | | | | | | | | |
5.00%, 06/01/2023 | | | 750,000 | | | | 816,532 | |
5.00%, 06/01/2027 | | | 750,000 | | | | 930,351 | |
5.00%, 06/01/2027 | | | 1,500,000 | | | | 1,855,817 | |
5.00%, 06/01/2027 | | | 2,165,000 | | | | 2,685,613 | |
5.00%, 06/01/2028 | | | 2,555,000 | | | | 3,229,647 | |
5.00%, 06/01/2030 | | | 1,750,000 | | | | 2,305,946 | |
5.00%, 06/01/2031 | | | 1,255,000 | | | | 1,662,162 | |
Commonwealth of Pennsylvania | | | | | | | | |
3.00%, 05/15/2034 | | | 590,000 | | | | 668,955 | |
4.00%, 11/15/2028 | | | 6,325,000 | | | | 6,416,087 | |
4.00%, 04/01/2033 | | | 20,000,000 | | | | 21,255,776 | |
4.00%, 03/15/2035 | | | 2,500,000 | | | | 2,797,934 | |
5.00%, 08/15/2021 | | | 1,015,000 | | | | 1,020,865 | |
5.00%, 11/01/2021 | | | 2,000,000 | | | | 2,030,019 | |
5.00%, 02/01/2023 | | | 895,000 | | | | 963,020 | |
5.00%, 01/01/2024 | | | 5,800,000 | | | | 6,479,496 | |
5.00%, 01/01/2027 | | | 2,095,000 | | | | 2,586,710 | |
County of Lancaster PA | | | | | | | | |
4.00%, 11/01/2029 | | | 625,000 | | | | 755,179 | |
4.00%, 11/01/2030 | | | 560,000 | | | | 672,501 | |
County of Luzerne PA | | | | | | | | |
5.00%, 12/15/2029 | | | 750,000 | | | | 938,746 | |
County of Mercer PA | | | | | | | | |
4.00%, 10/01/2030 | | | 175,000 | | | | 214,288 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Cumberland County Municipal Authority | | | | | | | | |
4.00%, 01/01/2033 | | | 210,000 | | | | 235,450 | |
4.00%, 01/01/2033 | | | 1,290,000 | | | | 1,396,266 | |
4.50%, 01/01/2040(3) | | | 3,500,000 | | | | 3,646,615 | |
Dauphin County General Authority | | | | | | | | |
5.00%, 06/01/2035 | | | 1,000,000 | | | | 1,172,153 | |
Delaware County Authority | | | | | | | | |
5.00%, 08/01/2030 | | | 1,150,000 | | | | 1,340,482 | |
Delaware River Joint Toll Bridge Commission | | | | | | | | |
5.00%, 07/01/2042 | | | 1,100,000 | | | | 1,334,400 | |
Doylestown Hospital Authority | | | | | | | | |
4.00%, 07/01/2045 | | | 750,000 | | | | 826,719 | |
5.00%, 07/01/2046 | | | 3,700,000 | | | | 4,176,911 | |
5.00%, 07/01/2049 | | | 3,620,000 | | | | 4,288,326 | |
Easton Area School District | | | | | | | | |
5.00%, 04/01/2029 | | | 1,000,000 | | | | 1,204,529 | |
5.00%, 04/01/2030 | | | 2,805,000 | | | | 3,369,957 | |
Franklin County Industrial Development Authority | | | | | | | | |
5.00%, 12/01/2053 | | | 500,000 | | | | 537,915 | |
Geisinger Authority | | | | | | | | |
5.00%, 04/01/2035 | | | 3,000,000 | | | | 3,896,942 | |
5.00%, 02/15/2039 | | | 1,500,000 | | | | 1,797,331 | |
General Authority of Southcentral Pennsylvania | | | | | | | | |
5.00%, 06/01/2038 | | | 1,970,000 | | | | 2,481,592 | |
5.00%, 06/01/2044 | | | 1,085,000 | | | | 1,351,161 | |
Hospitals & Higher Education Facilities Authority of Philadelphia | | | | | | | | |
5.00%, 07/01/2021 | | | 275,000 | | | | 275,000 | |
5.00%, 07/01/2023 | | | 325,000 | | | | 349,107 | |
5.00%, 07/01/2030 | | | 780,000 | | | | 917,149 | |
5.00%, 07/01/2034 | | | 2,000,000 | | | | 2,326,658 | |
Lancaster City Parking Authority | | | | | | | | |
4.00%, 09/01/2035 | | | 1,100,000 | | | | 1,261,807 | |
Lancaster County Hospital Authority | | | | | | | | |
5.00%, 08/15/2021 | | | 215,000 | | | | 216,255 | |
5.00%, 07/01/2023 | | | 775,000 | | | | 827,066 | |
5.00%, 12/01/2032 | | | 250,000 | | | | 275,480 | |
5.00%, 12/01/2037 | | | 820,000 | | | | 894,316 | |
5.00%, 07/01/2045 | | | 1,970,000 | | | | 2,154,670 | |
5.00%, 12/01/2047 | | | 2,010,000 | | | | 2,156,420 | |
Latrobe Industrial Development Authority | | | | | | | | |
4.00%, 03/01/2037 | | | 450,000 | | | | 498,358 | |
4.00%, 03/01/2039 | | | 320,000 | | | | 352,950 | |
4.00%, 03/01/2040 | | | 500,000 | | | | 550,962 | |
4.00%, 03/01/2046 | | | 750,000 | | | | 820,537 | |
4.00%, 03/01/2051 | | | 800,000 | | | | 872,462 | |
Lehigh County Industrial Development Authority | | | | | | | | |
1.80%, 02/15/2027(1) | | | 1,025,000 | | | | 1,041,541 | |
1.80%, 09/01/2029(1) | | | 1,925,000 | | | | 1,957,256 | |
Luzerne County Industrial Development Authority | | | | | | | | |
5.00%, 12/15/2027 | | | 1,000,000 | | | | 1,185,407 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Montgomery County Higher Education & Health Authority | | | | | | | | |
5.00%, 09/01/2023 | | | 460,000 | | | | 504,331 | |
5.00%, 10/01/2023 | | | 50,000 | | | | 54,021 | |
5.00%, 09/01/2024 | | | 410,000 | | | | 466,210 | |
5.00%, 10/01/2028 | | | 1,000,000 | | | | 1,150,227 | |
5.00%, 09/01/2032 | | | 1,000,000 | | | | 1,275,342 | |
5.00%, 09/01/2033 | | | 305,000 | | | | 387,889 | |
5.00%, 10/01/2036 | | | 1,320,000 | | | | 1,488,796 | |
5.00%, 10/01/2040 | | | 1,595,000 | | | | 1,789,129 | |
Montgomery County Industrial Development Authority | | | | | | | | |
5.25%, 01/15/2036 | | | 2,500,000 | | | | 2,827,073 | |
5.25%, 01/01/2040 | | | 1,510,000 | | | | 1,631,385 | |
5.38%, 01/01/2050 | | | 500,000 | | | | 538,458 | |
North Allegheny School District | | | | | | | | |
4.00%, 05/01/2035 | | | 1,000,000 | | | | 1,200,884 | |
4.00%, 05/01/2036 | | | 705,000 | | | | 844,440 | |
Northampton County General Purpose Authority | | | | | | | | |
1.11% (1 Month LIBOR USD + 1.04%), 08/15/2048(2) | | | 1,625,000 | | | | 1,634,693 | |
5.00%, 08/15/2036 | | | 455,000 | | | | 537,826 | |
Pennsylvania Economic Development Financing Authority | | | | | | | | |
0.15%, 12/01/2030(1) | | | 2,525,000 | | | | 2,525,000 | |
0.40%, 10/01/2023 | | | 10,000,000 | | | | 10,001,421 | |
0.43% (SIFMA Municipal Swap Index Yield + 0.40%), 06/01/2041(2) | | | 3,085,000 | | | | 3,085,021 | |
1.75%, 08/01/2038(1) | | | 10,000,000 | | | | 10,382,449 | |
2.15%, 11/01/2021 | | | 2,405,000 | | | | 2,419,854 | |
3.25%, 08/01/2039(3) | | | 625,000 | | | | 649,362 | |
4.00%, 04/15/2037 | | | 1,000,000 | | | | 1,193,511 | |
4.00%, 11/15/2042 | | | 7,500,000 | | | | 8,597,759 | |
5.00%, 04/15/2026 | | | 2,500,000 | | | | 3,010,893 | |
5.00%, 04/15/2027 | | | 4,600,000 | | | | 5,692,898 | |
5.00%, 04/15/2031 | | | 2,095,000 | | | | 2,760,751 | |
9.00%, 04/01/2051(1)(3) | | | 3,030,000 | | | | 3,768,703 | |
Pennsylvania Higher Educational Facilities Authority | | | | | | | | |
5.00%, 06/15/2022 | | | 2,000,000 | | | | 2,092,727 | |
5.00%, 06/15/2024 | | | 3,005,000 | | | | 3,410,007 | |
5.00%, 06/15/2025 | | | 1,855,000 | | | | 2,179,664 | |
5.00%, 08/15/2029 | | | 1,600,000 | | | | 1,996,003 | |
Pennsylvania Housing Finance Agency | | | | | | | | |
3.50%, 04/01/2051 | | | 795,000 | | | | 860,762 | |
Pennsylvania State University | | | | | | | | |
5.00%, 09/01/2021 | | | 1,400,000 | | | | 1,411,217 | |
5.00%, 09/01/2022 | | | 2,295,000 | | | | 2,425,331 | |
Pennsylvania Turnpike Commission | | | | | | | | |
4.00%, 12/01/2039 | | | 4,000,000 | | | | 4,822,386 | |
4.00%, 12/01/2045 | | | 2,000,000 | | | | 2,364,912 | |
4.00%, 12/01/2046 | | | 2,000,000 | | | | 2,362,742 | |
5.00%, 06/01/2028 | | | 2,085,000 | | | | 2,504,682 | |
5.00%, 06/01/2032 | | | 2,000,000 | | | | 2,441,994 | |
5.00%, 06/01/2033 | | | 3,155,000 | | | | 3,848,085 | |
5.00%, 12/01/2034 | | | 1,240,000 | | | | 1,545,106 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Philadelphia Authority for Industrial Development | | | | | | | | |
5.00%, 07/01/2031 | | | 205,000 | | | | 233,746 | |
5.00%, 07/01/2032 | | | 600,000 | | | | 682,700 | |
5.00%, 07/01/2037 | | | 150,000 | | | | 169,339 | |
5.00%, 06/15/2039 | | | 500,000 | | | | 556,331 | |
5.00%, 06/15/2040(3) | | | 900,000 | | | | 1,064,819 | |
5.00%, 08/01/2040 | | | 620,000 | | | | 740,807 | |
5.00%, 06/15/2050 | | | 1,375,000 | | | | 1,510,184 | |
5.00%, 06/15/2050(3) | | | 1,700,000 | | | | 1,984,041 | |
5.00%, 08/01/2050 | | | 1,050,000 | | | | 1,233,345 | |
Philadelphia Gas Works Co. | | | | | | | | |
4.00%, 08/01/2036 | | | 1,000,000 | | | | 1,197,263 | |
5.00%, 08/01/2022 | | | 750,000 | | | | 788,647 | |
5.00%, 08/01/2024 | | | 425,000 | | | | 483,564 | |
5.00%, 08/01/2024 | | | 500,000 | | | | 568,899 | |
5.00%, 08/01/2025 | | | 450,000 | | | | 528,399 | |
5.00%, 08/01/2027 | | | 750,000 | | | | 925,812 | |
5.00%, 08/01/2028 | | | 625,000 | | | | 788,538 | |
5.00%, 08/01/2029 | | | 1,000,000 | | | | 1,286,697 | |
5.00%, 08/01/2031 | | | 1,755,000 | | | | 2,308,341 | |
5.00%, 08/01/2032 | | | 1,000,000 | | | | 1,310,636 | |
5.00%, 08/01/2033 | | | 1,250,000 | | | | 1,630,750 | |
5.00%, 08/01/2034 | | | 1,410,000 | | | | 1,821,948 | |
5.00%, 08/01/2035 | | | 1,000,000 | | | | 1,289,209 | |
5.00%, 08/01/2036 | | | 1,690,000 | | | | 2,173,555 | |
Pittsburgh Water & Sewer Authority | | | | | | | | |
0.68% (SIFMA Municipal Swap Index Yield + 0.65%), 09/01/2040(2) | | | 15,000,000 | | | | 15,137,034 | |
5.00%, 09/01/2038 | | | 1,000,000 | | | | 1,277,989 | |
Reading School District | | | | | | | | |
5.00%, 02/01/2022 | | | 1,920,000 | | | | 1,972,769 | |
5.00%, 03/01/2035 | | | 1,100,000 | | | | 1,333,521 | |
5.00%, 03/01/2036 | | | 1,250,000 | | | | 1,512,251 | |
Redevelopment Authority of the City of Philadelphia | | | | | | | | |
5.00%, 04/15/2023 | | | 1,335,000 | | | | 1,429,758 | |
School District of Philadelphia | | | | | | | | |
5.00%, 09/01/2026 | | | 1,625,000 | | | | 1,977,043 | |
5.00%, 09/01/2029 | | | 1,500,000 | | | | 1,960,139 | |
5.00%, 09/01/2030 | | | 15,000 | | | | 18,351 | |
5.00%, 09/01/2030 | | | 3,985,000 | | | | 4,805,611 | |
5.00%, 09/01/2031 | | | 1,000,000 | | | | 1,205,364 | |
5.00%, 09/01/2031 | | | 1,200,000 | | | | 1,517,815 | |
5.00%, 09/01/2032 | | | 1,200,000 | | | | 1,514,328 | |
5.00%, 09/01/2032 | | | 2,200,000 | | | | 2,839,074 | |
5.00%, 09/01/2033 | | | 960,000 | | | | 1,238,830 | |
5.00%, 09/01/2033 | | | 1,500,000 | | | | 1,928,957 | |
Scranton School District | | | | | | | | |
5.00%, 06/01/2033 | | | 530,000 | | | | 660,563 | |
5.00%, 06/01/2035 | | | 515,000 | | | | 639,618 | |
Southeastern Pennsylvania Transportation Authority | | | | | | | | |
5.00%, 03/01/2026 | | | 875,000 | | | | 1,051,738 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
St Mary Hospital Authority | | | | | | | | |
5.00%, 11/15/2022 | | | 1,900,000 | | | | 2,026,718 | |
State Public School Building Authority | | | | | | | | |
5.00%, 12/01/2022 | | | 1,355,000 | | | | 1,445,981 | |
5.00%, 12/01/2022 | | | 6,015,000 | | | | 6,371,561 | |
5.00%, 04/01/2023 | | | 2,500,000 | | | | 2,591,088 | |
5.00%, 12/01/2024 | | | 625,000 | | | | 709,670 | |
5.00%, 12/01/2024 | | | 625,000 | | | | 722,614 | |
5.00%, 06/15/2025 | | | 3,000,000 | | | | 3,493,021 | |
5.00%, 12/01/2025 | | | 425,000 | | | | 491,741 | |
5.00%, 12/01/2025 | | | 1,145,000 | | | | 1,323,829 | |
5.00%, 06/01/2026 | | | 180,000 | | | | 210,242 | |
5.00%, 12/01/2026 | | | 605,000 | | | | 699,490 | |
5.00%, 12/01/2026 | | | 645,000 | | | | 743,672 | |
5.00%, 06/01/2029 | | | 665,000 | | | | 841,528 | |
5.00%, 12/01/2032 | | | 725,000 | | | | 892,066 | |
5.00%, 12/01/2032 | | | 2,335,000 | | | | 2,835,957 | |
5.25%, 09/15/2030 | | | 1,000,000 | | | | 1,249,003 | |
Susquehanna Area Regional Airport Authority | | | | | | | | |
5.00%, 01/01/2035 | | | 1,000,000 | | | | 1,178,084 | |
5.00%, 01/01/2038 | | | 4,125,000 | | | | 4,829,823 | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
0.11%, 08/01/2050(1)(3) | | | 4,500,000 | | | | 4,500,000 | |
0.33%, 12/01/2060(1)(3) | | | 5,900,000 | | | | 5,900,000 | |
Upper Merion Area School District | | | | | | | | |
5.00%, 01/15/2030 | | | 600,000 | | | | 715,970 | |
Upper Merion Area School District/PA | | | | | | | | |
3.00%, 01/15/2040 | | | 250,000 | | | | 275,331 | |
Waverly Township Municipal Authority | | | | | | | | |
4.00%, 02/15/2029 | | | 1,030,000 | | | | 1,211,198 | |
York County School of Technology Authority | | | | | | | | |
5.00%, 02/15/2023 | | | 1,200,000 | | | | 1,289,130 | |
5.00%, 02/15/2028 | | | 400,000 | | | | 453,213 | |
| | | | | | | | |
Total Pennsylvania | | | | 465,462,130 | |
| | | | | | | | |
Puerto Rico – 2.43% | | | | | | | | |
Commonwealth of Puerto Rico | | | | | | | | |
3.70%, 07/01/2016(4) | | | 1,000,000 | | | | 848,750 | |
5.00%, 07/01/2041(4) | | | 10,845,000 | | | | 9,096,244 | |
5.13%, 07/01/2028(4) | | | 2,230,000 | | | | 2,040,450 | |
5.13%, 07/01/2037(4) | | | 2,550,000 | | | | 2,189,812 | |
5.25%, 07/01/2031(4) | | | 1,760,000 | | | | 1,619,200 | |
5.30%, 07/01/2025(4) | | | 1,000,000 | | | | 911,250 | |
5.50%, 07/01/2039(4) | | | 1,735,000 | | | | 1,526,800 | |
5.75%, 07/01/2028(4) | | | 915,000 | | | | 807,487 | |
5.75%, 07/01/2036(4) | | | 3,180,000 | | | | 2,675,175 | |
5.75%, 07/01/2038(4) | | | 2,550,000 | | | | 2,295,000 | |
5.75%, 07/01/2041(4) | | | 3,820,000 | | | | 3,409,350 | |
5.90%, 07/01/2028(4) | | | 660,000 | | | | 589,875 | |
6.00%, 07/01/2039(4) | | | 2,500,000 | | | | 2,271,875 | |
6.50%, 07/01/2037(4) | | | 420,000 | | | | 387,975 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
8.00%, 07/01/2035(4) | | | 10,920,000 | | | | 9,036,300 | |
Puerto Rico Commonwealth Aqueduct & Sewer Authority | | | | | | | | |
4.00%, 07/01/2022 | | | 140,000 | | | | 145,741 | |
4.50%, 07/01/2027 | | | 1,195,000 | | | | 1,251,107 | |
5.00%, 07/01/2022 | | | 300,000 | | | | 315,868 | |
5.00%, 07/01/2030 | | | 260,000 | | | | 273,752 | |
5.00%, 07/01/2030(3) | | | 5,000,000 | | | | 6,257,637 | |
5.00%, 07/01/2033 | | | 5,740,000 | | | | 6,043,601 | |
5.00%, 07/01/2035(3) | | | 3,000,000 | | | | 3,670,974 | |
5.00%, 07/01/2047(3) | | | 8,000,000 | | | | 9,572,080 | |
5.13%, 07/01/2037 | | | 1,770,000 | | | | 1,866,248 | |
5.25%, 07/01/2029 | | | 1,560,000 | | | | 1,647,145 | |
5.25%, 07/01/2042 | | | 3,040,000 | | | | 3,209,814 | |
5.75%, 07/01/2037 | | | 4,730,000 | | | | 5,022,330 | |
6.13%, 07/01/2024 | | | 230,000 | | | | 252,848 | |
Puerto Rico Electric Power Authority | | | | | | | | |
3.70%, 07/01/2050(4) | | | 20,000 | | | | 18,475 | |
5.00%, 07/01/2024(4) | | | 340,000 | | | | 329,800 | |
5.00%, 07/01/2026(4) | | | 30,000 | | | | 29,100 | |
5.00%, 07/01/2027(4) | | | 15,000 | | | | 14,550 | |
5.00%, 07/01/2027(4) | | | 25,000 | | | | 24,250 | |
5.00%, 07/01/2028(4) | | | 30,000 | | | | 29,100 | |
5.00%, 07/01/2028(4) | | | 50,000 | | | | 48,500 | |
5.00%, 07/01/2037(4) | | | 2,300,000 | | | | 2,231,000 | |
5.05%, 07/01/2042(4) | | | 120,000 | | | | 116,400 | |
5.25%, 07/01/2023(4) | | | 3,495,000 | | | | 3,398,887 | |
5.25%, 07/01/2024(4) | | | 25,000 | | | | 24,312 | |
5.25%, 07/01/2026(4) | | | 555,000 | | | | 539,737 | |
5.25%, 07/01/2027(4) | | | 30,000 | | | | 29,175 | |
5.25%, 07/01/2027(4) | | | 210,000 | | | | 204,225 | |
5.25%, 07/01/2027(4) | | | 315,000 | | | | 306,337 | |
5.25%, 07/01/2028(4) | | | 60,000 | | | | 58,350 | |
5.25%, 07/01/2033(4) | | | 95,000 | | | | 92,388 | |
5.25%, 07/01/2040(4) | | | 3,075,000 | | | | 2,990,438 | |
5.25%, 07/01/2050(4) | | | 270,000 | | | | 260,550 | |
5.50%, 07/01/2038(4) | | | 4,000,000 | | | | 3,900,000 | |
5.75%, 07/01/2036(4) | | | 1,300,000 | | | | 1,272,375 | |
6.75%, 07/01/2036(4) | | | 1,560,000 | | | | 1,550,250 | |
7.25%, 07/01/2030(4) | | | 265,000 | | | | 264,669 | |
Puerto Rico Housing Finance Authority | | | | | | | | |
5.00%, 12/01/2021 | | | 9,560,000 | | | | 9,748,972 | |
5.00%, 12/01/2022 | | | 5,735,000 | | | | 6,107,757 | |
5.00%, 12/01/2023 | | | 4,300,000 | | | | 4,769,170 | |
5.00%, 12/01/2024 | | | 9,270,000 | | | | 10,647,271 | |
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue | | | | | | | | |
0.00%, 07/01/2024 | | | 2,400,000 | | | | 2,305,129 | |
0.00%, 07/01/2024 | | | 6,650,000 | | | | 6,387,129 | |
0.00%, 07/01/2027 | | | 407,000 | | | | 372,596 | |
0.00%, 07/01/2027 | | | 2,061,000 | | | | 1,886,784 | |
0.00%, 07/01/2029 | | | 2,569,000 | | | | 2,240,607 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
0.00%, 07/01/2031 | | | 5,167,000 | | | | 4,165,456 | |
0.00%, 07/01/2033 | | | 12,567,000 | | | | 9,436,824 | |
0.00%, 07/01/2046 | | | 13,706,000 | | | | 4,507,363 | |
4.33%, 07/01/2040 | | | 6,839,000 | | | | 7,665,217 | |
4.33%, 07/01/2040 | | | 25,025,000 | | | | 28,048,260 | |
4.50%, 07/01/2034 | | | 2,582,000 | | | | 2,859,931 | |
4.55%, 07/01/2040 | | | 3,500,000 | | | | 3,974,750 | |
4.75%, 07/01/2053 | | | 7,529,000 | | | | 8,553,234 | |
4.78%, 07/01/2058 | | | 2,500,000 | | | | 2,847,187 | |
5.00%, 07/01/2058 | | | 23,235,000 | | | | 26,781,054 | |
| | | | | | | | |
Total Puerto Rico | | | | 240,272,247 | |
| | | | | | | | |
Rhode Island – 0.31% | | | | | | | | |
Providence Redevelopment Agency | | | | | | | | |
5.00%, 04/01/2028 | | | 1,200,000 | | | | 1,316,857 | |
Rhode Island Health & Educational Building Corp. | | | | | | | | |
4.00%, 05/15/2034 | | | 1,750,000 | | | | 2,161,934 | |
5.00%, 09/01/2031 | | | 710,000 | | | | 814,013 | |
5.00%, 09/01/2036 | | | 100,000 | | | | 114,005 | |
5.00%, 05/15/2039 | | | 700,000 | | | | 801,247 | |
Rhode Island Housing & Mortgage Finance Corp. | | | | | | | | |
3.15%, 10/01/2044 | | | 8,000,000 | | | | 8,502,586 | |
3.50%, 10/01/2050 | | | 1,185,000 | | | | 1,307,949 | |
4.00%, 10/01/2049 | | | 565,000 | | | | 624,251 | |
Rhode Island Student Loan Authority | | | | | | | | |
3.50%, 12/01/2034 | | | 355,000 | | | | 368,192 | |
4.00%, 12/01/2027 | | | 1,215,000 | | | | 1,326,450 | |
5.00%, 12/01/2024 | | | 600,000 | | | | 686,730 | |
5.00%, 12/01/2025 | | | 500,000 | | | | 588,679 | |
5.00%, 12/01/2025 | | | 1,000,000 | | | | 1,177,358 | |
5.00%, 12/01/2026 | | | 750,000 | | | | 905,619 | |
5.00%, 12/01/2026 | | | 1,000,000 | | | | 1,207,491 | |
5.00%, 12/01/2027 | | | 800,000 | | | | 985,230 | |
5.00%, 12/01/2027 | | | 1,000,000 | | | | 1,231,538 | |
5.00%, 12/01/2028 | | | 750,000 | | | | 940,641 | |
5.00%, 12/01/2029 | | | 625,000 | | | | 795,989 | |
5.00%, 12/01/2030 | | | 550,000 | | | | 709,502 | |
State of Rhode Island | | | | | | | | |
4.00%, 04/01/2034 | | | 2,000,000 | | | | 2,379,168 | |
Tobacco Settlement Financing Corp. | | | | | | | | |
5.00%, 06/01/2024 | | | 1,455,000 | | | | 1,656,587 | |
| | | | | | | | |
Total Rhode Island | | | | 30,602,016 | |
| | | | | | | | |
South Carolina – 1.05% | | | | | | | | |
Aiken County Consolidated School District | | | | | | | | |
4.00%, 04/01/2034 | | | 2,415,000 | | | | 2,912,026 | |
Connector 2000 Association, Inc. | | | | | | | | |
0.00%, 01/01/2032 | | | 3,500,000 | | | | 1,800,694 | |
0.00%, 01/01/2042 | | | 2,790,222 | | | | 715,257 | |
0.00%, 07/22/2051 | | | 19,902,537 | | | | 2,398,960 | |
County of Richland SC | | | | | | | | |
5.00%, 03/01/2025 | | | 2,900,000 | | | | 3,393,224 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Lancaster County School District | | | | | | | | |
5.00%, 03/01/2023 | | | 445,000 | | | | 480,497 | |
Lexington County Health Services District, Inc. | | | | | | | | |
5.00%, 11/01/2022 | | | 250,000 | | | | 265,824 | |
5.00%, 11/01/2023 | | | 300,000 | | | | 332,633 | |
5.00%, 11/01/2024 | | | 780,000 | | | | 897,548 | |
Patriots Energy Group Financing Agency | | | | | | | | |
4.00%, 10/01/2048(1) | | | 34,175,000 | | | | 37,094,769 | |
Scago Educational Facilities Corp. for Sumter County School 17 | | | | | | | | |
4.00%, 12/01/2021 | | | 1,895,000 | | | | 1,922,311 | |
Scago Educational Facilities Corp. for Union School District | | | | | | | | |
5.00%, 12/01/2023 | | | 1,060,000 | | | | 1,177,012 | |
South Carolina Jobs-Economic Development Authority | | | | | | | | |
5.00%, 11/01/2028 | | | 700,000 | | | | 744,720 | |
5.00%, 04/01/2031 | | | 510,000 | | | | 632,131 | |
5.00%, 05/01/2037 | | | 500,000 | | | | 529,987 | |
5.00%, 05/01/2042 | | | 500,000 | | | | 525,482 | |
5.00%, 11/15/2042 | | | 585,000 | | | | 665,037 | |
5.00%, 05/01/2043 | | | 4,675,000 | | | | 5,649,062 | |
5.00%, 04/01/2047 | | | 2,000,000 | | | | 2,169,754 | |
5.00%, 04/01/2052 | | | 1,750,000 | | | | 1,896,584 | |
5.00%, 11/15/2054 | | | 1,000,000 | | | | 1,125,587 | |
6.00%, 02/01/2035(3)(4) | | | 525,000 | | | | 210,000 | |
6.25%, 02/01/2045(3)(4) | | | 995,000 | | | | 398,000 | |
South Carolina Ports Authority | | | | | | | | |
5.00%, 07/01/2026 | | | 1,940,000 | | | | 2,329,990 | |
5.00%, 07/01/2027 | | | 3,120,000 | | | | 3,845,729 | |
5.00%, 07/01/2028 | | | 1,100,000 | | | | 1,387,084 | |
South Carolina Public Service Authority | | | | | | | | |
5.00%, 12/01/2022 | | | 1,185,000 | | | | 1,264,116 | |
5.00%, 12/01/2032 | | | 1,500,000 | | | | 1,794,428 | |
5.00%, 12/01/2032 | | | 8,020,000 | | | | 10,560,860 | |
5.00%, 12/01/2035 | | | 1,500,000 | | | | 1,817,043 | |
5.00%, 12/01/2041 | | | 3,000,000 | | | | 3,613,002 | |
5.00%, 12/01/2049 | | | 1,900,000 | | | | 2,127,360 | |
5.75%, 12/01/2043 | | | 2,000,000 | | | | 2,264,558 | |
South Carolina State Housing Finance & Development Authority | | | | | | | | |
4.00%, 01/01/2050 | | | 820,000 | | | | 923,534 | |
4.00%, 07/01/2050 | | | 750,000 | | | | 847,158 | |
South Carolina Transportation Infrastructure Bank | | | | | | | | |
5.00%, 10/01/2025 | | | 305,000 | | | | 362,973 | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
0.27%, 05/30/2022(1)(3) | | | 3,220,000 | | | | 3,220,000 | |
| | | | | | | | |
Total South Carolina | | | | 104,294,934 | |
| | | | | | | | |
South Dakota – 0.24% | | | | | | | | |
City of Sioux Falls SD | | | | | | | | |
5.00%, 11/01/2042 | | | 750,000 | | | | 827,632 | |
County of Lincoln SD | | | | | | | | |
4.00%, 08/01/2051 | | | 2,060,000 | | | | 2,318,695 | |
Rapid City Area School District No 51-4 | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
3.00%, 08/01/2021 | | | 400,000 | | | | 400,908 | |
South Dakota Health & Educational Facilities Authority | | | | | | | | |
5.00%, 09/01/2024 | | | 355,000 | | | | 406,440 | |
5.00%, 09/01/2025 | | | 880,000 | | | | 1,039,204 | |
5.00%, 09/01/2026 | | | 2,000,000 | | | | 2,428,753 | |
5.00%, 11/01/2029 | | | 800,000 | | | | 940,354 | |
5.00%, 11/01/2030 | | | 1,000,000 | | | | 1,174,510 | |
5.00%, 07/01/2033(1) | | | 2,630,000 | | | | 2,925,487 | |
5.00%, 11/01/2042 | | | 145,000 | | | | 153,137 | |
5.00%, 11/01/2045 | | | 1,500,000 | | | | 1,740,949 | |
South Dakota Housing Development Authority | | | | | | | | |
3.00%, 11/01/2051 | | | 1,230,000 | | | | 1,345,325 | |
4.00%, 11/01/2047 | | | 5,740,000 | | | | 6,225,347 | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
0.13%, 09/01/2050(1)(3) | | | 1,480,000 | | | | 1,480,000 | |
| | | | | | | | |
Total South Dakota | | | | 23,406,741 | |
| | | | | | | | |
Tennessee – 1.26% | | | | | | | | |
Blount County Health & Educational Facilities Board | | | | | | | | |
5.00%, 01/01/2037 | | | 1,240,000 | | | | 1,109,091 | |
Chattanooga Health Educational & Housing Facility Board | | | | | | | | |
5.00%, 10/01/2021 | | | 1,000,000 | | | | 1,004,544 | |
5.00%, 10/01/2022 | | | 325,000 | | | | 342,488 | |
5.00%, 10/01/2030 | | | 500,000 | | | | 568,200 | |
5.00%, 10/01/2032 | | | 1,215,000 | | | | 1,373,259 | |
5.00%, 10/01/2035 | | | 2,260,000 | | | | 2,543,524 | |
Greeneville Health & Educational Facilities Board | | | | | | | | |
5.00%, 07/01/2025 | | | 1,850,000 | | | | 2,025,001 | |
5.00%, 07/01/2035 | | | 1,275,000 | | | | 1,572,550 | |
Johnson City Health & Educational Facilities Board | | | | | | | | |
5.00%, 08/15/2042 | | | 2,000,000 | | | | 2,083,220 | |
Knox County Health Educational & Housing Facility Board | | | | | | | | |
5.00%, 04/01/2023 | | | 1,825,000 | | | | 1,966,045 | |
5.00%, 04/01/2024 | | | 1,000,000 | | | | 1,119,320 | |
5.00%, 04/01/2027 | | | 1,740,000 | | | | 2,121,667 | |
Memphis-Shelby County Airport Authority | | | | | | | | |
5.00%, 07/01/2022 | | | 1,000,000 | | | | 1,047,493 | |
Memphis-Shelby County Industrial Development Board | | | | | | | | |
4.75%, 07/01/2027 | | | 200,000 | | | | 200,807 | |
5.50%, 07/01/2037 | | | 600,000 | | | | 606,386 | |
Metropolitan Government of Nashville & Davidson County TN | | | | | | | | |
5.00%, 07/01/2031 | | | 1,100,000 | | | | 1,299,972 | |
Nashville Metropolitan Development & Housing Agency | | | | | | | | |
4.50%, 06/01/2028(3) | | | 1,050,000 | | | | 1,164,937 | |
5.13%, 06/01/2036(3) | | | 3,290,000 | | | | 3,801,258 | |
New Memphis Arena Public Building Authority | | | | | | | | |
0.00%, 04/01/2029 | | | 625,000 | | | | 642,481 | |
0.00%, 04/01/2030 | | | 750,000 | | | | 780,637 | |
0.00%, 04/01/2031 | | | 650,000 | | | | 686,450 | |
Shelby County Health Educational & Housing Facilities Board | | | | | | | | |
5.00%, 09/01/2037(3) | | | 1,590,000 | | | | 1,426,262 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
0.33%, 12/01/2060(1)(3) | | | 3,200,000 | | | | 3,200,000 | |
Tennergy Corp. | | | | | | | | |
4.00%, 12/01/2051(1) | | | 25,000,000 | | | | 29,994,217 | |
5.00%, 02/01/2050(1) | | | 11,590,000 | | | | 13,198,857 | |
Tennessee Energy Acquisition Corp. | | | | | | | | |
4.00%, 05/01/2048(1) | | | 7,135,000 | | | | 7,574,913 | |
4.00%, 11/01/2049(1) | | | 7,070,000 | | | | 8,002,567 | |
5.00%, 02/01/2027 | | | 2,725,000 | | | | 3,281,192 | |
Tennessee State School Bond Authority | | | | | | | | |
5.00%, 11/01/2040 | | | 25,000,000 | | | | 29,837,107 | |
| | | | | | | | |
Total Tennessee | | | | 124,574,445 | |
| | | | | | | | |
Texas – 8.29% | | | | | | | | |
Alamito Public Facility Corp. | | | | | | | | |
1.51%, 05/01/2037(1) | | | 5,000,000 | | | | 5,017,489 | |
Alamo Community College District | | | | | | | | |
4.00%, 02/15/2022 | | | 665,000 | | | | 681,060 | |
4.00%, 02/15/2023 | | | 1,000,000 | | | | 1,063,022 | |
Arlington Higher Education Finance Corp. | | | | | | | | |
5.00%, 08/15/2022 | | | 55,000 | | | | 57,518 | |
5.00%, 08/15/2023 | | | 55,000 | | | | 59,626 | |
Austin Community College District Public Facility Corp. | | | | | | | | |
5.00%, 08/01/2024 | | | 430,000 | | | | 491,245 | |
5.00%, 08/01/2028 | | | 310,000 | | | | 386,030 | |
5.00%, 08/01/2031 | | | 300,000 | | | | 369,099 | |
5.00%, 08/01/2031 | | | 580,000 | | | | 713,592 | |
Austin Convention Enterprises, Inc. | | | | | | | | |
5.00%, 01/01/2022 | | | 250,000 | | | | 253,407 | |
5.00%, 01/01/2023 | | | 250,000 | | | | 259,995 | |
5.00%, 01/01/2025 | | | 150,000 | | | | 162,553 | |
5.00%, 01/01/2028 | | | 820,000 | | | | 948,208 | |
5.00%, 01/01/2029 | | | 425,000 | | | | 487,945 | |
5.00%, 01/01/2030 | | | 720,000 | | | | 778,743 | |
5.00%, 01/01/2032 | | | 1,700,000 | | | | 1,923,420 | |
5.00%, 01/01/2034 | | | 730,000 | | | | 782,462 | |
Austin-Bergstrom Landhost Enterprises, Inc. | | | | | | | | |
5.00%, 10/01/2023 | | | 1,425,000 | | | | 1,548,212 | |
5.00%, 10/01/2025 | | | 1,780,000 | | | | 2,046,949 | |
5.00%, 10/01/2026 | | | 1,400,000 | | | | 1,646,471 | |
5.00%, 10/01/2028 | | | 1,925,000 | | | | 2,290,938 | |
5.00%, 10/01/2030 | | | 2,175,000 | | | | 2,553,557 | |
5.00%, 10/01/2033 | | | 2,000,000 | | | | 2,327,672 | |
5.00%, 10/01/2034 | | | 2,000,000 | | | | 2,323,486 | |
5.00%, 10/01/2036 | | | 1,000,000 | | | | 1,158,670 | |
Baytown Area Water Authority | | | | | | | | |
5.00%, 05/01/2023 | | | 1,000,000 | | | | 1,082,807 | |
5.00%, 05/01/2024 | | | 1,000,000 | | | | 1,125,673 | |
5.00%, 05/01/2025 | | | 1,000,000 | | | | 1,164,881 | |
Birdville Independent School District | | | | | | | | |
5.00%, 02/15/2026 | | | 725,000 | | | | 871,695 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Board of Managers Joint Guadalupe County-City of Seguin Hospital | | | | | | | | |
5.00%, 12/01/2045 | | | 290,000 | | | | 312,356 | |
5.25%, 12/01/2035 | | | 525,000 | | | | 582,846 | |
Board of Regents of the University of Texas System | | | | | | | | |
2.50%, 08/15/2036(1) | | | 2,630,000 | | | | 2,630,000 | |
4.00%, 08/15/2036 | | | 10,785,000 | | | | 11,870,113 | |
5.00%, 08/15/2021 | | | 505,000 | | | | 507,974 | |
Brenham Independent School District | | | | | | | | |
0.00%, 02/15/2026 | | | 300,000 | | | | 259,815 | |
Central Texas Regional Mobility Authority | | | | | | | | |
4.00%, 01/01/2022 | | | 5,000,000 | | | | 5,014,596 | |
4.00%, 01/01/2033 | | | 965,000 | | | | 1,154,240 | |
4.00%, 01/01/2033 | | | 1,000,000 | | | | 1,191,714 | |
4.00%, 01/01/2036 | | | 500,000 | | | | 592,734 | |
4.00%, 01/01/2037 | | | 620,000 | | | | 733,072 | |
5.00%, 01/01/2022 | | | 500,000 | | | | 511,746 | |
5.00%, 01/01/2024 | | | 175,000 | | | | 194,296 | |
5.00%, 01/01/2025 | | | 225,000 | | | | 258,479 | |
5.00%, 01/01/2025 | | | 11,045,000 | | | | 12,498,190 | |
5.00%, 01/01/2028 | | | 300,000 | | | | 352,732 | |
5.00%, 01/01/2029 | | | 750,000 | | | | 954,951 | |
5.00%, 01/01/2031 | | | 500,000 | | | | 654,257 | |
5.00%, 01/01/2031 | | | 600,000 | | | | 785,108 | |
5.00%, 01/01/2032 | | | 500,000 | | | | 652,515 | |
5.00%, 01/01/2034 | | | 1,475,000 | | | | 1,687,560 | |
5.00%, 01/01/2035 | | | 600,000 | | | | 790,980 | |
5.00%, 01/01/2036 | | | 600,000 | | | | 785,762 | |
5.00%, 01/01/2037 | | | 1,055,000 | | | | 1,374,508 | |
5.00%, 01/01/2038 | | | 400,000 | | | | 519,937 | |
5.00%, 01/01/2039 | | | 500,000 | | | | 648,342 | |
5.00%, 01/01/2040 | | | 2,250,000 | | | | 2,605,138 | |
5.00%, 01/01/2046 | | | 1,600,000 | | | | 1,853,395 | |
Central Texas Turnpike System | | | | | | | | |
5.00%, 08/15/2037 | | | 2,500,000 | | | | 2,788,583 | |
5.00%, 08/15/2042 | | | 1,400,000 | | | | 1,554,854 | |
City of Arlington TX Special Tax Revenue | | | | | | | | |
4.00%, 02/15/2044 | | | 1,250,000 | | | | 1,427,833 | |
5.00%, 02/15/2045 | | | 250,000 | | | | 250,803 | |
City of Austin TX Airport System Revenue | | | | | | | | |
5.00%, 11/15/2026 | | | 1,140,000 | | | | 1,389,621 | |
5.00%, 11/15/2028 | | | 1,000,000 | | | | 1,139,631 | |
5.00%, 11/15/2044 | | | 255,000 | | | | 288,692 | |
City of Crandall TX | | | | | | | | |
3.38%, 09/15/2026(3) | | | 50,000 | | | | 50,037 | |
4.00%, 09/15/2031(3) | | | 100,000 | | | | 100,135 | |
City of Dallas TX | | | | | | | | |
5.00%, 02/15/2023 | | | 1,225,000 | | | | 1,261,504 | |
5.00%, 02/15/2024 | | | 1,055,000 | | | | 1,184,547 | |
5.00%, 02/15/2027 | | | 8,125,000 | | | | 10,015,579 | |
City of Dallas TX Waterworks & Sewer System Revenue | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.00%, 10/01/2027 | | | 530,000 | | | | 629,510 | |
5.00%, 10/01/2031 | | | 800,000 | | | | 977,460 | |
City of El Paso TX | | | | | | | | |
5.00%, 08/15/2025 | | | 2,245,000 | | | | 2,653,401 | |
City of Elgin TX | | | | | | | | |
4.00%, 07/15/2031 | | | 295,000 | | | | 361,787 | |
4.00%, 07/15/2033 | | | 240,000 | | | | 292,411 | |
4.00%, 07/15/2034 | | | 175,000 | | | | 212,369 | |
4.00%, 07/15/2037 | | | 280,000 | | | | 336,693 | |
4.00%, 07/15/2039 | | | 270,000 | | | | 322,744 | |
4.00%, 07/15/2039 | | | 305,000 | | | | 364,581 | |
4.00%, 07/15/2040 | | | 315,000 | | | | 375,527 | |
City of Fort Worth TX | | | | | | | | |
5.00%, 03/01/2023 | | | 1,125,000 | | | | 1,214,739 | |
City of Garland TX Water & Sewer System Revenue | | | | | | | | |
5.00%, 03/01/2028 | | | 700,000 | | | | 861,454 | |
City of Houston TX | | | | | | | | |
5.00%, 03/01/2023 | | | 1,975,000 | | | | 2,133,578 | |
5.00%, 03/01/2025 | | | 750,000 | | | | 874,271 | |
5.00%, 03/01/2029 | | | 1,000,000 | | | | 1,228,379 | |
City of Houston TX Airport System Revenue | | | | | | | | |
4.00%, 07/01/2035 | | | 1,100,000 | | | | 1,335,402 | |
4.00%, 07/01/2036 | | | 2,500,000 | | | | 3,026,188 | |
4.00%, 07/01/2041 | | | 1,510,000 | | | | 1,798,769 | |
4.75%, 07/01/2024 | | | 2,000,000 | | | | 2,097,054 | |
5.00%, 07/01/2027 | | | 1,250,000 | | | | 1,308,584 | |
5.00%, 07/01/2027 | | | 1,625,000 | | | | 1,938,864 | |
5.00%, 07/01/2027 | | | 3,000,000 | | | | 3,749,344 | |
5.00%, 07/15/2027 | | | 2,325,000 | | | | 2,776,069 | |
5.00%, 07/01/2029 | | | 1,000,000 | | | | 1,255,946 | |
5.00%, 07/01/2030 | | | 1,000,000 | | | | 1,046,867 | |
5.00%, 07/01/2031 | | | 1,750,000 | | | | 2,193,257 | |
5.00%, 07/01/2032 | | | 1,750,000 | | | | 2,192,426 | |
5.00%, 07/01/2033 | | | 1,770,000 | | | | 2,346,893 | |
5.00%, 07/01/2034 | | | 1,750,000 | | | | 2,313,174 | |
5.00%, 07/15/2035 | | | 800,000 | | | | 889,388 | |
City of Houston TX Combined Utility System Revenue | | | | | | | | |
0.00%, 12/01/2028 | | | 5,000,000 | | | | 4,623,066 | |
4.00%, 11/15/2035 | | | 300,000 | | | | 376,020 | |
4.00%, 11/15/2036 | | | 300,000 | | | | 374,657 | |
5.00%, 11/15/2022 | | | 200,000 | | | | 213,253 | |
5.00%, 11/15/2023 | | | 225,000 | | | | 250,596 | |
5.00%, 05/15/2028 | | | 410,000 | | | | 462,179 | |
5.00%, 11/15/2033 | | | 400,000 | | | | 487,586 | |
City of Houston TX Hotel Occupancy Tax & Special Revenue | | | | | | | | |
5.00%, 09/01/2036 | | | 2,100,000 | | | | 2,535,359 | |
City of Mission TX | | | | | | | | |
5.00%, 02/15/2027 | | | 230,000 | | | | 280,543 | |
5.00%, 02/15/2027 | | | 335,000 | | | | 408,618 | |
5.00%, 02/15/2028 | | | 250,000 | | | | 312,283 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.00%, 02/15/2029 | | | 125,000 | | | | 159,430 | |
City of Pearland TX | | | | | | | | |
5.00%, 03/01/2024 | | | 650,000 | | | | 731,832 | |
City of San Antonio TX Airport System | | | | | | | | |
5.00%, 07/01/2027 | | | 2,000,000 | | | | 2,475,722 | |
5.00%, 07/01/2028 | | | 1,750,000 | | | | 2,212,104 | |
5.00%, 07/01/2030 | | | 1,000,000 | | | | 1,277,952 | |
City of San Antonio TX Electric & Gas Systems Revenue | | | | | | | | |
1.13%, 12/01/2045(1) | | | 22,440,000 | | | | 22,768,771 | |
1.75%, 02/01/2049(1) | | | 4,000,000 | | | | 4,187,040 | |
2.00%, 02/01/2033(1) | | | 1,115,000 | | | | 1,116,544 | |
5.00%, 02/01/2030 | | | 1,000,000 | | | | 1,246,024 | |
5.00%, 02/01/2037 | | | 800,000 | | | | 1,055,083 | |
5.00%, 02/01/2038 | | | 1,530,000 | | | | 2,013,144 | |
5.00%, 02/01/2039 | | | 1,700,000 | | | | 2,231,339 | |
5.00%, 02/01/2040 | | | 1,465,000 | | | | 1,919,577 | |
5.00%, 02/01/2041 | | | 570,000 | | | | 744,948 | |
City of Temple TX | | | | | | | | |
4.00%, 08/01/2031 | | | 225,000 | | | | 268,866 | |
4.00%, 08/01/2033 | | | 200,000 | | | | 237,006 | |
4.00%, 08/01/2034 | | | 240,000 | | | | 283,389 | |
4.00%, 08/01/2035 | | | 215,000 | | | | 253,079 | |
4.00%, 08/01/2039 | | | 220,000 | | | | 256,817 | |
4.00%, 08/01/2041 | | | 170,000 | | | | 198,079 | |
City of Waco TX | | | | | | | | |
5.00%, 02/01/2025 | | | 1,710,000 | | | | 1,914,249 | |
Clifton Higher Education Finance Corp. | | | | | | | | |
2.38%, 08/15/2046 | | | 1,000,000 | | | | 988,226 | |
3.00%, 08/15/2032 | | | 370,000 | | | | 420,263 | |
3.00%, 08/15/2033 | | | 260,000 | | | | 292,968 | |
3.00%, 08/15/2034 | | | 655,000 | | | | 732,515 | |
3.00%, 08/15/2035 | | | 680,000 | | | | 757,078 | |
3.00%, 08/15/2036 | | | 330,000 | | | | 365,786 | |
3.00%, 08/15/2037 | | | 730,000 | | | | 806,632 | |
3.00%, 08/15/2038 | | | 380,000 | | | | 418,808 | |
3.00%, 08/15/2039 | | | 780,000 | | | | 856,571 | |
3.00%, 08/15/2040 | | | 935,000 | | | | 1,023,930 | |
3.00%, 08/15/2041 | | | 965,000 | | | | 1,052,855 | |
5.00%, 08/15/2030 | | | 170,000 | | | | 223,880 | |
5.00%, 08/15/2031 | | | 100,000 | | | | 133,768 | |
6.13%, 08/15/2048 | | | 4,750,000 | | | | 5,545,569 | |
Coppell Independent School District | | | | | | | | |
4.00%, 08/15/2034 | | | 2,310,000 | | | | 2,729,220 | |
4.00%, 08/15/2036 | | | 2,580,000 | | | | 3,038,440 | |
5.00%, 08/15/2033 | | | 2,985,000 | | | | 3,806,980 | |
County of Comal TX | | | | | | | | |
4.00%, 02/01/2023 | | | 1,000,000 | | | | 1,058,913 | |
County of El Paso TX | | | | | | | | |
5.00%, 02/15/2029 | | | 1,500,000 | | | | 1,877,993 | |
5.00%, 02/15/2031 | | | 1,280,000 | | | | 1,525,436 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
County of Harris TX | | | | | | | | |
5.00%, 10/01/2027 | | | 5,000,000 | | | | 6,313,869 | |
Cypress-Fairbanks Independent School District | | | | | | | | |
1.25%, 02/15/2036(1) | | | 390,000 | | | | 394,514 | |
1.25%, 02/15/2036(1) | | | 1,190,000 | | | | 1,203,774 | |
2.13%, 02/15/2040(1) | | | 10,000,000 | | | | 10,023,149 | |
5.00%, 02/15/2025 | | | 1,000,000 | | | | 1,125,036 | |
5.00%, 02/15/2025 | | | 1,205,000 | | | | 1,403,422 | |
5.00%, 02/15/2027 | | | 470,000 | | | | 564,385 | |
Dallas Area Rapid Transit | | | | | | | | |
5.00%, 12/01/2024 | | | 550,000 | | | | 636,778 | |
Dallas County Utility & Reclamation District | | | | | | | | |
5.00%, 02/15/2024 | | | 1,125,000 | | | | 1,254,361 | |
Dallas Fort Worth International Airport | | | | | | | | |
4.00%, 11/01/2034 | | | 1,930,000 | | | | 2,379,871 | |
4.00%, 11/01/2035 | | | 3,870,000 | | | | 4,762,887 | |
5.00%, 11/01/2031 | | | 2,310,000 | | | | 3,086,132 | |
5.00%, 11/01/2032 | | | 1,600,000 | | | | 1,753,204 | |
5.00%, 11/01/2037 | | | 10,100,000 | | | | 10,260,091 | |
5.00%, 11/01/2038 | | | 3,110,000 | | | | 3,159,295 | |
5.00%, 11/01/2042 | | | 8,710,000 | | | | 8,848,059 | |
5.00%, 11/01/2044 | | | 300,000 | | | | 317,951 | |
Dallas Independent School District | | | | | | | | |
4.00%, 02/15/2023 | | | 1,250,000 | | | | 1,327,304 | |
4.00%, 02/15/2025 | | | 1,655,000 | | | | 1,871,957 | |
4.00%, 02/15/2026 | | | 1,000,000 | | | | 1,159,774 | |
5.00%, 02/15/2036(1) | | | 85,000 | | | | 87,546 | |
5.00%, 02/15/2036 | | | 1,045,000 | | | | 1,076,300 | |
5.00%, 02/15/2036(1) | | | 2,175,000 | | | | 2,240,147 | |
5.00%, 02/15/2036(1) | | | 2,180,000 | | | | 2,245,991 | |
Denton Independent School District | | | | | | | | |
0.00%, 08/15/2025 | | | 500,000 | | | | 488,420 | |
2.00%, 08/01/2044(1) | | | 1,275,000 | | | | 1,337,892 | |
Deutsche Bank Spears/Lifers Trust | | | | | | | | |
0.10%, 10/01/2021(1)(3) | | | 3,300,000 | | | | 3,300,000 | |
El Paso County Hospital District | | | | | | | | |
5.00%, 08/15/2027 | | | 1,260,000 | | | | 1,358,797 | |
5.00%, 08/15/2029 | | | 50,000 | | | | 53,667 | |
Fort Bend Independent School District | | | | | | | | |
0.72%, 08/01/2051(1) | | | 6,155,000 | | | | 6,139,996 | |
0.88%, 08/01/2050(1) | | | 3,540,000 | | | | 3,572,730 | |
1.50%, 08/01/2042(1) | | | 940,000 | | | | 941,038 | |
Fort Worth Independent School District | | | | | | | | |
5.00%, 02/15/2022 | | | 450,000 | | | | 463,625 | |
5.00%, 02/15/2026 | | | 1,365,000 | | | | 1,639,809 | |
Grand Parkway Transportation Corp. | | | | | | | | |
5.00%, 02/01/2023 | | | 1,580,000 | | | | 1,694,854 | |
5.00%, 10/01/2031 | | | 2,630,000 | | | | 3,310,319 | |
5.00%, 10/01/2033 | | | 1,205,000 | | | | 1,514,236 | |
5.00%, 10/01/2034 | | | 1,500,000 | | | | 1,881,275 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.00%, 10/01/2052(1) | | | 9,610,000 | | | | 10,576,552 | |
Greater Texoma Utility Authority | | | | | | | | |
5.00%, 10/01/2022 | | | 140,000 | | | | 148,149 | |
Gregg County Health Facilities Development Corp. | | | | | | | | |
4.50%, 07/01/2032 | | | 635,000 | | | | 661,927 | |
5.00%, 07/01/2042 | | | 25,000 | | | | 26,185 | |
Gulf Coast Industrial Development Authority | | | | | | | | |
4.88%, 05/01/2025 | | | 2,250,000 | | | | 2,302,836 | |
Harlandale Independent School District | | | | | | | | |
5.00%, 08/01/2030 | | | 1,305,000 | | | | 1,600,934 | |
Harris County Cultural Education Facilities Finance Corp. | | | | | | | | |
0.90%, 05/15/2050(1) | | | 1,630,000 | | | | 1,630,630 | |
5.00%, 01/01/2043 | | | 180,000 | | | | 187,732 | |
5.00%, 07/01/2049(1) | | | 1,390,000 | | | | 1,479,511 | |
5.00%, 07/01/2049(1) | | | 1,480,000 | | | | 1,703,704 | |
5.00%, 07/01/2049(1) | | | 5,000,000 | | | | 6,112,235 | |
Hays Consolidated Independent School District | | | | | | | | |
2.70%, 08/15/2042(1) | | | 240,000 | | | | 246,295 | |
2.70%, 08/15/2042(1) | | | 2,660,000 | | | | 2,715,472 | |
Houston Higher Education Finance Corp. | | | | | | | | |
3.38%, 10/01/2037 | | | 1,000,000 | | | | 1,000,424 | |
Houston Independent School District | | | | | | | | |
2.25%, 06/01/2039(1) | | | 5,000,000 | | | | 5,089,411 | |
4.00%, 06/01/2029(1) | | | 1,200,000 | | | | 1,284,537 | |
4.00%, 06/01/2039(1) | | | 4,415,000 | | | | 4,726,024 | |
5.00%, 02/15/2030 | | | 1,000,000 | | | | 1,192,249 | |
Irving Hospital Authority | | | | | | | | |
5.00%, 10/15/2035 | | | 625,000 | | | | 734,254 | |
Lake Houston Redevelopment Authority | | | | | | | | |
3.00%, 09/01/2039 | | | 350,000 | | | | 369,889 | |
4.00%, 09/01/2035 | | | 250,000 | | | | 297,983 | |
5.00%, 09/01/2026 | | | 230,000 | | | | 276,461 | |
5.00%, 09/01/2030 | | | 250,000 | | | | 321,071 | |
Love Field Airport Modernization Corp. | | | | | | | | |
5.00%, 11/01/2028 | | | 1,250,000 | | | | 1,325,626 | |
5.00%, 11/01/2035 | | | 1,000,000 | | | | 1,204,890 | |
5.25%, 11/01/2040 | | | 3,015,000 | | | | 3,082,971 | |
Lower Colorado River Authority | | | | | | | | |
5.00%, 05/15/2022 | | | 300,000 | | | | 312,505 | |
5.00%, 05/15/2022 | | | 565,000 | | | | 588,550 | |
5.00%, 05/15/2022 | | | 1,025,000 | | | | 1,067,724 | |
5.00%, 05/15/2025 | | | 1,190,000 | | | | 1,392,923 | |
5.00%, 05/15/2026 | | | 1,000,000 | | | | 1,205,763 | |
5.00%, 05/15/2036 | | | 1,425,000 | | | | 1,809,428 | |
5.00%, 05/15/2038 | | | 3,480,000 | | | | 4,495,775 | |
5.00%, 05/15/2039 | | | 5,750,000 | | | | 7,411,298 | |
Midlothian Independent School District | | | | | | | | |
2.00%, 08/01/2051(1) | | | 1,065,000 | | | | 1,113,853 | |
Mission Economic Development Corp. | | | | | | | | |
0.20%, 07/01/2040(1) | | | 5,000,000 | | | | 5,000,010 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
4.63%, 10/01/2031(3) | | | 3,955,000 | | | | 4,184,583 | |
Montgomery County Toll Road Authority | | | | | | | | |
5.00%, 09/15/2032 | | | 50,000 | | | | 57,259 | |
5.00%, 09/15/2033 | | | 270,000 | | | | 308,719 | |
5.00%, 09/15/2034 | | | 55,000 | | | | 62,806 | |
5.00%, 09/15/2035 | | | 1,145,000 | | | | 1,306,389 | |
5.00%, 09/15/2036 | | | 75,000 | | | | 85,482 | |
5.00%, 09/15/2037 | | | 1,245,000 | | | | 1,417,060 | |
5.00%, 09/15/2038 | | | 125,000 | | | | 142,115 | |
5.00%, 09/15/2043 | | | 380,000 | | | | 429,821 | |
5.00%, 09/15/2048 | | | 1,070,000 | | | | 1,206,651 | |
Needville Independent School District | | | | | | | | |
5.00%, 08/15/2025 | | | 1,175,000 | | | | 1,388,751 | |
New Hope Cultural Education Facilities Finance Corp. | | | | | | | | |
5.00%, 08/15/2024 | | | 730,000 | | | | 832,713 | |
5.00%, 08/15/2026 | | | 200,000 | | | | 243,356 | |
5.00%, 08/15/2027 | | | 375,000 | | | | 468,886 | |
5.00%, 04/01/2029 | | | 1,000,000 | | | | 1,077,825 | |
5.00%, 08/15/2030 | | | 3,500,000 | | | | 4,302,693 | |
5.00%, 04/01/2031 | | | 335,000 | | | | 402,488 | |
5.00%, 10/01/2031 | | | 160,000 | | | | 177,303 | |
5.00%, 11/01/2031 | | | 1,750,000 | | | | 1,990,777 | |
5.00%, 04/01/2034 | | | 475,000 | | | | 534,636 | |
5.00%, 10/01/2034 | | | 185,000 | | | | 204,141 | |
5.00%, 07/01/2035 | | | 2,100,000 | | | | 1,816,500 | |
5.00%, 04/01/2036 | | | 820,000 | | | | 985,195 | |
5.00%, 04/01/2037 | | | 1,310,000 | | | | 1,618,434 | |
5.00%, 10/01/2039 | | | 250,000 | | | | 273,859 | |
5.00%, 07/01/2040 | | | 4,000,000 | | | | 4,545,635 | |
5.00%, 11/01/2040 | | | 1,100,000 | | | | 1,232,084 | |
5.00%, 07/01/2047 | | | 1,075,000 | | | | 924,500 | |
5.00%, 04/01/2048 | | | 1,250,000 | | | | 1,501,822 | |
5.00%, 07/01/2058 | | | 275,000 | | | | 333,923 | |
5.25%, 10/01/2049 | | | 610,000 | | | | 670,362 | |
5.50%, 11/15/2052 | | | 250,000 | | | | 268,321 | |
Newark Higher Education Finance Corp. | | | | | | | | |
5.00%, 04/01/2029 | | | 505,000 | | | | 593,297 | |
North East Independent School District | | | | | | | | |
1.42%, 08/01/2040(1) | | | 440,000 | | | | 440,457 | |
North Texas Municipal Water District Upper East Fork Wastewater Interceptor System | | | | | | | | |
5.00%, 06/01/2027 | | | 1,025,000 | | | | 1,281,556 | |
5.00%, 06/01/2028 | | | 1,050,000 | | | | 1,315,748 | |
5.00%, 06/01/2029 | | | 600,000 | | | | 749,642 | |
North Texas Tollway Authority | | | | | | | | |
4.00%, 01/01/2033 | | | 1,000,000 | | | | 1,230,456 | |
4.00%, 01/01/2034 | | | 1,000,000 | | | | 1,226,531 | |
4.00%, 01/01/2035 | | | 1,000,000 | | | | 1,223,724 | |
4.00%, 01/01/2036 | | | 1,350,000 | | | | 1,646,162 | |
4.00%, 01/01/2037 | | | 1,650,000 | | | | 2,006,185 | |
4.00%, 01/01/2038 | | | 1,250,000 | | | | 1,516,229 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
4.00%, 01/01/2040 | | | 1,250,000 | | | | 1,504,911 | |
5.00%, 01/01/2023 | | | 90,000 | | | | 96,511 | |
5.00%, 01/01/2023 | | | 145,000 | | | | 155,402 | |
5.00%, 01/01/2025 | | | 705,000 | | | | 817,069 | |
5.00%, 01/01/2025 | | | 860,000 | | | | 996,708 | |
5.00%, 01/01/2030 | | | 75,000 | | | | 88,370 | |
5.00%, 01/01/2030 | | | 6,250,000 | | | | 6,930,880 | |
5.00%, 01/01/2031 | | | 105,000 | | | | 123,301 | |
5.00%, 01/01/2031 | | | 500,000 | | | | 589,321 | |
5.00%, 01/01/2031 | | | 1,100,000 | | | | 1,364,054 | |
5.00%, 01/01/2031 | | | 1,900,000 | | | | 2,105,986 | |
5.00%, 01/01/2032 | | | 1,100,000 | | | | 1,360,403 | |
5.00%, 01/01/2033 | | | 500,000 | | | | 603,444 | |
5.00%, 01/01/2033 | | | 1,250,000 | | | | 1,544,274 | |
5.00%, 01/01/2033 | | | 3,150,000 | | | | 3,605,763 | |
5.00%, 01/01/2034 | | | 1,400,000 | | | | 1,725,712 | |
5.00%, 01/01/2035 | | | 1,500,000 | | | | 1,846,005 | |
5.00%, 01/01/2036 | | | 550,000 | | | | 651,238 | |
5.00%, 01/01/2039 | | | 170,000 | | | | 201,127 | |
5.00%, 01/01/2040 | | | 2,000,000 | | | | 2,137,226 | |
5.50%, 09/01/2041 | | | 5,840,000 | | | | 5,891,167 | |
Northside Independent School District | | | | | | | | |
0.70%, 06/01/2050(1) | | | 24,595,000 | | | | 24,684,509 | |
1.60%, 08/01/2049(1) | | | 15,030,000 | | | | 15,535,889 | |
Old Spanish Trail-Alemda Corridors Redevelopment Authority | | | | | | | | |
4.00%, 09/01/2033 | | | 1,360,000 | | | | 1,591,427 | |
Pasadena Independent School District | | | | | | | | |
1.50%, 02/15/2044(1) | | | 4,295,000 | | | | 4,430,158 | |
Permanent University Fund - University of Texas System | | | | | | | | |
5.00%, 07/01/2029 | | | 235,000 | | | | 281,859 | |
Pflugerville Independent School District | | | | | | | | |
2.50%, 02/15/2039(1) | | | 1,340,000 | | | | 1,400,456 | |
Plano Independent School District | | | | | | | | |
5.00%, 02/15/2022 | | | 1,000,000 | | | | 1,030,086 | |
Port Beaumont Navigation District | | | | | | | | |
4.00%, 01/01/2050(3) | | | 1,035,000 | | | | 1,074,083 | |
Port of Port Arthur Navigation District | | | | | | | | |
0.06%, 04/01/2040(1) | | | 32,635,000 | | | | 32,635,000 | |
0.06%, 04/01/2040(1) | | | 33,090,000 | | | | 33,090,000 | |
0.07%, 04/01/2040(1) | | | 6,165,000 | | | | 6,165,000 | |
Rockwall Independent School District | | | | | | | | |
0.00%, 02/15/2024 | | | 1,005,000 | | | | 990,106 | |
San Antonio Water System | | | | | | | | |
2.00%, 05/01/2044(1) | | | 900,000 | | | | 919,906 | |
4.00%, 05/15/2039 | | | 4,500,000 | | | | 5,485,242 | |
5.00%, 05/15/2032 | | | 3,000,000 | | | | 3,257,118 | |
Southwest Houston Redevelopment Authority | | | | | | | | |
4.00%, 09/01/2031 | | | 400,000 | | | | 468,157 | |
4.00%, 09/01/2032 | | | 400,000 | | | | 466,076 | |
4.00%, 09/01/2033 | | | 425,000 | | | | 492,106 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
4.00%, 09/01/2034 | | | 355,000 | | | | 409,947 | |
4.00%, 09/01/2035 | | | 225,000 | | | | 259,391 | |
4.00%, 09/01/2036 | | | 700,000 | | | | 805,819 | |
5.00%, 09/01/2028 | | | 350,000 | | | | 429,651 | |
5.00%, 09/01/2029 | | | 345,000 | | | | 429,757 | |
5.00%, 09/01/2030 | | | 300,000 | | | | 378,588 | |
State of Texas | | | | | | | | |
1.85%, 08/01/2029(1) | | | 515,000 | | | | 515,492 | |
4.00%, 10/01/2032 | | | 1,200,000 | | | | 1,310,545 | |
5.00%, 08/01/2025 | | | 2,035,000 | | | | 2,240,523 | |
5.00%, 08/01/2026 | | | 1,000,000 | | | | 1,146,751 | |
5.00%, 04/01/2027 | | | 5,000,000 | | | | 6,020,043 | |
5.00%, 04/01/2039 | | | 10,000,000 | | | | 11,299,611 | |
5.50%, 08/01/2026 | | | 1,000,000 | | | | 1,238,092 | |
5.50%, 08/01/2032 | | | 1,000,000 | | | | 1,235,276 | |
Tarrant County Cultural Education Facilities Finance Corp. | | | | | | | | |
5.00%, 11/15/2022 | | | 300,000 | | | | 317,914 | |
5.00%, 07/01/2026 | | | 1,775,000 | | | | 2,137,608 | |
5.00%, 11/15/2035 | | | 1,015,000 | | | | 977,659 | |
5.00%, 11/15/2035 | | | 1,750,000 | | | | 1,950,706 | |
5.00%, 11/15/2037 | | | 4,400,000 | | | | 5,228,137 | |
5.00%, 11/15/2040 | | | 1,650,000 | | | | 1,907,235 | |
5.00%, 11/15/2040 | | | 1,800,000 | | | | 1,993,774 | |
5.00%, 11/15/2045 | | | 1,175,000 | | | | 1,060,159 | |
5.00%, 11/15/2046 | | | 1,615,000 | | | | 1,856,218 | |
5.75%, 12/01/2054 | | | 530,708 | | | | 568,252 | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
0.13%, 01/01/2029(1)(3) | | | 1,155,000 | | | | 1,155,000 | |
0.13%, 01/01/2029(1)(3) | | | 1,850,000 | | | | 1,850,000 | |
0.13%, 01/01/2029(1)(3) | | | 2,250,000 | | | | 2,250,000 | |
0.15%, 01/01/2040(1)(3) | | | 800,000 | | | | 800,000 | |
0.33%, 04/01/2059(1)(3) | | | 3,300,000 | | | | 3,300,000 | |
0.33%, 11/01/2060(1)(3) | | | 3,400,000 | | | | 3,400,000 | |
0.33%, 01/01/2061(1)(3) | | | 1,000,000 | | | | 1,000,000 | |
0.33%, 01/01/2061(1)(3) | | | 2,550,000 | | | | 2,550,000 | |
Texas A&M University | | | | | | | | |
3.00%, 05/15/2028 | | | 2,300,000 | | | | 2,532,155 | |
Texas Department of Housing & Community Affairs | | | | | | | | |
2.95%, 07/01/2036 | | | 1,637,375 | | | | 1,726,310 | |
3.50%, 03/01/2051 | | | 6,730,000 | | | | 7,552,942 | |
4.00%, 03/01/2050 | | | 1,690,000 | | | | 1,914,763 | |
Texas Municipal Gas Acquisition & Supply Corp. I | | | | | | | | |
5.25%, 12/15/2022 | | | 450,000 | | | | 481,874 | |
5.25%, 12/15/2025 | | | 3,000,000 | | | | 3,581,726 | |
6.25%, 12/15/2026 | | | 6,600,000 | | | | 7,776,681 | |
Texas Municipal Gas Acquisition & Supply Corp. III | | | | | | | | |
5.00%, 12/15/2022 | | | 1,000,000 | | | | 1,067,211 | |
5.00%, 12/15/2023 | | | 1,250,000 | | | | 1,388,769 | |
5.00%, 12/15/2028 | | | 7,000,000 | | | | 8,933,516 | |
5.00%, 12/15/2029 | | | 5,050,000 | | | | 6,561,064 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.00%, 12/15/2030 | | | 10,850,000 | | | | 14,238,776 | |
5.00%, 12/15/2031 | | | 1,025,000 | | | | 1,366,205 | |
5.00%, 12/15/2032 | | | 6,150,000 | | | | 8,308,516 | |
Texas Municipal Power Agency | | | | | | | | |
3.00%, 09/01/2034 | | | 785,000 | | | | 836,457 | |
3.00%, 09/01/2038 | | | 2,900,000 | | | | 3,054,512 | |
3.00%, 09/01/2040 | | | 1,800,000 | | | | 1,885,842 | |
5.00%, 09/01/2033 | | | 920,000 | | | | 923,395 | |
5.00%, 09/01/2034 | | | 945,000 | | | | 948,527 | |
5.00%, 09/01/2035 | | | 1,200,000 | | | | 1,204,359 | |
Texas Private Activity Bond Surface Transportation Corp. | | | | | | | | |
4.00%, 12/31/2032 | | | 2,500,000 | | | | 3,021,791 | |
4.00%, 12/31/2033 | | | 2,040,000 | | | | 2,455,951 | |
4.00%, 06/30/2036 | | | 1,175,000 | | | | 1,402,953 | |
5.00%, 12/31/2050 | | | 5,410,000 | | | | 6,097,811 | |
5.00%, 12/31/2055 | | | 2,755,000 | | | | 3,097,760 | |
Texas Public Finance Authority | | | | | | | | |
5.00%, 02/01/2028 | | | 2,300,000 | | | | 2,914,033 | |
Texas State University System | | | | | | | | |
5.00%, 03/15/2026 | | | 800,000 | | | | 963,553 | |
5.00%, 03/15/2029 | | | 610,000 | | | | 751,595 | |
5.00%, 03/15/2032 | | | 1,325,000 | | | | 1,619,792 | |
Texas Transportation Commission | | | | | | | | |
0.00%, 08/01/2034 | | | 1,060,000 | | | | 713,477 | |
0.00%, 08/01/2037 | | | 725,000 | | | | 414,759 | |
0.00%, 08/01/2038 | | | 800,000 | | | | 433,291 | |
0.00%, 08/01/2039 | | | 710,000 | | | | 364,273 | |
0.00%, 08/01/2040 | | | 1,500,000 | | | | 727,175 | |
5.00%, 08/01/2057 | | | 2,930,000 | | | | 3,431,321 | |
Texas Transportation Commission State Highway Fund | | | | | | | | |
5.00%, 10/01/2023 | | | 5,020,000 | | | | 5,564,358 | |
Texas Water Development Board | | | | | | | | |
5.00%, 04/15/2028 | | | 1,500,000 | | | | 1,921,212 | |
5.00%, 10/15/2028 | | | 2,370,000 | | | | 3,071,901 | |
5.00%, 04/15/2029 | | | 2,000,000 | | | | 2,619,729 | |
5.00%, 10/15/2029 | | | 4,100,000 | | | | 5,427,897 | |
5.00%, 04/15/2030 | | | 2,000,000 | | | | 2,670,611 | |
5.00%, 10/15/2030 | | | 3,060,000 | | | | 4,129,201 | |
University of Houston | | | | | | | | |
5.00%, 02/15/2030 | | | 860,000 | | | | 1,022,802 | |
Uptown Development Authority | | | | | | | | |
5.00%, 09/01/2033 | | | 715,000 | | | | 827,829 | |
Viridian Municipal Management District | | | | | | | | |
4.00%, 12/01/2029 | | | 520,000 | | | | 568,795 | |
4.00%, 12/01/2031 | | | 560,000 | | | | 609,798 | |
4.00%, 12/01/2032 | | | 580,000 | | | | 630,563 | |
4.00%, 12/01/2033 | | | 605,000 | | | | 656,897 | |
| | | | | | | | |
Total Texas | | | | 819,529,953 | |
| | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Utah – 0.39% | | | | | | | | |
Salt Lake City Corp. Airport Revenue | | | | | | | | |
5.00%, 07/01/2025 | | | 1,000,000 | | | | 1,169,398 | |
5.00%, 07/01/2026 | | | 1,700,000 | | | | 2,045,437 | |
5.00%, 07/01/2026 | | | 3,000,000 | | | | 3,609,595 | |
5.00%, 07/01/2030 | | | 1,000,000 | | | | 1,244,781 | |
5.00%, 07/01/2042 | | | 2,500,000 | | | | 2,992,838 | |
5.25%, 07/01/2048 | | | 3,000,000 | | | | 3,682,367 | |
State of Utah | | | | | | | | |
5.00%, 07/01/2023 | | | 1,760,000 | | | | 1,929,832 | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
0.33%, 04/01/2065(1)(3) | | | 6,600,000 | | | | 6,600,000 | |
Utah Charter School Finance Authority | | | | | | | | |
4.00%, 04/15/2040 | | | 2,440,000 | | | | 2,812,425 | |
4.00%, 10/15/2040 | | | 2,130,000 | | | | 2,475,791 | |
4.50%, 06/15/2027(3) | | | 1,000,000 | | | | 1,083,132 | |
Utah Infrastructure Agency | | | | | | | | |
3.00%, 10/15/2026 | | | 500,000 | | | | 551,551 | |
4.00%, 10/15/2028 | | | 350,000 | | | | 414,514 | |
4.00%, 10/15/2029 | | | 610,000 | | | | 731,046 | |
4.00%, 10/15/2033 | | | 500,000 | | | | 593,769 | |
4.00%, 10/15/2034 | | | 1,410,000 | | | | 1,668,588 | |
4.00%, 10/15/2036 | | | 500,000 | | | | 588,390 | |
4.00%, 10/15/2038 | | | 1,335,000 | | | | 1,562,602 | |
Utah Transit Authority | | | | | | | | |
4.00%, 12/15/2031 | | | 2,880,000 | | | | 3,248,871 | |
| | | | | | | | |
Total Utah | | | | 39,004,927 | |
| | | | | | | | |
Vermont – 0.06% | | | | | | | | |
Vermont Educational & Health Buildings Financing Agency | | | | | | | | |
5.00%, 10/15/2027 | | | 1,000,000 | | | | 1,190,146 | |
5.00%, 10/15/2029 | | | 890,000 | | | | 1,047,240 | |
Vermont Student Assistance Corp. | | | | | | | | |
5.00%, 06/15/2025 | | | 800,000 | | | | 923,019 | |
5.00%, 06/15/2026 | | | 100,000 | | | | 118,300 | |
5.00%, 06/15/2026 | | | 500,000 | | | | 591,499 | |
5.00%, 06/15/2027 | | | 700,000 | | | | 822,200 | |
5.00%, 06/15/2030 | | | 450,000 | | | | 562,620 | |
5.00%, 06/15/2031 | | | 500,000 | | | | 632,132 | |
| | | | | | | | |
Total Vermont | | | | 5,887,156 | |
| | | | | | | | |
Virgin Islands – 0.03% | | | | | | | | |
Virgin Islands Public Finance Authority | | | | | | | | |
5.00%, 10/01/2032 | | | 3,000,000 | | | | 3,135,302 | |
| | | | | | | | |
Total Virgin Islands | | | | 3,135,302 | |
| | | | | | | | |
Virginia – 1.22% | | | | | | | | |
Arlington County Industrial Development Authority | | | | | | | | |
5.00%, 07/01/2027 | | | 905,000 | | | | 1,128,644 | |
Chesapeake Bay Bridge & Tunnel District | | | | | | | | |
5.00%, 11/01/2023 | | | 7,700,000 | | | | 8,518,534 | |
5.00%, 07/01/2046 | | | 4,535,000 | | | | 5,395,634 | |
5.00%, 07/01/2051 | | | 1,670,000 | | | | 1,985,192 | |
City of Norfolk VA Water Revenue | | | | | | | | |
5.00%, 11/01/2022 | | | 1,645,000 | | | | 1,751,864 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
County of Botetourt VA | | | | | | | | |
4.75%, 07/01/2023 | | | 60,000 | | | | 62,434 | |
6.00%, 07/01/2034 | | | 1,500,000 | | | | 1,699,471 | |
County of Loudoun VA | | | | | | | | |
5.00%, 12/01/2023 | | | 825,000 | | | | 920,309 | |
Deutsche Bank Spears/Lifers Trust | | | | | | | | |
0.10%, 05/15/2030(1)(3) | | | 5,135,000 | | | | 5,135,000 | |
Fairfax County Economic Development Authority | | | | | | | | |
5.00%, 12/01/2042 | | | 1,290,000 | | | | 1,385,161 | |
Fairfax County Industrial Development Authority | | | | | | | | |
5.00%, 05/15/2035 | | | 1,175,000 | | | | 1,220,922 | |
5.00%, 05/15/2044 | | | 975,000 | | | | 1,087,822 | |
Farmville Industrial Development Authority | | | | | | | | |
5.00%, 01/01/2032 | | | 1,255,000 | | | | 1,552,337 | |
5.00%, 01/01/2033 | | | 1,320,000 | | | | 1,628,544 | |
Fredericksburg Economic Development Authority | | | | | | | | |
5.00%, 06/15/2031 | | | 500,000 | | | | 556,442 | |
Hampton Roads Sanitation District | | | | | | | | |
5.00%, 07/01/2021 | | | 150,000 | | | | 150,000 | |
Hampton Roads Transportation Accountability Commission | | | | | | | | |
5.00%, 07/01/2027 | | | 835,000 | | | | 1,050,826 | |
5.50%, 07/01/2057 | | | 1,275,000 | | | | 1,588,953 | |
Hanover County Economic Development Authority | | | | | | | | |
5.00%, 07/01/2042 | | | 1,120,000 | | | | 1,146,849 | |
5.00%, 07/01/2047 | | | 2,080,000 | | | | 2,127,585 | |
Norfolk Airport Authority | | | | | | | | |
4.00%, 07/01/2022 | | | 240,000 | | | | 248,886 | |
4.00%, 07/01/2023 | | | 235,000 | | | | 252,013 | |
5.00%, 07/01/2024 | | | 325,000 | | | | 368,165 | |
5.00%, 07/01/2025 | | | 490,000 | | | | 572,794 | |
Norfolk Redevelopment & Housing Authority | | | | | | | | |
4.00%, 01/01/2025 | | | 3,870,000 | | | | 3,871,404 | |
5.00%, 01/01/2046 | | | 240,000 | | | | 250,467 | |
5.00%, 01/01/2049 | | | 500,000 | | | | 533,744 | |
Salem Economic Development Authority | | | | | | | | |
5.00%, 04/01/2030 | | | 710,000 | | | | 899,091 | |
5.00%, 04/01/2031 | | | 400,000 | | | | 503,934 | |
5.00%, 04/01/2032 | | | 700,000 | | | | 879,201 | |
5.00%, 04/01/2033 | | | 350,000 | | | | 438,321 | |
5.00%, 04/01/2034 | | | 925,000 | | | | 1,155,154 | |
Stafford County Economic Development Authority | | | | | | | | |
4.00%, 06/15/2037 | | | 50,000 | | | | 55,749 | |
5.00%, 06/15/2030 | | | 150,000 | | | | 177,637 | |
5.00%, 06/15/2033 | | | 150,000 | | | | 176,546 | |
5.00%, 06/15/2034 | | | 500,000 | | | | 587,492 | |
Tobacco Settlement Financing Corp. | | | | | | | | |
0.00%, 06/01/2047 | | | 3,000,000 | | | | 704,589 | |
Virginia Beach Development Authority | | | | | | | | |
5.00%, 07/15/2021 | | | 170,000 | | | | 170,301 | |
Virginia College Building Authority | | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.00%, 02/01/2022 | | | 150,000 | | | | 154,248 | |
5.00%, 06/01/2022 | | | 150,000 | | | | 156,260 | |
5.00%, 02/01/2023 | | | 700,000 | | | | 753,664 | |
5.00%, 06/01/2023 | | | 125,000 | | | | 135,812 | |
5.00%, 09/01/2023 | | | 1,000,000 | | | | 1,103,005 | |
5.00%, 02/01/2026 | | | 1,000,000 | | | | 1,202,422 | |
5.00%, 02/01/2030 | | | 1,500,000 | | | | 1,891,980 | |
5.00%, 07/01/2030(3) | | | 500,000 | | | | 550,873 | |
5.00%, 06/01/2031 | | | 175,000 | | | | 229,371 | |
5.00%, 02/01/2034 | | | 1,000,000 | | | | 1,309,650 | |
5.00%, 07/01/2045(3) | | | 500,000 | | | | 538,382 | |
5.00%, 07/01/2045(3) | | | 1,000,000 | | | | 1,076,763 | |
5.25%, 07/01/2035(3) | | | 1,000,000 | | | | 1,098,396 | |
Virginia Commonwealth Transportation Board | | | | | | | | |
5.00%, 09/15/2022 | | | 1,000,000 | | | | 1,034,269 | |
5.00%, 09/15/2023 | | | 2,500,000 | | | | 2,763,057 | |
Virginia Port Authority | | | | | | | | |
5.00%, 07/01/2023 | | | 1,000,000 | | | | 1,089,968 | |
Virginia Public Building Authority | | | | | | | | |
5.00%, 08/01/2022 | | | 1,050,000 | | | | 1,105,166 | |
5.00%, 08/01/2022 | | | 1,490,000 | | | | 1,568,283 | |
5.00%, 08/01/2023 | | | 1,425,000 | | | | 1,567,973 | |
5.00%, 08/01/2024 | | | 2,245,000 | | | | 2,570,719 | |
Virginia Public School Authority | | | | | | | | |
5.00%, 08/01/2022 | | | 2,505,000 | | | | 2,636,891 | |
5.00%, 08/01/2022 | | | 3,275,000 | | | | 3,445,595 | |
Virginia Small Business Financing Authority | | | | | | | | |
5.00%, 01/01/2026 | | | 750,000 | | | | 883,689 | |
5.00%, 01/01/2027 | | | 1,000,000 | | | | 1,212,412 | |
5.00%, 07/01/2034 | | | 1,000,000 | | | | 1,023,243 | |
5.00%, 01/01/2040 | | | 3,540,000 | | | | 3,621,705 | |
5.00%, 01/01/2040 | | | 4,135,000 | | | | 4,230,437 | |
5.00%, 01/01/2044 | | | 1,160,000 | | | | 1,186,538 | |
5.00%, 01/01/2048(1)(3) | | | 500,000 | | | | 531,859 | |
5.00%, 07/01/2049 | | | 5,860,000 | | | | 5,993,169 | |
5.00%, 12/31/2049 | | | 3,105,000 | | | | 3,738,845 | |
5.00%, 12/31/2052 | | | 1,500,000 | | | | 1,797,987 | |
5.00%, 12/31/2056 | | | 4,705,000 | | | | 5,635,945 | |
5.50%, 01/01/2042 | | | 6,590,000 | | | | 6,908,537 | |
Wise County Industrial Development Authority | | | | | | | | |
1.20%, 11/01/2040(1) | | | 3,355,000 | | | | 3,432,760 | |
York County Economic Development Authority | | | | | | | | |
1.90%, 05/01/2033(1) | | | 600,000 | | | | 614,641 | |
| | | | | | | | |
Total Virginia | | | | 120,732,525 | |
| | | | | | | | |
Washington – 3.03% | | | | | | | | |
Adams County Public Hospital District No 2 | | | | | | | | |
5.13%, 12/01/2044 | | | 1,000,000 | | | | 1,090,267 | |
Auburn School District No 408 of King & Pierce Counties | | | | | | | | |
4.00%, 12/01/2034 | | | 1,225,000 | | | | 1,455,588 | |
4.00%, 12/01/2036 | | | 1,140,000 | | | | 1,354,162 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.00%, 12/01/2033 | | | 2,000,000 | | | | 2,509,024 | |
Central Puget Sound Regional Transit Authority | | | | | | | | |
5.00%, 11/01/2035 | | | 960,000 | | | | 1,135,613 | |
City of Seattle WA Municipal Light & Power Revenue | | | | | | | | |
0.52% (SIFMA Municipal Swap Index Yield + 0.49%), 11/01/2046(2) | | | 5,000,000 | | | | 5,013,895 | |
4.00%, 01/01/2032 | | | 3,385,000 | | | | 3,993,924 | |
City of Tacoma WA Electric System Revenue | | | | | | | | |
5.00%, 01/01/2039 | | | 675,000 | | | | 812,357 | |
City of Tacoma WA Solid Waste Utility Revenue | | | | | | | | |
5.00%, 12/01/2031 | | | 460,000 | | | | 549,723 | |
Clark County Public Utility District No 1 | | | | | | | | |
5.00%, 01/01/2022 | | | 425,000 | | | | 435,309 | |
5.00%, 01/01/2023 | | | 375,000 | | | | 401,961 | |
5.00%, 01/01/2023 | | | 750,000 | | | | 803,921 | |
5.00%, 01/01/2024 | | | 395,000 | | | | 441,486 | |
County of King WA Sewer Revenue | | | | | | | | |
5.00%, 01/01/2047 | | | 29,000,000 | | | | 32,446,229 | |
East Pierce Fire & Rescue | | | | | | | | |
5.00%, 12/01/2029 | | | 635,000 | | | | 811,205 | |
5.00%, 12/01/2031 | | | 925,000 | | | | 1,172,237 | |
Energy Northwest | | | | | | | | |
4.00%, 07/01/2044 | | | 8,000,000 | | | | 8,224,866 | |
5.00%, 07/01/2028 | | | 15,000,000 | | | | 19,252,107 | |
5.00%, 07/01/2034 | | | 6,890,000 | | | | 9,124,688 | |
King & Snohomish Counties School District No 417 Northshore | | | | | | | | |
4.00%, 12/01/2033 | | | 5,500,000 | | | | 6,034,924 | |
King County Housing Authority | | | | | | | | |
4.00%, 06/01/2026 | | | 450,000 | | | | 516,207 | |
4.00%, 06/01/2027 | | | 620,000 | | | | 722,851 | |
4.00%, 06/01/2028 | | | 1,115,000 | | | | 1,316,435 | |
4.00%, 06/01/2029 | | | 840,000 | | | | 1,004,528 | |
4.00%, 06/01/2030 | | | 400,000 | | | | 483,636 | |
4.00%, 06/01/2031 | | | 650,000 | | | | 776,215 | |
4.00%, 11/01/2031 | | | 1,640,000 | | | | 1,971,955 | |
4.00%, 06/01/2032 | | | 625,000 | | | | 739,653 | |
4.00%, 11/01/2032 | | | 1,705,000 | | | | 2,044,507 | |
4.00%, 06/01/2033 | | | 500,000 | | | | 588,988 | |
4.00%, 06/01/2034 | | | 525,000 | | | | 616,641 | |
4.00%, 06/01/2035 | | | 735,000 | | | | 861,958 | |
5.00%, 11/01/2027 | | | 1,000,000 | | | | 1,241,702 | |
5.00%, 11/01/2028 | | | 1,430,000 | | | | 1,814,652 | |
5.00%, 11/01/2029 | | | 750,000 | | | | 970,178 | |
King County Public Hospital District No 1 | | | | | | | | |
5.00%, 12/01/2032 | | | 4,500,000 | | | | 5,405,043 | |
King County School District No 210 Federal Way | | | | | | | | |
4.00%, 12/01/2035 | | | 2,000,000 | | | | 2,377,099 | |
King County School District No 412 Shoreline | | | | | | | | |
4.00%, 12/01/2036 | | | 2,000,000 | | | | 2,416,331 | |
King County School District No 414 Lake Washington | | | | | | | | |
5.00%, 12/01/2035 | | | 1,600,000 | | | | 2,002,040 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.00%, 12/01/2036 | | | 3,205,000 | | | | 4,005,501 | |
5.00%, 12/01/2037 | | | 1,425,000 | | | | 1,777,109 | |
5.00%, 12/01/2038 | | | 865,000 | | | | 1,076,834 | |
Pierce County School District No 10 Tacoma | | | | | | | | |
5.00%, 12/01/2034 | | | 2,800,000 | | | | 3,242,487 | |
Port of Seattle WA | | | | | | | | |
5.00%, 07/01/2024 | | | 595,000 | | | | 648,656 | |
5.00%, 04/01/2029 | | | 5,050,000 | | | | 6,439,984 | |
5.00%, 04/01/2030 | | | 2,000,000 | | | | 2,257,195 | |
5.00%, 04/01/2034 | | | 1,000,000 | | | | 1,122,104 | |
5.00%, 04/01/2036 | | | 3,130,000 | | | | 3,896,861 | |
5.00%, 01/01/2037 | | | 3,500,000 | | | | 4,245,526 | |
5.00%, 08/01/2039 | | | 13,380,000 | | | | 17,357,457 | |
Seattle Housing Authority | | | | | | | | |
0.18%, 06/01/2040(1) | | | 600,000 | | | | 600,000 | |
1.00%, 06/01/2026 | | | 4,720,000 | | | | 4,715,506 | |
Snohomish County Housing Authority | | | | | | | | |
5.00%, 04/01/2031 | | | 1,135,000 | | | | 1,416,139 | |
State of Washington | | | | | | | | |
5.00%, 09/01/2021 | | | 2,670,000 | | | | 2,691,347 | |
5.00%, 08/01/2027 | | | 235,000 | | | | 287,204 | |
5.00%, 08/01/2027 | | | 550,000 | | | | 650,946 | |
5.00%, 08/01/2028 | | | 235,000 | | | | 287,072 | |
5.00%, 08/01/2030 | | | 235,000 | | | | 286,018 | |
5.00%, 08/01/2030 | | | 1,830,000 | | | | 2,285,233 | |
5.00%, 06/01/2034 | | | 660,000 | | | | 837,686 | |
5.00%, 07/01/2036 | | | 1,505,000 | | | | 1,930,398 | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
0.13%, 03/01/2028(1)(3) | | | 3,000,000 | | | | 3,000,000 | |
Thurston & Pierce Counties Community Schools | | | | | | | | |
5.00%, 12/01/2031 | | | 1,100,000 | | | | 1,411,978 | |
Tobacco Settlement Authority | | | | | | | | |
5.00%, 06/01/2023 | | | 1,000,000 | | | | 1,090,200 | |
5.00%, 06/01/2024 | | | 1,000,000 | | | | 1,090,957 | |
Washington Health Care Facilities Authority | | | | | | | | |
1.08% (SIFMA Municipal Swap Index Yield + 1.05%), 01/01/2042(2) | | | 5,000,000 | | | | 5,035,703 | |
5.00%, 08/15/2022 | | | 1,200,000 | | | | 1,264,872 | |
5.00%, 08/15/2023 | | | 650,000 | | | | 715,644 | |
5.00%, 10/01/2024 | | | 465,000 | | | | 493,518 | |
5.00%, 07/01/2025 | | | 360,000 | | | | 420,828 | |
5.00%, 08/01/2028 | | | 1,005,000 | | | | 1,278,152 | |
5.00%, 07/01/2029 | | | 115,000 | | | | 142,167 | |
5.00%, 07/01/2030 | | | 410,000 | | | | 503,779 | |
5.00%, 08/01/2030 | | | 3,500,000 | | | | 4,493,267 | |
5.00%, 08/15/2030 | | | 1,000,000 | | | | 1,196,619 | |
5.00%, 08/15/2031 | | | 845,000 | | | | 1,008,143 | |
5.00%, 09/01/2031 | | | 185,000 | | | | 246,032 | |
5.00%, 08/15/2032 | | | 480,000 | | | | 571,539 | |
5.00%, 09/01/2032 | | | 180,000 | | | | 238,702 | |
5.00%, 09/01/2033 | | | 225,000 | | | | 297,453 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.00%, 07/01/2034 | | | 105,000 | | | | 127,755 | |
5.00%, 09/01/2034 | | | 450,000 | | | | 593,329 | |
5.00%, 09/01/2035 | | | 365,000 | | | | 480,464 | |
5.00%, 10/01/2038 | | | 11,320,000 | | | | 12,795,150 | |
5.00%, 07/01/2042 | | | 2,415,000 | | | | 2,899,066 | |
5.00%, 08/01/2049(1) | | | 10,000,000 | | | | 11,616,428 | |
5.00%, 09/01/2050 | | | 500,000 | | | | 640,540 | |
Washington Higher Education Facilities Authority | | | | | | | | |
4.00%, 05/01/2045 | | | 1,000,000 | | | | 1,149,226 | |
4.00%, 05/01/2050 | | | 950,000 | | | | 1,086,717 | |
5.00%, 05/01/2025 | | | 100,000 | | | | 115,174 | |
5.00%, 05/01/2026 | | | 375,000 | | | | 443,218 | |
5.00%, 05/01/2028 | | | 420,000 | | | | 518,063 | |
5.00%, 05/01/2029 | | | 180,000 | | | | 226,087 | |
5.00%, 10/01/2029 | | | 1,855,000 | | | | 2,209,767 | |
5.00%, 10/01/2033 | | | 735,000 | | | | 865,139 | |
Washington State Convention Center Public Facilities District | | | | | | | | |
4.00%, 07/01/2031 | | | 15,125,000 | | | | 17,699,304 | |
Washington State Housing Finance Commission | | | | | | | | |
0.58% (SIFMA Municipal Swap Index Yield + 0.55%), 12/01/2048(2) | | | 10,000,000 | | | | 10,067,004 | |
1.55%, 07/01/2022(1) | | | 10,000,000 | | | | 10,066,614 | |
2.38%, 01/01/2026(3) | | | 600,000 | | | | 600,479 | |
3.50%, 12/20/2035 | | | 2,147,592 | | | | 2,504,990 | |
3.70%, 07/01/2030 | | | 5,000,000 | | | | 5,678,914 | |
4.00%, 07/01/2026(3) | | | 1,055,000 | | | | 1,108,237 | |
5.00%, 01/01/2024(3) | | | 180,000 | | | | 194,739 | |
5.00%, 01/01/2025(3) | | | 375,000 | | | | 416,844 | |
5.00%, 01/01/2026(3) | | | 300,000 | | | | 341,712 | |
5.00%, 07/01/2031(3) | | | 1,000,000 | | | | 1,090,020 | |
5.00%, 07/01/2053(3) | | | 400,000 | | | | 436,138 | |
5.00%, 01/01/2055(3) | | | 775,000 | | | | 866,856 | |
Washington State University | | | | | | | | |
5.00%, 04/01/2029 | | | 425,000 | | | | 475,877 | |
5.00%, 04/01/2029 | | | 860,000 | | | | 970,500 | |
| | | | | | | | |
Total Washington | | | | 299,775,272 | |
| | | | | | | | |
West Virginia – 0.12% | | | | | | | | |
Monongalia County Commission Excise Tax District | | | | | | | | |
4.13%, 06/01/2043(3) | | | 750,000 | | | | 845,176 | |
4.88%, 06/01/2043(3) | | | 250,000 | | | | 272,622 | |
Monongalia County Commission Special District | | | | | | | | |
5.50%, 06/01/2037(3) | | | 200,000 | | | | 231,006 | |
5.75%, 06/01/2043(3) | | | 200,000 | | | | 231,355 | |
Ohio County Board of Education | | | | | | | | |
3.00%, 06/01/2028 | | | 2,150,000 | | | | 2,442,261 | |
State of West Virginia | | | | | | | | |
5.00%, 12/01/2036 | | | 2,910,000 | | | | 3,676,459 | |
West Virginia Economic Development Authority | | | | | | | | |
5.00%, 07/01/2045(1) | | | 900,000 | | | | 970,199 | |
West Virginia Hospital Finance Authority | | | | | | | | |
5.00%, 01/01/2031 | | | 620,000 | | | | 772,615 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
West Virginia State School Building Authority Lottery Revenue | | | | | | | | |
5.00%, 07/01/2022 | | | 695,000 | | | | 728,653 | |
5.00%, 07/01/2024 | | | 500,000 | | | | 568,653 | |
5.00%, 07/01/2032 | | | 940,000 | | | | 1,136,130 | |
| | | | | | | | |
Total West Virginia | | | | 11,875,129 | |
| | | | | | | | |
Wisconsin – 1.48% | | | | | | | | |
Milwaukee Redevelopment Authority | | | | | | | | |
5.00%, 11/15/2031 | | | 570,000 | | | | 689,805 | |
5.00%, 11/15/2032 | | | 500,000 | | | | 604,509 | |
Public Finance Authority | | | | | | | | |
3.00%, 04/01/2025(3) | | | 325,000 | | | | 337,850 | |
4.00%, 08/01/2035(6) | | | 6,250,000 | | | | 6,417,604 | |
4.13%, 05/01/2026(3) | | | 635,000 | | | | 658,374 | |
5.00%, 06/01/2022 | | | 175,000 | | | | 182,634 | |
5.00%, 06/01/2023 | | | 195,000 | | | | 212,338 | |
5.00%, 06/01/2024 | | | 200,000 | | | | 226,566 | |
5.00%, 06/01/2025 | | | 450,000 | | | | 527,703 | |
5.00%, 12/01/2025 | | | 1,000,000 | | | | 1,167,570 | |
5.00%, 06/01/2026 | | | 385,000 | | | | 465,451 | |
5.00%, 06/01/2027 | | | 410,000 | | | | 509,127 | |
5.00%, 12/01/2027 | | | 4,065,000 | | | | 4,598,979 | |
5.00%, 05/15/2028(3) | | | 200,000 | | | | 220,627 | |
5.00%, 05/01/2029(3) | | | 2,330,000 | | | | 2,177,177 | |
5.00%, 06/15/2034 | | | 500,000 | | | | 597,328 | |
5.00%, 07/01/2035 | | | 5,000,000 | | | | 6,287,897 | |
5.00%, 07/01/2036 | | | 305,000 | | | | 392,262 | |
5.00%, 01/01/2037 | | | 500,000 | | | | 634,235 | |
5.00%, 06/15/2037(3) | | | 1,130,000 | | | | 1,189,466 | |
5.00%, 07/01/2037 | | | 825,000 | | | | 885,755 | |
5.00%, 01/01/2038 | | | 350,000 | | | | 442,399 | |
5.00%, 07/01/2038 | | | 375,000 | | | | 479,835 | |
5.00%, 06/15/2039(3) | | | 410,000 | | | | 452,037 | |
5.00%, 06/15/2039 | | | 500,000 | | | | 590,136 | |
5.00%, 04/01/2040(3) | | | 400,000 | | | | 483,005 | |
5.00%, 01/01/2042 | | | 600,000 | | | | 648,360 | |
5.00%, 10/01/2043(3) | | | 170,000 | | | | 188,602 | |
5.00%, 10/01/2048(3) | | | 1,865,000 | | | | 2,061,924 | |
5.00%, 06/15/2049(3) | | | 420,000 | | | | 457,781 | |
5.00%, 06/15/2049(3) | | | 750,000 | | | | 802,145 | |
5.00%, 06/15/2049 | | | 1,100,000 | | | | 1,280,446 | |
5.00%, 04/01/2050(3) | | | 550,000 | | | | 654,555 | |
5.00%, 10/01/2053(3) | | | 1,305,000 | | | | 1,440,022 | |
5.00%, 06/15/2054(3) | | | 455,000 | | | | 494,838 | |
5.00%, 05/01/2055(3) | | | 3,400,000 | | | | 3,049,217 | |
5.00%, 07/01/2055(3) | | | 550,000 | | | | 612,355 | |
5.20%, 06/01/2037 | | | 500,000 | | | | 528,957 | |
5.25%, 05/15/2037(3) | | | 500,000 | | | | 551,643 | |
5.25%, 05/15/2042(3) | | | 60,000 | | | | 66,081 | |
5.25%, 10/01/2043 | | | 2,105,000 | | | | 2,462,121 | |
5.25%, 05/15/2047(3) | | | 60,000 | | | | 66,081 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.25%, 10/01/2048 | | | 2,105,000 | | | | 2,451,797 | |
5.25%, 05/15/2052(3) | | | 115,000 | | | | 126,655 | |
5.30%, 06/01/2047 | | | 500,000 | | | | 524,863 | |
State of Wisconsin | | | | | | | | |
5.00%, 05/01/2023 | | | 2,000,000 | | | | 2,177,552 | |
5.00%, 05/01/2023 | | | 4,000,000 | | | | 4,348,926 | |
5.00%, 05/01/2024 | | | 7,470,000 | | | | 8,453,982 | |
5.00%, 05/01/2025 | | | 520,000 | | | | 600,424 | |
5.00%, 05/01/2025 | | | 1,730,000 | | | | 2,033,219 | |
5.00%, 05/01/2025 | | | 5,335,000 | | | | 6,247,829 | |
5.00%, 05/01/2030 | | | 1,000,000 | | | | 1,215,546 | |
5.00%, 05/01/2032 | | | 450,000 | | | | 571,837 | |
5.00%, 05/01/2033 | | | 9,790,000 | | | | 12,418,200 | |
5.00%, 05/01/2034 | | | 2,400,000 | | | | 2,882,934 | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
0.13%, 06/01/2028(1)(3) | | | 1,800,000 | | | | 1,800,000 | |
0.18%, 12/15/2050(1)(3) | | | 500,000 | | | | 500,000 | |
Wisconsin Center District | | | | | | | | |
0.00%, 12/15/2028 | | | 1,025,000 | | | | 924,076 | |
0.00%, 12/15/2030 | | | 550,000 | | | | 470,788 | |
0.00%, 12/15/2030 | | | 1,045,000 | | | | 894,496 | |
0.00%, 12/15/2032 | | | 1,400,000 | | | | 1,113,974 | |
0.00%, 12/15/2033 | | | 1,500,000 | | | | 1,149,364 | |
Wisconsin Department of Transportation | | | | | | | | |
4.00%, 07/01/2021 | | | 400,000 | | | | 400,000 | |
Wisconsin Health & Educational Facilities Authority | | | | | | | | |
0.68% (SIFMA Municipal Swap Index Yield + 0.65%), 08/15/2054(2) | | | 4,000,000 | | | | 4,034,443 | |
2.55%, 11/01/2027 | | | 390,000 | | | | 390,693 | |
2.83%, 11/01/2028 | | | 605,000 | | | | 606,400 | |
4.00%, 02/15/2025 | | | 270,000 | | | | 303,749 | |
4.00%, 02/15/2026 | | | 510,000 | | | | 581,119 | |
4.00%, 02/15/2031 | | | 460,000 | | | | 524,147 | |
4.00%, 02/15/2033 | | | 550,000 | | | | 626,697 | |
5.00%, 05/01/2022 | | | 550,000 | | | | 569,504 | |
5.00%, 10/01/2022 | | | 330,000 | | | | 348,783 | |
5.00%, 12/01/2022 | | | 560,000 | | | | 597,223 | |
5.00%, 11/01/2024 | | | 155,000 | | | | 166,635 | |
5.00%, 04/01/2025 | | | 2,000,000 | | | | 2,340,508 | |
5.00%, 04/01/2026 | | | 1,000,000 | | | | 1,208,179 | |
5.00%, 02/15/2027 | | | 300,000 | | | | 354,032 | |
5.00%, 04/01/2027 | | | 1,700,000 | | | | 2,112,573 | |
5.00%, 10/01/2027 | | | 580,000 | | | | 720,773 | |
5.00%, 04/01/2028 | | | 900,000 | | | | 1,146,212 | |
5.00%, 10/01/2028 | | | 700,000 | | | | 883,998 | |
5.00%, 11/01/2029 | | | 760,000 | | | | 849,367 | |
5.00%, 04/01/2030 | | | 1,670,000 | | | | 2,136,000 | |
5.00%, 12/15/2033 | | | 1,450,000 | | | | 1,873,061 | |
5.00%, 09/01/2036 | | | 400,000 | | | | 497,573 | |
5.00%, 09/15/2037 | | | 650,000 | | | | 678,118 | |
5.00%, 09/15/2050 | | | 645,000 | | | | 690,377 | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
5.00%, 08/15/2054(1) | | | 830,000 | | | | 1,011,419 | |
5.00%, 08/15/2054(1) | | | 1,260,000 | | | | 1,292,851 | |
Wisconsin Housing & Economic Development Authority | | | | | | | | |
0.40%, 05/01/2045(1) | | | 5,000,000 | | | | 5,001,201 | |
0.50%, 11/01/2050(1) | | | 2,350,000 | | | | 2,347,904 | |
1.55%, 11/01/2038(1) | | | 1,750,000 | | | | 1,751,874 | |
1.60%, 11/01/2048(1) | | | 6,000,000 | | | | 6,026,291 | |
3.00%, 03/01/2052 | | | 1,520,000 | | | | 1,670,563 | |
3.50%, 09/01/2050 | | | 2,385,000 | | | | 2,637,293 | |
Wisconsin Rapids School District | | | | | | | | |
2.00%, 01/06/2022 | | | 2,750,000 | | | | 2,758,664 | |
| | | | | | | | |
Total Wisconsin | | | | 146,840,483 | |
| | | | | | | | |
Wyoming – 0.13% | | | | | | | | |
County of Laramie WY | | | | | | | | |
4.00%, 05/01/2026 | | | 200,000 | | | | 230,775 | |
4.00%, 05/01/2031 | | | 500,000 | | | | 612,632 | |
4.00%, 05/01/2033 | | | 500,000 | | | | 607,544 | |
4.00%, 05/01/2035 | | | 500,000 | | | | 604,502 | |
4.00%, 05/01/2038 | | | 1,365,000 | | | | 1,633,547 | |
Wyoming Community Development Authority | | | | | | | | |
3.00%, 06/01/2049 | | | 8,000,000 | | | | 8,714,696 | |
| | | | | | | | |
Total Wyoming | | | | 12,403,696 | |
| | | | | | | | |
Total Municipal Bonds (Cost: $9,079,794,366) | | | | 9,496,581,245 | |
| | | | | | | | |
| | |
| | | Shares | | | Value | |
SHORT-TERM INVESTMENTS – 5.44% | | | | | | | | |
Money Market Funds – 5.02% | | | | | | | | |
Fidelity Institutional Money Market Government Fund - Class I, 0.01%(5) | | | 496,828,340 | | | | 496,828,340 | |
| | | | | | | | |
Total Money Market Funds (Cost: $496,828,340) | | | | | | | 496,828,340 | |
| | | | | | | | |
| | |
| | | Principal
Amount | | | Value | |
Commercial Paper – 0.18% | | | | | | | | |
California Statewide Communities Development Authority, 0.17%, 12/09/2021 | | $ | 17,335,000 | | | | 17,336,536 | |
| | | | | | | | |
Total Commercial Paper (Cost: $17,335,000) | | | | | | | 17,336,536 | |
| | | | | | | | |
Time Deposits – 0.24% | | | | | | | | |
BBVA, Madrid, 0.01% due 07/01/2021 | | | 3,156,672 | | | | 3,156,672 | |
Citibank, New York, 0.01% due 07/01/2021 | | | 12,136,012 | | | | 12,136,012 | |
Skandinaviska Enskilda Banken AB, Stockholm, 0.01% due 07/01/2021 | | | 290 | | | | 290 | |
Sumitomo, Tokyo, 0.01% due 07/01/2021 | | | 7,929,482 | | | | 7,929,482 | |
| | | | | | | | |
Total Time Deposits (Cost: $23,222,456) | | | | | | | 23,222,456 | |
| | | | | | | | |
Total Short-Term Investments (Cost: $537,385,796) | | | | 537,387,332 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES – 101.47% (Cost: $9,617,180,162) | | | | | | | 10,033,968,577 | |
| | | | | | | | |
LIABILITIES IN EXCESS OF OTHER ASSETS – (1.47)% | | | | | | | (145,113,130 | ) |
| | | | | | | | |
TOTAL NET ASSETS – 100.00% | | | | | | $ | 9,888,855,447 | |
| | | | | | | | |
Percentages are stated as a percent of net assets.
| (1) | Adjustable rate security. The rate reported is the rate in effect as of June 30, 2021. |
| (2) | Variable rate security based on a reference index and spread. The rate reported is the rate in effect as of June 30, 2021. |
| (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 totals $541,132,460, which represents 5.47% of total net assets. |
| (4) | Security in default as of June 30, 2021. The value of these securities totals $60,325,711, which represents 0.61% of total net assets. |
| (5) | Represents annualized seven-day yield as of the close of the reporting period. |
| (6) | Security that is restricted or includes securities restricted at June 30, 2021. The value of the restricted securities totals $15,217,604, which represents 0.15% of total net assets. |
| The | accompanying notes are an integral part of this Schedule of Investments. |
Open Futures Contracts
| | | | | | | | | | | | | | | | | | | | |
Number of Contracts
Sold | | Reference Entity | | Counterparty | | Expiration
Date | | | Notional
Amount | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
| (400) | | U.S. 5 Year Note Future | | Citigroup Global Markets | | | Sep. 2021 | | | $ | (49,478,124 | ) | | $ | (49,371,875 | ) | | $ | 106,249 | |
| (332) | | U.S. 5 Year Note Future | | Bank of America | | | Sep. 2021 | | | | (40,942,895 | ) | | | (40,978,656 | ) | | | (35,761 | ) |
| (357) | | U.S. 10 Year Note Future | | Bank of America | | | Sep. 2021 | | | | (47,123,976 | ) | | | (47,302,500 | ) | | | (178,524 | ) |
| (200) | | U.S. 10 Year Note Future | | Citigroup Global Markets | | | Sep. 2021 | | | | (26,347,430 | ) | | | (26,500,000 | ) | | | (152,570 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | (260,606 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
| MUNICIPAL BONDS | | Percentage of
Net Assets | |
Education | | | 8.06 | % |
General Obligation | | | 16.27 | % |
General Revenue | | | 28.77 | % |
Healthcare | | | 12.45 | % |
Housing | | | 4.81 | % |
Transportation | | | 17.27 | % |
Utilities | | | 8.40 | % |
| | | | |
Total Municipal Bonds | | | 96.03 | % |
| | | | |
SHORT-TERM INVESTMENTS | | | 5.44 | % |
| | | | |
TOTAL INVESTMENTS | | | 101.47 | % |
LIABILITIES IN EXCESS OF OTHER ASSETS | | | -1.47 | % |
| | | | |
TOTAL NET ASSETS | | | 100 | % |
| | | | |
The accompanying notes are an integral part of this Schedule of Investments.
Bridge Builder Large Cap Growth Fund
Schedule of Investments
June 30, 2021
| | | | | | | | |
| | | Shares | | | Value | |
COMMON STOCKS – 98.52% | | | | | | | | |
Communication Services – 11.72% | | | | | | | | |
Alphabet, Inc. - Class A(1) | | | 239,205 | | | $ | 584,088,377.00 | |
Alphabet, Inc. - Class C(1) | | | 149,120 | | | | 373,742,438 | |
Altice USA, Inc. - Class A(1) | | | 12,417 | | | | 423,916 | |
Bumble, Inc. - Class A(1) | | | 228,061 | | | | 13,136,314 | |
Cable One, Inc. | | | 237 | | | | 453,336 | |
Charter Communications, Inc. - Class A(1) | | | 10,343 | | | | 7,461,957 | |
Facebook, Inc. - Class A(1) | | | 1,364,161 | | | | 474,332,421 | |
Live Nation Entertainment, Inc.(1) | | | 4,267 | | | | 373,747 | |
Madison Square Garden Sports Corp. - Class A(1) | | | 601 | | | | 103,715 | |
Match Group, Inc.(1) | | | 451,400 | | | | 72,788,250 | |
Netflix, Inc.(1) | | | 231,616 | | | | 122,341,887 | |
Nexstar Media Group, Inc. - Class A | | | 232 | | | | 34,308 | |
Pinterest, Inc. - Class A(1) | | | 45,370 | | | | 3,581,962 | |
Playtika Holding Corp.(1) | | | 6,316 | | | | 150,573 | |
Roku, Inc. - Class A(1) | | | 9,564 | | | | 4,392,267 | |
Skillz, Inc. - Class A(1) | | | 24,432 | | | | 530,663 | |
Snap, Inc. - Class A(1) | | | 1,204,726 | | | | 82,090,030 | |
Spotify Technology SA(1) | | | 172,004 | | | | 47,402,582 | |
Take-Two Interactive Software, Inc.(1) | | | 1,886 | | | | 333,860 | |
TripAdvisor, Inc.(1) | | | 5,004 | | | | 201,661 | |
Twitter, Inc.(1) | | | 6,799 | | | | 467,839 | |
Vimeo, Inc.(1) | | | 10,380 | | | | 508,620 | |
Walt Disney Co.(1) | | | 1,544,006 | | | | 271,389,935 | |
World Wrestling Entertainment, Inc. - Class A | | | 4,195 | | | | 242,849 | |
Zillow Group, Inc. - Class A(1) | | | 4,928 | | | | 603,828 | |
Zillow Group, Inc. - Class C(1) | | | 13,605 | | | | 1,662,803 | |
Zynga, Inc. - Class A(1) | | | 39,449 | | | | 419,343 | |
| | | | | | | | |
Total Communication Services | | | | | | | 2,063,259,481 | |
| | | | | | | | |
Consumer Discretionary – 15.01% | | | | | | | | |
Airbnb, Inc. - Class A(1) | | | 271,425 | | | | 41,566,024 | |
Amazon.com, Inc.(1) | | | 202,047 | | | | 695,074,007 | |
Aptiv Plc(1) | | | 355,852 | | | | 55,986,195 | |
AutoZone, Inc.(1) | | | 391 | | | | 583,458 | |
Best Buy Co., Inc. | | | 4,773 | | | | 548,800 | |
Booking Holdings, Inc.(1) | | | 3,451 | | | | 7,551,099 | |
Boyd Gaming Corp.(1) | | | 1,451 | | | | 89,222 | |
Bright Horizons Family Solutions, Inc.(1) | | | 4,023 | | | | 591,824 | |
Brunswick Corp. | | | 826 | | | | 82,286 | |
Burlington Stores, Inc.(1) | | | 5,187 | | | | 1,670,162 | |
Caesars Entertainment, Inc.(1) | | | 10,276 | | | | 1,066,135 | |
CarMax, Inc.(1) | | | 1,115 | | | | 144,002 | |
Carvana Co. - Class A(1) | | | 124,095 | | | | 37,454,353 | |
Chegg, Inc.(1) | | | 8,860 | | | | 736,355 | |
Chipotle Mexican Grill, Inc. - Class A(1) | | | 2,353 | | | | 3,647,950 | |
Choice Hotels International, Inc. | | | 2,889 | | | | 343,387 | |
Churchill Downs, Inc. | | | 3,059 | | | | 606,477 | |
Darden Restaurants, Inc. | | | 7,328 | | | | 1,069,815 | |
Deckers Outdoor Corp.(1) | | | 315 | | | | 120,982 | |
| | | | | | | | |
| | | Shares | | | Value | |
Dollar General Corp. | | | 513,753 | | | | 111,171,012 | |
Dollar Tree, Inc.(1) | | | 726,986 | | | | 72,335,107 | |
Domino’s Pizza, Inc. | | | 2,183 | | | | 1,018,348 | |
DoorDash, Inc. - Class A(1) | | | 6,124 | | | | 1,092,093 | |
DR Horton, Inc. | | | 11,401 | | | | 1,030,308 | |
DraftKings, Inc. - Class A(1) | | | 25,200 | | | | 1,314,684 | |
eBay, Inc. | | | 56,559 | | | | 3,971,007 | |
Etsy, Inc.(1) | | | 10,510 | | | | 2,163,378 | |
Expedia Group, Inc.(1) | | | 11,716 | | | | 1,918,026 | |
Five Below, Inc.(1) | | | 4,547 | | | | 878,799 | |
Floor & Decor Holdings, Inc. - Class A(1) | | | 8,088 | | | | 854,902 | |
Frontdoor, Inc.(1) | | | 4,860 | | | | 242,125 | |
GameStop Corp. - Class A(1) | | | 4,909 | | | | 1,051,213 | |
H&R Block, Inc. | | | 10,701 | | | | 251,259 | |
Hanesbrands, Inc. | | | 17,216 | | | | 321,423 | |
Hilton Worldwide Holdings, Inc.(1) | | | 15,237 | | | | 1,837,887 | |
Home Depot, Inc. | | | 360,086 | | | | 114,827,825 | |
L Brands, Inc. | | | 11,291 | | | | 813,629 | |
Las Vegas Sands Corp.(1) | | | 27,449 | | | | 1,446,288 | |
Leslie’s, Inc.(1) | | | 8,012 | | | | 220,250 | |
Lowe’s Companies, Inc. | | | 682,441 | | | | 132,373,081 | |
Lululemon Athletica, Inc.(1) | | | 196,077 | | | | 71,562,223 | |
LVMH Moet Hennessy Louis Vuitton SE | | | 109,520 | | | | 86,154,674 | |
Marriott International, Inc. - Class A(1) | | | 22,581 | | | | 3,082,758 | |
Mattel, Inc.(1) | | | 28,930 | | | | 581,493 | |
McDonald’s Corp. | | | 676,635 | | | | 156,295,919 | |
MercadoLibre, Inc.(1) | | | 55,582 | | | | 86,585,084 | |
NIKE, Inc. - Class B | | | 1,685,180 | | | | 260,343,458 | |
Nordstrom, Inc.(1) | | | 7,729 | | | | 282,650 | |
NVR, Inc.(1) | | | 183 | | | | 910,114 | |
O’Reilly Automotive, Inc.(1) | | | 1,746 | | | | 988,603 | |
Peloton Interactive, Inc. - Class A(1) | | | 21,912 | | | | 2,717,526 | |
Petco Health & Wellness Co., Inc. - Class A(1) | | | 2,118 | | | | 47,464 | |
Planet Fitness, Inc. - Class A(1) | | | 4,160 | | | | 313,040 | |
Polaris, Inc. | | | 3,321 | | | | 454,844 | |
Pool Corp. | | | 3,326 | | | | 1,525,503 | |
PulteGroup, Inc. | | | 6,326 | | | | 345,210 | |
QuantumScape Corp. - Class A(1) | | | 6,889 | | | | 201,572 | |
RH(1) | | | 1,424 | | | | 966,896 | |
Ross Stores, Inc. | | | 397,308 | | | | 49,266,192 | |
Six Flags Entertainment Corp.(1) | | | 2,451 | | | | 106,079 | |
Starbucks Corp. | | | 862,757 | | | | 96,464,860 | |
Tapestry, Inc.(1) | | | 2,316 | | | | 100,700 | |
Target Corp. | | | 18,503 | | | | 4,472,915 | |
Tempur Sealy International, Inc. | | | 15,099 | | | | 591,730 | |
Tesla, Inc.(1) | | | 345,138 | | | | 234,590,299 | |
Thor Industries, Inc. | | | 1,797 | | | | 203,061 | |
TJX Companies, Inc. | | | 778,328 | | | | 52,474,874 | |
Toll Brothers, Inc. | | | 3,775 | | | | 218,233 | |
| | | | | | | | |
| | | Shares | | | Value | |
TopBuild Corp.(1) | | | 2,266 | | | | 448,169 | |
Tractor Supply Co. | | | 9,807 | | | | 1,824,690 | |
Travel + Leisure Co. | | | 4,675 | | | | 277,929 | |
Ulta Beauty, Inc.(1) | | | 4,465 | | | | 1,543,863 | |
Vail Resorts, Inc.(1) | | | 3,312 | | | | 1,048,314 | |
VF Corp. | | | 17,281 | | | | 1,417,733 | |
Vroom, Inc.(1) | | | 2,388 | | | | 99,962 | |
Wayfair, Inc. - Class A(1) | | | 3,470 | | | | 1,095,514 | |
Wendy’s Co. | | | 15,068 | | | | 352,893 | |
Williams-Sonoma, Inc. | | | 4,722 | | | | 753,867 | |
Wyndham Hotels & Resorts, Inc. | | | 4,800 | | | | 346,992 | |
Wynn Resorts Ltd.(1) | | | 8,768 | | | | 1,072,326 | |
YETI Holdings, Inc.(1) | | | 7,098 | | | | 651,738 | |
Yum China Holdings, Inc. | | | 2,274 | | | | 150,652 | |
Yum! Brands, Inc. | | | 1,910,232 | | | | 219,733,987 | |
| | | | | | | | |
Total Consumer Discretionary | | | | | | | 2,642,731,780 | |
| | | | | | | | |
Consumer Staples – 3.06% | | | | | | | | |
Altria Group, Inc. | | | 85,525 | | | | 4,077,832 | |
Beyond Meat, Inc.(1) | | | 4,170 | | | | 656,733 | |
Boston Beer, Inc. - Class A(1) | | | 740 | | | | 755,392 | |
Brown-Forman Corp. - Class A | | | 3,295 | | | | 232,297 | |
Brown-Forman Corp. - Class B | | | 7,549 | | | | 565,722 | |
Church & Dwight Co., Inc. | | | 1,079 | | | | 91,952 | |
Clorox Co. | | | 8,365 | | | | 1,504,947 | |
Coca-Cola Co. | | | 2,449,730 | | | | 132,554,890 | |
Colgate-Palmolive Co. | | | 36,756 | | | | 2,990,101 | |
Costco Wholesale Corp. | | | 136,495 | | | | 54,006,977 | |
Estee Lauder Companies, Inc. - Class A | | | 247,466 | | | | 78,713,985 | |
Freshpet, Inc.(1) | | | 3,386 | | | | 551,783 | |
Herbalife Nutrition Ltd.(1) | | | 1,078 | | | | 56,843 | |
Hershey Co. | | | 10,420 | | | | 1,814,956 | |
Kellogg Co. | | | 9,276 | | | | 596,725 | |
Kimberly-Clark Corp. | | | 14,081 | | | | 1,883,756 | |
Lamb Weston Holdings, Inc. | | | 3,585 | | | | 289,166 | |
Monster Beverage Corp.(1) | | | 28,613 | | | | 2,613,798 | |
PepsiCo, Inc. | | | 451,560 | | | | 66,907,645 | |
Pilgrim’s Pride Corp.(1) | | | 749 | | | | 16,613 | |
Procter & Gamble Co. | | | 814,501 | | | | 109,900,620 | |
Sysco Corp. | | | 1,006,109 | | | | 78,224,975 | |
| | | | | | | | |
Total Consumer Staples | | | | | | | 539,007,708 | |
| | | | | | | | |
Energy – 0.85% | | | | | | | | |
Cabot Oil & Gas Corp. | | | 3,876 | | | | 67,675 | |
Cheniere Energy, Inc.(1) | | | 19,432 | | | | 1,685,532 | |
Cimarex Energy Co. | | | 1,668 | | | | 120,846 | |
ConocoPhillips | | | 2,359,484 | | | | 143,692,576 | |
Diamondback Energy, Inc. | | | 7,105 | | | | 667,088 | |
EOG Resources, Inc. | | | 5,764 | | | | 480,948 | |
Halliburton Co. | | | 3,898 | | | | 90,122 | |
Hess Corp. | | | 1,565 | | | | 136,656 | |
New Fortress Energy, Inc. - Class A | | | 2,198 | | | | 83,260 | |
| | | | | | | | |
| | | Shares | | | Value | |
Occidental Petroleum Corp. | | | 8,909 | | | | 278,584 | |
Pioneer Natural Resources Co. | | | 7,990 | | | | 1,298,535 | |
Texas Pacific Land Corp. | | | 488 | | | | 780,673 | |
| | | | | | | | |
Total Energy | | | | | | | 149,382,495 | |
| | | | | | | | |
Financials – 8.01% | | | | | | | | |
Alleghany Corp.(1) | | | 108 | | | | 72,044 | |
American Express Co. | | | 2,184,551 | | | | 360,953,362 | |
Ameriprise Financial, Inc. | | | 5,408 | | | | 1,345,943 | |
Aon Plc - Class A | | | 10,945 | | | | 2,613,228 | |
Apollo Global Management, Inc. - Class A | | | 14,812 | | | | 921,306 | |
Arch Capital Group Ltd.(1) | | | 7,708 | | | | 300,149 | |
Ares Management Corp. - Class A | | | 10,028 | | | | 637,680 | |
Bank of America Corp. | | | 5,791,947 | | | | 238,801,975 | |
Blackstone Group, Inc. - Class A | | | 56,558 | | | | 5,494,044 | |
Brown & Brown, Inc. | | | 936 | | | | 49,739 | |
Citizens Financial Group, Inc. | | | 6,241 | | | | 286,275 | |
Commerce Bancshares, Inc. | | | 706,401 | | | | 52,669,259 | |
Credit Acceptance Corp.(1) | | | 61 | | | | 27,701 | |
Discover Financial Services | | | 13,909 | | | | 1,645,296 | |
Erie Indemnity Co. - Class A | | | 1,221 | | | | 236,080 | |
Everest Re Group Ltd. | | | 747 | | | | 188,251 | |
FactSet Research Systems, Inc. | | | 3,075 | | | | 1,032,001 | |
Goldman Sachs Group, Inc. | | | 1,508 | | | | 572,331 | |
Intercontinental Exchange, Inc. | | | 1,824,318 | | | | 216,546,547 | |
JPMorgan Chase & Co. | | | 878,765 | | | | 136,683,108 | |
Lincoln National Corp. | | | 2,183 | | | | 137,180 | |
LPL Financial Holdings, Inc. | | | 6,605 | | | | 891,543 | |
Markel Corp.(1) | | | 187 | | | | 221,915 | |
MarketAxess Holdings, Inc. | | | 3,090 | | | | 1,432,493 | |
Marsh & McLennan Companies, Inc. | | | 717,751 | | | | 100,973,211 | |
Moody’s Corp. | | | 12,776 | | | | 4,629,639 | |
Morningstar, Inc. | | | 1,523 | | | | 391,578 | |
MSCI, Inc. - Class A | | | 389,710 | | | | 207,746,607 | |
PNC Financial Services Group, Inc. | | | 338,119 | | | | 64,499,580 | |
RenaissanceRe Holdings Ltd. | | | 1,466 | | | | 218,170 | |
Rocket Companies, Inc. - Class A | | | 11,226 | | | | 217,223 | |
S&P Global, Inc. | | | 14,159 | | | | 5,811,562 | |
Synchrony Financial | | | 9,006 | | | | 436,971 | |
T Rowe Price Group, Inc. | | | 6,190 | | | | 1,225,434 | |
Upstart Holdings, Inc.(1) | | | 1,019 | | | | 127,273 | |
Western Alliance Bancorp | | | 4,400 | | | | 408,540 | |
| | | | | | | | |
Total Financials | | | | | | | 1,410,445,238 | |
| | | | | | | | |
Healthcare – 15.43% | | | | | | | | |
10X Genomics, Inc. - Class A(1) | | | 6,939 | | | | 1,358,795 | |
Abbott Laboratories | | | 1,529,249 | | | | 177,285,837 | |
AbbVie, Inc. | | | 146,780 | | | | 16,533,299 | |
ABIOMED, Inc.(1) | | | 3,704 | | | | 1,156,055 | |
Acceleron Pharma, Inc.(1) | | | 3,944 | | | | 494,933 | |
Adaptive Biotechnologies Corp.(1) | | | 8,044 | | | | 328,678 | |
| | | | | | | | |
| | | Shares | | | Value | |
Agilent Technologies, Inc. | | | 22,630 | | | | 3,344,940 | |
agilon health, Inc.(1) | | | 3,901 | | | | 158,264 | |
Align Technology, Inc.(1) | | | 6,609 | | | | 4,038,099 | |
Alnylam Pharmaceuticals, Inc.(1) | | | 9,708 | | | | 1,645,700 | |
Amedisys, Inc.(1) | | | 2,763 | | | | 676,742 | |
Amgen, Inc. | | | 39,295 | | | | 9,578,156 | |
Avantor, Inc.(1) | | | 48,113 | | | | 1,708,493 | |
Bio-Techne Corp. | | | 3,011 | | | | 1,355,733 | |
Boston Scientific Corp.(1) | | | 1,553,188 | | | | 66,414,319 | |
Bruker Corp. | | | 8,489 | | | | 644,994 | |
Cardinal Health, Inc. | | | 14,247 | | | | 813,361 | |
Catalent, Inc.(1) | | | 3,167 | | | | 342,416 | |
Certara, Inc.(1) | | | 1,841 | | | | 52,156 | |
Charles River Laboratories International, Inc.(1) | | | 3,874 | | | | 1,433,070 | |
Chemed Corp. | | | 341 | | | | 161,804 | |
CureVac NV(1) | | | 4,407 | | | | 323,826 | |
Danaher Corp. | | | 1,305,747 | | | | 350,410,265 | |
DaVita, Inc.(1) | | | 4,082 | | | | 491,595 | |
DexCom, Inc.(1) | | | 7,779 | | | | 3,321,633 | |
Edwards Lifesciences Corp.(1) | | | 52,277 | | | | 5,414,329 | |
Eli Lilly & Co. | | | 322,116 | | | | 73,932,064 | |
Encompass Health Corp. | | | 4,640 | | | | 362,059 | |
Exact Sciences Corp.(1) | | | 13,105 | | | | 1,629,083 | |
Exelixis, Inc.(1) | | | 21,983 | | | | 400,530 | |
Guardant Health, Inc.(1) | | | 7,451 | | | | 925,340 | |
HCA Healthcare, Inc. | | | 21,613 | | | | 4,468,272 | |
Horizon Therapeutics Plc(1) | | | 3,388 | | | | 317,252 | |
Humana, Inc. | | | 158,105 | | | | 69,996,246 | |
IDEXX Laboratories, Inc.(1) | | | 7,088 | | | | 4,476,426 | |
Illumina, Inc.(1) | | | 313,354 | | | | 148,282,246 | |
Incyte Corp.(1) | | | 13,122 | | | | 1,103,954 | |
Insulet Corp.(1) | | | 5,566 | | | | 1,527,923 | |
Intuitive Surgical, Inc.(1) | | | 189,861 | | | | 174,603,770 | |
Ionis Pharmaceuticals, Inc.(1) | | | 10,717 | | | | 427,501 | |
Iovance Biotherapeutics, Inc.(1) | | | 3,662 | | | | 95,285 | |
IQVIA Holdings, Inc.(1) | | | 298,287 | | | | 72,280,906 | |
Johnson & Johnson | | | 1,526,089 | | | | 251,407,902 | |
Laboratory Corp. of America Holdings(1) | | | 152,822 | | | | 42,155,949 | |
Maravai LifeSciences Holdings, Inc. - Class A(1) | | | 280,541 | | | | 11,706,976 | |
Masimo Corp.(1) | | | 3,010 | | | | 729,774 | |
McKesson Corp. | | | 1,906 | | | | 364,503 | |
Medtronic Plc | | | 1,729,076 | | | | 214,630,204 | |
Mettler-Toledo International, Inc.(1) | | | 1,905 | | | | 2,639,073 | |
Mirati Therapeutics, Inc.(1) | | | 2,716 | | | | 438,715 | |
Moderna, Inc.(1) | | | 28,103 | | | | 6,603,643 | |
Molina Healthcare, Inc.(1) | | | 728 | | | | 184,228 | |
Natera, Inc.(1) | | | 6,051 | | | | 686,970 | |
Neurocrine Biosciences, Inc.(1) | | | 7,800 | | | | 759,096 | |
Novavax, Inc.(1) | | | 6,128 | | | | 1,301,036 | |
Novocure Ltd.(1) | | | 8,535 | | | | 1,893,234 | |
| | | | | | | | |
| | | Shares | | | Value | |
Oak Street Health, Inc.(1) | | | 7,776 | | | | 455,440 | |
Penumbra, Inc.(1) | | | 2,790 | | | | 764,627 | |
PPD, Inc.(1) | | | 5,436 | | | | 250,545 | |
Regeneron Pharmaceuticals, Inc.(1) | | | 330,972 | | | | 184,861,101 | |
Repligen Corp.(1) | | | 4,610 | | | | 920,248 | |
ResMed, Inc. | | | 10,748 | | | | 2,649,597 | |
Royalty Pharma Plc - Class A | | | 15,976 | | | | 654,856 | |
Sarepta Therapeutics, Inc.(1) | | | 6,525 | | | | 507,253 | |
Sartorius Stedim Biotech | | | 36,505 | | | | 17,277,467 | |
Seagen, Inc.(1) | | | 10,662 | | | | 1,683,317 | |
Sotera Health Co.(1) | | | 6,501 | | | | 157,519 | |
STERIS Plc | | | 1,457 | | | | 300,579 | |
Stryker Corp. | | | 12,367 | | | | 3,212,081 | |
Syneos Health, Inc. - Class A(1) | | | 612 | | | | 54,768 | |
Tandem Diabetes Care, Inc.(1) | | | 4,622 | | | | 450,183 | |
Teleflex, Inc. | | | 687 | | | | 276,030 | |
Thermo Fisher Scientific, Inc. | | | 568,769 | | | | 286,926,897 | |
Ultragenyx Pharmaceutical, Inc.(1) | | | 3,978 | | | | 379,302 | |
UnitedHealth Group, Inc. | | | 910,189 | | | | 364,476,083 | |
Veeva Systems, Inc. - Class A(1) | | | 11,449 | | | | 3,560,067 | |
Vertex Pharmaceuticals, Inc.(1) | | | 8,608 | | | | 1,735,631 | |
Waters Corp.(1) | | | 4,719 | | | | 1,630,934 | |
West Pharmaceutical Services, Inc. | | | 6,246 | | | | 2,242,939 | |
Zai Lab Ltd. - ADR(1) | | | 108,850 | | | | 19,265,362 | |
Zoetis, Inc. - Class A | | | 442,042 | | | | 82,378,947 | |
| | | | | | | | |
Total Healthcare | | | | | | | 2,716,889,425 | |
| | | | | | | | |
Industrials – 6.10% | | | | | | | | |
3M Co. | | | 7,015 | | | | 1,393,389 | |
Advanced Drainage Systems, Inc. | | | 4,668 | | | | 544,149 | |
AGCO Corp. | | | 507 | | | | 66,103 | |
Allegion Plc | | | 5,669 | | | | 789,692 | |
Allison Transmission Holdings, Inc. | | | 6,671 | | | | 265,106 | |
Armstrong World Industries, Inc. | | | 1,611 | | | | 172,796 | |
Axon Enterprise, Inc.(1) | | | 5,391 | | | | 953,129 | |
AZEK Co., Inc. - Class A(1) | | | 4,974 | | | | 211,196 | |
Booz Allen Hamilton Holding Corp. - Class A | | | 11,307 | | | | 963,130 | |
BWX Technologies, Inc. | | | 4,939 | | | | 287,055 | |
Carlisle Companies, Inc. | | | 1,632 | | | | 312,332 | |
Carrier Global Corp. | | | 33,780 | | | | 1,641,708 | |
Caterpillar, Inc. | | | 261,932 | | | | 57,004,261 | |
CH Robinson Worldwide, Inc. | | | 1,902 | | | | 178,160 | |
Cintas Corp. | | | 6,932 | | | | 2,648,024 | |
Copart, Inc.(1) | | | 17,275 | | | | 2,277,363 | |
CoStar Group, Inc.(1) | | | 25,230 | | | | 2,089,549 | |
Deere & Co. | | | 23,420 | | | | 8,260,468 | |
Delta Air Lines, Inc.(1) | | | 53,043 | | | | 2,294,640 | |
Donaldson Co., Inc. | | | 1,195 | | | | 75,918 | |
Equifax, Inc. | | | 3,841 | | | | 919,958 | |
Expeditors International of Washington, Inc. | | | 10,180 | | | | 1,288,788 | |
| | | | | | | | |
| | | Shares | | | Value | |
Fastenal Co. | | | 42,244 | | | | 2,196,688 | |
FedEx Corp. | | | 229,656 | | | | 68,513,274 | |
Fortune Brands Home & Security, Inc. | | | 2,923 | | | | 291,160 | |
Generac Holdings, Inc.(1) | | | 5,090 | | | | 2,113,113 | |
Graco, Inc. | | | 8,651 | | | | 654,881 | |
HEICO Corp. | | | 1,197 | | | | 166,886 | |
HEICO Corp. - Class A | | | 2,101 | | | | 260,902 | |
Honeywell International, Inc. | | | 901,376 | | | | 197,716,826 | |
Howmet Aerospace, Inc.(1) | | | 2,406 | | | | 82,935 | |
IAA, Inc.(1) | | | 11,190 | | | | 610,303 | |
IHS Markit Ltd. | | | 1,692,453 | | | | 190,671,755 | |
Illinois Tool Works, Inc. | | | 23,437 | | | | 5,239,576 | |
JB Hunt Transport Services, Inc. | | | 6,195 | | | | 1,009,475 | |
Kansas City Southern | | | 2,008 | | | | 569,007 | |
Landstar System, Inc. | | | 2,669 | | | | 421,755 | |
Lincoln Electric Holdings, Inc. | | | 4,763 | | | | 627,335 | |
Lockheed Martin Corp. | | | 17,983 | | | | 6,803,868 | |
Lyft, Inc. - Class A(1) | | | 23,271 | | | | 1,407,430 | |
Middleby Corp.(1) | | | 1,376 | | | | 238,406 | |
MSA Safety, Inc. | | | 738 | | | | 122,198 | |
Nordson Corp. | | | 824 | | | | 180,876 | |
Norfolk Southern Corp. | | | 385,942 | | | | 102,432,866 | |
Northrop Grumman Corp. | | | 1,091 | | | | 396,502 | |
Old Dominion Freight Line, Inc. | | | 7,814 | | | | 1,983,193 | |
Parker-Hannifin Corp. | | | 1,772 | | | | 544,199 | |
Plug Power, Inc.(1) | | | 41,531 | | | | 1,419,945 | |
Robert Half International, Inc. | | | 7,993 | | | | 711,137 | |
Rockwell Automation, Inc. | | | 5,849 | | | | 1,672,931 | |
Rollins, Inc. | | | 16,461 | | | | 562,966 | |
Safran SA | | | 258,404 | | | | 35,862,065 | |
SiteOne Landscape Supply, Inc.(1) | | | 1,905 | | | | 322,440 | |
Spirit AeroSystems Holdings, Inc. - Class A | | | 2,537 | | | | 119,721 | |
Toro Co. | | | 8,312 | | | | 913,323 | |
Trane Technologies Plc | | | 9,648 | | | | 1,776,583 | |
TransDigm Group, Inc.(1) | | | 1,236 | | | | 800,050 | |
TransUnion | | | 10,849 | | | | 1,191,329 | |
Trex Co., Inc.(1) | | | 9,665 | | | | 987,860 | |
Uber Technologies, Inc.(1) | | | 1,411,981 | | | | 70,768,488 | |
Union Pacific Corp. | | | 797,885 | | | | 175,478,848 | |
United Parcel Service, Inc. - Class B | | | 60,126 | | | | 12,504,404 | |
United Rentals, Inc.(1) | | | 2,083 | | | | 664,498 | |
Verisk Analytics, Inc. - Class A | | | 8,392 | | | | 1,466,250 | |
Vertiv Holdings Co. - Class A | | | 23,331 | | | | 636,936 | |
Virgin Galactic Holdings, Inc.(1) | | | 10,963 | | | | 504,298 | |
Waste Management, Inc. | | | 655,702 | | | | 91,870,407 | |
WW Grainger, Inc. | | | 3,201 | | | | 1,402,038 | |
XPO Logistics, Inc.(1) | | | 6,555 | | | | 916,979 | |
Xylem, Inc. | | | 9,790 | | | | 1,174,408 | |
| | | | | | | | |
Total Industrials | | | | | | | 1,073,620,227 | |
| | | | | | | | |
| | | | | | | | |
| | | Shares | | | Value | |
Information Technology – 34.48% | | | | | | | | |
Accenture Plc - Class A | | | 264,516 | | | | 77,976,672 | |
Adobe, Inc.(1) | | | 344,734 | | | | 201,890,020 | |
Advanced Micro Devices, Inc.(1) | | | 100,546 | | | | 9,444,286 | |
Adyen NV(1)(2) | | | 39,146 | | | | 95,998,952 | |
Affirm Holdings, Inc. - Class A(1) | | | 435,631 | | | | 29,339,748 | |
Allegro MicroSystems, Inc.(1) | | | 1,023 | | | | 28,337 | |
Alteryx, Inc. - Class A(1) | | | 4,661 | | | | 400,939 | |
Amphenol Corp. - Class A | | | 1,052,018 | | | | 71,968,551 | |
Analog Devices, Inc. | | | 706,344 | | | | 121,604,183 | |
Anaplan, Inc.(1) | | | 11,420 | | | | 608,686 | |
ANSYS, Inc.(1) | | | 3,007 | | | | 1,043,609 | |
Apple, Inc. | | | 3,830,950 | | | | 524,686,912 | |
Applied Materials, Inc. | | | 312,223 | | | | 44,460,555 | |
Arista Networks, Inc.(1) | | | 4,468 | | | | 1,618,801 | |
Aspen Technology, Inc.(1) | | | 5,203 | | | | 715,621 | |
Atlassian Corp. Plc - Class A(1) | | | 171,554 | | | | 44,065,360 | |
Autodesk, Inc.(1) | | | 730,899 | | | | 213,349,418 | |
Automatic Data Processing, Inc. | | | 32,505 | | | | 6,456,143 | |
Avalara, Inc.(1) | | | 7,030 | | | | 1,137,454 | |
Bentley Systems, Inc. - Class B | | | 11,187 | | | | 724,694 | |
Bill.com Holdings, Inc.(1) | | | 6,300 | | | | 1,154,034 | |
Broadcom, Inc. | | | 33,165 | | | | 15,814,399 | |
Broadridge Financial Solutions, Inc. | | | 9,645 | | | | 1,557,957 | |
Brooks Automation, Inc. | | | 5,004 | | | | 476,781 | |
C3.ai, Inc. - Class A(1) | | | 1,089 | | | | 68,095 | |
Cadence Design Systems, Inc.(1) | | | 23,342 | | | | 3,193,652 | |
CDK Global, Inc. | | | 1,413 | | | | 70,212 | |
CDW Corp. | | | 202,183 | | | | 35,311,261 | |
Cisco Systems, Inc. | | | 2,556,379 | | | | 135,488,087 | |
Citrix Systems, Inc. | | | 3,659 | | | | 429,091 | |
Cloudflare, Inc. - Class A(1) | | | 19,669 | | | | 2,081,767 | |
Cognex Corp. | | | 14,042 | | | | 1,180,230 | |
Coherent, Inc.(1) | | | 1,692 | | | | 447,263 | |
CommScope Holding Co., Inc.(1) | | | 16,651 | | | | 354,833 | |
Corning, Inc. | | | 21,348 | | | | 873,133 | |
Coupa Software, Inc.(1) | | | 5,930 | | | | 1,554,312 | |
Crowdstrike Holdings, Inc. - Class A(1) | | | 248,873 | | | | 62,544,274 | |
Datadog, Inc. - Class A(1) | | | 18,808 | | | | 1,957,537 | |
Dell Technologies, Inc. - Class C(1) | | | 11,089 | | | | 1,105,241 | |
DocuSign, Inc. - Class A(1) | | | 15,832 | | | | 4,426,152 | |
Dropbox, Inc. - Class A(1) | | | 25,292 | | | | 766,601 | |
Duck Creek Technologies, Inc.(1) | | | 5,076 | | | | 220,857 | |
Dynatrace, Inc.(1) | | | 15,767 | | | | 921,108 | |
Elastic NV(1) | | | 5,604 | | | | 816,839 | |
Enphase Energy, Inc.(1) | | | 10,945 | | | | 2,009,830 | |
Entegris, Inc. | | | 10,617 | | | | 1,305,572 | |
EPAM Systems, Inc.(1) | | | 4,493 | | | | 2,295,743 | |
Euronet Worldwide, Inc.(1) | | �� | 2,974 | | | | 402,531 | |
Everbridge, Inc.(1) | | | 2,863 | | | | 389,597 | |
| | | | | | | | |
| | | Shares | | | Value | |
Fair Isaac Corp.(1) | | | 2,360 | | | | 1,186,325 | |
Fidelity National Information Services, Inc. | | | 421,164 | | | | 59,666,304 | |
FireEye, Inc.(1) | | | 4,526 | | | | 91,516 | |
Fiserv, Inc.(1) | | | 3,378 | | | | 361,074 | |
Five9, Inc.(1) | | | 5,283 | | | | 968,849 | |
FleetCor Technologies, Inc.(1) | | | 743,936 | | | | 190,492,252 | |
Fortinet, Inc.(1) | | | 11,170 | | | | 2,660,582 | |
Gartner, Inc.(1) | | | 7,265 | | | | 1,759,583 | |
Genpact Ltd. | | | 760 | | | | 34,527 | |
Globant SA(1) | | | 3,181 | | | | 697,212 | |
GoDaddy, Inc. - Class A(1) | | | 1,421 | | | | 123,570 | |
HP, Inc. | | | 35,928 | | | | 1,084,666 | |
HubSpot, Inc.(1) | | | 3,698 | | | | 2,154,899 | |
Intuit, Inc. | | | 451,893 | | | | 221,504,392 | |
IPG Photonics Corp.(1) | | | 119 | | | | 25,082 | |
Jabil, Inc. | | | 9,527 | | | | 553,709 | |
Jack Henry & Associates, Inc. | | | 1,599 | | | | 261,452 | |
Jamf Holding Corp.(1) | | | 2,028 | | | | 68,080 | |
Keysight Technologies, Inc.(1) | | | 6,755 | | | | 1,043,040 | |
KLA Corp. | | | 13,144 | | | | 4,261,416 | |
Lam Research Corp. | | | 11,833 | | | | 7,699,733 | |
Manhattan Associates, Inc.(1) | | | 2,799 | | | | 405,407 | |
Mastercard, Inc. - Class A | | | 276,107 | | | | 100,803,905 | |
Maxim Integrated Products, Inc. | | | 21,040 | | | | 2,216,774 | |
McAfee Corp. - Class A | | | 1,566 | | | | 43,879 | |
Medallia, Inc.(1) | | | 7,484 | | | | 252,585 | |
Microchip Technology, Inc. | | | 17,443 | | | | 2,611,915 | |
Micron Technology, Inc.(1) | | | 12,844 | | | | 1,091,483 | |
Microsoft Corp. | | | 4,024,282 | | | | 1,090,177,994 | |
MKS Instruments, Inc. | | | 3,871 | | | | 688,844 | |
MongoDB, Inc. - Class A(1) | | | 4,337 | | | | 1,567,912 | |
Monolithic Power Systems, Inc. | | | 3,727 | | | | 1,391,848 | |
nCino, Inc.(1) | | | 3,226 | | | | 193,302 | |
NCR Corp.(1) | | | 3,595 | | | | 163,968 | |
NetApp, Inc. | | | 12,244 | | | | 1,001,804 | |
New Relic, Inc.(1) | | | 4,602 | | | | 308,196 | |
NortonLifeLock, Inc. | | | 12,087 | | | | 329,008 | |
Nuance Communications, Inc.(1) | | | 8,984 | | | | 489,089 | |
Nutanix, Inc. - Class A(1) | | | 16,286 | | | | 622,451 | |
NVIDIA Corp. | | | 241,038 | | | | 192,854,504 | |
NXP Semiconductors NV | | | 7,027 | | | | 1,445,594 | |
Okta, Inc. - Class A(1) | | | 77,780 | | | | 19,031,210 | |
ON Semiconductor Corp.(1) | | | 19,009 | | | | 727,665 | |
Oracle Corp. | | | 134,788 | | | | 10,491,898 | |
Palantir Technologies, Inc. - Class A(1) | | | 134,832 | | | | 3,554,172 | |
Palo Alto Networks, Inc.(1) | | | 91,885 | | | | 34,093,929 | |
Paychex, Inc. | | | 23,312 | | | | 2,501,378 | |
Paycom Software, Inc.(1) | | | 4,150 | | | | 1,508,400 | |
Paylocity Holding Corp.(1) | | | 3,271 | | | | 624,107 | |
PayPal Holdings, Inc.(1) | | | 1,253,141 | | | | 365,265,539 | |
| | | | | | | | |
| | | Shares | | | Value | |
Pegasystems, Inc. | | | 3,056 | | | | 425,365 | |
Proofpoint, Inc.(1) | | | 4,775 | | | | 829,704 | |
PTC, Inc.(1) | | | 8,806 | | | | 1,243,936 | |
Pure Storage, Inc. - Class A(1) | | | 20,702 | | | | 404,310 | |
QUALCOMM, Inc. | | | 93,718 | | | | 13,395,114 | |
RingCentral, Inc. - Class A(1) | | | 594,091 | | | | 172,630,963 | |
Sabre Corp.(1) | | | 26,330 | | | | 328,598 | |
Salesforce.com, Inc.(1) | | | 1,619,058 | | | | 395,487,298 | |
ServiceNow, Inc.(1) | | | 16,492 | | | | 9,063,179 | |
Shift4 Payments, Inc. - Class A(1) | | | 3,562 | | | | 333,831 | |
Shopify, Inc. - Class A(1) | | | 119,404 | | | | 174,446,856 | |
Skyworks Solutions, Inc. | | | 6,461 | | | | 1,238,897 | |
Slack Technologies, Inc. - Class A(1) | | | 41,814 | | | | 1,852,360 | |
Smartsheet, Inc. - Class A(1) | | | 9,299 | | | | 672,504 | |
Snowflake, Inc. - Class A(1) | | | 90,673 | | | | 21,924,731 | |
Splunk, Inc.(1) | | | 13,765 | | | | 1,990,144 | |
Square, Inc. - Class A(1) | | | 300,721 | | | | 73,315,780 | |
StoneCo Ltd. - Class A(1) | | | 16,971 | | | | 1,138,075 | |
Switch, Inc. - Class A | | | 6,316 | | | | 133,331 | |
Synopsys, Inc.(1) | | | 7,985 | | | | 2,202,183 | |
Teradata Corp.(1) | | | 7,242 | | | | 361,883 | |
Teradyne, Inc. | | | 13,919 | | | | 1,864,589 | |
Texas Instruments, Inc. | | | 622,521 | | | | 119,710,788 | |
Trade Desk, Inc. - Class A(1) | | | 639,090 | | | | 49,440,002 | |
Twilio, Inc. - Class A(1) | | | 118,043 | | | | 46,527,829 | |
Tyler Technologies, Inc.(1) | | | 2,893 | | | | 1,308,706 | |
Ubiquiti, Inc. | | | 582 | | | | 181,695 | |
Unity Software, Inc.(1) | | | 12,211 | | | | 1,341,134 | |
Universal Display Corp. | | | 3,612 | | | | 803,056 | |
Visa, Inc. - Class A | | | 2,589,923 | | | | 605,575,796 | |
VMware, Inc. - Class A(1) | | | 2,475 | | | | 395,926 | |
Vontier Corp. | | | 7,589 | | | | 247,250 | |
Western Union Co. | | | 7,233 | | | | 166,142 | |
WEX, Inc.(1) | | | 2,487 | | | | 482,229 | |
Wix.com Ltd.(1) | | | 4,424 | | | | 1,284,199 | |
Workday, Inc. - Class A(1) | | | 1,181,534 | | | | 282,079,427 | |
Xilinx, Inc. | | | 20,837 | | | | 3,013,864 | |
Zebra Technologies Corp. - Class A(1) | | | 4,418 | | | | 2,339,287 | |
Zendesk, Inc.(1) | | | 9,854 | | | | 1,422,326 | |
Zoom Video Communications, Inc. - Class A(1) | | | 47,979 | | | | 18,569,312 | |
Zscaler, Inc.(1) | | | 6,102 | | | | 1,318,398 | |
| | | | | | | | |
Total Information Technology | | | | | | | 6,071,383,950 | |
| | | | | | | | |
Materials – 2.06% | | | | | | | | |
Avery Dennison Corp. | | | 215,876 | | | | 45,385,770 | |
Axalta Coating Systems Ltd.(1) | | | 3,066 | | | | 93,482 | |
Ball Corp. | | | 2,281,183 | | | | 184,821,447 | |
Celanese Corp. - Class A | | | 3,403 | | | | 515,895 | |
Chemours Co. | | | 7,032 | | | | 244,714 | |
Crown Holdings, Inc. | | | 1,220 | | | | 124,696 | |
| | | | | | | | |
| | | Shares | | | Value | |
Dow, Inc. | | | 4,470 | | | | 282,862 | |
Ecolab, Inc. | | | 18,208 | | | | 3,750,302 | |
FMC Corp. | | | 2,705 | | | | 292,681 | |
Freeport-McMoRan, Inc. | | | 35,599 | | | | 1,321,079 | |
Graphic Packaging Holding Co. | | | 5,537 | | | | 100,441 | |
Linde Plc | | | 398,588 | | | | 115,231,791 | |
LyondellBasell Industries NV - Class A | | | 2,683 | | | | 276,000 | |
PPG Industries, Inc. | | | 8,292 | | | | 1,407,733 | |
RPM International, Inc. | | | 6,186 | | | | 548,574 | |
Scotts Miracle-Gro Co. | | | 3,221 | | | | 618,174 | |
Sealed Air Corp. | | | 6,829 | | | | 404,618 | |
Sherwin-Williams Co. | | | 20,256 | | | | 5,518,747 | |
Southern Copper Corp. | | | 6,371 | | | | 409,783 | |
Steel Dynamics, Inc. | | | 3,113 | | | | 185,535 | |
WR Grace & Co. | | | 4,667 | | | | 322,583 | |
| | | | | | | | |
Total Materials | | | | | | | 361,856,907 | |
| | | | | | | | |
Real Estate – 1.80% | | | | | | | | |
American Tower Corp. | | | 37,494 | | | | 10,128,629 | |
Brookfield Property REIT, Inc. - Class A | | | 2,966 | | | | 56,028 | |
CBRE Group, Inc. - Class A(1) | | | 1,469 | | | | 125,937 | |
CoreSite Realty Corp. | | | 2,762 | | | | 371,765 | |
Crown Castle International Corp. | | | 35,786 | | | | 6,981,849 | |
Equinix, Inc. | | | 218,659 | | | | 175,495,713 | |
Equity LifeStyle Properties, Inc. | | | 7,613 | | | | 565,722 | |
Extra Space Storage, Inc. | | | 969 | | | | 158,742 | |
Iron Mountain, Inc. | | | 16,736 | | | | 708,267 | |
Lamar Advertising Co. - Class A | | | 6,248 | | | | 652,416 | |
Opendoor Technologies, Inc.(1) | | | 5,782 | | | | 102,515 | |
Prologis, Inc. | | | 966,700 | | | | 115,549,651 | |
Public Storage | | | 9,562 | | | | 2,875,198 | |
SBA Communications Corp. - Class A | | | 1,501 | | | | 478,369 | |
Simon Property Group, Inc. | | | 23,527 | | | | 3,069,803 | |
| | | | | | | | |
Total Real Estate | | | | | | | 317,320,604 | |
| | | | | | | | |
Utilities – 0.00%(3) | | | | | | | | |
Brookfield Renewable Corp. - Class A | | | 2,659 | | | | 111,518 | |
NRG Energy, Inc. | | | 9,165 | | | | 369,350 | |
| | | | | | | | |
Total Utilities | | | | | | | 480,868 | |
| | | | | | | | |
Total Common Stocks (Cost: $10,433,540,993) | | | | | | | 17,346,378,683 | |
| | | | | | | | |
SHORT-TERM INVESTMENTS – 1.36% | | | | | | | | |
Money Market Funds – 1.29% | | | | | | | | |
Goldman Sachs Financial Square Government Fund - Class I, 0.03%(4) | | | 226,383,268 | | | | 226,383,268 | |
| | | | | | | | |
Total Money Market Funds (Cost: $226,383,268) | | | | | | | 226,383,268 | |
| | | | | | | | |
| | |
| | | Principal
Amount | | | Value | |
Time Deposits – 0.07% | | | | | | | | |
Citibank, New York, 0.01% due 07/01/2021 | | $ | 2,299,000 | | | | 2,299,000 | |
National Australia Bank, London, 0.01% due 07/01/2021 | | | 9,973,840 | | | | 9,973,840 | |
| | | | | | | | |
Total Time Deposits (Cost: $12,272,840) | | | | | | | 12,272,840 | |
| | | | | | | | |
Total Short-Term Investments (Cost: $238,656,108) | | | | | | | 238,656,108 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES – 99.88% (Cost: $10,672,197,101) | | | | 17,585,034,791 | |
| | | | | | | | |
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.12% | | | | 20,711,911 | |
| | | | | | | | |
TOTAL NET ASSETS – 100.00% | | | $ | 17,605,746,702 | |
| | | | | | | | |
Percentages are stated as a percent of net assets.
ADR American Depositary Receipt
REIT Real Estate Investment Trust
| (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 the security totals $95,998,952, which represents 0.55% 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 accompanying notes are an integral part of this Schedule of Investments.
Open Futures Contracts
| | | | | | | | | | | | | | | | | | | | |
Number of Contracts
Purchased | | Reference Entity | | Counterparty | | Expiration
Date | | | Notional
Amount | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
| 35 | | NASDAQ 100 E-mini Future | | Morgan Stanley | | | Sep. 2021 | | | $ | 9,857,234 | | | $ | 10,184,300 | | | $ | 327,066 | |
| 9 | | S&P 500 E-mini Future | | Morgan Stanley | | | Sep. 2021 | | | | 1,904,945 | | | | 1,929,825 | | | | 24,880 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 351,946 | |
| | | | | | | | | | | | | | | | | | | | |
Bridge Builder Large Cap Value Fund
Schedule of Investments
June 30, 2021
| | | | | | | | |
| | | Shares | | | Value | |
COMMON STOCKS – 98.03% | | | | | | | | |
Communication Services – 6.45% | | | | | | | | |
Activision Blizzard, Inc. | | | 32,486 | | | $ | 3,100,464 | |
Alphabet, Inc. - Class A(1) | | | 1,753 | | | | 4,280,458 | |
Alphabet, Inc. - Class C(1) | | | 95,863 | | | | 240,263,354 | |
Altice USA, Inc. - Class A(1) | | | 1,985,955 | | | | 67,800,504 | |
AT&T, Inc. | | | 1,481,940 | | | | 42,650,233 | |
Cable One, Inc. | | | 103 | | | | 197,019 | |
Charter Communications, Inc. - Class A(1) | | | 283 | | | | 204,170 | |
Comcast Corp. - Class A | | | 6,186,827 | | | | 352,772,876 | |
Discovery, Inc. - Class A(1) | | | 6,935 | | | | 212,766 | |
Discovery, Inc. - Class C(1) | | | 12,860 | | | | 372,683 | |
DISH Network Corp. - Class A(1) | | | 10,209 | | | | 426,736 | |
Electronic Arts, Inc. | | | 466,059 | | | | 67,033,266 | |
Facebook, Inc. - Class A(1) | | | 215,178 | | | | 74,819,542 | |
Fox Corp. - Class A | | | 221,866 | | | | 8,237,885 | |
Fox Corp. - Class B | | | 591,871 | | | | 20,833,859 | |
IAC/InterActiveCorp(1) | | | 3,105 | | | | 478,698 | |
Interpublic Group of Companies, Inc. | | | 17,267 | | | | 561,005 | |
Liberty Broadband Corp. - Class A(1) | | | 989 | | | | 166,320 | |
Liberty Broadband Corp. - Class C(1) | | | 6,501 | | | | 1,128,964 | |
Liberty Media Corp.-Liberty Formula One - Class A(1) | | | 893 | | | | 38,069 | |
Liberty Media Corp.-Liberty Formula One - Class C(1) | | | 8,947 | | | | 431,335 | |
Liberty Media Corp.-Liberty SiriusXM - Class A(1) | | | 3,152 | | | | 146,820 | |
Liberty Media Corp.-Liberty SiriusXM - Class C(1) | | | 6,604 | | | | 306,360 | |
Live Nation Entertainment, Inc.(1) | | | 3,365 | | | | 294,740 | |
Lumen Technologies, Inc. | | | 486,059 | | | | 6,605,542 | |
Madison Square Garden Sports Corp. - Class A(1) | | | 472 | | | | 81,453 | |
New York Times Co. - Class A | | | 6,914 | | | | 301,105 | |
News Corp. - Class A | | | 1,470,587 | | | | 37,897,027 | |
News Corp. - Class B | | | 4,934 | | | | 120,143 | |
Nexstar Media Group, Inc. - Class A | | | 44,504 | | | | 6,581,252 | |
Omnicom Group, Inc. | | | 9,167 | | | | 733,268 | |
Sirius XM Holdings, Inc. | | | 36,610 | | | | 239,429 | |
Take-Two Interactive Software, Inc.(1) | | | 3,716 | | | | 657,806 | |
TEGNA, Inc. | | | 274,622 | | | | 5,151,909 | |
T-Mobile US, Inc.(1) | | | 511,151 | | | | 74,029,999 | |
TripAdvisor, Inc.(1) | | | 1,547 | | | | 62,344 | |
Twitter, Inc.(1) | | | 29,361 | | | | 2,020,330 | |
Verizon Communications, Inc. | | | 874,045 | | | | 48,972,741 | |
ViacomCBS, Inc. - Class A | | | 401 | | | | 19,429 | |
ViacomCBS, Inc. - Class B | | | 279,406 | | | | 12,629,151 | |
Vimeo, Inc.(1) | | | 407 | | | | 19,943 | |
Walt Disney Co.(1) | | | 219,238 | | | | 38,535,463 | |
World Wrestling Entertainment, Inc. - Class A | | | 275 | | | | 15,920 | |
Zynga, Inc. - Class A(1) | | | 21,261 | | | | 226,004 | |
| | | | | | | | |
Total Communication Services | | | | 1,121,658,384 | |
| | | | | | | | |
Consumer Discretionary – 9.92% | | | | | | | | |
Advance Auto Parts, Inc. | | | 344,181 | | | | 70,605,290 | |
Aptiv Plc(1) | | | 9,341 | | | | 1,469,620 | |
| | | | | | | | |
| | | Shares | | | Value | |
Aramark | | | 1,159,481 | | | | 43,190,667 | |
AutoNation, Inc.(1) | | | 821,130 | | | | 77,851,335 | |
AutoZone, Inc.(1) | | | 743 | | | | 1,108,719 | |
Best Buy Co., Inc. | | | 55,922 | | | | 6,429,912 | |
Booking Holdings, Inc.(1) | | | 54,653 | | | | 119,585,683 | |
BorgWarner, Inc. | | | 153,543 | | | | 7,452,977 | |
Boyd Gaming Corp.(1) | | | 2,624 | | | | 161,350 | |
Bright Horizons Family Solutions, Inc.(1) | | | 498 | | | | 73,261 | |
Brunswick Corp. | | | 2,756 | | | | 274,553 | |
Burlington Stores, Inc.(1) | | | 156 | | | | 50,230 | |
Caesars Entertainment, Inc.(1) | | | 3,070 | | | | 318,512 | |
Capri Holdings Ltd.(1) | | | 5,957 | | | | 340,681 | |
CarMax, Inc.(1) | | | 6,299 | | | | 813,516 | |
Carnival Corp.(1) | | | 36,006 | | | | 949,118 | |
Carter’s, Inc. | | | 1,703 | | | | 175,699 | |
Chegg, Inc.(1) | | | 1,355 | | | | 112,614 | |
Cie Generale des Etablissements Michelin SCA | | | 366,176 | | | | 58,439,991 | |
Columbia Sportswear Co. | | | 1,521 | | | | 149,606 | |
Compass Group Plc(1) | | | 5,182,900 | | | | 109,192,894 | |
Darden Restaurants, Inc. | | | 1,696 | | | | 247,599 | |
Deckers Outdoor Corp.(1) | | | 1,079 | | | | 414,412 | |
Dick’s Sporting Goods, Inc. | | | 94,672 | | | | 9,485,188 | |
Dollar General Corp. | | | 5,780 | | | | 1,250,734 | |
Dollar Tree, Inc.(1) | | | 9,414 | | | | 936,693 | |
Domino’s Pizza, Inc. | | | 503 | | | | 234,644 | |
DoorDash, Inc. - Class A(1) | | | 409 | | | | 72,937 | |
DR Horton, Inc. | | | 8,470 | | | | 765,434 | |
eBay, Inc. | | | 197,400 | | | | 13,859,454 | |
Foot Locker, Inc. | | | 129,263 | | | | 7,966,479 | |
Ford Motor Co.(1) | | | 164,507 | | | | 2,444,574 | |
Frontdoor, Inc.(1) | | | 1,104 | | | | 55,001 | |
Gap, Inc. | | | 8,176 | | | | 275,122 | |
Garmin Ltd. | | | 6,507 | | | | 941,172 | |
General Motors Co.(1) | | | 417,684 | | | | 24,714,362 | |
Gentex Corp. | | | 9,797 | | | | 324,183 | |
Genuine Parts Co. | | | 6,119 | | | | 773,870 | |
Grand Canyon Education, Inc.(1) | | | 1,898 | | | | 170,763 | |
| | | | | | | | |
| | | Shares | | | Value | |
H&R Block, Inc. | | | 1,378 | | | | 32,355 | |
Hanesbrands, Inc. | | | 452,250 | | | | 8,443,507 | |
Harley-Davidson, Inc. | | | 180,473 | | | | 8,269,273 | |
Hasbro, Inc. | | | 5,614 | | | | 530,635 | |
Hayward Holdings, Inc.(1) | | | 1,558 | | | | 40,539 | |
Hilton Worldwide Holdings, Inc.(1) | | | 3,980 | | | | 480,068 | |
Home Depot, Inc. | | | 271,234 | | | | 86,493,810 | |
Hyatt Hotels Corp. - Class A(1) | | | 1,643 | | | | 127,563 | |
Kohl’s Corp. | | | 512,764 | | | | 28,258,424 | |
L Brands, Inc. | | | 4,052 | | | | 291,987 | |
Las Vegas Sands Corp.(1) | | | 1,576,181 | | | | 83,048,977 | |
La-Z-Boy, Inc. | | | 116,724 | | | | 4,323,457 | |
Lear Corp. | | | 41,687 | | | | 7,306,897 | |
Leggett & Platt, Inc. | | | 6,095 | | | | 315,782 | |
Lennar Corp. - Class A | | | 511,677 | | | | 50,835,110 | |
Lennar Corp. - Class B | | | 561 | | | | 45,693 | |
Leslie’s, Inc.(1) | | | 505 | | | | 13,882 | |
Lithia Motors, Inc. - Class A | | | 1,068 | | | | 367,008 | |
LKQ Corp.(1) | | | 12,196 | | | | 600,287 | |
Lowe’s Companies, Inc. | | | 211,655 | | | | 41,054,720 | |
Marriott International, Inc. - Class A(1) | | | 598,175 | | | | 81,662,851 | |
Marriott Vacations Worldwide Corp.(1) | | | 427,840 | | | | 68,154,912 | |
Mattel, Inc.(1) | | | 977,067 | | | | 19,639,047 | |
McDonald’s Corp. | | | 620,235 | | | | 143,268,083 | |
MGM Resorts International | | | 1,767,784 | | | | 75,395,988 | |
Mohawk Industries, Inc.(1) | | | 2,298 | | | | 441,653 | |
Murphy USA, Inc. | | | 940 | | | | 125,368 | |
Newell Brands, Inc. | | | 356,583 | | | | 9,795,335 | |
NIKE, Inc. - Class B | | | 731,533 | | | | 113,014,533 | |
Nordstrom, Inc.(1) | | | 90,105 | | | | 3,295,140 | |
Norwegian Cruise Line Holdings Ltd.(1) | | | 15,118 | | | | 444,620 | |
NVR, Inc.(1) | | | 45 | | | | 223,799 | |
Ollie’s Bargain Outlet Holdings, Inc.(1) | | | 2,650 | | | | 222,945 | |
O’Reilly Automotive, Inc.(1) | | | 2,068 | | | | 1,170,922 | |
Penn National Gaming, Inc.(1) | | | 5,942 | | | | 454,504 | |
Penske Automotive Group, Inc. | | | 92,422 | | | | 6,976,937 | |
Petco Health & Wellness Co., Inc. - Class A(1) | | | 2,840 | | | | 63,644 | |
Planet Fitness, Inc. - Class A(1) | | | 1,056 | | | | 79,464 | |
| | | | | | | | |
| | | Shares | | | Value | |
Polaris, Inc. | | | 717 | | | | 98,200 | |
PulteGroup, Inc. | | | 165,521 | | | | 9,032,481 | |
PVH Corp.(1) | | | 2,933 | | | | 315,561 | |
QuantumScape Corp. - Class A(1) | | | 1,351 | | | | 39,530 | |
Qurate Retail, Inc. | | | 14,984 | | | | 196,141 | |
Ralph Lauren Corp. - Class A | | | 493,592 | | | | 58,150,074 | |
Royal Caribbean Cruises Ltd.(1) | | | 9,331 | | | | 795,748 | |
SeaWorld Entertainment, Inc.(1) | | | 1,489,101 | | | | 74,365,704 | |
Service Corp. International | | | 6,645 | | | | 356,106 | |
Six Flags Entertainment Corp.(1) | | | 1,933 | | | | 83,660 | |
Skechers USA, Inc. - Class A(1) | | | 4,751 | | | | 236,742 | |
Sleep Number Corp.(1) | | | 72,800 | | | | 8,004,360 | |
Tapestry, Inc.(1) | | | 10,204 | | | | 443,670 | |
Target Corp. | | | 66,419 | | | | 16,056,129 | |
Terminix Global Holdings, Inc.(1) | | | 5,305 | | | | 253,102 | |
Thor Industries, Inc. | | | 1,282 | | | | 144,866 | |
TJX Companies, Inc. | | | 1,944,029 | | | | 131,066,435 | |
Toll Brothers, Inc. | | | 2,715 | | | | 156,954 | |
TopBuild Corp.(1) | | | 230 | | | | 45,489 | |
Travel + Leisure Co. | | | 1,153 | | | | 68,546 | |
Under Armour, Inc. - Class A(1) | | | 7,413 | | | | 156,785 | |
Under Armour, Inc. - Class C(1) | | | 8,117 | | | | 150,733 | |
VF Corp. | | | 4,697 | | | | 385,342 | |
Vroom, Inc.(1) | | | 3,507 | | | | 146,803 | |
Wayfair, Inc. - Class A(1) | | | 1,362 | | | | 429,997 | |
Whirlpool Corp. | | | 57,671 | | | | 12,573,431 | |
Williams-Sonoma, Inc. | | | 730 | | | | 116,545 | |
Wyndham Hotels & Resorts, Inc. | | | 1,374 | | | | 99,326 | |
Yum China Holdings, Inc. | | | 15,767 | | | | 1,044,564 | |
Yum! Brands, Inc. | | | 11,669 | | | | 1,342,285 | |
| | | | | | | | |
Total Consumer Discretionary | | | | 1,725,343,877 | |
| | | | | | | | |
Consumer Staples – 7.71% | | | | | | | | |
Albertsons Companies, Inc. - Class A | | | 6,306 | | | | 123,976 | |
Altria Group, Inc. | | | 2,335,596 | | | | 111,361,217 | |
Archer-Daniels-Midland Co. | | | 23,606 | | | | 1,430,524 | |
Beyond Meat, Inc.(1) | | | 286 | | | | 45,042 | |
Brown-Forman Corp. - Class A | | | 932 | | | | 65,706 | |
Brown-Forman Corp. - Class B | | | 3,755 | | | | 281,400 | |
| | | | | | | | |
| | | Shares | | | Value | |
Bunge Ltd. | | | 170,193 | | | | 13,300,583 | |
Campbell Soup Co. | | | 7,927 | | | | 361,392 | |
Casey’s General Stores, Inc. | | | 1,526 | | | | 297,021 | |
Church & Dwight Co., Inc. | | | 9,981 | | | | 850,581 | |
Clorox Co. | | | 961 | | | | 172,893 | |
Coca-Cola Co. | | | 2,589,644 | | | | 140,125,637 | |
Coca-Cola European Partners Plc | | | 1,178,125 | | | | 69,886,375 | |
Colgate-Palmolive Co. | | | 1,432,417 | | | | 116,527,123 | |
Conagra Brands, Inc. | | | 1,271,709 | | | | 46,264,773 | |
Constellation Brands, Inc. - Class A | | | 6,841 | | | | 1,600,041 | |
Costco Wholesale Corp. | | | 206,935 | | | | 81,877,971 | |
Coty, Inc. - Class A(1) | | | 12,140 | | | | 113,388 | |
Darling Ingredients, Inc.(1) | | | 6,216 | | | | 419,580 | |
Diageo Plc - ADR | | | 526,185 | | | | 100,864,403 | |
Edgewell Personal Care Co. | | | 115,316 | | | | 5,062,372 | |
Flowers Foods, Inc. | | | 7,584 | | | | 183,533 | |
General Mills, Inc. | | | 153,540 | | | | 9,355,192 | |
Grocery Outlet Holding Corp.(1) | | | 3,549 | | | | 123,008 | |
Hain Celestial Group, Inc.(1) | | | 3,324 | | | | 133,359 | |
Herbalife Nutrition Ltd.(1) | | | 3,642 | | | | 192,043 | |
Hershey Co. | | | 844 | | | | 147,008 | |
Hormel Foods Corp. | | | 11,564 | | | | 552,181 | |
Ingredion, Inc. | | | 71,029 | | | | 6,428,124 | |
J.M. Smucker Co. | | | 88,505 | | | | 11,467,593 | |
Kellogg Co. | | | 5,687 | | | | 365,845 | |
Keurig Dr Pepper, Inc. | | | 29,718 | | | | 1,047,262 | |
Kimberly-Clark Corp. | | | 277,960 | | | | 37,185,489 | |
Kraft Heinz Co. | | | 424,960 | | | | 17,329,869 | |
Kroger Co. | | | 465,861 | | | | 17,847,135 | |
Lamb Weston Holdings, Inc. | | | 4,175 | | | | 336,755 | |
McCormick & Co., Inc. | | | 10,711 | | | | 945,995 | |
Molson Coors Beverage Co. - Class B(1) | | | 140,236 | | | | 7,529,271 | |
Mondelez International, Inc. - Class A | | | 87,051 | | | | 5,435,464 | |
Monster Beverage Corp.(1) | | | 1,087 | | | | 99,297 | |
PepsiCo, Inc. | | | 581,477 | | | | 86,157,447 | |
Philip Morris International, Inc. | | | 1,676,899 | | | | 166,197,460 | |
Pilgrim’s Pride Corp.(1) | | | 139,883 | | | | 3,102,605 | |
Post Holdings, Inc.(1) | | | 2,798 | | | | 303,499 | |
| | | | | | | | |
| | | Shares | | | Value | |
Procter & Gamble Co. | | | 889,320 | | | | 119,995,948 | |
Reynolds Consumer Products, Inc. | | | 2,268 | | | | 68,834 | |
Seaboard Corp. | | | 9 | | | | 34,819 | |
Spectrum Brands Holdings, Inc. | | | 1,696 | | | | 144,228 | |
Sprouts Farmers Market, Inc.(1) | | | 295,300 | | | | 7,338,205 | |
Swedish Match AB | | | 2,346,020 | | | | 20,007,154 | |
Swedish Match AB - ADR | | | 3,866,910 | | | | 32,907,404 | |
Tyson Foods, Inc. - Class A | | | 817,177 | | | | 60,274,976 | |
US Foods Holding Corp.(1) | | | 8,831 | | | | 338,757 | |
Walgreens Boots Alliance, Inc. | | | 297,889 | | | | 15,671,940 | |
Walmart, Inc. | | | 148,441 | | | | 20,933,150 | |
| | | | | | | | |
Total Consumer Staples | | | | 1,341,212,847 | |
| | | | | | | | |
Energy – 3.88% | | | | | | | | |
Antero Midstream Corp. | | | 13,578 | | | | 141,075 | |
APA Corp. | | | 15,617 | | | | 337,796 | |
Baker Hughes Co. - Class A | | | 31,568 | | | | 721,960 | |
Cabot Oil & Gas Corp. | | | 14,050 | | | | 245,313 | |
Chevron Corp. | | | 143,663 | | | | 15,047,263 | |
Cimarex Energy Co. | | | 3,267 | | | | 236,694 | |
ConocoPhillips | | | 126,686 | | | | 7,715,177 | |
Continental Resources, Inc. | | | 2,369 | | | | 90,093 | |
Devon Energy Corp. | | | 28,702 | | | | 837,811 | |
Diamondback Energy, Inc. | | | 3,860 | | | | 362,415 | |
EOG Resources, Inc. | | | 1,473,506 | | | | 122,949,341 | |
EQT Corp.(1) | | | 11,154 | | | | 248,288 | |
Exxon Mobil Corp. | | | 632,597 | | | | 39,904,219 | |
Halliburton Co. | | | 580,783 | | | | 13,427,703 | |
Hess Corp. | | | 1,163,457 | | | | 101,593,065 | |
HollyFrontier Corp. | | | 128,846 | | | | 4,239,033 | |
Kinder Morgan, Inc. | | | 441,130 | | | | 8,041,800 | |
Marathon Oil Corp. | | | 33,982 | | | | 462,835 | |
Marathon Petroleum Corp. | | | 192,726 | | | | 11,644,505 | |
NOV, Inc.(1) | | | 15,671 | | | | 240,080 | |
Occidental Petroleum Corp. | | | 244,210 | | | | 7,636,447 | |
ONEOK, Inc. | | | 18,752 | | | | 1,043,361 | |
Phillips 66 | | | 897,290 | | | | 77,005,428 | |
Pioneer Natural Resources Co. | | | 423,557 | | | | 68,836,484 | |
Schlumberger Ltd. | | | 2,759,153 | | | | 88,320,488 | |
| | | | | | | | |
| | | Shares | | | Value | |
Targa Resources Corp. | | | 209,074 | | | | 9,293,339 | |
TC Energy Corp. | | | 467,490 | | | | 23,150,105 | |
TotalEnergies SE - ADR | | | 220,925 | | | | 9,999,065 | |
TotalEnergies SE | | | 1,120,887 | | | | 50,778,196 | |
Valero Energy Corp. | | | 121,154 | | | | 9,459,704 | |
Williams Companies, Inc. | | | 51,418 | | | | 1,365,148 | |
| | | | | | | | |
Total Energy | | | | 675,374,231 | |
| | | | | | | | |
Financials – 19.25% | | | | | | | | |
Affiliated Managers Group, Inc. | | | 36,407 | | | | 5,614,323 | |
Aflac, Inc. | | | 236,928 | | | | 12,713,556 | |
AGNC Investment Corp. | | | 20,882 | | | | 352,697 | |
Alleghany Corp.(1) | | | 488 | | | | 325,530 | |
Allstate Corp. | | | 103,663 | | | | 13,521,802 | |
Ally Financial, Inc. | | | 15,049 | | | | 750,042 | |
American Express Co. | | | 1,240,616 | | | | 204,986,982 | |
American Financial Group, Inc. | | | 83,917 | | | | 10,466,128 | |
American International Group, Inc. | | | 2,660,837 | | | | 126,655,841 | |
Ameriprise Financial, Inc. | | | 81,684 | | | | 20,329,514 | |
Annaly Capital Management, Inc. | | | 566,710 | | | | 5,032,385 | |
Aon Plc - Class A | | | 3,739 | | | | 892,724 | |
Arch Capital Group Ltd.(1) | | | 2,446,164 | | | | 95,253,626 | |
Ares Management Corp. - Class A | | | 676 | | | | 42,987 | |
Arthur J. Gallagher & Co. | | | 8,560 | | | | 1,199,085 | |
Assurant, Inc. | | | 2,418 | | | | 377,643 | |
Assured Guaranty Ltd. | | | 2,999 | | | | 142,393 | |
Athene Holding Ltd. - Class A(1) | | | 4,757 | | | | 321,098 | |
Axis Capital Holdings Ltd. | | | 599,051 | | | | 29,359,490 | |
Bank of America Corp. | | | 1,040,105 | | | | 42,883,529 | |
Bank of Hawaii Corp. | | | 1,648 | | | | 138,795 | |
Bank of New York Mellon Corp. | | | 584,445 | | | | 29,941,117 | |
Bank OZK | | | 4,955 | | | | 208,903 | |
Berkshire Hathaway, Inc. - Class B(1) | | | 393,767 | | | | 109,435,725 | |
BlackRock, Inc. - Class A | | | 5,995 | | | | 5,245,445 | |
Blackstone Group, Inc. - Class A | | | 737,327 | | | | 71,623,945 | |
BOK Financial Corp. | | | 1,286 | | | | 111,368 | |
Brighthouse Financial, Inc.(1) | | | 3,513 | | | | 159,982 | |
Brown & Brown, Inc. | | | 9,638 | | | | 512,163 | |
Capital One Financial Corp. | | | 144,924 | | | | 22,418,294 | |
| | | | | | | | |
| | | Shares | | | Value | |
Carlyle Group, Inc. | | | 7,404 | | | | 344,138 | |
CBOE Global Markets, Inc. | | | 4,320 | | | | 514,296 | |
Charles Schwab Corp. | | | 271,509 | | | | 19,768,570 | |
Chubb Ltd. | | | 1,165,894 | | | | 185,307,192 | |
Cincinnati Financial Corp. | | | 6,028 | | | | 702,985 | |
Citigroup, Inc. | | | 984,674 | | | | 69,665,685 | |
Citizens Financial Group, Inc. | | | 666,205 | | | | 30,558,823 | |
CME Group, Inc. - Class A | | | 376,362 | | | | 80,044,670 | |
CNA Financial Corp. | | | 139,317 | | | | 6,337,530 | |
Comerica, Inc. | | | 5,722 | | | | 408,207 | |
Commerce Bancshares, Inc. | | | 4,365 | | | | 325,454 | |
Credit Acceptance Corp.(1) | | | 338 | | | | 153,489 | |
Cullen/Frost Bankers, Inc. | | | 2,415 | | | | 270,480 | |
Discover Financial Services | | | 686,207 | | | | 81,171,426 | |
East West Bancorp, Inc. | | | 5,793 | | | | 415,300 | |
Equitable Holdings, Inc. | | | 1,103,691 | | | | 33,607,391 | |
Erie Indemnity Co. - Class A | | | 314 | | | | 60,712 | |
Essent Group Ltd. | | | 99,290 | | | | 4,463,086 | |
Evercore, Inc. - Class A | | | 1,643 | | | | 231,285 | |
Everest Re Group Ltd. | | | 33,195 | | | | 8,365,472 | |
FactSet Research Systems, Inc. | | | 214 | | | | 71,821 | |
Fidelity National Financial, Inc. | | | 952,753 | | | | 41,406,645 | |
Fifth Third Bancorp | | | 1,571,104 | | | | 60,063,306 | |
First American Financial Corp. | | | 4,238 | | | | 264,239 | |
First Citizens BancShares, Inc. - Class A | | | 242 | | | | 201,523 | |
First Hawaiian, Inc. | | | 5,134 | | | | 145,498 | |
First Horizon Corp. | | | 283,623 | | | | 4,901,005 | |
First Republic Bank | | | 7,176 | | | | 1,343,132 | |
FNB Corp. | | | 517,600 | | | | 6,382,008 | |
Franklin Resources, Inc. | | | 274,425 | | | | 8,778,856 | |
Globe Life, Inc. | | | 4,433 | | | | 422,243 | |
GoHealth, Inc. - Class A(1) | | | 151 | | | | 1,693 | |
Goldman Sachs Group, Inc. | | | 634,350 | | | | 240,754,856 | |
Hanover Insurance Group, Inc. | | | 1,475 | | | | 200,069 | |
Hartford Financial Services Group, Inc. | | | 357,026 | | | | 22,124,901 | |
Huntington Bancshares, Inc. | | | 1,681,765 | | | | 23,998,787 | |
Interactive Brokers Group, Inc. - Class A | | | 3,368 | | | | 221,379 | |
Intercontinental Exchange, Inc. | | | 23,361 | | | | 2,772,951 | |
| | | | | | | | |
| | | Shares | | | Value | |
Invesco Ltd. | | | 13,549 | | | | 362,165 | |
Janus Henderson Group Plc | | | 3,305 | | | | 128,267 | |
Jefferies Financial Group, Inc. | | | 2,959,092 | | | | 101,200,946 | |
JPMorgan Chase & Co. | | | 784,330 | | | | 121,994,688 | |
Kemper Corp. | | | 2,453 | | | | 181,277 | |
KeyCorp | | | 636,538 | | | | 13,144,510 | |
KKR & Co., Inc. - Class Miscella | | | 23,263 | | | | 1,378,100 | |
Lazard Ltd. - Class A | | | 4,793 | | | | 216,883 | |
Lemonade, Inc.(1) | | | 1,491 | | | | 163,130 | |
Lincoln National Corp. | | | 148,062 | | | | 9,304,216 | |
Loews Corp. | | | 860,051 | | | | 47,001,787 | |
M&T Bank Corp. | | | 5,159 | | | | 749,654 | |
Markel Corp.(1) | | | 457 | | | | 542,326 | |
Marsh & McLennan Companies, Inc. | | | 853,150 | | | | 120,021,142 | |
Mercury General Corp. | | | 955 | | | | 62,027 | |
MetLife, Inc. | | | 1,208,582 | | | | 72,333,633 | |
MGIC Investment Corp. | | | 13,296 | | | | 180,826 | |
Moody’s Corp. | | | 343 | | | | 124,293 | |
Morgan Stanley | | | 2,088,103 | | | | 191,458,164 | |
Morningstar, Inc. | | | 58 | | | | 14,912 | |
MSCI, Inc. - Class A | | | 948 | | | | 505,360 | |
Nasdaq, Inc. | | | 4,908 | | | | 862,826 | |
Navient Corp. | | | 2,149,376 | | | | 41,547,438 | |
New Residential Investment Corp. | | | 20,589 | | | | 218,038 | |
New York Community Bancorp, Inc. | | | 17,924 | | | | 197,522 | |
Northern Trust Corp. | | | 559,842 | | | | 64,728,932 | |
Old Republic International Corp. | | | 13,104 | | | | 326,421 | |
OneMain Holdings, Inc. - Class A | | | 3,597 | | | | 215,496 | |
PacWest Bancorp | | | 4,837 | | | | 199,091 | |
People’s United Financial, Inc. | | | 17,252 | | | | 295,699 | |
Pinnacle Financial Partners, Inc. | | | 3,399 | | | | 300,098 | |
PNC Financial Services Group, Inc. | | | 523,269 | | | | 99,818,794 | |
Popular, Inc. | | | 3,806 | | | | 285,640 | |
Primerica, Inc. | | | 1,591 | | | | 243,646 | |
Principal Financial Group, Inc. | | | 11,468 | | | | 724,663 | |
PROG Holdings, Inc. | | | 932,970 | | | | 44,903,846 | |
Progressive Corp. | | | 24,470 | | | | 2,403,199 | |
Prospect Capital Corp. | | | 501,395 | | | | 4,206,704 | |
| | | | | | | | |
| | | Shares | | | Value | |
Prosperity Bancshares, Inc. | | | 3,662 | | | | 262,932 | |
Prudential Financial, Inc. | | | 96,084 | | | | 9,845,727 | |
Radian Group, Inc. | | | 223,750 | | | | 4,978,437 | |
Raymond James Financial, Inc. | | | 141,864 | | | | 18,428,134 | |
Regions Financial Corp. | | | 676,974 | | | | 13,661,335 | |
Reinsurance Group of America, Inc. - Class A | | | 2,711 | | | | 309,054 | |
RenaissanceRe Holdings Ltd. | | | 1,114 | | | | 165,785 | |
S&P Global, Inc. | | | 2,970 | | | | 1,219,036 | |
Santander Consumer USA Holdings, Inc. | | | 2,252 | | | | 81,793 | |
SEI Investments Co. | | | 4,569 | | | | 283,141 | |
Signature Bank | | | 2,312 | | | | 567,943 | |
SLM Corp. | | | 3,342,500 | | | | 69,991,950 | |
Starwood Property Trust, Inc. | | | 295,596 | | | | 7,735,747 | |
State Street Corp. | | | 347,455 | | | | 28,588,597 | |
Sterling Bancorp | | | 8,603 | | | | 213,268 | |
Stifel Financial Corp. | | | 4,721 | | | | 306,204 | |
SVB Financial Group(1) | | | 2,285 | | | | 1,271,443 | |
Synchrony Financial | | | 2,410,383 | | | | 116,951,783 | |
Synovus Financial Corp. | | | 6,333 | | | | 277,892 | |
T Rowe Price Group, Inc. | | | 6,388 | | | | 1,264,632 | |
TFS Financial Corp. | | | 2,082 | | | | 42,265 | |
Tradeweb Markets, Inc. - Class A | | | 4,263 | | | | 360,479 | |
Travelers Companies, Inc. | | | 10,594 | | | | 1,586,028 | |
Truist Financial Corp. | | | 56,329 | | | | 3,126,259 | |
Umpqua Holdings Corp. | | | 10,691 | | | | 197,249 | |
Unum Group | | | 8,314 | | | | 236,118 | |
US Bancorp | | | 1,198,240 | | | | 68,263,733 | |
UWM Holdings Corp. | | | 1,790 | | | | 15,126 | |
Virtu Financial, Inc. - Class A | | | 3,790 | | | | 104,718 | |
Voya Financial, Inc. | | | 72,965 | | | | 4,487,348 | |
Webster Financial Corp. | | | 3,687 | | | | 196,665 | |
Wells Fargo & Co. | | | 5,241,882 | | | | 237,404,836 | |
Western Alliance Bancorp | | | 1,941 | | | | 180,222 | |
White Mountains Insurance Group Ltd. | | | 136 | | | | 156,132 | |
Willis Towers Watson Plc | | | 240,950 | | | | 55,423,319 | |
Wintrust Financial Corp. | | | 2,730 | | | | 206,470 | |
WR Berkley Corp. | | | 5,688 | | | | 423,358 | |
Zions Bancorp N.A. | | | 202,175 | | | | 10,686,971 | |
| | | | | | | | |
Total Financials | | | | 3,349,836,703 | |
| | | | | | | | |
| | | | | | | | |
| | | Shares | | | Value | |
Healthcare – 14.81% | | | | | | | | |
Abbott Laboratories | | | 36,426 | | | | 4,222,866 | |
AbbVie, Inc. | | | 832,309 | | | | 93,751,286 | |
Acadia Healthcare Co., Inc.(1) | | | 3,495 | | | | 219,311 | |
Adaptive Biotechnologies Corp.(1) | | | 482 | | | | 19,695 | |
Agilent Technologies, Inc. | | | 1,286 | | | | 190,084 | |
Alexion Pharmaceuticals, Inc.(1) | | | 113,461 | | | | 20,843,920 | |
Amedisys, Inc.(1) | | | 151 | | | | 36,984 | |
AmerisourceBergen Corp. - Class A | | | 5,965 | | | | 682,933 | |
Amgen, Inc. | | | 203,594 | | | | 49,626,038 | |
Anthem, Inc. | | | 379,841 | | | | 145,023,294 | |
AstraZeneca Plc - ADR | | | 143,400 | | | | 8,589,660 | |
Baxter International, Inc. | | | 1,132,021 | | | | 91,127,691 | |
Becton Dickinson & Co. | | | 194,718 | | | | 47,353,470 | |
Biogen, Inc.(1) | | | 47,827 | | | | 16,561,055 | |
BioMarin Pharmaceutical, Inc.(1) | | | 7,860 | | | | 655,838 | |
Bio-Rad Laboratories, Inc. - Class A(1) | | | 861 | | | | 554,734 | |
Boston Scientific Corp.(1) | | | 59,705 | | | | 2,552,986 | |
Bristol Myers Squibb Co. | | | 444,690 | | | | 29,714,186 | |
Cardinal Health, Inc. | | | 278,879 | | | | 15,921,202 | |
Catalent, Inc.(1) | | | 5,397 | | | | 583,524 | |
Centene Corp.(1) | | | 136,568 | | | | 9,959,904 | |
Cerner Corp. | | | 12,752 | | | | 996,696 | |
Certara, Inc.(1) | | | 819 | | | | 23,202 | |
Change Healthcare, Inc.(1) | | | 10,020 | | | | 230,861 | |
Charles River Laboratories International, Inc.(1) | | | 127 | | | | 46,980 | |
Chemed Corp. | | | 466 | | | | 221,117 | |
Cigna Corp. | | | 261,688 | | | | 62,038,374 | |
Cooper Companies, Inc. | | | 2,071 | | | | 820,675 | |
CVS Health Corp. | | | 1,371,984 | | | | 114,478,345 | |
Danaher Corp. | | | 278,315 | | | | 74,688,613 | |
DaVita, Inc.(1) | | | 71,748 | | | | 8,640,612 | |
Dentsply Sirona, Inc. | | | 9,422 | | | | 596,036 | |
Elanco Animal Health, Inc.(1) | | | 18,083 | | | | 627,299 | |
Eli Lilly & Co. | | | 7,480 | | | | 1,716,810 | |
Encompass Health Corp. | | | 1,693 | | | | 132,105 | |
Envista Holdings Corp.(1) | | | 1,007,261 | | | | 43,523,748 | |
| | | | | | | | |
| | | Shares | | | Value | |
Exact Sciences Corp.(1) | | | 520 | | | | 64,641 | |
Exelixis, Inc.(1) | | | 1,810 | | | | 32,978 | |
Fresenius Medical Care AG & Co. KGaA | | | 887,436 | | | | 73,742,607 | |
Gilead Sciences, Inc. | | | 301,354 | | | | 20,751,236 | |
GlaxoSmithKline Plc | | | 310,781 | | | | 6,109,674 | |
Globus Medical, Inc. - Class A(1) | | | 2,963 | | | | 229,721 | |
HCA Healthcare, Inc. | | | 67,464 | | | | 13,947,507 | |
Henry Schein, Inc.(1) | | | 5,686 | | | | 421,844 | |
Hill-Rom Holdings, Inc. | | | 2,702 | | | | 306,920 | |
Hologic, Inc.(1) | | | 507,792 | | | | 33,879,882 | |
Horizon Therapeutics Plc(1) | | | 7,210 | | | | 675,144 | |
Humana, Inc. | | | 97,961 | | | | 43,369,294 | |
ICU Medical, Inc.(1) | | | 809 | | | | 166,492 | |
Incyte Corp.(1) | | | 1,081 | | | | 90,945 | |
Integra LifeSciences Holdings Corp.(1) | | | 2,961 | | | | 202,059 | |
Ionis Pharmaceuticals, Inc.(1) | | | 450 | | | | 17,951 | |
Iovance Biotherapeutics, Inc.(1) | | | 4,105 | | | | 106,812 | |
IQVIA Holdings, Inc.(1) | | | 4,112 | | | | 996,420 | |
Jazz Pharmaceuticals Plc(1) | | | 77,180 | | | | 13,710,255 | |
Johnson & Johnson | | | 1,147,761 | | | | 189,082,147 | |
Laboratory Corp. of America Holdings(1) | | | 4,147 | | | | 1,143,950 | |
LivaNova Plc(1) | | | 674,159 | | | | 56,703,514 | |
Masimo Corp.(1) | | | 559 | | | | 135,530 | |
McKesson Corp. | | | 54,196 | | | | 10,364,443 | |
Medtronic Plc | | | 2,195,558 | | | | 272,534,615 | |
Merck & Co., Inc. | | | 3,930,042 | | | | 305,639,366 | |
Mirati Therapeutics, Inc.(1) | | | 265 | | | | 42,805 | |
Molina Healthcare, Inc.(1) | | | 1,986 | | | | 502,577 | |
Natera, Inc.(1) | | | 216 | | | | 24,522 | |
Nektar Therapeutics - Class A(1) | | | 7,652 | | | | 131,308 | |
Oak Street Health, Inc.(1) | | | 404 | | | | 23,662 | |
Organon & Co.(1) | | | 157,415 | | | | 4,763,378 | |
PerkinElmer, Inc. | | | 4,800 | | | | 741,168 | |
Perrigo Co. Plc | | | 5,358 | | | | 245,664 | |
Pfizer, Inc. | | | 3,470,394 | | | | 135,900,629 | |
PPD, Inc.(1) | | | 3,845 | | | | 177,216 | |
Premier, Inc. - Class A | | | 4,868 | | | | 169,358 | |
QIAGEN NV(1) | | | 9,162 | | | | 443,258 | |
| | | | | | | | |
| | | Shares | | | Value | |
Quest Diagnostics, Inc. | | | 55,991 | | | | 7,389,132 | |
Quidel Corp.(1) | | | 1,526 | | | | 195,511 | |
Regeneron Pharmaceuticals, Inc.(1) | | | 11,341 | | | | 6,334,402 | |
Repligen Corp.(1) | | | 129 | | | | 25,751 | |
ResMed, Inc. | | | 585 | | | | 144,214 | |
Royalty Pharma Plc - Class A | | | 5,390 | | | | 220,936 | |
Sage Therapeutics, Inc.(1) | | | 2,231 | | | | 126,743 | |
Sanofi - ADR | | | 92,800 | | | | 4,886,848 | |
Sanofi SA | | | 874,530 | | | | 91,880,393 | |
Seagen, Inc.(1) | | | 580 | | | | 91,570 | |
Select Medical Holdings Corp. | | | 169,600 | | | | 7,167,296 | |
Signify Health, Inc. - Class A(1) | | | 1,125 | | | | 34,234 | |
STERIS Plc | | | 3,463 | | | | 714,417 | |
Stryker Corp. | | | 255,473 | | | | 66,354,002 | |
Syneos Health, Inc. - Class A(1) | | | 3,616 | | | | 323,596 | |
Tandem Diabetes Care, Inc.(1) | | | 228 | | | | 22,207 | |
Teladoc Health, Inc.(1) | | | 6,187 | | | | 1,028,836 | |
Teleflex, Inc. | | | 1,655 | | | | 664,962 | |
Thermo Fisher Scientific, Inc. | | | 15,012 | | | | 7,573,104 | |
Ultragenyx Pharmaceutical, Inc.(1) | | | 670 | | | | 63,885 | |
United Therapeutics Corp.(1) | | | 38,959 | | | | 6,989,634 | |
UnitedHealth Group, Inc. | | | 566,862 | | | | 226,994,219 | |
Universal Health Services, Inc. - Class B | | | 56,618 | | | | 8,290,574 | |
Vertex Pharmaceuticals, Inc.(1) | | | 427,350 | | | | 86,166,581 | |
Viatris, Inc. | | | 119,626 | | | | 1,709,456 | |
Waters Corp.(1) | | | 174 | | | | 60,136 | |
Zimmer Biomet Holdings, Inc. | | | 103,685 | | | | 16,674,622 | |
Zoetis, Inc. - Class A | | | 1,208 | | | | 225,123 | |
| | | | | | | | |
Total Healthcare | | | | 2,576,916,010 | |
| | | | | | | | |
Industrials – 16.02% | | | | | | | | |
3M Co. | | | 53,873 | | | | 10,700,794 | |
Acuity Brands, Inc. | | | 47,328 | | | | 8,851,756 | |
ADT, Inc. | | | 6,227 | | | | 67,189 | |
AECOM(1) | | | 1,060,373 | | | | 67,142,818 | |
AerCap Holdings NV(1) | | | 1,351,465 | | | | 69,208,523 | |
AGCO Corp. | | | 85,032 | | | | 11,086,472 | |
Air Lease Corp. - Class A | | | 2,015,809 | | | | 84,139,868 | |
Airbus SE(1) | | | 138,218 | | | | 17,809,782 | |
| | | | | | | | |
| | | Shares | | | Value | |
Airbus SE - ADR(1) | | | 2,722,108 | | | | 87,651,878 | |
Alaska Air Group, Inc.(1) | | | 67,178 | | | | 4,051,505 | |
Allegion Plc | | | 872 | | | | 121,470 | |
Allison Transmission Holdings, Inc. | | | 110,940 | | | | 4,408,756 | |
AMERCO | | | 369 | | | | 217,489 | |
American Airlines Group, Inc.(1) | | | 26,176 | | | | 555,193 | |
AMETEK, Inc. | | | 9,781 | | | | 1,305,763 | |
AO Smith Corp. | | | 5,868 | | | | 422,848 | |
Armstrong World Industries, Inc. | | | 998 | | | | 107,045 | |
Atkore, Inc.(1) | | | 142,000 | | | | 10,082,000 | |
AZEK Co., Inc. - Class A(1) | | | 2,016 | | | | 85,599 | |
Boeing Co.(1) | | | 163,986 | | | | 39,284,486 | |
Builders FirstSource, Inc.(1) | | | 8,324 | | | | 355,102 | |
BWX Technologies, Inc. | | | 652,190 | | | | 37,905,283 | |
CACI International, Inc. - Class A(1) | | | 944 | | | | 240,833 | |
Canadian National Railway Co. | | | 810,961 | | | | 85,572,605 | |
Carlisle Companies, Inc. | | | 1,287 | | | | 246,306 | |
Carrier Global Corp. | | | 19,631 | | | | 954,067 | |
Caterpillar, Inc. | | | 37,076 | | | | 8,068,850 | |
CH Robinson Worldwide, Inc. | | | 4,307 | | | | 403,437 | |
ChargePoint Holdings, Inc.(1) | | | 5,082 | | | | 176,549 | |
Cintas Corp. | | | 228 | | | | 87,096 | |
Clarivate Plc(1) | | | 16,739 | | | | 460,825 | |
Clean Harbors, Inc.(1) | | | 2,444 | | | | 227,634 | |
Colfax Corp.(1) | | | 4,818 | | | | 220,713 | |
Copa Holdings SA - Class A(1) | | | 1,275 | | | | 96,046 | |
CoStar Group, Inc.(1) | | | 3,570 | | | | 295,667 | |
Crane Co. | | | 89,355 | | | | 8,253,721 | |
CSX Corp. | | | 95,226 | | | | 3,054,850 | |
Cummins, Inc. | | | 54,526 | | | | 13,293,984 | |
Curtiss-Wright Corp. | | | 54,400 | | | | 6,460,544 | |
Deere & Co. | | | 397,900 | | | | 140,343,309 | |
Delta Air Lines, Inc.(1) | | | 145,357 | | | | 6,288,144 | |
Donaldson Co., Inc. | | | 4,524 | | | | 287,410 | |
Dover Corp. | | | 6,188 | | | | 931,913 | |
Driven Brands Holdings, Inc.(1) | | | 1,314 | | | | 40,629 | |
Dun & Bradstreet Holdings, Inc.(1) | | | 6,504 | | | | 138,990 | |
Eaton Corp. Plc | | | 16,749 | | | | 2,481,867 | |
| | | | | | | | |
| | | Shares | | | Value | |
Emerson Electric Co. | | | 458,903 | | | | 44,164,825 | |
Equifax, Inc. | | | 3,042 | | | | 728,589 | |
Expeditors International of Washington, Inc. | | | 1,853 | | | | 234,590 | |
Fastenal Co. | | | 2,635 | | | | 137,020 | |
FedEx Corp. | | | 513,163 | | | | 153,091,918 | |
Flowserve Corp. | | | 84,011 | | | | 3,387,323 | |
Fortive Corp. | | | 13,820 | | | | 963,807 | |
Fortune Brands Home & Security, Inc. | | | 4,181 | | | | 416,469 | |
FTI Consulting, Inc.(1) | | | 1,311 | | | | 179,096 | |
Gates Industrial Corp. Plc(1) | | | 2,900 | | | | 52,403 | |
General Dynamics Corp. | | | 879,288 | | | | 165,534,759 | |
General Electric Co. | | | 6,791,083 | | | | 91,407,977 | |
Graco, Inc. | | | 3,093 | | | | 234,140 | |
HEICO Corp. | | | 1,234 | | | | 172,044 | |
HEICO Corp. - Class A | | | 2,166 | | | | 268,974 | |
Hexcel Corp.(1) | | | 3,434 | | | | 214,282 | |
Hillenbrand, Inc. | | | 110,100 | | | | 4,853,208 | |
Honeywell International, Inc. | | | 545,954 | | | | 119,755,010 | |
Howmet Aerospace, Inc.(1) | | | 14,740 | | | | 508,088 | |
Hubbell, Inc. - Class B | | | 2,391 | | | | 446,734 | |
Huntington Ingalls Industries, Inc. | | | 39,100 | | | | 8,240,325 | |
IDEX Corp. | | | 3,120 | | | | 686,556 | |
IHS Markit Ltd. | | | 15,775 | | | | 1,777,211 | |
Illinois Tool Works, Inc. | | | 1,317 | | | | 294,428 | |
Ingersoll Rand, Inc.(1) | | | 16,024 | | | | 782,131 | |
ITT, Inc. | | | 3,977 | | | | 364,253 | |
Jacobs Engineering Group, Inc. | | | 334,291 | | | | 44,601,105 | |
JB Hunt Transport Services, Inc. | | | 404,666 | | | | 65,940,325 | |
JetBlue Airways Corp.(1) | | | 384,068 | | | | 6,444,661 | |
Johnson Controls International Plc | | | 30,110 | | | | 2,066,449 | |
Kansas City Southern | | | 2,832 | | | | 802,504 | |
Kirby Corp.(1) | | | 2,355 | | | | 142,807 | |
Knight-Swift Transportation Holdings, Inc. - Class A | | | 6,531 | | | | 296,899 | |
L3Harris Technologies, Inc. | | | 253,690 | | | | 54,835,093 | |
Landstar System, Inc. | | | 153 | | | | 24,177 | |
Leidos Holdings, Inc. | | | 5,735 | | | | 579,808 | |
Lennox International, Inc. | | | 1,366 | | | | 479,193 | |
Lockheed Martin Corp. | | | 185,323 | | | | 70,116,957 | |
| | | | | | | | |
| | | Shares | | | Value | |
ManpowerGroup, Inc. | | | 2,206 | | | | 262,315 | |
Masco Corp. | | | 10,398 | | | | 612,546 | |
MasTec, Inc.(1) | | | 71,391 | | | | 7,574,585 | |
Mercury Systems, Inc.(1) | | | 2,243 | | | | 148,666 | |
Middleby Corp.(1) | | | 1,564 | | | | 270,979 | |
Moog, Inc. - Class A | | | 64,788 | | | | 5,446,079 | |
MSA Safety, Inc. | | | 1,062 | | | | 175,846 | |
MSC Industrial Direct Co., Inc. - Class A | | | 1,752 | | | | 157,207 | |
Nielsen Holdings Plc | | | 929,375 | | | | 22,927,681 | |
Nordson Corp. | | | 1,955 | | | | 429,142 | |
Norfolk Southern Corp. | | | 10,510 | | | | 2,789,459 | |
Northrop Grumman Corp. | | | 605,287 | | | | 219,979,454 | |
nVent Electric Plc | | | 7,807 | | | | 243,891 | |
Old Dominion Freight Line, Inc. | | | 328 | | | | 83,246 | |
Oshkosh Corp. | | | 75,629 | | | | 9,426,399 | |
Otis Worldwide Corp. | | | 385,458 | | | | 31,518,901 | |
Owens Corning | | | 480,877 | | | | 47,077,858 | |
PACCAR, Inc. | | | 126,136 | | | | 11,257,638 | |
Parker-Hannifin Corp. | | | 4,540 | | | | 1,394,279 | |
Pentair Plc | | | 6,766 | | | | 456,637 | |
Quanta Services, Inc. | | | 463,179 | | | | 41,950,122 | |
Raytheon Technologies Corp. | | | 2,957,043 | | | | 252,265,338 | |
Regal Beloit Corp. | | | 1,614 | | | | 215,485 | |
Republic Services, Inc. - Class A | | | 8,972 | | | | 987,010 | |
Robert Half International, Inc. | | | 549 | | | | 48,845 | |
Rockwell Automation, Inc. | | | 1,854 | | | | 530,281 | |
Rollins, Inc. | | | 653 | | | | 22,333 | |
Roper Technologies, Inc. | | | 4,417 | | | | 2,076,873 | |
Ryder System, Inc. | | | 2,079 | | | | 154,532 | |
Schneider National, Inc. - Class B | | | 1,978 | | | | 43,061 | |
Science Applications International Corp. | | | 41,594 | | | | 3,649,042 | |
Sensata Technologies Holding Plc(1) | | | 6,411 | | | | 371,646 | |
Shoals Technologies Group, Inc. - Class A(1) | | | 3,273 | | | | 116,191 | |
Siemens AG | | | 47,427 | | | | 7,530,401 | |
SiteOne Landscape Supply, Inc.(1) | | | 857 | | | | 145,056 | |
Snap-on, Inc. | | | 123,653 | | | | 27,627,790 | |
Southwest Airlines Co.(1) | | | 140,196 | | | | 7,443,006 | |
Spirit AeroSystems Holdings, Inc. - Class A | | | 3,011 | | | | 142,089 | |
| | | | | | | | |
| | | Shares | | | Value | |
Stanley Black & Decker, Inc. | | | 330,625 | | | | 67,774,819 | |
Stericycle, Inc.(1) | | | 286,459 | | | | 20,496,141 | |
Sunrun, Inc.(1) | | | 8,098 | | | | 451,706 | |
Teledyne Technologies, Inc.(1) | | | 1,976 | | | | 827,608 | |
Textron, Inc. | | | 106,405 | | | | 7,317,472 | |
Timken Co. | | | 2,583 | | | | 208,164 | |
Toro Co. | | | 226 | | | | 24,833 | |
Trane Technologies Plc | | | 5,191 | | | | 955,871 | |
TransDigm Group, Inc.(1) | | | 1,567 | | | | 1,014,303 | |
TransUnion | | | 2,465 | | | | 270,682 | |
TuSimple Holdings, Inc. - Class A(1) | | | 1,287 | | | | 91,686 | |
Uber Technologies, Inc.(1) | | | 9,449 | | | | 473,584 | |
Union Pacific Corp. | | | 530,076 | | | | 116,579,615 | |
United Airlines Holdings, Inc.(1) | | | 13,986 | | | | 731,328 | |
United Parcel Service, Inc. - Class B | | | 845,080 | | | | 175,751,288 | |
United Rentals, Inc.(1) | | | 41,557 | | | | 13,257,099 | |
Univar Solutions, Inc.(1) | | | 244,196 | | | | 5,953,498 | |
Valmont Industries, Inc. | | | 872 | | | | 205,836 | |
Verisk Analytics, Inc. - Class A | | | 2,341 | | | | 409,020 | |
Vertiv Holdings Co. - Class A | | | 3,075,322 | | | | 83,956,291 | |
Virgin Galactic Holdings, Inc.(1) | | | 301 | | | | 13,846 | |
Wabtec Corp. | | | 7,822 | | | | 643,751 | |
Waste Management, Inc. | | | 14,965 | | | | 2,096,746 | |
Watsco, Inc. | | | 1,304 | | | | 373,779 | |
Woodward, Inc. | | | 2,361 | | | | 290,120 | |
WW Grainger, Inc. | | | 321 | | | | 140,598 | |
XPO Logistics, Inc.(1) | | | 535 | | | | 74,841 | |
Xylem, Inc. | | | 2,480 | | | | 297,501 | |
| | | | | | | | |
Total Industrials | | | | 2,787,647,681 | |
| | | | | | | | |
Information Technology – 9.12% | | | | | | | | |
Accenture Plc - Class A | | | 326,099 | | | | 96,130,724 | |
Akamai Technologies, Inc.(1) | | | 6,531 | | | | 761,515 | |
Alliance Data Systems Corp. | | | 1,941 | | | | 202,233 | |
Amdocs Ltd. | | | 74,506 | | | | 5,763,784 | |
Amkor Technology, Inc. | | | 211,100 | | | | 4,996,737 | |
Amphenol Corp. - Class A | | | 7,419 | | | | 507,534 | |
Analog Devices, Inc. | | | 13,274 | | | | 2,285,252 | |
ANSYS, Inc.(1) | | | 2,180 | | | | 756,591 | |
| | | | | | | | |
| | | Shares | | | Value | |
Applied Materials, Inc. | | | 430,013 | | | | 61,233,851 | |
Arista Networks, Inc.(1) | | | 259 | | | | 93,838 | |
Arrow Electronics, Inc.(1) | | | 110,389 | | | | 12,565,580 | |
Automatic Data Processing, Inc. | | | 349,499 | | | | 69,417,491 | |
Avnet, Inc. | | | 4,289 | | | | 171,903 | |
Black Knight, Inc.(1) | | | 6,661 | | | | 519,425 | |
Broadcom, Inc. | | | 150,163 | | | | 71,603,725 | |
Broadridge Financial Solutions, Inc. | | | 432 | | | | 69,781 | |
Brooks Automation, Inc. | | | 523 | | | | 49,831 | |
C3.ai, Inc. - Class A(1) | | | 548 | | | | 34,266 | |
CDK Global, Inc. | | | 4,325 | | | | 214,909 | |
Ceridian HCM Holding, Inc.(1) | | | 5,636 | | | | 540,605 | |
Ciena Corp.(1) | | | 64,176 | | | | 3,650,973 | |
Cirrus Logic, Inc.(1) | | | 2,257 | | | | 192,116 | |
Cisco Systems, Inc. | | | 2,720,883 | | | | 144,206,799 | |
Citrix Systems, Inc. | | | 224,589 | | | | 26,337,552 | |
Cloudflare, Inc. - Class A(1) | | | 582 | | | | 61,599 | |
Cognizant Technology Solutions Corp. - Class A | | | 972,057 | | | | 67,324,668 | |
Coherent, Inc.(1) | | | 88 | | | | 23,262 | |
Concentrix Corp.(1) | | | 1,708 | | | | 274,646 | |
Corning, Inc. | | | 21,402 | | | | 875,342 | |
Cree, Inc.(1) | | | 4,685 | | | | 458,802 | |
Datto Holding Corp.(1) | | | 1,053 | | | | 29,316 | |
Dell Technologies, Inc. - Class C(1) | | | 81,973 | | | | 8,170,249 | |
Diodes, Inc.(1) | | | 100 | | | | 7,977 | |
Dolby Laboratories, Inc. - Class A | | | 2,608 | | | | 256,340 | |
Duck Creek Technologies, Inc.(1) | | | 2,263 | | | | 98,463 | |
DXC Technology Co.(1) | | | 176,958 | | | | 6,890,745 | |
Dynatrace, Inc.(1) | | | 441 | | | | 25,763 | |
Euronet Worldwide, Inc.(1) | | | 600 | | | | 81,210 | |
F5 Networks, Inc.(1) | | | 2,419 | | | | 451,531 | |
Fastly, Inc. - Class A(1) | | | 4,294 | | | | 255,922 | |
Fidelity National Information Services, Inc. | | | 26,078 | | | | 3,694,470 | |
FireEye, Inc.(1) | | | 6,937 | | | | 140,266 | |
First Solar, Inc.(1) | | | 4,305 | | | | 389,646 | |
Fiserv, Inc.(1) | | | 23,509 | | | | 2,512,877 | |
FleetCor Technologies, Inc.(1) | | | 2,703 | | | | 692,130 | |
Genpact Ltd. | | | 7,899 | | | | 358,852 | |
| | | | | | | | |
| | | Shares | | | Value | |
Global Payments, Inc. | | | 12,386 | | | | 2,322,870 | |
GoDaddy, Inc. - Class A(1) | | | 6,563 | | | | 570,718 | |
Guidewire Software, Inc.(1) | | | 3,408 | | | | 384,150 | |
Hewlett Packard Enterprise Co. | | | 528,088 | | | | 7,699,523 | |
HP, Inc. | | | 543,347 | | | | 16,403,646 | |
Intel Corp. | | | 851,317 | | | | 47,792,936 | |
International Business Machines Corp. | | | 109,601 | | | | 16,066,411 | |
IPG Photonics Corp.(1) | | | 1,412 | | | | 297,607 | |
J2 Global, Inc.(1) | | | 57,100 | | | | 7,854,105 | |
Jabil, Inc. | | | 1,225 | | | | 71,197 | |
Jack Henry & Associates, Inc. | | | 2,217 | | | | 362,502 | |
Jamf Holding Corp.(1) | | | 329 | | | | 11,045 | |
Juniper Networks, Inc. | | | 14,364 | | | | 392,855 | |
Keysight Technologies, Inc.(1) | | | 4,508 | | | | 696,080 | |
Lam Research Corp. | | | 12,200 | | | | 7,938,540 | |
Littelfuse, Inc. | | | 1,014 | | | | 258,357 | |
Lumentum Holdings, Inc.(1) | | | 3,073 | | | | 252,078 | |
Manhattan Associates, Inc.(1) | | | 1,200 | | | | 173,808 | |
Marvell Technology, Inc. | | | 34,016 | | | | 1,984,153 | |
Maxim Integrated Products, Inc. | | | 565 | | | | 59,528 | |
McAfee Corp. - Class A | | | 218 | | | | 6,108 | |
Medallia, Inc.(1) | | | 1,905 | | | | 64,294 | |
Methode Electronics, Inc. | | | 117,120 | | | | 5,763,475 | |
Microchip Technology, Inc. | | | 371,954 | | | | 55,696,392 | |
Micron Technology, Inc.(1) | | | 40,643 | | | | 3,453,842 | |
Microsoft Corp. | | | 584,801 | | | | 158,422,591 | |
MKS Instruments, Inc. | | | 350 | | | | 62,283 | |
Motorola Solutions, Inc. | | | 7,028 | | | | 1,524,022 | |
National Instruments Corp. | | | 5,211 | | | | 220,321 | |
NCR Corp.(1) | | | 3,416 | | | | 155,804 | |
NetApp, Inc. | | | 3,047 | | | | 249,306 | |
NETGEAR, Inc.(1) | | | 141,400 | | | | 5,418,448 | |
NortonLifeLock, Inc. | | | 16,412 | | | | 446,735 | |
Nuance Communications, Inc.(1) | | | 7,177 | | | | 390,716 | |
NXP Semiconductors NV | | | 434,829 | | | | 89,453,022 | |
ON Semiconductor Corp.(1) | | | 7,895 | | | | 302,221 | |
Oracle Corp. | | | 1,606,192 | | | | 125,025,985 | |
Paychex, Inc. | | | 1,675 | | | | 179,728 | |
| | | | | | | | |
| | | Shares | | | Value | |
Paysafe Ltd.(1) | | | 12,530 | | | | 151,738 | |
Pegasystems, Inc. | | | 142 | | | | 19,765 | |
Pure Storage, Inc. - Class A(1) | | | 693 | | | | 13,534 | |
Qorvo, Inc.(1) | | | 4,849 | | | | 948,707 | |
QUALCOMM, Inc. | | | 851,343 | | | | 121,682,455 | |
Salesforce.com, Inc.(1) | | | 31,344 | | | | 7,656,399 | |
Samsung Electronics Co. Ltd. | | | 1,714,628 | | | | 122,743,628 | |
Seagate Technology Holdings Plc | | | 145,413 | | | | 12,786,165 | |
Skyworks Solutions, Inc. | | | 3,538 | | | | 678,412 | |
Snowflake, Inc. - Class A(1) | | | 286 | | | | 69,155 | |
SolarWinds Corp.(1) | | | 2,835 | | | | 47,883 | |
SS&C Technologies Holdings, Inc. | | | 9,104 | | | | 656,034 | |
StoneCo Ltd. - Class A(1) | | | 620 | | | | 41,577 | |
SYNNEX Corp. | | | 1,776 | | | | 216,246 | |
Synopsys, Inc.(1) | | | 2,421 | | | | 667,688 | |
TE Connectivity Ltd. | | | 62,200 | | | | 8,410,062 | |
Teradata Corp.(1) | | | 572 | | | | 28,583 | |
Texas Instruments, Inc. | | | 306,492 | | | | 58,938,412 | |
Trimble, Inc.(1) | | | 10,751 | | | | 879,754 | |
Twilio, Inc. - Class A(1) | | | 4,909 | | | | 1,934,931 | |
Tyler Technologies, Inc.(1) | | | 219 | | | | 99,069 | |
Ubiquiti, Inc. | | | 4 | | | | 1,249 | |
VeriSign, Inc.(1) | | | 4,216 | | | | 959,941 | |
Viasat, Inc.(1) | | | 2,749 | | | | 137,010 | |
Visa, Inc. - Class A | | | 375,286 | | | | 87,749,373 | |
VMware, Inc. - Class A(1) | | | 2,054 | | | | 328,578 | |
Vontier Corp. | | | 3,152 | | | | 102,692 | |
Western Digital Corp.(1) | | | 12,508 | | | | 890,194 | |
Western Union Co. | | | 172,562 | | | | 3,963,749 | |
WEX, Inc.(1) | | | 597 | | | | 115,758 | |
Xerox Holdings Corp. | | | 6,220 | | | | 146,108 | |
| | | | | | | | |
Total Information Technology | | | | 1,586,873,342 | |
| | | | | | | | |
Materials – 4.65% | | | | | | | | |
Air Products & Chemicals, Inc. | | | 9,262 | | | | 2,664,492 | |
Akzo Nobel NV | | | 87,503 | | | | 10,834,698 | |
Albemarle Corp. | | | 4,773 | | | | 804,060 | |
Alcoa Corp.(1) | | | 7,586 | | | | 279,468 | |
Amcor Plc | | | 62,604 | | | | 717,442 | |
| | | | | | | | |
| | | Shares | | | Value | |
AptarGroup, Inc. | | | 2,923 | | | | 411,675 | |
Ardagh Group SA - Class A | | | 788 | | | | 19,322 | |
Ashland Global Holdings, Inc. | | | 2,303 | | | | 201,513 | |
Atotech Ltd.(1) | | | 2,702,479 | | | | 68,994,289 | |
Avery Dennison Corp. | | | 1,577 | | | | 331,549 | |
Axalta Coating Systems Ltd.(1) | | | 6,980 | | | | 212,820 | |
Ball Corp. | | | 9,655 | | | | 782,248 | |
Berry Global Group, Inc.(1) | | | 93,786 | | | | 6,116,723 | |
Celanese Corp. - Class A | | | 397,089 | | | | 60,198,692 | |
CF Industries Holdings, Inc. | | | 1,038,784 | | | | 53,445,437 | |
Chemours Co. | | | 3,242 | | | | 112,822 | |
Cleveland-Cliffs, Inc.(1) | | | 18,506 | | | | 398,989 | |
Corteva, Inc. | | | 1,221,820 | | | | 54,187,717 | |
Crown Holdings, Inc. | | | 46,066 | | | | 4,708,406 | |
Diversey Holdings Ltd.(1) | | | 930 | | | | 16,656 | |
Dow, Inc. | | | 29,276 | | | | 1,852,585 | |
DuPont de Nemours, Inc. | | | 251,113 | | | | 19,438,657 | |
Eagle Materials, Inc. | | | 1,700 | | | | 241,587 | |
Eastman Chemical Co. | | | 103,063 | | | | 12,032,605 | |
Ecolab, Inc. | | | 396,963 | | | | 81,762,469 | |
Element Solutions, Inc. | | | 3,134,559 | | | | 73,285,989 | |
FMC Corp. | | | 4,250 | | | | 459,850 | |
Freeport-McMoRan, Inc. | | | 43,715 | | | | 1,622,264 | |
Graphic Packaging Holding Co. | | | 8,648 | | | | 156,875 | |
Huntsman Corp. | | | 131,404 | | | | 3,484,834 | |
Ingevity Corp.(1) | | | 71,312 | | | | 5,801,944 | |
International Flavors & Fragrances, Inc. | | | 687,947 | | | | 102,779,282 | |
International Paper Co. | | | 912,251 | | | | 55,930,109 | |
Linde Plc | | | 370,757 | | | | 107,185,849 | |
Louisiana-Pacific Corp. | | | 144,838 | | | | 8,732,283 | |
LyondellBasell Industries NV - Class A | | | 126,575 | | | | 13,020,770 | |
Martin Marietta Materials, Inc. | | | 2,653 | | | | 933,352 | |
Mosaic Co. | | | 14,063 | | | | 448,750 | |
NewMarket Corp. | | | 272 | | | | 87,579 | |
Newmont Corp. | | | 33,632 | | | | 2,131,596 | |
Nucor Corp. | | | 12,638 | | | | 1,212,363 | |
Olin Corp. | | | 5,396 | | | | 249,619 | |
Packaging Corp. of America | | | 3,791 | | | | 513,377 | |
| | | | | | | | |
| | | Shares | | | Value | |
PPG Industries, Inc. | | | 42,475 | | | | 7,210,981 | |
Reliance Steel & Aluminum Co. | | | 47,867 | | | | 7,223,130 | |
Royal Gold, Inc. | | | 2,661 | | | | 303,620 | |
RPM International, Inc. | | | 2,157 | | | | 191,283 | |
Sealed Air Corp. | | | 193,264 | | | | 11,450,892 | |
Silgan Holdings, Inc. | | | 3,574 | | | | 148,321 | |
Sonoco Products Co. | | | 4,048 | | | | 270,811 | |
Southern Copper Corp. | | | 301 | | | | 19,360 | |
Steel Dynamics, Inc. | | | 7,296 | | | | 434,842 | |
United States Steel Corp. | | | 10,860 | | | | 260,640 | |
Valvoline, Inc. | | | 271,164 | | | | 8,801,984 | |
Vulcan Materials Co. | | | 5,612 | | | | 976,881 | |
Westlake Chemical Corp. | | | 1,077 | | | | 97,027 | |
Westrock Co. | | | 224,402 | | | | 11,942,675 | |
| | | | | | | | |
Total Materials | | | | 808,136,053 | |
| | | | | | | | |
Real Estate – 3.62% | | | | | | | | |
Alexandria Real Estate Equities, Inc. | | | 5,943 | | | | 1,081,269 | |
American Assets Trust, Inc. | | | 89,600 | | | | 3,341,184 | |
American Campus Communities, Inc. | | | 1,165,528 | | | | 54,453,468 | |
American Homes 4 Rent - Class A | | | 11,492 | | | | 446,464 | |
American Tower Corp. | | | 218,464 | | | | 59,015,865 | |
Americold Realty Trust | | | 10,255 | | | | 388,152 | |
Apartment Income REIT Corp. | | | 6,450 | | | | 305,923 | |
AvalonBay Communities, Inc. | | | 5,881 | | | | 1,227,306 | |
Boston Properties, Inc. | | | 6,401 | | | | 733,491 | |
Brandywine Realty Trust | | | 330,419 | | | | 4,530,044 | |
Brixmor Property Group, Inc. | | | 11,829 | | | | 270,766 | |
Camden Property Trust | | | 4,204 | | | | 557,745 | |
CBRE Group, Inc. - Class A(1) | | | 13,369 | | | | 1,146,124 | |
CoreSite Realty Corp. | | | 377 | | | | 50,744 | |
Corporate Office Properties Trust | | | 1,199,840 | | | | 33,583,522 | |
Cousins Properties, Inc. | | | 90,595 | | | | 3,332,084 | |
CubeSmart | | | 9,066 | | | | 419,937 | |
CyrusOne, Inc. | | | 53,940 | | | | 3,857,789 | |
Digital Realty Trust, Inc. | | | 11,762 | | | | 1,769,711 | |
Douglas Emmett, Inc. | | | 6,973 | | | | 234,432 | |
Duke Realty Corp. | | | 15,966 | | | | 755,990 | |
EPR Properties(1) | | | 3,098 | | | | 163,203 | |
| | | | | | | | |
| | | Shares | | | Value | |
Equinix, Inc. | | | 1,053 | | | | 845,138 | |
Equity LifeStyle Properties, Inc. | | | 3,332 | | | | 247,601 | |
Equity Residential | | | 551,280 | | | | 42,448,560 | |
Essex Property Trust, Inc. | | | 2,747 | | | | 824,127 | |
Extra Space Storage, Inc. | | | 4,854 | | | | 795,182 | |
Federal Realty Investment Trust | | | 3,114 | | | | 364,867 | |
First Industrial Realty Trust, Inc. | | | 5,895 | | | | 307,896 | |
Gaming & Leisure Properties, Inc. | | | 93,953 | | | | 4,352,842 | |
Healthcare Trust of America, Inc. - Class A | | | 8,814 | | | | 235,334 | |
Healthpeak Properties, Inc. | | | 23,319 | | | | 776,290 | |
Highwoods Properties, Inc. | | | 4,187 | | | | 189,127 | |
Host Hotels & Resorts, Inc.(1) | | | 252,667 | | | | 4,318,079 | |
Howard Hughes Corp.(1) | | | 600,904 | | | | 58,564,104 | |
Hudson Pacific Properties, Inc. | | | 5,913 | | | | 164,500 | |
Invitation Homes, Inc. | | | 24,246 | | | | 904,133 | |
Iron Mountain, Inc. | | | 138,898 | | | | 5,878,163 | |
JBG SMITH Properties | | | 4,806 | | | | 151,437 | |
Jones Lang LaSalle, Inc.(1) | | | 2,054 | | | | 401,475 | |
Kilroy Realty Corp. | | | 4,663 | | | | 324,731 | |
Kimco Realty Corp. | | | 16,746 | | | | 349,154 | |
Lamar Advertising Co. - Class A | | | 441 | | | | 46,049 | |
Life Storage, Inc. | | | 3,129 | | | | 335,898 | |
Medical Properties Trust, Inc. | | | 229,435 | | | | 4,611,644 | |
MGM Growth Properties LLC - Class A | | | 2,063,878 | | | | 75,579,212 | |
Mid-America Apartment Communities, Inc. | | | 4,938 | | | | 831,658 | |
National Retail Properties, Inc. | | | 7,156 | | | | 335,473 | |
Office Properties Income Trust | | | 104,183 | | | | 3,053,604 | |
Omega Healthcare Investors, Inc. | | | 9,799 | | | | 355,606 | |
Opendoor Technologies, Inc.(1) | | | 11,253 | | | | 199,516 | |
Park Hotels & Resorts, Inc.(1) | | | 9,885 | | | | 203,730 | |
Prologis, Inc. | | | 30,932 | | | | 3,697,302 | |
Public Storage | | | 274,577 | | | | 82,562,558 | |
Rayonier, Inc. | | | 686,304 | | | | 24,658,903 | |
Realty Income Corp. | | | 15,870 | | | | 1,059,164 | |
Regency Centers Corp. | | | 6,941 | | | | 444,710 | |
Rexford Industrial Realty, Inc. | | | 5,625 | | | | 320,344 | |
SBA Communications Corp. - Class A | | | 3,667 | | | | 1,168,673 | |
Simon Property Group, Inc. | | | 1,736 | | | | 226,513 | |
| | | | | | | | |
| | | Shares | | | Value | |
SL Green Realty Corp. | | | 2,757 | | | | 220,560 | |
Spirit Realty Capital, Inc. | | | 5,385 | | | | 257,618 | |
STORE Capital Corp. | | | 10,086 | | | | 348,068 | |
Sun Communities, Inc. | | | 4,737 | | | | 811,922 | |
UDR, Inc. | | | 12,764 | | | | 625,181 | |
Ventas, Inc. | | | 15,920 | | | | 909,032 | |
VEREIT, Inc. | | | 113,659 | | | | 5,220,358 | |
VICI Properties, Inc. | | | 2,163,919 | | | | 67,124,767 | |
Vornado Realty Trust | | | 7,259 | | | | 338,778 | |
Weingarten Realty Investors | | | 4,919 | | | | 157,752 | |
Welltower, Inc. | | | 145,331 | | | | 12,077,006 | |
Weyerhaeuser Co. | | | 1,368,103 | | | | 47,090,105 | |
WP Carey, Inc. | | | 7,647 | | | | 570,619 | |
| | | | | | | | |
Total Real Estate | | | | | | | 629,550,276 | |
| | | | | | | | |
Utilities – 2.60% | | | | | | | | |
AES Corp. | | | 27,034 | | | | 704,776 | |
Alliant Energy Corp. | | | 10,930 | | | | 609,457 | |
Ameren Corp. | | | 228,496 | | | | 18,288,820 | |
American Electric Power Co., Inc. | | | 20,975 | | | | 1,774,275 | |
American Water Works Co., Inc. | | | 7,706 | | | | 1,187,726 | |
Atmos Energy Corp. | | | 5,219 | | | | 501,598 | |
Avangrid, Inc. | | | 2,339 | | | | 120,295 | |
Brookfield Renewable Corp. - Class A | | | 3,885 | | | | 162,937 | |
CenterPoint Energy, Inc. | | | 2,773,330 | | | | 68,002,052 | |
CMS Energy Corp. | | | 11,791 | | | | 696,612 | |
Consolidated Edison, Inc. | | | 14,024 | | | | 1,005,801 | |
Dominion Energy, Inc. | | | 160,125 | | | | 11,780,396 | |
DTE Energy Co. | | | 8,255 | | | | 1,069,848 | |
Duke Energy Corp. | | | 32,292 | | | | 3,187,866 | |
Edison International | | | 1,025,575 | | | | 59,298,747 | |
Entergy Corp. | | | 89,409 | | | | 8,914,077 | |
Essential Utilities, Inc. | | | 9,153 | | | | 418,292 | |
Evergy, Inc. | | | 9,824 | | | | 593,664 | |
Eversource Energy | | | 14,479 | | | | 1,161,795 | |
Exelon Corp. | | | 1,166,189 | | | | 51,673,835 | |
FirstEnergy Corp. | | | 23,117 | | | | 860,184 | |
Hawaiian Electric Industries, Inc. | | | 4,233 | | | | 178,971 | |
IDACORP, Inc. | | | 2,117 | | | | 206,408 | |
| | | | | | | | |
| | | Shares | | | Value | |
MDU Resources Group, Inc. | | | 241,360 | | | | 7,564,222 | |
National Fuel Gas Co. | | | 102,543 | | | | 5,357,872 | |
NextEra Energy, Inc. | | | 306,512 | | | | 22,461,199 | |
NiSource, Inc. | | | 1,529,474 | | | | 37,472,113 | |
NRG Energy, Inc. | | | 191,344 | | | | 7,711,163 | |
OGE Energy Corp. | | | 9,223 | | | | 310,354 | |
PG&E Corp.(1) | | | 61,363 | | | | 624,062 | |
Pinnacle West Capital Corp. | | | 4,662 | | | | 382,144 | |
PPL Corp. | | | 259,604 | | | | 7,261,124 | |
Public Service Enterprise Group, Inc. | | | 21,402 | | | | 1,278,556 | |
Sempra Energy | | | 348,448 | | | | 46,162,391 | |
Southern Co. | | | 1,201,846 | | | | 72,723,701 | |
UGI Corp. | | | 8,563 | | | | 396,553 | |
Vistra Corp. | | | 387,225 | | | | 7,183,024 | |
WEC Energy Group, Inc. | | | 12,799 | | | | 1,138,471 | |
Xcel Energy, Inc. | | | 22,638 | | | | 1,491,391 | |
| | | | | | | | |
Total Utilities | | | | 451,916,772 | |
| | | | | | | | |
Total Common Stocks (Cost: $11,222,731,355) | | | | 17,054,466,176 | |
| | | | | | | | |
CONVERTIBLE PREFERRED STOCKS – 0.25% | | | | | | | | |
Healthcare – 0.06% | | | | | | | | |
Becton Dickinson & Co., 6.00% | | | 202,075 | | | | 10,813,033 | |
| | | | | | | | |
Total Healthcare | | | | 10,813,033 | |
| | | | | | | | |
Utilities – 0.19% | | | | | | | | |
NextEra Energy, Inc., 5.28% | | | 173,175 | | | | 8,478,648 | |
NiSource, Inc., 7.75% | | | 81,438 | | | | 8,371,012 | |
Sempra Energy, 6.75% | | | 35,061 | | | | 3,462,975 | |
Southern Co., 6.75% | | | 226,081 | | | | 11,446,481 | |
| | | | | | | | |
Total Utilities | | | | 31,759,116 | |
| | | | | | | | |
Total Convertible Preferred Stocks (Cost: $40,069,708) | | | | 42,572,149 | |
| | | | | | | | |
PREFERRED STOCKS – 0.20% | | | | | | | | |
Consumer Discretionary – 0.20% | | | | | | | | |
Volkswagen AG | | | 141,499 | | | | 35,478,255 | |
| | | | | | | | |
Total Consumer Discretionary | | | | 35,478,255 | |
| | | | | | | | |
Total Preferred Stocks (Cost: $24,577,761) | | | | 35,478,255 | |
| | | | | | | | |
SHORT-TERM INVESTMENTS – 1.30% | | | | | | | | |
Money Market Funds – 1.08% | | | | | | | | |
Goldman Sachs Financial Square Government Fund - Class I, 0.03%(2) | | | 187,295,009 | | | $ | 187,295,009 | |
| | | | | | | | |
Total Money Market Funds (Cost: $187,295,009) | | | | | | | 187,295,009 | |
| | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Time Deposits – 0.22% | | | | | | | | |
ANZ, London, 0.01% due 07/01/2021 | | $ | 12,162,103 | | | | 12,162,103 | |
Brown Brothers Harriman, -0.78% due 07/01/2021(3) | | EUR | — | | | | 1 | |
BNP Paribas, Paris, -0.78% due 07/01/2021 | | | 217,805 | | | | 258,262 | |
Citibank, New York, 0.01% due 07/01/2021 | | $ | 3,411,483 | | | | 3,411,483 | |
Skandinaviska Enskilda Banken AB, Stockholm, 0.01% due 07/01/2021 | | | 2,043,212 | | | | 2,043,212 | |
Sumitomo, Tokyo, 0.01% due 07/01/2021 | | | 21,169,852 | | | | 21,169,852 | |
| | | | | | | | |
Total Time Deposits (Cost: $39,044,913) | | | | | | | 39,044,913 | |
| | | | | | | | |
Total Short-Term Investments (Cost: $226,339,922) | | | | 226,339,922 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES – 99.78% (Cost: $11,513,718,746) | | | | | | | 17,358,856,502 | |
| | | | | | | | |
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.22% | | | | | | | 38,585,049 | |
| | | | | | | | |
TOTAL NET ASSETS – 100.00% | | | | | | $ | 17,397,441,551 | |
| | | | | | | | |
Percentages are stated as a percent of net assets.
Principal amounts are denominated in the currency in which the security was purchased.
ADR American Depositary Receipt
REIT Real Estate Investment Trust
EUR Euro
| (1) | Non-income producing security. |
| (2) | Represents annualized seven-day yield as of the close of the reporting period. |
| (3) | Principal amount calculated is less than EUR 0.5. |
The accompanying notes are an integral part of this Schedule of Investments.
Open Futures Contracts
| | | | | | | | | | | | | | | | | | |
Number of Contracts Purchased | | Reference Entity | | Counterparty | | Expiration Date | | Notional
Amount | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
| 30 | | S&P 500 E-mini Future | | Morgan Stanley | | Sep. 2021 | | $ | 6,404,209 | | | $ | 6,432,750 | | | $ | 28,541 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | $ | 28,541 | |
| | | | | | | | | | | | | | | | | | |
Bridge Builder Small/Mid Cap Growth Fund
Schedule of Investments
June 30, 2021
| | | | | | | | |
| | | Shares | | | Value | |
COMMON STOCKS – 98.51% | | | | | | | | |
Communication Services – 4.61% | | | | | | | | |
Altice USA, Inc. - Class A(1) | | | 10,760 | | | $ | 367,346 | |
AMC Networks, Inc. - Class A(1) | | | 5,484 | | | | 366,331 | |
Anterix, Inc.(1) | | | 1,219 | | | | 73,128 | |
Bandwidth, Inc. - Class A(1) | | | 8,633 | | | | 1,190,663 | |
Cable One, Inc. | | | 205 | | | | 392,126 | |
Cardlytics, Inc.(1) | | | 12,018 | | | | 1,525,445 | |
Cargurus, Inc. - Class A(1) | | | 35,072 | | | | 919,939 | |
Cars.com, Inc.(1) | | | 3,659 | | | | 52,433 | |
Chicken Soup For The Soul Entertainment, Inc. - Class A(1) | | | 1,147 | | | | 47,486 | |
Cincinnati Bell, Inc.(1) | | | 6,092 | | | | 93,939 | |
Cinemark Holdings, Inc.(1) | | | 34,270 | | | | 752,227 | |
Clear Channel Outdoor Holdings, Inc. - Class A(1) | | | 12,195 | | | | 32,195 | |
Cogent Communications Holdings, Inc. | | | 16,072 | | | | 1,235,776 | |
CuriosityStream, Inc.(1) | | | 1,691 | | | | 23,065 | |
Digital Media Solutions, Inc. - Class A(1) | | | 515 | | | | 4,985 | |
Electronic Arts, Inc. | | | 34,539 | | | | 4,967,744 | |
Eventbrite, Inc. - Class A(1) | | | 29,209 | | | | 554,971 | |
EverQuote, Inc. - Class A(1) | | | 6,963 | | | | 227,551 | |
fuboTV, Inc.(1) | | | 49,358 | | | | 1,584,885 | |
Globalstar, Inc.(1) | | | 195,532 | | | | 348,047 | |
Gogo, Inc.(1) | | | 1,686 | | | | 19,187 | |
IAC/InterActiveCorp(1) | | | 34,307 | | | | 5,289,110 | |
IDT Corp. - Class B(1) | | | 5,616 | | | | 207,567 | |
iHeartMedia, Inc. - Class A(1) | | | 18,914 | | | | 509,354 | |
IMAX Corp.(1) | | | 1,824 | | | | 39,216 | |
Iridium Communications, Inc.(1) | | | 33,937 | | | | 1,357,141 | |
John Wiley & Sons, Inc. - Class A | | | 325,714 | | | | 19,601,469 | |
Liberty Media Corp.-Liberty Braves - Class A(1) | | | 3,529 | | | | 99,588 | |
Liberty Media Corp.-Liberty Braves - Class C(1) | | | 14,404 | | | | 399,999 | |
Liberty TripAdvisor Holdings, Inc. - Class A(1) | | | 20,985 | | | | 85,409 | |
Live Nation Entertainment, Inc.(1) | | | 83,762 | | | | 7,336,714 | |
LiveXLive Media, Inc.(1) | | | 19,666 | | | | 92,824 | |
Loral Space & Communications, Inc. | | | 4,711 | | | | 183,022 | |
Madison Square Garden Sports Corp. - Class A(1) | | | 513 | | | | 88,528 | |
Magnite, Inc.(1) | | | 39,556 | | | | 1,338,575 | |
Match Group, Inc.(1) | | | 373,780 | | | | 60,272,025 | |
MDC Partners, Inc. - Class A(1) | | | 2,645 | | | | 15,473 | |
MediaAlpha, Inc. - Class A(1) | | | 7,015 | | | | 295,332 | |
Meredith Corp.(1) | | | 9,444 | | | | 410,247 | |
National CineMedia, Inc. | | | 1,932 | | | | 9,795 | |
New York Times Co. - Class A | | | 500,357 | | | | 21,790,547 | |
Nexstar Media Group, Inc. - Class A | | | 216 | | | | 31,942 | |
Ooma, Inc.(1) | | | 4,674 | | | | 88,152 | |
ORBCOMM, Inc.(1) | | | 27,606 | | | | 310,291 | |
Pinterest, Inc. - Class A(1) | | | 39,442 | | | | 3,113,946 | |
Playtika Holding Corp.(1) | | | 5,432 | | | | 129,499 | |
QuinStreet, Inc.(1) | | | 18,321 | | | | 340,404 | |
Roku, Inc. - Class A(1) | | | 96,099 | | | | 44,133,466 | |
| | | | | | | | |
| | | Shares | | | Value | |
Shenandoah Telecommunications Co. | | | 5,988 | | | | 290,478 | |
Sinclair Broadcast Group, Inc. - Class A | | | 2,914 | | | | 96,803 | |
Skillz, Inc. - Class A(1) | | | 21,126 | | | | 458,857 | |
Spotify Technology SA(1) | | | 9,879 | | | | 2,722,554 | |
Take-Two Interactive Software, Inc.(1) | | | 42,054 | | | | 7,444,399 | |
TechTarget, Inc.(1) | | | 9,436 | | | | 731,196 | |
Thryv Holdings, Inc.(1) | | | 1,948 | | | | 69,680 | |
TripAdvisor, Inc.(1) | | | 4,325 | | | | 174,298 | |
Twitter, Inc.(1) | | | 5,880 | | | | 404,603 | |
Vimeo, Inc.(1) | | | 28,708 | | | | 1,406,692 | |
Warner Music Group Corp. - Class A | | | 118,481 | | | | 4,270,055 | |
WideOpenWest, Inc.(1) | | | 12,272 | | | | 254,153 | |
World Wrestling Entertainment, Inc. - Class A | | | 2,763 | | | | 159,950 | |
Yelp, Inc. - Class A(1) | | | 25,532 | | | | 1,020,259 | |
Zillow Group, Inc. - Class A(1) | | | 4,280 | | | | 524,428 | |
Zillow Group, Inc. - Class C(1) | | | 11,870 | | | | 1,450,751 | |
ZoomInfo Technologies, Inc. - Class A(1) | | | 280,141 | | | | 14,614,956 | |
Zynga, Inc. - Class A(1) | | | 5,348,010 | | | | 56,849,346 | |
| | | | | | | | |
Total Communication Services | | | | | | | 275,292,562 | |
| | | | | | | | |
Consumer Discretionary – 12.34% | | | | | | | | |
1-800-Flowers.com, Inc. - Class A(1) | | | 267,105 | | | | 8,512,636 | |
2U, Inc.(1) | | | 22,374 | | | | 932,325 | |
Abercrombie & Fitch Co. - Class A(1) | | | 2,028 | | | | 94,160 | |
Accel Entertainment, Inc. - Class A(1) | | | 20,341 | | | | 241,448 | |
Acushnet Holdings Corp. | | | 3,822 | | | | 188,807 | |
Adient Plc(1) | | | 4,544 | | | | 205,389 | |
Advance Auto Parts, Inc. | | | 232,000 | | | | 47,592,480 | |
American Axle & Manufacturing Holdings, Inc.(1) | | | 20,954 | | | | 216,874 | |
American Eagle Outfitters, Inc. | | | 57,208 | | | | 2,147,016 | |
America’s Car-Mart, Inc.(1) | | | 1,906 | | | | 270,118 | |
AMMO, Inc.(1) | | | 24,420 | | | | 239,072 | |
Aptiv Plc(1) | | | 204,871 | | | | 32,232,354 | |
Arcimoto, Inc.(1) | | | 10,127 | | | | 174,083 | |
Arko Corp.(1) | | | 7,236 | | | | 66,499 | |
Asbury Automotive Group, Inc.(1) | | | 7,316 | | | | 1,253,743 | |
At Home Group, Inc.(1) | | | 24,907 | | | | 917,574 | |
Aterian, Inc.(1) | | | 7,369 | | | | 107,808 | |
| | | | | | | | |
| | | Shares | | | Value | |
AutoZone, Inc.(1) | | | 339 | | | | 505,863 | |
Bally’s Corp.(1) | | | 12,040 | | | | 651,484 | |
Bed Bath & Beyond, Inc.(1) | | | 4,654 | | | | 154,932 | |
Best Buy Co., Inc. | | | 4,126 | | | | 474,407 | |
BJ’s Restaurants, Inc.(1) | | | 7,712 | | | | 378,968 | |
Blink Charging Co.(1) | | | 14,021 | | | | 577,245 | |
Bloomin’ Brands, Inc.(1) | | | 32,807 | | | | 890,382 | |
Boot Barn Holdings, Inc.(1) | | | 10,652 | | | | 895,301 | |
Boyd Gaming Corp.(1) | | | 1,262 | | | | 77,600 | |
Bright Horizons Family Solutions, Inc.(1) | | | 90,129 | | | | 13,258,877 | |
Brinker International, Inc.(1) | | | 16,749 | | | | 1,035,926 | |
Brunswick Corp. | | | 716 | | | | 71,328 | |
Buckle, Inc. | | | 10,424 | | | | 518,594 | |
Burlington Stores, Inc.(1) | | | 133,083 | | | | 42,851,395 | |
Caesars Entertainment, Inc.(1) | | | 8,888 | | | | 922,130 | |
Caleres, Inc. | | | 13,789 | | | | 376,302 | |
Camping World Holdings, Inc. - Class A | | | 15,762 | | | | 646,084 | |
Canoo, Inc.(1) | | | 13,386 | | | | 133,057 | |
CarMax, Inc.(1) | | | 1,006 | | | | 129,925 | |
CarParts.com, Inc.(1) | | | 17,534 | | | | 356,992 | |
Carriage Services, Inc. - Class A | | | 1,263 | | | | 46,693 | |
Carvana Co. - Class A(1) | | | 5,584 | | | | 1,685,363 | |
Casper Sleep, Inc.(1) | | | 10,815 | | | | 89,116 | |
Cavco Industries, Inc.(1) | | | 2,390 | | | | 531,034 | |
Century Casinos, Inc.(1) | | | 10,126 | | | | 135,992 | |
Century Communities, Inc. | | | 7,148 | | | | 475,628 | |
Cheesecake Factory, Inc.(1) | | | 16,537 | | | | 895,975 | |
Chegg, Inc.(1) | | | 489,335 | | | | 40,668,632 | |
Chewy, Inc. - Class A(1) | | | 126,270 | | | | 10,064,982 | |
Chico’s FAS, Inc.(1) | | | 10,439 | | | | 68,689 | |
Children’s Place, Inc.(1) | | | 5,222 | | | | 485,959 | |
Chipotle Mexican Grill, Inc. - Class A(1) | | | 23,647 | | | | 36,660,890 | |
Choice Hotels International, Inc. | | | 2,491 | | | | 296,080 | |
Churchill Downs, Inc. | | | 2,641 | | | | 523,605 | |
Chuy’s Holdings, Inc.(1) | | | 3,455 | | | | 128,733 | |
Citi Trends, Inc.(1) | | | 3,313 | | | | 288,231 | |
Clarus Corp. | | | 9,327 | | | | 239,704 | |
Columbia Sportswear Co. | | | 175 | | | | 17,213 | |
| | | | | | | | |
| | | Shares | | | Value | |
Core-Mark Holding Co., Inc. | | | 5,327 | | | | 239,768 | |
Cracker Barrel Old Country Store, Inc. | | | 8,943 | | | | 1,327,678 | |
Crocs, Inc.(1) | | | 24,227 | | | | 2,822,930 | |
Dana, Inc. | | | 30,077 | | | | 714,630 | |
Darden Restaurants, Inc. | | | 6,441 | | | | 940,322 | |
Dave & Buster’s Entertainment, Inc.(1) | | | 7,367 | | | | 299,100 | |
Deckers Outdoor Corp.(1) | | | 272 | | | | 104,467 | |
Denny’s Corp.(1) | | | 19,185 | | | | 316,361 | |
Designer Brands, Inc. - Class A(1) | | | 22,275 | | | | 368,651 | |
Dine Brands Global, Inc.(1) | | | 6,015 | | | | 536,839 | |
Dollar Tree, Inc.(1) | | | 58,226 | | | | 5,793,487 | |
Domino’s Pizza, Inc. | | | 19,862 | | | | 9,265,424 | |
DoorDash, Inc. - Class A(1) | | | 5,368 | | | | 957,275 | |
Dorman Products, Inc.(1) | | | 10,107 | | | | 1,047,793 | |
DR Horton, Inc. | | | 10,025 | | | | 905,959 | |
DraftKings, Inc. - Class A(1) | | | 190,798 | | | | 9,953,932 | |
Drive Shack, Inc.(1) | | | 14,920 | | | | 49,385 | |
Duluth Holdings, Inc. - Class B(1) | | | 4,614 | | | | 95,279 | |
Escalade, Inc. | | | 1,191 | | | | 27,333 | |
Esports Technologies, Inc.(1) | | | 807 | | | | 16,995 | |
Etsy, Inc.(1) | | | 9,170 | | | | 1,887,553 | |
Everi Holdings, Inc.(1) | | | 30,975 | | | | 772,516 | |
Expedia Group, Inc.(1) | | | 10,219 | | | | 1,672,952 | |
Farfetch Ltd. - Class A(1) | | | 218,686 | | | | 11,013,027 | |
Fisker, Inc.(1) | | | 54,806 | | | | 1,056,660 | |
Five Below, Inc.(1) | | | 4,032 | | | | 779,265 | |
Floor & Decor Holdings, Inc. - Class A(1) | | | 68,921 | | | | 7,284,950 | |
Fox Factory Holding Corp.(1) | | | 78,083 | | | | 12,154,400 | |
Franchise Group, Inc. | | | 1,519 | | | | 53,575 | |
Frontdoor, Inc.(1) | | | 4,170 | | | | 207,749 | |
Full House Resorts, Inc.(1) | | | 12,228 | | | | 121,546 | |
Funko, Inc. - Class A(1) | | | 9,859 | | | | 209,800 | |
GameStop Corp. - Class A(1) | | | 4,246 | | | | 909,238 | |
GAN Ltd.(1) | | | 1,638 | | | | 26,929 | |
Garmin Ltd. | | | 32,788 | | | | 4,742,456 | |
Gentherm, Inc.(1) | | | 254,927 | | | | 18,112,563 | |
Golden Entertainment, Inc.(1) | | | 6,290 | | | | 281,792 | |
Golden Nugget Online Gaming, Inc.(1) | | | 11,717 | | | | 149,509 | |
| | | | | | | | |
| | | Shares | | | Value | |
GoPro, Inc. - Class A(1) | | | 46,228 | | | | 538,556 | |
Green Brick Partners, Inc.(1) | | | 3,176 | | | | 72,222 | |
Greenlane Holdings, Inc. - Class A(1) | | | 6,635 | | | | 29,658 | |
Groupon, Inc. - Class A(1) | | | 7,373 | | | | 318,219 | |
GrowGeneration Corp.(1) | | | 20,632 | | | | 992,399 | |
Guess?, Inc. | | | 2,081 | | | | 54,938 | |
H&R Block, Inc. | | | 10,497 | | | | 246,470 | |
Hamilton Beach Brands Holding Co. - Class A | | | 1,122 | | | | 24,987 | |
Hanesbrands, Inc. | | | 14,887 | | | | 277,940 | |
Haverty Furniture Companies, Inc. | | | 2,718 | | | | 116,222 | |
Helen of Troy Ltd.(1) | | | 76,627 | | | | 17,480,151 | |
Hibbett Sports, Inc.(1) | | | 4,991 | | | | 447,343 | |
Hilton Grand Vacations, Inc.(1) | | | 32,420 | | | | 1,341,864 | |
Hilton Worldwide Holdings, Inc.(1) | | | 13,323 | | | | 1,607,020 | |
Hooker Furniture Corp. | | | 614 | | | | 21,269 | |
Houghton Mifflin Harcourt Co.(1) | | | 44,233 | | | | 488,332 | |
Installed Building Products, Inc. | | | 8,996 | | | | 1,100,751 | |
International Game Technology Plc(1) | | | 36,945 | | | | 885,202 | |
iRobot Corp.(1) | | | 9,376 | | | | 875,625 | |
Jack in the Box, Inc. | | | 1,137 | | | | 126,707 | |
JOANN, Inc. | | | 4,402 | | | | 69,331 | |
Johnson Outdoors, Inc. - Class A | | | 1,226 | | | | 148,346 | |
KB Home | | | 5,880 | | | | 239,434 | |
Kirkland’s, Inc.(1) | | | 5,245 | | | | 120,006 | |
Kontoor Brands, Inc. | | | 19,597 | | | | 1,105,467 | |
Kura Sushi USA, Inc. - Class A(1) | | | 1,280 | | | | 48,653 | |
L Brands, Inc. | | | 9,765 | | | | 703,666 | |
Latham Group, Inc.(1) | | | 8,369 | | | | 267,473 | |
LCI Industries | | | 9,191 | | | | 1,207,881 | |
Leslie’s, Inc.(1) | | | 1,166,886 | | | | 32,077,696 | |
LGI Homes, Inc.(1) | | | 8,348 | | | | 1,351,875 | |
Lindblad Expeditions Holdings, Inc.(1) | | | 11,256 | | | | 180,209 | |
Liquidity Services, Inc.(1) | | | 9,794 | | | | 249,257 | |
Lithia Motors, Inc. - Class A | | | 189 | | | | 64,948 | |
Lordstown Motors Corp. - Class A(1) | | | 3,921 | | | | 43,366 | |
Lovesac Co.(1) | | | 4,744 | | | | 378,524 | |
Lululemon Athletica, Inc.(1) | | | 48,592 | | | | 17,734,622 | |
Malibu Boats, Inc. - Class A(1) | | | 7,679 | | | | 563,101 | |
| | | | | | | | |
| | | Shares | | | Value | |
Marine Products Corp. | | | 3,207 | | | | 49,516 | |
MarineMax, Inc.(1) | | | 4,108 | | | | 200,224 | |
MasterCraft Boat Holdings, Inc.(1) | | | 7,059 | | | | 185,581 | |
Mattel, Inc.(1) | | | 24,991 | | | | 502,319 | |
MDC Holdings, Inc. | | | 6,363 | | | | 321,968 | |
Meritage Homes Corp.(1) | | | 761 | | | | 71,595 | |
Modine Manufacturing Co.(1) | | | 2,329 | | | | 38,638 | |
Monarch Casino & Resort, Inc.(1) | | | 3,864 | | | | 255,681 | |
Monro, Inc. | | | 7,945 | | | | 504,587 | |
Murphy USA, Inc. | | | 9,266 | | | | 1,235,806 | |
Nathan’s Famous, Inc. | | | 669 | | | | 47,713 | |
National Vision Holdings, Inc.(1) | | | 240,947 | | | | 12,319,620 | |
Nautilus, Inc.(1) | | | 2,996 | | | | 50,483 | |
NEOGAMES SA(1) | | | 2,056 | | | | 126,382 | |
Noodles & Co. - Class A(1) | | | 15,101 | | | | 188,460 | |
Nordstrom, Inc.(1) | | | 6,684 | | | | 244,434 | |
NVR, Inc.(1) | | | 158 | | | | 785,781 | |
Ollie’s Bargain Outlet Holdings, Inc.(1) | | | 162,135 | | | | 13,640,418 | |
ONE Group Hospitality, Inc.(1) | | | 7,324 | | | | 80,710 | |
OneSpaWorld Holdings Ltd.(1) | | | 9,748 | | | | 94,458 | |
OneWater Marine, Inc. - Class A | | | 3,827 | | | | 160,849 | |
O’Reilly Automotive, Inc.(1) | | | 1,513 | | | | 856,676 | |
Overstock.com, Inc.(1) | | | 16,188 | | | | 1,492,534 | |
Oxford Industries, Inc. | | | 556 | | | | 54,955 | |
Papa John’s International, Inc. | | | 55,889 | | | | 5,837,047 | |
Party City Holdco, Inc.(1) | | | 40,934 | | | | 381,914 | |
Patrick Industries, Inc. | | | 8,411 | | | | 614,003 | |
Peloton Interactive, Inc. - Class A(1) | | | 197,365 | | | | 24,477,207 | |
Penn National Gaming, Inc.(1) | | | 710 | | | | 54,308 | |
Petco Health & Wellness Co., Inc. - Class A(1) | | | 363 | | | | 8,135 | |
PetMed Express, Inc. | | | 6,240 | | | | 198,744 | |
Planet Fitness, Inc. - Class A(1) | | | 139,122 | | | | 10,468,930 | |
PlayAGS, Inc.(1) | | | 10,398 | | | | 102,940 | |
PLBY Group, Inc.(1) | | | 4,003 | | | | 155,677 | |
Polaris, Inc. | | | 2,873 | | | | 393,486 | |
Pool Corp. | | | 13,192 | | | | 6,050,643 | |
Porch Group, Inc.(1) | | | 5,834 | | | | 112,830 | |
PulteGroup, Inc. | | | 5,488 | | | | 299,480 | |
| | | | | | | | |
| | | Shares | | | Value | |
Purple Innovation, Inc. - Class A(1) | | | 18,566 | | | | 490,328 | |
QuantumScape Corp. - Class A(1) | | | 5,960 | | | | 174,390 | |
Quotient Technology, Inc.(1) | | | 32,773 | | | | 354,276 | |
Ralph Lauren Corp. - Class A | | | 44,421 | | | | 5,233,238 | |
RCI Hospitality Holdings, Inc. | | | 3,086 | | | | 204,293 | |
RealReal, Inc.(1) | | | 29,015 | | | | 573,336 | |
Red Robin Gourmet Burgers, Inc.(1) | | | 5,808 | | | | 192,303 | |
Red Rock Resorts, Inc. - Class A(1) | | | 23,489 | | | | 998,282 | |
Regis Corp.(1) | | | 7,792 | | | | 72,933 | |
Rent-A-Center, Inc. | | | 22,832 | | | | 1,211,694 | |
Revolve Group, Inc. - Class A(1) | | | 120,027 | | | | 8,269,860 | |
RH(1) | | | 1,250 | | | | 848,750 | |
Rocky Brands, Inc. | | | 208 | | | | 11,565 | |
Rush Street Interactive, Inc.(1) | | | 19,154 | | | | 234,828 | |
Ruth’s Hospitality Group, Inc.(1) | | | 12,459 | | | | 286,931 | |
Sally Beauty Holdings, Inc.(1) | | | 42,570 | | | | 939,520 | |
Scientific Games Corp.(1) | | | 36,016 | | | | 2,789,079 | |
SeaWorld Entertainment, Inc.(1) | | | 10,502 | | | | 524,470 | |
Shake Shack, Inc. - Class A(1) | | | 14,073 | | | | 1,506,092 | |
Shift Technologies, Inc.(1) | | | 4,440 | | | | 38,095 | |
Shoe Carnival, Inc. | | | 3,066 | | | | 219,495 | |
Shutterstock, Inc. | | | 8,875 | | | | 871,259 | |
Signet Jewelers Ltd.(1) | | | 15,313 | | | | 1,237,137 | |
Six Flags Entertainment Corp.(1) | | | 2,128 | | | | 92,100 | |
Skechers USA, Inc. - Class A(1) | | | 1,060 | | | | 52,820 | |
Skyline Champion Corp.(1) | | | 19,911 | | | | 1,061,256 | |
Sleep Number Corp.(1) | | | 4,294 | | | | 472,125 | |
Smith & Wesson Brands, Inc. | | | 19,658 | | | | 682,133 | |
Sonos, Inc.(1) | | | 45,226 | | | | 1,593,312 | |
Sportsman’s Warehouse Holdings, Inc.(1) | | | 16,091 | | | | 285,937 | |
Stamps.com, Inc.(1) | | | 4,444 | | | | 890,089 | |
Steven Madden Ltd. | | | 348,150 | | | | 15,235,044 | |
Stitch Fix, Inc. - Class A(1) | | | 22,172 | | | | 1,336,972 | |
Stoneridge, Inc.(1) | | | 1,407 | | | | 41,506 | |
Stride, Inc.(1) | | | 811 | | | | 26,057 | |
Sturm Ruger & Co., Inc. | | | 5,902 | | | | 531,062 | |
Superior Group of Companies, Inc. | | | 1,103 | | | | 26,373 | |
Tapestry, Inc.(1) | | | 2,012 | | | | 87,482 | |
| | | | | | | | |
| | | Shares | | | Value | |
Target Hospitality Corp.(1) | | | 20,480 | | | | 75,981 | |
Taylor Morrison Home Corp. - Class A(1) | | | 5,566 | | | | 147,054 | |
Tempur Sealy International, Inc. | | | 13,456 | | | | 527,341 | |
Tenneco, Inc. - Class A(1) | | | 23,959 | | | | 462,888 | |
Terminix Global Holdings, Inc.(1) | | | 449,030 | | | | 21,423,221 | |
Texas Roadhouse, Inc. - Class A | | | 163,136 | | | | 15,693,683 | |
Thor Industries, Inc. | | | 1,556 | | | | 175,828 | |
Toll Brothers, Inc. | | | 3,284 | | | | 189,848 | |
TopBuild Corp.(1) | | | 1,959 | | | | 387,451 | |
Tractor Supply Co. | | | 171,336 | | | | 31,878,776 | |
Travel + Leisure Co. | | | 4,044 | | | | 240,416 | |
TRI Pointe Group, Inc.(1) | | | 3,276 | | | | 70,205 | |
Ulta Beauty, Inc.(1) | | | 90,145 | | | | 31,169,437 | |
Urban Outfitters, Inc.(1) | | | 17,842 | | | | 735,447 | |
Vail Resorts, Inc.(1) | | | 2,907 | | | | 920,124 | |
VF Corp. | | | 15,107 | | | | 1,239,378 | |
Visteon Corp.(1) | | | 10,523 | | | | 1,272,652 | |
Vivint Smart Home, Inc.(1) | | | 9,021 | | | | 119,077 | |
Vroom, Inc.(1) | | | 2,073 | | | | 86,776 | |
Vuzix Corp.(1) | | | 21,710 | | | | 398,379 | |
Wayfair, Inc. - Class A(1) | | | 116,594 | | | | 36,809,892 | |
Wendy’s Co. | | | 12,829 | | | | 300,455 | |
Williams-Sonoma, Inc. | | | 4,083 | | | | 651,851 | |
Wingstop, Inc. | | | 58,564 | | | | 9,231,443 | |
Winmark Corp. | | | 423 | | | | 81,250 | |
Winnebago Industries, Inc. | | | 11,990 | | | | 814,840 | |
Wolverine World Wide, Inc. | | | 31,011 | | | | 1,043,210 | |
Workhorse Group, Inc.(1) | | | 4,142 | | | | 68,716 | |
WW International, Inc.(1) | | | 5,918 | | | | 213,877 | |
Wyndham Hotels & Resorts, Inc. | | | 4,152 | | | | 300,148 | |
Wynn Resorts Ltd.(1) | | | 7,706 | | | | 942,444 | |
XL Fleet Corp.(1) | | | 1,791 | | | | 14,919 | |
XPEL, Inc.(1) | | | 6,626 | | | | 555,723 | |
YETI Holdings, Inc.(1) | | | 127,124 | | | | 11,672,526 | |
Yum China Holdings, Inc. | | | 2,350 | | | | 155,688 | |
Yum! Brands, Inc. | | | 1,801 | | | | 207,169 | |
| | | | | | | | |
Total Consumer Discretionary | | | | | | | 737,060,782 | |
| | | | | | | | |
| | | | | | | | |
| | | Shares | | | Value | |
Consumer Staples – 4.79% | | | | | | | | |
22nd Century Group, Inc.(1) | | | 55,976 | | | | 259,169 | |
AppHarvest, Inc.(1) | | | 17,642 | | | | 282,272 | |
Beauty Health Co.(1) | | | 15,664 | | | | 263,155 | |
BellRing Brands, Inc. - Class A(1) | | | 10,554 | | | | 330,762 | |
Beyond Meat, Inc.(1) | | | 3,607 | | | | 568,066 | |
BJ’s Wholesale Club Holdings, Inc.(1) | | | 38,381 | | | | 1,826,168 | |
Boston Beer, Inc. - Class A(1) | | | 9,255 | | | | 9,447,504 | |
Brown-Forman Corp. - Class A | | | 1,700 | | | | 119,850 | |
Brown-Forman Corp. - Class B | | | 6,470 | | | | 484,862 | |
Calavo Growers, Inc. | | | 148,637 | | | | 9,426,559 | |
Celsius Holdings, Inc.(1) | | | 17,099 | | | | 1,301,063 | |
Central Garden & Pet Co. - Class A(1) | | | 1,276 | | | | 67,539 | |
Central Garden & Pet Co. - Class A(1) | | | 5,923 | | | | 286,081 | |
Church & Dwight Co., Inc. | | | 258,457 | | | | 22,025,706 | |
Clorox Co. | | | 197,229 | | | | 35,483,469 | |
Coca-Cola Consolidated, Inc. | | | 1,736 | | | | 698,098 | |
Darling Ingredients, Inc.(1) | | | 614 | | | | 41,445 | |
Duckhorn Portfolio, Inc.(1) | | | 4,906 | | | | 108,226 | |
elf Beauty, Inc.(1) | | | 17,854 | | | | 484,558 | |
Energizer Holdings, Inc. | | | 25,918 | | | | 1,113,956 | |
Freshpet, Inc.(1) | | | 3,007 | | | | 490,021 | |
Herbalife Nutrition Ltd.(1) | | | 1,267 | | | | 66,809 | |
Hershey Co. | | | 224,621 | | | | 39,124,486 | |
Honest Co., Inc.(1) | | | 6,358 | | | | 102,936 | |
Hormel Foods Corp. | | | 367,000 | | | | 17,524,250 | |
Inter Parfums, Inc. | | | 111,401 | | | | 8,020,872 | |
J&J Snack Foods Corp. | | | 5,602 | | | | 977,045 | |
J.M. Smucker Co. | | | 278,500 | | | | 36,085,245 | |
John B Sanfilippo & Son, Inc. | | | 2,240 | | | | 198,397 | |
Kellogg Co. | | | 7,989 | | | | 513,932 | |
Laird Superfood, Inc.(1) | | | 1,612 | | | | 48,150 | |
Lamb Weston Holdings, Inc. | | | 312,099 | | | | 25,173,905 | |
Lancaster Colony Corp. | | | 51,118 | | | | 9,891,844 | |
Limoneira Co. | | | 1,815 | | | | 31,853 | |
McCormick & Co., Inc. | | | 255,000 | | | | 22,521,600 | |
MedAvail Holdings, Inc.(1) | | | 4,243 | | | | 51,977 | |
Medifast, Inc. | | | 4,384 | | | | 1,240,584 | |
MGP Ingredients, Inc. | | | 59,986 | | | | 4,057,453 | |
| | | | | | | | |
| | | Shares | | | Value | |
Mission Produce, Inc.(1) | | | 1,670 | | | | 34,586 | |
Molson Coors Beverage Co. - Class B(1) | | | 450,000 | | | | 24,160,500 | |
Monster Beverage Corp.(1) | | | 29,228 | | | | 2,669,978 | |
National Beverage Corp. | | | 8,649 | | | | 408,492 | |
NewAge, Inc.(1) | | | 28,591 | | | | 63,758 | |
Nu Skin Enterprises, Inc. - Class A | | | 8,194 | | | | 464,190 | |
Performance Food Group Co.(1) | | | 49,645 | | | | 2,407,286 | |
Pilgrim’s Pride Corp.(1) | | | 1,861 | | | | 41,277 | |
PriceSmart, Inc. | | | 619 | | | | 56,335 | |
Revlon, Inc. - Class A(1) | | | 114 | | | | 1,464 | |
Sanderson Farms, Inc. | | | 6,426 | | | | 1,207,895 | |
Simply Good Foods Co.(1) | | | 1,931 | | | | 70,501 | |
Sprouts Farmers Market, Inc.(1) | | | 19,394 | | | | 481,941 | |
Tattooed Chef, Inc.(1) | | | 17,193 | | | | 368,790 | |
The Andersons, Inc. | | | 4,851 | | | | 148,101 | |
The Chefs’ Warehouse, Inc.(1) | | | 826 | | | | 26,292 | |
Turning Point Brands, Inc. | | | 5,368 | | | | 245,693 | |
United Natural Foods, Inc.(1) | | | 1,336 | | | | 49,405 | |
USANA Health Sciences, Inc.(1) | | | 4,673 | | | | 478,655 | |
Utz Brands, Inc. | | | 22,756 | | | | 495,853 | |
Vector Group Ltd. | | | 7,487 | | | | 105,866 | |
Veru, Inc.(1) | | | 16,802 | | | | 135,592 | |
Vital Farms, Inc.(1) | | | 8,927 | | | | 178,183 | |
WD-40 Co. | | | 5,131 | | | | 1,315,024 | |
| | | | | | | | |
Total Consumer Staples | | | | | | | 286,355,524 | |
| | | | | | | | |
Energy – 0.70% | | | | | | | | |
Altus Midstream Co. - Class A | | | 123 | | | | 8,304 | |
Antero Resources Corp.(1) | | | 12,973 | | | | 194,984 | |
Arch Resources, Inc.(1) | | | 1,092 | | | | 62,222 | |
Aspen Aerogels, Inc.(1) | | | 8,006 | | | | 239,539 | |
Cabot Oil & Gas Corp. | | | 126,268 | | | | 2,204,639 | |
Cactus, Inc. - Class A | | | 21,068 | | | | 773,617 | |
Callon Petroleum Co.(1) | | | 12,770 | | | | 736,701 | |
Centennial Resource Development, Inc. - Class A(1) | | | 8,940 | | | | 60,613 | |
ChampionX Corp.(1) | | | 819,853 | | | | 21,029,229 | |
Cheniere Energy, Inc.(1) | | | 16,994 | | | | 1,474,059 | |
Cimarex Energy Co. | | | 1,446 | | | | 104,763 | |
Contango Oil & Gas Co.(1) | | | 53,931 | | | | 232,982 | |
| | | | | | | | |
| | | Shares | | | Value | |
Continental Resources, Inc. | | | 488 | | | | 18,559 | |
Denbury, Inc.(1) | | | 18,992 | | | | 1,458,206 | |
Diamondback Energy, Inc. | | | 6,144 | | | | 576,860 | |
DMC Global, Inc.(1) | | | 6,834 | | | | 384,139 | |
Dorian LPG Ltd.(1) | | | 1,938 | | | | 27,365 | |
Earthstone Energy, Inc. - Class A(1) | | | 1,573 | | | | 17,413 | |
Energy Fuels, Inc.(1) | | | 44,598 | | | | 269,818 | |
Extraction Oil & Gas, Inc.(1) | | | 2,280 | | | | 125,195 | |
Falcon Minerals Corp. | | | 11,734 | | | | 59,609 | |
Frank’s International NV(1) | | | 9,072 | | | | 27,488 | |
Halliburton Co. | | | 3,390 | | | | 78,377 | |
Hess Corp. | | | 1,355 | | | | 118,319 | |
Kosmos Energy Ltd.(1) | | | 149,576 | | | | 517,533 | |
Laredo Petroleum, Inc.(1) | | | 1,280 | | | | 118,771 | |
Liberty Oilfield Services, Inc. - Class A(1) | | | 11,179 | | | | 158,295 | |
Magnolia Oil & Gas Corp. - Class A(1) | | | 53,288 | | | | 832,891 | |
Matador Resources Co. | | | 41,662 | | | | 1,500,249 | |
New Fortress Energy, Inc. - Class A | | | 1,894 | | | | 71,745 | |
NexTier Oilfield Solutions, Inc.(1) | | | 7,268 | | | | 34,596 | |
Oasis Petroleum, Inc. | | | 6,336 | | | | 637,085 | |
Occidental Petroleum Corp. | | | 7,714 | | | | 241,217 | |
Ovintiv, Inc. | | | 5,651 | | | | 177,837 | |
Par Pacific Holdings, Inc.(1) | | | 14,279 | | | | 240,173 | |
Pioneer Natural Resources Co. | | | 23,624 | | | | 3,839,372 | |
Riley Exploration Permian, Inc. | | | 399 | | | | 11,563 | |
Solaris Oilfield Infrastructure, Inc. - Class A | | | 3,429 | | | | 33,398 | |
Southwestern Energy Co.(1) | | | 254,779 | | | | 1,444,597 | |
Talos Energy, Inc.(1) | | | 2,222 | | | | 34,752 | |
Tellurian, Inc.(1) | | | 116,637 | | | | 542,362 | |
TETRA Technologies, Inc.(1) | | | 35,408 | | | | 153,671 | |
Texas Pacific Land Corp. | | | 422 | | | | 675,090 | |
Uranium Energy Corp.(1) | | | 77,815 | | | | 206,988 | |
Ur-Energy, Inc.(1) | | | 61,117 | | | | 85,564 | |
Vine Energy, Inc. - Class A(1) | | | 7,681 | | | | 119,747 | |
| | | | | | | | |
Total Energy | | | | | | | 41,960,496 | |
| | | | | | | | |
Financials – 10.31% | | | | | | | | |
Alleghany Corp.(1) | | | 106 | | | | 70,709 | |
Altabancorp | | | 1,029 | | | | 44,566 | |
| | | | | | | | |
| | | Shares | | | Value | |
Ameriprise Financial, Inc. | | | 4,728 | | | | 1,176,705 | |
AMERISAFE, Inc. | | | 100,996 | | | | 6,028,451 | |
Apollo Global Management, Inc. - Class A | | | 13,018 | | | | 809,720 | |
Arch Capital Group Ltd.(1) | | | 6,642 | | | | 258,640 | |
Ares Management Corp. - Class A | | | 8,665 | | | | 551,007 | |
Argo Group International Holdings Ltd. | | | 228,772 | | | | 11,857,253 | |
Arthur J. Gallagher & Co. | | | 305,000 | | | | 42,724,400 | |
Artisan Partners Asset Management, Inc. - Class A | | | 21,764 | | | | 1,106,047 | |
Atlanticus Holdings Corp.(1) | | | 2,041 | | | | 81,028 | |
Axos Financial, Inc.(1) | | | 2,019 | | | | 93,661 | |
Blucora, Inc.(1) | | | 7,103 | | | | 122,953 | |
Bridgewater Bancshares, Inc.(1) | | | 3,426 | | | | 55,330 | |
Brightsphere Investment Group, Inc. | | | 21,499 | | | | 503,722 | |
Brown & Brown, Inc. | | | 1,034 | | | | 54,947 | |
BRP Group, Inc. - Class A(1) | | | 17,083 | | | | 455,262 | |
Bryn Mawr Bank Corp. | | | 266,134 | | | | 11,228,193 | |
Cadence BanCorp - Class A | | | 16,180 | | | | 337,838 | |
Camden National Corp. | | | 109,344 | | | | 5,222,269 | |
Citizens Financial Group, Inc. | | | 5,418 | | | | 248,524 | |
Coastal Financial Corp.(1) | | | 2,391 | | | | 68,287 | |
Cohen & Steers, Inc. | | | 189,024 | | | | 15,516,980 | |
Columbia Banking System, Inc. | | | 513,759 | | | | 19,810,547 | |
Columbia Financial, Inc.(1) | | | 7,040 | | | | 121,229 | |
Credit Acceptance Corp.(1) | | | 56 | | | | 25,430 | |
CrossFirst Bankshares, Inc.(1) | | | 8,451 | | | | 116,201 | |
Cullen/Frost Bankers, Inc. | | | 191,500 | | | | 21,448,000 | |
Curo Group Holdings Corp. | | | 8,048 | | | | 136,816 | |
Customers Bancorp, Inc.(1) | | | 876 | | | | 34,155 | |
Discover Financial Services | | | 12,150 | | | | 1,437,224 | |
Donnelley Financial Solutions, Inc.(1) | | | 861 | | | | 28,413 | |
Eastern Bankshares, Inc. | | | 14,746 | | | | 303,325 | |
eHealth, Inc.(1) | | | 2,694 | | | | 157,330 | |
Erie Indemnity Co. - Class A | | | 1,241 | | | | 239,947 | |
Everest Re Group Ltd. | | | 173,645 | | | | 43,760,276 | |
FactSet Research Systems, Inc. | | | 2,345 | | | | 787,005 | |
FB Financial Corp. | | | 1,752 | | | | 65,385 | |
First Financial Bankshares, Inc. | | | 45,249 | | | | 2,223,083 | |
First Merchants Corp. | | | 298,772 | | | | 12,449,829 | |
| | | | | | | | |
| | | Shares | | | Value | |
First Republic Bank | | | 142,176 | | | | 26,611,082 | |
FirstCash, Inc. | | | 1,125 | | | | 85,995 | |
Five Star Bancorp(1) | | | 1,848 | | | | 44,629 | |
Focus Financial Partners, Inc. - Class A(1) | | | 19,191 | | | | 930,764 | |
GAMCO Investors, Inc. - Class A | | | 1,838 | | | | 46,134 | |
GCM Grosvenor, Inc. - Class A | | | 10,665 | | | | 111,129 | |
Glacier Bancorp, Inc. | | | 4,496 | | | | 247,640 | |
GoHealth, Inc. - Class A(1) | | | 2,923 | | | | 32,767 | |
Goosehead Insurance, Inc. - Class A | | | 1,041 | | | | 132,519 | |
Great Western Bancorp, Inc. | | | 259,840 | | | | 8,520,154 | |
Green Dot Corp. - Class A(1) | | | 1,472 | | | | 68,963 | |
Greenhill & Co., Inc. | | | 5,632 | | | | 87,634 | |
Hamilton Lane, Inc. - Class A | | | 12,627 | | | | 1,150,572 | |
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | | | 1,666 | | | | 93,546 | |
Heritage Insurance Holdings, Inc. | | | 1,110 | | | | 9,524 | |
Hingham Institution for Savings | | | 129 | | | | 37,475 | |
Houlihan Lokey, Inc. - Class A | | | 255,610 | | | | 20,906,342 | |
Investors Bancorp, Inc. | | | 29,578 | | | | 421,782 | |
Investors Title Co. | | | 115 | | | | 20,082 | |
James River Group Holdings Ltd. | | | 1,983 | | | | 74,402 | |
Kearny Financial Corp. | | | 10,269 | | | | 122,715 | |
Kinsale Capital Group, Inc. | | | 7,948 | | | | 1,309,592 | |
Lakeland Financial Corp. | | | 1,057 | | | | 65,154 | |
Lemonade, Inc.(1) | | | 285 | | | | 31,182 | |
LendingTree, Inc.(1) | | | 4,393 | | | | 930,789 | |
Lincoln National Corp. | | | 2,080 | | | | 130,707 | |
Live Oak Bancshares, Inc. | | | 11,644 | | | | 686,996 | |
LPL Financial Holdings, Inc. | | | 121,014 | | | | 16,334,470 | |
Luther Burbank Corp. | | | 2,721 | | | | 32,271 | |
Markel Corp.(1) | | | 160 | | | | 189,874 | |
MarketAxess Holdings, Inc. | | | 16,148 | | | | 7,486,051 | |
Meta Financial Group, Inc. | | | 3,396 | | | | 171,939 | |
Metrocity Bankshares, Inc. | | | 3,445 | | | | 60,322 | |
Metropolitan Bank Holding Corp.(1) | | | 637 | | | | 38,360 | |
Moelis & Co. - Class A | | | 12,584 | | | | 715,904 | |
Morningstar, Inc. | | | 1,517 | | | | 390,036 | |
MSCI, Inc. - Class A | | | 73,357 | | | | 39,105,150 | |
Nasdaq, Inc. | | | 177,604 | | | | 31,222,783 | |
| | | | | | | | |
| | | Shares | | | Value | |
NMI Holdings, Inc. - Class A(1) | | | 2,064 | | | | 46,399 | |
Northern Trust Corp. | | | 227,500 | | | | 26,303,550 | |
Open Lending Corp. - Class A(1) | | | 39,127 | | | | 1,685,982 | |
Origin Bancorp, Inc. | | | 1,389 | | | | 58,977 | |
PacWest Bancorp | | | 239,414 | | | | 9,854,280 | |
Palomar Holdings, Inc. - Class A(1) | | | 72,175 | | | | 5,446,326 | |
PennyMac Mortgage Investment Trust | | | 7,117 | | | | 149,884 | |
Piper Sandler Companies | | | 34,829 | | | | 4,512,445 | |
PJT Partners, Inc. - Class A | | | 7,563 | | | | 539,847 | |
PRA Group, Inc.(1) | | | 155,582 | | | | 5,985,240 | |
PROG Holdings, Inc. | | | 148,365 | | | | 7,140,807 | |
Prosperity Bancshares, Inc. | | | 261,000 | | | | 18,739,800 | |
Pzena Investment Management, Inc. - Class A | | | 6,528 | | | | 71,873 | |
Raymond James Financial, Inc. | | | 448 | | | | 58,195 | |
RBB Bancorp | | | 1,763 | | | | 42,700 | |
Regional Management Corp. | | | 1,414 | | | | 65,808 | |
RenaissanceRe Holdings Ltd. | | | 1,558 | | | | 231,862 | |
RLI Corp. | | | 13,684 | | | | 1,431,210 | |
Rocket Companies, Inc. - Class A | | | 9,703 | | | | 187,753 | |
Selectquote, Inc.(1) | | | 50,597 | | | | 974,498 | |
ServisFirst Bancshares, Inc. | | | 15,363 | | | | 1,044,377 | |
Silvergate Capital Corp. - Class A(1) | | | 43,743 | | | | 4,956,957 | |
Southern First Bancshares, Inc.(1) | | | 888 | | | | 45,430 | |
StepStone Group, Inc. - Class A | | | 13,776 | | | | 473,894 | |
Sterling Bancorp | | | 1,098 | | | | 27,219 | |
Stock Yards Bancorp, Inc. | | | 1,372 | | | | 69,821 | |
StoneX Group, Inc.(1) | | | 660 | | | | 40,042 | |
SVB Financial Group(1) | | | 122,154 | | | | 67,970,150 | |
Synchrony Financial | | | 7,795 | | | | 378,213 | |
Synovus Financial Corp. | | | 798 | | | | 35,016 | |
T Rowe Price Group, Inc. | | | 5,426 | | | | 1,074,185 | |
Texas Capital Bancshares, Inc.(1) | | | 7,062 | | | | 448,366 | |
Tradeweb Markets, Inc. - Class A | | | 902,662 | | | | 76,329,099 | |
Triumph Bancorp, Inc.(1) | | | 8,095 | | | | 601,054 | |
Trupanion, Inc.(1) | | | 14,216 | | | | 1,636,262 | |
UMB Financial Corp. | | | 161,249 | | | | 15,005,832 | |
Upstart Holdings, Inc.(1) | | | 880 | | | | 109,912 | |
UWM Holdings Corp. | | | 1,445 | | | | 12,210 | |
| | | | | | | | |
| | | Shares | | | Value | |
Value Line, Inc. | | | 302 | | | | 9,362 | |
Veritex Holdings, Inc. | | | 2,498 | | | | 88,454 | |
Virtus Investment Partners, Inc. | | | 2,733 | | | | 759,145 | |
Walker & Dunlop, Inc. | | | 1,363 | | | | 142,270 | |
Waterstone Financial, Inc. | | | 1,927 | | | | 37,885 | |
West Bancorporation, Inc. | | | 2,144 | | | | 59,496 | |
Western Alliance Bancorp | | | 3,799 | | | | 352,737 | |
WisdomTree Investments, Inc. | | | 38,438 | | | | 238,316 | |
| | | | | | | | |
Total Financials | | | | | | | 615,891,257 | |
| | | | | | | | |
Healthcare – 22.46% | | | | | | | | |
10X Genomics, Inc. - Class A(1) | | | 6,067 | | | | 1,188,040 | |
1Life Healthcare, Inc.(1) | | | 43,845 | | | | 1,449,516 | |
4D Molecular Therapeutics, Inc.(1) | | | 365 | | | | 8,789 | |
9 Meters Biopharma, Inc.(1) | | | 77,905 | | | | 85,696 | |
Abcam Plc - ADR(1) | | | 334,000 | | | | 6,359,360 | |
ABIOMED, Inc.(1) | | | 3,182 | | | | 993,134 | |
Acadia Healthcare Co., Inc.(1) | | | 127,339 | | | | 7,990,522 | |
ACADIA Pharmaceuticals, Inc.(1) | | | 45,173 | | | | 1,101,769 | |
Accelerate Diagnostics, Inc.(1) | | | 12,197 | | | | 98,308 | |
Acceleron Pharma, Inc.(1) | | | 3,787 | | | | 475,231 | |
Accolade, Inc.(1) | | | 19,095 | | | | 1,037,049 | |
Accuray, Inc.(1) | | | 34,646 | | | | 156,600 | |
Aclaris Therapeutics, Inc.(1) | | | 16,004 | | | | 281,030 | |
Acutus Medical, Inc.(1) | | | 5,697 | | | | 96,735 | |
Adaptive Biotechnologies Corp.(1) | | | 6,949 | | | | 283,936 | |
Addus HomeCare Corp.(1) | | | 2,406 | | | | 209,899 | |
Aduro Bioteech, Inc.(1)(5) | | | 5,254 | | | | 15,762 | |
Aerie Pharmaceuticals, Inc.(1) | | | 15,521 | | | | 248,491 | |
Affimed NV(1) | | | 42,921 | | | | 364,829 | |
Agenus, Inc.(1) | | | 72,644 | | | | 398,816 | |
Agilent Technologies, Inc. | | | 171,633 | | | | 25,369,074 | |
Agiliti, Inc.(1) | | | 8,317 | | | | 181,893 | |
agilon health, Inc.(1) | | | 3,297 | | | | 133,759 | |
Akebia Therapeutics, Inc.(1) | | | 25,488 | | | | 96,600 | |
Akero Therapeutics, Inc.(1) | | | 7,143 | | | | 177,218 | |
Akoya Biosciences, Inc.(1) | | | 2,691 | | | | 52,044 | |
Albireo Pharma, Inc.(1) | | | 4,933 | | | | 173,543 | |
Aldeyra Therapeutics, Inc.(1) | | | 17,928 | | | | 203,124 | |
| | | | | | | | |
| | | Shares | | | Value | |
Alector, Inc.(1) | | | 21,235 | | | | 442,325 | |
Align Technology, Inc.(1) | | | 67,548 | | | | 41,271,828 | |
Alignment Healthcare, Inc.(1) | | | 9,615 | | | | 224,703 | |
Aligos Therapeutics, Inc.(1) | | | 6,862 | | | | 139,882 | |
Alkermes Plc(1) | | | 60,501 | | | | 1,483,485 | |
Allakos, Inc.(1) | | | 13,174 | | | | 1,124,664 | |
Allogene Therapeutics, Inc.(1) | | | 10,078 | | | | 262,834 | |
Allovir, Inc.(1) | | | 10,817 | | | | 213,528 | |
Alnylam Pharmaceuticals, Inc.(1) | | | 8,504 | | | | 1,441,598 | |
Alphatec Holdings, Inc.(1) | | | 23,471 | | | | 359,576 | |
Alpine Immune Sciences, Inc.(1) | | | 4,237 | | | | 38,133 | |
ALX Oncology Holdings, Inc.(1) | | | 6,531 | | | | 357,115 | |
Amedisys, Inc.(1) | | | 2,036 | | | | 498,677 | |
Amicus Therapeutics, Inc.(1) | | | 99,745 | | | | 961,542 | |
AMN Healthcare Services, Inc.(1) | | | 18,012 | | | | 1,746,804 | |
Amneal Pharmaceuticals, Inc.(1) | | | 37,150 | | | | 190,208 | |
Amphastar Pharmaceuticals, Inc.(1) | | | 4,135 | | | | 83,362 | |
Ampio Pharmaceuticals, Inc.(1) | | | 70,163 | | | | 117,172 | |
Anavex Life Sciences Corp.(1) | | | 23,745 | | | | 542,811 | |
Angion Biomedica Corp.(1) | | | 2,118 | | | | 27,576 | |
Antares Pharma, Inc.(1) | | | 61,788 | | | | 269,396 | |
Apellis Pharmaceuticals, Inc.(1) | | | 24,436 | | | | 1,544,355 | |
Apollo Medical Holdings, Inc.(1) | | | 13,392 | | | | 841,152 | |
Applied Molecular Transport, Inc.(1) | | | 9,063 | | | | 414,542 | |
Applied Therapeutics, Inc.(1) | | | 4,967 | | | | 103,214 | |
Apria, Inc.(1) | | | 1,423 | | | | 39,844 | |
Apyx Medical Corp.(1) | | | 11,466 | | | | 118,214 | |
AquaBounty Technologies, Inc.(1) | | | 6,623 | | | | 35,499 | |
Arbutus Biopharma Corp.(1) | | | 2,844 | | | | 8,617 | |
Arcutis Biotherapeutics, Inc.(1) | | | 1,045 | | | | 28,518 | |
Ardelyx, Inc.(1) | | | 23,777 | | | | 180,230 | |
Arena Pharmaceuticals, Inc.(1) | | | 2,105 | | | | 143,561 | |
Argenx SE - ADR(1) | | | 113,592 | | | | 34,199,143 | |
Arrowhead Pharmaceuticals, Inc.(1) | | | 37,985 | | | | 3,145,918 | |
Arvinas, Inc.(1) | | | 16,476 | | | | 1,268,652 | |
Ascendis Pharma - ADR(1) | | | 258,970 | | | | 34,067,503 | |
Asensus Surgical, Inc.(1) | | | 27,021 | | | | 85,657 | |
Aspira Women’s Health, Inc.(1) | | | 27,059 | | | | 152,072 | |
| | | | | | | | |
| | | Shares | | | Value | |
Atara Biotherapeutics, Inc.(1) | | | 2,624 | | | | 40,803 | |
Atea Pharmaceuticals, Inc.(1) | | | 2,151 | | | | 46,203 | |
Athenex, Inc.(1) | | | 18,852 | | | | 87,096 | |
Athersys, Inc.(1) | | | 63,511 | | | | 91,456 | |
Atossa Therapeutics, Inc.(1) | | | 3,126 | | | | 19,756 | |
AtriCure, Inc.(1) | | | 16,868 | | | | 1,338,138 | |
Atrion Corp. | | | 514 | | | | 319,158 | |
Avantor, Inc.(1) | | | 42,023 | | | | 1,492,237 | |
Aveanna Healthcare Holdings, Inc.(1) | | | 14,323 | | | | 177,176 | |
Avid Bioservices, Inc.(1) | | | 22,024 | | | | 564,916 | |
Avidity Biosciences, Inc.(1) | | | 1,946 | | | | 48,086 | |
Avita Medical, Inc.(1) | | | 8,743 | | | | 179,406 | |
Axogen, Inc.(1) | | | 14,096 | | | | 304,615 | |
Axonics, Inc.(1) | | | 15,765 | | | | 999,659 | |
Axsome Therapeutics, Inc.(1) | | | 10,633 | | | | 717,302 | |
Beam Therapeutics, Inc.(1) | | | 17,642 | | | | 2,270,702 | |
Berkeley Lights, Inc.(1) | | | 18,105 | | | | 811,285 | |
Beyondspring, Inc.(1) | | | 8,186 | | | | 85,462 | |
BioAtla, Inc.(1) | | | 4,466 | | | | 189,269 | |
BioCryst Pharmaceuticals, Inc.(1) | | | 6,804 | | | | 107,571 | |
BioDelivery Sciences International, Inc.(1) | | | 33,212 | | | | 118,899 | |
Biodesix, Inc.(1) | | | 4,403 | | | | 58,164 | |
Biohaven Pharmaceutical Holding Co. Ltd.(1) | | | 13,663 | | | | 1,326,404 | |
BioLife Solutions, Inc.(1) | | | 9,014 | | | | 401,213 | |
Biomea Fusion, Inc.(1) | | | 3,120 | | | | 48,703 | |
Bionano Genomics, Inc.(1) | | | 103,689 | | | | 760,040 | |
BioNTech SE - ADR(1) | | | 80,633 | | | | 18,052,116 | |
Bio-Rad Laboratories, Inc. - Class A(1) | | | 36,000 | | | | 23,194,440 | |
Bio-Techne Corp. | | | 119,775 | | | | 53,929,891 | |
Bioventus, Inc. - Class A(1) | | | 2,656 | | | | 46,746 | |
Bioxcel Therapeutics, Inc.(1) | | | 5,575 | | | | 162,009 | |
Blueprint Medicines Corp.(1) | | | 20,528 | | | | 1,805,643 | |
Bridgebio Pharma, Inc.(1) | | | 27,193 | | | | 1,657,685 | |
Brooklyn ImmunoTherapeutics, Inc.(1) | | | 7,646 | | | | 137,704 | |
Bruker Corp. | | | 7,498 | | | | 569,698 | |
Butterfly Network, Inc.(1) | | | 11,926 | | | | 172,688 | |
C4 Therapeutics, Inc.(1) | | | 13,294 | | | | 503,045 | |
Cardinal Health, Inc. | | | 12,340 | | | | 704,491 | |
| | | | | | | | |
| | | Shares | | | Value | |
Cardiovascular Systems, Inc.(1) | | | 171,971 | | | | 7,334,563 | |
CareDx, Inc.(1) | | | 18,952 | | | | 1,734,487 | |
Cassava Sciences, Inc.(1) | | | 14,103 | | | | 1,204,960 | |
Castle Biosciences, Inc.(1) | | | 7,225 | | | | 529,809 | |
Catalent, Inc.(1) | | | 571,715 | | | | 61,813,826 | |
Celcuity, Inc.(1) | | | 2,934 | | | | 70,416 | |
Celldex Therapeutics, Inc.(1) | | | 11,360 | | | | 379,878 | |
CEL-SCI Corp.(1) | | | 11,943 | | | | 103,665 | |
Cerecor, Inc.(1) | | | 18,619 | | | | 60,884 | |
Cerevel Therapeutics Holdings, Inc.(1) | | | 12,895 | | | | 330,370 | |
Cerner Corp. | | | 50,444 | | | | 3,942,703 | |
Certara, Inc.(1) | | | 1,311 | | | | 37,141 | |
Cerus Corp.(1) | | | 61,746 | | | | 364,919 | |
Charles River Laboratories International, Inc.(1) | | | 3,391 | | | | 1,254,399 | |
Chemed Corp. | | | 298 | | | | 141,401 | |
ChemoCentryx, Inc.(1) | | | 1,426 | | | | 19,094 | |
Chimerix, Inc.(1) | | | 19,294 | | | | 154,352 | |
ChromaDex Corp.(1) | | | 17,369 | | | | 171,258 | |
ClearPoint Neuro, Inc.(1) | | | 6,978 | | | | 133,210 | |
Clene, Inc.(1) | | | 5,499 | | | | 61,809 | |
Clovis Oncology, Inc.(1) | | | 36,562 | | | | 212,060 | |
Codexis, Inc.(1) | | | 23,512 | | | | 532,782 | |
Codiak Biosciences, Inc.(1) | | | 5,726 | | | | 106,103 | |
Cogent Biosciences, Inc.(1) | | | 4,055 | | | | 32,886 | |
Coherus Biosciences, Inc.(1) | | | 25,398 | | | | 351,254 | |
Collegium Pharmaceutical, Inc.(1) | | | 13,013 | | | | 307,627 | |
Community Health Systems, Inc.(1) | | | 41,431 | | | | 639,695 | |
CONMED Corp. | | | 156,555 | | | | 21,515,354 | |
Cooper Companies, Inc. | | | 64,500 | | | | 25,559,415 | |
Corcept Therapeutics, Inc.(1) | | | 36,657 | | | | 806,454 | |
CorMedix, Inc.(1) | | | 1,674 | | | | 11,484 | |
Cortexyme, Inc.(1) | | | 7,348 | | | | 389,444 | |
CorVel Corp.(1) | | | 3,269 | | | | 439,027 | |
Crinetics Pharmaceuticals, Inc.(1) | | | 11,503 | | | | 216,832 | |
Cross Country Healthcare, Inc.(1) | | | 1,985 | | | | 32,772 | |
CryoLife, Inc.(1) | | | 12,438 | | | | 353,239 | |
CryoPort, Inc.(1) | | | 15,319 | | | | 966,629 | |
Cue Biopharma, Inc.(1) | | | 10,963 | | | | 127,719 | |
Cullinan Oncology, Inc.(1) | | | 309 | | | | 7,957 | |
CureVac NV(1) | | | 3,806 | | | | 279,665 | |
Curis, Inc.(1) | | | 27,795 | | | | 224,306 | |
| | | | | | | | |
| | | Shares | | | Value | |
Cutera, Inc.(1) | | | 6,516 | | | | 319,479 | |
Cytokinetics, Inc.(1) | | | 24,528 | | | | 485,409 | |
CytomX Therapeutics, Inc.(1) | | | 20,259 | | | | 128,239 | |
CytoSorbents Corp.(1) | | | 15,176 | | | | 114,579 | |
DaVita, Inc.(1) | | | 3,526 | | | | 424,636 | |
Deciphera Pharmaceuticals, Inc.(1) | | | 12,498 | | | | 457,552 | |
Denali Therapeutics, Inc.(1) | | | 34,088 | | | | 2,673,863 | |
Dentsply Sirona, Inc. | | | 661,000 | | | | 41,814,860 | |
DermTech, Inc.(1) | | | 8,739 | | | | 363,280 | |
Design Therapeutics, Inc.(1) | | | 2,847 | | | | 56,627 | |
DexCom, Inc.(1) | | | 130,607 | | | | 55,769,189 | |
Dicerna Pharmaceuticals, Inc.(1) | | | 26,186 | | | | 977,262 | |
Durect Corp.(1) | | | 83,612 | | | | 136,288 | |
Dynavax Technologies Corp. - Class A(1) | | | 39,814 | | | | 392,168 | |
Eagle Pharmaceuticals, Inc.(1) | | | 1,951 | | | | 83,503 | |
Eargo, Inc.(1) | | | 7,080 | | | | 282,563 | |
Edgewise Therapeutics, Inc.(1) | | | 4,504 | | | | 96,070 | |
Editas Medicine, Inc. - Class A(1) | | | 25,902 | | | | 1,467,089 | |
Edwards Lifesciences Corp.(1) | | | 433,000 | | | | 44,845,810 | |
Enanta Pharmaceuticals, Inc.(1) | | | 1,177 | | | | 51,800 | |
Encompass Health Corp. | | | 4,190 | | | | 326,946 | |
Ensign Group, Inc. | | | 19,770 | | | | 1,713,466 | |
Epizyme, Inc.(1) | | | 32,896 | | | | 273,366 | |
Esperion Therapeutics, Inc.(1) | | | 9,640 | | | | 203,886 | |
Evelo Biosciences, Inc.(1) | | | 11,306 | | | | 155,344 | |
Evolent Health, Inc. - Class A(1) | | | 5,950 | | | | 125,664 | |
Evolus, Inc.(1) | | | 11,977 | | | | 151,509 | |
Exact Sciences Corp.(1) | | | 273,887 | | | | 34,046,893 | |
Exagen, Inc.(1) | | | 1,409 | | | | 21,121 | |
Exelixis, Inc.(1) | | | 253,583 | | | | 4,620,282 | |
Fate Therapeutics, Inc.(1) | | | 30,067 | | | | 2,609,515 | |
FibroGen, Inc.(1) | | | 29,915 | | | | 796,636 | |
Finch Therapeutics Group, Inc.(1) | | | 306 | | | | 4,305 | |
Flexion Therapeutics, Inc.(1) | | | 17,633 | | | | 145,120 | |
Fluidigm Corp.(1) | | | 2,523 | | | | 15,542 | |
Foghorn Therapeutics, Inc.(1) | | | 1,110 | | | | 11,844 | |
Forian, Inc.(1) | | | 6,213 | | | | 78,097 | |
Forte Biosciences, Inc.(1) | | | 4,158 | | | | 139,792 | |
| | | | | | | | |
| | | Shares | | | Value | |
Fortress Biotech, Inc.(1) | | | 26,935 | | | | 96,158 | |
Fulgent Genetics, Inc.(1) | | | 954 | | | | 87,987 | |
G1 Therapeutics, Inc.(1) | | | 8,494 | | | | 186,358 | |
Gemini Therapeutics, Inc. - Class A(1) | | | 1,230 | | | | 7,958 | |
Generation Bio Co.(1) | | | 15,120 | | | | 406,728 | |
Genmab - ADR(1) | | | 852,501 | | | | 34,807,616 | |
Glaukos Corp.(1) | | | 16,937 | | | | 1,436,766 | |
Global Blood Therapeutics, Inc.(1) | | | 22,923 | | | | 802,763 | |
Globus Medical, Inc. - Class A(1) | | | 240,211 | | | | 18,623,559 | |
Greenwich Lifesciences, Inc.(1) | | | 1,493 | | | | 67,095 | |
GT Biopharma, Inc.(1) | | | 8,790 | | | | 136,245 | |
Guardant Health, Inc.(1) | | | 6,446 | | | | 800,529 | |
Haemonetics Corp.(1) | | | 13,020 | | | | 867,653 | |
Halozyme Therapeutics, Inc.(1) | | | 147,001 | | | | 6,675,315 | |
Hanger, Inc.(1) | | | 13,882 | | | | 350,937 | |
Harmony Biosciences Holdings, Inc.(1) | | | 8,209 | | | | 231,740 | |
Harpoon Therapeutics, Inc.(1) | | | 6,806 | | | | 94,399 | |
Harvard Bioscience, Inc.(1) | | | 12,489 | | | | 104,033 | |
Health Catalyst, Inc.(1) | | | 17,009 | | | | 944,170 | |
HealthEquity, Inc.(1) | | | 86,678 | | | | 6,975,845 | |
Heron Therapeutics, Inc.(1) | | | 34,008 | | | | 527,804 | |
Heska Corp.(1) | | | 3,659 | | | | 840,582 | |
Hologic, Inc.(1) | | | 73,839 | | | | 4,926,538 | |
Hookipa Pharma, Inc.(1) | | | 4,287 | | | | 39,269 | |
Horizon Therapeutics Plc(1) | | | 2,938 | | | | 275,114 | |
Humanigen, Inc.(1) | | | 16,468 | | | | 286,214 | |
iCAD, Inc.(1) | | | 8,133 | | | | 140,782 | |
ICON Plc(1) | | | 36,669 | | | | 7,579,849 | |
ICU Medical, Inc.(1) | | | 61,355 | | | | 12,626,859 | |
Ideaya Biosciences, Inc.(1) | | | 2,530 | | | | 53,105 | |
IDEXX Laboratories, Inc.(1) | | | 25,226 | | | | 15,931,480 | |
IGM Biosciences, Inc.(1) | | | 2,975 | | | | 247,520 | |
Illumina, Inc.(1) | | | 6,192 | | | | 2,930,116 | |
ImmunityBio, Inc.(1) | | | 2,774 | | | | 39,613 | |
ImmunoGen, Inc.(1) | | | 39,040 | | | | 257,274 | |
Immunovant, Inc.(1) | | | 8,877 | | | | 93,830 | |
Impel Neuropharma, Inc.(1) | | | 1,230 | | | | 10,885 | |
Inari Medical, Inc.(1) | | | 12,824 | | | | 1,196,223 | |
| | | | | | | | |
| | | Shares | | | Value | |
Incyte Corp.(1) | | | 11,510 | | | | 968,336 | |
Infinity Pharmaceuticals, Inc.(1) | | | 29,342 | | | | 87,733 | |
InfuSystem Holdings, Inc.(1) | | | 6,634 | | | | 137,921 | |
Inhibrx, Inc.(1) | | | 10,260 | | | | 282,355 | |
Innovage Holding Corp.(1) | | | 6,661 | | | | 141,946 | |
Innoviva, Inc.(1) | | | 2,499 | | | | 33,512 | |
Inogen, Inc.(1) | | | 7,197 | | | | 469,028 | |
Inotiv, Inc.(1) | | | 4,797 | | | | 127,984 | |
Inovalon Holdings, Inc. - Class A(1) | | | 28,581 | | | | 974,040 | |
Insmed, Inc.(1) | | | 39,035 | | | | 1,110,936 | |
Inspire Medical Systems, Inc.(1) | | | 10,082 | | | | 1,948,447 | |
Instil Bio, Inc.(1) | | | 2,925 | | | | 56,511 | |
Insulet Corp.(1) | | | 4,795 | | | | 1,316,275 | |
Integra LifeSciences Holdings Corp.(1) | | | 714,439 | | | | 48,753,317 | |
Intellia Therapeutics, Inc.(1) | | | 23,967 | | | | 3,880,497 | |
Intercept Pharmaceuticals, Inc.(1) | | | 10,416 | | | | 208,008 | |
Intersect ENT, Inc.(1) | | | 12,306 | | | | 210,310 | |
Intra-Cellular Therapies, Inc.(1) | | | 26,627 | | | | 1,086,914 | |
Invitae Corp.(1) | | | 19,695 | | | | 664,312 | |
Ionis Pharmaceuticals, Inc.(1) | | | 9,247 | | | | 368,863 | |
Iovance Biotherapeutics, Inc.(1) | | | 3,184 | | | | 82,848 | |
IQVIA Holdings, Inc.(1) | | | 6,827 | | | | 1,654,319 | |
iRadimed Corp.(1) | | | 2,321 | | | | 68,261 | |
iRhythm Technologies, Inc.(1) | | | 32,992 | | | | 2,189,019 | |
Ironwood Pharmaceuticals, Inc. - Class A(1) | | | 55,652 | | | | 716,241 | |
IVERIC bio, Inc.(1) | | | 6,577 | | | | 41,501 | |
Joint Corp.(1) | | | 5,078 | | | | 426,146 | |
Kadmon Holdings, Inc.(1) | | | 63,285 | | | | 244,913 | |
Kala Pharmaceuticals, Inc.(1) | | | 11,920 | | | | 63,176 | |
Kaleido BioSciences, Inc.(1) | | | 6,643 | | | | 49,424 | |
KalVista Pharmaceuticals, Inc.(1) | | | 7,319 | | | | 175,363 | |
Karuna Therapeutics, Inc.(1) | | | 8,403 | | | | 957,858 | |
Karyopharm Therapeutics, Inc.(1) | | | 26,423 | | | | 272,685 | |
KemPharm, Inc.(1) | | | 5,272 | | | | 67,587 | |
Keros Therapeutics, Inc.(1) | | | 5,749 | | | | 244,160 | |
Kiniksa Pharmaceuticals Ltd. - Class A(1) | | | 4,908 | | | | 68,368 | |
Kinnate Biopharma, Inc.(1) | | | 262 | | | | 6,099 | |
Kodiak Sciences, Inc.(1) | | | 12,604 | | | | 1,172,172 | |
| | | | | | | | |
| | | Shares | | | Value | |
Kronos Bio, Inc.(1) | | | 1,709 | | | | 40,931 | |
Krystal Biotech, Inc.(1) | | | 2,380 | | | | 161,840 | |
Kymera Therapeutics, Inc.(1) | | | 10,630 | | | | 515,555 | |
Landos Biopharma, Inc.(1) | | | 2,334 | | | | 26,958 | |
Lantheus Holdings, Inc.(1) | | | 3,665 | | | | 101,301 | |
LeMaitre Vascular, Inc. | | | 6,649 | | | | 405,722 | |
Lexicon Pharmaceuticals, Inc.(1) | | | 10,199 | | | | 46,813 | |
LHC Group, Inc.(1) | | | 74,234 | | | | 14,866,101 | |
Ligand Pharmaceuticals, Inc.(1) | | | 30,720 | | | | 4,030,157 | |
LivaNova Plc(1) | | | 14,926 | | | | 1,255,426 | |
Luminex Corp. | | | 17,437 | | | | 641,682 | |
MacroGenics, Inc.(1) | | | 20,837 | | | | 559,682 | |
Madrigal Pharmaceuticals, Inc.(1) | | | 4,401 | | | | 428,701 | |
Magenta Therapeutics, Inc.(1) | | | 9,792 | | | | 95,766 | |
MannKind Corp.(1) | | | 9,790 | | | | 53,355 | |
Maravai LifeSciences Holdings, Inc. - Class A(1) | | | 478,560 | | | | 19,970,309 | |
Marinus Pharmaceuticals, Inc.(1) | | | 13,637 | | | | 244,648 | |
Masimo Corp.(1) | | | 129,606 | | | | 31,422,975 | |
McKesson Corp. | | | 1,651 | | | | 315,737 | |
MEDNAX, Inc.(1) | | | 14,989 | | | | 451,918 | |
Medpace Holdings, Inc.(1) | | | 108,399 | | | | 19,146,515 | |
MEI Pharma, Inc.(1) | | | 39,603 | | | | 112,869 | |
MeiraGTx Holdings Plc(1) | | | 854 | | | | 13,237 | |
Meridian Bioscience, Inc.(1) | | | 1,759 | | | | 39,015 | |
Merit Medical Systems, Inc.(1) | | | 17,280 | | | | 1,117,325 | |
Mersana Therapeutics, Inc.(1) | | | 17,845 | | | | 242,335 | |
Mesa Laboratories, Inc. | | | 52,589 | | | | 14,260,559 | |
Mettler-Toledo International, Inc.(1) | | | 1,662 | | | | 2,302,435 | |
MiMedx Group, Inc.(1) | | | 27,439 | | | | 343,262 | |
Mind Medicine MindMed, Inc.(1) | | | 125,024 | | | | 431,333 | |
Mirati Therapeutics, Inc.(1) | | | 2,345 | | | | 378,788 | |
Mirum Pharmaceuticals, Inc.(1) | | | 662 | | | | 11,446 | |
Misonix, Inc.(1) | | | 2,475 | | | | 54,895 | |
ModivCare, Inc.(1) | | | 1,541 | | | | 262,078 | |
Molecular Templates, Inc.(1) | | | 13,569 | | | | 106,110 | |
Molina Healthcare, Inc.(1) | | | 639 | | | | 161,705 | |
Morphic Holding, Inc.(1) | | | 7,658 | | | | 439,493 | |
Multiplan Corp.(1) | | | 22,921 | | | | 218,208 | |
| | | | | | | | |
| | | Shares | | | Value | |
NanoString Technologies, Inc.(1) | | | 15,822 | | | | 1,025,107 | |
NantHealth, Inc.(1) | | | 5,717 | | | | 13,263 | |
Natera, Inc.(1) | | | 5,344 | | | | 606,704 | |
National Research Corp. | | | 5,074 | | | | 232,897 | |
Neogen Corp.(1) | | | 140,723 | | | | 6,478,887 | |
NeoGenomics, Inc.(1) | | | 42,587 | | | | 1,923,655 | |
Neoleukin Therapeutics, Inc.(1) | | | 3,098 | | | | 28,595 | |
Neurocrine Biosciences, Inc.(1) | | | 6,714 | | | | 653,406 | |
Neuronetics, Inc.(1) | | | 8,333 | | | | 133,495 | |
NeuroPace, Inc.(1) | | | 2,470 | | | | 58,761 | |
Nevro Corp.(1) | | | 12,980 | | | | 2,151,954 | |
NexImmune, Inc.(1) | | | 1,581 | | | | 25,802 | |
NGM Biopharmaceuticals, Inc.(1) | | | 1,136 | | | | 22,402 | |
Novavax, Inc.(1) | | | 5,299 | | | | 1,125,031 | |
Novocure Ltd.(1) | | | 7,407 | | | | 1,643,021 | |
Nurix Therapeutics, Inc.(1) | | | 10,517 | | | | 279,016 | |
NuVasive, Inc.(1) | | | 67,984 | | | | 4,607,956 | |
Nuvation Bio, Inc.(1) | | | 10,880 | | | | 101,293 | |
Oak Street Health, Inc.(1) | | | 6,720 | | | | 393,590 | |
Ocugen, Inc.(1) | | | 67,844 | | | | 544,787 | |
Ocular Therapeutix, Inc.(1) | | | 28,315 | | | | 401,507 | |
Olema Pharmaceuticals, Inc.(1) | | | 2,070 | | | | 57,919 | |
Omeros Corp.(1) | | | 22,168 | | | | 328,973 | |
Omnicell, Inc.(1) | | | 167,613 | | | | 25,384,989 | |
OncoCyte Corp.(1) | | | 19,943 | | | | 114,473 | |
Oncternal Therapeutics, Inc.(1)(5) | | | 207 | | | | 191 | |
Ontrak, Inc.(1) | | | 3,203 | | | | 104,033 | |
OptimizeRx Corp.(1) | | | 6,271 | | | | 388,175 | |
Oramed Pharmaceuticals, Inc.(1) | | | 9,847 | | | | 131,753 | |
Organogenesis Holdings, Inc. - Class A(1) | | | 14,059 | | | | 233,661 | |
ORIC Pharmaceuticals, Inc.(1) | | | 1,505 | | | | 26,623 | |
Ortho Clinical Diagnostics Holdings Plc(1) | | | 32,492 | | | | 695,654 | |
OrthoPediatrics Corp.(1) | | | 5,087 | | | | 321,397 | |
Outlook Therapeutics, Inc.(1) | | | 32,167 | | | | 80,096 | |
Outset Medical, Inc.(1) | | | 17,396 | | | | 869,452 | |
Owens & Minor, Inc. | | | 22,698 | | | | 960,806 | |
Oyster Point Pharma, Inc.(1) | | | 261 | | | | 4,487 | |
Pacific Biosciences of California, Inc.(1) | | | 33,474 | | | | 1,170,586 | |
| | | | | | | | |
| | | Shares | | | Value | |
Pacira BioSciences, Inc.(1) | | | 92,129 | | | | 5,590,388 | |
Paratek Pharmaceuticals, Inc.(1) | | | 16,858 | | | | 114,972 | |
Patterson Companies, Inc. | | | 8,213 | | | | 249,593 | |
PAVmed, Inc.(1) | | | 26,628 | | | | 170,419 | |
Pennant Group, Inc.(1) | | | 9,482 | | | | 387,814 | |
Penumbra, Inc.(1) | | | 2,424 | | | | 664,321 | |
Personalis, Inc.(1) | | | 1,070 | | | | 27,071 | |
PetIQ, Inc. - Class A(1) | | | 10,490 | | | | 404,914 | |
Phathom Pharmaceuticals, Inc.(1) | | | 7,429 | | | | 251,472 | |
Phibro Animal Health Corp. - Class A | | | 7,556 | | | | 218,217 | |
Phreesia, Inc.(1) | | | 14,598 | | | | 894,857 | |
Pliant Therapeutics, Inc.(1) | | | 8,118 | | | | 236,396 | |
PMV Pharmaceuticals, Inc.(1) | | | 9,627 | | | | 328,858 | |
Portage Biotech, Inc.(1) | | | 216 | | | | 4,527 | |
PPD, Inc.(1) | | | 4,704 | | | | 216,807 | |
PRA Health Sciences, Inc.(1) | | | 37,788 | | | | 6,242,955 | |
Praxis Precision Medicines, Inc.(1) | | | 753 | | | | 13,765 | |
Precigen, Inc.(1) | | | 30,544 | | | | 199,147 | |
Precision BioSciences, Inc.(1) | | | 17,588 | | | | 220,202 | |
Prelude Therapeutics, Inc.(1) | | | 3,958 | | | | 113,318 | |
Prestige Consumer Healthcare, Inc.(1) | | | 224,842 | | | | 11,714,268 | |
Privia Health Group, Inc.(1) | | | 7,187 | | | | 318,887 | |
Progyny, Inc.(1) | | | 23,722 | | | | 1,399,598 | |
Prometheus Biosciences, Inc.(1) | | | 534 | | | | 13,115 | |
Protagonist Therapeutics, Inc.(1) | | | 15,239 | | | | 683,926 | |
Prothena Corp. Plc(1) | | | 10,161 | | | | 522,377 | |
PTC Therapeutics, Inc.(1) | | | 26,601 | | | | 1,124,424 | |
Pulmonx Corp.(1) | | | 9,354 | | | | 412,698 | |
Pulse Biosciences, Inc.(1) | | | 5,195 | | | | 85,198 | |
Puma Biotechnology, Inc.(1) | | | 11,980 | | | | 109,976 | |
Quanterix Corp.(1) | | | 11,745 | | | | 688,962 | |
Quotient Ltd.(1) | | | 28,719 | | | | 104,537 | |
R1 RCM, Inc.(1) | | | 49,863 | | | | 1,108,953 | |
Radius Health, Inc.(1) | | | 17,244 | | | | 314,531 | |
RadNet, Inc.(1) | | | 16,565 | | | | 558,075 | |
Rain Therapeutics, Inc.(1) | | | 1,786 | | | | 27,754 | |
RAPT Therapeutics, Inc.(1) | | | 6,626 | | | | 210,641 | |
Reata Pharmaceuticals, Inc. - Class A(1) | | | 8,941 | | | | 1,265,420 | |
| | | | | | | | |
| | | Shares | | | Value | |
Recursion Pharmaceuticals, Inc. - Class A(1) | | | 5,159 | | | | 188,304 | |
REGENXBIO, Inc.(1) | | | 8,367 | | | | 325,058 | |
Relay Therapeutics, Inc.(1) | | | 19,219 | | | | 703,223 | |
Relmada Therapeutics, Inc.(1) | | | 5,521 | | | | 176,727 | |
Reneo Pharmaceuticals, Inc.(1) | | | 1,437 | | | | 13,407 | |
Repligen Corp.(1) | | | 86,859 | | | | 17,338,794 | |
Replimune Group, Inc.(1) | | | 6,915 | | | | 265,674 | |
ResMed, Inc. | | | 40,230 | | | | 9,917,500 | |
Retractable Technologies, Inc.(1) | | | 6,480 | | | | 74,909 | |
Revance Therapeutics, Inc.(1) | | | 26,783 | | | | 793,848 | |
REVOLUTION Medicines, Inc.(1) | | | 3,099 | | | | 98,362 | |
Rigel Pharmaceuticals, Inc.(1) | | | 63,254 | | | | 274,522 | |
Rocket Pharmaceuticals, Inc.(1) | | | 15,209 | | | | 673,607 | |
Royalty Pharma Plc - Class A | | | 14,127 | | | | 579,066 | |
Rubius Therapeutics, Inc.(1) | | | 16,634 | | | | 406,036 | |
Sage Therapeutics, Inc.(1) | | | 114,032 | | | | 6,478,158 | |
Sana Biotechnology, Inc.(1) | | | 9,241 | | | | 181,678 | |
Sangamo Therapeutics, Inc.(1) | | | 38,870 | | | | 465,274 | |
Sarepta Therapeutics, Inc.(1) | | | 5,480 | | | | 426,015 | |
Scholar Rock Holding Corp.(1) | | | 8,640 | | | | 249,696 | |
Schrodinger, Inc.(1) | | | 17,081 | | | | 1,291,494 | |
Seagen, Inc.(1) | | | 8,638 | | | | 1,363,767 | |
SeaSpine Holdings Corp.(1) | | | 5,939 | | | | 121,809 | |
Seelos Therapeutics, Inc.(1) | | | 27,556 | | | | 72,748 | |
Seer, Inc. - Class A(1) | | | 2,122 | | | | 69,559 | |
Select Medical Holdings Corp. | | | 41,555 | | | | 1,756,114 | |
Selecta Biosciences, Inc.(1) | | | 3,578 | | | | 14,956 | |
Senseonics Holdings, Inc.(1) | | | 153,123 | | | | 587,992 | |
Seres Therapeutics, Inc.(1) | | | 25,650 | | | | 611,753 | |
Sesen Bio, Inc.(1) | | | 63,016 | | | | 291,134 | |
Sharps Compliance Corp.(1) | | | 5,388 | | | | 55,496 | |
Shattuck Labs, Inc.(1) | | | 8,001 | | | | 231,949 | |
Shockwave Medical, Inc.(1) | | | 12,653 | | | | 2,400,654 | |
SI-BONE, Inc.(1) | | | 12,702 | | | | 399,732 | |
Sientra, Inc.(1) | | | 18,847 | | | | 150,022 | |
SIGA Technologies, Inc.(1) | | | 17,873 | | | | 112,242 | |
Sigilon Therapeutics, Inc.(1) | | | 138 | | | | 1,481 | |
Silk Road Medical, Inc.(1) | | | 13,011 | | | | 622,706 | |
| | | | | | | | |
| | | Shares | | | Value | |
Simulations Plus, Inc. | | | 5,619 | | | | 308,539 | |
SOC Telemed, Inc. - Class A(1) | | | 11,644 | | | | 66,254 | |
Soliton, Inc.(1) | | | 3,472 | | | | 78,085 | |
Sorrento Therapeutics, Inc.(1) | | | 93,322 | | | | 904,290 | |
Sotera Health Co.(1) | | | 5,589 | | | | 135,421 | |
Spectrum Pharmaceuticals, Inc.(1) | | | 56,974 | | | | 213,653 | |
Spero Therapeutics, Inc.(1) | | | 8,369 | | | | 116,831 | |
SpringWorks Therapeutics, Inc.(1) | | | 11,105 | | | | 915,163 | |
STAAR Surgical Co.(1) | | | 17,599 | | | | 2,683,848 | |
Stereotaxis, Inc.(1) | | | 18,368 | | | | 177,068 | |
STERIS Plc | | | 137,970 | | | | 28,463,211 | |
Stoke Therapeutics, Inc.(1) | | | 7,030 | | | | 236,630 | |
Summit Therapeutics, Inc.(1) | | | 8,183 | | | | 61,045 | |
Supernus Pharmaceuticals, Inc.(1) | | | 94,948 | | | | 2,923,449 | |
Surgery Partners, Inc.(1) | | | 12,087 | | | | 805,236 | |
Surmodics, Inc.(1) | | | 4,979 | | | | 270,111 | |
Sutro Biopharma, Inc.(1) | | | 1,197 | | | | 22,252 | |
Syndax Pharmaceuticals, Inc.(1) | | | 4,083 | | | | 70,105 | |
Syneos Health, Inc. - Class A(1) | | | 939 | | | | 84,031 | |
Syros Pharmaceuticals, Inc.(1) | | | 10,363 | | | | 56,478 | |
Tabula Rasa HealthCare, Inc.(1) | | | 8,283 | | | | 414,150 | |
Tactile Systems Technology, Inc.(1) | | | 7,048 | | | | 366,496 | |
Talaris Therapeutics, Inc.(1) | | | 2,134 | | | | 31,348 | |
Tandem Diabetes Care, Inc.(1) | | | 270,767 | | | | 26,372,706 | |
Tarsus Pharmaceuticals, Inc.(1) | | | 2,480 | | | | 71,870 | |
Taysha Gene Therapies, Inc.(1) | | | 6,745 | | | | 142,994 | |
Teladoc Health, Inc.(1) | | | 8,144 | | | | 1,354,266 | |
Teleflex, Inc. | | | 598 | | | | 240,270 | |
Tenet Healthcare Corp.(1) | | | 4,736 | | | | 317,265 | |
Terns Pharmaceuticals, Inc.(1) | | | 2,201 | | | | 26,984 | |
TG Therapeutics, Inc.(1) | | | 48,096 | | | | 1,865,644 | |
TherapeuticsMD, Inc.(1) | | | 133,174 | | | | 158,477 | |
Theravance Biopharma, Inc.(1) | | | 17,852 | | | | 259,211 | |
Tivity Health, Inc.(1) | | | 9,693 | | | | 255,023 | |
Translate Bio, Inc.(1) | | | 12,842 | | | | 353,669 | |
TransMedics Group, Inc.(1) | | | 9,591 | | | | 318,229 | |
Travere Therapeutics, Inc. - Class Preferred(1) | | | 1,434 | | | | 20,922 | |
Treace Medical Concepts, Inc.(1) | | | 3,984 | | | | 124,540 | |
| | | | | | | | |
| | | Shares | | | Value | |
Trevena, Inc.(1) | | | 20,355 | | | | 34,400 | |
Trillium Therapeutics, Inc.(1) | | | 5,531 | | | | 53,651 | |
Turning Point Therapeutics, Inc.(1) | | | 1,900 | | | | 148,238 | |
Twist Bioscience Corp.(1) | | | 17,736 | | | | 2,363,322 | |
Ultragenyx Pharmaceutical, Inc.(1) | | | 3,434 | | | | 327,432 | |
UroGen Pharma Ltd.(1) | | | 5,062 | | | | 77,297 | |
US Physical Therapy, Inc. | | | 4,960 | | | | 574,715 | |
Utah Medical Products, Inc. | | | 100 | | | | 8,504 | |
Vapotherm, Inc.(1) | | | 8,420 | | | | 199,049 | |
Varex Imaging Corp.(1) | | | 1,972 | | | | 52,889 | |
Vaxart, Inc.(1) | | | 40,027 | | | | 299,802 | |
Vaxcyte, Inc.(1) | | | 4,257 | | | | 95,825 | |
VBI Vaccines, Inc.(1) | | | 60,674 | | | | 203,258 | |
Veeva Systems, Inc. - Class A(1) | | | 299,856 | | | | 93,240,223 | |
Verastem, Inc.(1) | | | 63,854 | | | | 259,886 | |
Vericel Corp.(1) | | | 22,389 | | | | 1,175,423 | |
Verrica Pharmaceuticals, Inc.(1) | | | 4,663 | | | | 52,692 | |
Viemed Healthcare, Inc.(1) | | | 2,120 | | | | 15,158 | |
ViewRay, Inc.(1) | | | 50,348 | | | | 332,297 | |
Vincerx Pharma, Inc.(1) | | | 1,652 | | | | 21,459 | |
Vir Biotechnology, Inc.(1) | | | 22,633 | | | | 1,070,088 | |
Viracta Therapeutics, Inc.(1) | | | 2,877 | | | | 32,625 | |
VistaGen Therapeutics, Inc.(1) | | | 59,026 | | | | 185,932 | |
Vocera Communications, Inc.(1) | | | 12,620 | | | | 502,907 | |
Vor BioPharma, Inc.(1) | | | 411 | | | | 7,665 | |
Waters Corp.(1) | | | 142,136 | | | | 49,123,623 | |
WaVe Life Sciences Ltd.(1) | | | 13,786 | | | | 91,815 | |
Werewolf Therapeutics, Inc.(1) | | | 1,763 | | | | 30,747 | |
West Pharmaceutical Services, Inc. | | | 136,900 | | | | 49,160,790 | |
Xencor, Inc.(1) | | | 21,785 | | | | 751,365 | |
XOMA Corp.(1) | | | 224 | | | | 7,616 | |
Y-mAbs Therapeutics, Inc.(1) | | | 12,863 | | | | 434,769 | |
Zentalis Pharmaceuticals, Inc.(1) | | | 12,245 | | | | 651,434 | |
ZIOPHARM Oncology, Inc.(1) | | | 76,888 | | | | 202,984 | |
Zynex, Inc.(1) | | | 7,318 | | | | 113,649 | |
| | | | | | | | |
Total Healthcare | | | | | | | 1,342,103,984 | |
| | | | | | | | |
Industrials – 14.76% | | | | | | | | |
AAON, Inc. | | | 15,462 | | | | 967,767 | |
| | | | | | | | |
| | | Shares | | | Value | |
Advanced Drainage Systems, Inc. | | | 120,356 | | | | 14,029,899 | |
Advent Technologies Holdings, Inc.(1) | | | 4,514 | | | | 43,515 | |
Aerojet Rocketdyne Holdings, Inc. | | | 22,548 | | | | 1,088,843 | |
Aerovironment, Inc.(1) | | | 8,290 | | | | 830,243 | |
AGCO Corp. | | | 444 | | | | 57,889 | |
AgEagle Aerial Systems, Inc.(1) | | | 15,764 | | | | 83,076 | |
Alamo Group, Inc. | | | 3,200 | | | | 488,576 | |
Albany International Corp. - Class A | | | 173,516 | | | | 15,488,038 | |
Allegiant Travel Co. - Class A(1) | | | 5,620 | | | | 1,090,280 | |
Allegion Plc | | | 4,903 | | | | 682,988 | |
Allied Motion Technologies, Inc. | | | 4,080 | | | | 140,882 | |
Allison Transmission Holdings, Inc. | | | 5,944 | | | | 236,215 | |
Alta Equipment Group, Inc.(1) | | | 1,565 | | | | 20,799 | |
Altra Industrial Motion Corp. | | | 362,645 | | | | 23,579,178 | |
Ameresco, Inc. - Class A(1) | | | 69,716 | | | | 4,372,588 | |
AMETEK, Inc. | | | 403,000 | | | | 53,800,500 | |
Applied Industrial Technologies, Inc. | | | 14,725 | | | | 1,340,858 | |
Armstrong World Industries, Inc. | | | 1,649 | | | | 176,872 | |
Array Technologies, Inc.(1) | | | 10,977 | | | | 171,241 | |
ASGN, Inc.(1) | | | 17,124 | | | | 1,659,829 | |
Atkore, Inc.(1) | | | 17,675 | | | | 1,254,925 | |
Atlas Technical Consultants, Inc.(1) | | | 7,003 | | | | 67,789 | |
Axon Enterprise, Inc.(1) | | | 47,742 | | | | 8,440,786 | |
AZEK Co., Inc. - Class A(1) | | | 97,206 | | | | 4,127,367 | |
Babcock & Wilcox Enterprises, Inc.(1) | | | 6,275 | | | | 49,447 | |
Beacon Roofing Supply, Inc.(1) | | | 226,978 | | | | 12,086,578 | |
Beam Global(1) | | | 2,798 | | | | 107,191 | |
Bloom Energy Corp. - Class A(1) | | | 52,427 | | | | 1,408,713 | |
Blue Bird Corp.(1) | | | 2,846 | | | | 70,752 | |
BlueLinx Holdings, Inc.(1) | | | 3,333 | | | | 167,583 | |
Boise Cascade Co. | | | 3,181 | | | | 185,611 | |
Booz Allen Hamilton Holding Corp. - Class A | | | 9,740 | | | | 829,653 | |
Brink’s Co. | | | 18,333 | | | | 1,408,708 | |
BWX Technologies, Inc. | | | 5,124 | | | | 297,807 | |
Byrna Technologies, Inc.(1) | | | 3,928 | | | | 89,244 | |
CAI International, Inc. | | | 1,462 | | | | 81,872 | |
Carlisle Companies, Inc. | | | 1,409 | | | | 269,654 | |
Carrier Global Corp. | | | 29,499 | | | | 1,433,651 | |
| | | | | | | | |
| | | Shares | | | Value | |
Casella Waste Systems, Inc. - Class A(1) | | | 17,162 | | | | 1,088,586 | |
CH Robinson Worldwide, Inc. | | | 1,864 | | | | 174,601 | |
Chart Industries, Inc.(1) | | | 8,092 | | | | 1,184,021 | |
Cimpress Plc(1) | | | 6,462 | | | | 700,545 | |
Cintas Corp. | | | 6,036 | | | | 2,305,752 | |
CIRCOR International, Inc.(1) | | | 6,863 | | | | 223,734 | |
Clarivate Plc(1) | | | 1,170,000 | | | | 32,210,100 | |
Comfort Systems USA, Inc. | | | 13,519 | | | | 1,065,162 | |
Commercial Vehicle Group, Inc.(1) | | | 4,529 | | | | 48,143 | |
Construction Partners, Inc. - Class A(1) | | | 10,490 | | | | 329,386 | |
Copart, Inc.(1) | | | 15,116 | | | | 1,992,742 | |
Cornerstone Building Brands, Inc.(1) | | | 20,621 | | | | 374,890 | |
CoStar Group, Inc.(1) | | | 201,179 | | | | 16,661,645 | |
Covanta Holding Corp. | | | 44,462 | | | | 782,976 | |
CRA International, Inc. | | | 2,301 | | | | 196,966 | |
CSW Industrials, Inc. | | | 5,033 | | | | 596,209 | |
Custom Truck One Source, Inc.(1) | | | 1,877 | | | | 17,869 | |
Daseke, Inc.(1) | | | 16,067 | | | | 104,114 | |
Delta Air Lines, Inc.(1) | | | 46,223 | | | | 1,999,607 | |
Desktop Metal, Inc. - Class A(1) | | | 24,321 | | | | 279,692 | |
Donaldson Co., Inc. | | | 1,308 | | | | 83,097 | |
Douglas Dynamics, Inc. | | | 8,543 | | | | 347,615 | |
Dycom Industries, Inc.(1) | | | 9,002 | | | | 670,919 | |
Echo Global Logistics, Inc.(1) | | | 3,292 | | | | 101,196 | |
EMCOR Group, Inc. | | | 2,023 | | | | 249,213 | |
Energy Recovery, Inc.(1) | | | 15,682 | | | | 357,236 | |
Enerpac Tool Group Corp. - Class A | | | 23,296 | | | | 620,140 | |
EnerSys | | | 1,773 | | | | 173,275 | |
Eos Energy Enterprises, Inc.(1) | | | 6,473 | | | | 116,255 | |
Equifax, Inc. | | | 3,324 | | | | 796,131 | |
ESCO Technologies, Inc. | | | 771 | | | | 72,328 | |
EVI Industries, Inc.(1) | | | 2,093 | | | | 59,441 | |
Evoqua Water Technologies Corp.(1) | | | 43,555 | | | | 1,471,288 | |
ExOne Co.(1) | | | 442 | | | | 9,565 | |
Expeditors International of Washington, Inc. | | | 8,796 | | | | 1,113,574 | |
Exponent, Inc. | | | 19,422 | | | | 1,732,637 | |
Fastenal Co. | | | 36,833 | | | | 1,915,316 | |
Federal Signal Corp. | | | 22,895 | | | | 921,066 | |
| | | | | | | | |
| | | Shares | | | Value | |
Forrester Research, Inc.(1) | | | 5,514 | | | | 252,541 | |
Fortive Corp. | | | 1,207,676 | | | | 84,223,324 | |
Fortune Brands Home & Security, Inc. | | | 2,529 | | | | 251,914 | |
Forward Air Corp. | | | 10,399 | | | | 933,310 | |
Franklin Covey Co.(1) | | | 4,992 | | | | 161,491 | |
Franklin Electric Co., Inc. | | | 17,383 | | | | 1,401,417 | |
Frontier Group Holdings, Inc.(1) | | | 12,550 | | | | 213,852 | |
FTC Solar, Inc.(1) | | | 6,802 | | | | 90,535 | |
FuelCell Energy, Inc.(1) | | | 92,377 | | | | 822,155 | |
Generac Holdings, Inc.(1) | | | 207,369 | | | | 86,089,240 | |
Gibraltar Industries, Inc.(1) | | | 3,459 | | | | 263,956 | |
Global Industrial Co. | | | 3,660 | | | | 134,359 | |
Gorman-Rupp Co. | | | 1,327 | | | | 45,702 | |
Graco, Inc. | | | 78,433 | | | | 5,937,378 | |
GrafTech International Ltd. | | | 55,451 | | | | 644,341 | |
H&E Equipment Services, Inc. | | | 12,081 | | | | 401,935 | |
Harsco Corp.(1) | | | 12,280 | | | | 250,758 | |
Healthcare Services Group, Inc. | | | 14,624 | | | | 461,680 | |
HEICO Corp. | | | 1,024 | | | | 142,766 | |
HEICO Corp. - Class A | | | 45,883 | | | | 5,697,751 | |
Heidrick & Struggles International, Inc. | | | 3,213 | | | | 143,139 | |
Helios Technologies, Inc. | | | 11,916 | | | | 930,044 | |
Herc Holdings, Inc.(1) | | | 9,531 | | | | 1,068,139 | |
Heritage-Crystal Clean, Inc.(1) | | | 2,303 | | | | 68,353 | |
Hillenbrand, Inc. | | | 15,972 | | | | 704,046 | |
HireQuest, Inc. | | | 1,697 | | | | 31,411 | |
HNI Corp. | | | 1,920 | | | | 84,422 | |
Howmet Aerospace, Inc.(1) | | | 2,082 | | | | 71,767 | |
Huron Consulting Group, Inc.(1) | | | 977 | | | | 48,020 | |
Hydrofarm Holdings Group, Inc.(1) | | | 4,144 | | | | 244,952 | |
Hyliion Holdings Corp.(1) | | | 8,296 | | | | 96,648 | |
HyreCar, Inc.(1) | | | 6,539 | | | | 136,796 | |
IAA, Inc.(1) | | | 61,014 | | | | 3,327,704 | |
IDEX Corp. | | | 175,327 | | | | 38,580,706 | |
IES Holdings, Inc.(1) | | | 3,217 | | | | 165,225 | |
Infrastructure & Energy Alternatives, Inc.(1) | | | 3,285 | | | | 42,245 | |
Ingersoll Rand, Inc.(1) | | | 742,574 | | | | 36,245,037 | |
Insperity, Inc. | | | 13,737 | | | | 1,241,413 | |
| | | | | | | | |
| | | Shares | | | Value | |
Insteel Industries, Inc. | | | 618 | | | | 19,869 | |
Interface, Inc. - Class A | | | 5,383 | | | | 82,360 | |
JB Hunt Transport Services, Inc. | | | 24,142 | | | | 3,933,939 | |
JELD-WEN Holding, Inc.(1) | | | 12,438 | | | | 326,622 | |
John Bean Technologies Corp. | | | 11,765 | | | | 1,677,924 | |
Kadant, Inc. | | | 4,421 | | | | 778,494 | |
Kansas City Southern | | | 1,736 | | | | 491,930 | |
Karat Packaging, Inc.(1) | | | 1,717 | | | | 34,975 | |
KBR, Inc. | | | 46,479 | | | | 1,773,174 | |
Kforce, Inc. | | | 7,709 | | | | 485,127 | |
Kornit Digital Ltd.(1) | | | 83,464 | | | | 10,377,079 | |
Kratos Defense & Security Solutions, Inc.(1) | | | 224,241 | | | | 6,388,626 | |
Landstar System, Inc. | | | 61,422 | | | | 9,705,904 | |
Lawson Products, Inc.(1) | | | 1,738 | | | | 93,000 | |
Lincoln Electric Holdings, Inc. | | | 4,202 | | | | 553,445 | |
Lindsay Corp. | | | 3,823 | | | | 631,865 | |
Luxfer Holdings Plc | | | 4,422 | | | | 98,390 | |
Lydall, Inc.(1) | | | 2,946 | | | | 178,292 | |
Lyft, Inc. - Class A(1) | | | 402,879 | | | | 24,366,122 | |
Macquarie Infrastructure Corp. | | | 7,957 | | | | 304,514 | |
Masonite International Corp.(1) | | | 9,320 | | | | 1,041,883 | |
McGrath RentCorp | | | 6,094 | | | | 497,088 | |
Mercury Systems, Inc.(1) | | | 81,279 | | | | 5,387,172 | |
Meritor, Inc.(1) | | | 21,814 | | | | 510,884 | |
Meta Materials, Inc.(1) | | | 22,660 | | | | 169,723 | |
Middleby Corp.(1) | | | 1,189 | | | | 206,006 | |
Miller Industries, Inc. | | | 135 | | | | 5,324 | |
Montrose Environmental Group, Inc.(1) | | | 9,371 | | | | 502,848 | |
MSA Safety, Inc. | | | 748 | | | | 123,854 | |
MSC Industrial Direct Co., Inc. - Class A | | | 186,722 | | | | 16,754,565 | |
Mueller Industries, Inc. | | | 8,040 | | | | 348,212 | |
Mueller Water Products, Inc. - Class A | | | 3,562 | | | | 51,364 | |
MYR Group, Inc.(1) | | | 4,611 | | | | 419,232 | |
Navistar International Corp.(1) | | | 3,121 | | | | 138,885 | |
Nikola Corp.(1) | | | 75,394 | | | | 1,361,616 | |
Nordson Corp. | | | 131,723 | | | | 28,914,516 | |
NV5 Global, Inc.(1) | | | 1,181 | | | | 111,616 | |
Old Dominion Freight Line, Inc. | | | 6,812 | | | | 1,728,886 | |
| | | | | | | | |
| | | Shares | | | Value | |
Omega Flex, Inc. | | | 1,148 | | | | 168,423 | |
PAE, Inc.(1) | | | 32,021 | | | | 284,987 | |
PAM Transportation Services, Inc.(1) | | | 135 | | | | 7,121 | |
Parker-Hannifin Corp. | | | 1,534 | | | | 471,107 | |
PGT Innovations, Inc.(1) | | | 10,230 | | | | 237,643 | |
Pitney Bowes, Inc. | | | 26,481 | | | | 232,238 | |
Plug Power, Inc.(1) | | | 36,317 | | | | 1,241,678 | |
Primoris Services Corp. | | | 313,989 | | | | 9,240,696 | |
Proto Labs, Inc.(1) | | | 1,629 | | | | 149,542 | |
Raven Industries, Inc. | | | 13,636 | | | | 788,843 | |
RBC Bearings, Inc.(1) | | | 123,883 | | | | 24,704,748 | |
Rekor Systems, Inc.(1) | | | 13,242 | | | | 134,539 | |
Resideo Technologies, Inc.(1) | | | 6,336 | | | | 190,080 | |
REV Group, Inc. | | | 1,686 | | | | 26,453 | |
Rexnord Corp. | | | 23,220 | | | | 1,161,929 | |
Robert Half International, Inc. | | | 6,898 | | | | 613,715 | |
Rockwell Automation, Inc. | | | 103,084 | | | | 29,484,086 | |
Rollins, Inc. | | | 15,421 | | | | 527,398 | |
Romeo Power, Inc.(1) | | | 12,048 | | | | 98,071 | |
Saia, Inc.(1) | | | 9,936 | | | | 2,081,493 | |
Shoals Technologies Group, Inc. - Class A(1) | | | 158,415 | | | | 5,623,733 | |
Shyft Group, Inc. | | | 12,760 | | | | 477,352 | |
Simpson Manufacturing Co., Inc. | | | 125,813 | | | | 13,894,788 | |
SiteOne Landscape Supply, Inc.(1) | | | 46,279 | | | | 7,833,184 | |
SP Plus Corp.(1) | | | 8,606 | | | | 263,258 | |
Spirit AeroSystems Holdings, Inc. - Class A | | | 2,197 | | | | 103,676 | |
SPX Corp.(1) | | | 13,856 | | | | 846,324 | |
SPX FLOW, Inc. | | | 1,313 | | | | 85,660 | |
Stem, Inc.(1) | | | 23,089 | | | | 831,435 | |
Sterling Construction Co., Inc.(1) | | | 2,209 | | | | 53,303 | |
Sun Country Airlines Holdings, Inc.(1) | | | 6,482 | | | | 239,899 | |
Teledyne Technologies, Inc.(1) | | | 55,496 | | | | 23,243,390 | |
Tennant Co. | | | 6,771 | | | | 540,664 | |
Terex Corp. | | | 25,917 | | | | 1,234,168 | |
Tetra Tech, Inc. | | | 20,165 | | | | 2,460,937 | |
Textainer Group Holdings Ltd.(1) | | | 2,462 | | | | 83,142 | |
Titan International, Inc.(1) | | | 3,221 | | | | 27,314 | |
Toro Co. | | | 299,810 | | | | 32,943,123 | |
| | | | | | | | |
| | | Shares | | | Value | |
TPI Composites, Inc.(1) | | | 13,193 | | | | 638,805 | |
Trane Technologies Plc | | | 8,427 | | | | 1,551,748 | |
Transcat, Inc.(1) | | | 2,711 | | | | 153,199 | |
TransDigm Group, Inc.(1) | | | 1,090 | | | | 705,546 | |
TransUnion | | | 259,712 | | | | 28,518,975 | |
Trex Co., Inc.(1) | | | 152,244 | | | | 15,560,859 | |
TriNet Group, Inc.(1) | | | 15,707 | | | | 1,138,443 | |
TuSimple Holdings, Inc. - Class A(1) | | | 294 | | | | 20,945 | |
UFP Industries, Inc. | | | 20,083 | | | | 1,492,970 | |
UniFirst Corp. | | | 54,396 | | | | 12,763,477 | |
United Rentals, Inc.(1) | | | 1,801 | | | | 574,537 | |
Universal Logistics Holdings, Inc. | | | 2,459 | | | | 57,295 | |
Upwork, Inc.(1) | | | 43,673 | | | | 2,545,699 | |
US Ecology, Inc.(1) | | | 1,472 | | | | 55,229 | |
Verisk Analytics, Inc. - Class A | | | 147,447 | | | | 25,761,940 | |
Vertiv Holdings Co. - Class A | | | 20,184 | | | | 551,023 | |
Viad Corp.(1) | | | 7,488 | | | | 373,277 | |
Vicor Corp.(1) | | | 8,038 | | | | 849,938 | |
Virgin Galactic Holdings, Inc.(1) | | | 9,484 | | | | 436,264 | |
Wabash National Corp. | | | 1,890 | | | | 30,240 | |
Watts Water Technologies, Inc. - Class A | | | 5,602 | | | | 817,388 | |
Welbilt, Inc.(1) | | | 49,230 | | | | 1,139,675 | |
Werner Enterprises, Inc. | | | 2,681 | | | | 119,358 | |
WESCO International, Inc.(1) | | | 2,973 | | | | 305,684 | |
Willdan Group, Inc.(1) | | | 3,327 | | | | 125,228 | |
Willis Lease Finance Corp.(1) | | | 113 | | | | 4,843 | |
WillScot Mobile Mini Holdings Corp. - Class A(1) | | | 70,328 | | | | 1,960,041 | |
WW Grainger, Inc. | | | 2,801 | | | | 1,226,838 | |
XPO Logistics, Inc.(1) | | | 5,761 | | | | 805,906 | |
Xylem, Inc. | | | 8,596 | | | | 1,031,176 | |
Yellow Corp.(1) | | | 1,544 | | | | 10,051 | |
| | | | | | | | |
Total Industrials | | | | | | | 882,056,973 | |
| | | | | | | | |
Information Technology – 24.97% | | | | | | | | |
3D Systems Corp.(1) | | | 41,721 | | | | 1,667,588 | |
8x8, Inc.(1) | | | 138,941 | | | | 3,857,002 | |
908 Devices, Inc.(1) | | | 2,663 | | | | 103,191 | |
A10 Networks, Inc.(1) | | | 18,754 | | | | 211,170 | |
ACI Worldwide, Inc.(1) | | | 44,195 | | | | 1,641,402 | |
| | | | | | | | |
| | | Shares | | | Value | |
ADTRAN, Inc. | | | 1,410 | | | | 29,117 | |
Advanced Energy Industries, Inc. | | | 14,474 | | | | 1,631,365 | |
Agilysys, Inc.(1) | | | 6,316 | | | | 359,191 | |
Akoustis Technologies, Inc.(1) | | | 16,117 | | | | 172,613 | |
Alarm.com Holdings, Inc.(1) | | | 17,774 | | | | 1,505,458 | |
Alkami Technology, Inc.(1) | | | 2,354 | | | | 83,967 | |
Allegro MicroSystems, Inc.(1) | | | 3,667 | | | | 101,576 | |
Alpha & Omega Semiconductor Ltd.(1) | | | 6,473 | | | | 196,714 | |
Altair Engineering, Inc. - Class A(1) | | | 189,414 | | | | 13,063,884 | |
Alteryx, Inc. - Class A(1) | | | 4,220 | | | | 363,004 | |
Ambarella, Inc.(1) | | | 13,166 | | | | 1,403,891 | |
American Software, Inc. - Class A | | | 219,656 | | | | 4,823,646 | |
Amkor Technology, Inc. | | | 7,910 | | | | 187,230 | |
Amphenol Corp. - Class A | | | 30,139 | | | | 2,061,809 | |
Anaplan, Inc.(1) | | | 345,082 | | | | 18,392,871 | |
ANSYS, Inc.(1) | | | 13,687 | | | | 4,750,210 | |
Appfolio, Inc. - Class A(1) | | | 6,884 | | | | 972,021 | |
Appian Corp. - Class A(1) | | | 14,740 | | | | 2,030,435 | |
Arista Networks, Inc.(1) | | | 79,632 | | | | 28,851,470 | |
Arlo Technologies, Inc.(1) | | | 30,322 | | | | 205,280 | |
Asana, Inc. - Class A(1) | | | 899,507 | | | | 55,796,419 | |
Aspen Technology, Inc.(1) | | | 32,388 | | | | 4,454,646 | |
Atlassian Corp. Plc - Class A(1) | | | 258,448 | | | | 66,384,953 | |
Atomera, Inc.(1) | | | 7,539 | | | | 161,636 | |
Avalara, Inc.(1) | | | 6,173 | | | | 998,791 | |
Avaya Holdings Corp.(1) | | | 30,623 | | | | 823,759 | |
Avid Technology, Inc.(1) | | | 13,387 | | | | 524,101 | |
Axcelis Technologies, Inc.(1) | | | 12,335 | | | | 498,581 | |
Badger Meter, Inc. | | | 11,157 | | | | 1,094,725 | |
Benefitfocus, Inc.(1) | | | 6,939 | | | | 97,840 | |
Bentley Systems, Inc. - Class B | | | 9,666 | | | | 626,164 | |
BigCommerce Holdings, Inc.(1) | | | 243,348 | | | | 15,798,152 | |
Bill.com Holdings, Inc.(1) | | | 74,994 | | | | 13,737,401 | |
Blackbaud, Inc.(1) | | | 18,207 | | | | 1,394,110 | |
Blackline, Inc.(1) | | | 20,166 | | | | 2,243,871 | |
BM Technologies, Inc.(1) | | | 132 | | | | 1,642 | |
Bottomline Technologies DE, Inc.(1) | | | 2,805 | | | | 104,009 | |
Box, Inc. - Class A(1) | | | 55,177 | | | | 1,409,772 | |
| | | | | | | | |
| | | Shares | | | Value | |
Brightcove, Inc.(1) | | | 14,945 | | | | 214,461 | |
Broadridge Financial Solutions, Inc. | | | 7,630 | | | | 1,232,474 | |
Brooks Automation, Inc. | | | 40,139 | | | | 3,824,444 | |
BTRS Holdings, Inc.(1) | | | 17,442 | | | | 220,118 | |
C3.ai, Inc. - Class A(1) | | | 353 | | | | 22,073 | |
Cadence Design Systems, Inc.(1) | | | 95,969 | | | | 13,130,479 | |
CalAmp Corp.(1) | | | 13,001 | | | | 165,373 | |
Calix, Inc.(1) | | | 17,197 | | | | 816,858 | |
Cambium Networks Corp.(1) | | | 3,321 | | | | 160,570 | |
Cantaloupe, Inc.(1) | | | 21,561 | | | | 255,713 | |
Casa Systems, Inc.(1) | | | 11,813 | | | | 104,781 | |
Cass Information Systems, Inc. | | | 1,075 | | | | 43,806 | |
CDK Global, Inc. | | | 1,323 | | | | 65,740 | |
CDW Corp. | | | 10,148 | | | | 1,772,348 | |
Cerence, Inc.(1) | | | 14,229 | | | | 1,518,377 | |
Ceridian HCM Holding, Inc.(1) | | | 250,323 | | | | 24,010,982 | |
CEVA, Inc.(1) | | | 8,291 | | | | 392,164 | |
ChannelAdvisor Corp.(1) | | | 7,644 | | | | 187,354 | |
Ciena Corp.(1) | | | 73,607 | | | | 4,187,502 | |
Citrix Systems, Inc. | | | 3,159 | | | | 370,456 | |
Clearfield, Inc.(1) | | | 4,243 | | | | 158,900 | |
Cloudera, Inc.(1) | | | 52,207 | | | | 828,003 | |
Cloudflare, Inc. - Class A(1) | | | 17,150 | | | | 1,815,156 | |
CMC Materials, Inc. | | | 10,956 | | | | 1,651,507 | |
Cognex Corp. | | | 264,870 | | | | 22,262,324 | |
Coherent, Inc.(1) | | | 1,574 | | | | 416,071 | |
Cohu, Inc.(1) | | | 15,408 | | | | 566,860 | |
CommScope Holding Co., Inc.(1) | | | 14,376 | | | | 306,353 | |
CommVault Systems, Inc.(1) | | | 15,979 | | | | 1,249,078 | |
Cornerstone OnDemand, Inc.(1) | | | 23,814 | | | | 1,228,326 | |
Corning, Inc. | | | 18,786 | | | | 768,347 | |
Corsair Gaming, Inc.(1) | | | 10,119 | | | | 336,862 | |
Coupa Software, Inc.(1) | | | 13,613 | | | | 3,568,103 | |
Crowdstrike Holdings, Inc. - Class A(1) | | | 11,585 | | | | 2,911,426 | |
CSG Systems International, Inc. | | | 5,641 | | | | 266,142 | |
CTS Corp. | | | 2,633 | | | | 97,842 | |
CyberArk Software Ltd.(1) | | | 30,984 | | | | 4,036,286 | |
Datadog, Inc. - Class A(1) | | | 330,546 | | | | 34,403,228 | |
| | | | | | | | |
| | | Shares | | | Value | |
Diebold Nixdorf, Inc.(1) | | | 27,480 | | | | 352,843 | |
Digimarc Corp.(1) | | | 4,667 | | | | 156,345 | |
Digital Turbine, Inc.(1) | | | 31,645 | | | | 2,405,969 | |
DigitalOcean Holdings, Inc.(1) | | | 4,484 | | | | 249,266 | |
Diodes, Inc.(1) | | | 12,787 | | | | 1,020,019 | |
DocuSign, Inc. - Class A(1) | | | 31,177 | | | | 8,716,154 | |
Domo, Inc. - Class B(1) | | | 10,467 | | | | 846,048 | |
DoubleVerify Holdings, Inc.(1) | | | 1,075 | | | | 45,516 | |
Dropbox, Inc. - Class A(1) | | | 21,859 | | | | 662,546 | |
Duck Creek Technologies, Inc.(1) | | | 308,507 | | | | 13,423,140 | |
Dynatrace, Inc.(1) | | | 12,430 | | | | 726,161 | |
DZS, Inc.(1) | | | 2,817 | | | | 58,453 | |
Eastman Kodak Co.(1) | | | 15,931 | | | | 132,546 | |
eGain Corp.(1) | | | 3,576 | | | | 41,052 | |
Elastic NV(1) | | | 4,904 | | | | 714,807 | |
EMCORE Corp.(1) | | | 2,217 | | | | 20,441 | |
Endava Plc - ADR(1) | | | 92,058 | | | | 10,437,536 | |
Enphase Energy, Inc.(1) | | | 9,551 | | | | 1,753,850 | |
Entegris, Inc. | | | 121,625 | | | | 14,956,226 | |
Envestnet, Inc.(1) | | | 109,227 | | | | 8,285,960 | |
EPAM Systems, Inc.(1) | | | 3,893 | | | | 1,989,167 | |
Euronet Worldwide, Inc.(1) | | | 2,565 | | | | 347,173 | |
Everbridge, Inc.(1) | | | 2,696 | | | | 366,872 | |
EVERTEC, Inc. | | | 22,987 | | | | 1,003,383 | |
Evo Payments, Inc. - Class A(1) | | | 18,249 | | | | 506,227 | |
ExlService Holdings, Inc.(1) | | | 172,071 | | | | 18,284,264 | |
Extreme Networks, Inc.(1) | | | 48,584 | | | | 542,197 | |
Fabrinet(1) | | | 12,088 | | | | 1,158,877 | |
Fair Isaac Corp.(1) | | | 2,028 | | | | 1,019,435 | |
FARO Technologies, Inc.(1) | | | 3,400 | | | | 264,418 | |
FireEye, Inc.(1) | | | 244,453 | | | | 4,942,840 | |
Five9, Inc.(1) | | | 28,284 | | | | 5,187,003 | |
FleetCor Technologies, Inc.(1) | | | 1,345 | | | | 344,401 | |
FormFactor, Inc.(1) | | | 25,156 | | | | 917,188 | |
Fortinet, Inc.(1) | | | 32,222 | | | | 7,674,958 | |
Gartner, Inc.(1) | | | 6,068 | | | | 1,469,670 | |
Genpact Ltd. | | | 677 | | | | 30,756 | |
Global Payments, Inc. | | | 410,819 | | | | 77,044,995 | |
| | | | | | | | |
| | | Shares | | | Value | |
Globant SA(1) | | | 2,789 | | | | 611,293 | |
GoDaddy, Inc. - Class A(1) | | | 1,242 | | | | 108,004 | |
GreenBox POS(1) | | | 6,541 | | | | 78,034 | |
GreenSky, Inc. - Class A(1) | | | 26,668 | | | | 148,007 | |
Grid Dynamics Holdings, Inc.(1) | | | 11,339 | | | | 170,425 | |
Guidewire Software, Inc.(1) | | | 25,940 | | | | 2,923,957 | |
Hackett Group, Inc. | | | 8,744 | | | | 157,567 | |
Harmonic, Inc.(1) | | | 6,566 | | | | 55,942 | |
HP, Inc. | | | 31,510 | | | | 951,287 | |
HubSpot, Inc.(1) | | | 127,334 | | | | 74,200,068 | |
I3 Verticals, Inc. - Class A(1) | | | 7,616 | | | | 230,156 | |
IBEX Holdings Ltd.(1) | | | 4,924 | | | | 96,116 | |
Ichor Holdings Ltd.(1) | | | 6,759 | | | | 363,634 | |
Identiv, Inc.(1) | | | 7,162 | | | | 121,754 | |
II-VI, Inc.(1) | | | 36,419 | | | | 2,643,655 | |
Impinj, Inc.(1) | | | 6,928 | | | | 357,416 | |
Infinera Corp.(1) | | | 65,972 | | | | 672,914 | |
Inseego Corp.(1) | | | 6,659 | | | | 67,189 | |
Insight Enterprises, Inc.(1) | | | 4,781 | | | | 478,148 | |
Intelligent Systems Corp.(1) | | | 2,700 | | | | 84,942 | |
InterDigital, Inc. | | | 4,571 | | | | 333,820 | |
International Money Express, Inc.(1) | | | 11,777 | | | | 174,888 | |
IPG Photonics Corp.(1) | | | 92,346 | | | | 19,463,766 | |
Iteris, Inc.(1) | | | 15,793 | | | | 105,023 | |
Itron, Inc.(1) | | | 13,714 | | | | 1,371,126 | |
J2 Global, Inc.(1) | | | 16,280 | | | | 2,239,314 | |
Jabil, Inc. | | | 8,237 | | | | 478,734 | |
Jack Henry & Associates, Inc. | | | 1,386 | | | | 226,625 | |
Jamf Holding Corp.(1) | | | 3,195 | | | | 107,256 | |
JFrog Ltd.(1) | | | 235,834 | | | | 10,735,164 | |
Keysight Technologies, Inc.(1) | | | 5,934 | | | | 916,269 | |
Kimball Electronics, Inc.(1) | | | 591 | | | | 12,848 | |
Kopin Corp.(1) | | | 28,770 | | | | 235,339 | |
Kulicke & Soffa Industries, Inc. | | | 23,064 | | | | 1,411,517 | |
Lattice Semiconductor Corp.(1) | | | 596,584 | | | | 33,516,089 | |
Littelfuse, Inc. | | | 30,465 | | | | 7,762,177 | |
LivePerson, Inc.(1) | | | 24,081 | | | | 1,522,882 | |
Luna Innovations, Inc.(1) | | | 11,467 | | | | 124,188 | |
| | | | | | | | |
| | | Shares | | | Value | |
MACOM Technology Solutions Holdings, Inc.(1) | | | 18,509 | | | | 1,186,057 | |
Manhattan Associates, Inc.(1) | | | 139,816 | | | | 20,250,949 | |
Marathon Digital Holdings, Inc.(1) | | | 2,111 | | | | 66,222 | |
Maxim Integrated Products, Inc. | | | 18,372 | | | | 1,935,674 | |
MAXIMUS, Inc. | | | 23,244 | | | | 2,044,775 | |
MaxLinear, Inc. - Class A(1) | | | 26,503 | | | | 1,126,112 | |
McAfee Corp. - Class A | | | 2,522 | | | | 70,666 | |
Medallia, Inc.(1) | | | 1,469,507 | | | | 49,595,861 | |
Microchip Technology, Inc. | | | 65,421 | | | | 9,796,141 | |
MicroStrategy, Inc. - Class A(1) | | | 2,949 | | | | 1,959,611 | |
MicroVision, Inc.(1) | | | 59,741 | | | | 1,000,662 | |
Mimecast Ltd.(1) | | | 21,987 | | | | 1,166,410 | |
Mitek Systems, Inc.(1) | | | 15,569 | | | | 299,859 | |
MKS Instruments, Inc. | | | 3,348 | | | | 595,777 | |
Model N, Inc.(1) | | | 11,753 | | | | 402,775 | |
Momentive Global, Inc.(1) | | | 48,664 | | | | 1,025,350 | |
MongoDB, Inc. - Class A(1) | | | 3,836 | | | | 1,386,791 | |
Monolithic Power Systems, Inc. | | | 3,220 | | | | 1,202,509 | |
Napco Security Technologies, Inc.(1) | | | 5,384 | | | | 195,816 | |
National Instruments Corp. | | | 85,775 | | | | 3,626,567 | |
nCino, Inc.(1) | | | 106,715 | | | | 6,394,363 | |
NCR Corp.(1) | | | 3,109 | | | | 141,802 | |
NetApp, Inc. | | | 10,590 | | | | 866,474 | |
New Relic, Inc.(1) | | | 257,928 | | | | 17,273,438 | |
Nice Ltd. - ADR(1) | | | 34,798 | | | | 8,611,113 | |
nLight, Inc.(1) | | | 15,693 | | | | 569,342 | |
NortonLifeLock, Inc. | | | 10,471 | | | | 285,021 | |
Novanta, Inc.(1) | | | 13,241 | | | | 1,784,357 | |
Nuance Communications, Inc.(1) | | | 7,765 | | | | 422,727 | |
Nutanix, Inc. - Class A(1) | | | 13,826 | | | | 528,430 | |
NVE Corp. | | | 1,677 | | | | 124,182 | |
Okta, Inc. - Class A(1) | | | 126,979 | | | | 31,069,222 | |
ON Semiconductor Corp.(1) | | | 16,835 | | | | 644,444 | |
ON24, Inc.(1) | | | 2,159 | | | | 76,601 | |
OneSpan, Inc.(1) | | | 12,974 | | | | 331,356 | |
Onto Innovation, Inc.(1) | | | 259,218 | | | | 18,933,283 | |
OSI Systems, Inc.(1) | | | 666 | | | | 67,692 | |
Ouster, Inc.(1) | | | 10,658 | | | | 133,118 | |
| | | | | | | | |
| | | Shares | | | Value | |
PagerDuty, Inc.(1) | | | 30,426 | | | | 1,295,539 | |
Palantir Technologies, Inc. - Class A(1) | | | 117,191 | | | | 3,089,155 | |
Palo Alto Networks, Inc.(1) | | | 122,025 | | | | 45,277,376 | |
PAR Technology Corp.(1) | | | 8,761 | | | | 612,744 | |
Paya Holdings, Inc. - Class A(1) | | | 30,105 | | | | 331,757 | |
Paychex, Inc. | | | 20,321 | | | | 2,180,443 | |
Paycom Software, Inc.(1) | | | 3,676 | | | | 1,336,116 | |
Paylocity Holding Corp.(1) | | | 2,692 | | | | 513,634 | |
Pegasystems, Inc. | | | 2,816 | | | | 391,959 | |
Perficient, Inc.(1) | | | 12,392 | | | | 996,565 | |
Plantronics, Inc.(1) | | | 5,337 | | | | 222,713 | |
Plexus Corp.(1) | | | 9,258 | | | | 846,274 | |
Power Integrations, Inc. | | | 87,924 | | | | 7,215,043 | |
Priority Technology Holdings, Inc.(1) | | | 3,681 | | | | 28,123 | |
Progress Software Corp. | | | 16,845 | | | | 779,081 | |
Proofpoint, Inc.(1) | | | 4,070 | | | | 707,203 | |
PROS Holdings, Inc.(1) | | | 96,615 | | | | 4,402,746 | |
PTC, Inc.(1) | | | 52,363 | | | | 7,396,797 | |
Pure Storage, Inc. - Class A(1) | | | 1,154,630 | | | | 22,549,924 | |
Q2 Holdings, Inc.(1) | | | 63,449 | | | | 6,508,598 | |
QAD, Inc. - Class A | | | 3,905 | | | | 339,813 | |
Qualys, Inc.(1) | | | 106,291 | | | | 10,702,441 | |
Rackspace Technology, Inc.(1) | | | 14,444 | | | | 283,247 | |
Rapid7, Inc.(1) | | | 67,168 | | | | 6,356,108 | |
Repay Holdings Corp. - Class A(1) | | | 153,976 | | | | 3,701,583 | |
Rimini Street, Inc.(1) | | | 16,231 | | | | 99,983 | |
RingCentral, Inc. - Class A(1) | | | 26,588 | | | | 7,725,941 | |
Riot Blockchain, Inc.(1) | | | 31,081 | | | | 1,170,821 | |
Rogers Corp.(1) | | | 6,212 | | | | 1,247,370 | |
Sabre Corp.(1) | | | 22,749 | | | | 283,908 | |
Sailpoint Technologies Holdings, Inc.(1) | | | 34,120 | | | | 1,742,508 | |
Sapiens International Corp. NV | | | 11,339 | | | | 297,876 | |
Semtech Corp.(1) | | | 124,955 | | | | 8,596,904 | |
ServiceNow, Inc.(1) | | | 28,500 | | | | 15,662,175 | |
Shift4 Payments, Inc. - Class A(1) | | | 3,076 | | | | 288,283 | |
ShotSpotter, Inc.(1) | | | 3,156 | | | | 153,918 | |
Silicon Laboratories, Inc.(1) | | | 121,612 | | | | 18,637,039 | |
SiTime Corp.(1) | | | 4,944 | | | | 625,861 | |
| | | | | | | | |
| | | Shares | | | Value | |
SkyWater Technology, Inc.(1) | | | 2,640 | | | | 75,636 | |
Skyworks Solutions, Inc. | | | 153,754 | | | | 29,482,330 | |
Slack Technologies, Inc. - Class A(1) | | | 35,884 | | | | 1,589,661 | |
SMART Global Holdings, Inc.(1) | | | 5,496 | | | | 262,049 | |
Smartsheet, Inc. - Class A(1) | | | 395,624 | | | | 28,611,528 | |
Splunk, Inc.(1) | | | 108,867 | | | | 15,739,991 | |
Sprout Social, Inc. - Class A(1) | | | 16,634 | | | | 1,487,412 | |
SPS Commerce, Inc.(1) | | | 219,933 | | | | 21,960,310 | |
StoneCo Ltd. - Class A(1) | | | 14,980 | | | | 1,004,559 | |
Sumo Logic, Inc.(1) | | | 30,094 | | | | 621,441 | |
SunPower Corp. - Class A(1) | | | 24,198 | | | | 707,066 | |
Switch, Inc. - Class A | | | 8,217 | | | | 173,461 | |
Synaptics, Inc.(1) | | | 13,359 | | | | 2,078,393 | |
Synopsys, Inc.(1) | | | 185,779 | | | | 51,235,990 | |
Telos Corp.(1) | | | 6,360 | | | | 216,304 | |
Tenable Holdings, Inc.(1) | | | 34,098 | | | | 1,409,952 | |
Teradata Corp.(1) | | | 6,642 | | | | 331,901 | |
Teradyne, Inc. | | | 12,056 | | | | 1,615,022 | |
Trade Desk, Inc. - Class A(1) | | | 30,955 | | | | 2,394,679 | |
Trimble, Inc.(1) | | | 321,002 | | | | 26,267,594 | |
TTEC Holdings, Inc. | | | 7,294 | | | | 751,938 | |
Tucows, Inc. - Class A(1) | | | 3,474 | | | | 279,032 | |
Turtle Beach Corp.(1) | | | 4,558 | | | | 145,491 | |
Tyler Technologies, Inc.(1) | | | 56,530 | | | | 25,572,476 | |
Ubiquiti, Inc. | | | 419 | | | | 130,808 | |
Ultra Clean Holdings, Inc.(1) | | | 16,131 | | | | 866,557 | |
Unisys Corp.(1) | | | 18,993 | | | | 480,713 | |
Unity Software, Inc.(1) | | | 32,145 | | | | 3,530,485 | |
Universal Display Corp. | | | 3,111 | | | | 691,669 | |
Upland Software, Inc.(1) | | | 11,324 | | | | 466,209 | |
Varonis Systems, Inc. - Class B(1) | | | 100,230 | | | | 5,775,253 | |
Velodyne Lidar, Inc.(1) | | | 26,007 | | | | 276,714 | |
Veritone, Inc.(1) | | | 10,548 | | | | 207,901 | |
Verra Mobility Corp. - Class A(1) | | | 51,366 | | | | 789,495 | |
Viant Technology, Inc. - Class A(1) | | | 3,952 | | | | 117,691 | |
Viavi Solutions, Inc.(1) | | | 77,134 | | | | 1,362,186 | |
Vishay Intertechnology, Inc. | | | 7,057 | | | | 159,135 | |
Vonage Holdings Corp.(1) | | | 91,366 | | | | 1,316,584 | |
| | | | | | | | |
| | | Shares | | | Value | |
Vontier Corp. | | | 6,557 | | | | 213,627 | |
Western Union Co. | | | 7,231 | | | | 166,096 | |
WEX, Inc.(1) | | | 32,941 | | | | 6,387,260 | |
Wix.com Ltd.(1) | | | 16,897 | | | | 4,904,861 | |
Workday, Inc. - Class A(1) | | | 201,500 | | | | 48,106,110 | |
Workiva, Inc. - Class A(1) | | | 15,835 | | | | 1,762,911 | |
Xilinx, Inc. | | | 17,819 | | | | 2,577,340 | |
Yext, Inc.(1) | | | 43,062 | | | | 615,356 | |
Zebra Technologies Corp. - Class A(1) | | | 3,851 | | | | 2,039,066 | |
Zendesk, Inc.(1) | | | 134,546 | | | | 19,420,370 | |
Zix Corp.(1) | | | 20,108 | | | | 141,761 | |
Zscaler, Inc.(1) | | | 302,479 | | | | 65,353,613 | |
Zuora, Inc. - Class A(1) | | | 40,396 | | | | 696,831 | |
| | | | | | | | |
Total Information Technology | | | | | | | 1,492,099,735 | |
| | | | | | | | |
Materials – 2.31% | | | | | | | | |
Allegheny Technologies, Inc.(1) | | | 28,640 | | | | 597,144 | |
American Vanguard Corp. | | | 2,658 | | | | 46,542 | |
Amyris, Inc.(1) | | | 6,939 | | | | 113,591 | |
AptarGroup, Inc. | | | 258,500 | | | | 36,407,140 | |
Avery Dennison Corp. | | | 3,150 | | | | 662,256 | |
Avient Corp. | | | 3,590 | | | | 176,484 | |
Axalta Coating Systems Ltd.(1) | | | 2,650 | | | | 80,799 | |
Balchem Corp. | | | 35,801 | | | | 4,699,239 | |
Ball Corp. | | | 243,695 | | | | 19,744,169 | |
Berry Global Group, Inc.(1) | | | 199,182 | | | | 12,990,650 | |
Cabot Corp. | | | 21,480 | | | | 1,222,856 | |
Celanese Corp. - Class A | | | 3,036 | | | | 460,258 | |
Century Aluminum Co.(1) | | | 1,119 | | | | 14,424 | |
Chase Corp. | | | 90,516 | | | | 9,287,847 | |
Chemours Co. | | | 6,074 | | | | 211,375 | |
Coeur Mining, Inc.(1) | | | 63,538 | | | | 564,217 | |
Compass Minerals International, Inc. | | | 13,141 | | | | 778,736 | |
Crown Holdings, Inc. | | | 1,148 | | | | 117,337 | |
Danimer Scientific, Inc.(1) | | | 25,379 | | | | 635,744 | |
Diversey Holdings Ltd.(1) | | | 2,756 | | | | 49,360 | |
Ferro Corp.(1) | | | 25,168 | | | | 542,874 | |
FMC Corp. | | | 2,339 | | | | 253,080 | |
Forterra, Inc.(1) | | | 10,842 | | | | 254,895 | |
| | | | | | | | |
| | | Shares | | | Value | |
Gatos Silver, Inc.(1) | | | 10,654 | | | | 186,338 | |
Graphic Packaging Holding Co. | | | 841,822 | | | | 15,270,651 | |
Greif, Inc. - Class A | | | 1,499 | | | | 90,764 | |
Greif, Inc. - Class B | | | 249 | | | | 14,691 | |
Hawkins, Inc. | | | 4,734 | | | | 155,039 | |
HB Fuller Co. | | | 3,512 | | | | 223,398 | |
Hecla Mining Co. | | | 57,884 | | | | 430,657 | |
Ingevity Corp.(1) | | | 132,993 | | | | 10,820,310 | |
Innospec, Inc. | | | 102,088 | | | | 9,250,194 | |
Kaiser Aluminum Corp. | | | 708 | | | | 87,431 | |
Kronos Worldwide, Inc. | | | 1,543 | | | | 22,096 | |
Livent Corp.(1) | | | 55,785 | | | | 1,079,998 | |
Louisiana-Pacific Corp. | | | 536 | | | | 32,315 | |
LyondellBasell Industries NV - Class A | | | 2,326 | | | | 239,276 | |
Marrone Bio Innovations, Inc.(1) | | | 36,750 | | | | 61,005 | |
Materion Corp. | | | 2,867 | | | | 216,028 | |
MP Materials Corp.(1) | | | 27,547 | | | | 1,015,382 | |
Myers Industries, Inc. | | | 6,234 | | | | 130,914 | |
Novagold Resources, Inc.(1) | | | 87,329 | | | | 699,505 | |
O-I Glass, Inc.(1) | | | 58,332 | | | | 952,562 | |
Olin Corp. | | | 787 | | | | 36,407 | |
Orion Engineered Carbons SA(1) | | | 22,340 | | | | 424,237 | |
Perpetua Resources Corp.(1) | | | 9,852 | | | | 71,920 | |
PolyMet Mining Corp.(1) | | | 3,476 | | | | 12,548 | |
PPG Industries, Inc. | | | 7,259 | | | | 1,232,360 | |
PureCycle Technologies, Inc.(1) | | | 12,141 | | | | 287,135 | |
Quaker Chemical Corp. | | | 4,962 | | | | 1,176,937 | |
Ranpak Holdings Corp. - Class A(1) | | | 2,240 | | | | 56,067 | |
RPM International, Inc. | | | 5,383 | | | | 477,364 | |
Ryerson Holding Corp.(1) | | | 3,993 | | | | 58,298 | |
Schnitzer Steel Industries, Inc. - Class A | | | 857 | | | | 42,036 | |
Scotts Miracle-Gro Co. | | | 2,948 | | | | 565,780 | |
Sealed Air Corp. | | | 5,899 | | | | 349,516 | |
Sensient Technologies Corp. | | | 8,029 | | | | 694,990 | |
Steel Dynamics, Inc. | | | 2,695 | | | | 160,622 | |
Stepan Co. | | | 724 | | | | 87,075 | |
Tredegar Corp. | | | 8,040 | | | | 110,711 | |
Trinseo SA | | | 14,403 | | | | 861,876 | |
| | | | | | | | |
| | | Shares | | | Value | |
UFP Technologies, Inc.(1) | | | 191 | | | | 10,967 | |
United States Lime & Minerals, Inc. | | | 55 | | | | 7,650 | |
US Concrete, Inc.(1) | | | 570 | | | | 42,066 | |
Warrior Met Coal, Inc. | | | 1,779 | | | | 30,599 | |
Westlake Chemical Corp. | | | 479 | | | | 43,153 | |
WR Grace & Co. | | | 4,043 | | | | 279,452 | |
Zymergen, Inc.(1) | | | 1,881 | | | | 75,259 | |
| | | | | | | | |
Total Materials | | | | | | | 138,084,596 | |
| | | | | | | | |
Real Estate – 1.23% | | | | | | | | |
Agree Realty Corp. | | | 128,839 | | | | 9,081,861 | |
Alexander’s, Inc. | | | 790 | | | | 211,680 | |
American Finance Trust, Inc. | | | 4,310 | | | | 36,549 | |
Brookfield Property REIT, Inc. - Class A | | | 2,350 | | | | 44,391 | |
CatchMark Timber Trust, Inc. - Class A | | | 13,148 | | | | 153,832 | |
CBRE Group, Inc. - Class A(1) | | | 1,270 | | | | 108,877 | |
Clipper Realty, Inc. | | | 4,626 | | | | 34,001 | |
Community Healthcare Trust, Inc. | | | 5,552 | | | | 263,498 | |
CoreSite Realty Corp. | | | 42,307 | | | | 5,694,522 | |
Corporate Office Properties Trust | | | 306,042 | | | | 8,566,116 | |
Cushman & Wakefield Plc(1) | | | 43,461 | | | | 759,264 | |
EastGroup Properties, Inc. | | | 14,803 | | | | 2,434,353 | |
Equity LifeStyle Properties, Inc. | | | 6,792 | | | | 504,713 | |
eXp World Holdings, Inc.(1) | | | 22,912 | | | | 888,298 | |
Extra Space Storage, Inc. | | | 849 | | | | 139,083 | |
Fathom Holdings, Inc.(1) | | | 1,876 | | | | 61,514 | |
FirstService Corp. | | | 45,942 | | | | 7,868,027 | |
Forestar Group, Inc.(1) | | | 1,471 | | | | 30,759 | |
Gladstone Commercial Corp. | | | 3,883 | | | | 87,600 | |
Gladstone Land Corp. | | | 5,512 | | | | 132,619 | |
Indus Realty Trust, Inc. | | | 1,207 | | | | 79,240 | |
Innovative Industrial Properties, Inc. - Class A | | | 4,735 | | | | 904,480 | |
Iron Mountain, Inc. | | | 14,477 | | | | 612,667 | |
Lamar Advertising Co. - Class A | | | 5,522 | | | | 576,607 | |
Marcus & Millichap, Inc.(1) | | | 914 | | | | 35,527 | |
Monmouth Real Estate Investment Corp. | | | 5,426 | | | | 101,575 | |
National Storage Affiliates Trust | | | 26,471 | | | | 1,338,374 | |
Newmark Group, Inc. - Class A | | | 55,323 | | | | 664,429 | |
NexPoint Residential Trust, Inc. | | | 1,558 | | | | 85,659 | |
| | | | | | | | |
| | | Shares | | | Value | |
Opendoor Technologies, Inc.(1) | | | 5,004 | | | | 88,721 | |
Outfront Media, Inc.(1) | | | 11,855 | | | | 284,876 | |
Pebblebrook Hotel Trust | | | 390,465 | | | | 9,195,451 | |
PS Business Parks, Inc. | | | 6,289 | | | | 931,275 | |
QTS Realty Trust, Inc. - Class A | | | 10,658 | | | | 823,863 | |
Rafael Holdings, Inc. - Class B(1) | | | 3,594 | | | | 183,474 | |
Redfin Corp.(1) | | | 38,144 | | | | 2,418,711 | |
RMR Group, Inc. - Class A | | | 594 | | | | 22,952 | |
Ryman Hospitality Properties, Inc.(1) | | | 18,645 | | | | 1,472,209 | |
Safehold, Inc. | | | 4,408 | | | | 346,028 | |
Saul Centers, Inc. | | | 4,135 | | | | 187,936 | |
SBA Communications Corp. - Class A | | | 1,294 | | | | 412,398 | |
Simon Property Group, Inc. | | | 20,484 | | | | 2,672,752 | |
St Joe Co. | | | 12,258 | | | | 546,829 | |
Tanger Factory Outlet Centers, Inc. | | | 10,322 | | | | 194,570 | |
Terreno Realty Corp. | | | 184,731 | | | | 11,918,844 | |
UMH Properties, Inc. | | | 13,023 | | | | 284,162 | |
Universal Health Realty Income Trust | | | 4,370 | | | | 268,973 | |
| | | | | | | | |
Total Real Estate | | | | | | | 73,754,139 | |
| | | | | | | | |
Utilities – 0.03% | | | | | | | | |
American States Water Co. | | | 7,073 | | | | 562,728 | |
Brookfield Renewable Corp. - Class A | | | 2,288 | | | | 95,959 | |
Cadiz, Inc.(1) | | | 371 | | | | 5,046 | |
Clearway Energy, Inc. - Class A | | | 3,820 | | | | 96,340 | |
Clearway Energy, Inc. - Class C | | | 7,138 | | | | 189,014 | |
Global Water Resources, Inc. | | | 4,475 | | | | 76,433 | |
Middlesex Water Co. | | | 2,338 | | | | 191,085 | |
NRG Energy, Inc. | | | 7,930 | | | | 319,579 | |
Pure Cycle Corp.(1) | | | 6,364 | | | | 87,950 | |
Spark Energy, Inc. - Class A | | | 4,428 | | | | 50,169 | |
Sunnova Energy International, Inc.(1) | | | 4,723 | | | | 177,868 | |
York Water Co. | | | 2,886 | | | | 130,736 | |
| | | | | | | | |
Total Utilities | | | | | | | 1,982,907 | |
| | | | | | | | |
Total Common Stocks (Cost: $3,703,352,109) | | | | | | | 5,886,642,955 | |
| | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
BONDS & NOTES – 0.00%(2) | | | | | | | | |
Corporate Bonds – 0.00%(2) | | | | | | | | |
Financials – 0.00%(2) | | | | | | | | |
GAMCO Investors, Inc., 4.00%, 06/15/2023(3) | | $ | 3,000 | | | | 3,000 | |
| | | | | | | | |
Total Financials | | | | | | | 3,000 | |
| | | | | | | | |
Total Corporate Bonds (Cost: $-) | | | | | | | 3,000 | |
| | | | | | | | |
Total Bonds & Notes (Cost: $-) | | | | | | | 3,000 | |
| | | | | | | | |
| | |
| | | Shares | | | Value | |
SHORT-TERM INVESTMENTS – 1.48% | | | | | | | | |
Money Market Funds – 1.06% | | | | | | | | |
Goldman Sachs Financial Square Government Fund - Class I, 0.03%(4) | | | 63,231,943 | | | | 63,231,943 | |
| | | | | | | | |
Total Money Market Funds (Cost: $63,231,943) | | | | | | | 63,231,943 | |
| | | | | | | | |
| | |
| | | Principal
Amount | | | Value | |
Time Deposits – 0.42% | | | | | | | | |
BBVA, Madrid, 0.01% due 07/01/2021 | | $ | 5,029,792 | | | | 5,029,792 | |
National Australia Bank, London, 0.01% due 07/01/2021 | | | 13,873,916 | | | | 13,873,916 | |
Royal Bank of Canada, Toronto, 0.01% due 07/01/2021 | | | 1,557,407 | | | | 1,557,407 | |
Sumitomo, Tokyo, 0.01% due 07/01/2021 | | | 4,530,662 | | | | 4,530,662 | |
| | | | | | | | |
Total Time Deposits (Cost: $24,991,777) | | | | | | | 24,991,777 | |
| | | | | | | | |
Total Short-Term Investments (Cost: $88,223,720) | | | | | | | 88,223,720 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES – 99.99% (Cost: $3,791,575,829) | | | | | | | 5,974,869,675 | |
| | | | | | | | |
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.01% | | | | | | | 797,201 | |
| | | | | | | | |
TOTAL NET ASSETS – 100.00% | | | | | | $ | 5,975,666,876 | |
| | | | | | | | |
Percentages are stated as a percent of net assets.
ADR American Depositary Receipt
REIT Real Estate Investment Trust
| (1) | Non-income producing security. |
| (2) | Amount calculated is less than 0.005%. |
| (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 June 30, 2021. |
| (4) | Represents annualized seven-day yield as of the close of the reporting period. |
| (5) | Security that is categorized as Level 3 per the Trust’s fair value hierarchy. The value of these securities totals $15,953, which represents 0.00% of total net assets. |
The accompanying notes are an integral part of this Schedule of Investments.
Open Futures Contracts
| | | | | | | | | | | | | | | | | | |
Number of Contracts Purchased | | Reference Entity | | Counterparty | | Expiration Date | | Notional
Amount | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
23 | | E-mini Russell 2000 Future | | Morgan Stanley | | Sep. 2021 | | $ | 2,635,660 | | | $ | 2,653,970 | | | $ | 18,310 | |
2 | | NASDAQ 100 E-mini Future | | Morgan Stanley | | Sep. 2021 | | | 572,397 | | | | 581,960 | | | | 9,563 | |
5 | | S&P 500 E-mini Future | | Morgan Stanley | | Sep. 2021 | | | 1,067,964 | | | | 1,072,125 | | | | 4,161 | |
2 | | S&P MidCap 400 E-mini Future | | Morgan Stanley | | Sep. 2021 | | | 547,141 | | | | 538,480 | | | | (8,661 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | $ | 23,373 | |
| | | | | | | | | | | | | | | | | | |
Bridge Builder Small/Mid Cap Value Fund
Schedule of Investments
June 30, 2021
| | | | | | | | |
| | | Shares | | | Value | |
COMMON STOCKS – 98.19% | | | | | | | | |
Communication Services – 1.80% | | | | | | | | |
Advantage Solutions, Inc.(1) | | | 28,519 | | | $ | 307,720 | |
Altice USA, Inc. - Class A(1) | | | 231,601 | | | | 7,906,858 | |
AMC Entertainment Holdings, Inc. - Class A(1) | | | 153,457 | | | | 8,697,943 | |
AMC Networks, Inc. - Class A(1) | | | 71,272 | | | | 4,760,970 | |
Anterix, Inc.(1) | | | 2,921 | | | | 175,231 | |
ATN International, Inc. | | | 4,250 | | | | 193,332 | |
Boston Omaha Corp. - Class A(1) | | | 6,524 | | | | 206,876 | |
Cable One, Inc. | | | 75 | | | | 143,461 | |
Cars.com, Inc.(1) | | | 22,274 | | | | 319,186 | |
Chicken Soup For The Soul Entertainment, Inc. - Class A(1) | | | 3,041 | | | | 125,897 | |
Cincinnati Bell, Inc.(1) | | | 11,450 | | | | 176,559 | |
Cinemark Holdings, Inc.(1) | | | 7,131 | | | | 156,525 | |
Clear Channel Outdoor Holdings, Inc. - Class A(1) | | | 124,372 | | | | 328,342 | |
comScore, Inc.(1) | | | 25,838 | | | | 129,190 | |
Consolidated Communications Holdings, Inc.(1) | | | 27,240 | | | | 239,440 | |
CuriosityStream, Inc.(1) | | | 8,001 | | | | 109,134 | |
Daily Journal Corp.(1) | | | 453 | | | | 153,340 | |
Digital Media Solutions, Inc. - Class A(1) | | | 1,149 | | | | 11,122 | |
Discovery, Inc. - Class A(1) | | | 4,946 | | | | 151,743 | |
Discovery, Inc. - Class C(1) | | | 9,408 | | | | 272,644 | |
DISH Network Corp. - Class A(1) | | | 7,410 | | | | 309,738 | |
Emerald Holding, Inc.(1) | | | 8,635 | | | | 46,543 | |
Entercom Communications Corp. - Class A(1) | | | 44,294 | | | | 190,907 | |
Entravision Communications Corp. - Class A | | | 51,521 | | | | 344,160 | |
Eros STX Global Corp.(1) | | | 118,068 | | | | 180,644 | |
EW Scripps Co. - Class A | | | 21,415 | | | | 436,652 | |
Fluent, Inc.(1) | | | 15,046 | | | | 44,085 | |
Fox Corp. - Class A | | | 9,693 | | | | 359,901 | |
Fox Corp. - Class B | | | 4,490 | | | | 158,048 | |
Gannett Co., Inc.(1) | | | 52,559 | | | | 288,549 | |
Globalstar, Inc.(1) | | | 28,235 | | | | 50,258 | |
Gogo, Inc.(1) | | | 20,458 | | | | 232,812 | |
Gray Television, Inc. | | | 32,068 | | | | 750,391 | |
Hemisphere Media Group, Inc. - Class A(1) | | | 6,633 | | | | 78,269 | |
IAC/InterActiveCorp(1) | | | 2,283 | | | | 351,970 | |
IDT Corp. - Class B(1) | | | 1,908 | | | | 70,520 | |
iHeartMedia, Inc. - Class A(1) | | | 22,817 | | | | 614,462 | |
IMAX Corp.(1) | | | 242,396 | | | | 5,211,514 | |
Interpublic Group of Companies, Inc. | | | 12,070 | | | | 392,154 | |
Iridium Communications, Inc.(1) | | | 11,087 | | | | 443,369 | |
John Wiley & Sons, Inc. - Class A | | | 16,599 | | | | 998,928 | |
Liberty Broadband Corp. - Class A(1) | | | 744 | | | | 125,118 | |
Liberty Broadband Corp. - Class C(1) | | | 4,533 | | | | 787,201 | |
Liberty Latin America Ltd. - Class A(1) | | | 17,293 | | | | 239,681 | |
Liberty Latin America Ltd. - Class C(1) | | | 56,570 | | | | 797,637 | |
Liberty Media Corp.-Liberty Formula One - Class A(1) | | | 748 | | | | 31,887 | |
Liberty Media Corp.-Liberty Formula One - Class C(1) | | | 148,989 | | | | 7,182,760 | |
Liberty Media Corp.-Liberty SiriusXM - Class A(1) | | | 2,362 | | | | 110,022 | |
| | | | | | | | |
| | | Shares | | | Value | |
Liberty Media Corp.-Liberty SiriusXM - Class C(1) | | | 4,847 | | | | 224,852 | |
Liberty TripAdvisor Holdings, Inc. - Class A(1) | | | 6,683 | | | | 27,200 | |
Lions Gate Entertainment Corp. - Class A(1) | | | 22,985 | | | | 475,789 | |
Lions Gate Entertainment Corp. - Class B(1) | | | 41,852 | | | | 765,892 | |
Live Nation Entertainment, Inc.(1) | | | 89,363 | | | | 7,827,305 | |
Lumen Technologies, Inc. | | | 33,151 | | | | 450,522 | |
Madison Square Garden Entertainment Corp.(1) | | | 7,139 | | | | 599,462 | |
Madison Square Garden Sports Corp. - Class A(1) | | | 350 | | | | 60,400 | |
Marcus Corp.(1) | | | 8,479 | | | | 179,840 | |
MDC Partners, Inc. - Class A(1) | | | 20,461 | | | | 119,697 | |
MediaAlpha, Inc. - Class A(1) | | | 678 | | | | 28,544 | |
Meredith Corp.(1) | | | 5,605 | | | | 243,481 | |
MSG Networks, Inc. - Class A(1) | | | 11,844 | | | | 172,686 | |
National CineMedia, Inc. | | | 22,211 | | | | 112,610 | |
New York Times Co. - Class A | | | 4,954 | | | | 215,747 | |
News Corp. - Class A | | | 11,973 | | | | 308,544 | |
News Corp. - Class B | | | 3,451 | | | | 84,032 | |
Nexstar Media Group, Inc. - Class A | | | 241,704 | | | | 35,743,188 | |
Omnicom Group, Inc. | | | 6,505 | | | | 520,335 | |
Ooma, Inc.(1) | | | 3,468 | | | | 65,406 | |
Radius Global Infrastructure, Inc. - Class A(1) | | | 16,572 | | | | 240,294 | |
Scholastic Corp. | | | 10,992 | | | | 416,487 | |
Shenandoah Telecommunications Co. | | | 12,018 | | | | 582,993 | |
Sinclair Broadcast Group, Inc. - Class A | | | 14,743 | | | | 489,762 | |
Sirius XM Holdings, Inc. | | | 26,877 | | | | 175,776 | |
Take-Two Interactive Software, Inc.(1) | | | 2,732 | | | | 483,619 | |
TEGNA, Inc. | | | 843,769 | | | | 15,829,106 | |
Telephone & Data Systems, Inc. | | | 38,066 | | | | 862,576 | |
Thryv Holdings, Inc.(1) | | | 414 | | | | 14,809 | |
Townsquare Media, Inc. - Class A(1) | | | 1,585 | | | | 20,209 | |
TripAdvisor, Inc.(1) | | | 1,144 | | | | 46,103 | |
TrueCar, Inc.(1) | | | 38,122 | | | | 215,389 | |
Twitter, Inc.(1) | | | 20,872 | | | | 1,436,202 | |
United States Cellular Corp.(1) | | | 5,766 | | | | 209,363 | |
ViacomCBS, Inc. - Class A | | | 331 | | | | 16,037 | |
ViacomCBS, Inc. - Class B | | | 112,935 | | | | 5,104,662 | |
Vimeo, Inc.(1) | | | 295 | | | | 14,455 | |
WideOpenWest, Inc.(1) | | | 7,436 | | | | 154,000 | |
World Wrestling Entertainment, Inc. - Class A | | | 185 | | | | 10,710 | |
Yelp, Inc. - Class A(1) | | | 144,168 | | | | 5,760,953 | |
Zynga, Inc. - Class A(1) | | | 15,610 | | | | 165,934 | |
| | | | | | | | |
Total Communication Services | | | | 125,868,664 | |
| | | | | |
Consumer Discretionary – 12.48% | | | | | | | | |
1-800-Flowers.com, Inc. - Class A(1) | | | 360,750 | | | | 11,497,103 | |
2U, Inc.(1) | | | 4,181 | | | | 174,222 | |
Aaron’s Co., Inc. | | | 37,780 | | | | 1,208,582 | |
Abercrombie & Fitch Co. - Class A(1) | | | 21,632 | | | | 1,004,374 | |
Academy Sports & Outdoors, Inc.(1) | | | 23,213 | | | | 957,304 | |
Accel Entertainment, Inc. - Class A(1) | | | 13,450 | | | | 159,652 | |
| | | | | | | | |
| | | Shares | | | Value | |
Acushnet Holdings Corp. | | | 9,024 | | | | 445,786 | |
Adient Plc(1) | | | 31,547 | | | | 1,425,924 | |
Adtalem Global Education, Inc.(1) | | | 18,764 | | | | 668,749 | |
Advance Auto Parts, Inc. | | | 26,584 | | | | 5,453,442 | |
American Axle & Manufacturing Holdings, Inc.(1) | | | 231,606 | | | | 2,397,122 | |
American Outdoor Brands, Inc.(1) | | | 5,186 | | | | 182,236 | |
American Public Education, Inc.(1) | | | 6,970 | | | | 197,530 | |
America’s Car-Mart, Inc.(1) | | | 372 | | | | 52,720 | |
Aptiv Plc(1) | | | 6,650 | | | | 1,046,245 | |
Aramark | | | 787,928 | | | | 29,350,318 | |
Asbury Automotive Group, Inc.(1) | | | 63,225 | | | | 10,834,868 | |
AutoNation, Inc.(1) | | | 1,519 | | | | 144,016 | |
AutoZone, Inc.(1) | | | 16,218 | | | | 24,200,824 | |
Barnes & Noble Education, Inc.(1) | | | 14,173 | | | | 102,187 | |
Bassett Furniture Industries, Inc. | | | 3,295 | | | | 80,233 | |
Beazer Homes USA, Inc.(1) | | | 10,447 | | | | 201,523 | |
Bed Bath & Beyond, Inc.(1) | | | 36,609 | | | | 1,218,714 | |
Best Buy Co., Inc. | | | 109,737 | | | | 12,617,560 | |
Big 5 Sporting Goods Corp. | | | 7,728 | | | | 198,455 | |
Big Lots, Inc. | | | 57,260 | | | | 3,779,733 | |
Biglari Holdings, Inc. - Class B(1) | | | 321 | | | | 51,190 | |
BJ’s Restaurants, Inc.(1) | | | 2,372 | | | | 116,560 | |
Bluegreen Vacations Holding Corp. - Class A(1) | | | 5,366 | | | | 96,588 | |
BorgWarner, Inc. | | | 332,784 | | | | 16,153,335 | |
Boyd Gaming Corp.(1) | | | 1,919 | | | | 117,999 | |
Bright Horizons Family Solutions, Inc.(1) | | | 370 | | | | 54,431 | |
Brinker International, Inc.(1) | | | 148,560 | | | | 9,188,436 | |
Brunswick Corp. | | | 123,013 | | | | 12,254,555 | |
Buckle, Inc. | | | 697 | | | | 34,676 | |
Burlington Stores, Inc.(1) | | | 115 | | | | 37,029 | |
Caesars Entertainment, Inc.(1) | | | 2,256 | | | | 234,060 | |
Callaway Golf Co.(1) | | | 43,374 | | | | 1,463,005 | |
Canoo, Inc.(1) | | | 16,381 | | | | 162,827 | |
Capri Holdings Ltd.(1) | | | 4,416 | | | | 252,551 | |
CarLotz, Inc.(1) | | | 16,451 | | | | 89,822 | |
CarMax, Inc.(1) | | | 4,454 | | | | 575,234 | |
Carnival Corp.(1) | | | 25,448 | | | | 670,809 | |
Carriage Services, Inc. - Class A | | | 5,009 | | | | 185,183 | |
Carrols Restaurant Group, Inc.(1) | | | 12,875 | | | | 77,379 | |
Carter’s, Inc. | | | 116,773 | | | | 12,047,470 | |
Cato Corp. - Class A | | | 7,254 | | | | 122,375 | |
Cavco Industries, Inc.(1) | | | 1,018 | | | | 226,189 | |
Century Communities, Inc. | | | 3,942 | | | | 262,301 | |
Chegg, Inc.(1) | | | 995 | | | | 82,694 | |
Chico’s FAS, Inc.(1) | | | 35,680 | | | | 234,774 | |
Chuy’s Holdings, Inc.(1) | | | 3,965 | | | | 147,736 | |
Columbia Sportswear Co. | | | 1,117 | | | | 109,868 | |
Conn’s, Inc.(1) | | | 6,566 | | | | 167,433 | |
Container Store Group, Inc.(1) | | | 11,774 | | | | 153,533 | |
Cooper-Standard Holdings, Inc.(1) | | | 6,207 | | | | 180,003 | |
| | | | | | | | |
| | | Shares | | | Value | |
Core-Mark Holding Co., Inc. | | | 11,455 | | | | 515,590 | |
Coursera, Inc.(1) | | | 4,518 | | | | 178,732 | |
Dana, Inc. | | | 180,453 | | | | 4,287,563 | |
Darden Restaurants, Inc. | | | 52,966 | | | | 7,732,506 | |
Dave & Buster’s Entertainment, Inc.(1) | | | 13,966 | | | | 567,020 | |
Deckers Outdoor Corp.(1) | | | 719 | | | | 276,146 | |
Del Taco Restaurants, Inc. | | | 12,859 | | | | 128,719 | |
Denny’s Corp.(1) | | | 5,683 | | | | 93,713 | |
Dick’s Sporting Goods, Inc. | | | 85,051 | | | | 8,521,260 | |
Dillard’s, Inc. - Class A | | | 2,360 | | | | 426,877 | |
Dine Brands Global, Inc.(1) | | | 25,100 | | | | 2,240,175 | |
Dollar Tree, Inc.(1) | | | 50,609 | | | | 5,035,596 | |
Domino’s Pizza, Inc. | | | 369 | | | | 172,135 | |
DoorDash, Inc. - Class A(1) | | | 302 | | | | 53,856 | |
DR Horton, Inc. | | | 5,837 | | | | 527,490 | |
Drive Shack, Inc.(1) | | | 16,636 | | | | 55,065 | |
eBay, Inc. | | | 313,248 | | | | 21,993,142 | |
El Pollo Loco Holdings, Inc.(1) | | | 6,883 | | | | 125,890 | |
Escalade, Inc. | | | 2,930 | | | | 67,244 | |
Ethan Allen Interiors, Inc. | | | 9,142 | | | | 252,319 | |
Expedia Group, Inc.(1) | | | 53,590 | | | | 8,773,219 | |
Fiesta Restaurant Group, Inc.(1) | | | 6,228 | | | | 83,642 | |
Fisker, Inc.(1) | | | 4,921 | | | | 94,877 | |
Flexsteel Industries, Inc. | | | 2,324 | | | | 93,866 | |
Foot Locker, Inc. | | | 230,979 | | | | 14,235,236 | |
Fossil Group, Inc.(1) | | | 17,886 | | | | 255,412 | |
Franchise Group, Inc. | | | 9,169 | | | | 323,391 | |
Frontdoor, Inc.(1) | | | 827 | | | | 41,201 | |
Funko, Inc. - Class A(1) | | | 199,683 | | | | 4,249,254 | |
GAN Ltd.(1) | | | 13,364 | | | | 219,704 | |
Gap, Inc. | | | 6,014 | | | | 202,371 | |
Garmin Ltd. | | | 4,532 | | | | 655,508 | |
Genesco, Inc.(1) | | | 5,445 | | | | 346,738 | |
Genius Brands International, Inc.(1) | | | 105,847 | | | | 194,759 | |
Gentex Corp. | | | 240,872 | | | | 7,970,455 | |
Genuine Parts Co. | | | 4,259 | | | | 538,636 | |
G-III Apparel Group Ltd.(1) | | | 17,203 | | | | 565,291 | |
Goodyear Tire & Rubber Co.(1) | | | 248,847 | | | | 4,267,726 | |
Graham Holdings Co. - Class B | | | 1,448 | | | | 917,887 | |
Grand Canyon Education, Inc.(1) | | | 323,518 | | | | 29,106,914 | |
Green Brick Partners, Inc.(1) | | | 8,231 | | | | 187,173 | |
Group 1 Automotive, Inc. | | | 40,600 | | | | 6,269,858 | |
Groupon, Inc. - Class A(1) | | | 1,290 | | | | 55,676 | |
Guess?, Inc. | | | 13,190 | | | | 348,216 | |
H&R Block, Inc. | | | 159,001 | | | | 3,733,344 | |
Hall of Fame Resort & Entertainment Co.(1) | | | 20,964 | | | | 82,389 | |
Hamilton Beach Brands Holding Co. - Class A | | | 1,592 | | | | 35,454 | |
Hanesbrands, Inc. | | | 812,994 | | | | 15,178,598 | |
Harley-Davidson, Inc. | | | 457,022 | | | | 20,940,748 | |
| | | | | | | | |
| | | Shares | | | Value | |
Hasbro, Inc. | | | 102,294 | | | | 9,668,829 | |
Haverty Furniture Companies, Inc. | | | 3,611 | | | | 154,406 | |
Hayward Holdings, Inc.(1) | | | 7,517 | | | | 195,592 | |
Hibbett Sports, Inc.(1) | | | 1,053 | | | | 94,380 | |
Hilton Worldwide Holdings, Inc.(1) | | | 2,708 | | | | 326,639 | |
Hooker Furniture Corp. | | | 3,935 | | | | 136,308 | |
Houghton Mifflin Harcourt Co.(1) | | | 2,986 | | | | 32,965 | |
Hovnanian Enterprises, Inc. - Class A(1) | | | 1,879 | | | | 199,719 | |
Hyatt Hotels Corp. - Class A(1) | | | 1,200 | | | | 93,168 | |
Installed Building Products, Inc. | | | 102,684 | | | | 12,564,414 | |
International Game Technology Plc(1) | | | 661,696 | | | | 15,854,236 | |
iRobot Corp.(1) | | | 981 | | | | 91,616 | |
Jack in the Box, Inc. | | | 7,474 | | | | 832,903 | |
Johnson Outdoors, Inc. - Class A | | | 748 | | | | 90,508 | |
KB Home | | | 27,554 | | | | 1,121,999 | |
Kohl’s Corp. | | | 4,705 | | | | 259,293 | |
L Brands, Inc. | | | 2,984 | | | | 215,027 | |
Lands’ End, Inc.(1) | | | 5,373 | | | | 220,562 | |
Landsea Homes Corp.(1) | | | 3,189 | | | | 26,692 | |
Las Vegas Sands Corp.(1) | | | 172,948 | | | | 9,112,630 | |
Laureate Education, Inc. - Class A(1) | | | 39,951 | | | | 579,689 | |
La-Z-Boy, Inc. | | | 512,327 | | | | 18,976,592 | |
Lazydays Holdings, Inc.(1) | | | 2,584 | | | | 56,848 | |
Lear Corp. | | | 80,173 | | | | 14,052,723 | |
Legacy Housing Corp.(1) | | | 3,026 | | | | 51,170 | |
Leggett & Platt, Inc. | | | 3,961 | | | | 205,219 | |
Lennar Corp. - Class A | | | 8,095 | | | | 804,238 | |
Lennar Corp. - Class B | | | 487 | | | | 39,666 | |
Leslie’s, Inc.(1) | | | 729,776 | | | | 20,061,542 | |
Lifetime Brands, Inc. | | | 4,434 | | | | 66,377 | |
Lithia Motors, Inc. - Class A | | | 785 | | | | 269,757 | |
LKQ Corp.(1) | | | 447,359 | | | | 22,019,010 | |
Lordstown Motors Corp. - Class A(1) | | | 38,025 | | | | 420,557 | |
Lumber Liquidators Holdings, Inc.(1) | | | 10,765 | | | | 227,142 | |
M/I Homes, Inc.(1) | | | 11,031 | | | | 647,189 | |
Macy’s, Inc.(1) | | | 116,106 | | | | 2,201,370 | |
Malibu Boats, Inc. - Class A(1) | | | 3,631 | | | | 266,261 | |
MarineMax, Inc.(1) | | | 9,566 | | | | 466,247 | |
Marriott International, Inc. - Class A(1) | | | 61,358 | | | | 8,376,594 | |
Marriott Vacations Worldwide Corp.(1) | | | 1,239 | | | | 197,373 | |
MDC Holdings, Inc. | | | 138,438 | | | | 7,004,963 | |
Meritage Homes Corp.(1) | | | 13,124 | | | | 1,234,706 | |
MGM Resorts International | | | 12,201 | | | | 520,373 | |
Modine Manufacturing Co.(1) | | | 16,550 | | | | 274,565 | |
Mohawk Industries, Inc.(1) | | | 71,166 | | | | 13,677,394 | |
Monarch Casino & Resort, Inc.(1) | | | 998 | | | | 66,038 | |
Monro, Inc. | | | 4,905 | | | | 311,517 | |
Motorcar Parts of America, Inc.(1) | | | 6,928 | | | | 155,464 | |
Movado Group, Inc. | | | 5,815 | | | | 182,998 | |
Nathan’s Famous, Inc. | | | 454 | | | | 32,379 | |
| | | | | | | | |
| | | Shares | | | Value | |
Nautilus, Inc.(1) | | | 8,275 | | | | 139,434 | |
Newell Brands, Inc. | | | 240,635 | | | | 6,610,243 | |
Nordstrom, Inc.(1) | | | 75,520 | | | | 2,761,766 | |
Norwegian Cruise Line Holdings Ltd.(1) | | | 10,935 | | | | 321,598 | |
NVR, Inc.(1) | | | 3,038 | | | | 15,108,885 | |
ODP Corp.(1) | | | 86,923 | | | | 4,173,173 | |
Ollie’s Bargain Outlet Holdings, Inc.(1) | | | 1,949 | | | | 163,969 | |
OneSpaWorld Holdings Ltd.(1) | | | 10,458 | | | | 101,338 | |
OneWater Marine, Inc. - Class A | | | 4,482 | | | | 188,378 | |
O’Reilly Automotive, Inc.(1) | | | 1,449 | | | | 820,438 | |
Oxford Industries, Inc. | | | 177,149 | | | | 17,509,407 | |
Penn National Gaming, Inc.(1) | | | 4,367 | | | | 334,032 | |
Penske Automotive Group, Inc. | | | 50,031 | | | | 3,776,840 | |
Perdoceo Education Corp.(1) | | | 26,585 | | | | 326,198 | |
Petco Health & Wellness Co., Inc. - Class A(1) | | | 2,079 | | | | 46,590 | |
PetMed Express, Inc. | | | 1,178 | | | | 37,519 | |
Planet Fitness, Inc. - Class A(1) | | | 773 | | | | 58,168 | |
Polaris, Inc. | | | 99,986 | | | | 13,694,083 | |
PulteGroup, Inc. | | | 116,153 | | | | 6,338,469 | |
PVH Corp.(1) | | | 94,535 | | | | 10,171,021 | |
QuantumScape Corp. - Class A(1) | | | 989 | | | | 28,938 | |
Qurate Retail, Inc. | | | 11,349 | | | | 148,558 | |
Ralph Lauren Corp. - Class A | | | 1,414 | | | | 166,583 | |
Red Robin Gourmet Burgers, Inc.(1) | | | 6,681 | | | | 221,208 | |
Red Rock Resorts, Inc. - Class A(1) | | | 575,880 | | | | 24,474,900 | |
Regis Corp.(1) | | | 426,009 | | | | 3,987,444 | |
Rent-A-Center, Inc. | | | 1,698 | | | | 90,113 | |
Revolve Group, Inc. - Class A(1) | | | 5,016 | | | | 345,602 | |
Rocky Brands, Inc. | | | 2,416 | | | | 134,330 | |
Ross Stores, Inc. | | | 88,676 | | | | 10,995,824 | |
Royal Caribbean Cruises Ltd.(1) | | | 6,548 | | | | 558,413 | |
SeaWorld Entertainment, Inc.(1) | | | 8,714 | | | | 435,177 | |
Service Corp. International | | | 4,898 | | | | 262,484 | |
Shift Technologies, Inc.(1) | | | 18,646 | | | | 159,983 | |
Shoe Carnival, Inc. | | | 328 | | | | 23,482 | |
Signet Jewelers Ltd.(1) | | | 4,342 | | | | 350,790 | |
Six Flags Entertainment Corp.(1) | | | 1,428 | | | | 61,804 | |
Skechers USA, Inc. - Class A(1) | | | 1,084,873 | | | | 54,059,222 | |
Skyline Champion Corp.(1) | | | 194,780 | | | | 10,381,774 | |
Sleep Number Corp.(1) | | | 50,020 | | | | 5,499,699 | |
Sonic Automotive, Inc. - Class A | | | 8,263 | | | | 369,687 | |
Stamps.com, Inc.(1) | | | 45,231 | | | | 9,059,317 | |
Standard Motor Products, Inc. | | | 7,852 | | | | 340,384 | |
StoneMor, Inc.(1) | | | 11,201 | | | | 29,347 | |
Stoneridge, Inc.(1) | | | 139,812 | | | | 4,124,454 | |
Strategic Education, Inc. | | | 9,206 | | | | 700,208 | |
Stride, Inc.(1) | | | 14,317 | | | | 460,005 | |
Sturm Ruger & Co., Inc. | | | 11,011 | | | | 990,770 | |
Superior Group of Companies, Inc. | | | 3,348 | | | | 80,051 | |
| | | | | | | | |
| | | Shares | | | Value | |
Tapestry, Inc.(1) | | | 14,678 | | | | 638,199 | |
Target Hospitality Corp.(1) | | | 4,509 | | | | 16,728 | |
Taylor Morrison Home Corp. - Class A(1) | | | 41,318 | | | | 1,091,622 | |
Tempur Sealy International, Inc. | | | 140,965 | | | | 5,524,418 | |
Tenneco, Inc. - Class A(1) | | | 2,348 | | | | 45,363 | |
Terminix Global Holdings, Inc.(1) | | | 3,788 | | | | 180,726 | |
Thor Industries, Inc. | | | 944 | | | | 106,672 | |
Tilly’s, Inc. - Class A | | | 8,643 | | | | 138,115 | |
Toll Brothers, Inc. | | | 220,221 | | | | 12,730,976 | |
TopBuild Corp.(1) | | | 168 | | | | 33,227 | |
Travel + Leisure Co. | | | 165,887 | | | | 9,861,982 | |
TravelCenters of America, Inc.(1) | | | 4,639 | | | | 135,644 | |
TRI Pointe Group, Inc.(1) | | | 41,725 | | | | 894,167 | |
Tupperware Brands Corp.(1) | | | 18,744 | | | | 445,170 | |
Ulta Beauty, Inc.(1) | | | 25,997 | | | | 8,988,983 | |
Under Armour, Inc. - Class A(1) | | | 5,628 | | | | 119,032 | |
Under Armour, Inc. - Class C(1) | | | 6,313 | | | | 117,232 | |
Unifi, Inc.(1) | | | 4,767 | | | | 116,124 | |
Universal Electronics, Inc.(1) | | | 4,965 | | | | 240,803 | |
Urban Outfitters, Inc.(1) | | | 292,378 | | | | 12,051,821 | |
Vail Resorts, Inc.(1) | | | 36,224 | | | | 11,465,621 | |
Vera Bradley, Inc.(1) | | | 9,581 | | | | 118,709 | |
VF Corp. | | | 86,409 | | | | 7,088,994 | |
Vista Outdoor, Inc.(1) | | | 21,906 | | | | 1,013,810 | |
Visteon Corp.(1) | | | 41,013 | | | | 4,960,112 | |
Vivint Smart Home, Inc.(1) | | | 25,296 | | | | 333,907 | |
VOXX International Corp. - Class A(1) | | | 5,800 | | | | 81,258 | |
Vroom, Inc.(1) | | | 2,579 | | | | 107,957 | |
Wayfair, Inc. - Class A(1) | | | 1,002 | | | | 316,341 | |
Whirlpool Corp. | | | 126,290 | | | | 27,533,746 | |
Williams-Sonoma, Inc. | | | 29,139 | | | | 4,652,041 | |
Winmark Corp. | | | 873 | | | | 167,686 | |
Wolverine World Wide, Inc. | | | 456,861 | | | | 15,368,804 | |
Workhorse Group, Inc.(1) | | | 42,133 | | | | 698,986 | |
WW International, Inc.(1) | | | 13,743 | | | | 496,672 | |
Wyndham Hotels & Resorts, Inc. | | | 227,562 | | | | 16,450,457 | |
XL Fleet Corp.(1) | | | 12,610 | | | | 105,041 | |
Yum China Holdings, Inc. | | | 11,599 | | | | 768,434 | |
Yum! Brands, Inc. | | | 8,251 | | | | 949,113 | |
Zumiez, Inc.(1) | | | 284,979 | | | | 13,961,121 | |
| | | | | | | | |
Total Consumer Discretionary | | | | 874,443,809 | |
| | | | | |
Consumer Staples – 3.42% | | | | | | | | |
Albertsons Companies, Inc. - Class A | | | 4,611 | | | | 90,652 | |
Archer-Daniels-Midland Co. | | | 251,248 | | | | 15,225,629 | |
B&G Foods, Inc. | | | 24,062 | | | | 789,234 | |
Beauty Health Co.(1) | | | 1,527 | | | | 25,654 | |
BellRing Brands, Inc. - Class A(1) | | | 5,357 | | | | 167,888 | |
Beyond Meat, Inc.(1) | | | 212 | | | | 33,388 | |
BJ’s Wholesale Club Holdings, Inc.(1) | | | 13,058 | | | | 621,300 | |
Brown-Forman Corp. - Class A | | | 648 | | | | 45,684 | |
| | | | | | | | |
| | | Shares | | | Value | |
Brown-Forman Corp. - Class B | | | 2,775 | | | | 207,958 | |
Bunge Ltd. | | | 4,106 | | | | 320,884 | |
Cal-Maine Foods, Inc. | | | 13,505 | | | | 489,016 | |
Campbell Soup Co. | | | 5,817 | | | | 265,197 | |
Casey’s General Stores, Inc. | | | 1,095 | | | | 213,131 | |
Central Garden & Pet Co. - Class A(1) | | | 2,254 | | | | 119,304 | |
Central Garden & Pet Co. - Class A(1) | | | 259,590 | | | | 12,538,197 | |
Church & Dwight Co., Inc. | | | 7,031 | | | | 599,182 | |
Clorox Co. | | | 706 | | | | 127,016 | |
Coca-Cola European Partners Plc | | | 230,618 | | | | 13,680,260 | |
Conagra Brands, Inc. | | | 217,611 | | | | 7,916,688 | |
Constellation Brands, Inc. - Class A | | | 49,660 | | | | 11,614,977 | |
Coty, Inc. - Class A(1) | | | 8,614 | | | | 80,455 | |
Darling Ingredients, Inc.(1) | | | 4,566 | | | | 308,205 | |
Duckhorn Portfolio, Inc.(1) | | | 2,866 | | | | 63,224 | |
Edgewell Personal Care Co. | | | 28,860 | | | | 1,266,954 | |
Energizer Holdings, Inc. | | | 133,222 | | | | 5,725,881 | |
Flowers Foods, Inc. | | | 258,361 | | | | 6,252,336 | |
Fresh Del Monte Produce, Inc. | | | 12,546 | | | | 412,512 | |
Grocery Outlet Holding Corp.(1) | | | 2,604 | | | | 90,255 | |
Hain Celestial Group, Inc.(1) | | | 2,565 | | | | 102,908 | |
Herbalife Nutrition Ltd.(1) | | | 2,678 | | | | 141,211 | |
Hershey Co. | | | 627 | | | | 109,211 | |
HF Foods Group, Inc.(1) | | | 13,505 | | | | 71,441 | |
Honest Co., Inc.(1) | | | 5,388 | | | | 87,232 | |
Hormel Foods Corp. | | | 8,454 | | | | 403,678 | |
Hostess Brands, Inc. - Class A(1) | | | 587,704 | | | | 9,514,928 | |
Ingles Markets, Inc. - Class A | | | 5,262 | | | | 306,617 | |
Ingredion, Inc. | | | 72,585 | | | | 6,568,942 | |
J.M. Smucker Co. | | | 58,752 | | | | 7,612,497 | |
John B Sanfilippo & Son, Inc. | | | 1,253 | | | | 110,978 | |
Kellogg Co. | | | 4,214 | | | | 271,087 | |
Kroger Co. | | | 393,056 | | | | 15,057,975 | |
Laird Superfood, Inc.(1) | | | 545 | | | | 16,279 | |
Lamb Weston Holdings, Inc. | | | 3,074 | | | | 247,949 | |
Lancaster Colony Corp. | | | 71,696 | | | | 13,873,893 | |
Landec Corp.(1) | | | 9,129 | | | | 102,701 | |
Limoneira Co. | | | 4,730 | | | | 83,011 | |
McCormick & Co., Inc. | | | 7,550 | | | | 666,816 | |
MGP Ingredients, Inc. | | | 904 | | | | 61,147 | |
Mission Produce, Inc.(1) | | | 12,308 | | | | 254,899 | |
Molson Coors Beverage Co. - Class B(1) | | | 241,333 | | | | 12,957,169 | |
Natural Grocers by Vitamin Cottage, Inc. | | | 3,417 | | | | 36,699 | |
Nature’s Sunshine Products, Inc. | | | 4,199 | | | | 72,937 | |
NewAge, Inc.(1) | | | 20,044 | | | | 44,698 | |
Nomad Foods Ltd.(1) | | | 509,532 | | | | 14,404,470 | |
Nu Skin Enterprises, Inc. - Class A | | | 10,369 | | | | 587,404 | |
Oil-Dri Corp. of America | | | 1,956 | | | | 66,856 | |
Performance Food Group Co.(1) | | | 184,145 | | | | 8,929,191 | |
| | | | | | | | |
| | | Shares | | | Value | |
Pilgrim’s Pride Corp.(1) | | | 133,237 | | | | 2,955,197 | |
Post Holdings, Inc.(1) | | | 202,995 | | | | 22,018,868 | |
PriceSmart, Inc. | | | 8,221 | | | | 748,193 | |
Primo Water Corp. | | | 59,324 | | | | 992,490 | |
Revlon, Inc. - Class A(1) | | | 2,608 | | | | 33,487 | |
Reynolds Consumer Products, Inc. | | | 1,625 | | | | 49,319 | |
Rite Aid Corp.(1) | | | 20,939 | | | | 341,306 | |
Sanderson Farms, Inc. | | | 1,107 | | | | 208,083 | |
Seaboard Corp. | | | 7 | | | | 27,081 | |
Seneca Foods Corp. - Class A(1) | | | 2,315 | | | | 118,250 | |
Simply Good Foods Co.(1) | | | 408,146 | | | | 14,901,410 | |
SpartanNash Co. | | | 13,908 | | | | 268,563 | |
Spectrum Brands Holdings, Inc. | | | 7,355 | | | | 625,469 | |
Sprouts Farmers Market, Inc.(1) | | | 24,913 | | | | 619,088 | |
The Andersons, Inc. | | | 7,091 | | | | 216,488 | |
The Chefs’ Warehouse, Inc.(1) | | | 11,167 | | | | 355,446 | |
Tootsie Roll Industries, Inc. | | | 5,934 | | | | 201,222 | |
TreeHouse Foods, Inc.(1) | | | 19,480 | | | | 867,250 | |
Tyson Foods, Inc. - Class A | | | 117,599 | | | | 8,674,102 | |
United Natural Foods, Inc.(1) | | | 48,137 | | | | 1,780,106 | |
Universal Corp. | | | 53,560 | | | | 3,051,313 | |
US Foods Holding Corp.(1) | | | 195,522 | | | | 7,500,224 | |
Vector Group Ltd. | | | 46,778 | | | | 661,441 | |
Veru, Inc.(1) | | | 6,630 | | | | 53,504 | |
Village Super Market, Inc. - Class A | | | 3,223 | | | | 75,773 | |
Weis Markets, Inc. | | | 6,327 | | | | 326,853 | |
Whole Earth Brands, Inc.(1) | | | 13,677 | | | | 198,316 | |
| | | | | | | | |
Total Consumer Staples | | | | 239,924,727 | |
| | | | | |
Energy – 5.07% | | | | | | | | |
Aemetis, Inc.(1) | | | 8,645 | | | | 96,565 | |
Alto Ingredients, Inc.(1) | | | 26,776 | | | | 163,601 | |
Altus Midstream Co. - Class A | | | 1,106 | | | | 74,666 | |
Antero Midstream Corp. | | | 9,991 | | | | 103,806 | |
Antero Resources Corp.(1) | | | 94,217 | | | | 1,416,082 | |
APA Corp. | | | 11,366 | | | | 245,847 | |
Arch Resources, Inc.(1) | | | 4,568 | | | | 260,285 | |
Archrock, Inc. | | | 50,564 | | | | 450,525 | |
Baker Hughes Co. - Class A | | | 21,989 | | | | 502,888 | |
Berry Petroleum Corp. | | | 25,363 | | | | 170,439 | |
Bonanza Creek Energy, Inc. | | | 11,565 | | | | 544,365 | |
Brigham Minerals, Inc. - Class A | | | 16,692 | | | | 355,373 | |
Bristow Group, Inc.(1) | | | 2,469 | | | | 63,231 | |
Cabot Oil & Gas Corp. | | | 10,318 | | | | 180,152 | |
California Resources Corp.(1) | | | 31,635 | | | | 953,479 | |
Callon Petroleum Co.(1) | | | 2,006 | | | | 115,726 | |
Centennial Resource Development, Inc. - Class A(1) | | | 59,059 | | | | 400,420 | |
Centrus Energy Corp. - Class A(1) | | | 3,464 | | | | 87,916 | |
ChampionX Corp.(1) | | | 979,282 | | | | 25,118,583 | |
Chesapeake Energy Corp. | | | 37,103 | | | | 1,926,388 | |
Cimarex Energy Co. | | | 164,040 | | | | 11,884,698 | |
| | | | | | | | |
| | | Shares | | | Value | |
Clean Energy Fuels Corp.(1) | | | 52,178 | | | | 529,607 | |
CNX Resources Corp.(1) | | | 82,030 | | | | 1,120,530 | |
Comstock Resources, Inc.(1) | | | 34,303 | | | | 228,801 | |
ConocoPhillips | | | 270,816 | | | | 16,492,694 | |
CONSOL Energy, Inc.(1) | | | 12,834 | | | | 237,044 | |
Continental Resources, Inc. | | | 1,744 | | | | 66,324 | |
CVR Energy, Inc. | | | 11,994 | | | | 215,412 | |
Delek US Holdings, Inc. | | | 24,897 | | | | 538,273 | |
Devon Energy Corp. | | | 226,875 | | | | 6,622,481 | |
DHT Holdings, Inc. | | | 54,519 | | | | 353,828 | |
Diamond S Shipping, Inc.(1) | | | 11,575 | | | | 115,287 | |
Diamondback Energy, Inc. | | | 480,701 | | | | 45,133,017 | |
Dorian LPG Ltd.(1) | | | 9,108 | | | | 128,605 | |
Dril-Quip, Inc.(1) | | | 13,305 | | | | 450,108 | |
Earthstone Energy, Inc.—Class A(1) | | | 11,092 | | | | 122,788 | |
Energy Fuels, Inc.(1) | | | 7,487 | | | | 45,296 | |
Enviva Partners LP | | | 3,850 | | | | 201,779 | |
EQT Corp.(1) | | | 8,354 | | | | 185,960 | |
Equitrans Midstream Corp. | | | 153,592 | | | | 1,307,068 | |
Extraction Oil & Gas, Inc.(1) | | | 3,536 | | | | 194,162 | |
Falcon Minerals Corp. | | | 4,119 | | | | 20,925 | |
Frank’s International NV(1) | | | 1,342,868 | | | | 4,068,890 | |
Frontline Ltd./Bermuda | | | 45,533 | | | | 409,797 | |
FTS International, Inc.—Class A(1) | | | 3,230 | | | | 91,377 | |
Gevo, Inc.(1) | | | 76,406 | | | | 555,472 | |
Golar LNG Ltd.(1) | | | 38,870 | | | | 515,027 | |
Green Plains, Inc.(1) | | | 13,056 | | | | 438,943 | |
Halliburton Co. | | | 454,259 | | | | 10,502,468 | |
Helix Energy Solutions Group, Inc.(1) | | | 52,966 | | | | 302,436 | |
Helmerich & Payne, Inc. | | | 275,853 | | | | 9,001,083 | |
Hess Corp. | | | 7,720 | | | | 674,110 | |
HighPeak Energy, Inc.(1) | | | 1,451 | | | | 14,844 | |
HollyFrontier Corp. | | | 343,472 | | | | 11,300,229 | |
International Seaways, Inc. | | | 9,176 | | | | 175,996 | |
Kinder Morgan, Inc. | | | 311,200 | | | | 5,673,176 | |
Laredo Petroleum, Inc.(1) | | | 3,438 | | | | 319,012 | |
Liberty Oilfield Services, Inc.—Class A(1) | | | 21,249 | | | | 300,886 | |
Magnolia Oil & Gas Corp.—Class A(1) | | | 1,800,576 | | | | 28,143,003 | |
Marathon Oil Corp. | | | 23,455 | | | | 319,457 | |
Marathon Petroleum Corp. | | | 306,080 | | | | 18,493,354 | |
Matador Resources Co. | | | 731,206 | | | | 26,330,728 | |
Murphy Oil Corp. | | | 55,974 | | | | 1,303,075 | |
Nabors Industries Ltd.(1) | | | 2,598 | | | | 296,796 | |
National Energy Services Reunited, Inc.(1) | | | 10,812 | | | | 154,071 | |
NCS Multistage Holdings, Inc.(1) | | | 99 | | | | 3,007 | |
Newpark Resources, Inc.(1) | | | 34,330 | | | | 118,782 | |
NexTier Oilfield Solutions, Inc.(1) | | | 58,107 | | | | 276,589 | |
Nordic American Tankers Ltd. | | | 57,663 | | | | 189,135 | |
Northern Oil & Gas, Inc. | | | 17,934 | | | | 372,489 | |
| | | | | | | | |
| | | Shares | | | Value | |
NOV, Inc.(1) | | | 11,624 | | | | 178,080 | |
Oasis Petroleum, Inc. | | | 1,145 | | | | 115,130 | |
Occidental Petroleum Corp. | | | 22,056 | | | | 689,691 | |
Oceaneering International, Inc.(1) | | | 37,521 | | | | 584,202 | |
Oil States International, Inc.(1) | | | 23,361 | | | | 183,384 | |
ONEOK, Inc. | | | 13,307 | | | | 740,401 | |
Ovintiv, Inc. | | | 93,921 | | | | 2,955,694 | |
Par Pacific Holdings, Inc.(1) | | | 3,045 | | | | 51,217 | |
Patterson-UTI Energy, Inc. | | | 72,392 | | | | 719,576 | |
PBF Energy, Inc.—Class A(1) | | | 36,234 | | | | 554,380 | |
PDC Energy, Inc. | | | 38,037 | | | | 1,741,714 | |
Peabody Energy Corp.(1) | | | 25,828 | | | | 204,816 | |
Penn Virginia Corp.(1) | | | 5,601 | | | | 132,240 | |
Phillips 66 | | | 13,186 | | | | 1,131,623 | |
Pioneer Natural Resources Co. | | | 266,799 | | | | 43,360,173 | |
Plains GP Holdings LP—Class A(1) | | | 986,615 | | | | 11,780,183 | |
ProPetro Holding Corp.(1) | | | 31,864 | | | | 291,874 | |
Range Resources Corp.(1) | | | 89,581 | | | | 1,501,378 | |
Renewable Energy Group, Inc.(1) | | | 16,800 | | | | 1,047,312 | |
REX American Resources Corp.(1) | | | 1,995 | | | | 179,909 | |
Riley Exploration Permian, Inc. | | | 757 | | | | 21,938 | |
RPC, Inc.(1) | | | 24,959 | | | | 123,547 | |
Schlumberger Ltd. | | | 586,205 | | | | 18,764,422 | |
Scorpio Tankers, Inc. | | | 18,328 | | | | 404,132 | |
Select Energy Services, Inc.—Class A(1) | | | 23,008 | | | | 138,968 | |
SFL Corp. Ltd. | | | 39,549 | | | | 302,550 | |
SM Energy Co. | | | 43,717 | | | | 1,076,750 | |
Solaris Oilfield Infrastructure, Inc.—Class A | | | 8,882 | | | | 86,511 | |
Talos Energy, Inc.(1) | | | 11,747 | | | | 183,723 | |
Targa Resources Corp. | | | 6,765 | | | | 300,704 | |
Teekay Corp.(1) | | | 25,513 | | | | 94,908 | |
Teekay Tankers Ltd.—Class A(1) | | | 8,869 | | | | 127,891 | |
TETRA Technologies, Inc.(1) | | | 9,674 | | | | 41,985 | |
Tidewater, Inc.(1) | | | 14,777 | | | | 178,063 | |
Ur-Energy, Inc.(1) | | | 6,963 | | | | 9,748 | |
US Silica Holdings, Inc.(1) | | | 27,774 | | | | 321,067 | |
Valero Energy Corp. | | | 176,077 | | | | 13,748,092 | |
Viper Energy Partners LP | | | 371,424 | | | | 6,993,914 | |
W&T Offshore, Inc.(1) | | | 36,567 | | | | 177,350 | |
Whiting Petroleum Corp.(1) | | | 14,813 | | | | 808,049 | |
Williams Companies, Inc. | | | 36,389 | | | | 966,128 | |
World Fuel Services Corp. | | | 88,826 | | | | 2,818,449 | |
| | | | | | | | |
Total Energy | | | | 355,601,122 | |
| | | | | | | | |
Financials – 20.82% | | | | | | | | |
1st Source Corp. | | | 6,825 | | | | 317,090 | |
AFC Gamma, Inc. | | | 2,693 | | | | 55,610 | |
Affiliated Managers Group, Inc. | | | 1,240 | | | | 191,220 | |
Aflac, Inc. | | | 138,275 | | | | 7,419,836 | |
AGNC Investment Corp. | | | 15,693 | | | | 265,055 | |
Alerus Financial Corp. | | | 5,676 | | | | 164,661 | |
| | | | | | | | |
| | | Shares | | | Value | |
Alleghany Corp.(1) | | | 30,608 | | | | 20,417,679 | |
Allegiance Bancshares, Inc. | | | 6,986 | | | | 268,542 | |
Allstate Corp. | | | 110,120 | | | | 14,364,053 | |
Ally Financial, Inc. | | | 192,342 | | | | 9,586,325 | |
Altabancorp | | | 6,389 | | | | 276,708 | |
Amalgamated Financial Corp. | | | 5,369 | | | | 83,917 | |
A-Mark Precious Metals, Inc. | | | 4,263 | | | | 198,229 | |
Ambac Financial Group, Inc.(1) | | | 17,455 | | | | 273,345 | |
Amerant Bancorp, Inc.—Class A(1) | | | 7,991 | | | | 170,848 | |
American Equity Investment Life Holding Co. | | | 32,199 | | | | 1,040,672 | |
American Financial Group, Inc. | | | 47,449 | | | | 5,917,839 | |
American International Group, Inc. | | | 508,968 | | | | 24,226,877 | |
American National Bankshares, Inc. | | | 4,199 | | | | 130,547 | |
American National Group, Inc. | | | 2,803 | | | | 416,386 | |
Ameriprise Financial, Inc. | | | 184,405 | | | | 45,894,716 | |
Ameris Bancorp | | | 29,444 | | | | 1,490,750 | |
AMERISAFE, Inc. | | | 7,491 | | | | 447,138 | |
Annaly Capital Management, Inc. | | | 329,917 | | | | 2,929,663 | |
Aon Plc—Class A | | | 40,232 | | | | 9,605,792 | |
Apollo Commercial Real Estate Finance, Inc. | | | 52,462 | | | | 836,769 | |
Arbor Realty Trust, Inc. | | | 47,796 | | | | 851,725 | |
Arch Capital Group Ltd.(1) | | | 8,830 | | | | 343,840 | |
Ares Commercial Real Estate Corp. | | | 16,084 | | | | 236,274 | |
Ares Management Corp.—Class A | | | 202,144 | | | | 12,854,337 | |
Argo Group International Holdings Ltd. | | | 12,095 | | | | 626,884 | |
ARMOUR Residential REIT, Inc. | | | 26,528 | | | | 302,950 | |
Arrow Financial Corp. | | | 5,314 | | | | 191,038 | |
Arthur J. Gallagher & Co. | | | 81,009 | | | | 11,347,741 | |
Assetmark Financial Holdings, Inc.(1) | | | 7,009 | | | | 175,646 | |
Associated Banc-Corp. | | | 363,454 | | | | 7,443,538 | |
Associated Capital Group, Inc.—Class A | | | 732 | | | | 28,446 | |
Assurant, Inc. | | | 1,803 | | | | 281,593 | |
Assured Guaranty Ltd. | | | 2,175 | | | | 103,269 | |
Athene Holding Ltd.—Class A(1) | | | 356,202 | | | | 24,043,635 | |
Atlantic Capital Bancshares, Inc.(1) | | | 7,413 | | | | 188,735 | |
Atlantic Union Bankshares Corp. | | | 29,836 | | | | 1,080,660 | |
Axis Capital Holdings Ltd. | | | 84,043 | | | | 4,118,947 | |
Axos Financial, Inc.(1) | | | 19,425 | | | | 901,126 | |
B. Riley Financial, Inc. | | | 7,415 | | | | 559,832 | |
Banc of California, Inc. | | | 16,503 | | | | 289,463 | |
BancFirst Corp. | | | 6,732 | | | | 420,279 | |
Banco Latinoamericano de Comercio Exterior SA—Class E | | | 12,334 | | | | 189,574 | |
BancorpSouth Bank | | | 699,560 | | | | 19,818,535 | |
Bank First Corp. | | | 2,365 | | | | 165,006 | |
Bank of Hawaii Corp. | | | 113,282 | | | | 9,540,610 | |
Bank of Marin Bancorp | | | 5,056 | | | | 161,286 | |
Bank of NT Butterfield & Son Ltd. | | | 485,827 | | | | 17,222,567 | |
Bank OZK | | | 272,080 | | | | 11,470,893 | |
BankUnited, Inc. | | | 278,308 | | | | 11,880,969 | |
| | | | | | | | |
| | | Shares | | | Value | |
Banner Corp. | | | 12,750 | | | | 691,177 | |
Bar Harbor Bankshares | | | 5,558 | | | | 159,070 | |
Berkshire Hills Bancorp, Inc. | | | 16,988 | | | | 465,641 | |
BGC Partners, Inc.—Class A | | | 124,978 | | | | 708,625 | |
Blackstone Mortgage Trust, Inc.—Class A | | | 52,117 | | | | 1,662,011 | |
Blucora, Inc.(1) | | | 11,928 | | | | 206,474 | |
Blue Ridge Bankshares, Inc. | | | 6,307 | | | | 110,499 | |
BOK Financial Corp. | | | 94,474 | | | | 8,181,448 | |
Boston Private Financial Holdings, Inc. | | | 30,539 | | | | 450,450 | |
Bridgewater Bancshares, Inc.(1) | | | 6,586 | | | | 106,364 | |
Brighthouse Financial, Inc.(1) | | | 152,098 | | | | 6,926,543 | |
Brightsphere Investment Group, Inc. | | | 896,380 | | | | 21,002,183 | |
BrightSpire Capital, Inc. | | | 33,470 | | | | 314,618 | |
Broadmark Realty Capital, Inc. | | | 49,285 | | | | 521,928 | |
Brookline Bancorp, Inc. | | | 592,950 | | | | 8,864,602 | |
Brown & Brown, Inc. | | | 6,642 | | | | 352,956 | |
Bryn Mawr Bank Corp. | | | 8,075 | | | | 340,684 | |
Business First Bancshares, Inc. | | | 7,380 | | | | 169,371 | |
Byline Bancorp, Inc. | | | 9,612 | | | | 217,520 | |
Cadence BanCorp—Class A | | | 29,684 | | | | 619,802 | |
Cambridge Bancorp | | | 2,490 | | | | 206,645 | |
Camden National Corp. | | | 5,835 | | | | 278,680 | |
Cannae Holdings, Inc.(1) | | | 32,880 | | | | 1,114,961 | |
Capital Bancorp, Inc.(1) | | | 2,921 | | | | 59,734 | |
Capital City Bank Group, Inc. | | | 5,383 | | | | 138,828 | |
Capital One Financial Corp. | | | 50,724 | | | | 7,846,496 | |
Capitol Federal Financial, Inc. | | | 48,857 | | | | 575,535 | |
Capstar Financial Holdings, Inc. | | | 7,615 | | | | 156,107 | |
Capstead Mortgage Corp. | | | 36,396 | | | | 223,471 | |
Carlyle Group, Inc. | | | 4,895 | | | | 227,520 | |
Carter Bankshares, Inc.(1) | | | 9,600 | | | | 120,096 | |
Cathay General Bancorp | | | 449,976 | | | | 17,711,055 | |
CBOE Global Markets, Inc. | | | 3,187 | | | | 379,412 | |
CBTX, Inc. | | | 7,080 | | | | 193,355 | |
Central Pacific Financial Corp. | | | 8,489 | | | | 221,223 | |
Century Bancorp, Inc.—Class A | | | 1,030 | | | | 117,420 | |
Chimera Investment Corp. | | | 235,375 | | | | 3,544,747 | |
Cincinnati Financial Corp. | | | 4,472 | | | | 521,525 | |
CIT Group, Inc. | | | 37,277 | | | | 1,923,120 | |
Citizens & Northern Corp. | | | 5,986 | | | | 146,657 | |
Citizens Financial Group, Inc. | | | 269,504 | | | | 12,362,148 | |
Citizens, Inc.—Class A(1) | | | 18,319 | | | | 96,908 | |
City Holding Co. | | | 5,751 | | | | 432,705 | |
Civista Bancshares, Inc. | | | 5,872 | | | | 129,771 | |
CNA Financial Corp. | | | 105,975 | | | | 4,820,803 | |
CNB Financial Corporation, Inc. | | | 6,102 | | | | 139,248 | |
CNO Financial Group, Inc. | | | 478,021 | | | | 11,290,856 | |
Coastal Financial Corp.(1) | | | 1,252 | | | | 35,757 | |
Columbia Banking System, Inc. | | | 26,923 | | | | 1,038,151 | |
Columbia Financial, Inc.(1) | | | 10,298 | | | | 177,332 | |
| | | | | | | | |
| | | Shares | | | Value | |
Comerica, Inc. | | | 4,201 | | | | 299,699 | |
Commerce Bancshares, Inc. | | | 3,157 | | | | 235,386 | |
Community Bank System, Inc. | | | 19,608 | | | | 1,483,345 | |
Community Trust Bancorp, Inc. | | | 6,150 | | | | 248,337 | |
Compass Diversified Holdings | | | 16,196 | | | | 412,998 | |
ConnectOne Bancorp, Inc. | | | 14,994 | | | | 392,393 | |
Cowen, Inc.—Class A | | | 9,677 | | | | 397,241 | |
Crawford & Co.—Class A | | | 6,650 | | | | 60,315 | |
Credit Acceptance Corp.(1) | | | 266 | | | | 120,793 | |
CrossFirst Bankshares, Inc.(1) | | | 9,785 | | | | 134,544 | |
Cullen/Frost Bankers, Inc. | | | 1,731 | | | | 193,872 | |
Customers Bancorp, Inc.(1) | | | 9,889 | | | | 385,572 | |
CVB Financial Corp. | | | 832,971 | | | | 17,150,873 | |
Diamond Hill Investment Group, Inc. | | | 1,205 | | | | 201,609 | |
Dime Community Bancshares, Inc. | | | 13,125 | | | | 441,262 | |
Discover Financial Services | | | 294,273 | | | | 34,809,553 | |
Donegal Group, Inc.—Class A | | | 5,823 | | | | 84,841 | |
Donnelley Financial Solutions, Inc.(1) | | | 21,566 | | | | 711,678 | |
Dynex Capital, Inc. | | | 11,405 | | | | 212,817 | |
Eagle Bancorp, Inc. | | | 11,667 | | | | 654,285 | |
East West Bancorp, Inc. | | | 378,209 | | | | 27,113,803 | |
Eastern Bankshares, Inc. | | | 50,994 | | | | 1,048,947 | |
eHealth, Inc.(1) | | | 6,461 | | | | 377,322 | |
Element Fleet Management Corp. | | | 844,893 | | | | 9,855,722 | |
Ellington Financial, Inc. | | | 15,701 | | | | 300,674 | |
Employers Holdings, Inc. | | | 10,664 | | | | 456,419 | |
Encore Capital Group, Inc.(1) | | | 279,492 | | | | 13,245,126 | |
Enova International, Inc.(1) | | | 13,656 | | | | 467,172 | |
Enstar Group Ltd.(1) | | | 24,446 | | | | 5,840,638 | |
Enterprise Bancorp, Inc. | | | 3,547 | | | | 116,164 | |
Enterprise Financial Services Corp. | | | 11,496 | | | | 533,299 | |
Equitable Holdings, Inc. | | | 11,530 | | | | 351,089 | |
Equity Bancshares, Inc.—Class A(1) | | | 4,954 | | | | 151,047 | |
Erie Indemnity Co.—Class A | | | 232 | | | | 44,857 | |
Essent Group Ltd. | | | 207,496 | | | | 9,326,945 | |
Evercore, Inc.—Class A | | | 1,176 | | | | 165,546 | |
Everest Re Group Ltd. | | | 97,743 | | | | 24,632,213 | |
EZCORP, Inc.—Class A(1) | | | 18,693 | | | | 112,719 | |
FactSet Research Systems, Inc. | | | 162 | | | | 54,369 | |
Farmers National Banc Corp. | | | 10,308 | | | | 159,877 | |
FB Financial Corp. | | | 11,546 | | | | 430,897 | |
Federal Agricultural Mortgage Corp.—Class C | | | 3,430 | | | | 339,227 | |
Federated Hermes, Inc.—Class B | | | 35,993 | | | | 1,220,523 | |
Ferroglobe Representation & Warranty Insurance Trust(1)(5)(6) | | | 11,189 | | | | — | |
Fidelity D&D Bancorp, Inc. | | | 1,522 | | | | 82,340 | |
Fidelity National Financial, Inc. | | | 8,197 | | | | 356,242 | |
Fifth Third Bancorp | | | 1,131,779 | | | | 43,267,911 | |
Finance Of America Companies, Inc.—Class A(1) | | | 12,253 | | | | 93,490 | |
Financial Institutions, Inc. | | | 6,162 | | | | 184,860 | |
| | | | | | | | |
| | | Shares | | | Value | |
First American Financial Corp. | | | 103,525 | | | | 6,454,784 | |
First Bancorp NC | | | 10,456 | | | | 427,755 | |
First BanCorp PR | | | 84,983 | | | | 1,012,997 | |
First Bancorp, Inc. | | | 4,106 | | | | 120,922 | |
First Bancshares, Inc. | | | 7,713 | | | | 288,698 | |
First Bank/Hamilton NJ | | | 5,539 | | | | 74,998 | |
First Busey Corp. | | | 19,924 | | | | 491,326 | |
First Choice Bancorp | | | 4,029 | | | | 122,683 | |
First Citizens BancShares, Inc.—Class A | | | 179 | | | | 149,060 | |
First Commonwealth Financial Corp. | | | 35,406 | | | | 498,162 | |
First Community Bankshares, Inc. | | | 6,927 | | | | 206,771 | |
First Financial Bancorp | | | 35,955 | | | | 849,617 | |
First Financial Bankshares, Inc. | | | 3,426 | | | | 168,319 | |
First Financial Corp. | | | 4,854 | | | | 198,140 | |
First Foundation, Inc. | | | 14,850 | | | | 334,274 | |
First Hawaiian, Inc. | | | 441,658 | | | | 12,516,588 | |
First Horizon Corp. | | | 16,283 | | | | 281,370 | |
First Internet Bancorp | | | 3,515 | | | | 108,895 | |
First Interstate BancSystem, Inc.—Class A | | | 15,625 | | | | 653,594 | |
First Merchants Corp. | | | 20,590 | | | | 857,985 | |
First Mid Bancshares, Inc. | | | 7,282 | | | | 294,994 | |
First Midwest Bancorp, Inc. | | | 42,146 | | | | 835,755 | |
First of Long Island Corp. | | | 9,156 | | | | 194,382 | |
First Republic Bank | | | 102,806 | | | | 19,242,199 | |
FirstCash, Inc. | | | 14,097 | | | | 1,077,575 | |
Five Star Bancorp(1) | | | 1,579 | | | | 38,133 | |
Flagstar Bancorp, Inc. | | | 19,556 | | | | 826,632 | |
Flushing Financial Corp. | | | 12,388 | | | | 265,475 | |
FNB Corp. | | | 28,618 | | | | 352,860 | |
Franklin Resources, Inc. | | | 8,681 | | | | 277,705 | |
FS Bancorp, Inc. | | | 1,288 | | | | 91,796 | |
FS KKR Capital Corp. | | | 122,125 | | | | 2,626,909 | |
Fulton Financial Corp. | | | 60,722 | | | | 958,193 | |
GAMCO Investors, Inc.—Class A | | | 249 | | | | 6,250 | |
GCM Grosvenor, Inc.—Class A | | | 1,345 | | | | 14,015 | |
Genworth Financial, Inc.—Class A(1) | | | 186,548 | | | | 727,537 | |
German American Bancorp, Inc. | | | 9,467 | | | | 352,172 | |
Glacier Bancorp, Inc. | | | 411,394 | | | | 22,659,582 | |
Globe Life, Inc. | | | 94,354 | | | | 8,987,219 | |
GoHealth, Inc.—Class A(1) | | | 221 | | | | 2,477 | |
Goosehead Insurance, Inc.—Class A | | | 5,614 | | | | 714,662 | |
Granite Point Mortgage Trust, Inc. | | | 20,093 | | | | 296,372 | |
Great Ajax Corp. | | | 8,766 | | | | 113,783 | |
Great Southern Bancorp, Inc. | | | 4,194 | | | | 226,057 | |
Great Western Bancorp, Inc. | | | 19,401 | | | | 636,159 | |
Green Dot Corp.—Class A(1) | | | 17,481 | | | | 818,985 | |
Greenlight Capital Re Ltd.—Class A(1) | | | 10,683 | | | | 97,536 | |
Guaranty Bancshares, Inc. | | | 2,868 | | | | 97,713 | |
Hancock Whitney Corp. | | | 33,211 | | | | 1,475,897 | |
Hanmi Financial Corp. | | | 345,321 | | | | 6,581,818 | |
| | | | | | | | |
| | | Shares | | | Value | |
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | | | 27,337 | | | | 1,534,973 | |
Hanover Insurance Group, Inc. | | | 62,555 | | | | 8,484,960 | |
HarborOne Bancorp, Inc. | | | 19,417 | | | | 278,440 | |
Hartford Financial Services Group, Inc. | | | 295,274 | | | | 18,298,130 | |
Hawthorn Bancshares, Inc. | | | 71 | | | | 1,628 | |
HBT Financial, Inc. | | | 3,767 | | | | 65,583 | |
HCI Group, Inc. | | | 2,151 | | | | 213,874 | |
Heartland Financial USA, Inc. | | | 15,360 | | | | 721,766 | |
Heritage Commerce Corp. | | | 23,131 | | | | 257,448 | |
Heritage Financial Corp. | | | 13,141 | | | | 328,788 | |
Heritage Insurance Holdings, Inc. | | | 8,109 | | | | 69,575 | |
Hilltop Holdings, Inc. | | | 26,382 | | | | 960,305 | |
Hingham Institution for Savings | | | 493 | | | | 143,217 | |
Home Bancorp, Inc. | | | 2,959 | | | | 112,767 | |
Home Bancshares, Inc. | | | 69,252 | | | | 1,709,139 | |
Home Point Capital, Inc.(1) | | | 2,238 | | | | 13,271 | |
HomeStreet, Inc. | | | 7,673 | | | | 312,598 | |
HomeTrust Bancshares, Inc. | | | 5,590 | | | | 155,961 | |
Hope Bancorp, Inc. | | | 43,284 | | | | 613,767 | |
Horace Mann Educators Corp. | | | 286,433 | | | | 10,718,323 | |
Horizon Bancorp, Inc. | | | 16,837 | | | | 293,469 | |
Houlihan Lokey, Inc.—Class A | | | 2,662 | | | | 217,725 | |
Howard Bancorp, Inc.(1) | | | 4,568 | | | | 73,682 | |
Huntington Bancshares, Inc. | | | 3,499,834 | | | | 49,942,631 | |
Independence Holding Co. | | | 1,684 | | | | 78,003 | |
Independent Bank Corp. | | | 280,428 | | | | 21,172,314 | |
Independent Bank Corp. MI | | | 8,376 | | | | 181,843 | |
Independent Bank Group, Inc. | | | 18,600 | | | | 1,376,028 | |
Interactive Brokers Group, Inc.—Class A | | | 2,406 | | | | 158,146 | |
International Bancshares Corp. | | | 20,417 | | | | 876,706 | |
Invesco Ltd. | | | 10,041 | | | | 268,396 | |
Invesco Mortgage Capital, Inc. | | | 93,461 | | | | 364,498 | |
Investors Bancorp, Inc. | | | 55,639 | | | | 793,412 | |
Investors Title Co. | | | 462 | | | | 80,679 | |
James River Group Holdings Ltd. | | | 7,274 | | | | 272,920 | |
Janus Henderson Group Plc | | | 2,432 | | | | 94,386 | |
Jefferies Financial Group, Inc. | | | 6,525 | | | | 223,155 | |
Kearny Financial Corp. | | | 20,544 | | | | 245,501 | |
Kemper Corp. | | | 1,846 | | | | 136,419 | |
KeyCorp | | | 1,535,261 | | | | 31,703,140 | |
KKR & Co., Inc.—Class Miscella | | | 16,440 | | | | 973,906 | |
KKR Real Estate Finance Trust, Inc. | | | 12,307 | | | | 266,200 | |
Ladder Capital Corp.—Class A | | | 42,881 | | | | 494,847 | |
Lakeland Bancorp, Inc. | | | 18,956 | | | | 331,351 | |
Lakeland Financial Corp. | | | 362,548 | | | | 22,347,459 | |
Lazard Ltd.—Class A | | | 110,666 | | | | 5,007,637 | |
Lemonade, Inc.(1) | | | 995 | | | | 108,863 | |
LendingClub Corp.(1) | | | 36,254 | | | | 657,285 | |
Lincoln National Corp. | | | 84,210 | | | | 5,291,756 | |
| | | | | | | | |
| | | Shares | | | Value | |
Loews Corp. | | | 383,447 | | | | 20,955,379 | |
Luther Burbank Corp. | | | 6,110 | | | | 72,465 | |
M&T Bank Corp. | | | 3,839 | | | | 557,845 | |
Macatawa Bank Corp. | | | 10,980 | | | | 96,075 | |
Maiden Holdings Ltd.(1) | | | 25,362 | | | | 85,470 | |
Markel Corp.(1) | | | 336 | | | | 398,735 | |
Marlin Business Services Corp. | | | 3,188 | | | | 72,559 | |
MBIA, Inc.(1) | | | 18,664 | | | | 205,304 | |
Mercantile Bank Corp. | | | 6,376 | | | | 192,555 | |
Merchants Bancorp | | | 3,601 | | | | 141,303 | |
Mercury General Corp. | | | 797 | | | | 51,765 | |
Meridian Bancorp, Inc. | | | 17,619 | | | | 360,485 | |
Meta Financial Group, Inc. | | | 8,349 | | | | 422,710 | |
Metrocity Bankshares, Inc. | | | 5,970 | | | | 104,535 | |
MetroMile, Inc.(1) | | | 13,932 | | | | 127,478 | |
Metropolitan Bank Holding Corp.(1) | | | 2,734 | | | | 164,641 | |
MFA Financial, Inc. | | | 164,996 | | | | 757,332 | |
MGIC Investment Corp. | | | 220,064 | | | | 2,992,870 | |
Mid Penn Bancorp, Inc. | | | 3,674 | | | | 100,851 | |
Midland States Bancorp, Inc. | | | 8,183 | | | | 214,967 | |
MidWestOne Financial Group, Inc. | | | 5,781 | | | | 166,319 | |
Moelis & Co.—Class A | | | 10,510 | | | | 597,914 | |
Morningstar, Inc. | | | 74 | | | | 19,026 | |
Mr Cooper Group, Inc.(1) | | | 239,174 | | | | 7,907,092 | |
MSCI, Inc.—Class A | | | 700 | | | | 373,156 | |
MVB Financial Corp. | | | 3,620 | | | | 154,429 | |
Nasdaq, Inc. | | | 77,135 | | | | 13,560,333 | |
National Bank Holdings Corp.—Class A | | | 9,997 | | | | 377,287 | |
National Western Life Group, Inc.—Class A | | | 972 | | | | 218,107 | |
Navient Corp. | | | 290,253 | | | | 5,610,590 | |
NBT Bancorp, Inc. | | | 15,811 | | | | 568,722 | |
Nelnet, Inc.—Class A | | | 6,440 | | | | 484,481 | |
New Residential Investment Corp. | | | 925,728 | | | | 9,803,460 | |
New York Community Bancorp, Inc. | | | 13,546 | | | | 149,277 | |
New York Mortgage Trust, Inc. | | | 141,275 | | | | 631,499 | |
NI Holdings, Inc.(1) | | | 3,926 | | | | 74,633 | |
Nicolet Bankshares, Inc.(1) | | | 3,451 | | | | 242,743 | |
NMI Holdings, Inc.—Class A(1) | | | 29,728 | | | | 668,285 | |
Northern Trust Corp. | | | 6,241 | | | | 721,584 | |
Northfield Bancorp, Inc. | | | 17,977 | | | | 294,823 | |
Northrim BanCorp, Inc. | | | 2,313 | | | | 98,881 | |
Northwest Bancshares, Inc. | | | 43,658 | | | | 595,495 | |
OceanFirst Financial Corp. | | | 22,829 | | | | 475,756 | |
Ocwen Financial Corp.(1) | | | 2,990 | | | | 92,630 | |
OFG Bancorp | | | 18,503 | | | | 409,286 | |
Old National Bancorp | | | 73,787 | | | | 1,299,389 | |
Old Republic International Corp. | | | 141,556 | | | | 3,526,160 | |
Old Second Bancorp, Inc. | | | 11,467 | | | | 142,191 | |
OneMain Holdings, Inc.—Class A | | | 2,672 | | | | 160,080 | |
Oportun Financial Corp.(1) | | | 8,010 | | | | 160,440 | |
| | | | | | | | |
| | | Shares | | | Value | |
Oppenheimer Holdings, Inc.—Class A | | | 3,572 | | | | 181,600 | |
Orchid Island Capital, Inc.—Class A | | | 36,441 | | | | 189,129 | |
Origin Bancorp, Inc. | | | 9,890 | | | | 419,929 | |
Orrstown Financial Services, Inc. | | | 4,134 | | | | 95,371 | |
Pacific Premier Bancorp, Inc. | | | 36,441 | | | | 1,541,090 | |
PacWest Bancorp | | | 573,674 | | | | 23,612,422 | |
Park National Corp. | | | 5,332 | | | | 626,083 | |
PCSB Financial Corp. | | | 5,299 | | | | 96,283 | |
Peapack Gladstone Financial Corp. | | | 7,031 | | | | 218,453 | |
PennantPark Investment Corp. | | | 163,500 | | | | 1,092,180 | |
PennyMac Financial Services, Inc. | | | 13,218 | | | | 815,815 | |
PennyMac Mortgage Investment Trust | | | 29,831 | | | | 628,241 | |
Peoples Bancorp, Inc. | | | 7,156 | | | | 211,961 | |
Peoples Financial Services Corp. | | | 2,766 | | | | 117,832 | |
People’s United Financial, Inc. | | | 12,761 | | | | 218,724 | |
Pinnacle Financial Partners, Inc. | | | 2,208 | | | | 194,944 | |
Pioneer Bancorp, Inc.(1) | | | 4,579 | | | | 55,040 | |
Piper Sandler Companies | | | 6,695 | | | | 867,404 | |
PJT Partners, Inc.—Class A | | | 1,524 | | | | 108,783 | |
Popular, Inc. | | | 43,030 | | | | 3,229,402 | |
PRA Group, Inc.(1) | | | 17,177 | | | | 660,799 | |
Preferred Bank Los Angeles | | | 5,045 | | | | 319,197 | |
Premier Financial Bancorp, Inc. | | | 4,752 | | | | 80,071 | |
Premier Financial Corp. | | | 16,394 | | | | 465,754 | |
Primerica, Inc. | | | 1,163 | | | | 178,102 | |
Primis Financial Corp. | | | 9,595 | | | | 146,420 | |
Principal Financial Group, Inc. | | | 80,900 | | | | 5,112,071 | |
ProAssurance Corp. | | | 22,619 | | | | 514,582 | |
PROG Holdings, Inc. | | | 182,651 | | | | 8,790,993 | |
ProSight Global, Inc.(1) | | | 7,267 | | | | 92,727 | |
Prospect Capital Corp. | | | 295,600 | | | | 2,480,084 | |
Prosperity Bancshares, Inc. | | | 155,768 | | | | 11,184,142 | |
Provident Bancorp, Inc. | | | 5,933 | | | | 96,767 | |
Provident Financial Services, Inc. | | | 32,422 | | | | 742,140 | |
Prudential Financial, Inc. | | | 54,699 | | | | 5,605,007 | |
QCR Holdings, Inc. | | | 7,076 | | | | 340,285 | |
Radian Group, Inc. | | | 72,392 | | | | 1,610,722 | |
Raymond James Financial, Inc. | | | 159,939 | | | | 20,776,076 | |
RBB Bancorp | | | 5,229 | | | | 126,646 | |
Ready Capital Corp. | | | 23,032 | | | | 365,518 | |
Red River Bancshares, Inc. | | | 1,818 | | | | 91,827 | |
Redwood Trust, Inc. | | | 42,406 | | | | 511,840 | |
Regional Management Corp. | | | 1,943 | | | | 90,427 | |
Regions Financial Corp. | | | 409,325 | | | | 8,260,179 | |
Reinsurance Group of America, Inc.—Class A | | | 194,331 | | | | 22,153,734 | |
Reliant Bancorp, Inc. | | | 5,622 | | | | 155,898 | |
RenaissanceRe Holdings Ltd. | | | 71,254 | | | | 10,604,020 | |
Renasant Corp. | | | 21,679 | | | | 867,160 | |
Republic Bancorp, Inc.—Class A | | | 3,810 | | | | 175,755 | |
| | | | | | | | |
| | | Shares | | | Value | |
Republic First Bancorp, Inc.(1) | | | 18,033 | | | | 71,952 | |
RLI Corp. | | | 1,217 | | | | 127,286 | |
S&T Bancorp, Inc. | | | 14,370 | | | | 449,781 | |
Safety Insurance Group, Inc. | | | 5,329 | | | | 417,154 | |
Sandy Spring Bancorp, Inc. | | | 129,904 | | | | 5,732,664 | |
Santander Consumer USA Holdings, Inc. | | | 140,848 | | | | 5,115,599 | |
Sculptor Capital Management, Inc.—Class A | | | 8,203 | | | | 201,712 | |
Seacoast Banking Corp. of Florida | | | 18,996 | | | | 648,713 | |
SEI Investments Co. | | | 3,314 | | | | 205,369 | |
Selective Insurance Group, Inc. | | | 360,338 | | | | 29,241,429 | |
Selectquote, Inc.(1) | | | 366,420 | | | | 7,057,249 | |
ServisFirst Bancshares, Inc. | | | 3,248 | | | | 220,799 | |
Sierra Bancorp | | | 5,470 | | | | 139,212 | |
Signature Bank | | | 32,006 | | | | 7,862,274 | |
Simmons First National Corp.—Class A | | | 40,173 | | | | 1,178,676 | |
SiriusPoint Ltd.(1) | | | 454,240 | | | | 4,574,197 | |
SLM Corp. | | | 1,351,316 | | | | 28,296,557 | |
SmartFinancial, Inc. | | | 5,254 | | | | 126,149 | |
South Plains Financial, Inc. | | | 4,225 | | | | 97,724 | |
South State Corp. | | | 252,145 | | | | 20,615,375 | |
Southern First Bancshares, Inc.(1) | | | 2,180 | | | | 111,529 | |
Southern Missouri Bancorp, Inc. | | | 2,964 | | | | 133,261 | |
Southside Bancshares, Inc. | | | 11,666 | | | | 445,991 | |
Spirit of Texas Bancshares, Inc. | | | 5,020 | | | | 114,657 | |
Starwood Property Trust, Inc. | | | 8,550 | | | | 223,754 | |
State Auto Financial Corp. | | | 6,860 | | | | 117,443 | |
State Street Corp. | | | 211,114 | | | | 17,370,460 | |
Sterling Bancorp | | | 694,419 | | | | 17,214,647 | |
Stewart Information Services Corp. | | | 9,880 | | | | 560,097 | |
Stifel Financial Corp. | | | 208,793 | | | | 13,542,314 | |
Stock Yards Bancorp, Inc. | | | 6,642 | | | | 338,011 | |
StoneX Group, Inc.(1) | | | 5,806 | | | | 352,250 | |
Summit Financial Group, Inc. | | | 4,507 | | | | 99,199 | |
SVB Financial Group(1) | | | 33,443 | | | | 18,608,688 | |
Synchrony Financial | | | 686,854 | | | | 33,326,156 | |
Synovus Financial Corp. | | | 4,124 | | | | 180,961 | |
T Rowe Price Group, Inc. | | | 4,532 | | | | 897,200 | |
Texas Capital Bancshares, Inc.(1) | | | 11,911 | | | | 756,229 | |
TFS Financial Corp. | | | 1,460 | | | | 29,638 | |
The Bancorp, Inc.(1) | | | 19,221 | | | | 442,275 | |
Tiptree, Inc. | | | 8,125 | | | | 75,563 | |
Tompkins Financial Corp. | | | 5,462 | | | | 423,633 | |
Towne Bank/Portsmouth VA | | | 30,645 | | | | 932,221 | |
TPG RE Finance Trust, Inc. | | | 22,562 | | | | 303,459 | |
Tradeweb Markets, Inc.—Class A | | | 3,146 | | | | 266,026 | |
Travelers Companies, Inc. | | | 41,855 | | | | 6,266,112 | |
Trean Insurance Group, Inc.(1) | | | 6,623 | | | | 99,875 | |
TriCo Bancshares | | | 10,478 | | | | 446,153 | |
TriState Capital Holdings, Inc.(1) | | | 10,908 | | | | 222,414 | |
Triumph Bancorp, Inc.(1) | | | 627 | | | | 46,555 | |
| | | | | | | | |
| | | Shares | | | Value | |
Truist Financial Corp. | | | 352,418 | | | | 19,559,199 | |
TrustCo Bank Corp. NY | | | 6,985 | | | | 240,144 | |
Trustmark Corp. | | | 24,280 | | | | 747,824 | |
Two Harbors Investment Corp. | | | 1,808,386 | | | | 13,671,398 | |
UMB Financial Corp. | | | 167,650 | | | | 15,601,509 | |
Umpqua Holdings Corp. | | | 762,796 | | | | 14,073,586 | |
United Bankshares, Inc. | | | 407,244 | | | | 14,864,406 | |
United Community Banks, Inc. | | | 28,832 | | | | 922,912 | |
United Fire Group, Inc. | | | 7,744 | | | | 214,741 | |
United Insurance Holdings Corp. | | | 7,549 | | | | 43,029 | |
Universal Insurance Holdings, Inc. | | | 100,051 | | | | 1,388,708 | |
Univest Financial Corp. | | | 11,324 | | | | 298,614 | |
Unum Group | | | 103,644 | | | | 2,943,490 | |
UWM Holdings Corp. | | | 827 | | | | 6,988 | |
Valley National Bancorp | | | 182,649 | | | | 2,452,976 | |
Velocity Financial, Inc.(1) | | | 2,997 | | | | 37,433 | |
Veritex Holdings, Inc. | | | 15,263 | | | | 540,463 | |
Virtu Financial, Inc.—Class A | | | 2,801 | | | | 77,392 | |
Voya Financial, Inc. | | | 56,593 | | | | 3,480,470 | |
Walker & Dunlop, Inc. | | | 9,890 | | | | 1,032,318 | |
Washington Federal, Inc. | | | 27,712 | | | | 880,687 | |
Washington Trust Bancorp, Inc. | | | 6,740 | | | | 346,099 | |
Waterstone Financial, Inc. | | | 8,539 | | | | 167,877 | |
Watford Holdings Ltd.(1) | | | 6,762 | | | | 236,602 | |
Webster Financial Corp. | | | 2,646 | | | | 141,138 | |
WesBanco, Inc. | | | 24,876 | | | | 886,332 | |
West Bancorporation, Inc. | | | 5,294 | | | | 146,909 | |
Westamerica Bancorporation | | | 9,472 | | | | 549,660 | |
Western Alliance Bancorp | | | 1,438 | | | | 133,518 | |
White Mountains Insurance Group Ltd. | | | 90 | | | | 103,323 | |
Willis Towers Watson Plc | | | 30,558 | | | | 7,028,951 | |
Wintrust Financial Corp. | | | 125,645 | | | | 9,502,531 | |
WisdomTree Investments, Inc. | | | 14,704 | | | | 91,165 | |
World Acceptance Corp.(1) | | | 1,655 | | | | 265,197 | |
WR Berkley Corp. | | | 4,085 | | | | 304,047 | |
WSFS Financial Corp. | | | 17,565 | | | | 818,353 | |
Zions Bancorp N.A. | | | 329,520 | | | | 17,418,427 | |
| | | | | | | | |
Total Financials | | | | 1,459,151,477 | |
| | | | | | | | |
Healthcare – 9.03% | | | | | | | | |
4D Molecular Therapeutics, Inc.(1) | | | 3,279 | | | | 78,958 | |
89bio, Inc.(1) | | | 3,612 | | | | 67,544 | |
Acadia Healthcare Co., Inc.(1) | | | 2,623 | | | | 164,593 | |
AdaptHealth Corp.—Class A(1) | | | 446,229 | | | | 12,231,137 | |
Adaptive Biotechnologies Corp.(1) | | | 356 | | | | 14,546 | |
Addus HomeCare Corp.(1) | | | 3,391 | | | | 295,831 | |
Adicet Bio, Inc.(1) | | | 7,598 | | | | 78,183 | |
Aduro Bioteech, Inc.(1)(6) | | | 990 | | | | 2,970 | |
Adverum Biotechnologies, Inc.(1) | | | 32,716 | | | | 114,506 | |
Aeglea BioTherapeutics, Inc.—Class Savings(1) | | | 14,836 | | | | 103,259 | |
| | | | | | | | |
| | | Shares | | | Value | |
Agilent Technologies, Inc. | | | 63,916 | | | | 9,447,424 | |
Agiliti, Inc.(1) | | | 358,561 | | | | 7,841,729 | |
agilon health, Inc.(1) | | | 179 | | | | 7,262 | |
Agios Pharmaceuticals, Inc.(1) | | | 23,101 | | | | 1,273,096 | |
Akebia Therapeutics, Inc.(1) | | | 34,633 | | | | 131,259 | |
Akero Therapeutics, Inc.(1) | | | 2,399 | | | | 59,519 | |
Akouos, Inc.(1) | | | 8,871 | | | | 111,331 | |
Albireo Pharma, Inc.(1) | | | 1,399 | | | | 49,217 | |
Alexion Pharmaceuticals, Inc.(1) | | | 23,806 | | | | 4,373,400 | |
Allogene Therapeutics, Inc.(1) | | | 15,241 | | | | 397,485 | |
Allscripts Healthcare Solutions, Inc.(1) | | | 52,764 | | | | 976,662 | |
Alphatec Holdings, Inc.(1) | | | 2,047 | | | | 31,360 | |
Altimmune, Inc.(1) | | | 12,121 | | | | 119,392 | |
Amedisys, Inc.(1) | | | 110 | | | | 26,942 | |
American Well Corp.—Class A(1) | | | 73,083 | | | | 919,384 | |
AmerisourceBergen Corp.—Class A | | | 124,354 | | | | 14,237,289 | |
AMN Healthcare Services, Inc.(1) | | | 194,895 | | | | 18,900,917 | |
Amphastar Pharmaceuticals, Inc.(1) | | | 9,869 | | | | 198,959 | |
AnaptysBio, Inc.(1) | | | 7,265 | | | | 188,381 | |
AngioDynamics, Inc.(1) | | | 13,794 | | | | 374,231 | |
ANI Pharmaceuticals, Inc.(1) | | | 3,643 | | | | 127,687 | |
Anika Therapeutics, Inc.(1) | | | 5,443 | | | | 235,628 | |
Annexon, Inc.(1) | | | 11,613 | | | | 261,409 | |
Applied Therapeutics, Inc.(1) | | | 1,708 | | | | 35,492 | |
Apria, Inc.(1) | | | 5,393 | | | | 151,004 | |
AquaBounty Technologies, Inc.(1) | | | 13,085 | | | | 70,136 | |
Arbutus Biopharma Corp.(1) | | | 26,402 | | | | 79,998 | |
Arcturus Therapeutics Holdings, Inc.(1) | | | 7,899 | | | | 267,302 | |
Arcus Biosciences, Inc.(1) | | | 16,960 | | | | 465,722 | |
Arcutis Biotherapeutics, Inc.(1) | | | 9,341 | | | | 254,916 | |
Ardelyx, Inc.(1) | | | 7,848 | | | | 59,488 | |
Arena Pharmaceuticals, Inc.(1) | | | 20,788 | | | | 1,417,742 | |
Asensus Surgical, Inc.(1) | | | 60,780 | | | | 192,673 | |
Atara Biotherapeutics, Inc.(1) | | | 28,389 | | | | 441,449 | |
Atea Pharmaceuticals, Inc.(1) | | | 22,085 | | | | 474,386 | |
Athenex, Inc.(1) | | | 13,548 | | | | 62,592 | |
Athersys, Inc.(1) | | | 10,809 | | | | 15,565 | |
Athira Pharma, Inc.(1) | | | 12,035 | | | | 123,238 | |
Atossa Therapeutics, Inc.(1) | | | 41,016 | | | | 259,221 | |
Atreca, Inc.—Class A(1) | | | 9,716 | | | | 82,780 | |
Avanos Medical, Inc.(1) | | | 18,217 | | | | 662,552 | |
Avantor, Inc.(1) | | | 904,891 | | | | 32,132,679 | |
Aveanna Healthcare Holdings, Inc.(1) | | | 1,550,035 | | | | 19,173,933 | |
Avid Bioservices, Inc.(1) | | | 1,344 | | | | 34,474 | |
Avidity Biosciences, Inc.(1) | | | 9,423 | | | | 232,842 | |
Avrobio, Inc.(1) | | | 13,637 | | | | 121,233 | |
BioCryst Pharmaceuticals, Inc.(1) | | | 59,788 | | | | 945,248 | |
Biohaven Pharmaceutical Holding Co. Ltd.(1) | | | 6,674 | | | | 647,912 | |
BioMarin Pharmaceutical, Inc.(1) | | | 5,447 | | | | 454,498 | |
Bio-Rad Laboratories, Inc.—Class A(1) | | | 644 | | | | 414,923 | |
| | | | | | | | |
| | | Shares | | | Value | |
Bioventus, Inc.—Class A(1) | | | 775 | | | | 13,640 | |
Black Diamond Therapeutics, Inc.(1) | | | 8,508 | | | | 103,713 | |
Bluebird Bio, Inc.(1) | | | 25,390 | | | | 811,972 | |
Blueprint Medicines Corp.(1) | | | 1,462 | | | | 128,598 | |
Bolt Biotherapeutics, Inc.(1) | | | 4,293 | | | | 66,370 | |
Boston Scientific Corp.(1) | | | 389,943 | | | | 16,673,963 | |
Bridgebio Pharma, Inc.(1) | | | 13,248 | | | | 807,598 | |
Brookdale Senior Living, Inc.(1) | | | 69,881 | | | | 552,060 | |
Brooklyn ImmunoTherapeutics, Inc.(1) | | | 1,027 | | | | 18,496 | |
Cara Therapeutics, Inc.(1) | | | 16,784 | | | | 239,508 | |
Cardiff Oncology, Inc.(1) | | | 13,317 | | | | 88,558 | |
Cardinal Health, Inc. | | | 80,655 | | | | 4,604,594 | |
Castle Biosciences, Inc.(1) | | | 659 | | | | 48,325 | |
Castlight Health, Inc.—Class B(1) | | | 43,420 | | | | 114,195 | |
Catalent, Inc.(1) | | | 3,714 | | | | 401,558 | |
Catalyst Pharmaceuticals, Inc.(1) | | | 36,776 | | | | 211,462 | |
Celldex Therapeutics, Inc.(1) | | | 3,079 | | | | 102,962 | |
CEL-SCI Corp.(1) | | | 1,106 | | | | 9,600 | |
Centene Corp.(1) | | | 163,415 | | | | 11,917,856 | |
Cerecor, Inc.(1) | | | 3,183 | | | | 10,408 | |
Cerner Corp. | | | 8,992 | | | | 702,815 | |
Certara, Inc.(1) | | | 454 | | | | 12,862 | |
Change Healthcare, Inc.(1) | | | 7,373 | | | | 169,874 | |
Charles River Laboratories International, Inc.(1) | | | 96 | | | | 35,512 | |
Chemed Corp. | | | 340 | | | | 161,330 | |
ChemoCentryx, Inc.(1) | | | 19,074 | | | | 255,401 | |
Chimerix, Inc.(1) | | | 7,906 | | | | 63,248 | |
Chinook Therapeutics, Inc.(1) | | | 11,716 | | | | 165,430 | |
Citius Pharmaceuticals, Inc.(1) | | | 42,454 | | | | 147,740 | |
Clene, Inc.(1) | | | 2,918 | | | | 32,798 | |
Cogent Biosciences, Inc.(1) | | | 9,826 | | | | 79,689 | |
Community Health Systems, Inc.(1) | | | 6,273 | | | | 96,855 | |
Computer Programs & Systems, Inc. | | | 5,423 | | | | 180,206 | |
Constellation Pharmaceuticals, Inc.(1) | | | 13,706 | | | | 463,263 | |
Cooper Companies, Inc. | | | 30,073 | | | | 11,917,028 | |
CorMedix, Inc.(1) | | | 12,811 | | | | 87,883 | |
Covetrus, Inc.(1) | | | 39,078 | | | | 1,055,106 | |
Crinetics Pharmaceuticals, Inc.(1) | | | 1,999 | | | | 37,681 | |
Cross Country Healthcare, Inc.(1) | | | 11,442 | | | | 188,907 | |
CryoLife, Inc.(1) | | | 1,792 | | | | 50,893 | |
Cullinan Oncology, Inc.(1) | | | 4,624 | | | | 119,068 | |
Curis, Inc.(1) | | | 3,933 | | | | 31,739 | |
Cymabay Therapeutics, Inc.(1) | | | 27,411 | | | | 119,512 | |
Cytokinetics, Inc.(1) | | | 1,851 | | | | 36,631 | |
CytomX Therapeutics, Inc.(1) | | | 3,582 | | | | 22,674 | |
DarioHealth Corp.(1) | | | 5,037 | | | | 107,590 | |
DaVita, Inc.(1) | | | 65,623 | | | | 7,902,978 | |
Deciphera Pharmaceuticals, Inc.(1) | | | 2,122 | | | | 77,686 | |
Dentsply Sirona, Inc. | | | 6,532 | | | | 413,214 | |
| | | | | | | | |
| | | Shares | | | Value | |
Design Therapeutics, Inc.(1) | | | 2,143 | | | | 42,624 | |
Dyne Therapeutics, Inc.(1) | | | 11,238 | | | | 236,448 | |
Eagle Pharmaceuticals, Inc.(1) | | | 2,433 | | | | 104,132 | |
Eiger BioPharmaceuticals, Inc.(1) | | | 11,906 | | | | 101,439 | |
Elanco Animal Health, Inc.(1) | | | 1,437,995 | | | | 49,884,047 | |
Emergent BioSolutions, Inc.(1) | | | 18,414 | | | | 1,159,898 | |
Enanta Pharmaceuticals, Inc.(1) | | | 6,745 | | | | 296,847 | |
Encompass Health Corp. | | | 1,247 | | | | 97,303 | |
Endo International Plc(1) | | | 86,187 | | | | 403,355 | |
Envista Holdings Corp.(1) | | | 289,228 | | | | 12,497,542 | |
Evolent Health, Inc.—Class A(1) | | | 23,160 | | | | 489,139 | |
Exact Sciences Corp.(1) | | | 386 | | | | 47,984 | |
Exagen, Inc.(1) | | | 2,808 | | | | 42,092 | |
Exelixis, Inc.(1) | | | 1,350 | | | | 24,597 | |
EyePoint Pharmaceuticals, Inc.(1) | | | 7,782 | | | | 69,960 | |
FibroGen, Inc.(1) | | | 2,920 | | | | 77,760 | |
Finch Therapeutics Group, Inc.(1) | | | 2,506 | | | | 35,259 | |
Fluidigm Corp.(1) | | | 25,904 | | | | 159,569 | |
Foghorn Therapeutics, Inc.(1) | | | 6,198 | | | | 66,133 | |
Forian, Inc.(1) | | | 864 | | | | 10,861 | |
Forma Therapeutics Holdings, Inc.(1) | | | 12,049 | | | | 299,900 | |
Frequency Therapeutics, Inc.(1) | | | 11,993 | | | | 119,450 | |
Fulcrum Therapeutics, Inc.(1) | | | 8,015 | | | | 83,997 | |
Fulgent Genetics, Inc.(1) | | | 6,667 | | | | 614,897 | |
G1 Therapeutics, Inc.(1) | | | 6,132 | | | | 134,536 | |
Gemini Therapeutics, Inc.—Class A(1) | | | 6,747 | | | | 43,653 | |
Generation Bio Co.(1) | | | 1,095 | | | | 29,456 | |
Geron Corp.(1) | | | 113,600 | | | | 160,176 | |
Globus Medical, Inc.—Class A(1) | | | 2,194 | | | | 170,101 | |
Gossamer Bio, Inc.(1) | | | 23,376 | | | | 189,813 | |
Gritstone Oncology, Inc.(1) | | | 15,178 | | | | 138,575 | |
Haemonetics Corp.(1) | | | 6,047 | | | | 402,972 | |
Harvard Bioscience, Inc.(1) | | | 2,186 | | | | 18,209 | |
HCA Healthcare, Inc. | | | 85,421 | | | | 17,659,938 | |
HealthStream, Inc.(1) | | | 9,553 | | | | 266,911 | |
Henry Schein, Inc.(1) | | | 4,249 | | | | 315,233 | |
Hill-Rom Holdings, Inc. | | | 1,984 | | | | 225,363 | |
Hologic, Inc.(1) | | | 255,471 | | | | 17,045,025 | |
Homology Medicines, Inc.(1) | | | 15,852 | | | | 115,244 | |
Hookipa Pharma, Inc.(1) | | | 2,609 | | | | 23,898 | |
Horizon Therapeutics Plc(1) | | | 5,297 | | | | 496,011 | |
Humana, Inc. | | | 34,811 | | | | 15,411,526 | |
iBio, Inc.(1) | | | 81,178 | | | | 122,579 | |
ICON Plc(1) | | | 65,058 | | | | 13,448,139 | |
ICU Medical, Inc.(1) | | | 61,856 | | | | 12,729,965 | |
Ideaya Biosciences, Inc.(1) | | | 7,946 | | | | 166,787 | |
Ikena Oncology, Inc.(1) | | | 2,978 | | | | 41,811 | |
Immunic, Inc.(1) | | | 5,749 | | | | 70,483 | |
ImmunityBio, Inc.(1) | | | 22,113 | | | | 315,774 | |
ImmunoGen, Inc.(1) | | | 33,936 | | | | 223,638 | |
| | | | | | | | |
| | | Shares | | | Value | |
Immunovant, Inc.(1) | | | 5,004 | | | | 52,892 | |
Incyte Corp.(1) | | | 795 | | | | 66,883 | |
Infinity Pharmaceuticals, Inc.(1) | | | 3,428 | | | | 10,250 | |
Innoviva, Inc.(1) | | | 168,802 | | | | 2,263,635 | |
Inovio Pharmaceuticals, Inc.(1) | | | 77,730 | | | | 720,557 | |
Inozyme Pharma, Inc.(1) | | | 5,230 | | | | 89,119 | |
Instil Bio, Inc.(1) | | | 3,475 | | | | 67,137 | |
Integer Holdings Corp.(1) | | | 190,334 | | | | 17,929,463 | |
Integra LifeSciences Holdings Corp.(1) | | | 2,210 | | | | 150,810 | |
Invacare Corp.(1) | | | 13,479 | | | | 108,776 | |
Invitae Corp.(1) | | | 56,581 | | | | 1,908,477 | |
Ionis Pharmaceuticals, Inc.(1) | | | 345 | | | | 13,762 | |
Iovance Biotherapeutics, Inc.(1) | | | 3,014 | | | | 78,424 | |
IQVIA Holdings, Inc.(1) | | | 92,208 | | | | 22,343,843 | |
Ironwood Pharmaceuticals, Inc.—Class A(1) | | | 369,500 | | | | 4,755,465 | |
iTeos Therapeutics, Inc.(1) | | | 7,556 | | | | 193,811 | |
IVERIC bio, Inc.(1) | | | 27,126 | | | | 171,165 | |
Jazz Pharmaceuticals Plc(1) | | | 107,606 | | | | 19,115,130 | |
Jounce Therapeutics, Inc.(1) | | | 12,338 | | | | 83,898 | |
Kala Pharmaceuticals, Inc.(1) | | | 6,264 | | | | 33,199 | |
KemPharm, Inc.(1) | | | 5,518 | | | | 70,741 | |
Kezar Life Sciences, Inc.(1) | | | 12,757 | | | | 69,271 | |
Kiniksa Pharmaceuticals Ltd.—Class A(1) | | | 6,022 | | | | 83,886 | |
Kinnate Biopharma, Inc.(1) | | | 4,792 | | | | 111,558 | |
Kronos Bio, Inc.(1) | | | 12,778 | | | | 306,033 | |
Krystal Biotech, Inc.(1) | | | 4,282 | | | | 291,176 | |
Kura Oncology, Inc.(1) | | | 23,770 | | | | 495,605 | |
Laboratory Corp. of America Holdings(1) | | | 43,864 | | | | 12,099,884 | |
Lannett Co., Inc.(1) | | | 57,700 | | | | 269,459 | |
Lantheus Holdings, Inc.(1) | | | 68,069 | | | | 1,881,427 | |
Lexicon Pharmaceuticals, Inc.(1) | | | 15,227 | | | | 69,892 | |
Ligand Pharmaceuticals, Inc.(1) | | | 4,990 | | | | 654,638 | |
Lineage Cell Therapeutics, Inc.(1) | | | 45,113 | | | | 128,572 | |
LivaNova Plc(1) | | | 3,619 | | | | 304,394 | |
MacroGenics, Inc.(1) | | | 1,823 | | | | 48,966 | |
Magellan Health, Inc.(1) | | | 8,847 | | | | 833,387 | |
Magenta Therapeutics, Inc.(1) | | | 1,191 | | | | 11,648 | |
MannKind Corp.(1) | | | 82,623 | | | | 450,295 | |
Masimo Corp.(1) | | | 409 | | | | 99,162 | |
McKesson Corp. | | | 49,074 | | | | 9,384,912 | |
MEDNAX, Inc.(1) | | | 13,629 | | | | 410,914 | |
MeiraGTx Holdings Plc(1) | | | 10,323 | | | | 160,007 | |
Meridian Bioscience, Inc.(1) | | | 14,216 | | | | 315,311 | |
Merit Medical Systems, Inc.(1) | | | 2,213 | | | | 143,093 | |
Mersana Therapeutics, Inc.(1) | | | 7,743 | | | | 105,150 | |
Mesa Laboratories, Inc. | | | 1,916 | | | | 519,562 | |
MiMedx Group, Inc.(1) | | | 13,739 | | | | 171,875 | |
Mirati Therapeutics, Inc.(1) | | | 195 | | | | 31,498 | |
Mirum Pharmaceuticals, Inc.(1) | | | 1,198 | | | | 20,713 | |
| | | | | | | | |
| | | Shares | | | Value | |
Misonix, Inc.(1) | | | 2,270 | | | | 50,349 | |
ModivCare, Inc.(1) | | | 102,145 | | | | 17,371,800 | |
Molina Healthcare, Inc.(1) | | | 34,482 | | | | 8,726,015 | |
Multiplan Corp.(1) | | | 126,462 | | | | 1,203,918 | |
Mustang Bio, Inc.(1) | | | 26,467 | | | | 87,870 | |
Myriad Genetics, Inc.(1) | | | 28,738 | | | | 878,808 | |
NanoString Technologies, Inc.(1) | | | 1,393 | | | | 90,253 | |
NantHealth, Inc.(1) | | | 4,404 | | | | 10,217 | |
Natera, Inc.(1) | | | 160 | | | | 18,165 | |
National HealthCare Corp. | | | 6,182 | | | | 432,122 | |
Natus Medical, Inc.(1) | | | 12,689 | | | | 329,660 | |
Nektar Therapeutics—Class A(1) | | | 5,283 | | | | 90,656 | |
Neogen Corp.(1) | | | 2,653 | | | | 122,144 | |
Neoleukin Therapeutics, Inc.(1) | | | 10,017 | | | | 92,457 | |
Neuronetics, Inc.(1) | | | 900 | | | | 14,418 | |
NexImmune, Inc.(1) | | | 504 | | | | 8,225 | |
NextGen Healthcare, Inc.(1) | | | 21,387 | | | | 354,810 | |
NGM Biopharmaceuticals, Inc.(1) | | | 10,570 | | | | 208,440 | |
Nkarta, Inc.(1) | | | 5,255 | | | | 166,531 | |
Nurix Therapeutics, Inc.(1) | | | 1,121 | | | | 29,740 | |
Nuvation Bio, Inc.(1) | | | 2,138 | | | | 19,905 | |
Oak Street Health, Inc.(1) | | | 301 | | | | 17,630 | |
Olema Pharmaceuticals, Inc.(1) | | | 2,514 | | | | 70,342 | |
OncoCyte Corp.(1) | | | 6,602 | | | | 37,896 | |
Oncorus, Inc.(1) | | | 7,588 | | | | 104,714 | |
Oncternal Therapeutics, Inc.(1) | | | 16,488 | | | | 78,318 | |
OPKO Health, Inc.(1) | | | 148,719 | | | | 602,312 | |
Option Care Health, Inc.(1) | | | 41,737 | | | | 912,788 | |
OraSure Technologies, Inc.(1) | | | 26,838 | | | | 272,137 | |
Organon & Co.(1) | | | 129,722 | | | | 3,925,388 | |
ORIC Pharmaceuticals, Inc.(1) | | | 9,425 | | | | 166,728 | |
Orthofix Medical, Inc.(1) | | | 7,243 | | | | 290,517 | |
Owens & Minor, Inc. | | | 4,783 | | | | 202,464 | |
Oyster Point Pharma, Inc.(1) | | | 3,884 | | | | 66,766 | |
Pacific Biosciences of California, Inc.(1) | | | 39,554 | | | | 1,383,203 | |
Passage Bio, Inc.(1) | | | 13,897 | | | | 183,996 | |
Patterson Companies, Inc. | | | 24,135 | | | | 733,463 | |
PerkinElmer, Inc. | | | 3,346 | | | | 516,656 | |
Perrigo Co. Plc | | | 3,970 | | | | 182,025 | |
Personalis, Inc.(1) | | | 12,334 | | | | 312,050 | |
Pliant Therapeutics, Inc.(1) | | | 807 | | | | 23,500 | |
Portage Biotech, Inc.(1) | | | 1,095 | | | | 22,951 | |
Poseida Therapeutics, Inc.(1) | | | 10,685 | | | | 107,064 | |
PPD, Inc.(1) | | | 2,832 | | | | 130,527 | |
PRA Health Sciences, Inc.(1) | | | 71,572 | | | | 11,824,410 | |
Praxis Precision Medicines, Inc.(1) | | | 8,385 | | | | 153,278 | |
Precigen, Inc.(1) | | | 5,561 | | | | 36,258 | |
Premier, Inc.—Class A | | | 285,331 | | | | 9,926,666 | |
Prestige Consumer Healthcare, Inc.(1) | | | 303,404 | | | | 15,807,348 | |
Prometheus Biosciences, Inc.(1) | | | 3,690 | | | | 90,626 | |
| | | | | | | | |
| | | Shares | | | Value | |
Prothena Corp. Plc(1) | | | 3,012 | | | | 154,847 | |
Provention Bio, Inc.(1) | | | 20,965 | | | | 176,735 | |
QIAGEN NV(1) | | | 6,713 | | | | 324,775 | |
Quest Diagnostics, Inc. | | | 3,896 | | | | 514,155 | |
Quidel Corp.(1) | | | 36,562 | | | | 4,684,323 | |
Rain Therapeutics, Inc.(1) | | | 966 | | | | 15,012 | |
Reata Pharmaceuticals, Inc.—Class A(1) | | | 1,366 | | | | 193,330 | |
Recursion Pharmaceuticals, Inc.—Class A(1) | | | 2,686 | | | | 98,039 | |
REGENXBIO, Inc.(1) | | | 7,148 | | | | 277,700 | |
Relay Therapeutics, Inc.(1) | | | 2,494 | | | | 91,255 | |
Reneo Pharmaceuticals, Inc.(1) | | | 1,219 | | | | 11,373 | |
Repligen Corp.(1) | | | 95 | | | | 18,964 | |
Replimune Group, Inc.(1) | | | 2,997 | | | | 115,145 | |
ResMed, Inc. | | | 431 | | | | 106,250 | |
REVOLUTION Medicines, Inc.(1) | | | 19,162 | | | | 608,202 | |
Rhythm Pharmaceuticals, Inc.(1) | | | 16,481 | | | | 322,698 | |
Royalty Pharma Plc—Class A | | | 3,972 | | | | 162,812 | |
Sage Therapeutics, Inc.(1) | | | 1,552 | | | | 88,169 | |
Sana Biotechnology, Inc.(1) | | | 647 | | | | 12,720 | |
Sangamo Therapeutics, Inc.(1) | | | 4,700 | | | | 56,259 | |
Scholar Rock Holding Corp.(1) | | | 1,609 | | | | 46,500 | |
Seagen, Inc.(1) | | | 426 | | | | 67,257 | |
SeaSpine Holdings Corp.(1) | | | 6,008 | | | | 123,224 | |
Seer, Inc.—Class A(1) | | | 3,537 | | | | 115,943 | |
Select Medical Holdings Corp. | | | 99,700 | | | | 4,213,322 | |
Selecta Biosciences, Inc.(1) | | | 30,449 | | | | 127,277 | |
Sensei Biotherapeutics, Inc.(1) | | | 2,905 | | | | 28,353 | |
Shattuck Labs, Inc.(1) | | | 1,794 | | | | 52,008 | |
Sientra, Inc.(1) | | | 2,864 | | | | 22,797 | |
Sigilon Therapeutics, Inc.(1) | | | 2,443 | | | | 26,213 | |
Signify Health, Inc.—Class A(1) | | | 677 | | | | 20,601 | |
Silverback Therapeutics, Inc.(1) | | | 4,754 | | | | 146,851 | |
SOC Telemed, Inc.—Class A(1) | | | 3,415 | | | | 19,431 | |
Solid Biosciences, Inc.(1) | | | 22,369 | | | | 81,871 | |
Sorrento Therapeutics, Inc.(1) | | | 10,074 | | | | 97,617 | |
Sotera Health Co.(1) | | | 1,198,275 | | | | 29,034,203 | |
Spero Therapeutics, Inc.(1) | | | 1,080 | | | | 15,077 | |
Spruce Biosciences, Inc.(1) | | | 3,007 | | | | 33,709 | |
SQZ Biotechnologies Co.(1) | | | 8,480 | | | | 122,536 | |
STERIS Plc | | | 2,545 | | | | 525,034 | |
Supernus Pharmaceuticals, Inc.(1) | | | 18,521 | | | | 570,262 | |
Surface Oncology, Inc.(1) | | | 12,543 | | | | 93,571 | |
Sutro Biopharma, Inc.(1) | | | 15,039 | | | | 279,575 | |
Syndax Pharmaceuticals, Inc.(1) | | | 12,681 | | | | 217,733 | |
Syneos Health, Inc.—Class A(1) | | | 141,421 | | | | 12,655,765 | |
Syros Pharmaceuticals, Inc.(1) | | | 11,323 | | | | 61,710 | |
Talaris Therapeutics, Inc.(1) | | | 1,190 | | | | 17,481 | |
Talis Biomedical Corp.(1) | | | 5,378 | | | | 59,319 | |
Tandem Diabetes Care, Inc.(1) | | | 100 | | | | 9,740 | |
| | | | | | | | |
| | | Shares | | | Value | |
Tarsus Pharmaceuticals, Inc.(1) | | | 536 | | | | 15,533 | |
Taysha Gene Therapies, Inc.(1) | | | 1,473 | | | | 31,228 | |
TCR2 Therapeutics, Inc.(1) | | | 11,438 | | | | 187,698 | |
Teladoc Health, Inc.(1) | | | 4,380 | | | | 728,350 | |
Teleflex, Inc. | | | 1,170 | | | | 470,094 | |
Tenet Healthcare Corp.(1) | | | 35,155 | | | | 2,355,033 | |
Terns Pharmaceuticals, Inc.(1) | | | 1,389 | | | | 17,029 | |
Theravance Biopharma, Inc.(1) | | | 1,864 | | | | 27,065 | |
Tivity Health, Inc.(1) | | | 6,960 | | | | 183,118 | |
Tonix Pharmaceuticals Holding Corp.(1) | | | 122,783 | | | | 136,289 | |
Translate Bio, Inc.(1) | | | 12,187 | | | | 335,630 | |
Travere Therapeutics, Inc.—Class Preferre(1) | | | 20,305 | | | | 296,250 | |
Trevena, Inc.(1) | | | 40,449 | | | | 68,359 | |
Trillium Therapeutics, Inc.(1) | | | 31,092 | | | | 301,592 | |
Triple-S Management Corp.—Class B(1) | | | 9,732 | | | | 216,732 | |
Turning Point Therapeutics, Inc.(1) | | | 15,634 | | | | 1,219,765 | |
Ultragenyx Pharmaceutical, Inc.(1) | | | 492 | | | | 46,912 | |
United Therapeutics Corp.(1) | | | 23,826 | | | | 4,274,623 | |
Universal Health Services, Inc.—Class B | | | 152,676 | | | | 22,356,347 | |
UroGen Pharma Ltd.(1) | | | 2,276 | | | | 34,755 | |
Utah Medical Products, Inc. | | | 1,180 | | | | 100,347 | |
Vanda Pharmaceuticals, Inc.(1) | | | 20,755 | | | | 446,440 | |
Varex Imaging Corp.(1) | | | 12,588 | | | | 337,610 | |
Vaxart, Inc.(1) | | | 4,029 | | | | 30,177 | |
Vaxcyte, Inc.(1) | | | 10,601 | | | | 238,629 | |
VBI Vaccines, Inc.(1) | | | 8,676 | | | | 29,065 | |
Veracyte, Inc.(1) | | | 25,292 | | | | 1,011,174 | |
Viatris, Inc. | | | 269,044 | | | | 3,844,639 | |
Viemed Healthcare, Inc.(1) | | | 11,525 | | | | 82,404 | |
Viking Therapeutics, Inc.(1) | | | 25,965 | | | | 155,530 | |
Viracta Therapeutics, Inc.(1) | | | 10,708 | | | | 121,429 | |
VistaGen Therapeutics, Inc.(1) | | | 11,193 | | | | 35,258 | |
Vor BioPharma, Inc.(1) | | | 3,838 | | | | 71,579 | |
Waters Corp.(1) | | | 129 | | | | 44,584 | |
Werewolf Therapeutics, Inc.(1) | | | 998 | | | | 17,405 | |
XBiotech, Inc.(1) | | | 5,432 | | | | 89,954 | |
XOMA Corp.(1) | | | 2,027 | | | | 68,918 | |
Zimmer Biomet Holdings, Inc. | | | 99,276 | | | | 15,965,566 | |
Zogenix, Inc.(1) | | | 21,065 | | | | 364,003 | |
| | | | | | | | |
Total Healthcare | | | | 632,770,691 | |
| | | | | | | | |
Industrials – 18.21% | | | | | | | | |
AAR Corp.(1) | | | 13,448 | | | | 521,110 | |
ABM Industries, Inc. | | | 305,922 | | | | 13,567,641 | |
Acacia Research Corp.(1) | | | 19,174 | | | | 129,616 | |
ACCO Brands Corp. | | | 35,931 | | | | 310,085 | |
Acuity Brands, Inc. | | | 33,668 | | | | 6,296,926 | |
ADT, Inc. | | | 4,562 | | | | 49,224 | |
Advent Technologies Holdings, Inc.(1) | | | 1,471 | | | | 14,180 | |
AECOM(1) | | | 4,217 | | | | 267,020 | |
Aerojet Rocketdyne Holdings, Inc. | | | 5,753 | | | | 277,812 | |
| | | | | | | | |
| | | Shares | | | Value | |
AerSale Corp.(1) | | | 2,990 | | | | 37,255 | |
AGCO Corp. | | | 71,682 | | | | 9,345,899 | |
AgEagle Aerial Systems, Inc.(1) | | | 8,861 | | | | 46,697 | |
Air Lease Corp.—Class A | | | 127,084 | | | | 5,304,486 | |
Air Transport Services Group, Inc.(1) | | | 22,069 | | | | 512,663 | |
Alamo Group, Inc. | | | 488 | | | | 74,508 | |
Alaska Air Group, Inc.(1) | | | 330,054 | | | | 19,905,557 | |
Albany International Corp.—Class A | | | 11,561 | | | | 1,031,935 | |
Allegion Plc | | | 64,333 | | | | 8,961,587 | |
Allied Motion Technologies, Inc. | | | 343 | | | | 11,844 | |
Allison Transmission Holdings, Inc. | | | 350,639 | | | | 13,934,394 | |
Alta Equipment Group, Inc.(1) | | | 5,701 | | | | 75,766 | |
Altra Industrial Motion Corp. | | | 386,076 | | | | 25,102,662 | |
AMERCO | | | 260 | | | | 153,244 | |
American Airlines Group, Inc.(1) | | | 131,149 | | | | 2,781,670 | |
American Superconductor Corp.(1) | | | 9,837 | | | | 171,065 | |
American Woodmark Corp.(1) | | | 6,329 | | | | 517,016 | |
AMETEK, Inc. | | | 329,069 | | | | 43,930,711 | |
AO Smith Corp. | | | 3,914 | | | | 282,043 | |
API Group Corp.(1)(2) | | | 568,269 | | | | 11,871,139 | |
Apogee Enterprises, Inc. | | | 9,476 | | | | 385,957 | |
ArcBest Corp. | | | 53,301 | | | | 3,101,585 | |
Arcosa, Inc. | | | 164,437 | | | | 9,659,029 | |
Argan, Inc. | | | 5,645 | | | | 269,775 | |
Armstrong World Industries, Inc. | | | 40,754 | | | | 4,371,274 | |
Array Technologies, Inc.(1) | | | 36,768 | | | | 573,581 | |
ASGN, Inc.(1) | | | 115,222 | | | | 11,168,468 | |
Astec Industries, Inc. | | | 8,483 | | | | 533,920 | |
Astronics Corp.(1) | | | 9,318 | | | | 163,158 | |
Atkore, Inc.(1) | | | 68,700 | | | | 4,877,700 | |
Atlas Air Worldwide Holdings, Inc.(1) | | | 72,675 | | | | 4,949,894 | |
Atlas Technical Consultants, Inc.(1) | | | 3,992 | | | | 38,643 | |
Avis Budget Group, Inc.(1) | | | 19,469 | | | | 1,516,440 | |
AZEK Co., Inc.—Class A(1) | | | 1,492 | | | | 63,350 | |
AZZ, Inc. | | | 9,324 | | | | 482,797 | |
Babcock & Wilcox Enterprises, Inc.(1) | | | 14,598 | | | | 115,032 | |
Barnes Group, Inc. | | | 17,977 | | | | 921,321 | |
Barrett Business Services, Inc. | | | 4,547 | | | | 330,158 | |
Beacon Roofing Supply, Inc.(1) | | | 9,781 | | | | 520,838 | |
Beam Global(1) | | | 417 | | | | 15,975 | |
Blue Bird Corp.(1) | | | 3,074 | | | | 76,420 | |
Boise Cascade Co. | | | 102,434 | | | | 5,977,024 | |
Brady Corp.—Class A | | | 17,829 | | | | 999,137 | |
BrightView Holdings, Inc.(1) | | | 257,812 | | | | 4,155,929 | |
Brink’s Co. | | | 247,100 | | | | 18,987,164 | |
Builders FirstSource, Inc.(1) | | | 6,115 | | | | 260,866 | |
BWX Technologies, Inc. | | | 173,986 | | | | 10,112,066 | |
CACI International, Inc.—Class A(1) | | | 135,062 | | | | 34,457,017 | |
Caesarstone Ltd. | | | 8,425 | | | | 124,353 | |
| | | | | | | | |
| | | Shares | | | Value | |
CAI International, Inc. | | | 4,650 | | | | 260,400 | |
Carlisle Companies, Inc. | | | 953 | | | | 182,385 | |
Carrier Global Corp. | | | 13,847 | | | | 672,964 | |
Casella Waste Systems, Inc.—Class A(1) | | | 214,601 | | | | 13,612,141 | |
CBIZ, Inc.(1) | | | 396,497 | | | | 12,993,207 | |
CECO Environmental Corp.(1) | | | 17,901 | | | | 128,171 | |
CH Robinson Worldwide, Inc. | | | 3,177 | | | | 297,590 | |
Charah Solutions, Inc.(1) | | | 6,959 | | | | 35,143 | |
ChargePoint Holdings, Inc.(1) | | | 3,742 | | | | 129,997 | |
Chart Industries, Inc.(1) | | | 5,470 | | | | 800,370 | |
Cintas Corp. | | | 170 | | | | 64,940 | |
Clarivate Plc(1) | | | 12,300 | | | | 338,619 | |
Clean Harbors, Inc.(1) | | | 1,538 | | | | 143,249 | |
Colfax Corp.(1) | | | 498,091 | | | | 22,817,549 | |
Columbus McKinnon Corp. | | | 10,324 | | | | 498,030 | |
Commercial Vehicle Group, Inc.(1) | | | 7,274 | | | | 77,323 | |
CompX International, Inc. | | | 512 | | | | 10,634 | |
Concrete Pumping Holdings, Inc.(1) | | | 10,032 | | | | 84,971 | |
Copa Holdings SA—Class A(1) | | | 989 | | | | 74,501 | |
CoreCivic, Inc.(1) | | | 202,845 | | | | 2,123,787 | |
Cornerstone Building Brands, Inc.(1) | | | 8,096 | | | | 147,185 | |
Costamare, Inc. | | | 19,895 | | | | 234,960 | |
CoStar Group, Inc.(1) | | | 2,620 | | | | 216,988 | |
Covenant Logistics Group, Inc.—Class A(1) | | | 4,457 | | | | 92,171 | |
CRA International, Inc. | | | 464 | | | | 39,718 | |
Crane Co. | | | 307,786 | | | | 28,430,193 | |
Cummins, Inc. | | | 86,063 | | | | 20,983,020 | |
Curtiss-Wright Corp. | | | 89,677 | | | | 10,650,041 | |
Custom Truck One Source, Inc.(1) | | | 3,422 | | | | 32,577 | |
Delta Air Lines, Inc.(1) | | | 153,100 | | | | 6,623,106 | |
Deluxe Corp. | | | 83,291 | | | | 3,978,811 | |
Desktop Metal, Inc.—Class A(1) | | | 6,390 | | | | 73,485 | |
DIRTT Environmental Solutions(1) | | | 12,940 | | | | 55,318 | |
Donaldson Co., Inc. | | | 3,304 | | | | 209,903 | |
Dover Corp. | | | 164,875 | | | | 24,830,175 | |
Driven Brands Holdings, Inc.(1) | | | 982 | | | | 30,363 | |
Ducommun, Inc.(1) | | | 3,976 | | | | 216,931 | |
Dun & Bradstreet Holdings, Inc.(1) | | | 4,810 | | | | 102,790 | |
DXP Enterprises, Inc.(1) | | | 11,317 | | | | 376,856 | |
Dycom Industries, Inc.(1) | | | 5,388 | | | | 401,568 | |
Eagle Bulk Shipping, Inc.(1) | | | 3,099 | | | | 146,645 | |
Eaton Corp. Plc | | | 151,764 | | | | 22,488,390 | |
Echo Global Logistics, Inc.(1) | | | 6,640 | | | | 204,114 | |
EMCOR Group, Inc. | | | 58,452 | | | | 7,200,702 | |
Encore Wire Corp. | | | 7,474 | | | | 566,454 | |
Enerpac Tool Group Corp.—Class A | | | 123,400 | | | | 3,284,908 | |
EnerSys | | | 14,437 | | | | 1,410,928 | |
Ennis, Inc. | | | 10,374 | | | | 223,248 | |
EnPro Industries, Inc. | | | 9,054 | | | | 879,596 | |
Equifax, Inc. | | | 2,240 | | | | 536,502 | |
| | | | | | | | |
| | | Shares | | | Value | |
ESCO Technologies, Inc. | | | 158,037 | | | | 14,825,451 | |
ExOne Co.(1) | | | 5,915 | | | | 128,001 | |
Expeditors International of Washington, Inc. | | | 63,601 | | | | 8,051,887 | |
Fastenal Co. | | | 1,948 | | | | 101,296 | |
Flowserve Corp. | | | 3,882 | | | | 156,522 | |
Fluor Corp.(1) | | | 53,332 | | | | 943,976 | |
Fortive Corp. | | | 9,761 | | | | 680,732 | |
Fortune Brands Home & Security, Inc. | | | 3,082 | | | | 306,998 | |
Forward Air Corp. | | | 199,886 | | | | 17,939,768 | |
FTI Consulting, Inc.(1) | | | 994 | | | | 135,790 | |
FuelCell Energy, Inc.(1) | | | 27,980 | | | | 249,022 | |
Gates Industrial Corp. Plc(1) | | | 12,751 | | | | 230,411 | |
GATX Corp. | | | 13,240 | | | | 1,171,343 | |
Genco Shipping & Trading Ltd. | | | 11,985 | | | | 226,277 | |
General Dynamics Corp. | | | 56,812 | | | | 10,695,427 | |
Gibraltar Industries, Inc.(1) | | | 204,255 | | | | 15,586,699 | |
Global Industrial Co. | | | 1,153 | | | | 42,327 | |
GMS, Inc.(1) | | | 96,424 | | | | 4,641,851 | |
Gorman-Rupp Co. | | | 7,239 | | | | 249,311 | |
GP Strategies Corp.(1) | | | 4,324 | | | | 67,973 | |
Graco, Inc. | | | 1,923 | | | | 145,571 | |
GrafTech International Ltd. | | | 7,411 | | | | 86,116 | |
Graham Corp. | | | 2,715 | | | | 37,358 | |
Granite Construction, Inc. | | | 17,741 | | | | 736,784 | |
Great Lakes Dredge & Dock Corp.(1) | | | 24,337 | | | | 355,564 | |
Greenbrier Companies, Inc. | | | 12,136 | | | | 528,887 | |
Griffon Corp. | | | 17,546 | | | | 449,704 | |
Harsco Corp.(1) | | | 565,309 | | | | 11,543,610 | |
Hawaiian Holdings, Inc.(1) | | | 19,199 | | | | 467,880 | |
HC2 Holdings, Inc.(1) | | | 17,296 | | | | 68,838 | |
Healthcare Services Group, Inc. | | | 16,424 | | | | 518,506 | |
Heartland Express, Inc. | | | 18,939 | | | | 324,425 | |
HEICO Corp. | | | 909 | | | | 126,733 | |
HEICO Corp.—Class A | | | 1,587 | | | | 197,074 | |
Heidrick & Struggles International, Inc. | | | 4,268 | | | | 190,139 | |
Heritage-Crystal Clean, Inc.(1) | | | 3,779 | | | | 112,161 | |
Herman Miller, Inc. | | | 217,796 | | | | 10,266,903 | |
Hexcel Corp.(1) | | | 182,821 | | | | 11,408,030 | |
Hillenbrand, Inc. | | | 101,860 | | | | 4,489,989 | |
HNI Corp. | | | 15,000 | | | | 659,550 | |
Howmet Aerospace, Inc.(1) | | | 493,223 | | | | 17,001,397 | |
Hub Group, Inc.—Class A(1) | | | 12,391 | | | | 817,558 | |
Hubbell, Inc.—Class B | | | 167,398 | | | | 31,276,642 | |
Huntington Ingalls Industries, Inc. | | | 75,558 | | | | 15,923,849 | |
Hurco Companies, Inc. | | | 181 | | | | 6,335 | |
Huron Consulting Group, Inc.(1) | | | 7,477 | | | | 367,495 | |
Hyliion Holdings Corp.(1) | | | 35,646 | | | | 415,276 | |
Hyster-Yale Materials Handling, Inc. | | | 3,671 | | | | 267,910 | |
ICF International, Inc. | | | 162,238 | | | | 14,254,231 | |
| | | | | | | | |
| | | Shares | | | Value | |
IDEX Corp. | | | 2,300 | | | | 506,115 | |
IHS Markit Ltd. | | | 11,237 | | | | 1,265,960 | |
Infrastructure & Energy Alternatives, Inc.(1) | | | 4,480 | | | | 57,613 | |
Ingersoll Rand, Inc.(1) | | | 11,200 | | | | 546,672 | |
Insteel Industries, Inc. | | | 6,405 | | | | 205,921 | |
Interface, Inc.—Class A | | | 17,124 | | | | 261,997 | |
ITT, Inc. | | | 138,069 | | | | 12,645,740 | |
Jacobs Engineering Group, Inc. | | | 3,919 | | | | 522,873 | |
JB Hunt Transport Services, Inc. | | | 289 | | | | 47,093 | |
JELD-WEN Holding, Inc.(1) | | | 19,118 | | | | 502,039 | |
JetBlue Airways Corp.(1) | | | 106,768 | | | | 1,791,567 | |
Kaman Corp. | | | 10,443 | | | | 526,327 | |
Kansas City Southern | | | 1,988 | | | | 563,340 | |
KAR Auction Services, Inc.(1) | | | 63,429 | | | | 1,113,179 | |
Karat Packaging, Inc.(1) | | | 1,332 | | | | 27,133 | |
KBR, Inc. | | | 340,480 | | | | 12,989,312 | |
Kelly Services, Inc.—Class A(1) | | | 13,159 | | | | 315,421 | |
Kennametal, Inc. | | | 32,167 | | | | 1,155,439 | |
Kimball International, Inc.—Class B | | | 14,259 | | | | 187,506 | |
Kirby Corp.(1) | | | 220,993 | | | | 13,401,016 | |
Knight-Swift Transportation Holdings, Inc.—Class A | | | 4,802 | | | | 218,299 | |
Knoll, Inc. | | | 400,062 | | | | 10,397,611 | |
Korn Ferry | | | 24,592 | | | | 1,784,150 | |
Kratos Defense & Security Solutions, Inc.(1) | | | 36,548 | | | | 1,041,253 | |
L3Harris Technologies, Inc. | | | 57,684 | | | | 12,468,397 | |
Landstar System, Inc. | | | 134 | | | | 21,175 | |
Leidos Holdings, Inc. | | | 112,427 | | | | 11,366,370 | |
Lennox International, Inc. | | | 1,009 | | | | 353,957 | |
Lindsay Corp. | | | 373 | | | | 61,649 | |
Loomis AB—Class B | | | 5,372 | | | | 168,056 | |
Luxfer Holdings Plc | | | 9,146 | | | | 203,499 | |
Lydall, Inc.(1) | | | 3,616 | | | | 218,840 | |
Macquarie Infrastructure Corp. | | | 19,775 | | | | 756,789 | |
Manitowoc Co., Inc.(1) | | | 12,897 | | | | 315,977 | |
ManpowerGroup, Inc. | | | 44,129 | | | | 5,247,379 | |
ManTech International Corp.—Class A | | | 10,337 | | | | 894,564 | |
Marten Transport Ltd. | | | 22,492 | | | | 370,893 | |
Masco Corp. | | | 135,721 | | | | 7,995,324 | |
MasTec, Inc.(1) | | | 54,774 | | | | 5,811,521 | |
Matrix Service Co.(1) | | | 9,544 | | | | 100,212 | |
Matson, Inc. | | | 16,130 | | | | 1,032,320 | |
Matthews International Corp.—Class A | | | 11,662 | | | | 419,366 | |
Maxar Technologies, Inc. | | | 192,345 | | | | 7,678,412 | |
Mayville Engineering Co., Inc.(1) | | | 3,214 | | | | 64,634 | |
McGrath RentCorp | | | 2,963 | | | | 241,692 | |
Mercury Systems, Inc.(1) | | | 1,646 | | | | 109,097 | |
Meritor, Inc.(1) | | | 4,085 | | | | 95,671 | |
Mesa Air Group, Inc.(1) | | | 12,550 | | | | 117,092 | |
Middleby Corp.(1) | | | 1,152 | | | | 199,596 | |
Miller Industries, Inc. | | | 4,033 | | | | 159,062 | |
| | | | | | | | |
| | | Shares | | | Value | |
Mistras Group, Inc.(1) | | | 7,037 | | | | 69,174 | |
Moog, Inc.—Class A | | | 62,361 | | | | 5,242,066 | |
MRC Global, Inc.(1) | | | 29,898 | | | | 281,041 | |
MSA Safety, Inc. | | | 785 | | | | 129,980 | |
MSC Industrial Direct Co., Inc.—Class A | | | 1,351 | | | | 121,225 | |
Mueller Industries, Inc. | | | 13,324 | | | | 577,062 | |
Mueller Water Products, Inc.—Class A | | | 56,132 | | | | 809,423 | |
MYR Group, Inc.(1) | | | 1,554 | | | | 141,290 | |
National Presto Industries, Inc. | | | 1,948 | | | | 198,014 | |
Navistar International Corp.(1) | | | 15,634 | | | | 695,713 | |
Nielsen Holdings Plc | | | 10,574 | | | | 260,861 | |
NL Industries, Inc. | | | 2,716 | | | | 17,654 | |
NN, Inc.(1) | | | 15,135 | | | | 111,242 | |
Nordson Corp. | | | 1,436 | | | | 315,216 | |
Northwest Pipe Co.(1) | | | 3,619 | | | | 102,237 | |
NOW, Inc.(1) | | | 40,669 | | | | 385,949 | |
NV5 Global, Inc.(1) | | | 5,231 | | | | 494,382 | |
nVent Electric Plc | | | 1,016,613 | | | | 31,758,990 | |
Old Dominion Freight Line, Inc. | | | 245 | | | | 62,181 | |
Oshkosh Corp. | | | 391,023 | | | | 48,737,107 | |
Otis Worldwide Corp. | | | 224,803 | | | | 18,382,141 | |
Owens Corning | | | 196,449 | | | | 19,232,357 | |
PACCAR, Inc. | | | 10,181 | | | | 908,654 | |
PAE, Inc.(1) | | | 1,069,470 | | | | 9,518,283 | |
PAM Transportation Services, Inc.(1) | | | 580 | | | | 30,595 | |
Park Aerospace Corp. | | | 7,587 | | | | 113,046 | |
Parker-Hannifin Corp. | | | 105,712 | | | | 32,465,212 | |
Park-Ohio Holdings Corp. | | | 3,292 | | | | 105,805 | |
Parsons Corp.(1) | | | 9,916 | | | | 390,294 | |
Pentair Plc | | | 4,974 | | | | 335,695 | |
PGT Innovations, Inc.(1) | | | 11,554 | | | | 268,399 | |
Powell Industries, Inc. | | | 3,612 | | | | 111,791 | |
Preformed Line Products Co. | | | 1,072 | | | | 79,542 | |
Primoris Services Corp. | | | 19,905 | | | | 585,804 | |
Proto Labs, Inc.(1) | | | 8,762 | | | | 804,352 | |
Quanex Building Products Corp. | | | 12,549 | | | | 311,717 | |
Quanta Services, Inc. | | | 53,127 | | | | 4,811,712 | |
Radiant Logistics, Inc.(1) | | | 14,024 | | | | 97,186 | |
RBC Bearings, Inc.(1) | | | 7,926 | | | | 1,580,603 | |
Regal Beloit Corp. | | | 27,607 | | | | 3,685,811 | |
Rekor Systems, Inc.(1) | | | 3,735 | | | | 37,948 | |
Republic Services, Inc.—Class A | | | 6,375 | | | | 701,314 | |
Resideo Technologies, Inc.(1) | | | 47,901 | | | | 1,437,030 | |
Resources Connection, Inc. | | | 12,832 | | | | 184,268 | |
REV Group, Inc. | | | 8,908 | | | | 139,767 | |
Rexnord Corp. | | | 118,588 | | | | 5,934,144 | |
Robert Half International, Inc. | | | 139,854 | | | | 12,442,810 | |
Rockwell Automation, Inc. | | | 1,367 | | | | 390,989 | |
Rollins, Inc. | | | 503 | | | | 17,203 | |
| | | | | | | | |
| | | Shares | | | Value | |
Romeo Power, Inc.(1) | | | 3,463 | | | | 28,189 | |
RR Donnelley & Sons Co.(1) | | | 26,496 | | | | 166,395 | |
Rush Enterprises, Inc.—Class A | | | 15,883 | | | | 686,781 | |
Rush Enterprises, Inc.—Class B | | | 2,405 | | | | 91,727 | |
Ryder System, Inc. | | | 1,534 | | | | 114,022 | |
Safe Bulkers, Inc.(1) | | | 18,803 | | | | 75,400 | |
Schneider National, Inc.—Class B | | | 243,999 | | | | 5,311,858 | |
Science Applications International Corp. | | | 85,671 | | | | 7,515,917 | |
Sensata Technologies Holding Plc(1) | | | 355,277 | | | | 20,595,408 | |
Shoals Technologies Group, Inc.—Class A(1) | | | 2,445 | | | | 86,798 | |
SiteOne Landscape Supply, Inc.(1) | | | 630 | | | | 106,634 | |
SkyWest, Inc.(1) | | | 18,800 | | | | 809,716 | |
Snap-on, Inc. | | | 25,308 | | | | 5,654,566 | |
Southwest Airlines Co.(1) | | | 119,066 | | | | 6,321,214 | |
Spirit AeroSystems Holdings, Inc.—Class A | | | 2,224 | | | | 104,951 | |
Spirit Airlines, Inc.(1) | | | 37,794 | | | | 1,150,449 | |
SPX Corp.(1) | | | 2,871 | | | | 175,361 | |
SPX FLOW, Inc. | | | 14,560 | | | | 949,894 | |
Standex International Corp. | | | 127,492 | | | | 12,100,266 | |
Stanley Black & Decker, Inc. | | | 4,822 | | | | 988,462 | |
Steelcase, Inc.—Class A | | | 33,940 | | | | 512,833 | |
Stericycle, Inc.(1) | | | 137,196 | | | | 9,816,374 | |
Sterling Construction Co., Inc.(1) | | | 8,174 | | | | 197,239 | |
Sunrun, Inc.(1) | | | 5,956 | | | | 332,226 | |
Team, Inc.(1) | | | 9,834 | | | | 65,888 | |
Tecnoglass, Inc. | | | 5,933 | | | | 126,966 | |
Teledyne Technologies, Inc.(1) | | | 1,372 | | | | 574,635 | |
Textainer Group Holdings Ltd.(1) | | | 430,359 | | | | 14,533,223 | |
Textron, Inc. | | | 376,713 | | | | 25,906,553 | |
Thermon Group Holdings, Inc.(1) | | | 12,359 | | | | 210,597 | |
Timken Co. | | | 391,586 | | | | 31,557,916 | |
Titan International, Inc.(1) | | | 15,440 | | | | 130,931 | |
Titan Machinery, Inc.(1) | | | 7,291 | | | | 225,584 | |
Toro Co. | | | 180 | | | | 19,778 | |
Trane Technologies Plc | | | 3,668 | | | | 675,426 | |
TransDigm Group, Inc.(1) | | | 1,101 | | | | 712,666 | |
TransUnion | | | 1,811 | | | | 198,866 | |
TriMas Corp.(1) | | | 293,845 | | | | 8,912,319 | |
Trinity Industries, Inc. | | | 32,524 | | | | 874,570 | |
Triton International Ltd. | | | 126,506 | | | | 6,621,324 | |
Triumph Group, Inc.(1) | | | 19,571 | | | | 406,098 | |
TrueBlue, Inc.(1) | | | 13,183 | | | | 370,574 | |
TuSimple Holdings, Inc.—Class A(1) | | | 949 | | | | 67,607 | |
Tutor Perini Corp.(1) | | | 15,751 | | | | 218,151 | |
UFP Industries, Inc. | | | 2,159 | | | | 160,500 | |
UniFirst Corp. | | | 5,693 | | | | 1,335,806 | |
United Airlines Holdings, Inc.(1) | | | 77,420 | | | | 4,048,292 | |
United Rentals, Inc.(1) | | | 29,911 | | | | 9,541,908 | |
Univar Solutions, Inc.(1) | | | 292,388 | | | | 7,128,419 | |
Universal Logistics Holdings, Inc. | | | 538 | | | | 12,535 | |
| | | | | | | | |
| | | Shares | | | Value | |
US Ecology, Inc.(1) | | | 356,039 | | | | 13,358,583 | |
US Xpress Enterprises, Inc.—Class A(1) | | | 9,881 | | | | 84,977 | |
Valmont Industries, Inc. | | | 621 | | | | 146,587 | |
Vectrus, Inc.(1) | | | 4,340 | | | | 206,541 | |
Verisk Analytics, Inc.—Class A | | | 1,715 | | | | 299,645 | |
Veritiv Corp.(1) | | | 5,776 | | | | 354,762 | |
Vertiv Holdings Co.—Class A | | | 310,554 | | | | 8,478,124 | |
View, Inc.(1) | | | 31,781 | | | | 269,503 | |
Virgin Galactic Holdings, Inc.(1) | | | 479 | | | | 22,034 | |
VSE Corp. | | | 3,947 | | | | 195,416 | |
Wabash National Corp. | | | 85,093 | | | | 1,361,488 | |
Wabtec Corp. | | | 5,411 | | | | 445,325 | |
Watsco, Inc. | | | 974 | | | | 279,187 | |
Watts Water Technologies, Inc.—Class A | | | 4,595 | | | | 670,456 | |
Werner Enterprises, Inc. | | | 20,792 | | | | 925,660 | |
WESCO International, Inc.(1) | | | 248,167 | | | | 25,516,531 | |
Willdan Group, Inc.(1) | | | 778 | | | | 29,284 | |
Willis Lease Finance Corp.(1) | | | 1,086 | | | | 46,546 | |
WillScot Mobile Mini Holdings Corp.—Class A(1) | | | 1,290,550 | | | | 35,967,629 | |
Woodward, Inc. | | | 1,724 | | | | 211,845 | |
WW Grainger, Inc. | | | 236 | | | | 103,368 | |
XPO Logistics, Inc.(1) | | | 401 | | | | 56,096 | |
Xylem, Inc. | | | 1,839 | | | | 220,606 | |
Yellow Corp.(1) | | | 17,478 | | | | 113,782 | |
| | | | | | | | |
Total Industrials | | | | 1,276,238,006 | |
| | | | | | | | |
Information Technology – 9.72% | | | | | | | | |
3D Systems Corp.(1) | | | 4,044 | | | | 161,639 | |
8x8, Inc.(1) | | | 162,731 | | | | 4,517,413 | |
A10 Networks, Inc.(1) | | | 3,891 | | | | 43,813 | |
ACI Worldwide, Inc.(1) | | | 354,360 | | | | 13,160,930 | |
ADTRAN, Inc. | | | 16,892 | | | | 348,820 | |
Advanced Energy Industries, Inc. | | | 816 | | | | 91,971 | |
Aeva Technologies, Inc.(1) | | | 9,417 | | | | 99,538 | |
Agilysys, Inc.(1) | | | 737 | | | | 41,913 | |
Akamai Technologies, Inc.(1) | | | 4,801 | | | | 559,797 | |
Alkami Technology, Inc.(1) | | | 309 | | | | 11,022 | |
Alliance Data Systems Corp. | | | 344,781 | | | | 35,922,732 | |
Alpha & Omega Semiconductor Ltd.(1) | | | 1,431 | | | | 43,488 | |
Amdocs Ltd. | | | 155,429 | | | | 12,023,987 | |
American Software, Inc.—Class A | | | 2,667 | | | | 58,567 | |
Amkor Technology, Inc. | | | 393,883 | | | | 9,323,211 | |
Amphenol Corp.—Class A | | | 5,057 | | | | 345,949 | |
Analog Devices, Inc. | | | 55,910 | | | | 9,625,466 | |
ANSYS, Inc.(1) | | | 1,519 | | | | 527,184 | |
Arista Networks, Inc.(1) | | | 194 | | | | 70,288 | |
Arrow Electronics, Inc.(1) | | | 72,683 | | | | 8,273,506 | |
Asana, Inc.—Class A(1) | | | 2,263 | | | | 140,374 | |
Avaya Holdings Corp.(1) | | | 157,862 | | | | 4,246,488 | |
Aviat Networks, Inc.(1) | | | 2,488 | | | | 81,532 | |
| | | | | | | | |
| | | Shares | | | Value | |
Avnet, Inc. | | | 83,773 | | | | 3,357,622 | |
AXT, Inc.(1) | | | 15,137 | | | | 166,204 | |
Belden, Inc. | | | 18,879 | | | | 954,711 | |
Benchmark Electronics, Inc. | | | 13,383 | | | | 380,880 | |
Benefitfocus, Inc.(1) | | | 2,534 | | | | 35,729 | |
Black Knight, Inc.(1) | | | 4,537 | | | | 353,795 | |
BM Technologies, Inc.(1) | | | 1,573 | | | | 19,568 | |
Bottomline Technologies DE, Inc.(1) | | | 14,407 | | | | 534,212 | |
Broadridge Financial Solutions, Inc. | | | 317 | | | | 51,205 | |
Brooks Automation, Inc. | | | 66,153 | | | | 6,303,058 | |
C3.ai, Inc.—Class A(1) | | | 406 | | | | 25,387 | |
Calix, Inc.(1) | | | 3,499 | | | | 166,202 | |
Cass Information Systems, Inc. | | | 4,355 | | | | 177,466 | |
CDK Global, Inc. | | | 3,220 | | | | 160,002 | |
CDW Corp. | | | 33,725 | | | | 5,890,071 | |
Ceridian HCM Holding, Inc.(1) | | | 3,856 | | | | 369,868 | |
ChannelAdvisor Corp.(1) | | | 3,176 | | | | 77,844 | |
Check Point Software Technologies Ltd.(1) | | | 156,762 | | | | 18,204,771 | |
Ciena Corp.(1) | | | 4,569 | | | | 259,930 | |
Cirrus Logic, Inc.(1) | | | 33,836 | | | | 2,880,120 | |
Citrix Systems, Inc. | | | 2,385 | | | | 279,689 | |
Cleanspark, Inc.(1) | | | 12,125 | | | | 201,760 | |
Cloudera, Inc.(1) | | | 34,003 | | | | 539,288 | |
Cloudflare, Inc.—Class A(1) | | | 432 | | | | 45,723 | |
CMC Materials, Inc. | | | 40,320 | | | | 6,077,837 | |
Cognizant Technology Solutions Corp.—Class A | | | 115,554 | | | | 8,003,270 | |
Coherent, Inc.(1) | | | 1,451 | | | | 383,557 | |
Cohu, Inc.(1) | | | 2,416 | | | | 88,885 | |
CommScope Holding Co., Inc.(1) | | | 251,787 | | | | 5,365,581 | |
Comtech Telecommunications Corp. | | | 9,570 | | | | 231,211 | |
Concentrix Corp.(1) | | | 17,941 | | | | 2,884,913 | |
Conduent, Inc.(1) | | | 62,809 | | | | 471,067 | |
Corning, Inc. | | | 15,069 | | | | 616,322 | |
Cree, Inc.(1) | | | 3,444 | | | | 337,271 | |
CSG Systems International, Inc. | | | 6,705 | | | | 316,342 | |
CTS Corp. | | | 9,302 | | | | 345,662 | |
Daktronics, Inc.(1) | | | 12,686 | | | | 83,601 | |
Datto Holding Corp.(1) | | | 715 | | | | 19,906 | |
Digi International, Inc.(1) | | | 12,566 | | | | 252,702 | |
DigitalOcean Holdings, Inc.(1) | | | 297 | | | | 16,510 | |
Diodes, Inc.(1) | | | 37,329 | | | | 2,977,734 | |
Dolby Laboratories, Inc.—Class A | | | 1,922 | | | | 188,913 | |
DSP Group, Inc.(1) | | | 7,951 | | | | 117,675 | |
Duck Creek Technologies, Inc.(1) | | | 1,665 | | | | 72,444 | |
DXC Technology Co.(1) | | | 122,221 | | | | 4,759,286 | |
Dynatrace, Inc.(1) | | | 334 | | | | 19,512 | |
DZS, Inc.(1) | | | 3,658 | | | | 75,903 | |
E2open Parent Holdings, Inc.(1) | | | 15,666 | | | | 178,906 | |
Eastman Kodak Co.(1) | | | 965 | | | | 8,029 | |
Ebix, Inc. | | | 9,976 | | | | 338,186 | |
| | | | | | | | |
| | | Shares | | | Value | |
EchoStar Corp.—Class A(1) | | | 15,490 | | | | 376,252 | |
eGain Corp.(1) | | | 4,510 | | | | 51,775 | |
EMCORE Corp.(1) | | | 11,431 | | | | 105,394 | |
Entegris, Inc. | | | 63,255 | | | | 7,778,467 | |
Envestnet, Inc.(1) | | | 1,309 | | | | 99,301 | |
ePlus, Inc.(1) | | | 4,887 | | | | 423,654 | |
Euronet Worldwide, Inc.(1) | | | 446 | | | | 60,366 | |
EVERTEC, Inc. | | | 225,283 | | | | 9,833,603 | |
F5 Networks, Inc.(1) | | | 17,874 | | | | 3,336,361 | |
Fabrinet(1) | | | 1,946 | | | | 186,563 | |
FARO Technologies, Inc.(1) | | | 3,386 | | | | 263,329 | |
Fastly, Inc.—Class A(1) | | | 3,160 | | | | 188,336 | |
FireEye, Inc.(1) | | | 4,893 | | | | 98,936 | |
First Solar, Inc.(1) | | | 3,165 | | | | 286,464 | |
FleetCor Technologies, Inc.(1) | | | 1,874 | | | | 479,856 | |
Flex Ltd.(1) | | | 396,802 | | | | 7,090,852 | |
FormFactor, Inc.(1) | | | 3,679 | | | | 134,136 | |
Genpact Ltd. | | | 5,193 | | | | 235,918 | |
Global Payments, Inc. | | | 46,155 | | | | 8,655,909 | |
GoDaddy, Inc.—Class A(1) | | | 4,497 | | | | 391,059 | |
GTY Technology Holdings, Inc.(1) | | | 12,398 | | | | 88,150 | |
Guidewire Software, Inc.(1) | | | 2,512 | | | | 283,153 | |
Hackett Group, Inc. | | | 1,362 | | | | 24,543 | |
Harmonic, Inc.(1) | | | 27,723 | | | | 236,200 | |
Hewlett Packard Enterprise Co. | | | 471,718 | | | | 6,877,648 | |
HP, Inc. | | | 440,549 | | | | 13,300,174 | |
IBEX Holdings Ltd.(1) | | | 2,934 | | | | 57,272 | |
Ichor Holdings Ltd.(1) | | | 3,564 | | | | 191,743 | |
Ideanomics, Inc.(1) | | | 152,729 | | | | 433,750 | |
Identiv, Inc.(1) | | | 699 | | | | 11,883 | |
II-VI, Inc.(1) | | | 10,222 | | | | 742,015 | |
Inseego Corp.(1) | | | 24,571 | | | | 247,921 | |
Insight Enterprises, Inc.(1) | | | 8,857 | | | | 885,789 | |
InterDigital, Inc. | | | 7,045 | | | | 514,496 | |
IPG Photonics Corp.(1) | | | 992 | | | | 209,084 | |
Itron, Inc.(1) | | | 3,016 | | | | 301,540 | |
J2 Global, Inc.(1) | | | 34,750 | | | | 4,779,862 | |
Jabil, Inc. | | | 122,825 | | | | 7,138,589 | |
Jack Henry & Associates, Inc. | | | 1,630 | | | | 266,521 | |
Jamf Holding Corp.(1) | | | 265 | | | | 8,896 | |
Juniper Networks, Inc. | | | 133,651 | | | | 3,655,355 | |
Keysight Technologies, Inc.(1) | | | 83,911 | | | | 12,956,698 | |
Kimball Electronics, Inc.(1) | | | 8,524 | | | | 185,312 | |
KLA Corp. | | | 23,805 | | | | 7,717,819 | |
Knowles Corp.(1) | | | 33,450 | | | | 660,303 | |
Kulicke & Soffa Industries, Inc. | | | 4,375 | | | | 267,750 | |
KVH Industries, Inc.(1) | | | 5,561 | | | | 68,400 | |
Limelight Networks, Inc.(1) | | | 46,722 | | | | 147,174 | |
Littelfuse, Inc. | | | 711 | | | | 181,156 | |
| | | | | | | | |
| | | Shares | | | Value | |
LiveRamp Holdings, Inc.(1) | | | 24,409 | | | | 1,143,562 | |
Lumentum Holdings, Inc.(1) | | | 2,263 | | | | 185,634 | |
Manhattan Associates, Inc.(1) | | | 884 | | | | 128,039 | |
Marathon Digital Holdings, Inc.(1) | | | 33,663 | | | | 1,056,008 | |
Marvell Technology, Inc. | | | 24,129 | | | | 1,407,445 | |
Maxim Integrated Products, Inc. | | | 441 | | | | 46,464 | |
MAXIMUS, Inc. | | | 203,110 | | | | 17,867,587 | |
McAfee Corp.—Class A | | | 250 | | | | 7,005 | |
Medallia, Inc.(1) | | | 1,407 | | | | 47,486 | |
Methode Electronics, Inc. | | | 583,010 | | | | 28,689,922 | |
Microchip Technology, Inc. | | | 1,181 | | | | 176,843 | |
MKS Instruments, Inc. | | | 260 | | | | 46,267 | |
Model N, Inc.(1) | | | 1,044 | | | | 35,778 | |
MoneyGram International, Inc.(1) | | | 29,199 | | | | 294,326 | |
Motorola Solutions, Inc. | | | 170,602 | | | | 36,995,044 | |
National Instruments Corp. | | | 4,009 | | | | 169,501 | |
NCR Corp.(1) | | | 108,115 | | | | 4,931,125 | |
NeoPhotonics Corp.(1) | | | 18,806 | | | | 192,009 | |
NetApp, Inc. | | | 190,313 | | | | 15,571,410 | |
NETGEAR, Inc.(1) | | | 11,298 | | | | 432,939 | |
NetScout Systems, Inc.(1) | | | 26,489 | | | | 755,996 | |
nLight, Inc.(1) | | | 100,004 | | | | 3,628,145 | |
NortonLifeLock, Inc. | | | 293,470 | | | | 7,988,253 | |
Nuance Communications, Inc.(1) | | | 5,287 | | | | 287,824 | |
NVE Corp. | | | 123 | | | | 9,108 | |
NXP Semiconductors NV | | | 124,473 | | | | 25,606,586 | |
ON Semiconductor Corp.(1) | | | 5,818 | | | | 222,713 | |
ON24, Inc.(1) | | | 1,245 | | | | 44,173 | |
Onto Innovation, Inc.(1) | | | 12,584 | | | | 919,135 | |
OSI Systems, Inc.(1) | | | 5,601 | | | | 569,286 | |
Paya Holdings, Inc.—Class A(1) | | | 604,708 | | | | 6,663,882 | |
Paychex, Inc. | | | 1,249 | | | | 134,018 | |
Paysafe Ltd.(1) | | | 9,199 | | | | 111,400 | |
PC Connection, Inc. | | | 4,184 | | | | 193,594 | |
PDF Solutions, Inc.(1) | | | 10,827 | | | | 196,835 | |
Pegasystems, Inc. | | | 74 | | | | 10,300 | |
Perficient, Inc.(1) | | | 226,440 | | | | 18,210,305 | |
Photronics, Inc.(1) | | | 23,014 | | | | 304,015 | |
Ping Identity Holding Corp.(1) | | | 16,339 | | | | 374,163 | |
Plantronics, Inc.(1) | | | 7,477 | | | | 312,015 | |
Plexus Corp.(1) | | | 258,177 | | | | 23,599,960 | |
Pure Storage, Inc.—Class A(1) | | | 554 | | | | 10,820 | |
QAD, Inc.—Class A | | | 573 | | | | 49,862 | |
Qorvo, Inc.(1) | | | 145,571 | | | | 28,480,966 | |
Quantum Corp.(1) | | | 20,504 | | | | 141,273 | |
Rackspace Technology, Inc.(1) | | | 5,598 | | | | 109,777 | |
Rambus, Inc.(1) | | | 561,530 | | | | 13,313,876 | |
Repay Holdings Corp.—Class A(1) | | | 16,081 | | | | 386,587 | |
Ribbon Communications, Inc.(1) | | | 26,823 | | | | 204,123 | |
Rogers Corp.(1) | | | 77,228 | | | | 15,507,382 | |
| | | | | | | | |
| | | Shares | | | Value | |
Sanmina Corp.(1) | | | 79,286 | | | | 3,088,983 | |
ScanSource, Inc.(1) | | | 9,407 | | | | 264,619 | |
Seagate Technology Holdings Plc | | | 125,200 | | | | 11,008,836 | |
SecureWorks Corp.—Class A(1) | | | 3,771 | | | | 69,877 | |
Semtech Corp.(1) | | | 118,959 | | | | 8,184,379 | |
SkyWater Technology, Inc.(1) | | | 414 | | | | 11,861 | |
Skyworks Solutions, Inc. | | | 2,606 | | | | 499,700 | |
Smith Micro Software, Inc.(1) | | | 16,157 | | | | 84,340 | |
Softchoice Corp.(1) | | | 412,461 | | | | 7,316,890 | |
SolarWinds Corp.(1) | | | 1,458,815 | | | | 24,639,385 | |
SS&C Technologies Holdings, Inc. | | | 6,695 | | | | 482,442 | |
StarTek, Inc.(1) | | | 5,692 | | | | 40,584 | |
StoneCo Ltd.—Class A(1) | | | 458 | | | | 30,713 | |
SunPower Corp.—Class A(1) | | | 6,153 | | | | 179,791 | |
Super Micro Computer, Inc.(1) | | | 16,142 | | | | 567,876 | |
Sykes Enterprises, Inc.(1) | | | 80,426 | | | | 4,318,876 | |
SYNNEX Corp. | | | 115,314 | | | | 14,040,633 | |
Synopsys, Inc.(1) | | | 1,698 | | | | 468,291 | |
TaskUS, Inc.—Class A(1) | | | 2,416 | | | | 82,724 | |
TE Connectivity Ltd. | | | 154,391 | | | | 20,875,207 | |
Teradata Corp.(1) | | | 9,713 | | | | 485,359 | |
Trimble, Inc.(1) | | | 7,576 | | | | 619,944 | |
TTM Technologies, Inc.(1) | | | 215,919 | | | | 3,087,642 | |
Turtle Beach Corp.(1) | | | 1,051 | | | | 33,548 | |
Tyler Technologies, Inc.(1) | | | 162 | | | | 73,284 | |
Ubiquiti, Inc. | | | 23 | | | | 7,180 | |
Unisys Corp.(1) | | | 5,364 | | | | 135,763 | |
Veeco Instruments, Inc.(1) | | | 18,689 | | | | 449,284 | |
Verint Systems, Inc.(1) | | | 213,757 | | | | 9,634,028 | |
VeriSign, Inc.(1) | | | 2,982 | | | | 678,972 | |
Viasat, Inc.(1) | | | 1,794 | | | | 89,413 | |
Viavi Solutions, Inc.(1) | | | 9,691 | | | | 171,143 | |
VirnetX Holding Corp.(1) | | | 23,802 | | | | 101,635 | |
Vishay Intertechnology, Inc. | | | 141,801 | | | | 3,197,613 | |
Vishay Precision Group, Inc.(1) | | | 4,662 | | | | 158,694 | |
Vontier Corp. | | | 2,334 | | | | 76,042 | |
Western Digital Corp.(1) | | | 188,101 | | | | 13,387,148 | |
Western Union Co. | | | 194,122 | | | | 4,458,982 | |
WEX, Inc.(1) | | | 443 | | | | 85,898 | |
WNS Holdings Ltd.—ADR(1) | | | 47,108 | | | | 3,762,516 | |
Xerox Holdings Corp. | | | 336,070 | | | | 7,894,284 | |
Xperi Holding Corp. | | | 39,437 | | | | 877,079 | |
| | | | | | | | |
Total Information Technology | | | | 681,393,909 | |
| | | | | | | | |
Materials – 7.62% | | | | | | | | |
AdvanSix, Inc.(1) | | | 10,309 | | | | 307,827 | |
Albemarle Corp. | | | 3,472 | | | | 584,893 | |
Alcoa Corp.(1) | | | 5,567 | | | | 205,088 | |
Allegheny Technologies, Inc.(1) | | | 18,822 | | | | 392,439 | |
Amcor Plc | | | 46,022 | | | | 527,412 | |
| | | | | | | | |
| | | Shares | | | Value | |
American Vanguard Corp. | | | 8,552 | | | | 149,745 | |
Amyris, Inc.(1) | | | 55,608 | | �� | | 910,303 | |
AptarGroup, Inc. | | | 1,980 | | | | 278,863 | |
Arconic Corp.(1) | | | 310,742 | | | | 11,068,630 | |
Ardagh Group SA—Class A | | | 456 | | | | 11,181 | |
Ashland Global Holdings, Inc. | | | 140,040 | | | | 12,253,500 | |
Atotech Ltd.(1) | | | 322,764 | | | | 8,240,165 | |
Avery Dennison Corp. | | | 98,685 | | | | 20,747,534 | |
Avient Corp. | | | 506,899 | | | | 24,919,155 | |
Axalta Coating Systems Ltd.(1) | | | 720,032 | | | | 21,953,776 | |
Ball Corp. | | | 6,739 | | | | 545,994 | |
Berry Global Group, Inc.(1) | | | 316,100 | | | | 20,616,042 | |
Cabot Corp. | | | 62,000 | | | | 3,529,660 | |
Carpenter Technology Corp. | | | 18,033 | | | | 725,287 | |
Celanese Corp.—Class A | | | 38,146 | | | | 5,782,934 | |
Century Aluminum Co.(1) | | | 18,064 | | | | 232,845 | |
CF Industries Holdings, Inc. | | | 6,384 | | | | 328,457 | |
Chase Corp. | | | 2,052 | | | | 210,556 | |
Chemours Co. | | | 122,613 | | | | 4,266,932 | |
Clearwater Paper Corp.(1) | | | 6,284 | | | | 182,047 | |
Cleveland-Cliffs, Inc.(1) | | | 13,599 | | | | 293,194 | |
Coeur Mining, Inc.(1) | | | 29,108 | | | | 258,479 | |
Commercial Metals Co. | | | 45,158 | | | | 1,387,254 | |
Compass Minerals International, Inc. | | | 120,939 | | | | 7,166,845 | |
Constellium SE—Class A(1) | | | 1,992,645 | | | | 37,760,623 | |
Corteva, Inc. | | | 292,404 | | | | 12,968,117 | |
Crown Holdings, Inc. | | | 357,991 | | | | 36,590,260 | |
Diversey Holdings Ltd.(1) | | | 446,059 | | | | 7,988,917 | |
Domtar Corp.(1) | | | 18,713 | | | | 1,028,466 | |
DuPont de Nemours, Inc. | | | 159,118 | | | | 12,317,324 | |
Eagle Materials, Inc. | | | 45,749 | | | | 6,501,390 | |
Eastman Chemical Co. | | | 74,033 | | | | 8,643,353 | |
Element Solutions, Inc. | | | 1,072,004 | | | | 25,063,453 | |
Ferro Corp.(1) | | | 5,236 | | | | 112,940 | |
FMC Corp. | | | 376,909 | | | | 40,781,554 | |
FutureFuel Corp. | | | 9,553 | | | | 91,709 | |
Gatos Silver, Inc.(1) | | | 2,169 | | | | 37,936 | |
GCP Applied Technologies, Inc.(1) | | | 18,454 | | | | 429,240 | |
Glatfelter Corp. | | | 16,687 | | | | 233,117 | |
Graphic Packaging Holding Co. | | | 944,504 | | | | 17,133,303 | |
Greif, Inc.—Class A | | | 111,821 | | | | 6,770,762 | |
Greif, Inc.—Class B | | | 2,081 | | | | 122,779 | |
Hawkins, Inc. | | | 2,557 | | | | 83,742 | |
Haynes International, Inc. | | | 4,762 | | | | 168,480 | |
HB Fuller Co. | | | 235,907 | | | | 15,006,044 | |
Hecla Mining Co. | | | 140,565 | | | | 1,045,804 | |
Huntsman Corp. | | | 143,081 | | | | 3,794,508 | |
Ingevity Corp.(1) | | | 146,496 | | | | 11,918,915 | |
Innospec, Inc. | | | 6,659 | | | | 603,372 | |
International Flavors & Fragrances, Inc. | | | 7,482 | | | | 1,117,811 | |
| | | | | | | | |
| | | Shares | | | Value | |
International Paper Co. | | | 91,263 | | | | 5,595,335 | |
Intrepid Potash, Inc.(1) | | | 3,519 | | | | 112,115 | |
Kaiser Aluminum Corp. | | | 134,501 | | | | 16,609,528 | |
Koppers Holdings, Inc.(1) | | | 7,607 | | | | 246,086 | |
Kraton Corp.(1) | | | 11,746 | | | | 379,278 | |
Kronos Worldwide, Inc. | | | 7,463 | | | | 106,870 | |
Louisiana-Pacific Corp. | | | 2,819 | | | | 169,957 | |
LyondellBasell Industries NV—Class A | | | 84,579 | | | | 8,700,642 | |
Martin Marietta Materials, Inc. | | | 1,862 | | | | 655,070 | |
Materion Corp. | | | 4,725 | | | | 356,029 | |
Minerals Technologies, Inc. | | | 15,649 | | | | 1,231,107 | |
Mosaic Co. | | | 240,087 | | | | 7,661,176 | |
Myers Industries, Inc. | | | 7,622 | | | | 160,062 | |
Neenah, Inc. | | | 6,396 | | | | 320,887 | |
NewMarket Corp. | | | 196 | | | | 63,108 | |
Nucor Corp. | | | 8,934 | | | | 857,039 | |
O-I Glass, Inc.(1) | | | 178,400 | | | | 2,913,272 | |
Olin Corp. | | | 3,975 | | | | 183,883 | |
Olympic Steel, Inc. | | | 3,568 | | | | 104,863 | |
Packaging Corp. of America | | | 2,818 | | | | 381,614 | |
Pactiv Evergreen, Inc. | | | 643,041 | | | | 9,690,628 | |
PolyMet Mining Corp.(1) | | | 6,919 | | | | 24,978 | |
PPG Industries, Inc. | | | 54,928 | | | | 9,325,127 | |
PQ Group Holdings, Inc. | | | 19,082 | | | | 293,100 | |
Ranpak Holdings Corp.—Class A(1) | | | 10,826 | | | | 270,975 | |
Rayonier Advanced Materials, Inc.(1) | | | 22,568 | | | | 150,980 | |
Reliance Steel & Aluminum Co. | | | 45,986 | | | | 6,939,287 | |
Royal Gold, Inc. | | | 1,947 | | | | 222,153 | |
RPM International, Inc. | | | 1,571 | | | | 139,316 | |
Ryerson Holding Corp.(1) | | | 2,362 | | | | 34,485 | |
Schnitzer Steel Industries, Inc.—Class A | | | 8,895 | | | | 436,300 | |
Schweitzer-Mauduit International, Inc. | | | 60,994 | | | | 2,462,938 | |
Sealed Air Corp. | | | 113,788 | | | | 6,741,939 | |
Sensient Technologies Corp. | | | 7,788 | | | | 674,129 | |
Silgan Holdings, Inc. | | | 306,084 | | | | 12,702,486 | |
Sonoco Products Co. | | | 2,974 | | | | 198,961 | |
Steel Dynamics, Inc. | | | 167,164 | | | | 9,962,974 | |
Stepan Co. | | | 7,343 | | | | 883,143 | |
Summit Materials, Inc.—Class A(1) | | | 43,997 | | | | 1,533,295 | |
SunCoke Energy, Inc. | | | 30,583 | | | | 218,363 | |
TimkenSteel Corp.(1) | | | 16,720 | | | | 236,588 | |
Tredegar Corp. | | | 2,018 | | | | 27,788 | |
Trinseo SA | | | 39,500 | | | | 2,363,680 | |
Tronox Holdings Plc—Class A | | | 42,816 | | | | 959,078 | |
UFP Technologies, Inc.(1) | | | 2,335 | | | | 134,076 | |
United States Lime & Minerals, Inc. | | | 704 | | | | 97,919 | |
United States Steel Corp. | | | 7,975 | | | | 191,400 | |
US Concrete, Inc.(1) | | | 5,549 | | | | 409,516 | |
Valhi, Inc. | | | 730 | | | | 17,761 | |
| | | | | | | | |
| | | Shares | | | Value | |
Valvoline, Inc. | | | 251,210 | | | | 8,154,277 | |
Verso Corp.—Class A | | | 11,439 | | | | 202,470 | |
Vulcan Materials Co. | | | 3,967 | | | | 690,536 | |
Warrior Met Coal, Inc. | | | 17,488 | | | | 300,794 | |
Westlake Chemical Corp. | | | 799 | | | | 71,982 | |
Westrock Co. | | | 77,322 | | | | 4,115,077 | |
Worthington Industries, Inc. | | | 12,995 | | | | 795,034 | |
WR Grace & Co. | | | 124,119 | | | | 8,579,105 | |
Zymergen, Inc.(1) | | | 6,359 | | | | 254,424 | |
| | | | | | | | |
Total Materials | | | | 533,705,939 | |
| | | | | | | | |
Real Estate – 5.82% | | | | | | | | |
Acadia Realty Trust | | | 31,332 | | | | 688,051 | |
Agree Realty Corp. | | | 25,232 | | | | 1,778,604 | |
Alexander & Baldwin, Inc. | | | 28,652 | | | | 524,905 | |
Alexandria Real Estate Equities, Inc. | | | 4,362 | | | | 793,622 | |
American Assets Trust, Inc. | | | 19,477 | | | | 726,297 | |
American Campus Communities, Inc. | | | 4,090 | | | | 191,085 | |
American Finance Trust, Inc. | | | 41,467 | | | | 351,640 | |
American Homes 4 Rent—Class A | | | 250,701 | | | | 9,739,734 | |
American Realty Investors, Inc.(1) | | | 104 | | | | 968 | |
Americold Realty Trust | | | 7,528 | | | | 284,935 | |
Apartment Income REIT Corp. | | | 4,643 | | | | 220,217 | |
Apartment Investment & Management Co.—Class A | | | 55,882 | | | | 374,968 | |
Apple Hospitality REIT, Inc. | | | 80,951 | | | | 1,235,312 | |
Armada Hoffler Properties, Inc. | | | 22,402 | | | | 297,723 | |
Ashford Hospitality Trust, Inc.(1) | | | 42,531 | | | | 193,941 | |
AvalonBay Communities, Inc. | | | 4,165 | | | | 869,194 | |
Boston Properties, Inc. | | | 4,661 | | | | 534,104 | |
Braemar Hotels & Resorts, Inc.(1) | | | 17,297 | | | | 107,414 | |
Brandywine Realty Trust | | | 388,519 | | | | 5,326,595 | |
Brixmor Property Group, Inc. | | | 508,932 | | | | 11,649,453 | |
Broadstone Net Lease, Inc.—Class A | | | 419,335 | | | | 9,816,632 | |
BRT Apartments Corp. | | | 4,951 | | | | 85,850 | |
Camden Property Trust | | | 2,891 | | | | 383,549 | |
CareTrust REIT, Inc. | | | 34,334 | | | | 797,579 | |
CatchMark Timber Trust, Inc.—Class A | | | 7,763 | | | | 90,827 | |
CBRE Group, Inc.—Class A(1) | | | 9,442 | | | | 809,463 | |
Centerspace | | | 5,320 | | | | 419,748 | |
Chatham Lodging Trust(1) | | | 124,192 | | | | 1,598,351 | |
City Office REIT, Inc. | | | 133,894 | | | | 1,664,302 | |
Clipper Realty, Inc. | | | 1,244 | | | | 9,143 | |
Columbia Property Trust, Inc. | | | 44,603 | | | | 775,646 | |
Community Healthcare Trust, Inc. | | | 3,739 | | | | 177,453 | |
CorePoint Lodging, Inc.(1) | | | 15,930 | | | | 170,451 | |
CoreSite Realty Corp. | | | 278 | | | | 37,419 | |
Corporate Office Properties Trust | | | 6,909 | | | | 193,383 | |
Cousins Properties, Inc. | | | 251,268 | | | | 9,241,637 | |
CTO Realty Growth, Inc. | | | 2,576 | | | | 137,868 | |
CubeSmart | | | 450,034 | | | | 20,845,575 | |
CyrusOne, Inc. | | | 104,838 | | | | 7,498,014 | |
| | | | | | | | |
| | | Shares | | | Value | |
DiamondRock Hospitality Co.(1) | | | 227,120 | | | | 2,203,064 | |
DigitalBridge Group, Inc.(1) | | | 183,569 | | | | 1,450,195 | |
Diversified Healthcare Trust | | | 353,424 | | | | 1,477,312 | |
Douglas Emmett, Inc. | | | 318,545 | | | | 10,709,483 | |
Duke Realty Corp. | | | 306,371 | | | | 14,506,667 | |
Easterly Government Properties, Inc. | | | 32,947 | | | | 694,523 | |
Empire State Realty Trust, Inc.—Class A | | | 716,174 | | | | 8,594,088 | |
EPR Properties(1) | | | 2,212 | | | | 116,528 | |
Equity Commonwealth | | | 45,024 | | | | 1,179,629 | |
Equity LifeStyle Properties, Inc. | | | 2,439 | | | | 181,242 | |
Equity Residential | | | 192,602 | | | | 14,830,354 | |
Essential Properties Realty Trust, Inc. | | | 44,615 | | | | 1,206,390 | |
Essex Property Trust, Inc. | | | 36,742 | | | | 11,022,967 | |
Extra Space Storage, Inc. | | | 3,561 | | | | 583,363 | |
Farmland Partners, Inc. | | | 10,484 | | | | 126,332 | |
Federal Realty Investment Trust | | | 2,320 | | | | 271,834 | |
First Industrial Realty Trust, Inc. | | | 3,804 | �� | | | 198,683 | |
Forestar Group, Inc.(1) | | | 5,020 | | | | 104,968 | |
Four Corners Property Trust, Inc. | | | 12,831 | | | | 354,264 | |
Franklin Street Properties Corp. | | | 250,696 | | | | 1,318,661 | |
FRP Holdings, Inc.(1) | | | 2,692 | | | | 149,891 | |
Gaming & Leisure Properties, Inc. | | | 96,756 | | | | 4,482,705 | |
Getty Realty Corp. | | | 18,022 | | | | 561,385 | |
Gladstone Commercial Corp. | | | 11,077 | | | | 249,897 | |
Gladstone Land Corp. | | | 4,182 | | | | 100,619 | |
Global Medical REIT, Inc. | | | 23,128 | | | | 341,369 | |
Global Net Lease, Inc. | | | 191,347 | | | | 3,539,919 | |
Healthcare Realty Trust, Inc. | | | 55,711 | | | | 1,682,472 | |
Healthcare Trust of America, Inc.—Class A | | | 6,506 | | | | 173,710 | |
Healthpeak Properties, Inc. | | | 264,711 | | | | 8,812,229 | |
Hersha Hospitality Trust—Class A(1) | | | 12,427 | | | | 133,715 | |
Highwoods Properties, Inc. | | | 5,299 | | | | 239,356 | |
Host Hotels & Resorts, Inc.(1) | | | 20,902 | | | | 357,215 | |
Hudson Pacific Properties, Inc. | | | 4,399 | | | | 122,380 | |
Independence Realty Trust, Inc. | | | 39,851 | | | | 726,484 | |
Indus Realty Trust, Inc. | | | 453 | | | | 29,739 | |
Industrial Logistics Properties Trust | | | 557,656 | | | | 14,577,128 | |
Innovative Industrial Properties, Inc.—Class A | | | 4,340 | | | | 829,027 | |
Invitation Homes, Inc. | | | 16,988 | | | | 633,483 | |
Iron Mountain, Inc. | | | 95,037 | | | | 4,021,966 | |
iStar, Inc. | | | 26,842 | | | | 556,435 | |
JBG SMITH Properties | | | 3,718 | | | | 117,154 | |
Jones Lang LaSalle, Inc.(1) | | | 20,376 | | | | 3,982,693 | |
Kennedy-Wilson Holdings, Inc. | | | 46,452 | | | | 923,001 | |
Kilroy Realty Corp. | | | 123,083 | | | | 8,571,500 | |
Kimco Realty Corp. | | | 12,491 | | | | 260,437 | |
Kite Realty Group Trust | | | 37,950 | | | | 835,279 | |
Lamar Advertising Co.—Class A | | | 68,300 | | | | 7,131,886 | |
Lexington Realty Trust | | | 823,057 | | | | 9,835,531 | |
| | | | | | | | |
| | | Shares | | | Value | |
Life Storage, Inc. | | | 86,039 | | | | 9,236,287 | |
LTC Properties, Inc. | | | 15,329 | | | | 588,480 | |
Macerich Co. | | | 74,478 | | | | 1,359,223 | |
Mack-Cali Realty Corp. | | | 34,591 | | | | 593,236 | |
Marcus & Millichap, Inc.(1) | | | 8,443 | | | | 328,179 | |
Medical Properties Trust, Inc. | | | 256,796 | | | | 5,161,600 | |
Mid-America Apartment Communities, Inc. | | | 22,260 | | | | 3,749,029 | |
Monmouth Real Estate Investment Corp. | | | 32,142 | | | | 601,698 | |
National Health Investors, Inc. | | | 18,454 | | | | 1,237,341 | |
National Retail Properties, Inc. | | | 5,283 | | | | 247,667 | |
National Storage Affiliates Trust | | | 118,760 | | | | 6,004,506 | |
NETSTREIT Corp. | | | 17,483 | | | | 403,158 | |
New Senior Investment Group, Inc. | | | 32,772 | | | | 287,738 | |
NexPoint Residential Trust, Inc. | | | 7,162 | | | | 393,767 | |
Office Properties Income Trust | | | 320,451 | | | | 9,392,419 | |
Omega Healthcare Investors, Inc. | | | 195,533 | | | | 7,095,893 | |
One Liberty Properties, Inc. | | | 6,952 | | | | 197,367 | |
Opendoor Technologies, Inc.(1) | | | 8,268 | | | | 146,592 | |
Outfront Media, Inc.(1) | | | 44,483 | | | | 1,068,926 | |
Paramount Group, Inc. | | | 466,838 | | | | 4,701,059 | |
Park Hotels & Resorts, Inc.(1) | | | 7,101 | | | | 146,352 | |
Pebblebrook Hotel Trust | | | 466,867 | | | | 10,994,718 | |
Physicians Realty Trust | | | 748,571 | | | | 13,826,106 | |
Piedmont Office Realty Trust, Inc.—Class A | | | 241,484 | | | | 4,460,209 | |
Plymouth Industrial REIT, Inc. | | | 11,667 | | | | 233,573 | |
Postal Realty Trust, Inc.—Class A | | | 5,137 | | | | 93,699 | |
PotlatchDeltic Corp. | | | 25,091 | | | | 1,333,587 | |
Preferred Apartment Communities, Inc.—Class A | | | 19,902 | | | | 194,044 | |
PS Business Parks, Inc. | | | 1,322 | | | | 195,762 | |
QTS Realty Trust, Inc.—Class A | | | 15,188 | | | | 1,174,032 | |
Rayonier, Inc. | | | 99,648 | | | | 3,580,353 | |
Re/Max Holdings, Inc.—Class A | | | 6,944 | | | | 231,444 | |
Realogy Holdings Corp.(1) | | | 42,594 | | | | 776,063 | |
Realty Income Corp. | | | 11,185 | | | | 746,487 | |
Regency Centers Corp. | | | 211,328 | | | | 13,539,785 | |
Retail Opportunity Investments Corp. | | | 45,189 | | | | 798,038 | |
Retail Properties of America, Inc.—Class A | | | 82,037 | | | | 939,324 | |
Retail Value, Inc. | | | 21,193 | | | | 460,948 | |
Rexford Industrial Realty, Inc. | | | 4,033 | | | | 229,679 | |
RLJ Lodging Trust | | | 62,497 | | | | 951,829 | |
RMR Group, Inc.—Class A | | | 5,790 | | | | 223,726 | |
RPT Realty | | | 31,619 | | | | 410,415 | |
Ryman Hospitality Properties, Inc.(1) | | | 1,777 | | | | 140,312 | |
Sabra Health Care REIT, Inc. | | | 373,670 | | | | 6,800,794 | |
Safehold, Inc. | | | 2,379 | | | | 186,751 | |
Saul Centers, Inc. | | | 760 | | | | 34,542 | |
SBA Communications Corp.—Class A | | | 2,688 | | | | 856,666 | |
Seritage Growth Properties(1) | | | 13,982 | | | | 257,269 | |
Service Properties Trust | | | 177,441 | | | | 2,235,757 | |
Simon Property Group, Inc. | | | 1,279 | | | | 166,884 | |
| | | | | | | | |
| | | Shares | | | Value | |
SITE Centers Corp. | | | 66,315 | | | | 998,704 | |
SL Green Realty Corp. | | | 2,100 | | | | 168,000 | |
Spirit Realty Capital, Inc. | | | 3,462 | | | | 165,622 | |
STAG Industrial, Inc. | | | 228,319 | | | | 8,545,980 | |
STORE Capital Corp. | | | 7,330 | | | | 252,958 | |
Summit Hotel Properties, Inc.(1) | | | 52,383 | | | | 488,733 | |
Sun Communities, Inc. | | | 3,290 | | | | 563,906 | |
Sunstone Hotel Investors, Inc.(1) | | | 82,637 | | | | 1,026,352 | |
Tanger Factory Outlet Centers, Inc. | | | 215,629 | | | | 4,064,607 | |
Tejon Ranch Co.(1) | | | 9,118 | | | | 138,685 | |
Terreno Realty Corp. | | | 26,146 | | | | 1,686,940 | |
The GEO Group, Inc. | | | 42,769 | | | | 304,515 | |
The Howard Hughes Corp.(1) | | | 1,237 | | | | 120,558 | |
UDR, Inc. | | | 71,241 | | | | 3,489,384 | |
UMH Properties, Inc. | | | 3,275 | | | | 71,461 | |
Uniti Group, Inc. | | | 253,838 | | | | 2,688,144 | |
Universal Health Realty Income Trust | | | 761 | | | | 46,840 | |
Urban Edge Properties | | | 44,518 | | | | 850,294 | |
Urstadt Biddle Properties, Inc.—Class A | | | 12,579 | | | | 243,781 | |
Ventas, Inc. | | | 11,178 | | | | 638,264 | |
VEREIT, Inc. | | | 6,837 | | | | 314,023 | |
VICI Properties, Inc. | | | 16,035 | | | | 497,406 | |
Vornado Realty Trust | | | 5,239 | | | | 244,504 | |
Washington Real Estate Investment Trust | | | 33,002 | | | | 759,046 | |
Weingarten Realty Investors | | | 4,539 | | | | 145,566 | |
Welltower, Inc. | | | 199,562 | | | | 16,583,602 | |
Weyerhaeuser Co. | | | 190,203 | | | | 6,546,787 | |
Whitestone REIT—Class B | | | 17,559 | | | | 144,862 | |
WP Carey, Inc. | | | 5,303 | | | | 395,710 | |
Xenia Hotels & Resorts, Inc.(1) | | | 42,750 | | | | 800,708 | |
| | | | | | | | |
Total Real Estate | | | | 407,750,059 | |
| | | | | | | | |
Utilities – 4.20% | | | | | | | | |
AES Corp. | | | 19,791 | | | | 515,951 | |
ALLETE, Inc. | | | 19,916 | | | | 1,393,722 | |
Alliant Energy Corp. | | | 114,069 | | | | 6,360,487 | |
Ameren Corp. | | | 95,294 | | | | 7,627,332 | |
American Electric Power Co., Inc. | | | 74,480 | | | | 6,300,263 | |
American States Water Co. | | | 6,724 | | | | 534,961 | |
American Water Works Co., Inc. | | | 5,428 | | | | 836,618 | |
Artesian Resources Corp.—Class A | | | 3,086 | | | | 113,472 | |
Atmos Energy Corp. | | | 3,860 | | | | 370,985 | |
Avangrid, Inc. | | | 1,656 | | | | 85,168 | |
Avista Corp. | | | 25,071 | | | | 1,069,780 | |
Black Hills Corp. | | | 208,412 | | | | 13,678,080 | |
Brookfield Infrastructure Corp.—Class A | | | 14,053 | | | | 1,059,596 | |
Brookfield Renewable Corp.—Class A | | | 2,847 | | | | 119,403 | |
Cadiz, Inc.(1) | | | 6,815 | | | | 92,684 | |
California Water Service Group | | | 19,592 | | | | 1,088,140 | |
CenterPoint Energy, Inc. | | | 811,080 | | | | 19,887,682 | |
| | | | | | | | |
| | | Shares | | | Value | |
Chesapeake Utilities Corp. | | | 6,420 | | | | 772,519 | |
Clearway Energy, Inc.—Class A | | | 10,658 | | | | 268,795 | |
Clearway Energy, Inc.—Class C | | | 22,584 | | | | 598,024 | |
CMS Energy Corp. | | | 80,554 | | | | 4,759,130 | |
Consolidated Edison, Inc. | | | 10,294 | | | | 738,286 | |
DTE Energy Co. | | | 84,712 | | | | 10,978,675 | |
Edison International | | | 201,738 | | | | 11,664,491 | |
Entergy Corp. | | | 106,672 | | | | 10,635,198 | |
Essential Utilities, Inc. | | | 6,650 | | | | 303,905 | |
Evergy, Inc. | | | 265,237 | | | | 16,028,272 | |
Eversource Energy | | | 10,212 | | | | 819,411 | |
Exelon Corp. | | | 83,600 | | | | 3,704,316 | |
FirstEnergy Corp. | | | 152,791 | | | | 5,685,353 | |
Hawaiian Electric Industries, Inc. | | | 3,198 | | | | 135,211 | |
IDACORP, Inc. | | | 1,494 | | | | 145,665 | |
MDU Resources Group, Inc. | | | 199,101 | | | | 6,239,825 | |
MGE Energy, Inc. | | | 123,120 | | | | 9,165,053 | |
Middlesex Water Co. | | | 4,054 | | | | 331,333 | |
National Fuel Gas Co. | | | 95,326 | | | | 4,980,783 | |
New Jersey Resources Corp. | | | 271,365 | | | | 10,737,913 | |
NiSource, Inc. | | | 11,718 | | | | 287,091 | |
Northwest Natural Holding Co. | | | 11,610 | | | | 609,757 | |
NorthWestern Corp. | | | 19,407 | | | | 1,168,690 | |
NRG Energy, Inc. | | | 179,782 | | | | 7,245,215 | |
OGE Energy Corp. | | | 6,007 | | | | 202,136 | |
ONE Gas, Inc. | | | 184,700 | | | | 13,689,964 | |
Ormat Technologies, Inc. | | | 16,999 | | | | 1,181,940 | |
Otter Tail Corp. | | | 16,083 | | | | 785,011 | |
PG&E Corp.(1) | | | 700,680 | | | | 7,125,916 | |
Pinnacle West Capital Corp. | | | 3,364 | | | | 275,747 | |
PNM Resources, Inc. | | | 32,350 | | | | 1,577,709 | |
Portland General Electric Co. | | | 277,032 | | | | 12,765,635 | |
PPL Corp. | | | 265,757 | | | | 7,433,223 | |
Public Service Enterprise Group, Inc. | | | 15,210 | | | | 908,645 | |
Pure Cycle Corp.(1) | | | 816 | | | | 11,277 | |
SJW Group | | | 10,422 | | | | 659,713 | |
South Jersey Industries, Inc. | | | 817,708 | | | | 21,203,168 | |
Southwest Gas Holdings, Inc. | | | 21,879 | | | | 1,448,171 | |
Spark Energy, Inc.—Class A | | | 1,017 | | | | 11,523 | |
Spire, Inc. | | | 19,122 | | | | 1,381,947 | |
Sunnova Energy International, Inc.(1) | | | 27,501 | | | | 1,035,688 | |
UGI Corp. | | | 435,491 | | | | 20,167,588 | |
Unitil Corp. | | | 5,613 | | | | 297,321 | |
Vistra Corp. | | | 1,671,710 | | | | 31,010,221 | |
WEC Energy Group, Inc. | | | 9,492 | | | | 844,313 | |
Xcel Energy, Inc. | | | 16,069 | | | | 1,058,626 | |
York Water Co. | | | 1,807 | | | | 81,857 | |
| | | | | | | | |
Total Utilities | | | | 294,294,574 | |
| | | | | | | | |
Total Common Stocks (Cost: $4,668,367,695) | | | | 6,881,142,977 | |
| | | | | | | | |
| | | | | | | | |
| | | Shares | | | Value | |
WARRANTS – 0.00%(3) | | | | | | | | |
Nabors Industries Ltd., expires 06/11/2026(1) | | | 120 | | | | 1,200 | |
| | | | | | | | |
Total Warrants (Cost: $309) | | | | 1,200 | |
| | | | | | | | |
SHORT-TERM INVESTMENTS – 1.61% | | | | | | | | |
Money Market Funds – 0.86% | | | | | | | | |
Goldman Sachs Financial Square Government Fund—Class I, 0.03%(4) | | | 60,192,969 | | | | 60,192,969 | |
| | | | | | | | |
Total Money Market Funds (Cost: $60,192,969) | | | | | | | 60,192,969 | |
| | | | | | | | |
| | |
| | | Principal
Amount | | | Value | |
Time Deposits – 0.75% | | | | | | | | |
BBVA, Madrid, 0.01% due 07/01/2021 | | $ | 9,982,075 | | | | 9,982,075 | |
China Construction Bank, New York, 0.01% due 07/01/2021 | | | 9,222,410 | | | | 9,222,409 | |
Citibank, New York, 0.01% due 07/01/2021 | | | 8,651,565 | | | | 8,651,565 | |
National Australia Bank, London, 0.01% due 07/01/2021 | | | 1,847,139 | | | | 1,847,139 | |
Royal Bank of Canada, Toronto, 0.01% due 07/01/2021 | | | 12,973,466 | | | | 12,973,466 | |
Royal Bank of Canada, Toronto, 0.01% due 07/02/2021 | | CAD | 17 | | | | 14 | |
Skandinaviska Enskilda Banken, Stockholm, 0.01% due 07/01/2021 | | $ | 2,197,994 | | | | 2,197,994 | |
Sumitomo, Tokyo, 0.01% due 07/01/2021 | | | 7,916,592 | | | | 7,916,592 | |
| | | | | | | | |
Total Time Deposits (Cost: $52,791,254) | | | | | | | 52,791,254 | |
| | | | | | | | |
Total Short-Term Investments (Cost: $112,984,223) | | | | 112,984,223 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES – 99.80% (Cost: $4,781,352,227) | | | | | | | 6,994,128,400 | |
| | | | | | | | |
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.20% | | | | | | | 14,159,583 | |
| | | | | | | | |
TOTAL NET ASSETS – 100.00% | | | | | | $ | 7,008,287,983 | |
| | | | | | | | |
Percentages are stated as a percent of net assets.
Principal amounts are denominated in the currency in which the security was purchased.
ADR American Depositary Receipt
REIT Real Estate Investment Trust
CAD Canadian Dollar
| (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 the security totals $11,871,139, which represents 0.17% of total net assets. |
| (3) | Amount calculated is less than 0.005%. |
| (4) | Represents annualized seven-day yield as of the close of the reporting period. |
| (5) | Amount calculated is less than $0.5. |
| (6) | Security is categorized as Level 3 per the Trust’s fair value hierarchy. The value of these securities totals $2,970, which represents 0.00% of total net assets. |
The accompanying notes are an integral part of this Schedule of Investments.
Open Futures Contracts
| | | | | | | | | | | | | | | | | | | | | | |
Number of Contracts Purchased | | Reference Entity | | Counterparty | | | Expiration
Date | | | Notional
Amount | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
| 18 | | E-mini Russell 2000 Future | | | Morgan Stanley | | | | Sep. 2021 | | | $ | 2,076,726 | | | $ | 2,077,020 | | | $ | 294 | |
| 1 | | S&P 500 E-mini Future | | | Morgan Stanley | | | | Sep. 2021 | | | | 211,744 | | | | 214,425 | | | | 2,681 | |
| 4 | | S&P MidCap 400 E-mini Future | | | Morgan Stanley | | | | Sep. 2021 | | | | 1,093,744 | | | | 1,076,960 | | | | (16,784 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | (13,809 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
Bridge Builder International Equity Fund
Schedule of Investments
June 30, 2021
| | | | | | | | |
| | | Shares | | | Value | |
COMMON STOCKS – 97.32% | | | | | | | | |
Argentina – 0.77% | | | | | | | | |
MercadoLibre, Inc.(1) | | | 75,048 | | | | 116,909,024 | |
| | | | | | | | |
Total Argentina | | | | 116,909,024 | |
| | | | | | | | |
Australia – 2.26% | | | | | | | | |
Afterpay Ltd.(1) | | | 10,398 | | | | 922,929 | |
AGL Energy Ltd. | | | 31,949 | | | | 196,289 | |
ALS Ltd. | | | 707,977 | | | | 6,918,588 | |
AMP Ltd. | | | 2,221,741 | | | | 1,874,586 | |
Ampol Ltd. | | | 88,175 | | | | 1,866,280 | |
APA Group | | | 58,897 | | | | 392,998 | |
Aristocrat Leisure Ltd. | | | 74,313 | | | | 2,399,012 | |
Asaleo Care Ltd. | | | 2,343 | | | | 2,460 | |
ASX Ltd. | | | 9,989 | | | | 582,316 | |
Aurizon Holdings Ltd. | | | 852,533 | | | | 2,374,601 | |
AusNet Services—Class Miscella | | | 100,013 | | | | 131,084 | |
Australia & New Zealand Banking Group Ltd. | | | 557,318 | | | | 11,763,818 | |
Beach Energy Ltd. | | | 1,866,453 | | | | 1,734,888 | |
BHP Group Ltd. | | | 440,290 | | | | 16,017,885 | |
BHP Group Plc | | | 106,658 | | | | 3,156,114 | |
BlueScope Steel Ltd. | | | 394,763 | | | | 6,486,641 | |
Brambles Ltd. | | | 925,826 | | | | 7,945,392 | |
carsales.com Ltd. | | | 410,254 | | | | 6,075,472 | |
Challenger Ltd. | | | 284,659 | | | | 1,153,308 | |
Cleanaway Waste Management Ltd. | | | 4,327,429 | | | | 8,571,717 | |
Cochlear Ltd. | | | 270,007 | | | | 50,941,436 | |
Coles Group Ltd. | | | 62,697 | | | | 803,133 | |
Commonwealth Bank of Australia | | | 89,591 | | | | 6,708,811 | |
Computershare Ltd. | | | 25,640 | | | | 324,966 | |
Crown Resorts Ltd.(1) | | | 16,518 | | | | 147,439 | |
CSL Ltd. | | | 384,524 | | | | 82,237,579 | |
Dexus | | | 54,789 | | | | 436,762 | |
Domain Holdings Australia Ltd.(1) | | | 429,240 | | | | 1,663,644 | |
Domino’s Pizza Enterprises Ltd. | | | 2,863 | | | | 258,896 | |
Endeavour Group Ltd./Australia(1) | | | 59,759 | | | | 281,894 | |
Evolution Mining Ltd. | | | 799,341 | | | | 2,700,755 | |
Fortescue Metals Group Ltd. | | | 86,014 | | | | 1,502,572 | |
Goodman Group | | | 77,709 | | | | 1,229,798 | |
GPT Group | | | 95,469 | | | | 349,239 | |
GUD Holdings Ltd. | | | 212,962 | | | | 1,913,856 | |
GWA Group Ltd. | | | 500,649 | | | | 1,040,076 | |
Insurance Australia Group Ltd. | | | 1,593,769 | | | | 6,162,241 | |
IPH Ltd. | | | 237,335 | | | | 1,388,792 | |
Lendlease Corp. Ltd. | | | 34,632 | | | | 297,584 | |
Macquarie Group Ltd. | | | 51,314 | | | | 6,012,023 | |
Magellan Financial Group Ltd. | | | 7,249 | | | | 292,770 | |
Medibank Pvt Ltd. | | | 130,771 | | | | 310,035 | |
Metcash Ltd. | | | 548,598 | | | | 1,645,113 | |
Mirvac Group | | | 201,266 | | | | 438,831 | |
National Australia Bank Ltd. | | | 166,503 | | | | 3,273,252 | |
| | | | | | | | |
| | | Shares | | | Value | |
Newcrest Mining Ltd. | | | 252,132 | | | | 4,781,382 | |
Nine Entertainment Co. Holdings Ltd. | | | 359,107 | | | | 784,382 | |
Northern Star Resources Ltd. | | | 51,063 | | | | 375,013 | |
Oil Search Ltd. | | | 821,542 | | | | 2,347,060 | |
Orica Ltd. | | | 642,105 | | | | 6,385,930 | |
Origin Energy Ltd. | | | 89,277 | | | | 301,508 | |
Qantas Airways Ltd.(1) | | | 612,787 | | | | 2,139,232 | |
QBE Insurance Group Ltd. | | | 1,654,350 | | | | 13,349,878 | |
Ramsay Health Care Ltd. | | | 8,681 | | | | 409,576 | |
REA Group Ltd. | | | 2,592 | | | | 328,431 | |
Reece Ltd. | | | 13,795 | | | | 244,292 | |
Rio Tinto Ltd. | | | 18,824 | | | | 1,784,620 | |
Santos Ltd. | | | 89,546 | | | | 475,625 | |
Scentre Group | | | 265,555 | | | | 543,411 | |
Seek Ltd. | | | 1,453,337 | | | | 36,128,484 | |
Sonic Healthcare Ltd. | | | 21,256 | | | | 612,501 | |
South32 Ltd. | | | 225,874 | | | | 495,338 | |
Stockland | | | 120,149 | | | | 418,389 | |
Suncorp Group Ltd. | | | 65,584 | | | | 546,004 | |
Sydney Airport(1) | | | 62,876 | | | | 272,820 | |
Tabcorp Holdings Ltd. | | | 112,882 | | | | 437,976 | |
Telstra Corp. Ltd. | | | 1,184,332 | | | | 3,340,275 | |
Transurban Group | | | 129,817 | | | | 1,384,509 | |
Treasury Wine Estates Ltd. | | | 34,455 | | | | 301,698 | |
Vicinity Centres | | | 190,731 | | | | 219,905 | |
Washington H Soul Pattinson & Co. Ltd. | | | 118,866 | | | | 3,005,965 | |
Wesfarmers Ltd. | | | 53,471 | | | | 2,370,533 | |
Westpac Banking Corp. | | | 185,261 | | | | 3,585,134 | |
WiseTech Global Ltd. | | | 6,677 | | | | 159,558 | |
Woodside Petroleum Ltd. | | | 48,072 | | | | 800,480 | |
Woolworths Group Ltd. | | | 59,759 | | | | 1,710,089 | |
| | | | | | | | |
Total Australia | | | | 342,967,873 | |
| | | | | | | | |
Austria – 0.15% | | | | | | | | |
Andritz AG | | | 61,940 | | | | 3,483,631 | |
Erste Group Bank AG | | | 14,303 | | | | 525,798 | |
Oesterreichische Post AG | | | 101,913 | | | | 5,425,265 | |
OMV AG | | | 7,562 | | | | 431,545 | |
| | | | | | | | |
| | | Shares | | | Value | |
Raiffeisen Bank International AG | | | 6,906 | | | | 156,756 | |
Verbund AG | | | 3,239 | | | | 298,380 | |
Voestalpine AG | | | 5,527 | | | | 225,442 | |
Wienerberger AG | | | 327,300 | | | | 12,616,161 | |
| | | | | | | | |
Total Austria | | | | 23,162,978 | |
| | | | | | | | |
Belgium – 0.22% | | | | | | | | |
Ageas SA | | | 8,993 | | | | 499,752 | |
Anheuser-Busch InBev SA | | | 188,376 | | | | 13,579,802 | |
Elia Group SA | | | 1,433 | | | | 151,263 | |
Etablissements Franz Colruyt NV | | | 2,642 | | | | 147,817 | |
Groupe Bruxelles Lambert SA | | | 5,635 | | | | 630,958 | |
KBC Group NV | | | 218,380 | | | | 16,673,601 | |
Proximus | | | 7,431 | | | | 143,634 | |
Sofina SA | | | 756 | | | | 326,634 | |
Solvay SA | | | 3,681 | | | | 468,530 | |
UCB SA | | | 6,357 | | | | 665,779 | |
Umicore SA | | | 9,402 | | | | 575,197 | |
| | | | | | | | |
Total Belgium | | | | 33,862,967 | |
| | | | | | | | |
Bermuda – 0.02% | | | | | | | | |
Hiscox Ltd.(1) | | | 304,730 | | | | 3,509,957 | |
| | | | | | | | |
Total Bermuda | | | | 3,509,957 | |
| | | | | | | | |
Brazil – 0.74% | | | | | | | | |
Ambev SA | | | 12,514,804 | | | | 42,950,602 | |
Magazine Luiza SA | | | 9,500,000 | | | | 40,396,678 | |
Raia Drogasil SA | | | 5,967,910 | | | | 29,648,771 | |
| | | | | | | | |
Total Brazil | | | | 112,996,051 | |
| | | | | | | | |
Canada – 2.15% | | | | | | | | |
Canadian Pacific Railway Ltd. | | | 1,170,000 | | | | 89,984,700 | |
Fairfax Financial Holdings Ltd. | | | 37,128 | | | | 16,281,688 | |
Lululemon Athletica, Inc.(1) | | | 175,000 | | | | 63,869,750 | |
Shopify, Inc.—Class A(1) | | | 107,194 | | | | 156,608,290 | |
| | | | | | | | |
Total Canada | | | | 326,744,428 | |
| | | | | | | | |
Chile – 0.00%(2) | | | | | | | | |
Antofagasta Plc | | | 19,122 | | | | 380,257 | |
| | | | | | | | |
Total Chile | | | | 380,257 | |
| | | | | | | | |
China – 3.95% | | | | | | | | |
Alibaba Group Holding Ltd.—ADR(1) | | | 287,658 | | | | 65,235,081 | |
Baidu, Inc.—ADR(1) | | | 167,479 | | | | 34,148,968 | |
BeiGene Ltd.—ADR(1) | | | 72,506 | | | | 24,883,334 | |
| | | | | | | | |
| | | Shares | | | Value | |
Burning Rock Biotech Ltd.—ADR(1) | | | 572,212 | | | | 16,857,366 | |
Contemporary Amperex Technology Co. Ltd.—Class A(1) | | | 368,200 | | | | 30,344,708 | |
Li Ning Co. Ltd. | | | 5,440,667 | | | | 66,366,953 | |
Meituan—Class B(1)(3) | | | 1,392,936 | | | | 57,460,232 | |
Ping An Insurance Group Co. of China Ltd.—Class H | | | 2,481,194 | | | | 24,254,659 | |
Shenzhou International Group Holdings Ltd. | | | 2,248,500 | | | | 56,780,908 | |
Tencent Holdings Ltd. | | | 762,956 | | | | 57,444,872 | |
Tingyi Cayman Islands Holding Corp. | | | 2,382,000 | | | | 4,755,493 | |
Trip.com Group Ltd.—ADR(1) | | | 494,261 | | | | 17,526,495 | |
Tsingtao Brewery Co. Ltd.—Class H(1) | | | 4,620,581 | | | | 49,690,533 | |
Uni-President China Holdings Ltd. | | | 433,000 | | | | 477,747 | |
Want Want China Holdings Ltd. | | | 4,055,000 | | | | 2,871,193 | |
Wuxi Biologics Cayman, Inc.(1)(3) | | | 3,799,961 | | | | 69,578,399 | |
Yatsen Holding Ltd.—ADR(1) | | | 1,500,107 | | | | 14,056,003 | |
Yum China Holdings, Inc. | | | 131,790 | | | | 8,731,088 | |
| | | | | | | | |
Total China | | | | 601,464,032 | |
| | | | | | | | |
Denmark – 2.42% | | | | | | | | |
Ambu—Class B | | | 7,840 | | | | 301,667 | |
AP Moller—Maersk—Class A | | | 154 | | | | 428,367 | |
AP Moller—Maersk—Class B | | | 20,241 | | | | 58,272,012 | |
Carlsberg AS—Class B | | | 72,509 | | | | 13,531,345 | |
Chr Hansen Holding | | | 5,040 | | | | 454,780 | |
Coloplast—Class B | | | 182,781 | | | | 30,009,569 | |
Danske Bank | | | 1,337,780 | | | | 23,559,535 | |
Demant(1) | | | 347,443 | | | | 19,579,957 | |
DSV Panalpina | | | 389,763 | | | | 90,985,484 | |
Genmab(1) | | | 3,111 | | | | 1,274,710 | |
GN Store Nord AS | | | 254,925 | | | | 22,293,180 | |
Novo Nordisk—Class B | | | 547,054 | | | | 45,793,152 | |
Novozymes—Class B | | | 9,885 | | | | 745,820 | |
Orsted AS(3) | | | 115,352 | | | | 16,190,962 | |
Pandora | | | 4,674 | | | | 630,588 | |
ROCKWOOL International—Class B | | | 395 | | | | 192,374 | |
Tryg | | | 18,379 | | | | 451,439 | |
Vestas Wind Systems | | | 1,112,196 | | | | 43,455,736 | |
| | | | | | | | |
Total Denmark | | | | 368,150,677 | |
| | | | | | | | |
Finland – 0.85% | | | | | | | | |
Elisa OYJ | | | 7,083 | | | | 422,682 | |
| | | | | | | | |
| | | Shares | | | Value | |
Fortum OYJ | | | 22,366 | | | | 616,999 | |
Kesko OYJ—Class B | | | 12,661 | | | | 467,525 | |
Kone OYJ—Class B | | | 449,331 | | | | 36,671,800 | |
Neste OYJ | | | 20,975 | | | | 1,286,649 | |
Nokia OYJ(1) | | | 10,752,531 | | | | 57,609,445 | |
Nordea Bank Abp | | | 164,086 | | | | 1,827,248 | |
Orion OYJ—Class B | | | 5,183 | | | | 222,840 | |
Sampo OYJ—Class A | | | 465,003 | | | | 21,382,955 | |
Stora Enso OYJ—Class R | | | 28,955 | | | | 528,745 | |
UPM-Kymmene OYJ | | | 27,096 | | | | 1,025,798 | |
Wartsila OYJ Abp | | | 431,234 | | | | 6,406,913 | |
| | | | | | | | |
Total Finland | | | | 128,469,599 | |
| | | | | | | | |
France – 7.86% | | | | | | | | |
Accor SA(1) | | | 8,560 | | | | 320,175 | |
Aeroports de Paris(1) | | | 1,331 | | | | 173,738 | |
Air Liquide SA | | | 23,205 | | | | 4,068,998 | |
Airbus SE(1) | | | 108,047 | | | | 13,922,163 | |
Alstom SA(1) | | | 13,166 | | | | 665,222 | |
Alten SA | | | 62,260 | | | | 8,263,739 | |
Amundi SA(3) | | | 511,633 | | | | 45,125,466 | |
Arkema SA | | | 3,122 | | | | 392,386 | |
Atos SE | | | 5,093 | | | | 310,125 | |
AXA SA | | | 811,659 | | | | 20,609,923 | |
BioMerieux | | | 2,029 | | | | 235,751 | |
BNP Paribas SA | | | 529,845 | | | | 33,252,883 | |
Bollore SA | | | 43,145 | | | | 231,445 | |
Bouygues SA | | | 566,251 | | | | 20,973,871 | |
Bureau Veritas SA(1) | | | 14,074 | | | | 445,632 | |
Capgemini SE | | | 7,602 | | | | 1,461,968 | |
Carrefour SA | | | 30,708 | | | | 604,316 | |
Cie de Saint-Gobain | | | 1,864,820 | | | | 123,070,363 | |
Cie Generale des Etablissements Michelin SCA | | | 372,082 | | | | 59,382,561 | |
CNP Assurances | | | 8,661 | | | | 147,613 | |
Covivio | | | 2,612 | | | | 223,606 | |
Credit Agricole SA | | | 59,286 | | | | 831,165 | |
Danone SA | | | 32,952 | | | | 2,318,336 | |
Dassault Aviation SA | | | 115 | | | | 135,468 | |
Dassault Systemes | | | 6,263 | | | | 1,520,006 | |
| | | | | | | | |
| | | Shares | | | Value | |
Edenred | | | 296,075 | | | | 16,881,235 | |
Eiffage SA | | | 4,149 | | | | 422,603 | |
Electricite de France SA | | | 24,406 | | | | 333,535 | |
Elis SA(1) | | | 103,545 | | | | 1,953,830 | |
Engie SA | | | 91,421 | | | | 1,253,618 | |
EssilorLuxottica SA | | | 141,807 | | | | 26,196,461 | |
Eurazeo SE | | | 1,974 | | | | 172,108 | |
Faurecia SE | | | 5,463 | | | | 268,563 | |
Gecina SA | | | 2,261 | | | | 346,412 | |
Getlink SE | | | 422,057 | | | | 6,591,330 | |
Hermes International | | | 1,495 | | | | 2,181,671 | |
Iliad SA | | | 711 | | | | 104,175 | |
Imerys SA | | | 23,451 | | | | 1,097,674 | |
Ipsen SA | | | 1,731 | | | | 180,123 | |
JCDecaux SA(1) | | | 351,185 | | | | 9,736,543 | |
Kering SA | | | 44,106 | | | | 38,646,461 | |
Klepierre SA | | | 10,078 | | | | 259,647 | |
La Francaise des Jeux SAEM(3) | | | 4,614 | | | | 271,384 | |
Legrand SA | | | 244,962 | | | | 25,961,888 | |
L’Oreal SA | | | 11,918 | | | | 5,322,506 | |
LVMH Moet Hennessy Louis Vuitton SE | | | 193,714 | | | | 152,386,472 | |
Natixis SA | | | 45,309 | | | | 215,254 | |
Orange SA | | | 99,992 | | | | 1,141,187 | |
Orpea SA(1) | | | 2,464 | | | | 313,700 | |
Pernod Ricard SA | | | 237,024 | | | | 52,681,503 | |
Publicis Groupe SA | | | 502,428 | | | | 32,152,889 | |
Quadient SA | | | 82,289 | | | | 2,474,601 | |
Remy Cointreau SA | | | 221,112 | | | | 45,664,611 | |
Renault SA(1) | | | 9,462 | | | | 383,566 | |
Rexel SA | | | 3,120,922 | | | | 65,346,355 | |
Safran SA | | | 16,113 | | | | 2,236,209 | |
Sanofi SA | | | 1,654,271 | | | | 173,802,007 | |
Sartorius Stedim Biotech | | | 138,309 | | | | 65,460,327 | |
Schneider Electric SE | | | 280,423 | | | | 44,207,149 | |
SCOR SE(1) | | | 530,259 | | | | 16,880,873 | |
SEB SA | | | 1,314 | | | | 237,707 | |
Societe Generale SA | | | 40,615 | | | | 1,201,449 | |
Sodexo SA(1) | | | 4,267 | | | | 398,792 | |
| | | | | | | | |
| | | Shares | | | Value | |
Suez SA | | | 17,518 | | | | 416,778 | |
Technip Energies NV(1) | | | 23,968 | | | | 328,536 | |
Technip Energies NV—ADR(1) | | | 710,718 | | | | 9,694,194 | |
Teleperformance | | | 24,037 | | | | 9,761,178 | |
Thales SA | | | 56,267 | | | | 5,749,189 | |
TotalEnergies SE | | | 126,165 | | | | 5,715,501 | |
Ubisoft Entertainment SA(1) | | | 308,071 | | | | 21,524,215 | |
Unibail-Rodamco-Westfield(1) | | | 6,297 | | | | 545,925 | |
Valeo SA | | | 11,592 | | | | 349,655 | |
Veolia Environnement SA | | | 27,470 | | | | 830,442 | |
Vicat SA | | | 36,625 | | | | 1,771,360 | |
Vinci SA | | | 26,431 | | | | 2,825,418 | |
Vivendi SE | | | 36,232 | | | | 1,217,364 | |
Wendel SE | | | 1,313 | | | | 176,691 | |
Worldline SA(1)(3) | | | 11,210 | | | | 1,050,428 | |
| | | | | | | | |
Total France | | | | 1,196,010,211 | |
| | | | | | | | |
Germany – 6.49% | | | | | | | | |
Adidas AG | | | 176,474 | | | | 65,852,662 | |
Allianz SE | | | 427,073 | | | | 106,579,036 | |
Auto1 Group SE(1)(3) | | | 362,872 | | | | 15,941,706 | |
BASF SE | | | 1,069,768 | | | | 84,447,238 | |
Bayer AG | | | 49,612 | | | | 3,016,173 | |
Bayerische Motoren Werke AG | | | 136,584 | | | | 14,480,026 | |
Bechtle AG | | | 276,648 | | | | 51,417,833 | |
Beiersdorf AG | | | 4,799 | | | | 579,268 | |
Brenntag SE | | | 214,454 | | | | 19,959,753 | |
Carl Zeiss Meditec AG | | | 1,962 | | | | 379,265 | |
Commerzbank AG(1) | | | 50,668 | | | | 359,828 | |
Continental AG | | | 848,405 | | | | 124,818,325 | |
Covestro AG(3) | | | 946,099 | | | | 61,173,346 | |
CTS Eventim AG & Co. KGaA(1) | | | 105,828 | | | | 6,610,711 | |
Daimler AG—Class REGISTERED | | | 41,865 | | | | 3,740,999 | |
Delivery Hero SE(1)(3) | | | 7,443 | | | | 983,415 | |
Deutsche Bank AG(1) | | | 105,067 | | | | 1,369,831 | |
Deutsche Boerse AG | | | 9,075 | | | | 1,584,007 | |
Deutsche Lufthansa AG(1) | | | 13,927 | | | | 156,618 | |
Deutsche Post AG | | | 50,057 | | | | 3,409,118 | |
Deutsche Telekom AG | | | 507,998 | | | | 10,744,160 | |
| | | | | | | | |
| | | Shares | | | Value | |
Deutsche Wohnen SE | | | 16,180 | | | | 990,023 | |
E.ON SE | | | 110,900 | | | | 1,283,077 | |
Evonik Industries AG | | | 2,817,584 | | | | 94,595,894 | |
Fresenius Medical Care AG & Co. KGaA | | | 651,371 | | | | 54,126,490 | |
Fresenius SE & Co. KGaA | | | 21,162 | | | | 1,104,443 | |
GEA Group AG | | | 67,469 | | | | 2,733,854 | |
Gerresheimer AG | | | 30,040 | | | | 3,322,647 | |
Hannover Rueck SE | | | 26,389 | | | | 4,417,730 | |
HeidelbergCement AG | | | 7,196 | | | | 617,824 | |
HelloFresh SE(1) | | | 381,777 | | | | 37,112,212 | |
Henkel AG & Co. KGaA | | | 5,359 | | | | 493,506 | |
Infineon Technologies AG | | | 61,538 | | | | 2,475,259 | |
KION Group AG | | | 3,371 | | | | 359,890 | |
Knorr-Bremse AG | | | 3,457 | | | | 397,751 | |
LANXESS AG | | | 4,271 | | | | 293,115 | |
LEG Immobilien SE | | | 3,418 | | | | 492,044 | |
Merck KGaA | | | 6,070 | | | | 1,164,689 | |
MTU Aero Engines AG | | | 2,561 | | | | 634,985 | |
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | | | 6,955 | | | | 1,906,093 | |
Nemetschek SE | | | 257,561 | | | | 19,715,400 | |
Puma SE | | | 4,956 | | | | 591,503 | |
Rational AG | | | 31,335 | | | | 28,388,787 | |
RWE AG | | | 32,309 | | | | 1,171,434 | |
SAP SE | | | 50,575 | | | | 7,103,752 | |
Scout24 AG(1)(3) | | | 4,292 | | | | 362,132 | |
Siemens AG | | | 211,416 | | | | 33,568,375 | |
Siemens Energy AG(1) | | | 19,651 | | | | 591,948 | |
Siemens Healthineers AG(3) | | | 12,727 | | | | 780,334 | |
Symrise AG—Class A | | | 6,051 | | | | 843,248 | |
TeamViewer AG(1)(3) | | | 7,652 | | | | 287,386 | |
Telefonica Deutschland Holding AG | | | 49,213 | | | | 129,909 | |
TUI AG(1) | | | 2,109,338 | | | | 10,785,148 | |
Uniper SE | | | 4,899 | | | | 180,495 | |
United Internet AG—Class REG | | | 5,184 | | | | 212,010 | |
Volkswagen AG | | | 1,653 | | | | 543,284 | |
Vonovia SE | | | 27,239 | | | | 1,760,335 | |
Zalando SE(1)(3) | | | 2,165 | | | | 261,721 | |
Zalando SE(1)(3) | | | 744,080 | | | | 89,988,974 | |
| | | | | | | | |
| | | Shares | | | Value | |
zooplus AG(1) | | | 11,415 | | | | 3,697,854 | |
| | | | | | | | |
Total Germany | | | | 987,088,873 | |
| | | | | | | | |
Hong Kong – 3.32% | | | | | | | | |
AIA Group Ltd. | | | 11,335,127 | | | | 140,618,810 | |
Ajisen China Holdings Ltd. | | | 1,345,000 | | | | 307,772 | |
ASM Pacific Technology Ltd. | | | 116,000 | | | | 1,571,362 | |
Bank of East Asia Ltd. | | | 62,000 | | | | 115,137 | |
BOC Hong Kong Holdings Ltd. | | | 186,500 | | | | 632,107 | |
Budweiser Brewing Co. APAC Ltd.(3) | | | 82,200 | | | | 258,827 | |
China Mengniu Dairy Co. Ltd.(1) | | | 531,000 | | | | 3,207,906 | |
Chow Tai Fook Jewellery Group Ltd. | | | 104,800 | | | | 239,449 | |
CK Asset Holdings Ltd. | | | 101,000 | | | | 695,184 | |
CK Hutchison Holdings Ltd. | | | 17,359,500 | | | | 135,140,400 | |
CK Infrastructure Holdings Ltd. | | | 32,500 | | | | 193,600 | |
CLP Holdings Ltd. | | | 84,500 | | | | 835,101 | |
Esprit Holdings Ltd.(1) | | | 5,822,500 | | | | 569,889 | |
ESR Cayman Ltd.(1)(3) | | | 99,400 | | | | 335,151 | |
First Pacific Co. Ltd. | | | 2,764,000 | | | | 943,689 | |
Futu Holdings Ltd.—ADR(1) | | | 2,576 | | | | 461,336 | |
Galaxy Entertainment Group Ltd.(1) | | | 3,254,000 | | | | 26,019,282 | |
Hang Lung Properties Ltd. | | | 102,000 | | | | 247,379 | |
Hang Seng Bank Ltd. | | | 38,400 | | | | 765,993 | |
Henderson Land Development Co. Ltd. | | | 70,758 | | | | 334,844 | |
HK Electric Investments & HK Electric Investments Ltd. | | | 141,500 | | | | 143,386 | |
HKT Trust & HKT Ltd.—Class Miscella | | | 196,000 | | | | 266,967 | |
Hong Kong & China Gas Co. Ltd. | | | 569,800 | | | | 884,742 | |
Hong Kong Exchanges & Clearing Ltd. | | | 52,499 | | | | 3,125,254 | |
Hongkong Land Holdings Ltd. | | | 59,000 | | | | 280,984 | |
Jardine Matheson Holdings Ltd. | | | 183,100 | | | | 11,703,661 | |
Johnson Electric Holdings Ltd. | | | 330,000 | | | | 850,312 | |
Link Real Estate Investment Trust | | | 105,400 | | | | 1,019,781 | |
Melco Resorts & Entertainment Ltd.—ADR(1) | | | 10,262 | | | | 170,041 | |
MTR Corp. Ltd. | | | 78,000 | | | | 434,304 | |
New World Development Co. Ltd. | | | 74,853 | | | | 388,184 | |
Power Assets Holdings Ltd. | | | 71,500 | | | | 438,728 | |
Sino Land Co. Ltd. | | | 170,490 | | | | 268,766 | |
SJM Holdings Ltd.(1) | | | 116,000 | | | | 126,622 | |
Stella International Holdings Ltd.(1) | | | 1,166,500 | | | | 1,803,655 | |
| | | | | | | | |
| | | Shares | | | Value | |
Sun Hung Kai Properties Ltd. | | | 66,000 | | | | 980,889 | |
Swire Pacific Ltd.—Class A | | | 320,500 | | | | 2,171,580 | |
Swire Properties Ltd. | | | 59,600 | | | | 177,529 | |
Techtronic Industries Co. Ltd. | | | 3,017,849 | | | | 52,591,972 | |
WH Group Ltd.(3) | | | 125,932,000 | | | | 113,036,893 | |
Wharf Real Estate Investment Co. Ltd. | | | 84,000 | | | | 488,296 | |
Xinyi Glass Holdings Ltd. | | | 94,000 | | | | 382,998 | |
| | | | | | | | |
Total Hong Kong | | | | 505,228,762 | |
| | | | | | | | |
India – 1.49% | | | | | | | | |
Asian Paints Ltd. | | | 1,478,696 | | | | 59,613,639 | |
Axis Bank Ltd.(1) | | | 579,675 | | | | 5,850,762 | |
Bharti Airtel Ltd. | | | 1,064,784 | | | | 7,540,525 | |
HDFC Bank Ltd.—ADR(1) | | | 845,690 | | | | 61,836,853 | |
Housing Development Finance Corp. Ltd. | | | 1,386,380 | | | | 46,313,664 | |
ICICI Lombard General Insurance Co. Ltd.(3) | | | 716,191 | | | | 15,112,243 | |
Mahindra & Mahindra Ltd. | | | 302,139 | | | | 3,167,739 | |
MakeMyTrip Ltd.(1) | | | 335,018 | | | | 10,067,291 | |
Shriram Transport Finance Co. Ltd. | | | 173,231 | | | | 3,137,902 | |
United Spirits Ltd.(1) | | | 1,532,660 | | | | 13,670,074 | |
| | | | | | | | |
Total India | | | | 226,310,692 | |
| | | | | | | | |
Ireland – 1.64% | | | | | | | | |
Accenture Plc—Class A | | | 223,000 | | | | 65,738,170 | |
Bank of Ireland Group Plc(1) | | | 2,624,728 | | | | 14,084,652 | |
CRH Plc | | | 105,535 | | | | 5,337,044 | |
DCC Plc | | | 137,478 | | | | 11,261,469 | |
Experian Plc | | | 2,111,814 | | | | 81,535,387 | |
Flutter Entertainment Plc(1) | | | 176,775 | | | | 32,053,946 | |
ICON Plc(1) | | | 146,000 | | | | 30,179,660 | |
Irish Continental Group Plc(1) | | | 830,311 | | | | 4,253,218 | |
James Hardie Industries Plc | | | 94,071 | | | | 3,192,026 | |
Kerry Group Plc—Class A | | | 7,496 | | | | 1,048,020 | |
Kingspan Group Plc | | | 7,352 | | | | 694,862 | |
Smurfit Kappa Group Plc | | | 12,450 | | | | 677,072 | |
| | | | | | | | |
Total Ireland | | | | 250,055,526 | |
| | | | | | | | |
Isle of Man – 0.18% | | | | | | | | |
Entain Plc(1) | | | 1,073,808 | | | | 25,947,101 | |
Playtech Plc(1) | | | 203,535 | | | | 1,197,151 | |
| | | | | | | | |
Total Isle of Man | | | | 27,144,252 | |
| | | | | | | | |
Israel – 0.03% | | | | | | | | |
| | | | | | | | |
| | | Shares | | | Value | |
Azrieli Group Ltd. | | | 2,187 | | | | 154,099 | |
Bank Hapoalim BM(1) | | | 56,401 | | | | 452,822 | |
Bank Leumi Le-Israel BM(1) | | | 69,280 | | | | 526,440 | |
Check Point Software Technologies Ltd.(1) | | | 5,219 | | | | 606,082 | |
CyberArk Software Ltd.(1) | | | 2,092 | | | | 272,525 | |
Elbit Systems Ltd. | | | 1,349 | | | | 174,759 | |
ICL Group Ltd. | | | 34,178 | | | | 231,914 | |
Israel Discount Bank Ltd.—Class A(1) | | | 53,676 | | | | 255,703 | |
Mizrahi Tefahot Bank Ltd.(1) | | | 7,266 | | | | 223,826 | |
Nice Ltd.(1) | | | 2,965 | | | | 731,861 | |
Teva Pharmaceutical Industries Ltd.—ADR(1) | | | 55,734 | | | | 551,767 | |
Wix.com Ltd.(1) | | | 2,699 | | | | 783,466 | |
| | | | | | | | |
Total Israel | | | | 4,965,264 | |
| | | | | | | | |
Italy – 2.80% | | | | | | | | |
Amplifon SpA | | | 112,609 | | | | 5,567,811 | |
Assicurazioni Generali SpA | | | 55,823 | | | | 1,120,742 | |
Atlantia SpA(1) | | | 22,991 | | | | 417,471 | |
Davide Campari-Milano NV | | | 554,691 | | | | 7,435,183 | |
DiaSorin SpA | | | 1,229 | | | | 232,546 | |
Enel SpA | | | 16,250,744 | | | | 151,016,142 | |
ENI SpA | | | 6,857,306 | | | | 83,601,135 | |
Ferrari NV | | | 296,993 | | | | 61,313,116 | |
FinecoBank Banca Fineco SpA(1) | | | 27,532 | | | | 480,470 | |
Infrastrutture Wireless Italiane SpA(3) | | | 15,063 | | | | 170,098 | |
Intesa Sanpaolo SpA | | | 1,920,648 | | | | 5,313,164 | |
Mediobanca Banca di Credito Finanziario SpA(1) | | | 31,895 | | | | 373,176 | |
Moncler SpA | | | 9,299 | | | | 630,360 | |
Nexi SpA(1)(3) | | | 21,062 | | | | 462,843 | |
Poste Italiane SpA(3) | | | 26,962 | | | | 356,857 | |
Prysmian SpA | | | 11,865 | | | | 425,788 | |
Recordati Industria Chimica e Farmaceutica SpA | | | 5,168 | | | | 295,621 | |
Reply SpA | | | 25,515 | | | | 4,190,618 | |
Saipem SpA(1) | | | 4,259,848 | | | | 10,335,556 | |
Snam SpA | | | 12,679,873 | | | | 73,349,971 | |
Telecom Italia SpA | | | 308,299 | | | | 163,536 | |
Telecom Italia SpA | | | 504,963 | | | | 251,253 | |
Terna Rete Elettrica Nazionale SpA | | | 72,007 | | | | 537,006 | |
| | | | | | | | |
| | | Shares | | | Value | |
UniCredit SpA | | | 1,528,660 | | | | 18,072,886 | |
| | | | | | | | |
Total Italy | | | | 426,113,349 | |
| | | | | | | | |
Japan – 18.66% | | | | | | | | |
ABC-Mart, Inc. | | | 56,200 | | | | 3,232,371 | |
Acom Co. Ltd. | | | 18,100 | | | | 78,977 | |
Advantest Corp. | | | 9,500 | | | | 852,975 | |
Aeon Co. Ltd. | | | 30,800 | | | | 826,818 | |
Aeon Delight Co. Ltd. | | | 41,100 | | | | 1,288,068 | |
AGC, Inc. | | | 9,500 | | | | 397,959 | |
Air Water, Inc. | | | 367,700 | | | | 5,664,101 | |
Aisin Seiki Co. Ltd. | | | 7,000 | | | | 300,142 | |
Ajinomoto Co., Inc. | | | 23,165 | | | | 601,818 | |
Alfresa Holdings Corp. | | | 250,500 | | | | 3,741,436 | |
ANA Holdings, Inc.(1) | | | 7,800 | | | | 183,316 | |
Asahi Group Holdings Ltd. | | | 75,400 | | | | 3,524,100 | |
Asahi Intecc Co. Ltd. | | | 9,500 | | | | 227,131 | |
Asahi Kasei Corp. | | | 62,500 | | | | 686,949 | |
Asics Corp. | | | 230,700 | | | | 5,849,545 | |
Astellas Pharma, Inc. | | | 312,200 | | | | 5,440,604 | |
Azbil Corp. | | | 6,100 | | | | 252,764 | |
Bandai Namco Holdings, Inc. | | | 113,900 | | | | 7,882,954 | |
Bridgestone Corp. | | | 760,900 | | | | 34,584,715 | |
Brother Industries Ltd. | | | 11,600 | | | | 231,692 | |
Calbee, Inc. | | | 52,100 | | | | 1,202,436 | |
Canon, Inc. | | | 50,400 | | | | 1,139,140 | |
Capcom Co. Ltd. | | | 8,500 | | | | 248,443 | |
Casio Computer Co. Ltd. | | | 226,300 | | | | 3,797,231 | |
Central Japan Railway Co. | | | 7,400 | | | | 1,124,434 | |
Chiba Bank Ltd. | | | 27,900 | | | | 168,628 | |
Chubu Electric Power Co., Inc. | | | 33,200 | | | | 406,190 | |
Chugai Pharmaceutical Co. Ltd. | | | 31,700 | | | | 1,256,480 | |
Concordia Financial Group Ltd. | | | 57,300 | | | | 210,565 | |
Cosmos Pharmaceutical Corp. | | | 900 | | | | 132,237 | |
CyberAgent, Inc. | | | 19,400 | | | | 415,491 | |
Dai Nippon Printing Co. Ltd. | | | 11,800 | | | | 249,705 | |
Daifuku Co. Ltd. | | | 42,900 | | | | 3,892,238 | |
Dai-ichi Life Holdings, Inc. | | | 1,018,100 | | | | 18,732,239 | |
Daiichi Sankyo Co. Ltd. | | | 81,800 | | | | 1,764,679 | |
Daikin Industries Ltd. | | | 11,900 | | | | 2,217,563 | |
| | | | | | | | |
| | | Shares | | | Value | |
Daito Trust Construction Co. Ltd. | | | 20,800 | | | | 2,269,333 | |
Daiwa House Industry Co. Ltd. | | | 229,100 | | | | 6,888,693 | |
Daiwa House REIT Investment Corp. | | | 99 | | | | 291,324 | |
Daiwa Securities Group, Inc. | | | 420,000 | | | | 2,307,309 | |
Denso Corp. | | | 1,303,220 | | | | 88,868,539 | |
Dentsu Group, Inc. | | | 10,600 | | | | 380,305 | |
Disco Corp. | | | 1,400 | | | | 425,669 | |
East Japan Railway Co. | | | 130,100 | | | | 9,277,956 | |
Eisai Co. Ltd. | | | 11,200 | | | | 1,100,705 | |
ENEOS Holdings, Inc. | | | 154,950 | | | | 649,365 | |
FANUC Corp. | | | 9,100 | | | | 2,182,160 | |
Fast Retailing Co. Ltd. | | | 2,800 | | | | 2,104,727 | |
Fuji Electric Co. Ltd. | | | 6,600 | | | | 308,069 | |
Fuji Media Holdings, Inc. | | | 615,700 | | | | 6,874,155 | |
Fuji Oil Holdings, Inc. | | | 107,400 | | | | 2,555,164 | |
FUJIFILM Holdings Corp. | | | 2,039,000 | | | | 150,821,807 | |
Fujitsu Ltd. | | | 9,900 | | | | 1,852,280 | |
Fukuoka Financial Group, Inc. | | | 1,068,500 | | | | 18,713,849 | |
GLP J-REIT | | | 204 | | | | 351,829 | |
GMO Payment Gateway, Inc. | | | 1,900 | | | | 246,760 | |
Hakuhodo DY Holdings, Inc. | | | 183,000 | | | | 2,850,151 | |
Hamamatsu Photonics KK | | | 6,600 | | | | 397,579 | |
Hankyu Hanshin Holdings, Inc. | | | 11,310 | | | | 349,115 | |
Harmonic Drive Systems, Inc. | | | 2,000 | | | | 109,917 | |
Hikari Tsushin, Inc. | | | 1,100 | | | | 193,321 | |
Hino Motors Ltd. | | | 15,300 | | | | 135,330 | |
Hirose Electric Co. Ltd. | | | 1,515 | | | | 221,636 | |
Hisamitsu Pharmaceutical Co., Inc. | | | 2,300 | | | | 113,561 | |
Hitachi Construction Machinery Co. Ltd. | | | 5,400 | | | | 165,380 | |
Hitachi Ltd. | | | 893,700 | | | | 51,215,426 | |
Hitachi Metals Ltd. | | | 1,518,600 | | | | 29,020,360 | |
Honda Motor Co. Ltd. | | | 6,074,399 | | | | 195,372,370 | |
Hoshizaki Corp. | | | 23,400 | | | | 1,987,894 | |
Hoya Corp. | | | 42,700 | | | | 5,647,944 | |
Hulic Co. Ltd. | | | 12,100 | | | | 135,929 | |
Ibiden Co. Ltd. | | | 5,200 | | | | 279,882 | |
Idemitsu Kosan Co. Ltd. | | | 10,165 | | | | 245,594 | |
Iida Group Holdings Co. Ltd. | | | 847,700 | | | | 21,804,555 | |
| | | | | | | | |
| | | Shares | | | Value | |
Inpex Corp. | | | 52,500 | | | | 392,931 | |
Isuzu Motors Ltd. | | | 2,570,100 | | | | 34,104,349 | |
Ito En Ltd. | | | 2,500 | | | | 148,375 | |
ITOCHU Corp. | | | 218,400 | | | | 6,301,868 | |
Itochu Techno-Solutions Corp. | | | 4,700 | | | | 145,398 | |
JAFCO Group Co. ltd | | | 69,800 | | | | 4,352,203 | |
Japan Airlines Co. Ltd.(1) | | | 6,800 | | | | 147,242 | |
Japan Exchange Group, Inc. | | | 88,800 | | | | 1,978,106 | |
Japan Lifeline Co. Ltd. | | | 159,700 | | | | 1,942,015 | |
Japan Metropolitan Fund Invest | | | 344 | | | | 372,886 | |
Japan Post Bank Co. Ltd. | | | 21,700 | | | | 182,505 | |
Japan Post Holdings Co. Ltd.(1) | | | 1,047,600 | | | | 8,604,706 | |
Japan Post Insurance Co. Ltd. | | | 11,900 | | | | 220,187 | |
Japan Real Estate Investment Corp. | | | 64 | | | | 393,055 | |
Japan Tobacco, Inc. | | | 175,400 | | | | 3,314,765 | |
JFE Holdings, Inc. | | | 24,200 | | | | 283,912 | |
JSR Corp. | | | 9,600 | | | | 291,621 | |
Kajima Corp. | | | 22,400 | | | | 284,252 | |
Kakaku.com, Inc. | | | 834,356 | | | | 25,100,861 | |
Kansai Electric Power Co., Inc. | | | 35,100 | | | | 334,918 | |
Kansai Paint Co. Ltd. | | | 8,200 | | | | 209,313 | |
Kao Corp. | | | 377,640 | | | | 23,285,312 | |
KDDI Corp. | | | 438,000 | | | | 13,646,191 | |
Keio Corp. | | | 4,900 | | | | 288,441 | |
Keisei Electric Railway Co. Ltd. | | | 6,000 | | | | 191,811 | |
Keyence Corp. | | | 196,662 | | | | 99,043,589 | |
Kikkoman Corp. | | | 6,900 | | | | 455,043 | |
Kintetsu Group Holdings Co. Ltd. | | | 8,600 | | | | 302,283 | |
Kirin Holdings Co. Ltd. | | | 1,087,100 | | | | 21,215,664 | |
Kobayashi Pharmaceutical Co. Ltd. | | | 2,500 | | | | 213,762 | |
Kobe Bussan Co. Ltd. | | | 6,400 | | | | 201,641 | |
Koei Tecmo Holdings Co. Ltd. | | | 2,600 | | | | 126,405 | |
Koito Manufacturing Co. Ltd. | | | 68,800 | | | | 4,280,925 | |
Komatsu Ltd. | | | 2,159,500 | | | | 53,498,505 | |
Konami Holdings Corp. | | | 41,900 | | | | 2,509,387 | |
Kose Corp. | | | 12,200 | | | | 1,916,585 | |
Kubota Corp. | | | 50,600 | | | | 1,023,623 | |
Kurita Water Industries Ltd. | | | 4,800 | | | | 230,729 | |
| | | | | | | | |
| | | Shares | | | Value | |
Kyocera Corp. | | | 1,886,100 | | | | 116,523,995 | |
Kyowa Kirin Co. Ltd. | | | 13,100 | | | | 465,908 | |
Lasertec Corp. | | | 304,800 | | | | 58,955,965 | |
Lawson, Inc. | | | 2,400 | | | | 111,160 | |
Lion Corp. | | | 94,400 | | | | 1,600,141 | |
Lixil Corp. | | | 377,000 | | | | 9,755,771 | |
M3, Inc. | | | 21,000 | | | | 1,530,025 | |
Mabuchi Motor Co. Ltd. | | | 33,000 | | | | 1,247,532 | |
Maeda Corp. | | | 491,600 | | | | 4,264,609 | |
Makita Corp. | | | 49,900 | | | | 2,349,646 | |
Mandom Corp. | | | 60,500 | | | | 1,127,319 | |
Marubeni Corp. | | | 79,900 | | | | 695,805 | |
Marui Group Co. Ltd. | | | 183,900 | | | | 3,469,730 | |
Matsumotokiyoshi Holdings Co. Ltd. | | | 63,700 | | | | 2,819,954 | |
Mazda Motor Corp. | | | 27,600 | | | | 260,392 | |
McDonald’s Holdings Co. Japan Ltd. | | | 3,550 | | | | 156,437 | |
Medipal Holdings Corp. | | | 299,640 | | | | 5,728,682 | |
Megmilk Snow Brand Co. Ltd. | | | 189,500 | | | | 3,606,947 | |
MEIJI Holdings Co. Ltd. | | | 46,900 | | | | 2,810,480 | |
Mercari, Inc.(1) | | | 5,000 | | | | 264,317 | |
Minebea Mitsumi, Inc. | | | 16,900 | | | | 446,521 | |
MISUMI Group, Inc. | | | 13,400 | | | | 453,480 | |
Mitsubishi Chemical Holdings Corp. | | | 62,450 | | | | 525,454 | |
Mitsubishi Corp. | | | 61,900 | | | | 1,690,876 | |
Mitsubishi Electric Corp. | | | 7,548,300 | | | | 109,580,475 | |
Mitsubishi Estate Co. Ltd. | | | 188,800 | | | | 3,051,683 | |
Mitsubishi Gas Chemical Co., Inc. | | | 8,100 | | | | 171,638 | |
Mitsubishi Heavy Industries Ltd. | | | 16,240 | | | | 479,441 | |
Mitsubishi Logistics Corp. | | | 136,000 | | | | 4,028,330 | |
Mitsubishi UFJ Financial Group, Inc. | | | 617,300 | | | | 3,324,937 | |
Mitsubishi UFJ Lease & Finance Co. Ltd. | | | 34,500 | | | | 185,006 | |
Mitsui & Co. Ltd. | | | 1,100,400 | | | | 24,787,285 | |
Mitsui Chemicals, Inc. | | | 9,100 | | | | 314,567 | |
Mitsui Fudosan Co. Ltd. | | | 46,200 | | | | 1,068,314 | |
Miura Co. Ltd. | | | 4,000 | | | | 173,692 | |
Mizuho Financial Group, Inc. | | | 121,790 | | | | 1,745,556 | |
Monotaro Co. Ltd. | | | 12,100 | | | | 285,132 | |
MS&AD Insurance Group Holdings, Inc. | | | 508,040 | | | | 14,688,559 | |
| | | | | | | | |
| | | Shares | | | Value | |
Murata Manufacturing Co. Ltd. | | | 598,407 | | | | 45,583,582 | |
Nabtesco Corp. | | | 5,200 | | | | 196,181 | |
NEC Corp. | | | 190,500 | | | | 9,802,059 | |
NET One Systems Co. Ltd. | | | 154,900 | | | | 5,106,369 | |
Nexon Co. Ltd. | | | 86,700 | | | | 1,929,467 | |
NGK Insulators Ltd. | | | 13,400 | | | | 225,519 | |
NH Foods Ltd. | | | 83,700 | | | | 3,253,616 | |
Nidec Corp. | | | 452,639 | | | | 52,049,065 | |
Nihon M&A Center, Inc. | | | 14,300 | | | | 370,376 | |
Nintendo Co. Ltd. | | | 10,800 | | | | 6,249,669 | |
Nippon Building Fund, Inc. | | | 76 | | | | 473,522 | |
Nippon Express Co. Ltd. | | | 4,000 | | | | 305,019 | |
Nippon Paint Holdings Co. Ltd. | | | 33,800 | | | | 457,250 | |
Nippon Prologis Real Estate Investment Trust, Inc. | | | 105 | | | | 333,912 | |
Nippon Sanso Holdings Corp. | | | 7,200 | | | | 147,802 | |
Nippon Shinyaku Co. Ltd. | | | 2,500 | | | | 198,894 | |
Nippon Shokubai Co. Ltd. | | | 13,900 | | | | 669,881 | |
Nippon Steel Corp. | | | 425,500 | | | | 7,194,435 | |
Nippon Suisan Kaisha Ltd. | | | 380,800 | | | | 1,815,943 | |
Nippon Telegraph & Telephone Corp. | | | 5,308,000 | | | | 138,778,664 | |
Nippon Television Holdings, Inc. | | | 578,700 | | | | 6,750,226 | |
Nippon Yusen KK | | | 8,000 | | | | 405,985 | |
Nissan Chemical Corp. | | | 125,000 | | | | 6,110,005 | |
Nissan Motor Co. Ltd.(1) | | | 117,700 | | | | 586,345 | |
Nisshin Seifun Group, Inc. | | | 10,600 | | | | 155,402 | |
Nissin Foods Holdings Co. Ltd. | | | 2,900 | | | | 208,820 | |
Nitori Holdings Co. Ltd. | | | 3,800 | | | | 671,069 | |
Nitto Denko Corp. | | | 33,100 | | | | 2,464,972 | |
Nomura Co. Ltd. | | | 215,800 | | | | 1,855,284 | |
Nomura Holdings, Inc. | | | 1,858,900 | | | | 9,460,845 | |
Nomura Real Estate Holdings, Inc. | | | 5,900 | | | | 149,440 | |
Nomura Real Estate Master Fund, Inc. | | | 215 | | | | 344,094 | |
Nomura Research Institute Ltd. | | | 60,514 | | | | 1,998,574 | |
NS Solutions Corp. | | | 113,900 | | | | 3,665,461 | |
NSK Ltd. | | | 216,000 | | | | 1,827,022 | |
NTT Data Corp. | | | 882,500 | | | | 13,776,540 | |
Obayashi Corp. | | | 1,351,600 | | | | 10,775,983 | |
Obic Co. Ltd. | | | 3,300 | | | | 613,731 | |
| | | | | | | | |
| | | Shares | | | Value | |
Odakyu Electric Railway Co. Ltd. | | | 14,400 | | | | 364,230 | |
Oji Holdings Corp. | | | 1,312,700 | | | | 7,543,733 | |
Olympus Corp. | | | 2,474,370 | | | | 49,217,532 | |
Omron Corp. | | | 42,900 | | | | 3,396,688 | |
Ono Pharmaceutical Co. Ltd. | | | 17,300 | | | | 385,793 | |
Onward Holdings Co. Ltd. | | | 361,700 | | | | 1,092,867 | |
Oracle Corp. | | | 8,500 | | | | 649,474 | |
Oriental Land Co. Ltd. | | | 9,500 | | | | 1,353,423 | |
ORIX Corp. | | | 62,200 | | | | 1,051,280 | |
Orix JREIT, Inc. | | | 130 | | | | 249,563 | |
Osaka Gas Co. Ltd. | | | 19,900 | | | | 371,312 | |
Otsuka Corp. | | | 44,300 | | | | 2,322,219 | |
Otsuka Holdings Co. Ltd. | | | 100,000 | | | | 4,152,201 | |
Pan Pacific International Holdings Corp. | | | 19,300 | | | | 401,343 | |
Panasonic Corp. | | | 4,076,600 | | | | 46,940,105 | |
Penta-Ocean Construction Co. Ltd. | | | 791,600 | | | | 5,516,036 | |
PeptiDream, Inc.(1) | | | 4,700 | | | | 229,693 | |
Persol Holdings Co. Ltd. | | | 126,100 | | | | 2,490,034 | |
Pigeon Corp. | | | 452,551 | | | | 12,763,735 | |
Pola Orbis Holdings, Inc. | | | 4,400 | | | | 116,019 | |
Rakuten, Inc. | | | 40,700 | | | | 459,550 | |
Recruit Holdings Co. Ltd. | | | 673,974 | | | | 33,050,874 | |
Renesas Electronics Corp.(1) | | | 532,100 | | | | 5,742,616 | |
Resona Holdings, Inc. | | | 7,941,300 | | | | 30,618,892 | |
Ricoh Co. Ltd. | | | 30,800 | | | | 346,686 | |
Rinnai Corp. | | | 29,100 | | | | 2,769,799 | |
Rohm Co. Ltd. | | | 101,500 | | | | 9,340,818 | |
Rohto Pharmaceutical Co. Ltd. | | | 43,700 | | | | 1,174,593 | |
Ryohin Keikaku Co. Ltd. | | | 11,500 | | | | 241,248 | |
Santen Pharmaceutical Co. Ltd. | | | 18,600 | | | | 256,710 | |
Sawai Group Holdings Co. Ltd. | | | 26,800 | | | | 1,195,713 | |
SBI Holdings, Inc. | | | 12,225 | | | | 288,763 | |
SCSK Corp. | | | 134,400 | | | | 8,008,053 | |
Secom Co. Ltd. | | | 70,700 | | | | 5,388,795 | |
Sega Sammy Holdings, Inc. | | | 449,400 | | | | 5,902,182 | |
Seiko Epson Corp. | | | 13,900 | | | | 244,334 | |
Sekisui Chemical Co. Ltd. | | | 185,900 | | | | 3,182,981 | |
Sekisui House Ltd. | | | 31,100 | | | | 638,632 | |
| | | | | | | | |
| | | Shares | | | Value | |
Senko Group Holdings Co. Ltd. | | | 207,400 | | | | 2,026,630 | |
Seven & i Holdings Co. Ltd. | | | 279,300 | | | | 13,378,704 | |
SG Holdings Co. Ltd. | | | 15,500 | | | | 407,018 | |
Sharp Corp. | | | 9,705 | | | | 160,111 | |
Shimadzu Corp. | | | 47,000 | | | | 1,816,116 | |
Shimano, Inc. | | | 161,298 | | | | 38,376,655 | |
Shimizu Corp. | | | 26,500 | | | | 203,652 | |
Shin-Etsu Chemical Co. Ltd. | | | 45,495 | | | | 7,609,525 | |
Shionogi & Co. Ltd. | | | 13,400 | | | | 698,355 | |
Ship Healthcare Holdings, Inc. | | | 93,500 | | | | 2,184,672 | |
Shiseido Co. Ltd. | | | 610,373 | | | | 45,020,360 | |
Shizuoka Bank Ltd. | | | 21,800 | | | | 169,172 | |
SMC Corp. | | | 83,473 | | | | 49,382,189 | |
SoftBank Corp. | | | 145,400 | | | | 1,901,104 | |
SoftBank Group Corp. | | | 471,755 | | | | 32,901,054 | |
Sohgo Security Services Co. Ltd. | | | 77,700 | | | | 3,540,070 | |
Sompo Holdings, Inc. | | | 254,700 | | | | 9,433,640 | |
Sony Corp. | | | 1,035,300 | | | | 100,390,208 | |
Square Enix Holdings Co. Ltd. | | | 4,100 | | | | 202,478 | |
Stanley Electric Co. Ltd. | | | 6,500 | | | | 187,793 | |
Subaru Corp. | | | 31,580 | | | | 625,900 | |
Sugi Holdings Co. Ltd. | | | 215,927 | | | | 15,753,856 | |
Sumco Corp. | | | 13,000 | | | | 318,449 | |
Sumitomo Bakelite Co. Ltd. | | | 58,500 | | | | 2,588,291 | |
Sumitomo Chemical Co. Ltd. | | | 72,000 | | | | 382,670 | |
Sumitomo Corp. | | | 57,000 | | | | 764,281 | |
Sumitomo Dainippon Pharma Co. Ltd. | | | 9,000 | | | | 188,768 | |
Sumitomo Electric Industries Ltd. | | | 203,100 | | | | 2,999,772 | |
Sumitomo Metal Mining Co. Ltd. | | | 69,600 | | | | 2,706,797 | |
Sumitomo Mitsui Financial Group, Inc. | | | 977,000 | | | | 33,679,120 | |
Sumitomo Mitsui Trust Holdings, Inc. | | | 242,000 | | | | 7,719,851 | |
Sumitomo Realty & Development Co. Ltd. | | | 15,500 | | | | 554,354 | |
Sundrug Co. Ltd. | | | 87,100 | | | | 2,768,528 | |
Suntory Beverage & Food Ltd. | | | 89,900 | | | | 3,388,540 | |
Suzuki Motor Corp. | | | 867,443 | | | | 36,761,882 | |
Sysmex Corp. | | | 485,544 | | | | 57,602,385 | |
T&D Holdings, Inc. | | | 1,099,000 | | | | 14,261,602 | |
Taiheiyo Cement Corp. | | | 462,900 | | | | 10,175,267 | |
| | | | | | | | |
| | | Shares | | | Value | |
Taisei Corp. | | | 9,500 | | | | 311,794 | |
Taisho Pharmaceutical Holdings Co. Ltd. | | | 1,760 | | | | 94,217 | |
Takeda Pharmaceutical Co. Ltd. | | | 3,863,100 | | | | 129,647,856 | |
TDK Corp. | | | 51,800 | | | | 6,270,633 | |
TechnoPro Holdings, Inc. | | | 64,800 | | | | 1,532,249 | |
Terumo Corp. | | | 30,500 | | | | 1,235,326 | |
THK Co. Ltd. | | | 6,000 | | | | 179,056 | |
TIS, Inc. | | | 10,900 | | | | 278,182 | |
Tobu Railway Co. Ltd. | | | 9,030 | | | | 233,733 | |
Toho Co. Ltd. | | | 109,100 | | | | 4,498,406 | |
Toho Gas Co. Ltd. | | | 3,700 | | | | 181,648 | |
Tohoku Electric Power Co., Inc. | | | 23,400 | | | | 183,466 | |
Tokio Marine Holdings, Inc. | | | 2,068,700 | | | | 95,284,890 | |
Tokyo Century Corp. | | | 2,000 | | | | 107,528 | |
Tokyo Electric Power Co. Holdings, Inc.(1) | | | 75,400 | | | | 224,524 | |
Tokyo Electron Ltd. | | | 7,100 | | | | 3,069,929 | |
Tokyo Gas Co. Ltd. | | | 63,500 | | | | 1,197,716 | |
Tokyo Ohka Kogyo Co. Ltd. | | | 62,000 | | | | 3,902,456 | |
Tokyu Corp. | | | 25,400 | | | | 345,696 | |
Toppan Printing Co. Ltd. | | | 12,700 | | | | 204,240 | |
Toray Industries, Inc. | | | 69,400 | | | | 462,618 | |
Toshiba Corp. | | | 19,500 | | | | 842,420 | |
Tosoh Corp. | | | 12,600 | | | | 217,259 | |
TOTO Ltd. | | | 6,900 | | | | 357,512 | |
Toyo Seikan Group Holdings Ltd. | | | 427,200 | | | | 5,848,707 | |
Toyo Suisan Kaisha Ltd. | | | 214,550 | | | | 8,269,301 | |
Toyota Industries Corp. | | | 56,700 | | | | 4,903,143 | |
Toyota Motor Corp. | | | 455,494 | | | | 39,816,597 | |
Toyota Tsusho Corp. | | | 10,635 | | | | 504,777 | |
Trend Micro, Inc. | | | 6,400 | | | | 335,126 | |
Tsumura & Co. | | | 207,100 | | | | 6,509,852 | |
Tsuruha Holdings, Inc. | | | 1,900 | | | | 221,132 | |
Unicharm Corp. | | | 19,000 | | | | 765,325 | |
United Urban Investment Corp. | | | 151 | | | | 218,088 | |
USS Co. Ltd. | | | 152,900 | | | | 2,672,755 | |
Welcia Holdings Co. Ltd. | | | 4,700 | | | | 153,683 | |
West Japan Railway Co. | | | 7,700 | | | | 440,017 | |
Yakult Honsha Co. Ltd. | | | 90,100 | | | | 5,101,674 | |
| | | | | | | | |
| | | Shares | | | Value | |
Yamada Holdings Co. Ltd. | | | 31,640 | | | | 146,307 | |
Yamaha Corp. | | | 6,200 | | | | 336,582 | |
Yamaha Motor Co. Ltd. | | | 14,300 | | | | 388,419 | |
Yamato Holdings Co. Ltd. | | | 13,700 | | | | 389,272 | |
Yaskawa Electric Corp. | | | 11,600 | | | | 566,490 | |
Yokogawa Electric Corp. | | | 11,600 | | | | 173,483 | |
Z Holdings Corp. | | | 124,000 | | | | 620,553 | |
ZOZO, Inc. | | | 74,100 | | | | 2,512,414 | |
| | | | | | | | |
Total Japan | | | | 2,839,209,613 | |
| | | | | | | | |
Jordan – 0.00%(2) | | | | | | | | |
Hikma Pharmaceuticals Plc | | | 8,115 | | | | 274,627 | |
| | | | | | | | |
Total Jordan | | | | 274,627 | |
| | | | | | | | |
Luxembourg – 0.59% | | | | | | | | |
ArcelorMittal SA | | | 1,919,916 | | | | 59,108,567 | |
Aroundtown SA | | | 46,921 | | | | 366,089 | |
Eurofins Scientific SE(1) | | | 173,062 | | | | 19,794,613 | |
L’Occitane International SA | | | 164,000 | | | | 600,594 | |
Stabilus SA | | | 119,801 | | | | 9,758,655 | |
Tenaris SA | | | 22,305 | | | | 244,023 | |
| | | | | | | | |
Total Luxembourg | | | | 89,872,541 | |
| | | | | | | | |
Macau – 0.01% | | | | | | | | |
Sands China Ltd.(1) | | | 121,200 | | | | 510,150 | |
Wynn Macau Ltd.(1) | | | 80,000 | | | | 125,832 | |
| | | | | | | | |
Total Macau | | | | 635,982 | |
| | | | | | | | |
Malaysia – 0.01% | | | | | | | | |
Sime Darby Bhd | | | 2,454,700 | | | | 1,289,081 | |
| | | | | | | | |
Total Malaysia | | | | 1,289,081 | |
| | | | | | | | |
Mexico – 0.09% | | | | | | | | |
Wal-Mart de Mexico SAB de CV | | | 4,088,205 | | | | 13,353,217 | |
| | | | | | | | |
Total Mexico | | | | 13,353,217 | |
| | | | | | | | |
Netherlands – 4.25% | | | | | | | | |
ABN AMRO Bank NV(1)(3) | | | 21,986 | | | | 266,412 | |
Adyen NV(1)(3) | | | 21,731 | | | | 53,291,607 | |
Aegon NV | | | 91,397 | | | | 380,131 | |
Akzo Nobel NV | | | 8,932 | | | | 1,105,968 | |
Argenx SE(1) | | | 2,237 | | | | 674,937 | |
ASM International NV | | | 2,238 | | | | 738,153 | |
ASML Holding NV | | | 175,894 | | | | 121,423,004 | |
ASML Holding NV—Class REG | | | 120,000 | | | | 82,900,800 | |
| | | | | | | | |
| | | Shares | | | Value | |
Boskalis Westminster | | | 199,782 | | | | 6,420,999 | |
EXOR NV | | | 5,563 | | | | 446,450 | |
Heineken Holding NV | | | 5,420 | | | | 546,926 | |
Heineken NV | | | 187,912 | | | | 22,812,414 | |
IMCD NV | | | 199,840 | | | | 31,841,511 | |
ING Groep NV | | | 3,388,260 | | | | 44,976,953 | |
JDE Peet’s NV(1) | | | 3,324 | | | | 120,650 | |
Just Eat Takeaway(1)(3) | | | 109,431 | | | | 10,120,577 | |
Koninklijke Ahold Delhaize NV | | | 477,651 | | | | 14,224,239 | |
Koninklijke DSM NV | | | 8,167 | | | | 1,526,683 | |
Koninklijke KPN NV | | | 6,481,389 | | | | 20,271,542 | |
Koninklijke Philips NV | | | 315,566 | | | | 15,662,859 | |
Koninklijke Vopak NV | | | 3,700 | | | | 168,194 | |
NN Group NV | | | 13,909 | | | | 657,052 | |
Prosus NV(1) | | | 221,570 | | | | 21,706,681 | |
QIAGEN NV(1) | | | 11,121 | | | | 537,572 | |
Randstad NV | | | 50,229 | | | | 3,850,568 | |
Royal Dutch Shell Plc—Class A | | | 207,110 | | | | 4,152,115 | |
Royal Dutch Shell Plc—Class A | | | 3,314,099 | | | | 66,963,031 | |
Royal Dutch Shell Plc—Class B | | | 5,946,356 | | | | 115,435,396 | |
Stellantis NV | | | 22,719 | | | | 446,810 | |
Stellantis NV | | | 73,073 | | | | 1,437,594 | |
Wolters Kluwer NV | | | 12,713 | | | | 1,277,832 | |
| | | | | | | | |
Total Netherlands | | | | 646,385,660 | |
| | | | | | | | |
New Zealand – 0.33% | | | | | |
a2 Milk Co. Ltd.(1) | | | 34,466 | | | | 155,082 | |
Auckland International Airport Ltd.(1) | | | 68,063 | | | | 345,783 | |
Fisher & Paykel Healthcare Corp. Ltd. | | | 27,019 | | | | 587,783 | |
Fletcher Building Ltd. | | | 685,031 | | | | 3,600,022 | |
Mercury NZ Ltd. | | | 34,398 | | | | 160,308 | |
Meridian Energy Ltd. | | | 62,974 | | | | 234,797 | |
Ryman Healthcare Ltd. | | | 21,270 | | | | 195,187 | |
SKY Network Television Ltd.(1) | | | 3,404,659 | | | | 414,071 | |
Spark New Zealand Ltd. | | | 91,558 | | | | 307,332 | |
Xero Ltd.(1) | | | 426,847 | | | | 43,905,381 | |
| | | | | | | | |
Total New Zealand | | | | 49,905,746 | |
| | | | | | | | |
Norway – 0.28% | | | | | | | | |
Adevinta ASA—Class B(1) | | | 12,965 | | | | 248,707 | |
| | | | | | | | |
| | | Shares | | | Value | |
DNB ASA | | | 420,720 | | | | 9,169,266 | |
Equinor ASA | | | 1,065,828 | | | | 22,561,997 | |
Gjensidige Forsikring ASA | | | 9,638 | | | | 212,503 | |
Mowi ASA | | | 21,026 | | | | 535,312 | |
Norsk Hydro ASA | | | 68,889 | | | | 439,815 | |
Orkla ASA | | | 37,923 | | | | 386,479 | |
Schibsted ASA—Class A | | | 106,686 | | | | 5,146,659 | |
Schibsted ASA—Class B | | | 48,709 | | | | 2,024,734 | |
Telenor ASA | | | 35,289 | | | | 595,151 | |
Yara International ASA | | | 8,833 | | | | 465,449 | |
| | | | | | | | |
Total Norway | | | | 41,786,072 | |
| | | | | | | | |
Poland – 0.00%(2) | | | | | | | | |
InPost SA(1) | | | 9,823 | | | | 197,669 | |
| | | | | | | | |
Total Poland | | | | 197,669 | |
| | | | | | | | |
Portugal – 0.19% | | | | | | | | |
EDP—Energias de Portugal SA | | | 139,027 | | | | 737,736 | |
Galp Energia SGPS SA | | | 25,313 | | | | 275,220 | |
Jeronimo Martins SGPS SA | | | 1,530,844 | | | | 27,934,140 | |
| | | | | | | | |
Total Portugal | | | | 28,947,096 | |
| | | | | | | | |
Singapore – 1.82% | | | | | | | | |
Ascendas Real Estate Investment Trust | | | 162,976 | | | | 358,143 | |
CapitaLand Integrated Commercial Trust | | | 225,593 | | | | 351,230 | |
CapitaLand Ltd. | | | 130,000 | | | | 359,090 | |
City Developments Ltd. | | | 22,900 | | | | 124,360 | |
DBS Group Holdings Ltd. | | | 1,503,675 | | | | 33,452,723 | |
Genting Singapore Ltd. | | | 4,885,500 | | | | 3,043,038 | |
Haw Par Corp. Ltd. | | | 45,100 | | | | 459,842 | |
Keppel Corp. Ltd. | | | 73,800 | | | | 300,943 | |
Mapletree Commercial Trust | | | 106,400 | | | | 171,149 | |
Mapletree Logistics Trust | | | 150,219 | | | | 229,643 | |
Oversea-Chinese Banking Corp. Ltd. | | | 169,500 | | | | 1,510,540 | |
Sea Ltd.—ADR(1) | | | 677 | | | | 185,904 | |
Singapore Airlines Ltd.(1) | | | 63,600 | | | | 229,350 | |
Singapore Exchange Ltd. | | | 33,100 | | | | 275,686 | |
Singapore Technologies Engineering Ltd. | | | 77,800 | | | | 224,486 | |
Singapore Telecommunications Ltd. | | | 23,629,900 | | | | 40,241,296 | |
United Overseas Bank Ltd. | | | 8,503,734 | | | | 163,759,790 | |
UOL Group Ltd. | | | 23,700 | | | | 128,888 | |
| | | | | | | | |
| | | Shares | | | Value | |
Venture Corp. Ltd. | | | 12,600 | | | | 180,255 | |
Wilmar International Ltd. | | | 9,464,300 | | | | 31,731,482 | |
| | | | | | | | |
Total Singapore | | | | 277,317,838 | |
| | | | | | | | |
South Africa – 0.30% | | | | | | | | |
Naspers Ltd.—Class N | | | 219,041 | | | | 46,184,137 | |
| | | | | | | | |
Total South Africa | | | | 46,184,137 | |
| | | | | | | | |
South Korea – 1.01% | | | | | | | | |
Amorepacific Group | | | 20,684 | | | | 1,176,202 | |
Coupang, Inc.—Class A(1) | | | 368,318 | | | | 15,403,059 | |
Hana Financial Group, Inc. | | | 76,735 | | | | 3,144,708 | |
Hankook Tire & Technology Co. Ltd. | | | 28,475 | | | | 1,306,554 | |
Hyundai Motor Co. | | | 8,521 | | | | 1,813,108 | |
LG Corp. | | | 26,484 | | | | 2,409,511 | |
LX Holdings Corp.(1) | | | 12,877 | | | | 128,639 | |
NAVER Corp. | | | 88,816 | | | | 32,956,840 | |
POSCO | | | 179,459 | | | | 55,461,747 | |
S-1 Corp. | | | 23,237 | | | | 1,689,926 | |
Samsung Electronics Co. Ltd. | | | 192,954 | | | | 13,812,835 | |
Samsung Fire & Marine Insurance Co. Ltd. | | | 13,581 | | | | 2,659,991 | |
Shinhan Financial Group Ltd. | | | 549,231 | | | | 19,829,704 | |
SK Hynix, Inc. | | | 21,381 | | | | 2,413,244 | |
| | | | | | | | |
Total South Korea | | | | 154,206,068 | |
| | | | | | | | |
Spain – 2.42% | | | | | | | | |
Acerinox SA | | | 520,003 | | | | 6,296,473 | |
ACS Actividades de Construccion y Servicios SA | | | 11,768 | | | | 315,482 | |
Aena SME SA(1)(3) | | | 3,715 | | | | 609,562 | |
Amadeus IT Group SA(1) | | | 755,030 | | | | 53,227,074 | |
Banco Bilbao Vizcaya Argentaria SA | | | 337,922 | | | | 2,096,126 | |
Banco Santander SA | | | 32,106,557 | | | | 122,809,313 | |
CaixaBank SA | | | 12,197,297 | | | | 37,551,893 | |
Cellnex Telecom SA(3) | | | 24,143 | | | | 1,539,871 | |
EDP Renovaveis SA | | | 14,652 | | | | 339,480 | |
Enagas SA | | | 8,839 | | | | 204,295 | |
Endesa SA | | | 16,037 | | | | 389,311 | |
Ferrovial SA | | | 109,435 | | | | 3,216,120 | |
Fluidra SA | | | 370,853 | | | | 14,733,826 | |
Gestamp Automocion SA(1)(3) | | | 1,037,007 | | | | 5,499,826 | |
Grifols SA | | | 13,969 | | | | 378,796 | |
| | | | | | | | |
| | | Shares | | | Value | |
Iberdrola SA | | | 291,701 | | | | 3,557,194 | |
Industria de Diseno Textil SA | | | 1,192,366 | | | | 42,098,649 | |
Mediaset Espana Comunicacion SA(1) | | | 175,475 | | | | 1,098,622 | |
Naturgy Energy Group SA | | | 2,296,881 | | | | 59,113,657 | |
Red Electrica Corp. SA | | | 140,878 | | | | 2,615,567 | |
Repsol SA | | | 76,035 | | | | 955,197 | |
Siemens Gamesa Renewable Energy SA | | | 11,224 | | | | 375,260 | |
Telefonica SA | | | 263,815 | | | | 1,231,350 | |
Viscofan SA | | | 120,653 | | | | 8,409,912 | |
| | | | | | | | |
Total Spain | | | | 368,662,856 | |
| | | | | | | | |
Sweden – 3.62% | | | | | | | | |
Alfa Laval AB | | | 14,821 | | | | 523,852 | |
Assa Abloy AB—Class B | | | 923,660 | | | | 27,846,429 | |
Atlas Copco AB—Class A | | | 1,947,510 | | | | 119,593,430 | |
Atlas Copco AB—Class B | | | 18,624 | | | | 980,860 | |
Boliden AB | | | 13,503 | | | | 519,589 | |
Electrolux AB | | | 10,270 | | | | 284,602 | |
Embracer Group AB—Class B(1) | | | 12,612 | | | | 341,008 | |
Epiroc AB—Class A | | | 1,560,663 | | | | 35,526,398 | |
Epiroc AB—Class B | | | 18,320 | | | | 359,670 | |
EQT AB | | | 11,622 | | | | 422,178 | |
Essity AB—Class B | | | 28,798 | | | | 955,235 | |
Evolution Gaming Group AB(3) | | | 308,055 | | | | 48,728,781 | |
Fastighets AB Balder—Class B(1) | | | 5,074 | | | | 318,078 | |
Getinge AB—Class B | | | 205,040 | | | | 7,734,639 | |
Hennes & Mauritz AB—Class B(1) | | | 34,213 | | | | 812,539 | |
Hexagon AB—Class B | | | 93,456 | | | | 1,384,679 | |
Husqvarna AB—Class B | | | 19,958 | | | | 265,247 | |
ICA Gruppen AB | | | 5,294 | | | | 246,441 | |
Industrivarden AB—Class A | | | 5,782 | | | | 224,880 | |
Industrivarden AB—Class C | | | 7,850 | | | | 287,358 | |
Investment AB Latour—Class B | | | 6,754 | | | | 221,749 | |
Investor AB—Class B | | | 1,650,120 | | | | 38,035,946 | |
Kinnevik AB—Class B(1) | | | 11,538 | | | | 462,027 | |
L E Lundbergforetagen AB—Class B | | | 3,525 | | | | 227,506 | |
Lundin Energy AB | | | 9,279 | | | | 328,964 | |
Modern Times Group MTG AB—Class B(1) | | | 231,802 | | | | 3,134,097 | |
Nibe Industrier AB—Class B | | | 5,833,444 | | | | 61,469,324 | |
| | | | | | | | |
| | | Shares | | | Value | |
Nordic Entertainment Group AB—Class B(1) | | | 169,893 | | | | 7,493,872 | |
Sandvik AB | | | 655,635 | | | | 16,764,361 | |
Securitas AB—Class B | | | 15,565 | | | | 245,879 | |
Sinch AB(1)(3) | | | 24,325 | | | | 409,322 | |
Skandinaviska Enskilda Banken AB—Class A | | | 82,271 | | | | 1,063,443 | |
Skanska AB—Class B | | | 17,293 | | | | 459,114 | |
SKF AB—Class B | | | 19,649 | | | | 500,817 | |
Spotify Technology SA(1) | | | 156,233 | | | | 43,056,252 | |
Svenska Cellulosa AB SCA—Class B | | | 28,835 | | | | 472,957 | |
Svenska Handelsbanken AB—Class A | | | 1,299,491 | | | | 14,668,588 | |
Swedbank AB | | | 45,151 | | | | 840,573 | |
Swedish Match AB | | | 1,075,310 | | | | 9,170,379 | |
Tele2 AB—Class B | | | 24,549 | | | | 334,700 | |
Telefonaktiebolaget LM Ericsson—Class B | | | 138,152 | | | | 1,737,110 | |
Telia Co. AB | | | 22,527,003 | | | | 100,052,875 | |
Volvo AB—Class A | | | 9,425 | | | | 233,927 | |
Volvo AB—Class B | | | 67,582 | | | | 1,628,687 | |
| | | | | | | | |
Total Sweden | | | | 550,368,362 | |
| | | | | | | | |
Switzerland – 6.01% | | | | | | | | |
ABB Ltd. | | | 1,924,514 | | | | 65,384,690 | |
Adecco Group AG | | | 278,819 | | | | 18,971,344 | |
Alcon, Inc. | | | 833,536 | | | | 58,462,169 | |
Baloise Holding AG | | | 2,404 | | | | 375,355 | |
Banque Cantonale Vaudoise | | | 1,646 | | | | 147,907 | |
Barry Callebaut AG | | | 160 | | | | 371,852 | |
Chocoladefabriken Lindt & Spruengli AG | | | 50 | | | | 497,433 | |
Chocoladefabriken Lindt & Spruengli AG—REG | | | 6 | | | | 628,371 | |
Cie Financiere Richemont SA | | | 215,710 | | | | 2,624,703 | |
Cie Financiere Richemont SA | | | 615,930 | | | | 74,668,343 | |
Clariant AG | | | 10,360 | | | | 206,291 | |
Coca-Cola HBC AG | | | 10,391 | | | | 376,119 | |
Credit Suisse Group AG—Class A | | | 1,564,524 | | | | 16,377,321 | |
DKSH Holding AG | | | 21,641 | | | | 1,657,880 | |
EMS-Chemie Holding AG | | | 348 | | | | 342,052 | |
Geberit AG | | | 35,322 | | | | 26,532,874 | |
Givaudan SA | | | 437 | | | | 2,034,328 | |
Glencore Plc(1) | | | 5,527,612 | | | | 23,725,012 | |
Helvetia Holding AG | | | 20,655 | | | | 2,224,113 | |
| | | | | | | | |
| | | Shares | | | Value | |
Julius Baer Group Ltd. | | | 174,251 | | | | 11,380,896 | |
Kuehne & Nagel International AG | | | 2,496 | | | | 854,279 | |
LafargeHolcim Ltd.(1) | | | 258,514 | | | | 15,538,787 | |
Logitech International SA | | | 96,605 | | | | 11,731,940 | |
Lonza Group AG | | | 90,609 | | | | 64,237,863 | |
Nestle SA | | | 604,285 | | | | 75,322,362 | |
Novartis AG | | | 1,691,545 | | | | 154,313,874 | |
Partners Group Holding AG | | | 1,075 | | | | 1,629,643 | |
Roche Holding AG | | | 1,497 | | | | 608,831 | |
Roche Holding AG | | | 356,657 | | | | 134,401,958 | |
Schindler Holding AG | | | 963 | | | | 281,789 | |
Schindler Holding AG | | | 1,875 | | | | 573,817 | |
SGS SA | | | 296 | | | | 913,890 | |
Sika AG | | | 224,690 | | | | 73,616,972 | |
Sonova Holding AG | | | 34,994 | | | | 13,180,659 | |
STMicroelectronics NV | | | 31,942 | | | | 1,161,622 | |
Straumann Holding AG | | | 488 | | | | 778,381 | |
Swatch Group AG—BR | | | 1,459 | | | | 501,042 | |
Swatch Group AG—REG | | | 2,620 | | | | 173,000 | |
Swiss Life Holding AG | | | 1,601 | | | | 778,812 | |
Swiss Prime Site AG | | | 3,748 | | | | 371,978 | |
Swiss Re AG | | | 15,095 | | | | 1,363,421 | |
Swisscom AG | | | 1,302 | | | | 743,948 | |
Temenos AG | | | 3,163 | | | | 508,530 | |
UBS Group AG | | | 3,077,506 | | | | 47,138,854 | |
Vifor Pharma AG | | | 2,336 | | | | 302,671 | |
Zurich Insurance Group AG | | | 16,752 | | | | 6,728,699 | |
| | | | | | | | |
Total Switzerland | | | | 914,746,675 | |
| | | | | | | | |
Taiwan – 2.86% | | | | | | | | |
Catcher Technology Co. Ltd. | | | 2,552,000 | | | | 16,668,658 | |
Chroma ATE, Inc. | | | 857,000 | | | | 5,886,651 | |
Delta Electronics, Inc. | | | 596,000 | | | | 6,474,861 | |
Giant Manufacturing Co. Ltd. | | | 660,000 | | | | 7,543,315 | |
Hon Hai Precision Industry Co. Ltd. | | | 11,001,400 | | | | 44,170,697 | |
King Slide Works Co. Ltd. | | | 134,000 | | | | 1,887,663 | |
Merida Industry Co. Ltd. | | | 35,000 | | | | 392,974 | |
Taiwan Semiconductor Manufacturing Co. Ltd. | | | 6,519,860 | | | | 140,424,957 | |
Taiwan Semiconductor Manufacturing Co. Ltd.—ADR | | | 1,732,649 | | | | 208,195,104 | |
| | | | | | | | |
| | | Shares | | | Value | |
Uni-President Enterprises Corp. | | | 1,359,000 | | | | 3,568,660 | |
| | | | | | | | |
Total Taiwan | | | | 435,213,540 | |
| | | | | | | | |
Thailand – 0.11% | | | | | | | | |
Bangkok Bank PCL | | | 405,700 | | | | 1,431,680 | |
Kasikornbank PCL | | | 371,900 | | | | 1,377,852 | |
Major Cineplex Group PCL(1) | | | 2,738,000 | | | | 2,032,726 | |
Thai Beverage PCL | | | 23,036,677 | | | | 11,584,946 | |
| | | | | | | | |
Total Thailand | | | | 16,427,204 | |
| | | | | | | | |
United Kingdom – 15.06% | | | | | | | | |
3i Group Plc | | | 1,336,061 | | | | 21,682,756 | |
Admiral Group Plc | | | 302,848 | | | | 13,177,574 | |
Anglo American Plc | | | 65,395 | | | | 2,602,340 | |
Ashtead Group Plc | | | 21,287 | | | | 1,582,226 | |
ASOS Plc(1) | | | 301,751 | | | | 20,737,359 | |
Associated British Foods Plc | | | 16,761 | | | | 514,510 | |
AstraZeneca Plc | | | 62,097 | | | | 7,460,596 | |
Auto Trader Group Plc(1)(3) | | | 6,113,615 | | | | 53,543,074 | |
AVEVA Group Plc | | | 5,278 | | | | 270,899 | |
Aviva Plc | | | 4,085,009 | | | | 22,933,059 | |
BAE Systems Plc | | | 1,516,355 | | | | 10,957,214 | |
Barclays Plc | | | 23,527,690 | | | | 55,833,029 | |
Barratt Developments Plc | | | 412,444 | | | | 3,971,293 | |
Berkeley Group Holdings Plc | | | 6,092 | | | | 387,358 | |
BP Plc | | | 33,474,609 | | | | 146,799,405 | |
British American Tobacco Plc | | | 168,516 | | | | 6,542,732 | |
British Land Co. Plc | | | 43,594 | | | | 298,210 | |
BT Group Plc—Class A(1) | | | 448,239 | | | | 1,204,575 | |
Bunzl Plc | | | 489,946 | | | | 16,208,023 | |
Burberry Group Plc(1) | | | 819,847 | | | | 23,446,966 | |
Capita Plc(1) | | | 9,311,442 | | | | 4,811,543 | |
Close Brothers Group Plc | | | 154,211 | | | | 3,231,893 | |
CNH Industrial NV | | | 1,494,764 | | | | 24,794,661 | |
Coca-Cola European Partners Plc | | | 135,848 | | | | 8,058,503 | |
Compass Group Plc(1) | | | 1,243,088 | | | | 26,189,272 | |
ConvaTec Group Plc(3) | | | 4,589,856 | | | | 15,276,049 | |
Croda International Plc | | | 6,482 | | | | 661,126 | |
Daily Mail & General Trust Plc | | | 193,682 | | | | 2,582,752 | |
Devro Plc | | | 856,864 | | | | 2,285,258 | |
| | | | | | | | |
| | | Shares | | | Value | |
Diageo Plc | | | 544,683 | | | | 26,105,854 | |
Direct Line Insurance Group Plc | | | 67,591 | | | | 266,593 | |
DS Smith Plc | | | 2,222,428 | | | | 12,867,068 | |
easyJet Plc(1) | | | 565,275 | | | | 7,010,911 | |
Euromoney Institutional Investor Plc | | | 172,823 | | | | 2,438,250 | |
Evraz Plc | | | 24,944 | | | | 204,646 | |
Ferguson Plc | | | 10,668 | | | | 1,484,210 | |
Games Workshop Group Plc | | | 221,073 | | | | 34,863,874 | |
GlaxoSmithKline Plc | | | 7,113,749 | | | | 139,849,880 | |
Halma Plc | | | 17,968 | | | | 669,402 | |
Hargreaves Lansdown Plc | | | 1,904,932 | | | | 41,916,907 | |
Hays Plc(1) | | | 7,424,111 | | | | 16,287,859 | |
HomeServe Plc | | | 2,551,215 | | | | 33,741,041 | |
HSBC Holdings Plc | | | 442,800 | | | | 2,553,615 | |
HSBC Holdings Plc | | | 8,241,203 | | | | 47,564,180 | |
IG Group Holdings Plc | | | 603,798 | | | | 7,075,494 | |
Imperial Brands Plc | | | 1,378,964 | | | | 29,734,241 | |
Inchcape Plc | | | 1,042,415 | | | | 11,093,941 | |
Informa Plc(1) | | | 557,099 | | | | 3,871,704 | |
InterContinental Hotels Group Plc(1) | | | 48,161 | | | | 3,209,959 | |
International Personal Finance Plc(1) | | | 1,366,872 | | | | 2,526,101 | |
Intertek Group Plc | | | 749,457 | | | | 57,359,225 | |
ITV Plc(1) | | | 9,284,816 | | | | 16,137,012 | |
J Sainsbury Plc | | | 13,550,318 | | | | 51,001,720 | |
JD Sports Fashion Plc | | | 24,424 | | | | 310,811 | |
John Wood Group Plc(1) | | | 15,915,678 | | | | 48,487,746 | |
Johnson Matthey Plc | | | 577,821 | | | | 24,601,438 | |
Jupiter Fund Management Plc | | | 1,953,407 | | | | 7,623,548 | |
Kingfisher Plc | | | 23,695,554 | | | | 119,593,732 | |
Land Securities Group Plc | | | 36,633 | | | | 341,884 | |
Legal & General Group Plc | | | 299,589 | | | | 1,068,810 | |
Lloyds Banking Group Plc | | | 245,888,699 | | | | 159,054,912 | |
London Stock Exchange Group Plc | | | 15,529 | | | | 1,716,117 | |
M&G Plc | | | 131,987 | | | | 418,122 | |
Melrose Industries Plc | | | 228,835 | | | | 492,573 | |
Mondi Plc | | | 24,393 | | | | 642,226 | |
National Express Group Plc(1) | | | 662,939 | | | | 2,444,838 | |
National Grid Plc | | | 179,445 | | | | 2,282,481 | |
| | | | | | | | |
| | | Shares | | | Value | |
Natwest Group Plc | | | 7,929,837 | | | | 22,316,767 | |
Next Plc(1) | | | 6,319 | | | | 687,721 | |
Ocado Group Plc(1) | | | 24,179 | | | | 669,949 | |
Pagegroup Plc(1) | | | 508,324 | | | | 3,935,963 | |
Pearson Plc | | | 37,691 | | | | 434,046 | |
Persimmon Plc | | | 15,969 | | | | 654,148 | |
Petrofac Ltd.(1) | | | 188,278 | | | | 287,254 | |
Pets at Home Group Plc | | | 970,976 | | | | 6,137,656 | |
Phoenix Group Holdings Plc | | | 30,824 | | | | 288,544 | |
Provident Financial Plc(1) | | | 993,208 | | | | 3,188,705 | |
Prudential Plc | | | 289,166 | | | | 5,501,608 | |
Rathbone Brothers Plc | | | 82,328 | | | | 2,064,485 | |
Reckitt Benckiser Group Plc | | | 272,501 | | | | 24,075,521 | |
RELX Plc | | | 756,096 | | | | 20,049,172 | |
Rentokil Initial Plc | | | 86,666 | | | | 593,591 | |
Rightmove Plc | | | 8,717,880 | | | | 78,358,101 | |
Rio Tinto Plc | | | 351,286 | | | | 29,011,842 | |
Rolls-Royce Holdings Plc(1) | | | 6,300,659 | | | | 8,625,712 | |
Rotork Plc | | | 536,459 | | | | 2,530,154 | |
RWS Holdings Plc | | | 308,491 | | | | 2,404,655 | |
Sage Group Plc | | | 55,417 | | | | 524,923 | |
Schroders Plc | | | 6,056 | | | | 294,526 | |
Segro Plc | | | 60,186 | | | | 911,113 | |
Serco Group Plc | | | 4,876,033 | | | | 9,154,552 | |
Severn Trent Plc | | | 12,193 | | | | 422,094 | |
Smith & Nephew Plc | | | 185,311 | | | | 4,018,884 | |
Smiths Group Plc | | | 19,818 | | | | 436,469 | |
Spirax-Sarco Engineering Plc | | | 3,440 | | | | 647,913 | |
SSE Plc | | | 6,066,333 | | | | 125,990,327 | |
SSP Group Plc(1) | | | 4,817,077 | | | | 17,774,566 | |
St James’s Place Plc | | | 588,338 | | | | 12,029,574 | |
Standard Chartered Plc | | | 5,512,771 | | | | 35,181,420 | |
Standard Life Aberdeen Plc | | | 110,981 | | | | 416,346 | |
Taylor Wimpey Plc | | | 3,259,673 | | | | 7,173,689 | |
TechnipFMC Plc(1) | | | 117,223 | | | | 1,058,533 | |
TechnipFMC Plc(1) | | | 3,323,506 | | | | 30,077,729 | |
Tesco Plc | | | 46,712,531 | | | | 144,303,544 | |
Trainline Plc(1)(3) | | | 4,532,365 | | | | 18,395,204 | |
| | | | | | | | |
| | | Shares | | | Value | |
Travis Perkins Plc(1) | | | 2,393,077 | | | | 55,991,568 | |
Unilever Plc | | | 462,637 | | | | 27,033,541 | |
United Utilities Group Plc | | | 34,092 | | | | 460,147 | |
Vodafone Group Plc | | | 20,175,242 | | | | 33,814,306 | |
Weir Group Plc(1) | | | 678,584 | | | | 17,419,673 | |
WH Smith Plc(1) | | | 469,539 | | | | 10,462,156 | |
Whitbread Plc(1) | | | 9,874 | | | | 426,833 | |
Wickes Group Plc(1) | | | 1,241,437 | | | | 4,224,508 | |
Wm Morrison Supermarkets Plc | | | 120,179 | | | | 410,123 | |
WPP Plc | | | 7,605,265 | | | | 102,806,953 | |
| | | | | | �� | | |
Total United Kingdom | | | | 2,290,633,988 | |
| | | | | | | | |
United States – 2.36% | | | | | | | | |
Aon Plc—Class A | | | 167,500 | | | | 39,992,300 | |
Carnival Plc(1) | | | 174,999 | | | | 4,016,906 | |
EPAM Systems, Inc.(1) | | | 103,500 | | | | 52,884,360 | |
Genpact Ltd. | | | 72,600 | | | | 3,298,218 | |
Mettler-Toledo International, Inc.(1) | | | 90,228 | | | | 124,996,458 | |
ResMed, Inc. | | | 333,000 | | | | 82,091,160 | |
Samsonite International SA(1)(3) | | | 410,100 | | | | 838,585 | |
STERIS Plc | | | 246,000 | | | | 50,749,800 | |
| | | | | | | | |
Total United States | | | | 358,867,787 | |
| | | | | | | | |
Total Common Stocks (Cost: $11,648,819,126) | | | | 14,806,020,531 | |
| | | | | | | | |
PREFERRED STOCKS – 0.46% | | | | | | | | |
Germany – 0.46% | | | | | | | | |
Bayerische Motoren Werke AG | | | 2,811 | | | | 252,875 | |
Fuchs Petrolub SE | | | 3,372 | | | | 164,096 | |
Henkel AG & Co. KGaA | | | 8,808 | | | | 930,248 | |
Porsche Automobil Holding SE | | | 7,294 | | | | 783,017 | |
Sartorius AG | | | 1,198 | | | | 623,569 | |
Volkswagen AG | | | 265,949 | | | | 66,681,789 | |
| | | | | | | | |
Total Germany | | | | 69,435,594 | |
| | | | | | | | |
South Korea – 0.00%(2) | | | | | | | | |
Amorepacific Group | | | 6,293 | | | | 257,272 | |
| | | | | | | | |
Total South Korea | | | | 257,272 | |
| | | | | | | | |
Total Preferred Stocks (Cost: $54,806,798) | | | | 69,692,866 | |
| | | | | | | | |
| | | | | | | | |
| | | Shares | | | Value | |
RIGHTS – 0.00%(2) | | | | | | | | |
Spain – 0.00%(2) | | | | | | | | |
ACS Actividades de Construccion y Servicios SA, expires 07/23/2021(1) | | | 11,768 | | | | 16,466 | |
| | | | | | | | |
Total Spain | | | | 16,466 | |
| | | | | | | | |
Total Rights (Cost: $17,813) | | | | 16,466 | |
| | | | | | | | |
SHORT-TERM INVESTMENTS – 2.09% | | | | | | | | |
Money Market Funds – 1.63% | | | | | | | | |
Goldman Sachs Financial Square Government Fund—Class I, 0.03%(4) | | | 248,534,118 | | | | 248,534,118 | |
| | | | | | | | |
Total Money Market Funds (Cost: $248,534,118) | | | | | | | 248,534,118 | |
| | | | | | | | |
| | | | | | | | |
| | | Principal
Amount | | | Value | |
Convertible Securities – 0.00%(2) | | | | | | | | |
Credit Suisse Group Guernsey VII Ltd., 3.00%, 11/12/2021(3) | | CHF | 315,000 | | | | 381,336 | |
| | | | | | | | |
Total Convertible Securities (Cost: $348,548) | | | | | | | 381,336 | |
| | | | | | | | |
Time Deposits – 0.46% | | | | | | | | |
ANZ, London, 0.01% due 07/01/2021 | | $ | 601,426 | | | | 601,426 | |
Bank of Montreal, London, 0.01% due 07/01/2021 | | | 9,445,838 | | | | 9,445,838 | |
BNP Paribas, Paris, -1.83% due 07/01/2021 | | CHF | 222,957 | | | | 240,969 | |
BNP Paribas, Paris, -0.78% due 07/01/2021 | | EUR | 2,803,752 | | | | 3,324,549 | |
BNP Paribas, Paris, -0.61% due 07/01/2021 | | SEK | 93,844 | | | | 10,965 | |
BNP Paribas, Paris, -0.48% due 07/01/2021 | | DKK | 92,184 | | | | 14,699 | |
Brown Brothers Harriman, -0.60% due 07/01/2021 | | NZD | 15,833 | | | | 11,067 | |
Brown Brothers Harriman, -0.44% due 07/01/2021 | | AUD | 167,268 | | | | 125,443 | |
Citibank, London, 0.01% due 07/01/2021 | | GBP | 2,025,868 | | | | 2,802,383 | |
HSBC, Hong Kong, 0.00% due 07/02/2021 | | HKD | 26,387,543 | | | | 3,398,573 | |
HSBC, Singapore, 0.00% due 07/01/2021 | | SGD | 510,838 | | | | 379,890 | |
National Australia Bank, London, 0.01% due 07/01/2021 | | $ | 8,384,389 | | | | 8,384,389 | |
Nordea Bank ABP, Oslo, -1.08% due 07/01/2021 | | NOK | 85,763 | | | | 9,961 | |
Skandinaviska Enskilda Banken AB, Stockholm, -0.61% due 07/01/2021 | | SEK | 121,665 | | | | 14,216 | |
Skandinaviska Enskilda Banken AB, Stockholm, 0.01% due 07/01/2021 | | $ | 1,226,544 | | | | 1,226,544 | |
Sumitomo, Tokyo, -0.31% due 07/01/2021 | | JPY | 1,135,501,865 | | | | 10,220,999 | |
Sumitomo, Tokyo, 0.01% due 07/01/2021 | | $ | 29,214,818 | | | | 29,214,818 | |
| | | | | | | | |
Total Time Deposits (Cost: $69,426,729) | | | | | | | 69,426,729 | |
| | | | | | | | |
Total Short-Term Investments (Cost: $318,309,395) | | | | | | | 318,342,183 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES – 99.87% (Cost: $12,021,953,132) | | | | | | | 15,194,072,046 | |
| | | | | | | | |
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.13% | | | | | | | 19,360,980 | |
| | | | | | | | |
TOTAL NET ASSETS – 100.00% | | | | | | $ | 15,213,433,026 | |
| | | | | | | | |
Percentages are stated as a percent of net assets.
Principal amounts are denominated in the currency in which the security was purchased.
ADR American Depositary Receipt
REIT Real Estate Investment Trust
AUD Australian Dollar
CHF Swiss Franc
DKK Danish Krone
EUR Euro
GBP British Pound
HKD Hong Kong Dollar
JPY Japanese Yen
NOK Norwegian Krone
NZD New Zealand Dollar
SEK Swedish Krona
SGD Singapore Dollar
| (1) | Non-income producing security. |
| (2) | Amount calculated is less than 0.005%. |
| (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 totals $698,089,003, which represents 4.59% of total net assets. |
| (4) | Represents annualized seven-day yield as of the close of the reporting period. |
The accompanying notes are an integral part of this Schedule of Investments.
Open Futures Contracts
| | | | | | | | | | | | | | | | | | | | | | |
Number of Contracts Purchased | | Reference Entity | | Counterparty | | | Expiration
Date | | | Notional
Amount | | | Value | | | Unrealized
Appreciation/
(Depreciation) | |
41 | | Euro Stoxx 50 Future | | | Morgan Stanley | | | | Sep. 2021 | | | EUR | 1,679,231 | | | $ | 1,971,612 | | | $ | (19,537 | ) |
16 | | FTSE 100 INDEX Future | | | Morgan Stanley | | | | Sep. 2021 | | | GBP | 1,116,804 | | | | 1,544,980 | | | | 105 | |
9 | | TOPIX INDEX Future | | | Morgan Stanley | | | | Sep. 2021 | | | JPY | 176,354,375 | | | | 1,574,058 | | | | (13,361 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | (32,793 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| | | Percentage of
Net Assets | |
COMMON STOCKS | | | | |
Consumer Discretionary | | | 17.20 | % |
Industrials | | | 15.39 | |
Financials | | | 13.79 | |
Healthcare | | | 12.40 | |
Information Technology | | | 12.04 | |
Consumer Staples | | | 7.59 | |
Communication Services | | | 6.82 | |
Materials | | | 5.19 | |
Energy | | | 3.69 | |
Utilities | | | 2.96 | |
Real Estate | | | 0.25 | |
| | | | |
Total Common Stocks | | | 97.32 | |
| | | | |
PREFERRED STOCKS | | | | |
Consumer Discretionary | | | 0.45 | |
Consumer Staples | | | 0.01 | |
Healthcare | | | 0.00 | (1) |
Materials | | | 0.00 | (1) |
| | | | |
Total Preferred Stocks | | | 0.46 | |
| | | | |
RIGHTS | | | | |
Industrials | | | 0.00 | (1) |
Total Rights | | | 0.00 | (1) |
| | | | |
BONDS & NOTES | | | 0.00 | (1) |
| | | | |
SHORT-TERM INVESTMENTS | | | 2.09 | |
| | | | |
TOTAL INVESTMENTS | | | 99.87 | |
OTHER ASSETS IN EXCESS OF LIABILITIES | | | 0.13 | |
| | | | |
TOTAL NET ASSETS | | | 100.00 | % |
| | | | |
| (1) | Amount calculated is less than 0.005%. |
The accompanying notes are an integral part of this Schedule of Investments.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Bridge Builder Trust and Shareholders of Bridge Builder Core Bond Fund, Bridge Builder Core Plus Bond Fund, Bridge Builder Municipal Bond Fund, Bridge Builder Large Cap Growth Fund, Bridge Builder Large Cap Value Fund, Bridge Builder Small/Mid Cap Growth Fund, Bridge Builder Small/Mid Cap Value Fund and Bridge Builder International Equity Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the summary schedules of investments, of Bridge Builder Core Bond Fund, Bridge Builder Core Plus Bond Fund, Bridge Builder Municipal Bond Fund, Bridge Builder Large Cap Growth Fund, Bridge Builder Large Cap Value Fund, Bridge Builder Small/Mid Cap Growth Fund, Bridge Builder Small/Mid Cap Value Fund and Bridge Builder International Equity Fund (eight of the funds constituting Bridge Builder Trust, hereafter collectively referred to as the “Funds”) as of June 30, 2021 the related statements of operations for the year ended June 30, 2021, the statements of changes in net assets for each of the two years in the period ended June 30, 2021, including the related notes, and the financial highlights for each of the five years in the period ended June 30, 2021 (included in Item 1 of this Form N-CSR) and the schedules of investments (included in Item 6 of this Form N-CSR) as of June 30, 2021 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of June 30, 2021, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended June 30, 2021 and each of the financial highlights for each of the five years in the period ended June 30, 2021 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of June 30, 2021 by correspondence with the custodian, brokers and agent banks; when replies were not received from brokers and agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
Chicago, Illinois
August 26, 2021
We have served as the auditor of one or more investment companies in the Bridge Builder Trust since 2013.
PricewaterhouseCoopers LLP, One North Wacker, Chicago, IL 60606
T: (312) 298 2000, www.pwc.com/us
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to open-end investment companies.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to open-end investment companies.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANIES AND AFFILIATED PURCHASERS.
Not applicable to open-end investment companies.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees.
ITEM 11. CONTROLS AND PROCEDURES.
| (a) | The Registrant’s Principal Executive Officer and Principal Financial Officer have reviewed the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider. |
| (b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to open-end investment companies.
ITEM 13. EXHIBITS.
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.
| | |
| Bridge Builder Trust |
| |
| By: | | /s/ Julius A. Drelick III |
| | Julius A. Drelick III |
| Title: | | Principal Executive Officer |
| |
| Date: | | August 30, 2021 |
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: | | /s/ Julius A. Drelick III |
| | Julius A. Drelick III |
| Title: | | Principal Executive Officer |
| |
| Date: | | August 30, 2021 |
| | |
| By: | | /s/ Aaron Masek |
| | Aaron Masek |
| Title: | | Principal Financial Officer |
| |
| Date: | | August 30, 2021 |
